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Riley Financial Inc N/A RILY 5 05580M793 1659443.00000000 NS USD 25754555.36000000 1.730598155124 Long EP CORP US N 1 N N N VERUS SECURITIZATION TRUST 2023-1 N/A VERUS 2023-1 A1 92539BAA0 432377.44000000 PA USD 432491.85000000 0.029061639281 Long ABS-O CORP US Y 2 2067-12-25 Floating 5.85000000 N N N N N N Ares Xl Clo Ltd N/A ARES 2016-40A CRR 04016GBK3 5000000.00000000 PA USD 5011925.00000000 0.336780349626 Long ABS-CBDO CORP US Y 2 2029-01-15 Floating 8.37560200 N N N N N N Great Elm Capital Corporation 549300JTA9ODXNIVFC33 GECC 8 3/4 390320802 135359.00000000 NS USD 3425936.29000000 0.230208556900 Long EP CORP US N 1 N N N Investco Llc N/A INVECO 5 1/8 08/13/26 46090UAA5 4000000.00000000 PA USD 3724944.32000000 0.250300643052 Long DBT CORP US Y 2 2026-08-13 Fixed 5.12500000 N N N N N N Elevation Clo 2017-6 Ltd 549300TLJB7OIA4JRG73 AWPT 2017-6A D 28622PAJ2 5880000.00000000 PA USD 5884962.72000000 0.395444824569 Long ABS-CBDO CORP KY Y 2 2029-07-15 Floating 9.22560100 N N N N N N Magnetite Xviii Ltd 549300BDVLRWS2SODX97 MAGNE 2016-18A DR 55953TAQ0 2945000.00000000 PA USD 2945067.74000000 0.197896206178 Long ABS-CBDO CORP US Y 2 2028-11-15 Floating 8.34133000 N N N N N N Babcock & Wilcox Enterprises Inc. 5493006H661OZN2C0T54 BW 8 1/8 05614L308 1239101.00000000 NS USD 24720064.95000000 1.661084736235 Long EP CORP US N 1 N N N Crescent Capital BDC, Inc. 549300VPIZMU6OEE0V68 CCABDC 5 225655208 291220.00000000 NS USD 6826196.80000000 0.458691809020 Long EP CORP US N 1 N N N Hudson's Bay Simon JV Trust N/A HBCT 2015-HB10 B10 44422PBW1 5000000.00000000 PA USD 4350000.00000000 0.292301764466 Long ABS-O CORP US Y 2 2034-08-05 Fixed 4.90560000 N N N N N N Denali Capital Clo Xi Ltd/Llc 254900ENG873HFQYVK56 DEN11 2015-1A CR 24823DAY2 2006900.00000000 PA USD 2009484.89000000 0.135028960693 Long ABS-CBDO CORP KY Y 2 2028-10-20 Floating 8.72942000 N N N N N N Barings Clo Ltd 2017-I 549300TE5WUQQTRVZ282 BABSN 2017-1A B1 06760BAE2 295000.00000000 PA USD 295638.38000000 0.019865659797 Long ABS-CBDO CORP KY Y 2 2029-07-18 Floating 7.25951900 N N N N N N LUXURY LEASE PARTNERS AUTO LEASE TRUST 2021-ARC2 N/A LLP 2021-ARC2 B 55069TAB4 1250000.00000000 PA USD 1224920.25000000 0.082309505840 Long ABS-O CORP US Y 2 2027-07-15 Fixed 7.00000000 N N N N N N IMPERIAL FUND MORTGAGE TRUST 2022-NQM7 N/A IMPRL 2022-NQM7 A1 452763AA3 2621374.68000000 PA USD 2678151.03000000 0.179960522201 Long ABS-O CORP US Y 2 2067-11-25 Floating 7.36899800 N N N N N N Vinebrook Homes Trust Inc 5493007VIZSKYNAKUH78 VINBRK 6 1/2 92737L209 124000.00000000 NS USD 2790000.00000000 0.187476304106 Long EP CORP US Y 1 N N N Arlington Asset Investment Corp 60GS1D1R1YY5G1W7IT74 AAIC 6 041356809 274443.00000000 NS USD 6449410.50000000 0.433373349177 Long EP CORP US N 1 N N N MORGAN STANLEY CAPITAL I TRUST N/A MSC 2019-BPR C 61769GAJ6 8941000.00000000 PA USD 8640630.68000000 0.580614159510 Long ABS-O CORP US Y 2 2036-05-15 Floating 8.99500000 N N N N N N FMC GMSR ISSUER TRUST N/A FMMSR 2022-GT1 A 30259RAM7 2000000.00000000 PA USD 1953900.80000000 0.131293942858 Long ABS-O CORP US Y 2 2027-04-25 Fixed 6.19000000 N N N N N N Morgan Stanley Capital I Trust 2011-C2 N/A MSC 2012-C4 D 61760VAE3 0.00000000 PA USD 0.00000000 0.000000 Long ABS-O CORP US Y 2 2045-03-15 Floating 5.33592700 N N N N N N Nexpoint Real Estate Finance Inc N/A NREF 5 3/4 05/01/26 65342VAB7 15000000.00000000 PA USD 14330400.00000000 0.962942805866 Long DBT CORP US Y 2 2026-05-01 Fixed 5.75000000 N N N N N N Great Elm Capital Corporation 549300JTA9ODXNIVFC33 GECC 5 7/8 390320604 557171.00000000 NS USD 13706406.60000000 0.921013065214 Long EP CORP US N 1 N N N RMF PROPRIETARY ISSUANCE TRUST 2022-2 N/A RPIT 2022-2 M3 74970CAD6 5000000.00000000 PA USD 2911832.50000000 0.195662937375 Long ABS-O CORP US Y 2 2062-06-25 Floating 3.75000100 N N N N N N AMC Entertainment Inc. 549300JWRNKNU6N5L017 AMC 5 3/4 06/15/25 00165AAH1 15000000.00000000 PA USD 12275925.00000000 0.824890698382 Long DBT CORP US N 2 2025-06-15 Fixed 5.75000000 N N N N N N 2024-02-28 Two Roads Shared Trust Laura Szalyga Laura Szalyga Treasurer XXXX NPORT-EX 2 holbrookincomenport.htm HOLBROOK INCOME NQ 1.31.24

