POLEN DDJ OPPORTUNISTIC HIGH YIELD FUND
PORTFOLIO OF INVESTMENTS
June 30, 2022 (Unaudited)
| Shares | Value (Note 2) | |||||||
| COMMON STOCKS (1.27%) | ||||||||
| Consumer, Cyclical (0.69%) | ||||||||
| CWT Travel Holdings Inc(b)(d) | 89,755 | $ | 1,787,605 | |||||
| Consumer, Non-Cyclical (0.11%) | ||||||||
| American Tire Distributors, Inc.(a)(b)(c)(d)(e) | 2,940 | 280,241 | ||||||
| Materials (0.13%) | ||||||||
| Real Alloy Holding, Inc.(a)(b)(c)(d)(e) | 3 | 193,631 | ||||||
| Specialty Steel Holdco, Inc.(a)(b)(c)(d)(e) | 1 | 142,439 | ||||||
| Total Materials | 336,070 | |||||||
| Mineral and Precious Stone Mining (0.04%) | ||||||||
| Arctic Canadian Diamond Co LTD.(a)(b)(d)(e) | 541 | 109,823 | ||||||
| Oil & Gas (0.26%) | ||||||||
| Utex Industries, Inc.(a)(b)(d)(e) | 7,506 | 680,344 | ||||||
| Technology (0.04%) | ||||||||
| Skillsoft Corp.(d) | 32,762 | 115,322 | ||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $2,411,494) | 3,309,405 | |||||||
| Rate | Maturity Date | Principal Amount | Value (Note 2) | |||||||||
| BANK LOANS (29.60%) | ||||||||||||
| Basic Materials (1.26%) | ||||||||||||
| Aruba Investments, Inc., Series Initial(f) | 1M US L + 7.75%, 0.75% Floor | 11/24/2028 | $ | 3,450,000 | $ | 3,294,750 | ||||||
| Communications (2.11%) | ||||||||||||
| ABG Intermediate Holdings 2 LLC(a)(f) | 1M US L + 6.00%, 0.50% Floor | 12/20/2029 | 810,000 | 757,350 | ||||||||
| Auction.com LLC fka Ten-X LLC(f) | 1M US L + 4.00%, 1.00% Floor | 9/27/2024 | 5,068,965 | 4,761,025 | ||||||||
| Total Communications | 5,518,375 | |||||||||||
| Consumer Discretionary (2.06%) | ||||||||||||
| CNT Holdings I Corp, Series Initial(f) | 1M US L + 6.75%, 0.75% Floor | 11/6/2028 | 5,554,188 | 5,373,677 | ||||||||
| Consumer, Cyclical (1.73%) | ||||||||||||
| Brooks Automation 11/21 2nd Lien TL(f) | 3M US L + 5.60%, 0.50% Floor | 11/16/2029 | 3,240,000 | 2,967,305 | ||||||||
| Mitchell International, Inc. TL(f) | 1M US L + 6.50% | 10/1/2029 | 1,650,000 | 1,557,963 | ||||||||
| Total Consumer, Cyclical | 4,525,268 | |||||||||||
| Rate | Maturity Date | Principal Amount | Value (Note 2) | |||||||||
| Consumer, Non-Cyclical (18.54%) | ||||||||||||
| Ankura Consulting Group LLC, Series Closing Date(a)(f) | 3M US L + 8.00%, 0.75% Floor | 3/19/2029 | $ | 650,000 | $ | 585,000 | ||||||
| Asurion LLC, Series New B-4(f)(h) | 1M US L + 5.25% | 1/20/2029 | 5,170,000 | 4,417,765 | ||||||||
| Aveanna Healthcare LLC(a)(f) | 3M US L + 7.50%, 0.50% Floor | 12/10/2029 | 4,000,000 | 3,580,000 | ||||||||
| Cloudera, Inc.(a)(f) | 1M US L + 6.00%, 0.50% Floor | 8/10/2029 | 860,000 | 756,800 | ||||||||
| CP Iris Holdco I, Inc.(b)(f) | 1M US L + 7.00%, 0.50% Floor | 9/15/2029 | 1,720,000 | 1,606,050 | ||||||||
| Envision Healthcare Corp., Series Initial(f) | 1M US L + 3.75% | 10/10/2025 | 3,341,876 | 1,137,073 | ||||||||
| Eyecare Partners LLC(f) | 3M US L + 6.75%, 0.50% Floor | 11/15/2029 | 3,430,000 | 3,269,939 | ||||||||
