SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
(Exact name of registrant as specified in charter)
(Address of principal executive offices) (Zip code)
(Name and address of agent for service)
(a) |
REGAN TOTAL RETURN INCOME FUND
INSTITUTIONAL CLASS (RCIRX)
INVESTOR CLASS (RCTRX)
ANNUAL REPORT TO SHAREHOLDERS
September 30, 2022
TABLE OF CONTENTS
Regan Total Return Income Fund
Letter to Shareholders (Unaudited)
September 30, 2022
September 30, 2022
Dear Shareholder,
The Regan Total Return Income Fund (‘Fund’) is an open-end mutual fund that seeks to provide a high level of risk adjusted current income and capital appreciation, primarily investing in seasoned, senior, mortgage-backed securities. The Fund is intended to be a solution for investors that are looking for high current income, with low duration and low credit risk. By focusing on high quality, income-producing instruments, the strategy seeks to outperform traditional total return strategies while taking on less risk.
The Fund recently completed its second full year of operation. The Fund was launched on October 1st, 2020 and has delivered strong results since inception. Assets under management have grown to $185mm as of September 30, 2022, increasing from $65mm as at the end of the first year. We’re continuing to see strong demand persist, particularly from RIA and Wealth Advisor channels as more clients are identifying this Fund as a solution for their portfolio needs or adding to their existing allocations as the Fund continues to deliver consistently strong results. The Fund is very well positioned for its third year, particularly considering the market headwinds. We remain excited with the prospect of assisting our investors in meeting their investment goals.
Performance for the Fiscal Year Ended September 30, 2022
As of September 30, 2022, the Fund’s institutional class shares (RCIRX) returned 13.07% since inception on October 1, 2020. The investor class (RCTRX) shares have returned a positive 12.53% since inception.
The Bloomberg U.S. Aggregate Bond Index, which serves as the benchmark for the Fund had a negative return of -15.36% across the same period.
Regan Total Return Income Fund – Institutional Share Class (RCIRX)
Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
2021 | 0.78% | 0.10% | 0.27% | 7.18% | |||||||||
2022 | 0.20% | 0.00% | -0.54% | -0.41% | -0.72% | -0.67% | 0.32% | 0.21% | -1.19% | -2.77% |
Regan Total Return Income Fund – Investor Share Class (RCTRX)
Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
2021 | 0.77% | 0.10% | 0.18% | 6.89% | |||||||||
2022 | 0.20% | 0.00% | -0.52% | -0.51% | -0.71% | -0.71% | 0.31% | 0.21% | -1.22% | -2.92% |
A breakdown of distributions can be found below:
Regan Total Return Income Fund – Institutional Share Class (RCIRX)
December 2021 | March 2022 | June 2022 | September 2022 | |
Ordinary | ||||
Income | 1.06% | 0.78% | 1.52% | 1.24% |
Dividends | ||||
Capital Gains | ||||
Distributions | 0.21% | — | — | — |
(Short-Term) |
Regan Total Return Income Fund – Investor Share Class (RCTRX)
December 2021 | March 2022 | June 2022 | September 2022 | |
Ordinary | ||||
Income | 1.08% | 0.68% | 1.45% | 1.19% |
Dividends | ||||
Capital Gains | ||||
Distributions | 0.21% | — | — | — |
(Short-Term) |
Growth of $10,000: October 1, 2021 Through September 30, 2022
The chart below shows the growth of $10,000 from 10/1/2021 to 9/30/2022 based on the returns of the insitutional share class of Regan Total Return Income Fund, the Bloomberg U.S. Aggregate Bond Index, or the Bloomberg US Corporate High Yield Index. Note that investors cannot directly invest in an index and unmanaged index returns do not reflect any fees or expenses.
Market and Portfolio Commentary
Regan Capital launched Regan Total Return Income Fund in October 2020 to capitalize on the firm’s institutional investment framework with a broader base of investors. While corporate, municipal, and total return strategies are broadly available to the public via mutual funds and ETFs, that is not the case for non-agency RMBS. From our calculations, there is only approximately $20bn in non-agency RMBS mutual funds available to institutions and investors out of a $1.5 trillion market. Our mutual fund brings investors the ability to gain exposure to RMBS with potential yields of 8% - 10% in a daily liquid vehicle while simultaneously managing exposures to interest rate and credit risks. We anticipate our mutual fund to fill the void that exists, eventually growing to several billion in assets.
We continue to manage potential risks that could arise from withdrawls; the Fund will typically maintain a 15%+ cash position, in light of what happened to RMBS mutual funds in March 2020. Within our cash allocation, we invest in short-term treasury bills that boast significant yield advantages to money market funds, while maintaining high levels of liquidity. Non-agency RMBS funds saw an average drawdown from redemptions of 17% through March 2020, resulting in forced selling that significantly affected returns. In addition to a large cash buffer, the Fund primarily focuses on senior, high quality paper, that saw the least amount of markdowns in March 2020. The Fund’s securities portfolio comprises 97.5% non-agency RMBS and 2.5% agency RMBS. While it is possible that this ratio of non-agency to agency will change over time, the Fund will focus primarily on the non-agency side. The Fund purchases the majority of its bonds at a discount to par (<$100), which creates upside to stronger housing through prepayments and deal calls. Additionally, the Fund will aim to minimize duration risk as much as possible, in an effort to protect investors from a potential rise in rates over the coming years. We achieve this by maintaining a portfolio of mostly floating rate securites. As of September 30, 2022, the portfolio held approximately 57% floating rate assets.
10-year treasuries that were yielding 1.46% as of 10/1/21 are yielding 3.83% as of 9/30/22. The 2.37% move in treasury yields combined with spread widening punished investors who owned long duration assets over the past year. With traditional fixed income, corporate and municipal bonds, the timing of cashflows from semi-annual interest payments and return of principal at maturity results in inherently higher duration and sensitivity to interest rates. By owning most traditional fixed income, you’re making a bet that interest rates will fall. Why is that? The majority of outstanding debt in most funds has been issued within the last five years, is low coupon, and is very long dated. For example, if you were to take a look at the top 15% of positions within the Bloomberg U.S. Aggregate Bond Index (AGG) as of 9/30/22, you’d see a weighted average coupon (WAC) of 2.58%, weighted average price of $88, and a weighted average duration of 6.13 years. Similarly, the duration on most major indices remains stuck at 6-7 years, yields hover between 5-7% and YTD returns are on average -15%. While yields have risen to decade highs, the market has given up 3+ years of income and is still very sensitive to any further rise in interest rates or widening in spreads. Regan Total Return Income Fund has minimized losses this fiscal year and is now able to take advantage of a market trading at much higher yields.
The legacy non-agency RMBS market offers a unique opportunity to purchase high yielding floating rate assets that are senior in the capital stack. This allows Regan to manage the portfolio’s duration without hedging and minimize interest rate exposure. Mortgage bonds amortize; as the bonds pay investors both principal and interest on a monthly basis, our holdings de-risk and gain in value as time passes. This allows us to recoup our investment quickly into a rising yield environment and to effectively manage the portfolio’s interest rate sensitivity.
We’re now seeing the most compelling risk-adjusted returns in non-agency RMBS since 2012. According to S&P/Case-Schiller U.S. National Hope Price Index, single-family home prices have increased 126% from 1/1/2012 to 8/31/22. The built-up equity borrowers have in their homes has increased dramatically, making legacy RMBS safer over time, yet given the selloff in fixed income markets this year, coupled with industry-wide redemptions, we have been able to invest in senior bonds that were originally AAA at 8-11% yields. At present, there are more sellers than buyers which has resulted in an opportunity to purchase RMBS at extremely attractive yields.
We maintain a positive outlook for this asset class and expect to continue meeting our goals of managing this Fund in a manner that generates attractive risk-adjusted returns with high levels of current income.
Thank you for your continued support.
Skyler Weinand, CFA
Chief Investment Officer
The opinions expressed above are subject to change, are not guaranteed and should not be considered recommendations to buy or sell any security.
Please refer to the Schedule of Investments in the report for more complete information regarding Fund holdings. Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security.
Past performance does not guarantee future results.
Mutual fund investing involves risk and principal loss is possible. Investments in asset-backed and mortgage-backed securities include additional risks that investors should be aware of, including credit risk, prepayment risk, possible illiquidity, and default, as well as increased susceptibility to adverse economic developments. Investments in debt securities typically decrease when interest rates rise. This risk is usually greater for longer term debt securities. Investments in lower-rated and nonrated securities present a greater risk of loss of principal and interest than higher -rated securities do. For more information on these risks and other risks of the fund, please see the Prospectus. Registration with the SEC does not in any way constitute an endorsement by the SEC of an investment advisor’s skill or expertise.
The Bloomberg U.S. Aggregate Bond Index is a broad benchmark index for the U.S. bond market that covers all major types of bonds, including taxable corporate bonds, Treasury bonds, and municipal bonds.
Residential mortgage-backed securities (RMBS) are a debt-based security (similar to a bond), backed by the interest paid on loans for residences. An RMBS is constructed by one of two sources: a government agency such as the Federal National Mortgage Association (Fannie Mae) and the Federal Home Loan Mortgage Corporation (Freddie Mac), or by a non-agency investment-banking firm.
Must be preceded or accompanied by a prospectus.
The Regan Total Return Income Fund is distributed by Quasar Distributors, LLC.
Regan Total Return Income Fund
Performance Summary (Unaudited)
September 30, 2022
Comparison of a Hypothetical $10,000 Investment
in the Regan Total Return Income Fund - Institutional Class
and the Bloomberg U.S. Aggregate Bond Index
Investment Returns
For the Period Ended September 30, 2022
Annualized | ||||||
6-Months | 1-Year | Since Inception* | ||||
Regan Total Return Income Fund | ||||||
Institutional Class | -2.44% | -1.65% | 6.34% | |||
Investor Class | -2.61% | -1.91% | 6.09% | |||
Bloomberg U.S. Aggregate Bond Index (1) | -9.22% | -14.60% | -8.00% |
* | Inception date on October 1, 2020. |
(1) | The Bloomberg U.S. Aggregate Bond Index is a broad-based fixed-income index that includes government Treasury securities, corporate bonds, mortgage-backed securities, asset-backed securities and munis to simulate the universe of bonds in the market. |
The performance data quoted represents past performance and is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance, please call 1.800.44.REGAN or visit the Fund’s website at www.reganfunds.com.
The gross expense ratios as stated in the prospectus dated January 30, 2022 are 5.24% and 2.57% for the Investor Class and Institutional Class, respectively. The net expense ratios are 1.61% and 1.31% for the Investor Class and Institutional Class, respectively, with contractual fee waivers through January 31, 2023.
Regan Total Return Income Fund
September 30, 2022
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from April 1, 2022 to September 30, 2022 (the “period”).
Actual Expenses
The “Actual Fund Return” lines in the table below provide information about actual account values and actual expenses. You may use the information in these lines, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the corresponding line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table with the lines titled “Hypothetical 5% Return” provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as redemption fees. Therefore, the information in the lines titled “Hypothetical 5% Return” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if transactional costs were included, your costs would have been higher.