 

HOLBROOK INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited)
January 31, 2024
 
Shares             Fair Value
    OPEN END FUNDS — 0.4%      
    FIXED INCOME - 0.4%      
532,608   Holbrook Structured Income Fund, Class I(h)       $ 5,219,554
             
    TOTAL OPEN END FUNDS (Cost $5,207,930)    

  5,219,554

               
          Coupon Rate (%) Maturity  
    PREFERRED STOCKS — 4.1%      
           
    ASSET MANAGEMENT — 0.5%      
294,323   Gladstone Investment Corporation   5.0000 05/01/26   6,890,101
             
    INDUSTRIAL INTERMEDIATE PROD — 1.6%      
974,540   Steel Partners Holdings, L.P.   6.0000 02/27/26   23,194,052
             
    REAL ESTATE INVESTMENT TRUSTS — 0.2%      
124,000   Vinebrook Homes Trust, Inc.(j)   6.5000 10/07/27   2,790,000
             
    REAL ESTATE SERVICES — 1.1%      
208,000   Greystone SDOF Preferred Equity, LLC   6.7500 12/23/25   4,888,000
3,950   UIRC-GSA International, LLC   6.5000 Perpetual   3,653,750
9,180   UIRC-GSA International, LLC   6.0000 Perpetual   8,675,100
              17,216,850    
    SPECIALTY FINANCE — 0.7%      
437,496   PennyMac Mortgage Investment Trust   8.5000 09/30/28   11,068,649
             
  TOTAL PREFERRED STOCKS (Cost $61,544,358)    

61,159,652   

             
Principal Amount ($)       Spread      
    ASSET BACKED SECURITIES — 40.1%      
    AUTO LOAN — 0.1%      
1,250,000   Luxury Lease Partners Auto Lease Trust  Series 2021-ARC2 B(a)   7.0000 07/15/27   1,224,920   
             
    CLO — 30.9%      
5,500,000   Allegro CLO II-S Ltd.  Series 2014-1RA C(a),(b) TSFR3M + 3.262% 8.5790 10/21/28   5,500,726   
 
 

 

