UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number 811-23410
FROST FAMILY OF FUNDS
(Exact name of registrant as specified in charter)
One Freedom Valley Drive
Oaks, PA 19456
(Address of Principal Executive Offices, Zip code)
Michael Beattie
c/o SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: 1-877-713-7678
Date of fiscal year end: July 31, 2021
Date of reporting period: July 31, 2021
Item 1. | Reports to Stockholders. |
A copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Act”) (17 CFR § 270.30e-1), is attached hereto.
Frost
INVESTMENT ADVISORS
Frost Family of Funds
Annual Report
July 31, 2021
FROST GROWTH EQUITY FUND
FROST TOTAL RETURN BOND FUND
FROST CREDIT FUND
FROST LOW DURATION BOND FUND
FROST MUNICIPAL BOND FUND
Investment Adviser:
Frost Investment Advisors, LLC
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
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The Funds file their complete schedule of investments of portfolio holdings with the Securities and Exchange Commission (“Commission”) for the first and third quarters of each fiscal year on Form N-PORT within sixty days after period end. The Funds’ Forms N-PORT are available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities, as well as information relating to how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-877-71-FROST; and (ii) on the Commission’s website at http://www.sec.gov.
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
LETTER TO SHAREHOLDERS (Unaudited) |
Dear Shareholder,
It is my pleasure to address the shareholders of the Frost Family of Funds for the first time. The past year has seen many changes, both in the markets and at Frost Investment Advisors, the manager of the Frost Funds.
In the markets we’ve seen a remarkable recovery from the downturn of March last year, with the equity markets rising to and recording numerous all-time highs, and with the bond markets continuing to record gains, continuing almost 40 years of a bull market. Here at Frost we saw the retirement of our longtime leader, Tom Stringfellow, in February of this year.
I come back to Frost Investment Advisors as President, having previously served as one of the founding managing directors of the firm, with a stint as the lead of portfolio management for the wealth management group of our parent company, Frost Bank. I return to a firm that has seen continued success in many areas, evidenced by our growth as a mutual fund manager from a starting asset level of $1.6 billion in 2008 to approximately $4.3 billion at the end of this fiscal year (July 31, 2021).
I’m very proud of what our team has achieved, over the past year and over our history. We continue to perform very well against our peers in the fixed income and equity space, which is no small feat for our boutique firm. I am excited to see what we can accomplish over the coming years, as I believe we are very well-placed to continue our success.
I am also humbled to be in service to you, our loyal shareholders. We could not have seen the success we’ve had to date without you and your continued support.
Sincerely,
Mace M. McCain
Past performance does not guarantee future results. The investment performance and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost, and current performance may be lower or higher than the performance quoted. Investment performance reflects voluntary fee waivers in effect. Absent these waivers, total return and yield would be reduced. There can be no assurance that Frost Investment Advisors, LLC will continue to waive fees. For performance data current to the most recent month end, please call 877.713.7678.
The information provided in this report should not be considered a recommendation to purchase or sell any particular security. These views are subject to change and are not intended to predict or guarantee the future performance of any individual security or the markets in general. There is no assurance that any securities discussed herein will remain in an account’s portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent an account’s entire portfolio and in the aggregate may represent only a small percentage of an account’s portfolio holdings.
Mutual fund investing involves risk including possible loss of principal. International investments may involve risk of capital loss from unfavorable fluctuation in currency values, from differences in generally accepted accounting principles or from social, economic or political instability in other nations. Bond and bond funds are subject to interest rate risk and will decline in value as interest rates rise. REIT investments are subject to changes in economic conditions, credit risk and interest rate fluctuations. Emerging markets involve heightened risks related to the same factors as well as increased volatility and lower trading volume. Derivatives are often more volatile than other investments and may magnify the Fund’s gains or losses. The primary risk of derivative instruments is that changes in the market value of securities held by the fund and of the derivative instruments relating to those securities may not be proportionate. Derivatives are also subject to illiquidity and counter party risk. Diversification does not protect against market loss.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
The Bloomberg Barclays U.S. Aggregate Bond Index represents securities that are SEC-registered, taxable and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities and asset-backed securities.
The S&P 500 Index is a market-value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry group representation, with each stock’s weight in the Index proportionate to its market value.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) | FROST GROWTH EQUITY FUND |
Manager Commentary
Equity markets completed a strong 12-month period ending July 31, with the S&P 500 gaining more than 36% and the index having now strung together five consecutive quarters with at least a 5% gain since the market bottomed in March of last year. The stock market has been supported over much of the last 12 months by unprecedented monetary and fiscal stimulus, better-than-expected economic data, and exceptional resilience in corporate earnings. Interestingly, the National Bureau of Economic Research recently declared that the pandemic-sparked recession ended in April 2020, or just two months after it started, making it the shortest recession on record.
Looking at the fund’s performance, the portfolio generated solid absolute returns but underperformed its benchmark, the Russell 1000 Index. For the fiscal year 2021 period, the Frost Growth Equity Fund Institutional Class returned 31.83%, which compared to the Russell 1000 Growth Index return of 36.68%.
The majority of the underperformance occurred in the calendar fourth quarter of 2020, following the positive vaccine news, which sparked a powerful rotation into cyclical and smaller capitalization stocks, with the Russell 2000 small-cap index posting its best month ever in November. The fund is more heavily exposed to secular growth stocks, which are less reliant on a strong economy to grow, but also tend to underperform when investors want more leverage to an improving economy. At the sector level, the fund’s relative underperformance was largely isolated to the information technology, consumer discretionary, and health care sectors. In information technology, an underweight to semiconductor capital equipment hurt performance, as did an overweight in Salesforce.com. Salesforce has lagged behind the broader market as investors have been hesitant about the Slack acquisition that the company announced late last year. We like the Slack deal, and see tremendous synergies between the products of the two companies, viewing the underperformance in the stock as an opportunity. Performance in consumer discretionary was hurt by an overweight in Amazon, and an underweight in Tesla. Amazon’s stock price has been largely flat for the past year, even though the company’s business was significantly strengthened as a result of the COVID-19 pandemic; the stock is not the first place investors look when they want more economic sensitivity. Lastly, in health care, performance was negatively impacted by our biopharma holdings, in particular Vertex Pharmaceuticals. Vertex has a $7 billion-a-year cystic fibrosis business with long patent protection, but the company has had mixed results trying to build out a second franchise outside of cystic fibrosis.
Looking forward, despite uncertainty regarding the impact from the COVID-19 delta variant, we are generally constructive about the potential for continued solid economic growth. The backdrop still remains accommodative from a monetary perspective, and we are little more than a year into the current expansion. Global growth momentum is poised to moderate from unsustainably high levels, but we think the economic recovery should continue and even broaden out to include areas that were negatively impacted by the pandemic. We remain most focused on the structural business changes resulting from the pandemic, such as digital transformation, and on which companies are benefitting from or enabling such transformation. We continue to focus most of our time and effort on identifying innovative, competitively differentiated businesses led by great management teams that are often times disrupting large markets and that we feel can generate above-average earnings and cash flow growth on a sustainable basis.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) | FROST GROWTH EQUITY FUND |
Growth of a $1,000,000 Investment
(1) | The graph is based on only Institutional Class Shares; performance for Investor Class Shares would be lower due to differences in fee structures. |
(2) | Institutional Class Shares commenced operations on April 25, 2008. |
(3) | Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy. |
(4) | Investor Class Shares commenced operations on June 30, 2008. |
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.
The performance of the Fund would have been lower had the Adviser not waived a portion of its fees.
Please note that one cannot invest directly in an unmanaged index.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.
4
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) | FROST TOTAL RETURN BOND FUND |
Fund Recap
• | The Bloomberg Barclays U.S. Aggregate Bond Index (the Agg) returned negative 0.70% for the fiscal year ended July 31, 2021. The Frost Total Return Bond Fund Institutional Class returned 6.85% for the same period, bettering the benchmark by 7.55 percentage points. |
• | For fiscal 2021, the fund maintained its rate profile in a range of 3.25 to 3.90 effective duration, with the lower end of the range met as the new year began, rising to the upper range at the end of the second quarter. |
• | With the benchmark average duration now over 6.0 years, the fund’s underweight duration allocation resulted in positive outperformance in the first half as U.S. Treasury yields finished higher over this six-month period. |
• | The fund was overweight the credit sectors (high yield, corporates, collateralized loan obligations and asset-backed securities) and underweight allocations to U.S. government bonds. |
• | The allocation to credit resulted in outperformance relative to the benchmark as the credit markets outperformed U.S. government sectors. |
• | The fund saw meaningful contribution from individual securities in the investment-grade high-yield corporates and asset-backed securities sectors. |
• | The fund held an average allocation of 4% to energy during the period. This resulted in positive relative performance, as several of the fund’s oil holdings saw significant outperformance. Relative to the benchmark, the fund was underweight the U.S. Treasury, corporate and RMBS sectors and overweight ABS, CMBS and CLOs. |
Strategy
Our one-year total return outlook for the U.S. bond market is for returns of between 0.0% and 1%, which is low by any historical measure but reflective of the exceptionally low rate environment. We are underweight interest rate risk entering the second half, as we have been for some time. We continue to feel that the risk/reward for holding any elevated levels of rate risk is poor, and as a result we expect to keep the fund’s effective duration meaningfully lower than that of the benchmark. We begin the second half with a target effective duration of approximately 4 for the fund compared to 6.50 for the benchmark.
Floating-rate coupon bonds remain a focus for the fund, with a targeted allocation of between 20-25%. This allocation supports our strategy to overweight the low duration portion of the yield curve. Credit spreads across virtually every sector sit at or near all-time lows. Credit is likely to benefit from aggressive central bank policies and most likely will outperform government bonds, but relative performance for the sector will likely be much tighter than what we saw last year.
The manager is lowering the fund’s allocation to generic risk, choosing to take the majority of its interest rate risk via U.S. Treasuries, minimizing undue rate risk within the credit sectors. We expect that any selloff on the long end of the yield curve due to rate rises is likely to pose as much downside risk to investment-grade corporate bonds as it will Treasuries. In other words, 30-year maturity BBB corporate bonds may decline more than 30-year Treasury bonds due to correlation in the face of a potential market selloff.
The fund remains focused on generating above-average dividend income relative to its benchmark. We expect that individual security selection will continue to be the focus going forward and we remain positioned to cut rate risk aggressively further if a selloff appears imminent.
5
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) | FROST TOTAL RETURN BOND FUND |
Growth of a $1,000,000 Investment
(1) | The graph is based on only Institutional Class Shares; performance for Investor Class Shares and A Class Shares would be lower due to differences in fee structures. |
(2) | Institutional Class Shares commenced operations on April 25, 2008. |
(3) | Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy. |
(4) | Investor Class Shares commenced operations on June 30, 2008. |
(5) | A Class Shares commenced operations on June 1, 2018. |
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.
The performance of the Fund would have been lower had the Adviser not waived a portion of its fees.
Please note that one cannot invest directly in an unmanaged index.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.
6
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) | FROST TOTAL RETURN BOND FUND |
Bond Credit Quality as of July 31, 2021
Credit Rating(1) | Percentage of Total Investments | |||
AAA | 18 | % | ||
AA | 10 | % | ||
A | 7 | % | ||
BBB | 13 | % | ||
Below Investment Grade | 19 | % | ||
Treasury | 25 | % | ||
Agency | 7 | % | ||
Cash | 1 | % |
(1) | The credit quality breakdown depicts the credit quality ratings of the Fund’s portfolio securities that are rated by one or more of the four major nationally recognized statistical rating organizations (“NRSRO”). These four NRSRO’s currently are Standard & Poor’s, Moody’s, Fitch, and DBRS. When a security is rated by more than one NRSRO, the highest rating is used. These credit quality ratings are shown without regard to gradations within a given rating category. |
7
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) | FROST CREDIT FUND |
Fund Recap
• | The fund’s hybrid benchmark (50% Bloomberg Barclays US Credit Index/50% Bloomberg Barclays US Corporate High Yield Index) returned 5.84% for the year. The Frost Credit Fund Institutional Class returned 11.12% over the same period. |
• | The fund is underweight interest rate risk entering the second half. We continue to think the reward for holding material levels of rate risk is too low. |
• | We expect to maintain the fund’s effective duration at a lower value than that of the benchmark. Our current target effective duration for the fund is between 2-2.25 years, compared to 2.6 for the benchmark. |
• | While we expect to be underweight in duration and interest rate risk in the fund relative to the benchmark as long as this low-yield environment continues, we also believe that as the Fed continues to be highly accommodative, short-term yields will remain low. |
• | With the significant underperformance in the lower-rated parts of the investment grade sector in the first half of 2020, BBB-rated bonds across ABS and corporates are currently undervalued in our view. |
Strategy
With the continued rally in credit and compression of spreads, we remain cautious about the relative value of credit. The injection of monetary and fiscal stimulus into the economy has led to outsized returns over the past year, coupled with a potentially overheated economy. We expect volatility to continue and feel that security selection will be crucial throughout the rest of the year. We do not expect to make significant changes to our allocation to corporate, CLO, CMBS and ABS bonds.
We are underweight duration compared to our benchmark, and we intend to remain underweight over the next year. Even though we don’t expect rates to rise in a substantial way in the near term, we would not be surprised to see an increase and don’t see value in taking significant rate risk at this time.
We are underweight high-yield risk compared to the fund’s benchmark and within high-yield we are underweight in CCC exposure (less than a 5% allocation).
We are underweight in investment-grade and high-yield corporate bonds with an allocation of approximately 40%.
Our exposure to the ABS sector declined to 13% at the end of the first half as bonds matured or were called. Even though spreads remain on the low end of long-term ranges, we believe ABS still represents fair relative value. As such, we intend to maintain or slightly increase our allocation over the next several months.
We remain overweight in CLOs (30% allocation) due to the strong relative value offered by this sector. We have moved up in credit quality over the past few years as the underlying loans have deteriorated in quality. As such, now a large portion of the CLOs in the fund are rated A- or higher.
8
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) | FROST CREDIT FUND |
Growth of a $1,000,000 Investment
(1) | The graph is based on only Institutional Class Shares; performance for Investor Class Shares and A Class Shares would be lower due to differences in fee structures. |
(2) | Both Institutional Class Shares and Investor Class Shares commenced operations on December 3, 2012. |
(3) | Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy. |
(4) | A Class Shares commenced operations on June 1, 2018. |
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.
The performance of the Fund would have been lower had the Adviser not waived a portion of its fees.
Please note that one cannot invest directly in an unmanaged index.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.
9
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) | FROST CREDIT FUND |
Bond Credit Quality as of July 31, 2021
Credit Rating(1) | Percentage of Total Investments | |||
AAA | 1 | % | ||
AA | 7 | % | ||
A | 22 | % | ||
BBB | 22 | % | ||
Below Investment Grade | 39 | % | ||
Agency | 4 | % | ||
Cash | 5 | % |
(1) | The credit quality breakdown depicts the credit quality ratings of the Fund’s portfolio securities that are rated by one or more of the four major nationally recognized statistical rating organizations (“NRSRO”). These four NRSRO’s currently are Standard & Poor’s, Moody’s, Fitch, and DBRS. When a security is rated by more than one NRSRO, the highest rating is used. These credit quality ratings are shown without regard to gradations within a given rating category. |
10
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) | FROST LOW DURATION BOND FUND |
Fund Recap
• | The Bloomberg U.S. Government Credit 1 to 5 Year Bond Index returned 0.43% over the past year. The Frost Low Duration Bond Fund Institutional Class returned 1.82% over the same period. |
• | The fund maintained an underweight allocation to interest rate risk, with an effective duration profile of between 2.1 and 2.30 years. |
• | Short-term interest rates in the first half of the year increased slightly, so the fund’s duration profile had a positive attribution effect of approximately 0.25% relative to its benchmark over the first half. |
• | The fund is underweight the U.S. Treasury sector, with an average allocation of approximately 23% compared to over 60% in the benchmark. This weighting helped the fund’s relative performance to the benchmark. |
• | The fund held a large allocation in the ABS sector, and this helped performance for the year. The fund’s largest ABS collateral type was auto loans. |
• | The fund held an allocation of approximately 19% to the corporate sector in the first half of 2021. While this was a meaningful underweight allocation relative to the benchmark, it did not result in any meaningful attribution effect. |
• | The fund was overweight credit risk, which had a small positive effect on performance. |
• | The fund’s income generation declined with the fall in short-term interest rates in 2020. The typical result for a low duration short-maturity strategy such as this is that income will fall, lagging by a year to 18 months, after a major move in short-maturity yields. |
Strategy
The fund is underweight interest rate risk. We continue to feel that the reward for holding material levels of rate risk is poor. We expect to maintain the fund’s effective duration at a level lower than that of the benchmark. Our current target for effective duration in the fund is between 2-2.25 years, compared to 2.6 for the benchmark.
While we expect to be underweight duration and interest rate risk in the fund relative to the benchmark as long as this low-yield environment continues, we also believe that as the Fed continues to be highly accommodative, short-term yields will remain low.
We continue to see the ABS sector as a source of value for the fund, and as we look ahead, we feel the sector is cheaper on a relative value basis than it has been in years. We expect to maintain the fund’s large overweight allocation to the ABS sector and may increase it further. Our focus in ABS continues to be consumer-related loans such as auto loans and credit card receivables. We expect the fund’s overall ABS allocation for the near term to sit at approximately 50%.
With the significant underperformance in the lower-rated areas of the investment grade sector during 2020, BBB-rated bonds across ABS and corporates are currently undervalued in our estimation. We would expect to increase this credit-risk allocation as the year progresses.
11
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) | FROST LOW DURATION BOND FUND |
Growth of a $1,000,000 Investment
(1) | The graph is based on only Institutional Class Shares; performance for Investor Class Shares would be lower due to differences in fee structures. |
(2) | Institutional Class Shares commenced operations on April 25, 2008. |
(3) | Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy. |
(4) | Investor Class Shares commenced operations on June 30, 2008. |
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.
The performance of the Fund would have been lower had the Adviser not waived a portion of its fees.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
Please note that one cannot invest directly in an unmanaged index.
There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.
12
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) | FROST LOW DURATION BOND FUND |
Bond Credit Quality as of July 31, 2021
Credit Rating(1) | Percentage of Total Investments | |||
AAA | 21 | % | ||
AA | 17 | % | ||
A | 17 | % | ||
BBB | 18 | % | ||
Treasury | 23 | % | ||
Agency | 2 | % | ||
Cash | 2 | % |
(1) | The credit quality breakdown depicts the credit quality ratings of the Fund’s portfolio securities that are rated by one or more of the four major nationally recognized statistical rating organizations (“NRSRO”). These four NRSRO’s currently are Standard & Poor’s, Moody’s, Fitch, and DBRS. When a security is rated by more than one NRSRO, the highest rating is used. These credit quality ratings are shown without regard to gradations within a given rating category. |
13
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) | FROST MUNICIPAL BOND FUND |
Fund Recap
• | The Bloomberg Municipal Bond Index returned 3.29% for the full fiscal year ending July 31, 2021. The Frost Municipal Bond Fund Institutional Class returned 2.77% during the same period, resulting in underperformance of 0.52 percentage points for the year. |
• | The fund maintained an underweight allocation to interest rate risk throughout the year, with a modified adjusted duration of 2.85 versus 5.03 for the index. |
• | For the period ending July 31, 2021, the fund had an average maturity of 6.67 years compared to 13.07 years for the index. The fund continues to be materially underweight the 20-year and long-bond (more than 22 years) maturity buckets with 3.01% and 8.71% of allocation, respectively. |
• | The fund’s benchmark had weights of 12.47% and 19.75% to the aforementioned maturity buckets, both boasting the strongest returns for the full year at 4.70% and 5.56%, respectively. This was the primary contributor to the fund’s underperformance for the fiscal year ending July 31, 2021. |
• | The fund ending position by collateral type at the end of the fiscal year was 17.45% to general obligation bonds, 73.20% to revenue bonds and 9.35% cash. Ending weights for revenue bonds, GO bonds and pre-refunded (cash-comparable) in the benchmark were 66.98%, 27.70% and 5.32%. |
• | For the period ending July 31, 2021, the fund on average was overweight credit risk, partially offsetting underperformance of shorter maturities. The fund had an 11% weight to high-yield municipal bonds. The index only consists of investment grade securities. The fund’s average credit quality was A rated compared to AA- for the index. |
• | The fund continues to be invested primarily in municipal bonds issued in Texas, with an ending allocation at 60.29%; no other state represents an allocation over 10% in the fund. The benchmark’s top three allocations by state are California (16.90%), New York (16.15%) and Texas (9.52%). |
• | The fund finished the period with an average coupon of 4.17% versus 4.49% for the index, providing for decent income generation relative to the benchmark and considering the short duration of the securities held in the fund. The average coupon for the fund declined over the course of the year from 4.48% at the end of fiscal year 2020 given the low interest rate environment. |
14
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) | FROST MUNICIPAL BOND FUND |
Growth of a $1,000,000 Investment
(1) | The graph is based on only Institutional Class Shares; performance for Investor Class Shares would be lower due to differences in fee structures. |
(2) | Institutional Class Shares commenced operations on April 25, 2008. |
(3) | Effective March 31, 2015, Class A Shares were re-designated as Investor Class Shares. Prior to March 31, 2015, shareholders were charged a sales charge on purchases and redemptions of Class A Shares. The performance information provided for the period between the inception date and March 30, 2015 represents the performance of Investor Class Shares when they were called Class A Shares. The share class change had no impact on the Fund’s operations or investment policy. |
(4) | Investor Class Shares commenced operations on August 28, 2008. |
The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that, when redeemed, may be worth less than its original cost. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of dividends and capital gains. Index returns assume reinvestment of dividends and, unlike a fund’s returns, do not reflect any fees or expenses. If such fees and expenses were included in the index returns, the performance would have been lower.
The performance of the Fund would have been lower had the Adviser not waived a portion of its fees.
Please note that one cannot invest directly in an unmanaged index.
Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
There are no assurances that the Fund will meet its stated objectives. The Fund’s holdings and allocations are subject to change because it is actively managed and should not be considered recommendations to buy individual securities.
15
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) | FROST MUNICIPAL BOND FUND |
Bond Credit Quality as of July 31, 2021
Credit Rating(1) | Percentage of Total Investments | |||
AAA | 19 | % | ||
AA | 32 | % | ||
A | 24 | % | ||
BBB | 5 | % | ||
Below Investment Grade | 11 | % | ||
Cash | 9 | % |
(1) | The credit quality breakdown depicts the credit quality ratings of the Fund’s portfolio securities that are rated by one or more of the four major nationally recognized statistical rating organizations (“NRSRO”). These four NRSRO’s currently are Standard & Poor’s, Moody’s, Fitch, and DBRS. When a security is rated by more than one NRSRO, the highest rating is used. These credit quality ratings are shown without regard to gradations within a given rating category. |
16
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST GROWTH EQUITY FUND |
SECTOR WEIGHTINGS (Unaudited)† |
† | Percentages are based on total investments. |
SCHEDULE OF INVESTMENTS |
Description | Shares | Value | ||||||
COMMON STOCK§ — 99.9% |
| |||||||
Communication Services — 16.7% |
| |||||||
Alphabet, Cl C* | 6,920 | $ | 18,714,586 | |||||
Alphabet, Cl A* | 7,054 | 19,007,215 | ||||||
Facebook, Cl A* | 53,190 | 18,951,597 | ||||||
Match Group* | 15,000 | 2,389,050 | ||||||
Netflix* | 16,000 | 8,281,120 | ||||||
Pinterest, Cl A* | 20,000 | 1,178,000 | ||||||
Roku, Cl A* | 6,500 | 2,784,015 | ||||||
Snap, Cl A* | 67,500 | 5,023,350 | ||||||
|
| |||||||
76,328,933 | ||||||||
|
| |||||||
Consumer Discretionary — 20.0% |
| |||||||
Airbnb, Cl A* | 15,000 | 2,160,150 | ||||||
Amazon.com* | 12,071 | 40,167,339 | ||||||
Booking Holdings* | 2,170 | 4,726,824 | ||||||
Chipotle Mexican Grill, Cl A* | 3,500 | 6,522,040 | ||||||
Floor & Decor Holdings, Cl A* | 20,000 | 2,440,200 | ||||||
Home Depot | 28,590 | 9,382,952 | ||||||
Lululemon Athletica* | 7,500 | 3,001,275 | ||||||
NIKE, Cl B | 32,500 | 5,444,075 | ||||||
O’Reilly Automotive* | 6,000 | 3,623,040 | ||||||
Starbucks | 47,550 | 5,773,997 | ||||||
Tesla* | 6,000 | 4,123,200 | ||||||
TJX | 65,500 | 4,507,055 | ||||||
|
| |||||||
91,872,147 | ||||||||
|
| |||||||
Consumer Staples — 0.9% |
| |||||||
Costco Wholesale | 9,132 | 3,924,203 | ||||||
|
| |||||||
Financials — 2.6% |
| |||||||
JPMorgan Chase | 43,500 | 6,602,430 | ||||||
Moody’s | 13,655 | 5,134,280 | ||||||
|
| |||||||
11,736,710 | ||||||||
|
|
Description | Shares | Value | ||||||
Health Care — 10.4% |
| |||||||
Abbott Laboratories | 45,000 | $ | 5,444,100 | |||||
Boston Scientific* | 135,000 | 6,156,000 | ||||||
Danaher | 27,000 | 8,032,230 | ||||||
Edwards Lifesciences* | 36,000 | 4,041,720 | ||||||
Eli Lilly and Co | 28,000 | 6,818,000 | ||||||
Humana | 7,500 | 3,193,950 | ||||||
Merck | 30,000 | 2,306,100 | ||||||
Seagen* | 20,000 | 3,067,800 | ||||||
UnitedHealth Group | 12,300 | 5,070,306 | ||||||
Zoetis, Cl A | 17,235 | 3,493,534 | ||||||
|
| |||||||
47,623,740 | ||||||||
|
| |||||||
Industrials — 3.0% |
| |||||||
Canadian Pacific Railway | 65,200 | 4,845,664 | ||||||
Fortive | 32,000 | 2,325,120 | ||||||
Uber Technologies* | 40,000 | 1,738,400 | ||||||
Union Pacific | 24,000 | 5,250,240 | ||||||
|
| |||||||
14,159,424 | ||||||||
|
| |||||||
Information Technology — 44.6% |
| |||||||
Adobe* | 19,750 | 12,277,192 | ||||||
Advanced Micro Devices* | 32,500 | 3,451,175 | ||||||
Apple | 233,584 | 34,070,562 | ||||||
Autodesk* | 10,000 | 3,211,300 | ||||||
Lam Research | 5,000 | 3,187,050 | ||||||
Marvell Technology | 129,535 | 7,838,163 | ||||||
Mastercard, Cl A | 39,910 | 15,402,865 | ||||||
Microsoft | 166,750 | 47,508,743 | ||||||
NVIDIA | 56,000 | 10,919,440 | ||||||
PayPal Holdings* | 50,520 | 13,919,776 | ||||||
QUALCOMM | 39,500 | 5,917,100 | ||||||
salesforce.com* | 52,135 | 12,613,021 | ||||||
ServiceNow* | 16,000 | 9,406,240 | ||||||
Square, Cl A* | 10,000 | 2,472,600 | ||||||
Twilio, Cl A* | 8,500 | 3,175,515 | ||||||
Visa, Cl A | 65,600 | 16,163,184 | ||||||
Workday, Cl A* | 12,500 | 2,930,000 | ||||||
|
| |||||||
204,463,926 | ||||||||
|
| |||||||
Materials — 1.2% |
| |||||||
Sherwin-Williams | 19,500 | 5,675,085 | ||||||
|
| |||||||
Real Estate — 0.5% |
| |||||||
American Tower ‡ | 8,500 | 2,403,800 | ||||||
|
| |||||||
Total Common Stock | 458,187,968 | |||||||
|
| |||||||
Total Investments — 99.9% | $ | 458,187,968 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
17
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST GROWTH EQUITY FUND |
Percentages are based on Net Assets of $458,508,921.
