OSTERWEIS TOTAL RETURN FUND
|
|||||||
SCHEDULE OF INVESTMENTS at June 30, 2023 (Unaudited)
|
|||||||
Principal Amount
|
Value
|
||||||
Bonds: 99.0%
|
|||||||
Corporate Bonds: 17.9%
|
|||||||
Air Freight & Logistics: 1.0%
|
|||||||
American Airlines 2019-1 Class B Pass Through Trust
|
|||||||
$
|
714,578
|
3.850%, 02/15/2028
|
$
|
609,081
|
|||
British Airways 2021-1 Class A Pass Through Trust
|
|||||||
954,759
|
2.900%, 03/15/2035
|
788,950
|
|||||
1,398,031
|
|||||||
Banks: 3.8%
|
|||||||
Citigroup, Inc.
|
|||||||
1,000,000
|
6.123% (SOFR + 1.372%), 05/24/2025 2
|
1,004,491
|
|||||
HSBC Holdings PLC
|
|||||||
1,000,000
|
6.547% (SOFR + 2.980%), 06/20/2034 2,8
|
996,351
|
|||||
Mizuho Financial Group, Inc.
|
|||||||
1,000,000
|
5.748%, 07/06/2034
|
1,002,343
|
|||||
The PNC Financial Services Group, Inc.
|
|||||||
1,120,000
|
8.977% (3 Month LIBOR USD + 3.678%), 08/01/2023 1,2
|
1,122,490
|
|||||
Santander UK Group Holdings PLC
|
|||||||
1,000,000
|
6.833% (SOFR + 2.749%), 11/21/2026 2,8
|
1,002,352
|
|||||
5,128,027
|
|||||||
Biotechnology: 0.6%
|
|||||||
Amgen, Inc.
|
|||||||
1,000,000
|
3.150%, 02/21/2040
|
764,334
|
|||||
Capital Markets: 1.3%
|
|||||||
Morgan Stanley
|
|||||||
1,000,000
|
4.350%, 09/08/2026
|
966,091
|
|||||
1,000,000
|
2.484% (SOFR + 1.360%), 09/16/2036 2,8
|
758,928
|
|||||
1,725,019
|
|||||||
Diversified Telecommunication Services: 1.3%
|
|||||||
AT&T, Inc.
|
|||||||
1,000,000
|
5.400%, 02/15/2034
|
1,001,558
|
|||||
1,000,000
|
3.500%, 09/15/2053
|
707,595
|
|||||
1,709,153
|
|||||||
Electric Utilities: 1.2%
|
|||||||
Edison International
|
|||||||
760,000
|
5.000% (5 Year CMT Rate + 3.901%), 12/15/2026 1,2,8
|
658,464
|
|||||
PacifiCorp
|
|||||||
1,000,000
|
5.350%, 12/01/2053
|
911,211
|
|||||
1,569,675
|
|||||||
Financial Services: 0.7%
|
|||||||
Aviation Capital Group LLC
|
|||||||
1,000,000
|
1.950%, 01/30/2026
|
891,112
|
|||||
Health Care Providers & Services: 1.1%
|
|||||||
CVS Health Corp.
|
|||||||
1,000,000
|
5.875%, 06/01/2053
|
1,026,467
|
|||||
HCA, Inc.
|
|||||||
500,000
|
5.900%, 06/01/2053
|
495,777
|
|||||
1,522,244
|
|||||||
Insurance: 1.5%
|
|||||||
Metropolitan Life Global Funding I
|
|||||||
1,000,000
|
5.150%, 03/28/2033
|
989,338
|
|||||
New York Life Insurance Co.
|
|||||||
1,000,000
|
5.875%, 05/15/2033
|
1,033,532
|
|||||
SBL Holdings, Inc.
|
|||||||
25,000
|
6.500% (5 Year CMT Rate + 5.620%), 11/13/2026 1,2,8
|
13,634
|
|||||
2,036,504
|
|||||||
Media: 0.2%
|
|||||||
Comcast Corp.
|
|||||||
500,000
|
2.887%, 11/01/2051
|
334,986
|
|||||
Oil, Gas & Consumable Fuels: 0.7%
|
|||||||
Energy Transfer L.P.
