EASTERLY EHS FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
February 28, 2022 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 76.7% | ||||||||
ALTERNATIVE - 0.5% | ||||||||
93 | AlphaClone Alternative Alpha ETF(a) | $ | 6,321 | |||||
COMMODITY - 0.9% | ||||||||
92 | KraneShares Global Carbon Strategy ETF | 4,508 | ||||||
38 | SPDR Gold Shares(a) | 6,778 | ||||||
11,286 | ||||||||
EQUITY - 72.2% | ||||||||
273 | AdvisorShares Pure Cannabis ETF | 2,867 | ||||||
16 | AdvisorShares STAR Global Buy-Write ETF | 621 | ||||||
47 | Alerian MLP ETF | 1,767 | ||||||
165 | ALPS Medical Breakthroughs ETF(a) | 5,546 | ||||||
7 | ARK Innovation ETF | 493 | ||||||
26 | Cambria Cannabis ETF | 293 | ||||||
143 | Columbia India Consumer ETF | 7,380 | ||||||
2 | Consumer Discretionary Select Sector SPDR Fund | 355 | ||||||
86 | Energy Select Sector SPDR Fund | 6,070 | ||||||
322 | First Trust DJ Global Select Dividend Index Fund | 8,134 | ||||||
10 | First Trust Dow Jones Internet Index Fund(a) | 1,877 | ||||||
509 | First Trust Financial AlphaDEX Fund | 23,546 | ||||||
91 | First Trust Global Wind Energy ETF | 1,802 | ||||||
146 | First Trust MultiCap Growth AlphaDEX Fund | 15,997 | ||||||
338 | First Trust Small Cap Growth AlphaDEX Fund | 22,673 | ||||||
41 | Global X MSCI Nigeria ETF | 383 | ||||||
180 | Goldman Sachs Hedge Industry VIP ETF(a) | 16,391 | ||||||
14 | Invesco DWA Consumer Cyclicals Momentum ETF | 1,084 | ||||||
426 | Invesco S&P 500 Equal Weight ETF, N | 65,711 | ||||||
168 | Invesco S&P 500 Pure Value ETF | 13,939 | ||||||
1,938 | Invesco S&P SmallCap Energy ETF | 16,958 | ||||||
112 | Invesco S&P SmallCap Health Care ETF(a) | 17,939 | ||||||
54 | Invesco S&P SmallCap Information Technology ETF | 7,342 | ||||||
5 | Invesco S&P SmallCap Utilities & Communication | 322 | ||||||
31 | Invesco Water Resources ETF | 1,592 | ||||||
192 | iShares Biotechnology ETF | 24,205 | ||||||
49 | iShares China Large-Cap ETF | 1,710 |
EASTERLY EHS FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 76.7% (Continued) | ||||||||
EQUITY - 72.2% (Continued) | ||||||||
16 | iShares Expanded Tech-Software Sector ETF(a) | $ | 5,472 | |||||
42 | iShares Latin America 40 ETF | 1,130 | ||||||
163 | iShares Micro-Cap ETF | 20,738 | ||||||
15 | iShares MSCI Brazil ETF | 493 | ||||||
128 | iShares MSCI China Small-Cap ETF | 5,571 | ||||||
50 | iShares MSCI EAFE ETF, EQUITY | 3,661 | ||||||
200 | iShares MSCI Emerging Markets ETF, EQUITY | 9,346 | ||||||
111 | iShares MSCI Emerging Markets Small-Cap ETF | 6,254 | ||||||
740 | iShares MSCI Frontier and Sele | 24,990 | ||||||
5 | iShares MSCI Germany Small-Cap ETF | 360 | ||||||
500 | iShares MSCI India Small-Cap ETF | 27,600 | ||||||
152 | iShares MSCI Indonesia ETF | 3,698 | ||||||
53 | iShares MSCI Ireland ETF | 2,735 | ||||||
259 | iShares MSCI Japan ETF | 16,301 | ||||||
20 | iShares MSCI Philippines ETF | 659 | ||||||
27 | iShares MSCI Taiwan ETF | 1,726 | ||||||
20 | iShares MSCI Thailand ETF | 1,599 | ||||||
399 | iShares MSCI UAE ETF | 6,998 | ||||||
6 | iShares MSCI United Kingdom ETF | 201 | ||||||
170 | iShares MSCI United Kingdom Small-Cap ETF | 6,769 | ||||||
9 | iShares Russell 1000 Growth ETF | 2,407 | ||||||
196 | iShares Russell 1000 Value ETF | 31,748 | ||||||
49 | iShares Russell 2000 ETF, EQUITY | 9,963 | ||||||
88 | iShares Russell 2000 Growth ETF | 22,451 | ||||||
397 | iShares Russell 2000 Value ETF | 63,020 | ||||||
182 | iShares Russell Mid-Cap Growth ETF | 18,033 | ||||||
391 | iShares Russell Mid-Cap Value ETF | 45,536 | ||||||
334 | iShares S&P/TSX SmallCap Index ETF | 5,485 | ||||||
661 | iShares STOXX Europe 600 Travel & Leisure UCITS(a) | 15,270 | ||||||
33 | iShares U.S. Healthcare Providers ETF | 9,029 | ||||||
15 | iShares U.S. Medical Devices ETF | 888 | ||||||
21 | iShares US Financials ETF | 1,781 | ||||||
15 | iShares US Pharmaceuticals ETF | 2,754 | ||||||
190 | KraneShares CSI China Internet ETF | 6,357 |
EASTERLY EHS FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 76.7% (Continued) | ||||||||
EQUITY - 72.2% (Continued) | ||||||||
78 | Materials Select Sector SPDR Fund | $ | 6,504 | |||||
99 | SPDR FactSet Innovative Technology ETF(a) | 15,922 | ||||||
101 | SPDR S&P 500 ETF Trust | 44,100 | ||||||
327 | SPDR S&P Emerging Asia Pacific ETF | 37,811 | ||||||
58 | SPDR S&P Oil & Gas Exploration & Production ETF | 6,781 | ||||||
52 | SPDR S&P Regional Banking ETF | 3,863 | ||||||
77 | SPDR S&P Retail ETF | 5,947 | ||||||
540 | VanEck Africa Index ETF | 11,486 | ||||||
289 | VanEck Brazil Small-Cap ETF | 4,974 | ||||||
430 | VanEck ChiNext ETF | 18,128 | ||||||
129 | VanEck Egypt Index ETF | 3,176 | ||||||
5 | VanEck Israel ETF | 230 | ||||||
304 | VanEck Russia ETF | 3,298 | ||||||
112 | VanEck Russia Small-Cap ETF | 2,399 | ||||||
223 | VanEck Vietnam ETF | 4,351 | ||||||
390 | Vanguard FTSE Emerging Markets ETF | 18,650 | ||||||
125 | Vanguard Total World Stock ETF | 12,459 | ||||||
263 | Wedbush ETFMG Video Game Tech ETF | 20,515 | ||||||
279 | WisdomTree Emerging Markets SmallCap Dividend Fund | 14,636 | ||||||
246 | WisdomTree Japan Hedged SmallCap Equity Fund | 10,620 | ||||||
306 | Xtrackers Harvest CSI 300 China A-Shares ETF | 11,212 | ||||||
218 | Xtrackers MSCI All China Equity ETF | 7,870 | ||||||
912,952 | ||||||||
FIXED INCOME - 3.0% | ||||||||
23 | Invesco Financial Preferred ETF | 396 | ||||||
13 | iShares iBoxx $ High Yield Corporate Bond ETF | 1,088 | ||||||
264 | iShares Preferred & Income Securities ETF | 9,610 | ||||||
349 | SPDR Bloomberg Convertible Securities ETF | 26,488 | ||||||
37,582 |
EASTERLY EHS FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 76.7% (Continued) | ||||||||
SPECIALTY - 0.1% | ||||||||
15 | ProShares Short VIX Short-Term Futures ETF(a) | $ | 771 | |||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $1,042,345) | 968,912 | |||||||
EXCHANGE-TRADED NOTES — 0.0%(b) | ||||||||
SPECIALTY - 0.0%(b) | ||||||||
6 | iPath Series B S&P 500 VIX Short-Term Futures ETN(a) | 144 | ||||||
TOTAL EXCHANGE-TRADED NOTES (Cost $122) | 144 | |||||||
OPEN END FUNDS — 19.6% | ||||||||
FIXED INCOME - 19.6% | ||||||||
22,929 | Easterly Income Opportunities Fund, Class R6(c) | 247,180 | ||||||
TOTAL OPEN END FUNDS (Cost $256,581) | 247,180 | |||||||
TOTAL INVESTMENTS - 96.3% (Cost $1,299,048) | $ | 1,216,236 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 3.7% | 46,686 | |||||||
NET ASSETS - 100.0% | $ | 1,262,922 |
EAFE | - Europe, Australasia and Far East |
ETF | - Exchange-Traded Fund |
MSCI | - Morgan Stanley Capital International |
SPDR | - Standard & Poor’s Depositary Receipt |
BBH | Brown Brothers Harriman |
Unrealized | ||||||||||||||||
Foreign Currency | Settlement Date | Counterparty | Local Currency | U.S. Dollar Value | Appreciation/(Depreciation) | |||||||||||
To Buy: | ||||||||||||||||
Mexican Peso | 03/23/2022 | Brown Brothers Harriman | 29,830 | $ | 1,451 | $ | (9 | ) | ||||||||
$ | 1,451 | $ | (9 | ) | ||||||||||||
To Sell: | ||||||||||||||||
Australian Dollar | 03/23/2022 | Brown Brothers Harriman | 1,626 | $ | 1,181 | $ | (13 | ) | ||||||||
British Pound | 03/23/2022 | Brown Brothers Harriman | 5,667 | 7,603 | 93 | |||||||||||
Canadian Dollar | 03/23/2022 | Brown Brothers Harriman | 8,483 | 6,692 | (4 | ) | ||||||||||
Euro | 03/23/2022 | Brown Brothers Harriman | 49,319 | $ | 55,362 | $ | 767 | |||||||||
Japanese Yen | 03/23/2022 | Brown Brothers Harriman | 1,410,465 | 12,276 | (54 | ) | ||||||||||
$ | 83,114 | $ | 789 | |||||||||||||
Total | $ | 780 |
(a) | Non-income producing security. |
(b) | Percentage rounds to less than 0.1% |
(c) | Affiliated Issuer |
EASTERLY TOTAL HEDGE PORTFOLIO |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) |
February 28, 2022 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 74.5% | ||||||||
ALTERNATIVE - 3.4% | ||||||||
1,497 | AlphaClone Alternative Alpha ETF(a) | $ | 101,751 | |||||
9,162 | iMGP DBi Managed Futures Strategy ETF | 244,671 | ||||||
2,375 | IQ Merger Arbitrage ETF(a) | 75,739 | ||||||
17,899 | ProShares Merger ETF | 725,805 | ||||||
1,147,966 | ||||||||
COMMODITY - 2.4% | ||||||||
232 | Invesco DB Agriculture Fund(a) | 4,856 | ||||||
132 | Invesco Optimum Yield Diversified Commodity | 2,136 | ||||||
802 | iShares Gold Trust(a),(b) | 29,121 | ||||||
30 | iShares GSCI Commodity Dynamic | 1,091 | ||||||
14,214 | iShares S&P GSCI Commodity Indexed Trust(a),(b) | 295,794 | ||||||
1,236 | KraneShares Global Carbon Strategy ETF | 60,564 | ||||||
2,897 | ProShares UltraShort Bloomberg Crude Oil(a) | 23,784 | ||||||
921 | SPDR Gold Shares(a),(b) | 164,288 | ||||||
4,358 | United States Commodity Index Fund(a) | 218,161 | ||||||
1,944 | United States Natural Gas Fund, L.P.(a) | 30,054 | ||||||
829,849 | ||||||||
EQUITY - 39.6% | ||||||||
3,676 | AdvisorShares Pure Cannabis ETF | 38,598 | ||||||
218 | AdvisorShares STAR Global Buy-Write ETF | 8,455 | ||||||
2,308 | Alerian MLP ETF | 86,758 | ||||||
60 | ARK Innovation ETF | 4,228 | ||||||
356 | Cambria Cannabis ETF | 4,009 | ||||||
1,924 | Columbia India Consumer ETF | 99,298 | ||||||
73 | Consumer Discretionary Select Sector SPDR Fund | 12,952 | ||||||
2,897 | Core Alternative ETF | 89,749 | ||||||
470 | Direxion NASDAQ-100 Equal Weighted Index Shares | 35,386 | ||||||
2,220 | Energy Select Sector SPDR Fund | 156,688 | ||||||
195 | ETFMG Alternative Harvest ETF | 1,876 | ||||||
4,322 | First Trust DJ Global Select Dividend Index Fund | 109,174 | ||||||
245 | First Trust Dow Jones Internet Index Fund(a) | 45,994 | ||||||
7,984 | First Trust Financial AlphaDEX Fund | 369,340 | ||||||
1,227 | First Trust Global Wind Energy ETF | 24,295 | ||||||
1,963 | First Trust MultiCap Growth AlphaDEX Fund | 215,086 |
EASTERLY TOTAL HEDGE PORTFOLIO |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 74.5% (Continued) | ||||||||
EQUITY - 39.6% (Continued) | ||||||||
4,560 | First Trust Small Cap Growth AlphaDEX Fund | $ | 305,885 | |||||
1,245 | Global SuperDividend US ETF | 25,361 | ||||||
2,029 | Global X MSCI Argentina ETF | 65,638 | ||||||
862 | Global X MSCI Nigeria ETF | 8,042 | ||||||
1,085 | Global X MSCI Norway ETF | 33,234 | ||||||
4,075 | Global X SuperDividend ETF | 46,129 | ||||||
2,416 | Goldman Sachs Hedge Industry VIP ETF(a) | 219,998 | ||||||
187 | Invesco DWA Consumer Cyclicals Momentum ETF | 14,484 | ||||||
204 | Invesco DWA Energy Momentum ETF | 7,762 | ||||||
446 | Invesco DWA Financial Momentum ETF | 21,939 | ||||||
143 | Invesco DWA SmallCap Momentum ETF | 11,798 | ||||||
916 | Invesco FTSE RAFI Canadian Fundamental Index | 26,265 | ||||||
354 | Invesco KBW High Dividend Yield Financial ETF | 6,754 | ||||||
21 | Invesco KBW Property & Casualty ETF | 1,732 | ||||||
2,231 | Invesco S&P 500 Downside Hedge ETF | 80,896 | ||||||
2,262 | Invesco S&P 500 Pure Value ETF | 187,678 | ||||||
34,082 | Invesco S&P SmallCap Energy ETF | 298,218 | ||||||
53 | Invesco S&P SmallCap Financials ETF | 3,136 | ||||||
1,509 | Invesco S&P SmallCap Health Care ETF(a) | 241,697 | ||||||
804 | Invesco S&P SmallCap Information Technology ETF | 109,320 | ||||||
35 | Invesco S&P SmallCap Utilities & Communication Services ETF | 2,251 | ||||||
348 | Invesco Water Resources ETF | 17,873 | ||||||
927 | IQ US Real Estate Small Cap ETF | 23,225 | ||||||
2,539 | iShares Biotechnology ETF | 320,092 | ||||||
777 | iShares China Large-Cap ETF | 27,117 | ||||||
12 | iShares Core S&P/TSX Capped Composite Index ETF | 319 | ||||||
12 | iShares Currency Hedged MSCI EAFE ETF | 399 | ||||||
938 | iShares Dow Jones Asia Pacific Select Dividend 50 UCIT ETF | 25,835 | ||||||
204 | iShares EURO STOXX Mid UCITS ETF | 14,983 | ||||||
94 | iShares Expanded Tech-Software Sector ETF(a) | 32,150 | ||||||
480 | iShares Global Materials ETF | 42,696 | ||||||
10 | iShares Global Timber & Forestry ETF | 884 | ||||||
1,011 | iShares Latin America 40 ETF | 27,196 | ||||||
3,049 | iShares Micro-Cap ETF | 387,924 |
EASTERLY TOTAL HEDGE PORTFOLIO |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 74.5% (Continued) | ||||||||
EQUITY - 39.6% (Continued) | ||||||||
35 | iShares Mortgage Real Estate ETF | $ | 1,112 | |||||
137 | iShares MSCI All Country Asia ex Japan ETF | 10,771 | ||||||
1,315 | iShares MSCI Australia ETF | 31,626 | ||||||
262 | iShares MSCI Brazil ETF | 8,617 | ||||||
32 | iShares MSCI Chile ETF | 833 | ||||||
2,444 | iShares MSCI China Small-Cap ETF | 106,363 | ||||||
674 | iShares MSCI EAFE ETF | 49,350 | ||||||
2,689 | iShares MSCI Emerging Markets ETF | 125,657 | ||||||
1,487 | iShares MSCI Emerging Markets Small-Cap ETF | 83,778 | ||||||
10,030 | iShares MSCI Frontier and Select EM ETF | 338,713 | ||||||
1,671 | iShares MSCI Global Multifactor ETF | 60,990 | ||||||
844 | iShares MSCI Hong Kong ETF | 19,142 | ||||||
6,725 | iShares MSCI India Small-Cap ETF | 371,220 | ||||||
2,046 | iShares MSCI Indonesia ETF | 49,779 | ||||||
722 | iShares MSCI Ireland ETF | 37,257 | ||||||
5,917 | iShares MSCI Japan ETF | 372,416 | ||||||
865 | iShares MSCI Japan Small-Cap ETF | 63,232 | ||||||
17 | iShares MSCI Mexico ETF | 856 | ||||||
263 | iShares MSCI Philippines ETF | 8,666 | ||||||
359 | iShares MSCI Taiwan ETF | 22,947 | ||||||
259 | iShares MSCI Thailand ETF | 20,707 | ||||||
5,363 | iShares MSCI UAE ETF | 94,067 | ||||||
2,918 | iShares MSCI United Kingdom Small-Cap ETF | 116,188 | ||||||
126 | iShares Russell 1000 Growth ETF | 33,697 | ||||||
2,550 | iShares Russell 1000 Value ETF | 413,048 | ||||||
1,703 | iShares Russell 2000 ETF | 346,254 | ||||||
1,245 | iShares Russell 2000 Growth ETF | 317,637 | ||||||
7,064 | iShares Russell 2000 Value ETF | 1,121,338 | ||||||
2,525 | iShares Russell Mid-Cap Growth ETF | 250,177 | ||||||
6,268 | iShares Russell Mid-Cap Value ETF | 729,970 | ||||||
337 | iShares S&P Mid-Cap 400 Growth ETF | 25,989 | ||||||
303 | iShares S&P/TSX Capped Materials Index ETF | 4,740 | ||||||
200 | iShares S&P/TSX Global Gold Index ETF | 3,110 | ||||||
4,770 | iShares S&P/TSX SmallCap Index ETF | 78,339 |
EASTERLY TOTAL HEDGE PORTFOLIO |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 74.5% (Continued) | ||||||||
EQUITY - 39.6% (Continued) | ||||||||
533 | iShares STOXX Europe 600 Banks UCITS ETF | $ | 8,324 | |||||
39 | iShares STOXX Europe 600 Insurance UCITS ETF | 1,363 | ||||||
8,887 | iShares STOXX Europe 600 Travel & Leisure UCITS(a) | 205,307 | ||||||
30 | iShares STOXX Europe 600 Utilities UCITS ETF | 1,359 | ||||||
7 | iShares U.S. Financial Services ETF | 1,309 | ||||||
441 | iShares U.S. Healthcare Providers ETF | 120,662 | ||||||
206 | iShares U.S. Medical Devices ETF | 12,195 | ||||||
292 | iShares US Financials ETF | 24,770 | ||||||
76 | iShares US Pharmaceuticals ETF | 13,955 | ||||||
2,684 | KraneShares CSI China Internet ETF | 89,807 | ||||||
1,180 | Materials Select Sector SPDR Fund | 98,388 | ||||||
55 | SPDR Dow Jones Global Real Estate ETF | 2,837 | ||||||
24 | SPDR EURO STOXX 50 ETF | 1,002 | ||||||
1,331 | SPDR FactSet Innovative Technology ETF(a) | 214,065 | ||||||
1,028 | SPDR S&P 500 ETF Trust | 448,855 | ||||||
4,397 | SPDR S&P Emerging Asia Pacific ETF | 508,424 | ||||||
77 | SPDR S&P Insurance ETF | 3,076 | ||||||
811 | SPDR S&P Oil & Gas Exploration & Production ETF | 94,814 | ||||||
641 | SPDR S&P Regional Banking ETF | 47,613 | ||||||
1,432 | SPDR S&P Retail ETF | 110,608 | ||||||
7,319 | VanEck Africa Index ETF | 155,675 | ||||||
3,980 | VanEck Brazil Small-Cap ETF | 68,496 | ||||||
6,455 | VanEck ChiNext ETF | 272,134 | ||||||