* | Non-income producing security. |
§ | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
‡ | Real Estate Investment Trust |
Cl — Class
As of July 31, 2021, all of the Fund’s investments in securities were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the year ended July 31, 2021, there have been no transfers in or out of Level 3.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
18
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST TOTAL RETURN BOND FUND |
SECTOR WEIGHTINGS (Unaudited)† |
† | Percentages are based on total investments. |
SCHEDULE OF INVESTMENTS |
Description | Face Amount | Value | ||||||
U.S. TREASURY OBLIGATIONS — 23.0% |
| |||||||
U.S. Treasury Bills | ||||||||
0.076%, 02/24/22 (A) | $ | 5,000,000 | $ | 4,998,569 | ||||
0.062%, 01/27/22 (A) | 5,000,000 | 4,998,579 | ||||||
U.S. Treasury Bonds | ||||||||
2.331%, 02/15/51 (B) | 10,000,000 | 5,616,986 | ||||||
1.875%, 02/15/41 | 30,000,000 | 30,337,500 | ||||||
1.375%, 11/15/40 | 30,000,000 | 27,867,187 | ||||||
1.250%, 05/15/50 | 25,000,000 | 21,280,273 | ||||||
U.S. Treasury Inflationary Protection Securities | ||||||||
1.000%, 02/15/46 to 02/15/48 | 17,733,060 | 24,315,029 | ||||||
0.875%, 01/15/29 | 31,983,300 | 37,995,577 | ||||||
U.S. Treasury Notes | ||||||||
2.875%, 05/15/28 | 200,000,000 | 225,171,876 | ||||||
2.375%, 05/15/29 | 17,000,000 | 18,642,891 | ||||||
1.625%, 05/15/31 | 5,000,000 | 5,183,594 | ||||||
1.500%, 08/15/26 | 15,000,000 | 15,585,937 | ||||||
1.250%, 03/31/28 to 04/30/28 | 40,000,000 | 40,740,625 | ||||||
1.125%, 02/15/31 | 65,000,000 | 64,431,250 | ||||||
0.875%, 11/15/30 | 25,000,000 | 24,273,437 | ||||||
0.375%, 07/15/24 | 15,000,000 | 15,014,063 |
Description | Face Amount | Value | ||||||
0.125%, 08/31/22 to 11/30/22 | $ | 116,000,000 | $ | 116,028,946 | ||||
0.105%, VAR US Treasury 3 Month Bill Money Market Yield+0.055%, 10/31/22 | 35,000,000 | 35,016,843 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 717,499,162 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 20.2% |
| |||||||
Communication Services — 0.6% |
| |||||||
T-Mobile USA | ||||||||
3.500%, 04/15/31 (D) | 4,000,000 | 4,195,228 | ||||||
2.625%, 02/15/29 | 2,000,000 | 2,000,410 | ||||||
2.550%, 02/15/31 | 13,000,000 | 13,307,450 | ||||||
|
| |||||||
19,503,088 | ||||||||
|
| |||||||
Consumer Discretionary — 6.0% |
| |||||||
Airswift Global | 13,000,000 | 12,870,000 | ||||||
Carnival | 418,000 | 471,295 | ||||||
Choice Hotels International | ||||||||
3.700%, 01/15/31 | 3,000,000 | 3,289,710 | ||||||
3.700%, 12/01/29 | 8,000,000 | 8,730,960 | ||||||
Expedia | 5,915,000 | 6,483,525 | ||||||
Expedia Group | 5,000,000 | 5,705,229 | ||||||
Ford Motor | ||||||||
9.625%, 04/22/30 | 5,750,000 | 8,301,563 | ||||||
5.291%, 12/08/46 | 5,500,000 | 6,294,062 | ||||||
4.346%, 12/08/26 | 15,033,000 | 16,225,493 | ||||||
General Motors Financial | 4,000,000 | 4,290,256 | ||||||
Jaguar Land Rover Automotive | 6,000,000 | 5,887,800 | ||||||
Macy’s | 7,000,000 | 7,630,000 | ||||||
Macy’s Retail Holdings | 1,000,000 | 1,054,850 | ||||||
MajorDrive Holdings IV | 12,500,000 | 12,312,500 | ||||||
Marriott International | ||||||||
3.500%, 10/15/32 | 3,000,000 | 3,237,213 | ||||||
2.850%, 04/15/31 | 3,000,000 | 3,072,463 | ||||||
Mohawk Industries | 13,000,000 | 14,529,976 | ||||||
QVC | ||||||||
4.850%, 04/01/24 | 4,500,000 | 4,876,875 | ||||||
4.750%, 02/15/27 | 4,000,000 | 4,288,000 | ||||||
Scientific Games International | 5,750,000 | 6,210,000 | ||||||
Sodexo | 15,000,000 | 15,538,161 | ||||||
STL Holding | 12,500,000 | 13,156,250 |
The accompanying notes are an integral part of the financial statements.
19
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
TransJamaican Highway | $ | 1,484,526 | $ | 1,474,134 | ||||
Under Armour | 3,200,000 | 3,316,000 | ||||||
VistaJet Malta Finance | 16,799,000 | 18,240,354 | ||||||
|
| |||||||
187,486,669 | ||||||||
|
| |||||||
Energy — 4.4% |
| |||||||
Antero Midstream Partners | ||||||||
7.875%, 05/15/26 (D) | 4,000,000 | 4,429,240 | ||||||
5.750%, 01/15/28 (D) | 15,000,000 | 15,675,000 | ||||||
Apache | 4,138,000 | 4,913,875 | ||||||
Intesa Sanpaolo | 5,000,000 | 5,550,932 | ||||||
Marathon Oil | 3,000,000 | 3,422,422 | ||||||
New England Power | 5,000,000 | 4,751,501 | ||||||
Noble Holdings International Ltd. | ||||||||
11.000%, 02/15/28 | 1,893,334 | 2,063,734 | ||||||
11.000%, 02/15/28 | 869,000 | 947,210 | ||||||
Petroleos Mexicanos | ||||||||
6.840%, 01/23/30 | 4,000,000 | 4,172,800 | ||||||
5.350%, 02/12/28 | 7,000,000 | 6,898,500 | ||||||
Seadrill New Finance | ||||||||
12.000%, 07/15/25 | 13,575,356 | 7,737,953 | ||||||
12.000%, 07/15/25 (D) | 65,338,161 | 37,242,752 | ||||||
Talen Energy Supply | 1,500,000 | 1,368,240 | ||||||
Tiger Holdco Pte | 15,200,000 | 15,344,005 | ||||||
Transocean | 19,918,000 | 19,818,410 | ||||||
Transocean Sentry | 4,594,861 | 4,330,656 | ||||||
|
| |||||||
138,667,230 | ||||||||
|
| |||||||
Financials — 3.3% |
| |||||||
Aflac | 5,000,000 | 5,702,699 | ||||||
Athene Holding | 10,000,000 | 12,834,707 | ||||||
BAC Capital Trust XIV | 6,870,000 | 6,856,259 | ||||||
BankUnited | 9,450,000 | 11,136,572 | ||||||
Barclays MTN | 2,000,000 | 2,360,018 | ||||||
Capital One Financial | 5,000,000 | 5,647,519 |
Description | Face Amount | Value | ||||||
Chubb INA Holdings | $ | 5,000,000 | $ | 4,833,590 | ||||
Credit Suisse Group | 10,000,000 | 10,312,500 | ||||||
Enova International | 12,557,000 | 13,074,976 | ||||||
Farmers Exchange Capital | 6,075,000 | 7,609,724 | ||||||
Huntington Bancshares | 3,000,000 | 3,190,700 | ||||||
Nasdaq | 5,000,000 | 4,808,752 | ||||||
Raymond James Financial | 3,000,000 | 3,369,822 | ||||||
Societe Generale | 4,025,000 | 4,373,256 | ||||||
Wachovia | 5,650,000 | 6,832,717 | ||||||
|
| |||||||
102,943,811 | ||||||||
|
| |||||||
Industrials — 2.2% |
| |||||||
American Airlines Group | ||||||||
11.750%, 07/15/25 (D) | 5,000,000 | 6,250,000 | ||||||
3.750%, 03/01/25 (D) | 10,000,000 | 8,899,900 | ||||||
Boeing | ||||||||
2.950%, 02/01/30 | 3,344,000 | 3,463,267 | ||||||
2.850%, 10/30/24 | 1,625,000 | 1,700,263 | ||||||
Burlington Northern Santa Fe | 5,000,000 | 7,743,421 | ||||||
Diana Shipping | 3,300,000 | 3,395,700 | ||||||
Equifax | 3,000,000 | 3,268,348 | ||||||
FedEx | 5,000,000 | 5,474,307 | ||||||
Flowserve | 4,000,000 | 4,253,437 | ||||||
General Electric MTN | 4,377,000 | 6,052,150 | ||||||
Leidos | 3,291,000 | 3,262,895 | ||||||
Teekay | 13,750,000 | 14,214,063 | ||||||
|
| |||||||
67,977,751 | ||||||||
|
| |||||||
Information Technology — 2.8% |
| |||||||
Amkor Technology | 10,372,000 | 11,141,073 | ||||||
Avaya | 4,000,000 | 4,280,000 | ||||||
Avnet | 7,000,000 | 7,089,611 |
The accompanying notes are an integral part of the financial statements.
20
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
Castle US Holding | $ | 1,000,000 | $ | 1,042,680 | ||||
Citrix Systems | 6,000,000 | 6,387,833 | ||||||
Diebold Nixdorf | ||||||||
9.375%, 07/15/25 (D) | 500,000 | 549,375 | ||||||
8.500%, 04/15/24 | 26,371,000 | 26,875,082 | ||||||
Jabil | 4,496,000 | 4,875,649 | ||||||
Motorola Solutions | 21,435,000 | 25,312,200 | ||||||
|
| |||||||
87,553,503 | ||||||||
|
| |||||||
Materials — 0.0% |
| |||||||
Nacional del Cobre de Chile | 500,000 | 479,780 | ||||||
|
| |||||||
Real Estate — 0.1% | ||||||||
Brookfield Property | 2,000,000 | 2,075,000 | ||||||
|
| |||||||
Utilities — 0.8% | ||||||||
Georgia Power | 8,000,000 | 8,423,505 | ||||||
Pacific Gas and Electric | ||||||||
4.500%, 07/01/40 | 11,000,000 | 11,104,770 | ||||||
3.750%, 08/15/42 | 5,000,000 | 4,578,149 | ||||||
|
| |||||||
24,106,424 | ||||||||
|
| |||||||
Total Corporate Obligations |
| 630,793,256 | ||||||
|
| |||||||
COLLATERALIZED LOAN OBLIGATIONS — 19.2% |
| |||||||
Apidos CLO XI, | 13,750,000 | 13,743,070 | ||||||
Apidos CLO XI, | 5,000,000 | 4,901,015 | ||||||
Apidos Funding RR Subsidiary, | 3,000,000 | 3,025,110 | ||||||
Apidos XXVIII, | 15,000,000 | 14,992,470 | ||||||
Avery Point IV, | 605,740 | 605,923 | ||||||
Battalion Clo 17, | 5,000,000 | 4,997,485 |
Description | Face Amount | Value | ||||||
BCC Funding XVI, | $ | 6,000,000 | $ | 6,060,986 | ||||
BCC Funding XVI, | 500,000 | 504,099 | ||||||
BCC Middle Market, | 21,000,000 | 20,863,941 | ||||||
Benefit Street Partners CLO III, | 15,000,000 | 14,992,425 | ||||||
Benefit Street Partners CLO IV, | 8,750,000 | 8,745,608 | ||||||
Benefit Street Partners III, | 5,000,000 | 4,671,190 | ||||||
Benefit Street Partners VIII, | 5,450,000 | 5,450,218 | ||||||
BlueMountain, | 23,000,000 | 22,997,999 | ||||||
Carlyle Global Market Strategies, | 4,500,000 | 4,477,253 | ||||||
Carlyle Global Market Strategies, | 24,855,641 | 24,366,979 | ||||||
Carlyle Global Market Strategies, | 7,000,000 | 7,064,022 | ||||||
Carlyle Global Market Strategies, | 14,877,491 | 14,883,442 | ||||||
Carlyle Global Market Strategies, | 9,000,000 | 8,985,636 | ||||||
Carlyle Global Market Strategies, | 15,834,091 | 15,862,466 | ||||||
Carlyle Global Market Strategies, | 10,000,000 | 10,003,060 |
The accompanying notes are an integral part of the financial statements.
21
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
CIFC Funding, | $ | 10,000,000 | $ | 10,007,070 | ||||
CIFC Funding, | 2,000,000 | 1,993,534 | ||||||
Dryden 68 CLO, | 11,750,000 | 11,744,078 | ||||||
Fortress Credit Opportunities IX, | 21,000,000 | 20,970,348 | ||||||
Galaxy XV CLO, | 4,814,000 | 4,811,574 | ||||||
Galaxy XXI, | 5,000,000 | 5,003,550 | ||||||
GoldenTree Credit Opportunities Financing, | 15,000,000 | 14,828,505 | ||||||
Golub Capital Partners CLO, | 20,000,000 | 19,989,960 | ||||||
Golub Capital Partners, | 9,000,000 | 8,977,455 | ||||||
Golub Capital Partners, | 11,000,000 | 10,919,931 | ||||||
Golub Capital Partners, | 2,000,000 | 1,991,038 | ||||||
Golub Capital Partners, | 9,000,000 | 9,005,706 | ||||||
Golub Capital Partners, | 20,000,000 | 19,935,340 | ||||||
Golub Capital Partners, | 4,000,000 | 4,035,564 |
Description | Face Amount | Value | ||||||
Golub Capital Partners, | $ | 9,500,000 | $ | 9,497,758 | ||||
Golub Capital Partners, | 3,000,000 | 2,977,245 | ||||||
Golub Capital Partners, | 12,000,000 | 11,942,544 | ||||||
Golub Capital Partners, | 11,000,000 | 10,974,953 | ||||||
Golub Capital Partners, | 7,000,000 | 6,959,260 | ||||||
LCM Loan Income Fund I Income | 13,000,000 | 13,005,096 | ||||||
MCF IV, | 10,000,000 | 9,953,570 | ||||||
MCF IV, | 3,000,000 | 2,965,137 | ||||||
NewStar Berkeley Fund, | 2,441,119 | 2,432,871 | ||||||
NXT Capital CLO, | 9,000,000 | 8,995,464 | ||||||
NXT Capital, | 2,250,000 | 2,248,373 | ||||||
Oak Hill Credit Partners X-R, | 8,000,000 | 7,995,984 | ||||||
Oak Hill Credit Partners X-R, | 5,100,000 | 5,097,430 | ||||||
Oaktree EIF II, | 7,250,000 | 7,248,173 |
The accompanying notes are an integral part of the financial statements.
22
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
Oaktree, | $ | 13,500,000 | $ | 13,512,163 | ||||
Oaktree, | 25,000,000 | 25,046,125 | ||||||
Octagon Investment Partners XX, | 9,500,000 | 9,528,329 | ||||||
OHA Credit Funding 7, | 17,000,000 | 17,004,794 | ||||||
OHA Credit Funding 7, | 2,500,000 | 2,496,007 | ||||||
OZLM Funding IV, | 5,000,000 | 4,995,200 | ||||||
Sudbury Mill, | 1,500,000 | 1,394,707 | ||||||
Thayer Park CLO, | 9,250,000 | 9,245,356 | ||||||
Thayer Park CLO, | 9,500,000 | 9,495,221 | ||||||
Venture XIX, | 19,250,000 | 19,302,418 | ||||||
Venture, | 10,000,000 | 10,000,000 | ||||||
Venture, | 10,000,000 | 10,017,650 | ||||||
Zais, | 11,250,000 | 11,099,722 | ||||||
Zais, | 5,000,000 | 4,912,495 | ||||||
|
| |||||||
Total Collateralized Loan Obligations |
| 606,752,095 | ||||||
|
|
Description | Face Amount | Value | ||||||
MORTGAGE-BACKED SECURITIES — 16.7% |
| |||||||
Agency Mortgage-Backed Obligation — 3.9% |
| |||||||
FHLMC | $ | 4,042,472 | $ | 4,236,524 | ||||
2.358%, VAR ICE LIBOR USD | 4,151,125 | 4,305,465 | ||||||
FHLMC REMIC, | 1,567,979 | 1,592,757 | ||||||
FHLMC, | 901,918 | 102,747 | ||||||
FHLMC, | 6,784,139 | 7,692,192 | ||||||
FHLMC, | 3,260,325 | 131,124 | ||||||
FHLMC, | 995,004 | 12,255 | ||||||
FHLMC, | 4,402,927 | 141,183 | ||||||
FHLMC, | 2,271,693 | 118,326 | ||||||
FHLMC, | 18,322,874 | 2,449,433 | ||||||
FHLMC, | 5,883,553 | 1,102,842 | ||||||
FHLMC, | 6,094,667 | 309,633 | ||||||
FHLMC, | 12,068,895 | 1,239,527 | ||||||
FHLMC, | 4,090,064 | 213,953 | ||||||
FHLMC, | 9,374,945 | 1,105,031 | ||||||
FHLMC, | 6,776,556 | 456,980 | ||||||
FHLMC, | 527,081 | 36,924 | ||||||
FHLMC, | 4,436,395 | 4,484,999 |
The accompanying notes are an integral part of the financial statements.
23
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
FHLMC, | $ | 1,690,006 | $ | 1,699,819 | ||||
FHLMC, | 4,707,000 | 4,990,268 | ||||||
FHLMC, | 14,554,302 | 2,921,248 | ||||||
FNMA | ||||||||
5.500%, 05/01/44 | 5,194,518 | 6,017,785 | ||||||
4.500%, 08/01/41 | 3,251,684 | 3,593,819 | ||||||
4.000%, 03/01/47 | 910,986 | 992,364 | ||||||
3.227%, VAR ICE LIBOR USD | 1,792,464 | 1,892,685 | ||||||
3.000%, 10/01/32 to 01/01/50 | 9,271,255 | 9,860,350 | ||||||
2.863%, VAR ICE LIBOR USD | 1,537,065 | 1,630,030 | ||||||
2.710%, 08/01/23 | 255,929 | 264,923 | ||||||
2.250%, 10/30/24 | 10,000,000 | 10,585,477 | ||||||
FNMA REMIC, | 10,591,099 | 1,422,933 | ||||||
FNMA STRIPS, | 1,643,932 | 271,136 | ||||||
FNMA STRIPS, | 1,279,620 | 196,839 | ||||||
FNMA STRIPS, | 2,306,729 | 414,897 | ||||||
FNMA STRIPS, | 1,560,841 | 193,429 | ||||||
FNMA STRIPS, | 2,334,343 | 337,350 | ||||||
FNMA, | 1,533,255 | 70,428 | ||||||
FNMA, | 3,334,467 | 3,573,655 | ||||||
FNMA, | 1,127,877 | 29,141 | ||||||
FNMA, | 5,608,292 | 285,030 | ||||||
FNMA, | 5,846,461 | 470,133 | ||||||
FNMA, | 5,000,000 | 5,481,821 |
Description | Face Amount | Value | ||||||
FNMA, | $ | 2,490,355 | $ | 102,983 | ||||
FNMA, | 2,957,991 | 2,999,664 | ||||||
FNMA, | 6,450,736 | 637,991 | ||||||
FNMA, | 359,140 | 1,516 | ||||||
FNMA, | 3,855,174 | 308,240 | ||||||
FNMA, | 1,303,409 | 1,302,959 | ||||||
FNMA, | 460,834 | 462,615 | ||||||
FNMA, | 8,584,742 | 1,599,673 | ||||||
FNMA, | 8,936,156 | 951,839 | ||||||
GNMA REMIC, | 1,605,882 | 15,536 | ||||||
GNMA, | 10,850,580 | 1,978,118 | ||||||
GNMA, | 1,396,453 | 40,741 | ||||||
GNMA, | 4,575,908 | 341,423 | ||||||
GNMA, | 3,192,380 | 285,334 | ||||||
GNMA, | 19,041,649 | 2,046,151 | ||||||
GNMA, | 19,311,175 | 4,216,736 | ||||||
GNMA, | 37,940,326 | 4,925,148 | ||||||
GNMA, | 27,040,100 | 3,190,626 | ||||||
GNMA, | 4,900,436 | 4,877,063 |
The accompanying notes are an integral part of the financial statements.
24
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
GNMA, | $ | 33,363,451 | $ | 3,741,851 | ||||
GNMA, | 5,950,957 | 339,701 | ||||||
GNMA, | 5,482,949 | 280,243 | ||||||
GNMA, | 2,445,618 | 54,632 | ||||||
|
| |||||||
121,628,238 | ||||||||
|
| |||||||
Commercial Mortgage-Backed Obligation — 10.0% |
| |||||||
280 Park Avenue Mortgage Trust, | 12,500,000 | 12,403,970 | ||||||
Banc of America Commercial Mortgage Trust, | 240,943 | 239,290 | ||||||
Banc of America Commercial Mortgage Trust, | 4,925,000 | 2,807,250 | ||||||
BANK, | 10,000,000 | 11,288,027 | ||||||
BANK, | 10,000,000 | 11,372,728 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, | 14,150,000 | 11,507,787 | ||||||
Benchmark Mortgage Trust, | 8,000,000 | 6,710,886 | ||||||
Benchmark Mortgage Trust, | 13,000,000 | 11,492,173 | ||||||
Benchmark Mortgage Trust, | 10,000,000 | 10,465,245 | ||||||
Citigroup Commercial Mortgage Trust, | 5,000,000 | 5,264,788 | ||||||
Commercial Mortgage Trust, | 1,000,000 | 1,000,197 | ||||||
Commercial Mortgage Trust, | 224,200 | 213,515 |
Description | Face Amount | Value | ||||||
Commercial Mortgage Trust, | $ | 9,500,000 | $ | 9,562,031 | ||||
Commercial Mortgage Trust, | 4,000,000 | 4,205,387 | ||||||
Commercial Mortgage Trust, | 9,000,000 | 7,779,392 | ||||||
Credit Suisse Commercial Mortgage Trust, | 2,795,407 | 160,177 | ||||||
Credit Suisse First Boston Mortgage Securities, | 68,329 | 67,995 | ||||||
Credit Suisse First Boston Mortgage Securities, | 6,107 | 6,226 | ||||||
CSAIL Commercial Mortgage Trust, | 10,000,000 | 11,507,282 | ||||||
CSMC Trust, | 6,311,484 | 6,402,080 | ||||||
DROP Mortgage Trust, | 15,000,000 | 15,065,922 | ||||||
FHLMC Military Housing Bonds Resecuritization Trust Certificates, | 36,156,979 | 37,232,797 | ||||||
FNMA, | 15,300,645 | 2,083,807 | ||||||
Fontainebleau Miami Beach Trust, | 10,000,000 | 10,548,900 | ||||||
FREMF Mortgage Trust, | 5,000,000 | 5,399,187 | ||||||
FREMF Mortgage Trust, | 8,840,000 | 9,570,463 | ||||||
FREMF Mortgage Trust, | 2,000,000 | 2,239,388 | ||||||
FREMF Mortgage Trust, | 3,403,000 | 3,795,798 |
The accompanying notes are an integral part of the financial statements.
25
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
GS Mortgage Securities Trust, | $ | 3,500,000 | $ | 3,865,873 | ||||
GS Mortgage Securities Trust, | 10,000,000 | 11,458,878 | ||||||
Hudson Yards Mortgage Trust, | 2,500,000 | 2,741,735 | ||||||
Impact Funding, | 27,634 | 27,542 | ||||||
JPMDB Commercial Mortgage Securities Trust, | 4,328,000 | 4,064,221 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | 2,123,267 | 1,881,780 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | 1,857,226 | 1,705,305 | ||||||
JPMorgan Chase Commercial Mortgage Securities, | 1,000,000 | — | ||||||
LStar Commercial Mortgage Trust, | 3,000,000 | 3,119,609 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | 2,413,000 | 2,569,314 | ||||||
Morgan Stanley Capital I, | 113,163 | 86,483 | ||||||
Morgan Stanley Capital I, | 500,000 | 508,899 | ||||||
UBS Commercial Mortgage Trust, | 9,160,000 | 9,367,296 | ||||||
UBS-Barclays Commercial Mortgage Trust, | 7,245,000 | 4,362,775 | ||||||
UBS-Barclays Commercial Mortgage Trust, | 15,614,806 | 1,467,792 | ||||||
UBS-Barclays Commercial Mortgage Trust, | 3,000,000 | 3,103,417 |
Description | Face Amount | Value | ||||||
UBS-Barclays Commercial Mortgage Trust, | $ | 13,624,000 | $ | 11,740,314 | ||||
Wells Fargo Commercial Mortgage Trust, | 5,000,000 | 5,354,446 | ||||||
Wells Fargo Commercial Mortgage Trust, | 2,000,000 | 2,000,008 | ||||||
Wells Fargo Commercial Mortgage Trust, | 5,000,000 | 5,246,730 | ||||||
Wells Fargo Commercial Mortgage Trust, | 5,000,000 | 5,705,974 | ||||||
Wells Fargo Commercial Mortgage Trust, | 6,000,000 | 6,879,194 | ||||||
West Town Mall Trust, | 4,795,219 | 4,810,464 | ||||||
WFRBS Commercial Mortgage Trust, | 3,000,000 | 3,212,656 | ||||||
WFRBS Commercial Mortgage Trust, | 7,310,000 | 6,753,738 | ||||||
|
| |||||||
312,427,131 | ||||||||
|
| |||||||
Non-Agency Residential Mortgage-Backed Obligation — 2.8% |
| |||||||
510 Asset Backed Trust, | 20,000,000 | 20,055,438 | ||||||
Arroyo Mortgage Trust, | 5,044,476 | 5,118,997 | ||||||
Carrington Mortgage Loan Trust, | 1,000,000 | — | ||||||
CSAIL Mortgage Trust, | 10,000,000 | 11,425,953 | ||||||
FirstKey Mortgage Trust, | 1,512,755 | 1,541,347 | ||||||
Galton Funding Mortgage Trust, | 569,439 | 576,620 |
The accompanying notes are an integral part of the financial statements.
