INVESTMENT PORTFOLIO (unaudited)
As of March 31, 2024 | NexPoint Event Driven Fund |
Shares | Value ($) | |||||||
Common Stock — 56.2% | ||||||||
COMMUNICATION SERVICES — 3.1% | ||||||||
82,708 | Adevinta, Class B(a) | 867,593 | ||||||
11,700 | Endeavor Group Holdings, Class A(b) | 301,041 | ||||||
|
| |||||||
1,168,634 | ||||||||
|
| |||||||
CONSUMER DISCRETIONARY — 2.6% | ||||||||
17,031 | Carrols Restaurant Group(b) | 161,965 | ||||||
4,740 | Gildan Activewear, Class A | 175,996 | ||||||
17,350 | VF Corp.(b) | 266,149 | ||||||
20,871 | Wendy’s(b) | 393,210 | ||||||
|
| |||||||
997,320 | ||||||||
|
| |||||||
CONSUMER STAPLES — 2.2% | ||||||||
176,650 | Whole Earth Brands(a)(b) | 853,220 | ||||||
|
| |||||||
ENERGY — 12.7% | ||||||||
32,186 | CSI Compressco | 74,993 | ||||||
32,296 | Enerplus(b) | 634,939 | ||||||
18,563 | Equitrans Midstream | 231,852 | ||||||
8,703 | Euronav(b) | 155,436 | ||||||
8,000 | Green Plains, Inc.(a)(b) | 184,960 | ||||||
7,078 | Hess(b) | 1,080,386 | ||||||
3,880 | Hess Midstream L.P., Class A(b) | 140,185 | ||||||
23,860 | NuStar Energy(b) | 555,222 | ||||||
4,705 | Pioneer Natural Resources(b) | 1,235,063 | ||||||
38,839 | Talos Energy, Inc.(a) | 541,027 | ||||||
|
| |||||||
4,834,063 | ||||||||
|
| |||||||
FINANCIALS — 4.2% | ||||||||
10,067 | American Equity Investment Life Holding(a)(b) | 565,967 | ||||||
2,086 | National Western Life Group, Class A(b) | 1,026,228 | ||||||
|
| |||||||
1,592,195 | ||||||||
|
| |||||||
HEALTHCARE — 0.9% | ||||||||
Healthcare Technology — 0.5% | ||||||||
428,568 | AMINO, Inc. (a)(c)(d)(e) | 201,427 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.4% | ||||||||
1,000 | Illumina (a)(b) | 137,320 | ||||||
|
| |||||||
338,747 | ||||||||
|
| |||||||
INDUSTRIALS — 17.4% | ||||||||
5,570 | AECOM(b) | 546,305 | ||||||
2,282 | Clean Harbors, Inc.(a)(b) | 459,389 | ||||||
72,949 | Daseke(a)(b) | 605,477 | ||||||
38,532 | Eagle Bulk Shipping(b) | 2,407,094 | ||||||
9,066 | Masonite International Corp.(a)(b) | 1,191,726 | ||||||
6,351 | Montrose Environmental Group, | 248,769 | ||||||
59,259 | Smart Metering Systems | 712,656 | ||||||
2,317 | Tetra Tech, Inc.(b) | 427,973 | ||||||
1,370 | WillScot Mobile Mini Holdings, Class A(a)(b) | 63,705 | ||||||
|
| |||||||
6,663,094 | ||||||||
|
| |||||||
INFORMATION TECHNOLOGY — 4.6% | ||||||||
46,600 | E2open Parent Holdings(a)(b) | 206,904 | ||||||
36,586 | Everbridge(a)(b) | 1,274,290 | ||||||
12,500 | Instructure Holdings(a)(b) | 267,250 | ||||||
|
| |||||||
1,748,444 | ||||||||
|
| |||||||
MATERIALS — 1.2% | ||||||||
7,608 | Haynes International(b) | 457,393 | ||||||
|
| |||||||
REAL ESTATE — 5.4% | ||||||||
183,420 | Tricon Residential(b) | 2,045,133 | ||||||
|
| |||||||
UTILITIES — 1.9% | ||||||||
18,180 | Atlantica Sustainable Infrastructure PLC(b) | 335,966 |
Shares | Value ($) | |||||||
Common Stock (continued) | ||||||||
UTILITIES (continued) | ||||||||
9,742 | PNM Resources(b) | 366,689 | ||||||
|
| |||||||
702,655 | ||||||||
|
| |||||||
Total Common Stock | 21,400,898 | |||||||
|
| |||||||
Corporate Obligations — 30.2% | ||||||||
COMMUNICATION SERVICES — 0.6% | ||||||||
Alphabet | ||||||||
400,000 | 2.25%, 08/15/60 | 229,819 | ||||||
|
| |||||||
CONSUMER DISCRETIONARY — 10.8% | ||||||||
Amazon.com | ||||||||
400,000 | 2.70%, 06/03/60 | 248,682 | ||||||
Carrols Restaurant Group | ||||||||
750,000 | 5.88%, 07/01/29 (f) | 760,013 | ||||||
Macy’s Retail Holdings | ||||||||
750,000 | 5.13%, 01/15/42 | 651,990 | ||||||
Michael Kors USA | ||||||||
1,285,000 | 4.25%, 11/01/24 (f) | 1,269,274 | ||||||
Vista Outdoor | ||||||||
1,174,000 | 4.50%, 03/15/29 (f) | 1,176,038 | ||||||
|
| |||||||
4,105,997 | ||||||||
|
| |||||||
ENERGY — 8.1% | ||||||||
Callon Petroleum | ||||||||
1,000,000 | 6.38%, 07/01/26 | 1,010,630 | ||||||
1,160,000 | 7.50%, 06/15/30 (f) | 1,230,302 | ||||||
EQM Midstream Partners L.P. | ||||||||
500,000 | 4.75%, 01/15/31 (f) | 465,317 | ||||||
Hess Midstream Operations L.P. | ||||||||
400,000 | 4.25%, 02/15/30 (f) | 367,858 | ||||||
|
| |||||||
3,074,107 | ||||||||
|
| |||||||
FINANCIALS — 2.6% | ||||||||
NFP | ||||||||
550,000 | 4.88%, 08/15/28 (f) | 551,808 | ||||||
450,000 | 6.88%, 08/15/28 (f) | 455,947 | ||||||
|
| |||||||
1,007,755 | ||||||||
|
| |||||||
INDUSTRIALS — 5.7% | ||||||||
