SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
(Exact name of registrant as specified in charter)
(Address of principal executive offices) (Zip code)
(Name and address of agent for service)
BRAMSHILL INCOME
PERFORMANCE FUND
INSTITUTIONAL CLASS (BRMSX)
SEMI- ANNUAL REPORT TO SHAREHOLDERS
SEPTEMBER 30, 2020
Important Notice: The U.S. Securities and Exchange Commission will permit funds to make shareholder reports available electronically beginning January 1, 2021. Accordingly, paper copies will no longer be mailed. Instead, at that time, the Bramshill Income Performance Fund will send a notice, either by mail or e-mail, each time an updated report is available on the Fund’s website (www.bramshillfunds.com). Investors enrolled in electronic delivery will receive the notices by e-mail, with links to the updated report and will not need to take any action. Investors who are not enrolled in electronic delivery by January 1, 2021 will receive the notices in the mail.
All investors who prefer to receive shareholder reports in a printed format may, at any time, choose that option free of charge. Contact your financial intermediary to make this election, or direct investors can call 1-877-BRAMS18.
TABLE OF CONTENTS
Bramshill Income Performance Fund |
Expense Example (Unaudited) |
September 30, 2020 |
As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder servicing fees, and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from April 1, 2020 to September 30, 2020 (the “period”).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as sales charges (loads). Therefore, the second line of the table is useful in comparing the ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs could have been higher.
Expenses Paid During the Period
Expenses | ||||||||||||
Paid | ||||||||||||
Beginning | Ending | During the | ||||||||||
Account Value | Account Value | Period(1) | ||||||||||
Institutional Class | ||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,109.00 | $ | 5.55 | ||||||
Hypothetical 5% Return | 1,000.00 | 1,019.80 | 5.32 |
(1) | Expenses are equal to the Fund’s annualized expense ratio of 1.05%, multiplied by the average account value over the period, multiplied by 183/365. The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested. |
Bramshill Income Performance Fund |
Allocation of Portfolio Holdings (Unaudited) |
(Calculated as a percentage of Total Investments) |
September 30, 2020 |
Bramshill Income Performance Fund |
Schedule of Investments (Unaudited) |
September 30, 2020 |
Principal | ||||||||
Amount | Value | |||||||
CORPORATE BONDS ― 20.4% | ||||||||
ENERGY ― 5.0% | ||||||||
BP Capital Markets PLC | ||||||||
20,787,000 | 4.875% (effective 6/22/2030, 5 Year TNCMR + 4.398%) (1), 3/22/2030 (2) | $ | 22,294,058 | |||||
Valero Energy Corp. | ||||||||
6,381,000 | 2.700%, 4/15/2023 | 6,615,285 | ||||||
28,909,343 | ||||||||
ENTERTAINMENT ― 0.2% | ||||||||
International Game Technology PLC (3) | ||||||||
1,003,000 | 6.250%, 2/15/2022 | 1,026,194 | ||||||
FINANCE AND INSURANCE ― 2.6% | ||||||||
Ares Capital Corp. | ||||||||
2,772,000 | 3.250%, 7/15/2025 | 2,750,004 | ||||||
Capital One Financial Corp. | ||||||||
4,670,000 | 2.600%, 5/11/2023 | 4,887,091 | ||||||
General Motors Financial Co, Inc. | ||||||||
4,037,000 | 5.200%, 3/20/2023 | 4,383,089 | ||||||
Lincoln National Corp. | ||||||||
1,013,000 | 2.312% (3 month U.S. LIBOR + 2.040%) (4), 4/20/2067 | 703,270 | ||||||
Oaktree Specialty Lending Corp. | ||||||||
2,282,000 | 3.500%, 2/25/2025 | 2,297,735 | ||||||
15,021,189 | ||||||||
LODGING ― 1.2% | ||||||||
Marriott Ownership Resorts, Inc. (3) | ||||||||
6,880,000 | 6.125%, 9/15/2025 | 7,112,200 | ||||||
MANUFACTURING ― 8.0% | ||||||||
Boeing Co. (The) | ||||||||
15,821,000 | 4.508%, 5/1/2023 | 16,694,535 | ||||||
General Motors Co. | ||||||||
15,263,000 | 1.150% (3 month U.S. LIBOR + 0.900%) (4), 9/10/2021 | 15,264,319 | ||||||
United States Steel Corp. (3) | ||||||||
12,879,000 | 12.000%, 6/1/2025 | 13,729,014 | ||||||
45,687,868 | ||||||||
PIPELINES ― 0.1% | ||||||||
Energy Transfer Operating LP | ||||||||
1,043,000 | 3.269% (3 month U.S. LIBOR + 3.018%) (4), 11/1/2066 | 537,719 | ||||||
RETAIL TRADE ― 2.9% | ||||||||
Macy’s, Inc. (3) | ||||||||
15,801,000 | 8.375%, 6/15/2025 | 16,359,881 |
The accompanying notes are an integral part of these financial statements.
Bramshill Income Performance Fund |
Schedule of Investments (Unaudited) |
September 30, 2020 |
Principal | ||||||||
Amount | Value | |||||||
CORPORATE BONDS (Continued) | ||||||||
UTILITIES ― 0.4% | ||||||||
PPL Capital Funding, Inc. | ||||||||
2,996,000 | 2.885% (3 month U.S. LIBOR + 2.665%) (4), 3/30/2067 | $ | 2,367,431 | |||||
TOTAL CORPORATE BONDS | ||||||||
(Cost $113,336,835) | 117,021,825 | |||||||
U.S. GOVERNMENT NOTE ― 7.7% | ||||||||
United States Treasury Note (5) | ||||||||
44,254,000 | 2.625%, 11/15/2020 | 44,390,570 | ||||||
TOTAL U.S. GOVERNMENT NOTE | ||||||||
(Cost $44,309,107) | 44,390,570 |
Number of | ||||||||
Shares | Value | |||||||
CLOSED-END FUNDS ― 14.1% | ||||||||
792,797 | BlackRock Corporate High Yield Fund, Inc. | 8,467,072 | ||||||
100,510 | BlackRock Credit Allocation Income Trust | 1,429,252 | ||||||
103,339 | BlackRock Debt Strategies Fund, Inc. | 1,027,190 | ||||||
80,560 | BlackRock Limited Duration Income Trust | 1,185,038 | ||||||
85,838 | BlackRock Municipal Income Trust | 1,176,839 | ||||||
450,453 | BlackRock MuniVest Fund, Inc. | 3,909,932 | ||||||
54,932 | BlackRock MuniYield Quality Fund III, Inc. | 738,286 | ||||||
6,433 | Cohen & Steers Limited Duration Preferred and Income Fund, Inc. | 150,339 | ||||||
189,138 | Eaton Vance Municipal Bond Fund | 2,490,948 | ||||||
109,082 | First Trust High Income Long/Short Fund | 1,518,421 | ||||||
3,517 | First Trust Intermediate Duration Preferred & Income Fund | 75,581 | ||||||
13,119 | John Hancock Premium Dividend Fund | 163,332 | ||||||
498,115 | Invesco Municipal Opportunity Trust | 6,086,965 | ||||||
253,066 | Invesco Municipal Trust | 3,039,323 | ||||||
1,117,923 | Invesco Senior Income Trust | 4,091,598 | ||||||
401,669 | Invesco Trust for Investment Grade Municipals | 4,988,729 | ||||||
663,424 | Nuveen AMT-Free Quality Municipal Income Fund | 9,513,500 | ||||||
739,135 | Nuveen Credit Strategies Income Fund | 4,368,288 | ||||||
211,849 | Nuveen Preferred Income Opportunities Fund | 1,798,598 | ||||||
28,036 | Nuveen Preferred Securities Income Fund | 246,997 | ||||||
618,497 | Nuveen Quality Municipal Income Fund | 8,980,576 | ||||||
513,717 | Wells Fargo Income Opportunities Fund | 3,750,134 | ||||||
1,717,079 | Western Asset High Income Opportunity Fund, Inc. | 8,413,687 | ||||||
224,392 | Western Asset High Yield Defined Opportunity Fund, Inc. | 3,148,220 | ||||||
TOTAL CLOSED-END FUNDS | ||||||||
(Cost $82,909,113) | 80,758,845 |
The accompanying notes are an integral part of these financial statements.
