UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-23255
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Vivaldi Opportunities Fund
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(Exact name of registrant as specified in charter)
c/o UMB Fund Services, Inc.
235 West Galena Street
Milwaukee, WI 53212
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(Address of principal executive offices) (Zip code)
Terrance P. Gallagher
235 West Galena Street
Milwaukee, WI 53212
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(Name and address of agent for service)
registrant's telephone number, including area code: (414) 299-2270
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Date of fiscal year end: March 31
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Date of reporting period: September 30, 2018
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Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-1090. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The Report to Shareholders is attached herewith.
VIVALDI OPPORTUNITIES FUND
(a Maryland Corporation)
Semi-Annual Report
For the Six Months Ended September 30, 2018 (Unaudited)
VIVALDI OPPORTUNITIES FUND
(a Maryland Corporation)
For the Six Months Ended September 30, 2018 (Unaudited)
Table of Contents
Vivaldi Opportunities Fund
As of September 30, 2018 (Unaudited)
| Principal Amount | Value | |||||||
| Asset-Backed Securities – 11.3% | ||||||||
| $ | 500,000 | ALM VII R-2 Ltd. Series 2013-7R2A, Class DR, 9.789% (LIBOR 3 Month+745 basis points), 10/15/20271,2,3 | $ | 500,000 | ||||
| 500,000 | ARES XLIV CLO Ltd. Series 2017-44A, Class E, 10.389% (LIBOR 3 Month+805 basis points), 10/15/20291,2,3 | 491,384 | ||||||
| 500,000 | Ashford Hospitality Trust Series 2018-KEYS, Class F, 8.158% (LIBOR 1 Month+600 basis points), 5/15/20351,2,3 | 500,627 | ||||||
| 750,000 | Fannie Mae Connecticut Avenue Securities Series 2018-C05, Class 1B1, 6.466% (LIBOR 1 Month+425 basis points), 1/25/20311,2 | 781,292 | ||||||
| 500,000 | First Investors Auto Owner Trust Series 2018-1A, Class F, 7.160%, 8/15/20251,3 | 507,268 | ||||||
| 1,000,000 | HPS Loan Management Ltd. Series 11A-17, Class F, 10.191% (LIBOR 3 Month+785 basis points), 5/6/20301,2,3 | 973,297 | ||||||
| 500,000 | Invitation Homes Trust Series 2017-SFR2, Class F, 5.158% (LIBOR 1 Month+300 basis points), 12/17/20362,3 | 504,743 | ||||||
| 250,000 | Magnetite XVI Ltd. Series 2015-16A, Class F, 8.833% (LIBOR 3 Month+650 basis points), 1/18/20281,2,3 | 242,516 | ||||||
| 1,000,000 | MMCF CLO LLC Series 2017-1A, Class D, 8.719% (LIBOR 3 Month+638 basis points), 1/15/20281,2,3 | 987,795 | ||||||
| 1,000,000 | Monroe Capital MML CLO VI Ltd. Series 2018-1A, Class E, 9.025% (LIBOR 3 Month+690 basis points), 4/15/20301,2,3 | 979,254 | ||||||
| 335,000 | Mosaic Solar Loan Trust Series 2018-1A, Class C, 0.000%, 6/22/20431,3 | 282,949 | ||||||
| 700,000 | OZLM VI Ltd. Series 2014-6A, Class ES, 10.976% (LIBOR 3 Month+864 basis points), 4/17/20311,2,3 | 695,484 | ||||||
| 777,756 | RBSSP Resecuritization Trust Series 2009-10, Class 2A2, 2.000%, 1/26/20371,3,4 | 522,264 | ||||||
| 250,000 | Regatta XV Funding Ltd. Series 2018-4A, Class SUB, 5.239%, 10/25/20311,3,4 | 155,915 | ||||||
| 235,688 | Velocity Commercial Capital Loan Trust Series 2018-1, Class M6, 7.260%, 4/25/20481,3 | 235,588 | ||||||
| 1 |
Vivaldi Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2018 (Unaudited)
| Principal Amount | Value | |||||||
| Asset-Backed Securities (Continued) | ||||||||
| $ | 1,000,000 | York CLO-2 Ltd. Series 2015-1A, Class F, 9.597% (LIBOR 3 Month+725 basis points), 1/22/20311,2,3 | $ | 943,086 | ||||
| Total Asset-Backed Securities (Cost $9,327,689) | 9,303,462 | |||||||
| Number of Shares | ||||||||
| Closed-End Funds – 33.3% | ||||||||
| 19,510 | Aberdeen Emerging Markets Equity Income Fund, Inc. | 133,839 | ||||||
| 94,786 | Aberdeen Total Dynamic Dividend Fund5 | 832,221 | ||||||
| 11,081 | Advent Claymore Convertible Securities and Income Fund5 | 173,639 | ||||||
| 43,029 | AllianzGI Convertible & Income 2024 Target5 | 395,867 | ||||||
| 32,685 | AllianzGI NFJ Dividend Interest & Premium Strategy Fund5 | 428,173 | ||||||
| 1,602 | BlackRock Municipal 2030 Target Term Trust | 33,177 | ||||||
| 36,473 | BrandywineGLOBAL Global Income Opportunities Fund, Inc.5 | 396,826 | ||||||
| 63,643 | Clough Global Opportunities Fund5 | 689,890 | ||||||
| 39,272 | Cornerstone Strategic Value Fund, Inc.5 | 549,808 | ||||||
| 14,914 | Cornerstone Total Return Fund, Inc. | 207,006 | ||||||
| 96,462 | Delaware Enhanced Global Dividend & Income Fund5 | 1,080,374 | ||||||
| 28,865 | Eagle Growth & Income Opportunities Fund5 | 439,585 | ||||||
| 1,271 | Eaton Vance Limited Duration Income Fund | 16,116 | ||||||
| 3 | Franklin Ltd. Duration Income Trust | 31 | ||||||
| 3 | Gabelli Convertible and Income Securities Fund, Inc. | 17 | ||||||
| 52,776 | Garrison Capital, Inc.5 | 436,985 | ||||||
| 16,025 | High Income Securities Fund | 151,917 | ||||||
| 51,898 | Highland Floating Rate Opportunities Fund5 | 800,267 | ||||||
| 54,687 | Invesco High Income Trust II5 | 749,759 | ||||||
| 86,732 | Invesco Senior Income Trust5 | 372,948 | ||||||
| 27,173 | Kayne Anderson MLP/Midstream Investment Co.5 | 485,038 | ||||||
| 26,697 | Lazard World Dividend & Income Fund, Inc.5 | 278,717 | ||||||
| 43,979 | Madison Covered Call & Equity Strategy Fund5 | 338,199 | ||||||
| 81,583 | Managed Duration Investment Grade Municipal Fund5 | 248,828 | ||||||
| 45,889 | Morgan Stanley Emerging Markets Debt Fund, Inc.5 | 397,858 | ||||||
| 31,660 | Morgan Stanley Emerging Markets Fund, Inc.5 | 493,896 | ||||||
| 22,589 | NexPoint Strategic Opportunities Fund5 | 505,994 | ||||||
| 21,835 | Nuveen Credit Strategies Income Fund5 | 174,025 | ||||||
| 12,620 | Nuveen Emerging Markets Debt 2022 Target Term Fund | 103,232 | ||||||
| 9,619 | Nuveen Intermediate Duration Quality Municipal Term Fund5 | 118,410 | ||||||
| 14,320 | Nuveen Mortgage Opportunity Term Fund5 | 343,680 | ||||||
| 30,396 | Nuveen Mortgage Opportunity Term Fund 25 | 699,108 | ||||||
| 176,437 | Palmer Square Opportunistic Income Fund | 3,410,535 | ||||||
| 75,145 | PGIM Global Short Duration High Yield Fund, Inc.5 | 1,042,261 | ||||||
| 5,174 | PGIM Short Duration High Yield Fund, Inc.5 | 73,160 | ||||||
| 461,766 | PIMCO Flexible Credit Income Fund | 4,816,214 | ||||||
| 2 |
Vivaldi Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2018 (Unaudited)
| Number of Shares | Value | |||||||
| Closed-End Funds (Continued) | ||||||||
| 144,792 | RiverNorth Marketplace Lending Corporation7 | $ | 3,286,784 | |||||
| 7,243 | Special Opportunities Fund, Inc.5 | 108,790 | ||||||
| 25,053 | Sprott Focus Trust, Inc. | 184,891 | ||||||
| 65,113 | Templeton Emerging Markets Income Fund5 | 651,130 | ||||||
| 77,552 | Templeton Global Income Fund5 | 474,618 | ||||||
| 3,252 | The China Fund, Inc. | 63,739 | ||||||
| 8,198 | The India Fund, Inc.5 | 181,422 | ||||||
| 36,405 | Tortoise MLP Fund, Inc.5 | 585,392 | ||||||
| 21,616 | Virtus Total Return Fund, Inc.5 | 227,400 | ||||||
| 41,767 | Voya Prime Rate Trust5 | 208,000 | ||||||
| 12,205 | Western Asset Global High Income Fund, Inc.5 | 111,188 | ||||||
| Total Closed-End Funds (Cost $28,324,135) | 27,500,954 | |||||||
| Principal Amount | ||||||||
| Collateralized Mortgage Obligations – 15.8% | ||||||||
| Alternative Loan Trust | ||||||||
| $ | 4,134,067 | Series 2005-59, Class 2X, 1.295%, 11/20/20351,4 | 205,616 | |||||
| 8,451,368 | Series 2006-HY10, Class 1X, 0.476%, 5/25/20361,4 | 119,595 | ||||||
| 551,129 | American Home Mortgage Assets Trust Series 2006-6, Class XP, 1.494%, 12/25/20461,4 | 32,113 | ||||||
| American Home Mortgage Investment Trust | ||||||||
| 251,769 | Series 2006-1, Class 12A1, 2.616% (LIBOR 1 Month+40 basis points), 3/25/20461,2 | 244,921 | ||||||