HOLBROOK INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2024
 
Principal Amount ($)       Spread Coupon Rate (%) Maturity Fair Value
    ASSET BACKED SECURITIES — 40.1% (Continued)      
    CLO — 30.9% (Continued)      
250,000   Allegro CLO IV Ltd.  Series 2016-1A CR2(a),(b) TSFR3M + 2.262% 7.5760 01/15/30 $ 250,881
3,245,000   AMMC CLO XIII Ltd.  Series 2013-13A B1LR(a),(b) TSFR3M + 3.862% 9.1800 07/24/29   3,250,237
5,000,000   Ares XL CLO Ltd.  Series 2016-40A CRR(a),(b) TSFR3M + 3.062% 8.3760 01/15/29   5,011,925
2,500,000   Ares XLII Clo Ltd.  Series 2017-42A C(a),(b) TSFR3M + 2.462% 7.7790 01/22/28   2,507,328
3,650,000   Ares XLII Clo Ltd.  Series 2017-42A D(a),(b) TSFR3M + 3.712% 9.0290 01/22/28   3,653,964
750,000   Atlas Senior Loan Fund III Ltd.  Series 2013-1A CR(a),(b) TSFR3M + 2.012% 7.3810 11/17/27   750,052
11,678,632   Atlas Senior Loan Fund III Ltd.  Series 2013-1A DR(a),(b) TSFR3M + 2.862% 8.2310 11/17/27   11,680,991
10,000,000   Auburn Clo Ltd.  Series 2017-1A B(a),(b) TSFR3M + 2.312% 7.6290 10/20/30   10,025,000
295,000   Barings CLO Ltd.  Series 2017-1A B1(a),(b) TSFR3M + 1.962% 7.2600 07/18/29   295,638
770,000   Barings CLO Ltd.  Series 2018-3A C(a),(b) TSFR3M + 2.162% 7.4790 07/20/29   770,786
2,638,000   Barings CLO Ltd.  Series 2018-3A(a),(b) TSFR3M + 3.162% 8.4790 07/20/29   2,640,337
3,329,000   Black Diamond Clo Ltd.  Series 2017-1A C(a),(b) TSFR3M + 4.212% 9.5300 04/24/29   3,337,046
6,250,000   Carlyle US CLO Ltd.  Series 2016-4A CR(a),(b) TSFR3M + 3.062% 8.3790 10/20/27   6,257,944
6,692,000   CBAM Ltd.  Series 2017-1A C(a),(b) TSFR3M + 2.662% 7.9790 07/20/30   6,704,969
12,500,000   CBAM Ltd./KY  Series 2018-8A C(a),(b) TSFR3M + 2.362% 7.6790 10/20/29   12,535,863
12,000,000   CBAM Ltd./KY  Series 2018-8A D(a),(b) TSFR3M + 3.312% 8.6290 10/20/29   12,015,580
2,000,000   CBAM Ltd./KY  Series 2018-8A E(a),(b) TSFR3M + 6.062% 11.3790 10/20/29   1,996,464
6,039,000   CIFC Funding Ltd.  Series 2017-1A D(a),(b) TSFR3M + 3.762% 9.0790 04/23/29   6,050,057
8,000,000   Clear Creek CLO Ltd.  Series 2015-1A CR(a),(b) TSFR3M + 2.212% 7.5290 10/20/30   8,020,000
6,400,000   Cutwater Ltd.  Series 2015-1A DR(a),(b) TSFR3M + 3.712% 9.0260 01/15/29   6,420,198
2,006,900   Denali Capital CLO XI Ltd.  Series 2015-1A CR(a),(b) TSFR3M + 3.412% 8.7290 10/20/28   2,009,485
5,880,000   Elevation CLO Ltd.  Series 2017-6A D(a),(b) TSFR3M + 3.912% 9.2260 07/15/29   5,884,963
2,205,000   Elevation CLO Ltd.  Series 2014-2A CR(a),(b) TSFR3M + 2.462% 7.7780 10/15/29   2,206,030
4,500,000   Elevation CLO Ltd.  Series 2014-2A DR(a),(b) TSFR3M + 3.462% 8.7780 10/15/29   4,503,924
5,345,000   Ellington CLO IV Ltd.  Series 2019-4A D1(a),(b) TSFR3M + 5.762% 11.0760 04/15/29   5,380,336
7,750,000   Galaxy XXIII CLO Ltd.  Series 2017-23A DR(a),(b) TSFR3M + 3.662% 8.9800 04/24/29   7,757,665
1,335,000   Gallatin CLO IX Ltd.  Series 2018-1A D1(a),(b) TSFR3M + 3.362% 8.6790 01/21/28   1,335,551
16,420,000   GoldenTree Loan Opportunities IX Ltd.  Series 2014-9A CR2(a),(b) TSFR3M + 2.362% 7.6810 10/29/29   16,431,116
11,190,000   GoldenTree Loan Opportunities IX Ltd.  Series 2014-9A DR2(a),(b) TSFR3M + 3.262% 8.5810 10/29/29   11,198,314
1,000,000   GoldenTree Loan Opportunities IX Ltd.  Series 2014-9A ER2(a),(b) TSFR3M + 5.922% 11.2410 10/29/29   1,002,156
3,628,000   Halcyon Loan Advisors Funding Ltd.  Series 2017-2(a),(b) TSFR3M + 2.362% 7.6780 01/17/30   3,640,589
420,000   Highbridge Loan Management  Series 3A-2014 A2R(a),(b) TSFR3M + 1.962% 7.2600 07/18/29   421,019
3,105,000   JMP Credit Advisors Clo IV Ltd.  Series 2017-1A(a),(b) TSFR3M + 2.912% 8.2280 07/17/29   3,106,798
9,000,000   JMP Credit Advisors CLO V Ltd.  Series 2018-1A D(a),(b) TSFR3M + 3.612% 8.9280 07/17/30   9,010,296
 
 

 

