| The Merger Fund | ||||||||||
| SCHEDULE OF INVESTMENTS | ||||||||||
| September 30, 2020 (Unaudited) | ||||||||||
Shares | Value | |||||||||
| LONG INVESTMENTS - 94.46% | ||||||||||
| COMMON STOCKS - 44.53% | ||||||||||
| AUTO PARTS & EQUIPMENT - 1.00% | ||||||||||
| Delphi Technologies plc (a)(b) | 2,007,530 | $ | 33,545,826 | |||||||
| BIOTECHNOLOGY - 2.99% | ||||||||||
| Immunomedics, Inc. (a)(j) | 625,828 | 53,214,155 | ||||||||
| Momenta Pharmaceuticals, Inc. (a)(j) | 788,000 | 41,354,240 | ||||||||
| Pfenex, Inc. (a) | 468,741 | 5,976,448 | ||||||||
| 100,544,843 | ||||||||||
| BROADCASTING - 0.07% | ||||||||||
| Fox Corporation Class A (j)(k) | 84,166 | 2,342,340 | ||||||||
| CASINOS & GAMING - 0.00% | ||||||||||
| Caesars Entertainment, Inc. (a) | 21 | 1,177 | ||||||||
| CHEMICALS - 0.26% | ||||||||||
| DuPont de Nemours, Inc. (e)(j) | 155,735 | 8,640,178 | ||||||||
| CONSTRUCTION MACHINERY & HEAVY TRUCKS - 0.41% | ||||||||||
| Navistar International Corporation (a)(j) | 314,200 | 13,680,268 | ||||||||
| ELECTRICAL COMPONENTS & EQUIPMENT - 0.43% | ||||||||||
| Vivint Solar, Inc. (a)(k) | 344,571 | 14,592,582 | ||||||||
| ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.52% | ||||||||||
| Fitbit, Inc. Class A (a)(e)(k) | 2,509,572 | 17,466,621 | ||||||||
| ENVIRONMENTAL & FACILITIES SERVICES - 1.64% | ||||||||||
| Advanced Disposal Services, Inc. (a)(k) | 1,826,362 | 55,210,923 | ||||||||
| HEALTH CARE EQUIPMENT - 8.36% | ||||||||||
| Varian Medical Systems, Inc. (a)(j) | 629,221 | 108,226,012 | ||||||||
| Wright Medical Group N.V. (a)(b)(e) | 5,675,686 | 173,335,450 | ||||||||
| 281,561,462 | ||||||||||
| HEALTH CARE TECHNOLOGY - 1.49% | ||||||||||
| Livongo Health, Inc. (a)(k) | 358,823 | 50,253,161 | ||||||||
| INSURANCE BROKERS - 5.94% | ||||||||||
| Willis Towers Watson plc (b)(e) | 957,462 | 199,937,215 | ||||||||
| INTEGRATED TELECOMMUNICATION SERVICES - 0.21% | ||||||||||
| Cincinnati Bell, Inc. (a) | 470,972 | 7,064,580 | ||||||||
| INTERACTIVE MEDIA & SERVICES - 1.01% | ||||||||||
| 58.com, Inc. - ADR (a)(f) | 1,188,994 | 33,291,832 | ||||||||
| Bitauto Holdings Ltd. - ADR (a)(k) | 42,700 | 672,525 | ||||||||
| 33,964,357 | ||||||||||
| INTERNET & DIRECT MARKETING RETAIL - 2.53% | ||||||||||
| Grubhub, Inc. (a)(f) | 1,167,626 | 85,178,317 | ||||||||
| INVESTMENT BANKING & BROKERAGE - 8.11% | ||||||||||
| E*TRADE Financial Corporation | 3,134,546 | 156,884,027 | ||||||||
| TD Ameritrade Holdings Corporation | 2,963,440 | 116,018,676 | ||||||||
| 272,902,703 | ||||||||||
| IT CONSULTING & OTHER SERVICES - 0.10% | ||||||||||
| Grid Dynamics Holdings, Inc. (a) | 439,436 | 3,396,840 | ||||||||
| IT SERVICES - 0.19% | ||||||||||
| Virtusa Corporation (a)(j) | 132,760 | 6,526,482 | ||||||||
| LIFE & HEALTH INSURANCE - 0.03% | ||||||||||
| Genworth Financial, Inc. Class A (a) | 306,379 | 1,026,370 | ||||||||
| OIL & GAS EXPLORATION & PRODUCTION - 0.08% | ||||||||||
| Noble Energy, Inc. | 309,777 | 2,648,593 | ||||||||
| PACKAGED FOOD - 0.17% | ||||||||||
| Whole Earth Brands, Inc. (a)(k) | 675,184 | 5,631,034 | ||||||||
| REITs - 1.95% | ||||||||||
| Broadmark Realty Capital, Inc. (k) | 501,551 | 4,945,293 | ||||||||
| Taubman Centers, Inc. (k) | 1,821,627 | 60,641,963 | ||||||||
| 65,587,256 | ||||||||||
| SEMICONDUCTORS - 2.61% | ||||||||||
| Maxim Integrated Products, Inc. | 1,302,352 | 88,052,019 | ||||||||
| SPECIALTY STORES - 4.43% | ||||||||||
| Tiffany & Company (e) | 1,288,209 | 149,239,013 | ||||||||
| TOTAL COMMON STOCKS (Cost $1,499,348,579) | 1,498,994,160 | |||||||||
Shares/Units | ||||||||||
| SPECIAL PURPOSE ACQUISITION COMPANIES - 8.75% (a) | ||||||||||
| ACE Convergence Acquisition Corporation (b) | 218,144 | 2,235,976 | ||||||||
| Apex Technology Acquisition Corporation Class A | 604,500 | 6,407,700 | ||||||||
| Artius Acquisition, Inc. (b) | 484,939 | 5,038,516 | ||||||||
| Ascendant Digital Acquisition Corporation (b) | 397,665 | 4,183,436 | ||||||||
| B. Riley Principal Merger Corporation II Class A | 268,026 | 2,682,940 | ||||||||
| Bespoke Capital Acquisition Corporation Class A - ADR (f)(k) | 1,606,109 | 15,707,746 | ||||||||
| BowX Acquisition Corporation | 496,900 | 5,098,194 | ||||||||
| CC Neuberger Principal Holdings I Class A (b) | 23,703 | 246,511 | ||||||||
| CC Neuberger Principal Holdings II (b) | 111,692 | 1,153,778 | ||||||||
| CF Finance Acquisition Corporation Class A | 390,688 | 4,063,155 | ||||||||
| CHP Merger Corporation Class A | 72,104 | 734,740 | ||||||||
| Churchill Capital Corporation II Class A | 302,610 | 3,192,535 | ||||||||
| Churchill Capital Corporation III Class A | 142,884 | 1,464,561 | ||||||||
| Churchill Capital Corporation IV | 1,138,234 | 11,405,105 | ||||||||
| CIIG Merger Corporation Class A | 315,662 | 3,162,933 | ||||||||
| Cohn Robbins Holdings Corporation (b) | 892,852 | 9,008,877 | ||||||||
| D8 Holdings Corporation (b) | 158,600 | 1,597,102 | ||||||||
| Deerfield Healthcare Technology Acquisitions Corporation | 8,952 | 95,160 | ||||||||
