IMS CAPITAL VALUE FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
| COMMON STOCK - 99.13% | Shares | Value | ||||||
| Communication Services - 16.57% | ||||||||
| Alphabet, Inc. - Class C (a) | 800 | $ | 2,234,392 | |||||
| Meta Platforms, Inc. - Class A (a) | 8,200 | 1,823,352 | ||||||
| Verizon Communications, Inc. | 13,400 | 682,596 | ||||||
| Walt Disney Co. (a) | 21,000 | 2,880,360 | ||||||
| 7,620,700 | ||||||||
| Consumer Discretionary - 30.07% | ||||||||
| Amazon.com, Inc. (a) | 728 | 2,373,243 | ||||||
| Bally's Corp. (a) | 23,500 | 722,390 | ||||||
| Booking Holdings, Inc. (a) | 555 | 1,303,390 | ||||||
| Carnival Corp. | 35,300 | 713,766 | ||||||
| Domino's Pizza, Inc. | 887 | 361,018 | ||||||
| Expedia Group, Inc. (a) | 8,665 | 1,695,480 | ||||||
| Hilton Worldwide Holdings, Inc. | 13,200 | 2,002,968 | ||||||
| Home Depot, Inc. | 2,720 | 814,178 | ||||||
| Royal Caribbean Cruises Ltd. (a) | 15,100 | 1,265,078 | ||||||
| Starbucks Corp. | 16,162 | 1,470,257 | ||||||
| Tesla, Inc. (a) | 1,025 | 1,104,540 | ||||||
| 13,826,308 | ||||||||
| Financials - 6.74% | ||||||||
| Charles Schwab Corp. | 11,530 | 972,094 | ||||||
| Wells Fargo & Co. | 43,900 | 2,127,394 | ||||||
| 3,099,488 | ||||||||
| Health Care - 4.18% | ||||||||
| Johnson & Johnson | 4,000 | 708,920 | ||||||
| UnitedHealth Group, Inc. | 2,379 | 1,213,219 | ||||||
| 1,922,139 | ||||||||
| Industrials - 15.45% | ||||||||
| Boeing Co. (a) | 10,720 | 2,052,880 | ||||||
| Delta Air Lines, Inc. (a) | 28,800 | 1,139,616 | ||||||
| FedEx Corp. | 5,400 | 1,249,506 | ||||||
| General Electric Co. | 14,150 | 1,294,725 | ||||||
| Southwest Airlines Co. (a) | 29,840 | 1,366,672 | ||||||
| 7,103,399 | ||||||||
IMS CAPITAL VALUE FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
| COMMON STOCK - 99.13% (continued) | Shares | Value | ||||||
| Information Technology - 26.12% | ||||||||
| Apple, Inc. | 13,900 | $ | 2,427,079 | |||||
| Broadcom, Inc. | 1,630 | 1,026,378 | ||||||
| Microsoft Corp. | 6,300 | 1,942,353 | ||||||
| NVIDIA Corp. | 9,000 | 2,455,740 | ||||||
| PayPal Holdings, Inc. (a) | 10,200 | 1,179,630 | ||||||
| QUALCOMM, Inc. | 5,388 | 823,394 | ||||||
| Salesforce, Inc. (a) | 3,249 | 689,828 | ||||||
| Texas Instruments, Inc. | 4,375 | 802,725 | ||||||
| Visa, Inc. - Class A | 3,000 | 665,310 | ||||||
| 12,012,437 | ||||||||
| TOTAL COMMON STOCK (Cost $37,113,883) | 45,584,471 | |||||||
| MONEY MARKET SECURITIES - 1.00% | ||||||||
| Federated Hermes Government Obligations Fund - Institutional Shares, 0.14% (b) | 460,978 | 460,978 | ||||||
| TOTAL MONEY MARKET SECURITIES (Cost $460,978) | 460,978 | |||||||
| TOTAL INVESTMENTS AT VALUE (Cost $37,574,861) - 100.13% | $ | 46,045,449 | ||||||
| LIABILITES IN EXCESS OF OTHER ASSETS, NET - (0.13%) | (60,599 | ) | ||||||
| NET ASSETS - 100.00% | $ | 45,984,850 | ||||||
| Percentages are stated as a percent of net assets. |
| (a) Non-income producing security. |
| (b) Rate shown represents the 7-day yield at March 31, 2022, is subject to change and resets daily. |
| The following abbreviations are used in this portfolio: |
| Ltd. - Limited |
| See accompanying notes which are an integral part of these financial statements. |
IMS STRATEGIC INCOME FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
| COMMON STOCK - 12.99% | Shares | Value | ||||||
| Consumer Discretionary - 1.66% | ||||||||
| Newell Brands, Inc. | 10,700 | $ | 229,087 | |||||
| Financials - 7.37% | ||||||||
| JPMorgan Chase & Co | 1,900 | 259,008 | ||||||
| New York Community Bancorp, Inc. | 23,500 | 251,920 | ||||||
| State Street Corp. | 3,000 | 261,360 | ||||||
| US Bancorp | 4,600 | 244,490 | ||||||
| 1,016,778 | ||||||||
| Information Technology - 1.98% | ||||||||
| Cisco Systems, Inc. | 4,900 | 273,224 | ||||||
| Utilities - 1.98% | ||||||||
| Edison International | 3,900 | 273,390 | ||||||
