The GDL Fund
Schedule of Investments — March 31, 2020 (Unaudited)
Shares | Market Value | |||||||
COMMON STOCKS — 74.8% | ||||||||
Aerospace — 3.4% | ||||||||
91,000 | Hexcel Corp. | $ | 3,384,290 | |||||
150,000 | Showa Aircraft Industry Co. Ltd. | 2,954,662 | ||||||
|
| |||||||
6,338,952 | ||||||||
|
| |||||||
Automotive: Parts and Accessories — 5.6% | ||||||||
52,000 | Haldex AB | 134,303 | ||||||
6,000 | Navistar International Corp.† | 98,940 | ||||||
76,000 | WABCO Holdings Inc.† | 10,263,800 | ||||||
|
| |||||||
10,497,043 | ||||||||
|
| |||||||
Building and Construction — 0.9% | ||||||||
40,000 | Lennar Corp., Cl. B | 1,156,800 | ||||||
14,000 | RIB Software SE | 440,984 | ||||||
4,000 | Taylor Morrison Home Corp.† | 44,000 | ||||||
|
| |||||||
1,641,784 | ||||||||
|
| |||||||
Business Services — 5.4% | ||||||||
120,038 | Clear Channel Outdoor Holdings Inc.† | 76,824 | ||||||
87,000 | exactEarth Ltd.† | 17,619 | ||||||
78,000 | Tech Data Corp.† | 10,206,300 | ||||||
|
| |||||||
10,300,743 | ||||||||
|
| |||||||
Cable and Satellite — 0.8% | ||||||||
200 | Gilat Satellite Networks Ltd. | 1,418 | ||||||
23,000 | Liberty Global plc, Cl. A† | 379,730 | ||||||
48,000 | Liberty Global plc, Cl. C† | 754,080 | ||||||
16,000 | Liberty Latin America Ltd., Cl. A† | 168,320 | ||||||
16,000 | Liberty Latin America Ltd., Cl. C† | 164,160 | ||||||
|
| |||||||
1,467,708 | ||||||||
|
| |||||||
Computer Software and Services — 2.1% | ||||||||
44,625 | Altran Technologies SA | 733,332 | ||||||
10,000 | Business & Decision† | 87,129 | ||||||
75,000 | ForeScout Technologies Inc.† | 2,369,250 | ||||||
7,300 | LogMeIn Inc. | 607,944 | ||||||
6,000 | NortonLifeLock Inc. | 112,260 | ||||||
|
| |||||||
3,909,915 | ||||||||
|
| |||||||
Diversified Industrial — 0.0% | ||||||||
500 | Anixter International Inc.† | 43,935 | ||||||
|
| |||||||
Electronics — 1.6% | ||||||||
71,000 | Bel Fuse Inc., Cl. A | 497,000 | ||||||
315,000 | Fitbit Inc., Cl. A† | 2,097,900 | ||||||
21,000 | KEMET Corp. | 507,360 | ||||||
|
| |||||||
3,102,260 | ||||||||
|
| |||||||
Energy and Utilities — 15.5% | ||||||||
39,000 | AltaGas Canada Inc. | 928,373 | ||||||
20,000 | Alvopetro Energy Ltd.† | 8,527 | ||||||
3,500 | Avista Corp. | 148,715 | ||||||
150,000 | El Paso Electric Co.(a) | 10,194,000 | ||||||
45,000 | Endesa SA | 966,306 |
Shares | Market Value | |||||||
727 | Energy Transfer LP | $ | 3,344 | |||||
5,000 | EQM Midstream Partners LP | 59,000 | ||||||
460,000 | Gulf Coast Ultra Deep Royalty Trust | 7,590 | ||||||
10,000 | Noble Energy Inc. | 60,400 | ||||||
46,469 | Primo Water Corp. | 421,009 | ||||||
670,000 | Tallgrass Energy LP, Cl. A | 11,028,200 | ||||||
348,937 | TerraForm Power Inc., Cl. A | 5,502,736 | ||||||
|
| |||||||
29,328,200 | ||||||||
|
| |||||||
Entertainment — 1.5% | ||||||||
500,054 | Central European Media Enterprises Ltd., Cl. A† | 1,565,169 | ||||||
3,500 | Fox Corp., Cl. A | 82,705 | ||||||
