|
CrossingBridge Low Duration High Yield Fund
|
||||||
|
Schedule of Investments
|
||||||
|
December 31, 2022 (Unaudited)
|
||||||
|
Face Amount†/
|
||||||
|
Number of Shares
|
Value
|
|||||
|
Asset Backed Securities - 2.56%
|
||||||
|
Finance and Insurance - 0.43%
|
||||||
|
HTS Fund I LLC
|
||||||
|
2021-1, 1.410%, 08/25/2036 (a)
|
1,000,000
|
985,049
|
||||
|
MMAF Equipment Finance LLC
|
||||||
|
2022-B, 5.570%, 09/09/2025 (a)
|
941,000
|
942,370
|
||||
|
1,927,419
|
||||||
|
Transportation and Warehousing - 2.13%
|
||||||
|
Hawaiian Airlines 2013-1 Class A Pass Through Certificates
|
||||||
|
2013-1, 3.900%, 01/15/2026
|
11,089,710
|
9,600,395
|
||||
|
Total Asset Backed Securities (Cost $11,938,800)
|
11,527,814
|
|||||
|
Bank Loans - 10.96%
|
||||||
|
Accommodation and Food Services - 0.57%
|
||||||
|
Fogo De Chao, Inc.
|
||||||
|
8.321% (1 Month LIBOR + 4.250%), 04/05/2025 (b)
|
2,708,426
|
2,567,506
|
||||
|
Administrative and Support and Waste Management and Remediation Services - 1.05%
|
||||||
|
Monitronics International, Inc.
|
||||||
|
11.915% (Base Rate + 7.500%), 03/29/2024 (b)
|
6,981,327
|
4,698,433
|
||||
|
Construction - 0.25%
|
||||||
|
Lealand Finance (McDermott)
|
||||||
|
7.071% (1 Month Base Rate + 3.000%), 06/30/2024 (b)
|
1,750,984
|
1,138,139
|
||||
|
Finance and Insurance - 0.53%
|
||||||
|
MoneyGram International, Inc.
|
||||||
|
8.571% (1 Month LIBOR + 4.500%), 07/21/2026 (b)
|
2,389,188
|
2,388,065
|
||||
|
Health Care and Social Assistance - 0.86%
|
||||||
|
WP CityMD
|
||||||
|
6.924% (3 Month LIBOR + 3.250%), 12/23/2028 (b)
|
3,868,256
|
3,865,084
|
||||
|
Information - 2.50%
|
||||||
|
Cengage Learning, Inc.
|
||||||
|
7.814% (Base Rate + 4.750%), 07/14/2026 (b)
|
4,039,510
|
3,642,507
|
||||
|
Univision Communications, Inc.
|
||||||
|
6.821% (1 Month LIBOR + 2.750%), 03/15/2024 (b)
|
7,619,000
|
7,620,600
|
||||
|
11,263,107
|
||||||
|
Manufacturing - 3.43%
|
||||||
|
Diebold Nixdorf, Inc.
|
||||||
|
6.625% (1 Month LIBOR + 2.750%), 07/15/2025 (b)
|
8,057,909
|
5,704,758
|
||||
|
First Brands Group LLC
|
||||||
|
8.368% (6 Month SOFR + 5.000%), 03/24/2027 (b)
|
1,843,603
|
1,754,188
|
||||
|
9.124% (6 Month LIBOR + 8.500%), 03/30/2027 (b)
|
3,418,000
|
3,238,555
|
||||
|
11.871% (6 Month LIBOR + 8.500%), 03/24/2028 (b)
|
2,048,000
|
1,856,860
|
||||
|
K&N Parent, Inc.
|
||||||
|
10.504% (3 Month LIBOR + 4.750%), 10/20/2023 (b)
|
4,366,418
|
2,183,209
|
||||
|
K&N Parent, Inc. Superpriority
|
||||||
|
11.984% (3 Month SOFR + 8.000%), 01/07/2023 (b)
|
704,218
|
676,049
|
||||
|
15,413,619
|
||||||
|
Mining, Quarrying, and Oil and Gas Extraction - 0.98%
|
||||||
|
Quarternorth Energy Holding, Inc.
