N-CSRS 1 holbrookncsrs.htm N-CSRS

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 811-22718

 

Two Roads Shared Trust

(Exact name of registrant as specified in charter)

 

225 Pictoria Drive, Suite 450 Cincinnati, OH 45246

(Address of principal executive offices) (Zip code)

 

Richard Malinowski, Gemini Fund Services, LLC.

4221 North 203rd St., Suite 100 Elkhorn, NE 68022-3474

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 631-470-2734

 

Date of fiscal year end: 4/30

 

Date of reporting period: 10/31/21

 

Item 1. Reports to Stockholders.

 

HOLBROOK INCOME FUND

 

 

(HOLBROOK LOGO)

 

 

Class I Shares (HOBIX)

Investor Class Shares (HOBEX)

Class A Shares (HOBAX)

 

 

 

Semi-Annual Report
 
October 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

Advised by:
Holbrook Holdings, Inc.
1032 Windy Elm Drive
Smyrna, GA 30082

 

www.holbrookholdings.com

1-877-345-8646

 

 

Distributed by Northern Lights Distributors, LLC

Member FINRA

 

 

Holbrook Income Fund
Portfolio Review (Unaudited)
October 31, 2021

 

The Fund’s performance figures* for each period ended October 31, 2021, compared to its benchmark:

 

      Annualized Annualized
  Six Months Return 1 Year Return Since Inception (a) Since Inception (b)
Class I 2.23% 12.30% 5.56% N/A
Investor Class 1.98% 11.67% 5.04% N/A
Class A N/A N/A N/A 0.59%
Class A with load N/A N/A N/A -0.71%
Bank of America/Merrill Lynch 1-3 Year U.S. Corporate/Government Bond Index (c) -0.24% 0.02% 1.74% -0.33%

 

*The performance data quoted here represents past performance. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Past performance is no guarantee of future results. Per the fee table in the prospectus dated August 31, 2021 the Fund’s total annual operating expenses are 1.14% for Class I, 1.64% for Investor Class and 1.39% for Class A shares. The Fund’s advisor has contractually agreed to reduce the Fund’s fees and/or absorb expenses of the Fund until at least September 1, 2022 to ensure that total annual Fund operating expenses after fee waiver and reimbursement (exclusive of any front-end or contingent deferred loads; brokerage fees and commissions; acquired fund fees and expenses, borrowing costs (such as interest and dividend expense on securities sold short); taxes; and extraordinary expenses (such as litigation) will not exceed 1.30%, 1.80% and 1.55% of average daily net assets attributable to Class I shares, Investor Class shares and Class A shares, respectively. This agreement may be terminated by the Fund’s Board of Trustees on 60 days’ written notice to the advisor. These fee waivers and expense reimbursements are subject to possible recoupment from the Fund in future years on a rolling three year basis (within the three years after the fees have been waived or reimbursed) if such recapture can be achieved within the foregoing expense limits as well as any expense limitation that was in effect at the time the waiver or reimbursement was made. For performance information current to the most recent month-end, please call toll-free 1-877-345-8646 or visit www.holbrookholdings.com.

 

(a)Inception date is July 6, 2016 for Class I and Investor Class.

 

(b)Inception date is July 23, 2021 for Class A.

 

(c)The Bank of America/Merrill Lynch 1-3 Year U.S. Corporate/Government Bond Index is a subset of the Bank of America Merrill Lynch U.S. Government/Corporate Index and tracks the performance of investment-grade debt securities with a remaining term to final maturity of less than 3 years. Investors cannot invest directly in an index. Investors cannot invest directly in an index. Index returns are gross of any fees, brokerage commissions or other expenses of investing.

 

Top 10 Holdings by Industry  % of Net Assets 
CLO   32.0%
Asset Management   22.1%
Institutional Financial Services   9.0%
Specialty Finance   5.8%
Banking   5.3%
Oil & Gas Producers   2.8%
Metals & Mining   2.7%
Real Estate Services   2.5%
Other ABS   2.0%
Residential Mortgage   2.0%
Other Assets Less Liabilities   13.8%
    100.0%

 

Please refer to the Portfolio of Investments in this report for a detailed analysis of the Fund’s holdings.

1

 

Holbrook Income Fund
Portfolio of Investments (Unaudited)
October 31, 2021

 

Shares      Variable Rate (%)  Coupon %   Maturity  Fair Value 
     PREFERRED STOCK - 3.5%               
     ASSET MANAGEMENT - 0.5%               
 75,200   Gladstone Investment Corp.     5.000   5/1/2026  $1,966,480 
 40,413   RiverNorth Specialty Finance Corp.     5.875   10/31/2024   1,025,681 
                   2,992,161 
     INDUSTRIAL SUPPORT SERVICES - 0.1%               
 27,017   Alta Equipment Group, Inc.     10.000   Perpetual   763,501 
                     
     OIL & GAS PRODUCERS - 0.3%               
 60,228   Global Partners LP     9.500   Perpetual   1,594,235 
                     
     REAL ESTATE SERVICES - 1.6%               
 6,680   UIRC-GSA International LLC **     6.000  ++ Perpetual   6,980,600 
 3,000   UIRC-GSA International LLC **     6.500  ++ Perpetual   3,030,000 
                   10,010,600 
     REIT - 0.8%               
 200,000   Vinebrook Homes Trust, Inc. **^     6.500   10/7/2027   5,200,000 
                     
     SPECIALTY FINANCE - 0.2%               
 12,000   Priority Income Fund, Inc.     6.250   6/30/2026   304,800 
 35,000   Priority Income Fund, Inc.     6.000   12/31/2026   889,000 
                   1,193,800 
                     
     TOTAL PREFERRED STOCK (Cost - $21,075,424)             21,754,297 
                     
Principal                   
     ASSET BACKED SECURITIES - 38.9%               
     AUTO LOAN - 0.5%               
$2,000,000   Luxury Lease Partners Auto Lease Trust 2019-ARC1 **     8.000   12/15/2026   2,046,205 
 1,250,000   Luxury Lease Partners Auto Lease Trust 2021-ARC2 **     7.000   7/15/2027   1,274,412 
                   3,320,617 
     CLO - 32.0%               
 4,000,000   Bain Capital Credit CLO 2019-1**  3 Month LIBOR + 1.550%  1.674  + 4/19/2034   3,999,992 
 10,000,000   Brightwood Capital MM CLO 2019-1 Ltd. **     2.800   11/15/2030   9,999,671 
 3,000,000   Brightwood Capital MM CLO 2019-1 Ltd. **  3 Month LIBOR + 2.900%  0.000  + 11/15/2030   3,000,000 
 1,000,000   Brightwood Capital MM CLO 2019-1 Ltd. **  3 Month LIBOR + 4.000%  0.000  + 11/15/2030   1,000,000 
 3,000,000   Brightwood Capital MM CLO 2020-1 Ltd.**     4.290   12/15/2028   2,975,508 
 6,500,000   Brightwood Capital MM CLO 2020-1 Ltd.**  3 Month LIBOR + 5.400%  5.516  + 12/15/2028   6,478,589 
 5,010,000   Catamaran CLO 2013-1 Ltd.**  3 Month LIBOR + 1.800%  1.934  + 1/27/2028   5,014,018 
 5,750,000   Catamaran CLO 2013-1 Ltd.**  3 Month LIBOR + 2.800%  2.935  + 1/27/2028   5,797,380 
 5,000,000   Catamaran CLO 2014-1 Ltd.**  3 Month LIBOR + 2.160%  2.288  + 4/22/2030   5,006,250 
 5,000,000   Cathedral Lake VI 2021-6 Ltd.**  3 Month LIBOR + 1.950%  2.074  + 4/25/2034   5,007,650 
 5,000,000   CFIP CLO 2013-1 Ltd.**  3 Month LIBOR + 2.700%  2.832  + 4/20/2029   4,999,970 
 5,000,000   Columbia Cent CLO 2021-31A Ltd.**  3 Month LIBOR + 1.550%  1.681  + 4/20/2034   4,999,990 
 5,000,000   Deerpath Capital CLO 2021-1 Ltd.**  3 Month LIBOR + 1.650%  1.772  + 4/17/2033   4,999,410 
 5,000,000   Deerpath Capital CLO 2021-1 Ltd.**  3 Month LIBOR + 2.000%  2.122  + 4/17/2033   4,999,360 
 5,000,000   Fortress Credit Bsl XI 2021-3 Ltd.**  3 Month LIBOR + 1.800%  0.000  + 7/20/2034   4,999,895 
 2,750,000   Gallatin CLO IX 2018-1 Ltd.**  3 Month LIBOR + 2.100%  2.230  + 1/21/2028   2,737,298 
 5,000,000   Golub Capital Partners CLO 19B-R Ltd.**  3 Month LIBOR + 1.130%  1.262  + 4/20/2034   4,999,995 
 6,000,000   Greywolf CLO II 2013-1 Ltd.**  3 Month LIBOR + 7.050%  7.174  + 4/15/2034   5,994,564 
 2,000,000   Halcyon Loan Advisors Funding 2014-1 Ltd.**  3 Month LIBOR + 3.500%  3.622  + 4/18/2026   1,999,762 
 2,000,000   Halcyon Loan Advisors Funding 2017-2 Ltd.**  3 Month LIBOR + 2.100%  2.222  + 1/17/2030   1,997,488 
 3,725,000   Highbridge Loan Management 7-2015 Ltd.**  3 Month LIBOR + 1.700%  1.825  + 3/15/2027   3,729,656 
 2,610,000   JMP Credit Advisors Clo IV 2017-1 Ltd.**  3 Month LIBOR + 2.650%  2.772  + 7/17/2029   2,614,588 
 4,000,000   Lockwood Grove CLO 2014-1 LTD.**  3 Month LIBOR + 2.000%  2.124  + 1/25/2030   3,982,648 
 8,300,000   Madison Park Funding L 2021-50 Ltd.**  3 Month LIBOR + 1.400%  1.524  + 4/19/2034   8,299,983 
 4,650,000   Marathon CLO 14 2019-2 Ltd.**  3 Month LIBOR + 2.460%  2.591  + 1/20/2033   4,666,182 
 6,000,000   Monroe Capital Mml Clo XI 2021-1A Ltd.  3 Month LIBOR + 1.900%  2.074  + 5/20/2033   5,999,928 
 3,000,000   PennantPark CLO 2020-2 Ltd. **  3 Month LIBOR + 4.250%  4.374  + 1/15/2032   2,999,940 
 5,000,000   PennantPark CLO 2021-3 Ltd. **  3 Month LIBOR + 2.800%  0.000  + 10/22/2032   5,000,000 
 2,250,000   PennantPark CLO 2020-3 Ltd. **  3 Month LIBOR + 4.100%  0.000  + 10/22/2032   2,250,000 
 1,825,000   PennantPark CLO II 2020-2 Ltd.**  3 Month LIBOR + 6.500%  6.624  + 1/15/2032   1,824,916 
 5,000,000   Saranac CLO III 2014-3 Ltd. **  3 Month LIBOR + 2.350%  2.475  + 6/22/2030   4,976,375 
 1,000,000   Saranac Clo VIII 2020-8 Ltd.**     4.325   2/20/2033   1,003,310 
 3,000,000   Saratoga Investment Corp CLO 2013-1 Ltd.**  3 Month LIBOR + 4.000%  4.132  + 4/20/2033   2,999,961 
 4,000,000   Saratoga Investment Corp CLO 2013-1 Ltd.**  3 Month LIBOR + 7.500%  7.631  + 4/20/2033   3,947,644 
 2,750,000   SP 2021-1A C  3 Month LIBOR + 3.000%  3.085  + 10/15/2032   2,749,915 
 2,000,000   Tiaa Clo III 2017-2 Ltd.**  3 Month LIBOR + 1.500%  1.622  + 1/16/2031   2,004,636 
 5,000,000   Tralee CLO II 2013-1 Ltd.**  3 Month LIBOR + 2.800%  2.932  + 7/20/2029   4,998,060 
 6,000,000   Trysail CLO 2021-1 Ltd.**  3 Month LIBOR + 1.850%  1.982  + 7/20/2032   5,999,982 
 5,800,000   Venture XXIII CLO 2016-23 Ltd.**  3 Month LIBOR + 7.550%  7.674  + 7/19/2034   5,744,047 
 1,365,000   Z Capital Credit Partners CLO 2015-1 Ltd.**  3 Month LIBOR + 1.450%  1.572  + 7/16/2027   1,363,343 
 5,698,000   Z Capital Credit Partners CLO 2015-1 Ltd.**  3 Month LIBOR + 1.850%  1.972  + 7/16/2027   5,697,983 
 3,000,000   Z Capital Credit Partners CLO 2019-1 Ltd.**  3 Month LIBOR + 2.900%  3.022  + 7/16/2031   3,000,000 
 1,500,000   Zais CLO 3 2015-1 Ltd.**  3 Month LIBOR + 2.650%  2.774  + 7/15/2031   1,488,981 
 3,420,000   Zais CLO 5 2016-2 Ltd.**  3 Month LIBOR + 2.400%  2.524  + 10/15/2028   3,428,482 
 2,000,000   Zais CLO 5 2016-2 Ltd.**  3 Month LIBOR + 3.300%  3.424  + 10/15/2028   1,976,618 