| TOTAL COMMON STOCK (Cost $1,916,513) | 1,792,479 | |||||||
| CORPORATE BONDS - 34.29% | Principal Amount | |||||||
| American Airlines Group, Inc., 3.750%, due 03/01/2025 (a) | $ | 525,000 | 478,060 | |||||
| Enterprise Products Operating LLC, 4.875%, due 08/16/2077 | 650,000 | 581,600 | ||||||
| Navient Corp., 5.625%, due 08/01/2033 | 675,000 | 568,350 | ||||||
| Nordstrom, Inc., 5.000%, due 01/15/2044 | 650,000 | 582,003 | ||||||
| Rite Aid Corp., 7.700%, due 02/15/2027 | 790,000 | 616,200 | ||||||
| Royal Caribbean Cruises Ltd., 3.700%, due 03/15/2028 - Liberia | 700,000 | 623,956 | ||||||
| Service Property Trust, 3.950%, due 01/15/2028 | 725,000 | 616,286 | ||||||
| Staples,Inc., 10.750%, due 04/15/2027 (a) | 750,000 | 666,724 | ||||||
| TOTAL CORPORATE BONDS (Cost $5,173,204) | 4,733,179 | |||||||
| STRUCTURED NOTES - 29.27% | Value | |||||||
| Bank of Montreal Callable Barrier Notes - Series G, 7.000%, due 07/17/2028 - Canada (b) (c) | 600,000 | $ | 530,400 | |||||
| Citigroup Global Markets Holdings, Inc. Callable Range Accrual Notes, 13.000%, 03/18/2037 (b) (n) | 550,000 | 527,010 | ||||||
| Citigroup Global Markets Holdings, Inc. Callable Range Accrual Notes, 7.000%, due 04/16/2035 (b) (d) | 190,000 | 156,446 | ||||||
| Citigroup Global Markets Holdings, Inc. Callable Fixed to Float Range Accrual Notes, 7.250%, due 01/29/2041 (b) (e) | 600,000 | 425,700 | ||||||
| JPMorgan Chase Financial Co. LLC Callable Range Accrual Notes, 8.000%, due 01/25/2036 (b) (f) | 600,000 | 408,420 | ||||||
| JPMorgan Chase Financial Co. LLC Callable Range Accrual Notes, 9.000%, due 02/26/2036 (b) (g) | 500,000 | 330,450 | ||||||
| Morgan Stanley Fixed to Floating Rate Leveraged CMS and Index Linked Notes, 4.765%, due 08/30/2028 (b) (h) | 350,000 | 266,000 | ||||||
| Morgan Stanley Fixed to Floating Rate Index Linked Notes, 2.444%, due 05/30/2034 (b) (i) | 600,000 | 366,000 | ||||||
| Societe Generale SA Callable Fixed to Floating Rate CMS and Index Linked Note, 10.000%, 06/28/2034 - France (b) (j) | 325,000 | 218,075 | ||||||
| Societe Generale SA Callable Fixed to Floating Rate CMS and Index Linked Note, 9.000%, 02/19/2036 - France (b) (k) | 600,000 | 480,780 | ||||||
| Societe Generale SA Callable Fixed to Floating Rate CMS and Index Linked Note, 8.500%, 11/19/2036 - France (b) (l) | 450,000 | 329,940 | ||||||
| TOTAL STRUCTURED NOTES (Cost $5,283,257) | 4,039,221 | |||||||
IMS STRATEGIC INCOME FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
| Shares | Value | |||||||
| MONEY MARKET SECURITIES - 7.04% | ||||||||
| Federated Hermes Government Obligations Fund - Institutional Shares, 0.14% (m) | 972,325 | $ | 972,325 | |||||
| TOTAL MONEY MARKET SECURITIES (Cost $972,325) | 972,325 | |||||||
| TOTAL INVESTMENTS AT VALUE (Cost $13,345,299) - 83.59% | $ | 11,537,204 | ||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES, NET - 16.41% | 2,264,563 | |||||||
| NET ASSETS - 100.00% | $ | 13,801,767 | ||||||
Percentages are stated as a percent of net assets.
| (a) | Security exempted from registration under Rule 144A of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional investors. |
| (b) | Variable rate security. Rate shown represents the rate in effect at March 31, 2022. |
| (c) | The notes will pay a Contingent Coupon on each Contingent Coupon Payment Date at the Contingent Interest Rate of 1.750% per quarter (approximately 7.00% per annum) if the closing level of each Reference Asset on the applicable quarterly Observation Date is greater than its Coupon Barrier Level. However, if the closing level of any Reference Asset is less than or equal to its Coupon Barrier Level on an Observation Date, the notes will not pay the Contingent Coupon for that Observation Date. |
