WCM Alternatives: Credit Event Fund | ||||||||
SCHEDULE OF INVESTMENTS | ||||||||
September 30, 2019 (Unaudited) | ||||||||
Shares | Value | |||||||
LONG INVESTMENTS - 100.17% | ||||||||
SPECIAL PURPOSE ACQUISITION COMPANIES - 36.98% (a) | ||||||||
Act II Global Acquisition Corporation Class A (b) | 11,468 | $ | 112,960 | |||||
Alberton Acquisition Corporation (b) | 19,986 | 204,857 | ||||||
CF Finance Acquisition Corporation Class A (e) | 15,440 | 156,330 | ||||||
FinTech Acquisition Corporation III Class A | 15,106 | 152,117 | ||||||
Haymaker Acquisition Corporation II | 8,030 | 82,950 | ||||||
Hennessy Capital Acquisition Corporation IV (e) | 7,720 | 77,586 | ||||||
Legacy Acquisition Corporation Class A | 8,245 | 84,099 | ||||||
Mudrick Capital Acquisition Corporation Class A (e) | 1,950 | 19,978 | ||||||
Pivotal Acquisition Corporation | 7,598 | 77,348 | ||||||
Pure Acquisition Corporation | 16,153 | 165,568 | ||||||
Trident Acquisitions Corporation (e) | 13,565 | 141,076 | ||||||
Trinity Merger Corporation Class A | 7,578 | 79,114 | ||||||
Tuscan Holdings Corporation | 10,713 | 104,987 | ||||||
Tuscan Holdings Corporation II | 15,000 | 150,750 | ||||||
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES (Cost $1,529,164) | 1,609,720 | |||||||
CLOSED-END FUNDS - 0.10% | ||||||||
Apollo Tactical Income Fund, Inc. | 23 | 348 | ||||||
Ares Dynamic Credit Allocation Fund | 173 | 2,577 | ||||||
BlackRock Debt Strategies Fund, Inc. | 82 | 882 | ||||||
Nuveen Credit Strategies Income Fund | 58 | 434 | ||||||
TOTAL CLOSED-END FUNDS (Cost $4,531) | 4,241 | |||||||
PREFERRED STOCKS - 3.38% (a) | ||||||||
Fannie Mae, 8.250%, Series S | 5,799 | 77,417 | ||||||
Freddie Mac, 8.375%, Series Z | 5,338 | 69,874 | ||||||
TOTAL PREFERRED STOCKS (Cost $132,599) | 147,291 | |||||||
WARRANTS - 2.12% (a) | ||||||||
Act II Global Acquisition Corporation Class A | ||||||||
Expiration: April 2024, Exercise Price: $11.50 (b) | 5,734 | 5,333 | ||||||
CF Finance Acquisition Corporation Class A | ||||||||
Expiration: April 2025, Exercise Price: $11.50 | 11,580 | 7,527 | ||||||
FinTech Acquisition Corporation III Class A | ||||||||
Expiration: December 2023, Exercise Price: $11.50 | 7,553 | 9,214 | ||||||
Hennessy Capital Acquisition Corporation IV | ||||||||
Expiration: September 2025, Exercise Price: $11.50 (e) | 5,790 | 4,516 | ||||||
Mudrick Capital Acquisition Corporation Class A | ||||||||
Expiration: March 2025, Exercise Price: $11.50 (e) | 1,950 | 1,219 | ||||||
Pivotal Acquisition Corporation | ||||||||
Expiration: December 2025, Exercise Price: $11.50 (e) | 32,598 | 42,703 | ||||||
Pure Acquisition Corporation | ||||||||
Expiration: April 2023, Exercise Price: $11.50 | 7,903 | 8,298 | ||||||
Repay Holdings Corporation | ||||||||
Expiration: July 2024, Exercise Price: $11.50 | 5,911 | 5,202 | ||||||
Tuscan Holdings Corporation | ||||||||
Expiration: April 2026, Exercise Price: $11.50 | 10,713 | 8,142 | ||||||
TOTAL WARRANTS (Cost $78,293) | 92,154 |
Principal Value | ||||||||
BANK LOANS - 11.33% (e)(g) | ||||||||
Avaya Holdings Corporation | ||||||||
6.278% (1 Month U.S. LIBOR + 4.250%), 12/16/2024 | $ | 101,835 | 96,998 | |||||
6.430% (2 Month U.S. LIBOR + 4.250%), 12/16/2024 | 60,751 | 57,865 | ||||||
Cengage Learning Holdings II, Inc. | ||||||||
6.384% (1 Month U.S. LIBOR + 4.250%), 6/7/2023 | 99,486 | 94,388 | ||||||
McGraw-Hill Global Education Holdings LLC | ||||||||
6.139% (1 Month U.S. LIBOR + 4.000%), 5/4/2022 | 98,487 | 92,331 | ||||||
Refinitiv US Holdings, Inc. | ||||||||