Bramshill Income Performance Fund |
Schedule of Investments (Unaudited) |
September 30, 2020 |
Number of | ||||||||
Shares | Value | |||||||
EXCHANGE TRADED FUNDS ― 7.7% | ||||||||
992,682 | Invesco CEF Income Composite ETF | $ | 20,091,883 | |||||
520,197 | iShares Preferred & Income Securities ETF | 18,961,181 | ||||||
58,261 | iShares Short Maturity Bond ETF | 2,919,459 | ||||||
313,895 | Western Asset High Income Fund II, Inc. | 2,008,928 | ||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||||
(Cost $44,007,949) | 43,981,451 |
Contracts | Notional | Value | ||||||||||
PURCHASED OPTIONS ― 0.4% | ||||||||||||
31,003 | iShares 20+ Year Treasury Bond ETF at $160, October 16, 2020 | 506,154,978 | 2,263,219 | |||||||||
TOTAL PURCHASED OPTIONS | ||||||||||||
(Premiums Paid $4,260,637) | 2,263,219 | |||||||||||
Number of | ||||||||||||
Shares/Units | Value | |||||||||||
PREFERRED STOCKS ― 43.5% | ||||||||||||
BANKS ― 12.5% | ||||||||||||
Bank of New York Mellon Corp. Depositary Shares | ||||||||||||
4,759 | 4.700% (effective 9/20/2025, 5 Year TNCMR + 4.358%) (1), 9/20/2025 (6) | 5,061,197 | ||||||||||
Citizens Financial Group, Inc. Depositary Shares | ||||||||||||
383 | 4.194% (3 month U.S. LIBOR +3.960%) (1), 1/6/2021 (6) | 369,291 | ||||||||||
10,160 | 5.650% (effective 10/6/2025, 5 Year TNCMR + 5.313%) (1), 10/6/2025 (6) | 10,620,959 | ||||||||||
Fifth Third Bancorp Depositary Shares | ||||||||||||
4,477 | 4.500% (effective 9/30/2025, 5 Year TNCMR + 4.215%) (1), 9/30/2025 (6) | 4,516,174 | ||||||||||
GMAC Capital Trust I | ||||||||||||
308,822 | 8.125% (3 month U.S. LIBOR + 5.785%) (4), 2/15/2040 | 7,711,285 | ||||||||||
Huntington Bancshares Inc. Depositary Shares | ||||||||||||
15,620 | 5.625% (effective 7/15/2030, 10 Year TNCMR + 4.945%) (1), 7/15/2030 (6) | 17,221,050 | ||||||||||
Regions Financial Corp. Depositary Shares | ||||||||||||
10,946 | 5.750% (effective 9/15/2025, 5 Year TNCMR + 5.430%) (1), 6/15/2025 (6) | 11,712,220 | ||||||||||
Truist Financial Corp. Depositary Shares | ||||||||||||
13,203 | 5.100% (effective 9/1/2030, 10 Year TNCMR + 4.349%) (1), 3/1/2030 (6) | 14,304,790 | ||||||||||
71,516,966 | ||||||||||||
DIVERSIFIED BANKING INSTITUTIONAL ― 4.1% | ||||||||||||
American Express Co. Depositary Shares | ||||||||||||
3,469 | 3.708% (3 month U.S. LIBOR +3.428%) (1), 11/15/2020 (6) | 3,258,709 | ||||||||||
Bank of America Corp. | ||||||||||||
147,722 | 6.000%, 4/25/2021 (6) | 3,823,045 | ||||||||||
40,686 | 6.200%, 1/29/2021 (6) | 1,030,170 | ||||||||||
70,083 | 6.000%, 5/16/2023 (6) | 1,913,967 | ||||||||||
Citigroup, Inc. Depositary Shares | ||||||||||||
5,483 | 4.375% (3 month U.S. LIBOR +4.095%) (1), 11/15/2020 (6) | 5,365,307 | ||||||||||
4,209 | 4.700% (effective 1/30/2025, SOFR + 3.234%) (1), 1/30/2025 (6) | 4,074,838 |
The accompanying notes are an integral part of these financial statements.
Bramshill Income Performance Fund |
Schedule of Investments (Unaudited) |
September 30, 2020 |
Number of | ||||||||
Shares/Units | Value | |||||||
PREFERRED STOCKS (Continued) | ||||||||
DIVERSIFIED BANKING INSTITUTIONAL (Continued) | ||||||||
Wells Fargo & Co. Depositary Shares | ||||||||
59,010 | 4.750%, 3/15/2025 (6) | $ | 1,483,511 | |||||
49,431 | 5.700%, 3/15/2021 (6) | 1,265,928 | ||||||
61,589 | 6.000%, 12/15/2020 (6) | 1,560,665 | ||||||
23,776,140 | ||||||||
FINANCE AND INSURANCE ― 6.7% | ||||||||
AllianzGI Convertible & Income Fund | ||||||||
132,261 | 5.625%, 9/20/2023 (6)(7) | 3,459,948 | ||||||
Apollo Global Management, Inc. | ||||||||
110,269 | 6.375%, 3/15/2022 (6) | 2,855,967 | ||||||
Charles Schwab Corp. (The) Depositary Shares | ||||||||
13,056 | 5.375% (effective 6/1/2025, 5 Year TNCMR + 4.971%) (1), 6/1/2025 (6) | 14,179,469 | ||||||
Hartford Financial Services Group, Inc. (The) | ||||||||
189,788 | 7.875% (effective 4/15/2022, 3 month U.S. LIBOR + 5.596%) (1), 4/15/2042 | 5,251,434 | ||||||
JPMorgan Chase & Co. | ||||||||
12,256 | 6.150%, 12/1/2020 (6) | 311,057 | ||||||
3,905 | 6.100%, 12/1/2020 (6) | 98,914 | ||||||
MetLife, Inc. Depositary Shares | ||||||||
6,193 | 3.825% (3 month U.S. LIBOR +3.575%) (1), 11/2/2020 (6) | 6,080,752 | ||||||
PartnerRe Ltd. | ||||||||
57,607 | 7.250%, 4/29/2021 (6) | 1,483,380 | ||||||
Reinsurance Group of America, Inc. | ||||||||
190 | 6.200% (effective 9/15/2022, 3 month U.S. LIBOR + 4.370%) (1), 9/15/2042 | 4,960,900 | ||||||
38,681,821 | ||||||||
INFORMATION ― 0.6% | ||||||||
AT&T, Inc. | ||||||||
86,340 | 5.350%, 11/1/2066 | 2,281,966 | ||||||
47,340 | 5.625%, 8/1/2067 | 1,277,233 | ||||||
3,559,199 | ||||||||
INVESTMENT COMPANIES ― 4.5% | ||||||||
Ares Management Corp. | ||||||||
351,732 | 7.000%, 6/30/2021 (6) | 9,074,686 | ||||||
Oaktree Capital Group LLC | ||||||||
106,454 | 6.625%, 6/15/2023 (6) | 2,825,289 | ||||||
425,407 | 6.550%, 9/15/2023 (6) | 11,205,221 | ||||||
Stifel Financial Corp. | ||||||||
93,613 | 5.200%, 10/15/2047 | 2,544,401 | ||||||
25,649,597 |
The accompanying notes are an integral part of these financial statements.