HOLBROOK INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2024
 
Principal Amount ($)       Spread Coupon Rate (%) Maturity Fair Value
    ASSET BACKED SECURITIES — 40.1% (Continued)      
    CLO — 30.9% (Continued)      
8,000,000   KKR CLO 13 Ltd.  Series 13 DR(a),(b) TSFR3M + 2.462% 7.7760 01/16/28 $ 8,008,016
2,600,000   KKR CLO Ltd.  Series 13 ER(a),(b) TSFR3M + 5.212% 10.5260 01/16/28   2,607,010
1,775,000   KKR CLO Ltd.  Series 10 DR(a),(b) TSFR3M + 3.612% 8.9960 09/15/29   1,776,314
3,000,000   KKR Financial CLO Ltd.  Series 2013-1A BR(a),(b) TSFR3M + 2.662% 7.9760 04/15/29   3,001,212
3,000,000   KKR Static CLO 2 LTD  Series 2022-2A C(a),(b) TSFR3M + 4.250% 9.5680 10/20/31   3,012,969
2,979,000   Longfellow Place CLO Ltd.  Series 2013-1A DRR(a),(b) TSFR3M + 4.762% 10.0760 04/15/29   2,985,938
13,425,000   Madison Park Funding XIII Ltd.  Series 2014-13A DR2(a),(b) TSFR3M + 3.112% 8.4210 04/19/30   13,409,789
1,900,000   Magnetite VII Ltd.  Series 2012-7A DR2(a),(b) TSFR3M + 4.762% 10.0760 01/15/28   1,903,093
2,945,000   Magnetite XVIII Ltd.  Series 2016-18A DR(a),(b) TSFR3M + 2.962% 8.3410 11/15/28   2,945,068
13,750,000   Marathon CLO IX Ltd.  Series 2017-9A B(a),(b) TSFR3M + 2.662% 7.9760 04/15/29   13,791,415
1,965,000   Marathon CLO V Ltd.  Series 2013-5A CR(a),(b) TSFR3M + 3.012% 8.3790 11/21/27   1,966,987
479,696   Marathon CLO VII Ltd.  Series 2014-7A C(a),(b) TSFR3M + 4.062% 9.3810 10/28/25   480,380
1,000,000   Marathon CLO X Ltd.  Series 2017-10A B(a),(b) TSFR3M + 2.862% 8.2410 11/15/29   1,000,266
1,350,000   Midocean Credit CLO V  Series 2016-5A ER(a),(b) TSFR3M + 5.862% 11.1710 07/19/28   1,353,160
3,930,000   Mountain View CLO, LLC  Series 2017-1A CR(a),(b) TSFR3M + 2.612% 7.9260 10/16/29   3,931,053
320,000   Mountain View CLO, LLC  Series 2017-1A D(a),(b) TSFR3M + 3.862% 9.1760 10/16/29   320,274
3,650,000   OCP CLO Ltd.  Series 2013-4A CRR(a),(b) TSFR3M + 3.262% 8.5800 04/24/29   3,651,548
250,000   OCP CLO Ltd.  Series 2016-11A BR(a),(b) TSFR3M + 2.712% 8.0360 10/26/30   250,794
1,000,000   OFSI BSL VIII Ltd.  Series 2017-1A CR(a),(b) TSFR3M + 2.262% 7.5760 08/16/29   1,000,701
5,000,000   OFSI BSL VIII Ltd.  Series 2017-1A DR(a),(b) TSFR3M + 4.062% 9.3760 08/16/29   5,004,360
10,750,000   OZLM Funding IV Ltd.  Series 2013-4A BR(a),(b) TSFR3M + 2.462% 7.7790 10/22/30   10,755,020
10,605,000   OZLM Funding IV Ltd.  Series 2013-4A CR(a),(b) TSFR3M + 3.612% 8.9290 10/22/30   10,617,005
750,000   OZLM VII Ltd.  Series 2014-7RA BR(a),(b) TSFR3M + 2.462% 7.7780 07/17/29   750,270
9,688,000   OZLM VII Ltd.  Series 2014-7RA CR(a),(b) TSFR3M + 3.262% 8.5780 07/17/29   9,704,528
1,773,000   OZLM VIII Ltd.  Series 2014-8A DRR(a),(b) TSFR3M + 6.342% 11.6580 10/17/29   1,721,603
2,100,000   OZLM XVII Ltd.  Series 2017-17A B(a),(b) TSFR3M + 2.662% 7.9790 07/20/30   2,101,113
7,035,000   Palmer Square Loan Funding Ltd.  Series 2021-1A C(a),(b) TSFR3M + 3.162% 8.4790 04/20/29   7,043,315
460,000   Palmer Square Loan Funding Ltd.  Series 2021-2A C(a),(b) TSFR3M + 2.662% 8.0290 05/20/29   460,049
400,000   Palmer Square Loan Funding Ltd.  Series 2021-3A B(a),(b) TSFR3M + 2.012% 7.3290 07/20/29   400,657
1,000,000   Palmer Square Loan Funding Ltd.  Series 2021-4A D(a),(b) TSFR3M + 5.262% 10.5760 10/15/29   1,001,517
1,270,000   Palmer Square Loan Funding Ltd.  Series 2022-3A C(a),(b) TSFR3M + 5.400% 10.7140 04/15/31   1,279,851
7,000,000   Palmer Square Loan Funding Ltd.  Series 2023-1A C(a),(b) TSFR3M + 4.750% 10.0680 07/20/31   7,083,845
1,994,632   Parallel Ltd.  Series 2015-1A DR(a),(b) TSFR3M + 2.812% 8.1290 07/20/27   1,997,436
1,825,000   PennantPark CLO II Ltd.  Series 2020-2A D(a),(b) TSFR3M + 6.762% 12.0760 01/15/32   1,778,809
 
 

 

