| The Merger Fund | ||||||||||
| SCHEDULE OF INVESTMENTS | ||||||||||
| September 30, 2021 (Unaudited) | ||||||||||
Shares | Value | |||||||||
| LONG INVESTMENTS - 97.14% | ||||||||||
| COMMON STOCKS - 50.40% | ||||||||||
| AEROSPACE & DEFENSE - 1.30% | ||||||||||
| Aerojet Rocketdyne Holdings, Inc. | 1,273,167 | $ | 55,446,423 | |||||||
| APPLICATION SOFTWARE - 0.56% | ||||||||||
| Five9, Inc. (a) | 147,916 | 23,628,102 | ||||||||
| BIOTECHNOLOGY - 0.94% | ||||||||||
| Acceleron Pharma, Inc. (a) | 97,311 | 16,747,223 | ||||||||
| Trillium Therapeutics, Inc. - ADR (a) | 1,316,118 | 23,111,032 | ||||||||
| 39,858,255 | ||||||||||
| CAPITAL MARKETS - 0.01% | ||||||||||
| MarketWise, Inc. (a) | 65,608 | 541,922 | ||||||||
| CHEMICALS - 1.21% | ||||||||||
| Atotech Ltd. - ADR (a) | 1,307,436 | 31,574,579 | ||||||||
| Ferro Corporation (a) | 970,684 | 19,743,713 | ||||||||
| 51,318,292 | ||||||||||
| COMMERCIAL SERVICES- FINANCE - 0.00% | ||||||||||
| Moneylion, Inc. (a) | 4,891 | 33,112 | ||||||||
| COMMERICAL BANKS - 0.13% | ||||||||||
| Flagstar Bancorp, Inc. | 107,110 | 5,439,046 | ||||||||
| CONSTRUCTION MATERIALS - 0.45% | ||||||||||
| Forterra, Inc. (a) | 804,911 | 18,963,703 | ||||||||
| DIVERSIFIED METALS & MINING - 1.97% | ||||||||||
| BHP Group plc - ADR | 1,654,536 | 83,868,430 | ||||||||
| ELECTRIC UTILITIES - 1.19% | ||||||||||
| PNM Resources, Inc. | 1,019,281 | 50,434,024 | ||||||||
| ELECTRONIC EQUIPMENT & INSTRUMENTS - 4.45% | ||||||||||
| Coherent, Inc. (a)(e) | 757,032 | 189,326,133 | ||||||||
| ENTERTAINMENT - 0.57% | ||||||||||
| MGM Holdings, Inc. (a)(g) | 131,269 | 17,590,046 | ||||||||
| Sciplay Corporation (a) | 321,515 | 6,652,145 | ||||||||
| 24,242,191 | ||||||||||
| FOOD PRODUCTS - 1.57% | ||||||||||
| Sanderson Farms, Inc. | 356,095 | 67,017,079 | ||||||||
| HEALTH CARE EQUIPMENT & SUPPLIES - 1.68% | ||||||||||
| Hill-Rom Holdings, Inc. | 447,817 | 67,172,550 | ||||||||
| Intersect ENT, Inc. (a) | 166,149 | 4,519,253 | ||||||||
| 71,691,803 | ||||||||||
| HEALTH CARE PROVIDERS & SERVICES - 0.03% | ||||||||||
| ATI Physical Therapy, Inc. (a) | 306,157 | 1,163,397 | ||||||||
| HEALTH CARE TECHNOLOGY - 1.28% | ||||||||||
| Change Healthcare, Inc. (a)(e) | 1,730,399 | 36,234,555 | ||||||||
| Convey Holding Parent, Inc. (a) | 3,901 | 32,769 | ||||||||
| Inovalon Holdings, Inc. (a) | 453,756 | 18,281,829 | ||||||||
| 54,549,153 | ||||||||||
| HUMAN RESOURCES & EMPLOYMENT SERVICES - 0.64% | ||||||||||
| 51job, Inc. - ADR (a) | 393,386 | 27,352,129 | ||||||||
| INTERNET & DIRECT MARKETING RETAIL - 1.02% | ||||||||||
| Stamps.com, Inc. (a) | 132,116 | 43,570,536 | ||||||||
| IT SERVICES - 0.07% | ||||||||||
| Afterpay Ltd. - ADR (a) | 31,705 | 2,781,480 | ||||||||
| LIFE & HEALTH INSURANCE - 2.41% | ||||||||||
| Athene Holding Ltd. - ADR (a) | 1,489,734 | 102,597,981 | ||||||||
| Oscar Health, Inc. Class A (a) | 500 | 8,695 | ||||||||
| 102,606,676 | ||||||||||
| LIFE SCIENCES TOOLS & SERVICES - 3.59% | ||||||||||
| PPD, Inc. (a)(e) | 3,268,854 | 152,949,679 | ||||||||
| MACHINERY - 0.81% | ||||||||||
| Welbilt, Inc. (a) | 1,487,326 | 34,565,456 | ||||||||
| MULTI-LINE INSURANCE - 0.58% | ||||||||||
| The Hartford Financial Services Group, Inc. (j) | 349,090 | 24,523,572 | ||||||||
| NON-HAZARDOUS WASTE DISPOSAL - 0.25% | ||||||||||
| Covanta Holding Corporation | 520,238 | 10,467,188 | ||||||||
| OIL, GAS & CONSUMABLE FUELS - 0.01% | ||||||||||
| Cimarex Energy Company | 4,166 | 363,275 | ||||||||
| PAPER & FOREST PRODUCTS - 0.67% | ||||||||||
| Domtar Corporation (a) | 524,279 | 28,594,177 | ||||||||
| PHARMACEUTICALS - 0.16% | ||||||||||
| Tilray, Inc. (a) | 86,327 | 974,632 | ||||||||
| TPCO Holding Corporation - ADR (a) | 1,816,240 | 5,793,805 | ||||||||
| 6,768,437 | ||||||||||
| RAILROADS - 4.13% | ||||||||||
| Kansas City Southern | 648,877 | 175,612,071 | ||||||||
| REGIONAL BANKS - 0.76% | ||||||||||
| Cadence BanCorporation (a)(e) | 1,479,403 | 32,487,690 | ||||||||
| REITs - 0.18% | ||||||||||
| Columbia Property Trust, Inc. | 410,059 | 7,799,322 | ||||||||
| RESEARCH & CONSULTING SERVICES - 5.56% | ||||||||||
| IHS Markit Ltd. - ADR | 2,029,575 | 236,689,036 | ||||||||
| RETAIL-AUTOMOBILE - 0.12% | ||||||||||
| Cazoo Group Ltd. - ADR (a) | 659,860 | 5,127,112 | ||||||||
| SEMICONDUCTORS - 4.70% | ||||||||||
| Advanced Micro Devices, Inc. (a) | 72,772 | 7,488,239 | ||||||||
| Magnachip Semiconductor Corporation (a) | 570,852 | 10,138,332 | ||||||||
| Xilinx, Inc. (e) | 1,207,553 | 182,328,427 | ||||||||
| 199,954,998 | ||||||||||
| SOFTWARE - 6.95% | ||||||||||
| Cloudera, Inc. (a)(e) | 4,671,822 | 74,608,997 | ||||||||
| Medallia, Inc. (a) | 627,874 | 21,266,093 | ||||||||
| Nuance Communications, Inc. (a)(e) | 3,634,479 | 200,041,724 | ||||||||
| Zeta Global Holdings Corporation (a) | 4,162 | 24,389 | ||||||||
| 295,941,203 | ||||||||||
| SPECIALTY STORES - 0.45% | ||||||||||
| Sportsman's Warehouse Holdings, Inc. (a)(j) | 1,080,309 | 19,013,438 | ||||||||
| TOTAL COMMON STOCKS (Cost $2,093,397,107) | 2,144,688,540 | |||||||||
Shares/Units | ||||||||||
| SPECIAL PURPOSE ACQUISITION COMPANIES - 11.97% (a) | ||||||||||
| 26 Capital Acquisition Corporation | 122,000 | 1,227,320 | ||||||||
| 890 5th Avenue Partners, Inc. Class A | 353,544 | 3,503,621 | ||||||||
| Accelerate Acquisition Corporation Class A | 604,200 | 5,878,866 | ||||||||
| ACE Convergence Acquisition Corporation Class A - ADR | 155,096 | 1,537,001 | ||||||||
| Agile Growth Corporation Class A - ADR | 210,000 | 2,041,200 | ||||||||
| Altimar Acquisition Corporation III - ADR (f) | 163,357 | 1,625,402 | ||||||||
| Altimar Acquisition Corporation III Class A - ADR | 150,000 | 1,461,000 | ||||||||
| Altimeter Growth Corporation 2 Class A - ADR | 428,263 | 4,235,521 | ||||||||
| Altitude Acquisition Corporation Class A | 481,728 | 4,740,204 | ||||||||
| Anzu Special Acquisition Corporation I | 15,412 | 152,579 | ||||||||
| Apollo Strategic Growth Capital Class A - ADR | 979,644 | 9,561,325 | ||||||||
| Apollo Strategic Growth Capital II Class A - ADR | 200,000 | 1,954,000 | ||||||||
| Archimedes Tech SPAC Partners Company | 13,489 | 134,216 | ||||||||
| Ares Acquisition Corporation - ADR | 157,500 | 1,559,282 | ||||||||
| Ares Acquisition Corporation Class A - ADR | 100,000 | 974,000 | ||||||||
| Arrowroot Acquisition Corporation Class A | 575,536 | 5,582,699 | ||||||||
| Artemis Strategic Investments Corporation | 292,987 | 2,938,660 | ||||||||
| Atlas Crest Investment Corporation II | 107,500 | 1,073,925 | ||||||||
| Austerlitz Acquisition Corporation I - ADR | 38,000 | 390,260 | ||||||||
| Austerlitz Acquisition Corporation I Class A - ADR | 782,401 | 7,777,066 | ||||||||
| Austerlitz Acquisition Corporation II - ADR | 63,000 | 620,550 | ||||||||
| Authentic Equity Acquisition Corporation - ADR | 21,600 | 216,648 | ||||||||
| Avanti Acquisition Corporation Class A - ADR | 609,156 | 5,963,637 | ||||||||
| AxonPrime Infrastructure Acquisition Corporation | 500 | 4,950 | ||||||||