26
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
Galton Funding Mortgage Trust, | $ | 4,609,715 | $ | 4,685,046 | ||||
Homeward Opportunities Fund I Trust, | 2,895,036 | 2,922,696 | ||||||
JPMorgan Mortgage Trust, | 543,059 | 554,458 | ||||||
JPMorgan Mortgage Trust, | 1,173,679 | 1,189,679 | ||||||
PSMC Trust, | 1,558,178 | 1,577,172 | ||||||
Sequoia Mortgage Trust, | 74,974,221 | 1,302,362 | ||||||
Sequoia Mortgage Trust, | 234,447 | 234,639 | ||||||
Sequoia Mortgage Trust, | 442,285 | 446,217 | ||||||
Sequoia Mortgage Trust, | 716,821 | 722,971 | ||||||
Sequoia Mortgage Trust, | 701,356 | 705,678 | ||||||
PRPM, | 5,000,000 | 5,009,988 | ||||||
Toorak Mortgage, | 15,000,000 | 14,988,728 | ||||||
Wells Fargo Mortgage Backed Securities Trust, | 1,457,337 | 1,469,313 | ||||||
Wells Fargo Mortgage Backed Securities Trust, | 1,261,748 | 1,269,540 | ||||||
Wells Fargo Mortgage Backed Securities Trust, | 2,180,032 | 2,202,356 | ||||||
Wells Fargo Mortgage Backed Securities Trust, | 4,365,590 | 4,455,823 | ||||||
Wells Fargo Mortgage Backed Securities Trust, | 1,004,350 | 1,021,351 |
Description | Face Amount | Value | ||||||
WinWater Mortgage Loan Trust, | $ | 1,022,084 | $ | 1,032,341 | ||||
WinWater Mortgage Loan Trust, | 258,563 | 268,065 | ||||||
WinWater Mortgage Loan Trust, | 638,115 | 659,292 | ||||||
WinWater Mortgage Loan Trust, | 766,581 | 792,118 | ||||||
WinWater Mortgage Loan Trust, | 969,426 | 991,752 | ||||||
|
| |||||||
87,219,940 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 521,275,309 | ||||||
|
| |||||||
ASSET-BACKED SECURITIES — 13.3% |
| |||||||
Automotive — 8.5% |
| |||||||
ACC Auto Trust, | 13,000,000 | 12,997,786 | ||||||
American Credit Acceptance Receivables Trust, | 4,000,000 | 4,164,644 | ||||||
American Credit Acceptance Receivables Trust, | 2,000,000 | 2,048,682 | ||||||
American Credit Acceptance Receivables Trust, | 13,750,000 | 15,155,315 | ||||||
American Credit Acceptance Receivables Trust, | 6,500,000 | 6,704,742 | ||||||
American Credit Acceptance Receivables Trust, | 4,000,000 | 4,160,190 | ||||||
Avid Automobile Receivables Trust, | 1,300,000 | 1,337,423 | ||||||
Canadian Pacer Auto Receivables Trust, | 5,000,000 | 5,160,247 | ||||||
CarMax Auto Owner Trust, | 250,000 | 250,932 |
The accompanying notes are an integral part of the financial statements.
27
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
CarMax Auto Owner Trust, | $ | 1,485,000 | $ | 1,509,073 | ||||
Carmax Auto Owner Trust, | 1,000,000 | 1,046,130 | ||||||
Carnow Auto Receivables Trust, | 447,950 | 448,343 | ||||||
Carvana Auto Receivables Trust, | 8,000,000 | 8,646,907 | ||||||
Carvana Auto Receivables Trust, | 5,000,000 | 5,258,804 | ||||||
Carvana Auto Receivables Trust, | 6,000,000 | 6,305,616 | ||||||
CPS Auto Receivables Trust, | 6,500,000 | 6,516,307 | ||||||
CPS Auto Receivables Trust, | 8,000,000 | 8,137,722 | ||||||
CPS Auto Receivables Trust, | 6,055,000 | 6,334,306 | ||||||
CPS Auto Receivables Trust, | 3,000,000 | 3,059,273 | ||||||
CPS Auto Receivables Trust, | 6,000,000 | 6,191,400 | ||||||
DT Auto Owner Trust, | 4,500,000 | 4,683,578 | ||||||
DT Auto Owner Trust, | 2,000,000 | 2,031,781 | ||||||
DT Auto Owner Trust, | 1,000,000 | 998,750 | ||||||
Exeter Automobile Receivables Trust, | 4,299,345 | 4,380,362 | ||||||
Exeter Automobile Receivables Trust, | 2,500,000 | 2,571,082 | ||||||
First Investors Auto Owner Trust, | 1,700,000 | 1,754,899 | ||||||
First Investors Auto Owner Trust, | 4,000,000 | 4,152,989 |
Description | Face Amount | Value | ||||||
First Investors Auto Owner Trust, | $ | 5,510,000 | $ | 5,818,455 | ||||
First Investors Auto Owner Trust, | 5,300,000 | 5,825,703 | ||||||
Flagship Credit Auto Trust, | 2,333,008 | 2,346,152 | ||||||
Flagship Credit Auto Trust, | 568,000 | 594,844 | ||||||
Flagship Credit Auto Trust, | 5,190,000 | 5,429,240 | ||||||
Flagship Credit Auto Trust, | 7,931,000 | 8,180,951 | ||||||
Flagship Credit Auto Trust, | 8,000,000 | 9,300,539 | ||||||
Foursight Capital Automobile Receivables Trust, | 4,650,000 | 4,795,471 | ||||||
Foursight Capital Automobile Receivables Trust, | 1,300,000 | 1,345,024 | ||||||
Global SC Finance VII Srl, | 3,649,588 | 3,693,926 | ||||||
GLS Auto Receivables | 6,000,000 | 6,193,478 | ||||||
GLS Auto Receivables Issuer Trust, | 5,000,000 | 5,157,959 | ||||||
GLS Auto Receivables | 650,000 | 672,353 | ||||||
Hertz Vehicle Financing, | 10,000,000 | 10,092,659 | ||||||
Prestige Auto Receivables Trust, | 6,095,000 | 6,193,706 | ||||||
Pretium Mortgage Credit | 2,750,000 | 2,755,713 | ||||||
Santander Consumer Auto | 9,006,000 | 10,055,962 |
The accompanying notes are an integral part of the financial statements.
28
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
Santander Consumer Auto Receivables Trust, | $ | 27,740,000 | $ | 30,694,055 | ||||
Santander Consumer Auto Receivables Trust, | 6,250,000 | 6,672,290 | ||||||
Santander Consumer Auto Receivables Trust, | 1,000,000 | 1,020,155 | ||||||
Skopos Auto Receivables Trust, | 2,300,000 | 2,344,431 | ||||||
Tricolor Auto Securitization Trust, | 2,000,000 | 2,000,138 | ||||||
United Auto Credit Securitization Trust, | 3,680,000 | 3,898,070 | ||||||
Veros Auto Receivables Trust, | 4,320,000 | 4,341,060 | ||||||
|
| |||||||
265,429,617 | ||||||||
|
| |||||||
Credit Card — 0.1% |
| |||||||
Master Credit Card Trust II, | 2,000,000 | 2,055,028 | ||||||
|
| |||||||
Other Asset-Backed Securities — 3.9% |
| |||||||
321 Henderson Receivables I, | 1,673,299 | 1,842,018 | ||||||
321 Henderson Receivables I, | 616,037 | 778,770 | ||||||
321 Henderson Receivables I, | 1,663,501 | 2,055,402 | ||||||
Amur Equipment Finance Receivables IX, | 1,250,000 | 1,254,581 | ||||||
BX Commercial Mortgage Trust, | 8,000,000 | 8,783,202 | ||||||
BXMT, | 13,000,000 | 12,991,862 | ||||||
CAL Funding IV, | 1,579,583 | 1,615,834 |
Description | Face Amount | Value | ||||||
CF Hippolyta, | $ | 5,651,904 | $ | 5,771,990 | ||||
Diamond Resorts Owner Trust, | 2,295,608 | 2,367,366 | ||||||
Harley Marine Financing, | 10,253,989 | 9,941,098 | ||||||
Harley Marine Financing, | 6,000,000 | 5,396,436 | ||||||
Harvest SBA Loan Trust, | 4,085,209 | 3,962,910 | ||||||
Marlette Funding Trust, | 1,500,000 | 1,551,650 | ||||||
Mosaic Solar Loan Trust, | 4,079,079 | 4,100,059 | ||||||
Octane Receivables Trust, | 2,078,342 | 2,095,162 | ||||||
Orange Lake Timeshare Trust, | 2,484,148 | 2,567,467 | ||||||
Orange Lake Timeshare Trust, | 409,890 | 424,010 | ||||||
Pawnee Equipment Receivables Series, | 5,500,000 | 5,420,269 | ||||||
Pawnee Equipment Receivables Series, | 2,500,000 | 2,446,980 | ||||||
Pawnee Equipment Receivables Series, | 1,749,851 | 1,758,536 | ||||||
Pretium Mortgage Credit Partners I, | 9,000,000 | 9,139,525 | ||||||
Pretium Mortgage Credit Partners, | 2,000,000 | 2,004,308 | ||||||
Sapphire Aviation Finance I, | 2,011,922 | 1,767,870 | ||||||
SFS Asset Securitization, | 11,000,000 | 11,015,738 |
The accompanying notes are an integral part of the financial statements.
29
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount | Value | ||||||
Stack Infrastructure Issuer Series, | $ | 3,513,000 | $ | 3,719,951 | ||||
Textainer Marine Containers VIII, | 1,844,438 | 1,898,534 | ||||||
Triton Container Finance VIII, | 929,167 | 960,477 | ||||||
TRTX Issuer, | 10,000,000 | 10,009,380 | ||||||
VR Funding, | 4,541,250 | 4,596,605 | ||||||
|
| |||||||
122,237,990 | ||||||||
|
| |||||||
Student Loan — 0.8% |
| |||||||
Brazos Student Finance, | 5,000,000 | 5,278,130 | ||||||
College Ave Student Loans, | 2,424,285 | 2,440,014 | ||||||
Commonbond Student Loan Trust, | 2,233,399 | 2,277,144 | ||||||
Nelnet Student Loan Trust, | 10,000,000 | 9,912,634 | ||||||
SLM Student Loan Trust, | 5,000,000 | 5,001,551 | ||||||
|
| |||||||
24,909,473 | ||||||||
|
| |||||||
Total Asset-Backed Securities (Cost $394,791,426) | 414,632,108 | |||||||
|
| |||||||
SOVEREIGN DEBT — 2.1% |
| |||||||
Argentine Republic Government International Bond | ||||||||
1.500%, 07/09/35 | 8,925,940 | 2,878,705 | ||||||
1.000%, 07/09/29 | 717,588 | 275,195 | ||||||
0.750%, 07/09/30 | 5,141,000 | 1,868,754 | ||||||
Colombia Government International Bond | 1,000,000 | 977,710 | ||||||
Kenya Government International Bond | 4,000,000 | 4,413,600 | ||||||
Mexico Government International Bond | 3,000,000 | 3,184,830 |
Description | Face Amount | Value | ||||||
Oman Government International Bond | $ | 15,000,000 | $ | 14,871,750 | ||||
Province of British Columbia Canada | 8,000,000 | 7,918,860 | ||||||
Province of Ontario Canada | 18,000,000 | 18,111,780 | ||||||
Provincia de Buenos Aires | 300,000 | 144,000 | ||||||
Suriname Government International Bond | 8,000,000 | 5,060,000 | ||||||
Turkey Government International Bond | 5,000,000 | 5,136,500 | ||||||
|
| |||||||
Total Sovereign Debt | 64,841,684 | |||||||
|
| |||||||
MUNICIPAL BONDS — 1.8% |
| |||||||
Dallas County Schools, Taxable Public Property Finance, GO | ||||||||
3.450%, 06/01/22 | 339,678 | 339,678 | ||||||
3.200%, 06/01/21 | 333,260 | 333,260 | ||||||
Dallas County, Schools Tax, GO | ||||||||
4.000%, 06/01/19 | 343,423 | 343,423 | ||||||
3.000%, 06/01/19 | 195,813 | 195,814 | ||||||
GDB Debt Recovery Authority of Puerto Rico, RB | 8,265,919 | 7,728,634 | ||||||
Mission, Economic Development, RB(E) Callable 09/07/21 @ 300 | ||||||||
10.875%, 12/01/28 (C) | 3,315,000 | 33,150 | ||||||
9.750%, 12/01/25 (C) | 3,045,000 | 30,450 | ||||||
8.550%, 12/01/21 (C) | 2,125,000 | 637,500 | ||||||
North Texas Tollway Authority, RB | 2,005,000 | 2,698,228 | ||||||
Northwest Independent School District, | ||||||||
1.776%, 02/15/31 | 2,000,000 | 2,048,524 | ||||||
1.836%, 02/15/32 | 1,890,000 | 1,933,823 | ||||||
Rhode Island State, Health & Educational System, Providence Public Schools, | 5,000,000 | 5,016,049 | ||||||
San Juan, Higher Education Finance Authority, | 4,400,000 | 4,416,329 | ||||||
State of Illinois, | 14,460,000 | 15,032,240 |
The accompanying notes are an integral part of the financial statements.
30
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST TOTAL RETURN BOND FUND |
Description | Face Amount/ Shares | Value | ||||||
Texas State, Public Finance Authority Charter School, | $ | 1,900,000 | $ | 2,325,404 | ||||
Texas State, Transportation Commission State Highway Fund, RB | 3,000,000 | 3,724,111 | ||||||
Texas State, Transportation Commission State Highway Fund, | 3,980,000 | 4,974,780 | ||||||
University of Texas, Build America Bonds, | 3,000,000 | 4,206,482 | ||||||
|
| |||||||
Total Municipal Bonds | 56,017,879 | |||||||
|
| |||||||
TERM LOAN — 1.1% |
| |||||||
Seamex Ltd., Term Loan | 33,397,427 | 32,395,504 | ||||||
|
| |||||||
Total Term Loan | 32,395,504 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.5% |
| |||||||
FFCB | ||||||||
2.920%, 04/29/26 | 5,635,000 | 5,754,770 | ||||||
2.070%, 12/21/40 | 5,000,000 | 4,871,292 | ||||||
1.940%, 06/30/31 | 5,000,000 | 5,041,784 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 15,667,846 | ||||||
|
| |||||||
COMMON STOCK — 0.2% |
| |||||||
Noble Corp* | 258,261 | 5,681,742 | ||||||
Seadrill Ltd.* | 39,323 | 11,593 | ||||||
Seadrill New Finance Ltd.* | 206,695 | 52,991 | ||||||
|
| |||||||
Total Common Stock | 5,746,326 | |||||||
|
| |||||||
WARRANTS — 0.1% |
| |||||||
Noble Corp, Expires 05/02/28 | 538,018 | 3,530,743 | ||||||
|
| |||||||
Total Warrants | 3,530,743 | |||||||
|
| |||||||
COMMERCIAL PAPER — 1.1% |
| |||||||
Amcor Finance USA | 2,000,000 | 1,999,964 | ||||||
Banco Santander | 2,000,000 | 1,999,987 | ||||||
Barton Capital | 2,000,000 | 1,999,970 | ||||||
Basin Electric Power Cooperative | 1,752,000 | 1,751,973 | ||||||
BNP Paribas | 1,500,000 | 1,499,937 |
Description | Face Amount | Value | ||||||
Caterpillar Financial Services | $ | 2,000,000 | $ | 1,999,868 | ||||
CNPC Finance HK | ||||||||
0.230%, 08/03/21 (D) | 1,500,000 | 1,499,987 | ||||||
0.220%, 08/09/21 (D) | 1,203,000 | 1,202,973 | ||||||
DCAT | 1,750,000 | 1,749,852 | ||||||
Duke Energy | 2,000,000 | 1,999,878 | ||||||
Hitachi Capital America | 2,000,000 | 1,999,923 | ||||||
Liberty Utilities | 1,500,000 | 1,499,835 | ||||||
Nationwide Building Society | 3,250,000 | 3,249,842 | ||||||
Prudential | 1,500,000 | 1,499,926 | ||||||
Sheffield Receivables | 1,500,000 | 1,499,904 | ||||||
Sinopec Century Bright Capital Investment America | 2,000,000 | 1,999,880 | ||||||
Viatris | 1,200,000 | 1,199,657 | ||||||
VW Credit | ||||||||
0.160%, 08/17/21 (D) | 2,250,000 | 2,249,840 | ||||||
0.150%, 08/13/21 (D) | 2,000,000 | 1,999,892 | ||||||
|
| |||||||
Total Commercial Paper | 34,903,088 | |||||||
|
| |||||||
Total Investments — 99.3% | $ | 3,104,055,000 | ||||||
|
|
Percentages are based on Net Assets of $3,117,029,322.
* | Non-income producing security. |
‡ | Real Estate Investment Trust |
(A) | Rate shown represents the bond equivalent yield to maturity at date of purchase. |
(B) | Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at the time of purchase. |
(C) | Level 3 security in accordance with fair value hierarchy. |
(D) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of such securities at July 31, 2021 was $1,621,870,970 and represents 52.0% of Net Assets. |
(E) | Security in default on interest payments. |
(F) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
Cl — Class
CLO — Collateralized Loan Obligation
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
GO — General Obligation
ICE — Intercontinental Exchange
IO — Interest Only – face amount represents notional amount
The accompanying notes are an integral part of the financial statements.
31
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST TOTAL RETURN BOND FUND |
LIBOR — London Interbank Offered Rate
MTN — Medium Term Note
PSF-GTD — Texas Public School Fund Guarantee
RB — Revenue Bond
REMIC — Real Estate Mortgage Investment Conduit
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
USD — U.S. Dollar
VAR — Variable Rate
The following is a list of the level of inputs used as of July 31, 2021 in valuing the Fund’s investments carried at value:
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
U.S. Treasury Obligations | $ | 717,499,162 | $ | — | $ | — | $ | 717,499,162 | ||||||||
Corporate Obligations | — | 630,793,256 | — | 630,793,256 | ||||||||||||
Collateralized Loan | ||||||||||||||||
Obligations | — | 606,752,095 | — | 606,752,095 | ||||||||||||
Mortgage-Backed Securities | — | 521,275,309 | — | 521,275,309 | ||||||||||||
Asset-Backed Securities | — | 414,632,108 | — | 414,632,108 | ||||||||||||
Sovereign Debt | — | 64,841,684 | — | 64,841,684 | ||||||||||||
Municipal Bonds | — | 55,316,779 | 701,100 | 56,017,879 | ||||||||||||
Commercial Paper | — | 34,903,088 | — | 34,903,088 | ||||||||||||
Term Loan | — | 32,395,504 | — | 32,395,504 | ||||||||||||
U.S. Government Agency | ||||||||||||||||
Obligations | — | 15,667,846 | — | 15,667,846 | ||||||||||||
Common Stock | 5,746,326 | — | — | 5,746,326 | ||||||||||||
Warrants | — | — | 3,530,743 | 3,530,743 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 723,245,488 | $ | 2,376,577,669 | $ | 4,231,843 | $ | 3,104,055,000 | ||||||||
|
|
|
|
|
|
|
|
(1) | A reconciliation of Level 3 investments, including certain disclosures related to significant inputs used in valuing Level 3 investments is only presented when the Fund has over 1% of Level 3 investments at the beginning and/or end of the period in relation to net assets. |
For the year ended July 31, 2021, there were transfers between Level 3 and Level 2 assets and liabilities in the amount of $5,396,436. The transfers were due to changes in the availability of observable inputs used to determine fair value.
Amounts designated as “—” are $0 or have been rounded to $0.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
32
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST CREDIT FUND |
SECTOR WEIGHTINGS (Unaudited)† |
† | Percentages are based on total investments. |
SCHEDULE OF INVESTMENTS |
Description | Face Amount | Value | ||||||
CORPORATE OBLIGATIONS — 42.7% |
| |||||||
Communication Services — 6.4% |
| |||||||
ANGI Group | $ | 1,000,000 | $ | 998,750 | ||||
LCPR Senior Secured Financing DAC | 1,000,000 | 1,066,990 | ||||||
Photo Holdings Merger Sub | 1,500,000 | 1,638,750 | ||||||
Sprint | 1,500,000 | 1,697,100 | ||||||
T-Mobile USA | 1,000,000 | 1,048,807 | ||||||
Twitter | 2,000,000 | 2,139,200 | ||||||
ViacomCBS | 2,000,000 | 2,795,432 | ||||||
|
| |||||||
11,385,029 | ||||||||
|
| |||||||
Consumer Discretionary — 19.6% |
| |||||||
Airswift Global | 2,000,000 | 1,980,000 | ||||||
APX Group | 1,000,000 | 1,004,020 | ||||||
Beazer Homes USA | 1,000,000 | 1,093,800 | ||||||
Block Financial | 2,000,000 | 2,196,552 | ||||||
Bloomin’ Brands | 500,000 | 513,750 | ||||||
Choice Hotels International | 2,000,000 | 2,182,740 |
Description | Face Amount | Value | ||||||
Dillard’s | $ | 500,000 | $ | 598,078 | ||||
Expedia | 2,000,000 | 2,192,231 | ||||||
Ford Motor Credit | 1,000,000 | 1,017,810 | ||||||
Jaguar Land Rover Automotive | 2,000,000 | 1,962,600 | ||||||
Macy’s | 500,000 | 545,000 | ||||||
MajorDrive Holdings IV | 2,000,000 | 1,970,000 | ||||||
Marriott International | 2,000,000 | 2,158,142 | ||||||
Mohawk Industries | 2,000,000 | 2,235,381 | ||||||
QVC | 1,000,000 | 1,060,500 | ||||||
4.850%, 04/01/24 | 500,000 | 541,875 | ||||||
4.750%, 02/15/27 | 1,000,000 | 1,072,000 | ||||||
Rent-A-Center | 1,000,000 | 1,073,750 | ||||||
Scientific Games International | 2,000,000 | 2,160,000 | ||||||
STL Holding | 1,500,000 | 1,578,750 | ||||||
Under Armour | 2,000,000 | 2,072,500 | ||||||
VistaJet Malta Finance | 2,000,000 | 2,171,600 | ||||||
Whirlpool | 1,000,000 | 1,272,208 | ||||||
|
| |||||||
34,653,287 | ||||||||
|
| |||||||
Energy — 1.4% |
| |||||||
Murphy Oil | 500,000 | 508,750 | ||||||
5.750%, 08/15/25 | 1,000,000 | 1,020,000 | ||||||
Tiger Holdco Pte | 1,012,500 | 1,022,093 | ||||||
|
| |||||||
2,550,843 | ||||||||
|
| |||||||
Financials — 3.7% |
| |||||||
Athene Holding | 500,000 | 641,735 | ||||||
Deutsche Bank MTN | 500,000 | 517,685 | ||||||
HSBC Holdings | 1,500,000 | 2,113,521 | ||||||
Springleaf Finance | 500,000 | 549,230 |
The accompanying notes are an integral part of the financial statements.
33
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST CREDIT FUND |
Description | Face Amount | Value | ||||||
UBS | $ | 1,500,000 | $ | 1,650,990 | ||||
Westpac Banking | 1,000,000 | 1,044,275 | ||||||
|
| |||||||
6,517,436 | ||||||||
|
| |||||||
Industrials — 6.6% |
| |||||||
Boeing | 500,000 | 595,394 | ||||||
2.196%, 02/04/26 | 1,000,000 | 1,009,064 | ||||||
Brundage-Bone Concrete Pumping Holdings | 1,000,000 | 1,045,000 | ||||||
Builders FirstSource | 894,000 | 956,580 | ||||||
Diana Shipping | 2,000,000 | 2,058,000 | ||||||
Flowserve | 1,000,000 | 1,063,359 | ||||||
General Electric MTN | 945,000 | 1,320,844 | ||||||
Masco | 1,088,000 | 1,512,417 | ||||||
Teekay | 2,080,000 | 2,150,200 | ||||||
|
| |||||||
11,710,858 | ||||||||
|
| |||||||
Information Technology — 3.8% |
| |||||||
Amkor Technology | 1,000,000 | 1,074,149 | ||||||
Castle US Holding | 1,000,000 | 1,042,680 | ||||||
Diebold Nixdorf | 500,000 | 549,375 | ||||||
8.500%, 04/15/24 | 2,000,000 | 2,038,230 | ||||||
Shift4 Payments | 1,000,000 | 1,042,380 | ||||||
VeriSign | 1,000,000 | 1,061,833 | ||||||
|
| |||||||
6,808,647 | ||||||||
|
| |||||||
Materials — 0.6% |
| |||||||
NOVA Chemicals | 1,000,000 | 1,057,310 | ||||||
|
| |||||||
Utilities — 0.6% | ||||||||
Pacific Gas and Electric | 1,000,000 | 1,009,525 | ||||||
|
| |||||||
Total Corporate Obligations | 75,692,935 | |||||||
|
|
Description | Face Amount | Value | ||||||
COLLATERALIZED LOAN OBLIGATIONS — 30.1% |
| |||||||
Apidos CLO XI, | $ | 1,000,000 | $ | 980,203 | ||||
BCC Funding XVI, | 1,500,000 | 1,512,296 | ||||||
BCC Middle Market, | 1,000,000 | 998,992 | ||||||
Benefit Street Partners III, | 2,000,000 | 1,980,406 | ||||||
Benefit Street Partners III, | 2,500,000 | 2,335,595 | ||||||
Carlyle Global Market Strategies, | 1,250,000 | 1,243,681 | ||||||
CARLYLE US, | 2,000,000 | 1,944,350 | ||||||
Chenango Park, | 1,000,000 | 997,861 | ||||||
CIFC Funding, | 500,000 | 498,383 | ||||||
Fortress Credit Opportunities IX, | 1,400,000 | 1,395,604 | ||||||
Galaxy XXIX, | 500,000 | 499,574 | ||||||
Golub Capital Partners, | 1,500,000 | 1,492,569 | ||||||
Golub Capital Partners, | 3,000,000 | 2,986,557 | ||||||
Golub Capital Partners, | 1,500,000 | 1,457,257 |
The accompanying notes are an integral part of the financial statements.
34
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST CREDIT FUND |
Description | Face Amount | Value | ||||||
Golub Capital Partners, | $ | 1,000,000 | $ | 1,008,891 | ||||
Golub Capital Partners, | 2,000,000 | 1,951,240 | ||||||
Golub Capital Partners, | 2,000,000 | 1,984,830 | ||||||
Golub Capital Partners, | 1,000,000 | 995,212 | ||||||
Golub Capital Partners, | 2,000,000 | 1,953,342 | ||||||
Golub Capital Partners, | 1,500,000 | 1,477,442 | ||||||
Jay Park, | 1,000,000 | 999,496 | ||||||
LCM XXII, | 1,500,000 | 1,487,500 | ||||||
Madison Park Funding XII, | 3,000,000 | 2,995,467 | ||||||
MCF IV, | 1,000,000 | 988,379 | ||||||
MCF VIII, | 3,000,000 | 2,917,092 | ||||||
OZLM Funding IV, | 2,000,000 | 1,993,728 | ||||||
Race Point IX, | 4,000,000 | 3,934,444 | ||||||
Race Point IX, | 2,000,000 | 1,937,422 |
Description | Face Amount | Value | ||||||
Sudbury Mill, | $ | 4,700,000 | $ | 4,370,084 | ||||
TCI-Symphony, | 2,000,000 | 2,005,144 | ||||||
|
| |||||||
Total Collateralized Loan Obligations | 53,323,041 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 14.7% |
| |||||||
Automotive — 8.1% |
| |||||||
ACC Auto Trust, | 1,000,000 | 999,830 | ||||||
Avid Automobile Receivables Trust, | 1,000,000 | 1,016,527 | ||||||
Carvana Auto Receivables Trust, | 1,584,000 | 1,712,087 | ||||||
Carvana Auto Receivables Trust, | 1,000,000 | 1,050,936 | ||||||
CPS Auto Receivables Trust, | 1,500,000 | 1,503,763 | ||||||
CPS Auto Receivables Trust, | 1,155,000 | 1,174,884 | ||||||
CPS Auto Receivables Trust, | 500,000 | 523,064 | ||||||
CPS Auto Receivables Trust, | 2,000,000 | 2,063,800 | ||||||
Drive Auto Receivables Trust, | 694,632 | 701,801 | ||||||
DT Auto Owner Trust, | 2,000,000 | 2,082,655 | ||||||
DT Auto Owner Trust, | 1,500,000 | 1,559,904 | ||||||
|
| |||||||
14,389,251 | ||||||||
|
| |||||||
Credit Card — 0.6% |
| |||||||
Mission Lane Credit Card Master Trust, | 1,000,000 | 1,002,060 | ||||||
|
|
The accompanying notes are an integral part of the financial statements.