Regan Total Return Income Fund
Expense Example Cont. (Unaudited)
September 30, 2022
Expenses Paid During the Period
Expenses | |||||||||
Beginning | Ending | Annualized | Paid | ||||||
Account | Account | Expense | During the | ||||||
Value | Value | Ratio | Period(1) | ||||||
Regan Total Return Income Fund | |||||||||
Institutional Class | |||||||||
Actual Fund Return (1) | $1,000.00 | $975.60 | 1.30% | $6.44 | |||||
Hypothetical 5% Return (2) | $1,000.00 | $1,018.55 | 1.30% | $6.58 | |||||
Investor Class | |||||||||
Actual Fund Return (1) | $1,000.00 | $973.90 | 1.55% | $7.67 | |||||
Hypothetical 5% Return (2) | $1,000.00 | $1,017.30 | 1.55% | $7.84 |
(1) | Expenses are equal to each of the Funds’ annualized expense ratio as indicated, multiplied by the average account value over the period, multiplied by 183/365. The expense ratios reflect an expense waiver. The returns assume all dividends and distributions were reinvested. |
Regan Total Return Income Fund
Allocation of Portfolio Holdings (Unaudited)
September 30, 2022
(Calculated as a percentage of Total Investments)
* | Short Term Investments consist of amounts held in money market funds and US Treasury Bills. |
Regan Total Return Income Fund
SCHEDULE OF INVESTMENTS
September 30, 2022
Principal Amount | Value | |||||||
ASSET BACKED SECURITIES ― 28.6% | ||||||||
Ace Securities Corp. | ||||||||
Series 2006-ASL1, Class A, 3.364% (1 Month USD LIBOR + 0.280%), 02-25-2036 (2) | $ | 288,812 | $ | 42,562 | ||||
Series 2006-HE4, Class A2B, 3.304% (1 Month LIBOR USD + 0.220%), 10-25-2036 (2) | 2,321,823 | 974,589 | ||||||
Series 2006-ASAP5, Class A2D, 3.604% (1 Month LIBOR USD + 0.520%), 10-25-2036 (2) | 2,021,794 | 737,505 | ||||||
Series 2006-ASAP6, Class A2D, 3.524% (1 Month LIBOR USD + 0.440%), 12-26-2036 (2) | 2,768,849 | 1,028,359 | ||||||
Series 2007-D1, Class A4, 6.930%, 02-25-2038 (3)(4) | 817,695 | 670,023 | ||||||
Aegis Asset Backed Securities Trust | ||||||||
Series 2004-2, Class M3, 5.484% (1 Month LIBOR USD + 2.400%), 06-26-2034 (2) | 154,448 | 141,966 | ||||||
American Home Mortgage Investment Trust | ||||||||
Series 2007-A, Class 4A, 3.984% (1 Month USD LIBOR + 0.900%), 07-25-2046 (2)(3) | 113,080 | 34,033 | ||||||
Angel Oak Mortgage Trust | ||||||||
Series 2020-5, Class A1, 1.373%, 05-25-2065 (1)(3) | 22,009 | 19,644 | ||||||
Series 2021-3, Class A1, 1.068%, 05-25-2066 (1)(3) | 373,914 | 307,077 | ||||||
Argent Securities Inc. | ||||||||
Series 2006-W4, Class A2D, 3.624% (1 Month USD LIBOR + 0.540%), 05-25-2036 (2) | 288,587 | 74,417 | ||||||
Series 2006-W5, Class A2B, 3.284% (1 Month LIBOR USD + 0.200%), 06-25-2036 (2) | 317,297 | 93,780 | ||||||
Arroyo Mortgage Trust | ||||||||
Series 2022-2, Class A1, 4.950%, 07-25-2057 (3)(4) | 400,649 | 385,568 | ||||||
Banc of America Funding Corporation | ||||||||
Series 2016-R2, Class 1A2, 8.712%, 05-02-2033 (1)(3) | 1,482,377 | 1,467,593 | ||||||
BankAmerica Manufactured Housing Contract Trust | ||||||||
Series 1997-1, Class B1, 6.940%, 03-25-2023 | 600,000 | 189,120 | ||||||
Bayview Commercial Asset Trust | ||||||||
Series 2004-3, Class B1, 5.484% (1 Month LIBOR USD + 2.400%), 01-25-2035 (2)(3) | 35,460 | 35,364 | ||||||
Bear Stearns Asset Backed Securities Trust | ||||||||
Series 2006-HE7, Class 1A2, 3.424% (1 Month LIBOR USD + 0.340%), 09-25-2036 (2) | 124,367 | 119,515 | ||||||
Series 2007-SD1, Class 22A1, 3.436%, 10-25-2036 (1) | 911,310 | 550,301 | ||||||
BRAVO Residential Funding Trust | ||||||||
Series 2021-HE2, Class A1, 3.031% (SOFR30A + 0.750%), 11-25-2069 (2)(3) | 88,287 | 87,216 | ||||||
Series 2021-HE1, Class A1, 3.031% (SOFR30A + 0.750%), 01-27-2070 (2)(3) | 503,927 | 498,093 | ||||||
CDC Mortgage Capital Trust | ||||||||
Series 2002-HE1, Class A, 3.704% (1 Month LIBOR USD + 0.620%), 01-25-2033 (2) | 9,552 | 9,346 | ||||||
Chase Funding Mortgage Loan Asset-Backed CTFS | ||||||||
Series 2003-5, Class 1M2, 5.641%, 09-25-2032 (1) | 85,768 | 66,706 | ||||||
Series 2003-2, Class 2A2, 3.644% (1 Month LIBOR USD + 0.560%), 02-25-2033 (2) | 925,099 | 870,481 | ||||||
CHEC LOAN TRUST | ||||||||
Series 2004-2, Class M3, 4.959% (1 Month USD LIBOR + 1.875%), 04-25-2034 (2) | 457,071 | 454,525 | ||||||
Citigroup Mortgage Loan Trust Inc | ||||||||
Series 2014-12, Class 2A5, 2.864%, 02-25-2037 (1)(3) | 2,541,515 | 1,958,341 | ||||||
Conseco Finance Securitizations Corp. | ||||||||
Series 1999-6, Class A1, 7.360%, 06-01-2030 (1)(3) | 2,997,116 | 1,190,700 | ||||||
Series 2000-4, Class A6, 8.310%, 05-01-2032 (1) | 660,851 | 150,234 |
Regan Total Return Income Fund
SCHEDULE OF INVESTMENTS
September 30, 2022
Series 2002-1, Class M2, 9.546%, 12-01-2032 (1) | $ | 1,951,594 | $ | 1,831,707 | ||||
Conseco Financial Corp | ||||||||
Series 1996-8, Class B1, 7.950%, 11-15-2026 (1) | 1,575,095 | 1,476,914 | ||||||
Series 1996-6, Class B1, 8.000%, 09-15-2027 (1) | 1,216,008 | 1,130,748 | ||||||
Series 1997-4, Class M1, 7.220%, 02-15-2029 (1) | 160,848 | 163,102 | ||||||
Series 1997-5, Class B1, 6.970%, 05-15-2029 (1) | 822,531 | 760,925 | ||||||
Series 1998-8, Class M1, 6.980%, 09-01-2030 (1) | 2,182,011 | 2,026,081 | ||||||
Series 1999-4, Class A7, 7.410%, 01-01-2030 | 2,445,243 | 1,134,453 | ||||||
Series 1998-3, Class M1, 6.860%, 03-01-2030 (1) | 1,644,779 | 1,520,725 | ||||||
Series 1999-5, Class A6, 7.500%, 03-01-2030 (1) | 5,203,129 | 2,240,974 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
Series 2007-6, Class 2A3, 3.304% (1 Month USD LIBOR + 0.220%), 07-25-2034 (2) | 183,557 | 187,018 | ||||||
Series 2006-1, Class AF6, 5.526%, 05-25-2036 (1) | 45,006 | 42,091 | ||||||
Series 2006-15, Class A6, 4.345%, 08-25-2046 (1) | 164,774 | 164,534 | ||||||
Series 2006-9, Class 1AF6, 5.989%, 08-25-2046 (1) | 186,064 | 172,473 | ||||||
Countrywide Home Equity Loan Trust | ||||||||
Series 2004-B, Class 2A, 3.038% (1 Month USD LIBOR + 0.220%), 02-15-2029 (2) | 598,755 | 559,077 | ||||||
Credit Suisse Mortgage Trust | ||||||||
Series 2007-1, Class 1A6A, 5.863%, 02-25-2037 (1) | 1,356,166 | 309,592 | ||||||
Series 2007-1, Class 5A14, 6.000%, 02-25-2037 | 939,415 | 579,697 | ||||||
Series 2015-1R, Class 6A1, 2.910% (1 Month USD LIBOR + 0.280%), 05-28-2037 (2)(3)(a) | 248,026 | 238,800 | ||||||
Series 2021-NQM4, Class A1, 1.101%, 05-25-2066 (1)(3) | 131,776 | 106,453 | ||||||
Credit-Based Asset Servicing and Securitization | ||||||||
Series 2001-CB4, Class 1A1, 3.984% (1 Month LIBOR USD + 0.900%), 11-25-2033 (2) | 31,137 | 29,963 | ||||||
Series 2004-CB7, Class AF5, 3.799%, 10-25-2034 (4)(a) | 33,631 | 29,343 | ||||||
Series 2006-CB8, Class A1, 3.364% (1 Month USD LIBOR + 0.280%), 10-25-2036 (2) | 85,650 | 79,403 | ||||||
Series 2007-RP1, Class A, 3.394% (1 Month USD LIBOR + 0.310%), 04-25-2037 (2)(3) | 126,545 | 108,121 | ||||||
Encore Credit Receivables Trust | ||||||||
Series 2005-1, Class M1, 3.744% (1 Month USD LIBOR + 0.660%), 03-25-2035 (2) | 18,295 | 19,370 | ||||||
EquiFirst Mortgage Loan Trust | ||||||||
Series 2004-1, Class 2A3, 3.884% (1 Month LIBOR USD + 0.800%), 01-25-2034 (2) | 565,294 | 528,905 | ||||||
First Franklin Mtg Loan Asset Backed Certificates | ||||||||
Series 2005-FF11, Class M2, 3.759% (1 Month LIBOR USD + 0.675%), 11-25-2035 (2) | 211,411 | 206,855 | ||||||
Series 2006-FF11, Class 2A3, 3.384% (1 Month LIBOR USD + 0.300%), 08-25-2036 (2) | 387,308 | 364,421 | ||||||
Series 2006-FF18, Class A2C, 3.244% (1 Month LIBOR USD + 0.160%), 12-26-2037 (2) | 620,554 | 559,125 | ||||||
First Horizon Alternative Mortgage Securities | ||||||||
Series 2006-AA8, Class 2A1, 3.641%, 01-25-2037 (1) | 241,939 | 144,043 | ||||||
Fremont Home Loan Trust | ||||||||
Series 2004-C, Class M2, 4.134% (1 Month USD LIBOR + 1.050%), 08-25-2034 (2) | 204,994 | 191,668 | ||||||
Series 2006-B, Class 2A2, 3.184% (1 Month USD LIBOR + 0.200%), 08-25-2036 (2) | 81,188 | 28,725 | ||||||
Series 2006-3, Class 1A1, 3.364% (1 Month USD LIBOR + 0.280%), 02-25-2037 (2)(a) | 65,313 | 47,940 | ||||||
GCAT | ||||||||
Series 2022-INV2, Class A5, 3.000%, 04-25-2052 (1)(3) | 678,685 | 560,339 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
Series 2007-HE3, Class 2A1, 5.564%, 09-25-2037 (1) | 209,412 | 182,796 |
Regan Total Return Income Fund
SCHEDULE OF INVESTMENTS
September 30, 2022
Greenpoint Manufactured Housing | ||||||||
Series 1999-5, Class M1B, 8.290%, 12-15-2029 (1) | $ | 29,968 | $ | 29,927 | ||||
Series 1999-5, Class M2, 9.230%, 12-15-2029 (1) | 56,457 | 48,353 | ||||||
Series 2000-3, Class IA, 8.450%, 06-20-2031 (1) | 2,373,340 | 1,279,115 | ||||||
GS Mortgage Securities Corp. | ||||||||
Series 2015-7R, Class A, 2.714% (1 Month USD LIBOR + 0.150%), 09-28-2037 (2)(3) | 52,368 | 51,946 | ||||||
GSAMP Trust | ||||||||
Series 2006-S1, Class A1, 3.364% (1 Month USD LIBOR + 0.280%), 11-25-2035 (2) | 787,161 | 91,186 | ||||||
Series 2006-S5, Class A1, 1.804% (1 Month LIBOR USD + 0.180%), 09-25-2036 (2) | 18,588,882 | 248,967 | ||||||
Series 2006-S5, Class A2, 6.158%, 09-25-2036 (4) | 6,193,616 | 88,592 | ||||||
GSRPM Mortgage Loan Trust | ||||||||
Series 2004-1, Class B1, 6.834% (1 Month LIBOR USD + 3.750%), 09-25-2042 (2)(3) | 173,300 | 172,995 | ||||||
Home Equity Asset Trust | ||||||||
Series 2002-2, Class A3, 3.664% (1 Month USD LIBOR + 0.580%), 12-27-2032 (2) | 94,405 | 87,897 | ||||||
Home Equity Mortgage | ||||||||
Series 2007-A, Class 2A4B, 3.534% (1 Month LIBOR USD + 0.450%), 04-25-2037 (2) | 3,710,580 | 1,402,036 | ||||||
HSI Asset Securitization Corporation Trust | ||||||||
Series 2007-HE2, Class 2A1, 3.194% (1 Month USD LIBOR + 0.110%), 04-27-2037 (2) | 188,359 | 100,601 | ||||||
IndyMac Residential Asset Backed Trust | ||||||||
Series 2006-C, Class 2A, 3.344% (1 Month USD LIBOR + 0.260%), 08-25-2036 (2) | 78,253 | 73,778 | ||||||
Series 2007-A, Class 2A2, 3.274% (1 Month USD LIBOR + 0.190%), 04-25-2037 (2) | 1,146,892 | 786,302 | ||||||
Series 2007-A, Class 1A, 3.304% (1 Month LIBOR USD + 0.220%), 04-25-2037 (2) | 320,864 | 244,820 | ||||||
Long Beach Mortgage Loan Trust | ||||||||
Series 2004-2, Class A1, 3.304% (1 Month LIBOR USD + 0.440%), 06-25-2034 (2) | 398,443 | 369,781 | ||||||
Series 2006-A, Class A1, 3.174% (1 Month USD LIBOR + 0.180%), 05-25-2036 (2) | 980,561 | 22,762 | ||||||
Mastr Asset Backed Securities Trust | ||||||||
Series 2006-AM2, Class A3, 3.424% (1 Month LIBOR USD + 0.340%), 06-25-2036 (2) | 635,629 | 566,281 | ||||||
MASTR Asset Backed Securities Trust | ||||||||
Series 2006-FRE2, Class A5, 3.564% (1 Month USD LIBOR + 0.480%), 03-25-2036 (2) | 265,422 | 189,526 | ||||||
Series A-3, Class A3, 3.304% (1 Month LIBOR USD + 0.220%), 08-25-2036 (2) | 1,033,870 | 430,494 | ||||||
Series A-5, Class A5, 3.564% (1 Month LIBOR USD + 0.480%), 08-25-2036 (2) | 471,912 | 196,486 | ||||||
Merrill Lynch Mortgage Investors Trust | ||||||||
Series 2004-HE2, Class M1, 4.284% (1 Month LIBOR USD + 1.200%), 08-25-2035 (2) | 355,991 | 343,451 | ||||||
Series 2006-RM3, Class A1B, 3.464% (1 Month USD LIBOR + 0.380%), 06-25-2037 (2) | 5,939,596 | 189,086 | ||||||
METLIFE SECURITIZATION TRUST | ||||||||
Series 2020-INV1, Class A2A, 2.500%, 05-25-2050 (1)(3) | 36,925 | 31,260 | ||||||
Morgan Stanley Capital Inc | ||||||||
Series 2003-NC8, Class B1, 8.484% (1 Month USD LIBOR + 5.400%), 09-25-2033 (2) | 119,173 | 117,705 | ||||||
Series 2004-HE6, Class M1, 3.909% (1 Month LIBOR USD + 0.825%), 08-25-2034 (2) | 260,983 | 248,245 | ||||||
Series 2004-WMC3, Class M3, 3.954% (1 Month USD LIBOR + 0.870%), 01-25-2035 (2) | 268,808 | 273,326 | ||||||
Series 2007-HE1, Class A2C, 3.234% (1 Month LIBOR USD + 0.150%), 11-25-2036 (2) | 567,718 | 349,265 | ||||||
Morgan Stanley Mortgage Loan Trust | ||||||||
Series 2007-1XS, Class 1A1, 6.465%, 09-25-2046 (4) | 645,939 | 259,560 | ||||||
New Residential Mortgage Loan Trust | ||||||||
Series 2022-NQM1, Class A1, 2.277%, 04-25-2061 (1)(3) | 539,649 | 456,866 |
Regan Total Return Income Fund
SCHEDULE OF INVESTMENTS
September 30, 2022
Nomura Home Equity Loan Inc | ||||||||
Series 2006-AF1, Class A1, 6.032%, 10-25-2036 (4) | $ | 1,491,888 | $ | 391,574 | ||||
Nomura Resecuritization Trust | ||||||||
Series 2015-10R, Class 1A2, 5.146%, 12-25-2036 (1)(3) | 1,214,960 | 953,541 | ||||||
Novastar Home Equity Loan | ||||||||
Series 2006-3, Class A2C, 3.404% (1 Month LIBOR USD + 0.320%), 10-25-2036 (2) | 1,867,887 | 1,081,984 | ||||||
Series 2006-5, Class A2B, 3.324% (1 Month USD LIBOR + 0.240%), 11-25-2036 (2) | 1,022,871 | 352,998 | ||||||
Oakwood Mortgage Investors Inc. | ||||||||
Series 1997-A, Class B1, 7.450%, 05-15-2027 (1) | 101,830 | 99,472 | ||||||
Series 2002-C, Class M1, 6.890%, 11-15-2032 (1) | 1,380,154 | 1,336,115 | ||||||
Option One Mortgage Loan Trust | ||||||||
Series 2006-3, Class 1A1, 3.224% (1 Month LIBOR USD + 0.140%), 02-25-2037 (2) | 1,031,173 | 687,331 | ||||||
Series 2007-1, Class 1A1, 3.224% (1 Month LIBOR USD + 0.140%), 01-25-2037 (2) | 604,893 | 417,301 | ||||||
