DDJ OPPORTUNISTIC HIGH YIELD FUND
PORTFOLIO OF INVESTMENTS
June 30, 2020 (Unaudited)
| Shares | Value (Note 2) | |||||||
| COMMON STOCKS (0.33%) | ||||||||
| Consumer Discretionary (0.05%) | ||||||||
| American Tire Distributors(a)(b)(c)(d)(e) | 2,940 | $ | 42,777 | |||||
| Materials (0.28%) | ||||||||
| Real Alloy Holding, Inc.(a)(b)(c)(d)(e) | 3 | 101,612 | ||||||
| Specialty Steel Holdco, Inc.(a)(b)(c)(d)(e) | 1 | 119,014 | ||||||
| Total Materials | 220,626 | |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $299,737) | 263,403 | |||||||
| Rate | Maturity Date | Principal Amount | Value (Note 2) | |||||||||
| BANK LOANS (32.02%) | ||||||||||||
| Communications (3.51%) | ||||||||||||
| MH Sub I LLC, Series Amendment No. 2 Initial(f) | 1M US L + 7.50%, 1.00% Floor | 9/15/2025 | $ | 2,231,443 | $ | 2,136,618 | ||||||
| Ten-X LLC(f) | 1M US L + 4.00%, 1.00% Floor | 9/27/2024 | 525,954 | 495,383 | ||||||||
| Ten-X LLC, Series Senior Secured(a)(d)(e)(f) | 1M US L + 8.00%, 1.00% Floor | 9/29/2025 | 180,000 | 180,000 | ||||||||
| Total Communications | 2,812,001 | |||||||||||
| Consumer Discretionary (0.92%) | ||||||||||||
| 18 Fremont Street Acquisition LLC(f) | 3M US L + 8.00%, 1.50% Floor | 8/9/2025 | 786,727 | 702,154 | ||||||||
| American Tire Distributors, Inc., Series Initial (DIP)(e)(f)(g) | Cash
L + 6.00 + PIK 1.0%, 1.00% Floor | 9/1/2023 | 25,705 | 23,734 | ||||||||
| American Tire Distributors, Inc., Series Initial(e)(f)(g) | Cash
L + 6.50 + PIK 1.50%, 1.00% Floor | 9/2/2024 | 16,881 | 11,286 | ||||||||
| Total Consumer Discretionary | 737,174 | |||||||||||
| Consumer, Cyclical (2.03%) | ||||||||||||
| DexKo Global, Inc., Series B(a)(f) | 3M US L + 8.25% | 7/24/2025 | 238,910 | 216,214 | ||||||||
| Truck Hero, Inc., Series Initial(a)(f) | 1M US L + 8.25%, 1.00% Floor | 4/21/2025 | 260,000 | 241,800 | ||||||||
| Truck Hero, Inc., Series Initial(f) | 1M US L + 3.75% | 4/22/2024 | 1,271,566 | 1,163,884 | ||||||||
| Total Consumer, Cyclical | 1,621,898 | |||||||||||
| Rate | Maturity Date | Principal Amount | Value (Note 2) | |||||||||
| Consumer, Non-cyclical (9.38%) | ||||||||||||
| ATI Holdings Acquisition, Inc., Series Initial(f)(h) | L + 4.25%, 1.00% Floor | 5/10/2023 | $ | 320,000 | $ | 277,201 | ||||||
| Aveanna Healthcare LLC, Series Initial(f) | L + 4.25%, 1.00% Floor | 3/18/2024 | 1,394,820 | 1,243,719 | ||||||||
| Aveanna Healthcare LLC, Series Initial(a)(d)(f) | 1M US L + 8.00%, 1.00% Floor | 3/17/2025 | 120,000 | 102,000 | ||||||||
| Aveanna Healthcare LLC, Series Initial New(f) | 1M US L + 5.50%, 1.00% Floor | 3/18/2024 | 486,007 | 436,809 | ||||||||
| Dentalcorp Health Services ULC, Series Initial(f) | 1M US L + 7.50%, 1.00% Floor | 6/8/2026 | 230,000 | 189,750 | ||||||||
| IRI Holdings, Inc., Series Initial(f) | 3M US L + 4.25% | 12/1/2025 | 676,566 | 644,429 | ||||||||
| Kronos Acquisition Intermediate, Inc., Series Initial(f) | 2M US L + 4.00%, 1.00% Floor | 5/15/2023 | 2,000,000 | 1,911,130 | ||||||||
| KUEHG Corp, Series Tranche B(a)(f) | 3M US L + 8.25%, 1.00% Floor | 8/22/2025 | 780,000 | 624,000 | ||||||||
| KUEHG Corp., Series B-3(f) | 3M US L + 3.75%, 1.00% Floor | 2/21/2025 | 618,422 | 529,855 | ||||||||
| Lanai Holdings III, Inc., Series Initial(a)(d)(e)(f) | 3M US L + 8.50%, 1.00% Floor | 8/28/2023 | 163,433 | 106,232 | ||||||||