1,728 | VanEck Egypt Index ETF | 42,543 | ||||||
39 | VanEck Israel ETF | 1,798 | ||||||
91 | VanEck Mortgage REIT Income ETF | 1,502 | ||||||
6,095 | VanEck Russia ETF | 66,131 | ||||||
1,504 | VanEck Russia Small-Cap ETF | 32,216 | ||||||
103 | VanEck Semiconductor ETF | 27,619 | ||||||
2,996 | VanEck Vietnam ETF | 58,452 | ||||||
7,021 | Vanguard FTSE Emerging Markets ETF | 335,744 | ||||||
145 | Vanguard Real Estate ETF | 14,868 | ||||||
1,704 | Vanguard Total World Stock ETF | 169,838 | ||||||
1,090 | VictoryShares US EQ Income Enhanced Volatility Weighted ETF | 75,919 |
EASTERLY TOTAL HEDGE PORTFOLIO |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 74.5% (Continued) | ||||||||
EQUITY - 39.6% (Continued) | ||||||||
3,532 | Wedbush ETFMG Video Game Tech ETF | $ | 275,508 | |||||
3,746 | WisdomTree Emerging Markets SmallCap Dividend Fund | 196,515 | ||||||
18 | WisdomTree Europe SmallCap Dividend Fund | 1,197 | ||||||
3,634 | WisdomTree Japan Hedged SmallCap Equity Fund | 156,880 | ||||||
4,144 | Xtrackers Harvest CSI 300 China A-Shares ETF | 151,836 | ||||||
1,158 | Xtrackers Harvest CSI 500 China A-Shares ETF | 45,271 | ||||||
2,929 | Xtrackers MSCI All China Equity ETF | 105,744 | ||||||
13,524,001 | ||||||||
FIXED INCOME - 28.3% | ||||||||
831 | BlackRock Ultra Short-Term Bond ETF | 41,791 | ||||||
51,163 | CI Canadian Convertible Bond ETF | 411,658 | ||||||
91 | First Trust Emerging Markets Local Currency Bond ETF | 2,786 | ||||||
3,433 | First Trust Municipal High Income ETF | 183,734 | ||||||
52,568 | First Trust Senior Loan ETF | 2,489,621 | ||||||
413 | Global X SuperIncome Preferred ETF | 4,611 | ||||||
22,308 | High Yield ETF | 658,086 | ||||||
8,671 | Highland/iBoxx Senior Loan ETF | 135,875 | ||||||
993 | Invesco Financial Preferred ETF | 17,099 | ||||||
81,728 | Invesco Global Short Term High Yield Bond ETF | 1,655,809 | ||||||
1,454 | Invesco Senior Loan ETF | 31,654 | ||||||
3,131 | Invesco Variable Rate Preferred ETF | 77,242 | ||||||
1,666 | iShares 0-5 Year TIPS Bond ETF | 176,496 | ||||||
969 | iShares 7-10 Year Treasury Bond ETF | 108,644 | ||||||
1,466 | iShares Agency Bond ETF | 168,766 | ||||||
18,140 | iShares Barclays USD Asia High Yield Bond Index ETF | 141,855 | ||||||
873 | iShares Floating Rate Bond ETF | 44,235 | ||||||
4,070 | iShares iBoxx $ High Yield Corporate Bond ETF | 340,537 | ||||||
1,220 | iShares JP Morgan EM Corporate Bond ETF | 57,267 | ||||||
1,835 | iShares JP Morgan USD Emerging Markets Bond ETF | 182,032 | ||||||
3,591 | iShares Preferred & Income Securities ETF | 130,712 | ||||||
13,654 | ProShares Short 20+ Year Treasury(a) | 229,933 | ||||||
12,116 | SPDR Blackstone Senior Loan ETF | 546,310 | ||||||
6,185 | SPDR Bloomberg Convertible Securities ETF | 469,442 | ||||||
6,022 | SPDR Bloomberg Euro High Yield Bond UCITS ETF | 366,628 |
EASTERLY TOTAL HEDGE PORTFOLIO |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 74.5% (Continued) | ||||||||
FIXED INCOME - 28.3% (Continued) | ||||||||
11,667 | SPDR Doubleline Total Return Tactical ETF | $ | 537,615 | |||||
14,300 | VanEck Emerging Markets High Yield Bond ETF | 292,435 | ||||||
513 | VanEck Fallen Angel High Yield Bond ETF | 15,852 | ||||||
686 | VanEck International High Yield Bond ETF | 15,387 | ||||||
1,440 | VanEck J. P. Morgan EM Local Currency Bond ETF | 39,139 | ||||||
521 | Vanguard Long-Term Treasury ETF | 44,045 | ||||||
7 | Vanguard Mortgage-Backed Securities ETF | 360 | ||||||
1,085 | Vanguard Total International Bond ETF | 58,232 | ||||||
479 | WisdomTree Emerging Markets Local Debt Fund | 13,532 | ||||||
9,689,420 | ||||||||
MIXED ALLOCATION - 0.5% | ||||||||
521 | iShares Morningstar Multi-Asset Income ETF | 11,868 | ||||||
5,502 | SPDR SSgA Multi-Asset Real Return ETF | 159,118 | ||||||
170,986 | ||||||||
SPECIALTY - 0.3% | ||||||||
346 | Invesco DB US Dollar Index Bullish Fund(a) | 8,954 | ||||||
304 | ProShares Short VIX Short-Term Futures ETF(a) | 15,623 | ||||||
3,204 | WisdomTree Bloomberg U.S. Dollar Bullish Fund(a) | 83,913 | ||||||
108,490 | ||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $27,118,033) | 25,470,712 | |||||||
Shares | Fair Value | |||||||
EXCHANGE-TRADED NOTES — 0.0%(c) | ||||||||
COMMODITY - 0.0%(c) | ||||||||
68 | iPath Series B Bloomberg Coffee Subindex Total Return ETN(a),(b) | 4,302 | ||||||
68 | iPath Series B Bloomberg Grains Subindex Total Return ETN(a),(b) | 5,369 | ||||||
9,671 | ||||||||
SPECIALTY - 0.0%(c) | ||||||||
304 | iPath Series B S&P 500 VIX Short-Term Futures ETN(a) | 7,296 | ||||||
TOTAL EXCHANGE-TRADED NOTES (Cost $18,093) | 16,967 |
EASTERLY TOTAL HEDGE PORTFOLIO |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Shares | Fair Value | |||||||
OPEN END FUNDS — 17.8% | ||||||||
ALTERNATIVE - 6.3% | ||||||||
131,970 | Easterly Hedged Equity Fund, Class R6(d) | $ | 1,376,445 | |||||
72,508 | Kellner Merger Fund, Institutional Class | 772,212 | ||||||
625 | Merger Fund (The), Class V | 10,861 | ||||||
2,159,518 | ||||||||
FIXED INCOME - 11.5% | ||||||||
363,279 | Easterly Income Opportunities Fund, Class R6(d) | 3,916,149 | ||||||
TOTAL OPEN END FUNDS (Cost $6,336,767) | 6,075,667 | |||||||
TOTAL INVESTMENTS - 92.3% (Cost $33,472,893) | $ | 31,563,346 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 7.7% | 2,644,967 | |||||||
NET ASSETS - 100.0% | $ | 34,208,313 |
Unrealized | ||||||||||||||||
Foreign Currency | Settlement Date | Counterparty | Local Currency | U.S. Dollar Value | Appreciation/(Depreciation) | |||||||||||
To Buy: | ||||||||||||||||
Mexican Peso | 03/23/2022 | Brown Brothers Harriman | 311,694 | $ | 15,160 | $ | (96 | ) | ||||||||
$ | 15,160 | $ | (96 | ) | ||||||||||||
To Sell: | ||||||||||||||||
Canadian Dollar | 03/02/2022 | Brown Brothers Harriman | 1,535 | $ | 1,211 | $ | (11 | ) | ||||||||
Australian Dollar | 03/23/2022 | Brown Brothers Harriman | 104,081 | 75,605 | (824 | ) | ||||||||||
British Pound | 03/23/2022 | Brown Brothers Harriman | 118,115 | 158,473 | 1,926 | |||||||||||
Canadian Dollar | 03/23/2022 | Brown Brothers Harriman | 703,780 | 555,216 | (323 | ) | ||||||||||
Euro | 03/23/2022 | Brown Brothers Harriman | 1,077,801 | 1,209,837 | 16,783 | |||||||||||
Japanese Yen | 03/23/2022 | Brown Brothers Harriman | 53,863,857 | 468,819 | (2,061 | ) | ||||||||||
Swiss Franc | 03/23/2022 | Brown Brothers Harriman | 11,331 | 12,367 | (63 | ) | ||||||||||
$ | 2,481,528 | $ | 15,427 | |||||||||||||
Total | $ | 15,331 |
EASTERLY TOTAL HEDGE PORTFOLIO | |
February 28, 2022 (Unaudited) (Continued) |
EAFE | - Europe, Australasia and Far East |
ETF | - Exchange-Traded Fund |
LP | - Limited Partnership |
MSCI | - Morgan Stanley Capital International |
REIT | - Real Estate Investment Trust |
SPDR | - Standard & Poor’s Depositary Receipt |
BBH | Brown Brothers Harriman |
DB | Deutsche Bank |
GS | Goldman Sachs |
(a) | Non-income producing security. |
(b) | All or a portion of this investment is a holding of the James Alpha Total Hedge Cayman Fund Ltd.. |
(c) | Percentage rounds to less than 0.1%. |
(d) | Affiliated Issuer |
EASTERLY TOTAL HEDGE PORTFOLIO |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
TOTAL RETURN SWAP - 0.0% | ||||||||||||||||
Notional Amount | Reference Entity | Shares | Counterparty | Maturity Date | Pay/Receive Fixed Rate | Variable Rate | Unrealized Appreciation/ (Depreciation) | |||||||||
1,155,998 | S&P 500 Equal Weighted Index | 185 | Goldman Sachs | 5/20/2022 | Pay | 0.0500 | $ | — | ||||||||
99,978 | S&P 500 Equal Weighted Index | 16 | Goldman Sachs | 5/20/2022 | Pay | 0.0500 | — | |||||||||
$ | — |
Unrealized Appreciation/ (Depreciation) | ||||
TOTAL RETURN SWAP - 0.0% | ||||
The Deutsche Bank Total Return Swap provides exposure to the daily, total returns of the Easterly Index, a proprietary index of the London Branch of Deutsche Bank AG. The number of shares is 58,245 and requires the fund to pay interest at the rate of 0.38% on the Notional Value outstanding. The Easterly Index features a basket of commodity trading advisor (“CTA”) programs selected by Easterly Funds, LLC from an approved list of third-party managers offered through Deutsche Bank AG on its DB Select platform. The Easterly Index comprises a diversified collection of strategy and style types, including trend following, short-term trading, discretionary, global macro, and sector specialists. According to the terms of the swap, Easterly Funds, LLC can modify the Easterly Index as frequently as daily, on a T+1 basis, by adjusting the notional value of the Easterly Index, or by adding, deleting, or re-weighting the constituent CTA programs. The swap became effective on August 2, 2018, and expires on July 30, 2024. (Notional Value $6,439,627) | $ | (47,986 | ) | |
$ | (47,986 | ) | ||
TOTAL RETURN SWAP - (0.0)% | ||||
The Goldman Sachs Calls-vs-Calls US Series 2 Total Return Strategy is designed to extract dislocated call premiums from S&P 500 constituents; the strategy sells call options on a daily basis across top 100 constituents of the SPX where the term structure is most inverted. The stocks are picked with constraints on leverage, beta towards SPX and tracking error. The strategy also purchases an ATM call option on SPX to mitigate market risk. The number of shares is 7,713 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on May 28, 2021 and expires on February 8, 2023. (Notional Value $900,704) | $ | 9,791 | ||
$ | 9,791 | |||
TOTAL RETURN SWAP - (0.0)% | ||||
The Goldman Sachs i-Select III Series 88 Excess Return Strategy (“GS i-Select”) is a synthetic rules-based proprietary strategy created by Goldman Sachs International as strategy sponsor. The GS i-Select Index includes strategies of the GS Risk Premia Universe that were selected by Easterly . The GS i-Select Index is actively managed by Easterly . The Index features 15 Portfolio Constituents that Easterly Funds, LLC determines the daily waiting of each constituent within the GS i-Select Index. The GS i-Select Index is comprised a diversified collection of strategy and style types, including equity, interest rates, FX, commodities, and credit based strategies such as imbalance, volatility carry, carry, momentum, low beta, and quality. According to the terms of the GS i-Select Index, Easterly Funds, LLC can modify the GS i-Select Index as frequently as daily, by adjusting the notional value of the GS i-Select Index, or by adding, deleting, or re-weighting the constituent Indexes in the GS i-Select Index. The number of shares is 18,117 and requires the fund to pay interest at the rate of 0.25% on the Notional Value outstanding. The swap became effective on May 28, 2021 and expires on February 8, 2023. (Notional Value $1,812,433) | $ | (13 | ) | |
$ | (13 | ) | ||
TOTAL RETURN SWAP - (0.0)% | ||||
The Goldman Sachs Intraday Momentum ES Series 1 Excess Return Strategy aims to capture intraday trend risk premium on the S&P 500. There is empirical evidence that the returns in the earlier part of the day tend to continue in the same direction in the subsequent part of the day, across several markets, including equities. The strategy attempts to monetize this historical tendency for intraday trends from the previous close to extend unto the following close: 1) Every day after the open, the strategy buys futures if markets are rising since the previous close; conversely, it sells futures if markets are falling since previous close. 2) The strategy monitors market moves every 30-minutes to reactively modify its positioning if a new trend appears. 3) All positions are exited at the close. The number of shares is 4,445 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on August 2, 2021 and expires on February 8, 2023. (Notional Value $464,832) | $ | 220 | ||
$ | 220 | |||
TOTAL RETURN SWAP - 0.1% | ||||
Goldman Sachs Long Gamma US Series 10 Excess Return Strategy attempts to provide protection in tail scenarios through a levered position in delta-hedged put options. The strategy buys 12m 10-delta S&P Put options and delta-hedges them to attempt to neutralize the inherent short market exposure in typical markets. The strategy takes a long position in volatility and is best-positioned for left-tail events with very high realized volatility. The number of shares is 8,739 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on August 2, 2021 and expires on February 8, 2023. (Notional Value $1,211,509) | $ | (19,668 | ) | |
$ | (19,668 | ) | ||
TOTAL RETURN SWAP - 0.1% | ||||
The Goldman Sachs Systematic Skew US Series 1D Total Return Strategy is designed to capture the spot-volatility covariance risk premium in equity markets, while minimizing exposure to volatility risk. The strategy sells 3m 15d puts and buys 3m 40d calls (delta and gamma hedged) that target a constant exposure to skew, with performance driven by Vanna. The strategy also buys 5d tail puts for added risk management. The number of shares is 9,695 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on August 30, 2021 and expires on February 8, 2023. (Notional Value $1,436,362) | $ | 48,014 | ||
$ | 48,014 |
EASTERLY TOTAL HEDGE PORTFOLIO |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Easterly Deutsche Bank Swap Top 50 Holdings
FUTURES CONTRACTS*
Unrealized | Percentage of Total | |||||||||||||||
Number of | Notional Value at | Appreciation/ | Return Swap | |||||||||||||
Contracts | Open Long Future Contracts | Counterparty | February 28, 2022 | Expiration | (Depreciation) | Unrealized Gain/Loss | ||||||||||
12 | Corn Future | Deutsche Bank | 412,734 | 5/13/2022 | $ | 13,718 | (28.59 | )% | ||||||||
2 | E-Mini S&P 500 | Deutsche Bank | 366,450 | 3/18/2022 | (613 | ) | 1.28 | % | ||||||||
1 | Eurodollar | Deutsche Bank | 334,029 | 12/18/2023 | (18,947 | ) | 39.48 | % | ||||||||
1 | Gold | Deutsche Bank | 248,540 | 4/27/2022 | 5,774 | (12.03 | )% | |||||||||
6 | Light Sweet Crude Oil (WTI) Future | Deutsche Bank | 431,639 | 11/20/2023 | 43,445 | (90.54 | )% | |||||||||
3 | NY Harbour ULSD Future | Deutsche Bank | 375,168 | 9/30/2022 | 9,694 | (20.20 | )% | |||||||||
53,071 |
Unrealized | Percentage of Total | |||||||||||||||
Number of | Notional Value at | Appreciation/ | Return Swap | |||||||||||||
Contracts | Open Short Future Contracts | Counterparty | February 28, 2022 | Expiration | (Depreciation) | Unrealized Gain | ||||||||||
(2) | 3 month Euro (EURIBOR) | Deutsche Bank | 534,983 | 6/17/2024 | 2,494 | (5.20 | )% | |||||||||
(4) | 3 Month SONIA Index Futures | Deutsche Bank | 1,247,100 | 3/19/2024 | 2,366 | (4.93 | )% | |||||||||
(7) | 3 year Australian Treasury Bond | Deutsche Bank | 597,073 | 3/15/2022 | 7,215 | (15.04 | )% | |||||||||
(0) | 10 year Japanese Government Bond | Deutsche Bank | 261,817 | 3/14/2022 | (883 | ) | 1.84 | % | ||||||||
(6) | AUD/USD | Deutsche Bank | 454,157 | 3/14/2022 | (2,975 | ) | 6.20 | % | ||||||||
(9) | Corn Future | Deutsche Bank | 299,044 | 7/14/2022 | (41,565 | ) | 86.62 | % | ||||||||
(4) | EUR/USD | Deutsche Bank | 502,717 | 3/14/2022 | 2,796 | (5.83 | )% | |||||||||
(3) | Euro-BOBL | Deutsche Bank | 443,620 | 3/8/2022 | 1,346 | (2.80 | )% | |||||||||
(4) | Eurodollar | Deutsche Bank | 901,504 | 12/16/2024 | 7,939 | (16.54 | )% | |||||||||
(3) | JPY/USD | Deutsche Bank | 299,701 | 3/14/2022 | 1,024 | (2.13 | )% | |||||||||
(3) | Light Sweet Crude Oil (WTI) Future | Deutsche Bank | 256,192 | 11/21/2022 | (22,668 | ) | 47.24 | % | ||||||||
