NPORT-EX 2 2B23SCUltraShortBond.htm

 

Sterling Capital Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

 

Principal
Amount		      Fair Value 
ASSET BACKED SECURITIES — 14.2%     
$170,000   AmeriCredit Automobile Receivables Trust, Series 2017-4, Class B, 2.360%, 12/19/22  $171,820 
 181,000   AmeriCredit Automobile Receivables Trust, Series 2017-3, Class B, 2.240%, 6/19/23   181,973 
 100,000   AmeriCredit Automobile Receivables Trust, Series 2018-1, Class B, 3.260%, 1/18/24   102,403 
 150,000   AmeriCredit Automobile Receivables Trust, Series 2019-1, Class B, 3.130%, 2/18/25   155,752 
 204,284   ARI Fleet Lease Trust, Series 2018-A, Class A2, 2.550%, 10/15/26(a)   204,878 
 44,167   Avis Budget Rental Car Funding AESOP, LLC, Series 2015-1A, Class A, 2.500%, 7/20/21(a)   44,150 
 200,000   Avis Budget Rental Car Funding AESOP, LLC, Series 2019-1A, Class A, 3.450%, 3/20/23(a)   200,636 
 57,879   Chesapeake Funding II, LLC, Series 2017-2A, Class A1, 1.990%, 5/15/29(a)   58,134 
 227,082   Chesapeake Funding II, LLC, Series 2018-2A, Class A1, 3.230%, 8/15/30(a)   231,298 
 17,869   Citicorp Residential Mortgage Trust, STEP, Series 2007-2, Class A6, 5.010%, 6/25/37   18,151 
 42,235   Countrywide Asset-Backed Certificates, Series 2004-12, Class MV4, 1.610%, (LIBOR USD 1-Month plus 1.43%), 3/25/35(b)   42,150 
 99,153   Countrywide Asset-Backed Certificates, Series 2006-3, Class 2A3, 0.475%, (LIBOR USD 1-Month plus 0.29%), 6/25/36(b)   98,932 
 101,531   Enterprise Fleet Financing, LLC, Series 2017-3, Class A2, 2.130%, 5/22/23(a)   101,814 
 33,740   Ford Credit Auto Owner Trust, Series 2017-B, Class A3, 1.690%, 11/15/21   33,831 
 475,000   Ford Credit Auto Owner Trust, Series 2016-1, Class A, 2.310%, 8/15/27(a)   479,427 
 250,000   GreatAmerica Leasing Receivables Funding, LLC, Series 2020-1, Class A2, 1.760%, 6/15/22(a)   252,107 
 137,721   GreatAmerica Leasing Receivables Funding, LLC, Series 2017-1, Class A4, 2.360%, 1/20/23(a)   138,048 
 54,286   Hyundai Auto Receivables Trust, Series 2018-A, Class A3, 2.790%, 7/15/22   54,891 
 100,000   Hyundai Auto Receivables Trust, Series 2016-B, Class C, 2.190%, 11/15/22   101,011 
 154,420   New Century Home Equity Loan Trust, Series 2005-3, Class M3, 0.950%, (LIBOR USD 1-Month plus 0.77%), 7/25/35(b)   154,035 
 245,000   Santander Drive Auto Receivables Trust, Series 2019-1, Class B, 3.210%, 9/15/23   247,513 
 100,494   Santander Drive Auto Receivables Trust, Series 2018-1, Class C, 2.960%, 3/15/24   101,256 
 78,721   Saxon Asset Securities Trust, Series 2006-2, Class A3C, 0.335%, (LIBOR USD 1-Month plus 0.15%), 9/25/36(b)   78,194 
 147,111   SoFi Professional Loan Program Trust, Series 2020-A, Class A1FX, 2.060%, 5/15/46(a)   148,385 
 34,559   Sofi Professional Loan Program, LLC, Series 2016-E, Class A1, 1.035%, (LIBOR USD 1-Month plus 0.85%), 7/25/39(a)(b)   34,446 
 187,272   Wheels SPV 2, LLC, Series 2019-1A, Class A2, 2.300%, 5/22/28(a)   188,972 

 

Principal
Amount		      Fair Value 
ASSET BACKED SECURITIES — (continued)     
$200,000   World Omni Auto Receivables Trust, Series 2018-B, Class A4, 3.030%, 6/17/24  $208,149 
     Total Asset Backed Securities     
     (Cost $3,806,840)   3,832,356 
           
