UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-03445
The Merger Fund®
(Exact name of registrant as specified in charter)
101 Munson Street
Greenfield, MA 01301-9683
(Address of principal executive offices) (Zip code)
Jennifer Fromm, Esq.
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
One Financial Plaza
Hartford, CT 06103-2608
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 243-1574
Date of fiscal year end: December 31
Date of reporting period: June 30, 2023
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
(b) | Not applicable. |
The Merger Fund® |
Virtus Westchester Credit Event Fund* |
Virtus Westchester Event-Driven Fund* |
1 | ||
2 | ||
4 | ||
6 | ||
Fund | Schedule of Investments | |
9 | ||
18 | ||
25 | ||
36 | ||
38 | ||
39 | ||
41 | ||
44 | ||
62 |
President, The Merger Fund® and Virtus Event Opportunities Trust
August 2023
Beginning Account Value January 1, 2023 | Ending Account Value June 30, 2023 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||
The Merger Fund | ||||||||
Class A | $ 1,000.00 | $ 989.30 | 1.51 % | $ 7.45 | ||||
Class I | 1,000.00 | 990.40 | 1.22 | 6.02 | ||||
Westchester Credit Event Fund | ||||||||
Class A | 1,000.00 | 1,048.60 | 1.81 | 9.19 | ||||
Class I | 1,000.00 | 1,049.80 | 1.56 | 7.93 | ||||
Westchester Event-Driven Fund | ||||||||
Class A | 1,000.00 | 1,001.00 | 1.86 | 9.23 | ||||
Class I | 1,000.00 | 1,001.90 | 1.60 | 7.94 |
* | Annualized expense ratios include dividend and interest expense on securities sold short. |
** | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (181) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Beginning Account Value January 1, 2023 | Ending Account Value June 30, 2023 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||
The Merger Fund | ||||||||
Class A | $ 1,000.00 | $ 1,017.31 | 1.51 % | $ 7.55 | ||||
Class I | 1,000.00 | 1,018.74 | 1.22 | 6.11 | ||||
Westchester Credit Event Fund | ||||||||
Class A | 1,000.00 | 1,015.82 | 1.81 | 9.05 | ||||
Class I | 1,000.00 | 1,017.06 | 1.56 | 7.80 | ||||
Westchester Event-Driven Fund | ||||||||
Class A | 1,000.00 | 1,015.57 | 1.86 | 9.30 | ||||
Class I | 1,000.00 | 1,016.86 | 1.60 | 8.00 |
* | Annualized expense ratios include dividend and interest expense on securities sold short. |
** | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (181) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Health Care | 35.1% |
Industrials | 12.0 |
Materials | 12.0 |
Information Technology | 10.9 |
Communication Services | 9.0 |
Consumer Discretionary | 7.3 |
Energy | 7.1 |
Utilities | 2.4 |
Real Estate | 2.3 |
Financials | 1.4 |
Consumer Staples | 0.5 |
Total | 100% |
Type of Buyer | Deal Terms* | ||
Strategic | 89.66% | Cash | 86.6% |
Financial | 10.34% | Cash and Stock | 8.1% |
Stock with Fixed Exchange Ratio | 5.2% | ||
By Deal Type | Undetermined (1) | 0.1% | |
Friendly | 100.0% | Stock with Flexible Exchange Ratio (Collar) | 0.0%** |
Hostile | 0.0% |
** Amount less than 0.005%.
(1) The compensation is undetermined because the compensation to be received (e.g., stock, cash, escrow notes, other) will be determined at a later date, potentially at the option of the Fund’s investment adviser.
Information Technology | 18.1% |
Materials | 14.7 |
Health Care | 13.1 |
Consumer Discretionary | 12.2 |
Communication Services | 10.9 |
Industrials | 9.3 |
Energy | 8.3 |
Financials | 7.4 |
Consumer Staples | 3.6 |
Utilities | 2.4 |
Total | 100% |
Health Care | 24.6% |
Materials | 13.2 |
Communication Services | 12.3 |
Information Technology | 12.2 |
Industrials | 10.5 |
Consumer Discretionary | 9.1 |
Energy | 6.3 |
Financials | 4.5 |
Consumer Staples | 4.3 |
Utilities | 1.5 |
Real Estate | 1.5 |
Total | 100% |
Par Value | Value | ||
Convertible Bonds and Notes—1.5% | |||
Health Care—1.5% | |||
Oak Street Health, Inc. 0.000%, 3/15/26 | $ 52,044 | $ 51,680 | |
Total Convertible Bonds and Notes (Identified Cost $50,113) | 51,680 | ||
Corporate Bonds and Notes—5.3% | |||
Communication Services—1.5% | |||
Connect Finco S.a.r.l. 144A 6.750%, 10/1/26(1) | 3,898 | 3,786 | |
GrubHub Holdings, Inc. 144A 5.500%, 7/1/27(1) | 15,910 | 9,136 | |
Lagardere S.A. | |||
RegS 2.125%, 10/16/26(2) | 16,100 EUR | 17,129 | |
RegS 1.750%, 10/7/27(2) | 13,000 EUR | 13,798 | |
TEGNA, Inc. | |||
4.625%, 3/15/28 | 2,283 | 2,015 | |
5.000%, 9/15/29 | 3,413 | 2,944 | |
48,808 | |||
Consumer Staples—0.7% | |||
Diamond BC B.V. 144A 4.625%, 10/1/29(1)(3) | 14,969 | 15,100 | |
TreeHouse Foods, Inc. 4.000%, 9/1/28 | 10,995 | 9,471 | |
24,571 | |||
Energy—0.8% | |||
PDC Energy, Inc. 5.750%, 5/15/26 | 26,314 | 26,209 | |
Financials—0.0% | |||
Mobius Merger Sub, Inc. 144A 9.000%, 6/1/30(1) | 1,679 | 1,474 | |
Health Care—0.4% | |||
Syneos Health, Inc. 144A 3.625%, 1/15/29(1) | 12,907 | 12,618 | |
Verscend Escrow Corp. 144A 9.750%, 8/15/26(1) | 1,810 | 1,815 | |
14,433 | |||
Industrials—0.6% | |||
Univar Solutions USA, Inc. 144A 5.125%, 12/1/27(1) | 19,027 | 19,452 | |
Information Technology—0.1% | |||
NCR Corp. | |||
144A 5.750%, 9/1/27(1) | 2,304 | 2,303 | |
144A 6.125%, 9/1/29(1) | 766 | 767 | |
3,070 | |||
Materials—1.1% | |||
Arconic Corp. | |||
144A 6.000%, 5/15/25(1) | 19,641 | 19,797 |
Par Value | Value | ||
Materials—continued | |||
144A 6.125%, 2/15/28(1) | $ 16,495 | $ 16,700 | |
36,497 | |||
Real Estate—0.0% | |||
Realogy Group LLC 144A 5.250%, 4/15/30(1) | 2,000 | 1,421 | |
Utilities—0.1% | |||
Origin Energy Finance Ltd. RegS 1.000%, 9/17/29(2) | 3,126 EUR | 3,145 | |
Total Corporate Bonds and Notes (Identified Cost $186,877) | 179,080 | ||
Leveraged Loans—1.8% | |||
Chemicals—1.2% | |||
Diamond BC B.V. Tranche B (3 month Term SOFR + 3.012%) 8.057%, 9/29/28(4) | 39,943 | 39,879 | |
Health Care—0.1% | |||
Verscend Holding Corp. Tranche B (1 month Term SOFR + 4.114%) 9.217%, 8/27/25(4) | 4,974 | 4,968 | |
Information Technology—0.1% | |||
RentPath LLC Tranche B-1, First Lien (3 month Prime + 3.750%) 12.000%, 4/25/24(5)(6) | 482 | — | |
Syniverse Holdings, Inc. (3 month Term SOFR + 7.000%) 12.242%, 5/13/27(4) | 5,340 | 4,861 | |
4,861 | |||
Service—0.4% | |||
Marnix Sas Tranche B (3 month Term SOFR + 3.750%) 8.850%, 8/4/28(4) | 12,150 | 12,102 | |
Total Leveraged Loans (Identified Cost $62,606) | 61,810 |
Shares | ||
Preferred Stock—0.1% | ||
Information Technology—0.1% | ||
Babcock & Wilcox Enterprises, Inc., 6.500% | 106,693 | 2,283 |
Total Preferred Stock (Identified Cost $2,667) | 2,283 | |
Common Stocks—33.8% | ||
Communication Services—3.9% | ||
Activision Blizzard, Inc.(7) | 1,503,369 | 126,734 |
GCI Liberty, Inc. Escrow Share(7) | 70,800 | 9 |
Shares | Value | ||
Communication Services—continued | |||
Radius Global Infrastructure, Inc. Class A(7) | 411,841 | $ 6,136 | |
132,879 | |||
Consumer Discretionary—0.7% | |||
Cazoo Group Ltd.(7) | 23,092 | 27 | |
Uni-Select, Inc.(7) | 679,170 | 24,122 | |
24,149 | |||
Consumer Staples—0.0% | |||
TPCO Holding Corp.(7) | 389,769 | 66 | |
Energy—1.0% | |||
PDC Energy, Inc. | 486,749 | 34,627 | |
Financials—0.7% | |||
Argo Group International Holdings Ltd. | 209,223 | 6,195 | |
First Horizon Corp. | 705,882 | 7,956 | |
Focus Financial Partners, Inc. Class A(7) | 143,432 | 7,532 | |
Home Capital Group, Inc. Class B | 10,395 | 338 | |
MarketWise, Inc. | 65,608 | 131 | |
22,152 | |||
Health Care—14.3% | |||
ABIOMED, Inc.(5)(7) | 60,860 | 129 | |
Amedisys, Inc.(7) | 186,373 | 17,042 | |
Biote Corp. Class A(7) | 19,214 | 130 | |
Chinook Therapeutics, Inc.(7) | 454,343 | 17,456 | |
DICE Therapeutics, Inc.(7) | 761,142 | 35,363 | |
Horizon Therapeutics plc(7)(8) | 1,864,618 | 191,776 | |
IVERIC bio, Inc.(7) | 1,363,625 | 53,645 | |
NuVasive, Inc.(7) | 848,872 | 35,304 | |
Seagen, Inc.(7)(8) | 547,516 | 105,375 | |
Syneos Health, Inc. Class A(7) | 539,210 | 22,722 | |
478,942 | |||
Industrials—5.3% | |||
Aerojet Rocketdyne Holdings, Inc.(7)(8) | 1,715,243 | 94,115 | |
Univar Solutions, Inc.(7)(8) | 2,382,337 | 85,383 | |
179,498 | |||
Information Technology—4.6% | |||
National Instruments Corp. | 296,220 | 17,003 | |
Tower Semiconductor Ltd.(7) | 389,641 | 14,620 | |
VMware, Inc. Class A(7)(8) | 861,550 | 123,796 | |
155,419 | |||
Materials—2.1% | |||
Arconic Corp.(7) | 822,339 | 24,325 | |
Newcrest Mining Ltd. | 214,176 | 3,814 | |
Teck Resources Ltd. Class B | 990,000 | 41,679 | |
69,818 | |||
Real Estate—1.2% | |||
Life Storage, Inc. | 270,397 | 35,952 |
Shares | Value | ||
Real Estate—continued | |||
Urstadt Biddle Properties, Inc. Class A | 139,080 | $ 2,957 | |
38,909 | |||
Utilities—0.0% | |||
Energy Harbor Corp.(7) | 100 | 8 | |
Total Common Stocks (Identified Cost $1,143,774) | 1,136,467 | ||
Rights—0.0% | |||
Health Care—0.0% | |||
Akouos, Inc., 12/31/49(7) | 336,679 | 379 | |
Bristol Myers Squibb Co., 12/31/35(5)(7) | 453,175 | 566 | |
Total Rights (Identified Cost $—) | 945 | ||
Warrants—0.1% | |||
Communication Services—0.0% | |||
Akazoo S.A., 12/31/35(5)(7) | 238,850 | — | |
BuzzFeed, Inc., 12/01/26(7) | 116,254 | 7 | |
7 | |||
Consumer Discretionary—0.1% | |||
Cazoo Group Ltd., 08/26/26(7) | 380,410 | 1 | |
CEC Brands LLC, 12/31/25(5)(7) | 189,648 | 569 | |
ECARX Holdings, Inc., 12/21/27(7) | 81,099 | 6 | |
Grove Collaborative Holdings, 03/13/26(7) | 78,996 | 1 | |
577 | |||
Consumer Staples—0.0% | |||
Whole Earth Brands, Inc., 06/25/25(7) | 229,941 | 46 | |
Financials—0.0% | |||
26 Capital Acquisition Corp., 12/31/27(7) | 61,000 | 3 | |
AltEnergy Acquisition Corp., 11/10/28(7) | 62,809 | 2 | |
Altimar Acquisition Corp. III, 12/31/28(7) | 40,839 | 1 | |
Ares Acquisition Corp., 12/31/27(7) | 31,500 | 25 | |
Arrowroot Acquisition Corp., 03/02/26(7) | 462,172 | 96 | |
Athena Consumer Acquisition Corp., 07/31/28(7) | 41,929 | 1 | |
Cartesian Growth Corp II, 07/12/28(7) | 69,832 | 9 | |
CC Neuberger Principal Holdings III, 12/31/27(7) | 22,800 | 4 | |
CF Acquisition Corp. VIII, 12/31/27(7) | 40,000 | 1 | |
Compute Health Acquisition Corp. Class A, 12/31/27(7) | 103,250 | 52 | |
Corner Growth Acquisition Corp., 12/31/27(7) | 62,938 | 8 | |
Elliott Opportunity II Corp., 03/02/26(7) | 20,362 | — (9) | |
ESGEN Acquisition Corp., 10/20/26(7) | 73,376 | 5 | |
FTAC Emerald Acquisition Corp., 08/22/28(7) | 207,965 | 10 | |
Fusion Acquisition Corp. II, 12/31/27(7) | 70,766 | — (9) | |
G Squared Ascend II, Inc., 12/31/26(5)(7) | 57,035 | — | |
GCM Grosvenor, Inc. Class A, 11/17/25(7) | 102,070 | 30 | |
Goal Acquisitions Corp., 02/11/26(7) | 564,935 | 14 | |
Golden Falcon Acquisition Corp., 11/04/26(7) | 112,102 | 15 | |
Infinite Acquisition Corp., 11/23/28(7) | 52,215 | 7 | |
Israel Acquisitions Corp., 02/28/28(7) | 447,969 | 67 | |
Juniper II Corp., 12/31/28(7) | 97,736 | 3 |
Shares | Value | ||
Financials—continued | |||
Kensington Capital Acquisition Corp. V, 07/19/23(7) | 126,939 | $ 10 | |
Live Oak Crestview Climate Acquisition Corp., 03/12/26(7) | 143,352 | 5 | |
Moneylion, Inc., 06/01/27(7) | 106,742 | 2 | |
Newbury Street Acquisition Corp., 12/31/27(7) | 31,054 | 6 | |
Newcourt Acquisition Corp., 04/12/28(7) | 85,245 | 1 | |
Phoenix Biotech Acquisition Corp., 09/01/26(7) | 62,781 | 4 | |
PROOF Acquisition Corp. I, 12/03/28(7) | 167,228 | 12 | |
Prospector Capital Corp., 01/01/25(7) | 155,088 | 19 | |
Pyrophyte Acquisition Corp., 12/17/23(7) | 83,773 | 7 | |
RMG Acquisition Corp. III, 12/31/27(7) | 85,180 | 10 | |
Screaming Eagle Acquisition Corp. Class A, 12/15/27(7) | 251,119 | 34 | |
Semper Paratus Acquisition Corp., 11/04/26(7) | 83,731 | 4 | |
Slam Corp. Class A, 12/31/27(7) | 101,785 | 19 | |
Spring Valley Acquisition Corp. II, 02/25/26(7) | 158,098 | 19 | |
Target Global Acquisition I Corp., 12/31/27(7) | 125,200 | 8 | |
Thunder Bridge Capital Partners III, Inc., 02/15/28(7) | 81,350 | 10 | |
Viscogliosi Brothers Acquisition Corp., 03/18/27(7) | 62,799 | 2 | |
Zapp Electric Vehicles Group Ltd., 03/03/28(7) | 168,623 | 9 | |
534 | |||
Health Care—0.0% | |||
Pear Therapeutics, Inc., 02/04/26(7) | 6,166 | — (9) | |
Quantum-Si, Inc., 09/30/27(7) | 32,085 | 7 | |
7 | |||
Industrials—0.0% | |||
Amprius Technologies, Inc., 03/02/27(7) | 326,205 | 156 | |
Bridger Aerospace Group Holdings, Inc., 12/31/27(7) | 58,300 | 12 | |
Freightos Ltd., 01/23/28(7) | 54,429 | 8 | |
Getaround, Inc., 12/31/28(7) | 12,698 | — (9) | |
Shapeways Holdings, Inc., 10/31/26(7) | 112,274 | 1 | |
177 | |||
Information Technology—0.0% | |||
Embark Technology, Inc., 12/31/27(7) | 3,466 | — (9) | |
KLDiscovery, Inc., 12/19/24(7) | 677,651 | 1 | |
Movella Holdings, Inc., 12/31/27(7) | 74,121 | 8 | |
Near Intelligence, Inc., 07/08/27(7) | 16,000 | 2 | |
11 | |||
Materials—0.0% | |||
Ginkgo Bioworks Holdings, Inc., 12/31/27(7) | 2,620 | 1 | |
Total Warrants (Identified Cost $13,965) | 1,360 |
Shares/Units | ||
Special Purpose Acquisition Companies—33.4% | ||
A SPAC II Acquisition Corp.(7) | 418,492 | 4,415 |
Accretion Acquisition Corp.(7) | 306,281 | 3,188 |
AfterNext HealthTech Acquisition Corp. Class A(7) | 1,021,189 | 10,580 |
Alchemy Investments Acquisition Corp. 1(7) | 367,795 | 3,766 |
Alpha Healthcare Acquisition Corp. III Class A(7) | 425,251 | 4,380 |
Alpha Partners Technology Merger Corp.(7) | 250,000 | 2,593 |
Alpha Partners Technology Merger Corp. Class A(7) | 896,417 | 9,323 |
Alpha Star Acquisition Corp.(7) | 361,313 | 3,877 |
AltC Acquisition Corp. Class A(7) | 378,755 | 3,950 |
Shares/Units | Value | ||
Andretti Acquisition Corp. Class A(7) | 941,756 | $ 10,020 | |
