Pemberwick Fund | ||||||||
Schedule of Investments | ||||||||
June 30, 2024 (Unaudited) | ||||||||
CORPORATE BONDS - 63.5% | Par | Value | ||||||
COMMUNICATIONS - 0.4% | ||||||||
Comcast Corp., 3.95%, 10/15/2025 | $ | 125,000 | $ | 123,070 | ||||
TWDC Enterprises 18 Corp., 3.15%, 09/17/2025 | 300,000 | 292,474 | ||||||
Walt Disney Co. | ||||||||
3.70%, 10/15/2025 | 250,000 | 245,338 | ||||||
1.75%, 01/13/2026 | 300,000 | 284,748 | ||||||
945,630 | ||||||||
CONSUMER, CYCLICAL - 0.5% | ||||||||
PACCAR Financial Corp., 2.15%, 08/15/2024 | 300,000 | 298,726 | ||||||
Target Corp. | ||||||||
3.50%, 07/01/2024 | 250,000 | 250,000 | ||||||
2.25%, 04/15/2025 | 250,000 | 243,977 | ||||||
Toyota Motor Credit Corp. | ||||||||
3.65%, 08/18/2025 | 300,000 | 294,628 | ||||||
0.80%, 10/16/2025 | 300,000 | 283,717 | ||||||
1,371,048 | ||||||||
CONSUMER, NON-CYCLICAL - 1.2% | ||||||||
Bristol-Myers Squibb Co. | ||||||||
0.75%, 11/13/2025 | 300,000 | 282,417 | ||||||
3.20%, 06/15/2026 | 300,000 | 289,332 | ||||||
Brown-Forman Corp., 3.50%, 04/15/2025 | 300,000 | 295,607 | ||||||
Gilead Sciences, Inc., 3.50%, 02/01/2025 | 300,000 | 296,629 | ||||||
PepsiCo, Inc., 2.75%, 04/30/2025 | 300,000 | 293,725 | ||||||
Philip Morris International, Inc., 1.50%, 05/01/2025 | 300,000 | 290,447 | ||||||
Thermo Fisher Scientific, Inc., 1.22%, 10/18/2024 | 300,000 | 296,166 | ||||||
UnitedHealth Group, Inc. | ||||||||
5.15%, 10/15/2025 | 300,000 | 299,672 | ||||||
3.70%, 12/15/2025 | 400,000 | 391,715 | ||||||
3.10%, 03/15/2026 | 350,000 | 338,684 | ||||||
3,074,394 | ||||||||
ENERGY - 0.7% | ||||||||
BP Capital Markets America, Inc. | ||||||||
3.80%, 09/21/2025 | 250,000 | 245,743 | ||||||
3.12%, 05/04/2026 | 300,000 | 288,841 | ||||||
Chevron Corp., 1.55%, 05/11/2025 | 300,000 | 290,473 | ||||||
Columbia Pipeline Group, Inc., 4.50%, 06/01/2025 | 300,000 | 296,380 | ||||||
Exxon Mobil Corp., 2.99%, 03/19/2025 | 300,000 | 295,066 | ||||||
Phillips 66, 3.85%, 04/09/2025 | 300,000 | 296,104 | ||||||
1,712,607 | ||||||||
FINANCIALS - 58.1%(a) | ||||||||
Aflac, Inc., 1.13%, 03/15/2026 | 300,000 | 280,206 | ||||||
Ameriprise Financial, Inc., 3.00%, 04/02/2025 | 300,000 | 294,230 | ||||||
AvalonBay Communities, Inc. | ||||||||
3.50%, 11/15/2024 | 300,000 | 297,647 | ||||||
3.50%, 11/15/2025 | 300,000 | 293,073 | ||||||
Bank of America Corp. | ||||||||
6.36% (3 mo. Term SOFR + 1.03%), 02/05/2026 | 5,178,000 | 5,193,797 | ||||||
6.68% (SOFR + 1.33%), 04/02/2026 | 3,669,000 | 3,693,298 | ||||||
Bank of America NA, 6.39% (SOFR + 1.02%), 08/18/2026 | 3,400,000 | 3,434,417 | ||||||
Bank of Montreal | ||||||||
5.67% (SOFR + 0.32%), 07/09/2024 | 2,600,000 | 2,600,065 |
6.08% (SOFR + 0.71%), 12/12/2024 | 4,000,000 | 4,006,998 | ||||||
5.82% (SOFR + 0.47%), 01/10/2025 | 1,971,000 | 1,972,821 | ||||||
6.43% (SOFR + 1.06%), 06/07/2025 | 2,000,000 | 2,010,584 | ||||||
6.33% (SOFR + 0.95%), 09/25/2025 | 1,680,000 | 1,691,088 | ||||||