COLLATERALIZED MORTGAGE OBLIGATIONS — 2.4%     
 10,921   Freddie Mac, Series 3926, Class MB, 1.750%, 11/15/25   10,923 
 167,517   Freddie Mac, Series 3959, Class PN, 2.000%, 1/15/26   168,567 
 7,537   Freddie Mac, Series 3805, Class EK, 4.000%, 6/15/40   7,559 
 184,913   Freddie Mac, Series 4172, Class PB, 1.500%, 7/15/40   185,419 
 100,942   Galton Funding Mortgage Trust, Series 2018-2, Class A41, 4.500%, 10/25/58(a)(c)   103,327 
 168,760   Galton Funding Mortgage Trust, Series 2019-1, Class A41, 4.500%, 2/25/59(a)(c)   172,280 
     Total Collateralized Mortgage Obligations     
     (Cost $643,042)   648,075 
           
COMMERCIAL MORTGAGE-BACKED SECURITIES — 9.5%     
 250,000   COMM 2012-CCRE2 Mortgage Trust, Series 2012-CR2, Class A4, 3.147%, 8/15/45   257,028 
 253,708   COMM 2014-CCRE15 Mortgage Trust, Series 2014-CR15, Class A2, 2.928%, 2/10/47   254,464 
 41,503   COMM 2015-CCRE22 Mortgage Trust, Series 2015-CR22, Class A2, 2.856%, 3/10/48   41,489 
 47,818   COMM 2015-CCRE23 Mortgage Trust, Series 2015-CR23, Class A2, 2.852%, 5/10/48   47,805 
 399,642   DBUBS 2011-LC2 Mortgage Trust, Series 2011-LC2A, Class A4, 4.537%, 7/10/44(a)   405,836 
 163,891   JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class A4, 4.717%, 2/15/46(a)   165,666 
 217,283   Morgan Stanley Capital I Trust, Series 2011-C2, Class A4, 4.661%, 6/15/44(a)   222,915 
 131,014   UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class A4, 3.091%, 8/10/49   135,013 
 46,233   Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A2, 4.393%, 11/15/43(a)   46,336 
 190,856   WFRBS Commercial Mortgage Trust, Series 2011-C3, Class A4, 4.375%, 3/15/44(a)   192,777 
 220,000   WFRBS Commercial Mortgage Trust, Series 2011-C4, Class A4, 4.902%, 6/15/44(a)(c)   223,407 
 323,890   WFRBS Commercial Mortgage Trust, Series 2011-C5, Class A4, 3.667%, 11/15/44   329,792 
 144,644   WFRBS Commercial Mortgage Trust, Series 2014-C19, Class A3, 3.660%, 3/15/47   146,043 
 103,000   WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class C, 5.392%, 2/15/44(a)(c)   102,073 
     Total Commercial Mortgage-Backed Securities     
     (Cost $2,591,515)   2,570,644 
           
CORPORATE BONDS — 71.5%     
     Aerospace & Defense — 0.6%     
 149,000   L3Harris Technologies, Inc., 4.950%, 2/15/21   150,835 

 

See accompanying Notes to the Schedule of Portfolio Investments.

1

 

Sterling Capital Ultra Short Bond Fund

Schedule of Portfolio Investments — (continued)

June 30, 2020 (Unaudited)

 

 

