Merger Fund VL NPORT-P Merger Fund VL (Sep 2021 report)

The Merger Fund VL
SCHEDULE OF INVESTMENTS
September 30, 2021 (Unaudited)
	Shares					Value
LONG INVESTMENTS - 97.26%
COMMON STOCKS - 50.38%
AEROSPACE & DEFENSE - 1.30%
Aerojet Rocketdyne Holdings, Inc.		17,474				$	760,993
APPLICATION SOFTWARE - 0.56%
Five9, Inc. (a)		2,041					326,029
BIOTECHNOLOGY - 0.94%
Acceleron Pharma, Inc. (a)		1,334					229,581
Molecular Partners AG - ADR (a)		150					2,959
Trillium Therapeutics, Inc. - ADR (a)		18,092					317,696
							550,236
CAPITAL MARKETS - 0.01%
MarketWise, Inc. (a)		565					4,667
CHEMICALS - 1.20%
Atotech Ltd. - ADR (a)		17,854					431,174
Ferro Corporation (a)		13,354					271,621
							702,795
COMMERCIAL SERVICES- FINANCE - 0.01%
Moneylion, Inc. (a)		527					3,568
COMMERICAL BANKS - 0.13%
Flagstar Bancorp, Inc.		1,466					74,444
CONSTRUCTION MATERIALS - 0.46%
Forterra, Inc. (a)		11,406					268,725
DIVERSIFIED METALS & MINING - 1.98%
BHP Group plc - ADR		22,800					1,155,732
ELECTRIC UTILITIES - 1.19%
PNM Resources, Inc.		14,029					694,155
ELECTRONIC EQUIPMENT & INSTRUMENTS - 4.45%
Coherent, Inc. (a)		10,399					2,600,686
ENTERTAINMENT - 0.57%
MGM Holdings, Inc. (a)(g)		1,792					240,128
Sciplay Corporation (a)		4,387					90,767
							330,895
FOOD PRODUCTS - 1.56%
Sanderson Farms, Inc.		4,850					912,770
HEALTH CARE EQUIPMENT & SUPPLIES - 1.69%
Hill-Rom Holdings, Inc.		6,170					925,500
Intersect ENT, Inc. (a)		2,295					62,424
							987,924
HEALTH CARE PROVIDERS & SERVICES - 0.03%
ATI Physical Therapy, Inc. (a)		4,111					15,622
HEALTH CARE TECHNOLOGY - 1.27%
Change Healthcare, Inc. (a)		23,341					488,761
Convey Holding Parent, Inc. (a)		200					1,680
Inovalon Holdings, Inc. (a)		6,246					251,651
							742,092
HUMAN RESOURCES & EMPLOYMENT SERVICES - 0.64%
51job, Inc. - ADR (a)		5,403					375,671
INTERNET & DIRECT MARKETING RETAIL - 1.04%
Stamps.com, Inc. (a)		1,847					609,122
IT SERVICES - 0.06%
Afterpay Ltd. - ADR (a)		429					37,636
LIFE & HEALTH INSURANCE - 2.40%
Athene Holding Ltd. - ADR (a)		20,341					1,400,885
LIFE SCIENCES TOOLS & SERVICES - 3.61%
PPD, Inc. (a)(e)		45,007					2,105,878
MACHINERY - 0.83%
Welbilt, Inc. (a)		20,750					482,230
MULTI-LINE INSURANCE - 0.59%
The Hartford Financial Services Group, Inc. (j)		4,881					342,890
NON-HAZARDOUS WASTE DISPOSAL - 0.24%
Covanta Holding Corporation		7,094					142,731
OIL, GAS & CONSUMABLE FUELS - 0.01%
Cimarex Energy Company		57					4,970
PAPER & FOREST PRODUCTS - 0.67%
Domtar Corporation (a)		7,210					393,233
PHARMACEUTICALS - 0.14%
Tilray, Inc. (a)		1,251					14,120
TPCO Holding Corporation - ADR (a)		20,481					65,334
							79,454
RAILROADS - 4.14%
Kansas City Southern		8,930					2,416,815
REGIONAL BANKS - 0.77%
Cadence BanCorporation (a)		20,354					446,974
REITs - 0.18%
Columbia Property Trust, Inc.		5,647					107,406
RESEARCH & CONSULTING SERVICES - 5.56%
IHS Markit Ltd. - ADR (e)		27,868					3,249,966
RETAIL-AUTOMOBILE - 0.13%
Cazoo Group Ltd. - ADR (a)		9,385					72,921
SEMICONDUCTORS - 4.69%
Advanced Micro Devices, Inc. (a)		1,007					103,620
Magnachip Semiconductor Corporation (a)		7,677					136,344
Xilinx, Inc. (e)		16,565					2,501,149
							2,741,113
SOFTWARE - 6.87%
Cloudera, Inc. (a)		63,929					1,020,946
Medallia, Inc. (a)		8,528					288,843
Nuance Communications, Inc. (a)		49,110					2,703,015
Zeta Global Holdings Corporation (a)		100					586
							4,013,390
SPECIALTY STORES - 0.46%
Sportsman's Warehouse Holdings, Inc. (a)(j)		15,402					271,075
TOTAL COMMON STOCKS (Cost $28,709,503)							29,425,693
	Shares/Units
SPECIAL PURPOSE ACQUISITION COMPANIES - 13.17% (a)
26 Capital Acquisition Corporation		1,800					18,108
890 5th Avenue Partners, Inc. Class A		4,998					49,530
Accelerate Acquisition Corporation Class A		9,000					87,570
ACE Convergence Acquisition Corporation Class A - ADR		17,419					172,622
Altimar Acquisition Corporation III - ADR (f)		2,313					23,014
Altimeter Growth Corporation 2 Class A - ADR		5,893					58,282
Anzu Special Acquisition Corporation I		200					1,980
Apollo Strategic Growth Capital Class A - ADR		14,346					140,017
Archimedes Tech SPAC Partners Company		187					1,861
Ares Acquisition Corporation - ADR		1,950					19,305
Arrowroot Acquisition Corporation Class A		7,864					76,281
Artemis Strategic Investments Corporation		4,015					40,270
Atlas Crest Investment Corporation II		1,450					14,485
Austerlitz Acquisition Corporation I - ADR		756					7,764
Austerlitz Acquisition Corporation I Class A - ADR		10,772					107,074
Austerlitz Acquisition Corporation II - ADR		900					8,865
Authentic Equity Acquisition Corporation - ADR		400					4,012
Avanti Acquisition Corporation Class A - ADR		8,716					85,330
BlueRiver Acquisition Corporation - ADR		150					1,492
Bright Lights Acquisition Corporation Class A		386					3,760
Build Acquisition Corporation		1,053					10,530
Burgundy Technology Acquisition Corporation - ADR		857					8,759
Burgundy Technology Acquisition Corporation Class A - ADR		14,707					146,335
Capstar Special Purpose Acquisition Corporation Class A		5,895					58,478
CC Neuberger Principal Holdings II Class A - ADR		9,734					95,588
CC Neuberger Principal Holdings III - ADR		1,500					14,925
Cerberus Telecom Acquisition Corporation Class A - ADR (g)		5,345					53,343
CF Acquisition Corporation VI		900					8,865
CF Acquisition Corporation VIII		3,028					30,704
CHP Merger Corporation (f)		1,828					18,609
CHP Merger Corporation Class A		4,376					43,848
CIIG Capital Partners II, Inc.		4,645					46,822
Class Acceleration Corporation (f)		150					1,485
Climate Real Impact Solutions Acquisition Corporation II		68					677
Climate Real Impact Solutions Acquisition Corporation II Class A		89					870
CM Life Sciences III, Inc.		4,805					47,666
Cohn Robbins Holdings Corporation Class A - ADR		15,588					153,074
Colicity, Inc. Class A		5,272					52,298
Colonnade Acquisition Corporation II - ADR		1,000					9,700
Compute Health Acquisition Corporation		5,691					56,967
Conx Corporation Class A		8,816					86,397
Corner Growth Acquisition Corporation - ADR		2,686					26,833
COVA Acquisition Corporation - ADR		2,301					22,872
D & Z Media Acquisition Corporation (f)		2,350					23,312