Masonite International | ||||||||
613,000 | 5.38%, 02/01/28 (f) | 614,232 | ||||||
PGT Innovations | ||||||||
1,505,000 | 4.38%, 10/01/29 (f)(g) | 1,537,929 | ||||||
|
| |||||||
2,152,161 | ||||||||
|
| |||||||
INFORMATION TECHNOLOGY — 1.4% | ||||||||
Alteryx | ||||||||
500,000 | 8.75%, 03/15/28 (f) | 517,296 | ||||||
|
| |||||||
MATERIALS — 1.0% | ||||||||
NMG Holding | ||||||||
400,000 | 7.13%, 04/01/26 (f) | 392,409 | ||||||
|
| |||||||
Total Corporate Obligations | 11,479,544 | |||||||
|
| |||||||
Convertible Bonds — 13.8% | ||||||||
Principal Amount ($) | ||||||||
HEALTH CARE — 2.5% | ||||||||
Cerevel Therapeutics Holdings | ||||||||
856,000 | 2.50%, 08/15/27 (f) | 957,346 | ||||||
|
| |||||||
INFORMATION TECHNOLOGY — 10.4% | ||||||||
Alteryx | ||||||||
2,450,000 | 1.00%, 08/01/26 | 2,430,645 | ||||||
Splunk | ||||||||
1,539,000 | 1.13%, 06/15/27 | 1,542,539 | ||||||
|
| |||||||
3,973,184 | ||||||||
|
|
INVESTMENT PORTFOLIO (unaudited)(continued)
As of March 31, 2024 | NexPoint Event Driven Fund |
Principal Amount ($) | Value ($) | |||||||
Convertible Bonds (continued) | ||||||||
UTILITIES — 0.9% | ||||||||
Sunnova Energy International, Inc. | ||||||||
650,000 | 0.25%, 12/01/26 | 335,400 | ||||||
|
| |||||||
Total Convertible Bonds | 5,265,930 | |||||||
|
| |||||||
U.S. Senior Loans (h) — 4.2% | ||||||||
HEALTHCARE — 2.7% | ||||||||
Carestream Health Inc., Term Loan, 1st Lien, 12.909%, | ||||||||
1,181,643 | 09/30/27 | 1,020,644 | ||||||
|
| |||||||
INDUSTRIALS — 1.5% | ||||||||
Daseke Inc., Cov-Lite Term Loan, 1st Lien, 11.500%, | ||||||||
581,250 | 03/03/28 | 582,340 | ||||||
|
| |||||||
Total U.S. Senior Loans | 1,602,984 | |||||||
|
| |||||||
Preferred Stock — 2.7% | ||||||||
Shares | ||||||||
REAL ESTATE — 1.1% | ||||||||
17,728 | Seritage Growth Properties 7.00%(b)(i) | 423,168 | ||||||
|
| |||||||
UTILITIES — 1.6% | ||||||||
24,006 | Brookfield Renewable Partners L.P. 6.05%(i)(j) | 353,371 | ||||||
7,000 | NextEra Energy, Inc. 6.93%, 09/01/2025(a)(b) | 272,510 | ||||||
|
| |||||||
$ | 625,881 | |||||||
|
| |||||||
Total Preferred Stock | 1,049,049 | |||||||
|
| |||||||
Contracts | ||||||||
Purchased Put Options(a) — 0.3% | ||||||||
158 | Total Purchased Put Options | 109,940 | ||||||
|
| |||||||
Contracts | ||||||||
Purchased Call Options(a) — 0.2% | ||||||||
383 | Total Purchased Call Options | 71,238 | ||||||
|
| |||||||
Rights — 0.1% | ||||||||
Units | ||||||||
HEALTHCARE — 0.1% | ||||||||
Healthcare Equipment & Supplies — 0.0% | ||||||||
3,352 | Abiomed, Inc. | 3,419 | ||||||
7,303 | Novartis | 2,848 | ||||||
|
| |||||||
6,267 | ||||||||
Pharmaceuticals — 0.1% | ||||||||
225,000 | Paratek Pharmaceuticals | 18,000 | ||||||
|
| |||||||
Total Rights | 24,267 | |||||||
|
|
Principal Amount ($) | Value ($) | |||||||
Repurchase Agreements(k)(l) — 0.9% | ||||||||
249,000 | Daiwa Capital Markets | 249,000 | ||||||
88,931 | RBC Dominion Securities | 88,931 | ||||||
|
| |||||||
Total Repurchase Agreements | 337,931 | |||||||
|
| |||||||
Cash Equivalents — 2.8% | ||||||||
Shares | ||||||||
MONEY MARKET FUND(m) — 2.8% | ||||||||
1,049,366 | Dreyfus Treasury Obligations Cash Management, Institutional Class 5.200% | 1,049,366 | ||||||
|
| |||||||
Total Cash Equivalents | 1,049,366 | |||||||
|
| |||||||
| Total Investments—111.4% | 42,391,147 | ||||||
|
| |||||||
Shares | Value ($) | |||||||
Securities Sold Short— (32.7)% | ||||||||
Exchange-Traded Funds — (5.0)% | ||||||||
(12,390) | Alerian MLP ETF | (588,029 | ) | |||||
(6,224) | iShares Russell 2000 ETF | (1,308,907 | ) | |||||
|
| |||||||
Total Exchange-Traded Funds | (1,896,936 | ) | ||||||
|
| |||||||
Common Stock — (27.7)% | ||||||||
CONSUMER DISCRETIONARY — (3.5)% | ||||||||
(38,300) | Macy’s | (765,617 | ) | |||||
(51,090) | Vizio Holding, Class A (n) | (558,925 | ) | |||||
|
| |||||||
(1,324,542 | ) | |||||||
|
| |||||||
ENERGY — (9.7)% | ||||||||
(7,258) | Chevron | (1,144,877 | ) | |||||
(3,272) | Chord Energy | (583,201 | ) | |||||
(6,509) | Equities | (241,289 | ) | |||||
(10,930) | Exxon Mobil | (1,270,503 | ) | |||||
(2,768) | Kodiak Gas Services | (75,677 | ) | |||||
(27,500) | Talos Energy, Inc. (n) | (383,075 | ) | |||||
|
| |||||||
(3,698,622 | ) | |||||||
|
| |||||||
FINANCIALS — (0.5)% | ||||||||
(4,527) | Brookfield Asset Management, Class A | (190,225 | ) | |||||