 

The accompanying notes are an integral part of these financial statements.

2

 

Holbrook Income Fund
Portfolio of Investments (Unaudited)
October 31, 2021

 

Principal                Fair Value 
     ASSET BACKED SECURITIES - 38.9% (Continued)               
     CLO - 32.0% (Continued)               
$2,000,000   Zais CLO 8 2018-1 Ltd.**  3 Month LIBOR + 1.750%  1.874  + 4/15/2029  $1,989,928 
 5,000,000   Zais CLO 9 2018-2 Ltd.**  3 Month LIBOR + 2.350%  2.482  + 7/20/2031   5,013,550 
 1,000,000   Zais CLO 11 2018-11 Ltd.**  3 Month LIBOR + 2.250%  2.382  + 1/20/2032   1,008,994 
 3,100,000   Zais CLO 11 2018-11 Ltd.**  3 Month LIBOR + 2.900%  3.031  + 1/20/2032   3,102,363 
 2,000,000   Zais CLO 17 2021-17 Ltd.**  3 Month LIBOR + 2.680%  2.841  + 10/20/2033   1,999,948 
                   196,868,751 
     CMO - 1.7%               
 1,500,000   Capital Funding Mortgage Trust 2021-24 **  1 Month LIBOR + 3.000%  4.250  + 9/4/2023   1,512,178 
 1,956,110   Farmer Mac Agricultural Real Estate Trust 1992-A **     3.249  + 1/25/2051   1,736,048 
 1,650,000   PRPM 2020-2, LLC **     5.000  ++ 8/25/2025   1,663,989 
 2,350,000   PRPM 2020-6, LLC **     4.703  ++ 11/25/2025   2,356,953 
 3,000,000   VCAT 2021-NPL5, LLC **     3.844  ++ 9/25/2051   2,973,546 
                   10,242,714 
     NON AGENCY CMBS - 0.7%               
 1,000,000   Impact Funding Affordable Multifamily Housing Mortgage Loan Trust 2010-1 **     6.343  + 1/25/2051   1,092,872 
 171,250   XCALI 2020-1 Mortgage Trust **  1 Month LIBOR + 8.000%  9.000  + 5/26/2024   173,814 
 3,000,000   XCALI 2020-5 Mortgage Trust **  1 Month LIBOR + 3.250%  4.250  + 10/15/2023   3,023,814 
                   4,290,500 
     OTHER ABS - 2.0%               
 1,957,750   Coinstar Funding, LLC Series 2017-1 **     5.216   4/25/2047   1,957,997 
 144,309   New Residential Mortgage, LLC 2018-FNT2 **     3.790   7/25/2054   144,642 
 1,724,324   New Residential Mortgage, LLC 2020-FNT2 **     5.437   7/25/2025   1,759,058 
 3,372,672   New Residential Mortgage, LLC **     5.437   6/25/2025   3,427,510 
 5,248,537   NRZ Excess Spread-Collateralized Notes Series 2020-PLS1 **     3.844   12/25/2025   5,284,275 
                   12,573,482 
     RESIDENTIAL MORTGAGE - 2.0%               
 7,500,000   VCAT 2021-NPL1, LLC **     4.826  ++ 12/26/2050   7,469,614 
 5,000,000   VCAT Asset Securitization, LLC **     3.967  ++ 9/25/2051   4,968,681 
                   12,438,295 
                     
     TOTAL ASSET BACKED SECURITIES (Cost - $239,611,496)             239,734,359 
                     
     CONVERTIBLE BONDS - 0.5%               
     SPECIALTY FINANCE - 0.5%               
 225,000   Exantas Capital Corp.     4.500   8/15/2022   223,805 
 2,668,000   New York Mortgage Trust, Inc.     6.250   1/15/2022   2,694,680 
     TOTAL CONVERTIBLE BONDS (Cost - $2,907,698)             2,918,485 
                     
     CORPORATE BONDS - 54.9%               
     ASSET MANAGEMENT - 21.6%               
 6,983,000   Apollo Investment Corp.     5.250   3/3/2025   7,275,253 
 24,550   B. Riley Financial, Inc.     6.750   5/31/2024   635,600 
 74,910   B. Riley Financial, Inc.     5.500   3/31/2026   2,051,785 
 20,000   B. Riley Financial, Inc.     6.500   9/30/2026   532,200 
 2,000,000   Capital Southwest Corp.     3.375   10/1/2026   2,035,000 
 122,519   Capitala Finance Corp.     4.500   5/31/2022   3,100,956 
 339,254   Capitala Finance Corp.     4.500   5/31/2022   8,630,622 
 3,000,000   Fidus Investment Corp.     4.750   1/31/2026   3,166,649 
 67,193   First Eagle Alternative Capital BDC, Inc.     6.125   10/30/2023   1,691,711 
 140,000   First Eagle Alternative Capital BDC, Inc.     5.000   5/25/2026   3,675,000 
 8,000,000   Gladstone Capital Corp.     5.125   1/31/2026   8,500,000 
 5,496   Great Elm Capital Corp.     6.750   6/30/2026   138,224 
 298,928   Great Elm Capital Corp.     5.875   6/30/2026   7,625,653 
 176,300   Hennessy Advisors, Inc.     4.875   12/31/2026   4,522,095 
 184,632   Horizon Technology Finance Corp.     4.875   3/30/2026   4,791,200 
 6,000,000   Investcorp Credit Management BDC, Inc.     4.875   4/1/2026   6,051,143 
 2,000,000   Medallion Financial Corp.**     7.500   12/30/2027   2,060,000 
 8,500,000   Monroe Capital Corp.     4.750   2/15/2026   8,678,914 
 181,514   Newtek Business Services Corp.     5.750   8/1/2024   4,601,380 
 250,670   Newtek Business Services Corp.     5.500   2/1/2026   6,434,699 
 10,000   OFS Credit Co., Inc.     6.125   4/30/2026   254,000 
 27,594   Oxford Square Capital Corp.     6.250   4/30/2026   711,925 
 7,000,000   PennantPark Floating Rate Capital Ltd.     4.250   4/1/2026   7,039,522 
 7,027,000   PennantPark Investment Corp.     4.500   5/1/2026   7,140,625 
 2,500,000   PennantPark Investment Corp.     4.000   11/1/2026   2,489,744 
 286,948   PhenixFIN Corp.     6.125   3/30/2023   7,259,784 
 89,442   Saratoga Investment Corp.     7.250   6/30/2025   2,328,175 
 9,750,000   Saratoga Investment Corp.     4.375   2/28/2026   10,020,502 
 363,500   Trinity Capital, Inc.     7.000   1/16/2025   9,516,430 
                   132,958,791 

 

The accompanying notes are an integral part of these financial statements.