AP Acquisition Corp. Class A(7) | 273,144 | 2,939 | |
Apollo Strategic Growth Capital Class B(5)(7) | 263,982 | — | |
Apollo Strategic Growth Capital II Class A(7)(10) | 1,536,014 | 15,867 | |
APx Acquisition Corp. I(7)(10) | 566,675 | 6,103 | |
Ares Acquisition Corp. Class A(7)(10) | 2,638,587 | 27,890 | |
Ares Acquisition Corp. II(7) | 662,503 | 6,824 | |
Arisz Acquisition Corp.(7) | 339,292 | 3,586 | |
Arogo Capital Acquisition Corp. Class A(7)(10) | 313,503 | 3,298 | |
Arrowroot Acquisition Corp. Class A(7)(10) | 345,322 | 3,602 | |
Artemis Strategic Investment Corp. Class A(7)(10) | 1,159,403 | 12,336 | |
ARYA Sciences Acquisition Corp. IV Class A(7)(10) | 465,691 | 4,955 | |
ARYA Sciences Acquisition Corp. V Class A(7) | 699,585 | 7,241 | |
Aura FAT Projects Acquisition Corp. Class A(7) | 389,949 | 4,126 | |
Aurora Technology Acquisition Corp. Class A(7) | 200,000 | 2,122 | |
AXIOS Sustainable Growth Acquisition Corp. Class A(7) | 142,998 | 1,491 | |
AxonPrime Infrastructure Acquisition Corp. Class A(7) | 100,211 | 1,031 | |
Bannix Acquisition Corp.(7) | 21,987 | 230 | |
Battery Future Acquisition Corp. Class A(7)(10) | 938,916 | 9,953 | |
Beard Energy Transition Acquisition Corp. Class A(7) | 350,888 | 3,688 | |
Bilander Acquisition Corp. Class A(7) | 603,972 | 6,130 | |
BioPlus Acquisition Corp. Class A(7)(10) | 1,119,976 | 11,928 | |
Black Mountain Acquisition Corp. Class A(7) | 335,923 | 3,564 | |
Black Spade Acquisition Co. Class A(7) | 187,765 | 1,941 | |
Blue Ocean Acquisition Corp. Class A(7) | 776,707 | 8,210 | |
Blue Whale Acquisition Corp. I Class A(7) | 731,011 | 7,420 | |
Blue World Acquisition Corp.(7) | 349,293 | 3,706 | |
C5 Acquisition Corp. Class A(7)(10) | 584,310 | 6,223 | |
Canna-Global Acquisition Corp. Class A(7) | 112,533 | 1,207 | |
Capitalworks Emerging Markets Acquisition Corp. Class A(7) | 203,471 | 2,155 | |
Cartesian Growth Corp. II Class A(7) | 1,060,315 | 11,314 | |
Cartica Acquisition Corp.(7) | 75,000 | 803 | |
Cartica Acquisition Corp. Class A(7) | 877,429 | 9,336 | |
CC Neuberger Principal Holdings III Class A(7) | 114,000 | 1,220 | |
Cetus Capital Acquisition Corp.(7) | 165,895 | 1,702 | |
CF Acquisition Corp. IV Class A(7) | 451,305 | 4,739 | |
CF Acquisition Corp. VII Class A(7) | 470,262 | 5,008 | |
Chenghe Acquisition Co. Class A(7) | 167,162 | 1,789 | |
Churchill Capital Corp. V Class A(7) | 208,972 | 2,125 | |
Clean Earth Acquisitions Corp. Class A(7)(10) | 547,252 | 5,735 | |
Colombier Acquisition Corp. Class A(7) | 687,576 | 7,061 | |
Compass Digital Acquisition Corp.(7) | 749,247 | 7,785 | |
Concord Acquisition Corp. II Class A(7) | 1,093,158 | 11,216 | |
Consilium Acquisition Corp. I Ltd.(7) | 757,046 | 7,945 | |
Constellation Acquisition Corp. I Class A(7)(10) | 381,194 | 4,033 | |
Conyers Park III Acquisition Corp. Class A(7) | 909,139 | 9,282 | |
Corsair Partnering Corp. Class A(7) | 1,320,591 | 13,681 | |
DA32 Life Science Tech Acquisition Corp. Class A(7) | 271,534 | 2,786 | |
Data Knights Acquisition Corp. Class A(7)(10) | 395,183 | 4,323 | |
DHC Acquisition Corp. Class A(7) | 190,308 | 1,954 | |
Direct Selling Acquisition Corp. Class A(7) | 183,853 | 1,954 | |
Distoken Acquisition Corp.(3)(7) | 376,998 | 3,891 | |
DUET Acquisition Corp. Class A(7) | 201,622 | 2,119 | |
EF Hutton Acquisition Corp. I(7) | 194,219 | 2,018 | |
Elliott Opportunity II Corp. Class A(7) | 2,790,846 | 28,913 | |
Embrace Change Acquisition Corp.(7) | 206,123 | 2,181 | |
Enphys Acquisition Corp.(7) | 1,382,585 | 14,365 | |
Enterprise 4.0 Technology Acquisition Corp.(7) | 712,461 | 7,616 | |
ESGEN Acquisition Corp. Class A(7)(10) | 403,925 | 4,391 | |
ESH Acquisition Corp.(7) | 240,206 | 2,436 | |
EVe Mobility Acquisition Corp. Class A(7) | 1,523,805 | 16,015 |
Shares/Units | Value | ||
Everest Consolidator Acquisition Corp.(7) | 234,234 | $ 2,495 | |
ExcelFin Acquisition Corp. Class A(7) | 122,467 | 1,272 | |
FAST Acquisition Corp. II Class A(7) | 200,431 | 2,082 | |
Feutune Light Acquisition Corp. Class A(7) | 81,104 | 853 | |
Finnovate Acquisition Corp. Class A(7)(10) | 521,355 | 5,521 | |
Flame Acquisition Corp. Class A(7) | 178,756 | 1,836 | |
Focus Impact Acquisition Corp. Class A(7)(10) | 375,863 | 3,980 | |
Forbion European Acquisition Corp. Class A(7) | 389,361 | 4,178 | |
Forest Road Acquisition Corp. II Class A(3)(7) | 150,000 | 1,538 | |
Forum Merger IV Corp. Class A(7)(10) | 444,681 | 4,562 | |
Freedom Acquisition I Corp. Class A(7)(10) | 563,480 | 5,973 | |
Frontier Investment Corp. Class A(7) | 128,416 | 1,325 | |
FTAC Emerald Acquisition Corp. Class A(7) | 576,024 | 5,968 | |
FTAC Zeus Acquisition Corp. Class A(7) | 1,695,862 | 17,679 | |
Fusion Acquisition Corp. II Class A(7)(10) | 447,829 | 4,648 | |
Galata Acquisition Corp. Class A(7) | 182,684 | 1,874 | |
Generation Asia I Acquisition Ltd. Class A(7) | 325,000 | 3,419 | |
Global Partner Acquisition Corp. II Class A(7) | 4,721 | 50 | |
Goal Acquisitions Corp.(7) | 303,418 | 3,149 | |
GoGreen Investments Corp.(7) | 1,089,685 | 11,594 | |
Golden Star Acquisition Corp.(7) | 205,869 | 2,143 | |
Gores Holdings IX, Inc. Class A(7) | 2,327,807 | 23,860 | |
Graf Acquisition Corp. IV(7) | 85,305 | 881 | |
Growth For Good Acquisition Corp.(7) | 992,559 | 10,362 | |
Hawks Acquisition Corp. Class A(7) | 379,707 | 3,892 | |
HCM Acquisition Corp. Class A(7) | 467,203 | 4,966 | |
Healthcare AI Acquisition Corp. Class A(7) | 131,584 | 1,403 | |
Healthwell Acquisition Corp. I Class A(7) | 99,113 | 1,019 | |
Heartland Media Acquisition Corp. Class A(7) | 609,687 | 6,426 | |
Hennessy Capital Investment Corp. VI Class A(7) | 457,611 | 4,713 | |
HH&L Acquisition Co. Class A(7)(10) | 698,360 | 7,312 | |
Iconic Sports Acquisition Corp. Class A(7) | 562,740 | 5,993 | |
Infinite Acquisition Corp. Class A(7) | 1,248,828 | 13,200 | |
InFinT Acquisition Corp. Class A(7) | 251,663 | 2,713 | |
Inflection Point Acquisition Corp. II(7) | 295,522 | 2,991 | |
Insight Acquisition Corp. Class A(7) | 168,606 | 1,754 | |
Integral Acquisition Corp. 1 Class A(7) | 124,146 | 1,302 | |
Integrated Rail & Resources Acquisition Corp. Class A(7) | 29,811 | 319 | |
Integrated Wellness Acquisition Corp. Class A(7)(10) | 423,090 | 4,531 | |
Investcorp Europe Acquisition Corp. I Class A(7)(10) | 1,234,820 | 13,163 | |
Investcorp India Acquisition Corp. Class A(7) | 1,095,845 | 11,731 | |
Israel Acquisitions Corp. Class A(7)(10) | 847,969 | 8,810 | |
IX Acquisition Corp. Class A(7) | 390,600 | 4,125 | |
Jaguar Global Growth Corp. I Class A(7)(10) | 1,394,134 | 14,722 | |
Jupiter Acquisition Corp. Class A(7) | 199,693 | 2,047 | |
Kensington Capital Acquisition Corp. V Class A(7)(10) | 1,431,489 | 15,117 | |
Kernel Group Holdings, Inc. Class A(7)(10) | 501,704 | 5,268 | |
Keyarch Acquisition Corp.(7) | 250,353 | 2,619 | |
LatAmGrowth SPAC(7) | 230,919 | 2,466 | |
Learn CW Investment Corp. Class A(7) | 817,802 | 8,579 | |
Liberty Resources Acquisition Corp. Class A(7) | 170,482 | 1,848 | |
LIV Capital Acquisition Corp. II Class A(7) | 240,625 | 2,553 | |
Live Oak Crestview Climate Acquisition Corp. Class A(7) | 531,491 | 5,448 | |
M3-Brigade Acquisition III Corp. Class A(7) | 894,863 | 9,342 | |
Magnum Opus Acquisition Ltd. Class A(7)(10) | 394,757 | 4,125 | |
Maquia Capital Acquisition Corp. Class A(7) | 141,250 | 1,561 | |
Mars Acquisition Corp.(7) | 208,720 | 2,164 | |
Mars Acquisition Corp.(7) | 5,944 | 63 | |
Metal Sky Star Acquisition Corp.(7) | 185,999 | 2,251 | |
Monterey Capital Acquisition Corp. Class A(7) | 372,019 | 3,891 | |
Moringa Acquisition Corp. Class A(7) | 147,643 | 1,553 | |
Mountain & Co. I Acquisition Corp.(7)(10) | 923,431 | 10,038 |
Shares/Units | Value | ||
Nabors Energy Transition Corp. Class A(7)(10) | 752,411 | $ 7,991 | |
Newbury Street Acquisition Corp.(7) | 242,108 | 2,506 | |
Newcourt Acquisition Corp. Class A(7)(10) | 170,490 | 1,867 | |
Northern Revival Acquisition Corp. Class A(7) | 116,542 | 1,226 | |
Nubia Brand International Corp. Class A(7)(10) | 308,227 | 3,283 | |
Oak Woods Acquisition Corp. Class A(3)(7) | 241,946 | 2,485 | |
OCA Acquisition Corp. Class A(7) | 139,497 | 1,462 | |
Papaya Growth Opportunity Corp. I Class A(7)(10) | 613,454 | 6,503 | |
Patria Latin American Opportunity Acquisition Corp.(7) | 896,462 | 9,628 | |
Pearl Holdings Acquisition Corp. Class A(7)(10) | 1,090,589 | 11,517 | |
Pegasus Digital Mobility Acquisition Corp. Class A(7) | 124,475 | 1,326 | |
Perception Capital Corp. II Class A(7) | 92,004 | 1,009 | |
Plum Acquisition Corp. I Class A(7)(10) | 457,975 | 4,818 | |
Portage Fintech Acquisition Corp. Class A(7) | 959,966 | 9,974 | |
Power & Digital Infrastructure Acquisition II Corp. Class A(7)(10) | 658,824 | 6,872 | |
Prime Number Acquisition I Corp. Class A(7) | 346,244 | 3,649 | |
Project Energy Reimagined Acquisition Corp.(7) | 731,665 | 7,580 | |
PROOF Acquisition Corp. I Class A(7)(10) | 479,976 | 5,059 | |
Pyrophyte Acquisition Corp. Class A(7)(10) | 699,963 | 7,462 | |
Quadro Acquisition One Corp. Class A(7) | 70,320 | 739 | |
RCF Acquisition Corp. Class A(7)(10) | 1,079,005 | 11,545 | |
Redwoods Acquisition Corp.(7) | 355,774 | 3,721 | |
Rigel Resource Acquisition Corp. Class A(7) | 1,308,415 | 14,026 | |
Ross Acquisition Corp. II Class A(7)(10) | 468,201 | 4,925 | |
Roth CH Acquisition V Co.(7) | 162,947 | 1,677 | |
Screaming Eagle Acquisition Corp. Class A(3)(7) | 3,044,245 | 31,417 | |
SDCL EDGE Acquisition Corp. Class A(7) | 499,699 | 5,214 | |
SHUAA Partners Acquisition Corp. I Class A(7) | 155,904 | 1,667 | |
SilverBox Corp. III(7) | 94,545 | 961 | |
SILVERspac, Inc. Class A(3)(7) | 768,145 | 7,981 | |
Sizzle Acquisition Corp.(7) | 217,633 | 2,325 | |
SK Growth Opportunities Corp. Class A(7) | 872,233 | 9,237 | |
Slam Corp. Class A(7)(10) | 2,065,256 | 22,078 | |
Social Capital Suvretta Holdings Corp. II Class A(7)(10) | 1,687,396 | 17,473 | |
Social Capital Suvretta Holdings Corp. IV Class A(7)(10) | 1,687,396 | 17,465 | |
Southport Acquisition Corp.(7) | 1,095,115 | 11,488 | |
Spree Acquisition Corp. 1 Ltd.(7) | 60,778 | 645 | |
Spring Valley Acquisition Corp. II(7) | ��316,196 | 44 | |
Spring Valley Acquisition Corp. II Class A(7) | 772,926 | 8,147 | |
Stratim Cloud Acquisition Corp.(7) | 157,656 | 1,629 | |
Target Global Acquisition I Corp. Class A(7)(10) | 672,226 | 7,146 | |
TenX Keane Acquisition Class A(7) | 251,058 | 2,644 | |
Thunder Bridge Capital Partners IV, Inc. Class A(7) | 536,525 | 5,521 | |
TKB Critical Technologies 1 Class A(7) | 547,595 | 5,799 | |
TLGY Acquisition Corp. Class A(7)(10) | 572,339 | 6,158 | |
TMT Acquisition Corp.(7) | 244,827 | 86 | |
TMT Acquisition Corp. Class A(7) | 327,009 | 3,365 | |
TortoiseEcofin Acquisition Corp. III Class A(7) | 926,275 | 9,587 | |
Tristar Acquisition I Corp. Class A(7) | 953,834 | 9,982 | |
Twin Ridge Capital Acquisition Corp. Class A(7)(10) | 537,023 | 5,746 | |
UTA Acquisition Corp. Class A(7)(10) | 1,396,225 | 14,758 | |
Vahanna Tech Edge Acquisition I Corp. Class A(7) | 337,196 | 3,588 | |
Valuence Merger Corp. I Class A(7)(10) | 706,148 | 7,563 | |
Viscogliosi Brothers Acquisition Corp.(7) | 125,598 | 1,315 | |
Viveon Health Acquisition Corp.(7) | 76,597 | 843 | |
Waverley Capital Acquisition Corp. 1 Class A(7) | 870,959 | 9,032 | |
XPAC Acquisition Corp. Class A(7) | 941,127 | 9,759 | |
Yotta Acquisition Corp.(7) | 275,274 | 2,885 |
Shares/Units | Value | ||
Zalatoris Acquisition Corp.(7) | 252,668 | $ 2,615 | |
Total Special Purpose Acquisition Companies (Identified Cost $1,089,292) | 1,121,867 |
Shares | ||
Purchased Options—0.1% | ||
(See open purchased options schedule) | ||
Total Purchased Options (Premiums Paid $4,602) | 3,860 | |
Escrow Notes—1.8% | ||
Financials—1.8% | ||
Altaba, Inc. Escrow(7) | 25,671,973 | 60,072 |
Pershing Square Escrow(7) | 547,537 | 110 |
60,182 | ||
Industrials—0.0% | ||
AMR Corp. Escrow(5)(7) | 1,243,406 | 25 |
Total Escrow Notes (Identified Cost $35,331) | 60,207 | |
Master Limited Partnerships and Related Companies—1.8% | ||
Downstream/Other—1.8% | ||
Magellan Midstream Partners LP | 955,119 | 59,523 |
Total Master Limited Partnerships and Related Companies (Identified Cost $58,230) | 59,523 | |
Total Long-Term Investments—79.7% (Identified Cost $2,647,457) | 2,679,082 | |
Short-Term Investments—19.8% | ||
Money Market Mutual Funds—19.8% | ||
Goldman Sachs Financial Square Funds - Treasury Instruments Fund - Standard Shares (seven-day effective yield 4.979%)(11) | 192,800,000 | 192,800 |
Goldman Sachs Financial Square Government Fund - Standard Shares (seven-day effective yield 5.016%)(11) | 192,800,000 | 192,800 |
Goldman Sachs Financial Square Treasury Obligations Fund - Standard Shares (seven-day effective yield 4.989%)(11) | 85,065,244 | 85,065 |
Goldman Sachs Financial Square Treasury Solutions Fund - Standard Shares (seven-day effective yield 4.983%)(11) | 192,800,000 | 192,800 |
Total Short-Term Investments (Identified Cost $663,465) | 663,465 | |
Shares | Value | ||
Securities Lending Collateral—0.0% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 4.997%)(11)(12) | 340,096 | $ 340 | |
Total Securities Lending Collateral (Identified Cost $340) | 340 | ||
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT AND WRITTEN OPTIONS—99.5% (Identified Cost $3,311,262) | 3,342,887 | ||
Securities Sold Short—(3.5)% | |||