| Infinite Bidco LLC, Series Initial(f) | 3M US L + 7.00%, 0.50% Floor | 3/2/2029 | 4,245,740 | 4,033,454 | ||||||||
| KKR Apple Bidco LLC, Series Initial(f) | 1M US L + 5.75%, 0.50% Floor | 8/6/2026 | 4,258,629 | 4,098,930 | ||||||||
| KUEHG Corp, Series Tranche B(f) | 3M US L + 8.25%, 1.00% Floor | 8/22/2025 | 4,020,000 | 3,896,064 | ||||||||
| KUEHG Corp, Series B-3(f) | 3M US L + 3.75%, 1.00% Floor | 2/21/2025 | 4,636,102 | 4,331,440 | ||||||||
| LaserShip, Inc., Series Initial(a)(f) | 3M US L + 7.50%, 0.75% Floor | 5/7/2029 | 3,280,000 | 3,198,000 | ||||||||
| Learning Care Group No. 2, Inc., Series Initial(f) | 3M US L + 7.50%, 1.00% Floor | 3/13/2026 | 2,475,012 | 2,385,293 | ||||||||
| Learning Care Group No. 2, Inc., Series Initial(f) | 3M US L + 3.25%, 1.00% Floor | 3/13/2025 | 1,489,857 | 1,383,705 | ||||||||
| Medical Solutions LLC(f) | 3M US L + 7.00%, 0.50% Floor | 9/24/2028 | 1,770,000 | 1,646,100 | ||||||||
| MH Sub I LLC, Series 2021 Replacement(f) | 1M US L + 6.25% | 2/23/2029 | 4,340,000 | 4,112,150 | ||||||||
| SM Wellness Holdings, Inc., Series Initial(a)(f) | 3M US L + 8.00%, 0.75% Floor | 4/16/2029 | 1,030,000 | 1,009,400 | ||||||||
| VC GB Holdings I Corp, Series Initial(f) | 3M US L + 6.75%, 0.50% Floor | 7/23/2029 | 1,330,000 | 1,193,675 | ||||||||
| Xplornet Communications Inc. TL(a)(f) | 1M US L + 7.00%, 0.50% Floor | 9/30/2029 | 1,930,000 | 1,746,650 | ||||||||
| Total Consumer, Non-Cyclical | 48,387,488 | |||||||||||
| Financials (0.58%) | ||||||||||||
| Arctic Canadian Diamond Corp, 2L TL(a)(b)(e)(g) | Cash 5.00% + PIK 12.50% | 12/31/2027 | 531,261 | 531,261 | ||||||||
| Zest Acquisition Corp., Series Initial(a)(f)(h) | 1M US L + 7.00%, 1.00% Floor | 3/13/2026 | 1,037,670 | 970,221 | ||||||||
| Total Financials | 1,501,482 | |||||||||||
| Industrials (3.32%) | ||||||||||||
| Brand Energy & Infrastructure Services, Inc., Series Initial(f) | 3M US L + 4.25%, 1.00% Floor | 6/21/2024 | 2,004,913 | 1,744,596 | ||||||||
| Engineered Machinery Holdings, Inc., Series Incremental Amendment No. 2(f) | 3M US L + 6.50%, 0.75% Floor | 5/21/2029 | 2,760,000 | 2,663,400 | ||||||||
| Engineered Machinery Holdings, Inc., Series Incremental Amendment No. 3(f) | 3M US L + 6.00%, 0.75% Floor | 5/21/2029 | 2,295,812 | 2,240,322 | ||||||||
| GI Consilio Parent LLC(a)(f) | 1M US L + 7.50%, 0.50% Floor | 5/14/2029 | 2,050,000 | 2,009,000 | ||||||||
| Total Industrials | 8,657,318 | |||||||||||
| TOTAL BANK LOANS | ||||||||||||
| (Cost $83,349,503) | 77,258,358 | |||||||||||
| HIGH YIELD BONDS AND NOTES (62.58%) | ||||||||||||
| Basic Materials (6.04%) | ||||||||||||
| Baffinland Iron Mines Corp. / Baffinland Iron Mines LP(i) | 8.750% | 7/15/2026 | 8,190,000 | 7,154,948 | ||||||||
| Century Aluminum Co.(i) | 7.500% | 4/1/2028 | 9,545,000 | 8,609,303 | ||||||||
| Northwest Acquisitions ULC / Dominion Finco, Inc.(b)(i)(j) | 7.125% | 11/1/2022 | 1,650,000 | 99 | ||||||||