HOLBROOK INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2024
 
Principal Amount ($)       Spread Coupon Rate (%) Maturity Fair Value
    ASSET BACKED SECURITIES — 40.1% (Continued)      
    CLO — 30.9% (Continued)      
6,972,595   Ready Capital Mortgage Financing, LLC  Series 2023-FL11 A(a),(b) TSFR1M + 2.374% 7.7100 10/25/39 $ 6,987,753
3,321,502   Shelter Growth CRE Issuer Ltd.  Series 2022-FL4 A(a),(b) TSFR1M + 2.296% 7.6330 06/17/37   3,329,491
1,000,000   Signal Peak CLO 2, LLC  Series 2015-1A CR2(a),(b) TSFR3M + 2.162% 7.4790 04/20/29   1,000,514
3,250,000   Sound Point Clo XII Ltd.  Series 2016-2A DR(a),(b) TSFR3M + 4.112% 9.4290 10/20/28   3,263,468
12,500,000   Sound Point Clo XIV Ltd.  Series 2016-3A DR(a),(b) TSFR3M + 3.912% 9.2270 01/23/29   12,558,638
4,931,000   Sound Point Clo XV Ltd.  Series 2017-1A CR(a),(b) TSFR3M + 2.312% 7.6270 01/23/29   4,953,007
16,824,500   Sound Point Clo XV Ltd.  Series 2017-1A D(a),(b) TSFR3M + 3.862% 9.1770 01/23/29   16,873,661
1,250,000   Stratus CLO Ltd.  Series 2021-2A E(a),(b) TSFR3M + 6.012% 11.3290 12/28/29   1,257,919
3,750,000   Symphony CLO XVII Ltd.  Series 2016-17A CR(a),(b) TSFR3M + 2.062% 7.3760 04/15/28   3,752,472
20,050,000   Symphony CLO XVII Ltd.  Series 2016-17A DR(a),(b) TSFR3M + 2.912% 8.2260 04/15/28   20,066,861
2,600,000   Symphony CLO XVII Ltd.  Series 2016-17A ER(a),(b) TSFR3M + 5.812% 11.1260 04/15/28   2,605,213
10,466,660   Telos Clo Ltd.  Series 2013-3A DR(a),(b) TSFR3M + 4.012% 9.3280 07/17/26   10,483,292
2,327,129   Telos CLO Ltd.  Series 2014-6A DR(a),(b) TSFR3M + 3.962% 9.2780 01/17/27   2,333,371
8,415,000   Telos CLO Ltd.  Series 2014-5A CR(a),(b) TSFR3M + 2.412% 7.7280 04/17/28   8,418,896
992,000   Telos CLO Ltd.  Series 2014-5A DR(a),(b) TSFR3M + 3.562% 8.8780 04/17/28   994,968
360,000   VENTURE XIII CLO Ltd.  Series 2013-13A CR(a),(b) TSFR3M + 2.562% 7.9330 09/10/29   361,211
10,220,000   Venture XVII CLO Ltd.  Series 2014-17A DRR(a),(b) TSFR3M + 3.082% 8.3960 04/15/27   10,236,372
360,000   Venture XVIII CLO Ltd.  Series 2014-18A BR(a),(b) TSFR3M + 1.912% 7.2260 10/15/29   360,999
8,055,000   Venture Xxv Clo Ltd.  Series 2016-25A D2(a),(b) TSFR3M + 4.472% 9.7890 04/20/29   8,093,358
2,712,643   Vibrant Clo VI Ltd.  Series 2017-6A D(a),(b) TSFR3M + 4.162% 9.5320 06/20/29   2,718,432
2,740,000   Voya CLO Ltd.  Series 2015-1A CR(a),(b) TSFR3M + 2.612% 7.9100 01/18/29   2,733,347
3,000,000   Wellfleet CLO Ltd.  Series 2016-1A CR(a),(b) TSFR3M + 2.262% 7.5790 04/20/28   3,002,001
3,610,000   Wellfleet CLO Ltd.  Series 2016-1A DR(a),(b) TSFR3M + 3.162% 8.4790 04/20/28   3,614,422
2,290,000   Wellfleet CLO Ltd.  Series 2017-1A BR(a),(b) TSFR3M + 2.262% 7.5790 04/20/29   2,295,819
3,725,952   WhiteHorse X Ltd.  Series 2015-10A E(a),(b) TSFR3M + 5.562% 10.8780 04/17/27   3,737,655
6,296,293   Zais CLO 5 Ltd.  Series 2016-2A B(a),(b) TSFR3M + 3.562% 8.8760 10/15/28   6,315,050
395,000   Zais CLO 5 Ltd.  Series 2016-2A C(a),(b) TSFR3M + 4.762% 10.0760 10/15/28   396,110
5,595,000   Zais Clo 6 Ltd.  Series 2017-1A D(a),(b) TSFR3M + 4.142% 9.4560 07/15/29   5,608,255
              461,012,148
    COLLATERALIZED MORTGAGE OBLIGATIONS — 1.7%      
4,158,022   Cascade Funding Mortgage Trust  Series 2022-AB2 M3(a),(c)   2.0000 02/25/52   3,243,499
1,675,000   CFMT, LLC  Series 2022-EBO2 M3(a),(c)   5.3280 07/25/54   1,662,361
3,158,638   Farmer Mac Agricultural Real Estate Trust  Series 2021-1 B(a),(c)   3.2400 01/25/51   2,317,729
2,621,375   Imperial Fund Mortgage Trust  Series 2022-NQM7 A1(a),(d)   7.3690 11/25/67   2,678,151
 
 

 