Bramshill Income Performance Fund |
Schedule of Investments (Unaudited) |
September 30, 2020 |
Number of | ||||||||
Shares/Units | Value | |||||||
PREFERRED STOCKS (Continued) | ||||||||
PIPELINES ― 3.2% | ||||||||
Enbridge, Inc. | ||||||||
82,612 | 4.400% (effective 3/1/2024, 5 year TNCMR + 2.820%) (1), 3/1/2024 (6)(7) | $ | 1,305,270 | |||||
20,762 | 4.000% (effective 6/1/2023, 5 year TNCMR + 3.140%) (1), 6/1/2023 (6)(7) | 348,802 | ||||||
30,539 | 4.000% (effective 9/1/2022, 5 year TNCMR + 3.150%) (1), 9/1/2022 (6) | 470,239 | ||||||
42,478 | 4.000% (effective 6/1/2022, 5 year TNCMR + 3.050%) (1), 6/1/2022 (6) | 644,094 | ||||||
Energy Transfer Operating LP | ||||||||
309,418 | 7.600% (effective 5/15/2024, 3 month U.S. LIBOR + 5.161%) (1), 5/15/2024 (6) | 5,386,967 | ||||||
Energy Transfer Operating LP Depositary Shares | ||||||||
4,031 | 7.125% (effective 5/15/2030, 5 Year TNCMR + 5.306%) (1), 5/15/2030 (6) | 3,189,529 | ||||||
MPLX LP Depositary Shares | ||||||||
8,555 | 6.875% (effective 2/15/2023, 3 month U.S. LIBOR + 4.652%) (1), 2/15/2023 (6) | 7,057,427 | ||||||
18,402,328 | ||||||||
REAL ESTATE INVESTMENT TRUST ― 3.3% | ||||||||
AGNC Investment Corp. | ||||||||
480,659 | 6.125% (effective 4/15/2025, 3 month U.S. LIBOR + 4.697%) (1), 4/15/2025 (6) | 10,632,177 | ||||||
Annaly Capital Management, Inc. | ||||||||
369,417 | 6.750% (effective 6/30/2024, 3 month U.S. LIBOR + 4.989%) (1), 6/30/2024 (6) | 8,474,426 | ||||||
19,106,603 | ||||||||
UTILITIES ― 8.6% | ||||||||
Brookfield Renewable Partners LP | ||||||||
239,077 | 5.250%, 3/31/2025 (6) | 6,290,116 | ||||||
Duke Energy Corp. | ||||||||
163,982 | 5.750%, 6/15/2024 (6) | 4,507,865 | ||||||
Entergy Arkansas LLC | ||||||||
87,032 | 4.750%, 6/1/2063 | 2,186,244 | ||||||
155,751 | 4.900%, 12/1/2052 | 3,914,023 | ||||||
Entergy Louisiana LLC | ||||||||
98,082 | 4.875%, 9/1/2066 | 2,525,612 | ||||||
71,783 | 4.700%, 6/1/2063 | 1,810,367 | ||||||
Entergy Mississippi LLC | ||||||||
33,043 | 4.900%, 10/1/2066 | 843,257 | ||||||
Entergy New Orleans LLC | ||||||||
530 | 5.000%, 12/1/2052 | 13,431 | ||||||
National Rural Utilities Cooperative Finance Corp. | ||||||||
171,482 | 5.500%, 5/15/2064 | 4,666,025 | ||||||
Sempra Energy Depositary Shares | ||||||||
21,860 | 4.875% (effective 10/15/2025, 5 year TNCMR + 4.550%) (1), 10/15/2025 (6) | 22,515,800 | ||||||
49,272,740 | ||||||||
TOTAL PREFERRED STOCKS | ||||||||
(Cost $246,009,598) | 249,965,394 | |||||||
TOTAL INVESTMENTS ― 93.8% | ||||||||
(Cost $534,833,239) | 538,381,304 | |||||||
Other Assets in Excess of Liabilities ― 6.2% | 35,850,227 | |||||||
TOTAL NET ASSETS ― 100.0% | $ | 574,231,531 |
The accompanying notes are an integral part of these financial statements.
Bramshill Income Performance Fund |
Schedule of Investments (Unaudited) |
September 30, 2020 |
Floating Rate definitions:
LIBOR - London Inter-Bank Offered Rate
SOFR - U.S. Secured Overnight Financing Rate
TNCMR - Treasury Note Constant Maturity Rate
Percentages are stated as a percent of net assets.
(1) | Fixed to floating rate. Effective date of change and formula disclosed. Rate disclosed is as of September 30, 2020. |
(2) | Perpetual maturity security. Maturity date is the next call date |
(3) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and maybe sold in transactions exempt from registration only to qualified institutional buyers on a public offering registered under the Securities Act of 1933. The security has been deemed liquid by the advisor. At September 30, 2020, the value of these securities totaled $38,277,289 or 6.7% of net assets. |
(4) | Variable Rate security. Rates disclosed as of September 30, 2020 |
(5) | All or a portion of this security is pledged as collateral pursuant to the loan agreement. |
(6) | Callable at any dividend payment on or after date disclosed. |
(7) | These securities are illiquid at September 30, 2020, at which time the aggregate value of illiquid securities is $5,114,020 or 0.9% of net assets. |
The accompanying notes are an integral part of these financial statements.
