NPORT-EX 2 ambassador13124soi.htm

The Ambassador Fund

SCHEDULE OF INVESTMENTS

As of January 31, 2024 (Unaudited)

 

 

Principal

Amount1

      Value  
     EVENT LINKED BONDS — 77.5%     
     EUROPE — 5.9%     
     MULTI-PERIL — 0.2%     
     Orange Capital Re DAC     
 400,000   3-Month Euribor + 332.00 basis points, 1/17/20252,3  $429,353 
     WINDSTORM — 5.7%     
     Blue Sky Re DAC     
 2,750,000   3-Month Euribor + 575.00 basis points, 1/8/20302,3,4   2,988,058 
     Eiffel Re Ltd.     
 3,000,000   3-Month Euribor + 325.00 basis points, 1/19/20272,3   3,261,645 
     Hexagon IV Re Ltd.     
 500,000   3-Month Euribor + 850.00 basis points, 1/21/20282,3,4   542,148 
     Taranis Reinsurance DAC     
 1,300,000   3-Month Euribor + 600.00 basis points, 1/21/20282,3,4   1,413,239 
     Windmill II Re DAC     
 1,000,000   3-Month Euribor + 347.00 basis points, 7/5/20242,3,4   1,079,650 
         9,284,740 
     TOTAL EUROPE     
     (Cost $9,716,548)   9,714,093 
     GLOBAL — 22.1%     
     MULTI-PERIL — 22.1%     
     2001 Cat Re Ltd.     
 3,250,000   3-Month U.S. Treasury Bill + 1,250.00 basis points, 1/8/20272,3,4,5   3,345,225 
     Bowline Re Ltd. Series 2022-1     
 1,500,000    3-Month U.S. Treasury Bill + 635.00 basis points, 5/23/20252,3,4   1,506,450 
 500,000    3-Month U.S. Treasury Bill + 775.00 basis points, 5/23/20252,3,4   501,150 
 250,000   3-Month U.S. Treasury Bill + 1,618.00 basis points, 5/23/20252,3,4   260,075 
     Easton Re Pte Ltd.     
 500,000   3-Month U.S. Treasury Bill + 750.00 basis points, 1/8/20272,3,4   499,350 
     Fuchsia 2023-1 London Bridge Ltd.     
 1,750,000   3-Month U.S. Treasury Bill + 1,000.00 basis points, 4/6/20272,3,4   1,742,825 
     Galileo Re Ltd.     
 4,750,000   3-Month U.S. Treasury Bill + 700.00 basis points, 1/7/20282,3,4   4,824,100 
     Hypatia Ltd.     
 750,000   3-Month U.S. Treasury Bill + 950.00 basis points, 4/8/20262,3   793,500 
     Kilimanjaro III Re Ltd.     
 175,000    3-Month U.S. Treasury Bill + 991.00 basis points, 12/19/20242,3,4   172,707 
 1,250,000    3-Month U.S. Treasury Bill + 456.00 basis points, 4/21/20252,3,4   1,243,125 
 250,000    3-Month U.S. Treasury Bill + 525.00 basis points, 6/25/20252,3   252,375 
 4,000,000    3-Month U.S. Treasury Bill + 1,236.00 basis points, 4/20/20262,3,4   3,897,200 
     Matterhorn Re Ltd.     
 500,000   SOFR Rate + 525.00 basis points, 3/24/20252,3   501,000 
 1,500,000    SOFR Rate + 775.00 basis points, 3/24/20252,3   1,486,950 
 750,000   SOFR Rate + 575.00 basis points, 12/8/20252,3   690,000 

 

 

The Ambassador Fund

SCHEDULE OF INVESTMENTS - Continued

As of January 31, 2024 (Unaudited)

 

 