Common Stocks—(3.5)% | |||
Energy—(2.2)% | |||
Chevron Corp. | (225,755) | (35,522) | |
ONEOK, Inc. | (637,064) | (39,320) | |
(74,842) | |||
Health Care—(1.1)% | |||
Globus Medical, Inc. Class A(7) | (636,656) | (37,906) | |
Information Technology—(0.1)% | |||
Broadcom, Inc. | (1,162) | (1,008) | |
Real Estate—(0.1)% | |||
Regency Centers Corp. | (48,261) | (2,981) | |
Total Securities Sold Short (Identified Proceeds $(111,950)) | (116,737) | ||
Written Options—(0.8)% | |||
(See open written options schedule) | |||
Total Written Options (Premiums Received $23,829) | (27,258) | ||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT AND WRITTEN OPTIONS—95.2% (Identified Cost $3,175,483) | $ 3,198,892 | ||
Other assets and liabilities, net—4.8% | 160,813 | ||
NET ASSETS—100.0% | $ 3,359,705 |
Abbreviations: | |
LLC | Limited Liability Company |
LP | Limited Partnership |
SOFR | Secured Overnight Financing Rate |
SPAC | Special Purpose Acquisition Company |
Footnote Legend: | |
(1) | 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. At June 30, 2023, these securities amounted to a value of $104,369 or 3.1% of net assets. |
(2) | Regulation S security. Security is offered and sold outside of the United States; therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(3) | All or a portion of security is on loan. |
(4) | Variable rate security. Rate disclosed is as of June 30, 2023. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(6) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(7) | Non-income producing. |
(8) | All or a portion of the shares have been committed as collateral for open securities sold short and written option contracts. The value of securities segregated as collateral is $232,538. |
(9) | Amount is less than $500 (not in thousands). |
(10) | Affiliated investment. See Note 4G in Notes to Financial Statements. |
(11) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(12) | Represents security purchased with cash collateral received for securities on loan. |
Counterparties: | |
BAML | Bank of America-Merrill Lynch |
GS | Goldman Sachs & Co. |
JPM | JPMorgan Chase Bank N.A. |
Foreign Currencies: | |
AUD | Australian Dollar |
CAD | Canadian Dollar |
DKK | Danish Krone |
EUR | Euro |
GBP | United Kingdom Pound Sterling |
JPY | Japanese Yen |
USD | United States Dollar |
Country Weightings† | |
United States | 63% |
Cayman Islands | 25 |
Ireland | 6 |
Canada | 2 |
Netherlands | 2 |
France | 1 |
Israel | 1 |
Total | 100% |
†% of total investments, net of securities sold short and written options, as of June 30, 2023. |
Open purchased options contracts as of June 30, 2023 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Put Options(2) | |||||
Chinook Therapeutics, Inc. | 12 | $ 30 | $ 25.00 | 10/20/23 | $ —(3) |
Chinook Therapeutics, Inc. | 20 | 60 | 30.00 | 12/15/23 | 1 |
Chinook Therapeutics, Inc. | 29 | 73 | 25.00 | 01/19/24 | 1 |
DICE Therapeutics, Inc. | 69 | 241 | 35.00 | 01/19/24 | 2 |
Horizon Therapeutics plc | 786 | 7,860 | 100.00 | 08/18/23 | 110 |
IVERIC bio, Inc. | 4,298 | 12,894 | 30.00 | 09/15/23 | 86 |
Seagen, Inc. | 1,982 | 37,658 | 190.00 | 06/21/24 | 3,052 |
SPDR S&P 500® ETF Trust | 2,116 | 92,046 | 435.00 | 07/21/23 | 355 |
Teck Resources Ltd. | 857 | 2,999 | 35.00 | 07/21/23 | 5 |
Teck Resources Ltd. | 2,667 | 9,868 | 37.00 | 07/21/23 | 40 |
Teck Resources Ltd. | 1,273 | 4,837 | 38.00 | 07/21/23 | 23 |
Teck Resources Ltd. | 851 | 3,149 | 37.00 | 08/18/23 | 49 |
Teck Resources Ltd. | 4,252 | 14,032 | 33.00 | 09/15/23 | 136 |
Total Purchased Options | $3,860 | ||||
Footnote Legend: | |||||
(1) Strike price not reported in thousands. | |||||
(2) Exchange-traded options. | |||||
(3) Amount is less than $500 (not in thousands). |
Open written options contracts as of June 30, 2023 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Activision Blizzard, Inc. | (2,004) | $(14,028) | $ 70.00 | 07/21/23 | $ (2,906) |
Activision Blizzard, Inc. | (5,667) | (39,669) | 70.00 | 08/18/23 | (8,563) |
Activision Blizzard, Inc. | (7,362) | (53,374) | 72.50 | 08/18/23 | (9,298) |
Amedisys, Inc. | (1,864) | (16,776) | 90.00 | 09/15/23 | (634) |
Chinook Therapeutics, Inc. | (8) | (32) | 40.00 | 01/19/24 | (1) |
DICE Therapeutics, Inc. | (423) | (2,115) | 50.00 | 01/19/24 | (4) |
Horizon Therapeutics plc | (344) | (3,612) | 105.00 | 07/21/23 | (33) |
Horizon Therapeutics plc | (786) | (9,039) | 115.00 | 08/18/23 | (16) |
IVERIC bio, Inc. | (7,586) | (30,344) | 40.00 | 09/15/23 | (76) |
Prometheus Biosciences, Inc. | (2,489) | (49,780) | 200.00 | 01/19/24 | — |
Radius Global Infrastructure, Inc. | (2,692) | (4,038) | 15.00 | 08/18/23 | (29) |
Radius Global Infrastructure, Inc. | (363) | (545) | 15.00 | 01/19/24 | (5) |
Seagen, Inc. | (297) | (5,643) | 190.00 | 07/21/23 | (157) |
Seagen, Inc. | (158) | (2,923) | 185.00 | 08/18/23 | (166) |
Seagen, Inc. | (343) | (6,517) | 190.00 | 08/18/23 | (271) |
SPDR S&P 500® ETF Trust | (851) | (37,444) | 440.00 | 07/21/23 | (588) |
Teck Resources Ltd. | (857) | (3,342) | 39.00 | 07/21/23 | (302) |
Teck Resources Ltd. | (1,273) | (5,347) | 42.00 | 07/21/23 | (192) |
Teck Resources Ltd. | (625) | (2,688) | 43.00 | 07/21/23 | (62) |
Teck Resources Ltd. | (851) | (3,489) | 41.00 | 08/18/23 | (254) |
Teck Resources Ltd. | (4,252) | (15,732) | 37.00 | 09/15/23 | (2,711) |
(26,268) | |||||
Put Options(2) | |||||
Horizon Therapeutics plc | (786) | (6,288) | 80.00 | 08/18/23 | (22) |
Seagen, Inc. | (1,982) | (28,739) | 145.00 | 06/21/24 | (862) |
SPDR S&P 500® ETF Trust | (2,116) | (88,872) | 420.00 | 07/21/23 | (106) |
(990) | |||||
Total Written Options | $(27,258) |
Footnote Legend: | |
(1) Strike price not reported in thousands. | |
(2) Exchange-traded options. |
Forward foreign currency exchange contracts as of June 30, 2023 were as follows: | ||||||||
Currency Purchased | Currency Amount Purchased | Currency Sold | Currency Amount Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
USD | 353 | CAD | 468 | JPM | 09/07/23 | $ — | $ — (1) | |
USD | 31,802 | EUR | 29,100 | JPM | 09/20/23 | — | (81) | |
USD | 4,079 | JPY | 530,393 | JPM | 09/21/23 | 355 | — | |
USD | 3,098 | DKK | 21,022 | GS | 10/04/23 | — | (1) | |
USD | 7,884 | EUR | 7,256 | GS | 10/04/23 | — | (72) | |
USD | 24,172 | CAD | 32,600 | JPM | 10/13/23 | — | (477) | |
USD | 1,540 | EUR | 1,404 | GS | 10/19/23 | — (1) | — | |
USD | 2,146 | EUR | 1,956 | JPM | 10/19/23 | — | (2) | |
USD | 25,534 | AUD | 37,872 | GS | 12/05/23 | 199 | — | |
USD | 14,358 | GBP | 11,566 | JPM | 12/06/23 | — | (326) | |
USD | 3,406 | EUR | 3,126 | JPM | 12/22/23 | — | (37) | |
USD | 18,153 | JPY | 2,553,224 | GS | 12/26/23 | — | (64) | |
USD | 46,919 | GBP | 37,371 | GS | 12/27/23 | — | (514) | |
Total | $554 | $(1,574) |
Footnote Legend: | |
(1) | Amount is less than $500 (not in thousands). |
Over-the-counter total return swaps outstanding as of June 30, 2023 were as follows: | ||||||||||||
Referenced Entity | Pay/Receive | Financing Rate(1) | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value (2) | Unrealized Appreciation | Unrealized Depreciation | |||
Long Total Return Swap Contracts | ||||||||||||
Bristol-Myers Squibb Co.(3),(4) | Pay | 5.820% (0.750% + OBFR) | 1 Month | BAML | 03/04/24 | $ —(5) | $ 452 | $ 452 | $ — | |||
Brookfield Property Preferred LP | Pay | 5.810% (0.750% + OBFR) | 1 Month | BAML | 01/08/24 | 846 | (29) | — | (29) | |||
Cazoo Group Ltd. | Pay | 5.820% (0.750% + OBFR) | 1 Month | BAML | 10/23/23 | 163 | (148) | — | (148) | |||
Cazoo Group Ltd. | Pay | 5.820% (0.750% + OBFR) | 1 Month | BAML | 01/29/24 | 30 | (18) | — | (18) | |||
Chr Hansen Holding A/S | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 02/19/24 | 14,632 | (819) | — | (819) | |||
Chr Hansen Holding A/S | Pay | 5.620% (0.550% + OBFR) | 3 Month | JPM | 08/05/24 | 211 | (1) | — | (1) | |||
Dechra Pharmaceuticals plc | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 05/27/24 | 43,134 | 405 | 405 | — | |||
Emis Group plc | Pay | 5.510% (0.450% + OBFR) | 3 Month | JPM | 09/18/23 | 875 | (194) | — | (194) | |||
Emis Group plc | Pay | 5.510% (0.450% + OBFR) | 3 Month | JPM | 09/19/23 | 2,545 | (557) | — | (557) | |||
Emis Group plc | Pay | 5.510% (0.450% + OBFR) | 3 Month | JPM | 09/22/23 | 334 | (72) | — | (72) | |||
Emis Group plc | Pay | 5.510% (0.450% + OBFR) | 3 Month | JPM | 09/25/23 | 468 | (95) | — | (95) | |||
Emis Group plc | Pay | 5.510% (0.450% + OBFR) | 3 Month | JPM | 09/26/23 | 56 | (11) | — | (11) | |||
Emis Group plc | Pay | 5.510% (0.450% + OBFR) | 3 Month | JPM | 10/02/23 | 563 | (113) | — | (113) | |||
Emis Group plc | Pay | 5.510% (0.450% + OBFR) | 3 Month | JPM | 10/05/23 | 8,345 | (1,560) | — | (1,560) | |||
JSR Corp. | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 07/30/24 | 16,825 | (106) | — | (106) | |||
Majorel Group Luxembourg S.A. | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 07/22/24 | 1,473 | 14 | 14 | — | |||
Majorel Group Luxembourg S.A. | Pay | 5.610% (0.550% + OBFR) | 3 Month | JPM | 07/29/24 | 208 | 1 | 1 | — | |||
Majorel Group Luxembourg S.A. | Pay | 5.610% (0.550% + OBFR) | 3 Month | JPM | 08/05/24 | 1,829 | 2 | 2 | — | |||
Newcrest Mining Ltd. | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 05/27/24 | 12,841 | (994) | — | (994) | |||
Origin Energy Ltd. | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 04/16/24 | 37,160 | 385 | 385 | — | |||
SimCorp A/S | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 07/29/24 | 3,032 | (1) | — | (1) | |||
Telenet Group Holding N.V. | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 04/24/24 | 7,402 | 72 | 72 | — | |||
Toshiba Corp. | Pay | 5.610% (0.550% + OBFR) | 3 Month | JPM | 07/22/24 | 3,172 | (70) | — | (70) | |||
Willis Towers Watson plc | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 11/28/23 | 6,503 | 720 | 720 | — | |||
(2,737) | 2,051 | (4,788) | ||||||||||
Short Total Return Swap Contracts | ||||||||||||
Aon plc | Receive | 4.710% ((0.350)% + OBFR) | 1 Month | GS | 01/15/24 | (6,707) | (727) | — | (727) | |||
Broadcom, Inc. | Receive | 4.660% ((0.400)% + OBFR) | 1 Month | BAML | 10/12/23 | (44,450) | (31,204) | — | (31,204) | |||
Broadcom, Inc. | Receive | 4.710% ((0.350)% + OBFR) | 1 Month | GS | 01/15/24 | (11,742) | (6,127) | — | (6,127) | |||
Extra Space Storage, Inc. | Receive | 4.710% ((0.350)% + OBFR) | 1 Month | GS | 07/15/24 | (35,306) | (1,034) | — | (1,034) | |||
Newmont Corp. | Receive | 4.710% ((0.350)% + OBFR) | 1 Month | GS | 06/24/24 | (14,773) | (231) | — | (231) | |||
Novozymes A/S | Receive | 4.710% ((0.350)% + OBFR) | 1 Month | GS | 02/19/24 | (6,594) | 604 | 604 | — | |||
Novozymes A/S | Receive | 4.710% ((0.350)% + OBFR) | 1 Month | GS | 02/20/24 | (9,105) | 872 | 872 | — | |||
Novozymes A/S | Receive | 4.570% ((0.500)% + OBFR) | 3 Month | JPM | 08/05/24 | (217) | 1 | 1 | — | |||
(37,846) | 1,477 | (39,323) | ||||||||||
Total | $ (40,583) | $3,528 | $ (44,111) |
Footnote Legend: | |
(1) | The Fund pays the floating rate (+/- a spread) and receives the total return of the reference entity. |
(2) | There were no upfront premiums paid or received for the open swap contracts held. |
(3) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(4) | 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. |
(5) | Amount is less than $500 (not in thousands). |
Total Value at June 30, 2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Corporate Bonds and Notes | $ 179,080 | $ — | $ 179,080 | $ — | |||
Leveraged Loans | 61,810 | — | 61,810 | — (1) | |||
Convertible Bonds and Notes | 51,680 | — | 51,680 | — | |||
Equity Securities: | |||||||
Common Stocks | 1,136,467 | 1,136,321 | 17 | 129 | |||
Master Limited Partnerships and Related Companies | 59,523 | 59,523 | — | — | |||
Escrow Notes | 60,207 | — | 60,182 | 25 | |||
Warrants | 1,360 | 791 | — | 569 (1) | |||
Special Purpose Acquisition Companies | 1,121,867 | 1,077,923 | 43,944 | — (1) | |||
Preferred Stock | 2,283 | 2,283 | — | — | |||
Rights | 945 | — | 379 | 566 | |||
Money Market Mutual Funds | 663,465 | 663,465 | — | — | |||
Securities Lending Collateral | 340 | 340 | — | — | |||
Other Financial Instruments: | |||||||
Purchased Options | 3,860 | 3,672 | 188 | — | |||
Forward Foreign Currency Exchange Contracts | 554 | — | 554 | — | |||
Over-the-Counter Total Return Swaps | 3,528 | — | 3,076 | 452 | |||
Total Assets | 3,346,969 | 2,944,318 | 400,910 | 1,741 | |||
Liabilities: | |||||||
Securities Sold Short: | |||||||
Common Stocks | (116,737) | (116,737) | — | — | |||
Other Financial Instruments: | |||||||
Written Options | (27,258) | (19,989) | (7,269) | — | |||
Forward Foreign Currency Exchange Contracts | (1,574) | — | (1,574) | — | |||
Over-the-Counter Total Return Swaps | (44,111) | — | (44,111) | — | |||
Total Liabilities | (189,680) | (136,726) | (52,954) | — | |||
Total Investments, Net of Securities Sold Short and Written Options | $3,157,289 | $2,807,592 | $ 347,956 | $1,741 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Par Value | Value | ||
Convertible Bonds and Notes—6.8% | |||
Communication Services—2.5% | |||
Radius Global Infrastructure, Inc. 144A 2.500%, 9/15/26(1)(2) | $ 1,492 | $ 1,470 | |
Health Care—4.3% | |||
Oak Street Health, Inc. 0.000%, 3/15/26(2) | 1,864 | 1,851 | |
Paratek Pharmaceuticals, Inc. 4.750%, 5/1/24 | 750 | 734 | |