(4) | Light Sweet Crude Oil (WTI) Future | Deutsche Bank | 344,522 | 5/20/2022 | (50,761 | ) | 105.78 | % | ||||||||
(2) | Long Gilt Future | Deutsche Bank | 354,577 | 6/28/2022 | (786 | ) | 1.64 | % | ||||||||
(3) | NY Harbour ULSD Future | Deutsche Bank | 377,035 | 8/31/2022 | (10,226 | ) | 21.31 | % | ||||||||
(2) | SOFR 3month Futures | Deutsche Bank | 440,564 | 6/18/2024 | 1,039 | (2.17 | )% | |||||||||
(3) | SOFR 3month Futures | Deutsche Bank | 680,428 | 12/19/2023 | 786 | (1.64 | )% | |||||||||
(2) | Three Month Canadian Bankers Acceptance Future | Deutsche Bank | 415,785 | 12/19/2022 | 86 | (0.18 | )% | |||||||||
(6) | Wheat Future | Deutsche Bank | 285,991 | 9/14/2022 | (7,960 | ) | 16.59 | % | ||||||||
(110,733 | ) | |||||||||||||||
TOTAL FUTURES CONTRACTS | $ | (57,662 | ) |
PURCHASED CALL OPTIONS* | ||||||||||||||
Percentage of Total | ||||||||||||||
Notional Value at | Return Swap | |||||||||||||
Description | Counterparty | February 28, 2022 | Expiration | Strike Price | Unrealized Appreciation | Unrealized Gain | ||||||||
CNH/USD | Deutsche Bank | 315,472 | 4/18/2022 | 6.60 | $ | 66 | (0.14)% | |||||||
USD/EUR | Deutsche Bank | 315,472 | 4/28/2022 | 1.18 | 450 | (0.94)% | ||||||||
ZAR/USD | Deutsche Bank | 243,619 | 7/21/2022 | 15.40 | 847 | (1.76)% | ||||||||
1,362 |
WRITTEN CALL OPTIONS* | ||||||||||||||
Percentage of Total | ||||||||||||||
Notional Value at | Return Swap | |||||||||||||
Description | Counterparty | November 30, 2021 | Expiration | Strike Price | Unrealized Appreciation | Unrealized Gain | ||||||||
JPY/USD | Deutsche Bank | 554,838 | 12/9/2021 | 114.00 | $ | (2,037 | ) | 4.24% | ||||||
JPY/USD | Deutsche Bank | 277,419 | 12/9/2021 | 114.00 | (1,095 | ) | 2.28% | |||||||
USD/GBP | Deutsche Bank | 174,774 | 1/3/2022 | 1.41 | (7 | ) | 0.01% | |||||||
(3,139 | ) |
FORWARD CURRENCY CONTRACTS +* | ||||||||||||||||||
Unrealized | Percentage of Total | |||||||||||||||||
Settlement | Appreciation / | Return Swap | ||||||||||||||||
Date | Units to Receive/Deliver | Counterparty | In Exchange For | US Dollar Value | (Depreciation) | Unrealized Gain/Loss | ||||||||||||
To Buy: | ||||||||||||||||||
3/11/2022 | 1,677,488 | Deutsche Bank | CNH | 263,082 | USD | 260,565 | (2,517) | 5.25 | % | |||||||||
9/30/2022 | 3,508,466 | Deutsche Bank | HKD | 450,802 | USD | 450,802 | — | 0.00 | % | |||||||||
5/17/2022 | 4,739,364,204 | Deutsche Bank | IDO | 319,795 | USD | 311,195 | (8,601) | 17.92 | % | |||||||||
6/16/2022 | 1,543,975,400 | Deutsche Bank | KRO | 1,322,982 | USD | 1,362,530 | 39,548 | (82.42 | )% | |||||||||
10/27/2022 | 884,059,575 | Deutsche Bank | KRO | 742,997 | USD | 750,092 | 7,095 | (14.79 | )% | |||||||||
11/16/2022 | 446,706,342 | Deutsche Bank | KRO | 376,605 | USD | 381,282 | 4,677 | (9.75 | )% | |||||||||
11/1/2022 | 438,909,238 | Deutsche Bank | KRO | 372,775 | USD | 380,158 | 7,382 | (15.38 | )% | |||||||||
11/3/2022 | 435,676,281 | Deutsche Bank | KRO | 362,134 | USD | 361,598 | (535) | 1.12 | % | |||||||||
10/21/2022 | 431,070,816 | Deutsche Bank | KRO | 360,647 | USD | 362,497 | 1,850 | (3.86 | )% | |||||||||
11/8/2022 | 433,649,444 | Deutsche Bank | KRO | 360,642 | USD | 360,283 | (359) | 0.75 | % | |||||||||
3/31/2022 | 9,742,661 | Deutsche Bank | TWO | 349,947 | USD | 351,861 | 1,914 | (3.99 | )% | |||||||||
3/31/2022 | 198,779 | Deutsche Bank | USD | 276,402 | AUD | 276,424 | 22 | (0.05 | )% | |||||||||
3/30/2022 | 189,069 | Deutsche Bank | USD | 261,991 | AUD | 262,954 | 963 | (2.01 | )% | |||||||||
7/21/2022 | 3,751,726 | Deutsche Bank | ZAR | 243,619 | USD | 244,465 | 847 | (1.76 | )% | |||||||||
52,287 |
EASTERLY TOTAL HEDGE PORTFOLIO |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Easterly Deutsche Bank Swap Top 50 Holdings (Continued)
To Sell: | ||||||||||||||||||
12/30/2022 | 3,505,446 | Deutsche Bank | HKD | 450,809 | USD | 450,880 | 71 | (0.15)% | ||||||||||
2/3/2023 | 435,640,216 | Deutsche Bank | KRO | 360,647 | USD | 363,008 | 2,361 | (4.92)% | ||||||||||
2/8/2023 | 433,631,411 | Deutsche Bank | KRO | 360,647 | USD | 361,371 | 724 | (1.51)% | ||||||||||
7/21/2022 | 431,002,293 | Deutsche Bank | KRO | 360,652 | USD | 358,392 | (2,260 | ) | 4.71% | |||||||||
8/1/2022 | 438,215,876 | Deutsche Bank | KRO | 372,780 | USD | 364,446 | (8,335 | ) | 17.37% | |||||||||
8/16/2022 | 446,107,540 | Deutsche Bank | KRO | 376,610 | USD | 371,070 | (5,541 | ) | 11.55% | |||||||||
7/27/2022 | 883,196,396 | Deutsche Bank | KRO | 743,008 | USD | 734,460 | (8,547 | ) | 17.81% | |||||||||
9/16/2022 | 1,545,178,483 | Deutsche Bank | KRO | 1,302,160 | USD | 1,285,630 | (16,530 | ) | 34.45% | |||||||||
3/31/2022 | 317,498 | Deutsche Bank | USD | 282,933 | EUR | 282,824 | (108 | ) | 0.23% | |||||||||
2/28/2022 | 397,166 | Deutsche Bank | USD | 354,078 | EUR | 353,508 | (569 | ) | 1.19% | |||||||||
(38,734 | ) | |||||||||||||||||
TOTAL FORWARD CURRENCY CONTRACTS | ||||||||||||||||||
All Other Investments | (2,100 | ) | ||||||||||||||||
Total Unrealized Appreciation of Swap | $ | (47,986 | ) |
+ | Foreign currency transactions are done by notional and not by contracts |
* | Non-income producing securities |
Currency Abbreviations:
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
CNH - Chinese Yuan Renminbi
EUR - Euro
GBP - Great Britain Pound
JPY - Japanese Yen
MXN - Mexican Peso
USD - U.S. Dollar
EASTERLY TOTAL HEDGE PORTFOLIO |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Goldman Sachs Calls-vs-Calls US Series 2 Total Return Strategy Top 50 Holdings
PURCHASED CALL OPTIONS | ||||||||||||||||
Number of | Notional Value at | |||||||||||||||
Contracts | Open Purchased Call Options | Counterparty | February 28, 2022 | Expiration | Exercise Price | Market Value | ||||||||||
11 | S&P 500 Index | Goldman Sachs | 49,084 | 3/18/2022 | $ | 4,230 | $ | 2,219 | ||||||||
11 | S&P 500 Index | Goldman Sachs | 48,211 | 3/18/2022 | $ | 4,290 | 1,691 | |||||||||
8 | S&P 500 Index | Goldman Sachs | 34,798 | 3/18/2022 | $ | 4,310 | 1,109 | |||||||||
6 | S&P 500 Index | Goldman Sachs | 25,244 | 3/18/2022 | $ | 4,335 | 708 | |||||||||
9 | S&P 500 Index | Goldman Sachs | 37,346 | 3/18/2022 | $ | 4,355 | 938 | |||||||||
5 | S&P 500 Index | Goldman Sachs | 22,996 | 3/18/2022 | $ | 4,360 | 560 | |||||||||
5 | S&P 500 Index | Goldman Sachs | 20,771 | 3/18/2022 | $ | 4,365 | 491 | |||||||||
19 | S&P 500 Index | Goldman Sachs | 84,045 | 3/18/2022 | $ | 4,385 | 1,757 | |||||||||
15 | S&P 500 Index | Goldman Sachs | 65,961 | 3/18/2022 | $ | 4,405 | 1,211 | |||||||||
4 | S&P 500 Index | Goldman Sachs | 18,419 | 3/18/2022 | $ | 4,420 | 304 | |||||||||
11 | S&P 500 Index | Goldman Sachs | 47,376 | 3/18/2022 | $ | 4,425 | 755 | |||||||||
6 | S&P 500 Index | Goldman Sachs | 26,654 | 3/18/2022 | $ | 4,435 | 395 | |||||||||
12 | S&P 500 Index | Goldman Sachs | 50,672 | 3/18/2022 | $ | 4,470 | 568 | |||||||||
12 | S&P 500 Index | Goldman Sachs | 52,642 | 3/18/2022 | $ | 4,475 | 564 | |||||||||
8 | S&P 500 Index | Goldman Sachs | 34,151 | 3/18/2022 | $ | 4,480 | 349 | |||||||||
9 | S&P 500 Index | Goldman Sachs | 38,182 | 3/18/2022 | $ | 4,485 | 373 | |||||||||
3 | S&P 500 Index | Goldman Sachs | 13,831 | 3/18/2022 | $ | 4,490 | 129 | |||||||||
8 | S&P 500 Index | Goldman Sachs | 36,038 | 3/18/2022 | $ | 4,500 | 307 | |||||||||
9 | S&P 500 Index | Goldman Sachs | 41,009 | 3/18/2022 | $ | 4,505 | 332 | |||||||||
6 | S&P 500 Index | Goldman Sachs | 28,267 | 3/18/2022 | $ | 4,515 | 207 | |||||||||
9 | S&P 500 Index | Goldman Sachs | 39,903 | 3/18/2022 | $ | 4,520 | 278 | |||||||||
7 | S&P 500 Index | Goldman Sachs | 29,785 | 3/18/2022 | $ | 4,545 | 161 | |||||||||
5 | S&P 500 Index | Goldman Sachs | 23,106 | 3/18/2022 | $ | 4,580 | 84 | |||||||||
9 | S&P 500 Index | Goldman Sachs | 41,203 | 3/18/2022 | $ | 4,585 | 141 | |||||||||
7 | S&P 500 Index | Goldman Sachs | 31,466 | 3/18/2022 | $ | 4,590 | 101 | |||||||||
3 | S&P 500 Index | Goldman Sachs | 13,315 | 3/18/2022 | $ | 4,670 | 16 | |||||||||
6 | S&P 500 Index | Goldman Sachs | 24,848 | 3/18/2022 | $ | 4,680 | 27 | |||||||||
6 | S&P 500 Index | Goldman Sachs | 25,895 | 3/18/2022 | $ | 4,700 | 22 | |||||||||
4 | S&P 500 Index | Goldman Sachs | 19,268 | 3/18/2022 | $ | 4,715 | 14 | |||||||||
8 | S&P 500 Index | Goldman Sachs | 36,469 | 3/18/2022 | $ | 4,795 | 12 | |||||||||
5 | S&P 500 Index | Goldman Sachs | 21,474 | 4/14/2022 | $ | 4,235 | 1,160 | |||||||||
6 | S&P 500 Index | Goldman Sachs | 24,909 | 4/14/2022 | $ | 4,295 | 1,104 | |||||||||
3 | S&P 500 Index | Goldman Sachs | 12,793 | 4/14/2022 | $ | 4,315 | 528 | |||||||||
7 | S&P 500 Index | Goldman Sachs | 29,858 | 4/14/2022 | $ | 4,390 | 906 | |||||||||
3 | S&P 500 Index | Goldman Sachs | 13,283 | 4/14/2022 | $ | 4,410 | 370 | |||||||||
3 | S&P 500 Index | Goldman Sachs | 13,005 | 4/14/2022 | $ | 4,430 | 329 | |||||||||
3 | S&P 500 Index | Goldman Sachs | 13,239 | 4/14/2022 | $ | 4,475 | 266 | |||||||||
3 | S&P 500 Index | Goldman Sachs | 13,445 | 4/14/2022 | $ | 4,480 | 263 | |||||||||
3 | S&P 500 Index | Goldman Sachs | 11,948 | 4/14/2022 | $ | 4,525 | 180 | |||||||||
5 | S&P 500 Index | Goldman Sachs | 22,897 | 4/14/2022 | $ | 4,590 | 225 | |||||||||
4 | S&P 500 Index | Goldman Sachs | 16,219 | 5/20/2022 | $ | 4,395 | 637 | |||||||||
4 | S&P 500 Index | Goldman Sachs | 16,877 | 5/20/2022 | $ | 4,485 | 472 | |||||||||
22,263 |
WRITTEN CALL OPTIONS | ||||||||||||||||
Number of | Notional Value at | |||||||||||||||
Contracts | Open Written Call Options | Counterparty | February 28, 2022 | Expiration | Exercise Price | Market Value | ||||||||||
117 | Apple, Inc. | Goldman Sachs | 19,326 | 3/18/2022 | $ | 175 | $ | 100 | ||||||||
399 | Cisco Systems, Inc. | Goldman Sachs | 22,258 | 3/18/2022 | $ | 55 | 749 | |||||||||
278 | NextEra Energy, Inc. | Goldman Sachs | 21,760 | 3/18/2022 | $ | 75 | 1,184 | |||||||||
308 | Pfizer, Inc. | Goldman Sachs | 14,452 | 3/18/2022 | $ | 55 | 20 | |||||||||
300 | Verizon Communications, Inc. | Goldman Sachs | 16,083 | 3/18/2022 | $ | 53 | 529 | |||||||||
291 | Verizon Communications, Inc. | Goldman Sachs | 15,632 | 4/14/2022 | $ | 53 | 611 | |||||||||
121 | Walmart, Inc. | Goldman Sachs | 16,397 | 3/18/2022 | $ | 140 | 105 | |||||||||
136 | Walmart, Inc. | Goldman Sachs | 18,339 | 3/18/2022 | $ | 135 | 381 | |||||||||
3,679 |
EASTERLY TOTAL HEDGE PORTFOLIO |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Goldman Sachs i-Select III Series 88 Excess Return Strategy Top 50 Holdings
FUTURES CONTRACTS* | ||||||||
Number of | Notional Value at | |||||||
Contracts | Open Long Future Contracts | Counterparty | February 28, 2022 | Expiration | ||||
0 | CBOT 5 Year US Treasury Note | Goldman Sachs | 56,928 | 6/30/2022 | ||||
0 | CBOT Soybean Future | Goldman Sachs | 26,567 | 5/13/2022 | ||||
0 | CBOT Wheat Future | Goldman Sachs | 19,923 | 7/14/2022 | ||||
0 | CBOT Wheat Future | Goldman Sachs | 19,656 | 9/14/2022 | ||||
1 | CME Live Cattle Future | Goldman Sachs | 28,931 | 8/31/2022 | ||||
0 | Eurex 5 Year Euro BOBL Future | Goldman Sachs | 53,423 | 3/8/2022 | ||||
0 | ICE Brent Crude Oil Future | Goldman Sachs | 32,616 | 3/31/2022 | ||||
0 | ICE Brent Crude Oil Future | Goldman Sachs | 31,661 | 4/29/2022 | ||||
0 | ICE Gas Oil Future | Goldman Sachs | 18,732 | 4/12/2022 | ||||
0 | LME Nickel Future | Goldman Sachs | 25,427 | 4/14/2022 | ||||
0 | LME Nickel Future | Goldman Sachs | 25,310 | 5/16/2022 | ||||
0 | LME Zinc Future | Goldman Sachs | 26,345 | 7/18/2022 | ||||
0 | LME Zinc Future | Goldman Sachs | 26,247 | 8/15/2022 | ||||
2 | NYBOT CSC Number 11 World Sugar Future | Goldman Sachs | 42,951 | 4/29/2022 |
Number of | Notional Value at | |||||||
Contracts | Open Short Future Contracts | Counterparty | February 28, 2022 | Expiration | ||||
0 | 3 Month Euro Euribor Future | Goldman Sachs | 138,734 | 6/13/2022 | ||||
0 | 3 Month Euro Euribor Future | Goldman Sachs | 138,716 | 9/19/2022 | ||||
0 | 3 Month Euro Euribor Future | Goldman Sachs | 138,685 | 12/19/2022 | ||||
0 | 3 Month Euro Euribor Future | Goldman Sachs | 138,564 | 3/13/2023 | ||||
0 | 3 Month Euro Euribor Future | Goldman Sachs | 138,501 | 6/19/2023 | ||||
1 | 3 Month SOFR Future | Goldman Sachs | 147,586 | 6/14/2022 | ||||
1 | 3 Month SOFR Future | Goldman Sachs | 147,381 | 9/20/2022 | ||||
1 | 3 Month SOFR Future | Goldman Sachs | 147,081 | 12/20/2022 | ||||
1 | 3 Month SOFR Future | Goldman Sachs | 146,739 | 3/14/2023 | ||||
1 | 3 Month SOFR Future | Goldman Sachs | 146,442 | 6/20/2023 | ||||
1 | CBOT 2 Year US Treasury Note Future | Goldman Sachs | 152,431 | 6/30/2022 | ||||
1 | CBOT 5 Year US Treasury Note | Goldman Sachs | 78,175 | 6/30/2022 | ||||
1 | CBOT Wheat Future | Goldman Sachs | 37,627 | 5/13/2022 | ||||
0 | Eurex 10 Year Euro BUND Future | Goldman Sachs | 26,738 | 3/8/2022 | ||||
0 | Eurex 5 Year Euro BOBL Future | Goldman Sachs | 27,085 | 6/8/2022 | ||||
0 | ICE Brent Crude Oil Future | Goldman Sachs | 33,904 | 6/30/2022 | ||||
0 | ICE Brent Crude Oil Future | Goldman Sachs | 33,380 | 7/29/2022 | ||||
0 | ICE Gas Oil Future | Goldman Sachs | 19,706 | 7/12/2022 | ||||
0 | ICE Gas Oil Future | Goldman Sachs | 19,434 | 8/11/2022 | ||||
0 | LME Nickel Future | Goldman Sachs | 25,986 | 7/18/2022 | ||||
0 | LME Nickel Future | Goldman Sachs | 25,802 | 8/15/2022 | ||||
0 | LME Zinc Future | Goldman Sachs | 25,116 | 4/14/2022 | ||||
0 | LME Zinc Future | Goldman Sachs | 25,084 | 5/16/2022 | ||||
1 | NYBOT CSC Number 11 World Sugar Future | Goldman Sachs | 23,819 | 6/30/2022 | ||||
1 | NYBOT CSC Number 11 World Sugar Future | Goldman Sachs | 23,941 | 9/30/2022 | ||||
0 | Three Month SONIA Index Future | Goldman Sachs | 133,421 | 6/14/2022 | ||||
0 | Three Month SONIA Index Future | Goldman Sachs | 133,270 | 9/20/2022 | ||||
0 | Three Month SONIA Index Future | Goldman Sachs | 133,187 | 12/20/2022 | ||||
0 | Three Month SONIA Index Future | Goldman Sachs | 133,175 | 3/14/2023 | ||||
0 | Three Month SONIA Index Future | Goldman Sachs | 133,135 | 6/20/2023 | ||||
0 | TSE Japanese 10 Year Bond Futures | Goldman Sachs | 22,802 | 3/10/2022 |
WRITTEN PUT OPTIONS | ||||||||||||||||
Number of | Notional Value at | |||||||||||||||
Contracts | Open Purchased Put Options | Counterparty | February 28, 2022 | Expiration | Exercise Price | Market Value | ||||||||||
10 | S&P 500 Index | Goldman Sachs | 43,188 | 3/4/2022 | $ | 3,780 | $ | 18 | ||||||||
10 | S&P 500 Index | Goldman Sachs | 42,402 | 3/4/2022 | $ | 3,925 | 27 | |||||||||
54 | S&P 500 Index | Goldman Sachs | 234,070 | 3/4/2022 | $ | 4,040 | 260 | |||||||||
305 | ||||||||||||||||
CREDIT DEFAULT SWAPS | ||||||||||||||||
Number of | Notional Value at | |||||||||||||||
Contracts | Open Credit Default Swaps | Counterparty | February 28, 2022 | Expiration | Value | |||||||||||
58,130 | Markit CDX North America High Yield Index | Goldman Sachs | 58,130 | 12/20/2026 | $ | 966 | ||||||||||
51,825 | Markit iTraxx Europe Index | Goldman Sachs | 58,210 | 12/20/2026 | 910 | |||||||||||
1,876 |
* | The GS i-Select invests in 15 Portfolio Constituents which do not trade individual futures, therefore the Futures do not have any individual unrealized gains/losses. |
EASTERLY TOTAL HEDGE PORTFOLIO |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Goldman Sachs Intraday Momentum ES Series 1 Excess Return Strategy Top 50 Holdings
No Open Positions |
EASTERLY TOTAL HEDGE PORTFOLIO |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Goldman Sachs Long Gamma US Series 10 Total Return Strategy Top 50 Holdings
EQUITY FORWARDS | ||||||||||||||||