Decarbonization Plus Acquisition Corporation II		500					5,160
Decarbonization Plus Acquisition Corporation III Class A		1,044					10,492
Deep Lake Capital Acquisition Corporation Class A - ADR		4,760					46,362
DFP Healthcare Acquisitions Corporation Class A		4,763					47,249
Dragoneer Growth Opportunities Corporation II Class A - ADR		7,915					78,754
E.Merge Technology Acquisition Corporation Class A		16,998					166,920
East Stone Acquisition Corporation - ADR		2,087					21,287
ECP Environmental Growth Opportunities Corporation Class A		10,151					100,292
EdtechX Holdings Acquisition Corporation II Class A		1,074					10,719
Elliott Opportunity Corporation II - ADR		1,118					11,314
Elliott Opportunity Corporation II Class A - ADR		5,998					58,421
Environmental Impact Acquisition Corporation Class A		3,175					31,401
Equity Distribution Acquisition Corporation Class A		24,951					245,019
ESM Acquisition Corporation - ADR		933					9,265
Eucrates Biomedical Acquisition Corporation - ADR		13					127
FinServ Acquisition Corporation II		100					986
FinTech Acquisition Corporation VI		2,838					28,380
Fintech Evolution Acquisition Group - ADR		5,096					50,348
FirstMark Horizon Acquisition Corporation (f)		4,182					42,447
Foresight Acquisition Corporation Class A		131					1,292
Fortress Capital Acquisition Corporation Class A - ADR		4,915					48,069
Frazier Lifesciences Acquisition Corporation - ADR (f)		1,900					18,734
FTAC Athena Acquisition Corporation Class A - ADR		4,128					40,785
FTAC Hera Acquisition Corporation - ADR		2,134					21,255
FTAC Parnassus Acquisition Corporation Class A		2,903					28,304
Fusion Acquisition Corporation II		3,000					29,160
G Squared Ascend I, Inc. - ADR		4,210					42,353
G Squared Ascend I, Inc. Class A - ADR		2,363					23,311
G Squared Ascend II, Inc. - ADR		2,391					24,030
GigCapital4, Inc.		5,962					58,785
Goal Acquisitions Corporation		8,032					78,071
Golden Falcon Acquisition Corporation Class A		4,958					48,340
Gores Holdings VIII, Inc.		68					668
Gores Technology Partners II, Inc. Class A		678					6,631
Gores Technology Partners, Inc. Class A		1,961					19,257
Graf Acquisition Corporation IV		3,041					30,045
GS Acquisition Holdings Corporation II Class A		10,001					102,210
Haymaker Acquisition Corporation III (f)		4,762					47,001
Healthcare Services Acquisition Corporation Class A		6,430					62,564
Hennessy Capital Investment Corporation V		100					1,016
Highland Transcend Partners Corporation I - ADR		50,169					524,266
Horizon Acquisition Corporation II Class A - ADR		2,594					25,421
Hudson Executive Investment Corporation II		200					1,988
Independence Holdings Corporation - ADR		1,500					14,955
InterPrivate II Acquisition Corporation (f)		897					8,862
InterPrivate III Financial Partners, Inc. Class A		895					8,865
InterPrivate IV InfraTech Partners, Inc.		231					2,279
Investindustrial Acquisition Corporation Class A - ADR		2,933					29,125
Isleworth Healthcare Acquisition Corporation		2,066					20,309
Jack Creek Investment Corporation - ADR		1,500					15,075
Jaws Hurricane Acquisition Corporation Class A (f)		700					6,804
Jaws Juggernaut Acquisition Corporation - ADR (f)		4,066					40,660
Jaws Mustang Acquisition Corporation - ADR		600					6,024
Jaws Mustang Acquisition Corporation Class A - ADR		4,067					39,694
Khosla Ventures Acquisition Company		1,672					16,503
Khosla Ventures Acquisition Company III Class A		5,273					51,675
Kismet Acquisition Three Corporation Class A - ADR		2,625					25,567
KKR Acquisition Holdings Corporation I		5,844					58,323
KL Acquisition Corporation Class A		12,891					125,945
KludeIn I Acquisition Corporation (f)		3,000					30,030
L Catterton Asia Acquisition Corporation Class A - ADR		963					9,370
Landcadia Holdings IV, Inc. Class A		5,988					58,323
Lerer Hippeau Acquisition Corporation Class A (f)		2,901					28,227
Lionheart Acquisition Corporation II Class A		5,904					58,538
Live Oak Crestview Climate Acquisition Corporation		5,937					58,242
Longview Acquisition Corporation II Class A		6,305					62,356
M3-Brigade Acquisition Corporation II Class A		4,818					47,746
Macondray Capital Acquisition Corporation I - ADR		2,600					25,948
Magnum Opus Acquisition Ltd. Class A - ADR		1,148					11,354
Marlin Technology Corporation Class A - ADR		9,417					91,910
Marquee Raine Acquisition Corporation Class A - ADR		790					7,892
Mason Industrial Technology, Inc.		2,774					27,601
Montes Archimedes Acquisition Corporation Class A (g)		2,900					28,942
Motive Capital Corporation Class A - ADR		13,200					130,680
The Music Acquisition Corporation		2,750					27,610
New Vista Acquisition Corporation Class A - ADR (f)		1,051					10,226
Newbury Street Acquisition Corporation (f)		838					8,254
NextGen Acquisition Corporation II Class A - ADR		2,865					28,392
Noble Rock Acquisition Corporation - ADR (f)		300					2,970
Northern Genesis Acquisition Corporation II		200					2,052
Northern Genesis Acquisition Corporation III Class A (f)		1,260					12,235
Novus Capital Corporation II		400					4,108
Pathfinder Acquisition Corporation Class A - ADR		5,310					52,463
Peridot Acquisition Corporation II - ADR		2,500					24,650
Peridot Acquisition Corporation II Class A - ADR		1,653					16,051
Pershing Square Tontine Holdings Ltd. Class A		1,863					36,701
Pioneer Merger Corporation Class A - ADR		10,362					102,895
Pivotal Investment Corporation III		852					8,418
Pontem Corporation Class A - ADR		6,744					65,484
Post Holdings Partnering Corporation Class A		5,767					55,594
Power & Digital Infrastructure Acquisition Corporation		100					1,078
Prime Impact Acquisition I - ADR (f)		57					564
Prime Impact Acquisition I Class A - ADR		6,492					63,751
Progress Acquisition Corporation		65					650
Property Solutions Acquisition Corporation II		1,847					18,174
Prospector Capital Corporation Class A - ADR		6,639					64,797
Queen's Gambit Growth Capital Class A - ADR		7,231					71,370
RedBall Acquisition Corporation Class A - ADR		4,809					47,321
Reinvent Technology Partners Class A - ADR		7,261					72,102
RMG Acquisition Corporation III Class A - ADR		5,980					58,185
