N-CSRS 1 fp0082264-1_ncsrs.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number 811-21719

 

INVESTMENT MANAGERS SERIES TRUST
(Exact name of registrant as specified in charter)

 

235 W. Galena Street

Milwaukee, WI 53212
(Address of principal executive offices) (Zip code)

 

Diane J. Drake

Mutual Fund Administration, LLC

2220 E. Route 66, Suite 226

Glendora, CA 91740
(Name and address of agent for service)

 

(626) 385-5777

Registrant's telephone number, including area code

 

Date of fiscal year end: June 30

 

Date of reporting period: December 31, 2022

  

 

Item 1. Report to Stockholders.

 

The registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:

 

 

 

Palmer Square Income Plus Fund

(Ticker: PSYPX)

 

Palmer Square Ultra-Short Duration Investment Grade Fund

(Ticker: PSDSX)

 

SEMI-ANNUAL REPORT

DECEMBER 31, 2022 

 

 

Palmer Square Funds

Each a series of Investment Managers Series Trust

 

Table of Contents

 

Income Plus Fund  
Schedule of Investments 1
Statement of Assets and Liabilities 31
Statement of Operations 32
Statements of Changes in Net Assets 33
Financial Highlights 34
Ultra-Short Duration Investment Grade Fund  
Schedule of Investments 35
Statement of Assets and Liabilities 47
Statement of Operations 48
Statements of Changes in Net Assets 49
Financial Highlights 50
Notes to Financial Statements 51
Supplemental Information 68
Expense Examples 73

 

This report and the financial statements contained herein are provided for the general information of the shareholders of the Palmer Square Funds. This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus.

 

www.palmersquarefunds.com 

 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BANK LOANS — 6.6%    
    Allspring Buyer LLC    
 2,497,207   6.688% (3-Month USD Libor+300 basis points), 11/1/20282,3,4  $2,467,865 
     American Builders & Contractors Supply Co., Inc.     
 2,226,982   6.071% (1-Month USD Libor+200 basis points), 1/15/20272,3,4   2,212,273 
     AmWINS Group, Inc.     
 2,682,023   6.321% (1-Month USD Libor+225 basis points), 2/19/20282,3,4   2,637,810 
     Asurion LLC     
 992,208   7.071% (1-Month USD Libor+300 basis points), 11/3/20242,3,4   966,162 
     Belron Finance U.S. LLC     
 1,228,125   7.063% (1-Month USD Libor+275 basis points), 4/30/20282,3,4   1,219,491 
     Chemours Co.     
 1,247,566   3.200% (3-Month Euribor+200 basis points), 4/3/20252,3,4,5,6   1,297,044 
     Coherent Corp.     
 1,469,464   6.922% (3-Month USD Libor+275 basis points), 7/1/20292,3,4   1,457,709 
     Covanta Holding Corp.     
 188,389   3.000% (1-Month USD Libor+250 basis points), 11/30/20282,3,4   187,279 
 2,496,129   3.264% (1-Month USD Libor+250 basis points), 11/30/20282,3,4   2,481,427 
     Dedalus Finance GmbH     
 1,500,000   5.782% (3-Month Euribor+375 basis points), 5/31/20272,4   1,461,818 
     FinCo I LLC     
 1,870,158   6.571% (1-Month USD Libor+250 basis points), 6/27/20252,3,4   1,866,651 
     FleetCor Technologies Operating Co. LLC     
 2,465,000   5.821% (1-Month USD Libor+175 basis points), 4/30/20282,3,4   2,443,431 
     Gemini HDPE LLC     
 787,410   7.415% (1-Month USD Libor+300 basis points), 12/31/20272,3,4   778,556 
     GoDaddy, Inc.     
 1,484,237   7.336% (1-Month Term SOFR+325 basis points), 11/10/20292,3,4   1,483,717 
     GVC Holdings Gibraltar Ltd.     
 2,469,943   6.174% (1-Month USD Libor+250 basis points), 3/16/20272,3,4,7   2,455,667 
     Hostess Brands LLC     
 1,403,291   0.000% (1-Month USD Libor+225 basis points), 8/3/20252,3,4   1,401,173 
     INEOS U.S. Finance LLC     
 945,039   7.936% (1-Month Term SOFR+375 basis points), 11/8/20272,3,4   932,045 
     IQVIA, Inc.     
 1,000,000   3.193% (1-Month Euribor+200 basis points), 3/7/20242,4   1,071,548 
     Iridium Satellite LLC     
 1,393,376   6.571% (1-Month USD Libor+250 basis points), 11/4/20262,3,4   1,382,800 
     Jane Street Group LLC     
 1,683,916   6.821% (1-Month USD Libor+275 basis points), 1/26/20282,3,4   1,637,213 
     NAB Holdings LLC     
 2,277,000   6.703% (1-Month Term SOFR+300 basis points), 11/23/20282,3,4   2,221,783 
     NortonLifeLock, Inc.     
 2,500,000   6.186% (1-Month Term SOFR+200 basis points), 9/12/20292,3,4   2,463,025 

 1 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BANK LOANS (Continued)    
     Oregon Clean Energy LLC     
 832,988   7.936% (3-Month USD Libor+375 basis points), 3/1/20262,3,4  $816,458 
     Organon & Co.     
 1,117,000   7.750% (1-Month USD Libor+300 basis points), 6/2/20282,3,4   1,108,924 
     PCI Gaming Authority     
 2,461,760   6.571% (1-Month USD Libor+250 basis points), 5/31/20262,3,4   2,451,507 
     Pike Corp.     
 1,350,000   7.080% (1-Month USD Libor+300 basis points), 1/21/20282,3,4   1,333,651 
     Playtika Holding Corp.     
 1,228,125   6.821% (1-Month USD Libor+275 basis points), 3/11/20282,3,4   1,175,162 
     SBA Senior Finance II LLC     
 2,474,093   5.830% (1-Month USD Libor+175 basis points), 4/11/20252,3,4   2,468,947 
     Select Medical Corp.     
 2,215,128   6.580% (3-Month USD Libor+250 basis points), 3/6/20252,3,4   2,177,194 
     SkyMiles IP Ltd.     
 745,000   7.993% (3-Month USD Libor+375 basis points), 10/20/20272,3,4,7   760,787 
     SS&C Technologies, Inc.     
 1,041,540   6.436% (1-Month Term SOFR+225 basis points), 3/22/20292,3,4   1,024,943 
 1,569,362   6.436% (1-Month Term SOFR+225 basis points), 3/22/20292,3,4   1,544,354 
     Travelport Finance Luxembourg Sarl     
 13,259   11.000% (1-Month USD Libor+700 basis points), 2/28/20252,4,7   13,305 
 2,571   10.424% (3-Month USD Libor+675 basis points), 5/29/20262,4,7   1,767 
     Vistra Operations Co. LLC     
 1,895,823   0.000% (1-Month USD Libor+175 basis points), 12/31/20252,3,4   1,882,145 
     WEX, Inc.     
 2,689,438   6.321% (1-Month USD Libor+225 basis points), 4/1/20282,3,4   2,677,672 
     WMG Acquisition Corp.     
 2,496,399   6.196% (1-Month USD Libor+212.5 basis points), 1/20/20282,3,4   2,471,435 
     TOTAL BANK LOANS     
     (Cost $58,170,108)   58,434,738 
     BONDS — 90.7%     
     ASSET-BACKED SECURITIES — 50.9%     
     522 Funding CLO Ltd.     
     Series 2019-5A, Class AR, 5.194% (3-Month Term SOFR+133 basis points),     
 6,250,000   4/15/20353,4,8   6,063,348 
     Series 2019-5A, Class BR, 5.714% (3-Month Term SOFR+185 basis points),     
 5,500,000   4/15/20353,4,8   5,253,286 
     Series 2019-5A, Class ER, 10.624% (3-Month Term SOFR+676 basis points),     
 1,500,000   4/15/20353,4,8   1,272,865 
     AB BSL CLO Ltd.     
     Series 2020-1A, Class A1R, 5.234% (3-Month Term SOFR+137 basis points),     
 5,000,000   1/15/20353,4,8   4,837,609 

 2 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
    AIMCO CLO Ltd.    
    Series 2018-AA, Class C, 5.829% (3-Month USD Libor+175 basis points),    
 1,000,000   4/17/20313,4,8  $942,508 
     Series 2017-AA, Class AR, 5.293% (3-Month USD Libor+105 basis points),     
 1,750,000   4/20/20343,4,8   1,704,800 
     Series 2022-18A, Class D, 8.038% (3-Month Term SOFR+485 basis points),     
 2,500,000   7/20/20353,4,8   2,438,691 
     Allegany Park CLO Ltd.     
     Series 2019-1A, Class ER, 10.363% (3-Month Term SOFR+640 basis points),     
 1,000,000   1/20/20353,4,8   850,478 
     ALM Ltd.     
     Series 2020-1A, Class D, 10.079% (3-Month USD Libor+600 basis points),     
 1,000,000   10/15/20293,4,8   881,970 
     AMMC CLO Ltd.     
     Series 2013-13A, Class A1R2, 5.375% (3-Month USD Libor+105 basis     
 2,095,240   points), 7/24/20293,4,8   2,075,647 
     Anchorage Credit Funding 3 Ltd.     
 2,000,000   Series 2016-3A, Class BR, 3.471%, 1/28/20393,8   1,643,351 
     Annisa CLO     
     Series 2016-2A, Class DR, 7.243% (3-Month USD Libor+300 basis points),     
 1,500,000   7/20/20313,4,8   1,395,084 
     Ares CLO Ltd.     
     Series 2015-38A, Class DR, 6.743% (3-Month USD Libor+250 basis points),     
 1,000,000   4/20/20303,4,8   853,091 
     Series 2017-44A, Class DR, 10.949% (3-Month USD Libor+687 basis points),     
 750,000   4/15/20343,4,8   670,460 
     ASSURANT CLO Ltd.     
     Series 2018-2A, Class A, 5.283% (3-Month USD Libor+104 basis points),     
 2,000,000   4/20/20313,4,8   1,968,130 
     Series 2017-1A, Class ER, 11.443% (3-Month USD Libor+720 basis points),     
 1,750,000   10/20/20343,4,8   1,540,511 
     Atrium     
     Series 9A, Class DR, 8.336% (3-Month USD Libor+360 basis points),     
 769,600   5/28/20303,4,8   719,838 
     Babson CLO Ltd.     
     Series 2016-1A, Class DR, 7.375% (3-Month USD Libor+305 basis points),     
 1,250,000   7/23/20303,4,8   1,155,746 
     Bain Capital Credit CLO Ltd.     
     Series 2021-7A, Class D, 7.575% (3-Month USD Libor+325 basis points),     
 1,400,000   1/22/20353,4,8   1,257,517 
     Ballyrock CLO Ltd.     
     Series 2019-1A, Class DR, 10.829% (3-Month USD Libor+675 basis points),     
 1,250,000   7/15/20323,4,8   1,124,456 

 

 3 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
    Barings CLO Ltd.    
     Series 2013-IA, Class AR, 5.043% (3-Month USD Libor+80 basis points),     
 1,859,931   1/20/20283,4,8  $1,851,879 
     Series 2013-IA, Class CR, 5.743% (3-Month USD Libor+150 basis points),     
 825,000   1/20/20283,4,8   799,020 
     Series 2017-1A, Class E, 10.194% (3-Month USD Libor+600 basis points),     
 1,000,000   7/18/20293,4,8   874,060 
     Series 2018-2A, Class C, 6.779% (3-Month USD Libor+270 basis points),     
 1,000,000   4/15/20303,4,8   928,562 
     Series 2020-4A, Class D1, 7.943% (3-Month USD Libor+370 basis points),     
 1,000,000   1/20/20323,4,8   959,752 
     Series 2019-2A, Class DR, 10.859% (3-Month USD Libor+678 basis points),     
 1,200,000   4/15/20363,4,8   1,076,791 
     Series 2020-1A, Class ER, 10.729% (3-Month USD Libor+665 basis points),     
 1,000,000   10/15/20363,4,8   885,248 
     Barings Euro CLO DAC     
     Series 2015-1X, Class DRR, 5.193% (3-Month Euribor+365 basis points),     
 3,500,000   7/25/20353,4   3,196,850 
     Battalion CLO Ltd.     
     Series 2020-15A, Class A1, 5.429% (3-Month USD Libor+135 basis points),     
 500,000   1/17/20333,4,8   491,595 
     Series 2016-10A, Class CR2, 7.775% (3-Month USD Libor+345 basis points),     
 2,000,000   1/25/20353,4,8   1,770,478 
     Bear Stearns ARM Trust     
 60,768   Series 2004-3, Class 1A3, 3.844%, 7/25/20343,9   53,128 
     Benefit Street Partners CLO Ltd.     
     Series 2013-IIIA, Class CR, 8.143% (3-Month USD Libor+390 basis points),     
 3,000,000   7/20/20293,4,8   2,844,015 
     Series 2017-12A, Class A1R, 5.029% (3-Month USD Libor+95 basis points),     
 1,500,000   10/15/20303,4,8   1,478,220 
     Series 2017-12A, Class C, 7.129% (3-Month USD Libor+305 basis points),     
 1,850,000   10/15/20303,4,8   1,666,822 
     Series 2015-8A, Class CR, 6.993% (3-Month USD Libor+275 basis points),     
 1,000,000   1/20/20313,4,8   868,291 
     Series 2018-14A, Class E, 9.593% (3-Month USD Libor+535 basis points),     
 500,000   4/20/20313,4,8   413,477 
     Series 2019-17A, Class ER, 10.429% (3-Month USD Libor+635 basis points),     
 1,000,000   7/15/20323,4,8   919,736 
     Series 2019-19A, Class E, 11.099% (3-Month USD Libor+702 basis points),     
 800,000   1/15/20333,4,8   730,963 
     Series 2019-18A, Class A1R, 5.249% (3-Month USD Libor+117 basis points),     
 1,850,000   10/15/20343,4,8   1,790,680 

 4 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
    Series 2020-21A, Class DR, 7.429% (3-Month USD Libor+335 basis points),    
 1,750,000   10/15/20343,4,8  $1,625,560 
     Series 2020-21A, Class ER, 10.779% (3-Month USD Libor+670 basis points),     
 750,000   10/15/20343,4,8   675,051 
     Series 2019-18A, Class ER, 10.829% (3-Month USD Libor+675 basis points),     
 1,000,000   10/15/20343,4,8   910,027 
     Series 2021-24A, Class E, 10.853% (3-Month USD Libor+661 basis points),     
 1,000,000   10/20/20343,4,8   917,981 
     BlueMountain CLO Ltd.     
     Series 2020-29A, Class D2R, 8.608% (3-Month USD Libor+425 basis points),     
 1,750,000   7/25/20343,4,8   1,650,159 
     Burnham Park CLO Ltd.     
     Series 2016-1A, Class AR, 5.393% (3-Month USD Libor+115 basis points),     
 545,085   10/20/20293,4,8   538,740 
     Capital One Prime Auto Receivables Trust     
 141,894   Series 2019-2, Class A3, 1.920%, 5/15/20243   141,631 
     Carlyle Global Market Strategies Euro CLO     
 4,000,000   Series 2022-5X, Class A2B, 6.500%, 10/25/20353   4,197,617 
     Carlyle U.S. CLO Ltd.     
     Series 2016-4A, Class DR, 9.643% (3-Month USD Libor+540 basis points),     
 1,000,000   10/20/20273,4,8   842,609 
     Series 2020-2A, Class A1R, 5.498% (3-Month USD Libor+114 basis points),     
 5,000,000   1/25/20353,4,8   4,843,258 
     CarMax Auto Owner Trust     
 914,748   Series 2019-3, Class A3, 2.180%, 8/15/20243   911,156 
 1,396,687   Series 2019-4, Class A3, 2.020%, 11/15/20243   1,384,140 
 1,666,554   Series 2022-2, Class A2A, 2.810%, 5/15/20253   1,650,381 
 6,390,671   Series 2021-1, Class A3, 0.340%, 12/15/20253   6,179,121 
 3,429,126   Series 2021-2, Class A3, 0.520%, 2/17/20263   3,300,767 
     CBAM Ltd.     
     Series 2018-6A, Class B2R, 6.225% (3-Month Term SOFR+236.16 basis     
 2,000,000   points), 1/15/20313,4,8   1,936,135 
     Cedar Funding II CLO Ltd.     
     Series 2013-1A, Class ARR, 5.323% (3-Month USD Libor+108 basis points),     
 1,149,000   4/20/20343,4,8   1,117,670 
     Chase Home Lending Mortgage Trust     
     Series 2019-ATR2, Class A11, 5.289% (1-Month USD Libor+90 basis points),     
 693,324   7/25/20493,4,8   667,487 
     CIFC European Funding CLO     
     Series 3X, Class D, 4.978% (3-Month Euribor+360 basis points),     
 2,800,000   1/15/20343,4   2,663,752 

 5 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
    CIFC Funding Ltd.    
    Series 2015-3A, Class AR, 5.097% (3-Month USD Libor+87 basis points),    
 1,930,643   4/19/20293,4,8  $1,897,548 
     Series 2014-2RA, Class A1, 5.375% (3-Month USD Libor+105 basis points),     
 2,976,589   4/24/20303,4,8   2,945,598 
     Series 2018-2A, Class D, 10.093% (3-Month USD Libor+585 basis points),     
 750,000   4/20/20313,4,8   653,393 
     Series 2013-3RA, Class A1, 5.305% (3-Month USD Libor+98 basis points),     
 3,500,000   4/24/20313,4,8   3,450,755 
     Series 2018-4A, Class C, 7.029% (3-Month USD Libor+295 basis points),     
 1,000,000   10/17/20313,4,8   929,790 
     Series 2018-4A, Class D, 9.979% (3-Month USD Libor+590 basis points),     
 1,000,000   10/17/20313,4,8   893,660 
     Series 2018-5A, Class D, 10.229% (3-Month USD Libor+615 basis points),     
 1,250,000   1/15/20323,4,8   1,114,486 
     Series 2019-1A, Class DR, 7.343% (3-Month USD Libor+310 basis points),     
 1,000,000   4/20/20323,4,8   923,772 
     Series 2019-5A, Class DR, 10.859% (3-Month USD Libor+678 basis points),     
 500,000   1/15/20353,4,8   452,551 
     Clear Creek CLO     
     Series 2015-1A, Class CR, 6.193% (3-Month USD Libor+195 basis points),     
 750,000   10/20/20303,4,8   714,807 
     CNH Equipment Trust     
 158,586   Series 2019-B, Class A3, 2.520%, 8/15/20243   158,321 
     COLT Mortgage Loan Trust     
 6,046,843   Series 2021-4, Class A1, 1.397%, 10/25/20663,8,9   4,939,001 
     Crestline Denali CLO Ltd.     
     Series 2017-1A, Class D, 7.973% (3-Month USD Libor+373 basis points),     
 800,000   4/20/20303,4,8   681,428 
     Series 2016-1A, Class DR, 7.675% (3-Month USD Libor+335 basis points),     
 750,000   10/23/20313,4,8   659,804 
     Daimler Trucks Retail Trust     
 3,580,000   Series 2022-1, Class A2, 5.070%, 9/16/20243   3,577,637 
     Dartry Park CLO DAC     
     Series 1X, Class CRR, 4.928% (3-Month Euribor+335 basis points),     
 2,250,000   1/28/20343,4   2,128,681 
     Denali Capital CLO Ltd.     
     Series 2016-1A, Class DR, 6.829% (3-Month USD Libor+275 basis points),     
 600,000   4/15/20313,4,8   508,612 
     DLLST LLC     
 87,529   Series 2022-1A, Class A1, 1.560%, 5/22/20233,8   87,375 
 3,300,000   Series 2022-1A, Class A2, 2.790%, 1/22/20243,8   3,272,336 

 6 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

  

Principal Amount1      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
    Dryden CLO Ltd.    
    Series 2018-57A, Class D, 7.156% (3-Month USD Libor+255 basis points),    
 1,000,000   5/15/20313,4,8  $901,318 
     Series 2019-80A, Class AR, 5.114% (3-Month Term SOFR+125 basis points),     
 5,500,000   1/17/20333,4,8   5,351,599 
     Series 2020-77A, Class ER, 10.545% (3-Month USD Libor+587 basis points),     
 1,500,000   5/20/20343,4,8   1,229,178 
     Series 2020-86A, Class DR, 7.279% (3-Month USD Libor+320 basis points),     
 1,000,000   7/17/20343,4,8   929,551 
     Series 2019-76A, Class DR, 7.543% (3-Month USD Libor+330 basis points),     
 2,000,000   10/20/20343,4,8   1,799,282 
     Dryden Euro CLO     
     Series 2021-91X, Class D, 6.253% (3-Month Euribor+485 basis points),     
 1,500,000   4/18/20353,4   1,449,549 
     Dryden Euro CLO DAC     
 2,000,000   Series 2021-103X, Class B2, 7.500%, 1/19/20363   2,062,560 
     Dryden Senior Loan Fund     
     Series 2013-30A, Class AR, 5.426% (3-Month USD Libor+82 basis points),     
 1,786,605   11/15/20283,4,8   1,764,289 
     Series 2014-36A, Class AR3, 5.099% (3-Month USD Libor+102 basis points),     
 2,738,893   4/15/20293,4,8   2,709,565 
     Series 2017-49A, Class DR, 7.594% (3-Month USD Libor+340 basis points),     
 1,500,000   7/18/20303,4,8   1,365,767 
     Eaton Vance CLO Ltd.     
     Series 2015-1A, Class DR, 6.743% (3-Month USD Libor+250 basis points),     
 1,500,000   1/20/20303,4,8   1,350,788 
     Series 2014-1RA, Class E, 9.779% (3-Month USD Libor+570 basis points),     
 250,000   7/15/20303,4,8   211,301 
     Series 2018-1A, Class D, 7.279% (3-Month USD Libor+320 basis points),     
 1,000,000   10/15/20303,4,8   916,289 
     Series 2019-1A, Class DR, 7.579% (3-Month USD Libor+350 basis points),     
 1,850,000   4/15/20313,4,8   1,776,283 
     Series 2013-1A, Class D3R, 10.879% (3-Month USD Libor+680 basis points),     
 2,250,000   1/15/20343,4,8   1,995,878 
     Series 2020-2A, Class ER, 10.579% (3-Month USD Libor+650 basis points),     
 1,000,000   1/15/20353,4,8   890,080 
     Ellington Financial Mortgage Trust     
 5,041,695   Series 2021-2, Class A1, 0.931%, 6/25/20663,8,9   3,902,796 
 5,848,638   Series 2021-3, Class A1, 1.241%, 9/25/20663,8,9   4,692,649 
     Elmwood CLO Ltd.     
     Series 2022-1A, Class B, 5.763% (3-Month Term SOFR+180 basis points),     
 2,750,000   4/20/20353,4,8   2,629,996 

