Highland Funds I NPORT-P Highland Merger Arbitrage Fund (Mar 2020 report)

INVESTMENT PORTFOLIO (unaudited)
As of March 31, 2020	Highland Merger Arbitrage Fund

Shares		Value ($)
Common Stocks — 81.5%
COMMUNICATION SERVICES —0.3%
15,000	Meet Group (a)		88,050
CONSUMER DISCRETIONARY —1.2%
54,869	Rubicon Project, Inc. (a)		304,523
250	Tiffany		32,375
			336,898
ENERGY —1.9%
34,804	EQM Midstream Partners		410,687
698	PDC Energy (a)		4,335
8,700	Tallgrass Energy, Class A		143,202
			558,224
FINANCIALS —38.9%
1,850	Acamar Partners Acquisition (a)		18,222
29,955	Apex Technology Acquisition (a)		299,550
502	Apex Technology Acquisition, Class A (a)		4,905
20,000	Bolsas y Mercados Espanoles SHMSF		720,090
60,450	Carolina Financial (b)		1,563,841
3,077	Central Federal Bancshares (a)		45,401
2,458	CHP Merger, Class A (a)		23,843
4,160	Churchill Capital II (a)		43,014
6,500	CIIG Merger (a)		63,635
40	Collier Creek Holdings, Class A (a)		403
416	Crescent Acquisition, Class A (a)		4,098
10,111	DiamondPeak Holdings, Class A (a)		100,807
10,866	E*TRADE Financial Corp.		372,921
5,316	Empire Bancorp (a)		52,097
2,321	FB Financial		45,770
123,489	FGL Holdings (b)		1,210,192
900	FinServ Acquisition (a)		9,072
9,500	Genworth Financial, Class A (a)(b)		31,540
16,149	Gores Metropoulos, Class A (a)		163,912
10,400	GX Acquisition, Class A (a)		101,920
52,255	Haymaker Acquisition II (a)		527,776
23,280	Haymaker Acquisition II, Class A (a)(b)		227,911
17,100	Healthcare Merger (a)		169,290
568	Hennessy Capital Acquisition IV, Class A (a)		5,742
14,539	IBERIABANK Corp.(b)		525,730
10,584	Juniper Industrial Holdings (a)		101,818
1	Landcadia Holdings II (a)		10
39,510	Landcadia Holdings II, Class A (a)(b)		390,359
16,700	Legg Mason (b)		815,795
27,000	LF Capital Acquisition Corp., Class A (a)(b)		278,100
5,482	Monocle Acquisition (a)		55,094
26,045	MSB Financial (a)(b)		318,791
1,497	MutualFirst Financial		42,215
1	Oaktree Acquisition (a)		10
15,210	Oaktree Acquisition, Class A (a)		152,100
33,962	PB Bancorp (b)		506,034
44,299	PropTech Acquisition (a)(b)		442,990
16,989	Revere Bank (a)(b)		382,592
35,274	SB One Bancorp (b)		599,658

Shares		Value ($)
FINANCIALS (continued)
21,050	Thunder Bridge Acquisition II, Class A (a)		207,764
16,896	Tortoise Acquisition, Class A (a)(b)		166,088
24,516	Trine Acquisition, Class A (a)(b)		243,689
5,843	Wellesley Bank (b)		172,310
			11,207,099
HEALTHCARE —10.5%
7,810	Allergan (b)		1,383,151
17,287	Forty Seven (a)		1,649,526
			3,032,677
INDUSTRIALS —5.3%
28,300	Advanced Disposal Services (a)		928,240
4,480	WABCO Holdings (a)(b)		605,024
			1,533,264
INFORMATION TECHNOLOGY —6.8%
20,369	Cypress Semiconductor (b)		475,005
7,100	Ingenico Group		738,357
307	Isra Vision		16,700
9,765	RIB Software		304,351
21,954	Telaria, Inc. (a)		131,724
21,022	Xperi (b)		292,416
			1,958,553
MATERIALS —10.2%
277,594	OMNOVA Solutions (a)(b)		2,814,803
1,261	Pope Resources a Delaware		108,181
			2,922,984
UTILITIES —6.4%
25,468	El Paso Electric		1,730,805
6,869	TerraForm Power, Class A		108,324
			1,839,129
	Total Common Stocks (Cost $24,617,287)		23,476,878
Exchange-Traded Fund — 0.1%
200	iShares 20+ Year Treasury Bond ETF		32,994
	Total Exchange-Traded Funds (Cost $33,088)		32,994
Purchased Put Options(a) — 0.1%
	Total Purchased Put Options (Cost $19,405)		23,070
Warrants — 0.0%
FINANCIALS —0.0%
6,799	Crescent Acquisition, Expires 03/10/2024(a)		5,779
3,333	Landcadia Holdings II, Expires 05/12/2026(a)		1,330
20	Trine Acquisition, Expires 03/08/2024(a)		12
	Total Warrants (Cost $8,627)		7,121

INVESTMENT PORTFOLIO (unaudited) (continued)
As of March 31, 2020	Highland Merger Arbitrage Fund