| Biotech Acquisition Company - ADR | 40,000 | 402,000 | ||||||||
| BlueRiver Acquisition Corporation - ADR | 10,650 | 105,968 | ||||||||
| Bridgetown 2 Holdings Ltd. Class A - ADR | 40,000 | 396,400 | ||||||||
| Bright Lights Acquisition Corporation Class A | 32,437 | 315,936 | ||||||||
| Build Acquisition Corporation | 76,056 | 760,560 | ||||||||
| Burgundy Technology Acquisition Corporation - ADR | 60,045 | 613,660 | ||||||||
| Burgundy Technology Acquisition Corporation Class A - ADR | 1,028,951 | 10,238,062 | ||||||||
| Capstar Special Purpose Acquisition Corporation Class A | 428,525 | 4,250,968 | ||||||||
| CC Neuberger Principal Holdings II Class A - ADR | 754,616 | 7,410,329 | ||||||||
| CC Neuberger Principal Holdings III - ADR | 114,000 | 1,134,300 | ||||||||
| Cerberus Telecom Acquisition Corporation Class A - ADR (g) | 397,959 | 3,971,631 | ||||||||
| CF Acquisition Corporation VI | 55,750 | 549,137 | ||||||||
| CF Acquisition Corporation VIII | 160,000 | 1,622,400 | ||||||||
| CHP Merger Corporation (f) | 129,524 | 1,318,554 | ||||||||
| CHP Merger Corporation Class A | 304,912 | 3,055,218 | ||||||||
| Churchill Capital Corporation VII Class A | 200,000 | 1,944,000 | ||||||||
| CIIG Capital Partners II, Inc. | 337,246 | 3,399,440 | ||||||||
| Class Acceleration Corporation (f) | 11,750 | 116,325 | ||||||||
| Climate Real Impact Solutions Acquisition Corporation II | 4,860 | 48,357 | ||||||||
| Climate Real Impact Solutions Acquisition Corporation II Class A | 6,481 | 63,384 | ||||||||
| CM Life Sciences III, Inc. | 349,196 | 3,464,024 | ||||||||
| Cohn Robbins Holdings Corporation Class A - ADR | 1,092,312 | 10,726,504 | ||||||||
| Colicity, Inc. Class A | 368,445 | 3,654,974 | ||||||||
| Colonnade Acquisition Corporation II - ADR | 62,933 | 610,450 | ||||||||
| Compute Health Acquisition Corporation | 413,002 | 4,134,150 | ||||||||
| Compute Health Acquisition Corporation Class A | 300,000 | 2,931,000 | ||||||||
| Conx Corporation Class A | 613,768 | 6,014,926 | ||||||||
| Corner Growth Acquisition Corporation - ADR | 188,816 | 1,886,272 | ||||||||
| COVA Acquisition Corporation - ADR | 162,199 | 1,612,258 | ||||||||
| D & Z Media Acquisition Corporation (f) | 167,214 | 1,658,763 | ||||||||
| Decarbonization Plus Acquisition Corporation II | 27,000 | 278,640 | ||||||||
| Decarbonization Plus Acquisition Corporation III Class A | 76,000 | 763,800 | ||||||||
| Deep Lake Capital Acquisition Corporation Class A - ADR | 335,382 | 3,266,621 | ||||||||
| DFP Healthcare Acquisitions Corporation Class A | 331,952 | 3,292,964 | ||||||||
| Direct Selling Acquisition Corporation | 94,000 | 947,520 | ||||||||
| Dragoneer Growth Opportunities Corporation II Class A - ADR | 575,191 | 5,723,150 | ||||||||
| E.Merge Technology Acquisition Corporation Class A | 1,187,298 | 11,659,266 | ||||||||
| East Stone Acquisition Corporation - ADR | 147,751 | 1,507,060 | ||||||||
| ECP Environmental Growth Opportunities Corporation Class A | 736,471 | 7,276,333 | ||||||||
| EdtechX Holdings Acquisition Corporation II Class A | 98,926 | 987,281 | ||||||||
| Elliott Opportunity Corporation II - ADR | 81,448 | 824,254 | ||||||||
| Elliott Opportunity Corporation II Class A - ADR | 435,340 | 4,240,212 | ||||||||
| Environmental Impact Acquisition Corporation Class A | 230,159 | 2,276,273 | ||||||||
| Equity Distribution Acquisition Corporation Class A | 1,069,829 | 10,505,721 | ||||||||
| ESM Acquisition Corporation - ADR | 63,000 | 625,590 | ||||||||
| Eucrates Biomedical Acquisition Corporation - ADR | 927 | 9,066 | ||||||||
| FinServ Acquisition Corporation II | 6,700 | 66,062 | ||||||||
| FinTech Acquisition Corporation VI | 206,626 | 2,066,260 | ||||||||
| Fintech Evolution Acquisition Group - ADR | 270,205 | 2,669,625 | ||||||||
| FirstMark Horizon Acquisition Corporation (f) | 239,557 | 2,431,504 | ||||||||
| Foresight Acquisition Corporation Class A | 9,582 | 94,479 | ||||||||
| Fortress Capital Acquisition Corporation Class A - ADR | 344,495 | 3,369,161 | ||||||||
| FTAC Athena Acquisition Corporation Class A - ADR | 333,320 | 3,293,202 | ||||||||
| FTAC Hera Acquisition Corporation - ADR | 141,200 | 1,406,352 | ||||||||
| FTAC Parnassus Acquisition Corporation Class A | 210,779 | 2,055,095 | ||||||||
| Fusion Acquisition Corporation II | 212,300 | 2,063,556 | ||||||||
| G Squared Ascend I, Inc. - ADR | 316,031 | 3,179,272 | ||||||||
| G Squared Ascend I, Inc. Class A - ADR | 171,440 | 1,691,256 | ||||||||
| G Squared Ascend II, Inc. - ADR | 171,106 | 1,719,615 | ||||||||
| GigCapital4, Inc. | 428,659 | 4,226,578 | ||||||||
| Goal Acquisitions Corporation | 564,935 | 5,491,168 | ||||||||
| Golden Falcon Acquisition Corporation Class A | 345,674 | 3,370,321 | ||||||||
| Gores Holdings VIII, Inc. | 4,908 | 48,197 | ||||||||
| Gores Technology Partners II, Inc. Class A | 49,193 | 481,108 | ||||||||
| Gores Technology Partners, Inc. Class A | 142,429 | 1,398,653 | ||||||||
| Graf Acquisition Corporation IV | 222,759 | 2,200,859 | ||||||||
| GS Acquisition Holdings Corporation II Class A | 752,426 | 7,689,794 | ||||||||
| Haymaker Acquisition Corporation III (f) | 334,161 | 3,298,169 | ||||||||
| Healthcare Services Acquisition Corporation Class A | 450,508 | 4,383,443 | ||||||||
| Hennessy Capital Investment Corporation V | 8,400 | 85,344 | ||||||||
| Highland Transcend Partners Corporation I - ADR | 20,847 | 217,851 | ||||||||
| Horizon Acquisition Corporation II Class A - ADR | 187,671 | 1,839,176 | ||||||||
| HPX Corporation Class A - ADR | 49,224 | 484,364 | ||||||||
| Hudson Executive Investment Corporation II | 17,300 | 171,962 | ||||||||
| Independence Holdings Corporation - ADR | 113,012 | 1,126,730 | ||||||||
| InterPrivate II Acquisition Corporation (f) | 63,494 | 627,321 | ||||||||
| InterPrivate III Financial Partners, Inc. Class A | 63,490 | 628,868 | ||||||||
| InterPrivate IV InfraTech Partners, Inc. | 16,373 | 161,520 | ||||||||
| Investindustrial Acquisition Corporation Class A - ADR | 213,552 | 2,120,571 | ||||||||
| Isleworth Healthcare Acquisition Corporation | 151,468 | 1,488,930 | ||||||||
| Isos Acquisition Corporation Class A - ADR | 210,099 | 2,096,788 | ||||||||
| Jack Creek Investment Corporation - ADR | 116,600 | �� | 1,171,830 | |||||||
| Jaws Hurricane Acquisition Corporation Class A (f) | 50,791 | 493,689 | ||||||||
| Jaws Juggernaut Acquisition Corporation - ADR (f) | 295,167 | 2,951,670 | ||||||||
| Jaws Mustang Acquisition Corporation - ADR | 36,600 | 367,464 | ||||||||
| Jaws Mustang Acquisition Corporation Class A - ADR | 345,194 | 3,369,093 | ||||||||
| Kensington Capital Acquisition Corporation V - ADR | 169,255 | 1,726,401 | ||||||||
| Khosla Ventures Acquisition Company | 121,524 | 1,199,442 | ||||||||
| Khosla Ventures Acquisition Company III Class A | 388,928 | 3,811,494 | ||||||||
| Kismet Acquisition Three Corporation Class A - ADR | 190,637 | 1,856,804 | ||||||||
| KKR Acquisition Holdings Corporation I | 424,235 | 4,233,865 | ||||||||