Rocket Internet Growth Opportunities Corporation - ADR (f)		5,017					49,769
Ross Acquisition Corporation II - ADR		153					1,524
ScION Tech Growth II - ADR		1,250					12,425
Senior Connect Acquisition Corporation I Class A		4,566					44,610
Shelter Acquisition Corporation I		5,172					51,461
Shelter Acquisition Corporation I - Sponsor  (d)(g)		718					–
Simon Property Group Acquisition Holdings, Inc.		5,267					52,407
Simon Property Group Acquisition Holdings, Inc. Class A		8,911					86,882
Soar Technology Acquisition Corporation - ADR		1,164					11,815
Social Capital Hedosophia Holdings Corporation VI Class A - ADR (j)		7,029					71,344
Spartan Acquisition Corporation III Class A		12,473					123,233
Sports Entertainment Acquisition Corporation Class A		1,084					12,043
Sports Entertainment Acquisition Corporation Class A		7,247					72,615
Supernova Partners Acquisition Company III Ltd. Class A - ADR (f)		7,465					72,410
Sustainable Development Acquisition I Corporation		300					3,027
Switchback Corporation II Class A - ADR		5,869					58,455
Tailwind Acquisition Corporation Class A		15,365					150,270
Thimble Point Acquisition Corporation Class A		300					2,982
Thunder Bridge Capital Partners III, Inc. Class A		5,475					53,436
Tishman Speyer Innovation Corporation II Class A		5,140					50,372
Tribe Capital Growth Corporation I		3,142					31,263
Twelve Seas Investment Company II		587					5,811
VectoIQ Acquisition Corporation II Class A (f)		6,710					65,154
Virgin Group Acquisition Corporation II Class A - ADR		11,130					108,072
Virtuoso Acquisition Corporation Class A		7,194					71,293
Vy Global Growth Class A - ADR		8,099					79,451
Warbug Pincus Capital Corporation I Class A - ADR		1,719					16,881
Yucaipa Acquisition Corporation Class A - ADR		12,336					121,880
Z-Work Acquisition Corporation Class A		1,798					17,513
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES (Cost $7,740,225)							7,691,395
	Shares
CONTINGENT VALUE RIGHTS - 0.08% (a)(g)
Alder Biopharmaceuticals, Inc.		31,310					36,006
Ligand Pharmaceuticals		7,028					7,907
Media General, Inc. (e)		8,397					–
TOTAL CONTINGENT VALUE RIGHTS (Cost $0)							43,913
RIGHTS - 0.01% (a)(g)
Bristol-Myers Squibb Company							7,813
TOTAL RIGHTS (Cost $0)							7,813
WARRANTS - 0.32% (a)
23andMe Holding Company Class A
Expiration: September 2025, Exercise Price: $11.50		3,599					6,622
890 5th Avenue Partners, Inc. Class A
Expiration: December 2027, Exercise Price: $11.50		1,666					2,066
Accelerate Acquisition Corporation Class A
Expiration: December 2027, Exercise Price: $11.50		3,000					2,820
ACE Convergence Acquisition Corporation Class A
Expiration: September 2027, Exercise Price: $11.50 (b)		9,310					5,446
Akazoo S.A.
Expiration: December 2024, Exercise Price: $11.50 (b)(d)(g)		2,642					–
Apollo Strategic Growth Capital Class A
Expiration: October 2027, Exercise Price: $11.50 (b)		4,782					3,897
Ardagh Metal Packaging S.A.
Expiration: December 2028, Exercise Price: $11.50 (b)		542					1,165
Arrowroot Acquisition Corporation Class A
Expiration: January 2026, Exercise Price: $11.50		3,932					2,241
Avanti Acquisition Corporation Class A
Expiration: December 2025, Exercise Price: $11.50 (b)		1,800					1,177
Berkshire Grey, Inc.
Expiration: December 2026, Exercise Price: $11.50		1,255					1,519
Cazoo Group Ltd.
Expiration: August 2026, Exercise Price: $11.50 (b)		5,415					8,068
CEC Brands LLC
Expiration: December 2025, Exercise Price: $21.88 (g)		2,163					6,489
CHP Merger Corporation Class A
Expiration: November 2024, Exercise Price: $11.50		545					300
Cohn Robbins Holdings Corporation Class A
Expiration: August 2025, Exercise Price: $11.50 (b)		3,302					2,988
Conx Corporation Class A
Expiration: October 2027, Exercise Price: $11.50		2,204					2,535
Deep Lake Capital Acquisition Corporation Class A
Expiration: December 2027, Exercise Price: $11.50 (b)		2,380					1,803
E.Merge Technology Acquisition Corporation Class A
Expiration: July 2025, Exercise Price: $11.50		5,666					3,961
Equity Distribution Acquisition Corporation Class A
Expiration: September 2025, Exercise Price: $11.50		8,317					7,494
Fortress Capital Acquisition Corporation Class A
Expiration: December 2027, Exercise Price: $11.50 (b)		983					865
FTAC Athena Acquisition Corporation Class A
Expiration: March 2026, Exercise Price: $11.50 (b)		916					1,191
GCM Grosvenor, Inc. Class A
Expiration: November 2025, Exercise Price: $11.50		2,381					4,762
GigCapital4, Inc.
Expiration: December 2028, Exercise Price: $11.50		619					650
Ginkgo Bioworks Holdings, Inc.
Expiration: December 2027, Exercise Price: $11.50		40					136
Goal Acquisitions Corporation
Expiration: January 2022, Exercise Price: $11.50		8,032					4,679
Golden Falcon Acquisition Corporation Class A
Expiration: November 2026, Exercise Price: $11.50		2,479					1,525
Healthcare Services Acquisition Corporation Class A
Expiration: December 2027, Exercise Price: $11.50		3,215					2,122
InterPrivate III Financial Partners, Inc.
Expiration: December 2027, Exercise Price: $11.50		179					229
Kensington Capital Acquisition Corporation II Class A
Expiration: December 2027, Exercise Price: $11.50		229					261
KL Acquisition Corporation Class A
Expiration: January 2028, Exercise Price: $11.50		4,297					3,094
Longview Acquisition Corporation II Class A
Expiration: May 2026, Exercise Price: $11.50		1,261					1,628
Marlin Technology Corporation Class A
Expiration: March 2026, Exercise Price: $11.50 (b)		3,139					2,511
Marquee Raine Acquisition Corporation
Expiration: December 2025, Exercise Price: $11.50 (b)		193					270
Moneylion, Inc.
Expiration: June 2027, Exercise Price: $11.50		11,485					11,140
Montes Archimedes Acquisition Corporation Class A
Expiration: December 2025, Exercise Price: $11.50		1,450					2,160
Motive Capital Corporation Class A
Expiration: December 2025, Exercise Price: $11.50 (b)		3,398					4,248
Origin Materials, Inc.
Expiration: July 2026, Exercise Price: $11.50		7,146					11,219
Pathfinder Acquisition Corporation Class A
Expiration: December 2027, Exercise Price: $11.50 (b)		1,062					1,009
Pioneer Merger Corporation Class A
Expiration: December 2027, Exercise Price: $11.50 (b)		3,454					3,799