 7 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
     Flatiron CLO Ltd.     
     Series 2020-1A, Class D, 8.465% (3-Month USD Libor+379 basis points),     
 2,000,000   11/20/20333,4,8  $1,908,237 
     Series 2020-1A, Class E, 12.525% (3-Month USD Libor+785 basis points),     
 1,500,000   11/20/20333,4,8   1,392,976 
     Series 2021-1A, Class E, 10.227% (3-Month USD Libor+600 basis points),     
 1,375,000   7/19/20343,4,8   1,239,719 
     Series 2019-1A, Class AR, 5.724% (3-Month USD Libor+108 basis points),     
 3,000,000   11/16/20343,4,8   2,927,974 
     Ford Credit Auto Lease Trust     
 2,150,000   Series 2021-B, Class A4, 0.400%, 12/15/20243   2,061,366 
     Ford Credit Auto Owner Trust     
 240,198   Series 2019-C, Class A3, 1.870%, 3/15/20243   239,878 
     Galaxy CLO Ltd.     
     Series 2017-23A, Class AR, 5.195% (3-Month USD Libor+87 basis points),     
 3,653,367   4/24/20293,4,8   3,601,305 
     Series 2015-19A, Class A1RR, 5.275% (3-Month USD Libor+95 basis points),     
 3,241,025   7/24/20303,4,8   3,180,034 
     Series 2013-15A, Class ARR, 5.049% (3-Month USD Libor+97 basis points),     
 5,625,000   10/15/20303,4,8   5,501,470 
     Series 2017-24A, Class D, 6.529% (3-Month USD Libor+245 basis points),     
 1,500,000   1/15/20313,4,8   1,371,328 
     GCAT Trust     
 2,731,400   Series 2021-NQM7, Class A1, 1.915%, 8/25/20663,8,9   2,403,914 
     Generate CLO Ltd.     
     Series 3A, Class AR, 5.493% (3-Month USD Libor+125 basis points),     
 2,256,271   10/20/20293,4,8   2,231,787 
     Series 3A, Class DR, 7.843% (3-Month USD Libor+360 basis points),     
 1,250,000   10/20/20293,4,8   1,200,095 
     Series 9A, Class E, 11.093% (3-Month USD Libor+685 basis points),     
 1,000,000   10/20/20343,4,8   905,958 
     Series 6A, Class DR, 7.825% (3-Month USD Libor+350 basis points),     
 1,750,000   1/22/20353,4,8   1,625,208 
     Gilbert Park CLO Ltd.     
     Series 2017-1A, Class E, 10.479% (3-Month USD Libor+640 basis points),     
 1,500,000   10/15/20303,4,8   1,296,871 
     GM Financial Automobile Leasing Trust     
 1,134,366   Series 2020-2, Class B, 1.560%, 7/22/20243   1,132,433 
 6,500,000   Series 2021-3, Class A3, 0.390%, 10/21/20243   6,316,200 
     GM Financial Consumer Automobile Receivables Trust     
 1,437,090   Series 2021-4, Class A2, 0.280%, 11/18/20243   1,421,773 
 3,546,247   Series 2020-4, Class A3, 0.380%, 8/18/20253   3,448,258 

 8 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
    GoldenTree Loan Management EUR CLO DAC    
     Series 5X, Class E, 6.706% (3-Month Euribor+525 basis points),     
 1,000,000   4/20/20343,4  $832,970 
     GoldenTree Loan Management U.S. CLO Ltd.     
     Series 2020-7A, Class FR, 11.993% (3-Month USD Libor+775 basis points),     
 500,000   4/20/20343,4,8   383,043 
     Series 2021-10A, Class F, 12.033% (3-Month USD Libor+779 basis points),     
 1,000,000   7/20/20343,4,8   786,729 
     Series 2020-8A, Class ER, 10.393% (3-Month USD Libor+615 basis points),     
 500,000   10/20/20343,4,8   447,697 
     Series 2019-6A, Class BR, 5.763% (3-Month Term SOFR+180 basis points),     
 2,250,000   4/20/20353,4,8   2,141,332 
     GoldenTree Loan Opportunities Ltd.     
     Series 2014-9A, Class DR2, 7.415% (3-Month USD Libor+300 basis points),     
 1,075,000   10/29/20293,4,8   1,015,047 
     Greenwood Park CLO Ltd.     
     Series 2018-1A, Class D, 6.579% (3-Month USD Libor+250 basis points),     
 1,900,000   4/15/20313,4,8   1,698,009 
     Grippen Park CLO Ltd.     
     Series 2017-1A, Class A, 5.503% (3-Month USD Libor+126 basis points),     
 1,817,342   1/20/20303,4,8   1,798,690 
     Series 2017-1A, Class E, 9.943% (3-Month USD Libor+570 basis points),     
 830,000   1/20/20303,4,8   730,108 
     Harvest CLO DAC     
     Series 16A, Class B1RR, 2.678% (3-Month Euribor+130 basis points),     
 1,000,000   10/15/20313,4,8   972,206 
     Highbridge Loan Management Ltd.     
     Series 7A-2015, Class DR, 7.006% (3-Month USD Libor+240 basis points),     
 1,500,000   3/15/20273,4,8   1,437,162 
     Series 5A-2015, Class DRR, 7.229% (3-Month USD Libor+315 basis points),     
 1,000,000   10/15/20303,4,8   889,057 
     Honda Auto Receivables Owner Trust     
 169,676   Series 2019-4, Class A3, 1.830%, 1/18/20243   169,112 
 2,439,280   Series 2020-2, Class A3, 0.820%, 7/15/20243   2,403,701 
 1,818,727   Series 2020-3, Class A3, 0.370%, 10/18/20243   1,779,261 
 4,000,000   Series 2020-2, Class A4, 1.090%, 10/15/20263   3,874,216 
     HPEFS Equipment Trust     
 265,979   Series 2021-2A, Class A2, 0.300%, 9/20/20283,8   264,842 
     HPS Loan Management Ltd.     
     Series 13A-18, Class D, 7.079% (3-Month USD Libor+300 basis points),     
 1,250,000   10/15/20303,4,8   1,105,220 

 

 9 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
     Series 6A-2015, Class CR, 7.032% (3-Month USD Libor+250 basis points),     
 2,625,000   2/5/20313,4,8  $2,235,776 
     Series 14A-19, Class ER, 10.508% (3-Month USD Libor+615 basis points),     
 2,500,000   1/25/20343,4,8   2,191,417 
     Series 15A-19, Class ER, 10.837% (3-Month Term SOFR+680 basis points),     
 2,250,000   1/22/20353,4,8   2,040,618 
     Hyundai Auto Lease Securitization Trust     
 4,278,590   Series 2022-B, Class A2A, 2.750%, 10/15/20243,8   4,223,392 
 4,465,000   Series 2022-A, Class A3, 1.160%, 1/15/20253,8   4,310,257 
 2,750,000   Series 2022-C, Class A2A, 4.340%, 1/15/20253,8   2,729,405 
     Hyundai Auto Receivables Trust     
 481,840   Series 2021-B, Class A2, 0.240%, 5/15/20243   479,853 
     Invesco CLO Ltd.     
     Series 2022-3A, Class D, 8.855% (3-Month Term SOFR+500 basis points),     
 1,000,000   10/22/20353,4,8   984,662 
     Invesco Euro CLO     
     Series 6X, Class B1, 3.028% (3-Month Euribor+165 basis points),     
 2,000,000   7/15/20343,4   1,981,660 
     Jay Park CLO Ltd.     
     Series 2016-1A, Class DR, 9.443% (3-Month USD Libor+520 basis points),     
 1,000,000   10/20/20273,4,8   916,815 
     KKR CLO Ltd.     
     Series 13, Class ER, 9.029% (3-Month USD Libor+495 basis points),     
 1,500,000   1/16/20283,4,8   1,439,437 
     Series 18, Class AR, 5.134% (3-Month USD Libor+94 basis points),     
 1,886,264   7/18/20303,4,8   1,868,757 
     LCM LP     
     Series 18A, Class DR, 7.043% (3-Month USD Libor+280 basis points),     
 750,000   4/20/20313,4,8   667,532 
     Madison Park Funding Ltd.     
     Series 12A, Class DR, 7.125% (3-Month USD Libor+280 basis points),     
 1,967,500   4/22/20273,4,8   1,853,415 
     Series 2015-19A, Class CR, 6.475% (3-Month USD Libor+215 basis points),     
 825,000   1/22/20283,4,8   768,683 
     Series 2015-19A, Class DR, 8.675% (3-Month USD Libor+435 basis points),     
 1,825,000   1/22/20283,4,8   1,607,371 
     Series 2019-33A, Class AR, 5.154% (3-Month Term SOFR+129 basis points),     
 1,800,000   10/15/20323,4,8   1,779,133 
     Magnetite Ltd.     
     Series 2014-8A, Class ER2, 9.729% (3-Month USD Libor+565 basis points),     
 1,500,000   4/15/20313,4,8   1,335,735 

 10 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
     Series 2019-22A, Class ER, 10.429% (3-Month USD Libor+635 basis points),     
 1,000,000   4/15/20313,4,8  $900,636 
     Series 2016-17A, Class AR, 5.343% (3-Month USD Libor+110 basis points),     
 2,500,000   7/20/20313,4,8   2,473,830 
     Series 2015-12A, Class ER, 9.759% (3-Month USD Libor+568 basis points),     
 500,000   10/15/20313,4,8   444,108 
     Series 2020-25A, Class E, 10.708% (3-Month USD Libor+635 basis points),     
 1,000,000   1/25/20323,4,8   917,256 
     Mariner CLO LLC     
     Series 2016-3A, Class BR2, 5.825% (3-Month USD Libor+150 basis points),     
 2,050,000   7/23/20293,4,8   1,994,657 
     Series 2016-3A, Class DR2, 7.225% (3-Month USD Libor+290 basis points),     
 2,000,000   7/23/20293,4,8   1,850,358 
     Mercedes-Benz Auto Lease Trust     
 640,382   Series 2021-B, Class A2, 0.220%, 1/16/20243   638,789 
     Mercedes-Benz Auto Receivables Trust     
 6,542,968   Series 2019-1, Class A4, 2.040%, 1/15/20263   6,465,735 
     Milos CLO Ltd.     
     Series 2017-1A, Class AR, 5.313% (3-Month USD Libor+107 basis points),     
 2,500,000   10/20/20303,4,8   2,460,720 
     MMAF Equipment Finance LLC     
 675,694   Series 2020-A, Class A2, 0.740%, 4/9/20243,8   668,660 
 6,350,000   Series 2022-A, Class A2, 2.770%, 2/13/20253,8   6,234,817 
     Morgan Stanley Eaton Vance CLO Ltd.     
     Series 2022-16A, Class E, 10.714% (3-Month Term SOFR+685 basis points),     
 2,500,000   4/15/20353,4,8   2,184,078 
     Series 2022-18A, Class E, 12.340% (3-Month Term SOFR+850 basis points),     
 500,000   10/20/20353,4,8   491,153 
     Mountain View CLO Ltd.     
     Series 2015-10A, Class CR, 5.791% (3-Month USD Libor+185 basis points),     
 500,000   10/13/20273,4,8   490,875 
     Series 2015-9A, Class CR, 7.199% (3-Month USD Libor+312 basis points),     
 875,000   7/15/20313,4,8   728,081 
     Series 2019-2A, Class D, 8.449% (3-Month USD Libor+437 basis points),     
 525,000   1/15/20333,4,8   483,614 
     Series 2019-1A, Class DR, 8.019% (3-Month USD Libor+394 basis points),     
 1,500,000   10/15/20343,4,8   1,416,843 
     Neuberger Berman Loan Advisers CLO Ltd.     
     Series 2018-27A, Class D, 6.679% (3-Month USD Libor+260 basis points),     
 2,250,000   1/15/20303,4,8   2,082,362 
     Series 2020-36A, Class ER, 10.993% (3-Month USD Libor+675 basis points),     
 1,000,000   4/20/20333,4,8   929,784 

 11 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
    Neuberger Berman Loan Advisers Euro CLO    
     Series 2021-1X, Class D, 4.378% (3-Month Euribor+300 basis points),     
 1,000,000   4/17/20343,4  $918,592 
     New Mountain CLO Ltd.     
     Series CLO-1A, Class ER, 10.759% (3-Month USD Libor+668 basis points),     
 1,500,000   10/15/20343,4,8   1,371,911 
     New Residential Mortgage Loan Trust     
 263,449   Series 2019-NQM4, Class A1, 2.492%, 9/25/20593,8,9   238,513 
     Newark BSL CLO Ltd.     
     Series 2016-1A, Class A1R, 5.458% (3-Month USD Libor+110 basis points),     
 2,644,473   12/21/20293,4,8   2,613,573 
     Series 2016-1A, Class DR, 10.608% (3-Month USD Libor+625 basis points),     
 750,000   12/21/20293,4,8   643,608 
     Nissan Auto Receivables Owner Trust     
 1,033,798   Series 2019-C, Class A3, 1.930%, 7/15/20243   1,030,142 
 1,753,990   Series 2020-A, Class A3, 1.380%, 12/16/20243   1,730,370 
     Oak Hill Credit Partners Ltd.     
     Series 2014-10RA, Class D2R, 8.993% (3-Month USD Libor+475 basis     
 2,500,000   points), 4/20/20343,4,8   2,358,098 
     OBX Trust     
     Series 2018-EXP1, Class 2A1, 5.239% (1-Month USD Libor+85 basis points),     
 304,448   4/25/20483,4,8   299,615 
     Series 2020-INV1, Class A11, 5.289% (1-Month USD Libor+90 basis points),     
 1,411,184   12/25/20493,4,8   1,303,663 
     Series 2019-EXP2, Class 2A1B, 5.289% (1-Month USD Libor+90 basis     
 3,697,098   points), 6/25/20593,4,8   3,538,741 
     OCP CLO Ltd.     
     Series 2014-6A, Class BR, 6.229% (3-Month USD Libor+215 basis points),     
 2,250,000   10/17/20303,4,8   2,154,621 
     Series 2017-14A, Class C, 7.275% (3-Month USD Libor+260 basis points),     
 1,000,000   11/20/20303,4,8   914,794 
     Series 2017-14A, Class D, 10.475% (3-Month USD Libor+580 basis points),     
 2,000,000   11/20/20303,4,8   1,723,581 
     Series 2020-8RA, Class D, 11.079% (3-Month USD Libor+700 basis points),     
 500,000   1/17/20323,4,8   458,279 
     Series 2020-18A, Class ER, 10.673% (3-Month USD Libor+643 basis points),     
 1,000,000   7/20/20323,4,8   883,300 
     Series 2016-12A, Class ER2, 11.079% (3-Month Term SOFR+715 basis     
 1,000,000   points), 4/18/20333,4,8   899,142 
     Series 2021-22A, Class D, 7.343% (3-Month USD Libor+310 basis points),     
 2,000,000   12/2/20343,4,8   1,816,004 

 12 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
     Series 2021-22A, Class E, 10.843% (3-Month USD Libor+660 basis points),     
 1,000,000   12/2/20343,4,8  $868,223 
     Octagon Investment Partners Ltd.     
     Series 2014-1A, Class DRR, 7.075% (3-Month USD Libor+275 basis points),     
 750,000   1/22/20303,4,8   656,221 
     Series 2019-3A, Class ER, 10.829% (3-Month USD Libor+675 basis points),     
 1,000,000   7/15/20343,4,8   856,155 
     Series 2020-3A, Class AR, 5.393% (3-Month USD Libor+115 basis points),     
 2,500,000   10/20/20343,4,8   2,433,016 
     OHA Credit Partners Ltd.     
     Series 2012-7A, Class D2R3, 8.925% (3-Month USD Libor+425 basis points),     
 2,750,000   2/20/20343,4,8   2,612,642 
     Onslow Bay Mortgage Loan Trust     
 2,419,879   Series 2021-NQM2, Class A1, 1.101%, 5/25/20613,8,9   1,854,019 
 6,402,855   Series 2021-NQM4, Class A1, 1.957%, 10/25/20613,8,9   5,123,898 
     OSD CLO Ltd.     
     Series 2021-23A, Class D, 7.029% (3-Month USD Libor+295 basis points),     
 1,000,000   4/17/20313,4,8   912,556 
     Series 2021-23A, Class E, 10.079% (3-Month USD Libor+600 basis points),     
 1,000,000   4/17/20313,4,8   862,477 
     OZLM Ltd.     
     Series 2014-8A, Class DRR, 10.159% (3-Month USD Libor+608 basis points),     
 1,500,000   10/17/20293,4,8   1,281,897 
     Series 2014-6A, Class CS, 7.209% (3-Month USD Libor+313 basis points),     
 2,000,000   4/17/20313,4,8   1,820,156 
     Series 2014-9A, Class A1A3, 5.343% (3-Month USD Libor+110 basis points),     
 3,250,000   10/20/20313,4,8   3,186,317 
     Series 2019-23A, Class DR, 7.829% (3-Month USD Libor+375 basis points),     
 750,000   4/15/20343,4,8   712,768 
     Post CLO Ltd.     
     Series 2021-1A, Class D, 7.379% (3-Month USD Libor+330 basis points),     
 1,250,000   10/15/20343,4,8   1,175,633 
     Series 2022-1A, Class A, 5.343% (3-Month Term SOFR+138 basis points),     
 4,500,000   4/20/20353,4,8   4,390,417 
     Series 2022-1A, Class E, 10.713% (3-Month Term SOFR+675 basis points),     
 2,250,000   4/20/20353,4,8   1,991,619 
     PPM CLO Ltd.     
     Series 2019-3A, Class ER, 10.689% (3-Month USD Libor+661 basis points),     
 1,500,000   4/17/20343,4,8   1,241,437 
     Recette CLO Ltd.     
     Series 2015-1A, Class FRR, 12.713% (3-Month USD Libor+847 basis points),     
 1,000,000   4/20/20343,4,8   783,444 

 13 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
    Regatta Funding LP    
     Series 2013-2A, Class A1R3, 4.929% (3-Month USD Libor+85 basis points),     
 953,230   1/15/20293,4,8  $943,754 
     Series 2013-2A, Class CR2, 7.779% (3-Month USD Libor+370 basis points),     
 2,500,000   1/15/20293,4,8   2,377,348 
     Regatta Funding Ltd.     
     Series 2016-1A, Class DR2, 7.343% (3-Month USD Libor+310 basis points),     
 1,500,000   4/20/20343,4,8   1,430,420 
     Series 2016-1A, Class ER2, 11.146% (3-Month USD Libor+640 basis points),     
 1,500,000   6/20/20343,4,8   1,312,624 
     Rockford Tower CLO Ltd.     
     Series 2020-1A, Class E, 11.143% (3-Month USD Libor+690 basis points),     
 1,750,000   1/20/20323,4,8   1,592,458 
     Series 2021-2A, Class E, 10.643% (3-Month USD Libor+640 basis points),     
 750,000   7/20/20343,4,8   628,072 
     Series 2021-3A, Class E, 10.963% (3-Month USD Libor+672 basis points),     
 1,375,000   10/20/20343,4,8   1,157,034 
     Shackleton CLO Ltd.     
     Series 2013-4RA, Class C, 6.811% (3-Month USD Libor+287 basis points),     
 2,500,000   4/13/20313,4,8   2,162,768 
     Sound Point CLO Ltd.     
     Series 2016-3A, Class E, 10.975% (3-Month USD Libor+665 basis points),     
 500,000   1/23/20293,4,8   455,038 
     Series 2019-1A, Class DR, 7.743% (3-Month USD Libor+350 basis points),     
 2,000,000   1/20/20323,4,8   1,774,192 
     Series 2019-3A, Class DR, 7.858% (3-Month USD Libor+350 basis points),     
 1,500,000   10/25/20343,4,8   1,241,206 
     STAR Trust     
 1,071,888   Series 2021-1, Class A1, 1.219%, 5/25/20653,8,9   973,264 
     Starwood Mortgage Residential Trust     
 8,670,220   Series 2021-5, Class A1, 1.920%, 9/25/20663,8,9   7,024,387 
 5,417,485   Series 2022-1, Class A1, 2.447%, 12/25/20663,8,9   4,560,525 
     Stratus CLO Ltd.     
     Series 2021-1A, Class B, 5.643% (3-Month USD Libor+140 basis points),     
 2,000,000   12/29/20293,4,8   1,940,209 
     Series 2021-1A, Class C, 5.993% (3-Month USD Libor+175 basis points),     
 1,500,000   12/29/20293,4,8   1,390,998 
     Symphony CLO Ltd.     
     Series 2014-14A, Class E, 8.611% (3-Month USD Libor+460 basis points),     
 1,040,000   7/14/20263,4,8   990,096 
     Series 2016-17A, Class ER, 9.629% (3-Month USD Libor+555 basis points),     
 750,000   4/15/20283,4,8   715,812 