3

 

Holbrook Income Fund
Portfolio of Investments (Unaudited) (Continued)
October 31, 2021

 

Principal      Variable Rate (%)  Coupon%   Maturity  Fair Value 
     CORPORATE BONDS - 54.9% (Continued)               
     BANKING - 5.3%               
$250,000   Bank of America Corp.  4*(CMS30-CMS2)  5.440  + 7/11/2033  $231,250 
 1,451,000   Bank of Nova Scotia  4*(CMS30-CMS2)  4.580  + 7/29/2033   1,334,920 
 5,306,000   Bank of Nova Scotia  4*(USISDA30-USISDA02)  4.580  + 1/30/2034   4,881,520 
 862,000   Bank of Nova Scotia ^  4*(USISDA30-USISDA02)  4.400  + 5/29/2034   793,040 
 217,000   BNP Paribas SA  4*(USISDA30-USISDA05)  1.372  + 4/30/2033   166,005 
 230,000   Citigroup, Inc.     5.124  + 12/23/2029   221,950 
 1,340,000   Citigroup, Inc.  4*(CMS30-CMS2)  4.244  + 8/19/2030   1,262,950 
 1,217,000   Citigroup, Inc.  9*(USISDA30-USISDA05)  4.140  + 6/18/2034   1,107,470 
 459,000   Citigroup, Inc.  4*(USISDA30-USISDA02)  5.432  + 10/31/2034   436,050 
 1,189,000   Citigroup, Inc.  4*(CMS30-CMS2)  7.380  + 1/30/2035   1,087,935 
 1,785,000   Citigroup, Inc.  10*(USISDA30-USISDA02)  9.840  + 4/30/2035   1,660,050 
 60,000   Citigroup, Inc.     6.540  + 8/19/2035   54,900 
 354,000   Citigroup, Inc.  4*(USISDA30-USISDA02)  4.392  + 8/31/2035   320,370 
 1,251,000   Citigroup, Inc.  MULT*(USISDA30-USISDA02)  10.000  + 10/30/2035   1,144,665 
 65,000   Citigroup, Inc.  15*(USISDA30-USISDA02)  10.000  + 11/30/2035   59,475 
 1,220,000   Credit Suisse AG  8*(USISDA30-USISDA02)  9.863  + 7/31/2030   1,268,800 
 1,518,000   Credit Suisse AG  7*(USISDA30-USISDA02)  9.450  + 8/28/2030   1,563,540 
 507,000   Credit Suisse AG  10*(USISDA30-USISDA02)  9.864  + 9/30/2030   522,210 
 1,056,000   Credit Suisse AG     10.000   1/29/2031   1,106,160 
 158,000   Credit Suisse AG  12*(USISDA30-USISDA02)  9.996  + 4/29/2031   164,320 
 7,000,000   Credit Suisse AG  12*(USISDA30-USISDA02)  8.500  + 12/15/2026   6,999,136 
 2,194,000   JPMorgan Chase & Co.  4*(CMS30-CMS2)  4.468  + 4/30/2034   2,040,420 
 500,000   Natixis US Medium-Term Note Program LLC     5.812  + 6/30/2029   485,000 
 1,303,000   Natixis US Medium-Term Note Program LLC  4.5*(USISDA30-USISDA05)  3.388  + 8/29/2033   1,198,760 
 561,000   Natixis US Medium-Term Note Program LLC  5*(USISDA30-USISDA05)  5.805  + 11/27/2033   518,925 
 1,778,000   Natixis US Medium-Term Note Program LLC  7.5*(USISDA30-USISDA05-0.25%)  4.552  + 7/31/2034   1,617,980 
 50,000   Royal Bank of Canada  4.5*(USISDA30-USISDA05)  2.066  + 6/30/2029   45,250 
 230,000   Royal Bank of Canada  7.5*(CMS30-CMS5)  3.773  + 8/28/2034   212,750 
                   32,505,801 
     CHEMICALS - 0.3%               
 2,000,000   C3 Nano, Inc.**     6.500   2/15/2024   2,020,000 
                     
     COMMERCIAL SUPPORT SERVICES - 1.4%               
 364,171   Charah Solutions, Inc.     8.500   8/31/2026   8,944,040 
                     
     ELECTRICAL EQUIPMENT - 0.3%               
 65,211   Babcock & Wilcox Enterprises, Inc.     8.125   2/28/2026   1,716,354 
                     
     ENTERTAINMENT CONTENT - 0.5%               
 131,795   Chicken Soup For The Soul Entertainment, Inc.     9.500   7/31/2025   3,398,993 
                     
     INSTITUTIONAL FINANCIAL SERVICES - 5.8%               
 80,000   Arlington Asset Investment Corp.     6.000   8/1/2026   2,002,400 
 2,000,000   Cowen, Inc.     7.250   5/6/2024   2,147,750 
 939,000   Goldman Sachs Group, Inc.     2.840  + 6/19/2028   863,880 
 249,000   Jefferies Group LLC  7.5*(USISDA30-USUSDA02)  10.000  + 5/31/2034   256,470 
 4,484,000   Jefferies Group LLC  10*(USISDA10-USISDA02)  10.000  + 6/30/2037   4,640,940 
 975,000   Jefferies Group LLC     9.000  + 7/31/2037   1,061,580 
 556,000   Jefferies Group LLC  9*(USISDA10-USISDA02)  8.000  + 8/31/2037   572,680 
 1,813,000   Jefferies Group LLC  8*(USISDA10-USISDA02)  8.000  + 9/30/2037   1,831,130 
 4,262,000   Jefferies Group LLC  10*(USISDA10-USISDA02)  10.000  + 10/31/2037   4,411,170 
 1,968,000   Morgan Stanley     6.690  + 7/20/2025   2,027,040 
 411,000   Morgan Stanley  4*(USISDA30-USISDA02)  5.812  + 6/30/2026   408,945 
 960,000   Morgan Stanley     9.443  + 7/29/2026   1,003,200 
 1,920,000   Morgan Stanley  5*(USISDA30-USISDA02)  7.265  + 3/30/2027   1,920,000 
 232,000   Morgan Stanley     10.000  + 5/31/2027   241,280 
 328,000   Morgan Stanley     4.396  + 6/7/2028   305,040 
 215,000   Morgan Stanley  4.5*(USISDA30-USISDA05)  3.438  + 7/31/2028   201,025 
 827,000   Morgan Stanley  4*(USISDA30-USISDA02)  7.088  + 8/19/2028   789,785 
 151,000   Morgan Stanley     8.850  + 8/30/2028   151,000 
 2,269,000   Morgan Stanley  5*(USISDA30-USISDA02)  8.586  + 8/30/2028   2,269,000 
 753,000   Morgan Stanley  5*(USISDA30-USISDA02)  6.915  + 10/15/2028   753,000 
 1,074,000   Morgan Stanley     5.392  + 10/31/2028   998,820 
 57,000   Morgan Stanley  4*(USISDA30-USISDA02)  8.700  + 4/30/2030   57,570 
 762,000   Morgan Stanley     10.000  + 8/31/2030   781,050 
 254,000   Morgan Stanley     7.250  + 9/30/2030   252,730 
 286,000   Morgan Stanley  5*(USISDA30-USISDA02)  7.250  + 10/30/2030   284,570 
 266,000   Morgan Stanley  10*(USISDA30-USISDA02)  7.250  + 11/30/2030   264,670 
 175,000   Morgan Stanley  10*(USISDA30-USISDA02)  10.000  + 11/30/2030   183,750 
 195,000   Morgan Stanley     5.392  + 2/28/2034   177,450 
 543,000   Morgan Stanley     5.392  + 2/28/2034   500,918 
 965,000   Morgan Stanley ^     5.800  + 3/31/2034   890,213 
 302,000   Morgan Stanley  4*(CMS30-CMS2)  5.392  + 4/30/2034   278,595 

 

The accompanying notes are an integral part of these financial statements.