| (d) | Contingent interest will accrue on the notes during each accrual period at 7.00% per annum only for each elapsed day during that accrual period on which the accrual condition is satisfied. The accrual condition will be satisfied on an elapsed day only if (i) the CMS spread is greater than the CMS spread barrier (meaning that CMS30 is greater than CMS2) on that day and (ii) the closing level of each underlying index on that day is greater than or equal to its accrual barrier level. |
| (e) | The note will pay interest at a fixed rate of 7.25% per annum for the first 1.5 years following issuance. After the first 1.5 years, contingent interest will accrue on the securities during each accrual period at 7.25% only for each elapsed day during that accrual period on which the accrual condition is satisfied. The accrual condition will be satisfied on an elapsed day only if (i) the CMS spread is greater than or equal to the CMS spread barrier (meaning that CMS30 is greater than or equal to CMS2) on that day and (ii) the closing level of each underlying index on that day is greater than or equal to its accrual barrier level. |
| (f) | The interest rate during the Initial Interest Periods from the Original Issue Date of the notes and ending on but excluding January 22, 2022 shall be 8.00% per annum. Thereafter, the interest rate will depend on the number of calendar days during any given interest period on which the accrual provision is satisfied. The accrual provision shall be deemed to have been satisfied on each calendar day during such interest period on which (i) the closing level of the S&P 500 Index, as determined on the accrual determination date relating to such calendar day, is greater than or equal to the minimum index level and (ii) the closing level of the EURO STOXX 50 Index, as determined on the accrual determination date relating to such calendar day, is greater than or equal to its minimum index level subject to a minimum interest rate of 0.00% per annum and a maximum interest rate of 10.00% per annum. |
| (g) | The interest rate during the Initial Interest Periods from the Original Issue Date of the notes and ending on but excluding February 26, 2022 shall be 9.00% per annum. After the Initial Interest Periods, interest will accrue for each other Interest Period, at a per annum rate equal to the Spread (the 30-Year ICE Swap Rate minus the 2-Year ICE Swap Rate) on the applicable Determination Date for such Interest Period multiplied by the Multiplier, provided that the Closing Level of each Index on each Accrual Determination Date during such Interest Period is greater than or equal to its Minimum Index Level (for each Index, 70.00% of its Initial Value), and subject to the Maximum Interest Rate of 9.00% and the Minimum Interest Rate of 0.00%. |
| (h) | The variable rate is equal to 5 times the difference, if any, between the 30-Year Constant Maturity Swap Rate ("30CMS") and the 2-year Constant Maturity Swap Rate ("2CMS") as determined on the CMS reference determination date at the start of the quarterly interest payment period; subject to a maximum interest rate of 12.00% per annum for each interest payment period during the floating rate interest period and the minimum interest rate of 0.00% per annum. |
| (i) | Interest will accrue on the securities (i) in Years 1 to 3: at a rate of 10.00% per annum and (ii) in Years 4 to maturity: for each day that the closing value of the S&P 500® Index is greater than or equal to 50% of the initial index value (which we refer to as the index reference level), at a variable rate per annum equal to 4 times the difference, if any, between the 30-Year Constant Maturity Swap Rate (“30CMS”) and the 2-Year Constant Maturity Swap Rate (“2CMS”), as determined on the CMS reference determination date at the start of the related monthly interest payment period; subject to the maximum interest rate of 10.00% per annum for each interest payment period during the floating interest rate period and the minimum interest rate of 0.00% per annum. |