35
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST CREDIT FUND |
Description | Face Amount | Value | ||||||
Other Asset-Backed Securities — 6.0% |
| |||||||
BXMT, | $ | 1,000,000 | $ | 999,374 | ||||
Cold Storage Trust, | 982,991 | 990,691 | ||||||
Credible Asset Securitization II, | 524,000 | 528,670 | ||||||
Harley Marine Financing, | 1,798,945 | 1,744,052 | ||||||
Mosaic Solar Loans, | 293,961 | 319,753 | ||||||
Octane Receivables Trust, | 230,927 | 232,796 | ||||||
Pawnee Equipment Receivables Series, | 1,500,000 | 1,468,188 | ||||||
Pretium Mortgage Credit Partners I, | 1,000,000 | 1,015,503 | ||||||
Pretium Mortgage Credit Partners, | 500,000 | 501,077 | ||||||
Sapphire Aviation Finance I, | 335,320 | 294,645 | ||||||
SFS Asset Securitization, | 1,500,000 | 1,502,146 | ||||||
Stack Infrastructure Issuer Series, | 975,833 | 1,033,320 | ||||||
|
| |||||||
10,630,215 | ||||||||
|
| |||||||
Total Asset-Backed Securities |
| 26,021,526 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 6.5% |
| |||||||
Commercial Mortgage-Backed Obligation — 6.5% |
| |||||||
Benchmark Mortgage Trust, | 1,000,000 | 884,013 | ||||||
Commercial Mortgage Trust, | 1,000,000 | 1,051,347 | ||||||
Commercial Mortgage Trust, | 1,517,000 | 1,311,260 |
Description | Face Amount/ Shares | Value | ||||||
Credit Suisse Commercial Mortgage Trust, | $ | 390,798 | $ | 22,393 | ||||
FREMF Mortgage Trust, | 1,000,000 | 1,079,837 | ||||||
FREMF Mortgage Trust, | 1,500,000 | 1,577,025 | ||||||
FREMF Mortgage Trust, | 2,000,000 | 2,230,854 | ||||||
FREMF Mortgage Trust, | 1,250,000 | 1,389,497 | ||||||
UBS Commercial Mortgage Trust, | ||||||||
Ser 2012-C1, Cl C 5.551%, 05/10/45 (A)(B) | 1,000,000 | 1,022,631 | ||||||
WFRBS Commercial Mortgage Trust, | 1,000,000 | 923,904 | ||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 11,492,761 | ||||||
|
| |||||||
COMMON STOCK — 0.1% |
| |||||||
Industrials — 0.1% |
| |||||||
Erickson*(C) | 3,761 | 81,388 | ||||||
|
| |||||||
Total Common Stock |
| 81,388 | ||||||
|
| |||||||
PREFERRED STOCK — 0.0% |
| |||||||
Communication Services — 0.0% |
| |||||||
MYT Holdings LLC | 64,528 | 66,980 | ||||||
|
| |||||||
Total Preferred Stock | 66,980 | |||||||
|
| |||||||
Total Investments — 94.1% | $ | 166,678,631 | ||||||
|
|
Percentages | are based on Net Assets of $177,159,550. |
* | Non-income producing security. |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of such securities at July 31, 2021 was $124,027,714 and represents 70.0% of Net Assets. |
(B) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
(C) | Level 3 security in accordance with fair value hierarchy. |
Cl — Class
CLO — Collateralized Loan Obligation
DAC — Designated Activity Company
The accompanying notes are an integral part of the financial statements.
36
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST CREDIT FUND |
FREMF — Freddie Mac Multi-Family
ICE — Intercontinental Exchange
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
MTN — Medium Term Note
Ser — Series
USD — U.S. Dollar
VAR — Variable Rate Security
The following is a list of the level of inputs used as of July 31, 2021 in valuing the Fund’s investments carried at value:
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 75,692,935 | $ | — | $ | 75,692,935 | ||||||||
Collateralized Loan Obligations | — | 53,323,041 | — | 53,323,041 | ||||||||||||
Asset-Backed Securities | — | 26,021,526 | — | 26,021,526 | ||||||||||||
Mortgage-Backed Securities | — | 11,492,761 | — | 11,492,761 | ||||||||||||
Common Stock | — | — | 81,388 | 81,388 | ||||||||||||
Preferred Stock | 66,980 | — | — | 66,980 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 66,980 | $ | 166,530,263 | $ | 81,388 | $ | 166,678,631 | ||||||||
|
|
|
|
|
|
|
|
(1) | A reconciliation of Level 3 investments, including certain disclosures related to significant inputs used in valuing Level 3 investments is only presented when the Fund has over 1% of Level 3 investments at the beginning and/or end of the period in relation to net assets. |
For the year ended July 31, 2021, there have been no transfers in or out of Level 3.
Amounts designated as “—” are $0 or have been rounded to $0.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
37
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST LOW DURATION BOND FUND |
SECTOR WEIGHTINGS (Unaudited)† |
† | Percentages are based on total investments. |
SCHEDULE OF INVESTMENTS |
Description | Face Amount | Value | ||||||
ASSET-BACKED SECURITIES — 52.2% |
| |||||||
Automotive — 42.2% |
| |||||||
ACC Auto Trust 2021-A, | $ | 2,000,000 | $ | 2,000,080 | ||||
American Credit Acceptance Receivables Trust, | 4,552,789 | 4,594,767 | ||||||
American Credit Acceptance Receivables Trust, | 5,000,000 | 5,058,672 | ||||||
American Credit Acceptance Receivables Trust, | 1,500,000 | 1,517,140 | ||||||
American Credit Acceptance Receivables Trust, | 969,342 | 969,852 | ||||||
American Credit Acceptance Receivables Trust, | 8,250,000 | 8,333,914 | ||||||
American Credit Acceptance Receivables Trust, | 1,258,546 | 1,259,024 | ||||||
Amur Equipment Finance Receivables IX, | 2,000,000 | 2,007,504 |
Description | Face Amount | Value | ||||||
Amur Equipment Finance Receivables VIII, | $ | 1,384,090 | $ | 1,416,551 | ||||
Arivo Acceptance Auto Loan Receivables Trust, | 1,556,093 | 1,559,780 | ||||||
Canadian Pacer Auto Receivables Trust, | 2,550,000 | 2,638,523 | ||||||
Canadian Pacer Auto Receivables Trust, | 5,000,000 | 5,133,749 | ||||||
Capital One Multi-Asset Execution Trust, | 17,000,000 | 17,946,767 | ||||||
CARDS II Trust, | 7,250,000 | 7,255,166 | ||||||
Carnow Auto Receivables Trust, | 92,679 | 92,761 | ||||||
CLI Funding VI, | 2,266,667 | 2,291,103 | ||||||
Credit Acceptance Auto Loan Trust 2021-3, | 2,000,000 | 2,008,561 | ||||||
Credit Acceptance Auto Loan Trust 2021-3, | 1,700,000 | 1,706,605 | ||||||
Credit Acceptance Auto Loan Trust, | 4,267,896 | 4,286,496 | ||||||
DT Auto Owner Trust, | 5,500,000 | 5,670,729 | ||||||
DT Auto Owner Trust, | 2,000,000 | 2,030,363 | ||||||
DT Auto Owner Trust, | 2,250,000 | 2,341,271 | ||||||
DT Auto Owner Trust, | 1,410,000 | 1,424,591 | ||||||
Exeter Automobile Receivables Trust, | 4,397,198 | 4,506,773 |
The accompanying notes are an integral part of the financial statements.
38
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST LOW DURATION BOND FUND |
Description | Face Amount | Value | ||||||
Exeter Automobile Receivables Trust, | $ | 1,945,518 | $ | 1,963,705 | ||||
Exeter Automobile Receivables Trust, | 1,500,000 | 1,525,058 | ||||||
Exeter Automobile Receivables Trust, | 1,250,000 | 1,263,983 | ||||||
Exeter Automobile Receivables Trust, | 2,500,000 | 2,495,196 | ||||||
First Investors Auto Owner Trust, | 8,516,713 | 8,603,933 | ||||||
First Investors Auto Owner Trust, | 6,000,000 | 6,118,742 | ||||||
First Investors Auto Owner Trust, | 3,000,000 | 3,114,742 | ||||||
Flagship Credit Auto Trust, | 4,935,000 | 5,159,446 | ||||||
Flagship Credit Auto Trust, | 6,686,000 | 6,899,412 | ||||||
Flagship Credit Auto Trust, | 4,550,000 | 4,659,022 | ||||||
Ford Credit Auto Owner Trust, | 1,365,000 | 1,403,913 | ||||||
Foursight Capital Automobile Receivables Trust 2021-2, | 5,500,000 | 5,523,954 | ||||||
Foursight Capital Automobile Receivables Trust, | 2,100,000 | 2,159,255 | ||||||
Genesis Sales Finance Master Trust, Ser 2021-AA, Cl A | 2,000,000 | 2,000,571 | ||||||
GLS Auto Receivables Issuer Trust 2021-1, | 2,200,000 | 2,213,346 | ||||||
GLS Auto Receivables Issuer Trust 2021-1, | 6,000,000 | 6,040,399 |
Description | Face Amount | Value | ||||||
GLS Auto Receivables Issuer Trust, | $ | 1,750,000 | $ | 1,812,808 | ||||
GLS Auto Receivables Issuer Trust, | 1,000,000 | 1,006,463 | ||||||
GLS Auto Receivables Issuer Trust, | 1,000,000 | 1,006,391 | ||||||
Hertz Vehicle Financing, | 3,000,000 | 3,019,966 | ||||||
Marlette Funding Trust 2021-2, | 2,000,000 | 2,006,434 | ||||||
Octane Receivables Trust 2021-1, | 2,280,660 | 2,283,312 | ||||||
OneMain Direct Auto Receivables Trust, | 3,750,000 | 3,781,526 | ||||||
OSCAR US Funding Trust IX, | 55,000 | 55,027 | ||||||
Prestige Auto Receivables Trust, | 2,000,000 | 2,019,856 | ||||||
Prodigy Finance CM2021-1 DAC, | 1,000,000 | 1,001,819 | ||||||
Santander Consumer Auto Receivables Trust, | 1,000,000 | 1,003,232 | ||||||
United Auto Credit Securitization Trust, | 3,000,000 | 3,026,016 | ||||||
United Auto Credit Securitization Trust, | 5,500,000 | 5,500,945 | ||||||
Westlake Automobile Receivables Trust 2021-1, | 11,000,000 | 11,042,657 | ||||||
Westlake Automobile Receivables Trust, | 6,575,000 | 6,731,273 | ||||||
Westlake Automobile Receivables Trust, | 2,750,000 | 2,802,276 |
The accompanying notes are an integral part of the financial statements.
39
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST LOW DURATION BOND FUND |
Description | Face Amount | Value | ||||||
Westlake Automobile Receivables Trust, | $ | 4,500,000 | $ | 4,657,350 | ||||
Westlake Automobile Receivables Trust, | 1,000,000 | 1,010,044 | ||||||
World Omni Auto Receivables Trust, | 1,520,000 | 1,546,886 | ||||||
|
| |||||||
204,509,700 | ||||||||
|
| |||||||
Credit Card — 3.3% | ||||||||
Synchrony Credit Card Master Note Trust, | 995,000 | 1,049,731 | ||||||
World Financial Network Credit Card Master Trust, | 7,000,000 | 7,139,754 | ||||||
World Financial Network Credit Card Master Trust, | 7,495,000 | 7,680,339 | ||||||
|
| |||||||
15,869,824 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 4.0% |
| |||||||
Diamond Resorts Owner Trust, | 918,243 | 946,946 | ||||||
Mosaic Solar Loans, | 312,603 | 342,045 | ||||||
Oportun Issuance Trust 2021-B, | 1,750,000 | 1,751,247 | ||||||
Pawnee Equipment Receivables Series, | 5,000,000 | 4,927,517 | ||||||
Pawnee Equipment Receivables Series, | 2,916,418 | 2,930,893 | ||||||
SCF Equipment Leasing 2021-1, | 1,000,000 | 1,002,319 | ||||||
SCF Equipment Leasing, | 2,000,000 | 2,032,765 | ||||||
SoFi Consumer Loan Program, | 5,080 | 5,088 |
Description | Face Amount | Value | ||||||
SoFi Consumer Loan Program, | $ | 1,485,280 | $ | 1,491,847 | ||||
Vantage Data Centers Issuer, | 3,893,333 | 4,066,056 | ||||||
|
| |||||||
19,496,723 | ||||||||
|
| |||||||
Student Loan — 2.7% | ||||||||
AccessLex Institute, | 300,000 | 299,564 | ||||||
Commonbond Student Loan Trust, | 863,794 | 880,713 | ||||||
Nelnet Student Loan Trust, | 3,000,000 | 3,013,093 | ||||||
Nelnet Student Loan Trust, | 4,000,000 | 3,965,053 | ||||||
Nelnet Student Loan Trust, | 3,000,000 | 2,888,156 | ||||||
SLM Student Loan Trust, | 2,000,000 | 1,984,420 | ||||||
|
| |||||||
13,030,999 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 252,907,246 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 23.2% |
| |||||||
U.S. Treasury Note | 38,000,000 | 38,783,750 | ||||||
1.500%, 01/15/23 | 40,000,000 | 40,796,875 | ||||||
0.750%, 05/31/26 | 5,000,000 | 5,017,188 | ||||||
0.250%, 05/31/25 | 28,000,000 | 27,713,437 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 112,311,250 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 17.3% |
| |||||||
Financials — 8.0% |
| |||||||
Capital One Financial | 10,000,000 | 11,232,693 | ||||||
Danske Bank | 4,205,000 | 4,472,937 | ||||||
Deutsche Bank NY | 2,000,000 | 2,052,438 | ||||||
Lloyds Banking Group | 9,000,000 | 9,625,816 |
The accompanying notes are an integral part of the financial statements.
40
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST LOW DURATION BOND FUND |
Description | Face Amount | Value | ||||||
Swedbank | $ | 1,000,000 | $ | 1,015,840 | ||||
0.600%, 09/25/23 (A) | 5,000,000 | 5,008,800 | ||||||
Wells Fargo MTN | 5,000,000 | 5,228,485 | ||||||
|
| |||||||
38,637,009 | ||||||||
|
| |||||||
Health Care — 2.8% | ||||||||
Anthem | 5,000,000 | 5,087,851 | ||||||
Eli Lilly | 8,000,000 | 8,579,677 | ||||||
|
| |||||||
13,667,528 | ||||||||
|
| |||||||
Industrials — 2.0% | ||||||||
AerCap Ireland Capital DAC | 3,000,000 | 3,210,136 | ||||||
1.750%, 01/30/26 | 2,000,000 | 1,987,944 | ||||||
Boeing | 4,290,000 | 4,582,303 | ||||||
|
| |||||||
9,780,383 | ||||||||
|
| |||||||
Information Technology — 1.8% | ||||||||
Broadcom | 8,000,000 | 8,602,584 | ||||||
|
| |||||||
Materials — 0.3% | ||||||||
Steel Dynamics | 1,313,000 | 1,368,387 | ||||||
|
| |||||||
Real Estate — 2.1% | ||||||||
Corporate Office Properties | 3,000,000 | 3,104,022 | ||||||
Equinix | 5,000,000 | 4,995,460 | ||||||
Federal Realty Investment Trust | 2,000,000 | 2,008,038 | ||||||
|
| |||||||
10,107,520 | ||||||||
|
| |||||||
Utilities — 0.3% | ||||||||
Duke Energy | 1,400,000 | 1,394,179 | ||||||
|
| |||||||
Total Corporate Obligations (Cost $82,471,001) |
| 83,557,590 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 3.4% |
| |||||||
Commercial Mortgage-Backed Obligation — 3.4% |
| |||||||
Benchmark Mortgage Trust, | 1,305,000 | 1,332,651 | ||||||
Cold Storage Trust, | 5,406,448 | 5,425,093 | ||||||
COMM 2021-LBA Mortgage Trust, | 9,900,000 | 9,902,984 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 16,660,728 | |||||||
|
|
Description | Face Amount | Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.6% |
| |||||||
FFCB | $ | 5,000,000 | $ | 4,988,946 | ||||
FHLB | 2,520,000 | 2,505,229 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations | 7,494,175 | |||||||
|
| |||||||
Total Investments — 97.7% | $ | 472,930,989 | ||||||
|
|
Percentages are based on Net Assets of $484,245,849.
‡ | Real Estate Investment Trust |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of such securities at July 31, 2021 was $263,453,393 and represents 54.4% of Net Assets. |
(B) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in the current interest rates and prepayments on the underlying pool of assets. |
Cl — Class
DAC — Designated Activity Company
FFCB — Federal Farm Credit Bank
FHLB — Federal Home Loan Bank
ICE — Intercontinental Exchange
LIBOR — London Interbank Offered Rate
MTN — Medium Term Note
Ser — Series
USD — U.S. Dollar
VAR — Variable Rate Security
The following is a list of the level of inputs used as of July 31, 2021, in valuing the Fund’s investments carried at value:
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset-Backed Securities | $ | — | $ | 252,907,246 | $ | — | $ | 252,907,246 | ||||||||
U.S. Treasury Obligations | 112,311,250 | — | — | 112,311,250 | ||||||||||||
Corporate Obligations | — | 83,557,590 | — | 83,557,590 | ||||||||||||
Mortgage-Backed Securities | — | 16,660,728 | — | 16,660,728 | ||||||||||||
U.S. Government Agency Obligations | — | 7,494,175 | — | 7,494,175 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 112,311,250 | $ | 360,619,739 | $ | — | $ | 472,930,989 | ||||||||
|
|
|
|
|
|
|
|
For the year ended July 31, 2021, there have been no transfers in or out of Level 3.
Amounts designated as “—” are $0 or have been rounded to $0.
For information on valuation inputs, see Note 2 — Significant Accounting Policies in the Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
41
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST MUNICIPAL BOND FUND |
SECTOR WEIGHTINGS (Unaudited)† |
† | Percentages are based on total investments. |
SCHEDULE OF INVESTMENTS |
Description | Face Amount | Value | ||||||
MUNICIPAL BONDS — 89.5% |
| |||||||
California — 3.8% |
| |||||||
California State, Municipal Finance Authority, | $ | 1,200,000 | $ | 1,240,793 | ||||
California State, School Finance Authority, | 370,000 | 391,717 | ||||||
|
| |||||||
1,632,510 | ||||||||
|
| |||||||
Colorado — 3.6% |
| |||||||
El Paso County, School District No. 49 Falcon, | 525,000 | 605,760 | ||||||
El Paso County, School District No. 49 Falcon, | 300,000 | 346,149 | ||||||
5.000%, 12/15/26 | 500,000 | 614,593 | ||||||
|
| |||||||
1,566,502 | ||||||||
|
| |||||||
District of Columbia — 2.1% |
| |||||||
District of Columbia, RB | 895,000 | 919,442 | ||||||
|
| |||||||
Idaho — 1.2% | ||||||||
Idaho State, Housing & Finance Association, RB | 500,000 | 541,629 | ||||||
|
| |||||||
Illinois ��� 2.0% | ||||||||
Lee & Ogle Counties, School District No. 170 Dixon, GO, BAM | 760,000 | 845,852 | ||||||
|
| |||||||
Kansas — 3.5% | ||||||||
Geary County, GO | 1,300,000 | 1,534,210 | ||||||
|
|
Description | Face Amount | Value | ||||||
Michigan — 3.0% | ||||||||
Taylor, Brownfield Redevelopment Authority, RB, NATL Callable 05/01/24 @ 100 | $ | 1,175,000 | $ | 1,287,157 | ||||
|
| |||||||
Minnesota — 0.8% | ||||||||
Minnesota State, Housing Finance Agency, | 325,534 | 332,333 | ||||||
|
| |||||||
Missouri — 3.8% | ||||||||
Saint Louis, Municipal Finance, RB, AGM | 1,575,000 | 1,646,008 | ||||||
|
| |||||||
Oklahoma — 2.7% | ||||||||
University of Oklahoma, | 1,000,000 | 1,162,764 | ||||||
|
| |||||||
South Carolina — 3.7% | ||||||||
Hilton Head Island, | 530,000 | 548,539 | ||||||
2.125%, 03/01/32 | 520,000 | 537,483 | ||||||
2.000%, 03/01/30 | 495,000 | 512,874 | ||||||
|
| |||||||
1,598,896 | ||||||||
|
| |||||||
Texas — 59.3% | ||||||||
Central Texas Regional Mobility Authority | 1,000,000 | 1,172,710 | ||||||
Central Texas Turnpike System, Sub-Ser C, RB | 2,000,000 | 2,222,783 | ||||||
Clifton, Higher Education Finance, Idea Public Schools Project, RB | 110,000 | 110,173 | ||||||
Clifton, Higher Education Finance, RB, PSF- GTD | 1,185,000 | 1,354,526 | ||||||
Clifton, Higher Education Finance, RB, PSF- GTD | 700,000 | 798,312 | ||||||
Clifton, Higher Education Finance, | 1,025,000 | 1,067,666 | ||||||
Clifton, Higher Education Finance, | 460,000 | 540,463 | ||||||
4.000%, 08/15/22 | 525,000 | 541,657 | ||||||
4.000%, 08/15/23 | 500,000 | 536,460 |
The accompanying notes are an integral part of the financial statements.
42
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
FROST MUNICIPAL BOND FUND |
Description | Face Amount | Value | ||||||
Cypress-Fairbanks Independent School District, | $ | 1,500,000 | $ | 1,956,744 | ||||
Dallas Area, Rapid Transit, | 1,000,000 | 1,065,106 | ||||||
Downtown Redevelopment Authority, TA, BAM | 1,000,000 | 1,162,996 | ||||||
Downtown Redevelopment Authority, TA, BAM | 1,000,000 | 1,180,162 | ||||||
El Paso County, Hospital District, GO | 1,070,000 | 1,253,894 | ||||||
Houston, Higher Education Finance, | 1,005,000 | 1,025,766 | ||||||
La Vernia, Higher Education Finance, | 500,000 | 535,119 | ||||||
La Vernia, Higher Education Finance, | 1,435,000 | 1,593,970 | ||||||
Love Field Airport Modernization, AMT, RB | 1,000,000 | 1,059,612 | ||||||
Lower Colorado River Authority Callable 05/15/30 @ 100 | 1,000,000 | 1,298,025 | ||||||
San Antonio, Public Facilities, RB Callable 09/15/22 @ 100 | 2,000,000 | 2,101,026 | ||||||
Seminole, Hospital District, GO Callable 02/15/26 @ 100 | 545,000 | 602,381 | ||||||
Texas A&M University, Permanent University Fund, | 1,000,000 | 1,173,614 | ||||||
Texas State, Public Finance Authority, RB, BAM | 1,400,000 | 1,416,014 | ||||||
|
| |||||||
25,769,179 | ||||||||
|
| |||||||
Total Municipal Bonds | 38,836,482 | |||||||
|
| |||||||
Total Investments — 89.5% | $ | 38,836,482 | ||||||
|
|
Percentages are based on Net Assets of $43,386,705.
(A) | Security is escrowed to maturity. |
AGM — Assured Guaranty Municipal
AMT — Alternative Minimum Tax (subject to)
BAM — Build America Mutual
COP — Certificate of Participation
GNMA — Government National Mortgage Association
GO — General Obligation
NATL — National Public Finance Guaranty Corporation
PSF-GTD — Texas Public School Fund Guarantee
RB — Revenue Bond
SAN — State Aid Note
Ser — Series
TA — Tax Allocation
As of July 31, 2021, all of the Fund’s investments in securities were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the year ended July 31, 2021, there have been no transfers in or out of
Level 3.
For more information on valuation inputs, see Note 2 — Significant
Accounting Policies in the Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
43
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
STATEMENTS OF ASSETS AND LIABILITIES |
Growth Equity Fund | Total Return Bond Fund | |||||||
Assets: | ||||||||
Investments at Value | $ | 458,187,968 | $ | 3,104,055,000 | ||||
Cash | — | 3,783,043 | ||||||
Receivable for Investment Securities Sold | 541,007 | 46,603 | ||||||
Receivable for Capital Shares Sold | 346,477 | 4,828,065 | ||||||
Dividends and Interest Receivable | 88,971 | 16,685,548 | ||||||
Cash Collateral on Futures Contracts | — | 38,786 | ||||||
Foreign Tax Reclaim Receivable | 2,268 | — | ||||||
Prepaid Expenses | 28,495 | 60,958 | ||||||
|
|
|
| |||||
Total Assets | 459,195,186 | 3,129,498,003 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Payable for Investment Securities Purchased | — | 10,000,000 | ||||||
Payable for Capital Shares Redeemed | 255,062 | 1,018,315 | ||||||
Payable Due to Investment Adviser | 194,430 | 923,806 | ||||||
Shareholder Servicing Fees Payable — A Class Shares | — | 1,010 | ||||||
Professional Fees Payable | 33,984 | 79,520 | ||||||
Payable Due to Administrator | 28,359 | 192,481 | ||||||
Payable Due to Distributor — Investor Class Shares | 14,346 | 73,350 | ||||||
Payable Due to Distributor — A Class Shares | — | 1,338 | ||||||
Cash Overdraft | 138,400 | — | ||||||
Payable Due to Trustees | 3,205 | 21,831 | ||||||
Chief Compliance Officer Fees Payable | 791 | 5,390 | ||||||
Transfer Agent Fees Payable | 10,410 | 67,830 | ||||||
Pricing Fees Payable | 530 | 38,053 | ||||||
Other Accrued Expenses | 6,748 | 45,757 | ||||||
|
|
|
| |||||
Total Liabilities | 686,265 | 12,468,681 | ||||||
|
|
|
| |||||
Net Assets | $ | 458,508,921 | $ | 3,117,029,322 | ||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Paid-in Capital | $ | 129,798,894 | $ | 3,186,853,419 | ||||
Total Distributable Earnings (Accumulated Loss) | 328,710,027 | (69,824,097 | ) | |||||
|
|
|
| |||||
Net Assets | $ | 458,508,921 | $ | 3,117,029,322 | ||||
|
|
|
| |||||
Institutional Class Shares: | ||||||||
Net Assets | $ | 389,165,956 | $ | 2,741,353,059 | ||||
Outstanding Shares of Beneficial Interest | 19,190,485 | 263,470,031 | ||||||
Net Asset Value, Offering and Redemption Price Per Share | $ | 20.28 | $ | 10.40 | ||||
|
|
|
| |||||
Investor Class Shares: | ||||||||
Net Assets | $ | 69,342,965 | $ | 368,782,550 | ||||
Outstanding Shares of Beneficial Interest | 3,487,013 | 35,459,778 | ||||||
Net Asset Value, Offering and Redemption Price Per Share | $ | 19.89 | $ | 10.40 | ||||
|
|
|
| |||||
A Class Shares: | ||||||||
Net Assets | $ | n/a | $ | 6,893,713 | ||||
Outstanding Shares of Beneficial Interest | n/a | 663,111 | ||||||
Net Asset Value, Offering and Redemption Price Per Share | $ | n/a | $ | 10.40 | ||||
|
|
|
| |||||
Maximum Offering Price Per Share — Class A | $ | n/a | $ | 10.75 | ||||
|
|
|
| |||||
Cost of Investments | $ | 174,311,774 | $ | 3,057,227,932 |
“n/a” designates that the Fund does not offer this class.
Amounts designated as “—” are $0.
The accompanying notes are an integral part of the financial statements.
