Highland Funds I NPORT-P NexPoint Event Driven Fund (Mar 2022 report)

INVESTMENT PORTFOLIO (unaudited)

As of March 31, 2022 NexPoint Event Driven Fund

Shares			Value ($)
	Common Stock — 60.7%
	COMMUNICATION SERVICES — 0.2%
	19	Alphabet, Inc., Class C (a)		53,067
	CONSUMER DISCRETIONARY — 1.3%
	400	Caesars Entertainment (a)		30,944
	1,330	Carnival (a)(b)		26,893
	1,000	Cheesecake Factory (a)		39,790
	700	Dave & Buster’s Entertainment (a)		34,370
	6,671	DraftKings, Class A (a)		129,884
	140	Hasbro		11,469
	40	Lululemon Athletica (a)		14,609
	100	Winmark		22,000
				309,959
	CONSUMER STAPLES — 0.1%
	382	Monster Beverage (a)		30,522
	ENERGY — 1.9%
	76,129	Exterran (a)(c)		472,761
	FINANCIALS — 17.7%
	58,567	Ares Capital (b)		1,226,979
	1,800	Bank of Marin Bancorp (c)		63,126
	10,186	CBTX		315,766
	15,655	Elmira Savings Bank (c)		358,969
	350	Erie Indemnity, Class A (c)		61,645
	38	First Citizens BancShares, Inc., Class A		25,586
	19,771	Guaranty Federal Bancshares (c)		621,403
	800	Independent Bank		65,352
	29,265	Level One Bancorp		1,168,551
	43,999	Partners Bancorp (c)		405,231
	2,500	Premier Financial (c)		75,825
				4,388,433
	HEALTHCARE — 22.4%
	Health Care Equipment & Supplies — 6.6%
	500	Abbott Laboratories		59,180
	300	ABIOMED (a)(c)		99,372
	158	Align Technology (a)		68,888
	53,000	IntriCon (a)		1,264,580
	400	Teleflex (c)		141,932
				1,633,952
	Health Care Providers & Services — 0.5%
	1,250	US Physical Therapy		124,312
	Health Care Technology — 14.9%
	38,052	Cerner Corp. (c)		3,560,145
	700	Veeva Systems, Class A (a)(c)		148,722
				3,708,867
	Life Sciences Tools & Services — 0.4%
	400	IQVIA Holdings, Inc. (a)		92,484
				5,559,615
	INDUSTRIALS — 2.8%
	925	AerCap Holdings (a)		46,509
	2,400	American Airlines Group, Inc. (a)(b)		43,800
	1,800	CoStar Group (a)(c)		119,898
	1,200	Delta Air Lines (a)(c)		47,484
	130	Emerson Electric		12,746

Shares			Value ($)
	Common Stock (continued)
	INDUSTRIALS (continued)
	260	Honeywell International (c)		50,591
	278	ManTech International, Class A		23,961
	900	Maxar Technologies		35,514
	179	Roper Technologies, Inc.		84,529
	465	Sun Country Airlines Holdings (a)		12,174
	6,000	Veoneer (a)		221,700
				698,906
	INFORMATION TECHNOLOGY — 13.1%
	200	Adobe, Inc. (a)(c)		91,124
	1	Advanced Micro Devices (a)		96
	28,584	Citrix Systems, Inc. (a)		2,884,126
	750	Jack Henry & Associates (c)		147,787
	3,103	MoneyGram International (a)		32,768
	2,299	NortonLifeLock		60,969
	975	Sabre (a)(b)		11,144
	194	SS&C Technologies Holdings, Inc.		14,554
				3,242,568
	MATERIALS — 0.0%
	45	Sherwin-Williams Co/The		11,233
	REAL ESTATE — 0.6%
	6,383	Preferred Apartment Communities, Class A , REIT(c)		159,192
	UTILITIES — 0.6%
	1,200	Duke Energy (c)		133,992
	180	NextEra Energy		15,248
				149,240
		Total Common Stock (Cost $15,100,709)		15,075,496
	Special Purpose Acquisition Companies — 8.6%
	10,000	E.Merge Technology Acquisition, Class A (a)(c)		99,000
	2,487	Horizon Acquisition II, Class A (a)		24,646
	2,500	Liberty Media Acquisition, Class A (a)		24,775
	300	Pine Island Acquisition Corp, Class A (a)		2,949
	200,333	Social Capital Hedosophia Holdings IV, Class A (a)(c)		2,001,327
		Total Special Purpose Acquisition Companies (Cost $2,162,491)		2,152,697
Contracts
	Purchased Put Options(a)(c) — 0.1%
	91	Total Purchased Put Options (Cost $16,833		18,004

INVESTMENT PORTFOLIO (unaudited)(continued)

As of March 31, 2022 NexPoint Event Driven Fund

Contracts			Value ($)
	Purchased Call Options(a)(c) — 0.0%
	50	Total Purchased Call Options (Cost $6,541)		3,500
Shares
	Preferred Stock — 0.0%
	HEALTHCARE — 0.0%
	Healthcare Technology — 0.0%
	608,695	AMINO, Inc., Series C (a)(d)(e)(f)(g)		—
		Total Preferred Stock (Cost $3,499,996)		—
Principal Amount ($)
	Repurchase Agreements(h)(i) — 1.1%
	249,000	BofA Securities 0.030%, dated 3/31/2022 to be repurchased on 04/01/2022, repurchase price $249,002 (collateralized by U.S. Government obligations, ranging in par value $14,150 - $62,262, 2.000% - 4.000%, 02/01/2036 – 03/01/2052; with total market value $253,980)		249,000
	21,916	HSBC 0.030%, dated 3/31/2022 to be repurchased on 04/01/2022, repurchase price $21,916 (collateralized by U.S. Government obligations, ranging in par value $1 - $5,960, 0.000% - 5.250%, 08/15/2022 – 08/15/2050; with total market value $22,354)		21,916
		Total Repurchase Agreements (Cost $270,916)		270,916
Shares
	Cash Equivalents — 23.4%
	MONEY MARKET FUND(j) — 23.4%
	5,821,723	Dreyfus Treasury Obligations Cash Management, Institutional Class 0.150%		5,821,723
		Total Cash Equivalents (Cost $5,821,723)		5,821,723
	Total Investments - 93.9% (Cost $26,879,209)			23,342,336

Shares			Value ($)
	Securities Sold Short — (16.6)%
	Special Purpose Acquisition Companies — (0.0)%
	(40)	Benessere Capital Acquisition, Class A (k)		(410	)
	(300)	Social Capital Hedosophia Holdings IV, Class A (k)		(2,997	)
		Total Special Purpose Acquisition Companies (Proceeds $3,535)		(3,407	)
	Common Stock — (16.6)%
	CONSUMER DISCRETIONARY — (0.5)%
	(18,295)	Golden Nugget Online Gaming (k)		(130,078	)
	ENERGY — (2.0)%
	(77,728)	Enerflex		(498,460	)
	FINANCIALS — (12.9)%
	(7,181)	Allegiance Bancshares		(320,847	)
	(20,968)	First Merchants Corp.		(872,269	)
	(10,062)	OceanFirst Financial		(202,246	)
	(82,697)	Owl Rock Capital		(1,222,262	)
	(10,328)	QCR Holdings		(584,461	)
				(3,202,085	)
	INDUSTRIALS — (0.2)%
	(140)	Owens Corning		(12,810	)
	(87)	Parker-Hannifin		(24,687	)
				(37,497	)
	MATERIALS — (1.0)%
	(8,000)	GCP Applied Technologies (k)		(251,360	)
		Total Common Stock (Proceeds $4,081,465)		(4,119,480	)
		Total Securities Sold Short - (16.6)% (Proceeds $4,085,000)		(4,122,887	)
	Other Assets & Liabilities, Net - 22.7%(l)			5,627,649
	Net Assets - 100.0%			24,847,098

(a)	Non-income producing security.
(b)	Securities (or a portion of securities) on loan. As of March 31, 2022, the fair value of securities loaned was $300,400. The loaned securities were secured with cash and/or securities collateral of $308,809. Collateral is calculated based on prior day’s prices.
(c)	All or part of this security is pledged as collateral for short sales. The fair value of the securities pledged as collateral was $6,253,768.