|
|||||||
1,000,000
|
6.500% (5 Year CMT Rate + 5.694%), 11/15/2026 1,2,8
|
910,820
|
|||||
Passenger Airlines: 1.9%
|
|||||||
Air Canada 2020-2 Class A Pass Through Trust
|
|||||||
760,488
|
5.250%, 04/01/2029
|
737,958
|
|||||
British Airways 2020-1 Class A Pass Through Trust
|
|||||||
518,708
|
4.250%, 11/15/2032
|
473,912
|
|||||
United Airlines 2020-1 Class A Pass Through Trust
|
|||||||
1,437,367
|
5.875%, 10/15/2027
|
1,426,464
|
|||||
2,638,334
|
|||||||
Pharmaceuticals: 0.7%
|
|||||||
Pfizer Investment Enterprises Pte Ltd.
|
|||||||
1,000,000
|
5.110%, 05/19/2043
|
1,001,698
|
|||||
Software: 0.6%
|
|||||||
Oracle Corp.
|
|||||||
1,000,000
|
3.650%, 03/25/2041
|
769,668
|
|||||
Trading Companies & Distributors: 0.6%
|
|||||||
Air Lease Corp.
|
|||||||
520,000
|
4.125% (5 Year CMT Rate + 3.149%), 12/15/2026 1,2,8
|
339,049
|
|||||
Aviation Capital Group LLC
|
|||||||
500,000
|
6.250%, 04/15/2028
|
499,123
|
|||||
838,172
|
|||||||
Wireless Telecommunication Services: 0.8%
|
|||||||
T-Mobile USA, Inc.
|
|||||||
1,000,000
|
5.750%, 01/15/2054
|
1,027,108
|
|||||
Total Corporate Bonds
|
|||||||
(Cost $25,097,951)
|
24,264,885
|
||||||
Asset Backed Securities: 16.2%
|
|||||||
Aaset 2021-2 Trust 2021-2
|
|||||||
840,199
|
2.798%, 01/15/2047
|
714,673
|
|||||
American Credit Acceptance Receivables Trust 2021-1
|
|||||||
1,500,000
|
1.140%, 03/15/2027
|
1,445,770
|
|||||
American Credit Acceptance Receivables Trust 2021-2
|
|||||||
431,124
|
0.970%, 07/13/2027
|
426,045
|
|||||
Cartiga Asset Finance Trust 2023-1 LLC
|
|||||||
1,205,165
|
7.000%, 03/15/2035 10
|
1,195,920
|
|||||
Carvana Auto Receivables Trust 2021-N1
|
|||||||
459,328
|
1.300%, 01/10/2028
|
426,981
|
|||||
Carvana Auto Receivables Trust 2021-N2
|
|||||||
612,468
|
1.270%, 03/10/2028
|
585,374
|
|||||
Carvana Auto Receivables Trust 2023-N1
|
|||||||
908,490
|
6.360%, 04/12/2027
|
905,656
|
|||||
CLI Funding VIII LLC
|
|||||||
1,898,631
|
1.640%, 02/18/2046
|
1,620,186
|
|||||
DT Auto Owner Trust 2019-3
|
|||||||
91,000
|
2.960%, 04/15/2025
|
90,300
|
|||||
DT Auto Owner Trust 2021-1
|
|||||||
451,401
|
0.840%, 10/15/2026
|
439,427
|
|||||
FCI Funding 2021-1 LLC 2021-1
|
|||||||
89,561
|
1.130%, 04/15/2033
|
85,583
|
|||||
Flagship Credit Auto Trust 2018-2
|
|||||||
42,503
|
4.230%, 09/16/2024
|
42,460
|
|||||
Flagship Credit Auto Trust 2020-4
|
|||||||
500,000
|
1.280%, 02/16/2027
|
481,183
|
|||||
Flagship Credit Auto Trust 2021-2
|
|||||||
1,000,000
|
1.270%, 06/15/2027
|
932,598
|
|||||
FortiFi 2023-1
|
|||||||
993,393
|
6.230%, 09/20/2059
|
964,788
|
|||||
LFS 2023A LLC
|
|||||||
2,000,000
|
7.173%, 07/15/2035
|
1,977,698
|
|||||
Libra Solutions 2023-1 LLC
|
|||||||
1,306,935
|
7.000%, 02/15/2035
|
1,301,092
|
|||||
MVW 2021-1W LLC
|
|||||||
227,612
|
1.440%, 01/22/2041
|
204,248
|
|||||
Navigator Aircraft ABS Ltd.
