N-CSR 1 fp0084197-1_ncsr.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: June 30, 2023

 

 

Item 1. Report to Stockholders.

 

The registrant’s 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)

 

ANNUAL REPORT

JUNE 30, 2023

 

 

Palmer Square Funds

Each a series of Investment Managers Series Trust

 

Table of Contents

 

Income Plus Fund

 

Letter to Shareholders 1
Fund Performance 13
Schedule of Investments 14
Statement of Assets and Liabilities 42
Statement of Operations 43
Statements of Changes in Net Assets 44
Financial Highlights 45
   
Ultra-Short Duration Investment Grade Fund  
Letter to Shareholders 46
Fund Performance 52
Schedule of Investments 53
Statement of Assets and Liabilities 64
Statement of Operations 65
Statements of Changes in Net Assets 66
Financial Highlights 67
   
Notes to Financial Statements 68
Report of Independent Registered Public Accounting Firm 84
Supplemental Information 86
Expense Examples 89

 

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 (PSYPX)

 

 

June 2023

 

Fund Refresher

 

As a refresher, the investment objective of the Palmer Square Income Plus Fund ("PSYPX" or the "Fund") is income and capital appreciation. In seeking to achieve that investment objective, the Investment Team employs a flexible mandate to find the best relative value across corporate credit and structured credit. The Fund has also historically maintained low interest rate duration* and high credit quality. Due to the Fund's high-quality bias we are very comfortable with the underlying credit quality of the holdings and ability to avoid credit losses; over 80% of the portfolio is rated investment grade ("IG") and over 55% is rated A or higher. Spread duration* is 2.4 years.

 

What is the Fund trying to achieve in today's market to benefit clients?

 

·Diversified Income Generation – The Fund generates income through a diversified exposure to corporate and structured credit, including primarily corporate bonds, bank loans, collateralized loan obligations ("CLOs"), commercial mortgage backed securities ("CMBS"), residential mortgage backed securities ("RMBS"), asset backed securities ("ABS"), commercial paper and U.S. Treasury securities.
·Low Interest Rate Duration – We have had minimal interest rate duration which drives lower correlation to interest rate sensitive fixed income such as those investments which comprise the Bloomberg U.S. Aggregate Bond Index and Bloomberg 1-3 Year U.S. Corporate Index.
·Capital Preservation – The Fund maintains a high quality bias.
·Total Return – The Fund also seeks capital appreciation through opportunistic portfolio rotations driven by the Investment Team's assessment of relative value. Please note that the Fund can invest up to 30% in high-yield rated ("HY") securities.

 

Portfolio Snapshot

 

Please refer to the table below for a portfolio snapshot by quarter.

 

  6/30/2022 9/30/2022 12/31/2022 3/31/2023 6/30/2023
Interest Rate Duration 0.57 yrs 0.62 yrs 0.64 yrs 0.79 yrs 0.89 yrs
Spread Duration 2.80 yrs 2.65 yrs 2.70 yrs 2.38 yrs 2.36 yrs
Yield to Expected Call* 5.27% 6.46% 6.49% 6.42% 7.07%
Yield to Maturity 5.15% 6.19% 6.26% 6.17% 6.80%
Current Yield 3.24% 4.15% 4.90% 5.36% 5.72%
30-day SEC Yield* (net of fees) 2.39% 3.84% 5.14% 5.67% 5.97%
30-day SEC Yield* (gross of fees) 2.39% 3.84% 5.14% 5.67% 5.97%

 

The performance data quoted represents past performance and that past performance does not guarantee future results. Investment return and principal value will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted. To obtain performance information current to the most recent month-end please call 866-933-9033.

 

*Please see Notes and Disclosure for definitions.

 

 

Palmer Square Capital Management LLC 1900 Shawnee Mission Parkway, Suite 315, Mission Woods, KS 66205 www.palmersquarefunds.com

 1 

 

Relative Value and Current Upside potential

 

·We see a lot of value in CLO debt at current levels, as spreads are near the wides only seen for a few short periods since 2008. If CLO debt levels return to their average post crisis spreads, total return potential is very attractive. Please see the table below highlighting current price/spreads and potential upside from current levels. Yield to expected illustrates yields if spreads were to stay the same and the bonds pull to par by maturity. The Average 1-year upside represents the 1yr total return if spreads return to their 10yr average levels, and the Tight 1-year upside represents the 1yr total return if spreads return to their 10yr tight levels1,2.

 

PALMER SQUARE INCOME PLUS FUND 1yr Forward Breakeven3 3/31/20204 2/28/20165
Rating Allocation Price Spread YTE*

Average

1yr Upside1

Tight 1yr

Upside2

Spread Spread Spread
CLO AAA 11.95% 98.86 169 6.42% 7.64% 8.25% 593 243 186
CLO AA 2.28% 96.02 289 6.81% 8.66% 9.84% 438 349 284
CLO A 0.55% 96.72 304 7.54% 9.42% 12.46% 534 501 394
CLO BBB 11.88% 92.77 577 10.22% 16.59% 19.99% 766 755 661
CLO BB 8.71% 90.90 963 14.24% 22.61% 27.73% 1204 1384 1193
CLO B 0.26% 80.85 1404 18.71% 34.25% 45.78% 1655 1949 1653
ABS 12.41% 98.79 52 5.88% 5.88% 5.88% 655 313 52
CMBS 4.83% 87.02 605 10.80% 23.89% 25.16% 1128 225 75
RMBS 9.42% 87.62 168 5.90% 7.58% 10.55% 345 375 150
Corp HY 5.14% 90.74 260 6.83% 5.86% 9.02% 430 880 726
Corp IG 17.87% 94.65 106 5.87% 5.52% 6.18% 378 272 197
Bank Debt 5.22% 99.84 238 6.70% 7.85% 8.65% 659 844 639
Govt 9.48% 98.32 0 5.38% 5.38% 5.38% 0 0 0
Total 100.00% 94.33 281 7.53% 10.00% 11.66% 576 478 348

 

Source: Bloomberg, Palmer Square, as of 6/30/2023. *YTE, also known as Yield to Expected Call, is a Yield to Call metric that assumes callable bonds are not called at their call date, but some later date prior to maturity. 1Refers to the potential increase in value of the investment in one year if spreads return to 10-year average levels. 2Refers to the potential increase in value of the investment in one year if spreads return to 10-year tight levels. The potential increase in value is calculated by determining the return resulting from the positive or negative difference between the current price of the securities and the price of the securities at the respective spread levels noted in the hypothetical performance (i.e., spread levels at 10-year averages) plus the income from anticipated coupon payments over the next 12 months. For purposes of this analysis, anticipated coupon payments incorporate the forward LIBOR/SOFR curve. 3Refers to the level at which spreads would need to widen in order to cause a negative value in an individual investment over a one-year period. This is determined by reducing a security's price by its expected coupon payments over the next 12 months and then calculating the level of spread widening that would need to occur to move the security's actual price to the reduced price. For purposes of this analysis, anticipated coupon payments incorporate the forward LIBOR/SOFR curve. 4Month end during Covid dislocation. 5Month end of energy market dislocation. Below investment grade ratings are subject to higher risks. Figures shown are not indicative of the performance of the Fund. The presented hypothetical performance does not reflect the impact of material economic and market factors on decision-making, any changes to the strategy over time, and was prepared with the benefit of hindsight. Past performance is no guarantee of future returns.

 

PALMER SQUARE CLO INDEX LEVELS AND 1YR UPSIDE TO AVERAGE/TIGHTS

Rating Current Average Price

Discount

Margin

Yield to Expected Average 1yr Upside1 Tight 1yr Upside2
CLO AAA $98.81 162 6.22% 7.68% 7.94%
CLO AA $97.71 223 6.46% 8.92% 9.69%
CLO A $96.54 290 7.13% 10.20% 11.50%
CLO BBB $93.03 479 9.01% 15.00% 17.69%
CLO BB $87.03 968 14.05% 22.49% 29.38%
CLO B $68.49 1524 19.61% 41.18% 52.86%

 

Source: JPM / Intex / Palmer Square. As of 6/30/2023. Below investment grade ratings are subject to higher risks. Figures shown are not indicative of the performance of the Fund. 1Refers to the potential increase in value of the investment in one year if spreads return to 10-year average levels. 2Refers to the potential increase in value of the investment in one year if spreads return to 10-year tight levels. The potential increase in value is calculated by determining the return resulting from the positive or negative difference between the current price of the securities and the price of the securities at the respective spread levels noted in the hypothetical performance (i.e., spread levels at 10-year averages) plus the income from anticipated coupon payments over the next 12 months. For purposes of this analysis, anticipated coupon payments incorporate the forward LIBOR/SOFR curve. The presented hypothetical performance does not reflect the impact of material economic and market factors on decision making, any changes to the Fund over time, and was prepared with the benefit of hindsight.

 

*Please see Notes and Disclosure for definitions.

 

 

Palmer Square Capital Management LLC 1900 Shawnee Mission Parkway, Suite 315, Mission Woods, KS 66205 www.palmersquarefunds.com

 2 

 

Summary Themes:

 

Performance, Attribution and Positioning;
  
2023 Outlook: Federal Reserve (Fed) Pause, Soft Landing, Earnings Recession, Defaults Contained, Bonds are Back

 

Theme I. Fiscal Year Ending 6/30/2023 Performance. Attribution and Positioning

 

Performance: The Fund delivered a positive return of 5.64% (net of fees) in the fiscal year ending June 30th 2023. This compares to returns of -0.94% and +1.67% for the Bloomberg U.S. Aggregate and Bloomberg 1-3 Year U.S. Corporate indices, respectively, over the same period. The primary driver of the relative performance of the Fund was lower interest rate duration as interest rates increased for most of the period. The secondary driver of relative performance was credit spread tightening, particularly amongst corporate and high yield bonds along with bank loans. The tertiary driver of relative performance was the relatively higher carry of the Fund which in turn was driven by the allocation to floating rate securities (bank loans, CLO debt tranches, floating rate MBS/CMBS, etc.). Given the steep yield curve inversion, floating rate securities benefitted from high short term interest rates, which form the base rate for the quarterly coupon resets (i.e. SOFR + margin). Lastly, the Fund's active management and dynamic asset allocation changes allowed it to exploit credit spread volatility, adding/ subtracting risk generically along with rotations amongst sub classes of credit.

 

Qualitatively, the 12-month period ending June 2023 was very eventful. The period started with credit spreads generally higher across the board, which in turn was due to a deteriorating macro environment combined with high inflation and extremely hawkish monetary policy in both North America and Europe. Spread and rate volatility remained high for the first part of the period until the market started to receive positive data on inflation. This positive data combined with favorable technicals (lack of primary supply, high cash levels, and negative sentiment) led to a broad based rally in both credit and equity markets early in the calendar year. In late March volatility surged after several regional banks failed. However this drawdown proved to be short lived as both credit and equity markets quickly recouped losses and finished the period at the highs (spread tights).

 

Macro-economic data continues to support our house view of a higher-for-longer (than the market expects) interest rate environment. The labor market remains extremely strong with both near record-low unemployment AND historically elevated wage growth. Retail spending remains robust, although some areas (services) are clearly stronger than others (goods). Even the housing market has found new life as, somewhat ironically, the lack of supply of existing homes is pushing home buyers into the new build market. Taking all this into account, plus the absence of something else "breaking" in the system since March, the Fed clearly has scope to continue raising rates. So we agree with the market pricing in 2 more hikes this year, but we don't necessarily agree with the shape of the curve from January 2024 on, which from that point the market is pricing in a full 100bps of cuts throughout the next year. We sympathize. The excess COVID stimulus savings are clearly running out, the resumption in student loan payments in October, plus the general delayed impact of the cumulative increase in interest rates will act as a big liquidity drain on consumer bank accounts. But given the strength of the labor market and lack of a real negative catalyst in the corporate world - inventories are low, balance sheets remain in decent shape, cost inflation is moderating - we think the odds point to a proverbial soft landing rather than a sharp 2%+ contraction in real GDP (Gross Domestic Product). And as long as core inflation is running 3.5%+ AND the labor market remains strong we don't think the Fed would cut rates in a soft landing environment.

 

*Please see Notes and Disclosure for definitions.

 

 

Palmer Square Capital Management LLC 1900 Shawnee Mission Parkway, Suite 315, Mission Woods, KS 66205 www.palmersquarefunds.com

 3 

 

Selected Indices Performance 7/1/2022 to 6/30/2023
Bloomberg U.S. Treasury Index -2.13% (+1.28% yield change)
Bloomberg U.S. Aggregate Bond Index -0.94% (-6bps spread change)
Bloomberg U.S. Corporate Index + 1.55% (-32bps)
Bloomberg 1 -3 Year U.S. Corporate Index + 1.67% (-21bps)
Bloomberg U.S. High Yield Index +9.06% (-179bps)
iBoxx Liquid Leveraged Loan Index + 11.02% (-85bps)
Palmer Square CLO Senior Debt Index +6.77% (-23bps)
Palmer Square CLO Debt Index +9.68% (-1bps)
S&P 500 Index + 19.56%
STOXX 600 Index +24.77%

 

Source: Bloomberg as of 6/30/2023

 

Positioning: The Fund entered the period ending June 2022 with a 21% allocation to cash equivalents (e.g. dry powder* in the form of treasury bills and money-market ABS) to be used after a period of sustained spread widening. In early July we decided to deploy some of this capital given attractive credit valuations that, in our judgement, were pricing in a significantly worse outlook than equities (or commodities for that matter). In total we deployed around 15%, including 4% in HY, 8% in short IG corps, and 3% in CLO debt (mostly AAAs). Some of this allocation was subsequently reduced in mid August after spreads rallied considerably, but exposure was taken back up in HY and IG again in October.
  
Up until early March 2023 the Fund's position was largely unchanged with some tactical reductions in HY and loans after a significant spread rally in January. In the wake of the Silicon Valley Bank (SVB) failure, however, we monetized around 10% of our short- dated corporate bond allocation to cash/T-bills. This was done at a net gain, despite spreads widening, and in some cases spread curves inverting, because the move lower in rates more than offset wider spreads. We also felt that if the banking crisis were to not be contained, there would be a flight to safety in T-bills. The latter happened regardless even though the banking stress was arguably contained by quarter end. We also reduced exposure in CMBS which was the clear underperforming part of credit. Lastly, we net added to HY bonds post SVC after spreads moved over 100bps wider.
  
We continued reducing short IG corps in April as spreads flattened after inverting in March. Corp 1-3Y spreads were 30bps tighter in Q2 vs 16bps for the full Corporate Index. We also reduced the exposure to Treasury Bills (15% to 9%) given the noise around the debt-ceiling crisis and rotated those proceeds into ABS money market tranches that were paying 40-50bps over. So doing this picked up some spread and avoided a potential nonpayment (however unlikely). Lastly, proceeds from the IG Corp sales were used to increase exposure to both agency and non-agency MBS, where we took exposure from 5% to 9%. Agency spreads were already wide at the start of the year (approximately 100bps), but widened out substantially in the aftermath of regional bank failures, partially due to forced selling of portfolios by regional banks to raise liquidity, and then by the FDIC itself which continues to unwind the $120BN MBS portfolio of Signature Bank. In late May we were able pick-up agency sequential pays with spreads in the 150bps area. We liked the sequential structures as they limit extension risk and have WALs* in the 2-4 range.

 

*Please see Notes and Disclosure for definitions.

 

 

Palmer Square Capital Management LLC 1900 Shawnee Mission Parkway, Suite 315, Mission Woods, KS 66205 www.palmersquarefunds.com

 4 

 

Theme II. 2023 Outlook: Fed Pause, Soft Landing, Earnings Recession, Defaults Contained, Bonds are Back

 

Pause, Not Pivot: Recent inflation data is mixed at best, with "goods" prices decelerating but "services" inflation remaining stubbornly high. Core inflation has also likely peaked, but what is not clear is how long it will take to normalize back to the Fed's target level of 2%. Due to the way core inflation is calculated, the housing component of the Consumer Price Index (CPI (42% weight in headline, 54% in core)) works on a lag and will take time to fully reflect the current state of the housing and rental markets. Additionally, the inflation in core services is also unlikely to trend meaningfully lower without a sustained loosening in the labor market, which remains incredibly robust (unemployment at record lows and job openings still near record highs). Therefore, our base case is core y/y numbers, currently +6.0% y/y, will remain stubbornly high throughout 2023. And until the Fed feels core inflation has normalized, they will be forced to keep rates in restrictive territory (i.e. > 5%). That said, we also believe the Fed will pause the current hiking cycle in 1H 2023 once the Fed Funds Rate reaches 5.25% in order to observe the cumulative impact of higher interest rates on the economy. Furthermore, we do not see the Fed cutting rates in 2023 without a material weakening of the labor market combined with negative GDP (Gross Domestic Product) growth, which is not our base case. In summary, we believe short term interest rates will remain higher for longer than the market is currently pricing in. This would be positive for floating-rate securities as their coupons would remain higher for longer than the market currently anticipates.

 

Soft(ish) Landing: Our view that rates will stay higher for longer is, in part, based on our view that the macro picture looks resilient. The labor market is as strong as ever, literally. In fact, so strong that the Fed would like to see it cool a bit to ease inflation pressure. We have seen some layoffs starting, but so far this has been isolated to the tech space. The consumer remains in decent shape, with debt/income levels still historically low and excess savings still high. In Europe, the macro picture has improved substantially thanks to warmer weather and government actions. And lastly, geopolitical risks have eased as well - Russia in a stalemate in Ukraine, Ukraine exporting grain, China reopening, European unity, etc. Growth will undoubtedly slow as high interest rates restrict investment, but we don't envision a hard landing.

 

Earnings Headwinds to Intensify: The numerous headwinds facing corporate earnings in 2H 2022 will continue into 2023 and likely intensify as the lagged impact of higher interest rates pressures more parts of the global economy. Revenue growth will slow on overall weaker demand and less ability to pass through inflation, and margins will be impacted by both lower revenue and continued cost pressure in wages and labor scarcity. But as we have highlighted previously (many times!), corporates started this current cycle from a period of strength, particularly when compared to previous cycles when corporates entered recessions over-levered and under prepared. On the whole, most measures of credit metrics are strong: debt leverage, interest coverage, liquidity, maturity profile, etc. As such, we think most corporates are well positioned to withstand several quarters of weak earnings without a deterioration in credit profiles. The exception to this will be the weakest cohort of companies with bad business models and/or bad capital structures (i.e. CCCs and cyclical single Bs). But this is why fundamental credit research and selection remains so important, now more than ever.

 

*Please see Notes and Disclosure for definitions.

