MBS Total Return Fund

Fund Characteristics

As of 09/30/2022

30 Day SEC Yield (subsidized): 6.90%
30 Day SEC Yield (unsubsidized): 6.90%

Sector Allocation

As of 10/31/2022

Sector allocations are subject to change and should not be considered a recommendation to buy or sell any security.
RMBS: Residential Mortgage-Backed Securities
CMBS: Commercial Mortgage-Backed Securities
ABS: Asset-Backed Securities.

Non-Agency RMBS Allocation

As of 10/31/2022

Sector allocations are subject to change and should not be considered a recommendation to buy or sell any security.
Prime: Non-agency MBS collateralized with high quality mortgages that generally did not meet the maximum loan size underwriting criteria of the U.S. Government agencies, (GNMA, FNMA and Freddie Mac) but otherwise would qualify for agency guarantees.
Subprime: Non-agency MBS collateralized with mortgages failing to meet agency underwriting standards generally because of weak credit histories of the borrowers.
Alt-A: Non-agency MBS collateralized with mortgages failing to meet agency underwriting standards due to somewhat weak credit characteristics, incomplete documentation, or other reasons, but generally higher in credit quality than Subprime mortgage credit quality.
Option Arm: is an adjustable rate mortgage with several possible payment choices
NPL: Non-performing Loans
RPL: Re-performing Loans
Jumbo 2.0: is a type of financing that exceeds the limits set by the Federal Housing Finance Agency and cannot be purchased, guaranteed, or securitized by Fannie Mae or Freddie Mac.
Non-QM: is a loan that doesn’t meet the standards of a qualified mortgage and uses non-traditional methods of income verification to help a borrower get approved for a home loan.
CRT: Credit Risk Transfer
SFR: Single Family Rental

Credit Quality

As of 09/30/2022

Sector allocations are subject to change and should not be considered a recommendation to buy or sell any security.
Investment Grade: Credit ratings of AAA, AA, A, and BBB assessed by credit rating agencies.
Below Investment Grade: Credit ratings of BB or lower by credit rating agencies.
Credit quality distribution is determined by using the highest credit rating for each security from Moody's, Standard & Poor's, Fitch Ratings, DBRS, Morningstar and Kroll, five credit rating agencies providing credit assessments for mortgage-backed securities. 

Duration

As of 09/30/2022

Sector allocations are subject to change and should not be considered a recommendation to buy or sell any security.
Duration: Measure of a bond or bond portfolio's sensitivity to changes in interest rates. Generally, the longer the duration, the greater the price change relative to interest rate movements.

“Bloomberg®” and Bloomberg US MBS Index are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”) and have been licensed for use for certain purposes by Semper Capital Management, L.P. Bloomberg is not affiliated with Semper Capital Management, L.P., and Bloomberg does not approve, endorse, review, or recommend the Semper MBS Total Return Fund. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to the Semper MBS Total Return Fund.