Number of | Notional Value at | |||||||||||||||
Contracts | Open Long Equity Forwards | Counterparty | February 28, 2022 | Expiration | Exercise Price | Market Value | ||||||||||
14 | S&P 500 Index | Goldman Sachs | 61,426 | 6/16/2023 | $ | 4,375 | $ | 54 | ||||||||
Number of | Notional Value at | |||||||||||||||
Contracts | Open Short Equity Forwards | Counterparty | February 28, 2022 | Expiration | Exercise Price | Market Value | ||||||||||
20 | S&P 500 Index | Goldman Sachs | 87,397 | 5/20/2022 | $ | 4,385 | $ | 419 | ||||||||
41 | S&P 500 Index | Goldman Sachs | 179,659 | 6/17/2022 | $ | 4,380 | 765 | |||||||||
26 | S&P 500 Index | Goldman Sachs | 113,306 | 7/15/2022 | $ | 4,380 | 472 | |||||||||
24 | S&P 500 Index | Goldman Sachs | 104,836 | 8/19/2022 | $ | 4,380 | 456 | |||||||||
27 | S&P 500 Index | Goldman Sachs | 117,221 | 9/16/2022 | $ | 4,375 | 404 | |||||||||
16 | S&P 500 Index | Goldman Sachs | 71,663 | 10/21/2022 | $ | 4,375 | 213 | |||||||||
19 | S&P 500 Index | Goldman Sachs | 84,098 | 11/18/2022 | $ | 4,375 | 249 | |||||||||
67 | S&P 500 Index | Goldman Sachs | 295,105 | 12/16/2022 | $ | 4,375 | 855 | |||||||||
19 | S&P 500 Index | Goldman Sachs | 82,312 | 2/17/2023 | $ | 4,375 | 80 | |||||||||
20 | S&P 500 Index | Goldman Sachs | 87,897 | 3/17/2023 | $ | 4,375 | 77 | |||||||||
3,990 |
PURCHASED PUT OPTIONS | ||||||||||||||||
Number of | Notional Value at | |||||||||||||||
Contracts | Open Purchased Put Options | Counterparty | February 28, 2022 | Expiration | Exercise Price | Market Value | ||||||||||
16 | S&P 500 Index | Goldman Sachs | 72,337 | 12/17/2021 | $ | 1,775 | $ | 3 | ||||||||
18 | S&P 500 Index | Goldman Sachs | 80,629 | 12/17/2021 | $ | 1,800 | 4 | |||||||||
15 | S&P 500 Index | Goldman Sachs | 69,147 | 12/17/2021 | $ | 2,075 | 6 | |||||||||
19 | S&P 500 Index | Goldman Sachs | 87,507 | 12/17/2021 | $ | 2,100 | 4 | |||||||||
37 | S&P 500 Index | Goldman Sachs | 169,319 | 12/17/2021 | $ | 2,125 | 6 | |||||||||
30 | S&P 500 Index | Goldman Sachs | 136,540 | 12/17/2021 | $ | 2,150 | 9 | |||||||||
29 | S&P 500 Index | Goldman Sachs | 130,429 | 12/17/2021 | $ | 2,175 | 8 | |||||||||
23 | S&P 500 Index | Goldman Sachs | 103,368 | 12/17/2021 | $ | 2,200 | 7 | |||||||||
27 | S&P 500 Index | Goldman Sachs | 123,847 | 12/17/2021 | $ | 2,250 | 13 | |||||||||
18 | S&P 500 Index | Goldman Sachs | 82,239 | 12/17/2021 | $ | 2,425 | 12 | |||||||||
26 | S&P 500 Index | Goldman Sachs | 119,661 | 12/17/2021 | $ | 2,450 | 14 | |||||||||
25 | S&P 500 Index | Goldman Sachs | 114,222 | 12/17/2021 | $ | 2,500 | 15 | |||||||||
36 | S&P 500 Index | Goldman Sachs | 162,237 | 12/17/2021 | $ | 2,525 | 20 | |||||||||
25 | S&P 500 Index | Goldman Sachs | 115,078 | 12/17/2021 | $ | 2,550 | 23 | |||||||||
23 | S&P 500 Index | Goldman Sachs | 107,229 | 12/17/2021 | $ | 2,575 | 65 | |||||||||
16 | S&P 500 Index | Goldman Sachs | 74,722 | 12/17/2021 | $ | 2,675 | 82 | |||||||||
17 | S&P 500 Index | Goldman Sachs | 76,384 | 12/17/2021 | $ | 2,700 | 97 | |||||||||
34 | S&P 500 Index | Goldman Sachs | 153,919 | 12/17/2021 | $ | 2,800 | 205 | |||||||||
20 | S&P 500 Index | Goldman Sachs | 90,796 | 12/17/2021 | $ | 2,825 | 180 | |||||||||
25 | S&P 500 Index | Goldman Sachs | 112,768 | 3/18/2022 | $ | 2,050 | 360 | |||||||||
26 | S&P 500 Index | Goldman Sachs | 117,080 | 3/18/2022 | $ | 2,100 | 322 | |||||||||
35 | S&P 500 Index | Goldman Sachs | 157,580 | 3/18/2022 | $ | 2,150 | 382 | |||||||||
16 | S&P 500 Index | Goldman Sachs | 74,462 | 3/18/2022 | $ | 2,250 | 454 | |||||||||
21 | S&P 500 Index | Goldman Sachs | 94,082 | 3/18/2022 | $ | 2,500 | 488 | |||||||||
16 | S&P 500 Index | Goldman Sachs | 73,411 | 3/18/2022 | $ | 2,550 | 438 | |||||||||
22 | S&P 500 Index | Goldman Sachs | 98,738 | 3/18/2022 | $ | 2,600 | 407 | |||||||||
15 | S&P 500 Index | Goldman Sachs | 69,253 | 3/18/2022 | $ | 2,775 | 659 | |||||||||
17 | S&P 500 Index | Goldman Sachs | 78,353 | 3/18/2022 | $ | 2,875 | 1,252 | |||||||||
17 | S&P 500 Index | Goldman Sachs | 79,452 | 3/18/2022 | $ | 2,925 | 476 | |||||||||
23 | S&P 500 Index | Goldman Sachs | 103,314 | 4/14/2022 | $ | 2,500 | 549 | |||||||||
16 | S&P 500 Index | Goldman Sachs | 75,053 | 6/17/2022 | $ | 2,050 | 587 | |||||||||
19 | S&P 500 Index | Goldman Sachs | 86,291 | 6/17/2022 | $ | 2,500 | 871 | |||||||||
16 | S&P 500 Index | Goldman Sachs | 70,901 | 6/17/2022 | $ | 2,550 | 1,124 | |||||||||
22 | S&P 500 Index | Goldman Sachs | 101,237 | 7/15/2022 | $ | 2,600 | 1,599 | |||||||||
15 | S&P 500 Index | Goldman Sachs | 69,158 | 8/19/2022 | $ | 2,600 | 1,356 | |||||||||
16 | S&P 500 Index | Goldman Sachs | 73,289 | 8/19/2022 | $ | 2,650 | 1,370 | |||||||||
20 | S&P 500 Index | Goldman Sachs | 93,491 | 9/16/2022 | $ | 2,500 | 626 | |||||||||
21 | S&P 500 Index | Goldman Sachs | 94,330 | 9/16/2022 | $ | 2,550 | 679 | |||||||||
17 | S&P 500 Index | Goldman Sachs | 79,447 | 9/16/2022 | $ | 2,600 | 843 | |||||||||
15 | S&P 500 Index | Goldman Sachs | 70,491 | 10/21/2022 | $ | 2,500 | 585 | |||||||||
16,200 |
EASTERLY TOTAL HEDGE PORTFOLIO |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Goldman Sachs Systematic Skew US Series 1D Total Return Strategy Top 50 Holdings
EQUITY FORWARDS | ||||||||||||||||
Number of | Notional Value at | |||||||||||||||
Contracts | Open Short Equity Forwards | Counterparty | February 28, 2022 | Expiration | Exercise Price | Market Value | ||||||||||
505 | S&P 500 Index | Goldman Sachs | 2,209,483 | 3/18/2022 | $ | 4,385 | $ | 7,762 | ||||||||
479 | S&P 500 Index | Goldman Sachs | 2,094,968 | 4/14/2022 | $ | 4,385 | 8,318 | |||||||||
253 | S&P 500 Index | Goldman Sachs | 1,108,406 | 5/20/2022 | $ | 4,385 | 5,317 | |||||||||
74 | S&P 500 Index | Goldman Sachs | 324,981 | 6/17/2022 | $ | 4,380 | 1,384 | |||||||||
22,781 |
PURCHASED CALL OPTIONS | ||||||||||||||||
Number of | Notional Value at | |||||||||||||||
Contracts | Open Purchased Put Options | Counterparty | February 28, 2022 | Expiration | Exercise Price | Market Value | ||||||||||
73 | S&P 500 Index | Goldman Sachs | 319,551 | 3/18/2022 | $ | 4,300 | $ | 10,614 | ||||||||
102 | S&P 500 Index | Goldman Sachs | 446,798 | 3/18/2022 | $ | 4,375 | 9,858 | |||||||||
93 | S&P 500 Index | Goldman Sachs | 408,478 | 3/18/2022 | $ | 4,420 | 6,663 | |||||||||
96 | S&P 500 Index | Goldman Sachs | 421,954 | 3/18/2022 | $ | 4,450 | 5,461 | |||||||||
76 | S&P 500 Index | Goldman Sachs | 333,977 | 3/18/2022 | $ | 4,500 | 2,763 | |||||||||
58 | S&P 500 Index | Goldman Sachs | 251,929 | 3/18/2022 | $ | 4,575 | 901 | |||||||||
72 | S&P 500 Index | Goldman Sachs | 316,082 | 3/18/2022 | $ | 4,620 | 633 | |||||||||
107 | S&P 500 Index | Goldman Sachs | 467,375 | 4/14/2022 | $ | 4,330 | 18,151 | |||||||||
75 | S&P 500 Index | Goldman Sachs | 329,407 | 4/14/2022 | $ | 4,405 | 9,329 | |||||||||
64 | S&P 500 Index | Goldman Sachs | 280,831 | 4/14/2022 | $ | 4,445 | 6,553 | |||||||||
108 | S&P 500 Index | Goldman Sachs | 473,924 | 4/14/2022 | $ | 4,475 | 9,448 | |||||||||
61 | S&P 500 Index | Goldman Sachs | 266,381 | 4/14/2022 | $ | 4,520 | 4,091 | |||||||||
69 | S&P 500 Index | Goldman Sachs | 302,899 | 5/20/2022 | $ | 4,360 | 13,332 | |||||||||
97,797 |
PURCHASED PUT OPTIONS | ||||||||||||||||
Number of | Notional Value at | |||||||||||||||
Contracts | Open Purchased Put Options | Counterparty | February 28, 2022 | Expiration | Exercise Price | Market Value | ||||||||||
148 | S&P 500 Index | Goldman Sachs | 645,584 | 3/18/2022 | $ | 3,350 | $ | 457 | ||||||||
143 | S&P 500 Index | Goldman Sachs | 625,174 | 3/18/2022 | $ | 2,450 | 57 | |||||||||
141 | S&P 500 Index | Goldman Sachs | 616,564 | 3/18/2022 | $ | 2,875 | 165 | |||||||||
141 | S&P 500 Index | Goldman Sachs | 615,217 | 3/18/2022 | $ | 3,150 | 288 | |||||||||
122 | S&P 500 Index | Goldman Sachs | 532,578 | 3/18/2022 | $ | 2,500 | 55 | |||||||||
76 | S&P 500 Index | Goldman Sachs | 334,182 | 3/18/2022 | $ | 2,300 | 20 | |||||||||
76 | S&P 500 Index | Goldman Sachs | 333,130 | 3/18/2022 | $ | 2,400 | 26 | |||||||||
68 | S&P 500 Index | Goldman Sachs | 295,284 | 3/18/2022 | $ | 2,825 | 70 | |||||||||
238 | S&P 500 Index | Goldman Sachs | 1,038,996 | 4/14/2022 | $ | 2,550 | 731 | |||||||||
183 | S&P 500 Index | Goldman Sachs | 800,220 | 4/14/2022 | $ | 2,500 | 525 | |||||||||
139 | S&P 500 Index | Goldman Sachs | 606,481 | 4/14/2022 | $ | 2,750 | 579 | |||||||||
117 | S&P 500 Index | Goldman Sachs | 509,769 | 4/14/2022 | $ | 2,700 | 452 | |||||||||
95 | S&P 500 Index | Goldman Sachs | 417,598 | 4/14/2022 | $ | 2,900 | 498 | |||||||||
86 | S&P 500 Index | Goldman Sachs | 377,946 | 4/14/2022 | $ | 2,650 | 311 | |||||||||
74 | S&P 500 Index | Goldman Sachs | 322,277 | 4/14/2022 | $ | 2,350 | 165 | |||||||||
71 | S&P 500 Index | Goldman Sachs | 310,264 | 4/14/2022 | $ | 2,200 | 122 | |||||||||
163 | S&P 500 Index | Goldman Sachs | 710,776 | 5/20/2022 | $ | 2,200 | 773 | |||||||||
112 | S&P 500 Index | Goldman Sachs | 490,954 | 5/20/2022 | $ | 2,300 | 616 | |||||||||
100 | S&P 500 Index | Goldman Sachs | 437,532 | 5/20/2022 | $ | 2,250 | 512 | |||||||||
86 | S&P 500 Index | Goldman Sachs | 374,414 | 5/20/2022 | $ | 2,350 | 504 | |||||||||
67 | S&P 500 Index | Goldman Sachs | 292,072 | 5/20/2022 | $ | 2,400 | 422 | |||||||||
80 | S&P 500 Index | Goldman Sachs | 350,280 | 6/17/2022 | $ | 2,200 | 585 | |||||||||
7,933 |
WRITTEN PUT OPTIONS | ||||||||||||||||
Number of | Notional Value at | |||||||||||||||
Contracts | Open Written Put Options | Counterparty | February 28, 2022 | Expiration | Exercise Price | Market Value | ||||||||||
169 | S&P 500 Index | Goldman Sachs | 740,815 | 3/18/2022 | $ | 4,065 | $ | 4,997 | ||||||||
131 | S&P 500 Index | Goldman Sachs | 574,106 | 3/18/2022 | $ | 4,190 | 6,435 | |||||||||
148 | S&P 500 Index | Goldman Sachs | 645,584 | 3/18/2022 | $ | 4,230 | 8,501 | |||||||||
97 | S&P 500 Index | Goldman Sachs | 422,464 | 4/14/2022 | $ | 3,960 | 4,728 | |||||||||
63 | S&P 500 Index | Goldman Sachs | 275,899 | 4/14/2022 | $ | 3,995 | 3,402 | |||||||||
86 | S&P 500 Index | Goldman Sachs | 375,905 | 4/14/2022 | $ | 4,075 | 5,776 | |||||||||
95 | S&P 500 Index | Goldman Sachs | 417,598 | 4/14/2022 | $ | 4,115 | 7,150 | |||||||||
66 | S&P 500 Index | Goldman Sachs | 288,363 | 5/20/2022 | $ | 3,680 | 3,090 | |||||||||
58 | S&P 500 Index | Goldman Sachs | 252,651 | 5/20/2022 | $ | 3,740 | 3,062 | |||||||||
76 | S&P 500 Index | Goldman Sachs | 333,298 | 5/20/2022 | $ | 3,850 | 5,076 | |||||||||
73 | S&P 500 Index | Goldman Sachs | 317,752 | 5/20/2022 | $ | 3,990 | 6,488 | |||||||||
58,705 |
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
February 28, 2022 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 64.7% | ||||||||||||||
AGENCY CMBS — 1.7% | ||||||||||||||
847,054 | Freddie Mac Multifamily Structured Pass Through(a),(d) | 2.2460 | 05/25/47 | $ | 116,580 | |||||||||
2,848,068 | FREMF 2017-KF37 Mortgage Trust(b),(c) | US0001M + 2.750% | 2.8570 | 06/25/27 | 2,836,758 | |||||||||
1,954,279 | FREMF 2018-KF46(b),(c) | US0001M + 1.950% | 2.0570 | 03/25/28 | 1,912,915 | |||||||||
126,207 | Government National Mortgage Association(a),(d) | 0.5760 | 04/16/53 | 967 | ||||||||||
1,000,000 | Multifamily Connecticut Avenue Securities Trust Series 2019-01 M10(b),(c) | US0001M + 3.250% | 3.4370 | 10/15/49 | 959,562 | |||||||||
5,826,782 | ||||||||||||||
AUTO LOAN — 0.6% | ||||||||||||||
2,000,000 | CPS Auto Receivables Trust 2018-B(c) | 5.6100 | 12/16/24 | 2,044,459 | ||||||||||
CDO — 4.9% | ||||||||||||||
109,993 | ARCap 2003-1 Resecuritization Trust(c) | 7.1100 | 08/20/38 | 111,343 | ||||||||||
768,096 | Aspen Funding I Ltd. | 9.0600 | 07/10/37 | 793,136 | ||||||||||
7,540,147 | DWRS 2016-1(c),(g) | 1.0440 | 04/23/32 | 2,412,847 | ||||||||||
3,806,135 | Galleria CDO V Ltd.(b),(c) | US0003M + 2.400% | 2.5220 | 09/19/37 | 3,639,799 | |||||||||
3,762,565 | Mid Ocean CBO 2001-1 Ltd.(b),(g) | US0003M + 0.500% | 2.3910 | 11/05/36 | 1,036,094 | |||||||||
1,756,000 | MMcapS Funding XVII Ltd.(b),(c) | US0003M + 0.600% | 0.7200 | 12/01/35 | 1,545,280 | |||||||||
5,396,000 | Trapeza Cdo Xii Ltd.(b),(c) | US0003M + 0.460% | 0.6760 | 04/06/42 | 4,478,681 | |||||||||
3,000,000 | Tropic CDO IV Ltd.(b),(c) | US0003M + 1.000% | 1.2410 | 04/15/35 | 2,700,000 | |||||||||
16,717,180 | ||||||||||||||
CLO — 5.8% | ||||||||||||||
750,000 | BlueMountain CLO 2013-2 Ltd.(b),(c) | US0003M + 1.300% | 1.5590 | 10/22/30 | 747,838 | |||||||||
480,493 | Cutwater 2014-I Ltd.(b),(c) | US0003M + 1.700% | 1.9410 | 07/15/26 | 480,507 | |||||||||
1,000,000 | Deerpath Capital CLO 2018-1 LTD(b),(c) | US0003M + 3.500% | 3.7410 | 01/15/31 | 992,757 | |||||||||
1,000,000 | Deerpath Capital CLO 2020-1 LTD(b),(c) | US0003M + 3.900% | 4.1410 | 04/17/32 | 981,843 | |||||||||
2,500,000 | Ellington Clo II Ltd.(b),(c) | US0003M + 2.900% | 3.4060 | 02/15/29 | 2,486,600 | |||||||||
500,000 | Ellington Clo III Ltd.(b),(c) | US0003M + 3.740% | 3.9940 | 07/20/30 | 483,342 | |||||||||
200,000 | GC FTPYME Pastor 4 FTA | EUR003M + 2.400% | 1.8770 | 07/15/45 | 123,893 | |||||||||
1,202,741 | Halcyon Loan Advisors Funding 2013-1 Ltd.(b),(c) | US0003M + 3.500% | 3.7410 | 04/15/25 | 1,179,384 | |||||||||
2,646,500 | Halcyon Loan Advisors Funding 2013-2 Ltd.(b),(c),(g) | US0003M + 3.800% | 4.1170 | 08/01/25 | 2,373,008 | |||||||||
1,411,232 | Halcyon Loan Advisors Funding 2014-2 Ltd.(b),(c) | US0003M + 3.500% | 3.7780 | 04/28/25 | 1,394,464 | |||||||||
1,500,000 | Halcyon Loan Advisors Funding 2014-3 Ltd.(b),(c) | US0003M + 3.650% | 3.9090 | 10/22/25 | 1,325,831 | |||||||||
250,000 | Nassau 2018-I Ltd.(b),(c) | US0003M + 5.850% | 6.0910 | 07/15/31 | 213,169 | |||||||||
500,000 | Peaks CLO 2 Ltd.(b),(c) | US0003M + 3.600% | 3.8540 | 07/20/31 | 500,057 |
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 64.7% (Continued) | ||||||||||||||
CLO — 5.8% (Continued) | ||||||||||||||
2,750,000 | Peaks CLO 2 Ltd.(b),(c) | US0003M + 5.000% | 5.2540 | 07/20/31 | $ | 2,691,424 | ||||||||
500,000 | Steele Creek Clo 2018-2 Ltd.(b),(c) | US0003M + 3.400% | 3.8880 | 08/18/31 | 488,806 | |||||||||
3,000,000 | Z Capital Credit Partners CLO 2018-1 Ltd.(b),(c) | US0003M + 2.450% | 2.6910 | 01/16/31 | 3,001,529 | |||||||||
500,000 | Zais Clo 13 Ltd.(b),(c) | US0003M + 4.520% | 4.7610 | 07/15/32 | 459,465 | |||||||||
19,923,917 | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 27.6% | ||||||||||||||
158,627 | ABN Amro Mortgage Corporation | 5.5000 | 10/25/33 | 160,270 | ||||||||||
655,089 | Adjustable Rate Mortgage Trust 2005-6A(b) | US0001M + 0.840% | 1.0270 | 11/25/35 | 223,085 | |||||||||
48,206 | Alternative Loan Trust 1998-4(e) | 6.4280 | 08/25/28 | 48,707 | ||||||||||
23,726 | Alternative Loan Trust 2003-22CB | 5.7500 | 12/25/33 | 24,219 | ||||||||||
128,301 | Alternative Loan Trust 2003-J2 Series 2003-J2 Class A1 | 6.0000 | 10/25/33 | 129,610 | ||||||||||
154,011 | Alternative Loan Trust 2003-J3 | 5.2500 | 11/25/33 | 155,509 | ||||||||||
52,150 | Alternative Loan Trust 2003-J3 | 6.2500 | 12/25/33 | 53,007 | ||||||||||
64,383 | Alternative Loan Trust 2004-15(b) | 2.2410 | 09/25/34 | 63,426 | ||||||||||
12,814 | Alternative Loan Trust 2004-16CB | 5.5000 | 07/25/34 | 12,998 | ||||||||||
8,633,448 | Alternative Loan Trust 2004-24CB | 6.0000 | 11/25/34 | 9,047,335 | ||||||||||
488,270 | Alternative Loan Trust 2004-28CB | 5.7500 | 01/25/35 | 487,777 | ||||||||||
95,896 | Alternative Loan Trust 2004-28CB | 6.0000 | 01/25/35 | 96,357 | ||||||||||
49,066 | Alternative Loan Trust 2004-28CB | 6.0000 | 01/25/35 | 49,378 | ||||||||||