 

 

Palmer Square Capital Management LLC 1900 Shawnee Mission Parkway, Suite 315, Mission Woods, KS 66205 www.palmersquarefunds.com

 5 

 

Defaults Contained: The current cycle started with default rates practically at zero. So to say they will increase is certainly no hot take. In fact, they have already increased to around 1.25-1.50% depending on how one treats distressed exchanges. From a historical perspective, around half of CCCs default in an economic downturn. The weight of CCCs in the HY and bank loan market are 10% and 6% respectively. So you could make the argument that half of those might default in 2023. You might also make the argument that another 1-3% in defaults from companies with 1) bad/ disrupted business models and/or 2) bad capital structures and inadequate liquidity/ maturities would put total defaults at 4-5%. We have noticed several prognosticators calling for 10+% default rates, which is nearly what the market experienced during the GFC (Global Financial Crisis). We do not subscribe to that view. We've found that people have forgotten just how bad the set up was in 2008: corporates were max levered, consumers were max levered, and the banking system was massively over levered and dependent on short term financing. All 3 pillars of the economy are in significantly better shape today. This underpins our view that defaults will increase but be contained in 2023.

 

Bonds are Back: After the worst year for fixed income in decades, the silver lining is that yields are as attractive as they've been since the mid 2000s. Fortunately for this Fund, we got the historically high yields without the 10+% drawdown seen in most duration strategies. Credit spreads are also wider than average, which combined with high base rates allows for great carry plus upside if/when spreads tighten. And versus equities, fixed income hasn't looked this relatively attractive in most investors' lifetimes.

 

*Please see Notes and Disclosure for definitions.

 

 

Palmer Square Capital Management LLC 1900 Shawnee Mission Parkway, Suite 315, Mission Woods, KS 66205 www.palmersquarefunds.com

 6 

 

Summary on Attribution, Allocation and Positioning

 

Select Portfolio Attribution and Characteristic Dashboard

 

  Allocation

%

Allocation

7/1/2022 to 6/30/2023

Attribution

Average

Price

Yield to

Expected Call*

  ABS (100% AAA) 12% 0.33% 98.8 5.9
  Treasury Bills 9% 0.26% 98.3 5.4
  CLO AAA 12% 0.66% 98.9 6.4
  CLO AA 2% 0.24% 96.3 6.8
  CLO A 1% 0.05% 96.7 7.5
  CLO BBB 12% 0.99% 93.0 9.1
IG RMBS (98% AAA, 100% A and above) 9% -0.21% 88.5 5.9
  CMBS (88% A- and above, 97% IG) 5% -0.12% 89.9 7.1
  IG Corp Bonds - Fixed 15% 0.69% 94.2 5.9
  IG Corp Bonds - Floating 2% 0.16% 100.1 5.8
  IG Bank Loans 1% 0.14% 100.3 5.7
  Bank Loans - Non IG 4% 0.63% 99.7 7.0
  Credit Derivatives (CDS, Tranches) 0% 0.38% na na
HY HY Corp Bonds 5% 0.45% 91.1 6.8
  CLO BB 9% 1.16% 91.0 14.2

 

Source: Palmer Square as of 6/30/2023. The performance data quoted represents past performance and that past performance does not guarantee future results. Investment return and principal value will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted. Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. To obtain performance information current to the most recent month-end please call 866-933-9033.

 

Historic Positioning Detail by Asset Type:

 

 

6/30/2022

Allocation

9/30/2022

Allocation

12/31/2022

Allocation

3/31/2023

Allocation

6/30/2023

Allocation

CLO Debt 30% 34% 35% 34% 35%
IG Corp Debt 18% 27% 26% 19% 17%
ABS 16% 8% 10% 8% 12%
Gov't Bonds 4% 5% 5% 15% 9%
RMBS 5% 5% 5% 5% 9%
Bank Loans 11% 7% 7% 4% 5%
CMBS 6% 6% 7% 5% 5%
HY Corp Bonds 4% 3% 2% 7% 5%
Cash/Other 1% 3% 3% 3% 3%
Credit Derivatives 5% 1% 0% 0% 0%

 

Please note allocation and attribution above is a % of NAV and does not include hedges. Gross attribution does not include hedges, expenses and fees if applicable. Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. Asset-backed Securities (ABS), Mortgage-backed Securities (MBS), Commercial mortgage-backed securities (CMBS), Residential mortgage-backed securities (RMBS).

 

*Please see Notes and Disclosure for definitions.

 

 

Palmer Square Capital Management LLC 1900 Shawnee Mission Parkway, Suite 315, Mission Woods, KS 66205 www.palmersquarefunds.com

 7 

 

Investment Grade Corporate Bond Allocation - The IG corporate bond exposure was further reduced this quarter, from 19% to 17%. Credit spread curves flattened and normalized post the regional bank failures in March. As a result of this diminishing relative value, we continue to reduce short-dated corporates and rotate proceeds into CLOs, RMBS and CMBS. In general, we remain somewhat neutral on corporate IG spreads as they are currently in the middle of their 18 month range despite yields and cash prices screening as attractive.
  
High Yield Bond Allocation - As of quarter-end, HY corporate bond exposure was 5% of the portfolio, which was a decrease of 2% from last quarter. We reduced HY exposure throughout the quarter, most notably in June, as the HY spread widening that occurred in the wake of the Silicon Valley Bank(SVB)-crisis was methodically reduced and spreads ended the quarter near the tights of the year. We remain singularly focused on BB-rated bonds with an additional bias toward defensive sectors and issuers. The fund will continue to be tactical with its HY exposure, but in the near term is likely to reduce exposure below the 5% quarter end level, particularly as the spread relationship versus low-BBB IG corporates has compressed.
  
CLO Allocation/Opportunity to Capture Income and Total Return - As of quarter- end, 35% of the portfolio, which was a decrease of 1.3% from last quarter. Most of the increase in exposure came from AAA, which still offer tremendous value in the 170-200bps spread range and yields in the 6-7% range. Since the GFC, we have only seen AAA spreads wider during the depths of the COVID pandemic and yields have never been higher. Breakeven spread widening also looks very attractive at current levels.For example, over a one year holding period AAA spreads would need to reach over 500bps in order to not make money, a level wider than during the depths of the COVID pandemic.1

 

»CLO mezzanine exposure also stayed relatively stable with BBBs at 11.7% and BBs at 8.5%. Spreads moved mainly sideways throughout the quarter, tightening slightly in June. Total returns still look very attractive with the average price/yield on our BBBs at $93.0/10.21% and BBs at $91.0/14.24%.

 

We continue to add to CLO portfolios that are higher quality and more liquid as we believe they will continue to outperform portfolios with more risky collateral.

 

ABS/MBS Allocation has Provided Diversification and Income Capture - As of quarter-end, 26% of the portfolio had exposure to ABS/MBS. During the quarter, our allocation to ABS and MBS increased as we decreased T-Bills and IG Corps.

 

»ABS exposure (primarily prime auto ABS with a weighted average life (WAL)* of 6 months or less) ended 4% higher than Q1, currently 12% of the Fund. We reduced T-Bill exposure as the U.S. Debt Ceiling event created some noise in the space. We selectively added short dated ABS that picked up incremental spread.

 

»CMBS exposure at quarter-end was 5%, approximately flat to Q1 2023. We rotated out of select names given continued macro headwinds for commercial real estate. However, we increased exposure to one single-asset / single-borrower transaction where we had a credit view and saw compelling relative value. While we remain cautious toward the sector, we may opportunistically increase exposure to assets with strong fundamentals when attractive entry points present.

 

*Please see Notes and Disclosure for definitions. 1This example is provided for illustrative purposes only.

 

 

Palmer Square Capital Management LLC 1900 Shawnee Mission Parkway, Suite 315, Mission Woods, KS 66205 www.palmersquarefunds.com

 8 

 

»RMBS exposure ended the quarter 4% higher compared to Q1 2023. We added 2% non-agency but most notably added 3% agency CMOs. Our exposure in non-agency is still primarily AAA- rated debt which are backed by collateral from borrowers with FICOs (Fair Isaac Corporation*) greater than 700 and in some cases as high as 750. Agency spreads are at historical wide levels as rate volatility created an attractive entry point in the space.

 

ABS/MBS Positions 6/30/2023
Prime Autos 10%
Equipment 2%
ABS (100% AAA) 12%
Conduit 1%
Single Asset/Single Borrower 4%
CMBS (99% A- and above) 5%
Agency 3%
Non-Agency 7%
RMBS (99% AAA) 9%

 

Source: Palmer Square.

 

Bank Loan Allocation – As of quarter-end, bank loan exposure was 5% of the portfolio, an increase of 1% over the last quarter. Loan exposure was largely unchanged through most of the quarter as we maintained a somewhat neutral position on loans, particularly in relation to HY bonds which had widened meaningfully at the end of the first quarter. However, we did modestly add exposure in the latter half of the quarter in conjunction with the reduction in HY corporates. The bulk of our bank loan exposure remains in shorter-dated BB loans, which we believe offer attractive current income and should be well insulated from volatility given CLO technicals related to investment periods and WAL constraints. We continue to be fundamentally constructive on the higher quality part of the U.S. bank loan asset class and would look to increase exposure if prices moved lower.

 

Given the recent market moves and the continued dislocation in credit, we believe the Fund is well positioned to not only generate a strong yield, but also meaningful capital appreciation going forward. As mentioned in our last quarter's letter, we believe our Fund's positioning has the potential to deliver a higher Sharpe* ratio as we continue to navigate these markets. We feel we are opportune in our approach to relative value and could not be more excited about how this portfolio is positioned and its outlook.

 

*Please see Notes and Disclosure for definitions.

 

 

Palmer Square Capital Management LLC 1900 Shawnee Mission Parkway, Suite 315, Mission Woods, KS 66205 www.palmersquarefunds.com

 9 

 

Detailed Fund Performance History

 

The Fund returned 5.64% (net of fees) for the fiscal year-ending 6/30/2023.

 

Fund Performance Net of Fees as of 06/30/2023 (inception 2/28/2014)

 

 

Q1

2023

Q2

2023

YTD

2023

2022 2021 2020 2019 2018 2017 2016 2015
PSYPX 1.60% 1.70% 3.33% -0.76% 1.17% 3.65% 5.29% 1.17% 4.03% 5.24% 1.21%
Bloomberg 1-3 Year U.S. Corporate Index 1.24% 0.28% 1.52% -3.32% -0.13% 3.79% 5.30% 1.56% 1.85% 2.36% 1.00%
Bloomberg U.S. Aggregate Bond Index 2.96% -0.84% 2.09% -13.01% -1.54% 7.51% 8.72% 0.01% 3.54% 2.66% 0.57%

 

Fund Performance Net of Fees as of 06/30/2023 (inception 2/28/2014)

 

  1 Year 3 Years 5 Years

Since Inception

Annualized

PSYPX 5.64% 2.52% 2.52% 2.69%
Bloomberg 1-3 Year U.S. Corporate Index 1.67% -0.24% 1.69% 1.54%
Bloomberg U.S. Aggregate Bond Index -0.94% -3.96% 0.77% 1.36%

 

Class I shares - Annual Expense Ratio: Gross 0.75%/Net 0.75%. Palmer Square has contractually agreed to waive its fees and/or pay for operating expenses of the Fund to ensure that total annual fund 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) do not exceed 0.75% of the average daily net assets of the Fund. 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. 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. Shares of the Fund are available for investment only by clients of financial intermediaries, institutional investors, and a limited number of other investors approved by the Advisor. The performance data quoted represents past performance and that past performance does not guarantee future results. Investment return and principal value will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted. To obtain performance information current to the most recent month-end please call 866-933-9033.

 

Summary

 

The Fund's diverse portfolio across corporate and structured credit is positioned in predominately investment grade securities, yet has offered a strong current yield* and potential opportunity for capital appreciation. We believe we are opportune in our approach to relative value and could not be more excited about how this portfolio is positioned and its outlook.

 

Please do not hesitate to contact us at investorrelations@palmersquarecap.com or 816-994-3200 should you desire more information. We would also be happy to set up a call and/or meeting at your convenience.

 

*Please see Notes and Disclosure for definitions.

 

 

Palmer Square Capital Management LLC 1900 Shawnee Mission Parkway, Suite 315, Mission Woods, KS 66205 www.palmersquarefunds.com

 10 

 

Notes and Disclosure

 

This overview is for informational and comparative purposes only and does not constitute an offer to sell or a solicitation of an offer to buy any interests in the Palmer Square Income Plus Fund, the ("Fund"), and/or any other securities, or to provide any other advisory services. Any offer to invest in the funds will be made pursuant to the Fund's prospectus, which will contain material information not contained herein and to which prospective investors are directed. Before investing, you should carefully read such materials in their entirety. This overview is not intended to replace such materials, and any information herein should not be relied upon for the purposes of investing in the funds or for any other purpose. This overview is a summary and does not purport to be complete.

 

The allocation and credit quality distribution figures shown are used for illustrative purposes only. Palmer Square does not guarantee to execute that allocation and credit quality distribution. Allocation and exposures information, as well as other referenced categorizations, reflect classifications determined by Palmer Square as well as certain Palmer Square assumptions based on estimated portfolio characteristic information. Allocation and credit quality distribution figures may not sum to 100%. Ratings listed herein are assigned by Standard & Poor's (S&P) and Moody's Investor Service (Moody's). Credit quality ratings are measured on a scale with S&P's credit quality ratings ranging from AAA (highest) to D (lowest) and Moody's credit quality ratings ranging from Aaa (highest) to C (lowest). We use the higher of the two ratings. Credit ratings listed are subject to change. Please contact Palmer Square for more information.

 

Market opportunities and/or yields shown are for illustration purposes only and are subject to change without notice. Palmer Square does not represent that these or any other strategy/opportunity will prove to be profitable or that the Fund's investment objective will be met.

 

This material represents an assessment of the market environment at a specific point in time, is subject to change without notice, and should not be relied upon by the reader as research or investment advice. With regard to sources of information, certain of the economic and market information contained herein has been obtained from published sources and/or prepared by third parties. While such sources are believed to be reliable, Palmer Square or employees or representatives do not assume any responsibility for the accuracy of such information. Palmer Square is under no obligation to verify its accuracy.

 

Bloomberg U.S. Treasury Index measures US dollar-denominated, fixed-rate, nominal debt issued by the US Treasury. Bloomberg U.S. Aggregate Bond Index is an unmanaged index of publicly issued investment grade corporate, U.S. Treasury and government agency securities with remaining maturities of one to three years. Bloomberg U.S. Corporate Index measures the investment grade, fixed-rate, taxable corporate bond market. Bloomberg 1-3 Year U.S. Corporate Index measures the performance of investment grade, U.S. dollar- denominated, fixed-rate, taxable corporate and government-related debt with 1 to 2.9999 years to maturity. It is composed of a corporate and a non-corporate component that includes non-U.S. agencies, sovereigns, supranationals and local authorities. Bloomberg U.S. High Yield Index measures the USD-denominated, high yield, fixed-rate corporate bond market. iBoxx Liquid Leveraged Loan Index tracks the total return of the 100 most liquid loans from the USD LLI index universe, offering a powerful insight into the loan market. Palmer Square CLO Senior Debt Index is a rules-based observable pricing and total return index for collateralized loan obligation debt for sale in the United States, rated at the time of issuance as AAA or AA (or an equivalent rating). Such debt is often referred to as the senior tranches of a CLO. Palmer Square CLO Debt Index is a rules-based observable pricing and total return index for collateralized loan obligation debt for sale in the United States, rated at the time of issuance as A, BBB or BB (or equivalent rating). Such debt is often referred to as the mezzanine tranches of a CLO. S&P 500 Index is a market-capitalization-weighted index of 500 leading publicly traded companies in the U.S. Bloomberg Commodity Index is a broadly diversified commodity price index distributed by Bloomberg Index Services Limited. The Credit Suisse Liquid Leveraged Loan Index is designed to represent a subset of the Leveraged Loan Index, based on the following criteria: Facilities rated at least Caa3/CCC- and no higher than Ba1/BB+ by Moody's/S&P, facilities with an amount outstanding of at least $1 billion, facilities which rank first lien in seniority, institutional facilities, such as facility types Term Loan B ("TL-b""), Term Loan C ("TL- c"), Term Loan D ("T- d"), etc. Bank-held facilities, facility types TL and TL-a, are excluded, only the largest facility per issuer is eligible; in the case of a tie, the facility with the longer maturity is selected, eligible new loans are added at the beginning of the month following issuance. Bloomberg CMBS AAA Index measures the AAA-rated market of US Agency and US Non-Agency conduit and fusion CMBS deals with a minimum current deal size of $300mm. The Cboe Volatility Index (VIX) is a real-time index that represents the market's expectations for the relative strength of near-term price changes of the S&P 500 Index (SPX). Credit Default Swap Index (CDX), formerly the Dow Jones CDX, is a benchmark financial instrument made up of credit default swaps (CDS) that have been issued by North American or emerging market companies. The AAII Sentiment Survey measures the percentage of individuals who are bullish, bearish, and neutral about the stock market over the next six months. Unlike mutual funds, indices are not managed and do not incur fees or expenses. It is not possible to invest directly in an index.

 

Interest Rate Duration measures a portfolio's sensitivity to changes in interest rates. Spread Duration measures the sensitivity of a bond price based on basis point changes of more than 100. Yield to Expected Call is a Yield to Call metric that assumes callable bonds are not called on their call date, but at some later date prior to maturity. Yield to Expected Call considers contractual terms in a bond's indenture or other similar governing document. A bond may be called before or after this date, which has the potential to increase or decrease the Yield to Expected Call calculation. All else equal, when a bond's price is below par, Yield to Expected Call is a more conservative yield metric than Yield to Call. If a bond is not callable, Yield to Expected Call calculates the bond's Yield to Maturity. Yield To Maturity is the rate of return anticipated on a bond if held until the end of its lifetime. Current Yield is annual income divided by price paid. Sharpe Ratio is used to measure risk-adjusted performance. The Sharpe ratio is calculated by subtracting the risk-free rate - such as that of the 10-year U.S. Treasury bond - from the rate of return for a portfolio and dividing the result by the standard deviation of the portfolio returns. WARF The weighted average rating factor is a measure that is used by credit rating companies to indicate the credit quality of a portfolio. The Weighted Average Life (WAL) is the average length of time that each dollar of unpaid principal on a loan, a mortgage, or an amortizing bond remains outstanding. Credit Spreads are often a good barometer of economic health - widening (bearish sentiment) and narrowing/tightening (bullish sentiment). A tight market (tight-trading) is a market characterized by narrow bid-ask spreads and abundant liquidity with frenetic trading activity. A mutual fund's 30-Day SEC Yield refers to a calculation that is based on the 30 days ending on the last day of the previous month. The yield figure reflects the dividends and interest earned during the period, after the deduction of the fund's expenses. Basis points (BPS) refers to a common unit of measure for interest rates and other percentages in finance. The relationship between percentage changes and basis points can be summarized as follows: 1% change = 100 basis points and 0.01% = 1 basis point. The London Interbank Offered Rate (LIBOR) is a benchmark interest rate at which major global banks lend to one another in the international interbank market for short-term loans. The Secured Overnight Financing Rate (SOFR) is a benchmark interest rate for dollar-denominated derivatives and loans that is replacing the London interbank offered rate (LIBOR). Dry powder refers to cash or marketable securities that are low-risk and highly liquid and convertible to cash. A discount margin (DM) is the average expected return of a floating-rate security (typically a bond) that's earned in addition to the index underlying, or reference rate of, the security. A FICO score is a credit score created by the Fair Isaac Corporation (FICO). Lenders use borrowers' FICO scores along with other details on borrowers' credit reports to assess credit risk and determine whether to extend credit.