INVESTMENT PORTFOLIO (unaudited)

As of March 31, 2022 NexPoint Event Driven Fund

(d)	Securities with a total aggregate value of $0, or 0.0% of net assets, were classified as Level 3 within the three-tier fair value hierarchy. Please see Notes to Investment Portfolio for an explanation of this hierarchy, as well as a list of unobservable inputs used in the valuation of these instruments.
(e)	There is currently no rate available.
(f)	Represents fair value as determined by the Fund’s Board of Trustees (the “Board”), or its designee in good faith, pursuant to the policies and procedures approved by the Board. The Board considers fair valued securities to be securities for which market quotations are not readily available and these securities may be valued using a combination of observable and unobservable inputs. Securities with a total aggregate value of $0, or 0.0% of net assets, were fair valued under the Fund’s valuation procedures as of March 31, 2022. Please see Notes to Investment Portfolio.
(g)	Restricted Securities. These securities are not registered and may not be sold to the public. There are legal and/or contractual restrictions on resale. The Fund does not have the right to demand that such securities be registered. The values of these securities are determined by valuations provided by pricing services, brokers, dealers, market makers, or in good faith under the policies and procedures established by the Board. Additional Information regarding such securities follows:

Restricted Security	Security Type	Acquisition Date		Cost of Security		Fair Value at Period End		Percent of Net Assets
AMINO, Inc.	Preferred Stock		11/18/2016	$	3,499,996	$	0		0.0	%

(h)	Tri-Party Repurchase Agreement.
(i)	This security was purchased with cash collateral held from securities on loan. The total value of such securities as of March 31, 2022 was $270,916.
(j)	Rate shown is 7 day effective yield.
(k)	No dividend payable on security sold short.
(l)	As of March 31, 2022, $6,255,947 in cash was segregated or on deposit with the brokers to cover investments sold short and is included in “Other Assets & Liabilities, Net”.

Purchased options contracts outstanding as of March 31, 2022 were as follows:

Description	Exercise price		Counterparty		Expiration Date		Number of Contracts		Notional Value		Premium		Value
PURCHASED CALL OPTIONS:
Constellium	$	18.00		Pershing		April 2022		50	$	90,000	$	6,541	$	3,500

Description	Exercise price		Counterparty		Expiration Date		Number of Contracts		Notional Value		Premium		Value
PURCHASED PUT OPTIONS:
SPDR S&P 500 ETF	$	451.00		Pershing		April 2022		21	$	947,100	$	10,459	$	15,729
Constellium		17.00		Pershing		April 2022		70		119,000		6,374		2,275
											$	16,833	$	18,004

INVESTMENT PORTFOLIO (unaudited)

As of March 31, 2022 NexPoint Event Driven Fund

Written options contracts outstanding as of March 31, 2022 were as follows:

Description	Exercise price		Counterparty		Expiration Date		Number of Contracts			Notional Value		Premium			Value
WRITTEN CALL OPTIONS:
Preferred Apartment Communities	$	25.00		Pershing		July 2022		(14	)	$	35,000	$	(1,091	)	$	(350	)
Preferred Apartment Communities		25.00		Pershing		October 2022		(50	)		125,000		(3,988	)		(8,625	)
Houghton Mifflin Harcourt		22.50		Pershing		June 2022		(35	)		78,750		(138	)		(1,225	)
Houghton Mifflin Harcourt		22.50		Pershing		September 2022		(35	)		78,750		(138	)		(1,575	)
Social Capital Hedosopha		10.00		Pershing		April 2022		(2,000	)		2,000,000		(47,536	)		(10,000	)
												$	(52,891	)	$	(21,775	)

The Fund had the following swaps contracts, which did not require pledged collateral, open at March 31, 2022:

															Upfront
															Premiums		Mark			Unrealized
											Notional		Fair		Paid		to			Appreciation/
Underlying	Financing		Payment				Expiration				Amount		Value		(Received)		Market			(Depreciation)
Instrument	Rate		Frequency		Counterparty		Date		Currency		($)		($)		($)		($)			($)
Long Equity TRS
Adobe Inc		1 Month USD LIBOR plus 0.50%		Upon Maturity		Goldman Sachs		December 23, 2022		USD		54,625		45,568		100		(9,057	)		(9,157	)
Aspire Global PLC		1 Month SEK-STIBOR plus 0.50%		Upon Maturity		Goldman Sachs		January 20, 2027		SEK		1,143,426		10,751,215		98,547		95,173			(3,374	)
Bottomline Technologies		1 Month USD LIBOR plus 0.50%		Upon Maturity		Goldman Sachs		February 23, 2023		USD		119,720		122,019		2,117		2,299			182
Citrix Systems		1 Month USD LIBOR plus 0.50%		Upon Maturity		Goldman Sachs		February 2, 2023		USD		513,803		514,930		5,059		1,126			(3,933	)
Elmira Savings Bank		1 Month USD LIBOR plus 0.50%		Upon Maturity		Goldman Sachs		February 8, 2023		USD		10,410		10,878		455		467			12
Fidelity National Information Services		1 Month USD LIBOR plus 0.50%		Upon Maturity		Goldman Sachs		November 29, 2022		USD		215,271		202,353		2,000		(12,918	)		(14,918	)
Houghton Mifflin Harcourt		1 Month USD LIBOR plus 0.50%		Upon Maturity		Goldman Sachs		February 24, 2023		USD		1,055,233		1,113,565		50,634		58,332			7,698
Hunter Douglas NV		1 Day EUR-EONIA minus 0.50%		Upon Maturity		Goldman Sachs		January 6, 2023		EUR		229,039		208,477		1,200		2,626			1,426
Intertape Polymer Group		1 Month CADCDOR plus 0.50%		Upon Maturity		Goldman Sachs		March 11, 2023		CAD		997,358		1,286,638		31,704		40,887			9,183
Intricon		1 Month USD LIBOR plus 0.50%		Upon Maturity		Goldman Sachs		March 2, 2023		USD		734,922		763,878		30,745		28,955			(1,790	)
Mckay Securities PLC		1 Month GBP LIBOR plus 0.50%		Upon Maturity		Goldman Sachs		March 7, 2023		GBP		17,033		17,939		4,454		5,002			548
Next Games		1 Day EUR-EONIA minus 0.50%		Upon Maturity		Goldman Sachs		March 20, 2023		EUR		217,555		294,285		96,572		98,756			2,184

INVESTMENT PORTFOLIO (unaudited)