 14 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
     Series 2018-20A, Class DR, 7.829% (3-Month USD Libor+375 basis points),     
 1,750,000   1/16/20323,4,8  $1,685,275 
     Symphony Static CLO Ltd.     
     Series 2021-1A, Class E1, 9.708% (3-Month USD Libor+535 basis points),     
 2,500,000   10/25/20293,4,8   2,200,655 
     TCI-Symphony CLO Ltd.     
     Series 2017-1A, Class E, 10.529% (3-Month USD Libor+645 basis points),     
 1,064,000   7/15/20303,4,8   917,696 
     Series 2016-1A, Class AR2, 4.961% (3-Month USD Libor+102 basis points),     
 3,500,000   10/13/20323,4,8   3,438,655 
     Tesla Auto Lease Trust     
 969,020   Series 2021-A, Class A2, 0.360%, 3/20/20253,8   960,752 
 1,531,004   Series 2021-B, Class A2, 0.360%, 9/22/20253,8   1,496,138 
     THL Credit Wind River CLO Ltd.     
     Series 2013-2A, Class DR, 7.144% (3-Month USD Libor+295 basis points),     
 1,000,000   10/18/20303,4,8   829,806 
     TICP CLO Ltd.     
     Series 2018-IIA, Class D, 9.913% (3-Month USD Libor+567 basis points),     
 625,000   4/20/20283,4,8   601,027 
     Series 2018-IA, Class D, 10.097% (3-Month USD Libor+577 basis points),     
 1,850,000   4/26/20283,4,8   1,724,098 
     Series 2016-5A, Class ER, 9.829% (3-Month USD Libor+575 basis points),     
 2,100,000   7/17/20313,4,8   1,803,173 
     Toyota Auto Receivables Owner Trust     
 85,330   Series 2021-B, Class A2, 0.140%, 1/16/20243   85,180 
 6,132,000   Series 2021-B, Class A3, 0.260%, 11/17/20253   5,897,660 
 6,250,000   Series 2021-D, Class A3, 0.710%, 4/15/20263   5,890,269 
     Trinitas CLO Ltd.     
     Series 2022-21A, Class C, 2.175% (3-Month Term SOFR+420 basis points),     
 1,150,000   1/20/20363,4,8   1,150,000 
     Verus Securitization Trust     
 1,501,915   Series 2021-5, Class A1, 1.013%, 9/25/20663,8,9   1,206,266 
     Visio Trust     
 1,199,455   Series 2020-1, Class A1, 1.545%, 8/25/20553,8,9   1,128,442 
     VMC Finance LLC     
     Series 2021-HT1, Class A, 5.989% (1-Month USD Libor+165 basis points),     
 1,118,812   1/18/20373,4,8   1,087,655 
     Voya CLO Ltd.     
     Series 2015-1A, Class A1R, 5.094% (3-Month USD Libor+90 basis points),     
 2,262,844   1/18/20293,4,8   2,239,501 
     Series 2015-1A, Class CR, 6.544% (3-Month USD Libor+235 basis points),     
 2,000,000   1/18/20293,4,8   1,847,857 

 15 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
     Series 2017-1A, Class C, 7.409% (3-Month USD Libor+333 basis points),     
 1,250,000   4/17/20303,4,8  $1,138,807 
     Series 2017-2A, Class A1R, 5.059% (3-Month USD Libor+98 basis points),     
 1,681,592   6/7/20303,4,8   1,652,165 
     Series 2013-1A, Class CR, 7.029% (3-Month USD Libor+295 basis points),     
 1,000,000   10/15/20303,4,8   863,409 
     Series 2013-2A, Class CR, 7.072% (3-Month Term SOFR+301.16 basis     
 2,000,000   points), 4/25/20313,4,8   1,691,614 
     Series 2016-3A, Class CR, 7.444% (3-Month USD Libor+325 basis points),     
 2,000,000   10/18/20313,4,8   1,649,810 
     Series 2020-2A, Class ER, 10.627% (3-Month USD Libor+640 basis points),     
 2,000,000   7/19/20343,4,8   1,767,327 
     Series 2022-3A, Class E, 12.612% (3-Month Term SOFR+860 basis points),     
 1,000,000   10/20/20343,4,8   966,933 
     Series 2019-4A, Class ER, 10.789% (3-Month USD Libor+671 basis points),     
 1,000,000   1/15/20353,4,8   873,292 
     Series 2022-1A, Class E, 11.433% (3-Month Term SOFR+747 basis points),     
 1,500,000   4/20/20353,4,8   1,346,163 
     Voya Euro CLO DAC     
 1,750,000   Series 1X, Class B2NE, 2.100%, 10/15/20303   1,652,903 
     Wellfleet CLO Ltd.     
     Series 2015-1A, Class DR4, 7.743% (3-Month USD Libor+350 basis points),     
 750,000   7/20/20293,4,8   704,536 
     Wellman Park CLO Ltd.     
     Series 2021-1A, Class A, 5.179% (3-Month USD Libor+110 basis points),     
 4,500,000   7/15/20343,4,8   4,369,258 
     Wind River CLO Ltd.     
     Series 2013-1A, Class A1RR, 5.223% (3-Month USD Libor+98 basis points),     
 2,533,069   7/20/20303,4,8   2,500,781 
     World Omni Auto Receivables Trust     
 1,820,766   Series 2020-A, Class A3, 1.100%, 4/15/20253   1,800,676 
 1,835,452   Series 2020-B, Class A3, 0.630%, 5/15/20253   1,803,959 
     World Omni Select Auto Trust     
 392,752   Series 2021-A, Class A2, 0.290%, 2/18/20253   391,972 
     TOTAL ASSET-BACKED SECURITIES     
     (Cost $478,702,951)   453,419,285 
     COMMERCIAL MORTGAGE-BACKED SECURITIES — 6.9%     
     Alen Mortgage Trust     
     Series 2021-ACEN, Class A, 5.468% (1-Month USD Libor+115 basis points),     
 2,645,000   4/15/20344,8   2,434,537 

 16 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    COMMERCIAL MORTGAGE-BACKED SECURITIES (Continued)    
    BBCMS Mortgage Trust    
     Series 2019-BWAY, Class A, 5.274% (1-Month USD Libor+95.6 basis points),     
 2,550,000   11/15/20344,8  $2,367,122 
     Series 2019-BWAY, Class D, 6.478% (1-Month USD Libor+216 basis points),     
 2,000,000   11/15/20344,8   1,727,912 
     Series 2018-TALL, Class A, 5.040% (1-Month USD Libor+72.2 basis points),     
 2,548,000   3/15/20374,8   2,358,941 
     Series 2018-TALL, Class B, 5.289% (1-Month USD Libor+97.1 basis points),     
 1,000,000   3/15/20374,8   857,489 
     Series 2020-BID, Class A, 6.458% (1-Month USD Libor+214 basis points),     
 2,650,000   10/15/20374,8   2,562,961 
     BFLD Trust     
     Series 2021-FPM, Class A, 5.918% (1-Month USD Libor+160 basis points),     
 3,025,000   6/15/20383,4,8   2,891,936 
     BPR Trust     
     Series 2022-OANA, Class A, 6.234% (1-Month Term SOFR+189.8 basis     
 3,000,000   points), 4/15/20374,8   2,934,756 
     Series 2021-WILL, Class A, 6.068% (1-Month USD Libor+175 basis points),     
 2,888,755   6/15/20384,8   2,788,691 
     Series 2021-WILL, Class B, 7.318% (1-Month USD Libor+300 basis points),     
 1,000,000   6/15/20384,8   959,694 
     BX Commercial Mortgage Trust     
     Series 2019-IMC, Class A, 5.318% (1-Month USD Libor+100 basis points),     
 3,660,000   4/15/20344,8   3,577,496 
     BX Trust     
 2,000,000   Series 2022-CLS, Class A, 5.760%, 10/13/20278   1,962,100 
     Series 2022-PSB, Class A, 6.787% (1-Month Term SOFR+245.1 basis points),     
 1,729,985   8/15/20394,8   1,728,743 
     Series 2022-GPA, Class A, 6.501% (1-Month Term SOFR+216.5 basis     
 1,750,000   points), 10/15/20394,8   1,742,970 
     Citigroup Commercial Mortgage Trust     
     Series 2018-TBR, Class A, 5.273% (1-Month USD Libor+83 basis points),     
 1,200,000   12/15/20363,4,8   1,176,319 
     Series 2018-TBR, Class B, 5.593% (1-Month USD Libor+115 basis points),     
 750,000   12/15/20363,4,8   724,918 
     COLT Mortgage Loan Trust     
 93,763   Series 2020-2, Class A1, 1.853%, 3/25/20653,8,9   91,876 
     COMM Mortgage Trust     
     Series 2018-HCLV, Class A, 5.418% (1-Month USD Libor+110 basis points),     
 2,500,000   9/15/20333,4,8   2,350,050 

 17 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    COMMERCIAL MORTGAGE-BACKED SECURITIES (Continued)    
    CORE Mortgage Trust    
     Series 2019-CORE, Class B, 5.418% (1-Month USD Libor+110 basis points),     
 205,813   12/15/20314,8  $200,078 
     CSMC     
     Series 2020-TMIC, Class A, 7.818% (1-Month USD Libor+300 basis points),     
 1,225,000   12/15/20354,8   1,221,485 
     Series 2020-FACT, Class B, 6.318% (1-Month USD Libor+200 basis points),     
 750,000   10/15/20374,8   714,128 
     DBUBS Mortgage Trust     
 2,841,188   Series 2011-LC3A, Class PM1, 4.452%, 5/10/20443,8   2,712,553 
     Fannie Mae Grantor Trust     
 754,398   Series 2004-T5, Class AB4, 4.320%, 5/28/20353,9   687,510 
     Great Wolf Trust     
     Series 2019-WOLF, Class B, 5.652% (1-Month USD Libor+133.4 basis     
 2,500,000   points), 12/15/20364,8   2,413,348 
     Series 2019-WOLF, Class C, 5.951% (1-Month USD Libor+163.3 basis     
 1,250,000   points), 12/15/20364,8   1,195,608 
     GS Mortgage Securities Corp. II     
 2,615,000   Series 2012-BWTR, Class A, 2.954%, 11/5/20343,8   2,291,917 
     Hilton Orlando Trust     
     Series 2018-ORL, Class A, 5.338% (1-Month USD Libor+92 basis points),     
 2,983,000   12/15/20344,8   2,912,888 
     Series 2018-ORL, Class B, 5.618% (1-Month USD Libor+120 basis points),     
 1,055,000   12/15/20344,8   1,021,878 
     Mellon Residential Funding     
 33,487   Series 1999-TBC3, Class A2, 4.392%, 10/20/20293,9   32,937 
     MTK Mortgage Trust     
     Series 2021-GRNY, Class A, 6.068% (1-Month USD Libor+175 basis points),     
 2,500,000   12/15/20384,8   2,402,077 
     NYO Commercial Mortgage Trust     
     Series 2021-1290, Class A, 5.413% (1-Month USD Libor+109.5 basis     
 5,400,000   points), 11/15/20384,8   4,910,841 
     Taubman Centers Commercial Mortgage Trust     
     Series 2022-DPM, Class A, 6.522% (1-Month Term SOFR+218.6 basis     
 2,500,000   points), 5/15/20374,8   2,434,007 
     Worldwide Plaza Trust     
 1,575,000   Series 2017-WWP, Class F, 3.596%, 11/10/20368,9   897,506 
     TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES     
     (Cost $64,678,691)   61,287,272 

 18 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    CORPORATE — 28.0%    
    BASIC MATERIALS — 2.2%    
    Alcoa Nederland Holding B.V.    
 1,500,000   6.125%, 5/15/20283,7,8  $1,480,328 
     Anglo American Capital PLC     
 3,100,000   5.625%, 4/1/20303,7,8   3,085,042 
     Axalta Coating Systems Dutch Holding B B.V.     
 851,000   3.750%, 1/15/20253   875,109 
     DuPont de Nemours, Inc.     
 2,750,000   5.716% (3-Month USD Libor+111 basis points), 11/15/20234   2,762,144 
     Georgia-Pacific LLC     
 3,540,000   0.625%, 5/15/20248   3,326,952 
     International Flavors & Fragrances, Inc.     
 3,555,000   1.832%, 10/15/20273,8   2,989,151 
     LYB International Finance III LLC     
 3,000,000   1.250%, 10/1/20253   2,679,258 
     SCIL IV LLC / SCIL USA Holdings LLC     
 1,643,000   6.016% (3-Month Euribor+437.5 basis points), 11/1/20263,4   1,680,327 
     Sherwin-Williams Co.     
 480,000   4.250%, 8/8/2025   472,108 
         19,350,419 
     COMMUNICATIONS — 3.5%     
     AT&T, Inc.     
 3,785,000   4.941% (SOFR Index+64 basis points), 3/25/20243,4   3,768,092 
     Charter Communications Operating LLC / Charter Communications     
     Operating Capital     
 2,700,000   4.908%, 7/23/20253   2,648,884 
     Comcast Corp.     
 410,000   5.250%, 11/7/2025   415,827 
 4,570,000   4.150%, 10/15/20283   4,391,660 
     Discovery Communications LLC     
 4,170,000   3.900%, 11/15/20243   4,038,645 
     eBay, Inc.     
 2,690,000   1.900%, 3/11/20253   2,519,868 
     Juniper Networks, Inc.     
 2,500,000   2.000%, 12/10/20303   1,909,680 
     Match Group, Inc.     
 2,589,000   4.625%, 6/1/20283,8   2,312,573 
     Motorola Solutions, Inc.     
 4,363,000   2.300%, 11/15/20303   3,421,552 
     NortonLifeLock, Inc.     
 530,000   6.750%, 9/30/20273,8   520,089 

 19 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    CORPORATE (Continued)    
    COMMUNICATIONS (Continued)    
    T-Mobile USA, Inc.    
 1,175,000   3.500%, 4/15/20253  $1,131,022 
     United Group B.V.     
 750,000   3.625%, 2/15/20283   583,884 
     Verizon Communications, Inc.     
 3,975,000   5.097% (SOFR Index+79 basis points), 3/20/20264   3,877,338 
         31,539,114 
     CONSUMER, CYCLICAL — 3.8%     
     7-Eleven, Inc.     
 2,936,000   0.800%, 2/10/20243,8   2,795,204 
 615,000   0.950%, 2/10/20263,8   539,284 
     American Honda Finance Corp.     
 1,813,000   0.750%, 8/9/2024   1,696,003 
     BMW U.S. Capital LLC     
 500,000   0.800%, 4/1/20248   474,266 
 950,000   3.150%, 4/18/20243,8   926,930 
 2,180,000   4.339% (SOFR Index+38 basis points), 8/12/20244,8   2,159,501 
     Ford Motor Co.     
 185,000   6.100%, 8/19/20323   171,177 
     Ford Motor Credit Co. LLC     
 520,000   2.300%, 2/10/20253   475,582 
 1,000,000   4.950%, 5/28/20273   934,770 
 1,620,000   2.900%, 2/10/20293   1,296,057 
     General Motors Financial Co., Inc.     
 2,000,000   3.950%, 4/13/20243   1,961,592 
 3,000,000   2.350%, 1/8/20313   2,268,666 
     Lowe's Cos., Inc.     
 2,835,000   4.400%, 9/8/2025   2,795,579 
     McDonald's Corp.     
 4,015,000   3.375%, 5/26/20253   3,887,480 
     Nissan Motor Co., Ltd.     
 2,211,000   4.810%, 9/17/20303,7,8   1,881,263 
     PACCAR Financial Corp.     
 110,000   2.650%, 4/6/2023   109,492 
     Sally Holdings LLC / Sally Capital, Inc.     
 1,495,000   5.625%, 12/1/20253   1,442,481 
     Starbucks Corp.     
 240,000   4.379% (SOFR Index+42 basis points), 2/14/20243,4   238,670 

 20 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    CORPORATE (Continued)    
    CONSUMER, CYCLICAL (Continued)    
    Toyota Motor Credit Corp.    
 3,490,000   3.950%, 6/30/2025  $3,419,900 
     Volkswagen Group of America Finance LLC     
 300,000   0.875%, 11/22/20238   288,670 
 1,413,000   4.750%, 11/13/20288   1,372,355 
     ZF Finance GmbH     
 1,000,000   3.000%, 9/21/20253   988,676 
 800,000   2.000%, 5/6/20273   703,209 
     ZF North America Capital, Inc.     
 700,000   4.750%, 4/29/20258   662,784 
         33,489,591 
     CONSUMER, NON-CYCLICAL — 4.0%     
     Baxter International, Inc.     
 540,000   4.467% (SOFR Index+44 basis points), 11/29/20244   529,940 
     Biogen, Inc.     
 4,280,000   4.050%, 9/15/20253   4,164,881 
     Campbell Soup Co.     
 2,600,000   3.300%, 3/19/20253   2,502,864 
     Global Payments, Inc.     
 1,145,000   2.650%, 2/15/20253   1,078,172 
 2,715,000   5.300%, 8/15/20293   2,630,800 
     GSK Consumer Healthcare Capital U.S. LLC     
 965,000   3.024%, 3/24/20243   937,032 
     HCA, Inc.     
 4,525,000   4.500%, 2/15/20273   4,367,824 
     Heineken N.V.     
 1,900,000   2.750%, 4/1/20237,8   1,888,748 
     Humana, Inc.     
 1,985,000   4.500%, 4/1/20253   1,962,667 
     Illumina, Inc.     
 1,020,000   5.750%, 12/13/20273   1,034,517 
     IQVIA, Inc.     
 1,000,000   2.250%, 3/15/20293   905,761 
     JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.     
 1,450,000   2.500%, 1/15/20273,7,8   1,270,360 
     Mondelez International Holdings Netherlands B.V.     
 1,350,000   0.750%, 9/24/20247,8   1,249,899 
 1,720,000   1.250%, 9/24/20263,7,8   1,497,217 
     Pernod Ricard S.A.     
 3,496,000   3.250%, 6/8/20263,7,8   3,315,442 

 21 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    CORPORATE (Continued)    
    CONSUMER, NON-CYCLICAL (Continued)    
    Roche Holdings, Inc.    
 1,000,000   4.860% (SOFR Rate+56 basis points), 3/10/20254,8  $995,356 
     Royalty Pharma PLC     
 2,665,000   1.200%, 9/2/20253,7   2,387,568 
 1,775,000   2.150%, 9/2/20313,7   1,346,584 
     Universal Health Services, Inc.     
 2,235,000   2.650%, 10/15/20303   1,783,954 
         35,849,586 
     ENERGY — 2.8%     
     Boardwalk Pipelines LP     
 2,367,000   4.450%, 7/15/20273   2,254,960 
     Buckeye Partners LP     
 1,450,000   3.950%, 12/1/20263   1,299,563 
     Cheniere Corpus Christi Holdings LLC     
 2,350,000   5.875%, 3/31/20253   2,365,891 
     DCP Midstream Operating LP     
 2,800,000   8.125%, 8/16/2030   3,118,511 
     Enbridge, Inc.     
 5,000,000   4.606% (SOFR Index+63 basis points), 2/16/20244,7   4,974,700 
     Energy Transfer LP     
 1,694,000   4.900%, 2/1/20243   1,685,101 
 2,985,000   4.750%, 1/15/20263   2,910,817 
     Kinder Morgan Energy Partners LP     
 5,000,000   4.250%, 9/1/20243   4,918,165 
     MPLX LP     
 2,005,000   1.750%, 3/1/20263   1,789,437 
         25,317,145 
     FINANCIAL — 1.5%     
     American Express Co.     
 1,115,000   4.144% (SOFR Index+23 basis points), 11/3/20234   1,109,823 
 2,000,000   3.625%, 12/5/20243   1,948,596 
 1,525,000   3.950%, 8/1/20253   1,495,455 
     Aon Global Ltd.     
 2,750,000   3.500%, 6/14/20243,7   2,685,523 
     Charles Schwab Corp.     
 2,750,000   4.479% (SOFR Index+52 basis points), 5/13/20263,4   2,669,807 
     Metropolitan Life Global Funding I     
 590,000   4.050%, 8/25/20258   577,436 

 22 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    CORPORATE (Continued)    
    FINANCIAL (Continued)    
    Simon Property Group LP    
 250,000   4.083% (SOFR Index+43 basis points), 1/11/20243,4  $247,712 
     VICI Properties LP / VICI Note Co., Inc.     
 2,915,000   3.500%, 2/15/20253,8   2,753,101 
         13,487,453 
     INDUSTRIAL — 2.4%     
     Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.     
 500,000   2.125%, 8/15/20263   449,059 
     BAE Systems Holdings, Inc.     
 1,000,000   3.800%, 10/7/20248   977,143 
     Brambles USA, Inc.     
 4,600,000   4.125%, 10/23/20253,8   4,427,307 
     Cellnex Finance Co., S.A.     
 1,100,000   1.000%, 9/15/20273   983,390 
     Cellnex Telecom S.A.     
 400,000   1.750%, 10/23/20303   333,198 
     Flex Ltd.     
 670,000   6.000%, 1/15/20283,7   669,744 
     Graphic Packaging International LLC     
 5,185,000   0.821%, 4/15/20243,8   4,855,182 
     L3Harris Technologies, Inc.     
 1,500,000   5.485% (3-Month USD Libor+75 basis points), 3/10/20234   1,500,614 
 1,201,000   3.950%, 5/28/20243   1,182,294 
     Penske Truck Leasing Co. Lp / PTL Finance Corp.     
 1,480,000   3.350%, 11/1/20293,8   1,249,232 
     Republic Services, Inc.     
 580,000   0.875%, 11/15/20253   520,065 
     Sealed Air Corp.     
 2,035,000   1.573%, 10/15/20263,8   1,759,850 
     Standard Industries, Inc.     
 1,250,000   2.250%, 11/21/20263   1,149,851 
     Waste Management, Inc.     
 1,685,000   3.125%, 3/1/20253   1,629,646 
         21,686,575 
     TECHNOLOGY — 4.1%     
     Cadence Design Systems, Inc.     
 2,720,000   4.375%, 10/15/20243   2,699,780 
     Dell International LLC / EMC Corp.     
 5,350,000   6.200%, 7/15/20303   5,452,142 

