The GDL Fund
Schedule of Investments — September 30, 2019 (Unaudited)
Shares | Market Value | |||||||
COMMON STOCKS — 68.2% |
| |||||||
Aerospace — 3.5% |
| |||||||
3,200,000 | Cobham plc† | $ | 6,171,325 | |||||
3,400 | Latecoere SACA† | 14,230 | ||||||
430,000 | Wesco Aircraft Holdings Inc.† | 4,734,300 | ||||||
|
| |||||||
10,919,855 | ||||||||
|
| |||||||
Airlines — 2.5% |
| |||||||
340,000 | WestJet Airlines Ltd. | 7,852,964 | ||||||
|
| |||||||
Automotive: Parts and Accessories — 3.4% |
| |||||||
70,000 | Haldex AB | 356,967 | ||||||
75,000 | WABCO Holdings Inc.† | 10,031,250 | ||||||
|
| |||||||
10,388,217 | ||||||||
|
| |||||||
Building and Construction — 0.6% |
| |||||||
40,000 | Lennar Corp., Cl. B | 1,774,800 | ||||||
|
| |||||||
Business Services — 1.7% |
| |||||||
500 | BCA Marketplace plc | 1,450 | ||||||
92,138 | Clear Channel Outdoor Holdings Inc.† | 232,188 | ||||||
87,000 | exactEarth Ltd.† | 21,999 | ||||||
180,000 | Navigant Consulting Inc. | 5,031,000 | ||||||
|
| |||||||
5,286,637 | ||||||||
|
| |||||||
Cable and Satellite — 0.9% |
| |||||||
27,628 | Liberty Global plc, Cl. A† | 683,793 | ||||||
55,000 | Liberty Global plc, Cl. C† | 1,308,450 | ||||||
14,000 | Liberty Latin America Ltd., Cl. A† | 238,980 | ||||||
31,000 | Liberty Latin America Ltd., Cl. C† | 529,945 | ||||||
|
| |||||||
2,761,168 | ||||||||
|
| |||||||
Computer Software and Services — 11.5% |
| |||||||
1,000 | Altran Technologies SA | 15,706 | ||||||
10,000 | Business & Decision† | 79,567 | ||||||
290,108 | Carbon Black Inc.† | 7,539,907 | ||||||
2,500 | MAM Software Group Inc.† | 30,200 | ||||||
140,000 | Medidata Solutions Inc.† | 12,810,000 | ||||||
300,000 | Monotype Imaging Holdings Inc. | 5,943,000 | ||||||
420,000 | Pivotal Software Inc., Cl. A† | 6,266,400 | ||||||
150,000 | Presidio Inc. | 2,535,000 | ||||||
1,000 | Rockwell Automation Inc. | 164,800 | ||||||
7,500 | StatPro Group plc | 20,933 | ||||||
|
| |||||||
35,405,513 | ||||||||
|
| |||||||
Consumer Services — 2.8% |
| |||||||
152,925 | Sotheby’s† | 8,713,667 | ||||||
|
| |||||||
Electronics — 0.3% |
| |||||||
73,000 | Bel Fuse Inc., Cl. A | 1,000,830 | ||||||
|
| |||||||
Energy and Utilities — 6.1% |
| |||||||
20,000 | Alvopetro Energy Ltd.† | 10,341 | ||||||
4,700 | Avista Corp. | 227,668 | ||||||
255,000 | Buckeye Partners LP | 10,477,950 | ||||||
50,000 | C&J Energy Services Inc.† | 536,500 |
Shares | Market Value | |||||||
6,000 | Connecticut Water Service Inc. | $ | 420,360 | |||||
70,000 | El Paso Electric Co. | 4,695,600 | ||||||
45,000 | Endesa SA | 1,184,017 | ||||||
460,000 | Gulf Coast Ultra Deep Royalty Trust | 14,122 | ||||||
10,000 | Noble Energy Inc. | 224,600 | ||||||
1,000 | SemGroup Corp., Cl. A | 16,340 | ||||||
30,000 | Tallgrass Energy LP, Cl. A | 604,200 | ||||||
25,000 | Valener Inc. | 490,433 | ||||||
|
| |||||||
18,902,131 | ||||||||
|
| |||||||
Entertainment — 1.9% |
| |||||||
9,000 | Entertainment One Ltd. | 62,633 | ||||||
1,666 | Fox Corp., Cl. A | 52,537 | ||||||
55,000 | Fox Corp., Cl. B | 1,734,700 | ||||||
90,000 | International Speedway Corp., Cl. A | 4,050,900 | ||||||
|
| |||||||
5,900,770 | ||||||||
|
| |||||||
Financial Services — 1.5% |
| |||||||
30,865 | Brookfield Asset Management Inc., Cl. A | 1,638,623 | ||||||