Bank of New York Mellon, 5.82% (SOFR + 0.45%), 03/13/2026 | 4,000,000 | 4,002,737 | ||||||
Bank of New York Mellon Corp. | ||||||||
5.56% (SOFR + 0.20%), 10/25/2024 | 3,735,000 | 3,732,716 | ||||||
5.98% (SOFR + 0.62%), 04/25/2025 | 4,452,000 | 4,466,500 | ||||||
Bank of Nova Scotia, 5.81% (SOFR + 0.46%), 01/10/2025 | 1,850,000 | 1,851,670 | ||||||
Berkshire Hathaway, Inc., 3.13%, 03/15/2026 | 300,000 | 290,551 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
5.78% (SOFR + 0.42%), 10/18/2024 | 6,010,000 | 6,012,792 | ||||||
6.29% (SOFR + 0.94%), 04/07/2025 | 3,834,000 | 3,850,234 | ||||||
6.57% (SOFR + 1.22%), 10/02/2026 | 2,500,000 | 2,528,887 | ||||||
Citibank NA, 5.95% (SOFR + 0.59%), 04/30/2026 | 400,000 | 400,527 | ||||||
Citigroup, Inc. | ||||||||
6.05% (SOFR + 0.69%), 01/25/2026 | 2,585,000 | 2,587,804 | ||||||
6.90% (SOFR + 1.53%), 03/17/2026 | 9,300,000 | 9,375,079 | ||||||
ERP Operating LP, 3.38%, 06/01/2025 | 300,000 | 294,146 | ||||||
Goldman Sachs Group, Inc. | ||||||||
5.87% (SOFR + 0.50%), 09/10/2024 | 1,200,000 | 1,200,267 | ||||||
5.88% (SOFR + 0.51%), 09/10/2024 | 2,500,000 | 2,500,046 | ||||||
5.84% (SOFR + 0.49%), 10/21/2024 | 600,000 | 600,090 | ||||||
5.85% (SOFR + 0.49%), 10/21/2024 | 6,050,000 | 6,051,456 | ||||||
6.16% (SOFR + 0.79%), 12/09/2026 | 2,000,000 | 2,002,594 | ||||||
HSBC Holdings PLC | ||||||||
6.80% (SOFR + 1.43%), 03/10/2026 | 4,347,000 | 4,374,820 | ||||||
6.98% (3 mo. Term SOFR + 1.64%), 09/12/2026 | 4,000,000 | 4,044,677 | ||||||
Loews Corp., 3.75%, 04/01/2026 | 400,000 | 390,135 | ||||||
Marsh & McLennan Cos., Inc. | ||||||||
3.50%, 03/10/2025 | 300,000 | 295,801 | ||||||
3.75%, 03/14/2026 | 300,000 | 293,024 | ||||||
MetLife, Inc. | ||||||||
3.00%, 03/01/2025 | 100,000 | 98,315 | ||||||
3.60%, 11/13/2025 | 125,000 | 122,269 | ||||||
Mid-America Apartments LP, 4.00%, 11/15/2025 | 300,000 | 294,422 | ||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
7.01% (SOFR + 1.65%), 07/18/2025 | 5,240,000 | 5,243,304 | ||||||
6.76% (SOFR + 1.39%), 09/12/2025 | 3,820,000 | 3,828,628 | ||||||
Mizuho Financial Group, Inc., 6.33% (SOFR + 0.96%), 05/22/2026 | 4,500,000 | 4,519,633 | ||||||
Morgan Stanley | ||||||||
5.87% (SOFR + 0.51%), 01/22/2025 | 4,995,000 | 4,997,868 | ||||||
6.32% (SOFR + 0.95%), 02/18/2026 | 1,100,000 | 1,104,212 | ||||||
Morgan Stanley Bank NA, 6.14% (SOFR + 0.78%), 07/16/2025 | 6,065,000 | 6,094,248 | ||||||
Principal Financial Group, Inc., 3.40%, 05/15/2025 | 300,000 | 294,429 | ||||||
Prologis LP | ||||||||
3.25%, 06/30/2026 | 300,000 | 289,299 | ||||||
2.13%, 04/15/2027 | 300,000 | 277,138 | ||||||
Prudential Financial, Inc., 1.50%, 03/10/2026 | 400,000 | 376,349 | ||||||
Public Storage Operating Co., 0.88%, 02/15/2026 | 300,000 | 279,992 | ||||||
Realty Income Corp. | ||||||||
3.88%, 07/15/2024 | 296,000 | 295,789 | ||||||
3.88%, 04/15/2025 | 150,000 | 147,992 | ||||||
