ADVISORSHARES NORTH SQUARE MCKEE CORE RESERVES ETF
Schedule of Investments
September 30, 2022 (Unaudited)
Investments | Principal | Value | ||||||
ASSET BACKED SECURITIES – 37.4% | ||||||||
Diversified Financial Services – 37.4% | ||||||||
American Credit Acceptance Receivables Trust, Class D, Series 2019-3, 2.89%, 09/12/25‡ | $ | 347,807 | $ | 346,774 | ||||
American Credit Acceptance Receivables Trust, Class D, Series 2020-4, 1.77%, 12/14/26‡ | 355,000 | 336,112 | ||||||
AmeriCredit Automobile Receivables Trust, Class A3, Series 2021-2, 0.34%, 12/18/26 | 600,000 | 580,119 | ||||||
AmeriCredit Automobile Receivables Trust, Class A3, Series 2021-3, 0.76%, 08/18/26 | 400,000 | 383,078 | ||||||
Carvana Auto Receivables Trust, Class A1, Series 2021-N4, 0.83%, 09/11/28 | 189,040 | 183,884 | ||||||
Carvana Auto Receivables Trust, Class A1, Series 2022-N1, 2.31%, 12/11/28‡ | 178,856 | 174,926 | ||||||
CIG Auto Receivables Trust, Class A, Series 2021-1, 0.69%, 04/14/25‡ | 270,241 | 264,660 | ||||||
CNH Equipment Trust, Class A2, Series 2022-B, 3.94%, 12/15/25 | 650,000 | 645,736 | ||||||
Conn’s Receivables Funding LLC, Class A, Series 2021-A, 1.05%, 05/15/26‡ | 102,103 | 101,645 | ||||||
Enterprise Fleet Funding LLC, Class A2, Series 2021-1, 0.44%, 12/21/26‡ | 418,459 | 404,897 | ||||||
Exeter Automobile Receivables Trust, Class B, Series 2021-1A, 0.50%, 02/18/25 | 18,356 | 18,335 | ||||||
First Investors Auto Owner Trust, Class A, Series 2022-1A, 2.03%, 01/15/27‡ | 245,957 | 240,437 | ||||||
Flagship Credit Auto Trust, Class A, Series 2021-4, 0.81%, 07/17/26‡ | 319,902 | 310,544 | ||||||
Flagship Credit Auto Trust, Class A, Series 2022-1, 1.79%, 10/15/26‡ | 359,179 | 346,700 | ||||||
Ford Credit Auto Lease Trust, Class A2, Series 2021-B, 0.24%, 04/15/24 | 269,566 | 267,587 | ||||||
GLS Auto Receivables Issuer Trust, Class A, Series 2021-3A, 0.42%, 01/15/25‡ | 61,590 | 60,993 | ||||||
GLS Auto Receivables Issuer Trust, Class A, Series 2021-4A, 0.84%, 07/15/25‡ | 399,367 | 393,109 | ||||||
GLS Auto Receivables Issuer Trust, Class B, Series 2021-3A, 0.78%, 11/17/25‡ | 195,000 | 188,122 | ||||||
GLS Auto Receivables Trust, Class A, Series 2022-1A, 1.98%, 08/15/25‡ | 448,754 | 441,722 | ||||||
GM Financial Automobile Leasing Trust, Class C, Series 2020-2, 2.56%, 07/22/24 | 190,000 | 188,850 | ||||||
GM Financial Consumer Automobile Receivables Trust, Class A2, Series 2021-2, 0.27%, 06/17/24 | 73,346 | 73,155 | ||||||
GreatAmerica Leasing Receivables Funding LLC, Class A2, Series 2021-2, 0.38%, 03/15/24‡ | 532,902 | 522,071 | ||||||
Honda Auto Receivables Owner Trust, Class A2, Series 2021-3, 0.20%, 02/20/24 | 179,759 | 178,280 | ||||||
Hyundai Auto Lease Securitization Trust, Class A2A, Series 2022-C, 4.34%, 01/15/25‡ | 525,000 | 523,104 | ||||||
John Deere Owner Trust, Class A2, Series 2022-B, 3.73%, 06/16/25 | 285,000 | 282,661 | ||||||
OneMain Financial Issuance Trust, Class A, Series 2020-1A, 3.84%, 05/14/32‡ | 321,813 | 319,941 | ||||||
Oscar US Funding XIV LLC, Class A2, Series 2022-1A (Japan), 1.60%, 03/10/25‡ | 605,523 | 594,680 | ||||||
Santander Drive Auto Receivables Trust, Class A3, Series 2022-1, 1.94%, 11/17/25 | 490,000 | 480,058 | ||||||