| KL Acquisition Corporation Class A | 622,584 | 6,082,646 | ||||||||
| KludeIn I Acquisition Corporation (f) | 32,000 | 320,320 | ||||||||
| L Catterton Asia Acquisition Corporation Class A - ADR | 69,923 | 680,351 | ||||||||
| Landcadia Holdings IV, Inc. Class A | 434,726 | 4,234,231 | ||||||||
| Lazard Growth Acquisition Corporation I Class A - ADR | 50,000 | 486,500 | ||||||||
| Lerer Hippeau Acquisition Corporation Class A (f) | 205,384 | 1,998,386 | ||||||||
| Lionheart Acquisition Corporation II Class A | 428,521 | 4,248,786 | ||||||||
| Live Oak Crestview Climate Acquisition Corporation | 430,057 | 4,218,859 | ||||||||
| Longview Acquisition Corporation II Class A | 426,920 | 4,222,239 | ||||||||
| M3-Brigade Acquisition Corporation II Class A | 349,688 | 3,465,408 | ||||||||
| Macondray Capital Acquisition Corporation I - ADR | 191,600 | 1,912,168 | ||||||||
| Magnum Opus Acquisition Ltd. Class A - ADR | 83,352 | 824,351 | ||||||||
| Marlin Technology Corporation Class A - ADR | 661,635 | 6,457,558 | ||||||||
| Marquee Raine Acquisition Corporation Class A - ADR | 55,482 | 554,265 | ||||||||
| Mason Industrial Technology, Inc. | 197,230 | 1,962,438 | ||||||||
| Medicus Sciences Acquisition Corporation Class A - ADR | 164,000 | 1,599,000 | ||||||||
| Merida Merger Corporation I | 135,812 | 1,356,762 | ||||||||
| Montes Archimedes Acquisition Corporation Class A (g) | 202,264 | 2,018,595 | ||||||||
| Motive Capital Corporation Class A - ADR | 634,461 | 6,281,164 | ||||||||
| The Music Acquisition Corporation | 205,000 | 2,058,200 | ||||||||
| New Vista Acquisition Corporation Class A - ADR (f) | 76,113 | 740,579 | ||||||||
| Newbury Street Acquisition Corporation (f) | 62,108 | 611,764 | ||||||||
| NextGen Acquisition Corporation II Class A - ADR | 207,714 | 2,058,446 | ||||||||
| Noble Rock Acquisition Corporation - ADR (f) | 18,600 | 184,140 | ||||||||
| Northern Genesis Acquisition Corporation II | 10,400 | 106,704 | ||||||||
| Northern Genesis Acquisition Corporation III Class A (f) | 91,506 | 888,523 | ||||||||
| Novus Capital Corporation II | 32,200 | 330,694 | ||||||||
| Pathfinder Acquisition Corporation Class A - ADR | 370,605 | 3,661,577 | ||||||||
| Peridot Acquisition Corporation II - ADR | 176,260 | 1,737,924 | ||||||||
| Peridot Acquisition Corporation II Class A - ADR | 119,905 | 1,164,278 | ||||||||
| Pershing Square Tontine Holdings Ltd. Class A | 122,417 | 2,411,615 | ||||||||
| Pioneer Merger Corporation Class A - ADR | 436,650 | 4,335,935 | ||||||||
| Pivotal Investment Corporation III | 54,665 | 540,090 | ||||||||
| Pontem Corporation Class A - ADR | 403,899 | 3,921,859 | ||||||||
| Post Holdings Partnering Corporation Class A | 420,506 | 4,053,678 | ||||||||
| Power & Digital Infrastructure Acquisition Corporation | 7,600 | 81,928 | ||||||||
| Prime Impact Acquisition I - ADR (f) | 3,935 | 38,957 | ||||||||
| Prime Impact Acquisition I Class A - ADR | 454,200 | 4,460,244 | ||||||||
| Progress Acquisition Corporation | 6,819 | 68,190 | ||||||||
| Property Solutions Acquisition Corporation II | 130,444 | 1,283,569 | ||||||||
| Prospector Capital Corporation Class A - ADR | 465,264 | 4,540,977 | ||||||||
| Queen's Gambit Growth Capital Class A - ADR | 525,881 | 5,190,445 | ||||||||
| RedBall Acquisition Corporation Class A - ADR | 336,495 | 3,311,111 | ||||||||
| Reinvent Technology Partners Class A - ADR | 520,508 | 5,168,644 | ||||||||
| RMG Acquisition Corporation III Class A - ADR | 425,900 | 4,144,007 | ||||||||
| Rocket Internet Growth Opportunities Corporation - ADR (f) | 372,661 | 3,696,797 | ||||||||
| Ross Acquisition Corporation II - ADR | 11,064 | 110,197 | ||||||||
| ScION Tech Growth II - ADR | 80,650 | 801,661 | ||||||||
| Senior Connect Acquisition Corporation I Class A | 317,258 | 3,099,611 | ||||||||
| Shelter Acquisition Corporation I | 379,078 | 3,771,826 | ||||||||
| Shelter Acquisition Corporation I - Sponsor (d)(g) | 52,650 | – | ||||||||
| Simon Property Group Acquisition Holdings, Inc. | 368,092 | 3,662,515 | ||||||||
| Simon Property Group Acquisition Holdings, Inc. Class A | 646,902 | 6,307,294 | ||||||||
| Soar Technology Acquisition Corporation - ADR | 84,290 | 855,544 | ||||||||
| Social Capital Hedosophia Holdings Corporation VI Class A - ADR (j) | 506,785 | 5,143,868 | ||||||||
| Spartan Acquisition Corporation III Class A | 883,373 | 8,727,725 | ||||||||
| Sports Entertainment Acquisition Corporation Class A | 75,691 | 840,927 | ||||||||
| Sports Entertainment Acquisition Corporation Class A | 503,854 | 5,048,617 | ||||||||
| Supernova Partners Acquisition Company III Ltd. Class A - ADR (f) | 395,835 | 3,839,600 | ||||||||
| Sustainable Development Acquisition I Corporation | 22,700 | 229,043 | ||||||||
| Switchback Corporation II Class A - ADR | 425,929 | 4,242,253 | ||||||||
| Tailwind Acquisition Corporation Class A | 1,073,615 | 10,499,955 | ||||||||
| Thimble Point Acquisition Corporation Class A | 18,498 | 183,870 | ||||||||
| Thunder Bridge Capital Partners III, Inc. Class A | 406,750 | 3,969,880 | ||||||||
| Tishman Speyer Innovation Corporation II Class A | 352,710 | 3,456,558 | ||||||||
| Trebia Acquisition Corporation Class A - ADR | 338,934 | 3,358,836 | ||||||||
| Tribe Capital Growth Corporation I | 222,494 | 2,213,815 | ||||||||
| Tuscan Holdings Corporation II (g) | 304,697 | 3,077,440 | ||||||||
| Twelve Seas Investment Company II | 31,437 | 311,226 | ||||||||
| TZP Strategies Acquisition Corporation - ADR (f) | 50,000 | 496,000 | ||||||||
| VectoIQ Acquisition Corporation II Class A (f) | 315,940 | 3,067,777 | ||||||||
| Virgin Group Acquisition Corporation II Class A - ADR | 816,663 | 7,929,798 | ||||||||
| Virtuoso Acquisition Corporation Class A | 517,826 | 5,131,656 | ||||||||
| Vy Global Growth Class A - ADR | 567,814 | 5,570,255 | ||||||||
| Warbug Pincus Capital Corporation I Class A - ADR | 124,819 | 1,225,723 | ||||||||
| Yucaipa Acquisition Corporation Class A - ADR | 858,999 | 8,486,910 | ||||||||
| Z-Work Acquisition Corporation Class A | 151,361 | 1,474,256 | ||||||||
| TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES (Cost $514,756,758) | 509,522,077 | |||||||||
Shares | ||||||||||
| CONTINGENT VALUE RIGHTS - 0.07% (a)(g) | ||||||||||
| Alder Biopharmaceuticals, Inc. | 2,217,560 | 2,550,194 | ||||||||
| Ligand Pharmaceuticals | 468,741 | 527,334 | ||||||||
| Media General, Inc. (e) | 891,153 | – | ||||||||
| TOTAL CONTINGENT VALUE RIGHTS (Cost $0) | 3,077,528 | |||||||||
| RIGHTS - 0.01% (a)(g) | ||||||||||
| Bristol-Myers Squibb Company | 453,175 | 509,822 | ||||||||
| TOTAL RIGHTS (Cost $0) | 509,822 | |||||||||
| WARRANTS - 0.20% (a) | ||||||||||
| 23andMe Holding Company Class A | ||||||||||
| Expiration: September 2025, Exercise Price: $11.50 | 89,329 | 164,365 | ||||||||
| 890 5th Avenue Partners, Inc. Class A | ||||||||||
| Expiration: December 2027, Exercise Price: $11.50 | 117,848 | 146,132 | ||||||||