Pontem Corporation Class A
Expiration: December 2027, Exercise Price: $11.50 (b)		2,248					1,614
Prospector Capital Corporation Class A
Expiration: January 2025, Exercise Price: $11.50 (b)		2,213					1,549
Quantum-SI, Inc.
Expiration: September 2027, Exercise Price: $11.50		7,060					14,332
Reinvent Technology Partners Class A
Expiration: December 2028, Exercise Price: $11.50 (b)		173					260
RMG Acquisition Corporation III Class A
Expiration: December 2027, Exercise Price: $11.50 (b)		1,196					1,088
Senior Connect Acquisition Corporation I Class A
Expiration: December 2027, Exercise Price: $11.50		2,283					1,621
Spartan Acquisition Corporation III Class A
Expiration: February 2026, Exercise Price: $11.50		2,306					2,537
Supernova Partners Acquisition Company III Ltd. Class A
Expiration: March 2027, Exercise Price: $11.50 (b)(f)		1,493					1,269
Talkspace, Inc.
Expiration: June 2025, Exercise Price: $11.50		17,327					13,342
Thimble Point Acquisition Corporation Class A
Expiration: February 2026, Exercise Price: $11.50		100					95
Thunder Bridge Capital Partners III, Inc. Class A
Expiration: February 2028, Exercise Price: $11.50		1,095					821
Tishman Speyer Innovation Corporation II Class A
Expiration: December 2027, Exercise Price: $11.50		1,028					864
VectoIQ Acquisition Corporation II Class A
Expiration: December 2027, Exercise Price: $11.50		1,342					1,047
VELO3D, Inc.
Expiration: December 2025, Exercise Price: $11.50		6,978					10,746
Virgin Group Acquisition Corporation II Class A
Expiration: March 2026, Exercise Price: $11.50 (b)		1,063					914
Virtuoso Acquisition Corporation Class A
Expiration: December 2027, Exercise Price: $11.50		3,597					4,119
Whole Earth Brands, Inc.
Expiration: June 2025, Exercise Price: $11.50		8,573					12,602
TOTAL WARRANTS (Cost $320,432)							186,909
	Principal Amount
BANK LOANS - 1.74%
Golden Nugget LLC
3.250% (1 Month U.S. LIBOR + 2.500%), 10/4/2023 (f)(i)	$	171,027					170,126
RentPath LLC
8.000% (3 Month U.S. LIBOR + 4.750%), 12/17/2021 (f)(i)(k)		17,879					715
Syniverse Holdings, Inc.
6.000% (3 Month LIBOR USD + 5.000%), 3/09/2023 (f)(i)		583,000					582,551
Watts Guerra LLP
8.000%, 12/31/2022 (g)		264,000					264,000
TOTAL BANK LOANS (Cost $1,032,654)							1,017,392
CONVERTIBLE BONDS - 0.11% (f)
Nuance Communications, Inc.
1.000%, 12/15/2035		28,000					63,589
TOTAL CONVERTIBLE BONDS (Cost $60,041)							63,589
CORPORATE BONDS - 4.02% (f)
Cincinnati Bell, Inc.
7.000%, 7/15/2024 (h)		56,000					56,993
8.000%, 10/15/2025 (h)		181,000					188,638
Deutsche Wohen S.E.
0.325%, 7/26/2024 (b)		100,000					157,859
0.600%, 1/5/2026 (b)		500,000					749,450
Devon Energy Corporation
5.875%, 6/15/2028 (h)		135,000					148,807
Forterra Finance LLC / FRTA Finance Corporation
6.500%, 7/15/2025 (h)		250,000					267,500
Golden Nugget, Inc.
6.750%, 10/15/2024 (h)		172,000					172,224
GrubHub Holdings, Inc.
5.500%, 7/1/2027 (h)		132,000					136,950
Meredith Corporation
6.875%, 2/1/2026		222,000					229,215
Modulaire Global Finance plc
8.000%, 2/15/2023 (b)(h)		192,000					196,032
WeWork Companies, Inc.
7.875%, 5/1/2025 (h)		44,000					44,715
TOTAL CORPORATE BONDS (Cost $2,338,513)							2,348,383
	Contracts (100 shares per contract)			Notional Amount
PURCHASED PUT OPTIONS - 0.11% (a)
The Hartford Financial Services Group, Inc.
Expiration: December 2021, Exercise Price: $55.00		41		$	288,025		1,230
iShares Expanded Tech-Software Sector ETF
Expiration: October 2021, Exercise Price: $400.00		2		79,828			1,636
SPDR S&P 500 ETF Trust
Expiration: October 2021, Exercise Price: $430.00		24		1,029,936			16,056
Expiration: October 2021, Exercise Price: $440.00		42		1,802,388			47,124
TOTAL PURCHASED OPTIONS (Cost $41,561)							66,046
	Shares
ESCROW NOTES - 2.23% (a)
Altaba, Inc. (f)		198,459					1,302,387
AMR Corporation (g)		7,668					728
TOTAL ESCROW NOTES (Cost $893,336)							1,303,115
SHORT-TERM INVESTMENTS - 25.09%
MONEY MARKET FUNDS - 25.09% (c)
Fidelity Institutional Government Portfolio, Institutional Share Class, 0.01%		2,851,000					2,851,000
First American Government Obligations Fund, Institutional Share Class, 0.03%		2,851,000					2,851,000
Goldman Sachs Financial Square Government Fund, FST Share Class, 0.03%		2,851,000					2,851,000
The Government & Agency Portfolio, Institutional Share Class, 0.03%		2,851,000					2,851,000
JPMorgan U.S. Government Money Market Fund, IM Share Class, 0.03%		2,851,000					2,851,000
Morgan Stanley Institutional Liquidity Fund - Government Portfolio, Institutional Share Class, 0.03%		397,995					397,995
TOTAL SHORT-TERM INVESTMENTS (Cost $14,652,995)							14,652,995
TOTAL LONG INVESTMENTS (Cost $55,789,260) - 97.26%							56,807,243
SHORT INVESTMENTS - (2.71)%
COMMON STOCKS - (2.55)%
COMMERCIAL BANKS & THRIFTS - (0.13)%
New York Community Bancorp, Inc.		(5,885	)				(75,740	)
ASSET MANAGEMENT & CUSTODY BANKS - (0.17)%
Apollo Global Management, Inc.		(1,659	)				(102,178	)
ELECTRONIC COMPONENTS - (0.07)%
II-VI, Inc.		(680	)				(40,365	)
HOTELS, RESTAURANTS & LEISURE - (0.16)%
Scientific Games Corporation		(1,096	)				(91,045	)
INTERNET SECURITY - (0.17)%
NortonLifeLock, Inc. (d)(g)		(3,856	)				(98,386	)
IT SERVICES - (0.24)%
Square, Inc.		(594	)				(142,465	)
METALS & MINING - (0.34)%
BHP Group Ltd. - ADR		(3,707	)				(198,399	)
OIL, GAS & CONSUMABLE FUELS - (0.01)%
Cabot Oil & Gas Corporation		(231	)				(5,026	)
RAILROADS - (0.28)%
Canadian Pacific Railway Ltd. - ADR		(2,508	)				(163,195	)
REGIONAL BANKS - (0.73)%
BancorpSouth Bank		(14,249	)				(424,335	)
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - (0.25)%
MKS Instruments, Inc.		(975	)				(147,137	)
SOFTWARE - (0.00)%
Zoom Video Communications, Inc.		(10	)				(2,615	)
TOTAL COMMON STOCKS (Proceeds $1,492,162)							(1,490,886	)
	Principal Amount
CORPORATE BONDS - (0.16)%
Devon Energy Corporation
5.850%, 12/15/2025	$	(81,000	)				(93,722	)
TOTAL CORPORATE BONDS (Proceeds $89,206)							(93,722	)
TOTAL SHORT INVESTMENTS (Proceeds $1,581,368) - (2.71)%							(1,584,608	)
TOTAL NET INVESTMENTS (Cost $54,207,892) - 94.55%							55,222,635
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.45%							3,179,795
TOTAL NET ASSETS - 100.00%						$	58,402,430

