Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (n-q)
March 31 2020 - 3:59PM
Edgar (US Regulatory)
united
states
securities and exchange commission
washington, d.c. 20549
form n-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-22718
Two Roads Shared Trust
(Exact name of registrant as specified in charter)
225 Pictoria Drive, Suite 450, Cincinnati, OH 45246
(Address of principal executive offices) (Zip
code)
Richard Malinowski, Gemini Fund Services,
LLC.
80 Arkay Drive, Suite 110, Hauppauge, NY
11788
(Name and address of agent for service)
Registrant's telephone number, including area code: 402-895-1600
Date of fiscal year end: 10/31
Date of reporting period: 1/31/2020
Form N-Q is to be used by management investment
companies, other than small business investment companies registered on Form N-5 (§§239.24 and 274.5 of this chapter),
to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to
rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form
N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information
specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection
of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB")
control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions
for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The
OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Schedule of Investments.
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Anfield Universal Fixed Income Fund
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SCHEDULE OF INVESTMENTS (Unaudited)
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January 31, 2020
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Shares
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Fair Value
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CLOSED END FUND - 0.1 %
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DEBT FUND - 0.1 %
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15,236
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BlackRock Floating Rate Income Strategies Fund, Inc.
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$ 205,229
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TOTAL CLOSED END FUND (Cost $220,059)
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205,229
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EXCHANGE TRADED FUNDS - 0.1 %
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DEBT FUND - 0.1 %
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16,900
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InvesCo Senior Loan ETF
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382,109
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TOTAL EXCHANGE TRADED FUNDS (Cost $420,719)
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382,109
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MUTUAL FUNDS - 3.5 %
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DEBT FUNDS - 3.5 %
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217,232
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Fidelity Floating Rate High Income Fund - Institutional Class
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2,057,190
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744,553
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Vanguard Short-Term Investment Grade Fund - Institutional Class
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8,041,168
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TOTAL MUTUAL FUNDS (Cost $9,927,205)
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10,098,358
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Par Value
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Coupon Rate (%)
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Maturity
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Spread
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Rate
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BONDS & NOTES - 85.3 %
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AGENCY COLLATERAL CMO - 14.0 %
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$ 1,299,465
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Fannie Mae Interest Strip *
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2.5000
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2/25/2028
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82,632
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964,728
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Fannie Mae Interest Strip *
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3.0000
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11/25/2043
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132,770
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687,047
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Fannie Mae Interest Strip *
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3.5000
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11/25/2041
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93,700
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2,615,105
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Fannie Mae Interest Strip *
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3.5000
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12/25/2042
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360,629
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462,510
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Fannie Mae Interest Strip *#
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4.0000
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11/25/2041
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59,326
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420,340
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Fannie Mae Interest Strip *#
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4.0000
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7/25/2042
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76,904
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845,699
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Fannie Mae Interest Strip *
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4.5000
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7/25/2037
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120,310
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315,275
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Fannie Mae Interest Strip *#
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4.5000
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11/25/2039
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55,273
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1,123,728
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Fannie Mae Interest Strip *#
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4.5000
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10/25/2040
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207,987
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913,152
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Fannie Mae Interest Strip *#
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4.5000
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11/25/2040
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145,679
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768,483
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Fannie Mae Interest Strip *#
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4.5000
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7/25/2042
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161,253
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428,979
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Fannie Mae Interest Strip *#
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4.5000
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7/25/2042
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77,775
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483,739
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Fannie Mae Interest Strip *
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5.0000
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1/25/2039
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68,527
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3,225,242
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Fannie Mae Interest Strip *
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5.0000
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12/25/2040
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635,517
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861,635
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Fannie Mae Interest Strip *
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5.5000
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5/1/2033
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147,938
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627,137
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Fannie Mae Interest Strip *#
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5.5000
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5/25/2039
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120,224
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1,690,780
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Fannie Mae Interest Strip *
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6.0000
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5/25/2039
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394,214
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649,232
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Fannie Mae Interest Strip *#
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6.0000
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5/25/2039
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134,294
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274,530
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Fannie Mae Interest Strip *#
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6.5000
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11/25/2035
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52,360
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326,209
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Fannie Mae Interest Strip *
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6.5000
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10/1/2036
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70,036
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459,668
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Fannie Mae Interest Strip *
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7.0000
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2/25/2037
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122,298
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19,234,516
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Fannie Mae REMICS *~
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0.0300
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6/25/2045
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Monthly US LIBOR
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+6.20%
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24,241
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299,820
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Fannie Mae REMICS *
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3.0000
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8/25/2030
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11,092
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2,920,277
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Fannie Mae REMICS *
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3.5000
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5/25/2044
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194,456
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5,109,458
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Fannie Mae REMICS *
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3.5000
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12/25/2044
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417,802
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4,993,442
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Fannie Mae REMICS *
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3.5000
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11/25/2045
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382,163
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2,934,382
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Fannie Mae REMICS *
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3.5000
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2/25/2046
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190,695
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790,670
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Fannie Mae REMICS *
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3.5000
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10/25/2047
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87,447
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4,476,050