118,336 | Alternative Loan Trust 2004-J10 | 6.0000 | 09/25/34 | 120,905 | ||||||||||
688,586 | Alternative Loan Trust 2004-J10 | 5.5000 | 11/25/34 | 693,915 | ||||||||||
26,147 | Alternative Loan Trust 2004-J10 | 5.0000 | 10/25/53 | 26,108 | ||||||||||
62,865 | Alternative Loan Trust 2004-J11 | 7.2500 | 08/25/32 | 65,878 | ||||||||||
148,331 | Alternative Loan Trust 2004-J8 | 7.0000 | 08/25/34 | 141,835 | ||||||||||
100,616 | Alternative Loan Trust 2005-14(b) | US0001M + 0.420% | 0.6070 | 05/25/35 | 92,519 | |||||||||
232,882 | Alternative Loan Trust 2005-27(b) | 12MTA + 1.350% | 1.4540 | 08/25/35 | 215,331 | |||||||||
39,937 | Alternative Loan Trust 2005-3CB | 5.0000 | 03/25/35 | 35,256 | ||||||||||
42,566 | Alternative Loan Trust 2005-54CB | 5.5000 | 11/25/35 | 38,804 | ||||||||||
124,326 | Alternative Loan Trust 2005-61(b) | US0001M + 0.560% | 0.7470 | 12/25/35 | 123,940 | |||||||||
166,695 | Alternative Loan Trust 2005-6CB | 5.5000 | 04/25/35 | 161,447 | ||||||||||
172,600 | Alternative Loan Trust 2005-72(b) | US0001M + 0.600% | 0.7870 | 01/25/36 | 166,685 | |||||||||
48,147 | Alternative Loan Trust 2005-J11 | 6.0000 | 10/25/35 | 32,720 | ||||||||||
56,502 | Alternative Loan Trust 2005-J11 | 5.5000 | 11/25/35 | 41,172 | ||||||||||
158,509 | Alternative Loan Trust 2005-J8 | 5.5000 | 07/25/35 | 146,045 |
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 64.7% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 27.6% (Continued) | ||||||||||||||
105,775 | Alternative Loan Trust 2006-40T1 | 6.0000 | 12/25/36 | $ | 44,909 | |||||||||
49,711 | Alternative Loan Trust Resecuritization 2005-12R | 6.0000 | 11/25/34 | 49,490 | ||||||||||
95,287 | American Home Mortgage Investment Trust 2004-1(b) | US0006M + 2.000% | 2.5340 | 04/25/44 | 96,001 | |||||||||
3,000,000 | Angel Oak Mortgage Trust I, LLC 2019-2 | 6.2860 | 03/25/49 | 2,963,711 | ||||||||||
3,000,000 | Angel Oak Mortgage Trust I, LLC 2019-4(c),(d) | 4.4120 | 07/26/49 | 2,946,098 | ||||||||||
613,860 | APS Resecuritization Trust 2016-3(b),(c) | US0001M + 2.850% | 3.0370 | 09/27/46 | 614,478 | |||||||||
270,716 | Banc of America Alternative Loan Trust 2003-8 | 5.5000 | 10/25/33 | 275,835 | ||||||||||
200,531 | Banc of America Alternative Loan Trust 2004-6 | 6.0000 | 07/25/34 | 202,892 | ||||||||||
68,367 | Banc of America Alternative Loan Trust 2007-1(d) | 4.2500 | 04/25/22 | 62,721 | ||||||||||
25,671 | Banc of America Funding 2004-C Trust(b) | US0001M + 0.660% | 0.8310 | 12/20/34 | 25,498 | |||||||||
46,090 | Banc of America Funding 2005-E Trust(b) | COF 11 + 1.430% | 1.6530 | 06/20/35 | 39,133 | |||||||||
977,555 | Banc of America Funding 2006-I Trust(d) | 3.3000 | 10/20/46 | 863,184 | ||||||||||
105,098 | Banc of America Funding 2007-2 Trust(a) | 6.0000 | 03/25/37 | 20,938 | ||||||||||
93,056 | Banc of America Funding 2015-R4 Trust(b),(c) | US0001M + 0.150% | 0.2520 | 10/25/36 | 92,064 | |||||||||
27,212 | Banc of America Mortgage 2002-L Trust(d) | 2.9740 | 12/25/32 | 23,676 | ||||||||||
55,780 | Banc of America Mortgage 2005-F Trust(d) | 2.4800 | 07/25/35 | 50,316 | ||||||||||
31,946 | Banc of America Mortgage 2005-H Trust(d) | 2.7380 | 09/25/35 | 30,449 | ||||||||||
684,495 | BCAP, LLC 2011-RR5-I Trust(c),(e) | 4.7970 | 03/26/37 | 679,409 | ||||||||||
5,009 | Bear Stearns ALT-A Trust 2004-11(d) | 2.6960 | 11/25/34 | 5,012 | ||||||||||
62,305 | Bear Stearns ARM Trust 2003-5(d) | 2.2370 | 08/25/33 | 61,884 | ||||||||||
6,687 | Bear Stearns ARM Trust 2003-7(d) | 2.3230 | 10/25/33 | 6,868 | ||||||||||
55,103 | Bear Stearns ARM Trust 2003-8(d) | 2.1060 | 01/25/34 | 53,056 | ||||||||||
13,691 | Bear Stearns ARM Trust 2004-1(d) | 2.0060 | 04/25/34 | 12,859 | ||||||||||
145,901 | Bear Stearns ARM Trust 2004-1(d) | 2.7410 | 04/25/34 | 142,689 | ||||||||||
56,311 | Bear Stearns ARM Trust 2004-10(d) | 2.7600 | 01/25/35 | 57,212 | ||||||||||
148,497 | Bear Stearns ARM Trust 2004-6(d) | 2.1660 | 09/25/34 | 137,218 | ||||||||||
974,582 | Bear Stearns ARM Trust 2004-8(d) | 2.9520 | 11/25/34 | 948,604 | ||||||||||
55,148 | Bear Stearns ARM Trust 2004-8(d) | 3.0030 | 11/25/34 | 53,476 | ||||||||||
603,467 | Bear Stearns Asset Backed Securities I Trust | 6.0000 | 03/25/36 | 282,146 | ||||||||||
687,688 | Bear Stearns Asset Backed Securities Trust(e) | 5.5000 | 01/25/34 | 685,127 | ||||||||||
231,489 | Bear Stearns Structured Products Inc Trust 2007-R6(d) | 2.7040 | 01/26/36 | 197,577 | ||||||||||
53,822 | Bella Vista Mortgage Trust 2004-1(b) | US0001M + 0.700% | 0.8710 | 11/20/34 | 52,951 | |||||||||
1,986,021 | Bellemeade Re 2019-2 Ltd.(b),(c) | US0001M + 2.000% | 2.1870 | 04/25/29 | 1,981,671 | |||||||||
99,409 | BlackRock Capital Finance, L.P.(c),(d) | 3.5020 | 12/25/35 | 79,527 |
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 64.7% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 27.6% (Continued) | ||||||||||||||
568,039 | Cascade Funding Mortgage Trust 2018-RM2(c),(d) | — | 10/25/68 | $ | 561,691 | |||||||||
1,010,805 | Cascade Funding Mortgage Trust 2019-RM3(c),(d) | 4.0000 | 06/25/69 | 981,417 | ||||||||||
103,531 | CDMC Mortgage Pass-Through Certificates Series(b) | 5.4760 | 09/25/34 | 102,873 | ||||||||||
84,159 | CDMC Mortgage Pass-Through Certificates Series(b) | 5.1050 | 02/18/35 | 84,566 | ||||||||||
1,076,558 | Cendant Mortgage Capital, LLC CDMC Mort Pas Thr Ce | 5.5000 | 02/25/34 | 1,094,281 | ||||||||||
182,702 | Chase Mortgage Finance Trust Series 2004-S2 | 5.5000 | 02/25/34 | 184,745 | ||||||||||
508,855 | Chase Mortgage Finance Trust Series 2007-S3(f) | — | 05/25/37 | 160,112 | ||||||||||
282,805 | Chase Mortgage Finance Trust Series 2007-S3(a) | 6.0000 | 05/25/37 | 66,005 | ||||||||||
258,443 | Chevy Chase Funding, LLC Mortgage-Backed(b),(c) | US0001M + 0.250% | 0.4370 | 10/25/36 | 197,348 | |||||||||
105,892 | CHL Mortgage Pass-Through Trust 2002-19 | 6.2500 | 11/25/32 | 104,971 | ||||||||||
149,486 | CHL Mortgage Pass-Through Trust 2002-39 | 5.7500 | 02/25/33 | 147,333 | ||||||||||
128,529 | CHL Mortgage Pass-Through Trust 2003-60(d) | 2.1160 | 02/25/34 | 114,800 | ||||||||||
43,591 | CHL Mortgage Pass-Through Trust 2004-14(d) | 2.4460 | 08/25/34 | 42,928 | ||||||||||
36,423 | CHL Mortgage Pass-Through Trust 2004-3 | 5.7500 | 04/25/34 | 36,598 | ||||||||||
94,103 | CHL Mortgage Pass-Through Trust 2004-5 | 5.2500 | 05/25/34 | 96,188 | ||||||||||
117,694 | CHL Mortgage Pass-Through Trust 2004-5 | 5.5000 | 05/25/34 | 120,617 | ||||||||||
54,849 | CHL Mortgage Pass-Through Trust 2004-6(d) | 2.4150 | 05/25/34 | 55,692 | ||||||||||
27,000 | CHL Mortgage Pass-Through Trust 2004-8 | 5.7500 | 07/25/34 | 27,433 | ||||||||||
72,493 | CHL Mortgage Pass-Through Trust 2004-HYB2(d) | 2.3660 | 07/20/34 | 70,133 | ||||||||||
69,143 | CHL Mortgage Pass-Through Trust 2004-HYB5(d) | 2.5090 | 04/20/35 | 65,969 | ||||||||||
159,255 | CHL Mortgage Pass-Through Trust 2004-J5 | 5.5000 | 07/25/34 | 157,321 | ||||||||||
76,244 | CHL Mortgage Pass-Through Trust 2004-J9 | 5.5000 | 01/25/35 | 76,858 | ||||||||||
590,274 | CHL Mortgage Pass-Through Trust 2005-J2 | 5.0000 | 08/25/35 | 430,815 | ||||||||||
114,202 | CHL Mortgage Pass-Through Trust 2006-J1 | 6.0000 | 02/25/36 | 65,867 | ||||||||||
52,195 | CHL Mortgage Pass-Through Trust 2007-15 | 6.5000 | 09/25/37 | 27,712 | ||||||||||
156,084 | Citicorp Mortgage Securities REMIC Pass-Through | 5.5000 | 07/25/35 | 156,526 | ||||||||||
27,273 | Citicorp Mortgage Securities Trust Series 2005-7 | 5.0000 | 10/25/55 | 27,855 | ||||||||||
51,177 | Citicorp Mortgage Securities Trust Series 2006-6 | 6.0000 | 11/25/36 | 51,366 | ||||||||||
81,813 | Citicorp Mortgage Securities Trust Series 2007-2(f) | — | 02/25/37 | 50,493 | ||||||||||
219,145 | Citicorp Mortgage Securities Trust Series 2007-4 | 6.0000 | 05/25/37 | 216,905 | ||||||||||
116,758 | Citigroup Global Markets Mortgage Securities VII(d),(g) | 5.6290 | 07/25/24 | 13,212 | ||||||||||
4,487 | Citigroup Global Markets Mortgage Securities VII(d) | 2.2320 | 09/25/32 | 4,049 | ||||||||||
274,862 | Citigroup Mortgage Loan Trust 2009-4(c),(d) | 5.4820 | 05/25/35 | 272,039 | ||||||||||
7,253 | Citigroup Mortgage Loan Trust 2010-9(c),(e) | 5.7020 | 03/25/37 | 7,157 |
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 64.7% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 27.6% (Continued) | ||||||||||||||
112,632 | Citigroup Mortgage Loan Trust 2014-10(c),(d) | 0.2770 | 02/25/37 | $ | 109,457 | |||||||||
137,623 | Citigroup Mortgage Loan Trust 2019-C(c),(e) | 3.2280 | 09/25/59 | 137,761 | ||||||||||
96,175 | Citigroup Mortgage Loan Trust, Inc. | 7.0000 | 06/25/31 | 95,655 | ||||||||||
20,003 | Citigroup Mortgage Loan Trust, Inc. | 5.2500 | 09/25/33 | 19,242 | ||||||||||
57,888 | Citigroup Mortgage Loan Trust, Inc. | 6.7500 | 08/25/34 | 60,091 | ||||||||||
61,426 | Citigroup Mortgage Loan Trust, Inc. | 5.5000 | 05/25/35 | 62,501 | ||||||||||
70,563 | Citigroup Mortgage Loan Trust, Inc. Series 2005-6-A1 Class A-1(b) | H15T1Y + 2.100% | 2.1900 | 09/25/35 | 67,732 | |||||||||
197,604 | Citigroup Mortgage Loan Trust, Inc.(d) | 2.5340 | 10/25/35 | 129,633 | ||||||||||
67,860 | CitiMortgage Alternative Loan Trust Series 2007-A6 | 6.0000 | 06/25/37 | 67,893 | ||||||||||
422,000 | COLT 2020-2 Mortgage Loan Trust(c),(d) | 5.2500 | 03/25/65 | 424,376 | ||||||||||
252,022 | Credit Suisse First Boston Mortgage Securities(b),(c) | US0001M + 2.188% | 2.2950 | 11/25/31 | 159,785 | |||||||||
156,321 | Credit Suisse First Boston Mortgage Securities(d) | 4.3690 | 11/25/31 | 157,056 | ||||||||||
160,763 | Credit Suisse First Boston Mortgage Securities(d) | 7.1530 | 01/25/32 | 161,019 | ||||||||||
89,689 | Credit Suisse First Boston Mortgage Securities Series 2003-11-1A31 Class I-A-31 | 5.5000 | 06/25/33 | 90,341 | ||||||||||
548,059 | Credit Suisse First Boston Mortgage Securities | 5.2500 | 07/25/33 | 554,072 | ||||||||||
33,169 | Credit Suisse First Boston Mortgage Securities | 5.2500 | 09/25/33 | 32,558 | ||||||||||
81,521 | Credit Suisse First Boston Mortgage Securities | 5.5000 | 10/25/33 | 84,014 | ||||||||||
244,563 | Credit Suisse First Boston Mortgage Securities | 5.5000 | 10/25/33 | 252,317 | ||||||||||
207,595 | Credit Suisse First Boston Mortgage Securities | 5.5000 | 10/25/34 | 205,274 | ||||||||||
124,239 | Credit Suisse First Boston Mortgage Securities(b) | US0001M + 0.650% | 0.8370 | 09/25/35 | 89,379 | |||||||||
6,578 | CSFB Mortgage-Backed Pass-Through Certificates | 5.2500 | 11/25/22 | 1,193 | ||||||||||
332,687 | CSFB Mortgage-Backed Pass-Through Certificates | 7.5000 | 03/25/32 | 352,697 | ||||||||||
106,846 | CSFB Mortgage-Backed Pass-Through Certificates(d) | 1.7410 | 10/25/33 | 107,425 | ||||||||||
79,671 | CSFB Mortgage-Backed Pass-Through Certificates | 5.7500 | 11/25/33 | 80,233 | ||||||||||
134,100 | CSFB Mortgage-Backed Pass-Through Certificates(b) | US0001M + 0.740% | 0.9270 | 06/25/34 | 135,048 | |||||||||
529,647 | CSFB Mortgage-Backed Pass-Through Certificates | 6.0000 | 08/25/34 | 524,619 | ||||||||||
34,805 | CSFB Mortgage-Backed Pass-Through Certificates | 5.7500 | 07/25/35 | 35,337 | ||||||||||
279,423 | CSMC 2021-RPL2Trust(c),(d) | 3.4560 | 01/25/60 | 257,610 | ||||||||||
61,168 | CSMC Series 2010-18R(c),(d) | 2.4010 | 04/26/38 | 61,156 | ||||||||||
308,855 | CSMC Trust 2007-5R | 6.5000 | 07/26/36 | 107,790 | ||||||||||
1,178,716 | CSMC Trust 2013-IVR5(c),(d) | 3.7010 | 10/25/43 | 1,173,764 | ||||||||||
1,580,256 | CSMC Trust 2014-IVR2(c),(d) | 3.8200 | 04/25/44 | 1,585,267 | ||||||||||
36,674 | Deutsche Mortgage Sec Inc Mort Loan Tr Ser 2004-1 | 5.5000 | 09/25/33 | 37,079 | ||||||||||
509,981 | Deutsche Mortgage Securities Inc REMIC Trust(c),(d) | 3.2580 | 04/28/37 | 512,924 |
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 64.7% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 27.6% (Continued) | ||||||||||||||
1,839 | DLJ Mortgage Acceptance Corporation | 6.7500 | 01/25/24 | $ | 1,673 | |||||||||
45,560 | DSLA Mortgage Loan Trust 2004-AR4(b) | US0001M + 0.720% | 0.8910 | 01/19/45 | 39,246 | |||||||||
267,252 | Fannie Mae Trust 2005-W3(d) | 3.2220 | 04/25/45 | 280,272 | ||||||||||
473,000 | Finance of America HECM Buyout 2019-AB1 Series 22-HB1 M3(c),(d) | 5.0840 | 11/25/25 | 472,999 | ||||||||||
82,184 | First Horizon Alternative Mortgage Securities | 6.2500 | 08/25/37 | 50,095 | ||||||||||
81,947 | First Horizon Mortgage Pass-Through Trust 2005-AR5(d) | 2.6250 | 10/25/35 | 47,776 | ||||||||||
65,171 | First Horizon Mortgage Pass-Through Trust 2005-AR5(d) | 2.6250 | 11/25/35 | 63,149 | ||||||||||
141,428 | First Horizon Mortgage Pass-Through Trust 2006-AR3(d) | 2.4760 | 11/25/36 | 107,309 | ||||||||||
420,000 | Freddie Mac STACR REMIC Trust 2020-DNA6(b),(c) | SOFR30A + 3.000% | 3.0490 | 12/25/50 | 383,079 | |||||||||
26,902 | Freddie Mac Structured Pass-Through Certificates(b) | 12MTA + 1.400% | 1.5040 | 07/25/44 | 27,671 | |||||||||
25,779 | Freddie Mac Structured Pass-Through Certificates(b) | 12MTA + 1.200% | 1.3040 | 10/25/44 | 26,387 | |||||||||
2,131,675 | Galton Funding Mortgage Trust 2017-1(c),(d) | 4.2980 | 07/25/56 | 2,187,365 | ||||||||||
125,018 | GMACM Mortgage Loan Trust 2004-J2 | 5.7500 | 06/25/34 | 125,329 | ||||||||||
19,727 | GMACM Mortgage Loan Trust 2005-AR3(d) | 2.7910 | 06/19/35 | 19,407 | ||||||||||
2,783,972 | GMACM Mortgage Loan Trust 2005-AR5(d) | 2.6370 | 09/19/35 | 2,663,250 | ||||||||||
611,493 | Government National Mortgage Association(a),(d) | 1.7630 | 10/20/62 | 21,816 | ||||||||||
1,620,229 | Government National Mortgage Association(a),(d) | 2.0110 | 11/20/66 | 116,059 | ||||||||||
190,151 | GS Mortgage Securities Corporation II(c),(d) | US0001M + 0.350% | 0.5210 | 03/20/23 | 179,303 | |||||||||
659,503 | GS Mortgage-Backed Securities Trust(c),(d) | 2.4430 | 07/25/44 | 660,649 | ||||||||||
1,548,793 | GSMPS Mortgage Loan Trust(c),(d) | 8.5000 | 06/19/29 | 1,494,658 | ||||||||||
1,268,781 | GSMPS Mortgage Loan Trust 2004-4(b),(c) | US0001M + 0.400% | 0.5870 | 06/25/34 | 1,102,648 | |||||||||
717,574 | GSMPS Mortgage Loan Trust 2004-4(c) | 7.5000 | 06/25/34 | 757,089 | ||||||||||
392,056 | GSMPS Mortgage Loan Trust 2004-4(c) | 8.0000 | 06/25/34 | 418,325 | ||||||||||
38,800 | GSMPS Mortgage Loan Trust 2005-RP2(b),(c) | US0001M + 0.350% | 0.5370 | 03/25/35 | 37,176 | |||||||||
198,396 | GSMPS Mortgage Loan Trust 2005-RP3(b),(c) | US0001M + 0.350% | 0.5370 | 09/25/35 | 166,319 | |||||||||
144,377 | GSMPS Mortgage Loan Trust 2006-RP1(c) | 7.5000 | 01/25/36 | 146,658 | ||||||||||
836,805 | GSMSC Pass-Through Trust 2008-2R(c),(d) | 7.5000 | 10/25/36 | 291,957 | ||||||||||
201,668 | GSR Mortgage Loan Trust 2004-13F | 4.2500 | 11/25/34 | 203,748 | ||||||||||
16,323 | GSR Mortgage Loan Trust 2004-7(d) | 2.3350 | 06/25/34 | 15,451 | ||||||||||
51,401 | GSR Mortgage Loan Trust 2005-4F | 6.5000 | 02/25/35 | 51,399 | ||||||||||
8,489 | GSR Mortgage Loan Trust 2005-6F | 5.2500 | 07/25/35 | 8,538 | ||||||||||
29,068 | GSR Mortgage Loan Trust 2005-8F | 6.0000 | 11/25/35 | 16,528 | ||||||||||
14,775 | GSR Mortgage Loan Trust 2005-AR3(b) | US0001M + 0.440% | 0.6270 | 05/25/35 | 14,037 | |||||||||
62,800 | GSR Mortgage Loan Trust 2005-AR3(b) | US0001M + 0.440% | 0.6270 | 05/25/35 | 56,231 |
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 64.7% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 27.6% (Continued) | ||||||||||||||
126,398 | GSR Mortgage Loan Trust 2006-1F | 6.0000 | 02/25/36 | $ | 82,332 | |||||||||