2,585 | |||
Total Convertible Bonds and Notes (Identified Cost $3,952) | 4,055 | ||
Corporate Bonds and Notes—58.9% | |||
Communication Services—10.8% | |||
Allen Media LLC 144A 10.500%, 2/15/28(1)(2) | 451 | 232 | |
Clear Channel Outdoor Holdings, Inc. 144A 7.500%, 6/1/29(1)(2) | 1,456 | 1,078 | |
Connect Finco S.a.r.l. 144A 6.750%, 10/1/26(1)(2) | 975 | 947 | |
Getty Images, Inc. 144A 9.750%, 3/1/27(1)(2) | 1,769 | 1,747 | |
GrubHub Holdings, Inc. 144A 5.500%, 7/1/27(1)(2) | 216 | 124 | |
Lagardere S.A. | |||
RegS 2.125%, 10/16/26(2)(3) | 900 EUR | 958 | |
RegS 1.750%, 10/7/27(2)(3) | 800 EUR | 849 | |
TEGNA, Inc. | |||
4.625%, 3/15/28(2) | 44 | 39 | |
5.000%, 9/15/29(2) | 551 | 475 | |
6,449 | |||
Consumer Discretionary—3.5% | |||
Aramark Services, Inc. | |||
144A 5.000%, 4/1/25(1)(2) | 497 | 489 | |
144A 6.375%, 5/1/25(1)(2) | 1,170 | 1,169 | |
Scientific Games International, Inc. 144A 7.000%, 5/15/28(1)(2) | 426 | 424 | |
2,082 | |||
Consumer Staples—4.5% | |||
Diamond BC B.V. 144A 4.625%, 10/1/29(1)(2) | 958 | 966 | |
TreeHouse Foods, Inc. 4.000%, 9/1/28(2) | 1,482 | 1,277 | |
Vector Group Ltd. 144A 10.500%, 11/1/26(1)(2) | 472 | 472 | |
2,715 | |||
Energy—6.8% | |||
Calumet Specialty Products Partners LP 144A 11.000%, 4/15/25(1)(2) | 1,685 | 1,742 | |
CONSOL Energy, Inc. 144A 11.000%, 11/15/25(1)(2) | 334 | 339 |
Par Value | Value | ||
Energy—continued | |||
PDC Energy, Inc. 5.750%, 5/15/26(2) | $ 1,957 | $ 1,949 | |
4,030 | |||
Financials—5.8% | |||
Intercontinental Exchange, Inc. 3.650%, 5/23/25(2) | 1,268 | 1,242 | |
Mobius Merger Sub, Inc. 144A 9.000%, 6/1/30(1)(2) | 1,900 | 1,668 | |
United Airlines, Inc. Pass-Through Trust 2016-2, B 3.650%, 4/7/27(2) | 595 | 551 | |
3,461 | |||
Health Care—6.6% | |||
Horizon Therapeutics USA, Inc. 144A 5.500%, 8/1/27(1)(2) | 1,725 | 1,732 | |
Mallinckrodt International Finance S.A. 144A 10.000%, 4/15/25(1)(2) | 235 | 184 | |
Syneos Health, Inc. 144A 3.625%, 1/15/29(1)(2) | 1,873 | 1,831 | |
Verscend Escrow Corp. 144A 9.750%, 8/15/26(1)(2) | 218 | 219 | |
3,966 | |||
Industrials—8.2% | |||
Bombardier, Inc. 144A 7.875%, 4/15/27(1)(2) | 255 | 255 | |
Cengage Learning, Inc. 144A 9.500%, 6/15/24(1)(2) | 51 | 51 | |
Copper Mountain Mining Corp. 144A, RegS 8.000%, 4/9/26(1)(2) | 1,166 | 1,178 | |
IEA Energy Services LLC 144A 6.625%, 8/15/29(1)(2) | 764 | 734 | |
La Financiere Atalian SASU | |||
RegS 4.000%, 5/15/24(2) | 352 EUR | 283 | |
RegS 5.125%, 5/15/25(2) | 419 EUR | 314 | |
Univar Solutions USA, Inc. 144A 5.125%, 12/1/27(1)(2) | 2,031 | 2,076 | |
4,891 | |||
Information Technology—3.7% | |||
NCR Corp. | |||
144A 5.750%, 9/1/27(1) | 73 | 73 | |
144A 6.125%, 9/1/29(1)(2) | 1,209 | 1,210 | |
Viasat, Inc. 144A 5.625%, 4/15/27(1)(2) | 985 | 920 | |
2,203 | |||
Materials—7.1% | |||
Arconic Corp. | |||
144A 6.000%, 5/15/25(1)(2) | 967 | 975 | |
144A 6.125%, 2/15/28(1)(2) | 992 | 1,004 | |
JELD-WEN, Inc. 144A 6.250%, 5/15/25(1)(2) | 673 | 679 |
Par Value | Value | ||
Materials—continued | |||
Mauser Packaging Solutions Holding Co. 144A 9.250%, 4/15/27(1)(2) | $ 1,694 | $ 1,563 | |
4,221 | |||
Utilities—1.9% | |||
Origin Energy Finance Ltd. RegS 1.000%, 9/17/29(2) | 1,145 EUR | 1,152 | |
Total Corporate Bonds and Notes (Identified Cost $36,189) | 35,170 | ||
Leveraged Loans—9.7% | |||
Chemicals—2.4% | |||
Diamond BC B.V. Tranche B (3 month Term SOFR + 3.012%) 8.057%, 9/29/28(4) | 1,443 | 1,440 | |
Health Care—1.5% | |||
Verscend Holding Corp. Tranche B (1 month Term SOFR + 4.114%) 9.217%, 8/27/25(4) | 897 | 896 | |
Information Technology—2.1% | |||
RentPath LLC Tranche B-1, First Lien (3 month Prime + 3.750%) 12.000%, 4/25/24(5)(6) | 24 | — | |
Syniverse Holdings, Inc. (3 month Term SOFR + 7.000%) 12.242%, 5/13/27(4) | 1,390 | 1,265 | |
1,265 | |||
Retail—0.6% | |||
Claire’s Stores, Inc. Tranche B (1 month Term SOFR + 6.600%) 11.702%, 12/18/26(4) | 405 | 369 | |
Service—3.1% | |||
Marnix Sas Tranche B (3 month Term SOFR + 3.750%) 8.850%, 8/4/28(4) | 1,831 | 1,824 | |
Total Leveraged Loans (Identified Cost $5,910) | 5,794 |
Shares | ||
Closed-End Fund—0.2% | ||
Equity Fund—0.2% | ||
Franklin Universal Trust(2) | 15,487 | 104 |
Total Closed-End Fund (Identified Cost $129) | 104 | |
Preferred Stocks—1.0% | ||
Consumer Discretionary—0.6% | ||
Fossil Group, Inc., 7.000%(2) | 20,031 | 377 |
Shares | Value | ||
Information Technology—0.4% | |||
Babcock & Wilcox Enterprises, Inc., 6.500%(2) | 12,086 | $ 259 | |
Total Preferred Stocks (Identified Cost $803) | 636 | ||
Common Stocks—0.0% | |||
Consumer Discretionary—0.0% | |||
Cazoo Group Ltd.(2)(7) | 94 | — (8) | |
Consumer Staples—0.0% | |||
TPCO Holding Corp.(2)(7) | 2,663 | 1 | |
Financials—0.0% | |||
MarketWise, Inc. | 1,083 | 3 | |
Health Care—0.0% | |||
Biote Corp. Class A(2)(7) | 66 | — (8) | |
Total Common Stocks (Identified Cost $28) | 4 | ||
Warrants—0.0% | |||
Communication Services—0.0% | |||
BuzzFeed, Inc., 12/01/26(2)(7) | 986 | — (8) | |
Consumer Discretionary—0.0% | |||
Cazoo Group Ltd., 08/26/26(2)(7) | 2,946 | — (8) | |
ECARX Holdings, Inc., 12/21/27(2)(7) | 2,800 | — (8) | |
Grove Collaborative Holdings, 03/13/26(2)(7) | 983 | — (8) | |
— (8) | |||
Financials—0.0% | |||
26 Capital Acquisition Corp., 12/31/27(2)(7) | 1,000 | — (8) | |
AltEnergy Acquisition Corp., 11/10/28(2)(7) | 243 | — (8) | |
Altimar Acquisition Corp. III, 12/31/28(2)(7) | 122 | — (8) | |
Ares Acquisition Corp., 12/31/27(2)(7) | 860 | 1 | |
Arrowroot Acquisition Corp., 03/02/26(2)(7) | 992 | — (8) | |
Athena Consumer Acquisition Corp., 07/31/28(2)(7) | 161 | — (8) | |
CC Neuberger Principal Holdings III, 12/31/27(2)(7) | 1,080 | — (8) | |
CF Acquisition Corp. VIII, 12/31/27(2)(7) | 1,227 | — (8) | |
Compute Health Acquisition Corp. Class A, 12/31/27(2)(7) | 1,754 | 1 | |
Elliott Opportunity II Corp., 03/02/26(2)(7) | 1,353 | — (8) | |
ESGEN Acquisition Corp., 10/20/26(2)(7) | 282 | — (8) | |
FTAC Emerald Acquisition Corp., 08/22/28(2)(7) | 807 | — (8) | |
Fusion Acquisition Corp. II, 12/31/27(2)(7) | 833 | — (8) | |
G Squared Ascend II, Inc., 12/31/26(5)(7) | 333 | — | |
GCM Grosvenor, Inc. Class A, 11/17/25(2)(7) | 4,103 | 1 | |
Goal Acquisitions Corp., 02/11/26(2)(7) | 10,907 | — (8) | |
Golden Falcon Acquisition Corp., 11/04/26(2)(7) | 3,125 | 1 | |
Infinite Acquisition Corp., 11/23/28(2)(7) | 202 | — (8) | |
Juniper II Corp., 12/31/28(2)(7) | 1,019 | — (8) | |
Kensington Capital Acquisition Corp. V, 07/19/23(2)(7) | 5,397 | 1 | |
Live Oak Crestview Climate Acquisition Corp., 03/12/26(2)(7) | 510 | — (8) | |
Moneylion, Inc., 06/01/27(2)(7) | 3,781 | — (8) | |
Newbury Street Acquisition Corp., 12/31/27(2)(7) | 2,435 | 1 | |
Newcourt Acquisition Corp., 04/12/28(2)(7) | 733 | — (8) |
Shares | Value | ||
Financials—continued | |||
Phoenix Biotech Acquisition Corp., 09/01/26(2)(7) | 240 | $ —(8) | |
PROOF Acquisition Corp. I, 12/03/28(2)(7) | 648 | — (8) | |
Prospector Capital Corp., 01/01/25(2)(7) | 3,202 | — (8) | |
Pyrophyte Acquisition Corp., 12/17/23(2)(7) | 326 | — (8) | |
RMG Acquisition Corp. III, 12/31/27(2)(7) | 1,120 | — (8) | |
Screaming Eagle Acquisition Corp. Class A, 12/15/27(2)(7) | 1,139 | — (8) | |
Semper Paratus Acquisition Corp., 11/04/26(2)(7) | 325 | — (8) | |
Slam Corp. Class A, 12/31/27(2)(7) | 394 | — (8) | |
Spring Valley Acquisition Corp. II, 02/25/26(2)(7) | 525 | — (8) | |
Target Global Acquisition I Corp., 12/31/27(2)(7) | 480 | — (8) | |
Thunder Bridge Capital Partners III, Inc., 02/15/28(2)(7) | 507 | — (8) | |
Viscogliosi Brothers Acquisition Corp., 03/18/27(2)(7) | 284 | — (8) | |
Zapp Electric Vehicles Group Ltd., 03/03/28(2)(7) | 601 | — (8) | |
6 | |||
Health Care—0.0% | |||
Newamsterdam Pharma Co. N.V., 11/22/27(2)(7) | 3,067 | 6 | |
Pear Therapeutics, Inc., 02/04/26(2)(7) | 1,433 | — (8) | |
Quantum-Si, Inc., 09/30/27(2)(7) | 3,333 | 1 | |
Talkspace, Inc., 06/21/25(2)(7) | 9,468 | 1 | |
8 | |||
Industrials—0.0% | |||
Amprius Technologies, Inc., 03/02/27(2)(7) | 3,369 | 2 | |
Bridger Aerospace Group Holdings, Inc., 12/31/27(2)(7) | 2,200 | — (8) | |
Freightos Ltd., 01/23/28(2)(7) | 208 | — (8) | |
Getaround, Inc., 12/31/28(2)(7) | 458 | — (8) | |
2 | |||
Information Technology—0.0% | |||
Embark Technology, Inc., 12/31/27(2)(7) | 1,533 | — (8) | |
FOXO Technologies, Inc., 08/01/27(2)(7) | 1,072 | — (8) | |
Near Intelligence, Inc., 07/08/27(2)(7) | 2,500 | 1 | |
1 | |||
Materials—0.0% | |||
Ginkgo Bioworks Holdings, Inc., 12/31/27(2)(7) | 940 | — (8) | |
Total Warrants (Identified Cost $80) | 17 |
Shares/Units | ||
Special Purpose Acquisition Companies—17.1% | ||
A SPAC II Acquisition Corp.(2)(7) | 5,492 | 58 |
Alchemy Investments Acquisition Corp. 1(2)(7) | 6,164 | 63 |
Alpha Partners Technology Merger Corp. Class A(2)(7) | 1,697 | 18 |
Andretti Acquisition Corp. Class A(2)(7) | 13,109 | 140 |
AP Acquisition Corp. Class A(2)(7) | 7,475 | 80 |
Apollo Strategic Growth Capital Class B(7) | 2,500 | — |
Apollo Strategic Growth Capital II Class A(2)(7) | 26,557 | 274 |
Ares Acquisition Corp. Class A(2)(7) | 3,440 | 36 |
Arisz Acquisition Corp.(2)(7) | 5,852 | 62 |
Arrowroot Acquisition Corp. Class A(2)(7) | 1,190 | 12 |
ARYA Sciences Acquisition Corp. IV Class A(2)(7) | 2,836 | 30 |
Aura FAT Projects Acquisition Corp. Class A(2)(7) | 4,909 | 52 |
AXIOS Sustainable Growth Acquisition Corp. Class A(2)(7) | 5,895 | 62 |
Bannix Acquisition Corp.(2)(7) | 288 | 3 |
Shares/Units | Value | ||
Beard Energy Transition Acquisition Corp. Class A(2)(7) | 29,523 | $ 310 | |
Bilander Acquisition Corp. Class A(2)(7) | 4,434 | 45 | |
BioPlus Acquisition Corp. Class A(2)(7) | 27,603 | 294 | |
Black Spade Acquisition Co. Class A(2)(7) | 1,790 | 19 | |
C5 Acquisition Corp. Class A(2)(7) | 27,897 | 297 | |
Canna-Global Acquisition Corp. Class A(2)(7) | 1,384 | 15 | |
Cartica Acquisition Corp. Class A(2)(7) | 13,755 | 146 | |
CC Neuberger Principal Holdings III Class A(2)(7) | 5,400 | 58 | |
CF Acquisition Corp. VII Class A(2)(7) | 3,767 | 40 | |
Chenghe Acquisition Co. Class A(2)(7) | 2,522 | 27 | |
Churchill Capital Corp. V Class A(2)(7) | 3,603 | 37 | |
Colombier Acquisition Corp. Class A(2)(7) | 23,623 | 243 | |
Compass Digital Acquisition Corp.(7) | 1,792 | 19 | |
Consilium Acquisition Corp. I Ltd.(7) | 35,000 | 367 | |
Conyers Park III Acquisition Corp. Class A(2)(7) | 1,699 | 17 | |
Corsair Partnering Corp. Class A(2)(7) | 16,753 | 174 | |
Direct Selling Acquisition Corp. Class A(2)(7) | 2,939 | 31 | |
Distoken Acquisition Corp.(2)(7) | 5,744 | 59 | |
DUET Acquisition Corp. Class A(2)(7) | 3,522 | 37 | |
EF Hutton Acquisition Corp. I(2)(7) | 3,492 | 36 | |
Elliott Opportunity II Corp. Class A(2)(7) | 5,412 | 56 | |
Embrace Change Acquisition Corp.(2)(7) | 2,578 | 27 | |
Enterprise 4.0 Technology Acquisition Corp.(2)(7) | 7,882 | 84 | |
ESH Acquisition Corp.(2)(7) | 4,387 | 45 | |
EVe Mobility Acquisition Corp. Class A(2)(7) | 29,362 | 309 | |
FAST Acquisition Corp. II Class A(2)(7) | 3,465 | 36 | |
Focus Impact Acquisition Corp. Class A(2)(7) | 3,302 | 35 | |
Forest Road Acquisition Corp. II Class A(2)(7) | 23,615 | 242 | |
Fortune Rise Acquisition Corp.(2)(7) | 22,119 | 238 | |
Freedom Acquisition I Corp. Class A(2)(7) | 5,807 | 62 | |
FTAC Emerald Acquisition Corp. Class A(2)(7) | 4,201 | 44 | |
FTAC Zeus Acquisition Corp. Class A(2)(7) | 5,521 | 58 | |
Fusion Acquisition Corp. II Class A(2)(7) | 2,019 | 21 | |
Global Partner Acquisition Corp. II Class A(2)(7) | 82 | 1 | |
Goal Acquisitions Corp.(2)(7) | 81 | 1 | |
GoGreen Investments Corp.(2)(7) | 14,479 | 154 | |
Growth For Good Acquisition Corp.(2)(7) | 14,635 | 153 | |
Hainan Manaslu Acquisition Corp.(2)(7) | 12,500 | 132 | |
Hawks Acquisition Corp. Class A(2)(7) | 12,505 | 128 | |
HCM Acquisition Corp. Class A(2)(7) | 8,697 | 92 | |
Healthcare AI Acquisition Corp. Class A(2)(7) | 4,965 | 53 | |
Healthwell Acquisition Corp. I Class A(7) | 1,752 | 18 | |
Iconic Sports Acquisition Corp. Class A(2)(7) | 33,242 | 354 | |
Infinite Acquisition Corp. Class A(2)(7) | 33,105 | 350 | |
Inflection Point Acquisition Corp. II(2)(7) | 5,149 | 52 | |
Investcorp Europe Acquisition Corp. I Class A(2)(7) | 43,852 | 467 | |
Investcorp India Acquisition Corp. Class A(2)(7) | 3,584 | 38 | |
Jupiter Acquisition Corp. Class A(2)(7) | 3,150 | 32 | |
Kensington Capital Acquisition Corp. V Class A(2)(7) | 10,023 | 106 | |
LatAmGrowth SPAC(2)(7) | 28,733 | 307 | |
Liberty Resources Acquisition Corp. Class A(2)(7) | 2,697 | 29 | |
Live Oak Crestview Climate Acquisition Corp. Class A(2)(7) | 3,324 | 34 | |
M3-Brigade Acquisition III Corp. Class A(2)(7) | 8,266 | 86 | |
Magnum Opus Acquisition Ltd. Class A(2)(7) | 1,407 | 15 | |
Maquia Capital Acquisition Corp. Class A(2)(7) | 2,540 | 28 | |
Mountain & Co. I Acquisition Corp.(2)(7) | 8,108 | 88 | |
Nabors Energy Transition Corp. Class A(2)(7) | 13,004 | 138 | |
Newbury Street Acquisition Corp.(2)(7) | 4,870 | 50 | |
Newcourt Acquisition Corp. Class A(2)(7) | 1,466 | 16 | |
Nubia Brand International Corp. Class A(2)(7) | 6,087 | 65 | |
Oak Woods Acquisition Corp. Class A(2)(7) | 4,226 | 43 | |
Papaya Growth Opportunity Corp. I Class A(2)(7) | 27,974 | 297 |
Shares/Units | Value | ||
Patria Latin American Opportunity Acquisition Corp.(2)(7) | 14,119 | $ 152 | |
Perception Capital Corp. II Class A(2)(7) | 11,063 | 121 | |
Portage Fintech Acquisition Corp. Class A(2)(7) | 13,283 | 138 | |
