WCM Alternatives: Credit Event Fund | ||||||||
SCHEDULE OF INVESTMENTS | ||||||||
September 30, 2020 (Unaudited) | ||||||||
Shares/Units | Value | |||||||
LONG INVESTMENTS - 94.78% | ||||||||
SPECIAL PURPOSE ACQUISITION COMPANIES - 13.96% (a) | ||||||||
Ascendant Digital Acquisition Corporation (b) | 7,974 | $ | 83,886 | |||||
CC Neuberger Principal Holdings II (b) | 7,827 | 80,853 | ||||||
CF Finance Acquisition Corporation Class A | 4,323 | 44,959 | ||||||
CHP Merger Corporation Class A | 1,150 | 11,719 | ||||||
Churchill Capital Corporation IV | 8,739 | 87,565 | ||||||
Equity Distribution Acquisition Corporation | 8,189 | 84,347 | ||||||
Falcon Capital Acquisition Corporation | 327 | 3,365 | ||||||
GigCapital3, Inc. | 656 | 6,527 | ||||||
Kensington Capital Acquisition Corporation Class A | 5,671 | 94,989 | ||||||
Longview Acquisition Corporation Class A | 3,641 | 35,755 | ||||||
PropTech Acquisition Corporation Class A | 1,065 | 11,853 | ||||||
QELL Acquisition Corporation (b) | 24,900 | 252,984 | ||||||
Software Acquisition Group, Inc. Class A | 836 | 8,327 | ||||||
Subversive Capital Acquisition Corporation Class A (b)(e) | 22,446 | 221,542 | ||||||
Tortoise Acquisition Corporation II (b) | 11,473 | 124,826 | ||||||
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES (Cost $1,082,789) | 1,153,497 | |||||||
Shares | ||||||||
CLOSED-END FUNDS - 0.14% | ||||||||
BlackRock MuniYield Quality Fund III, Inc. | 835 | 11,222 | ||||||
TOTAL CLOSED-END FUNDS (Cost $11,464) | 11,222 | |||||||
PREFERRED STOCKS - 2.25% (a) | ||||||||
Fannie Mae, 8.250%, Series S | 18,830 | 167,210 | ||||||
Freddie Mac, 8.375%, Series Z | 2,113 | 18,806 | ||||||
TOTAL PREFERRED STOCKS (Cost $176,908) | 186,016 | |||||||
WARRANTS - 1.73% (a) | ||||||||
CC Neuberger Principal Holdings I Class A | ||||||||
Expiration: December 2025, Exercise Price: $11.50 (b) | 4,974 | 8,953 | ||||||
CF Finance Acquisition Corporation Class A | ||||||||
Expiration: April 2025, Exercise Price: $11.50 | 11,580 | 11,348 | ||||||
CHP Merger Corporation Class A | ||||||||
Expiration: November 2024, Exercise Price: $11.50 (e) | 575 | 670 | ||||||
Churchill Capital Corporation III Class A | ||||||||
Expiration: March 2027, Exercise Price: $11.50 | 2,301 | 4,602 | ||||||
CIIG Merger Corporation Class A | ||||||||
Expiration: December 2026, Exercise Price: $11.50 | 4,555 | 3,917 | ||||||
dMY Technology Group, Inc. Class A | ||||||||
Expiration: February 2027, Exercise Price: $11.50 | 3,911 | 11,733 | ||||||
FinTech Acquisition Corporation III Class A | ||||||||
Expiration: December 2023, Exercise Price: $11.50 | 7,553 | 11,633 | ||||||
Flying Eagle Acquisition Corporation Class A | ||||||||
Expiration: February 2027, Exercise Price: $11.50 | 279 | 910 | ||||||
Fusion Acquisition Corporation Class A | ||||||||
Expiration: June 2027, Exercise Price: $11.50 | 3,781 | 4,121 | ||||||
GigCapital3, Inc. | ||||||||
Expiration: July 2025, Exercise Price: $11.50 | 492 | 315 | ||||||
Gores Holdings IV, Inc. Class A | ||||||||
Expiration: January 2025, Exercise Price: $11.50 | 2,080 | 3,453 | ||||||
Haymaker Acquisition Corporation II Class A | ||||||||
Expiration: October 2026, Exercise Price: $11.50 | 1,682 | 1,665 |
Hennessy Capital Acquisition Corporation IV Class A | ||||||||