1,000 | Charles Taylor plc | 3,934 | ||||||
1,000 | Entegra Financial Corp.† | 30,040 | ||||||
5,500 | LegacyTexas Financial Group Inc. | 239,415 | ||||||
50,000 | MoneyGram International Inc.† | 199,000 | ||||||
2,500 | SLM Corp. | 22,063 | ||||||
4,000 | Stewardship Financial Corp. | 62,600 | ||||||
35,000 | SunTrust Banks Inc. | 2,408,000 | ||||||
|
| |||||||
4,603,675 | ||||||||
|
| |||||||
Food and Beverage — 0.3% |
| |||||||
160,000 | Castle Brands Inc.† | 201,600 | ||||||
1,400,000 | Premier Foods plc† | 557,721 | ||||||
1,000,000 | Yashili International Holdings Ltd. | 111,002 | ||||||
|
| |||||||
870,323 | ||||||||
|
| |||||||
Health Care — 12.7% |
| |||||||
90,000 | Akorn Inc.† | 342,000 | ||||||
97,662 | Alder Biopharmaceuticals Inc.† | 1,841,905 | ||||||
30,000 | Allergan plc | 5,048,700 | ||||||
18,000 | AstraZeneca plc, ADR | 802,260 | ||||||
115,000 | Cambrex Corp.† | 6,842,500 | ||||||
145,000 | Celgene Corp.† | 14,398,500 | ||||||
25,000 | Corindus Vascular Robotics Inc.† | 107,000 | ||||||
50,000 | Dova Pharmaceuticals Inc.† | 1,397,500 | ||||||
30,000 | Idorsia Ltd.† | 737,638 | ||||||
380,000 | Pacific Biosciences of California Inc.† | 1,960,800 | ||||||
60,000 | Spark Therapeutics Inc.† | 5,818,800 | ||||||
|
| |||||||
39,297,603 | ||||||||
|
| |||||||
Hotels and Gaming — 0.7% |
| |||||||
140,000 | Caesars Entertainment Corp.† | 1,632,400 | ||||||
18,000 | Cherry AB, Cl. B†(a) | 159,081 | ||||||
20,500 | Empire Resorts Inc.† | 197,415 | ||||||
|
| |||||||
1,988,896 | ||||||||
|
|
1
The GDL Fund
Schedule of Investments (Continued) — September 30, 2019 (Unaudited)
Shares | Market Value | |||||||
COMMON STOCKS (Continued) |
| |||||||
Machinery — 0.4% |
| |||||||
200,000 | Arotech Corp.† | $ | 588,000 | |||||
14,000 | CIRCOR International Inc.† | 525,700 | ||||||
15,000 | CNH Industrial NV | 152,702 | ||||||
|
| |||||||
1,266,402 | ||||||||
|
| |||||||
Metals and Mining — 0.1% |
| |||||||
65,000 | Alamos Gold Inc., Cl. A | 377,000 | ||||||
20,000 | Artemis Gold Inc† | 151 | ||||||
|
| |||||||
377,151 | ||||||||
|
| |||||||
Paper and Forest Products — 0.1% |
| |||||||
37,000 | Canfor Corp.† | 433,717 | ||||||
|
| |||||||
Publishing — 1.8% |
| |||||||
80,000 | Axel Springer SE† | 5,493,368 | ||||||
|
| |||||||
Real Estate — 0.2% |
| |||||||
35,000 | Atrium European Real Estate Ltd. | 139,623 | ||||||
10,000 | Condor Hospitality Trust Inc., REIT | 110,500 | ||||||
250 | Dream Global Real Estate Investment Trust | 3,136 | ||||||
8,000 | Vastned Retail Belgium NV, REIT | 390,639 | ||||||
|
| |||||||
643,898 | ||||||||
|
| |||||||
Retail — 0.3% |
| |||||||
3,000 | Greene King plc | 31,243 | ||||||
133,347 | Vitamin Shoppe Inc.† | 869,422 | ||||||
|
| |||||||
900,665 | ||||||||
|
| |||||||
Semiconductors — 1.9% |
| |||||||
80,000 | Cypress Semiconductor Corp. | 1,867,200 | ||||||
35,000 | Mellanox Technologies Ltd.† | 3,835,650 | ||||||
|
| |||||||
5,702,850 | ||||||||
|
| |||||||
Specialty Chemicals — 6.2% |
| |||||||
900,000 | OMNOVA Solutions Inc.† | 9,063,000 | ||||||
8,900 | SGL Carbon SE† | 42,256 | ||||||
190,000 | Versum Materials Inc. | 10,056,700 | ||||||
|
| |||||||
19,161,956 | ||||||||
|
| |||||||
Telecommunications — 2.7% |
| |||||||