|
|||||||
2,086,771
|
2.771%, 11/15/2046 9
|
1,820,061
|
|||||
Nyctl 2021-A Trust 2021-A
|
|||||||
231,764
|
2.100%, 11/10/2034
|
223,310
|
|||||
Progress Residential 2021-SFR1
|
|||||||
500,000
|
1.555%, 04/17/2038
|
438,598
|
|||||
Pvone 2023-1 LLC
|
|||||||
1,000,000
|
7.250%, 07/16/2035 10
|
999,432
|
|||||
Stonepeak 2021-1 ABS 2021-1
|
|||||||
1,166,167
|
2.301%, 02/28/2033
|
1,056,180
|
|||||
Thrust Engine Leasing 2021 DAC
|
|||||||
2,593,088
|
4.163%, 07/15/2040
|
2,188,644
|
|||||
Triton Container Finance VIII LLC
|
|||||||
1,617,500
|
1.860%, 03/20/2046
|
1,359,253
|
|||||
Westlake Automobile Receivables Trust 2020-3
|
|||||||
56,540
|
1.240%, 11/17/2025
|
55,839
|
|||||
21,981,299
|
|||||||
Total Asset Backed Securities
|
|||||||
(Cost $23,501,027)
|
21,981,299
|
||||||
Commercial Mortgage-Backed Securities: 1.4%
|
|||||||
BX Commercial Mortgage Trust 2021-VOLT
|
|||||||
Series BX 2021-VOLT C
|
|||||||
1,000,000
|
6.293% (1 Month LIBOR USD + 1.100%), 09/15/2036 2
|
951,710
|
|||||
Life 2021-BMR Mortgage Trust
|
|||||||
Series LIFE 2021-BMR C
|
|||||||
982,970
|
6.361% (1 Month LIBOR USD + 1.214%), 03/15/2038 2
|
947,800
|
|||||
1,899,510
|
|||||||
Total Commercial Mortgage-Backed Securities
|
|||||||
(Cost $1,982,970)
|
1,899,510
|
||||||
Mortgage Backed Securities: 46.6%
|
|||||||
Federal Home Loan Mortgage Corporation: 11.0%
|
|||||||
FR SD1900
|
|||||||
4,015,072
|
3.500%, 06/01/2052
|
3,691,901
|
|||||
FR SD8258
|
|||||||
6,798,750
|
5.000%, 10/01/2052
|
6,670,234
|
|||||
FR SD1884
|
|||||||
4,627,631
|
5.000%, 11/01/2052
|
4,539,239
|
|||||
14,901,374
|
|||||||
Federal Home Loan Mortgage Corporation REMICS: 1.6%
|
|||||||
Series FHR 2512 SI
|
|||||||
47,031
|
2.393% (1 Month LIBOR USD + 7.500%), 04/15/2024 2,3,7
|
325
|
|||||
Series FHR 4048 IK
|
|||||||
1,337,337
|
3.000%, 05/15/2027 3
|
48,990
|
|||||
Series FHR 4093 DS
|
|||||||
2,880,892
|
1.107% (1 Month LIBOR USD + 6.300%), 08/15/2027 2,3,7
|
76,874
|
|||||
Series FHR 4216 EI
|
|||||||
1,695,442
|
3.000%, 06/15/2028 3
|
84,282
|
|||||
Series FHR 4360 BI
|
|||||||
670,568
|
2.500%, 11/15/2028 3
|
15,248
|
|||||
Series FHR 4341 MI
|
|||||||
947,834
|
4.000%, 11/15/2031 3
|
75,885
|
|||||
Series FHR 4093 IB
|
|||||||
1,156,121
|
4.000%, 08/15/2032 3
|
100,216
|
|||||
Series FHR 4114 MI
|
|||||||
1,441,525
|
3.500%, 10/15/2032 3
|
131,456
|
|||||
Series FHR 4170 IU
|
|||||||
2,314,700
|
3.000%, 02/15/2033 3
|
191,287
|
|||||
Series FHR 3171 OJ
|
|||||||
684,713
|
N/A%, 06/15/2036 4,5
|
545,757
|
|||||
Series FHR 3824 LS
|
|||||||
447,272
|
1.907% (1 Month LIBOR USD + 7.100%), 08/15/2036 2,3,7
|
49,266
|
|||||
Series FHR 3236 KF
|
|||||||