| Total Basic Materials | 15,764,350 | |||||||||||
| Rate | Maturity Date | Principal Amount | Value (Note 2) | |||||||||||
| Communications (5.23%) | ||||||||||||||
| Arches Buyer, Inc.(i) | 6.125 | % | 12/1/2028 | $ | 1,000,000 | $ | 817,010 | |||||||
| Clear Channel Outdoor Holdings, Inc.(i) | 7.750 | % | 4/15/2028 | 2,170,000 | 1,584,415 | |||||||||
| Clear Channel Outdoor Holdings, Inc.(i) | 7.500 | % | 6/1/2029 | 1,930,000 | 1,393,518 | |||||||||
| GTT Communications, Inc.(b)(c)(i)(j) | 7.875 | % | 12/31/2024 | 1,970,000 | 157,692 | |||||||||
| Radiate Holdco LLC / Radiate Finance, Inc.(i) | 6.500 | % | 9/15/2028 | 770,000 | 597,274 | |||||||||
| Scripps Escrow II, Inc.(i) | 5.375 | % | 1/15/2031 | 1,490,000 | 1,190,175 | |||||||||
| Scripps Escrow, Inc.(i) | 5.875 | % | 7/15/2027 | 660,000 | 578,645 | |||||||||
| Uber Technologies, Inc.(i) | 4.500 | % | 8/15/2029 | 3,870,000 | 3,190,331 | |||||||||
| Viasat, Inc.(i) | 5.625 | % | 9/15/2025 | 1,450,000 | 1,174,745 | |||||||||
| Viasat, Inc.(i) | 6.500 | % | 7/15/2028 | 4,300,000 | 2,967,323 | |||||||||
| Total Communications | 13,651,128 | |||||||||||||
| Consumer, Cyclical (11.67%) | ||||||||||||||
| Boyd Gaming Corp.(i) | 4.750 | % | 6/15/2031 | 1,480,000 | 1,253,560 | |||||||||
| Dornoch Debt Merger Sub, Inc.(i) | 6.625 | % | 10/15/2029 | 6,520,000 | 4,823,170 | |||||||||
| Ford Motor Co. | 7.450 | % | 7/16/2031 | 3,550,000 | 3,609,782 | |||||||||
| Ford Motor Co. | 9.625 | % | 4/22/2030 | 5,570,000 | 6,220,242 | |||||||||
| Lions Gate Capital Holdings LLC(i) | 5.500 | % | 4/15/2029 | 3,690,000 | 2,888,956 | |||||||||
| Real Hero Merger Sub 2, Inc.(i) | 6.250 | % | 2/1/2029 | 4,450,000 | 3,381,169 | |||||||||
| Scientific Games Holdings LP/Scientific Games US FinCo, Inc.(i) | 6.625 | % | 3/1/2030 | 1,480,000 | 1,260,324 | |||||||||
| Sportsnet(a)(b)(e) | 10.250 | % | 1/15/2025 | 100,000 | 98,250 | |||||||||
| SRS Distribution, Inc.(i) | 6.000 | % | 12/1/2029 | 3,940,000 | 3,099,165 | |||||||||
| Wheel Pros, Inc.(i) | 6.500 | % | 5/15/2029 | 3,800,000 | 2,690,571 | |||||||||
| White Cap Buyer LLC(i) | 6.875 | % | 10/15/2028 | 1,444,000 | 1,157,193 | |||||||||
| Total Consumer, Cyclical | 30,482,382 | |||||||||||||
| Consumer, Non-Cyclical (11.29%) | ||||||||||||||
| Bausch Health Cos., Inc.(i) | 5.250 | % | 1/30/2030 | 2,160,000 | 1,122,194 | |||||||||
| Cano Health LLC(i) | 6.250 | % | 10/1/2028 | 7,030,000 | 5,782,571 | |||||||||
| High Ridge Brands Escrow(a)(b)(c)(e) | 3/15/2025 | 125,000 | 1,438 | |||||||||||
| Simmons Foods, Inc./Simmons Prepared Foods Inc/Simmons Pet Food Inc/Simmons Feed(i) | 4.625 | % | 3/1/2029 | 3,740,000 | 3,167,948 | |||||||||
| Specialty Steel(a)(b)(c)(f)(g) | 11.9222% or PIK L+11.00%, 1.00% Floor | 11/15/2026 | 210,000 | 210,000 | ||||||||||
| Surgery Center Holdings, Inc.(i) | 6.750 | % | 7/1/2025 | 2,045,000 | 1,877,085 | |||||||||
| Surgery Center Holdings, Inc.(i) | 10.000 | % | 4/15/2027 | 3,530,000 | 3,423,923 | |||||||||
