COMMENTARY
|
3
|
MANAGEMENT’S DISCUSSION OF
|
|
FUND PERFORMANCE AND ANALYSIS
|
17
|
EXPENSE EXAMPLE
|
32
|
INVESTMENT HIGHLIGHTS
|
34
|
SCHEDULES OF INVESTMENTS
|
44
|
STATEMENTS OF ASSETS AND LIABILITIES
|
85
|
STATEMENTS OF OPERATIONS
|
88
|
STATEMENTS OF CHANGES IN NET ASSETS
|
91
|
FINANCIAL HIGHLIGHTS
|
96
|
NOTES TO FINANCIAL STATEMENTS
|
102
|
REPORT OF INDEPENDENT REGISTERED
|
|
PUBLIC ACCOUNTING FIRM
|
129
|
BASIS FOR TRUSTEES’ APPROVAL OF
|
|
INVESTMENT ADVISORY AGREEMENTS
|
131
|
REVIEW OF LIQUIDITY RISK MANAGEMENT PROGRAM
|
140
|
ADDITIONAL INFORMATION
|
141
|
1
|
CBUDX is the symbol for the CrossingBridge Ultra Short Duration Fund. RPHIX is the symbol for the RiverPark Short Term High Yield Fund. SPC is the symbol for the CrossingBridge Pre-Merger SPAC
ETF. CBLDX is the symbol for the CrossingBridge Low Duration High Yield Fund. RSIIX is the symbol for the RiverPark Strategic Income Fund. CBRDX is the symbol for the CrossingBridge Responsible Credit Fund. For further reference on the
specific funds, please see www.crossingbridgefunds.com and www.riverparkfunds.com/funds.
|
2
|
On August 1, 2023, Fitch downgraded the U.S. sovereign credit rating from AAA to AA+, warning that “risks have risen that the debt limit will not be raised or suspended before the x-date and
consequently that the government could begin to miss payments on some of its obligations.” Standard & Poors effected a downgrade to the same level on August 5, 2011 following a previous debt ceiling crisis that took the country to the
brink of default.
|
3
|
Mercer is an employee benefits and investment consultant.
|
4
|
Note that most vehicles through which one may invest in distressed securities are private funds that charge high management and incentive fees, reducing returns to the investor. In addition,
these funds will often have “lockup” periods, limiting liquidity.
|
5
|
For a primer on “creditor-on-creditor warfare”, read The Caesars Palace Coup by Sujeet Indap and Max Frumes.
|
1.
|
Merger and acquisition activity is robust with capital chasing production and consolidation opportunities in response to rising energy prices. Risk is
already rising. For example, in the Permian basin this year,6 nearly 44%E of
acquired reserves have consisted of more speculative proven, undeveloped (“PUD”) reserves, to which we, in our analysis, attribute little value. Furthermore, several recent transactions are being priced at modest premiums to proven developed
reserves (“PDP”), leaving little or no safety margin.
|
|
2.
|
As valuations rise, companies pursue the cheapest form of capital. Recently, debt financing has become more prevalent as a primary source of capital. In
fact, the energy sector is the highest dollar value issuer of junk bonds in 2023. With the futures curve for oil prices in “backwardation”7 the present value of
reserves is likely inflated, suggesting that collateral support for debt may be lower than perceived.
|
6
|
Located in western Texas and southeastern New Mexico, the Permian Basin is the highest producing oil field in the U.S.
|
7
|
Commodity price curves are “normal” or in “contango” when prices are lowest in the near term and are expected to rise as time passes. Curves in “backwardation” are the opposite with prices high
at present (“spot”) and expected to decline over time.
|
3.
|
Eventually, commodity prices drop and/or operating execution disappoints, potentially leading to over-levered companies with depleting assets.
|
|
4.
|
Companies are forced to rationalize their balance sheets and focus on cash flow to survive – some don’t make it.
|
|
5.
|
Wash – rinse – repeat.
|
•
|
Provided by institutions other than banks.
|
|
•
|
Issued by privately-owned borrowers who prefer a private transaction or, more likely, have no access to the public bond or bank loan markets due to their smaller size or complex credit story.
|
|
•
|
Tailored to the borrower’s specific needs in terms of size, repayment schedule, covenants, etc.
|
|
•
|
Backed by senior claims on issuers’ cash flow and/or assets.
|
8
|
We made multiple purchases over several days at varying prices. Assuming a weighted average purchase date of 2/6/23 and a weighted average purchase price of 95.8, the rate of return to a 2/1/25
repayment would be approximately 9.88%.
|
9
|
This iconic scene can be revisited at the following: https://www.youtube.com/watch?v=3MjxoaynCmk&ab_channel=SceneCity
|
10
|
“Small ball” is an offensive strategy in baseball that emphasizes getting runners on base and advancing them to scoring position, 2nd or 3rd base, via singles, bases on balls, stolen bases,
bunts, sacrifice flies, etc. The strategy de-emphasizes extra base hits, swinging for home runs, etc.
|
A
|
The return for the 6-month T-Bill is the compounded return of a generic on-the-run 6-month T-Bill purchased on 9/30/22 with proceeds from the 3/31/23 maturity reinvested in another 6-month
T-Bill that matures on 9/30/23. The return on the 12-month T-Bill is the yield of a generic one-year T-Bill as if purchased on 9/30/22. The return on the 2-year Treasury Note reflects the compounded monthly return of a 2-year Treasury Note as
if purchased on 9/30/22 and sold on 9/30/23. The returns on the funds managed by CrossingBridge and affiliates reflect the compound monthly returns of each fund for the twelve months ended 9/30/23. Standardized performance for the Funds can
be found here: CrossingBridge Ultra-Short Duration Fund: http://www.crossingbridgefunds.com/ultra-short-duration-fund. RiverPark Short Term High Yield Fund: http://www.riverparkfunds.com/short-term-high-yield-fund. CrossingBridge Pre-Merger
SPAC ETF: https://www.crossingbridgefunds.com/spac-etf. CrossingBridge Low Duration High Yield Fund: http://www.crossingbridgefunds.com/low-duration-high-yield-fund. RiverPark Strategic Income Fund:
http://www.crossingbridgefunds.com/riverpark-strategic-income-fund. CrossingBridge Responsible Credit Fund: https://www.crossingbridgefunds.com/responsible-credit-fund. Standardized performance for the Treasuries can be found here:
https://info.crossingbridgefunds.com/hubfs/Standardized%20Performance%20for%20Treasuries%20as%20of%209-30-23.pdf. Performance data quoted represents past performance; past performance does not guarantee
future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of a Fund may be lower or higher
than the performance quoted.
|
B
|
Private versus Liquid Credit, Mercer LLC, September 2023 (with permission)
|
C
|
Bank of America; data from February 28, 2011 through August 31, 2023
|
D
|
Bank of America; data from February 28, 2011 through August 31, 2023
|
E
|
Company filings and internal research
|
F
|
As of 9/30/23, exposure to the Exploration and Production sector was 1.68% in the CrossingBridge Low Duration High Yield Fund, 0.00% in the CrossingBridge Responsible Credit Fund, 3.61% in the
CrossingBridge Ultra-Short Duration Fund, 4.37% in RiverPark Short Term High Yield Fund and 1.34% in the RiverPark Strategic Income Fund.
|
G
|
E&P and Midstream Relative Value Update, Barclays, September 19, 2023, and Midstream Monthly Outlook: October 2023,
Wells Fargo, October 5, 2023
|
H
|
Bank of America – Reflects the range of credit spreads for each asset class over the five-year period ended September 29, 2023. Investment grade spreads reflect the credit spread for the ICE
BofA US Corporate Index. High yield spreads reflect the credit spread for the ICE BofA US High Yield Corporate Index. CLO spreads reflect the market spread over the US Secured Overnight Financing Rate (SOFR) for 5-year floating rate tranches.
CMBS spreads reflect the market spread over the Treasury rate for on-the-run fixed rate conduit structures (multi-asset, multi-sector) with a 3-year maturity for AAA tranches and a 10-year maturity for all other tranches
|
I
|
Pitchbook vintage year data
|
J
|
As of 6/30/23, our position in FXI Holdings 12.25% Secured Notes due 11/15/26 represented 0.71% of the CrossingBridge Low Duration High Yield Fund and 0.69% of the RiverPark Strategic Income
Fund. As of 9/30/23, our position in these bonds represented 0.00% of the CrossingBridge Low Duration High Yield Fund and the RiverPark Strategic Income Fund.
|
K
|
As of 6/30/23, our position in the NGL Energy 6.125% Senior Notes represented 0.00% of the CrossingBridge Ultra-Short Duration Fund and 0.00% of the RiverPark Short Term High Yield Fund. As of
9/30/23, our position in the NGL Energy 6.125% Senior Notes represented 2.44% of the CrossingBridge Ultra-Short Duration Fund and 2.57% of the RiverPark Short Term High Yield Fund. As of 6/30/23, our position in the NGL Energy 7.50% Senior
Secured Notes represented 1.48% of the CrossingBridge Low Duration High Yield Fund and 1.58% of the RiverPark Strategic Income Fund. As of 9/30/23, our position in the NGL Energy 7.50% Senior Secured Notes represented 1.39% of the
CrossingBridge Low Duration High Yield Fund and 1.14% of the RiverPark Strategic Income Fund. As of 6/30/23, our position in the NGL Energy Series B Preferred Stock represented 0.47% of the CrossingBridge Responsible Credit Fund and 0.46% of
the RiverPark Strategic Income Fund. As of 9/30/23, our position in the NGL Energy Series B Preferred represented 0.44% of the CrossingBridge Responsible Credit Fund and 0.33% of the RiverPark Strategic Income Fund.
|
L
|
As of 6/30/23, our position in the Georg Jensen Secured Floating Rate Notes represented 1.13% of the CrossingBridge Low Duration High Yield Fund, 2.62% of the CrossingBridge Responsible Credit
Fund and 1.10% of the CrossingBridge Ultra-Short Duration Fund. As of 9/30/23, our position in the Georg Jensen Secured Floating Rate Notes represented 0.11% of the CrossingBridge Low Duration High Yield Fund and 0.00% of the CrossingBridge
Responsible Credit Fund and the CrossingBridge Ultra-Short Duration Fund.
|
M
|
Bloomberg
|
N
|
Moneyball: The Art of Winning an Unfair Game, Michael Lewis, 2003
|
•
|
Although the market is not necessarily cheap, it is also not expensive. Opportunities will arise from uncertainty, volatility, flow of funds and a “day of reckoning” among borrowers.
|
|
•
|
Inflation is expected to decline but will remain. The Fed will continue rate increases. Although it may ultimately pause, the Fed won’t pivot unless systematic risk emerges.
|
|
•
|
Corporations are in pretty good shape, but the differences between the “haves” and the “have nots” are likely to widen. Regardless, profit margins will narrow. Inflation in the cost of raw
materials and labor, as well as the Fed’s efforts to reduce demand, will pressure profit margins.
|
|
•
|
Higher interest rates have increased the cost of debt and reduced asset valuations.
|
|
•
|
The leveraged loan market will present opportunistic investments. Overall credit quality in the loan market has improved significantly since mid-2020, which should provide us with the
opportunity to invest in leveraged loans that provide both better credit quality and higher yields, given the rise in rates.
|
|
•
|
Bond spreads are “middle of the road” – not cheap, not expensive – but provide improved return versus risk.
|
1
|
“Dry powder”, in the context of our portfolios, is defined as cash and investments that are expected to be repaid within 90 days as a result of call, redemption or maturity as well as pre-merger
special purpose acquisition companies (SPACs).
|
•
|
Although the market is not necessarily cheap, it is also not expensive. Opportunities will arise from uncertainty, volatility, flow of funds and a “day of reckoning” among borrowers.
|
|
•
|
Inflation is expected to decline but will remain. The Fed will continue rate increases. Although it may ultimately pause, the Fed won’t pivot unless systematic risk emerges.
|
|
•
|
Corporations are in pretty good shape, but the differences between the “haves” and the “have nots” are likely to widen. Regardless, profit margins will narrow. Inflation in the cost of raw
materials and labor, as well as the Fed’s efforts to reduce demand, will pressure profit margins.
|
|
•
|
Higher interest rates have increased the cost of debt and reduced asset valuations.
|
|
•
|
The leveraged loan market will present opportunistic investments. Overall credit quality in the loan market has improved significantly since mid-2020, which should provide us with the
opportunity to invest in leveraged loans that provide both better credit quality and higher yields, given the rise in rates.
|
|
•
|
Bond spreads are “middle of the road” – not cheap, not expensive – but provide improved return versus risk.
|
1
|
“Dry powder”, in the context of our portfolios, is defined as cash and investments that are expected to be repaid within 90 days as a result of call, redemption or maturity as well as pre-merger
special purpose acquisition companies (SPACs).
|
•
|
Although the market is not necessarily cheap, it is also not expensive. Opportunities will arise from uncertainty, volatility, flow of funds and a “day of reckoning” among borrowers.
|
|
•
|
Inflation is expected to decline but will remain. The Fed will continue rate increases. Although it may ultimately pause, the Fed won’t pivot unless systematic risk emerges.
|
|
•
|
Corporations are in pretty good shape, but the differences between the “haves” and the “have nots” are likely to widen. Regardless, profit margins will narrow. Inflation in the cost of raw
materials and labor, as well as the Fed’s efforts to reduce demand, will pressure profit margins.
|
|
•
|
Higher interest rates have increased the cost of debt and reduced asset valuations.
|
|
•
|
The leveraged loan market will present opportunistic investments. Overall credit quality in the loan market has improved significantly since mid-2020, which should provide us with the
opportunity to invest in leveraged loans that provide both better credit quality and higher yields, given the rise in rates.
|
|
•
|
Bond spreads are “middle of the road” – not cheap, not expensive – but provide improved return versus risk.
|
1
|
“Dry powder”, in the context of our portfolios, is defined as cash and investments that are expected to be repaid within 90 days as a result of call, redemption or maturity as well as pre-merger
special purpose acquisition companies (SPACs).
|
•
|
Although the market is not necessarily cheap, it is also not expensive. Opportunities will arise from uncertainty, volatility, flow of funds and a “day of reckoning” among borrowers.
|
•
|
Inflation is expected to decline but will remain. The Fed will continue rate increases. Although it may ultimately pause, the Fed won’t pivot unless systematic risk emerges.
|
|
•
|
Corporations are in pretty good shape, but the differences between the “haves” and the “have nots” are likely to widen. Regardless, profit margins will narrow. Inflation in the cost of raw
materials and labor, as well as the Fed’s efforts to reduce demand, will pressure profit margins.
|
|
•
|
Higher interest rates have increased the cost of debt and reduced asset valuations.
|
|
•
|
The leveraged loan market will present opportunistic investments. Overall credit quality in the loan market has improved significantly since mid-2020, which should provide us with the
opportunity to invest in leveraged loans that provide both better credit quality and higher yields, given the rise in rates.
|
|
•
|
Bond spreads are “middle of the road” – not cheap, not expensive – but provide improved return versus risk.
|
1
|
“Dry powder”, in the context of our portfolios, is defined as cash and investments that are expected to be repaid within 90 days as a result of call, redemption or maturity as well as pre-merger
special purpose acquisition companies (SPACs).
|
Beginning
|
Ending
|
|||
Annualized
|
Account Value
|
Account Value
|
Expenses
|
|
Expense
|
April 1,
|
September 30,
|
Paid During
|
|
Ratio
|
2023
|
2023
|
Period*
|
|
CrossingBridge
|
||||
Low Duration High Yield Fund
|
||||
Institutional Class
|
||||
Based on actual fund return
|
0.90%
|
$1,000.00
|
$1,033.50
|
$4.59
|
Based on hypothetical 5% return
|
0.90%
|
1,000.00
|
1,020.56
|
4.56
|
CrossingBridge
|
||||
Responsible Credit Fund
|
||||
Institutional Class
|
||||
Based on actual fund return
|
0.90%
|
1,000.00
|
1,033.70
|
4.59
|
Based on hypothetical 5% return
|
0.90%
|
1,000.00
|
1,020.56
|
4.56
|
CrossingBridge
|
||||
Ultra-Short Duration Fund
|
||||
Institutional Class
|
||||
Based on actual fund return
|
0.90%
|
1,000.00
|
1,028.40
|
4.58
|
Based on hypothetical 5% return
|
0.90%
|
1,000.00
|
1,020.56
|
4.56
|
CrossingBridge
|
||||
Pre-Merger SPAC ETF
|
||||
Based on actual fund return
|
0.80%
|
1,000.00
|
1,031.10
|
4.07
|
Based on hypothetical 5% return
|
0.80%
|
1,000.00
|
1,021.06
|
4.05
|
RiverPark
|
||||
Strategic Income Fund
|
||||
Institutional Class
|
||||
Based on actual fund return
|
0.93%
|
1,000.00
|
1,041.60
|
4.76
|
Based on hypothetical 5% return
|
0.93%
|
1,000.00
|
1,020.41
|
4.71
|
RiverPark
|
||||
Strategic Income Fund
|
||||
Retail Class
|
||||
Based on actual fund return
|
1.19%
|
1,000.00
|
1,040.50
|
6.09
|
Based on hypothetical 5% return
|
1.19%
|
1,000.00
|
1,019.10
|
6.02
|
*
|
Expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the period (183 days), divided by
365 days to reflect the six month period ended September 30, 2023.
|
One
|
Three
|
Five
|
Since
|
|
Year
|
Years
|
Years
|
February 1, 20181
|
|
Institutional Class Shares
|
7.02%
|
5.25%
|
4.01%
|
3.89%
|
ICE BofA 0-3 Year U.S. High Yield
|
||||
Excluding Financials Index
|
9.63%
|
5.14%
|
3.70%
|
3.91%
|
ICE BofA 0-3 Year
|
||||
U.S. Treasury Index
|
3.14%
|
-0.10%
|
1.29%
|
1.27%
|
ICE BofA 1-3 Year
|
||||
U.S. Corporate Bond Index
|
3.93%
|
-0.31%
|
1.71%
|
1.69%
|
One
|
Since
|
|
Year
|
June 30, 20211
|
|
Institutional Class Shares
|
7.45%
|
3.71%
|
ICE BofA U.S. High Yield Index
|
10.19%
|
-1.98%
|
ICE BofA 3-7 Year U.S. Treasury Index
|
1.19%
|
-4.65%
|
ICE BofA U.S. Corporate Index
|
3.99%
|
-6.95%
|
One
|
Since
|
|
Year
|
June 30, 20211
|
|
Institutional Class Shares
|
5.44%
|
2.92%
|
ICE BofA 0-1 Year U.S. Corporate Index
|
5.03%
|
1.76%
|
ICE BofA 0-1 Year U.S. Treasury Index
|
4.35%
|
1.83%
|
ICE BofA 0-3 Year U.S. Fixed Rate
|
||
Asset Backed Securities Index
|
3.98%
|
0.45%
|
One
|
Since
|
|
Year
|
September 20, 20211
|
|
Net Asset Value
|
6.63%
|
4.67%
|
Market Value
|
6.74%
|
4.74%
|
ICE BofA 0-3 Year U.S. Treasury Index
|
3.14%
|
-0.21%
|
One
|
Three
|
Five
|
Ten
|
|
Year
|
Years
|
Years
|
Years
|
|
Institutional Class Shares
|
6.55%
|
6.11%
|
3.85%
|
3.97%
|
Retail Class Shares
|
6.30%
|
5.94%
|
3.66%
|
3.73%
|
Bloomberg U.S. Aggregate Bond Index1
|
0.64%
|
-5.21%
|
0.10%
|
1.13%
|
ICE BofA U.S. High Yield Index1
|
10.19%
|
1.82%
|
2.80%
|
4.16%
|
ICE BofA 3-7 Year U.S. Treasury Index
|
1.19%
|
-4.02%
|
0.57%
|
0.84%
|
ICE BofA U.S. Corporate Index
|
3.99%
|
-4.67%
|
1.07%
|
2.31%
|
1
|
The Fund has changed its primary broad-based index from the Bloomberg U.S. Aggregate Bond Index to the ICE BofA U.S. High Yield Index because the Adviser believes the ICE BofA U.S. High Yield
Index is more representative of the investment approach used to manage the Fund.
|
1
|
The Fund has changed its primary broad-based index from the Bloomberg U.S. Aggregate Bond Index to the ICE BofA U.S. High Yield Index
because the Adviser believes the ICE BofA U.S. High Yield Index is more representative of the investment approach used to manage the Fund.
|
Schedule of Investments
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
ASSET BACKED SECURITIES – 3.26%
|
||||||||
Finance and Insurance – 0.94%
|
||||||||
HTS Fund I LLC
|
||||||||
2021-1, 1.410%, 08/25/2036 (a)
|
5,772,657
|
$
|
4,911,118
|
|||||
MMAF Equipment Finance LLC
|
||||||||
2022-B, 5.570%, 09/09/2025 (a)
|
822,169
|
820,037
|
||||||
5,731,155
|
||||||||
Transportation and Warehousing – 2.32%
|
||||||||
Hawaiian Airlines 2013-1 Class A Pass Through Certificates
|
||||||||
2013-1, 3.900%, 01/15/2026
|
15,791,400
|
14,048,598
|
||||||
TOTAL ASSET BACKED SECURITIES (Cost $20,440,059)
|
19,779,753
|
|||||||
BANK LOANS – 12.09%
|
||||||||
Construction – 0.21%
|
||||||||
Lealand Finance
|
||||||||
8.431% (1 Month SOFR + 3.000%), 06/30/2024 (b)
|
1,750,984
|
1,269,463
|
||||||
Information – 3.46%
|
||||||||
Cengage Learning, Inc.
|
||||||||
10.323% (3 Month SOFR + 4.750%), 07/14/2026 (b)
|
14,593,803
|
14,548,197
|
||||||
Lions Gate Capital Holdings LLC
|
||||||||
7.666% (1 Month SOFR + 2.250%), 03/24/2025 (b)
|
6,436,265
|
6,460,375
|
||||||
21,008,572
|
||||||||
Manufacturing – 6.21%
|
||||||||
Chobani LLC
|
||||||||
8.931% (1 Month LIBOR + 3.500%), 10/23/2027 (b)
|
2,480,818
|
2,485,470
|
||||||
Diebold Nixdorf, Inc.
|
||||||||
12.891% (3 Month SOFR + 7.500%), 08/11/2028 (b)
|
5,563,760
|
5,589,269
|
||||||
Elevate Textiles, Inc.
|
||||||||
13.892% (3 Month LIBOR + 8.500%), 09/30/2027 (b)
|
8,783,985
|
8,773,005
|
||||||
First Brands Group LLC
|
||||||||
14.381% (6 Month SOFR + 8.500%), 03/24/2027 (b)
|
1,829,566
|
1,805,098
|
||||||
10.881% (6 Month SOFR + 5.000%), 03/30/2027 (b)
|
9,512,425
|
9,388,198
|
||||||
K&N Parent, Inc.
|
||||||||
13.431% (3 Month LIBOR + 8.000%), 02/14/2027 (b)
|
8,053,577
|
8,193,861
|
||||||
10.681% (3 Month LIBOR + 5.250%), 08/14/2027 (b)
|
1,814,983
|
1,406,612
|
||||||
37,641,513
|
||||||||
Mining, Quarrying, and Oil and Gas Extraction – 0.92%
|
||||||||
Quarternorth Energy Holding, Inc.
|
||||||||
13.431% (1 Month LIBOR + 8.000%), 08/27/2026 (b)
|
5,568,985
|
5,557,374
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
BANK LOANS – 12.09% (CONTINUED)
|
||||||||
Professional, Scientific, and Technical Services – 0.55%
|
||||||||
Getty Images, Inc.
|
||||||||
9.990% (3 Month LIBOR + 4.500%), 02/19/2026 (b)
|
3,324,805
|
$
|
3,338,104
|
|||||
Retail Trade – 0.74%
|
||||||||
The Container Store, Inc.
|
||||||||
10.402% (3 Month LIBOR + 4.750%), 01/31/2026 (b)
|
4,930,128
|
4,500,836
|
||||||
TOTAL BANK LOANS (Cost $74,987,977)
|
73,315,862
|
|||||||
COMMERCIAL PAPER – 17.27%
|
||||||||
Information – 1.88%
|
||||||||
Crown Castle International Corp.
|
||||||||
5.346%, 11/02/2023 (c)
|
11,472,000
|
11,408,769
|
||||||
Manufacturing – 9.26%
|
||||||||
Bacardi-Martini B.V.
|
||||||||
5.881%, 10/24/2023 (c)
|
10,398,000
|
10,358,148
|
||||||
Campbell Soup Co.
|
||||||||
5.719%, 10/05/2023 (c)
|
5,930,000
|
5,924,639
|
||||||
General Motors Financial Co., Inc.
|
||||||||
5.801%, 10/11/2023 (c)
|
15,250,000
|
15,221,757
|
||||||
International Flavors & Fragrances, Inc.
|
||||||||
5.502%, 10/26/2023 (c)
|
10,221,000
|
10,178,616
|
||||||
Jabil, Inc.
|
||||||||
5.884%, 10/06/2023 (c)
|
14,488,000
|
14,470,689
|
||||||
56,153,849
|
||||||||
Mining, Quarrying, and Oil and Gas Extraction – 4.23%
|
||||||||
Energy Transfer LP
|
||||||||
5.806%, 10/04/2023 (c)
|
8,751,000
|
8,744,038
|
||||||
Glencore Funding LLC
|
||||||||
5.972%, 10/17/2023 (c)
|
9,578,000
|
9,551,234
|
||||||
Targa Resources Corp.
|
||||||||
5.808%, 10/23/2023 (c)
|
7,351,000
|
7,325,424
|
||||||
25,620,696
|
||||||||
Retail Trade – 1.90%
|
||||||||
Walgreens Boots Alliance, Inc.
|
||||||||
5.437%, 10/13/2023 (c)
|
11,556,000
|
11,529,117
|
||||||
TOTAL COMMERCIAL PAPER (Cost $104,733,360)
|
104,712,431
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
COMMON STOCKS – 0.04%
|
||||||||
Manufacturing – 0.04%
|
||||||||
K&N Parent, Inc. (d)(k)
|
152,899
|
$
|
229,349
|
|||||
TOTAL COMMON STOCKS (Cost $152,899)
|
229,349
|
|||||||
CONVERTIBLE BONDS – 2.01%
|
||||||||
Information – 2.01%
|
||||||||
BuzzFeed, Inc.
|
||||||||
8.500%, 12/03/2026 (a)
|
7,900,000
|
5,080,024
|
||||||
Leafly Holdings, Inc.
|
||||||||
8.000%, 01/31/2025 (d)(e)
|
7,245,000
|
6,158,250
|
||||||
UpHealth, Inc.
|
||||||||
6.250%, 06/15/2026 (a)(l)
|
3,173,000
|
936,035
|
||||||
TOTAL CONVERTIBLE BONDS (Cost $17,634,053)
|
12,174,309
|
|||||||
CORPORATE BONDS – 55.04%
|
||||||||
Accommodation and Food Services – 5.38%
|
||||||||
Aramark Services, Inc.
|
||||||||
6.375%, 05/01/2025 (a)
|
17,439,000
|
17,716,978
|
||||||
Nathan’s Famous, Inc.
|
||||||||
6.625%, 11/01/2025 (a)
|
5,496,000
|
5,483,606
|
||||||
Yum! Brands, Inc.
|
||||||||
3.875%, 11/01/2023
|
9,417,000
|
9,392,191
|
||||||
32,592,775
|
||||||||
Arts, Entertainment, and Recreation – 0.80%
|
||||||||
DEAG Deutsche Entertainment AG
|
||||||||
8.000%, 07/12/2026 (f)(g)
|
EUR 4,486,000
|
4,836,076
|
||||||
Construction – 0.56%
|
||||||||
Five Point Operating Co LP / Five Point Capital Corp.
|
||||||||
7.875%, 11/15/2025 (a)
|
2,434,000
|
2,299,369
|
||||||
K Hovnanian Enterprises, Inc.
|
||||||||
10.000%, 11/15/2025 (a)
|
1,066,000
|
1,071,417
|
||||||
3,370,786
|
||||||||
Educational Services – 0.07%
|
||||||||
Hercules Achievement Inc / Varsity Brands Holding Co, Inc.
|
||||||||
13.503% (3 Month SOFR + 8.262%), 12/22/2024 (a)(b)
|
437,000
|
435,918
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
CORPORATE BONDS – 55.04% (CONTINUED)
|
||||||||
Finance and Insurance – 7.69%
|
||||||||
Freedom Mortgage Corp.
|
||||||||
8.250%, 04/15/2025 (a)
|
13,293,000
|
$
|
13,308,194
|
|||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp.
|
||||||||
4.750%, 09/15/2024
|
3,306,000
|
3,187,094
|
||||||
6.375%, 12/15/2025
|
7,861,000
|
7,487,845
|
||||||
Nordic Capital II
|
||||||||
10.970% (3 Month NIBOR + 6.250%), 06/30/2024 (b)(f)(h)
|
NOK 18,400,000
|
1,720,165
|
||||||
Novedo Holding AB
|
||||||||
10.564% (3 Month STIBOR + 6.500%), 11/26/2024 (b)(f)(i)
|
SEK 38,750,000
|
3,449,197
|
||||||
Stockwik Forvaltning AB
|
||||||||
12.106% (3 Month STIBOR + 8.000%), 03/20/2026 (b)(f)(i)
|
SEK 45,000,000
|
3,902,549
|
||||||
StoneX Group, Inc.
|
||||||||
8.625%, 06/15/2025 (a)
|
13,460,000
|
13,585,111
|
||||||
46,640,155
|
||||||||
Information – 13.16%
|
||||||||
American Greetings Corp.
|
||||||||
8.750%, 04/15/2025 (a)
|
4,008,000
|
3,971,708
|
||||||
Azerion Group N.V.
|
||||||||
10.628% (3 Month EURIBOR + 6.750%), 10/02/2026 (b)(f)(g)
|
EUR 6,209,000
|
6,433,177
|
||||||
Azerion Holding BV
|
||||||||
7.250%, 04/28/2024 (f)(g)
|
EUR 2,603,000
|
2,758,847
|
||||||
Cengage Learning, Inc.
|
||||||||
9.500%, 06/15/2024 (a)
|
1,038,000
|
1,045,065
|
||||||
Charter Communications Operating LLC /
|
||||||||
Charter Communications Operating Capital
|
||||||||
4.500%, 02/01/2024
|
9,889,000
|
9,836,420
|
||||||
7.284% (3 Month SOFR + 1.912%), 02/01/2024 (b)
|
2,043,000
|
2,050,062
|
||||||
Clear Channel International BV
|
||||||||
6.625%, 08/01/2025 (a)(f)
|
8,632,000
|
8,543,998
|
||||||
Connect Finco SARL / Connect US Finco LLC
|
||||||||
6.750%, 10/01/2026 (a)(f)
|
6,937,000
|
6,478,515
|
||||||
Go North Group AB
|
||||||||
14.974%, 02/09/2026 (f)
|
11,087,061
|
11,142,496
|
||||||
14.974% (3 Month STIBOR + 11.000%), 02/09/2026 (b)(f)(i)
|
SEK 12,500,000
|
1,158,409
|
||||||
Impala BondCo Plc
|
||||||||
12.868% (3 Month STIBOR + 9.000%), 10/20/2024 (b)(f)(i)
|
SEK 11,250,000
|
901,401
|
||||||
INNOVATE Corp.
|
||||||||
8.500%, 02/01/2026 (a)
|
7,309,000
|
5,618,574
|
||||||
OpNet S.p.A.
|
||||||||
10.972% (3 Month EURIBOR + 7.000%), 02/09/2026 (a)(b)(f)(g)
|
EUR 12,701,000
|
13,512,059
|
||||||
TEGNA, Inc.
|
||||||||
4.750%, 03/15/2026 (a)
|
6,694,000
|
6,350,163
|
||||||
79,800,894
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
CORPORATE BONDS – 55.04% (CONTINUED)
|
||||||||
Manufacturing – 20.05%
|
||||||||
Ball Corp.
|
||||||||
4.000%, 11/15/2023
|
18,594,000
|
$
|
18,542,645
|
|||||
Cannabist Co. Holdings, Inc.
|
||||||||
9.500%, 02/03/2026 (f)
|
17,087,000
|
14,780,255
|
||||||
Chobani LLC / Chobani Finance Corp, Inc.
|
||||||||
7.500%, 04/15/2025 (a)
|
6,160,000
|
6,107,886
|
||||||
Coty, Inc.
|
||||||||
5.000%, 04/15/2026 (a)
|
1,961,000
|
1,887,266
|
||||||
Fiven ASA
|
||||||||
10.784% (3 Month EURIBOR + 6.850%), 06/21/2024 (b)(f)(g)
|
EUR 11,310,000
|
12,136,861
|
||||||
Georg Jensen A/S
|
||||||||
10.788% (3 Month EURIBOR + 7.000%), 05/14/2025 (b)(f)(g)
|
EUR 600,000
|
660,893
|
||||||
Hillenbrand, Inc.
|
||||||||
5.750%, 06/15/2025
|
3,542,000
|
3,493,953
|
||||||
Horizon Therapeutics USA, Inc.
|
||||||||
5.500%, 08/01/2027 (a)
|
16,780,000
|
17,241,450
|
||||||
InfraBuild Australia Pty Ltd.
|
||||||||
12.000%, 10/01/2024 (a)(f)
|
20,431,000
|
19,951,604
|
||||||
LR Global Holding GmbH
|
||||||||
11.033% (3 Month EURIBOR + 7.250%), 02/03/2025 (b)(f)(g)
|
EUR 5,034,000
|
5,189,142
|
||||||
ProSomnus, Inc.
|
||||||||
9.000%, 12/06/2025 (d)(e)
|
7,387,240
|
6,533,600
|
||||||
Secop Group Holding GmbH
|
||||||||
12.372% (3 Month EURIBOR + 8.400%), 12/29/2026 (b)(f)(g)
|
EUR 2,859,000
|
3,052,905
|
||||||
Valvoline, Inc.
