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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act File Number: 811-09221
Community Capital Trust
(Exact name of Registrant as specified in charter)
2500 Weston Road
Suite 101
Weston, FL 33331
(Address of principal executive offices) (Zip code)
Michael P. Malloy, Esquire
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103
(Name and address of agent for service)
Registrant’s telephone number, including area
code: 1-877-272-1977
Date of fiscal year end: May 31, 2022
Date of reporting period: November 30, 2021
Form N-CSRS is to be used by management investment
companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required
to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use
the information provided on Form N-CSRS in its regulatory, disclosure review, inspection, and policymaking roles.
A Registrant is required to disclose the information
specified by Form N-CSRS, and the Commission will make this information public. A Registrant is not required to respond to the collection
of information contained in Form N-CSRS unless the Form displays a currently valid Office of Management and Budget (“OMB”) control
number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing
the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this
collection of information under the clearance requirements of 44 U.S.C. ss. 3507.
Item 1. Reports to Stockholders.
A copy of the report transmitted to Stockholders pursuant to Rule 30e-1
under the Investment Company Act of 1940, as amended (the “Act”) (17 CFR 270.30e-1) is attached hereto.
Semi-Annual Report 2021
COMMUNITY CAPITAL TRUST
November 30, 2021
CCM ALTERNATIVE INCOME FUND (“THE FUND”)
TABLE OF CONTENTS
Fund Profile |
2 |
Expenses |
3 |
Schedule of Investments |
4 |
Statement of Assets and Liabilities |
10 |
Statement of Operations |
11 |
Statements of Changes in Net Assets |
12 |
Financial Highlights |
13 |
Notes to Financial Statements |
14 |
Liquidity Risk Management Program |
31 |
2 |
CCM Alternative Income Fund |
Fund Profile November 30, 2021
Top Ten Holdings* |
|
(% of Net Assets) |
|
Enviva Partners |
7.41% |
FHA Project Loan, 07/01/2047 |
7.05% |
Washoe County, 02/01/2040 |
4.12% |
Two Harbors Investment Corp. |
3.55% |
USDA Loan, 06/25/2038 |
3.34% |
USDA Loan, 12/01/2047 |
3.33% |
Qurate Retail, 03/15/2031 |
3.09% |
Miami-Dade County, 04/01/2040 |
3.04% |
WP Carey |
2.55% |
NextEra Energy Partners |
2.45% |
39.93% |
|
*Excludes Short-Term Investments. |
Asset Allocation** |
|
(% of Net Assets) |
|
Asset-Backed Securities |
4.98% |
Closed-End Fund |
2.27% |
Communication Services |
3.97% |
Consumer Discretionary |
4.90% |
Consumer Staples |
3.21% |
Corporate Bond |
1.95% |
Energy |
7.41% |
Exchange – Traded Funds |
3.13% |
FGLMC Single Family |
0.01% |
FHA Project Loans |
7.97% |
Financials |
16.72% |
FNMA Multifamily |
1.32% |
GNMA Multifamily |
1.66% |
Health Care |
5.13% |
Information Technology |
1.85% |
Money Market Fund |
3.81% |
Municipal Bonds |
20.14% |
Real Estate |
7.41% |
Small Business Administration |
0.06% |
USDA Loan |
6.67% |
Utilities |
6.49% |
Liabilities in Excess of Other Assets |
(11.06)% |
100.00% |
|
**Excludes derivatives held in the Fund. |
Expenses November 30, 2021
As a shareholder of the Fund, you incur two types of costs: transaction costs, such as wire fees; and ongoing costs, including management fees and other Fund operating expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested on June 1, 2021 and held for the six-month period ended November 30, 2021.
Actual expenses (Unaudited)
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested at the beginning of the period, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes (Unaudited)
The second line of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as wire fees or low balance fees. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
Beginning |
Ending |
Expenses Paid |
||
Actual |
Institutional Shares |
$1,000.00 |
$1,025.70 |
$8.43 |
Hypothetical |
Institutional Shares |
$1,000.00 |
$1,016.75 |
$8.39 |
* | Expenses are equal to the annualized expense ratio of 1.66%, including dividend expense and prime broker fees on short sales, for Institutional Shares multiplied by the average account value over the period, multiplied by 183 days/365 days (to reflect the one-half year period). The Fund’s ending account value on the first line in the table is based on its actual total return of 2.57% for the period June 1, 2021 to November 30, 2021. |
4 |
CCM Alternative Income Fund |
Schedule of Investments November 30, 2021
Shares |
Value |
|||||||
COMMON STOCK – 47.62% |
||||||||
Communication Services – 3.97% |
||||||||
AT&T (a) |
10,500 | $ | 239,715 | |||||
Omnicom Group |
5,000 | 336,550 | ||||||
Verizon Communications |
8,600 | 432,322 | ||||||
1,008,587 | ||||||||
Consumer Discretionary – 1.81% |
||||||||
Restaurant Brands International |
8,200 | 459,446 | ||||||
Consumer Staples – 3.21% |
||||||||
Coca-Cola Femsa |
2,900 | 142,448 | ||||||
Mondelez International, Cl A |
5,800 | 341,852 | ||||||
Unilever |
6,500 | 330,525 | ||||||
814,825 | ||||||||
Energy – 7.41% |
||||||||
Enviva Partners (a) (b) |
26,852 | 1,880,445 | ||||||
Financials – 10.34% |
||||||||
Aflac |
2,100 | 113,694 | ||||||
Allstate Corp. |
3,900 | 424,008 | ||||||
Fidelity National Financial |
10,800 | 528,228 | ||||||
Financial Institutions |
12,000 | 369,600 | ||||||
JPMorgan Chase |
2,200 | 349,426 | ||||||
Principal Financial Group (a) |
5,200 | 356,616 | ||||||
Toronto-Dominion Bank |
6,700 | 482,802 | ||||||
2,624,374 | ||||||||
Health Care – 5.13% |
||||||||
Bristol-Myers Squibb (a) |
8,200 | 439,766 | ||||||
Cardinal Health |
4,300 | 198,789 | ||||||
Cigna Corp. |
1,000 | 191,900 | ||||||
Merck |
2,600 | 194,766 | ||||||
Organon |
9,520 | 278,270 | ||||||
1,303,491 | ||||||||
Information Technology – 1.85% |
||||||||
Broadcom |
850 | 470,628 | ||||||
Real Estate – 7.41% |
||||||||
American Tower Corp. (c) |
1,200 | 314,976 | ||||||
Healthcare Trust of America, Cl A (c) |
10,000 | 339,600 | ||||||
Realty Income (c) |
8,500 | 577,320 | ||||||
WP Carey (c) |
8,500 | 648,975 | ||||||
1,880,871 | ||||||||
Utilities – 6.49% |
||||||||
Clearway Energy, Cl A |
14,000 | 483,420 | ||||||
CMS Energy Corp. |
5,000 | 294,250 | ||||||
Dominion Energy |
3,500 | 249,200 | ||||||
NextEra Energy Partners |
7,300 | 620,865 | ||||||
1,647,735 | ||||||||
TOTAL COMMON STOCK |
||||||||
(Cost $11,248,472) |
12,090,402 |
The accompanying notes are an integral part of the financial statements.
Principal |
Value |
|||||||
MUNICIPAL BONDS – 20.14% |
||||||||
California – 3.27% |
||||||||
Central Valley Support Joint Powers Agency, Ser D, RB |
||||||||
6.076%, 09/01/2029 (a) |
$ | 150,000 | $ | 186,545 | ||||
Rancho Cucamonga Redevelopment Successor Agency, Ser B, TA, NATL |
||||||||
6.262%, 09/01/2031 |
250,000 | 305,587 | ||||||
Tuolumne Wind Project Authority, Ser B, RB |
||||||||
6.918%, 01/01/2034 (a) |
250,000 | 337,729 | ||||||
829,861 | ||||||||
Florida – 3.03% |
||||||||
Miami-Dade County, RB, AGM |
||||||||
7.500%, 04/01/2040 (a) |
500,000 | 770,605 | ||||||
Georgia – 1.92% |
||||||||
Atlanta Development Authority, RB |
||||||||
5.350%, 01/01/2035 (a) |
400,000 | 487,213 | ||||||
Illinois – 1.93% |
||||||||
Bedford Park Village, Ser B, RB, AGM |
||||||||
Callable 12/01/2023 @ 100 |
||||||||
6.570%, 12/01/2030 (a) |
445,000 | 490,119 | ||||||
Maryland – 2.84% |
||||||||
Baltimore, TA |
||||||||
5.375%, 09/01/2025 |
190,000 | 197,269 | ||||||
Baltimore, TA |
||||||||
Callable 09/01/2025 @ 100 |
||||||||
5.375%, 09/01/2030 (a) |
500,000 | 523,993 | ||||||
721,262 | ||||||||
Nevada – 4.12% |
||||||||
Washoe County, RB |
||||||||
7.969%, 02/01/2040 (a) |
675,000 | 1,046,308 | ||||||
New Jersey – 2.21% |
||||||||
New Jersey State Economic Development Authority, Ser A2, RB, AGC |
||||||||
6.310%, 07/01/2026 |
495,000 | 562,149 | ||||||
Washington – 0.82% |
||||||||
King County Housing Authority, RB |
||||||||
Callable 01/18/2022 @ 100 |
||||||||
6.375%, 12/31/2046 |
205,000 | 207,436 | ||||||
TOTAL MUNICIPAL BONDS |
||||||||
(Cost $4,489,474) |
5,114,953 | |||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS – 17.69% |
||||||||
FGLMC Single Family – 0.01% |
||||||||
Pool FHR 2106 S, 7.96%, VAR ICE LIBOR USD 1 Month + 8.050%, 12/15/2028 |
19,949 | 2,850 | ||||||
FHA Project Loans – 7.97% |
||||||||
Pool Robin Ridge, 5.75%, 01/01/2035 (d) (e) |
93,245 | 93,068 |
The accompanying notes are an integral part of the financial statements.
6 |
CCM Alternative Income Fund |
|
Principal |
Value |
||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS — continued |
||||||||
Pool 023-98146, 6.51%, 07/01/2047 (d) (e) |
$ | 1,752,719 | $ | 1,789,469 | ||||
Pool A35272, 6.95%, 11/01/2025 (d) (e) |
140,443 | 140,445 | ||||||
2,022,982 | ||||||||
FNMA Multifamily – 1.32% |
||||||||
Pool 464296, 5.86%, 01/01/2028 |
307,148 | 336,490 | ||||||
GNMA Multifamily – 1.66% |
||||||||
Pool 2021-699710, 5.43%, 07/15/2044 |
370,334 | 370,145 | ||||||
Pool 2010-68, 6.49%, VAR ICE LIBOR USD 1 Month + 6.580%, 06/20/2040 |
286,345 | 52,050 | ||||||
422,195 | ||||||||
Small Business Administration – 0.06% |
||||||||
Pool 2008-20C, 5.49%, 03/01/2028 |
13,637 | 14,690 | ||||||
USDA Loan – 6.67% |
||||||||
Pool Ryze, 5.25%, 06/25/2038 |
734,580 | 849,248 | ||||||
Pool Grand Prairie Apartments, 5.95%, 12/01/2047 |
770,322 | 844,427 | ||||||
1,693,675 | ||||||||
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS |
||||||||
(Cost $4,538,551) |
4,492,882 | |||||||
Shares |
||||||||
PREFERRED STOCK – 9.47% |
||||||||
Consumer Discretionary – 3.09% |
||||||||
Qurate Retail, 03/15/2031 |
7,500 | 783,750 | ||||||
Financials – 6.38% |
||||||||
AGNC Investment Corp., VAR ICE LIBOR USD 3 Month + 4.697% (c) (f) |
14,000 | 347,760 | ||||||
Franklin BSP Realty Trust (c) (f) |
15,100 | 372,215 | ||||||
Two Harbors Investment Corp., VAR ICE LIBOR USD 3 Month + 5.011% (c) (f) |
36,000 | 900,720 | ||||||
1,620,695 | ||||||||
TOTAL PREFERRED STOCK |
||||||||
(Cost $1,889,561) |
2,404,445 | |||||||
|
||||||||
ASSET-BACKED SECURITIES – 4.98% |
||||||||
Other Asset-Backed Securities – 4.98% |
||||||||
Dividend Solar Loans |
||||||||
3.67%, 08/22/2039 (g) |
$ | 292,670 | 306,094 | |||||
HSI Asset Securitization Corp Trust |
||||||||
0.87%, VAR ICE LIBOR USD 1 Month + 0.780%, 11/25/2035 |
148,353 | 147,572 | ||||||
Mill City Solar Loan |
||||||||
4.34%, 03/20/2043 (g) |
345,484 | 372,554 | ||||||
Mosaic Solar Loan Trust |
||||||||
3.82%, 06/22/2043 (g) |
60,541 | 63,189 | ||||||
4.01%, 06/22/2043 (g) |
67,605 | 71,587 | ||||||
TES |
||||||||
4.33%, 10/20/2047 (g) |
288,793 | 302,820 | ||||||
TOTAL ASSET-BACKED SECURITIES |
||||||||
(Cost $1,155,324) |
1,263,816 |
The accompanying notes are an integral part of the financial statements.
Shares |
Value |
|||||||
EXCHANGE – TRADED FUNDS – 3.13% |
||||||||
Global X S&P 500 Covered Call ETF |
6,000 | $ | 295,200 | |||||
SPDR Blackstone Senior Loan ETF |
11,000 | 498,960 | ||||||
TOTAL EXCHANGE – TRADED FUNDS |
||||||||
(Cost $799,824) |
794,160 | |||||||
CLOSED-END FUND – 2.27% |
||||||||
Eaton Vance Tax-Managed Global Diversified Equity Income Fund (a) |
57,000 | 576,270 | ||||||
TOTAL CLOSED-END FUND |
||||||||
(Cost $409,761) |
576,270 | |||||||
Principal |
||||||||
CORPORATE BONDS – 1.95% |
||||||||
Consumer Discretionary – 1.95% |
||||||||
Conservation Fund A Nonprofit Corp. |
||||||||
3.47%, 12/15/2029 (a) |
$ | 250,000 | 265,313 | |||||
Salvation Army |
||||||||
5.68%, 09/01/2031 |
100,000 | 125,354 | ||||||
YMCA of Greater New York |
||||||||
4.27%, 08/01/2024 |
100,000 | 103,546 | ||||||
TOTAL CORPORATE BONDS |
||||||||
(Cost $451,259) |
494,213 | |||||||
SHORT-TERM INVESTMENT – 3.81% |
||||||||
Money Market Fund – 3.81% |
||||||||
First American Government Obligations Fund, Cl Z, 0.02%, (h) |
967,776 | 967,776 | ||||||
TOTAL SHORT-TERM INVESTMENT |
||||||||
(Cost $967,776) |
967,776 | |||||||
Total Investments (Cost $25,950,002) – 111.06% |
$ | 28,198,917 | ||||||
Liabilities in Excess of Other Assets, Net – (11.06)% |
(2,808,072 | ) | ||||||
NET ASSETS – 100.00% |
$ | 25,390,845 |
A list of the open futures contracts held by the Fund at November 30, 2021 is as follows:
Type of Contract |
Number of |
Expiration Date |
Notional Amount |
Value |
Unrealized |
|||||||||||||||
Russell 2000 Index E-MINI |
(2 | ) | Dec-2021 | $ | (224,585 | ) | $ | (219,730 | ) | $ | 4,855 | |||||||||
S&P 500 Index E-MINI |
(6 | ) | Dec-2021 | (1,344,930 | ) | (1,369,875 | ) | (24,945 | ) | |||||||||||
U.S. 2-Year Treasury Note |
(2 | ) | Jan-2022 | (440,614 | ) | (438,813 | ) | 1,801 | ||||||||||||
U.S. 5-Year Interest Rate Swap |
(8 | ) | Dec-2021 | (810,985 | ) | (798,187 | ) | 12,798 | ||||||||||||
U.S. 5-Year Treasury Note |
(26 | ) | Jan-2022 | (3,213,153 | ) | (3,169,765 | ) | 43,388 | ||||||||||||
U.S. 10-Year Interest Rate Swap |
(10 | ) | Dec-2021 | (1,029,669 | ) | (1,018,906 | ) | 10,763 | ||||||||||||
U.S. 10-Year Treasury Note |
(2 | ) | Dec-2021 | (266,277 | ) | (263,094 | ) | 3,183 | ||||||||||||
U.S. Long Treasury Bond |
(8 | ) | Dec-2021 | (1,301,733 | ) | (1,309,500 | ) | (7,767 | ) | |||||||||||
$ | (8,631,946 | ) | $ | (8,587,870 | ) | $ | 44,076 |
(a) |
All or a portion of the shares have been committed as collateral for futures contracts. |
The accompanying notes are an integral part of the financial statements.