| Learning Care Group No. 2, Inc., Series Initial(f) | 3M US L + 3.25%, 1.00% Floor | 3/13/2025 | 379,031 | 335,559 | ||||||||
| Learning Care Group No. 2, Inc., Series Initial(a)(f) | 3M US L + 7.50%, 1.00% Floor | 3/13/2026 | 110,000 | 82,500 | ||||||||
| Packaging Coordinators Midco, Inc., Series Initial(f) | 3M US L + 4.00%, 1.00% Floor | 6/30/2023 | 292,127 | 286,892 | ||||||||
| Packaging Coordinators Midco, Inc., Series Initial(f) | 3M US L + 8.75%, 1.00% Floor | 7/1/2024 | 540,000 | 530,550 | ||||||||
| Parfums Holding Co., Inc., Series Initial(f) | 3M US L + 8.75%, 1.00% Floor | 6/30/2025 | 250,000 | 216,055 | ||||||||
| Total Consumer, Non-cyclical | 7,516,681 | |||||||||||
| Energy (0.94%) | ||||||||||||
| Encino Acquisition Partners Holdings LLC, Series Initial(f) | 1M US L + 6.75%, 1.00% Floor | 10/29/2025 | 1,030,000 | 751,900 | ||||||||
Financials (5.34%) | ||||||||||||
| Asurion LLC, Series Replacement B-2(f) | 1M US L + 6.50% | 8/4/2025 | 3,645,000 | 3,635,887 | ||||||||
| Granite US Holdings Corp., Series B(a)(f) | 3M US L + 5.25% | 9/30/2026 | 516,100 | 454,168 | ||||||||
| Masergy Holdings, Inc., Series Initial(f) | 3M US L + 7.50%, 1.00% Floor | 12/16/2024 | 125,585 | 114,911 | ||||||||
| Zest Acquisition Corp., Series Initial(a)(f) | 3M US L + 7.50%, 1.00% Floor | 3/13/2026 | 90,000 | 73,350 | ||||||||
| Total Financials | 4,278,316 | |||||||||||
| Industrials (6.60%) | ||||||||||||
| Brand Energy & Infrastructure Services, Inc., Series Initial(f) | 3M US L + 4.25%, 1.00% Floor | 6/21/2024 | 1,053,702 | 968,526 | ||||||||
| Deliver Buyer, Inc., Series Senior Secured(f) | 3M US L + 5.00%, 1.00% Floor | 5/1/2024 | 2,112,696 | 1,994,745 | ||||||||
| Engineered Machinery Holdings, Inc., Series Initial(f) | 3M US L + 7.25%, 1.00% Floor | 7/18/2025 | 955,812 | 895,625 | ||||||||
| Engineered Machinery Holdings, Inc., Series Incremental Amendment No. 2(f) | 3M US L + 4.25%, 1.00% Floor | 7/19/2024 | 1,183,990 | 1,136,630 | ||||||||
| Utex Industries, Inc., Series Initial(e)(f) | 1M US L + 7.25%, 1.00% Floor | 5/20/2022 | 460,000 | 62,100 | ||||||||
| Utex Industries, Inc. - Initial Loan (First Lien), Series Initial(e)(f) | 1M US L + 4.00%, 1.00% Floor | 5/22/2021 | 825,993 | 230,588 | ||||||||
| Total Industrials | 5,288,214 | |||||||||||
| Technology (3.30%) | ||||||||||||
| Dun & Bradstreet Corp., Series Initial Borrowing(f) | 1M US L + 4.00% | 2/6/2026 | 718,200 | 701,591 | ||||||||
| Evergreen Skills Lux S.À R.L., Series Initial(e)(f)(i) | 6M US L + 4.75%, 1.00% Floor | 4/28/2021 | 1,870,878 | 1,175,473 | ||||||||
| Peak 10 Holding Corp., Series Initial(f) | 3M US L + 7.25%, 1.00% Floor | 8/1/2025 | 140,000 | 62,241 | ||||||||
| TierPoint LLC, Series Initial(f)(h) | 1M US L + 3.75%, 1.00% Floor | 5/6/2024 | 737,103 | 705,448 | ||||||||
| Total Technology | 2,644,753 | |||||||||||
| TOTAL BANK LOANS | ||||||||||||
| (Cost $27,485,739) | 25,650,937 | |||||||||||
| Rate | Maturity Date | Principal Amount | Value (Note 2) | |||||||||
| HIGH YIELD BONDS AND NOTES (65.80%) | ||||||||||||
| Basic Materials (12.46%) | ||||||||||||
| Allegheny Technologies, Inc. | 7.875% | 8/15/2023 | $ | 140,000 | $ | 143,690 | ||||||
| Allegheny Technologies, Inc. | 5.875% | 12/1/2027 | 180,000 | 167,710 | ||||||||