Expiration: September 2025, Exercise Price: $11.50 | 3,705 | 8,559 | ||||||
Jaws Acquisition Corporation Class A | ||||||||
Expiration: July 2025, Exercise Price: $11.50 (b) | 4,650 | 9,858 | ||||||
Juniper Industrial Holdings, Inc. Class A | ||||||||
Expiration: November 2026, Exercise Price: $11.50 | 2,276 | 3,938 | ||||||
Kensington Capital Acquisition Corporation Class A | ||||||||
Expiration: July 2027, Exercise Price: $11.50 | 1,216 | 5,472 | ||||||
KLDiscovery, Inc. | ||||||||
Expiration: December 2025, Exercise Price: $11.50 | 41,725 | 12,518 | ||||||
Longview Acquisition Corporation Class A | ||||||||
Expiration: June 2025, Exercise Price: $11.50 | 1,322 | 1,282 | ||||||
Merida Merger Corporation I | ||||||||
Expiration: November 2026, Exercise Price: $11.50 (e) | 2,957 | 1,833 | ||||||
Pershing Square Tontine Holdings Ltd. Class A | ||||||||
Expiration: July 2025, Exercise Price: $23.00 | 549 | 3,936 | ||||||
PropTech Acquisition Corporation Class A | ||||||||
Expiration: October 2026, Exercise Price: $11.50 | 1,181 | 1,939 | ||||||
SCVX Corporation | ||||||||
Expiration: January 2025, Exercise Price: $11.50 (b) | 2,487 | 3,730 | ||||||
Social Capital Hedosophia Holdings Corporation III Class A | ||||||||
Expiration: December 2025, Exercise Price: $11.50 (b) | 2,350 | 9,071 | ||||||
Software Acquisition Group, Inc. Class A | ||||||||
Expiration: October 2026, Exercise Price: $11.50 | 418 | 401 | ||||||
Tuscan Holdings Corporation | ||||||||
Expiration: April 2026, Exercise Price: $11.50 | 13,713 | 6,959 | ||||||
Tuscan Holdings Corporation II | ||||||||
Expiration: July 2026, Exercise Price: $11.50 | 9,600 | 4,320 | ||||||
Whole Earth Brands, Inc. | ||||||||
Expiration: June 2025, Exercise Price: $11.50 | 5,734 | 5,562 | ||||||
TOTAL WARRANTS (Cost $136,685) | 142,698 | |||||||
Principal Amount | ||||||||
BANK LOANS - 15.89% (e)(g) | ||||||||
Cengage Learning Holdings II, Inc. | ||||||||
5.250% (3 Month U.S. LIBOR + 4.250%), 6/7/2023 | $ | 124,258 | 104,377 | |||||
Claire's Stores, Inc. | ||||||||
6.808% (1 Month U.S. LIBOR + 6.500%), 12/18/2026 | 416,905 | 337,693 | ||||||
Heritage Power LLC | ||||||||
7.000% (1 Month U.S. LIBOR + 6.000%), 8/2/2026 | 295,423 | 282,129 | ||||||
McGraw-Hill Global Education Holdings LLC | ||||||||
5.000% (3 Month U.S. LIBOR + 4.000%), 5/4/2022 | 91,984 | 77,113 | ||||||
Refinitiv U.S. Holdings, Inc. | ||||||||
3.406% (1 Month U.S. LIBOR + 3.250%), 10/1/2025 | 149,103 | 147,780 | ||||||
RentPath LLC | ||||||||
0.000% (3 Month U.S. LIBOR + 4.750%), 12/17/2021 (h) | 473,000 | 342,925 | ||||||
8.000% (1 Month U.S. LIBOR + 7.000%), 12/14/2025 | 22,094 | 20,658 | ||||||
TOTAL BANK LOANS (Cost $1,483,009) | 1,312,675 | |||||||
CORPORATE BONDS - 52.87% (e) | ||||||||
APX Group, Inc. | ||||||||
7.875%, 12/1/2022 | 383,000 | 383,718 |
Avaya, Inc. | ||||||||
6.125%, 9/15/2028 (f) | 50,000 | 51,250 | ||||||
Bombardier, Inc. | ||||||||
6.000%, 10/15/2022 (b)(f) | 131,000 | 121,666 | ||||||
7.500%, 3/15/2025 (b)(f) | 255,000 | 191,888 | ||||||
Carvana Company | ||||||||
5.875%, 10/1/2028 (f) | 100,000 | 99,000 | ||||||
Cincinnati Bell, Inc. | ||||||||
8.000%, 10/15/2025 (f) | 227,000 | 240,336 | ||||||
EIG Investors Corporation | ||||||||
10.875%, 2/1/2024 | 58,000 | 60,531 | ||||||