8 |
CCM Alternative Income Fund |
(b) |
Security is considered to be a Master Limited Partnership. At November 30, 2021 these securities amounted to $1,880,445 or 7.41% of total net assets. |
(c) |
REIT – Real Estate Investment Trust. |
(d) |
Level 3 security in accordance with fair value hierarchy. |
(e) |
Securities for which market quotations are not readily available are valued at fair value as determined by the Advisor in accordance with procedures adopted by the Board of Trustees. The total fair value of such securities at November 30, 2021 is $2,022,982, which represents 7.97% of total net assets. |
(f) |
Perpetual security with no stated maturity date. |
(g) |
Securities exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold to qualified institutional buyers in transactions exempt from registration. At November 30, 2021, these securities amounted to $1,116,244, which represents 4.40% of total net assets. |
(h) |
The rate shown is the 7-day effective yield as of November 30, 2021. |
AGC — Assured Guaranty Corp. |
AGM — Assured Guaranty Municipal Corp. |
Cl — Class |
ETF — Exchange-Traded Fund |
FGLMC — Federal Housing Loan Mortgage Corporation Gold 30-Year Fixed |
FHA — Federal Housing Administration |
FNMA — Federal National Mortgage Association |
GNMA — Government National Mortgage Association |
ICE— Intercontinental Exchange |
LIBOR — London Interbank Offered Rate |
NATL— National Public Finance Guarantee Corporation |
RB — Revenue Bond |
S&P— Standard & Poor’s |
Ser — Series |
SPDR — Standard & Poor’s Depository Receipt |
TA — Tax Allocation |
USD — United States Dollar |
USDA — United States Department of Agriculture |
VAR — Variable Rate |
The following table sets forth information about the level within the fair value hierarchy at which the Fund’s investments are measured at November 30, 2021:
Assets |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Common Stock |
$ | 12,090,402 | $ | — | $ | — | $ | 12,090,402 | ||||||||
Municipal Bonds |
— | 5,114,953 | — | 5,114,953 | ||||||||||||
U.S. Government & Agency Obligations |
— | 2,469,900 | 2,022,982 | 4,492,882 | ||||||||||||
Preferred Stock |
2,032,230 | 372,215 | — | 2,404,445 | ||||||||||||
Asset-Backed Securities |
— | 1,263,816 | — | 1,263,816 | ||||||||||||
Exchange – Traded Funds |
794,160 | — | — | 794,160 | ||||||||||||
Closed-End Fund |
576,270 | — | — | 576,270 | ||||||||||||
Corporate Bonds |
— | 494,213 | — | 494,213 | ||||||||||||
Short-Term Investment |
967,776 | — | — | 967,776 | ||||||||||||
Total Investments in Securities |
$ | 16,460,838 | $ | 9,715,097 | $ | 2,022,982 | * | $ | 28,198,917 |
Other Financial Instruments |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Future Contracts** |
||||||||||||||||
Unrealized Appreciation |
$ | 76,788 | $ | — | $ | — | $ | 76,788 | ||||||||
Unrealized Depreciation |
(32,712 | ) | — | — | (32,712 | ) | ||||||||||
Total Other Financial Instruments |
$ | 44,076 | $ | — | $ | — | $ | 44,076 |
* |
Represents securities valued at fair value as determined by the Advisor in accordance with procedures adopted by the Board of Trustees. Refer to the Schedule of Investments for details. |
** |
Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
The accompanying notes are an integral part of the financial statements.
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining fair value:
Investments in U.S. Government & Agency Obligations |
||||
Beginning balance as of June 1, 2021 |
$ | 2,080,712 | ||
Accrued discounts/premiums |
(752 | ) | ||
Realized gain/(loss) |
(720 | ) | ||
Change in unrealized appreciation/(depreciation) |
(26,178 | ) | ||
Purchases |
— | |||
Sales |
(30,080 | ) | ||
Transfers into Level 3 |
— | |||
Transfers out of Level 3 |
— | |||
Ending balance as of November 30, 2021 |
$ | 2,022,982 | ||
Change in unrealized gains (losses) included in earnings related to securities still held at reporting period date |
$ | (26,178 | ) |
Investments in Asset-Backed Securities |
||||
Beginning balance as of June 1, 2021 |
$ | 24,763 | ||
Accrued discounts/premiums |
— | |||
Realized gain/(loss) |
— | |||
Change in unrealized appreciation/(depreciation) |
140 | |||
Purchases |
— | |||
Sales |
(24,903 | ) | ||
Transfers into Level 3 |
— | |||
Transfers out of Level 3 |
— | |||
Ending balance as of November 30, 2021 |
$ | — | ||
Change in unrealized gains (losses) included in earnings related to securities still held at reporting period date |
$ | 140 |
For the six-month period ended November 30, 2021, there were no transfers in or out of Level 3 assets and liabilities.
The accompanying notes are an integral part of the financial statements.
10 |
CCM Alternative Income Fund |
Statement of Assets and Liabilities as of November 30, 2021
Assets: |
||||
Investments, at fair value (identified cost — $25,950,002) |
$ | 28,198,917 | ||
Receivables: |
||||
Investment securities sold |
193,588 | |||
Dividends and interest |
158,805 | |||
Variation margin |
29,793 | |||
Capital shares sold |
19,905 | |||
Prepaid expenses |
1,677 | |||
Total Assets |
$ | 28,602,685 | ||
Liabilities: |
||||
Payables: |
||||
Due to Custodian |
2,885,305 | |||
Investment securities purchased |
213,323 | |||
Capital shares redeemed |
37,583 | |||
Variation margin |
24,906 | |||
Investment advisory fees |
15,711 | |||
Distributions to Shareholders |
7,026 | |||
Shareholder servicing fees |
4,190 | |||
Chief Compliance Officer fees |
3,400 | |||
Administration fees |
2,055 | |||
Prime Broker fees |
1,226 | |||
Trustees’ fees |
172 | |||
Foreign currency payable (cost — $4) |
5 | |||
Other accrued expenses |
16,938 | |||
Total Liabilities |
$ | 3,211,840 | ||
Net Assets: |
$ | 25,390,845 | ||
Net Assets consist of: |
||||
Paid-in capital |
$ | 35,672,756 | ||
Total distributable loss |
(10,281,911 | ) | ||
Net Assets |
$ | 25,390,845 | ||
Net Assets — Institutional Shares (Unlimited shares of beneficial interest with no par value authorized; 2,956,924 shares outstanding) |
$ | 25,390,845 | ||
Net Asset Value, offering and redemption price per share — |
$ | 8.59 |
The accompanying notes are an integral part of the financial statements.
Statement of Operations for the six-month period ended November 30, 2021
Investment Income: |
||||
Dividends |
$ | 306,564 | ||
Dividends from Master Limited Partnerships |
44,440 | |||
Interest |
284,900 | |||
Less: Foreign Taxes Withheld |
(1,729 | ) | ||
Total investment income |
634,175 | |||
Expenses: |
||||
Investment advisory fees |
90,305 | |||
Shareholder servicing fees — Institutional Shares |
24,082 | |||
Prime Broker fees |
28,398 | |||
Professional fees |
16,956 | |||
Accounting and administration fees |
12,534 | |||
Chief Compliance Officer fees |
6,988 | |||
Transfer agent fees |
5,968 | |||
Printing fees |
3,664 | |||
Custodian fees |
3,474 | |||
Registration and filing expenses |
2,149 | |||
Trustees’ fees |
1,903 | |||
Other |
3,575 | |||
Total expenses |
199,996 | |||
Net investment income |
434,179 | |||
Realized and unrealized gain (loss) on: |
||||
Net realized gain on investments |
873,426 | |||
Net realized loss on futures contracts |
(329,638 | ) | ||
Net realized loss on option contracts |
(3,239 | ) | ||
Net realized gain |
540,549 | |||
Net change in unrealized appreciation/(depreciation) on investments |
(534,589 | ) | ||
Net change in unrealized appreciation/(depreciation) on futures contracts |
165,554 | |||
Net change in unrealized appreciation/(depreciation) on option contracts |
(16,602 | ) | ||
Net change in unrealized appreciation/(depreciation) |
(385,637 | ) | ||
Net realized and unrealized gain |
154,912 | |||
Net increase in net assets resulting from operations: |
$ | 589,091 |
The accompanying notes are an integral part of the financial statements.
12 |
CCM Alternative Income Fund |
Statements of Changes in Net Assets
For the |
For the |
|||||||
Operations: |
||||||||
Net investment income |
$ | 434,179 | $ | 1,144,516 | ||||
Net realized gain on investments, securities sold short, futures contracts, options contracts and foreign currency transactions |
540,549 | 133,685 | ||||||
Net change in unrealized appreciation (depreciation) on investments, securities sold short, futures contracts, options contracts and foreign currency translation |
(385,637 | ) | 3,998,551 | |||||
Net increase in net assets resulting from operations |
589,091 | 5,276,752 | ||||||
Distributions |
(442,254 | ) | (332,030 | ) | ||||
Return of Capital |
— | (1,087,983 | ) | |||||
Total distributions |
(442,254 | ) | (1,420,013 | ) | ||||
Capital share transactions: |
||||||||
Institutional Shares |
||||||||
Shares issued |
2,872,758 | 3,989,777 | ||||||
Shares reinvested |
373,904 | 1,197,478 | ||||||
Shares redeemed |
(1,242,413 | ) | (14,922,715 | ) | ||||
Increase (decrease) in net assets from capital share transactions |
2,004,249 | (9,735,460 | ) | |||||
Increase (decrease) in net assets |
2,151,086 | (5,878,721 | ) | |||||
Net Assets: |
||||||||
Beginning of period/year |
23,239,759 | 29,118,480 | ||||||
End of period/year |
$ | 25,390,845 | $ | 23,239,759 | ||||
Share Transactions: |
||||||||
Institutional Shares |
||||||||
Shares Issued |
332,007 | 501,749 | ||||||
Shares reinvested |
43,577 | 155,884 | ||||||
Shares redeemed |
(144,658 | ) | (1,944,463 | ) | ||||
Increase (decrease) in shares |
230,926 | (1,286,830 | ) | |||||
Institutional Shares outstanding at beginning of period/year |
2,725,998 | 4,012,828 | ||||||
Institutional Shares at end of period/year |
2,956,924 | 2,725,998 |
The accompanying notes are an integral part of the financial statements.
Financial Highlights – Per share data (for a share outstanding throughout each period/year)
Institutional Shares |
||||||||||||||||||||||||
For the |
For the |
For the |
For the |
For the |
For the |
|||||||||||||||||||
Net Asset Value, Beginning of Period/Year |
$ | 8.53 | $ | 7.26 | $ | 9.28 | $ | 9.46 | $ | 9.54 | $ | 9.66 | ||||||||||||
Investment Operations: |
0.16 | 0.36 | 0.44 | 0.42 | 0.41 | 0.40 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
0.06 | 1.37 | (1.95 | ) | (0.15 | ) | (0.03 | ) | (0.08 | ) | ||||||||||||||
Total from investment operations |
0.22 | 1.73 | (1.51 | ) | 0.27 | 0.38 | 0.32 | |||||||||||||||||
Distributions from: |
||||||||||||||||||||||||
Net investment income |
(0.16 | ) | (0.10 | ) | (0.48 | ) | (0.36 | ) | (0.40 | ) | (0.38 | ) | ||||||||||||
Net capital gains |
— | — | — | — | — | — | ||||||||||||||||||
Net return of capital |
— | (0.36 | ) | (0.03 | ) | (0.09 | ) | (0.06 | ) | (0.06 | ) | |||||||||||||
Total distributions |
(0.16 | ) | (0.46 | ) | (0.51 | ) | (0.45 | ) | (0.46 | ) | (0.44 | ) | ||||||||||||
Net Asset Value, End of Period/Year |
$ | 8.59 | $ | 8.53 | $ | 7.26 | $ | 9.28 | $ | 9.46 | $ | 9.54 | ||||||||||||
Total return |
2.57 | %(b) | 24.47 | % | (17.15 | )% | 2.87 | % | 4.10 | % | 3.41 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period/year (in 000s) |
$ | 25,391 | $ | 23,240 | $ | 29,118 | $ | 54,911 | $ | 35,511 | $ | 30,498 | ||||||||||||
Ratio of expenses to average net assets |
1.66 | %(c) | 2.11 | % | 1.78 | % | 1.91 | % | 2.73 | % | 3.10 | % | ||||||||||||
After fee waiver(d) |
1.66 | %(c) | 1.82 | % | 1.71 | % | 1.91 | % | 2.59 | % | 2.94 | % | ||||||||||||
Ratio of net investment income to average net assets |
3.61 | %(c) | 4.60 | % | 4.90 | % | 4.49 | % | 4.36 | % | 4.19 | % | ||||||||||||
Portfolio turnover rate |
15 | %(b) | 51 | % | 67 | % | 75 | % | 71 | % | 87 | %(e) |
(a) |
Based on the average daily number of shares outstanding during the period/ year. |
(b) |
Not annualized. |
(c) |
Annualized. |
(d) |
Excluding dividend and prime broker fees on securities sold short, the ratio of expenses to average net assets would have been 1.43% for the period ended November 30, 2021, 1.38% for the year ended May 31, 2021, 1.31% for the year ended May 31, 2020, 1.36% for the year ended May 31, 2019, 1.55% for the year ended May 31, 2018 and 1.60% for the year ended May 31, 2017. |
(e) |
Changed from 47% to 87%. Revision not considered material. |
The accompanying notes are an integral part of the financial statements.
14 |
CCM Alternative Income Fund |
Notes to Financial Statements November 30, 2021
Note 1 – ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Community Capital Trust (the “Trust”) was organized as a Delaware business trust on January 15, 1999. The Trust is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and consists of two separate series. The financial statements herein are those of the CCM Alternative Income Fund (the “Fund”). The Fund is classified as a diversified portfolio under the Act. The Fund offers one class of shares of beneficial interest, which has been designated as Institutional Shares. The Fund commenced investment operations on May 31, 2013. Community Capital Management, LLC (the “Advisor”) is the Fund’s investment advisor. The financial statements of the remaining series of the Trust are not presented herein, but are presented separately. The assets of each series within the Trust are segregated, and a shareholder’s interest is limited to the series in which shares are held.
The Fund is an investment company in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Therefore, the Fund follows the accounting and reporting guidance for investment companies. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. The policies are in conformity with U.S. GAAP for investment companies.
Security Valuation. The Fund’s portfolio securities are valued at market value based on independent third party pricing. Securities for which quotations are not available and any other assets are valued at fair value as determined in good faith by the Advisor, subject to the review and supervision of the Fund’s Board of Trustees. Circumstances in which securities may be fair valued include periods when trading in a security is suspended, the exchange or market on which a security trades closes early, the trading volume in a security is limited, corporate actions and announcements take place, or regulatory news is released such as governmental approvals. In addition, the Trust, in its discretion, may make adjustments to the prices of securities held by the Fund if an event occurs after the publication of market values normally used by the Fund but before the time as of which the Fund calculates its NAV, depending on the nature and significance of the event, consistent with applicable regulatory guidance and the Trust’s fair value procedures. This may occur particularly with respect to certain foreign securities held by the Fund. Other events that can trigger fair valuing of foreign securities include, for example, significant fluctuations in general market indicators, governmental actions, or natural disasters. The use of fair valuation involves the risk that the values used by the Fund to price its investments may be higher or lower than the values used by other unaffiliated investment companies and investors to price the same investments.
Debt securities are valued by market bid quotation or independent pricing services which use bid prices provided by market makers or estimates of market values obtained from yield data relating to instruments or securities with similar characteristics. Discounts or premiums on debt securities are amortized to income over their prospective lives, using the effective interest method.
Fixed income debt instruments, such as commercial paper, bankers’ acceptances and U.S. Treasury Bills, having a maturity of sixty (60) days or less at the time of acquisition, are valued at the evaluated price supplied by an independent pricing service. Independent pricing services may use various valuation methodologies, including matrix pricing and other analytical pricing models as well as market transactions and dealer quotations. In the absence of prices from an independent pricing service, the securities will be priced using the Fair Value Valuation Procedures listed below.
Debt securities with a remaining maturity of more than 60 days shall be valued at representative quoted prices as provided by an independent pricing service. If the validity of pricing information on high yield bonds provided by pricing services appears to be unreliable, then dealer supplied quotes may be used to value those securities. If the validity of quotations appears to be unreliable or if the number of quotations indicates a thin market, then further consideration should be given to whether market quotations are readily available.
At November 30, 2021, the Fund held securities that were fair valued by the Advisor in accordance with procedures approved by the Board of Trustees in the amount of $2,022,982.
The Fund may hold foreign securities that trade on weekends or other days when the Fund does not price its shares. Therefore, the value of such securities may change on days when shareholders will not be able to purchase or redeem shares.
In accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP, the Fund discloses the fair value of its investments in a hierarchy that prioritizes the inputs to evaluation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:
● |
Level 1 — Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date; |
16 |
CCM Alternative Income Fund |
● |
Level 2 — Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and |
● |
Level 3 — Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity). |
Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.
For the six-month period ended November 30, 2021, there have been no significant changes to the Fund’s fair value methodologies.
The following table summarizes the quantitative inputs and assumptions used for items categorized as recurring Level 3 assets as of November 30, 2021. The following disclosures also include qualitative information on the sensitivity of the fair value measurements to changes in the significant unobservable inputs.