Principal

Amount1

     Value 
   MULTI-PERIL (Continued)     
   Montoya Re Ltd.     
1,500,000   1-Month U.S. Treasury Bill + 711.00 basis points, 4/7/20252,3,4  $1,521,000 
1,500,000   1-Month U.S. Treasury Bill + 1,150.00 basis points, 4/7/20272,3,4   1,501,800 
   Mystic Re IV Ltd.     
2,000,000  3-Month U.S. Treasury Bill + 610.00 basis points, 1/8/20252,3,4   1,980,000 
300,000  3-Month U.S. Treasury Bill + 925.00 basis points, 1/8/20262,3,4   307,650 
500,000  3-Month U.S. Treasury Bill + 1,200.00 basis points, 1/8/20272,3   499,650 
   Ocelot Re Ltd.     
500,000  3-Month U.S. Treasury Bill + 775.00 basis points, 1/7/20272,3,4   503,800 
   Sakura Re Ltd.     
3,000,000  3-Month U.S. Treasury Bill + 230.00 basis points, 4/7/20252,3   2,936,400 
1,875,000   3-Month U.S. Treasury Bill + 392.00 basis points, 4/7/20252,3   1,856,250 
   Titania Re Ltd.     
285,000  1-Month U.S. Treasury Bill + 650.00 basis points, 12/27/20242,3   275,823 
500,000   1-Month U.S. Treasury Bill + 1,225.00 basis points, 2/27/20262,3,4   542,750 
   Vista Re Ltd.     
2,250,000  3-Month U.S. Treasury Bill + 675.00 basis points, 5/21/20242,3,4   2,270,250 
   Wrigley Re Ltd.     
250,000  3-Month U.S. Treasury Bill + 650.00 basis points, 8/7/20262,3,4   250,675 
   TOTAL GLOBAL     
   (Cost $35,834,599)   36,162,080 
   JAPAN — 2.6%     
   EARTHQUAKE — 0.4%     
   Nakama Re Ltd.     
250,000  3-Month U.S. Treasury Bill + 220.00 basis points, 1/14/20252,3   248,500 
   Nakama Re Pte Ltd.     
500,000  3-Month U.S. Treasury Bill + 205.00 basis points, 10/13/20262,3   489,850 
       738,350 
   TYPHOON — 2.2%     
   Tomoni Re Pte Ltd.     
3,650,000  3-Month U.S. Treasury Bill + 200.00 basis points, 4/7/20262,3   3,583,570 
   TOTAL JAPAN     
   (Cost $4,316,774)   4,321,920 
   UNITED STATES — 46.9%     
   EARTHQUAKE — 7.4%     
   Logistics Re Ltd.     
500,000  3-Month U.S. Treasury Bill + 387.50 basis points, 12/20/20242,3   492,650 
   Torrey Pines Re Ltd.     
3,475,000  3-Month U.S. Treasury Bill + 500.00 basis points, 6/5/20262,3,4   3,496,893 
   Ursa Re Ltd.     
3,000,000  3-Month U.S. Treasury Bill + 550.00 basis points, 12/6/20252,3,4   3,036,600 
2,500,000   3-Month U.S. Treasury Bill + 550.00 basis points, 12/7/20262,3,4   2,515,000 
   Veraison Re Ltd.     

 

 

The Ambassador Fund

SCHEDULE OF INVESTMENTS - Continued

As of January 31, 2024 (Unaudited)

 

 

Principal

Amount1

      Value 
     EARTHQUAKE (Continued)     
 1,500,000   1-Month U.S. Treasury Bill + 650.00 basis points, 3/9/20263,6  $1,564,350 
 750,000    3-Month U.S. Treasury Bill + 475.00 basis points, 3/8/20273,6   750,000 
     Wrigley Re Ltd.     
 250,000   3-Month U.S. Treasury Bill + 700.00 basis points, 8/7/20262,3,4   258,175 
         12,113,668 
     MULTI-PERIL — 13.9%     
     Aquila Re I Ltd. Series 2023-01     
 250,000   3-Month U.S. Treasury Bill + 525.00 basis points, 6/8/20262,3,4   252,900 
     Blue Halo Re Ltd.     
 1,500,000   3-Month U.S. Treasury Bill + 975.00 basis points, 2/24/20252,3   1,486,200 
     Finca Re Ltd.     
 750,000   3-Month U.S. Treasury Bill + 799.00 basis points, 6/6/20252,3,4   778,425 
     Foundation Re IV Ltd.     
 3,250,000   3-Month U.S. Treasury Bill + 625.00 basis points, 1/8/20272,3,4   3,239,600 
     Herbie Re Ltd.     
 1,750,000   3-Month U.S. Treasury Bill + 930.00 basis points, 7/8/20242,3,4   1,764,875 
 4,000,000   3-Month U.S. Treasury Bill + 673.00 basis points, 1/8/20252,3,4   3,985,600 
     High Point Re Ltd.     
 750,000   3-Month U.S. Treasury Bill + 575.00 basis points, 1/6/20272,3,4   747,300 
     Long Point Re IV Ltd.     
 250,000   3-Month U.S. Treasury Bill + 425.00 basis points, 6/1/20262,3,4   248,750 
     Mayflower Re Ltd.     
 250,000    1-Month U.S. Treasury Bill + 450.00 basis points, 7/8/20262,3   255,250 
 1,000,000    1-Month U.S. Treasury Bill + 575.00 basis points, 7/8/20262,3   1,028,500 
     Merna Reinsurance II Ltd.     
 4,500,000   3-Month U.S. Treasury Bill + 775.00 basis points, 7/7/20262,3,5   4,582,800 
     Residential Reinsurance 2020 Ltd.     
 250,000   3-Month U.S. Treasury Bill + 601.00 basis points, 12/6/20242,3   246,000 
     Residential Reinsurance 2022 Ltd.     
 1,000,000   3-Month U.S. Treasury Bill + 400.00 basis points, 6/6/20262,3   951,500 
     Residential Reinsurance 2023 Ltd.     
 1,500,000   3-Month U.S. Treasury Bill + 575.00 basis points, 12/6/20272,3   1,510,500 
     Sanders Re III Ltd.     
 250,000   3-Month U.S. Treasury Bill + 625.00 basis points, 4/7/20272,3   254,700 
 500,000    3-Month U.S. Treasury Bill + 575.00 basis points, 4/7/20282,3   499,750 
     Yosemite Re Ltd.     
 1,000,000   3-Month U.S. Treasury Bill + 997.80 basis points, 6/6/20252,3   1,038,900 
         22,871,550 
     WINDSTORM — 25.6%     
     Alamo Re Ltd.     
 1,000,000   1-Month U.S. Treasury Bill + 850.00 basis points, 6/7/20262,3   1,012,000 
     Bayou Re Ltd.     
 1,725,000    1-Month U.S. Treasury Bill + 1,275.00 basis points, 5/26/20262,3,4   1,723,965 