| Accelerate Acquisition Corporation Class A | ||||||||||
| Expiration: December 2027, Exercise Price: $11.50 | 201,400 | 189,296 | ||||||||
| ACE Convergence Acquisition Corporation Class A | ||||||||||
| Expiration: September 2027, Exercise Price: $11.50 (b) | 82,894 | 48,493 | ||||||||
| Akazoo S.A. | ||||||||||
| Expiration: December 2024, Exercise Price: $11.50 (b)(d)(g) | 238,850 | – | ||||||||
| Apollo Strategic Growth Capital Class A | ||||||||||
| Expiration: October 2027, Exercise Price: $11.50 (b) | 326,548 | 266,137 | ||||||||
| Ardagh Metal Packaging S.A. | ||||||||||
| Expiration: December 2028, Exercise Price: $11.50 (b) | 37,774 | 81,214 | ||||||||
| Arrowroot Acquisition Corporation Class A | ||||||||||
| Expiration: January 2026, Exercise Price: $11.50 | 287,768 | 164,028 | ||||||||
| Avanti Acquisition Corporation Class A | ||||||||||
| Expiration: December 2025, Exercise Price: $11.50 (b) | 125,000 | 81,769 | ||||||||
| Berkshire Grey, Inc. | ||||||||||
| Expiration: December 2026, Exercise Price: $11.50 | 88,153 | 106,665 | ||||||||
| BowX Acquisition Corporation Class A | ||||||||||
| Expiration: December 2025, Exercise Price: $11.50 | 52,829 | 109,884 | ||||||||
| Cazoo Group Ltd. | ||||||||||
| Expiration: August 2026, Exercise Price: $11.50 (b) | 380,410 | 566,811 | ||||||||
| CC Neuberger Principal Holdings II Class A | ||||||||||
| Expiration: July 2025, Exercise Price: $11.50 (b) | 27,923 | 28,202 | ||||||||
| CEC Brands LLC | ||||||||||
| Expiration: December 2025, Exercise Price: $21.88 (g) | 189,648 | 568,944 | ||||||||
| CHP Merger Corporation Class A | ||||||||||
| Expiration: November 2024, Exercise Price: $11.50 | 36,052 | 19,829 | ||||||||
| Cohn Robbins Holdings Corporation Class A | ||||||||||
| Expiration: August 2025, Exercise Price: $11.50 (b) | 297,617 | 269,343 | ||||||||
| Conx Corporation Class A | ||||||||||
| Expiration: October 2027, Exercise Price: $11.50 | 153,442 | 176,458 | ||||||||
| Deep Lake Capital Acquisition Corporation Class A | ||||||||||
| Expiration: December 2027, Exercise Price: $11.50 (b) | 167,691 | 127,059 | ||||||||
| E.Merge Technology Acquisition Corporation Class A | ||||||||||
| Expiration: July 2025, Exercise Price: $11.50 | 395,766 | 276,640 | ||||||||
| Equity Distribution Acquisition Corporation Class A | ||||||||||
| Expiration: September 2025, Exercise Price: $11.50 | 17,660 | 15,912 | ||||||||
| Fortress Capital Acquisition Corporation Class A | ||||||||||
| Expiration: December 2027, Exercise Price: $11.50 (b) | 68,899 | 60,631 | ||||||||
| FTAC Athena Acquisition Corporation Class A | ||||||||||
| Expiration: March 2026, Exercise Price: $11.50 (b) | 75,465 | 98,104 | ||||||||
| GCM Grosvenor, Inc. Class A | ||||||||||
| Expiration: November 2025, Exercise Price: $11.50 | 179,487 | 358,974 | ||||||||
| GigCapital4, Inc. | ||||||||||
| Expiration: December 2028, Exercise Price: $11.50 | 43,484 | 45,658 | ||||||||
| Ginkgo Bioworks Holdings, Inc. | ||||||||||
| Expiration: December 2027, Exercise Price: $11.50 | 2,620 | 8,882 | ||||||||
| Goal Acquisitions Corporation | ||||||||||
| Expiration: January 2022, Exercise Price: $11.50 | 564,935 | 329,131 | ||||||||
| Golden Falcon Acquisition Corporation Class A | ||||||||||
| Expiration: November 2026, Exercise Price: $11.50 | 172,837 | 106,295 | ||||||||
| Healthcare Services Acquisition Corporation Class A | ||||||||||
| Expiration: December 2027, Exercise Price: $11.50 | 225,254 | 148,668 | ||||||||
| HPX Corporation Class A | ||||||||||
| Expiration: July 2025, Exercise Price: $11.50 (b)(f) | 24,612 | 13,539 | ||||||||
| InterPrivate III Financial Partners, Inc. | ||||||||||
| Expiration: December 2027, Exercise Price: $11.50 | 12,698 | 16,253 | ||||||||
| Kensington Capital Acquisition Corporation II Class A | ||||||||||
| Expiration: December 2027, Exercise Price: $11.50 | 17,250 | 19,665 | ||||||||
| KL Acquisition Corporation Class A | ||||||||||
| Expiration: January 2028, Exercise Price: $11.50 | 207,528 | 149,441 | ||||||||
| KLDiscovery, Inc. | ||||||||||
| Expiration: December 2024, Exercise Price: $11.50 | 677,651 | 223,625 | ||||||||
| Longview Acquisition Corporation II Class A | ||||||||||
| Expiration: May 2026, Exercise Price: $11.50 | 85,384 | 110,222 | ||||||||
| Marlin Technology Corporation Class A | ||||||||||
| Expiration: March 2026, Exercise Price: $11.50 (b) | 220,545 | 176,436 | ||||||||
| Marquee Raine Acquisition Corporation | ||||||||||
| Expiration: December 2025, Exercise Price: $11.50 (b) | 13,538 | 18,953 | ||||||||
| Medicus Sciences Acquisition Corporation Class A | ||||||||||
| Expiration: December 2027, Exercise Price: $11.50 (b) | 18,222 | 12,938 | ||||||||
| Moneylion, Inc. | ||||||||||
| Expiration: June 2027, Exercise Price: $11.50 | 106,742 | 103,540 | ||||||||
| Montes Archimedes Acquisition Corporation Class A | ||||||||||
| Expiration: December 2025, Exercise Price: $11.50 | 101,132 | 150,687 | ||||||||
| Motive Capital Corporation Class A | ||||||||||
| Expiration: December 2025, Exercise Price: $11.50 (b) | 138,737 | 173,421 | ||||||||
| Origin Materials, Inc. | ||||||||||
| Expiration: July 2026, Exercise Price: $11.50 | 142,785 | 224,172 | ||||||||
| Pathfinder Acquisition Corporation Class A | ||||||||||
| Expiration: December 2027, Exercise Price: $11.50 (b) | 74,121 | 70,400 | ||||||||
| Pioneer Merger Corporation Class A | ||||||||||
| Expiration: December 2027, Exercise Price: $11.50 (b) | 145,550 | 160,105 | ||||||||
| Pontem Corporation Class A | ||||||||||
| Expiration: December 2027, Exercise Price: $11.50 (b) | 134,633 | 96,666 | ||||||||
| Prospector Capital Corporation Class A | ||||||||||
| Expiration: January 2025, Exercise Price: $11.50 (b) | 155,088 | 108,562 | ||||||||
| Quantum-SI, Inc. | ||||||||||
| Expiration: September 2027, Exercise Price: $11.50 | 32,085 | 65,133 | ||||||||
| Reinvent Technology Partners Class A | ||||||||||
| Expiration: December 2028, Exercise Price: $11.50 (b) | 11,661 | 17,491 | ||||||||
| RMG Acquisition Corporation III Class A | ||||||||||
| Expiration: December 2027, Exercise Price: $11.50 (b) | 85,180 | 77,514 | ||||||||
| Senior Connect Acquisition Corporation I Class A | ||||||||||
| Expiration: December 2027, Exercise Price: $11.50 | 158,629 | 112,627 | ||||||||
| Shapeways Holdings, Inc. | ||||||||||
| Expiration: October 2026, Exercise Price: $11.50 | 112,274 | 111,151 | ||||||||
| Sharecare, Inc. | ||||||||||
| Expiration: July 2026, Exercise Price: $11.50 | 46,682 | 92,897 | ||||||||
| Spartan Acquisition Corporation III Class A | ||||||||||
| Expiration: February 2026, Exercise Price: $11.50 | 161,823 | 178,005 | ||||||||
| Supernova Partners Acquisition Company III Ltd. Class A | ||||||||||
| Expiration: March 2027, Exercise Price: $11.50 (b)(f) | 79,167 | 67,300 | ||||||||
| Thimble Point Acquisition Corporation Class A | ||||||||||
| Expiration: February 2026, Exercise Price: $11.50 | 6,166 | 5,858 | ||||||||