|
| |||||||
HEALTH CARE — (3.0)% | ||||||||
(11,235) | Cerevel Therapeutics Holdings (n) | (474,903 | ) | |||||
(9,370) | MorphoSys (n) | (680,034 | ) | |||||
|
| |||||||
(1,154,937 | ) | |||||||
|
|
INVESTMENT PORTFOLIO (unaudited)(continued)
As of March 31, 2024 | NexPoint Event Driven Fund |
Shares | Value ($) | |||||||
HEALTHCARE — (1.5)% | ||||||||
Healthcare Equipment & Supplies — (1.5)% | ||||||||
(8,260) | Axonics (n) | (569,692 | ) | |||||
|
| |||||||
INDUSTRIALS — (7.9)% | ||||||||
(1,214) | McGrath RentCorp | (149,771 | ) | |||||
(8,330) | SP Plus (n) | (434,993 | ) | |||||
(100,762) | Star Bulk Carriers | (2,405,189 | ) | |||||
|
| |||||||
(2,989,953 | ) | |||||||
|
| |||||||
INFORMATION TECHNOLOGY — (1.6)% | ||||||||
(1,100) | Apple, Inc. | (188,628 | ) | |||||
(87,000) | Transphorm (n) | (427,170 | ) | |||||
|
| |||||||
(615,798 | ) | |||||||
|
| |||||||
Total Common Stock | (10,543,769 | ) | ||||||
|
| |||||||
Total Securities Sold Short - (32.7)% | (12,440,705 | ) | ||||||
|
| |||||||
Other Assets & Liabilities, Net - 21.3%(o) | 8,096,668 | |||||||
|
| |||||||
Net Assets - 100.0% | 38,047,110 | |||||||
|
|
(a) | Non-income producing security. |
(b) | All or part of this security is pledged as collateral for short sales. The fair value of the securities pledged as collateral was $19,628,729. |
(c) | Securities with a total aggregate value of $201,427, or 0.5% 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. |
(d) | Represents fair value as determined by the Investment Adviser pursuant to the policies and procedures approved by the Board of Trustees (the “Board”). The Board has designated the Investment Adviser as “valuation designee” for the Fund pursuant to Rule 2a-5 of the Investment Company Act of 1940, as amended. The Investment Adviser 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 $201,427, or 0.5% of net assets, were fair valued under the Fund’s valuation procedures as of March 31, 2024. Please see Notes to Investment Portfolio. |
(e) | 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 Type | Acquisition Date | Cost of Security | Fair Value at Period End | Percent of Net Assets | |||||||||||||||
AMINO, Inc. | Common Stock | 11/18/2016 | $ | 2,464,266 | $ | 201,427 | 0.5 | % |
(f) | Securities exempt from registration under Rule 144A of the 1933 Act. These securities may only be resold in transactions exempt from registration to qualified institutional buyers. The Board has determined these investments to be liquid. At March 31, 2024, these securities amounted to $10,295,769 or 27.1% of net assets. |
(g) | Securities (or a portion of securities) on loan. As of March 31, 2024, the fair value of securities loaned was $329,786. The loaned securities were secured with cash and/or securities collateral of $337,931. Collateral is calculated based on prior day’s prices. |
(h) | Senior loans (also called bank loans, leveraged loans, or floating rate loans) in which the Fund invests generally pay interest at rates which are periodically determined by reference to a base lending rate plus a spread (unless otherwise identified, all senior loans carry a variable rate of interest). These base lending rates are generally (i) the Prime Rate offered by one or more major United States banks, (ii) the lending rate offered by one or more European banks such as the Secured Overnight Financing Rate (“SOFR”) or (iii) the Certificate of Deposit rate. As of March 31, 2024, the SOFR 1 Month and SOFR 3 Month rates were 5.44% and 5.56%, respectively. Senior loans, while exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”), contain certain restrictions on resale and cannot be sold publicly. Senior secured floating rate loans often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity maybe substantially less than the stated maturity shown. |
(i) | Perpetual security with no stated maturity date. |
(j) | Variable or floating rate security. The interest rate shown reflects the rate in effect March 31, 2024. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(k) | Tri-Party Repurchase Agreement. |
(l) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of March 31, 2024 was $337,931. |
(m) | Rate reported is 7 day effective yield. |
(n) | No dividend payable on security sold short. |