|
||||||||
4.250%, 02/15/2030 (a)
|
12,242,000
|
12,034,792
|
||||||
121,613,252
|
||||||||
Mining, Quarrying, and Oil and Gas Extraction – 2.56%
|
||||||||
Mime Petroleum AS
|
||||||||
9.750%, 09/17/2026 (a)(f)
|
3,281,729
|
3,084,825
|
||||||
NGL Energy Operating LLC / NGL Energy Finance Corp.
|
||||||||
7.500%, 02/01/2026 (a)
|
8,524,000
|
8,436,945
|
||||||
Tacora Resources, Inc.
|
||||||||
13.000%, 10/08/2023 (a)(e)(f)
|
2,520,292
|
2,520,292
|
||||||
Waldorf Energy Finance Plc
|
||||||||
12.000%, 03/02/2026 (f)
|
1,800,000
|
1,505,711
|
||||||
15,547,773
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
CORPORATE BONDS – 55.04% (CONTINUED)
|
||||||||
Professional, Scientific, and Technical Services – 1.58%
|
||||||||
Aker Horizons ASA
|
||||||||
7.930% (3 Month NIBOR + 3.250%), 08/15/2025 (b)(f)(h)
|
NOK 5,000,000
|
$
|
453,413
|
|||||
Getty Images, Inc.
|
||||||||
9.750%, 03/01/2027 (a)
|
6,301,000
|
6,301,086
|
||||||
Rebellion Operations AB
|
||||||||
12.034% (3 Month STIBOR + 8.000%), 05/20/2025 (b)(f)(i)
|
SEK 32,500,000
|
2,818,653
|
||||||
9,573,152
|
||||||||
Real Estate and Rental and Leasing – 0.18%
|
||||||||
REX – Real Estate Exchange, Inc.
|
||||||||
6.000%, 03/15/2025 (a)
|
1,125,000
|
1,102,950
|
||||||
Retail Trade – 0.99%
|
||||||||
Advance Auto Parts, Inc.
|
||||||||
5.900%, 03/09/2026
|
1,500,000
|
1,449,465
|
||||||
Anagram International Inc / Anagram Holdings LLC
|
||||||||
15.000%, 08/15/2025 (a)(l)
|
4,755,410
|
4,543,580
|
||||||
5,993,045
|
||||||||
Transportation and Warehousing – 0.85%
|
||||||||
Floatel International Ltd.
|
||||||||
11.250%, 03/23/2026 (a)(f)
|
1,443,000
|
1,478,757
|
||||||
Uber Technologies, Inc.
|
||||||||
7.500%, 05/15/2025 (a)
|
3,647,000
|
3,673,897
|
||||||
5,152,654
|
||||||||
Utilities – 1.17%
|
||||||||
IEA Energy Services LLC
|
||||||||
6.625%, 08/15/2029 (a)
|
7,385,000
|
7,098,831
|
||||||
TOTAL CORPORATE BONDS (Cost $341,106,300)
|
333,758,261
|
|||||||
MORTGAGE BACKED SECURITIES – 3.62%
|
||||||||
Finance and Insurance – 3.62%
|
||||||||
BX Commercial Mortgage Trust 2021-VOLT
|
||||||||
2021-VOLT, 6.547% (1 Month SOFR + 1.214%),
|
||||||||
09/15/2036 (a)(b)
|
6,354,000
|
6,115,761
|
||||||
CAMB Commercial Mortgage Trust 2019-LIFE
|
||||||||
2019-LIFE, 7.130% (1 Month SOFR + 1.797%),
|
||||||||
12/15/2037 (a)(b)
|
5,434,000
|
5,375,842
|
||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4
|
||||||||
2019-ICE4, 6.980% (1 Month SOFR + 1.647%),
|
||||||||
05/15/2036 (a)(b)
|
1,437,424
|
1,428,451
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
MORTGAGE BACKED SECURITIES – 3.62% (CONTINUED)
|
||||||||
Finance and Insurance – 3.62% (Continued)
|
||||||||
Life 2022-BMR Mortgage Trust
|
||||||||
A-1, 6.627% (1 Month SOFR + 1.295%), 05/15/2039 (a)(b)
|
7,145,000
|
$
|
7,026,232
|
|||||
SMRT 2022-MINI
|
||||||||
2022-MINI, 6.683% (1 Month SOFR + 1.350%),
|
||||||||
01/15/2039 (a)(b)
|
2,056,000
|
2,001,930
|
||||||
TOTAL MORTGAGE BACKED SECURITIES
|
||||||||
(Cost $21,887,344)
|
21,948,216
|
|||||||
PREFERRED STOCKS – 1.68%
|
||||||||
Health Care and Social Assistance – 1.68%
|
||||||||
SWK Holdings Corp.
|
||||||||
9.000%, 01/31/2027
|
407,944
|
10,198,600
|
||||||
TOTAL PREFERRED STOCKS (Cost $10,198,600)
|
10,198,600
|
|||||||
REAL ESTATE INVESTMENT TRUSTS – 0.37%
|
||||||||
Real Estate and Rental and Leasing – 0.37%
|
||||||||
Gladstone Land Corp.
|
95,462
|
2,267,223
|
||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS
|
||||||||
(Cost $2,267,188)
|
2,267,223
|
|||||||
Number
|
||||||||
of Shares
|
||||||||
SPECIAL PURPOSE ACQUISITION COMPANIES – 0.54%
|
||||||||
Alpha Partners Technology
|
||||||||
Merger Corp. Founder Shares (d)(e)(f)(k)
|
9,341
|
750
|
||||||
Berenson Acquisition Corp. Founder Shares (d)(e)(k)
|
19,099
|
—
|
||||||
Haymaker Acquisition Corp. 4 (f)
|
325,000
|
3,305,250
|
||||||
Revelstone Capital Acquisition Corp. Founder Shares (d)(e)(k)
|
10,125
|
655
|
||||||
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES
|
||||||||
(Cost $3,207,588)
|
3,306,655
|
|||||||
WARRANTS – 0.01%
|
||||||||
Financials Acquisition Corp. (f)(j)(k)
|
||||||||
Expiration: 04/04/2027, Exercise Price: $11.50
|
95,450
|
3,494
|
||||||
Hambro Perks Acquisition Corp. (d)(e)(f)(j)(k)
|
||||||||
Expiration: 01/07/2026, Exercise Price: $11.50
|
108,901
|
—
|
||||||
Haymaker Acquisition Corp. 4 (f)(k)
|
||||||||
Expiration: 05/31/2028, Exercise Price: $11.50
|
162,500
|
40,625
|
Schedule of Investments (Continued)
|
Number
|
||||||||
of Shares
|
Value
|
|||||||
WARRANTS – 0.01% (CONTINUED)
|
||||||||
Hiro Metaverse Acquisitions I SA (d)(f)(j)(k)
|
||||||||
Expiration: 12/21/2026, Exercise Price: $11.50
|
67,581
|
$
|
12,781
|
|||||
Leafly Holdings, Inc. (k)
|
||||||||
Expiration: 11/07/2026, Exercise Price: $11.50
|
36,943
|
1,293
|
||||||
ProSomnus, Inc. (k)
|
||||||||
Expiration: 04/20/2028, Exercise Price: $11.50
|
73,872
|
4,801
|
||||||
Tacora Resources, Inc. (d)(e)(k)
|
||||||||
Expiration: 05/11/2025, Exercise Price: $0.01
|
37,828,768
|
—
|
||||||
TOTAL WARRANTS (Cost $95,477)
|
62,994
|
|||||||
MONEY MARKET FUNDS – 7.06%
|
||||||||
First American Government Obligations
|
||||||||
Fund – Class X, 5.265% (m)
|
11,458,612
|
11,458,612
|
||||||
First American Treasury Obligations
|
||||||||
Fund – Class X, 5.267% (m)
|
31,341,238
|
31,341,238
|
||||||
TOTAL MONEY MARKET FUNDS (Cost $42,799,850)
|
42,799,850
|
|||||||
Total Investments (Cost $639,510,695) – 102.99%
|
624,553,503
|
|||||||
Liabilities in Excess of Other Assets – (2.99)%
|
(18,123,473
|
)
|
||||||
Total Net Assets – 100.00%
|
$
|
606,430,030
|
†
|
Face amount in U.S. Dollar unless otherwise indicated.
|
(a)
|
Securities issued pursuant to Rule 144A under the Securities Act of 1933 and Regulation S under the Securities Act of 1933. Aggregate value of these securities is $228,580,266 or 37.69% of
Fund’s net assets.
|
(b)
|
Variable rate security. The rate shown represents the rate at September 30, 2023.
|
(c)
|
The rate shown is the effective yield.
|
(d)
|
Illiquid security.
|
(e)
|
Security valued using unobservable inputs.
|
(f)
|
Foreign issued security.
|
(g)
|
Principal amount denominated in Euros.
|
(h)
|
Principal amount denominated in Norwegian Krone.
|
(i)
|
Principal amount denominated in Swedish Krona.
|
(j)
|
Holding denominated in British Pound.
|
(k)
|
Non-income producing security.
|
(l)
|
Security in default.
|
(m)
|
Seven day yield as of September 30, 2023.
|
Schedule of Investments (Continued)
|
Schedule of Forward Currency Exchange Contracts
|
Currency
|
USD Value at
|
Currency
|
USD Value at
|
Unrealized
|
||||||||||||||||||
Settlement
|
Counter-
|
to be
|
September 30,
|
to be
|
September 30,
|
Appreciation/
|
||||||||||||||||
Date
|
party
|
Delivered
|
2023
|
Received
|
2023
|
(Depreciation)
|
||||||||||||||||
10/13/23
|
U.S. Bank
|
50,538,000
|
EUR
|
$
|
53,462,565
|
54,224,124
|
USD
|
$
|
54,224,124
|
$
|
761,559
|
|||||||||||
10/13/23
|
U.S. Bank
|
23,320,000
|
NOK
|
2,180,997
|
2,178,279
|
USD
|
2,178,279
|
(2,718
|
)
|
|||||||||||||
10/13/23
|
U.S. Bank
|
138,795,000
|
SEK
|
12,710,938
|
12,519,114
|
USD
|
12,519,114
|
(191,824
|
)
|
|||||||||||||
10/13/23
|
U.S. Bank
|
4,835,583
|
USD
|
4,835,583
|
4,532,000
|
EUR
|
4,794,261
|
(41,322
|
)
|
|||||||||||||
10/13/23
|
U.S. Bank
|
382,673
|
USD
|
382,673
|
4,285,000
|
SEK
|
392,423
|
9,750
|
||||||||||||||
$
|
73,572,756
|
$
|
74,108,201
|
$
|
535,445
|
Schedule of Investments
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
ASSET BACKED SECURITIES – 4.85%
|
||||||||
Transportation and Warehousing – 4.85%
|
||||||||
Hawaiian Airlines 2013-1 Class A Pass Through Certificates
|
||||||||
2013-1, 3.900%, 01/15/2026
|
1,489,240
|
$
|
1,324,881
|
|||||
TOTAL ASSET BACKED SECURITIES (Cost $1,353,682)
|
1,324,881
|
|||||||
BANK LOANS – 17.87%
|
||||||||
Information – 4.65%
|
||||||||
Cengage Learning, Inc.
|
||||||||
10.323% (3 Month SOFR + 4.750%), 07/14/2026 (b)
|
993,693
|
988,098
|
||||||
Lions Gate Capital Holdings LLC
|
||||||||
7.666% (1 Month SOFR + 2.250%), 03/24/2025 (b)
|
281,937
|
281,936
|
||||||
1,270,034
|
||||||||
Manufacturing – 9.32%
|
||||||||
Chobani LLC
|
||||||||
8.931% (1 Month LIBOR + 3.500%), 10/23/2027 (b)
|
497,442
|
497,104
|
||||||
Crocs, Inc.
|
||||||||
8.540% (3 Month LIBOR + 3.500%), 02/19/2029 (b)
|
141,568
|
136,104
|
||||||
Diebold Nixdorf, Inc.
|
||||||||
12.891% (3 Month SOFR + 7.500%), 08/11/2028 (b)
|
623,682
|
626,541
|
||||||
Elevate Textiles, Inc.
|
||||||||
13.892% (3 Month LIBOR + 8.500%), 09/30/2027 (b)
|
777,000
|
776,029
|
||||||
First Brands Group LLC
|
||||||||
10.881% (6 Month SOFR + 5.000%), 03/30/2027 (b)
|
515,750
|
509,015
|
||||||
2,544,793
|
||||||||
Retail Trade – 3.90%
|
||||||||
Mountaineer Merger Corp.
|
||||||||
12.634% (3 Month LIBOR + 7.000%), 10/22/2028 (b)
|
487,013
|
387,989
|
||||||
The Container Store, Inc.
|
||||||||
10.402% (3 Month LIBOR + 4.750%), 01/31/2026 (b)
|
745,482
|
676,218
|
||||||
1,064,207
|
||||||||
TOTAL BANK LOANS (Cost $4,874,643)
|
4,879,034
|
|||||||
COMMERCIAL PAPER – 13.57%
|
||||||||
Information – 1.93%
|
||||||||
Crown Castle International Corp.
|
||||||||
5.346%, 11/02/2023 (c)
|
528,000
|
525,090
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
COMMERCIAL PAPER – 13.57% (CONTINUED)
|
||||||||
Manufacturing – 9.08%
|
||||||||
Campbell Soup Co.
|
||||||||
5.719%, 10/05/2023 (c)
|
273,000
|
$
|
272,753
|
|||||
General Motors Financial Co, Inc.
|
||||||||
5.880%, 11/20/2023 (c)
|
578,000
|
573,214
|
||||||
International Flavors & Fragrances, Inc.
|
||||||||
5.502%, 10/26/2023 (c)
|
462,000
|
460,084
|
||||||
Jabil, Inc.
|
||||||||
5.810%, 10/06/2023 (c)
|
667,000
|
666,203
|
||||||
Parker Hannifin Corp.
|
||||||||
5.643%, 10/17/2023 (c)
|
508,000
|
506,609
|
||||||
2,478,863
|
||||||||
Wholesale Trade – 2.56%
|
||||||||
Arrow Electronics, Inc.
|
||||||||
5.087%, 10/12/2023 (c)
|
700,000
|
698,536
|
||||||
TOTAL COMMERCIAL PAPER (Cost $3,703,536)
|
3,702,489
|
|||||||
COMMON STOCKS – 0.65%
|
||||||||
Manufacturing – 0.65%
|
||||||||
RA PARENT, Inc. (d)(e)(j)
|
3
|
177,600
|
||||||
TOTAL COMMON STOCKS (Cost $177,000)
|
177,600
|
|||||||
CONVERTIBLE BONDS – 0.73%
|
||||||||
Information – 0.73%
|
||||||||
UpHealth, Inc.
|
||||||||
14.320% (SOFR + 9.000%), 12/15/2025 (a)(b)(k)
|
250,000
|
198,750
|
||||||
TOTAL CONVERTIBLE BONDS (Cost $187,500)
|
198,750
|
|||||||
CORPORATE BONDS – 55.38%
|
||||||||
Accommodation and Food Services – 2.99%
|
||||||||
Aramark Services, Inc.
|
||||||||
6.375%, 05/01/2025 (a)
|
803,000
|
815,800
|
||||||
Arts, Entertainment, and Recreation – 0.92%
|
||||||||
DEAG Deutsche Entertainment AG
|
||||||||
8.000%, 07/12/2026 (f)(g)
|
EUR 232,000
|
250,105
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
CORPORATE BONDS – 55.38% (CONTINUED)
|
||||||||
Construction – 0.90%
|
||||||||
Five Point Operating Co LP / Five Point Capital Corp.
|
||||||||
7.875%, 11/15/2025 (a)
|
209,000
|
$
|
197,440
|
|||||
K Hovnanian Enterprises, Inc.
|
||||||||
10.000%, 11/15/2025 (a)
|
49,000
|
49,249
|
||||||
246,689
|
||||||||
Finance and Insurance – 10.38%
|
||||||||
Esmaeilzadeh Holding AB
|
||||||||
11.435% (3 Month STIBOR + 7.500%), 01/26/2025 (b)(f)(i)
|
SEK 2,500,000
|
217,202
|
||||||
Freedom Mortgage Corp.
|
||||||||
8.250%, 04/15/2025 (a)
|
222,000
|
222,254
|
||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp.
|
||||||||
4.750%, 09/15/2024
|
110,000
|
106,044
|
||||||
6.375%, 12/15/2025
|
361,000
|
343,863
|
||||||
Novedo Holding AB
|
||||||||
10.564% (3 Month STIBOR + 6.500%), 11/26/2024 (b)(f)(i)
|
SEK 1,250,000
|
111,264
|
||||||
Stockwik Forvaltning AB
|
||||||||
12.106% (3 Month STIBOR + 8.000%), 03/20/2026 (b)(f)(i)
|
SEK 8,750,000
|
758,829
|
||||||
StoneX Group, Inc.
|
||||||||
8.625%, 06/15/2025 (a)
|
1,063,000
|
1,072,881
|
||||||
2,832,337
|
||||||||
Information – 10.77%
|
||||||||
American Greetings Corp.
|
||||||||
8.750%, 04/15/2025 (a)
|
180,000
|
178,370
|
||||||
Calligo UK Ltd.
|
||||||||
12.472% (3 Month EURIBOR + 8.500%), 12/29/2024 (b)(f)(g)
|
EUR 100,000
|
97,796
|
||||||
Cengage Learning, Inc.
|
||||||||
9.500%, 06/15/2024 (a)
|
61,000
|
61,415
|
||||||
Clear Channel International BV
|
||||||||
6.625%, 08/01/2025 (a)(f)
|
542,000
|
536,474
|
||||||
Connect Finco SARL / Connect US Finco LLC
|
||||||||
6.750%, 10/01/2026 (a)(f)
|
400,000
|
373,563
|
||||||
Go North Group AB
|
||||||||
14.974%, 02/09/2026 (f)
|
532,250
|
534,911
|
||||||
INNOVATE Corp.
|
||||||||
8.500%, 02/01/2026 (a)
|
460,000
|
353,611
|
||||||
OpNet S.p.A.
|
||||||||
10.972% (3 Month EURIBOR + 7.000%), 02/09/2026 (a)(b)(f)(g)
|
EUR 553,000
|
588,314
|
||||||
Ziff Davis, Inc.
|
||||||||
4.625%, 10/15/2030 (a)
|
254,000
|
215,250
|
||||||
2,939,704
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
CORPORATE BONDS – 55.38% (CONTINUED)
|
||||||||
Manufacturing – 16.17%
|
||||||||
Elkem ASA
|
||||||||
6.290% (3 Month NIBOR + 1.550%), 08/31/2028 (b)(f)(h)
|
NOK 8,000,000
|
$
|
757,778
|
|||||
Fiven ASA
|
||||||||
10.784% (3 Month EURIBOR + 6.850%), 06/21/2024 (b)(f)(g)
|
EUR 1,409,000
|
1,512,010
|
||||||
Horizon Therapeutics USA, Inc.
|
||||||||
5.500%, 08/01/2027 (a)
|
773,000
|
794,258
|
||||||
InfraBuild Australia Pty Ltd.
|
||||||||
12.000%, 10/01/2024 (a)(f)
|
900,000
|
878,882
|
||||||
LR Global Holding GmbH
|
||||||||
11.033% (3 Month EURIBOR + 7.250%), 02/03/2025 (b)(f)(g)
|
EUR 300,000
|
309,246
|
||||||
Secop Group Holding GmbH
|
||||||||
12.372% (3 Month EURIBOR + 8.400%), 12/29/2026 (b)(f)(g)
|
EUR 150,000
|
160,173
|
||||||
4,412,347
|
||||||||
Mining, Quarrying, and Oil and Gas Extraction – 2.77%
|
||||||||
Tacora Resources, Inc.
|
||||||||
13.000%, 10/08/2023 (a)(e)(f)
|
755,008
|
755,008
|
||||||
Professional, Scientific, and Technical Services – 1.06%
|
||||||||
Getty Images, Inc.
|
||||||||
9.750%, 03/01/2027 (a)
|
290,000
|
290,004
|
||||||
Real Estate and Rental and Leasing – 0.98%
|
||||||||
PHM Group Holding Oyj
|
||||||||
11.378% (3 Month EURIBOR + 7.500%), 06/19/2026 (a)(b)(f)(g)
|
EUR 250,000
|
267,616
|
||||||
Retail Trade – 0.90%
|
||||||||
Anagram International Inc / Anagram Holdings LLC
|
||||||||
15.000%, 08/15/2025 (a)(k)
|
257,531
|
246,059
|
||||||
Transportation and Warehousing – 4.51%
|
||||||||
Skill BidCo ApS
|
||||||||
10.545% (3 Month EURIBOR + 6.750%), 03/02/2028 (b)(f)(g)
|
EUR 250,000
|
264,646
|
||||||
Uber Technologies, Inc.
|
||||||||
8.000%, 11/01/2026 (a)
|
463,000
|
468,910
|
||||||
XPO, Inc.
|
||||||||
6.250%, 06/01/2028 (a)
|
512,000
|
496,353
|
||||||
1,229,909
|
||||||||
Utilities – 3.03%
|
||||||||
IEA Energy Services LLC
|
||||||||
6.625%, 08/15/2029 (a)
|
862,000
|
828,598
|
||||||
TOTAL CORPORATE BONDS (Cost $15,168,872)
|
15,114,176
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
MORTGAGE BACKED SECURITIES – 2.39%
|
||||||||
Finance and Insurance – 2.39%
|
||||||||
BX Commercial Mortgage Trust 2021-VOLT
|
||||||||
2021-VOLT, 6.547% (1 Month SOFR + 1.214%),
|
||||||||
09/15/2036 (a)(b)
|
679,000
|
$
|
653,541
|
|||||
TOTAL MORTGAGE BACKED SECURITIES (Cost $649,898)
|
653,541
|
|||||||
Number
|
||||||||
of Shares
|
||||||||
PREFERRED STOCKS – 0.44%
|
||||||||
Mining, Quarrying, and Oil and Gas Extraction – 0.44%
|
||||||||
NGL Energy Partners LP
|
||||||||
9.000%, No stated maturity
|
4,719
|
118,919
|
||||||
TOTAL PREFERRED STOCKS (Cost $82,774)
|
118,919
|
|||||||
REAL ESTATE INVESTMENT TRUSTS – 1.19%
|
||||||||
Real Estate and Rental and Leasing – 1.19%
|
||||||||
CTO Realty Growth, Inc.
|
20,000
|
324,200
|
||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS
|
||||||||
(Cost $344,341)
|
324,200
|
|||||||
MONEY MARKET FUNDS – 5.76%
|
||||||||
First American Government Obligations
|
||||||||
Fund – Class X, 5.265% (l)
|
259,482
|
259,482
|
||||||
First American Treasury Obligations
|
||||||||
Fund – Class X, 5.267% (l)
|
1,311,401
|
1,311,401
|
||||||
TOTAL MONEY MARKET FUNDS (Cost $1,570,883)
|
1,570,883
|
|||||||
Total Investments (Cost $28,113,129) – 102.83%
|
28,064,473
|
|||||||
Liabilities in Excess of Other Assets – (2.83)%
|
(771,902
|
)
|
||||||
Total Net Assets – 100.00%
|
$
|
27,292,571
|
†
|
Face amount in U.S. Dollar unless otherwise indicated.
|
(a)
|
Securities issued pursuant to Rule 144A under the Securities Act of 1933 and Regulation S under the Securities Act of 1933. Aggregate value of these securities is $10,542,600 or 38.63% of Fund’s
net assets.
|
(b)
|
Variable rate security. The rate shown represents the rate at September 30, 2023.
|
(c)
|
The rate shown is the effective yield.
|
(d)
|
Illiquid security.
|
(e)
|
Security valued using unobservable inputs.
|
Schedule of Investments (Continued)
|
(f)
|
Foreign issued security.
|
(g)
|
Principal amount denominated in Euros.
|
(h)
|
Principal amount denominated in Norwegian Krone.
|
(i)
|
Principal amount denominated in Swedish Krona.
|
(j)
|
Non-income producing security.
|
(k)
|
Security in default.
|
(l)
|
Seven day yield as of September 30, 2023.
|
Schedule of Forward Currency Exchange Contracts
|
Currency
|
USD Value at
|
Currency
|
USD Value at
|
Unrealized
|
||||||||||||||||||
Settlement
|
Counter-
|
to be
|
September 30,
|
to be
|
September 30,
|
Appreciation/
|
||||||||||||||||
Date
|
party
|
Delivered
|
2023
|
Received
|
2023
|
(Depreciation)
|
||||||||||||||||
10/13/23
|
U.S. Bank
|
3,219,000
|
EUR
|
$
|
3,405,279
|
3,460,006
|
USD
|
$
|
3,460,006
|
$
|
54,727
|
|||||||||||
10/13/23
|
U.S. Bank
|
8,030,000
|
NOK
|
751,004
|
750,068
|
USD
|
750,068
|
(936
|
)
|
|||||||||||||
10/13/23
|
U.S. Bank
|
11,995,000
|
SEK
|
1,098,510
|
1,090,250
|
USD
|
1,090,250
|
(8,260
|
)
|
|||||||||||||
10/13/23
|
U.S. Bank
|
224,339
|
USD
|
224,339
|
210,000
|
EUR
|
222,153
|
(2,186
|
)
|
|||||||||||||
$
|
5,479,132
|
$
|
5,522,477
|
$
|
43,345
|
Schedule of Investments
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
ASSET BACKED SECURITIES – 8.65%
|
||||||||
Agriculture, Forestry, Fishing and Hunting – 0.53%
|
||||||||
ARM Master Trust LLC
|
||||||||
2023-T1, 6.562%, 02/17/2025 (a)
|
500,000
|
$
|
499,310
|
|||||
Finance and Insurance – 4.22%
|
||||||||
HTS Fund I LLC
|
||||||||
2021-1, 1.410%, 08/25/2036 (a)
|
1,929,270
|
1,641,337
|
||||||
Lendingpoint 2022-B Asset Securitization Trust
|
||||||||
2022-B, 4.770%, 10/15/2029 (a)
|
168,895
|
167,017
|
||||||
MMAF Equipment Finance LLC
|
||||||||
2022-B, 5.570%, 09/09/2025 (a)
|
2,184,296
|
2,178,632
|
||||||
3,986,986
|
||||||||
Manufacturing – 0.42%
|
||||||||
Daimler Trucks Retail Trust 2022-1
|
||||||||
2022-1, 5.070%, 09/16/2024
|
397,743
|
398,021
|
||||||
Transportation and Warehousing – 3.48%
|
||||||||
LAD Auto Receivables Trust 2023-1
|
||||||||
A-2, 5.680%, 10/15/2026 (a)
|
593,217
|
591,855
|
||||||
LAD Auto Receivables Trust 2023-3
|
||||||||
A-2, 6.090%, 06/15/2026 (a)
|
2,597,000
|
2,599,820
|
||||||
Santander Consumer Auto Receivables Trust 2021-B
|
||||||||
B, 1.450%, 10/16/2028 (a)
|
100,845
|
99,653
|
||||||
3,291,328
|
||||||||
TOTAL ASSET BACKED SECURITIES (Cost $8,255,841)
|
8,175,645
|
|||||||
BANK LOANS – 1.47%
|
||||||||
Arts, Entertainment, and Recreation – 1.47%
|
||||||||
Live Nation Entertainment, Inc.
|
||||||||
7.681% (1 Month LIBOR + 2.250%), 10/17/2024 (b)
|
1,397,250
|
1,390,264
|
||||||
TOTAL BANK LOANS (Cost $1,395,503)
|
1,390,264
|
|||||||
COMMERCIAL PAPER – 4.82%
|
||||||||
Information – 1.85%
|
||||||||
Crown Castle, Inc.
|
||||||||
6.143%, 10/19/2023 (c)
|
1,750,000
|
1,744,365
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
COMMERCIAL PAPER – 4.82% (CONTINUED)
|
||||||||
Manufacturing – 2.97%
|
||||||||
Jabil, Inc.
|
||||||||
5.884%, 10/06/2023 (c)
|
2,216,000
|
$
|
2,213,352
|
|||||
Parker Hannifin Corp.
|
||||||||
5.643%, 10/17/2023 (c)
|
601,000
|
599,354
|
||||||
2,812,706
|
||||||||
TOTAL COMMERCIAL PAPER (Cost $4,558,389)
|
4,557,071
|
|||||||
CONVERTIBLE BONDS – 0.98%
|
||||||||
Information – 0.98%
|
||||||||
Leafly Holdings, Inc.
|
||||||||
8.000%, 01/31/2025 (d)(e)
|
1,089,000
|
925,650
|
||||||
TOTAL CONVERTIBLE BONDS (Cost $1,089,000)
|
925,650
|
|||||||
CORPORATE BONDS – 70.35%
|
||||||||
Accommodation and Food Services – 2.87%
|
||||||||
Aramark Services, Inc.
|
||||||||
6.375%, 05/01/2025 (a)
|
2,668,000
|
2,710,528
|
||||||
Construction – 0.17%
|
||||||||
K Hovnanian Enterprises, Inc.
|
||||||||
10.000%, 11/15/2025 (a)
|
163,000
|
163,828
|
||||||
Finance and Insurance – 4.72%
|
||||||||
Brookfield Finance, Inc.
|
||||||||
4.000%, 04/01/2024
|
106,000
|
104,849
|
||||||
Enceladus Development Venture III LLC
|
||||||||
10.000%, 11/15/2023 (a)
|
1,000,000
|
1,000,000
|
||||||
Fidelity National Information Services, Inc.
|
||||||||
0.600%, 03/01/2024
|
1,393,000
|
1,361,895
|
||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp.
|
||||||||
4.750%, 09/15/2024
|
1,723,000
|
1,661,029
|
||||||
Novedo Holding AB
|
||||||||
10.564% (3 Month STIBOR + 6.500%), 11/26/2024 (b)(f)(i)
|
SEK 3,750,000
|
333,793
|
||||||
4,461,566
|
||||||||
Health Care and Social Assistance – 2.93%
|
||||||||
Laboratory Corp of America Holdings
|
||||||||
4.000%, 11/01/2023
|
2,775,000
|
2,770,310
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
CORPORATE BONDS – 70.35% (CONTINUED)
|
||||||||
Information – 5.38%
|
||||||||
Calligo UK Ltd.
|
||||||||
12.472% (3 Month EURIBOR + 8.500%), 12/29/2024 (b)(f)(g)
|
EUR 400,000
|
$
|
391,183
|
|||||
Cengage Learning, Inc.
|
||||||||
9.500%, 06/15/2024 (a)
|
222,000
|
223,511
|
||||||
Fox Corp.
|
||||||||
4.030%, 01/25/2024
|
2,250,000
|
2,234,136
|
||||||
OpNet S.p.A.
|
||||||||
10.972% (3 Month EURIBOR + 7.000%), 02/09/2026 (a)(b)(f)(g)
|
EUR 2,108,000
|
2,242,612
|
||||||
5,091,442
|
||||||||
Manufacturing – 35.44%
|
||||||||
Ball Corp.
|
||||||||
4.000%, 11/15/2023
|
2,875,000
|
2,867,059
|
||||||
Bayer US Finance II LLC
|
||||||||
3.875%, 12/15/2023 (a)
|
750,000
|
746,901
|
||||||
6.681% (3 Month LIBOR + 1.272%), 12/15/2023 (a)(b)
|
1,075,000
|
1,075,575
|
||||||
Broadcom, Inc.
|
||||||||
2.250%, 11/15/2023
|
3,725,000
|
3,708,438
|
||||||
Cannabist Co. Holdings, Inc.
|
||||||||
13.000%, 05/14/2024 (f)
|
1,026,000
|
1,027,191
|
||||||
9.500%, 02/03/2026 (f)
|
2,016,000
|
1,743,840
|
||||||
Chobani LLC / Chobani Finance Corp, Inc.
|
||||||||
7.500%, 04/15/2025 (a)
|
333,000
|
330,183
|
||||||
CNH Industrial Capital LLC
|
||||||||
4.200%, 01/15/2024
|
2,233,000
|
2,220,671
|
||||||
Eastman Chemical Co.
|
||||||||
7.250%, 01/15/2024
|
2,200,000
|
2,205,889
|
||||||
Elkem ASA
|
||||||||
6.290% (3 Month NIBOR + 1.550%), 08/31/2028 (b)(f)(h)
|
NOK 25,000,000
|
2,368,056
|
||||||
General Mills, Inc.
|
||||||||
6.580% (3 Month SOFR + 1.272%), 10/17/2023 (b)
|
1,440,000
|
1,440,389
|
||||||
Graphic Packaging International LLC
|
||||||||
0.821%, 04/15/2024 (a)
|
1,300,000
|
1,259,942
|
||||||
Hewlett Packard Enterprise Co.
|
||||||||
4.450%, 10/02/2023
|
2,550,000
|
2,550,000
|
||||||
HF Sinclair Corp.
|
||||||||
2.625%, 10/01/2023
|
1,558,000
|
1,558,000
|
||||||
Horizon Therapeutics USA, Inc.
|
||||||||
5.500%, 08/01/2027 (a)
|
2,567,000
|
2,637,593
|
||||||
Microchip Technology, Inc.
|
||||||||
0.972%, 02/15/2024
|
1,000,000
|
981,714
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
CORPORATE BONDS – 70.35% (CONTINUED)
|
||||||||
Manufacturing – 35.44% (Continued)
|
||||||||
Qorvo, Inc.
|
||||||||
1.750%, 12/15/2024 (a)
|
1,400,000
|
$
|
1,317,180
|
|||||
Stryker Corp.
|
||||||||
0.600%, 12/01/2023
|
1,573,000
|
1,559,034
|
||||||
Trulieve Cannabis Corp.
|
||||||||
9.750%, 06/18/2024 (f)
|
1,950,000
|
1,913,437
|
||||||
33,511,092
|
||||||||
Mining, Quarrying, and Oil and Gas Extraction – 7.83%
|
||||||||
Glencore Funding LLC
|
||||||||
4.625%, 04/29/2024 (a)
|
1,750,000
|
1,733,211
|
||||||
Mime Petroleum AS
|
||||||||
9.750%, 09/17/2026 (a)(f)
|
702,526
|
660,374
|
||||||
NGL Energy Partners LP / NGL Energy Finance Corp.
|
||||||||
6.125%, 03/01/2025
|
2,350,000
|
2,309,445
|
||||||
PDC Energy, Inc.