80,701 | GSR Mortgage Loan Trust 2007-AR2(d) | 2.7560 | 05/25/37 | 57,835 | ||||||||||
85,000 | HomeBanc Mortgage Trust 2005-3(b) | US0001M + 0.765% | 0.9520 | 07/25/35 | 85,192 | |||||||||
215,473 | HSI Asset Loan Obligation Trust 2007-1 | 6.5000 | 06/25/37 | 116,417 | ||||||||||
232,501 | HSI Asset Loan Obligation Trust 2007-AR1(d) | 4.1070 | 01/25/37 | 205,013 | ||||||||||
205,277 | HSI Asset Loan Obligation Trust 2007-AR2(d) | 2.3560 | 09/25/37 | 185,983 | ||||||||||
74,902 | Impac CMB Trust Series 2003-2F(e) | 6.5700 | 01/25/33 | 75,405 | ||||||||||
80,071 | Impac CMB Trust Series 2003-4(e) | 5.7290 | 07/25/33 | 80,199 | ||||||||||
33,729 | Impac CMB Trust Series 2004-7(b) | US0001M + 1.800% | 1.9870 | 11/25/34 | 33,516 | |||||||||
167,319 | Impac CMB Trust Series 2005-4(b) | US0001M + 0.750% | 1.3120 | 05/25/35 | 158,277 | |||||||||
236,331 | Impac Secured Assets CMN Owner Trust | 6.0000 | 08/25/33 | 230,481 | ||||||||||
108,898 | Impac Secured Assets Trust 2006-1 Series 2006-1-2A1 Class 2-A-1(b) | US0001M + 0.700% | 0.8870 | 05/25/36 | 106,059 | |||||||||
9,612 | IndyMac INDX Mortgage Loan Trust 2004-AR11(b) | 2.9280 | 12/25/34 | 9,927 | ||||||||||
253,591 | JP Morgan Alternative Loan Trust(a),(b) | US0001M + 7.150% | 6.9630 | 12/25/35 | 59,849 | |||||||||
715,257 | JP Morgan Alternative Loan Trust(c) | 6.0000 | 12/27/36 | 467,432 | ||||||||||
491,829 | JP Morgan MBS Series 2006-R1(c),(d) | 5.1500 | 09/28/44 | 430,662 | ||||||||||
22,920 | JP Morgan Mortgage Trust 2004-A3(d) | 2.3790 | 07/25/34 | 21,915 | ||||||||||
30,311 | JP Morgan Mortgage Trust 2004-S2 | 6.0000 | 11/25/34 | 30,162 | ||||||||||
37,070 | JP Morgan Mortgage Trust 2005-A7(d) | 2.7830 | 10/25/35 | 38,706 | ||||||||||
18,930 | JP Morgan Mortgage Trust 2006-A4(d) | 2.9720 | 06/25/36 | 15,322 | ||||||||||
759,187 | JP Morgan Mortgage Trust 2014-IVR3(c),(d) | 2.3960 | 09/25/44 | 762,671 | ||||||||||
3,048,327 | JP Morgan Mortgage Trust 2014-IVR3(b),(c) | 2.3960 | 09/25/44 | 3,061,441 | ||||||||||
80,238 | JP Morgan Mortgage Trust 2020-LTV1(b),(c) | US0001M + 1.000% | 1.1080 | 06/25/50 | 80,302 | |||||||||
146,845 | JP Morgan Tax-Emept Pass-Through Trust Series(c),(d) | 3.0000 | 10/27/42 | 149,115 | ||||||||||
998,258 | La Hipotecaria Panamanian Mortgage Trust 2021-1(c) | 4.3500 | 06/13/51 | 1,020,220 | ||||||||||
407,935 | Legacy Mortgage Asset Trust 2020-GS5(e) | 3.2500 | 06/25/60 | 409,871 | ||||||||||
178,892 | Lehman Mortgage Trust 2006-2 | 5.7500 | 04/25/36 | 178,212 | ||||||||||
39,884 | MASTR Adjustable Rate Mortgages Trust 2003-1(d) | 3.0030 | 12/25/32 | 37,291 | ||||||||||
28,279 | MASTR Adjustable Rate Mortgages Trust 2003-2(d) | 2.1680 | 07/25/33 | 28,693 | ||||||||||
34,097 | MASTR Adjustable Rate Mortgages Trust 2003-6(d) | 1.7520 | 12/25/33 | 33,809 | ||||||||||
23,489 | MASTR Adjustable Rate Mortgages Trust 2003-6(d) | 2.1250 | 12/25/33 | 23,002 | ||||||||||
246,117 | MASTR Adjustable Rate Mortgages Trust 2004-15(d) | 2.1430 | 12/25/34 | 247,271 | ||||||||||
192,885 | MASTR Alternative Loan Trust 2003-3(d) | 6.1620 | 05/25/33 | 186,653 | ||||||||||
45,453 | MASTR Alternative Loan Trust 2003-5 | 5.5000 | 06/25/33 | 46,380 |
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 64.7% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 27.6% (Continued) | ||||||||||||||
59,490 | MASTR Alternative Loan Trust 2003-7 | 6.5000 | 12/25/33 | $ | 62,880 | |||||||||
246,665 | MASTR Alternative Loan Trust 2004-1 | 5.5000 | 02/25/34 | 247,642 | ||||||||||
88,942 | MASTR Alternative Loan Trust 2004-3 | 6.2500 | 04/25/34 | 91,659 | ||||||||||
491,789 | MASTR Alternative Loan Trust 2004-3 | 6.5000 | 04/25/34 | 514,196 | ||||||||||
38,320 | MASTR Alternative Loan Trust 2004-4 | 5.5000 | 05/25/34 | 39,144 | ||||||||||
434,324 | MASTR Alternative Loan Trust 2004-6 | 5.5000 | 07/25/34 | 443,376 | ||||||||||
89,796 | MASTR Alternative Loan Trust 2004-6 | 6.0000 | 07/25/34 | 92,069 | ||||||||||
75,443 | MASTR Alternative Loan Trust 2004-6 | 6.0000 | 07/25/34 | 76,416 | ||||||||||
951,944 | MASTR Alternative Loan Trust 2004-6 | 6.2500 | 07/25/34 | 967,681 | ||||||||||
578,514 | MASTR Alternative Loan Trust 2004-6 | 6.5000 | 07/25/34 | 582,674 | ||||||||||
61,929 | MASTR Alternative Loan Trust 2004-7 | 6.0000 | 06/25/34 | 65,496 | ||||||||||
1,373,719 | MASTR Alternative Loan Trust 2004-7 | 6.0000 | 08/25/34 | 1,437,358 | ||||||||||
2,325 | MASTR Alternative Loan Trust 2005-1 | 5.5000 | 01/25/23 | 2,264 | ||||||||||
300,341 | MASTR Alternative Loan Trust 2005-2 | 5.0000 | 03/25/43 | 287,176 | ||||||||||
27,526 | MASTR Alternative Loan Trust 2007-1(f) | — | 10/25/36 | 17,892 | ||||||||||
866,093 | MASTR Alternative Loan Trust 2007-HF1(f) | — | 10/25/47 | 63,639 | ||||||||||
94,632 | MASTR Asset Securitization Trust 2003-11 Series 2003-11-7A Class 7-A-5 | 5.2500 | 12/25/33 | 94,868 | ||||||||||
72,628 | MASTR Asset Securitization Trust 2003-11 | 5.2500 | 12/25/33 | 73,835 | ||||||||||
49,268 | MASTR Asset Securitization Trust 2003-11 | 5.5000 | 12/25/33 | 49,140 | ||||||||||
24,132 | MASTR Asset Securitization Trust 2003-11 | 5.5000 | 12/25/33 | 24,005 | ||||||||||
106,276 | MASTR Asset Securitization Trust 2003-12 Series 2003-12-1A1 Class 1-A-1 | 5.2500 | 12/25/24 | 107,710 | ||||||||||
20,788 | MASTR Asset Securitization Trust 2003-12 | 5.0000 | 12/25/33 | 20,843 | ||||||||||
51,458 | MASTR Asset Securitization Trust 2003-12 | 5.0000 | 12/25/33 | 46,179 | ||||||||||
13,212 | MASTR Asset Securitization Trust 2004-1 | 5.5000 | 02/25/34 | 13,169 | ||||||||||
76,953 | MASTR Asset Securitization Trust 2005-1 | 5.5000 | 05/25/35 | 67,836 | ||||||||||
20,914 | MASTR Reperforming Loan Trust 2005-2(c) | 8.0000 | 05/25/35 | 19,967 | ||||||||||
158,929 | MASTR Reperforming Loan Trust 2006-2(c),(d) | 3.2440 | 05/25/36 | 157,002 | ||||||||||
390,317 | MASTR Seasoned Securitization Trust 2003-1 | 6.0000 | 02/25/33 | 400,061 | ||||||||||
41,029 | MASTR Seasoned Securitization Trust 2005-1(d) | 2.5300 | 10/25/32 | 36,416 | ||||||||||
880,000 | Mello Mortgage Capital Acceptance 2018-MTG2(c),(d) | 4.3620 | 10/25/48 | 883,344 | ||||||||||
308,202 | Merrill Lynch Mortgage Investors Trust MLMI Series(d) | 1.9270 | 05/25/33 | 296,925 | ||||||||||
39,407 | Merrill Lynch Mortgage Investors Trust MLMI Series(d) | 2.3310 | 05/25/33 | 37,794 | ||||||||||
37,317 | Merrill Lynch Mortgage Investors Trust Series(d) | 2.4640 | 09/25/33 | 37,201 |
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 64.7% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 27.6% (Continued) | ||||||||||||||
113,375 | Morgan Stanley Dean Witter Capital I Inc Trust(d) | 1.4680 | 03/25/33 | $ | 108,934 | |||||||||
34,629 | Morgan Stanley Mortgage Loan Trust 2004-10AR(d) | 2.5070 | 11/25/34 | 33,569 | ||||||||||
30,756 | Morgan Stanley Mortgage Loan Trust 2004-8AR(d) | 1.0630 | 10/25/34 | 29,108 | ||||||||||
32,511 | Morgan Stanley Mortgage Loan Trust 2004-8AR(d) | 2.4050 | 10/25/34 | 30,490 | ||||||||||
77,977 | Morgan Stanley Mortgage Loan Trust 2005-10 | 6.0000 | 12/25/35 | 41,489 | ||||||||||
24,535 | Morgan Stanley Mortgage Loan Trust 2006-8AR(d) | 1.9780 | 06/25/36 | 24,685 | ||||||||||
3,949,508 | Mortgage Equity Conversion Asset Trust 2007-FF2(b),(c) | H15T1Y + 0.470% | 1.5500 | 02/25/42 | 3,609,581 | |||||||||
184,109 | MortgageIT Trust 2004-2(b) | US0001M + 3.225% | 3.4120 | 12/25/34 | 189,862 | |||||||||
378,998 | MortgageIT Trust 2005-3(b) | US0001M + 0.795% | 0.9820 | 08/25/35 | 371,762 | |||||||||
254,522 | MRFC Mortgage Pass-Through Trust Series 2000-TBC3(b),(c) | 2.4010 | 12/15/30 | 235,238 | ||||||||||
585,425 | National City Mortgage Capital Trust | 6.0000 | 03/25/38 | 596,634 | ||||||||||
28,550 | National City Mortgage Capital Trust | 6.0000 | 03/25/38 | 29,109 | ||||||||||
409,658 | New Residential Mortgage Loan Trust 2017-2(c),(d) | 4.7500 | 03/25/57 | 389,310 | ||||||||||
115,654 | New Residential Mortgage Loan Trust 2020-1(c),(d) | 3.5000 | 10/25/59 | 118,859 | ||||||||||
720,000 | New Residential Mortgage Loan Trust 2020-RPL1(c),(d) | 3.8820 | 11/25/59 | 591,221 | ||||||||||
183,260 | Nomura Asset Acceptance Corp Alternative Loan(c) | 7.5000 | 03/25/34 | 182,618 | ||||||||||
102,456 | Nomura Asset Acceptance Corp Alternative Loan(e) | 5.9570 | 03/25/47 | 104,879 | ||||||||||
1,289 | PHH Mortgage Trust Series 2008-CIM1(b) | US0001M + 2.250% | 2.3560 | 05/25/38 | 1,313 | |||||||||
482,968 | PHH Mortgage Trust Series 2008-CIM1 | 6.0000 | 05/25/38 | 498,080 | ||||||||||
460,565 | PHHMC Series 2005-4 Trust(d) | 5.9280 | 07/18/35 | 468,652 | ||||||||||
1,785,113 | Point Securitization Trust 2021-1 A1 (b),(c) | 3.2280 | 02/25/52 | 1,791,807 | ||||||||||
507,784 | Prime Mortgage Trust 2003-3 | 5.5000 | 01/25/34 | 510,992 | ||||||||||
34,526 | RAAC Series 2005-SP1 Trust | 7.0000 | 09/25/34 | 35,417 | ||||||||||
223,485 | Radnor RE 2019-1 Ltd.(b),(c) | US0001M + 1.950% | 2.1370 | 02/25/29 | 223,879 | |||||||||
117,543 | RALI Series 2005-QA12 Trust(d) | 3.4550 | 12/25/35 | 63,850 | ||||||||||
23,289 | RBSGC Mortgage Loan Trust 2007-B(d) | 3.6490 | 07/25/35 | 21,172 | ||||||||||
428,866 | RBSGC Structured Trust 2008-A(c),(d) | 5.5000 | 11/25/35 | 407,766 | ||||||||||
27,197 | Reperforming Loan REMIC Trust 2004-R1(c) | 6.5000 | 11/25/34 | 27,044 | ||||||||||
121,956 | Reperforming Loan REMIC Trust 2006-R2(b),(c) | US0001M + 0.420% | 0.6070 | 07/25/36 | 112,127 | |||||||||
164,126 | Resecuritization Pass-Through Trust 2005-8R | 6.0000 | 10/25/34 | 167,896 | ||||||||||
10,000 | Residential Asset Securitization Trust 2002-A12 | 5.7500 | 11/25/32 | 9,850 | ||||||||||
168,000 | Residential Asset Securitization Trust 2003-A10 | 5.2000 | 09/25/33 | 169,208 | ||||||||||
1,869,085 | Residential Asset Securitization Trust 2003-A9(b) | US0001M + 0.550% | 0.7370 | 08/25/33 | 1,805,803 | |||||||||
122,366 | RESIMAC Bastille Trust Series 2019-1NC(b),(c) | US0001M + 0.930% | 1.0410 | 09/05/57 | 121,844 |
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 64.7% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 27.6% (Continued) | ||||||||||||||
14,410 | RFMSI Series 2005-SA4 Trust(d) | 2.2560 | 09/25/35 | $ | 12,536 | |||||||||
1,006,924 | RMF Proprietary Issuance Trust(c),(d) | 2.1250 | 09/25/61 | 890,555 | ||||||||||
1,000,000 | RMF Proprietary Issuance Trust 2022-1 Series 2022-1 M1(c),(d) | 3.0000 | 01/25/62 | 920,980 | ||||||||||
1,414 | Ryland Mortgage Securities Corporation(d) | 0.8280 | 04/29/30 | 1,414 | ||||||||||
1,135,302 | Saluda Grade Alternative Mortgage Trust 2020-FIG1(c) | 3.3210 | 09/25/50 | 1,136,323 | ||||||||||
47,288 | Seasoned Credit Risk Transfer Trust Series 2017-3(f) | — | 07/25/56 | 14,966 | ||||||||||
48,955 | Sequoia Mortgage Trust 2004-10(b) | US0001M + 0.620% | 0.7820 | 11/20/34 | 47,763 | |||||||||
79,712 | Sequoia Mortgage Trust 2005-2(b) | US0001M + 0.440% | 0.6020 | 03/20/35 | 78,266 | |||||||||
445,999 | Sequoia Mortgage Trust 2005-3(b) | US0001M + 0.555% | 0.7170 | 05/20/35 | 360,372 | |||||||||
1,127,243 | Sequoia Mortgage Trust 2013-10(c),(d) | 3.5400 | 08/25/43 | 1,129,851 | ||||||||||
100,000 | Spruce Hill Mortgage Loan Trust 2020-SH1(c),(d) | 4.6760 | 01/28/50 | 98,446 | ||||||||||
78,006 | Structured Adjustable Rate Mortgage Loan Trust(d) | 2.6170 | 03/25/34 | 75,349 | ||||||||||
78,501 | Structured Adjustable Rate Mortgage Loan Trust(d) | 2.5890 | 12/25/34 | 75,910 | ||||||||||
104,367 | Structured Adjustable Rate Mortgage Loan Trust(d) | 2.5590 | 03/25/35 | 95,638 | ||||||||||
421,179 | Structured Adjustable Rate Mortgage Loan Trust(d) | 2.9420 | 07/25/35 | 309,012 | ||||||||||
8,247 | Structured Adjustable Rate Mortgage Loan Trust(b) | US0001M + 0.380% | 0.5670 | 09/25/36 | 7,790 | |||||||||
40,912 | Structured Asset Sec Corp Mort Passthr Certs Ser(d) | 2.6850 | 01/25/34 | 41,477 | ||||||||||
72,396 | Structured Asset Securities Corp Mortgage(d) | 2.5290 | 11/25/30 | 38,343 | ||||||||||
11,915 | Structured Asset Securities Corporation(b) | US0001M + 0.780% | 0.8860 | 12/25/33 | 11,097 | |||||||||
17,069 | Structured Asset Securities Corporation(e) | 5.1510 | 02/25/34 | 17,126 | ||||||||||
94,841 | Structured Asset Securities Corporation(b),(c) | US0001M + 0.350% | 0.5370 | 04/25/35 | 90,408 | |||||||||
153,979 | Structured Asset Securities Corporation(c),(d) | 3.4080 | 06/25/35 | 140,656 | ||||||||||
593,000 | Verus Securitization Trust 2020-INV1(c),(d) | 5.5000 | 04/25/60 | 610,302 | ||||||||||
538,000 | Vista Point Securitization Trust 2020-1(c),(d) | 4.1510 | 03/25/65 | 542,193 | ||||||||||
516,188 | Wachovia Mortgage Loan Trust, LLC Series 2006-A(d) | 2.2540 | 05/20/36 | 489,588 | ||||||||||
64,630 | WaMu Mortgage Pass-Through Certificates Series(d) | 2.6690 | 11/25/32 | 60,505 | ||||||||||
56,155 | WaMu Mortgage Pass-Through Certificates Series(d) | 2.5740 | 01/25/33 | 57,871 | ||||||||||
59,939 | WaMu Mortgage Pass-Through Certificates Series | 5.5000 | 06/25/33 | 59,616 | ||||||||||
62,351 | WaMu Mortgage Pass-Through Certificates Series | 5.5000 | 06/25/33 | 61,298 | ||||||||||
538,208 | WaMu Mortgage Pass-Through Certificates Series(d) | 5.6490 | 06/25/33 | 549,523 | ||||||||||
22,756 | WaMu Mortgage Pass-Through Certificates Series(d) | 2.5160 | 09/25/33 | 21,796 | ||||||||||
32,648 | WaMu Mortgage Pass-Through Certificates Series Series 2002-AR2-A Class A(b) | COF 11 + 1.250% | 1.4680 | 02/27/34 | 30,959 | |||||||||
95,429 | WaMu Mortgage Pass-Through Certificates Series | 6.0000 | 07/25/34 | 96,664 | ||||||||||
47,678 | WaMu Mortgage Pass-Through Certificates Series(d) | 3.0820 | 03/25/36 | 47,958 |
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 64.7% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 27.6% (Continued) | ||||||||||||||
58,959 | WaMu Mortgage Pass-Through Certificates Series(b) | 12MTA + 1.200% | 1.3040 | 11/25/42 | $ | 54,423 | ||||||||
53,629 | WaMu Mortgage Pass-Through Certificates Series(b) | US0001M + 0.640% | 0.8270 | 01/25/45 | 53,441 | |||||||||
143,845 | WaMu Mortgage Pass-Through Certificates Series(d) | 2.8390 | 08/25/46 | 106,019 | ||||||||||
101,162 | Washington Mutual MSC Mortgage Pass-Through | 5.7500 | 02/25/33 | 101,192 | ||||||||||
196,652 | Washington Mutual MSC Mortgage Pass-Through | 5.5000 | 03/25/33 | 200,128 | ||||||||||
87,235 | Washington Mutual MSC Mortgage Pass-Through | 7.5000 | 04/25/33 | 88,293 | ||||||||||
14,153 | Washington Mutual MSC Mortgage Pass-Through(c),(d) | 2.6760 | 01/25/35 | 11,675 | ||||||||||
99,700 | Wells Fargo Mortgage Backed Securities 2007-7 | 6.0000 | 06/25/37 | 92,679 | ||||||||||
3,067,800 | Wells Fargo Mortgage Backed Securities 2018-1(c),(d) | 3.6860 | 07/25/47 | 3,045,002 | ||||||||||
248,520 | WinWater Mortgage Loan Trust 2015-1(c),(d) | 3.9050 | 01/20/45 | 246,841 | ||||||||||
94,012,450 | ||||||||||||||
CREDIT CARD — 0.2% | ||||||||||||||
750,000 | Mercury Financial Credit Card Master Trust Series 2021-1A B(c) | 2.3300 | 03/20/26 | 745,923 | ||||||||||
HOME EQUITY — 2.9% | ||||||||||||||
68,106 | ABFC 2004-OPT2 Trust(b) | US0001M + 0.560% | 0.7470 | 10/25/33 | 65,732 | |||||||||
88,639 | American Residential Home Equity Loan Trust 1998-1(b) | US0001M + 2.175% | 2.3620 | 05/25/29 | 93,830 | |||||||||
587,494 | Ameriquest Mort Sec Inc Ass Bk Pas Thr Certs Ser(b) | US0001M + 2.655% | 2.8420 | 08/25/32 | 593,641 | |||||||||
87,167 | Ameriquest Mortgage Securities, Inc.(e) | 3.9050 | 05/25/34 | 87,651 | ||||||||||
616,256 | Bayview Financial Asset Trust 2007-SSR1(b),(c) | US0001M + 0.450% | 0.6370 | 03/25/37 | 595,758 | |||||||||