 23 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    CORPORATE (Continued)    
    TECHNOLOGY (Continued)    
    Entegris, Inc.    
 1,505,000   4.375%, 4/15/20283,8  $1,333,180 
     Fiserv, Inc.     
 825,000   3.800%, 10/1/20233   816,455 
 4,750,000   3.850%, 6/1/20253   4,606,118 
     Fortinet, Inc.     
 2,779,000   1.000%, 3/15/20263   2,435,791 
     Infor, Inc.     
 270,000   1.450%, 7/15/20233,8   263,739 
     Leidos, Inc.     
 1,557,000   3.625%, 5/15/20253   1,496,783 
 1,650,000   2.300%, 2/15/20313   1,267,753 
     Marvell Technology, Inc.     
 5,000,000   4.200%, 6/22/20233   4,972,040 
     Micron Technology, Inc.     
 3,035,000   2.703%, 4/15/20323   2,276,775 
     NXP B.V. / NXP Funding LLC     
 2,300,000   5.550%, 12/1/20283,7   2,301,872 
     Qorvo, Inc.     
 3,310,000   1.750%, 12/15/20243,8   3,052,647 
     VMware, Inc.     
 2,515,000   4.500%, 5/15/20253   2,468,513 
     Western Digital Corp.     
 1,075,000   4.750%, 2/15/20263   1,014,714 
         36,458,302 
     UTILITIES — 3.7%     
     AES Corp.     
 2,470,000   1.375%, 1/15/20263   2,195,986 
 1,585,000   2.450%, 1/15/20313   1,264,610 
     American Electric Power Co., Inc.     
 2,170,000   2.031%, 3/15/2024   2,093,295 
     Atlantica Sustainable Infrastructure PLC     
 555,000   4.125%, 6/15/20283,7,8   493,175 
     Atmos Energy Corp.     
 3,045,000   2.625%, 9/15/20293   2,648,849 
     Avangrid, Inc.     
 3,500,000   3.150%, 12/1/20243   3,347,736 
     CenterPoint Energy, Inc.     
 5,120,000   1.450%, 6/1/20263   4,546,340 

 24 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    CORPORATE (Continued)    
    UTILITIES (Continued)    
    DTE Energy Co.    
 1,405,000   4.220%, 11/1/202410  $1,382,054 
     Duke Energy Corp.     
 1,400,000   4.399% (SOFR Rate+25 basis points), 6/10/20234   1,396,207 
     Georgia Power Co.     
 2,412,000   2.200%, 9/15/20243   2,301,721 
     NextEra Energy Capital Holdings, Inc.     
 1,250,000   4.314% (SOFR Index+40 basis points), 11/3/20233,4   1,245,032 
 3,760,000   4.200%, 6/20/2024   3,712,605 
     NiSource, Inc.     
 2,000,000   0.950%, 8/15/20253   1,804,888 
     NRG Energy, Inc.     
 2,350,000   2.450%, 12/2/20273,8   1,950,749 
     Southern Co.     
 2,000,000   4.326% (SOFR Index+37 basis points), 5/10/20233,4   1,994,640 
     Southern Power Co.     
 250,000   0.900%, 1/15/20263   220,346 
         32,598,233 
     TOTAL CORPORATE     
     (Cost $256,971,618)   249,776,418 
     U.S. GOVERNMENT — 4.9%     
     United States Treasury Bill     
 9,000,000   3.792%, 1/19/2023   8,985,537 
 7,000,000   4.048%, 2/16/2023   6,965,231 
 9,000,000   4.079%, 3/2/2023   8,938,611 
 9,150,000   4.168%, 3/9/2023   9,079,984 
 9,500,000   4.202%, 3/14/2023   9,422,927 
     TOTAL U.S. GOVERNMENT     
     (Cost $43,385,366)   43,392,290 
     TOTAL BONDS     
     (Cost $843,738,626)   807,875,265 

 25 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Number of Shares      Value 
    SHORT-TERM INVESTMENTS — 1.2%    
    Fidelity Investments Money Market Funds - Treasury Portfolio - Class I,    
 10,901,696   4.07%11,12  $10,901,696 
     TOTAL SHORT-TERM INVESTMENTS     
     (Cost $10,901,696)   10,901,696 
     TOTAL INVESTMENTS — 98.5%     
     (Cost $912,810,430)   877,211,699 
     Other Assets in Excess of Liabilities — 1.5%     
         12,973,111 
     TOTAL NET ASSETS — 100.0%  $890,184,810 

 

Principal Amount        
    SECURITIES SOLD SHORT — (9.8)%    
    BONDS — (9.8)%    
    U.S. GOVERNMENT — (9.8)%    
    United States Treasury Note    
$(26,500,000)  0.750%, 5/31/2026   (23,638,822)
 (19,585,000)  3.250%, 6/30/2027   (18,943,905)
 (8,800,000)  4.125%, 10/31/2027   (8,833,000)
 (34,450,000)  1.375%, 10/31/2028   (29,740,030)
 (3,253,000)  1.875%, 2/15/2032   (2,760,603)
 (320,000)  2.875%, 5/15/2032   (295,000)
 (3,100,000)  4.125%, 11/15/2032   (3,164,179)
     TOTAL U.S. GOVERNMENT     
     (Proceeds $90,667,272)   (87,375,539)
     TOTAL BONDS     
     (Proceeds $90,667,272)   (87,375,539)
     TOTAL SECURITIES SOLD SHORT     
     (Proceeds $90,667,272)  $(87,375,539)

 

EUR – Euro

 

1Local currency.
2Bank loans generally pay interest at rates which are periodically determined by reference to a base lending rate plus a premium. All loans carry a variable rate of interest. These base lending rates are generally (i) the Prime Rate offered by one or more major United States banks, (ii) the lending rate offered by one or more European banks such as the London Interbank Offered Rate ("LIBOR"), (iii) the Certificate of Deposit rate, or (iv) Secured Overnight Financing Rate ("SOFR"). Bank Loans, while exempt from registration, under the Securities Act of 1933, contain certain restrictions on resale and cannot be sold publicly. Floating rate bank loans often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy.
3Callable.

 26 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

4Floating rate security.
5All or a portion of the loan is unfunded.
6Denotes investments purchased on a when-issued or delayed delivery basis.
7Foreign security denominated in U.S. Dollars.
8Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers. The total value of these securities is $485,208,046 which represents 54.51% of total net assets of the Fund.
9Variable rate security.
10Step rate security.
11All or a portion of this security is segregated as collateral for securities sold short. The market value of the securities pledged as collateral was $8,072,158, which represents 0.91% of total net assets of the Fund.
12The rate is the annualized seven-day yield at period end.

 

See accompanying Notes to Financial Statements. 

 27 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

FUTURES CONTRACTS

 

Number of Contracts Long (Short)  Description  Expiration  Date  Value at  
Trade Date		   Value at
 December 31, 2022		   Unrealized Appreciation (Depreciation) 
(50)  U.S. 5 Year Treasury Note  Mar 2023  $(5,505,078)  $(5,396,484)  $108,594 
(50)  U.S. 10 Year Treasury Note  Mar 2023   (5,675,781)   (5,614,844)   60,937 
TOTAL FUTURES CONTRACTS     $(11,180,859)  $(11,011,328)  $169,531 

 

See accompanying Notes to Financial Statements. 

 28 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS

 

Sale Contracts  Counterparty  Currency Exchange  Currency Amount Sold   Value At
Settlement Date		   Value At
December 31, 2022		   Unrealized Appreciation (Depreciation) 
Euro  JP Morgan  EUR per USD   (37,781,250)  $(38,727,847)  $(40,731,500)  $(2,003,653)
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS          $(38,727,847)  $(40,731,500)  $(2,003,653)

 

EUR – Euro

 

See accompanying Notes to Financial Statements. 

 29 

 

Palmer Square Income Plus Fund

SUMMARY OF INVESTMENTS

As of December 31, 2022(Unaudited)

 

 

 
Security Type/Sector		 Percent of Total
Net Assets
Bonds  
Asset-Backed Securities 50.9%
Corporate 28.0%
Commercial Mortgage-Backed Securities 6.9%
U.S. Government 4.9%
Total Bonds 90.7%
Bank Loans 6.6%
Short-Term Investments 1.2%
Total Investments 98.5%
Other Assets in Excess of Liabilities 1.5%
Total Net Assets 100.0%

 

See accompanying Notes to Financial Statements. 

 30 

 

Palmer Square Income Plus Fund

STATEMENT OF ASSETS AND LIABILITIES

As of December 31, 2022 (Unaudited)

 

 

Assets:    
Investments, at value (cost $912,810,430)  $877,211,699 
Foreign currency, at value (cost $2,691,830)   2,731,803 
Cash   86,757 
Cash held by broker for futures contracts   2,712,001 
Cash held by broker for securities sold short and swap contracts   95,069,357 
Segregated cash held by custodian for benefit of brokers for securities sold short and swap contracts   980,000 
Receivables:     
Variation margin on futures contracts   169,531 
Investment securities sold   3,181,114 
Fund shares sold   499,577 
Interest   7,821,914 
Prepaid expenses   39,758 
Total assets   990,503,511 
      
Liabilities:     
Securities sold short, at value (proceeds $90,667,272)   87,375,539 
Payables:     
Investment securities purchased   2,360,977 
Fund shares redeemed   7,344,742 
Unrealized depreciation on forward foreign currency exchange contracts   2,003,653 
Advisory fees   380,850 
Shareholder servicing fees (Note 6)   104,755 
Fund administration and accounting fees   148,241 
Transfer agent fees and expenses   4,280 
Custody fees   32,206 
Interest on securities sold short   521,623 
Auditing fees   16,272 
Trustees' deferred compensation (Note 3)   12,789 
Trustees' fees and expenses   1,186 
Chief Compliance Officer fees   454 
Accrued other expenses   11,134 
Total liabilities   100,318,701 
      
Net Assets  $890,184,810 
      
Components of Net Assets:     
Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized)  $940,961,183 
Total accumulated earnings (deficit)   (50,776,373)
Net Assets  $890,184,810 
      
Maximum Offering Price per Share:     
Net assets applicable to shares outstanding  $890,184,810 
Shares of beneficial interest issued and outstanding   92,373,837 
Offering and redemption price per share  $9.64 

 

See accompanying Notes to Financial Statements. 

 31 

 

Palmer Square Income Plus Fund

STATEMENT OF OPERATIONS

For the Six Months Ended December 31, 2022 (Unaudited)

 

 

Investment Income:    
Interest  $24,041,608 
Total investment income (loss)   24,041,608 
      
Expenses:     
Advisory fees   2,447,972 
Shareholder servicing fees (Note 6)   467,385 
Fund administration and accounting fees   368,920 
Transfer agent fees and expenses   17,973 
Custody fees   29,570 
Interest on securities sold short   890,951 
Commitment fees (Note 13)   65,283 
Brokerage expense   39,458 
Registration fees   35,422 
Shareholder reporting fees   17,975 
Auditing fees   16,272 
Miscellaneous   12,318 
Legal fees   9,744 
Trustees' fees and expenses   7,546 
Chief Compliance Officer fees   5,326 
Insurance fees   2,535 
Net expenses   4,434,650 
Net investment income (loss)   19,606,958 
      
Realized and Unrealized Gain (Loss):     
Net realized gain (loss) on:     
Investments   (7,476,952)
Futures contracts   182,554 
Securities sold short   2,758,714 
Swap contracts   2,182,445 
Foreign currency transactions   1,683,383 
Net realized gain (loss)   (669,856)
Net change in unrealized appreciation (depreciation) on:     
Investments   913,007 
Futures contracts   449,315 
Securities sold short   1,844,483 
Forward contracts   (2,666,164)
Swap contracts   2,215,769 
Foreign currency transactions   41,639 
Net change in unrealized appreciation (depreciation)   2,798,049 
Net realized and unrealized gain (loss)   2,128,193 
      
Net Increase (Decrease) in Net Assets from Operations  $21,735,151 

 

See accompanying Notes to Financial Statements. 

 32 

 

Palmer Square Income Plus Fund

STATEMENTS OF CHANGES IN NET ASSETS

 

 

   For the Six Months Ended
December 31, 2022
(Unaudited)		   For the Year Ended June 30, 2022 
Increase (Decrease) in Net Assets from:        
Operations:        
Net investment income (loss)  $19,606,958   $13,400,198 
Net realized gain (loss) on investments, futures contracts, purchased option contracts, securities sold short, swap contracts, and foreign currency   (669,856)   642,969 
Net change in unrealized appreciation (depreciation) on investments, futures contracts, purchased options contracts, securities sold short, swap contract, forward contracts, and foreign currency   2,798,049    (42,638,984)
Net increase (decrease) in net assets resulting from operations   21,735,151    (28,595,817)
           
Distributions to Shareholders:          
Distributions   (24,042,223)   (12,171,104)
Return of Capital   -    (430,037)
Total distributions to shareholders   (24,042,223)   (12,601,141)
           
Capital Transactions:          
Net proceeds from shares sold   151,298,176    539,751,063 
Reinvestment of distributions   20,196,806    11,232,107 
Cost of shares redeemed   (304,288,469)   (340,744,720)
Net increase (decrease) in net assets from capital transactions   (132,793,487)   210,238,450 
           
Total increase (decrease) in net assets   (135,100,559)   169,041,492 
           
Net Assets:          
Beginning of period   1,025,285,369    856,243,877 
End of period  $890,184,810   $1,025,285,369 
           
Capital Share Transactions:          
Shares sold   15,604,677    54,064,445 
Shares reinvested   2,097,179    1,133,352 
Shares redeemed   (31,351,461)   (34,248,022)
Net increase (decrease) in capital share transactions   (13,649,605)   20,949,775 

 

See accompanying Notes to Financial Statements.

 

 33 

 

Palmer Square Income Plus Fund

FINANCIAL HIGHLIGHTS

 

 

Per share operating performance.

For a capital share outstanding throughout each period.                          

 

   For the Six Months Ended
December 31, 2022		   For the Year Ended June 30,   For the Period February 1, 2019
through
June 30,		   For the Year Ended
January 31,		 
   (Unaudited)   2022   2021   2020   2019*   2019   2018 
Net asset value, beginning of period  $9.67   $10.06   $9.75   $9.87   $9.83   $9.90   $9.81 
Income from Investment Operations:                                   
Net investment income (loss)1,2   0.19    0.14    0.16    0.28    0.14    0.29    0.27 
Net realized and unrealized gain (loss)   0.03    (0.40)   0.30    (0.13)   0.06    (0.08)   0.07 
Total from investment operations   0.22    (0.26)   0.46    0.15    0.20    0.21    0.34 
                                    
Less Distributions:                                   
From net investment income   (0.25)   (0.13)   (0.15)   (0.27)   (0.16)   (0.28)   (0.25)
From return of capital   -    -3   -    -    -    -    - 
Total distributions   (0.25)   (0.13)   (0.15)   (0.27)   (0.16)   (0.28)   (0.25)
                                    
Redemption fee proceeds1   -    -    -    -    -    -    -3
Net asset value, end of period  $9.64   $9.67   $10.06   $9.75   $9.87   $9.83   $9.90 
                                    
Total return4   2.24%7   (2.63)%   4.75%   1.64%   2.01%7   2.11%   3.50%
                                    
Ratios and Supplemental Data:                                   
Net assets, end of period (in thousands)  $890,185   $1,025,285   $856,244   $625,347   $582,734   $544,830   $458,328 
                                    
Ratio of expenses to average net assets (including brokerage expense, commitment fees and interest on securities sold short):                                   
Before fees waived and expenses absorbed/recovered5,6   0.89%8   0.75%   0.90%   0.82%   0.77%8   0.80%   0.81%
After fees waived and expenses absorbed/recovered5,6   0.89%8   0.75%   0.94%   0.85%   0.77%8   0.77%   0.76%
                                    
Ratio of net investment income (loss) to average net assets (including brokerage expense, commitment fees and interest on securities sold short):                                   
Before fees waived and expenses absorbed/recovered2   3.92%8   1.39%   1.64%   2.86%   3.44%8   2.89%   2.65%
After fees waived and expenses absorbed/recovered2   3.92%8   1.39%   1.60%   2.83%   3.44%8   2.92%   2.70%
                                    
Portfolio turnover rate   62%7   111%   167%   147%   45%7   214%   361%

 

*Fiscal year end changed to June 30 effective February 1, 2019.
1Based on average shares outstanding for the period.
2Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. The ratio does not include net investment income of the investment companies in which the Fund invests.
3Amount represents less than $0.01 per share.
4Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
5Does not include expenses of the investment companies in which the Fund invests.
6If brokerage expense, commitment fees, and interest on securities sold short had been excluded, the expense ratios would have been lowered by 0.20% for the six months ended December 31, 2022, 0.06%, 0.20%, and 0.10% for the fiscal years ended June 30, 2022, 2021, and 2020, respectively, 0.02% for the period ended June 30, 2019, 0.02% and 0.01% for the fiscal years ended January 31, 2019 and 2018, respectively.
7Not annualized.
8Annualized.

 

See accompanying Notes to Financial Statements. 

 34 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

SCHEDULE OF INVESTMENTS

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BANK LOANS — 3.4%    
    Berry Global, Inc.    
 246,367   6.024% (1-Month USD Libor+175 basis points), 7/1/20262,3,4  $244,855 
     Buckeye Partners LP     
 250,000   2.250% (1-Month USD Libor+225 basis points), 11/1/20262,3,4   248,920 
     Citadel Securities LP     
 249,367   6.701% (1-Month USD Libor+250 basis points), 2/2/20282,3,4   245,253 
     Flutter Financing B.V.     
 249,375   6.781% (1-Month Term SOFR+325 basis points), 7/4/20283,4,5   248,648 
     Hilton Worldwide Finance LLC     
 250,000   6.173% (1-Month USD Libor+175 basis points), 6/21/20262,3,4   249,516 
     SkyMiles IP Ltd.     
 250,000   7.993% (3-Month USD Libor+375 basis points), 10/20/20273,4,5   255,298 
     Trans Union LLC     
 248,539   4.274% (1-Month USD Libor+175 basis points), 11/15/20262,3,4   245,455 
     Vistra Operations Co. LLC     
 245,140   0.000% (1-Month USD Libor+175 basis points), 12/31/20252,3,4   243,371 
     TOTAL BANK LOANS     
     (Cost $1,975,524)   1,981,316 
     BONDS — 95.9%     
     ASSET-BACKED SECURITIES — 51.4%     
     Ally Auto Receivables Trust     
 342,088   Series 2022-1, Class A2, 2.670%, 4/15/20253   339,101 
     Ammc CLO 20 Ltd.     
     Series 2017-20A, Class DR, 7.229% (3-Month USD Libor+315 basis points),     
 500,000   4/17/20293,4,6   484,027 
     Ares CLO Ltd.     
     Series 2017-42A, Class AR, 5.245% (3-Month USD Libor+92 basis points),     
 365,515   1/22/20283,4,6   362,051 
     Ares XL CLO Ltd.     
     Series 2016-40A, Class A1RR, 4.949% (3-Month USD Libor+87 basis points),     
 1,096,311   1/15/20293,4,6   1,084,187 
     Atrium XII     
     Series 12A, Class AR, 5.155% (3-Month USD Libor+83 basis points),     
 1,045,610   4/22/20273,4,6   1,035,051 
     Barings CLO Ltd.     
     Series 2013-IA, Class AR, 5.043% (3-Month USD Libor+80 basis points),     
 493,787   1/20/20283,4,6   491,649 
     Series 2013-IA, Class BR, 5.493% (3-Month USD Libor+125 basis points),     
 1,500,000   1/20/20283,4,6   1,468,862 
     Capital One Prime Auto Receivables Trust     
 67,127   Series 2019-2, Class A3, 1.920%, 5/15/20243   67,002 
     CarMax Auto Owner Trust     
 147,540   Series 2019-3, Class A3, 2.180%, 8/15/20243   146,961 

 35 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
 299,558   Series 2019-4, Class A3, 2.020%, 11/15/20243  $296,867 
 321,817   Series 2022-2, Class A2A, 2.810%, 5/15/20253   318,694 
 489,763   Series 2021-1, Class A3, 0.340%, 12/15/20253   473,551 
 341,949   Series 2021-2, Class A3, 0.520%, 2/17/20263   329,149 
     CIFC Funding Ltd.     
     Series 2015-3A, Class AR, 5.097% (3-Month USD Libor+87 basis points),     
 482,661   4/19/20293,4,6   474,387 
     Series 2013-3RA, Class A1, 5.305% (3-Month USD Libor+98 basis points),     
 500,000   4/24/20313,4,6   492,965 
     COLT Mortgage Loan Trust     
 425,834   Series 2021-4, Class A1, 1.397%, 10/25/20663,6,7   347,817 
     Daimler Trucks Retail Trust     
 300,000   Series 2022-1, Class A2, 5.070%, 9/16/20243   299,802 
     DLLST LLC     
 4,087   Series 2022-1A, Class A1, 1.560%, 5/22/20233,6   4,080 
 200,000   Series 2022-1A, Class A2, 2.790%, 1/22/20243,6   198,323 
     Ellington Financial Mortgage Trust     
 324,132   Series 2021-2, Class A1, 0.931%, 6/25/20663,6,7   250,912 
 302,657   Series 2021-3, Class A1, 1.241%, 9/25/20663,6,7   242,836 
     Flatiron CLO 17 Ltd.     
     Series 2017-1A, Class AR, 5.586% (3-Month USD Libor+98 basis points),     
 590,151   5/15/20303,4,6   581,681 
     Ford Credit Auto Owner Trust     
 19,216   Series 2019-C, Class A3, 1.870%, 3/15/20243   19,190 
     Galaxy CLO Ltd.     
     Series 2017-23A, Class AR, 5.195% (3-Month USD Libor+87 basis points),     
 465,397   4/24/20293,4,6   458,765 
     GM Financial Automobile Leasing Trust     
 215,524   Series 2021-2, Class A3, 0.340%, 5/20/20243   212,631 
 226,495   Series 2020-2, Class B, 1.560%, 7/22/20243   226,109 
 500,000   Series 2021-3, Class A3, 0.390%, 10/21/20243   485,861 
     GM Financial Consumer Automobile Receivables Trust     
 359,272   Series 2021-4, Class A2, 0.280%, 11/18/20243   355,443 
 300,529   Series 2020-4, Class A3, 0.380%, 8/18/20253   292,225 
     Grippen Park CLO Ltd.     
     Series 2017-1A, Class A, 5.503% (3-Month USD Libor+126 basis points),     
 454,336   1/20/20303,4,6   449,673 
     Highbridge Loan Management Ltd.     
     Series 7A-2015, Class CR, 6.306% (3-Month USD Libor+170 basis points),     
 650,000   3/15/20273,4,6   628,098 