| Baffinland Iron Mines Corp. / Baffinland Iron Mines LP(j) | 8.750% | 7/15/2026 | 2,060,000 | 2,023,569 | ||||||||
| Big River Steel LLC / BRS Finance Corp.(j) | 7.250% | 9/1/2025 | 2,150,000 | 2,059,947 | ||||||||
| Century Aluminum Co.(j) | 7.500% | 6/1/2021 | 2,250,000 | 2,252,025 | ||||||||
| Century Aluminum Co., Series AI(g) | Cash 10.00% + PIK 2.00% | 7/1/2025 | 1,440,000 | 1,454,400 | ||||||||
| Cornerstone Chemical Co.(j) | 6.750% | 8/15/2024 | 640,000 | 578,333 | ||||||||
| Joseph T Ryerson & Son, Inc.(j) | 11.000% | 5/15/2022 | 1,250,000 | 1,280,481 | ||||||||
| Northwest Acquisitions ULC / Dominion Finco, Inc.(e)(i)(j) | 7.125% | 11/1/2022 | 1,650,000 | 18,975 | ||||||||
| Total Basic Materials | 9,979,130 | |||||||||||
| Communications (5.89%) | ||||||||||||
| CCO Holdings LLC / CCO Holdings Capital Corp.(j) | 5.000% | 2/1/2028 | 300,000 | 310,050 | ||||||||
| GTT Communications, Inc.(j) | 7.875% | 12/31/2024 | 1,970,000 | 1,040,406 | ||||||||
| Sirius XM Radio, Inc.(j) | 5.375% | 7/15/2026 | 1,300,000 | 1,346,664 | ||||||||
| Urban One, Inc.(j) | 7.375% | 4/15/2022 | 1,210,000 | 1,081,153 | ||||||||
| ViaSat, Inc.(j) | 5.625% | 9/15/2025 | 980,000 | 940,903 | ||||||||
| Total Communications | 4,719,176 | |||||||||||
| Consumer, Cyclical (6.19%) | ||||||||||||
| Carlson Travel, Inc.(e)(j) | 9.500% | 12/15/2024 | 1,515,000 | 672,122 | ||||||||
| Ford Motor Co. | 7.450% | 7/16/2031 | 1,010,000 | 1,066,888 | ||||||||
| Ford Motor Co. | 9.000% | 4/22/2025 | 350,000 | 379,094 | ||||||||
| Ford Motor Co. | 9.625% | 4/22/2030 | 1,250,000 | 1,482,719 | ||||||||
| Sportsnet(a)(c)(d)(e) | 10.250% | 1/15/2025 | 100,000 | 101,250 | ||||||||
| SRS Distribution, Inc.(j) | 8.250% | 7/1/2026 | 750,000 | 763,920 | ||||||||
| Viking Cruises, Ltd.(j) | 5.875% | 9/15/2027 | 830,000 | 496,079 | ||||||||
| Total Consumer, Cyclical | 4,962,072 | |||||||||||
| Consumer, Non-cyclical (14.98%) | ||||||||||||
| Acadia Healthcare Co., Inc. | 5.125% | 7/1/2022 | 990,000 | 990,792 | ||||||||
| AMN Healthcare, Inc.(j) | 4.625% | 10/1/2027 | 600,000 | 586,011 | ||||||||
| Avantor, Inc.(j) | 9.000% | 10/1/2025 | 1,590,000 | 1,715,212 | ||||||||
| Envision Healthcare Corp.(j) | 8.750% | 10/15/2026 | 2,540,000 | 1,215,542 | ||||||||
| High Ridge Brands Co.(a)(d)(e)(i)(j) | 8.875% | 3/15/2025 | 125,000 | 3,050 | ||||||||
| MPH Acquisition Holdings LLC(j) | 7.125% | 6/1/2024 | 570,000 | 532,229 | ||||||||
| One Call Corp., Series Ai(a)(d)(e)(g) | Cash 7.50% + PIK 11.00% | 7/1/2024 | 534,849 | 458,189 | ||||||||
| Polaris Intermediate Corp.(g)(j) | Cash 8.50% + PIK 9.25% | 12/1/2022 | 1,850,000 | 1,633,763 | ||||||||
| Simmons Foods, Inc.(j) | 5.750% | 11/1/2024 | 1,220,000 | 1,162,178 | ||||||||
| Surgery Center Holdings, Inc.(j) | 6.750% | 7/1/2025 | 915,000 | 829,123 | ||||||||
| Surgery Center Holdings, Inc.(j) | 10.000% | 4/15/2027 | 900,000 | 903,204 | ||||||||
| Tenet Healthcare Corp. | 8.125% | 4/1/2022 | 1,870,000 | 1,966,866 | ||||||||
| Total Consumer, Non-cyclical | 11,996,159 | |||||||||||
| Rate | Maturity Date | Principal Amount | Value (Note 2) | |||||||||
| Energy (8.71%) | ||||||||||||
| Antero Midstream Partners LP / Antero Midstream Finance Corp. | 5.375% | 9/15/2024 | $ | 1,210,000 | $ | 1,034,689 | ||||||
| Continental Resources, Inc. | 5.000% | 9/15/2022 | 1,300,000 | 1,281,234 | ||||||||