Genesis Energy LP / Genesis Energy Finance Corporation | ||||||||
6.000%, 5/15/2023 | 315,000 | 286,847 | ||||||
Gogo Intermediate Holdings LLC / Gogo Finance Company, Inc. | ||||||||
9.875%, 5/1/2024 (f) | 360,000 | 385,514 | ||||||
Ingram Micro, Inc. | ||||||||
5.450%, 12/15/2024 | 227,000 | 242,658 | ||||||
Intel Corporation | ||||||||
2.450%, 11/15/2029 | 72,000 | 78,436 | ||||||
Lithia Motors, Inc. | ||||||||
4.375%, 1/15/2031 (f) | 6,000 | 6,000 | ||||||
Montage Resources Corporation | ||||||||
8.875%, 7/15/2023 | 418,000 | 425,838 | ||||||
Nielsen Finance LLC / Nielsen Finance Company | ||||||||
5.000%, 4/15/2022 (d)(f) | 323,000 | 324,131 | ||||||
Polaris Intermediate Corporation | ||||||||
8.500% Cash or 9.250% Paid-in-Kind, 12/1/2022 (f) | 304,000 | 309,700 | ||||||
QualityTech LP / QTS Finance Corporation | ||||||||
3.875%, 10/1/2028 (f) | 2,000 | 2,011 | ||||||
Quicken Loans LLC / Quicken Loans Co-Issuer, Inc. | ||||||||
3.875%, 3/1/2031 (f) | 150,000 | 148,500 | ||||||
Refinitiv U.S. Holdings, Inc. | ||||||||
6.250%, 5/15/2026 (f) | 68,000 | 72,718 | ||||||
8.250%, 11/15/2026 (f) | 281,000 | 308,397 | ||||||
Stars Group Holdings BV / Stars Group US Co-Borrower LLC | ||||||||
7.000%, 7/15/2026 (b)(f) | 294,000 | 312,926 | ||||||
WPX Energy, Inc. | ||||||||
5.875%, 6/15/2028 | 230,000 | 240,642 | ||||||
Yum! Brands, Inc. | ||||||||
3.625%, 3/15/2031 | 75,000 | 75,141 | ||||||
TOTAL CORPORATE BONDS (Cost $4,459,325) | 4,367,848 | |||||||
Shares | ||||||||
ESCROW NOTES - 6.43% (a)(e) | ||||||||
Altaba, Inc. | 23,452 | 530,895 | ||||||
TOTAL ESCROW NOTES (Cost $497,219) | 530,895 | |||||||
SHORT-TERM INVESTMENTS - 1.51% | ||||||||
MONEY MARKET FUNDS - 1.51% (c) | ||||||||
Goldman Sachs Government Fund, Institutional Share Class, 0.00% | 125,104 | 125,104 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $125,104) | 125,104 | |||||||
TOTAL LONG INVESTMENTS (Cost $7,972,503) - 94.78% | 7,829,955 |
Principal Amount | ||||||||
SHORT INVESTMENTS - (0.90)% | ||||||||
U.S. GOVERNMENT NOTES/BONDS - (0.90)% (e) | ||||||||
United States Treasury Notes/Bonds | ||||||||
1.75%, 11/15/2029 | $ | (68,000 | ) | (74,872 | ) | |||
TOTAL U.S. GOVERNMENT NOTES/BONDS (Proceeds $69,222) | (74,872 | ) | ||||||
TOTAL SHORT INVESTMENTS (Proceeds $69,222) - (0.90)% | (74,872 | ) | ||||||
TOTAL NET INVESTMENTS (Cost $7,903,281) - 93.88% | 7,755,083 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 6.12% | 505,980 | |||||||
TOTAL NET ASSETS - 100.00% | $ | 8,261,063 |
LIBOR | - London Interbank Offered Rate | |||||
(a) | Non-income producing security. | |||||
(b) | Foreign Security. | |||||
(c) | The rate quoted is the annualized seven-day yield as of September 30, 2020. | |||||
(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 (i) 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, 2020, these securities represent 31.16% of total net assets. | |||||
(g) | The coupon rate shown on variable rate securities represents the rate as of September 30, 2020. | |||||
(h) | Default or other conditions exist and the security is not presently accruing income. | |||||
(i) | Investment Valuation |
The following is a summary of the Fund’s pricing procedures. It is intended to be a general discussion and may not necessarily reflect all pricing procedures followed by the Fund. | ||