 

 

Palmer Square Capital Management LLC 1900 Shawnee Mission Parkway, Suite 315, Mission Woods, KS 66205 www.palmersquarefunds.com

 11 

 

Notes and Disclosure cont'd

 

Past performance is not indicative of future results. Different types of investments involve varying degrees of risk and there can be no assurance that any specific investment will be profitable. Please note that the performance of the funds may not be comparable to the performance of any index shown. Palmer Square has not verified, and is under no obligation to verify, the accuracy of these returns. Diversification does not assure a profit, nor does it protect against a loss in a declining market

 

The risks of an investment in a collateralized debt obligation depend largely on the type of the collateral securities and the class of the debt obligation in which the Fund invests. Collateralized debt obligations are generally subject to credit, interest rate, valuation, prepayment and extension risks. These securities are also subject to risk of default on the underlying asset, particularly during periods of economic downturn. Defaults, downgrades, or perceived declines in creditworthiness of an issuer or guarantor of a debt security held by the Fund, or a counterparty to a financial contract with the Fund, can affect the value of the Fund's portfolio. Credit loss can vary depending on subordinated securities and non-subordinated securities. If interest rates fall, an issuer may exercise its right to prepay their securities. If this happens, the Fund will not benefit from the rise in market price, and will reinvest prepayment proceeds at a later time. The Fund may lose any premium it paid on the security. If interest rates rise, repayments of fixed income securities may occur more slowly than anticipated by the market which may result in driving the prices of these securities down. Foreign investments present additional risk due to currency fluctuations, economic and political factors, government regulations, differences in accounting standards and other factors. Investments in emerging markets involve even greater risks. High yield securities, commonly referred to as “junk bonds," are rated below investment grade by at least one of Moody's, S&P or Fitch (or if unrated, determined by the Fund's advisor to be of comparable credit quality high yield securities).

 

The Palmer Square Income Plus Fund is distributed by IMST Distributors, LLC.

 

Palmer Square Capital Management LLC ("Palmer Square") is an SEC registered investment adviser with its principal place of business in the State of Kansas. Registration of an investment adviser does not imply a certain level of skill or training. Palmer Square and its representatives are in compliance with the current registration and notice filing requirements imposed upon registered investment advisers by those states in which Palmer Square maintains clients. Palmer Square may only transact business in those states in which it is notice filed, or qualifies for an exemption or exclusion from notice filing requirements. Any subsequent, direct communication by Palmer Square with a prospective client shall be conducted by a representative that is either registered or qualifies for an exemption or exclusion from registration in the state where the prospective client resides. For additional information about Palmer Square, including fees and services, send for our disclosure statement as set forth on Form ADV using the contact information herein or refer to the Investment Adviser Public Disclosure web site (www.adviserinfo.sec.gov). Please read the disclosure statement carefully before you invest or send money.

 

This material must be preceded or accompanied by a prospectus. Please read the prospectus carefully before investing. For a prospectus, or summary prospectus, that contains this and other information about the Funds, call 866-933-9033 or visit our website at www.palmersquarefunds.com. Please read the prospectus, or summary prospectus carefully before investing.

 

 

Palmer Square Capital Management LLC 1900 Shawnee Mission Parkway, Suite 315, Mission Woods, KS 66205 www.palmersquarefunds.com

 12 

 

Palmer Square Income Plus Fund

FUND PERFORMANCE at June 30, 2023 (Unaudited)

 

 

 

This graph compares a hypothetical $250,000 investment in the Fund, made at its inception, with a similar investment in the Bloomberg Barclays 1-3 Year U.S. Corporate Index. Results include the reinvestment of all dividends and capital gains.

 

The Bloomberg Barclays 1-3 Year U.S. Corporate Index measures the performance of investment grade, US dollar-denominated, fixed-rate, taxable corporate and government-related debt with 1 to 2.9999 years to maturity. The index does not reflect expenses, fees or sales charge, which would lower performance. The index is unmanaged and is not available for investment.

 

Average Annual Total Returns as of June 30, 2023 1 Year 5 Years Since Inception Inception Date
Palmer Square Income Plus Fund 5.64% 2.52% 2.69% 02/28/14
Bloomberg Barclays 1-3 Year U.S. Corporate Index 1.67% 1.69% 1.54% 02/28/14

 

 

The performance data quoted here represents past performance and past performance is not a guarantee of future results. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted. The most recent month end performance may be obtained by calling (866) 933-9033.

 

The Fund's expense ratio was 0.75%, which was the amount stated in the current prospectus dated November 1, 2022. For the Fund’s current one year expense ratios, please refer to the Financial Highlights section of this report. The Fund’s Advisor has contractually agreed to waive its fees and/or pay for 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) of the Fund to ensure that total annual operating expenses do not exceed 0.75% of the 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. In the absence of such waivers, the Fund’s returns would be lower.

 

Returns reflect the reinvestment of distributions made by the Fund, if any. The graph and the performance table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 13 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BANK LOANS — 5.2%    
 1,989,691  

1011778 BC ULC

6.943% (1-Month USD Libor+175 basis points), 11/19/20262,3,4,5

  $1,978,907 
 2,484,626  

Allspring Buyer LLC

8.188% (3-Month USD Libor+300 basis points), 11/1/20282,3,4

   2,449,432 
 2,668,347  

AmWINS Group, Inc.

7.404% (1-Month USD Libor+225 basis points), 2/19/20282,3,4

   2,648,348 
 2,000,000  

Avolon TLB Borrower 1 U.S. LLC

0.000% (1-Month Term SOFR+250 basis points), 6/22/20282,3,4

   2,001,430 
 994,832  

Calpine Corp.

7.154% (1-Month USD Libor+200 basis points), 8/12/20262,3,4

   995,121 
 1,241,017  

Chemours Co.

5.020% (3-Month Euribor+200 basis points), 4/3/20252,3,4

   1,349,152 
 95,187  

Covanta Holding Corp.

3.000% (1-Month Term SOFR+250 basis points), 11/30/20282,3,4

   94,501 
 1,254,866   3.264% (1-Month Term SOFR+250 basis points), 11/30/20282,3,4   1,245,812 
 2,457,406  

Entain Holdings Gibraltar Ltd.

7.437% (3-Month USD Libor+250 basis points), 3/16/20272,3,4,5

   2,454,334 
 769,634  

Gemini HDPE LLC

7.982% (3-Month USD Libor+300 basis points), 12/31/20272,3,4

   770,519 
 1,503,223  

Gen Digital Inc.

7.253% (1-Month Term SOFR+200 basis points), 9/12/20292,3,4

   1,497,594 
 1,476,816  

Go Daddy Operating Co. LLC

8.153% (1-Month Term SOFR+325 basis points), 11/10/20292,3,4

   1,481,364 
 2,000,000  

Hilton Worldwide Finance LLC

6.939% (3-Month Term SOFR+175 basis points), 6/21/20262,3,4

   2,000,710 
 1,275,918  

Hostess Brands LLC

7.075% (1-Month USD Libor+225 basis points), 8/3/20252,3,4

   1,277,634 
 942,677  

INEOS U.S. Finance LLC

9.003% (1-Month Term SOFR+375 basis points), 11/7/20272,3,4

   940,650 
 1,492,386  

INEOS U.S. Petrochem LLC

3.250% (1-Month Term SOFR+275 basis points), 1/21/20262,3,4

   1,491,080 
 1,000,000  

IQVIA, Inc.

5.015% (3-Month Euribor+200 basis points), 3/7/20242,4

   1,091,396 
 1,385,736  

Iridium Satellite LLC

7.753% (1-Month Term SOFR+250 basis points), 11/4/20262,3,4

   1,387,960 
 1,675,325  

Jane Street Group LLC

7.903% (1-Month Term SOFR+275 basis points), 1/26/20282,3,4

   1,673,088 
 2,265,500  

NAB Holdings LLC

8.048% (3-Month Term SOFR+300 basis points), 11/22/20282,3,4

   2,253,606 
 1,350,000  

Pike Corp.

8.268% (1-Month USD Libor+300 basis points), 1/21/20282,3,4

   1,346,429 
 1,994,751  

SBA Senior Finance II LLC

6.910% (1-Month USD Libor+175 basis points), 4/11/20252,4

   1,996,566 

 

 14 

 


 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BANK LOANS (Continued)    
 670,500  

SkyMiles IP Ltd.

8.558% (3-Month Term SOFR+375 basis points), 10/20/20272,3,4,5

  $697,320 
 1,988,246  

Trans Union LLC

6.952% (1-Month Term SOFR+175 basis points), 11/15/20262,3,4

   1,985,621 
 13,750  

Travelport Finance Luxembourg Sarl

13.775% (3-Month USD Libor+700 basis points), 2/28/20252,4,5

   13,562 
 1,329,195  

WEX, Inc.

7.518% (1-Month Term SOFR+225 basis points), 4/1/20282,3,4

   1,330,026 
 2,496,399  

WMG Acquisition Corp.

7.279% (1-Month USD Libor+212.5 basis points), 1/20/20282,3,4

   2,492,729 
 966,662  

XPO, Inc.

2.000% (1-Month Term SOFR+200 basis points), 5/24/20282,3,4,6,7

   971,239 
    

TOTAL BANK LOANS

(Cost $41,313,613)

   41,916,130 
 6,250,000  

BONDS — 92.4%

ASSET-BACKED SECURITIES — 52.9%

522 Funding CLO Ltd.

Series 2019-5A, Class AR, 6.316% (3-Month Term SOFR+133 basis points),
4/15/20353,4,8

   6,121,226 
 1,500,000   Series 2019-5A, Class ER, 11.746% (3-Month Term SOFR+676 basis points),
4/15/20353,4,8
   1,390,098 
 5,000,000  

AB BSLCLO Ltd.

Series 2020-1A, Class A1R, 6.356% (3-Month Term SOFR+137 basis points),
1/15/20353,4,8

   4,904,865 
 1,750,000  

AIMCO CLO Ltd.

Series 2017-AA, Class AR, 6.300% (3-Month USD Libor+105 basis points),
4/20/20343,4,8

   1,716,372 
 2,500,000   Series 2022-18A, Class D, 9.898% (3-Month Term SOFR+485 basis points),
7/20/20353,4,8
   2,509,065 
 1,000,000  

Allegany Park CLO Ltd.

Series 2019-1A, Class ER, 11.448% (3-Month Term SOFR+640 basis points),
1/20/20353,4,8

   901,284 
 1,625,000  

ALM Ltd.

Series 2020-1A, Class D, 11.260% (3-Month USD Libor+600 basis points),
10/15/20293,4,8

   1,479,073 
 1,111,721  

AMMC CLO Ltd.

Series 2013-13A, Class A1R2, 6.323% (3-Month USD Libor+105 basis
points), 7/24/20293,4,8

   1,110,354 
 2,000,000  

Anchorage Credit Funding 3 Ltd.

Series 2016-3A, Class BR, 3.471%, 1/28/20393,8

   1,694,811 
 1,500,000  

Annisa CLO

Series 2016-2A, Class DR, 8.250% (3-Month USD Libor+300 basis points),
7/20/20313,4,8

   1,419,272 

 

 15 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
     ASSET-BACKED SECURITIES (Continued)     
 1,000,000  

Apidos CLO Ltd.

Series 2023-45A, Class E, 13.564% (3-Month Term SOFR+840 basis points),
4/26/20363,4,8

  $1,003,668 
 1,000,000  

Ares CLO Ltd.

Series 2015-38A, Class DR, 7.750% (3-Month USD Libor+250 basis points),
4/20/20303,4,8

   894,871 
 2,000,000  

ASSURANT CLO Ltd.

Series 2018-2A, Class A, 6.290% (3-Month USD Libor+104 basis points),
4/20/20313,4,8

   1,974,073 
 1,750,000   Series 2017-1A, Class ER, 12.450% (3-Month USD Libor+720 basis points),
10/20/20343,4,8
   1,575,000 
 769,600  

Atrium

Series 9A, Class DR, 9.063% (3-Month USD Libor+360 basis points),
5/28/20303,4,8

   739,561 
 1,250,000  

Babson CLO Ltd.

Series 2016-1A, Class DR, 8.323% (3-Month USD Libor+305 basis points),
7/23/20303,4,8

   1,175,564 
 1,400,000  

Bain Capital Credit CLO Ltd.

Series 2021-7A, Class D, 8.523% (3-Month USD Libor+325 basis points),
1/22/20353,4,8

   1,287,305 
 1,250,000  

Ballyrock CLO Ltd.

Series 2019-1A, Class DR, 12.010% (3-Month USD Libor+675 basis points),
7/15/20323,4,8

   1,194,181 
 1,000,000  

Barings CLO Ltd.

Series 2017-1A, Class E, 11.262% (3-Month USD Libor+600 basis points),
7/18/20293,4,8

   913,139 
 1,000,000   Series 2018-2A, Class C, 7.960% (3-Month USD Libor+270 basis points),
4/15/20303,4,8
   944,013 
 1,000,000   Series 2020-4A, Class D1, 8.950% (3-Month USD Libor+370 basis points),
1/20/20323,4,8
   971,723 
 3,500,000  

Barings Euro CLO DAC

Series 2015-1X, Class DRR, 6.911% (3-Month Euribor+365 basis points),
7/25/20353,4

   3,343,189 
 500,000  

Battalion CLO Ltd.

Series 2020-15A, Class A1, 6.610% (3-Month USD Libor+135 basis points),
1/17/20333,4,8

   492,988 
 2,000,000   Series 2016-10A, Class CR2, 8.723% (3-Month USD Libor+345 basis points),
1/25/20353,4,8
   1,710,522 
 57,469  

Bear Stearns ARM Trust

Series 2004-3, Class 1A3,4.752%, 7/25/20343,9

   52,315 
 1,415,670  

Benefit Street Partners CLO Ltd.

Series 2017-12A, Class A1R, 6.210% (3-Month USD Libor+95 basis points),
10/15/20303,4,8

   1,404,262 

 

 16 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
 1,850,000  

Series 2017-12A, Class C, 8.310% (3-Month USD Libor+305 basis points),
10/15/20303,4,8

  $1,755,675 
 1,000,000   Series 2015-8A, Class CR, 8.000% (3-Month USD Libor+275 basis points),
1/20/20313,4,8
   871,087 
 500,000   Series 2018-14A, Class E, 10.600% (3-Month USD Libor+535 basis points),
4/20/20313,4,8
   422,598 
 1,000,000   Series 2019-17A, Class ER, 11.610% (3-Month USD Libor+635 basis points),
7/15/20323,4,8
   918,437 
 800,000   Series 2019-19A, Class E, 12.280% (3-Month USD Libor+702 basis points),
1/15/20333,4,8
   745,015 
 1,850,000   Series 2019-18A, Class A1R, 6.430% (3-Month USD Libor+117 basis points),
10/15/20343,4,8
   1,812,341 
 1,750,000   Series 2020-21A, Class DR, 8.610% (3-Month USD Libor+335 basis points),
10/15/20343,4,8
   1,624,453 
 750,000   Series 2020-21A, Class ER, 11.960% (3-Month USD Libor+670 basis points),
10/15/20343,4,8
   700,295 
 1,000,000   Series 2019-18A, Class ER, 12.010% (3-Month USD Libor+675 basis points),
10/15/20343,4,8
   912,583 
 1,000,000   Series 2021-24A, Class E, 11.860% (3-Month USD Libor+661 basis points),
10/20/20343,4,8
   941,599 
 1,750,000  

BlueMountain CLO Ltd.

Series 2020-29A, Class D2R, 9.505% (3-Month USD Libor+425 basis points),
7/25/20343,4,8

   1,600,328 
 2,818,956  

BMW Vehicle Lease Trust

Series 2022-1, Class A3, 1.100%, 3/25/20253

   2,770,862 
 422,158  

Burnham Park Clo Ltd.

Series 2016-1A, Class AR, 6.400% (3-Month USD Libor+115 basis points),
10/20/20293,4,8

   419,516 
 4,000,000  

Carlyle Global Market Strategies Euro CLO

Series 2022-5X, Class A2B, 6.500%, 10/25/20353

   4,325,092 
 1,000,000  

Carlyle U.S. CLO Ltd.

Series 2016-4A, Class DR, 10.650% (3-Month USD Libor+540 basis points),
10/20/20273,4,8

   856,514 
 5,000,000   Series 2020-2A, Class A1R, 6.395% (3-Month USD Libor+114 basis points),
1/25/20353,4,8
   4,911,250 
 289,274   CarMax Auto Owner Trust
Series 2019-4, Class A3, 2.020%, 11/15/20243
   288,485 
 1,621,704   Series 2022-1, Class A2, 0.910%, 2/18/20253   1,614,762 
 729,046   Series 2022-2, Class A2A, 2.810%, 5/15/20253   724,519 
 3,308,778   Series 2021-2, Class A3, 0.520%, 2/17/20263   3,198,371 

 17 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
 2,000,000  

ASSET-BACKED SECURITIES (Continued)

CBAM Ltd.

Series 2018-6A, Class B2R, 7.348% (3-Month Term SOFR+236.16 basis
points), 1/15/20313,4,8

  $1,997,912 
 1,149,000  

Cedar Funding II CLO Ltd.

Series 2013-1A, Class ARR, 6.330% (3-Month USD Libor+108 basis points),

4/20/20343,4,8

   1,126,882 
 2,800,000  

CIFC European Funding CLO

Series 3X, Class D, 6.777% (3-Month Euribor+360 basis points),
1/15/20343,4

   2,869,623 
 1,737,522  

CIFC Funding Ltd.

Series 2015-3A, Class AR, 6.135% (3-Month USD Libor+87 basis points),
4/19/20293,4,8

   1,724,363 
 2,746,207   Series 2014-2RA, Class A1, 6.323% (3-Month USD Libor+105 basis points),
4/24/20303,4,8
   2,731,612 
 1,000,000   Series 2018-2A, Class D, 11.100% (3-Month USD Libor+585 basis points),
4/20/20313,4,8
   896,906 
 3,500,000   Series 2013-3RA, Class A1, 6.253% (3-Month USD Libor+98 basis points),
4/24/20313,4,8
   3,470,868 
 1,000,000   Series 2018-4A, Class C, 8.210% (3-Month USD Libor+295 basis points),
10/17/20313,4,8
   947,260 
 1,000,000   Series 2018-4A, Class D, 11.160% (3-Month USD Libor+590 basis points),
10/17/20313,4,8
   895,521 
 1,250,000   Series 2018-5A, Class D, 11.410% (3-Month USD Libor+615 basis points),
1/15/20323,4,8
   1,128,217 
 1,000,000   Series 2019-1A, Class DR, 8.350% (3-Month USD Libor+310 basis points),
4/20/20323,4,8
   969,440 
 500,000   Series 2019-5A, Class DR, 12.040% (3-Month USD Libor+678 basis points),
1/15/20353,4,8
   459,938 
 750,000  

Clear Creek CLO

Series 2015-1A, Class CR, 7.200% (3-Month USD Libor+195 basis points),
10/20/20303,4,8

   722,346 
 5,782,104  

COLT Mortgage Loan Trust

Series 2021-4, Class A1, 1.397%, 10/25/20663,8,9

   4,568,227 
 5,838,768   Series 2022-1, Class A1, 2.284%, 12/27/20663,8,9   5,011,211 
 800,000  

Crestline Denali CLO Ltd.