| Team Health Holdings, Inc.(i) | 6.375 | % | 2/1/2025 | 6,235,000 | 4,363,132 | |||||||||
| Tenet Healthcare Corp.(i) | 5.125 | % | 11/1/2027 | 6,690,000 | 6,032,406 | |||||||||
| Tenet Healthcare Corp.(i) | 6.125 | % | 10/1/2028 | 4,070,000 | 3,495,601 | |||||||||
| Total Consumer, Non-Cyclical | 29,476,298 | |||||||||||||
| Energy (4.72%) | ||||||||||||||
| Harvest Midstream I LP(i) | 7.500 | % | 9/1/2028 | 2,505,000 | 2,357,483 | |||||||||
| Occidental Petroleum Corp. | 6.450 | % | 9/15/2036 | 5,080,000 | 5,219,294 | |||||||||
| Occidental Petroleum Corp. | 8.875 | % | 7/15/2030 | 3,190,000 | 3,668,460 | |||||||||
| Teine Energy, Ltd.(i) | 6.875 | % | 4/15/2029 | 1,150,000 | 1,073,180 | |||||||||
| Total Energy | 12,318,417 | |||||||||||||
| Rate | Maturity Date | Principal Amount | Value (Note 2) | |||||||||||
| Financials (7.67%) | ||||||||||||||
| AssuredPartners, Inc.(i) | 7.000 | % | 8/15/2025 | $ | 6,100,000 | $ | 5,737,814 | |||||||
| GTCR AP Finance, Inc.(i) | 8.000 | % | 5/15/2027 | 2,080,000 | 1,949,876 | |||||||||
| HUB International, Ltd.(i) | 7.000 | % | 5/1/2026 | 5,210,000 | 4,909,669 | |||||||||
| NFP Corp.(i) | 6.875 | % | 8/15/2028 | 8,960,000 | 7,417,626 | |||||||||
| Total Financials | 20,014,985 | |||||||||||||
| Industrials (10.81%) | ||||||||||||||
| IEA Energy Services LLC(i) | 6.625 | % | 8/15/2029 | 2,950,000 | 2,415,652 | |||||||||
| Intelligent Packaging, Ltd. Finco, Inc. / Intelligent Packaging Ltd Co.-Issuer LLC(i) | 6.000 | % | 9/15/2028 | 2,050,000 | 1,702,115 | |||||||||
| JPW Industries Holding Corp.(i) | 9.000 | % | 10/1/2024 | 780,000 | 730,653 | |||||||||
| Material Sciences Corp.(a)(b)(e)(f)(g) | L + 8.25% or PIK 2.00% | 1/9/2024 | 90,225 | 89,322 | ||||||||||
| Oscar AcquisitionCo LLC / Oscar Finance, Inc.(i) | 9.500 | % | 4/15/2030 | 3,080,000 | 2,446,417 | |||||||||
| Titan Acquisition, Ltd. / Titan Co.-Borrower LLC(i) | 7.750 | % | 4/15/2026 | 7,441,000 | 6,850,036 | |||||||||
| TransDigm, Inc. | 6.375 | % | 6/15/2026 | 2,230,000 | 2,089,510 | |||||||||
| TransDigm, Inc., Series WI | 4.875 | % | 5/1/2029 | 5,670,000 | 4,625,416 | |||||||||
| Trident TPI Holdings, Inc.(i) | 6.625 | % | 11/1/2025 | 4,740,000 | 4,359,449 | |||||||||
| Trident TPI Holdings, Inc.(i) | 9.250 | % | 8/1/2024 | 3,180,000 | 2,913,818 | |||||||||
| Total Industrials | 28,222,388 | |||||||||||||
| Materials (0.04%) | ||||||||||||||
| Real Alloy Holding, Inc.(a)(b)(c)(e)(f)(g) | L + 10.00% or PIK L+12.00%, 1.00% Floor | 11/28/2023 | 114,596 | 114,596 | ||||||||||
| Technology (5.11%) | ||||||||||||||
| CWT Travel Group, Inc.(i) | 8.500 | % | 11/19/2026 | 5,128,594 | 4,634,967 | |||||||||
| Minerva Merger Sub, Inc.(i) | 6.500 | % | 2/15/2030 | 4,310,000 | 3,596,889 | |||||||||
| Playtika Holding Corp.(i) | 4.250 | % | 3/15/2029 | 450,000 | 372,163 | |||||||||
| Presidio Holdings, Inc.(i) | 8.250 | % | 2/1/2028 | 5,370,000 | 4,728,389 | |||||||||