As of March 31, 2022 NexPoint Event Driven Fund

												Upfront
												Premiums			Mark			Unrealized
						Notional			Fair			Paid			to			Appreciation/
Underlying	Financing	Payment		Expiration		Amount			Value			(Received)			Market			(Depreciation)
Instrument	Rate	Frequency	Counterparty	Date	Currency	($)			($)			($)			($)			($)
S&P Global	1 Month USD LIBOR plus 0.50%	Upon Maturity	Goldman Sachs	November 2, 2022	USD		9,515			8,629			21			(887	)		(908	)
Salesforce.Com	1 Month USD LIBOR plus 0.50%	Upon Maturity	Goldman Sachs	December 23, 2022	USD		131,004			111,771			525			(19,234	)		(19,759	)
Visa	1 Month USD LIBOR plus 0.50%	Upon Maturity	Goldman Sachs	December 23, 2022	USD		278,517			289,079			1,300			10,562			9,262
Volt Info Sciences	1 Month USD LIBOR plus 0.50%	Upon Maturity	Goldman Sachs	March 17, 2023	USD		247,632			293,076			42,000			45,444			3,444
Total Long Equity Total Return Swaps										16,034,300			367,433			347,533			(19,900	)
Short Equity TRS
Workspace Group PLC	1 Month GBP LIBOR plus 0.50%	Upon Maturity	Goldman Sachs	March 7, 2023	GBP		(4,980	)		(3,932	)		(512	)		(150	)		362
Total Short Equity Total Return Swaps										(3,932	)		(512	)		(150	)		362
Total Return Swaps - Net										16,030,368			366,921			347,383			(19,538	)

INVESTMENT PORTFOLIO (unaudited)

As of March 31, 2022 NexPoint Merger Arbitrage Fund

Shares			Value ($)
	Common Stock — 32.0%
	CONSUMER DISCRETIONARY — 0.9%
	9,506	Accell Group (a)		607,108
	69,705	DraftKings, Class A (a)(b)		1,357,156
	161,460	Houghton Mifflin Harcourt (a)		3,392,275
	54,323	Terminix Global Holdings (a)		2,478,758
				7,835,297
	ENERGY — 6.5%
	12,500	BP ADR		367,500
	2,892,264	BP Midstream Partners		48,937,107
	99,574	Exterran (a)		618,354
	165,000	Renewable Energy Group (a)		10,007,250
				59,930,211
	FINANCIALS — 10.5%
	142,482	American National Group (c)		26,941,921
	21,812	Apollo Global Management		1,352,126
	202,864	CBTX (c)		6,288,784
	479	Columbia Banking System (b)		15,457
	5,030	HUB24		101,988
	548,345	Investors Bancorp		8,186,791
	192,308	Level One Bancorp (c)		7,678,858
	2,150	MDH Acquisition, Class A (a)		21,006
	114,269	Partners Bancorp		1,052,417
	1,991,938	People’s United Financial		39,818,841
	192,106	Sanne Group (a)		2,311,849
	49,485	TriState Capital Holdings (a)		1,644,387
				95,414,425
	HEALTHCARE — 6.9%
	674,923	Cerner Corp.		63,145,796
	INDUSTRIALS — 1.7%
	8,412	Akka Technologies (a)		458,431
	241,782	Huttig Building Products (a)		2,577,396
	168,111	US Ecology (a)		8,049,155
	140,957	Veoneer (a)		5,208,361
				16,293,343
	INFORMATION TECHNOLOGY — 4.5%
	15,012	Bottomline Technologies DE (a)		850,880
	360,000	Citrix Systems, Inc. (a) (c)		36,324,000
	299	Marvell Technology		21,442
	47,400	Mimecast (a)		3,771,144
				40,967,466
	REAL ESTATE — 1.0%
	377,217	Preferred Apartment Communities, Class A , REIT (c)		9,407,792
		Total Common Stock (Cost $295,746,793)		292,994,330
	Special Purpose Acquisition Companies — 7.9%
	10,146	7GC & Holdings, Class A (a)		99,532
	5,600	ACE Convergence Acquisition, Class A (a)		56,280
	25,000	AltEnergy Acquisition, Class A (a)		247,750
	285,000	Altimeter Growth 2, Class A (a)		2,798,700

Shares			Value ($)
	Special Purpose Acquisition Companies (continued)
	600	Apollo Strategic Growth Capital II, Class A (a)		5,880
	25,000	Arbor Rapha Capital Bioholdings I (a)		251,750
	10,000	Ascendant Digital Acquisition III (a)		100,900
	45,239	Athena Consumer Acquisition, Class A (a)		451,485
	52,078	Banner Acquisition (a)		512,968
	40	Benessere Capital Acquisition, Class A (a)		410
	30,000	Better World Acquisition Corp (a)		308,100
	34,781	Biotech Acquisition Co, Class A (a)		342,593
	10,000	Blockchain Coinvestors Acquisition I (a)		100,500
	100	Blue Safari Group Acquisition, Class A (a)		1,005
	72,109	Carney Technology Acquisition II, Class A (a)		708,110
	166,900	CC Neuberger Principal Holdings II, Class A (a)		1,655,648
	1,000	CC Neuberger Principal Holdings III (a)		9,970
	72,800	Churchill Capital V, Class A (a)		715,624
	81,594	Class Acceleration, Class A (a)		797,989
	320,620	Cohn Robbins Holdings, Class A (a)		3,186,963
	183,700	Compute Health Acquisition, Class A (a)		1,796,586
	1,000	Compute Health Acquisition (a)		9,900
	2,644	Comunibanc		153,339
	213,700	Conx Corp, Class A (a)		2,104,945
	103,335	Corner Growth Acquisition, Class A (a)		1,014,750
	3,130	Corner Growth Acquisition (a)		30,956
	11,400	Crucible Acquisition, Class A (a)		111,834
	12,100	DPCM Capital (a)		119,669
	49,512	DTRT Health Acquisition, Class A (a)		495,615
	120,000	E.Merge Technology Acquisition, Class A (a)		1,188,000
	225,000	Energem (a)		2,308,500
	26,162	Epiphany Technology Acquisition, Class A (a)		256,911
	60,927	Everest Consolidator Acquisition (a)		610,489
	24,400	Far Peak Acquisition, Class A (a)(b)		242,536
	2,944	First Light Acquisition Group, Class A (a)		29,116
	1,000	Focus Impact Acquisition (a)		10,020
	9,896	Fortress Value Acquisition IV, Class A (a)		96,981
	150,026	Forum Merger IV, Class A (a)(c)		1,465,754
	134,063	GigCapital5 (a)		1,335,267
	24,680	Global Synergy Acquisition, Class A (a)		245,319

INVESTMENT PORTFOLIO (unaudited)(continued)