44
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
STATEMENTS OF ASSETS AND LIABILITIES |
Credit Fund | Low Duration Bond Fund | Municipal Bond Fund | ||||||||||
Assets: | ||||||||||||
Investments at Value | $ | 166,678,631 | $ | 472,930,989 | $ | 38,836,482 | ||||||
Cash | 9,179,384 | 9,898,657 | 4,070,554 | |||||||||
Receivable for Capital Shares Sold | 129,671 | 654,655 | — | |||||||||
Dividends and Interest Receivable | 1,335,350 | 1,066,447 | 514,272 | |||||||||
Prepaid Expenses | 21,321 | 31,017 | 23,050 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 177,344,357 | 484,581,765 | 43,444,358 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Payable for Capital Shares Redeemed | 16,762 | 110,262 | — | |||||||||
Payable Due to Investment Adviser | 75,408 | 123,208 | 9,382 | |||||||||
Shareholder Servicing Fees Payable — A Class Shares | 299 | — | — | |||||||||
Professional Fee Payable | 53,145 | 38,137 | 37,287 | |||||||||
Payable Due to Administrator | 10,998 | 29,950 | 2,737 | |||||||||
Payable Due to Distributor — Investor Class Shares | 1,902 | 5,869 | 947 | |||||||||
Payable Due to Distributor — A Class Shares | 274 | — | — | |||||||||
Payable Due to Trustees | 1,250 | 3,397 | 316 | |||||||||
Chief Compliance Officer Fees Payable | 309 | 839 | 78 | |||||||||
Transfer Agent Fees Payable | 8,638 | 11,025 | 4,684 | |||||||||
Pricing Fees Payable | 12,641 | 6,079 | 1,557 | |||||||||
Other Accrued Expenses | 3,181 | 7,150 | 665 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 184,807 | 335,916 | 57,653 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 177,159,550 | $ | 484,245,849 | $ | 43,386,705 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS: | ||||||||||||
Paid-in Capital | $ | 173,910,228 | $ | 475,367,489 | $ | 40,607,892 | ||||||
Distributable Earnings | 3,249,322 | 8,878,360 | 2,778,813 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 177,159,550 | $ | 484,245,849 | $ | 43,386,705 | ||||||
|
|
|
|
|
| |||||||
Institutional Class Shares: | ||||||||||||
Net Assets | $ | 166,805,440 | $ | 454,722,743 | $ | 38,589,804 | ||||||
Outstanding Shares of Beneficial Interest | 16,484,225 | 43,412,694 | 3,766,957 | |||||||||
Net Asset Value, Offering and Redemption Price Per Share | $ | 10.12 | $ | 10.47 | $ | 10.24 | ||||||
|
|
|
|
|
| |||||||
Investor Class Shares: | ||||||||||||
Net Assets | $ | 9,332,649 | $ | 29,523,106 | $ | 4,796,901 | ||||||
Outstanding Shares of Beneficial Interest | 923,624 | 2,817,768 | 468,119 | |||||||||
Net Asset Value, Offering and Redemption Price Per Share | $ | 10.10 | $ | 10.48 | $ | 10.25 | ||||||
|
|
|
|
|
| |||||||
A Class Shares: | ||||||||||||
Net Assets | $ | 1,021,461 | $ | n/a | $ | n/a | ||||||
Outstanding Shares of Beneficial Interest | 101,143 | n/a | n/a | |||||||||
Net Asset Value, Offering and Redemption Price Per Share | $ | 10.10 | $ | n/a | $ | n/a | ||||||
|
|
|
|
|
| |||||||
Maximum Offering Price Per Share — Class A | $ | 10.33 | $ | n/a | $ | n/a | ||||||
|
|
|
|
|
| |||||||
Cost of Investments | $ | 162,001,163 | $ | 466,227,840 | $ | 36,570,068 |
“n/a” designates that the Fund does not offer this class.
Amounts designated as “—” are $0.
The accompanying notes are an integral part of the financial statements.
45
FROST FAMILY OF FUNDS | F R O S T F U N D S | F O R T H E Y E A R E N D E D J U L Y 3 1, 2 0 2 1 |
STATEMENTS OF OPERATIONS |
Growth Equity Fund | Total Return Bond Fund | |||||||
Investment Income: | ||||||||
Dividend Income | $ | 2,385,642 | $ | — | ||||
Interest income | — | 106,170,645 | ||||||
Foreign Taxes Withheld | (13,897 | ) | — | |||||
|
|
|
| |||||
Total Investment Income | 2,371,745 | 106,170,645 | ||||||
|
|
|
| |||||
Expenses: | ||||||||
Investment Advisory Fees | 2,098,096 | 10,954,640 | ||||||
Administration Fees | 306,025 | 2,282,504 | ||||||
Distribution Fees — Investor Class Shares | 155,956 | 962,770 | ||||||
Distribution Fees — A Class Shares | n/a | 9,651 | ||||||
Trustees’ Fees | 11,467 | 85,432 | ||||||
Chief Compliance Officer Fees | 2,110 | 14,960 | ||||||
Transfer Agent Fees | 62,447 | 401,328 | ||||||
Professional Fees | 48,265 | 185,904 | ||||||
Registration Fees | 47,127 | 94,769 | ||||||
Printing Fees | 24,259 | 167,828 | ||||||
Custodian Fees | 10,422 | 62,238 | ||||||
Insurance and Other Expenses | 19,760 | 302,389 | ||||||
|
|
|
| |||||
Total Expenses | 2,785,934 | 15,524,413 | ||||||
Less: Fees Paid Indirectly | (117 | ) | (2,055 | ) | ||||
|
|
|
| |||||
Net Expenses | 2,785,817 | 15,522,358 | ||||||
|
|
|
| |||||
Net Investment Income | (414,072 | ) | 90,648,287 | |||||
|
|
|
| |||||
Net Realized Gain (Loss) from Investments | 50,405,514 | (71,141,129 | ) | |||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 66,508,904 | 187,714,310 | ||||||
|
|
|
| |||||
Net Realized and Unrealized Gain on Investments | 116,914,418 | 116,573,181 | ||||||
|
|
|
| |||||
Increase in Net Assets Resulting from Operations | $ | 116,500,346 | $ | 207,221,468 | ||||
|
|
|
|
Amounts designated as “—” are $0.
The accompanying notes are an integral part of the financial statements.
46
FROST FAMILY OF FUNDS | F R O S T F U N D S | F O R T H E Y E A R E N D E D J U L Y 3 1, 2 0 2 1 |
STATEMENTS OF OPERATIONS |
Credit Fund | Low Duration Bond Fund | Municipal Bond Fund | ||||||||||
Investment Income: | ||||||||||||
Interest Income | $ | 8,409,082 | $ | 8,701,528 | $ | 1,576,636 | ||||||
Dividend Income | 14,323 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total Investment Income | 8,423,405 | 8,701,528 | 1,576,636 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Investment Advisory Fees | 938,742 | 1,352,343 | 148,174 | |||||||||
Administration Fees | 136,911 | 328,754 | 37,662 | |||||||||
Distribution Fees — Investor Class Shares | 24,082 | 74,102 | 11,841 | |||||||||
Distribution Fees — A Class Shares | 1,919 | n/a | n/a | |||||||||
Trustees’ Fees | 5,080 | 12,407 | 1,411 | |||||||||
Chief Compliance Officer Fees | 895 | 2,221 | 236 | |||||||||
Transfer Agent Fees | 52,996 | 64,985 | 28,520 | |||||||||
Registration Fees | 52,452 | 52,024 | 35,748 | |||||||||
Professional Fees | 60,036 | 53,341 | 39,450 | |||||||||
Printing Fees | 9,079 | 22,301 | 2,435 | |||||||||
Custodian Fees | 6,082 | 10,888 | 3,923 | |||||||||
Pricing Fee | — | 23,649 | 6,728 | |||||||||
Insurance and Other Expenses | 66,745 | 18,042 | 2,306 | |||||||||
|
|
|
|
|
| |||||||
Total Expenses | 1,355,019 | 2,015,057 | 318,434 | |||||||||
Less: Investment Advisory Fees Waived | — | — | (19,046 | ) | ||||||||
Less: Fees Paid Indirectly | (74 | ) | (120 | ) | (8 | ) | ||||||
|
|
|
|
|
| |||||||
Net Expenses | 1,354,945 | 2,014,937 | 299,380 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 7,068,460 | 6,686,591 | 1,277,256 | |||||||||
|
|
|
|
|
| |||||||
Net Realized Gain from Investments | 392,425 | 3,913,051 | 652,529 | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 12,589,926 | (2,641,480 | ) | (552,234 | ) | |||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments | 12,982,351 | 1,271,571 | 100,295 | |||||||||
|
|
|
|
|
| |||||||
Increase in Net Assets Resulting from Operations | $ | 20,050,811 | $ | 7,958,162 | $ | 1,377,551 | ||||||
|
|
|
|
|
|
“n/a” designates that the Fund does not offer this class.
Amounts designated as “—” are $0.
The accompanying notes are an integral part of the financial statements.
47
FROST FAMILY OF FUNDS |
STATEMENTS OF CHANGES IN NET ASSETS |
Growth Equity Fund | ||||||||||
Year Ended July 31, 2021 | Year Ended July 31, 2020 | |||||||||
Operations: | ||||||||||
Net Investment Income (Loss) | $ | (414,072 | ) | $ | 568,009 | |||||
Net Realized Gain on Investments | 50,405,514 | 19,362,795 | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 66,508,904 | 68,019,731 | ||||||||
|
|
|
| |||||||
Net Increase in Net Assets Resulting from Operations | 116,500,346 | 87,950,535 | ||||||||
|
|
|
| |||||||
Distributions: | ||||||||||
Institutional Class Shares | (12,687,207 | ) | (29,507,815 | ) | ||||||
Investor Class Shares | (2,146,616 | ) | (4,828,153 | ) | ||||||
A Class Shares | n/a | n/a | ||||||||
|
|
|
| |||||||
Total Distributions | (14,833,823 | ) | (34,335,968 | ) | ||||||
|
|
|
| |||||||
Capital Share Transactions: | ||||||||||
Institutional Class Shares: | ||||||||||
Issued | 30,109,348 | 36,374,424 | ||||||||
Reinvestment of Dividends | 6,400,714 | 13,734,711 | ||||||||
Redeemed | (73,482,944 | ) | (47,331,688 | ) | ||||||
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from | (36,972,882 | ) | 2,777,447 | |||||||
|
|
|
| |||||||
Investor Class Shares: | ||||||||||
Issued | 1,984,810 | 2,867,306 | ||||||||
Reinvestment of Dividends | 2,109,846 | 4,729,005 | ||||||||
Redeemed | (6,633,471 | ) | (5,518,481 | ) | ||||||
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from | (2,538,815 | ) | 2,077,830 | |||||||
|
|
|
| |||||||
A Class Shares: | ||||||||||
Issued | n/a | n/a | ||||||||
Reinvestment of Dividends | n/a | n/a | ||||||||
Redeemed | n/a | n/a | ||||||||
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from | n/a | n/a | ||||||||
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from | (39,511,697 | ) | 4,855,277 | |||||||
|
|
|
| |||||||
Total Increase (Decrease) in Net Assets | 62,154,826 | 58,469,844 | ||||||||
|
|
|
| |||||||
Net assets: | ||||||||||
Beginning of Year | 396,354,095 | 337,884,251 | ||||||||
|
|
|
| |||||||
End of Year | $ | 458,508,921 | $ | 396,354,095 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Institutional Class Shares: | ||||||||||
Issued | 1,696,302 | 2,670,702 | ||||||||
Reinvestment of Dividends | 378,398 | 1,035,347 | ||||||||
Redeemed | (4,175,427 | ) | (3,456,764 | ) | ||||||
|
|
|
| |||||||
Total Increase (Decrease) in Institutional Class Shares | (2,100,727 | ) | 249,285 | |||||||
|
|
|
| |||||||
Investor Class Shares: | ||||||||||
Issued | 115,405 | 211,039 | ||||||||
Reinvestment of Dividends | 127,099 | 362,875 | ||||||||
Redeemed | (379,342 | ) | (411,217 | ) | ||||||
|
|
|
| |||||||
Total Increase (Decrease) in Investor Class Shares | (136,838 | ) | 162,697 | |||||||
|
|
|
| |||||||
A Class Shares: | ||||||||||
Issued | n/a | n/a | ||||||||
Reinvestment of Dividends | n/a | n/a | ||||||||
Redeemed | n/a | n/a | ||||||||
|
|
|
| |||||||
Total Increase (Decrease) in Investor Class Shares | n/a | n/a | ||||||||
|
|
|
| |||||||
Net Increase (Decrease) in Shares Outstanding | (2,237,565 | ) | 411,982 | |||||||
|
|
|
|
“n/a” | designates that the Fund does not offer this class. |
Amounts | designated as “—” are $0. |
The accompanying notes are an integral part of the financial statements.
48
F R O S T F U N D S |
Total Return Bond Fund | ||||||
Year Ended July 31, 2021 | Year Ended July 31, 2020 | |||||
$ | 90,648,287 | $ | 135,771,673 | |||
(71,141,129 | ) | 4,524,747 | ||||
187,714,310 | (138,036,077 | ) | ||||
|
|
|
| |||
207,221,468 | 2,260,343 | |||||
|
|
|
| |||
(92,943,437 | ) | (125,231,018 | ) | |||
(12,055,313 | ) | (18,817,985 | ) | |||
(129,203 | ) | (69,877 | ) | |||
|
|
|
| |||
(105,127,953 | ) | (144,118,880 | ) | |||
|
|
|
| |||
679,270,244 | 814,585,252 | |||||
56,666,242 | 72,744,679 | |||||
(918,534,673 | ) | (1,124,079,814 | ) | |||
|
|
|
| |||
| (182,598,187 | ) | (236,749,883 | ) | ||
|
|
|
| |||
48,444,334 | 172,446,248 | |||||
10,600,030 | 16,980,474 | |||||
(132,066,514 | ) | (258,805,689 | ) | |||
|
|
|
| |||
| (73,022,150 | ) | (69,378,967 | ) | ||
|
|
|
| |||
5,233,940 | 2,069,964 | |||||
55,945 | 42,319 | |||||
(290,986 | ) | (1,249,029 | ) | |||
|
|
|
| |||
| 4,998,899 | 863,254 | ||||
|
|
|
| |||
| (250,621,438 | ) | (305,265,596 | ) | ||
|
|
|
| |||
(148,527,923 | ) | (447,124,133 | ) | |||
|
|
|
| |||
3,265,557,245 | 3,712,681,378 | |||||
|
|
|
| |||
$ | 3,117,029,322 | $ | 3,265,557,245 | |||
|
|
|
| |||
66,179,958 | 79,535,260 | |||||
5,525,109 | 7,166,892 | |||||
(89,710,811 | ) | (111,528,936 | ) | |||
|
|
|
| |||
(18,005,744 | ) | (24,826,784 | ) | |||
|
|
|
| |||
4,710,938 | 16,716,875 | |||||
1,034,267 | 1,672,615 | |||||
(12,911,032 | ) | (25,724,465 | ) | |||
|
|
|
| |||
(7,165,827 | ) | (7,334,975 | ) | |||
|
|
|
| |||
508,201 | 199,402 | |||||
5,454 | 4,202 | |||||
(28,168 | ) | (121,865 | ) | |||
|
|
|
| |||
485,487 | 81,739 | |||||
|
|
|
| |||
(24,686,084 | ) | (32,080,020 | ) | |||
|
|
|
|
The accompanying notes are an integral part of the financial statements.
49
FROST FAMILY OF FUNDS |
STATEMENTS OF CHANGES IN NET ASSETS |
Credit Fund | ||||||||||
Year Ended July 31, 2021 | Year Ended July 31, 2020 | |||||||||
Operations: | ||||||||||
Net Investment Income | $ | 7,068,460 | $ | 9,128,196 | ||||||
Net Realized Gain (Loss) on Investments | 392,425 | 1,467,102 | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 12,589,926 | (7,833,816 | ) | |||||||
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 20,050,811 | 2,761,482 | ||||||||
|
|
|
| |||||||
Distributions: | ||||||||||
Institutional Class Shares | (6,879,760 | ) | (8,661,274 | ) | ||||||
Investor Class Shares | (347,885 | ) | (490,081 | ) | ||||||
A Class Shares | (28,668 | ) | (20,588 | ) | ||||||
|
|
|
| |||||||
Total Distributions | (7,256,313 | ) | (9,171,943 | ) | ||||||
|
|
|
| |||||||
Capital Share Transactions: | ||||||||||
Institutional Class Shares: | ||||||||||
Issued | 19,378,061 | 37,159,580 | ||||||||
Reinvestment of Dividends | 1,322,182 | 1,647,783 | ||||||||
Redeemed | (60,161,233 | ) | (38,439,618 | ) | ||||||
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from | (39,460,990 | ) | 367,745 | |||||||
|
|
|
| |||||||
Investor Class Shares: | ||||||||||
Issued | 1,123,988 | 1,414,840 | ||||||||
Reinvestment of Dividends | 340,475 | 480,065 | ||||||||
Redeemed | (3,610,306 | ) | (4,031,933 | ) | ||||||
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from | (2,145,843 | ) | (2,137,028 | ) | ||||||
|
|
|
| |||||||
A Class Shares: | ||||||||||
Issued | 403,241 | 310,042 | ||||||||
Reinvestment of Dividends | 25,318 | 19,157 | ||||||||
Redeemed | (91,954 | ) | (69,939 | ) | ||||||
|
|
|
| |||||||
Net Increase in Net Assets from | 336,605 | 259,260 | ||||||||
|
|
|
| |||||||
Net Increase in Net Assets from | (41,270,228 | ) | (1,510,023 | ) | ||||||
|
|
|
| |||||||
Total Increase (Decrease) in Net Assets | (28,475,730 | ) | (7,920,484 | ) | ||||||
|
|
|
| |||||||
Net assets: | ||||||||||
Beginning of Year | 205,635,280 | 213,555,764 | ||||||||
|
|
|
| |||||||
End of Year | $ | 177,159,550 | $ | 205,635,280 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Institutional Class Shares: | ||||||||||
Issued | 1,954,808 | 3,884,745 | ||||||||
Reinvestment of Dividends | 134,196 | 174,523 | ||||||||
Redeemed | (6,108,857 | ) | (4,104,654 | ) | ||||||
|
|
|
| |||||||
Total Increase (Decrease) in Institutional Class Shares | (4,019,853 | ) | (45,386 | ) | ||||||
|
|
|
| |||||||
Investor Class Shares: | ||||||||||
Issued | 112,690 | 151,235 | ||||||||
Reinvestment of Dividends | 34,555 | 50,921 | ||||||||
Redeemed | (367,361 | ) | (435,001 | ) | ||||||
|
|
|
| |||||||
Total Increase (Decrease) in Investor Class Shares | (220,116 | ) | (232,845 | ) | ||||||
|
|
|
| |||||||
A Class Shares: | ||||||||||
Issued | 40,503 | 32,436 | ||||||||
Reinvestment of Dividends | 2,561 | 2,046 | ||||||||
Redeemed | (9,394 | ) | (7,195 | ) | ||||||
|
|
|
| |||||||
Total Increase in A Class Shares | 33,670 | 27,287 | ||||||||
|
|
|
| |||||||
Net Increase (Decrease) in Shares Outstanding | (4,206,299 | ) | (250,944 | ) | ||||||
|
|
|
|
“n/a” designates that the Fund does not offer this class.
Amounts designated as “—” are $0.
The accompanying notes are an integral part of the financial statements.
50
F R O S T F U N D S |
Low Duration Bond Fund | Municipal Bond Fund | |||||||||||||||
Year Ended July 31, 2021 | Year Ended July 31, 2020 | Year Ended July 31, 2021 | Year Ended July 31, 2020 | |||||||||||||
$ | 6,686,591 | $ | 7,235,891 | $ | 1,277,256 | $ | 2,501,812 | |||||||||
3,913,051 | 1,033,047 | 652,529 | 1,898,942 | |||||||||||||
(2,641,480 | ) | 7,328,623 | (552,234 | ) | (583,889 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
7,958,162 | 15,597,561 | 1,377,551 | 3,816,865 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
(7,562,093 | ) | (6,816,119 | ) | (3,000,712 | ) | (2,608,571 | ) | |||||||||
(467,537 | ) | (420,280 | ) | (285,958 | ) | (126,907 | ) | |||||||||
n/a | n/a | n/a | n/a | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
(8,029,630 | ) | (7,236,399 | ) | (3,286,670 | ) | (2,735,478 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
140,675,800 | 150,697,807 | 1,513,167 | 4,238,557 | |||||||||||||
2,693,507 | 2,152,221 | 1,345,915 | 639,131 | |||||||||||||
(91,563,625 | ) | (75,899,277 | ) | (17,811,310 | ) | (105,843,582 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
| 51,805,682 | 76,950,751 | (14,952,228 | ) | (100,965,894 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
12,556,182 | 11,294,065 | 6,199,999 | 326,068 | |||||||||||||
458,845 | 411,230 | 284,714 | 109,020 | |||||||||||||
(10,895,962 | ) | (10,306,698 | ) | (6,251,678 | ) | (2,051,724 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
| 2,119,065 | 1,398,597 | 233,035 | (1,616,636 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
n/a | n/a | n/a | n/a | |||||||||||||
n/a | n/a | n/a | n/a | |||||||||||||
n/a | n/a | n/a | n/a | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
| n/a | n/a | n/a | n/a | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
| 53,924,747 | 78,349,348 | (14,719,193 | ) | (102,582,530 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
53,853,279 | 86,710,510 | (16,628,312 | ) | (101,501,143 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
430,392,570 | 343,682,060 | 60,015,017 | 161,516,160 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 484,245,849 | $ | 430,392,570 | $ | 43,386,705 | $ | 60,015,017 | |||||||||
|
|
|
|
|
|
|
| |||||||||
13,406,520 | 14,667,017 | 143,631 | 402,897 | |||||||||||||
256,776 | 208,486 | 130,793 | 60,856 | |||||||||||||
(8,723,315 | ) | (7,368,009 | ) | (1,718,532 | ) | (10,024,880 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
4,939,981 | 7,507,494 | (1,444,108 | ) | (9,561,127 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
1,195,247 | 1,099,000 | 583,169 | 31,047 | |||||||||||||
43,729 | 39,819 | 27,664 | 10,376 | |||||||||||||
(1,037,809 | ) | (999,666 | ) | (588,208 | ) | (194,614 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
201,167 | 139,153 | 22,625 | (153,191 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
n/a | n/a | n/a | n/a | |||||||||||||
n/a | n/a | n/a | n/a | |||||||||||||
n/a | n/a | n/a | n/a | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
n/a | n/a | n/a | n/a | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
5,141,148 | 7,646,647 | (1,421,483 | ) | (9,714,318 | ) | |||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
51
FROST FAMILY OF FUNDS | F R O S T F U N D S |
FINANCIAL HIGHLIGHTS |
For a Share Outstanding Throughout Each Year
For the Years Ended July 31,
Net Asset Value, Beginning of Year | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gains (Losses) on Investments | Total From Operations | Dividends From Net Investment Income | Distributions From Realized Gains | Total Dividends & Distributions | Net Asset Value, End of Year | Total Return† | Net Assets End of Year (000) | Ratio of Expenses to Average Net Assets | Expenses to Average Net Assets (Excluding Waivers and Fees Paid Indirectly) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||||||||
Growth Equity Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2021 | $ | 15.95 | $ | (0.01 | ) | $ | 4.96 | $ | 4.95 | $ | (0.01 | ) | $ | (0.61 | ) | $ | (0.62 | ) | $ | 20.28 | 31.83 | % | $ | 389,166 | 0.63 | % | 0.63 | % | (0.06 | )% | 17 | % | ||||||||||||||||||||||||
2020 | 13.82 | 0.03 | 3.53 | 3.56 | (0.04 | ) | (1.39 | ) | (1.43 | ) | 15.95 | 27.91 | 339,542 | 0.64 | 0.64 | 0.20 | 17 | |||||||||||||||||||||||||||||||||||||||
2019 | 14.49 | 0.05 | 1.09 | 1.14 | (0.04 | ) | (1.77 | ) | (1.81 | ) | 13.82 | 10.34 | 290,773 | 0.63 | 0.63 | 0.34 | 25 | |||||||||||||||||||||||||||||||||||||||
2018 | 14.82 | 0.04 | 3.18 | 3.22 | (0.03 | ) | (3.52 | ) | (3.55 | ) | 14.49 | 25.05 | 272,509 | 0.65 | 0.65 | 0.26 | 15 | |||||||||||||||||||||||||||||||||||||||
2017 | 13.61 | 0.04 | 2.51 | 2.55 | (0.02 | ) | (1.32 | ) | (1.34 | ) | 14.82 | 20.54 | 251,675 | 0.79 | 0.79 | 0.27 | 16 | |||||||||||||||||||||||||||||||||||||||
Investor Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2021 | $ | 15.68 | $ | (0.05 | ) | $ | 4.87 | $ | 4.82 | $ | — | $ | (0.61 | ) | $ | (0.61 | ) | $ | 19.89 | 31.52 | % | $ | 69,343 | 0.88 | % | 0.88 | % | (0.31 | )% | 17 | % | |||||||||||||||||||||||||
2020 | 13.61 | (0.01 | ) | 3.48 | 3.47 | (0.01 | ) | (1.39 | ) | (1.40 | ) | 15.68 | 27.62 | 56,812 | 0.89 | 0.89 | (0.05 | ) | 17 | |||||||||||||||||||||||||||||||||||||
2019 | 14.30 | 0.01 | 1.08 | 1.09 | (0.01 | ) | (1.77 | ) | (1.78 | ) | 13.61 | 10.05 | 47,111 | 0.88 | 0.88 | 0.09 | 25 | |||||||||||||||||||||||||||||||||||||||
2018 | 14.70 | — | 3.15 | 3.15 | (0.03 | ) | (3.52 | ) | (3.55 | ) | 14.30 | 24.72 | 46,266 | 0.90 | 0.90 | 0.01 | 15 | |||||||||||||||||||||||||||||||||||||||
2017 | 13.51 | 0.01 | 2.50 | 2.51 | — | (1.32 | ) | (1.32 | ) | 14.70 | 20.33 | 40,287 | 1.04 | 1.04 | 0.04 | 16 | ||||||||||||||||||||||||||||||||||||||||
Total Return Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2021 | $ | 10.07 | $ | 0.30 | $ | 0.38 | $ | 0.68 | $ | (0.35 | ) | $ | — | $ | (0.35 | ) | $ | 10.40 | 6.85 | % | $ | 2,741,353 | 0.46 | % | 0.46 | % | 2.93 | % | 38 | % | ||||||||||||||||||||||||||
2020 | 10.42 | 0.38 | (0.32 | ) | 0.06 | (0.41 | ) | — | (0.41 | ) | 10.07 | 0.60 | 2,834,690 | 0.47 | 0.47 | 3.74 | 48 | |||||||||||||||||||||||||||||||||||||||
2019 | 10.28 | 0.39 | 0.13 | 0.52 | (0.38 | ) | — | (0.38 | ) | 10.42 | 5.19 | 3,191,392 | 0.47 | 0.48 | 3.77 | 40 | ||||||||||||||||||||||||||||||||||||||||
2018 | 10.50 | 0.37 | (0.20 | ) | 0.17 | (0.37 | ) | (0.02 | ) | (0.39 | ) | 10.28 | 1.60 | 2,349,388 | 0.48 | 0.48 | 3.60 | 15 | ||||||||||||||||||||||||||||||||||||||
2017 | 10.52 | 0.39 | (0.02 | ) | 0.37 | (0.38 | ) | (0.01 | ) | (0.39 | ) | 10.50 | 3.63 | 1,918,126 | 0.51 | 0.51 | 3.68 | 24 | ||||||||||||||||||||||||||||||||||||||
Investor Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2021 | $ | 10.07 | $ | 0.27 | $ | 0.38 | $ | 0.65 | $ | (0.32 | ) | $ | — | $ | (0.32 | ) | $ | 10.40 | 6.59 | % | $ | 368,782 | 0.71 | % | 0.71 | % | 2.67 | % | 38 | % | ||||||||||||||||||||||||||
2020 | 10.41 | 0.35 | (0.31 | ) | 0.04 | (0.38 | ) | — | (0.38 | ) | 10.07 | 0.44 | 429,079 | 0.72 | 0.72 | 3.47 | 48 | |||||||||||||||||||||||||||||||||||||||
2019 | 10.28 | 0.36 | 0.13 | 0.49 | (0.36 | ) | — | (0.36 | ) | 10.41 | 4.83 | 520,291 | 0.72 | 0.73 | 3.51 | 40 | ||||||||||||||||||||||||||||||||||||||||
2018 | 10.50 | 0.35 | (0.21 | ) | 0.14 | (0.34 | ) | (0.02 | ) | (0.36 | ) | 10.28 | 1.35 | 374,298 | 0.73 | 0.73 | 3.35 | 15 | ||||||||||||||||||||||||||||||||||||||
2017 | 10.52 | 0.36 | (0.02 | ) | 0.34 | (0.35 | ) | (0.01 | ) | (0.36 | ) | 10.50 | 3.37 | 324,772 | 0.76 | 0.76 | 3.43 | 24 | ||||||||||||||||||||||||||||||||||||||
A Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2021 | $ | 10.06 | $ | 0.28 | $ | 0.39 | $ | 0.67 | $ | (0.33 | ) | $ | — | $ | (0.33 | ) | $ | 10.40 | 6.71 | % | $ | 6,894 | 0.72 | % | 0.72 | % | 2.69 | % | 38 | % | ||||||||||||||||||||||||||
2020 | 10.41 | 0.35 | (0.32 | ) | 0.03 | (0.38 | ) | — | (0.38 | ) | 10.06 | 0.34 | 1,788 | 0.72 | 0.72 | 3.47 | 48 | |||||||||||||||||||||||||||||||||||||||
2019 | 10.28 | 0.36 | 0.11 | 0.47 | (0.34 | ) | — | (0.34 | ) | 10.41 | 4.69 | 998 | 0.82 | 0.83 | 3.49 | 40 | ||||||||||||||||||||||||||||||||||||||||
2018(a) | 10.29 | 0.05 | (0.01 | ) | 0.04 | (0.05 | ) | — | (0.05 | ) | 10.28 | 0.44 | ** | 193 | 0.88 | * | 0.88 | * | 3.05 | * | 15 | ** |
* | Annualized. |
** | Not annualized. |
† | Total return is for the period indicated and has not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(a) | Commenced operations on June 1, 2018. |
(1) | Per share data calculated using the average shares method. |
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
52
FROST FAMILY OF FUNDS | F R O S T F U N D S |
FINANCIAL HIGHLIGHTS |
For a Share Outstanding Throughout Each Year
For the Years Ended July 31,
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gains (Losses) on Investments | Total From Operations | Dividends From Net Investment Income | Distributions From Realized Gains | Total Dividends & Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period (000) | Ratio of Expenses to Average Net Assets | Expenses to Average Net Assets (Excluding Waivers and Fees Paid Indirectly) | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||||||||
Credit Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2021 | $ | 9.47 | $ | 0.37 | $ | 0.67 | 1.04 | $ | (0.39 | ) | $ | — | (0.39 | ) | $ | 10.12 | 11.12 | % | $ | 166,805 | 0.71 | % | 0.71 | % | 3.78 | % | 21 | % | ||||||||||||||||||||||||||||
2020 | 9.72 | 0.41 | (0.25 | ) | 0.16 | (0.41 | ) | — | (0.41 | ) | 9.47 | 1.79 | 194,182 | 0.71 | 0.71 | 4.35 | 35 | |||||||||||||||||||||||||||||||||||||||
2019 | 9.78 | 0.40 | 0.06 | 0.46 | (0.49 | ) | (0.03 | ) | (0.52 | ) | 9.72 | 4.88 | 199,800 | 0.70 | 0.70 | 4.18 | 19 | |||||||||||||||||||||||||||||||||||||||
2018 | 9.99 | 0.56 | (0.17 | ) | 0.39 | (0.47 | ) | (0.13 | ) | (0.60 | ) | 9.78 | 3.96 | 197,014 | 0.71 | 0.71 | 5.67 | 33 | ||||||||||||||||||||||||||||||||||||||
2017 | 9.63 | 0.55 | 0.30 | 0.85 | (0.49 | ) | — | (0.49 | ) | 9.99 | 9.08 | 163,210 | 0.81 | 0.81 | 5.57 | 27 | ||||||||||||||||||||||||||||||||||||||||