4

 

Holbrook Income Fund
Portfolio of Investments (Unaudited) (Continued)
October 31, 2021

 

Principal      Variable Rate (%)  Coupon%   Maturity  Fair Value 
     CORPORATE BONDS - 54.9% (Continued)               
     INSTITUTIONAL FINANCIAL SERVICES - 5.8% (Continued)               
$599,000   Morgan Stanley     5.800  + 5/30/2034  $552,578 
 200,000   Morgan Stanley     5.800  + 7/31/2034   184,500 
 737,000   Morgan Stanley ^     8.100  + 9/30/2034   751,740 
 1,731,000   Morgan Stanley     6.750  + 11/28/2034   1,609,830 
                   35,626,299 
     INSURANCE - 1.4%               
 7,720,000   AmTrust Financial Services, Inc.     6.125   8/15/2023   7,801,380 
 58,410   Atlas Financial Holdings, Inc.     6.625   4/26/2022   766,631 
                   8,568,011 
     MACHINERY - 0.0%               
 2,500,000   Briggs & Stratton Corp. #     6.875   12/15/2020   209,375 
                     
     METALS & MINING - 2.7%               
 7,615,000   Alliance Resource Operating Partners LP**     7.500   5/1/2025   7,742,209 
 253,765   Ramaco Resources, Inc.     9.000   7/30/2026   6,775,526 
 1,894,000   Warrior Met Coal, Inc.**     8.000   11/1/2024   1,913,120 
                   16,430,855 
     OIL & GAS PRODUCERS - 2.5%               
 7,000,000   Talos Production, Inc.     12.000   1/15/2026   7,605,185 
 8,000,000   W&T Offshore, Inc. **     9.750   11/1/2023   7,809,760 
                   15,414,945 
     OIL & GAS SERVICES & EQUIPMENT - 0.3%               
 2,000,000   Exterran Energy Solutions, L.P.     8.125   5/1/2025   1,938,520 
                     
     REAL ESTATE SERVICES - 0.9%               
 5,000,000   Carrington HLDG Company LLC **     8.000   1/1/2026   5,365,850 
                     
     REIT - 0.6%               
 101,000   Gladstone Land Corp.     5.000   1/31/2026   2,631,050 
 30,000   HC Government Realty Trust, Inc. **     7.000   8/14/2027   802,500 
                   3,433,550 
     SEMICONDUCTOR - 1.0%               
 6,000,000   Uniquify, Inc.**     6.000   6/15/2024   6,000,000 
                     
     SOFTWARE - 2.0%               
 7,000,000   Adomni, Inc.     5.000   10/15/2024   7,000,000 
 5,130,000   Blast Motion, Inc.**     7.000   1/15/2024   5,206,950 
 17,963   Synchronoss Technologies, Inc.     8.375   6/30/2026   434,345 
                   12,641,295 
     SPECIALTY FINANCE - 8.3%               
 2,000,000   ACRES Commercial Realty Corp.     5.750   8/15/2026   2,032,100 
 1,000,000   Dakota Financial, LLC **     5.000   9/30/2026   993,589 
 4,000,000   InvestCo, LLC **     5.125   8/13/2026   4,010,000 
 1,305,000   Morgan Stanley Finance LLC ^     9.000  + 9/30/2036   1,383,300 
 230,000   Morgan Stanley Finance LLC     10.000  + 12/30/2036   243,800 
 561,000   Morgan Stanley Finance LLC  20*(USISDA30-USISDA02)  9.000  + 4/28/2037   594,660 
 1,357,000   Morgan Stanley Finance LLC  20*(USISDA30-USISDA02)  10.000  + 9/29/2037   1,411,280 
 4,000,000   National Funding, Inc. **     5.750   8/31/2026   4,010,000 
 7,000,000   Nexpoint Real Estate Finance, Inc.     5.750   5/1/2026   7,232,121 
 313,648   Ready Capital Corp.     7.000   8/15/2023   8,371,265 
 265,192   Ready Capital Corp.     5.750   2/15/2026   6,767,700 
 60,680   Sachem Capital Corp.     7.125   6/30/2024   1,532,170 
 74,152   Sachem Capital Corp.     6.875   12/30/2024   1,872,338 
 79,630   Sachem Capital Corp.     7.750   9/30/2025   2,058,435 
 3,000,000   Synergy One Lending, Inc.     5.500   10/14/2026   3,000,000 
 500,000   X-Caliber Funding, LLC **     11.000   9/24/2024   516,903 
 3,000,000   X-Caliber Funding, LLC **     5.000   9/24/2024   3,000,000 
 2,000,000   X-Caliber Funding, LLC **  1 Month LIBOR + 3.000%  4.000  + 10/1/2024   2,000,000 
                   51,029,661 
                     
     TOTAL CORPORATE BONDS (Cost - $331,393,472)             338,202,340 
                     
     NON U.S GOVERNMENT & AGENCIES - 0.9%               
     SUPRANATIONAL - 0.9%               
 165,000   International Bank for Reconstruction & Development     2.812  + 6/30/2034   141,900 
 4,137,000   International Bank for Reconstruction & Development     3.213  + 7/31/2034   3,806,040 
 107,000   International Bank for Reconstruction & Development     2.612  + 8/28/2034   92,020 
 1,642,000   International Bank for Reconstruction & Development     2.277  + 8/28/2034   1,477,800 
     TOTAL NON U.S. GOVERNMENT & AGENCIES (Cost - $5,900,885)             5,517,760 

 

 

The accompanying notes are an integral part of these financial statements.

5

 

Holbrook Income Fund
Portfolio of Investments (Unaudited) (Continued)
October 31, 2021

 

Shares      Fair Value 
     SHORT-TERM INVESTMENTS - 5.0%     
     MONEY MARKET - 5.0%     
 31,008,729   First American Government Obligations Portfolio, Class X, 0.03% *     
     TOTAL SHORT-TERM INVESTMENTS (Cost - $31,008,729)  $31,008,729 
           
     TOTAL INVESTMENTS - 103.7% (Cost - $631,897,704)  $639,135,970 
     LIABILITIES LESS OTHER ASSETS - (3.7)%   (22,901,457)
     NET ASSETS - 100.0%  $616,234,513 

 

+Variable rate security, rate shown represents the rate at October 31, 2021.

 

++Step rate, rate shown represents the rate at October 31, 2021.

 

*Rate shown represents the rate at October 31, 2021, is subject to change and resets daily.

 

**Securities exempt from registration under Rule 144A of Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. At October 31, 2021, these securities amounted to $311,395,839 or 50.5% of net assets.

 

^The security is illiquid; total illiquid securities represent 1.5% of net assets.

 

#Defaulted security.

 

Perpetual - Perpetual bonds are fixed income instruments without defined maturity dates

 

LIBOR - London Interbank Offered Rate

 

CMS2 - Constant Maturity Swap 2 Year Rate

 

CMS30 - Constant Maturity Swap 30 Year Rate

 

USISDA02 - 2 Year USD ICE Swap Rate

 

USISDA05 - 5 Year USD ICE Swap Rate

 

USISDA10 - 10 Year USD ICE Swap Rate

 

USISDA30 - 30 Year USD ICE Swap Rate

 

The accompanying notes are an integral part of these financial statements.

6

 

Holbrook Income Fund
Statement of Assets and Liabilities
October 31, 2021 (Unaudited)

 

ASSETS     
Investment securities:     
At cost  $631,897,704 
At fair value  $639,135,970 
Dividend and Interest receivable   4,234,342 
Receivable for Fund shares sold   1,960,077 
Receivable for securities sold   139,693 
Prepaid expenses and other assets   179,092 
TOTAL ASSETS   645,649,174 
      
LIABILITIES     
Payable for securities purchased  $27,656,131 
Payable for Fund shares redeemed   948,846 
Dividends payable   367,208 
Investment advisory fees payable   397,370 
Distribution (12b-1) fees payable   44,131 
Payable to related parties   569 
Accrued expenses and other liabilities   406 
TOTAL LIABILITIES   29,414,661 
NET ASSETS  $616,234,513 
      
NET ASSETS CONSIST OF:     
Paid in capital  $609,224,177 
Accumulated earnings   7,010,336 
NET ASSETS  $616,234,513 
      
NET ASSET VALUE PER SHARE:     
Class I Shares:     
Net Assets  $504,466,211 
Shares of beneficial interest outstanding [$0 par value, unlimited shares authorized]   47,248,853 
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share  $10.68 
      
Investor Class Shares:     
Net Assets  $108,343,425 
Shares of beneficial interest outstanding [$0 par value, unlimited shares authorized]   10,104,455 
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share  $10.72 
      
Class A Shares:     
Net Assets  $3,424,877 
Shares of beneficial interest outstanding [$0 par value, unlimited shares authorized]   320,675 
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share  $10.68 
Maximum offering price per share (net asset value plus maximum sales charge of 1.25%) (c)  $10.82 

 

The accompanying notes are an integral part of these financial statements.

7

 

Holbrook Income Fund
Statement of Operations
For the Six Months Ended October 31, 2021 (Unaudited)

 

INVESTMENT INCOME     
Dividend  $3,640,480 
Interest   8,955,246 
TOTAL INVESTMENT INCOME   12,595,726 
      
EXPENSES     
Investment advisory fees   1,905,507 
Distribution (12b-1) fees:     
Investor Class   216,896 
Class A   548 
Administrative services fees   196,856 
Third party Administration servicing fees   172,118 
Transfer agent fees   45,805 
Registration fees   43,850 
Accounting services fees   35,547 
Legal fees   34,742 
Custodian fees   21,810 
Printing and postage expenses   20,297 
Compliance officer fees   13,098 
Audit fees   11,842 
Trustees fees and expenses   6,842 
Insurance expense   6,733 
Other expenses   17,713 
TOTAL EXPENSES   2,750,204 
      
NET INVESTMENT INCOME   9,845,522 
      
REALIZED AND UNREALIZED GAIN ON INVESTMENTS     
Net realized gain from:     
Investments   3,390,423 
Realized gain on investments   3,390,423 
      
Net change in unrealized depreciation on:     
Investments   (3,007,983)
Unrealized depreciation on investments   (3,007,983)
      
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS   382,440 
      
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS  $10,227,962 

 

The accompanying notes are an integral part of these financial statements.