0.75%, 03/15/2026 | 400,000 | 369,719 | ||||||
4.13%, 10/15/2026 | 300,000 | 292,465 | ||||||
Royal Bank of Canada | ||||||||
5.72% (SOFR + 0.36%), 07/29/2024 | 3,200,000 | 3,200,486 | ||||||
5.69% (SOFR + 0.34%), 10/07/2024 | 7,461,000 | 7,463,289 | ||||||
5.80% (SOFR + 0.44%), 01/21/2025 | 1,000,000 | 999,595 | ||||||
6.20% (SOFR + 0.84%), 04/14/2025 | 1,000,000 | 1,004,001 | ||||||
Simon Property Group LP |
2.00%, 09/13/2024 | 350,000 | 347,388 | ||||||
3.38%, 10/01/2024 | 500,000 | 496,870 | ||||||
3.50%, 09/01/2025 | 100,000 | 97,892 | ||||||
3.30%, 01/15/2026 | 400,000 | 387,814 | ||||||
Societe Generale SA, 6.41% (SOFR + 1.05%), 01/21/2026 (b) | 2,000,000 | 2,001,909 | ||||||
Sumitomo Mitsui Financial Group, Inc., 6.78% (SOFR + 1.43%), 01/13/2026 | 1,400,000 | 1,421,700 | ||||||
Wells Fargo & Co., 6.68% (SOFR + 1.32%), 04/25/2026 | 3,000,000 | 3,023,315 | ||||||
Wells Fargo Bank NA | ||||||||
6.16% (SOFR + 0.80%), 08/01/2025 | 4,000,000 | 4,019,027 | ||||||
6.07% (SOFR + 0.71%), 01/15/2026 | 4,900,000 | 4,920,295 | ||||||
145,224,429 | ||||||||
INDUSTRIALS - 0.8% | ||||||||
Boeing Co. | ||||||||
2.85%, 10/30/2024 | 100,000 | 98,893 | ||||||
2.50%, 03/01/2025 | 100,000 | 97,610 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
3.00%, 04/01/2025 | 100,000 | 98,290 | ||||||
7.00%, 12/15/2025 | 215,000 | 220,616 | ||||||
Caterpillar Financial Services Corp. | ||||||||
2.15%, 11/08/2024 | 300,000 | 296,455 | ||||||
0.80%, 11/13/2025 | 300,000 | 282,952 | ||||||
John Deere Capital Corp. | ||||||||
4.05%, 09/08/2025 | 300,000 | 295,976 | ||||||
0.70%, 01/15/2026 | 300,000 | 280,574 | ||||||
5.05%, 03/03/2026 | 300,000 | 300,138 | ||||||
1,971,504 | ||||||||
TECHNOLOGY - 0.3% | ||||||||
Apple, Inc., 3.20%, 05/13/2025 | 150,000 | 147,470 | ||||||
International Business Machines Corp., 7.00%, 10/30/2025 | 150,000 | 153,361 | ||||||
Intuit, Inc., 0.95%, 07/15/2025 | 300,000 | 286,761 | ||||||
Lam Research Corp., 3.75%, 03/15/2026 | 300,000 | 293,003 | ||||||
880,595 | ||||||||
UTILITIES - 1.5% | ||||||||
Arizona Public Service Co., 3.15%, 05/15/2025 | 300,000 | 293,875 | ||||||
Berkshire Hathaway Energy Co., 3.50%, 02/01/2025 | 200,000 | 197,567 | ||||||
Commonwealth Edison Co., 3.10%, 11/01/2024 | 300,000 | 298,476 | ||||||
Duke Energy Progress LLC, 3.25%, 08/15/2025 | 100,000 | 97,842 | ||||||
Georgia Power Co., 3.25%, 04/01/2026 | 300,000 | 290,147 | ||||||
Louisville Gas and Electric Co., 3.30%, 10/01/2025 | 150,000 | 146,217 | ||||||
MidAmerican Energy Co., 3.50%, 10/15/2024 | 300,000 | 298,079 | ||||||
National Rural Utilities Cooperative Finance Corp. | ||||||||
1.88%, 02/07/2025 | 300,000 | 293,438 | ||||||
4.45%, 03/13/2026 | 300,000 | 295,988 | ||||||
PECO Energy Co., 3.15%, 10/15/2025 | 428,000 | 417,073 | ||||||
Public Service Electric and Gas Co. | ||||||||
3.00%, 05/15/2025 | 175,000 | 171,561 | ||||||