|
||||||||
5.750%, 05/15/2026
|
2,702,000
|
2,696,934
|
||||||
7,399,964
|
||||||||
Professional, Scientific, and Technical Services – 4.63%
|
||||||||
Getty Images, Inc.
|
||||||||
9.750%, 03/01/2027 (a)
|
827,000
|
827,011
|
||||||
Interpublic Group of Companies, Inc.
|
||||||||
4.200%, 04/15/2024
|
2,361,000
|
2,334,628
|
||||||
Teledyne Technologies, Inc.
|
||||||||
0.950%, 04/01/2024
|
1,250,000
|
1,217,023
|
||||||
4,378,662
|
||||||||
Real Estate and Rental and Leasing – 4.02%
|
||||||||
American Tower Corp.
|
||||||||
5.000%, 02/15/2024
|
1,574,000
|
1,567,862
|
||||||
REX – Real Estate Exchange, Inc.
|
||||||||
6.000%, 03/15/2025 (a)
|
1,125,000
|
1,102,950
|
||||||
Triton Container International Ltd.
|
||||||||
1.150%, 06/07/2024 (a)(f)
|
1,172,000
|
1,128,075
|
||||||
3,798,887
|
||||||||
Transportation and Warehousing – 0.72%
|
||||||||
Norfolk Southern Corp.
|
||||||||
3.850%, 01/15/2024
|
497,000
|
494,059
|
||||||
Uber Technologies, Inc.
|
||||||||
7.500%, 05/15/2025 (a)
|
183,000
|
184,350
|
||||||
678,409
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
CORPORATE BONDS – 70.35% (CONTINUED)
|
||||||||
Utilities – 1.64%
|
||||||||
Monongahela Power Co.
|
||||||||
4.100%, 04/15/2024 (a)
|
1,567,000
|
$
|
1,552,253
|
|||||
TOTAL CORPORATE BONDS (Cost $67,026,097)
|
66,516,941
|
|||||||
MORTGAGE BACKED SECURITIES – 10.97%
|
||||||||
Finance and Insurance – 10.97%
|
||||||||
BX Commercial Mortgage Trust 2019-XL
|
||||||||
2019-XL, 6.367% (1 Month SOFR + 1.034%), 10/15/2036 (a)(b)
|
913,331
|
911,026
|
||||||
BX Commercial Mortgage Trust 2021-SOAR
|
||||||||
2021-SOAR, 6.317% (1 Month SOFR + 0.984%),
|
||||||||
06/15/2038 (a)(b)
|
1,219,924
|
1,190,743
|
||||||
BX Commercial Mortgage Trust 2021-VOLT
|
||||||||
2021-VOLT, 6.547% (1 Month SOFR + 1.214%),
|
||||||||
09/15/2036 (a)(b)
|
2,424,000
|
2,333,114
|
||||||
CAMB Commercial Mortgage Trust 2019-LIFE
|
||||||||
2019-LIFE, 6.830% (1 Month SOFR + 1.497%),
|
||||||||
12/15/2037 (a)(b)
|
930,000
|
921,065
|
||||||
Cold Storage Trust 2020-ICE5
|
||||||||
2020-ICE5, 7.547% (1 Month SOFR + 2.214%),
|
||||||||
11/15/2037 (a)(b)
|
1,058,681
|
1,052,278
|
||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4
|
||||||||
2019-ICE4, 6.980% (1 Month SOFR + 1.647%),
|
||||||||
05/15/2036 (a)(b)
|
2,796,044
|
2,778,590
|
||||||
Life 2022-BMR Mortgage Trust
|
||||||||
A-1, 6.627% (1 Month SOFR + 1.295%), 05/15/2039 (a)(b)
|
1,092,000
|
1,073,848
|
||||||
SMRT 2022-MINI
|
||||||||
2022-MINI, 6.683% (1 Month SOFR + 1.350%),
|
||||||||
01/15/2039 (a)(b)
|
114,000
|
111,002
|
||||||
TOTAL MORTGAGE BACKED SECURITIES
|
||||||||
(Cost $10,342,814)
|
10,371,666
|
|||||||
SPECIAL PURPOSE ACQUISITION COMPANIES – 0.00%
|
||||||||
Berenson Acquisition Corp. Founder Shares (d)(e)(j)
|
1,827
|
—
|
||||||
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES
|
||||||||
(Cost $7)
|
—
|
|||||||
U.S. TREASURY OBLIGATIONS – 1.57%
|
||||||||
United States Treasury Bill
|
||||||||
5.209%, 11/16/2023 (c)
|
1,500,000
|
1,490,081
|
||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,490,417)
|
1,490,081
|
Schedule of Investments (Continued)
|
Number
|
||||||||
of Shares
|
Value
|
|||||||
WARRANTS – 0.00%
|
||||||||
Leafly Holdings, Inc. (j)
|
||||||||
Expiration: 11/07/2026, Exercise Price: $11.50
|
5,553
|
$
|
194
|
|||||
TOTAL WARRANTS (Cost $0)
|
194
|
|||||||
MONEY MARKET FUNDS – 1.77%
|
||||||||
First American Treasury Obligations
|
||||||||
Fund – Class X, 5.267% (k)
|
1,670,493
|
1,670,493
|
||||||
TOTAL MONEY MARKET FUNDS (Cost $1,670,493)
|
1,670,493
|
|||||||
Total Investments (Cost $95,828,561) – 100.58%
|
95,098,005
|
|||||||
Liabilities in Excess of Other Assets – (0.58)%
|
(552,523
|
)
|
||||||
Total Net Assets – 100.00%
|
$
|
94,545,482
|
†
|
Face amount in U.S. Dollar unless otherwise indicated.
|
(a)
|
Securities issued pursuant to Rule 144A under the Securities Act of 1933 and Regulation S under the Securities Act of 1933. Aggregate value of these securities is $39,045,367 or 41.30% of Fund’s
net assets.
|
(b)
|
Variable rate security. The rate shown represents the rate at September 30, 2023.
|
(c)
|
The rate shown is the effective yield.
|
(d)
|
Illiquid security.
|
(e)
|
Security valued using unobservable inputs.
|
(f)
|
Foreign issued security.
|
(g)
|
Principal amount denominated in Euros.
|
(h)
|
Principal amount denominated in Norwegian Krone.
|
(i)
|
Principal amount denominated in Swedish Krona.
|
(j)
|
Non-income producing security.
|
(k)
|
Seven day yield as of September 30, 2023.
|
Schedule of Forward Currency Exchange Contracts
|
Currency
|
USD Value at
|
Currency
|
USD Value at
|
Unrealized
|
||||||||||||||||||
Settlement
|
Counter-
|
to be
|
September 30,
|
to be
|
September 30,
|
Appreciation/
|
||||||||||||||||
Date
|
party
|
Delivered
|
2023
|
Received
|
2023
|
(Depreciation)
|
||||||||||||||||
10/13/23
|
U.S. Bank
|
3,335,000
|
EUR
|
$
|
3,527,992
|
3,584,691
|
USD
|
$
|
3,584,691
|
$
|
56,699
|
|||||||||||
10/13/23
|
U.S. Bank
|
25,100,000
|
NOK
|
2,347,470
|
2,344,545
|
USD
|
2,344,545
|
(2,925
|
)
|
|||||||||||||
10/13/23
|
U.S. Bank
|
3,638,500
|
SEK
|
333,216
|
328,155
|
USD
|
328,155
|
(5,061
|
)
|
|||||||||||||
10/13/23
|
U.S. Bank
|
862,102
|
USD
|
862,102
|
807,000
|
EUR
|
853,700
|
(8,402
|
)
|
|||||||||||||
$
|
7,070,780
|
$
|
7,111,091
|
$
|
40,311
|
Schedule of Investments
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
COMMERCIAL PAPER – 10.12%
|
||||||||
Information – 1.44%
|
||||||||
Crown Castle International Corp.
|
||||||||
5.346%, 11/02/2023 (a)
|
1,000,000
|
$
|
994,488
|
|||||
Manufacturing – 2.89%
|
||||||||
General Motors Financial Co., Inc.
|
||||||||
5.801%, 10/11/2023 (a)
|
1,000,000
|
998,148
|
||||||
Nutrien Ltd.
|
||||||||
5.750%, 10/23/2023 (a)
|
1,000,000
|
996,311
|
||||||
1,994,459
|
||||||||
Mining, Quarrying, and Oil and Gas Extraction – 4.34%
|
||||||||
Energy Transfer LP
|
||||||||
5.806%, 10/04/2023 (a)
|
1,000,000
|
999,204
|
||||||
Glencore Funding LLC
|
||||||||
5.972%, 10/17/2023 (a)
|
1,000,000
|
997,205
|
||||||
Targa Resources Corp.
|
||||||||
5.808%, 10/23/2023 (a)
|
1,000,000
|
996,521
|
||||||
2,992,930
|
||||||||
Retail Trade – 1.45%
|
||||||||
Walgreens Boots Alliance, Inc.
|
||||||||
5.418%, 10/13/2023 (a)
|
1,000,000
|
997,674
|
||||||
TOTAL COMMERCIAL PAPER (Cost $6,980,862)
|
6,979,551
|
|||||||
Number of
|
||||||||
Shares
|
||||||||
SPECIAL PURPOSE ACQUISITION COMPANIES – 84.08%
|
||||||||
99 Acquisition Group, Inc. (f)
|
37,250
|
386,282
|
||||||
Alchemy Investments Acquisition Corp. 1 (d)(f)
|
236,120
|
2,436,758
|
||||||
Ares Acquisition Corp. II (d)(f)
|
131,200
|
1,347,424
|
||||||
AP Acquisition Corp. (d)(f)
|
15,775
|
173,288
|
||||||
Berenson Acquisition Corp. Founder Shares (b)(c)(f)
|
922
|
—
|
||||||
Bowen Acquisition Corp. (d)(f)
|
280,680
|
2,862,936
|
||||||
Bukit Jalil Global Acquisition 1 Ltd. (d)(f)
|
250,000
|
2,582,500
|
||||||
Cartesian Growth Corp. II (d)(f)
|
281,873
|
3,044,228
|
||||||
Distoken Acquisition Corp. (d)(f)
|
99,604
|
1,049,826
|
||||||
Enphys Acquisition Corp. (d)(f)
|
298,257
|
3,131,699
|
||||||
ESH Acquisition Corp. (f)
|
150,000
|
1,518,000
|
||||||
Four Leaf Acquisition Corp. (f)
|
250,000
|
2,620,000
|
||||||
Golden Star Acquisition Corp. (d)(f)
|
100,000
|
1,030,000
|
||||||
Haymaker Acquisition Corp. 4 (d)(f)
|
250,000
|
2,542,500
|
Schedule of Investments (Continued)
|
Number of
|
||||||||
Shares
|
Value
|
|||||||
SPECIAL PURPOSE ACQUISITION
|
||||||||
COMPANIES – 84.08% (CONTINUED)
|
||||||||
Infinite Acquisition Corp. (d)(f)
|
173,680
|
$
|
1,876,612
|
|||||
Inflection Point Acquisition Corp. II (d)(f)
|
250,460
|
2,557,197
|
||||||
Innovative International Acquisition Corp. (d)(f)
|
8,966
|
99,792
|
||||||
Israel Acquisitions Corp. (d)(f)
|
273,375
|
2,884,106
|
||||||
Keen Vision Acquisition Corp. (d)(f)
|
312,367
|
3,179,896
|
||||||
Mars Acquisition Corp. (d)(f)
|
259,107
|
2,723,215
|
||||||
Nabors Energy Transition Corp. II (d)(f)
|
20,000
|
203,600
|
||||||
Oak Woods Acquisition Corp. (d)(f)
|
255,000
|
2,666,025
|
||||||
Pearl Holdings Acquisition Corp. (d)(f)
|
298,622
|
3,201,228
|
||||||
Pono Capital Three, Inc. (d)(f)
|
219,270
|
2,314,395
|
||||||
Revelstone Capital Acquisition Corp. Founder Shares (b)(c)(f)
|
6,000
|
388
|
||||||
Screaming Eagle Acquisition Corp. (d)(f)
|
305,436
|
3,194,861
|
||||||
SDCL EDGE Acquisition Corp. (d)(f)
|
113,680
|
1,205,008
|
||||||
TMT Acquisition Corp. (d)(f)
|
151,544
|
1,580,604
|
||||||
TortoiseEcofin Acquisition Corp. III (d)(f)
|
287,007
|
3,007,833
|
||||||
Trailblazer Merger Corp. I (f)
|
250,000
|
2,582,500
|
||||||
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES
|
||||||||
(Cost $56,082,955)
|
58,002,701
|
|||||||
WARRANTS – 0.01%
|
||||||||
Financials Acquisition Corp. (d)(e)(f)
|
||||||||
Expiration: 04/04/2027, Exercise Price: $11.50
|
8,777
|
322
|
||||||
Hambro Perks Acquisition Corp. (c)(d)(e)(f)
|
||||||||
Expiration: 01/07/2026, Exercise Price: $11.50
|
37,500
|
0
|
||||||
Hiro Metaverse Acquisitions I SA (d)(e)(f)
|
||||||||
Expiration: 12/21/2026, Exercise Price: $11.50
|
22,500
|
4,255
|
||||||
SMX Security Matters Plc (d)(f)
|
||||||||
Expiration: 03/07/2028, Exercise Price: $11.50
|
425
|
6
|
||||||
TOTAL WARRANTS (Cost $17,596)
|
4,583
|
|||||||
MONEY MARKET FUNDS – 5.83%
|
||||||||
First American Treasury Obligations
|
||||||||
Fund – Class X, 5.267% (g)
|
4,024,078
|
4,024,078
|
||||||
TOTAL MONEY MARKET FUNDS (Cost $4,024,078)
|
4,024,078
|
|||||||
Total Investments (Cost $67,105,491) – 100.04%
|
69,010,913
|
|||||||
Liabilities in Excess of Other Assets – (0.04)%
|
(29,203
|
)
|
||||||
Total Net Assets – 100.00%
|
$
|
68,981,710
|
†
|
Face amount in U.S. Dollar unless otherwise indicated.
|
Schedule of Investments (Continued)
|
(a)
|
The rate shown is the effective yield.
|
(b)
|
Illiquid security.
|
(c)
|
Security valued using unobservable inputs.
|
(d)
|
Foreign issued security.
|
(e)
|
Holding denominated in British Pound.
|
(f)
|
Non-income producing security.
|
(g)
|
Seven day yield as of September 30, 2023.
|
Schedule of Investments
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
ASSET BACKED SECURITIES – 1.36%
|
||||||||
Transportation and Warehousing – 1.36%
|
||||||||
Hawaiian Airlines 2013-1 Class A Pass Through Certificates
|
||||||||
2013-1, 3.900%, 01/15/2026
|
5,668,542
|
$
|
5,042,939
|
|||||
TOTAL ASSET BACKED SECURITIES (Cost $5,218,014)
|
5,042,939
|
|||||||
BANK LOANS – 14.30%
|
||||||||
Accommodation and Food Services – 1.82%
|
||||||||
Carrols Restaurant Group, Inc.
|
||||||||
8.666% (1 Month LIBOR + 3.250%), 04/30/2026 (b)
|
7,000,000
|
6,784,412
|
||||||
Information – 2.51%
|
||||||||
American Greetings Corp.
|
||||||||
11.316% (1 Month LIBOR + 6.000%), 04/06/2028 (b)
|
2,707,395
|
2,715,856
|
||||||
Cengage Learning, Inc.
|
||||||||
10.323% (3 Month SOFR + 4.750%), 07/14/2026 (b)
|
6,666,619
|
6,629,086
|
||||||
9,344,944
|
||||||||
Manufacturing – 5.37%
|
||||||||
Chobani LLC
|
||||||||
8.931% (1 Month LIBOR + 3.500%), 10/23/2027 (b)
|
4,638,153
|
4,634,941
|
||||||
Cook & Boardman Group, LLC
|
||||||||
11.165% (1 Month SOFR + 5.750%), 10/18/2025 (b)
|
635,593
|
619,703
|
||||||
Crocs, Inc.
|
||||||||
8.540% (3 Month LIBOR + 3.500%), 02/19/2029 (b)
|
2,039,173
|
1,960,354
|
||||||
Diebold Nixdorf, Inc.
|
||||||||
12.891% (3 Month SOFR + 7.500%), 08/11/2028 (b)
|
1,252,156
|
1,257,897
|
||||||
Elevate Textiles, Inc.
|
||||||||
13.892% (3 Month LIBOR + 8.500%), 09/30/2027 (b)
|
194,360
|
194,595
|
||||||
Energy Acquisition Co, Inc.
|
||||||||
7.500%, 06/26/2025
|
1,807,300
|
1,735,008
|
||||||
7.500%, 06/26/2025
|
4,309,168
|
4,276,849
|
||||||
First Brands Group LLC
|
||||||||
10.881% (6 Month SOFR + 5.000%), 03/30/2027 (b)
|
2,076,665
|
2,054,611
|
||||||
14.381% (6 Month SOFR + 8.500%), 03/24/2028 (b)
|
3,393,361
|
3,198,827
|
||||||
19,932,785
|
||||||||
Mining, Quarrying, and Oil and Gas Extraction – 0.80%
|
||||||||
Quarternorth Energy Holding, Inc.
|
||||||||
13.431% (1 Month LIBOR + 8.000%), 08/27/2026 (b)
|
2,980,117
|
2,973,904
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
BANK LOANS – 14.30% (CONTINUED)
|
||||||||
Professional, Scientific, and Technical Services – 1.83%
|
||||||||
Getty Images, Inc.
|
||||||||
9.990% (3 Month LIBOR + 4.500%), 02/19/2026 (b)
|
2,216,986
|
$
|
2,216,888
|
|||||
Inotiv, Inc.
|
||||||||
12.477% (6 Month LIBOR + 6.750%), 09/22/2026 (b)
|
4,749,995
|
4,583,745
|
||||||
6,800,633
|
||||||||
Retail Trade – 1.84%
|
||||||||
Mountaineer Merger Corp.
|
||||||||
12.634% (3 Month LIBOR + 7.000%), 10/22/2028 (b)
|
5,837,404
|
4,650,484
|
||||||
The Container Store, Inc.
|
||||||||
10.402% (3 Month LIBOR + 4.750%), 01/31/2026 (b)
|
2,416,970
|
2,199,443
|
||||||
6,849,927
|
||||||||
Wholesale Trade – 0.13%
|
||||||||
Dairyland USA Corp.
|
||||||||
10.166% (1 Month SOFR + 4.750%), 08/17/2029 (b)
|
502,025
|
504,849
|
||||||
TOTAL BANK LOANS (Cost $53,482,006)
|
53,191,454
|
|||||||
COMMERCIAL PAPER – 17.63%
|
||||||||
Information – 1.86%
|
||||||||
Crown Castle, Inc.
|
||||||||
6.143%, 10/19/2023 (c)
|
6,950,000
|
6,927,621
|
||||||
Manufacturing – 10.10%
|
||||||||
Bacardi-Martini B.V.
|
||||||||
5.881%, 10/24/2023 (c)
|
6,364,000
|
6,339,609
|
||||||
Campbell Soup Co.
|
||||||||
5.719%, 10/05/2023 (c)
|
3,602,000
|
3,598,744
|
||||||
General Motors Financial Co, Inc.
|
||||||||
5.880%, 11/20/2023 (c)
|
7,422,000
|
7,360,549
|
||||||
International Flavors & Fragrances, Inc.
|
||||||||
5.502%, 10/26/2023 (c)
|
6,255,000
|
6,229,062
|
||||||
Jabil, Inc.
|
||||||||
5.884%, 10/06/2023 (c)
|
8,801,000
|
8,790,484
|
||||||
Parker Hannifin Corp.
|
||||||||
5.643%, 10/17/2023 (c)
|
5,238,000
|
5,223,653
|
||||||
37,542,101
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
COMMERCIAL PAPER – 17.63% (CONTINUED)
|
||||||||
Mining, Quarrying, and Oil and Gas Extraction – 3.83%
|
||||||||
Energy Transfer LP
|
||||||||
5.806%, 10/04/2023 (c)
|
5,316,000
|
$
|
5,311,771
|
|||||
Glencore Funding LLC
|
||||||||
5.972%, 10/17/2023 (c)
|
4,494,000
|
4,481,441
|
||||||
Targa Resources Corp.
|
||||||||
5.808%, 10/23/2023 (c)
|
4,465,000
|
4,449,465
|
||||||
14,242,677
|
||||||||
Retail Trade – 1.84%
|
||||||||
Walgreens Boots Alliance, Inc.
|
||||||||
5.437%, 10/13/2023 (c)
|
6,867,000
|
6,851,025
|
||||||
TOTAL COMMERCIAL PAPER (Cost $65,577,964)
|
65,563,424
|
|||||||
COMMON STOCKS – 1.37%
|
||||||||
Construction – 0.02%
|
||||||||
Southland Holdings, Inc. (k)
|
15,374
|
93,320
|
||||||
Finance and Insurance – 0.12%
|
||||||||
Bitcoin Depot, Inc. (k)
|
161,950
|
425,928
|
||||||
KORE Group Holdings, Inc. (k)
|
20,218
|
12,232
|
||||||
438,160
|
||||||||
Information – 0.38%
|
||||||||
Verizon Communications, Inc.
|
43,100
|
1,396,871
|
||||||
Manufacturing – 0.70%
|
||||||||
Elevate Textiles, Inc. (k)
|
16,903
|
59,161
|
||||||
RA PARENT, Inc. (d)(e)
|
43
|
2,553,888
|
||||||
2,613,049
|
||||||||
Mining, Quarrying, and Oil and Gas Extraction – 0.15%
|
||||||||
Quarternorth Energy Holding, Inc.
|
4,187
|
548,497
|
||||||
Professional, Scientific, and Technical Services – 0.00%
|
||||||||
GemmaCert Ltd. (d)(e)(k)
|
21,135
|
—
|
||||||
TOTAL COMMON STOCKS (Cost $5,553,046)
|
5,089,897
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
CONVERTIBLE BONDS – 2.38%
|
||||||||
Information – 2.38%
|
||||||||
BuzzFeed, Inc.
|
||||||||
8.500%, 12/03/2026 (a)
|
5,400,000
|
$
|
3,472,421
|
|||||
Leafly Holdings, Inc.
|
||||||||
8.000%, 01/31/2025 (d)(e)
|
4,163,000
|
3,538,550
|
||||||
UpHealth, Inc.
|
||||||||
6.250%, 06/15/2026 (a)(l)
|
3,906,000
|
1,152,270
|
||||||
14.320% (SOFR + 9.000%), 12/15/2025 (a)(b)(l)
|
850,000
|
675,750
|
||||||
TOTAL CONVERTIBLE BONDS (Cost $14,079,283)
|
8,838,991
|
|||||||
CORPORATE BONDS – 47.51%
|
||||||||
Accommodation and Food Services – 2.89%
|
||||||||
Aramark Services, Inc.
|
||||||||
6.375%, 05/01/2025 (a)
|
10,593,000
|
10,761,852
|
||||||
Agriculture, Forestry, Fishing and Hunting – 0.52%
|
||||||||
Austevoll Seafood ASA
|
||||||||
6.710% (3 Month NIBOR + 2.000%), 06/21/2028 (b)(f)(h)
|
NOK 20,500,000
|
1,926,070
|
||||||
Arts, Entertainment, and Recreation – 0.63%
|
||||||||
DEAG Deutsche Entertainment AG
|
||||||||
8.000%, 07/12/2026 (f)(g)
|
EUR 2,161,000
|
2,329,639
|
||||||
Construction – 0.72%
|
||||||||
Five Point Operating Co LP / Five Point Capital Corp.
|
||||||||
7.875%, 11/15/2025 (a)
|
2,152,000
|
2,032,967
|
||||||
K Hovnanian Enterprises, Inc.
|
||||||||
10.000%, 11/15/2025 (a)
|
648,000
|
651,293
|
||||||
2,684,260
|
||||||||
Educational Services – 0.04%
|
||||||||
Hercules Achievement Inc / Varsity Brands Holding Co, Inc.
|
||||||||
13.503% (3 Month SOFR + 8.262%), 12/22/2024 (a)(b)
|
160,000
|
159,604
|
||||||
Finance and Insurance – 8.21%
|
||||||||
Esmaeilzadeh Holding AB
|
||||||||
11.435% (3 Month STIBOR + 7.500%), 01/26/2025 (b)(f)(i)
|
SEK 20,000,000
|
1,737,614
|
||||||
Freedom Mortgage Corp.
|
||||||||
8.250%, 04/15/2025 (a)
|
8,074,000
|
8,083,229
|
||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp.
|
||||||||
4.750%, 09/15/2024
|
2,095,000
|
2,019,650
|
||||||
6.375%, 12/15/2025
|
4,747,000
|
4,521,664
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
CORPORATE BONDS – 47.51% (CONTINUED)
|
||||||||
Finance and Insurance – 8.21% (Continued)
|
||||||||
Novedo Holding AB
|
||||||||
10.560% (3 Month STIBOR + 6.500%), 11/26/2024 (b)(f)(i)
|
SEK 15,000,000
|
$
|
1,335,173
|
|||||
Puffin Finance SARL
|
||||||||
15.000%, 09/11/2025 (f)
|
4,411,000
|
4,704,475
|
||||||
Stockwik Forvaltning AB
|
||||||||
12.106% (3 Month STIBOR + 8.000%), 03/20/2026 (b)(f)(i)
|
SEK 27,500,000
|
2,384,891
|
||||||
StoneX Group, Inc.
|
||||||||
8.625%, 06/15/2025 (a)
|
5,685,000
|
5,737,842
|
||||||
30,524,538
|
||||||||
Information – 10.51%
|
||||||||
American Greetings Corp.
|
||||||||
8.750%, 04/15/2025 (a)
|
1,397,000
|
1,384,350
|
||||||
Azerion Group N.V.
|
||||||||
10.628% (3 Month EURIBOR + 6.750%), 10/02/2026 (b)(f)(g)
|
EUR 3,772,000
|
3,908,188
|
||||||
Azerion Holding BV
|
||||||||
7.250%, 04/28/2024 (f)(g)
|
EUR 850,000
|
900,891
|
||||||
Bulk Infrastructure Holding AS
|
||||||||
8.990% (3 Month NIBOR + 4.500%), 10/15/2024 (b)(f)(h)
|
NOK 33,000,000
|
3,112,073
|
||||||
Cengage Learning, Inc.
|
||||||||
9.500%, 06/15/2024 (a)
|
476,000
|
479,240
|
||||||
Clear Channel International BV
|
||||||||
6.625%, 08/01/2025 (a)(f)
|
4,186,000
|
4,143,324
|
||||||
Connect Finco SARL / Connect US Finco LLC
|
||||||||
6.750%, 10/01/2026 (a)(f)
|
3,222,000
|
3,009,050
|
||||||
Duett Software Group AS
|
||||||||
9.450% (3 Month NIBOR + 5.000%), 04/12/2026 (b)(f)(h)
|
NOK 4,589,000
|
418,288
|
||||||
Go North Group AB
|
||||||||
14.974%, 02/09/2026 (f)
|
5,763,870
|
5,792,689
|
||||||
Impala BondCo Plc
|
||||||||
12.868% (3 Month STIBOR + 9.000%), 10/20/2024 (b)(f)(i)
|
SEK 7,500,000
|
600,934
|
||||||
INNOVATE Corp.
|
||||||||
8.500%, 02/01/2026 (a)
|
7,002,000
|
5,382,578
|
||||||
OpNet S.p.A.
|
||||||||
10.972% (3 Month EURIBOR + 7.000%), 02/09/2026 (a)(b)(f)(g)
|
EUR 5,699,000
|
6,062,926
|
||||||
WarnerMedia Holdings, Inc.
|
||||||||
5.050%, 03/15/2042
|
2,156,000
|
1,670,392
|
||||||
Ziff Davis, Inc.
|
||||||||
4.625%, 10/15/2030 (a)
|
2,617,000
|
2,217,756
|
||||||
39,082,679
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
CORPORATE BONDS – 47.51% (CONTINUED)
|
||||||||
Manufacturing – 11.48%
|
||||||||
Cannabist Co. Holdings, Inc.
|
||||||||
9.500%, 02/03/2026 (f)
|
5,068,000
|
$
|
4,383,820
|
|||||
Carbon Revolution Ltd.
|
||||||||
8.500%, 05/15/2027 (a)(f)
|
1,250,000
|
1,250,000
|
||||||
CNH Industrial Capital LLC
|
||||||||
4.200%, 01/15/2024
|
2,395,000
|
2,381,777
|
||||||
Horizon Therapeutics USA, Inc.
|
||||||||
5.500%, 08/01/2027 (a)
|
10,192,000
|
10,472,280
|
||||||
InfraBuild Australia Pty Ltd.
|
||||||||
12.000%, 10/01/2024 (a)(f)
|
9,281,000
|
9,063,229
|
||||||
LINK Mobility Group Holding ASA
|
||||||||
3.375%, 12/15/2025 (f)(g)
|
EUR 800,000
|
773,907
|
||||||
LR Global Holding GmbH
|
||||||||
11.033% (3 Month EURIBOR + 7.250%), 02/03/2025 (b)(f)(g)
|
EUR 2,694,000
|
2,777,026
|
||||||
ProSomnus, Inc.
|
||||||||
14.250%, 04/06/2026 (d)(e)
|
1,661,583
|
1,428,038
|
||||||
Secop Group Holding GmbH
|
||||||||
12.372% (3 Month EURIBOR + 8.400%), 12/29/2026 (b)(f)(g)
|
EUR 1,443,000
|
1,540,868
|
||||||
Trulieve Cannabis Corp.
|
||||||||
9.750%, 06/18/2024 (f)
|
1,250,000
|
1,226,562
|
||||||
Valvoline, Inc.
|
||||||||
4.250%, 02/15/2030 (a)
|
7,550,000
|
7,422,209
|
||||||
42,719,716
|
||||||||
Mining, Quarrying, and Oil and Gas Extraction – 2.06%
|
||||||||
Energy Transfer LP
|
||||||||
8.651% (3 Month SOFR + 3.279%), 11/01/2066 (b)
|
1,000,000
|
828,600
|
||||||
Mime Petroleum AS
|
||||||||
9.750%, 09/17/2026 (a)(f)
|
1,487,286
|
1,398,049
|
||||||
13.500%, 03/21/2083 (f)
|
109,999
|
33,000
|
||||||
NGL Energy Operating LLC / NGL Energy Finance Corp.
|
||||||||
7.500%, 02/01/2026 (a)
|
4,258,000
|
4,214,513
|
||||||
Tacora Resources, Inc.
|
||||||||
13.000%, 10/08/2023 (a)(e)(f)
|
1,182,908
|
1,182,908
|
||||||
7,657,070
|
||||||||
Professional, Scientific, and Technical Services – 1.27%
|
||||||||
Aker Horizons ASA
|
||||||||
7.930% (3 Month NIBOR + 3.250%), 08/15/2025 (b)(f)(h)
|
NOK 8,500,000
|
770,803
|
||||||
GemmaCert Ltd.
|
||||||||
9.000%, 05/19/2024 (d)(e)
|
479,392
|
201,000
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
CORPORATE BONDS – 47.51% (CONTINUED)
|
||||||||
Professional, Scientific, and
|
||||||||
Technical Services – 1.27% (Continued)
|
||||||||
Getty Images, Inc.
|
||||||||
9.750%, 03/01/2027 (a)
|
2,568,000
|
$
|
2,568,035
|
|||||
LifeFit Group MidCo GmbH
|
||||||||
13.112% (3 Month EURIBOR + 7.500%), 01/26/2025 (b)(f)(g)
|
EUR 1,172,866
|
1,213,662
|
||||||
4,753,500
|
||||||||
Real Estate and Rental and Leasing – 0.47%
|
||||||||
PHM Group Holding Oyj
|
||||||||
11.378% (3 Month EURIBOR + 7.500%), 06/19/2026 (a)(b)(f)(g)
|
EUR 1,625,000
|
1,739,507
|
||||||
Retail Trade – 2.77%
|
||||||||
99 Escrow Issuer, Inc.
|
||||||||
7.500%, 01/15/2026 (a)
|
4,193,000
|
1,621,382
|
||||||
Advance Auto Parts, Inc.
|
||||||||
1.750%, 10/01/2027
|
4,375,000
|
3,551,309
|
||||||
Anagram International Inc / Anagram Holdings LLC
|
||||||||
15.000%, 08/15/2025 (a)
|
1,640,012
|
1,566,958
|
||||||
The Gap, Inc.
|
||||||||
3.875%, 10/01/2031 (a)
|
5,049,000
|
3,553,313
|
||||||
10,292,962
|
||||||||
Transportation and Warehousing – 3.24%
|
||||||||
Floatel International Ltd.
|
||||||||
11.250%, 03/23/2026 (f)
|
877,000
|
898,925
|
||||||
Kistefos AS
|
||||||||
9.720% (3 Month NIBOR + 5.000%), 09/13/2028 (b)(f)(h)
|
NOK 4,100,000
|
380,902
|
||||||
Skill Bidco ApS
|
||||||||
10.545% (3 Month EURIBOR + 6.750%), 03/02/2028 (b)(f)(g)
|
EUR 2,181,000
|
2,308,768
|
||||||
Summit Midstream Holdings LLC / Summit Midstream Finance Corp.
|
||||||||
9.000%, 10/15/2026 (a)
|
2,372,000
|
2,280,735
|
||||||
Uber Technologies, Inc.
|
||||||||
8.000%, 11/01/2026 (a)
|
2,717,000
|
2,751,682
|
||||||
XPO, Inc.
|
||||||||
6.250%, 06/01/2028 (a)
|
3,542,000
|
3,433,756
|
||||||
12,054,768
|
||||||||
Utilities – 2.48%
|
||||||||
Hawaii Electric Light Company
|
||||||||
3.280%, 12/30/2040 (d)(e)
|
1,500,000
|
855,000
|
||||||
IEA Energy Services LLC
|
||||||||
6.625%, 08/15/2029 (a)
|
8,723,000
|
8,384,984
|
||||||
9,239,984
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
CORPORATE BONDS – 47.51% (CONTINUED)
|
||||||||
Wholesale Trade – 0.22%
|
||||||||
United Natural Foods, Inc.