(o) | As of March 31, 2024, $12,055,672 in cash was segregated or on deposit with the brokers to cover investments sold short and is included in “Other Assets & Liabilities, Net”. |
INVESTMENT PORTFOLIO (unaudited)(concluded)
As of March 31, 2024 | NexPoint Event Driven Fund |
Forward foreign currency contracts outstanding as of March 31, 2024, were as follows:
Counterparty | Settlement Date | Currency to Deliver | Notional Amount ($) | Currency to Receive | Notional Amount ($) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Goldman Sachs | 04/09/24 | GBP | 565,923 | USD | 719,768 | $ | 4,873 | |||||||||||||||||
Goldman Sachs | 04/19/24 | NOK | 1,978,920 | USD | 186,081 | 3,566 | ||||||||||||||||||
Goldman Sachs | 04/19/24 | NOK | 7,303,250 | USD | 671,185 | (2,392 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | 6,047 | |||||||||||||||||||||||
|
|
Purchased options contracts outstanding as of March 31, 2024 were as follows:
Description | Exercise Price | Counterparty | Expiration Date | Number of Contracts | Notional Value | Premium | Value | |||||||||||||||||||||
PURCHASED PUT OPTIONS: | ||||||||||||||||||||||||||||
Alpha Metallurgical Resources, Inc | $ | 330.00 | Pershing | June 2024 | 14 | $ | 463,638 | $ | 38,284 | $ | 42,980 | |||||||||||||||||
United States Steel Corporation | 40.00 | Pershing | January 2025 | 144 | 587,232 | 37,591 | 66,960 | |||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
$ | 75,875 | $ | 109,940 | |||||||||||||||||||||||||
|
|
|
|
Description | Exercise Price | Counterparty | Expiration Date | Number of Contracts | Notional Value | Premium | Value | |||||||||||||||||||||
PURCHASED CALL OPTIONS: | ||||||||||||||||||||||||||||
Macy’s, Inc. | $ | 20.00 | Pershing | June 2024 | 383 | $ | 765,617 | $ | 82,730 | $ | 71,238 |
Written options contracts outstanding as of September 30, 2023 were as follows:
Description | Exercise Price | Counterparty | Expiration Date | Number of Contracts | Notional Value | Premium | Value | |||||||||||||||||||||
WRITTEN PUT OPTIONS: | ||||||||||||||||||||||||||||
Alpha Metallurgical Resources, Inc | $ | 250.00 | Pershing | June 2024 | (14 | ) | $ | (463,638 | ) | $ | (10,212 | ) | $ | (8,190 | ) | |||||||||||||
Macy’s, Inc. | 16.00 | Pershing | June 2024 | (383 | ) | $ | (765,617 | ) | (37,921 | ) | (21,065 | ) | ||||||||||||||||
United States Steel Corporation | 47.00 | Pershing | January 2025 | (144 | ) | $ | (587,232 | ) | (56,009 | ) | (127,440 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
$ | (104,142 | ) | $ | (156,695 | ) | |||||||||||||||||||||||
|
|
|
|
Description | Exercise Price | Counterparty | Expiration Date | Number of Contracts | Notional Value | Premium | Value | |||||||||||||||||||||
WRITTEN CALL OPTIONS: | ||||||||||||||||||||||||||||
United States Steel Corporation | $ | 47.00 | Pershing | January 2025 | (144 | ) | $ | (587,232 | ) | $ | (82,937 | ) | $ | (41,256 | ) |
INVESTMENT PORTFOLIO (unaudited)
As of March 31, 2024 | NexPoint Merger Arbitrage Fund |
Shares | Value ($) | |||||||
Common Stock — 45.2% | ||||||||
COMMUNICATION SERVICES — 3.0% | ||||||||
2,125,977 | Adevinta, Class B(a) | 22,301,143 | ||||||
88,561 | GCI Liberty, Inc., Class A(a) | — | ||||||
|
| |||||||
22,301,143 | ||||||||
|
| |||||||
CONSUMER DISCRETIONARY — 4.8% | ||||||||
464,883 | Carrols Restaurant Group | 4,421,037 | ||||||
498,850 | MDC Holdings, Inc. | 31,382,654 | ||||||
|
| |||||||
35,803,691 | ||||||||
|
| |||||||
CONSUMER STAPLES — 0.6% | ||||||||
851,420 | Whole Earth Brands(a)(b) | 4,112,359 | ||||||
|
| |||||||
ENERGY — 10.4% | ||||||||
594,513 | Enerplus | 11,688,125 | ||||||
380,208 | Equitrans Midstream | 4,748,798 | ||||||
242,981 | Euronav | 4,339,641 | ||||||
160,969 | Hess(c) | 24,570,308 | ||||||
92,810 | Pioneer Natural Resources(c) | 24,362,625 | ||||||
563,163 | Talos Energy, Inc.(a) | 7,844,861 | ||||||
|
| |||||||
77,554,358 | ||||||||
|
| |||||||
FINANCIALS — 6.2% | ||||||||
264,096 | American Equity Investment Life Holding(a)(c) | 14,847,477 | ||||||
63,191 | National Western Life Group, Class A(c) | 31,087,444 | ||||||
|
| |||||||
45,934,921 | ||||||||
|
| |||||||
HEALTHCARE — 0.0% | ||||||||
306,121 | AMINO, Inc.(a)(d)(e)(f) | 143,877 | ||||||
|
| |||||||
INDUSTRIALS — 10.2% | ||||||||
3,140,412 | Daseke(a) | 26,065,420 | ||||||