| Thunder Bridge Capital Partners III, Inc. Class A | ||||||||||
| Expiration: February 2028, Exercise Price: $11.50 | 81,350 | 61,012 | ||||||||
| Tishman Speyer Innovation Corporation II Class A | ||||||||||
| Expiration: December 2027, Exercise Price: $11.50 | 70,542 | 59,255 | ||||||||
| Trebia Acquisition Corporation Class A | ||||||||||
| Expiration: December 2025, Exercise Price: $11.50 (b) | 114,058 | 165,384 | ||||||||
| Tuscan Holdings Corporation II | ||||||||||
| Expiration: July 2025, Exercise Price: $11.50 | 109,883 | 73,622 | ||||||||
| VectoIQ Acquisition Corporation II Class A | ||||||||||
| Expiration: December 2027, Exercise Price: $11.50 | 63,188 | 49,287 | ||||||||
| Virgin Group Acquisition Corporation II Class A | ||||||||||
| Expiration: March 2026, Exercise Price: $11.50 (b) | 78,996 | 67,937 | ||||||||
| Virtuoso Acquisition Corporation Class A | ||||||||||
| Expiration: December 2027, Exercise Price: $11.50 | 258,913 | 296,455 | ||||||||
| Whole Earth Brands, Inc. | ||||||||||
| Expiration: June 2025, Exercise Price: $11.50 | 269,682 | 396,433 | ||||||||
| TOTAL WARRANTS (Cost $19,060,851) | 8,289,510 | |||||||||
Principal Amount | ||||||||||
| BANK LOANS - 1.00% | ||||||||||
| Golden Nugget LLC | ||||||||||
| 3.250% (1 Month U.S. LIBOR + 2.500%), 10/4/2023 (f)(i) | $ | 12,127,554 | 12,063,642 | |||||||
| RentPath LLC | ||||||||||
| 8.000%, (3 Month U.S. LIBOR + 4.750%), 12/17/2021 (f)(i)(k) | 556,203 | 22,248 | ||||||||
| Syniverse Holdings, Inc. | ||||||||||
| 6.000% (3 Month U.S. LIBOR + 5.000%), 3/09/2023 (f)(i) | 12,413,000 | 12,403,442 | ||||||||
| Watts Guerra LLP | ||||||||||
| 8.000%, 12/31/2022 (g) | 17,966,000 | 17,966,000 | ||||||||
| TOTAL BANK LOANS (Cost $42,909,784) | 42,455,332 | |||||||||
| CONVERTIBLE BONDS - 0.11% (f) | ||||||||||
| Nuance Communications, Inc. | ||||||||||
| 1.000%, 12/15/2035 | 2,135,000 | 4,848,637 | ||||||||
| TOTAL CONVERTIBLE BONDS (Cost $4,578,131) | 4,848,637 | |||||||||
| CORPORATE BONDS - 3.96% (f) | ||||||||||
| Cincinnati Bell, Inc. | ||||||||||
| 7.000%, 7/15/2024 (h) | 2,935,000 | 2,987,037 | ||||||||
| 8.000%, 10/15/2025 (h) | 11,838,000 | 12,337,564 | ||||||||
| Deutsche Wohen S.E. | ||||||||||
| 0.325%, 7/26/2024 (b) | 6,300,000 | 9,945,141 | ||||||||
| 0.600%, 1/5/2026 (b) | 34,500,000 | 51,712,035 | ||||||||
| Devon Energy Corporation | ||||||||||
| 5.875%, 6/15/2028 (h) | 9,554,000 | 10,531,136 | ||||||||
| Forterra Finance LLC / FRTA Finance Corporation | ||||||||||
| 6.500%, 7/15/2025 (h) | 17,689,000 | 18,927,230 | ||||||||
| Golden Nugget, Inc. | ||||||||||
| 6.750%, 10/15/2024 (h) | 17,394,000 | 17,416,612 | ||||||||
| GrubHub Holdings, Inc. | ||||||||||
| 5.500%, 7/1/2027 (h) | 9,279,000 | 9,626,962 | ||||||||
| Meredith Corporation | ||||||||||
| 6.875%, 2/1/2026 | 16,394,000 | 16,926,805 | ||||||||
| Modulaire Global Finance plc | ||||||||||
| 8.000%, 2/15/2023 (b)(h) | 13,566,000 | 13,850,886 | ||||||||
| Southwest Gas Corporation | ||||||||||
| 3.180%, 8/15/2051 | 1,000,000 | 959,311 | ||||||||
| WeWork Companies, Inc. | ||||||||||
| 7.875%, 5/1/2025 (h) | 3,384,000 | 3,438,990 | ||||||||
| TOTAL CORPORATE BONDS (Cost $168,111,422) | 168,659,709 | |||||||||
Contracts (100 shares per contract) | Notional Amount | |||||||||
| PURCHASED PUT OPTIONS - 0.11% (a) | ||||||||||
| The Hartford Financial Services Group, Inc. | ||||||||||
| Expiration: December 2021, Exercise Price: $55.00 | 2,906 | $ | 20,414,650 | 87,180 | ||||||
| iShares Expanded Tech-Software Sector ETF | ||||||||||
| Expiration: October 2021, Exercise Price: $400.00 | 106 | 4,230,884 | 86,708 | |||||||
| SPDR S&P 500 ETF Trust | ||||||||||
| Expiration: October 2021, Exercise Price: $430.00 | 1,751 | 75,142,414 | 1,171,419 | |||||||
| Expiration: October 2021, Exercise Price: $440.00 | 3,064 | 131,488,496 | 3,437,808 | |||||||
| TOTAL PURCHASED OPTIONS (Cost $3,006,838) | 4,783,115 | |||||||||
Shares | ||||||||||
ESCROW NOTES - 2.26% (a) | ||||||||||
| Altaba, Inc. (f) | 14,609,784 | 95,876,707 | ||||||||
| AMR Corporation (g) | 1,243,406 | 118,124 | ||||||||
| TOTAL ESCROW NOTES (Cost $61,164,692) | 95,994,831 | |||||||||
| SHORT-TERM INVESTMENTS - 27.05% | ||||||||||
| MONEY MARKET FUNDS - 27.05% (c) | ||||||||||
| Fidelity Institutional Government Portfolio, Institutional Share Class, 0.01% | 208,325,000 | 208,325,000 | ||||||||
| First American Government Obligations Fund, Institutional Share Class, 0.03% | 208,325,000 | 208,325,000 | ||||||||
| Goldman Sachs Financial Square Government Fund, FST Share Class, 0.03% | 208,325,000 | 208,325,000 | ||||||||
| The Government & Agency Portfolio, Institutional Share Class, 0.03% | 208,325,000 | 208,325,000 | ||||||||
| JPMorgan U.S. Government Money Market Fund, IM Share Class, 0.03% | 208,325,000 | 208,325,000 | ||||||||
| Morgan Stanley Institutional Liquidity Fund - Government Portfolio, Institutional Share Class, 0.03% | 109,656,439 | 109,656,439 | ||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $1,151,281,439) | 1,151,281,439 | |||||||||
| TOTAL LONG INVESTMENTS (Cost $4,058,267,022) - 97.14% | 4,134,110,540 | |||||||||
| SHORT INVESTMENTS - (2.72)% | ||||||||||
| COMMON STOCKS - (2.55)% | ||||||||||
| COMMERCIAL BANKS & THRIFTS - (0.13)% | ||||||||||
| New York Community Bancorp, Inc. | (430,066 | ) | (5,534,949 | ) | ||||||
| ASSET MANAGEMENT & CUSTODY BANKS - (0.18)% | ||||||||||
| Apollo Global Management, Inc. | (127,671 | ) | (7,863,257 | ) | ||||||
| ELECTRONIC COMPONENTS - (0.07)% | ||||||||||
| II-VI, Inc. | (49,756 | ) | (2,953,516 | ) | ||||||
| HOTELS, RESTAURANTS & LEISURE - (0.16)% | ||||||||||
| Scientific Games Corporation | (80,380 | ) | (6,677,167 | ) | ||||||
| INTERNET SECURITY - (0.17)% | ||||||||||
| NortonLifeLock, Inc. (d)(g) | (281,185 | ) | (7,174,434 | ) | ||||||
| IT SERVICES - (0.25)% | ||||||||||
| Square, Inc. | (43,628 | ) | (10,463,740 | ) | ||||||
| METALS & MINING - (0.34)% | ||||||||||
| BHP Group Ltd. - ADR | (268,806 | ) | (14,386,497 | ) | ||||||
| OIL, GAS & CONSUMABLE FUELS - (0.01)% | ||||||||||
| Cabot Oil & Gas Corporation | (16,727 | ) | (363,980 | ) | ||||||
| RAILROADS - (0.27)% | ||||||||||
| Canadian Pacific Railway Ltd. - ADR | (180,158 | ) | (11,722,881 | ) | ||||||
| REGIONAL BANKS - (0.72)% | ||||||||||
| BancorpSouth Bank | (1,035,851 | ) | (30,847,643 | ) | ||||||
| SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - (0.25)% | ||||||||||
| MKS Instruments, Inc. | (71,373 | ) | (10,770,899 | ) | ||||||
| SOFTWARE - (0.00)% | ||||||||||
| Zoom Video Communications, Inc. | (230 | ) | (60,145 | ) | ||||||
| TOTAL COMMON STOCKS (Proceeds $108,893,148) | (108,819,108 | ) | ||||||||
Principal Amount | ||||||||||
| CORPORATE BONDS - (0.15)% (f) | ||||||||||
| Devon Energy Corporation | ||||||||||
| 5.850%, 12/15/2025 | $ | (5,446,000 | ) | (6,301,316 | ) | |||||
| TOTAL CORPORATE BONDS (Proceeds $5,997,212) | (6,301,316 | ) | ||||||||
| U.S. GOVERNMENT NOTES/BONDS - (0.02)% (f) | ||||||||||