 36 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
    Honda Auto Receivables Owner Trust    
 259,665   Series 2020-2, Class A3, 0.820%, 7/15/20243  $255,878 
     Honda Auto Receivables 2020-2 Owner Trust     
 550,000   Series 2020-2, Class A4, 1.090%, 10/15/20263   532,705 
     HPEFS Equipment Trust     
 43,132   Series 2021-2A, Class A2, 0.300%, 9/20/20283,6   42,947 
     Hyundai Auto Lease Securitization Trust     
 725,000   Series 2021-B, Class A3, 0.330%, 6/17/20243,6   714,013 
 299,501   Series 2022-B, Class A2A, 2.750%, 10/15/20243,6   295,637 
 700,000   Series 2022-A, Class A3, 1.160%, 1/15/20253,6   675,740 
 450,000   Series 2022-C, Class A2A, 4.340%, 1/15/20253,6   446,630 
     Hyundai Auto Receivables Trust     
 112,931   Series 2021-B, Class A2, 0.240%, 5/15/20243   112,466 
     Madison Park Funding Ltd.     
     Series 2013-11A, Class AR2, 5.225% (3-Month USD Libor+90 basis points),     
 242,246   7/23/20293,4,6   237,718 
     Series 2019-33A, Class AR, 5.154% (3-Month Term SOFR+129 basis points),     
 500,000   10/15/20323,4,6   494,204 
     Mariner CLO LLC     
     Series 2016-3A, Class BR2, 5.825% (3-Month USD Libor+150 basis points),     
 250,000   7/23/20293,4,6   243,251 
     Mercedes-Benz Auto Receivables Trust     
 274,705   Series 2019-1, Class A4, 2.040%, 1/15/20263   271,462 
     MMAF Equipment Finance LLC     
 148,882   Series 2020-A, Class A2, 0.740%, 4/9/20243,6   147,332 
 350,000   Series 2022-A, Class A2, 2.770%, 2/13/20253,6   343,651 
     Newark BSL CLO Ltd.     
     Series 2016-1A, Class A1R, 5.458% (3-Month USD Libor+110 basis points),     
 480,813   12/21/20293,4,6   475,195 
     Nissan Auto Receivables Owner Trust     
 76,796   Series 2019-C, Class A3, 1.930%, 7/15/20243   76,525 
 339,394   Series 2020-A, Class A3, 1.380%, 12/16/20243   334,824 
 375,000   Series 2019-C, Class A4, 1.950%, 5/15/20263   366,544 
     OCP CLO Ltd.     
     Series 2014-7A, Class A1RR, 5.363% (3-Month USD Libor+112 basis points),     
 1,641,681   7/20/20293,4,6   1,626,713 
     Onslow Bay Mortgage Loan Trust     
 313,374   Series 2021-NQM4, Class A1, 1.957%, 10/25/20613,6,7   250,778 
     Rad CLO 3 Ltd.     
     Series 2019-3A, Class A, 5.559% (3-Month USD Libor+148 basis points),     
 500,000   4/15/20323,4,6   496,612 

 37 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
    Regatta Funding LP    
     Series 2013-2A, Class CR2, 7.779% (3-Month USD Libor+370 basis points),     
 500,000   1/15/20293,4,6  $475,470 
     Starwood Mortgage Residential Trust     
 235,391   Series 2021-5, Class A1, 1.920%, 9/25/20663,6,7   190,707 
 281,709   Series 2022-1, Class A1, 2.447%, 12/25/20663,6,7   237,147 
     Stratus CLO Ltd.     
     Series 2021-3A, Class A, 5.193% (3-Month USD Libor+95 basis points),     
 226,300   12/29/20293,4,6   223,329 
     Series 2021-1A, Class C, 5.993% (3-Month USD Libor+175 basis points),     
 625,000   12/29/20293,4,6   579,582 
     Symphony CLO XIV Ltd.     
     Series 2014-14A, Class CR, 6.111% (3-Month USD Libor+210 basis points),     
 1,000,000   7/14/20263,4,6   1,001,566 
     Series 2014-14A, Class DR, 7.111% (3-Month USD Libor+310 basis points),     
 500,000   7/14/20263,4,6   496,161 
     Symphony CLO XVII Ltd.     
     Series 2016-17A, Class DR, 6.729% (3-Month USD Libor+265 basis points),     
 500,000   4/15/20283,4,6   482,622 
     TICP CLO II-2 Ltd.     
     Series 2018-IIA, Class A1, 5.083% (3-Month USD Libor+84 basis points),     
 774,706   4/20/20283,4,6   772,443 
     Series 2018-IIA, Class A2, 5.493% (3-Month USD Libor+125 basis points),     
 1,000,000   4/20/20283,4,6   983,529 
     Toyota Auto Receivables Owner Trust     
 518,000   Series 2021-B, Class A3, 0.260%, 11/17/20253   498,204 
     Voya CLO Ltd.     
     Series 2015-1A, Class A1R, 5.094% (3-Month USD Libor+90 basis points),     
 247,757   1/18/20293,4,6   245,201 
     Series 2017-1A, Class A1R, 5.029% (3-Month USD Libor+95 basis points),     
 708,892   4/17/20303,4,6   700,116 
     World Omni Auto Receivables Trust     
 130,171   Series 2020-A, Class A3, 1.100%, 4/15/20253   128,735 
 329,722   Series 2020-B, Class A3, 0.630%, 5/15/20253   324,065 
     World Omni Automobile Lease Securitization Trust     
 700,000   Series 2021-A, Class A3, 0.420%, 8/15/20243   679,427 
     World Omni Select Auto Trust     
 500,000   Series 2021-A, Class A3, 0.530%, 3/15/20273   483,177 
     World Omni Select Auto Trust     
 78,113   Series 2021-A, Class A2, 0.290%, 2/18/20253   77,958 

 38 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
    York CLO 1 Ltd.    
     Series 2014-1A, Class BRR, 5.975% (3-Month USD Libor+165 basis points),     
 460,000   10/22/20293,4,6  $447,780 
     TOTAL ASSET-BACKED SECURITIES     
     (Cost $30,969,413)   30,385,994 
     COMMERCIAL MORTGAGE-BACKED SECURITIES — 1.6%     
     Citigroup Commercial Mortgage Trust     
     Series 2018-TBR, Class A, 5.273% (1-Month USD Libor+83 basis points),     
 300,000   12/15/20363,4,6   294,080 
     COLT Mortgage Loan Trust     
 22,503   Series 2020-2, Class A1, 1.853%, 3/25/20653,6,7   22,050 
     GS Mortgage Securities Corp. II     
 750,000   Series 2012-BWTR, Class A, 2.954%, 11/5/20343,6   657,337 
     TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES     
     (Cost $1,084,190)   973,467 
     CORPORATE — 24.3%     
     BASIC MATERIALS — 1.0%     
     DuPont de Nemours, Inc.     
 225,000   5.716% (3-Month USD Libor+111 basis points), 11/15/20234   225,994 
     Georgia-Pacific LLC     
 190,000   0.625%, 5/15/20246   178,565 
     Sherwin-Williams Co.     
 220,000   4.250%, 8/8/2025   216,383 
         620,942 
     COMMUNICATIONS — 2.2%     
     Amazon.com, Inc.     
 150,000   2.400%, 2/22/20233   149,521 
     AT&T, Inc.     
 375,000   5.915% (3-Month USD Libor+118 basis points), 6/12/20244   377,764 
     Comcast Corp.     
 220,000   5.250%, 11/7/2025   223,126 
     eBay, Inc.     
 225,000   1.900%, 3/11/20253   210,770 
     Fox Corp.     
 225,000   4.030%, 1/25/20243   222,486 
     Verizon Communications, Inc.     
 125,000   5.097% (SOFR Index+79 basis points), 3/20/20264   121,929 
         1,305,596 

 39 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    CORPORATE (Continued)    
    CONSUMER, CYCLICAL — 3.8%    
     7-Eleven, Inc.     
 125,000   0.800%, 2/10/20243,6  $119,006 
     American Honda Finance Corp.     
 225,000   0.750%, 8/9/2024   210,480 
     BMW U.S. Capital LLC     
 140,000   4.339% (SOFR Index+38 basis points), 8/12/20244,6   138,683 
     Daimler Trucks Finance North America LLC     
 250,000   5.300% (SOFR Rate+100 basis points), 4/5/20244,6   249,146 
     General Motors Financial Co., Inc.     
 100,000   1.700%, 8/18/2023   97,731 
     Hyundai Capital America     
 225,000   1.250%, 9/18/20236   218,125 
     Lowe's Cos., Inc.     
 225,000   4.000%, 4/15/20253   220,816 
 20,000   4.400%, 9/8/2025   19,722 
     McDonald's Corp.     
 170,000   3.375%, 5/26/20253   164,601 
     Mercedes-Benz Finance North America LLC     
 200,000   3.650%, 2/22/20246   196,656 
     PACCAR Financial Corp.     
 150,000   2.650%, 4/6/2023   149,307 
     Starbucks Corp.     
 15,000   4.379% (SOFR Index+42 basis points), 2/14/20243,4   14,917 
     Toyota Motor Credit Corp.     
 225,000   3.950%, 6/30/2025   220,481 
     Volkswagen Group of America Finance LLC     
 220,000   0.875%, 11/22/20236   211,691 
         2,231,362 
     CONSUMER, NON-CYCLICAL — 6.9%     
     AbbVie, Inc.     
 235,000   2.600%, 11/21/20243   224,984 
     Baxter International, Inc.     
 220,000   4.467% (SOFR Index+44 basis points), 11/29/20244   215,902 
     Biogen, Inc.     
 255,000   4.050%, 9/15/20253   248,141 
     Cardinal Health, Inc.     
 275,000   3.200%, 3/15/2023   274,244 
     Cigna Corp.     
 225,000   3.250%, 4/15/20253   216,867 
     Constellation Brands, Inc.     
 225,000   3.600%, 5/9/2024   220,677 

 40 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    CORPORATE (Continued)    
    CONSUMER, NON-CYCLICAL (Continued)    
     Diageo Capital PLC     
 150,000   2.125%, 10/24/20243,5  $142,390 
     GSK Consumer Healthcare Capital UK PLC     
 275,000   3.125%, 3/24/20255   261,753 
     Humana, Inc.     
 250,000   4.500%, 4/1/20253   247,187 
     McCormick & Co., Inc.     
 225,000   3.150%, 8/15/20243   217,963 
     McKesson Corp.     
 250,000   2.850%, 3/15/20233   249,064 
     Mondelez International Holdings Netherlands B.V.     
 250,000   0.750%, 9/24/20245,6   231,463 
     Moody's Corp.     
 225,000   3.750%, 3/24/20253   218,952 
     PayPal Holdings, Inc.     
 175,000   1.650%, 6/1/20253   162,619 
     Pfizer, Inc.     
 225,000   3.400%, 5/15/2024   220,695 
     Stryker Corp.     
 275,000   3.500%, 3/15/20263   264,272 
     Sysco Corp.     
 250,000   3.750%, 10/1/20253   242,173 
     Thermo Fisher Scientific, Inc.     
 200,000   4.064% (SOFR Index+35 basis points), 4/18/20233,4   199,560 
         4,058,906 
     ENERGY — 1.6%     
     Enbridge, Inc.     
 300,000   4.606% (SOFR Index+63 basis points), 2/16/20244,5   298,482 
     Energy Transfer LP     
 250,000   4.200%, 9/15/20233   248,501 
     Enterprise Products Operating LLC     
 225,000   3.900%, 2/15/20243   221,643 
     Kinder Morgan Energy Partners LP     
 150,000   3.450%, 2/15/20233   149,683 
         918,309 
     FINANCIAL — 1.4%     
     American Express Co.     
 35,000   4.144% (SOFR Index+23 basis points), 11/3/20234   34,837 
 225,000   3.625%, 12/5/20243   219,217 

 41 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    CORPORATE (Continued)    
    FINANCIAL (Continued)    
     Aon Global Ltd.     
 250,000   3.500%, 6/14/20243,5  $244,138 
     Charles Schwab Corp.     
 100,000   4.479% (SOFR Index+52 basis points), 5/13/20263,4   97,084 
     Intercontinental Exchange, Inc.     
 225,000   3.650%, 5/23/20253   220,363 
     Simon Property Group LP     
 15,000   4.083% (SOFR Index+43 basis points), 1/11/20243,4   14,863 
         830,502 
     INDUSTRIAL — 1.7%     
     3M Co.     
 150,000   2.250%, 3/15/20233   149,181 
     Caterpillar Financial Services Corp.     
 250,000   4.435% (SOFR Rate+27 basis points), 9/13/20244   248,398 
     Parker-Hannifin Corp.     
 150,000   2.700%, 6/14/20243   144,528 
     Union Pacific Corp.     
 150,000   2.950%, 1/15/20233   149,897 
     Waste Management, Inc.     
 110,000   3.125%, 3/1/20253   106,386 
     WRKCo, Inc.     
 225,000   3.750%, 3/15/20253   217,800 
         1,016,190 
     TECHNOLOGY — 3.1%     
     Apple, Inc.     
 275,000   3.250%, 2/23/20263   264,508 
     Fidelity National Information Services, Inc.     
 220,000   0.600%, 3/1/2024   208,266 
     Fiserv, Inc.     
 250,000   3.800%, 10/1/20233   247,411 
     Hewlett Packard Enterprise Co.     
 62,000   4.450%, 10/2/20233   61,651 
 225,000   1.450%, 4/1/20243   214,832 
     International Business Machines Corp.     
 225,000   3.000%, 5/15/2024   218,939 
     Marvell Technology, Inc.     
 200,000   4.200%, 6/22/20233   198,882 
     Microsoft Corp.     
 150,000   2.375%, 5/1/20233   148,949 

 42 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
    CORPORATE (Continued)    
    TECHNOLOGY (Continued)    
     NVIDIA Corp.     
 275,000   0.309%, 6/15/20233  $269,576 
         1,833,014 
     UTILITIES — 2.6%     
     American Electric Power Co., Inc.     
 230,000   2.031%, 3/15/2024   221,870 
     Avangrid, Inc.     
 150,000   3.150%, 12/1/20243   143,474 
     Dominion Energy, Inc.     
 280,000   3.300%, 3/15/20253   268,922 
     DTE Energy Co.     
 40,000   4.220%, 11/1/20248   39,347 
     Duke Energy Corp.     
 150,000   4.399% (SOFR Rate+25 basis points), 6/10/20234   149,594 
     Eversource Energy     
 225,000   0.800%, 8/15/20253   201,829 
     NextEra Energy Capital Holdings, Inc.     
 300,000   4.314% (SOFR Index+40 basis points), 11/3/20233,4   298,808 
     NiSource, Inc.     
 250,000   0.950%, 8/15/20253   225,611 
         1,549,455 
     TOTAL CORPORATE     
     (Cost $14,566,097)   14,364,276 
     RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.2%     
     Onslow Bay Mortgage Loan Trust     
 193,590   Series 2021-NQM2, Class A1, 1.101%, 5/25/20613,6,7   148,322 
     TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES     
     (Cost $193,590)   148,322 
     U.S. GOVERNMENT — 18.4%     
     United States Treasury Bill     
 500,000   2.596%, 1/3/2023   500,000 
 500,000   3.537%, 1/10/2023   499,649 
 500,000   3.606%, 1/12/2023   499,566 
 1,250,000   3.792%, 1/19/2023   1,247,991 
 1,250,000   4.813%, 1/26/2023   1,246,905 
 1,350,000   3.884%, 2/2/2023   1,345,722 
 1,000,000   3.882%, 2/9/2023   996,016 
 1,000,000   4.048%, 2/16/2023   995,033 

 43 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

Principal Amount1      Value 
    BONDS (Continued)    
     U.S. GOVERNMENT (Continued)     
 1,200,000   4.079%, 3/2/2023  $1,191,815 
 1,200,000   4.226%, 3/21/2023   1,189,164 
 1,200,000   4.252%, 3/28/2023   1,188,233 
     TOTAL U.S. GOVERNMENT     
     (Cost $10,896,944)   10,900,094 
     TOTAL BONDS     
     (Cost $57,710,234)   56,772,153 

 

Number of Shares        
    SHORT-TERM INVESTMENTS — 0.9%    
     Fidelity Investments Money Market Funds - Treasury Portfolio - Class I,     
 534,402   4.07%9,10  $534,402 
     TOTAL SHORT-TERM INVESTMENTS     
     (Cost $534,402)   534,402 
     TOTAL INVESTMENTS — 100.2%     
     (Cost $60,220,160)   59,287,871 
     Liabilities in Excess of Other Assets — (0.2)%     
         (116,923)
     TOTAL NET ASSETS — 100.0%  $59,170,948 

 

Principal Amount        
    SECURITIES SOLD SHORT — (1.4)%    
    BONDS — (1.4)%    
    U.S. GOVERNMENT — (1.4)%    
     United States Treasury Note     
$(575,000)  3.250%, 6/30/2027   (556,178)
 (300,000)  4.125%, 10/31/2027   (301,125)
     TOTAL U.S. GOVERNMENT     
     (Proceeds $863,794)   (857,303)
     TOTAL BONDS     
     (Proceeds $863,794)   (857,303)
     TOTAL SECURITIES SOLD SHORT     
     (Proceeds $863,794)  $(857,303)

 

1Local currency.

 44 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

SCHEDULE OF INVESTMENTS - Continued

As of December 31, 2022 (Unaudited)

 

 

2Bank loans generally pay interest at rates which are periodically determined by reference to a base lending rate plus a premium. All loans carry a variable rate of interest. These base lending rates are generally (i) the Prime Rate offered by one or more major United States banks, (ii) the lending rate offered by one or more European banks such as the London Interbank Offered Rate ("LIBOR"), (iii) the Certificate of Deposit rate, or (iv) Secured Overnight Financing Rate ("SOFR"). Bank Loans, while exempt from registration, under the Securities Act of 1933, contain certain restrictions on resale and cannot be sold publicly. Floating rate bank loans often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy.
3Callable.
4Floating rate security.
5Foreign security denominated in U.S. Dollars.
6Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers. The total value of these securities is $25,046,562 which represents 42.33% of total net assets of the Fund.
7Variable rate security.
8Step rate security.
9All or a portion of this security is segregated as collateral for securities sold short. The market value of the securities pledged as collateral was $510,305, which represents 0.86% of total net assets of the Fund.
10The rate is the annualized seven-day yield at period end.

 

See accompanying Notes to Financial Statements. 

 45 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

SUMMARY OF INVESTMENTS

As of December 31, 2022(Unaudited)

 

 

Security Type/Sector  Percent of Total Net Assets 
Bonds     
Asset-Backed Securities   51.4%
Corporate   24.3%
U.S. Government   18.4%
Commercial Mortgage-Backed Securities   1.6%
Residential Mortgage-Backed Securities   0.2%
Total Bonds   95.9%
Bank Loans   3.4%
Short-Term Investments   0.9%
Total Investments   100.2%
Liabilities in Excess of Other Assets   (0.2)%
Total Net Assets   100.0%

 

See accompanying Notes to Financial Statements. 

 46 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

STATEMENT OF ASSETS AND LIABILITIES

As of December 31, 2022 (Unaudited)

 

 

Assets:    
Investments, at value (cost $60,220,160)  $59,287,871 
Cash held at broker for futures contracts   30,605 
Cash held at broker for securities sold short   1,010,028 
Receivables:     
Fund shares sold   4,990 
Interest   328,087 
Prepaid expenses   16,864 
Total assets   60,678,445 
      
Liabilities:     
Securities sold short, at value (proceeds $863,794)   857,303 
Payables:     
Investment securities purchased   501,250 
Fund shares redeemed   71,158 
Advisory fees   3,427 
Shareholder servicing fees (Note 6)   6,965 
Fund administration and accounting fees   20,663 
Transfer agent fees and expenses   2,383 
Custody fees   5,961 
Auditing fees   12,220 
Interest on securities sold short   11,515 
Trustees' deferred compensation (Note 3)   7,622 
Trustees' fees and expenses   1,668 
Commitment fees (Note 13)   779 
Chief Compliance Officer fees   157 
Accrued other expenses   4,426 
Total liabilities   1,507,497 
      
Net Assets  $59,170,948 
      
Components of Net Assets:     
Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized)  $60,297,234 
Total accumulated earnings (deficit)   (1,126,286)
Net Assets  $59,170,948 
      
Maximum Offering Price per Share:     
Net assets applicable to shares outstanding  $59,170,948 
Shares of beneficial interest issued and outstanding   3,017,119 
Offering and redemption price per share  $19.61 

 

See accompanying Notes to Financial Statements. 