Equity securities, including common and preferred stocks, closed-end 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 Fund 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 at bid prices calculated using an “interpolation” methodology that incorporates foreign-exchange prices for standard forward-settlement periods. 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 Fund. The credit quality of the swap’s 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. | ||
The Fund typically fair values 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 Fund 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 Fund to calculate its 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, 2020. 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 | $ | 931,955 | $ | 221,542 | $ | - | $ | 1,153,497 | |||||||
Closed-End Funds | 11,222 | - | - | 11,222 | |||||||||||
Preferred Stocks | 186,016 | - | - | 186,016 | |||||||||||
Warrants | 140,195 | 2,503 | - | 142,698 | |||||||||||
Bank Loans | - | 1,312,675 | - | 1,312,675 | |||||||||||
Corporate Bonds | - | 4,367,848 | - | 4,367,848 | |||||||||||
Escrow Notes | - | 530,895 | - | 530,895 | |||||||||||
Short-Term Investments | 125,104 | - | - | 125,104 | |||||||||||
Swap Contracts* | - | 84,207 | - | 84,207 | |||||||||||
Total | $ | 1,394,492 | $ | 6,519,670 | $ | - | $ | 7,914,162 | |||||||
Liabilities | |||||||||||||||
Short U.S. Government Notes/Bonds | $ | - | $ | (74,872 | ) | $ | - | $ | (74,872) | ||||||
Total | $ | - | $ | (74,872 | ) | $ | - | $ | (74,872) | ||||||
* 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. At September 30, 2020, the value of these securities was $-. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs as described in footnote (i). The appropriateness of fair values for these securities is monitored by the Valuation Group on an ongoing basis. | |||||
During the period ended September 30, 2020, the value of securities transferred out of Level 2 and into Level 3 was $-. | |||||
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, 2020 (Unaudited) | |||||||||||||||
Pay/Receive | |||||||||||||||
on | Financing | Payment | Unrealized | ||||||||||||
Counterparty | Security | Termination Date | Financing Rate | Rate | Frequency | Shares | Notional Amount | Appreciation (Depreciation)** | |||||||
LONG TOTAL RETURN SWAP CONTRACTS | |||||||||||||||
GS | Artius Acquisition, Inc. | 9/28/2021 | Pay | 1.100% +1 Month U.S. LIBOR | Monthly | 18,901 | $ | 198,082 | $ | (1,707) | |||||
JPM | BlackRock Floating Rate Income Strategies Fund, Inc. | 7/20/2021 | Pay | 0.300% + 1 Month U.S. LIBOR | Monthly | 2,826 | 31,679 | 813 | |||||||
GS | BlackRock MuniYield Quality Fund III, Inc. | 3/24/2021 | Pay | 1.100% +1 Month U.S. LIBOR | Monthly | 6,882 | 76,750 | 15,716 | |||||||
JPM | BlackRock MuniYield Quality Fund III, Inc. | 7/20/2021 | Pay | 0.300% + 1 Month U.S. LIBOR | Monthly | 672 | 8,978 | 52 | |||||||
GS | BowX Acquisition Corporation | 10/1/2021 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 15,600 | 160,056 | - | |||||||
GS | Broadmark Realty Capital, Inc. | 1/16/2021 | Pay | 0.600% +1 Month U.S. LIBOR | Monthly | 18,866 | 230,890 | (44,918) | |||||||