| United States Treasury Note/Bond | ||||||||||
| 2.375%, 5/15/2051 | (800,000 | ) | (853,750 | ) | ||||||
| TOTAL U.S. GOVERNMENT NOTES/BONDS (Proceeds $885,504) | (853,750 | ) | ||||||||
| TOTAL SHORT INVESTMENTS (Proceeds $115,775,864) - (2.72)% | (115,974,174 | ) | ||||||||
| TOTAL NET INVESTMENTS (Cost $3,942,491,158) - 94.42% | 4,018,136,366 | |||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES - 5.58% (e) | 237,554,589 | |||||||||
| TOTAL NET ASSETS - 100.00% | $ | 4,255,690,955 | ||||||||
| 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, 2021. | |||||||
| (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 (l) on the Schedule of Investments for more information. | |||||||
| (g) | Level 3 Security. Please see footnote (l) 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 June 30, 2021, these securities represent 2.09% of total net assets. | |||||||
| (i) | The coupon rate shown on variable rate securities represents the rate as of September 30, 2021. | |||||||
| (j) | This security is held in connection with a written option contract. | |||||||
| (k) | Default or other conditions exist and the security is not presently accruing income. | |||||||
| (l) | 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 may acquire equity securities of an issuer through a private investment in a public equity (PIPE) transaction, including through commitments to purchase securities on a when-issued basis. A PIPE transaction typically involves the purchase of securities directly from a publicly traded company in a private placement transaction. Securities purchased through PIPE transactions will generally be restricted from trading and considered illiquid until a resale registration statement for the shares is filed and declared effective. At period end, the Fund had commitments to purchase when-issued securities through PIPE transactions with SPACs. The commitments are contingent upon the SPACs acquiring the securities of target companies. | ||
| 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, 2021. These assets and liabilities are measured on a recurring basis. |
| Investments at Fair Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Assets | ||||||||||||||||
Common Stocks* | $ | 2,127,098,494 | $ | - | $ | 17,590,046 | $ | 2,144,688,540 | ||||||||
Special Purpose Acquisition Companies | 470,050,171 | 30,404,240 | 9,067,666 | 509,522,077 | ||||||||||||
Contingent Value Rights | - | - | 3,077,528 | 3,077,528 | ||||||||||||
Rights | - | - | 509,822 | 509,822 | ||||||||||||
Warrants | 7,639,727 | 80,839 | 568,944 | 8,289,510 | ||||||||||||
Bank Loans | - | 24,489,332 | 17,966,000 | 42,455,332 | ||||||||||||
Convertible Bonds | - | 4,848,637 | - | 4,848,637 | ||||||||||||
Corporate Bonds | - | 168,659,709 | - | 168,659,709 | ||||||||||||
Purchased Option Contracts | 4,783,115 | - | - | 4,783,115 | ||||||||||||
Escrow Notes | - | 95,876,707 | 118,124 | 95,994,831 | ||||||||||||
Short-Term Investments | 1,151,281,439 | - | - | 1,151,281,439 | ||||||||||||
| Other Investments | ||||||||||||||||
Forward Currency Exchange Contracts** | - | 11,574,495 | - | 11,574,495 | ||||||||||||
Swap Contracts** | - | - | 5,803,252 | 5,803,252 | ||||||||||||
Total | $ | 3,760,852,946 | $ | 335,933,959 | $ | 54,701,382 | $ | 4,151,488,287 | ||||||||
| Liabilities | ||||||||||||||||
Short Common Stocks* | $ | (101,644,674 | ) | $ | - | $ | (7,174,434 | ) | $ | (108,819,108 | ) | |||||
Short Corporate Bonds | - | (6,301,316 | ) | - | (6,301,316 | ) | ||||||||||
Short U.S. Government Notes/Bonds | - | (853,750 | ) | - | (853,750 | ) | ||||||||||
| Other Investments | ||||||||||||||||
Unfunded Commitments*** | - | - | (133,651 | ) | (133,651 | ) | ||||||||||
Written Option Contracts | (3,614,983 | ) | (51,195 | ) | - | (3,666,178 | ) | |||||||||
Swap Contracts** | - | (133,318,429 | ) | - | (133,318,429 | ) | ||||||||||
Total | $ | (105,259,657 | ) | $ | (140,524,690 | ) | $ | (7,308,085 | ) | $ | (253,092,432 | ) | ||||
| * | 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 level and counterparty. | ||||
| *** | The Fund had unfunded commitments to purchase Private Investment in Public Equity shares as of September 30, 2021 with a market value of $2,092,379. These are Level 3 securities and are fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees. | ||||
| 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, 2021, the value of these securities was $47,393,297 (see footnote above regarding Fund’s holdings of unfunded commitments). The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs as described in footnote (l) of the Schedule of Investments. 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 | Common Stocks- long | Common Stocks- short | Special Purpose Acquisition Companies | Private Investments in Public Equity | Contingent Value Rights | Rights | Warrants | Bank Loan | Unfunded Commitments | Escrow Notes | Swaps | Total Investment | ||||||||||||||||||||||||||||||||||||||||
Balance as of December 31, 2020 | $ | 33,291,832 | $ | - | $ | - | $ | 14,122,852 | $ | - | $ | - | $ | 184,100 | * | $ | 17,966,000 | $ | - | $ | - | $ | - | $ | 65,564,784 | |||||||||||||||||||||||||||
| Purchases on Investments | 18,312,897 | (7,526,451 | ) | 3,940,386 | - | - | - | - | - | - | ** | - | - | 14,726,832 | ||||||||||||||||||||||||||||||||||||||
| (Sales) of Investments | (35,947,906 | ) | - | - | (11,280,674 | ) | - | - | - | - | - | - | - | (47,228,580 | ) | |||||||||||||||||||||||||||||||||||||
| Realized (Gain) Loss | 3,307,813 | - | - | 8,570,984 | - | - | - | - | - | - | - | 11,878,797 | ||||||||||||||||||||||||||||||||||||||||
| Transfers Into Level 3 | - | - | 5,096,035 | - | 3,077,528 | 509,822 | - | - | - | 118,124 | - | 8,801,509 | ||||||||||||||||||||||||||||||||||||||||
| (Transfer Out) of Level 3 | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||
| Change in Unrealized Appreciation (Depreciation) | (1,374,590 | ) | 352,017 | 31,245 | (11,413,162 | ) | - | - | 384,844 | - | (133,651 | ) | - | 5,803,252 | (6,350,045 | ) | ||||||||||||||||||||||||||||||||||||
Balance as of September 30, 2021 | $ | 17,590,046 | $ | (7,174,434 | ) | $ | 9,067,666 | $ | - | $ | 3,077,528 | $ | 509,822 | $ | 568,944 | * | $ | 17,966,000 | $ | (133,651 | ) ** | $ | 118,124 | $ | 5,803,252 | $ | 47,393,297 | |||||||||||||||||||||||||
Change in unrealized appreciation (depreciation) during the period for Level 3 investments held at September 30, 2021 | $ | (722,851 | ) | $ | 352,017 | $ | (311,732 | ) | $ | - | $ | (534,597 | ) | $ | 1,792,616 | $ | 384,855 | $ | - | $ | (133,651 | )** | $ | 12,434 | $ | 5,803,252 | $ | 6,642,343 | ||||||||||||||||||||||||
* CEC Brands LLC warrant received as a result of a corporate action. | ||||||||||||||||||||||||||||||||||||||||||||||||||||