Principal
Amount		      Fair Value 
CORPORATE BONDS — (continued)     
     Automobiles — 3.4%     
$230,000   Advance Auto Parts, Inc., 4.500%, 1/15/22  $241,200 
 100,000   BMW U.S. Capital, LLC, 1.721%, (LIBOR USD 3-Month plus 0.41%), 4/12/21(a)(b)   99,695 
 150,000   Daimler Finance North America, LLC, 2.000%, 7/6/21(a)   151,148 
 80,000   Ford Motor Credit Co., LLC, 3.200%, 1/15/21   78,800 
 150,000   General Motors Financial Co., Inc., 3.200%, 7/6/21   151,661 
 189,000   Hyundai Capital America, 2.292%, (LIBOR USD 3-Month plus 0.94%), 7/8/21(a)(b)   186,987 
         909,491 
     Banks — 21.3%     
 250,000   Bank of America Corp., MTN, 2.625%, 10/19/20   251,699 
 155,000   Bank of Nova Scotia (The), BKNT, 2.500%, 1/8/21   156,755 
 250,000   BNZ International Funding, Ltd./London, 2.100%, 9/14/21(a)   254,297 
 250,000   BPCE SA, 1.578%, (LIBOR USD 3-Month plus 1.22%), 5/22/22(a)(b)   251,243 
 250,000   Capital One Financial Corp., 4.750%, 7/15/21   260,683 
 154,000   Citigroup, Inc., 1.688%, (LIBOR USD 3-Month plus 1.38%), 3/30/21(b)   155,410 
 250,000   Citizens Bank N.A./Providence RI, BKNT, 2.250%, 10/30/20   251,092 
 100,000   Cooperatieve Rabobank UA, 4.500%, 1/11/21   102,230 
 250,000   Credit Suisse Group Funding Guernsey, Ltd., 3.125%, 12/10/20   252,864 
 250,000   DNB Bank ASA, 0.672%, (LIBOR USD 3-Month plus 0.37%), 10/2/20(a)(b)   250,204 
 200,000   Fifth Third Bank N.A., BKNT, 1.327%, (LIBOR USD 3-Month plus 0.64%), 2/1/22(b)   200,887 
 250,000   Goldman Sachs Group, Inc. (The), 2.351%, (LIBOR USD 3-Month plus 1.36%), 4/23/21(b)   251,895 
 250,000   Huntington National Bank (The), 3.250%, 5/14/21   255,563 
 250,000   JPMorgan Chase & Co., 4.350%, 8/15/21   260,898 
 150,000   Macquarie Bank, Ltd., 6.625%, 4/7/21(a)   156,312 
 200,000   Mitsubishi UFJ Financial Group, Inc., 1.641%, (LIBOR USD 3-Month plus 0.65%), 7/26/21(b)   200,700 
 250,000   Morgan Stanley, MTN, 2.625%, 11/17/21   256,984 
 250,000   NatWest Markets PLC, 1.706%, (LIBOR USD 3-Month plus 1.40%), 9/29/22(a)(b)   250,283 
 250,000   PNC Bank N.A., BKNT, 1.491%, (LIBOR USD 3-Month plus 0.50%), 7/27/22(b)   250,993 
 250,000   Regions Bank/Birmingham AL, BKNT, 3.374%, (LIBOR USD 3-Month plus 0.50%), 8/13/21(d)   250,522 
 200,000   Royal Bank of Canada, GMTN, 1.417%, (LIBOR USD 3-Month plus 0.73%), 2/1/22(b)   201,461 
 90,000   Santander UK Group Holdings PLC, 2.875%, 10/16/20   90,623 
 90,000   Santander UK Group Holdings PLC, 3.125%, 1/8/21   91,109 
 150,000   Sumitomo Mitsui Financial Group, Inc., 2.934%, 3/9/21   152,537 
 100,000   U.S. Bancorp, MTN, 2.350%, 1/29/21   100,957 

 