Financial Asset |
Fair Value at November 30, 2021 |
Valuation Techniques |
Unobservable Inputs |
Ranges (Average) |
U.S. Government & Agency Obligations – FHA Project Loans |
$2,022,982 |
Matrix Pricing |
Structure
Average Life Years Spread to Benchmark Variance to Dealer Average |
2 out of lockout with remaining maturity term range 0.19 years. The remaining FHA Security has a lockout range 0.58 Years. 0.15-1.51 (0.63) Years N+255 – N+342 (N+284) 1.33% – 1.52% (1.43%) |
The unobservable inputs used to determine fair value of recurring Level 3 assets may have similar or diverging impacts on valuation. Significant increases and decreases in these inputs in isolation and interrelationships between those inputs could result in significantly higher or lower fair value measurement.
Mortgage-Backed To-Be-Announced Securities. The Fund may enter into mortgage-backed to-be-announced securities (“TBAs”). These financial instruments are subject to varying degrees of market and credit risk. TBAs provide for the delayed delivery of the underlying instrument. The contractual or notional amounts related to these financial instruments adjusted for unrealized market valuation gains or losses are recorded on a trade date basis. The credit risk related to settlements is limited to the unrealized market valuation gains or losses recorded in the Statement of Operations. Market risk is substantially dependent upon the value of the underlying financial instruments and is affected by market forces such as volatility and changes in interest rates.
Investment Income and Securities Transactions. Security transactions are accounted for on the date the securities are purchased or sold. Realized
gains and losses on sales of investments are determined on the basis of the identified cost for both financial statement and federal income tax purposes. Dividend income is recognized on the ex-dividend date or as soon as information is available to the Fund. Interest income is recognized on an accrual basis.
Dividend income from REIT and MLP investments is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed their cost basis, the distributions are treated as realized gains. Distributions received from the REITs and MLPs in which the Fund invests may be classified as return of capital. The actual amounts of income, return of capital, and capital gains are only determined by each REIT and MLP after its fiscal year-end, and may differ from the estimated amounts.
Amortization and accretion are calculated using the effective interest method. Amortization of premiums and accretion of discounts are included in interest income.
Determination of Net Asset Value and Calculation of Expenses. In calculating the net asset value (“NAV”) per share of the Fund, investment income, realized and unrealized gains and losses, and expenses are allocated daily to each share based upon the proportion of net assets of each share.
Federal Income Taxes. It is the policy of the Fund to comply with all requirements of the Internal Revenue Code of 1986, as amended (the “IRC”) applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no Federal income tax provision is required.
The Fund evaluates tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether it is “more-likely-than-not” (i.e., greater than 50-percent) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. Tax positions deemed to meet the more-likely-than-not threshold are recorded as a tax benefit in the current year. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, examination by tax authorities (i.e., all open tax year ends, as applicable), ongoing analysis of and changes to tax laws, regulations and interpretations thereof.
Distributions to Shareholders. Dividends from net investment income are declared and paid monthly and distributable net realized capital gains, if any, are declared and distributed at least annually. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions
18 |
CCM Alternative Income Fund |
are determined in accordance with income tax regulations, which may differ from U.S. GAAP.
Use of Estimates. In preparing financial statements in conformity with U.S. GAAP, management makes estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements, as well as the reported amount of revenues and expenses during the reporting period. Actual results could differ from those estimates.
Securities Purchased on a Delayed Delivery Basis. The Fund may purchase securities on a delayed delivery basis, with payment and delivery scheduled for a future date. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Fund will generally purchase these securities with the intention of holding the securities, it may sell the securities before the settlement date. The Fund will set aside liquid assets, or engage in other appropriate measures, to cover its obligations with respect to these securities.
Futures Contracts. The Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract.
Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the Fund could lose more than the original margin deposit required to initiate a futures transaction.
Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. Refer to the Fund’s Schedule of Investments for details regarding open futures contracts as of November 30, 2021.
Options Written/Purchased. The Fund may invest in financial options contracts to add return or to hedge its existing portfolio securities, or securities that the Fund intends to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. The option techniques utilized are to hedge against changes in interest rates, foreign currency exchange rates or securities’ prices in order to establish more definitely the effective return on securities or currencies held or intended to be acquired by the Fund, to reduce the volatility of the currency exposure
associated with an investment in non-U.S. securities, or as an efficient means of adjusting exposure to the bond, equity and currency markets and not for speculation. When the Fund writes or purchases an option, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options that expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss.
The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is that the Fund pays a premium whether or not the option is exercised.
The Fund also has the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.
The Fund may employ an active strategy of purchasing and writing options in accordance with its investment strategy. The cost of purchased options and the premiums received for written options, if any, are presented in the Schedule of Investments.
Finally, for written options, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities.
Securities Sold Short. The Fund engages in short sales (selling securities it does not own) as a part of its normal investment activities. When the Fund sells a security short, it borrows the security from a third party and sells it at the then current market price. The Fund is then obligated to buy the security on a later date so that it can return the security to the lender. Short positions may be used either to hedge long positions or may be used speculatively to seek positive returns in instances where the Advisor believes a security’s price will decline. The Fund will either realize a profit or incur a loss from a short position, depending on whether the value of the underlying stock decreases or increases, respectively, between the times it is sold and when the Fund replaces the borrowed security. Because the market price of the security sold short could increase without limit, the Fund could be subject to a theoretically unlimited loss. Upon entering into a short position, the Fund records the proceeds as a receivable from prime broker in its Statement of Assets and Liabilities and establishes an offsetting liability for the securities sold under the short sale agreement.
20 |
CCM Alternative Income Fund |
Short sales are collateralized by pledged securities held at the custodian, U.S. Bank N.A. The collateral required is determined daily by reference to the market value of the short positions.
The Fund is required to maintain margin cash balances at the prime broker sufficient to satisfy its short sales positions on a daily basis. The Fund is charged interest expense at the Federal Funds Rate plus 75 basis points on the amount of any shortfall in the required cash margin. Refer to the Statement of Assets and Liabilities for amounts due to/from broker.
Foreign Currency Translation. The books and records of the Fund are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars on the date of valuation. The Fund does not isolate that portion of realized or unrealized gains and losses resulting from changes in the foreign exchange rate from fluctuations arising from changes in the market prices of the securities. These gains and losses are included in net realized and unrealized gains and losses on investments on the Statement of Operations. Net realized and unrealized gains and losses on foreign currency transactions represent net foreign exchange gains or losses from foreign currency exchange contracts, disposition of foreign currencies, currency gains or losses realized between trade and settlement dates on securities transactions and the difference between the amount of the investment income and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent amounts actually received or paid.
Indemnifications. Under the Fund’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnifications. The Fund’s maximum liability exposure under these arrangements is unknown, as future claims that have not yet occurred may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
Note 2 – CAPITAL SHARE TRANSACTIONS
Transactions in shares of the Fund for the six-month period ended November 30, 2021 were as follows:
Shares |
Amount |
|||||||
Institutional Shares |
||||||||
Shares issued |
332,007 | $ | 2,872,758 | |||||
Shares reinvested |
43,577 | 373,904 | ||||||
Shares redeemed |
(144,658 | ) | (1,242,413 | ) | ||||
Net Increase |
230,926 | $ | 2,004,249 |
Transactions in shares of the Fund for the fiscal year ended May 31, 2021 were as follows:
Shares |
Amount |
|||||||
Institutional Shares |
||||||||
Shares issued |
501,749 | $ | 3,989,777 | |||||
Shares reinvested |
155,884 | 1,197,478 | ||||||
Shares redeemed |
(1,944,463 | ) | (14,922,715 | ) | ||||
Net Decrease |
(1,286,830 | ) | $ | (9,735,460 | ) |
Note 3 – INVESTMENT TRANSACTIONS
The aggregate purchases and sales and maturities of investments, excluding short-term investments, short sales, purchases to cover, options, premiums paid and received, and futures, by the Fund for the six-month period ended November 30, 2021, were as follows:
Purchases: |
||||
U.S. Government |
$ | – | ||
Other |
4,811,574 | |||
Sales and Maturities: |
||||
U.S. Government |
$ | 38,230 | ||
Other |
3,825,200 |
At November 30, 2021, the cost of investments for income tax purposes and the gross unrealized appreciation (depreciation) of investments for tax purposes was as follows:
Cost of investments |
$ | 25,950,002 | ||
Gross unrealized appreciation |
3,122,512 | |||
Gross unrealized depreciation |
(873,597 | ) | ||
Net appreciation on investments |
$ | 2,248,915 |
22 |
CCM Alternative Income Fund |
Note 4 – DERIVATIVE TRANSACTIONS
Derivative instruments and hedging activities require enhanced disclosures about the Fund’s derivative and hedging activities, including how such activities are accounted for and their effect on the Fund’s financial position, performance, and cash flows.
The fair value of derivative instruments as of November 30, 2021, was as follows:
Statement of Assets and |
Asset |
Liabilities |
|||||||
Equity contracts |
Net unrealized depreciation |
$ | 4,855 | $ | (24,945 | ) | |||
Interest rate contracts |
Net unrealized depreciation |
71,933 | (7,767 | ) | |||||
$ | 76,788 | $ | (32,712 | ) |
* | Amounts are included in cumulative appreciation (depreciation) on futures as reported in the Schedule of Investments. |
The effect of derivative instruments on the Statement of Operations for the six-month period ended November 30, 2021, was as follows:
The amount of realized and unrealized gain (loss) on derivatives:
Realized Gain/ |
Change in |
Total |
||||||||||
Interest rate contracts |
||||||||||||
Futures Contracts |
$ | (161,705 | ) | $ | 106,188 | $ | (55,517 | ) | ||||
Equity contracts |
||||||||||||
Futures Contracts |
(167,933 | ) | 59,366 | (108,567 | ) | |||||||
Options |
(3,239 | ) | (16,602 | ) | (19,841 | ) | ||||||
$ | (332,877 | ) | $ | 148,952 | $ | (183,925 | ) |
The following table discloses the average monthly volume of the Fund’s futures contracts and option contracts activity during the six-month period ended November 30, 2021:
Interest Rate |
Equity |
|||||||
Future Contracts: |
||||||||
Average Notional Balance Long |
$ | — | $ | — | ||||
Average Notional Balance Short |
$ | (4,055,135 | ) | $ | (1,287,491 | ) | ||
Options Contracts |
||||||||
Average Notional Balance Long |
$ | — | $ | 22,071 | ||||
Average Notional Balance Short |
$ | — | $ | (15,883 | ) |
In accordance with Accounting Standards Update (“ASU”) 2013-01, Balance Sheet (Topic 210), Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities, the Fund is required to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position.
Note 5 – ADVISORY, SUB-ADVISORY AND SERVICE FEES
The Trust has entered into an Advisory Agreement with the Advisor to provide the Fund with investment management services. Pursuant to the Advisory Agreement, the Advisor is entitled to receive a fee, calculated daily, and paid monthly at the annual rate of 0.75% of the Fund’s average daily net assets.
For the six-month period ended November 30, 2021, the Advisor was entitled to receive advisory fees of $90,305.
The Trust has adopted a Services Plan with respect to the Fund’s Institutional Shares. Pursuant to the Services Plan, the Trust enters into servicing agreements with financial institutions that agree to provide certain personal liaison and administrative support services to their customers who are the beneficial owners of Institutional Shares of the Fund in consideration for payment of up to a maximum of 0.50% (comprised of up to 0.25% for personal liaison services and up to 0.25% for administrative support services) per year of the average daily NAV of the Institutional Shares beneficially owned by such customers. The Fund will limit fees to an aggregate fee of not more than 0.20% under the Services Plan for personal liaison and administrative support services through May 31, 2022. For the six-month period ended November 30, 2021, the Fund incurred expenses under the Services Plan of $24,082.
The Advisor has contractually agreed to waive fees and reimburse expenses until September 30, 2022 to the extent total annualized expenses exceed 1.85% of the average daily net assets of the Institutional Shares. If at any time the Fund’s Total Annual Fund Operating Expenses for a year is less than 1.85%, the Advisor may recoup any waived or reimbursed amounts from the Fund within three years from the date on which such waiver or reimbursement was made by the Advisor, provided such reimbursement does not cause the Fund to exceed the expense limitations that were in effect at the time of the waiver or reimbursement. There were no fees waived by the Advisor during the six-month period ended November 30, 2021.
As of November 30, 2021, fees previously waived and reimbursed by the Advisor which may be subject to possible future recoupment by the Advisor are as follows:
Expense Deferred in the Period Ending, November 30, |
|||
2019 |
2020 |
2021 |
|
Subject to Repayment until November 30, |
|||
2022 |
2023 |
2024 |
Total |
$6,304 |
$76,212 |
$23,489 |
$106,005 |
The President, Treasurer, Chief Compliance Officer and certain other officers of the Fund are affiliated with the Advisor.
24 |
CCM Alternative Income Fund |
Note 6 – DISTRIBUTIONS TO SHAREHOLDERS
The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the IRC for federal income tax purposes and to distribute all of its taxable income and net capital gains. Accordingly, no provision has been made for federal income taxes.
Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under U.S. GAAP. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, and undistributed earnings, in the period that the differences arise.
The tax character of dividends declared for each fiscal year indicated was as follows:
Fiscal Year Ended May 31, 2021 |
Fiscal Year Ended May 31, 2020 |
|||||||
Distributions declared from: |
||||||||
Ordinary income |
$ | 332,030 | $ | 2,808,504 | ||||
Return of Capital |
1,087,983 | 190,003 | ||||||
Total Distributions |
$ | 1,420,013 | $ | 2,998,507 |
The Fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
As of May 31, 2021, the components of accumulated losses on a tax basis were as follows:
Capital loss carryforwards |
$ | (12,951,027 | ) | |
Other temporary differences |
(205,392 | ) | ||
Unrealized appreciation, net |
2,727,671 | |||
Accumulated losses, net |
$ | (10,428,748 | ) |
For Federal income tax purposes, capital losses may be carried forward and applied against future capital gains. Net capital losses earned may be carried forward indefinitely and must retain the character of the original loss. As of May 31, 2021, the Fund had capital loss carryforwards outstanding as follows:
Short-Term |
Long-Term |
Total Capital |
$9,395,396 |
$3,555,631 |
$12,951,027 |
During the year ended May 31, 2021, the Fund did not utilize capital loss carryforwards to offset capital gains.
Note 7 – CONCENTRATION/RISK
The Fund, in pursuing its investment objective, is subject to risks. The following is a summary of certain of the risks, and a more complete list can be found in the Fund’s most recent prospectus:
Arbitrage or Fundamental Risk: Employing arbitrage strategies has the risk that anticipated opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds failed trades.
Asset-Backed Securities Risk: Asset-backed securities represent interests in pools of assets such as mortgages, commercial or consumer loans, or receivables and other financial assets. Asset-backed securities are subject to credit, interest rate, prepayment extension, valuation and liquidity risk. These securities, in most cases, are not backed by the full faith and credit of the U.S. government and are subject to the risk of default on the underlying asset or loan, particularly during periods of economic downturn. Those asset-backed securities that are guaranteed as to the timely payment of interest and principal by a government entity are not guaranteed as to market price, which will fluctuate. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain asset-backed securities.
Commodities Risk: Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or sectors affecting a particular industry or commodity, such as drought, floods, weather, disease (including pandemics), embargoes, tariffs or other trade barriers and international economic, political and regulatory developments.
Common Stock Risk: Common stocks are subject to greater fluctuations in market value than other asset classes as a result of such factors as a company’s business performance, investor perceptions, stock market trends and general economic conditions.
Counterparty Risk: In general, a derivative contract typically involves leverage, i.e., it provides exposure to potential gain or loss from a change in the level of the market price of a security, currency or commodity (or a basket or index) in a notional amount that exceeds the amount of cash or assets required to establish or maintain the derivative contract. Many of these derivative contracts will be privately negotiated in the over-the-counter market. These contracts also involve exposure to credit risk, since contract performance depends in part on the financial condition of the counterparty. If a privately negotiated over-the-counter contract calls for payments by the Fund, the Fund must be prepared to make such payments when due. In addition, if a counterparty’s creditworthiness declines, the Fund may not receive payments owed under the contract, or such payments may be delayed under such circumstances and the value of agreements with such
26 |
CCM Alternative Income Fund |
counterparty can be expected to decline, potentially resulting in losses by the Fund.
Credit Risk: Credit risk refers to the possibility that the issuer of the security will not be able to make principal and interest payments when due. Changes in the credit rating of a debt security or of the issuer of a debt security or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. Securities rated in the four highest categories by the rating agencies are considered investment grade but they may also have some speculative characteristics. Investment grade ratings do not guarantee that bonds will not lose value.
Derivatives Risk: Derivatives may pose risks in additional to, or greater than, those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, more volatile, more difficult to value and leveraged so that small changes in the value of the underlying instrument may produce disproportionate losses to the Fund. Derivatives are also subject to counterparty risk, which is the risk that the other party to the transaction will not perform its contractual obligations. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. The use of derivative instruments exposes the Fund to additional risks and transaction costs. Derivative instruments come in many varieties and have a wide range of potential risks and rewards, and may include forward contracts, futures contracts, options (both written and purchased), swaps and options on futures and swaps. Fluctuations in the value of derivative instruments may not correlate perfectly with the overall securities markets.
Environmental, Social and Governance (ESG) Investing Risk: There may be a risk stemming from the environmental, social and governance (“ESG”) factors that the Fund applies in analyzing the portfolio composition of the Fund. The Advisor considers ESG standings of its holdings when analyzing the Fund’s portfolio composition. This may affect the Fund’s exposure to certain companies or industries. The Fund’s results may be lower than other funds that do not consider ESG standings. ESG standings are only one factor the Advisor considers in managing the Fund’s portfolio and not all securities in the portfolio of the Fund have a high ESG standing.