Series 2007-FXD1, Class 3A4, 5.860%, 01-25-2037 (4) | 224,520 | 215,762 | ||||||
OWNIT Mortgage Loan Asset-Backed Certificates | ||||||||
Series 2006-6, Class A2C, 3.404% (1 Month USD LIBOR + 0.320%), 09-25-2037 (2) | 1,618,209 | 827,975 | ||||||
RBSSP Resecuritization Trust | ||||||||
Series 2010-9, Class 7A6, 6.000%, 05-27-2037 (1)(3) | 1,043,027 | 532,546 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
Series 2002-3, Class A, 3.844% (1 Month LIBOR USD + 0.760%), 12-25-2032 (2) | 397,551 | 344,290 | ||||||
Series 2003-4, Class M2F, 6.244%, 03-25-2034 (4) | 223,315 | 208,687 | ||||||
Series 2004-1, Class M4, 5.784% (1 Month USD LIBOR + 2.700%), 05-25-2034 (2) | 239,243 | 180,941 | ||||||
Series 2004-2, Class M1, 6.414%, 07-25-2034 (4) | 426,629 | 329,382 | ||||||
Residential Funding Mortgage Securities II | ||||||||
Series 2006-HI5, Class A4, 6.200%, 12-25-2036 (4) | 8,158,581 | 1,926,018 | ||||||
ResMAE Mortgage Loan Trust | ||||||||
Series 2006-1, Class A2B, 3.384% (1 Month LIBOR USD + 0.300%), 02-25-2036 (2)(3) | 3,006,384 | 1,065,096 | ||||||
Series 2006-1, Class A2C, 3.484% (1 Month LIBOR USD + 0.400%), 02-25-2036 (2)(3) | 3,322,977 | 1,177,748 | ||||||
Securitized Asset Backed Receivables LLC | ||||||||
Series 2006-WM2, Class A2B, 3.204% (1 Month LIBOR USD + 0.120%), 09-25-2036 (2) | 651,734 | 463,901 | ||||||
Security National Mortgage Loan Trust | ||||||||
Series 2006-3A, Class A3, 6.330%, 01-25-2037 (1)(3) | 351,760 | 152,968 | ||||||
Specialty Underwriting & Residential Finance | ||||||||
Series 2006-BC3, Class A2C, 3.384% (1 Month LIBOR USD + 0.300%), 06-25-2037 (2) | 86,467 | 52,845 | ||||||
Structured Asset Securities Corporation | ||||||||
Series 2006-S3, Class A1, 3.344% (1 Month USD LIBOR + 0.260%), 09-25-2036 (2) | 1,053,065 | 364,047 | ||||||
Series 2006-BC6, Class A1, 3.244% (1 Month LIBOR USD + 0.160%), 01-25-2037 (2) | 386,118 | 368,540 | ||||||
UCFC Manufactured Housing Contract | ||||||||
Series 1996-1, Class M, 7.900%, 01-15-2028 (1) | 35,264 | 31,054 | ||||||
Series 1997-2, Class M, 7.380%, 10-15-2028 | 75,614 | 72,917 | ||||||
WAMU Asset-Backed Certificates | ||||||||
Series 2007-HE4, Class 2A2, 3.214% (1 Month USD LIBOR + 0.130%), 07-25-2047 (2) | 328,549 | 211,528 |
Regan Total Return Income Fund
SCHEDULE OF INVESTMENTS
September 30, 2022
Washington Mutual Asset-Backed Certificates | ||||||||
Series 2007-HE1, Class 2A1, 3.144% (1 Month USD LIBOR + 0.060%), 11-25-2036 (2) | $ | 1,552,984 | $ | 577,096 | ||||
TOTAL ASSET BACKED SECURITIES | ||||||||
(Cost $56,349,939) | 53,057,705 | |||||||
MORTGAGE BACKED SECURITIES - NON-AGENCY ― 52.6% | ||||||||
Adjustable Rate Mortgage Trust | ||||||||
Series 2004-4, Class 3A1, 3.010%, 03-25-2035 (1)(a) | 44,221 | 41,457 | ||||||
Series 2005-10, Class 1A1, 3.602%, 01-25-2036 (1) | 142,052 | 125,331 | ||||||
Series 2006-1, Class 1A1, 3.315%, 03-25-2036 (1) | 95,466 | 81,220 | ||||||
Agate Bay Mortgage Trust | ||||||||
Series 2015-4, Class A5, 3.000%, 06-25-2045 (1)(3)(a) | 386,623 | 360,526 | ||||||
Series 2015-6, Class A3, 3.500%, 09-25-2045 (1)(3) | 429,313 | 389,863 | ||||||
American Home Mortgage Assets | ||||||||
Series 2007-3, Class 11A1, 3.504% (1 Month USD LIBOR + 0.420%), 06-25-2037 (2) | 178,989 | 169,133 | ||||||
Series 2006-4, Class 1A12, 3.294% (1 Month LIBOR USD + 0.210%), 10-25-2046 (2) | 952,728 | 526,766 | ||||||
American Home Mortgage Investment Trust | ||||||||
Series 2004-3, Class MH1, 3.083% (1 Month LIBOR USD + 0.900%), 10-25-2034 (2) | 79,840 | 69,367 | ||||||
Series 2007-2, Class 11A1, 3.544% (1 Month USD LIBOR + 0.460%), 03-25-2047 (2) | 383,171 | 154,281 | ||||||
Series 2007-2, Class 12A1, 3.624% (1 Month LIBOR USD + 0.540%), 03-25-2047 (2) | 1,072,778 | 435,112 | ||||||
Angel Oak Mortgage Trust | ||||||||
Series 2019-2, Class A1, 3.628%, 03-25-2049 (1)(3) | 13,117 | 13,065 | ||||||
Series 2020-2, Class A1A, 2.531%, 01-25-2065 (1)(3) | 103,332 | 95,568 | ||||||
ASG Resecuritization Trust | ||||||||
Series 2011-2, Class M52, 5.750%, 02-28-2036 (3) | 405,486 | 380,983 | ||||||
Banc of America Alternative Loan Trust | ||||||||
Series 2005-11, Class 1CB5, 5.500%, 12-25-2035 | 179,660 | 158,347 | ||||||
Series 2006-5, Class CB7, 6.000%, 06-25-2046 | 264,276 | 232,121 | ||||||
Series 2007-2, Class 1A1, 5.500%, 06-25-2037 | 781,377 | 644,730 | ||||||
Banc of America Funding Corporation | ||||||||
Series 2004-2, Class 1CB1, 5.750%, 09-20-2034 | 356,937 | 343,663 | ||||||
Series 2005-B, Class 2A1, 2.931%, 04-20-2035 (1) | 57,740 | 50,353 | ||||||
Series 2005-D, Class A1, 3.261%, 05-25-2035 (1) | 52,162 | 50,435 | ||||||
Series 2005-6, Class 1A8, 6.000%, 10-25-2035 | 371,357 | 289,389 | ||||||
Series 2006-G, Class 3A3, 5.910% (12 Month LIBOR USD + 1.750%), 07-20-2036 (2) | 27,279 | 26,606 | ||||||
Series 2006-4, Class A11, 6.000%, 07-25-2036 | 241,940 | 191,488 | ||||||
Series 2007-4, Class 3A1, 3.454% (1 Month USD LIBOR + 0.370%), 06-25-2037 (2) | 191,987 | 150,196 | ||||||
Banc of America Mortgage Securities | ||||||||
Series 2003-H, Class 2A2, 4.053%, 09-25-2033 (1) | 898,600 | 834,479 | ||||||
Series 2004-D, Class 2A2, 3.038%, 05-25-2034 (1)(a) | 69,416 | 64,210 | ||||||
Series 2005-E, Class 3A1, 3.647%, 06-25-2035 (1) | 232,858 | 207,678 | ||||||
Series 2005-F, Class 2A2, 3.941%, 07-25-2035 (1) | 267,351 | 247,731 | ||||||
Series 2005-J, Class 2A1, 2.447%, 11-25-2035 (1) | 56,369 | 50,757 | ||||||
Series 2007-2, Class A7, 5.500%, 05-25-2037 | 81,930 | 61,418 |
Regan Total Return Income Fund
SCHEDULE OF INVESTMENTS
September 30, 2022
Series 2007-3, Class 1A1, 6.000%, 09-25-2037 | $ | 507,414 | $ | 437,644 | ||||
Series 2006-2, Class A3, 3.684% (1 Month LIBOR USD + 0.600%), 07-25-2046 (2) | 919,415 | 728,221 | ||||||
Series 2006-2, Class A2, 6.000% (1 Month LIBOR USD + 6.000%), 07-25-2046 (2) | 298,359 | 257,195 | ||||||
Bayview Commercial Asset Trust | ||||||||
Series 2006-1A, Class B1, 4.659% (1 Month USD LIBOR + 1.575%), 04-25-2036 (2)(3) | 205,319 | 182,530 | ||||||
BCAP LLC Trust | ||||||||
Series 2008-IND2, Class A2, 3.106%, 04-25-2038 (1) | 998,473 | 779,472 | ||||||
Bear Stearns Ajustable Rate Mortgage Trust | ||||||||
Series 2003-6, Class 1B1, 3.716%, 08-25-2033 (1) | 298,811 | 233,839 | ||||||
Series 2003-8, Class 2A1, 2.082%, 01-25-2034 (1) | 97,491 | 92,435 | ||||||
Bear Stearns Alt-A Trust | ||||||||
Series 2004-5, Class M, 3.218%, 06-25-2034 (1) | 561,287 | 475,811 | ||||||
Series 2005-7, Class 23A1, 3.503%, 09-25-2035 (1) | 261,153 | 118,986 | ||||||
Series 2005-9, Class 26A1, 3.082%, 11-25-2035 (1) | 506,757 | 346,413 | ||||||
Series 2006-5, Class 2A2, 3.652%, 08-25-2036 (1) | 1,317,333 | 721,507 | ||||||
Bear Stearns Asset Backed Securities Trust | ||||||||
Series 2007-AC4, Class A2, 14.406% (1 Month USD LIBOR + 25.200%), 05-25-2037 (2) | 667,538 | 621,687 | ||||||
Charlie Mac | ||||||||
Series 2004-1, Class A8, 3.634% (1 Month USD LIBOR + 0.550%), 08-25-2034 (2) | 32,951 | 29,066 | ||||||
Chase Mortgage Finance Corporation | ||||||||
Series 2005-A1, Class 3A1, 2.958%, 12-25-2035 (1) | 121,312 | 106,529 | ||||||
Series 2007-S1, Class A1, 3.684% (1 Month USD LIBOR + 0.600%), 02-25-2037 (2) | 1,366,021 | 395,833 | ||||||
Series 2007-A1, Class 11M1, 3.377%, 03-25-2037 (1) | 122,321 | 115,277 | ||||||
Series 2007-A3, Class 1A7, 4.041%, 12-25-2037 (1) | 147,912 | 123,953 | ||||||
ChaseFlex Trust | ||||||||
Series 2007-3, Class 1A2, 3.544% (1 Month USD LIBOR + 0.460%), 07-25-2037 (2) | 893,262 | 255,358 | ||||||
Series 2007-M1, Class 1A1, 3.384% (1 Month USD LIBOR + 0.300%), 08-25-2037 (2) | 354,124 | 308,684 | ||||||
CHEVY CHASE MORTGAGE FUNDING CORP. | ||||||||
Series 2005-1A, Class A2, 3.284% (1 Month USD LIBOR + 0.200%), 01-25-2036 (2)(3) | 28,846 | 25,775 | ||||||
Series 2005-2A, Class A2, 3.314% (1 Month USD LIBOR + 0.230%), 05-25-2036 (2)(3) | 154,104 | 133,827 | ||||||
Series 2006-4A, Class A2, 3.264% (1 Month USD LIBOR + 0.180%), 11-25-2047 (2)(3) | 70,408 | 54,157 | ||||||
CIM Trust | ||||||||
Series 2020-INV1, Class A2, 2.500%, 04-25-2050 (1)(3) | 112,869 | 94,370 | ||||||
Citicorp Mortgage Securities, Inc. | ||||||||
Series 2007-5, Class 1A9, 6.000%, 06-25-2037 | 66,613 | 55,552 | ||||||
Citigroup Mortgage Loan Trust Inc | ||||||||
Series 2004-2, Class 1A1, 6.500%, 09-25-2033 (3) | 341,593 | 321,514 | ||||||
Series 2005-9, Class 21A2, 5.500%, 10-25-2035 | 193,733 | 189,257 | ||||||
Series 2006-AR1, Class 2A1, 2.490% (1 Month USD LIBOR + 2.400%), 03-25-2036 (2) | 61,662 | 57,135 | ||||||
Series 2007-OPX1, Class A2, 3.284% (1 Month USD LIBOR + 0.200%), 01-25-2037 (2) | 1,292,185 | 527,930 | ||||||
Series 2007-AR1, Class A4, 3.504% (1 Month USD LIBOR + 0.420%), 01-25-2037 (2) | 5,929,947 | 1,099,372 | ||||||
Series 2007-10, Class 22AA, 3.878%, 09-25-2037 (1) | 33,831 | 30,489 | ||||||
Series 2021-INV2, Class A3A, 2.500%, 05-25-2051 (1)(3) | 351,677 | 280,036 | ||||||
Countrywide Alternative Loan Trust | ||||||||
Series 2005-J1, Class 2A1, 5.500%, 02-25-2025 | 13,939 | 13,430 |
Regan Total Return Income Fund
SCHEDULE OF INVESTMENTS
September 30, 2022
Series 2003-J2, Class M, 6.000%, 10-25-2033 | $ | 187,098 | $ | 165,697 | ||||
Series 2004-28CB, Class 2A5, 3.484% (1 Month USD LIBOR + 0.400%), 01-25-2035 (2) | 213,035 | 202,083 | ||||||
Series 2004-28CB, Class 2A4, 5.750%, 01-25-2035 | 225,778 | 206,427 | ||||||
Series 2005-19CB, Class A2, 10.155% (1 Month USD LIBOR + 16.940%), 06-25-2035 (2) | 71,867 | 58,677 | ||||||
Series 2005-17, Class 2A1, 3.564% (1 Month LIBOR USD + 0.480%), 07-25-2035 (2) | 824,923 | 668,669 | ||||||
Series 2005-J8, Class 1A5, 5.500%, 07-25-2035 | 142,302 | 109,429 | ||||||
Series 2005-27, Class 1A6, 4.314% (1 Month LIBOR USD + 1.230%), 08-25-2035 (2) | 513,300 | 456,770 | ||||||
Series 2005-42CB, Class A1, 3.764% (1 Month LIBOR USD + 0.680%), 10-25-2035 (2) | 3,489,813 | 2,260,001 | ||||||
Series 2005-J10, Class 1A9, 3.784% (1 Month LIBOR USD + 0.700%), 10-25-2035 (2) | 503,396 | 345,155 | ||||||
Series 2005-51, Class 3A2A, 2.394% (12 Month US Treasury Average + 1.290%), 11-20-2035 (2) | 882,682 | 729,657 | ||||||
Series 2005-49CB, Class A7, 5.500%, 11-25-2035 | 703,735 | 489,845 | ||||||
Series 2005-57CB, Class 3A3, 5.500%, 12-25-2035 (a) | 198,512 | 112,358 | ||||||
Series 2006-6CB, Class 2A13, 3.484% (1 Month LIBOR USD + 0.400%), 05-25-2036 (2) | 1,407,339 | 452,263 | ||||||
Series 2006-17T1, Class A1, 6.250%, 06-25-2036 | 896,882 | 382,747 | ||||||
Series 2006-24CB, Class A13, 3.434% (1 Month USD LIBOR + 0.350%), 08-25-2036 (2) | 506,685 | 248,008 | ||||||
Series 2006-24CB, Class A9, 6.000%, 08-25-2036 | 606,512 | 359,308 | ||||||
Series 2006-24CB, Class A22, 6.000%, 08-25-2036 | 463,052 | 274,319 | ||||||
Series 2006-26CB, Class A20, 3.434% (1 Month LIBOR USD + 0.350%), 09-25-2036 (2) | 1,580,950 | 669,874 | ||||||
Series 2006-32CB, Class A3, 6.000%, 11-25-2036 | 380,215 | 236,452 | ||||||
Series 2006-A7, Class 1A12, 6.000%, 12-25-2036 | 319,048 | 261,948 | ||||||
Series 2006-39CB, Class 2A1, 3.534% (1 Month LIBOR USD + 0.450%), 01-25-2037 (2) | 4,004,892 | 458,690 | ||||||
Series 2006-41CB, Class 1A7, 6.000%, 01-25-2037 (a) | 324,127 | 195,125 | ||||||
Series 2007-J1, Class 2A6, 3.684% (1 Month USD LIBOR + 0.600%), 03-25-2037 (2) | 1,796,507 | 536,023 | ||||||
Series 2007-OA2, Class 1A1, 1.944% (1 Month USD LIBOR + 0.840%), 03-25-2047 (2) | 356,409 | 301,046 | ||||||
Series 2007-3T1, Class 1A2, 3.584% (1 Month USD LIBOR + 0.500%), 04-25-2037 (2) | 1,740,303 | 620,331 | ||||||
Series 2007-9T1, Class 1A5, 2.416% (1 Month USD LIBOR + 5.500%), 05-25-2037 (2) | 1,225,555 | 109,691 | ||||||
Series 2007-11T1, Class A35, 3.414% (1 Month LIBOR USD + 0.330%), 05-25-2037 (2) | 3,298,051 | 1,243,139 | ||||||
Series 2007-9T1, Class 1A4, 3.584% (1 Month USD LIBOR + 0.500%), 05-25-2037 (2)(5) | 1,225,555 | 445,641 | ||||||
Series 2007-16CB, Class 1A2, 3.484% (1 Month USD LIBOR + 0.400%), 08-25-2037 (2) | 342,615 | 230,013 | ||||||
Series 2007-22, Class 2A16, 6.500%, 09-25-2037 | 1,087,491 | 470,982 | ||||||
Series 2007-24, Class A7, 2.916% (1 Month USD LIBOR + 6.000%), 10-25-2037 (2)(5) | 226,474 | 32,435 | ||||||
Series 2007-24, Class A6, 4.084% (1 Month USD LIBOR + 1.000%), 10-25-2037 (2) | 226,474 | 59,454 | ||||||
Series 2007-25, Class 1A2, 6.500%, 11-25-2037 | 1,270,516 | 657,445 | ||||||
Series 2006-34, Class A5, 6.250%, 11-25-2046 | 807,467 | 407,031 | ||||||
Series 2006-46, Class A2, 3.604% (1 Month LIBOR USD + 0.520%), 02-25-2047 (2) | 464,323 | 188,308 | ||||||
Series 2007-OH1, Class A1D, 3.294% (1 Month LIBOR USD + 0.210%), 04-25-2047 (2) | 83,496 | 66,422 | ||||||
Countrywide Home Loans | ||||||||
Series 2003-48, Class 2A3, 4.102%, 10-25-2033 (1)(a) | 119,939 | 98,590 | ||||||
Series 2004-J3, Class A7, 5.500%, 05-25-2034 | 94,485 | 87,584 | ||||||
Series 2004-20, Class 2A1, 2.506%, 09-25-2034 (1) | 369,131 | 316,954 | ||||||
Series 2005-2, Class 2A1, 3.724% (1 Month LIBOR USD + 0.640%), 03-25-2035 (2) | 128,726 | 115,892 | ||||||