Units		Value ($)
Right — 0.0%
Financials —0.0%
1,650	Celgene Corp.		6,270
	Total Rights (Cost $3,514)		6,270
Shares
Cash Equivalents — 35.2%
MONEY MARKET FUND(c) —35.2%
10,122,215	Dreyfus Treasury & Agency Cash Management, Institutional Class 0.510%		10,122,215
	Total Cash Equivalents (Cost $10,122,215)		10,122,215
Total Investments - 116.9%			33,668,548
(Cost $34,804,135)
Securities Sold Short— (28.4)%
Exchange-Traded Fund — (4.4)%
(12,069)	Invesco CurrencyShares Euro Currency Trust (a)		(1,258,797	)
	Total Exchange-Traded Funds (Proceeds $1,249,966)		(1,258,797	)
Common Stocks — (24.0)%
CONSUMER DISCRETIONARY —(1.2)%
(61,941)	Rubicon Project, Inc. (d)		(343,773	)
ENERGY —(1.5)%
(84,761)	Equitrans Midstream		(426,348	)
(698)	PDC Energy, Inc.		(4,334	)
			(430,682	)
FINANCIALS —(15.1)%
(3,334)	Cambridge Bancorp		(173,368	)
(13,052)	Fidelity National Financial		(324,734	)
(66,569)	First Horizon National		(536,546	)
(595)	Flushing Financial		(7,949	)
(2,482)	Franklin Financial Network		(50,608	)
(27,923)	Kearny Financial		(239,859	)
(11,289)	Morgan Stanley		(383,826	)
(3,829)	Northwest Bancshares		(44,301	)
(47,883)	Provident Financial Services		(615,775	)
(17,839)	Sandy Spring Bancorp, Inc.		(403,875	)
(68,510)	United Bankshares, Inc.		(1,581,211	)
			(4,362,052	)
HEALTHCARE —(1.8)%
(6,763)	AbbVie, Inc.		(515,273	)
INFORMATION TECHNOLOGY —(3.7)%
(15,419)	Telaria, Inc. (d)		(92,514	)
(46,202)	TiVo (d)		(327,110	)
(11,157)	Worldline (d)		(655,126	)
			(1,074,750	)

Shares		Value ($)
REAL ESTATE —(0.3)%
(3,469)	Rayonier, Inc.		(81,695	)
UTILITIES —(0.4)%
(2,650)	Brookfield Renewable Partners		(112,599	)
	Total Common Stocks (Proceeds $8,074,102)		(6,920,824	)
	Total Securities Sold Short - (28.4)% (Proceeds $9,324,068)		(8,179,621	)
Other Assets & Liabilities, Net - 11.5%(e)			3,305,148
Net Assets - 100.0%			28,794,075

(a) Non-income producing security.

(b) All or part of this security is pledged as collateral for short sales. The market value of the securities pledged as collateral was $6,280,280.

(c) Rate shown is 7 day effective yield.

(d) No dividend payable on security sold short.

(e) As of March 31, 2020, $7,773,791 in cash was segregated or on deposit with the brokers to cover investments sold short and is included in “Other Assets & Liabilities, Net”.

INVESTMENT PORTFOLIO (unaudited) (continued)
As of March 31, 2020	Highland Merger Arbitrage Fund

Purchased options contracts outstanding as of March 31, 2020 were as follows:

Description	Exercise price		Expiration Date		Number of Contracts		Notional Value		Premium		Value
PURCHASED PUT OPTIONS:
Hilton Worldwide Holdings	$	70.00		June 2020		7	$	77,959	$	8,049	$	7,840
Live Nation Entertainment		45.00		April 2020		6	$	22,800		2,297		2,280
Live Nation Entertainment		45.00		May 2020		6	$	43,200		4,337		3,600
Genworth Financial		3.50		January 2021		110	$	47,080		4,722		9,350
									$	19,405	$	23,070

Written options contracts outstanding as of March 31, 2020 were as follows:

Description	Exercise price		Expiration Date		Number of Contracts			Notional Value		Premium			Value
WRITTEN CALL OPTIONS:
Genworth Financial	$	5.50		June 2020		(110	)	$	47,080	$	(195	)	$	(440	)

The Fund had the following swap contracts, for which $630,893 was pledged as collateral, open at March 31, 2020:

Swap contracts outstanding as of March 31, 2020 were as follows:

Underlying Instrument

Financing Rate

Payment Frequency

Counterparty

Expiration Date

Currency

Notional Amount ($)

Market Value ($)

Upfront Premiums Paid (Received) ($)

Mark to Market ($)

Unrealized Appreciation ($)

LONG EQUITY TRS

Nat Vet Care Ltd

1 Month USD LIBOR plus 0.50%

Upon Maturity

Goldman Sachs

2/1/2021

AUD

654,120

655,449

525

655,449

1,329

Isra Vision Ag

1 Month USD LIBOR plus 0.50%

Upon Maturity

Goldman Sachs

3/31/2021

EUR

717,893

718,977

335

718,977

1,084

Swedol Ab-B

1 Month USD LIBOR plus 0.50%

Upon Maturity

Goldman Sachs

11/30/2020

SEK

128,205

129,292

1,379

129,292

1,087

1,503,718

3,500