Financial Sector Risk: Financial sector risk is the risk that the Fund will be impacted by events affecting the financial sector if it invests a relatively large percentage of its assets in that sector, adversely affecting the Fund’s performance. The financial sector can be significantly affected by changes in interest rates, government regulation, the rate of corporate and consumer debt defaulted, price competitions and the availability and cost of capital, among other factors.
Fixed Income Investments: The Fund may invest in fixed income securities. Fixed income investments include bonds, notes (including structured notes), mortgage-backed securities, asset-backed securities, convertible
securities, Eurodollar and Yankee dollar instruments, preferred stocks and money market instruments. Fixed income securities may be issued by corporate and governmental issuers and may have all types of interest rate payment and reset terms, including (without limitation) fixed rate, adjustable rate, zero coupon, contingent, deferred, payment-in-kind and auction rate features. The credit quality of securities held in the Fund’s portfolio is determined at the time of investment. If a security is rated differently by multiple rating organizations, the Fund treats the security as being rated in the lower rating category.
Hedging Transactions Risk: The Advisor, from time to time, may employ various hedging techniques. The success of the Fund’s hedging strategy will be subject to the Advisor’s ability to correctly assess the degree of correlation between the performance of the instruments used in the hedging strategy and the performance of the investments in the portfolio being hedged. Since the characteristics of many securities change as markets change or time passes, the success of the Fund’s hedging strategy will also be subject to the Advisor’s ability to continually recalculate, readjust, and execute hedges in an efficient and timely manner. For a variety of reasons, the Advisor may not seek to establish a perfect correlation between such hedging instruments and the portfolio holdings being hedged. Such imperfect correlation may prevent the Fund from achieving the intended hedge or expose the Fund to risk of loss. In addition, it is not possible to hedge fully or perfectly against any risk, and hedging entails its own costs.
Leverage Risk: The Fund may make investments in futures contracts, swaps and other derivative instruments. The futures contracts, swaps and certain other derivatives provide the economic effect of financial leverage by creating additional investment exposure, as well as the potential for greater loss. If the Fund uses leverage through activities such as borrowing, entering into short sales, purchasing securities on margin or on a “when-issued” basis or purchasing derivative instruments in an effort to increase its returns, the Fund has the risk of magnified capital losses that occur when losses affect an asset base, enlarged by borrowings or the creation of liabilities, that exceeds the net assets of the Fund. The NAV of the Fund employing leverage will be more volatile and sensitive to market movements. Leverage may involve the creation of a liability that requires the Fund to pay interest.
LIBOR Risk: Certain of the Fund’s investments, payment obligations and financing terms may be based on floating rates, such as LIBOR, Euro Interbank Offered Rate and other similar types of reference rates (each, a “Reference Rate”). In July of 2017, the head of the United Kingdom Financial Conduct Authority (“FCA”) announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and ICE Benchmark Administrator have since announced that most LIBOR settings will no longer be published after December 31, 2021 and a majority of U.S. dollar LIBOR settings will cease publication after June 30, 2023. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying
28 |
CCM Alternative Income Fund |
market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing Secured Overnight Financing Rate Data (“SOFR”) that is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new reference rates. Uncertainty related to the liquidity impact of the change in rates, and how to appropriately adjust these rates at the time of transition, poses risks for the Fund. The effect of any changes to, or discontinuation of, LIBOR on the Fund will depend on, among other things, (1) existing fallback or termination provisions in individual contracts, and (2) whether, how, and when industry participants develop and adopt new reference rates and fallbacks for both legacy and new instruments and contracts. The expected discontinuation of LIBOR could have a significant impact on the financial markets in general and may also present heightened risk to market participants, including public companies, investment advisers, investment companies, and broker-dealers. The risks associated with this discontinuation and transition will be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. For example, current information technology systems may be unable to accommodate new instruments and rates with features that differ from LIBOR. Accordingly, it is difficult to predict the full impact of the transition away from LIBOR on the Fund until new reference rates and fallbacks for both legacy and new instruments and contracts are commercially accepted and market practices become settled.
The transition process might lead to increased volatility and illiquidity in markets for instruments whose terms currently include LIBOR. It could also lead to a reduction in the value of some LIBOR-based investments. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the completion of the transition. All of the aforementioned may adversely affect the Fund’s performance or NAV.
Market Risk: Market risk is the risk that the markets on which the Fund’s investments trade will increase or decrease in value. The frequency and magnitude of such changes in value cannot be predicted. Certain securities and other investments held by the Fund may experience increased volatility, illiquidity, or other potentially adverse effects in response to changing market conditions, inflation, changes in interest rates, lack of liquidity in the bond or equity markets, volatility in the equity markets, market disruptions caused by local or regional events such as war, acts of terrorism, the spread of infectious illness (including epidemics and pandemics) or other public health issues, recessions or other events or adverse investor sentiment or other political, regulatory, economic and social developments, and developments that impact specific economic sectors, industries or segments of the market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and
other circumstances, such risks might affect companies worldwide due to increasingly interconnected global economies and financial markets. Markets also tend to move in cycles, with periods of rising and falling prices. If there is a general decline in the securities and other markets, your investment in the Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
Municipal Securities Risk: Municipal securities risk is the risk that municipal securities may be subject to credit/default risk, interest rate risk, liquidity risk and certain additional risks. The Fund may be more sensitive to adverse economic, business, political or public health developments if it invests its assets in the debt securities of similar projects (such as those relating to education, health care, housing, transportation, and utilities), industrial development bonds, or in particular types of municipal securities (such as general obligation bonds, private activity bonds and moral obligation bonds). While interest earned on municipal securities is generally not subject to federal tax, interest earned on taxable municipal securities is fully taxable at the federal level and may be subject to tax at the state level. The secondary market for municipal obligations also tends to be less well-developed and less liquid than many other securities markets, which may limit the Fund’s ability to sell its municipal obligations at attractive prices.
Short Sale Risk: Short sales expose the Fund to the risk that it will be required to buy the security sold short (also known as “covering” the short position) at a time when the security has appreciated in value, thus resulting in a loss to the Fund. The amount the Fund could lose on a short sale is theoretically unlimited (as compared to a long position, where the maximum loss is the amount invested). The use of short sales may also cause the Fund to have higher expenses than those of other funds.
Small- and Medium-Sized Companies Risk: The Fund may invest in companies that are smaller, less established, with less liquid markets for their securities, and therefore may be riskier investments. While small- and medium-sized companies generally have the potential for rapid growth, the securities of these companies often involve greater risks than investments in larger, more established companies because small- and medium-sized companies may lack the management experience, financial resources, product diversification and competitive strengths of larger companies. In addition, in many instances the frequency and volume of trading in small- and medium-size companies is substantially less than is typical of larger companies. The value of securities of smaller, less well known issuers can be more volatile than that of larger issuers.
U.S. Government Securities Risk: Treasury obligations may differ in their interest rates, maturities, times of issuance and other characteristics. Obligations of U.S. government agencies and authorities are supported by varying degrees of credit but generally are not backed by the full faith and credit of the U.S. government. No assurance can be given that the U.S. government will provide financial support to its agencies and authorities if it is not obligated by law to do so. Certain of the government agency securities
30 |
CCM Alternative Income Fund |
the Fund may purchase are backed only by the credit of the government agency and not by full faith and credit of the United States. The maximum potential liability of the issuers of some U.S. government securities may greatly exceed their current resources, including any legal right to support from the U.S. Treasury.
Note 8 – NEW ACCOUNTING PRONOUNCEMENTS
In November, 2016, the Financial Accounting Standards Board issued Accounting Standards Update 2016-18, Statement of Cash Flows (Topic 230): Restricted Cash. The amendments in this update require that the statement of cash flows explain the change during the period in the total of cash, cash equivalents and amounts generally described as restricted cash or restricted cash equivalents. Amounts generally described as restricted cash or restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statement of cash flows. For public entities, this update will be effective for fiscal years beginning after December 15, 2017, and for interim periods within those fiscal years. Management has evaluated the impact of this new guidance, and the Fund no longer reports the change in restricted cash and cash equivalents in the operating and investing sections in the Statement of Cash Flows. Restricted cash and cash equivalents are now included in the beginning and end of the period as cash and cash equivalents on the Statement of Cash Flows. These changes have been applied using a retrospective transition method to each period presented.
In March 2020, the Financial Accounting Standards Board issued ASU 2020-04, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The main objective of the new guidance is to provide relief to companies that will be impacted by the expected change in benchmark interest rates at the end of 2021, when participating banks will no longer be required to submit LIBOR quotes by the FCA. The new guidance allows companies to, provided the only change to existing contracts are a change to an approved benchmark interest rate, account for modifications as a continuance of the existing contract without additional analysis. For new and existing contracts, the Funds may elect to apply the amendments as of March 12, 2020 through December 31, 2022. Management is currently assessing the impact of the ASU’s adoption to the Fund’s financial statements and various filings.
Note 9 – SUBSEQUENT EVENTS
The Fund has evaluated the need for additional disclosures and/or adjustments resulting from subsequent events. Based on this evaluation, no additional disclosures or adjustments were required to the financial statements.
LIQUIDITY RISK MANAGEMENT PROGRAM November 30, 2021
The Trust has implemented a liquidity risk management program (the “LRM Program”) as required by Rule 22e-4 under the Investment Company Act of 1940, as amended. The LRM Program’s principal objectives include assessing, managing, and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that a fund could not meet shareholder redemption requests without significant dilution of remaining shareholders’ interests in the fund.
In accordance with the requirements of Rule 22e-4, the program administrator conducted an annual review of the LRM Program and, in July 2020 and July 2021, provided the Board of Trustees (the “Board”) with a report addressing the operation of the LRM Program and assessing its adequacy and effectiveness of implementation for the period from (i) June 1, 2019 through June 30, 2020 (the “2020 Report”); and (ii) June 1, 2020 through June 30, 2021 (the “2021 Report”), respectively. For both the 2020 Report and the 2021 Report, the program administrator reported to the Board as to the following, among other things:
● |
the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of its shareholders; |
● |
there were no material changes to the LRM Program during the year; |
● |
the Fund’s strategy continued to be effective for an open-end mutual fund; |
● |
the implementation of the LRM Program was effective to manage the Fund’s liquidity risk; and |
● |
the LRM Program operated adequately during the period. |
There can be no assurance that the LRM Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
32 |
CCM Alternative Income Fund |
November 30, 2021
Proxy Policies (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-877-272-1977 and (ii) on the Securities and Exchange Commission (the “SEC”) website at http://www.sec.gov.
Quarterly Filings (Unaudited)
The Fund files its complete schedule of portfolio holdings with the SEC for its first and third fiscal quarters or as an exhibit to its reports on Form N-PORT within 60 days after the end of the period. The Fund’s N-PORT (and its predecessor form, Form N-Q) reports are available on the SEC’s website at http://www.sec.gov.
Administrator:
SEI Investments Global Funds Services
One Freedom Valley Drive
Oaks, PA 19456
Transfer Agent:
Apex Funds Services
Three Canal Plaza, Group Floor
Portland, ME 04101
Legal Counsel:
Faegre Drinker Biddle & Reath LLP
One Logan Square
Suite 2000
Philadelphia, PA 19103-6996
Independent Registered Public Accounting Firm:
Deloitte & Touche LLP
1700 Market Street
Philadelphia, PA 19103
Custodian:
U.S. Bank, National Association
50 South 16th Street
Suite 2000
20th Floor
EX-PA-WBSP
Philadelphia, PA 19102
Board of Trustees:
John E. Taylor, Chairman of the Board of Trustees
Heinz Riehl, Trustee
Irvin M. Henderson, Trustee
Robert O. Lehrman, Trustee
Mirian Saez, Trustee
Robert Dickerson, Trustee
This report is intended for the Fund’s shareholders. It may not be distributed to prospective investors unless it is preceded by or accompanied by the Fund’s prospectus. An investor should read the prospectus carefully before investing or sending money. A prospectus may be obtained by calling the Fund at 1-877-272-1977.
2500 Weston Road ■ Suite 101 ■ Weston, FL 33331
954-217-7999 ■ Fax: 954-385-9299 ■ Toll Free: 877-272-1977 ■ www.ccminvests.com
Semi-Annual Report 2021
COMMUNITY CAPITAL TRUST
November 30, 2021
CCM COMMUNITY IMPACT BOND FUND (The “FUND”)
TABLE OF CONTENTS
Fund Profile |
2 |
Expenses |
3 |
Schedule of Investments |
4 |
Statement of Assets and Liabilities |
51 |
Statement of Operations |
52 |
Statements of Changes in Net Assets |
53 |
Financial Highlights |
55 |
Notes to Financial Statements |
58 |
Liquidity Risk Management Program |
70 |
2 |
The CCM Community Impact Bond Fund |
Fund Profile November 30, 2021
Top Ten Holdings* |
|
(% of Net Assets) |
|
JPMorgan Chase, 02/16/2025 |
1.29% |
U.S. Treasury Notes, 07/31/2028 |
1.25% |
U.S. Treasury Notes, 05/31/2026 |
1.16% |
Bank of America Corp. MTN, 09/25/2025 |
0.98% |
salesforce.com, 07/15/2028 |
0.98% |
FHLMC Multifamily Structured Pass Through Certificates, Ser F100, Cl AS, 01/25/2028 |
0.90% |
Bank of America Corp. MTN, 05/19/2024 |
0.85% |
JPMorgan Chase, 09/16/2024 |
0.85% |
U.S. Treasury Notes, 09/30/2028 |
0.78% |
FHLMC Multiclass Certificates Ser P009, Cl A1, 01/25/2031 |
0.77% |
9.81% |
|
*Excludes Short-Term Investments. |
Asset Allocation |
|
(% of Net Assets) |
|
Asset-Backed Securities |
7.13% |
Bank Deposit |
2.57% |
Corporate Bonds |
12.92% |
FGLMC Single Family |
9.34% |
FHA Project Loans |
0.27% |
FHLB |
0.69% |
FHMS Multifamily |
6.53% |
FNMA Multifamily |
9.69% |
FNMA Single Family |
16.66% |
GNMA Multifamily |
10.82% |
GNMA Single Family |
0.68% |
HUD |
0.02% |
Money Market Fund |
3.04% |
Municipal Bonds |
12.23% |
Small Business Administration |
1.17% |
Small Business Administration Participation Certificates |
0.26% |
Tennessee Valley Authority |
0.44% |
U.S. Treasury Notes |
5.06% |
USDA Loan |
0.49% |
Liabilities in Excess of Other Assets |
(0.01)% |
100.00% |
2
Expenses November 30, 2021
As a shareholder of the Fund, you incur two types of costs: transaction costs, such as wire fees; and ongoing costs, including management fees, distribution (12b-1) fees (CRA Shares and Retail Shares only) and other Fund operating expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested on June 1, 2021 and held for the six-month period ended November 30, 2021.
Actual expenses (Unaudited)
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested at the beginning of the period, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes (Unaudited)
The second line of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as wire fees or low balance fees. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
Beginning |
Ending Account Value November 30, 2021 |
Expenses |
|||||||||||
Actual |
CRA Shares |
$ | 1,000.00 | $ | 993.10 | $ | 4.40 | ||||||
Institutional Shares |
1,000.00 | 994.40 | 2.15 | ||||||||||
Retail Shares |
1,000.00 | 993.60 | 3.90 | ||||||||||
Hypothetical (5% return before expenses) |
CRA Shares |
$ | 1,000.00 | $ | 1,020.66 | $ | 4.46 | ||||||
Institutional Shares |
1,000.00 | 1,022.91 | 2.18 | ||||||||||
Retail Shares |
1,000.00 | 1,021.16 | 3.95 |
* Expenses are equal to the annualized expense ratio of 0.88%, 0.43% and 0.78% for CRA Shares, Institutional Shares and Retail Shares, respectively, multiplied by the average account value over the period, multiplied by 183 days/365 days (to reflect the one-half year period). The Fund’s ending account value on the first line in the table is based on its actual total return of (0.69)%, (0.56)% and (0.64)% for the period June 1, 2021 to November 30, 2021 for CRA Shares, Institutional Shares and Retail Shares, respectively.