55,153
|
5.493% (1 Month LIBOR USD + 0.300%), 11/15/2036 2
|
53,992
|
|||||
Series FHR 3339 JS
|
|||||||
25,243
|
9.079% (1 Month LIBOR USD + 42.835%), 07/15/2037 2,7
|
32,726
|
|||||
Series FHR 3380 FM
|
|||||||
126,286
|
5.783% (1 Month LIBOR USD + 0.590%), 10/15/2037 2
|
125,145
|
|||||
Series FHR 3721 FB
|
|||||||
101,338
|
5.693% (1 Month LIBOR USD + 0.500%), 09/15/2040 2
|
99,610
|
|||||
Series FHR 4105 LS
|
|||||||
1,812,170
|
0.957% (1 Month LIBOR USD + 6.150%), 08/15/2041 2,3,7
|
55,472
|
|||||
Series FHR 3933 QS
|
|||||||
1,471,641
|
0.857% (1 Month LIBOR USD + 6.050%), 10/15/2041 2,3,7
|
81,833
|
|||||
Series FHR 4340 US
|
|||||||
970,183
|
1.407% (1 Month LIBOR USD + 6.600%), 05/15/2042 2,3,7
|
124,370
|
|||||
Series FHR 4076 LF
|
|||||||
135,319
|
5.493% (1 Month LIBOR USD + 0.300%), 07/15/2042 2
|
132,346
|
|||||
Series FHR 4495 PI
|
|||||||
164,027
|
4.000%, 09/15/2043 3
|
13,435
|
|||||
Series FHR 4313 CS
|
|||||||
1,884,708
|
0.857% (1 Month LIBOR USD + 6.050%), 03/15/2044 2,3,7
|
170,033
|
|||||
Series FHR 4911 IH
|
|||||||
635,136
|
4.000%, 04/15/2049 3
|
48,803
|
|||||
2,257,351
|
|||||||
Federal Home Loan Mortgage Corporation Strips: 0.2%
|
|||||||
Series FHS 288 IO
|
|||||||
968,273
|
3.000%, 10/15/2027 3
|
40,812
|
|||||
Series FHS 272 F2
|
|||||||
190,342
|
5.743% (1 Month LIBOR USD + 0.550%), 08/15/2042 2
|
185,861
|
|||||
226,673
|
|||||||
Federal National Mortgage Association Interest Strips: 0.2%
|
|||||||
Pool FNS 419 C1
|
|||||||
2,043,778
|
2.500%, 09/25/2028 3
|
84,770
|
|||||
Pool FNS 419 C2
|
|||||||
2,374,545
|
3.000%, 05/25/2029 3
|
106,690
|
|||||
Pool FNS 421 C4
|
|||||||
950,668
|
4.500%, 01/25/2030 3
|
64,255
|
|||||
Pool FNS 421 C3
|
|||||||
72,372
|
4.000%, 07/25/2030 3
|
5,063
|
|||||
Pool FNS 387 7
|
|||||||
293,542
|
5.500%, 04/25/2038 3
|
84,263
|
|||||
345,041
|
|||||||
Federal National Mortgage Association Pool: 28.1%
|
|||||||
FN AL2519
|
|||||||
616,887
|
4.500%, 07/01/2040
|
609,793
|
|||||
FN AS5460
|
|||||||
591,175
|
3.500%, 07/01/2045
|
550,302
|
|||||
FN AS6520
|
|||||||
791,477
|
3.500%, 01/01/2046
|
734,935
|
|||||
FN MA3101
|
|||||||
634,534
|
4.500%, 08/01/2047
|
623,305
|
|||||
FN FS2991
|
|||||||
6,696,278
|
3.000%, 07/01/2051
|
5,909,905
|
|||||
FN FS3520
|
|||||||
10,050,500
|
4.500%, 11/01/2052
|
9,673,904
|
|||||
FN MA4805
|
|||||||
7,712,242
|
4.500%, 11/01/2052
|
7,421,868
|
|||||
FN MA4841
|
|||||||
3,069,518
|
5.000%, 12/01/2052
|
3,012,369
|
|||||
FN FS4239
|
|||||||
9,869,002
|
5.000%, 03/01/2053
|
9,679,505
|
|||||
38,215,886
|
|||||||
Federal National Mortgage Association REMICS: 3.0%
|
|||||||
Series FNR 1996-45 SI
|
|||||||