Santander Drive Auto Receivables Trust, Class C, Series 2020-3, 1.12%, 01/15/26 | 231,871 | 230,206 | ||||||
Santander Drive Auto Receivables Trust, Class C, Series 2021-1, 0.75%, 02/17/26 | 675,000 | 664,184 | ||||||
Tesla Auto Lease Trust, Class A2, Series 2021-A, 0.36%, 03/20/25‡ | 131,198 | 129,469 | ||||||
Toyota Auto Receivables Owner Trust, Class A2A, Series 2022-B, 2.35%, 01/15/25 | 375,000 | 371,004 | ||||||
United Auto Credit Securitization Trust, Class A, Series 2022-1, 1.11%, 07/10/24‡ | 192,555 | 191,073 | ||||||
Verizon Owner Trust, Class B, Series 2020-A, 1.98%, 07/22/24 | 700,000 | 689,690 | ||||||
Westlake Automobile Receivables Trust, Class A2, Series 2021-3A, 0.57%, 09/16/24‡ | 267,892 | 265,428 | ||||||
Westlake Automobile Receivables Trust, Class A2A, Series 2021-2A, 0.32%, 04/15/25‡ | 236,251 | 233,601 | ||||||
Westlake Automobile Receivables Trust, Class C, Series 2020-3A, 1.24%, 11/17/25‡ | 560,000 | 545,108 | ||||||
Total Asset Backed Securities (Cost $12,343,838) | 12,171,943 | |||||||
CORPORATE BONDS – 25.8% | ||||||||
Banks – 8.4% | ||||||||
Bank of America Corp., 3.00%, (3-Month USD LIBOR + 0.79%), 12/20/23@ | 1,000,000 | 994,845 | ||||||
Goldman Sachs Group, Inc. (The), 3.49%, (SOFR + 0.62%), 12/06/23@ | 600,000 | 595,692 | ||||||
JPMorgan Chase Bank NA, Series 2, 3.00%, (3-Month USD LIBOR + 0.10%), 12/04/23@ | 245,000 | 241,396 | ||||||
Morgan Stanley, 4.88%, 11/01/22 | 920,000 | 920,217 | ||||||
Total Banks | 2,752,150 | |||||||
Diversified Financial Services – 2.5% | ||||||||
Aircastle Ltd., 4.40%, 09/25/23 | 325,000 | 319,186 | ||||||
American Express Co., 3.33%, (SOFR + 0.72%), 05/03/24@ | 495,000 | 493,470 | ||||||
Total Diversified Financial Services | 812,656 | |||||||
Electric – 1.8% | ||||||||
OGE Energy Corp., 0.70%, 05/26/23 | 113,000 | 110,047 | ||||||
Pacific Gas and Electric Co., 3.25%, 02/16/24 | 500,000 | 483,005 | ||||||
Total Electric | 593,052 | |||||||
Entertainment – 1.1% | ||||||||
Warnermedia Holdings, Inc., 3.53%, 03/15/24‡ | 375,000 | 362,489 | ||||||
Gas – 3.0% | ||||||||
CenterPoint Energy Resources Corp., 3.60%, (3-Month USD LIBOR + 0.50%), 03/02/23@ | 523,000 | 521,835 | ||||||
Southern California Gas Co., 3.62%, (3-Month USD LIBOR + 0.35%), 09/14/23@ | 466,000 | 464,439 | ||||||
Total Gas | 986,274 |
ADVISORSHARES NORTH SQUARE MCKEE CORE RESERVES ETF
Schedule of Investments (continued)
September 30, 2022 (Unaudited)
Investments | Principal | Value | ||||||
CORPORATE BONDS (continued) | ||||||||
Healthcare - Services – 1.8% | ||||||||
Humana, Inc., 3.15%, 12/01/22 | $ | 581,000 | $ | 580,090 | ||||
Insurance – 2.5% | ||||||||
Athene Global Funding, 3.77%, (SOFR + 0.72%), 01/07/25@‡ | 825,000 | 798,983 | ||||||
Pharmaceuticals – 2.1% | ||||||||
AbbVie, Inc., 2.90%, 11/06/22 | 670,000 | 668,854 | ||||||
Pipelines – 1.6% | ||||||||
Kinder Morgan Energy Partners LP, 3.45%, 02/15/23 | 509,000 | 506,717 | ||||||
Retail – 1.0% | ||||||||
QVC, Inc., 4.38%, 03/15/23 | 336,000 | 331,823 | ||||||
Total Corporate Bonds (Cost $8,505,245) | 8,393,088 | |||||||
U.S. GOVERNMENT BONDS AND NOTES – 17.7% | ||||||||
Federal Farm Credit Banks Funding Corp., 3.94%, 07/27/26 | 750,000 | 731,643 | ||||||
Federal Farm Credit Banks Funding Corp., 4.89%, 10/03/25 | 1,050,000 | 1,049,987 | ||||||