Investor Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2021 | $ | 9.46 | $ | 0.35 | $ | 0.65 | 1.00 | $ | (0.36 | ) | $ | — | (0.36 | ) | $ | 10.10 | 10.74 | % | $ | 9,333 | 0.96 | % | 0.96 | % | 3.52 | % | 21 | % | ||||||||||||||||||||||||||||
2020 | 9.71 | 0.39 | (0.25 | ) | 0.14 | (0.39 | ) | — | (0.39 | ) | 9.46 | 1.53 | 10,815 | 0.96 | 0.96 | 4.11 | 35 | |||||||||||||||||||||||||||||||||||||||
2019 | 9.77 | 0.38 | 0.05 | 0.43 | (0.46 | ) | (0.03 | ) | (0.49 | ) | 9.71 | 4.62 | 13,366 | 0.95 | 0.95 | 3.93 | 19 | |||||||||||||||||||||||||||||||||||||||
2018 | 9.98 | 0.54 | (0.18 | ) | 0.36 | (0.44 | ) | (0.13 | ) | (0.57 | ) | 9.77 | 3.71 | 13,779 | 0.96 | 0.96 | 5.41 | 33 | ||||||||||||||||||||||||||||||||||||||
2017 | 9.62 | 0.52 | 0.31 | 0.83 | (0.47 | ) | — | (0.47 | ) | 9.98 | 8.82 | 13,317 | 1.06 | 1.06 | 5.28 | 27 | ||||||||||||||||||||||||||||||||||||||||
A Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2021 | $ | 9.45 | $ | 0.35 | $ | 0.66 | 1.01 | $ | (0.36 | ) | $ | — | (0.36 | ) | $ | 10.10 | 10.87 | % | $ | 1,022 | 0.96 | % | 0.96 | % | 3.51 | % | 21 | % | ||||||||||||||||||||||||||||
2020 | 9.71 | 0.38 | (0.25 | ) | 0.13 | (0.39 | ) | — | (0.39 | ) | 9.45 | 1.44 | 638 | 0.96 | 0.96 | 4.06 | 35 | |||||||||||||||||||||||||||||||||||||||
2019 | 9.76 | 0.37 | 0.06 | 0.43 | (0.45 | ) | (0.03 | ) | (0.48 | ) | 9.71 | 4.60 | 390 | 1.05 | 1.05 | 3.83 | 19 | |||||||||||||||||||||||||||||||||||||||
2018(a) | 9.80 | 0.08 | (0.04 | ) | 0.04 | (0.08 | ) | — | (0.08 | ) | 9.76 | 0.36 | 160 | 1.11 | * | 1.11 | * | 4.68 | * | 33 | ** | |||||||||||||||||||||||||||||||||||
Low Duration Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2021 | $ | 10.47 | $ | 0.16 | $ | 0.03 | 0.19 | $ | (0.17 | ) | $ | (0.02 | ) | (0.19 | ) | $ | 10.47 | 1.82 | % | $ | 454,723 | 0.43 | % | 0.43 | % | 1.50 | % | 49 | % | |||||||||||||||||||||||||||
2020 | 10.28 | 0.20 | 0.19 | 0.39 | (0.20 | ) | — | (0.20 | ) | 10.47 | 3.86 | 402,977 | 0.44 | 0.44 | 1.96 | 71 | ||||||||||||||||||||||||||||||||||||||||
2019 | 10.14 | 0.22 | 0.13 | 0.35 | (0.21 | ) | — | (0.21 | ) | 10.28 | 3.52 | 318,215 | 0.43 | 0.43 | 2.16 | 23 | ||||||||||||||||||||||||||||||||||||||||
2018 | 10.25 | 0.19 | (0.11 | ) | 0.08 | (0.19 | )^ | — | (0.19 | ) | 10.14 | 0.80 | 280,519 | 0.45 | 0.45 | 1.83 | 20 | |||||||||||||||||||||||||||||||||||||||
2017 | 10.28 | 0.18 | (0.03 | ) | 0.15 | (0.18 | ) | — | (0.18 | ) | 10.25 | 1.48 | 244,575 | 0.46 | 0.46 | 1.80 | 26 | |||||||||||||||||||||||||||||||||||||||
Investor Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2021 | $ | 10.48 | $ | 0.13 | $ | 0.03 | 0.16 | $ | (0.14 | ) | $ | (0.02 | ) | (0.16 | ) | $ | 10.48 | 1.56 | % | $ | 29,523 | 0.68 | % | 0.68 | % | 1.25 | % | 49 | % | |||||||||||||||||||||||||||
2020 | 10.28 | 0.18 | 0.20 | 0.38 | (0.18 | ) | — | (0.18 | ) | 10.48 | 3.70 | 27,415 | 0.69 | 0.69 | 1.72 | 71 | ||||||||||||||||||||||||||||||||||||||||
2019 | 10.14 | 0.19 | 0.14 | 0.33 | (0.19 | ) | — | (0.19 | ) | 10.28 | 3.26 | 25,467 | 0.68 | 0.68 | 1.90 | 23 | ||||||||||||||||||||||||||||||||||||||||
2018 | 10.25 | 0.16 | (0.10 | ) | 0.06 | (0.17 | )^ | — | (0.17 | ) | 10.14 | 0.54 | 28,236 | 0.70 | 0.70 | 1.58 | 20 | |||||||||||||||||||||||||||||||||||||||
2017 | 10.28 | 0.16 | (0.03 | ) | 0.13 | (0.16 | ) | — | (0.16 | ) | 10.25 | 1.24 | 28,317 | 0.71 | 0.71 | 1.55 | 26 |
* | Annualized. |
** | Not annualized. |
† | Total return is for the period indicated and has not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
^ | Includes a return of capital of less than $0.01 per share. |
(a) | Commenced operations on June 1, 2018. |
(1) | Per share data calculated using the average shares method. |
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
53
FROST FAMILY OF FUNDS | F R O S T F U N D S |
FINANCIAL HIGHLIGHTS |
For a Share Outstanding Throughout Each Year
For the Years Ended July 31,
Net Asset Value, Beginning of Year | Net Investment Income(1) | Net Realized and Unrealized Gains (Losses) on Investments | Total From Operations | Dividends From Net Investment Income | Distributions From Realized Gains | Total Dividends & Distributions | Net Asset Value, End of Year | Total Return† | Net Assets End of Year (000) | Ratio of Expenses to Average Net Assets | Expenses to Average Net Assets (Excluding Waivers and Fees Paid Indirectly) | Ratio of Net Investment Income to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||||||||
Municipal Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2021 | $ | 10.61 | $ | 0.26 | $ | 0.02 | $ | 0.28 | $ | (0.26 | ) | $ | (0.39 | ) | $ | (0.65 | ) | $ | 10.24 | 2.77 | %†† | $ | 38,590 | 0.56 | % | 0.59 | % | 2.49 | % | 0 | % | |||||||||||||||||||||||||
2020 | 10.51 | 0.23 | 0.14 | 0.37 | (0.27 | ) | — | ^^ | (0.27 | ) | 10.61 | 3.56 | †† | 55,286 | 0.46 | 0.56 | 2.19 | 19 | ||||||||||||||||||||||||||||||||||||||
2019 | 10.20 | 0.24 | 0.31 | 0.55 | (0.24 | ) | — | ^^ | (0.24 | ) | 10.51 | 5.49 | †† | 155,224 | 0.41 | 0.51 | 2.31 | 9 | ||||||||||||||||||||||||||||||||||||||
2018 | 10.46 | 0.24 | (0.21 | ) | 0.03 | (0.25 | ) | (0.04 | ) | (0.29 | ) | 10.20 | 0.26 | †† | 167,105 | 0.43 | 0.53 | 2.35 | 3 | |||||||||||||||||||||||||||||||||||||
2017 | 10.70 | 0.24 | (0.24 | ) | — | (0.24 | ) | — | (0.24 | ) | 10.46 | 0.00 | †† | 259,606 | 0.42 | 0.52 | 2.28 | 21 | ||||||||||||||||||||||||||||||||||||||
Investor Class Shares |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2021 | $ | 10.61 | $ | 0.23 | $ | 0.03 | $ | 0.26 | $ | (0.23 | ) | $ | (0.39 | ) | $ | (0.62 | ) | $ | 10.25 | 2.61 | %†† | $ | 4,797 | 0.81 | % | 0.84 | % | 2.23 | % | 0 | % | |||||||||||||||||||||||||
2020 | 10.51 | 0.21 | 0.13 | 0.34 | (0.24 | ) | — | ^^ | (0.24 | ) | 10.61 | 3.30 | †† | 4,729 | 0.73 | 0.83 | 1.96 | 19 | ||||||||||||||||||||||||||||||||||||||
2019 | 10.20 | 0.21 | 0.31 | 0.52 | (0.21 | ) | — | ^^ | (0.21 | ) | 10.51 | 5.21 | †† | 6,292 | 0.66 | 0.76 | 2.07 | 9 | ||||||||||||||||||||||||||||||||||||||
2018 | 10.46 | 0.22 | (0.22 | ) | — | (0.22 | ) | (0.04 | ) | (0.26 | ) | 10.20 | 0.00 | †† | 4,071 | 0.68 | 0.78 | 2.12 | 3 | |||||||||||||||||||||||||||||||||||||
2017 | 10.70 | 0.21 | (0.24 | ) | (0.03 | ) | (0.21 | ) | — | (0.21 | ) | 10.46 | (0.25 | )†† | 5,440 | 0.67 | 0.77 | 2.03 | 21 |
† | Total return is for the period indicated and has not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
†† | Total return would have been lower had certain expenses not been waived and assumed by the Adviser during the period. |
^^ | Amount is less than $0.005 per share. |
(1) | Per share data calculated using the average shares method. |
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
54
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
NOTES TO FINANCIAL STATEMENTS |
1. Organization:
The Frost Family of Funds (the “Trust”) is an open-end investment management company established under Delaware law as a Delaware statutory trust under a Declaration of Trust dated December 11, 2018. The Frost Family of Funds include the Frost Growth Equity Fund (the “Growth Equity Fund”), Frost Total Return Bond Fund (the “Total Return Bond Fund”), Frost Credit Fund (the “Credit Fund”), Frost Low Duration Bond Fund (the “Low Duration Bond Fund”), and Frost Municipal Bond Fund (the “Municipal Bond Fund”) (each a “Fund” and, collectively, the “Funds”). With the exception of the Growth Equity Fund, each Fund is classified as a “diversified” investment company under the 1940 Act. Effective May 17, 2021, the Growth Equity Fund was reclassified from a “diversified” to a “non-diversified” investment company under the 1940 Act. The Growth Equity Fund seeks to achieve long-term capital appreciation. The Total Return Bond Fund, Credit Fund and Low Duration Bond Fund seek to maximize total return, consisting of income and capital appreciation, consistent with the preservation of principal. The Municipal Bond Fund seeks to provide a consistent level of current income exempt from federal income tax with a secondary emphasis on maximizing total return through capital appreciation. The Funds may change their investment objective without shareholder approval. The assets of each Fund of the Trust are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. Certain of the Funds currently offer Institutional Class Shares, Investor Class Shares and A Class Shares.
Each Fund is a successor to a corresponding predecessor mutual fund of the same name that was a series of The Advisors’ Inner Circle Fund II (each, a “Predecessor Fund” and, collectively, the “Predecessor Funds”). Each Predecessor Fund was managed by Frost Investment Advisors, LLC (the “Adviser” or “Frost”) using substantially the same investment objectives, strategies, policies and restrictions as those used by its corresponding Fund. Each Predecessor Fund was reorganized into its corresponding Fund on June 24, 2019 in connection with each Fund’s commencement of operations (each, a “Reorganization”). Each Predecessor Fund is treated as the survivor of the relevant Reorganization for accounting and performance reporting purposes. Accordingly, all performance and other information shown for the Funds for periods prior to June 24, 2019 is that of the Predecessor Funds.
2. Significant Accounting Policies:
The following are significant accounting policies, which are consistently followed in preparation of the financial statements of the Funds. The Funds are investment companies that apply the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standards Board (“FASB”).
Use of Estimates — The preparation of financial statements, in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.
Security Valuation — Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ), including securities traded over the counter, are valued at the last quoted sale price on an exchange or market (foreign or domestic) on which they are traded on the valuation date (or at approximately 4:00 p.m. Eastern Time if such exchange is normally open at that time), or, if there is no such reported sale on the valuation date, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. Debt securities are priced based upon valuations provided by independent, third-party pricing agents, if avail- able. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Such methodologies generally consider such factors as security prices, yields, maturities, call features, ratings and developments relating to specific securities in arriving at valuations. On the first day a new debt security purchase is recorded, if a price is not avail- able on the automated pricing feeds from the primary and secondary pricing vendors nor is it available from an independent broker, the security may be valued at its purchase price. Each day thereafter, the debt security will be valued according to the Trust’s fair value procedures until an independent source can be secured. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value provided that it is determined the amortized cost continues to approximate fair value. Should existing credit, liquidity or interest rate conditions in the relevant markets and issuer specific circumstances suggest that amortized cost does not approximate fair value, then the amortized cost method may not be used. The prices for foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates.
Exchange-traded registered investment companies are valued at the closing price from the primary exchange.
55
FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
Open-end investment companies held in the Funds’ portfolios are valued at the published net asset value.
Securities for which market prices are not “readily available” are valued in accordance with fair value procedures established by the Funds’ Board of Trustees (the “Board”). The Funds’ fair value procedures are implemented through a fair value pricing committee (the “Committee”) designated by the Board. Some of the more common reasons that may necessitate that a security be valued using fair value procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; the security has not been traded for an extended period of time; the security’s primary pricing source is not able or willing to provide a price; or trading of the security is subject to local government-imposed restrictions. When a security is valued in accordance with the fair value procedures, the Committee will determine its value after taking into consideration relevant information reasonably available to the Committee.
For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time a Fund calculates net asset value if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last close and the time that a Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the Adviser becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which a Fund calculates net asset value, it may request that a Committee meeting be called. In addition, SEI Investments Global Funds Services (the “Administrator”), a wholly owned subsidiary of SEI Investments Company, monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time a Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the Administrator, the Administrator notifies the Adviser if a Fund is holding a relevant security that such limits have been exceeded. In such event, the Adviser makes the determination whether a Committee meeting should be called based on the information provided.
In accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP, the Funds dis- close fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).
The three levels of the fair value hierarchy are described below:
• | Level 1 — Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Funds have the ability to access at the measurement date; |
• | Level 2 — Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and |
• | Level 3 — Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity). |
Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.
For the year ended July 31, 2021, there have been no changes to the Funds’ fair value methodologies.
Federal Income Taxes — It is each Fund’s intention to continue to qualify as a regulated investment company under Sub- chapter M of the Internal Revenue Code and to distribute substantially all of its taxable income. Accordingly, no provision for Federal income taxes has been made in the financial statements.
The Funds evaluate tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether it is “more-likely-than-not” (i.e., greater than 50-percent) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. Tax positions not deemed to meet the more- likely-than-not threshold are recorded as a tax benefit or expense in the current year. The Funds did not record any tax provision in the current period. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, examination by tax authorities (i.e., the last 3 tax year ends, as applicable), on-going analysis of and changes to tax laws, regulations and interpretations thereof.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
As of and during the year ended July 31, 2021, the Funds did not have liabilities for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statement of Operations. During the year ended July 31, 2021, the Funds did not incur any interest or penalties.
The Funds may also be subject to taxes imposed by governments of countries in which they invest. Such taxes are generally based on either income or gains earned or repatriated. The Funds accrue and apply such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the Funds may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the Funds’ books. In many cases, however, the Funds may not receive such amounts for an extended period of time, depending on the country of investment. Upon the Fund’s receipt of reclaims, the reclaims are recorded as a reduction to foreign taxes withheld.
Security Transactions and Investment Income — Security transactions are accounted for on trade date for financial reporting purposes. Costs used in determining realized gains and losses on the sales of investment securities are based on the specific identification method. Dividend income is recognized on the ex-dividend date, interest income is recognized on an accrual basis and includes the amortization of premiums and the accretion of discount. Realized gains (losses) on paydowns of mortgage-backed and asset-backed securities are recorded as an adjustment to interest income. Litigation income received during the year is recorded as realized gains by the Fund when such information becomes known. Gains of this type are infrequent to the Fund and are not expected to reoccur on a consistent basis.
Repurchase Agreements — In connection with transactions involving repurchase agreements, a third party custodian bank takes possession of the underlying securities (“collateral”), the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. Such collateral will be cash, debt securities issued or guaranteed by the U.S. Government, securities that at the time the repurchase agreement is entered into are rated in the highest category by a nationally recognized statistical rating organization (“NRSRO”) or unrated category by an NRSRO, as determined by the Adviser. In the event of default on the obligation to repurchase, the Funds have the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. In the event of default or bankruptcy by the counterparty to the agreement, realization and/or retention of the collateral or proceeds may be subject to legal proceedings.
Futures Contracts — To the extent consistent with its investment objective and strategies, the Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. The Fund’s investments in futures contracts are designed to enable the Fund to more closely approximate the performance of its benchmark indices. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked-to-market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When contracts are closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Finally, futures contracts involve the risk that a Fund could lose more than the original margin deposit required to initiate a futures transaction.
For the year ended July 31, 2021, the Funds did not hold any Futures Contracts.
Expenses — Expenses of the Trust that can be directly attributed to a particular fund are borne by that fund. Expenses which cannot be directly attributed to a fund are apportioned among the funds of the Trust based on the number of funds and/or relative net assets.
Classes — Class specific expenses are borne by the specific class of shares. Income, realized and unrealized gain (loss), and non-class specific expenses are allocated to the respective class on the basis of relative daily net assets.
Dividends and Distributions to Shareholders — The Growth Equity Fund distributes its net investment income and makes distributions of its net realized capital gains, if any, at least annually. The Total Return Bond Fund, Credit Fund, Low Duration Bond Fund, and Municipal Bond Fund each distribute their net investment income monthly, as available, and make distributions of their net realized capital gains, if any, at least annually.
Interfund Lending — The SEC has granted an exemption that permits the Funds to participate in an interfund lending program (the “Interfund Lending Program”) whereby the Funds may lend money to, and borrow money from, each other for temporary or emergency purposes, subject to certain terms and conditions. Participation in the Interfund Lending Program is voluntary for both borrowing and lending Funds. For the year ended July 31, 2021, the Funds did not participate in the Interfund Lending Program.
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Line of Credit — The Funds had entered into an agreement which enabled them to participate in a $50 million unsecured committed revolving line of credit on a first come, first serve basis, with MUFG Union Bank, N.A., the Funds’ former custodian. This line of credit was terminated on November 25, 2020.
3. Transactions with Affiliates:
Certain officers and a trustee of the Trust are also employees of the Administrator, and/or SEI Investments Distribution Co. (the “Distributor”). Such officers and the trustee are paid no fees by the Trust for serving as officers and trustee of the Trust. A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are the employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust’s advisers and service providers as required by SEC regulations. The CCO’s services have been approved by and are reviewed by the Board.
4. Administration, Distribution, Shareholder Servicing, Transfer Agent and Custodian Agreements:
The Funds and the Administrator are parties to an Administration Agreement under which the Administrator provides administrative services to the Fund. For these services, the Administrator is paid an asset-based fee, which will vary depending on the number of share classes and the average daily net assets of the Funds. For the year ended July 31, 2021, the Funds were charged as follows for these services: $306,025 in the Growth Equity Fund, $2,282,504 in the Total Return Bond Fund, $136,911 in the Credit Fund, $328,754 in the Low Duration Bond Fund, and $37,662 in the Municipal Bond Fund.
The Funds have adopted a Distribution Plan (the “Plan”) for the Investor Class Shares and A Class Shares. Under the Plan, the Distributor, or third parties that enter into agreements with the Distributor, may receive up to 0.25% of each Fund’s average net assets attributable to the Investor Class Shares and A Class Shares as compensation for distribution services.
The Funds have adopted a shareholder servicing plan that provides that the Funds may pay financial intermediaries for share- holder services in an annual amount not to exceed 0.15% based on the average daily net assets of the Funds’ A Class Shares. The services for which financial intermediaries are compensated may include record-keeping, transaction processing for share- holders’ accounts and other shareholder services. For the year ended July 31, 2021, there were no fees charged to the Funds.
DST Systems, Inc. serves as the transfer agent and dividend disbursing agent for the Funds under a transfer agency agreement with the Trust. The Funds may earn cash management credits which can be used to offset transfer agent expenses. These credit amounts are listed as “Fees Paid Indirectly” on the Statements of Operations.
Brown Brothers Harriman & Co. serves as Custodian for the Funds. The Custodian plays no role in determining the investment policies of the Funds or which securities are to be purchased or sold by the Funds.
5. Investment Advisory Agreement:
The Adviser serves as the investment adviser to the Funds. The Adviser is a wholly owned non-banking subsidiary of Cullen/ Frost Bankers, Inc. (“Frost Bank”). For its services, the Adviser is entitled to a fee, which is calculated daily and paid monthly, at the following annual rates based on the average daily net assets of each Fund. The Adviser has contractually agreed to reduce its fees and/or reimburse expenses for certain Funds to the extent necessary to keep total annual Fund operating expenses from exceeding certain levels as set forth below until June 24, 2022 (the “Contractual Expense Limitation”) for the Growth Equity Fund, Total Return Bond Fund, Credit Fund and Low Duration Bond Fund. The Adviser is entitled to the same fee for its services to each Predecessor Fund as it is for each Predecessor Fund’s corresponding Fund. In addition, the Adviser agreed to the same Contractual Expense Limitation and Voluntary Expense Limitation, as applicable, for each Predecessor Fund as with its corresponding Fund.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
The table below shows the rate of each Fund’s investment advisory fee and the Adviser’s Contractual Expense Limitation, if any, for each Fund:
Fund | Advisory Fee Before Contractual Fee Reduction | Institutional Contractual Expense | Investor Class Shares Contractual Expense | A Class Shares Contractual Expense Limitation** | ||||
Growth Equity Fund† | 0.50% | 1.25% | 1.50% | N/A | ||||
Total Return Bond Fund | 0.35% | 0.95% | 1.20% | 1.35% | ||||
Credit Fund†† | 0.50% | 1.00% | 1.25% | 1.40% | ||||
Low Duration Bond Fund | 0.30% | 0.95% | 1.20% | N/A | ||||
Municipal Bond Fund††† | 0.25% | N/A | N/A | N/A |
† | Prior to September 1, 2017, the investment advisory fee was 0.65%. |
†† | Prior to September 1, 2017, the investment advisory fee was 0.60%. |
††† | Prior to November 28, 2020, the investment advisory fee was 0.35%. |
* | The Rate includes the distribution amount of 0.25%. |
** | The Rate includes the distribution amount of 0.25% and the servicing amount of 0.15%. |
Prior to November 28, 2020, the Adviser had contractually agreed to waive the advisory fee for the Municipal Bond Fund (which was 0.35% at the time) by 0.01% (the “contractual fee reduction”) and had voluntarily agreed to reduce the advisory fee by an additional 0.09% (the “voluntary fee reduction”).
In addition, the Adviser has voluntarily agreed to reduce its fees and/or reimburse expenses of the Frost Municipal Bond Fund to the extent necessary to keep total annual Fund operating expenses (not including excluded expenses) for Institutional Class Shares and Investor Class Shares from exceeding 1.05% (the “voluntary expense limitation”). The Adviser intends to continue this voluntary expense limitation until further notice, but may discontinue all or part of these fee reductions or expense reimbursements at any time.