|
||||||||
6.750%, 10/15/2028 (a)
|
1,025,000
|
$
|
782,741
|
|||||
TOTAL CORPORATE BONDS (Cost $183,947,045)
|
176,708,890
|
|||||||
MORTGAGE BACKED SECURITIES – 6.90%
|
||||||||
Finance and Insurance – 6.90%
|
||||||||
BX 2021-MFM1
|
||||||||
2021-MFM1, 6.946% (1 Month SOFR + 1.614%),
|
||||||||
01/15/2034 (a)(b)
|
1,364,506
|
1,333,789
|
||||||
BX Commercial Mortgage Trust 2019-XL
|
||||||||
2019-XL, 6.367% (1 Month SOFR + 1.034%),
|
||||||||
10/15/2036 (a)(b)
|
3,613,586
|
3,604,469
|
||||||
BX Commercial Mortgage Trust 2020-VKNG
|
||||||||
2020-VKNG, 6.847% (1 Month SOFR + 1.514%),
|
||||||||
10/15/2037 (a)(b)
|
1,309,000
|
1,288,206
|
||||||
BX Commercial Mortgage Trust 2021-SOAR
|
||||||||
2021-SOAR, 6.547% (1 Month SOFR + 1.214%),
|
||||||||
06/15/2038 (a)(b)
|
1,084,377
|
1,056,574
|
||||||
BX Commercial Mortgage Trust 2021-VINO
|
||||||||
2021-VINO, 6.549% (1 Month SOFR + 1.217%),
|
||||||||
05/15/2038 (a)(b)
|
157,968
|
154,060
|
||||||
BX Commercial Mortgage Trust 2021-VOLT
|
||||||||
2021-VOLT, 6.547% (1 Month SOFR + 1.214%),
|
||||||||
09/15/2036 (a)(b)
|
2,982,000
|
2,870,192
|
||||||
BX Commercial Mortgage Trust 2021-XL2
|
||||||||
C, 6.644% (1 Month SOFR + 1.312%), 10/15/2038 (a)(b)
|
978,977
|
952,228
|
||||||
BX Trust 2022-IND
|
||||||||
2022-IND, 7.272% (1 Month SOFR + 1.940%),
|
||||||||
04/15/2037 (a)(b)
|
669,784
|
660,094
|
||||||
CAMB Commercial Mortgage Trust 2019-LIFE
|
||||||||
2019-LIFE, 7.130% (1 Month SOFR + 1.797%),
|
||||||||
12/15/2037 (a)(b)
|
2,550,000
|
2,522,708
|
||||||
Cold Storage Trust 2020-ICE5
|
||||||||
2020-ICE5, 7.547% (1 Month SOFR + 2.214%),
|
||||||||
11/15/2037 (a)(b)
|
3,258,614
|
3,238,905
|
||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4
|
||||||||
2019-ICE4, 6.980% (1 Month SOFR + 1.647%),
|
||||||||
05/15/2036 (a)(b)
|
624,447
|
620,548
|
||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC
|
||||||||
B, 6.496% (1 Month SOFR + 1.164%), 04/15/2038 (a)(b)
|
970,000
|
956,455
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
MORTGAGE BACKED SECURITIES – 6.90% (CONTINUED)
|
||||||||
Finance and Insurance – 6.90% (Continued)
|
||||||||
Life 2022-BMR Mortgage Trust
|
||||||||
A-1, 6.627% (1 Month SOFR + 1.295%), 05/15/2039 (a)(b)
|
4,340,000
|
$
|
4,267,858
|
|||||
MSCG Trust 2018-SELF
|
||||||||
2018-SELF, 7.030% (1 Month SOFR + 1.697%),
|
||||||||
10/15/2037 (a)(b)
|
810,604
|
801,490
|
||||||
SMRT 2022-MINI
|
||||||||
2022-MINI, 6.683% (1 Month SOFR + 1.350%),
|
||||||||
01/15/2039 (a)(b)
|
1,375,000
|
1,338,840
|
||||||
TOTAL MORTGAGE BACKED SECURITIES
|
||||||||
(Cost $25,577,597)
|
25,666,416
|
|||||||
PREFERRED STOCKS – 1.18%
|
||||||||
Finance and Insurance – 0.25%
|
||||||||
Saratoga Investment Corp.
|
||||||||
6.000%, 04/30/2027
|
40,765
|
942,487
|
||||||
Manufacturing – 0.58%
|
||||||||
Fossil Group, Inc.
|
||||||||
7.000%, 11/30/2026
|
130,336
|
2,158,364
|
||||||
Mining, Quarrying, and Oil and Gas Extraction – 0.33%
|
||||||||
NGL Energy Partners LP
|
||||||||
9.000%, No stated maturity
|
48,669
|
1,226,459
|
||||||
Professional, Scientific, and Technical Services – 0.02%
|
||||||||
Argo Blockchain Plc (f)
|
||||||||
8.750%, 11/30/2026
|
8,481
|
58,349
|
||||||
TOTAL PREFERRED STOCKS (Cost $5,291,936)
|
4,385,659
|
Face
|
Notional
|
|||||||||||
Amount†
|
Amount
|
|||||||||||
PURCHASED OPTIONS – 0.03%
|
||||||||||||
Put Options – 0.03%
|
||||||||||||
iShares iBoxx High Yield Corporate Bond ETF (k)
|
||||||||||||
Expiration: 12/15/2023 Exercise Price: $73.00
|
1,010
|
$
|
7,445,720
|
117,160
|
||||||||
TOTAL PURCHASED OPTIONS (Cost $76,285)
|
117,160
|
Schedule of Investments (Continued)
|
Face
|
||||||||
Amount†
|
Value
|
|||||||
REAL ESTATE INVESTMENT TRUSTS – 0.57%
|
||||||||
Real Estate and Rental and Leasing – 0.57%
|
||||||||
CTO Realty Growth, Inc.
|
131,933
|
$
|
2,138,634
|
|||||
TOTAL REAL ESTATE INVESTMENT TRUSTS
|
||||||||
(Cost $2,270,415)
|
2,138,634
|
|||||||
Number of
|
||||||||
Shares
|
||||||||
SPECIAL PURPOSE ACQUISITION COMPANIES – 0.51%
|
||||||||
Alpha Partners Technology
|
||||||||
Merger Corp. Founder Shares (d)(e)(f)(k)
|
8,594
|
690
|
||||||
Berenson Acquisition Corp. Founder Shares (d)(e)(k)
|
12,570
|
—
|
||||||
Revelstone Capital Acquisition Corp. Founder Shares (d)(e)(k)
|
5,925
|
383
|
||||||
Screaming Eagle Acquisition Corp. (f)(k)
|
182,532
|
1,909,285
|
||||||
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES
|
||||||||
(Cost $1,816,105)
|
1,910,358
|
|||||||
WARRANTS – 0.00%
|
||||||||
Financials Acquisition Corp. (f)(j)(k)
|
||||||||
Expiration: 04/04/2027, Exercise Price: $11.50
|
33,086
|
1,211
|
||||||
Leafly Holdings, Inc. (k)
|
||||||||
Expiration: 11/07/2026, Exercise Price: $11.50
|
21,228
|
743
|
||||||
McDermott International Ltd. (d)(e)(f)(k)
|
||||||||
Expiration: 06/30/2027, Exercise Price: $12.33
|
258,269
|
—
|
||||||
McDermott International Ltd. (d)(e)(f)(k)
|
||||||||
Expiration: 06/30/2027, Exercise Price: $15.98
|
286,965
|
—
|
||||||
ProSomnus, Inc. (k)
|
||||||||
Expiration: 04/20/2028, Exercise Price: $11.50
|
151,260
|
9,832
|
||||||
Tacora Resources, Inc. (d)(e)(k)
|
||||||||
Expiration: 05/11/2025, Exercise Price: $0.01
|
20,243,861
|
—
|
||||||
TOTAL WARRANTS (Cost $154,191)
|
11,786
|
Schedule of Investments (Continued)
|
Number of
|
||||||||
Shares
|
Value
|
|||||||
MONEY MARKET FUNDS – 8.62%
|
||||||||
First American Government Obligations
|
||||||||
Fund – Class X, 5.265% (m)
|
14,527,025
|
$
|
14,527,025
|
|||||
First American Treasury Obligations
|
||||||||
Fund – Class X, 5.267% (m)
|
17,544,964
|
17,544,964
|
||||||
TOTAL MONEY MARKET FUNDS (Cost $32,071,989)
|
32,071,989
|
|||||||
Total Investments (Cost $395,115,876) – 102.36%
|
380,737,597
|
|||||||
Liabilities in Excess of Other Assets – (2.36)%
|
(8,777,077
|
)
|
||||||
Total Net Assets – 100.00%
|
$
|
371,960,520
|
†
|
Face amount in U.S. Dollar unless otherwise indicated.
|
(a)
|
Securities issued pursuant to Rule 144A under the Securities Act of 1933 and Regulation S under the Securities Act of 1933. Aggregate value of these securities is $141,060,236 or 37.92% of
Fund’s net assets.
|
(b)
|
Variable rate security. The rate shown represents the rate at September 30, 2023.
|
(c)
|
The rate shown is the effective yield.
|
(d)
|
Illiquid security.
|
(e)
|
Security valued using unobservable inputs.
|
(f)
|
Foreign issued security.
|
(g)
|
Principal amount denominated in Euros.
|
(h)
|
Principal amount denominated in Norwegian Krone.
|
(i)
|
Principal amount denominated in Swedish Krona.
|
(j)
|
Holding denominated in British Pound.
|
(k)
|
Non-income producing security.
|
(l)
|
Security in default.
|
(m)
|
Seven day yield as of September 30, 2023.
|
Schedule of Forward Currency Exchange Contracts
|
Currency
|
USD Value at
|
Currency
|
USD Value at
|
Unrealized
|
||||||||||||||||||
Settlement
|
Counter-
|
to be
|
September 30,
|
to be
|
September 30,
|
Appreciation/
|
||||||||||||||||
Date
|
party
|
Delivered
|
2023
|
Received
|
2023
|
(Depreciation)
|
||||||||||||||||
10/13/23
|
U.S. Bank
|
17,065,000
|
EUR
|
$
|
18,052,528
|
18,342,656
|
USD
|
$
|
18,342,656
|
$
|
290,128
|
|||||||||||
10/13/23
|
U.S. Bank
|
71,705,000
|
NOK
|
6,706,190
|
6,697,834
|
USD
|
6,697,834
|
(8,356
|
)
|
|||||||||||||
10/13/23
|
U.S. Bank
|
67,150,000
|
SEK
|
6,149,642
|
6,055,635
|
USD
|
6,055,635
|
(94,007
|
)
|
|||||||||||||
10/13/23
|
U.S. Bank
|
352,131
|
USD
|
352,131
|
3,943,000
|
SEK
|
361,103
|
8,972
|
||||||||||||||
$
|
31,260,491
|
$
|
31,457,228
|
$
|
196,737
|
Schedule of Written Options Contracts
|
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
Value
|
||||||||||
Call Options
|
||||||||||||
MasTec, Inc.
|
||||||||||||
Expiration: 12/15/2023 Exercise Price: $115.00
|
113
|
$
|
813,261
|
$
|
4,803
|
|||||||
NCR Corp.
|
||||||||||||
Expiration: 01/19/2024 Exercise Price: $30.00
|
108
|
291,276
|
10,584
|
|||||||||
Verizon Communications, Inc.
|
||||||||||||
Expiration: 10/20/2023 Exercise Price: $35.00
|
216
|
700,056
|
864
|
|||||||||
TOTAL CALL OPTIONS
|
1,804,593
|
16,251
|
||||||||||
Put Options
|
||||||||||||
iShares iBoxx $High Yield Corporate Bond ETF
|
||||||||||||
Expiration: 12/15/2023 Exercise Price: $70.00
|
1,010
|
7,445,720
|
40,400
|
|||||||||
NCR Corp.
|
||||||||||||
Expiration: 01/19/2024 Exercise Price: $24.00
|
108
|
291,276
|
7,992
|
|||||||||
Warner Bros. Discovery
|
||||||||||||
Expiration: 11/17/2023 Exercise Price: $12.50
|
126
|
136,836
|
22,932
|
|||||||||
TOTAL PUT OPTIONS
|
7,873,832
|
71,324
|
||||||||||
Total Written Options
|
||||||||||||
(Premiums Received $111,780)
|
$
|
9,678,425
|
$
|
87,575
|
Schedule of Securities Sold Short
|
Face
|
||||||||
Amount
|
Value
|
|||||||
CORPORATE BONDS – (1.51)%
|
||||||||
Finance and Insurance – (0.54)%
|
||||||||
Brightstar Escrow Corp.
|
||||||||
9.750%, 10/15/2025 (a)
|
(2,019,000
|
)
|
$
|
(2,001,508
|
)
|
|||
Information – (0.46)%
|
||||||||
CCO Holdings LLC / CCO Holdings Capital Corp.
|
||||||||
4.750%, 03/01/2030 (a)
|
(2,019,000
|
)
|
(1,697,405
|
)
|
||||
Manufacturing – (0.51)%
|
||||||||
Conagra Brands, Inc.
|
||||||||
7.125%, 10/01/2026
|
(1,000,000
|
)
|
(1,033,546
|
)
|
||||
Johnson & Johnson
|
||||||||
4.950%, 05/15/2033
|
(862,000
|
)
|
(868,741
|
)
|
||||
(1,902,287
|
)
|
|||||||
TOTAL CORPORATE BONDS (Cost $5,814,712)
|
(5,601,200
|
)
|
||||||
Total Securities Sold Short (Proceeds $5,814,712)
|
$
|
(5,601,200
|
)
|
Statements of Assets and Liabilities
|
CrossingBridge
|
CrossingBridge
|
|||||||
Low Duration High
|
Responsible
|
|||||||
Yield Fund
|
Credit Fund
|
|||||||
ASSETS
|
||||||||
Investments, at value
|
||||||||
(cost $639,510,695 and $28,113,129)
|
$
|
624,553,503
|
$
|
28,064,473
|
||||
Cash
|
119,101
|
21,646
|
||||||
Cash held in foreign currency, at value
|
||||||||
(cost $1,929,395 and $243,657)
|
1,921,790
|
242,168
|
||||||
Receivable for investment securities sold
|
3,459,996
|
414,442
|
||||||
Receivable to Adviser
|
—
|
1,917
|
||||||
Dividends and interest receivable
|
8,799,062
|
402,227
|
||||||
Unrealized appreciation of forward
|
||||||||
currency exchange contracts
|
771,309
|
54,727
|
||||||
Receivable for Fund shares sold
|
3,304,813
|
47,607
|
||||||
Prepaid expenses and other assets
|
28,103
|
13,717
|
||||||
TOTAL ASSETS
|
642,957,677
|
29,262,924
|
||||||
LIABILITIES
|
||||||||
Payable for investments purchased
|
34,854,145
|
1,894,258
|
||||||
Payable for Fund shares redeemed
|
736,688
|
6,200
|
||||||
Payable to Adviser
|
324,863
|
—
|
||||||
Payable for distributions to shareholders
|
2,107
|
—
|
||||||
Unrealized depreciation of forward
|
||||||||
currency exchange contracts
|
235,864
|
11,382
|
||||||
Shareholder servicing fees payable
|
227,824
|
7,596
|
||||||
Payable to affiliates
|
90,658
|
20,466
|
||||||
Accrued expenses and other liabilities
|
55,498
|
30,451
|
||||||
TOTAL LIABILITIES
|
36,527,647
|
1,970,353
|
||||||
NET ASSETS
|
$
|
606,430,030
|
$
|
27,292,571
|
||||
Net assets consist of:
|
||||||||
Paid-in capital
|
$
|
635,237,993
|
$
|
28,636,616
|
||||
Total accumulated loss
|
(28,807,963
|
)
|
(1,344,045
|
)
|
||||
NET ASSETS
|
$
|
606,430,030
|
$
|
27,292,571
|
||||
INSTITUTIONAL CLASS
|
||||||||
Shares of beneficial interest outstanding (unlimited
|
||||||||
number of shares authorized, $0.001 par value)
|
62,788,397
|
2,914,367
|
||||||
Net asset value, offering, and
|
||||||||
redemption price per share
|
$
|
9.66
|
$
|
9.36
|
Statements of Assets and Liabilities (Continued)
|
CrossingBridge
|
CrossingBridge
|
|||||||
Ultra-Short
|
Pre-Merger
|
|||||||
Duration Fund
|
SPAC ETF
|
|||||||
ASSETS
|
||||||||
Investments, at value
|
||||||||
(cost $95,828,561 and $67,105,491)
|
$
|
95,098,005
|
$
|
69,010,913
|
||||
Receivable for investment securities sold
|
—
|
16,025
|
||||||
Receivable for foreign currency sold
|
55,519
|
—
|
||||||
Receivable for Fund shares sold
|
325,000
|
—
|
||||||
Dividends and interest receivable
|
949,781
|
—
|
||||||
Unrealized appreciation of forward
|
||||||||
currency exchange contracts
|
56,699
|
—
|
||||||
Prepaid expenses and other assets
|
15,052
|
—
|
||||||
TOTAL ASSETS
|
96,500,056
|
69,026,938
|
||||||
LIABILITIES
|
||||||||
Foreign currency, due to Custodian, at value
|
||||||||
(cost $88 and $—)
|
6
|
—
|
||||||
Payable for investments purchased
|
1,395,503
|
—
|
||||||
Payable for Fund shares redeemed
|
433,971
|
—
|
||||||
Payable to Adviser
|
37,805
|
45,228
|
||||||
Unrealized depreciation of forward
|
||||||||
currency exchange contracts
|
16,388
|
—
|
||||||
Accrued expenses and other liabilities
|
32,723
|
—
|
||||||
Payable to affiliates
|
23,761
|
—
|
||||||
Shareholder servicing fees payable
|
14,417
|
—
|
||||||
TOTAL LIABILITIES
|
1,954,574
|
45,228
|
||||||
NET ASSETS
|
$
|
94,545,482
|
$
|
68,981,710
|
||||
Net assets consist of:
|
||||||||
Paid-in capital
|
$
|
95,394,742
|
$
|
64,948,768
|
||||
Total distributable earnings/(accumulated loss)
|
(849,260
|
)
|
4,032,942
|
|||||
NET ASSETS
|
$
|
94,545,482
|
$
|
68,981,710
|
||||
INSTITUTIONAL CLASS
|
||||||||
Shares of beneficial interest outstanding (unlimited
|
||||||||
number of shares authorized, $0.001 par value)
|
9,544,116
|
|||||||
Net asset value, offering, and
|
||||||||
redemption price per share
|
$
|
9.91
|
||||||
NAV
|
||||||||
Shares of beneficial interest outstanding (unlimited
|
||||||||
number of shares authorized, $0.001 par value)
|
3,180,000
|
|||||||
Net asset value, offering, and
|
||||||||
redemption price per share
|
$
|
21.69
|
Statements of Assets and Liabilities (Continued)
|
RiverPark
|
||||
Strategic
|
||||
Income Fund
|
||||
ASSETS
|
||||
Investments, at value (cost $395,115,876)
|
$
|
380,737,597
|
||
Cash held in foreign currency, at value (cost $1,006,543)
|
1,006,728
|
|||
Receivable for investment securities sold
|
3,944,451
|
|||
Receivable for Fund shares sold
|
1,302,891
|
|||
Unrealized appreciation of forward currency exchange contracts
|
299,100
|
|||
Deposit at broker for securities sold short
|
8,692,711
|
|||
Dividends and interest receivable
|
4,917,289
|
|||
Prepaid expenses and other assets
|
94,328
|
|||
TOTAL ASSETS
|
400,995,095
|
|||
LIABILITIES
|
||||
Securities sold short, at value (proceeds $5,814,712)
|
5,601,200
|
|||
Written options, at value (premiums received $111,780)
|
87,575
|
|||
Payable for investments purchased
|
22,526,003
|
|||
Payable for Fund shares redeemed
|
208,838
|
|||
Unrealized depreciation of forward currency exchange contracts
|
102,363
|
|||
Payable to Adviser
|
196,311
|
|||
Payable for distributions to shareholders
|
80
|
|||
Interest payable
|
150,507
|
|||
Payable to affiliates
|
46,084
|
|||
Shareholder servicing fees payable
|
27,581
|
|||
Accrued distribution expense
|
5,960
|
|||
Accrued expenses and other liabilities
|
82,073
|
|||
TOTAL LIABILITIES
|
29,034,575
|
|||
NET ASSETS
|
$
|
371,960,520
|
||
Net assets consist of:
|
||||
Paid-in capital
|
$
|
459,507,116
|
||
Total distributable earnings/(accumulated loss)
|
(87,546,596
|
)
|
||
NET ASSETS
|
$
|
371,960,520
|
||
INSTITUTIONAL CLASS
|
||||
Net assets
|
352,179,597
|
|||
Shares of beneficial interest outstanding
|
||||
(unlimited number of shares authorized, $0.001 par value)
|
41,233,701
|
|||
Net asset value, offering, and redemption price per share
|
$
|
8.54
|
||
RETAIL CLASS
|
||||
Net assets
|
19,780,923
|
|||
Shares of beneficial interest outstanding
|
||||
(unlimited number of shares authorized, $0.001 par value)
|
2,311,882
|
|||
Net asset value, offering, and redemption price per share
|
$
|
8.56
|
Statements of Operations
|
CrossingBridge
|
CrossingBridge
|
|||||||
Low Duration High
|
Responsible
|
|||||||
Yield Fund
|
Credit Fund
|
|||||||
INVESTMENT INCOME
|
||||||||
Interest income
|
$
|
44,007,226
|
$
|
2,229,561
|
||||
Dividend income
|
16,872
|
34,681
|
||||||
TOTAL INVESTMENT INCOME
|
44,024,098
|
2,264,242
|
||||||
EXPENSES
|
||||||||
Management fees (Note 4)
|
3,474,832
|
156,533
|
||||||
Shareholder servicing fees – Institutional Class (Note 5)
|
534,590
|
24,082
|
||||||
Administration and accounting fees (Note 6)
|
295,018
|
71,972
|
||||||
Transfer agent fees and expenses (Note 6)
|
150,185
|
21,355
|
||||||
Legal fees
|
58,100
|
16,244
|
||||||
Custody fees (Note 6)
|
56,485
|
15,445
|
||||||
Expense recoupment by Adviser (Note 4)
|
55,951
|
—
|
||||||
Reports to shareholders
|
45,041
|
3,186
|
||||||
Federal and state registration fees
|
42,835
|
17,982
|
||||||
Audit and tax fees
|
32,032
|
25,009
|
||||||
Trustees’ fees
|
22,091
|
22,091
|
||||||
Other expenses
|
17,532
|
9,681
|
||||||
Pricing fees (Note 6)
|
16,419
|
7,760
|
||||||
Chief Compliance Officer fees
|
12,870
|
12,870
|
||||||
Insurance fees
|
7,757
|
4,380
|
||||||
TOTAL EXPENSES
|
4,821,738
|
408,590
|
||||||
Less waivers and reimbursement by Adviser (Note 4)
|
(845
|
)
|
(191,487
|
)
|
||||
NET EXPENSES
|
4,820,893
|
217,103
|
||||||
NET INVESTMENT INCOME
|
39,203,205
|
2,047,139
|
||||||
REALIZED AND UNREALIZED
|
||||||||
GAIN (LOSS) ON INVESTMENTS
|
||||||||
Net realized gain (loss) on:
|
||||||||
Investments
|
(8,640,591
|
)
|
(918,656
|
)
|
||||
Foreign currency exchange contracts
|
(2,799,126
|
)
|
(295,000
|
)
|
||||
Foreign currency transactions
|
(51,451
|
)
|
41,180
|
|||||
Contribution by Affiliate (Note 6)
|
—
|
12
|
||||||
(11,491,168
|
)
|
(1,172,464
|
)
|
|||||
Net change in unrealized appreciation (depreciation) on:
|
||||||||
Investments
|
9,284,097
|
922,214
|
||||||
Foreign currency exchange contracts
|
(1,618,383
|
)
|
(60,927
|
)
|
||||
Foreign currency translation
|
52,734
|
2,892
|
||||||
7,718,448
|
864,179
|
|||||||
NET REALIZED AND UNREALIZED
|
||||||||
LOSS ON INVESTMENTS
|
(3,772,720
|
)
|
(308,285
|
)
|
||||
NET INCREASE (DECREASE) IN NET
|
||||||||
ASSETS FROM OPERATIONS
|
$
|
35,430,485
|
$
|
1,738,854
|
Statements of Operations (Continued)
|
CrossingBridge
|
CrossingBridge
|
|||||||
Ultra-Short
|
Pre-Merger
|
|||||||
Duration Fund
|
SPAC ETF
|
|||||||
INVESTMENT INCOME
|
||||||||
Interest income
|
$
|
5,169,504
|
$
|
429,448
|
||||
Dividend income
|
120,744
|
—
|
||||||
TOTAL INVESTMENT INCOME
|
5,290,248
|
429,448
|
||||||
EXPENSES
|
||||||||
Management fees (Note 4)
|
551,761
|
521,078
|
||||||
Shareholder servicing fees – Institutional Class (Note 5)
|
84,886
|
—
|
||||||
Administration and accounting fees (Note 6)
|
77,000
|
—
|
||||||
Transfer agent fees and expenses (Note 6)
|
29,419
|
—
|
||||||
Audit and tax fees
|
24,915
|
—
|
||||||
Federal and state registration fees
|
23,259
|
—
|
||||||
Trustees’ fees
|
22,091
|
—
|
||||||
Legal fees
|
20,827
|
—
|
||||||
Custody fees (Note 6)
|
15,624
|
—
|
||||||
Chief Compliance Officer fees
|
12,870
|
—
|
||||||
Other expenses
|
9,861
|
—
|
||||||
Pricing fees (Note 6)
|
8,862
|
—
|
||||||
Insurance fees
|
4,561
|
—
|
||||||
Reports to shareholders
|
3,818
|
—
|
||||||
Interest expense
|
20
|
—
|
||||||
Excise tax
|
—
|
72
|
||||||
TOTAL EXPENSES
|
889,774
|
521,150
|
||||||
Less waivers and reimbursement by Adviser (Note 4)
|
(125,503
|
)
|
—
|
|||||
NET EXPENSES
|
764,271
|
521,150
|
||||||
NET INVESTMENT INCOME (LOSS)
|
4,525,977
|
(91,702
|
)
|
|||||
REALIZED AND UNREALIZED
|
||||||||
GAIN (LOSS) ON INVESTMENTS
|
||||||||
Net realized gain (loss) on:
|
||||||||
Investments
|
88,769
|
2,801,576
|
||||||
In-kind redemptions
|
—
|
249,785
|
||||||
Foreign currency exchange contracts
|
(181,601
|
)
|
(169,334
|
)
|
||||
Foreign currency transactions
|
43,799
|
6,745
|
||||||
(49,033
|
)
|
2,888,772
|
||||||
Net change in unrealized appreciation (depreciation) on:
|
||||||||
Investments
|
83,230
|
1,433,571
|
||||||
Foreign currency exchange contracts
|
(32,312
|
)
|
(59,606
|
)
|
||||
Foreign currency translation
|
(282
|
)
|
—
|
|||||
50,636
|
1,373,965
|
|||||||
NET REALIZED AND UNREALIZED
|
||||||||
GAIN (LOSS) ON INVESTMENTS
|
1,603
|
4,262,737
|
||||||
NET INCREASE IN NET
|
||||||||
ASSETS FROM OPERATIONS
|
$
|
4,527,580
|
$
|
4,171,035
|
Statements of Operations (Continued)
|
RiverPark
|
||||
Strategic
|
||||
Income Fund
|
||||
INVESTMENT INCOME
|
||||
Interest income
|
$
|
21,068,953
|
||
Dividend income
|
1,519,417
|
|||
TOTAL INVESTMENT INCOME
|
22,588,370
|
|||
EXPENSES
|
||||
Management fees (Note 4)
|
1,649,989
|
|||
Administration and accounting fees (Note 6)
|
318,510
|
|||
Shareholder servicing fees – Institutional Class (Note 5)
|
116,074
|
|||
Interest expense
|
91,067
|
|||
Transfer agent fees and expenses (Note 6)
|
74,568
|
|||
Shareholder servicing fees – Retail Class (Note 5)
|
37,863
|
|||
Federal and state registration fees
|
37,302
|
|||
Audit and tax fees
|
34,671
|
|||
Custody fees (Note 6)
|
21,612
|
|||
Trustees’ fees
|
20,807
|
|||
Reports to shareholders
|
19,927
|
|||
Pricing fees (Note 6)
|
18,649
|
|||
Distribution (12b-1) expense (Note 5)
|
18,508
|
|||
Other expenses
|
17,435
|
|||
Dividend expense
|
15,386
|
|||
Legal fees
|
9,134
|
|||
Chief Compliance Officer fees
|
4,832
|
|||
Insurance fees
|
24,013
|
|||
TOTAL EXPENSES
|
2,530,347
|
|||
Less waivers and reimbursement by Adviser (Note 4)
|
—
|
|||
NET EXPENSES
|
2,530,347
|
|||
NET INVESTMENT INCOME (LOSS)
|
20,058,023
|
|||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
|
||||
Net realized gain (loss) on:
|
||||
Investments
|
(7,024,574
|
)
|
||
Written options
|
598,009
|
|||
Foreign currency exchange contracts
|
(305,867
|
)
|
||
Foreign currency transactions
|
(86,217
|
)
|
||
(6,818,649
|
)
|
|||
Net change in unrealized appreciation (depreciation) on:
|
||||
Investments
|
3,158,485
|
|||
Foreign currency exchange contracts
|
(198,353
|
)
|
||
Foreign currency translation
|
52,936
|
|||
3,013,068
|
||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
|
(3,805,581
|
)
|
||
NET INCREASE IN NET ASSETS FROM OPERATIONS
|
$
|
16,252,442
|
Statements of Changes in Net Assets
|
Year Ended
|
Year Ended
|
|||||||
September 30, 2023
|
September 30, 2022
|
|||||||
FROM OPERATIONS
|
||||||||
Net investment income
|
$
|
39,203,205
|
$
|
16,358,443
|
||||
Net realized gain (loss) on:
|
||||||||
Investments
|
(8,640,591
|
)
|
(4,506,665
|
)
|
||||
Forward currency exchange contracts
|
(2,799,126
|
)
|
7,120,130
|
|||||
Foreign currency transactions
|
(51,451
|
)
|
(95,309
|
)
|
||||
Net change in unrealized
|
||||||||
appreciation (depreciation) on:
|
||||||||
Investments
|
9,284,097
|
(24,276,638
|
)
|
|||||
Forward currency exchange contracts
|
(1,618,383
|
)
|
1,695,109
|
|||||
Foreign currency translation
|
52,734
|
(15,252
|
)
|
|||||
Net increase (decrease) in
|
||||||||
net assets from operations
|
35,430,485
|
(3,720,182
|
)
|
|||||
FROM DISTRIBUTIONS
|
||||||||
Distributions to shareholders
|
(45,038,845
|
)
|
(22,048,408
|
)
|
||||
Decrease in net assets
|
||||||||
resulting from distributions paid
|
(45,038,845
|
)
|
(22,048,408
|
)
|
||||
FROM CAPITAL SHARE TRANSACTIONS
|
||||||||
Proceeds from sales of shares –
|
||||||||
Institutional Class
|
314,420,834
|
491,767,133
|
||||||
Net asset value of shares issued to shareholders
|
||||||||
in payment of distributions declared –
|
||||||||
Institutional Class
|
36,263,479
|
16,583,903
|
||||||
Payments for shares redeemed –
|
||||||||
Institutional Class
|
(279,538,917
|
)
|
(264,173,086
|
)
|
||||
Net increase in net assets
|
||||||||
from capital share transactions
|
71,145,396
|
244,177,950
|
||||||
TOTAL INCREASE IN NET ASSETS
|
61,537,036
|
218,409,360
|
||||||
NET ASSETS:
|
||||||||
Beginning of Year
|
544,892,994
|
326,483,634
|
||||||
End of Year
|
$
|
606,430,030
|
$
|
544,892,994
|
Statements of Changes in Net Assets (Continued)
|
Year Ended
|
Year Ended
|
|||||||
September 30, 2023
|
September 30, 2022
|
|||||||
FROM OPERATIONS
|
||||||||
Net investment income
|
$
|
2,047,139
|
$
|
647,816
|
||||
Net realized gain (loss) on:
|
||||||||
Investments
|
(918,656
|
)
|
36,007
|
|||||
Forward currency exchange contracts
|
(295,000
|
)
|
284,549
|
|||||
Foreign currency transactions
|
41,180
|
3,442
|
||||||
Contribution by Affiliate (Note 6)
|
12
|
—
|
||||||
Net change in unrealized
|
||||||||
appreciation (depreciation) on:
|
||||||||
Investments
|
922,214
|
(978,706
|
)
|
|||||
Forward currency exchange contracts
|
(60,927
|
)
|
59,536
|
|||||
Foreign currency translation
|
2,892
|
(654
|
)
|
|||||
Net increase in net assets from operations
|
1,738,854
|
51,990
|
||||||
FROM DISTRIBUTIONS
|
||||||||
Distributions to shareholders
|
(2,448,649
|
)
|
(736,927
|
)
|
||||
Decrease in net assets
|
||||||||
resulting from distributions paid
|
(2,448,649
|
)
|
(736,927
|
)
|
||||
FROM CAPITAL SHARE TRANSACTIONS
|
||||||||
Proceeds from sales of shares –
|
||||||||
Institutional Class
|
9,198,001
|
8,248,399
|
||||||
Net asset value of shares issued to shareholders
|
||||||||
in payment of distributions declared –
|
||||||||
Institutional Class
|
2,005,227
|
699,429
|
||||||
Payments for shares redeemed –
|
||||||||
Institutional Class
|
(4,363,352
|
)
|
(3,989,824
|
)
|
||||
Net increase in net assets
|
||||||||
from capital share transactions
|
6,839,876
|
4,958,004
|
||||||
TOTAL INCREASE IN NET ASSETS
|
6,130,081
|
4,273,067
|
||||||
NET ASSETS:
|
||||||||
Beginning of Year
|
21,162,490
|
16,889,423
|
||||||
End of Year
|
$
|
27,292,571
|
$
|
21,162,490
|
Statements of Changes in Net Assets (Continued)
|
Year Ended
|
Year Ended
|
|||||||
September 30, 2023
|
September 30, 2022
|
|||||||
FROM OPERATIONS
|
||||||||
Net investment income (loss)
|
$
|
4,525,977
|
$
|
943,281
|
||||
Net realized gain (loss) on:
|
||||||||
Investments
|
88,769
|
197,246
|
||||||
Forward currency exchange contracts
|
(181,601
|
)
|
304,365
|
|||||
Foreign currency transactions
|
43,799
|
(12,845
|
)
|
|||||
Net change in unrealized
|
||||||||
appreciation (depreciation) on:
|
||||||||
Investments
|
83,230
|
(841,576
|
)
|
|||||
Forward currency exchange contracts
|
(32,312
|
)
|
72,623
|
|||||
Foreign currency translation
|
(282
|
)
|
—
|
|||||
Net increase in net assets from operations
|
4,527,580
|
663,094
|
||||||
FROM DISTRIBUTIONS
|
||||||||
Distributions to shareholders
|
(5,115,777
|
)
|
(955,104
|
)
|
||||
Decrease in net assets
|
||||||||
resulting from distributions paid
|
(5,115,777
|
)
|
(955,104
|
)
|
||||
FROM CAPITAL SHARE TRANSACTIONS
|
||||||||
Proceeds from sales of shares –
|
||||||||
Institutional Class
|
50,611,714
|
45,183,829
|
||||||
Net asset value of shares issued to shareholders
|
||||||||
in payment of distributions declared –
|
||||||||
Institutional Class
|
570,230
|
58,106
|
||||||
Payments for shares redeemed –
|
||||||||
Institutional Class
|
(24,381,265
|
)
|
(13,677,662
|
)
|
||||
Net increase in net assets
|
||||||||
from capital share transactions
|
26,800,679
|
31,564,273
|
||||||
TOTAL INCREASE IN NET ASSETS
|
26,212,482
|
31,272,263
|
||||||
NET ASSETS:
|
||||||||
Beginning of Year
|
68,333,000
|
37,060,737
|
||||||
End of Year
|
$
|
94,545,482
|
$
|
68,333,000
|
Statements of Changes in Net Assets (Continued)
|
Year Ended
|
Year Ended
|
|||||||
September 30, 2023
|
September 30, 2022
|
|||||||
FROM OPERATIONS
|
||||||||
Net investment loss
|
$
|
(91,702
|
)
|
$
|
(357,283
|
)
|
||
Net realized gain (loss) on:
|
||||||||
Investments
|
3,051,361
|
306,167
|
||||||
Forward currency exchange contracts
|
(169,334
|
)
|
151,988
|
|||||
Foreign currency transactions
|
6,745
|
(3,669
|
)
|
|||||