26,236
|
2.100% (1 Month LIBOR USD + 7.250%), 02/25/2024 2,3,7
|
150
|
|||||
Series FNR 1997-65 SI
|
|||||||
292,119
|
2.854% (1 Month LIBOR USD + 8.000%), 09/17/2027 2,3,7
|
9,715
|
|||||
Series FNR 2012-139 DI
|
|||||||
2,140,153
|
3.000%, 12/25/2027 3
|
75,211
|
|||||
Series FNR 2013-29 BI
|
|||||||
2,785,096
|
2.500%, 04/25/2028 3
|
115,050
|
|||||
Series FNR 2010-119 PS
|
|||||||
1,643,728
|
1.550% (1 Month LIBOR USD + 6.700%), 09/25/2030 2,3,7
|
59,553
|
|||||
Series FNR 2016-8 CI
|
|||||||
4,240,333
|
3.000%, 03/25/2031 3
|
267,974
|
|||||
Series FNR 2013-51 PI
|
|||||||
1,635,529
|
3.000%, 11/25/2032 3
|
138,732
|
|||||
Series FNR 2014-81 TI
|
|||||||
274,561
|
4.500%, 12/25/2034 3
|
22,028
|
|||||
Series FNR 2016-24 IB
|
|||||||
3,613,499
|
3.500%, 05/25/2036 3
|
369,822
|
|||||
Series FNR 2007-2 FT
|
|||||||
128,934
|
5.400% (1 Month LIBOR USD + 0.250%), 02/25/2037 2
|
125,686
|
|||||
Series FNR 2016-78 CS
|
|||||||
2,192,310
|
0.950% (1 Month LIBOR USD + 6.100%), 05/25/2039 2,3,7
|
140,589
|
|||||
Series FNR 2012-82 PS
|
|||||||
1,214,173
|
0.950% (1 Month LIBOR USD + 6.100%), 08/25/2041 2,3,7
|
33,998
|
|||||
Series FNR 2011-100 S
|
|||||||
2,501,938
|
1.300% (1 Month LIBOR USD + 6.450%), 10/25/2041 2,3,7
|
249,040
|
|||||
Series FNR 2012-15 SW
|
|||||||
2,799,137
|
0.800% (1 Month LIBOR USD + 5.950%), 03/25/2042 2,3,7
|
253,583
|
|||||
Series FNR 2012-79 FM
|
|||||||
104,149
|
5.600% (1 Month LIBOR USD + 0.450%), 07/25/2042 2
|
101,386
|
|||||
Series FNR 2012-128 ST
|
|||||||
993,718
|
1.000% (1 Month LIBOR USD + 6.150%), 11/25/2042 2,3,7
|
147,340
|
|||||
Series FNR 2013-22 TO
|
|||||||
331,991
|
N/A%, 03/25/2043 4,5
|
214,565
|
|||||
Series FNR 2013-20 QS
|
|||||||
3,808,307
|
1.000% (1 Month LIBOR USD + 6.150%), 03/25/2043 2,3,7
|
412,494
|
|||||
Series FNR 2014-37 PI
|
|||||||
582,120
|
5.500%, 06/25/2044 3
|
61,120
|
|||||
Series FNR 2014-50 WS
|
|||||||
391,051
|
1.050% (1 Month LIBOR USD + 6.200%), 08/25/2044 2,3,7
|
22,185
|
|||||
Series FNR 2016-83 BS
|
|||||||
315,218
|
0.950% (1 Month LIBOR USD + 6.100%), 11/25/2046 2,3,7
|
23,793
|
|||||
Series FNR 2018-51 IO
|
|||||||
394,120
|
6.500%, 07/25/2048 3
|
48,578
|
|||||
Series FNR 2019-41 SB
|
|||||||
1,058,435
|
0.900% (1 Month LIBOR USD + 6.050%), 08/25/2049 2,3,7
|
108,637
|
|||||
Series FNR 2020-88 QI
|
|||||||
10,617,950
|
2.000%, 05/25/2050 3
|
1,022,806
|
|||||
4,024,035
|
|||||||
Goldman Sachs Mortgage-Backed Securities Corp Trust: 0.3%
|
|||||||
Series GSMBS 2020-PJ4 A2
|
|||||||
476,725
|
3.000%, 01/25/2051
|
405,497
|
|||||
Government National Mortgage Association: 0.4%
|
|||||||
Series GNR 2014-74 GI
|
|||||||
76,896
|