As of March 31, 2022 NexPoint Merger Arbitrage Fund

Shares			Value ($)
	Special Purpose Acquisition Companies (continued)
	9,096	Gores Holdings VII, Class A (a)		89,050
	1,000	Gores Technology Partners (a)		9,895
	7	Gores Technology Partners II, Class A (a)		68
	4,000	Gores Technology Partners II (a)		40,520
	145,507	Green Visor Financial Technology Acquisition I (a)		1,460,890
	6,758	Hamilton Lane Alliance Holdings I, Class A (a)		66,228
	39,736	Haymaker Acquisition III, Class A (a)		392,592
	288,800	Health Assurance Acquisition, Class A (a)(c)		2,844,680
	500	Hennessy Capital Investment V, Class A (a)		4,890
	9,213	Horizon Acquisition II, Class A (a)		91,301
	1,000	Hudson Executive Investment III (a)		9,850
	20,000	Iconic Sports Acquisition (a)		201,400
	34,900	IG Acquisition Corp, Class A (a)		344,114
	294,324	Integrated Rail and Resources Acquisition (a)		2,957,956
	15,068	InterPrivate III Financial Partners, Class A (a)		148,872
	12,792	Jack Creek Investment, Class A (a)		125,490
	2,164	Jaws Mustang Acquisition (a)		21,402
	1,486	KludeIn I Acquisition, Class A (a)		14,756
	252,000	Lefteris Acquisition Corp, Class A (a)		2,482,200
	8,700	Liberty Media Acquisition, Class A (a)		86,217
	244,909	Lionheart III, Class A (a) (c)		2,434,395
	106,700	Lux Health Tech Acquisition, Class A (a)		1,052,062
	71,084	Maxpro Capital Acquisition, Class A (a)		710,129
	90,000	McLaren Technology Acquisition, Class A (a)		898,200
	100,172	Mercury Ecommerce Acquisition, Class A (a)		983,689
	10,194	Monument Circle Acquisition, Class A (a)		99,697
	81,400	Mudrick Capital Acquisition II, Class A (a)		816,035
	5,287	North Mountain Merger, Class A (a)		52,288
	10,000	Northern Star Investment II, Class A (a)		97,800
	507	Orion Biotech Opportunities (a)		5,232
	50,000	Parabellum Acquisition, Class A (a)		491,250
	99,589	Parsec Capital Acquisitions, Class A (a)		996,886
	250,000	Perception Capital II, Class A (a) (c)		2,495,000
	20,428	Periphas Capital Partnering, Class A (a)		501,099

Shares			Value ($)
	Special Purpose Acquisition Companies (continued)
	15,000	Pershing Square Tontine Holdings, Class A (a)		298,350
	217,482	Phoenix Biotech Acquisition, Class A (a)		2,174,820
	142,600	Pine Island Acquisition Corp, Class A (a)		1,401,758
	5,887	Pioneer Merger, Class A (a)		57,693
	1,000	Pivotal Investment III (a)		9,770
	14,302	Pivotal Investment III, Class A (a)		139,874
	39,792	Priveterra Acquisition, Class A (a)		389,166
	88,144	PropTech Investment II, Class A (a)(b)		866,455
	19,800	Prospector Capital, Class A (a)		194,040
	25,000	Queen’s Gambit Growth Capital, Class A (a)		234,500
	85,000	RedBall Acquisition (a)		844,050
	100,100	Ribbit LEAP (a)		987,987
	30,000	Ross Acquisition II, Class A (a)		294,600
	3,286	Science Strategic Acquisition Alpha, Class A (a)		32,236
	55,100	Seaport Global Acquisition II, Class A (a)		546,041
	246,346	Semper Paratus Acquisition (a)		2,488,095
	60,000	Sierra Lake Acquisition, Class A (a)		591,000
	1,000	Slam (a)		9,840
	449,700	Social Capital Hedosophia Holdings IV, Class A (a)		4,492,503
	32,600	Social Capital Hedosophia Holdings VI, Class A (a)		329,260
	42,600	Social Leverage Acquisition I, Class A (a)		417,054
	859	Sustainable Development Acquisition I (a)		8,478
	40,200	SVF Investment Corp, Class A (a)		393,960
	38,968	Talon 1 Acquisition (a)		392,408
	30,000	Tastemaker Acquisition, Class A (a)		296,700
	324,984	Thrive Acquisition (a)		3,246,590
	5,000	Thunder Bridge Capital Partners III, Class A (a)		49,100
	3,645	TLG Acquisition One, Class A (a)		35,685
	2,800	VectoIQ Acquisition II, Class A (a)		27,552
	242,400	VY Global Growth, Class A (a)		2,399,760
		Total Special Purpose Acquisition Companies (Cost $72,528,806)		72,654,102

INVESTMENT PORTFOLIO (unaudited)(continued)

As of March 31, 2022 NexPoint Merger Arbitrage Fund

Units			Value ($)
	Warrants — 0.1%
	Special Purpose Acquisition Companies — 0.1%
	3,094	7GC & Holdings, Expires 01/03/2027(a)		681
	12,500	AltEnergy Acquisition, Expires 02/09/2023(a)		2,520
	125,076	Athena Consumer Acquisition, Expires 07/23/2023(a)		37,510
	500	Biotech Acquisition, Expires 12/03/2027(a)		118
	3,333	Carney Technology Acquisition II, Expires 12/03/2027(a)		1,167
	24,700	DTRT Health Acquisition, Expires 11/15/2022(a)		5,187
	150,000	Fat Projects Acquisition, Expires 12/19/2022(a)		25,500
	181,950	GoGreen Investments, Expires 06/07/2023(a)		45,487
	9,769	Haymaker Acquisition III, Expires 02/15/2027(a)		5,373
	125,000	Intelligent Medicine Acquisition, Expires 01/16/2023(a)		34,750
	13,605	Jatt Acquisition, Expires 06/18/2023(a)		5,849
	119,655	Lionheart III, Expires 03/22/2023(a)		34,700
	71,084	Maxpro Capital Acquisition, Expires 01/25/2023(a)		15,638
	92,147	McLaren Technology Acquisition, Expires 03/06/2023(a)		19,719
	33,536	Mercury Ecommerce Acquisition, Expires 03/28/2023(a)		11,050
	223,160	Parabellum Acquisition, Expires 03/29/2023(a)		51,349
	99,589	Parsec Capital Acquisitions, Expires 01/08/2023		22,806
	198,080	Perception Capital II, Expires 01/03/2029(a)		49,500
	108,741	Phoenix Biotech Acquisition, Expires 09/04/2026(a)		23,510
	12,612	PropTech Investment II, Expires 01/03/2028(a)		3,405
	25,537	Seaport Global Acquisition II, Expires 11/04/2023(a)		8,404
	30,000	Sierra Lake Acquisition, Expires 04/03/2028(a)		7,326
	162,492	Thrive Acquisition, Expires 03/12/2023(a)		40,136
	1,215	TLG Acquisition One, Expires 01/28/2028(a)		241
				451,926
		Total Warrants (Cost $796,668)		451,926

Contracts			Value ($)
	Purchased Put Options (a) — 0.0%
	1,273	Total Purchased Put Options (Cost $504,908		373,689
	Purchased Call Options (a) — 0.0%
	567	Total Purchased Call Options (Cost $153,718)		119,984
Shares
	Preferred Stock — 0.0%
	HEALTHCARE — 0.0%
	434,783	AMINO, Inc., Series C (a)(d)(e)(f)(g)		—
		Total Preferred Stock (Cost $2,500,002)		—
Number of Rights
	Rights — 0.0%
	INFORMATION TECHNOLOGY — 0.0%
	22,787	Zagg Inc (a)(d)(f)		2,051
		Total Rights (Cost $–)		2,051
Principal Amount ($)
	Repurchase Agreements (h)(i) — 0.2%
	319,677	RBC Dominion Securities 0.030%, dated 3/31/2022 to be repurchased on 04/01/2022, repurchase price $319,680 (collateralized by U.S. Government obligations, ranging in par value $0 - $118,240, 0.000% - 5.500%, 04/26/2022 – 03/20/2052; with total market value $326,071)		319,677
	319,677	Citigroup 0.031%, dated 3/31/2022 to be repurchased on 04/01/2022, repurchase price $319,680 (collateralized by U.S. Government obligations, ranging in par value $0 - $137,455, 2.000% - 10.000%, 06/15/2022 – 01/20/2052; with total market value $326,071)		319,677
	319,677	Daiwa Capital Markets 0.030%, dated 3/31/2022 to be repurchased on 04/01/2022, repurchase price $319,680 (collateralized by U.S. Government obligations, ranging in par value $0 - $91,840, 0.000% - 6.500%, 04/05/2022 – 04/01/2052; with total market value $326,071)		319,677