| dMY Technology Group, Inc. Class A (k) | 193,643 | 2,470,885 | ||||||||
| Dragoneer Growth Opportunities Corporation (b) | 6,000 | 73,500 | ||||||||
| E.Merge Technology Acquisition Corporation | 1,187,300 | 11,967,984 | ||||||||
| Equity Distribution Acquisition Corporation | 52,981 | 545,704 | ||||||||
| Falcon Capital Acquisition Corporation | 140,046 | 1,441,073 | ||||||||
| FinTech Acquisition Corporation III Class A | 328,770 | 3,389,619 | ||||||||
| Fintech Acquisition Corporation IV | 200,000 | 2,032,000 | ||||||||
| Flying Eagle Acquisition Corporation Class A (k) | 583,866 | 7,099,811 | ||||||||
| Foley Trasimene Acquisition Corporation Class A | 328,953 | 3,407,953 | ||||||||
| Foley Trasimene Acquisition Corporation II | 250,000 | 2,550,000 | ||||||||
| Fortress Value Acquisition Corporation Class A (k) | 147,199 | 1,998,962 | ||||||||
| FTAC Olympus Acquisition Corporation (b) | 462,264 | 4,622,640 | ||||||||
| Fusion Acquisition Corporation Class A | 213,484 | 2,098,548 | ||||||||
| Galileo Acquisition Corporation (b) | 112,274 | 1,111,513 | ||||||||
| GigCapital3, Inc. | 310,668 | 3,091,147 | ||||||||
| Gores Holdings IV, Inc. Class A (k) | 345,107 | 3,558,053 | ||||||||
| GS Acquisition Holdings Corporation II Class A | 95,220 | 1,024,567 | ||||||||
| GS Acquisition Holdings Corporation II | 3 | 34 | ||||||||
| Haymaker Acquisition Corporation II Class A | 893,499 | 8,934,990 | ||||||||
| Hennessy Capital Acquisition Corporation IV Class A | 87,770 | 977,758 | ||||||||
| Highcape Capital Acquisition Corporation | 181,807 | 1,839,887 | ||||||||
| HPX Corporation (b) | 49,225 | 502,095 | ||||||||
| InterPrivate Acquisition Corporation | 464,184 | 4,641,840 | ||||||||
| Jaws Acquisition Corporation Class A (b) | 242,283 | 2,522,166 | ||||||||
| Juniper Industrial Holdings, Inc. Class A | 817,774 | 8,553,916 | ||||||||
| Kensington Capital Acquisition Corporation Class A (k) | 238,467 | 3,994,322 | ||||||||
| LGL Systems Acquisition Corporation Class A | 506,660 | 5,076,733 | ||||||||
| Lionheart Acquisition Corporation II | 99,008 | 986,120 | ||||||||
| Longview Acquisition Corporation Class A | 1,560,156 | 15,320,732 | ||||||||
| Mercer Park Brand Acquisition Company Class A (b)(f) | 2,000,000 | 19,660,000 | ||||||||
| Merida Merger Corporation I | 240,205 | 2,374,426 | ||||||||
| Monocle Acquisition Corporation | 204,085 | 2,089,830 | ||||||||
| New Providence Acquisition Corporation Class A | 454,276 | 4,574,559 | ||||||||
| Oaktree Acquisition Corporation Class A (b) | 177,087 | 2,080,772 | ||||||||
| One (b) | 80,000 | 872,000 | ||||||||
| Orisun Acquisition Corporation (f) | 113,258 | 1,155,232 | ||||||||
| Osprey Technology Acquisition Corporation Class A | 166,839 | 1,700,089 | ||||||||
| Panacea Acquisition Corporation Class A (k) | 46,998 | 526,284 | ||||||||
| Pershing Square Tontine Holdings Ltd. Class A | 81,009 | 1,838,094 | ||||||||
| Pivotal Investment Corporation II Class A (k) | 121,848 | 1,404,907 | ||||||||
| PropTech Acquisition Corporation Class A | 33,082 | 368,203 | ||||||||
| QELL Acquisition Corporation (b) | 224,197 | 2,277,842 | ||||||||
| Schultze Special Purpose Acquisition Corporation (f) | 301,021 | 3,064,394 | ||||||||
| Social Capital Hedosophia Holdings Corporation III Class A (b) | 171,633 | 2,138,547 | ||||||||
| Software Acquisition Group, Inc. Class A | 567,174 | 5,649,053 | ||||||||
| Spartan Energy Acquisition Corporation Class A (k) | 137,127 | 1,977,371 | ||||||||
| Subversive Capital Acquisition Corporation Class A (b)(f)(m) | 3,038,321 | 29,988,228 | ||||||||
| Thunder Bridge Acquisition II Ltd. Class A (b) | 516,986 | 5,273,257 | ||||||||
| Tortoise Acquisition Corporation II (b) | 88,527 | 963,174 | ||||||||
| Tottenham Acquisition I Ltd. (b) | 66,234 | 718,639 | ||||||||
| Trebia Acquisition Corporation Class A (b) | 373,290 | 3,800,092 | ||||||||
| Trident Acquisitions Corporation (m) | 654,925 | 7,155,056 | ||||||||
| Tuscan Holdings Corporation (e) | 610,840 | 6,218,351 | ||||||||
| Tuscan Holdings Corporation II | 331,070 | 3,304,079 | ||||||||
| TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES (Cost $279,534,968) | 294,485,996 | |||||||||
Shares | ||||||||||
| PREFERRED STOCKS - 0.09% | ||||||||||
| WESCO International, Inc., 10.625%, Series A | 102,253 | 2,863,084 | ||||||||
| TOTAL PREFERRED STOCKS (Cost $2,714,817) | 2,863,084 | |||||||||
| CONTINGENT VALUE RIGHTS - 0.09% (a)(f) | ||||||||||
| Alder Biopharmaceuticals, Inc. | 2,217,560 | 3,049,145 | ||||||||
| Media General, Inc. (e) | 891,153 | 26,735 | ||||||||
| TOTAL CONTINGENT VALUE RIGHTS (Cost $0) | 3,075,880 | |||||||||
| RIGHTS - 0.03% (a) | ||||||||||
| Bristol-Myers Squibb Company | 453,175 | 1,019,644 | ||||||||
| TOTAL RIGHTS (Cost $1,595,530) | 1,019,644 | |||||||||
| WARRANTS - 0.29% (a) | ||||||||||
| Akazoo S.A. | ||||||||||
| Expiration: December 2024, Exercise Price: $11.50 (b)(d)(g) | 238,850 | – | ||||||||
| Apex Technology Acquisition Corporation Class A | ||||||||||