Bramshill Income Performance Fund |
Statement of Assets and Liabilities (Unaudited) September 30, 2020 |
Assets: | ||||
Investments in securities at value (cost $534,833,239) | $ | 538,381,304 | ||
Cash | 36,497,340 | |||
Deposits with broker for futures contracts | 803,997 | |||
Receivables: | ||||
Investment securities sold | 957,365 | |||
Fund shares sold | 1,126,580 | |||
Dividends and interest | 4,347,382 | |||
Prepaid expenses | 18,722 | |||
Total assets | 582,132,690 | |||
Liabilities: | ||||
Payables: | ||||
Investment securities purchased | 1,659,883 | |||
Fund shares redeemed | 633,299 | |||
Distributions to shareholders | 255,051 | |||
Due to broker | 4,773,080 | |||
Due to Investment Adviser | 402,666 | |||
Accrued other expenses and other liabilities | 177,180 | |||
Total liabilities | 7,901,159 | |||
Net Assets | $ | 574,231,531 | ||
Components of Net Assets: | ||||
Paid-in capital | $ | 581,856,370 | ||
Total accumulated deficit | (7,624,839 | ) | ||
Net Assets | $ | 574,231,531 | ||
Institutional Class: | ||||
Net Assets | $ | 574,231,531 | ||
Shares Outstanding (unlimited number of shares authorized, no par value) | 57,285,461 | |||
Net Asset Value, Redemption Price and Offering Price Per Share | $ | 10.02 |
The accompanying notes are an integral part of these financial statements.
Bramshill Income Performance Fund |
Statement of Operations (Unaudited) |
For the Six Months Ended September 30, 2020 |
Investment Income: | ||||
Dividend income (Net of foreign tax of $17,374) | $ | 7,397,250 | ||
Interest income | 6,000,357 | |||
Total investment income | 13,397,607 | |||
Expenses: | ||||
Advisory fees (Note 3) | 2,345,138 | |||
Administration and fund accounting fees (Note 3) | 193,116 | |||
Service fees | 170,758 | |||
Transfer agent fees and expenses (Note 3) | 49,153 | |||
Registration fees | 30,628 | |||
Custody fees (Note 3) | 26,113 | |||
Shareholder reporting fees | 23,411 | |||
Legal fees | 12,162 | |||
Audit fees | 10,238 | |||
Investment Interest Expense | 8,296 | |||
Trustees' fees (Note 3) | 8,194 | |||
Compliance fees (Note 3) | 7,906 | |||
Miscellaneous expenses | 6,012 | |||
Insurance expenses | 3,843 | |||
Total expenses | 2,894,968 | |||
Net investment income | 10,502,639 | |||
Realized and Unrealized Gain (Loss) on Investments | ||||
Net realized gain (loss) on: | ||||
Investments | (3,452,685 | ) | ||
Written Options | 870,655 | |||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | 47,461,318 | |||
Net realized and unrealized gain on investments and written options | 44,879,288 | |||
Net increase in Net Assets Resulting from Operations | $ | 55,381,927 |
The accompanying notes are an integral part of these financial statements.
Bramshill Income Performance Fund |
Statements of Changes in Net Assets |
For the Six Months Ended September 30, 2020 | For the Year Ended March 31, 2020 | |||||||
(Unaudited) | ||||||||
Operations: | ||||||||
Net investment income | $ | 10,502,639 | $ | 15,615,881 | ||||
Net realized loss on investments, securities sold short, futures contracts and written options | (2,582,030 | ) | (1,833,156 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments and futures contracts | 47,461,318 | (47,397,079 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 55,381,927 | (33,614,354 | ) | |||||
Distributions to shareholders: | ||||||||
Net Investment Income | (10,102,943 | ) | (15,974,954 | ) | ||||
Return of Capital | — | (466,880 | ) | |||||
Total distributions to shareholders | (10,102,943 | ) | (16,441,834 | ) | ||||
Capital Transactions: | ||||||||
Proceeds from shares sold | 79,124,991 | 327,145,506 | ||||||
Reinvestment of distributions | 8,854,643 | 14,916,455 | ||||||
Cost of shares repurchased | (68,239,876 | ) | (184,359,325 | ) | ||||
Net increase in net assets from capital transactions | 19,739,758 | 157,702,636 | ||||||
Total Increase in Net Assets | 65,018,742 | 107,646,448 | ||||||
Net Assets: | ||||||||
Beginning of period | 509,212,789 | 401,566,341 | ||||||
End of period | $ | 574,231,531 | $ | 509,212,789 | ||||
Capital Share Transactions: | ||||||||
Shares sold | 7,989,389 | 32,682,413 | ||||||
Shares reinvested | 885,914 | 1,499,793 | ||||||
Shares repurchased | (6,953,689 | ) | (19,091,358 | ) | ||||
Net increase in shares outstanding | 1,921,614 | 15,090,848 |
The accompanying notes are an integral part of these financial statements.
Bramshill Income Performance Fund |
Financial Highlights Institutional Class |
For a capital share outstanding throughout each period presented
For the Six Months Ended September 30, 2020 (Unaudited) | For the Year Ended March 31, 2020 | For the Year Ended March 31, 2019 | For the Year Ended March 31, 2018 | For the Period April 11, 2016* through March 31, 2017 | ||||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.20 | $ | 9.97 | $ | 9.75 | $ | 10.24 | $ | 10.00 | ||||||||||
INCOME FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment income (1) | 0.19 | 0.31 | 0.37 | 0.35 | 0.22 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.81 | (0.76 | ) | 0.23 | (0.43 | ) | 0.24 | |||||||||||||
Total Income (Loss) from Investment Operations | 1.00 | (0.45 | ) | 0.60 | (0.08 | ) | 0.46 | |||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
Net investment income | (0.18 | ) | (0.31 | ) | (0.38 | ) | (0.36 | ) | (0.17 | ) | ||||||||||
Net realized gain on investments | — | — | — | (0.05 | ) | (0.05 | ) | |||||||||||||
Return of capital | — | (0.01 | ) | — | — | — | ||||||||||||||
Total Distributions | (0.18 | ) | (0.32 | ) | (0.38 | ) | (0.41 | ) | (0.22 | ) | ||||||||||
Net Asset Value, End of Period | $ | 10.02 | $ | 9.20 | $ | 9.97 | $ | 9.75 | $ | 10.24 | ||||||||||
Total Return | 10.90 | %(2) | (4.67 | %) | 6.24 | % | (0.85 | %)(4) | 4.63 | %(2)(4) | ||||||||||
SUPPLEMENTAL DATA AND RATIOS: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 574,232 | $ | 509,213 | $ | 401,566 | $ | 191,495 | $ | 140,624 | ||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
Before fees waived/recouped by the Adviser (5) | 1.05 | %(3) | 1.10 | % | 1.10 | % | 1.12 | % | 1.26 | %(3) | ||||||||||
After fees waived/recouped by the Adviser (5) | 1.05 | %(3) | 1.13 | % | 1.10 | % | 1.10 | % | 1.10 | %(3) | ||||||||||
Ratio of net investment income to average net assets | ||||||||||||||||||||
Before fees waived/recouped by the Adviser (6) | 3.81 | %(3) | 3.14 | % | 3.76 | % | 3.55 | % | 2.05 | %(3) | ||||||||||
After fees waived/recouped by the Adviser (6) | 3.81 | %(3) | 3.11 | % | 3.76 | % | 3.57 | % | 2.20 | %(3) | ||||||||||
Portfolio turnover rate | 50 | %(2) | 134 | % | 131 | % | 130 | % | 243 | %(2) |
* | Inception date. |
(1) | Per share amounts have been calculated using average shares method. |
(2) | Not Annualized. |
(3) | Annualized. |
(4) | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(5) | The ratios of expenses to average net assets include interest expenses. For the period ended September 30, 2020, excluding interest expenses, the ratio of expenses to average net assets before fees waived/recouped by the Adviser was 1.05%. Excluding interest expenses, the ratio of expenses to average net assets after fees waived/recouped by the Adviser was 1.05%. |
(6) | The ratios of net investment income to average net assets include interest expenses. For the period ended September 30, 2020, excluding interest expenses, the ratio of net investment income to average net assets before fees waived/recouped by the Adviser was 3.81%. Excluding interest expenses, the ratio of net investment income to average net assets after fees waived/recouped by the Adviser was 3.81%. |
The accompanying notes are an integral part of these financial statements.