GS | CC Neuberger Principal Holdings I Class A | 9/1/2021 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 14,922 | 151,608 | 3,553 | |||||||
GS | CF Finance Acquisition Corporation Class A | 11/19/2020 | Pay | 1.100% +1 Month U.S. LIBOR | Monthly | 15,440 | 157,179 | 3,341 | |||||||
GS | Churchill Capital Corporation III Class A | 6/17/2021 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 9,204 | 94,433 | (110) | |||||||
GS | CIIG Merger Corporation Class A | 6/17/2021 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 9,110 | 89,278 | 1,988 | |||||||
GS | E.Merge Technology Acquisition Corporation | 10/1/2021 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 15,700 | 158,256 | - | |||||||
JPM | Eaton Vance Floating-Rate Income Trust | 7/20/2021 | Pay | 0.800% + 1 Month U.S. LIBOR | Monthly | 2,639 | 30,560 | 779 | |||||||
JPM | Eaton Vance Senior Floating-Rate Income Trust | 7/20/2021 | Pay | 0.847% + 1 Month U.S. LIBOR | Monthly | 1,819 | 20,646 | 500 | |||||||
GS | FinTech Acquisition Corporation III Class A | 11/19/2020 | Pay | 1.100% +1 Month U.S. LIBOR | Monthly | 19,336 | 195,131 | 4,163 | |||||||
JPM | First Trust Senior Floating Rate Income Fund II | 7/20/2021 | Pay | 0.800% + 1 Month U.S. LIBOR | Monthly | 3,374 | 36,304 | 693 | |||||||
GS | Flying Eagle Acquisition Corporation Class A | 6/17/2021 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 5,887 | 62,167 | 9,407 | |||||||
GS | Foley Trasimen Acquisition Corporation Class A | 6/10/2021 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 14,643 | 154,044 | 11,245 | |||||||
GS | Fusion Acquisition Corporation Class A | 9/10/2021 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 7,562 | 74,183 | 138 | |||||||
GS | GMAC Capital Trust I | 2/19/2021 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 8,875 | 233,235 | (11,668) | |||||||
GS | Gores Holdings IV, Inc. Class A | 6/22/2021 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 11,760 | 117,600 | 3,624 | |||||||
GS | Haymaker Acquisition Corporation II Class A | 3/24/2021 | Pay | 1.100% +1 Month U.S. LIBOR | Monthly | 9,882 | 93,780 | 5,007 | |||||||
GS | Hennessy Capital Acquisition Corporation IV Class A | 3/24/2021 | Pay | 1.100% +1 Month U.S. LIBOR | Monthly | 5,138 | 51,277 | 5,941 | |||||||
GS | Highcape Capital Acquisition Corporation | 9/28/2021 | Pay | 1.100% +1 Month U.S. LIBOR | Monthly | 28,193 | 285,595 | (291) | |||||||
GS | Hudson Executive Investment Corporation Class A | 6/10/2021 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 18,937 | 195,051 | 1,953 | |||||||
GS | Invesco Municipal Opportunity Trust | 2/19/2021 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 835 | 9,631 | 571 | |||||||
JPM | Invesco Municipal Opportunity Trust | 7/20/2021 | Pay | 0.300% + 1 Month U.S. LIBOR | Monthly | 1,107 | 13,439 | 86 | |||||||
JPM | Invesco Senior Income Trust | 7/20/2021 | Pay | 1.000% + 1 Month U.S. LIBOR | Monthly | 13,151 | 44,845 | 3,265 | |||||||
JPM | Invesco Value Municipal Income Trust | 7/20/2021 | Pay | 0.300% + 1 Month U.S. LIBOR | Monthly | 923 | 13,651 | (77) | |||||||
GS | Jaws Acquisition Corporation Class A | 7/31/2021 | Pay | 1.100% +1 Month U.S. LIBOR | Monthly | 13,950 | 144,941 | 228 | |||||||