Principal
Amount		      Fair Value 
CORPORATE BONDS — (continued)     
     Banks — (continued)     
$200,000   UBS Group AG, 2.950%, 9/24/20(a)  $201,123 
 200,000   UBS Group AG, 3.091%, (LIBOR USD 3-Month plus 1.78%), 4/14/21(a)(b)   202,671 
 200,000   Wells Fargo & Co., MTN, 2.550%, 12/7/20   201,853 
         5,763,848 
     Beverages — 0.5%     
 150,000   Constellation Brands, Inc., 1.092%, (LIBOR USD 3-Month plus 0.70%), 11/15/21(b)   149,988 
     Biotechnology — 0.4%     
 96,000   AbbVie, Inc., 2.300%, 5/14/21   97,291 
     Chemicals — 1.7%     
 150,000   Albemarle Corp., 1.442%, (LIBOR USD 3-Month plus 1.05%), 11/15/22(a)(b)   144,143 
 150,000   DuPont de Nemours, Inc., 1.102%, (LIBOR USD 3-Month plus 0.71%), 11/15/20(b)   150,241 
 160,000   FMC Corp., 3.950%, 2/1/22   165,951 
         460,335 
     Commercial Services — 0.7%     
 100,000   ERAC USA Finance, LLC, 4.500%, 8/16/21(a)   103,200 
 100,000   ERAC USA Finance, LLC, 2.600%, 12/1/21(a)   101,383 
         204,583 
     Communications Equipment — 0.0%     
 11,000   CommScope, Inc., 5.000%, 6/15/21(a)   11,000 
     Construction Materials — 0.9%     
 240,000   Vulcan Materials Co., 1.000%, (LIBOR USD 3-Month plus 0.65%), 3/1/21(b)   238,711 
     Diversified Financial Services — 3.5%     
 150,000   AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.625%, 10/30/20   150,653 
 150,000   Ally Financial, Inc., 4.250%, 4/15/21   152,704 
 325,000   Park Aerospace Holdings, Ltd., 3.625%, 3/15/21(a)   320,713 
 200,000   Siemens Financieringsmaatschappij NV, 0.931%, (LIBOR USD 3-Month plus 0.61%), 3/16/22(a)(b)   200,766 
 130,000   TD Ameritrade Holding Corp., 1.117%, (LIBOR USD 3-Month plus 0.43%), 11/1/21(b)   129,706 
         954,542 
     Diversified Telecommunication Services — 1.8%     
 125,000   AT&T, Inc., 3.000%, 2/15/22   130,148 
 351,875   Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LLC, 3.360%, 9/20/21(a)   356,161 
         486,309 
     Electric Utilities — 3.9%     
 150,000   American Electric Power Co., Inc., 2.150%, 11/13/20   150,942 
 110,000   CenterPoint Energy, Inc., 3.600%, 11/1/21   114,214 
 150,000   Consumers Energy Co., 2.850%, 5/15/22   156,174 
 178,000   Dominion Energy, Inc., 2.579%, 7/1/20   178,000 
 100,000   Duke Energy Florida, LLC, 3.100%, 8/15/21   101,892 
 200,000   Exelon Corp., 3.497%, 6/1/22   209,312 
 150,000   San Diego Gas & Electric Co., 3.000%, 8/15/21   153,251 
         1,063,785 

 

Continued

2

 

Sterling Capital Ultra Short Bond Fund

Schedule of Portfolio Investments — (continued)

June 30, 2020 (Unaudited)

 

 

Principal
Amount		      Fair Value 
CORPORATE BONDS — (continued)     
     Electrical Equipment — 1.0%     
$125,000   Fortive Corp., 2.350%, 6/15/21  $126,576 
 150,000   Textron, Inc., 0.998%, (LIBOR USD 3-Month plus 0.55%), 11/10/20(b)   149,546 
         276,122 
     Energy Equipment & Services — 5.1%     
 150,000   BP Capital Markets America, Inc., 4.742%, 3/11/21   154,551 
 200,000   Enbridge, Inc., 0.881%, (LIBOR USD 3-Month plus 0.50%), 2/18/22(b)   198,900 
 190,000   Kinder Morgan Energy Partners L.P., 3.500%, 3/1/21   192,367 
 165,000   MPLX L.P., 1.213%, (LIBOR USD 3-Month plus 0.90%), 9/9/21(b)   163,692 
 200,000   ONEOK, Inc., 4.250%, 2/1/22   206,809 
 150,000   Plains All American Pipeline L.P./PAA Finance Corp., 5.000%, 2/1/21   151,373 
 162,000   Sunoco Logistics Partners Operations L.P., 4.400%, 4/1/21.   165,169 
 150,000   TransCanada PipeLines, Ltd., 3.800%, 10/1/20   151,190 
         1,384,051 
     Equity Real Estate Investment Trusts (REITS) — 6.6%     
 90,000   American Tower Corp., 4.700%, 3/15/22   96,213 
 200,000   Brixmor Operating Partnership L.P., 3.875%, 8/15/22   207,447 
 150,000   Crown Castle International Corp., 3.400%, 2/15/21   152,351 
 181,000   Federal Realty Investment Trust, 3.000%, 8/1/22   184,578 
 200,000   Kimco Realty Corp., 3.200%, 5/1/21   202,686 
 200,000   Scentre Group Trust 1/Scentre Group Trust 2, 2.375%, 4/28/21(a)   200,942 
 228,000   SL Green Operating Partnership L.P., 1.366%, (LIBOR USD 3-Month plus 0.98%), 8/16/21(b).   224,657 
 184,000   Starwood Property Trust, Inc., 3.625%, 2/1/21   180,780 
 125,000   Ventas Realty L.P./Ventas Capital Corp., 3.250%, 8/15/22   127,941 
 200,000   WEA Finance, LLC, 3.150%, 4/5/22(a)   202,920 
         1,780,515 
     Food & Staples Retailing — 3.0%     
 125,000   Cargill, Inc., 3.250%, 11/15/21(a)   128,824 
 152,000   Conagra Brands, Inc., 3.800%, 10/22/21   157,964 
 156,000   CVS Health Corp., 1.033%, (LIBOR USD 3-Month plus 0.72%), 3/9/21(b)   156,593 
 115,000   Macy’s Retail Holdings, Inc., 3.450%, 1/15/21   108,675 
 90,000   Smithfield Foods, Inc., 2.650%, 10/3/21(a)   89,006 
 165,000   Viterra, Inc., 5.950%, 8/1/20(a)   165,696 
         806,758 
     Food Products — 0.7%     
 175,000   Tyson Foods, Inc., 2.250%, 8/23/21   177,727 
     Health Care Providers & Services — 0.7%     
 198,000   Becton Dickinson & Co., 1.181%, (LIBOR USD 3-Month plus 0.88%), 12/29/20(b)   198,013 
     Household Durables — 0.4%     
 100,000   DR Horton, Inc., 2.550%, 12/1/20   100,714 