Bramshill Income Performance Fund |
Notes to Financial Statements (Unaudited) |
September 30, 2020 |
Note 1 – Organization
Bramshill Income Performance Fund (the “Fund”) is a diversified series of Trust for Advised Portfolios (the “Trust”). The Trust, a Delaware Statutory Trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end investment management company. Bramshill Investments, LLC (the “Adviser”) serves as the investment manager to the Fund. The inception date of the Fund was April 11, 2016. The investment objective of the Fund is to maximize total return.
Note 2 – Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”) for investment companies. The Fund is considered an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies in the Financial Accounting Standards Board Accounting Standards Codification Topic 946. The presentation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the period reported. Actual results may differ from those estimates.
(a) Securities Valuation – Investments in securities traded on a national securities exchange are valued at the last reported sales price on the exchange on which the security is principally traded. Securities traded on the NASDAQ exchanges are valued at the NASDAQ Official Closing Price (“NOCP”). Exchange-traded securities for which no sale was reported and NASDAQ securities for which there is no NOCP are valued at the mean of the most recent quoted bid and ask prices. Unlisted securities held by the Fund are valued at the last sale price in the over-the-counter (“OTC”) market. If there is no trading on a particular day, the mean between the last quoted bid and ask price is used.
Fixed income securities are valued using prices provided by an independent pricing service approved by the Board of Trustees. Pricing services may use various valuation methodologies, including matrix pricing and other analytical models as well as market transactions and dealer quotations.
Futures contracts are valued at the settlement price on the exchange on which they are principally traded.
Exchange traded options are valued at the composite mean price, which calculates the mean of the highest bid price and lowest ask price across the exchanges where the option is principally traded. On the last trading day prior to expiration, expiring options may be priced at intrinsic value. For options where market quotations are not readily available, fair value shall be determined by the Adviser with oversight by the Trust’s Valuation Committee.
Bramshill Income Performance Fund |
Notes to Financial Statements (Unaudited) (Continued) |
September 30, 2020 |
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized into three broad levels and described below:
Level 1 - | quoted prices in active markets for identical securities. An active market for the security is a market in which transactions occur with sufficient frequency and volume to provide pricing information on an ongoing basis. A quoted price in an active market provides the most reliable evidence of fair value. |
Level 2 - | observable inputs other than quoted prices included in level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data. |
Level 3 - | significant unobservable inputs, including the Fund’s own assumptions in determining the fair value of investments. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the inputs used to fair value the Fund’s investments in each category investment type as of September 30, 2020:
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Corporate Bonds | $ | — | $ | 117,021,825 | $ | — | $ | 117,021,825 | ||||||||
U.S. Government Note | 44,390,570 | — | — | 44,390,570 | ||||||||||||
Closed-End Funds | 80,758,845 | — | — | 80,758,845 | ||||||||||||
Exchange Traded Funds | 43,981,451 | — | — | 43,981,451 | ||||||||||||
Purchased Options | — | 2,263,219 | — | 2,263,219 | ||||||||||||
Preferred Stocks | 115,483,684 | 134,481,710 | — | 249,965,394 | ||||||||||||
Total | $ | 284,614,550 | $ | 253,766,754 | $ | — | $ | 538,381,304 |
See the Schedule of Investments for further detail of investment classifications.
(b) Federal Income Taxes – The Fund has elected to be taxed as a Regulated Investment Company (“RIC”) under the U.S. Internal Revenue Code of 1986, as amended, and intends to maintain this qualification and to distribute substantially all net taxable income to its shareholders. Therefore, no provision is made for federal income taxes. Due to the timing of dividend distributions and the differences in accounting for income and realized gains and losses for financial statement and federal income tax purpose, the fiscal year in which amounts are distributed may differ from the year in which the income and realized gains and losses is recorded by the Fund.
Management of the Fund is required to analyze all open tax years, as defined by IRS statute of limitations for all major jurisdictions, including federal tax authorities and certain state authorities. As of and during the period ended September 30, 2020, the Fund did not have a liability for any unrecognized tax benefits. Generally, tax authorities can examine tax returns filed for the preceding three years. As of September 30, 2020, the tax years ended March 31, 2020, March 31, 2019 and March 31, 2018 remain subject to examination. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Bramshill Income Performance Fund |
Notes to Financial Statements (Unaudited) (Continued) |
September 30, 2020 |
(c) Return of capital estimates - Distributions received from the Fund’s investments in Real Estate Investment Trusts (“REITs”) are generally comprised of net investment income, capital gains, and return of capital. Certain of the Fund’s investments in Closed-End Funds (“CEFs”) also make distributions comprised of net investment income and return of capital. It is the policy of the Fund to estimate the character of distributions received from underlying REITs based on historical data provided by the REITs and distribution notices provided by CEFs. After each calendar year end, REITs and CEFs report the actual tax character of these distributions. Differences between the estimated and actual amounts reported are reflected in the Funds’ records in the year in which they are reported by adjusting related investment cost basis, capital gains and income, as necessary.
(d) Distributions to Shareholders – The Fund records distributions to shareholders, which are determined in accordance with income tax regulations, on the ex-dividend date. Distributions of net investment income, if any, are distributed monthly. The Fund intends to distribute all its net investment income including any cash received from its investments in CEFs and REITs, even if a portion may represent a return of capital. Net realized gains from investment transactions, if any, will be distributed to shareholders annually. The Fund may periodically make reclassifications among certain income and capital gains distributions determined in accordance with federal tax regulations, which may differ from GAAP. These reclassifications are due to differences in the recognition of income, expense and gain (loss) items for financial statement and tax purposes.
(e) Restricted securities – Restricted securities are securities that are not registered for sale under the Securities Act of 1933 or applicable foreign law and that may be re-sold only in transactions exempt from applicable registration. Restricted securities include Rule 144A securities which may be sold normally to qualified institutional buyers. As of September 30, 2020, the Fund had restricted securities, all of which were Rule 144A securities, with a market value of $38,227,289 or 6.7% of the Fund’s net assets.