| 1,323,384 | Series 2006-2, Class 1A2, 2.536% (LIBOR 1 Month+32 basis points), 6/25/20461,2 | 562,178 | ||||||
| 937,498 | Banc of America Funding Trust Series 2006-H, Class 4A1, 4.078%, 9/20/20461,4 | 851,198 | ||||||
| 500,000 | BXMT Ltd. Series 2017-FL1, Class D, 4.858% (LIBOR 1 Month+270 basis points), 6/15/20351,2,3 | 504,369 | ||||||
| 7,321,907 | CHL Mortgage Pass-Through Trust Series 2004-29, Class 1X, 0.935%, 2/25/20351,4 | 107,859 | ||||||
| 250,000 | Citigroup Commercial Mortgage Trust Series 2018-TBR, Class F, 5.808% (LIBOR 1 Month+365 basis points), 12/15/20361,2,3 | 251,719 | ||||||
| 500,000 | COMM Mortgage Trust Series 2013-CR10, Class D, 4.972%, 8/10/20461,3,4 | 452,049 | ||||||
| 100,000 | Csail Commercial Mortgage Trust Series 2015-C2, Class C, 4.345%, 6/15/20571,4 | 96,807 | ||||||
| 2,000,000 | Deutsche Alt-A Securities Mortgage Loan Trust Series Series 2007-BAR1, Class A4, 2.456% (LIBOR 1 Month+24 basis points), 3/25/20371,2 | 281,948 | ||||||
| Fannie Mae Connecticut Avenue Securities | ||||||||
| 3 |
Vivaldi Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2018 (Unaudited)
| Principal Amount | Value | |||||||
| Collateralized Mortgage Obligations (Continued) | ||||||||
| $ | 750,000 | Series 2017-C02, Class 2B1, 7.716% (LIBOR 1 Month+550 basis points), 9/25/20291,2 | $ | 878,148 | ||||
| 650,000 | Series 2018-C02, Class 2M2, 4.416% (LIBOR 1 Month+220 basis points), 8/25/20301,2 | 658,384 | ||||||
| 500,000 | Series 2018-C03, Class 1M2, 4.366% (LIBOR 1 Month+215 basis points), 10/25/20301,2 | 506,439 | ||||||
| 512,000 | Home Partners of America Trust Series 2018-1, Class F, 4.508% (LIBOR 1 Month+235 basis points), 7/17/20372,3 | 515,584 | ||||||
| 4,393,742 | IndyMac INDX Mortgage Loan Trust Series 2004-AR12, Class AX2, 0.931%, 12/25/20341,4 | 163,566 | ||||||
| 250,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust Series 2018-ASH8, Class F, 6.158% (LIBOR 1 Month+400 basis points), 2/15/20351,2,3 | 251,563 | ||||||
| 437,158 | Luminent Mortgage Trust Series 2006-6, Class A2B, 2.456% (LIBOR 1 Month+24 basis points), 10/25/20461,2 | 356,144 | ||||||
| 500,000 | Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23, Class D, 4.270%, 7/15/20501,3,4 | 449,525 | ||||||
| Morgan Stanley Mortgage Loan Trust | ||||||||
| 575,274 | Series 2007-7AX, Class 2A1, 2.336% (LIBOR 1 Month+12 basis points), 4/25/20371,2 | 282,892 | ||||||
| 28,810 | Series 2007-10XS, Class A2, 6.250%, 7/25/20471,4 | 19,994 | ||||||
| RALI Series Trust | ||||||||
| 1,132,091 | Series 2008-QR1, Class 1A4, 6.000%, 8/25/20361 | 971,400 | ||||||
| 595,284 | Series 2006-QS17, Class A7, 6.000%, 12/25/20361 | 545,083 | ||||||
| 493,842 | RALI Trust Series 2006-QA4, Class A, 2.396% (LIBOR 1 Month+18 basis points), 5/25/20361,2 | 445,602 | ||||||
| Residential Asset Securitization Trust | ||||||||
| 1,575,532 | Series 2006-A8, Class 2A7, 6.500%, 8/25/20361 | 867,414 | ||||||
| 494,255 | Series 2007-A6, Class 1A3, 6.000%, 6/25/20371 | 436,044 | ||||||
| STACR Trust | ||||||||
| 900,000 | Series 2018-DNA2, Class M2, 4.366% (LIBOR 1 Month+215 basis points), 12/25/20301,2,3 | 908,140 | ||||||
| 500,000 | Series 2018-DNA3, Class M2, 4.234% (LIBOR 1 Month+210 basis points), 9/25/20481,2,3 | 501,562 | ||||||
| 700,000 | Wells Fargo Commercial Mortgage Trust Series 2015-C27, Class D, 3.768%, 2/15/20483 | 575,529 | ||||||
| Total Collateralized Mortgage Obligations (Cost $13,105,394) | 13,043,385 | |||||||
| 4 |
Vivaldi Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2018 (Unaudited)
| Number of Shares | Value | |||||||
| Common Stocks – 47.1% | ||||||||
| Communications – 4.0% | ||||||||
| 151,060 | eDreams ODIGEO S.A.* | $ | 655,944 | |||||
| 61,780 | Houghton Mifflin Harcourt Co.*,5 | 432,460 | ||||||
| 10,672 | IMAX Corp.*,5,6 | 275,337 | ||||||
| 39,614 | Twenty-First Century Fox, Inc. - Class A5 | 1,835,317 | ||||||
| 2,985 | Twenty-First Century Fox, Inc. - Class B5 | 136,773 | ||||||
| 3,335,831 | ||||||||
| Consumer Discretionary – 6.1% | ||||||||
| 28,544 | BlueLinx Holdings, Inc.*,5 | 898,851 | ||||||
| 17,548 | Century Communities, Inc.*,5 | 460,635 | ||||||
| 29,212 | Pinnacle Entertainment, Inc.*,5 | 984,152 | ||||||
| 68,634 | Potbelly Corp.*,5 | 844,198 | ||||||
| 193,171 | Restaurant Group PLC | 750,325 | ||||||
| 7,593 | SodaStream International Ltd.*,6 | 1,086,407 | ||||||
| 5,024,568 | ||||||||
| Consumer Staples – 4.8% | ||||||||
| 43,091 | Darling Ingredients, Inc.*,5 | 832,518 | ||||||
| 41,505 | Pinnacle Foods, Inc.5 | 2,689,939 | ||||||
| 26,421 | Primo Water Corp.*,5 | 476,899 | ||||||
| 3,999,356 | ||||||||
| Energy – 7.8% | ||||||||
| 19,577 | Andeavor5 | 3,005,070 | ||||||
| 664 | Dominion Energy Midstream Partners LP | 11,886 | ||||||
| 20,531 | Energen Corp.*,5 | 1,769,156 | ||||||
| 20,333 | Green Plains, Inc.5 | 349,728 | ||||||
| 5,631 | Ocean Rig UDW, Inc. - Class A*,6 | 194,945 | ||||||
| 31,671 | Spectra Energy Partners LP5 | 1,130,971 | ||||||
| 6,461,756 | ||||||||
| Financials – 8.0% | ||||||||
| 54,106 | Barings BDC, Inc. | 541,601 | ||||||
| 2,674 | Big Rock Partners Acquisition Corp.* | 26,740 | ||||||
| 1,816 | Black Ridge Acquisition Corp.*,5 | 17,706 | ||||||
| 12,275 | BlackRock Resources & Commodities Strategy Trust | 111,334 | ||||||
| 2,952 | CM Seven Star Acquisition Corp.*,5,6 | 29,697 | ||||||
| 13,995 | CoBiz Financial, Inc.5 | 309,849 | ||||||
| 61,001 | Exantas Capital Corp.5 | 669,791 | ||||||
| 2,268 | Far Point Acquisition Corp. - Class A* | 21,795 | ||||||
| 2,385 | Fifth Third Bancorp | 66,589 | ||||||
| 53,537 | Forest City Realty Trust, Inc. - REIT5 | 1,343,243 | ||||||
| 15,202 | Gordon Pointe Acquisition Corp.* | 149,740 | ||||||
| 37,368 | Gramercy Property Trust - REIT5 | 1,025,378 | ||||||
| 98,182 | Great Elm Capital Group, Inc.* | 319,092 | ||||||
| 16,432 | GSV Capital Corp* | 113,545 | ||||||
| 5 |
Vivaldi Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2018 (Unaudited)
| Number of Shares | Value | |||||||
| Common Stocks (Continued) | ||||||||
| Financials (Continued) | ||||||||
| 5,796 | Haymaker Acquisition Corp.* | $ | 56,569 | |||||
| 35,877 | LaSalle Hotel Properties - REIT | 1,240,985 | ||||||
| 2,223 | Legacy Acquisition Corp.* | 21,630 | ||||||
| 6,444 | Leisure Acquisition Corp.* | 62,442 | ||||||
| 15,771 | MTech Acquisition Corp.* | 160,864 | ||||||
| 8,811 | Mudrick Capital Acquisition Corp. - Class A* | 85,291 | ||||||
| 11,416 | One Madison Corp.*,6 | 110,964 | ||||||
| 5,323 | Opes Acquisition Corp.* | 52,059 | ||||||
| 1,541 | Select Income REIT | 33,810 | ||||||
| 3,408 | Twelve Seas Investment Co.*,6 | 32,444 | ||||||
| 4,994 | Union Acquisition Corp.*,6 | 48,542 | ||||||
| 6,651,700 | ||||||||
| Health Care – 4.2% | ||||||||
| 13,009 | Aetna, Inc.5 | 2,638,876 | ||||||
| 3,012 | Express Scripts Holding Co.* | 286,170 | ||||||
| 21,215 | K2M Group Holdings, Inc.* | 580,654 | ||||||
| 3,505,700 | ||||||||
| Industrials – 3.8% | ||||||||
| 20,916 | Rockwell Collins, Inc.5 | 2,938,071 | ||||||
| 99,659 | Vertex Energy, Inc.* | 170,417 | ||||||
| 3,108,488 | ||||||||
| Materials – 1.5% | ||||||||
| 12,236 | AdvanSix, Inc.* | 415,412 | ||||||
| 13,550 | Berry Global Group, Inc.*,5 | 655,684 | ||||||
| 1,976 | KMG Chemicals, Inc. | 149,307 | ||||||
| 1,220,403 | ||||||||
| Technology – 5.7% | ||||||||
| 60,678 | Adesto Technologies Corp.* | 361,034 | ||||||
| 30,561 | CA, Inc.5 | 1,349,268 | ||||||
| 16,586 | Convergys Corp.5 | 393,752 | ||||||
| 3,014 | Dell Technologies, Inc. - Class V*,5 | 292,720 | ||||||
| 2,399 | Dun & Bradstreet Corp.5 | 341,881 | ||||||
| 5,483 | Engility Holdings, Inc.* | 197,333 | ||||||
| 73,432 | EXFO, Inc.*,6 | 279,042 | ||||||
| 3,105 | MicroStrategy, Inc. - Class A*,5 | 436,625 | ||||||
| 3,700 | OneSpan, Inc.* | 70,485 | ||||||
