Form N-CSRS Community Capital Trust For: Nov 30


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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
Account
Value
June 1, 2021

Ending
Account
Value
November 30, 2021

Expenses Paid
During Period*
June 1, 2021
Through
November 30, 2021

Actual

Institutional Shares

$1,000.00

$1,025.70

$8.43

Hypothetical
(5% return before expenses)

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
Amount

   

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
Amount

   

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  
   


Principal
Amount

         

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
Amount

         

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
Contracts
Short

   

Expiration Date

   

Notional Amount

   

Value

   

Unrealized
Appreciation/
(Depreciation)

 

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 —
Institutional Shares

  $ 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
Six-Month Period Ended
November 30, 2021
(Unaudited)

   

For the
Fiscal Year Ended
May 31, 2021

 

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
Six-Month
Period Ended
November 30, 2021
(Unaudited)

   

For the
Fiscal Year
Ended
May 31, 2021

   

For the
Fiscal Year
Ended
May 31, 2020

   

For the
Fiscal Year
Ended
May 31, 2019

   

For the
Fiscal Year
Ended
May 31, 2018

   

For the
Fiscal Year
Ended
May 31, 2017

 

Net Asset Value, Beginning of Period/Year

  $ 8.53     $ 7.26     $ 9.28     $ 9.46     $ 9.54     $ 9.66  

Investment Operations:
Net investment income
(a)

  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
Before fee waiver

    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
Liabilities Location

 

Asset
Derivatives

   

Liabilities
Derivatives

 

Equity contracts

Net unrealized depreciation
on futures contracts*

  $ 4,855     $ (24,945 )

Interest rate contracts

Net unrealized depreciation
on futures contracts*

  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/
(Loss)

   

Change in
Unrealized
Appreciation
(Depreciation)

   

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
Contracts $

   

Equity
Contracts $

 

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
Loss Carryforwards

$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
Account Value
June 1, 2021

   

Ending

Account

Value November 30, 2021

   

Expenses
Paid
During Period*
June 1, 2021
Through
November 30,
2021

 

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