5.849% (1 Month U.S. LIBOR + 3.750%), 10/1/2025 | 150,621 | 151,562 | ||||||
TOTAL BANK LOANS (Cost $506,081) | 493,144 | |||||||
CONVERTIBLE BONDS - 7.62% (e) | ||||||||
Caesars Entertainment Corporation | ||||||||
5.000%, 10/1/2024 | 71,000 | 120,756 | ||||||
NII Holdings, Inc. | ||||||||
4.250%, 8/15/2023 (f) | 202,000 | 210,741 | ||||||
TOTAL CONVERTIBLE BONDS (Cost $315,965) | 331,497 | |||||||
CORPORATE BONDS - 34.99% (e) | ||||||||
Acadia Healthcare Company, Inc. | ||||||||
5.125%, 7/1/2022 (d) | 153,000 | 154,721 | ||||||
APX Group, Inc. | ||||||||
7.875%, 12/1/2022 | 141,000 | 141,353 | ||||||
CEC Entertainment, Inc. | ||||||||
8.000%, 2/15/2022 | 188,000 | 179,070 | ||||||
EIG Investors Corporation | ||||||||
10.875%, 2/1/2024 | 182,000 | 190,190 | ||||||
Inmarsat Finance plc | ||||||||
6.500%, 10/1/2024 (b)(f) | 23,000 | 24,208 | ||||||
Kinetic Concepts, Inc. / KCI USA, Inc. | ||||||||
7.875%, 2/15/2021 (f) | 45,000 | 45,974 | ||||||
Nationstar Mortgage LLC / Nationstar Capital Corporation | ||||||||
6.500%, 7/1/2021 | 25,000 | 25,130 | ||||||
6.500%, 6/1/2022 | 16,000 | 16,030 | ||||||
Nielsen Finance LLC / Nielsen Finance Company | ||||||||
5.000%, 4/15/2022 (d)(f) | 203,000 | 204,583 | ||||||
SRC Energy, Inc. | ||||||||
6.250%, 12/1/2025 | 183,000 | 182,081 | ||||||
Univar USA, Inc. | ||||||||
6.750%, 7/15/2023 (f)(h) | 232,000 | 236,930 | ||||||
York Risk Services Holding Corporation | ||||||||
8.500%, 10/1/2022 (f) | 120,000 | 122,550 | ||||||
TOTAL CORPORATE BONDS (Cost $1,523,820) | 1,522,820 | |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS - 3.65% | ||||||||
MONEY MARKET FUNDS - 3.65% (c) | ||||||||
JPMorgan U.S. Government Money Market Fund, Institutional Share Class, 1.83% | 158,665 | 158,665 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $158,665) | 158,665 | |||||||
TOTAL LONG INVESTMENTS | ||||||||
(Cost $4,249,118) - 100.17% | 4,359,532 |
SHORT INVESTMENTS - (2.00)% | ||||||||
COMMON STOCKS - (0.83)% | ||||||||
CASINOS & GAMING - (0.83)% | ||||||||
Eldorado Resorts, Inc. | (902 | ) | (35,963 | ) | ||||
TOTAL COMMON STOCKS | ||||||||
(Proceeds $40,595) | (35,963 | ) | ||||||
CORPORATE BONDS - (1.17)% (e) | ||||||||
APX Group, Inc. | ||||||||
7.625%, 9/1/2023 | (57,000) | (51,014) | ||||||
TOTAL CORPORATE BONDS | ||||||||
(Proceeds $51,385) | (51,014 | ) | ||||||
TOTAL SHORT INVESTMENTS | ||||||||
(Proceeds $91,980) - (2.00)% | (86,977 | ) | ||||||
TOTAL NET INVESTMENTS | ||||||||
(Cost $4,157,138) - 98.17% | 4,272,555 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.83% | 79,831 | |||||||
TOTAL NET ASSETS - 100.00% | $ | 4,352,386 |
LIBOR | - London Interbank Offered Rate | ||||
plc | - Public Limited Company | ||||
(a) | Non-income producing security. | ||||
(b) | Foreign Security. | ||||
(c) | The rate quoted is the annualized seven-day yield as of September 30, 2019. | ||||
(d) | All or a portion of the shares have been committed as collateral for open securities sold short and swap contracts. | ||||
(e) | Level 2 Security. Please see footnote (j) on the Schedule of Investments for more information. | ||||
(f) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutional buyers. As of September 30, 2019, these securities represent 19.41% of total net assets. | ||||
(g) | The coupon rate shown on variable rate securities represents the rate as of September 30, 2019. | ||||
(h) | All or partial amount transferred for the benefit of the counterparty as collateral for reverse repurchase agreements. | ||||