4 |
The CCM Community Impact Bond Fund |
Schedule of Investments November 30, 2021
Principal |
||||||||
Amount |
Value |
|||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS – 57.06% |
||||||||
FGLMC Single Family – 9.34% |
||||||||
Pool QN8332, 2.00%, 11/01/2036 |
$ | 380,829 | $ | 391,278 | ||||
Pool QB3154, 2.00%, 09/01/2050 |
3,184,389 | 3,189,054 | ||||||
Pool QB3835, 2.00%, 09/01/2050 |
3,617,834 | 3,623,134 | ||||||
Pool QB3978, 2.00%, 09/01/2050 |
4,015,875 | 4,021,758 | ||||||
Pool RA3677, 2.00%, 09/01/2050 |
1,824,632 | 1,827,300 | ||||||
Pool QB4065, 2.00%, 10/01/2050 |
1,853,964 | 1,856,680 | ||||||
Pool QB4506, 2.00%, 10/01/2050 |
4,325,575 | 4,331,912 | ||||||
Pool QB5044, 2.00%, 11/01/2050 |
2,940,325 | 2,944,632 | ||||||
Pool QB5903, 2.00%, 11/01/2050 |
1,806,728 | 1,810,616 | ||||||
Pool QB6583, 2.00%, 12/01/2050 |
1,649,283 | 1,651,699 | ||||||
Pool QB7302, 2.00%, 01/01/2051 |
2,751,708 | 2,757,630 | ||||||
Pool QB8043, 2.00%, 01/01/2051 |
2,559,676 | 2,568,784 | ||||||
Pool QB8769, 2.00%, 02/01/2051 |
3,841,625 | 3,847,257 | ||||||
Pool QB9466, 2.00%, 03/01/2051 |
6,946,097 | 6,956,280 | ||||||
Pool RA4768, 2.00%, 03/01/2051 |
3,352,736 | 3,357,651 | ||||||
Pool RA4907, 2.00%, 03/01/2051 |
1,942,910 | 1,945,758 | ||||||
Pool RA4957, 2.00%, 03/01/2051 |
2,270,319 | 2,273,647 | ||||||
Pool QC0480, 2.00%, 04/01/2051 |
4,108,502 | 4,125,827 | ||||||
Pool QC1370, 2.00%, 04/01/2051 |
3,547,034 | 3,555,944 | ||||||
Pool RA5067, 2.00%, 04/01/2051 |
1,750,466 | 1,753,031 | ||||||
Pool QC2682, 2.00%, 06/01/2051 |
764,056 | 766,412 | ||||||
Pool QC3549, 2.00%, 06/01/2051 |
943,502 | 945,872 | ||||||
Pool QC4340, 2.00%, 07/01/2051 |
3,608,532 | 3,613,822 | ||||||
Pool RA5570, 2.00%, 07/01/2051 |
2,188,890 | 2,192,099 | ||||||
Pool RA5594, 2.00%, 07/01/2051 |
2,117,641 | 2,120,745 | ||||||
Pool QC5139, 2.00%, 08/01/2051 |
4,575,164 | 4,596,148 | ||||||
Pool QC6098, 2.00%, 08/01/2051 |
1,389,731 | 1,396,948 | ||||||
Pool RA5698, 2.00%, 08/01/2051 |
2,305,637 | 2,309,017 | ||||||
Pool QC6906, 2.00%, 09/01/2051 |
2,955,079 | 2,971,778 | ||||||
Pool QC8223, 2.00%, 10/01/2051 |
3,298,316 | 3,315,975 | ||||||
Pool QC9420, 2.00%, 10/01/2051 |
2,004,006 | 2,014,973 | ||||||
Pool RA6095, 2.00%, 10/01/2051 |
2,135,728 | 2,150,113 | ||||||
Pool QD1137, 2.00%, 11/01/2051 |
1,625,336 | 1,628,837 | ||||||
Pool QD2417, 2.00%, 12/01/2051 |
639,243 | 641,047 | ||||||
Pool RA2477, 2.50%, 04/01/2050 |
1,093,356 | 1,122,119 | ||||||
Pool RA2531, 2.50%, 05/01/2050 |
2,391,303 | 2,467,589 | ||||||
Pool RA2532, 2.50%, 05/01/2050 |
803,780 | 826,509 | ||||||
Pool RA2612, 2.50%, 05/01/2050 |
5,888,115 | 6,043,456 | ||||||
Pool QB0264, 2.50%, 06/01/2050 |
1,051,343 | 1,079,167 | ||||||
Pool QB0406, 2.50%, 06/01/2050 |
672,900 | 691,914 | ||||||
Pool QB0768, 2.50%, 07/01/2050 |
163,346 | 167,619 | ||||||
Pool QB0769, 2.50%, 07/01/2050 |
1,664,962 | 1,708,759 | ||||||
Pool QB0821, 2.50%, 07/01/2050 |
642,394 | 659,447 | ||||||
Pool QB1534, 2.50%, 07/01/2050 |
1,429,368 | 1,467,423 | ||||||
Pool QB1536, 2.50%, 07/01/2050 |
904,289 | 927,945 | ||||||
Pool QB1680, 2.50%, 07/01/2050 |
1,003,136 | 1,029,378 | ||||||
Pool RA3120, 2.50%, 07/01/2050 |
3,058,932 | 3,139,835 | ||||||
Pool QB2045, 2.50%, 08/01/2050 |
3,239,075 | 3,323,808 | ||||||
Pool QB2636, 2.50%, 08/01/2050 |
1,412,468 | 1,449,417 | ||||||
Pool QB2675, 2.50%, 08/01/2050 |
1,576,111 | 1,619,484 |
The accompanying notes are an integral part of the financial statements.
|
Principal |
|||||||
|
Amount |
Value |
||||||
Pool QB2739, 2.50%, 08/01/2050 |
$ | 1,939,770 | $ | 1,990,514 | ||||
Pool RA3298, 2.50%, 08/01/2050 |
3,919,898 | 4,023,638 | ||||||
Pool RA3322, 2.50%, 08/01/2050 |
1,179,493 | 1,210,439 | ||||||
Pool RA3381, 2.50%, 08/01/2050 |
3,249,120 | 3,335,036 | ||||||
Pool QB3152, 2.50%, 09/01/2050 |
2,952,507 | 3,029,744 | ||||||
Pool QB3834, 2.50%, 09/01/2050 |
2,279,219 | 2,339,885 | ||||||
Pool QB3976, 2.50%, 09/01/2050 |
2,424,067 | 2,490,205 | ||||||
Pool RA3545, 2.50%, 09/01/2050 |
981,178 | 1,006,846 | ||||||
Pool QB4066, 2.50%, 10/01/2050 |
790,916 | 813,571 | ||||||
Pool QB4507, 2.50%, 10/01/2050 |
2,748,330 | 2,822,143 | ||||||
Pool QB5042, 2.50%, 11/01/2050 |
5,259,701 | 5,397,293 | ||||||
Pool QB5904, 2.50%, 11/01/2050 |
2,447,440 | 2,512,600 | ||||||
Pool QB7304, 2.50%, 01/01/2051 |
1,108,875 | 1,139,121 | ||||||
Pool QC1163, 2.50%, 04/01/2051 |
1,584,044 | 1,626,270 | ||||||
Pool QC1953, 2.50%, 05/01/2051 |
2,825,296 | 2,903,837 | ||||||
Pool QC2684, 2.50%, 06/01/2051 |
1,207,285 | 1,240,267 | ||||||
Pool QC3550, 2.50%, 07/01/2051 |
3,258,972 | 3,348,006 | ||||||
Pool QC4341, 2.50%, 07/01/2051 |
1,879,278 | 1,929,671 | ||||||
Pool QC5136, 2.50%, 08/01/2051 |
3,330,920 | 3,431,254 | ||||||
Pool QC6096, 2.50%, 08/01/2051 |
2,717,196 | 2,798,557 | ||||||
Pool QC6907, 2.50%, 09/01/2051 |
1,315,277 | 1,355,057 | ||||||
Pool QC8222, 2.50%, 10/01/2051 |
1,422,733 | 1,467,082 | ||||||
Pool QC9422, 2.50%, 10/01/2051 |
1,973,370 | 2,035,512 | ||||||
Pool QD1136, 2.50%, 11/01/2051 |
1,883,688 | 1,934,201 | ||||||
Pool QD2418, 2.50%, 12/01/2051 |
2,889,866 | 2,965,464 | ||||||
Pool Q16506, 3.00%, 02/01/2043 |
16,033 | 16,663 | ||||||
Pool Q40627, 3.00%, 05/01/2046 |
2,307,640 | 2,424,609 | ||||||
Pool Q41877, 3.00%, 07/01/2046 |
1,257,462 | 1,324,777 | ||||||
Pool Q43158, 3.00%, 09/01/2046 |
809,866 | 852,869 | ||||||
Pool Q44344, 3.00%, 11/01/2046 |
350,341 | 368,367 | ||||||
Pool Q44395, 3.00%, 11/01/2046 |
1,538,625 | 1,616,478 | ||||||
Pool Q45623, 3.00%, 01/01/2047 |
3,087,297 | 3,250,231 | ||||||
Pool QA2069, 3.00%, 08/01/2049 |
515,544 | 536,346 | ||||||
Pool QA2173, 3.00%, 08/01/2049 |
787,652 | 820,083 | ||||||
Pool RA1190, 3.00%, 08/01/2049 |
194,335 | 201,769 | ||||||
Pool QA2405, 3.00%, 09/01/2049 |
495,117 | 514,185 | ||||||
Pool QA3109, 3.00%, 09/01/2049 |
1,078,822 | 1,120,791 | ||||||
Pool QA3562, 3.00%, 10/01/2049 |
1,571,450 | 1,639,699 | ||||||
Pool QA4231, 3.00%, 11/01/2049 |
1,743,210 | 1,814,235 | ||||||
Pool QA4780, 3.00%, 11/01/2049 |
926,672 | 963,474 | ||||||
Pool RA1773, 3.00%, 11/01/2049 |
1,189,925 | 1,239,694 | ||||||
Pool QA5579, 3.00%, 12/01/2049 |
1,539,393 | 1,602,888 | ||||||
Pool QA5721, 3.00%, 01/01/2050 |
1,446,356 | 1,507,792 | ||||||
Pool QA5900, 3.00%, 01/01/2050 |
666,700 | 696,663 | ||||||
Pool QA6535, 3.00%, 01/01/2050 |
1,524,543 | 1,585,507 | ||||||
Pool RA2089, 3.00%, 01/01/2050 |
517,571 | 537,847 | ||||||
Pool QA6834, 3.00%, 02/01/2050 |
679,030 | 705,215 | ||||||
Pool QA7417, 3.00%, 02/01/2050 |
1,339,965 | 1,391,672 | ||||||
Pool QA7634, 3.00%, 03/01/2050 |
1,698,502 | 1,767,053 | ||||||
Pool QA8482, 3.00%, 03/01/2050 |
1,661,723 | 1,731,141 | ||||||
Pool QB0265, 3.00%, 06/01/2050 |
578,622 | 601,804 | ||||||
Pool QB0757, 3.00%, 07/01/2050 |
1,077,541 | 1,125,300 | ||||||
Pool QB0816, 3.00%, 07/01/2050 |
598,810 | 625,088 | ||||||
Pool QB1681, 3.00%, 07/01/2050 |
809,491 | 846,022 |
The accompanying notes are an integral part of the financial statements.
6 |
The CCM Community Impact Bond Fund |
|
Principal |
|||||||
|
Amount |
Value |
||||||
Pool QB2046, 3.00%, 08/01/2050 |
$ | 1,710,886 | $ | 1,785,353 | ||||
Pool QB2674, 3.00%, 08/01/2050 |
1,699,945 | 1,769,612 | ||||||
Pool QB3153, 3.00%, 09/01/2050 |
1,863,686 | 1,945,334 | ||||||
Pool SD8108, 3.00%, 11/01/2050 |
16,866,352 | 17,517,359 | ||||||
Pool Q07121, 3.50%, 04/01/2042 |
26,787 | 28,172 | ||||||
Pool Q07398, 3.50%, 04/01/2042 |
47,379 | 50,144 | ||||||
Pool Q37430, 3.50%, 11/01/2045 |
88,668 | 95,136 | ||||||
Pool Q38376, 3.50%, 01/01/2046 |
652,453 | 699,934 | ||||||
Pool Q39359, 3.50%, 03/01/2046 |
1,174,237 | 1,259,625 | ||||||
Pool Q40641, 3.50%, 05/01/2046 |
438,943 | 470,830 | ||||||
Pool Q45628, 3.50%, 01/01/2047 |
2,471,914 | 2,653,771 | ||||||
Pool Q47221, 3.50%, 03/01/2047 |
575,463 | 610,928 | ||||||
Pool Q48279, 3.50%, 05/01/2047 |
658,048 | 697,536 | ||||||
Pool Q49035, 3.50%, 06/01/2047 |
551,486 | 582,198 | ||||||
Pool Q49605, 3.50%, 07/01/2047 |
348,689 | 367,919 | ||||||
Pool Q50514, 3.50%, 08/01/2047 |
54,447 | 57,348 | ||||||
Pool Q50393, 3.50%, 09/01/2047 |
1,479,655 | 1,570,193 | ||||||
Pool Q50943, 3.50%, 09/01/2047 |
380,862 | 400,747 | ||||||
Pool Q51685, 3.50%, 10/01/2047 |
1,245,945 | 1,323,740 | ||||||
Pool V83539, 3.50%, 10/01/2047 |
1,115,950 | 1,182,735 | ||||||
Pool Q52610, 3.50%, 11/01/2047 |
1,375,275 | 1,476,298 | ||||||
Pool V83815, 3.50%, 12/01/2047 |
903,795 | 960,369 | ||||||
Pool Q53325, 3.50%, 01/01/2048 |
957,975 | 1,011,466 | ||||||
Pool Q54012, 3.50%, 01/01/2048 |
1,496,879 | 1,586,572 | ||||||
Pool Q54511, 3.50%, 02/01/2048 |
1,296,189 | 1,371,600 | ||||||
Pool Q54585, 3.50%, 02/01/2048 |
1,300,433 | 1,373,078 | ||||||
Pool Q54876, 3.50%, 03/01/2048 |
589,854 | 623,707 | ||||||
Pool Q55002, 3.50%, 03/01/2048 |
1,428,251 | 1,508,246 | ||||||
Pool Q62396, 3.50%, 04/01/2049 |
318,533 | 336,270 | ||||||
Pool QA2070, 3.50%, 08/01/2049 |
547,553 | 579,934 | ||||||
Pool QA2301, 3.50%, 08/01/2049 |
558,419 | 589,234 | ||||||
Pool QA3110, 3.50%, 09/01/2049 |
801,839 | 847,383 | ||||||
Pool QA3982, 3.50%, 10/01/2049 |
702,223 | 738,291 | ||||||
Pool QA4885, 3.50%, 11/01/2049 |
415,978 | 438,640 | ||||||
Pool QA6536, 3.50%, 01/01/2050 |
811,370 | 857,778 | ||||||
Pool QA7418, 3.50%, 02/01/2050 |
757,560 | 799,323 | ||||||
Pool Q39374, 4.00%, 03/01/2046 |
49,920 | 53,467 | ||||||
Pool Q47223, 4.00%, 03/01/2047 |
484,511 | 526,296 | ||||||
Pool Q47775, 4.00%, 04/01/2047 |
713,191 | 769,896 | ||||||
Pool Q48287, 4.00%, 05/01/2047 |
1,499,887 | 1,613,061 | ||||||
Pool Q48819, 4.00%, 06/01/2047 |
1,756,056 | 1,888,624 | ||||||
Pool Q49040, 4.00%, 06/01/2047 |
2,819,574 | 3,033,545 | ||||||
Pool Q49606, 4.00%, 07/01/2047 |
1,923,868 | 2,073,259 | ||||||
Pool Q49898, 4.00%, 08/01/2047 |
528,482 | 567,794 | ||||||
Pool Q50396, 4.00%, 08/01/2047 |
59,540 | 63,769 | ||||||
Pool Q50397, 4.00%, 08/01/2047 |
2,025,896 | 2,177,429 | ||||||
Pool Q50951, 4.00%, 09/01/2047 |
990,139 | 1,065,555 | ||||||
Pool Q51686, 4.00%, 10/01/2047 |
867,536 | 931,238 | ||||||
Pool V83540, 4.00%, 10/01/2047 |
807,897 | 872,747 | ||||||
Pool Q53883, 4.00%, 01/01/2048 |
721,715 | 776,694 | ||||||
Pool Q54464, 4.00%, 02/01/2048 |
797,514 | 856,687 | ||||||
Pool Q54586, 4.00%, 02/01/2048 |
2,994,138 | 3,222,211 | ||||||
Pool Q54877, 4.00%, 02/01/2048 |
651,790 | 700,960 | ||||||
Pool Q55004, 4.00%, 03/01/2048 |
1,239,448 | 1,333,861 |
The accompanying notes are an integral part of the financial statements.