| 10,632 | pdvWireless, Inc.* | 360,425 | ||||||
| 8,212 | Reis, Inc. | 188,876 | ||||||
| 87,623 | Telenav, Inc.*,5 | 442,496 | ||||||
| 4,713,937 | ||||||||
| 6 |
Vivaldi Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2018 (Unaudited)
| Number of Shares | Value | |||||||
| Common Stocks (Continued) | ||||||||
| Utilities – 1.2% | ||||||||
| 15,789 | Luxfer Holdings PLC5,6 | $ | 367,094 | |||||
| 8,308 | Vectren Corp.5 | 593,939 | ||||||
| 961,033 | ||||||||
| Total Common Stocks (Cost $37,835,278) | 38,982,772 | |||||||
| Principal Amount | ||||||||
| Corporate Bonds – 1.2% | ||||||||
| Financials – 1.2% | ||||||||
| $ | 500,000 | ConnectOne Bancorp, Inc. 5.200% (LIBOR 3 Month+284 basis points), 2/1/20281,4 | 494,345 | |||||
| 500,000 | Nationstar Mortgage Holdings, Inc. 8.125%, 7/15/20231,3 | 523,650 | ||||||
| 1,017,995 | ||||||||
| Total Corporate Bonds (Cost $1,000,000) | 1,017,995 | |||||||
| Exchange-Traded Debt Securities – 0.8% | ||||||||
| 2,803 | Capital Southwest Corp. 5.950%, 12/15/20221 | 71,477 | ||||||
| 4,659 | Monroe Capital Corp. 5.750%, 10/31/20231 | 116,102 | ||||||
| 14,000 | Oxford Square Capital Corp. 6.500%, 3/30/20241 | 351,330 | ||||||
| 400 | Stellus Capital Investment Corp. 5.750%, 9/15/20221 | 10,040 | ||||||
| 5,409 | THL Credit, Inc. 6.750%, 12/30/20221 | 136,307 | ||||||
| Total Exchange-Traded Debt Securities (Cost $689,776) | 685,256 | |||||||
| Number of Contracts | ||||||||
| Purchased Options Contracts – 0.0% | ||||||||
| Put Options – 0.0% | ||||||||
| Aetna, Inc. | ||||||||
| 65 | Exercise Price: $180.00, Notional Amount: $1,170,000, Expiration Date: October 20, 2018* | 4,712 | ||||||
| 10 | Exercise Price: $180.00, Notional Amount: $180,000, Expiration Date: January 19, 2019* | 770 | ||||||
| Omega Healthcare Investors, Inc. | ||||||||
| 75 | Exercise Price: $25.00, Notional Amount: $187,500, Expiration Date: December 22, 2018 | 563 | ||||||
| 7 |
Vivaldi Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2018 (Unaudited)
| Number of Contracts | Value | |||||||
| Purchased Options Contracts (Continued) | ||||||||
| Put Options (Continued) | ||||||||
| Rockwell Collins, Inc. | ||||||||
| 70 | Exercise Price: $130.00, Notional Amount: $910,000, Expiration Date: October 20, 2018 | $ | 5,600 | |||||
| Total Put Options (Cost $23,990) | 11,645 | |||||||
| Total Purchased Options Contracts (Cost $23,990) | 11,645 | |||||||
| Number of Shares | ||||||||
| Rights – 0.0% | ||||||||
| 2,674 | Big Rock Partners Acquisition Corp., Expiration Date: July 3, 2019* | 1,097 | ||||||
| 908 | Black Ridge Acquisition Corp., Expiration Date: July 3, 2019*,5 | 292 | ||||||
| 2,952 | CM Seven Star Acquisition Corp., Expiration Date: April 25, 2019*,5,6 | 1,476 | ||||||
| 3 | Franklin Ltd. Duration Income Trust, Expiration Date: October 18, 2018*,8 | — | ||||||
| 3 | Liberty All-Star Growth Fund, Inc., Expiration Date: October 23, 2018*,8 | — | ||||||
| 3,408 | Twelve Seas Investment Co.*,6 | 1,397 | ||||||
| 4,994 | Union Acquisition Corp.*,6 | 1,998 | ||||||
| Total Rights (Cost $—) | 6,260 | |||||||
| Short-Term Investments – 2.4% | ||||||||
| 2,011,325 | Morgan Stanley Institutional Liquidity Fund - Government Portfolio - Institutional Class, 1.86%5 | 2,011,325 | ||||||
| Total Short-Term Investments (Cost $2,011,325) | 2,011,325 | |||||||
| Principal Amount | ||||||||
| U.S. Treasury Notes – 1.3% | ||||||||
| United States Treasury Note | ||||||||
| $ | 443,500 | 0.750%, 10/31/20185 | 443,029 | |||||
| 663,200 | 1.125%, 1/31/20195 | 660,583 | ||||||
| Total U.S. Treasury Notes (Cost $1,104,770) | 1,103,612 | |||||||
| Units – 0.0% | ||||||||
| 1 | Leisure Acquisition Corp.* | 10 | ||||||
| 1 | One Madison Corp.*,6 | 10 | ||||||
| Total Units (Cost $22) | 20 | |||||||
| 8 |
Vivaldi Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2018 (Unaudited)
| Number of Shares | Value | |||||||
| Warrants – 0.1% | ||||||||
| $ | 1,337 | Big Rock Partners Acquisition Corp., Expiration Date: November 30, 2022* | $ | 416 | ||||
| 2,108 | Black Ridge Acquisition Corp., Expiration Date: October 25, 2022*,5 | 907 | ||||||
| 1,476 | CM Seven Star Acquisition Corp., Expiration Date: November 5, 2018*,5,6 | 694 | ||||||
| 756 | Far Point Acquisition Corp., Expiration Date: May 31, 2025* | 1,247 | ||||||
| 3 | Gabelli Convertible and Income Securities Fund, Inc., Expiration Date: October 16, 2018* | — | ||||||
| 15,202 | Gordon Pointe Acquisition Corp.* | 9,881 | ||||||
| 2,898 | Haymaker Acquisition Corp., Expiration Date: November 15, 2022* | 3,478 | ||||||
| 2,223 | Legacy Acquisition Corp., Expiration Date: November 29, 2022* | 911 | ||||||
| 3,222 | Leisure Acquisition Corp., Expiration Date: December 27, 2022* | 3,061 | ||||||
| 15,771 | MTech Acquisition Corp.* | 20,502 | ||||||
| 8,811 | Mudrick Capital Acquisition Corp.* | 5,639 | ||||||
| 5,708 | One Madison Corp., Expiration Date: February 21, 2023*,6 | 6,336 | ||||||
| 5,323 | Opes Acquisition Corp.* | 2,129 | ||||||
| 3,408 | Twelve Seas Investment Co.*,6 | 1,159 | ||||||
| 4,994 | Union Acquisition Corp.*,6 | 1,598 | ||||||
| Total Warrants (Cost $—) | 57,958 | |||||||
| Total Investments – 113.3% (Cost $93,422,379) | 93,724,644 | |||||||
| Liabilities in Excess of Other Assets – (13.3)% | (10,994,194 | ) | ||||||
| Total Net Assets – 100.0% | $ | 82,730,450 | ||||||
| Securities Sold Short – (22.7)% | ||||||||
| Common Stocks – (22.2)% | ||||||||
| Communications – 0.0% | ||||||||
| (2,400 | ) | Eros International PLC*,6 | (28,920 | ) | ||||
| Consumer Discretionary – (3.4)% | ||||||||
| (2,100 | ) | Carrols Restaurant Group, Inc.* | (30,660 | ) | ||||
| (1,428 | ) | Chuy's Holdings, Inc.* | (37,485 | ) | ||||
| (1,051 | ) | Domino's Pizza, Inc. | (309,835 | ) | ||||
| (1,277 | ) | Fiesta Restaurant Group, Inc.* | (34,160 | ) | ||||
| (4,800 | ) | Freshpet, Inc.* | (176,160 | ) | ||||
| (6,296 | ) | Habit Restaurants, Inc.* | (100,421 | ) | ||||
| (3,660 | ) | KB Home | (87,511 | ) | ||||
| (3,717 | ) | Matthews International Corp. | (186,408 | ) | ||||
| (1,530 | ) | Meritage Homes Corp.* | (61,047 | ) | ||||
| (1,465 | ) | Oxford Industries, Inc. | (132,143 | ) | ||||
| (12,265 | ) | Penn National Gaming, Inc.* | (403,762 | ) | ||||
| (520 | ) | Pool Corp. | (86,778 | ) | ||||
| (12,942 | ) | Rent-A-Center, Inc.* | (186,106 | ) | ||||
| (620 | ) | Royal Caribbean Cruises Ltd.6 | (80,563 | ) | ||||
| (5,538 | ) | Ruth's Hospitality Group, Inc. | (174,724 | ) | ||||
| 9 |
Vivaldi Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2018 (Unaudited)
| Number of Shares | Value | |||||||
| Securities Sold Short (Continued) | ||||||||
| Common Stocks (Continued) | ||||||||
| Consumer Discretionary (Continued) | ||||||||
| (932 | ) | Tesla, Inc.* | $ | (246,766 | ) | |||
| (2,900 | ) | Toll Brothers, Inc. | (95,787 | ) | ||||
| (3,552 | ) | Wingstop, Inc. | (242,495 | ) | ||||
| (4,000 | ) | Wolverine World Wide, Inc. | (156,200 | ) | ||||
| (2,829,011 | ) | |||||||
| Consumer Staples – (1.4)% | ||||||||
| (2,492 | ) | BJ's Wholesale Club Holdings, Inc.* | (66,736 | ) | ||||
| (28,953 | ) | Conagra Brands, Inc. | (983,533 | ) | ||||
| (1,300 | ) | Ollie's Bargain Outlet Holdings, Inc.* | (124,930 | ) | ||||
| (1,175,199 | ) | |||||||
| Energy – (6.8)% | ||||||||
| (13,227 | ) | Diamondback Energy, Inc. | (1,788,158 | ) | ||||
| (35,189 | ) | Enbridge, Inc.6 | (1,136,253 | ) | ||||
| (31,967 | ) | Marathon Petroleum Corp. | (2,556,401 | ) | ||||
| (9,082 | ) | Transocean Ltd.*,6 | (126,694 | ) | ||||
| (5,607,506 | ) | |||||||
| Financials – (3.1)% | ||||||||
| (3,591 | ) | Axos Financial, Inc.* | (123,494 | ) | ||||
| (4,119 | ) | Bank OZK | (156,357 | ) | ||||
| (2,379 | ) | BOK Financial Corp. | (231,429 | ) | ||||
| (1,500 | ) | Canadian Imperial Bank of Commerce6 | (140,655 | ) | ||||
| (6,100 | ) | Canadian Western Bank | (161,036 | ) | ||||