HOLBROOK INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2024
 
Principal Amount ($)       Spread Coupon Rate (%) Maturity Fair Value
    ASSET BACKED SECURITIES — 40.1% (Continued)      
    COLLATERALIZED MORTGAGE OBLIGATIONS — 1.7% (Continued)      
1,000,000   MFA Trust  Series 2023-RTL1 A1(a),(d)   7.5750 08/25/27 $ 994,834
1,921,181   PRKCM Trust  Series 2023-AFC3 A1(a)   6.5840 09/25/58   1,952,952
5,000,000   RMF Proprietary Issuance Trust  Series 2022-2 M3(a),(c)   3.7500 06/25/62   2,911,833
12,500,000   RMF Proprietary Issuance Trust  Series 2022-3 M3(a),(c)   4.0000 08/25/62   7,536,899
432,377   Verus Securitization Trust  Series 2023-1 A1(a),(d)   5.8500 12/25/67   432,492
219,114   Verus Securitization Trust  Series 2023-3 A2(a),(d)   6.4380 03/25/68   220,392
677,564   Verus Securitization Trust  Series 2023-5 A1(a),(d)   6.4760 06/25/68   684,732
              24,635,874
    NON AGENCY CMBS — 7.0%      
2,325,000   BB-UBS Trust  Series 2012-TFT B(a),(c)   3.6780 06/05/30   1,893,101
1,506,167   Capital Funding Mortgage Trust  Series 2021-19 B(a),(b) TSFR1M + 15.210% 20.5600 04/27/24   1,500,294
11,284,554   Capital Funding Multifamily Mortgage Trust  Series 2022-PM01 B(a),(b) TSFR1M + 9.500% 14.8530 03/01/25   11,362,965
9,145,000   GS Mortgage Securities Corp Trust  Series 2018-3PCK B(a),(b) TSFR1M + 2.864% 8.1970 09/15/31   9,012,841
4,700,000   GS Mortgage Securities Corp Trust  Series 2018-3PCK C(a),(b) TSFR1M + 3.614% 8.9470 09/15/31   4,598,005
899,038   GS Mortgage Securities Corporation II  Series 2018-SRP5 B(a),(b) TSFR1M + 3.047% 8.4480 09/15/31   296,440
7,615,115   GS Mortgage Securities Corporation II  Series 2018-SRP5 C(a),(b) TSFR1M + 4.297% 9.6980 09/15/31   1,715,283
10,463,000   GS Mortgage Securities Trust  Series 2010-C1 C(a),(c)   5.6350 08/10/43   10,192,436
2,000,000   GS Mortgage Securities Trust  Series 2010-C1 D(a),(c)   6.5710 08/10/43   1,676,698
4,000,000   Hudsons Bay Simon JV Trust  Series 2015-HB10 A10(a)   4.1540 08/05/34   3,688,947
5,000,000   Hudsons Bay Simon JV Trust  Series 2015-HB10 B10(a)   4.9060 08/05/34   4,350,000
1,000,000   JPMBB Commercial Mortgage Securities Trust  Series 2014-C25 B(c)   4.3470 11/15/47   916,391
3,550,000   Morgan Stanley Bank of America Merrill Lynch Trust  Series 2013-C9 D(a),(c)   3.9440 05/15/46   2,584,453
3,300,000   Morgan Stanley Capital I Trust  Series 2013-ALTM D(a),(c)   3.8280 02/05/35   2,504,766
10,681,000   Morgan Stanley Capital I Trust  Series 2019-BPR B(a),(b) TSFR1M + 2.692% 8.0450 05/15/36   10,427,620
8,941,000   Morgan Stanley Capital I Trust  Series 2019-BPR C(a),(b) TSFR1M + 3.642% 8.9950 05/15/36   8,640,631
2,300,000   Morgan Stanley Capital I Trust  Series 2016-PSQ D(a),(c)   3.9540 01/10/38   1,946,954
4,405,000   MSCG Trust  Series 2015-ALDR B(a),(c)   3.5770 06/07/35   3,974,789
3,225,553   UBS-Barclays Commercial Mortgage Trust  Series 2013-C5 B(a),(c)   3.6490 03/10/46   2,994,802
6,231,000   WFRBS Commercial Mortgage Trust  Series 2012-C9 E(a),(c)   4.8760 11/15/45   5,688,082
1,470,783   XCAL MORTGAGE TRUST  Series 2019-1 A(a),(b) TSFR1M + 3.864% 9.2170 05/06/24   1,460,240
1,933,099   XCALI Mortgage Trust  Series 2020-2(a),(b) US0001M + 2.000% 7.4670 02/15/24   1,906,727
1,873,572   XCALI Mortgage Trust  Series 2020-5 A(a),(b) TSFR1M + 3.370% 8.7230 10/06/24   1,876,107
5,000,000   X-Caliber Funding, LLC  Series 2023-MF9 A(a),(b) TSFR1M + 3.250% 8.6100 11/01/24   5,021,712
 
 

 

HOLBROOK INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2024
 
Principal Amount ($)       Spread Coupon Rate (%) Maturity Fair Value
    ASSET BACKED SECURITIES — 40.1% (Continued)      
    NON AGENCY CMBS — 7.0% (Continued)      
500,000   X-Caliber Funding, LLC  Series 2021-7 B1(a),(b) TSFR3M + 6.000% 11.4670 01/06/26 $ 486,644
3,800,000   X-Caliber Funding, LLC  Series 2024-SURF A(a)   12.0000 08/04/27   3,800,000
              104,516,928
    OTHER ABS — 0.4%      
2,000,000   FMC GMSR Issuer Trust  Series 2022-GT1 A(a)   6.1900 04/25/27   1,953,901
2,175,080   HRR Funding, LLC  Series 2021-1(a),(i)   9.0000 12/20/36   1,816,192
1,708,557   New Residential Mortgage, LLC  Series 2020-FNT1 A(a)   5.4370 06/25/25   1,678,433
863,847   New Residential Mortgage, LLC  Series 2020-FNT2 A(a)   5.4370 07/25/25   850,165
              6,298,691
  TOTAL ASSET BACKED SECURITIES (Cost $602,253,340)    