| Total Technology | 13,332,408 | |||||||||||||
| TOTAL HIGH YIELD BONDS AND NOTES | ||||||||||||||
| (Cost $194,079,628) | 163,376,952 | |||||||||||||
| WARRANTS (0.00%) | ||||||||||||||
| Maturity Date | Principal Amount | Value (Note 2) | ||||||||
| Consumer, Cyclical (0.00%) | ||||||||||
| CWT Travel Holdings, Inc., Strike Price: $57.00(a)(b) | 11/19/2026 | $ | 3,371 | $ | – | |||||
| CWT Travel Holdings, Inc., Strike Price: $67.69(a)(b) | 11/19/2028 | $ | 3,548 | $ | – | |||||
| Utex Industries Holdings, LLC, Strike Price: $114.76(a)(b)(e) | 12/31/2049 | $ | 1,150 | $ | – | |||||
| TOTAL WARRANTS | ||||||||||
| (Cost $–) | – | |||||||||
| 7-Day Yield | Shares | Value (Note 2) | ||||||||||
| SHORT TERM INVESTMENTS (5.46%) | ||||||||||||
| MSILF Treasury Securities Portfolio | 0.010 | % | 14,260,179 | $ | 14,260,179 | |||||||
| TOTAL SHORT TERM INVESTMENTS | ||||||||||||
| (Cost $14,260,179) | 14,260,179 | |||||||||||
| TOTAL INVESTMENTS (98.91%) | ||||||||||||
| (Cost $294,100,804) | $ | 258,204,894 | ||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES (1.09%) | 2,842,792 | |||||||||||
| NET ASSETS (100.00%) | $ | 261,047,686 |
| (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 Portfolio of Investments section. |
| (b) | Security deemed to be illiquid under the procedures approved by the Fund's Board of Trustees. As of June 30, 2022, the fair value of illiquid securities in the aggregate was $6,002,791, representing 2.30% of the Fund's net assets. |
| (c) | Security deemed to be restricted as of June 30, 2022. As of June 30, 2022, the fair value of restricted securities in the aggregate was $1,100,038, representing 0.42% 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) | Non-income producing security. |
| (e) | Fair valued security under the procedures approved by the Fund’s Board of Trustees. |
| (f) | Floating or variable rate security. The reference rate is described below. The rate in effect as of June 30, 2022 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, 2022. 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) | 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, 2022 the fair value of securities restricted under Rule 144A in the aggregate was $137,430,641, representing 52.65% 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). |
| (j) | Security is currently in default. |
Investment Abbreviations:
LIBOR - London Interbank Offered Rate
PIK - Payment in-kind
Reference Rates:
1M US L - 1 Month LIBOR as of June 30, 2022 was 1.79%
3M US L - 3 Month LIBOR as of June 30, 2022 was 2.29%
6M US L - 6 Month LIBOR as of June 30, 2022 was 2.94%
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, 2022 (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 financial statements were 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 preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Fund in preparation of its financial statements.