11,105 | Graphjet Technology(a) | 78,512 | ||||||
111,975 | HireRight Holdings(a) | 1,597,883 | ||||||
189,718 | Masonite International Corp.(a) | 24,938,431 | ||||||
1,780,907 | Smart Metering Systems | 21,417,408 | ||||||
34,886 | WillScot Mobile Mini Holdings, Class A(a)(c) | 1,622,199 | ||||||
|
| |||||||
75,719,853 | ||||||||
|
| |||||||
INFORMATION TECHNOLOGY — 3.0% | ||||||||
630,105 | Everbridge(a) | 21,946,557 | ||||||
|
| |||||||
MATERIALS — 1.3% | ||||||||
158,822 | Haynes International | 9,548,379 | ||||||
|
| |||||||
REAL ESTATE — 5.7% | ||||||||
3,828,920 | Tricon Residential(c) | 42,692,458 | ||||||
|
| |||||||
Total Common Stock | 335,757,596 | |||||||
|
| |||||||
Principal Amount ($) | ||||||||
Corporate Obligations — 18.1% | ||||||||
CONSUMER DISCRETIONARY — 6.4% | ||||||||
Michael Kors USA | ||||||||
31,473,000 | 4.25%, 11/01/24 (g) | 31,087,837 | ||||||
Vista Outdoor | ||||||||
16,180,000 | 4.50%, 03/15/29 (g) | 16,208,088 | ||||||
|
| |||||||
47,295,925 | ||||||||
|
| |||||||
ENERGY — 5.0% | ||||||||
Callon Petroleum | ||||||||
18,000,000 | 6.38%, 07/01/26 | 18,191,340 | ||||||
17,770,000 | 7.50%, 06/15/30 (g) | 18,846,951 | ||||||
|
| |||||||
37,038,291 | ||||||||
|
| |||||||
FINANCIALS — 2.6% | ||||||||
NFP | ||||||||
9,200,000 | 4.88%, 08/15/28 (g) | 9,230,231 | ||||||
10,012,000 | 6.88%, 08/15/28 (g) | 10,144,319 | ||||||
|
| |||||||
19,374,550 | ||||||||
|
|
Principal Amount ($) | Value ($) | |||||||
Corporate Obligations (continued) | ||||||||
INDUSTRIALS — 4.1% | ||||||||
Masonite International | ||||||||
4,458,000 | 5.38%, 02/01/28 (g) | 4,466,956 | ||||||
PGT Innovations | ||||||||
25,580,000 | 4.38%, 10/01/29 (g) | 26,139,690 | ||||||
|
| |||||||
30,606,646 | ||||||||
|
| |||||||
Total Corporate Obligations | 134,315,412 | |||||||
|
| |||||||
Convertible Bonds — 17.2% | ||||||||
HEALTH CARE — 2.5% | ||||||||
Cerevel Therapeutics Holdings | ||||||||
16,880,000 | 2.50%, 08/15/27 (g) | 18,878,501 | ||||||
|
| |||||||
INDUSTRIALS — 0.3% | ||||||||
Kaman | ||||||||
2,170,000 | 3.25%, 05/01/24 | 2,172,890 | ||||||
|
| |||||||
INFORMATION TECHNOLOGY — 14.4% | ||||||||
Alteryx | ||||||||
64,720,000 | 1.00%, 08/01/26 | 64,208,712 | ||||||
Splunk | ||||||||
42,474,000 | 1.13%, 06/15/27 | 42,571,690 | ||||||
|
| |||||||
106,780,402 | ||||||||
|
| |||||||
Total Convertible Bonds | 127,831,793 | |||||||
|
| |||||||
Asset-Backed Securities — 12.9% | ||||||||
Ares LXVII CLO, Series 2022-67A, Class A2 | ||||||||
5,000,000 | TSFR3M + 2.650%, 7.97%, 1/25/2036 (g)(h) | 5,025,000 | ||||||
Black Diamond CLO, Series 2022-1A, Class A1A | ||||||||
5,000,000 | TSFR3M + 2.500%, 7.82%, 10/25/2035 (g)(h) | 5,012,500 | ||||||
Bridge Street CLO III, Series 2022-1A, Class A1 | ||||||||
9,000,000 | TSFR3M + 2.300%, 7.62%, 10/20/2034 (g)(h) | 9,030,375 | ||||||
Bridge Street CLO III, Series 2022-1A, Class A2 | ||||||||
3,500,000 | TSFR3M + 2.950%, 8.27%, 10/20/2034 (g)(h) | 3,507,875 | ||||||
Capital Four US CLO III, Series 2023-2A, Class A2 | ||||||||
6,000,000 | TSFR3M + 3.000%, 8.32%, 1/21/2035 (g)(h) | 6,030,000 | ||||||
Carlyle US CLO, Series 2022-4A, Class A2 | ||||||||
6,500,000 | TSFR3M + 2.250%, 7.57%, 7/25/2034 (g)(h) | 6,514,625 | ||||||
Danby Park CLO, Series 2022-1A, Class A2 | ||||||||
5,000,000 | TSFR3M + 2.750%, 8.07%, 10/21/2035 (g)(h) | 5,025,000 | ||||||
Empower CLO, Series 2022-1A, Class A2 | ||||||||
8,000,000 | TSFR3M + 2.500%, 7.82%, 10/20/2034 (g)(h) | 8,018,000 | ||||||
Halseypoint CLO VI, Series 2022-6A, Class A2 | ||||||||
6,000,000 | TSFR3M + 2.650%, 7.97%, 10/20/2034 (g)(h) | 6,022,500 |
INVESTMENT PORTFOLIO (unaudited)(continued)
As of March 31, 2024 | NexPoint Merger Arbitrage Fund |
Principal Amount ($) | Value ($) | |||||||
Asset-Backed Securities (continued) | ||||||||
Newark BSL CLO 1, Series 2020-1A, Class A1R | ||||||||
3,105,951 | TSFR3M + 1.362%, 6.68%, 12/21/2029 (g)(h) | 3,108,436 | ||||||
OFSI BSL XII, Series 2023-12A, Class A1 | ||||||||
10,000,000 | TSFR3M + 2.400%, 7.72%, 1/20/2035 (g)(h) | 10,022,500 | ||||||
Park Blue CLO II, Series 2023-2A, Class A2 | ||||||||
6,000,000 | TSFR3M + 2.900%, 8.22%, 1/20/2035 (g)(h) | 6,036,000 | ||||||
Saratoga Investment Senior Loan Fund, Series 2022-1A, Class A2 | ||||||||
5,000,000 | TSFR3M + 2.600%, 7.92%, 10/20/2033 (g)(h) | 5,011,250 | ||||||