INVESTMENT PORTFOLIO (unaudited)(continued)

As of March 31, 2022 NexPoint Merger Arbitrage Fund

Principal Amount ($)			Value ($)
	Repurchase Agreements(h)(i) (continued)
	94,753	Nomura 0.027%, dated 3/31/2022 to be repurchased on 04/01/2022, repurchase price $94,754 (collateralized by U.S. Government obligations, ranging in par value $3 - $29,921, 0.000% - 4.000%, 06/01/2027 – 08/01/2058; with total market value $96,648)		94,753
	319,677	BofA Securities 0.030%, dated 3/31/2022 to be repurchased on 04/01/2022, repurchase price $319,680 (collateralized by U.S. Government obligations, ranging in par value $18,166 - $79,934, 2.000% - 4.000%, 02/01/2036 – 03/01/2052; with total market value $326,071)		319,677
		Total Repurchase Agreements (Cost $1,373,461)		1,373,461
Shares
	Cash Equivalents — 60.4%
	MONEY MARKET FUND (j) — 60.4%
	552,219,986	Dreyfus Treasury Obligations Cash Management, Institutional Class 0.150%		552,219,986
		Total Cash Equivalents (Cost $552,219,986)		552,219,986
	Total Investments — 100.6% (Cost $925,824,342)			920,189,529
	Securities Sold Short — (13.2)%
	Exchange-Traded Funds — (0.1)%
	(3,809)	Invesco CurrencyShares British Pound Sterling Trust (k)		(481,077	)
	(4,396)	Invesco CurrencyShares Euro Currency Trust (k)		(450,980	)
		Total Exchange-Traded Funds (Proceeds $953,036)		(932,057	)
	Special Purpose Acquisition Companies — (0.0)%
	(3,800)	Social Capital Hedosophia Holdings IV, Class A (k)		(37,962	)
	(5,000)	Social Capital Hedosophia Holdings VI, Class A (k)		(50,500	)
		Total Special Purpose Acquisition Companies (Proceeds $92,252)		(88,462	)

Shares			Value ($)
	Common Stock — (13.1)%
	COMMUNICATION SERVICES — (0.0)%
	(1)	Madison Square Garden Entertainment (k)		(69	)
	CONSUMER DISCRETIONARY — (0.1)%
	(191,244)	Golden Nugget Online Gaming (k)		(1,359,745	)
	ENERGY — (5.5)%
	(1,675,028)	BP ADR		(49,245,823	)
	(101,665)	Enerflex		(651,965	)
				(49,897,788	)
	FINANCIALS — (6.9)%
	(143,040)	Allegiance Bancshares		(6,391,027	)
	(21,812)	Apollo Global Management		(1,352,126	)
	(162,870)	Citizens Financial Group		(7,382,897	)
	(3,143)	Civista Bancshares		(75,746	)
	(137,791)	First Merchants Corp.		(5,732,106	)
	(5,030)	HUB24		(101,988	)
	(235,051)	M&T Bank		(39,841,144	)
	(26,132)	OceanFirst Financial		(525,253	)
	(12,372)	Raymond James Financial, Inc.		(1,359,807	)
	(232)	SVB Financial Group (k)		(129,792	)
	(803)	Umpqua Holdings		(15,145	)
				(62,907,031	)
	INDUSTRIALS — (0.5)%
	(288,436)	Rentokil Initial		(1,991,432	)
	(1,726,627)	Rolls-Royce Holdings (k)		(2,275,706	)
				(4,267,138	)
	INFORMATION TECHNOLOGY — (0.1)%
	(40,000)	Mandiant (k)		(892,400	)
	(299)	Marvell Technology		(21,441	)
				(913,841	)
	MATERIALS — (0.0)%
	(4,784)	GCP Applied Technologies (k)		(150,313	)
		Total Common Stock (Proceeds $122,317,762)		(119,495,925	)
		Total Securities Sold Short - (13.2)% (Proceeds $123,363,050)		(120,516,444	)
	Other Assets & Liabilities, Net - 12.6%(l)			115,004,024
	Net Assets—100.0%			914,677,109

(a) Non-income producing security.

(b) Securities (or a portion of securities) on loan. As of March 31, 2022, the fair value of securities loaned was $1,444,778. The loaned securities were secured with cash and/or securities collateral of $1,481,210. Collateral is calculated based on prior day’s prices.

(c) All or part of this security is pledged as collateral for short sales. The fair value of the securities pledged as collateral was $85,900,229.

INVESTMENT PORTFOLIO (unaudited)(continued)

As of March 31, 2022 NexPoint Merger Arbitrage Fund

(d) Securities with a total aggregate value of $2,051, or 0.0% of net assets, were classified as Level 3 within the three-tier fair value hierarchy. Please see Notes to Investment Portfolio for an explanation of this hierarchy, as well as a list of unobservable inputs used in the valuation of these instruments.

(e) There is currently no rate available.

(f) Represents fair value as determined by the Fund’s Board of Trustees (the “Board”), or its designee in good faith, pursuant to the policies and procedures approved by the Board. The Board considers fair valued securities to be securities for which market quotations are not readily available and these securities may be valued using a combination of observable and unobservable inputs. Securities with a total aggregate value of $2,051, or 0.0% of net assets, were fair valued under the Fund’s valuation procedures as of March 31, 2022. Please see Notes to Investment Portfolio.

(g) Restricted Securities. These securities are not registered and may not be sold to the public. There are legal and/or contractual restrictions on resale. The Fund does not have the right to demand that such securities be registered. The values of these securities are determined by valuations provided by pricing services, brokers, dealers, market makers, or in good faith under the policies and procedures established by the Board. Additional Information regarding such securities follows:

Restricted Security	Security Type	Acquisition Date		Cost of Security		Fair Value at Period End		Percent of Net Assets
AMINO, Inc.	Preferred Stock		11/18/2016	$	2,500,002	$	0		0.0	%

(h) Tri-Party Repurchase Agreement.

(i) This security was purchased with cash collateral held from securities on loan. The total value of such securities as of March 31, 2022 was $1,373,461.

(j) Rate shown is 7 day effective yield.

(k) No dividend payable on security sold short.

(l) As of March 31, 2022, $108,319,115 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, 2022 NexPoint Merger Arbitrage Fund

Purchased options contracts outstanding as of March 31, 2022 were as follows:

Description	Exercise price		Counterparty		Expiration Date		Number of Contracts		Notional Value		Premium		Value
PURCHASED CALL OPTIONS:
Marvell Technology	$	55.00		Jeffries		January 2023		36	$	198,000	$	40,677	$	82,080
Carnival		30.00		Jeffries		January 2023		75		225,000		37,733		8,325
Constellium		18.00		Pershing		April 2022		335		603,000		43,824		23,450
Carnival		27.50		Pershing		June 2022		67		184,250		15,667		1,809
Carnival		27.50		Pershing		September 2022		54		148,500		15,817		4,320
											$	153,718	$	119,984

Description	Exercise price		Counterparty		Expiration Date		Number of Contracts		Notional Value		Premium		Value
PURCHASED PUT OPTIONS:
Invesco QQQ Trust	$	350.00		Pershing		April 2022		194	$	6,790,000	$	90,416	$	6,790
SPDR S&P 500 ETF		437.00		Pershing		April 2022		235		10,269,500		183,457		67,915
SPDR S&P 500 ETF		451.00		Pershing		April 2022		379		17,092,900		188,697		283,871
Constellium		17.00		Pershing		April 2022		465		790,500		42,338		15,113
											$	504,908	$	373,689