| Energy Ventures Gom LLC / EnVen Finance Corp.(j) | 11.000% | 2/15/2023 | 790,000 | 662,530 | ||||||||
| Hilcorp Energy I LP / Hilcorp Finance Co.(j) | 5.750% | 10/1/2025 | 760,000 | 648,770 | ||||||||
| Occidental Petroleum Corp. | 2.700% | 2/15/2023 | 460,000 | 421,475 | ||||||||
| Occidental Petroleum Corp. | 3.400% | 4/15/2026 | 930,000 | 764,925 | ||||||||
| Occidental Petroleum Corp. | 2.700% | 8/15/2022 | 1,090,000 | 1,016,747 | ||||||||
| Occidental Petroleum Corp. | 8.875% | 7/15/2030 | 310,000 | 310,387 | ||||||||
| Transocean, Inc.(j) | 7.500% | 1/15/2026 | 1,500,000 | 832,500 | ||||||||
| Total Energy | 6,973,257 | |||||||||||
| Financials (8.02%) | ||||||||||||
| Acrisure LLC / Acrisure Finance, Inc.(j) | 8.125% | 2/15/2024 | 1,540,000 | 1,604,749 | ||||||||
| AssuredPartners, Inc.(j) | 7.000% | 8/15/2025 | 1,770,000 | 1,775,514 | ||||||||
| GTCR AP Finance, Inc.(j) | 8.000% | 5/15/2027 | 300,000 | 309,879 | ||||||||
| HUB International, Ltd.(j) | 7.000% | 5/1/2026 | 1,200,000 | 1,201,206 | ||||||||
| NFP Corp.(j) | 6.875% | 7/15/2025 | 1,590,000 | 1,530,733 | ||||||||
| Total Financials | 6,422,081 | |||||||||||
| Industrials (9.14%) | ||||||||||||
| Apex Tool Group LLC / BC Mountain Finance, Inc.(j) | 9.000% | 2/15/2023 | 1,250,000 | 907,681 | ||||||||
| JPW Industries Holding Corp.(j) | 9.000% | 10/1/2024 | 780,000 | 616,118 | ||||||||
| Material Sciences Corp.(a)(c)(d)(e)(f)(g) | L + 8.25 or PIK 2.00% | 1/9/2024 | 111,288 | 110,176 | ||||||||
| Plastipak Holdings, Inc.(j) | 6.250% | 10/15/2025 | 1,300,000 | 1,265,063 | ||||||||
| Standard Industries, Inc.(j) | 5.000% | 2/15/2027 | 260,000 | 264,005 | ||||||||
| Titan Acquisition, Ltd. / Titan Co.-Borrower LLC(j) | 7.750% | 4/15/2026 | 880,000 | 835,256 | ||||||||
| TransDigm, Inc. | 6.375% | 6/15/2026 | 1,830,000 | 1,675,841 | ||||||||
| Trident TPI Holdings, Inc.(j) | 6.625% | 11/1/2025 | 1,730,000 | 1,649,806 | ||||||||
| Total Industrials | 7,323,946 | |||||||||||
| Materials (0.41%) | ||||||||||||
| Real Alloy Holding, Inc.(a)(c)(d)(e)(f)(g) | L + 10.00% or PIK
L+12.00%, 1.00% Floor | 11/28/2023 | 122,302 | 122,302 | ||||||||
| Specialty Steel Holdco, Inc.(a)(c)(d)(e)(g) | 11.922% or PIK L+11.00%, 1.00% Floor% | 11/15/2022 | 210,000 | 210,000 | ||||||||
| Total Materials | 332,302 | |||||||||||
| TOTAL HIGH YIELD BONDS AND NOTES | ||||||||||||
| (Cost $56,745,339) | 52,708,123 | |||||||||||
| TOTAL INVESTMENTS (98.15%) | ||||||||||||
| (Cost $84,530,815) | $ | 78,622,463 | ||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES (1.85%) | 1,482,932 | |||||||||||
| NET ASSETS (100.00%) | $ | 80,105,395 | ||||||||||
| (a) | As a result of the use of significant unobservable inputs to determine fair value, these investments have been classified as Level 3 assets. Additional information on Level 3 assets can be found in Note 2. Significant Accounting Policies in the Notes to Financial Statements section. |
| (b) | Non-income producing security. |
| (c) | Security deemed to be restricted as of June 30, 2020. As of June 30, 2020, the market value of restricted securities in the aggregate was $807,131, representing 1.00% of the Fund’s net assets. Additional information on restricted securities can be found in Note 2. Significant Accounting Policies in the Notes to Financial Statements section. |