Power & Digital Infrastructure Acquisition II Corp. Class A(2)(7) | 255 | 3 | |
Project Energy Reimagined Acquisition Corp.(2)(7) | 11,683 | 121 | |
PROOF Acquisition Corp. I Class A(2)(7) | 648 | 7 | |
Pyrophyte Acquisition Corp. Class A(2)(7) | 456 | 5 | |
Quadro Acquisition One Corp. Class A(2)(7) | 921 | 10 | |
RCF Acquisition Corp. Class A(2)(7) | 11,241 | 120 | |
Rigel Resource Acquisition Corp. Class A(2)(7) | 18,094 | 194 | |
Rose Hill Acquisition Corp. Class A(2)(7) | 1,468 | 17 | |
Ross Acquisition Corp. II Class A(2)(7) | 3,655 | 38 | |
SDCL EDGE Acquisition Corp. Class A(2)(7) | 20,635 | 215 | |
SHUAA Partners Acquisition Corp. I Class A(2)(7) | 2,732 | 29 | |
Slam Corp. Class A(2)(7) | 6,076 | 65 | |
Southport Acquisition Corp.(2)(7) | 13,254 | 139 | |
Spring Valley Acquisition Corp. II(2)(7) | 1,051 | — (8) | |
Spring Valley Acquisition Corp. II Class A(2)(7) | 1,051 | 11 | |
Springwater Special Situations Corp.(2)(7) | 9,243 | 96 | |
Target Global Acquisition I Corp. Class A(2)(7) | 11,938 | 127 | |
TenX Keane Acquisition Class A(2)(7) | 3,283 | 35 | |
Thunder Bridge Capital Partners IV, Inc. Class A(2)(7) | 6,580 | 68 | |
TKB Critical Technologies 1 Class A(2)(7) | 9,647 | 102 | |
TMT Acquisition Corp.(2)(7) | 3,695 | 1 | |
TMT Acquisition Corp. Class A(2)(7) | 3,695 | 38 | |
TortoiseEcofin Acquisition Corp. III Class A(2)(7) | 3,023 | 31 | |
Twelve Seas Investment Co. II Class A(2)(7) | 4,741 | 49 | |
Twin Ridge Capital Acquisition Corp. Class A(2)(7) | 9,458 | 101 | |
Valuence Merger Corp. I Class A(2)(7) | 513 | 6 | |
Viscogliosi Brothers Acquisition Corp.(2)(7) | 568 | 6 | |
Waverley Capital Acquisition Corp. 1 Class A(2)(7) | 32,779 | 340 | |
XPAC Acquisition Corp. Class A(2)(7) | 1,602 | 17 | |
Zalatoris Acquisition Corp.(2)(7) | 4,553 | 47 | |
Total Special Purpose Acquisition Companies (Identified Cost $9,973) | 10,194 |
Shares | ||
Escrow Notes—0.9% | ||
Financials—0.9% | ||
Altaba, Inc. Escrow(2)(7) | 225,250 | 527 |
Total Escrow Notes (Identified Cost $396) | 527 | |
Total Long-Term Investments—94.6% (Identified Cost $57,460) | 56,501 | |
Short-Term Investments—6.3% | ||
Money Market Mutual Funds—6.3% | ||
Goldman Sachs Financial Square Funds - Treasury Instruments Fund - Standard Shares (seven-day effective yield 4.979%)(9) | 1,900,000 | 1,900 |
Goldman Sachs Financial Square Government Fund - Standard Shares (seven-day effective yield 5.016%)(9) | 1,876,128 | 1,876 |
Total Short-Term Investments (Identified Cost $3,776) | 3,776 | |
Shares | Value | ||
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT—100.9% (Identified Cost $61,236) | $60,277 | ||
Securities Sold Short—(0.6)% |
Par Value | ||
U.S. Government Security—(0.6)% | ||
U.S. Treasury Notes 3.250%, 6/30/29 | $ (398) | (381) |
Total Securities Sold Short (Identified Proceeds $(406)) | (381) | |
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT—100.3% (Identified Cost $60,830) | $ 59,896 | |
Other assets and liabilities, net—(0.3)% | (163) | |
NET ASSETS—100.0% | $ 59,733 |
Abbreviations: | |
AMT | Alternative Minimum Tax |
LLC | Limited Liability Company |
LP | Limited Partnership |
OBFR | Overnight Bank Funding Rate |
SOFR | Secured Overnight Financing Rate |
SPAC | Special Purpose Acquisition Company |
Foreign Currencies: | |
EUR | Euro |
Footnote Legend: | |
(1) | 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. At June 30, 2023, these securities amounted to a value of $27,551 or 46.1% of net assets. |
(2) | All or a portion of the shares have been committed as collateral for securities sold short. The value of securities segregated as collateral is $51,813. |
(3) | Regulation S security. Security is offered and sold outside of the United States; therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(4) | Variable rate security. Rate disclosed is as of June 30, 2023. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(6) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(7) | Non-income producing. |
(8) | Amount is less than $500 (not in thousands). |
(9) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Counterparties: | |
GS | Goldman Sachs & Co. |
JPM | JPMorgan Chase Bank N.A. |
Country Weightings† | |
United States | 71% |
Cayman Islands | 12 |
France | 7 |
Netherlands | 4 |
Canada | 2 |
Australia | 2 |
Luxembourg | 2 |
Total | 100% |
†% of total investments, net of securities sold short as of June 30, 2023. |
Forward foreign currency exchange contracts as of June 30, 2023 were as follows: | ||||||||
Currency Purchased | Currency Amount Purchased | Currency Sold | Currency Amount Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
USD | 658 | EUR | 596 | JPM | 08/25/23 | $ 5 | $ — | |
USD | 1,871 | EUR | 1,700 | JPM | 09/20/23 | 9 | — | |
USD | 1,247 | EUR | 1,145 | JPM | 12/22/23 | — | (14) | |
Total | $14 | $ (14) |
Over-the-counter total return swaps outstanding as of June 30, 2023 were as follows: | ||||||||||
Referenced Entity | Pay/Receive | Financing Rate(1) | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value (2) | Unrealized Appreciation | Unrealized Depreciation | |
Long Total Return Swap Contracts | ||||||||||
AfterNext HealthTech Acquisition Corp. | Pay | 6.270% (1.210% + OBFR) | 1 Month | GS | 05/06/24 | $272 | $ 2 | $ 2 | $ — | |
Apollo Tactical Income Fund, Inc. | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 05/06/24 | 382 | 21 | 21 | — | |
Ares Acquisition Corp. | Pay | 6.270% (1.210% + OBFR) | 1 Month | GS | 11/10/23 | 220 | 12 | 12 | — | |
Ares Dynamic Credit Allocation Fund, Inc. | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 05/06/24 | 177 | 5 | 5 | — | |
BlackRock Debt Strategies Fund, Inc. | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 05/06/24 | 199 | 6 | 6 | — | |
Blackrock Floating Rate Income Strategies Fund, Inc. | Pay | 5.653% (0.593% + OBFR) | 3 Month | JPM | 10/23/23 | 33 | 2 | 2 | — | |
BlackRock Floating Rate Income Strategies Fund, Inc. | Pay | 5.653% (0.593% + OBFR) | 3 Month | JPM | 03/25/24 | 17 | 1 | 1 | — | |
BlackRock Floating Rate Income Strategies Fund, Inc. | Pay | 5.653% (0.593% + OBFR) | 3 Month | JPM | 03/28/24 | 9 | — (3) | — (3) | — | |
BlackRock Floating Rate Income Strategies Fund, Inc. | Pay | 5.653% (0.593% + OBFR) | 3 Month | JPM | 04/08/24 | 8 | — (3) | — (3) | — | |
Cartesian Growth Corp. II | Pay | 6.270% (1.210% + OBFR) | 1 Month | GS | 12/04/23 | 276 | 14 | 14 | — | |
Concord Acquisition Corp. II | Pay | 6.270% (1.210% + OBFR) | 1 Month | GS | 07/15/24 | 452 | — (3) | — | — (3) | |
Elliott Opportunity II Corp. | Pay | 6.270% (1.210% + OBFR) | 1 Month | GS | 04/15/24 | 365 | 2 | 2 | — | |
Enphys Acquisition Corp. | Pay | 6.270% (1.210% + OBFR) | 1 Month | GS | 05/27/24 | 483 | 4 | 4 | — | |
First Trust Senior Floating Rate Income Fund II | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 05/06/24 | 192 | 1 | 1 | — |
Over-the-counter total return swaps outstanding as of June 30, 2023 were as follows (continued): | ||||||||||||
Referenced Entity | Pay/Receive | Financing Rate(1) | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value (2) | Unrealized Appreciation | Unrealized Depreciation | |||
FTAC Zeus Acquisition Corp. | Pay | 6.270% (1.210% + OBFR) | 1 Month | GS | 12/04/23 | $161 | $ 3 | $ 3 | $ — | |||
Global Systems Dynamics, Inc. | Pay | 6.280% (1.210% + OBFR) | 1 Month | GS | 07/16/24 | 807 | (1) | — | (1) | |||
Goal Acquisitions Corp. | Pay | 6.270% (1.210% + OBFR) | 1 Month | GS | 08/08/23 | 54 | 3 | 3 | — | |||
Hennessy Capital Investment Corp. VI | Pay | 6.270% (1.210% + OBFR) | 1 Month | GS | 10/02/23 | 213 | 12 | 12 | — | |||
InFinT Acquisition Corp. | Pay | 6.270% (1.210% + OBFR) | 1 Month | GS | 06/24/24 | 465 | (1) | — | (1) | |||
Invesco Dynamic Credit Opportunities | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 03/27/24 | 3 | — (3) | — | — (3) | |||
Invesco Dynamic Credit Opportunities | Pay | 5.440% (0.380% + OBFR) | 3 Month | JPM | 01/01/24 | 28 | (1) | — | (1) | |||
Invesco Dynamic Credit Opportunities | Pay | 5.440% (0.380% + OBFR) | 3 Month | JPM | 02/12/24 | — (3) | 1 | 1 | — | |||
Invesco Dynamic Credit Opportunities | Pay | 5.440% (0.380% + OBFR) | 3 Month | JPM | 05/21/24 | — (3) | 1 | 1 | — | |||
Invesco Senior Income Trust | Pay | 5.662% (0.602% + OBFR) | 3 Month | JPM | 10/23/23 | 49 | 2 | 2 | — | |||
Invesco Senior Income Trust | Pay | 5.662% (0.602% + OBFR) | 3 Month | JPM | 03/14/24 | 259 | (7) | — | (7) | |||
Invesco Senior Income Trust | Pay | 5.662% (0.602% + OBFR) | 3 Month | JPM | 03/25/24 | 17 | — (3) | — | — (3) | |||
Invesco Senior Income Trust | Pay | 5.662% (0.602% + OBFR) | 3 Month | JPM | 03/27/24 | 210 | (4) | — | (4) | |||
Invesco Senior Income Trust | Pay | 5.662% (0.602% + OBFR) | 3 Month | JPM | 03/28/24 | 14 | — (3) | — (3) | — | |||
Nuveen Credit Strategies Income Fund | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 05/06/24 | 380 | 2 | 2 | — | |||
Nuveen New York AMT-Free Quality Municipal Income Fund | Pay | 6.270% (1.210% + OBFR) | 1 Month | GS | 07/29/24 | 71 | — (3) | — | — (3) | |||
Nuveen New York AMT-Free Quality Municipal Income Fund | Pay | 5.440% (0.380% + OBFR) | 3 Month | JPM | 10/23/23 | 7 | — (3) | — (3) | — | |||
Pershing Square Escrow | Pay | 6.270% (1.210% + OBFR) | 1 Month | GS | 08/28/23 | — (3) | 1 | 1 | — | |||
Plum Acquisition Corp. I | Pay | 6.270% (1.210% + OBFR) | 1 Month | GS | 12/14/23 | 188 | 9 | 9 | — | |||
Quantum-Si, Inc. | Pay | 6.270% (1.210% + OBFR) | 1 Month | GS | 07/29/24 | 13 | 2 | 2 | — | |||
Saba Capital Income & Opportunities Fund | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 03/27/24 | 214 | (10) | — | (10) | |||
Saba Capital Income & Opportunities Fund | Pay | 5.440% (0.380% + OBFR) | 3 Month | JPM | 07/22/24 | 3 | — (3) | — | — (3) | |||
Screaming Eagle Acquisition Corp. | Pay | 6.270% (1.210% + OBFR) | 1 Month | GS | 11/10/23 | 275 | 14 | 14 | — | |||
SK Growth Opportunities Corp. | Pay | 6.270% (1.210% + OBFR) | 1 Month | GS | 11/20/23 | 274 | 14 | 14 | — | |||
Social Capital Suvretta Holdings Corp. II | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 05/14/24 | 503 | 2 | 2 | — | |||
Social Capital Suvretta Holdings Corp. IV | Pay | 6.270% (1.210% + OBFR) | 1 Month | GS | 05/14/24 | 528 | 1 | 1 | — | |||
TLGY Acquisition Corp. | Pay | 6.270% (1.210% + OBFR) | 1 Month | GS | 10/23/23 | 352 | 5 | 5 | — | |||
TortoiseEcofin Acquisition Corp. III | Pay | 6.270% (1.210% + OBFR) | 1 Month | GS | 10/02/23 | 79 | 4 | 4 | — | |||
122 | 146 | (24) | ||||||||||
Total | $ 122 | $146 | $ (24) |
Footnote Legend: | |
(1) | The Fund pays the floating rate (+/- a spread) and receives the total return of the reference entity. |
(2) | There were no upfront premiums paid or received for the open swap contracts held. |
(3) | Amount is less than $500 (not in thousands). |
Total Value at June 30, 2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Corporate Bonds and Notes | $35,170 | $ — | $35,170 | $— | |||
Leveraged Loans | 5,794 | — | 5,794 | — (1) | |||
Convertible Bonds and Notes | 4,055 | — | 4,055 | — | |||
Equity Securities: | |||||||
Closed-End Fund | 104 | 104 | — | — | |||
Escrow Notes | 527 | — | 527 | — | |||
Warrants | 17 | 17 | — | — (1) | |||
Special Purpose Acquisition Companies | 10,194 | 9,619 | 575 | — (1) | |||
Preferred Stocks | 636 | 636 | — | — | |||
Common Stocks | 4 | 4 | — | — | |||
Money Market Mutual Funds | 3,776 | 3,776 | — | — | |||
Other Financial Instruments: | |||||||
Forward Foreign Currency Exchange Contracts | 14 | — | 14 | — | |||
Over-the-Counter Total Return Swaps | 146 | — | 146 | — | |||
Total Assets | 60,437 | 14,156 | 46,281 | — | |||
Liabilities: | |||||||
Securities Sold Short: | |||||||
U.S. Government Security | (381) | — | (381) | — | |||
Other Financial Instruments: | |||||||
Forward Foreign Currency Exchange Contract | (14) | — | (14) | — | |||
Over-the-Counter Total Return Swaps | (24) | — | (24) | — | |||
Total Liabilities | (419) | — | (419) | — | |||
Total Investments, Net of Securities Sold Short | $60,018 | $14,156 | $45,862 | $— |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Par Value | Value | ||
Convertible Bonds and Notes—3.0% | |||
Communication Services—1.2% | |||
Radius Global Infrastructure, Inc. 144A 2.500%, 9/15/26(1) | $ 4,343 | $ 4,278 | |
Health Care—1.8% | |||
Oak Street Health, Inc. 0.000%, 3/15/26 | 4,582 | 4,550 | |
Paratek Pharmaceuticals, Inc. 4.750%, 5/1/24 | 2,305 | 2,256 | |
6,806 | |||
Total Convertible Bonds and Notes (Identified Cost $10,897) | 11,084 | ||
Corporate Bonds and Notes—20.6% | |||
Communication Services—5.2% | |||
Allen Media LLC 144A 10.500%, 2/15/28(1) | 3,724 | 1,918 | |
Clear Channel Outdoor Holdings, Inc. 144A 7.500%, 6/1/29(1) | 2,780 | 2,057 | |
Connect Finco S.a.r.l. 144A 6.750%, 10/1/26(1) | 3,171 | 3,080 | |
Getty Images, Inc. 144A 9.750%, 3/1/27(1)(2) | 6,637 | 6,555 | |
GrubHub Holdings, Inc. 144A 5.500%, 7/1/27(1) | 1,241 | 713 | |
Lagardere S.A. | |||
RegS 2.125%, 10/16/26(3) | 2,100 EUR | 2,234 | |
RegS 1.750%, 10/7/27(3) | 1,500 EUR | 1,592 | |
TEGNA, Inc. | |||
4.625%, 3/15/28 | 102 | 90 | |
5.000%, 9/15/29 | 896 | 773 | |
19,012 | |||
Consumer Discretionary—2.8% | |||
Aramark Services, Inc. | |||
144A 5.000%, 4/1/25(1) | 905 | 892 | |
144A 6.375%, 5/1/25(1) | 5,886 | 5,880 | |
Scientific Games International, Inc. 144A 7.000%, 5/15/28(1) | 3,366 | 3,348 | |
