The Community Development Fund | March 31, 2020 | |
(Unaudited) | ||
SCHEDULE OF INVESTMENTS |
| Description | Face Amount | Market Value | ||||||
| U.S. GOVERNMENT & AGENCY OBLIGATIONS - 56.3% | ||||||||
| FHLMC Multifamily - 9.8% | ||||||||
| Pool WN0011, 3.38%, 04/01/2030 | $ | 775,034 | $ | 880,561 | ||||
| Pool WA0500, 3.48%, 03/01/2047 | 2,502,067 | 2,879,007 | ||||||
| Pool WA3207, 3.60%, 04/01/2030 | 2,216,215 | 2,545,871 | ||||||
| 6,305,439 | ||||||||
| FHLMC Single Family - 5.3% | ||||||||
| Pool Q41874, 3.00%, 07/01/2046 | 1,512,233 | 1,596,889 | ||||||
| Pool RA1853, 3.00%, 12/01/2049 | 1,727,801 | 1,811,275 | ||||||
| 3,408,164 | ||||||||
| FNMA Multifamily - 11.4% | ||||||||
| Pool AM0126, 2.68%, 08/01/2022 | 1,483,653 | 1,530,280 | ||||||
| Pool AN6185, 2.93%, 07/01/2024 | 1,315,851 | 1,410,493 | ||||||
| Pool AN5657, 3.30%, 07/01/2032 | 373,718 | 424,170 | ||||||
| Pool AM5986, 3.44%, 06/01/2026 | 1,087,911 | 1,216,331 | ||||||
| Pool 469683, 3.54%, 11/01/2021 | 1,067,693 | 1,095,783 | ||||||
| Pool AM5197, 4.20%, 01/01/2030 | 1,419,334 | 1,696,665 | ||||||
| 7,373,722 | ||||||||
| FNMA Single Family - 25.1% | ||||||||
| Pool 30YR TBA, 3.00%, 04/01/2043 | 2,180,000 | 2,285,338 | ||||||
| Pool AS7484, 3.00%, 06/01/2046 | 939,086 | 990,000 | ||||||
| Pool BC0962, 3.00%, 06/01/2046 | 1,446,057 | 1,527,704 | ||||||
| Pool AS7476, 3.00%, 07/01/2046 | 485,808 | 510,981 | ||||||
| Pool AS7647, 3.00%, 07/01/2046 | 783,882 | 825,190 | ||||||
| Pool AS7653, 3.00%, 07/01/2046 | 1,502,507 | 1,583,026 | ||||||
| Pool AS8262, 3.00%, 10/01/2046 | 814,360 | 858,303 | ||||||
| Pool AS8465, 3.00%, 12/01/2046 | 797,146 | 840,473 | ||||||
| Pool CA4927, 3.00%, 01/01/2050 | 885,014 | 930,228 | ||||||
| Pool AS8734, 3.50%, 01/01/2047 | 1,026,535 | 1,091,193 | ||||||
| Pool AS9369, 3.50%, 03/01/2047 | 934,643 | 997,393 | ||||||
| Pool AS9360, 3.50%, 04/01/2047 | 950,413 | 1,009,319 | ||||||
| Pool CA0819, 3.50%, 11/01/2047 | 958,108 | 1,016,051 | ||||||
| Pool CA1158, 3.50%, 02/01/2048 | 1,106,074 | 1,184,967 | ||||||
| Pool CA1985, 4.00%, 06/01/2048 | 539,820 | 583,175 | ||||||
| 16,233,341 | ||||||||
| GNMA Single Family - 4.7% | ||||||||
| Pool G2 AT5238, 3.00%, 06/20/2046 | 529,107 | 558,864 | ||||||
| Pool G2 AU1724, 3.00%, 06/20/2046 | 525,088 | 556,671 | ||||||
| Pool G2 AU1835, 3.00%, 08/20/2046 | 428,123 | 453,155 | ||||||
| Pool G2 AS5883, 3.50%, 06/20/2046 | 524,032 | 555,227 | ||||||
| Pool G2 AU1762, 3.50%, 07/20/2046 | 876,264 | 929,997 | ||||||
| 3,053,914 | ||||||||
| TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS | ||||||||
| (COST $34,703,909) | 36,374,580 | |||||||