| (d) | Fair valued security under the procedures approved by the Fund’s Board of Trustees. |
| (e) | Security deemed to be illiquid under the procedures approved by the Fund’s Board of Trustees. As of June 30, 2020, the market value of illiquid securities in the aggregate was $3,748,880, representing 4.68% of the Fund’s net assets. |
| (f) | Floating or variable rate security. The reference rate is described below. The rate in effect as of June 30, 2020 is based on the reference rate plus the displayed spread as of the securities last reset date. |
| (g) | Payment in-kind. |
| (h) | All or a portion of this position has not settled as of June 30, 2020. The interest rate shown represents the stated spread over the London Interbank Offered Rate (“LIBOR” or “L”) or the applicable LIBOR floor; the Fund will not accrue interest until the settlement date, at which point LIBOR will be established. |
| (i) | Security is currently in default. |
| (j) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of June 30, 2020 the market value of securities restricted under Rule 144A in the aggregate was $37,548,749, representing 46.87% of net assets. These securities have been determined to be liquid pursuant to procedures adopted by the Board unless indicated as illiquid as denoted in footnote (b). |
Investment Abbreviations:
LIBOR - London Interbank Offered Rate
PIK - Payment in-kind
Reference Rates:
1M US L - 1 Month LIBOR as of June 30, 2020 was 0.16%
2M US L - 2 Month LIBOR as of June 30, 2020 was 0.23%
3M US L - 3 Month LIBOR as of June 30, 2020 was 0.30%
6M US L - 6 Month LIBOR as of June 30, 2020 was 0.37%
For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indices or ratings group indices, and/or as defined by Fund’s management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percentage of the Fund’s net assets. (Unaudited)
See Notes to Quarterly Portfolio of Investments.
Notes
to Quarterly Portfolio of Investments
June 30, 2020 (Unaudited)
| 1. | ORGANIZATION |
ALPS Series Trust (the “Trust”), a Delaware statutory trust, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust consists of multiple separate portfolios or series. This quarterly report describes the DDJ Opportunistic High Yield Fund (the “Fund”). The Fund is diversified, and its primary investment objective is overall total return consisting of a high level of current income together with long-term capital appreciation. The Fund currently offers Class I shares, Class II shares and Institutional Class shares. Each share class has identical rights to earnings, assets and voting privileges, except for class specific expenses and exclusive rights to vote on matters affecting only individual classes. The Board of Trustees (the “Board”) may establish additional funds and classes of shares at any time in the future without shareholder approval.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The accompanying Portfolio of Investments was prepared in accordance with accounting principles generally accepted in the United States of America for investment companies (“U.S. GAAP”). The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946. The following is a summary of significant accounting policies consistently followed by the Fund in preparation of its Portfolio of Investments.