Written options contracts outstanding as of March 31, 2022 were as follows:

Description	Exercise price		Counterparty	Expiration Date	Number of Contracts			Notional Value		Premium			Value
WRITTEN CALL OPTIONS:
Mimecast	$	80.00	Pershing	May 2022		(450	)	$	3,600,000	$	(26,675	)	$	(4,500	)
Conx Corp		10.00	Pershing	April 2022		(1,253	)		1,253,000		(14,102	)		(6,265	)
Cohn Robbins Holdings		10.00	Pershing	May 2022		(1,014	)		1,014,000		(4,005	)		(5,070	)
DPCM Capital		10.00	Pershing	April 2022		(17	)		17,000		(197	)		(85	)
Vy Global Growth		10.00	Pershing	June 2022		(924	)		924,000		(8,270	)		(9,240	)
Compute Health Acquisition		10.00	Pershing	May 2022		(23	)		23,000		(206	)		(92	)
Pershing Square Tontine		20.00	Pershing	June 2022		(92	)		184,000		(1,927	)		(1,380	)
Pershing Square Tontine		20.00	Pershing	April 2022		(58	)		116,000		(1,153	)		(290	)
IG Acquisition Corp		10.00	Pershing	April 2022		(165	)		165,000		(1,477	)		(825	)
Preferred Apartment Communities		25.00	Pershing	July 2022		(1,139	)		2,847,500		(68,315	)		(28,475	)
Preferred Apartment Communities		25.00	Pershing	April 2022		(1,496	)		3,740,000		(91,534	)		(7,480	)
Preferred Apartment Communities		25.00	Pershing	October 2022		(730	)		1,825,000		(58,227	)		(125,925	)
Ribbit LEAP		10.00	Pershing	April 2022		(1	)		1,000		(29	)		(5	)
Churchill Capital Corp V		12.50	Pershing	May 2022		(3	)		3,750		(12	)		(15	)
Altimeter Growth Corp		10.00	Pershing	April 2022		(600	)		600,000		(8,370	)		(2,400	)
Health Assurance Acquisition		10.00	Pershing	April 2022		(309	)		309,000		(1,471	)		(1,545	)
Houghton Mifflin Harcourt		22.50	Pershing	June 2022		(465	)		1,046,250		(1,837	)		(16,275	)
Houghton Mifflin Harcourt		22.50	Pershing	September 2022		(465	)		1,046,250		(1,837	)		(20,925	)
Pine Island Acquisition Corp		10.00	Pershing	April 2022		(1,426	)		1,426,000		(12,435	)		(1,426	)
Marvell Technology		65.00	Pershing	January 2023		(36	)		234,000		(30,387	)		(57,780	)
Social Capital Hedosopha		10.00	Pershing	April 2022		(3,402	)		3,402,000		(118,502	)		(17,010	)
Better World Acquisition Corp		10.00	Pershing	April 2022		(300	)		300,000		(11,920	)		(9,600	)
Carnival		40.00	Pershing	January 2023		(75	)		300,000		(25,540	)		(2,475	)
Social Capital Hedosophia		10.00	Pershing	May 2022		(276	)		276,000		(4,678	)		(5,796	)
										$	(493,106	)	$	(324,879	)

INVESTMENT PORTFOLIO (unaudited)(continued)

As of March 31, 2022 NexPoint Merger Arbitrage Fund

The Fund had the following swap contracts, which did not require pledged collateral, open at March 31, 2022:

Swap contracts outstanding as of March 31, 2022 were as follows:

												Upfront
												Premiums			Mark			Unrealized
						Notional			Fair			Paid			to			Appreciation/
Underlying	Financing	Payment		Expiration		Amount			Value			(Received)			Market			(Depreciation)
Instrument	Rate	Frequency	Counterparty	Date	Currency	($)			($)			($)			($)			($)
Long Equity TRS
Aspire Global PLC	1 Month SEK-STIBOR plus 0.50%	Upon Maturity	Goldman Sachs	January 20, 2027	SEK		2,283,602			2,274,063			196,712			187,173			(9,539	)
Biotech Acquisition Co, Class A	1 Month USD LIBOR plus 0.50%	Upon Maturity	Goldman Sachs	June 28, 2022	USD		8,697			8,822			900			1,025			125
Clinigen Group PLC	1 Month GBP LIBOR plus 0.50%	Upon Maturity	Goldman Sachs	March 27, 2023	GBP		15,387,664			15,405,449			1,266,333			1,284,119			17,786
Elmira Savings Bank	1 Month USD LIBOR plus 0.50%	Upon Maturity	Goldman Sachs	October 26, 2022	USD		10,945			10,998			481			534			53
Falck Renewables Spa	1 Day EUR-EONIA minus 0.50%	Upon Maturity	Goldman Sachs	December 9, 2022	EUR		6,757,790			6,869,896			700,000			812,106			112,106
Hibernia REIT PLC	1 Day EUR-EONIA minus 0.50%	Upon Maturity	Goldman Sachs	April 3, 2023	EUR		3,731,703			3,724,382			2,071,365			2,064,044			(7,321	)
Houghton Mifflin Harcourt	1 Month USD LIBOR plus 0.50%	Upon Maturity	Goldman Sachs	February 24, 2023	USD		8,903,331			8,963,246			427,215			487,129			59,914
Hunter Douglas NV	1 Day EUR-EONIA minus 0.50%	Upon Maturity	Goldman Sachs	January 6, 2023	EUR		8,392,857			8,409,809			43,790			60,742			16,952
Intertape Polymer Group	1 Month USD LIBOR plus 0.50%	Upon Maturity	Goldman Sachs	March 13, 2023	CAD		16,893,050			17,048,598			536,996			692,544			155,548
Mckay Securities PLC	1 Month GBP LIBOR plus 0.50%	Upon Maturity	Goldman Sachs	March 7, 2023	GBP		151,847			161,684			40,954			50,791			9,837
Rolls-Royce Holdings PLC	1 Month GBP LIBOR plus 0.50%	Upon Maturity	Goldman Sachs	January 27, 2023	GBP		2,234,070			2,296,755			1,726,627			1,789,312			62,685
Sanne Group PLC	1 Month GBP LIBOR plus 0.50%	Upon Maturity	Goldman Sachs	September 10, 2022	GBP		6,464,770			6,475,288			539,832			550,350			10,518
Total Long Equity Total Return Swaps										71,648,990			7,551,205			7,979,869			428,664
												Premiums			Mark			Unrealized
						Notional			Fair			Paid			to			Appreciation/
Underlying	Financing	Payment		Expiration		Amount			Value			(Received)			Market			(Depreciation)
Instrument	Rate	Frequency	Counterparty	Date	Currency	($)			($)			($)			($)			($)
Short Equity TRS
Workspace Group PLC	1 Month GBP LIBOR plus 0.50%	Upon Maturity	Goldman Sachs	March 7, 2023	GBP		(41,458	)		(42,478	)		(4,710	)		(5,730	)		(1,020	)
Total Short Equity Total Return Swaps										(42,478	)		(4,710	)		(5,730	)		(1,020	)
Total Return Swaps — Net										71,606,512			7,546,495			7,974,139			427,644

($) denotes USD.