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Fannie Mae REMICS *
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3.5000
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12/25/2047
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413,623
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4,650,290
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Fannie Mae REMICS *
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3.5000
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8/25/2049
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618,045
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1,850,072
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Fannie Mae REMICS *~
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3.8891
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8/25/2042
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Monthly US LIBOR
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+5.55%
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335,718
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3,958,287
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Fannie Mae REMICS *
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4.0000
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4/25/2041
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294,966
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1,707,096
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Fannie Mae REMICS *
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4.0000
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10/25/2041
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99,235
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2,782,192
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Fannie Mae REMICS *
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4.0000
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5/25/2044
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122,308
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2,908,415
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Fannie Mae REMICS *
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4.0000
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5/25/2047
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173,221
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2,291,654
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Fannie Mae REMICS *
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4.0000
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10/25/2047
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186,124
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5,221,138
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Fannie Mae REMICS *
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4.0000
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3/25/2048
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714,204
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3,272,695
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Fannie Mae REMICS *
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4.0000
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5/25/2048
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355,080
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5,879,702
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Fannie Mae REMICS *~
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4.3391
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11/25/2041
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Monthly US LIBOR
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+6.00%
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792,534
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299,325
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Fannie Mae REMICS *~
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4.3391
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|
1/25/2042
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Monthly US LIBOR
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+6.00%
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50,868
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3,706,667
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Fannie Mae REMICS *~
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4.3391
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|
10/25/2043
|
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Monthly US LIBOR
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+6.00%
|
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669,496
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432,948
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|
Fannie Mae REMICS *~
|
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4.4891
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|
2/25/2043
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Monthly US LIBOR
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|
+6.15%
|
|
86,262
|
|
1,444,626
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Fannie Mae REMICS *
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4.5000
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|
2/25/2043
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191,076
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|
931,367
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Fannie Mae REMICS *
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4.5000
|
|
9/25/2043
|
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87,237
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|
1,334,736
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Fannie Mae REMICS *
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4.5000
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|
12/25/2047
|
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|
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192,320
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2,611,748
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Fannie Mae REMICS *
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|
4.5000
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|
10/25/2048
|
|
|
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332,191
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|
383,002
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|
Fannie Mae REMICS *~
|
|
4.5979
|
|
4/25/2045
|
|
Monthly US LIBOR
|
|
+6.15%
|
|
75,775
|
|
Anfield Universal Fixed Income Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
|
|
January 31, 2020
|
|
|
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|
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Par Value
|
|
|
|
Coupon Rate (%)
|
|
Maturity
|
|
Spread
|
|
Rate
|
|
Fair Value
|
|
|
|
|
|
|
|
|
|
|
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|
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|
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BONDS & NOTES - 85.3 % (Continued)
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|
|
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AGENCY COLLATERAL CMO - 14.0 % (Continued)
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$ 367,913
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Fannie Mae REMICS *~
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4.7891
|
|
12/25/2037
|
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Monthly US LIBOR
|
|
+6.45%
|
|
$ 62,269
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|
1,544,244
|
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Fannie Mae REMICS *~
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|
4.8591
|
|
9/25/2037
|
|
Monthly US LIBOR
|
|
+6.52%
|
|
305,312
|
|
1,088,031
|
|
Fannie Mae REMICS *~
|
|
4.8891
|
|
6/25/2038
|
|
Monthly US LIBOR
|
|
+6.55%
|
|
39,068
|
|
2,840,319
|
|
Fannie Mae REMICS *~
|
|
4.9391
|
|
10/25/2040
|
|
Monthly US LIBOR
|
|
+6.60%
|
|
486,460
|
|
1,039,469
|
|
Fannie Mae REMICS *~
|
|
4.9691
|
|
11/25/2036
|
|
Monthly US LIBOR
|
|
+6.63%
|
|
230,499
|
|
618,233
|
|
Fannie Mae REMICS *~
|
|
4.9891
|
|
3/25/2036
|
|
Monthly US LIBOR
|
|
+6.65%
|
|
83,628
|
|
597,539
|
|
Fannie Mae REMICS *~
|
|
4.9891
|
|
12/25/2036
|
|
Monthly US LIBOR
|
|
+6.65%
|
|
116,433
|
|
595,577
|
|
Fannie Mae REMICS *
|
|
5.0000
|
|
11/25/2038
|
|
|
|
|
|
69,488
|
|
1,135,061
|
|
Fannie Mae REMICS *#
|
|
5.0000
|
|
1/25/2040
|
|
|
|
|
|
226,002
|
|
4,256,019
|
|
Fannie Mae REMICS *~
|
|
5.0391
|
|
3/25/2042
|
|
Monthly US LIBOR
|
|
+6.70%
|
|
517,215
|
|
581,354
|
|
Fannie Mae REMICS *~
|
|
5.0991
|
|
5/25/2037
|
|
Monthly US LIBOR
|
|
+6.76%
|
|
109,628
|
|
1,294,753
|
|
Fannie Mae REMICS *~
|
|
5.0991
|
|
6/25/2037
|
|
Monthly US LIBOR
|
|
+6.76%
|
|
258,559
|
|
897,639
|
|
Fannie Mae REMICS *
|
|
5.5000
|
|
12/25/2043
|
|
|
|
|
|
168,242
|
|
1,278,420
|
|
Fannie Mae REMICS *
|
|
6.0000
|
|
12/25/2039
|
|
|
|
|
|
240,020
|
|
305,800
|
|
Fannie Mae REMICS *~
|
|
6.0000
|
|
8/25/2042
|
|
Monthly US LIBOR
|
|
+6.00%
|
|
59,367
|
|
5,499,051
|
|
Fannie Mae REMICS *
|
|
6.0000
|
|
6/25/2045
|
|
|
|
|
|
1,401,789
|
|
368,929
|
|
Fannie Mae REMICS *
|
|
6.5000
|
|
7/25/2040
|
|
|
|
|
|
74,910
|
|
9,649,812
|
|
Freddie Mac REMICS *~
|
|
0.1000
|
|
9/15/2040
|
|
Monthly US LIBOR
|
|
+6.10%
|
|
29,264
|
|
27,887,174
|
|
Freddie Mac REMICS *#
|
|
0.2097
|
|
8/15/2044
|
|
|
|
|
|
238,894
|
|
1,369,134
|
|
Freddie Mac REMICS *
|
|
3.0000
|
|
6/15/2041
|
|
|
|
|
|
100,672
|
|
376,190
|
|
Freddie Mac REMICS *
|
|
3.5000
|
|
4/15/2033
|
|
|
|
|
|
25,226
|
|
1,129,217
|
|
Freddie Mac REMICS *
|
|
3.5000
|
|
4/15/2038
|
|
|
|
|
|
38,970
|
|
2,912,602
|
|
Freddie Mac REMICS *
|
|
3.5000
|
|
3/15/2043
|
|
|
|
|
|
188,455
|
|
764,096
|
|
Freddie Mac REMICS *
|
|
3.5000
|
|
6/15/2043
|
|
|
|
|
|
52,936
|
|
1,313,537
|
|
Freddie Mac REMICS *
|
|
3.5000
|
|
7/15/2043
|
|
|
|
|
|
110,724
|
|
4,168,613
|
|
Freddie Mac REMICS *
|
|
3.5000
|
|
10/15/2043
|
|
|
|
|
|
277,092
|
|
656,006
|
|
Freddie Mac REMICS *
|
|
3.5000
|
|
2/15/2044
|
|
|
|
|
|
47,383
|
|
1,891,352
|
|
Freddie Mac REMICS *
|
|
3.5000
|
|
4/15/2044
|
|
|
|
|
|
84,872
|
|
716,651
|
|
Freddie Mac REMICS *
|
|
3.5000
|
|
4/15/2046
|
|
|
|
|
|
83,970
|
|
883,227
|
|
Freddie Mac REMICS *~
|
|
3.9238
|
|
5/15/2045
|
|
Monthly US LIBOR
|
|
+5.60%
|
|
138,797
|
|
1,315,601
|
|
Freddie Mac REMICS *
|
|
4.0000
|
|
11/15/2039
|
|
|
|
|
|
109,372
|
|
586,110
|
|
Freddie Mac REMICS *
|
|
4.0000
|
|
12/15/2041
|
|
|
|
|
|
36,074
|
|
1,660,823
|
|
Freddie Mac REMICS *
|
|
4.0000
|
|
4/15/2043
|
|
|
|
|
|
242,970
|
|
4,759,180
|
|
Freddie Mac REMICS *
|
|
4.0000
|
|
8/15/2043
|
|
|
|
|
|
321,591
|
|
1,138,011
|
|
Freddie Mac REMICS *
|
|
4.0000
|
|
1/15/2044
|
|
|
|
|
|
72,512
|
|
801,466
|
|
Freddie Mac REMICS *
|
|
4.0000
|
|
9/15/2044
|
|
|
|
|
|
22,983
|
|
925,043
|
|
Freddie Mac REMICS *
|
|
4.0000
|
|
3/15/2045
|
|
|
|
|
|
126,333
|
|
2,220,355
|
|
Freddie Mac REMICS *
|
|
4.0000
|
|
12/15/2046
|
|
|
|
|
|
310,892
|
|
1,276,827
|
|
Freddie Mac REMICS *
|
|
4.0000
|
|
5/15/2048
|
|
|
|
|
|
166,196
|
|
178,262
|
|
Freddie Mac REMICS *~
|
|
4.3238
|
|
6/15/2037
|
|
Monthly US LIBOR
|
|
+6.00%
|
|
22,649
|
|
2,291,046
|
|
Freddie Mac REMICS *~
|
|
4.3238
|
|
5/15/2046
|
|
Monthly US LIBOR
|
|
+6.00%
|
|
408,218
|
|
407,029
|
|
Freddie Mac REMICS *~
|
|
4.3738
|
|
7/15/2042
|
|
Monthly US LIBOR
|
|
+6.05%
|
|
85,286
|
|
877,103
|
|
Freddie Mac REMICS *~
|
|
4.4237
|
|
12/15/2044
|
|
Monthly US LIBOR
|
|
+6.10%
|
|
168,532
|
|
3,898,540
|
|
Freddie Mac REMICS *
|
|
4.5000
|
|
12/15/2044
|
|
|
|
|
|
224,169
|
|
708,533
|
|
Freddie Mac REMICS *
|
|
4.5000
|
|
7/15/2046
|
|
|
|
|
|
25,534
|
|
2,833,307
|
|
Freddie Mac REMICS *
|
|
4.5000
|
|
9/15/2048
|
|
|
|
|
|
565,149
|
|
3,216,821
|
|
Freddie Mac REMICS *~
|
|
4.8737
|
|
3/15/2040
|
|
Monthly US LIBOR
|
|
+6.55%
|
|
677,391
|
|
585,707
|
|
Freddie Mac REMICS *~
|
|
4.8737
|
|
8/15/2042
|
|
Monthly US LIBOR
|
|
+6.55%
|
|
122,754
|
|
195,332
|
|
Freddie Mac REMICS ~
|
|
4.8928
|
|
5/15/2047
|
|
Monthly US LIBOR
|
|
+10.28%
|
|
193,578
|
|
626,593
|
|
Freddie Mac REMICS *~
|
|
4.8938
|
|
5/15/2036
|
|
Monthly US LIBOR
|
|
+6.57%
|
|
105,863
|
|
1,593,823
|
|
Freddie Mac REMICS *~
|
|
4.9138
|
|
10/15/2035
|
|
Monthly US LIBOR
|
|
+6.59%
|
|
316,393
|
|
1,796,975
|
|
Freddie Mac REMICS *~
|
|
4.9237
|
|
10/15/2035
|
|
Monthly US LIBOR
|
|
+6.60%
|
|
363,281
|
|
181,938
|
|
Freddie Mac REMICS *~
|
|
4.9337
|
|
4/15/2042
|
|
Monthly US LIBOR
|
|
+6.61%
|
|
35,619
|
|
4,675,629
|
|
Freddie Mac REMICS *~
|
|
4.9737
|
|
5/15/2040
|
|
Monthly US LIBOR
|
|
+6.65%
|
|
393,978
|
|
639,016
|
|
Freddie Mac REMICS *~
|
|
5.0738
|
|
5/15/2029
|
|
Monthly US LIBOR
|
|
+6.75%
|
|
82,842
|
|
159,735
|
|
Freddie Mac REMICS *~
|
|
5.3237
|
|
2/15/2031
|
|
Monthly US LIBOR
|
|
+7.00%
|
|
16,361
|
|
829,586
|
|
Freddie Mac REMICS *~
|
|
5.3237
|
|
1/15/2032
|
|
Monthly US LIBOR
|
|
+7.00%
|
|
151,805
|
|
524,088
|
|
Freddie Mac REMICS *
|
|
6.0000
|
|
10/15/2037
|
|
|
|
|
|
87,074
|
|
705,012
|
|
Freddie Mac REMICS *~
|
|
6.0238
|
|
7/15/2034
|
|
Monthly US LIBOR
|
|
+7.70%
|
|
69,132
|
|
251,024
|
|
Freddie Mac REMICS *~
|
|
6.1937
|
|
5/15/2029
|
|
Monthly US LIBOR
|
|
+7.87%
|
|
40,594
|
|
495,701
|
|