Investment Valuation: The Fund generally values its securities based on market prices determined at the close of regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern Time, on each day the NYSE is open for trading.
For equity securities and mutual funds that are traded on an exchange, the market price is usually the closing sale or official closing price on that exchange. In the case of equity securities not traded on an exchange, or if such closing prices are not otherwise available, the securities are valued at the mean of the most recent bid and ask prices on such day.
The market price for debt obligations is generally the price, at the mean, supplied by an independent third-party pricing service approved by the Board, which may use a matrix, formula or other objective method that takes into consideration quotations from dealers, market transactions in comparable investments, market indices and yield curves. If vendors are unable to supply a price, or if the price supplied is deemed to be unreliable, the market price may be determined using quotations received from one or more broker-dealers that make a market in the security.
Loans are primarily valued by using a composite loan price from a nationally recognized loan pricing service. The methodology used by the Fund’s nationally recognized loan pricing provider for composite loan prices is to value loans at the mean of the bid and ask prices from one or more third party pricing services or dealers.
Redeemable securities issued by open-end registered investment companies are valued at the investment company’s applicable net asset value (“NAV”), with the exception of exchange-traded open-end investment companies, which are priced as equity securities. Money market funds, representing short-term investments, are valued at their NAV.
When such prices or quotations are not available, or when the Fair Value Committee appointed by the Board believes that they are unreliable, securities may be priced using fair value procedures approved by the Board.
Fair Value Measurements: The Fund discloses the classification of its fair value measurements following a three-tier hierarchy based on the inputs used to measure fair value. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability that are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability that are developed based on the best information available.
Various inputs are used in determining the value of the Fund’s investments as of the end of the reporting period. When inputs used fall into different levels of the fair value hierarchy, the level in the hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The designated input levels are not necessarily an indication of the risk or liquidity associated with these investments. These inputs are categorized in the following hierarchy under applicable financial accounting standards:
| Level 1 – | Unadjusted quoted prices in active markets for identical investments, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date; |
| Level 2 – | Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly); and |
| Level 3 – | Significant unobservable prices or inputs (including the Fund’s own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date. |
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2020:
| Investments in Securities at Value | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
| Common Stocks | ||||||||||||||||
| Consumer Discretionary | $ | – | $ | – | $ | 42,777 | $ | 42,777 | ||||||||
| Materials | – | – | 220,626 | 220,626 | ||||||||||||
| Bank Loans | ||||||||||||||||
| Communications | – | 2,632,001 | 180,000 | 2,812,001 | ||||||||||||
| Consumer Discretionary | – | 737,174 | – | 737,174 | ||||||||||||
| Consumer, Cyclical | – | 1,163,884 | 458,014 | 1,621,898 | ||||||||||||
| Consumer, Non-cyclical | – | 6,601,949 | 914,732 | 7,516,681 | ||||||||||||
| Energy | – | 751,900 | – | 751,900 | ||||||||||||
| Financials | – | 3,750,798 | 527,518 | 4,278,316 | ||||||||||||
| Industrials | – | 5,288,214 | – | 5,288,214 | ||||||||||||
| Technology | – | 2,644,753 | – | 2,644,753 | ||||||||||||
| High Yield Bonds And Notes | ||||||||||||||||
| Basic Materials | – | 9,979,130 | – | 9,979,130 | ||||||||||||
| Communications | – | 4,719,176 | – | 4,719,176 | ||||||||||||
| Consumer, Cyclical | – | 4,860,822 | 101,250 | 4,962,072 | ||||||||||||
| Consumer, Non-cyclical | – | 11,534,920 | 461,239 | 11,996,159 | ||||||||||||
| Energy | – | 6,973,257 | – | 6,973,257 | ||||||||||||
| Financials | – | 6,422,081 | – | 6,422,081 | ||||||||||||
| Industrials | – | 7,213,770 | 110,176 | 7,323,946 | ||||||||||||