| (j) | For each Interest Period commencing on or after the Original Issue Date through January 2021 (the “Fixed Rate Period”), the interest rate per annum will be equal to the Fixed Interest Rate of 10.000%. For each Interest Period beginning in January 2021 (the “Floating Rate Period”), the interest rate per annum will be equal to the product of (a) the 30-Year Constant Maturity Swap Rate minus the 2-Year Constant Maturity Swap Rate multiplied by the number of days the accrual condition is met divided by the number of days in the accrual period and (b) the Multiplier rate of 50, subject to the Maximum Interest Rate of 10.000% and the Minimum Interest Rate of 0.000%. The accrual condition is satisfied on days where RTY and SX7E are greater than or equal to 60% of the initial index level. |
IMS STRATEGIC INCOME FUND
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
| (k) | The Notes pay interest (i) in the first two years, at a fixed rate of 9.00% per annum and (ii) after the first two years to maturity or early redemption by us, at the Variable Rate per annum described below, subject to the Maximum Coupon Rate of 10.00% per annum and the Minimum Coupon Rate of 0.00% per annum. The “Variable Rate” for each Coupon Period commencing on or after the Fixed Rate Cutoff Date will be the rate computed based on the following formula: Variable Base Rate × (Variable Days/Actual Days). The “Variable Base Rate” for each Coupon Period will be the product of (i) the 30 Year CMS Rate on the related CMS Determination Date minus the 2 Year CMS Rate on the related CMS Determination Date (the “CMS Reference Spread”) and (ii) the Multiplier, subject to the Maximum Coupon Rate and the Minimum Coupon Rate. |
| (l) | The Notes pay interest (i) in the first year at a fixed rate of 8.50% and (ii) after the first year to maturity or earlier redemption by us, at the Variable Rate per annum described below. The “Variable Rate” for each Coupon Period commencing on or after the Fixed Rate Cutoff Date will be the rate computed based on the following formula: Base Rate × (Variable Days/Actual Days). The “Base Rate” means a per annum rate of 8.50%. The “Variable Days” means, with respect to each Coupon Period, the actual number of calendar days during such Coupon Period on which the Accrual Condition is satisfied; and the “Actual Days” means, with respect to each Coupon Period, the actual number of calendar days in such Coupon Period. With respect to a calendar day in any Coupon Period commencing on or after the Fixed Rate Cutoff Date, the Accrual Condition will be satisfied on such calendar day if both (i) the Reference Rate on such calendar day is greater than or equal to the Reference Rate Barrier and (ii) the Closing Level of each Reference Index on such calendar day is greater than or equal to its respective Coupon Barrier Level. |
| (m) | Rate shown represents the 7-day effective yield at March 31, 2022, is subject to change and resets daily. | |
| (n) | Contingent interest will accrue on the securities during each accrual period at the contingent rate of 13.000% only for each elapsed day during that accrual period on which the accrual condition is satisfied. The accrual condition will be satisfied on an elapsed day only if (i) the SOFR CMS spread is greater than or equal to the SOFR CMS spread barrier (meaning that SOFR CMS30 is greater than or equal to SOFR CMS2) on that day and (ii) the closing level of each underlying index on that day is greater than or equal to its accrual barrier level. Accordingly, the accrual of interest during each accrual period will be contingent on the SOFR CMS spread and the level of each underlying index. |
See accompanying notes which are an integral part of these financial statements.