1,830,423 | Bayview Financial Mortgage Pass-Through Trust(b),(c) | US0001M + 1.500% | 1.7090 | 02/28/40 | 1,653,217 | |||||||||
177,898 | Bear Stearns Asset Backed Securities I Trust(b) | US0001M + 2.100% | 2.2870 | 06/25/34 | 178,225 | |||||||||
453,381 | Bear Stearns Asset Backed Securities Trust 2004-1(b) | US0001M + 0.975% | 1.1620 | 06/25/34 | 462,095 | |||||||||
208,434 | Bear Stearns Home Loan Owner Trust 2001-A(e) | 10.5000 | 02/15/31 | 215,994 | ||||||||||
302,130 | CHEC Loan Trust 2004-1(b),(c) | US0001M + 0.975% | 1.1620 | 07/25/34 | 299,509 | |||||||||
184,161 | Delta Funding Home Equity Loan Trust 1999-2(b) | US0001M + 0.320% | 0.7460 | 08/15/30 | 174,854 | |||||||||
168,563 | Delta Funding Home Equity Loan Trust 1999-3(e) | 8.0610 | 09/15/29 | 171,293 | ||||||||||
406,436 | Delta Funding Home Equity Loan Trust 2000-1(e) | 8.0900 | 05/15/30 | 392,580 | ||||||||||
75,716 | First Alliance Mortgage Loan Trust 1999-1(e) | 7.1800 | 06/20/30 | 76,538 | ||||||||||
107,728 | GE Capital Mortgage Services Inc 1999-HE1 Trust(d) | 6.7000 | 04/25/29 | 107,102 | ||||||||||
1,389,000 | Mastr Asset Backed Securities Trust 2004-FRE1(b) | US0001M + 2.700% | 2.8870 | 07/25/34 | 1,381,330 | |||||||||
278,964 | Mastr Asset Backed Securities Trust 2005-NC1(b) | US0001M + 0.750% | 0.9370 | 12/25/34 | 276,897 | |||||||||
317,716 | Morgan Stanley A.B.S Capital I Inc Trust Series(b) | US0001M + 3.900% | 4.0870 | 03/25/33 | 316,649 | |||||||||
269,351 | New Century Home Equity Loan Trust Series 2003-B(b) | US0001M + 0.975% | 1.1620 | 10/25/33 | 256,628 |
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 64.7% (Continued) | ||||||||||||||
HOME EQUITY — 2.9% (Continued) | ||||||||||||||
658 | NovaStar Mortgage Funding Trust Series 2003-2(b) | US0001M + 4.725% | 4.9120 | 09/25/33 | $ | 679 | ||||||||
392,712 | NovaStar Mortgage Funding Trust Series 2003-4(b) | US0001M + 0.740% | 0.9270 | 02/25/34 | 387,981 | |||||||||
59,117 | RAAC Series 2004-SP1 Trust(b) | US0001M + 0.700% | 0.8870 | 03/25/34 | 57,004 | |||||||||
267,522 | RBSSP Resecuritization Trust 2010-4(c),(e) | 5.8250 | 02/26/36 | 268,478 | ||||||||||
577,774 | Renaissance Home Equity Loan Trust 2002-3(b) | US0001M + 1.500% | 1.6870 | 12/25/32 | 565,484 | |||||||||
129,746 | Renaissance Home Equity Loan Trust 2002-3(b) | US0001M + 2.550% | 2.7370 | 12/25/32 | 128,908 | |||||||||
35,963 | Saxon Asset Securities Trust 2001-2(e) | 7.1700 | 03/25/29 | 37,508 | ||||||||||
46,372 | Saxon Asset Securities Trust 2003-3(d) | US0001M + 2.400% | 2.5870 | 12/25/33 | 45,995 | |||||||||
272,022 | Saxon Asset Securities Trust 2003-3(e) | 4.3070 | 12/25/33 | 268,714 | ||||||||||
464,143 | Security National Mortgage Loan Trust 2005-2(c),(d) | 6.2130 | 02/25/36 | 463,532 | ||||||||||
111,185 | Soundview Home Loan Trust 2006-OPT4(b) | US0001M + 0.300% | 0.4870 | 06/25/36 | 110,082 | |||||||||
213,328 | Southern Pacific Secured Asset Corporation | 7.3200 | 05/25/27 | 223,069 | ||||||||||
9,956,957 | ||||||||||||||
MANUFACTURED HOUSING — 1.0% | ||||||||||||||
1,000,000 | Cascade MH Asset Trust 2019-MH1 Series 2019-MH1 M(c),(d) | 5.9850 | 11/01/44 | 1,033,911 | ||||||||||
2,500,000 | Towd Point Mortgage Trust 2019-MH1(c),(d) | 3.7500 | 11/25/58 | 2,473,762 | ||||||||||
3,507,673 | ||||||||||||||
NON AGENCY CMBS — 14.6% | ||||||||||||||
723,000 | Arbor Multifamily Mortgage Securities Trust(c) | 1.7500 | 05/15/53 | 588,280 | ||||||||||
1,000,000 | Arbor Multifamily Mortgage Securities Trust(c) | 1.7500 | 05/15/53 | 779,498 | ||||||||||
7 | Bayview Commercial Asset Trust 2004-2(b),(c) | US0001M + 1.770% | 1.8780 | 08/25/34 | 7 | |||||||||
67,164 | Bayview Commercial Asset Trust 2005-2(b),(c) | US0001M + 1.725% | 1.9120 | 08/25/35 | 63,777 | |||||||||
222,967 | Bayview Commercial Asset Trust 2005-3(b),(c) | US0001M + 0.480% | 0.6670 | 11/25/35 | 207,686 | |||||||||
32,941 | Bayview Commercial Asset Trust 2005-4(b),(c) | US0001M + 0.675% | 0.8620 | 01/25/36 | 30,556 | |||||||||
503,928 | Bayview Commercial Asset Trust 2007-3(b),(c) | US0001M + 0.340% | 0.5270 | 07/25/37 | 469,479 | |||||||||
1,245,698 | Bayview Commercial Asset Trust 2007-3(b),(c) | US0001M + 0.500% | 0.6870 | 07/25/37 | 1,135,065 | |||||||||
695,833 | BBCMS MORTGAGE TRUST 2017-C1 | 3.1890 | 02/15/50 | 695,682 | ||||||||||
330,000 | BMD2 Re-Remic Trust 2019-FRR1(c),(d) | 3.4950 | 05/25/52 | 319,165 | ||||||||||
1,000,000 | Capital Funding Mortgage Trust 2021-15(b),(c) | US0001M + 3.150% | 4.1500 | 03/15/24 | 1,000,613 | |||||||||
72,000 | CD 2017-CD3 Mortgage Trust(c) | 3.2500 | 02/10/50 | 55,524 | ||||||||||
1,990,236 | CG-CCRE Commercial Mortgage Trust 2014-FL1(b),(c) | US0001M + 1.150% | 1.3410 | 06/15/31 | 1,956,695 | |||||||||
732,968 | CG-CCRE Commercial Mortgage Trust 2014-FL2(b),(c) | US0001M + 1.854% | 2.0450 | 11/15/31 | 704,980 | |||||||||
568,101 | CNL Commercial Mortgage Loan Trust 2003-1(b),(c) | US0001M + 0.500% | 0.6910 | 05/15/31 | 551,108 | |||||||||
12,326 | COMM 2010-C1 Mortgage Trust(c),(d) | 5.6570 | 07/10/46 | 12,323 |
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 64.7% (Continued) | ||||||||||||||
NON AGENCY CMBS — 14.6% (Continued) | ||||||||||||||
175,000 | COMM 2012-LC4 Mortgage Trust(d) | 4.9340 | 12/10/44 | $ | 174,849 | |||||||||
100,000 | COMM 2013-CCRE12 Mortgage Trust(d) | 4.7620 | 10/10/46 | 101,407 | ||||||||||
291,874 | COMM 2013-CCRE9 Mortgage Trust | 4.0220 | 07/10/45 | 294,475 | ||||||||||
1,350,000 | Csail 2015-C2 Commercial Mortgage Trust(d) | 4.1870 | 06/15/57 | 1,250,866 | ||||||||||
265,000 | CSAIL 2018-C14 Commercial Mortgage Trust(c),(d) | 4.9240 | 11/15/51 | 260,313 | ||||||||||
470,000 | CSAIL 2019-C16 Commercial Mortgage Trust(d) | 4.2370 | 06/15/52 | 443,143 | ||||||||||
520,000 | CSMC 2014-USA OA, LLC(c) | 4.3730 | 09/15/37 | 471,417 | ||||||||||
1,702,000 | GS Mortgage Securities Trust 2014-GC18(d) | 4.8850 | 01/10/47 | 1,671,934 | ||||||||||
26,000 | GS Mortgage Securities Trust 2014-GC20(b) | 4.9560 | 04/10/47 | 24,669 | ||||||||||
1,000,000 | GS Mortgage Securities Trust 2016-GS4(d) | 3.9560 | 11/10/49 | 955,942 | ||||||||||
1,300,000 | Harvest Commercial Capital Loan Trust 2019-1(c),(d) | 5.7300 | 11/25/31 | 1,176,569 | ||||||||||
2,366,000 | Hudsons Bay Simon JV Trust 2015-HBS(c) | 3.9140 | 08/05/34 | 2,254,160 | ||||||||||
114,920 | JP Morgan Chase Commercial Mortgage Securities(b),(c) | US0001M + 3.750% | 1.6360 | 05/15/28 | 102,911 | |||||||||
3,146,578 | JP Morgan Chase Commercial Mortgage Securities(c) | 3.9100 | 05/05/30 | 2,608,513 | ||||||||||
14,364 | JP Morgan Chase Commercial Mortgage Securities(b),(c) | US0001M + 1.300% | 1.4200 | 06/15/45 | 14,041 | |||||||||
331,786 | JP Morgan Chase Commercial Mortgage Securities(c),(d) | 3.9770 | 10/15/45 | 332,212 | ||||||||||
193,000 | JP Morgan Chase Commercial Mortgage Securities(c),(d) | 5.5240 | 02/15/46 | 72,497 | ||||||||||
500,000 | JP Morgan Chase Commercial Mortgage Securities(c),(d) | 3.2500 | 04/15/46 | 372,391 | ||||||||||
521,353 | JP Morgan Chase Commercial Mortgage Securities(c),(d) | 5.3890 | 07/15/46 | 532,252 | ||||||||||
673,956 | JP Morgan Chase Commercial Mortgage Securities(d) | 5.9300 | 06/15/49 | 205,671 | ||||||||||
339,000 | JPMBB Commercial Mortgage Securities Trust Series 2015-C29 Class C(d) | 4.1980 | 05/15/48 | 312,563 | ||||||||||
50,163 | LB-UBS Commercial Mortgage Trust 2007-C6(d) | 6.8590 | 07/15/40 | 41,298 | ||||||||||
49,437 | LSTAR Commercial Mortgage Trust 2015-3(c),(d) | 3.1650 | 04/20/48 | 49,587 | ||||||||||
4,000,000 | LSTAR Commercial Mortgage Trust 2015-3(c),(d) | 3.1650 | 04/20/48 | 3,916,294 | ||||||||||
1,500,000 | LSTAR Commercial Mortgage Trust 2017-5(c),(d) | 4.6760 | 03/10/50 | 1,387,269 | ||||||||||
4,315,000 | Morgan Stanley Bank of America Merrill Lynch Trust(d) | 4.3510 | 08/15/46 | 4,262,373 | ||||||||||
347,000 | Morgan Stanley Capital I Trust 2014-150E(c),(d) | 4.2950 | 09/09/32 | 324,705 | ||||||||||
200,000 | Morgan Stanley Capital I Trust 2015-MS1(c),(d) | 4.0310 | 05/15/48 | 180,955 | ||||||||||
242,836 | Multi Security Asset Trust, L.P. Commercial(c),(d),(g) | 4.7800 | 11/28/35 | 173,983 | ||||||||||
370,000 | Olympic Tower 2017-OT Mortgage Trust(c),(d) | 3.9450 | 05/10/39 | 300,714 | ||||||||||
500,000 | Ready Capital Mortgage Trust 2019-5(c),(d) | 5.4880 | 02/25/52 | 484,456 | ||||||||||
2,000,000 | ReadyCap Commercial Mortgage Trust 2015-SBC2(c),(d) | 5.1020 | 06/25/55 | 1,971,620 | ||||||||||
7,630,000 | ReadyCap Commercial Mortgage Trust 2018-4(c),(d) | 5.7900 | 02/27/51 | 7,829,691 | ||||||||||
174,000 | UBS-BAMLL Trust(c) | 3.6630 | 06/10/30 | 173,914 |
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 64.7% (Continued) | ||||||||||||||
NON AGENCY CMBS — 14.6% (Continued) | ||||||||||||||
115,000 | UBS-Barclays Commercial Mortgage Trust 2012-C2(c),(d) | 4.8090 | 05/10/63 | $ | 104,123 | |||||||||
445,000 | UBS-Barclays Commercial Mortgage Trust 2012-C2 Series 2012-C2 D(c),(d) | 4.8810 | 05/10/63 | 86,199 | ||||||||||
750,000 | UBS-Barclays Commercial Mortgage Trust 2012-C4 | 2.7920 | 12/10/45 | 750,867 | ||||||||||
171,000 | UBS-Barclays Commercial Mortgage Trust 2012-C4(c),(d) | 4.4600 | 12/10/45 | 156,540 | ||||||||||
75,000 | UBS-Barclays Commercial Mortgage Trust 2013-C5(c),(d) | 4.0720 | 03/10/46 | 67,965 | ||||||||||
177,151 | VCC 2020-MC1 Trust(c),(d) | 4.5000 | 06/25/45 | 177,473 | ||||||||||
377,344 | Velocity Commercial Capital Loan Trust 2017-2(c),(d) | 6.4200 | 11/25/47 | 380,674 | ||||||||||
642,432 | Velocity Commercial Capital Loan Trust 2018-1(c) | 7.2600 | 04/25/48 | 623,574 | ||||||||||
656,473 | Velocity Commercial Capital Loan Trust 2018-2(c),(d) | 6.3600 | 10/26/48 | 655,337 | ||||||||||
120,270 | Velocity Commercial Capital Loan Trust 2020-1(c),(d) | 2.9800 | 02/25/50 | 112,500 | ||||||||||
2,111,740 | Wachovia Bank Commercial Mortgage Trust Series(a),(c),(d) | 0.6440 | 07/15/41 | 4,996 | ||||||||||
256,000 | Wells Fargo Commercial Mortgage Trust 2013-LC12(d) | 4.3050 | 07/15/46 | 250,481 | ||||||||||
136,527 | WFRBS Commercial Mortgage Trust 2011-C4(c),(d) | 4.8880 | 06/15/44 | 133,752 | ||||||||||
2,322,000 | WFRBS Commercial Mortgage Trust 2012-C7(d) | 4.6670 | 06/15/45 | 2,272,354 | ||||||||||
100,000 | WFRBS Commercial Mortgage Trust 2014-C24(d) | 4.2040 | 11/15/47 | 97,261 | ||||||||||
460,148 | WFRBS Commercial Mortgage Trust 2014-C25(c),(d) | 3.8030 | 11/15/47 | 406,247 | ||||||||||
49,580,435 | ||||||||||||||
OTHER ABS — 1.6% | ||||||||||||||
246,991 | AASET 2020-1 Trust(c) | 3.3510 | 01/16/40 | 229,838 | ||||||||||
481,274 | Bayview Commercial Asset Trust 2007-4(b),(c) | US0001M + 0.450% | 0.6370 | 09/25/37 | 449,278 | |||||||||
1,000,000 | CoreVest American Finance 2021-2 Trust(c) | 2.8310 | 07/15/54 | 910,955 | ||||||||||
2,666,304 | Goodgreen 2021-1 Trust(c) | 5.7400 | 10/15/56 | 2,644,905 | ||||||||||
92,683 | HERO Funding Trust 2015-2(c) | 3.9900 | 09/20/40 | 92,795 | ||||||||||
5,424,000 | LendingClub Issuance Trust Series 2016-NP1(c),(g) | — | 06/15/22 | — | ||||||||||
98,019 | Longtrain Leasing III, LLC 2015-1 Series 2015-1A Class A2(c) | 4.0600 | 01/15/45 | 96,366 | ||||||||||
2,281 | Sprite 2017-1 Ltd.(c) | 4.2500 | 12/15/37 | 2,229 | ||||||||||
1,010,000 | Tricon American Homes 2017-SFR2 Trust(c) | 5.1040 | 01/17/36 | 1,019,295 | ||||||||||
5,445,661 | ||||||||||||||
RESIDENTIAL MORTGAGE — 3.1% | ||||||||||||||
1,131,697 | Ajax Mortgage Loan Trust 2019-A(c),(d) | 3.7500 | 08/25/57 | 1,132,066 | ||||||||||
388,517 | Amresco Residential Securities Corp Mort Loan(b) | US0001M + 0.470% | 1.1270 | 06/25/29 | 369,871 | |||||||||
1,591,306 | Belvedere SPV Srl(b) | EUR006M + 3.250% | 2.7060 | 12/31/38 | 1,647,876 | |||||||||
52,319 | Carrington Mortgage Loan Trust Series 2006-NC2(b) | US0001M + 0.150% | 0.3370 | 06/25/36 | 52,232 |
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 64.7% (Continued) | ||||||||||||||
RESIDENTIAL MORTGAGE — 3.1% (Continued) | ||||||||||||||
9,550 | Chase Funding Trust Series 2002-4(b) | US0001M + 0.740% | 0.9270 | 10/25/32 | $ | 9,443 | ||||||||
86,417 | Chase Funding Trust Series 2004-1(e) | 4.9850 | 11/25/33 | 84,992 | ||||||||||
75,256 | Countrywide Asset-Backed Certificates(b),(c) | US0001M + 4.500% | 4.6870 | 11/25/32 | 77,789 | |||||||||
92,241 | Credit-Based Asset Servicing and Securitization,(b) | US0001M + 2.775% | 2.9620 | 03/25/34 | 99,431 | |||||||||
1,268,807 | Credit-Based Asset Servicing and Securitization,(e) | 4.0400 | 05/25/35 | 1,259,610 | ||||||||||
46,831 | Credit-Based Asset Servicing and Securitization,(c),(e) | 4.7220 | 12/25/37 | 46,889 | ||||||||||
2,863 | CWABS Asset-Backed Certificates Trust 2006-18(b) | US0001M + 0.160% | 0.3470 | 03/25/37 | 2,864 | |||||||||
146,194 | Fannie Mae Grantor Trust 2002-T10(b) | US0001M + 0.240% | 0.4270 | 06/25/32 | 142,329 | |||||||||
362,293 | First Franklin Mortgage Loan Trust 2002-FF1(b) | US0001M + 1.800% | 1.9870 | 04/25/32 | 353,211 | |||||||||
83,281 | GE-WMC Asset-Backed Pass-Through Certificates(b) | US0001M + 0.660% | 0.8470 | 12/25/35 | 80,460 | |||||||||
68,787 | GSAMP Trust 2002-WF(b) | US0001M + 1.100% | 1.2710 | 10/20/32 | 68,612 | |||||||||
241,840 | Interstar Millennium Series 2004-4E Trust(b) | EUR003M + 0.400% | — | 11/14/36 | 255,855 | |||||||||
878,011 | Legacy Mortgage Asset Trust 2019-SL2(c),(d) | 3.3750 | 02/25/59 | 863,458 | ||||||||||
93,644 | Long Beach Mortgage Loan Trust 2003-2(b) | US0001M + 2.850% | 3.0370 | 06/25/33 | 98,405 | |||||||||
85,749 | Mastr Specialized Loan Trust(b),(c) | US0001M + 0.750% | 0.9370 | 11/25/35 | 85,307 | |||||||||
532,941 | RAAC Series 2005-SP2 Trust(b) | US0001M + 0.600% | 0.7870 | 06/25/44 | 462,290 | |||||||||
694,087 | RAAC Series 2007-RP3 Trust(b),(c) | US0001M + 0.380% | 0.9470 | 10/25/46 | 679,885 | |||||||||
527,273 | Structured Asset Investment Loan Trust 2003-BC9(b) | US0001M + 3.150% | 3.3370 | 08/25/33 | 546,633 | |||||||||
930,000 | Towd Point Mortgage Trust Series 2015-1 A5(c),(d) | 3.1380 | 10/25/53 | 943,519 | ||||||||||
1,000,000 | Towd Point Mortgage Trust 2019-SJ2(c),(d) | 5.0000 | 11/25/58 | 998,403 | ||||||||||
10,361,430 | ||||||||||||||
STUDENT LOANS — 0.6% | ||||||||||||||
34,334 | AccessLex Institute(d) | US0003M + 0.700% | 0.9580 | 01/25/43 | 32,627 | |||||||||
760,000 | EdLinc Student Loan Funding Trust 2012-1(b),(c) | US0001M + 4.240% | 4.4270 | 11/26/40 | 929,342 | |||||||||
434,921 | EdLinc Student Loan Funding Trust 2017-A(b),(c) | Prime Rate - 1.150% | 2.1000 | 12/01/47 | 414,709 | |||||||||
141,678 | L2L Education Loan Trust 2006-1(b),(c) | US0001M + 0.340% | 0.5310 | 06/15/31 | 136,694 | |||||||||
46,635 | National Collegiate Trust 2005-GATE (The)(b),(c) | US0001M + 0.450% | 0.6370 | 04/26/23 | 41,981 | |||||||||
34,376 | SLM Student Loan Trust 2005-8(b) | US0003M + 0.310% | 0.5680 | 01/25/55 | 32,492 | |||||||||
643,938 | Student Loan A.B.S Repackaging Trust Series 2007-1(b),(c) | US0003M + 0.215% | 0.3910 | 11/27/30 | 620,162 | |||||||||
2,208,007 | ||||||||||||||
WHOLE BUSINESS — 0.1% | ||||||||||||||
30,201 | Business Loan Express Business Loan Trust 2005-A(b),(c) | US0001M + 1.100% | 1.2870 | 09/25/38 | 27,888 | |||||||||
166,177 | Business Loan Express Business Loan Trust 2007-A(b),(c) | US0001M + 0.400% | 0.5710 | 10/20/40 | 154,849 | |||||||||
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 64.7% (Continued) | ||||||||||||||
WHOLE BUSINESS — 0.1% (Continued) | ||||||||||||||