10,120 | |||
Consumer Staples—1.9% | |||
Diamond BC B.V. 144A 4.625%, 10/1/29(1) | 1,444 | 1,457 | |
TreeHouse Foods, Inc. 4.000%, 9/1/28 | 3,268 | 2,815 | |
Vector Group Ltd. 144A 10.500%, 11/1/26(1) | 2,791 | 2,791 | |
7,063 | |||
Energy—2.4% | |||
Calumet Specialty Products Partners LP 144A 11.000%, 4/15/25(1) | 5,181 | 5,356 | |
CONSOL Energy, Inc. 144A 11.000%, 11/15/25(1) | 800 | 813 |
Par Value | Value | ||
Energy—continued | |||
PDC Energy, Inc. 5.750%, 5/15/26 | $ 2,657 | $ 2,646 | |
8,815 | |||
Financials—0.8% | |||
Intercontinental Exchange, Inc. 3.650%, 5/23/25 | 1,283 | 1,257 | |
Mobius Merger Sub, Inc. 144A 9.000%, 6/1/30(1) | 1,060 | 931 | |
United Airlines, Inc. Pass-Through Trust 2016-2, B 3.650%, 4/7/27 | 837 | 776 | |
2,964 | |||
Health Care—1.0% | |||
Mallinckrodt International Finance S.A. 144A 10.000%, 4/15/25(1) | 1,702 | 1,336 | |
Syneos Health, Inc. 144A 3.625%, 1/15/29(1) | 1,274 | 1,245 | |
Verscend Escrow Corp. 144A 9.750%, 8/15/26(1) | 930 | 933 | |
3,514 | |||
Industrials—2.5% | |||
Bombardier, Inc. 144A 7.875%, 4/15/27(1) | 1,474 | 1,470 | |
Cengage Learning, Inc. 144A 9.500%, 6/15/24(1) | 411 | 412 | |
Copper Mountain Mining Corp. 144A, RegS 8.000%, 4/9/26(1)(3) | 2,960 | 2,990 | |
IEA Energy Services LLC 144A 6.625%, 8/15/29(1) | 1,111 | 1,068 | |
La Financiere Atalian SASU | |||
RegS 4.000%, 5/15/24(3) | 1,019 EUR | 820 | |
RegS 5.125%, 5/15/25(3) | 977 EUR | 731 | |
Univar Solutions USA, Inc. 144A 5.125%, 12/1/27(1) | 1,702 | 1,740 | |
9,231 | |||
Information Technology—1.6% | |||
NCR Corp. | |||
144A 5.750%, 9/1/27(1) | 249 | 249 | |
144A 6.125%, 9/1/29(1) | 2,680 | 2,682 | |
Viasat, Inc. 144A 5.625%, 4/15/27(1) | 3,139 | 2,931 | |
5,862 | |||
Materials—2.3% | |||
Arconic Corp. | |||
144A 6.000%, 5/15/25(1) | 1,702 | 1,716 | |
144A 6.125%, 2/15/28(1) | 1,451 | 1,469 | |
JELD-WEN, Inc. 144A 6.250%, 5/15/25(1) | 1,996 | 2,013 | |
Mauser Packaging Solutions Holding Co. 144A 9.250%, 4/15/27(1) | 3,503 | 3,233 | |
8,431 | |||
Par Value | Value | ||
Utilities—0.1% | |||
Origin Energy Finance Ltd. RegS 1.000%, 9/17/29(3) | $ 329 EUR | $ 331 | |
Total Corporate Bonds and Notes (Identified Cost $79,555) | 75,343 | ||
Leveraged Loans—2.8% | |||
Chemicals—1.3% | |||
Diamond BC B.V. Tranche B (3 month Term SOFR + 3.012%) 8.057%, 9/29/28(4) | 4,804 | 4,796 | |
Health Care—0.7% | |||
Verscend Holding Corp. Tranche B (1 month Term SOFR + 4.114%) 9.217%, 8/27/25(4) | 2,550 | 2,546 | |
Information Technology—0.7% | |||
RentPath LLC Tranche B-1, First Lien (3 month Prime + 3.750%) 12.000%, 4/25/24(5)(6) | 150 | — | |
Syniverse Holdings, Inc. (3 month Term SOFR + 7.000%) 12.242%, 5/13/27(4) | 2,779 | 2,530 | |
2,530 | |||
Retail—0.1% | |||
Claire’s Stores, Inc. Tranche B (1 month Term SOFR + 6.600%) 11.702%, 12/18/26(4) | 253 | 231 | |
Total Leveraged Loans (Identified Cost $10,425) | 10,103 |
Shares | ||
Closed-End Funds—1.1% | ||
Equity Funds—1.1% | ||
Apollo Senior Floating Rate Fund, Inc. | 11,127 | 144 |
Apollo Tactical Income Fund, Inc. | 64,106 | 813 |
Ares Dynamic Credit Allocation Fund, Inc. | 8,750 | 108 |
BlackRock Debt Strategies Fund, Inc. | 12,453 | 122 |
BlackRock Floating Rate Income Strategies Fund, Inc. | 9,611 | 117 |
First Trust Senior Floating Rate Income Fund II | 11,712 | 116 |
Franklin Universal Trust | 102,050 | 687 |
Invesco Senior Income Trust | 64,480 | 248 |
Nuveen Credit Strategies Income Fund | 149,962 | 757 |
Nuveen New York AMT-Free Quality Municipal Income Fund | 58,257 | 603 |
Saba Capital Income & Opportunities Fund | 29,430 | 227 |
3,942 | ||
Total Closed-End Funds (Identified Cost $4,840) | 3,942 | |
Preferred Stocks—0.6% | ||
Consumer Discretionary—0.2% | ||
Fossil Group, Inc., 7.000% | 31,540 | 594 |
Shares | Value | ||
Financials—0.3% | |||
Federal Home Loan Mortgage Corp. Series Z, 8.375%(4) | 56,965 | $ 131 | |
Federal National Mortgage Association Series S, 8.250%(4) | 480,383 | 1,129 | |
1,260 | |||
Information Technology—0.1% | |||
Babcock & Wilcox Enterprises, Inc., 6.500% | 8,799 | 188 | |
Total Preferred Stocks (Identified Cost $2,238) | 2,042 | ||
Common Stocks—38.2% | |||
Communication Services—6.2% | |||
Activision Blizzard, Inc.(7) | 183,056 | 15,432 | |
Endeavor Group Holdings, Inc. Class A (7) | 155,400 | 3,717 | |
Radius Global Infrastructure, Inc. Class A(7) | 38,151 | 568 | |
Vodafone Group plc Sponsored ADR | 312,400 | 2,952 | |
22,669 | |||
Consumer Discretionary—0.7% | |||
Cazoo Group Ltd.(7) | 3,098 | 4 | |
Uni-Select, Inc.(7) | 75,949 | 2,697 | |
2,701 | |||
Consumer Staples—1.3% | |||
Kellogg Co. | 68,000 | 4,583 | |
TPCO Holding Corp.(7) | 16,310 | 3 | |
4,586 | |||
Energy—1.0% | |||
PDC Energy, Inc.(2) | 52,653 | 3,746 | |
Financials—1.5% | |||
Argo Group International Holdings Ltd. | 8,804 | 261 | |
Fidelity National Information Services, Inc. | 68,000 | 3,720 | |
First Horizon Corp. | 58,340 | 657 | |
Focus Financial Partners, Inc. Class A(7) | 12,312 | 646 | |
Home Capital Group, Inc. Class B | 1,689 | 55 | |
MarketWise, Inc. | 12,707 | 25 | |
5,364 | |||
Health Care—16.3% | |||
Amedisys, Inc.(7) | 20,230 | 1,850 | |
Baxter International, Inc. | 102,900 | 4,688 | |
Biote Corp. Class A(7) | 1,656 | 11 | |
Chinook Therapeutics, Inc.(7) | 47,939 | 1,842 | |
DICE Therapeutics, Inc.(7) | 101,123 | 4,698 | |
Horizon Therapeutics plc(2)(7) | 202,843 | 20,862 | |
IVERIC bio, Inc.(7) | 147,203 | 5,791 | |
NuVasive, Inc.(2)(7) | 104,724 | 4,356 | |
Quantum-Si, Inc.(7) | 40,418 | 72 | |
Seagen, Inc.(2)(7) | 69,630 | 13,401 | |
Syneos Health, Inc. Class A(7) | 53,879 | 2,271 | |
59,842 | |||
Shares | Value | ||
Industrials—1.8% | |||
Aerojet Rocketdyne Holdings, Inc.(2)(7) | 106,335 | $ 5,834 | |
Univar Solutions, Inc.(7) | 20,000 | 717 | |
6,551 | |||
Information Technology—3.8% | |||
National Instruments Corp. | 33,174 | 1,904 | |
Tower Semiconductor Ltd.(7) | 38,144 | 1,431 | |
VMware, Inc. Class A(2)(7) | 73,613 | 10,578 | |
13,913 | |||
Materials—4.4% | |||
Arconic Corp.(7) | 118,227 | 3,497 | |
Newcrest Mining Ltd. | 20,657 | 368 | |
Teck Resources Ltd. Class B | 191,600 | 8,067 | |
Vale S.A. Class B Sponsored ADR | 303,300 | 4,070 | |
16,002 | |||
Real Estate—1.2% | |||
Life Storage, Inc. | 31,887 | 4,240 | |
Urstadt Biddle Properties, Inc. Class A | 14,627 | 311 | |
4,551 | |||
Total Common Stocks (Identified Cost $141,362) | 139,925 | ||
Rights—0.1% | |||
Health Care—0.1% | |||
Akouos, Inc., 12/31/49(7) | 26,079 | 29 | |
Bristol Myers Squibb Co., 12/31/35(5)(7) | 169,085 | 212 | |
241 | |||
Materials—0.0% | |||
Pan American Silver Corp., 02/22/24(7) | 322,499 | 164 | |
Total Rights (Identified Cost $209) | 405 | ||
Warrants—0.1% | |||
Communication Services—0.0% | |||
Akazoo S.A., 12/31/35(5)(7) | 35,748 | — | |
BuzzFeed, Inc., 12/01/26(7) | 17,099 | 1 | |
1 | |||
Consumer Discretionary—0.0% | |||
Cazoo Group Ltd., 08/26/26(7) | 63,999 | — (8) | |
CEC Brands LLC, 12/31/25(5)(7) | 45,120 | 136 | |
ECARX Holdings, Inc., 12/21/27(7) | 27,750 | 2 | |
Grove Collaborative Holdings, 03/13/26(7) | 20,136 | — (8) | |
Kaixin Auto Holdings, 04/30/24(7) | 48,712 | — (8) | |
Reebonz Holding Ltd., 12/19/23(5)(7) | 23,859 | — | |
138 | |||
Consumer Staples—0.0% | |||
Whole Earth Brands, Inc., 06/25/25(7) | 30,942 | 6 |
Shares | Value | ||
Financials—0.1% | |||
26 Capital Acquisition Corp., 12/31/27(7) | 25,800 | $ 1 | |
Achari Ventures Holdings Corp. I, 08/05/26(7) | 28,624 | 1 | |
AltEnergy Acquisition Corp., 11/10/28(7) | 5,160 | — (8) | |
Altimar Acquisition Corp. III, 12/31/28(7) | 3,003 | — (8) | |
Altitude Acquisition Corp., 11/30/27(7) | 5,158 | — (8) | |
Ares Acquisition Corp., 12/31/27(7) | 21,726 | 17 | |
Arrowroot Acquisition Corp., 03/02/26(7) | 60,113 | 13 | |
Athena Consumer Acquisition Corp., 07/31/28(7) | 3,395 | — (8) | |
BYTE Acquisition Corp., 12/31/28(7) | 256,226 | 39 | |
Cartesian Growth Corp II, 07/12/28(7) | 5,799 | 1 | |
CC Neuberger Principal Holdings III, 12/31/27(7) | 10,980 | 2 | |
Cetus Capital Acquisition Corp., 03/24/28(7) | 55,001 | 6 | |
CF Acquisition Corp. VIII, 12/31/27(7)(8) | 14,261 | 1 | |
Compute Health Acquisition Corp. Class A, 12/31/27(7) | 21,781 | 11 | |
Corner Growth Acquisition Corp., 12/31/27(7) | 20,673 | 3 | |
Elliott Opportunity II Corp., 03/02/26(7) | 1,557 | — (8) | |
ESGEN Acquisition Corp., 10/20/26(7) | 5,942 | — (8) | |
FTAC Emerald Acquisition Corp., 08/22/28(7) | 17,092 | 1 | |
Fusion Acquisition Corp. II, 12/31/27(7) | 5,166 | — (8) | |
G Squared Ascend II, Inc., 12/31/26(5)(7) | 4,364 | — | |
GCM Grosvenor, Inc. Class A, 11/17/25(7) | 28,825 | 8 | |
Global Blockchain Acquisition Corp., 05/10/27(7) | 60,562 | 1 | |
Goal Acquisitions Corp., 02/11/26(7) | 272,843 | 7 | |
Golden Falcon Acquisition Corp., 11/04/26(7) | 40,626 | 5 | |
Infinite Acquisition Corp., 11/23/28(7) | 4,293 | 1 | |
International Media Acquisition Corp., 12/31/28(7) | 18,227 | — (8) | |
Jaws Mustang Acquisition Corp., 01/30/26(7) | 23,996 | 1 | |
Kensington Capital Acquisition Corp. V, 07/19/23(7) | 48,984 | 4 | |
Live Oak Crestview Climate Acquisition Corp., 03/12/26(7) | 11,489 | — (8) | |
Moneylion, Inc., 06/01/27(7) | 53,893 | 1 | |
Newbury Street Acquisition Corp., 12/31/27(7) | 28,549 | 5 | |
Oak Woods Acquisition Corp., 05/17/28(7) | 62,481 | 2 | |
Phoenix Biotech Acquisition Corp., 09/01/26(7) | 5,078 | — (8) | |
Plum Acquisition Corp. I, 12/31/28(7) | 17,325 | 1 | |
PROOF Acquisition Corp. I, 12/03/28(7) | 13,646 | 1 | |
Prospector Capital Corp., 01/01/25(7) | 58,973 | 7 | |
Pyrophyte Acquisition Corp., 12/17/23(7) | 6,863 | 1 | |
RMG Acquisition Corp. III, 12/31/27(7) | 20,895 | 2 | |
Screaming Eagle Acquisition Corp. Class A, 12/15/27(7) | 19,630 | 3 | |
Semper Paratus Acquisition Corp., 11/04/26(7) | 6,900 | — (8) | |
Slam Corp. Class A, 12/31/27(7) | 8,351 | 2 | |
Spring Valley Acquisition Corp. II, 02/25/26(7) | 3,247 | — (8) | |
Target Global Acquisition I Corp., 12/31/27(7) | 10,328 | 1 | |
Thunder Bridge Capital Partners III, Inc., 02/15/28(7) | 28,698 | 3 | |
Viscogliosi Brothers Acquisition Corp., 03/18/27(7) | 4,892 | — (8) | |
Zapp Electric Vehicles Group Ltd., 03/03/28(7) | 13,420 | 1 | |
153 | |||
Health Care—0.0% | |||
Newamsterdam Pharma Co. N.V., 11/22/27(7) | 17,838 | 37 | |
Pear Therapeutics, Inc., 02/04/26(7) | 36,173 | — (8) | |
Quantum-Si, Inc., 09/30/27(7) | 17,647 | 4 | |
Talkspace, Inc., 06/21/25(7) | 55,361 | 4 | |
45 | |||
Industrials—0.0% | |||
Amprius Technologies, Inc., 03/02/27(7) | 27,068 | 13 | |
Bridger Aerospace Group Holdings, Inc., 12/31/27(7) | 27,000 | 5 |
Shares | Value | ||
Industrials—continued | |||
Freightos Ltd., 01/23/28(7) | 4,398 | $ 1 | |
Getaround, Inc., 12/31/28(7) | 11,166 | — (8) | |
Shapeways Holdings, Inc., 10/31/26(7) | 126,337 | 1 | |
20 | |||
Information Technology—0.0% | |||
Embark Technology, Inc., 12/31/27(7)(8) | 19,566 | 1 | |
FOXO Technologies, Inc., 08/01/27(7) | 26,187 | — (8) | |
Movella Holdings, Inc., 12/31/27(7) | 11,102 | 1 | |
Near Intelligence, Inc., 07/08/27(7) | 10,000 | 1 | |
3 | |||
Materials—0.0% | |||
Ginkgo Bioworks Holdings, Inc., 12/31/27(7) | 11,400 | 3 | |
Total Warrants (Identified Cost $3,315) | 369 |
Shares/Units | ||
Special Purpose Acquisition Companies—26.9% | ||
A SPAC II Acquisition Corp.(7) | 32,124 | 339 |
AfterNext HealthTech Acquisition Corp. Class A(7) | 61,920 | 642 |
Alchemy Investments Acquisition Corp. 1(7) | 35,870 | 367 |
Alpha Healthcare Acquisition Corp. III Class A(7) | 42,083 | 433 |
Alpha Partners Technology Merger Corp. Class A(7) | 36,400 | 379 |
Alpha Star Acquisition Corp.(7) | 33,440 | 359 |
AltC Acquisition Corp. Class A(7) | 26,585 | 277 |
Andretti Acquisition Corp. Class A(7) | 80,807 | 860 |
AP Acquisition Corp. Class A(7) | 24,240 | 261 |
Apollo Strategic Growth Capital Class B(5)(7) | 23,632 | — |
Apollo Strategic Growth Capital II Class A(7) | 154,153 | 1,592 |
Ares Acquisition Corp. Class A(7) | 116,612 | 1,233 |
Ares Acquisition Corp. II(7) | 64,654 | 666 |
Arisz Acquisition Corp.(7) | 33,967 | 359 |
Arrowroot Acquisition Corp. Class A(7) | 54,880 | 572 |
Artemis Strategic Investment Corp. Class A(7) | 151,888 | 1,616 |
ARYA Sciences Acquisition Corp. IV Class A(7) | 6,881 | 73 |
Aura FAT Projects Acquisition Corp. Class A(7) | 83,049 | 879 |
Aurora Technology Acquisition Corp. Class A(7) | 50,100 | 532 |
AXIOS Sustainable Growth Acquisition Corp. Class A(7) | 14,085 | 147 |
Bannix Acquisition Corp.(7) | 1,688 | 18 |
Battery Future Acquisition Corp. Class A(7) | 80,919 | 858 |
Beard Energy Transition Acquisition Corp. Class A(7) | 172,282 | 1,811 |
Bilander Acquisition Corp. Class A(7) | 51,716 | 525 |
BioPlus Acquisition Corp. Class A(7) | 80,049 | 853 |
Black Spade Acquisition Co. Class A(7) | 18,865 | 195 |
Blue Ocean Acquisition Corp. Class A(7) | 66,839 | 707 |
Blue Whale Acquisition Corp. I Class A(7) | 70,819 | 719 |
Blue World Acquisition Corp.(7) | 34,147 | 362 |
C5 Acquisition Corp. Class A(7) | 50,166 | 534 |
Canna-Global Acquisition Corp. Class A(7) | 8,772 | 94 |
Capitalworks Emerging Markets Acquisition Corp. Class A(7) | 21,250 | 225 |
Cartesian Growth Corp. II Class A(7) | 17,398 | 186 |
Cartica Acquisition Corp. Class A(7) | 81,208 | 864 |
CC Neuberger Principal Holdings III Class A(7) | 54,900 | 587 |
Cetus Capital Acquisition Corp.(7) | 14,850 | 152 |
CF Acquisition Corp. IV Class A(7) | 45,973 | 483 |
CF Acquisition Corp. VII Class A(7) | 48,153 | 513 |