 47 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

STATEMENT OF OPERATIONS

For the Six Months Ended December 31, 2022 (Unaudited)

 

 

Investment Income:    
Interest  $806,354 
Total investment income (loss)   806,354 
      
Expenses:     
Advisory fees   60,328 
Shareholder servicing fees (Note 6)   17,370 
Fund administration and accounting fees   44,474 
Transfer agent fees and expenses   10,652 
Custody fees   6,418 
Registration fees   14,108 
Auditing fees   12,220 
Legal fees   8,539 
Chief Compliance Officer fees   4,826 
Shareholder reporting fees   4,790 
Trustees' fees and expenses   3,025 
Miscellaneous   2,987 
Insurance fees   1,777 
Commitment fees (Note 13)   520 
Interest on securities sold short   7,206 
Total expenses   199,240 
Advisory fees (waived) recovered   (60,328)
Other expenses absorbed   (10,529)
Net expenses   128,383 
Net investment income (loss)   677,971 
      
Realized and Unrealized Gain (Loss):     
Net realized gain (loss) on:     
Investments   (43,542)
Securities sold short   45,459 
Futures contracts   (588)
Net realized gain (loss)   1,329 
Net change in unrealized appreciation (depreciation) on:     
Investments   (151,516)
Securities sold short   (3,829)
Futures contracts   4,575 
Net change in unrealized appreciation (depreciation)   (150,770)
Net realized and unrealized gain (loss)   (149,441)
      
Net Increase (Decrease) in Net Assets from Operations  $528,530 

 

See accompanying Notes to Financial Statements. 

 48 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

STATEMENTS OF CHANGES IN NET ASSETS

 

 

   For the Six Months Ended
December 31, 2022
(Unaudited)		   For the Year Ended June 30, 2022 
Increase (Decrease) in Net Assets from:        
Operations:        
Net investment income (loss)  $677,971   $296,825 
Net realized gain (loss) on investments and securities sold short   1,329    (15,746)
Net change in unrealized appreciation (depreciation) on investments and securities sold short   (150,770)   (912,106)
Net increase (decrease) in net assets resulting from operations   528,530    (631,027)
           
Distributions to Shareholders:          
Distributions   (664,701)   (344,880)
Total distributions to shareholders   (664,701)   (344,880)
           
Capital Transactions:          
Net proceeds from shares sold   30,762,849    34,203,815 
Reinvestment of distributions   478,617    294,845 
Cost of shares redeemed   (14,707,005)   (62,112,515)
Net increase (decrease) in net assets from capital transactions   16,534,461    (27,613,855)
           
Total increase (decrease) in net assets   16,398,290    (28,589,762)
           
Net Assets:          
Beginning of period   42,772,658    71,362,420 
End of period  $59,170,948   $42,772,658 
           
Capital Share Transactions:          
Shares sold   1,566,199    1,710,166 
Shares reinvested   24,423    14,835 
Shares redeemed   (746,958)   (3,108,361)
Net increase (decrease) in capital share transactions   843,664    (1,383,360)

 

See accompanying Notes to Financial Statements. 

 49 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

FINANCIAL HIGHLIGHTS

 

 

Per share operating performance.

For a capital share outstanding throughout each period.

 

    For the Six Months Ended
December 31, 2022		     For the Year Ended June 30,     For the Period August 1, 2018 through
June 30,		     For the Year Ended     For the Period October 7, 2016* through  
    (Unaudited)     2022     2021     2020     2019**     July 31, 2018     July 31, 2017  
Net asset value, beginning of period   $ 19.68     $ 20.06     $ 20.01     $ 20.05     $ 20.02     $ 20.03       20.00  
Income from Investment Operations:                                                        
Net investment income (loss)1     0.28       0.10       0.12       0.39       0.46       0.35       0.23  
Net realized and unrealized gain (loss)     (0.10 )     (0.35 )     0.05       (0.01 )     0.06       (0.02 )     0.01  
Total from investment operations     0.18       (0.25 )     0.17       0.38       0.52       0.33       0.24  
Less Distributions:                                                        
From net investment income     (0.25 )     (0.13 )     (0.12 )     (0.42 )     (0.49 )     (0.34 )     (0.21 )
Total distributions     (0.25 )     (0.13 )     (0.12 )     (0.42 )     (0.49 )     (0.34 )     (0.21 )
                                                         
Redemption fee proceeds1     -       -       -       -       - 2     - 2     - 2
Net asset value, end of period   $ 19.61     $ 19.68     $ 20.06     $ 20.01     $ 20.05     $ 20.02     $ 20.03  
                                                         
Total return2     0.93 %4     (1.23 )%     0.87 %     1.91 %     2.64 %4     1.66 %     1.18 %4
                                                         
Ratios and Supplemental Data:                                                        
Net assets, end of period (in thousands)   $ 59,171     $ 42,773     $ 71,362     $ 40,687     $ 47,787     $ 66,118       52,768  
                                                         
Ratio of expenses to average net assets (including commitment fees and interest on securities sold short):                                                        
Before fees waived and expenses absorbed5,6     0.82 %3     0.76 %     0.67 %     0.82 %     0.79 %3     0.84 %     0.94 %3
After fees waived and expenses absorbed5,6     0.53 %3     0.53 %     0.51 %     0.50 %     0.51 %3     0.51 %     0.50 %3
                                                         
Ratio of net investment income (loss) to average net assets (including commitment fees and interest on securities sold short):                                                        
Before fees waived and expenses absorbed     2.52 %3     0.28 %     0.44 %     1.65 %     2.23 %3     1.44 %     0.97 %3
After fees waived and expenses absorbed     2.81 %3     0.51 %     0.60 %     1.97 %     2.51 %3     1.77 %     1.41 %3
                                                         
Portfolio turnover rate     37 %4     112 %     117 %     100 %     72 %4      147 %     118 %4

 

*Commencement of operations.
**Fiscal year end changed to June 30 effective August 1, 2018.
1Based on average shares outstanding for the period.
2Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
3Annualized.
4Not annualized.
5If commitment fees and interest on securities sold short had been excluded, the expense ratios would have been lowered by 0.03% for the six months ended December 31, 2022, 0.03%, 0.01% and 0.00% for the fiscal years ended June 30, 2022, 2021 and 2020, respectively, and 0.01% for the period ended June 30, 2019, 0.01% for the fiscal year ended July 31, 2018, and 0.00% for the period ended July 31, 2017.
6Does not include expenses of the investment companies in which the Fund invests.

 

See accompanying Notes to Financial Statements. 

 50 

 

Palmer Square Funds

NOTES TO FINANCIAL STATEMENTS

December 31, 2022 (Unaudited)

 

 

Note 1 – Organization

Palmer Square Income Plus Fund (“Income Plus Fund”) and Palmer Square Ultra-Short Duration Investment Grade Fund (“Ultra-Short Duration Investment Grade Fund’’) (each a “Fund” and collectively the “Funds”) are organized as a diversified series of Investment Managers Series Trust, a Delaware statutory trust (the “Trust”) which is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”).

 

The Income Plus Fund’s primary investment objective is to seek income. A secondary objective is to seek capital appreciation. The Income Plus Fund commenced operations on February 28, 2014, prior to which its only activity was the receipt of a $2,500 investment from principals of the Income Plus Fund’s advisor and a $94,313,788 transfer of shares of the Income Plus Fund in exchange for the net assets of the Palmer Square Opportunistic Investment Grade Plus Trust (“Private Fund I”) and Palmer Square Investment Grade Plus Trust (“Private Fund II”), each a Delaware statutory trust (each a “Private Fund” collectively, the “Private Funds”). This exchange was nontaxable, whereby the Income Plus Fund issued 9,428,446 shares for the net assets of the Private Funds on February 28, 2014. Assets with a fair market value of $94,313,788 consisting of cash, interest receivable and securities of the Private Funds with a fair value of $92,629,439 (identified cost of investments transferred $91,621,375) were the primary assets received by the Income Plus Fund. For financial reporting purposes, assets received and shares issued by the Income Plus Fund were recorded at fair value; however, the cost basis of the investments received from the Private Funds was carried forward to align ongoing reporting of the Income Plus Fund’s realized and unrealized gains and losses with amount distributable to shareholders for tax purposes.

 

The Ultra-Short Duration Investment Grade Fund’s primary investment objective is to seek income. A secondary objective is to seek capital appreciation. The Ultra-Short Duration Investment Grade Fund commenced investment operations on October 7, 2016.

 

Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services—Investment Companies”.

 

Note 2 – Accounting Policies

The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of their financial statements. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.

 

(a) Valuation of Investments

The Funds value equity securities at the last reported sale price on the principal exchange or in the principal over the counter (“OTC”) market in which such securities are traded, as of the close of regular trading on the NYSE on the day the securities are being valued or, if the last-quoted sales price is not readily available, the securities will be valued at the last bid or the mean between the last available bid and ask price. Securities traded on the NASDAQ are valued at the NASDAQ Official Closing Price (“NOCP”). Pricing services generally value debt securities assuming orderly transactions of an institutional round lot size, but such securities may be held or transactions may be conducted in such securities in smaller, odd lot sizes. Odd lots often trade at lower prices than institutional round lots. Investments in open-end investment companies are valued at the daily closing net asset value of the respective investment company. Debt securities are valued by utilizing a price supplied by independent pricing service providers. The independent pricing service providers may use various valuation methodologies including matrix pricing and other analytical pricing models as well as market transactions and dealer quotations. These models generally consider such factors as yields or prices of bonds of comparable quality, type of issue, coupon, maturity, ratings and general market conditions. If a price is not readily available for a portfolio security, the security will be valued at fair value (the amount which the Funds might reasonably expect to receive for the security upon its current sale). The Board of Trustees has designated the Advisor as the Funds’ valuation designee (the “Valuation Designee”) to make all fair value determinations with respect to the Fund’s portfolio investments, subject to the Board’s oversight. As the Valuation Designee, the Advisor has adopted and implemented policies and procedures to be followed when the Fund must utilize fair value pricing. Prior to September 8, 2022, securities were valued at fair value as determined in good faith by the Funds’ advisor, subject to review and approval by the Valuation Committee, pursuant to procedures adopted by the Board of Trustees. The actions of the Valuation Committee were subsequently reviewed by the Board at its next regularly scheduled board meeting. The Valuation Committee met as needed. The Valuation Committee was comprised of all the Trustees, but action may had been taken by any one of the Trustees. 

 51 

 

Palmer Square Funds

NOTES TO FINANCIAL STATEMENTS - Continued

December 31, 2022 (Unaudited)

 

 

(b) Bank Loans

The Funds may purchase participations in commercial loans. Such investments may be secured or unsecured. Loan participations typically represent direct participation, together with other parties, in a loan to a corporate borrower, and generally are offered by banks or other financial institutions or lending syndicates. The Funds may participate in such syndications, or can buy part of a loan, becoming a part lender. When purchasing indebtedness and loan participations, the Funds assume the credit risk associated with the corporate borrower and may assume the credit risk associated with an interposed bank or other financial intermediary. The indebtedness and loan participations in which the Funds intend to invest may not be rated by any nationally recognized rating service.

 

Bank loans may be structured to include both term loans, which are generally fully funded at the time of investment and unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments may include revolving credit facilities, which may obligate the Funds to supply additional cash to the borrower on demand, representing a potential financial obligation by the Funds in the future. The Funds may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a senior floating rate interest. Commitment fees are processed as a reduction in cost.

 

In addition, the Funds may enter into, or acquire participations in, delayed funding loans and revolving credit facilities. Delayed funding loans and revolving credit facilities are borrowing arrangements in which the lender agrees to make loans up to a maximum amount upon demand by the borrower during a specified term. A revolving credit facility differs from a delayed funding loan in that as the borrower repays the loan, an amount equal to the repayment may be borrowed again during the term of the revolving credit facility. Delayed funding loans and revolving credit facilities usually provide for floating or variable rates of interest. These commitments may have the effect of requiring the Fund to increase its investment in a company at a time when it might not otherwise decide to do so (including at a time when the company's financial condition makes it unlikely that such amounts will be repaid). To the extent that the Funds are committed to advance additional funds, it will at all-times segregate or "earmark" liquid assets, in an amount sufficient to meet such commitments.

 

(c) Asset-Backed Securities

Asset-backed securities include pools of mortgages, loans, receivables or other assets. Payment of principal and interest may be largely dependent upon the cash flows generated by the assets backing the securities, and, in certain cases, supported by letters of credit, surety bonds, or other credit enhancements. The value of asset-backed securities may also be affected by the creditworthiness of the servicing agent for the pool, the originator of the loans or receivables, or the financial institution(s) providing the credit support. In addition, asset-backed securities are not backed by any governmental agency. 

 52 

 

Palmer Square Funds

NOTES TO FINANCIAL STATEMENTS - Continued

December 31, 2022 (Unaudited)

 

 

Collateralized Debt Obligations (“CDOs”) include Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other similarly structured securities. CBOs and CLOs are types of asset backed securities. A CBO is a trust which is backed by a diversified pool of high risk, below investment grade fixed income securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which the Funds invest. CDOs carry additional risks including, but not limited to, (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments, (ii) the collateral may decline in value or default, (iii) the Funds may invest in CDOs that are subordinate to other classes, and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.

 

(d) Mortgage-Backed Securities

The Funds may invest in mortgage-backed securities ("MBS"), representing direct or indirect interests in pools of underlying residential or commercial mortgage loans that are secured by real property. These securities provide investors with payments consisting of both principal and interest as the mortgages in the underlying mortgage pools are paid.

 

The timely payment of principal and interest (but not the market value) on MBS issued or guaranteed by Ginnie Mae (formally known as the Government National Mortgage Association or GNMA) is backed by Ginnie Mae and the full faith and credit of the US government. Obligations issued by Fannie Mae (formally known as the Federal National Mortgage Association or FNMA) and Freddie Mac (formally known as the Federal Home Loan Mortgage Corporation or FHLMC) are historically supported only by the credit of the issuer, but currently are guaranteed by the US government in connection with such agencies being placed temporarily into conservatorship by the US government. Some MBS are sponsored or issued by private entities. Payments of principal and interest (but not the market value) of such private MBS may be supported by pools of residential or commercial mortgage loans or other MBS that are guaranteed, directly or indirectly, by the US government or one of its agencies or instrumentalities, or they may be issued without any government guarantee of the underlying mortgage assets but may contain some form of non-government credit enhancement.

 

Collateralized mortgage obligations ("CMO") are a type of MBS. A CMO is a debt security that may be collateralized by whole mortgage loans or mortgage pass-through securities. The mortgage loans or mortgage pass-through securities are divided into classes or tranches with each class having its own characteristics. Investors typically receive payments out of the interest and principal on the underlying mortgages. The portions of these payments that investors receive, as well as the priority of their rights to receive payments, are determined by the specific terms of the CMO class.

 

The yield characteristics of MBS differ from those of traditional debt securities. Among the major differences are that interest and principal payments are made more frequently, usually monthly, and that principal may be prepaid at any time because the underlying mortgage loans or other obligations generally may be prepaid at any time. Prepayments on a pool of mortgage loans are influenced by a variety of economic, geographic, social and other factors. Generally, prepayments on fixed-rate mortgage loans will increase during a period of falling interest rates and decrease during a period of rising interest rates. Certain classes of CMOs and other MBS are structured in a manner that makes them extremely sensitive to changes in prepayment rates.

 

(e) Short Sales

Short sales are transactions under which the Funds sell a security they do not own in anticipation of a decline in the value of that security. To complete such a transaction, the Funds must borrow the security to make delivery to the buyer. The Funds then are obligated to replace the security borrowed by purchasing the security at market price at the time of replacement. The price at such time may be more or less than the price at which the security was sold by the Funds. When a security is sold short a decrease in the value of the security will be recognized as a gain and an increase in the value of the security will be recognized as a loss, which is potentially limitless. Until the security is replaced, the Funds are required to pay the lender amounts equal to dividend or interest that accrue during the period of the loan which is recorded as an expense. To borrow the security, the Funds also may be required to pay a premium or an interest fee, which are recorded as interest expense. Cash or securities are segregated for the broker to meet the necessary margin requirements. The Funds are subject to the risk that they may not always be able to close out a short position at a particular time or at an acceptable price. 

 53 

 

Palmer Square Funds

NOTES TO FINANCIAL STATEMENTS - Continued

December 31, 2022 (Unaudited)

 

 

(f) Futures Contracts

The Fund may enter into futures contracts (including contracts relating to foreign currencies, interest rates and other financial indexes), and purchase and write (sell) related options traded on exchanges designated by the Commodity Futures Trading Commission (“CFTC”) or, consistent with CFTC regulations, on foreign exchanges. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.

 

A futures contract held by the Fund is valued daily at the official settlement price on the exchange on which it is traded. Variation margin does not represent borrowing or a loan by the Fund but is instead a settlement between the Fund and the broker of the amount one would owe the other if the futures contract expired. Upon entering into a futures contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as cash deposited with broker. Securities deposited as initial margin are designated in the Schedule of Investments. During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by “marked to market” on a daily basis to reflect the market value of the contracts at the end of each day’s trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. When the contracts are closed or expires, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract.

 

(g) Swap Agreements and Swaptions

The Funds may enter into credit default swap agreements for investment purposes. A credit default swap agreement may have as reference obligations one or more securities that are not currently held by the Funds. The Funds may be either the buyer or seller in the transaction. Credit default swaps may also be structured based on the debt of a basket of issuers, rather than a single issuer, and may be customized with respect to the default event that triggers purchase or other factors. As a seller, the Funds would generally receive an upfront payment or a fixed rate of income throughout the term of the swap, which typically is between six months and three years, provided that there is no credit event. If a credit event occurs, generally the seller must pay the buyer the full face amount of deliverable obligations of the reference obligations that may have little or no value. The notional value will be used to segregate liquid assets for selling protection on credit default swaps. If the Funds were a buyer and no credit event occurs, the Funds would recover nothing if the swap is held through its termination date. However, if a credit event occurs, the buyer may elect to receive the full notional value of the swap in exchange for an equal face amount of deliverable obligations of the reference obligation that may have little or no value. The use of swap agreements by the Funds entail certain risks, which may be different from, or possibly greater than, the risks associated with investing directly in the securities and other investments that are the referenced asset for the swap agreement. Swaps are highly specialized instruments that require investment techniques, risk analyses, and tax planning different from those associated with stocks, bonds, and other traditional investments. The use of a swap requires an understanding not only of the referenced asset, reference rate, or index, but also of the swap itself, without the benefit of observing the performance of the swap under all the possible market conditions. Because some swap agreements have a leverage component, adverse changes in the value or level of the underlying asset, reference rate, or index can result in a loss substantially greater than the amount invested in the swap itself. Certain swaps have the potential for unlimited loss, regardless of the size of the initial investment. 

 54 

 

Palmer Square Funds

NOTES TO FINANCIAL STATEMENTS - Continued

December 31, 2022 (Unaudited)

 

 

The Funds may also purchase credit default swap contracts in order to hedge against the risk of default of the debt of a particular issuer or basket of issuers, in which case the Funds would function as the counterparty referenced in the preceding paragraph. This would involve the risk that the investment may expire worthless and would only generate income in the event of an actual default by the issuer(s) of the underlying obligation(s) (or, as applicable, a credit downgrade or other indication of financial instability). It would also involve the risk that the seller may fail to satisfy its payment obligations to the Funds in the event of a default. The purchase of credit default swaps involves costs, which will reduce each Fund's return.

 

The Funds may enter into total return swap contracts for investment purposes. Total return swaps are contracts in which one party agrees to make periodic payments based on the change in market value of the underlying assets, which may include a specified security, basket of securities or security indexes during the specified period, in return for periodic payments based on a fixed or variable interest rate of the total return from other underlying assets. Total return swap agreements may be used to obtain exposure to a security or market without owning or taking physical custody of such security or market, including in cases in which there may be disadvantages associated with direct ownership of a particular security. In a typical total return equity swap, payments made by the Funds or the counterparty are based on the total return of a particular reference asset or assets (such as an equity security, a combination of such securities, or an index). That is, one party agrees to pay another party the return on a stock, basket of stocks, or stock index in return for a specified interest rate. By entering into an equity index swap, for example, the index receiver can gain exposure to stocks making up the index of securities without actually purchasing those stocks. Total return swaps involve not only the risk associated with the investment in the underlying securities, but also the risk of the counterparty not fulfilling its obligations under the agreement.

 

An option on a swap agreement, or a “swaption,” is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel or otherwise modify an existing swap agreement, at some designated future time on specified terms. In return, the purchaser pays a “premium” to the seller of the contract. The seller of the contract receives the premium and bears the risk of unfavorable changes on the underlying swap. The Funds may write (sell) and purchase put and call swaptions. The Funds may also enter into swaptions on either an asset-based or liability-based basis, depending on whether the Funds are hedging its assets or its liabilities. The Funds may write (sell) and purchase put and call swaptions to the same extent it may make use of standard options on securities or other instruments. The Funds may enter into these transactions primarily to preserve a return or spread on a particular investment or portion of its holdings, as a duration management technique, to protect against an increase in the price of securities the Funds anticipate purchasing at a later date, or for any other purposes, such as for speculation to increase returns. Swaptions are generally subject to the same risks involved in the Funds’ use of options.

 

Depending on the terms of the particular option agreement, the Funds will generally incur a greater degree of risk when they write a swaption than they will incur when it purchases a swaption. When the Funds purchase a swaption, they risk losing only the amount of the premium they have paid should they decide to let the option expire unexercised. However, when the Funds write a swaption, upon exercise of the option the Funds will become obligated according to the terms of the underlying agreement. 

 55 

 

Palmer Square Funds

NOTES TO FINANCIAL STATEMENTS - Continued

December 31, 2022 (Unaudited)

 

 

(h) Options Contracts

The Funds may write or purchase options contracts primarily to enhance each Fund’s returns or reduce volatility. In addition, the Funds may utilize options in an attempt to generate gains from options premiums or to reduce overall portfolio risk. When the Funds write or purchases an option, an amount equal to the premium received or paid by the Funds are recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by the Funds on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Funds have realized a gain or a loss on investment transactions. The Funds, as a writer of an option, may have no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option.

 

(i) Forward Foreign Currency Exchange Contracts

The Funds may utilize forward foreign currency exchange contracts (“forward contracts”) under which they are obligated to exchange currencies on specified future dates at specified rates, and are subject to the translations of foreign exchange rates fluctuations. All contracts are “marked-to-market” daily and any resulting unrealized gains or losses are recorded as unrealized appreciation or depreciation on foreign currency translations. The Funds record realized gains or losses at the time the forward contract is settled. Counter parties to these forward contracts are major U.S. financial institutions.