|
||||||
|
12.071% (1 Month LIBOR + 8.000%), 08/27/2026 (b)
|
4,419,985
|
4,409,864
|
||||
|
Professional, Scientific, and Technical Services - 0.79%
|
||||||
|
Getty Images, Inc.
|
||||||
|
8.625% (3 Month LIBOR + 4.500%), 02/19/2026 (b)
|
3,573,281
|
3,571,048
|
||||
|
Total Bank Loans (Cost $53,759,264)
|
49,314,865
|
|||||
|
Commercial Paper - 7.39%
|
||||||
|
Information - 1.59%
|
||||||
|
Oracle Corp.
|
||||||
|
4.771%, 01/12/2023 (c)
|
7,183,000
|
7,171,182
|
||||
|
Manufacturing - 3.09%
|
||||||
|
Dover Corp.
|
||||||
|
4.601%, 01/10/2023 (c)
|
7,183,000
|
7,172,926
|
||||
|
Jabil, Inc.
|
||||||
|
5.337%, 01/13/2023 (c)
|
6,746,000
|
6,732,631
|
||||
|
13,905,557
|
||||||
|
Retail Trade - 2.71%
|
||||||
|
Walgreens Boots Alliance, Inc.
|
||||||
|
4.989%, 02/13/2023 (c)
|
12,276,000
|
12,201,654
|
||||
|
Total Commercial Paper (Cost $33,284,015)
|
33,278,393
|
|||||
|
Common Stocks - 0.02%
|
||||||
|
Manufacturing - 0.02%
|
||||||
|
ProSomnus, Inc.
|
19,856
|
82,800
|
||||
|
Total Common Stocks (Cost $0)
|
82,800
|
|||||
|
Convertible Bonds - 2.53%
|
||||||
|
Information - 2.53%
|
||||||
|
BuzzFeed, Inc.
|
||||||
|
8.500%, 12/03/2026 (a)
|
4,900,000
|
3,258,500
|
||||
|
Leafly Holdings, Inc.
|
||||||
|
8.000%, 01/31/2025 (d)(e)
|
7,245,000
|
6,737,850
|
||||
|
UpHealth, Inc.
|
||||||
|
6.250%, 06/15/2026 (a)
|
4,636,000
|
1,364,723
|
||||
|
Total Convertible Bonds (Cost $16,666,557)
|
11,361,073
|
|||||
|
Corporate Bonds - 59.47%
|
||||||
|
Accommodation and Food Services - 0.29%
|
||||||
|
Nathan's Famous, Inc.
|
||||||
|
6.625%, 11/01/2025 (a)
|
1,321,000
|
1,293,913
|
||||
|
Agriculture, Forestry, Fishing and Hunting - 0.35%
|
||||||
|
Cooks Venture, Inc.
|
||||||
|
2022-2, 5.500%, 01/15/2025 (a)
|
1,595,000
|
1,566,609
|
||||
|
Construction - 0.78%
|
||||||
|
Five Point Operating Co LP / Five Point Capital Corp.
|
||||||
|
7.875%, 11/15/2025 (a)
|
1,560,000
|
1,313,834
|
||||
|
Schletter International BV
|
||||||
|
7.462% (3 Month EURIBOR + 6.750%), 09/12/2025 (b)(f)(g)
|
1,990,000
|
2,180,167
|
||||
|
3,494,001
|
||||||
|
Educational Services - 0.33%
|
||||||
|
Hercules Achievement Inc / Varsity Brands Holding Co, Inc.
|
||||||
|
11.674% (3 Month LIBOR + 8.000%), 12/22/2024 (a)(b)
|
1,533,000
|
1,469,597
|
||||
|
Finance and Insurance - 4.29%
|
||||||
|
HMH Holding BV
|
||||||
|
9.912%, 02/10/2025 (f)
|
4,001,000
|
4,061,015
|
||||
|
Icahn Enterprises LP / Icahn Enterprises Finance Corp.