(i) | As of September 30, 2019, the components of accumulated earnings (losses) for income tax purposes were as follows*: |
Total Portfolio | |||
Tax Cost (1) | $ | 3,982,382 | |
Gross unrealized appreciation(2) | 165,443 | ||
Gross unrealized depreciation(2) | (56,079 | ) | |
Net unrealized appreciation | $ | 109,364 |
(1) Tax cost represents tax on investments, net of proceeds on open securities sold short and reverse repurchase agreements. | |||||
(2) Includes investments, open swap contracts and reverse repurchase agreement appreciation and/or depreciation. | |||||
*Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Fund’s most recent annual report. | |||||
(j) | Investment Valuation | ||||
Equity securities, including common and preferred stocks, closed-end funds and ETFs, that trade on an exchange will typically be valued based funds and ETFs, that trade on an exchange will typically be valued based on the last reported sale price. Securities listed on NASDAQ are typically valued using the NASDAQ Official Closing Price. The securities valued using quoted prices in active markets are classified as Level 1 investments. If, on a particular day, an exchange-listed security does not trade, then the mean between the closing bid and asked prices will typically be used to value the security. These securities are classified as Level 2 investments. Fixed income securities having a maturity of greater than 60 days are typically valued based on evaluations provided by an independent pricing vendor. Investments in United States government securities (other than short-term securities) are valued at the mean between the 4:00 p.m. New York time bid and asked prices supplied by a third party vendor. Short-term fixed-income securities having a maturity of less than 60 days are valued at market quotations or based on valuations supplied by a third party pricing service. If a reliable price from a third party pricing service is unavailable, amortized cost may be used if it is determined that the instrument’s amortized cost value represents approximately the fair value of the security. These securities are classified as Level 2 investments. | |||||
Investments in Special Purpose Acquisition Companies, including their related units, shares, rights and warrants (each a “SPAC interest”), will typically be valued by reference to the last reported transaction for the composite exchange. These securities are classified as Level 1 investments. If, on a particular day, no reliable market transaction is readily available and reported for the composite exchange, then the mean between the closing bid and asked prices on the composite exchange will be used to value the SPAC interest, or the SPAC interest will be fair valued in accordance with the Fund’s pricing procedures. These securities are classified as Level 2 investments. |
Exchange-traded options are typically valued at the higher of the intrinsic value of the option (i.e., what a Fund would pay or can receive upon the option being exercised) or the last reported composite sale price when such sale falls between the bid and asked prices. Notwithstanding the above, options that trade principally on a European exchange are typically valued at the “settlement price” as reported by the exchange on which the option principally trades. If the settlement price for a European exchange-traded option is unreliable or unavailable, the option will generally be valued at the last reported sale price. When the last sale of an exchange-traded option is outside the bid and asked prices, the Funds will typically value the option at the higher of the intrinsic value of the option or the mean between the highest end of day option bid price and the lowest end of day option ask price. On the stipulated expiration date, expiring options will be priced at intrinsic value. Options for which there is an active market are classified as Level 1 investments, but options not listed on an exchange and/or are fair valued in accordance with the Fund’s pricing procedures are classified as Level 2 investments. | |||||