| Materials | – | – | 332,302 | 332,302 | ||||||||||||
| TOTAL | $ | – | $ | 75,273,829 | $ | 3,348,634 | $ | 78,622,463 | ||||||||
The following is a reconciliation of assets in which Level 3 inputs were used in determining value:
| DDJ Opportunistic High Yield Fund | Common Stock | Bank Loans | High Yield Bonds and Notes | Total | ||||||||||||
| Balance as of September 30, 2019 | $ | 324,667 | $ | 2,074,335 | $ | 947,669 | $ | 3,346,671 | ||||||||
| Accrued discount/ premium | - | 15,237 | 8,529 | 23,766 | ||||||||||||
| Realized Gain/(Loss) | - | 2,589 | 1,267 | 3,856 | ||||||||||||
| Change in Unrealized Appreciation/(Depreciation) | (61,263 | ) | (446,769 | ) | 25,837 | (482,195 | ) | |||||||||
| Purchases | - | 1,097,578 | 33,113 | 1,130,691 | ||||||||||||
| Sales Proceeds | (1 | ) | (93,902 | ) | (14,498 | ) | (108,401 | ) | ||||||||
| Transfer into Level 3 | - | 726,000 | 3,050 | 729,050 | ||||||||||||
| Transfer out of Level 3 | - | (1,294,804 | ) | - | (1,294,804 | ) | ||||||||||
| Balance as of June 30, 2020 | $ | 263,403 | $ | 2,080,264 | $ | 1,004,967 | $ | 3,348,634 | ||||||||
Information about Level 3 measurements as of June 30, 2020:
| Asset Class | Market Value | Valuation Technique | Unobservable Input(s)(a) | Value/Range | ||||||
| Common Stock | $ | 263,403 | Discounted Cash Flow Analysis, Market Analysis | Discount Rate, EBITDA Multiple | 11.7%-15.4%/7.0x-9.0x | |||||
| Bank Loans | $ | 1,692,032 | Third-Party Vendor Pricing Service | Vendor Quotes | N/A | |||||
| Bank Loans | $ | 388,232 | Yield Analysis | Yield to Worst | 9.0%-26.5% | |||||
| High Yield Bonds and Notes | $ | 543,727 | Yield Analysis | Yield to Worst | 9.8%-11.0% | |||||
| High Yield Bonds and Notes | $ | 3,050 | Liquidation Analysis | Discount Rate | 14.06% | |||||
| High Yield Bonds and Notes | $ | 458,190 | Estimated Recovery Value | Expected Recovery Rate, Capital Structure Priority | 2.44% 85.67 | |||||
| (a) | A change to the unobservable input may result in a significant change to the value of the investment as follows: |
| Unobservable Input | Impact to Value if Input Increases | Impact to Value if Input Decreases |
| Yield to Worst | Increase | Decrease |
| Vendor Quotes | Increase | Decrease |
| Discount Rate | Decrease | Increase |
| EBITDA Multiple | Increase | Decrease |
| Capital Structure Priority | Increase | Decrease |
Cash & Cash Equivalents: The Fund considers its investment in a Federal Deposit Insurance Corporation (“FDIC”) insured interest bearing account to be cash and cash equivalents. Cash and cash equivalents are valued at cost plus any accrued interest. The Fund maintains cash balances, which, at times may exceed federally insured limits. The Fund maintains these
balances with a high quality financial institution.
Concentration of Credit Risk: The Fund places its cash with a banking institution, which is insured by FDIC. The FDIC limit is $250,000. At various times throughout the year, the amount on deposit may exceed the FDIC limit and subject the Fund to a credit risk. The Fund does not believe that such deposits are subject to any unusual risk associated with investment activities.
Trust Expenses: Some expenses of the Trust can be directly attributed to the Fund. Expenses that cannot be directly attributed to the Fund are apportioned among all funds in the Trust based on average net assets of each fund, including Trustees’ fees and expenses.
Fund Expenses: Some expenses can be directly attributed to the Fund and are apportioned among the classes based on average net assets of each class.
Class Expenses: Expenses that are specific to a class of shares are charged directly to that share class. Fees provided under the distribution (Rule 12b-1) and/or shareholder service plans for a particular class of the Fund are charged to the operations of such class.
Investment Transactions and Investment Income: Investment transactions are accounted for on the date the investments are purchased or sold (trade date basis for financial reporting purposes). Realized gains and losses from investment transactions are reported on an identified cost basis. Interest income, which includes accretion of discounts and amortization of premiums, is accrued and recorded as earned using the effective yield method. Dividend income is recognized on the ex-dividend date, or for certain foreign securities, as soon as information is available to the Fund. All of the realized and unrealized gains and losses and net investment income are allocated daily to each class in proportion to its average daily net assets.