55,000 | Fox Corp., Cl. B | 1,258,400 | ||||||
|
| |||||||
2,906,274 | ||||||||
|
| |||||||
Financial Services — 0.4% | ||||||||
3,000 | Bolsas y Mercados Espanoles SHMSF SA | 109,386 | ||||||
1,000 | Legg Mason Inc. | 48,850 | ||||||
45,000 | MoneyGram International Inc.† | 58,950 | ||||||
10,000 | Steuben Trust Co. | 585,000 | ||||||
|
| |||||||
802,186 | ||||||||
|
| |||||||
Food and Beverage — 3.4% | ||||||||
405,888 | Craft Brew Alliance Inc.† | 6,047,731 | ||||||
1,300,000 | Premier Foods plc† | 389,956 | ||||||
950,000 | Yashili International Holdings Ltd. | 61,269 | ||||||
|
| |||||||
6,498,956 | ||||||||
|
| |||||||
Health Care — 11.3% | ||||||||
100,000 | Akorn Inc.† | 56,120 | ||||||
68,500 | Allergan plc | 12,131,350 | ||||||
14,000 | AstraZeneca plc, ADR | 625,240 | ||||||
200 | Forty Seven Inc.† | 19,084 | ||||||
30,000 | Idorsia Ltd.† | 785,455 | ||||||
300,000 | Pacific Biosciences of California Inc.† | 918,000 | ||||||
29,000 | QIAGEN NV† | 1,206,400 | ||||||
54,000 | Ra Pharmaceuticals Inc.† | 2,592,540 | ||||||
103,032 | Wright Medical Group NV† | 2,951,867 | ||||||
|
| |||||||
21,286,056 | ||||||||
|
| |||||||
Hotels and Gaming — 3.5% | ||||||||
723,000 | Caesars Entertainment Corp.† | 4,887,480 | ||||||
18,000 | Cherry AB, Cl. B†(b) | 158,301 | ||||||
463,000 | Funcom Se† | 756,640 | ||||||
36,000 | The Stars Group Inc.† | 735,120 | ||||||
|
| |||||||
6,537,541 | ||||||||
|
| |||||||
Machinery — 0.1% | ||||||||
14,000 | CIRCOR International Inc.† | 162,820 | ||||||
15,000 | CNH Industrial NV | 86,291 | ||||||
|
| |||||||
249,111 | ||||||||
|
| |||||||
Metals and Mining — 0.2% | ||||||||
55,000 | Alamos Gold Inc., Cl. A | 275,000 |
1 |
The GDL Fund
Schedule of Investments (Continued) — March 31, 2020 (Unaudited)
Shares | Market Value | |||||||
COMMON STOCKS (Continued) | ||||||||
Metals and Mining (Continued) | ||||||||
20,000 | Artemis Gold Inc.† | $ | 15,348 | |||||
|
| |||||||
290,348 | ||||||||
|
| |||||||
Paper and Forest Products — 0.8% | ||||||||
150,000 | Canfor Corp.† | 778,086 | ||||||
9,000 | Pope Resources a Delaware LP | 772,110 | ||||||
|
| |||||||
1,550,196 | ||||||||
|
| |||||||
Real Estate — 1.1% | ||||||||
288,745 | Atrium European Real Estate Ltd. | 863,019 | ||||||
26,990 | Condor Hospitality Trust Inc., REIT | 110,929 | ||||||
18,500 | Taubman Centers Inc., REIT | 774,780 | ||||||
8,000 | Vastned Retail Belgium NV, REIT | 260,285 | ||||||
|
| |||||||
2,009,013 | ||||||||
|
| |||||||
Retail — 0.0% | ||||||||
20,000 | Swedol AB, Cl. B | 94,010 | ||||||
|
| |||||||
Semiconductors — 2.6% | ||||||||
20,000 | Adesto Technologies Corp.† | 223,800 | ||||||
77,000 | Cypress Semiconductor Corp. | 1,795,640 | ||||||
24,000 | Mellanox Technologies Ltd.† | 2,911,680 | ||||||
|
| |||||||
4,931,120 | ||||||||
|
| |||||||
Specialty Chemicals — 4.6% | ||||||||
855,000 | OMNOVA Solutions Inc.† | 8,669,700 | ||||||
5,000 | SGL Carbon SE† | 13,698 | ||||||