Freddie Mac REMICS *~
|
|
6.3237
|
|
6/15/2032
|
|
Monthly US LIBOR
|
|
+8.00%
|
|
91,177
|
|
82,365
|
|
Freddie Mac REMICS ~
|
|
9.8813
|
|
12/15/2040
|
|
Monthly US LIBOR
|
|
+14.91%
|
|
144,779
|
|
47,720
|
|
Freddie Mac REMICS ~
|
|
16.5718
|
|
2/15/2032
|
|
Monthly US LIBOR
|
|
+20.93%
|
|
72,227
|
|
Anfield Universal Fixed Income Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
|
|
January 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par Value
|
|
|
|
Coupon Rate (%)
|
|
Maturity
|
|
Spread
|
|
Rate
|
|
Fair Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BONDS & NOTES - 85.3 % (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AGENCY COLLATERAL CMO - 14.0 % (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
$ 565,614
|
|
Freddie Mac Strips *#
|
|
4.5000
|
|
12/15/2039
|
|
|
|
|
|
$ 82,336
|
|
516,573
|
|
Freddie Mac Strips *#
|
|
4.5000
|
|
12/15/2040
|
|
|
|
|
|
82,600
|
|
822,884
|
|
Freddie Mac Strips *#
|
|
4.5000
|
|
1/15/2043
|
|
|
|
|
|
153,318
|
|
1,282,198
|
|
Freddie Mac Strips *
|
|
5.0000
|
|
6/15/2038
|
|
|
|
|
|
257,946
|
|
531,331
|
|
Freddie Mac Strips *
|
|
5.5000
|
|
11/15/2035
|
|
|
|
|
|
87,935
|
|
159,529
|
|
Freddie Mac Strips *
|
|
6.5000
|
|
4/1/2029
|
|
|
|
|
|
28,803
|
|
440,648
|
|
Freddie Mac Strips *
|
|
7.0000
|
|
12/15/2036
|
|
|
|
|
|
109,119
|
|
17,031,365
|
|
Government National Mortgage Association *~
|
|
0.1500
|
|
9/16/2034
|
|
Monthly US LIBOR
|
|
+6.70%
|
|
86,320
|
|
24,420,542
|
|
Government National Mortgage Association *#
|
|
0.2519
|
|
10/20/2043
|
|
|
|
|
|
210,951
|
|
3,338,374
|
|
Government National Mortgage Association *~
|
|
0.5000
|
|
6/20/2040
|
|
|
|
|
|
46,047
|
|
1,811,200
|
|
Government National Mortgage Association *#
|
|
1.0000
|
|
7/20/2043
|
|
|
|
|
|
42,452
|
|
5,505,889
|
|
Govenrment National Mortgage Association *~
|
|
1.0000
|
|
10/20/2045
|
|
Monthly US LIBOR
|
|
+31.25%
|
|
246,979
|
|
2,577,955
|
|
Government National Mortgage Association *
|
|
3.0000
|
|
6/20/2041
|
|
|
|
|
|
199,544
|
|
190,479
|
|
Government National Mortgage Association *
|
|
3.0000
|
|
7/20/2041
|
|
|
|
|
|
5,671
|
|
3,809,197
|
|
Government National Mortgage Association *
|
|
3.0000
|
|
8/20/2041
|
|
|
|
|
|
231,233
|
|
418,488
|
|
Government National Mortgage Association *
|
|
3.0000
|
|
2/20/2042
|
|
|
|
|
|
21,375
|
|
713,901
|
|
Government National Mortgage Association *
|
|
3.0000
|
|
7/20/2043
|
|
|
|
|
|
46,638
|
|
1,675,354
|
|
Government National Mortgage Association *
|
|
3.0000
|
|
12/20/2044
|
|
|
|
|
|
89,461
|
|
961,080
|
|
Government National Mortgage Association *
|
|
3.0000
|
|
4/20/2046
|
|
|
|
|
|
68,211
|
|
1,499,150
|
|
Government National Mortgage Association *
|
|
3.5000
|
|
9/20/2023
|
|
|
|
|
|
63,458
|
|
1,255,648
|
|
Government National Mortgage Association *
|
|
3.5000
|
|
10/20/2039
|
|
|
|
|
|
115,919
|
|
176,478
|
|
Government National Mortgage Association *
|
|
3.5000
|
|
1/20/2043
|
|
|
|
|
|
29,301
|
|
629,834
|
|
Government National Mortgage Association *
|
|
3.5000
|
|
5/20/2043
|
|
|
|
|
|
105,210
|
|
1,109,367
|
|
Government National Mortgage Association *
|
|
3.5000
|
|
3/20/2044
|
|
|
|
|
|
40,849
|
|
477,993
|
|
Government National Mortgage Association *
|
|
3.5000
|
|
4/20/2044
|
|
|
|
|
|
20,928
|
|
1,895,547
|
|
Government National Mortgage Association *
|
|
3.5000
|
|
8/20/2044
|
|
|
|
|
|
41,140
|
|
731,387
|
|
Government National Mortgage Association *
|
|
3.5000
|
|
4/20/2046
|
|
|
|
|
|
119,560
|
|
2,807,027
|
|
Government National Mortgage Association *
|
|
3.5000
|
|
9/20/2046
|
|
|
|
|
|
283,110
|
|
2,269,986
|
|
Government National Mortgage Association *
|
|
3.5000
|
|
3/20/2047
|
|
|
|
|
|
166,899
|
|
337,682
|
|
Government National Mortgage Association *
|
|
3.5000
|
|
7/20/2047
|
|
|
|
|
|
19,880
|
|
3,511,780
|
|
Government National Mortgage Association *
|
|
3.5000
|
|
1/20/2048
|
|
|
|
|
|
276,975
|
|
280,245
|
|
Government National Mortgage Association *~
|
|
3.9422
|
|
9/20/2044
|
|
Monthly US LIBOR
|
|
+5.60%
|
|
46,402
|
|
171,906
|
|
Government National Mortgage Association *
|
|
4.0000
|
|
12/16/2026
|
|
|
|
|
|
14,807
|
|
586,655
|
|
Government National Mortgage Association *
|
|
4.0000
|
|
12/20/2040
|
|
|
|
|
|
22,946
|
|
861,266
|
|
Government National Mortgage Association *
|
|
4.0000
|
|
3/16/2041
|
|
|
|
|
|
106,315
|
|
3,142,960
|
|
Government National Mortgage Association *
|
|
4.0000
|
|
11/20/2044
|
|
|
|
|
|
349,907
|
|
1,021,122
|
|
Government National Mortgage Association *
|
|
4.0000
|
|
7/20/2045
|
|
|
|
|
|
117,767
|
|
527,017
|
|
Government National Mortgage Association *
|
|
4.0000
|
|
6/20/2046
|
|
|
|
|
|
80,887
|
|
4,243,987
|
|
Government National Mortgage Association *
|
|
4.0000
|
|
11/20/2047
|
|
|
|
|
|
297,345
|
|
175,443
|
|
Government National Mortgage Association *~
|
|
4.2923
|
|
2/20/2039
|
|
Monthly US LIBOR
|
|
+5.95%
|
|
20,178
|
|
921,383
|
|
Government National Mortgage Association *~
|
|
4.3423
|
|
8/20/2042
|
|
Monthly US LIBOR
|
|
+6.00%
|
|
178,967
|
|
4,688,543
|
|
Government National Mortgage Association *~
|
|
4.3804
|
|
12/16/2040
|
|
Monthly US LIBOR
|
|
+6.05%
|
|
887,343
|
|
1,940,040
|
|
Government National Mortgage Association *~
|
|
4.3922
|
|
2/20/2049
|
|
Monthly US LIBOR
|
|
+6.05%
|
|
284,659
|
|
1,821,324
|
|
Government National Mortgage Association *~
|
|
4.4304
|
|
8/16/2043
|
|
Monthly US LIBOR
|
|
+6.10%
|
|
339,069
|
|
2,066,901
|
|
Government National Mortgage Association *~
|
|
4.4422
|
|
3/20/2039
|
|
Monthly US LIBOR
|
|
+6.10%
|
|
176,140
|
|
1,031,665
|
|
Government National Mortgage Association *~
|
|
4.4422
|
|
10/20/2043
|
|
Monthly US LIBOR
|
|
+6.10%
|
|
145,753
|
|
421,453
|
|
Government National Mortgage Association *~
|
|
4.4422
|
|
1/20/2046
|
|
Monthly US LIBOR
|
|
+6.10%
|
|
71,571
|
|
1,182,147
|
|
Government National Mortgage Association *~
|
|
4.4922
|
|
7/20/2043
|
|
Monthly US LIBOR
|
|
+6.15%
|
|
186,355
|
|
212,667
|
|
Government National Mortgage Association *~
|
|
4.4922
|
|
7/20/2043
|
|
Monthly US LIBOR
|
|
+6.15%
|
|
41,014
|
|
2,410,649
|
|
Government National Mortgage Association *
|
|
4.5000
|
|
8/20/2045
|
|
|
|
|
|
361,809
|
|
1,133,223
|
|
Government National Mortgage Association *
|
|
4.5000
|
|
10/16/2045
|
|
|
|
|
|
147,445
|
|
3,018,924
|
|
Government National Mortgage Association *
|
|
4.5000
|
|
3/20/2046
|
|
|
|
|
|
310,581
|
|
411,865
|
|
Government National Mortgage Association *
|
|
4.5000
|
|
4/20/2046
|
|
|
|
|
|
47,904
|
|
598,406
|
|
Government National Mortgage Association *~
|
|
4.5422
|
|
12/20/2042
|
|
Monthly US LIBOR
|
|
+6.20%
|
|
102,703
|
|
2,587,587
|
|
Government National Mortgage Association *~
|
|
4.5422
|
|
12/20/2047
|
|
Monthly US LIBOR
|
|
+6.20%
|
|
492,770
|
|
2,017,457
|
|
Government National Mortgage Association *~
|
|
4.6523
|
|
2/20/2036
|
|
Monthly US LIBOR
|
|
+6.31%
|
|
340,052
|
|
1,364,618
|
|
Government National Mortgage Association *~
|
|
4.8323
|
|
2/20/2038
|
|
Monthly US LIBOR
|
|
+6.49%
|
|
243,403
|
|
5,790,640
|
|
Government National Mortgage Association *~
|
|
4.8922
|
|
10/20/2039
|
|
Monthly US LIBOR
|
|
+6.55%
|
|
1,241,908
|
|
6,189,667
|
|
Government National Mortgage Association *~
|
|
4.9422
|
|
12/20/2039
|
|
Monthly US LIBOR
|
|
+6.60%
|
|
533,884
|
|
860,939
|
|
Government National Mortgage Association *
|
|
5.0000
|
|
3/20/2039
|
|
|
|
|
|
22,813
|
|
1,443,760
|
|
Government National Mortgage Association *
|
|
5.0000
|
|
2/16/2040
|
|
|
|
|
|
258,098
|
|
2,352,655
|
|
Government National Mortgage Association *
|
|
5.0000
|
|
4/20/2040
|
|
|
|
|
|
433,282
|
|
503,681
|
|
Government National Mortgage Association *
|
|
5.0000
|
|
10/16/2040
|
|
|
|
|
|
71,914
|
|
469,350
|
|
Government National Mortgage Association *
|
|
5.0000
|
|
4/16/2042
|
|
|
|
|
|
76,812
|
|
764,841
|
|
Government National Mortgage Association *
|
|
5.0000
|
|
7/20/2042
|
|
|
|
|
|
106,066
|
|
|
|
Anfield Universal Fixed Income Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
|
|
January 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par Value
|
|
|
|
Coupon Rate (%)
|
|
Maturity
|
|
Spread
|
|
Rate
|
|
Fair Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BONDS & NOTES - 85.3 % (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AGENCY COLLATERAL CMO - 14.0 % (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
$ 656,385
|
|
Government National Mortgage Association *
|
|
5.0000
|
|
1/20/2043
|
|
|
|
|
|
$ 90,076
|
|
920,136
|
|
Government National Mortgage Association *
|
|
5.0000
|
|
11/20/2046
|
|
|
|
|
|
102,228
|
|
399,697
|
|
Government National Mortgage Association *
|
|
5.0000
|
|
12/20/2047
|
|
|
|
|
|
75,695
|
|
335,729
|
|
Government National Mortgage Association *~
|
|
5.0304
|
|
6/16/2042
|
|
Monthly US LIBOR
|
|
+6.70%
|
|
69,931
|
|
10,663,271
|
|
Government National Mortgage Association *~
|
|
5.0322
|
|
10/20/2037
|
|
Monthly US LIBOR
|
|
+6.69%
|
|
2,240,946
|
|
695,460
|
|
Government National Mortgage Association *~
|
|
5.0804
|
|
3/16/2042
|
|
Monthly US LIBOR
|
|
+6.75%
|
|
119,664
|
|
1,276,677
|
|
Government National Mortgage Association *~
|
|
5.0923
|
|
9/20/2040
|
|
Monthly US LIBOR
|
|
+6.75%
|
|
75,245
|
|
4,614,529
|
|
Government National Mortgage Association *~
|
|
5.0923
|
|
3/20/2043
|
|
Monthly US LIBOR
|
|
+6.75%
|
|
701,427
|
|
774,373
|
|
Government National Mortgage Association *~
|
|
5.0923
|
|
12/20/2045
|
|
Monthly US LIBOR
|
|
+6.75%
|
|
155,261
|
|
1,741,685
|
|
Government National Mortgage Association *~
|
|
5.1304
|
|
5/16/2037
|
|
Monthly US LIBOR
|
|
+6.80%
|
|
333,775
|
|
6,503,010
|
|
Government National Mortgage Association *~
|
|
5.1923
|
|
7/20/2034
|
|
Monthly US LIBOR
|
|
+6.85%
|
|
1,384,315
|
|
1,593,668
|
|
Government National Mortgage Association *~
|
|
5.4422
|
|
6/20/2034
|
|
Monthly US LIBOR
|
|
+7.10%
|
|
277,871
|
|
1,797,014
|
|
Government National Mortgage Association *
|
|
5.5000
|
|
2/20/2039
|
|
|
|
|
|
416,982
|
|
652,094
|
|
Government National Mortgage Association *
|
|
5.5000
|
|
7/20/2047
|
|
|
|
|
|
119,224
|
|
913,268
|
|
Government National Mortgage Association *
|
|
5.5000
|
|
9/20/2048
|
|
|
|
|
|
136,258
|
|
940,000
|
|
Government National Mortgage Association *
|
|
5.5000
|
|
10/20/2048
|
|
|
|
|
|
214,609
|
|
619,479
|
|
Government National Mortgage Association *
|
|
6.0000
|
|
4/20/2041
|
|
|
|
|
|
121,483
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40,331,304
|
|
|
|
AGRICULTURE - 0.1 %
|
|
|
|
|
|
|
|
|
|
|
|
285,000
|
|
Reynolds American, Inc. ^
|
|
6.8750
|
|
5/1/2020
|
|
|
|
|
|
288,467
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AIRLINES - 4.0 %
|
|
|
|
|
|
|
|
|
|
|
|
626,858
|
|
America West Airlines 2001-1 Pass Through Trust
|
|
7.1000
|
|
4/2/2021
|
|
|
|
|
|
644,394
|
|
330,340
|
|
American Airlines 2011-1 Class A Pass Through Trust
|
|
5.2500
|
|
1/31/2021
|
|
|
|
|
|
340,444
|
|
547,502
|
|
American Airlines 2013-1 Class B Pass Through Trust ^
|
|
5.6250
|
|
1/15/2021
|
|
|
|
|
|
557,943
|
|
628,230
|
|
American Airlines 2013-2 Class B Pass Through Trust ^
|
|
5.6000
|
|
7/15/2020
|
|
|
|
|
|
637,444
|
|
4,440,000
|
|
American Airlines Group, Inc. ^
|
|
4.6250
|
|
3/1/2020
|
|
|
|
|
|
4,449,990
|
|
151,639
|
|
Continental Airlines 2000-1 Class A-1 Pass Through Trust
|
|
8.0480
|
|
11/1/2020
|
|
|
|
|
|
154,268
|
|
1,139,089
|
|
Continental Airlines 2007-1 Class A Pass Through Trust
|
|
5.9830
|
|
4/19/2022
|
|
|
|
|
|
1,203,002
|
|
1,314,617
|
|
Continental Airlines 2010-1 Class A Pass Through Trust
|
|
4.7500
|
|
1/12/2021
|
|
|
|
|
|
1,347,677
|
|
406,037
|
|
Continental Airlines 2012-1 Class B Pass Through Trust
|
|
6.2500
|
|
4/11/2020
|
|
|
|
|
|
408,497
|
|
1,554,289
|
|
UAL 2007-1 Pass Through Trust
|
|
6.6360
|
|
7/2/2022
|
|
|
|
|
|
1,660,957
|
|
147,441
|
|
United Airlines 2014-1 Class B Pass Through Trust
|
|
4.7500
|
|
4/11/2022
|
|
|
|
|
|
152,965
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,557,581
|
|
|
|
AUTO MANUFACTURERS - 6.3 %
|
|
|
|
|
|
|
|
|
|
|
|
1,000,000
|
|
Daimler Finance North America LLC ^
|
|
2.2000
|
|
5/5/2020
|
|
|
|
|
|
1,001,025
|
|
7,106,000
|
|
Fiat Chrysler Automobiles NV
|
|
4.5000
|
|
4/15/2020
|
|
|
|
|
|
7,135,952
|
|
1,846,000
|
|
Ford Motor Credit Co. LLC
|
|
2.4250
|
|
6/12/2020
|
|
|
|
|
|
1,850,577
|
|
2,876,000
|
|
Ford Motor Credit Co. LLC
|
|
3.2000
|
|
1/15/2021
|
|
|
|
|
|
2,900,447
|
|
2,561,000
|
|
Ford Motor Credit Co. LLC
|
|
3.3360
|
|
3/18/2021
|
|
|
|
|
|
2,590,484
|
|
1,550,000
|
|
Ford Motor Credit Co. LLC
|
|
3.4700
|
|
4/5/2021
|
|
|
|
|
|
1,572,202
|
|
915,000
|
|
Ford Motor Credit Co. LLC
|
|
5.7500
|
|
2/1/2021
|
|
|
|
|
|
945,988
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,996,675
|
|
|
|
BANKS - 13.5 %
|
|
|
|
|
|
|
|
|
|
|
|
268,000
|
|
Bank of America Corp. #
|
|
3.6241
|
|
11/18/2020
|
|
Quarterly US LIBOR
|
|
+1.72%
|
|
270,010
|
|
2,417,000
|
|
Bank of New York Mellon Corp. #
|
|
4.9500
|
|
12/29/2049
|
|
Quarterly US LIBOR
|
|
+3.42%
|
|
2,443,152
|
|
500,000
|
|
Barclays Bank PLC #
|
|
3.1488
|
|
2/22/2021
|
|
Quarterly US LIBOR
|
|
+1.25%
|
|
503,598
|
|
650,000
|
|
Barclays Bank PLC #
|
|
5.1400
|
|
10/14/2020
|
|
|
|
|
|
664,221
|
|
11,345,000
|
|
BNP Paribas SA #^
|
|
7.6250
|
|
3/30/2021
|
|
5 Year Swap Rate
|
|
+6.31%
|
|
11,942,144
|
|
1,915,000
|
|
CIT Group, Inc.