|
||||||
|
4.750%, 09/15/2024
|
621,000
|
596,714
|
||||
|
Nordic Capital II
|
||||||
|
7.910%, 06/30/2024 (f)(h)
|
10,200,000
|
1,049,276
|
||||
|
StoneX Group, Inc.
|
||||||
|
8.625%, 06/15/2025 (a)
|
13,460,000
|
13,618,155
|
||||
|
19,325,160
|
||||||
|
Health Care and Social Assistance - 0.52%
|
||||||
|
ADDvise Group AB
|
||||||
|
9.566% (3 Month STIBOR + 7.250%), 05/21/2024 (b)(f)(i)
|
24,380,000
|
2,353,924
|
||||
|
Information - 16.95%
|
||||||
|
American Greetings Corp.
|
||||||
|
8.750%, 04/15/2025 (a)
|
2,712,000
|
2,609,649
|
||||
|
Azerion Holding BV
|
||||||
|
7.250%, 04/28/2024 (f)(g)
|
3,199,000
|
3,338,817
|
||||
|
CCO Holdings LLC / CCO Holdings Capital Corp.
|
||||||
|
4.000%, 03/01/2023 (a)
|
5,405,000
|
5,384,741
|
||||
|
Cengage Learning, Inc.
|
||||||
|
9.500%, 06/15/2024 (a)
|
7,508,000
|
7,171,904
|
||||
|
Clear Channel International BV
|
||||||
|
6.625%, 08/01/2025 (a)(f)
|
10,961,000
|
10,476,350
|
||||
|
Connect Finco SARL / Connect US Finco LLC
|
||||||
|
6.750%, 10/01/2026 (a)(f)
|
7,949,000
|
7,383,186
|
||||
|
Go North Group AB
|
||||||
|
13.763% (3 Month STIBOR + 12.000%), 07/15/2025 (b)(f)(i)
|
51,250,000
|
4,911,427
|
||||
|
Impala BondCo Plc
|
||||||
|
10.757% (3 Month STIBOR + 9.000%), 10/20/2024 (b)(f)(i)
|
11,250,000
|
1,006,148
|
||||
|
INNOVATE Corp.
|
||||||
|
8.500%, 02/01/2026 (a)
|
7,309,000
|
5,258,032
|
||||
|
Linkem S.p.A.
|
||||||
|
7.693% (3 Month EURIBOR + 6.500%), 02/09/2023 (a)(b)(f)(g)
|
10,533,000
|
11,246,821
|
||||
|
N0r5ke Viking I AS
|
||||||
|
10.220% (3 Month NIBOR + 8.000%), 05/03/2024 (b)(f)(h)
|
11,900,000
|
1,213,146
|
||||
|
Sprint LLC
|
||||||
|
7.875%, 09/15/2023
|
5,259,000
|
5,344,748
|
||||
|
TEGNA, Inc.
|
||||||
|
4.750%, 03/15/2026 (a)
|
9,483,000
|
9,211,554
|
||||
|
Tigo Energy, Inc.
|
||||||
|
5.500%, 01/15/2025 (a)
|
1,758,333
|
1,733,746
|
||||
|
76,290,269
|
||||||
|
Manufacturing - 14.26%
|
||||||
|
Blast Motion, Inc. (a)
|
||||||
|
5.500%, 02/15/2025
|
2,000,000
|
1,932,000
|
||||
|
Chobani LLC / Chobani Finance Corp, Inc.
|
||||||
|
7.500%, 04/15/2025 (a)
|
6,547,000
|
6,385,485
|
||||
|
Columbia Care, Inc.
|
||||||
|
9.500%, 02/03/2026 (f)
|
17,087,000
|
16,777,298
|
||||
|
Fiven ASA
|
||||||
|
8.913% (3 Month EURIBOR + 6.850%), 06/21/2024 (b)(f)(g)
|
10,292,000
|
10,851,775
|
||||
|
FXI Holdings, Inc.