Net change in unrealized
|
||||||||
appreciation (depreciation) on:
|
||||||||
Investments
|
1,433,571
|
473,644
|
||||||
Forward currency exchange contracts
|
(59,606
|
)
|
59,606
|
|||||
Net increase (decrease) in
|
||||||||
net assets from operations
|
4,171,035
|
630,453
|
||||||
FROM DISTRIBUTIONS
|
||||||||
Distributions to shareholders
|
(636,389
|
)
|
(62,424
|
)
|
||||
Decrease in net assets
|
||||||||
resulting from distributions paid
|
(636,389
|
)
|
(62,424
|
)
|
||||
FROM CAPITAL SHARE TRANSACTIONS
|
||||||||
Proceeds from sales of shares
|
14,550,494
|
66,766,005
|
||||||
Net asset value of shares issued to shareholders
|
||||||||
in payment of distributions declared
|
—
|
—
|
||||||
Payments for shares redeemed
|
(12,414,961
|
)
|
(9,824,286
|
)
|
||||
Net increase in net assets
|
||||||||
from capital share transactions
|
2,135,533
|
56,941,719
|
||||||
TOTAL INCREASE IN NET ASSETS
|
5,670,179
|
57,509,748
|
||||||
NET ASSETS:
|
||||||||
Beginning of Year
|
63,311,531
|
5,801,783
|
||||||
End of Year
|
$
|
68,981,710
|
$
|
63,311,531
|
Statements of Changes in Net Assets (Continued)
|
Year Ended
|
Year Ended
|
|||||||
September 30, 2023
|
September 30, 2022
|
|||||||
FROM OPERATIONS
|
||||||||
Net investment income
|
$
|
20,058,023
|
$
|
10,069,000
|
||||
Net realized gain (loss) on:
|
||||||||
Investments
|
(7,024,574
|
)
|
(1,145,000
|
)
|
||||
Written options
|
598,009
|
—
|
||||||
Forward currency exchange contracts
|
(305,867
|
)
|
—
|
|||||
Foreign currency transactions
|
(86,217
|
)
|
—
|
|||||
Net change in unrealized
|
||||||||
appreciation (depreciation) on:
|
||||||||
Investments
|
3,158,485
|
(11,181,000
|
)
|
|||||
Forward currency exchange contracts
|
(198,353
|
)
|
—
|
|||||
Foreign currency translation
|
52,936
|
—
|
||||||
Net increase (decrease) in
|
||||||||
net assets from operations
|
16,252,442
|
(2,257,000
|
)
|
|||||
FROM DISTRIBUTIONS
|
||||||||
Distributions to shareholders:
|
||||||||
Institutional Class Shares
|
(19,952,177
|
)
|
(10,697,000
|
)
|
||||
Retail Class Shares
|
(1,538,019
|
)
|
(844,000
|
)
|
||||
Decrease in net assets
|
||||||||
resulting from distributions paid
|
(21,490,196
|
)
|
(11,541,000
|
)
|
||||
FROM CAPITAL SHARE TRANSACTIONS
|
||||||||
Institutional Class Shares
|
||||||||
Proceeds from sales of shares
|
262,636,965
|
79,975,000
|
||||||
Net asset value of shares issued to shareholders
|
||||||||
in payment of distributions declared
|
19,751,686
|
10,234,000
|
||||||
Payments for shares redeemed
|
(94,214,531
|
)
|
(104,775,000
|
)
|
||||
Net increase (decrease) in net assets
|
||||||||
from Institutional Class Shares
|
||||||||
capital share transactions
|
188,174,120
|
(14,566,000
|
)
|
|||||
Retail Class Shares
|
||||||||
Proceeds from sales of shares
|
11,334,312
|
24,203,000
|
||||||
Net asset value of shares issued to shareholders
|
||||||||
in payment of distributions declared
|
1,487,966
|
817,000
|
||||||
Payments for shares redeemed
|
(12,264,124
|
)
|
(17,257,000
|
)
|
||||
Net increase in net assets from Retail Class
|
||||||||
Shares capital share transactions
|
558,154
|
7,763,000
|
||||||
Net increase (decrease) in net assets
|
||||||||
from capital share transactions
|
188,732,274
|
(6,803,000
|
)
|
|||||
TOTAL INCREASE (DECREASE)
|
||||||||
IN NET ASSETS
|
183,494,520
|
(20,601,000
|
)
|
|||||
NET ASSETS:
|
||||||||
Beginning of Year
|
188,466,000
|
209,067,000
|
||||||
End of Year
|
$
|
371,960,520
|
$
|
188,466,000
|
Financial Highlights
|
Year Ended September 30,
|
||||||||||||||||||||
2023
|
2022
|
2021
|
2020
|
2019
|
||||||||||||||||
Net Asset Value, Beginning of Year
|
$
|
9.84
|
$
|
10.36
|
$
|
9.86
|
$
|
10.04
|
$
|
10.06
|
||||||||||
Income from investment operations:
|
||||||||||||||||||||
Net investment income(1)
|
0.72
|
0.33
|
0.34
|
0.35
|
0.29
|
|||||||||||||||
Net realized and unrealized
|
||||||||||||||||||||
gain (loss) on investments(2)
|
(0.06
|
)
|
(0.36
|
)
|
0.54
|
(0.18
|
)
|
(0.02
|
)
|
|||||||||||
Total from investment operations
|
0.66
|
(0.03
|
)
|
0.88
|
0.17
|
0.27
|
||||||||||||||
Less distributions paid:
|
||||||||||||||||||||
From net investment income
|
(0.73
|
)
|
(0.33
|
)
|
(0.38
|
)
|
(0.35
|
)
|
(0.29
|
)
|
||||||||||
From net realized gains
|
(0.11
|
)
|
(0.16
|
)
|
—
|
—
|
(0.00
|
)(3)
|
||||||||||||
Total distributions paid
|
(0.84
|
)
|
(0.49
|
)
|
(0.38
|
)
|
(0.35
|
)
|
(0.29
|
)
|
||||||||||
Net Asset Value, End of Year
|
$
|
9.66
|
$
|
9.84
|
$
|
10.36
|
$
|
9.86
|
$
|
10.04
|
||||||||||
Total Return(4)
|
7.02
|
%
|
(0.39
|
%)
|
9.13
|
%
|
1.80
|
%
|
2.71
|
%
|
||||||||||
Supplemental Data and Ratios:
|
||||||||||||||||||||
Net assets, end of year (000’s)
|
$
|
606,430
|
$
|
544,893
|
$
|
326,484
|
$
|
144,124
|
$
|
129,019
|
||||||||||
Ratio of expenses to average net assets:
|
||||||||||||||||||||
Before waivers and
|
||||||||||||||||||||
reimbursements of expenses
|
0.90
|
%(5)
|
0.88
|
%(6)
|
0.91
|
%(7)
|
0.96
|
%
|
1.08
|
%
|
||||||||||
After waivers and
|
||||||||||||||||||||
reimbursements of expenses
|
0.90
|
%(5)
|
0.88
|
%(6)
|
0.88
|
%(7)
|
0.90
|
%
|
0.96
|
%
|
||||||||||
Ratio of net investment income to
|
||||||||||||||||||||
average net assets:
|
||||||||||||||||||||
Before waivers and
|
||||||||||||||||||||
reimbursements of expenses
|
7.33
|
%
|
3.30
|
%
|
3.34
|
%
|
3.35
|
%
|
2.83
|
%
|
||||||||||
After waivers and
|
||||||||||||||||||||
reimbursements of expenses
|
7.33
|
%
|
3.30
|
%
|
3.37
|
%
|
3.41
|
%
|
2.95
|
%
|
||||||||||
Portfolio turnover rate(8)
|
130.57
|
%
|
136.70
|
%
|
169.73
|
%
|
224.86
|
%
|
198.63
|
%
|
(1)
|
Per share net investment income was calculated using average shares outstanding method.
|
(2)
|
Net realized and unrealized gain (loss) per share in the caption are balancing amounts necessary to reconcile the change in net asset value per share for the period and may not reconcile with
the aggregate gains and losses in the Statements of Operations.
|
(3)
|
Less than $0.005 per share.
|
(4)
|
Total return represents the rate that investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends.
|
(5)
|
This ratio includes previous expense reimbursements recouped by the Adviser. If this recoupment was excluded, this ratio would be 0.89%.
|
(6)
|
This ratio includes previous expense reimbursements recouped by the Adviser. If this recoupment was excluded, this ratio would be 0.85%.
|
(7)
|
This ratio includes previous expense reimbursements recouped by the Adviser. If this recoupment was excluded, this ratio would be unchanged.
|
(8)
|
Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.
|
Financial Highlights
|
Period from
|
||||||||||||
June 30, 2021(1)
|
||||||||||||
Year Ended
|
Year Ended
|
through
|
||||||||||
September 30,
|
September 30,
|
September 30,
|
||||||||||
2023
|
2022
|
2021
|
||||||||||
Net Asset Value,
|
||||||||||||
Beginning of Year/Period
|
$
|
9.65
|
$
|
10.01
|
$
|
10.00
|
||||||
Income from investment operations:
|
||||||||||||
Net investment income(2)
|
0.81
|
0.38
|
0.06
|
|||||||||
Net realized and unrealized
|
||||||||||||
loss on investments(3)
|
(0.13
|
)
|
(0.33
|
)
|
(0.01
|
)
|
||||||
Total from investment operations
|
0.68
|
0.05
|
0.05
|
|||||||||
Less distributions paid:
|
||||||||||||
From net investment income
|
(0.83
|
)
|
(0.39
|
)
|
(0.04
|
)
|
||||||
From net realized gains
|
(0.14
|
)
|
(0.02
|
)
|
—
|
|||||||
Total distributions paid
|
(0.97
|
)
|
(0.41
|
)
|
(0.04
|
)
|
||||||
Net Asset Value, End of Year/Period
|
$
|
9.36
|
$
|
9.65
|
$
|
10.01
|
||||||
Total Return(4)
|
7.45
|
%
|
0.45
|
%
|
0.57
|
%
|
||||||
Supplemental Data and Ratios:
|
||||||||||||
Net assets, end of year/period (000’s)
|
$
|
27,293
|
$
|
21,162
|
$
|
16,889
|
||||||
Ratio of expenses to average net assets:
|
||||||||||||
Before waivers and
|
||||||||||||
reimbursements of expenses(5)
|
1.70
|
%
|
1.97
|
%
|
2.77
|
%
|
||||||
After waivers and
|
||||||||||||
reimbursements of expenses(5)
|
0.90
|
%
|
0.89
|
%
|
0.91
|
%(6)
|
||||||
Ratio of net investment income
|
||||||||||||
to average net assets:
|
||||||||||||
Before waivers and
|
||||||||||||
reimbursements of expenses(5)
|
7.70
|
%
|
2.75
|
%
|
0.50
|
%
|
||||||
After waivers and
|
||||||||||||
reimbursements of expenses(5)
|
8.50
|
%
|
3.83
|
%
|
2.36
|
%
|
||||||
Portfolio turnover rate(7)
|
129.55
|
%
|
173.58
|
%
|
39.47
|
%
|
(1)
|
Commencement of investment operations.
|
(2)
|
Per share net investment income was calculated using average shares outstanding method.
|
(3)
|
Net realized and unrealized loss per share in the caption are balancing amounts necessary to reconcile the change in net asset value per share for the period and may not reconcile with the
aggregate gains and losses in the Statements of Operations.
|
(4)
|
Total return represents the rate that investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. Total return for a period of less than one year is not
annualized.
|
(5)
|
Annualized for periods less than one year.
|
(6)
|
The ratio of expenses to average net assets after waivers and reimbursement of expenses includes bank loan service charges. Excluding these charges, the ratio was 0.90%.
|
(7)
|
Portfolio turnover not annualized for periods less than one year. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.
|
Financial Highlights
|
Period from
|
||||||||||||
June 30, 2021(1)
|
||||||||||||
Year Ended
|
Year Ended
|
through
|
||||||||||
September 30,
|
September 30,
|
September 30,
|
||||||||||
2023
|
2022
|
2021
|
||||||||||
Net Asset Value,
|
||||||||||||
Beginning of Year/Period
|
$
|
9.97
|
$
|
10.01
|
$
|
10.00
|
||||||
Income from investment operations:
|
||||||||||||
Net investment income (loss)(2)
|
0.53
|
0.16
|
(0.01
|
)
|
||||||||
Net realized and unrealized
|
||||||||||||
gain (loss) on investments(3)
|
0.00
|
(4)
|
(0.05
|
)
|
0.02
|
|||||||
Total from investment operations
|
0.53
|
0.11
|
0.01
|
|||||||||
Less distributions paid:
|
||||||||||||
From net investment income
|
(0.53
|
)
|
(0.14
|
)
|
—
|
|||||||
From net realized gains
|
(0.06
|
)
|
(0.01
|
)
|
—
|
|||||||
Total distributions paid
|
(0.59
|
)
|
(0.15
|
)
|
—
|
|||||||
Net Asset Value, End of Year/Period
|
$
|
9.91
|
$
|
9.97
|
$
|
10.01
|
||||||
Total Return(5)
|
5.44
|
%
|
1.12
|
%
|
0.07
|
%
|
||||||
Supplemental Data and Ratios:
|
||||||||||||
Net assets, end of year/period (000’s)
|
$
|
94,545
|
$
|
68,333
|
$
|
37,061
|
||||||
Ratio of expenses to average net assets:
|
||||||||||||
Before waivers and
|
||||||||||||
reimbursements of expenses(6)
|
1.05
|
%
|
1.13
|
%
|
2.68
|
%
|
||||||
After waivers and
|
||||||||||||
reimbursements of expenses(6)
|
0.90
|
%
|
0.89
|
%
|
0.90
|
%
|
||||||
Ratio of net investment income (loss)
|
||||||||||||
to average net assets:
|
||||||||||||
Before waivers and
|
||||||||||||
reimbursements of expenses(6)
|
5.18
|
%
|
1.40
|
%
|
(2.06
|
%)
|
||||||
After waivers and
|
||||||||||||
reimbursements of expenses(6)
|
5.33
|
%
|
1.64
|
%
|
(0.28
|
%)
|
||||||
Portfolio turnover rate(7)
|
217.47
|
%
|
155.17
|
%
|
41.74
|
%
|
(1)
|
Commencement of investment operations.
|
(2)
|
Per share net investment income (loss) was calculated using average shares outstanding method.
|
(3)
|
Net realized and unrealized gain (loss) per share in the caption are balancing amounts necessary to reconcile the change in net asset value per share for the period and may not reconcile with
the aggregate gains and losses in the Statements of Operations.
|
(4)
|
Amount between $0.00 and $0.005 per share.
|
(5)
|
Total return represents the rate that investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. Total return for a period of less than one year is not
annualized.
|
(6)
|
Annualized for periods less than one year.
|
(7)
|
Portfolio turnover not annualized for periods less than one year. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.
|
Financial Highlights
|
Period from
|
||||||||||||
September 20,
|
||||||||||||
Year Ended
|
Year Ended
|
2021(1) through
|
||||||||||
September 30,
|
September 30,
|
September 30,
|
||||||||||
2023
|
2022
|
2021
|
||||||||||
Net Asset Value,
|
||||||||||||
Beginning of Year/Period
|
$
|
20.56
|
$
|
20.01
|
$
|
20.00
|
||||||
Income from investment operations:
|
||||||||||||
Net investment loss(2)
|
(0.03
|
)
|
(0.16
|
)
|
(0.00
|
)(3)
|
||||||
Net realized and unrealized
|
||||||||||||
gain on investments(4)
|
1.38
|
0.73
|
0.01
|
|||||||||
Total from investment operations
|
1.35
|
0.57
|
0.01
|
|||||||||
Less distributions paid:
|
||||||||||||
From net investment income
|
(0.19
|
)
|
(0.02
|
)
|
—
|
|||||||
From net realized gains
|
(0.03
|
)
|
—
|
—
|
||||||||
Total distributions paid
|
(0.22
|
)
|
(0.02
|
)
|
—
|
|||||||
Net Asset Value, End of Year/Period
|
$
|
21.69
|
$
|
20.56
|
$
|
20.01
|
||||||
Total Return(5)
|
6.63
|
%
|
2.85
|
%
|
0.03
|
%
|
||||||
Supplemental Data and Ratios:
|
||||||||||||
Net assets, end of year/period (000’s)
|
$
|
68,982
|
$
|
63,312
|
$
|
5,802
|
||||||
Ratio of expenses to
|
||||||||||||
average net assets(6)
|
0.80
|
%
|
0.81
|
%
|
0.80
|
%
|
||||||
Ratio of net investment
|
||||||||||||
loss to average net assets(6)
|
(0.14
|
%)
|
(0.77
|
%)
|
(0.80
|
%)
|
||||||
Portfolio turnover rate(7)(8)
|
146.32
|
%
|
190.57
|
%
|
4.29
|
%
|
(1)
|
Commencement of investment operations.
|
(2)
|
Per share net investment loss was calculated using average shares outstanding method.
|
(3)
|
Amount between $(0.005) and $0.00 per share.
|
(4)
|
Net realized and unrealized gain per share in the caption are balancing amounts necessary to reconcile the change in net asset value per share for the period and may not reconcile with the
aggregate gains and losses in the Statements of Operations.
|
(5)
|
Total return represents the rate that investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. Total return for a period of less than one year is not
annualized. Total return presented is total return of Net Asset Value. Total return of the Market Value is 6.74%.
|
(6)
|
Annualized for periods less than one year.
|
(7)
|
Portfolio turnover not annualized for periods less than one year. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.
|
(8)
|
Excludes in-kind transactions associated with creations and redemptions of the Fund.
|
Financial Highlights
|
Year Ended September 30,
|
||||||||||||||||||||
2023
|
2022
|
2021
|
2020
|
2019
|
||||||||||||||||
Net Asset Value, Beginning of Year
|
$
|
8.71
|
$
|
9.33
|
$
|
8.60
|
$
|
9.10
|
$
|
9.42
|
||||||||||
Income from investment operations:
|
||||||||||||||||||||
Net investment income(1)
|
0.68
|
0.45
|
0.45
|
0.49
|
0.41
|
|||||||||||||||
Net realized and unrealized
|
||||||||||||||||||||
gain (loss) on investments(2)
|
(0.14
|
)
|
(0.55
|
)
|
0.70
|
(0.51
|
)
|
(0.30
|
)
|
|||||||||||
Total from investment operations
|
0.54
|
(0.10
|
)
|
1.15
|
(0.02
|
)
|
0.11
|
|||||||||||||
Less distributions paid:
|
||||||||||||||||||||
From net investment income
|
(0.71
|
)
|
(0.52
|
)
|
(0.42
|
)
|
(0.48
|
)
|
(0.43
|
)
|
||||||||||
From net realized gains
|
—
|
—
|
—
|
—
|
—
|
|||||||||||||||
Total distributions paid
|
(0.71
|
)
|
(0.52
|
)
|
(0.42
|
)
|
(0.48
|
)
|
(0.43
|
)
|
||||||||||
Net Asset Value, End of Year
|
$
|
8.54
|
$
|
8.71
|
$
|
9.33
|
$
|
8.60
|
$
|
9.10
|
||||||||||
Total Return(3)
|
6.55
|
%
|
(1.27
|
%)
|
13.59
|
%
|
(0.10
|
%)
|
1.17
|
%
|
||||||||||
Supplemental Data and Ratios:
|
||||||||||||||||||||
Net assets, end of year (000’s)
|
$
|
352,180
|
$
|
168,885
|
$
|
195,997
|
$
|
177,850
|
$
|
281,043
|
||||||||||
Ratio of expenses to average net assets:
|
||||||||||||||||||||
Before waivers and
|
||||||||||||||||||||
reimbursements of expenses
|
0.98
|
%(4)
|
1.10
|
%(4)
|
1.18
|
%(5)
|
1.05
|
%(6)
|
1.12
|
%(7)
|
||||||||||
After waivers and
|
||||||||||||||||||||
reimbursements of expenses
|
0.98
|
%(4)
|
1.10
|
%(4)
|
1.18
|
%(5)
|
1.05
|
%(6)
|
1.12
|
%(7)
|
||||||||||
Ratio of net investment income
|
||||||||||||||||||||
to average net assets:
|
||||||||||||||||||||
Before waivers and
|
||||||||||||||||||||
reimbursements of expenses
|
7.92
|
%
|
4.93
|
%
|
4.94
|
%
|
5.58
|
%
|
4.41
|
%
|
||||||||||
After waivers and
|
||||||||||||||||||||
reimbursements of expenses
|
7.92
|
%
|
4.93
|
%
|
4.94
|
%
|
5.58
|
%
|
4.41
|
%
|
||||||||||
Portfolio turnover rate(8)
|
104.44
|
%
|
72.00
|
%
|
89.00
|
%
|
109.00
|
%
|
39.00
|
%
|
(1)
|
Per share net investment income was calculated using average shares outstanding method.
|
(2)
|
Net realized and unrealized gain (loss) per share in the caption are balancing amounts necessary to reconcile the change in net asset value per share for the period and may not reconcile with
the aggregate gains and losses in the Statements of Operations.
|
(3)
|
Total return represents the rate that investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends.
|
(4)
|
This ratio includes dividend expense and interest expense. If these expenses were excluded, this ratio would have been 0.94%.
|
(5)
|
This ratio includes dividend expense and interest expense. If these expenses were excluded, this ratio would have been 0.92%.
|
(6)
|
This ratio includes dividend expense and interest expense. If these expenses were excluded, this ratio would have been 0.91%.
|
(7)
|
This ratio includes dividend expense and interest expense. If these expenses were excluded, this ratio would have been 0.90%.
|
(8)
|
Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.
|
Financial Highlights (Continued)
|
Year Ended September 30,
|
||||||||||||||||||||
2023
|
2022
|
2021
|
2020
|
2019
|
||||||||||||||||
Net Asset Value, Beginning of Year
|
$
|
8.72
|
$
|
9.33
|
$
|
8.60
|
$
|
9.09
|
$
|
9.40
|
||||||||||
Income from investment operations:
|
||||||||||||||||||||
Net investment income(1)
|
0.66
|
0.44
|
0.44
|
0.47
|
0.39
|
|||||||||||||||
Net realized and unrealized
|
||||||||||||||||||||
gain (loss) on investments(2)
|
(0.13
|
)
|
(0.56
|
)
|
0.68
|
(0.50
|
)
|
(0.30
|
)
|
|||||||||||
Total from investment operations
|
0.53
|
(0.12
|
)
|
1.12
|
(0.03
|
)
|
0.09
|
|||||||||||||
Less distributions paid:
|
||||||||||||||||||||
From net investment income
|
(0.69
|
)
|
(0.49
|
)
|
(0.39
|
)
|
(0.46
|
)
|
(0.40
|
)
|
||||||||||
From net realized gains
|
—
|
—
|
—
|
—
|
—
|
|||||||||||||||
Total distributions paid
|
(0.69
|
)
|
(0.49
|
)
|
(0.39
|
)
|
(0.46
|
)
|
(0.40
|
)
|
||||||||||
Net Asset Value, End of Year
|
$
|
8.56
|
$
|
8.72
|
$
|
9.33
|
$
|
8.60
|
$
|
9.09
|
||||||||||
Total Return(3)
|
6.30
|
%
|
(1.41
|
%)
|
13.44
|
%
|
(0.36
|
%)
|
1.02
|
%
|
||||||||||
Supplemental Data and Ratios:
|
||||||||||||||||||||
Net assets, end of year (000’s)
|
$
|
19,781
|
$
|
19,581
|
$
|
13,070
|
$
|
10,479
|
$
|
18,367
|
||||||||||
Ratio of expenses to average net assets:
|
||||||||||||||||||||
Before waivers and
|
||||||||||||||||||||
reimbursements of expenses
|
1.23
|
%(4)
|
1.27
|
%(5)
|
1.33
|
%(6)
|
1.22
|
%(7)
|
1.33
|
%(8)
|
||||||||||
After waivers and
|
||||||||||||||||||||
reimbursements of expenses
|
1.23
|
%(4)
|
1.27
|
%(5)
|
1.33
|
%(6)
|
1.22
|
%(7)
|
1.33
|
%(8)
|
||||||||||
Ratio of net investment income
|
||||||||||||||||||||
to average net assets:
|
||||||||||||||||||||
Before waivers and
|
||||||||||||||||||||
reimbursements of expenses
|
7.65
|
%
|
4.84
|
%
|
4.80
|
%
|
5.40
|
%
|
4.20
|
%
|
||||||||||
After waivers and
|
||||||||||||||||||||
reimbursements of expenses
|
7.65
|
%
|
4.84
|
%
|
4.80
|
%
|
5.40
|
%
|
4.20
|
%
|
||||||||||
Portfolio turnover rate(9)
|
104.44
|
%
|
72.00
|
%
|
89.00
|
%
|
109.00
|
%
|
39.00
|
%
|
(1)
|
Per share net investment income was calculated using average shares outstanding method.
|
(2)
|
Net realized and unrealized gain (loss) per share in the caption are balancing amounts necessary to reconcile the change in net asset value per share for the period and may not reconcile with
the aggregate gains and losses in the Statements of Operations.
|
(3)
|
Total return represents the rate that investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends.
|
(4)
|
This ratio includes dividend expense and interest expense. If these expenses were excluded, this ratio would have been 1.19%.
|
(5)
|
This ratio includes dividend expense and interest expense. If these expenses were excluded, this ratio would have been 1.11%.
|
(6)
|
This ratio includes dividend expense and interest expense. If these expenses were excluded, this ratio would have been 1.07%.
|
(7)
|
This ratio includes dividend expense and interest expense. If these expenses were excluded, this ratio would have been 1.08%.
|
(8)
|
This ratio includes dividend expense and interest expense. If these expenses were excluded, this ratio would have been 1.11%.
|
(9)
|
Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.
|
(1)
|
Organization
|
Trust for Professional Managers (the “Trust”) was organized as a Delaware statutory trust under a Declaration of Trust dated May 29, 2001. The Trust is registered under the Investment Company
Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The CrossingBridge Funds (the “Funds”) are comprised of the CrossingBridge Low Duration High Yield Fund, the CrossingBridge Responsible Credit Fund, the
CrossingBridge Ultra-Short Duration Fund and RiverPark Strategic Income Fund (collectively, the “Mutual Funds”) and the CrossingBridge Pre-Merger SPAC ETF (the “ETF”), each representing a distinct diversified series with its own investment
objective and policies within the Trust.
|
|
The investment objective of the CrossingBridge Low Duration High Yield Fund is to seek high current income and capital appreciation consistent with the preservation of capital. The investment
objective of the CrossingBridge Responsible Credit Fund is to seek high current income and capital appreciation consistent with the preservation of capital. The investment objective of the CrossingBridge Ultra-Short Duration Fund is to offer
a higher yield than cash instruments while maintaining a low duration. The RiverPark Strategic Income Fund seeks high current income and capital appreciation consistent with the preservation of capital.
|
|
The CrossingBridge Low Duration High Yield Fund commenced investment operations on February 1, 2018. The Fund has registered both Retail Class Shares and Institutional Class Shares. During the
fiscal year ended September 30, 2023, only the Institutional Class Shares were operational. Both the CrossingBridge Responsible Credit Fund and CrossingBridge Ultra-Short Duration Fund commenced investment operations on June 30, 2021. Both
Funds registered only an Institutional Class of shares.
|
|
The RiverPark Strategic Income Fund was formerly a series of the RiverPark Funds Trust and commenced operations on September 30, 2013 (the “Predecessor Fund”). After the close of business May
12, 2023, the assets of the Predecessor Fund were transferred to the RiverPark Strategic Income Fund, a series of the Trust, in a tax-free reorganization, which was approved by shareholders of the Predecessor Fund (the “Reorganization”). The
Predecessor Fund commenced operations on September 30, 2013. The Predecessor Fund was deemed the accounting survivor for financial statement purposes and, as a result, the financial statements for the RiverPark Strategic Income Fund reflect
the operations of the Predecessor Fund for the period prior to May 12, 2023. RiverPark Advisors, LLC previously served as the investment adviser to the Predecessor Fund and Cohanzick Management, LLC served as sub-adviser. After the
Reorganization, CrossingBridge Advisors, LLC, an affiliate of Cohanzick Management, LLC, serves as the RiverPark Strategic Income Fund’s investment adviser (the “Adviser”). The Reorganization costs were paid by the Adviser. The Predecessor
Fund was deemed to be the accounting survivor of the Reorganization for financial reporting purposes and, as a result, the financial statements reflect the operations of the Predecessor Fund for the period through May 12, 2023. The following
summarizes additional information of the Reorganization:
|
Predecessor Fund as of May 12, 2023:
|
||||
Net Assets
|
$231,717,441
|
Institutional Class
|
||
19,260,684
|
Retail Class
|
|||
Shares Outstanding
|
27,170,034
|
Institutional Class
|
||
2,255,728
|
Retail Class
|
Investments, at value
|
Investments, at cost
|
Unrealized depreciation
|
|
$256,317,000
|
$272,210,525
|
$(15,893,525)
|
|
Securities sold short,
|
Securities sold short,
|
||
at value
|
proceeds
|
Unrealized appreciation
|
|
$(2,292,274)
|
$(2,493,706)
|
$201,432
|
|
Written options,
|
Written options,
|
||
at value
|
premiums received
|
Unrealized appreciation
|
|
$(41,966)
|
$(89,299)
|
$47,333
|
The RiverPark Strategic Income Fund offers both Institutional and Retail Class of shares.
|
|
The investment objective of the CrossingBridge Pre-Merger SPAC ETF is to provide total returns consistent with the preservation of capital. The ETF commenced investment operations on September
20, 2021.
|
|
Costs incurred by the Funds in connection with the organization, registration and the initial public offering of shares were paid by the Adviser. The Trust may issue an unlimited number of
shares of beneficial interest at $0.001 par value. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards
Codification Topic 946 “Financial Services – Investment Companies.”
|
|
(2)
|
Significant Accounting Policies
|
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. These policies are in conformity with generally
accepted accounting principles in the United States of America (“GAAP”).
|
|
(a) Investment Valuation
|
|
Each security owned by a Fund that is listed on a securities exchange, including Special Purpose Acquisition Companies (“SPACs”), is valued at its last sale price on that exchange on the date as
of which assets are valued. Bank loans are valued at prices supplied by an approved independent pricing service (“Pricing Service”), if available, and otherwise will be valued at the most recent bid quotations or evaluated prices, as
applicable, based on quotations or prices obtained from one or more broker-dealers known to follow the issue.
|
|
If the security is listed on more than one exchange, a Fund will use the price of the exchange that the Fund generally considers to be the principal exchange on which the security is traded.
Portfolio securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there has been no sale on such exchange or on NASDAQ on such day, the
|
security is valued at the mean between the most recent bid and asked prices on such day or the security shall be valued at the latest sales price on the “composite market” for the day such
security is being valued. The composite market is defined as a consolidation of the trade information provided by national securities and foreign exchanges and over-the-counter markets as published by a Pricing Service.
|
|
Foreign securities will be priced in their local currencies as of the close of their primary exchange or market or as of the time a Fund calculates its NAV, whichever is earlier. Foreign
securities, currencies and other assets denominated in foreign currencies are then translated into U.S. dollars at the exchange rate of such currencies against the U.S. dollar, as provided by an approved Pricing Service or reporting agency.