| Expiration: September 2026, Exercise Price: $11.50 | 302,250 | 586,546 | ||||||||
| B. Riley Principal Merger Corporation II Class A | ||||||||||
| Expiration: May 2026, Exercise Price: $11.50 | 134,013 | 180,918 | ||||||||
| CC Neuberger Principal Holdings I Class A | ||||||||||
| Expiration: December 2025, Exercise Price: $11.50 (b) | 7,901 | 14,222 | ||||||||
| CF Finance Acquisition Corporation Class A | ||||||||||
| Expiration: April 2025, Exercise Price: $11.50 | 293,016 | 287,156 | ||||||||
| CHP Merger Corporation Class A | ||||||||||
| Expiration: November 2024, Exercise Price: $11.50 (f) | 36,052 | 42,001 | ||||||||
| Churchill Capital Corporation II Class A | ||||||||||
| Expiration: July 2024, Exercise Price: $11.50 | 100,870 | 220,240 | ||||||||
| Churchill Capital Corporation III Class A | ||||||||||
| Expiration: March 2027, Exercise Price: $11.50 | 35,721 | 71,446 | ||||||||
| CIIG Merger Corporation Class A | ||||||||||
| Expiration: December 2026, Exercise Price: $11.50 | 157,831 | 135,735 | ||||||||
| dMY Technology Group, Inc. Class A | ||||||||||
| Expiration: February 2027, Exercise Price: $11.50 | 133,752 | 401,256 | ||||||||
| FinTech Acquisition Corporation III Class A | ||||||||||
| Expiration: December 2023, Exercise Price: $11.50 | 164,385 | 253,153 | ||||||||
| Flying Eagle Acquisition Corporation Class A | ||||||||||
| Expiration: February 2027, Exercise Price: $11.50 | 28,982 | 94,481 | ||||||||
| Foley Trasimene Acquisition Corporation Class A | ||||||||||
| Expiration: July 2025, Exercise Price: $11.50 | 109,651 | 247,811 | ||||||||
| Fortress Value Acquisition Corporation Class A | ||||||||||
| Expiration: May 2027, Exercise Price: $11.50 | 304,798 | 1,002,785 | ||||||||
| Fusion Acquisition Corporation Class A | ||||||||||
| Expiration: June 2027, Exercise Price: $11.50 | 106,742 | 116,349 | ||||||||
| Galileo Acquisition Corporation | ||||||||||
| Expiration: October 2026, Exercise Price: $11.50 (b) | 112,274 | 69,576 | ||||||||
| GigCapital3, Inc. | ||||||||||
| Expiration: July 2025, Exercise Price: $11.50 | 233,001 | 149,097 | ||||||||
| Gores Holdings IV, Inc. Class A | ||||||||||
| Expiration: January 2025, Exercise Price: $11.50 | 61,941 | 102,822 | ||||||||
| Grid Dynamics Holdings, Inc. | ||||||||||
| Expiration: September 2023, Exercise Price: $11.50 | 219,718 | 391,098 | ||||||||
| GS Acquisition Holdings Corporation II | ||||||||||
| Expiration: August 2025, Exercise Price: $11.50 | 23,805 | 51,181 | ||||||||
| Haymaker Acquisition Corporation II Class A | ||||||||||
| Expiration: October 2026, Exercise Price: $11.50 | 187,217 | 185,345 | ||||||||
| Hennessy Capital Acquisition Corporation IV Class A | ||||||||||
| Expiration: September 2025, Exercise Price: $11.50 | 65,828 | 152,063 | ||||||||
| International General Insurance Holdings Ltd. | ||||||||||
| Expiration: March 2025, Exercise Price: $11.50 (b) | 311,172 | 185,925 | ||||||||
| InterPrivate Acquisition Corporation | ||||||||||
| Expiration: October 2024, Exercise Price: $11.50 | 232,092 | 189,178 | ||||||||
| Jaws Acquisition Corporation Class A | ||||||||||
| Expiration: July 2025, Exercise Price: $11.50 (b) | 80,761 | 171,213 | ||||||||
| Juniper Industrial Holdings, Inc. Class A | ||||||||||
| Expiration: November 2026, Exercise Price: $11.50 | 408,887 | 707,375 | ||||||||
| Kensington Capital Acquisition Corporation Class A | ||||||||||
| Expiration: July 2027, Exercise Price: $11.50 | 51,100 | 229,950 | ||||||||
| KLDiscovery, Inc. | ||||||||||
| Expiration: December 2025, Exercise Price: $11.50 | 677,651 | 203,295 | ||||||||
| LGL Systems Acquisition Corporation Class A | �� | |||||||||
| Expiration: November 2026, Exercise Price: $11.50 | 253,330 | 274,863 | ||||||||
| Longview Acquisition Corporation Class A | ||||||||||
| Expiration: June 2025, Exercise Price: $11.50 | 566,735 | 549,733 | ||||||||
| Merida Merger Corporation I | ||||||||||
| Expiration: November 2026, Exercise Price: $11.50 (f) | 120,103 | 74,464 | ||||||||
| Monocle Acquisition Corporation | ||||||||||
| Expiration: June 2024, Exercise Price: $11.50 | 204,085 | 101,838 | ||||||||
| New Providence Acquisition Corporation Class A | ||||||||||
| Expiration: September 2024, Exercise Price: $11.50 | 227,138 | 274,837 | ||||||||
| Panacea Acquisition Corporation Class A | ||||||||||
| Expiration: July 2027, Exercise Price: $11.50 | 15,666 | 36,815 | ||||||||
| Pershing Square Tontine Holdings Ltd. Class A | ||||||||||
| Expiration: July 2025, Exercise Price: $23.00 | 9,001 | 64,537 | ||||||||
| Pivotal Investment Corporation II Class A | ||||||||||
| Expiration: June 2025, Exercise Price: $11.50 | 40,616 | 150,279 | ||||||||
| PropTech Acquisition Corporation Class A | ||||||||||
| Expiration: October 2026, Exercise Price: $11.50 | 36,617 | 60,132 | ||||||||
| Social Capital Hedosophia Holdings Corporation III Class A | ||||||||||
| Expiration: December 2025, Exercise Price: $11.50 (b) | 57,211 | 220,834 | ||||||||
| Software Acquisition Group, Inc. Class A | ||||||||||