20,000 | Acacia Communications Inc.† | 1,308,000 | ||||||
450,000 | Inmarsat plc | 3,235,667 | ||||||
175,000 | Koninklijke KPN NV | 545,713 | ||||||
1,000 | Loral Space & Communications Inc.† | 41,400 | ||||||
21,000 | Parrot SA† | 69,354 | ||||||
90,000 | Zayo Group Holdings Inc.† | 3,051,000 | ||||||
|
| |||||||
8,251,134 | ||||||||
|
| |||||||
Transportation — 3.5% |
| |||||||
40,000 | Abertis Infraestructuras SA†(a) | 282,080 | ||||||
89,500 | DryShips Inc.† | 468,085 | ||||||
85,000 | Genesee & Wyoming Inc., Cl. A† | 9,393,350 |
Shares | Market Value | |||||||
2,000 | XPO Logistics Europe SA | $ | 671,411 | |||||
|
| |||||||
10,814,926 | ||||||||
|
| |||||||
Wireless Communications — 0.6% |
| |||||||
25,000 | T-Mobile US Inc.† | 1,969,250 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 210,682,366 | |||||||
|
| |||||||
CLOSED-END FUNDS — 0.3% |
| |||||||
40,000 | Altaba Inc. | 779,200 | ||||||
|
| |||||||
PREFERRED STOCKS — 0.0% |
| |||||||
Financial Services — 0.0% |
| |||||||
2,968 | Steel Partners Holdings LP, | 62,832 | ||||||
|
| |||||||
RIGHTS — 0.2% |
| |||||||
Business Services — 0.0% |
| |||||||
9,091 | TheStreet Inc.†(a) | 0 | ||||||
|
| |||||||
Entertainment — 0.0% |
| |||||||
225,000 | Media General Inc., CVR†(a) | 0 | ||||||
|
| |||||||
Health Care — 0.1% |
| |||||||
79,391 | Ambit Biosciences Corp., CVR†(a) | 160,767 | ||||||
201,600 | American Medical Alert Corp., CPR†(a) | 2,016 | ||||||
30,000 | Corium International CVR†(a) | 5,400 | ||||||
400,000 | Elanco Animal Health Inc., CVR† | 20,000 | ||||||
300,000 | Innocoll, CVR†(a) | 3 | ||||||
125,000 | Ipsen SA/Clementia, CVR†(a) | 168,750 | ||||||
23,000 | Ocera Therapeutics, CVR†(a) | 8,970 | ||||||
100 | Omthera Pharmaceuticals Inc., CVR†(a) | 0 | ||||||
346,322 | Teva Pharmaceutical Industries Ltd., CCCP, expire 02/20/23†(a) | 0 | ||||||
11,000 | Tobira Therapeutics Inc., CVR†(a) | 660 | ||||||
|
| |||||||
366,566 | ||||||||
|
| |||||||
Metals and Mining — 0.1% |
| |||||||
419,000 | Pan American Silver Corp., CVR† | 251,400 | ||||||
|
| |||||||
Specialty Chemicals — 0.0% |
| |||||||
25,772 | A. Schulman Inc., CVR†(a) | 13,479 | ||||||
|
| |||||||
TOTAL RIGHTS | 631,445 | |||||||
|
| |||||||
Principal Amount | ||||||||
CONVERTIBLE CORPORATE BONDS — 2.2% | ||||||||
Health Care — 0.7% | ||||||||
$ 2,000,000 | Alder Biopharmaceuticals Inc. | 2,223,750 | ||||||
|
|
2
The GDL Fund
Schedule of Investments (Continued) — September 30, 2019 (Unaudited)
Principal Amount | Market Value | |||||||
CONVERTIBLE CORPORATE BONDS (Continued) |
| |||||||
Telecommunications — 1.5% |
| |||||||
$ 3,200,000 | Inmarsat plc | $ | 4,671,964 | |||||
|
| |||||||
TOTAL CONVERTIBLE CORPORATE BONDS | 6,895,714 | |||||||
|
| |||||||
CORPORATE BONDS — 0.0% |
| |||||||
Health Care — 0.0% |
| |||||||
17,000 | Constellation Health Promissory Note, PIK, | 7,310 | ||||||
|
| |||||||
U.S. GOVERNMENT OBLIGATIONS — 29.1% |
| |||||||
90,114,000 | U.S. Treasury Bills, | 89,713,577 | ||||||
|
| |||||||
TOTAL INVESTMENTS BEFORE SECURITIES SOLD SHORT — 100.0% | $ | 308,772,444 | ||||||
|
| |||||||
Shares | ||||||||
SECURITIES SOLD SHORT — (5.2)% |
| |||||||
Building and Construction — (0.7)% |
| |||||||
40,000 | Lennar Corp., Cl. A | $ | 2,234,000 | |||||
|