IMS FAMILY OF FUNDS
NOTES TO THE SCHEDULES OF INVESTMENTS
March 31, 2022 (Unaudited)
The following is a summary of significant accounting policies followed by IMS Family of Funds (the “Funds”), comprising the IMS Capital Value Fund (the “Value Fund”) and the IMS Strategic Income Fund (the “Income Fund”), each a series of 360 Funds (the “Trust”). The policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The Funds follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services - Investment Companies.
Securities Valuations and Fair Value Measurements – Fair value is defined as the price that a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. GAAP establishes a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes.
Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk (the risk inherent in a particular valuation technique used to measure fair value such as a pricing model and/or the risk inherent in the inputs to the valuation technique). Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
Various inputs are used in determining the value of the Funds’ investments. These inputs are summarized in the three broad levels listed below.
● Level 1 – quoted prices in active markets for identical securities
● Level 2 – other significant observable inputs (including, but not limited to, quoted prices for an identical security in an inactive market, quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
● Level 3 – significant unobservable inputs (including each Fund’s own assumptions in determining fair value of investments based on the best information available)
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Equity securities, including common stock, real estate investment trusts, and preferred securities, are generally valued by using market quotations, but may be valued on the basis of prices furnished by a pricing service when the Advisor believes such prices more accurately reflect the fair value of such securities. Securities that are traded on any stock exchange are generally valued by the pricing service at the last quoted sale price. Lacking a last sale price, an exchange traded security is generally valued by the pricing service at its last bid price. Securities traded in the NASDAQ over-the-counter market are generally valued by the pricing service at the NASDAQ Official Closing Price. When using the market quotations or close prices provided by the pricing service and when the market is considered active, the security will be classified as a Level 1 security. Sometimes, an equity security owned by a Fund will be valued by the pricing service with factors other than market quotations or when the market is considered inactive. When this happens, the security will be classified as a Level 2 security.
Investments in mutual funds, including money market mutual funds, are generally priced at the ending net asset value (NAV) provided by the service agent of the funds. These securities will be categorized as Level 1 securities.
IMS FAMILY OF FUNDS
NOTES TO THE SCHEDULES OF INVESTMENTS
March 31, 2022 (Unaudited)
Securities Valuations and Fair Value Measurements (continued) – Fixed income securities such as corporate bonds, municipal bonds, reverse convertible bonds, and foreign bonds denominated in U.S. dollars, when valued using market quotations in an active market, will be categorized as Level 1 securities. However, they may be valued on the basis of prices furnished by a pricing service when the Advisor believes such prices more accurately reflect the fair value of such securities. A pricing service utilizes electronic data processing techniques based on yield spreads relating to securities with similar characteristics to determine prices for normal institutional-size trading units of debt securities without regard to sale or bid prices. These securities will generally be categorized as Level 2 securities. If the Advisor decides that a price provided by the pricing service does not accurately reflect the fair value of the securities, when prices are not readily available from a pricing service, or when certain restricted or illiquid securities are being valued, securities are valued at fair value as determined in good faith by the Advisor, in conformity with guidelines adopted by and subject to review of the Board and the Fair Valuation Committee. These securities will be categorized as Level 3 securities. The Advisor has used inputs such as evaluated broker quotes in inactive markets, actual trade prices in inactive markets, present value of expected future cash flows, terms of expected bond restructurings, and yields on similar securities in determining the fair value of such Level 3 securities.