Series 2005-19, Class 2A1, 3.434% (1 Month USD LIBOR + 0.350%), 08-25-2035 (2) | 349,679 | 83,735 | ||||||
Series 2005-15, Class A5, 5.500%, 08-25-2035 | 481,748 | 286,698 | ||||||
Series 2005-21, Class A2, 5.500%, 10-25-2035 | 205,567 | 134,949 | ||||||
Series 2005-25, Class A17, 5.500%, 11-25-2035 | 402,165 | 212,708 |
Regan Total Return Income Fund
SCHEDULE OF INVESTMENTS
September 30, 2022
Series 2005-31, Class 2A1, 2.449%, 01-25-2036 (1) | $ | 231,623 | $ | 202,771 | ||||
Series 2006-10, Class 1A11, 5.850%, 05-25-2036 | 174,646 | 84,340 | ||||||
Series 2007-1, Class A2, 6.000%, 03-25-2037 | 1,476,525 | 774,311 | ||||||
Series 2007-HY1, Class 1A1, 2.862%, 04-25-2037 (1) | 518,179 | 470,879 | ||||||
Series 2007-3, Class A16, 6.000%, 04-25-2037 | 536,253 | 292,463 | ||||||
Series 2007-10, Class A6, 6.000%, 07-25-2037 (5) | 405,070 | 89,047 | ||||||
Series 2007-17, Class 1A1, 6.000%, 10-25-2037 | 320,319 | 234,209 | ||||||
Credit Suisse First Boston Mortgage Securities | ||||||||
Series 2001-28, Class 1A1, 3.734% (1 Month LIBOR USD + 0.650%), 11-25-2031 (2) | 113,553 | 72,674 | ||||||
Series 2002-9, Class 1A1, 7.000%, 03-25-2032 | 955,492 | 869,828 | ||||||
Series 2002-18, Class 2A1, 7.500%, 06-25-2032 | 112,233 | 102,119 | ||||||
Series 2004-6, Class 4A12, 3.484% (1 Month USD LIBOR + 0.400%), 10-25-2034 (2) | 160,542 | 153,638 | ||||||
Series 2005-7, Class 2A2, 3.384% (1 Month USD LIBOR + 0.300%), 08-25-2035 (2) | 1,095,006 | 460,471 | ||||||
Series 2005-9, Class 1A3, 5.250%, 10-25-2035 | 177,695 | 156,792 | ||||||
Series 2005-10, Class 6A7, 5.500%, 11-25-2035 | 253,869 | 124,770 | ||||||
Series 2005-11, Class 3A5, 5.500%, 12-25-2035 | 196,868 | 99,928 | ||||||
Credit Suisse Mortgage Trust | ||||||||
Series 2013-6, Class 1A1, 2.500%, 07-25-2028 (1)(3) | 53,596 | 49,539 | ||||||
Series 2006-2, Class 6A8, 5.750%, 03-25-2036 | 214,652 | 117,807 | ||||||
Series 2006-6, Class 1A8, 6.000%, 07-25-2036 | 1,301,252 | 714,927 | ||||||
Series 2006-6, Class 1A12, 6.000%, 07-25-2036 | 1,943,223 | 1,067,635 | ||||||
Series 2006-6, Class 2A4, 6.500%, 07-25-2036 | 4,500,307 | 1,336,347 | ||||||
Series 2007-4R, Class 1A1, 5.642%, 10-26-2036 (1)(3) | 79,988 | 67,403 | ||||||
Series 2007-4, Class 2A2, 6.000%, 06-25-2037 | 105,903 | 63,508 | ||||||
Series 2007-5, Class 3A19, 6.000%, 08-25-2037 | 246,304 | 192,458 | ||||||
CSAB Mortgage Backed Trust | ||||||||
Series 2006-1, Class A3, 3.564% (1 Month USD LIBOR + 0.480%), 06-25-2036 (2) | 5,075,126 | 913,328 | ||||||
Series 2007-1, Class 4A1, 3.434% (1 Month LIBOR USD + 0.350%), 05-25-2037 (2) | 8,180,448 | 966,104 | ||||||
Deutsche Alt-A Securities INC Mortgage Loan Trust | ||||||||
Series 2003-1, Class A1, 5.500%, 09-25-2033 | 533,903 | 486,234 | ||||||
Series 2005-4, Class A5, 5.500%, 09-25-2035 (1) | 76,396 | 65,221 | ||||||
Deutsche Mortgage Securities, Inc. | ||||||||
Series 2004-1, Class 3A5, 6.160%, 12-25-2033 (4) | 38,814 | 36,124 | ||||||
Series 2004-5, Class A4B, 6.125%, 07-25-2034 (4) | 44,947 | 42,020 | ||||||
Series 2006-PR1, Class 5AF1, 3.368% (1 Month USD LIBOR + 0.550%), 04-15-2036 (2)(3) | 519,838 | 412,414 | ||||||
First Horizon Alternative Mortgage Securities | ||||||||
Series 2005-AA10, Class 2A1, 2.773%, 12-25-2035 (1) | 200,183 | 166,026 | ||||||
FirstKey Mortgage Trust | ||||||||
Series 2015-1, Class A3, 3.500%, 03-25-2045 (1)(3) | 55,255 | 49,851 | ||||||
Flagstar Mortgage Trust | ||||||||
Series 2018-6RR, Class 2A4, 4.000%, 10-25-2048 (1)(3) | 146,028 | 142,354 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
Series 2005-AR4, Class 2A2, 4.112%, 07-19-2035 (1) | 126,701 | 102,335 | ||||||
GMRF Mortgage Acquisition Co. LLC | ||||||||
Series 2018-1, Class B2, 3.950%, 11-25-2057 (1)(3) | 110,283 | 95,191 |
Regan Total Return Income Fund
SCHEDULE OF INVESTMENTS
September 30, 2022
GSAA Home Equity Trust | ||||||||
Series 2004-NC1, Class AF5, 6.190%, 11-25-2033 (4) | $ | 498,159 | $ | 439,812 | ||||
Series 2005-14, Class A1, 3.784% (1 Month LIBOR USD + 0.700%), 12-25-2035 (2) | 770,008 | 348,225 | ||||||
Series 2006-11, Class 2A1, 3.264% (1 Month LIBOR USD + 0.180%), 07-25-2036 (2) | 484,026 | 123,303 | ||||||
GSMPS Mortgage Loan Trust | ||||||||
Series 2005-RP1, Class 1AF, 3.434% (1 Month LIBOR USD + 0.350%), 01-25-2035 (2)(3)(a) | 36,299 | 30,073 | ||||||
Series 2005-RP3, Class 1AF, 3.434% (1 Month USD LIBOR + 0.350%), 09-25-2035 (2)(3)(a) | 521,038 | 432,462 | ||||||
Series 2006-RP1, Class 1AF2, 3.434% (1 Month LIBOR USD + 0.350%), 01-25-2036 (2)(3) | 682,315 | 568,077 | ||||||
GSR Mortgage Loan Trust | ||||||||
Series 2004-2F, Class 1A4, 5.500%, 01-25-2034 (a) | 30,242 | 27,702 | ||||||
Series 2005-1F, Class 4A1, 3.384% (1 Month USD LIBOR + 0.300%), 01-25-2035 (2) | 383,403 | 352,894 | ||||||
Series 2005-AR6, Class B1, 3.327%, 09-25-2035 (1) | 95,823 | 85,499 | ||||||
Series 2005-AR5, Class 2A3, 3.493%, 10-25-2035 (1) | 24,739 | 15,024 | ||||||
Series 2006-AR1, Class 3A1, 2.741%, 01-25-2036 (1) | 134,023 | 128,683 | ||||||
Series 2006-3F, Class 2A3, 5.750%, 03-25-2036 | 74,422 | 69,631 | ||||||
Series 2006-AR2, Class 3A1, 2.766%, 04-25-2036 (1)(a) | 547,316 | 368,891 | ||||||
Series 2006-7F, Class 4A2, 6.500%, 08-25-2036 | 1,751,718 | 662,756 | ||||||
Series 2006-10F, Class 4A1, 3.434% (1 Month LIBOR USD + 0.350%), 01-25-2037 (2) | 1,695,854 | 237,598 | ||||||
Series 2007-AR2, Class 1A1, 2.979%, 05-25-2037 (1) | 884,764 | 514,987 | ||||||
Series 2007-OA1, Class 2A3A, 3.394% (1 Month USD LIBOR + 0.310%), 05-25-2037 (2) | 478,440 | 352,818 | ||||||
Series 2006-OA1, Class 2A2, 3.604% (1 Month LIBOR USD + 0.520%), 08-25-2046 (2) | 3,309,847 | 1,150,016 | ||||||
HarborView Mortgage Loan Trust | ||||||||
Series 2004-8, Class 2A4A, 3.793% (1 Month USD LIBOR + 0.800%), 11-19-2034 (2) | 297,847 | 276,031 | ||||||
Series 2004-8, Class 2A3, 3.813% (1 Month LIBOR USD + 0.820%), 11-19-2034 (2) | 283,905 | 241,462 | ||||||
Series 2005-14, Class 4A1A, 3.656%, 12-19-2035 (1) | 622,673 | 363,351 | ||||||
Series 2005-14, Class 3A1A, 3.701%, 12-19-2035 (1) | 56,512 | 52,842 | ||||||
Series 2005-16, Class 1A1A, 3.493% (1 Month USD LIBOR + 0.500%), 01-19-2036 (2) | 6,323,972 | 1,925,507 | ||||||
Series 2005-16, Class 3A1A, 3.493% (1 Month LIBOR USD + 0.500%), 01-19-2036 (2) | 2,214,440 | 1,374,428 | ||||||
Series 2006-8, Class 1A1, 3.214% (1 Month LIBOR USD + 0.400%), 07-21-2036 (2) | 800,675 | 426,300 | ||||||
Series 2006-5, Class 2A1A, 3.353% (1 Month USD LIBOR + 0.360%), 07-19-2046 (2) | 1,590,026 | 827,725 | ||||||
Series 2007-4, Class 2A1, 3.213% (1 Month LIBOR USD + 0.220%), 07-19-2047 (2) | 384,302 | 345,449 | ||||||
HSI Asset Loan Obligation | ||||||||
Series 2007-WF1, Class A1, 3.204% (1 Month USD LIBOR + 0.120%), 12-25-2036 (2) | 819,008 | 274,049 | ||||||
Impac CMB Trust | ||||||||
Series 2004-6, Class 2A, 6.060%, 10-25-2034 (4) | 199,705 | 203,654 | ||||||
Series 2004-11, Class 2A1, 3.744% (1 Month USD LIBOR + 0.660%), 03-25-2035 (2)(a) | 34,518 | 31,170 | ||||||
Series 2005-5, Class A1, 3.724% (1 Month LIBOR USD + 0.320%), 08-25-2035 (2) | 543,237 | 502,081 | ||||||
Impac Secured Assets Corp. | ||||||||
Series 2005-2, Class A2D, 3.944% (1 Month USD LIBOR + 0.860%), 03-25-2036 (2) | 55,229 | 46,348 | ||||||
Series 2007-3, Class A1A, 3.304% (1 Month USD LIBOR + 0.220%), 09-25-2037 (2) | 181,808 | 159,698 | ||||||
IndyMac IMJA Mortgage Loan Trust | ||||||||
Series 2007-A1, Class A3, 6.000%, 08-25-2037 | 2,734,928 | 1,185,158 | ||||||
IndyMac IMSC Mortgage Loan Trust | ||||||||
Series 2007-F3, Class 2A1, 6.500%, 09-25-2037 | 27,429 | 16,921 | ||||||
IndyMac INDA Mortgage Loan Trust |
Regan Total Return Income Fund
SCHEDULE OF INVESTMENTS
September 30, 2022
Series 2007-AR1, Class 1A1, 3.014%, 03-25-2037 (1) | $ | 199,439 | $ | 167,489 | ||||
IndyMac INDX Mortgage Loan Trust | ||||||||
Series 2005-AR5, Class 4A1, 2.808%, 05-25-2035 (1) | 350,328 | 260,646 | ||||||
Series 2005-AR5, Class 1A1, 2.811%, 05-25-2035 (1) | 826,905 | 670,385 | ||||||
Series 2006-AR19, Class 4A1, 3.330%, 08-25-2036 (1) | 1,251,415 | 1,107,064 | ||||||
Series 2007-AR21IP, Class 1A2, 3.271%, 11-25-2036 (1) | 72,919 | 66,615 | ||||||
Series 2006-AR37, Class 1A1, 3.227%, 02-25-2037 (1) | 81,092 | 68,142 | ||||||
Series 2007-AR9, Class 2A1, 3.179%, 06-25-2037 (1) | 22,087 | 13,414 | ||||||
J.P. Morgan Alternative Loan Trust | ||||||||
Series 2006-S1, Class 3A5, 5.730%, 03-25-2036 (1) | 46,878 | 44,952 | ||||||
Series 2006-A2, Class 3A1, 2.934%, 05-25-2036 (1) | 124,096 | 77,754 | ||||||
Series 2006-S3, Class A5, 6.920%, 08-25-2036 (4) | 1,113,776 | 839,500 | ||||||
Series 2006-A6, Class 2A6, 2.738%, 11-25-2036 (1) | 1,055,352 | 835,917 | ||||||
Series 2007-A2, Class 2A1, 3.626%, 05-25-2037 (1) | 185,229 | 158,092 | ||||||
JP Morgan Mortgage Trust | ||||||||
Series 2004-A1, Class 5A1, 2.240%, 02-25-2034 (1) | 73,346 | 72,979 | ||||||
Series 2004-A3, Class 1A1, 2.776%, 07-25-2034 (1) | 30,145 | 27,540 | ||||||
Series 2005-A1, Class 3A4, 3.199%, 02-25-2035 (1)(a) | 41,434 | 37,891 | ||||||
Series 2005-A2, Class 2A1, 3.251%, 04-25-2035 (1) | 88,408 | 76,209 | ||||||
Series 2007-A1, Class 5A6, 2.612%, 07-25-2035 (1) | 170,605 | 160,857 | ||||||
Series 2005-A8, Class 1A1, 3.184%, 11-25-2035 (1) | 1,201,222 | 1,005,325 | ||||||
Series 2006-A4, Class 5A1, 3.631%, 06-25-2036 (1) | 146,304 | 111,985 | ||||||
Series 2007-S1, Class 2A22, 5.750%, 03-25-2037 | 311,212 | 139,745 | ||||||
Series 2007-S3, Class 1A18, 3.584% (1 Month USD LIBOR + 0.500%), 08-25-2037 (2) | 879,062 | 321,699 | ||||||
Series 2014-1, Class B3, 3.676%, 01-25-2044 (1)(3) | 63,706 | 54,607 | ||||||
Series 2017-4, Class A3, 3.500%, 11-25-2048 (1)(3) | 7,715 | 7,177 | ||||||
Series 2019-INV1, Class A11, 4.034% (1 Month LIBOR USD + 0.950%), 09-25-2049 (2)(3)(a) | 20,028 | 19,077 | ||||||
Series 2020-LTV1, Class A11, 3.444% (1 Month LIBOR USD + 1.000%), 06-25-2050 (2)(3) | 24,644 | 24,430 | ||||||
Lehman Mortgage Trust | ||||||||
Series 2008-4, Class A1, 3.464% (1 Month LIBOR USD + 0.380%), 01-25-2037 (2) | 3,687,678 | 1,157,238 | ||||||
Series 2007-1, Class 2A3, 3.546% (1 Month USD LIBOR + 6.630%), 02-25-2037 (2)(5) | 1,514,943 | 195,212 | ||||||
Series 2007-3, Class 1A3, 3.384% (1 Month USD LIBOR + 0.300%), 04-25-2037 (2) | 1,517,922 | 396,258 | ||||||
Series 2007-6, Class 1A7, 6.000%, 07-25-2037 | 570,392 | 495,893 | ||||||
Series 2007-7, Class 1A1, 3.584% (1 Month USD LIBOR + 0.500%), 08-25-2037 (2) | 744,855 | 398,990 | ||||||
Series 2007-10, Class 2A1, 6.500%, 01-25-2038 | 1,203,762 | 415,565 | ||||||
Lehman XS Trust | ||||||||
Series 2007-6, Class 1A1, 4.845% (1 Month USD LIBOR + 1.250%), 05-25-2037 (2) | 573,060 | 469,744 | ||||||
MASTR Adjustable Rate Mortgages Trust | ||||||||
Series 2004-4, Class 2A3, 1.931%, 05-25-2034 (1) | 229,990 | 214,175 | ||||||
Series 2005-6, Class 5A1, 2.862%, 07-25-2035 (1) | 172,587 | 154,636 | ||||||
Series 2005-7, Class 3A1, 3.022%, 09-25-2035 (1) | 357,393 | 232,242 | ||||||
Series 2006-2, Class 2A1, 3.209%, 04-25-2036 (1)(a) | 64,812 | 36,684 | ||||||
Series 2006-OA1, Class 1A1, 3.294% (1 Month LIBOR USD + 0.210%), 04-25-2046 (2) | 179,908 | 158,309 | ||||||
MASTR Alternative Loan Trust | ||||||||
Series 2003-4, Class 3A1, 6.000%, 06-25-2033 | 19,783 | 19,580 |
Regan Total Return Income Fund
SCHEDULE OF INVESTMENTS
September 30, 2022
Series 2004-8, Class 1A1, 6.500%, 09-25-2034 | $ | 31,191 | $ | 30,507 | ||||
Series 2005-4, Class 5A1, 6.000%, 05-25-2035 | 764,920 | 649,840 | ||||||
MASTR Alternative Loans Trust | ||||||||
Series 2003-6, Class 3A3, 6.000%, 09-25-2033 | 46,323 | 42,845 | ||||||
Series 2004-12, Class 2A1, 6.500%, 12-25-2034 | 65,939 | 61,691 | ||||||
MASTR Asset Securitization Trust | ||||||||
Series 2006-2, Class 1A14, 6.000%, 06-25-2036 | 136,323 | 93,655 | ||||||
MASTR Resecuritization Trust | ||||||||
Series 2008-1, Class A1, 6.000%, 09-27-2037 (1)(3)(a) | 277,149 | 232,805 | ||||||
Mello Mortgage Capital Acceptance Trust | ||||||||
Series 2021-INV2, Class A4, 2.500%, 08-25-2051 (1)(3) | 47,383 | 40,789 | ||||||
Merrill Lynch Mortgage Backed Securities Trust | ||||||||
Series 2007-2, Class 1A1, 5.880% (1 Month USD LIBOR + 2.400%), 08-25-2036 (2) | 464,032 | 415,831 | ||||||
Morgan Stanley Mortgage Loan Trust | ||||||||
Series 2004-5AR, Class 2A, 2.963%, 07-25-2034 (1) | 33,271 | 31,357 | ||||||
Series 2004-11AR, Class 1A2A, 3.394% (1 Month LIBOR USD + 0.310%), 01-25-2035 (2) | 99,799 | 91,206 | ||||||
Series 2005-4, Class 4A, 4.710%, 08-25-2035 (1) | 37,906 | 19,765 | ||||||
Series 2005-7, Class 7A6, 5.500%, 11-25-2035 | 143,569 | 130,965 | ||||||
Series 2005-9AR, Class 2A, 3.328%, 12-25-2035 (1) | 381,373 | 326,074 | ||||||
Series 2005-10, Class 1A1, 3.784% (1 Month LIBOR USD + 0.700%), 12-25-2035 (2) | 312,013 | 200,546 | ||||||
Series 2005-10, Class 1A5, 5.750%, 12-25-2035 | 30,649 | 22,217 | ||||||
Series 2006-3AR, Class 2A3, 3.295%, 03-25-2036 (1) | 563,123 | 392,910 | ||||||
