NPORT-EX 2 fp0056870_nportex-ddj.htm

 

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.