** The Fund had unfunded commitments to purchase Private Investment in Public Equity shares as of September 30, 2021 with a market value of $2,092,379. These are Level 3 securities and are fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees. | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| 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 depreciation on investments related to Level 3 securities held by the Fund at September 30, 2021 totals $(6,350,045). | |||||
| 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, 2021 for the Fund are as follows: | |||||
| Description | Fair Value at September 30, 2021 | Valuation Technique | Unobservable Input | Input Values (Ranges) | ||||||||
Special Purpose Acquisition Company | $ | - | * | Projected Final Exercise Price | ** | Value of Final Exercise Price | $0.00-$0.01 | |||||
Warrant | $ | - | * | Projected Final Exercise Price | ** | Value of Final Exercise Price | $0.00-$0.01 | |||||
Common Stock- short | $ | (7,174,434) | Recent Market Transaction | Foreign Market Value | $25.52 | |||||||
Unfunded Commitments | $ | 1,616,030 | *** | Market Price less Discount | Liquidity Discount | $0.00-$0.01 | ||||||
Unfunded Commitments | $ | 476,349 | *** | Market Price less Discount | Liquidity Discount | $0.00-$0.01 | ||||||
Swap contract | $ | 3,080,119 | Recent Market Transaction | Foreign Market Value | $26.76 | |||||||
Swap contract | $ | 2,966,144 | Recent Market Transaction | Foreign Market Value | $26.76 | |||||||
Swap contract | $ | (698,978) | Recent Market Transaction | Foreign Market Value | $87.73 | |||||||
| * | 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 fair value amount above represents the unfunded commitment amount as of September 30, 2021. | |||||||||||
| The table above does not include certain Level 3 investments that are based on information provided by brokers. At September 30, 2021, the net value of these securities was $47,128,067. The inputs for these Level 3 investments are not readily available or cannot be reasonably estimated and are generally those inputs described herein. | |||
| (m) | Effective October 1, 2021, Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc., is the investment adviser to the Fund. The Adviser manages the Funds' investment programs and general operations of the Virtus Funds, including oversight of the Funds' subadvisers. Prior to October 1, 2021, Westchester Capital Management, LLC (“WCM”) served as the investment adviser to the Fund. Effective October 1, 2021, WCM will serve as subadviser to the Fund. | ||
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 (continued) | |||||||||||||||
| Unfunded Commitments* | |||||||||||||||
| September 30, 2021 (Unaudited) | |||||||||||||||
| Unrealized | |||||||||||||||
| Unfunded | Appreciation | ||||||||||||||
Issuer | Shares | Commitment Amount | Value | (Depreciation) | |||||||||||
| Live Oak Acquisition Corporation II | 161,603 | 1,616,030 | 1,616,030 | $ | - | ||||||||||
| Microvast Holdings, Inc. | 61,000 | 610,000 | 476,349 | (133,651 | ) | ||||||||||
| TOTAL UNFUNDED COMMITMENTS | $ | 2,226,030 | $ | 2,092,379 | $ | (133,651 | ) | ||||||||
| * The Fund has unfunded commitments to purchase Private Investment in Public Equity shares as of September 30, 2021. These are Level 3 securities and are fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees. | |||||||||||||||
| The Merger Fund | ||||||||
| SCHEDULE OF INVESTMENTS | ||||||||
| Open Written Options | ||||||||
| September 30, 2021 (Unaudited) | ||||||||
Contracts (100 shares per contract) | Notional Amount | Value | ||||||
| WRITTEN CALL OPTIONS | ||||||||
| The Hartford Financial Services Group, Inc. | ||||||||
| Expiration: December 2021, Exercise Price: $65.00 | (2,906) | $ | (20,414,650) | $ | (2,005,140) | |||
| Expiration: December 2021, Exercise Price: $70.00 | (584) | (4,102,600) | (233,600) | |||||
| NortonLifeLock, Inc. | ||||||||
| Expiration: January 2022, Exercise Price: $32.00 (a) | (2,118) | (5,358,540) | (37,065) | |||||
| Social Capital Hedosophia Holdings Corporation VI Class A | ||||||||
| Expiration: October 2021, Exercise Price: $10.00 | (797) | (808,955) | (15,143) | |||||
| Expiration: November 2021, Exercise Price: $10.00 | (4,271) | (4,335,065) | (106,775) | |||||
| SPDR S&P 500 ETF Trust | ||||||||
| Expiration: October 2021, Exercise Price: $450.00 | (875) | (37,549,750) | (20,125) | |||||
| Sportsman's Warehouse Holdings, Inc. | ||||||||
| Expiration: January 2022, Exercise Price: $20.00 (a) | (942) | (1,657,920) | (14,130) | |||||
| (2,431,978) | ||||||||
| PUT OPTIONS WRITTEN | ||||||||
| SPDR S&P 500 ETF Trust | ||||||||
| Expiration: October 2021, Exercise Price: $415.00 | (4,114) | (176,548,196) | (1,234,200) | |||||
| (1,234,200) | ||||||||
| TOTAL WRITTEN OPTIONS | ||||||||
| (Premiums received $3,817,804) | $ | (3,666,178) | ||||||
| ETF - Exchange-Traded Fund | ||||||||
| (a) Level 2 Security. Please see footnote (l) on the Schedule of Investments for more information. | ||||||||
| The Merger Fund | ||||||||||||||||||
| SCHEDULE OF INVESTMENTS | ||||||||||||||||||
| Forward Currency Exchange Contracts | ||||||||||||||||||
| September 30, 2021 (Unaudited) | ||||||||||||||||||
| Unrealized | ||||||||||||||||||
| Settlement | USD Value at | USD Value at | Appreciation | |||||||||||||||
| Date | Counterparty | Currency to be Delivered | September 30, 2021 | Currency to be Received | September 30, 2021 | (Depreciation)* | ||||||||||||
| 12/30/2021 | JPM | 58,770,833 | AUD | $ | 42,510,524 | 42,962,979 | USD | $ | 42,962,979 | $ | 452,455 | |||||||
| 10/18/2021 | JPM | 8,977,187 | EUR | 10,402,384 | 10,883,708 | USD | 10,883,708 | 481,324 | ||||||||||
| 11/4/2021 | JPM | 24,034,108 | EUR | 27,858,957 | 28,439,704 | USD | 28,439,704 | 580,747 | ||||||||||
| 11/10/2021 | JPM | 52,818,600 | EUR | 61,231,810 | 62,225,165 | USD | 62,225,165 | 993,355 | ||||||||||
| 11/15/2021 | JPM | 14,774,872 | EUR | 17,130,041 | 17,316,309 | USD | 17,316,309 | 186,268 | ||||||||||
| 11/15/2021 | GS | 17,107,740 | EUR | 19,834,777 | 20,057,970 | USD | 20,057,970 | 223,193 | ||||||||||
| 11/26/2021 | GS | 57,794,008 | EUR | 67,021,688 | 70,179,019 | USD | 70,179,019 | 3,157,331 | ||||||||||
| 12/15/2021 | GS | 116,662,960 | EUR | 135,364,829 | 141,371,038 | USD | 141,371,038 | 6,006,209 | ||||||||||
| 12/15/2021 | GS | 138,132,445 | USD | 138,132,445 | 116,662,960 | EUR | 135,364,830 | (2,767,615) | ||||||||||
| 3/11/2022 | JPM | 793,817 | GBP | 1,069,589 | 1,099,614 | USD | 1,099,614 | 30,025 | ||||||||||
| 4/20/2022 | GS | 42,660,407 | GBP | 57,465,365 | 58,861,068 | USD | 58,861,068 | 1,395,703 | ||||||||||
| 4/20/2022 | GS | 3,416,083 | USD | 3,416,083 | 2,543,479 | GBP | 3,426,173 | 10,090 | ||||||||||
| 10/4/2021 | JPM | 6,286,734 | GBP | 8,470,779 | 8,603,898 | USD | 8,603,898 | 133,119 | ||||||||||
| 10/4/2021 | JPM | 8,648,346 | USD | 8,648,346 | 6,286,734 | GBP | 8,470,780 | (177,566) | ||||||||||
| 12/13/2021 | GS | 2,980,883 | GBP | 4,016,991 | 4,128,225 | USD | 4,128,225 | 111,234 | ||||||||||
| 10/8/2021 | JPM | 2,547,420 | HKD | 327,246 | 327,295 | USD | 327,295 | 49 | ||||||||||