ADR	- American Depository Receipt
ETF	- Exchange-Traded Fund
LIBOR	- London Interbank Offered Rate
plc	- Public Limited Company
REITs	- Real Estate Investment Trusts
(a)	Non-income producing security.
(b)	Foreign security.
(c)	The rate quoted is the annualized seven-day yield as of September 30, 2021.
(d)	Security fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees.
(e)	All or a portion of the shares have been committed as collateral for open securities sold short, written option contracts, swap contracts, and forward currency exchange contracts.
(f)	Level 2 Security. Please see footnote (l) on the Schedule of Investments for more information.
(g)	Level 3 Security. Please see footnote (l) on the Schedule of Investments for more information.
(h)	Security 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 September 30, 2021, these securities represent 2.08% of total net assets.
(i)	The coupon rate shown on variable rate securities represents the rate as of September 30, 2021.
(j)	This security is held in connection with a written option contract.
(k)	Default or other conditions exist and the security is not presently accruing income.
(l)	Investment Valuation

The following is a summary of the Fund’s pricing procedures. It is intended to be a general discussion and may not necessarily reflect all pricing procedures followed by the Fund.

Equity securities, including common and preferred stocks, closed-end funds and ETFs, that trade on an exchange will typically be valued based on the last reported sale price. Securities listed on NASDAQ are typically valued using the NASDAQ Official Closing Price. The securities valued using quoted prices in active markets are classified as Level 1 investments. If, on a particular day, an exchange-listed security does not trade, then the mean between the closing bid and asked prices will typically be used to value the security. These securities are classified as Level 2 investments. Fixed income securities having a maturity of greater than 60 days are typically valued based on evaluations provided by an independent pricing vendor. Investments in United States government securities (other than short-term securities) are valued at the mean between the 4:00 p.m. New York time bid and asked prices supplied by a third party vendor. Short-term fixed-income securities having a maturity of less than 60 days are valued at market quotations or based on valuations supplied by a third party pricing service. If a reliable price from a third  party pricing service is unavailable, amortized cost may be used if it is determined that the instrument’s amortized cost value represents approximately the fair value of the security. These securities are classified as Level 2 investments.

Investments in Special Purpose Acquisition Companies, including their related units, shares, rights and warrants (each a “SPAC interest”), will typically be valued by reference to the last reported transaction for the composite exchange. These securities are classified as Level 1 investments. If, on a particular day, no reliable market transaction is readily available and reported for the composite exchange, then the mean between the closing bid and asked prices on the composite exchange will be used to value the SPAC interest, or the SPAC interest will be fair valued in accordance with the Fund’s pricing procedures. These securities are classified as Level 2 investments.

Exchange-traded options are typically valued at the higher of the intrinsic value of the option (i.e., what a Fund would pay or can receive upon the option being exercised) or the last reported composite sale price when such sale falls between the bid and asked prices. Notwithstanding the above, options that trade principally on a European exchange are typically valued at the “settlement price” as reported by the exchange on which the option principally trades. If the settlement price for a European exchange-traded option is unreliable or unavailable, the option will generally be valued at the last reported sale price. When the last sale of an exchange-traded option is outside the bid and asked prices, the Fund will typically value the option at the higher of the intrinsic value of the option or the mean between the highest end of day option bid price and the lowest end of day option ask price. On the stipulated expiration date, expiring options will be priced at intrinsic value. Options for which there is an active market are classified as Level 1 investments, but options not listed on an exchange and/or are fair valued in accordance with the Fund’s pricing procedures are classified as Level 2 investments.

Investments in registered open-end investment companies, including Money Market Funds, are typically valued at their reported net asset value (“NAV”) per share. These securities are generally classified as Level 1 investments.

Forward currency contracts are valued at bid prices calculated using an “interpolation” methodology that incorporates foreign-exchange prices for standard forward-settlement periods. These securities are generally classified as Level 2.

In general, swap prices are determined using the same methods as would be used to price the underlying security. When the underlying security is the subject of a completed corporate reorganization for which the final deal terms are known, the swap is priced at the value of the consideration to be received by the Fund. The credit quality of the swap’s counterparties and collateral is monitored and the valuation of a swap may be adjusted if it is believed that the credit quality of the counterparty or collateral affects the market value of the swap position. These securities are generally classified as Level 2 investments.