Short-term investments in fixed income securities (those with maturities of less than 60 days when acquired) are valued by using the amortized cost method of valuation, which the Board has determined will represent fair value. These securities will be classified as Level 2 securities.
In accordance with the Trust’s good faith pricing guidelines, the Advisor is required to consider all appropriate factors relevant to the value of securities for which it has determined other pricing sources are not available or reliable as described above. No single standard exists for determining fair value, because fair value depends upon the circumstances of each individual case. As a general principle, the current fair value of an issue of securities being valued by the Advisor would appear to be the amount which the owner might reasonably expect to receive for them upon their current sale. Methods which are in accordance with this principle may, for example, be based on (i) a multiple of earnings; (ii) a discount from market of a similar freely traded security (including a derivative security or a basket of securities traded on other markets, exchanges or among dealers); or (iii) yield to maturity with respect to debt issues, or a combination of these and other methods. Good faith pricing is permitted if, in the Advisor’s opinion, the validity of market quotations appears to be questionable based on factors such as evidence of a thin market in the security based on a small number of quotations, a significant event occurs after the close of a market but before a Fund’s NAV calculation that may affect a security’s value, or the Advisor is aware of any other data that calls into question the reliability of market quotations. Good faith pricing may also be used in instances when the bonds the Funds invest in may default or otherwise cease to have market quotations readily available.
The Trustees of the 360 Funds adopted the M3Sixty Consolidated Valuation Procedures on June 24, 2014, which established a Valuation Committee to work with the Advisor and report to the Board on securities being fair valued or manually priced. The Lead Chairman and Trustee for the 360 Funds, along with the Fund Principal Financial Officer and Chief Compliance Officer are members of the Valuation Committee which meets at least monthly or, as required, to review the interim actions and coordination with the Advisor in pricing fair valued securities, and consideration of any unresolved valuation issue or a request to change the methodology for manually pricing a security. In turn, the Lead Chairman provides updates to the Board at the regularly scheduled board meetings as well as interim updates to the board members on substantive changes in a daily valuation or methodology issue.
IMS FAMILY OF FUNDS
NOTES TO THE SCHEDULES OF INVESTMENTS
March 31, 2022 (Unaudited)
Securities Valuations and Fair Value Measurements (continued) – The following is a summary of the inputs used to value the Value Fund’s investments as of March 31, 2022:
| Valuation Inputs | ||||||||||||||||
| Investments | Level 1 – Quoted Prices in Active Markets | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
| Common Stocks* | $ | 45,584,471 | $ | – | $ | – | $ | 45,584,471 | ||||||||
| Money Market Securities | 460,978 | 460,978 | ||||||||||||||
| Total | $ | 46,045,449 | $ | – | $ | – | $ | 46,045,449 | ||||||||
* Refer to the Schedule of Investments for industry classifications.
The following is a summary of the inputs used to value the Income Fund’s investments as of March 31, 2022:
| Valuation Inputs | ||||||||||||||||
| Investments | Level 1 – Quoted Prices in Active Markets | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
| Common Stocks* | $ | 1,792,479 | $ | – | $ | – | $ | 1,792,479 | ||||||||
| Corporate Bonds | – | 4,733,179 | – | 4,733,179 | ||||||||||||
| Structured Notes | – | 4,039,221 | – | 4,039,221 | ||||||||||||
| Money Market Securities | 972,325 | – | – | 972,325 | ||||||||||||
| Total | $ | 2,764,804 | $ | 8,772,400 | $ | - | $ | 11,537,204 | ||||||||
* Refer to the Schedule of Investments for industry classifications.