0.95%, 03/15/2026 | 300,000 | 279,976 | ||||||
Virginia Electric and Power Co., 3.15%, 01/15/2026 | 300,000 | 290,595 | ||||||
Wisconsin Electric Power Co., 2.05%, 12/15/2024 | 350,000 | 344,310 | ||||||
3,715,144 | ||||||||
TOTAL CORPORATE BONDS (Cost $158,845,572) | 158,895,351 | |||||||
U.S. TREASURY OBLIGATIONS - 8.6% | Par | Value | ||||||
United States Treasury Note/Bond | ||||||||
0.38%, 07/15/2024 | 1,500,000 | 1,497,125 | ||||||
1.25%, 08/31/2024 | 1,500,000 | 1,489,539 | ||||||
0.38%, 09/15/2024 | 1,500,000 | 1,484,781 |
1.50%, 10/31/2024 | 1,500,000 | 1,480,766 | ||||||
1.50%, 11/30/2024 | 1,300,000 | 1,279,637 | ||||||
1.75%, 12/31/2024 | 400,000 | 392,978 | ||||||
2.25%, 12/31/2024 | 500,000 | 492,502 | ||||||
1.38%, 01/31/2025 | 575,000 | 562,135 | ||||||
2.00%, 02/15/2025 | 500,000 | 489,795 | ||||||
0.50%, 03/31/2025 | 600,000 | 579,449 | ||||||
0.38%, 04/30/2025 | 400,000 | 384,488 | ||||||
2.13%, 05/15/2025 | 800,000 | 779,314 | ||||||
0.25%, 05/31/2025 | 600,000 | 573,758 | ||||||
0.25%, 06/30/2025 | 1,000,000 | 953,142 | ||||||
2.75%, 06/30/2025 | 500,000 | 488,585 | ||||||
2.88%, 07/31/2025 | 500,000 | 488,535 | ||||||
2.00%, 08/15/2025 | 800,000 | 773,609 | ||||||
2.75%, 08/31/2025 | 500,000 | 487,119 | ||||||
2.25%, 11/15/2025 | 820,000 | 790,820 | ||||||
4.50%, 11/15/2025 | 400,000 | 397,625 | ||||||
0.38%, 01/31/2026 | 1,700,000 | 1,584,553 | ||||||
2.63%, 01/31/2026 | 200,000 | 193,188 | ||||||
6.00%, 02/15/2026 | 1,900,000 | 1,938,223 | ||||||
0.75%, 04/30/2026 | 1,000,000 | 930,234 | ||||||
0.75%, 05/31/2026 | 1,000,000 | 927,500 | ||||||
TOTAL U.S. TREASURY SECURITIES (Cost $21,817,386) | 21,439,400 | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.2% | Par | Value | ||||||
Federal Home Loan Mortgage Corporation REMICS | ||||||||
Series 2091, Class PG, 6.00%, 11/15/2028 | 81,755 | 81,859 | ||||||
Series 2097, Class PZ, 6.00%, 11/15/2028 | 53,031 | 53,010 | ||||||
Series 2526, Class FI, 6.45% (30 day avg SOFR US + 1.11%), 02/15/2032 | 15,643 | 15,772 | ||||||
Series 2682, Class LD, 4.50%, 10/15/2033 | 18,338 | 18,000 | ||||||
Series 2759, Class TC, 4.50%, 03/15/2034 | 94,884 | 92,090 | ||||||
Series 2933, Class HD, 5.50%, 02/15/2035 | 1,993 | 2,008 | ||||||
Series 2989, Class TG, 5.00%, 06/15/2025 | 444 | 442 | ||||||
Series 3002, Class YD, 4.50%, 07/15/2025 | 4,139 | 4,107 | ||||||
Series 3775, Class EM, 3.50%, 11/15/2025 | 3,493 | 3,433 | ||||||
Series 3786, Class NA, 4.50%, 07/15/2040 | 8,720 | 8,574 | ||||||
Series 3970, Class HB, 3.00%, 12/15/2026 | 55,782 | 54,305 | ||||||
Series 4002, Class LB, 2.00%, 09/15/2041 | 43,637 | 40,306 | ||||||
Series 4020, Class PA, 2.75%, 03/15/2027 | 6,993 | 6,826 | ||||||
Series 4045, Class HC, 2.00%, 07/15/2041 | 731 | 725 | ||||||
Series 4171, Class NG, 2.00%, 06/15/2042 | 66,961 | 59,538 | ||||||
Series 4203, Class DM, 3.00%, 04/15/2033 | 34,092 | 32,800 | ||||||