|
Principal |
|||||||
|
Amount |
Value |
||||||
Pool Q55631, 4.00%, 04/01/2048 |
$ | 1,371,961 | $ | 1,476,390 | ||||
Pool Q56253, 4.00%, 05/01/2048 |
1,517,139 | 1,641,657 | ||||||
Pool Q56469, 4.00%, 06/01/2048 |
563,767 | 609,256 | ||||||
Pool Q56900, 4.00%, 06/01/2048 |
1,125,087 | 1,214,717 | ||||||
Pool Q57029, 4.00%, 07/01/2048 |
732,398 | 784,698 | ||||||
Pool Q57388, 4.00%, 07/01/2048 |
600,695 | 643,001 | ||||||
Pool Q57694, 4.00%, 08/01/2048 |
644,387 | 695,724 | ||||||
Pool Q58271, 4.00%, 09/01/2048 |
590,336 | 634,994 | ||||||
Pool Q58366, 4.00%, 09/01/2048 |
198,706 | 212,507 | ||||||
Pool Q58774, 4.00%, 10/01/2048 |
917,031 | 985,318 | ||||||
Pool Q59058, 4.00%, 10/01/2048 |
417,396 | 446,416 | ||||||
Pool Q59686, 4.00%, 11/01/2048 |
707,270 | 758,296 | ||||||
Pool Q60213, 4.00%, 12/01/2048 |
584,056 | 625,891 | ||||||
Pool Q60598, 4.00%, 01/01/2049 |
317,650 | 338,492 | ||||||
Pool Q61151, 4.00%, 01/01/2049 |
744,673 | 798,346 | ||||||
Pool Q61387, 4.00%, 02/01/2049 |
743,053 | 797,215 | ||||||
Pool Q61800, 4.00%, 03/01/2049 |
791,809 | 847,275 | ||||||
Pool Q61986, 4.00%, 03/01/2049 |
1,405,221 | 1,497,987 | ||||||
Pool Q62397, 4.00%, 04/01/2049 |
926,143 | 987,386 | ||||||
Pool QA2406, 4.00%, 09/01/2049 |
530,512 | 570,337 | ||||||
Pool QA4064, 4.00%, 10/01/2049 |
536,278 | 573,579 | ||||||
Pool A91363, 4.50%, 03/01/2040 |
79,842 | 85,823 | ||||||
Pool A91756, 4.50%, 03/01/2040 |
181,270 | 195,142 | ||||||
Pool A93467, 4.50%, 08/01/2040 |
75,811 | 81,492 | ||||||
Pool Q01597, 4.50%, 05/01/2041 |
130,542 | 140,325 | ||||||
Pool Q02377, 4.50%, 07/01/2041 |
144,431 | 155,313 | ||||||
Pool Q47624, 4.50%, 04/01/2047 |
540,997 | 588,026 | ||||||
Pool Q48294, 4.50%, 05/01/2047 |
402,036 | 433,717 | ||||||
Pool Q49044, 4.50%, 07/01/2047 |
825,656 | 899,957 | ||||||
Pool Q49608, 4.50%, 07/01/2047 |
253,895 | 273,342 | ||||||
Pool Q49902, 4.50%, 08/01/2047 |
256,296 | 278,712 | ||||||
Pool Q55774, 4.50%, 04/01/2048 |
564,114 | 606,713 | ||||||
Pool Q56476, 4.50%, 05/01/2048 |
802,716 | 875,768 | ||||||
Pool Q56906, 4.50%, 06/01/2048 |
1,623,063 | 1,766,925 | ||||||
Pool Q57389, 4.50%, 07/01/2048 |
736,309 | 797,205 | ||||||
Pool Q57906, 4.50%, 08/01/2048 |
1,329,157 | 1,459,294 | ||||||
Pool Q58775, 4.50%, 09/01/2048 |
1,433,393 | 1,554,178 | ||||||
Pool Q59454, 4.50%, 11/01/2048 |
161,606 | 173,752 | ||||||
Pool Q60215, 4.50%, 11/01/2048 |
1,063,546 | 1,152,860 | ||||||
Pool Q61389, 4.50%, 02/01/2049 |
108,211 | 116,205 | ||||||
Pool A91364, 5.00%, 03/01/2040 |
170,663 | 187,053 | ||||||
Pool A92906, 5.00%, 07/01/2040 |
259,370 | 287,228 | ||||||
Pool A56707, 5.50%, 01/01/2037 |
60,728 | 67,429 | ||||||
Pool A58653, 5.50%, 03/01/2037 |
52,625 | 58,457 | ||||||
Pool A68746, 5.50%, 10/01/2037 |
129,599 | 143,995 | ||||||
Pool A76192, 5.50%, 04/01/2038 |
264,954 | 297,618 | ||||||
Pool A76444, 5.50%, 04/01/2038 |
102,167 | 113,487 | ||||||
Pool A78742, 5.50%, 06/01/2038 |
544,722 | 621,547 | ||||||
Pool G06072, 6.00%, 06/01/2038 |
262,208 | 306,858 | ||||||
Pool G06073, 6.50%, 10/01/2037 |
514,687 | 597,860 | ||||||
313,901,661 | ||||||||
FHA Project Loans – 0.27% |
||||||||
Pool 023-98141, 6.00%, 03/01/2047 (a) (b) |
2,790,049 | 2,748,031 | ||||||
Pool St. Michael, 6.20%, 09/01/2050 (a) (b) |
5,394,322 | 5,600,615 |
The accompanying notes are an integral part of the financial statements.
8 |
The CCM Community Impact Bond Fund |
|
Principal |
|||||||
|
Amount |
Value |
||||||
Pool 023-98146, 6.51%, 07/01/2047 (a) (b) |
$ | 571,386 | $ | 583,366 | ||||
Pool 034-A35271, 6.95%, 06/01/2035 (a) (b) |
141,705 | 141,707 | ||||||
9,073,719 | ||||||||
FHLB – 0.69% |
||||||||
Pool 5109, 1.38%, 02/17/2023 |
22,870,000 | 23,167,205 | ||||||
FHMS Multifamily – 6.53% |
||||||||
Pool K-F100, 0.23%, (SOFR30A+0.180%), 01/25/2028 |
30,421,228 | 30,361,091 | ||||||
Pool K-F122, 0.24%, (SOFR30A+0.190%), 09/25/2031 |
4,000,000 | 3,989,936 | ||||||
Pool F118, 0.25%, (SOFR30A+0.200%), 07/25/2028 |
4,628,000 | 4,625,058 | ||||||
Pool F116, 0.26%, (SOFR30A+0.210%), 06/25/2028 |
13,937,000 | 13,919,687 | ||||||
Pool F113, 0.28%, (SOFR30A+0.230%), 05/25/2028 |
9,339,763 | 9,339,763 | ||||||
Pool KF97, 0.30%, (SOFR30A+0.250%), 12/25/2030 |
3,953,491 | 3,949,905 | ||||||
Pool F105, 0.30%, (SOFR30A+0.250%), 02/25/2031 |
14,205,000 | 14,198,346 | ||||||
Pool KF36, 0.43%, (ICE LIBOR USD 1 Month+0.340%), 08/25/2024 |
1,929,681 | 1,931,686 | ||||||
Pool KJ33, 0.44%, 12/25/2025 |
3,274,281 | 3,238,411 | ||||||
Pool Q012, 0.58%, 08/25/2025 |
3,051,851 | 3,019,539 | ||||||
Pool 2021-SB83, 0.63%, 01/25/2026 (c) |
3,191,857 | 3,127,804 | ||||||
Pool 2021-SB82, 0.67%, 11/25/2025 (c) |
2,507,461 | 2,457,759 | ||||||
Pool KG03, 0.70%, 04/25/2029 (c) |
1,500,000 | 1,458,112 | ||||||
Pool SB87, 0.78%, 04/25/2041 (c) |
4,745,880 | 4,671,671 | ||||||
Pool P003, 0.83%, 02/25/2031 |
6,375,739 | 6,099,989 | ||||||
Pool KG04, 0.85%, 06/25/2030 |
8,929,471 | 8,594,855 | ||||||
Pool 2021-SB82, 0.86%, 12/25/2027 (c) |
2,979,986 | 2,898,283 | ||||||
Pool K123, 0.93%, 06/25/2030 |
2,882,830 | 2,800,719 | ||||||
Pool K124, 0.96%, 08/25/2030 |
2,829,017 | 2,748,579 | ||||||
Pool Q012, 1.01%, 08/25/2030 |
4,599,991 | 4,427,845 | ||||||
Pool SB87, 1.07%, 04/25/2028 (c) |
1,248,276 | 1,227,922 | ||||||
Pool P009, 1.13%, 01/25/2031 |
26,304,466 | 25,886,409 | ||||||
Pool WA4405, 1.15%, 05/01/2027 |
3,294,319 | 3,284,237 | ||||||
Pool K131, 1.16%, 01/25/2031 |
3,987,732 | 3,908,399 | ||||||
Pool 2021-P011, 1.20%, 09/25/2031 |
828,099 | 813,746 | ||||||
Pool WN1107, 1.27%, 08/01/2026 |
10,500,000 | 10,440,609 | ||||||
Pool KG03, 1.30%, 06/25/2030 (c) |
8,000,000 | 7,749,242 | ||||||
Pool KSG1, 1.50%, 09/25/2030 |
3,850,000 | 3,788,439 | ||||||
Pool K109, 1.56%, 04/25/2030 |
1,500,000 | 1,484,214 | ||||||
Pool Q014, 1.56%, 01/25/2036 |
2,746,065 | 2,674,685 | ||||||
Pool K741, 1.60%, 12/25/2027 |
20,000,000 | 20,075,620 | ||||||
Pool 2021-ML08, 1.88%, 07/25/2037 |
1,389,906 | 1,391,254 | ||||||
Pool 2021-ML08, 1.90%, 11/25/2037 |
1,784,756 | 1,790,886 | ||||||
Pool WA1102, 1.92%, 12/01/2028 |
1,009,010 | 1,029,649 | ||||||
Pool WN0034, 1.94%, 04/01/2037 |
846,333 | 826,388 | ||||||
Pool K094, 2.70%, 04/25/2029 |
3,911,758 | 4,151,162 | ||||||
Pool 2017-SB43, 2.79%, (ICE LIBOR USD 1 Month+2.740%), 10/25/2037 |
684,044 | 692,108 | ||||||
Pool 2017-SB43, 3.00%, 10/25/2027 (c) |
625,909 | 641,194 | ||||||
219,715,201 | ||||||||
FNMA Multifamily – 9.69% |
||||||||
Pool BS1397, 0.29%, (SOFR30A+0.240%), 03/01/2031 |
7,970,000 | 7,966,566 | ||||||
Pool BS1398, 0.29%, (SOFR30A+0.240%), 03/01/2031 |
1,930,000 | 1,929,168 | ||||||
Pool BS1399, 0.29%, (SOFR30A+0.240%), 03/01/2031 |
9,120,000 | 9,116,070 | ||||||
Pool BL4132, 0.31%, (SOFR30A+0.260%), 04/01/2031 |
12,880,000 | 12,875,138 | ||||||
Pool BS1200, 0.95%, 02/01/2028 |
3,370,000 | 3,259,847 |
The accompanying notes are an integral part of the financial statements.
|
Principal |
|||||||
|
Amount |
Value |
||||||
Pool BS1201, 0.95%, 02/01/2028 |
$ | 6,860,000 | $ | 6,616,515 | ||||
Pool BS1033, 1.02%, 02/01/2028 |
7,418,493 | 7,202,087 | ||||||
Pool BS1139, 1.04%, 02/01/2028 |
2,400,000 | 2,340,688 | ||||||
Pool BL8108, 1.19%, 09/01/2032 |
2,922,793 | 2,779,341 | ||||||
Pool BL7910, 1.23%, 08/01/2027 |
4,700,000 | 4,606,937 | ||||||
Pool BL7892, 1.24%, 08/01/2030 |
6,329,072 | 6,150,038 | ||||||
Pool BL7247, 1.25%, 06/01/2030 |
3,089,342 | 3,012,863 | ||||||
Pool BL7686, 1.28%, 08/01/2030 |
2,918,026 | 2,844,493 | ||||||
Pool BL7010, 1.30%, 06/01/2030 |
10,000,000 | 9,718,750 | ||||||
Pool BL7898, 1.31%, 08/01/2032 |
8,100,000 | 7,673,206 | ||||||
Pool BL8103, 1.32%, 12/01/2030 |
7,081,798 | 6,898,208 | ||||||
Pool BL8000, 1.34%, 09/01/2030 |
4,940,000 | 4,810,111 | ||||||
Pool BL8013, 1.36%, 08/01/2035 |
4,280,196 | 4,020,458 | ||||||
Pool BL8014, 1.36%, 08/01/2035 |
3,952,455 | 3,712,606 | ||||||
Pool BS0025, 1.38%, 12/01/2030 |
7,844,744 | 7,676,242 | ||||||
Pool BS0596, 1.38%, 01/01/2031 |
200,000 | 193,980 | ||||||
Pool BL7636, 1.41%, 07/01/2032 |
1,100,000 | 1,054,730 | ||||||
Pool M1S, 1.43%, 12/25/2030 (c) |
13,550,000 | 13,166,780 | ||||||
Pool BL7257, 1.44%, 06/01/2032 |
405,478 | 394,414 | ||||||
Pool BS1017, 1.45%, 02/01/2031 |
3,120,000 | 3,046,984 | ||||||
Pool BL9838, 1.48%, 12/01/2030 |
2,386,000 | 2,343,042 | ||||||
Pool BL6827, 1.50%, 06/01/2032 |
6,162,293 | 6,061,080 | ||||||
Pool BS1482, 1.61%, 03/01/2031 |
1,479,816 | 1,470,426 | ||||||
Pool BS0391, 1.63%, 01/01/2033 |
4,621,000 | 4,519,874 | ||||||
Pool BL7351, 1.65%, 07/01/2030 |
655,000 | 652,953 | ||||||
Pool BS0179, 1.67%, 01/01/2033 |
4,775,000 | 4,692,388 | ||||||
Pool BL7338, 1.81%, 07/01/2032 |
1,749,199 | 1,752,363 | ||||||
Pool BS1977, 1.85%, 05/01/2031 |
3,640,000 | 3,674,852 | ||||||
Pool BS2625, 1.89%, 07/01/2031 |
4,645,000 | 4,679,296 | ||||||
Pool BL6240, 1.94%, 03/01/2030 |
750,000 | 765,649 | ||||||
Pool BS1922, 2.03%, 05/01/2031 |
2,000,000 | 2,039,321 | ||||||
Pool AN2159, 2.06%, 12/01/2022 |
1,367,179 | 1,366,838 | ||||||
Pool BL6159, 2.06%, 03/01/2030 |
1,804,570 | 1,861,800 | ||||||
Pool BL5261, 2.18%, 03/01/2030 |
1,932,345 | 2,006,568 | ||||||
Pool AM1491, 2.24%, 11/01/2022 |
1,599,816 | 1,613,487 | ||||||
Pool AN1684, 2.30%, 06/01/2023 |
2,540,636 | 2,586,449 | ||||||
Pool BL6486, 2.31%, 04/01/2030 |
1,470,000 | 1,541,185 | ||||||
Pool AM1114, 2.34%, 11/01/2022 |
1,017,325 | 1,026,532 | ||||||
Pool BL5452, 2.41%, 01/01/2030 |
3,372,777 | 3,557,251 | ||||||
Pool BL4589, 2.45%, 10/01/2029 |
6,392,277 | 6,752,016 | ||||||
Pool AM2198, 2.48%, 01/01/2023 |
89,072 | 90,201 | ||||||
Pool BL4134, 2.52%, 02/01/2034 |
667,786 | 711,225 | ||||||
Pool AN3584, 2.53%, 11/01/2028 |
1,000,000 | 1,058,809 | ||||||
Pool AN1381, 2.56%, 08/01/2026 |
872,370 | 915,811 | ||||||
Pool AM8256, 2.57%, 03/01/2025 |
3,250,000 | 3,385,377 | ||||||
Pool AN1428, 2.69%, 04/01/2026 |
559,698 | 588,292 | ||||||
Pool AM9007, 2.78%, 05/01/2025 |
461,103 | 483,009 | ||||||
Pool AM8561, 2.82%, 04/01/2025 |
3,930,007 | 4,118,593 | ||||||
Pool AN2174, 2.84%, 07/01/2026 |
6,600,000 | 6,852,920 | ||||||
Pool AN0876, 2.85%, 02/01/2026 |
1,338,990 | 1,414,067 | ||||||
Pool AM0414, 2.87%, 09/01/2027 |
1,200,000 | 1,284,891 | ||||||
Pool 471460, 2.88%, 06/01/2022 |
820,416 | 821,983 | ||||||
Pool AN6823, 2.95%, 09/01/2029 |
2,464,000 | 2,680,540 | ||||||
Pool AN5781, 2.96%, 06/01/2029 |
461,075 | 485,394 |
The accompanying notes are an integral part of the financial statements.