| MORTGAGE-BACKED SECURITIES - 38.0% | ||||||||
| FHLMC Multifamily Structured Pass-Through Certificates | ||||||||
| 0.52%, 08/25/2022 (a)(b) | 5,632,062 | 49,814 | ||||||
| 0.70%, 01/25/2023 (a)(b) | 1,662,107 | 27,181 | ||||||
| 0.82%, 09/25/2022 (a)(b) | 1,793,244 | 31,028 | ||||||
| 1.74%, VAR ICE LIBOR USD 1 Month+0.220% 05/25/2025 | 1,080,627 | 1,067,615 | ||||||
| 2.86%, 10/25/2034 | 2,300,000 | 2,603,893 | ||||||
| 3.13%, 10/25/2028 | 3,235,355 | 3,559,741 | ||||||
| 3.69%, 01/25/2029 | 1,000,000 | 1,174,036 | ||||||
| FREMF Mortgage Trust | ||||||||
| 4.42%, 12/25/2048 (a)(c) | 120,000 | 120,010 | ||||||
| FRESB Mortgage Trust | ||||||||
| 2.13%, 11/25/2039 (a) | 1,998,723 | 2,086,918 | ||||||
| 2.21%, 12/25/2029 (a) | 1,998,401 | 2,118,841 | ||||||
| 2.25%, 12/25/2039 (a) | 999,000 | 1,058,950 | ||||||
| 2.42%, 09/25/2029 (a) | 2,095,879 | 1,956,884 | ||||||
| FRESB Multifamily Mortgage Pass-Through Trust | ||||||||
| 2.61%, 09/25/2022 (a) | 568,315 | 590,329 | ||||||
The Community Development Fund | March 31, 2020 | |
(Unaudited) | ||
SCHEDULE OF INVESTMENTS |
| Description | Face Amount | Market Value | ||||||
| 2.94%, 09/25/2027 (a) | $ | 871,508 | $ | 904,511 | ||||
| 2.96%, 10/25/2027 (a) | 868,224 | 894,049 | ||||||
| 3.19%, 12/25/2025 (a) | 993,577 | 1,030,934 | ||||||
| 3.36%, VAR LIBOR USD 1 Month+3.420% 09/25/2038 | 1,075,330 | 1,106,554 | ||||||
| 3.88%, VAR ICE LIBOR USD 1 Month+3.880% 08/25/2038 | 1,976,067 | 2,131,334 | ||||||
| GNMA | ||||||||
| 2.60%, 08/16/2058 | 947,874 | 963,374 | ||||||
| 2.60%, 09/16/2058 | 1,083,404 | 1,100,318 | ||||||
| TOTAL MORTGAGE-BACKED SECURITIES | ||||||||
| (COST $23,500,231) | 24,576,314 | |||||||
| MUNICIPAL BONDS - 4.5% | ||||||||
| Massachusetts - 2.2% | ||||||||
| Massachusetts State, Housing Finance Agency, RB | ||||||||
| 2.35%, 06/01/2020 | 1,000,000 | 1,000,280 | ||||||
| 2.60%, 12/01/2039 (d) | 120,000 | 120,080 | ||||||
| 2.80%, 06/01/2020 | 305,000 | 305,540 | ||||||
| 1,425,900 | ||||||||
| New York - 2.3% | ||||||||
| New York City, Housing Development Authority, RB | ||||||||
| 2.20%, 05/01/2020 | 750,000 | 750,338 | ||||||
| 2.35%, 11/01/2020 | 175,000 | 175,658 | ||||||
| 3.02%, 11/01/2022 | 525,000 | 540,115 | ||||||
| 1,466,111 | ||||||||
| TOTAL MUNICIPAL BONDS | ||||||||
| (COST $2,875,000) | 2,892,011 | |||||||
| Shares | ||||||||
| SHORT-TERM INVESTMENT - 4.4% | ||||||||
| Money Market Fund - 4.4% | ||||||||
| Fidelity Institutional Government Portfolio, Cl I, 0.30% (e) | 2,884,207 | 2,884,207 | ||||||
| TOTAL SHORT-TERM INVESTMENT | ||||||||
| (COST $2,884,207) | 2,884,207 | |||||||
| TOTAL INVESTMENTS (COST $63,963,347) - 103.2% | 66,727,112 | |||||||