|
||||||
|
12.250%, 11/15/2026 (a)
|
5,213,000
|
4,339,093
|
||||
|
Georg Jensen A/S
|
||||||
|
7.762% (3 Month EURIBOR + 6.000%), 05/15/2023 (b)(f)(g)
|
100,000
|
106,242
|
||||
|
Hillenbrand, Inc.
|
||||||
|
5.750%, 06/15/2025
|
3,542,000
|
3,530,878
|
||||
|
InfraBuild Australia Pty Ltd.
|
||||||
|
12.000%, 10/01/2024 (a)(f)
|
9,350,000
|
9,083,618
|
||||
|
Jaguar Land Rover Automotive Plc
|
||||||
|
5.625%, 02/01/2023 (a)(f)
|
1,106,000
|
1,099,111
|
||||
|
LR Global Holding GmbH
|
||||||
|
9.204% (3 Month EURIBOR + 7.250%), 02/03/2025 (b)(f)(g)
|
3,959,000
|
3,559,833
|
||||
|
ProSomnus, Inc.
|
||||||
|
9.000%, 11/30/2027 (d)(e)
|
7,387,240
|
6,533,600
|
||||
|
64,198,933
|
||||||
|
Mining, Quarrying, and Oil and Gas Extraction - 7.04%
|
||||||
|
Copper Mountain Mining Corp.
|
||||||
|
8.000%, 04/09/2026 (f)
|
12,643,961
|
11,822,104
|
||||
|
Greenfire Resources, Inc.
|
||||||
|
12.000%, 08/15/2025 (a)(f)
|
2,810,000
|
3,007,501
|
||||
|
Tacora Resources, Inc.
|
||||||
|
8.250%, 05/15/2026 (a)(f)
|
8,424,000
|
6,113,760
|
||||
|
Transocean Phoenix 2 Ltd.
|
||||||
|
7.750%, 10/15/2024 (a)(f)
|
7,000,400
|
6,963,928
|
||||
|
W&T Offshore, Inc.
|
||||||
|
9.750%, 11/01/2023 (a)
|
3,817,000
|
3,762,951
|
||||
|
31,670,244
|
||||||
|
Professional, Scientific, and Technical Services - 2.53%
|
||||||
|
Aker Horizons ASA
|
||||||
|
6.610% (3 Month NIBOR + 3.250%), 08/15/2025 (b)(f)(h)
|
5,000,000
|
481,678
|
||||
|
Desenio Group AB
|
||||||
|
8.034% (3 Month STIBOR + 5.500%), 12/16/2024 (b)(f)(i)
|
1,250,000
|
62,890
|
||||
|
Getty Images, Inc.
|
||||||
|
9.750%, 03/01/2027 (a)
|
7,949,000
|
7,858,731
|
||||
|
Rebellion Operations AB
|
||||||
|
10.316% (3 Month STIBOR + 8.000%), 05/20/2025 (b)(f)(i)
|
32,500,000
|
2,970,093
|
||||
|
11,373,392
|
||||||
|
Real Estate and Rental and Leasing - 0.33%
|
||||||
|
REX - Real Estate Exchange, Inc.
|
||||||
|
6.000%, 03/15/2025 (a)
|
1,500,000
|
1,477,200
|
||||
|
Retail Trade - 2.89%
|
||||||
|
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
|
||||||
|
3.500%, 02/15/2023 (a)
|
8,650,000
|
8,608,840
|
||||
|
Anagram International Inc / Anagram Holdings LLC
|
||||||
|
15.000%, 08/15/2025 (a)
|
4,616,344
|
4,417,818
|
||||
|
13,026,658
|
||||||
|
Transportation and Warehousing - 2.57%
|
||||||
|
Golar LNG Ltd.
|
||||||
|
7.000%, 10/20/2025 (f)
|
5,503,000
|
5,475,485
|
||||
|
Seaspan Corp.