8

 

Holbrook Income Fund
Statements of Changes in Net Assets

 

   For the   For the 
   Six Months Ended   Year Ended 
   October 31, 2021   April 30, 2021 
   (Unaudited)     
FROM OPERATIONS          
Net investment income  $9,845,522   $8,752,674 
Net realized gain from investments   3,390,423    1,348,300 
Unrealized appreciation (depreciation) from investments   (3,007,983)   27,541,970 
Net increase in net assets resulting from operations   10,227,962    37,642,944 
           
DISTRIBUTIONS TO SHAREHOLDERS          
Total Distributions paid:          
Class I   (8,260,174)   (8,534,645)
Investor Class   (1,620,352)   (1,939,810)
Class A(1)   (9,414)   — 
Net decrease in net assets resulting from distributions to shareholders   (9,889,940)   (10,474,455)
           
FROM SHARES OF BENEFICIAL INTEREST          
Proceeds from shares sold:          
Class I   268,011,919    189,935,932 
Investor Class   52,841,023    54,905,200 
Class A(1)   3,487,711    — 
Net asset value of shares issued in reinvestment of distributions:          
Class I   6,846,519    8,246,571 
Investor Class   1,539,356    1,898,334 
Class A   8,954    — 
Payments for shares redeemed:          
Class I   (37,801,302)   (50,230,323)
Investor Class   (14,819,261)   (15,978,818)
Class A(1)   (68,579)   — 
Net increase in net assets from shares of beneficial interest   280,046,340    188,776,896 
           
TOTAL INCREASE IN NET ASSETS   280,384,362    215,945,385 
           
NET ASSETS          
Beginning of Year   335,850,151    119,904,766 
End of Year  $616,234,513   $335,850,151 
           
SHARE ACTIVITY          
Class I:          
Shares Sold   25,102,801    18,307,979 
Shares Reinvested   640,943    808,618 
Shares Redeemed   (3,540,678)   (5,032,227)
Net increase in shares of beneficial interest outstanding   22,203,066    14,084,370 
           
Investor Class:          
Shares Sold   4,926,588    5,282,228 
Shares Reinvested   143,485    185,390 
Shares Redeemed   (1,381,991)   (1,539,328)
Net increase in shares of beneficial interest outstanding   3,688,082    3,928,290 
           
Class A(1):          
Shares Sold   326,251    18,307,979 
Shares Reinvested   838    808,618 
Shares Redeemed   (6,414)   (5,032,227)
Net increase in shares of beneficial interest outstanding   320,675    14,084,370 

 

 

(1)Class A commenced investment operations on July 23, 2021.

 

The accompanying notes are an integral part of these financial statements.

9

 

Holbrook Income Fund
Financial Highlights

 

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout each Year/Period

 

   Class I 
   Six Months Ended   Year Ended   Year Ended   Year Ended   Year Ended   Period Ended 
   October 31, 2021   April 30, 2021   April 30, 2020   April 30, 2019   April 30, 2018   April 30, 2017 
   (Unaudited)                     
Net asset value, beginning of year/period  $10.67   $8.91   $10.13   $10.18   $10.15   $10.00 
Activity from investment operations:                              
Net investment income (2)   0.23    0.51    0.37    0.38    0.41    0.25 
Net realized and unrealized gain (loss) on investments   0.01    1.86    (1.20)   (0.01)   (0.02) (9)   0.15 
Total from investment operations   0.24    2.37    (0.83)   0.37    0.39    0.40 
Less distributions from:                              
Net investment income   (0.23)   (0.61)   (0.39)   (0.39)   (0.36)   (0.25)
Net realized gains   —    —    —    (0.03)   (0.00) *   — 
Total distributions   (0.23)   (0.61)   (0.39)   (0.42)   (0.36)   (0.25)
Net asset value, end of year/period  $10.68   $10.67   $8.91   $10.13   $10.18   $10.15 
Total return (3)   2.23% (4)   27.10% (10)   (8.45)% (10)   3.66%   4.00%   4.03% (4)
Net assets, at end of year/period (000s)  $504,466   $267,123   $97,721   $40,723   $13,956   $262 
Ratio of gross expenses to average net assets (5,7)   1.06% (6)   1.13%   1.16%   1.66%   4.39%   91.70% (6)
Ratio of net expenses to average net assets (7)   1.06% (6)   1.28% (11)   1.30% (11)   1.30%   1.30%   1.30% (6)
Ratio of net investment income to average net assets (7,8)   4.21% (6)   4.98%   3.76%   3.78%   4.02%   3.11% (6)
Portfolio Turnover Rate   21% (4)   74%   106%   78%   138%   109% (4)
                               
   Investor Class 
   Six Months Ended   Year Ended   Year Ended   Year Ended   Year Ended   Period Ended 
   October 31, 2021   April 30, 2021   April 30, 2020   April 30, 2019   April 30, 2018   April 30, 2017 (1) 
   (Unaudited)                     
Net asset value, beginning of year/period  $10.71   $8.92   $10.13   $10.19   $10.15   $10.00 
Activity from investment operations:                              
Net investment income (2)   0.20    0.46    0.33    0.33    0.34    0.16 
Net realized and unrealized gain (loss) on investments   0.01    1.85    (1.20)   (0.02)   0.01    0.20 
Total from investment operations   0.21    2.31    (0.87)   0.31    0.35    0.36 
Less distributions from:                              
Net investment income   (0.20)   (0.52)   (0.34)   (0.34)   (0.31)   (0.21)
Net realized gains   —    —    —    (0.03)   (0.00) *   — 
Total distributions   (0.20)   (0.52)   (0.34)   (0.37)   (0.31)   (0.21)
Net asset value, end of year/period  $10.72   $10.71   $8.92   $10.13   $10.19   $10.15 
Total return (3)   1.98% (4)   26.37%   (8.81)%   3.05%   3.53%   3.63% (4)
Net assets, at end of year/period (000s)  $108,343   $68,727   $22,184   $6,166   $158   $53 
Ratio of gross expenses to average net assets (5,7)   1.56% (6)   1.63%   1.66%   2.16%   4.89%   89.19% (6)
Ratio of net expenses to average net assets (7)   1.56% (6)   1.78% (11)   1.80% (11)   1.80%   1.80%   1.80% (6)
Ratio of net investment income to average net assets (7,8)   3.71% (6)   4.50%   3.38%   3.23%   3.30%   1.97% (6)
Portfolio Turnover Rate   21% (4)   74%   106%   78%   138%   109% (4)

 

(1)Fund commenced investment operations on July 6, 2016.

 

(2)The net investment income per share data was determined using the average shares outstanding throughout each year/period.

 

(3)Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, if any. Had the Advisor not absorbed a portion of Fund expenses, total returns would have been lower.

 

(4)Not Annualized.

 

(5)Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Advisor.

 

(6)Annualized.

 

(7)Does not include expenses of other investment companies in which the Fund invests.

 

(8)Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by underlying investment companies in which the Fund invests.

 

(9)Realized and unrealized gains per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share and may not reconcile with the aggregate gains and losses in the statement of operations due to the timing of share transactions.

 

(10)Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

 

(11)Inclusive of Advisor’s recapture of waived/reimbursed fees from prior periods.

 

*Per share amount represents less than $0.01 per share.

 

The accompanying notes are an integral part of these financial statements.

10

 

Holbrook Income Fund
Financial Highlights

 

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout each Period

 

   Class A 
   Period Ended 
   October 31, 2021 
   (Unaudited) 
Net asset value, beginning of period  $10.68 
Activity from investment operations:     
Net investment income (2)   0.12 
Net realized and unrealized gain (loss) on investments   (0.06)
Total from investment operations   0.06 
Less distributions from:     
Net investment income   (0.06)
Net realized gains   — 
Total distributions   (0.06)
Net asset value, end of period  $10.68 
Total return (3)   0.59% (4)
Net assets, at end of period (000s)  $3,425 
Ratio of gross expenses to average net assets (5,7)   1.33% (6)
Ratio of net expenses to average net assets (7)   1.33% (6)
Ratio of net investment income to average net assets (7,8)   4.15% (6)
Portfolio Turnover Rate   21% (4)

 

(1)Class A commenced investment operations on July 23, 2021.

 

(2)The net investment income per share data was determined using the average shares outstanding throughout each period.

 

(3)Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, if any. Had the Advisor not absorbed a portion of Fund expenses, total returns would have been lower.

 

(4)Not Annualized.

 

(5)Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Advisor.

 

(6)Annualized.

 

(7)Does not include expenses of other investment companies in which the Fund invests.

 

(8)Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by underlying investment companies in which the Fund invests.

 

The accompanying notes are an integral part of these financial statements.

11

 

Holbrook Income Fund
Notes to Financial Statements (Unaudited)
October 31, 2021
 
1.ORGANIZATION

 

The Holbrook Income Fund (the “Fund”) is a series of shares of beneficial interest of the Two Roads Shared Trust (the “Trust”), a statutory trust organized under the laws of the State of Delaware on June 8, 2012, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, open-end management investment company. Class I and Investor Class shares commenced investment operations on July 6, 2016. Class A shares commenced investment operations on July 23, 2021. The investment objective is to provide current income, with a secondary objective of capital preservation in a rising interest rate environment.

 

The Fund offers Class I, Investor Class and Class A shares. All classes of shares are sold at net asset value without an initial sales charge. Class I shares are not subject to 12b-1 distribution fees, but have a higher minimum initial investment than the Investor Class and Class A shares. Each share class represents an interest in the same assets of the Fund and classes are identical except for differences in their ongoing service and distribution charges. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans. The Fund’s income, expenses (other than class specific distribution fees) and realized and unrealized gains and losses are allocated proportionately each day based upon the relative net assets of each class.