All assets denominated in foreign currencies will be converted into U.S. dollars using the applicable currency exchange rates as of the close of the New York Stock Exchange (“NYSE”), generally 4:00 p.m. Eastern Time.
|
|
Debt securities, including corporate bonds, bank loans, commercial paper, and short-term debt instruments having a maturity of 60 days or less, are valued at the mean in accordance with prices
supplied by an approved Pricing Service. Pricing Services may use various valuation methodologies such as the mean between the bid and the asked prices, matrix pricing and other analytical pricing models as well as market transactions and
dealer quotations. If a price is not available from a Pricing Service, the most recent quotation obtained from one or more broker-dealers known to follow the issue will be obtained. Quotations will be valued at the mean between the bid and
the offer. Any discount or premium is accreted or amortized using the constant yield method until maturity.
|
|
Options that are traded on a national securities exchange are valued at the last reported sale price on the exchange on which the security is principally traded.
|
|
Except for contracts maturing in two or fewer days, which are valued at the spot rate, forward currency contracts are valued at the midpoint prices calculated using an interpolation methodology
that incorporates foreign-exchange prices obtained from an approved Independent Pricing Service for standard forward-settlement periods, such as one month, three months, six months, and one year.
|
|
SPAC Founders Shares, received as part of the initial public offering process, will be valued initially in line with the publicly traded warrants, which typically have no value prior to the
warrants being separated from the SPAC common shares. Upon a de-SPAC transaction, the valuation of the Founders Shares may be updated to reflect more current circumstances and inputs, including the value of the publicly traded warrants or the
value of the publicly traded common shares, and may include a discount to reflect any restrictions associated with the Founders Shares.
|
|
Redeemable securities issued by open-end, registered investment companies, including money market funds, are valued at the NAVs of such companies for purchase and/or redemption orders placed on
that day. All exchange-traded funds are valued at the last reported sale price on the exchange on which the security is principally traded.
|
Investments are held at fair value. If market quotations are not readily available, a security or other asset will be valued at its fair value in accordance with Rule 2a-5 of the 1940 Act as
determined under the Adviser’s fair value pricing procedures, subject to oversight by the Board of Trustees. These fair value pricing procedures will also be used to price a security when corporate events, events in the securities market
and/or world events cause the Adviser to believe that a security’s last sale price may not reflect its actual fair market value. The intended effect of using fair value pricing procedures is to ensure that a Fund is accurately priced. The
Board of Trustees will regularly evaluate whether the Funds’ fair value pricing procedures continue to be appropriate in light of the specific circumstances of the Funds and the quality of prices obtained through the application of such
procedures by the Adviser. The Board of Trustees has approved the Adviser as the Valuation Designee in accordance with Rule 2a-5 of the 1940 Act.
|
|
FASB Accounting Standards Codification, “Fair Value Measurements and Disclosures” Topic 820 (“ASC 820”), establishes an authoritative definition of fair value and sets out a hierarchy for
measuring fair value. ASC 820 requires an entity to evaluate certain factors to determine whether there has been a significant decrease in volume and level of activity for the security such that recent transactions and quoted prices may not
be determinative of fair value and further analysis and adjustment may be necessary to estimate fair value. ASC 820 also requires enhanced disclosure regarding the inputs and valuation techniques used to measure fair value in those instances
as well as expanded disclosure of valuation levels for major security types. These inputs are summarized in the three broad levels listed below:
|
Level 1 –
|
Unadjusted quoted prices in active markets for identical securities.
|
|
Level 2 –
|
Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
|
|
Level 3 –
|
Significant unobservable inputs (including the Funds’ 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. The following is a summary of the inputs used
to value the Funds’ investments carried at fair value as of September 30, 2023:
|
CrossingBridge Low Duration High Yield Fund
|
|||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||||
Assets(1):
|
|||||||||||||||||
Asset Backed Securities
|
$
|
—
|
$
|
19,779,753
|
$
|
—
|
$
|
19,779,753
|
|||||||||
Bank Loans
|
—
|
73,315,862
|
—
|
73,315,862
|
|||||||||||||
Commercial Paper
|
—
|
104,712,431
|
—
|
104,712,431
|
|||||||||||||
Common Stocks
|
—
|
229,349
|
—
|
229,349
|
|||||||||||||
Convertible Bonds
|
—
|
6,016,059
|
6,158,250
|
12,174,309
|
|||||||||||||
Corporate Bonds
|
—
|
324,704,369
|
9,053,892
|
333,758,261
|
|||||||||||||
Mortgage Backed Securities
|
—
|
21,948,216
|
—
|
21,948,216
|
|||||||||||||
Preferred Stocks
|
—
|
10,198,600
|
—
|
10,198,600
|
|||||||||||||
Real Estate Investment Trusts
|
2,267,223
|
—
|
—
|
2,267,223
|
|||||||||||||
Special Purpose
|
|||||||||||||||||
Acquisition Companies
|
3,305,250
|
—
|
1,405
|
3,306,655
|
|||||||||||||
Warrants
|
21,076
|
41,918
|
—
|
62,994
|
|||||||||||||
Money Market Funds
|
42,799,850
|
—
|
—
|
42,799,850
|
|||||||||||||
Total Assets
|
$
|
48,393,399
|
$
|
560,946,557
|
$
|
15,213,547
|
$
|
624,553,503
|
|||||||||
Other Financial Instruments:
|
|||||||||||||||||
Forward Currency
|
|||||||||||||||||
Exchange Contracts(2)
|
$
|
—
|
$
|
535,445
|
$
|
—
|
$
|
535,445
|
|||||||||
Total Other
|
|||||||||||||||||
Financial Instruments
|
$
|
—
|
$
|
535,445
|
$
|
—
|
$
|
535,445
|
(1)
|
See the Schedule of Investments for industry classifications.
|
|
(2)
|
Forward currency exchange contracts are included on the Schedule of Forward Currency Exchange Contracts and are reflected at the net unrealized appreciation (depreciation) on the instrument.
|
CrossingBridge Responsible Credit Fund
|
|||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||||
Assets(1):
|
|||||||||||||||||
Asset Backed Securities
|
$
|
—
|
$
|
1,324,881
|
$
|
—
|
$
|
1,324,881
|
|||||||||
Bank Loans
|
—
|
4,879,034
|
—
|
4,879,034
|
|||||||||||||
Commercial Paper
|
—
|
3,702,489
|
—
|
3,702,489
|
|||||||||||||
Common Stocks
|
—
|
—
|
177,600
|
177,600
|
|||||||||||||
Convertible Bonds
|
—
|
198,750
|
—
|
198,750
|
|||||||||||||
Corporate Bonds
|
—
|
14,359,168
|
755,008
|
15,114,176
|
|||||||||||||
Mortgage Backed Securities
|
—
|
653,541
|
—
|
653,541
|
|||||||||||||
Preferred Stocks
|
118,919
|
—
|
—
|
118,919
|
|||||||||||||
Real Estate Investment Trusts
|
324,200
|
—
|
—
|
324,200
|
|||||||||||||
Money Market Funds
|
1,570,883
|
—
|
—
|
1,570,883
|
|||||||||||||
Total Assets
|
$
|
2,014,002
|
$
|
25,117,863
|
$
|
932,608
|
$
|
28,064,473
|
|||||||||
Other Financial Instruments:
|
|||||||||||||||||
Forward Currency
|
|||||||||||||||||
Exchange Contracts(2)
|
$
|
—
|
$
|
43,345
|
$
|
—
|
$
|
43,345
|
|||||||||
Total Other
|
|||||||||||||||||
Financial Instruments
|
$
|
—
|
$
|
43,345
|
$
|
—
|
$
|
43,345
|
(1)
|
See the Schedule of Investments for industry classifications.
|
|
(2)
|
Forward currency exchange contracts are included on the Schedule of Forward Currency Exchange Contracts and are reflected at the net unrealized appreciation (depreciation) on the instrument.
|
CrossingBridge Ultra-Short Duration Fund
|
|||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||||
Assets(1):
|
|||||||||||||||||
Asset Backed Securities
|
$
|
—
|
$
|
8,175,645
|
$
|
—
|
$
|
8,175,645
|
|||||||||
Bank Loans
|
—
|
1,390,264
|
—
|
1,390,264
|
|||||||||||||
Commercial Paper
|
—
|
4,557,071
|
—
|
4,557,071
|
|||||||||||||
Convertible Bonds
|
—
|
—
|
925,650
|
925,650
|
|||||||||||||
Corporate Bonds
|
—
|
66,516,941
|
—
|
66,516,941
|
|||||||||||||
Mortgage Backed Securities
|
—
|
10,371,666
|
—
|
10,371,666
|
|||||||||||||
Special Purpose
|
|||||||||||||||||
Acquisition Companies
|
—
|
—
|
—
|
—
|
|||||||||||||
U.S. Treasury Obligations
|
—
|
1,490,081
|
—
|
1,490,081
|
|||||||||||||
Warrants
|
—
|
194
|
—
|
194
|
|||||||||||||
Money Market Funds
|
1,670,493
|
—
|
—
|
1,670,493
|
|||||||||||||
Total Assets
|
$
|
1,670,493
|
$
|
92,501,862
|
$
|
925,650
|
$
|
95,098,005
|
|||||||||
Other Financial Instruments:
|
|||||||||||||||||
Forward Currency
|
|||||||||||||||||
Exchange Contracts(2)
|
$
|
—
|
$
|
40,311
|
$
|
—
|
$
|
40,311
|
|||||||||
Total Other
|
|||||||||||||||||
Financial Instruments
|
$
|
—
|
$
|
40,311
|
$
|
—
|
$
|
40,311
|
(1)
|
See the Schedule of Investments for industry classifications.
|
|
(2)
|
Forward currency exchange contracts are included on the Schedule of Forward Currency Exchange Contracts and are reflected at the net unrealized appreciation (depreciation) on the instrument.
|
CrossingBridge Pre-Merger SPAC ETF
|
|||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||||
Assets(1):
|
|||||||||||||||||
Commercial Paper
|
$
|
—
|
$
|
6,979,551
|
$
|
—
|
$
|
6,979,551
|
|||||||||
Special Purpose
|
|||||||||||||||||
Acquisition Companies
|
45,223,165
|
12,779,148
|
388
|
58,002,701
|
|||||||||||||
Warrants
|
4,577
|
6
|
—
|
4,583
|
|||||||||||||
Money Market Funds
|
4,024,078
|
—
|
—
|
4,024,078
|
|||||||||||||
Total Assets
|
$
|
49,251,820
|
$
|
19,758,705
|
$
|
388
|
$
|
69,010,913
|
(1)
|
See the Schedule of Investments for industry classifications.
|
RiverPark Strategic Income Fund
|
|||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||||
Assets(1):
|
|||||||||||||||||
Asset Backed Securities
|
$
|
—
|
$
|
5,042,939
|
$
|
—
|
$
|
5,042,939
|
|||||||||
Bank Loans
|
—
|
53,191,454
|
—
|
53,191,454
|
|||||||||||||
Commercial Paper
|
—
|
65,563,424
|
—
|
65,563,424
|
|||||||||||||
Common Stocks
|
1,928,351
|
607,658
|
2,553,888
|
5,089,897
|
|||||||||||||
Convertible Bonds
|
—
|
5,300,441
|
3,538,550
|
8,838,991
|
|||||||||||||
Corporate Bonds
|
—
|
173,041,944
|
3,666,946
|
176,708,890
|
|||||||||||||
Mortgage Backed Securities
|
—
|
25,666,416
|
—
|
25,666,416
|
|||||||||||||
Preferred Stocks
|
4,327,310
|
58,349
|
—
|
4,385,659
|
|||||||||||||
Purchased Options
|
117,160
|
—
|
—
|
117,160
|
|||||||||||||
Real Estate Investment Trusts
|
2,138,634
|
—
|
—
|
2,138,634
|
|||||||||||||
Special Purpose
|
|||||||||||||||||
Acquisition Companies
|
1,909,285
|
—
|
1,073
|
1,910,358
|
|||||||||||||
Warrants
|
11,043
|
743
|
—
|
11,786
|
|||||||||||||
Money Market Funds
|
32,071,989
|
—
|
—
|
32,071,989
|
|||||||||||||
Total Assets
|
$
|
42,503,772
|
$
|
328,473,368
|
$
|
9,760,457
|
$
|
380,737,597
|
|||||||||
Liabilities(1):
|
|||||||||||||||||
Corporate Bonds
|
$
|
—
|
$
|
5,601,200
|
$
|
—
|
$
|
5,601,200
|
|||||||||
Total Liabilities
|
$
|
—
|
$
|
5,601,200
|
$
|
—
|
$
|
5,601,200
|
|||||||||
Other Financial Instruments:
|
|||||||||||||||||
Forward Currency
|
|||||||||||||||||
Exchange Contracts(2)
|
$
|
—
|
$
|
196,737
|
$
|
—
|
$
|
196,737
|
|||||||||
Written Options Contracts(3)
|
(64,196
|
)
|
(23,379
|
)
|
—
|
(87,575
|
)
|
||||||||||
Total Other
|
|||||||||||||||||
Financial Instruments
|
$
|
(64,196
|
)
|
$
|
173,358
|
$
|
—
|
$
|
109,162
|
(1)
|
See the Schedule of Investments for industry classifications.
|
|
(2)
|
Forward currency exchange contracts are included on the Schedule of Forward Currency Exchange Contracts and are reflected at the net unrealized appreciation (depreciation) on the instrument.
|
|
(3)
|
Written option contracts are included on the Schedule of Written Options Contracts and are reflected at the value of the instrument.
|
The following is a reconciliation of Level 3 assets in the Funds for which significant unobservable inputs were used to determine fair value:
|
|
CrossingBridge Low Duration High Yield Fund
|
Convertible
|
Corporate
|
Special Purpose
|
|||||||||||
Bonds
|
Bonds
|
Acquisition Companies
|
|||||||||||
Beginning Balance – October 1, 2022
|
$
|
10,461,850
|
$
|
—
|
$
|
3,605
|
|||||||
Purchases
|
—
|
8,835,892
|
—
|
||||||||||
Sales
|
—
|
—
|
—
|
||||||||||
Realized gains
|
—
|
—
|
—
|
||||||||||
Realized losses
|
—
|
—
|
—
|
||||||||||
Accretion of discount
|
—
|
422,635
|
—
|
||||||||||
Change in unrealized
|
|||||||||||||
appreciation (depreciation)
|
(579,600
|
)
|
(204,635
|
)
|
(2,200
|
)
|
|||||||
Transfer in/(out) of Level 3
|
(3,724,000
|
)
|
—
|
—
|
|||||||||
Ending Balance – September 30, 2023
|
$
|
6,158,250
|
$
|
9,053,892
|
$
|
1,405
|
The total change in unrealized appreciation (depreciation) included in the Statement of Operations attributable to Level 3 investments still held at September 30, 2023, includes the following:
|
Convertible
|
Corporate
|
Special Purpose
|
||
Bonds
|
Bonds
|
Acquisition Companies
|
||
$(579,600)
|
$(204,635)
|
$(1,464)
|
CrossingBridge Responsible Credit Fund
|
Special Purpose
|
|||||||||||||||||
Bank
|
Common
|
Corporate
|
Acquisition
|
||||||||||||||
Loans
|
Stocks
|
Bonds
|
Companies
|
||||||||||||||
Beginning Balance –
|
|||||||||||||||||
October 1, 2022
|
$
|
1,480,934
|
$
|
—
|
$
|
—
|
$
|
147
|
|||||||||
Purchases
|
—
|
177,000
|
755,088
|
—
|
|||||||||||||
Sales
|
(1,480,934
|
)
|
—
|
—
|
—
|
||||||||||||
Realized gains
|
—
|
—
|
—
|
—
|
|||||||||||||
Realized losses
|
—
|
—
|
—
|
—
|
|||||||||||||
Change in unrealized
|
|||||||||||||||||
appreciation (depreciation)
|
—
|
600
|
—
|
(147
|
)
|
||||||||||||
Transfer in/(out) of Level 3
|
—
|
—
|
—
|
—
|
|||||||||||||
Ending Balance –
|
|||||||||||||||||
September 30, 2023
|
$
|
—
|
$
|
177,600
|
$
|
755,008
|
$
|
—
|
The total change in unrealized appreciation (depreciation) included in the Statement of Operations attributable to Level 3 investments still held at September 30, 2023, includes the following:
|
Common Stocks
|
||
$600
|
CrossingBridge Ultra-Short Duration Fund
|
Asset Backed
|
Convertible
|
Special Purpose
|
|||||||||||
Securities
|
Bonds
|
Acquisition Companies
|
|||||||||||
Beginning Balance – October 1, 2022
|
$
|
1,990,626
|
$
|
1,012,770
|
$
|
93
|
|||||||
Purchases
|
—
|
—
|
—
|
||||||||||
Sales
|
(2,000,000
|
)
|
—
|
—
|
|||||||||
Realized gains
|
9,103
|
—
|
—
|
||||||||||
Realized losses
|
—
|
—
|
—
|
||||||||||
Change in unrealized
|
|||||||||||||
appreciation (depreciation)
|
271
|
(87,120
|
)
|
(93
|
)
|
||||||||
Transfer in/(out) of Level 3
|
—
|
—
|
—
|
||||||||||
Ending Balance – September 30, 2023
|
$
|
—
|
$
|
925,650
|
$
|
—
|
The total change in unrealized appreciation (depreciation) included in the Statement of Operations attributable to Level 3 investments still held at September 30, 2023, includes the following:
|
Convertible
|
Special Purpose
|
||
Bonds
|
Acquisition Companies
|
||
$(87,120)
|
$(93)
|
CrossingBridge Pre-Merger SPAC ETF
|
|||||
Special Purpose
|
|||||
Acquisition Companies
|
|||||
Beginning Balance – October 1, 2022
|
$
|
731
|
|||
Purchases
|
—
|
||||
Sales
|
—
|
||||
Realized gains
|
—
|
||||
Realized losses
|
(23
|
)
|
|||
Change in unrealized appreciation (depreciation)
|
(320
|
)
|
|||
Transfer in/(out) of Level 3
|
—
|
||||
Ending Balance – September 30, 2023
|
$
|
388
|
The total change in unrealized appreciation (depreciation) included in the Statement of Operations attributable to Level 3 investments still held at September 30, 2023, includes the following:
|
Special Purpose
|
||
Acquisition Companies
|
||
$(320)
|
RiverPark Strategic Income Fund
|
Special Purpose
|
|||||||||||||||||||||
Bank
|
Common
|
Convertible
|
Corporate
|
Acquisition
|
|||||||||||||||||
Loans
|
Stocks
|
Bonds
|
Bonds
|
Companies
|
|||||||||||||||||
Beginning Balance –
|
|||||||||||||||||||||
October 1, 2022
|
$
|
1,098,205
|
$
|
2,130,700
|
$
|
7,975,590
|
$
|
341,700
|
$
|
3,344
|
|||||||||||
Purchases
|
—
|
611,240
|
—
|
3,330,296
|
—
|
||||||||||||||||
Sales
|
(1,098,205
|
)
|
—
|
—
|
—
|
—
|
|||||||||||||||
Realized gains
|
—
|
—
|
—
|
—
|
—
|
||||||||||||||||
Realized losses
|
—
|
—
|
—
|
—
|
(197
|
)
|
|||||||||||||||
Accretion of discount
|
—
|
—
|
—
|
130,010
|
—
|
||||||||||||||||
Change in unrealized
|
|||||||||||||||||||||
appreciation
|
|||||||||||||||||||||
(depreciation)
|
—
|
(188,052
|
)
|
(333,040
|
)
|
(135,060
|
)
|
(2,074
|
)
|
||||||||||||
Transfer in/(out)
|
|||||||||||||||||||||
of Level 3
|
—
|
—
|
(4,104,000
|
)
|
—
|
—
|
|||||||||||||||
Ending Balance –
|
|||||||||||||||||||||
September 30,
|
|||||||||||||||||||||
2023
|
$
|
—
|
$
|
2,553,888
|
$
|
3,538,550
|
$
|
3,666,946
|
$
|
1,073
|
The total change in unrealized appreciation (depreciation) included in the Statement of Operations attributable to Level 3 investments still held at September 30, 2023, includes the following:
|
Common
|
Convertible
|
Corporate
|
Special Purpose
|
||
Stocks
|
Bonds
|
Bonds
|
Acquisition Companies
|
||
$(188,052)
|
$(333,040)
|
$(135,060)
|
$(974)
|
To the extent the significant inputs are unobservable, the values generally would be categorized as Level 3 and “fair value” will be applied. Specifically, the matrix below provides a summary of
the approach taken:
|
Type of Security
|
Examples of Inputs
|
|
Convertible Securities
|
Primarily based on financial analysis employing quantitative
|
|
and qualitative inputs such as but may not be limited to:
|
||
discounted cashflow, sum-of-the parts, competitive
|
||
comparable valuations, and liquidation analysis
|
||
Special Purpose Acquisition
|
Upon separation, value based on public warrant pricing.
|
|
Companies (SPACs);
|
Prior to separation, valued at $0
|
|
SPAC founders shares
|
||
Common Stock (Legended shares)
|
The firm applies a 25% discount to current market price
|
|
for common stock with a legend attached to it.
|
The following table represents additional information about valuation methodologies and inputs used for investments that are measured at fair value and categorized within Level 3 as of September
30, 2023:
|
|
CrossingBridge Low Duration High Yield Fund
|
Fair Value
|
Range/Weighted
|
|||||||||||
September 30,
|
Valuation
|
Unobservable
|
Average
|
|||||||||
Description
|
2023
|
Methodologies
|
Input
|
Unobservable Input
|
||||||||
Convertible Bonds
|
$
|
6,158,250
|
Liquidation
|
Yield to
|
21.60%
|
|
||||||
analysis
|
maturity
|
|||||||||||
Corporate Bonds
|
$
|
6,533,600
|
Liquidation
|
Transaction
|
N/A
|
|||||||
analysis
|
price
|
|||||||||||
Corporate Bonds
|
$
|
2,520,292
|
Liquidation
|
Transaction
|
N/A
|
|||||||
analysis
|
price
|
|||||||||||
Special Purpose
|
$
|
1,405
|
Market
|
Market price of
|
|
$0 – $1
|
||||||
Acquisition
|
comparable
|
similar asset
|
||||||||||
Companies*
|
*
|
Table presents information for three securities, which have been valued between $0.00 and $0.42 throughout the period.
|
CrossingBridge Responsible Credit Fund
|
Fair Value
|
Range/Weighted
|
|||||||||||
September 30,
|
Valuation
|
Unobservable
|
Average
|
|||||||||
Description
|
2023
|
Methodologies
|
Input
|
Unobservable Input
|
||||||||
Common Stocks
|
$
|
177,600
|
Market
|
Transaction
|
N/A
|
|||||||
comparable
|
price
|
|||||||||||
Corporate Bonds
|
$
|
755,008
|
Liquidation
|
Transaction
|
N/A
|
|||||||
analysis
|
price
|
CrossingBridge Ultra-Short Duration Fund
|
Fair Value
|
Range/Weighted
|
|||||||||||
September 30,
|
Valuation
|
Unobservable
|
Average
|
|||||||||
Description
|
2023
|
Methodologies
|
Input
|
Unobservable Input
|
||||||||
Convertible Bonds
|
$
|
925,650
|
Liquidation
|
Yield to
|
21.60%
|
|
||||||
analysis
|
maturity
|
|||||||||||
Special Purpose
|
$
|
—
|
Market
|
Market price of
|
|
$0 – $1
|
||||||
Acquisition
|
comparable
|
similar asset
|
||||||||||
Companies*
|
*
|
Table presents information for one security, which has been valued between $0.00 and $0.15 throughout the period.
|
CrossingBridge Pre-Merger SPAC ETF
|
Fair Value
|
Range/Weighted
|
|||||||||||
September 30,
|
Valuation
|
Unobservable
|
Average
|
|||||||||
Description
|
2023
|
Methodologies
|
Input
|
Unobservable Input
|
||||||||
Special Purpose
|
$
|
388
|
Market
|
Market price of
|
|
$0 – $1
|
||||||
Acquisition
|
comparable
|
similar asset
|
||||||||||
Companies*
|
*
|
Table presents information for two securities, which have been valued between $0.00 and $0.21 throughout the period.
|
RiverPark Strategic Income Fund
|
Fair Value
|
Range/Weighted
|
|||||||||||
September 30,
|
Valuation
|
Unobservable
|
Average
|
|||||||||
Description
|
2023
|
Methodologies
|
Input
|
Unobservable Input
|
||||||||
Common Stocks
|
$
|
2,553,888
|
Market
|
Transaction
|
N/A
|
|||||||
comparable
|
price
|
|||||||||||
Common Stocks
|
$
|
—
|
Market
|
No current
|
|
$0
|
||||||
comparable
|
market
|
|||||||||||
Convertible Bonds
|
$
|
3,538,550
|
Liquidation
|
Yield to
|
21.60%
|
|
||||||
analysis
|
maturity
|
|||||||||||
Corporate Bonds
|
$
|
1,428,038
|
Market
|
Transaction
|
N/A
|
|||||||
comparable
|
price
|
|||||||||||
Corporate Bonds
|
$
|
1,182,908
|
Liquidation
|
Transaction
|
N/A
|
|||||||
analysis
|
price
|
|||||||||||
Corporate Bonds
|
$
|
201,000
|
Discounted
|
Market
|
50-59%
|
|
||||||
cash flow
|
discount
|
|||||||||||
Corporate Bonds
|
$
|
855,000
|
Market
|
Transaction
|
N/A
|
|||||||
comparable
|
price
|
|||||||||||
Special Purpose
|
$
|
1,073
|
Market
|
Market price of
|
|
$0 – $1
|
||||||
Acquisition
|
comparable
|
similar asset
|
||||||||||
Companies*
|
||||||||||||
Warrants**
|
$
|
—
|
Liquidation
|
Market
|
$0
|
|||||||
analysis
|
assessment
|
*
|
Table presents information for three securities, which have been valued between $0.00 and $0.42 throughout the period.
|
||
**
|
Table presents information for two securities, which have been valued between $0.00 and $0.01 throughout the period.
|
(b) Foreign Securities and Currency Transactions
|
|
Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment
securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.
|
|
The Funds do not isolate the portion of the results of operations from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities
held. Realized foreign exchange gains or losses arising from sales of
|
portfolio securities and sales and maturities of short-term securities are reported within realized gain (loss) on investments. Net unrealized foreign exchange gains and losses arising from
changes in the values of investments in securities from fluctuations in exchange rates are reported within unrealized gain (loss) on investments.
|
|
Investments in foreign securities entail certain risks. There may be a possibility of nationalization or expropriation of assets, confiscatory taxation, political or financial instability, and
diplomatic developments that could affect the value of a Fund’s investments in certain foreign countries. Since foreign securities normally are denominated and traded in foreign currencies, the value of a Fund’s assets may be affected
favorably or unfavorably by currency exchange rates, currency exchange control regulations, foreign withholding taxes, and restrictions or prohibitions on the repatriation of foreign currencies. There may be less information publicly
available about a foreign issuer than about a U.S. issuer, and foreign issuers are not generally subject to accounting, auditing, and financial reporting standards and practices comparable to those in the United States. The securities of some
foreign issuers are less liquid and at times more volatile than securities of comparable U.S. issuers.
|
|
(c) Federal Income Taxes
|
|
The Funds intend to continue to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, necessary to qualify as a regulated investment company and to make
the requisite distributions of income and capital gains to its shareholders sufficient to relieve it from all or substantially all federal income taxes. Therefore, no federal income tax provision has been provided.
|
|
As of and during the fiscal year ended September 30, 2023, the Funds did not have liabilities for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to
unrecognized tax benefits as income tax expense in the Statements of Operations. During the fiscal year ended September 30, 2023, the Funds did not incur any interest or penalties. The Funds are subject to examination by U.S. taxing
authorities for the tax periods since the commencement of operations.
|
|
(d) Distributions to Shareholders
|
|
In general, the Mutual Funds will distribute any net investment income monthly and any net realized capital gains at least annually. The ETF will distribute any net investment income annually
and any net realized capital gains at least annually. The Funds may make additional distributions if deemed to be desirable during the year. Distributions from net realized gains for book purposes may include short-term capital gains. All
short-term capital gains are included in ordinary income for tax purposes. Distributions to shareholders are recorded on the ex-dividend date. The Funds may also pay a special distribution at the end of the calendar year to comply with
federal tax requirements.
|
|
Treatment of income and capital gain distributions for federal income tax purposes may differ from GAAP, primarily due to timing differences in the recognition of income and gains and losses by
the Funds. To the extent that these differences are attributable to permanent book and tax accounting differences, they are reclassified in the components of net assets.
|
(e) Use of Estimates
|
|
The preparation of financial statements in conformity with GAAP 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 financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
|
|
(f) Share Valuation
|
|
The NAV per share of a Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash or other assets, minus all liabilities (including estimated accrued
expenses) by the total number of shares outstanding for the Fund, rounded to the nearest cent. The Funds’ shares will not be priced on the days on which the NYSE is closed for trading.
|
|
(g) Allocation of Income, Expenses and Gains/Losses
|
|
Income, expenses (other than those deemed attributable to a specific share class), and gains and losses of a Fund are allocated daily to each class of shares based upon the ratio of net assets
represented by each class as a percentage of the net assets of the Fund. Expenses deemed directly attributable to a class of shares are recorded by the specific class. Most Fund expenses are allocated by class based on relative net assets.