Series 2006-7, Class 3A, 5.138%, 06-25-2036 (1) | 108,470 | 72,430 | ||||||
Series 2007-14AR, Class 3A3, 2.985%, 10-25-2037 (1) | 576,215 | 506,801 | ||||||
Series 2007-13, Class 6A1, 6.000%, 10-25-2037 | 191,886 | 115,471 | ||||||
Series 2007-10XS, Class A19, 6.000%, 02-25-2047 (1) | 549,283 | 250,122 | ||||||
Morgan Stanley ReRemic Trust | ||||||||
Series 2013-R3, Class 6B2, 3.342%, 12-29-2036 (1)(3) | 370,558 | 329,846 | ||||||
MortgageIT Trust | ||||||||
Series 2005-1, Class 2A, 3.814% (1 Month LIBOR USD + 1.250%), 02-25-2035 (2) | 70,438 | 67,660 | ||||||
New Residential Mortgage Loan Trust | ||||||||
Series 2018-1A, Class B3, 5.000%, 12-25-2057 (1)(3) | 157,391 | 145,961 | ||||||
Nomura Asset Acceptance Corporation | ||||||||
Series 2005-WF1, Class 1A1, 5.675%, 03-25-2035 (1) | 28,924 | 28,220 | ||||||
Series 2007-1, Class 1A1A, 5.995%, 03-25-2047 (4) | 868,317 | 784,749 | ||||||
Series 2007-2, Class A1B, 6.017%, 04-25-2047 (1) | 1,258,027 | 1,031,946 | ||||||
Onslow Bay Financial LLC | ||||||||
Series 2021-INV2, Class A3, 2.500%, 10-25-2051 (1)(3) | 544,278 | 433,403 | ||||||
Series 2020-EXP3, Class 2A1B, 3.984% (1 Month LIBOR USD + 0.900%), 06-25-2060 (2)(3)(a) | 399,908 | 369,115 | ||||||
PHHMC Mortgage Pass Through Certificates | ||||||||
Series 2007-3, Class A3, 4.304%, 06-18-2037 (1) | 8,706 | 8,108 | ||||||
Prime Mortgage Trust | ||||||||
Series 2006-DR1, Class 2A2, 6.000%, 05-25-2035 (3) | 504,662 | 409,629 | ||||||
Series 2005-4, Class 2A9, 5.500%, 10-25-2035 | 193,972 | 164,156 | ||||||
Series 2006-1, Class 3A1, 3.434% (1 Month LIBOR USD + 0.350%), 06-25-2036 (2) | 1,664,884 | 1,164,741 |
Regan Total Return Income Fund
SCHEDULE OF INVESTMENTS
September 30, 2022
PRKCM Trust | ||||||||
Series 2021-AFC2, Class A1, 2.071%, 11-25-2056 (1)(3) | $ | 448,668 | $ | 370,499 | ||||
RAAC Series | ||||||||
Series 2005-SP1, Class 1A1, 5.000%, 09-25-2034 | 141,944 | 126,057 | ||||||
RBSGC Mortgage Pass Through Certificates | ||||||||
Series 2008-A, Class A1, 5.500%, 11-25-2035 (1)(3) | 264,249 | 222,768 | ||||||
RBSSP Resecuritization Trust | ||||||||
Series 2009-12, Class 9A2, 2.905%, 03-26-2036 (1)(3) | 418,100 | 375,392 | ||||||
Residential Accredit Loans, Inc. | ||||||||
Series 2005-QS5, Class A1, 3.484% (1 Month LIBOR USD + 0.400%), 04-25-2035 (2) | 830,054 | 655,679 | ||||||
Series 2005-QS7, Class A1, 5.500%, 06-25-2035 | 418,976 | 355,211 | ||||||
Series 2005-QA9, Class CB11, 3.674%, 08-25-2035 (1) | 129,208 | 114,738 | ||||||
Series 2005-QS13, Class 2A3, 5.750%, 09-25-2035 | 1,207,665 | 1,025,457 | ||||||
Series 2005-QS14, Class 3A3, 6.000%, 09-25-2035 | 428,308 | 369,875 | ||||||
Series 2006-QS2, Class 1A17, 3.564% (1 Month LIBOR USD + 0.480%), 02-25-2036 (2) | 597,184 | 458,130 | ||||||
Series 2006-QS2, Class 1A7, 6.000%, 02-25-2036 (a)(5) | 293,769 | 45,240 | ||||||
Series 2006-QS4, Class A8, 8.000% (1 Month USD LIBOR + 5,143.000%), 04-25-2036 (2) | 72,249 | 62,591 | ||||||
Series 2006-QS8, Class A1, 6.000%, 08-25-2036 | 846,121 | 664,652 | ||||||
Series 2007-QS1, Class 2A2, 3.444% (1 Month LIBOR USD + 0.360%), 01-25-2037 (2) | 694,525 | 510,094 | ||||||
Series 2007-QS1, Class 1A5, 3.634% (1 Month LIBOR USD + 0.550%), 01-25-2037 (2) | 2,954,081 | 2,253,939 | ||||||
Series 2007-QS8, Class A3, 3.684% (1 Month USD LIBOR + 0.600%), 06-25-2037 (2) | 308,686 | 238,528 | ||||||
Residential Asset Securitization Trust | ||||||||
Series 2005-A15, Class 2A12, 6.000%, 02-25-2036 | 740,404 | 338,486 | ||||||
Series 2005-A15, Class 4A1, 6.000%, 02-25-2036 | 2,301,487 | 791,226 | ||||||
Series 2006-A2, Class A7, 6.000%, 05-25-2036 | 858,336 | 377,554 | ||||||
Series 2006-A7CB, Class 2A5, 3.334% (1 Month USD LIBOR + 0.250%), 07-25-2036 (2) | 426,729 | 54,932 | ||||||
Series 2006-A8, Class 3A8, 3.834% (1 Month LIBOR USD + 0.750%), 08-25-2036 (2) | 508,189 | 213,100 | ||||||
Series 2006-A8, Class 2A2, 6.750%, 08-25-2036 | 1,360,176 | 459,950 | ||||||
Series 2006-A10, Class A4, 6.500%, 09-25-2036 | 524,584 | 207,927 | ||||||
Series 2006-A10, Class A5, 6.500%, 09-25-2036 | 310,517 | 123,078 | ||||||
Series 2007-A3, Class 1A1, 3.534% (1 Month USD LIBOR + 0.450%), 04-25-2037 (2) | 1,996,961 | 790,672 | ||||||
Series 2006-A2, Class A11, 6.000%, 01-25-2046 | 1,714,467 | 757,657 | ||||||
Residential Funding Mtg Sec I | ||||||||
Series 2007-SA3, Class 2A1, 4.567%, 07-25-2037 (1) | 518,977 | 420,231 | ||||||
Series 2007-SA4, Class 3A1, 4.848%, 10-25-2037 (1) | 117,519 | 87,932 | ||||||
Salomon Brothers Mortgage Securities VII | ||||||||
Series 1997-HUD1, Class A4, 3.138%, 12-25-2030 (1)(a) | 230,383 | 155,532 | ||||||
Sequoia Mortgage Trust | ||||||||
Series 2004-11, Class A3, 3.593% (1 Month USD LIBOR + 0.600%), 12-20-2034 (2) | 4,645 | 4,634 | ||||||
Series 2007-3, Class 2BA1, 3.219%, 07-20-2037 (1) | 29,029 | 22,167 | ||||||
Series 2013-5, Class A1, 2.500%, 05-25-2043 (1)(3) | 246,756 | 209,401 | ||||||
Series 2013-9, Class AP, , 07-25-2043 (2)(3)(6) | 256,281 | 183,425 | ||||||
Series 2014-1, Class 2A5, 4.000%, 04-25-2044 (1)(3) | 104,842 | 103,872 | ||||||
Series 2015-3, Class A1, 3.500%, 07-25-2045 (1)(3) | 542,312 | 486,493 | ||||||
Structured Adjustable Rate Mortgage Loan Trust |
Regan Total Return Income Fund
SCHEDULE OF INVESTMENTS
September 30, 2022
Series 2005-17, Class 5A1, 3.677%, 08-25-2035 (1) | $ | 526,662 | $ | 316,459 | ||||
Series 2005-18, Class 1A1, 3.663%, 09-25-2035 (1) | 766,991 | 594,495 | ||||||
Series 2005-20, Class 1A1, 3.511%, 10-25-2035 (1) | 803,474 | 730,478 | ||||||
Series 2005-23, Class 3A1, 3.361%, 01-25-2036 (1) | 97,394 | 62,403 | ||||||
Series 2007-3, Class 2A1, 3.303%, 04-25-2037 (1) | 368,546 | 347,914 | ||||||
Structured Asset Mortgage Investments Inc | ||||||||
Series 2005-AR5, Class A2, 3.493% (1 Month LIBOR USD + 0.500%), 07-19-2035 (2) | 139,285 | 130,377 | ||||||
Series 2006-AR3, Class 22A1, 2.891%, 05-25-2036 (1) | 439,343 | 244,657 | ||||||
Series 2006-AR5, Class 3A1, 3.504% (1 Month LIBOR USD + 0.420%), 05-25-2036 (2) | 2,036,608 | 839,089 | ||||||
Series 2006-AR5, Class 1A1, 3.504% (1 Month USD LIBOR + 0.420%), 05-25-2036 (2) | 138,923 | 107,091 | ||||||
Structured Asset Securities Corporation | ||||||||
Series 2003-37A, Class 2A, 3.156%, 12-25-2033 | 53,659 | 51,614 | ||||||
Suntrust Adjustable Rate Mortgage Loan Trust | ||||||||
Series 2007-2, Class 2A1, 2.664%, 04-25-2037 (1) | 172,998 | 111,146 | ||||||
Series 2007-4, Class 2A1, 3.636%, 10-25-2037 (1) | 144,642 | 115,475 | ||||||
TBW Mortgage Backed Pass Through Certificates | ||||||||
Series 2006-3, Class 2A1, 6.500%, 07-25-2036 | 879,973 | 346,433 | ||||||
Thornburg Mortgage Securities Trust | ||||||||
Series 2005-1, Class A2, 2.094%, 04-25-2045 (1)(a) | 204,440 | 186,552 | ||||||
TIAA Bank Mortgage Loan Trust | ||||||||
Series 2018-3, Class A13, 4.000%, 11-25-2048 (1)(3) | 175,137 | 163,989 | ||||||
WAMU Mortgage Pass-Through Certificates | ||||||||
Series 2004-S1, Class 1A11, 5.500%, 03-25-2034 | 36,342 | 32,820 | ||||||
Series 2004-S2, Class 2A4, 5.500%, 06-25-2034 | 141,274 | 135,968 | ||||||
Series 2004-AR9, Class B1, 3.911%, 08-25-2034 (1) | 192,731 | 180,562 | ||||||
Series 2004-A11, Class A, 4.141%, 10-25-2034 (1) | 156,241 | 144,095 | ||||||
Series 2004-CB3, Class 1A, 6.000%, 10-25-2034 | 47,905 | 46,220 | ||||||
Series 2005-AR5, Class A6, 3.311%, 05-25-2035 (1) | 132,767 | 124,336 | ||||||
Series 2005-AR12, Class 1A4, 3.803%, 10-25-2035 (1) | 33,791 | 31,822 | ||||||
Series 2006-AR2, Class 2A1, 3.220%, 03-25-2036 (1) | 99,649 | 89,985 | ||||||
Series 2006-AR14, Class 2A3, 2.611%, 11-25-2036 (1) | 124,035 | 112,070 | ||||||
Series 2007-HY1, Class 1A1, 2.781%, 02-25-2037 (1) | 187,798 | 165,857 | ||||||
Series 2005-AR2, Class 2A3, 3.784% (1 Month LIBOR USD + 0.700%), 01-25-2045 (2) | 70,064 | 67,468 | ||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates | ||||||||
Series 2005-1, Class 1A1, 5.500%, 03-25-2035 | 236,144 | 212,296 | ||||||
Series 2005-7, Class 2CB4, 5.500%, 08-25-2035 | 588,816 | 554,188 | ||||||
Series 2006-4, Class 3A3, 6.467%, 05-25-2036 (4) | 221,689 | 190,434 | ||||||
Series 2006-AR10, Class A2B, 3.504% (1 Month USD LIBOR + 0.420%), 12-25-2036 (2) | 663,169 | 92,539 | ||||||
Wells Fargo Alternative Loan Trust | ||||||||
Series 2007-PA3, Class 1A4, 5.750%, 07-25-2037 | 306,254 | 253,710 | ||||||
Series 2007-PA6, Class A1, 3.864%, 12-28-2037 (1)(a) | 122,334 | 104,412 | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
Series 2006-AR12, Class 2A1, 4.441%, 09-25-2036 (1) | 89,825 | 85,828 | ||||||
Series 2006-AR14, Class 2A3, 4.363%, 10-25-2036 (1) | 77,403 | 72,676 | ||||||
Series 2018-1, Class A1, 3.500%, 07-25-2047 (1)(3) | 32,013 | 27,798 |
Regan Total Return Income Fund
SCHEDULE OF INVESTMENTS
September 30, 2022
Series 2021-INV1, Class A2, 2.500%, 08-25-2051 (1)(3) | $ | 88,694 | $ | 70,626 | ||||
Winwater Mortgage Loan Trust | ||||||||
Series 2015-A, Class A3, 3.500%, 06-20-2045 (1)(3) | 257,223 | 232,882 | ||||||
Yale Mortgage Loan Trust | ||||||||
Series 2007-1, Class A, 3.484% (1 Month USD LIBOR + 0.400%), 06-25-2037 (2)(3) | 84,534 | 28,677 | ||||||
TOTAL MORTGAGE BACKED SECURITIES - NON-AGENCY | ||||||||
(Cost $107,822,217) | 97,565,759 | |||||||
MORTGAGE BACKED SECURITIES - U.S. GOVERNMENT AGENCY ― 2.1% | ||||||||
FannieMae Grantor Trust | ||||||||
Series 2004-T5, Class A13, 3.044%, 05-28-2035 (1) | 1,012,578 | 952,071 | ||||||
Series 2004-T5, Class AB7, 2.944%, 05-28-2035 (1) | 395,119 | 357,480 | ||||||
Series 2002-T4, Class A3, 7.500%, 12-25-2041 | 163,466 | 174,614 | ||||||
Series 2002-T16, Class A4, 4.487%, 05-25-2042 (1) | 23,816 | 23,261 | ||||||
FannieMae Whole Loan | ||||||||
Series 2002-W8, Class A2, 7.000%, 06-25-2042 | 168,057 | 177,798 | ||||||
FHLMC Structured Pass Through Securities | ||||||||
Series T-076, Class 2A, 1.949%, 10-25-2037 (1) | 255,097 | 234,434 | ||||||
Series T-042, Class A5, 7.500%, 02-25-2042 | 155,750 | 160,033 | ||||||
Series T-063, Class 1A1, 2.059% (12 Month US Treasury Average + 1.200%), 02-25-2045 (2)(a) | 75,179 | 71,661 | ||||||
Freddie Mac | ||||||||
Series 4076, Class QB, 1.750%, 11-15-2041 | 141,840 | 134,201 | ||||||
Series 5020, Class HA, 1.000%, 08-25-2050 | 987,240 | 762,838 | ||||||
Freddie Mac Whole Loan Securities Trust | ||||||||
Series 2017-SC02, Class 2A, 3.500%, 05-25-2047 | 28,903 | 27,170 | ||||||
Government National Mortgage Association | ||||||||
Series 2011-43, Class ZQ, 5.500%, 01-16-2033 | 499,286 | 499,799 | ||||||
Series 2016-51, Class BO, 04-20-2046 (6) | 161,640 | 114,485 | ||||||
Series 2016-H03, Class FB, 3.007% (1 Month USD LIBOR + 0.650%), 01-20-2066 (2) | 51,842 | 51,501 | ||||||
Series 2019-043, Class SQ, 3.036% (1 Month LIBOR USD + 6.050%), 04-20-2049 (2)(5) | 3,369,684 | 194,781 | ||||||
TOTAL MORTGAGE BACKED SECURITIES - U.S. GOVERNMENT AGENCY | ||||||||
(Cost $4,136,004) | 3,936,127 | |||||||
MORTGAGE SECURED NOTE ― 0.4% | ||||||||
KORTH DIRECT MORTGAGE | ||||||||
Series B, 12.500%, 01-25-2027 (2)(3)(a) | 800,000 | 800,000 | ||||||
TOTAL MORTGAGE SECURED NOTE | ||||||||
(Cost $800,000) | 800,000 |
Regan Total Return Income Fund
SCHEDULE OF INVESTMENTS
September 30, 2022
SHORT TERM INVESTMENTS ― 14.9% | ||||||||
MONEY MARKET FUNDS ― 0.8% | ||||||||
First American Treasury Obligations Fund - 2.875% (b) | $ | 1,561,961 | $ | 1,561,961 | ||||
TOTAL MONEY MARKET FUNDS | ||||||||
(cost $1,561,961) | 1,561,961 | |||||||
US TREASURY BILLS ― 14.1% | ||||||||
0%, 12-8-2022 | 1,500,000 | 1,491,801 | ||||||
0%, 1-26-2023 | 10,000,000 | 9,892,183 | ||||||
0%, 3-16-2023 | 10,000,000 | 9,832,766 | ||||||
0%, 3-2-2023 | 5,000,000 | 4,923,104 | ||||||
TOTAL US TREASURY BILLS | ||||||||
(cost $26,226,673) | 26,139,854 | |||||||
TOTAL SHORT TERM INVESTMENTS | ||||||||
(Cost $27,788,634) | 27,701,815 | |||||||
TOTAL INVESTMENTS ― 98.6% | ||||||||
(Cost $196,896,794) | 183,061,406 | |||||||
Other Assets in Excess of Liabilities ― 1.4% | 2,569,217 | |||||||
TOTAL NET ASSETS ― 100.0% | $ | 185,630,623 |
(1) | Variable Rate Security. The Coupon is based on an underlying pool of loans and represents the rate in effect as of September 30, 2022. |
(2) | Floating Rate Security based on a reference index and spread. The rate reported is the rate in effect as of September 30, 2022. |
(3) | Restricted security deemed liquid. The total market value of these securities was $21,784,570 (11.74% of total net assets) as of September 30, 2022. |
(4) | Step-up bond. The interest rate will step up if the issuer does not redeem the bond by an expected redemption date. The interest rate shown is the rate in effect as of September 30, 2022. |
(5) | Interest only factor based debt instrument. |
(6) | Principal only factor based debt instrument. |
(a) | Value determined using unobservable inputs. |
(b) | The rate quoted is the annualized seven-day effective yield as of September 30, 2022. |
The accompanying notes are an integral part of these financial statements.