|
|
4.1250
|
|
3/9/2021
|
|
|
|
|
|
1,949,125
|
|
7,809,000
|
|
CIT Group, Inc. #
|
|
5.8000
|
|
12/15/2165
|
|
Quarterly US LIBOR
|
|
+3.97%
|
|
8,006,646
|
|
250,000
|
|
Citigroup, Inc. ~
|
|
3.1436
|
|
12/15/2020
|
|
Quarterly US LIBOR
|
|
+1.25%
|
|
251,006
|
|
450,000
|
|
Citigroup, Inc. #
|
|
3.3514
|
|
8/11/2020
|
|
Quarterly US LIBOR
|
|
+1.45%
|
|
451,588
|
|
4,054,000
|
|
Citigroup, Inc. #
|
|
5.8750
|
|
3/27/2020
|
|
Quarterly US LIBOR
|
|
+4.06%
|
|
4,074,898
|
|
1,808,000
|
|
Citigroup, Inc. #
|
|
5.9500
|
|
1/30/2023
|
|
Quarterly US LIBOR
|
|
+4.07%
|
|
1,930,926
|
|
344,000
|
|
Goldman Sachs Group, Inc. ~
|
|
3.1813
|
|
7/15/2020
|
|
Quarterly US LIBOR
|
|
+1.35%
|
|
345,672
|
|
250,000
|
|
Goldman Sachs Group, Inc. #
|
|
3.3172
|
|
8/26/2020
|
|
Quarterly US LIBOR
|
|
+1.40%
|
|
251,201
|
|
2,000,000
|
|
Goldman Sachs Group, Inc. #
|
|
5.3750
|
|
5/10/2020
|
|
Quarterly US LIBOR
|
|
+3.92%
|
|
2,015,330
|
|
652,000
|
|
HSBC Bank USA NA
|
|
4.8750
|
|
8/24/2020
|
|
|
|
|
|
663,102
|
|
263,000
|
|
JPMorgan Chase & Co. ~
|
|
2.6250
|
|
10/29/2020
|
|
Quarterly US LIBOR
|
|
+0.50%
|
|
259,423
|
|
1,420,000
|
|
JPMorgan Chase & Co. #
|
|
5.3000
|
|
12/29/2049
|
|
Quarterly US LIBOR
|
|
+3.80%
|
|
1,430,345
|
|
400,000
|
|
Manufacturers & Traders Trust Co. #
|
|
2.5469
|
|
12/1/2021
|
|
Quarterly US LIBOR
|
|
+0.64%
|
|
400,048
|
|
500,000
|
|
National Westminster Bank PLC ~
|
|
2.1586
|
|
11/29/2049
|
|
Quarterly US LIBOR
|
|
+0.25%
|
|
447,650
|
|
430,000
|
|
Wells Fargo & Co. #
|
|
5.6636
|
|
3/29/2049
|
|
Quarterly US LIBOR
|
|
+3.77%
|
|
433,246
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38,733,331
|
|
Anfield Universal Fixed Income Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
|
|
January 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par Value
|
|
|
|
Coupon Rate (%)
|
|
Maturity
|
|
Spread
|
|
Rate
|
|
Fair Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BONDS & NOTES - 85.3 % (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BEVERAGES - 0.6 %
|
|
|
|
|
|
|
|
|
|
|
|
$ 400,000
|
|
Coca-Cola European Partners PLC
|
|
3.2500
|
|
8/19/2021
|
|
|
|
|
|
$ 405,403
|
|
1,300,000
|
|
Molson Coors Brewing Co.
|
|
2.2500
|
|
3/15/2020
|
|
|
|
|
|
1,300,112
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,705,515
|
|
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.4 %
|
|
|
|
|
|
|
|
|
|
|
|
217,824
|
|
Alternative Loan Trust 2004-35T2
|
|
6.0000
|
|
2/25/2035
|
|
|
|
|
|
36,852
|
|
8,656
|
|
Banc of America Mortgage 2004-A Trust #
|
|
4.4570
|
|
2/25/2034
|
|
|
|
|
|
8,873
|
|
9,250
|
|
Banc of America Funding 2004-D Trust #
|
|
4.2703
|
|
6/25/2034
|
|
|
|
|
|
9,265
|
|
12,959,633
|
|
BCAP LLC Trust 2007-AA2 #
|
|
0.4427
|
|
4/25/2037
|
|
|
|
|
|
200,740
|
|
22,492
|
|
Bear Stearns ARM Trust 2003-4 #
|
|
4.3989
|
|
7/25/2033
|
|
|
|
|
|
23,307
|
|
20,839
|
|
Bear Stearns Asset Backed Securities Trust 2003-AC5 <
|
|
5.5000
|
|
10/25/2033
|
|
|
|
|
|
21,458
|
|
14,454
|
|
Chase Mortgage Finance Trust Series 2007-A1 #
|
|
4.5129
|
|
2/25/2037
|
|
|
|
|
|
14,978
|
|
59,696
|
|
CHL Mortgage Pass-Through Trust 2004-7 #
|
|
4.3543
|
|
5/25/2034
|
|
|
|
|
|
60,640
|
|
16,005
|
|
Citigroup Global Markets Mortgage Securities VII, Inc. ^
|
|
6.0000
|
|
9/25/2033
|
|
|
|
|
|
16,185
|
|
28,764
|
|
Citigroup Mortgage Loan Trust 2006-4
|
|
0.0000
|
|
12/25/2035
|
|
|
|
|
|
32,770
|
|
18,708
|
|
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust 2004-4 ~
|
|
2.1109
|
|
6/25/2034
|
|
Monthly US LIBOR
|
|
+0.45%
|
|
18,061
|
|
35,970
|
|
GSR Mortgage Loan Trust 2004-14 #
|
|
4.3460
|
|
12/25/2034
|
|
|
|
|
|
36,946
|
|
334,690
|
|
GSR Mortgage Loan Trust 2004-2F ~
|
|
5.9891
|
|
1/25/2034
|
|
Monthly US LIBOR
|
|
+7.65%
|
|
40,738
|
|
23,792
|
|
GSR Mortgage Loan Trust 2004-6F
|
|
5.5000
|
|
5/25/2034
|
|
|
|
|
|
24,470
|
|
70,212
|
|
JP Morgan Mortgage Trust 2005-A1#
|
|
4.4287
|
|
2/25/2035
|
|
Monthly US LIBOR
|
|
+0.90%
|
|
71,409
|
|
81,580
|
|
Impac CMB Trust Series 2004-4 ~
|
|
2.5609
|
|
9/25/2034
|
|
Monthly US LIBOR
|
|
+0.90%
|
|
80,461
|
|
11,838
|
|
Impac CMB Trust Series 2004-5 ~
|
|
2.5809
|
|
10/25/2034
|
|
Monthly US LIBOR
|
|
+0.92%
|
|
12,157
|
|
74,166
|
|
Impac CMB Trust Series 2004-6 ~
|
|
2.4859
|
|
10/25/2034
|
|
Monthly US LIBOR
|
|
+0.83%
|
|
72,716
|
|
18,434
|
|
MASTR Alternative Loan Trust 2003-7
|
|
6.5000
|
|
12/25/2033
|
|
|
|
|
|
19,149
|
|
745,964
|
|
MASTR Alternative Loan Trust 2007-HF1
|
|
7.0000
|
|
10/25/2047
|
|
|
|
|
|
195,532
|
|
27,000
|
|
MASTR Asset Securitization Trust 2005-2
|
|
5.3500
|
|
11/25/2035
|
|
|
|
|
|
28,603
|
|
36,379
|
|
Morgan Stanley Mortgage Loan Trust 2004-10AR #
|
|
4.2782
|
|
11/25/2034
|
|
|
|
|
|
36,786
|
|
13,065
|
|
Morgan Stanley Mortgage Loan Trust 2004-7AR #
|
|
4.0770
|
|
9/25/2034
|
|
|
|
|
|
13,615
|
|
53,734
|
|
RAMP Series 2004-SL3 Trust
|
|
7.5000
|
|
12/25/2031
|
|
|
|
|
|
54,228
|
|
25,586
|
|
Structured Asset Securities Corp. #
|
|
4.7015
|
|
9/25/2026
|
|
|
|
|
|
26,043
|
|
3,578
|
|
Structured Asset Securities Corp. Mo Pa Th Ce Se 1998-3 Tr ~
|
|
2.6609
|
|
3/25/2028
|
|
Monthly US LIBOR
|
|
+1.00%
|
|
3,588
|
|
98,485
|
|
Wilshire Funding Corp. #
|
|
7.2500
|
|
8/25/2027
|
|
|
|
|
|
98,839
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,258,409
|
|
|
|
COMMERCIAL SERVICES - 1.4 %
|
|
|
|
|
|
|
|
|
|
|
|
3,919,000
|
|
Nielsen Finance LLC / Nielsen Finance Co.