Series 2017-1A, Class D, 8.980% (3-Month USD Libor+373 basis points),
4/20/20303,4,8

   736,077 
 750,000   Series 2016-1A, Class DR, 8.623% (3-Month USD Libor+335 basis points),
10/23/20313,4,8
   636,905 
 5,064,397  

CSMC

Series 2021-NQM4, Class A1, 1.101%, 5/25/20663,8,9

   4,090,372 

 

 18 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
2,333,702  

Daimler Trucks Retail Trust

Series 2022-1, Class A2, 5.070%, 9/16/20243

  $ 2,325,485 
 2,250,000  

Dartry Park CLO DAC

Series 1X, Class CRR, 6.592% (3-Month Euribor+335 basis points),
1/28/20343,4

   2,268,963 
 600,000  

Denali Capital CLO Ltd.

Series 2016-1A, Class DR, 8.010% (3-Month USD Libor+275 basis points),
4/15/20313,4,8

   505,513 
 1,498,779  

Dewolf Park CLO Ltd.

Series 2017-1A, Class AR, 6.180% (3-Month USD Libor+92 basis points),
10/15/20303,4,8

   1,485,363 
 2,000,000  

DLLAD LLC

Series 2023-1A, Class A2, 5.190%, 4/20/20263,8

   1,981,838 
 1,619,704  

DLLMT LLC

Series 2023-1A, Class A1, 5.533%, 5/20/20243,8

   1,619,531 
 842,558  

DLLST LLC

Series 2022-1A, Class A2, 2.790%, 1/22/20243,8

   840,022 
 1,000,000  

Dryden CLO Ltd.

Series 2018-57A, Class D, 7.871% (3-Month USD Libor+255 basis points),
5/15/20313,4,8

   910,691 
 5,500,000   Series 2019-80A, Class AR, 6.236% (3-Month Term SOFR+125 basis points),
1/17/20333,4,8
   5,425,362 
 1,500,000   Series 2020-77A, Class ER, 11.249% (3-Month USD Libor+587 basis points),
5/20/20343,4,8
   1,275,327 
 1,000,000   Series 2020-86A, Class DR, 8.460% (3-Month USD Libor+320 basis points),
7/17/20343,4,8
   919,534 
 2,000,000   Series 2019-76A, Class DR, 8.550% (3-Month USD Libor+330 basis points),
10/20/20343,4,8
   1,896,353 
 1,500,000  

Dryden Euro CLO

Series 2021-91X, Class D, 8.025% (3-Month Euribor+485 basis points),
4/18/20353,4

   1,619,571 
 2,000,000   Series 2021-103X, Class B2, 7.500%, 1/19/20363   2,183,509 
 887,580  

Dryden Senior Loan Fund

Series 2013-30A, Class AR, 6.141% (3-Month USD Libor+82 basis points),
11/15/20283,4,8

   882,278 
 2,031,326   Series 2014-36A, Class AR3, 6.268% (3-Month Term SOFR+128.16 basis
points), 4/15/20293,4,8
   2,020,931 
 1,500,000   Series 2017-49A, Class DR, 8.662% (3-Month USD Libor+340 basis points),
7/18/20303,4,8
   1,442,472 
 1,500,000  

Eaton Vance CLO Ltd.

Series 2015-1A, Class DR, 7.750% (3-Month USD Libor+250 basis points),
1/20/20303,4,8

   1,360,755 

 

 19 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
 250,000  

Series 2014-1RA, Class E, 10.960% (3-Month USD Libor+570 basis points),
7/15/20303,4,8

  $211,651 
 1,850,000   Series 2019-1A, Class DR, 8.760% (3-Month USD Libor+350 basis points),
4/15/20313,4,8
   1,807,114 
 2,250,000   Series 2013-1A, Class D3R, 12.060% (3-Month USD Libor+680 basis points),
1/15/20343,4,8
   2,110,418 
 1,000,000   Series 2020-2A, Class ER, 11.760% (3-Month USD Libor+650 basis points),
1/15/20353,4,8
   929,149 
 4,703,348  

Ellington Financial Mortgage Trust

Series 2021-2, Class A1, 0.931%, 6/25/20663,8,9

   3,742,614 
 4,910,868   Series 2021-3, Class A1, 1.241%, 9/25/20663,8,9   3,803,560 
 2,644,385  

Enterprise Fleet Financing LLC

Series 2023-2, Class A1, 5.793%, 6/20/20243,8

   2,646,664 
 1,375,000  

Flatiron CLO Ltd.

Series 2021-1A, Class E, 11.265% (3-Month USD Libor+600 basis points),
7/19/20343,4,8

   1,259,503 
 3,000,000   Series 2019-1A, Class AR, 6.398% (3-Month USD Libor+108 basis points),
11/16/20343,4,8
   2,946,618 
 2,150,000  

Ford Credit Auto Lease Trust

Series 2021-B, Class A4, 0.400%, 12/15/20243

   2,113,702 
 2,038,000   Series 2023-A, Class A2A, 5.190%, 6/15/20253   2,031,674 
 1,750,000  

Ford Credit Auto Owner Trust

Series 2023-A, Class A2A, 5.140%, 3/15/20263

   1,742,062 
 3,117,526  

Galaxy CLO Ltd.

Series 2017-23A, Class AR, 6.143% (3-Month USD Libor+87 basis points),
4/24/20293,4,8

   3,096,966 
 3,135,874   Series 2015-19A, Class A1RR, 6.223% (3-Month USD Libor+95 basis points),
7/24/20303,4,8
   3,111,907 
 3,044,197   Series 2013-15A, Class ARR, 6.230% (3-Month USD Libor+97 basis points),
10/15/20303,4,8
   3,023,088 
 1,500,000   Series 2017-24A, Class D, 7.710% (3-Month USD Libor+245 basis points),
1/15/20313,4,8
   1,403,340 
 2,493,410  

GCAT Trust

Series 2021-NQM7, Class A1, 1.915%, 8/25/20663,8,9

   2,136,695 
 1,855,169  

Generate CLO Ltd.

Series 3A, Class AR, 6.500% (3-Month USD Libor+125 basis points),
10/20/20293,4,8

   1,843,668 
 1,000,000   Series 9A, Class E, 12.100% (3-Month USD Libor+685 basis points),
10/20/20343,4,8
   967,136 
 1,750,000   Series 6A, Class DR, 8.773% (3-Month USD Libor+350 basis points),
1/22/20353,4,8
   1,675,687 

 

 20 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
 1,500,000  

Gilbert Park CLO Ltd.

Series 2017-1A, Class E, 11.660% (3-Month USD Libor+640 basis points),
10/15/20303,4,8

  $1,299,400 
 4,080,125  

GM Financial Automobile Leasing Trust

Series 2021-3, Class A3, 0.390%, 10/21/20243

   4,022,836 
 4,750,000   Series 2022-1, Class A3, 1.900%, 3/20/20253   4,657,783 
 82,473  

GM Financial Consumer Automobile Receivables Trust

Series 2021-4, Class A2, 0.280%, 11/18/20243

   82,288 
 946,769   Series 2022-2, Class A2, 2.520%, 5/16/20253   940,149 
 2,016,445   Series 2020-4, Class A3, 0.380%, 8/18/20253   1,978,107 
 4,010,000   Series 2020-3, Class A4, 0.580%, 1/16/20263   3,835,389 
 1,200,000   Series 2023-1, Class A2A, 5.190%, 3/16/20263   1,195,757 
 1,000,000  

GoldenTree Loan Management EUR CLO DAC

Series 5X, Class E, 8.450% (3-Month Euribor+525 basis points),
4/20/20343,4

   947,216 
 500,000  

GoldenTree Loan Management U.S. CLO Ltd.

Series 2020-7A, Class FR, 13.000% (3-Month USD Libor+775 basis points),
4/20/20343,4,8

   422,714 
 1,000,000   Series 2021-10A, Class F, 13.040% (3-Month USD Libor+779 basis points),
7/20/20343,4,8
   812,156 
 500,000   Series 2020-8A, Class ER, 11.400% (3-Month USD Libor+615 basis points),
10/20/20343,4,8
   462,490 
 1,075,000  

GoldenTree Loan Opportunities Ltd.

Series 2014-9A, Class DR2, 8.299% (3-Month USD Libor+300 basis points),
10/29/20293,4,8

   1,064,612 
 1,900,000  

Greenwood Park CLO Ltd.

Series 2018-1A, Class D, 7.760% (3-Month USD Libor+250 basis points),
4/15/20313,4,8

   1,704,871 
 1,463,264  

Grippen Park CLO Ltd.

Series 2017-1A, Class A, 6.510% (3-Month USD Libor+126 basis points),
1/20/20303,4,8

   1,456,714 
 830,000   Series 2017-1A, Class E, 10.950% (3-Month USD Libor+570 basis points),
1/20/20303,4,8
   733,158 
 2,768,092   Harley-Davidson Motorcycle Trust
Series 2020-A, Class A4, 1.930%, 4/15/20273
   2,756,732 
 1,000,000  

Harvest CLO DAC

Series 16A, Class B1RR, 4.477% (3-Month Euribor+130 basis points),
10/15/20313,4,8

   1,040,416 
 1,000,000  

Highbridge Loan Management Ltd.

Series 5A-2015, Class DRR, 8.410% (3-Month USD Libor+315 basis points),
10/15/20303,4,8

   878,261 

 

 21 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
689,221  

Honda Auto Receivables Owner Trust

Series 2020-2, Class A3, 0.820%, 7/15/20243

  $ 685,760 
 791,884   Series 2020-3, Class A3, 0.370%, 10/18/20243   780,978 
 2,113,792   Series 2021-1, Class A3, 0.270%, 4/21/20253   2,064,467 
 1,502,298  

HPEFS Equipment Trust

Series 2021-2A, Class A3, 0.360%, 9/20/20283,8

   1,493,852 
 1,250,000  

HPS Loan Management Ltd.

Series 13A-18, Class D, 8.260% (3-Month USD Libor+300 basis points),
10/15/20303,4,8

   1,147,000 
 2,625,000   Series 6A-2015, Class CR, 7.826% (3-Month USD Libor+250 basis points),
2/5/20313,4,8
   2,326,183 
 2,500,000   Series 14A-19, Class ER, 11.405% (3-Month USD Libor+615 basis points),
1/25/20343,4,8
   2,235,141 
 2,250,000   Series 15A-19, Class ER, 11.871% (3-Month Term SOFR+680 basis points),
1/22/20353,4,8
   2,065,434 
 1,741,304  

Hyundai Auto Lease Securitization Trust

Series 2023-B, Class A1, 5.250%, 5/15/20243,8

   1,741,034 
 4,450,000   Series 2021-C, Class B, 0.760%, 2/17/20263,8   4,282,320 
 3,750,000  

Hyundai Auto Receivables Trust

Series 2021-C, Class A3, 0.740%, 5/15/20263

   3,603,484 
 1,000,000  

Invesco CLO Ltd.

Series 2022-3A, Class D, 10.071% (3-Month Term SOFR+500 basis points),
10/22/20353,4,8

   1,005,284 
 2,000,000  

Invesco Euro CLO

Series 6X, Class B1, 4.827% (3-Month Euribor+165 basis points),
7/15/20343,4

   2,071,162 
 1,000,000  

Jay Park CLO Ltd.

Series 2016-1A, Class DR, 10.450% (3-Month USD Libor+520 basis points),
10/20/20273,4,8

   934,979 
 5,500,000  

John Deere Owner Trust

Series 2023-A, Class A2, 5.280%, 3/16/20263

   5,482,350 
 1,643,396  

KKR CLO Ltd.

Series 18, Class AR, 6.202% (3-Month USD Libor+94 basis points),
7/18/20303,4,8

   1,628,430 
 1,385,786  

LAD Auto Receivables Trust

Series 2023-2A, Class A1, 5.440%, 5/15/20243,8

   1,385,781 
 750,000  

LCM LP

Series 18A, Class DR, 8.050% (3-Month USD Libor+280 basis points),
4/20/20313,4,8

   631,029 
 1,800,000  

Madison Park Funding Ltd.

Series 2019-33A, Class AR, 6.276% (3-Month Term SOFR+129 basis points),
10/15/20323,4,8

   1,775,700 

 22 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
1,408,601  

Magnetite Ltd.

Series 2012-7A, Class A1R2, 6.060% (3-Month USD Libor+80 basis points),
1/15/20283,4,8

  $ 1,400,059 
 1,500,000   Series 2014-8A, Class ER2, 10.910% (3-Month USD Libor+565 basis points),
4/15/20313,4,8
   1,374,193 
 1,000,000   Series 2019-22A, Class ER, 11.610% (3-Month USD Libor+635 basis points),
4/15/20313,4,8
   950,929 
 2,500,000   Series 2016-17A, Class AR, 6.350% (3-Month USD Libor+110 basis points),
7/20/20313,4,8
   2,481,584 
 500,000   Series 2015-12A, Class ER, 10.940% (3-Month USD Libor+568 basis points),
10/15/20313,4,8
   440,060 
 1,000,000   Series 2020-25A, Class E, 11.605% (3-Month USD Libor+635 basis points),
1/25/20323,4,8
   942,648 
 2,050,000  

Mariner CLO LLC

Series 2016-3A, Class BR2, 6.773% (3-Month USD Libor+150 basis points),
7/23/20293,4,8

   2,033,254 
 2,000,000   Series 2016-3A, Class DR2, 8.173% (3-Month USD Libor+290 basis points),
7/23/20293,4,8
   1,905,700 
 3,129,857  

Mercedes-Benz Auto Receivables Trust

Series 2019-1, Class A4, 2.040%, 1/15/20263

   3,112,712 
 2,400,762  

Milos CLO Ltd.

Series 2017-1A, Class AR, 6.320% (3-Month USD Libor+107 basis points),
10/20/20303,4,8

   2,386,777 
 87,814  

MMAF Equipment Finance LLC

Series 2020-A, Class A2, 0.740%, 4/9/20243,8

   87,713 
 4,255,145   Series 2022-A, Class A2, 2.770%, 2/13/20253,8   4,198,228 
 2,500,000  

Morgan Stanley Eaton Vance CLO Ltd.

Series 2022-16A, Class E, 11.836% (3-Month Term SOFR+685 basis points),
4/15/20353,4,8

   2,330,849 
 500,000   Series 2022-18A, Class E, 13.548% (3-Month Term SOFR+850 basis points),
10/20/20353,4,8
   503,619 
 875,000  

Mountain View CLO Ltd.

Series 2015-9A, Class CR, 8.380% (3-Month USD Libor+312 basis points),
7/15/20313,4,8

   743,903 
 525,000   Series 2019-2A, Class D, 9.630% (3-Month USD Libor+437 basis points),
1/15/20333,4,8
   507,656 
 1,500,000   Series 2019-1A, Class DR, 9.200% (3-Month USD Libor+394 basis points),
10/15/20343,4,8
   1,426,156 
 1,750,000  

Neuberger Berman Loan Advisers CLO Ltd.

Series 2018-27A, Class D, 7.860% (3-Month USD Libor+260 basis points),
1/15/20303,4,8

   1,662,491 

 

 23 

 

 Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
 1,000,000  

Series 2020-36A, Class ER, 12.000% (3-Month USD Libor+675 basis points),
4/20/20333,4,8

  $952,801 
 1,000,000  

Neuberger Berman Loan Advisers Euro CLO

Series 2021-1X, Class D, 6.177% (3-Month Euribor+300 basis points),
4/17/20343,4

   994,265 
 1,500,000  

New Mountain CLO Ltd.

Series CLO-1A, Class ER, 11.940% (3-Month USD Libor+668 basis points),
10/15/20343,4,8

   1,422,052 
 238,360  

New Residential Mortgage Loan Trust

Series 2019-NQM4, Class A1, 2.492%, 9/25/20593,8,9

   216,538 
 2,535,549  

Newark BSL CLO Ltd.

Series 2016-1A, Class A1R, 6.440% (3-Month Term SOFR+136.16 basis
points), 12/21/20293,4,8

   2,516,861 
 750,000   Series 2016-1A, Class DR, 11.590% (3-Month Term SOFR+651.16 basis
points), 12/21/20293,4,8
   659,739 
 708,527  

Nissan Auto Receivables Owner Trust

Series 2020-A, Class A3, 1.380%, 12/16/20243

   703,747 
 2,500,000  

Oak Hill Credit Partners Ltd.

Series 2014-10RA, Class D2R, 10.000% (3-Month USD Libor+475 basis
points), 4/20/20343,4,8

   2,453,915 
 180,321  

OBX Trust

Series 2018-EXP1, Class 2A1, 6.000% (1-Month USD Libor+85 basis points),
4/25/20483,4,8

   178,898 
 1,284,821   Series 2020-INV1, Class A11, 6.050% (1-Month USD Libor+90 basis points),
12/25/20493,4,8
   1,200,291 
 3,244,553   Series 2019-EXP2, Class 2A1B, 6.050% (1-Month USD Libor+90 basis
points), 6/25/20593,4,8
   3,120,660 
 6,137,763   Series 2021-NQM4, Class A1, 1.957%, 10/25/20613,8,9   5,009,992 
 2,250,000  

OCP CLO Ltd.

Series 2014-6A, Class BR, 7.410% (3-Month USD Libor+215 basis points),
10/17/20303,4,8

   2,189,100 
 1,000,000   Series 2017-14A, Class C, 7.979% (3-Month USD Libor+260 basis points),
11/20/20303,4,8
   931,969 
 2,000,000   Series 2017-14A, Class D, 11.179% (3-Month USD Libor+580 basis points),
11/20/20303,4,8
   1,760,364 
 500,000   Series 2020-8RA, Class D, 12.260% (3-Month USD Libor+700 basis points),
1/17/20323,4,8
   455,573 
 1,000,000   Series 2020-18A, Class ER, 11.680% (3-Month USD Libor+643 basis points),
7/20/20323,4,8
   911,150 
 1,000,000   Series 2016-12A, Class ER2, 12.132% (3-Month Term SOFR+715 basis
points), 4/18/20333,4,8
   952,306 

 

 24 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
 2,000,000  

Series 2021-22A, Class D, 8.350% (3-Month USD Libor+310 basis points),
12/2/20343,4,8

  $1,878,280 
 1,000,000   Series 2021-22A, Class E, 11.850% (3-Month USD Libor+660 basis points),
12/2/20343,4,8
   909,386 
 1,000,000  

Octagon Investment Partners Ltd.