Tikehau US CLO II, Series 2022-1A, Class AJ | ||||||||
5,000,000 | TSFR3M + 2.600%, 7.92%, 7/20/2033 (g)(h) | 5,018,750 | ||||||
Venture XXVII CLO, Series 2017-27RA, Class A | ||||||||
12,019,420 | US0003M + 1.300%, 6.88%, 7/21/2030 (g)(h) | 12,022,425 | ||||||
|
| |||||||
Total Asset-Backed Securities | 95,405,236 | |||||||
|
| |||||||
Shares | ||||||||
Exchange-Traded Fund — 0.6% | ||||||||
300,000 | Bondbloxx USD High Yield Sector Rotation | 4,506,000 | ||||||
|
| |||||||
Total Exchange-Traded Fund | 4,506,000 | |||||||
|
| |||||||
Special Purpose Acquisition Companies — 0.6% | ||||||||
10,000 | Blockchain Coinvestors Acquisition I, Class A(a) | 110,900 | ||||||
60,927 | Everest Consolidator Acquisition(a) | 680,554 | ||||||
294,324 | Integrated Rail and Resources Acquisition, Class A(a) | 3,222,848 | ||||||
|
| |||||||
4,014,302 | ||||||||
|
| |||||||
Total Special Purpose Acquisition Companies | 4,014,302 | |||||||
|
| |||||||
Principal Amount ($) | ||||||||
U.S. Senior Loan (i) — 0.4% | ||||||||
INDUSTRIALS — 0.4% | ||||||||
Daseke Inc., Cov-Lite Term Loan, 1st Lien,11.500%, | ||||||||
3,196,875 | 03/03/28 | 3,202,869 | ||||||
|
| |||||||
Total U.S. Senior Loan | 3,202,869 | |||||||
|
| |||||||
Contracts | ||||||||
Purchased Put Options(a) — 0.2% | ||||||||
3,000 | Total Purchased Put Options | 1,395,000 | ||||||
|
|
Units | Value ($) | |||||||
Rights — 0.0% | ||||||||
HEALTHCARE — 0.0% | ||||||||
171,486 | Abiomed, Inc. | 174,916 | ||||||
268,873 | Novartis | 104,860 | ||||||
|
| |||||||
279,776 | ||||||||
|
| |||||||
Total Rights | 279,776 | |||||||
|
| |||||||
Warrants — 0.0% | ||||||||
HEALTHCARE — 0.0% | ||||||||
71,084 | Apollomics, Expires 12/11/2027(a) | 2,125 | ||||||
|
| |||||||
INFORMATION TECHNOLOGY — 0.0% | ||||||||
113,155 | SMX Security Matters, Expires 03/10/2028(a) | 1,120 | ||||||
198,080 | Spectaire Holdings, Expires 10/20/2028(a) | 4,972 | ||||||
|
| |||||||
6,092 | ||||||||
|
| |||||||
REAL ESTATE — 0.0% | ||||||||
12,612 | Appreciate Holdings, Expires 12/02/2027(a) | — | ||||||
|
| |||||||
SPECIAL PURPOSE ACQUISITION COMPANY — 0.0% | ||||||||
12,500 | AltEnergy Acquisition, Expires 11/05/2028(a) | 657 | ||||||
5,000 | Blockchain Coinvestors Acquisition I, Expires 11/04/2028(a) | 212 | ||||||
108,741 | CERo Therapeutics Holdings, Expires 02/17/2029(a) | 9,678 | ||||||
225,000 | Energem, Expires 11/19/2026(a) | — | ||||||
30,464 | Everest Consolidator Acquisition, Expires 07/22/2028(a) | 4,634 | ||||||
147,162 | Integrated Rail and Resources Acquisition, Expires 11/15/2026(a) | 751 | ||||||
|
| |||||||
15,932 | ||||||||
|
| |||||||
Total Warrants | 24,149 | |||||||
|
| |||||||
Principal Amount ($) | ||||||||
Repurchase Agreement(j)(k) — 0.0% | ||||||||
6,064 | RBC Dominion Securities | 6,064 | ||||||
|
| |||||||
Total Repurchase Agreement (Cost $6,064) | 6,064 | |||||||
|
| |||||||
Shares | ||||||||
Cash Equivalents — 2.7% | ||||||||
MONEY MARKET FUND(l) — 2.7% | ||||||||
19,780,345 | Dreyfus Treasury Obligations Cash Management, Institutional Class 5.200% | 19,780,345 | ||||||
|
| |||||||
Total Cash Equivalents | 19,780,345 | |||||||
|
| |||||||
Total Investments—97.9% | 726,518,542 | |||||||
|
| |||||||
(Cost $714,809,602) |
INVESTMENT PORTFOLIO (unaudited)(continued)
As of March 31, 2024 | NexPoint Merger Arbitrage Fund |
Shares | Value ($) | |||||||
Securities Sold Short— (12.5)% | ||||||||
Common Stock — (12.5)% | ||||||||
ENERGY — (10.0)% | ||||||||
(164,992) | Chevron | (26,025,838 | ) | |||||
(60,229) | Chord Energy | (10,735,217 | ) | |||||
(133,316) | Equities | (4,942,024 | ) | |||||
(215,638) | Exxon Mobil | (25,065,761 | ) | |||||
(558,250) | Talos Energy, Inc. (m) | (7,776,423 | ) | |||||
|
| |||||||
(74,545,263 | ) | |||||||
|
| |||||||
FINANCIALS — (0.7)% | ||||||||
(117,690) | Brookfield Asset Management, Class A | (4,945,334 | ) | |||||
|
| |||||||
HEALTH CARE — (1.3)% | ||||||||
(222,510) | Cerevel Therapeutics Holdings (m) | (9,405,497 | ) | |||||
|
| |||||||
INDUSTRIALS — (0.5)% | ||||||||
(30,911) | McGrath RentCorp | (3,813,490 | ) | |||||
|
| |||||||
Total Common Stock | (92,709,584 | ) | ||||||
|
| |||||||
Total Securities Sold Short - (12.5)% | (92,709,584 | ) | ||||||
|
| |||||||
Other Assets & Liabilities, Net - 14.6%(n) | 108,366,496 | |||||||
|
| |||||||