597,688,561

             
               
    CORPORATE BONDS — 46.9%      
    ASSET MANAGEMENT — 27.4%      
25,826,000   Apollo Investment Corporation   5.2500 03/03/25   25,334,419
1,869,277   B Riley Financial, Inc.   5.5000 03/31/26   34,525,545
5,000,000   Blue Owl Credit Income Corporation   5.5000 03/21/25   4,952,186
22,440,000   Capital Southwest Corporation   4.5000 01/31/26   21,421,224
291,220   Crescent Capital BDC, Inc.   5.0000 05/25/26   6,826,197
24,480,000   Fidus Investment Corporation   4.7500 01/31/26   23,240,769
2,900,000   Fidus Investment Corporation   3.5000 11/15/26   2,616,346
32,473,000   Gladstone Capital Corporation   5.1250 01/31/26   31,530,958
557,171   Great Elm Capital Corporation   5.8750 06/30/26   13,706,407
408,347   Great Elm Capital Corporation   6.7500 06/30/26   10,245,426
135,359   Great Elm Capital Corporation   8.7500 09/30/28   3,425,936
247,002   Horizon Technology Finance Corporation   4.8750 03/30/26   5,919,403
11,598,000   Investcorp Credit Management BDC, Inc.   4.8750 04/01/26   10,885,572
2,000,000   Medallion Financial Corporation(a)   7.5000 12/30/27   1,950,000
26,965,000   Monroe Capital Corporation   4.7500 02/15/26   25,552,423
11,000,000   NewtekOne, Inc.(a)   8.1250 02/01/25   11,129,605
28,540,000   PennantPark Floating Rate Capital Ltd.   4.2500 04/01/26   26,840,418
20,064,000   PennantPark Investment Corporation   4.5000 05/01/26   18,616,946
25,797,000   PennantPark Investment Corporation   4.0000 11/01/26   23,882,476
 
 

 

HOLBROOK INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2024
 
Principal Amount ($)       Spread Coupon Rate (%) Maturity Fair Value
    CORPORATE BONDS — 46.9% (Continued)      
    ASSET MANAGEMENT — 27.4% (Continued)      
17,500,000   Portman Ridge Finance Corporation   4.8750 04/30/26 $ 17,128,475
27,829,000   Saratoga Investment Corporation   4.3750 02/28/26   26,372,563
12,359,000   Saratoga Investment Corporation   4.3500 02/28/27   11,433,183
242,623   Saratoga Investment Corporation   6.0000 04/30/27   5,810,821
1,026,725   Trinity Capital, Inc.   7.0000 01/16/25   25,781,065
20,100,000   Trinity Capital, Inc.   4.3750 08/24/26   18,727,374
              407,855,737
    COMMERCIAL SUPPORT SERVICES — 2.2%      
1,938,888   Charah Solutions, Inc. (i) (j)   8.5000 08/31/26   33,911,151
             
    ELECTRICAL EQUIPMENT — 2.3%      
1,239,101   Babcock & Wilcox Enterprises, Inc.   8.1250 02/28/26   24,720,065
529,384   Babcock & Wilcox Enterprises, Inc.   6.5000 12/31/26   8,835,419
              33,555,484
    ENTERTAINMENT CONTENT — 0.3%      
1,153,374   Chicken Soup For The Soul Entertainment, Inc.   9.5000 07/31/25   3,748,466
             
    INSTITUTIONAL FINANCIAL SERVICES — 2.2%      
274,443   Arlington Asset Investment Corporation(j)   6.0000 08/01/26   6,449,411
1,659,443   B Riley Financial, Inc.   5.0000 12/31/26   25,754,555
              32,203,966
    INSURANCE — 0.2%      
1,805,399   Atlas Financial Holdings, Inc. (i) (j)   7.2500 04/27/27   181
4,701,308   ATLAS FINANCIAL HOLDINGS, INC. (i) (j)   12.0000 06/30/24   2,585,719
              2,585,900
    LEISURE FACILITIES & SERVICES — 0.8%      
15,000,000   AMC Entertainment Holdings, Inc.   5.7500 06/15/25   12,275,925
             
    MACHINERY — 0.0%(e)      
2,500,000   Briggs & Stratton Corporation(f)   6.8750 12/15/20   21,875
             
    METALS & MINING — 0.2%      
125,337   Ramaco Resources, Inc.   9.0000 07/30/26   3,188,573
             
 
 

 

HOLBROOK INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2024
 
Principal Amount ($)       Spread Coupon Rate (%) Maturity Fair Value
    CORPORATE BONDS — 46.9% (Continued)      
    OIL & GAS PRODUCERS — 0.2%      
2,926,000   W&T Offshore, Inc.(a)   11.7500 02/01/26 $ 3,027,898
             