The Fund may acquire equity securities of an issuer through a private investment in a public equity (PIPE) transaction, including through commitments to purchase securities on a when-issued basis. A PIPE transaction typically involves the purchase of securities directly from a publicly traded company in a private placement transaction. Securities purchased through PIPE transactions will generally be restricted from trading and considered illiquid until a resale registration statement for the shares is filed and declared effective. At period end, the Fund had commitments to purchase when-issued securities through PIPE transactions with SPACs. The commitments are contingent upon the SPACs acquiring the securities of target companies.

The Fund typically fair values securities and assets for which (a) market quotations are not readily available or (b) market quotations are believed to be unrepresentative of market value. For example, the Fund may fair value a security that primarily trades on an exchange that closes before the New York Stock Exchange (“NYSE”) if a significant event occurs after the close of the exchange on which the security primarily trades but before the NYSE closes. Fair valuations are determined in good faith by the Valuation Group (the “Valuation Group”), a committee comprised of persons who are officers of the Trust or representatives of the Adviser, acting pursuant to procedures adopted by the Board. When fair value pricing is employed, the prices of securities used by the Fund to calculate its NAV may differ from quoted or published prices for the same securities. In addition, due to the subjective nature of fair value pricing, it is possible that the value determined for a particular asset may be materially different from the value realized upon such asset’s sale. These securities are generally classified as Level 2 or 3 depending on the inputs as described below.

The Fund has performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:

Level 1 — Quoted prices in active markets for identical securities.

Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3 — Significant unobservable inputs are those inputs that reflect the applicable Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following tables provide the fair value measurements of applicable Fund assets and liabilities by level within the fair value hierarchy for the Fund as of September 30, 2021. These assets and liabilities are measured on a recurring basis.

Investments at Fair Value	Level 1			Level 2			Level 3			Total
Assets
Common Stocks*	$	29,185,565		$	-		$	240,128		$	29,425,693
Special Purpose Acquisition Companies		7,098,343			510,767			82,285			7,691,395
Contingent Value Rights		-			-			43,913			43,913
Rights		-			-			7,813			7,813
Warrants		179,151			1,269			6,489			186,909
Bank Loans		-			753,392			264,000			1,017,392
Convertible Bonds		-			63,589			-			63,589
Corporate Bonds		-			2,348,383			-			2,348,383
Purchased Option Contracts		66,046			-			-			66,046
Escrow Notes		-			1,302,387			728			1,303,115
Short-Term Investments		14,652,995			-			-			14,652,995
Other Investments
Forward Currency Exchange Contracts**		-			161,026			-			161,026
Swap Contracts**		-			-			149,039			149,039
Total	$	51,182,100		$	5,140,813		$	794,395		$	57,117,308
Liabilities
Short Common Stocks*	$	(1,392,500	)	$	-		$	(98,386	)	$	(1,490,886	)
Short Corporate Bonds		-			(93,722	)		-			(93,722	)
Other Investments
Unfunded Commitments***		-			-			(19,719	)		(19,719	)
Written Option Contracts		(50,169	)		(703	)		-			(50,872	)
Swap Contracts**		-			(1,901,796	)		-			(1,901,796	)
Total	$	(1,442,669	)	$	(1,996,221	)	$	(118,105	)	$	(3,556,995	)

* Please refer to the Schedules of Investments to view long/short common stocks segregated by industry type.

** Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument by level and counterparty.

*** The Fund had unfunded commitments to purchase Private Investment in Public Equity shares as of September 30, 2021 with a market value of $93,141. These are Level 3 securities and are fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees.

The Level 2 securities are priced using inputs such as current yields, discount rates, credit quality, yields on comparable securities, trading volume, maturity date, market bid and asked prices, prices on comparable securities and other significant inputs. Level 3 securities are valued by using broker quotes or such other pricing sources or data as are permitted by the Fund’s pricing procedures. At September 30, 2021, the value of these securities was $676,290 (see footnote above regarding Fund’s holdings of unfunded commitments). The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those  inputs as described in footnote (l) of the Schedule of Investments. The appropriateness of fair values for these securities is monitored by the Valuation Group on an ongoing basis.

Level 3 Reconciliation Disclosure

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.

Description	Common Stocks- long			Common Stocks- short			Special Purpose Acquisition Companies		Private Investments in Public Equity			Contingent Value Rights			Rights		Warrants			Bank Loans		Unfunded Commitments			Escrow Notes		Swaps		Total Investment
Balance as of December 31, 2020	$	497,000		$	-		$	-	$	684,045		$	-		$	-	$	2,100	*	$	264,000	$	-		$	-	$	-	$	1,447,145
Purchases on Investments		250,001			(103,214	)		52,923		-			-			-		-			-		-	**		-		-		199,710
(Sales) of Investments		(536,651	)		-			-		(511,625	)		-			-		-			-		-			-		-		(1,048,276	)
Realized (Gain) Loss		49,360			-			-		421,625			-			-		-			-		-			-		-		470,985
Transfers Into Level 3		-			-			28,942		-			43,913			7,813		-			-		-			728		-		81,396
(Transfer Out) of Level 3		-			-			-		-			-			-		-			-		-			-		-		-
Change in Unrealized Appreciation (Depreciation)		(19,582	)		4,828			420		(594,045	)		-			-		4,389			-		(19,719	)		-		149,039		(474,670	)
Balance as of September 30, 2021	$	240,128		$	(98,386	)	$	82,285	$	-		$	43,913		$	7,813	$	6,489	*	$	264,000	$	(19,71	)**	$	728	$	149,039	$	676,290
Change in unrealized appreciation (depreciation)     during the period for Level 3 investments held at     September 30, 2021	$	(19,719	)	$	4,828		$	853	$	-		$	(7,380	)	$	27,472	$	4,403		$	-	$	19,719	**	$	77	$	149,039	$	179,292

*	CEC Brands LLC warrant received as a result of a corporate action.
**	The Fund had unfunded commitments to purchase Private Investment in Public Equity shares as of September 30, 2021 with a market value of $93,141. These are Level 3 securities and are fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees.

The realized and unrealized gains and losses from Level 3 transactions are included with the net realized gain (loss) on investments and net change in unrealized appreciation (depreciation) on investments on the Statement of Operations, respectively. The net change in unrealized depreciation on investments related to Level 3 securities held by the Fund at September 30, 2021 totals $(474,670).