 

2.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

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

 

Security Valuation – Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ at the NASDAQ Official Closing Price (“NOCP”). In the absence of a sale such securities shall be valued at the mean between the last bid and ask prices on the day of valuation. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Trust’s Board of Trustees (the “Board”) based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions or market quotations from a major market maker in the securities. The independent pricing service does not distinguish between smaller-sized bond positions known as “odd lots” and larger institutional-sized bond positions known as “round lots”. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost. Investments in open-end investment companies are valued at net asset value.

 

The Fund may hold securities, such as private investments, interests in commodity pools, other non-traded securities or temporarily illiquid securities, for which market quotations are not readily available or are determined to be unreliable. These securities will be valued using the “fair value” procedures approved by the Board. The Board has delegated execution of these procedures to a Fair Value Committee composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) advisor. The committee may also enlist third party consultants such a valuation specialist at a public accounting firm, valuation consultant or financial officer of a security issuer on an as-needed basis to assist in determining a security-specific fair value. The Board has also engaged a third party valuation firm to, as needed, attend valuation meetings held by the Trust, review minutes of such meetings and report to the Board on a quarterly basis. The Board reviews and ratifies the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results.

12

 

Holbrook Income Fund
Notes to Financial Statements (Unaudited) (Continued)
October 31, 2021
 

Fair Valuation Process. The Fair Value Committee is composed of one or more representatives from each of the (i) Trust, (ii)administrator, and (iii) advisor. The applicable investments are valued collectively via inputs from each group. For example, fair value determinations are required for the following securities: (i) securities for which market quotations are insufficient or not readily available on a particular business day (including securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source); (ii) securities for which, in the judgment of the advisor, the prices or values available do not represent the fair value of the instrument; factors which may cause the advisor to make such a judgment include, but are not limited to, the following: only a bid price or an asked price is available; the spread between bid and asked prices is substantial; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets, such as the suspension or limitation of trading; (iii) securities determined to be illiquid; and (iv) securities with respect to which an event that will affect the value thereof has occurred (a “significant event”) since the closing prices were established on the principal exchange on which they are traded, but prior to a Fund’s calculation of its net asset value. Specifically, interests in commodity pools or managed futures pools are valued on a daily basis by reference to the closing market prices of each futures contract or other asset held by a pool, as adjusted for pool expenses. Restricted or illiquid securities, such as private investments or non-traded securities are valued via inputs from the advisor based upon the current bid for the security from two or more independent dealers or other parties reasonably familiar with the facts and circumstances of the security (who should take into consideration all relevant factors as may be appropriate under the circumstances). If the advisor is unable to obtain a current bid from such independent dealers or other independent parties, the Fair Value Committee shall determine the fair value of such security using the following factors: (i) the type of security; (ii) the cost at date of purchase; (iii) the size and nature of the Fund’s holdings; (iv) the discount from market value of unrestricted securities of the same class at the time of purchase and subsequent thereto; (v) information as to any transactions or offers with respect to the security; (vi) the nature and duration of restrictions on disposition of the security and the existence of any registration rights; (vii) how the yield of the security compares to similar securities of companies of similar or equal creditworthiness; (viii) the level of recent trades of similar or comparable securities; (ix) the liquidity characteristics of the security; (x) current market conditions; and (xi) the market value of any securities into which the security is convertible or exchangeable.

 

The Fund utilizes various methods to measure the fair value of all of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

 

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Fund has 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 Fund’s 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.

13

 

Holbrook Income Fund
Notes to Financial Statements (Unaudited) (Continued)
October 31, 2021
 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of October 31, 2021, for the Fund’s assets and liabilities measured at fair value:

 

Assets *  Level 1   Level 2   Level 3   Total 
Preferred Stock  $11,743,697   $10,010,600   $—   $21,754,297 
Asset Backed Securities   —    239,734,359    —    239,734,359 
Convertible Bonds   —    2,918,485    —    2,918,485 
Corporate Bonds   116,575,187    221,627,153    —    338,202,340 
Non U.S. Government & Agencies   —    5,517,760    —    5,517,760 
Short-Term Investments   31,008,729    —    —    31,008,729 
Total Assets  $159,327,613   $479,808,357   $—   $639,135,970 

 

*Refer to the Portfolio of Investments for classifications.

 

The Fund did not hold any Level 3 securities during the period.

 

Security Transactions and Related Income – Security transactions are accounted for on a trade date basis. Interest income is recognized on an accrual basis. Discounts are accreted and premiums are amortized on securities purchased over the lives of the respective securities. Dividend income is recorded on the ex-dividend date. Realized gains or losses from sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds.

 

Dividends and Distributions to Shareholders – Dividends from net investment income are declared daily and distributed monthly. Distributable net realized capital gains are declared and distributed annually. Dividends from net investment income and distributions from net realized gains are recorded on ex dividend date and determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary (i.e., deferred losses, capital loss carry forwards) or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences do not require reclassification.

 

Federal Income Taxes – It is the Fund’s policy to qualify as a regulated investment company by complying with the provisions of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of its taxable income and net realized gains to shareholders. Therefore, no federal income tax provision has been recorded.

 

The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Fund’s tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken for open tax years 2019-2021 or expected to be taken in the Fund’s April 30, 2022 tax returns. The Fund identifies its major tax jurisdictions as U.S. Federal, Ohio and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably expected that the total amounts of unrecognized tax benefits will change materially in the next twelve months.

 

3.PRINCIPAL INVESTMENT RISKS

 

The Fund’s investments in securities, financial instruments and derivatives expose it to various risks, certain of which are discussed below. The Fund’s prospectus and statement of additional information include a more full listing of risks associated with the Fund’s investments which include, but are not limited to: Baby Bond Risk, Business Development Company (“BDC”) Risk, Closed End Fund Risk, Collateralized Loan Obligations Risk, Credit Risk, Currency Risk, Cybersecurity Risk, Derivatives Risk, Emerging Markets Risk, Financial Services Sector Risk, Fixed Income Securities Risk, Foreign (Non-U.S.) Investment Risk, Gap Risk, High Yield Risk, Industry Concentration Risk, Investment Companies and Exchange-Traded

14

 

Holbrook Income Fund
Notes to Financial Statements (Unaudited) (Continued)
October 31, 2021
 

Funds (“ETFs”) Risk, LIBOR Risk, Liquidity Risk, Management Risk, Market Risk, Market Events Risk, Portfolio Turnover Risk, Preferred Stock Risk, Quantitative Investing Risk, Treasury Inflation Protected Securities Risk, Underlying Fund Risk, U.S. Government Securities Risk, Valuation Risk and Volatility Risk.

 

Baby Bonds Risk – The primary risk associated with the Fund’s investments in baby bonds is that the issuer or insurer of a baby bond may default on principal and/or interest payments when due on the baby bond. Such a default would have the effect of lessening the income generated by the Fund and/or the value of the baby bonds. Baby bonds are also subject to typical credit ratings risks associated with other fixed-income instruments. Baby bond securities are classified as Corporate Bonds on the Portfolio of Investments.

 

Collateralized Loan Obligations Risk – The Fund is subject to certain risks as a result of its investments in CLOs. The CLO’s performance is linked to the expertise of the CLO manager and its ability to manage the CLO portfolio. The experience of a CLO manager plays an important role in the rating and risk assessment of CLO debt securities. One of the primary risks to investors of a CLO is the potential change in CLO manager, over which the Fund will have no control. The Fund may be adversely affected by new (or revised) laws or regulations that may be imposed by government regulators or self-regulatory organizations that supervise the financial markets. Changes in the regulation of CLOs may adversely affect the value of the investments held by the Fund and the ability of the Fund to execute its investment strategy. CLO debt securities are limited recourse obligations of their issuers. CLO investors must rely solely on distributions from the underlying assets for payments on the CLO debt they hold. CLO debt is not guaranteed by the issuer or any other party. If income from the underlying loans is insufficient to make payments on the CLO debt, no other assets will be available for payment. CLO debt securities may be subject to redemption. In the event of an early redemption, holders of the CLO debt being redeemed will be repaid earlier than the stated maturity of the debt. The timing of redemptions may adversely affect the returns on CLO debt. The CLO manager may not find suitable assets in which to invest during the reinvestment period or to replace assets that the manager has determined are no longer suitable for investment. Additionally, there is a risk that the reinvestment period may terminate early if, for example, the CLO defaults on payments on the securities which it issues or if the CLO manager determines that it can no longer reinvest in underlying assets. Early termination of the reinvestment period could adversely affect a CLO investment.

 

Fixed Income Securities Risk – Fixed income securities are subject to interest rate risk, call risk, prepayment and extension risk, credit risk, duration, and liquidity risk. In addition, current market conditions may pose heightened risks for fixed income securities. When the Fund invests in fixed income securities or derivatives, the value of your investment in the Fund will fluctuate with changes in interest rates. Typically, a rise in interest rates causes a decline in the value of fixed income securities or derivatives owned by the Fund. [Risks associated with rising interest rates are heightened given that interest rates in the U.S. currently remain near historic lows.] Moreover, new regulations applicable to and changing business practices of financial intermediaries that make markets in fixed income securities have resulted in less market making activity for certain fixed income securities, which has reduced the liquidity and may increase the volatility for such fixed income securities. The fixed-income securities market can be susceptible to increases in volatility and decreases in liquidity. Liquidity may decline unpredictably in response to overall economic conditions or credit tightening. Longer-term securities may be more sensitive to interest rate changes.

 

LIBOR Risk – The Fund may invest in securities and other instruments whose interest payments are determined by references to the London Interbank Offered Rate (“LIBOR”).