Series 4266, Class BG, 2.50%, 04/15/2026 | 10,519 | 10,236 | ||||||
Series 4309, Class JD, 2.00%, 10/15/2043 | 10,594 | 9,553 | ||||||
Series 4311, Class TD, 2.50%, 02/15/2029 | 38,778 | 37,531 | ||||||
Series 4363, Class EJ, 4.00%, 05/15/2033 | 62,557 | 61,375 | ||||||
Series 4417, Class EG, 2.50%, 01/15/2040 | 22,553 | 22,378 | ||||||
Series 4453, Class DA, 3.50%, 11/15/2033 | 25,710 | 25,255 | ||||||
Series 4472, Class MA, 3.00%, 05/15/2045 | 255,409 | 232,887 | ||||||
Series 4716, Class PA, 3.00%, 07/15/2044 | 55,976 | 54,172 | ||||||
Series 4949, Class PM, 2.50%, 02/25/2050 | 146,769 | 120,507 | ||||||
1,047,689 | ||||||||
Federal National Mortgage Association REMICS | ||||||||
Series 2002-56, Class PE, 6.00%, 09/25/2032 | 44,330 | 45,267 | ||||||
Series 2003-127, Class EG, 6.00%, 12/25/2033 | 55,280 | 56,408 | ||||||
Series 2005-40, Class YG, 5.00%, 05/25/2025 | 722 | 717 | ||||||
Series 2005-48, Class AU, 5.50%, 06/25/2035 | 22,176 | 22,323 | ||||||
Series 2005-64, Class PL, 5.50%, 07/25/2035 | 5,552 | 5,596 | ||||||
Series 2005-68, Class PG, 5.50%, 08/25/2035 | 5,932 | 5,981 | ||||||
Series 2005-83, Class LA, 5.50%, 10/25/2035 | 2,664 | 2,682 | ||||||
Series 2007-27, Class MQ, 5.50%, 04/25/2027 | 891 | 885 |
Series 2010-123, Class BP, 4.50%, 11/25/2040 | 54,302 | 53,166 | ||||||
Series 2011-110, Class CY, 3.50%, 11/25/2026 | 66,275 | 64,900 | ||||||
Series 2011-146, Class LX, 3.50%, 10/25/2040 | 81,626 | 79,704 | ||||||
Series 2011-9, Class LH, 3.50%, 01/25/2039 | 2,258 | 2,249 | ||||||
Series 2012-101, Class AB, 1.50%, 06/25/2027 | 9,514 | 9,319 | ||||||
Series 2012-102, Class HA, 2.00%, 02/25/2042 | 43,088 | 39,525 | ||||||
Series 2012-134, Class VP, 3.00%, 10/25/2042 | 40,400 | 39,566 | ||||||
Series 2012-139, Class JA, 3.50%, 12/25/2042 | 153,737 | 142,050 | ||||||
Series 2012-148, Class BQ, 1.25%, 01/25/2028 | 31,917 | 30,482 | ||||||
Series 2012-38, Class PA, 2.00%, 09/25/2041 | 18,277 | 16,765 | ||||||
Series 2012-66, Class HE, 1.50%, 06/25/2027 | 5,243 | 5,055 | ||||||
Series 2012-90, Class DA, 1.50%, 03/25/2042 | 22,846 | 20,298 | ||||||
Series 2013-124, Class BD, 2.50%, 12/25/2028 | 7,316 | 7,157 | ||||||
Series 2013-14, Class QD, 1.50%, 03/25/2043 | 25,402 | 20,899 | ||||||
Series 2013-18, Class PA, 2.00%, 11/25/2041 | 60,242 | 56,087 | ||||||
Series 2013-6, Class LD, 2.00%, 02/25/2043 | 31,095 | 26,481 | ||||||
Series 2013-72, Class HG, 3.00%, 04/25/2033 | 84,948 | 81,094 | ||||||
Series 2014-19, Class HA, 2.00%, 06/25/2040 | 14,123 | 13,403 | ||||||
Series 2014-8, Class DA, 4.00%, 03/25/2029 | 11,216 | 11,037 | ||||||
Series 2016-105, Class PA, 3.50%, 04/25/2045 | 139,407 | 133,465 | ||||||
Series 2016-60, Class Q, 1.75%, 09/25/2046 | 60,139 | 52,988 | ||||||
Series 2016-8, Class PC, 2.50%, 10/25/2044 | 150,037 | 140,526 | ||||||
Series 2017-77, Class BA, 2.00%, 10/25/2047 | 52,490 | 46,320 | ||||||
Series 2019-33, Class N, 3.00%, 03/25/2048 | 323,766 | 296,045 | ||||||