NOTES TO INVESTMENT PORTFOLIO (unaudited)

As of March 31, 2022 Highland Funds I

Organization

Highland Funds I (the “Trust”) was organized as a Delaware statutory trust on February 28, 2006. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company with three portfolios that were offered as of March 31, 2022, each of which is non-diversified. This report includes information for the three months ended March 31, 2022 for NexPoint Event Driven Fund (the “Event Driven Fund”) (formerly Highland Healthcare Opportunities Fund) and NexPoint Merger Arbitrage Fund (the “Merger Arbitrage Fund”) (each a “Fund” and, collectively, the “Funds”). Highland/iBoxx Senior Loan ETF is reported separately.

Valuation of Investments

The Funds’ investments are recorded at fair value. In computing the Funds’ net assets attributable to shares, securities with readily available market quotations on the New York Stock Exchange (NYSE), National Association of Securities Dealers Automated Quotation (NASDAQ) or other nationally recognized exchange, use the closing quotations on the respective exchange for valuation of those securities. Securities for which there are no readily available market quotations will be valued pursuant to policies adopted by the Funds’ Board of Trustees (“Board”). Typically, such securities will be valued at the mean between the most recently quoted bid and ask prices provided by the principal market makers. If there is more than one such principal market maker, the value shall be the average of such means. Securities without a sale price or quotations from principal market makers on the valuation day may be priced by an independent pricing service. Generally, the Funds’ loan and bond positions are not traded on exchanges and consequently are valued based on a mean of the bid and ask price from the third-party pricing services or broker-dealer sources that the Investment Adviser has determined to have the capability to provide appropriate pricing services which have been approved by the Board.

Securities for which market quotations are not readily available, or for which the Funds have determined that the price received from a pricing service or broker-dealer is “stale” or otherwise does not represent fair value (such as when events materially affecting the value of securities occur between the time when market price is determined and calculation of the Funds’ net asset value (“NAV”), will be valued by the Funds at fair value, as determined by the Board or its designee in good faith in accordance with procedures approved by the Board, taking into account factors reasonably determined to be relevant, including, but not limited to: (i) the fundamental analytical data relating to the investment; (ii) the nature and duration of restrictions on disposition of the securities; and (iii) an evaluation of the forces that influence the market in which these securities are purchased and sold. In these cases, the Funds’ NAV will reflect the affected portfolio securities’ fair value as determined in the judgment of the Board or its designee instead of being determined by the market. Using a fair value pricing methodology to value securities may result in a value that is different from a security’s most recent sale price and from the prices used by other investment companies to calculate their NAVs. Determination of fair value is uncertain because it involves subjective judgments and estimates.

There can be no assurance that the Funds’ valuation of a security will not differ from the amount that it realizes upon the sale of such security. Those differences could have a material impact to the Funds. The NAV shown in the Funds’ financial statements may vary from the NAV published by each Fund as of its period end because portfolio securities transactions are accounted for on the trade date (rather than the day following the trade date) for financial statement purposes.

Fair Value Measurements

The Funds have performed an analysis of all existing investments and derivative instruments to determine the significance and character of inputs to their fair value determination. The levels of fair value inputs used to measure the Funds’ investments are characterized into a fair value hierarchy. Where inputs for an asset or liability fall into more than one level in the fair value hierarchy, the investment is classified in its entirety based on the lowest level input that is significant to that investment’s valuation. The three levels of the fair value hierarchy are described below:

NOTES TO INVESTMENT PORTFOLIO (unaudited) (continued)

As of March 31, 2022 Highland Funds I

Level 1 —	Quoted unadjusted prices for identical instruments in active markets to which the Fund has access at the date of measurement;
Level 2 —	Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active, but are valued based on executed trades; broker quotations that constitute an executable price; and alternative pricing sources supported by observable inputs are classified within Level 2. Level 2 inputs are either directly or indirectly observable for the asset in connection with market data at the measurement date; and
Level 3 —	Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. In certain cases, investments classified within Level 3 may include securities for which the Fund has obtained indicative quotes from broker-dealers that do not necessarily represent prices the broker may be willing to trade on, as such quotes can be subject to material management judgment. Unobservable inputs are those inputs that reflect the Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information.

The Investment Adviser has established policies and procedures, as described above and approved by the Board, to ensure that valuation methodologies for investments and financial instruments that are categorized within all levels of the fair value hierarchy are fair and consistent. A Pricing Committee has been established to provide oversight of the valuation policies, processes and procedures, and is comprised of personnel from the Investment Adviser and its affiliates. The Pricing Committee meets monthly to review the proposed valuations for investments and financial instruments and is responsible for evaluating the overall fairness and consistent application of established policies.

As of March 31, 2022, the Funds’ investments consisted of common stocks, preferred stocks, repurchase agreements, special purpose acquisition companies, exchange-traded funds, cash equivalents, rights, warrants, securities sold short, equity swaps, and options.

The fair value of the Funds’ common stocks, preferred stocks, other registered investments companies, rights, warrants and options that are not actively traded on national exchanges are generally priced using quotes derived from implied values, indicative bids, or a limited amount of actual trades and are classified as Level 3 assets because the inputs used by the brokers and pricing services to derive the values are not readily observable. Exchange-traded options are valued based on the last trade price on the primary exchange on which they trade. If an option does not trade, the mid-price, which is the mean of the bid and ask price, is utilized to value the option.

At the end of each calendar quarter, the Investment Adviser evaluates the Level 2 and 3 assets and liabilities for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from third party services, and the existence of contemporaneous, observable trades in the market. Additionally, the Investment Adviser evaluates the Level 1 and 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise be less liquid than publicly traded securities.

NOTES TO INVESTMENT PORTFOLIO (unaudited) (continued)

As of March 31, 2022 Highland Funds I

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value each Fund’s assets and liabilities as of March 31, 2022 is as follows:

	Total value at March 31, 2022 ($)			Level 1 Quoted Price ($)			Level 2 Significant Observable Inputs ($)			Level 3 Significant Unobservable Inputs ($)(1)
NexPoint Event Driven Fund
Assets
Common Stock(2)		15,075,496			15,075,496			—			—
Special Purpose Acquisition Companies		2,152,697			2,152,697			—			—
Repurchase Agreements		270,916			270,916			—			—
Purchased Put Options		18,004			18,004			—			—
Purchased Call Options		3,500			3,500			—			—
Preferred Stock		—			—			—			—	(3)
Cash Equivalent		5,821,723			5,821,723			—			—
Total Assets		23,342,336			23,342,336			—			—
Liabilities
Securities Sold Short
Common Stock(2)		(4,119,480	)		(4,119,480	)		—			—
Special Purpose Acquisition Companies		(3,407	)		(3,407	)		—			—
Other Financial Instruments
Total Return Swaps(4)		(19,538	)		—			(19,538	)		—
Written Call Options		(21,775	)		(21,775	)		—			—
Total Liabilities		(4,164,200	)		(4,144,662	)		(19,538	)		—
Total		19,178,136			19,197,674			(19,538	)		—

⁽¹⁾  A reconciliation of Level 3 instruments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. Management has concluded that Level 3 investments are not material in relation to net assets.

⁽²⁾  See Investment Portfolio detail for industry breakout.

⁽³⁾  This category includes Amino, Inc. which is held at a value of zero.

⁽⁴⁾ Swaps are valued at the unrealized appreciation (depreciation) on the instrument.