|
||||||
|
6.500%, 02/05/2024 (f)
|
6,100,000
|
6,100,000
|
||||
|
11,575,485
|
||||||
|
Utilities - 3.77%
|
||||||
|
Talen Energy Supply LLC
|
||||||
|
7.250%, 05/15/2027 (a)
|
7,750,000
|
8,057,016
|
||||
|
6.625%, 01/15/2028 (a)
|
915,000
|
937,006
|
||||
|
7.625%, 06/01/2028 (a)
|
7,642,000
|
7,981,266
|
||||
|
16,975,288
|
||||||
|
Wholesale Trade - 2.57%
|
||||||
|
Martin Midstream Partners LP / Martin Midstream Finance Corp.
|
||||||
|
10.000%, 02/29/2024 (a)
|
10,755,311
|
10,804,516
|
||||
|
11.500%, 02/28/2025 (a)
|
765,000
|
766,316
|
||||
|
11,570,832
|
||||||
|
Total Corporate Bonds (Cost $277,284,212)
|
267,661,505
|
|||||
|
Special Purpose Acquisition Companies - 8.74%
|
||||||
|
Agile Growth Corp. (f)(l)
|
128,420
|
1,295,758
|
||||
|
Alpha Partners Technology Merger Corp. Founder Shares (d)(e)(l)
|
9,341
|
896
|
||||
|
Authentic Equity Acquisition Corp. (f)(l)
|
12,435
|
125,780
|
||||
|
AxonPrime Infrastructure Acquisition Corp. Founder Shares (d)(e)(l)
|
5,000
|
218
|
||||
|
Berenson Acquisition Corp. Founder Shares (d)(e)(l)
|
19,099
|
697
|
||||
|
Bullpen Parlay Acquisition Co. (f)(l)
|
44,011
|
450,673
|
||||
|
Crescera Capital Acquisition Corp. (f)(l)
|
33,736
|
344,782
|
||||
|
Elliott Opportunity II Corp. (f)(l)
|
81,770
|
824,242
|
||||
|
Enterprise 4.0 Technology Acquisition Corp. (f)(l)
|
19,880
|
204,565
|
||||
|
Fat Projects Acquisition Corp. (f)(l)
|
28,536
|
289,355
|
||||
|
Financials Acquisition Corp. (f)(j)(l)
|
190,901
|
2,313,679
|
||||
|
FutureTech II Acquisition Corp. (l)
|
20,556
|
212,343
|
||||
|
Global Partner Acquisition Corp. II (f)(l)
|
139,288
|
1,408,202
|
||||
|
Goal Acquisitions Corp. (l)
|
377,573
|
3,798,384
|
||||
|
GP Bullhound Acquisition I SE (f)(k)(l)
|
108,609
|
1,156,788
|
||||
|
Hambro Perks Acquisition Co. Ltd. (f)(j)(l)
|
217,802
|
2,659,462
|
||||
|
Hiro Metaverse Acquisitions I SA (f)(j)(l)
|
135,163
|
1,638,146
|
||||
|
Ibere Pharmaceuticals (f)(l)
|
126,627
|
1,277,666
|
||||
|
Iconic Sports Acquisition Corp. (f)(l)
|
345,215
|
3,574,701
|
||||
|
Innovative International Acquisition Corp. (f)(l)
|
204,013
|
2,101,334
|
||||
|
Itiquira Acquisition Corp. (f)(l)
|
12,435
|
125,469
|
||||
|
Mason Industrial Technology, Inc. (l)
|
206,515
|
2,064,117
|
||||
|
Mercury Ecommerce Acquisition Corp. (l)
|
350,000
|
3,559,500
|
||||
|
Peridot Acquisition Corp. II (f)(l)
|
102,230
|
1,033,034
|
||||
|
Pivotal Investment Corp. III (l)
|
186,823
|
1,890,836
|
||||
|
Pontem Corp. (f)(l)
|
165,045
|
1,668,605
|
||||
|
Portage Fintech Acquisition Corp. (f)(l)
|
55,240
|
554,057
|
||||
|
PowerUp Acquisition Corp. (f)(l)
|
25,212
|
260,062
|
||||
|
Pyrophyte Acquisition Corp. (f)(l)
|
22,753
|
235,039
|
||||
|
Revelstone Capital Acquisition Corp. Founder Shares (d)(e)(l)