 

 

The Ambassador Fund

SCHEDULE OF INVESTMENTS - Continued

As of January 31, 2024 (Unaudited)

 

 

  Principal
Amount1		     Value 
     WINDSTORM (Continued)     
  1,500,000  1-Month U.S. Treasury Bill + 1,950.00 basis points, 5/26/20262,3,4  $1,543,950 
     Blue Ridge Re Ltd.     
  4,750,000   3-Month U.S. Treasury Bill + 525.00 basis points, 1/8/20272,3,4   4,789,900 
  2,750,000  1-Month U.S. Treasury Bill + 800.00 basis points, 1/8/20272,3,4   2,747,525 
     Cape Lookout Re Ltd.     
  175,000   1-Month U.S. Treasury Bill + 370.00 basis points, 3/22/20242,3   174,825 
  2,000,000  1-Month U.S. Treasury Bill + 650.00 basis points, 4/28/20262,3   2,036,400 
     Catahoula II Re Pte Ltd.     
  1,200,000   1-Month U.S. Treasury Bill + 1,324.00 basis points, 6/16/20252,3   1,222,800 
  1,250,000   1-Month U.S. Treasury Bill + 1,025.00 basis points, 6/16/20252,3   1,276,875 
     Citrus Re Ltd.     
  2,000,000  3-Month U.S. Treasury Bill + 900.00 basis points, 6/7/20262,3,4   2,045,400 
     Commonwealth Re Ltd.     
  1,500,000  3-Month U.S. Treasury Bill + 400.00 basis points, 7/8/20262,3,4   1,522,050 
     Gateway Re II Ltd.     
  1,500,000  3-Month U.S. Treasury Bill + 950.00 basis points, 4/27/20262,3,4   1,552,050 
     Gateway Re Ltd.     
  250,000   1-Month U.S. Treasury Bill + 858.00 basis points, 5/12/20252,3,4   254,625 
  1,000,000  1-Month U.S. Treasury Bill + 1,300.00 basis points, 2/24/20262,3,4   1,082,500 
  1,500,000  1-Month U.S. Treasury Bill + 1,000.00 basis points, 7/8/20262,3,4   1,559,850 
     Hestia Re Ltd.     
  2,000,000  1-Month U.S. Treasury Bill + 975.00 basis points, 4/7/20262,3,4   2,034,800 
     Lightning Re Series 2023-1     
  6,500,000  3-Month U.S. Treasury Bill + 1,100.00 basis points, 3/31/20262,3,4   6,840,600 
     Lower Ferry Re Ltd.     
  1,000,000  1-Month U.S. Treasury Bill + 425.00 basis points, 7/8/20262,3,4   1,013,000 
     Merna Reinsurance II Ltd.     
  250,000   3-Month U.S. Treasury Bill + 753.00 basis points, 7/7/20252,3   257,275 
  1,450,000   3-Month U.S. Treasury Bill + 1,025.00 basis points, 7/7/20262,3   1,558,895 
     Nature Coast Re Ltd.     
  2,000,000  3-Month U.S. Treasury Bill + 1,000.00 basis points, 12/7/20262,3,4   1,988,400 
  1,250,000   3-Month U.S. Treasury Bill + 1,350.00 basis points, 12/7/20262,3,4   1,242,750 
     Queen Street 2023 Re DAC     
  2,375,000  3-Month U.S. Treasury Bill + 750.00 basis points, 12/8/20252,3,4,5   2,466,437 
         41,946,872 
     TOTAL UNITED STATES     
     (Cost $75,896,783)   76,932,090 
     TOTAL EVENT LINKED BONDS     
     (Cost $125,764,704)   127,130,183 