1,528,440 | ||||||||
Government National Mortgage Association REMICS | ||||||||
Series 2007-11, Class PE, 5.50%, 03/20/2037 | 21,028 | 21,094 | ||||||
Series 2009-10, Class DE, 5.00%, 04/16/2038 | 15,768 | 15,711 | ||||||
Series 2010-112, Class NG, 2.25%, 09/16/2040 | 54,719 | 49,265 | ||||||
Series 2012-106, Class MA, 2.00%, 11/20/2041 | 66,258 | 59,958 | ||||||
Series 2012-48, Class MA, 2.50%, 04/16/2042 | 39,999 | 35,600 | ||||||
Series 2013-56, Class AP, 2.00%, 11/16/2041 | 57,311 | 50,898 | ||||||
Series 2013-64, Class LP, 1.50%, 08/20/2041 | 91,948 | 82,696 | ||||||
Series 2013-88, Class WA, 4.49%, 06/20/2030 (c) | 1,122 | 1,113 | ||||||
316,335 | ||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $3,089,526) | 2,892,464 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS - 0.7% | Par | Value | ||||||
Federal Home Loan Mortgage Corp. | ||||||||
Pool C91251, 4.50%, 06/01/2029 | 2,356 | 2,324 | ||||||
Pool C91281, 4.50%, 12/01/2029 | 5,162 | 5,088 | ||||||
Pool C91295, 4.50%, 04/01/2030 | 2,862 | 2,820 | ||||||
Pool J14494, 4.00%, 02/01/2026 | 2,123 | 2,097 | ||||||
Pool J15974, 4.00%, 06/01/2026 | 886 | 873 | ||||||
Pool J17508, 3.00%, 12/01/2026 | 11,624 | 11,325 | ||||||
Pool ZT1361, 3.00%, 05/01/2047 | 200,674 | 175,738 | ||||||
Series 292, Class 150, Pool S2-0326, 1.50%, 11/15/2027 | 20,983 | 20,171 | ||||||
220,436 | ||||||||
Federal National Mortgage Association | ||||||||
Pool 256045, 5.00%, 12/01/2025 | 1,483 | 1,474 | ||||||
Pool 257204, 5.50%, 05/01/2028 | 3,181 | 3,182 | ||||||
Pool AC3237, 5.00%, 10/01/2039 | 16,932 | 16,750 | ||||||
Pool AD0249, 5.50%, 04/01/2037 | 7,238 | 7,263 | ||||||
Pool BL5531, 2.33%, 01/01/2027 | 600,000 | 563,587 | ||||||
Pool BP3785, 2.00%, 03/01/2036 | 297,427 | 263,114 | ||||||
Pool BP6567, 3.00%, 08/01/2040 | 133,852 | 118,689 | ||||||
Pool FM2014, 3.00%, 11/01/2049 | 198,254 | 171,972 | ||||||
Pool FM5719, 3.00%, 06/01/2046 | 286,343 | 252,701 | ||||||
Pool MA0142, 4.00%, 08/01/2029 | 3,714 | 3,623 |
Pool MA0919, 3.50%, 12/01/2031 | 167,805 | 160,770 | ||||||
1,563,125 | ||||||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $1,981,586) | 1,783,561 | |||||||
SHORT-TERM INVESTMENTS - 25.4% | ||||||||
Money Market Funds - 22.4% | Shares | |||||||
First American Government Obligations Fund - Class X, 5.23% (d) | 56,149,993 | 56,149,993 | ||||||
U.S. Treasury Bills - 3.0% | Par | |||||||
5.22%, 08/22/2024 (e) | 1,500,000 | 1,488,692 | ||||||
5.25%, 09/05/2024 (e) | 1,500,000 | 1,485,682 | ||||||
5.25%, 10/03/2024 (e) | 1,500,000 | 1,479,751 | ||||||
5.29%, 11/07/2024 (e) | 1,500,000 | 1,472,238 | ||||||
5.30%, 11/14/2024 (e) | 1,500,000 | 1,470,801 | ||||||
7,397,164 | ||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $63,547,663) | 63,547,157 | |||||||
TOTAL INVESTMENTS - 99.4% (Cost $249,281,733) | 248,557,933 | |||||||
Other Assets in Excess of Liabilities - 0.6% | 1,564,742 | |||||||