Series 2012-1A, Class CRR, 9.160% (3-Month USD Libor+390 basis points),
7/15/20293,4,8

   910,200 
 750,000   Series 2014-1A, Class DRR, 8.023% (3-Month USD Libor+275 basis points),
1/22/20303,4,8
   686,701 
 1,000,000   Series 2019-3A, Class ER, 12.010% (3-Month USD Libor+675 basis points),
7/15/20343,4,8
   866,291 
 2,500,000   Series 2020-3A, Class AR, 6.400% (3-Month USD Libor+115 basis points),
10/20/20343,4,8
   2,456,931 
 2,750,000  

OHA Credit Partners Ltd.

Series 2012-7A, Class D2R3, 9.629% (3-Month USD Libor+425 basis points),
2/20/20343,4,8

   2,625,953 
 1,000,000  

OSD CLO Ltd.

Series 2021-23A, Class D, 8.210% (3-Month USD Libor+295 basis points),
4/17/20313,4,8

   916,916 
 1,000,000   Series 2021-23A, Class E, 11.260% (3-Month USD Libor+600 basis points),
4/17/20313,4,8
   895,991 
 1,500,000  

OZLM Ltd.

Series 2014-8A, Class DRR, 11.340% (3-Month USD Libor+608 basis points),
10/17/20293,4,8

   1,292,942 
 2,000,000   Series 2014-6A, Class CS, 8.390% (3-Month USD Libor+313 basis points),
4/17/20313,4,8
   1,787,145 
 3,250,000   Series 2014-9A, Class A1A3, 6.350% (3-Month USD Libor+110 basis points),
10/20/20313,4,8
   3,201,250 
 750,000   Series 2019-23A, Class DR, 9.010% (3-Month USD Libor+375 basis points),
4/15/20343,4,8
   707,182 
 3,100,000  

Porsche Financial Auto Securitization Trust

Series 2023-1A, Class A1, 5.365%, 5/22/20243,8

   3,099,860 
 1,250,000  

Post CLO Ltd.

Series 2021-1A, Class D, 8.560% (3-Month USD Libor+330 basis points),
10/15/20343,4,8

   1,196,972 
 4,500,000   Series 2022-1A, Class A, 6.428% (3-Month Term SOFR+138 basis points),
4/20/20353,4,8
   4,411,079 
 2,250,000   Series 2022-1A, Class E, 11.798% (3-Month Term SOFR+675 basis points),
4/20/20353,4,8
   2,068,142 
 4,000,000   Series 2023-1A, Class A, 6.829% (3-Month Term SOFR+195 basis points),
4/20/20363,4,8
   4,005,479 

 

 25 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
1,500,000  

Series 2023-1A, Class D, 10.129% (3-Month Term SOFR+525 basis points),
4/20/20363,4,8

  $ 1,506,987 
 1,500,000  

PPM CLO Ltd.

Series 2019-3A, Class ER, 11.870% (3-Month USD Libor+661 basis points),
4/17/20343,4,8

   1,270,570 
 1,000,000  

Recette CLO Ltd.

Series 2015-1A, Class FRR, 13.720% (3-Month USD Libor+847 basis points),
4/20/20343,4,8

   786,327 
 719,105  

Regatta Funding LP

Series 2013-2A, Class A1R3, 6.110% (3-Month USD Libor+85 basis points),
1/15/20293,4,8

   715,439 
 2,000,000   Series 2013-2A, Class CR2, 8.960% (3-Month USD Libor+370 basis points),
1/15/20293,4,8
   1,991,708 
 1,500,000  

Regatta Funding Ltd.

Series 2016-1A, Class DR2, 8.350% (3-Month USD Libor+310 basis points),
4/20/20343,4,8

   1,436,492 
 1,500,000   Series 2016-1A, Class ER2, 11.910% (3-Month USD Libor+640 basis points),
6/20/20343,4,8
   1,346,591 
 1,750,000  

Rockford Tower CLO Ltd.

Series 2020-1A, Class E, 12.150% (3-Month USD Libor+690 basis points),
1/20/20323,4,8

   1,602,485 
 750,000   Series 2021-2A, Class E, 11.650% (3-Month USD Libor+640 basis points),
7/20/20343,4,8
   626,698 
 1,375,000   Series 2021-3A, Class E, 11.970% (3-Month USD Libor+672 basis points),
10/20/20343,4,8
   1,136,100 
 2,247,542  

Santander Retail Auto Lease Trust

Series 2021-A, Class A3, 0.510%, 7/22/20243,8

   2,223,242 
 3,425,000  

SFS Auto Receivables Securitization Trust

Series 2023-1A, Class A1, 5.566%, 7/22/20243,8

   3,425,000 
 2,500,000  

Shackleton CLO Ltd.

Series 2013-4RA, Class C, 8.112% (3-Month USD Libor+287 basis points),
4/13/20313,4,8

   2,161,604 
 500,000  

Sound Point CLO Ltd.

Series 2016-3A, Class E, 11.923% (3-Month USD Libor+665 basis points),
1/23/20293,4,8

   447,690 
 2,000,000   Series 2019-1A, Class DR, 8.750% (3-Month USD Libor+350 basis points),
1/20/20323,4,8
   1,675,423 
 1,500,000   Series 2019-3A, Class DR, 8.755% (3-Month USD Libor+350 basis points),
10/25/20343,4,8
   1,285,155 
 951,039  

STAR Trust

Series 2021-1, Class A1, 1.219%, 5/25/20653,8,9

   814,589 

 

 26 

 

 Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
 6,372,411  

Starwood Mortgage Residential Trust

Series 2021-5, Class A1, 1.920%, 9/25/20663,8,9

  $5,104,314 
 2,000,000  

Stratus CLO Ltd.

Series 2021-1A, Class B, 6.650% (3-Month USD Libor+140 basis points),
12/29/20293,4,8

   1,951,832 
 1,500,000   Series 2021-1A, Class C, 7.000% (3-Month USD Libor+175 basis points),
12/29/20293,4,8
   1,440,854 
 1,750,000  

Symphony CLO Ltd.

Series 2018-20A, Class DR, 9.010% (3-Month USD Libor+375 basis points),
1/16/20323,4,8

   1,666,677 
 2,500,000  

Symphony Static CLO Ltd.

Series 2021-1A, Class E1, 10.605% (3-Month USD Libor+535 basis points),
10/25/20293,4,8

   2,315,545 
 1,064,000  

TCI-Symphony CLO Ltd.

Series 2017-1A, Class E, 11.710% (3-Month USD Libor+645 basis points),
7/15/20303,4,8

   895,684 
 3,500,000   Series 2016-1A, Class AR2,  6.262% (3-Month USD Libor+102 basis points),
10/13/20323,4,8
   3,461,315 
 637,015  

Tesla Auto Lease Trust

Series 2021-B, Class A2, 0.360%, 9/22/20253,8

   631,726 
 1,000,000  

THL Credit Wind River CLO Ltd.

Series 2013-2A, Class DR, 8.212% (3-Month USD Libor+295 basis points),
10/18/20303,4,8

   855,939 
 2,100,000  

TICP CLO Ltd.

Series 2016-5A, Class ER, 11.010% (3-Month USD Libor+575 basis points),
7/17/20313,4,8

   1,860,355 
 2,099,754  

Toyota Auto Receivables Owner Trust

Series 2023-B, Class A1, 5.225%, 5/15/20243

   2,099,290 
 3,500,000  

Toyota Lease Owner Trust

Series 2023-A, Class A2, 5.300%, 8/20/20253,8

   3,484,750 
 1,150,000  

Trinitas CLO Ltd.

Series 2022-21A, Class C, 8.835% (3-Month Term SOFR+420 basis points),
1/20/20363,4,8

   1,166,973 
 1,000,000   Series 2023-22A, Class D, 11.263% (3-Month Term SOFR+619 basis points),
7/20/20363,4,8
   995,890 
 5,142,185  

Verus Securitization Trust

Series 2021-5, Class A1, 1.013%, 9/25/20663,8,9

   4,078,488 
 2,311,714   Series 2023-1, Class A1, 5.850%, 12/25/20673,8,10   2,285,076 
 944,615  

Visio Trust

Series 2020-1, Class A1, 1.545%, 8/25/20553,8,9

   886,601 

 

 27 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
    ASSET-BACKED SECURITIES (Continued)    
 1,118,812  

VMC Finance LLC

Series 2021-HT1, Class A, 6.807% (1-Month USD Libor+165 basis points),
1/18/20373,4,8

  $1,084,367 
 1,643,668  

Voya CLO Ltd.

Series 2015-1A, Class A1R, 6.162% (3-Month USD Libor+90 basis points),
1/18/20293,4,8

   1,636,207 
 2,000,000   Series 2015-1A, Class CR, 7.612% (3-Month USD Libor+235 basis points),
1/18/20293,4,8
   1,910,518 
 1,250,000   Series 2017-1A, Class C, 8.590% (3-Month USD Libor+333 basis points),
4/17/20303,4,8
   1,135,395 
 1,493,508   Series 2017-2A, Class A1R, 6.240% (3-Month USD Libor+98 basis points),
6/7/20303,4,8
   1,483,495 
 1,000,000   Series 2013-1A, Class CR, 8.198% (3-Month Term SOFR+321.16 basis
points), 10/15/20303,4,8
   881,548 
 2,000,000   Series 2013-2A, Class CR, 8.079% (3-Month Term SOFR+301.16 basis
points), 4/25/20313,4,8
   1,743,705 
 2,000,000   Series 2016-3A, Class CR, 8.512% (3-Month USD Libor+325 basis points),
10/18/20313,4,8
   1,740,720 
 2,000,000   Series 2020-2A, Class ER, 11.665% (3-Month USD Libor+640 basis points),
7/19/20343,4,8
   1,811,498 
 1,000,000   Series 2022-3A, Class E, 13.648% (3-Month Term SOFR+860 basis points),
10/20/20343,4,8
   992,352 
 1,000,000   Series 2019-4A, Class ER, 11.970% (3-Month USD Libor+671 basis points),
1/15/20353,4,8
   914,309 
 1,500,000   Series 2022-1A, Class E, 12.518% (3-Month Term SOFR+747 basis points),
4/20/20353,4,8
   1,412,704 
 1,750,000  

Voya Euro CLO DAC

Series 1X, Class B2NE, 2.100%, 10/15/20303

   1,699,773 
 1,914,275  

Wind River CLO Ltd.

Series 2013-1A, Class A1RR, 6.230% (3-Month USD Libor+98 basis points),
7/20/20303,4,8

   1,904,428 
 668,103  

World Omni Auto Receivables Trust

Series 2020-A, Class A3, 1.100%, 4/15/20253

   663,857 
 903,338   Series 2020-B, Class A3, 0.630%, 5/15/20253   893,299 
 1,509,566   World Omni Automobile Lease Securitization Trust
Series 2023-A, Class A1, 5.217%, 5/15/20243
   1,509,412 
 1,744,131  

World Omni Select Auto Trust

Series 2021-A, Class A3, 0.530%, 3/15/20273

   1,691,268 
 5,500,000   Series 2023-A, Class A2A, 5.920%, 3/15/20273   5,491,387 
    

TOTAL ASSET-BACKED SECURITIES

(Cost $445,439,409)

   429,787,490 

 

 28 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
    COMMERCIAL MORTGAGE-BACKED SECURITIES — 8.0%    
 1,250,000  

Alen Mortgage Trust

Series 2021-ACEN, Class A, 6.343% (1-Month USD Libor+115 basis points),
4/15/20344,8

  $1,103,521 
 2,550,000  

BBCMS Mortgage Trust

Series 2019-BWAY, Class A, 6.217% (1-Month Term SOFR+107.05 basis
points), 11/15/20344,8

   2,101,164 
 2,000,000   Series 2019-BWAY, Class D, 7.421% (1-Month Term SOFR+227.45 basis
points), 11/15/20344,8
   989,490 
 2,548,000   Series 2018-TALL, Class A, 6.066% (1-Month USD Libor+87.2 basis points),
3/15/20374,8
   2,300,987 
 1,000,000   Series 2018-TALL, Class B, 6.315% (1-Month USD Libor+112.1 basis points),
3/15/20374,8
   819,438 
 2,650,000   Series 2020-BID, Class A, 7.333% (1-Month USD Libor+214 basis points),
10/15/20374,8
   2,494,127 
 3,025,000  

BFLD Trust

Series 2021-FPM, Class A, 6.794% (1-Month USD Libor+160 basis points),
6/15/20383,4,8

   2,882,722 
 3,000,000  

BPR Trust

Series 2022-OANA, Class A, 7.045% (1-Month Term SOFR+189.8 basis
points), 4/15/20374,8

   2,916,591 
 2,840,405   Series 2021-WILL, Class A, 6.943% (1-Month USD Libor+175 basis points),
6/15/20384,8
   2,735,455 
 1,000,000   Series 2021-WILL, Class B, 8.193% (1-Month USD Libor+300 basis points),
6/15/20384,8
   944,825 
 2,000,000  

BX Trust

Series 2022-CLS, Class A, 5.760%, 10/13/20278

   1,930,016 
 33,116  

COLT Mortgage Loan Trust

Series 2020-2, Class A1, 1.853%, 3/25/20653,8,9

   32,874 
 1,250,000  

COMM Mortgage Trust

Series 2018-HCLV, Class A, 6.293% (1-Month USD Libor+110 basis points),
9/15/20333,4,8

   1,146,853 
 205,813  

CORE Mortgage Trust

Series 2019-CORE, Class B, 6.293% (1-Month USD Libor+110 basis points),
12/15/20314,8

   202,095 
 750,000  

CSMC

Series 2020-FACT, Class B, 7.193% (1-Month USD Libor+200 basis points),
10/15/20374,8

   712,319 
 2,841,188  

DBUBS Mortgage Trust

Series 2011-LC3A, Class PM1, 4.452%, 5/10/20443,8

   2,334,220 
 712,060  

Fannie Mae Grantor Trust

Series 2004-T5, Class AB4, 4.135%, 5/28/20353,9

   656,378 

 

 29 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
    COMMERCIAL MORTGAGE-BACKED SECURITIES (Continued)    
 2,993,442   Government National Mortgage Association
Series 2023-67, Class EB, 5.000%, 7/20/20483
  $2,925,871 
 4,270,332   Series 2023-38, Class LA, 5.000%, 7/20/20493   4,180,894 
 4,933,942   Series 2023-47, Class CD, 5.000%, 8/20/20493   4,831,059 
 4,189,721   Series 2023-68, Class KC, 5.000%, 2/20/20503   4,094,426 
 4,152,922   Series 2023-38, Class LD, 5.000%, 12/20/20503   4,060,054 
 925,000  

Great Wolf Trust

Series 2019-WOLF, Class B, 6.595% (1-Month Term SOFR+144.85 basis
points), 12/15/20364,8

   909,970 
 3,115,000  

GS Mortgage Securities Corp. II

Series 2012-BWTR, Class A, 2.954%, 11/5/20343,8

   2,263,434 
 1,783,000  

Hilton Orlando Trust

Series 2018-ORL, Class A, 6.213% (1-Month USD Libor+102 basis points),
12/15/20344,8

   1,761,670 
 1,055,000   Series 2018-ORL, Class B, 6.493% (1-Month USD Libor+130 basis points),
12/15/20344,8
   1,038,893 
 31,169  

Mellon Residential Funding

Series 1999-TBC3, Class A2, 5.632%, 10/20/20293,9

   31,541 
 2,500,000  

MTK Mortgage Trust

Series 2021-GRNY, Class A, 6.943% (1-Month USD Libor+175 basis points),
12/15/20384,8

   2,415,746 
 2,880,000  

NYO Commercial Mortgage Trust

Series 2021-1290, Class A, 6.356% (1-Month Term SOFR+120.95 basis
points), 11/15/20384,8

   2,622,856 
 1,613,068  

OBX Trust

Series 2023-NQM4, Class A1, 6.113%, 3/25/20633,8,10

   1,603,148 
 2,856,510  

Verus Securitization Trust

Series 2023-2, Class A1, 6.193%, 3/25/20683,8,10

   2,840,388 
 2,864,139   Series 2023-4, Class A1, 5.811%, 5/25/20683,8,10   2,841,369 
 1,575,000  

Worldwide Plaza Trust

Series 2017-WWP, Class F, 3.715%, 11/10/20368,9

   471,528 
    

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES

(Cost $70,592,921)

   65,195,922 
 1,500,000  

CORPORATE — 22.2%

BASIC MATERIALS — 1.5%

Alcoa Nederland Holding B.V.

6.125%, 5/15/20283,5,8

   1,493,445 
 2,750,000  

DuPont de Nemours, Inc.

6.431% (3-Month USD Libor+111 basis points), 11/15/20234

   2,757,422 
 915,000  

Element Solutions, Inc.

3.875%, 9/1/20283,8

   799,208 

 

 30 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
    CORPORATE (Continued)    
     BASIC MATERIALS (Continued)     
 3,540,000   Georgia-Pacific LLC
0.625%, 5/15/20248
  $3,397,101 
 1,720,000  

H.B. Fuller Co.

4.250%, 10/15/20283

   1,532,984 
 1,000,000   INEOS Finance PLC
2.125%, 11/15/20253
   1,025,753 
 1,868,000   International Flavors & Fragrances, Inc.
1.832%, 10/15/20273,8
   1,576,833 
         12,582,746 
     COMMUNICATIONS — 1.8%     
     Amazon.com, Inc.    
 2,035,000  

1.000%, 5/12/20263

   

1,830,041

 
 1,415,000   CCO Holdings LLC / CCO Holdings Capital Corp.
4.750%, 3/1/20303,8
   1,211,217 
 1,845,000  

Comcast Corp.

3.950%, 10/15/20253

   1,798,975 
 2,155,000  

Global Switch Finance B.V.

1.375%, 10/7/20303

   1,957,466 
 2,064,000  

Match Group, Inc.

4.625%, 6/1/20283,8

   1,898,034 
 2,166,000  

Motorola Solutions, Inc.

2.300%, 11/15/20303

   1,751,038 
 3,975,000   Verizon Communications, Inc.
5.847% (SOFR Index+79 basis points), 3/20/20264
   3,981,920 
     CONSUMER, CYCLICAL — 3.3%   14,428,691 
 615,000  

7-Eleven, Inc.

0.950%, 2/10/20263,8

   

549,668

 
 1,940,000   American Builders & Contractors Supply Co., Inc.
4.000%, 1/15/20283,8
   1,769,936 
 500,000   BMW U.S. Capital LLC
0.800%, 4/1/20248
   482,303 
 950,000   3.150%, 4/18/20243,8   931,688 
 860,000   Dana Financing Luxembourg Sarl
8.500%, 7/15/20313
   970,832 
 1,235,000  

Dufry One B.V.