 

The United Kingdom Financial Conduct Authority, which regulates LIBOR, announced that after 2021 it will cease its active encouragement of banks to provide the quotations needed to sustain LIBOR. On March 5, 2021, ICE Benchmark Administration Limited, the administrator of LIBOR, announced its intention to cease publishing a majority of the USD LIBOR rates after publication on June 30, 2023, with the one week and two months USD LIBOR rates to cease after publication on December 31, 2021. The U.S. Federal Reserve, based on the recommendations of the Alternative Reference Rates Committee (comprised of major derivative market participants and their regulators), has begun publishing Secured Overnight Financing Rate (SOFR), a broad measure of secured overnight U.S. Treasury repo rates, that is intended to replace USD LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun

15

 

Holbrook Income Fund
Notes to Financial Statements (Unaudited) (Continued)
October 31, 2021
 

publication. The unavailability of LIBOR presents risks to the Fund, including the risk that any pricing or adjustments to the Fund’s investments resulting from a substitute or alternate reference rate may adversely affect the Fund’s performance and/or NAV. It remains uncertain how such changes would be implemented and the effects such changes would have on the Fund, including any negative effects on the Fund’s liquidity and valuation of the Fund’s investments, issuers of instruments in which the Fund invests and financial markets generally.

 

Market Risk – Overall market risk may affect the value of individual instruments in which the Fund invests. The Fund is subject to the risk that the securities markets will move down, sometimes rapidly and unpredictably, based on overall economic conditions and other factors, which may negatively affect the Fund’s performance. Factors such as domestic and foreign (non-U.S.) economic growth and market conditions, real or perceived adverse economic or political conditions, inflation, changes in interest rate levels, lack of liquidity in the bond and other markets, volatility in the securities markets, adverse investor sentiment affect the securities markets and political events effect the securities markets. Securities markets also may experience long periods of decline in value. When the value of the Fund’s investments goes down, your investment in the Fund decreases in value and you could lose money.

 

Local, state, regional, national or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Fund and its investments and could result in decreases to the Fund’s net asset value. Political, geopolitical, natural and other events, including war, terrorism, trade disputes, government shutdowns, market closures, natural and environmental disasters, epidemics, pandemics and other public health crises and related events and governments’ reactions to such events have led, and in the future may lead, to economic uncertainty, decreased economic activity, increased market volatility and other disruptive effects on U.S. and global economies and markets. Such events may have significant adverse direct or indirect effects on the Fund and its investments. For example, a widespread health crisis such as a global pandemic could cause substantial market volatility, exchange trading suspensions and closures, impact the ability to complete redemptions, and affect Fund performance. A health crisis may exacerbate other pre-existing political, social and economic risks. In addition, the increasing interconnectedness of markets around the world may result in many markets being affected by events or conditions in a single country or region or events affecting a single or small number of issuers.

 

COVID-19 has resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, business and school closings, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen.

 

Preferred Stock Risk – The value of preferred stocks will fluctuate with changes in interest rates. Typically, a rise in interest rates causes a decline in the value of preferred stock. Preferred stocks are also subject to credit risk, which is the possibility that an issuer of preferred stock will fail to make its dividend payments. Preferred stock prices tend to move more slowly upwards than common stock prices. Convertible preferred stock tends to be more volatile than non-convertible preferred stock, because its value is related to the price of the issuer’s common stock as well as the dividends payable on the preferred stock. The value of preferred stocks will usually react more strongly than bonds and other debt securities to actual or perceived changes in issuer’s financial condition or prospects and may be less liquid than common stocks.

 

Expenses – Expenses of the Trust that are directly identifiable to a specific fund are charged to that fund. Expenses, which are not readily identifiable to a specific fund, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the funds in the Trust.

 

Indemnification – The Trust indemnifies its officers and trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnities. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund expects the risk of loss due to these warranties and indemnities to be remote.

16

 

Holbrook Income Fund
Notes to Financial Statements (Unaudited) (Continued)
October 31, 2021
 
4.INVESTMENT TRANSACTIONS

 

The cost of purchases and proceeds from the sale of securities, other than short-term investments, for the year ended October 31, 2021, amounted to $371,201,540 and $98,514,847, respectively.

 

5.INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES

 

Advisory Fees – Holbrook Holdings, Inc. serves as the Fund’s Investment Advisor (the “Advisor”). Pursuant to an Investment Advisory Agreement with the Fund, the Advisor, under the oversight of the Board, directs the daily operations of the Fund and supervises the performance of administrative and professional services provided by others. As compensation for its services and the related expenses borne by the Advisor, the Fund pays the Advisor an investment advisory fee, computed and accrued daily and paid monthly, at an annual rate of 0.80% of the Fund’s average daily net assets.

 

The Advisor has contractually agreed to reduce its fees and/or absorb expenses of the Fund (The “Waiver Agreement”), until at least September 1, 2022, to ensure that Total Annual Fund Operating Expenses after fee waiver and/or reimbursement (exclusive of any front-end or contingent deferred loads; brokerage fees and commissions; acquired fund fees and expenses; borrowing costs (such as interest and dividend expense on securities sold short); taxes; and extraordinary expenses (such as litigation)) will not exceed 1.30%, 1.80% and 1.55% of the Fund’s average daily net assets for Class I, Investor Class and Class A shares, respectively, subject to possible recoupment (or recapture) from the Fund in future years on a rolling three year basis (within the three years after the fees have been waived or reimbursed) if such recoupment (or recapture) can be achieved within the foregoing expense limits as well as any expense limitation that was in effect at the time the waiver or reimbursement was made.

 

If the Advisor waives any fee or reimburses any expense pursuant to the Waiver Agreement, and within three years of such waiver or reimbursement, the Fund’s Operating Expenses are subsequently less than 1.30%, 1.80% and 1.55% of average daily net assets attributable to Class I, Investor Class and Class A shares, respectively, the Advisor shall be entitled to recoupment or recapture from the Fund for such waived fees or reimbursed expenses provided that such recoupment (or recapture) does not cause the Fund’s expenses to exceed 1.30%, 1.80% and 1.55% of average daily net assets for Class I, Investor Class and Class A shares, respectively. If Fund Operating Expenses attributable to Class I, Investor Class, Class A shares subsequently exceed 1.30%, 1.80% and 1.55% per annum of the average daily net assets, the recoupment (or recapture) shall be suspended. During the six months ended October 31, 2021, the Advisor did not waive any expenses.

 

The Board has adopted the Trust’s Master Distribution and Shareholder Servicing Plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. The Plan provides that a monthly service and/or distribution fee is calculated by the Fund at an annual rate of 0.50% of its average daily net assets for the Investor Class and is paid to Northern Lights Distributors, LLC (the “Distributor”) to provide compensation for ongoing shareholder servicing and distribution-related activities or services and/or maintenance of the Fund’s shareholder accounts not otherwise required to be provided by the Advisor. For the six months ended October 31, 2021, pursuant to the Plan, the Investor Class paid $216,896 and Class A paid $548.

 

The Distributor acts as the Fund’s principal underwriter in a continuous public offering of the Fund’s Class I, Investor Class and Class A shares. For the six months ended October 31, 2021, the Distributor received $0, $0 and $22,755 in underwriting commissions for sales of Class I, Investor Class and Class A shares, respectively, of which $0, $0 and $0 was retained by the principal underwriter or other affiliated broker-dealers for Class I, Investor Class and Class A shares, respectively.

 

In addition, certain affiliates of the Distributor provide services to the Fund(s) as follows:

 

Ultimus Funds Solutions, LLC (“UFS”) – UFS, an affiliate of the Distributor, provides administration, fund accounting, and transfer agent services to the Trust. Pursuant to separated servicing agreements with UFS, the Fund pays UFS customary fees for providing administration, fund accounting and transfer agency services to the Fund. Certain officers of the Trust are also officers of UFS, and are not paid any fees directly by the Fund for serving in such capacities.

17

 

Holbrook Income Fund
Notes to Financial Statements (Unaudited) (Continued)
October 31, 2021
 

Northern Lights Compliance Services, LLC (“NLCS”) – NLCS, an affiliate of UFS and the Distributor, provides a Chief Compliance Officer to the Trust, as well as related compliance services, pursuant to a consulting agreement between NLCS and the Trust. Under the terms of such agreement, NLCS receives customary fees from the Fund.

 

Blu Giant, LLC (“Blu Giant”) – Blu Giant, an affiliate of UFS and the Distributor, provides EDGAR conversion and filing services as well as print management services for the Fund on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Fund.

 

6.AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS

 

    Gross   Gross   Net Unrealized 
Tax   Unrealized   Unrealized   Appreciation/ 
Cost   Appreciation   Depreciation   (Depreciation) 
$632,143,511   $11,598,512   $(4,606,053)  $6,992,459 
                  
7.DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

 

The tax character of distributions paid during the years ended April 30, 2021 and April 30, 2020 was as follows:

 

   Fiscal Year Ended   Fiscal Period Ended 
   April 30, 2021   April 30, 2020 
Ordinary Income  $10,346,421   $4,218,025 
           

As of April 30, 2021, the components of accumulated earnings/ (deficit) on a tax basis were as follows:

 

Undistributed   Undistributed   Post October Loss   Capital Loss   Other   Unrealized   Total 
Ordinary   Long-Term   and   Carry   Book/Tax   Appreciation/   Accumulated 
Income   Gains   Late Year Loss   Forwards   Differences   (Depreciation)   Earnings/(Deficits) 
$76,347   $—   $—   $(1,850,839)  $(134,182)  $8,580,988   $6,672,314 
                                 

The difference between book basis and tax basis undistributed net investment income/(loss), accumulated net realized losses, and unrealized appreciation from investments is primarily attributable to the tax deferral of losses on wash sales, contingent debt payment instruments, trust preferred securities, partnerships and adjustments for accrued dividends payable.