(f) Cash – Concentration in Uninsured Cash – For cash management purposes the Fund may concentrate cash with the Fund’s custodian. This typically results in cash balances exceeding the Federal Deposit Insurance Corporation (“FDIC”) insurance limits. As of September 30, 2020, the Fund held $36,247,340 as cash reserves at U.S. Bank, N.A. (“U.S. Bank”) and $553,997 as deposits with broker at Wells Fargo Securities, LLC that exceeded the FDIC insurance limit.
(g) Restricted Cash – Deposits with Broker – At September 30, 2020, the Fund had $803,997 deposited at Wells Fargo Securities, LLC to utilize as collateral for futures trading. The Fund had no open futures positions as of September 30, 2020.
(h) Futures contracts – The Fund invests in futures to adjust its sensitivity to interest rate changes and to gain exposure to U.S. Treasury securities. Some over-the-counter derivative instruments may expose the Fund to the credit risk of its counterparty and may be more volatile than those of other instruments. While hedging strategies involving derivatives can reduce the risk of loss, they can also reduce the opportunity for gain or even result in losses by offsetting favorable price movements in other Fund investments.
Bramshill Income Performance Fund |
Notes to Financial Statements (Unaudited) (Continued) |
September 30, 2020 |
(i) Options Contracts - The Fund may write call and put options on securities, derivative instruments, or currencies. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked-to-market to reflect the current value of the option written. These liabilities are reflected as written options outstanding in the Statement of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Written options which are closed or exercised will result in a gain if the closing price of the underlying security is lower than the premium received. The Fund, as a writer of an option, has no control over whether the underlying security may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of said underlying security. The risk exists that the Fund may not be able to enter into a closing transaction because of an illiquid market.
The Fund purchases call and put options. The Fund pays a premium which is included in the Statement of Assets and Liabilities as an investment and subsequently marked-to-market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Purchasing options will result in a gain if the closing price of the transaction is higher than the premium paid. During the period ended September 30, 2020, the average number of options contracts held by the Fund was 15,502.
Derivative Investment Holdings Categorized by Risk Exposure – The following table sets forth the Fund’s realized and unrealized gain (loss), as reflected in the Statement of Operations, by primary risk exposure and by type of derivative contract for the period ended September 30, 2020:
Amount of Realized Gain (Loss) on Derivatives | ||||||||
Risk Exposure Category | Purchased Options | Written Options | ||||||
Equity | $ | (77,773 | ) | $ | 194,470 | |||
Interest rate | (3,249,965 | ) | 676,185 | |||||
Total | $ | (3,327,738 | ) | $ | 870,655 |
Change in Unrealized Gain on Derivatives | ||||
Risk Exposure Category | Purchased Options | |||
Interest rate | $ | (1,997,418 | ) | |
Total | $ | (1,997,418 | ) |
(j) Other – The Fund records security transactions based on trade date. Realized gains and losses on sales of securities are reported on the basis of identified cost of securities delivered. Dividend income and expense are recognized on the ex-dividend date, and interest income and expense are recognized on an accrual basis. Discounts and premiums on securities purchased are amortized over the lives of the respective securities using the effective yield method. Withholding taxes on foreign dividends have been provided for in accordance with the Trust’s understanding of the applicable country’s tax rules and rates. Trust-level expenses are allocated across the series of the Trust.
Bramshill Income Performance Fund |
Notes to Financial Statements (Unaudited) (Continued) |
September 30, 2020 |
Note 3 – Investment Management Agreement and Other Transactions with Affiliates
The Trust has an agreement with the Adviser to furnish investment advisory services to the Fund. Under the terms of this agreement, the Fund will pay the Adviser a monthly fee based on the Fund’s average daily net assets at annual rate of 0.85%. Pursuant to a contractual fee waiver and reimbursement agreement, the Adviser will waive/reimburse the Fund for expenses in excess of 1.10% of average daily net assets for Institutional Class shares, excluding taxes, interest charges, litigation and other extraordinary expenses, acquired fund fees and expenses, interest and expense relating to short sales, borrowing costs, and brokers’ commissions, and other charges relating to the purchase and sale of the Fund’s portfolio securities. The Fund incurred $2,345,138 for Advisory fees during the period ended September 30, 2020.
The Adviser is permitted to recapture amounts waived and/or reimbursed to a Fund within three years if the Fund’s total annual operating expenses have fallen to a level below the expense limitation (“expense cap”) in effect at the time the fees were earned or the expenses incurred. In no case will the Adviser recapture any amount that would result, on any particular business day of the Fund, in the Fund’s total annual operating expenses exceeding the expense cap or any other lower limit then in effect.
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as the Fund’s administrator and fund accountant and transfer agent. The officers of the Trust are employees of Fund Services. U.S. Bank serves as the Fund’s custodian and provides compliance services to the Funds. Quasar Distributors, LLC (“Quasar” or the “Distributor”) acts as the Fund’s distributor and principal underwriter. For the period ended September 30, 2020, the Fund incurred the following expenses for administration and fund accounting, compliance, custody and transfer agency fees:
Administration and fund accounting | $ | 193,116 | ||
Compliance Service | 7,906 | |||
Custody | 26,113 | |||
Transfer Agency | 49,153 |
At September 30, 2020, the Fund had payables due to Fund Services for administration and fund accounting, compliance, custody and transfer agency fees to U.S. Bank in the following amounts:
Administration and fund accounting | $ | 56,091 | ||
Compliance Services | 2,823 | |||
Custody | 15,377 | |||
Transfer Agency | 17,292 |
Bramshill Income Performance Fund |
Notes to Financial Statements (Unaudited) (Continued) |
September 30, 2020 |
The above payable amounts are included in Accrued other expenses and other liabilities in the Statement of Assets and Liabilities.
The Independent Trustees were paid $8,194 for their services and reimbursement of travel expenses during the period ended September 30, 2020. The Fund pays no compensation to the Interested Trustee or officers of the Trust.
Note 4 – Control Ownership
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumption of control of the fund under 2(a)(9) of the 1940 Act. As of September 30, 2020, Charles Schwab & Company, Inc. and UBS Financial Services, Inc. held approximately 32% and 25%, respectively, in aggregate for the benefit of others, of the outstanding shares of the Fund.
Note 5 – Investment Transactions
Purchases and sales of investment securities (excluding short-term securities and U.S. government obligations) for the period ended September 30, 2020, were as follows:
Purchases | $ | 388,694,493 | |||
Sales | $ | 213,445,415 |
Note 6 – Federal Income Tax Information
At March 31, 2020, gross unrealized appreciation and depreciation on investments, based on cost for federal income tax purposes, and the accumulated deficit were as follows:
Tax Cost of Investments | $ | 467,438,798 | ||
Unrealized Appreciation | 3,244,838 | |||
Unrealized Depreciation | (56,148,661 | ) | ||
Net Unrealized Depreciation on Investments | (52,903,823 | ) | ||
Total Accumulated Deficit | $ | (52,903,823 | ) |
The difference between book basis and tax basis unrealized appreciation/depreciation is attributable in part to the tax deferral of losses on wash sales, and basis adjustments on investments in limited partnerships.