Shares/Units | Value | ||
Chenghe Acquisition Co. Class A(7) | 14,413 | $ 154 | |
Churchill Capital Corp. V Class A(7) | 20,823 | 212 | |
Clean Earth Acquisitions Corp. Class A(7) | 57,422 | 602 | |
Colombier Acquisition Corp. Class A(7) | 67,247 | 691 | |
Compass Digital Acquisition Corp.(7) | 45,239 | 470 | |
Concord Acquisition Corp. II Class A(7) | 86,247 | 885 | |
Consilium Acquisition Corp. I Ltd.(7) | 59,018 | 619 | |
Conyers Park III Acquisition Corp. Class A(7) | 36,115 | 369 | |
Corsair Partnering Corp. Class A(7) | 167,948 | 1,740 | |
DHC Acquisition Corp. Class A(7) | 17,670 | 181 | |
Direct Selling Acquisition Corp. Class A(7) | 17,638 | 188 | |
Distoken Acquisition Corp.(7) | 34,215 | 353 | |
DUET Acquisition Corp. Class A(7) | 20,404 | 214 | |
Dune Acquisition Corp. Class A(7) | 23,015 | 229 | |
EF Hutton Acquisition Corp. I(7) | 20,208 | 210 | |
Elliott Opportunity II Corp. Class A(7) | 297,901 | 3,086 | |
Embrace Change Acquisition Corp.(7) | 15,932 | 169 | |
Enphys Acquisition Corp.(7) | 145,997 | 1,517 | |
Enterprise 4.0 Technology Acquisition Corp.(7) | 7,971 | 85 | |
ESH Acquisition Corp.(7) | 25,365 | 257 | |
EVe Mobility Acquisition Corp. Class A(7) | 15,316 | 161 | |
Everest Consolidator Acquisition Corp.(7) | 24,018 | 256 | |
ExcelFin Acquisition Corp. Class A(7) | 13,117 | 136 | |
FAST Acquisition Corp. II Class A(7) | 20,115 | 209 | |
Feutune Light Acquisition Corp. Class A(7) | 8,687 | 91 | |
Focus Impact Acquisition Corp. Class A(7) | 33,274 | 352 | |
Forbion European Acquisition Corp. Class A(7) | 27,947 | 300 | |
Forest Road Acquisition Corp. II Class A(7) | 139,040 | 1,425 | |
Fortune Rise Acquisition Corp.(7) | 130,088 | 1,400 | |
Freedom Acquisition I Corp. Class A(7) | 35,846 | 380 | |
Frontier Investment Corp. Class A(7) | 11,218 | 116 | |
FTAC Emerald Acquisition Corp. Class A(7) | 49,790 | 516 | |
FTAC Zeus Acquisition Corp. Class A(7) | 169,080 | 1,763 | |
Fusion Acquisition Corp. II Class A(7) | 24,143 | 251 | |
Galata Acquisition Corp. Class A(7) | 16,832 | 173 | |
Global Partner Acquisition Corp. II Class A(7) | 509 | 5 | |
Global Systems Dynamics, Inc. Class A(7) | 18,413 | 198 | |
Goal Acquisitions Corp.(7) | 138,123 | 1,434 | |
GoGreen Investments Corp.(7) | 64,611 | 687 | |
Golden Star Acquisition Corp.(7) | 19,932 | 208 | |
Gores Holdings IX, Inc. Class A(7) | 248,417 | 2,546 | |
Graf Acquisition Corp. IV(7) | 9,192 | 95 | |
Growth For Good Acquisition Corp.(7) | 83,078 | 867 | |
Hainan Manaslu Acquisition Corp.(7) | 68,000 | 719 | |
Hawks Acquisition Corp. Class A(7) | 74,517 | 764 | |
HCM Acquisition Corp. Class A(7) | 33,834 | 360 | |
Healthcare AI Acquisition Corp. Class A(7) | 7,819 | 83 | |
Healthwell Acquisition Corp. I Class A(7) | 10,737 | 110 | |
Heartland Media Acquisition Corp. Class A(7) | 58,101 | 612 | |
HH&L Acquisition Co. Class A(7) | 56,904 | 596 | |
Iconic Sports Acquisition Corp. Class A(7) | 22,834 | 243 | |
Infinite Acquisition Corp. Class A(7) | 104,123 | 1,101 | |
InFinT Acquisition Corp. Class A(7) | 13,143 | 142 | |
Inflection Point Acquisition Corp. II(7) | 29,838 | 302 | |
Insight Acquisition Corp. Class A(7) | 14,398 | 150 | |
Integral Acquisition Corp. 1 Class A(7) | 12,204 | 128 | |
Investcorp Europe Acquisition Corp. I Class A(7) | 114,652 | 1,222 | |
Investcorp India Acquisition Corp. Class A(7) | 58,692 | 628 | |
Jaguar Global Growth Corp. I Class A(7) | 127,996 | 1,352 | |
Jupiter Acquisition Corp. Class A(7) | 18,658 | 191 | |
Kensington Capital Acquisition Corp. V Class A(7) | 81,650 | 862 | |
Kernel Group Holdings, Inc. Class A(7) | 33,002 | 347 | |
Learn CW Investment Corp. Class A(7) | 70,838 | 743 | |
Liberty Resources Acquisition Corp. Class A(7) | 15,974 | 173 |
Shares/Units | Value | ||
Live Oak Crestview Climate Acquisition Corp. Class A(7) | 45,457 | $ 466 | |
M3-Brigade Acquisition III Corp. Class A(7) | 80,238 | 838 | |
Magnum Opus Acquisition Ltd. Class A(7) | 31,417 | 328 | |
Maquia Capital Acquisition Corp. Class A(7) | 14,696 | 162 | |
Mars Acquisition Corp.(7) | 117,007 | 1,213 | |
Metal Sky Star Acquisition Corp.(7) | 62,257 | 753 | |
Monterey Capital Acquisition Corp. Class A(7) | 36,634 | 383 | |
Mountain & Co. I Acquisition Corp.(7) | 77,015 | 837 | |
Nabors Energy Transition Corp. Class A(7) | 75,458 | 801 | |
Newbury Street Acquisition Corp.(7) | 57,098 | 591 | |
Nubia Brand International Corp. Class A(7) | 35,345 | 376 | |
Oak Woods Acquisition Corp. Class A(7) | 24,485 | 251 | |
Papaya Growth Opportunity Corp. I Class A(7) | 55,496 | 588 | |
Patria Latin American Opportunity Acquisition Corp.(7) | 83,719 | 899 | |
Pearl Holdings Acquisition Corp. Class A(7) | 101,260 | 1,069 | |
Perception Capital Corp. II Class A(7) | 63,199 | 693 | |
Plum Acquisition Corp. I Class A(7) | 73,631 | 775 | |
Portage Fintech Acquisition Corp. Class A(7) | 77,497 | 805 | |
Power & Digital Infrastructure Acquisition II Corp. Class A(7) | 1,620 | 17 | |
Prime Number Acquisition I Corp. Class A(7) | 34,859 | 367 | |
Project Energy Reimagined Acquisition Corp.(7) | 69,561 | 721 | |
PROOF Acquisition Corp. I Class A(7) | 66,010 | 696 | |
Pyrophyte Acquisition Corp. Class A(7) | 9,608 | 102 | |
Quadro Acquisition One Corp. Class A(7) | 5,400 | 57 | |
Redwoods Acquisition Corp.(7) | 35,922 | 376 | |
Rigel Resource Acquisition Corp. Class A(7) | 191,186 | 2,050 | |
Rose Hill Acquisition Corp. Class A(7) | 8,846 | 103 | |
Ross Acquisition Corp. II Class A(7) | 39,270 | 413 | |
Roth CH Acquisition V Co.(7) | 16,901 | 174 | |
Screaming Eagle Acquisition Corp. Class A(7) | 306,789 | 3,166 | |
SDCL EDGE Acquisition Corp. Class A(7) | 11,051 | 115 | |
Seaport Global Acquisition II Corp. Class A(7) | 47,833 | 498 | |
SHUAA Partners Acquisition Corp. I Class A(7) | 16,183 | 173 | |
SILVERspac, Inc. Class A(7) | 42,208 | 439 | |
SK Growth Opportunities Corp. Class A(7) | 84,876 | 899 | |
Slam Corp. Class A(7) | 160,816 | 1,719 | |
Social Capital Suvretta Holdings Corp. II Class A(7) | 173,736 | 1,799 | |
Social Capital Suvretta Holdings Corp. IV Class A(7) | 173,736 | 1,798 | |
Southport Acquisition Corp.(7) | 111,437 | 1,169 | |
Spree Acquisition Corp. 1 Ltd.(7) | 6,549 | 70 | |
Spring Valley Acquisition Corp. II(7) | 6,495 | 1 | |
Spring Valley Acquisition Corp. II Class A(7) | 55,423 | 584 | |
Springwater Special Situations Corp.(7) | 54,751 | 566 | |
Target Global Acquisition I Corp. Class A(7) | 92,335 | 982 | |
TenX Keane Acquisition Class A(7) | 19,217 | 202 | |
Thunder Bridge Capital Partners IV, Inc. Class A(7) | 41,066 | 423 | |
TKB Critical Technologies 1 Class A(7) | 56,016 | 593 | |
TMT Acquisition Corp.(7) | 21,997 | 8 | |
TMT Acquisition Corp. Class A(7) | 30,067 | 309 | |
TortoiseEcofin Acquisition Corp. III Class A(7) | 113,116 | 1,171 | |
Tristar Acquisition I Corp. Class A(7) | 90,066 | 943 | |
Twelve Seas Investment Co. II Class A(7) | 27,514 | 283 | |
Twin Ridge Capital Acquisition Corp. Class A(7) | 41,501 | 444 | |
UTA Acquisition Corp. Class A(7) | 211,965 | 2,240 | |
Vahanna Tech Edge Acquisition I Corp. Class A(7) | 31,119 | 331 | |
Valuence Merger Corp. I Class A(7) | 3,246 | 35 | |
Viscogliosi Brothers Acquisition Corp.(7) | 9,784 | 102 | |
Viveon Health Acquisition Corp.(7) | 8,292 | 91 | |
Waverley Capital Acquisition Corp. 1 Class A(7) | 70,678 | 733 | |
XPAC Acquisition Corp. Class A(7) | 155,415 | 1,612 |
Shares/Units | Value | ||
Zalatoris Acquisition Corp.(7) | 26,388 | $ 273 | |
Total Special Purpose Acquisition Companies (Identified Cost $96,437) | 98,575 |
Shares | ||
Purchased Options—0.3% | ||
(See open purchased options schedule) | ||
Total Purchased Options (Premiums Paid $1,373) | 962 | |
Escrow Notes—2.1% | ||
Financials—2.1% | ||
Altaba, Inc. Escrow(7) | 3,328,036 | 7,787 |
Pershing Square Escrow(7) | 44,373 | 9 |
7,796 | ||
Industrials—0.0% | ||
AMR Corp. Escrow(5)(7) | 28,850 | 1 |
Total Escrow Notes (Identified Cost $5,386) | 7,797 | |
Master Limited Partnerships and Related Companies—1.9% | ||
Downstream/Other—1.9% | ||
Magellan Midstream Partners LP(2) | 112,021 | 6,981 |
Total Master Limited Partnerships and Related Companies (Identified Cost $6,835) | 6,981 | |
Total Long-Term Investments—97.7% (Identified Cost $362,872) | 357,528 | |
Short-Term Investment—3.3% | ||
Money Market Mutual Fund—3.3% | ||
Goldman Sachs Financial Square Funds - Treasury Instruments Fund - Standard Shares (seven-day effective yield 4.979%)(9) | 12,038,129 | 12,038 |
Total Short-Term Investment (Identified Cost $12,038) | 12,038 | |
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT AND WRITTEN OPTIONS—101.0% (Identified Cost $374,910) | 369,566 | |
Securities Sold Short—(3.9)% |
Par Value | ||
U.S. Government Security—(0.2)% | ||
U.S. Treasury Notes 3.250%, 6/30/29 | $ (578) | (553) |
Total U.S. Government Security (Identified Proceeds $(590)) | (553) |
Shares | Value | ||
Common Stocks—(3.7)% | |||
Energy—(2.3)% | |||
Chevron Corp. | (24,421) | $ (3,842) | |
ONEOK, Inc. | (74,719) | (4,612) | |
(8,454) | |||
Health Care—(1.3)% | |||
Globus Medical, Inc. Class A(7) | (78,541) | (4,676) | |
Information Technology—(0.0)% | |||
Broadcom, Inc. | (134) | (116) | |
Real Estate—(0.1)% | |||
Regency Centers Corp. | (5,075) | (314) | |
Total Common Stocks (Identified Proceeds $(12,982)) | (13,560) | ||
Total Securities Sold Short (Identified Proceeds $(13,572)) | (14,113) | ||
Written Options—(1.5)% | |||
(See open written options schedule) | |||
Total Written Options (Premiums Received $5,487) | (5,557) | ||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT AND WRITTEN OPTIONS—95.6% (Identified Cost $355,851) | $ 349,896 | ||
Other assets and liabilities, net—4.4% | 16,075 | ||
NET ASSETS—100.0% | $ 365,971 |
Abbreviations: | |
ADR | American Depositary Receipt |
AMT | Alternative Minimum Tax |
ETF | Exchange-Traded Fund |
LLC | Limited Liability Company |
LP | Limited Partnership |
OBFR | Overnight Bank Funding Rate |
S&P | Standard & Poor’s |
SOFR | Secured Overnight Financing Rate |
SPAC | Special Purpose Acquisition Company |
Footnote Legend: | |
(1) | 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. At June 30, 2023, these securities amounted to a value of $65,556 or 17.9% of net assets. |
(2) | All or a portion of the shares have been committed as collateral for open securities sold short and written option contracts. The value of securities segregated as collateral is $47,115. |
(3) | Regulation S security. Security is offered and sold outside of the United States; therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(4) | Variable rate security. Rate disclosed is as of June 30, 2023. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(6) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(7) | Non-income producing. |
(8) | Amount is less than $500 (not in thousands). |
(9) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Counterparties: | |
BAML | Bank of America-Merrill Lynch |
GS | Goldman Sachs & Co. |
JPM | JPMorgan Chase Bank N.A. |
Foreign Currencies: | |
AUD | Australian Dollar |
CAD | Canadian Dollar |
DKK | Danish Krone |
EUR | Euro |
GBP | United Kingdom Pound Sterling |
JPY | Japanese Yen |
USD | United States Dollar |
Country Weightings† | |
United States | 64% |
Cayman Islands | 19 |
Ireland | 6 |
Canada | 4 |
Netherlands | 2 |
France | 2 |
Luxembourg | 1 |
Other | 2 |
Total | 100% |
†% of total investments, net of securities sold short and written options, as of June 30, 2023. |
Open purchased options contracts as of June 30, 2023 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Put Options(2) | |||||
Baxter International, Inc. | 1,029 | $3,859 | $ 37.50 | 08/18/23 | $ 21 |
Chinook Therapeutics, Inc. | 1 | 3 | 25.00 | 10/20/23 | — (3) |
Chinook Therapeutics, Inc. | 2 | 6 | 30.00 | 12/15/23 | — (3) |
Chinook Therapeutics, Inc. | 3 | 8 | 25.00 | 01/19/24 | — (3) |
DICE Therapeutics, Inc. | 7 | 24 | 35.00 | 01/19/24 | — (3) |
Endeavor Group Holdings, Inc. | 1,554 | 3,108 | 20.00 | 08/18/23 | 23 |
Fidelity National Information Services, Inc. | 680 | 3,060 | 45.00 | 07/21/23 | 7 |
Horizon Therapeutics plc | 171 | 1,710 | 100.00 | 08/18/23 | 24 |
IVERIC bio, Inc. | 421 | 1,263 | 30.00 | 09/15/23 | 8 |
Kellogg Co. | 1,130 | 6,780 | 60.00 | 09/15/23 | 34 |
Seagen, Inc. | 183 | 3,477 | 190.00 | 06/21/24 | 282 |
Siemens AG | 355 | 4,970 | 140.00 | 08/18/23 | 60 |
SPDR S&P 500® ETF Trust | 226 | 9,831 | 435.00 | 07/21/23 | 38 |
Teck Resources Ltd. | 169 | 591 | 35.00 | 07/21/23 | 1 |
Teck Resources Ltd. | 496 | 1,835 | 37.00 | 07/21/23 | 8 |
Teck Resources Ltd. | 236 | 897 | 38.00 | 07/21/23 | 4 |
Teck Resources Ltd. | 164 | 607 | 37.00 | 08/18/23 | 9 |
Teck Resources Ltd. | 393 | 1,572 | 40.00 | 08/18/23 | 57 |
Teck Resources Ltd. | 458 | 1,511 | 33.00 | 09/15/23 | 15 |
Thyssenkrupp AG | 3,549 | 2,200 | 6.20 | 08/18/23 | 50 |
Thyssenkrupp AG | 2,409 | 1,494 | 6.20 | 09/15/23 | 53 |
Vale S.A. | 1,011 | 1,314 | 13.00 | 07/21/23 | 24 |
Vale S.A. | 636 | 700 | 11.00 | 08/18/23 | 6 |
Vale S.A. | 636 | 763 | 12.00 | 08/18/23 | 14 |
Vale S.A. | 749 | 974 | 13.00 | 08/18/23 | 40 |
Vodafone Group plc | 3,124 | 3,124 | 10.00 | 07/21/23 | 184 |
Total Purchased Options | $962 | ||||
Footnote Legend: | |||||
(1) Strike price not reported in thousands. | |||||
(2) Unless otherwise noted, options are exchange-traded. | |||||