Investment Valuation: The market price for debt obligations is generally the price 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 or otherwise not representative of market conditions at the time of the valuation determination, the market price may be determined using quotations received from one or more brokers–dealers that make a market in the security. High yield bonds and notes are valued using market models that consider trade data, quotations from dealers and active market makers, relevant yield curve and spread data, creditworthiness, trade data or market information on comparable securities, and other relevant security specific information.
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.
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.
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, 2022:
Polen DDJ Opportunistic High Yield Fund
| Investments in Securities at Value* | Level 1 - Quoted and Unadjusted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
| Common Stocks | ||||||||||||||||
| Consumer, Cyclical | $ | – | $ | 1,787,605 | $ | – | $ | 1,787,605 | ||||||||
| Consumer, Non-Cyclical | – | – | 280,241 | 280,241 | ||||||||||||
| Materials | – | – | 336,070 | 336,070 | ||||||||||||
| Mineral and Precious Stone Mining | – | – | 109,823 | 109,823 | ||||||||||||
| Oil & Gas | – | – | 680,344 | 680,344 | ||||||||||||
| Technology | 115,322 | – | – | 115,322 | ||||||||||||
| Bank Loans | ||||||||||||||||
| Basic Materials | – | 3,294,750 | – | 3,294,750 | ||||||||||||
| Communications | – | 4,761,025 | 757,350 | 5,518,375 | ||||||||||||
| Consumer Discretionary | – | 5,373,677 | – | 5,373,677 | ||||||||||||
| Consumer, Cyclical | – | 4,525,268 | – | 4,525,268 | ||||||||||||
| Consumer, Non-Cyclical | – | 37,511,638 | 10,875,850 | 48,387,488 | ||||||||||||
| Financials | – | – | 1,501,482 | 1,501,482 | ||||||||||||
| Industrials | – | 6,648,318 | 2,009,000 | 8,657,318 | ||||||||||||
| High Yield Bonds and Notes | ||||||||||||||||
| Basic Materials | – | 15,764,350 | – | 15,764,350 | ||||||||||||
| Communications | – | 13,651,128 | – | 13,651,128 | ||||||||||||
| Consumer, Cyclical | – | 30,384,132 | 98,250 | 30,482,382 | ||||||||||||
| Consumer, Non-Cyclical | – | 29,264,860 | 211,438 | 29,476,298 | ||||||||||||
| Energy | – | 12,318,417 | – | 12,318,417 | ||||||||||||
| Financials | – | 20,014,985 | – | 20,014,985 | ||||||||||||
| Industrials | – | 28,133,066 | 89,322 | 28,222,388 | ||||||||||||
| Materials | – | – | 114,596 | 114,596 | ||||||||||||
| Technology | – | 13,332,408 | – | 13,332,408 | ||||||||||||
| Short Term Investments | 14,260,179 | – | – | 6,915,408 | ||||||||||||
| Warrants | – | – | – | – | ||||||||||||
| Total | $ | 14,375,501 | $ | 226,765,627 | $ | 17,063,766 | $ | 258,204,894 | ||||||||
The following is a reconciliation of assets in which Level 3 inputs were used in determining value:
| Common Stocks | Bank Loans | High Yield Bonds And Notes | Warrants | Total | ||||||||||||||||
| Balance as of September 30, 2021 | $ | 1,271,468 | $ | 15,168,752 | $ | 517,996 | $ | - | $ | 16,958,216 | ||||||||||
| Accrued Discount/premium | - | 30,413 | 166 | - | 30,579 | |||||||||||||||
| Return of Capital | - | - | - | - | - | |||||||||||||||
| Realized Gain/(Loss) | - | 67,479 | - | - | 67,479 | |||||||||||||||
| Change in Unrealized Appreciation/Depreciation | 135,010 | (1,106,504 | ) | (4,556 | ) | - | (976,050 | ) | ||||||||||||
| Purchases | - | 8,565,483 | - | - | 8,565,483 | |||||||||||||||
| Sales Proceeds | - | (5,482,219 | ) | - | - | (5,482,219 | ) | |||||||||||||
| Transfer into Level 3 (a) | - | 1,746,650 | - | - | 1,746,650 | |||||||||||||||
| Transfer Out of Level 3 (b) | - | (3,846,372 | ) | - | - | (3,846,372 | ) | |||||||||||||
| Balance as of June 30, 2022 | $ | 1,406,478 | $ | 15,413,682 | $ | 513,606 | $ | - | $ | 17,063,766 | ||||||||||
| Net change in unrealized appreciation/(depreciation) included in the Statement of Operations attributable to Level 3 investments held at June 30, 2022 | $ | 135,184 | $ | (968,461 | ) | $ | (4,556 | ) | $ | - | $ | (838,007 | ) | |||||||
| (a) | Transferred from Level 2 to Level 3 because of a lack of observable market data, resulting from a decrease in market activity for the securities. |
| (b) | Transferred from Level 3 to Level 2 because observable market data became available for the securities. |