4.000%, 05/16/2029 3
|
1,772
|
|||||
Series GNR 2010-47 BX
|
|||||||
224,334
|
1.392% (1 Month LIBOR USD + 6.550%), 08/16/2034 2,3,7
|
6,626
|
|||||
Series GNR 2011-61 WS
|
|||||||
2,688,279
|
1.324% (1 Month LIBOR USD + 6.470%), 02/20/2038 2,3,7
|
87,445
|
|||||
Series GNR 2010-6 FG
|
|||||||
97,253
|
5.758% (1 Month LIBOR USD + 0.600%), 01/16/2040 2
|
96,892
|
|||||
Series GNR 2016-31 CS
|
|||||||
3,199,557
|
1.093% (1 Month LIBOR USD + 6.250%), 07/20/2044 2,3,7
|
318,760
|
|||||
Series GNR 2016-112 WI
|
|||||||
4,010,681
|
N/A%, 03/20/2045 2,3
|
63,233
|
|||||
574,728
|
|||||||
JP Morgan Mortgage Trust: 0.3%
|
|||||||
Series JPMMT 2014-IVR3 3A1
|
|||||||
130,277
|
4.995%, 09/25/2044 2
|
128,801
|
|||||
Series JPMMT 2020-7 A3
|
|||||||
314,275
|
3.000%, 01/25/2051
|
265,436
|
|||||
394,237
|
|||||||
RCKT Mortgage Trust 2021-6 - 0: 1.1%
|
|||||||
Series RCKT 2021-6 A1
|
|||||||
1,789,022
|
2.500%, 12/25/2051
|
1,444,181
|
|||||
Wells Fargo Mortgage Backed Securities Trust: 0.4%
|
|||||||
Series WFMBS 2019-4 A17
|
|||||||
54,183
|
3.500%, 09/25/2049 2
|
47,176
|
|||||
Series WFMBS 2020-3 A3
|
|||||||
122,397
|
3.000%, 06/25/2050 2
|
115,850
|
|||||
Series WFMBS 2020-4 A1
|
|||||||
433,920
|
3.000%, 07/25/2050 2
|
368,650
|
|||||
531,676
|
|||||||
Total Mortgage Backed Securities
|
|||||||
(Cost $68,157,542)
|
63,320,679
|
||||||
United States Government Securities: 16.9%
|
|||||||
United States Treasury Notes/Bonds
|
|||||||
4,000,000
|
4.000%, 10/31/2029
|
3,989,062
|
|||||
3,600,000
|
4.125%, 11/15/2032
|
3,677,063
|
|||||
3,500,000
|
3.375%, 05/15/2033
|
3,373,945
|
|||||
4,915,000
|
3.875%, 02/15/2043
|
4,785,213
|
|||||
4,000,000
|
3.000%, 02/15/2047
|
3,363,516
|
|||||
4,000,000
|
3.625%, 02/15/2053
|
3,833,750
|
|||||
23,022,549
|
|||||||
Total United States Government Securities
|
|||||||
(Cost $23,486,174)
|
23,022,549
|
||||||
Total Bonds
|
|||||||
(Cost $142,225,664)
|
134,488,922
|
||||||
Shares
|
|||||||
Money Market Funds: 0.5%
|
|||||||
710,028
|
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, 5.017% 6
|
710,028
|
|||||
Total Money Market Funds
|
|||||||
(Cost $710,028)
|
710,028
|
||||||
Total Short-Term Investments
|
|||||||
(Cost $710,028)
|
710,028
|
||||||
Total Investments in Securities: 99.5%
|
|||||||
(Cost $142,935,692)
|
135,198,950
|
||||||
Other Assets in Excess of Liabilities: 0.5%
|
685,078
|
||||||
Total Net Assets: 100.0%
|
$
|
135,884,028
|
CMT-
|
Constant Maturity Treasury Rate
|
|
LIBOR-
|
London Interbank Offered Rate
|
|
SOFR-
|
Secured Overnight Financing Rate
|
|
USD-
|
United States Dollar
|
|
1
|
Perpetual call date security. Date shown is next call date.