Investments in registered open-end investment companies, including Money Market Funds, are typically valued at their reported net asset value (“NAV”) per share. These securities are generally classified as Level 1 investments. | |||||
Forward currency contracts are valued daily at the prevailing forward exchange rate. These securities are generally classified as Level 2. | |||||
In general, swap prices are determined using the same methods as would be used to price the underlying security. When the underlying security is the subject of a completed corporate reorganization for which the final deal terms are known, the swap is priced at the value of the consideration to be received by the Funds. The credit quality of counterparties and collateral is monitored and the valuation of a swap may be adjusted if it is believed that the credit quality of the counterparty or collateral affects the market value of the swap position. These securities are generally classified as Level 2 investments. | |||||
Due to the short-term nature of the reverse repurchase agreements, amortized cost approximates fair value at September 30, 2019. These securities are generally classified as Level 2 investments. | |||||
The Funds typically fair value securities and assets for which (a) market quotations are not readily available or (b) market quotations are believed to be unrepresentative of market value. For example, the Funds may fair value a security that primarily trades on an exchange that closes before the New York Stock Exchange (“NYSE”) if a significant event occurs after the close of the exchange on which the security primarily trades but before the NYSE closes. Fair valuations are determined in good faith by the Valuation Group (the “Valuation Group”), a committee comprised of persons who are officers of the Trust or representatives of the Adviser, acting pursuant to procedures adopted by the Board. When fair value pricing is employed, the prices of securities used by the Funds to calculate their NAV may differ from quoted or published prices for the same securities. In addition, due to the subjective nature of fair value pricing, it is possible that the value determined for a particular asset may be materially different from the value realized upon such asset’s sale. These securities are generally classified as Level 2 or 3 depending on the inputs as described below. | |||||
The Fund has performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below: | |||||
Level 1 — Quoted prices in active markets for identical securities. | |||||
Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). | |||||
Level 3 — Significant unobservable inputs are those inputs that reflect the applicable Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information. | |||||
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. | |||||
The following tables provide the fair value measurements of applicable Fund assets and liabilities by level within the fair value hierarchy for the Fund as of September 30, 2019. These assets and liabilities are measured on a recurring basis. |