| (3,218 | ) | Cohen & Steers, Inc. | (130,683 | ) | ||||
| (6,500 | ) | CubeSmart | (185,445 | ) | ||||
| (1,603 | ) | Government Properties Income Trust - REIT | (18,098 | ) | ||||
| (717 | ) | Industrial Logistics Properties Trust - REIT | (16,498 | ) | ||||
| (6,390 | ) | Live Oak Bancshares, Inc. | (171,253 | ) | ||||
| (1,645 | ) | MB Financial, Inc. | (75,851 | ) | ||||
| (22,038 | ) | Pebblebrook Hotel Trust - REIT | (801,522 | ) | ||||
| (3,443 | ) | RE/MAX Holdings, Inc. | (152,697 | ) | ||||
| (6,704 | ) | Trupanion, Inc.* | (239,534 | ) | ||||
| (2,604,552 | ) | |||||||
| Health Care – (2.5)% | ||||||||
| (733 | ) | Cigna Corp. | (152,647 | ) | ||||
| (10,899 | ) | CVS Health Corp. | (857,970 | ) | ||||
| (2,931 | ) | iRhythm Technologies, Inc.* | (277,448 | ) | ||||
| (3,789 | ) | Mallinckrodt PLC*,6 | (111,056 | ) | ||||
| (1,300 | ) | Merit Medical Systems, Inc.* | (79,885 | ) | ||||
| (5,300 | ) | Tactile Systems Technology, Inc.* | (376,565 | ) | ||||
| 10 |
Vivaldi Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2018 (Unaudited)
| Number of Shares | Value | |||||||
| Securities Sold Short (Continued) | ||||||||
| Common Stocks (Continued) | ||||||||
| Health Care (Continued) | ||||||||
| (2,535 | ) | Teladoc Health, Inc.* | $ | (218,897 | ) | |||
| (2,074,468 | ) | |||||||
| Industrials – (2.2)% | ||||||||
| (4,607 | ) | AAON, Inc. | (174,145 | ) | ||||
| (2,100 | ) | Axon Enterprise, Inc.* | (143,703 | ) | ||||
| (5,897 | ) | Blue Bird Corp.* | (144,477 | ) | ||||
| (454 | ) | Mesa Laboratories, Inc. | (84,271 | ) | ||||
| (2,925 | ) | Mobile Mini, Inc. | (128,261 | ) | ||||
| (1,144 | ) | ShotSpotter, Inc.* | (70,116 | ) | ||||
| (7,749 | ) | United Technologies Corp. | (1,083,387 | ) | ||||
| (1,828,360 | ) | |||||||
| Technology – (2.7)% | ||||||||
| (3,111 | ) | Aquantia Corp.* | (39,790 | ) | ||||
| (395 | ) | Cabot Microelectronics Corp. | (40,752 | ) | ||||
| (3,560 | ) | Conduent, Inc.* | (80,171 | ) | ||||
| (4,522 | ) | CTS Corp. | (155,105 | ) | ||||
| (1,300 | ) | Impinj, Inc.* | (32,266 | ) | ||||
| (13,157 | ) | KeyW Holding Corp.* | (113,940 | ) | ||||
| (5,899 | ) | MINDBODY, Inc. - Class A* | (239,794 | ) | ||||
| (2,000 | ) | Motorola Solutions, Inc. | (260,280 | ) | ||||
| (4,538 | ) | Nanometrics, Inc.* | (170,266 | ) | ||||
| (5,919 | ) | NIC, Inc. | (87,601 | ) | ||||
| (363 | ) | NVIDIA Corp. | (102,010 | ) | ||||
| (3,464 | ) | Plantronics, Inc. | (208,879 | ) | ||||
| (7,453 | ) | Presidio, Inc. | (113,658 | ) | ||||
| (591 | ) | Science Applications International Corp. | (47,635 | ) | ||||
| (1,720 | ) | SYNNEX Corp. | (145,684 | ) | ||||
| (2,821 | ) | Tabula Rasa HealthCare, Inc.* | (229,037 | ) | ||||
| (904 | ) | VMware, Inc. - Class A* | (141,078 | ) | ||||
| (2,207,946 | ) | |||||||
| Utilities – 0.0% | ||||||||
| (164 | ) | Dominion Energy, Inc. | (11,526 | ) | ||||
| Total Common Stocks (Proceeds $17,471,408) | (18,367,488 | ) | ||||||
| Exchange-Traded Funds – (0.5)% | ||||||||
| (23,455 | ) | Alerian MLP ETF | (250,498 | ) | ||||
| (5,214 | ) | iShares U.S. Home Construction ETF | (184,263 | ) | ||||
| Total Exchange-Traded Funds (Proceeds $441,506) | (434,761 | ) | ||||||
| 11 |
Vivaldi Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2018 (Unaudited)
| Number of Contracts | Value | |||||||
| Securities Sold Short (Continued) | ||||||||
| WRITTEN Options Contracts – 0.0% | ||||||||
| Call Options – 0.0% | ||||||||
| Twenty-First Century Fox, Inc. - Class A | ||||||||
| (5 | ) | Exercise Price: $45.00, Notional Amount: $(22,500), Expiration Date: October 13, 2018 | $ | (1,100 | ) | |||
| (55 | ) | Exercise Price: $45.00, Notional Amount: $(247,500), Expiration Date: October 20, 2018* | (7,975 | ) | ||||
| (13 | ) | Exercise Price: $55.00, Notional Amount: $(71,500), Expiration Date: October 20, 2018* | (33 | ) | ||||
| United Technologies Corp. | ||||||||
| (1 | ) | Exercise Price: $134.00, Notional Amount: $(13,400), Expiration Date: October 13, 2018 | (635 | ) | ||||
| Total Call Options (Proceeds $5,029) | (9,743 | ) | ||||||
| Put Options – 0.0% | ||||||||
| Twenty-First Century Fox, Inc. - Class A | ||||||||
| (1 | ) | Exercise Price: $44.00, Notional Amount: $(4,400), Expiration Date: October 20, 2018* | (10 | ) | ||||
| (1 | ) | Exercise Price: $45.00, Notional Amount: $(4,500), Expiration Date: October 20, 2018* | (20 | ) | ||||
| (7 | ) | Exercise Price: $47.00, Notional Amount: $(32,900), Expiration Date: October 20, 2018* | (840 | ) | ||||
| Total Put Options (Proceeds $850) | (870 | ) | ||||||
| Total WRITTEN Options Contracts (Proceeds $5,879) | (10,613 | ) | ||||||
| Total Securities Sold Short (Proceeds $17,918,793) | $ | (18,812,862 | ) | |||||
ETF – Exchange-Traded Funds
LP – Limited Partnership
PLC – Public Limited Company
REIT – Real Estate Investment Trust
| * | Non-income producing security. |
| 1 | Callable. |
| 2 | Floating rate security, upon which the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
| 3 | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers. The total value of these securities is $13,455,860 which represents 16.3% of Net Assets. |
| 12 |
Vivaldi Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of September 30, 2018 (Unaudited)
| 4 | Variable rate security upon which the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
| 5 | All or a portion of this security is segregated as collateral for securities sold short and borrowing agreement. Aggregate value of segregated securities were $37,265,553. |
| 6 | Foreign security denominated in U.S. Dollars. |
| 7 | Affiliated security. |
| 8 | Level 3 security fair valued under procedures established by the Board of Directors, represents 0.0% of Net Assets. The total value of this security is $0. |
See accompanying Notes to Financial Statements.
| 13 |
| Vivaldi Opportunities Fund |
| SCHEDULE OF INVESTMENTS - Continued |
| As of September 30, 2018 (Unaudited) |
| FUTURES CONTRACTS |
| Number of | Expiration | Value at | Value at | Unrealized | |||||||||||||
| Contracts | Description | Date | Trade Date | September 30, 2018 | Appreciation | ||||||||||||
| (4) | 90 DAY EURO $ FUTURE | December 2018 | $ | (486,759 | ) | $ | (486,700 | ) | $ | 59 | |||||||
| (4) | 90 DAY EURO $ FUTURE | March 2019 | $ | (485,854 | ) | $ | (485,800 | ) | $ | 54 | |||||||
| TOTAL FUTURES CONTRACTS | $ | (972,613 | ) | $ | (972,500 | ) | $ | 113 | |||||||||
See accompanying Notes to Schedule of Investments.
| 14 |
| Vivaldi Opportunities Fund |
| SUMMARY OF INVESTMENTS |
| As of September 30, 2018 (Unaudited) |
| Security Type/Sector | Percent of Total Net Assets | |||
| Asset-Backed Securities | 11.3 | % | ||
| Closed-End Funds | 33.3 | % | ||
| Collateralized Mortgage Obligations | 15.8 | % | ||
| Common Stocks | ||||
| Financials | 8.0 | % | ||
| Energy | 7.8 | % | ||
| Consumer Discretionary | 6.1 | % | ||
| Technology | 5.7 | % | ||
| Consumer Staples | 4.8 | % | ||
| Health Care | 4.2 | % | ||
| Communications | 4.0 | % | ||
| Industrials | 3.8 | % | ||
| Materials | 1.5 | % | ||
| Utilities | 1.2 | % | ||
| Total Common Stocks | 47.1 | % | ||
| Corporate Bonds | ||||
| Financials | 1.2 | % | ||
| Total Corporate Bonds | 1.2 | % | ||
| Exchange-Traded Debt Securities | 0.8 | % | ||
| Purchased Options Contracts | ||||
| Put Options | 0.0 | % | ||
| Total Purchased Options Contracts | 0.0 | % | ||
| Rights | 0.0 | % | ||
| Short-Term Investments | 2.4 | % | ||
| U.S. Treasury Notes | 1.3 | % | ||
| Units | 0.0 | % | ||
| Warrants | 0.1 | % | ||
| Total Investments | 113.3 | % | ||
| Other Assets in Excess of Liabilities | (13.3 | )% | ||
| Total Net Assets | 100.0 | % | ||
This table does not include securities sold short or written options. Please refer to the schedule of investments for information on those security types.