 

(j) Investment Transactions, Investment Income and Expenses

Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Dividend income is recorded net of applicable withholding taxes on the ex-dividend date and interest income is recorded on an accrual basis. Withholding taxes on foreign dividends, if applicable, are paid (a portion of which may be reclaimable) or provided for in accordance with the applicable country’s tax rules and rates and are disclosed in the Statement of Operations. Withholding tax reclaims are filed in certain countries to recover a portion of the amounts previously withheld. The Funds record a reclaim receivable based on a number of factors, including a jurisdiction’s legal obligation to pay reclaims as well as payment history and market convention. Discounts on debt securities are accreted or amortized to interest income over the lives of the respective securities using the effective interest method. Premiums for callable debt securities are amortized to the earliest call date, if the call price was less than the purchase price. If the call price was not at par and the security was not called, the security is amortized to the next call price and date. Expenses incurred by the Trust with respect to more than one fund are allocated in proportion to the net assets of each fund except where allocation of direct expenses to each Fund or an alternative allocation method can be more appropriately made.

 

(k) Federal Income Taxes

The Funds intend to comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of their net investment income and any net realized gains to their shareholders. Therefore, no provision is made for federal income or excise taxes. Due to the timing of dividend distributions and the differences in accounting for income and realized gains and losses for financial statement and federal income tax purposes, the fiscal year in which amounts are distributed may differ from the year in which the income and realized gains and losses are recorded by the Funds.

 

Accounting for Uncertainty in Income Taxes (the “Income Tax Statement”) requires an evaluation of tax positions taken (or expected to be taken) in the course of preparing a Fund’s tax returns to determine whether these positions meet a “more-likely-than-not” standard that, based on the technical merits, have a more than fifty percent likelihood of being sustained by a taxing authority upon examination. A tax position that meets the “more-likely-than-not” recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations. 

 56 

 

Palmer Square Funds

NOTES TO FINANCIAL STATEMENTS - Continued

December 31, 2022 (Unaudited)

 

 

The Income Tax Statement requires management of the Funds to analyze tax positions taken in the prior three open tax years, if any, and tax positions expected to be taken in the Fund’s current tax year, as defined by the IRS statute of limitations for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of December 31, 2022, and during the prior three open tax years, the Funds did not have a liability for any unrecognized tax benefits. The Funds have no examination in progress and are not aware of any tax positions for which they are reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

 

(l) Distributions to Shareholders

The Funds will make distributions of net investment income quarterly and net capital gains, if any, at least annually. Distributions to shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.

 

The character of distributions made during the year from net investment income or net realized gains may differ from the characterization for federal income tax purposes due to differences in the recognition of income, expense and gain (loss) items for financial statement and tax purposes.

 

(m) Illiquid Securities

Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted a Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Funds limit their illiquid investments that are assets to no more than 15% of net assets. An illiquid investment is any security which may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. If the Advisor, at any time, determines that the value of illiquid securities held by a Fund exceeds 15% of its net asset value, the Advisor will take such steps as it considers appropriate to reduce them as soon as reasonably practicable in accordance with the Funds’ written LRMP.

 

Note 3 – Investment Advisory and Other Agreements

The Trust, on behalf of the Funds, entered into an Investment Advisory Agreement (the “Agreement”) with Palmer Square Capital Management LLC (the “Advisor”). Under the terms of the Agreement, the Income Plus Fund pays a monthly investment advisory fee to the Advisor at the annual rate of 0.49% of its average daily net assets and the Ultra-Short Duration Investment Grade Fund pays a monthly investment advisory fee to the Advisor at the annual rate of 0.25% of its average daily net assets. Prior to November 1, 2019, the Income Plus Fund paid monthly investment advisory fee at the annual rate of 0.55% of the Fund’s average daily net assets. The Advisor has contractually agreed to waive its fees and/or pay for operating expenses of the Funds to ensure that total annual operating expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses (as determined in accordance with Form N-1A), expenses incurred in connection with any merger or reorganization, and extraordinary expenses such as litigation expenses) does not exceed 0.50% of the Ultra-Short Duration Investment Grade Fund’s average daily net assets. This agreement is in effect until October 31, 2023 and it may be terminated before that date only by the Trust’s Board of Trustees.

 

For the six months ended December 31, 2022, the Advisor waived advisory fees and other expenses totaling $70,857 for the Ultra-Short Duration Investment Grade Fund. The Fund’s Advisor is permitted to seek reimbursement from the Fund, subject to certain limitations, of fees waived or payments made to the Fund for a period ending three full fiscal years after the date of the waiver or payment. This reimbursement may be requested from the Fund if the reimbursement will not cause the Fund’s annual expense ratio to exceed the lesser of (a) the expense limitation amount in effect at the time such fees were waived or payments made, or (b) the expense limitation amount in effect at the time of the reimbursement. The Advisor may recapture all or a portion of this amount no later than dates stated below:

 57 

 

Palmer Square Funds

NOTES TO FINANCIAL STATEMENTS - Continued

December 31, 2022 (Unaudited)

 

 

Ultra-Short Duration Investment Grade Fund

 

 

June 30, 2023  $137,580 
June 30, 2024   80,185 
June 30, 2025   134,708 
June 30, 2026   70,857 
Total  $423,330 

 

UMB Fund Services, Inc. (“UMBFS”) serves as the Funds’ fund accountant, transfer agent and co-administrator; and Mutual Fund Administration, LLC (“MFAC”) serves as the Funds’ other co-administrator. UMB Bank, n.a., an affiliate of UMBFS, serves as the Funds’ custodian. The Funds’ allocated fees incurred for fund accounting, fund administration, transfer agency and custody services for the six months ended December 31, 2022, are reported on the Statement of Operations.

 

The Funds have a fee arrangement with its custodian, UMB Bank, n.a., which provides for custody fees to be reduced by earning credits based on cash balances left on deposit with the custodian. For the six months ended December 31, 2022, no credits were earned to reduce total fees.

 

IMST Distributors, LLC (“Distributor”) serves as the Funds’ distributor. The Distributor does not receive compensation from the Funds for its distribution services; the Advisor pays the Distributor a fee for its distribution-related services.

 

Certain trustees and officers of the Trust are employees of UMBFS or MFAC. The Funds do not compensate trustees and officers affiliated with the Funds’ co-administrators. For the six months ended December 31, 2022, the Funds’ allocated fees incurred to Trustees who are not affiliated with the Funds’ co-administrators are reported on the Statement of Operations.

 

The Funds’ Board of Trustees has adopted a Deferred Compensation Plan (the “Plan”) for the Independent Trustees that enables Trustees to elect to receive payment in cash or the option to select various fund(s) in the Trust in which their deferred accounts shall be deemed to be invested. If a trustee elects to defer payment, the Plan provides for the creation of a deferred payment account. The Funds’ liability for these amounts is adjusted for market value changes in the invested fund(s) and remains a liability to the Funds until distributed in accordance with the Plan. The Trustees Deferred compensation liability under the Plan constitutes a general unsecured obligation of the Funds and is disclosed in the Statement of Assets and Liabilities. Contributions made under the plan and the change in unrealized appreciation/depreciation and income are included in the Trustees’ fees and expenses in the Statement of Operations.

 

Dziura Compliance Consulting, LLC provides Chief Compliance Officer (“CCO”) services to the Trust. The Funds’ allocated fees incurred for CCO services for the six months ended December 31, 2022, are reported on the Statement of Operations. 

 58 

 

Palmer Square Funds

NOTES TO FINANCIAL STATEMENTS - Continued

December 31, 2022 (Unaudited)

 

 

Note 4 – Federal Income Taxes

At December 31, 2022, the cost of securities on a tax basis and gross unrealized appreciation and depreciation on investments for federal income tax purposes were as follows:

 

   Income Plus Fund   Ultra-Short Duration Investment Grade Fund 
Cost of investments  $822,250,089   $59,356,381 
           
Gross unrealized appreciation  $6,323,799   $58,678 
Gross unrealized depreciation   (38,737,728)   (984,491)
Net unrealized appreciation (depreciation)          
on investments  $(32,413,929)  $(925,813)

 

The difference between cost amounts for financial statement and federal income tax purposes is due primarily to timing differences in recognizing certain gains and losses in security transactions.

 

As of June 30, 2022, the components of accumulated earnings/(deficit) on a tax basis were as follows:

 

   Income Plus Fund   Ultra-Short Duration Investment Grade Fund 
Undistributed ordinary income  $-   $1,531 
Undistributed long-term gains   -    - 
Tax accumulated earnings   -    1,531 
           
Accumulated capital and other losses   (13,370,664)   (214,899)
Unrealized appreciation on investments          
and securities sold short   (35,072,791)   (770,468)
Foreign currency translations   (16,424)   - 
Unrealized deferred compensation   (9,422)   (6,279)
Total accumulated earnings (deficit)  $(48,469,301)  $(990,115)

 

The tax character of the distribution paid during the fiscal years ended June 30, 2022 and June 30, 2021, were as follows:

 

       Ultra-Short Duration Investment 
   Income Plus Fund   Grade Fund 
Distribution paid from:  2022   2021   2022   2021 
Ordinary income  $12,171,104   $10,990,460   $344,880   $299,704 
Net long-term capital gains   -    -    -    - 
Total taxable distributions   12,171,104    10,990,460    344,880    299,704 
Return of Capital   430,037    -    -    - 
Total distributions paid  $12,601,141   $10,990,460   $344,880   $299,704 

 59 

 

Palmer Square Funds

NOTES TO FINANCIAL STATEMENTS - Continued

December 31, 2022 (Unaudited)

 

 

At June 30, 2022, the Funds had capital loss carryforwards, which reduce the Funds' taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Code, and thus will reduce the amount of distributions to shareholders which would otherwise be necessary to relieve the Funds of any liability for federal tax. Pursuant to the Code, such capital loss carryforwards will expire as follows:

 

   Not Subject to Expiration: 
   Short-Term   Long-Term   Total 
Income Plus Fund  $19,704   $13,350,960   $13,370,664 
Ultra-Short Duration Investment Grade Fund   172,819    42,080    214,899 

 

Note 5 – Investment Transactions

For the six months ended December 31, 2022, for the Income Plus Fund, purchases and sales of investments, excluding short-term investments, futures contracts, forward contracts and swap contracts were $353,013,534 and $449,745,179, respectively. Securities sold short and short securities covered were $259,417,854 and $236,786,444, respectively, for the same period.

 

For the six months ended December 31, 2022, for the Ultra-Short Duration Investment Grade Fund, purchases and sales of investments, excluding short-term investments, were $22,426,826 and $12,134,973, respectively. Securities sold short and short securities covered were $3,505,752 and $3,944,222, respectively, for the same period.

 

Note 6 – Shareholder Servicing Plan

The Trust, on behalf of the Funds, has adopted a Shareholder Servicing Plan to pay a fee at an annual rate of up to 0.15% of average daily net assets of shares serviced by shareholder servicing agents who provide administrative and support services to their customers.

 

For the six months ended December 31, 2022, shareholder servicing fees incurred are disclosed on the Statement of Operations.

 

Note 7 – Redemption Fee

Effective April 3, 2017, the Income Plus Fund no longer charges redemption fees. Prior to April 3, 2017, the Income Plus Fund imposed a redemption fee of 2.00% of the total redemption amount on all shares redeemed within 30 days of purchase. Prior to August 5, 2016, the Income Plus Fund imposed a redemption fee of 2.00% of the total redemption amount within 180 days of purchase.

 

Note 8 – Indemnifications

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds’ 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 expect the risk of loss to be remote.

 

Note 9 – Fair Value Measurements and Disclosure

Fair Value Measurements and Disclosures defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and expands disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or a liability, when a transaction is not orderly, and how that information must be incorporated into a fair value measurement. 

 60 

 

Palmer Square Funds

NOTES TO FINANCIAL STATEMENTS - Continued

December 31, 2022 (Unaudited)

 

 

Under Fair Value Measurements and Disclosures, various inputs are used in determining the value of the Funds’ investments. These inputs are summarized into three broad Levels as described below:

 

·Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.

 

·Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

·Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

The inputs used to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest Level input that is significant to the fair value measurement in its entirety. 

 61 

 

Palmer Square Funds

NOTES TO FINANCIAL STATEMENTS - Continued

December 31, 2022 (Unaudited)

 

 

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the inputs used, as of December 31, 2022, in valuing the Funds’ assets carried at fair value:

 

Income Plus Fund  Level 1   Level 2   Level 3***   Total 
Assets                
Investments                
Bank Loans  $-   $58,434,738   $-   $58,434,738 
Bonds                    
Asset-Backed Securities   -    453,419,285    -    453,419,285 
Commercial Mortgage-Backed                    
Securities   -    61,287,272    -    61,287,272 
Corporate*   -    249,776,418    -    249,776,418 
U.S. Government   -    43,392,290    -    43,392,290 
Short-Term Investments   10,901,696    -    -    10,901,696 
Total Investments  $10,901,696   $866,310,003   $-   $877,211,699 
Other Financial Instruments**                    
Futures Contracts   -    169,531    -    169,531 
Total Assets  $10,901,696   $866,479,534   $-   $877,381,230 
                     
Liabilities                    
Securities Sold Short                    
Bonds                    
U.S. Government  $-   $87,375,539   $-   $87,375,539 
Total Securities Sold Short  $-   $87,375,539   $-   $87,375,539 
Other Financial Instruments**                    
Forward Contracts   -    2,003,653    -    2,003,653 
Total Liabilities  $-   $89,379,192   $-   $89,379,192 

 62 

 

Palmer Square Funds

NOTES TO FINANCIAL STATEMENTS - Continued

December 31, 2022 (Unaudited)

 

 

Ultra-Short Duration Investment Grade

Fund  Level 1   Level 2   Level 3***   Total 
Assets                
Investments                
Bank Loans  $-   $1,981,316   $-   $1,981,316 
Bonds                    
Asset-Backed Securities   -    30,385,994    -    30,385,994 
Commercial Mortgage-Backed                    
Securities   -    973,467    -    973,467 
Corporate*   -    14,364,276    -    14,364,276 
Residential Mortgage-Backed                    
Securities   -    148,322         148,322 
U.S. Government   -    10,900,094    -    10,900,094 
Short-Term Investments   534,402    -    -    534,402 
Total Assets  $534,402   $58,753,469   $-   $59,287,871 
                     
Liabilities                    
Securities Sold Short                    
Bonds                    
U.S. Government  $-   $857,303   $-   $857,303 
Total Liabilities  $-   $857,303   $-   $857,303 

 

*All corporate bonds held in each Fund are Level 2 securities. For a detailed break-out by major sector classification, please refer to the Schedule of Investments for each Fund.
**Other financial instruments are derivative instruments such as futures contracts. Futures contracts, forward contracts, and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.
***The Funds did not hold any level 3 securities at period end.

 

Note 10 – Derivatives and Hedging Disclosures

Derivatives and Hedging requires enhanced disclosures about each Fund’s derivative and hedging activities, including how such activities are accounted for and their effects on each Fund’s financial position, performance and cash flows. 

 63 

 

Palmer Square Funds

NOTES TO FINANCIAL STATEMENTS - Continued

December 31, 2022 (Unaudited)

 

 

The effects of these derivative instruments on each Fund’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations are presented in the tables below. The fair values of derivative instruments as of December 31, 2022 by risk category are as follows:

 

   Derivatives not designated as hedging instruments 
   Credit Contracts   Equity Contracts   Foreign Exchange Contracts   Interest Rate Contracts   Total 
Income Plus Fund                    
Assets                    
Unrealized appreciation on
open futures contracts*		  $            -   $            -   $            -   $169,531   $169,531 
   $-   $-   $-   $169,531   $169,531 
Income Plus Fund                         
Liabilities                         
Unrealized depreciation on forward foreign currency exchange contracts  $-   $-   $2,003,653   $-   $2,003,653 
   $-   $-   $2,003,653   $-   $2,003,653 

 

*Includes cumulative appreciation/depreciation on futures contracts as reported in the Schedule of Investments. Net unrealized appreciation/depreciation is shown as variation margin as presented on the Statements of Assets and Liabilities.

 

The effects of derivative instruments on the Statement of Operations for the six months ended December 31, 2022 are as follows:

 

   Derivatives not designated as hedging instruments 
   Credit Contracts   Equity Contracts   Foreign Exchange Contracts   Interest Rate Contracts   Total 
Income Plus Fund                    
Realized Gain (Loss) on Derivatives                    
Futures contracts  $            -   $            -   $            -   $182,554   $182,554 
Swap contracts   2,182,445    -    -    -    2,182,445 
   $2,182,445   $-   $-   $182,554   $2,364,999 
                          
Ultra-Short Duration Investment Grade Fund                         
Realized Gain (Loss) on Derivatives                         
Futures contracts  $-   $-   $-   $(588)  $(588)
   $-   $-   $-   $(588)  $(588)

 64 

 

Palmer Square Funds

NOTES TO FINANCIAL STATEMENTS - Continued

December 31, 2022 (Unaudited)

 

 

Income Plus Fund
Net Change in Unrealized Appreciation/Depreciation on Derivatives		  Credit Contracts   Equity Contracts   Foreign Exchange Contracts   Interest Rate Contracts   Total 
Futures contracts  $-   $-   $-   $449,315   $449,315 
Forward contracts   -   -    (2,666,164)   -    (2,666,164)
Swap contracts   2,215,769    -    -    -    2,215,769 
   $2,215,769   $-   $(2,666,164)  $449,315   $(1,080)

 

Ultra-Short Duration Investment Grade Fund
Net Change in Unrealized Appreciation/Depreciation on Derivatives		  Credit Contracts   Equity Contracts   Foreign Exchange Contracts   Interest Rate Contracts   Total 
Futures contracts  $-   $-   $-   $4,575   $4,575 
   $-   $-   $-   $4,575   $4,575 

 

The notional amount and the number of contracts are included on the Schedule of Investments. The quarterly average volumes of derivative instruments as of December 31, 2022 are as follows:

 

Income Plus Fund          
Derivatives not designated as hedging instruments        
Futures contracts  Interest rate contracts  Notional amount  $(12,183,854)
Forward contracts  Foreign exchange contracts  Notional amount   (31,835,785)
Swap contracts  Credit contracts  Notional amount   20,932,562 

 

Ultra-Short Duration Investment Grade Fund

Derivatives not designated as hedging instruments          
Futures contracts  Interest rate contracts  Notional amount  $(142,433)

 

Note 11 - Disclosures about Offsetting Assets and Liabilities

Disclosures about Offsetting Assets and Liabilities requires an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. The guidance requires retrospective application for all comparative periods presented.

 

A Fund mitigates credit risk with respect to OTC derivative counterparties through credit support annexes included with International Swaps and Derivatives Association Master Agreements or other Master Netting Agreements which are the standard contracts governing most derivative transactions between the Funds and each of its counterparties. These agreements allow the Funds and each counterparty to offset certain derivative financial instruments’ payables and/or receivables against each other and/or with collateral, which is generally held by the Funds’ custodian. The amount of collateral moved to/from applicable counterparties is based upon minimum transfer amounts specified in the agreement. To the extent amounts due to each Fund from its counterparties are not fully collateralized contractually or otherwise, each Fund bears the risk of loss from counterparty non-performance. 

 65 

 

Palmer Square Funds

NOTES TO FINANCIAL STATEMENTS - Continued

December 31, 2022 (Unaudited)

 

 

The Funds did not hold swap contracts at December 31, 2022.

 

Note 12 – Unfunded Commitments

The Funds may enter into unfunded loan commitments. Unfunded loan commitments may be partially or wholly unfunded. During the contractual period, the Fund is obliged to provide funding to the borrower upon demand. Unfunded loan commitments are fair valued in accordance with the valuation policy described in Note 2(a) and unrealized appreciation or depreciation, if any, is recorded on the Statement of Assets and Liabilities. As of December 31, 2022, the total unfunded amount was 0.1% of the Income Plus Fund’s net assets and the Ultra-Short Duration Investment Grade Fund had no unfunded loan commitments outstanding.

 

As of December 31, 2022, the Income Plus Fund had the following unfunded loan commitments outstanding:

 

Loan  Principal   Cost   Value   Unrealized Appreciation/ (Depreciation) 
Chemours Co.  $1,254,115   $1,211,028   $1,303,853   $92,825 

 

Note 13 – Line of Credit

The Funds together with other funds managed by the Advisor (together “Palmer Square Funds”) have entered into a Senior Secured Revolving Credit Facility (“Facility”) of $75,000,000 with UMB Bank, n.a. Each Fund is permitted to borrow up to the lesser of the available credit line amount or an amount up to 20% of the adjusted net assets of each Fund. The purpose of the Facility is to finance temporarily the repurchase or redemption of shares of each fund. Borrowings under this agreement bear interest at the Wall Street Journal Prime rate minus 50bps, with a minimum rate of 3.00%. As compensation for holding the lending commitment available, the Palmer Square Funds are charged a commitment fee on the average daily unused balance of the Facility at the rate of 0.25% per annum. The commitment fees for the six months ended December 31, 2022 are disclosed in the Statement of Operations. During the six months ended December 31, 2022, the Ultra-Short Duration Investment Grade Fund and the Income Plus Fund did not borrow under the line of credit. There was no line of credit payable balance in the Funds at December 31, 2022.