 

Principal
Amount		      Fair Value 
CORPORATE BONDS — (continued)     
     Insurance — 4.3%     
$19,000   Assurant, Inc., 1.534%, (LIBOR USD 3-Month plus 1.25%), 3/26/21(b)  $19,000 
 125,000   Fidelity National Financial, Inc., 5.500%, 9/1/22   134,459 
 165,000   Guardian Life Global Funding, 1.950%, 10/27/21(a)   168,408 
 150,000   Jackson National Life Global Funding, 1.519%, (LIBOR USD 3-Month plus 0.30%), 10/15/20(a)(b)   150,086 
 153,000   Marsh & McLennan Cos., Inc., 3.500%, 12/29/20   155,279 
 150,000   Nationwide Financial Services, Inc., 5.375%, 3/25/21(a)   154,268 
 175,000   Principal Life Global Funding II, 2.375%, 11/21/21(a)   178,976 
 150,000   Protective Life Global Funding, 0.826%, (LIBOR USD 3-Month plus 0.52%), 6/28/21(a)(b)   150,363 
 58,000   Reliance Standard Life Global Funding II, 3.050%, 1/20/21(a)   58,591 
         1,169,430 
     Media — 2.2%     
 344,000   Interpublic Group of Cos., Inc. (The), 3.500%, 10/1/20   346,279 
 80,000   Interpublic Group of Cos., Inc. (The), 3.750%, 10/1/21   82,942 
 150,000   Omnicom Group, Inc./Omnicom Capital, Inc., 3.625%, 5/1/22   158,126 
         587,347 
     Metals & Mining — 1.5%     
 200,000   Anglo American Capital PLC, 4.125%, 4/15/21(a)   203,372 
 200,000   Nucor Corp., 4.125%, 9/15/22   212,882 
         416,254 
     Oil, Gas & Consumable Fuels — 1.2%     
 125,000   Apache Corp., 3.250%, 4/15/22   120,957 
 155,000   Occidental Petroleum Corp., 2.600%, 8/13/21   151,480 
 51,000   Ovintiv, Inc., 3.900%, 11/15/21   50,874 
         323,311 
     Pharmaceuticals — 1.6%     
 218,000   EMD Finance, LLC, 2.950%, 3/19/22(a)   224,991 
 203,000   Shire Acquisitions Investments Ireland DAC, 2.400%, 9/23/21   206,954 
         431,945 
     Road & Rail — 0.5%     
 125,000   Ryder System, Inc., MTN, 2.800%, 3/1/22   128,498 
     Semiconductors & Semiconductor Equipment — 1.8%     
 200,000   Broadcom Corp./Broadcom Cayman Finance, Ltd., 3.000%, 1/15/22   205,477 
 150,000   Lam Research Corp., 2.800%, 6/15/21   153,359 
 125,000   Microchip Technology, Inc., 3.922%, 6/1/21   127,436 
         486,272 
     Specialty Retail — 0.8%     
 229,000   Expedia Group, Inc., 5.950%, 8/15/20   229,673 