|
10,125
|
2,046
|
||||
|
ST Energy Transition I Ltd. (f)(l)
|
12,659
|
129,375
|
||||
|
Tech and Energy Transition Corp. (l)
|
13,307
|
133,469
|
||||
|
Tio Tech A (f)(l)
|
396,937
|
4,009,064
|
||||
|
Total Special Purpose Acquisition Companies (Cost $38,977,045)
|
39,342,344
|
|||||
|
Warrants - 0.02%
|
||||||
|
Brigade-M3 European Acquisition Corp. (f)(l)
|
||||||
|
Expiration: 01/17/2027, Exercise Price: $11.50
|
110,310
|
38,608
|
||||
|
Financials Acquisition Corp. (f)(j)(l)
|
||||||
|
Expiration: 04/04/2027, Exercise Price: $11.50
|
95,450
|
4,616
|
||||
|
GP Bullhound Acquisition I SE (f)(k)(l)
|
||||||
|
Expiration: 03/11/2027, Exercise Price: $11.50
|
54,304
|
17,439
|
||||
|
Hambro Perks Acquisition Corp. (f)(j)(l)
|
||||||
|
Expiration: 01/07/2026, Exercise Price: $11.50
|
108,901
|
10,533
|
||||
|
Hiro Metaverse Acquisitions I SA (f)(j)(l)
|
||||||
|
Expiration: 12/21/2026, Exercise Price: $11.50
|
67,581
|
12,664
|
||||
|
Leafly Holdings, Inc. (l)
|
||||||
|
Expiration: 11/07/2026, Exercise Price: $11.50
|
36,943
|
1,481
|
||||
|
ProSomnus, Inc. (d)(e)(l)
|
||||||
|
Expiration: 04/20/2028, Exercise Price: $11.50
|
73,872
|
5,806
|
||||
|
Total Warrants (Cost $87,839)
|
91,147
|
|||||
|
Money Market Funds - 6.69%
|
||||||
|
First American Government Obligations Fund - Class X, 4.105% (m)
|
6,801,815
|
6,801,815
|
||||
|
First American Treasury Obligations Fund - Class X, 4.197% (m)
|
23,321,434
|
23,321,434
|
||||
|
Total Money Market Funds (Cost $30,123,249)
|
30,123,249
|
|||||
|
Total Investments (Cost $462,120,981) - 98.38%
|
442,783,190
|
|||||
|
Other Assets in Excess of Liabilities - 1.62%
|
7,303,173
|
|||||
|
Total Net Assets - 100.00%
|
$ |
450,086,363
|
||||
|
Percentages are stated as a percent of net assets.
|
||||||||||||||||||
|
|
||||||||||||||||||
|
† 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 $179,884,889 or 39.97% of Fund’s net assets.
|
||||||||||||||||||
|
(b) Variable rate security. The rate shown represents the rate at December 31, 2022.
|
||||||||||||||||||
|
(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) Holding denominated in Euros.
|
||||||||||||||||||
|
(l) Non-income producing security.
|
||||||||||||||||||
|
(m) Seven day yield as of December 31, 2022.
|
||||||||||||||||||
|
Definitions:
|
||||||||||||||||||
|
EURIBOR – Euro-Interbank Offer Rate is a reference rate expressing the average interest rate at which eurozone banks offer unsecured short-term lending
|
||||||||||||||||||
|
on the interbank market.
|
||||||||||||||||||
|
LIBOR – London Interbank Offer Rate is a benchmark rate at which banks offer to lend funds to one another in the international interbank market
|
||||||||||||||||||
|
for short-term loans.