 

Note 14 – Market Disruption and Geopolitical Risks

Certain local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, or other events could have a significant impact on a security or instrument. Since 2020, the novel strain of coronavirus (COVID-19) has negatively affected the worldwide economy, as well as the economies of individual countries, the financial health of individual companies and the market in general in significant and unforeseen ways. Following Russia’s large-scale invasion of Ukraine, the President of the United States signed an Executive Order in February 2022 prohibiting U.S. persons from entering transactions with the Central Bank of Russia and Executive Orders in March 2022 prohibiting U.S. persons from importing oil and gas from Russia as well as other popular Russian exports, such as diamonds, seafood and vodka. There may also be restrictions on investments in Chinese companies. For example, the President of the United States of America signed an Executive Order in June 2021 affirming and expanding the U.S. policy prohibiting U.S. persons from purchasing or investing in publicly-traded securities of companies identified by the U.S. Government as “Chinese Military-Industrial Complex Companies.” The list of such companies can change from time to time, and as a result of forced selling or an inability to participate in an investment the Advisor otherwise believes is attractive, the Fund may incur losses. The duration of the coronavirus outbreak and the Russian-Ukraine conflict could adversely affect the Funds’ performance, the performance of the securities in which the Funds invests and may lead to losses on your investment. The ultimate impact of COVID-19 and Russia Invasion on the financial performance of the Funds’ investments is not reasonably estimable at this time. Management is actively monitoring these events. 

 66 

 

Palmer Square Funds

NOTES TO FINANCIAL STATEMENTS - Continued

December 31, 2022 (Unaudited)

 

 

Note 15 - Recently Issued Accounting Pronouncements

In October 2020, the SEC adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). Rule 18f-4 will impose limits on the amount of derivatives a Fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, and require funds whose use of derivatives is greater than a limited specified amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager. The Funds have adopted procedures in accordance with Rule 18f-4.

 

In December 2020, the SEC adopted a new rule providing a framework for fund valuation practices (“Rule 2a-5”). Rule 2a-5 establishes requirements for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit fund boards to designate certain parties to perform fair value determinations, subject to board oversight and certain other conditions. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. In connection with Rule 2a-5, the SEC also adopted related recordkeeping requirements and is rescinding previously issued guidance, including with respect to the role of a board in determining fair value and the accounting and auditing of fund investments. The Funds have adopted procedures in accordance with Rule 2a-5.

 

In March 2020, FASB issued ASU 2020-04, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The main objective of the new guidance is to provide relief to companies that will be impacted by the expected change in benchmark interest rates at the end of 2021, when participating banks will no longer be required to submit London Interbank Offered Rate (“LIBOR”) quotes by the UK Financial Conduct Authority. The new guidance allows companies to, provided the only change to existing contracts are a change to an approved benchmark interest rate, account for modifications as a continuance of the existing contract without additional analysis. In addition, derivative contracts that qualified for hedge accounting prior to modification, will be allowed to continue to receive such treatment, even if critical terms change due to a change in the benchmark interest rate. For new and existing contracts, the Funds may elect to apply the amendments as of March 12, 2020 through December 31, 2022. Management is currently assessing the impact of the ASU’s adoption to the Funds financial statements and various filings.

 

Note 16 – Events Subsequent to Period End

The Funds have adopted financial reporting rules regarding subsequent events which require an entity to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the balance sheet. Management has evaluated each Fund’s related events and transactions that occurred through the date of issuance of each Fund’s financial statements.

 

There were no events or transactions that occurred during this period that materially impacted the amounts or disclosures in each Fund’s financial statements. 

 67 

 

Palmer Square Funds

SUPPLEMENTAL INFORMATION (Unaudited)

 

 

Board Consideration of Investment Advisory Agreement

At an in-person meeting held on September 13-14, 2022, the Board of Trustees (the “Board”) of Investment Managers Series Trust (the “Trust”), including the trustees who are not “interested persons” of the Trust (the “Independent Trustees”) as defined in the Investment Company Act of 1940, as amended (the “1940 Act”), reviewed and unanimously approved the renewal of the investment advisory agreement (the “Advisory Agreement”) between the Trust and Palmer Square Capital Management, LLC (the “Investment Advisor”) with respect to the Palmer Square Income Plus Fund (the “Income Plus Fund”) and the Palmer Square Ultra-Short Duration Investment Grade Fund (the “Ultra-Short Fund” and together with the Income Plus Fund, the “Funds”) series of the Trust for an additional one-year term from when it otherwise would expire. In approving renewal of the Advisory Agreement, the Board, including the Independent Trustees, determined that such renewal was in the best interests of each Fund and its shareholders.

 

Background

In advance of the meeting, the Board received information about the Funds and the Advisory Agreement from the Investment Advisor and from Mutual Fund Administration, LLC and UMB Fund Services, Inc., the Trust’s co-administrators, certain portions of which are discussed below. The materials, among other things, included information about the Investment Advisor’s organization and financial condition; information regarding the background, experience, and compensation structure of relevant personnel providing services to the Funds; information about the Investment Advisor’s compliance policies and procedures, disaster recovery and contingency planning, and policies with respect to portfolio execution and trading; information regarding the profitability of the Investment Advisor’s overall relationship with the Funds; reports comparing the performance of each Fund with returns of its benchmark index and a group of comparable funds (each a “Peer Group”) selected by Broadridge Financial Solutions, Inc. (“Broadridge”) from Morningstar, Inc.’s relevant fund universe (each a “Fund Universe”) for various periods ended June 30, 2022; and reports comparing the investment advisory fee and total expenses of each Fund with those of its Peer Group and Fund Universe. The Board also received a memorandum from legal counsel to the Trust discussing the legal standards under the 1940 Act and other applicable law for their consideration of the proposed renewal of the Advisory Agreement. In addition, the Board considered information reviewed by the Board during the year at other Board and Board committee meetings. No representatives of the Investment Advisor were present during the Board’s consideration of the Advisory Agreement, and the Independent Trustees were represented by their legal counsel with respect to the matters considered.

 

In renewing the Advisory Agreement, the Board and the Independent Trustees considered a variety of factors, including those discussed below. In their deliberations, the Board and the Independent Trustees did not identify any particular factor that was controlling, and each Trustee may have attributed different weights to the various factors.

 

Nature, Extent and Quality of Services

The Board considered information included in the meeting materials regarding the performance of each Fund. The materials they reviewed indicated the following:

 

·The Income Plus Fund’s annualized total returns for the three- and five-year periods were above the Peer Group and Ultrashort Bond Fund Universe median returns and the Bloomberg U.S. 1-3 Year Corporate Bond Index returns. The Fund’s total return for the one-year period was above the Bloomberg Index return, but below the Peer Group and Fund Universe median returns by 0.51% and 1.28%, respectively. The Trustees considered the Investment Advisor’s assertion that the Fund’s underperformance relative to the Peer Group and Fund Universe for the one-year period was primarily due to the Fund’s allocation to collateralized loan obligations and below investment grade bonds and loans, and that those allocations were also the drivers of the Fund’s longer-term outperformance compared to the Peer Group and Fund Universe. The Trustees also observed that the Fund’s risk-adjusted returns, as measured by its Sharpe ratio, ranked it in the first quartile of the funds (which is the most favorable) in the Peer Group for the one-, three-, and five-year periods.

 

 68 

 

Palmer Square Funds

SUPPLEMENTAL INFORMATION (Unaudited) - Continued

 

 

·The Ultra-Short Fund’s total return for the one-year period was above the Peer Group and Ultrashort Bond Fund Universe median returns, but below the ICE BofA 3-Month U.S. Treasury Bill Index return by 1.40%. For the five-year period, the Fund’s annualized total return was above the ICE BofA Index return, but slightly below the Fund Universe and Peer Group median returns by 0.01% and 0.02%, respectively. The Fund’s annualized total return for the three-year period was slightly below the Peer Group median return by 0.01%, and below the Fund Universe median return and the ICE BofA Index return by 0.11% and 0.12%, respectively. The Trustees considered the Investment Advisor’s explanation that the decline in the credit markets in the first half of 2022 resulted in the Fund’s underperformance relative to the ICE BofA Index. The Trustees also considered the Investment Advisor’s assertion that the Fund’s slight underperformance relative to the Peer Group median over the three- and five-year periods was due primarily to the Fund’s higher net expense ratio and the Fund’s increased exposure to collateralized loan obligations in the first half of 2022.

 

The Board also considered the overall quality of services provided by the Investment Advisor to the Funds. In doing so, the Board considered the Investment Advisor’s specific responsibilities in day-to-day management and oversight of the Funds, as well as the qualifications, experience, and responsibilities of the personnel involved in the activities of the Funds. The Board also considered the overall quality of the organization and operations of the Investment Advisor, as well as its compliance structure. The Board and the Independent Trustees concluded that based on the various factors they had reviewed, the nature, overall quality, and extent of the management and oversight services provided by the Investment Advisor to each Fund were satisfactory.

 

Advisory Fees and Expense Ratios

With respect to the advisory fees and expenses paid by the Funds, the meeting materials indicated the following:

 

·The Income Plus Fund’s annual investment advisory fee (gross of fee waivers) was higher than the Peer Group and Ultrashort Bond Fund Universe medians by 0.23% and 0.24%, respectively. The Trustees noted the Investment Advisor’s belief that from a risk and flexibility perspective, the Fund falls between the Fund Universe and the Non-Traditional Bond fund universe, and that as a result, the Fund’s advisory fee is higher than many of the funds in the Fund Universe, but lower than many of the funds in the Non-Traditional Bond fund universe. The Trustees also considered the Investment Advisor’s explanation that the typical fund in the Ultra-Short Bond Fund Universe is fairly plain compared to the Income Plus Fund, which is much more opportunistic; and that most funds in the Peer Group lack the breadth to make the investments that the Income Plus Fund makes, and that such investments require significant time and resources. The Trustees considered that the Fund’s advisory fee was within the range of the advisory fees that the Investment Advisor charges to manage separate accounts for institutional clients using the same strategy as the Fund, and higher than the fees that the Investment Advisor charges to manage a private fund and a collective investment trust using the same strategy as the Fund. The Trustees observed, however, that management of mutual fund assets requires compliance with certain requirements under the 1940 Act that do not apply to the Investment Advisor’s other clients, and that the Investment Advisor provides more services to the Fund than it does to separately managed accounts.

 69 

 

Palmer Square Funds

SUPPLEMENTAL INFORMATION (Unaudited) - Continued

 

 

The annual total expenses paid by the Fund (net of fee waivers) for the Fund’s most recent fiscal year were higher than the Peer Group and Fund Universe medians by 0.30% and 0.34%, respectively. The Trustees noted that the Fund’s annual total expenses were likely high in part because the Fund’s advisory fee was high. The Trustees also considered the Investment Advisor’s assertion that the investment advisors of certain funds in the Peer Group have significantly greater resources available to subsidize the expenses of their funds and cap their funds’ expenses at lower levels.

 

·The Ultra-Short Fund’s annual investment advisory fee (gross of fee waivers) was the same as the Peer Group and Ultrashort Bond Fund Universe medians. The Trustees noted that the Fund’s advisory fee was the same as the fee that the Investment Advisor charges to manage a private fund using the same strategy as the Fund, and lower than the fee that the Investment Advisor will charge to manage a new collective investment trust using the same strategy as the Fund. The Trustees also noted that the Fund’s advisory fee was lower than the advisory fee paid by the other series of the Trust managed by the Investment Advisor.

 

The annual total expenses paid by the Fund (net of fee waivers) for the Fund’s most recent fiscal year were higher than the Peer Group and Fund Universe medians by 0.14% and 0.16%, respectively. The Trustees noted the Investment Advisor’s assertion that the investment advisors of certain funds in the Peer Group have significantly greater resources available to subsidize the expenses of their funds and cap their funds’ expenses at lower levels. The Trustees also observed that the average net assets of the Fund were lower than the average net assets of corresponding classes of funds in the Peer Group, and significantly lower than the average net assets of corresponding classes of funds in the Fund Universe, and that certain of those other funds also had significant assets in other classes.

 

The Board and the Independent Trustees concluded that based on the factors they had reviewed, the compensation payable to the Investment Advisor under the Advisory Agreement was fair and reasonable in light of the nature and quality of the services the Investment Advisor provides to the Funds.

 

Profitability and Economies of Scale

The Board next considered information prepared by the Investment Advisor relating to its costs and profits with respect to each Fund for the year ended June 30, 2022, noting that the Investment Advisor had waived almost its entire advisory fee for the Ultra-Short Fund and had not realized a profit with respect to the Ultra-Short Fund. Recognizing the difficulty in evaluating an investment advisor’s profitability with respect to the funds it manages in the context of an advisor with multiple lines of business, and noting that other profitability methodologies might also be reasonable, the Board and the Independent Trustees concluded that the profit of the Investment Advisor from its relationship with the Income Plus Fund was reasonable. 

 70 

 

Palmer Square Funds

SUPPLEMENTAL INFORMATION (Unaudited) - Continued

 

 

The Board also considered the benefits received by the Investment Advisor as a result of the Investment Advisor’s relationship with the Funds, other than the receipt of its investment advisory fees, including any research received from broker-dealers providing execution services to the Funds, the beneficial effects from the review by the Trust’s Chief Compliance Officer of the Investment Advisor’s compliance program, the intangible benefits of the Investment Advisor’s association with the Funds generally, and any favorable publicity arising in connection with the Funds’ performance. The Board noted that although there were no advisory fee breakpoints, the asset levels of the Funds were not currently likely to lead to significant economies of scale, and that any such economies would be considered in the future as the Funds’ assets grow.

 

Conclusion

Based on these and other factors, the Board and the Independent Trustees concluded that renewal of the Advisory Agreement was in the best interests of each Fund and its shareholders and, accordingly, approved the renewal of the Advisory Agreement with respect to each Fund. 

 71 

 

Palmer Square Funds

SUPPLEMENTAL INFORMATION (Unaudited) - Continued

 

 

Statement Regarding Liquidity Risk Management Program

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

 

The Board of Trustees (the “Board”) of Investment Managers Series Trust (the “Trust”) met on September 13-14, 2022 (the “Meeting”), to review the liquidity risk management program (the “Fund Program”) applicable to the following series of the Trust (each, a “Fund” and together, the “Funds”) pursuant to the Liquidity Rule:

 

Palmer Square Income Plus Fund

Palmer Square Ultra-Short Duration Investment Grade Fund

 

The Board has appointed Palmer Square Capital Management LLC, the investment adviser to the Funds, as the program administrator (“Program Administrator”) for the Fund Program. Under the Trust’s liquidity risk management program (the “Trust Program”), the Board has delegated oversight of the Trust Program to the Liquidity Oversight Committee (the “Oversight Committee”). At the Meeting, the Oversight Committee, on behalf of Program Administrator and the Funds, provided the Board with a written report (the “Report”) that addressed the operation, adequacy, and effectiveness of implementation of the Fund Program, and any material changes to it for the period from July 1, 2021 through June 30, 2022 (the “Program Reporting Period”).

 

In assessing the adequacy and effectiveness of implementation of the Fund Program, the Report discussed the following, among other things:

•The Fund Program’s liquidity classification methodology for categorizing each Fund’s investments (including derivative transactions);
•An overview of market liquidity for each Fund during the Program Reporting Period;
•Each Fund’s ability to meet redemption requests;
•Each Fund’s cash management;
•Each Fund’s borrowing activity, if any, in order to meet redemption requests;
•Each Fund’s compliance with the 15% limit of illiquid investments; and
•Each Fund’s status as a primarily highly liquid fund (“PHLF”), the effectiveness of the implementation of the PHLF standard, and whether it would be appropriate for each Fund to adopt a highly liquid investment minimum (“HLIM”).

 

The Report stated that the Funds primarily hold assets that are defined under the Liquidity Rule as "highly liquid investments," and therefore each Fund is not required to establish an HLIM. Highly liquid investments are defined as cash and any investment reasonably expected to be convertible to cash in current market conditions in three business days or less without the conversion to cash significantly changing the market value of the investment. The Report also stated that there were no material changes made to the Fund Program during the Program Reporting Period.

 

In the Report, the Program Administrator concluded that (i) the Fund Program, as adopted and implemented, remains reasonably designed to assess and manage each Fund’s liquidity risk; (ii) each Fund continues to qualify as a PHLF and therefore is not required to adopt an HLIM; (iii) during the Program Reporting Period, each Fund was able to meet redemption requests without significant dilution of remaining investors’ interests; and (iv) there were no weaknesses in the design or implementation of the Fund Program during the Program Reporting Period.

 

There can be no assurance that the Fund Program will achieve its objectives in the future. Please refer to the Funds’ prospectus for more information regarding each Fund’s exposure to liquidity risk and other principal risks to which an investment in the Funds may be subject. 

 72 

 

Palmer Square Funds

EXPENSE EXAMPLES  

For the Six Months Ended December 31, 2022 (Unaudited)

 

 

Expense Examples

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

 

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2022 to December 31, 2022.

 

Actual Expenses

The information in the row titled “Actual Performance” of the table below provides actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the appropriate row under the column titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes

The information in the row titled “Hypothetical (5% annual return before expenses)” of the table below provides hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

 

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (load) or contingent deferred sales charges. Therefore, the information in the row titled “Hypothetical (5% annual return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

Income Plus Fund  Beginning
Account Value		   Ending
Account Value		   Expenses Paid
During Period*		 
   7/1/22   12/31/22   7/1/22 – 12/31/22 
Actual Performance  $1,000.00   $1,022.40   $4.52 
Hypothetical (5% annual return before expenses)   1,000.00    1,020.73    4.52 

 

*Expenses are equal to the Fund’s annualized expense ratio of 0.89%, multiplied by the average account values over the period, multiplied by 184/365 (to reflect the six month period). Assumes all dividends and distributions were reinvested.

 73 

 

Palmer Square Funds

EXPENSE EXAMPLES - Continued

For the Six Months Ended December 31, 2022 (Unaudited)

 

 

  Beginning   Ending   Expenses Paid 
Ultra-Short Duration Investment Grade Fund  Account Value   Account Value   During Period* 
   7/1/22   12/31/22   7/1/22 – 12/31/22 
Actual Performance  $1,000.00   $1,009.30   $2.69 
Hypothetical (5% annual return before expenses)   1,000.00    1,022.52    2.71 

 

*Expenses are equal to the Fund’s annualized expense ratio of 0.53%, multiplied by the average account values over the period, multiplied by 184/365 (to reflect the six month period). The expense ratio reflects an expense waiver. Assumes all dividends and distributions were reinvested.

 74 

 

 

This page is intentionally left blank

 

 
 

 

This page is intentionally left blank

 

 
 

Palmer Square Funds

Each a series of Investment Managers Series Trust

 

Investment Advisor

Palmer Square Capital Management LLC

1900 Shawnee Mission Parkway, Suite 315

Mission Woods, Kansas 66205

 

Custodian

UMB Bank, n.a.

928 Grand Boulevard, 5th Floor

Kansas City, Missouri 64106

 

Fund Co-Administrator

Mutual Fund Administration, LLC

2220 East Route 66, Suite 226

Glendora, California 91740

 

Fund Co-Administrator, Transfer Agent and Fund Accountant

UMB Fund Services, Inc.

235 West Galena Street

Milwaukee, Wisconsin 53212

 

Distributor

IMST Distributors, LLC

Three Canal Plaza, Suite 100

Portland, Maine 04101

www.acaglobal.com 

 
 

FUND INFORMATION

 

 

  TICKER CUSIP
Palmer Square Income Plus Fund PSYPX 46141P 388
Palmer Square Ultra-Short Duration Investment Grade Fund PSDSX 46141Q 816

 

Privacy Principles of the Palmer Square Funds for Shareholders

The Funds are committed to maintaining the privacy of their shareholders and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information the Funds collect, how we protect that information and why, in certain cases, we may share information with select other parties.

 

Generally, the Funds do not receive any non-public personal information relating to their shareholders, although certain non-public personal information of their shareholders may become available to the Funds. The Funds do not disclose any non-public personal information about their shareholders or former shareholders to anyone, except as permitted by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third party administrator).

 

 

 

This report is sent to shareholders of the Palmer Square Funds for their information. It is not a Prospectus, circular or representation intended for use in the purchase or sale of shares of the Funds or of any securities mentioned in this report.

 

Proxy Voting

The Funds’ proxy voting policies and procedures, as well as information regarding how the Funds voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended June 30, are available, without charge and upon request by calling (866) 933-9033 or on the SEC’s website at www.sec.gov.

 

Fund Portfolio Holdings

The Funds file a complete schedule of their portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the Funds’ Form N-PORT on the SEC’s website at www.sec.gov.

 

Prior to the use of Form N-PORT, the Funds filed their complete schedule of portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.

 

Householding

The Funds will mail only one copy of shareholder documents, including prospectuses and notice of annual and semi-annual reports availability and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (866) 933-9033.

 

Palmer Square Funds

P.O. Box 2175

Milwaukee, WI 53201

Toll Free: (866) 933-9033 

 
 

Item 1. Report to Stockholders (Continued).

 

(b) Not applicable.

 

Item 2. Code of Ethics.

 

Not applicable for semi-annual reports.

 

Item 3. Audit Committee Financial Expert.

 

Not applicable for semi-annual reports.

 

Item 4. Principal Accountant Fees and Services.

 

Not applicable for semi-annual reports.

 

Item 5. Audit Committee of Listed Registrants.

 

(a)Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).

 

(b)Not applicable.

 

Item 6. Investments.

 

(a)Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.

 

(b)Not Applicable.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

 

Not applicable to open-end investment companies.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

 

Not applicable to open-end investment companies.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

 

Not applicable to open-end investment companies.

  

 

Item 10. Submission of Matters to a Vote of Security Holders.

 

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.

 

Item 11. Controls and Procedures.

 

(a)The Registrant’s President/Chief Executive Officer and Treasurer/Chief Financial Officer 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 period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting.

 

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

 

Not applicable to open-end investment companies.

 

Item 13. Exhibits.

 

(a)(1) Any code of ethics or amendment thereto, that is subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable.

 

(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.

 

(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.

 

(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.

 

(b)Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Filed herewith.
  

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

  (Registrant) Investment Managers Series Trust  
       
  By (Signature and Title) /s/ Maureen Quill  
    Maureen Quill, President/Chief Executive Officer  
       
  Date 3/10/2023  

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

  By (Signature and Title) /s/ Maureen Quill  
    Maureen Quill, President/Chief Executive Officer  
       
  Date 3/10/2023  
       
  By (Signature and Title) /s/ Rita Dam  
    Rita Dam, Treasurer/Chief Financial Officer  
       
  Date 3/10/2023