| Expiration: October 2026, Exercise Price: $11.50 | 283,587 | 272,244 | ||||||||
| Thunder Bridge Acquisition II Ltd. Class A | ||||||||||
| Expiration: November 2026, Exercise Price: $11.50 (b) | 258,496 | 348,970 | ||||||||
| Trebia Acquisition Corporation Class A | ||||||||||
| Expiration: December 2025, Exercise Price: $11.50 (b) | 124,430 | 186,645 | ||||||||
| Tuscan Holdings Corporation | ||||||||||
| Expiration: April 2026, Exercise Price: $11.50 | 610,840 | 310,001 | ||||||||
| Tuscan Holdings Corporation II | ||||||||||
| Expiration: July 2025, Exercise Price: $11.50 | 165,535 | 74,491 | ||||||||
| Whole Earth Brands, Inc. | ||||||||||
| Expiration: June 2025, Exercise Price: $11.50 | 337,592 | 327,464 | ||||||||
| TOTAL WARRANTS (Cost $7,450,196) | 9,770,364 | |||||||||
Principal Amount | ||||||||||
| BANK LOANS - 1.99% (f)(i) | ||||||||||
| Advantage Sales & Marketing, Inc. | ||||||||||
| 4.250% (3 Month U.S. LIBOR + 3.250%), 7/25/2021 | $ | 11,940,000 | 11,753,438 | |||||||
| Cengage Learning Holdings II, Inc. | ||||||||||
| 5.250% (3 Month U.S. LIBOR + 4.250%), 6/7/2023 | 10,757,371 | 9,036,192 | ||||||||
| McGraw-Hill Global Education Holdings LLC | ||||||||||
| 5.000% (3 Month U.S. LIBOR + 4.000%), 5/4/2022 | 11,194,096 | 9,384,402 | ||||||||
| Refinitiv U.S. Holdings, Inc. | ||||||||||
| 3.406% (1 Month U.S. LIBOR + 3.250%), 10/1/2025 | 29,912,928 | 29,647,451 | ||||||||
| RentPath LLC | ||||||||||
| 0.000% (3 Month U.S. LIBOR + 4.750%), 12/17/2021 (l) | 9,499,000 | 6,886,775 | ||||||||
| 8.000% (1 Month U.S. LIBOR + 7.000%), 12/14/2025 | 443,691 | 414,851 | ||||||||
| TOTAL BANK LOANS (Cost $71,919,294) | 67,123,109 | |||||||||
| CORPORATE BONDS - 5.65% (f) | ||||||||||
| Avaya, Inc. | ||||||||||
| 6.125%, 9/15/2028 (h) | 150,000 | 153,750 | ||||||||
| Carvana Company | ||||||||||
| 5.625%, 10/1/2025 (h) | 500,000 | 494,375 | ||||||||
| CEC Entertainment, Inc. | ||||||||||
| 8.000%, 2/15/2022 (l) | 9,205,000 | 828,450 | ||||||||
| Cincinnati Bell, Inc. | ||||||||||
| 7.000%, 7/15/2024 (h)(k) | 2,935,000 | 3,030,402 | ||||||||
| 8.000%, 10/15/2025 (h) | 11,838,000 | 12,533,483 | ||||||||
| EIG Investors Corporation | ||||||||||
| 10.875%, 2/1/2024 (k) | 8,231,000 | 8,590,242 | ||||||||
| Gogo Intermediate Holdings LLC / Gogo Finance Company, Inc. | ||||||||||
| 9.875%, 5/1/2024 (h) | 19,353,000 | 20,724,644 | ||||||||
| Ingram Micro, Inc. | ||||||||||
| 5.450%, 12/15/2024 | 16,898,000 | 18,063,584 | ||||||||
| Lithia Motors, Inc. | ||||||||||
| 4.375%, 1/15/2031 (h) | 2,522,000 | 2,522,000 | ||||||||
| Methanex Corporation | ||||||||||
| 5.125%, 10/15/2027 (b)(k) | 250,000 | 249,063 | ||||||||
| Michaels Stores, Inc. | ||||||||||
| 4.750%, 10/1/2027 (h) | 250,000 | 248,281 | ||||||||
| Montage Resources Corporation | ||||||||||
| 8.875%, 7/15/2023 (k) | 16,034,000 | 16,334,637 | ||||||||
| Nielsen Finance LLC / Nielsen Finance Company | ||||||||||
| 5.000%, 4/15/2022 (h) | 12,171,000 | 12,213,599 | ||||||||
| Polaris Intermediate Corporation | ||||||||||
| 8.500% Cash or 9.250% Paid-in-Kind, 12/1/2022 (h)(k) | 38,319,000 | 39,037,481 | ||||||||
| QualityTech LP / QTS Finance Corporation | ||||||||||
| 3.875%, 10/1/2028 (h) | 877,000 | 881,718 | ||||||||
| Refinitiv U.S. Holdings, Inc. | ||||||||||
| 6.250%, 5/15/2026 (h) | 4,570,000 | 4,887,044 | ||||||||
| 8.250%, 11/15/2026 (h) | 25,653,000 | 28,154,167 | ||||||||
| Stars Group Holdings BV / Stars Group US Co-Borrower LLC | ||||||||||
| 7.000%, 7/15/2026 (b)(h) | 5,345,000 | 5,689,084 | ||||||||
| WPX Energy, Inc. | ||||||||||
| 5.875%, 6/15/2028 | 13,870,000 | 14,511,765 | ||||||||
| Yum! Brands, Inc. | ||||||||||
| 3.625%, 3/15/2031 (k) | 1,000,000 | 1,001,875 | ||||||||
| TOTAL CORPORATE BONDS (Cost $198,644,595) | 190,149,644 | |||||||||
Contracts (100 shares per contract) | Notional Amount | |||||||||
| PURCHASED OPTIONS - 0.17% (a) | ||||||||||
| PURCHASED CALL OPTIONS - 0.00% (a) | ||||||||||
| Maxim Integrated Products, Inc. | ||||||||||
| Expiration: February 2021, Exercise Price: $70.00 | 188 | $ | 1,271,068 | 77,644 | ||||||
| 77,644 | ||||||||||
| PURCHASED PUT OPTIONS - 0.17% (a) | ||||||||||
| DuPont de Nemours, Inc. | ||||||||||
| Expiration: October 2020, Exercise Price: $50.00 | 1,557 | 8,638,236 | 45,931 | |||||||
| Fox Corporation Class A | ||||||||||
| Expiration: October 2020, Exercise Price: $19.00 | 841 | 2,340,503 | 2,102 | |||||||
| iShares U.S. Medical Devices ETF | ||||||||||
| Expiration: January 2021, Exercise Price: $295.00 | 1,666 | 49,916,692 | 2,798,880 | |||||||
| Navistar International Corporation | ||||||||||
| Expiration: October 2020, Exercise Price: $36.00 | 1,604 | 6,983,816 | 52,130 | |||||||
| Expiration: November 2020, Exercise Price: $36.00 | 1,538 | 6,696,452 | 169,180 | |||||||
| SPDR S&P 500 ETF Trust | ||||||||||
| Expiration: October 2020, Exercise Price: $330.00 | 1,496 | 50,099,544 | 760,716 | |||||||
| Expiration: October 2020, Exercise Price: $340.00 | 1,935 | 64,801,215 | 1,868,243 | |||||||
| 5,697,182 | ||||||||||