 

At April 30, 2021, the Funds had capital loss carry forwards for federal income tax purposes available to offset future capital gains, as follows:

 

Non-Expiring   Non-Expiring         
Short-Term   Long-Term   Total   CLCF Utilized 
$1,850,839   $—   $1,850,839   $— 
                  

To the extent permanent differences arise, resulting from differences in treatment for GAAP purposes versus their federal income tax-basis, reclassifications of such amounts within the components of net assets may be necessary. The Fund did not require any reclassifications for the fiscal year ended April 30, 2021.

18

 

Holbrook Income Fund
Notes to Financial Statements (Unaudited) (Continued)
October 31, 2021
 
8.CONTROL OWNERSHIP

 

The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumption of control of the fund, under Section 2(a)(9) of the 1940 Act. As of October 31, 2021, Charles Schwab & Co., Inc. held approximately 46% of the voting securities of the Holbrook Income Fund.

 

9.NEW ACCOUNTING PRONOUNCEMENTS

 

In March 2020, FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting (’‘ASU 2020-04’’). The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any of applying this ASU.

 

10.SUBSEQUENT EVENTS

 

Subsequent events after the date of the Statement of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements.

19

 

Holbrook Income Fund
Expense Example (Unaudited)
October 31, 2021
 

As a shareholder of the Holbrook Income Fund (the “Fund”), you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases, contingent deferred sales charges (CDSCs) and redemption fees; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Holbrook Income Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

 

The example is based on an investment of $1,000 invested at the beginning of the period and held for the six month period from May 1, 2021, through October 31, 2021.

 

Actual Expenses

 

The “Actual Expenses” line in the table below provides information about actual account values and actual expenses. You may use the information below, 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 table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes

 

The “Hypothetical” line in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio 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 balances or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the table 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.

 

   Beginning   Annualized  Ending   Expenses 
   Account   Expense Ratio  Account   Paid During 
   Value 5/01/2021   For the period  Value 10/31/2021   the Period* 
Actual                  
Class I  $1,000.00   1.06%  $1,022.30   $5.40 
Investor Class   1,000.00   1.56%   1,019.80    7.94 
Class A **   1,000.00   1.55%   1,005.90    4.30 
                   
   Beginning   Annualized  Ending   Expenses 
   Account   Expense Ratio  Account   Paid During 
   Value 5/01/2021   For the period  Value 10/31/2021   the Period* 
Hypothetical                  
Class I  $1,000.00   1.06%  $1,019.86   $5.40 
Investor Class   1,000.00   1.56%   1,017.35    7.93 
Class A **   1,000.00   1.55%   1,009.55    7.85 
                   
*Expenses are equal to the Fund’s annualized expense ratio, multiplied by the number of days in the period (184) divided by the number of days in the fiscal year (365).

 

**Class A commenced operations on July 23, 2021, actual expenses are calculated from commencement date through October 31, 2021 (101) divided by the number of days in the fiscal year (365).

20

 

Holbrook Income Fund
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)
October 31, 2021
 

The Funds have adopted and implemented a written liquidity risk management program as required by Rule 22e-4 (the “Liquidity Rule”) under the 1940 Act. The program is reasonably designed to assess and manage each Fund’s liquidity risk, taking into consideration, among other factors, the respective Fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions; its short and long-term cash flow projections; and its cash holdings and access to other funding sources.

 

During the fiscal period ended October 31, 2021, the Trust’s Liquidity Risk Management Program Committee (the “Committee”) reviewed each Fund’s investments and determined that the Funds held adequate levels of cash and highly liquid investments to meet shareholder redemption activities in accordance with applicable requirements. Accordingly, the Committee concluded that (i) the Funds’ liquidity risk management program is reasonably designed to prevent violations of the Liquidity Rule and (ii) the Funds’ liquidity risk management program has been effectively implemented.

21

 

PRIVACY NOTICE

 

FACTS WHAT DOES TWO ROADS SHARED TRUST DO WITH YOUR PERSONAL INFORMATION
   
Why? Financial companies choose how they share your personal information.
   
  Federal law gives consumers the right to limit some but not all sharing.
  Federal law also requires us to tell you how we collect, share, and protect your personal information.
Please read this notice carefully to understand what we do.
   
What? THE TYPES OF PERSONAL INFORMATION WE COLLECT AND SHARE DEPENDS ON THE PRODUCT OR SERVICE THAT YOU HAVE WITH US. THIS INFORMATION CAN INCLUDE:
   
  ●      Social Security number and income
   
  ●      Account transactions and transaction history
   
  ●      Investment experience and purchase history
   
  When you are no longer our customer, we continue to share your information as described in this notice.
   
How? All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reason Two Roads Shared Trust chooses to share and whether you can limit this sharing.

 

Reasons we can share your personal information Does Two Roads
Shared Trust share?		 Can you limit
this sharing?
For our everyday business purposes –    
such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus YES NO
For our marketing purposes – NO We do not share
to offer our products and services to you    
For joint marketing with other financial companies NO We do not share
     
     
For our affiliates’ everyday business purposes – NO We do not share
information about your transactions and experiences    
     
For our affiliates’ everyday business purposes – NO We do not share
information about your creditworthiness    
For our affiliates to market to you NO We do not share
     
For nonaffiliates to market to you NO We do not share
     
Questions? Call 1-402-895-1600

22

 

What we do

How does Two Roads Shared Trust
protect my personal information?

To protect your personal information from unauthorized access and use, we use security measures that comply with federal law.

 
These measures include computer safeguards and secured files and buildings.

   
  Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information.
How does Two Roads Shared Trust We collect your personal information, for example, when you
collect my personal information?  
  ●      open an account or give us contact information
   
  ●      provide account information or give us your income information
   
  ●      make deposits or withdrawals from your account
   
  We also collect your personal information from other companies.
Why can’t I limit all sharing? Federal law gives you the right to limit only
   
  ●      sharing for affiliates’ everyday business purposes – information about your creditworthiness
   
  ●      affiliates from using your information to market to you
   
  ●      sharing for nonaffiliates to market to you
   
  State laws and individual companies may give you additional rights to limit sharing
   
Definitions  
Affiliates Companies related by common ownership or control. They can be financial and nonfinancial companies.
   
  ●      Two Roads Shared Trust has no affiliates.
Nonaffiliates Companies not related by common ownership or control. They can be financial and nonfinancial companies.
   
  ●      Two Roads Shared Trust does not share with nonaffiliates so they can market to you.
Joint marketing A formal agreement between nonaffiliates financial companies that together market financial products or services to you.
   
  ●      Two Roads Shared Trust does not jointly market.

23

 

Proxy Voting Policy

 

Information regarding how the Fund votes proxies relating to portfolio securities for the 12 month period ended June 30th as well as a description of the policies and procedures that the Fund used to determine how to vote proxies is available without charge, upon request, by calling 1-877-345-8646 or by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

Portfolio Holdings

 

The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Form N-PORT is available on the SEC’s website at http://www.sec.gov. The information on Form N-PORT is available without charge, upon request, by calling 1-877-345-8646.

 

This report and the financial statements contained herein are submitted for the general information of shareholders and are not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which contains information about the Fund’s investment objective, risks, fees and expenses. Investors are reminded to read the prospectus carefully before investing in the Fund.

 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Investment Advisor
Holbrook Holdings Inc
1032 Windy Elm Drive
Smyrna, GA 30082
 
Administrator
Ultimus Fund Solutions, LLC
225 Pictoria Drive, Suite 450
Cincinnati, OH 45246
 
 
Holbrook-SA21

 

 

Item 2. Code of Ethics. Not applicable.

 

Item 3. Audit Committee Financial Expert. Not applicable.

 

Item 4. Principal Accountant Fees and Services. Not applicable.

 

Item 5. Audit Committee of Listed Companies. Not applicable to open-end investment companies.

 

Item 6. Schedule of Investments. Schedule of investments in securities of unaffiliated issuers is included under Item 1.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. 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 Funds. Not applicable to open-end investment companies.

 

Item 10. Submission of Matters to a Vote of Security Holders. None

 

Item 11. Controls and Procedures.

 

(a)       Based on an evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of filing date of this Form N-CSR, the principal executive officer and principal financial officer of the Registrant have concluded that the disclosure controls and procedures of the Registrant are reasonably designed to ensure that the information required in filings on Form N-CSR is recorded, processed, summarized, and reported by the filing date, including that information required to be disclosed is accumulated and communicated to the Registrant’s management, including the Registrant’s principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure.

 

(b)       There were no significant changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Item 12. Disclosure of Securities Lending Activities for Closed-Ended Management Investment Companies. Not Applicable.

 

Item 13. Exhibits.

 

(a)(1) Not applicable.

 

(a)(2) Certifications required by Section 302 of the Sarbanes-Oxley Act of 2002 (and Item 11(a) of Form N-CSR) are filed herewith.

 

(a)(3) Not applicable for open-end investment companies.

 

(b)       Certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 (and Item 11(b) of Form N-CSR) are 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) Two Roads Shared Trust

 

By (Signature and Title)

/s/ James Colantino

James Colantino, Principal Executive Officer/President

 

Date 1/6/2022

 

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/ James Colantino

James Colantino, Principal Executive Officer/President

 

Date 1/6/2022

 

 

By (Signature and Title)

/s/ Laura Szalyga

Laura Szalyga, Principal Financial Officer/Treasurer

 

Date 1/6/2022