See accompanying Notes to Financial Statements.
| 15 |
| Vivaldi Opportunities Fund |
| STATEMENT OF ASSETS AND LIABILITIES |
| As of September 30, 2018 (Unaudited) |
| Assets: | ||||
| Investments in unaffiliated issuers, at value (cost $89,848,389) | $ | 90,426,215 | ||
| Investments in affiliated issuers, at value (cost $3,550,000) | 3,286,784 | |||
| Options, at value (cost $23,990) | 11,645 | |||
| Foreign currency, at value (cost $187,055) | 189,647 | |||
| Cash | 70,567 | |||
| Cash deposited with broker for securities sold short and borrowing agreement | 20,927,423 | |||
| Receivables: | ||||
| Investment securities sold | 1,260,054 | |||
| Dividends and interest | 407,222 | |||
| Investments purchased in advance | 6,000,000 | |||
| Due from Custodian | 29,371 | |||
| Unrealized appreciation on open futures contracts | 113 | |||
| Prepaid expenses | 111,386 | |||
| Prepaid offering costs | 323 | |||
| Total assets | 122,720,750 | |||
| Liabilities: | ||||
| Borrowing agreement | 18,569,687 | |||
| Securities sold short, at value (proceeds $17,912,914) | 18,802,250 | |||
| Foreign currency due to custodian, at value (proceeds $1,466,899) | 1,418,331 | |||
| Written options contracts, at value (proceeds $5,879) | 10,612 | |||
| Payables: | ||||
| Investment securities purchased | 1,091,926 | |||
| Investment manager fees | 51,677 | |||
| Auditing fees | 18,138 | |||
| Dividends and interest on securities sold short | 14,391 | |||
| Custody fees | 9,082 | |||
| Transfer agent fees and expenses | 3,011 | |||
| Accrued other expenses | 1,195 | |||
| Total liabilities | 39,990,300 | |||
| Net Assets | $ | 82,730,450 |
See accompanying Notes to Financial Statements.
| 16 |
| Vivaldi Opportunities Fund |
| STATEMENT OF ASSETS AND LIABILITIES – Continued |
| As of September 30, 2018 (Unaudited) |
| Components of Net Assets: | ||||
| Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized) | $ | 84,313,785 | ||
| Total distributable earnings | (1,583,335 | ) | ||
| Net Assets | $ | 82,730,450 | ||
| Offering Price per Share: | ||||
| Investor Class Shares: | ||||
| Net assets applicable to shares outstanding | $ | 82,730,450 | ||
| Shares of beneficial interest issued and outstanding | 5,628,644 | |||
| Offering and redemption price per share | $ | 14.70 |
See accompanying Notes to Financial Statements.
| 17 |
| Vivaldi Opportunities Fund |
| STATEMENT OF OPERATIONS |
| For the Six Months Ended September 30, 2018 (Unaudited) |
| Investment Income: | ||||
| Dividends from unaffiliated issuers (net of withholding tax of $1,127) | $ | 3,298,273 | ||
| Dividends from affiliated issuers | 194,587 | |||
| Interest | 890,049 | |||
| Total investment income | 4,382,909 | |||
| Expenses: | ||||
| Investment manager fees | 721,299 | |||
| Interest expense on borrowing agreement | 221,806 | |||
| Dividends on securities sold short | 129,079 | |||
| Interest expense on securities sold short | 40,094 | |||
| Broker expenses | 31,189 | |||
| Offering costs | 29,546 | |||
| Legal fees | 25,069 | |||
| Custody fees | 23,837 | |||
| Directors' fees and expenses | 21,665 | |||
| Auditing fees | 20,401 | |||
| Fund administration fees | 18,142 | |||
| Transfer agent fees and expenses | 17,355 | |||
| Fund accounting fees | 13,888 | |||
| Pricing fees | 11,266 | |||
| Registration fees | 7,068 | |||
| Insurance fees | 6,317 | |||
| Chief Compliance Officer fees | 5,280 | |||
| Shareholder reporting fees | 3,323 | |||
| SEC fees | 476 | |||
| Miscellaneous | 2,523 | |||
| Total expenses | 1,349,623 | |||
| Net investment income | 3,033,286 | |||
| Realized and Unrealized Gain (Loss) on Investments, Securities Sold Short, | ||||
| Purchased Options Contracts, Written Options Contracts, Future Contracts and Foreign Currency | ||||
| Net realized gain (loss) on: | ||||
| Investments | (1,374,225 | ) | ||
| Securities sold short | (834,101 | ) | ||
| Purchased options contracts | (156,628 | ) | ||
| Written options contracts | (121,230 | ) | ||
| Futures Contracts | 1,032 | |||
| Foreign Currency transactions | 37,038 | |||
| Net realized loss | (2,448,114 | ) | ||
| Net change in unrealized appreciation/depreciation on: | ||||
| Investments in unaffiliated issuers | 1,934,040 | |||
| Investments in affiliated issuers | (180,990 | ) | ||
| Purchased options contracts | 178,143 | |||
| Securities sold short | (861,591 | ) | ||
| Written options contracts | 43,647 | |||
| Futures Contracts | 113 | |||
| Foreign currency translations | 49,518 | |||
| Forward foreign currency contracts | (95 | ) | ||
| Net change in unrealized appreciation/depreciation | 1,162,785 | |||
| Net realized and unrealized loss on investments and securities sold short purchased options contracts, written options contracts, futures contracts and foreign currency | (1,285,329 | ) | ||
| Net Increase in Net Assets from Operations | $ | 1,747,957 |
See accompanying Notes to Financial Statements.
| 18 |
| Vivaldi Opportunities Fund |
| STATEMENTS OF CHANGES IN NET ASSETS |
| For the | For the Period | |||||||
| Six Months Ended | October 2, 2017* | |||||||
| September 30, 2018 | Through | |||||||
| (Unaudited) | March 31, 2018 | |||||||
| Increase (Decrease) in Net Assets from: | ||||||||
| Operations: | ||||||||
| Net investment income | $ | 3,033,286 | $ | 54,622 | ||||
| Net realized gain (loss) on investments, securities sold short, purchased option contracts, written option contracts, futures contracts and foreign currency | (2,448,114 | ) | (299,676 | ) | ||||
| Net change in unrealized appreciation/depreciation on investments, securities sold short, purchased option contracts, written option contracts, futures contracts and foreign currency | 1,162,785 | (1,703,337 | ) | |||||
| Net increase (decrease) in net assets resulting from operations | 1,747,957 | (1,948,391 | ) | |||||
| Distributions to Shareholders: | ||||||||
| Distributions: 1 | (1,381,143 | ) | ||||||
| Total distributions to shareholders | (1,381,143 | ) | ||||||
| From net realized gains: | (6,916 | ) | ||||||
| Total distributions to shareholders | (6,916 | ) | ||||||
| Capital Transactions: | ||||||||
| Net proceeds from shares sold: | 3,204 | 83,606,900 | ||||||
| Reinvestment of distributions: | 711,756 | 6,450 | ||||||
| Cost of shares redeemed: | (9,367 | ) | − | |||||
| Net increase in net assets from capital transactions | 705,593 | 83,613,350 | ||||||
| Total increase in net assets | 1,072,407 | 81,658,043 | ||||||
| Net Assets: | ||||||||
| Beginning of period | 81,658,043 | − | ||||||
| End of period 2 | $ | 82,730,450 | $ | 81,658,043 | ||||
| Capital Share Transactions: | ||||||||
| Shares sold: | 218 | 5,580,409 | ||||||
| Shares reinvested: | 48,225 | 430 | ||||||
| Shares redeemed: | (638 | ) | − | |||||
| Net increase in capital share transactions | 47,805 | 5,580,839 | ||||||
| * | Commencement of Operations |
| 1 | The SEC eliminated the requirement to disclose components of distributions paid to shareholders in September 2018. |
| 2 | For the period ended March 31, 2018, net assets included accumulated undistributed net investment income of $55,521. The SEC eliminated the requirement to disclose undistributed net investment income in September 2018. |
See accompanying Notes to Financial Statements.
| 19 |
| Vivaldi Opportunities Fund |
| STATEMENT OF CASH FLOWS |
| For the Six Months Ended September 30, 2018 (Unaudited) |
| Increase (Decrease) in Cash: | ||||
| Cash flows provided by (used for) operating activities: | ||||
| Net increase in net assets resulting from operations | $ | 1,747,957 | ||
| Adjustments to reconcile net decrease in net assets from operations to net cash used for operating activities: | ||||
| Purchases of long-term portfolio investments | (126,354,514 | ) | ||
| Sales of long-term portfolio investments | 108,456,256 | |||
| Proceeds from securities sold short | 38,797,247 | |||
| Cover short securities | (31,194,323 | ) | ||
| Proceeds from written options | 328,492 | |||
| Closed written options | (546,411 | ) | ||
| Sales of short-term investments, net | 5,260,898 | |||
| Return of capital | 1,239,310 | |||
| Increase in foreign currency | (46,362 | ) | ||
| Increase in due from custodian | (29,370 | ) | ||
| Increase in cash deposited with broker for securities sold short and borrowing agreement | (5,274,674 | ) | ||
| Increase in dividends and interest receivable | (88,739 | ) | ||
| Increase in prepaid expenses | (105,895 | ) | ||
| Decrease in prepaid offering costs | 29,546 | |||
| Increase in foreign currency due to custodian | 449,965 | |||
| Decrease in due to custodian | (117,275 | ) | ||
| Decrease in investment manager fees | (70,043 | ) | ||
| Increase in dividends and interest on securities sold short | 3,395 | |||
| Decrease in accrued expenses | (88,032 | ) | ||
| Net amortization on investments | (32,672 | ) | ||
| Net realized loss | 2,534,780 | |||
| Net change in unrealized appreciation/depreciation | (1,113,362 | ) | ||
| Net cash used for operating activities | (6,213,826 | ) | ||
| Cash flows provided by (used for) financing activities: | ||||
| Proceeds from shares sold | 3,204 | |||
| Cost of shares redeemed | (9,367 | ) | ||
| Dividends paid to shareholders, net of reinvestments | (669,387 | ) | ||
| Proceeds from borrowing agreement | 6,959,943 | |||
| Net cash provided by financing activities | 6,284,393 | |||
| Net increase in cash | 70,567 | |||
| Cash: | ||||
| Beginning of period | − | |||
| End of period | $ | 70,567 |
Non cash financing activities not included herein consist of $711,756 of reinvested distributions.