$ | 250,122,675 | |||||||
Percentages are stated as a percent of net assets. | ||||||||
PLC - Public Limited Company REMICS - Real Estate Mortgage Investment Conduits | ||||||||
SA - Sociedad Anónima | ||||||||
SOFR - Secured Overnight Financing Rate |
(a) | To the extent that the Fund invests more heavily in a particular industry or sector of the economy, its performance will be especially sensitive to developments that significantly affect those industries or sectors. |
(b) | Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of June 30, 2024, the value of these securities total $2,001,909 or 0.8% of the Fund’s net assets. |
(c) | Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of June 30, 2024. |
(d) | The rate shown represents the 7-day annualized effective yield as of June 30, 2024. |
(e) | The rate shown is the effective yield as of June 30, 2024. |
Summary of Fair Value Measurements at June 30, 2024 (Unaudited) |
The Fund has adopted fair value accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value, a discussion of changes in valuation techniques and related inputs during the period, and expanded disclosure of valuation levels for major security types. These inputs are summarized in the three broad levels listed below: |
Level 1 - | Unadjusted, quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access at the date of measurement. | |
Level 2 - | Other significant observable inputs (including, but not limited to, quoted prices in active markets for similar instruments, quoted prices in markets that are not active for identical or similar instruments | |
model-derived valuations in which all significant inputs and significant value drivers are observable in active markets, such as interest rates, prepayment speeds, credit risk curves, default rates, and similar data). | ||
Level 3 - | Significant unobservable inputs for the asset or liability, to the extent relevant observable inputs, are not available, are representing the Fund's own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. | |
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the fair valuation hierarchy of the Fund's securities as of June 30, 2024: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments: | ||||||||||||||||
Corporate Bonds | $ | – | $ | 158,895,351 | $ | – | $ | 158,895,351 | ||||||||
U.S. Treasury Obligations | – | 21,439,400 | – | 21,439,400 | ||||||||||||
Collateralized Mortgage Obligations | – | 2,892,464 | – | 2,892,464 | ||||||||||||
U.S. Government Agency Obligations | – | 1,783,561 | – | 1,783,561 | ||||||||||||
Money Market Funds | 56,149,993 | – | – | 56,149,993 | ||||||||||||
U.S. Treasury Bills | – | 7,397,164 | – | 7,397,164 | ||||||||||||
Total Investments | $ | 56,149,993 | $ | 192,407,940 | $ | – | $ | 248,557,933 | ||||||||
Refer to the Schedule of Investments for further disaggregation of investment categories. |