10 |
The CCM Community Impact Bond Fund |
|
Principal |
|||||||
|
Amount |
Value |
||||||
Pool AN8458, 2.97%, 02/01/2025 |
$ | 4,856,837 | $ | 5,099,782 | ||||
Pool AN5536, 2.97%, 05/01/2027 |
3,167,939 | 3,392,208 | ||||||
Pool BL2741, 2.97%, 06/01/2029 |
3,367,289 | 3,650,352 | ||||||
Pool AN6926, 3.00%, 11/01/2032 |
974,394 | 1,064,435 | ||||||
Pool BL4558, 3.00%, 11/01/2035 |
828,944 | 905,257 | ||||||
Pool AN7354, 3.03%, 11/01/2027 |
2,590,867 | 2,793,776 | ||||||
Pool AN3838, 3.05%, 01/01/2022 |
463,879 | 463,783 | ||||||
Pool AN5273, 3.06%, 05/01/2027 |
390,848 | 420,403 | ||||||
Pool AN6579, 3.06%, 09/01/2027 |
1,413,475 | 1,482,905 | ||||||
Pool AN5758, 3.09%, 06/01/2027 |
1,457,849 | 1,535,121 | ||||||
Pool BL2603, 3.10%, 05/01/2029 |
5,540,725 | 6,031,571 | ||||||
Pool AN4301, 3.15%, 01/01/2027 |
484,983 | 522,837 | ||||||
Pool AN8567, 3.15%, 03/01/2028 |
7,171,859 | 7,795,260 | ||||||
Pool AN4045, 3.15%, 01/01/2029 |
6,300,000 | 6,832,214 | ||||||
Pool AN8521, 3.19%, 03/01/2028 |
2,433,885 | 2,559,210 | ||||||
Pool AN9141, 3.20%, 05/01/2025 |
1,279,028 | 1,311,255 | ||||||
Pool AN6262, 3.20%, 08/01/2027 |
499,580 | 542,633 | ||||||
Pool AN6232, 3.20%, 08/01/2029 |
4,927,057 | 5,425,572 | ||||||
Pool AN5394, 3.21%, 05/01/2027 |
1,250,000 | 1,359,856 | ||||||
Pool AN4133, 3.21%, 01/01/2033 |
227,907 | 253,450 | ||||||
Pool AM8227, 3.21%, 03/01/2033 |
88,272 | 97,108 | ||||||
Pool AM9393, 3.23%, 07/01/2025 |
891,472 | 948,825 | ||||||
Pool AN5792, 3.30%, 04/01/2034 |
907,188 | 1,021,640 | ||||||
Pool BL2117, 3.31%, 04/01/2029 |
5,925,000 | 6,586,332 | ||||||
Pool AM9780, 3.31%, 03/01/2031 |
370,173 | 391,739 | ||||||
Pool BL2249, 3.32%, 04/01/2029 |
793,015 | 872,361 | ||||||
Pool AM6620, 3.34%, 08/01/2024 |
523,644 | 523,339 | ||||||
Pool BL2377, 3.34%, 05/01/2031 |
2,847,931 | 3,198,657 | ||||||
Pool AN8814, 3.36%, 04/01/2028 |
942,265 | 1,035,371 | ||||||
Pool AN4505, 3.36%, 02/01/2032 |
955,938 | 1,072,600 | ||||||
Pool AM3973, 3.37%, 07/01/2023 |
3,126,911 | 3,146,925 | ||||||
Pool AN5418, 3.40%, 05/01/2033 |
750,000 | 853,737 | ||||||
Pool AM5986, 3.44%, 06/01/2026 |
577,961 | 624,710 | ||||||
Pool AN9534, 3.45%, 06/01/2025 |
2,361,379 | 2,516,855 | ||||||
Pool BL0478, 3.57%, 10/01/2025 |
1,998,370 | 2,084,595 | ||||||
Pool AN1108, 3.76%, 03/01/2046 |
270,158 | 305,314 | ||||||
Pool AN4171, 3.79%, 01/01/2035 |
785,526 | 823,897 | ||||||
Pool AN9844, 3.80%, 07/01/2030 |
779,341 | 892,866 | ||||||
Pool BL1090, 3.82%, 12/01/2025 |
958,456 | 1,005,213 | ||||||
Pool AM9376, 3.83%, 07/01/2045 |
449,587 | 513,898 | ||||||
Pool AN0360, 3.95%, 12/01/2045 |
100,000 | 123,931 | ||||||
Pool AN4676, 4.10%, 03/01/2047 |
1,248,585 | 1,467,503 | ||||||
Pool AM5197, 4.20%, 01/01/2030 |
379,519 | 442,677 | ||||||
Pool 468251, 4.76%, 06/01/2026 |
546,107 | 604,413 | ||||||
Pool 466907, 5.13%, 03/01/2026 |
350,112 | 386,199 | ||||||
Pool 465394, 5.20%, 03/01/2026 |
471,166 | 520,724 | ||||||
Pool 463895, 5.25%, 10/01/2025 |
329,425 | 363,276 | ||||||
Pool 874487, 5.52%, 05/01/2025 |
421,656 | 430,046 | ||||||
Pool 874481, 5.75%, 04/01/2022 |
2,958,285 | 2,956,594 | ||||||
Pool 387005, 5.95%, 06/01/2022 |
285,624 | 285,440 | ||||||
Pool 873949, 5.95%, 09/01/2024 |
1,064,549 | 1,063,864 | ||||||
Pool 463839, 5.96%, 11/01/2027 |
581,755 | 637,369 | ||||||
Pool 873679, 6.10%, 06/01/2024 |
373,192 | 372,953 | ||||||
Pool 467914, 6.10%, 04/01/2041 |
472,769 | 552,325 |
The accompanying notes are an integral part of the financial statements.
|
Principal |
|||||||
|
Amount |
Value |
||||||
Pool 463997, 6.12%, 12/01/2027 |
$ | 886,189 | $ | 982,004 | ||||
Pool 464836, 6.23%, 03/01/2028 |
1,516,038 | 1,723,278 | ||||||
Pool 465260, 6.33%, 06/01/2028 |
1,376,508 | 1,530,748 | ||||||
Pool 464254, 6.34%, 11/01/2027 |
2,367,942 | 2,628,598 | ||||||
Pool 464969, 6.34%, 04/01/2028 |
2,414,316 | 2,806,608 | ||||||
Pool 464632, 6.50%, 02/01/2028 |
431,937 | 496,430 | ||||||
Pool 465588, 6.55%, 07/01/2028 |
526,711 | 610,605 | ||||||
Pool 466756, 6.59%, 12/01/2028 |
1,612,274 | 1,803,948 | ||||||
Pool 464573, 6.72%, 02/01/2040 |
2,117,425 | 2,384,154 | ||||||
Pool 466595, 6.78%, 11/01/2025 |
3,359,701 | 3,757,775 | ||||||
Pool 469854, 8.26%, 12/01/2026 |
1,519,523 | 1,844,556 | ||||||
325,654,582 | ||||||||
FNMA Single Family – 16.66% |
||||||||
Pool BU1090, 1.50%, 10/01/2036 |
334,876 | 337,191 | ||||||
Pool BQ1545, 2.00%, 09/01/2050 |
3,819,407 | 3,825,002 | ||||||
Pool BQ1571, 2.00%, 09/01/2050 |
5,286,659 | 5,294,404 | ||||||
Pool BQ1603, 2.00%, 09/01/2050 |
1,967,270 | 1,973,842 | ||||||
Pool BQ2362, 2.00%, 09/01/2050 |
3,935,368 | 3,941,132 | ||||||
Pool BQ3064, 2.00%, 09/01/2050 |
3,072,446 | 3,076,946 | ||||||
Pool CA7182, 2.00%, 09/01/2050 |
1,982,778 | 1,985,674 | ||||||
Pool BP7434, 2.00%, 10/01/2050 |
1,106,215 | 1,107,834 | ||||||
Pool BQ3112, 2.00%, 10/01/2050 |
2,381,363 | 2,384,851 | ||||||
Pool BQ4812, 2.00%, 10/01/2050 |
3,603,631 | 3,608,910 | ||||||
Pool BQ4876, 2.00%, 10/01/2050 |
2,555,978 | 2,559,722 | ||||||
Pool CA7287, 2.00%, 10/01/2050 |
2,198,756 | 2,201,973 | ||||||
Pool BQ5814, 2.00%, 11/01/2050 |
2,363,569 | 2,367,032 | ||||||
Pool BQ7638, 2.00%, 11/01/2050 |
2,303,815 | 2,307,190 | ||||||
Pool CA7661, 2.00%, 11/01/2050 |
2,806,294 | 2,810,405 | ||||||
Pool CA8322, 2.00%, 12/01/2050 |
2,234,298 | 2,237,571 | ||||||
Pool BR0679, 2.00%, 01/01/2051 |
3,815,888 | 3,821,478 | ||||||
Pool BR1282, 2.00%, 01/01/2051 |
2,226,029 | 2,229,293 | ||||||
Pool BQ4492, 2.00%, 02/01/2051 |
1,177,756 | 1,179,483 | ||||||
Pool BR3230, 2.00%, 02/01/2051 |
4,806,666 | 4,826,933 | ||||||
Pool CA9082, 2.00%, 02/01/2051 |
4,063,743 | 4,069,697 | ||||||
Pool BR4749, 2.00%, 03/01/2051 |
1,742,863 | 1,746,617 | ||||||
Pool BR5454, 2.00%, 03/01/2051 |
8,236,945 | 8,249,021 | ||||||
Pool BR7691, 2.00%, 04/01/2051 |
9,480,230 | 9,494,128 | ||||||
Pool BR9146, 2.00%, 05/01/2051 |
2,209,393 | 2,214,943 | ||||||
Pool CB0668, 2.00%, 05/01/2051 |
2,351,292 | 2,354,739 | ||||||
Pool BT0121, 2.00%, 06/01/2051 |
1,418,038 | 1,421,093 | ||||||
Pool BT1268, 2.00%, 07/01/2051 |
3,314,153 | 3,319,012 | ||||||
Pool BT1347, 2.00%, 07/01/2051 |
4,320,936 | 4,330,243 | ||||||
Pool BR2232, 2.00%, 08/01/2051 |
798,340 | 803,352 | ||||||
Pool BT2780, 2.00%, 08/01/2051 |
6,672,121 | 6,681,903 | ||||||
Pool BT7189, 2.00%, 08/01/2051 |
4,363,338 | 4,385,999 | ||||||
Pool BT9013, 2.00%, 08/01/2051 |
1,478,937 | 1,487,189 | ||||||
Pool BT7259, 2.00%, 09/01/2051 |
5,933,398 | 5,966,048 | ||||||
Pool BT7351, 2.00%, 10/01/2051 |
6,277,374 | 6,316,737 | ||||||
Pool BU1092, 2.00%, 10/01/2051 |
4,509,562 | 4,538,538 | ||||||
Pool BU2995, 2.00%, 10/01/2051 |
1,309,524 | 1,314,731 | ||||||
Pool BU3147, 2.00%, 10/01/2051 |
486,607 | 489,621 | ||||||
Pool CB1941, 2.00%, 10/01/2051 |
9,405,912 | 9,460,516 | ||||||
Pool BU1004, 2.00%, 11/01/2051 |
3,467,051 | 3,474,518 | ||||||
Pool BU7796, 2.00%, 11/01/2051 |
1,645,460 | 1,647,872 |
The accompanying notes are an integral part of the financial statements.
12 |
The CCM Community Impact Bond Fund |
|
Principal |
|||||||
|
Amount |
Value |
||||||
Pool BU5889, 2.00%, 12/01/2051 |
$ | 2,068,105 | $ | 2,071,137 | ||||
Pool AB7486, 2.50%, 12/01/2042 |
1,836,048 | 1,882,236 | ||||||
Pool BP5424, 2.50%, 05/01/2050 |
1,046,658 | 1,074,511 | ||||||
Pool CA5693, 2.50%, 05/01/2050 |
1,472,314 | 1,514,819 | ||||||
Pool BP5447, 2.50%, 06/01/2050 |
800,989 | 822,586 | ||||||
Pool BP5470, 2.50%, 06/01/2050 |
466,134 | 478,555 | ||||||
Pool BP5498, 2.50%, 06/01/2050 |
1,012,972 | 1,039,471 | ||||||
Pool BP8732, 2.50%, 06/01/2050 |
2,015,687 | 2,068,790 | ||||||
Pool CA6159, 2.50%, 06/01/2050 |
1,720,760 | 1,766,339 | ||||||
Pool BP8742, 2.50%, 07/01/2050 |
1,003,254 | 1,029,499 | ||||||
Pool BP8759, 2.50%, 07/01/2050 |
1,830,410 | 1,878,293 | ||||||
Pool BP8789, 2.50%, 07/01/2050 |
976,880 | 1,004,588 | ||||||
Pool BP8814, 2.50%, 07/01/2050 |
1,031,838 | 1,060,486 | ||||||
Pool BP9533, 2.50%, 07/01/2050 |
1,769,948 | 1,816,714 | ||||||
Pool BP9534, 2.50%, 07/01/2050 |
1,924,463 | 1,979,279 | ||||||
Pool BP9566, 2.50%, 07/01/2050 |
377,874 | 388,638 | ||||||
Pool BP9596, 2.50%, 08/01/2050 |
799,773 | 822,498 | ||||||
Pool BP9598, 2.50%, 08/01/2050 |
688,971 | 712,292 | ||||||
Pool BQ0192, 2.50%, 08/01/2050 |
1,505,930 | 1,547,019 | ||||||
Pool BQ0210, 2.50%, 08/01/2050 |
2,001,949 | 2,057,533 | ||||||
Pool BQ0228, 2.50%, 08/01/2050 |
1,921,815 | 1,972,981 | ||||||
Pool BQ0248, 2.50%, 08/01/2050 |
1,738,884 | 1,788,414 | ||||||
Pool CA6683, 2.50%, 08/01/2050 |
3,421,096 | 3,511,589 | ||||||
Pool BQ1546, 2.50%, 09/01/2050 |
3,112,984 | 3,195,318 | ||||||
Pool BQ1572, 2.50%, 09/01/2050 |
4,021,449 | 4,126,649 | ||||||
Pool BQ1604, 2.50%, 09/01/2050 |
2,463,829 | 2,529,119 | ||||||
Pool BQ2363, 2.50%, 09/01/2050 |
1,635,742 | 1,678,533 | ||||||
Pool BQ3065, 2.50%, 09/01/2050 |
2,925,601 | 3,011,921 | ||||||
Pool BQ3113, 2.50%, 10/01/2050 |
1,558,194 | 1,598,956 | ||||||
Pool BQ4813, 2.50%, 10/01/2050 |
3,217,121 | 3,301,280 | ||||||
Pool BQ4877, 2.50%, 10/01/2050 |
1,712,129 | 1,756,918 | ||||||
Pool CA7296, 2.50%, 10/01/2050 |
1,064,030 | 1,091,865 | ||||||
Pool BQ5815, 2.50%, 11/01/2050 |
4,283,045 | 4,395,088 | ||||||
Pool BQ7638, 2.50%, 11/01/2050 |
3,492,789 | 3,584,370 | ||||||
Pool CA7663, 2.50%, 11/01/2050 |
1,929,650 | 1,980,336 | ||||||
Pool BR2612, 2.50%, 02/01/2051 |
718,437 | 738,408 | ||||||
Pool BR5455, 2.50%, 03/01/2051 |
1,369,484 | 1,407,555 | ||||||
Pool BR7692, 2.50%, 04/01/2051 |
1,642,414 | 1,686,196 | ||||||
Pool BR9147, 2.50%, 05/01/2051 |
3,273,442 | 3,362,866 | ||||||
Pool BT0122, 2.50%, 06/01/2051 |
4,921,259 | 5,049,998 | ||||||
Pool BT1269, 2.50%, 07/01/2051 |
5,998,481 | 6,158,385 | ||||||
Pool BT2707, 2.50%, 07/01/2051 |
7,005,677 | 7,188,943 | ||||||
Pool BT2781, 2.50%, 08/01/2051 |
3,778,083 | 3,882,337 | ||||||
Pool BT7190, 2.50%, 08/01/2051 |
3,509,026 | 3,615,180 | ||||||
Pool BT9012, 2.50%, 08/01/2051 |
730,453 | 751,929 | ||||||
Pool BT7260, 2.50%, 09/01/2051 |
2,700,922 | 2,782,629 | ||||||
Pool BU1031, 2.50%, 10/01/2051 |
3,298,299 | 3,402,134 | ||||||
Pool BU1093, 2.50%, 10/01/2051 |
3,748,689 | 3,867,863 | ||||||
Pool BU1005, 2.50%, 11/01/2051 |
5,737,338 | 5,887,425 | ||||||
Pool CB2073, 2.50%, 11/01/2051 |
14,761,230 | 15,147,378 | ||||||
Pool BU5890, 2.50%, 12/01/2051 |
5,066,254 | 5,198,785 | ||||||
Pool BU7797, 2.50%, 12/01/2051 |
1,333,943 | 1,368,838 | ||||||
Pool AB6333, 3.00%, 09/01/2042 |
430,896 | 456,587 | ||||||
Pool AP7482, 3.00%, 09/01/2042 |
67,082 | 70,479 |
The accompanying notes are an integral part of the financial statements.