Cash paid for interest on securities sold short was $40,094.
Interest expense paid under borrowing agreement was $221,806 (see Note 10).
See accompanying Notes to Financial Statements.
| 20 |
| Vivaldi Opportunities Fund |
| FINANCIAL HIGHLIGHTS |
| Per share operating performance. |
| For a capital share outstanding throughout each period. |
| For the Six | For the Period | |||||||
| Months Ended | October 2, 2017* | |||||||
| September 30, 2018 | Through | |||||||
| (Unaudited) | March 31, 2018 | |||||||
| Net asset value, beginning of period | $ | 14.63 | $ | 15.00 | ||||
| Income from Investment Operations: | ||||||||
| Net investment income1 | 0.54 | 0.02 | ||||||
| Net realized and unrealized gain (loss) on investments | (0.22 | ) | (0.39 | ) | ||||
| Total from investment operations | 0.32 | (0.37 | ) | |||||
| Less Distributions: | ||||||||
| From net investment income | (0.25 | ) | − | |||||
| From net realized gains | − | − | 2 | |||||
| Total distributions2 | (0.25 | ) | − | |||||
| Redemption fee proceeds1 | − | 2 | − | 2 | ||||
| Net asset value, end of period | $ | 14.70 | $ | 14.63 | ||||
| Total return | 2.17 | %3 | (2.45 | )%3 | ||||
| Ratios and Supplemental Data: | ||||||||
| Net assets, end of period (in thousands) | $ | 82,730 | $ | 81,658 | ||||
| Ratio of expenses to average net assets: | ||||||||
| (including interest expense and interest on securities sold short) | ||||||||
| Before fees waived | 3.26 | %4,5 | 3.46 | %4,5 | ||||
| After fees waived | 3.26 | %4,5 | 3.46 | %4,5 | ||||
| Ratio of net investment income to average net assets: | ||||||||
| (including interest expense and interest on securities sold short) | ||||||||
| Before fees waived | 7.32 | %4 | 0.21 | %4 | ||||
| After fees waived | 7.32 | %4 | 0.21 | %4 | ||||
| Portfolio turnover rate | 137 | %3 | 79 | %3 | ||||
| Senior Securities (Unaudited) | ||||||||
| Total borrowings (000's omitted) | $ | 18,570 | $ | 11,610 | ||||
| Asset coverage per $1,000 unit of senior indebtedness (6) | $ | 5,455 | $ | 8,034 | ||||
| * | Commencement of operations. |
| 1 | Based on average shares outstanding for the period. |
| 2 | Amount represents less than $0.01 per share. |
| 3 | Not annualized. |
| 4 | Annualized. |
| 5 | If interest expense and dividends on securities sold short had been excluded, the expense ratios would have been lowered by 0.95% for the six months ended September 30, 2018 and 0.51% for the period ended March 31, 2018. |
| 6 | Calculated by subtracting the Fund's total liabilities (not including borrowings) from the Fund's total assets and dividing this by the total number of senior indebtedness units, where one unit equals $1,000 of senior indebtedness. |
See accompanying Notes to Financial Statements.
| 21 |
NOTES TO FINANCIAL STATEMENTS
September 30, 2018 (Unaudited)
Note 1 – Organization
Vivaldi Opportunities Fund (the “Fund”) is a closed-end management investment company registered under the Investment Company Act of 1940, as amended (the “Investment Company Act”), and organized as a Maryland corporation on March 29, 2017. Vivaldi Asset Management, LLC serves as the investment adviser (the “Investment Manager”) of the Fund. The Investment Manager provides day-to-day investment management services to the Fund. The Fund is non-diversified, which means that under the Investment Company Act, it is not limited in the percentage of its assets that it may invest in any single issuer of securities.
The investment objective of the Fund is to seek to achieve long-term capital appreciation by pursuing positive absolute returns across market cycles. In pursuing its objective, the Fund seeks to generate attractive long-term returns with low sensitivity to traditional equity and fixed income indices. The Fund uses a “multi-manager” approach whereby the Fund’s assets are allocated amongst the Investment Manager and one or more sub-advisers (each, a “Sub-Adviser” and together, the “Sub-Advisers”), in percentages determined at the discretion of the Investment Manager. Currently, RiverNorth Capital Management, LLC and Angel Oak Capital Advisors, LLC serve as Sub-Advisors to the Fund. The Fund commenced investment operations on October 2, 2017.
The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services—Investment Companies.”
Note 2 – Accounting Policies
The following is a summary of the significant accounting policies consistently followed by the Fund in the preparation of its financial statements. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
(a) Valuation of Investments
The Fund’s Valuation Committee will oversee the valuation of the Fund’s investments on behalf of the Fund. The Board of Directors of the Fund (the “Board”) has approved valuation procedures for the Fund (the “Valuation Procedures”). Securities traded on one or more of the U.S. national securities exchanges, the Nasdaq Stock Market or any foreign stock exchange will be valued at the last sale price or the official closing price on the exchange or system where such securities are principally traded for the business day as of the relevant determination date. If no sale or official closing price of particular securities are reported on a particular day, the securities will be valued at the closing bid price for securities held long, or the closing ask price for securities held short, or if a closing bid or ask price, as applicable, is not available, at either the exchange or system-defined closing price on the exchange or system in which such securities are principally traded. Over-the-counter securities not quoted on the Nasdaq Stock Market will be valued at the last sale price on the relevant determination date or, if no sale occurs, at the last bid price, in the case of securities held long, or the last ask price, in the case of securities held short, at the time net asset value is determined. Equity securities for which no prices are obtained under the foregoing procedures, including those for which a pricing service supplies no exchange quotation or a quotation that is believed by Investment Manager or a Sub-Adviser not to reflect the market value, will be valued at the bid price, in the case of securities held long, or the ask price, in the case of securities held short, supplied by one or more dealers making a market in those securities or one or more brokers, in accordance with the Valuation Procedures. Futures index options will be valued at the mid-point between the last bid price and the last ask price on the relevant determination date at the time net asset value is determined. The mid-point of the last bid and the last ask is also known as the ‘mark’. Investments in open-end investment companies are valued at the daily closing net asset value of the respective investment company.
| 22 |
Vivaldi Opportunities Fund
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2018 (Unaudited)
Fixed-income securities with a remaining maturity of sixty (60) days or more for which accurate market quotations are readily available will normally be valued according to dealer-supplied bid quotations or bid quotations from a recognized pricing service. Fixed-income securities for which market quotations are not readily available or are believed by the Investment Manager or a Sub-Adviser not to reflect market value will be valued based upon broker-supplied quotations in accordance with the Valuation Procedures, provided that if such quotations are unavailable or are believed by the Investment Manager or a Sub-Adviser not to reflect market value, such fixed-income securities will be valued at fair value in accordance with the Valuation Procedures, which may include the utilization of valuation models that take into account spread and daily yield changes on government securities in the appropriate market (e.g., matrix pricing). High quality investment grade debt securities (e.g., treasuries, commercial paper, etc.) with a remaining maturity of sixty (60) days or less are valued by the Investment Manager or a Sub-Adviser at amortized cost, which the Board has determined to approximate fair value. All other instruments held by the Fund will be valued in accordance with the Valuation Procedures.
If no price is obtained for a security in accordance with the foregoing, because either an external price is not readily available or such external price is believed by the Investment Manager or a Sub-Adviser not to reflect the market value, the Valuation Committee will make a determination in good faith of the fair value of the security in accordance with the Valuation Procedures. In general, fair value represents a good faith approximation of the current value of an asset and will be used when there is no public market or possibly no market at all for the asset. The fair values of one or more assets may not be the prices at which those assets are ultimately sold and the differences may be significant.
(b) Foreign Currency Translation
The Fund’s records are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the reporting period. The currencies are translated into U.S. dollars by using the exchange rates quoted as of 4:00 PM Eastern Standard Time. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
The Fund does not isolate that portion of its net realized and unrealized gains and losses on investments resulting from changes in foreign exchange rates from the impact arising from changes in market prices. Such fluctuations are included with net realized and unrealized gain or loss from investments and foreign currency.
Net realized foreign currency transaction gains and losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the differences between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency translation gains and losses arise from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in the exchange rates.
(c) Short Sales
Short sales are transactions under which the Fund sells a security it does not own in anticipation of a decline in the value of that security. To complete such a transaction, the Fund must borrow the security to make delivery to the buyer. The Fund then is obligated to replace the security borrowed by purchasing the security at market price at the time of replacement. The price at such time may be more or less than the price at which the security was sold by the Fund. When a security is sold short, a decrease in the value of the security will be recognized as a gain and an increase in the value of the security will be recognized as a loss, which is potentially limitless. Until the security is replaced, the Fund is required to pay the lender amounts equal to dividend or interest that accrue during the period of the loan which is recorded as an expense. To borrow the security, the Fund also may be required to pay a premium or an interest fee, which are recorded as interest expense. Cash or securities are segregated for the broker to meet the necessary margin requirements. The Fund is subject to the risk that it may not always be able to close out a short position at a particular time or at an acceptable price.
| 23 |
Vivaldi Opportunities Fund
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2018 (Unaudited)
(d) Options
The Fund may write or purchase options contracts primarily to enhance the Fund’s returns or reduce volatility. In addition, the Fund may utilize options in an attempt to generate gains from option premiums or to reduce overall portfolio risk. When the Fund writes or purchases an option, an amount equal to the premium received or paid by the Fund is recorded as an asset or a liability and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss on investment transactions. The Fund, as a writer of an option, may have no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option.