Regan Total Return Income Fund
STATEMENT OF ASSETS AND LIABILITIES
September 30, 2022
Assets | ||||
Investments, at value (cost $196,896,794) | $ | 183,061,406 | ||
Interest Receivable | 855,519 | |||
Receivable for capital shares sold | 962,813 | |||
Receivable for investments sold | 649,167 | |||
Receivable from Custody | 341,554 | |||
Other assets | 52,444 | |||
Total Assets | 185,922,903 | |||
Liabilities | ||||
Payable for capital shares redeemed | 16,634 | |||
Payable for investments purchased | 46,095 | |||
Distribution fees - Investor Class | 1,295 | |||
Payable to Advisor | 87,150 | |||
Payable for professional fees | 16,558 | |||
Payable for administration and accounting | 57,718 | |||
Payable for directors fees | 308 | |||
Payable to custodian | 4,987 | |||
Payable for transfer agent fees | 24,591 | |||
Accrued Shareholder Servicing Fees | 18,695 | |||
Accrued expenses and other liabilities | 18,249 | |||
Total Liabilities | 292,280 | |||
Net Assets | $ | 185,630,623 | ||
Components of Net Assets | ||||
Paid-in capital | $ | 182,218,712 | ||
Total distributable earnings | 3,411,911 | |||
Net Assets | $ | 185,630,623 | ||
Institutional Class: | ||||
Net assets | $ | 180,600,105 | ||
Shares outstanding (unlimited number of shares authorized, no par value) | 19,448,674 | |||
Net asset value, offering and redemption price per share | $ | 9.29 | ||
Investor Class: | ||||
Net assets | $ | 5,030,518 | ||
Shares outstanding (unlimited number of shares authorized, no par value) | 537,604 | |||
Net asset value, offering and redemption price per share | $ | 9.36 |
The accompanying notes are an integral part of these financial statements.
Regan Total Return Income Fund
For the Period Ended September 30, 2022
Investment Income | ||||
Interest income | $ | 11,165,180 | ||
Expenses | ||||
Advisory fees | 1,116,250 | |||
Administration fees (Note 3) | 207,051 | |||
Shareholder servicing fees (Note 6) | 121,631 | |||
Transfer agent fees and expenses (Note 3) | 98,092 | |||
Registration fees | 76,359 | |||
Custody fees (Note 3) | 28,302 | |||
Legal fees | 28,211 | |||
Audit fees | 22,575 | |||
Trustees’ fees | 17,170 | |||
Shareholder reporting fees | 13,543 | |||
Compliance fees (Note 3) | 12,001 | |||
Miscellaneous expenses | 6,989 | |||
Distribution fees - Investor Class (Note 7) | 5,809 | |||
Insurance expense | 5,780 | |||
Total Expenses | 1,759,763 | |||
Expenses waived and reimbursed by the Adviser (Note 3) | (128,004 | ) | ||
Net Expenses | 1,631,759 | |||
Net Investment Income | 9,533,421 | |||
Realized and Unrealized Gain (Loss) on Investments | ||||
Net realized loss on Investments | (397,007 | ) | ||
Change in unrealized appreciation/depreciation on investments | (13,120,688 | ) | ||
Net Realized and Unrealized Loss on Investments | (13,517,695 | ) | ||
Net decrease in Net Assets from Operations | $ | (3,984,274 | ) |
The accompanying notes are an integral part of these financial statements.
Regan Total Return Income Fund
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended September 30, 2022 | Year Ended September 30, 2021* | |||||||
Operations | ||||||||
Net investment income | $ | 9,533,421 | $ | 1,796,779 | ||||
Net realized gain (loss) on investments | (397,007 | ) | 278,131 | |||||
Change in unrealized appreciation/depreciation on investments | (13,120,688 | ) | (714,700 | ) | ||||
Net increase (decrease) in Net Assets from Operations | (3,984,274 | ) | 1,360,210 | |||||
Distributions to Shareholders | ||||||||
From distributable earnings | ||||||||
Institutional Class | (6,759,171 | ) | (1,538,444 | )(1) | ||||
Investor Class | (141,976 | ) | (32,029 | )(1) | ||||
Return of Capital | ||||||||
Institutional Class | (3,094,686 | ) | (545,053 | )(1) | ||||
Investor Class | (65,004 | ) | (11,348 | )(1) | ||||
Total Distributions to Shareholders | (10,060,837 | ) | (2,126,874 | ) | ||||
Capital Share Transactions | ||||||||
Proceeds from shares sold | ||||||||
Institutional Class | 222,169,607 | 61,980,903 | ||||||
Investor Class | 7,584,807 | 795,977 | ||||||
Proceeds from shares reinvested | ||||||||
Institutional Class | 8,084,876 | 1,876,695 | ||||||
Investor Class | 196,460 | 37,961 | ||||||
Cost of shares redeemed | ||||||||
Institutional Class | (88,176,330 | ) | (10,810,252 | ) | ||||
Investor Class | (3,282,123 | ) | (16,183 | ) | ||||
Net Increase in Net Assets from Capital Share Transactions | 146,577,297 | 53,865,101 | ||||||
Total Increase in Net Assets | 132,532,186 | 53,098,437 | ||||||
Net Assets | ||||||||
Beginning of year | 53,098,437 | — | ||||||
End of year | $ | 185,630,623 | $ | 53,098,437 |
* | The inception date of the Fund is October 1, 2020. |
(1) | Amount does not accord to the Fund’s annual report dated September 30, 2021 due to revisions to the tax characterization of distributions that were made after the issuance of the annual report. The revisions were the result of the Fund’s election to defer accretion on market discount until disposition. |
Regan Total Return Income Fund
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
Year Ended September 30, 2022 | Year Ended September 30, 2021* | |||||||
Capital Shares Transactions | ||||||||
Institutional Class | ||||||||
Shares Sold | 22,601,401 | 5,944,500 | ||||||
Shares reinvested | 837,743 | 182,918 | ||||||
Shares redeemed | (9,081,969 | ) | (1,035,919 | ) | ||||
Net increase in shares outstanding | 14,357,175 | 5,091,499 | ||||||
Investor Class | ||||||||
Shares Sold | 765,762 | 76,600 | ||||||
Shares reinvested | 20,197 | 3,671 | ||||||
Shares redeemed | (327,074 | ) | (1,552 | ) | ||||
Net increase in shares outstanding | 458,885 | 78,719 |
* | The inception date of the Fund is October 1, 2020. |
The accompanying notes are an integral part of these financial statements.
Regan Total Return Income Fund
Financial Highlights
Institutional Class
For a Capital Share Outstanding Throughout Each Year Presented:
For the Year Ended September 30, 2022 | For the Year Ended September 30, 2021 (1) | |||||||
Net Asset Value, Beginning of Year | $ | 10.27 | $ | 10.00 | ||||
Gain from Investment Operations: | ||||||||
Net investment income (2) | 0.74 | 0.95 | ||||||
Net realized and unrealized gain (loss) on investments | (0.89 | ) | 0.49 | |||||
Total Gain from Investment Operations | (0.15 | ) | 1.44 | |||||
Less Distributions: | ||||||||
From net investment income | (0.45 | ) | (0.82 | )(3) | ||||
From net realized gain on investments | (0.02 | ) | (0.06 | ) | ||||
From return of capital | (0.36 | ) | (0.29 | )(3) | ||||
Total Distributions | (0.83 | ) | (1.17 | ) | ||||
Net Asset Value, End of Year | $ | 9.29 | $ | 10.27 | ||||
Total Return | (1.65 | )% | 14.96 | % | ||||
Supplemental Data and Ratios: | ||||||||
Net assets, end of year (in thousands) | $ | 180,600 | $ | 52,283 | ||||
Ratio of expenses to average net assets | ||||||||
Before fees waived and reimbursed by the Adviser | 1.40 | % | 2.56 | % | ||||
After fees waived and reimbursed by the Adviser | 1.30 | % | 1.28 | % | ||||
Ratio of net investment income to average net assets | ||||||||
After fees waived and reimbursed by the Adviser | 7.61 | % | 9.15 | % | ||||
Portfolio turnover rate | 62.88 | % | 88.09 | % |
(1) | Inception date of the Fund was October 1, 2020. |
(2) | Per share amounts have been calculated using the average shares method. |
(3) | Amount does not accord to the Fund’s annual report dated September 30, 2021 due to revisions to the tax characterization of distributions that were made after the issuance of the annual report. The revisions were the result of the Fund’s election to defer accretion on market discount until disposition. |
The accompanying notes are an integral part of these financial statements.
Regan Total Return Income Fund
Financial Highlights
Investor Class
For a Capital Share Outstanding Throughout Each Year Presented:
For the Year Ended September 30, 2022 | For the Year Ended September 30, 2021 (1) | |||||||
Net Asset Value, Beginning of Year | $ | 10.36 | $ | 10.00 | ||||
Gain from Investment Operations: | 0.72 | 1.03 | ||||||
Net investment income (2) | ||||||||
Net realized and unrealized gain (loss) on investments | (0.90 | ) | 0.41 | |||||
Total Gain from Investment Operations | (0.18 | ) | 1.44 | |||||
Less Distributions: | ||||||||
From net investment income | (0.44 | ) | (0.75 | )(3) | ||||
From net realized gain on investments | (0.02 | ) | (0.06 | ) | ||||
From return of capital | (0.36 | ) | (0.27 | )(3) | ||||
Total distributions | (0.82 | ) | (1.08 | ) | ||||
Net Asset Value, End of Year | $ | 9.36 | $ | 10.36 | ||||
Total Return | (1.91 | )% | 14.72 | % | ||||
Supplemental Data and Ratios: | ||||||||
Net assets, end of year (in thousands) | $ | 5,031 | $ | 816 | ||||
Ratio of expenses to average net assets | ||||||||
Before fees waived and reimbursed by the Adviser | 1.67 | % | 5.23 | % | ||||
After fees waived and reimbursed by the Adviser | 1.54 | % | 1.53 | % | ||||
Ratio of net investment income to average net assets | ||||||||
After fees waived and reimbursed by the Adviser | 7.36 | % | 9.89 | % | ||||
Portfolio turnover rate | 62.88 | % | 88.09 | % |
(1) | Inception date of the Fund was October 1, 2020. |
(2) | Per share amounts have been calculated using the average shares method. |
(3) | Amount does not accord to the Fund’s annual report dated September 30, 2021 due to revisions to the tax characterization of distributions that were made after the issuance of the annual report. The revisions were the result of the Fund’s election to defer accretion on market discount until disposition. |
The accompanying notes are an integral part of these financial statements.
Regan Total Return Income Fund
Notes to Financial Statements
September 30, 2022
NOTE 1 – ORGANIZATION
Regan Total Return Income Fund (the “Fund”) is a diversified series of Trust for Advised Portfolios (the “Trust”). The Trust, a Delaware Statutory Trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end investment management company. Regan Capital LLC (the “Adviser”) serves as the investment manager to the Fund. The inception date of the Fund was October 1, 2020. The investment objective of the Fund is to provide a high level of risk-adjusted current income and capital appreciation.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Fund in preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for investment companies. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies in the Financial Accounting Standards Board Accounting Standards Codification Topic 946. The presentation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the period. Actual results may differ from those estimates.
A. Securities Valuation
Portfolio securities are valued using current market values or official closing prices, if available. When reliable market quotations are not readily available or a pricing service does not provide a valuation (or provides a valuation that in the judgment of the Adviser does not represent the security’s fair value) or when, in the judgment of the Adviser, events have rendered the market value unreliable, a security is fair valued in good faith by the Adviser under procedures approved by the Board. Valuing securities at fair value is intended to ensure that the Fund is accurately priced and involves reliance on judgment. There can be no assurance that the Fund will obtain the fair value assigned to a security if it were to sell the security at approximately the time at which the Fund determines its NAV per share.
The Fund follows a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Fund’s own market assumptions (unobservable inputs). The inputs or methodology used in determining the value of each Fund’s investments are not necessarily an indication of the risk associated with investing in those securities.
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized into three broad categories as defined below:
Level 1 - Quoted prices in active markets for identical securities. An active market for a security is a market in which transactions occur with sufficient frequency and volume to provide pricing information on an ongoing basis. A quoted price in an active market provides the most reliable evidence of fair value.
Regan Total Return Income Fund
Notes to Financial Statements
September 30, 2022
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES (Continued)
Level 2 - Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data.
Level 3 - Significant unobservable inputs, including the Fund’s own assumptions in determining fair value of investments.
Equity securities that are traded on a national securities exchange are stated at the last reported sales price on the day of valuation. To the extent these securities are actively traded, and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.
Short-term investments classified as money market instruments are valued at NAV. These investments are categorized as Level 1 of the fair value hierarchy.