Federal Home Loan Banks, 2.50%, 04/29/27 | 150,000 | 146,642 | ||||||
Federal Home Loan Banks, 3.64%, 07/28/25 | 750,000 | 736,283 | ||||||
Federal Home Loan Banks, 3.70%, 03/15/24 | 455,000 | 453,575 | ||||||
Federal Home Loan Banks, 3.72%, 10/10/23 | 150,000 | 149,431 | ||||||
Federal Home Loan Banks, 4.30%, 09/26/23 | 1,500,000 | 1,501,831 | ||||||
Federal Home Loan Mortgage Corp., 4.75%, 09/30/25 | 1,000,000 | 992,949 | ||||||
Total U.S. Government Bonds and Notes (Cost $5,803,035) | 5,762,341 | |||||||
MORTGAGE BACKED SECURITIES – 10.4% | ||||||||
Commercial Mortgage Backed Securities – 10.4% | ||||||||
Arroyo Mortgage Trust, Class A1, Series 2019-1, 3.81%, 01/25/49@‡* | 107,474 | 101,377 | ||||||
Federal Home Loan Mortgage Corp., Class A2, Series 2013-K026, 2.51%, 11/25/22 | 358,076 | 357,272 | ||||||
Federal Home Loan Mortgage Corp., Class A1, Series 2013-K033, 2.87%, 02/25/23 | 505,828 | 503,462 | ||||||
Federal Home Loan Mortgage Corp., Class A2, Series 2013-K033, 3.06%, 07/25/23@* | 300,000 | 296,954 | ||||||
Federal Home Loan Mortgage Corp., Class A1, Series 2015-K051, 2.89%, 04/25/25 | 346,733 | 338,754 | ||||||
Federal Home Loan Mortgage Corp., Class PA, Series 2016-4614, 3.00%, 12/15/43 | 705,248 | 698,213 | ||||||
Federal Home Loan Mortgage Corp., Class LB, Series 2017-4673, 2.50%, 04/15/44 | 37,316 | 36,830 | ||||||
Federal Home Loan Mortgage Corp., Class QM, Series 2018-4776, 3.00%, 06/15/45 | 275,729 | 270,579 | ||||||
Federal National Mortgage Association, Class LB, Series 2014-85, 3.00%, 02/25/33 | 308,445 | 305,330 | ||||||
Federal National Mortgage Association, Class FW, Series 2004-60, 3.53%, (1-Month USD LIBOR + 0.45%), 04/25/34@ | 137,510 | 137,465 | ||||||
Federal National Mortgage Association, Class JA, Series 2017-49, 4.00%, 07/25/53 | 334,678 | 329,350 |
Investments | Principal/ Shares | Value | ||||||
MORTGAGE BACKED SECURITIES (continued) | ||||||||
Total Mortgage Backed Securities (Cost $3,416,524) | $ | 3,375,586 | ||||||
U.S. TREASURY NOTES – 6.7% | ||||||||
U.S. Treasury Note, 2.75%, 08/31/23(a) | 700,000 | 690,870 | ||||||
U.S. Treasury Note, 3.25%, 08/31/24(a) | 530,000 | 520,622 | ||||||
U.S. Treasury Note, 3.50%, 09/15/25 | 1,000,000 | 979,844 | ||||||
Total U.S. Treasury Notes (Cost $2,224,219) | 2,191,336 | |||||||
FOREIGN BOND – 1.0% | ||||||||
Oil & Gas – 1.0% | ||||||||
Ecopetrol SA, 5.88%, 09/18/23 (Colombia) (Cost $337,172) | 328,000 | 325,955 | ||||||
MONEY MARKET FUND – 9.7% | ||||||||
JPMorgan U.S. Government Money Market Fund - Institutional Class, 2.72%(b) | ||||||||
(Cost $3,163,388) | 3,163,388 | 3,163,388 | ||||||
REPURCHASE AGREEMENTS – 1.5%(c) | ||||||||
Citigroup Global Markets, Inc., dated 09/30/22, due 10/03/22, 3.05%, total to be received $250,064, (collateralized by various U.S. Government Agency Obligations, 0.00%-5.38%, 2/15/24-3/20/52, totaling $255,000) | $ | 250,000 | 250,000 | |||||
JP Morgan Securities LLC, dated 09/30/22, due 10/03/22, 2.97%, total to be received $5,215, (collateralized by various U.S. Government Agency Obligations, 0.25%-3.88%, 9/30/23-9/30/29, totaling $5,318) | 5,214 | 5,214 | ||||||