Bramshill Income Performance Fund |
Notes to Financial Statements (Unaudited) (Continued) |
September 30, 2020 |
The tax character of distributions paid during the six months ended September 30, 2020, and the year ended March 31, 2020 were as follows:
Period Ended | Year Ended | |||||||
Distributions Paid From: | September 30, 2020 | March 31, 2020 | ||||||
Ordinary Income | $ | 10,102,943 | $ | 15,974,954 | ||||
Return of Capital | — | 466,880 | ||||||
Total Distributions Paid | $ | 10,102,943 | $ | 16,441,834 |
The Fund is required, in order to meet certain excise tax requirements, to measure and distribute annually, net capital gains realized during the twelve month period ending October 31. In connection with this requirement, the Fund is permitted, for tax purposes, to defer into its next fiscal year any net capital losses incurred from November 1 through the end of the fiscal year. Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. As of March 31, 2020, the Fund had no late-year or post-October losses.
At March 31, 2020, the Fund had no capital loss carryforwards, which reduce the Fund’s taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code, and thus will reduce the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal tax.
Note 7 – Commitments and Contingencies
In the normal course of business, the Fund enters into contracts that provide general indemnifications by the Fund to the counterparty to the contract. The Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against the Fund and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote.
Note 8 – Line of Credit
The Fund has access to a $25 million unsecured line of credit through an agreement with U.S. Bank. The Fund may temporarily draw on the line of credit to satisfy redemption requests or to settle investment transactions. Interest is charged to the Fund based on its borrowings at a rate per annum equal to the Prime Rate, to be paid monthly. Loan activity for the period ended September 30, 2020, was as follows:
Maximum Available Credit | $ | 25,000,000 | ||
Largest Amount Outstanding on an Individual Day | 767,000 | |||
Average Daily Loan Outstanding | 767,000 | |||
Interest Expense – 1 day | 69 | |||
Loan Outstanding as of September 30, 2020 | — | |||
Average Interest Rate | 3.25 | % |
Bramshill Income Performance Fund |
Notes to Financial Statements (Unaudited) (Continued) |
September 30, 2020 |
Note 9 – Securities Lending
The Fund may lend up to 33 1/3% of the securities in its portfolios to brokers, dealers, and other financial organizations that meet capital and other credit requirements under terms of participation in a securities lending program administered by U.S. Bank N.A. The securities lending agreement requires that loans are collateralized at all times in an amount equal to at least 102% of the market value of the securities loaned. The Fund has the right under the terms of the lending agreement to recall the securities from the borrower on demand.
The borrower of any securities will pay the Fund any accrued income while the securities are on loan. The cash collateral received is invested in a money market fund which is redeemable on demand. There are certain risks associated with securities lending, including the risk that the borrower may fail to return the securities on a timely basis or even the loss of rights in the collateral deposited by the borrower, if the borrower should fail financially. As a result the Fund may lose money.
As of September 30, 2020, the Fund had no securities on loan. The fees and interest income earned through the securities lending program are reflected in the Statement of Operations.
The Fund manages credit exposure arising from these lending transactions by, in appropriate circumstances, entering into master netting agreements and collateral agreements with third party borrowers that provide the Fund, in the event of default (such as bankruptcy or a borrower’s failure to pay or perform), the right to net a third party borrower’s rights and obligations under such agreement and liquidate and set off collateral against the net amount owed by the counterparty.
Note 10 – Subsequent Events
In preparing these financial statements, the Fund has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were available to be issued. Subsequent to the year end, the Fund has made the following distributions per share:
Record Date | Payable Date | Distributions |
10/29/2020 | 10/30/2020 | $ 0.03345732 |
Note 11 – COVID-19 Risk
The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The operational and financial performance of the issuers of securities in which the Fund invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance.
Bramshill Income Performance Fund |
Notes to Financial Statements (Unaudited) (Continued) |
September 30, 2020 |
Note 12 – New Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update No. 2017-08 (“ASU 2017-08”), “Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities.” ASU 2017-08 changed the amortization period for certain callable debt securities held at a premium. Specifically, it requires the premium to be amortized to the earliest call date. The Fund has adopted the provisions of ASU 2017-08 and has concluded that the change in accounting principle does not materially impact the financial statement amounts.
In March 2020, FASB issued ASU 2020-04, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The main objective of the new guidance is to provide relief to companies that will be impacted by the expected change in benchmark interest rates at the end of 2021, when participating banks will no longer be required to submit London Interbank Offered Rate (“LIBOR”) quotes by the UK Financial Conduct Authority. The new guidance allows companies to, provided the only change to existing contracts are a change to an approved benchmark interest rate, account for modifications as a continuance of the existing contract without additional analysis. In addition, derivative contracts that qualified for hedge accounting prior to modification, will be allowed to continue to receive such treatment, even if critical terms change due to a change in the benchmark interest rate. For new and existing contracts, the Fund may elect to apply the amendments as of March 12, 2020 through December 31, 2022. Management is currently assessing the impact of the ASU’s adoption to the Fund’s consolidated financial statements and various filings.
Bramshill Income Performance Fund |
Additional Information (Unaudited) |
September 30, 2020 |
Quarterly Portfolio Schedule
The Fund files its complete schedule of portfolio holdings for the first and third quarters of each fiscal year with the SEC on Part F of Form N-PORT. The Fund’s Form N-PORT is available without charge by visiting the SEC’s Web site at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. You may obtain information on the operation of the Public Reference Room by calling (800) SEC-0330.
Proxy Voting
You may obtain a description of the Fund’s proxy voting policy and voting records, without charge, upon request by contacting the Fund directly at 1-877-BRAMS18 or on the EDGAR Database on the SEC’s website at www.sec.gov. The Fund files its proxy voting records annually as of June 30, with the SEC on Form N-PX. The Fund’s Form N-PX is available without charge by visiting the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. You may obtain information on the operation of the Public Reference Room by calling 1-800-SEC-0330.
Statement Regarding Liquidity Risk Management Program
The Fund has adopted a liquidity risk management program. The Fund’s Board has designated the Operational Risk Committee (“Committee”) of the Adviser to serve as the administrator of the program. The Committee conducts the day-to-day operation of the program pursuant to policies and procedures administered by the Committee.
Under the program, the Committee manages the Fund’s liquidity risk, which is the risk that the Fund could not meet shareholder redemption requests without significant dilution of remaining shareholders’ interests in the Fund. This risk is managed by monitoring the degree of liquidity of the Fund’s investments, limiting the amount of the Fund’s illiquid investments, and utilizing various risk management tools and facilities available to the Fund for meeting shareholder redemptions, among other means. The Committee’s process of determining the degree of liquidity of the Fund’s investments is supported by one or more third-party liquidity assessment vendors.