|
|
4.5000
|
|
10/1/2020
|
|
|
|
|
|
3,923,558
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
COMPUTERS - 4.5 %
|
|
|
|
|
|
|
|
|
|
|
|
3,230,000
|
|
Dell, Inc.
|
|
4.6250
|
|
4/1/2021
|
|
|
|
|
|
3,308,004
|
|
1,866,000
|
|
EMC Corp.
|
|
2.6500
|
|
6/1/2020
|
|
|
|
|
|
1,861,428
|
|
7,545,000
|
|
Leidos Holdings, Inc.
|
|
4.4500
|
|
12/1/2020
|
|
|
|
|
|
7,642,330
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,811,762
|
|
|
|
DIVERSIFIED FINANCIAL SERVICES - 3.1 %
|
|
|
|
|
|
|
|
|
|
|
|
2,030,000
|
|
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
|
|
4.5000
|
|
5/15/2021
|
|
|
|
|
|
2,096,993
|
|
2,239,000
|
|
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
|
|
4.6250
|
|
10/30/2020
|
|
|
|
|
|
2,282,283
|
|
2,984,000
|
|
Ally Financial, Inc.
|
|
4.1250
|
|
3/30/2020
|
|
|
|
|
|
2,997,756
|
|
629,000
|
|
Ally Financial, Inc.
|
|
4.2500
|
|
4/15/2021
|
|
|
|
|
|
645,102
|
|
250,000
|
|
American Express Credit Corp.
|
|
2.3750
|
|
5/26/2020
|
|
|
|
|
|
250,323
|
|
300,000
|
|
GTP Acquisition Partners I LLC ^
|
|
2.3500
|
|
6/15/2020
|
|
|
|
|
|
300,000
|
|
500,000
|
|
ILFC E-Capital Trust I #^
|
|
3.9000
|
|
12/21/2065
|
|
Quarterly US LIBOR
|
|
+1.55%
|
|
398,372
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,970,829
|
|
|
|
ELECTRIC - 1.8 %
|
|
|
|
|
|
|
|
|
|
|
|
3,088,000
|
|
Edison International
|
|
2.1250
|
|
4/15/2020
|
|
|
|
|
|
3,087,243
|
|
1,438,000
|
|
EDP Finance BV ^
|
|
5.2500
|
|
1/14/2021
|
|
|
|
|
|
1,483,866
|
|
450,000
|
|
Entergy Corp.
|
|
5.1250
|
|
9/15/2020
|
|
|
|
|
|
455,059
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,026,168
|
|
|
|
FOREST PRODUCTS & PAPER - 0.3 %
|
|
|
|
|
|
|
|
|
|
|
|
775,000
|
|
Carter Holt Harvey Ltd. +
|
|
9.5000
|
|
12/1/2024
|
|
|
|
|
|
806,775
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
HEALTHCARE-PRODUCTS - 0.4 %
|
|
|
|
|
|
|
|
|
|
|
|
1,200,000
|
|
Zimmer Biomet Holdings, Inc.
|
|
2.7000
|
|
4/1/2020
|
|
|
|
|
|
1,200,774
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Anfield Universal Fixed Income Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
|
|
January 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par Value
|
|
|
|
Coupon Rate (%)
|
|
Maturity
|
|
Spread
|
|
Rate
|
|
Fair Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BONDS & NOTES - 85.3 % (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
HOME EQUITY ASSET BACKED SECURITIES - 1.2 %
|
|
|
|
|
|
|
|
|
|
|
|
$ 69,104
|
|
Aames Mortgage Trust 2001 1 Mortgage Pass Thr Certs Se 01 1 <
|
|
8.0880
|
|
6/25/2031
|
|
|
|
|
|
$ 75,775
|
|
14,103
|
|
ABFC 2002-OPT1 Trust ~
|
|
3.0559
|
|
4/25/2032
|
|
Monthly US LIBOR
|
|
+1.40%
|
|
14,764
|
|
31,233
|
|
ACE Securities Corp. Home Equity Loan Trust Series 2003-OP1 ~
|
|
4.1359
|
|
12/25/2033
|
|
Monthly US LIBOR
|
|
+2.48%
|
|
30,937
|
|
40,577
|
|
AFC Trust Series 2000-1 ~
|
|
2.3909
|
|
3/25/2030
|
|
Monthly US LIBOR
|
|
+0.73%
|
|
40,178
|
|
24,456
|
|
Ameriquest Mortgage Securities Asset-Backed Pass-Through Ctfs Ser 2003 12 ~
|
|
2.7859
|
|
1/25/2034
|
|
Monthly US LIBOR
|
|
+1.13%
|
|
24,505
|
|
9,838
|
|
Ameriquest Mortgage Securities Asset-Backed Pass-Through Ctfs Ser 2003 12 ~
|
|
4.2109
|
|
1/25/2034
|
|
Monthly US LIBOR
|
|
+2.55%
|
|
10,015
|
|
3,544
|
|
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Ctfs Ser 2003-11 <
|
4.7751
|
|
12/25/2033
|
|
|
|
|
|
3,559
|
|
32,437
|
|
Amresco Residential Securities Corp. Mortgage Loan Trust 1998-1 #
|
|
7.0000
|
|
1/25/2028
|
|
|
|
|
|
33,247
|
|
163,879
|
|
Asset Backed Securities Corp. Home Equity Loan Trust Series 2003-HE6 ~
|
|
4.1359
|
|
11/25/2033
|
|
Monthly US LIBOR
|
|
+2.48%
|
|
167,620
|
|
135,000
|
|
Bear Stearns Asset Backed Securities I Trust 2004-BO1 ~
|
|
5.6609
|
|
10/25/2034
|
|
Monthly US LIBOR
|
|
+4.00%
|
|
134,894
|
|
408,579
|
|
Bear Stearns Asset Backed Securities I Trust 2004-FR3 ~
|
|
3.7609
|
|
9/25/2034
|
|
Monthly US LIBOR
|
|
+2.10%
|
|
411,854
|
|
244,442
|
|
Bear Stearns Asset Backed Securities I Trust 2004-HE7 ~
|
|
4.3609
|
|
8/25/2034
|
|
Monthly US LIBOR
|
|
+2.70%
|
|
247,379
|
|
20,728
|
|
Bear Stearns Asset Backed Securities Trust 2003-ABF1 ~
|
|
2.4009
|
|
1/25/2034
|
|
Monthly US LIBOR
|
|
+0.74%
|
|
20,015
|
|
155,469
|
|
CDC Mortgage Capital Trust 2004-HE1 ~
|
|
3.4609
|
|
6/25/2034
|
|
Monthly US LIBOR
|
|
+1.80%
|
|
157,326
|
|
275,455
|
|
CDC Mortgage Capital Trust 2004-HE3 ~
|
|
3.4609
|
|
11/25/2034
|
|
Monthly US LIBOR
|
|
+1.80%
|
|
240,979
|
|
59,206
|
|
Credit Suisse First Boston Mortgage Securities Corp. <
|
|
6.9900
|
|
2/25/2031
|
|
|
|
|
|
61,072
|
|
40,000
|
|
GSAA Trust <
|
|
5.2950
|
|
11/25/2034
|
|
|
|
|
|
40,947
|
|
64,512
|
|
Home Equity Asset Trust ~
|
|
3.8109
|
|
3/25/2034
|
|
Monthly US LIBOR
|
|
+2.15%
|
|
65,337
|
|
455,054
|
|
Home Equity Asset Trust 2004-4 ~
|
|
3.6109
|
|
10/25/2034
|
|
Monthly US LIBOR
|
|
+1.95%
|
|
448,563
|
|
23,193
|
|
Meritage Mortgage Loan Trust 2003-1 ~
|
|
3.9859
|
|
11/25/2033
|
|
Monthly US LIBOR
|
|
+2.33%
|
|
23,225
|
|
28,884
|
|
Meritage Mortgage Loan Trust 2003-1 ~
|
|
4.3609
|
|
11/25/2033
|
|
Monthly US LIBOR
|
|
+2.70%
|
|
28,046
|
|
44,801
|
|
Merrill Lynch Mortgage Investors Trust Series 2003-OPT1 ~
|
|
3.8359
|
|
7/25/2034
|
|
Monthly US LIBOR
|
|
+2.18%
|
|
42,958
|
|
61,984
|
|
New Century Home Equity Loan Trust ~^
|
|
2.7859
|
|
10/25/2033
|
|
Monthly US LIBOR
|
|
+1.13%
|
|
62,242
|
|
149,014
|
|
New Century Home Equity Loan Trust Series 2003-B ~
|
|
4.1359
|
|
11/25/2033
|
|
Monthly US LIBOR
|
|
+2.48%
|
|
150,415
|
|
47,553
|
|
NovaStar Mortgage Funding Trust Series 2003-4 ~
|
|
2.7259
|
|
2/25/2034
|
|
Monthly US LIBOR
|
|
+1.07%
|
|
47,510
|
|
1,843
|
|
NovaStar Mortgage Funding Trust Series 2004-1 ~
|
|
3.2359
|
|
6/25/2034
|
|
Monthly US LIBOR
|
|
+1.58%
|
|
1,836
|
|
172,480
|
|
NovaStar Mortgage Funding Trust Series 2004-2 ~
|
|
3.9109
|
|
9/25/2034
|
|
Monthly US LIBOR
|
|
+2.25%
|
|
169,872
|
|
18,404
|
|
Option One Mortgage Accept Corp. Asset Back Certs Ser 2003 5 ~
|
|
2.3009
|
|
8/25/2033
|
|
Monthly US LIBOR
|
|
+0.64%
|
|
18,156
|
|
76,674
|
|
RASC Series 2003-KS4 Trust <
|
|
5.1100
|
|
6/25/2033
|
|
|
|
|
|
78,718
|
|
150,093
|
|
Saxon Asset Securities Trust 2002-1 ~
|
|
3.4609
|
|
11/25/2031
|
|
Monthly US LIBOR
|
|
+1.80%
|
|
134,766
|
|
36,638
|
|
Saxon Asset Securities Trust 2003-3 ~
|
|
3.9059
|
|
12/25/2033
|
|
Monthly US LIBOR
|
|
+2.40%
|
|
36,734
|
|
90,686
|
|
Securitized Asset Backed Receivables LLC Trust 2004-OP1 ~
|
|
3.3109
|
|
2/25/2034
|
|
Monthly US LIBOR
|
|
+1.65%
|
|
91,079
|
|
260,479
|
|
Securitized Asset Backed Receivables LLC Trust 2004-OP1 ~
|
|
3.6859
|
|
2/25/2034
|
|
Monthly US LIBOR
|
|
+2.03%
|
|
255,295
|
|
97,457
|
|
Security National Mortgage Loan Trust 2007-1 ~^
|
|
2.0109
|
|
4/25/2037
|
|
Monthly US LIBOR
|
|
+0.35%
|
|
96,834
|
|
5,355
|
|
Terwin Mortgage Trust 2004-16SL ~^
|
|
5.9359
|
|
10/25/2034
|
|
Monthly US LIBOR
|
|
+4.28%
|
|
5,366
|
|
114,759
|
|
Terwin Mortgage Trust Series TMTS 2003-2HE ~
|
|
3.8109
|
|
7/25/2034
|
|
Monthly US LIBOR
|
|
+2.15%
|
|
119,168
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,591,186
|
|
|
|
INSURANCE - 0.8 %
|
|
|
|
|
|
|
|
|
|
|
|
300,000
|
|
Aspen Insurance Holdings Ltd.