| 10/8/2021 | JPM | 327,321 | USD | 327,321 | 2,547,420 | HKD | 327,246 | (75) | ||||||||||
| 10/20/2021 | JPM | 108,802,535 | HKD | 13,977,468 | 14,015,043 | USD | 14,015,043 | 37,575 | ||||||||||
| 10/20/2021 | JPM | 3,188,309 | USD | 3,188,309 | 24,800,345 | HKD | 3,186,010 | (2,299) | ||||||||||
| 10/28/2021 | JPM | 25,476,498 | HKD | 3,272,957 | 3,273,838 | USD | 3,273,838 | 881 | ||||||||||
| 1/12/2022 | JPM | 3,159,808,809 | JPY | 28,424,034 | 28,848,855 | USD | 28,848,855 | 424,821 | ||||||||||
| 10/27/2021 | JPM | 1,832,183,136 | JPY | 16,465,470 | 16,751,092 | USD | 16,751,092 | 285,622 | ||||||||||
| 10/27/2021 | JPM | 16,652,144 | USD | 16,652,144 | 1,832,183,136 | JPY | 16,465,470 | (186,674) | ||||||||||
| 12/23/2021 | JPM | 915,723,400 | JPY | 8,235,413 | 8,438,033 | USD | 8,438,033 | 202,620 | ||||||||||
| 12/23/2021 | JPM | 1,386,602 | USD | 1,386,602 | 153,747,700 | JPY | 1,382,705 | (3,897) | ||||||||||
| $ | 694,831,572 | $ | 706,406,067 | $ | 11,574,495 | |||||||||||||
| AUD | - Australian Dollar | ||||||
| EUR | - Euro | ||||||
| GBP | - British Pound | ||||||
| GS | - Goldman, Sachs & Co. | ||||||
| HKD | - Hong Kong Dollar | ||||||
| JPM | - JPMorgan Chase & Co., Inc. | ||||||
| JPY | - Japanese Yen | ||||||
| USD | - U.S. Dollar | ||||||
| * | Net unrealized appreciation (depreciation) is a receivable (payable). | ||||||
| The Merger Fund | ||||||||||||
| SCHEDULE OF INVESTMENTS | ||||||||||||
| Open Swap Contracts* | ||||||||||||
| September 30, 2021 (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 | ||||||||||||
| GS | Afterpay Ltd.(2)(3) | 9/3/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 84,639 | $ | 8,050,562 | $ | (698,978) | ||
| GS | Avast plc | 9/11/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 9,311,268 | 76,122,555 | (4,977,849) | ||||
| JPM | Beijing Capital Ltd.(3) | 9/27/2022 | Pay | 0.550% + Overnight Banking Rate | Quarterly | 9,098,749 | 3,223,144 | 48,792 | ||||
| BAML | Bristol-Myers Squibb Company(3) | 1/22/2022 | Pay | 0.000%(1) | Monthly | 361,933 | - | (1) | 407,175 | |||
| BAML | Brookfield Property REIT, Inc., 6.25%, Series A | 8/30/2022 | Pay | 0.750% + 1 Month U.S. LIBOR | Monthly | 51,168 | 1,279,200 | (27,927) | ||||
| BAML | Deutsche Wohen S.E. | 8/21/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 613,541 | 37,401,205 | 107,313 | ||||
| GS | GrandVision N.V. | 3/8/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 858,361 | 26,057,437 | 2,130,982 | ||||
| JPM | Hitachi Metals Ltd. | 6/24/2022 | Pay | 0.550% + Overnight Banking Rate | Quarterly | 1,448,789 | 28,123,343 | (152,975) | ||||
| GS | Meggit plc | 9/10/2022 | Pay | 0.690% + 1 Month U.S. LIBOR | Monthly | 5,014,616 | 53,940,550 | (4,474,925) | ||||
| GS | Siltronic AG- Tender Line | 4/2/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 373,057 | 62,871,214 | (4,054,132) | ||||
| GS | Siltronic AG | 5/7/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 29,306 | 4,856,019 | (228,972) | ||||
| JPM | Soho China Ltd. | 7/17/2022 | Pay | 0.550% + Overnight Banking Rate | Quarterly | 16,800,438 | 9,877,195 | (5,435,803) | ||||
| JPM | Spark Infrastructure Group | 9/24/2022 | Pay | 0.550% + Overnight Banking Rate | Quarterly | 20,353,535 | 42,015,379 | (914,108) | ||||
| JPM | Suez Environment S.A. | 11/9/2021 | Pay | 0.550% + Overnight Banking Rate | Quarterly | 531,485 | 10,048,993 | 2,061,601 | ||||
| JPM | Toshiba Corporation | 5/16/2022 | Pay | 0.550% + Overnight Banking Rate | Quarterly | 143,769 | 6,191,783 | (142,100) | ||||
| JPM | Ultra Electronics Holdings plc | 9/16/2022 | Pay | 0.450% + Overnight Banking Rate | Quarterly | 22,576 | 1,046,903 | (64,904) | ||||
| GS | Willis Towers Watson plc | 10/23/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 993,213 | 231,705,140 | (836,628) | ||||
| GS | WM Morrison Supermarkets plc | 10/14/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 1,045,924 | 4,232,018 | (89,120) | ||||
| BAML | Xilinx, Inc. | 2/11/2022 | Pay | 0.750% + 1 Month U.S. LIBOR | Monthly | 19,013 | 2,729,956 | 140,185 | ||||
| SHORT TOTAL RETURN SWAP CONTRACTS | ||||||||||||
| JPM | Advanced Micro Devices, Inc. | 11/27/2021 | Pay | (0.600)% + Overnight Banking Rate | Quarterly | (599,681) | (49,684,035) | (12,034,844) | ||||
| BAML | Advanced Micro Devices, Inc. | 12/12/2021 | Pay | (0.400)% + 1 Month U.S. LIBOR | Monthly | (1,586,771) | (131,478,499) | (31,811,796) | ||||
| JPM | American Airlines Group, Inc. | 9/19/2022 | Pay | (0.600)% + Overnight Banking Rate | Quarterly | (11,395) | (213,428) | (20,447) | ||||
| GS | Aon plc | 5/19/2022 | Pay | (0.350)% + U.S. Federal Funds | Monthly | (788,885) | (188,405,084) | (37,039,742) | ||||
| BAML | Apollo Global Management, Inc. | 4/15/2022 | Pay | (0.400)% + 1 Month U.S. LIBOR | Monthly | (932,742) | (53,129,020) | (4,323,229) | ||||
| JPM | Apollo Global Management, Inc. | 6/18/2022 | Pay | (0.600)% + Overnight Banking Rate | Quarterly | (651,356) | (37,633,270) | (2,492,611) | ||||
| JPM | BHP Group Ltd.(2)(3) | 10/2/2022 | Pay | (0.650)% + Overnight Banking Rate | Quarterly | (722,878) | (22,272,693) | 2,966,144 | ||||
| GS | BHP Group Ltd.(2)(3) | 10/3/2022 | Pay | (0.400)% + U.S. Federal Funds | Monthly | (721,203) | (22,343,844) | 3,080,119 | ||||
| GS | BHP Group Ltd. - ADR | 9/18/2022 | Pay | (0.850)% + U.S. Federal Funds | Monthly | (663,691) | (43,442,863) | 7,912,955 | ||||
| GS | Canadian Pacific Railway Ltd. | 5/8/2022 | Pay | (0.350)% + U.S. Federal Funds | Monthly | (1,632,141) | (112,058,814) | 5,847,044 | ||||
| JPM | Canadian Pacific Railway Ltd. | 10/21/2022 | Pay | (0.600)% + Overnight Banking Rate | Quarterly | (53,070) | (3,480,792) | 27,199 | ||||
| GS | II-VI, Inc. | 5/12/2022 | Pay | (0.350)% + U.S. Federal Funds | Monthly | (639,145) | (48,389,865) | 10,446,947 | ||||
| JPM | S&P Global, Inc. | 2/15/2022 | Pay | (0.600)% + Overnight Banking Rate | Quarterly | (386,524) | (118,656,636) | (45,601,496) | ||||
| GS | S&P Global, Inc. | 4/8/2022 | Pay | (0.350)% + U.S. Federal Funds | Monthly | (189,430) | (69,904,037) | (10,589,672) | ||||
| JPM | Zoom Video Communications, Inc. | 8/19/2022 | Pay | (0.600)% + Overnight Banking Rate | Quarterly | (27,674) | (10,559,864) | 3,320,625 | ||||
| $ | (127,515,177) | |||||||||||
| ADR | - American Depository Receipt | ||||||||||
| BAML | - Bank of America Merrill Lynch & Co., Inc. | ||||||||||
| GS | - Goldman, Sachs & Co. | ||||||||||
| JPM | - JPMorgan Chase & Co., Inc. | ||||||||||
| LIBOR | - London Interbank Offered Rate | ||||||||||
| Overnight Banking Rate | - Overnight Banking Funding Rate | ||||||||||
| plc | - Public Limited Company | ||||||||||
| REIT | - Real Estate Investment Trust | ||||||||||
| 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. | ||||||||||
| (2) | Security fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees. | ||||||||||
| (3) | Level 3 Security. Please see footnote (l) on the Schedule of Investments for more information. | ||||||||||