Significant unobservable valuation inputs monitored by the Valuation Group under the supervision of the Board of Trustees for restricted securities or material Level 3 investments as of September 30, 2021 for the Fund are as follows:

Description		Fair Value at September 30, 2021		Valuation Technique		Unobservable Input	Input Values (Ranges)
Special Purpose Acquisition Company	$	-	*	Projected Final Exercise Price	**	Value of Final Exercise Price	$0.00-$0.01
Warrant	$	-	*	Projected Final Exercise Price	**	Value of Final Exercise Price	$0.00-$0.01
Common Stock- short	$	(98,386)		Recent Market Transaction		Foreign Market Value	$25.52
Unfunded Commitments	$	22,860	***	Market Price less Discount		Liquidity Discount	$0.00-$0.01
Unfunded Commitments	$	70,281	***	Market Price less Discount		Liquidity Discount	$0.00-$0.01
Swap contract	$	43,859		Recent Market Transaction		Foreign Market Value	$26.76
Swap contract	$	108,245		Recent Market Transaction		Foreign Market Value	$26.76
Swap contract	$	(9,522)		Recent Market Transaction		Foreign Market Value	$87.73

*	Amount less than $0.50.
**	Based on the evaluation of the likelihood that the warrant is exercised, the security is being priced at zero.
***	The fair value amount above represents the unfunded commitment amount as of September 30, 2021.

	The table above does not include certain Level 3 investments that are based on information provided by brokers. At September 30, 2021, the net value of these securities was $538,953. The inputs for these Level 3 investments are not readily available or cannot be reasonably estimated and are generally those inputs described herein.
(m)	Effective October 1, 2021, Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc., is the investment adviser to the Fund. The Adviser manages the Funds' investment programs and general operations of the Virtus Funds, including oversight of the Funds' subadvisers. Prior to October 1, 2021, Westchester Capital Management, LLC (“WCM”) served as the investment adviser to the Fund. Effective October 1, 2021, WCM will serve as subadviser to the Fund.
	The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC, doing business as U.S Bank Global Fund Services.	\

The Merger Fund VL
SCHEDULE OF INVESTMENTS
Unfunded Commitments*
September 30, 2021 (Unaudited)
						Unrealized
		Unfunded				Appreciation
Issuer	Shares	Commitment Amount		Value		(Depreciation)
Live Oak Acquisition Corporation II	2,286	$	22,860	$	22,860	$	-
Microvast Holdings, Inc.	9,000		90,000		70,281		(19,719	)
TOTAL UNFUNDED COMMITMENTS		$	112,860	$	93,141	$	(19,719	)

* The Fund has unfunded commitments to purchase Private Investment in Public Equity shares as of September 30, 2021. These are Level 3 securities and are fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees.

The Merger Fund VL
SCHEDULE OF INVESTMENTS
Open Written Options
September 30, 2021 (Unaudited)
	Contracts (100 shares per contract)		Notional Amount		Value
WRITTEN CALL OPTIONS
The Hartford Financial Services Group, Inc.
Expiration: December 2021, Exercise Price: $65.00	(41)	$	(288,025)	$	(28,290)
Expiration: December 2021, Exercise Price: $70.00	(7)		(49,175)		(2,800)
NortonLifeLock, Inc.
Expiration: January 2022, Exercise Price: $32.00 (a)	(29)		(73,370)		(508)
Social Capital Hedosophia Holdings Corporation VI Class A
Expiration: October 2021, Exercise Price: $10.00	(12)		(12,180)		(228)
Expiration: November 2021, Exercise Price: $10.00	(59)		(59,885)		(1,475)
SPDR S&P 500 ETF Trust
Expiration: October 2021, Exercise Price: $450.00	(12)		(514,968)		(276)
Sportsman's Warehouse Holdings, Inc.
Expiration: January 2022, Exercise Price: $20.00 (a)	(13)		(22,880)		(195)
					(33,772)
WRITTEN PUT OPTIONS
SPDR S&P 500 ETF Trust
Expiration: October 2021, Exercise Price: $415.00	(57)		(2,446,098)		(17,100)
					(17,100)
TOTAL WRITTEN OPTIONS
(Premiums received $52,801)				$	(50,872)

ETF – Exchange-Traded Fund

(a) Level 2 Security. Please see footnote (l) on the Schedule of Investments for more information.

The Merger Fund VL
SCHEDULE OF INVESTMENTS
Forward Currency Exchange Contracts
September 30, 2021 (Unaudited)
											Unrealized
Settlement					USD Value at				USD Value at		Appreciation
Date	Counterparty	Currency to be Delivered			September 30, 2021	Currency to be Received			September 30, 2021		(Depreciation)*
12/30/2021	JPM	811,407	AUD	$	586,913	593,150	USD	$	593,150	$	6,237
10/18/2021	JPM	130,334	EUR		151,026	158,014	USD		158,014		6,988
11/4/2021	JPM	347,592	EUR		402,909	411,308	USD		411,308		8,399
11/10/2021	JPM	777,200	EUR		900,996	915,613	USD		915,613		14,617
11/15/2021	GS	235,352	EUR		272,868	275,938	USD		275,938		3,070
11/15/2021	JPM	151,215	EUR		175,319	177,226	USD		177,226		1,907
11/26/2021	GS	790,107	EUR		916,259	959,418	USD		959,418		43,159
12/15/2021	GS	1,590,905	EUR		1,845,938	1,929,300	USD		1,929,300		83,362
12/15/2021	GS	1,883,679	USD		1,883,679	1,590,905	EUR		1,845,938		(37,741)
3/11/2022	JPM	10,724	GBP		14,450	14,855	USD		14,855		405
4/20/2022	GS	583,940	GBP		786,592	805,690	USD		805,690		19,098
4/20/2022	GS	46,615	USD		46,615	34,708	GBP		46,753		138
10/4/2021	JPM	86,033	GBP		115,921	117,743	USD		117,743		1,822
10/4/2021	JPM	118,351	USD		118,351	86,033	GBP		115,921		(2,430)
12/13/2021	GS	41,066	GBP		55,340	56,872	USD		56,872		1,532
10/8/2021	JPM	36,533	HKD		4,693	4,694	USD		4,694		1
10/8/2021	JPM	4,694	USD		4,694	36,533	HKD		4,693		(1)
10/20/2021	JPM	1,495,980	HKD		192,183	192,700	USD		192,700		517
10/20/2021	JPM	43,837	USD		43,837	340,990	HKD		43,806		(31)
10/28/2021	JPM	349,683	HKD		44,924	44,936	USD		44,936		12
1/12/2022	JPM	41,796,684	JPY		375,982	381,898	USD		381,898		5,916
10/27/2021	JPM	24,817,414	JPY		223,029	226,901	USD		226,901		3,872
10/27/2021	JPM	225,558	USD		225,558	24,817,414	JPY		223,029		(2,529)
12/23/2021	JPM	12,470,900	JPY		112,155	114,914	USD		114,914		2,759
12/23/2021	JPM	18,881	USD		18,881	2,093,500	JPY		18,828		(53)
				$	9,519,112			$	9,680,138	$	161,026

AUD	- Australian Dollar
EUR	- Euro
GBP	- British Pound
GS	- Goldman, Sachs & Co.
HKD	- Hong Kong Dollar
JPM	- JPMorgan Chase & Co., Inc.
JPY	- Japanese Yen
USD	- U.S. Dollar
*	Net unrealized appreciation (depreciation) is a receivable (payable).