Investments at Fair Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Special Purpose Acquisition Companies | $ | 1,214,750 | $ | 394,970 | $ | - | $ | 1,609,720 | ||||||||
Closed-End Funds | 4,241 | - | - | 4,241 | ||||||||||||
Preferred Stocks | 147,291 | - | - | 147,291 | ||||||||||||
Warrants | 43,716 | 48,438 | - | 92,154 | ||||||||||||
Bank Loans | - | 493,144 | - | 493,144 | ||||||||||||
Convertible Bonds | - | 331,497 | - | 331,497 | ||||||||||||
Corporate Bonds | - | 1,522,820 | - | 1,522,820 | ||||||||||||
Short-Term Investments | 158,665 | - | - | 158,665 | ||||||||||||
Total | $ | 1,568,663 | $ | 2,790,869 | $ | - | $ | 4,359,532 | ||||||||
Liabilities | ||||||||||||||||
Short Common Stock* | $ | (35,963 | ) | $ | - | $ | - | $ | (35,963 | ) | ||||||
Short Corporate Bonds | - | (51,014 | ) | - | (51,014 | ) | ||||||||||
Swap Contracts** | - | (5,338 | ) | - | (5,338 | ) | ||||||||||
Reverse Repurchase Agreements | - | (174,756 | ) | - | (174,756 | ) | ||||||||||
Total | $ | (35,963 | ) | $ | (231,108 | ) | $ | - | $ | (267,071 | ) |
* Please refer to the Schedules of Investments to view short common stocks segregated by industry type. | ||||
** Swap contracts are valued at the net unrealized appreciation (depreciation) on the instrument by counterparty. | ||||
The Level 2 securities are priced using inputs such as current yields, discount rates, credit quality, yields on comparable securities, trading volume, maturity date, market bid and asked prices, prices on comparable securities and other significant inputs. Level 3 securities are valued by using broker quotes or such other pricing sources or data as are permitted by the Fund’s pricing procedures. The appropriateness of fair values for these securities is monitored by the Valuation Group on an ongoing basis. There were no transfers to level 3 securities during the nine months ended September 30, 2019. | ||||
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC, doing business as U.S Bank Global Fund Services. |
WCM Alternatives: Credit Event Fund | |||||||||||||||||
SCHEDULE OF INVESTMENTS | |||||||||||||||||
Open Swap Contracts | |||||||||||||||||
September 30, 2019 (Unaudited) | |||||||||||||||||
Unrealized | |||||||||||||||||
Counterparty | Security | Termination Date | Pay/Receive on Financing Rate | Financing Rate | Payment Frequency | Shares | Notional Amount | Appreciation (Depreciation)* | |||||||||
LONG TOTAL RETURN SWAP CONTRACTS | |||||||||||||||||
JPM | Altaba, Inc. | 9/25/2020 | Pay | 0.800% + 3 Month U.S. LIBOR | Quarterly | 6,174 | $ 120,702 | $ (478) | |||||||||
JPM | Apollo Tactical Income Fund, Inc. | 12/27/2019 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 546 | 7,495 | 769 | |||||||||
JPM | BlackRock Debt Strategies Fund, Inc. | 11/28/2019 | Pay | 0.800% + 3 Month U.S. LIBOR | Quarterly | 5,442 | 57,895 | 535 | |||||||||
JPM | BlackRock Floating Rate Income Strategies Fund, Inc. | 11/28/2019 | Pay | 0.473% + 3 Month U.S. LIBOR | Quarterly | 4,417 | 55,414 | 283 | |||||||||
JPM | Colony Capital, Inc., 8.750%, Series E | 4/30/2020 | Pay | 0.753% + 3 Month U.S. LIBOR | Quarterly | 8,113 | 203,481 | 1,451 | |||||||||
JPM | Eaton Vance Floating-Rate Income Trust | 11/28/2019 | Pay | 0.800% + 3 Month U.S. LIBOR | Quarterly | 4,124 | 55,764 | (1,313) | |||||||||
JPM | Eaton Vance Senior Floating-Rate Income Trust | 8/30/2020 | Pay | 1.000% + 3 Month U.S. LIBOR | Quarterly | 2,841 | 36,649 | 350 | |||||||||