2.500%, 10/15/20243

   1,319,234 
 1,000,000   Ford Motor Credit Co. LLC
4.950%, 5/28/20273
   944,412 
 2,140,000   2.900%, 2/10/20293   1,772,994 

 31 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
    CORPORATE (Continued)    
    CONSUMER, CYCLICAL (Continued)    
 2,245,000  

Hyatt Hotels Corp.

1.800%, 10/1/20243

  $2,137,655 
 1,190,000   International Game Technology PLC
5.250%, 1/15/20293,5,8
   1,128,298 
 4,015,000   McDonald's Corp.
3.375%, 5/26/20253
   3,884,203 
 1,780,000  

Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.

6.500%, 6/20/20273,8

   1,786,047 
 1,750,000   Papa John's International, Inc.
3.875%, 9/15/20293,8
   1,483,274 
 240,000  

Starbucks Corp.

5.492% (SOFR Index+42 basis points), 2/14/20243,4

   240,001 
 2,760,000   2.000%, 3/12/20273   2,480,302 
 1,195,000  

Toyota Motor Credit Corp.

5.331% (SOFR Index+33 basis points), 1/11/20244

   1,195,057 
 930,000   4.450%, 5/18/2026   916,714 
 930,000   5.960% (SOFR Index+89 basis points), 5/18/20264   936,328 
 800,000   ZF Finance GmbH
2.000%, 5/6/20273
   761,750 
 865,000   ZF North America Capital, Inc.
6.875%, 4/14/20283,8
   876,837 
         26,567,533 
     CONSUMER, NON-CYCLICAL — 4.3%     
 2,205,000  

ASGN, Inc.

4.625%, 5/15/20283,8

   

1,997,035

 
 2,000,000  

Ashtead Capital, Inc.

4.375%, 8/15/20273,8

   1,882,012 
 1,274,000  

Baxter International, Inc.

5.508% (SOFR Index+44 basis points), 11/29/20244

   1,263,425 
 1,787,000  

Biogen, Inc.

4.050%, 9/15/20253

   1,729,498 
 2,515,000  

Cargill, Inc.

3.625%, 4/22/20273,8

   2,404,066 
 2,715,000  

Global Payments, Inc.

5.300%, 8/15/20293

   2,647,492 
 1,315,000   Haleon UK Capital PLC
3.125%, 3/24/20255
   1,257,047 
 965,000   Haleon US Capital LLC
3.024%, 3/24/20243
   944,281 

 

 32 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
    CORPORATE (Continued)    
    CONSUMER, NON-CYCLICAL (Continued)    
 4,525,000  

HCA, Inc.

4.500%, 2/15/20273

  $4,367,394 
 1,020,000  

Illumina, Inc.

5.750%, 12/13/20273

   1,025,112 
 1,100,000  

IQVIA, Inc.

5.700%, 5/15/20283,8

   1,090,375 
 1,000,000   2.250%, 3/15/20293   934,996 
 1,450,000   JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.
2.500%, 1/15/20273,5,8
   1,271,432 
 1,015,000  

Loxam SAS

6.375%, 5/15/20283

   1,098,832 
 1,720,000   Mondelez International Holdings Netherlands B.V.
1.250%, 9/24/20263,5,8
   1,512,408 
 1,785,000   Organon & Co / Organon Foreign Debt Co-Issuer
4.125%, 4/30/20283,8
   1,586,162 
 385,000   Pfizer Investment Enterprises Pte Ltd.
4.450%, 5/19/20263,5
   380,473 
 1,330,000   Prime Security Services Borrower LLC / Prime Finance, Inc.
3.375%, 8/31/20273,8
   1,174,331 
 1,000,000  

Roche Holdings, Inc.

5.620% (SOFR Rate+56 basis points), 3/10/20254,8

   1,003,771 
 1,671,000   Royalty Pharma PLC
1.200%, 9/2/20253,5
   1,507,590 
 670,000   1.750%, 9/2/20273,5   574,921 
 1,862,000  

Thermo Fisher Scientific, Inc.

5.546% (SOFR Index+53 basis points), 10/18/20243,4

   1,862,052 
 2,235,000   Universal Health Services, Inc.
2.650%, 10/15/20303
   1,827,068 
         35,341,773 
     ENERGY — 3.0%     
 2,367,000  

Boardwalk Pipelines LP
4.450%, 7/15/20273

   

2,260,795

 
 1,450,000   Buckeye Partners LP
3.950%, 12/1/20263
   1,310,865 
 581,000   Cheniere Energy Partners LP
4.500%, 10/1/20293
   533,739 
 3,225,000  

Cheniere Energy, Inc.

4.625%, 10/15/20283

   3,014,688 
 1,775,000   Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp.
6.000%, 2/1/20293,8
   1,659,208 

 

 33 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
    CORPORATE (Continued)    
    ENERGY (Continued)    
 1,280,000   DCP Midstream Operating LP
5.625%, 7/15/20273
  $1,279,131 
 2,800,000   8.125%, 8/16/2030   3,169,908 
 4,000,000  

Enbridge, Inc.

5.701% (SOFR Index+63 basis points), 2/16/20244,5

   3,997,424 
 3,661,000   Energy Transfer LP
4.750%, 1/15/20263
   3,580,443 
 920,000   NextEra Energy Partners LP
2.500%, 6/15/20268,11
   828,456 
 1,600,000   Northriver Midstream Finance LP
5.625%, 2/15/20263,5,8
   1,493,595 
 1,085,000  

TransCanada PipeLines Ltd.

6.579% (SOFR Index+152 basis points), 3/9/20263,4,5

   1,086,441 
         24,214,693 
     FINANCIAL — 1.0%     
     Aon Global Ltd.     
 2,750,000   3.500%, 6/14/20243,5   2,690,911 
 1,450,000  

Crown Castle, Inc.

4.800%, 9/1/20283

   1,408,063 
 1,920,000  

Iron Mountain, Inc.

5.000%, 7/15/20283,8

   1,780,760 
 590,000   Metropolitan Life Global Funding I
4.050%, 8/25/20258
   568,730 
 2,205,000   VICI Properties LP / VICI Note Co., Inc.
4.250%, 12/1/20263,8
   2,064,720 
         8,513,184 
     INDUSTRIAL — 2.8%     
 1,205,000   Advanced Drainage Systems, Inc.
6.375%, 6/15/20303,8
   1,193,456 
 500,000   Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.
2.125%, 8/15/20263
   486,621 
 1,000,000   BAE Systems Holdings, Inc.
3.800%, 10/7/20248
   973,891 
 3,240,000  

Boeing Co.

1.433%, 2/4/20243

   3,154,519 
 4,600,000  

Brambles USA, Inc.

4.125%, 10/23/20253,8

   4,428,415 
 3,435,000   Graphic Packaging International LLC
0.821%, 4/15/20243,8
   3,296,841 

 

 34 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
    CORPORATE (Continued)    
    INDUSTRIAL (Continued)    
 1,015,000  

MasTec, Inc.

4.500%, 8/15/20283,8

  $937,008 
 300,000  

Nexans SA

5.500%, 4/5/20283

   336,951 
 2,620,000  

Regal Rexnord Corp.

6.050%, 4/15/20283,8

   2,603,243 
 580,000  

Republic Services, Inc.

0.875%, 11/15/20253

   522,117 
 2,035,000  

Sealed Air Corp.

1.573%, 10/15/20263,8

   1,771,777 
 1,800,000   Smyrna Ready Mix Concrete LLC
6.000%, 11/1/20283,8
   1,699,756 
 1,250,000  

Standard Industries, Inc.

2.250%, 11/21/20263

   1,214,838 
    

 

   22,619,433 
     TECHNOLOGY — 2.2%     
 2,190,000   Booz Allen Hamilton, Inc.
3.875%, 9/1/20283,8
   1,983,176 
 2,720,000   Cadence Design Systems, Inc.
4.375%, 10/15/20243
   2,677,829 
 2,474,000   Dell International LLC / EMC Corp.
6.200%, 7/15/20303
   2,572,213 
 1,505,000  

Entegris, Inc.

4.375%, 4/15/20283,8

   1,363,349 
 825,000  

Fiserv, Inc.

3.800%, 10/1/20233

   820,941 
 2,779,000  

Fortinet, Inc.

1.000%, 3/15/20263

   2,481,825 
 270,000  

Infor, Inc.

1.450%, 7/15/20233,8

   269,541 
 1,557,000  

Leidos, Inc.

3.625%, 5/15/20253

   1,494,219 
 1,610,000   Micron Technology, Inc.
5.375%, 4/15/20283
   1,595,523 
 2,966,000  

VMware, Inc.

1.800%, 8/15/20283

   2,487,643 
    

 

   17,746,259 
     UTILITIES — 2.3%     
 3,755,000  

AES Corp.

1.375%, 1/15/20263

   3,356,118 

 

 35 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal

Amount1

      Value 
    BONDS (Continued)    
    CORPORATE (Continued)    
     UTILITIES (Continued)     
 840,000   5.450%, 6/1/20283  $825,569 
 3,500,000  

Avangrid, Inc.

3.150%, 12/1/20243

   3,358,845 
 3,000,000  

CenterPoint Energy, Inc.

1.450%, 6/1/20263

   2,682,681 
 1,390,000   Clearway Energy Operating LLC
4.750%, 3/15/20283,8
   1,283,762 
 2,412,000  

Georgia Power Co.

2.200%, 9/15/20243

   2,306,328 
 1,250,000  

NextEra Energy Capital Holdings, Inc.

5.464% (SOFR Index+40 basis points), 11/3/20233,4

   1,249,857 
 955,000   NextEra Energy Operating Partners LP
4.500%, 9/15/20273,8
   888,054 
 2,350,000  

NRG Energy, Inc.

2.450%, 12/2/20273,8

   1,982,371 
 250,000  

Southern Power Co.

0.900%, 1/15/20263

   224,156 
 425,000   Vistra Operations Co. LLC
5.625%, 2/15/20273,8
   407,735 
        18,565,476 
     TOTAL CORPORATE     
     (Cost $183,491,671)   180,579,788 
     U.S. GOVERNMENT — 9.3%     
 4,000,000   United States Treasury Bill
4.903%, 10/12/2023
   3,941,856 
 13,500,000   4.994%, 10/19/2023   13,289,548 
 17,000,000   4.992%, 10/26/2023   16,717,885 
 25,000,000   4.714%, 11/2/2023   24,559,600 
 17,000,000   4.532%, 11/30/2023   16,632,120 
     TOTAL U.S. GOVERNMENT   75,141,009 
     (Cost $75,279,252)     
     TOTAL BONDS     
     (Cost $774,803,253)   750,704,209 

 36 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Number
of Shares
      Value 
    SHORT-TERM INVESTMENTS — 0.4%    
 2,936,423   Fidelity Investments Money Market Funds - Treasury Portfolio - Class I,
4.92%12,13
  $2,936,423 
     TOTAL SHORT-TERM INVESTMENTS     
     (Cost $2,936,423)   2,936,423 
     TOTAL INVESTMENTS — 98.0%     
     (Cost $819,053,289)   795,556,762 
     Other Assets in Excess of Liabilities — 2.0%   16,614,698 
     TOTAL NET ASSETS — 100.0%  $812,171,460 
           

Principal

Amount

        
    SECURITIES SOLD SHORT — (5.0)%     
     BONDS — (5.0)%     
     U.S. GOVERNMENT — (5.0)%     
$(11,700,000)  United States Treasury Note
4.125%, 10/31/2027
   (11,641,044)
 (17,150,000)  3.500%, 1/31/2028   (16,656,268)
 (13,850,000)  1.375%, 10/31/2028   (12,053,018)
     TOTAL U.S. GOVERNMENT     
     (Proceeds $41,494,490)   (40,350,330)
     TOTAL BONDS     
     (Proceeds $41,494,490)   (40,350,330)
     TOTAL SECURITIES SOLD SHORT     
     (Proceeds $41,494,490)  $(40,350,330)

 

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.
4Floating rate security.
5Foreign security denominated in U.S. Dollars.
6All or a portion of the loan is unfunded.
7Denotes investments purchased on a when-issued or delayed delivery basis.

 37 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

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 $453,550,862 which represents 55.84% of total net assets of the Fund.
9Variable rate security.
10Step rate security.
11Convertible security.
12All or a portion of this security is segregated as collateral for securities sold short. The market value of the securities pledged as collateral was $1,098,777, which represents 0.14% of total net assets of the Fund.
13The rate is the annualized seven-day yield at period end.

 

See accompanying Notes to Financial Statements.

 38 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

FUTURES CONTRACTS

 

Number of Contracts Long (Short)   Description 

Expiration

Date

  Value at Trade Date  

Value at

June 30, 2023

   Unrealized Appreciation (Depreciation) 
 (50)  U.S. 5 Year Treasury Note  Sep 2023  $(5,407,032)  $(5,354,688)  $52,344 
 (50)  U.S. 10 Year Treasury Note  Sep 2023   (5,656,250)   (5,613,281)   42,969 
TOTAL FUTURES CONTRACTS  $(11,063,282)  $(10,967,969)  $95,313 

 

See accompanying Notes to Financial Statements.

 39 

 

Palmer Square Income Plus Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS

 

Sale Contracts  Counterparty   Currency Exchange   Currency Amount Sold   Value At Settlement Date   Value At June 30, 2023   Unrealized Appreciation (Depreciation) 
Euro   JP Morgan    EUR per USD    (21,981,250)  $(23,990,414)  $(24,080,082)  $(89,668)
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS  $(23,990,414)  $(24,080,082)  $(89,668)

 

 

EUR – Euro

 

See accompanying Notes to Financial Statements. 

 40 

 

Palmer Square Income Plus Fund

SUMMARY OF INVESTMENTS

As of June 30, 2023

 

 

Security Type/Sector  Percent of Total
Net Assets
 
Bonds    
Asset-Backed Securities   52.9%
Corporate   22.2%
U.S. Government   9.3%
Commercial Mortgage-Backed Securities   8.0%
Total Bonds   92.4%
Bank Loans   5.2%
Short-Term Investments   0.4%
Total Investments   98.0%
Other Assets in Excess of Liabilities   2.0%
Total Net Assets   100.0%

 

See accompanying Notes to Financial Statements. 

 41 

 

Palmer Square Income Plus Fund

STATEMENT OF ASSETS AND LIABILITIES

As of June 30, 2023

 

 

Assets:    
Investments, at value (cost $819,053,289)  $795,556,762 
Foreign currency, at value (cost $1,547,868)   1,565,341 
Cash   26,067 
Cash held by broker for futures contracts   1,489,067 
Cash held by broker for securities sold short and swap contracts   46,495,879 
Receivables:     
Variation margin on futures contracts   95,313 
Investment securities sold   1,314,224 
Fund shares sold   355,820 
Interest   7,597,866 
Prepaid expenses   23,454 
Total assets   854,519,793 
      
Liabilities:     
Securities sold short, at value (proceeds $41,494,490)   40,350,330 
Payables:     
Investment securities purchased   234,496 
Fund shares redeemed   652,375 
Unrealized depreciation on forward foreign currency exchange contracts   89,668 
Advisory fees   328,187 
Shareholder servicing fees (Note 6)   105,209 
Fund administration and accounting fees   108,652 
Transfer agent fees and expenses   6,399 
Custody fees   32,442 
Interest on securities sold short   363,777 
Auditing fees   32,340 
Trustees' deferred compensation (Note 3)   17,068 
Trustees' fees and expenses   2,545 
Chief Compliance Officer fees   2,056 
Commitment fees payable (Note 12)   2,000 
Accrued other expenses   20,789 
Total liabilities   42,348,333 
      
Net Assets  $812,171,460 
      
Components of Net Assets:     
Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized)  $852,743,169 
Total accumulated earnings (deficit)   (40,571,709)
Net Assets  $812,171,460 
      
Maximum Offering Price per Share:     
Net assets applicable to shares outstanding  $812,171,460 
Shares of beneficial interest issued and outstanding   83,360,849 
Offering and redemption price per share  $9.74 

 

See accompanying Notes to Financial Statements.

 42 

 

Palmer Square Income Plus Fund

STATEMENT OF OPERATIONS

For the Year Ended June 30, 2023

 

 

Investment Income:    
Interest (net of foreign withholding taxes of $45)  $51,843,938 
Total investment income (loss)   51,843,938 
      
Expenses:     
Advisory fees   4,569,855 
Shareholder servicing fees (Note 6)   834,005 
Fund administration and accounting fees   659,617 
Transfer agent fees and expenses   40,841 
Custody fees   51,144 
Interest on securities sold short   1,642,905 
Commitment fees (Note 12)   146,064 
Brokerage expense   76,979 
Registration fees   69,887 
Shareholder reporting fees   33,827 
Auditing fees   32,339 
Trustees' fees and expenses   22,001 
Legal fees   18,192 
Miscellaneous   17,194 
Chief Compliance Officer fees   12,086 
Insurance fees   5,089 
Net expenses   8,232,025 
Net investment income (loss)   43,611,913 
      
Realized and Unrealized Gain (Loss):     
Net realized gain (loss) on:     
Investments   (14,063,501)
Futures contracts   402,434 
Securities sold short   4,768,277 
Forward contracts   (710,132)
Swap contracts   2,178,650 
Foreign currency transactions   121,423 
Net realized gain (loss)   (7,302,849)
Net change in unrealized appreciation (depreciation) on:     
Investments   13,015,211 
Futures contracts   375,097 
Securities sold short   (303,090)
Forward contracts   (752,179)
Swap contracts   2,215,769 
Foreign currency transactions   38,859 
Net change in unrealized appreciation (depreciation)   14,589,667 
Net realized and unrealized gain (loss)   7,286,818 
      
Net Increase (Decrease) in Net Assets from Operations  $50,898,731 

 

See accompanying Notes to Financial Statements.

 43 

 

Palmer Square Income Plus Fund

STATEMENTS OF CHANGES IN NET ASSETS

 

 

   For the  Year Ended June 30, 2023   For the  Year Ended June 30, 2022 
Increase (Decrease) in Net Assets from:          
Operations:          
Net investment income (loss)  $43,611,913   $13,400,198 
Net realized gain (loss) on investments, futures contracts,          
purchased option contracts, securities sold short, swap          
contracts, forward contracts, and foreign currency   (7,302,849)   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   14,589,667    (42,638,984)
Net increase (decrease) in net assets resulting from operations   50,898,731    (28,595,817)
           
Distributions to Shareholders:          
Distributions   (42,994,012)   (12,171,104)
Return of Capital   -    (430,037)
Total distributions to shareholders   (42,994,012)   (12,601,141)
           
Capital Transactions:          
Net proceeds from shares sold   244,342,645    539,751,063 
Reinvestment of distributions   35,965,439    11,232,107 
Cost of shares redeemed   (501,326,712)   (340,744,720)
Net increase (decrease) in net assets from capital transactions   (221,018,628)   210,238,450 
           
Total increase (decrease) in net assets   (213,113,909)   169,041,492 
           
Net Assets:          
Beginning of period   1,025,285,369    856,243,877 
End of period  $812,171,460   $1,025,285,369 
           
Capital Share Transactions:          
Shares sold   25,146,306    54,064,445 
Shares reinvested   3,724,219    1,133,352 
Shares redeemed   (51,533,118)   (34,248,022)
Net increase (decrease) in capital share transactions   (22,662,593)   20,949,775 

 

See accompanying Notes to Financial Statements

 44 

 

Palmer Square Income Plus Fund

FINANCIAL HIGHLIGHTS
 

 

Per share operating performance.