|
|
2
|
Variable rate security; rate shown is the rate in effect on June 30, 2023.
|
|
3
|
Interest only security.
|
|
4
|
Zero coupon security.
|
|
5
|
Principal only security.
|
|
6
|
Annualized seven-day effective yield as of June 30, 2023.
|
|
7
|
Inverse floating rate security. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a ceiling or floor.
|
|
8
|
Fixed-to-variable or fixed-to-float bond; rate shown is the rate in effect on June 30, 2023.
|
|
9
|
Step-up bond. The interest rate will step up if the issuer does not redeem the bond by an expected redemption date. The interest rate shown is the rate in effect as of June 30, 2023.
|
|
10
|
Security is fair valued under the Board of Trustees and is categorized as a Level 3 security. Significant unobservable inputs were used to determine fair value.
|
|
The Global Industry Classifications Standard (GICS®) sector and industry classifications was developed by and is the exclsuive property of MSCI, Inc. and
Standard & Poor’s (“S&P”). GICS® is a service mark of MSCI, Inc. and S&P and has been licensed for use by the Osterweis Capital Management.
|
Summary of Fair Value Disclosure at June 30, 2023 (Unaudited)
|
||||
The Osterweis Total Return Fund (the “Fund) utilizes various methods to measure the fair value of its investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation
methods. The three levels of inputs are:
|
||||
• Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has 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 on 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 Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
||||
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2023:
|
Assets:
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||
Corporate Bonds 1
|
$
|
–
|
$
|
24,264,885
|
$
|
–
|
$
|
24,264,885
|
|||||||
Asset Backed Securities 2
|
–
|
20,981,867
|
999,432
|
21,981,299
|
|||||||||||
Commercial Mortgage-Backed Securities
|
–
|
1,899,510
|
–
|
1,899,510
|
|||||||||||
Mortgage Backed Securities
|
–
|
63,320,679
|
–
|
63,320,679
|
|||||||||||
United States Government Notes/Bonds
|
–
|
23,022,549
|
–
|
23,022,549
|
|||||||||||
Short-Term Investments
|
710,028
|
–
|
–
|
710,028
|
|||||||||||
Total Assets:
|
$
|
710,028
|
$
|
133,489,490
|
$
|
999,432
|
$
|
135,198,950
|
|||||||
1 See Schedule of Investments for industry breakouts.
|
|||||||||||||||
2 See Schedule of Investments for disclosure of Level 3 securities.
|
The following is a reconciliation of the Fund’s Level 3 assets for which significant unobservable inputs were used to determine fair value:
|
|||||||||||||||
Asset Backed Securities
|
|||||||||||||||
Balance as of March 31, 2023
|
$
|
1,422,690
|
|||||||||||||
Acquisitions
|
999,432
|
||||||||||||||
Dispositions
|
(219,235
|
)
|
|||||||||||||
Accrued discounts/premiums
|
-
|
||||||||||||||
Realized gain (loss)
|
158
|
||||||||||||||
Change in unrealized appreciation/depreciation
|
(7,693
|
)
|
|||||||||||||
Transfer in and/or out of Level 3
|
-
|
||||||||||||||
Balance as of June 30, 2023
|
$
|
2,195,352
|
|||||||||||||
Change in unrealized appreciation/depreciation for Level 3 investments held at June 30, 2023
|
$
|
(7,693
|
)
|
||||||||||||
Type of Security
|
Fair Value at 6/30/23
|
Valuation Techniques
|
Unobservable Input
|
Input Value(s)
|
|||||||||||
Asset Backed Securities
|
Issue Price
|
Market Data
|
$
|
99.94
|
|||||||||||
|
$
|
2,195,352
|
Issue Price
|
Market Data
|
$
|
99.88
|
|||||||||
Significant increases (decreases) in any of those inputs in isolation would result in a significantly higher (lower) fair value measurement.
Increases in the adjustment to yield would decrease price and decreases in the adjustment to yield would increase price.
|
|||||||||||||||
The Adviser, as the Funds’ Valuation Designee, oversees valuation techniques.
|