|
|
4.6500
|
|
11/15/2023
|
|
|
|
|
|
326,030
|
|
1,394,000
|
|
Metlife, Inc. #
|
|
5.2500
|
|
6/15/2020
|
|
Quarterly US LIBOR
|
|
+3.58%
|
|
1,407,138
|
|
434,000
|
|
Pacific LifeCorp ^
|
|
6.0000
|
|
2/10/2020
|
|
|
|
|
|
434,258
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,167,426
|
|
|
|
INTERNET - 1.2 %
|
|
|
|
|
|
|
|
|
|
|
|
3,455,000
|
|
Expedia Group, Inc.
|
|
5.9500
|
|
8/15/2020
|
|
|
|
|
|
3,528,791
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MANUFACTURED HOUSING ASSET BACKED SECURITY - 0.0 %**
|
|
|
|
|
|
|
|
|
|
|
|
19,272
|
|
Conseco Finance Corp.
|
|
7.2200
|
|
3/15/2028
|
|
|
|
|
|
20,175
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MEDIA - 0.9 %
|
|
|
|
|
|
|
|
|
|
|
|
739,000
|
|
Charter Communications Operating LLC
|
|
4.4640
|
|
7/23/2022
|
|
|
|
|
|
781,210
|
|
745,000
|
|
Time Warner Cable LLC
|
|
5.0000
|
|
2/1/2020
|
|
|
|
|
|
745,000
|
|
310,000
|
|
ViacomCBS, Inc.
|
|
4.3000
|
|
2/15/2021
|
|
|
|
|
|
316,708
|
|
679,000
|
|
ViacomCBS, Inc. #
|
|
5.8750
|
|
2/28/2057
|
|
Quarterly US LIBOR
|
|
+3.90%
|
|
714,732
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,557,650
|
|
|
|
MISCELLANEOUS - 1.0 %
|
|
|
|
|
|
|
|
|
|
|
|
852,000
|
|
General Electric Co. #
|
|
4.3750
|
|
9/16/2020
|
|
|
|
|
|
864,964
|
|
2,000,000
|
|
General Electric Co.
|
|
5.0000
|
|
12/29/2049
|
|
Quarterly US LIBOR
|
|
+3.33%
|
|
1,994,010
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,858,974
|
|
|
|
OIL & GAS - 2.9 %
|
|
|
|
|
|
|
|
|
|
|
|
630,000
|
|
BG Energy Capital PLC ^
|
|
4.0000
|
|
12/9/2020
|
|
|
|
|
|
641,584
|
|
1,034,000
|
|
Petrobras Global Finance BV ~
|
|
4.7796
|
|
3/17/2020
|
|
Quarterly US LIBOR
|
|
+2.88%
|
|
1,036,844
|
|
3,761,000
|
|
Petrobras Global Finance BV
|
|
5.3750
|
|
1/27/2021
|
|
|
|
|
|
3,876,952
|
|
6,155,000
|
|
Unit Corp.
|
|
6.6250
|
|
5/15/2021
|
|
|
|
|
|
2,725,896
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,281,276
|
|
Anfield Universal Fixed Income Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
|
|
January 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par Value
|
|
|
|
Coupon Rate (%)
|
|
Maturity
|
|
Spread
|
|
Rate
|
|
Fair Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BONDS & NOTES - 85.3 % (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTHER ASSET BACKED SECURITIES - 16.8 %
|
|
|
|
|
|
|
|
|
|
|
|
$ 850,000
|
|
ACIS CLO 2017-7 Ltd. Series 2017-7A, Class B ~^
|
|
3.6591
|
|
5/1/2027
|
|
Quaterly US LIBOR
|
|
+1.75%
|
|
$ 850,254
|
|
2,000,000
|
|
AMMC CLO 16 Ltd. Series 2015-16A, Class ER ~^
|
|
7.8977
|
|
4/14/2029
|
|
Quaterly US LIBOR
|
|
+6.06%
|
|
1,934,615
|
|
1,000,000
|
|
AMMC CLO XI Ltd. Series 2012-11A, Class CR2 ~^
|
|
3.8355
|
|
4/30/2031
|
|
Quaterly US LIBOR
|
|
+1.90%
|
|
969,781
|
|
145,531
|
|
Amortizing Residential Collateral Trust 2002-BC6 ~
|
|
3.4609
|
|
8/25/2032
|
|
Monthly US LIBOR
|
|
+1.80%
|
|
132,870
|
|
2,000,000
|
|
Arch Street CLO Ltd. Series 2016-2A, Class ER ~^
|
|
8.1191
|
|
10/20/2028
|
|
Quaterly US LIBOR
|
|
+6.30%
|
|
1,859,722
|
|
29,105
|
|
Bear Stearns Asset Backed Securities Trust 2003- SD3 ~
|
|
4.5109
|
|
10/25/2033
|
|
Monthly US LIBOR
|
|
+2.85%
|
|
29,060
|
|
13,419
|
|
Bravo Mortgage Asset Trust ~^
|
|
1.9009
|
|
7/25/2036
|
|
Monthly US LIBOR
|
|
+0.24%
|
|
13,463
|
|
1,600,000
|
|
Brigade Debt Funding I Ltd. Series 2018-1A, Class D ^
|
|
6.3500
|
|
4/25/2036
|
|
|
|
|
|
1,606,052
|
|
110,866
|
|
Carrington Mortgage Loan Trust Series 2004-NC2 ~
|
|
3.4609
|
|
8/25/2034
|
|
Monthly US LIBOR
|
|
+1.80%
|
|
115,611
|
|
2,000,000
|
|
Catamaran CLO 2013-1 Ltd. Series 2013-1A, Class FR ~^
|
|
8.9441
|
|
1/27/2028
|
|
Quaterly US LIBOR
|
|
+7.15%
|
|
1,672,475
|
|
2,000,000
|
|
Cathedral Lake CLO 2013 Ltd. Series 2013-1A, Class BR ~^
|
|
4.1312
|
|
10/15/2029
|
|
Quaterly US LIBOR
|
|
+2.30%
|
|
1,989,624
|
|
1,597,500
|
|
CIFC Funding 2015-III Ltd. Series 2015-3A, Class DR ~^
|
|
4.3191
|
|
4/19/2029
|
|
Quarterly US LIBOR
|
|
+2.50%
|
|
1,548,740
|
|
230,773
|
|
Countrywide Asset-Backed Certificates ~
|
|
2.1609
|
|
8/25/2034
|
|
Monthly US LIBOR
|
|
+0.50%
|
|
223,228
|
|
86,631
|
|
Countrywide Asset-Backed Certificates ~^
|
|
5.0359
|
|
3/25/2032
|
|
Monthly US LIBOR
|
|
+3.38%
|
|
88,444
|
|
185,901
|
|
Credit-Based Asset Servicing & Securitization LLC ~
|
|
3.3859
|
|
7/25/2035
|
|
Monthly US LIBOR
|
|
+1.73%
|
|
186,739
|
|
185,990
|
|
Credit-Based Asset Servicing & Securitization LLC ~
|
|
3.4634
|
|
3/25/2034
|
|
Monthly US LIBOR
|
|
+2.78%
|
|
193,239
|
|
500,500
|
|
Crown Point CLO IV Ltd. Series 2018-4A, Class B ~^
|
|
3.3191
|
|
4/20/2031
|
|
Quarterly US LIBOR
|
|
+1.50%
|
|
494,287
|
|
65,576
|
|
CWABS Inc Asset-Backed Certificates Trust 2004-6 ~
|
|
2.5609
|
|
11/25/2034
|
|
Monthly US LIBOR
|
|
+0.90%
|
|
65,205
|
|
45,427
|
|
CWABS Inc Asset-Backed Certificates Trust 2004-6 ~
|
|
2.8609
|
|
11/25/2034
|
|
Monthly US LIBOR
|
|
+1.20%
|
|
45,824
|
|
1,000,000
|
|
Denali Capital CLO XI Ltd. Series 2015-1A, Class DR ~^
|
|
7.4291
|
|
10/20/2028
|
|
Quarterly US LIBOR
|
|
+5.61%
|
|
947,469
|
|
1,000,000
|
|
Elevation CLO 2017-7 Ltd. Series 2017-7A, Class C ~^
|
|
3.7312
|
|
7/15/2030
|
|
Quarterly US LIBOR
|
|
+1.90%
|
|
980,848
|
|
17,897
|
|
Equity One Mortgage Pass-Through Trust 2002-5 <
|
|
5.8030
|
|
11/25/2032
|
|
|
|
|
|
18,845
|
|
229,606
|
|
Finance America Mortgage Loan Trust 2004-2 ~
|
|
2.6359
|
|
8/25/2034
|
|
Monthly US LIBOR
|
|
+0.98%
|
|
230,876
|
|
43,815
|
|
Finance America Mortgage Loan Trust 2004-2 ~
|
|
3.7609
|
|
8/25/2034
|
|
Monthly US LIBOR
|
|
+2.10%
|
|
44,298
|
|
31,593
|
|
First Franklin Mortgage Loan Trust 2002-FF1 ~
|
|
2.9059
|
|
4/25/2032
|
|
Monthly US LIBOR
|
|
+1.13%
|
|
31,611
|
|
1,000,000
|
|
Fortress Credit BSL IV Ltd. Series 2017-1A, Class C ~^
|
|
4.2941
|
|
10/26/2029
|
|
Quarterly US LIBOR
|
|
+2.50%
|
|
1,000,423
|
|
2,500,000
|
|
Fortress Credit BSL VI Ltd. Series 2018-1A, Class B1R ~^
|
|
3.5763
|
|
7/23/2031
|
|
Quarterly US LIBOR
|
|
+1.77%
|
|
2,501,227
|
|
2,000,000
|
|
Greywolf CLO II Ltd. Series 13-1A, Class BR ~^
|
|
3.9813
|
|
10/15/2029
|
|
Quarterly US LIBOR
|
|
+2.15%
|
|
1,990,038
|
|
1,000,000
|
|
Halcyon Loan Adivsors Funding 2015-1 ~^
|
|
3.8266
|
|
4/20/2027
|
|
Quarterly US LIBOR
|
|
+2.00%
|
|
996,459
|
|
1,500,000
|
|
Halcyon Loan Adivsors Funding 2015-2 ~^
|
|
7.4941
|
|
7/25/2027
|
|
Quarterly US LIBOR
|
|
+5.70%
|
|
1,309,888
|
|
2,000,000
|
|
Halcyon Loan Advisors Funding 2015-3 ~^
|
|
7.7691
|
|
10/18/2027
|
|
Quarterly US LIBOR
|
|
+5.95%
|
|
1,751,852
|
|
2,000,000
|
|
Jamestown CLO V Ltd. Series 2014-5A, Class E ~^
|
|
6.9361
|
|
1/17/2027
|
|
Quarterly US LIBOR
|
|
+5.10%
|
|
1,751,200
|
|
1,000,000
|
|
KVK CLO 2013-1 Ltd. Series 2013-1A, Class DR ~^
|
|
4.7878
|
|
1/15/2028
|
|
Quarterly US LIBOR
|
|
+2.95%
|
|
997,610
|
|
1,000,000
|
|
KVK CLO 2016-1 Ltd. Series 2016-1A, Class B ~^
|
|
4.0813
|
|
1/15/2029
|
|
Quarterly US LIBOR
|
|
+2.25%
|
|
1,000,912
|
|
500,000
|
|
KVK CLO 2018-1 Ltd. Series 2018-1A, Class B ~^
|
|
3.5485
|
|
5/20/2029
|
|
Quarterly US LIBOR
|
|
+1.65%
|
|
500,066
|
|
55,779
|
|
Long Beach Mortgage Loan Trust 2003-2 ~
|
|
4.5109
|
|
6/25/2033
|
|
Monthly US LIBOR
|
|
+2.85%
|
|
55,375
|
|
16,348
|
|
Long Beach Mortgage Loan Trust 2004-1 ~
|
|
2.4859
|
|
2/25/2034
|
|
Monthly US LIBOR
|
|
+0.83%
|
|
16,396
|
|
2,400,000
|
|
Man GLG US CLO Series 2018-1A, Class BR ~^
|
|
3.7891
|
|
4/22/2030
|
|