Debt securities, including corporate, convertible, U.S. government agencies, U.S. treasury obligations, and sovereign issues, are normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risk/spreads and default rates. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Mortgage- and asset-backed securities are securities issued as separate tranches, or classes, of securities within each deal. These securities are normally valued by independent pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, estimated cash flows and market -based yield spreads for each tranche, current market data and incorporate deal collateral performance, as available.
Depending on the relative significance of the valuation inputs, fair valued securities may be classified in either level 2 or level 3 of the fair value hierarchy.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the fair values of the Fund’s investments in each category investment type as of September 30, 2022:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 52,741,622 | $ | 316,083 | $ | 53,057,705 | ||||||||
Mortgage Backed Securities – Non-Agency | — | 94,923,370 | 2,642,389 | 97,565,759 | ||||||||||||
Mortgage Backed Securities – Agency | — | 3,864,466 | 71,661 | 3,936,127 | ||||||||||||
Mortgage Secured Note | — | — | 800,000 | 800,000 | ||||||||||||
Short Term Investments | 1,561,961 | 26,139,854 | — | 27,701,815 | ||||||||||||
Total | $ | 1,561,961 | $ | 177,669,312 | $ | 3,830,133 | $ | 183,061,406 |
Regan Total Return Income Fund
Notes to Financial Statements
September 30, 2022
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES (Continued)
Please refer to the Schedule of Investments for further classification.
U.S. Government agency securities are comprised of two main categories consisting of agency issued debt and mortgage pass-throughs. Agency issued debt securities are generally valued in a manner similar to U.S. Government securities. Mortgage pass-throughs include to-be announced (“TBAs”) securities and mortgage pass-through certificates. TBA securities and mortgage pass-throughs are generally valued using dealer quotations.
The independent pricing service does not distinguish between smaller-sized bond positions, known as “odd lots”, and larger institutional-sized bond positions, known as “round lots”. The Adviser reviews pricing from the independent pricing service relative to odd lot acquisitions. If the vendor price is more than 3% greater than the acquisition price of the odd lot, cost is initially used to value the position. The Adviser monitors market levels and the vendor pricing daily, and will employ the vendor’s price when the Adviser believes it represents fair value, or if additional purchases of a security result in a round lot position. The Adviser also monitors current market levels for odd lot positions and updates fair valuations if material differences are observed.
Odd lot securities valued at cost are classified as level 2 when acquired within 30 days of the reporting date; odd lot positions acquired more than 30 days prior to the reporting date and valued at cost are classified as level 3.
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.
Asset Backed Securities | Mortgage Backed Securities – Non- Agency | Mortgage Backed Securities – Agency | Mortgage Secured Note | |||||||||||||
Balance at September 30, 2021 | $ | 633,740 | $ | 929,692 | $ | — | $ | — | ||||||||
Purchased | 1,056,536 | 3,313,506 | 73,566 | 800,000 | ||||||||||||
Accrued discounts/premiums | 81,925 | 69,854 | — | — | ||||||||||||
Sale/Paydown Proceeds | (291,290 | ) | (850,585 | ) | (1,998 | ) | — | |||||||||
Realized Gain (Loss) | 34,122 | 38,543 | 93 | — | ||||||||||||
Change in unrealized Appreciation (depreciation) | (213,794 | ) | (86,489 | ) | — | — | ||||||||||
Transfers from Level 3(1) | (985,156 | ) | (772,132 | ) | — | — | ||||||||||
Balance at September 30, 2022 | $ | 316,083 | $ | 2,642,389 | $ | 71,661 | $ | 800,000 |
(1) | Transfers from Level 3 to Level 2 relate to securities that began the period valued at cost, but became valued by a third party pricing service during the period. The Adviser believes that the value from the pricing service represents the fair value of each security for which the transfer occurred. |
Regan Total Return Income Fund
Notes to Financial Statements
September 30, 2022
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES (Continued)
The change in unrealized appreciation/(depreciation) for Level 3 securities still held at September 30, 2022 was $(46,816).
The following is a summary of quantitative information about Level 3 valued measurements:
Regan Total Return Income Fund
Value at September 30, 2022 | Valuation Technique(s) | |||||
Asset Backed Securities | $ | 316,083 | Acquisition Cost | |||
Mortgage Backed Securities – Agency | $ | 71,661 | Acquisition Cost | |||
Mortgage Backed Securities – Non-Agency | $ | 2,642,389 | Acquisition Cost | |||
Mortgage Secured Note | $ | 800,000 | Acquisition Cost |
The Fund invests in distressed debt securities, which are securities that are priced below $50. In accordance with GAAP, the ultimate realizable value and potential for early retirement of securities is considered when determining the yield. If current values of debt securities decline significantly from the issue price, computed yields may be higher than rates expected to be ultimately realized. To avoid unsound yield information being presented in the Fund’s financial statements, consideration is given to capping yields of individual securities at a reasonable level. The Fund’s Adviser performs a periodic assessment of the yields for these distressed securities and adjustments are made to the income and cost of these securities on the Fund’s financial statements.
B. Security Transactions, Investment Income and Distributions
The Fund records security transactions based on trade date. Realized gains and losses on sales of securities are calculated by comparing the original cost of the specifically identified security lot sold with the net sales proceeds. Dividend income is recognized on the ex-dividend date, and interest income is recognized on an accrual basis. Withholding taxes on foreign dividends have been provided for in accordance with the Trust’s understanding of the applicable country’s tax rules and rates.
C. Distributions to Shareholders
Distributions from net investment income, if any, are declared at least quarterly. Distributions of net realized gains, if any, are declared at least annually. Distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with income tax regulations. The Fund may periodically make reclassifications among certain income and capital gains distributions determined in accordance with federal tax regulations, which may differ from U.S. GAAP. These reclassifications are due to differences in the recognition of income, expense and gain (loss) items for financial statement and tax purposes.
D. Federal Income Taxes
The Fund has elected to be taxed as Regulated Investment Companies (“RIC”) under the U.S. Internal Revenue Code of 1986, as amended, and intend to maintain this qualification and to distribute substantially all of their net taxable income to their shareholders. Therefore, no provision is made for federal income taxes. Due to the timing of dividend distributions (if any) and the differences in accounting for income and realized gains and losses for financial statement and federal income tax purposes, the fiscal year in which amounts are distributed may differ from the year in which the income and realized gains and losses are recorded by the Fund.
Regan Total Return Income Fund
Notes to Financial Statements
September 30, 2022
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES (Continued)
Management of the Fund is required to analyze all open tax years, as defined by IRS statute of limitations for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of and during the period ended September 30, 2022, the Fund did not have a liability for any unrecognized tax benefits. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as interest expense and other expense for penalties in the statement of operations. During the period, the Fund did not incur any interest or tax penalties. The Fund has not currently filed any tax returns; generally, tax authorities can examine tax returns filed for the preceding three years.
NOTE 3 – INVESTMENT MANAGEMENT AGREEMENT AND OTHER RELATED PARTY TRANSACTIONS
The Trust entered into an agreement for the Adviser to furnish investment advisory services to the Fund. Under the terms of this agreement, the Fund will pay the Adviser a monthly fee based on the Fund’s average daily net assets at the annual rate of 0.89%.
The Adviser has contractually agreed to waive its management fee and/or reimburse the Fund’s operating expenses (other than shareholder servicing fees, front-end or contingent deferred loads, taxes, interest expense, brokerage commissions, acquired fund fees and expenses, portfolio transaction expenses, dividends paid on short sales, extraordinary expenses, Rule 12b-1 fees, or intermediary servicing fees) for each class so that annual operating expenses will not exceed 1.20% ( the “Expense Cap”). The Expense Cap will remain in effect through at least January 31, 2023 and may be terminated only by the Trust for Advised Portfolios Board of Trustees. The Adviser may request recoupment from the Fund of previously waived fees and paid expenses for three years from the date such fees and expenses were waived or paid, provided that such recoupment does not cause the Fund’s expense ratio (after the recoupment is taken into account) to exceed the lower of (1) the Expense Cap in place at the time such amounts were waived or paid and (2) the Fund’s Expense Cap at the time of recoupment.
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as the Fund’s administrator and fund accountant and transfer agent. The officers of the Trust are employees of Fund Services. U.S. Bank serves as the Fund’s custodian and provides compliance services to the Funds. Quasar Distributors, LLC (“Quasar” or the “Distributor”) acts as the Fund’s distributor and principal underwriter. For the period ended September 30, 2022, the Fund incurred the following expenses for administration and fund accounting, compliance, custody and transfer agency fees:
Administration and Fund Accounting | $ | 207,051 | ||
Compliance Service | 12,001 | |||
Custody | 28,302 | |||
Transfer Agency | 98,092 |
Regan Total Return Income Fund
Notes to Financial Statements
September 30, 2022
NOTE 3 – INVESTMENT MANAGEMENT AGREEMENT AND OTHER RELATED PARTY TRANSACTIONS (Continued)
At September 30, 2022, the expenses reimbursed, and contractual fees waived by the Adviser and subject to potential recapture by period were as follows:
Regan Total Return Income Fund | ||||
Fiscal Year | Waived/reimbursed | Expiration | ||
September 30, 2021 | $253,439 | September 30, 2024 | ||
September 30, 2022 | 128,004 | September 30, 2025 |
At September 30, 2022, the Fund had payables due to Fund Services for administration and fund accounting, compliance, custody and transfer agency fees to U.S. Bank in the following amounts:
Administration and Fund Accounting | $57,718 | |
Compliance Services | 3,003 | |
Custody | 4,987 | |
Transfer Agency | 24,591 |
The above payable amounts are included in Accrued other expenses and other liabilities in the Statement of Assets and Liabilities.
The Independent Trustees were paid $17,170 for their services and reimbursement of travel expenses during the period ended September 30, 2022. The Fund pays no compensation to the Interested Trustee or officers of the Trust.
NOTE 4 – INVESTMENT TRANSACTIONS
Purchases and sales of investment securities (excluding short-term investments) for the year ended September 30, 2022, were as follows:
Non-Government | Government | ||||||||
Purchases | $ | 177,309,190 | $ | 4,406,915 | |||||
Sales | $ | 62,635,532 | $ | 357,896 |
Regan Total Return Income Fund
Notes to Financial Statements
September 30, 2022
NOTE 5 – FEDERAL INCOME TAX INFORMATION
At September 30, 2022, the components of distributable earnings for income tax purposes were as follows:
Regan Total Return Income Fund
Cost of investments | $ | 179,990,775 | ||
Gross unrealized appreciation | 17,060,835 | |||
Gross unrealized depreciation | (13,990,204 | ) | ||
Net unrealized appreciation on investments | 3,070,631 | |||
Undistributed ordinary income | 509,073 | |||
Undistributed long-term capital gains | — | |||
Distributable earnings | 509,073 | |||
Other book/tax temporary differences | (167,793 | ) | ||
Total distributable earnings | $ | 3,411,911 |
The difference between book basis and tax basis unrealized appreciation/(depreciation) is attributable in part to the recognition of accretable yield on deep discounted mortgage back securities.
Additionally, U.S. GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. For the year ended September 30, 2022, the following table shows the reclassifications made:
Total Distributable Earnings | Paid-In Capital | ||
Regan Total Return Income Fund | $ 15,063,997 | $ (15,063,997) |
The following table summarizes the characteristics of distributions paid during the years ended September 30, 2022 and September 30, 2021:
Regan Total Return Income Fund
Income | Long Term Capital Gains | Return of Capital | Total Distributions | |||||||||||||
September 30, 2022 | $ | 6,901,147 | $ | — | $ | 3,159,690 | $ | 10,060,837 | ||||||||
September 30, 2021 (1) | 1,570,473 | — | 556,401 | 2,126,874 |
(1) | Income and Return of Capital amounts do not accord to the Fund’s annual report dated September 30, 2021 due to revisions to the tax characterization of distributions that were made after the issuance of the annual report. The revisions were the result of the Fund’s election to defer accretion on market discount until disposition. |
Regan Total Return Income Fund
Notes to Financial Statements
September 30, 2022
NOTE 5 – FEDERAL INCOME TAX INFORMATION (Continued)
The Fund also designates as distributions of long term gains, to the extent necessary to fully distribute such capital gains, earnings and profits distributed to shareholders on the redemption of shares.
The Fund is required, in order to meet certain excise tax requirements, to measure and distribute annually, net capital gains realized during the twelve month period ending October 31. In connection with this requirement, the Fund is permitted, for tax purposes, to defer into its next fiscal year any net capital losses incurred from November 1 through the end of the fiscal year. Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. As of September 30, 2022, the Fund had no late-year or post-October losses.
At September 30, 2022, the Fund had capital loss carryforwards, which reduce the Fund’s taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code, and thus will reduce the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal tax. Pursuant to the Internal Revenue Code, the character of such capital loss carryforwards is as follows:
Not Subject to Expiration | ||
Short Term | Long Term | Total |
$130,915 | $36,878 | $167,793 |
The Fund did not utilize any capital loss carryforwards at September 30, 2022.
NOTE 6 – SHAREHOLDER SERVICING PLAN
The Trust, on behalf of the Fund, has adopted a Shareholder Servicing Plan to pay a fee at an annual rate on average daily net assets up to a maximum rate as follows:
Institutional Class | 0.10% | Investor Class | 0.15% |
The Shareholder Servicing Plan authorizes payment of a shareholder servicing fee to the financial intermediaries and other service providers who provide administrative and support services to Fund shareholders.
For the year ended September 30, 2022, class specific Shareholder Servicing fees were as follows:
Institutional Class | $119,386 | Investor Class | $2,245 |
NOTE 7 – DISTRIBUTION PLAN
The Trust, on behalf of the Fund, has adopted a Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act that allows the Fund to pay distribution fees for the sale and distribution of its Investor Class shares. The Plan provides for the payment of distribution fees at the annual rate of up to 0.25% of average daily net assets of the Investor Class shares. For the period ended September 30, 2022, distribution fees incurred are disclosed on the Statement of Operations.
Regan Total Return Income Fund
Notes to Financial Statements
September 30, 2022
NOTE 7 – DISTRIBUTION PLAN (Continued)
For the year ended September 30, 2022, class specific Distribution fees were as follows:
Investor Class | $5,809 |
NOTE 8 – COMMITMENTS AND CONTINGENCIES
In the normal course of business, the Fund enters into contracts that provide general indemnifications by the Fund to the counterparty to the contract. The Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against each Fund and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote.
NOTE 9 – LINE OF CREDIT
The Fund has access to a $15 million secured line of credit through an agreement with U.S. Bank. The Fund may temporarily draw on the line of credit to satisfy redemption requests or to settle investment transactions. Interest is charged to the Fund based on its borrowings at a rate per annum equal to the Prime Rate, to be paid monthly. Loan activity for the year ended September 30, 2022 was as follows:
Maximum Available Credit | $ | 15,000,000 | ||
Largest Amount Outstanding on an Individual Day | $ | 7,511,000 | ||
Average Daily Loan Outstanding | $ | 1,790,857 | ||
Interest Expense – 7 days | $ | 2,109 | ||
Loan Outstanding as of September 30, 2022 | $ | — | ||
Average Interest Rate | 6.04 | % |
NOTE 10 – SUBSEQUENT EVENTS
In preparing these financial statements, the Fund has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were available to be issued. The Fund has determined that there were no subsequent events that would need to be disclosed in the Fund’s financial statements.
NOTE 11 – NEW ACCOUNTING PRONOUNCEMENTS
In March 2020, FASB issued Accounting Standards Update 2020-04, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”). The main objective of ASU 2020-04 is to provide relief to companies that will be impacted by the expected change in benchmark interest rates at the end of 2021, when participating banks will no longer be required to submit London Inter-bank Offered Rate (“LIBOR”) quotes by the UK Financial Conduct Authority. ASU 2020-04 allows companies to, provided the only change to existing contracts are a change to an approved benchmark interest rate, account for modifications as a continuance of the existing contract without additional analysis. In addition, derivative contracts that qualified for hedge accounting prior to modification, will be allowed to continue to receive such treatment, even if critical terms change due to a change in the benchmark interest rate. For new and existing contracts, the Fund may elect to apply the amendments as of March 12, 2020 through December 31, 2022. Management is currently assessing the impact of the adoption of ASU 2020-04 to the Fund’s financial statements and various filings.
Regan Total Return Income Fund
Notes to Financial Statements
September 30, 2022
NOTE 12 – PRINCIPAL RISKS
Below is a summary of some, but not all, of the principal risks of investing in the Fund, each of which may adversely affect the Fund’s net asset value and total return. The Fund’s most recent prospectus provides further descriptions of the Fund’s investment objective, principal investment strategies and principal risks.