Net Assets - 100.0% | 742,175,454 | |||||||
|
|
(a) | Non-income producing security. |
(b) | Securities (or a portion of securities) on loan. As of March 31, 2024, the fair value of securities loaned was $6,064. The loaned securities were secured with cash and/or securities collateral of $6,064. 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 $113,376,513. |
(d) | Securities with a total aggregate value of $143,877, 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) | Represents fair value as determined by the Investment Adviser pursuant to the policies and procedures approved by the Board of Trustees (the “Board”). The Board has designated the Investment Adviser as “valuation designee” for the Fund pursuant to Rule 2a-5 of the Investment Company Act of 1940, as amended. The Investment Adviser 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 $143,877, or 0.0% of net assets, were fair valued under the Fund’s valuation procedures as of March 31, 2024. Please see Notes to Investment Portfolio. |
(f) | 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. | Common Stock | 11/18/2016 | $ | 1,760,196 | $ | 143,877 | 0.0 | % |
(g) | Securities exempt from registration under Rule 144A of the 1933 Act. These securities may only be resold in transactions exempt from registration to qualified institutional buyers. The Board has determined these investments to be liquid. At March 31, 2024, these securities amounted to $230,407,809 or 31.0% of net assets. |
(h) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(i) | Senior loans (also called bank loans, leveraged loans, or floating rate loans) in which the Fund invests generally pay interest at rates which are periodically determined by reference to a base lending rate plus a spread (unless otherwise identified, all senior loans carry a variable rate of interest). These base lending rates are generally (i) the Prime Rate offered by one or more major United States banks, (ii) the lending rate offered by one or more European banks such as the Secured Overnight Financing Rate (“SOFR”) or (iii) the Certificate of Deposit rate. As of March 31, 2024, the SOFR 1 Month and SOFR 3 Month rates were 5.44% and 5.56%, respectively. Senior loans, while exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”), contain certain restrictions on resale and cannot be sold publicly. Senior secured floating rate loans often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity maybe substantially less than the stated maturity shown. |
(j) | Tri-Party Repurchase Agreement. |
(k) | This security was purchased with cash collateral held from securities on loan. The total value of such securities as of March 31, 2024 was $6,064. |
(l) | Rate reported is 7 day effective yield. |
(m) | No dividend payable on security sold short. |
(n) | As of March 31, 2024, $88,231,856 in cash was segregated or on deposit with the brokers to cover investments sold short and is included in “Other Assets & Liabilities, Net”. |
INVESTMENT PORTFOLIO (unaudited)(concluded)
As of March 31, 2024 | NexPoint Merger Arbitrage Fund |
Forward foreign currency contracts outstanding as of March 31, 2024, were as follows:
Counterparty | Settlement Date | Currency to Deliver | Notional Amount ($) | Currency to Receive | Notional Amount ($) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Goldman Sachs | 04/09/24 | GBP | 17,007,662 | USD | 21,609,696 | $ | 124,986 | |||||||||||||||||
Goldman Sachs | 04/19/24 | NOK | 104,277,022 | USD | 10,089,502 | 472,067 | ||||||||||||||||||
Goldman Sachs | 04/19/24 | NOK | 94,675,877 | USD | 8,700,921 | (31,004 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | 566,049 | |||||||||||||||||||||||
|
|
Purchased options contracts outstanding as of March 31, 2024 were as follows:
Description | Exercise Price | Counterparty | Expiration Date | Number of Contracts | Notional Value | Premium | Value | |||||||||||||||||||||
PURCHASED PUT OPTIONS: | ||||||||||||||||||||||||||||
United States Steel Corporation | $ | 40.00 | Pershing | January 2025 | 3,000 | $ | 12,234,000 | $ | 783,055 | $ | 1,395,000 |
Written options contracts outstanding as of September 30, 2023 were as follows:
Description | Exercise Price | Counterparty | Expiration Date | Number of Contracts | Notional Value | Premium | Value | |||||||||||||||||||||