| |||||||
Energy and Utilities — (0.2)% |
| |||||||
80,745 | Keane Group Inc.† | 489,315 | ||||||
|
| |||||||
Financial Services — (1.3)% |
| |||||||
45,325 | BB&T Corp. | 2,418,995 | ||||||
30,865 | Brookfield Asset Management Inc., Cl. A | 1,638,623 | ||||||
|
| |||||||
4,057,618 | ||||||||
|
| |||||||
Health Care — (3.0)% |
| |||||||
25,980 | AbbVie Inc. | 1,967,205 | ||||||
145,000 | Bristol-Myers Squibb Co. | 7,352,950 | ||||||
|
| |||||||
9,320,155 | ||||||||
|
| |||||||
Hotels and Gaming — 0.0% |
| |||||||
2,247 | Eldorado Resorts Inc.† | 89,588 | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT | $ | 16,190,676 | ||||||
|
|
(a) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(b) | Payment-in-kind (PIK) security. 5.00% PIK interest income will be paid as additional securities at the discretion of the issuer. |
(c) | At September 30, 2019, $45,070,000 of the principal amount was pledged as collateral for securities sold short, equity contract for difference swap agreements, and forward foreign exchange contracts. |
(d) | At September 30, 2019, these proceeds were being held at Pershing LLC. |
† | Non-income producing security. |
†† | Represents annualized yields at dates of purchase. |
ADR | American Depositary Receipt |
CCCP | Contingent Cash Consideration Payment |
CVR | Contingent Value Right |
CPR | Contingent Payment Right |
REIT | Real Estate Investment Trust |
Geographic Diversification | % of Total | Market Value | ||||||||
Long Positions | ||||||||||
North America | 89.6 | % | $ | 276,504,415 | ||||||
Europe. | 10.4 | 32,157,027 | ||||||||
Asia/Pacific | 0.0 | ** | 111,002 | |||||||
|
|
|
| |||||||
Total Investments — Long Positions | 100.0 | % | $ | 308,772,444 | ||||||
|
|
|
| |||||||
Short Positions | ||||||||||
North America | (5.2 | )% | $ | (16,190,676 | ) | |||||
|
|
|
| |||||||
Total Investments — Short Positions | (5.2 | )% | $ | (16,190,676 | ) | |||||
|
|
|
|
* | Total investments exclude securities sold short. |
** | Amount represents less than 0.05%. |
3
The GDL Fund
Schedule of Investments (Continued) — September 30, 2019 (Unaudited)
As of September 30, 2019, forward foreign exchange contracts outstanding were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
USD | 8,367,930 | CAD | 11,100,000 | State Street Bank and Trust Co. | 10/31/19 | $(14,553) | ||||||||||||
USD | 10,202,714 | EUR | 9,300,000 | State Street Bank and Trust Co. | 10/31/19 | 41,001 | ||||||||||||
USD | 8,656,816 | GBP | 7,000,000 | State Street Bank and Trust Co. | 10/31/19 | 38,461 | ||||||||||||
USD | 472,899 | SEK | 4,600,000 | State Street Bank and Trust Co. | 10/31/19 | 4,603 | ||||||||||||
| ||||||||||||||||||
$ 69,512 | ||||||||||||||||||
|
As of September 30, 2019, equity contract for difference swap agreements outstanding were as follows:
Market Value Appreciation Received | One Month LIBOR Plus 90 bps plus Market Value Depreciation Paid | Counterparty | Payment Frequency | Termination Date | Notional Amount | Value | Upfront Payments/ Receipts | Unrealized Appreciation | ||||||||||||
Premier Foods plc | Premier Foods plc | The Goldman Sachs Group, Inc. | 1 month | 04/01/2020 | $91,446 | $180 | — | $180 | ||||||||||||
| ||||||||||||||||||||
$180 | ||||||||||||||||||||
|
4