|
Principal |
|||||||
|
Amount |
Value |
||||||
Pool AP9712, 3.00%, 09/01/2042 |
$ | 77,220 | $ | 81,791 | ||||
Pool AB7486, 3.00%, 12/01/2042 |
700,209 | 741,162 | ||||||
Pool AR5591, 3.00%, 01/01/2043 |
35,299 | 37,377 | ||||||
Pool AT1983, 3.00%, 04/01/2043 |
527,125 | 558,503 | ||||||
Pool AB9496, 3.00%, 05/01/2043 |
24,526 | 25,572 | ||||||
Pool AR6415, 3.00%, 05/01/2043 |
250,614 | 264,023 | ||||||
Pool AT0343, 3.00%, 05/01/2043 |
35,595 | 37,674 | ||||||
Pool AS7134, 3.00%, 05/01/2046 |
695,391 | 730,010 | ||||||
Pool AS7340, 3.00%, 06/01/2046 |
2,118,728 | 2,232,036 | ||||||
Pool BC1141, 3.00%, 06/01/2046 |
387,494 | 407,042 | ||||||
Pool AS7521, 3.00%, 07/01/2046 |
1,259,524 | 1,326,835 | ||||||
Pool BD0472, 3.00%, 07/01/2046 |
425,117 | 444,216 | ||||||
Pool AS7816, 3.00%, 08/01/2046 |
2,562,122 | 2,696,528 | ||||||
Pool BC2796, 3.00%, 08/01/2046 |
1,556,433 | 1,639,498 | ||||||
Pool AS7899, 3.00%, 09/01/2046 |
1,115,784 | 1,170,722 | ||||||
Pool BD6343, 3.00%, 09/01/2046 |
364,472 | 381,224 | ||||||
Pool AS8079, 3.00%, 10/01/2046 |
1,771,511 | 1,857,737 | ||||||
Pool BC4722, 3.00%, 10/01/2046 |
511,745 | 537,888 | ||||||
Pool AS8290, 3.00%, 11/01/2046 |
1,455,279 | 1,530,272 | ||||||
Pool AS8463, 3.00%, 12/01/2046 |
2,153,498 | 2,267,239 | ||||||
Pool BC9073, 3.00%, 12/01/2046 |
1,975,429 | 2,077,348 | ||||||
Pool AS8650, 3.00%, 01/01/2047 |
4,244,821 | 4,462,892 | ||||||
Pool BD7042, 3.00%, 03/01/2047 |
371,491 | 386,459 | ||||||
Pool BN6614, 3.00%, 05/01/2049 |
222,528 | 231,240 | ||||||
Pool BN8885, 3.00%, 05/01/2049 |
314,449 | 328,708 | ||||||
Pool BN6722, 3.00%, 06/01/2049 |
624,924 | 650,097 | ||||||
Pool BN8907, 3.00%, 06/01/2049 |
281,480 | 293,621 | ||||||
Pool BN8921, 3.00%, 06/01/2049 |
87,541 | 90,951 | ||||||
Pool BO1800, 3.00%, 06/01/2049 |
1,394,977 | 1,452,950 | ||||||
Pool BO1272, 3.00%, 07/01/2049 |
664,845 | 693,061 | ||||||
Pool BO1283, 3.00%, 07/01/2049 |
568,149 | 591,018 | ||||||
Pool CA3873, 3.00%, 07/01/2049 |
1,270,840 | 1,322,235 | ||||||
Pool BN7692, 3.00%, 08/01/2049 |
820,992 | 854,225 | ||||||
Pool BN7703, 3.00%, 08/01/2049 |
2,804,244 | 2,918,454 | ||||||
Pool BO1314, 3.00%, 08/01/2049 |
1,271,715 | 1,329,398 | ||||||
Pool BO1318, 3.00%, 08/01/2049 |
1,166,213 | 1,215,519 | ||||||
Pool BO1324, 3.00%, 08/01/2049 |
1,952,953 | 2,043,166 | ||||||
Pool CA3957, 3.00%, 08/01/2049 |
2,024,401 | 2,112,361 | ||||||
Pool BO2209, 3.00%, 09/01/2049 |
1,063,192 | 1,107,090 | ||||||
Pool BO2957, 3.00%, 09/01/2049 |
956,314 | 994,794 | ||||||
Pool BO2962, 3.00%, 09/01/2049 |
1,586,846 | 1,652,754 | ||||||
Pool BO3017, 3.00%, 09/01/2049 |
2,119,656 | 2,209,416 | ||||||
Pool BO3200, 3.00%, 09/01/2049 |
720,413 | 748,512 | ||||||
Pool CA4244, 3.00%, 09/01/2049 |
281,074 | 291,905 | ||||||
Pool BO5402, 3.00%, 10/01/2049 |
1,677,703 | 1,751,515 | ||||||
Pool BO5431, 3.00%, 10/01/2049 |
1,198,419 | 1,249,168 | ||||||
Pool BO5441, 3.00%, 10/01/2049 |
1,008,941 | 1,058,046 | ||||||
Pool CA4331, 3.00%, 10/01/2049 |
2,951,248 | 3,076,137 | ||||||
Pool BO4660, 3.00%, 11/01/2049 |
1,694,304 | 1,763,119 | ||||||
Pool BO5348, 3.00%, 11/01/2049 |
2,356,253 | 2,456,467 | ||||||
Pool BO5477, 3.00%, 11/01/2049 |
1,642,995 | 1,710,272 | ||||||
Pool BO5487, 3.00%, 11/01/2049 |
1,569,637 | 1,641,589 | ||||||
Pool CA4531, 3.00%, 11/01/2049 |
4,531,003 | 4,722,682 | ||||||
Pool BO5371, 3.00%, 12/01/2049 |
868,276 | 908,766 |
The accompanying notes are an integral part of the financial statements.
14 |
The CCM Community Impact Bond Fund |
|
Principal |
|||||||
|
Amount |
Value |
||||||
Pool BO6215, 3.00%, 12/01/2049 |
$ | 461,532 | $ | 479,896 | ||||
Pool BO8900, 3.00%, 12/01/2049 |
740,694 | 770,770 | ||||||
Pool BO8936, 3.00%, 01/01/2050 |
1,303,532 | 1,363,814 | ||||||
Pool BO8980, 3.00%, 01/01/2050 |
921,578 | 965,194 | ||||||
Pool CA5097, 3.00%, 01/01/2050 |
914,656 | 951,574 | ||||||
Pool BO9005, 3.00%, 02/01/2050 |
965,987 | 1,006,206 | ||||||
Pool BP1309, 3.00%, 02/01/2050 |
1,013,609 | 1,054,854 | ||||||
Pool CA5237, 3.00%, 02/01/2050 |
2,256,562 | 2,348,310 | ||||||
Pool BP1374, 3.00%, 03/01/2050 |
1,668,225 | 1,740,335 | ||||||
Pool BP1467, 3.00%, 03/01/2050 |
1,829,104 | 1,904,740 | ||||||
Pool BP5412, 3.00%, 05/01/2050 |
577,303 | 604,637 | ||||||
Pool BP5425, 3.00%, 05/01/2050 |
218,692 | 227,738 | ||||||
Pool CA5694, 3.00%, 05/01/2050 |
3,821,881 | 3,987,888 | ||||||
Pool BP5448, 3.00%, 06/01/2050 |
194,554 | 202,629 | ||||||
Pool BP5471, 3.00%, 06/01/2050 |
214,762 | 223,601 | ||||||
Pool BP5499, 3.00%, 06/01/2050 |
377,265 | 393,354 | ||||||
Pool BP8733, 3.00%, 06/01/2050 |
659,536 | 687,767 | ||||||
Pool CA6160, 3.00%, 06/01/2050 |
566,858 | 589,255 | ||||||
Pool BP8743, 3.00%, 07/01/2050 |
431,128 | 451,532 | ||||||
Pool BP8760, 3.00%, 07/01/2050 |
208,639 | 217,317 | ||||||
Pool BP8790, 3.00%, 07/01/2050 |
843,948 | 876,859 | ||||||
Pool BP8815, 3.00%, 07/01/2050 |
673,372 | 709,083 | ||||||
Pool BP9535, 3.00%, 07/01/2050 |
542,892 | 565,158 | ||||||
Pool BP9536, 3.00%, 07/01/2050 |
1,055,749 | 1,103,285 | ||||||
Pool BP9567, 3.00%, 07/01/2050 |
817,130 | 849,725 | ||||||
Pool BP9597, 3.00%, 08/01/2050 |
575,345 | 598,083 | ||||||
Pool BQ0193, 3.00%, 08/01/2050 |
498,363 | 518,446 | ||||||
Pool BQ0211, 3.00%, 08/01/2050 |
640,125 | 666,853 | ||||||
Pool BQ0229, 3.00%, 08/01/2050 |
809,468 | 843,653 | ||||||
Pool BQ0249, 3.00%, 08/01/2050 |
777,314 | 807,353 | ||||||
Pool BQ1573, 3.00%, 09/01/2050 |
2,471,277 | 2,581,485 | ||||||
Pool AS0092, 3.50%, 07/01/2043 |
136,581 | 146,683 | ||||||
Pool AU1769, 3.50%, 08/01/2043 |
150,608 | 161,610 | ||||||
Pool AX4858, 3.50%, 12/01/2044 |
168,296 | 179,947 | ||||||
Pool AX7551, 3.50%, 01/01/2045 |
144,080 | 154,923 | ||||||
Pool AY4388, 3.50%, 02/01/2045 |
216,385 | 230,362 | ||||||
Pool AS4536, 3.50%, 03/01/2045 |
100,884 | 108,428 | ||||||
Pool AX9585, 3.50%, 03/01/2045 |
892,096 | 958,727 | ||||||
Pool AY5019, 3.50%, 03/01/2045 |
101,089 | 107,414 | ||||||
Pool AS4738, 3.50%, 04/01/2045 |
378,438 | 406,545 | ||||||
Pool AY1387, 3.50%, 04/01/2045 |
124,107 | 131,733 | ||||||
Pool AS4913, 3.50%, 05/01/2045 |
618,640 | 663,952 | ||||||
Pool AY3458, 3.50%, 05/01/2045 |
278,146 | 297,823 | ||||||
Pool AY8252, 3.50%, 05/01/2045 |
9,442 | 9,930 | ||||||
Pool AY8271, 3.50%, 05/01/2045 |
100,830 | 108,159 | ||||||
Pool AS5117, 3.50%, 06/01/2045 |
499,182 | 536,219 | ||||||
Pool AZ2274, 3.50%, 06/01/2045 |
157,648 | 169,163 | ||||||
Pool AZ2316, 3.50%, 06/01/2045 |
77,063 | 82,169 | ||||||
Pool AS5351, 3.50%, 07/01/2045 |
121,883 | 131,056 | ||||||
Pool AZ0805, 3.50%, 07/01/2045 |
456,295 | 490,122 | ||||||
Pool AZ5686, 3.50%, 07/01/2045 |
86,340 | 92,575 | ||||||
Pool AS5579, 3.50%, 08/01/2045 |
108,948 | 117,182 | ||||||
Pool AZ5696, 3.50%, 08/01/2045 |
22,309 | 23,462 | ||||||
Pool AS5767, 3.50%, 09/01/2045 |
242,515 | 260,219 |
The accompanying notes are an integral part of the financial statements.
|
Principal |
|||||||
|
Amount |
Value |
||||||
Pool AZ2904, 3.50%, 09/01/2045 |
$ | 138,477 | $ | 148,644 | ||||
Pool AZ9193, 3.50%, 09/01/2045 |
122,604 | 130,451 | ||||||
Pool AS5917, 3.50%, 10/01/2045 |
460,511 | 493,966 | ||||||
Pool AZ4755, 3.50%, 10/01/2045 |
113,455 | 121,719 | ||||||
Pool AS6127, 3.50%, 11/01/2045 |
371,154 | 398,120 | ||||||
Pool AS6309, 3.50%, 12/01/2045 |
248,344 | 265,196 | ||||||
Pool BC0066, 3.50%, 12/01/2045 |
196,158 | 210,203 | ||||||
Pool AS6467, 3.50%, 01/01/2046 |
1,084,947 | 1,158,197 | ||||||
Pool AS6616, 3.50%, 02/01/2046 |
689,946 | 738,540 | ||||||
Pool BC0223, 3.50%, 02/01/2046 |
865,567 | 928,418 | ||||||
Pool BC0226, 3.50%, 02/01/2046 |
132,611 | 141,434 | ||||||
Pool AS6785, 3.50%, 03/01/2046 |
1,071,007 | 1,142,724 | ||||||
Pool AS6956, 3.50%, 04/01/2046 |
1,508,925 | 1,618,211 | ||||||
Pool BC0801, 3.50%, 04/01/2046 |
473,560 | 507,873 | ||||||
Pool AS7135, 3.50%, 05/01/2046 |
149,093 | 157,504 | ||||||
Pool BC6041, 3.50%, 05/01/2046 |
495,486 | 527,666 | ||||||
Pool BD0456, 3.50%, 06/01/2046 |
51,496 | 54,160 | ||||||
Pool BC9068, 3.50%, 12/01/2046 |
325,660 | 346,909 | ||||||
Pool AS8635, 3.50%, 01/01/2047 |
2,461,575 | 2,611,662 | ||||||
Pool AS8808, 3.50%, 02/01/2047 |
1,743,250 | 1,862,646 | ||||||
Pool AS8918, 3.50%, 03/01/2047 |
2,971,943 | 3,152,226 | ||||||
Pool BD7046, 3.50%, 03/01/2047 |
3,184,855 | 3,379,044 | ||||||
Pool BE7198, 3.50%, 03/01/2047 |
326,664 | 345,477 | ||||||
Pool AS9380, 3.50%, 04/01/2047 |
1,261,057 | 1,351,950 | ||||||
Pool BH1139, 3.50%, 04/01/2047 |
158,384 | 167,493 | ||||||
Pool BH1158, 3.50%, 04/01/2047 |
358,179 | 378,007 | ||||||
Pool AS9548, 3.50%, 05/01/2047 |
1,171,001 | 1,237,584 | ||||||
Pool BD2416, 3.50%, 05/01/2047 |
1,187,237 | 1,259,408 | ||||||
Pool AS9814, 3.50%, 06/01/2047 |
1,088,983 | 1,152,036 | ||||||
Pool BE3687, 3.50%, 06/01/2047 |
528,298 | 560,879 | ||||||
Pool BH5307, 3.50%, 06/01/2047 |
365,725 | 385,350 | ||||||
Pool AS9943, 3.50%, 07/01/2047 |
2,221,016 | 2,352,719 | ||||||
Pool BH5329, 3.50%, 07/01/2047 |
171,892 | 180,984 | ||||||
Pool BH2607, 3.50%, 08/01/2047 |
576,538 | 612,577 | ||||||
Pool CA0116, 3.50%, 08/01/2047 |
977,806 | 1,036,677 | ||||||
Pool BH2671, 3.50%, 09/01/2047 |
1,009,128 | 1,069,612 | ||||||
Pool BH5391, 3.50%, 09/01/2047 |
357,035 | 378,074 | ||||||
Pool CA0408, 3.50%, 09/01/2047 |
138,386 | 145,438 | ||||||
Pool BH4063, 3.50%, 10/01/2047 |
632,364 | 670,660 | ||||||
Pool BH9370, 3.50%, 10/01/2047 |
336,021 | 354,091 | ||||||
Pool CA0566, 3.50%, 10/01/2047 |
599,254 | 631,651 | ||||||
Pool BH5746, 3.50%, 11/01/2047 |
1,382,045 | 1,463,481 | ||||||
Pool CA0744, 3.50%, 11/01/2047 |
252,177 | 265,417 | ||||||
Pool BH7046, 3.50%, 12/01/2047 |
3,459,633 | 3,666,717 | ||||||
Pool BJ1663, 3.50%, 12/01/2047 |
1,131,258 | 1,190,545 | ||||||
Pool CA0918, 3.50%, 12/01/2047 |
853,752 | 901,721 | ||||||
Pool BH7097, 3.50%, 01/01/2048 |
1,694,346 | 1,791,129 | ||||||
Pool BJ4551, 3.50%, 01/01/2048 |
891,276 | 938,921 | ||||||
Pool BJ4562, 3.50%, 01/01/2048 |
568,435 | 606,688 | ||||||
Pool CA1074, 3.50%, 01/01/2048 |
1,986,215 | 2,117,011 | ||||||
Pool BH9270, 3.50%, 02/01/2048 |
1,345,158 | 1,428,648 | ||||||
Pool BJ4611, 3.50%, 02/01/2048 |
1,003,965 | 1,061,641 | ||||||
Pool BJ4612, 3.50%, 02/01/2048 |
326,861 | 345,578 | ||||||
Pool CA1243, 3.50%, 02/01/2048 |
3,373,616 | 3,581,195 |
The accompanying notes are an integral part of the financial statements.
16 |
The CCM Community Impact Bond Fund |
|
Principal |
|||||||
|
Amount |
Value |
||||||
Pool BJ0616, 3.50%, 03/01/2048 |
$ | 1,962,805 | $ | 2,077,268 | ||||
Pool BJ0652, 3.50%, 03/01/2048 |
1,035,621 | 1,095,951 | ||||||
Pool BK1959, 3.50%, 03/01/2048 |
902,191 | 950,955 | ||||||
Pool BK1960, 3.50%, 03/01/2048 |
416,101 | 439,149 | ||||||
Pool CA1415, 3.50%, 03/01/2048 |
2,240,428 | 2,367,835 | ||||||
Pool MA3574, 3.50%, 01/01/2049 |
4,127,166 | 4,342,089 | ||||||
Pool BN5245, 3.50%, 02/01/2049 |
614,916 | 653,451 | ||||||
Pool MA3597, 3.50%, 02/01/2049 |
3,159,384 | 3,323,044 | ||||||
Pool BN4385, 3.50%, 03/01/2049 |
190,225 | 199,672 | ||||||
Pool BN5344, 3.50%, 03/01/2049 |
773,435 | 819,216 | ||||||
Pool BN6235, 3.50%, 04/01/2049 |
79,432 | 83,694 | ||||||
Pool BN6245, 3.50%, 04/01/2049 |
47,279 | 49,738 | ||||||
Pool BN6283, 3.50%, 04/01/2049 |
384,118 | 403,847 | ||||||
Pool BN6567, 3.50%, 04/01/2049 |
921,804 | 973,479 | ||||||
Pool CA3399, 3.50%, 04/01/2049 |
1,279,223 | 1,355,086 | ||||||
Pool BN6299, 3.50%, 05/01/2049 |
742,124 | 780,268 | ||||||
Pool BN6619, 3.50%, 05/01/2049 |
934,141 | 982,244 | ||||||
Pool BN8886, 3.50%, 05/01/2049 |