Information about Level 3 measurements as of June 30, 2022:
| Asset Class | Market Value | Valuation Technique | Unobservable Input(s)(a) | Value/Range | ||||||
| Common Stock | $ | 1,296,655 | Discounted Cash Flow Analysis, Market Analysis | Discount Rate, EBITDA Multiple | 11.70% - 16.40%, 2.93x - 8.25x | |||||
| Common Stock | $ | 109,823 | Discounted Cash Flow Analysis | Discount Rate, Price per share | 20.30%, $203.00 | |||||
| Bank Loans | $ | 14,612,421 | Third-Party Vendor Pricing Service | Vendor Quotes | N/A | |||||
| Bank Loans | $ | 531,261 | Discounted Cash Flow Analysis | Discount Rate, Percentage of par value | 20.30%, 100.00% | |||||
| High Yield Bonds and Notes | $ | 512,169 | Yield Analysis | Yield to Worst | 9.7% - 12.2% | |||||
| High Yield Bonds and Notes | $ | 1,437 | Litigation Trust Settlement Proceeds | Discount Rate, Expected recovery probability Rate | 14.35%, $1.15 per $100 principal amount of now cancelled Unsercured Notes | |||||
| $ | 17,063,766 | |||||||||
| (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 |
| Settlement Proceeds | 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 a fund in the Trust. Expenses that cannot be directly attributed to a 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. 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. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statement of Operations.
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, 2022, the Fund held $77,258,358, or 29.60% 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.
LIBOR Transition: Certain of the Fund's investments, payment obligations and financing terms may be based on floating rates, such as LIBOR, Euro Interbank Offered Rate and other similar types of reference rates (each, a “Reference Rate”). In July of 2017, the head of the UK Financial Conduct Authority (“FCA”) announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and ICE Benchmark Administrator have since announced that most LIBOR settings will no longer be published after December 31, 2021 and a majority of U.S. dollar LIBOR settings will cease publication after June 30, 2023. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing Secured Overnight Financial Rate Data (“SOFR”) that is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new reference rates. Uncertainty related to the liquidity impact of the change in rates, and how to appropriately adjust these rates at the time of transition, poses risks for the Underlying Funds and Funds. The effect of any changes to, or discontinuation of, LIBOR on the Underlying Funds and Funds will depend on, among other things, (1) existing fallback or termination provisions in individual contracts, and (2) whether, how, and when industry participants develop and adopt new reference rates and fallbacks for both legacy and new instruments and contracts. The expected discontinuation of LIBOR could have a significant impact on the financial markets in general and may also present heightened risk to market participants, including public companies, investment advisers, investment companies, and broker-dealers. The risks associated with this discontinuation and transition will be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. For example, current information technology systems may be unable to accommodate new instruments and rates with features that differ from LIBOR. Accordingly, it is difficult to predict the full impact of the transition away from LIBOR on the Underlying Funds and Funds until new reference rates and fallbacks for both legacy and new instruments and contracts are commercially accepted and market practices become settled.
COVID-19 Risk: The impact of COVID-19, (and the variants of such virus) and other epidemics and pandemics that may arise in the future, could affect the economies of many nations, individual companies, their securities (including equity and debt), and the market in general in ways that cannot necessarily be foreseen at the present time. Health crises caused by the recent coronavirus outbreak may exacerbate other pre-existing political, social, financial, and economic risks in certain countries. The impact of the outbreak may last for an extended period of time.
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 adviser 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.
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.