|
| |||||||
8,683,398 | ||||||||
|
| |||||||
Telecommunications — 8.7% | ||||||||
30,000 | Acacia Communications Inc.† | 2,015,400 | ||||||
3,000 | Cincinnati Bell Inc.† | 43,920 | ||||||
175,000 | Koninklijke KPN NV | 419,985 | ||||||
1,200 | Loral Space & Communications Inc.† | 19,500 | ||||||
2,400 | North State Telecommunications Corp., Cl. B | 177,600 | ||||||
21,000 | Parrot SA† | 57,671 | ||||||
1,600,000 | Sprint Corp.† | 13,792,000 | ||||||
|
| |||||||
16,526,076 | ||||||||
|
| |||||||
Transportation — 0.5% | ||||||||
40,000 | Abertis Infraestructuras SA†(b) | 285,431 | ||||||
2,000 | XPO Logistics Europe SA | 582,331 | ||||||
|
| |||||||
867,762 | ||||||||
|
| |||||||
Wireless Telecommunications Services — 0.8% |
| |||||||
713,121 | NII Holdings Inc., Escrow† | 1,547,473 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 141,410,060 | |||||||
|
| |||||||
CLOSED-END FUNDS — 4.6% | ||||||||
415,000 | Altaba Inc., Escrow† | 8,611,250 | ||||||
|
|
Shares | Market Value | |||||||
PREFERRED STOCKS — 0.0% | ||||||||
Financial Services — 0.0% | ||||||||
2,369 | Steel Partners Holdings LP, Ser. A, 6.000%, 02/07/26 | $ | 40,107 | |||||
|
| |||||||
CONVERTIBLE PREFERRED STOCKS — 0.0% |
| |||||||
Telecommunications — 0.0% | ||||||||
1,000 | Cincinnati Bell Inc. 6.750%, Ser. B | 44,050 | ||||||
|
| |||||||
RIGHTS — 0.7% | ||||||||
Entertainment — 0.0% | ||||||||
225,000 | Media General Inc., CVR†(b) | 0 | ||||||
|
| |||||||
Health Care — 0.6% | ||||||||
70,000 | Achillion Pharmaceuticals Inc., CVR† | 35,000 | ||||||
215,942 | Alder BioPharmaceuticals Inc. – H. Lundbeck A/S, | 302,319 | ||||||
79,391 | Ambit Biosciences Corp., CVR†(b) | 160,767 | ||||||
136,000 | Bristol-Myers Squibb Co., CVR† | 516,800 | ||||||
30,000 | Corium International, CVR†(b) | 5,400 | ||||||
103,040 | Dova Pharmaceuticals Inc., CVR† | 51,520 | ||||||
400,000 | Elanco Animal Health Inc., CVR† | 4,000 | ||||||
300,000 | Innocoll, CVR†(b) | 3 | ||||||
125,000 | Ipsen SA/Clementia, CVR†(b) | 168,750 | ||||||
23,000 | Ocera Therapeutics, CVR†(b) | 6,210 | ||||||
�� | 100 | Omthera Pharmaceuticals Inc., CVR†(b) | 0 | |||||
346,322 | Teva Pharmaceutical Industries Ltd., CCCP, expire 02/20/23†(b) | 0 | ||||||
11,000 | Tobira Therapeutics Inc., CVR†(b) | 660 | ||||||
|
| |||||||
1,251,429 | ||||||||
|
| |||||||
Metals and Mining — 0.1% | ||||||||
419,000 | Pan American Silver Corp., CVR† | 142,460 | ||||||
|
| |||||||
TOTAL RIGHTS | 1,393,889 | |||||||
|
| |||||||
Principal Amount | ||||||||
U.S. GOVERNMENT OBLIGATIONS — 19.9% |
| |||||||
$ | 37,550,000 | U.S. Treasury Bills, | 37,548,017 | |||||
|
| |||||||
TOTAL INVESTMENTS BEFORE SECURITIES SOLD SHORT — 100.0% | $ | 189,047,373 | ||||||
|
|
2 |
The GDL Fund
Schedule of Investments (Continued) — March 31, 2020 (Unaudited)
Shares | ||||||||
SECURITIES SOLD SHORT — (14.4)% | ||||||||
Aerospace — (1.0)% | ||||||||
33,000 | Woodward Inc. | $ | 1,961,520 | |||||