JPM | First Trust Senior Floating Rate Income Fund II | 3/18/2020 | Pay | 0.800% + 3 Month U.S. LIBOR | Quarterly | 5,272 | 63,106 | 81 | |||||||||
JPM | Invesco Dynamic Credit Opportunities Fund | 12/27/2019 | Pay | 0.802% + 3 Month U.S. LIBOR | Quarterly | 8,430 | 91,911 | 795 | |||||||||
JPM | Invesco Municipal Opportunity Trust | 3/13/2020 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 1,733 | 20,731 | 917 | |||||||||
JPM | Invesco Senior Income Trust | 3/18/2020 | Pay | 1.000% + 3 Month U.S. LIBOR | Quarterly | 27,652 | 115,947 | 40 | |||||||||
JPM | Invesco Value Municipal Income Trust | 3/13/2020 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 1,442 | 21,145 | 972 | |||||||||
JPM | Nuveen AMT-Free Municipal Credit Income Fund | 11/28/2019 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 1,413 | 19,230 | 4,390 | |||||||||
JPM | Nuveen AMT-Free Quality Municipal Income Fund | 11/28/2019 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 1,566 | 19,245 | 3,145 | |||||||||
JPM | Nuveen California Quality Municipal Income Fund | 11/28/2019 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 1,536 | 19,246 | 3,759 | |||||||||
JPM | Nuveen Credit Strategies Income Fund | 11/28/2019 | Pay | 0.800% + 3 Month U.S. LIBOR | Quarterly | 8,620 | 66,627 | (2,230) | |||||||||
JPM | Nuveen Preferred and Income 2022 Term Fund | 11/29/2019 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 894 | 19,274 | 2,448 | |||||||||
JPM | SLM Corporation, 4.311%, Series B | 2/8/2020 | Pay | 1.100% + 3 Month U.S. LIBOR | Quarterly | 2,007 | 133,465 | (20,691) | |||||||||
JPM | Voya Prime Rate Trust | 3/18/2020 | Pay | 1.000% + 3 Month U.S. LIBOR | Quarterly | 24,016 | 113,619 | (652) | |||||||||
SHORT TOTAL RETURN SWAP CONTRACTS | |||||||||||||||||
JPM | Alibaba Group Holding Ltd. - ADR | 5/8/2020 | Receive | (0.600)% + 3 Month U.S. LIBOR | Quarterly | (7) | (1,260) | 91 |
$ | (5,338) |
ADR | - American Depository Receipt | |||||||||||||||
JPM | - JPMorgan Chase & Co., Inc. | |||||||||||||||
LIBOR | - London Interbank Offered Rate | |||||||||||||||
* | Based on the net swap value held at each counterparty, unrealized appreciation (depreciation) is a receivable (payable). |
WCM Alternatives: Credit Event Fund | |||||||||||||||
SCHEDULE OF INVESTMENTS | |||||||||||||||
Reverse Repurchase Agreements | |||||||||||||||
September 30, 2019 (Unaudited) | |||||||||||||||
Counterparty | Rate | Trade Date | Maturity Date | Principal | Principal & Interest | ||||||||||
JPM | 2.907% | 9/6/2019 | 10/4/2019 | $ | (174,756 | ) | $ | (175,471 | ) | ||||||
$ | (174,756 | ) | $ | (175,471 | ) | ||||||||||
JPM - JPMorgan Chase & Co., Inc. |
The weighted average daily balance of reverse repurchase agreements during the nine months ended September 30, 2019 was $326,084, at a weighted average interest rate of 3.19%. Total market value of underlying collateral (refer to the Schedule of Investments for positions transferred for the benefit of the counterparty as collateral) for open reverse repurchase agreements at September 30, 2019 was $233,866. | |||||||||
Securities Accounted for as Secured Borrowings | |||||||||
Remaining Contractual Maturity of the Agreements | |||||||||
Overnight and Continuous | Up to 30 Days | 31-90 Days | Greater than 90 Days | Total | |||||
Reverse Repurchase Agreements | |||||||||
Corporate Bonds | $ - | $ (174,756) | $ - | $ - | $ (174,756) | ||||
Total Borrowings | $ - | $ (174,756) | $ - | $ - | $ (174,756) | ||||
Gross amount of recognized liabilities for reverse repurchase agreements | $ (174,756) |