|
||||||||||||||||||
|
NIBOR – Norwegian Interbank Offer Rate is a collective term for Norwegian money market rates at different maturities. It is intended to reflect the interest
|
||||||||||||||||||
|
rate level a bank require for unsecured money market lending in Norwegian Krone to another bank.
|
||||||||||||||||||
|
SOFR – Secured Overnight Financing Rate is a benchmark interest rate for dollar-denominated derivatives and loans. SOFR is based on transactions in
|
||||||||||||||||||
|
the Treasury repurchase market and is based on data from observable transactions rather than on estimated borrowing rates.
|
||||||||||||||||||
|
STIBOR – Stockholm Interbank Offer Rate is a reference rate that shows the average interest rate at which a number of active banks on the Swedish
|
||||||||||||||||||
|
money market are willing to lend to one another, without collateral, at different maturities.
|
||||||||||||||||||
|
CrossingBridge Low Duration High Yield Fund
|
|||||||||||||||
|
Schedule of Forward Currency Exchange Contracts
|
|||||||||||||||
|
December 31, 2022 (Unaudited)
|
|||||||||||||||
|
Settlement
Date
|
Counterparty
|
Currency to be
Delivered
|
USD Value at
December 31, 2022
|
Currency to be
Received
|
USD Value at
December 31, 2022
|
Unrealized
Appreciation / (Depreciation)
|
|||||||||
|
1/13/2023
|
U.S. Bank
|
30,280,000 EUR
|
$
|
32,445,973
|
32,017,466 USD
|
$
|
32,017,466
|
$
|
(428,507
|
)
|
|||||
|
1/13/2023
|
U.S. Bank
|
5,475,000 GBP
|
6,621,599
|
6,743,284 USD
|
6,743,284
|
121,685
|
|||||||||
|
1/13/2023
|
U.S. Bank
|
26,840,000 NOK
|
2,741,326
|
2,697,542 USD
|
2,697,542
|
(43,784
|
)
|
||||||||
|
1/13/2023
|
U.S. Bank
|
119,358,100 SEK
|
11,448,220
|
11,610,748 USD
|
11,610,748
|
162,528
|
|||||||||
|
$
|
53,257,118
|
$
|
53,069,040
|
$
|
(188,078
|
)
|
|||||||||
|
EUR - Euro
|
|||||||||||||||
|
GBP - British Pound
|
|||||||||||||||
|
NOK - Norwegian Krone
|
|||||||||||||||
|
SEK - Swedish Krona
|
|||||||||||||||
|
USD - U.S. Dollars
|
|||||||||||||||
|
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 (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 CrossingBridge Low Duration High Yield Fund commenced investment operations on
|
||||
|
February 1, 2018. The Fund has registered both an Investor Class and Institutional Class of shares. During the fiscal quarter ended December 31, 2022, only the
|
||||
|
Institutional Class was 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 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 CrossingBridge Advisors, LLC (“the Adviser”), the Funds’
|
||||
|
investment 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.”
|
||||
|
Significant Accounting Policies
|
||||
|
The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of the financial statements. These policies are in
|
||||
|
conformity with generally accepted accounting principles in the United States of America (“GAAP”).
|
||||
|
Investment Valuation
|
||||
|
Each security owned by the 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, the 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 the NASDAQ Stock Market, LLC (“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 the 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.
|
||||
|
Forward currency contracts are valued at the mean between the bid and asked prices by an approved Pricing Service.
|
||||
|
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 constant yield method over the life of the security.
|
||||
|
Money market funds are valued at cost. If cost does not represent current market value the securities will be priced at fair value.
|
||||
|
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 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.
|
||||
|
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 the Fund is accurately priced. The Board of Trustees will regularly evaluate whether the Fund’s
|
||||
|
fair value pricing procedures continue to be appropriate in light of the specific circumstances of the Fund and the quality of prices obtained through the application of such
|
||||
|
procedures by the Adviser.
|
||||
|
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 – 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 Fund’s own assumptions in determining the fair value of investments).