Distributions to Shareholders: The Fund normally pays dividends, if any, monthly, and distributes capital gains, if any, on an annual basis. Income dividend distributions are derived from interest and other income the Fund receives from its investments, including short term capital gains. Long term capital gain distributions are derived from gains realized when the Fund sells a security it has owned for more than one year. The Fund may make additional distributions and dividends at other times if its investment advisor has determined that doing so may be necessary for the Fund to avoid or reduce taxes. Net investment income/(loss) and net realized gain/(loss) may differ for financial statement and tax purposes.
Loan Assignments: The Fund acquires loans via loan assignments. The Fund considers loans acquired via assignment to be investments in debt instruments. When the Fund purchases loans from lenders via assignment, the Fund will acquire direct rights against the borrower on the loan except that under certain circumstances such rights may be more limited than those held by the assigning lender.
Loans and debt instruments are subject to credit risk. Credit risk relates to the ability of the borrower under such fixed income instruments to make interest and principal payments as they become due.
As of June 30, 2020, the Fund held $25,650,937, or 32.02% of the Fund’s net assets, in loans acquired via assignment.
Liquidity Risk: Liquidity risk exists when particular investments are difficult to sell. The Fund may not be able to sell these investments at the best prices or at the value the Fund places on them. In such a market, the value of such investments, and as a result the Fund’s share price may fall dramatically, even during periods of declining interest rates. Investments that are illiquid or that trade in lower volumes may be more difficult to value. The market for high yield securities in particular may be less liquid than higher quality fixed income securities, and therefore these securities may be harder to value or sell at an acceptable price, especially during times of market volatility or decline.
Restricted Securities: Restricted securities are securities that may only be resold upon registration under federal securities laws or in transactions exempt from such registration. In some cases, the issuer of restricted securities has agreed to register such securities for resale, at the issuer’s expense, either upon demand by a fund or in connection with another registered offering of the securities. Many restricted securities may be resold in the secondary market in transactions exempt from registration. Such restricted securities may be determined to be liquid. The Fund will not incur any registration costs upon such resale. The Fund’s restricted securities are valued at the price provided by pricing services or dealers in the secondary market or, if no market prices are available, at the fair value price as determined by the Fund’s investment advisor or pursuant to the Fund’s fair value policy, subject to oversight by the Board. The Fund has acquired certain securities, the sale of which is restricted under applicable provisions of the Securities Act of 1933. It is possible that the fair value price may differ significantly from the amount that may ultimately be realized in the near term, and the difference could be material.
At June 30, 2020, the Funds held the following restricted securities:
| Security Type | Acquisition Date | Amortized Cost | Fair Value | |||||||||
| American Tire Distributors, Inc. | Common Stocks | 12/21/2018 | $ | 62,534 | $ | 42,777 | ||||||
| Material Sciences Corp. | High Yield Bonds and Notes | 7/9/2018 - 6/30/2020 | 111,288 | 110,176 | ||||||||
| Real Alloy Holding, Inc. | Common Stocks | 5/31/2018 | 103,329 | 101,612 | ||||||||
| Real Alloy Holding, Inc. | High Yield Bonds and Notes | 5/31/2018 - 4/7/2020 | 122,302 | 122,302 | ||||||||
| Specialty Steel Holdco Inc. | High Yield Bonds and Notes | 11/15/2017 | 210,000 | 210,000 | ||||||||
| Specialty Steel Holdco, Inc. | Common Stocks | 11/15/2017 | 133,875 | 119,014 | ||||||||
| Sportsnet | High Yield Bonds and Notes | 12/27/2017 | 98,914 | 101,250 | ||||||||
| $ | 807,131 | |||||||||||
Restricted securities under Rule 144A, including the aggregate value and percentage of net assets of the Fund, have been identified in the Portfolio of Investments.
Other Risk: A recent outbreak of respiratory disease caused by a novel coronavirus (COVID-19) was declared a pandemic by the World Health Organization. The epidemic has adversely affected the economies of many nations, individual companies, their securities (including equity and debt), overall employment, and the market in general in ways that cannot necessarily be foreseen at the present time. The situation is dynamic with various cities and countries around the world responding in different ways to address the outbreak. The rapid development and fluidity of this situation precludes any prediction as its ultimate impact, which may have a continued adverse impact on economic and market conditions and trigger a period of global economic slowdown.
DDJ Capital Management, LLC (“DDJ” or the “Advisor”) will continue to monitor developments relating to COVID-19, including related impacts to market conditions, as information becomes available as well as to evaluate the potential impacts, if any, on the value of the Fund’s investments.