| TOTAL PURCHASED OPTIONS (Cost $7,584,353) | 5,774,826 | |||||||||
Shares | ||||||||||
ESCROW NOTES - 5.82% (a) | ||||||||||
| Allegro Merger Corporation (f) | 167,002 | 4,259 | ||||||||
| Altaba, Inc. (f) | 8,654,190 | 195,909,226 | ||||||||
| AMR Corporation (d)(g) | 1,243,406 | 99,472 | ||||||||
| TOTAL ESCROW NOTES (Cost $125,929,504) | 196,012,957 | |||||||||
| SHORT-TERM INVESTMENTS - 27.05% | ||||||||||
| MONEY MARKET FUNDS - 27.05% (c) | ||||||||||
| Fidelity Institutional Government Portfolio, Institutional Share Class, 0.01% | 164,849,000 | 164,849,000 | ||||||||
| First American Government Obligations Fund, Institutional Share Class, 0.07% | 164,849,000 | 164,849,000 | ||||||||
| Goldman Sachs Government Fund, Institutional Share Class, 0.00% | 164,849,000 | 164,849,000 | ||||||||
| The Government & Agency Portfolio, Institutional Share Class, 0.02% | 164,849,000 | 164,849,000 | ||||||||
| JPMorgan U.S. Government Money Market Fund, Institutional Share Class, 0.07% | 164,849,000 | 164,849,000 | ||||||||
| Morgan Stanley Institutional Liquidity Fund - Government Portfolio, Institutional Share Class, 0.02% | 86,330,583 | 86,330,583 | ||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $910,575,583) | 910,575,583 | |||||||||
| TOTAL LONG INVESTMENTS (Cost $3,105,297,419) - 94.46% | 3,179,845,247 | |||||||||
| INVESTMENT OF CASH COLLATERAL FROM SECURITIES LOANED - 3.51% | ||||||||||
| SHORT-TERM FUND - 3.51% (c) | ||||||||||
Mount Vernon Liquid Asset Portfolio LLC, 0.18% | 118,023,908 | 118,023,908 | ||||||||
| TOTAL SHORT-TERM FUND - (Cost $118,023,908) | 118,023,908 | |||||||||
| TOTAL INVESTMENT OF CASH COLLATERAL FROM SECURITIES LOANED (Cost $118,023,908) - 3.51% | ||||||||||
| TOTAL NET INVESTMENTS | ||||||||||
| (Cost $3,223,321,327) - 97.97% | 3,297,869,155 | |||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES - 2.03% | 68,407,128 | |||||||||
| TOTAL NET ASSETS - 100.00% | $ | 3,366,276,283 | ||||||||
| ADR | - American Depository Receipt | ||||||
| ETF | - Exchange-Traded Fund | ||||||
| LIBOR | - London Interbank Offered Rate | ||||||
| plc | - Public Limited Company | ||||||
| REITs | - Real Estate Investment Trusts | ||||||
| (a) | Non-income producing security. | ||||||
| (b) | Foreign security. | ||||||
| (c) | The rate quoted is the annualized seven-day yield as of September 30, 2020. | ||||||
| (d) | Security fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees. | ||||||
| (e) | All or a portion of the shares have been committed as collateral for open securities sold short, written option contracts, swap contracts, and forward currency exchange contracts. | ||||||
| (f) | Level 2 Security. Please see footnote (n) on the Schedule of Investments for more information. | ||||||
| (g) | Level 3 Security. Please see footnote (n) on the Schedule of Investments for more information. | ||||||
| (h) | 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 3.88% of total net assets. | ||||||
| (i) | The coupon rate shown on variable rate securities represents the rate as of September 30, 2020. | ||||||
| (j) | This security is held in connection with a written option contract. | ||||||
| (k) | All or a portion of the shares was out on loan at September 30, 2020. Total loaned securities had a value of $116,567,610 at September 30, 2020. | ||||||
| (l) | Default or other conditions exist and the security is not presently accruing income. | ||||||
| (m) | Affiliated Issuer. Please see below note for more information. | ||||||
| Under section 2(a)(3) of the Act, an investment company is defined as being an affiliated person of a company if it owns five percent or more of a company’s outstanding voting stock. | |||||||
| Investments in affiliated companies for the Fund for the period January 1, 2020 to September 30, 2020, are shown below: | |||||||
| Name of issuer | Number of shares held at December 31, 2019 | Gross additions | Gross reductions | Number of shares held at September 30, 2020 | ||||
| Subversive Capital Acquisition Corporation Class A | - | 3,038,321 | - | 3,038,321 | ||||
| Trident Acquisitions Corporation | 654,925 | - | - | 654,925 | ||||
Value at September 30, 2020 | Amount of dividends for the period | Net increase in unrealized appreciation for the period | Realized capital gain (loss) for the period | |||||||||
| Subversive Capital Acquisition Corporation Class A | $ | 29,988,228 | $ | - | $ | 504,623 | $ | - | ||||
| Trident Acquisitions Corporation | 7,155,056 | - | 568,396 | - | ||||||||
| (n) | 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 | ||||||||||||||||
| Common Stocks* | $ | 1,380,524,011 | $ | 118,470,149 | $ | - | $ | 1,498,994,160 | ||||||||
| Special Purpose Acquisition Companies | 224,910,396 | 69,575,600 | - | 294,485,996 | ||||||||||||
| Preferred Stocks | 2,863,084 | - | - | 2,863,084 | ||||||||||||
| Contingent Value Rights | - | 3,075,880 | - | 3,075,880 | ||||||||||||
| Rights | 1,019,644 | - | - | 1,019,644 | ||||||||||||
| Warrants | 9,653,899 | 116,465 | - | **** | 9,770,364 | |||||||||||