The Value Fund and the Income Fund did not hold any investments at any time during the reporting period in which significant unobservable inputs were used in determining fair value; therefore, no reconciliation of Level 3 securities is included for this reporting period. The Value Fund and the Income Fund did not hold any derivative instruments during the reporting period. The Value Fund and the Income Fund recognize transfers between fair value hierarchy levels at the end of the reporting period.
IMS FAMILY OF FUNDS
NOTES TO THE SCHEDULES OF INVESTMENTS
March 31, 2022 (Unaudited)
Securities Valuations and Fair Value Measurements (continued) –
Foreign Currency – Investment securities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. Reported net realized foreign exchange gains or losses arise from currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
Structured Notes – The Income Fund may invest in certain structured products, including interest rate or index-linked notes. The risk of an investment in a structured product depends primarily on the type of collateral securities and the class of the structured product in which the Fund invests. In addition to the standard interest rate, default and other risks of fixed income securities, structured products carry additional risks, including the possibility that distributions from collateral securities will not be adequate to make interest or other payments, the quality of the collateral may decline in value or default, the Fund may invest in structured products that are subordinate to other classes, values may be volatile, and disputes with the issuer may produce unexpected investment results.
At March 31, 2022, the aggregate value of such securities amounted to $4,039,221 and the value amounts to 29.27% of the net assets of the Income Fund.
Restricted Securities – Restricted securities are securities that may only be resold upon registration under federal securities laws or in transactions exempt from such registration. In some cases, the issuer of restricted securities has agreed to register such securities for resale, at the issuer’s expense, either upon demand by a fund or in connection with another registered offering of the securities. Many restricted securities may be resold in the secondary market in transactions exempt from registration. Such restricted securities may be determined to be liquid. The Funds will not incur any registration costs upon such resale. The Income Fund’s restricted securities are valued at the price provided by pricing services or dealers in the secondary market or, if no market prices are available, at the fair value price as determined by the Fund’s Advisor or pursuant to the Fund’s fair value policy, subject to oversight by the Board of Trustees. The Income Fund has acquired securities, the sale of which is restricted under Rule 144A (“144A”) or Regulation S (“Reg S”) of the Securities Act of 1933. It is possible that the fair value price may differ significantly from the amount that may ultimately be realized in the near term, and the difference could be material.
At March 31, 2022, the aggregate value of such securities amounted to $1,144,784 and the value amounts to 8.29% of the net assets of the Income Fund.
Investments | Acquisition Date | Principal Amount | Amortized Cost | Fair Value | |||||||||||
| American Airlines Group, Inc. 3.75%, due 03/01/2025, 144A | 02/04/2021(a) | 525,000 | 457,537 | 478,060 | |||||||||||
| Staples, Inc., 10.75%, due 04/15/2027, 144A | 4/12/2021(a) | 750,000 | 749,296 | 666,724 | |||||||||||
(a) Additional purchase was made on 4/23/2021
(b) Additional purchases were made on 6/03/2021 and 12/29/2021.
IMS FAMILY OF FUNDS
NOTES TO THE SCHEDULES OF INVESTMENTS
March 31, 2022 (Unaudited)
Investments – As of March 31, 2022, the net unrealized appreciation (depreciation) of investments for tax purposes was as follows:
| Value Fund | Income Fund | |||||||
| Gross Appreciation | $ | 10,501,456 | $ | 27,383 | ||||
| Gross (Depreciation) | (2,066,032 | ) | (1,835,478 | ) | ||||
| Net Appreciation (Depreciation) on Investments | $ | 8,435,424 | $ | (1,808,095 | ) | |||
| Tax Cost | $ | 37,610,025 | $ | 13,345,299 | ||||
For the Value Fund, the difference between book basis and tax basis unrealized appreciation (depreciation) of investments is primarily attributable to the tax deferral of losses on wash sales.