The Merger Fund VL
SCHEDULE OF INVESTMENTS
Open Swap Contracts*
September 30, 2021 (Unaudited)
Counterparty	Security	Termination Date	Pay/Receive on Financing Rate	Financing Rate	Payment Frequency	Shares	Notional Amount		Unrealized Appreciation (Depreciation)**
LONG TOTAL RETURN SWAP CONTRACTS
GS	Afterpay Ltd.(2)(3)	9/3/2022	Pay	0.500% + U.S. Federal Funds	Monthly	1,153	$                       109,671		$                         (9,522)
GS	Avast plc	9/11/2022	Pay	0.500% + U.S. Federal Funds	Monthly	127,445	1,041,895		(68,121)
JPM	Beijing Capital Ltd. (3)	9/27/2022	Pay	0.550% + Overnight Banking Rate	Quarterly	124,887	44,239		680
BAML	Bristol-Myers Squibb Company (3)	3/2/2022	Pay	0.000%(1)	Monthly	5,135	–	(1)	5,777
BAML	Brookfield Property REIT, Inc., 6.25%, Series A	8/30/2022	Pay	0.750% + 1 Month U.S. LIBOR	Monthly	701	17,525		(382)
BAML	Deutsche Wohen S.E.	8/21/2022	Pay	0.500% + 1 Month U.S. LIBOR	Monthly	7,439	453,461		1,319
GS	GrandVision N.V.	3/8/2022	Pay	0.500% + U.S. Federal Funds	Monthly	12,414	376,854		30,812
JPM	Hitachi Metals Ltd.	6/24/2022	Pay	0.550% + Overnight Banking Rate	Quarterly	19,164	372,203		(2,222)
GS	Meggit plc	9/10/2022	Pay	0.690% + U.S. Federal Funds	Monthly	68,654	738,373		(61,198)
GS	Siltronic AG- Tender Line	4/2/2022	Pay	0.500% + U.S. Federal Funds	Monthly	5,111	65,120		(3,070)
GS	Siltronic AG	5/7/2022	Pay	0.500% + U.S. Federal Funds	Monthly	393	860,905		(55,085)
JPM	Soho China Ltd.	7/17/2022	Pay	0.550% + Overnight Banking Rate	Quarterly	230,998	135,805		(74,742)
JPM	Spark Infrastructure Group	9/24/2022	Pay	0.550% + Overnight Banking Rate	Quarterly	281,006	580,053		(12,609)
JPM	Suez Environment S.A.	11/9/2021	Pay	0.550% + Overnight Banking Rate	Quarterly	7,717	145,880		29,962
JPM	Toshiba Corporation	5/16/2022	Pay	0.550% + Overnight Banking Rate	Quarterly	1,958	84,327		(1,912)
JPM	Ultra Electronics Holdings plc	9/16/2022	Pay	0.450% + Overnight Banking Rate	Quarterly	305	14,143		(877)
GS	Willis Towers Watson plc	10/23/2022	Pay	0.500% + U.S. Federal Funds	Monthly	13,581	3,168,292		(11,422)
GS	WM Morrison Supermarkets plc	10/14/2022	Pay	0.500% + U.S. Federal Funds	Monthly	14,409	58,301		(1,227)
BAML	Xilinx, Inc.	2/11/2022	Pay	0.750% + 1 Month U.S. LIBOR	Monthly	174	26,229		37
SHORT TOTAL RETURN SWAP CONTRACTS
JPM	Advanced Micro Devices, Inc.	11/27/2021	Pay	(0.600)% + Overnight Banking Rate	Quarterly	(8,654)	(1,311)		(126)
BAML	Advanced Micro Devices, Inc.	12/11/2021	Pay	(0.400)% + 1 Month U.S. LIBOR	Monthly	(21,195)	(1,768,917)		(412,204)
JPM	American Airlines Group, Inc.	9/19/2022	Pay	(0.600)% + Overnight Banking Rate	Quarterly	(70)	(717,060)		(173,605)
GS	Aon plc	5/19/2022	Pay	(0.350)% + U.S. Federal Funds	Monthly	(10,792)	(2,560,663)		(523,660)
BAML	Apollo Global Management, Inc.	4/15/2022	Pay	(0.400)% + 1 Month U.S. LIBOR	Monthly	(13,423)	(486,213)		(26,700)
JPM	Apollo Global Management, Inc.	6/18/2022	Pay	(0.600)% + Overnight Banking Rate	Quarterly	(8,326)	(758,494)		(68,295)
JPM	BHP Group Ltd. (2)(3)	10/3/2022	Pay	(0.650)% + Overnight Banking Rate	Quarterly	(9,814)	(590,585)		108,245
GS	BHP Group Ltd. (2)(3)	10/3/2022	Pay	(0.400)% + U.S. Federal Funds	Monthly	(10,351)	(320,340)		43,859
GS	BHP Group Ltd. - ADR	9/18/2022	Pay	(0.850)% + U.S. Federal Funds	Monthly	(9,010)	(302,381)		40,191
GS	Canadian Pacific Railway Ltd.	5/8/2022	Pay	(0.350)% + U.S. Federal Funds	Monthly	(22,440)	(48,404)		379
JPM	Canadian Pacific Railway Ltd.	10/21/2022	Pay	(0.600)% + Overnight Banking Rate	Quarterly	(738)	(1,539,266)		78,982
GS	II-VI, Inc.	5/12/2022	Pay	(0.350)% + U.S. Federal Funds	Monthly	(8,773)	(663,229)		142,423
JPM	S&P Global, Inc.	2/15/2022	Pay	(0.600)% + Overnight Banking Rate	Quarterly	(5,542)	(885,822)		(119,559)
GS	S&P Global, Inc.	4/8/2022	Pay	(0.350)% + U.S. Federal Funds	Monthly	(2,366)	(1,701,214)		(653,927)
JPM	Zoom Video Communications, Inc.	8/19/2022	Pay	(0.600)% + Overnight Banking Rate	Quarterly	(375)	(143,138)		��45,042
									$                  (1,752,757)

BAML	- Bank of America Merrill Lynch & Co., Inc.
GS	- Goldman, Sachs & Co.
JPM	- JPMorgan Chase & Co., Inc.
LIBOR	- London Interbank Offered Rate
Overnight Banking Rate	- Overnight Banking Funding Rate
plc	- Public Limited Company
REIT	-Real Estate Investment Trust
U.S. Federal Funds	- U.S. Federal Funds
*	There were no upfront premiums paid or received for the open swap contracts held.
**	Based on the net swap value held at each counterparty, unrealized appreciation (depreciation) is a receivable (payable).
(1)	Security held is the direct result of a corporate action. There is no associated financing rate and the security is held with a zero cost basis.
(2)	Security fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees.
(3)	Level 3 Security. Please see footnote (l) on the Schedule of Investments for more information.