For a capital share outstanding throughout each period.

 

   For the Year Ended June 30,         
   2023   2022   2021   2020  

For the Period

February 1, 2019

through

June 30, 2019*

  

For the Year

Ended

January 31,

2019

 
Net asset value, beginning of period  $9.67   $10.06   $9.75   $9.87   $9.83   $9.90 
Income from Investment Operations:                              
Net investment income (loss)1,2   0.45    0.14    0.16    0.28    0.14    0.29 
Net realized and unrealized gain (loss)   0.08    (0.40)   0.30    (0.13)   0.06    (0.08)
Total from investment operations   0.53    (0.26)   0.46    0.15    0.20    0.21 
                               
Less Distributions:                              
From net investment income   (0.46)   (0.13)   (0.15)   (0.27)   (0.16)   (0.28)
From return of capital       -3   -    -    -    - 
Total distributions   (0.46)   (0.13)   (0.15)   (0.27)   (0.16)   (0.28)
                               
Net asset value, end of period  $9.74   $9.67   $10.06   $9.75   $9.87   $9.83 
                               
Total return4   5.64%   (2.63)%   4.75%   1.64%   2.01%7   2.11%
                               
Ratios and Supplemental Data:                              
Net assets, end of period (in thousands)  $812,171   $1,025,285   $856,244   $625,347   $582,734   $544,830 
                               
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   0.88%   0.75%   0.90%   0.82%   0.77%8   0.80%
After fees waived and expenses absorbed/recovered5,6   0.88%   0.75%   0.94%   0.85%   0.77%8   0.77%
                               
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   4.68%   1.39%   1.64%   2.86%   3.44%8   2.89%
After fees waived and expenses absorbed/recovered2   4.68%   1.39%   1.60%   2.83%   3.44%8   2.92%
                               
Portfolio turnover rate   115%   111%   167%   147%   45%7   214%

 

*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%, 0.06%, 0.20%, and 0.10% for the fiscal years ended June 30, 2023, 2022, 2021, and 2020, respectively, 0.02% for the period ended June 30, 2019, and 0.02% for the fiscal year ended January 31, 2019.
7Not annualized.
8Annualized.

 

See accompanying Notes to Financial Statements.

 45 

 

 

 

Palmer Square Ultra-Short Duration Investment Grade Fund (PSDSX)

 

June 2023

 

As a refresher, the investment objective of the Palmer Square Ultra-Short Duration Investment Grade Fund (the "Fund”) is to seek income. A secondary objective of the Fund is to seek capital appreciation. The Fund is invested primarily in a broad universe of credit such as fixed and floating rate investment grade corporate bond and notes, collateralized loan obligation ("CLOs”) debt, traditional asset-backed securities ("ABS”) debt, and commercial paper. We believe our portfolio presents an ultra-short duration income alternative for investors targeting potential yield, capital preservation, and low volatility.

 

Since inception (10/7/2016), the Fund has had a flat or positive daily performance 92.4% of the time.

 

Performance Overview

 

The Fund returned 3.48% (net of fees) for the fiscal year-ending 6/30/2023. The Fund's current yield is 4.67% (+2.65% since 6/30/2022) and yield to expected call* is 5.96%. Interest rate duration* is 0.41 years and spread duration* is 0.78 years.

 

The performance data quoted represents past performance and that past performance does not guarantee future results. Investment return and principal value will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted. To obtain performance information current to the most recent month-end please call 866-933-9033.

 

  Allocation 6/30/2023 Price %Yield to Expected Call*
IG Corp Fixed (average duration of 1.2 yrs) 12% 96.9 5.7%
IG Corp FRN 3% 100.1 5.8%
Bank Loans 2% 100.5 6.5%
CLO AAA 25% 99.3 6.8%
CLO AA 2% 98.1 7.0%
CLO A 2% 98.1 7.3%
CLO BBB 1% 99.6 8.5%
MBS 1% 72.8 9.9%
ABS 24% 98.6 5.9%
T-Bills 27% 98.4 5.4%

 

Source: Palmer Square as of 6/30/2023. *Please see Notes and Disclosure for definitions.

 

Portfolio Snapshot

 

Please refer to the table below for a portfolio snapshot.

 

  6/30/2022 9/30/2022 12/31/2022 3/31/2023 6/30/2023
Interest Rate Duration* 0.46 yrs 0.60 yrs 0.61 yrs 0.40 yrs 0.41 yrs
Spread Duration* 1.39 yrs 1.31 yrs 1.23 yrs 0.80 yrs 0.78 yrs
Yield to Expected Call* 3.87% 5.14% 5.49% 5.47% 5.96%
Yield to Maturity 3.88% 5.12% 5.44% 5.42% 5.93%
Current Yield 2.02% 3.12% 3.77% 4.38% 4.67%
30-day SEC Yield* (net of fees) 1.49% 2.81% 3.91% 3.91% 4.90%
30-day SEC Yield* (gross of fees) 1.06% 2.45% 3.73% 3.73% 4.82%
Weighted Average Price $98.2 $97.8 $97.7 $98.7 $98.4

 

Source: Palmer Square. Past performance does not guarantee future results. *Please see Notes and Disclosure for definitions.

 

 

Palmer Square Capital Management LLC 1900 Shawnee Mission Parkway, Suite 315, Mission Woods, KS 66205 www.palmersquarefunds.com

 

 46 

 

Summary on Attribution, Positioning and Outlook

 

Allocation and Gross Attribution

  6/30/2022 Allocation 9/30/2022 Allocation

12/31/2022

Allocation

3/31/2023 Allocation 6/30/2023 Allocation 7/1/2022 to 6/30/2022 Gross Attribution
IG Corp Fixed 19% 19% 20% 12% 12% 0.37%
IG Corp FRN 6% 5% 5% 4% 3% 0.22%
Bank Loans 2% 3% 4% 2% 2% 0.25%
CLO Debt 38% 35% 30% 31% 29% 2.20%
MBS 8% 6% 5% 1% 1% -0.64%
ABS 19% 14% 18% 19% 24% 0.70%
T-Bills 7% 16% 18% 31% 27% 0.69%
Commercial Paper 0% 0% 0% 0% 0% 0.00%
Cash 3% 2% 0% 0% 2% 0.00%

 

Please note allocation above is a % of NAV. Gross attribution does not include expenses and fees if applicable. Please see Notes and Disclosure.

 

The performance data quoted represents past performance and that past performance does not guarantee future results. Investment return and principal value will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted. To obtain performance information current to the most recent month-end please call 866-933-9033.

 

2023 Fund Outlook:

 

·Solid Diversification - We believe we have solid diversification across both corporate and structured credit. The four main tools we have utilized to do this include investment grade corporate bonds, commercial paper, traditional asset-backed securities, and CLO debt.

 

·Lower Spread Duration Yet Solid Yield -

 

»Shorter maturity debt/low spread duration (the percentage price change of a bond's price given a 1% change in the yield spread) of 0.78 years should keep susceptibility to spread widening* risk and volatility low (note: we already had low interest rate duration (the percentage price change of a bond's price given a 1% change in interest rates)).

 

»Approximately 57% of the portfolio is typically self-liquidating within one year and 90% in two years.

 

»Focus on the top end of the credit quality spectrum.

 

»Maintained a strong current yield of 4.67% and yield to expected call of 5.96%.

 

·Investment Grade ("IG") Corporate Bond Allocation - The IG corporate bond exposure was steadily reduced over the period as short term credit spreads tightened back to early 2022 levels. This reduction was achieved through simply letting bonds mature rather than actively selling down the allocation. With front end spreads near YTD tights, we view short IG corporates as relatively expensive at the moment. However, on an unhedged basis the all in yields on 0.5-2Y corps remain somewhat attractive as a core holding in this Fund.

 

*Please see Notes and Disclosure for definitions.

 

 

Palmer Square Capital Management LLC 1900 Shawnee Mission Parkway, Suite 315, Mission Woods, KS 66205 www.palmersquarefunds.com

 

 47 

 

·CLO Allocation/Opportunity to Capture Yield and Total Return - We believe the Fund's CLO allocation continues to be well-positioned to offer significant yield (especially on a risk adjusted basis) vs. corporates and other areas of IG rated fixed income products. Short duration AAA-rated debt has been offering approximately 6.0% to 7.0% in current yield and over 6% yield to maturity, which is the highest it's been in the past 10 years. Breakevens on short duration CLO AAAs are the widest we have ever seen. Given rising LIBOR/ SOFR* rates, the implied 1Y coupon on short AAAs is about 6.25%. In order to breakeven over a 1Y holding period spreads would need to widen to 500bps or more. For reference, AAAs widened out to 300-325bps during the depths of the COVID crisis, and that opportunity only lasted a few days.1

 

»CLO AAA spreads still look attractive vs IG corporate spreads and are still wide on a historical spread basis. Over the past 10 years CLO AAA spreads are on average 11bps wider than IG corporate bonds. Today CLO AAAs are 39bps wider; which on a 10yr look- back is the 88th percentile (ie CLO AAAs have only been cheaper 12% of the time).

 

·Traditional Asset-Backed Securities/Mortgage-Backed Securities (MBS) Allocation - As of 6/30/2023, 25% of the portfolio was allocated to ABS/MBS positions. Our primary focus within the strategy is to maintain low spread durations which should generate positive performance for the portfolio.

 

ABS/MBS Positions 6/30/2023
Prime Autos 21%
Equipment 3%
ABS (100% AAA) 24%
Single Asset/Single Borrower 1%
CMBS (100% AAA) 1%

 

Asset-backed Securities (ABS), Mortgage-backed Securities (MBS), Commercial mortgage-backed securities (CMBS)

 

In summary, we believe the Fund is well-positioned and has potential to not only generate yield, but also provide investors with a low volatility alternative, which can help diversify a fixed income allocation. We believe we are opportune in our approach to relative value and could not be more excited about how this portfolio is positioned and its outlook.

 

*Please see Notes and Disclosure for definitions. 1This example is provided for illustrative purposes only.

 

 

Palmer Square Capital Management LLC 1900 Shawnee Mission Parkway, Suite 315, Mission Woods, KS 66205 www.palmersquarefunds.com

 

 48 

 

Performance Summary

The Fund returned 3.48% (net of fees) for the fiscal year-ending 6/30/2023.

  

Fund Performance Net of Fees as of 6/30/2023 (inception 10/7/2016)

 

  Q1 2023 Q2 2023 YTD 2023 2022 2021 2020 2019 2018 2017 YTD 2016
PSDSX 1.23% 1.28% 2.52% -0.28% 0.05% 1.59% 3.00% 1.84% 1.50% 0.26%
ICE BofA ML U.S. Treasury Bill Index 1.08% 1.18% 2.27% 1.47% 0.05% 0.67% 2.28% 1.88% 0.85% 0.09%

  

Fund Performance Net of Fees as of 6/30/2023 (inception 10/7/2016)

 

  1 Year 3 Years 5 Years Since Inception Annualized
PSDSX 3.48% 1.02% 1.56% 1.55%
ICE BofA ML U.S. Treasury Bill Index 3.62% 1.28% 1.56% 1.42%

 

Annual Expense Ratio: Gross 0.76%/Net 0.53%. Palmer Square has contractually agreed to waive its fees and/or pay for operating expenses of the Fund to ensure that total annual fund operating expenses (excluding acquired fund fees and expenses, interest, taxes, dividends and interest expenses on short positions, brokerage commissions and extraordinary expenses such as litigation expenses) do not exceed 0.50% of the average daily net assets of the Fund. This agreement is effective until October 31, 2023, and it may be terminated before that date only by Trust's Board of Trustees. 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. The performance data quoted represents past performance and that past performance does not guarantee future results. Investment return and principal value will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted. A portion of the fees charged is waived. Performance prior to waiving fees was lower than the actual returns. To obtain performance information current to the most recent month-end please call 866-933-9033.

 

Summary

 

The Fund's diverse portfolio across corporate and structured credit has low spread duration, which may lessen the Fund's susceptibility to spread widening risk, (we already had low interest rate duration (the percentage price change of a bond's price given a 1% change in interest rates)), is positioned almost entirely in investment grade securities, yet has offered a strong current yield and potential opportunity for capital appreciation. In essence, we believe the Fund is well-positioned and has potential to not only generate yield and some total return, but also exhibit lower price volatility should another dislocation hit the market. Please do not hesitate to contact us at investorrelations@palmersquarecap.com or 816-994-3200 should you desire more information. We would also be happy to set up a call and/or meeting at your convenience.

 

 

Palmer Square Capital Management LLC 1900 Shawnee Mission Parkway, Suite 315, Mission Woods, KS 66205 www.palmersquarefunds.com

 

 49 

 

Notes and Disclosure

 

This overview is for informational and comparative purposes only and does not constitute an offer to sell or a solicitation of an offer to buy any interests in the Palmer Square Ultra-Short Duration Investment Grade Fund, the (“Fund”), and/or any other securities, or to provide any other advisory services. Any offer to invest in the funds will be made pursuant to the Fund’s prospectus, which will contain material information not contained herein and to which prospective investors are directed. Before investing, you should carefully read such materials in their entirety. This overview is not intended to replace such materials, and any information herein should not be relied upon for the purposes of investing in the funds or for any other purpose. This overview is a summary and does not purport to be complete.

 

The allocation and credit quality distribution figures shown are used for illustrative purposes only. Palmer Square does not guarantee to execute that allocation and credit quality distribution. Allocation and exposures information, as well as other referenced categorizations, reflect classifications determined by Palmer Square as well as certain Palmer Square assumptions based on estimated portfolio characteristic information. Ratings listed herein are assigned by Standard & Poor’s (S&P) and Moody’s Investor Service (Moody’s). Credit quality ratings are measured on a scale with S&P’s credit quality ratings ranging from AAA (highest) to D (lowest) and Moody’s credit quality ratings ranging from Aaa (highest) to C (lowest). We use the higher of the two ratings. Credit ratings listed are subject to change. Please contact Palmer Square for more information.

 

Market opportunities and/or yields shown are for illustration purposes only and are subject to change without notice. Palmer Square does not represent that these or any other strategy/opportunity will prove to be profitable or that the Fund’s investment objective will be met.

 

This material represents an assessment of the market environment at a specific point in time, is subject to change without notice, and should not be relied upon by the reader as research or investment advice. With regard to sources of information, certain of the economic and market information contained herein has been obtained from published sources and/or prepared by third parties. While such sources are believed to be reliable, Palmer Square or employees or representatives do not assume any responsibility for the accuracy of such information. Palmer Square is under no obligation to verify its accuracy.

 

The BofA ML US Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income. The Bloomberg 1-3 Year US Corporate Index measures the performance of investment grade, US dollar-denominated, fixed-rate, taxable corporate and government-related debt with 1 to 2.9999 years to maturity. It is composed of a corporate and a non- corporate component that includes non-US agencies, sovereigns, supranationals and local authorities. Unlike mutual funds, indices are not managed and do not incur fees or expenses. It is not possible to invest directly in an index.

 

Interest Rate Duration measures a portfolio’s sensitivity to changes in interest rates. Spread Duration measures the sensitivity of a bond price based on basis point changes of more than 100. Yield To Call is the yield of a bond or note if you were to buy and hold the security until the call date. Yield To Maturity is the rate of return anticipated on a bond if held until the end of its lifetime. Current Yield is annual income divided by price paid. Yield to Expected Call is a Yield to Call metric that assumes callable bonds are not called on their call date, but at some later date prior to maturity. Yield to Expected Call is a Yield to Call metric that assumes callable bonds are not called on their call date, but at some later date prior to maturity. Yield to Expected Call considers contractual terms in a bond’s indenture or other similar governing document. A bond may be called before or after this date, which has the potential to increase or decrease the Yield to Expected Call calculation. All else equal, when a bond’s price is below par, Yield to Expected Call is a more conservative yield metric than Yield to Call. If a bond is not callable, Yield to Expected Call calculates the bond’s Yield to Maturity. The Consumer Price Index (CPI) is a measure that examines the weighted average of prices of a basket of consumer goods and services, such as transportation, food, and medical care. It is calculated by taking price changes for each item in the predetermined basket of goods and averaging them. Basis points (BPS) refers to a common unit of measure for interest rates and other percentages in finance. The relationship between percentage changes and basis points can be summarized as follows: 1% change = 100 basis points and 0.01% = 1 basis point. Credit Spreads are often a good barometer of economic health - widening (bearish sentiment) and narrowing/ tightening (bullish sentiment). A tight market (tight-trading) is a market characterized by narrow bid-ask spreads and abundant liquidity with frenetic trading activity. The London Interbank Offered Rate (LIBOR) is a benchmark interest rate at which major global banks lend to one another in the international interbank market for short-term loans. The Secured Overnight Financing Rate (SOFR) is a benchmark interest rate for dollar-denominated derivatives and loans that is replacing the London interbank offered rate (LIBOR). The weighted average life (WAL) is the average length of time that each dollar of unpaid principal on a loan, a mortgage, or an amortizing bond remains outstanding. A mutual fund’s 30-Day SEC Yield refers to a calculation that is based on the 30 days ending on the last day of the previous month. The yield figure reflects the dividends and interest earned during the period, after the deduction of the fund’s expenses.

 

Past performance is not indicative of future results. Different types of investments involve varying degrees of risk and there can be no assurance that any specific investment will be profitable. Please note that the performance of the funds may not be comparable to the performance of any index shown. Palmer Square has not verified, and is under no obligation to verify, the accuracy of these returns. Diversification does not assure a profit, nor does it protect against a loss in a declining market.

 

 

Palmer Square Capital Management LLC 1900 Shawnee Mission Parkway, Suite 315, Mission Woods, KS 66205 www.palmersquarefunds.com

 

 50 

 

Notes and Disclosure cont’d

 

The risks of an investment in a collateralized debt obligation depend largely on the type of the collateral securities and the class of the debt obligation in which the Fund invests. Collateralized debt obligations are generally subject to credit, interest rate, valuation, prepayment and extension risks. These securities are also subject to risk of default on the underlying asset, particularly during periods of economic downturn. Defaults, downgrades, or perceived declines in creditworthiness of an issuer or guarantor of a debt security held by the Fund, or a counterparty to a financial contract with the Fund, can affect the value of the Fund's portfolio. Credit loss can vary depending on subordinated securities and non-subordinated securities. If interest rates fall, an issuer may exercise its right to prepay their securities. If this happens, the Fund will not benefit from the rise in market price, and will reinvest prepayment proceeds at a later time. The Fund may lose any premium it paid on the security. If interest rates rise, repayments of fixed income securities may occur more slowly than anticipated by the market which may result in driving the prices of these securities down. Foreign investments present additional risk due to currency fluctuations, economic and political factors, government regulations, differences in accounting standards and other factors. Investments in emerging markets involve even greater risks. High yield securities, commonly referred to as “junk bonds”, are rated below investment grade by at least one of Moody's, S&P or Fitch (or if unrated, determined by the Fund's advisor to be of comparable credit quality high yield securities).