The Fund’s Board reviewed a report prepared by the Committee regarding the operation and effectiveness of the program for the period June 1, 2019 through December 31, 2019. No liquidity events impacting the Fund were noted in the report. In addition, the Committee provided its assessment that the program had been effective in managing the Fund’s liquidity risk.
Bramshill Income Performance Fund |
Additional Information (Unaudited) (Continued) |
September 30, 2020 |
Approval of Investment Advisory Agreement
At a meeting held on August 13 and 14, 2020, the Board of Trustees (the “Board”) of Trust for Advised Portfolios (the “Trust”), including all Trustees who are not “interested persons” of the Trust (“Independent Trustees”), as that term is defined in the Investment Company Act of 1940, considered and approved the continuance of the investment advisory agreement (“Advisory Agreement”) with Bramshill Investments, LLC (the “Adviser”), for the Bramshill Income Performance Fund (the “Fund”).
Ahead of the August meeting, the Board received and reviewed substantial information regarding the Fund, the Adviser and the services provided by the Adviser to the Fund under the Advisory Agreement. This information formed the primary (but not exclusive) basis for the Board’s determinations. The information prepared specifically for the annual review of the Advisory Agreement supplemented the information provided to the Board and its committees throughout the year. The Board and its committees met regularly during the year and the information provided and topics discussed at such meetings were relevant to the review of the Advisory Agreement. Some of these reports and other data included, among other things, materials that outlined the investment performance of the Fund; compliance, regulatory, and risk management matters; the trading practices of the Adviser; valuation of investments; fund expenses; and overall market and regulatory developments. The Trustees considered the review of the Advisory Agreement to be an ongoing process and employed the accumulated information, knowledge, and experience they had gained during their tenure on the Board governing the Fund and working with the Adviser in their review of the Advisory Agreement. The Independent Trustees were advised by independent legal counsel during the annual review process as well as throughout the year, including meeting in executive sessions with such counsel without representatives from the Adviser present. In connection with their annual review, the Independent Trustees also received a memorandum from independent legal counsel outlining their fiduciary duties and legal standards in reviewing the Advisory Agreement.
In considering the continuance of the Advisory Agreement, the Board considered the following factors and made the following determinations. In its deliberations, the Board did not identify any single factor or piece of information as all important, controlling, or determinative of its decision, and each Trustee may have attributed different weights to the various factors and information.
• | In considering the nature, extent and quality of the services provided by the Adviser, the Trustees considered the Adviser’s specific responsibilities in all aspects of the day-to-day management of the Fund, as well as the qualifications, experience and responsibilities of the portfolio managers and other key personnel who are involved in the day-to-day activities of the Fund. The Board also considered the Adviser’s resources and compliance structure of, including information regarding its compliance program, chief compliance officer and compliance record and its disaster recovery/business continuity plan, including how the Adviser has operated through the COVID-19 pandemic. The Board also considered the existing relationship between the Adviser and the Trust, as well as the Board’s knowledge of the Adviser’s operations, and noted that during the August meeting it met with the Adviser to discuss fund performance and investment outlook, as well as various marketing and compliance topics, including the Adviser’s risk management process. The Board concluded that the Adviser had sufficient quality and depth of personnel, resources, investment methods and compliance policies and procedures essential to performing its duties under the Advisory Agreement and that, in the Board’s view, the nature, overall quality, and extent of the management services provided were and would continue to be satisfactory and reliable. |
Bramshill Income Performance Fund |
Additional Information (Unaudited) (Continued) |
September 30, 2020 |
• | In assessing the quality of the portfolio management delivered by the Adviser, the Board reviewed the performance of the Fund on both an absolute basis and in comparison to its peer group, relevant benchmark index, and a comparable composite of accounts managed by the Adviser. The Board considered that the Fund had outperformed relative to its peer median and average for the year-to-date, one- and three-year periods as of June 30, 2020. The Board also noted that the Fund had outperformed relative to the Adviser’s composite for the one- and three-year periods, but had underperformed relative to its benchmark. The Board noted that the Fund had only slightly more than four years of performance results. |
• | The Trustees also reviewed the cost of the Adviser’s services, and the structure and level of advisory fee payable by the Fund, including a comparison of the fee to fees payable by a peer group of funds. The Board noted that the Adviser had contractually agreed to maintain an annual expense cap for each of the Fund’s classes and that the Fund was currently operating below the expense caps. The Board noted that, although the Fund’s advisory fee and net expense ratio were higher than the peer group median and average, both were well within the peer group range. After reviewing the materials that were provided, the Trustees noted that the fee to be received by the Adviser was within the range of advisory fees charged to comparable funds and concluded that such fee was fair and reasonable. |
• | The Trustees considered whether, based on the asset size of the Fund, economies of scale had been achieved. The Board also considered the Adviser’s commitment to maintain the caps on Fund expenses and that the Fund was currently operating below the expense caps. The Board further considered the Adviser’s plans to enhance the firm’s operations and capabilities through reinvestment in its business. The Trustees concluded that they will have the opportunity to periodically reexamine whether economies of scale have been achieved as Fund assets grow. |
• | The Trustees considered the profitability of the Adviser from managing the Fund. In assessing the Adviser’s profitability, the Trustees reviewed the financial information that was provided in the August meeting materials and took into account both direct and indirect benefits to the Adviser from managing the Fund. The Trustees concluded that the Adviser’s profits from managing the Fund were not excessive and, after a review of the relevant financial information, that the Adviser appeared to have adequate capitalization and/or would maintain adequate profit levels to support the Fund. |
The Fund collects non-public information about you from the following sources:
• Information we receive about you on applications or other forms;
• Information you give us orally; and/or
• Information about your transactions with us or others.
We do not disclose any non-public personal information about our customers or former customers without the customer’s authorization, except as permitted by law or in response to inquiries from governmental authorities. We may share information with affiliated and unaffiliated third parties with whom we have contracts for servicing the Fund. We will provide unaffiliated third parties with only the information necessary to carry out their assigned responsibilities. We maintain physical, electronic and procedural safeguards to guard your non-public personal information and require third parties to treat your personal information with the same high degree of confidentiality.
In the event that you hold shares of the Fund through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your non-public personal information would be shared by those entities with unaffiliated third parties.
Investment Adviser
Bramshill Investments, LLC
411 Hackensack Avenue, 9th Floor
Hackensack, New Jersey 07601
Distributor
Quasar Distributors, LLC
111 East Kilbourn Ave. Suite 2200
Milwaukee, Wisconsin 53202
Custodian
U.S. Bank National Association
Custody Operations
1555 North River Center Drive, Suite 302
Milwaukee, Wisconsin 53212
Transfer Agent, Fund Accountant and Fund Administrator
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, Wisconsin 53202
Independent Registered Public Accounting Firm
BBD, LLP
1835 Market Street, 3rd Floor
Philadelphia, Pennsylvania 19103
Legal Counsel
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
(a) | The Registrant’s President and Treasurer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting |
(a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not applicable for semi-annual reports. |
(b) | Certifications pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002. Furnished herewith. |