Mortgage-Backed Securities Risk. When interest rates increase, the market values of mortgage-backed securities decline. At the same time, however, mortgage refinancings and prepayments slow, which lengthens the effective duration of these securities. As a result, the negative effect of the interest rate increase on the market value of mortgage-backed securities is usually more pronounced than it is for other types of fixed income securities, potentially increasing the volatility of the Fund. Conversely, when market interest rates decline, while the value of mortgage-backed securities may increase, the rate of prepayment of the underlying mortgages also tends to increase, which shortens the effective duration of these securities. Mortgage-backed securities are also subject to the risk that underlying borrowers will be unable to meet their obligations and the value of property that secures the mortgage may decline in value and be insufficient, upon foreclosure, to repay the associated loan. Additionally, the liquidity of non-investment grade securities and sub-prime mortgage securities can change dramatically over time.
Asset-Backed Securities Risk (“ABS”). ABS represent participations in, or are secured by and payable from, assets such as installment sales or loan contracts, leases, credit card receivables and other categories of receivables. Certain debt instruments may only pay principal at maturity or may only represent the right to receive payments of principal or payments of interest on underlying pools of mortgages, assets or government securities, but not both. The value of these types of instruments may change more drastically than debt securities that pay both principal and interest. The Fund may obtain a below market yield or incur a loss on such instruments during periods of declining interest rates. Principal only and interest only instruments are subject to extension risk. Certain ABS may provide, upon the occurrence of certain triggering events or defaults, for the investors to become the holders of the underlying assets. In that case, the Fund may become the holder of securities that it could not otherwise purchase, based on its investment strategies or its investment restrictions and limitations, at a time when such securities may be difficult to dispose of because of adverse market conditions.
Credit Risk. There is a risk that the issuer of a mortgage-backed security may experience unanticipated financial problems causing their securities to decline in value. Changes in the market’s perception of the issuer’s financial strength or in a security’s credit rating, which reflects a third party’s assessment of the credit risk presented by a particular issuer, may affect debt securities’ value. In addition, the Fund is subject to the risk that the issuer of a fixed income security will fail to make timely payments of interest or principal, or may stop making such payments altogether.
Regan Total Return Income Fund
Notes to Financial Statements
September 30, 2022
NOTE 12 – PRINCIPAL RISKS (Continued)
Interest Rate Risk. When interest rates increase this may result in a decrease in the value of debt securities held by the Fund. Conversely, as interest rates decrease, mortgage-backed securities’ prices typically do not rise as much as the prices of comparable bonds. Changes in government intervention may have adverse effects on investments, volatility, and illiquidity in debt markets.
Prepayment Risk. When interest rates fall, certain obligations may be paid off by the obligor earlier than expected by refinancing their mortgages, resulting in prepayment of the mortgage-backed securities held by the Fund. The Fund would then lose any price appreciation above the mortgage’s principal and would have to reinvest the proceeds at lower yields, resulting in a decline in the Fund’s income. Prepayment reduces the yield to maturity and the average life of the security.
NOTE 13 – CONTROL OWNERSHIP
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumption of control of the fund under 2(a)(9) of the 1940 Act. As of September 30, 2022, Charles Schwab & Co., Inc. held approximately 45%, in aggregate for the benefit of others, of the outstanding shares of the Fund.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Trust for Advised Portfolios
and the Shareholders of Regan Total Return Income Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Regan Total Return Income Fund, a series of shares of beneficial interest in Trust for Advised Portfolios (the “Fund”), including the schedule of investments, as of September 30, 2022, and the related statement of operations for the year then ended and the statements of changes in net assets and the financial highlights for the year then ended and for period October 1, 2020 (commencement of operations) through September 30, 2021, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of September 30, 2022, and the results of its operations for the year then ended and the changes in its net assets and its financial highlights for the year then ended and for the period October 1, 2020 through September 30, 2021, in conformity with accounting principles generally accepted in the United States of America
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities law and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risk of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022 by correspondence with the custodian and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
BBD, LLP
We have served as the auditor of one or more of the Funds in the Trust for Advised Portfolios since 2010.
Philadelphia, Pennsylvania
December 2, 2022
Regan Total Return Income Fund
Approval of Investment Advisory Agreement (Unaudited)
September 30, 2022
At a meeting held on August 25 and 26, 2022, the Board of Trustees (the “Board”) of Trust for Advised Portfolios (the “Trust”), including all the Trustees who are not “interested persons” of the Trust (“Independent Trustees”), as that term is defined in the Investment Company Act of 1940, considered and approved the investment advisory agreement (“Advisory Agreement”) with Regan Capital, LLC (“Adviser”) for the Regan Total Return Income Fund (“Fund”).
Ahead of the August meeting, the Board received and reviewed substantial information regarding the Fund, the Adviser and the services provided by the Adviser to the Fund under the Advisory Agreement. This information formed the primary (but not exclusive) basis for the Board’s determinations. The information prepared specifically for the annual review of the Advisory Agreement supplemented the information provided to the Board and its committees throughout the year. The Board and its committees met regularly during the year and the information provided and topics discussed at such meetings were relevant to the review of the Advisory Agreement. Some of these reports and other data included, among other things, materials that outlined the investment performance of the Fund; compliance, regulatory, and risk management matters; the trading practices of the Adviser; valuation of investments; fund expenses; and overall market and regulatory developments. The Trustees considered the review of the Advisory Agreement to be an ongoing process and employed the accumulated information, knowledge, and experience they had gained during their tenure on the Board governing the Fund and working with the Adviser in their review of the Advisory Agreement. The Independent Trustees were advised by independent legal counsel during the annual review process as well as throughout the year, including meeting in executive sessions with such counsel without representatives from the Adviser present. In connection with their annual review, the Independent Trustees also received a memorandum from independent legal counsel outlining their fiduciary duties and legal standards in reviewing the Advisory Agreement.
In considering the continuance of the Advisory Agreement, the Board considered the following factors and made the following determinations. In its deliberations, the Board did not identify any single factor or piece of information as all important, controlling, or determinative of its decision, and each Trustee may have attributed different weights to the various factors and information.
● | In considering the nature, extent and quality of the services provided by the Adviser, the Trustees considered the Adviser’s specific responsibilities in all aspects of the day-to-day management of the Fund, as well as the qualifications, experience and responsibilities of the portfolio managers and other key personnel who are involved in the day-to-day activities of the Fund. The Board also considered the Adviser’s resources and compliance structure, including information regarding its compliance program, chief compliance officer, and compliance record, and its disaster recovery/business continuity plan. The Board also considered the existing relationship between the Adviser and the Trust, as well as the Board’s knowledge of the Adviser’s operations, and noted that during the course of the year it met with representatives of the Adviser to discuss Fund performance and investment outlook, as well as various marketing and compliance topics, including the Adviser’s risk management process. The Board concluded that the Adviser had sufficient quality and depth of personnel, resources, investment methods and compliance policies and procedures essential to performing its duties under the Advisory Agreement and that, in the Board’s view, the nature, overall quality, and extent of the management services provided were and would continue to be satisfactory and reliable. |
● | In assessing the quality of the portfolio management delivered by the Adviser, the Board reviewed the performance of the Fund on both an absolute basis and in comparison to its peer group, relevant benchmark index, and a comparable composite of accounts managed by the Adviser. The Board considered that the Fund had outperformed relative to its peer group average/median for the year-to-date and one-year period as of June 30, 2022. The Board also considered the Fund had underperformed relative its benchmark and the Adviser’s composite for the one-year period. |
● | The Trustees also reviewed the cost of the services, and the structure and level of advisory fees payable by the Fund, including a comparison of the fee to fees payable by a peer group of funds. The Board noted that the Fund’s advisory fee and net expense ratio was higher than its peer group median/average but still within. After reviewing the materials that were provided, the Trustees noted that the fee to be received by the Adviser was within the range of advisory fees charged to comparable funds and concluded that such fee was fair and reasonable. |
● | The Trustees considered whether, based on the asset size of the Fund, economies of scale had been achieved. The Board also considered the Adviser’s commitment to maintain its caps on Fund expenses. The Trustees concluded that they will have the opportunity to periodically reexamine whether economies of scale have been achieved. |
● | The Trustees considered the profitability of the Adviser from managing the Fund. In assessing the Adviser’s profitability, the Trustees reviewed the Adviser’s financial information that was provided in the materials and took into account both the direct and indirect benefits to The Adviser from managing the Fund. The Trustees concluded that the Adviser’s profits from managing the Fund were not excessive and, after a review of the relevant financial information, that the Adviser appeared to have adequate capitalization and/or would maintain adequate profit levels to support the Fund. |
Regan Total Return Income Fund
Additional Information (Unaudited)
September 30, 2022
Quarterly Portfolio Schedule
The Fund files its complete schedule of portfolio holdings for the first and third quarters of each fiscal year with the Securities and Exchange Commission (SEC) on Part F of Form N-PORT. The Fund’s Form N-PORT is available without charge by visiting the SEC’s Web site at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. You may obtain information on the operation of the Public Reference Room by calling 1-800-SEC-0330.
Proxy Voting
You may obtain a description of the Fund’s proxy voting policy and voting records, without charge, upon request by contacting the Fund directly at 1-888 -44-REGAN or on the EDGAR Database on the SEC’s website at ww.sec.gov. The Fund files its proxy voting records annually as of June 30, with the SEC on Form N-PX. The Fund’s Form N-PX is available without charge by visiting the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. You may obtain information on the operation of the Public Reference Room by calling 1-800-SEC-0330.
Tax Information
For the fiscal period ended September 30, 2022, certain dividends paid by the Funds may be subject to a maximum tax rate of 23.8%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The percentage of dividends declared from ordinary income designated as qualified dividend income was as follows:
Regan Total Return Income Fund | 0.00% |
For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal period ended June 30, 2021, was as follows:
Regan Total Return Income Fund | 0.00% |
The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871 (k)(2)(C) for each Fund were as follows:
Regan Total Return Income Fund | 0.00% |
Statement Regarding Liquidity Risk Management Program
The Fund has adopted a liquidity risk management program. The Fund’s Board has designated the Operational Risk Committee (“Committee”) of the Adviser to serve as the administrator of the program. The Committee conducts the day-to-day operation of the program pursuant to policies and procedures administered by the Committee.
Under the program, the Committee manages the Fund’s liquidity risk, which is the risk that the Fund could not meet shareholder redemption requests without significant dilution of remaining shareholders’ interests in the Fund. This risk is managed by monitoring the degree of liquidity of the Fund’s investments, limiting the amount of the Fund’s illiquid investments, and utilizing various risk management tools and facilities available to the Fund for meeting shareholder redemptions, among other means. The Committee’s process of determining the degree of liquidity of the Fund’s investments is supported by one or more third-party liquidity assessment vendors.
Regan Total Return Income Fund
Trustees and Officer Information (Unaudited)
Name, Address and Age | Position(s) Held with Trust | Term of Office(1) and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex(2) Overseen by Trustee | Other Directorships(3) Held During Past 5 Years by Trustee | |||||
Independent Trustees(4) | ||||||||||
Harry E. Resis 615 E. Michigan Street Milwaukee, WI 53202 Year of birth: 1945 | Trustee | Since 2012 | Private investor. Previously served as Director of US Fixed Income for Henderson Global Investors | 1 | None | |||||
Brian S. Ferrie 615 E. Michigan Street Milwaukee, WI 53202 Year of birth: 1958 | Trustee | Since 2020 | Chief Compliance Officer, Treasurer, The Jensen Quality Growth Fund (2004 to 2020); Treasurer, Jensen Investment Management (2003 to 2020) | 1 | None | |||||
Wan-Chong Kung 615 E. Michigan Street Milwaukee, WI 53202 Year of birth: 1960 | Trustee | Since 2020 | Senior Fund Manager, Nuveen Asset Management (FAF Advisors/First American Funds) (2011 to 2019) | 1 | None | |||||
Interested Trustee(5) | ||||||||||
Christopher E. Kashmerick 615 E. Michigan Street Milwaukee, WI 53202 Year of birth: 1974 | Trustee and Chairman | Since 2018 | Senior Vice President, U.S. Bancorp Fund Services, LLC (2011 to present) | 1 | None |
Name, Address and Age | Position(s) Held with Trust | Term of Office(1) and Length of Time Served | Principal Occupation(s) During Past 5 Years | |||
Officers | ||||||
Jack Huntington 615 E. Michigan Street Milwaukee, WI 53202 Year of birth: 1966 | Chief Compliance Officer and AML Officer | Since 2022 | Vice President, U.S. Bancorp Fund Services, LLC (2022 to present); Director and Fund Chief Compliance Officer, Foreside Fund Officer Services, LLC (2015 to 2022) | |||
Russell B. Simon 615 E. Michigan Street Milwaukee, WI 53202 Year of birth: 1980 | President and Principal Executive Officer | Since 2022 | Vice President, U.S, Bancorp Fund Services, LLC (2011 to present) | |||
Eric T. McCormick 615 E. Michigan Street Milwaukee, WI 53202 Year of birth: 1980 | Treasurer and Principal Financial Officer | Since 2022 | Vice President, U.S, Bancorp Fund Services, LLC (2005 to present) |
Name, Address and Age | Position(s) Held with Trust | Term of Office(1) and Length of Time Served | Principal Occupation(s) During Past 5 Years | |||
Officers (Continued) | ||||||
Scott A. Resnick 615 E. Michigan Street Milwaukee, WI 53202 Year of birth: 1980 | Secretary | Since 2019 | Assistant Vice President, U.S. Bancorp Fund Services, LLC (2018 to present); Associate, Legal & Compliance, PIMCO (2012 to 2018) |
(1) Each Trustee serves an indefinite term; however, under the terms of the Board’s retirement policy, a Trustee shall retire at the end of the calendar year in which he or she reaches the age of 75 (this policy does not apply to any Trustee serving at the time the policy was adopted). Each officer serves an indefinite term until the election of a successor.
(2) The Trust is comprised of numerous series managed by unaffiliated investment advisers. The term “Fund Complex” applies only to the Funds.
The Funds do not hold themselves out as related to any other series within the Trust for purposes of investment and investor services, nor do they share the same investment advisor with any other series.
(3) “Other Directorships Held” includes only directorships of companies required to register or file reports with the SEC under the Securities Exchange Act of 1934, as amended, (that is, “public companies”) or other investment companies registered under the 1940 Act.
(4) The Trustees of the Trust who are not “interested persons” of the Trust as defined under the 1940 Act (“Independent Trustees”).
(5) Mr. Kashmerick is an “interested person” of the Trust as defined by the 1940 Act. Mr. Kashmerick is an interested Trustee of the Trust by virtue of the fact that he is an interested person of U.S. Bancorp Fund Services, LLC, the Fund’s administrator, fund accountant, and transfer agent.
The Fund’s Statement of Additional Information (“SAI”) includes information about the Fund’s Trustees and is available without charge, upon request, by calling 1-888-44-REGAN (1-888-447-3426).
The Fund collects non-public information about you from the following sources:
● Information we receive about you on applications or other forms;
● Information you give us orally; and/or
● Information about your transactions with us or others.
We do not disclose any non-public personal information about our customers or former customers without the customer’s authorization, except as permitted by law or in response to inquiries from governmental authorities. We may share information with affiliated and unaffiliated third parties with whom we have contracts for servicing the Fund. We will provide unaffiliated third parties with only the information necessary to carry out their assigned responsibilities. We maintain physical, electronic and procedural safeguards to guard your non-public personal information and require third parties to treat your personal information with the same high degree of confidentiality.
In the event that you hold shares of the Fund through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your non-public personal information would be shared by those entities with unaffiliated third parties.
Investment Adviser
Regan Capital, LLC
8350 North Central Expressway, Suite G108
Dallas, Texas 75206
Distributor
Quasar Distributors, LLC
111 East Kilbourn Ave. Suite 2200
Milwaukee, Wisconsin 53202
Custodian
U.S. Bank National Association
Custody Operations
1555 North River Center Drive, Suite 302
Milwaukee, Wisconsin 53212
Transfer Agent, Fund Accountant and Fund Administrator
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, Wisconsin 53202
Independent Registered Public Accounting Firm
BBD, LLP
1835 Market Street, 3rd Floor
Philadelphia, Pennsylvania 19103
Legal Counsel
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
(b) | Not applicable. |
FYE 09/30/2022 | FYE 09/30/2021 | |
( a ) Audit Fees | $17,850 | $17,500 |
( b ) Audit-Related Fees | None | None |
( c ) Tax Fees | $3,100 | $3,100 |
( d ) All Other Fees | None | None |
FYE 09/30/2022 | FYE 09/30/2021 | |
Audit-Related Fees | 0% | 0% |
Tax Fees | 0% | 0% |
All Other Fees | 0% | 0% |
Non-Audit Related Fees | FYE 9/30/2022 | FYE 09/30/2021 |
Registrant | $3,100 | $3,100 |
Registrant’s Investment Adviser | N/A | N/A |
(a) | Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | Not Applicable |
(a) | The Registrant’s President and Treasurer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. |