Quarterly US LIBOR
|
|
+1.97%
|
|
2,363,414
|
|
2,000,000
|
|
Marathon CLO V Ltd. Series 2013-5A, Class DR ~^
|
|
7.6446
|
|
11/21/2027
|
|
Quarterly US LIBOR
|
|
+5.75%
|
|
1,819,917
|
|
14,893
|
|
Merrill Lynch Mortgage Investors Trust Series 2004-WMC5 ~
|
|
3.6109
|
|
7/25/2035
|
|
Monthly US LIBOR
|
|
+1.95%
|
|
14,892
|
|
115,903
|
|
Morgan Stanley ABS Capital I, Inc. Trust 2004-NC7 ~
|
|
3.3859
|
|
7/25/2034
|
|
Monthly US LIBOR
|
|
+1.73%
|
|
114,163
|
|
2,450,000
|
|
Oaktree CLO 2014-1 ~^
|
|
8.2046
|
|
5/13/2029
|
|
Quarterly US LIBOR
|
|
+6.30%
|
|
2,130,329
|
|
219,939
|
|
RAMP Series 2002-RS3 Trust ~
|
|
2.6359
|
|
6/25/2032
|
|
Monthly US LIBOR
|
|
+0.98%
|
|
212,156
|
|
144,237
|
|
Specialty Underwriting & Residential Finance Trust Series 2004-BC4 ~
|
|
2.8609
|
|
10/25/2035
|
|
Monthly US LIBOR
|
|
+1.20%
|
|
139,888
|
|
520,000
|
|
Steele Creek CLO 2014-1 Ltd. ~^
|
|
3.3191
|
|
4/21/2031
|
|
Quarterly US LIBOR
|
|
+1.50%
|
|
512,858
|
|
92,983
|
|
Structured Asset Investment Loan Trust 2004-7 ~
|
|
2.7859
|
|
8/25/2034
|
|
Monthly US LIBOR
|
|
+1.13%
|
|
92,763
|
|
109,279
|
|
Structured Asset Securities Corp 2005-WF1 ~
|
|
3.5659
|
|
2/25/2035
|
|
Monthly US LIBOR
|
|
+1.91%
|
|
111,827
|
|
89,566
|
|
Structured Asset Securities Corp 2005-WF1 ~
|
|
3.7159
|
|
2/25/2035
|
|
Monthly US LIBOR
|
|
+2.06%
|
|
90,603
|
|
2,000,000
|
|
Tralee CLO V Ltd. Series 2018-5A, Class C ~^
|
|
4.0191
|
|
10/20/2028
|
|
Quarterly US LIBOR
|
|
+2.20%
|
|
1,985,998
|
|
1,000,000
|
|
Trinitas CLO I Ltd. Series 2014-1A, Class E ~^
|
|
6.5813
|
|
4/15/2026
|
|
Quarterly US LIBOR
|
|
+4.75%
|
|
889,111
|
|
2,000,000
|
|
Tryon Park CLO Ltd. Series 2013-1A, Class CR ~^
|
|
4.5313
|
|
4/15/2029
|
|
Quarterly US LIBOR
|
|
+2.70%
|
|
1,945,821
|
|
1,000,000
|
|
Venture XVI CLO Ltd. Series 2014-16A, Class DRR ~^
|
|
4.3413
|
|
1/15/2028
|
|
Quarterly US LIBOR
|
|
+2.51%
|
|
957,304
|
|
2,000,000
|
|
Venture XVI CLO Ltd. Series 2014-16A, Class ERR ~^
|
|
6.8613
|
|
1/15/2028
|
|
Quarterly US LIBOR
|
|
+5.03%
|
|
1,663,186
|
|
1,800,000
|
|
Zais CLO 1 Ltd. Series 2014-1A, Class BR ~^
|
|
4.4313
|
|
4/15/2028
|
|
Quarterly US LIBOR
|
|
+2.60%
|
|
1,784,369
|
|
1,380,000
|
|
Zais CLO 5 Ltd. Series 2016-2A, Class A2 ~^
|
|
4.2312
|
|
10/15/2028
|
|
Quarterly US LIBOR
|
|
+2.40%
|
|
1,377,576
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48,350,801
|
|
|
|
PHARMACEUTICALS - 1.7 %
|
|
|
|
|
|
|
|
|
|
|
|
1,074,000
|
|
Allergan Funding SCS
|
|
3.0000
|
|
3/12/2020
|
|
|
|
|
|
1,074,322
|
|
1,000,000
|
|
Cigna Corp. ^
|
|
4.7500
|
|
11/15/2021
|
|
|
|
|
|
1,051,285
|
|
2,247,000
|
|
Teva Pharmaceutical Finance IV LLC
|
|
2.2500
|
|
3/18/2020
|
|
|
|
|
|
2,245,596
|
|
500,000
|
|
Zoetis, Inc.
|
|
3.4500
|
|
11/13/2020
|
|
|
|
|
|
505,451
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,876,654
|
|
Anfield Universal Fixed Income Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
|
|
January 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par Value
|
|
|
|
Coupon Rate (%)
|
|
Maturity
|
|
Spread
|
|
Rate
|
|
Fair Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BONDS & NOTES - 85.3 % (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PIPELINES - 0.8 %
|
|
|
|
|
|
|
|
|
|
|
|
$ 300,000
|
|
DCP Midstream Operating LP #^
|
|
5.8500
|
|
5/21/2043
|
|
Quarterly US LIBOR
|
|
+3.85%
|
|
$ 282,280
|
|
685,000
|
|
Energy Transfer Partners LP
|
|
4.1500
|
|
10/1/2020
|
|
|
|
|
|
692,456
|
|
1,213,000
|
|
Plains All American Pipeline LP / PAA Finance Corp.
|
|
5.0000
|
|
2/1/2021
|
|
|
|
|
|
1,238,842
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,213,578
|
|
|
|
REITs (REAL ESTATE INVESTMENT TRUSTS) - 3.9 %
|
|
|
|
|
|
|
|
|
|
|
|
1,484,000
|
|
American Tower Trust
|
|
2.8000
|
|
6/1/2020
|
|
|
|
|
|
1,487,043
|
|
150,000
|
|
American Tower Trust #1 ^
|
|
3.0700
|
|
3/15/2023
|
|
|
|
|
|
153,616
|
|
500,000
|
|
Crown Castle International Corp.
|
|
2.2500
|
|
9/1/2021
|
|
|
|
|
|
502,899
|
|
764,000
|
|
Crown Castle International Corp.
|
|
3.4000
|
|
2/15/2021
|
|
|
|
|
|
774,870
|
|
131,000
|
|
GLP Capital LP / GLP Financing II, Inc.
|
|
4.3750
|
|
4/15/2021
|
|
|
|
|
|
134,000
|
|
4,967,000
|
|
GLP Capital LP / GLP Financing II, Inc.
|
|
4.8750
|
|
11/1/2020
|
|
|
|
|
|
5,046,857
|
|
1,825,000
|
|
SBA Tower Trust ^
|
|
2.8770
|
|
7/9/2021
|
|
|
|
|
|
1,838,941
|
|
500,000
|
|
SBA Tower Trust ^
|
|
3.1560
|
|
10/8/2020
|
|
|
|
|
|
501,170
|
|
860,000
|
|
SBA Tower Trust ^
|
|
3.7220
|
|
4/11/2023
|
|
|
|
|
|
890,137
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,329,533
|
|
|
|
RETAIL - 1.3 %
|
|
|
|
|
|
|
|
|
|
|
|
3,630,000
|
|
Penske Automotive Group, Inc.
|
|
3.7500
|
|
8/15/2020
|
|
|
|
|
|
3,656,363
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SAVINGS & LOANS - 0.1 %
|
|
|
|
|
|
|
|
|
|
|
|
400,000
|
|
First Niagara Financial Group, Inc.
|
|
7.2500
|
|
12/15/2021
|
|
|
|
|
|
438,269
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TELECOMMUNICATIONS - 2.3 %
|
|
|
|
|
|
|
|
|
|
|
|
4,647,000
|
|
Sprint Communications, Inc.
|
|
7.0000
|
|
8/15/2020
|
|
|
|
|
|
4,734,596
|
|
1,784,125
|
|
Sprint Spectrum Co. LLC ^
|
|
3.3600
|
|
9/20/2021
|
|
|
|
|
|
1,800,851
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,535,447
|
|
|
|
TOTAL BONDS & NOTES (Cost $253,625,158)
|
|
|
|
|
|
|
|
|
|
245,017,271
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PREFERRED STOCK - 0.5 %
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BANKS - 0.5 %
|
|
|
|
|
|
|
|
|
|
|
|
7,400
|
|
Citigroup, Inc. #
|
|
6.8750
|
|
|
|
Quarterly US LIBOR
|
|
+4.13%
|
|
215,044
|
|
40,000
|
|
Citigroup, Inc. #
|
|
7.1250
|
|
|
|
Quarterly US LIBOR
|
|
+4.04%
|
|
1,162,400
|
|
|
|
TOTAL PREFERRED STOCK (Cost $1,342,770)
|
|
|
|
|
|
|
|
|
|
1,377,444
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TERM LOANS - 5.0 %
|
|
|
|
|
|
|
|
|
|
|
|
$ 2,940,903
|
|
Aramark
|
|
3.7935
|
|
3/28/2024
|
|
|
|
|
|
2,958,181
|
|
1,984,694
|
|
Cedar Fair LP
|
|
3.5494
|
|
4/13/2024
|
|
|
|
|
|
1,997,098
|
|
4,434,280
|
|
Jacobs Douwe Egberts International BV
|
|
4.0625
|
|
10/23/2025
|
|
|
|
|
|
4,457,826
|
|
997,500
|
|
Sinclair Broadcasting
|
|
5.0800
|
|
7/18/2026
|
|
|
|
|
|
998,742
|
|
3,974,529
|
|
United Airlines
|
|
3.2322
|
|
4/1/2024
|
|
|
|
|
|
3,987,446
|
|
|
|
TOTAL TERM LOANS (Cost $14,331,906)
|
|
|
|
|
|
|
|
|
|
14,399,293
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 94.5 % (Cost $279,867,817)
|
|
|
|
|
|
|
|
|
|
$ 271,479,704
|
|
|
|
OTHER ASSETS LESS LIABILITIES - 5.5 %
|
|
|
|
|
|
|
|
|
|
15,942,539
|
|
|
|
TOTAL NET ASSETS - 100.0 %
|
|
|
|
|
|
|
|
|
|
$ 287,422,243
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLO - Collateralized Loan Obligation
|
|
|
|
|
|
|
|
|
|
|
|
CMO - Collateralized Mortgage Obligation
|
|
|
|
|
|
|
|
|
|
|
|
LLC - Limited Liability Company
|
|
|
|
|
|
|
|
|
|
|
|
LP - Limited Partnership
|
|
|
|
|
|
|
|
|
|
|
|
PLC - Public Limited Company
|
|
|
|
|
|
|
|
|
|
|
|
REMIC - Real Estate Mortgage Investment Conduits
|
|
|
|
|
|
|
|
|
|
|
|
* Interest Only Securities
|
|
|
|
|
|
|
|
|
|
|
|
# Variable Rate Securities
|
|
~ Floating Rate Securities
|
|
^ 144A Security - Security exempt from registration under Rule 144A of the Securities Act of 1933. The 144A securities represent 26.10% of total net assets. The securities may be resold in transactions exempt from registration typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid.