| Bank Loans | - | 67,123,109 | - | 67,123,109 | ||||||||||||
| Corporate Bonds | - | 190,149,644 | - | 190,149,644 | ||||||||||||
| Purchased Option Contracts | 5,774,826 | - | - | 5,774,826 | ||||||||||||
| Escrow Notes | - | 195,913,485 | 99,472 | 196,012,957 | ||||||||||||
| Short-Term Investments | 910,575,583 | - | - | 910,575,583 | ||||||||||||
| Investments Purchased with the Cash Proceeds from Securities Lending*** | - | - | - | 118,023,908 | ||||||||||||
| Swap Contracts** | - | 8,914,413 | - | 8,914,413 | ||||||||||||
| Total | $ | 2,535,321,443 | $ | 653,338,745 | $ | 99,472 | $ | 3,306,783,568 | ||||||||
| Liabilities | ||||||||||||||||
| Written Option Contracts | $ | (4,066,447 | ) | - | **** | $ | - | $ | (4,066,447 | ) | ||||||
| Forward Currency Exchange Contracts** | - | (7,799,443 | ) | - | (7,799,443 | ) | ||||||||||
| Swap Contracts** | - | (38,542,794 | ) | - | (38,542,794 | ) | ||||||||||
| Total | $ | (4,066,447 | ) | $ | (46,342,237 | ) | $ | - | $ | (50,408,684 | ) | |||||
| * | Please refer to the Schedules of Investments to view long/short common stocks segregated by industry type. | ||||||||||
| ** | Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument by counterparty. | ||||||||||
| *** | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been characterized | ||||||||||
| in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the | |||||||||||
| amount presented in the Statement of Assets and Liabilities. See footnote (n) for additional information regarding securities lending activity. | |||||||||||
| **** | Amount less than $0.50. | ||||||||||
| 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 $99,472. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs as described in footnote (n). The appropriateness of fair values for these securities is monitored by the Valuation Group on an ongoing basis. |
| Level 3 Reconciliation Disclosure |
| The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. |
Description | Warrants | Escrow Notes | Total Investment | |||||||||
Balance as of December 31, 2019 | $ | - | $ | 285,983 | $ | 285,983 | ||||||
| Purchases on Investments | - | - | - | |||||||||
| (Sales) of Investments | - | - | * | - | * | |||||||
| Realized (Gain) Loss | - | (78,693 | ) | (78,693 | ) | |||||||
| Transfers Into Level 3 | - | * | - | - | * | |||||||
| (Transfer Out) of Level 3 | - | - | - | |||||||||
| Change in Unrealized Appreciation (Depreciation) | - | (107,818 | ) | (107,818 | ) | |||||||
Balance as of September 30, 2020 | $ | - | * | $ | 99,472 | $ | 99,472 | |||||
Change in unrealized appreciation (depreciation) during the period for Level 3 investments held at September 30, 2020 | $ | (110,155 | ) | $ | (186,511 | ) | $ | (296,666 | ) | |||
*Amount less than $0.50. | ||||||||||||
| The realized and unrealized gains and losses from Level 3 transactions are included with the net realized gain (loss) on investments and net change in unrealized appreciation (depreciation) on investments on the Statement of Operations, respectively. The net change in unrealized appreciation on investments related to Level 3 securities held by the Fund at September 30, 2020 totals $(107,818). |
| Significant unobservable valuation inputs monitored by the Valuation Group under the supervision of the Board of Trustees for restricted securities or material Level 3 investments as of September 30, 2020 for Fund are as follows: |
| Description | Fair Value at September 30, 2020 | Valuation Technique | Unobservable Input | |||||
| Warrant | $ | - | * | Projected Final Exercise Price** | Value of Final Exercise Price | |||
| * | Amount less than $0.50. | |||||||||
| ** | Based on the evaluation of the likelihood that the warrant is exercised, the security is being priced at zero. | |||||||||
| The table above does not include certain Level 3 investments that are valued by brokers. At September 30, 2020, the net value of these securities for the Fund were $99,472. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in footnote (n). | |||||
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. | |||||
| The Merger Fund | ||||||||
| SCHEDULE OF INVESTMENTS | ||||||||
| Open Written Options | ||||||||
| September 30, 2020 (Unaudited) | ||||||||
Contracts (100 shares per contract) | Notional Amount | Value | ||||||
| WRITTEN CALL OPTIONS | ||||||||
| Analog Devices, Inc. | ||||||||
| Expiration: January 2021, Exercise Price: $115.00 | (118) | $ | (1,377,532) | $ | (109,740) | |||
| DuPont de Nemours, Inc. | ||||||||
| Expiration: October 2020, Exercise Price: $55.00 | (1,557) | (8,638,236) | (313,735) | |||||
| Fox Corporation Class A | ||||||||
| Expiration: October 2020, Exercise Price: $23.00 | (841) | (2,340,503) | (420,500) | |||||
| Immunomedics, Inc. | ||||||||
| Expiration: October 2020, Exercise Price: $90.00 | (8) | (68,024) | (40) | |||||
| Expiration: November 2020, Exercise Price: $90.00 | (127) | (1,079,881) | (318) | |||||
| Momenta Pharmaceuticals, Inc. | ||||||||