If at any point it becomes unnecessary for the Adviser to make Expense Limitation reimbursements, the Adviser may retain the difference between the “Total Annual Fund Operating Expenses” and the aforementioned Expense Limitations to recapture all or a portion of its prior Expense Limitation reimbursements made during the preceding three year period up to the expense cap in place at the time the expenses were waived. The Adviser, however, will not be permitted to recapture any amount that is attributable to its Voluntary Fee Reduction. During the year ended July 31, 2021, the Adviser did not recapture previously waived/reimbursed fees for the Funds.
6. Investment Transactions:
The cost of security purchases and the proceeds from the sales and maturities of securities, other than short-term investments, for the year ended July 31, 2021, were as follows:
U.S. Government | Other | Total | ||||||||||
Growth Equity Fund | ||||||||||||
Purchases | $ | — | $ | 69,536,213 | $ | 69,536,213 | ||||||
Sales | — | 118,125,747 | 118,125,747 | |||||||||
Total Return Bond Fund | ||||||||||||
Purchases | 518,920,700 | 559,934,407 | 1,078,855,107 | |||||||||
Sales | 331,274,307 | 1,081,291,680 | 1,412,565,987 | |||||||||
Credit Fund | ||||||||||||
Purchases | — | 33,553,779 | 33,553,779 | |||||||||
Sales | — | 63,459,244 | 63,459,244 |
U.S. Government | Other | Total | ||||||||||
Low Duration Bond Fund | ||||||||||||
Purchases | $ | 32,808,555 | $ | 252,833,002 | $ | 285,641,557 | ||||||
Sales | 4,012,149 | 204,003,007 | 208,015,156 | |||||||||
Municipal Bond Fund | ||||||||||||
Purchases | — | — | — | |||||||||
Sales | — | 18,961,923 | 18,961,923 |
The Funds may purchase or sell investment securities in transactions with affiliated entities under procedures adopted by the Board, pursuant to Rule 17a-7 of the 1940 Act. These transactions are effected at market rates without incurring broker commissions.
7. Federal Tax Information:
The timing and characterization of certain income and capital gains distributions are determined annually in accordance with federal tax regulations which may differ from U.S. generally accepted accounting principles. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. These book/tax differences may be temporary or permanent in nature. The permanent differences primarily
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
consist of reclassification of long term capital gain distribution on REITs, market discount adjustment, amortization adjustment on premium bond sold, gains and losses on paydowns of mortgage and asset-backed securities for tax purposes, net operating loss offset to short term, and distribution reclassification. There were no permanent difference that is credited or charged to Paid-in Capital and Distributable Earnings as of July 31, 2021.
The tax character of dividends and distributions declared during the years ended July 31, 2021, and July 31, 2020, was as follows:
Tax Exempt | Ordinary Income | Long-Term Capital Gains | Return of Capital | Total | ||||||||||||||||
Growth Equity Fund | ||||||||||||||||||||
2021 | $ | — | $ | 380,085 | $ | 14,453,738 | $ | — | $ | 14,833,823 | ||||||||||
2020 | — | 895,116 | 33,440,852 | — | 34,335,968 | |||||||||||||||
Total Return Bond Fund | ||||||||||||||||||||
2021 | — | 105,127,953 | — | — | 105,127,953 | |||||||||||||||
2020 | — | 144,118,880 | — | — | 144,118,880 | |||||||||||||||
Credit Fund | ||||||||||||||||||||
2021 | — | 7,256,313 | — | — | 7,256,313 | |||||||||||||||
2020 | — | 9,171,943 | — | — | 9,171,943 | |||||||||||||||
Low Duration Bond Fund | ||||||||||||||||||||
2021 | — | 7,412,469 | 617,161 | — | 8,029,630 | |||||||||||||||
2020 | — | 7,236,399 | — | — | 7,236,399 | |||||||||||||||
Municipal Bond Fund | ||||||||||||||||||||
2021 | 1,269,060 | 442,879 | 1,574,731 | — | 3,286,670 | |||||||||||||||
2020 | 2,486,538 | 221,093 | 27,847 | — | 2,735,478 |
As of July 31, 2021, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Tax-Exempt Income | Undistributed Long-Term Capital Gain | Capital Loss Carryforwards | Post-October Losses | Late-Year Loss Deferral | Unrealized Appreciation (Depreciation) | Other Temporary Differences | Total Distributable Earnings (Accumulated Losses) | ||||||||||||||||||||||||||||
Growth Equity Fund | $ | 5,186,358 | $ | — | $ | 39,647,469 | $ | — | $ | — | $ | — | $ | 283,876,194 | $ | 6 | $ | 328,710,027 | ||||||||||||||||||
Total Return Bond Fund | 5,566,301 | — | — | (50,159,482 | ) | (51,666,073 | ) | — | 26,435,149 | 8 | (69,824,097 | ) | ||||||||||||||||||||||||
Credit Fund | 28,831 | — | — | (1,159,602 | ) | — | — | 4,380,096 | (3 | ) | 3,249,322 | |||||||||||||||||||||||||
Low Duration Bond Fund | — | — | 2,506,863 | — | — | — | 6,371,490 | 7 | 8,878,360 | |||||||||||||||||||||||||||
Municipal Bond Fund | — | 8,087 | 504,314 | — | — | — | 2,266,414 | (2 | ) | 2,778,813 |
Post-October capital losses represent capital losses realized on investment transactions from November 1, 2020, through July 31, 2021, that, in accordance with Federal income tax regulations, the Funds may elect to defer and treat as having arisen in the following fiscal year.
Deferred late-year losses represent ordinary losses realized on investment transactions from January 1, 2021, through July 31, 2021, and specified losses realized on investment transactions from November 1, 2020, through July 31, 2021, that, in accordance with Federal income tax regulations, the Funds may elect to defer and treat as having arisen in the following fiscal year.
The Funds have capital losses carried forward as follows:
Short-Term Loss | Long-Term Loss | Total | ||||||||||
Total Return Bond Fund | $ | 12,000,223 | $ | 38,159,259 | $ | 50,159,482 | ||||||
Credit Fund | 313,144 | 846,458 | 1,159,602 |
During the year ended July 31, 2021, Low Duration Bond Fund and Credit Fund utilized $566,543 and 290,220 respectively in capital loss carryforwards to offset capital gains.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
The aggregate cost of investments for federal income tax purposes at July 31, 2021, is different from book purposes primarily due to wash sales loss deferrals and the difference due premium amortization on callable securities. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Funds at July 31, 2021, were as follows:
Federal Tax Cost | Appreciated Securities | Depreciated Securities | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Growth Equity Fund | $ | 174,311,774 | $ | 284,889,269 | $ | (1,013,075 | ) | $ | 283,876,194 | |||||||
Total Return Bond Fund | 3,077,619,851 | 157,478,574 | (131,043,425 | ) | 26,435,149 | |||||||||||
Credit Fund | 162,298,535 | 7,252,149 | (2,872,053 | ) | 4,380,096 | |||||||||||
Low Duration Bond Fund | 466,559,499 | 7,007,974 | (636,484 | ) | 6,371,490 | |||||||||||
Municipal Bond Fund | 36,570,068 | 2,266,414 | — | 2,266,414 |
8. Risks:
Asset-Backed and Mortgage-Backed Securities Risk (Total Return Bond Fund, Credit Fund, Low Duration Bond Fund): Payment of principal and interest on asset-backed securities is dependent largely on the cash flows generated by the assets backing the securities, and asset-backed securities may not have the benefit of any security interest in the related assets, which raises the possibility that recoveries on repossessed collateral may not be available to support payments on these securities. Asset-backed securities are also subject to the risk that underlying borrowers will be unable to meet their obligations. To lessen the effect of failures by obligors on underlying assets to make payments, the entity administering the pool of assets may agree to ensure the receipt of payments on the underlying pool occurs in a timely fashion (“liquidity protection”). In addition, asset-backed securities may obtain insurance, such as guarantees, policies or letters of credit obtained by the issuer or sponsor from third parties, for some or all of the assets in the pool (“credit support”). Delinquency or loss more than that anticipated or failure of the credit support could adversely affect the return on an investment in such a security.
In addition, certain asset-backed securities may not have the benefit of any security interest in the related assets, which raises the possibility that recoveries on repossessed collateral may not be available to support payments on these securities. For example, credit card receivables are generally unsecured and the debtors are entitled to the protection of a number of state and federal consumer credit laws, many of which allow debtors to reduce their balances by offsetting certain amounts owed on the credit cards. Most issuers of asset-backed securities backed by automobile receivables permit the servicers of such receivables to retain possession of the underlying obligations. If the servicer were to sell these obligations to another party, there is a risk that the purchaser would acquire an interest superior to that of the holders of the related asset-backed securities. Due to the quantity of vehicles involved and requirements under state laws, asset-backed securities backed by automobile receivables may not have a proper security interest in all of the obligations backing such receivables.
Mortgage-backed securities are affected by, among other things, interest rate changes and the possibility of prepayment of the underlying mortgage loans. Mortgage-backed securities are also subject to the risk that underlying borrowers will be unable to meet their obligations. In addition, a variety of economic, geographic, social and other factors, such as the sale of the under- lying property, refinancing or foreclosure, can cause investors to repay the loans underlying a mortgage-backed security sooner than expected. If the prepayment rates increase, the Fund may have to reinvest its principal at a rate of interest that is lower than the rate on existing mortgage-backed securities.
Collateralized Loan Obligations Risk (Credit Fund, Low Duration Bond Fund, Total Return Bond Fund): Collateralized loan obligations are investment vehicles typically collateralized by a pool of loans, which may include, among others, senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. Collateralized loan obligations are subject to the risks of substantial losses due to actual defaults by borrowers of the loans underlying the collateralized loan obligations, which will be greater during periods of economic or financial stress. Collateralized loan obligations may also lose value due to collateral defaults and disappearance of subordinate tranches, market anticipation of defaults, and investor aversion to collateralized loan obligation securities as a class. The Fund may invest in collateralized loan obligations that hold loans of uncreditworthy borrowers or in subordinate tranches of a collateralized loan obligation, which may absorb losses from underlying borrower defaults before senior tranches. Investments in such collateralized loan obligations present a greater risk of loss. In addition, collateralized loan obligations are subject to interest rate risk and credit risk.
Credit Risk (Total Return Bond Fund, Credit Fund, Low Duration Bond Fund, Municipal Bond Fund): The credit rating or financial condition of an issuer may affect the value of a debt security. Generally, the lower the quality rating of a security, the greater the risk that the issuer will fail to pay interest fully and return principal in a timely manner. If an issuer defaults or becomes unable to honor its financial obligations, the security may lose some or all of its value. The issuer of an investment-grade security is more likely to pay interest and repay principal than an issuer of a lower rated bond. Adverse economic conditions or changing circumstances, however, may weaken the capacity of the issuer to pay interest and repay principal.
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U.S. government securities are not guaranteed against price movements due to changing interest rates. Obligations issued by some U.S. government agencies are backed by the U.S. Treasury, while others are backed solely by the ability of the agency to borrow from the U.S. Treasury or by the government sponsored agency’s own resources. As a result, investments in securities issued by government sponsored agencies that are not backed by the U.S. Treasury are subject to higher credit risk than those that are.
High yield, or “junk,” bonds are highly speculative securities that are usually issued by smaller less credit worthy and/or highly leveraged (indebted) companies. Compared with investment-grade bonds, high yield bonds carry a greater degree of risk and are less likely to make payments of interest and principal. Market developments and the financial and business conditions of the corporation issuing these securities influences their price and liquidity more than changes in interest rates, when compared to investment-grade debt securities. Insufficient liquidity in the junk bond market may make it more difficult to dispose of junk bonds and may cause the Fund to experience sudden and substantial price declines. A lack of reliable, objective data or market quotations may make it more difficult to value junk bonds accurately.
Equity Risk (Growth Equity Fund): Since they purchase equity securities, the Funds are subject to the risk that stock prices will fall over short or extended periods of time. Historically, the equity markets have moved in cycles, and the value of each Fund’s equity securities may fluctuate drastically from day to day. Individual companies may report poor results or be negatively affected by industry and/or economic trends and developments. The prices of securities issued by such companies may suffer a decline in response. These factors contribute to price volatility, which is the principal risk of investing in each Fund.
Foreign Company Risk (Growth Equity Fund, Credit Fund): Investing in foreign companies, whether through investments made in foreign markets or made through the purchase of ADRs, which are traded on U.S. exchanges and represent an ownership in a foreign security, poses additional risks since political and economic events unique to a country or region will affect those markets and their issuers. These risks will not necessarily affect the U.S. economy or similar issuers located in the United States. In addition, investments in foreign companies are generally denominated in a foreign currency. As a result, changes in the value of those currencies compared to the U.S. dollar may affect (positively or negatively) the value of a Fund’s investments. These currency movements may occur separately from, and in response to, events that do not otherwise affect the value of the security in the issuer’s home country. Securities of foreign companies may not be registered with the U.S. Securities and Exchange Commission (“SEC”) and foreign companies are generally not subject to the regulatory controls imposed on U.S. issuers and, as a consequence, there is generally less publically available information about foreign securities than is available about domestic securities. Income from foreign securities owned by a Fund may be reduced by a withholding tax at the source, which tax would reduce income received from the securities comprising the Fund’s portfolio. Foreign securities may also be more difficult to value than securities of U.S. issuers. While ADRs provide an alternative to directly purchasing the underlying foreign securities in their respective national markets and currencies, investments in ADRs continue to be subject to many of the risks associated with investing directly in foreign securities.
Growth Style Risk (Growth Equity Fund): The price of equity securities rises and falls in response to many factors, including the historical and prospective earnings of the issuer of the stock, the value of its assets, general economic conditions, interest rates, investor perceptions, and market liquidity. The Fund may invest in securities of companies that the Adviser believes have superior prospects for robust and sustainable growth of revenues and earnings. These may be companies with new, limited or cyclical product lines, markets or financial resources, and the management of such companies may be dependent upon one or a few key people. The stocks of such companies can therefore be subject to more abrupt or erratic market movements than stocks of larger, more established companies or the stock market in general.
High Yield Bond Risk (Municipal Bond Fund, Credit Fund, Low Duration Bond Fund, Total Return Bond Fund): High yield, or “junk,” bonds are highly speculative securities that are usually issued by smaller less credit worthy and/or highly leveraged (indebted) companies. Compared with investment-grade bonds, high yield bonds carry a greater degree of risk and are less likely to make payments of interest and principal. Market developments and the financial and business conditions of the corporation issuing these securities influences their price and liquidity more than changes in interest rates, when compared to investment-grade debt securities. Insufficient liquidity in the junk bond market may make it more difficult to dispose of junk bonds and may cause the Fund to experience sudden and substantial price declines. A lack of reliable, objective data or market quotations may make it more difficult to value junk bonds accurately.
Interest Rate Risk (Total Return Bond Fund, Credit Fund, Low Duration Bond Fund, Municipal Bond Fund): As with most funds that invest in debt securities, changes in interest rates are one of the most important factors that could affect the value of your investment. Rising interest rates tend to cause the prices of debt securities (especially those with longer maturities) and the Fund’s share price to fall. Risks associated with rising interest rates are heightened given that interest rates in the U.S. are at, or near, historic lows.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
The concept of duration is useful in assessing the sensitivity of a fixed income fund to interest rate movements, which are usually the main source of risk for most fixed income funds. Duration measures price volatility by estimating the change in price of a debt security for a 1% change in its yield. For example, a duration of five years means the price of a debt security will change about 5% for every 1% change in its yield. Thus, the higher the duration, the more volatile the security.
Debt securities have a stated maturity date when the issuer must repay the principal amount of the bond. Some debt securities, known as callable bonds, may repay the principal earlier than the stated maturity date. Debt securities are most likely to be called when interest rates are falling because the issuer can refinance at a lower rate.
Rising interest rates may also cause investors to pay off mortgage-backed and asset-backed securities later than anticipated, forcing the Fund to keep its money invested at lower rates. Falling interest rates, however, generally cause investors to pay off mortgage-backed and asset-backed securities earlier than expected, forcing the Fund to reinvest the money at a lower interest rate.
Mutual funds that invest in debt securities have no real maturity. Instead, they calculate their weighted average maturity. This number is an average of the effective or anticipated maturity of each debt security held by the mutual fund, with the maturity of each security weighted by the percentage of its assets of the mutual fund it represents.
Issuer Risk (Total Return Bond Fund, Credit Fund, Low Duration Bond Fund): The risk that the value of a security may decline for a reason directly related to the issuer, such as management performance, financial leverage and reduced demand for the issuer’s goods or services.
Leverage Risk (Credit Fund): The use of leverage can amplify the effects of market volatility on the Fund’s share price and may also cause the Fund to liquidate portfolio positions when it would not be advantageous to do so in order to satisfy its obligations.
LIBOR Replacement Risk (Total Return Bond Fund, Credit Fund, Low Duration Bond Fund, Municipal Bond Fund): The elimination of the London Inter-Bank Offered Rate (“LIBOR”) may adversely affect the interest rates on, and value of, certain Fund investments for which the value is tied to LIBOR. The U.K. Financial Conduct Authority has announced that it intends to stop compelling or inducing banks to submit LIBOR rates after 2021. However, it remains unclear if LIBOR will continue to exist in its current, or a modified, form. Alternatives to LIBOR are established or in development in most major currencies, including the Secured Overnight Financing Rate (“SOFR”), which is intended to replace U.S. dollar LIBOR. Markets are slowly developing in response to these new rates. Questions around liquidity impacted by these rates, and how to appropriately adjust these rates at the time of transition, remain a concern for the Fund. Accordingly, it is difficult to predict the full impact of the transition away from LIBOR on the Fund until new reference rates and fallbacks for both legacy and new products, instruments and contracts are commercially accepted.
Liquidity Risk (Total Return Bond Fund, Credit Fund, Low Duration Bond Fund): The risk that certain securities may be difficult or impossible to sell at the time and the price that the Fund would like. The Fund may have to accept a lower price to sell a security, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative effect on Fund management or performance.
Management Risk (Each Fund): The risk that the investment techniques and risk analyses applied by the Adviser will not pro- duce the desired results and that legislative, regulatory, or tax developments may affect the investment techniques available to the Adviser and the individual portfolio manager in connection with managing each Fund. There is no guarantee that the investment objective of a Fund will be achieved.
Market Risk (Each Fund): The risk that the value of securities owned by the Fund may go up or down, sometimes rapidly or unpredictably, due to factors affecting securities markets generally or particular industries. In addition, the impact of any epidemic, pandemic or natural disaster, or widespread fear that such events may occur, could negatively affect the global economy, as well as the economies of individual countries, the financial performance of individual companies and sectors, and the markets in general in significant and unforeseen ways. Any such impact could adversely affect the prices and liquidity of the securities and other instruments in which the Fund invests, which in turn could negatively impact the Fund’s performance and cause losses on your investment in the Fund. In addition, the impact of any epidemic, pandemic or natural disaster, or widespread fear that such events may occur, could negatively affect the global economy, as well as the economies of individual countries, the financial performance of individual companies and sectors, and the markets in general in significant and unforeseen ways. Any such impact could adversely affect the prices and liquidity of the securities and other instruments in which a Fund invests, which in turn could negatively impact the Fund’s performance and cause losses on your investment in the Fund. Global health events and pandemics, such as COVID-19, have the ability to affect — quickly, drastically and substantially the economies of many nations, states, individual companies and the markets in general and can cause disruptions that cannot necessarily be foreseen. The spread of COVID-19 around the world in 2020 resulted in a substantial number of nations
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
implementing social distancing measures, quarantines, and the shutdown of non-essential businesses and governmental services. Further, it has caused significant volatility in U.S. and international markets. The impact of the outbreak may be short term or may last for an extended period of time.
Municipal Issuers Risk (Low Duration Bond Fund, Municipal Bond Fund, Total Return Bond Fund): There may be economic or political changes that impact the ability of municipal issuers to repay principal and to make interest payments on municipal securities. Changes in the financial condition or credit rating of municipal issuers also may adversely affect the value of each Fund’s municipal securities. Constitutional or legislative limits on borrowing by municipal issuers may result in reduced supplies of municipal securities. Moreover, certain municipal securities are backed only by a municipal issuer’s ability to levy and collect taxes.
Prepayment and Extension Risk (Total Return Bond Fund, Credit Fund, Low Duration Bond Fund, Municipal Bond Fund): Prepayment and extension risk is the risk that a loan, bond or other security might be called or otherwise converted, prepaid or redeemed before maturity. This risk is primarily associated with corporate-backed, mortgage-backed and asset-backed securities. If a security is converted, prepaid or redeemed before maturity, particularly during a time of declining interest rates or spreads, the Fund may not be able to invest the proceeds in securities providing as high a level of income, resulting in a reduced yield to the Fund. Conversely, as interest rates rise or spreads widen, the likelihood of prepayment decreases. The Fund may be unable to capitalize on securities with higher interest rates or wider spreads because the Fund’s investments are locked in at a lower rate for a longer period of time.
Repurchase Agreement Risk (Credit Bond Fund, Low Duration Bond Fund, Total Return Bond Fund): Under a repurchase agreement, the seller of a security to the Fund agrees to repurchase the security at a mutually agreed-upon time and price. If the seller in a repurchase agreement transaction defaults on its obligation under the agreement, the Fund may suffer delays and incur costs or lose money in exercising its rights under the agreement.
Sector Focus Risk (Growth Equity Fund, Credit Fund, Low Duration Bond Fund, Total Return Bond Fund): Because the Fund may, from time to time, be more heavily invested in particular sectors, the value of its shares may be especially sensitive to factors and economic risks that specifically affect those sectors. As a result, the Fund’s share price may fluctuate more widely than the value of shares of a mutual fund that invests in a broader range of sectors.
Small- and Mid-Capitalization Company Risk (Growth Equity Fund): The small- and mid-capitalization companies in which these Funds may invest may be more vulnerable to adverse business or economic events than larger, more established companies. In particular, investments in these small- and mid-sized companies may pose additional risks, including liquidity risk, because these companies tend to have limited product lines, markets and financial resources, and may depend upon a relatively small management group. Therefore, small- and mid-capitalization stocks may be more volatile than those of larger companies. These securities may be traded over-the-counter or listed on an exchange.
State-Specific Risk (Municipal Bond Fund): The Fund is subject to the risk that the economy of the states in which it invests, and the revenues underlying state municipal bonds, may decline. Investing primarily in a single state means that the Fund is more exposed to negative political or economic factors in that state than a fund that invests more widely.
Structured Note Risk (Credit Fund): The Fund may invest in fixed income linked structured notes. Structured notes are typically privately negotiated transactions between two or more parties. The fees associated with a structured note may lead to increased tracking error. The Fund also bears the risk that the issuer of the structured note will default. The Fund bears the risk of loss of its principal investment and periodic payments expected to be received for the duration of its investment. In addition, a liquid market may not exist for the structured notes. The lack of a liquid market may make it difficult to sell the structured notes at an acceptable price or to accurately value them.
Zero Coupon, Deferred Interest and Pay-In-Kind Bond Risk (Credit Fund): These bonds are issued at a discount from their face value because interest payments are typically postponed until maturity. Pay-in-kind securities are securities that have interest payable by the delivery of additional securities. The market prices of these securities generally are more volatile than the market prices of interest-bearing securities and are likely to respond to a greater degree to changes in interest rates than interest- bearing securities having similar maturities and credit quality.
In the normal course of business, the Funds enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be established; however, based on experience, the risk of loss from such claims is considered remote.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
9. Other:
On July 31, 2021, the number of shareholders below held the following percentage of the outstanding shares of the Funds:
# of Shareholders | % of Outstanding Shares | |||||||||
Growth Equity Fund | ||||||||||
Institutional Class Shares | 3 | 68.98% | ||||||||
Investor Class Shares | 1 | 79.95% | ||||||||
Total Return Bond Fund | ||||||||||
Institutional Class Shares | 3 | 51.50% | ||||||||
Investor Class Shares | 1 | 19.49% | ||||||||
A Class Shares | 2 | 35.92% | ||||||||
Credit Fund | ||||||||||
Institutional Class Shares | 2 | 77.26% | ||||||||
Investor Class Shares | 1 | 68.36% | ||||||||
A Class Shares | 1 | 27.98% | ||||||||
Low Duration Bond Fund |
| |||||||||
Institutional Class Shares | 2 | 51.28% | ||||||||
Investor Class Shares | 1 | 60.00% | ||||||||
Municipal Bond Fund | ||||||||||
Institutional Class Shares | 1 | 45.40% | ||||||||
Investor Class Shares | 2 | 89.83% |
These shareholders are comprised of omnibus accounts, which are held on behalf of various individual shareholders.
10. Subsequent Events:
The Funds have evaluated the need for additional disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no additional disclosures and/or adjustments were required to the financial statements as of July 31, 2021.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders and the Board of Trustees of Frost Family of Funds
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Frost Family of Funds (the “Trust”) (comprising the Frost Credit Fund, Frost Growth Equity Fund, Frost Low Duration Bond Fund, Frost Municipal Bond Fund, and Frost Total Return Bond Fund (collectively referred to as the “Funds”)) including the schedules of investments, as of July 31, 2021, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds comprising Frost Family of Funds at July 31, 2021, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of July 31, 2021, by correspondence with the custodian. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Frost investment companies since 2008.
San Antonio, Texas
September 28, 2021
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FROST FAMILY OF FUNDS |
TRUSTEES AND OFFICERS OF THE FROST FUND FAMILY (Unaudited) |
Set forth below are the names, years of birth, positions with the Trust, length of term of office, and the principal occupations for the last five years of each of the persons currently serving as Trustees and Officers of the Trust. Unless otherwise noted, the business address of each Trustee is SEI Investments Company, 1 Freedom Valley Drive, Oaks, Pennsylvania 19456. Trustees who are deemed not to be “interested persons” of the Trust are referred to as “Independent Trustees.”