(e) Exchange Traded Funds (“ETFs”)
ETFs typically trade on securities exchanges and their shares may, at times, trade at a premium or discount to their net asset values. In addition, an ETF may not replicate exactly the performance of the benchmark index it seeks to track for a number of reasons, including transaction costs incurred by the ETF, the temporary unavailability of certain index securities in the secondary market or discrepancies between the ETF and the index with respect to the weighting of securities or the number of securities held. Investing in ETFs, which are investment companies, may involve duplication of advisory fees and certain other expenses. As a result, Fund shareholders indirectly bear their proportionate share of these acquired expenses. Therefore, the cost of investing in the Fund will be higher than the cost of investing directly in ETFs and may be higher than other funds that invest directly in securities.
Each ETF in which the Fund invests is subject to specific risks, depending on the nature of the ETF. Each ETF is subject to the risks associated with direct ownership of the securities comprising the index on which the ETF is based. These risks could include liquidity risk, sector risk, and risks associated with fixed-income securities.
(f) Closed-end Funds (“CEFs”)
The Fund may invest in shares of CEFs. A CEF is a pooled investment vehicle that is registered under the Investment Company Act and whose shares are listed and traded on U.S. national securities exchanges. Investments in CEFs are subject to various risks, including reliance on management’s ability to meet a CEF’s investment objective and to manage a CEF’s portfolio, and fluctuation in the market value of a CEF’s shares compared to the changes in the value of the underlying securities that the CEF owns. In addition, the Fund bears a pro rata share of the management fees and expenses of each underlying CEF in addition to the Fund’s management fees and expenses, which results in the Fund’s shareholders being subject to higher expenses than if they invested directly in the CEFs.
(g) Investment Transactions, Investment Income and Expenses
Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Dividend income is recorded net of applicable withholding taxes on the ex-dividend date and interest income is recorded on an accrual basis. Withholding taxes on foreign dividends, if applicable, are paid (a portion of which may be reclaimable) or provided for in accordance with the applicable country’s tax rules and rates and are disclosed in the Statement of Operations. Withholding tax reclaims are filed in certain countries to recover a portion of the amounts previously withheld. The Fund records a reclaim receivable based on a number of factors, including a jurisdiction’s legal obligation to pay reclaims as well as payment history and market convention. Discounts or premiums on debt securities are accreted or amortized to interest income over the lives of the respective securities using the effective interest method.
| 24 |
Vivaldi Opportunities Fund
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2018 (Unaudited)
The Fund incurred offering costs of approximately $83,921, which are being amortized over a one-year period from October 2, 2017.
(h) Federal Income Taxes
The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its net investment income and any net realized gains to its shareholders. Therefore, no provision is made for federal income or excise taxes. Due to the timing of dividend distributions and the differences in accounting for income and realized gains and losses for financial statement and federal income tax purposes, the fiscal year in which amounts are distributed may differ from the year in which the income and realized gains and losses are recorded by the Fund.
Accounting for Uncertainty in Income Taxes (the “Income Tax Statement”) requires an evaluation of tax positions taken (or expected to be taken) in the course of preparing a Fund’s tax returns to determine whether these positions meet a “more-likely-than-not” standard that, based on the technical merits, have a more than fifty percent likelihood of being sustained by a taxing authority upon examination. A tax position that meets the “more-likely-than-not” recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations.
The Income Tax Statement requires management of the Fund to analyze tax positions taken in the prior three open tax years, if any, and tax positions expected to be taken in the Fund’s current tax year, as defined by the IRS statute of limitations for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of September 30, 2018 and from the commencement of operations on October 2, 2017, the Fund did not have a liability for any unrecognized tax benefits. The Fund has no examination in progress and is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
(i) Distributions to Shareholders
The Fund intends to make monthly distributions to its shareholders equal to 10% annually of the Fund’s net asset value per Share (the “Distribution Policy”). This predetermined dividend rate may be modified by the Board from time to time. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. The character of distributions made during the year from net investment income or net realized gains may differ from the characterization for federal income tax purposes due to differences in the recognition of income expense and gain (loss) items for financial statement and tax purposes.
If, for any distribution, investment company taxable income (which term includes net short-term capital gain), if any, and net tax-exempt income, if any, is less than the amount of this predetermined dividend rate, then assets of the Fund will be sold and the difference will generally be a tax-free return of capital from the Fund’s assets. The Fund’s final distribution for each calendar year will include any remaining investment company taxable income and net tax-exempt income undistributed during the year, as well as the remaining net capital gain realized during the year. If the total distributions made in any calendar year exceed investment company taxable income, net tax-exempt income and net capital gain, such excess distributed amount would be treated as ordinary dividend income to the extent of the Fund’s current and accumulated earnings and profits. Payments in excess of the earnings and profits would first be a tax-free return of capital to the extent of the adjusted tax basis in the Shares. After such adjusted tax basis is reduced to zero, the payment would constitute capital gain (assuming the Shares are held as capital assets). This Distribution Policy may, under certain circumstances, have certain adverse consequences to the Fund and its shareholders because it may result in a return of capital resulting in less of a shareholder’s assets being invested in the Fund and, over time, increase the Fund’s expense ratio. The Distribution Policy also may cause the Fund to sell a security at a time it would not otherwise do so in order to manage the distribution of income and gain.
| 25 |
Vivaldi Opportunities Fund
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2018 (Unaudited)
Note 3 – Investment Advisory and Other Agreements
The Fund has agreed to pay the Investment Manager a management fee payable on a monthly basis at the annual rate of 1.40% of the Fund’s average daily Managed Assets (as defined below) in consideration of the advisory and other services it provides. Pursuant to a separate sub-advisory agreement, the Investment Manager (and not the Fund) has agreed to pay RiverNorth Capital Management, LLC a sub-advisory fee payable on a monthly basis at the annual rate of 1.00% of its portion of the Fund’s average daily net assets for the services it provides. Pursuant to a separate sub-advisory agreement, the Investment Manager (and not the Fund) has agreed to pay Angel Oak Capital Advisors, LLC a sub-advisory fee payable on a monthly basis at the annual rate of 0.80% of its portion of the Fund’s average daily net assets for the services it provides. “Managed Assets” means the total assets of the Fund, including leverage, minus liabilities (other than debt representing leverage and any preferred stock that may be outstanding). As a result, the Investment Manager is paid more if the Fund uses leverage, which creates a conflict of interest for the Investment Manager. The Investment Manager will seek to manage that potential conflict by utilizing leverage only when it determines such action is in the best interests of the Fund.
Foreside Fund Services, LLC serves as the Fund’s distributor; UMB Fund Services, Inc. (“UMBFS”) serves as the Fund’s fund accountant, transfer agent and administrator; UMB Bank, n.a., an affiliate of UMBFS, serves as the Fund’s custodian.
Certain directors and officers of the Fund are employees of UMBFS. The Fund does not compensate directors and officers affiliated with the Fund’s administrator. For the period ended September 30, 2018, the Fund’s allocated fees incurred for directors who are not affiliated with the Fund’s administrator are reported on the Statement of Operations.
Vigilant Compliance, LLC provides Chief Compliance Officer (“CCO”) services to the Fund. The Fund’s allocated fees incurred for CCO services for the period ended September 30, 2018, are reported on the Statement of Operations.
Note 4 – Federal Income Taxes
At September 30, 2018, gross unrealized appreciation and depreciation on investments and short securities, based on cost for federal income tax purposes were as follows:
| Cost of investments | $ | 75,514,224 | ||
| Gross unrealized appreciation | $ | 2,630,866 | ||
| Gross unrealized depreciation | (3,233,308 | ) | ||
| Net unrealized appreciation on investments | $ | (602,442 | ) |
The difference between cost amounts for financial statement and federal income tax purposes is due primarily to timing differences in recognizing certain gains and losses in security transactions.
| 26 |
Vivaldi Opportunities Fund
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2018 (Unaudited)
As of December 31, 2017 the components of accumulated earnings (deficit) on a tax basis were as follows:
| Undistributed ordinary income | $ | 83,888 | ||
| Undistributed long-term gains | 28,005 | |||
| Tax accumulated earnings | 111,893 | |||
| Accumulated capital and other losses | - | |||
| Unrealized appreciation on investments | (1,715,692 | ) | ||
| Total accumulated earnings/(deficit) | (1,603,799 | ) |
The tax character of the distribution paid during the period ended December 31, 2017 was as follows:
| Distributions paid from: | 2017 | |||
| Ordinary income | $ | 5,858 | ||
| Net long term capital gains | 1,058 | |||
| Total distributions paid | $ | 6,916 |
Note 5 – Investment Transactions
For the period ended September 30, 2018, purchases and sales of investments, excluding short-term investments, were $120,107,856 and $107,742,356, respectively. Proceeds from securities sold short and cover short securities were $38,828,869 and $31,068,481, respectively, for the same period.
Note 6 – Indemnifications
In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund expects the risk of loss to be remote.
Note 7 – Fair Value Measurements and Disclosure
Fair Value Measurements and Disclosures defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and expands disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or a liability, when a transaction is not orderly, and how that information must be incorporated into a fair value measurement.