RBC Dominion Securities, Inc., dated 09/30/22, due 10/03/22, 3.04%, total to be received $250,063, (collateralized by various U.S. Government Agency Obligations, 0.00%-6.00%, 8/15/25-8/20/52, totaling $255,000) | 250,000 | 250,000 | ||||||
Total Repurchase Agreements (Cost $505,214) | 505,214 | |||||||
Total Investments – 110.2% | ||||||||
(Cost $36,298,635) | 35,888,851 | |||||||
Liabilities in Excess of Other Assets – (10.2%) | (3,325,571 | ) | ||||||
Net Assets – 100.0% | $ | 32,563,280 |
LIBOR - London Interbank Offered Rate |
LP - Limited Partnership |
SOFR - Secured Overnight Financing Rate |
USD - United States Dollar |
@ | Variable rate instrument. The interest rate shown reflects the rate in effect at September 30, 2022. |
* | Adjustable rate security with an interest rate that is not based on a published reference index and spread. The rate is based on the structure of the agreement and current market conditions. |
‡ | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. |
(a) | All or a portion of security is on loan. The aggregate market value of the securities on loan is $1,014,100; the aggregate market value of the collateral held by the fund is $1,033,308. The aggregate market value of the collateral includes non-cash U.S. Treasury securities collateral having a value of $533,308. |
(b) | Rate shown reflects the 7-day yield as of September 30, 2022. |
(c) | Collateral received from brokers for securities lending was invested in these short-term investments. |
ADVISORSHARES NORTH SQUARE MCKEE CORE RESERVES ETF
Schedule of Investments (continued)
September 30, 2022 (Unaudited)
For information on the Fund’s policies regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual or annual financial statements.
Fair Value Measurements
The following is a summary of the inputs used, as of September 30, 2022, in valuing the Fund’s assets and liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds and credit risk). Level 3 includes significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities.
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset Backed Securities | $ | - | $ | 12,171,943 | $ | - | $ | 12,171,943 | ||||||||
Corporate Bonds | - | 8,393,088 | - | 8,393,088 | ||||||||||||
U.S. Government Bonds and Notes | - | 5,762,341 | - | 5,762,341 | ||||||||||||
Mortgage Backed Securities | - | 3,375,586 | - | 3,375,586 | ||||||||||||
U.S. Treasury Notes | - | 2,191,336 | - | 2,191,336 | ||||||||||||
Foreign Bond | - | 325,955 | - | 325,955 | ||||||||||||
Money Market Fund | 3,163,388 | - | - | 3,163,388 | ||||||||||||
Repurchase Agreements | - | 505,214 | - | 505,214 | ||||||||||||
Total | $ | 3,163,388 | $ | 32,725,463 | $ | - | $ | 35,888,851 |
SUMMARY OF SCHEDULE OF INVESTMENTS
% of Net Assets | ||||
Banks | 8.4 | % | ||
Commercial Mortgage Backed Securities | 10.4 | |||
Diversified Financial Services | 39.9 | |||
Electric | 1.8 | |||
Entertainment | 1.1 | |||
Gas | 3.0 | |||
Healthcare - Services | 1.8 | |||
Insurance | 2.5 | |||
Oil & Gas | 1.0 | |||
Pharmaceuticals | 2.1 | |||
Pipelines | 1.6 | |||
Retail | 1.0 | |||
U.S. Government Bond and Notes | 17.7 | |||
U.S. Treasury Notes | 6.7 | |||
Money Market Fund | 9.7 | |||
Repurchase Agreements | 1.5 | |||
Total Investments | 110.2 | |||
Liabilities in Excess of Other Assets | (10.2 | ) | ||
Net Assets | 100.0 | % |