| Expiration: December 2020, Exercise Price: $55.00 | (6,840) | (35,896,320) | (17,100) | |||||
| Navistar International Corporation | ||||||||
| Expiration: October 2020, Exercise Price: $40.00 | (1,604) | (6,983,816) | (701,750) | |||||
| Expiration: November 2020, Exercise Price: $42.00 | (1,538) | (6,696,452) | (438,330) | |||||
| Principia Biopharma, Inc. | ||||||||
| Expiration: November 2020, Exercise Price: $100.00 (a) | (1,275) | (12,750,000) | - | |||||
| SPDR S&P 500 ETF Trust | ||||||||
| Expiration: November 2020, Exercise Price: $350.00 | (3,034) | (101,605,626) | (1,618,639) | |||||
| Varian Medical Systems, Inc. | ||||||||
| Expiration: November 2020, Exercise Price: $175.00 | (1,261) | (21,689,200) | (107,185) | |||||
| Virtusa Corporation | ||||||||
| Expiration: October 2020, Exercise Price: $55.00 | (300) | (1,474,800) | (750) | |||||
| (3,728,087) | ||||||||
| WRITTEN PUT OPTIONS | ||||||||
| SPDR S&P 500 ETF Trust | ||||||||
| Expiration: October 2020, Exercise Price: $310.00 | (880) | (29,470,320) | (111,760) | |||||
| Expiration: October 2020, Exercise Price: $320.00 | (880) | (29,470,320) | (226,600) | |||||
| (338,360) | ||||||||
| TOTAL WRITTEN OPTIONS | ||||||||
| (Premiums received $6,555,482) | $ | (4,066,447) | ||||||
| ETF - Exchange-Traded Fund | ||||||||
| (a) Level 2 Security. Please see footnote (n) on the Schedule of Investments for more information. | ||||||||
| The Merger Fund | ||||||||||||||||||
| SCHEDULE OF INVESTMENTS | ||||||||||||||||||
| Forward Currency Exchange Contracts | ||||||||||||||||||
| September 30, 2020 (Unaudited) | ||||||||||||||||||
| Unrealized | ||||||||||||||||||
| Settlement | USD Value at | USD Value at | Appreciation | |||||||||||||||
| Date | Counterparty | Currency to be Delivered | September 30, 2020 | Currency to be Received | September 30, 2020 | (Depreciation)* | ||||||||||||
| 11/17/2020 | JPM | 56,498,807 | CAD | $ | 42,436,912 | 42,862,813 | USD | $ | 42,862,813 | $ | 425,901 | |||||||
| 12/4/2020 | JPM | 58,604,993 | CHF | 63,751,838 | 64,553,508 | USD | 64,553,508 | 801,670 | ||||||||||
| 10/8/2020 | GS | 9,738,136 | EUR | 11,419,326 | 11,103,799 | USD | 11,103,799 | (315,527) | ||||||||||
| 10/8/2020 | JPM | 2,416,235 | EUR | 2,833,373 | 2,732,991 | USD | 2,732,991 | (100,382) | ||||||||||
| 11/18/2020 | GS | 27,470,033 | EUR | 32,240,454 | 30,981,527 | USD | 30,981,527 | (1,258,927) | ||||||||||
| 3/17/2021 | GS | 4,526,145 | EUR | 5,327,630 | 4,941,842 | USD | 4,941,842 | (385,788) | ||||||||||
| 3/17/2021 | JPM | 140,958,189 | EUR | 165,918,921 | 159,018,222 | USD | 159,018,222 | (6,900,699) | ||||||||||
| 3/17/2021 | JPM | 77,952,515 | USD | 77,952,515 | 66,686,008 | EUR | 78,494,698 | 542,183 | ||||||||||
| 12/10/2020 | JPM | 8,417,149 | GBP | 10,865,918 | 10,735,737 | USD | 10,735,737 | (130,181) | ||||||||||
| 5/12/2021 | GS | 848,658 | GBP | 1,096,470 | 1,091,442 | USD | 1,091,442 | (5,028) | ||||||||||
| 11/4/2020 | JPM | 44,380,033 | HKD | 5,725,601 | 5,716,739 | USD | 5,716,739 | (8,862) | ||||||||||
| 11/10/2020 | JPM | 40,459,802 | HKD | 5,219,752 | 5,217,485 | USD | 5,217,485 | (2,267) | ||||||||||
| 2/19/2021 | JPM | 4,261,230 | HKD | 549,552 | 549,255 | USD | 549,255 | (297) | ||||||||||
| 10/15/2020 | JPM | 5,441,549,558 | JPY | 51,604,384 | 51,120,730 | USD | 51,120,730 | (483,654) | ||||||||||
| 12/8/2020 | JPM | 1,435,910 | NZD | 949,870 | 972,285 | USD | 972,285 | 22,415 | ||||||||||
| $ | 477,892,516 | $ | 470,093,073 | $ | (7,799,443) | |||||||||||||
| CAD | - Canadian Dollar | |||||||||||||||||
| CHF | - Swiss Franc | |||||||||||||||||
| EUR | - Euro | |||||||||||||||||
| GBP | - British Pound | |||||||||||||||||
| GS | - Goldman, Sachs & Co. | |||||||||||||||||
| HKD | - Hong Kong Dollar | |||||||||||||||||
| JPM | - JPMorgan Chase & Co., Inc. | |||||||||||||||||
| JPY | - Japanese Yen | |||||||||||||||||
| NZD | - New Zealand Dollar | |||||||||||||||||
| USD | - U.S. Dollar | |||||||||||||||||
| * | Net unrealized appreciation (depreciation) is a receivable (payable). | |||||||||||||||||
| The Merger Fund | |||||||||||
| SCHEDULE OF INVESTMENTS | |||||||||||
| Open Swap Contracts* | |||||||||||
| September 30, 2020 (Unaudited) | |||||||||||
| Unrealized | |||||||||||
| Pay/Receive on | Financing | Payment | Notional | Appreciation | |||||||
Counterparty | Security | Termination Date | Financing Rate | Rate | Frequency | Shares | Amount | (Depreciation)** | |||
| LONG TOTAL RETURN SWAP CONTRACTS | |||||||||||
| BAML | Bristol-Myers Squibb Company | 11/21/2020 | Pay | 0.000%(1) | Monthly | 361,933 | $ | – | (1) | $ | 814,349 |
| JPM | Changshouhua Food Company Ltd. | 9/16/2021 | Pay | 0.400% + 3 Month U.S. LIBOR | Quarterly | 1,017,000 | 524,930 | 1,218 | |||
| BAML | Faurecia S.E. | 2/24/2021 | Pay | 0.450% + 1 Month U.S. LIBOR | Monthly | 55,915 | 2,320,221 | 99,662 | |||
| BAML | Fiat Chrysler Automobiles N.V. | 11/15/2020 | Pay | 0.444% + 1 Month U.S. LIBOR | Monthly | 6,463,148 | 76,430,057 | 2,883,322 | |||