 

The Palmer Square Ultra-Short Duration Investment Grade Fund is distributed by IMST Distributors, LLC.

 

Palmer Square Capital Management LLC (“Palmer Square”) is an SEC registered investment adviser with its principal place of business in the State of Kansas. Registration of an investment adviser does not imply a certain level of skill or training. Palmer Square and its representatives are in compliance with the current registration and notice filing requirements imposed upon registered investment advisers by those states in which Palmer Square maintains clients. Palmer Square may only transact business in those states in which it is notice filed, or qualifies for an exemption or exclusion from notice filing requirements. Any subsequent, direct communication by Palmer Square with a prospective client shall be conducted by a representative that is either registered or qualifies for an exemption or exclusion from registration in the state where the prospective client resides. For additional information about Palmer Square, including fees and services, send for our disclosure statement as set forth on Form ADV using the contact information herein or refer to the Investment Adviser Public Disclosure web site (www.adviserinfo.sec.gov). Please read the disclosure statement carefully before you invest or send money.

 

 

Palmer Square Capital Management LLC 1900 Shawnee Mission Parkway, Suite 315, Mission Woods, KS 66205 www.palmersquarefunds.com

 

 51 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

FUND PERFORMANCE at June 30, 2023 (Unaudited)

 

 

This graph compares a hypothetical $250,000 investment in the Fund, made at its inception, with a similar investment in the ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index. Results include the reinvestment of all dividends and capital gains.

 

The ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income. The index does not reflect expenses, fees or sales charge, which would lower performance. The index is unmanaged and is not available for investment.

 

Average Total Returns as of June 30, 2023 1 Year 5 Years Since Inception Inception Date
Palmer Square Ultra-Short Duration Investment Grade Fund 3.48% 1.56% 1.55% 10/7/16
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index 3.62% 1.56% 1.42% 10/7/16

 

The performance data quoted here represents past performance and past performance is not a guarantee of future results. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted. The most recent month end performance may be obtained by calling (866) 933-9033.

 

Gross and net expense ratios for the Fund were 0.76% and 0.53%, respectively, which were the amounts stated in the current prospectus dated November 1, 2022. For the Fund’s current one year expense ratios, please refer to the Financial Highlights section of this report. The Fund’s advisor has contractually agreed to waive its fees and/or pay for 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) of the Fund to ensure that total annual fund operating expenses do not exceed 0.50% of the average daily net assets of the Fund. 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. In the absence of such waivers, the Fund’s returns would be lower.

 

Returns reflect the reinvestment of distributions made by the Fund, if any. The graph and the performance table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 52 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

SCHEDULE OF INVESTMENTS

As of June 30, 2023

 

  

Principal

Amount

        Value  
        BANK LOANS — 2.1%        
        Berry Global, Inc.        
  239,100    

6.972% (1-Month USD Libor+175 basis points), 7/1/20261,2,3

  $ 239,102  
        Buckeye Partners LP        
  248,092    

7.420% (1-Month USD Libor+225 basis points), 11/1/20261,2,3

    246,722  
        Citadel Securities LP        
  247,468    

7.768% (1-Month Term SOFR+250 basis points), 2/2/20281,2,3

    247,430  
        Flutter Financing B.V.        
  248,125    

8.092% (1-Month Term SOFR+325 basis points), 7/4/20281,2,3,4

    248,872  
        Hilton Worldwide Finance LLC        
  250,000    

6.939% (3-Month Term SOFR+175 basis points), 6/21/20261,2,3

    250,089  
        SkyMiles IP Ltd.        
  225,000    

8.558% (3-Month Term SOFR+375 basis points), 10/20/20271,2,3,4

    234,000  
        Trans Union LLC        
  247,079    

6.952% (1-Month Term SOFR+175 basis points), 11/15/20261,2,3

    246,753  
        TOTAL BANK LOANS        
        (Cost $1,693,465)     1,712,968  
       

BONDS — 96.2%

     
        ASSET-BACKED SECURITIES — 53.3%        
        Ally Auto Receivables Trust        
  446,569    

Series 2022-1, Class A2, 2.670%, 4/15/20252

    444,084  
        AMMC CLO Ltd.        
  626,670    

Series 2015-16A, Class AR2, 6.231% (3-Month USD Libor+98 basis points),
4/14/20292,3,5

    626,983  
        Ares CLO Ltd.        
  746,297    

Series 2017-42A, Class AR, 6.193% (3-Month USD Libor+92 basis points),
1/22/20282,3,5

    742,375  
        Ares XL CLO Ltd.        
  873,015    

Series 2016-40A, Class A1RR, 6.130% (3-Month USD Libor+87 basis points), 1/15/20292,3,5

    867,525  
        BlueMountain Fuji U.S. CLO II Ltd.        
  972,757    

Series 2017-2A, Class A1AR, 6.250% (3-Month USD Libor+100 basis points), 10/20/20302,3,5

    965,243  
        BMW Vehicle Lease Trust        
  408,544    

Series 2022-1, Class A3, 1.100%, 3/25/20252

    401,574  
        Capital One Prime Auto Receivables Trust        
  337,514     Series 2022-1, Class A2, 2.710%, 6/16/20252     334,119  
        Carbone Clo Ltd.        
  1,703,776    

Series 2017-1A, Class A1, 6.390% (3-Month USD Libor+114 basis points),
1/20/20312,3,5

    1,692,077  
        Carlyle Global Market Strategies CLO Ltd.        
  623,106    

Series 2014-1A, Class A1R2, 6.230% (3-Month USD Libor+97 basis points),
4/17/20312,3,5

    617,786  

 53 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023    

 

 

Principal

Amount

        Value  
        BONDS (Continued)        
        ASSET-BACKED SECURITIES (Continued)        
        Carlyle U.S. CLO, Ltd.         
  1,200,000     Series 2017-1A, Class A1R, 6.250% (3-Month USD Libor+100 basis points), 4/20/20312,3,5   $ 1,185,092  
         CarMax Auto Owner Trust        
  79,104     Series 2019-4, Class A3, 2.020%, 11/15/20242     78,889  
  349,505     Series 2022-1, Class A2, 0.910%, 2/18/20252     348,009  
  770,945     Series 2022-2, Class A2A, 2.810%, 5/15/20252     766,158  
  656,729     Series 2021-2, Class A3, 0.520%, 2/17/20262     634,816  
         CIFC Funding Ltd.        
  434,380     Series 2015-3A, Class AR, 6.135% (3-Month USD Libor+87 basis points), 4/19/20292,3,5     431,091  
  1,000,000     Series 2015-1A, Class ARR, 6.383% (3-Month USD Libor+111 basis points), 1/22/20312,3,5     989,532  
  500,000     Series 2013-3RA, Class A1, 6.253% (3-Month USD Libor+98 basis points), 4/24/20312,3,5     495,838  
  800,000     Series 2018-3A, Class A, 6.362% (3-Month USD Libor+110 basis points), 7/18/20312,3,5     793,200  
         Daimler Trucks Retail Trust        
  195,562     Series 2022-1, Class A2, 5.070%, 9/16/20242     194,873  
         DLLMT LLC        
  148,938     Series 2023-1A, Class A1, 5.533%, 5/20/20242,5     148,922  
         DLLST LLC        
  339,576     Series 2022-1A, Class A2, 2.790%, 1/22/20242,5     338,554  
         Dryden 41 Senior Loan Fund        
  500,000    

Series 2015-41A, Class AR, 6.230% (3-Month USD Libor+97 basis points),

4/15/20312,3,5

    496,045  
         Flatiron CLO 17 Ltd.        
  491,461     Series 2017-1A, Class AR, 6.301% (3-Month USD Libor+98 basis points), 5/15/20302,3,5     487,863  
         Ford Credit Auto Lease Trust        
  500,000     Series 2023-A, Class A2A, 5.190%, 6/15/20252     498,448  
         Ford Credit Auto Owner Trust        
  500,000     Series 2023-A, Class A2A, 5.140%, 3/15/20262     497,732  
         Galaxy CLO Ltd.        
  397,137     Series 2017-23A, Class AR, 6.143% (3-Month USD Libor+87 basis points), 4/24/20292,3,5     394,518  
         GM Financial Automobile Leasing Trust        
  123,630     Series 2021-2, Class A3, 0.340%, 5/20/20242     123,265  
  765,808     Series 2021-3, Class A3, 0.390%, 10/21/20242     755,055  
  850,000     Series 2022-1, Class A3, 1.900%, 3/20/20252     833,498  

 54 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

SCHEDULE OF INVESTMENTS

As of June 30, 2023

 

 

Principal

Amount

        Value  
      BONDS (Continued)      
        ASSET-BACKED SECURITIES (Continued)        
         GM Financial Consumer Automobile Receivables Trust        
  40,824     Series 2021-4, Class A2, 0.280%, 11/18/20242   $ 40,733  
  315,590     Series 2022-2, Class A2, 2.520%, 5/16/20252     313,383  
  235,822     Series 2020-4, Class A3, 0.380%, 8/18/20252     231,338  
  133,767     Series 2021-1, Class A3, 0.350%, 10/16/20252     130,451  
  750,000     Series 2020-3, Class A4, 0.580%, 1/16/20262     717,342  
  500,000     Series 2023-1, Class A2A, 5.190%, 3/16/20262     498,232  
         Goldentree Loan Management U.S. Clo 2 Ltd.        
  1,000,000     Series 2017-2A, Class AR, 6.160% (3-Month USD Libor+91 basis points), 11/20/20302,3,5     994,130  
         GoldenTree Loan Opportunities IX Ltd.        
  1,000,000     Series 2014-9A, Class CR2, 7.399% (3-Month USD Libor+210 basis points), 10/29/20292,3,5     993,918  
         Grippen Park CLO Ltd.        
  365,816     Series 2017-1A, Class A, 6.510% (3-Month USD Libor+126 basis points), 1/20/20302,3,5     364,178  
         Harley-Davidson Motorcycle Trust        
  692,023     Series 2020-A, Class A4, 1.930%, 4/15/20272     689,183  
         Honda Auto Receivables Owner Trust        
  104,495     Series 2020-2, Class A3, 0.820%, 7/15/20242     103,970  
  449,566     Series 2020-3, Class A3, 0.370%, 10/18/20242     443,375  
  404,321     Series 2021-1, Class A3, 0.270%, 4/21/20252     394,887  
         HPEFS Equipment Trust        
  329,271     Series 2021-2A, Class A3, 0.360%, 9/20/20282,5     327,420  
         Hyundai Auto Lease Securitization Trust        
  188,061     Series 2023-B, Class A1, 5.250%, 5/15/20242,5     188,032  
  592,827     Series 2022-B, Class A2A, 2.750%, 10/15/20242,5     589,561  
  400,000     Series 2021-C, Class B, 0.760%, 2/17/20262,5     384,928  
         Hyundai Auto Receivables Trust        
  750,000     Series 2021-C, Class A3, 0.740%, 5/15/20262     720,697  
         John Deere Owner Trust        
  750,000     Series 2023-A, Class A2, 5.280%, 3/16/20262     747,593  
         LAD Auto Receivables Trust        
  138,579     Series 2023-2A, Class A1, 5.440%, 5/15/20242,5     138,578  
         LCM XVIII LP        
  540,000     Series 18A, Class BR, 6.850% (3-Month USD Libor+160 basis points), 4/20/20312,3,5     520,124  
         Madison Park Funding Ltd.        
  681,974     Series 12A, Class AR, 6.103% (3-Month USD Libor+83 basis points), 4/22/20272,3,5     678,367  

  

 55 

 

  

Palmer Square Ultra-Short Duration Investment Grade Fund

SCHEDULE OF INVESTMENTS

As of June 30, 2023

 

  

Principal

Amount

        Value  
      BONDS (Continued)      
        ASSET-BACKED SECURITIES (Continued)        
  233,904     Series 2013-11A, Class AR2, 6.173% (3-Month USD Libor+90 basis points), 7/23/20292,3,5   $ 231,822  
  500,000     Series 2019-33A, Class AR, 6.276% (3-Month Term SOFR+129 basis points), 10/15/20322,3,5     493,250  
         Magnetite Ltd.        
  704,300     Series 2012-7A, Class A1R2, 6.060% (3-Month USD Libor+80 basis points), 1/15/20282,3,5     700,030  
         Mariner CLO LLC        
  250,000     Series 2016-3A, Class BR2, 6.773% (3-Month USD Libor+150 basis points), 7/23/20292,3,5     247,958  
         Mercedes-Benz Auto Lease Trust        
  1,564,000     Series 2021-B, Class A4, 0.510%, 3/15/20272     1,510,341  
         Mercedes-Benz Auto Receivables Trust        
  293,872     Series 2019-1, Class A4, 2.040%, 1/15/20262     292,262  
         MMAF Equipment Finance LLC        
  19,349     Series 2020-A, Class A2, 0.740%, 4/9/20242,5     19,327  
  234,536     Series 2022-A, Class A2, 2.770%, 2/13/20252,5     231,398  
         Newark BSL CLO Ltd.        
  461,009     Series 2016-1A, Class A1R, 6.440% (3-Month Term SOFR+136.16 basis points), 12/21/20292,3,5     457,611  
         Nissan Auto Receivables Owner Trust        
  137,099     Series 2020-A, Class A3, 1.380%, 12/16/20242     136,174  
  629,495     Series 2019-C, Class A4, 1.950%, 5/15/20262     622,935  
         OCP CLO Ltd.        
  1,514,057     Series 2014-7A, Class A1RR, 6.370% (3-Month USD Libor+112 basis points), 7/20/20292,3,5     1,504,574  
         Porsche Financial Auto Securitization Trust        
  320,000     Series 2023-1A, Class A1, 5.365%, 5/22/20242,5     319,986  
         Rad CLO 3 Ltd.        
  500,000     Series 2019-3A, Class A, 6.740% (3-Month USD Libor+148 basis points), 4/15/20322,3,5     496,938  
         Regatta Funding LP        
  500,000     Series 2013-2A, Class CR2, 8.960% (3-Month USD Libor+370 basis points), 1/15/20292,3,5     497,927  
         Santander Retail Auto Lease Trust        
  264,417     Series 2021-A, Class A3, 0.510%, 7/22/20242,5     261,558  
         SFS Auto Receivables Securitization Trust        
  500,000     Series 2023-1A, Class A1, 5.566%, 7/22/20242,5     500,000  
         Sound Point CLO Ltd.        
  331,003     Series 2016-3A, Class AR2, 6.263% (3-Month USD Libor+99 basis points), 1/23/20292,3,5     331,174  

 

 56 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal
Amount
        Value  
        BONDS (Continued)        
        ASSET-BACKED SECURITIES (Continued)        
         Stratus CLO Ltd.        
  200,056     Series 2021-3A, Class A, 6.200% (3-Month USD Libor+95 basis points), 12/29/20292,3,5   $ 198,468  
  625,000     Series 2021-1A, Class C, 7.000% (3-Month USD Libor+175 basis points), 12/29/20292,3,5     600,356  
         Symphony Static CLO Ltd.        
  207,144     Series 2021-1A, Class A, 6.085% (3-Month USD Libor+83 basis points), 10/25/20292,3,5     204,855  
         Toyota Auto Receivables Owner Trust        
  216,749     Series 2023-B, Class A1, 5.225%, 5/15/20242     216,701  
         Toyota Lease Owner Trust        
  500,000     Series 2023-A, Class A2, 5.300%, 8/20/20252,5     497,821  
         Voya CLO Ltd.        
  1,602,877     Series 2015-1A, Class A1R, 6.162% (3-Month USD Libor+90 basis points), 1/18/20292,3,5     1,595,600  
  620,184     Series 2017-1A, Class A1R, 6.210% (3-Month USD Libor+95 basis points), 4/17/20302,3,5     615,700  
  853,433     Series 2017-2A, Class A1R, 6.240% (3-Month USD Libor+98 basis points), 6/7/20302,3,5     847,712  
         World Omni Auto Receivables Trust        
  47,764     Series 2020-A, Class A3, 1.100%, 4/15/20252     47,461  
         World Omni Select Auto Trust        
  539,422     Series 2021-A, Class A3, 0.530%, 3/15/20272     523,072  
  1,075,000     Series 2023-A, Class A2A, 5.920%, 3/15/20272     1,073,317  
         York CLO 1 Ltd.        
  460,000     Series 2014-1A, Class BRR, 6.923% (3-Month USD Libor+165 basis points), 10/22/20292,3,5     457,285  
        TOTAL ASSET-BACKED SECURITIES      
        (Cost $43,116,095)     43,127,197  
        COMMERCIAL MORTGAGE-BACKED SECURITIES — 0.7%      
        COLT Mortgage Loan Trust        
  7,948     Series 2020-2, Class A1, 1.853%, 3/25/20652,5,6     7,890  
        GS Mortgage Securities Corp. II         
  750,000     Series 2012-BWTR, Class A, 2.954%, 11/5/20342,5     544,968  
        TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES      
        (Cost $769,147)     552,858  
        CORPORATE — 15.5%        
        BASIC MATERIALS — 1.1%        
        DuPont de Nemours, Inc.        
   225,000     6.431% (3-Month USD Libor+111 basis points), 11/15/20233     225,607  

 57 

 

Palmer Square Ultra-Short Duration Investment Grade Fund

SCHEDULE OF INVESTMENTS - Continued

As of June 30, 2023

 

 

Principal
Amount
        Value  
      BONDS (Continued)      
      CORPORATE (Continued)      
        BASIC MATERIALS (Continued)        
        Georgia-Pacific LLC        
  465,000     0.625%, 5/15/20245   $ 446,229  
        Sherwin-Williams Co.        
  220,000     4.250%, 8/8/2025     215,480  
              887,316  
        COMMUNICATIONS — 1.1%      
        AT&T, Inc.        
  375,000     6.720% (3-Month USD Libor+118 basis points), 6/12/20243     378,316  
        Comcast Corp.        
  185,000     3.950%, 10/15/20252     180,385  
        Fox Corp.        
  225,000     4.030%, 1/25/20242     222,791  
        Verizon Communications, Inc.        
  125,000     5.847% (SOFR Index+79 basis points), 3/20/20263     125,217  
              906,709  
        CONSUMER, CYCLICAL — 2.0%      
        American Honda Finance Corp.        
                 
  225,000     0.750%, 8/9/2024     213,615  
        Daimler Trucks Finance North America LLC        
  250,000     6.060% (SOFR Rate+100 basis points), 4/5/20243,5     250,308  
        General Motors Financial Co., Inc.        
  100,000     1.700%, 8/18/2023     99,486  
        Hyundai Capital America        
  225,000     1.250%, 9/18/20235     222,879  
        Lowe's Cos., Inc.