 

Continued

3

 

Sterling Capital Ultra Short Bond Fund

Schedule of Portfolio Investments — (continued)

June 30, 2020 (Unaudited)

 

 

Principal
Amount		      Fair Value 
CORPORATE BONDS — (continued)     
     Telecommunication Services — 0.6%     
$160,000   Verizon Communications, Inc., 1.321%, (LIBOR USD 3-Month plus 1.00%), 3/16/22(b)  $162,150 
     Tobacco — 0.8%     
 200,000   BAT International Finance PLC, 3.250%, 6/7/22(a)   208,322 
     Total Corporate Bonds     
     (Cost $19,306,417)   19,357,820 
           
MUNICIPAL BONDS — 0.7%     
     Connecticut — 0.7%     
 200,000   State Of Connecticut, CT, Public Improvements, Taxable Revenue Bonds, G.O., Series A, 3.000%, 7/1/21   204,300 
           
     Total Municipal Bonds     
     (Cost $202,838)   204,300 

 

Shares       Fair Value 
MONEY MARKET FUND — 1.1%    
307,556    Federated Treasury Obligations Fund, Institutional Shares, 0.10%(e)  $307,556 
     Total Money Market Fund     
     (Cost $307,556)   307,556 
           
Total Investments — 99.4%     
(Cost $26,858,208)   26,920,751 
Net Other Assets (Liabilities) — 0.6%   152,027 
NET ASSETS — 100.0%  $27,072,778 

 

 

(a)Rule 144A, Section 4(2) or other security that is restricted as to resale to qualified institutional investors. The Advisor, using Board approved procedures, has deemed these securities or a portion of these securities to be liquid.

(b)The interest rate for this floating rate note, which will change periodically, is based either on the prime rate or an index of market rates. The reflected rate is in effect as of June 30, 2020. The maturity date reflected is the final maturity date.

(c)The interest rate for this variable rate note, which will change periodically, is based either on the prime rate or an index of market rates. The reflected rate is in effect as of June 30, 2020. The maturity date reflected is the final maturity date.

(d)Security is a fix-to-float security, which carries a fixed coupon until a certain date, upon which it switches to a floating rate. Rate shown is the fixed rate.

(e)Represents the current yield as of report date.

 

BKNT — Bank Note

GMTN — Global Medium Term Note

MTN — Medium Term Note

STEP — Step Coupon Bond

 

Continued

4

 

Sterling Capital Funds

Notes to Schedule of Portfolio Investments - Sterling Capital Ultra Short Bond Fund

June 30, 2020 (Unaudited)

 

 

1.Organization:

 

Sterling Capital Funds (the “Trust”) commenced operations on October 5, 1992 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end investment company established as a Massachusetts business trust.

 

The Trust offers shares of Sterling Capital Ultra Short Bond Fund (referred to as the “Fund”), among other series of the Trust.

 

The Fund is a “diversified” fund as defined in the 1940 Act.

 

2.Significant Accounting Policies:

 

The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”)Accounting Standard Codification Topic 946 Financial Services-Investment Companies. The following is a summary of significant accounting policies followed by the Fund. The policies are in conformity with United States generally accepted accounting principles (“U.S. GAAP”).The preparation of this schedule requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the schedule and the reported amounts of income and expenses for the reporting period. Actual results could differ from those estimates.

 

Securities Valuation — Investments of the Fund in securities traded on a national securities exchange or in the over-the-counter market are valued at the closing price on the principal exchange or market (including the NASDAQ Closing Price for securities traded on NASDAQ), typically 4:00 PM ET or, absent such a price, by reference to the latest available bid prices in the principal market in which such securities are normally traded. The Fund may also use an independent pricing service approved by the Board of Trustees (the “Board”) to value certain securities, including the use of electronic and matrix techniques. Investments in open-end investment companies are valued at their respective net asset values as reported by such companies. Investments in closed-end investment companies and exchange-traded funds are valued at their market values based upon the latest available sale price or, absent such a price, by reference to the latest available bid prices in the principal market in which such securities are normally traded. The differences between cost and fair value of investments are reflected as either unrealized appreciation or depreciation. Securities for which market quotations are not readily available or deemed unreliable (e.g., an approved pricing service does not provide a price, a furnished price is in error, certain stale prices, or an event occurs that materially affects the furnished price) will be fair valued in accordance with procedures established in good faith under the general supervision of the Board.