| GS | G4S plc | 9/21/2021 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 404,123 | 981,760 | 62,729 | |||
| GS | GrandVision N.V. | 1/7/2021 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 966,574 | 29,067,393 | (2,044,914) | |||
| JPM | Groupe Bruxelles Lambert S.A. | 7/20/2021 | Pay | 0.400% + 3 Month U.S. LIBOR | Quarterly | 108,734 | 9,441,329 | 369,805 | |||
| JPM | Haudian Fuxin Energy Corporation Ltd. | 7/20/2021 | Pay | 0.400% + 3 Month U.S. LIBOR | Quarterly | 17,752,013 | 5,540,851 | 184,666 | |||
| GS | Ingenico Group | 5/21/2021 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 530,084 | 84,234,133 | (2,024,337) | |||
| JPM | Keihin Corporation | 7/20/2021 | Pay | 0.400% + 3 Month U.S. LIBOR | Quarterly | 647,176 | 15,326,172 | 568,821 | |||
| JPM | Leyou Technologies Holdings Ltd. | 7/20/2021 | Pay | 0.400% + 3 Month U.S. LIBOR | Quarterly | 12,691,584 | 5,053,946 | 267,009 | |||
| JPM | Metlifecare Ltd. | 7/20/2021 | Pay | 0.400% + 3 Month U.S. LIBOR | Quarterly | 205,130 | 793,209 | 14,000 | |||
| GS | NetEnt AB | 6/30/2021 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 1,315,550 | 10,963,676 | 271,872 | |||
| JPM | Nissin Kogyo Company Ltd. | 7/20/2021 | Pay | 0.400% + 3 Month U.S. LIBOR | Quarterly | 736,680 | 15,154,873 | 508,248 | |||
| BAML | Northview Apartment Real Estate Investment Trust | 5/4/2021 | Pay | 0.700% + 1 Month U.S. LIBOR | Monthly | 1,558,641 | 39,072,843 | 3,081,916 | |||
| JPM | Qiagen N.V. | 7/23/2021 | Pay | 0.400% + 3 Month U.S. LIBOR | Quarterly | 67,200 | 3,269,539 | 241,388 | |||
| BAML | Qiagen N.V. | 7/27/2021 | Pay | 0.450% + 1 Month U.S. LIBOR | Monthly | 1,461,405 | 71,632,165 | 4,648,577 | |||
| BAML | Qiagen N.V. | 9/4/2021 | Pay | 0.450% + 1 Month U.S. LIBOR | Monthly | 325,985 | 15,438,650 | 1,595,005 | |||
| JPM | SHOWA Corporation | 7/20/2021 | Pay | 0.400% + 3 Month U.S. LIBOR | Quarterly | 911,396 | 19,092,563 | 708,671 | |||
| BAML | Sunrise Communications Group | 8/12/2021 | Pay | 0.450% + 1 Month U.S. LIBOR | Monthly | 532,858 | 63,674,998 | (624,394) | |||
| JPM | Unilever N.V. | 8/6/2021 | Pay | 0.372% + 3 Month U.S. LIBOR | Quarterly | 1,680,634 | 98,640,880 | 2,822,233 | |||
| JPM | William Hill plc | 9/25/2021 | Pay | 0.300% + 3 Month U.S. LIBOR | Quarterly | 2,749,781 | 10,201,174 | (337,361) | |||
| SHORT TOTAL RETURN SWAP CONTRACTS | |||||||||||
| JPM | American Airlines Group, Inc. | 7/20/2021 | Pay | (0.600)% + U.S. Federal Funds | Quarterly | (11,395) | (130,701) | (9,374) | |||
| BAML | Analog Devices, Inc. | 7/30/2021 | Pay | (0.400)% + 1 Month U.S. LIBOR | Monthly | (820,480) | (95,736,128) | (52,440) | |||
| GS | Aon plc | 3/19/2021 | Pay | (0.350)% + U.S. Federal Funds | Monthly | (1,033,594) | (184,404,945) | (28,834,195) | |||
| JPM | Basket of Swaps | 7/20/2021 | Pay | (0.950)% + U.S. Federal Funds | Quarterly | (81,360) | (9,194,184) | (116,100) | |||
| GS | BorgWarner, Inc. | 5/11/2021 | Pay | (0.350)% + U.S. Federal Funds | Monthly | (864,712) | (27,286,839) | (6,212,444) | |||
| GS | The Charles Schwab Corporation | 12/5/2020 | Pay | (0.350)% + U.S. Federal Funds | Monthly | (3,206,976) | (135,039,474) | 18,837,259 | |||
| GS | Chevron Corporation | 8/17/2021 | Pay | (0.350)% + U.S. Federal Funds | Monthly | (36,894) | (3,348,131) | 691,453 | |||
| GS | Evolution Gaming Group AB | 6/30/2021 | Pay | (0.350)% + U.S. Federal Funds | Monthly | (171,932) | (11,167,706) | (251,837) | |||
| BAML | Just Eat Takeaway | 8/27/2021 | Pay | (0.350)% + 1 Month U.S. LIBOR | Monthly | (783,475) | (85,924,336) | (2,208,055) | |||
| GS | Morgan Stanley | 2/28/2021 | Pay | (0.350)% + U.S. Federal Funds | Monthly | (3,259,873) | (138,741,024) | (18,878,668) | |||
| JPM | Morgan Stanely | 7/20/2021 | Pay | (0.600)% + U.S. Federal Funds | Quarterly | (8,680) | (450,145) | 30,363 | |||
| BAML | Peugeot S.A. | 11/14/2020 | Pay | (0.350)% + 1 Month U.S. LIBOR | Monthly | (3,703,176) | (69,570,057) | 2,268,629 | |||
| GS | Sunrun, Inc. | 9/8/2021 | Pay | (0.350)% + U.S. Federal Funds | Monthly | (188,956) | (11,588,262) | (2,975,154) | |||
| BAML | Teladoc Health, Inc. | 8/11/2021 | Pay | (0.400)% + 1 Month U.S. LIBOR | Monthly | (212,419) | (41,154,313) | (5,417,832) | |||
| JPM | Unilever N.V. | 8/6/2021 | Pay | (0.332)% + U.S. Federal Funds | Quarterly | (1,680,685) | (100,151,329) | (3,427,913) | |||
| GS | Worldline S.A. | 5/21/2021 | Pay | (0.350)% + U.S. Federal Funds | Monthly | (832,876) | (71,292,825) | 2,815,442 | |||
| $ | (29,628,381) | ||||||||||
| BAML | - Bank of America Merrill Lynch & Co., Inc. | ||||||||||
| GS | - Goldman, Sachs & Co. | ||||||||||
| JPM | - JPMorgan Chase & Co., Inc. | ||||||||||
| LIBOR | - London Interbank Offered Rate | ||||||||||
| plc | - Public Limited Company | ||||||||||
| U.S. Federal Funds | - U.S. Federal Funds Effective 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). | |||||
(1) | Security held is the direct result of a corporate action. There is no associated financing rate and the security is held with a zero cost basis. | |||||