|
|
< STEP Securities
|
|
+ Fair valued determined using Level 3 measurements. As of January 31, 2020 fair valued securities had a market value of $806,775 and represented 0.28% of Total Net Assets.
|
|
** Represents less than 0.1%
|
|
Anfield Universal Fixed Income Fund
|
|
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
|
|
January 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FUTURES CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of Contracts
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized
|
|
|
|
|
Counterparty
|
|
|
Notional Value ***
|
|
|
|
Appreciation
|
|
|
|
LONG FUTURES CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
132
|
|
US 10 Year Treasury Note Future March 2020
|
|
Interactive Brokers
|
|
$ 17,378,592
|
|
|
|
$ 282,687
|
|
81
|
|
US Long Bond Future March 2020
|
|
Interactive Brokers
|
|
13,246,011
|
|
|
|
349,594
|
|
|
|
|
|
Net Unrealized Appreciation on Futures Contracts
|
|
$ 632,281
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Fund's futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund.
|
|
Anfield Universal Fixed Income Fund
|
|
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
|
|
January 31, 2020
|
|
|
|
The following is a summary of significant accounting policies consistently followed by the Funds and are in accordance with accounting principles generally accepted in the United States of America ("GAAP"). The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 "Financial Services – Investment Companies" including FASB Accounting Standard Update ASU 2013-08.
|
|
|
|
Security Valuation – Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ at the NASDAQ Official Closing Price. In the absence of a sale such securities shall be valued at the mean between the last bid and ask prices on the day of valuation. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Board of Trustees (the “Board”) using methods which include current market quotations from a major market maker in the securities and based on methods which include the consideration of yields or prices of securities of comparable quality, coupon, maturity and type. Futures and future options are valued at the final settled price or, in the absence of a settled price, at the last sale price on the day of valuation. The independent pricing service does not distinguish between smaller-sized bond positions known as “odd lots” and larger institutional-sized bond positions known as “round lots”. The Fund may fair value a particular bond if the adviser does not believe that the round lot value provided by the independent pricing service reflects fair value of the Fund’s holding. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost.
|
|
|
|
The Fund may hold securities, such as private investments, interests in commodity pools, other non-traded securities or temporarily illiquid securities, for which market quotations are not readily available or are determined to be unreliable. These securities will be valued using the “fair value” procedures approved by the Board. The Board has delegated execution of these procedures to a fair value team composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) Advisor. The team may also enlist third party consultants such as a valuation specialist at a public accounting firm, valuation consultant or financial officer of a security issuer on an as-needed basis to assist in determining a security-specific fair value. The Board has also engaged a third party valuation firm to attend, as needed, valuation meetings held by the Trust, review minutes of such meetings and report to the Board on a quarterly basis. The Board reviews and ratifies the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results.
|
|
|
|
Fair Valuation Process - The applicable investments are valued collectively via inputs from each of these groups. For example, fair value determinations are required for the following securities: (i) securities for which market quotations are insufficient or not readily available on a particular business day (including securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source), (ii) securities for which, in the judgment of the Advisor, the prices or values available do not represent the fair value of the instrument. Factors which may cause the Advisor to make such a judgment include, but are not limited to, the following: only a bid price or an ask price is available; the spread between bid and ask prices is substantial; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets, such as the suspension or limitation of trading; (iii) securities determined to be illiquid; (iv) securities with respect to which an event that will affect the value thereof has occurred (a “significant event”) since the closing prices were established on the principal exchange on which they are traded, but prior to a Fund’s calculation of its net asset value. Specifically, interests in commodity pools or managed futures pools are valued on a daily basis by reference to the closing market prices of each futures contract or other asset held by a pool, as adjusted for pool expenses. Restricted or illiquid securities, such as private investments or non-traded securities are valued via inputs from the Advisor based upon the current bid for the security from two or more independent dealers or other parties reasonably familiar with the facts and circumstances of the security (who should take into consideration all relevant factors as may be appropriate under the circumstances). If the Advisor is unable to obtain a current bid from such independent dealers or other independent parties, the fair value team shall determine the fair value of such security using the following factors: (i) the type of security; (ii) the cost at date of purchase; (iii) the size and nature of the Fund's holdings; (iv) the discount from market value of unrestricted securities of the same class at the time of purchase and subsequent thereto; (v) information as to any transactions or offers with respect to the security; (vi) the nature and duration of restrictions on disposition of the security and the existence of any registration rights; (vii) how the yield of the security compares to similar securities of companies of similar or equal creditworthiness; (viii) the level of recent trades of similar or comparable securities; (ix) the liquidity characteristics of the security; (x) current market conditions; and (xi) the market value of any securities into which the security is convertible or exchangeable.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Fund utilizes various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Funds have the ability to access.
|
|
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument in an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
|
|
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ 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 availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Anfield Universal Fixed Income Fund
|
|
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
|
|
January 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of January 31, 2020, for the Fund’s assets and liabilities measured at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security Classifications *
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
|
|
|
Closed End Fund
|
$ 205,229
|
|
$ -
|
|
$ -
|
|
$ 205,229
|
|
|
|
|
Exchange Traded Funds
|
382,109
|
|
-
|
|
-
|
|
382,109
|
|
|
|
|
Mutual Funds
|
10,098,358
|
|
-
|
|
-
|
|
10,098,358
|
|
|
|
|
Bonds & Notes
|
-
|
|
244,210,496
|
|
806,775
|
|
245,017,271
|
|
|
|
|
Preferred Stock
|
1,377,444
|
|
-
|
|
-
|
|
1,377,444
|
|
|
|
|
Term Loans
|
-
|
|
14,399,293
|
|
-
|
|
14,399,293
|
|
|
|
|
Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts**
|
632,281
|
|
-
|
|
-
|
|
632,281
|
|
|
|
|
Total
|
$ 12,695,421
|
|
$ 258,609,789
|
|
$ 806,775
|
|
$ 272,111,985
|
|
|
|
|
* Refer to the Schedule of Investments for classifications.
|
|
** Net appreciation of futures contracts is reported in the above table.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following is a reconciliation of assets in which level 3 inputs were used in determining value of the security Carter Holt Harvey:
|
|
|
Bonds & Notes
|
|
Total
|
|
Beginning Balance 11/1/2019
|
$ 801,660
|
|
$ 801,660
|
|
Total realized gain (loss)
|
-
|
|
-
|
|
Unrealized Appreciation
|
1,194
|
|
1,194
|
|
Cost of Purchases
|
-
|
|
-
|
|
Proceeds from Sales
|
-
|
|
-
|
|
Amortization
|
3,921
|
|
3,921
|
|
Net transfers in/out of level 3
|
-
|
|
-
|
|
Ending Balance 1/31/2020
|
$ 806,775
|
|
$ 806,775
|
|
|
|
Fair Value at January 31, 2020
|
Valuation Techniques
|
|
Unobservable Input
|
|
Impact to Valuation
|
|
$104.10
|
Spread to comparable security adjusted for a fixed spread as of the last trade date.
|
|
720 basis point spread to comparable security with a rate of 4.625%.
|
|
These inputs included the discount rate or yield and the term to maturity used. Significant increases (decreases) in the discount rate or yield and expected term to redemption would have a direct and proportional impact to fair value.
|
|
|
|
Futures Contracts - The Fund is subject to commodity risk and index risk in the normal course of pursuing their investment objectives. The Fund may purchase or sell futures contracts to hedge against market risk and to reduce return volatility. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (the Funds’ agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contracts at the end of each day’s trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contracts are closed, the Funds recognize a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Funds’ basis in the contract. If the Fund was unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. The Funds segregate liquid securities having a value at least equal to the amount of the current obligation under any open futures contract. With futures, there is minimal counterparty credit risk to a Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. As of January 31, 2020, the amount of realized loss on futures contracts subject to interest rate risk amounted to $75,103 for the Anfield Universal Fixed Income Fund.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange Traded Funds – The Fund may invest in exchange traded funds (“ETFs”). ETFs are a type of index fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities designed to track the performance and dividend yield of a particular domestic or foreign market index. The Fund may purchase an ETF to temporarily gain exposure to a portion of the U.S. or a foreign market while awaiting purchase of underlying securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed Income Risk - When the Fund invests in fixed income securities or derivatives, the value of your investment in the Fund will fluctuate with changes in interest rates. Typically, a rise in interest rates causes a decline in the value of fixed income securities or derivatives owned by the Fund. In general, the market price of fixed income securities with longer maturities will increase or decrease more in response to changes in interest rates than shorter-term securities. Other risk factors include credit risk (the debtor may default) and prepayment risk (the debtor may pay its obligation early, reducing the amount of interest payments). These risks could affect the value of a particular investment by the Fund, possibly causing the Fund’s share price and total return to be reduced and fluctuate more than other types of investments.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Investment Risk - Foreign (non-U.S.) securities present greater investment risks than investing in the securities of U.S. issuers and may experience more rapid and extreme changes in value than the securities of U.S. companies, due to less information about foreign companies in the form of reports and ratings than about U.S. issuers; different accounting, auditing and financial reporting requirements; smaller markets; nationalization; expropriation or confiscatory taxation; currency blockage; or political changes or diplomatic developments. Foreign securities may also be less liquid and more difficult to value than securities of U.S. issuers.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty Credit Risk - The stability and liquidity of many derivative transactions depends in large part on the creditworthiness of the parties to the transactions. If a counterparty to such a transaction defaults, exercising contractual rights may involve delays or costs for the Fund. Furthermore, there is a risk that a counterparty could become the subject of insolvency proceedings, and that the recovery of securities and other assets from such counterparty will be delayed or be of a value less than the value of the securities or assets originally entrusted to such counterparty.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed and Asset-Backed Securities Risk - The risk of investing in mortgage-backed and other asset-backed securities, including prepayment risk, extension risk, interest rate risk, market risk and management risk.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The identified cost of investments in securities owned by the Fund for federal income for federal income tax purposes and its respective gross unrealized appreciation and depreciation at January 31, 2020, were as follows:
|
|
|
Tax Cost
|
Gross Unrealized Appreciation
|
Gross Unrealized Depreciation
|
Net Unrealized Depreciation
|
|
|
|
|
|
$ 279,608,083
|
|
$ 6,400,204
|
$ (14,528,583)
|
$ (8,128,379)
|
|
|
|
Item 2. Controls and Procedures.
(a) The
registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded
that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of
1940, as amended (the “1940 Act”)) are effective, as of a date within 90 days of the filing date of this report that
includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b)
under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There
were no significant changes in the registrant’s internal control over financial reporting that occurred during the registrant’s
last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal
control over financial reporting.
Item 3. Exhibits.
Certifications required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) (and Item 3 of Form N-Q) are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities
Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf
by the undersigned, thereunto duly authorized.
Two Roads Shared Trust
By
*/s/ James Colantino
James Colantino, Principal Executive Officer/President
Date 3/25/2020
Pursuant to the requirements of the Securities Exchange Act of 1934
and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant
and in the capacities and on the dates indicated.
By
*/s/ James Colantino
James Colantino, Principal Executive Officer/President
Date 3/25/2020
By
*/s/ Laura Szalyga
Laura Szalyga, Principal Financial Officer/Treasurer
Date 3/25/2020
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