GS | Juniper Industrial Holdings, Inc. Class A | 9/15/2021 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 4,552 | 46,248 | 1,357 | |||||||
GS | Merida Merger Corporation I | 9/24/2021 | Pay | 1.100% +1 Month U.S. LIBOR | Monthly | 5,915 | 58,144 | 316 | |||||||
JPM | Nuveen AMT-Free Municipal Credit Income Fund | 7/20/2021 | Pay | 0.300% + 1 Month U.S. LIBOR | Monthly | 1,582 | 24,727 | 42 | |||||||
GS | Nuveen AMT-Free Quality Municipal Income Fund | 3/24/2021 | Pay | 1.100% +1 Month U.S. LIBOR | Monthly | 17,513 | 228,742 | 22,313 | |||||||
JPM | Nuveen AMT-Free Quality Municipal Income Fund | 7/20/2021 | Pay | 0.300% + 1 Month U.S. LIBOR | Monthly | 1,229 | 17,562 | 58 | |||||||
JPM | Nuveen California Quality Municipal Income Fund | 7/20/2021 | Pay | 0.300% + 1 Month U.S. LIBOR | Monthly | 1,701 | 24,869 | (107) | |||||||
JPM | Nuveen Intermediate Duration Municipal Term Fund | 7/20/2021 | Pay | 0.300% + 1 Month U.S. LIBOR | Monthly | 12,489 | 166,416 | 404 | |||||||
JPM | Nuveen Municipal Credit Income Fund | 7/20/2021 | Pay | 0.300% + 1 Month U.S. LIBOR | Monthly | 4,117 | 62,126 | (1,659) | |||||||
GS | Nuveen New Jersey Quality Municipal Income Fund | 3/11/2021 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 712 | 9,578 | 54 | |||||||
GS | Nuveen New York AMT-Free Quality Municipal Income Fund | 3/24/2021 | Pay | 1.100% +1 Month U.S. LIBOR | Monthly | 6,880 | 78,367 | 10,082 | |||||||
JPM | Nuveen New York AMT-Free Quality Municipal Income Fund | 7/20/2021 | Pay | 0.300% + 1 Month U.S. LIBOR | Monthly | 654 | 8,574 | (165) | |||||||
GS | Oaktree Acquisition Corporation Class A | 9/15/2021 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 5,823 | 64,344 | 4,064 | |||||||
GS | Pershing Square Tontine Holdings Ltd. Class A | 9/15/2021 | Pay | 1.100% +1 Month U.S. LIBOR | Monthly | 4,941 | 110,678 | 1,394 | |||||||
GS | Pivotal Investment Corporation II Class A | 10/1/2021 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 20,713 | 238,821 | - | |||||||
GS | Qurate Retail, Inc. | 9/24/2021 | Pay | 1.100% +1 Month U.S. LIBOR | Monthly | 4,472 | 415,735 | 24,717 | |||||||
GS | SCVX Corporation | 9/24/2021 | Pay | 1.100% +1 Month U.S. LIBOR | Monthly | 4,974 | 50,364 | (632) | |||||||
JPM | SLM Corporation, 4.311%, Series B | 7/20/2021 | Pay | 1.100% + 1 Month U.S. LIBOR | Monthly | 2,007 | 65,228 | 1,268 | |||||||
GS | Social Capital Hedosophia Holdings Corporation III Class A | 9/10/2021 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 7,050 | 78,960 | 8,868 | |||||||
GS | Trebia Acquisition Corporation Class A | 6/29/2021 | Pay | 1.000% +1 Month U.S. LIBOR | Monthly | 14,822 | 155,186 | 4,841 | |||||||
GS | Tuscan Holdings Corporation II | 1/16/2021 | Pay | 1.100% +1 Month U.S. LIBOR | Monthly | 19,200 | 190,974 | 580 | |||||||
GS | Whole Earth Brands, Inc. | 6/26/2021 | Pay | 1.100% +1 Month U.S. LIBOR | Monthly | 11,468 | 103,488 | (7,880) | |||||||
$ | 84,207 |
GS | - Goldman, Sachs & Co. | |||||||
JPM | - JPMorgan Chase & Co., Inc. | |||||||
LIBOR | - London Interbank Offered Rate | |||||||
* | There were no upfront premiums paid or received for the open swap contracts held. | |||||||
** | Based on the net swap value held at each counterparty, unrealized appreciation (depreciation) is a receivable (payable). |