 

 

The Ambassador Fund

SCHEDULE OF INVESTMENTS - Continued

As of January 31, 2024 (Unaudited)

 

 

Principal

Amount1

      Value 
     PREFERRED NOTES — 11.1%     
     GLOBAL — 5.3%     
     MULTI-PERIL — 5.3%     
     Consulate Re 2024-2A     
 5,000,000   4.550%, 1/7/20257,8  $4,463,500 
     Consulate Re 2024-3A     
 5,000,000   4.550%, 1/7/20257,8   4,148,000 
     TOTAL GLOBAL     
     (Cost $8,611,506)   8,611,500 
     UNITED STATES — 5.8%     
     MULTI-PERIL — 5.8%     
     Consulate Re 2023-2A     
 5,000,000   5.166%, 6/5/20247,8   4,984,500 
     Consulate Re 2024-1A     
 5,000,000   4.550%, 1/7/20257,8   4,539,500 
     TOTAL UNITED STATES     
     (Cost $9,523,832)   9,524,000 
     TOTAL PREFERRED NOTES     
     (Cost $18,135,338)   18,135,500 
           
     U.S. TREASURY BILLS — 8.8%     
     United States Treasury Bill     
 8,000,000   0.000%, 2/15/2024*   7,983,672 
 6,500,000   0.000%, 3/21/2024*   6,453,395 
     TOTAL U.S. TREASURY BILLS     
     (Cost $14,437,728)   14,437,067 

 

 

Number

of Shares

         
     SHORT-TERM INVESTMENTS — 7.1%     
     Fidelity Investments Money Market Government Portfolio - Institutional     
 11,551,139   Class 5.14%9   11,551,140 
     TOTAL SHORT-TERM INVESTMENTS     
     (Cost $11,551,140)   11,551,140 
     TOTAL INVESTMENTS — 104.5%     
     (Cost $169,888,910)   171,253,890 
     Liabilities in Excess of Other Assets — 4.5%   (7,309,778)
     TOTAL NET ASSETS — 100.0%  $163,944,112 

 

*Non-income producing security.

1Local currency.

2Floating rate security. Floating rate security. Reference rates as of January 31, 2024 are as follows: 1-Month U.S. Treasury Bill 5.53%, 3-Month U.S. Treasury Bill 5.42%, Secured Overnight Financing Rate (SOFR) 5.32%, and 3-Month Term SOFR 5.36%. Actual reference rates may vary based on the reset date of the security.

 

 

 

The Ambassador Fund

SCHEDULE OF INVESTMENTS - Continued

As of January 31, 2024 (Unaudited)

 

 

3Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers. The total value of these securities is $127,130,183, which represents 77.5% of total net assets of the Fund.

4Callable.

5All or a portion of this security is segregated as collateral for forward contracts. The market value of the securities pledged as collateral was $4,682,970, which represents 2.9% of total net assets of the Fund.

6Variable rate security. Rate shown is the rate in effect as of January 31, 2024.

7Level 3 securities fair valued under procedures established by the Advisor, represents 11.1% of Total Net Assets. The total value of these securities is $18,135,500.

8Restricted security, represents 11.1% of Total Net Assets. The total value of this security is $18,135,500.

9The rate is the annualized seven-day yield at period end.

 

 

The Ambassador Fund

SCHEDULE OF INVESTMENTS - Continued

As of January 31, 2024 (Unaudited)

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS

 

Sale Contracts  Counterparty  Currency
Exchange		  Settlement
Date		  Currency
Amount
Sold		   Value At
Settlement
Date		   Value At
January 31, 2024		   Unrealized
Appreciation
(Depreciation)		 
Euro  UMB Bank NA  EUR per USD  3/12/2024   (1,000,000)  $(1,095,000)  $(1,082,593)  $12,407 
Euro  UMB Bank NA  EUR per USD  6/14/2024   (3,750,000)   (4,129,875)   (4,075,866)   54,009 
Euro  UMB Bank NA  EUR per USD  6/18/2024   (1,848,000)   (2,027,607)   (2,008,926)   18,681 
Euro  UMB Bank NA  EUR per USD  11/12/2024   (500,000)   (540,550)   (547,200)   (6,650)
Euro  UMB Bank NA  EUR per USD  12/5/2024   (1,000,000)   (1,095,280)   (1,095,515)   (235)
Euro  UMB Bank NA  EUR per USD  12/12/2024   (2,750,000)   (3,054,700)   (3,013,599)   41,101 
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS   $(11,943,012)  $(11,823,699)  $119,313 

 

EUR – Euro

 

See accompanying Notes to Financial Statements.