84,620 | Business Loan Express SBA Loan Trust 2006-1(b),(c) | US0001M + 0.950% | 1.1210 | 10/20/38 | $ | 79,009 | ||||||||
261,746 | ||||||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $219,636,885) | 220,592,620 | |||||||||||||
CORPORATE BONDS — 14.2% | ||||||||||||||
ASSET MANAGEMENT — 0.3% | ||||||||||||||
70,000 | Morgan Stanley & Company, LLC(b) | (5*(USISDA30*USISDA02)) | 6.4050 | 01/21/26 | 53,200 | |||||||||
274,000 | Nomura America Finance, LLC(d) | 3.3960 | 12/31/33 | 223,653 | ||||||||||
65,000 | Nomura America Finance, LLC(c) | 1.3480 | 02/28/34 | 50,248 | ||||||||||
890,000 | Nomura America Finance, LLC(d) | 1.4440 | 07/29/34 | 694,199 | ||||||||||
1,021,300 | ||||||||||||||
BANKING — 4.5% | ||||||||||||||
190,000 | Bank of Nova Scotia (The)(b) | (4*(USISDA30-USISDA02)) | 0.1120 | 06/27/33 | 139,413 | |||||||||
120,000 | Bank of Nova Scotia (The)(b) | 4*(CMS30-CMS2) | 1.7960 | 01/30/34 | 94,800 | |||||||||
100,000 | Bank of Nova Scotia (The)(d) | 1.7800 | 08/28/34 | 76,000 | ||||||||||
75,000 | Barclays Bank plc(f) | — | 01/23/26 | 75,218 | ||||||||||
525,000 | Barclays Bank plc(d) | 3.3740 | 09/13/28 | 488,250 | ||||||||||
50,000 | Barclays Bank plc(d) | 5.1920 | 10/18/28 | 45,500 | ||||||||||
75,000 | Barclays Bank plc(d) | 0.3600 | 08/15/33 | 59,250 | ||||||||||
58,000 | Barclays Bank plc(d) | 0.8360 | 04/25/34 | 44,080 | ||||||||||
70,000 | Barclays Bank plc(d) | 2.3920 | 07/31/34 | 52,675 | ||||||||||
177,000 | BNP Paribas S.A.(b) | 4*(CMS30-CMS5) | 2.1960 | 04/30/33 | 129,874 | |||||||||
430,000 | Citigroup, Inc.(d) | 0.2920 | 06/11/33 | 318,200 | ||||||||||
1,037,000 | Citigroup, Inc.(d) | 0.5080 | 11/26/33 | 798,490 | ||||||||||
507,000 | Citigroup, Inc.(d) | 2.2680 | 12/29/34 | 400,530 | ||||||||||
55,000 | Citigroup, Inc.(d) | 0.9360 | 08/31/35 | 41,113 | ||||||||||
507,000 | Credit Suisse A.G.(d) | 8.0580 | 09/30/30 | 494,959 | ||||||||||
300,000 | Credit Suisse A.G.(c) | 10.8970 | 09/30/30 | 283,875 | ||||||||||
220,000 | Credit Suisse A.G. | 8.1700 | 01/29/31 | 217,800 | ||||||||||
766,000 | Credit Suisse A.G.(c) | 9.8040 | 04/29/31 | 766,000 | ||||||||||
1,024,000 | Credit Suisse A.G.(d) | 8.0000 | 10/31/31 | 1,020,160 | ||||||||||
120,000 | Deutsche Bank A.G.(d) | 1.9400 | 01/31/33 | 87,150 | ||||||||||
245,000 | Deutsche Bank A.G.(d) | 1.7960 | 06/30/34 | 183,750 |
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
CORPORATE BONDS — 14.2% (Continued) | ||||||||||||||
BANKING — 4.5% (Continued) | ||||||||||||||
1,257,000 | Deutsche Bank A.G.(b) | (4*(USISDA30-USISDA02)) | 1.7800 | 08/28/34 | $ | 923,895 | ||||||||
4,009,000 | Deutsche Bank A.G.(d) | 1.6240 | 10/31/34 | 3,111,985 | ||||||||||
961,000 | Deutsche Bank A.G.(d) | 0.3480 | 11/26/34 | 730,360 | ||||||||||
738,000 | Deutsche Bank A.G.(d) | 4.1200 | 03/27/35 | 552,578 | ||||||||||
75,000 | Deutsche Bank A.G.(d) | 4.8720 | 12/23/35 | 55,500 | ||||||||||
100,000 | HSBC USA, Inc.(d) | 7.3310 | 05/21/29 | 92,250 | ||||||||||
200,000 | Lloyds Bank plc(b) | USISDA30 - 0.500% | 0.2110 | 01/31/33 | 145,000 | |||||||||
136,000 | Lloyds Bank plc(d) | 1.8360 | 10/25/33 | 107,440 | ||||||||||
655,000 | Lloyds Bank plc(d) | 2.3800 | 11/27/33 | 516,294 | ||||||||||
282,000 | Natixis US Medium-Term Note Program, LLC(d) | 1.0800 | 04/30/34 | 236,880 | ||||||||||
1,414,000 | Natixis US Medium-Term Note Program, LLC(b) | (7.5*(USISDA30-USISDA05)) | 2.2430 | 07/31/34 | 1,046,359 | |||||||||
618,000 | Natixis US Medium-Term Note Program, LLC(d) | 4.8880 | 03/31/36 | 541,523 | ||||||||||
125,000 | NatWest Markets plc(d) | 0.5760 | 08/18/31 | 100,000 | ||||||||||
100,000 | NatWest Markets plc(d) | 1.9520 | 08/26/31 | 78,875 | ||||||||||
202,000 | SG Structured Products, Inc.(d) | 1.0000 | 03/31/26 | 191,900 | ||||||||||
185,000 | SG Structured Products, Inc.(d) | 0.4440 | 07/29/31 | 150,775 | ||||||||||
644,000 | Societe Generale S.A.(d) | 10.0000 | 10/29/32 | 599,725 | ||||||||||
203,000 | Societe Generale S.A.(d) | 12.5000 | 01/31/35 | 200,970 | ||||||||||
135,000 | STRATS, LLC(d) | US0006M + 1.000% | 1.8400 | 02/15/34 | 104,745 | |||||||||
15,304,141 | ||||||||||||||
INSTITUTIONAL FINANCIAL SERVICES — 5.0% | ||||||||||||||
41,000 | Citigroup Global Markets Holdings, Inc.(d) | 11.7680 | 04/25/32 | 32,987 | ||||||||||
35,000 | Citigroup Global Markets Holdings, Inc.(d) | 1.7850 | 11/22/32 | 33,250 | ||||||||||
200,000 | Citigroup Global Markets Holdings, Inc. | 10.0000 | 03/29/34 | 194,000 | ||||||||||
60,000 | Citigroup Global Markets Holdings, Inc.(d) | 10.0000 | 03/29/34 | 59,400 | ||||||||||
50,000 | Citigroup Global Markets Holdings, Inc.(d) | 2.8850 | 12/14/36 | 40,313 | ||||||||||
365,000 | Goldman Sachs Group, Inc. (The)(d) | 1.9700 | 03/19/29 | 321,200 | ||||||||||
97,000 | Jefferies Group, LLC / Jefferies Group Capital(d) | 2.5270 | 05/31/34 | 90,210 | ||||||||||
30,000 | Jefferies Group, LLC / Jefferies Group Capital(d) | 3.1700 | 06/30/37 | 26,775 | ||||||||||
1,168,000 | Jefferies Group, LLC / Jefferies Group Capital(d) | 3.0330 | 07/31/37 | 1,134,419 | ||||||||||
150,000 | Jefferies Group, LLC / Jefferies Group Capital(d) | 3.1700 | 08/31/37 | 133,875 | ||||||||||
229,000 | Jefferies Group, LLC / Jefferies Group Capital(b) | (9*(USISDA10-USISDA02)) | 8.0000 | 08/31/37 | 196,940 | |||||||||
248,000 | Jefferies Group, LLC / Jefferies Group Capital(d) | 2.5360 | 09/30/37 | 204,910 |
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
CORPORATE BONDS — 14.2% (Continued) | ||||||||||||||
INSTITUTIONAL FINANCIAL SERVICES — 5.0% (Continued) | ||||||||||||||
110,000 | Jefferies Group, LLC / Jefferies Group Capital(d) | 2.6960 | 01/31/38 | $ | 103,675 | |||||||||
762,000 | Jefferies Group, LLC / Jefferies Group Capital(b) | (7.5*(USISDA30-USISDA02)) + 0.750% | 2.7920 | 02/28/38 | 621,030 | |||||||||
280,000 | Jefferies Group, LLC / Jefferies Group Capital(b) | US0003M + 4.000% | 5.0000 | 03/20/40 | 279,281 | |||||||||
115,000 | Morgan Stanley(d) | 8.0000 | 03/21/27 | 124,631 | ||||||||||
1,015,000 | Morgan Stanley(d) | 5.1600 | 09/27/28 | 918,575 | ||||||||||
753,000 | Morgan Stanley(d) | 6.6200 | 10/15/28 | 672,053 | ||||||||||
3,588,000 | Morgan Stanley(b) | (10*(USISDA30-USISDA02)) | 8.4900 | 04/30/30 | 3,534,179 | |||||||||
1,388,000 | Morgan Stanley(b) | (10*(USISDA30-USISDA02)) | 6.1100 | 05/29/30 | 1,367,179 | |||||||||
363,000 | Morgan Stanley(d) | 6.1100 | 06/30/30 | 357,555 | ||||||||||
182,000 | Morgan Stanley(b) | (8*(USISDA30-USISDA02)) | 4.8880 | 07/31/30 | 174,720 | |||||||||
290,000 | Morgan Stanley(b) | (8.5*(USISDA30-USISDA02)) | 9.0610 | 08/19/30 | 279,850 | |||||||||
216,000 | Morgan Stanley(b) | (8*(USISDA30-USISDA02)) | 4.8880 | 08/31/30 | 206,550 | |||||||||
285,000 | Morgan Stanley(d) | 6.1100 | 09/30/30 | 280,725 | ||||||||||
171,000 | Morgan Stanley(d) | 3.0550 | 10/30/30 | 140,897 | ||||||||||
151,000 | Morgan Stanley(b) | (5*(USISDA30-USISDA02)) | 5.3760 | 10/30/30 | 141,940 | |||||||||
50,000 | Morgan Stanley(d) | 3.0550 | 11/30/30 | 41,313 | ||||||||||
20,000 | Morgan Stanley(d) | 8.0000 | 03/31/31 | 21,525 | ||||||||||
167,000 | Morgan Stanley(d) | 9.0000 | 03/31/31 | 186,831 | ||||||||||
89,000 | Morgan Stanley(d) | 8.5000 | 05/31/31 | 97,010 | ||||||||||
100,000 | Morgan Stanley(d) | 9.0000 | 06/30/31 | 111,250 | ||||||||||
114,000 | Morgan Stanley(d) | 8.5000 | 07/29/31 | 124,260 | ||||||||||
228,200 | Morgan Stanley(d) | 8.9740 | 09/16/31 | 214,508 | ||||||||||
117,000 | Morgan Stanley(d) | 3.6660 | 01/30/34 | 106,616 | ||||||||||
209,000 | Morgan Stanley(d) | 2.4440 | 03/31/34 | 152,570 | ||||||||||
287,000 | Morgan Stanley(d) | 3.0720 | 05/30/34 | 209,510 | ||||||||||
220,000 | Morgan Stanley(d) | 2.4440 | 07/31/34 | 162,800 | ||||||||||
121,000 | Morgan Stanley(d) | 3.0550 | 08/29/34 | 91,960 | ||||||||||
120,000 | Morgan Stanley(d) | 3.8400 | 09/30/34 | 91,200 | ||||||||||
238,000 | Morgan Stanley(b) | (5*(USISDA30-USISDA02)) | 4.3600 | 10/08/34 | 180,880 | |||||||||
233,000 | Morgan Stanley(d) | 4.2770 | 10/31/34 | 205,040 |
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
CORPORATE BONDS — 14.2% (Continued) | ||||||||||||||
INSTITUTIONAL FINANCIAL SERVICES — 5.0% (Continued) | ||||||||||||||
30,000 | Morgan Stanley(b) | (7*(USISDA30-USISDA02)) | 3.8650 | 11/28/34 | $ | 22,800 | ||||||||
230,000 | Morgan Stanley(d) | 2.7500 | 12/31/34 | 169,625 | ||||||||||
304,000 | Morgan Stanley(b) | (4.5*(USISDA30-USISDA02)) | 4.8880 | 01/30/35 | 279,680 | |||||||||
473,000 | Morgan Stanley(d) | 3.1520 | 02/27/35 | 345,290 | ||||||||||
438,000 | Morgan Stanley(b) | (6*(USISDA30-USISDA02)) | 3.6660 | 03/31/35 | 369,563 | |||||||||
532,000 | Morgan Stanley(b) | (9*(USISDA30-USISDA02)) | 9.0000 | 04/30/35 | 593,180 | |||||||||
73,000 | Morgan Stanley(b) | 9.0000 | 05/29/35 | 81,213 | ||||||||||
�� | 120,000 | Morgan Stanley(d) | 9.0000 | 06/30/35 | 133,800 | |||||||||
268,000 | Morgan Stanley(d) | 9.0000 | 07/31/35 | 298,150 | ||||||||||
79,000 | Morgan Stanley(d) | 9.0000 | 09/30/35 | 87,888 | ||||||||||
109,000 | Morgan Stanley(d) | 9.0000 | 11/30/35 | 121,263 | ||||||||||
134,000 | Morgan Stanley(b) | (9*(USISDA30-USISDA02)) | 9.0000 | 12/23/35 | 149,410 | |||||||||
816,000 | Morgan Stanley(b) | (10*(USISDA30-USISDA02)) | 6.1100 | 02/29/36 | 750,720 | |||||||||
17,070,974 | ||||||||||||||
SPECIALTY FINANCE — 4.4% | ||||||||||||||
187,653 | Fort Knox Military Housing Privatization Project(b) | US0001M + 0.340% | 0.5310 | 02/15/52 | 114,753 | |||||||||
498,000 | Morgan Stanley Finance, LLC(b) | 10.0000 | 04/30/33 | 489,908 | ||||||||||
541,000 | Morgan Stanley Finance, LLC(b) | (10*(USISDA30-USISDA02)) | 6.1100 | 06/30/36 | 497,720 | |||||||||
215,000 | Morgan Stanley Finance, LLC(b) | (15*(USISDA30-USISDA02)) | 10.0000 | 07/29/36 | 214,194 | |||||||||
2,574,000 | Morgan Stanley Finance, LLC(b) | (20*(USISDA30-USISDA02)) | 9.0000 | 08/31/36 | 2,599,740 | |||||||||
788,000 | Morgan Stanley Finance, LLC(b) | 9.0000 | 09/30/36 | 795,880 | ||||||||||
4,218,000 | Morgan Stanley Finance, LLC(b) | (20*(USISDA30-USISDA02)) | 9.0000 | 11/29/36 | 4,260,179 | |||||||||
1,269,000 | Morgan Stanley Finance, LLC(b) | (20*(USISDA30-USISDA02)) | 9.0000 | 01/31/37 | 1,281,690 | |||||||||
361,000 | Morgan Stanley Finance, LLC(b) | (20*(USISDA30-USISDA02)) | 9.0000 | 04/28/37 | 364,610 | |||||||||
267,000 | Morgan Stanley Finance, LLC(b) | 8.0000 | 07/31/37 | 269,670 | ||||||||||
2,014,000 | Morgan Stanley Finance, LLC(b) | 10*(CMS30-CMS5) | 7.8200 | 09/29/37 | 1,832,740 | |||||||||
158,000 | Morgan Stanley Finance, LLC(b) | 8.0000 | 09/29/37 | 159,580 | ||||||||||
1,000,000 | OWS Cre Funding I, LLC(b),(c) | US0001M + 4.900% | 5.0060 | 09/15/23 | 1,000,345 | |||||||||
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
CORPORATE BONDS — 14.2% (Continued) | ||||||||||||||
SPECIALTY FINANCE — 4.4% (Continued) | ||||||||||||||
358,913 | Preferred Term Securities IV Ltd. / Preferred Term(b),(c) | US0003M + 2.250% | 2.4640 | 12/23/31 | $ | 355,324 | ||||||||
85,284 | Preferred Term Securities X Ltd. / Preferred Term(b),(c) | US0003M + 0.860% | 1.0800 | 07/03/33 | 80,563 | |||||||||
634,876 | Select Notes Trust LT 2003-1 | 5.9100 | 02/22/33 | 632,774 | ||||||||||
14,949,670 | ||||||||||||||
TOTAL CORPORATE BONDS (Cost $49,898,544) | 48,346,085 | |||||||||||||
NON U.S. GOVERNMENT & AGENCIES — 0.3% | ||||||||||||||
SOVEREIGN — 0.1% | ||||||||||||||
200,000 | Argentina Bonar Bonds(e) | 0.5000 | 07/09/30 | 58,050 | ||||||||||
24,086 | Argentine Republic Government International Bond | 1.0000 | 07/09/29 | 8,006 | ||||||||||
485,000 | Argentine Republic Government International Bond(e) | 1.1250 | 07/09/35 | 145,180 | ||||||||||
211,236 | ||||||||||||||
SUPRANATIONAL — 0.2% | ||||||||||||||
964,000 | International Bank for Reconstruction &(b) | 0.0720 | 06/30/34 | 748,305 | ||||||||||
TOTAL NON U.S. GOVERNMENT & AGENCIES (Cost $1,266,407) | 959,541 | |||||||||||||
Principal Amount ($) | Coupon Rate (%) | Maturity | ||||||||||||
U.S. GOVERNMENT & AGENCIES — 10.4% | ||||||||||||||
AGENCY MBS OTHER — 0.1% | ||||||||||||||
38,290 | Fannie Mae Pool 257064 | 4.5000 | 11/01/37 | 39,117 | ||||||||||
133,533 | Ginnie Mae II Pool BU6365(b) | 4.6060 | 04/20/70 | 136,988 | ||||||||||
176,105 | ||||||||||||||
U.S. TREASURY BILLS — 4.7% | ||||||||||||||
8,000,000 | United States Treasury Bill | 0.0900 | 03/29/22 | 7,999,440 | ||||||||||
8,000,000 | United States Treasury Bill | 0.1900 | 04/28/22 | 7,997,500 | ||||||||||
15,996,940 |
EASTERLY INCOME OPPORTUNITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
February 28, 2022 |
Principal Amount ($) | Coupon Rate (%) | Maturity | Fair Value | |||||||||
U.S. GOVERNMENT & AGENCIES — 10.4% (Continued) | ||||||||||||
U.S. TREASURY NOTES — 5.6% | ||||||||||||
15,000,000 | United States Treasury Note | 0.8750 | 01/31/24 | $ | 14,847,656 | |||||||
3,000,000 | United States Treasury Note | 1.6250 | 11/15/50 | 2,619,844 | ||||||||
1,000,000 | United States Treasury Note | 1.8750 | 11/15/51 | 930,156 | ||||||||
1,000,000 | United States Treasury Note | 2.2500 | 02/15/52 | 1,015,234 | ||||||||
19,412,890 | ||||||||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $35,931,634) | 35,585,935 | |||||||||||
TOTAL INVESTMENTS - 89.6% (Cost $306,733,470) | $ | 305,484,181 | ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 10.4% | 35,355,644 | |||||||||||
NET ASSETS - 100.0% | $ | 340,839,825 |
CREDIT DEFAULT SWAP AGREEMENT | ||||||||||||||||||||||||
Description | Counterparty | Fixed Deal (Pay)Rate | Maturity Date | Notional Value | Fair Value | Amortized Upfront Payments Paid | Unrealized Depreciation | |||||||||||||||||
Morgan Stanley, 3.75%, 02/25/2023 | Goldman Sachs | 1.00 | % | 6/20/2025 | $ | 20,000,000 | (277,342 | ) | (260,030 | ) | $ | (17,313 | ) |
INTEREST RATE SWAP AGREEMENT | ||||||||||||||||||||||||
Counterparty | Floating Rate Index | Pay/Receive | Maturity Date | Notional Value | Fair Value | Premiums Paid/(Received) | Unrealized Appreciation | |||||||||||||||||
Goldman Sachs | USD-SOFR-OIS Compound | 0.9975 | % | 1/25/2024 | $ | 100,000,000 | 565,962 | $ | — | $ | 565,962 |
LLC | - Limited Liability Company |
LP | - Limited Partnership |
LTD | - Limited Company |
PLC | - Public Limited Company |
REMIC | - Real Estate Mortgage Investment Conduit |
S/A | - Société Anonyme |
12MTA | Federal Reserve US 12 Month Cumulative Avg 1 Year CMT |
CMS2 | 2 Year Constant Maturity Swap Rate |
CMS5 | 5 Year Constant Maturity Swap Rate |
CMS30 | 30 Year Constant Maturity Swap Rate |
COF 11 | Cost of Funds for the 11th District of San Francisco |
EUR003M | Euribor 3 Month ACT/360 |
EUR006M | Euribor 6 Month ACT/360 |
Prime Rate | Prime Lending Rate by Country United States |
US0001M | ICE LIBOR USD 1 Month |
US0003M | ICE LIBOR USD 3 Month |
US0006M | ICE LIBOR USD 6 Month |
USISDA02 | 2 Year Swap |
USISDA10 | 10 Year Swap |
USISDA30 | 30 Year Swap |
SOFR-OIS | Secured Overnight Financing Rate – Overnight Indexed Swap |
(a) | Interest only securities. |
(b) | Variable rate security; the rate shown represents the rate on February 28, 2022. |
(c) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of February 28, 2022 the total market value of 144A securities is 144,704,107 or 42.5% of net assets. |
(d) | 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. |
(e) | Step bond. Coupon rate is fixed rate that changes on a specified date. The rate shown is the current rate at February 28, 2022. |
(f) | Zero coupon bond. |
(g) | The security is illiquid; total illiquid securities represent 1.8% of net assets. |