|
||||
|
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
|
||||
|
The following is a summary of the inputs used to value the Funds investments carried at fair value as of December 31, 2022:
|
||||
|
CrossingBridge Low Duration High Yield Fund
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
Assets(1):
|
||||||||||||||||
|
Asset Backed Securities
|
$
|
-
|
$
|
11,527,814
|
$
|
-
|
$
|
11,527,814
|
||||||||
|
Bank Loans
|
-
|
49,314,865
|
-
|
49,314,865
|
||||||||||||
|
Commercial Paper
|
-
|
33,278,393
|
-
|
33,278,393
|
||||||||||||
|
Common Stocks
|
82,800
|
-
|
-
|
82,800
|
||||||||||||
|
Convertible Bonds
|
-
|
4,623,223
|
6,737,850
|
11,361,073
|
||||||||||||
|
Corporate Bonds
|
-
|
261,127,905
|
6,533,600
|
267,661,505
|
||||||||||||
|
Special Purpose Acquisition Companies
|
30,785,410
|
8,553,077
|
3,857
|
39,342,344
|
||||||||||||
|
Warrants
|
91,147
|
-
|
-
|
91,147
|
||||||||||||
|
Money Market Fund
|
30,123,249
|
-
|
-
|
30,123,249
|
||||||||||||
|
Total Assets
|
$
|
61,082,606
|
$
|
368,425,277
|
$
|
13,275,307
|
$
|
442,783,190
|
||||||||
|
Other Financial Instruments(2):
|
||||||||||||||||
|
Forward Currency Exchange Contracts
|
$
|
-
|
$
|
(188,078
|
)
|
$
|
-
|
$
|
(188,078
|
)
|
||||||
|
Total Other Financial Instruments
|
$
|
-
|
$
|
(188,078
|
)
|
$
|
-
|
$
|
(188,078
|
)
|
||||||
|
(1) See the Fund's Schedule of Investments for industry classifications.
|
||||||||||||||||
|
(2) Other financial instruments are forward currency exchange contracts not included in the Schedule of Investments, which are
reflected at the net unrealized
|
||||||||||||||||
|
appreciation (depreciation) on 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 Bonds
|
Corporate Bonds
|
Special Purpose Acquisition Companies
|
||||||||||
|
Beginning Balance - October 1, 2022
|
$
|
10,461,850
|
$
|
-
|
$
|
3,605
|
||||||
|
Purchases
|
-
|
6,533,600
|
-
|
|||||||||
|
Sales
|
-
|
-
|
-
|
|||||||||
|
Realized gains
|
-
|
-
|
-
|
|||||||||
|
Realized losses
|
-
|
-
|
-
|
|||||||||
|
Change in unrealized appreciation (depreciation)
|
-
|
-
|
252
|
|||||||||
|
Transfer in/(out) of Level 3
|
(3,724,000
|
)
|
-
|
-
|
||||||||
|
Ending Balance - December 31, 2022
|
$
|
6,737,850
|
$
|
6,533,600
|
$
|
3,857
|
||||||
|
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 December 31, 2022:
|
||||||||||||
|
CrossingBridge Low Duration High Yield Fund
|
|||||
|
Description
|
Fair Value
December 31, 2022
|
Valuation Methodologies
|
Unobservable Input
|
Range/Weighted
Average Unobservable
Input
|
|
|
Convertible Bonds*
|
$ |
6,737,850
|
Company-specific information
|
Market discount
|
$93.00
|
|
Corporate Bonds**
|
6,533,600
|
Company-specific information
|
Market assessment
|
$88.44
|
|
|
Special Purpose Acquisition Companies***
|
3,857
|
Company-specific information
|
Market assessment
|
$0- $1
|
|
|
* Table presents information for one security, which has been valued at $93.00 throughout the period.
|
||
|
** Table presents information for one security, which has been valued at $88.44 throughout the period.
|
||
|
*** Table presents information for four securities, which have been valued between $0.01 and $0.42 throughout the period.
|
||