WRITTEN PUT OPTIONS: | ||||||||||||||||||||||||||||
United States Steel Corporation | $ | 47.00 | Pershing | January 2025 | (3,000 | ) | $ | (12,234,000 | ) | $ | (1,166,945 | ) | $ | (2,655,000 | ) |
Description | Exercise Price | Counterparty | Expiration Date | Number of Contracts | Notional Value | Premium | Value | |||||||||||||||||||||
WRITTEN CALL OPTIONS: | ||||||||||||||||||||||||||||
United States Steel Corporation | $ | 47.00 | Pershing | January 2025 | (3,000 | ) | $ | (12,234,000 | ) | $ | (1,727,945 | ) | $ | (859,500 | ) |
NOTES TO INVESTMENT PORTFOLIO (unaudited)
As of March 31, 2024 | NexPoint Funds I |
Organization
NexPoint 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, 2024, each of which is non-diversified. This report includes information for the three months ended March 31, 2024 for NexPoint Event Driven Fund (the “Event Driven Fund”) and NexPoint Merger Arbitrage Fund (the “Merger Arbitrage Fund”) (each a “Fund” and, collectively, the “Funds”).
On September 15, 2022, the Board of Trustees (the “Board”) of Highland Funds I approved a change of the Trust’s name from Highland Funds I to the NexPoint Funds I.
Valuation of Investments
Pursuant to Rule 2a-5 under the 1940 Act, the Board has designated NexPoint as the Funds’ valuation designee to perform the fair valuation determination for securities and other assets held by the Funds. NexPoint acting through its “Valuation Committee,” is responsible for determining the fair value of investments for which market quotations are not readily available. The Valuation Committee is comprised of officers of NexPoint and certain of NexPoint’s affiliated companies and determines fair value and oversees the calculation of the NAV. The Valuation Committee is subject to Board oversight and certain reporting and other requirements intended to provide the Board the information it needs to oversee NexPoint’s fair value determinations.
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 and procedures adopted by NexPoint and approved by the Funds’ 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 NexPoint Asset Management, L.P. (“NexPoint”, “NAM”, or the “Investment Adviser”) has determined to have the capability to provide appropriate pricing services.
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 Valuation Committee in good faith in accordance with policies and procedures established by NexPoint and 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 Valuation Committee 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.
NOTES TO INVESTMENT PORTFOLIO (unaudited) (continued)
As of March 31, 2024 | NexPoint Funds I |
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:
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.
The fair value of the Funds’ senior loans and bonds are generally based on quotes received from brokers or independent pricing services. Loans, bonds and asset-backed securities with quotes that are based on actual trades with a sufficient level of activity on or near the measurement date are classified as Level 2 assets. Loans and bonds that are priced using quotes derived from implied values, indicative bids, or a limited number of actual trades are classified as Level 3 assets because the inputs used by the brokers and pricing services to derive the values are not readily observable.
As of March 31, 2024, the Funds’ investments consisted of common stocks, preferred stocks, senior loans, asset-backed securities, bonds and notes, exchange-traded funds, master limited partnerships, repurchase agreements, special purpose acquisition companies, cash equivalents, rights, warrants, securities sold short, forward foreign currency contracts and options. The fair value of the Funds’ common stocks, preferred stocks, other registered investment companies, rights, warrants, forward contracts 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.
NOTES TO INVESTMENT PORTFOLIO (unaudited) (concluded)
As of March 31, 2024 | NexPoint Funds I |
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.
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, 2024.
For more information with regard to significant accounting policies, see the most recent annual report filed with the U.S. Securities and Exchange Commission.