Shareholder servicing fees are currently expensed up to 0.10% of average daily net assets of each Mutual Fund’s Institutional Class shares. Expenses associated with a specific fund in the Trust are charged to that fund. Common Trust expenses
are typically allocated evenly between the Mutual Funds of the Trust, or by other equitable means.
|
|
(h) Other
|
|
Investment transactions are recorded on the trade date. The Funds determine the gain or loss from investment transactions using the specific identification method for the best tax relief order
by comparing the original cost of the security lot sold with the net sale proceeds. Interest income is recognized on an accrual basis. Withholding taxes on foreign interest, net of any reclaims, have been provided for in accordance with the
Funds’ understanding of the applicable country’s tax rules and rates. Any discount or premium on securities purchased are accreted or amortized over the expected life of the respective securities using the constant yield method.
|
|
(i) Loan Participation
|
|
When purchasing participation interests in a loan, a Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject
to the credit risk of both the borrower and the lender that is selling the loan agreement. A Fund may enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments represent a future
obligation in full, even though a percentage of the notional loan amounts may not be utilized by the borrower. When investing in a loan participation agreement, a Fund has the right to receive payments of principal, interest and any fees to
which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. A
|
Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a floating rate loan. In certain circumstances, a Fund may receive a penalty fee upon
the prepayment of a floating rate loan by a borrower. Fees earned are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations.
|
|
(j) Derivatives
|
|
The Funds may utilize derivative instruments such as options, swaps, futures, forward contracts and other instruments with similar characteristics to the extent that they are consistent with the
Funds’ investment objectives and limitations. The use of derivatives may involve additional investment risks, including counterparty credit risk, i.e., the risk that a Fund may experience delay in obtaining financial recovery in the event a
counterparty experiences financial difficulty. To mitigate this risk, the Adviser will seek to effect derivative transactions with only counterparties that they believe are creditworthy.
|
|
The Funds have adopted authoritative standards regarding disclosure about derivatives and hedging activities and how they affect the Funds’ Statements of Assets and Liabilities and Statements of
Operations. For the fiscal year ended September 30, 2023, the monthly average quantity and notional value of derivatives are described below:
|
CrossingBridge Low Duration High Yield Fund
|
|||||||||
Monthly Average
|
Monthly Average
|
||||||||
Contracts
|
Notional Value
|
||||||||
Forward Currency Exchange Contracts
|
5
|
$
|
61,930,973
|
||||||
Warrants
|
15,039,492
|
80,686
|
|||||||
CrossingBridge Responsible Credit Fund
|
|||||||||
Monthly Average
|
Monthly Average
|
||||||||
Contracts
|
Notional Value
|
||||||||
Forward Currency Exchange Contracts
|
3
|
$
|
4,480,953
|
||||||
CrossingBridge Ultra-Short Duration Fund
|
|||||||||
Monthly Average
|
Monthly Average
|
||||||||
Contracts
|
Notional Value
|
||||||||
Forward Currency Exchange Contracts
|
2
|
$
|
4,168,866
|
||||||
Warrants
|
53,368
|
754
|
|||||||
CrossingBridge Pre-Merger SPAC ETF
|
|||||||||
Monthly Average
|
Monthly Average
|
||||||||
Contracts
|
Notional Value
|
||||||||
Forward Currency Exchange Contracts
|
2
|
$
|
1,129,623
|
||||||
Warrants
|
145,159
|
29,776
|
RiverPark Strategic Income Fund
|
|||||||||
Monthly Average
|
Monthly Average
|
||||||||
Contracts
|
Notional Value
|
||||||||
Forward Currency Exchange Contracts
|
4
|
$
|
19,865,631
|
||||||
Options Contracts
|
1,405
|
142,016
|
|||||||
Warrants
|
8,124,969
|
60,303
|
Statement of Assets and Liabilities
|
|
Fair value of derivative instruments as of September 30, 2023 are described below:
|
|
CrossingBridge Low Duration High Yield Fund
|
Asset Derivatives
|
|||||||
Statement of Assets
|
|||||||
and Liabilities Location
|
Fair Value
|
||||||
Forward Currency Exchange Contracts
|
Unrealized appreciation
|
$
|
771,309
|
||||
of forward currency
|
|||||||
exchange contracts
|
|||||||
Warrants
|
Investments, at value
|
62,994
|
|||||
Liability Derivatives
|
|||||||
Statement of Assets
|
|||||||
and Liabilities Location
|
Fair Value
|
||||||
Forward Currency Exchange Contracts
|
Unrealized depreciation
|
$
|
235,864
|
||||
of forward currency
|
|||||||
exchange contracts
|
|||||||
CrossingBridge Responsible Credit Fund
|
|||||||
Asset Derivatives
|
|||||||
Statement of Assets
|
|||||||
and Liabilities Location
|
Fair Value
|
||||||
Forward Currency Exchange Contracts
|
Unrealized appreciation
|
$
|
54,727
|
||||
of forward currency
|
|||||||
exchange contracts
|
|||||||
Liability Derivatives
|
|||||||
Statement of Assets
|
|||||||
and Liabilities Location
|
Fair Value
|
||||||
Forward Currency Exchange Contracts
|
Unrealized depreciation
|
$
|
11,382
|
||||
of forward currency
|
|||||||
exchange contracts
|
|||||||
CrossingBridge Ultra-Short Duration Fund
|
|||||||
Asset Derivatives
|
|||||||
Statement of Assets
|
|||||||
and Liabilities Location
|
Fair Value
|
||||||
Forward Currency Exchange Contracts
|
Unrealized appreciation
|
$
|
56,699
|
||||
of forward currency
|
|||||||
exchange contracts
|
|||||||
Warrants
|
Investments, at value
|
194
|
Liability Derivatives
|
|||||||
Statement of Assets
|
|||||||
and Liabilities Location
|
Fair Value
|
||||||
Forward Currency Exchange Contracts
|
Unrealized depreciation
|
$
|
16,388
|
||||
of forward currency
|
|||||||
exchange contracts
|
|||||||
CrossingBridge Pre-Merger SPAC ETF
|
|||||||
Asset Derivatives
|
|||||||
Statement of Assets
|
|||||||
and Liabilities Location
|
Fair Value
|
||||||
Warrants
|
Investments, at value
|
$
|
4,583
|
||||
RiverPark Strategic Income Fund
|
|||||||
Asset Derivatives
|
|||||||
Statement of Assets
|
|||||||
and Liabilities Location
|
Fair Value
|
||||||
Forward Currency Exchange Contracts
|
Unrealized appreciation
|
$
|
299,100
|
||||
of forward currency
|
|||||||
exchange contracts
|
|||||||
Options Contracts
|
Investments, at value
|
117,160
|
|||||
Warrants
|
Investments, at value
|
11,786
|
|||||
Liability Derivatives
|
|||||||
Statement of Assets
|
|||||||
and Liabilities Location
|
Fair Value
|
||||||
Forward Currency Exchange Contracts
|
Unrealized depreciation
|
$
|
102,363
|
||||
of forward currency
|
|||||||
exchange contracts
|
|||||||
Options Contracts
|
Written options, at value
|
87,575
|
Statement of Operations
|
|
The effect of derivative instruments on the Statements of Operations for the year ended September 30, 2023 are described below:
|
CrossingBridge Low Duration High Yield Fund
|
|||||
Amount of Realized
|
|||||
Gain (Loss) on Derivatives
|
|||||
Forward Currency Exchange Contracts
|
$
|
(2,799,126
|
)
|
||
Warrants*
|
(36,363
|
)
|
|||
Change in Unrealized Appreciation
|
|||||
(Depreciation) on Derivatives
|
|||||
Forward Currency Exchange Contracts
|
$
|
(1,618,383
|
)
|
||
Warrants*
|
(3,970
|
)
|
CrossingBridge Responsible Credit Fund
|
|||||
Amount of Realized
|
|||||
Gain (Loss) on Derivatives
|
|||||
Forward Currency Exchange Contracts
|
$
|
(295,000
|
)
|
||
Change in Unrealized Appreciation
|
|||||
(Depreciation) on Derivatives
|
|||||
Forward Currency Exchange Contracts
|
$
|
(60,927
|
)
|
||
CrossingBridge Ultra-Short Duration Fund
|
|||||
Amount of Realized
|
|||||
Gain (Loss) on Derivatives
|
|||||
Forward Currency Exchange Contracts
|
$
|
(181,601
|
)
|
||
Warrants*
|
3,028
|
||||
Change in Unrealized Appreciation
|
|||||
(Depreciation) on Derivatives
|
|||||
Forward Currency Exchange Contracts
|
$
|
(32,312
|
)
|
||
Warrants*
|
(3,673
|
)
|
|||
CrossingBridge Pre-Merger SPAC ETF
|
|||||
Amount of Realized
|
|||||
Gain (Loss) on Derivatives
|
|||||
Forward Currency Exchange Contracts
|
$
|
(169,334
|
)
|
||
Warrants*
|
(47,815
|
)
|
|||
Change in Unrealized Appreciation
|
|||||
(Depreciation) on Derivatives
|
|||||
Forward Currency Exchange Contracts
|
$
|
(59,606
|
)
|
||
Warrants*
|
1,946
|
||||
RiverPark Strategic Income Fund
|
|||||
Amount of Realized
|
|||||
Gain (Loss) on Derivatives
|
|||||
Forward Currency Exchange Contracts
|
$
|
(305,867
|
)
|
||
Purchased Options Contracts*
|
37,570
|
||||
Warrants*
|
(1,970
|
)
|
|||
Written Options Contracts
|
598,009
|
||||
Change in Unrealized Appreciation
|
|||||
(Depreciation) on Derivatives
|
|||||
Forward Currency Exchange Contracts
|
$
|
(198,353
|
)
|
||
Purchased Options Contracts*
|
36,023
|
||||
Warrants*
|
2,539
|
||||
Written Options Contracts
|
59,440
|
*
|
Warrants and purchased options are included in the realized gain (loss) on investments and change in unrealized appreciation (depreciation) on investments, as applicable.
|
(k) LIBOR
|
|
The London Interbank Offered Rate (“LIBOR”) is an interest rate average calculated from estimates submitted by the leading banks in London. As of June 30, 2023, the ICE Benchmark Administration
(“IBA”), as LIBOR administrator, ceased publication of U.S. dollar (“USD”) LIBOR for the most common tenors (overnight and one, three, six and twelve months), and as of December 31, 2021, the IBA had ceased publication of USD LIBOR for the
less commonly used tenors of one week and two months as well as all tenors of non-USD LIBOR. Until September 30, 2024, the IBA will continue to publish the one-month, three-month and six-month USD LIBOR tenors using a synthetic methodology
that is permanently unrepresentative of the underlying markets such tenors previously sought to measure. Use of the synthetic LIBOR tenors is permitted only for legacy contracts; all new use of synthetic USD LIBOR is prohibited. There remains
uncertainty regarding the nature of any replacement rate and the impact of the transition from LIBOR on the Funds and the financial markets generally. The Secured Overnight Funding Rate (“SOFR”) has been selected by a committee established by
the Board of Governors of the Federal Reserve System and the Federal Reserve Bank of New York to replace LIBOR as a reference rate in the United States. Other countries have undertaken similar initiatives to identify replacement reference
rates in their respective markets. The transition from LIBOR could have a significant impact on the financial markets, including increased volatility and illiquidity in markets for instruments that currently rely on LIBOR to determine
interest rates and a reduction in the values of some LIBOR-based investments. The transition to an alternative interest rate may not be orderly, may occur over various time periods or may have unintended consequences.
|
|
(l) Indemnifications
|
|
Under the Trust’s organizational documents, its Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the
normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. A Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the
Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
|
|
(3)
|
Federal Tax Matters
|
The tax character of distributions paid during the fiscal years ended September 30, 2023 and September 30, 2022 were as follows:
|
|
CrossingBridge Low Duration High Yield Fund
|
Year Ended
|
Year Ended
|
||||||||
September 30, 2023
|
September 30, 2022
|
||||||||
Ordinary Income
|
$
|
40,273,760
|
$
|
22,048,408
|
|||||
Long Term Capital Gain
|
4,765,085
|
—
|
CrossingBridge Responsible Credit Fund
|
|||||||||
Year Ended
|
Year Ended
|
||||||||
September 30, 2023
|
September 30, 2022
|
||||||||
Ordinary Income
|
$
|
2,264,257
|
$
|
715,402
|
|||||
Long Term Capital Gain
|
184,392
|
21,525
|
|||||||
CrossingBridge Ultra-Short Duration Fund
|
|||||||||
Year Ended
|
Year Ended
|
||||||||
September 30, 2023
|
September 30, 2022
|
||||||||
Ordinary Income
|
$
|
4,892,271
|
$
|
955,104
|
|||||
Long Term Capital Gain
|
223,506
|
—
|
|||||||
CrossingBridge Pre-Merger SPAC ETF
|
|||||||||
Year Ended
|
Year Ended
|
||||||||
September 30, 2023
|
September 30, 2022
|
||||||||
Ordinary Income
|
$
|
636,389
|
$
|
62,424
|
|||||
Long Term Capital Gain
|
—
|
—
|
|||||||
RiverPark Strategic Income Fund
|
|||||||||
Year Ended
|
Year Ended
|
||||||||
September 30, 2023
|
September 30, 2022
|
||||||||
Ordinary Income
|
$
|
21,490,196
|
$
|
11,541,000
|
|||||
Long Term Capital Gain
|
—
|
—
|
The Funds designated as long-term capital gain dividend, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Fund related to net
capital gain to zero for the tax year ended September 30, 2023.
|
|
As of September 30, 2023, the components of accumulated earnings on a tax basis were as follows:
|
CrossingBridge
|
CrossingBridge
|
CrossingBridge
|
|||||||||||
Low Duration
|
Responsible
|
Ultra-Short
|
|||||||||||
High Yield Fund
|
Credit Fund
|
Duration Fund
|
|||||||||||
Cost basis of investments for
|
|||||||||||||
federal income tax purposes
|
$
|
647,663,089
|
$
|
28,883,038
|
$
|
95,828,473
|
|||||||
Gross tax unrealized appreciation
|
$
|
3,935,172
|
$
|
387,152
|
$
|
164,416
|
|||||||
Gross tax unrealized depreciation
|
(18,981,099
|
)
|
(434,248
|
)
|
(895,201
|
)
|
|||||||
Total net tax unrealized appreciation
|
|||||||||||||
(depreciation) on investments
|
(15,045,927
|
)
|
(47,096
|
)
|
(730,785
|
)
|
|||||||
Undistributed ordinary income
|
1,377,736
|
45,177
|
73,422
|
||||||||||
Undistributed long-term capital gain
|
—
|
—
|
—
|
||||||||||
Total distributable earnings
|
1,377,736
|
45,177
|
73,422
|
||||||||||
Other accumulated earnings (losses)
|
(15,139,772
|
)
|
(1,342,126
|
)
|
(191,897
|
)
|
|||||||
Total accumulated earnings (losses)
|
$
|
(28,807,963
|
)
|
$
|
(1,344,045
|
)
|
$
|
(849,260
|
)
|
CrossingBridge
|
RiverPark
|
||||||||
Pre-Merger
|
Strategic
|
||||||||
SPAC ETF
|
Income Fund
|
||||||||
Cost basis of investments for
|
|||||||||
federal income tax purposes
|
$
|
68,792,405
|
$
|
390,633,616
|
|||||
Gross tax unrealized appreciation
|
$
|
1,924,383
|
$
|
3,626,388
|
|||||
Gross tax unrealized depreciation
|
(1,705,875
|
)
|
(18,340,199
|
)
|
|||||
Total net tax unrealized appreciation
|
|||||||||
(depreciation) on investments
|
218,508
|
(14,711,811
|
)
|
||||||
Undistributed ordinary income
|
3,792,288
|
476,899
|
|||||||
Undistributed long-term capital gain
|
22,146
|
—
|
|||||||
Total distributable earnings
|
3,814,434
|
476,899
|
|||||||
Other accumulated earnings (losses)
|
—
|
(73,311,684
|
)
|
||||||
Total accumulated earnings (losses)
|
$
|
4,032,942
|
$
|
(87,546,596
|
)
|
Investments for federal income tax purposes in the above table include foreign currencies and derivatives. The difference between book-basis and tax-basis unrealized appreciation (depreciation)
is attributable primarily to the tax deferral of losses on wash sale adjustments and tax treatment of Passive Foreign Investment Companies.
|
|
At September 30, 2023, the Funds had the following capital loss carryovers which will be carried forward indefinitely to offset future realized capital gains:
|
Short-Term
|
Long-Term
|
||||||||
CrossingBridge Low Duration High Yield Fund
|
$
|
(8,374,729
|
)
|
$
|
(6,762,935
|
)
|
|||
CrossingBridge Responsible Credit Fund
|
(741,351
|
)
|
(600,776
|
)
|
|||||
CrossingBridge Ultra-Short Duration Fund
|
(69,669
|
)
|
(122,228
|
)
|
|||||
CrossingBridge Pre-Merger SPAC ETF
|
—
|
—
|
|||||||
RiverPark Strategic Income Fund
|
(10,336,254
|
)
|
(62,981,108
|
)
|
GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or
net asset value per share. For the year ended September 30, 2023, the following reclassifications were made on the Statements of Asset and Liabilities due to permanent tax differences:
|
Total
|
|||||||||
Paid-in
|
distributable
|
||||||||
capital
|
earnings
|
||||||||
CrossingBridge Low Duration High Yield Fund
|
$
|
—
|
$
|
—
|
|||||
CrossingBridge Responsible Credit Fund
|
—
|
—
|
|||||||
CrossingBridge Ultra-Short Duration Fund
|
—
|
—
|
|||||||
CrossingBridge Pre-Merger SPAC ETF
|
25,931
|
(25,931
|
)
|
||||||
RiverPark Strategic Income Fund
|
25,113
|
(25,113
|
)
|
(4)
|
Investment Adviser
|
The Trust has an investment advisory agreement with the Adviser to furnish investment advisory services to the Mutual Funds. Under the terms of this agreement, the Trust, on behalf of the Mutual
Funds, compensates the Adviser for its investment
|
advisory services at the annual rate of 0.65% of each Mutual Fund’s respective average daily net assets. Prior to May 13, 2023, RiverPark Advisors, LLC served as investment adviser to the
Predecessor Fund and was compensated for its services at the annual rate of 0.65% of the Predecessor Fund’s average daily net assets.
|
|
In addition, pursuant to a separate investment advisory agreement between the Trust, on behalf of the ETF, and the Adviser, the Adviser is responsible for managing the ETF in accordance with its
investment objectives. For the services it provides the ETF, the ETF pays the Adviser a unitary management fee, which is calculated daily and paid monthly, at an annual rate of 0.80% of the ETF’s average daily net assets. Under this
agreement, the Adviser has agreed to pay all expenses of the ETF except interest charges on any borrowings, dividends, and other expenses on securities sold short, taxes, brokerage commissions and other expenses incurred in placing orders for
the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses, distribution fees and expenses paid by the ETF under any distribution plan adopted
pursuant to Rule 12b-1 under the 1940 Act, and the unitary management fee payable to the Adviser.
|
|
With respect to the Mutual Funds, the Adviser has contractually agreed to waive its management fee and/or reimburse a Fund’s other expenses at least through January 31, 2024 for the
CrossingBridge Low Duration High Yield Fund, CrossingBridge Ultra-Short Duration Fund and CrossingBridge Responsible Credit Fund, and May 12, 2025 for the RiverPark Strategic Income Fund, to the extent necessary to ensure that a Fund’s total
operating expenses (exclusive of front-end or contingent deferred sales loads, distribution (12b-1) fees, shareholder servicing plan fees, taxes, leverage (i.e., any expense incurred in connection with borrowings made by a Fund), interest,
brokerage commissions, expenses incurred in connection with any merger or reorganization, dividends or interest expenses on short positions, acquired fund fees and expenses and extraordinary items) (the “Expense Limitation Cap”) does not
exceed 0.80% of the respective average daily net assets of the CrossingBridge Low Duration High Yield Fund, CrossingBridge Ultra-Short Duration Fund and CrossingBridge Responsible Credit Fund, or 0.82% of the average daily net assets of the
RiverPark Strategic Income Fund. Prior to May 13, 2023, RiverPark Advisors, LLC served as investment adviser to the Predecessor Fund and contractually agreed to waive its fees and absorb expenses of the Predecessor Fund to the extent expenses
did not exceed 1.00% of the Predecessor Fund’s average daily net assets for Institutional Class Shares and 1.25% of the Predecessor Fund’s average daily net assets for Retail Class Shares.
|
|
Any such waiver or reimbursement is subject to later adjustment to allow the Adviser to recoup amounts waived or reimbursed within three years from the date such amount was waived or reimbursed,
subject to the operating expense limitation agreement, if such reimbursement will not cause a Mutual Fund’s expense ratio, after recoupment has been taken into account, to exceed the lesser of: (1) the Expense Limitation Cap in place at the
time of the waiver and/or expense payment; or (2) the Expense Limitation Cap in place at the time of the recoupment. During the fiscal year ended September 30, 2023, the Adviser recouped $55,951 of previously waived expenses in the
CrossingBridge Low
|
Duration High Yield Fund. The following table shows the remaining waiver or reimbursed expenses for the Mutual Funds subject to potential recovery expiring:
|
Expiring:
|
|||||||||||||
9/30/24
|
9/30/25
|
9/30/26
|
|||||||||||
CrossingBridge Low Duration High Yield Fund
|
$
|
34,981
|
$
|
1,776
|
$
|
845
|
|||||||
CrossingBridge Responsible Credit Fund
|
58,237
|
182,884
|
191,487
|
||||||||||
CrossingBridge Ultra-Short Duration Fund
|
58,690
|
138,941
|
125,503
|
||||||||||
RiverPark Strategic Income Fund
|
—
|
—
|
—
|
(5)
|
Distribution and Shareholder Servicing Plans
|
The Trust has adopted a plan pursuant to Rule 12b-1 under the 1940 Act (the “12b-1 Plan”), on behalf of the CrossingBridge Low Duration High Yield Fund, which authorizes the Fund to pay Quasar
Distributors, LLC (the “Distributor”) a distribution fee of 0.25% of the Fund’s average daily net assets of the Fund’s Retail Class Shares for services to prospective Fund shareholders and distribution of Fund shares. The Fund incurred no
fees pursuant to the 12b-1 Plan during the year ended September 30, 2023 as the Investor Class was not operational during the year.
|
|
The Trust has adopted a 12b-1 Plan on behalf of the RiverPark Strategic Income Fund, which authorizes the Fund to pay the Distributor a distribution fee of 0.25% of the Fund’s average daily net
assets of the Fund’s Retail Class Shares for services to prospective Fund shareholders and distribution of Fund shares. The RiverPark Strategic Income Fund Retail Class Shares incurred $18,508 of fees pursuant to the 12b-1 Plan during the
year ended September 30, 2023 and owes $5,960 of fees related to the 12b-1 Plan as September 30, 2023. The Mutual Funds have adopted a Shareholder Servicing Plan to pay for shareholder support services from the applicable Fund’s assets
pursuant to a Shareholder Servicing Agreement in an amount not to exceed 0.15% of the applicable Fund’s average daily net assets. Currently, the shareholder servicing fee authorized for the CrossingBridge Low Duration Fund, CrossingBridge
Responsible Credit Fund and CrossingBridge Ultra-Short Duration Fund is up to 0.10% and RiverPark Strategic Income Fund up to 0.11%; however, the fee may be increased up to 0.15% of a Fund’s daily net assets, at any time. Each Mutual Fund is
responsible for paying a portion of shareholder servicing fees to each of the shareholder servicing agents who have written shareholder servicing agreements with the Fund, and perform shareholder servicing functions and maintenance of
shareholder accounts on behalf of shareholders. The following table details the fees incurred for the Mutual Funds pursuant to the Shareholder Servicing Plan during the year ended September 30, 2023, as well as the fees owed as of September
30, 2023.
|
Fees incurred
|
Fees owed
|
||||||||
CrossingBridge Low Duration High Yield Fund
|
$
|
534,590
|
$
|
227,824
|
|||||
CrossingBridge Responsible Credit Fund
|
24,082
|
7,596
|
|||||||
CrossingBridge Ultra-Short Duration Fund
|
84,886
|
14,417
|
|||||||
RiverPark Strategic Income Fund
|
153,937
|
27,581
|
(6)
|
Related Party Transactions
|
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services” or “Administrator”), acts as the Funds’ Administrator under
|
an Administration Agreement. The Administrator prepares various federal and state regulatory filings, reports and returns for the Funds; prepares reports and materials to be supplied to the
Trustees; monitors the activities of the Funds’ custodian, transfer agent and accountants; coordinates the preparation and payment of the Funds’ expenses and reviews the Funds’ expense accruals. Fund Services also serves as the transfer agent
to the Funds and provides pricing services to the Funds. U.S. Bank, N.A. (“U.S. Bank”), an affiliate of Fund Services, serves as the Funds’ custodian. Fees incurred for the fiscal year ended September 30, 2023, and owed as of September 30,
2023, are as follows:
|
Fund Administration, Accounting and Pricing
|
Fees incurred
|
Fees owed
|
|||||||
CrossingBridge Low Duration High Yield Fund
|
$
|
311,437
|
$
|
54,547
|
|||||
CrossingBridge Responsible Credit Fund
|
79,732
|
13,179
|
|||||||
CrossingBridge Ultra-Short Duration Fund
|
85,862
|
14,417
|
|||||||
RiverPark Strategic Income Fund(1)
|
78,614
|
33,096
|
|||||||
Transfer Agency
|
Fees incurred
|
Fees owed
|
|||||||
CrossingBridge Low Duration High Yield Fund
|
$
|
150,185
|
$
|
24,591
|
|||||
CrossingBridge Responsible Credit Fund
|
21,355
|
2,862
|
|||||||
CrossingBridge Ultra-Short Duration Fund
|
29,419
|
4,729
|
|||||||
RiverPark Strategic Income Fund(1)
|
27,246
|
4,233
|
|||||||
Custody
|
Fees incurred
|
Fees owed
|
|||||||
CrossingBridge Low Duration High Yield Fund
|
$
|
56,485
|
$
|
9,342
|
|||||
CrossingBridge Responsible Credit Fund
|
15,445
|
2,247
|
|||||||
CrossingBridge Ultra-Short Duration Fund
|
15,624
|
2,437
|
|||||||
RiverPark Strategic Income Fund(1)
|
8,366
|
6,626
|
(1)
|
Represents the fees incurred to Fund Services for the period May 13, 2023 to September 30, 2023. Prior to May 13, 2023, SEI Investments Global Funds Services served as Fund Administrator and the
Fund incurred $81,466 of fees. DST Systems, Inc. and Brown Brothers Harriman & Co. served as Transfer Agent and Custodian, respectively.
|
Under the terms of a Fund Servicing Agreement, the Adviser pays the Fund Administration and Accounting, Transfer Agency and Custody fees for the ETF.
|
|
Certain officers of the Funds are also employees of Fund Services. A Trustee of the Trust is affiliated with Fund Services and U.S. Bank.
|
|
The Trust’s Chief Compliance Officer is also an employee of Fund Services. The Mutual Funds’ allocation of the Trust’s Chief Compliance Officer fees incurred for the fiscal year ended September
30, 2023, and owed as of September 30, 2023, is as follows:
|
Fees incurred
|
Fees owed
|
||||||||
CrossingBridge Low Duration High Yield Fund
|
$
|
12,870
|
$
|
2,178
|
|||||
CrossingBridge Responsible Credit Fund
|
12,870
|
2,178
|
|||||||
CrossingBridge Ultra-Short Duration Fund
|
12,870
|
2,178
|
|||||||
RiverPark Strategic Income Fund(1)
|
4,832
|
2,129
|
(1)
|
Represents the fees incurred to Trust's Chief Compliance Officer for the period May 13, 2023 to September 30, 2023. Prior to May 13, 2023, the Chief Compliance Officer of the RiverPark Funds
Trust served as the Fund’s Chief Compliance Officer, the Fund incurred $5,744 of fees.
|
Under the terms of a Fund Servicing Agreement, the Adviser pays the Chief Compliance Officer fees for the ETF.
|
|
The CrossingBridge Low Duration High Yield Fund, CrossingBridge Responsible Credit Fund and CrossingBridge Ultra-Short Duration Fund also have a line of credit with U.S. Bank (See Note 11).
|
|
(7)
|
Capital Share Transactions
|
Transactions in shares of the Funds were as follows:
|
|
CrossingBridge Low Duration High Yield Fund
|
Year ended
|
Year ended
|
||||||||
September 30, 2023
|
September 30, 2022
|
||||||||
Shares sold
|
32,117,123
|
48,487,891
|
|||||||
Shares reinvested
|
3,725,506
|
1,647,659
|
|||||||
Shares redeemed
|
(28,435,351
|
)
|
(26,255,920
|
)
|
|||||
Net increase
|
7,407,278
|
23,879,630
|
|||||||
CrossingBridge Responsible Credit Fund
|
|||||||||
Year ended
|
Year ended
|
||||||||
September 30, 2023
|
September 30, 2022
|
||||||||
Shares sold
|
965,416
|
839,077
|
|||||||
Shares reinvested
|
212,032
|
71,289
|
|||||||
Shares redeemed
|
(457,163
|
)
|
(403,090
|
)
|
|||||
Net increase
|
720,285
|
507,276
|
|||||||
CrossingBridge Ultra-Short Duration Fund
|
|||||||||
Year ended
|
Year ended
|
||||||||
September 30, 2023
|
September 30, 2022
|
||||||||
Shares sold
|
5,078,593
|
4,515,784
|
|||||||
Shares reinvested
|
57,503
|
5,815
|
|||||||
Shares redeemed
|
(2,448,647
|
)
|
(1,368,395
|
)
|
|||||
Net increase
|
2,687,449
|
3,153,204
|
|||||||
CrossingBridge Pre-Merger SPAC ETF
|
|||||||||
Year ended
|
Year ended
|
||||||||
September 30, 2023
|
September 30, 2022
|
||||||||
Shares sold
|
690,000
|
3,270,000
|
|||||||
Shares reinvested
|
—
|
—
|
|||||||
Shares redeemed
|
(590,000
|
)
|
(480,000
|
)
|
|||||
Net increase
|
100,000
|
2,790,000
|
|||||||
RiverPark Strategic Income Fund – Institutional Class
|
|||||||||
Year ended
|
Year ended
|
||||||||
September 30, 2023
|
September 30, 2022
|
||||||||
Shares sold
|
30,507,810
|
8,663,000
|
|||||||
Shares reinvested
|
2,311,864
|
1,113,000
|
|||||||
Shares redeemed
|
(10,979,792
|
)
|
(11,386,000
|
)
|
|||||
Net increase (decrease)
|
21,839,882
|
(1,610,000
|
)
|
RiverPark Strategic Income Fund – Retail Class
|
|||||||||
Year ended
|
Year ended
|
||||||||
September 30, 2023
|
September 30, 2022
|
||||||||
Shares sold
|
1,317,171
|
2,631,000
|
|||||||
Shares reinvested
|
173,909
|
89,000
|
|||||||
Shares redeemed
|
(1,424,814
|
)
|
(1,874,000
|
)
|
|||||
Net increase
|
66,266
|
846,000
|
(8)
|
Creation and Redemption Transactions
|
Shares of the CrossingBridge Pre-Merger SPAC ETF are listed and traded on the NASDAQ Stock Market, LLC (the “Exchange”). The ETF issues and redeems shares on a continuous basis at NAV only in
large blocks of shares called “Creation Units.” Creation Units are to be issued and redeemed principally in kind for a basket of securities and a balancing cash amount. Shares generally will trade in the secondary market in amounts less than
a Creation Unit at market prices that change throughout the day. Market prices for the shares may be different from their NAV. The NAV is determined as of the close of trading (generally, 4:00 p.m. Eastern Time) on each day the NYSE is open
for trading. The NAV of the shares of the Fund will be equal to the ETF’s total assets minus the ETF’s total liabilities divided by the total number of shares outstanding. The NAV that is published will be rounded to the nearest cent;
however, for purposes of determining the price of Creation Units, the NAV will be calculated to five decimal places.
|
|
Only “Authorized Participants” may purchase or redeem shares directly from the ETF. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through
the Continuous Net Settlement System of National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors will not qualify as
Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the ETF. Rather, most retail investors will purchase shares in the secondary
market with the assistance of a broker and will be subject to customary brokerage commissions or fees. Securities received or delivered in connection with in-kind creates and redeems are valued as of the close of business on the effective
date of the creation or redemption.
|
|
Creation Unit Transaction Fee
|
|
Authorized Participants will be required to pay to the Custodian a fixed transaction fee (the “Creation Transaction Fee”) in connection with the issuance of Creation Units. The standard Creation
Transaction Fee will be the same regardless of the number of Creation Units purchased by an investor on the applicable Business Day. The Creation Transaction Fee for the ETF is $250.
|
|
An additional variable fee of up to a maximum of 2% of the value of the Creation Units subject to the transaction may be imposed for cash purchases, nonstandard orders, or partial purchase of
Creation Units. For orders comprised entirely of cash, a variable fee of 0.03% of the value of the order will be charged by the ETF. The variable charge
|
is primarily designed to cover additional costs (e.g., brokerage, taxes) involved with buying the securities with cash. The ETF may determine to not charge a variable fee on certain orders when
the Adviser has determined that doing so is in the best interests of ETF shareholders.
|
|
A creation unit will generally not be issued until the transfer of good title of the deposit securities to the ETF and the payment of any cash amounts have been completed. To the extent
contemplated by the applicable participant agreement, Creation Units of the ETF will be issued to such authorized participant notwithstanding the fact that the ETF’s deposits have not been received in part or in whole, in reliance on the
undertaking of the authorized participant to deliver the missing deposit securities as soon as possible. If the ETF or its agents do not receive all of the deposit securities, or the required cash amounts, by such time, then the order may be
deemed rejected and the authorized participant shall be liable to the ETF for losses, if any.
|
|
(9)
|
Investment Transactions
|
The aggregate purchases and sales of securities, excluding short-term investments, for the fiscal year or period ended September 30, 2023 are summarized below:
|
Purchases
|
Sales
|
||||||||
CrossingBridge Low Duration High Yield Fund
|
$
|
578,537,760
|
$
|
503,473,409
|
|||||
CrossingBridge Responsible Credit Fund
|
31,000,185
|
25,747,724
|
|||||||
CrossingBridge Ultra-Short Duration Fund
|
95,371,907
|
84,684,129
|
|||||||
CrossingBridge Pre-Merger SPAC ETF
|
83,565,591
|
84,863,932
|
|||||||
RiverPark Strategic Income Fund
|
294,878,125
|
198,407,022
|
The above purchases and sales exclude any in-kind transactions associated with creations and redemptions. During the year ended September 30, 2023, the CrossingBridge Pre-Merger SPAC had
$43,533 of creations in-kind and $7,171,927 of redemptions in-kind.
|
|
There were no purchases or sales of U.S. government securities in the Funds.
|
|
(10)
|
Beneficial Ownership
|
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates a presumption of control of the fund, under Section 2(a)(9) of the 1940 Act.
At September 30, 2023, Charles Schwab & Co., Inc. held 59.10% of the CrossingBridge Low Duration High Yield Fund, 63.19% of the CrossingBridge Responsible Credit Fund, 65.20% of the CrossingBridge Pre-Merger SPAC ETF, and 51.93% of the
RiverPark Strategic Income Fund, respectively. National Financial Services LLC held 87.82% of the CrossingBridge Ultra-Short Duration Fund and 38.76% of the RiverPark Strategic Income Fund at September 30, 2023.
|
|
(11)
|
Line of Credit
|
The CrossingBridge Low Duration High Yield Fund, CrossingBridge Responsible Credit Fund, CrossingBridge Ultra-Short Duration Fund and RiverPark Strategic Income Fund (“Borrowing Funds”) and U.S.