| OTHER ASSETS AND LIABILITIES - (3.2)% | (2,081,785 | ) | ||||||
| NET ASSETS - 100.0% | $ | 64,645,327 | ||||||
Type of Contract | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | ||||||||||||
| U.S. 10-Year Treasury Notes | (21 | ) | Jun-20 | $ | (2,792,789 | ) | $ | (2,912,438 | ) | $ | (119,649 | ) | |||||
| U.S. 5-Year Treasury Notes | 35 | Jul-20 | 4,259,145 | 4,387,578 | 128,433 | ||||||||||||
| U.S. Long Treasury Bond | (14 | ) | Jun-20 | (2,332,498 | ) | (2,506,875 | ) | (174,377 | ) | ||||||||
| Ultra 10-Year U.S. Treasury Notes | (30 | ) | Jun-20 | (4,433,370 | ) | (4,680,937 | ) | (247,567 | ) | ||||||||
| $ | (5,299,512 | ) | $ | (5,712,672 | ) | $ | (413,160 | ) | |||||||||
The Community Development Fund | March 31, 2020 | |
(Unaudited) | ||
SCHEDULE OF INVESTMENTS |
| (a) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
| (b) | Interest only security ("IO"). These types of securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the "interest only" holding. |
| (c) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." The total value of such securities at March 31, 2020 was $120,010 and represents 0.2% of Net Assets. |
| (d) | Variable or floating rate security, the interest rate of which adjusts periodically based prevailing interest rates. |
| (e) | Rate shown is the 7-day effective yield as of March 31, 2020. |
| Cl — Class |
| FHLMC — Federal Home Loan Mortgage Corporation |
| FNMA — Federal National Mortgage Association |
| FREMF — Freddie Mac Multifamily |
| FRESB — Freddie Mac Small Balance Mortgage Trust |
| GNMA — Government National Mortgage Association |
| ICE — Intercontinental Exchange |
| LIBOR — London Interbank Offered Rate |
| RB — Revenue Bond |
| TBA — To Be Announced |
| USD — United States Dollar |
| VAR — Variable Rate |
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| U.S. Government & Agency Obligations | $ | — | $ | 36,374,580 | $ | — | $ | 36,374,580 | ||||||||
| Mortgage-Backed Securities | — | 24,576,314 | — | 24,576,314 | ||||||||||||
| Municipal Bonds | — | 2,892,011 | — | 2,892,011 | ||||||||||||
| Short-Term Investment | 2,884,207 | — | — | 2,884,207 | ||||||||||||
| Total Investments in Securities | $ | 2,884,207 | $ | 63,842,905 | $ | — | $ | 66,727,112 | ||||||||
| Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Futures Contracts† | ||||||||||||||||
| Unrealized Appreciation | $ | 128,433 | $ | — | $ | — | $ | 128,433 | ||||||||
| Unrealized Depreciation | (541,593 | ) | — | — | (541,593 | ) | ||||||||||
| Total Other Financial Instruments | $ | (413,160 | ) | $ | — | $ | — | $ | (413,160 | ) | ||||||
