Forum Funds Ii NPORT-P Abr Dynamic Blend Equity & Volatility Fund (Apr 2020 report)

ABR

Dynamic

Blend

Equity

&

Volatility

Fund

SCHEDULE

OF

INVESTMENTS

(Unaudited)

April

30,

2020

1

At

April

30,

2020,

the

Fund

held

the

following

exchange

traded

futures

contracts:

The

following

is

a

summary

of

the

inputs

used

to

value

the

Fund's investments

as

of

April

30,

2020.

The

Fund

has

a

three-tier

fair

value

hierarchy.

The

basis

of

the

tiers

is

dependent

upon

the

various

“inputs”

used

to

determine

the

value

of

the

Fund’s

investments.

These

inputs

are

summarized

in

the

three

broad

levels

listed

below:

Level

1

–

quoted

prices

in

active

markets

for

identical

assets

Level

2

–

Prices

determined

using

significant

other

observable

inputs

(including

quoted

prices

for

similar

securities,

interest

rates,

prepayment

speeds,

credit

risk,

etc.).

Short-term

securities

with

maturities

of

sixty

days

or

less

are

valued

at

amortized

cost,

which

approximates

market

value,

and

are

categorized

as

Level

2

in

the

hierarchy.

Municipal

securities,

long-term

U.S.

government

obligations

and

corporate

debt

securities

are

valued

in

accordance

with

the

evaluated

price

supplied

by

the

pricing

service

and

generally

categorized

as

Level

2

in

the

hierarchy.

Other

securities

that

are

categorized

as

Level

2

in

the

hierarchy

include,

but

are

not

limited

to,

warrants

that

do

not

trade

on

an

exchange,

securities

valued

at

the

mean

between

the

last

reported

bid

and

ask

quotation

and

international

equity

securities

valued

by

an

independent

third

party

with

adjustments

for

changes

in

value

between

the

time

of

the

securities

respective

local

market

closes

and

the

close

of

the

U.S.

market.

Level

3

–

significant

unobservable

inputs

(including

the

Fund’s

own

assumptions

in

determining

the

fair

value

of

investments)

The

inputs

or

methodology

used

for

valuing

securities

are

not

necessarily

an

indication

of

the

risk

associated

with

investing

in

those

securities.

The

Level

1

value

displayed

in

this

table

includes

futures.

The

Level

2

value

displayed

in

this

table

is

U.S.

Treasury

Securities.

THE

PORTFOLIO

OF

INVESTMENTS

SHOULD

BE

READ

IN

CONJUNCTION

WITH

THE

FINANCIAL

STATEMENTS

AND

NOTES

TO

FINANCIAL

STATEMENTS

WHICH

ARE

INCLUDED

IN

THE

FUND’S

AUDITED

ANNUAL

REPORT

OR

SEMI-ANNUAL

REPORT.

THESE

REPORTS

INCLUDE

ADDITIONAL

INFORMATION

ABOUT

THE

FUND’S

SECURITY

VALUATION

POLICIES

AND

ABOUT

CERTAIN

SECURITY

TYPES

INVESTED

BY

THE

FUND. 

Principal

Security

Description

Rate

Maturity

Value

U.S.

Government

&

Agency

Obligations

-

32.4%

U.S.

Treasury

Securities

-

32.4%

30,000,000‌

U.S.

Treasury

Bill 

(a)

1.83 -1.90% 

06/18/20

$

29,996,600‌

3,000,000‌

U.S.

Treasury

Bill 

(a)

1.77   

09/10/20

2,998,790‌

3,000,000‌

U.S.

Treasury

Bill 

(a)

1.41   

12/03/20

2,997,795‌

35,993,185‌

Total

U.S.

Government

&

Agency

Obligations

(Cost

$35,882,335)

35,993,185‌

Investments,

at

value

-

32.4%

(Cost

$35,882,335)

$

35,993,185‌

Other

Assets

&

Liabilities,

Net

-

67.6%

74,934,737‌

Net

Assets

-

100.0%

$

110,927,922‌

(a)

Zero

coupon

bond.

Interest

rate

presented

is

yield

to

maturity.

Contracts

Description

Expiration

Date

Notional

Contract

Value

Value

Net

Unrealized

Appreciation

(Depreciation)

68‌

CBOE

VIX

Future

05/20/20

$

2,508,066‌

$

2,310,300‌

$

(197,766‌)

64‌

CBOE

VIX

Future

06/17/20

2,156,544‌

2,126,400‌

(30,144‌)

731‌

S&P

500

E-mini

Future

06/19/20

99,696,669‌

106,082,720‌

6,386,051‌

$

104,361,279‌

$

110,519,420‌

$

6,158,141‌

Valuation

Inputs

Investments

in

Securities

Other

Financial

Instruments*

Level

1

-

Quoted

Prices

$

–‌

$

6,158,141‌

Level

2

-

Other

Significant

Observable

Inputs

35,993,185‌

–‌

Level

3

-

Significant

Unobservable

Inputs

–‌

–‌

Total

$

35,993,185‌

$

6,158,141‌

*

Other

Financial

Instruments

are

derivatives

not

reflected

in

the

Schedule

of

Investments,

such

as

futures,

which

are

valued

at

the

unrealized

appreciation

(depreciation)

at

period

end.