Bank, N.A. have entered into an umbrella line of credit agreement in the amount of up to $75,000,000, which matures on
|
August 3, 2024. This unsecured line of credit agreement is intended to provide short-term financing, if necessary, subject to certain restrictions, in connection with shareholder redemptions
from the Borrowing Funds. The maximum borrowing can not exceed 20% of the gross market value or 33.33% of the net market value of a Borrowing Fund’s unencumbered assets. Interest on amounts borrowed under the line of credit will be accrued at
the prime rate. On March 14, 2023, the CrossingBridge Ultra-Short Duration Fund made a draw on the line of credit of $95,000. Interest was charged at the prime rate of 7.75% totaling $20, which is presented on the Statement of Operations as
Interest Expense. No other Fund in the complex drew on the line of credit during the fiscal year ended September 30, 2023.
|
|
(12)
|
Subsequent Events
|
In preparing these financial statements, the Funds have evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.
|
|
On October 30, 2023, the CrossingBridge Low Duration High Yield Fund, CrossingBridge Responsible Credit Fund, CrossingBridge Ultra-Short Duration Fund and RiverPark Strategic Income Fund
declared and paid an income distribution of $3,326,471, $150,440, $438,285 and $2,035,658, respectively, to their Institutional Class shareholders of record on October 27, 2023. The RiverPark Strategic Income Fund also made a distribution to
its Retail Class shareholders on these same dates for $107,181.
|
|
(13)
|
Recent Market Events
|
U.S. and international markets have experienced significant periods of volatility in recent years and months due to a number of economic, political and global macro factors including rising
inflation, uncertainty regarding central banks’ interest rate increases, the possibility of a national or global recession, trade tensions, political events, the war between Russia and Ukraine and the impact of the coronavirus (COVID-19)
global pandemic. The global recovery from COVID-19 may last for an extended period of time. As a result of continuing political tensions and armed conflicts, including the war between Ukraine and Russia, the U.S. and the European Union
imposed sanctions on certain Russian individuals and companies, including certain financial institutions, and have limited certain exports and imports to and from Russia. The war has contributed to recent market volatility and may continue to
do so. These developments, as well as other events, could result in further market volatility and negatively affect financial asset prices, the liquidity of certain securities and the normal operations of securities exchanges and other
markets, despite government efforts to address market disruptions. Continuing market volatility as a result of recent market conditions or other events may have an adverse effect on the performance of the Funds.
|
Statements of
|
|||
Statements of
|
Changes in
|
Financial
|
|
Fund Name
|
Operations
|
Net Assets
|
Highlights
|
CrossingBridge Low
|
For the year ended
|
For the years ended
|
For the years ended
|
Duration High Yield Fund and
|
September 30, 2023
|
September 30, 2023,
|
September 30, 2023,
|
RiverPark Strategic
|
and 2022
|
2022, 2021, 2020,
|
|
Income Fund
|
and 2019
|
||
CrossingBridge Responsible
|
For the year ended
|
For the years ended
|
For the years ended
|
Credit Fund and CrossingBridge
|
September 30, 2023
|
September 30, 2023,
|
September 30, 2023,
|
Ultra-Short Duration Fund
|
and 2022
|
and 2022, and for
|
|
the period from
|
|||
June 30, 2021
|
|||
(commencement of
|
|||
operations) through
|
|||
September 30, 2021
|
|||
CrossingBridge
|
For the year ended
|
For the years ended
|
For the years ended
|
Pre-Merger SPAC ETF
|
September 30, 2023
|
September 30, 2023,
|
September 30, 2023,
|
and 2022
|
and 2022, and for
|
||
the period from
|
|||
September 20, 2021
|
|||
(commencement of
|
|||
operations) through
|
|||
September 30, 2021
|
1.
|
NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED TO THE FUNDS
|
The Trustees considered the nature, extent and quality of services provided by the Adviser to the Funds and the amount of time devoted to the Funds’ operation by the Adviser’s staff. The
Trustees considered the Adviser’s specific responsibilities in all aspects of day-to-day management of the Funds, including the investment strategies implemented by the Adviser, as well as the qualifications, experience and responsibilities
of David K. Sherman, Lead Portfolio Manager for each of the Funds, and T. Kirk Whitney, Assistant Portfolio Manager for each of the Funds, and other key personnel at the Adviser involved in the day-to-day activities of the Funds. The
Trustees reviewed information provided by the Adviser in a due diligence questionnaire, including the structure of the Adviser’s compliance program and its continuing commitment to the Funds. The Trustees noted that during the course of
|
the prior year the Adviser had participated in a Trust board meeting to discuss the Funds’ performance and outlook, along with the compliance efforts made by the Adviser, including reports
provided by the Adviser in its role as the Funds’ valuation designee. The Trustees also noted any services that extended beyond portfolio management, and they considered the brokerage practices of the Adviser. The Trustees discussed the
Adviser’s handling of compliance matters, including the reports of the Trust’s chief compliance officer to the Trustees on the effectiveness of the Adviser’s compliance program. The Trustees also considered the Adviser’s overall financial
condition, as well as the implementation and operational effectiveness of the Adviser’s business continuity plan. The Trustees concluded that the Adviser had sufficient quality and depth of personnel, resources, investment methods and
compliance policies and procedures essential to performing its duties under each applicable Advisory Agreement and that the nature, overall quality and extent of the management services provided to the Funds, as well as the Adviser’s
compliance program, were satisfactory and reliable.
|
|
2.
|
INVESTMENT PERFORMANCE OF THE FUNDS AND THE ADVISER
|
The Trustees discussed the performance of the Institutional Class shares of each of the CrossingBridge Low Duration High Yield Fund, CrossingBridge Ultra-Short Duration Fund, and CrossingBridge
Responsible Credit Fund and the performance of the CrossingBridge Pre-Merger SPAC ETF (net asset value price returns) for the quarter, one-year, three-year, five-year and since inception periods ended March 31, 2023, as applicable. In
assessing the quality of the portfolio management services delivered by the Adviser, the Trustees also compared the short-term and longer-term performance of the Funds on both an absolute basis and in comparison to each Fund’s primary
benchmark index (the ICE BofA 0-3 Year U.S. High Yield Excluding Financials Index for the CrossingBridge Low Duration High Yield Fund, the ICE BofA 0-1 Year U.S. Corporate Index for the CrossingBridge Ultra-Short Duration Fund, the ICE BofA
U.S. High Yield Index for the CrossingBridge Responsible Credit Fund, and the ICE BofA 0-3 Year U.S. Treasury Index for the CrossingBridge Pre-Merger SPAC ETF) and in comparison to a peer group of funds as constructed using publicly-available
data provided by Morningstar, Inc. and presented by Barrington Financial Group, LLC d/b/a Barrington Partners, an independent third-party benchmarking firm, through its cohort selection process (a peer group of U.S. open-end global
allocation, high yield bond, nontraditional bond, multistrategy and tactical allocation funds for the CrossingBridge Low Duration High Yield Fund, a peer group of U.S. open-end short-term bond, high yield bond and ultrashort bond funds for
the CrossingBridge Ultra-Short Duration Fund, a peer group of U.S. open-end ultrashort bond, short-term bond and high yield bond funds for the CrossingBridge Responsible Credit Fund, and a peer group of U.S. financial and event-driven
exchange-traded funds for the CrossingBridge Pre-Merger SPAC ETF) (each, a “Barrington Cohort”). The Trustees noted that the Adviser sub-advises a mutual fund and manages its segment of the mutual fund’s portfolio with an investment strategy
substantially similar to that of the CrossingBridge Low Duration High Yield Fund. The Trustees also noted that the Adviser did not manage any other accounts with the same or similar investment strategies as any of the CrossingBridge
Ultra-Short Duration Fund, CrossingBridge Responsible Credit Fund, or CrossingBridge Pre-Merger SPAC ETF.
|
The Trustees noted the CrossingBridge Low Duration High Yield Fund’s performance for Institutional Class shares for the one-year and five-year periods ended March 31, 2023 was above the
Barrington Cohort average. The Trustees noted the CrossingBridge Low Duration High Yield Fund’s performance for Institutional Class shares for the three-year period ended March 31, 2023 was slightly below the Barrington Cohort average. The
Trustees noted that for the quarter, three-year and five-year periods ended March 31, 2023, the Institutional Class shares of the CrossingBridge Low Duration High Yield Fund had underperformed the ICE BofA 0-3 Year U.S. High Yield Excluding
Financials Index. The Trustees noted that for the one-year and since inception periods ended March 31, 2023, the Institutional Class shares of the CrossingBridge Low Duration High Yield Fund had outperformed the ICE BofA 0-3 Year U.S. High
Yield Excluding Financials Index.
|
|
The Trustees noted the CrossingBridge Ultra Short Duration Fund’s performance for Institutional Class shares for the one-year period ended March 31, 2023 was above the Barrington Cohort
average. The Trustees noted that for the quarter ended March 31, 2023, the Institutional Class shares of the CrossingBridge Ultra Short Duration Fund had underperformed the ICE BofA 0-1 Year U.S. Corporate Index. The Trustees noted that for
the one-year and since inception periods ended March 31, 2023, the Institutional Class shares of the CrossingBridge Ultra Short Duration Fund had outperformed the ICE BofA 0-1 Year U.S. Corporate Index.
|
|
The Trustees noted the CrossingBridge Responsible Credit Fund’s performance for Institutional Class shares for the one-year period ended March 31, 2023 was significantly above the Barrington
Cohort average. The Trustees noted that for the quarter ended March 31, 2023, the Institutional Class shares of the CrossingBridge Responsible Credit Fund had underperformed the ICE BofA U.S. High Yield Index. The Trustees noted that for
the one-year and since inception periods ended March 31, 2023, the Institutional Class shares of the CrossingBridge Responsible Credit Fund had outperformed the ICE BofA U.S. High Yield Index.
|
|
The Trustees noted the CrossingBridge Pre-Merger SPAC ETF’s performance for the one-year period ended March 31, 2023 was significantly above the Barrington Cohort average. The Trustees noted
that for quarter, one-year and since inception periods ended March 31, 2023, the CrossingBridge Pre-Merger SPAC ETF had outperformed the ICE BofA 0-3 Year U.S. Treasury Index.
|
|
After considering all of the information, the Trustees concluded that the performance obtained by the Adviser for each Fund was satisfactory under current market conditions. Although past
performance is not a guarantee or indication of future results, the Trustees determined that each Fund and its shareholders were likely to benefit from the Adviser’s continued management.
|
|
3.
|
COSTS OF SERVICES PROVIDED AND PROFITS REALIZED BY THE ADVISER
|
The Trustees considered the cost of services and the structure of the Adviser’s fees, including a review of the expense analyses and other pertinent material with respect to the Funds. The
Trustees took into consideration that the management fee for the CrossingBridge Pre-Merger SPAC ETF was a “unitary management fee” whereby the Adviser agrees to pay all expenses incurred by the Fund, except the unitary
|
management fee payable to the Adviser and certain excluded expenses. The Trustees reviewed the related statistical information and other materials provided, including the comparative expenses
and Barrington Cohort comparisons. The Trustees considered the cost structure of each Fund relative to the Barrington Cohort, as well as any fee waivers and expense reimbursements of the Adviser.
|
|
The Trustees also considered the overall profitability of the Adviser and reviewed the Adviser’s financial information, noting that the Adviser had provided substantial subsidies for each of the
CrossingBridge Low Duration High Yield Fund’s, CrossingBridge Ultra-Short Duration Fund’s, and CrossingBridge Responsible Credit Fund’s operations since inception and has not yet fully recouped those subsidies. The Trustees also examined the
level of profits that could be expected to accrue to the Adviser from the fees payable under each applicable Advisory Agreement and the expense subsidization undertaken by the Adviser with respect to each applicable Fund, as well as each
Funds’ brokerage practices and use of soft dollars by the Adviser. These considerations were based on materials requested by the Trustees and the Funds’ administrator specifically for the June 22, 2023 meeting and the August 17, 2023 meeting
at which each applicable Advisory Agreement was formally considered, as well as the reports prepared by the Adviser over the course of the year.
|
|
The Trustees noted that the CrossingBridge Low Duration High Yield Fund’s contractual management fee of 0.65% was below the Barrington Cohort average of 0.95%. The Trustees noted that the
CrossingBridge Low Duration High Yield Fund was operating below its expense cap of 0.90% (including shareholder servicing plan fees) for Institutional Class shares. The Trustees observed that the CrossingBridge Low Duration High Yield Fund’s
total expense ratio (including shareholder servicing plan fees) of 0.88% for Institutional Class shares was below the Barrington Cohort average of 1.27%. The Trustees also compared the fees paid by the CrossingBridge Low Duration High Yield
Fund to the sub-advisory fees paid to the Adviser by the sub-advised mutual fund with a substantially similar investment strategy.
|
|
The Trustees noted that the CrossingBridge Ultra-Short Duration Fund’s contractual management fee of 0.65% was above the Barrington Cohort average of 0.41%. The Trustees noted that the
CrossingBridge Ultra-Short Duration Fund was operating above its expense cap of 0.90% (including shareholder servicing plan fees) for Institutional Class shares. The Trustees observed that the CrossingBridge Ultra-Short Duration Fund’s total
expense ratio (net of fee waivers and expense reimbursements and including shareholder servicing plan fees) of 0.89% for Institutional Class shares was above the Barrington Cohort average of 0.53%.
|
|
The Trustees noted that the CrossingBridge Responsible Credit Fund’s contractual management fee of 0.65% was above the Barrington Cohort average of 0.47%. The Trustees noted that the
CrossingBridge Responsible Credit Fund was operating above its expense cap of 0.90% (including shareholder servicing plan fees) for Institutional Class shares. The Trustees observed that the CrossingBridge Responsible Credit Fund’s total
expense ratio (net of fee waivers and expense reimbursements and including shareholder servicing plan fees) of 0.89% for Institutional Class shares was above the Barrington Cohort average of 0.64%.
|
The Trustees noted that the CrossingBridge Pre-Merger SPAC ETF’s contractual management fee of 0.80% was below the Barrington Cohort average of 0.86%. The Trustees observed that the
CrossingBridge Pre-Merger SPAC ETF’s unitary fee structure limits the Fund’s total expense ratio to 0.80% and such expense ratio was below the Barrington Cohort average of 0.83%.
|
|
The Trustees concluded that the Funds’ expenses and the management fees paid to the Adviser were fair and reasonable in light of the comparative performance, expense and management fee
information. The Trustees noted, based on a profitability analysis prepared by the Adviser, that the Adviser’s profits from sponsoring each of the CrossingBridge Low Duration High Yield Fund, CrossingBridge Ultra-Short Duration Fund and
CrossingBridge Pre-Merger SPAC ETF were not excessive, and while the CrossingBridge Responsible Credit Fund was not yet profitable to the Adviser, the Adviser maintained adequate profit levels to support the services to each Fund from the
revenues of its overall investment advisory business, despite subsidizing the operations of the CrossingBridge Responsible Credit Fund.
|
|
4.
|
EXTENT OF ECONOMIES OF SCALE AS THE FUNDS GROW
|
The Trustees compared each Fund’s expenses relative to its peer group and discussed realized and potential economies of scale. The Trustees also reviewed the structure of each Fund’s management
fee and whether each Fund was large enough to generate economies of scale for shareholders or whether economies of scale would be expected to be realized as Fund assets grow (and if so, how those economies of scale were being or would be
shared with shareholders). The Trustees reviewed all fee waivers, expense reimbursements and actual or potential recoupments by the Adviser with respect to the Funds. The Trustees noted that the Funds’ management fee structures did not
contain any breakpoint reductions as each Fund’s assets grow in size, but that the feasibility of incorporating breakpoints would continue to be reviewed on a regular basis. With respect to the Adviser’s fee structures, the Trustees
concluded that the current fee structures were reasonable and reflected a sharing of economies of scale between the Adviser and each Fund at the Fund’s current asset level.
|
|
5.
|
BENEFITS DERIVED FROM THE RELATIONSHIP WITH THE FUNDS
|
The Trustees considered the direct and indirect benefits that could be received by the Adviser from its association with the Funds. The Trustees examined the brokerage practices of the Adviser
with respect to the Funds. The Trustees concluded that the benefits the Adviser may receive, such as greater name recognition and increased ability to obtain research or brokerage services or attract additional investor assets, appear to be
reasonable, and in many cases may benefit the Funds.
|
1.
|
NATURE, EXTENT AND QUALITY OF SERVICES TO BE PROVIDED TO THE FUND
|
The Trustees considered the nature, extent and quality of services that would be provided by the Adviser to the Fund and the amount of time devoted by the Adviser’s staff to the Fund’s
operations. The Trustees considered the Adviser’s specific responsibilities in all aspects of day-to-day management of the Fund, as well as the qualifications, experience and responsibilities of David K. Sherman, Portfolio Manager, who will
serve as portfolio manager for the Fund, and other key personnel at the Adviser involved in the day-to-day activities of the Fund. The Trustees noted that the Fund will be the successor to the corresponding series of RiverPark Funds Trust
(the “Predecessor Fund”) sub-advised by an affiliate of the Adviser and which will be reorganized with and into the Fund. The Trustees reviewed information
|
provided by the Adviser in a due diligence questionnaire, including the structure of the Adviser’s compliance program and discussed the Adviser’s marketing activities and its commitment to the
Fund. The Trustees also noted any services that extended beyond portfolio management, and they considered the brokerage practices of the Adviser. The Trustees discussed the Adviser’s handling of compliance matters, including the reports of
the Trust’s chief compliance officer to the Trustees on the effectiveness of the Adviser’s compliance program. The Trustees also considered the Adviser’s overall financial condition, as well as the implementation and operational
effectiveness of the Adviser’s business continuity plan. The Trustees concluded that the Adviser had sufficient quality and depth of personnel, resources, investment methods and compliance policies and procedures essential to performing its
duties under the Advisory Agreement and that the nature, overall quality and extent of the management services provided to the Fund, as well as the Adviser’s compliance program, were satisfactory and reliable.
|
|
2.
|
INVESTMENT PERFORMANCE OF THE FUND AND THE ADVISER
|
In considering the portfolio management services to be provided by the Adviser, the Trustees considered the investment management experience of Mr. Sherman. Because the Fund had not yet
commenced operations and did not have its own performance history, the Trustees considered the historical performance of the Predecessor Fund, which is managed by Mr. Sherman in identical respects as he will manage the Fund. The Trustees
noted that the Fund will not commence operations until after the closing of the reorganization of the Predecessor Fund with and into the Fund, at which time the Fund will adopt the performance history of the Predecessor Fund. The Trustees
discussed the performance of the Institutional Class shares of the Predecessor Fund for the one-year, three-year, five-year, and since inception periods ended December 31, 2022. In assessing the quality of the portfolio management services
to be provided by the Adviser, the Trustees compared the short-term and longer-term performance of the Predecessor Fund on both an absolute basis and in comparison to its primary benchmark index (the Bloomberg U.S. Aggregate Bond Index), as
well as two additional secondary benchmark indices. The Trustees also noted that the Adviser sub-advises a mutual fund and manages its segment of the mutual fund’s portfolio with an investment strategy substantially similar to that of the
Fund.
|
|
The Trustees noted that the Institutional Class shares of the Predecessor Fund outperformed the Bloomberg U.S. Aggregate Bond Index for the one-year, three-year, five-year, and since inception
periods ended December 31, 2022. The Trustees also noted that the performance of the Institutional Class shares of the Predecessor Fund was in-line with the performance of the segment of the separate comparable mutual fund sub-advised by the
Adviser, taking into account cash flows and slight differences in the investment guidelines for the respective funds.
|
|
After considering all of the information and noting that past performance is not a guarantee or indication of future results, the Trustees determined that the Fund and its shareholders were
likely to benefit from the Adviser’s management.
|
3.
|
COSTS OF SERVICES PROVIDED AND PROFITS TO BE REALIZED BY THE ADVISER
|
The Trustees considered the cost of services and the structure of the Adviser’s proposed management fee, including a review of the expense analyses and other pertinent material with respect to
the Fund. The Trustees reviewed the related statistical information and other materials provided, including the comparative expenses, expense components and peer group selection. The Trustees considered the cost structure of the Fund
relative to a peer group of funds as constructed using publicly-available data provided by Morningstar, Inc. and presented by Barrington Financial Group, LLC d/b/a Barrington Partners, an independent third-party benchmarking firm, through its
cohort selection process (a peer group of U.S. multisector bond funds (the “Barrington Cohort”)). The Trustees also compared the fees to be paid by the Fund to the sub-advisory fees paid to the Adviser by the sub-advised mutual fund with a
substantially similar investment strategy.
|
|
The Trustees noted that the Fund’s proposed contractual management fee of 0.65% was higher than the Barrington Cohort average of 0.60%. The Trustees further noted that the Fund’s total expense
ratio (which includes estimated shareholder servicing plan fees and dividends and interest on short positions) of 1.09% was above the Barrington Cohort average of 0.68%.
|
|
The Trustees noted that the Adviser has agreed to waive its management fees and/or reimburse expenses of the Fund for a period of two years following the closing of the reorganization to ensure
that the total amount of the Fund’s operating expenses (exclusive of front-end or contingent deferred loads, Rule 12b-1 plan fees, shareholder servicing plan fees, leverage (i.e., any expenses incurred in connection with borrowings made by
the Fund) interest (including interest incurred in connection with bank and custody overdrafts), brokerage commissions and other transactional expenses, expenses incurred in connection with any merger or reorganization, dividends or interest
on short positions, acquired fund fees and expenses or extraordinary expenses such as litigation) does not exceed 0.82% of the average net assets of the Fund.
|
|
The Trustees also considered the overall profitability that may result from the Adviser’s management of the Fund and reviewed the Adviser’s financial information. The Trustees also examined the
level of profits that could be realized by the Adviser from the fees payable under the Agreement based on a pro forma profitability analysis provided by the Adviser.
|
|
The Trustees concluded that the Fund’s estimated expenses and the proposed management fee to be paid to the Adviser were fair and reasonable in light of the comparative expense and management
fee information and the investment management services to be provided to the Fund by the Adviser. The Trustees further concluded, based on a pro forma profitability analysis prepared by the Adviser, that the Adviser’s anticipated profit from
sponsoring the Fund would not be excessive and that the Adviser maintained adequate profit levels to support its services to the Fund.
|
4.
|
EXTENT OF ECONOMIES OF SCALE AS THE FUND GROWS
|
The Trustees compared the Fund’s estimated expenses relative to its Barrington Cohort and discussed economies of scale. With respect to the Fund, the Trustees noted that the Fund’s proposed
management fee structure did not contain any breakpoint reductions as the Fund’s assets grow in size, but that the feasibility of incorporating breakpoints would be reviewed on a regular basis. With respect to the Adviser’s fee structure,
the Trustees concluded that the potential economies of scale with respect to the Fund was acceptable.
|
|
5.
|
BENEFITS TO BE DERIVED FROM THE RELATIONSHIP WITH THE FUND
|
The Trustees considered the direct and indirect benefits that could be realized by the Adviser from its association with the Fund. The Trustees concluded that the benefits the Adviser may
receive, such as greater name recognition, an increased ability to obtain research or brokerage services, or the ability to attract additional investor assets, appear to be reasonable, and in many cases may benefit the Fund.
|
CrossingBridge Low Duration High Yield Fund
|
0.58%
|
||
CrossingBridge Responsible Credit Fund
|
6.25%
|
||
CrossingBridge Ultra-Short Duration Fund
|
5.84%
|
||
CrossingBridge Pre-Merger SPAC ETF
|
13.46%
|
||
RiverPark Strategic Income Fund
|
0.00%
|
CrossingBridge Low Duration High Yield Fund
|
0.05%
|
||
CrossingBridge Responsible Credit Fund
|
0.00%
|
||
CrossingBridge Ultra-Short Duration Fund
|
0.20%
|
||
CrossingBridge Pre-Merger SPAC ETF
|
0.61%
|
||
RiverPark Strategic Income Fund
|
0.67%
|
CrossingBridge Low Duration High Yield Fund
|
0.05%
|
||
CrossingBridge Responsible Credit Fund
|
0.00%
|
||
CrossingBridge Ultra-Short Duration Fund
|
0.20%
|
||
CrossingBridge Pre-Merger SPAC ETF
|
0.61%
|
||
RiverPark Strategic Income Fund
|
0.52%
|
Other
|
|||||
Number of
|
Directorships
|
||||
Term of
|
Portfolios
|
Principal
|
Held by
|
||
Name,
|
Position(s)
|
Office and
|
in the Trust
|
Occupation(s)
|
Trustee During
|
Address, and
|
Held with
|
Length of
|
Overseen by
|
During the Past
|
the Past
|
Year of Birth
|
the Trust
|
Time Served
|
the Trustee
|
Five Years
|
Five Years
|
Independent Trustees
|
|||||
Michael D.
|
Trustee
|
Indefinite
|
28
|
Professor
|
Independent
|
Akers, Ph.D.
|
Term; Since
|
Emeritus,
|
Trustee, USA
|
||
615 E. Michigan St.
|
August 22,
|
Department of
|
MUTUALS
|
||
Milwaukee, WI 53202
|
2001
|
Accounting
|
(an open-end
|
||
Year of Birth: 1955
|
(June 2019-
|
investment
|
|||
present),
|
company)
|
||||
Professor,
|
(2001-2021).
|
||||
Department of
|
|||||
Accounting
|
|||||
(2004-2019),
|
|||||
Marquette
|
|||||
University.
|
|||||
Gary A. Drska
|
Trustee
|
Indefinite
|
28
|
Retired;
|
Independent
|
615 E. Michigan St.
|
Term; Since
|
Former Pilot,
|
Trustee, USA
|
||
Milwaukee, WI 53202
|
August 22,
|
Frontier/Midwest
|
MUTUALS
|
||
Year of Birth: 1956
|
2001
|
Airlines, Inc.
|
(an open-end
|
||
(airline company)
|
investment
|
||||
(1986-2021)
|
company)
|
||||
(2001-2021).
|
Other
|
|||||
Number of
|
Directorships
|
||||
Term of
|
Portfolios
|
Principal
|
Held by
|
||
Name,
|
Position(s)
|
Office and
|
in the Trust
|
Occupation(s)
|
Trustee During
|
Address, and
|
Held with
|
Length of
|
Overseen by
|
During the Past
|
the Past
|
Year of Birth
|
the Trust
|
Time Served
|
the Trustee
|
Five Years
|
Five Years
|
Vincent P. Lyles
|
Trustee
|
Indefinite
|
28
|
Executive
|
Independent
|
615 E. Michigan St.
|
Term; Since
|
Director,
|
Director, BMO
|
||
Milwaukee, WI 53202
|
April 6,
|
Milwaukee
|
Funds, Inc.
|
||
Year of Birth: 1961
|
2022
|
Succeeds
|
(an open-end
|
||
(education
|
investment
|
||||
advocacy
|
company)
|
||||
organization)
|
(2017-2022).
|
||||
(2023-present);
|
|||||
System Vice
|
|||||
President of
|
|||||
Community
|
|||||
Relations,
|
|||||
Advocate
|
|||||
Aurora Health
|
|||||
Care (health
|
|||||
care provider)
|
|||||
(2019-2022);
|
|||||
President and
|
|||||
Chief Executive
|
|||||
Officer, Boys &
|
|||||
Girls Club of
|
|||||
Greater
|
|||||
Milwaukee
|
|||||
(2012-2018).
|
|||||
Erik K. Olstein
|
Trustee
|
Indefinite
|
28
|
Retired;
|
Trustee, The
|
615 E. Michigan St.
|
Term; Since
|
President and
|
Olstein Funds
|
||
Milwaukee, WI 53202
|
April 6,
|
Chief Operation
|
(an open-end
|
||
Year of Birth: 1967
|
2022
|
Officer (2000-
|
investment
|
||
2020), Vice
|
company)
|
||||
President of
|
(1995-2018).
|
||||
Sales and Chief
|
|||||
Operating Officer
|
|||||
(1995-2000),
|
|||||
Olstein Capital
|
|||||
Management,
|
|||||
L.P. (asset
|
|||||
management
|
|||||
firm); Secretary
|
|||||
and Assistant
|
|||||
Treasurer, The
|
|||||
Olstein Funds
|
|||||
(1995-2018).
|
Other
|
|||||
Number of
|
Directorships
|
||||
Term of
|
Portfolios
|
Principal
|
Held by
|
||
Name,
|
Position(s)
|
Office and
|
in the Trust
|
Occupation(s)
|
Trustee During
|
Address, and
|
Held with
|
Length of
|
Overseen by
|
During the Past
|
the Past
|
Year of Birth
|
the Trust
|
Time Served
|
the Trustee
|
Five Years
|
Five Years
|
Lisa Zúñiga Ramírez
|
Trustee
|
Indefinite
|
28
|
Retired;
|
Director,
|
615 E. Michigan St.
|
Term; Since
|
Principal and
|
Peoples
|
||
Milwaukee, WI 53202
|
April 6,
|
Senior Portfolio
|
Financial
|
||
Year of Birth: 1969
|
2022
|
Manager, Segall,
|
Services
|
||
Bryant & Hamill,
|
Corp. (a
|
||||
LLC (asset
|
publicly-
|
||||
management
|
traded bank
|
||||
firm) (2018-
|
holding
|
||||
2020); Partner
|
company)
|
||||
and Senior
|
(2022-present).
|
||||
Portfolio
|
|||||
Manager, Denver
|
|||||
Investments
|
|||||
LLC (asset
|
|||||
management
|
|||||
firm) (2009-2018).
|
|||||
Gregory M. Wesley
|
Trustee
|
Indefinite Term;
|
28
|
Senior Vice
|
N/A
|
615 E. Michigan St.
|
Since April 6,
|
President of
|
|||
Milwaukee, WI 53202
|
2022
|
Strategic
|
|||
Year of Birth: 1969
|
Alliances and
|
||||
Business
|
|||||
Development,
|
|||||
Medical College
|
|||||
of Wisconsin
|
|||||
(2016-present).
|
|||||
Interested Trustee and Officers
|
|||||
John P. Buckel*
|
Chairperson,
|
Indefinite
|
28
|
Vice President,
|
N/A
|
615 E. Michigan St.
|
Trustee,
|
Term;
|
U.S. Bancorp
|
||
Milwaukee, WI 53202
|
President
|
Chairperson
|
Fund Services, LLC
|
||
Year of Birth: 1957
|
and
|
and Trustee
|
(2004-present).
|
||
Principal
|
(Since
|
||||
Executive
|
January 19,
|
||||
Officer
|
2023);
|
||||
President
|
|||||
and Principal
|
|||||
Executive
|
|||||
Officer (Since
|
|||||
January 24,
|
|||||
2013)
|
*
|
Mr. Buckel is an “interested person” of the Trust as defined by the 1940 Act due to his position and material business relationship with the Trust.
|
Other
|
|||||
Number of
|
Directorships
|
||||
Term of
|
Portfolios
|
Principal
|
Held by
|
||
Name,
|
Position(s)
|
Office and
|
in the Trust
|
Occupation(s)
|
Trustee During
|
Address, and
|
Held with
|
Length of
|
Overseen by
|
During the Past
|
the Past
|
Year of Birth
|
the Trust
|
Time Served
|
the Trustee
|
Five Years
|
Five Years
|
Jennifer A. Lima
|
Vice
|
Indefinite
|
N/A
|
Vice President,
|
N/A
|
615 E. Michigan St.
|
President,
|
Term; Since
|
U.S. Bancorp
|
||
Milwaukee, WI 53202
|
Treasurer
|
January 24,
|
Fund Services,
|
||
Year of Birth: 1974
|
and
|
2013
|
LLC (2002-
|
||
Principal
|
present).
|
||||
Financial
|
|||||
and
|
|||||
Accounting
|
|||||
Officer
|
|||||
Deanna B. Marotz
|
Chief
|
Indefinite
|
N/A
|
Senior Vice
|
N/A
|
615 E. Michigan St.
|
Compliance
|
Term; Since
|
President, U.S.
|
||
Milwaukee, WI 53202
|
Officer,
|
October 21,
|
Bancorp Fund
|
||
Year of Birth: 1965
|
Vice
|
2021
|
Services, LLC
|
||
President
|
(2021-present);
|
||||
and
|
Chief Compliance
|
||||
Anti-Money
|
Officer of Keeley-
|
||||
Laundering
|
Teton Advisors,
|
||||
Officer
|
LLC and Teton
|
||||
Advisors, Inc.
|
|||||
(2017-2021).
|
|||||
Jay S. Fitton
|
Secretary
|
Indefinite
|
N/A
|
Assistant Vice
|
N/A
|
615 E. Michigan St.
|
Term; Since
|
President, U.S.
|
|||
Milwaukee, WI 53202
|
July 22,
|
Bancorp Fund
|
|||
Year of Birth: 1970
|
2019
|
Services, LLC
|
|||
(2019-present);
|
|||||
Partner, Practus,
|
|||||
LLP (2018-2019);
|
|||||
Counsel, Drinker
|
|||||
Biddle & Reath
|
|||||
(2016-2018).
|
Other
|
|||||
Number of
|
Directorships
|
||||
Term of
|
Portfolios
|
Principal
|
Held by
|
||
Name,
|
Position(s)
|
Office and
|
in the Trust
|
Occupation(s)
|
Trustee During
|
Address, and
|
Held with
|
Length of
|
Overseen by
|
During the Past
|
the Past
|
Year of Birth
|
the Trust
|
Time Served
|
the Trustee
|
Five Years
|
Five Years
|
Officers
|
|||||
Kelly A. Strauss
|
Assistant
|
Indefinite
|
N/A
|
Assistant Vice
|
N/A
|
615 E. Michigan St.
|
Treasurer
|
Term; Since
|
President, U.S.
|
||
Milwaukee, WI 53202
|
April 23,
|
Bancorp Fund
|
|||
Year of Birth: 1987
|
2015
|
Services, LLC
|
|||
(2011-present).
|
|||||
Shannon Coyle
|
Assistant
|
Indefinite
|
N/A
|
Officer, U.S.
|
N/A
|
615 E. Michigan St.
|
Treasurer
|
Term; Since
|
Bancorp Fund
|
||
Milwaukee, WI 53202
|
August 26,
|
Services, LLC
|
|||
Year of Birth: 1990
|
2022
|
(2015-present).
|
|||
Laura A. Carroll
|
Assistant
|
Indefinite
|
N/A
|
Assistant Vice
|
N/A
|
615 E. Michigan St.
|
Treasurer
|
Term; Since
|
President, U.S.
|
||
Milwaukee, WI 53202
|
August 20,
|
Bancorp Fund
|
|||
Year of Birth: 1985
|
2018
|
Services, LLC
|
|||
(2007-present).
|
Investment Adviser
|
CrossingBridge Advisors, LLC
|
427 Bedford Road, Suite 220
|
|
Pleasantville, New York 10570
|
|
Legal Counsel
|
Godfrey & Kahn, S.C.
|
833 East Michigan Street, Suite 1800
|
|
Milwaukee, Wisconsin 53202
|
|
Independent Registered Public
|
Cohen & Company, Ltd.
|
Accounting Firm
|
342 North Water Street, Suite 830
|
Milwaukee, Wisconsin 53202
|
|
Transfer Agent, Fund Accountant and
|
U.S. Bancorp Fund Services, LLC
|
Fund Administrator
|
615 East Michigan Street
|
Milwaukee, Wisconsin 53202
|
|
Custodian
|
U.S. Bank, N.A.
|
Custody Operations
|
|
1555 North River Center Drive
|
|
Milwaukee, Wisconsin 53212
|
|
Distributors
|
Quasar Distributors, LLC
|
111 East Kilbourn Avenue, Suite 1250
|
|
Milwaukee, Wisconsin 53202
|
|
Foreside Fund Services, LLC
|
|
Three Canal Plaza, Suite 100
|
|
Portland, Maine 04101
|
FYE 9/30/2023
|
FYE 9/30/2022
|
|
(a) Audit Fees
|
$121,000
|
$75,500
|
(b) Audit-Related Fees
|
0
|
0
|
(c) Tax Fees
|
17,500
|
14,000
|
(d) All Other Fees
|
0
|
0
|
FYE 9/30/2023
|
FYE 9/30/2022
|
|
Audit-Related Fees
|
0%
|
0%
|
Tax Fees
|
0%
|
0%
|
All Other Fees
|
0%
|
0%
|
Non-Audit Related Fees
|
FYE 9/30/2023
|
FYE 9/30/2022
|
Registrant
|
$0
|
$0
|
Registrant’s Investment Adviser
|
$0
|
$0
|
(a)
|
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
|
(b)
|
Not applicable.
|
(a)
|
The Registrant’s President and Treasurer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of
this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are
effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider.
|
(b)
|
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the last fiscal half-year of the period covered by this report that has materially
affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting.
|
1.
|
I have reviewed this report on Form N-CSR of Trust for Professional Managers;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if
the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and
the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the
filing date of this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the last fiscal half-year of the period covered by this report that has materially affected, or is reasonably likely
to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and
report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: December 4, 2023
|
/s/John Buckel
John Buckel
President |
1.
|
I have reviewed this report on Form N-CSR of Trust for Professional Managers;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if
the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and
the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the
filing date of this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the last fiscal half-year of the period covered by this report that has materially affected, or is reasonably likely
to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and
report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: December 4, 2023
|
/s/Jennifer Lima
Jennifer Lima
Treasurer |
/s/John Buckel
John Buckel
President, Trust for Professional Managers
|
/s/Jennifer Lima
Jennifer Lima
Treasurer, Trust for Professional Managers
|
Dated: December 4, 2023
|
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