NOTES TO INVESTMENT PORTFOLIO (unaudited) (continued)

As of March 31, 2022 Highland Funds I

	Total value at March 31, 2022 ($)			Level 1 Quoted Price ($)			Level 2 Significant Observable Inputs ($)		Level 3 Significant Unobservable Inputs ($)(1)
NexPoint Merger Arbitrage Fund
Assets
Common Stock(2)		292,994,330			292,994,330			—		—
Special Purpose Acquisition Companies		72,654,102			72,654,102			—		—
Repurchase Agreements		1,373,461			1,373,461			—		—
Warrants		451,926			22,806			429,120		—
Purchased Put Options		373,689			373,689			—		—
Purchased Call Options		119,984			119,984			—		—
Preferred Stock		—			—			—		—	(3)
Rights		2,051			—			—		2,051
Cash Equivalents		552,219,986			552,219,986			—		—
Other Financial Instruments
Total Return Swaps(4)		427,644			—			427,644		—
Total Assets		920,617,173			919,758,358			856,764		2,051
Liabilities
Securities Sold Short
Common Stock		(119,495,925	)		(119,495,925	)		—		—
Exchange Traded Funds		(932,057	)		(932,057	)		—		—
Written Call Options		(324,879	)		(324,879	)		—		—
Special Purpose Acquisition Companies		(88,462	)		(88,462	)		—		—
Total Liabilities		(120,841,323	)		(120,841,323	)		—		—
Total		799,775,850			798,917,035			856,764		2,051

⁽¹⁾  A reconciliation of Level 3 instruments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. Management has concluded that Level 3 investments are not material in relation to net assets.

⁽²⁾  See Investment Portfolio detail for industry breakout.

⁽³⁾  This category includes Amino, Inc. which is held at a value of zero.

⁽⁴⁾ Swaps are valued at the unrealized appreciation (depreciation) on the instrument.

Amounts designated as “—” are $0.

For the three months ended March 31, 2022, there were no transfers in or out of level 3. Determination of fair value is uncertain because it involves subjective judgments and estimates that are unobservable.

Security Transactions

Security transactions are accounted for on the trade date. Realized gains/(losses) on investments sold are recorded on the basis of the specific identification method for both financial statement and U.S. federal income tax purposes taking into account any foreign taxes withheld.

Cash and Cash Equivalents

The Funds consider liquid assets deposited with a bank and certain short-term debt instruments of sufficient credit quality with original maturities of three months or less to be cash equivalents. The Funds also consider money market instruments that invest in cash equivalents to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates fair value. The value of cash equivalents denominated in foreign currencies is determined by converting to U.S. dollars on the date of this financial report. These balances may exceed the federally insured limits under the Federal Deposit Insurance Corporation (“FDIC”).

NOTES TO INVESTMENT PORTFOLIO (unaudited) (continued)

As of March 31, 2022 Highland Funds I

Securities Sold Short

The Funds may sell securities short. A security sold short is a transaction in which the Fund sells a security it does not own in anticipation that the market price of that security will decline. When the Fund sells a security short, it must borrow the security sold short from a broker-dealer and deliver it to the buyer upon conclusion of the transaction. A Fund may have to pay a fee to borrow particular securities and is often obligated to pay over any dividends or other payments received on such borrowed securities. In some circumstances, a Fund may be allowed by its prime broker to utilize proceeds from securities sold short to purchase additional investments, resulting in leverage. Securities and cash held as collateral for securities sold short are shown on the Investments Portfolios for each of the Funds.

Derivative Transactions

The Funds are subject to equity securities risk, interest rate risk and currency risk in the normal course of pursuing their investment objectives. The Funds enter into derivative transactions for the purpose of hedging against the effects of changes in the value of portfolio securities due to anticipated changes in market conditions, to gain market exposure for residual and accumulating cash positions and for managing the duration of fixed income investments.

Futures Contracts

A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. The Funds may invest in interest rate, financial and stock or bond index futures contracts subject to certain limitations. The Funds invest in futures contracts to manage their exposure to the stock and bond markets and fluctuations in currency values. Buying futures tends to increase a Fund’s exposure to the underlying instrument while selling futures tends to decrease a Fund’s exposure to the underlying instrument, or economically hedge other Fund investments. With futures contracts, there is minimal counterparty credit risk to the Funds since futures contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all traded futures, guarantees the futures against default. A Fund’s risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they principally trade.

Upon entering into a financial futures contract, the Funds are required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount, known as initial margin deposit. Subsequent payments, known as variation margins, are made or can be received by the Funds each day, depending on the daily fluctuation in the fair value of the underlying security. The Funds record an unrealized gain/(loss) equal to the daily variation margin. Should market conditions move unexpectedly, the Funds may not achieve the anticipated benefits of the futures contracts and may incur a loss. The Funds recognize a realized gain/(loss) on the expiration or closing of a futures contract.

During the three months ended March 31, 2022, the Event Driven Fund and Merger Arbitrage Fund did not invest in futures contracts.

Options

The Funds may utilize options on securities or indices to varying degrees as part of their principal investment strategy. An option on a security is a contract that gives the holder of the option, in return for a premium, the right to buy from (in the case of a call) or sell to (in the case of a put) the writer of the option the security underlying the option at a specified exercise or “strike” price. The writer of an option on a security has the obligation upon exercise of the option to deliver the underlying security upon payment of the exercise price or to pay the exercise price upon delivery of the underlying security. The Funds may hold options, write option contracts, or both.

If an option written by a Fund expires unexercised, a Fund realizes on the expiration date a capital gain equal to the premium received by a Fund at the time the option was written. If an option purchased by a Fund expires unexercised, a Fund realizes a capital loss equal to the premium paid. Prior to the earlier of exercise or expiration, an exchange-traded option may be closed out by an offsetting purchase or sale of an option of the same series (type, underlying security, exercise price and expiration). There can be no assurance, however, that a closing

NOTES TO INVESTMENT PORTFOLIO (unaudited) (concluded)

As of March 31, 2022 Highland Funds I

purchase or sale transaction can be effected when a Fund desires. A Fund will realize a capital gain from a closing purchase transaction if the cost of the closing option is less than the premium received from writing the option, or, if the cost of the closing option is more than the premium received from writing the option, a capital loss. A Fund will realize a capital gain from a closing sale transaction if the premium received from the sale is more than the original premium paid when the option position was opened, or a capital loss, if the premium received from a sale is less than the original premium paid.

During the three months ended March 31, 2022, the Event Driven Fund and Merger Arbitrage Fund had written options to provide leveraged short exposure, and purchased options to provide leveraged long exposure, to the underlying equity, which is consistent with the investment strategies of these Funds.

Swap Contracts

The Funds may use swaps as part of its investment strategy or to manage their exposure to interest, commodity, and currency rates as well as adverse movements in the debt and equity markets. Swap agreements are privately negotiated in the over-the-counter (“OTC”) market or may be executed in a multilateral or other trade facility platform, such as a registered exchange (“centrally cleared swaps”).

Total return swaps are agreements to exchange the return generated by one instrument for the return generated by another instrument; for example, the agreement to pay interest in exchange for a market or commodity-linked return based on a notional amount. To the extent the total return of the market or commodity-linked index exceeds the offsetting interest obligation, the Fund will receive a payment from the counterparty. To the extent it is less, the Fund will make a payment to the counterparty. As of March 31, 2022, the Event Driven Fund and the Merger Arbitrage Fund was a party to open swap contracts having a net fair value of ($19,538) and $427,644, respectively.

Affiliated Issuers

Under Section 2(a)(3) of the Investment Company Act of 1940, as amended, a portfolio company is defined as “affiliated” if a fund owns five percent or more of its outstanding voting securities or if the portfolio company is under common control.

The Event Driven Fund and Merger Arbitrage Fund did not have any affiliated issuers as of March 31, 2022.

For more information with regard to significant accounting policies, see the most recent annual report filed with the U.S. Securities and Exchange Commission.