|
| |||||||
Building and Construction — (0.6)% | ||||||||
30,000 | Lennar Corp., Cl. A | 1,146,000 | ||||||
|
| |||||||
Energy and Utilities — (2.4)% | ||||||||
106,775 | Brookfield Renewable Partners LP | 4,536,870 | ||||||
|
| |||||||
Financial Services — (0.3)% | ||||||||
8,054 | Community Bank System Inc. | 473,575 | ||||||
|
| |||||||
Health Care — (2.4)% | ||||||||
60,187 | AbbVie Inc. | 4,585,647 | ||||||
|
| |||||||
Hotels and Gaming — (0.4)% | ||||||||
56,000 | Eldorado Resorts Inc. | 806,400 | ||||||
|
| |||||||
Wireless Communications — (7.3)% | ||||||||
164,160 | T-Mobile US Inc. | 13,773,024 | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT | $ | 27,283,036 | ||||||
|
|
(a) | Securities, or a portion thereof, with a value of $3,398,000 were pledged as collateral for equity contract for difference swap agreements, securities sold short, and forward foreign exchange contracts. |
(b) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(c) | At March 31, 2020, $31,385,000 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 March 31, 2020, 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 |
REIT | Real Estate Investment Trust |
Geographic Diversification | % of Total Investments* | Market Value | ||||||||
Long Positions | ||||||||||
North America | 89.1 | % | $ | 168,411,346 | ||||||
Europe | 9.3 | 17,620,096 | ||||||||
Japan | 1.6 | 2,954,662 | ||||||||
Asia/Pacific | 0.0 | ** | 61,269 | |||||||
|
|
|
| |||||||
Total Investments — Long Positions | 100.0 | % | $ | 189,047,373 | ||||||
|
|
|
| |||||||
Short Positions | ||||||||||
North America | (14.4 | )% | $ | (27,283,036 | ) | |||||
|
|
|
| |||||||
Total Investments — Short Positions | (14.4 | )% | $ | (27,283,036 | ) | |||||
|
|
|
|
* | Total investments exclude securities sold short. |
** | Amount represents less than 0.05%. |
As of March 31, 2020, forward foreign exchange contracts outstanding were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||||||||||
USD | 506,781 | SEK | 5,100,000 | State Street Bank and Trust Co. | 04/29/20 | $ | (9,128) | |||||||||||||
USD | 5,334,728 | EUR | 4,900,000 | State Street Bank and Trust Co. | 04/29/20 | (75,946) | ||||||||||||||
USD | 1,337,538 | CAD | 1,900,000 | State Street Bank and Trust Co. | 04/29/20 | (13,056) | ||||||||||||||
USD | 119,011 | GBP | 100,000 | State Street Bank and Trust Co. | 04/29/20 | (5,284) | ||||||||||||||
|
| |||||||||||||||||||
$ | (103,414) | |||||||||||||||||||
|
|
3
The GDL Fund
Schedule of Investments (Continued) — March 31, 2020 (Unaudited)
As of March 31, 2020, equity contract for difference swap agreements outstanding were as follows:
Market Value Appreciation Received | One Month LIBOR Plus 90 bps plus Market Value | 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 | 04/02/2021 | $68,517 | $475 | — | $475 | ||||||||||||||||||
|
| |||||||||||||||||||||||||
$475 | ||||||||||||||||||||||||||
|
|
4