Under Fair Value Measurements and Disclosures, various inputs are used in determining the value of the Fund’s investments. These inputs are summarized into three broad levels as described below:
| · | Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. |
| · | Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. |
| 27 |
Vivaldi Opportunities Fund
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2018 (Unaudited)
| · | Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the inputs used, as of September 30, 2018, in valuing the Fund’s assets carried at fair value:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets | ||||||||||||||||
| Investments | ||||||||||||||||
| Asset-Backed Securities | $ | - | $ | 9,303,462 | $ | - | $ | 9,303,462 | ||||||||
| Closed-End Funds | 27,500,954 | - | - | 27,500,954 | ||||||||||||
| Collateralized Mortgage Obligations | - | 13,043,385 | - | 13,043,385 | ||||||||||||
| Common Stocks* | 38,982,772 | - | - | 38,982,772 | ||||||||||||
| Corporate Bonds* | - | 1,017,995 | - | 1,017,995 | ||||||||||||
| Exchange-Traded Debt Securities* | 685,256 | - | - | 685,256 | ||||||||||||
| Purchased Options Contracts | 11,645 | - | - | 11,645 | ||||||||||||
| Rights | 6,260 | - | - | 6,260 | ||||||||||||
| Units | 20 | - | - | 20 | ||||||||||||
| U.S. Treasury Notes | - | 1,103,612 | - | 1,103,612 | ||||||||||||
| Warrants | 57,958 | - | - | 57,958 | ||||||||||||
| Short-Term Investments | 2,011,325 | - | - | 2,011,325 | ||||||||||||
| Total Investments | 69,256,190 | 24,468,454 | - | 93,724,644 | ||||||||||||
| Other Financial Instruments** | ||||||||||||||||
| Futures Contracts | 113 | - | - | 113 | ||||||||||||
| Total Assets | $ | 69,256,303 | $ | 24,468,454 | - | $ | 93,724,757 | |||||||||
| Liabilities | ||||||||||||||||
| Securities Sold Short | ||||||||||||||||
| Common Stocks* | $ | 18,367,488 | $ | - | $ | - | $ | 18,367,488 | ||||||||
| Exchange-Traded Funds | 434,761 | - | - | 434,761 | ||||||||||||
| Written Options Contracts | 10,613 | - | - | 10,613 | ||||||||||||
| Total Liabilities | $ | 18,812,862 | $ | - | $ | - | $ | 18,812,862 | ||||||||
*All common stocks held in the Fund are Level 1 securities. For a detailed break-out of common stocks by major industry classification, please refer to the Schedule of Investments.
**Other financial instruments are derivative instruments such as futures contracts, forward contracts and swap contracts. Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.
| 28 |
Vivaldi Opportunities Fund
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2018 (Unaudited)
Transfers between Levels 1, 2 or 3 are recognized at the end of the reporting period. The following is a reconciliation of transfers between Levels for the Fund from March 31, 2018 to September 30, 2018, represented by recognizing the September 30, 2018 market value of securities:
| Transfers into Level 1 | $ | 8,226,749 | ||
| Transfers out of Level 1 | - | |||
| Net transfers in (out) of Level 1 | $ | 8,226,749 | ||
| Transfers into Level 2 | $ | - | ||
| Transfers out of Level 2 | (8,226,749 | ) | ||
| Net transfers in (out) of Level 2 | $ | (8,226,749 | ) |
Note 8 – Investments in Affiliated Issuers
An affiliated issuer is an entity in which the Fund has ownership of at least 5% of the voting securities or any other investment which is advised by or sponsored by the Investment Manager or a Sub-Adviser. In the case of the Fund, RiverNorth Capital Management, LLC. (“RiverNorth”) acts as a Sub-Adviser to the Fund. The Fund owns the holding noted below which is advised by RiverNorth. Issuers that are affiliates of the Fund at period-end are noted in the Fund’s Schedule of Investments. Additional security purchases and the reduction of certain securities shares outstanding of existing portfolio holdings that were not considered affiliated in prior years may result in the Fund owning in excess of 5% of the outstanding shares at period-end. The table below reflects transactions during the period with entities that are affiliates as of September 30, 2018 and may include acquisitions of new investments, prior year holdings that became affiliated during the period and prior period affiliated holdings that are no longer affiliated as of period-end.
| Security Description | Value Beginning of Period | Purchases | Sales Proceeds | Net Realized Gain (Loss) | Unrealized Appreciation (Depreciation) | Value End of Period | Interest/ Income Credited to Income | |||||||||||||||||||||
| RiverNorth Marketplace Lending Corporation | $ | 3,467,774 | $ | - | $ | - | $ | - | $ | (180,990 | ) | $ | 3,286,784 | $ | 194,587 | |||||||||||||
| Security Description | Principal Amount/Shares Beginning of Period | Purchases | Sales | Principal Amount/Shares End of Period | ||||||||||||
| RiverNorth Marketplace Lending Corporation | 144,792 | - | - | 144,792 | ||||||||||||
| 29 |
Vivaldi Opportunities Fund
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2018 (Unaudited)
Note 9 – Derivative and Hedging Disclosure
The Fund has adopted the disclosure provisions of FASB Standard Codification 815, Derivatives and Hedging, which requires enhanced disclosures about the Fund’s derivative and hedging activities, including how such activities are accounted for and their effects on the Fund’s financial position, performance and cash flows.
For either investment or hedging purposes, the Fund may invest substantially in a broad range of derivative instruments, including structured products, swaps (including credit default swaps), futures and forward contracts, and options. Such derivatives may trade over-the-counter or on an exchange and may principally be used for one or more of the following purposes: speculation, currency hedging, duration management, or to pursue the Fund’s investment objective. The Fund’s derivative investments have risks, including the imperfect correlation between the value of such instruments and the underlying asset, rate or index, which creates the possibility that the loss on such instruments may be greater than the gain in the value of the underlying asset, rate or index; the loss of principal; the possible default of the other party to the transaction; and illiquidity of the derivative investments. The Fund invested in options contracts and futures contracts during the period ended September 30, 2018 which did not have a material impact on the Fund’s performance.
The effects of these derivative instruments on the Fund’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations are presented in the tables below. The fair values of derivative instruments as of September 30, 2018 by risk category are as follows:
| Asset Derivatives | Liability Derivatives | |||||||||||
| Derivatives not designated as hedging instruments | Statement of Asset and Liabilities Location | Value | Statement of Asset and Liabilities Location | Value | ||||||||
| Equity price risk | Purchased options contracts, at value | $ | 11,645 | Written options contracts, at value | $ | 10,612 | ||||||
| Interest rate risk | Unrealized appreciation on open futures contracts | 113 | ||||||||||
| Total | $ | 11,758 | $ | 10,612 | ||||||||
The effects of derivative instruments on the Statement of Operations for the period ended September 30, 2018 are as follows:
| Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||||
| Derivatives not designated as hedging instruments | Purchased Options Contracts | Written Options Contracts | Futures Contracts | |||||||||
| Equity price risk | $ | (156,628 | ) | $ | (121,230 | ) | $ | - | ||||
| Interest rate risk | - | - | 1,032 | |||||||||
| Total | $ | (156,628 | ) | $ | (121,230 | ) | $ | 1,032 | ||||
| 30 |
Vivaldi Opportunities Fund
NOTES TO FINANCIAL STATEMENTS - Continued
September 30, 2018 (Unaudited)
| Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in Income | ||||||||||||||||
| Derivatives not designated as hedging instruments | Futures Contracts | Purchased Options Contracts | Written Options Contracts | Total | ||||||||||||
| Equity price risk | $ | - | $ | 178,143 | $ | 43,647 | $ | 221,790 | ||||||||
| Interest rate risk | 113 | - | - | 113 | ||||||||||||
| Total | $ | 113 | $ | 178,143 | $ | 43,647 | $ | 221,903 | ||||||||
The number of contracts are included on the Schedule of Investments. The quarterly average volumes of derivative instruments as of September 30, 2018 are as follows:
| Derivative | Quarterly Average | Amount | ||||
| Options Contracts - Purchased | Average Notional Value | $ | 2,994,333 | |||
| Options Contracts - Written | Average Notional Value | (2,751,433 | ) | |||
| Futures Contracts – Short | Average Notional Value | (649,302 | ) | |||
Note 10 – Borrowing
The Fund has entered into a borrowing agreement with BNP Paribas. The Fund may borrow amounts up to one-third of the value of its assets. The Fund is charged interest of one-month Libor plus 0.75% for borrowing under this agreement. The average interest rate, average daily loan balance, maximum outstanding and amount recoded as interest expense for the six months ended September 30, 2018 were 2.78%, $15,485,908, $18,995,443, and $221,806. The Fund had outstanding borrowings for 183 days during this period. At September 30, 2018, the balance was $18,569,687 and the interest rate was 2.99%.
Note 11 – Events Subsequent to the Fiscal Period End
The Fund has adopted financial reporting rules regarding subsequent events which require an entity to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the balance sheet. Management has evaluated the Fund’s related events and transactions that occurred through the date of issuance of the Fund’s financial statements. There were no events or transactions that occurred during this period that materially impacted the amounts or disclosures in the Fund’s financial statements.
| 31 |
SUPPLEMENTAL INFORMATION
September 30, 2018 (Unaudited)
| FUND INFORMATION |
| TICKER | CUSIP | |||
| Vivaldi Opportunities Fund | VAM | 92853C207 |
Proxy Voting Policies and Procedures
A description of the Fund’s proxy voting policies and procedures related to portfolio securities is available without charge, upon request, by calling the Fund at (877) 779-1999 or on the U.S. Securities and Exchange Commission’s (“SEC”) website at www.sec.gov.
Proxy Voting Record
Information regarding how the Fund voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended June 30, is also available, without charge and upon request by calling the Fund at (877) 779-1999 or by accessing the Fund’s Form N-PX on the SEC’s website at www.sec.gov.
Form N-Q Disclosure
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC website at www.sec.gov or by calling the Fund at (877) 779-1999. The Fund’s Form N-Q may also be viewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330.
Vivaldi Opportunities Fund
235 West Galena Street
Milwaukee, WI 53212
Toll Free: (877) 779-1999
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ITEM 2. CODE OF ETHICS.
Not applicable to semi-annual reports.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to semi-annual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to semi-annual reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to semi-annual reports.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to semi-annual reports.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17CFR 229.407), or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
(a)(1) Not applicable to semi-annual reports.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3) Not applicable.
(a)(4) Not applicable.
(b) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) Vivaldi Opportunities Fund
By (Signature and Title)* /s/ Michael Peck
Michael Peck, President
(Principal Executive Officer)
Date December 7, 2018
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* /s/ Michael Peck
Michael Peck, President
(Principal Executive Officer)
Date December 7, 2018
By (Signature and Title)* /s/ Chad Eisenberg
Chad Eisenberg, Treasurer
(Principal Financial Officer)
Date December 7, 2018
* Print the name and title of each signing officer under his or her signature.