    REAL ESTATE INVESTMENT TRUSTS — 0.4%      
210,500   HC Government Realty Trust, Inc.(a)   7.0000 08/14/27   5,262,500
             
    REAL ESTATE SERVICES — 0.4%      
7,500,000   Carrington HLDG Company LLC(a)   8.0000 01/01/26   7,359,375
             
    SOFTWARE — 1.3%      
1,013,129   Synchronoss Technologies, Inc.   8.3750 06/30/26   20,009,298
             
    SPECIALTY FINANCE — 9.0%      
15,766,000   ACRES Commercial Realty Corporation   5.7500 08/15/26   15,010,880
70,000   Atlanticus Holdings Corporation   9.2500 01/31/29   1,750,000
1,500,000   Broadmark Realty Capital, Inc.(a)   5.0000 11/15/26   1,404,657
1,000,000   Dakota Financial, LLC(a)   5.0000 09/30/26   933,345
2,000,000   First Help Financial, LLC(a)   6.0000 11/15/26   1,922,156
4,000,000   InvestCo, LLC / Preston Ventures, LLC / LS(a)   5.1250 08/13/26   3,724,944
3,250,000   Medallion Financial Corporation B(a)   7.2500 02/26/26   3,185,000
4,000,000   National Funding, Inc.(a)   5.7500 08/31/26   3,789,662
16,878,000   Nexpoint Real Estate Finance, Inc.   5.7500 05/01/26   16,124,566
15,000,000   Nexpoint Real Estate Finance, Inc.(a)   5.7500 05/01/26   14,330,400
29,548,135   OWS Cre Funding I, LLC  Series 2021-MARG A(a),(b) US0001M + 4.900% 10.3480 09/15/24   29,580,755
5,000,000   PDOF MSN Issuer, LLC(a),(b) SOFRRATE + 4.500% 9.8100 03/01/25   4,928,354
881,307   Ready Capital Corporation   5.7500 02/15/26   21,107,303
165,689   Ready Capital Corporation   6.2000 07/30/26   3,941,741
2,000,000   Regent Capital Corporation(a)   6.0000 12/28/26   1,914,456
76,566   Sachem Capital Corporation   6.8750 12/30/24   1,879,703
82,786   Sachem Capital Corporation   7.7500 09/30/25   2,047,596
62,395   Sachem Capital Corporation   6.0000 12/30/26   1,377,058
3,000,000   X-Caliber Funding, LLC(a)   5.0000 09/24/24   2,814,176
2,000,000   X-Caliber Funding, LLC(a)   5.0000 03/01/25   1,938,071
              133,704,823
 
 

 

HOLBROOK INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
January 31, 2024
 
Principal Amount ($)   Coupon Rate (%) Maturity Fair Value
  TOTAL CORPORATE BONDS (Cost $744,772,629)     $ 698,710,971
             
    U.S. GOVERNMENT & AGENCIES — 4.7%      
    U.S. TREASURY INFLATION PROTECTED — 4.7%      
42,352,700   United States Treasury Inflation Indexed Bonds   2.3750 01/15/25   42,212,717
28,529,520   United States Treasury Inflation Indexed Bonds   0.1250 04/15/25   27,678,031
  TOTAL U.S. GOVERNMENT & AGENCIES (Cost $69,648,578)         69,890,748
Shares              
    SHORT-TERM INVESTMENTS — 5.4%      
    MONEY MARKET FUNDS - 5.4%      
79,713,750   First American Government Obligations Fund Class X, 5.25% (Cost $79,713,750)(g)       79,713,750
             
    TOTAL INVESTMENTS - 101.6% (Cost $1,563,140,585)     $ 1,512,383,236
    LIABILITIES IN EXCESS OF OTHER ASSETS - (1.6)%    

(24,195,162)

    NET ASSETS - 100.0%        

$ 1,488,188,074

 

 

 

ABS  - Asset Backed Securities
CLO  - Collateralized Loan Obligations
CMBS  - Commercial Mortgage-Backed Securities
LLC  - Limited Liability Company
LTD  - Limited Company
   
SOFRRATE United States SOFR Secured Overnight Financing Rate
TSFR1M Term Secured Overnight Financing Rate 1 Month
TSFR3M Term Secured Overnight Financing Rate 3 Month
US0001M ICE LIBOR USD 1 Month
   
 

 

 

 

(a) Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers.  As of January 31, 2024 the total market value of 144A securities is 715,974,374 or 48.1% of net assets.
(b) Variable rate security; the rate shown represents the rate on January 31, 2024.
(c) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.
(d) Step bond.  Coupon rate is fixed rate that changes on a specified date.  The rate shown is the current rate at January 31, 2024.
(e) Percentage rounds to less than 0.1%.
(f) Represents issuer in default on interest payments; non-income producing security.
(g) Rate disclosed is the seven day effective yield as of January 31, 2024.
(h) Affiliated issuer.
(i)

The value of this security has been determined in good faith by the Adviser as the Valuation Designee pursuant to valuation procedures

approved by the Board of Trustees.

(j) The security is illiquid; total illiquid securities represent 3.0% of net assets.