 

Fair Value Measurements — 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 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 as follows:

 

● Level 1 – quoted prices in active markets for identical securities

● Level 2 – based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

● Level 3 – based on significant unobservable inputs (including a Fund’s own assumptions in determining the fair value of investments)

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. During the period ended June 30, 2020, there were no significant changes to the valuation policies and procedures.

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Sterling Capital Funds

Notes to Schedule of Portfolio Investments - Sterling Capital Ultra Short Bond Fund — (continued)

June 30, 2020 (Unaudited)

 

 

The summary of inputs used to determine the fair value of the Fund’s investments as of June 30, 2020 is as follows:

 

   Level 1–
Quoted Prices		   Level 2–
Other Significant
Observable Inputs		   Level 3–
Significant
Unobservable Inputs		   Total 
Assets:                
Investments in Securities                    
Sterling Capital Ultra Short Bond Fund  $307,556(a)  $26,613,195(b)  $—   $26,920,751 

 

 

(a)Represents money market funds and/or certain preferred stocks.

(b)Industries, countries or security types are disclosed in the Schedule of Portfolio Investments.

 

Cash and Cash Equivalents — The Fund considers liquid assets deposited with a bank, and certain short term debt instruments with original maturities of three months or less to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or investments. The Fund may invest its excess cash in the Federated Treasury Obligations Fund or a similar money market fund or other short-term investment.

 

Credit Enhancements — Certain obligations held in the Fund have credit enhancement or liquidity features that may, under certain circumstances, provide for repayment of principal and interest on the obligation upon demand date, interest rate reset date or final maturity. These enhancements may include: letters of credit; liquidity guarantees; security purchase agreements; tender option purchase agreements; and third party insurance (i.e., AMBAC).

 

Foreign Currency Translation — The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the latest foreign exchange bid quotation (from an approved pricing vendor) to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, income and expenses are translated at the prevailing rate of exchange, on the respective dates of such transactions. Such fluctuations are included with the net realized and unrealized gain or loss from investments and foreign currencies.

 

Forward Foreign Currency Exchange Contracts — The Fund may enter into forward foreign currency exchange contracts (foreign currency exchange risk) in connection with planned purchases or sales of securities or to hedge the U.S. dollar value of Funds securities denominated in a particular currency. A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. The Fund can be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or seller, is the unrealized gain of the contract. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain (loss) equal to the difference between the value at the time it was opened and the value at the time it was closed.

 

Mortgage Dollar Rolls — The Fund may sell mortgage-backed securities for delivery in the current month and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed-upon price. The market value of the securities that a Fund is required to purchase may decline below the agreed upon repurchase price of those securities. Pools of mortgages collateralizing those securities may have different prepayment histories than those sold. During the period between the sale and repurchase, a Fund will not be entitled to receive interest and principal payments on the securities sold. Proceeds of the sale will be invested in additional instruments for a Fund, and the income from these investments will generate income for a Fund. If such income does not exceed the income, capital appreciation and gain or loss that would have been realized on the securities sold as part of the dollar roll, the use of this technique will diminish the investment performance of a Fund compared with what the performance would have been without the use of dollar rolls. The Fund accounts for mortgage dollar roll transactions as purchases and sales. The Fund did not hold any mortgage dollar rolls during the period.

6

 

Sterling Capital Funds

Notes to Schedule of Portfolio Investments - Sterling Capital Ultra Short Bond Fund — (continued)

June 30, 2020 (Unaudited)

 

 

Risks Associated with Foreign Securities and Currencies — Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those countries. Certain foreign investments may also be subject to foreign withholding taxes.

 

When-Issued — The Fund may purchase securities on a “when-issued” basis. The Fund records when-issued securities on the trade date and pledge assets with a value at least equal to the purchase commitment for payment of the securities purchased. The value of the securities underlying when-issued or forward commitments to purchase securities, and any subsequent fluctuation in their value, is taken into account when determining the net asset value of the Fund commencing with the date the Fund agrees to purchase the securities. The Fund does not accrue interest or dividends on “when-issued” securities until the underlying securities are received.

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