Name and Year of Birth | Position with the Trust and Length of Time Served1 | Principal Occupations in the Past 5 Years | ||
INTERESTED | ||||
TRUSTEES2,3 | ||||
ROBERT NESHER (Born: 1946) | Chairman of the Board of Trustees (since 2019) | SEI employee 1974 to present; currently performs various services on behalf of SEI Investments for which Mr. Nesher is compensated. | ||
MACE MCCAIN (Born: 1958) | Trustee (since 2021) | President, Chief Investment Officer and Manager of Frost Investment Advisors LLC since 2021. Executive Vice President, Statewide Portfolio Management Team Leader of Frost Bank – Financial Services, 2017 to 2021. Managing Director and Regional Portfolio Manager of Frost Investment Advisors LLC, 2009 to 2016. | ||
INDEPENDENT | ||||
TRUSTEES3 | ||||
JOSEPH T. GRAUSE, JR (Born: 1952) | Trustee and Lead Independent Trustee (since 2019) | Self-Employed Consultant since 2012. Director of Endowments and Foundations, Morningstar Investment Management, Morningstar, Inc., 2010 to 2011. Director of International Consulting and Chief Executive Officer of Morningstar Associates Europe Limited, Morningstar, Inc., 2007 to 2010. Country Manager – Morningstar UK Limited, Morningstar, Inc., 2005 to 2007. | ||
BRUCE SPECA (Born: 1956) | Trustee (since 2019) | Global Head of Asset Allocation, Manulife Asset Management (subsidiary of Manulife Financial), 2010 to 2011. Executive Vice President – Investment Management Services, John Hancock Financial Services (subsidiary of Manulife Financial), 2003 to 2010. | ||
ROBERT MULHALL (Born: 1958) | Trustee (since 2019) | Partner, Ernst & Young LLP, from 1998 to 2018. |
1 | Each Trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns, or is removed in accordance with the Trust’s Declaration of Trust. |
2 | Denotes Trustees who may be deemed to be “interested” persons of the Fund as that term is defined in the 1940 Act by virtue of their affiliation with the Distributor, the Adviser and/or their affiliates. |
3 | Trustees oversee 5 funds in the Frost Family of Funds. |
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F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
Mr. Nesher is a Trustee who may be deemed to be an “interested” person, as that term is defined in the 1940 Act, of the Trust by virtue of his affiliation with the Distributor and/or its affiliates. Mr. McCain is a Trustee who may be deemed to be an “interested” person, as that term is defined in the 1940 Act, of the Trust by virtue of his affiliation with the Adviser and/or its affiliate. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-877-71-FROST. The following chart lists Trustees and Officers as of July 31, 2021:
Other Directorships Held in the Past 5 Years4 |
Current Directorships: Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, The KP Funds, SEI Daily Income Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Tax Exempt Trust, Adviser Managed Trust, New Covenant Funds, SEI Insurance Products Trust and SEI Catholic Values Trust. Director of SEI Structured Credit Fund, LP, SEI Global Master Fund plc, SEI Global Assets Fund plc, SEI Global Investments Fund plc, SEI Investments-Global Funds Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe) Ltd., SEI Investments-Unit Trust Management (UK) Limited, SEI Multi-Strategy Funds PLC and SEI Global Nominee Ltd. |
Former Directorships: Trustee of SEI Liquid Asset Trust to 2016. |
None. |
Current Directorships: Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds and The KP Funds. Director of The Korea Fund, Inc. |
Current Directorships: Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds and The KP Funds. Director of Stone Harbor Investments Funds, Stone Harbor Emerging Markets Income Fund (closed-end fund) and Stone Harbor Emerging Markets Total Income Fund (closed-end fund). |
Current Directorships: Trustee of The Advisors’ Inner Circle Fund II, Bishop Street Funds, The KP Funds. |
4 | Directorships of Companies required to report to the Securities and Exchange Commission under the Securities Exchange act of 1934 (i.e., “public companies”) or other investment companies under the 1940 Act. |
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FROST FAMILY OF FUNDS |
TRUSTEES AND OFFICERS OF THE FROST FUND FAMILY (Unaudited) |
Name and Year of Birth | Position with the Trust and Length of Time Served | Principal Occupations in the Past 5 Years | ||
OFFICERS | ||||
MICHAEL BEATTIE (Born: 1965) | President (since 2019) | Director of Client Service, SEI Investments, since 2004. | ||
JAMES BERNSTEIN (Born: 1962) | Vice President and Assistant Secretary (since 2019) | Attorney, SEI Investments, since 2017.
Prior Positions: Self-employed consultant, 2017. Associate General Counsel & Vice President, Nationwide Funds Group and Nationwide Mutual Insurance Company, from 2002 to 2016. Assistant General Counsel & Vice President, Market Street Funds and Provident Mutual Insurance Company, from 1999 to 2002. | ||
JOHN BOURGEOIS (Born: 1973) | Assistant Treasurer (since 2019) | Fund Accounting Manager, SEI Investments, since 2000. | ||
ANDREW METZGER (Born: 1980) | Treasurer, Controller and Chief Financial Officer (since 2021) | Director of Fund Accounting, SEI Investments, since 2020. Senior Director, Embark, from 2019 to 2020. Senior Manager, PricewaterhouseCoopers LLP, from 2002 to 2019. | ||
RUSSELL EMERY (Born: 1962) | Chief Compliance Officer (since 2019) | Chief Compliance Officer of SEI Structured Credit Fund, LP since 2007. Chief Compliance Officer of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, The KP Funds, The Advisors’ Inner Circle Fund III, Gallery Trust, Schroder Series Trust, Schroder Global Series Trust, Frost Family of Funds, SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Daily Income Trust, SEI Tax Exempt Trust, Adviser Managed Trust, New Covenant Funds, SEI Insurance Products Trust and SEI Catholic Values Trust. Chief Compliance Officer of O’Connor EQUUS (closed-end investment company) to 2016. Chief Compliance Officer of SEI Liquid Asset Trust to 2016. Chief Compliance Officer of Winton Series Trust to 2017. Chief Compliance Officer of Winton Diversified Opportunities Fund (closed-end investment company) to 2018. | ||
MATTHEW M. MAHER (Born: 1975) | Vice President and Secretary (since 2019) | Counsel at SEI Investments since 2018. Attorney, Blank Rome LLP, from 2015 to 2018. Assistant Counsel & Vice President, Bank of New York Mellon, from 2013 to 2014. Attorney, Dilworth Paxson LLP, from 2006 to 2013. | ||
ERIC C. GRIFFITH (Born: 1969) | Vice President and Assistant Secretary (since 2019) | Counsel at SEI Investments since 2019. Vice President, JPMorgan Chase & Co., from 2012 to 2018. |
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F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
Other Directorships Held in the Past 5 Years |
None. |
None. |
None. |
None. |
None. |
None. |
None. |
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FROST FAMILY OF FUNDS |
TRUSTEES AND OFFICERS OF THE FROST FUND FAMILY (Unaudited) |
Name and Year of Birth | Position with the Trust and Length of Time Served | Principal Occupations in the Past 5 Years | ||
OFFICERS (continued) | ||||
ROBERT MORROW (Born: 1968) | Vice President (since 2019) | Account Manager, SEI Investments, since 2007. | ||
BRIDGET E. SUDALL (Born: 1980) | Anti-Money Laundering Compliance Officer and Privacy Officer (since 2019) | Senior Associate and AML Officer, Morgan Stanley Alternative Investment Partners, from 2011 to 2015. Investor Services Team Lead, Morgan Stanley Alternative Investment Partners, from 2007 to 2011. |
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F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
Other Directorships Held in the Past 5 Years |
None. |
None. |
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
DISCLOSURE OF FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses. As a shareholder of a fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.
Operating expenses such as these are deducted from a fund’s gross income and directly reduce its final investment return. These expenses are expressed as a percentage of a fund’s average net assets; this percentage is known as a fund’s expense ratio.
The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period (February 1, 2021, to July 31, 2021).
The table on the next page illustrates your Fund’s costs in two ways:
• Actual fund return. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.
You can use this information, together with the actual amount you invested in the Fund, to estimate the expenses you paid over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”
• Hypothetical 5% return. This section helps you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expenses Paid During Period” column with those that appear in the same charts in the shareholder reports for other funds.
NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown do not apply to your specific investment.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
DISCLOSURE OF FUND EXPENSES (Unaudited) (Continued) |
Beginning Account Value 2/1/2021 | Ending Account Value 7/31/2021 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Growth Equity Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,189.40 | 0.63 | % | $ | 3.42 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,188.20 | 0.88 | % | $ | 4.77 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,021.67 | 0.63 | % | $ | 3.16 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,020.43 | 0.88 | % | $ | 4.41 | ||||||||
Total Return Bond Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,023.60 | 0.46 | % | $ | 2.31 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,022.40 | 0.71 | % | $ | 3.56 | ||||||||
A Class Shares | $ | 1,000.00 | $ | 1,023.40 | 0.71 | % | $ | 3.56 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,022.51 | 0.46 | % | $ | 2.31 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,021.27 | 0.71 | % | $ | 3.56 | ||||||||
A Class Shares | $ | 1,000.00 | $ | 1,021.27 | 0.71 | % | $ | 3.56 | ||||||||
Credit Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,031.60 | 0.71 | % | $ | 3.58 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,030.30 | 0.96 | % | $ | 4.83 | ||||||||
A Class Shares | $ | 1,000.00 | $ | 1,030.40 | 0.96 | % | $ | 4.83 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,021.27 | 0.71 | % | $ | 3.56 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,020.03 | 0.96 | % | $ | 4.81 | ||||||||
A Class Shares | $ | 1,000.00 | $ | 1,020.03 | 0.96 | % | $ | 4.81 |
Beginning Account Value 2/1/2021 | Ending Account Value 7/31/2021 | Annualized Expense Ratios | Expense Paid During Period* | |||||||||||||
Low Duration Bond Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,002.40 | 0.43 | % | $ | 2.13 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,002.10 | 0.68 | % | $ | 3.38 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,022.66 | 0.43 | % | $ | 2.16 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,021.42 | 0.68 | % | $ | 3.41 | ||||||||
Municipal Bond Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,011.30 | 0.57 | % | $ | 2.84 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,010.00 | 0.82 | % | $ | 4.09 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Institutional Class Shares | $ | 1,000.00 | $ | 1,021.97 | 0.57 | % | $ | 2.86 | ||||||||
Investor Class Shares | $ | 1,000.00 | $ | 1,020.73 | 0.82 | % | $ | 4.11 |
* | Unless otherwise indicated, expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the account period, multiplied by 181/365 (to reflect the one-half year period). |
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
BOARD CONSIDERATIONS IN APPROVING THE ADVISORY AGREEMENT (Unaudited) |
Frost Growth Equity Fund
Frost Total Return Bond Fund
Frost Credit Fund
Frost Low Duration Bond Fund
Frost Municipal Bond Fund
Pursuant to Section 15 of the Investment Company Act of 1940 (the “1940 Act”), the Funds’ advisory agreement (the “Agreement”) must be renewed at least annually after its initial two-year term: (i) by the vote of the Board of Trustees (the “Board” or the “Trustees”) of Frost Family of Funds (the “Trust”) or by a vote of a majority of the shareholders of the Funds; and (ii) by the vote of a majority of the Trustees who are not parties to the Agreement or “interested persons” of any party thereto, as defined in the 1940 Act (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such renewal.
A Board meeting was held on February 24, 2021 to decide whether to renew the Agreement for an additional one-year term (the “February Meeting”). The February Meeting was held via videoconference in reliance on relief provided in orders issued by the Securities and Exchange Commission on March 13, 2020, March 25, 2020 and June 19, 2020 from 1940 Act sections and rules requiring that certain votes of a company’s board of trustees be cast in person due to circumstances related to the current or potential effects of the COVID-19 pandemic. In preparation for the February Meeting, the Trustees requested that the Adviser furnish information necessary to evaluate the terms of the Agreement. Prior to the February Meeting, the Independent Trustees of the Funds met to review and discuss the information provided and submitted a request for additional information to the Adviser, and information was provided in response to this request. The Trustees used this information, as well as other information that the Adviser and other service providers of the Funds presented or submitted to the Board at the February Meeting and other meetings held during the prior year, to help them decide whether to renew the Agreement for an additional year.
Specifically, the Board requested and received written materials from the Adviser and other service providers of the Funds regarding: (i) the nature, extent and quality of the Adviser’s services; (ii) the Adviser’s investment management personnel; (iii) the Adviser’s operations and financial condition; (iv) the Adviser’s brokerage practices (including any soft dollar arrangements) and investment strategies; (v) the Funds’ advisory fees paid to the Adviser and overall fees and operating expenses; (vi) the level of the Adviser’s profitability from its relationship with the Funds, including both direct and indirect benefits accruing to the Adviser and its affiliates; (vii) the Adviser’s potential economies of scale; (viii) the Adviser’s compliance program, including a description of material compliance matters and material compliance violations; (ix) the Adviser’s policies on and compliance procedures for personal securities transactions; and (x) the Funds’ performance compared with the Funds’ benchmark indices.
Representatives from the Adviser, along with other Fund service providers, presented additional information and participated in question and answer sessions at the February Meeting to help the Trustees evaluate the Adviser’s services, fees and other aspects of the Agreement. The Independent Trustees received advice from independent counsel and met in executive sessions outside the presence of Fund management and the Adviser.
At the February Meeting, the Trustees, including all of the Independent Trustees, based on their evaluation of the information provided by the Adviser and other service providers of the Funds, renewed the Agreement. In considering the renewal of the Agreement, the Board considered various factors that they determined were relevant, including: (i) the nature, extent and quality of the services provided by the Adviser; (ii) the investment performance of the Funds and the Adviser; (iii) the costs of the services provided and profits realized by the Adviser from its relationship with the Funds, including both direct and indirect benefits accruing to the Adviser and its affiliates; (iv) the extent to which economies of scale are being realized by the Adviser; and (v) whether fee levels reflect such economies of scale for the benefit of Fund investors, as discussed in further detail below.
Nature, Extent and Quality of Services Provided by the Adviser
In considering the nature, extent and quality of the services provided by the Adviser, the Board reviewed the portfolio management services provided by the Adviser to the Funds, including the quality and continuity of the Adviser’s portfolio management personnel, the resources of the Adviser, and the Adviser’s compliance history and compliance program. The Trustees reviewed the terms of the Agreement. The Trustees also reviewed the Adviser’s investment and risk management
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
BOARD CONSIDERATIONS IN APPROVING THE ADVISORY AGREEMENT (Unaudited) (Continued) |
approaches for the Funds. The most recent investment adviser registration form (“Form ADV”) for the Adviser was available to the Board, as was the response of the Adviser to a detailed series of questions, which included, among other things, information about the investment advisory services provided by the Adviser to the Funds.
The Trustees also considered other services provided to the Funds by the Adviser such as selecting broker-dealers for executing portfolio transactions, monitoring adherence to the Funds’ investment restrictions, and monitoring compliance with various Fund policies and procedures and with applicable securities laws and regulations. Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the nature, extent and quality of the services provided to the Funds by the Adviser were sufficient to support renewal of the Agreement.
Investment Performance of the Funds and the Adviser
The Board was provided with regular reports regarding the Funds’ performance over various time periods. The Trustees also reviewed reports prepared by the Funds’ administrator comparing the Funds’ performance to their benchmark indices over various periods of time. Representatives from the Adviser provided information regarding and led discussions of factors impacting the performance of the Funds, outlining current market conditions and explaining their expectations and strategies for the future. The Trustees determined that the Funds’ performance was satisfactory, or, where the Funds’ performance was materially below their benchmarks and/or peer groups, the Trustees were satisfied by the reasons for the underperformance and/or the steps taken by the Adviser in an effort to improve the performance of the Funds. Based on this information, the Board concluded, within the context of its full deliberations, that the investment results that the Adviser had been able to achieve for the Funds were sufficient to support renewal of the Agreement.
Costs of Advisory Services, Profitability and Economies of Scale
In considering the advisory fees payable by the Funds to the Adviser, the Trustees reviewed, among other things, a report of the advisory fees paid to the Adviser. The Trustees also received, and considered, representations from the Adviser about its services and its assessment about the appropriateness of the advisory fees. The Board concluded, within the context of its full deliberations, that the advisory fees were reasonable in light of the nature and quality of the services rendered by the Adviser.
The Trustees reviewed the costs of services provided by and the profits realized by the Adviser from its relationship with the Funds, including both direct benefits and indirect benefits, such as research and brokerage services received under soft dollar arrangements, accruing to the Adviser and its affiliates. The Trustees considered how the Adviser’s profitability was affected by factors such as its organizational structure and method for allocating expenses. The Trustees concluded that the profit margins of the Adviser with respect to the management of the Funds were not unreasonable. The Board also considered the Adviser’s commitment to managing the Funds and its willingness to continue its expense limitation and fee waiver arrangements with the Funds.
The Trustees considered the Adviser’s views relating to economies of scale in connection with the Funds as Fund assets grow and the extent to which the benefits of any such economies of scale are shared with the Funds and Fund shareholders. The Board considered the existence of any economies of scale and whether those were passed along to the Funds’ shareholders through a graduated advisory fee schedule or other means, including fee waivers. The Trustees recognized that economies of scale are difficult to identify and quantify and are rarely identifiable on a fund-by-fund basis. Based on this evaluation, the Board concluded that the advisory fees were reasonable in light of the information that was provided to the Trustees by the Adviser with respect to economies of scale.
Renewal of the Agreement
Based on the Board’s deliberations and its evaluation of the information described above and other factors and information it believed relevant in the exercise of its reasonable business judgment, the Board, including all of the Independent Trustees, with the assistance of Fund counsel and Independent Trustees’ counsel, unanimously concluded that the terms of the Agreement, including the fees payable thereunder, were fair and reasonable and agreed to renew the Agreement for another year. In its deliberations, the Board did not identify any absence of information as material to its decision, or any particular factor (or conclusion with respect thereto) or single piece of information that was all-important, controlling or determinative of its decision, but considered all of the factors together, and each Trustee may have attributed different weights to the various factors (and conclusions with respect thereto) and information.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
REVIEW OF LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
Pursuant to Rule 22e-4 under the 1940 Act, the Funds’ investment adviser has adopted, and the Board has approved, a liquidity risk management program (the “Program”) to govern the Funds’ approach to managing liquidity risk. The Program is overseen by the Funds’ Liquidity Risk Management Program Administrator (the “Program Administrator”), and the Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the Funds.
At a meeting of the Board held on May 19, 2021, the Trustees received a report from the Program Administrator addressing the operations of the Program and assessing its adequacy and effectiveness of implementation for the period from January 1, 2020 through December 31, 2020. The Program Administrator’s report included an assessment of how market conditions caused by the COVID-19 pandemic impacted the Funds’ liquidity risk during the period covered by the report. The Program Administrator’s report noted that the Program Administrator had determined that the Program is reasonably designed to assess and manage each Fund’s liquidity risk and has operated adequately and effectively to manage each Fund’s liquidity risk during the period covered by the report. The Program Administrator’s report noted that during the period covered by the report, there were no liquidity events that impacted the Funds or their ability to timely meet redemptions without dilution to existing shareholders. The Program Administrator’s report also noted that the Board approved a change to the membership of the committee serving as Program Administrator.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the prospectus for more information regarding a Fund’s exposure to liquidity risk and other principal risks to which an investment in the Funds may be subject.
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
Matters Submitted to a Vote of Shareholders (Unaudited) |
A Special Meeting of the Shareholders of the Frost Family of Funds (the “Trust”) was held on May 17, 2021 for the purpose of electing the following five Trustees to the Board of Trustees of the Trust: Robert Nesher, Joseph T. Grause, Jr., Robert Mulhall, Bruce Speca and Mace McCain. There were 389,869,442 outstanding shares, 251,524,142 shares were voted representing 64.51% of the eligible outstanding shares. The results of the election are as follows:
Trustee/Nominee | Shares Voted For | Shares Withheld | Percentage Voted in Favor of | Percentage Withheld | ||||||||||||
Robert Nesher | 251,105,051 | 419,091 | 99.83% | 0.17% | ||||||||||||
Joseph T. Grause, Jr. | 251,130,797 | 393,345 | 99.84% | 0.16% | ||||||||||||
Robert Mulhall | 224,248,264 | 27,275,878 | 89.16% | 10.84% | ||||||||||||
Bruce Speca | 224,221,326 | 27,302,816 | 89.15% | 10.85% | ||||||||||||
Mace McCain | 224,136,385 | 27,387,757 | 89.11% | 10.89% |
A Special Meeting of the Shareholders of the Frost Growth Equity Fund (the “Fund”), a series of the Trust, was held on May 17, 2021 for the purpose of voting to reclassify the diversification status of the Fund from diversified to non-diversified and eliminate a related fundamental policy. There were 23,308,859 outstanding shares, 18,811,313 shares were voted representing 80.70% of the eligible outstanding shares. The results of the votes are as follows:
Number of Shares | Percentage of Outstanding Shares | Percentage of Shares Voted | ||||||||||
For | 18,801,597 | 80.66% | 99.95% | |||||||||
Against: | 4,894 | 0.02% | 0.03% | |||||||||
Abstain: | 4,822 | 0.02% | 0.03% | |||||||||
Total: | 18,811,313 | 80.70% | 100% |
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FROST FAMILY OF FUNDS | F R O S T F U N D S | J U L Y 3 1, 2 0 2 1 |
NOTICE TO SHAREHOLDERS (Unaudited) |
For shareholders who do not have a July 31, 2021, taxable year end, this notice is for informational purposes only. For shareholders with a July 31, 2021, taxable year end, please consult your tax adviser as to the pertinence of this notice. For the fiscal year ended July 31, 2021, the Funds are designating the following items with regard to distributions paid during the year:
Return of Capital | Long Term Capital Gains Distributions (Tax Basis) | Ordinary Income Distributions (Tax Basis) | Tax Exempt Income Distribution (Tax Basis) | Total Distributions (Tax Basis) | ||||||||||||||||
Growth Equity Fund | 0% | 97% | 3% | 0% | 100% | |||||||||||||||
Total Return Bond Fund | 0% | 0% | 100% | 0% | 100% | |||||||||||||||
Credit Fund | 0% | 0% | 100% | 0% | 100% | |||||||||||||||
Low Duration Bond Fund | 0% | 8% | 92% | 0% | 100% | |||||||||||||||
Municipal Bond Fund | 0% | 48% | 13% | 39% | 100% | |||||||||||||||
Dividends Qualifying for Corporate Dividends Rec. Deduction(1) | Qualifying Dividend Income (15% Tax Rate for QDI)(2) | U.S. Government Interest(3) | Interest Related Dividends(4) | Qualified Short-Term Capital Gain(5) | ||||||||||||||||
Growth Equity Fund | 79% | 79% | 0% | 0% | 100% | |||||||||||||||
Total Return Bond Fund | 0% | 0% | 10% | 100% | 0% | |||||||||||||||
Credit Fund | 0% | 0% | 0% | 100% | 0% | |||||||||||||||
Low Duration Bond Fund | 0% | 0% | 14% | 98% | 100% | |||||||||||||||
Municipal Bond Fund(6) | 0% | 0% | 0% | 0% | 100% |
(1) | Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). |
(2) | The percentage in this column represents the amount of “Qualifying Dividend Income” as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). It is the intention of each of the aforementioned funds to designate the maximum amount permitted by law. |
(3) | “U.S. Government Interest” represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of ordinary income. Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income. |
(4) | The percentage in this column represents the amount of “Qualifying Interest Income” and is reflected as a percentage of net investment income distributions that is exempt from U.S withholding tax when paid to foreign investors. |
(5) | The percentage in this column represents the amount of “Qualifying Short-Term Capital Gain” and is reflected as a percentage of short-term capital gain distributions that is exempt from U.S withholding tax when paid to foreign investors. |
(6) | For California income tax purposes, for the fiscal year ended July 31, 2021, Municipal Bond Fund, designated 6.59% of their distributions paid from net investment income as exempt-interest dividends under Section 17145 of the California Revenue and Taxation Code. |
Please consult your tax advisor for proper treatment of this information. This notification should be kept with you permanent tax papers.
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FROST FAMILY OF FUNDS Investment Adviser Frost Investment Advisors, LLC 111 West Houston Street P.O. Box 2509 San Antonio,Texas 78299-2509 Distributor SEI Investments Distribution Co. One Freedom Valley Drive Oaks, Pennsylvania 19456 Administrator SEI Investments Global Fund Services One Freedom Valley Drive Oaks, Pennsylvania 19456 Independent Registered Public Accounting Firm Ernst & Young LLP 111 West Houston St., Suite 1901 San Antonio, Texas 78205 Legal Counsel Morgan, Lewis & Bockius LLP 1701 Market Street Philadelphia, Pennsylvania 19103 This information must be preceded or accompanied by a current prospectus for the Funds. FIA-AR-001-1400
Item 2. | Code of Ethics. |
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, controller or principal accounting officer, and any person who performs a similar function. There have been no amendments to or waivers granted to this code of ethics.
Item 3. | Audit Committee Financial Expert. |
(a)(1) The Registrant’s board of trustees has determined that the Registrant has at least one audit committee financial expert serving on the audit committee.
(a) (2) The audit committee financial expert is Robert Mulhall, and is considered to be “independent,” as that term is defined in Form N-CSR Item 3(a)(2).
Item 4. | Principal Accountant Fees and Services. |
Fees billed by Ernst & Young LLP (“E&Y”) relate to the Frost Family of Funds (the “Trust”).
E&Y billed the Trust aggregate fees for services rendered to the Trust for the last two fiscal years as follows:
FYE July 31, 2021
| FYE July 31, 2020
| |||||||||||||
All fees and that were | All fees and services to service affiliates that were pre-approved | All other fees and services to service affiliates that did not require pre-approval | All fees and services to the Trust that were pre-approved | All fees and services to service affiliates that were pre-approved | All other fees and services to service affiliates that did not require pre-approval | |||||||||
(a) | Audit Fees(1)(2) | $237,800 | None | None | $266,900 | None | None | |||||||
(b) | Audit-Related Fees(2) | None | None | None | None | None | None | |||||||
(c) | Tax Fees | None | None | None | None | None | None | |||||||
(d) | All Other Fees | None | None | None | None | None | None |
Notes:
(1) | Audit fees include amounts related to the audit of the Trust’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. |
(2) | The series of the Trust reorganized, effective as of June 24, 2019, from series of The Advisors’ Inner Circle Fund II into series of the Frost Family of Funds. |
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(e)(1) The Trust’s Audit Committee has adopted and the Board of Trustees has ratified an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Funds may be pre-approved.
The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant’s Chief Financial Officer (“CFO”) and must include a detailed description of the services proposed to be rendered. The CFO will determine whether these services:
1. | require specific pre-approval; |
2. | are included within the list of services that have received the general pre-approval of the Audit Committee pursuant to the Policy; or |
3. | have been previously pre-approved in connection with the independent auditor’s annual engagement letter for the applicable year or otherwise. In any instance where services require pre-approval, the Audit Committee will consider whether these services are consistent with SEC’s rules and whether the provision of these services would impair the auditor’s independence. |
Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial expert, provided that the estimated fee for any said proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the Audit Committee at the Audit Committee’s next regularly-scheduled meeting.
Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received general pre-approval.
All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment adviser, or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services.
In addition, the Audit Committee has determined to take additional measures on an annual basis to meet the audit Committee’s responsibility to oversee the work of the independent auditor and to assure the auditor’s independence from the Registrant, such as (a) reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and (b) discussing with the independent auditor the independent auditor’s methods and procedures for ensuring independence.
(e)(2) Percentage of fees billed by E&Y applicable to non-audit services pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) were as follows:
FYE July 31, 2021
| FYE July 31, 2020
| |||
Audit-Related Fees | None | None | ||
Tax Fees | None | None | ||
All Other Fees | None | None |
(f) Not applicable.
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(g) The aggregate non-audit fees and services billed by E&Y for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the last two fiscal-years-ended July 31st were $11,250 and $12,500 for 2021 and 2020, respectively.
(h) During the past fiscal year, all non-audit services provided by Registrant’s principal accountant to either Registrant’s investment adviser or to any entity controlling, controlled by, or under common control with Registrant’s investment adviser that provides ongoing services to Registrant were pre-approved by the Audit Committee of Registrant’s Board of Trustees. Included in the Audit Committee’s pre-approval of these non-audit service were the review and consideration as to whether the provision of these non-audit services is compatible with maintaining the principal accountant’s independence.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable to open-end management investment companies.
Item 6. | Schedule of Investments |
Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this Form.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable to open-end management investment companies.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not applicable to open-end management investment companies. Effective for closed-end management investment companies for fiscal-years-ending on or after December 31, 2005.
Item 9. | Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers. |
Not applicable to open-end management investment companies.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees during the period covered by this report.
Item 11. | 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 Act (17 CFR § 270.30a-3(c)), as of a date within 90 days of the filing date of the report, are effective based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR § 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act, as amended (17 CFR § 270.30a-15(b) or § 240.15d-15(b)).
(b) There has been no change in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR § 270.3a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
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Items 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable to open-end management investment companies.
Items 13. | Exhibits. |
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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.
(Registrant) | Frost Family of Funds | |||||
By (Signature and Title) | /s/ Michael Beattie | |||||
Michael Beattie | ||||||
President |
Date: October 8, 2021
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 (Signature and Title) | /s/ Michael Beattie | |||||
Michael Beattie | ||||||
President |
Date: October 8, 2021
By (Signature and Title) | /s/ Andrew Metzger | |||||
Andrew Metzger | ||||||
Treasurer, Controller, and CFO |
Date: October 8, 2021
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