(3) Amount is less than $500 (not in thousands). |
Open written options contracts as of June 30, 2023 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Activision Blizzard, Inc. | (230) | $(1,610) | $ 70.00 | 07/21/23 | $ (334) |
Activision Blizzard, Inc. | (489) | (3,423) | 70.00 | 08/18/23 | (739) |
Activision Blizzard, Inc. | (801) | (5,807) | 72.50 | 08/18/23 | (1,012) |
Activision Blizzard, Inc. | (310) | (2,325) | 75.00 | 08/18/23 | (324) |
Amedisys, Inc. | (202) | (1,818) | 90.00 | 09/15/23 | (69) |
Baxter International, Inc. | (1,029) | (4,373) | 42.50 | 08/18/23 | (428) |
Chinook Therapeutics, Inc. | (1) | (4) | 40.00 | 01/19/24 | (—) (3) |
DICE Therapeutics, Inc. | (45) | (225) | 50.00 | 01/19/24 | (—) (3) |
Endeavor Group Holdings, Inc. | (1,554) | (3,496) | 22.50 | 08/18/23 | (305) |
Fidelity National Information Services, Inc. | (680) | (3,400) | 50.00 | 07/21/23 | (343) |
Horizon Therapeutics plc | (73) | (767) | 105.00 | 07/21/23 | (7) |
Horizon Therapeutics plc | (171) | (1,966) | 115.00 | 08/18/23 | (3) |
IVERIC bio, Inc. | (740) | (2,960) | 40.00 | 09/15/23 | (7) |
Kellogg Co. | (1,130) | (7,345) | 65.00 | 09/15/23 | (438) |
Prometheus Biosciences, Inc. | (293) | (5,860) | 200.00 | 01/19/24 | — |
Radius Global Infrastructure, Inc. | (249) | (374) | 15.00 | 08/18/23 | (3) |
Radius Global Infrastructure, Inc. | (32) | (48) | 15.00 | 01/19/24 | (—) (3) |
Seagen, Inc. | (70) | (1,330) | 190.00 | 07/21/23 | (37) |
Seagen, Inc. | (17) | (315) | 185.00 | 08/18/23 | (18) |
Open written options contracts as of June 30, 2023 were as follows (continued): | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) (continued) | |||||
Seagen, Inc. | (128) | $(2,432) | $190.00 | 08/18/23 | $ (101) |
Siemens AG | (139) | (2,085) | 150.00 | 08/18/23 | (108) |
Siemens AG | (216) | (3,283) | 152.00 | 08/18/23 | (139) |
SPDR S&P 500® ETF Trust | (87) | (3,828) | 440.00 | 07/21/23 | (60) |
Teck Resources Ltd. | (169) | (659) | 39.00 | 07/21/23 | (60) |
Teck Resources Ltd. | (236) | (991) | 42.00 | 07/21/23 | (36) |
Teck Resources Ltd. | (116) | (499) | 43.00 | 07/21/23 | (12) |
Teck Resources Ltd. | (164) | (672) | 41.00 | 08/18/23 | (49) |
Teck Resources Ltd. | (393) | (1,769) | 45.00 | 08/18/23 | (51) |
Teck Resources Ltd. | (458) | (1,695) | 37.00 | 09/15/23 | (292) |
Thyssenkrupp AG | (3,549) | (2,449) | 6.90 | 08/18/23 | (229) |
Thyssenkrupp AG | (2,409) | (1,638) | 6.80 | 09/15/23 | (205) |
Vale S.A. | (1,011) | (1,517) | 15.00 | 07/21/23 | (8) |
Vale S.A. | (2,021) | (3,031) | 15.00 | 08/18/23 | (44) |
(5,461) | |||||
Put Options(2) | |||||
Horizon Therapeutics plc | (171) | (1,368) | 80.00 | 08/18/23 | (5) |
Seagen, Inc. | (183) | (2,653) | 145.00 | 06/21/24 | (80) |
SPDR S&P 500® ETF Trust | (226) | (9,492) | 420.00 | 07/21/23 | (11) |
(96) | |||||
Total Written Options | $ (5,557) |
Footnote Legend: | |
(1) Strike price not reported in thousands. | |
(2) Unless otherwise noted, options are exchange-traded. | |
(3) Amount is less than $500 (not in thousands). |
Forward foreign currency exchange contracts as of June 30, 2023 were as follows: | ||||||||
Currency Purchased | Currency Amount Purchased | Currency Sold | Currency Amount Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
USD | 4,411 | EUR | 4,059 | GS | 08/24/23 | $— | $ (30) | |
USD | 1,707 | EUR | 1,548 | JPM | 08/25/23 | 13 | — | |
USD | 5,867 | EUR | 5,371 | GS | 08/29/23 | — | (12) | |
USD | 57 | CAD | 76 | JPM | 09/07/23 | — | — (1) | |
USD | 717 | EUR | 650 | GS | 09/13/23 | 5 | — | |
USD | 910 | EUR | 830 | JPM | 09/13/23 | 1 | — | |
USD | 3,948 | EUR | 3,600 | JPM | 09/20/23 | 3 | — | |
USD | 356 | JPY | 46,273 | JPM | 09/21/23 | 31 | — | |
USD | 435 | DKK | 2,954 | GS | 10/04/23 | — | — (1) | |
USD | 994 | EUR | 914 | GS | 10/04/23 | — | (9) | |
USD | 2,709 | CAD | 3,646 | JPM | 10/13/23 | — | (48) | |
USD | 296 | EUR | 270 | GS | 10/19/23 | — | — (1) | |
USD | 412 | EUR | 376 | JPM | 10/19/23 | — | — (1) | |
USD | 2,553 | AUD | 3,790 | GS | 12/05/23 | 18 | — | |
USD | 1,147 | GBP | 924 | JPM | 12/06/23 | — | (26) | |
USD | 358 | EUR | 329 | JPM | 12/22/23 | — | (4) | |
USD | 1,965 | JPY | 276,395 | GS | 12/26/23 | — | (7) | |
USD | 5,695 | GBP | 4,543 | GS | 12/27/23 | — | (71) | |
Total | $71 | $(207) |
Footnote Legend: | |
(1) | Amount is less than $500 (not in thousands). |
Over-the-counter total return swaps outstanding as of June 30, 2023 were as follows: | ||||||||||
Referenced Entity | Pay/Receive | Financing Rate(1) | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value (2) | Unrealized Appreciation | Unrealized Depreciation | |
Long Total Return Swap Contracts | ||||||||||
Abiomed, Inc.(3) | Pay | 5.820% (0.750% + OBFR) | 1 Month | BAML | 01/30/24 | $ —(4) | $ 8 | $ 8 | $ — | |
Aerojet Rocketdyne Holdings, Inc. | Pay | 5.440% (0.380% + OBFR) | 3 Month | JPM | 06/03/24 | 2,409 | (70) | — | (70) | |
BlackRock Floating Rate Income Strategies Fund, Inc. | Pay | 5.860% (0.800% + OBFR) | 3 Month | JPM | 03/25/24 | 431 | 19 | 19 | — | |
BlackRock Floating Rate Income Strategies Fund, Inc. | Pay | 5.860% (0.800% + OBFR) | 3 Month | JPM | 03/28/24 | 232 | 8 | 8 | — | |
BlackRock Floating Rate Income Strategies Fund, Inc. | Pay | 5.860% (0.800% + OBFR) | 3 Month | JPM | 04/08/24 | 207 | 4 | 4 | — | |
Bristol-Myers Squibb Co.(3),(5) | Pay | 5.820% (0.750% + OBFR) | 1 Month | BAML | 03/04/24 | — (4) | 31 | 31 | — | |
Brookfield Property Preferred LP | Pay | 5.810% (0.750% + OBFR) | 1 Month | BAML | 01/08/24 | 64 | (2) | — | (2) | |
Cazoo Group Ltd. | Pay | 5.820% (0.750% + OBFR) | 1 Month | BAML | 10/23/23 | 22 | (20) | — | (20) | |
Cazoo Group Ltd. | Pay | 5.810% (0.750% + OBFR) | 1 Month | BAML | 01/29/24 | 4 | (2) | — | (2) | |
Chr. Hansen Holding A/S | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 02/19/24 | 1,148 | (64) | — | (64) | |
Chr. Hansen Holding A/S | Pay | 5.620% (0.550% + OBFR) | 3 Month | JPM | 08/05/24 | 48 | — (4) | — | — (4) | |
Dechra Pharmaceuticals plc | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 05/27/24 | 5,237 | 44 | 44 | — | |
Emis Group plc | Pay | 5.510% (0.450% + OBFR) | 3 Month | JPM | 09/18/23 | 70 | (16) | — | (16) | |
Emis Group plc | Pay | 5.510% (0.450% + OBFR) | 3 Month | JPM | 09/19/23 | 204 | (45) | — | (45) | |
Emis Group plc | Pay | 5.510% (0.450% + OBFR) | 3 Month | JPM | 09/22/23 | 27 | (6) | — | (6) | |
Emis Group plc | Pay | 5.510% (0.450% + OBFR) | 3 Month | JPM | 09/25/23 | 37 | (8) | — | (8) | |
Emis Group plc | Pay | 5.510% (0.450% + OBFR) | 3 Month | JPM | 09/26/23 | 5 | (1) | — | (1) | |
Emis Group plc | Pay | 5.510% (0.450% + OBFR) | 3 Month | JPM | 10/02/23 | 46 | (9) | — | (9) | |
Emis Group plc | Pay | 5.510% (0.450% + OBFR) | 3 Month | JPM | 10/05/23 | 666 | (124) | — | (124) | |
Invesco Dynamic | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 03/27/24 | 85 | (3) | — | (3) | |
Invesco Dynamic | Pay | 5.440% (0.380% + OBFR) | 3 Month | JPM | 01/01/24 | 296 | (7) | — | (7) | |
Invesco Dynamic | Pay | 5.440% (0.380% + OBFR) | 3 Month | JPM | 02/12/24 | — (4) | 9 | 9 | — | |
Invesco Dynamic | Pay | 5.440% (0.380% + OBFR) | 3 Month | JPM | 05/21/24 | — (4) | 9 | 9 | — | |
Invesco Senior Income Trust | Pay | 5.860% (0.800% + OBFR) | 3 Month | JPM | 03/25/24 | 442 | (1) | — | (1) | |
Invesco Senior Income Trust | Pay | 5.860% (0.800% + OBFR) | 3 Month | JPM | 03/27/24 | 125 | (3) | — | (3) | |
Invesco Senior Income Trust | Pay | 5.860% (0.800% + OBFR) | 3 Month | JPM | 03/28/24 | 371 | (9) | — | (9) | |
JSR Corp. | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 07/30/24 | 1,821 | (11) | — | (11) | |
Kellogg Co. | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 05/10/24 | 3,038 | (37) | — | (37) | |
Majorel Group Luxembourg S.A. | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 07/22/24 | 283 | 3 | 3 | — | |
Majorel Group Luxembourg S.A. | Pay | 5.610% (0.550% + OBFR) | 3 Month | JPM | 07/29/24 | 40 | — (4) | — (4) | — | |
Majorel Group Luxembourg S.A. | Pay | 5.610% (0.550% + OBFR) | 3 Month | JPM | 08/05/24 | 352 | — (4) | — (4) | — | |
Newcrest Mining Ltd. | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 05/27/24 | 1,212 | (94) | — | (94) | |
Nuveen New York AMT-Free Quality Municipal Income Fund | Pay | 5.440% (0.380% + OBFR) | 3 Month | JPM | 10/23/23 | 871 | 10 | 10 | — | |
Origin Energy Ltd. | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 04/16/24 | 4,097 | 79 | 79 | — | |
Saba Capital Income & Opportunities Fund | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 03/27/24 | 234 | (11) | — | (11) | |
Saba Capital Income & Opportunities Fund | Pay | 5.440% (0.380% + OBFR) | 3 Month | JPM | 07/22/24 | 75 | (1) | — | (1) | |
Siemens AG | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 07/23/24 | 5,928 | (25) | — | (25) | |
SimCorp A/S | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 07/29/24 | 426 | — (4) | — | — (4) | |
SLM Corp. | Pay | 5.440% (0.380% + OBFR) | 3 Month | JPM | 10/23/23 | 2,075 | (134) | — | (134) |
Over-the-counter total return swaps outstanding as of June 30, 2023 were as follows (continued): | ||||||||||||
Referenced Entity | Pay/Receive | Financing Rate(1) | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value (2) | Unrealized Appreciation | Unrealized Depreciation | |||
Telenet Group Holding N.V. | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 04/24/24 | $ 935 | $ 16 | $ 16 | $ — | |||
Thyssenkrupp AG | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 07/12/24 | 4,549 | 103 | 103 | — | |||
Toshiba Corp. | Pay | 5.610% (0.550% + OBFR) | 3 Month | JPM | 07/22/24 | 259 | (6) | — | (6) | |||
Univar Solutions, Inc. | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 05/13/24 | 8,259 | 95 | 95 | — | |||
Vivendi SE | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 05/20/24 | 706 | (114) | — | (114) | |||
Vivendi SE | Pay | 5.610% (0.550% + OBFR) | 3 Month | JPM | 11/28/23 | 862 | 88 | 88 | — | |||
Willis Towers Watson plc | Pay | 5.670% (0.610% + OBFR) | 1 Month | GS | 11/27/23 | 672 | 32 | 32 | — | |||
(265) | 558 | (823) | ||||||||||
Short Total Return Swap Contracts | ||||||||||||
Aon plc | Receive | 4.710% ((0.350)% + OBFR) | 1 Month | GS | 01/15/24 | (330) | (36) | — | (36) | |||
Broadcom, Inc. | Receive | 4.660% ((0.400)% + OBFR) | 1 Month | BAML | 10/12/23 | (3,843) | (2,698) | — | (2,698) | |||
Broadcom, Inc. | Receive | 4.710% ((0.350)% + OBFR) | 1 Month | GS | 01/15/24 | (933) | (487) | — | (487) | |||
Extra Space Storage, Inc. | Receive | 4.710% ((0.350)% + OBFR) | 1 Month | GS | 07/15/24 | (4,164) | (122) | — | (122) | |||
Newmont Corp. | Receive | 4.710% ((0.350)% + OBFR) | 1 Month | GS | 06/24/24 | (1,394) | (22) | — | (22) | |||
Novozymes A/S | Receive | 4.710% ((0.350)% + OBFR) | 1 Month | GS | 02/19/24 | (1,232) | 116 | 116 | — | |||
Novozymes A/S | Receive | 4.570% ((0.500)% + OBFR) | 3 Month | JPM | 08/05/24 | (49) | — (4) | — (4) | — | |||
Pan American Silver Corp. | Receive | 4.660% ((0.400)% + OBFR) | 1 Month | BAML | 01/08/24 | (266) | 33 | 33 | — | |||
(3,216) | 149 | (3,365) | ||||||||||
Total | $ (3,481) | $707 | $ (4,188) |
Footnote Legend: | |
(1) | The Fund pays the floating rate (+/- a spread) and receives the total return of the reference entity. |
(2) | There were no upfront premiums paid or received for the open swap contracts held. |
(3) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(4) | Amount is less than $500 (not in thousands). |
(5) | 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. |
Total Value at June 30, 2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Corporate Bonds and Notes | $ 75,343 | $ — | $ 75,343 | $ — | |||
Leveraged Loans | 10,103 | — | 10,103 | — (1) | |||
Convertible Bonds and Notes | 11,084 | — | 11,084 | — | |||
Equity Securities: | |||||||
Common Stocks | 139,925 | 139,925 | — | — | |||
Closed-End Funds | 3,942 | 3,942 | — | — | |||
Preferred Stocks | 2,042 | 2,042 | — | — | |||
Master Limited Partnerships and Related Companies | 6,981 | 6,981 | — | — | |||
Rights | 405 | 164 | 29 | 212 | |||
Escrow Notes | 7,797 | — | 7,796 | 1 | |||
Warrants | 369 | 233 | — | 136 (1) | |||
Special Purpose Acquisition Companies | 98,575 | 94,894 | 3,681 | — (1) | |||
Money Market Mutual Fund | 12,038 | 12,038 | — | — | |||
Other Financial Instruments: | |||||||
Purchased Options | 962 | 902 | 60 | — | |||
Forward Foreign Currency Exchange Contracts | 71 | — | 71 | — | |||
Over-the-Counter Total Return Swaps | 707 | — | 668 | 39 | |||
Total Assets | 370,344 | 261,121 | 108,835 | 388 | |||
Liabilities: | |||||||
Securities Sold Short: | |||||||
Common Stocks | (13,560) | (13,560) | — | — | |||
U.S. Government Security | (553) | — | (553) | — | |||
Other Financial Instruments: | |||||||
Written Options | (5,557) | (4,302) | (1,255) | — | |||
Forward Foreign Currency Exchange Contracts | (207) | — | (207) | — | |||
Over-the-Counter Total Return Swaps | (4,188) | — | (4,188) | — | |||
Total Liabilities | (24,065) | (17,862) | (6,203) | — | |||
Total Investments, Net of Securities Sold Short and Written Options | $346,279 | $243,259 | $102,632 | $388 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
June 30, 2023
The Merger Fund | Westchester Credit Event Fund | Westchester Event-Driven Fund | |||
Assets | |||||
Investment in securities at value(1)(2) | $ 2,944,253 | $ 60,277 | $ 369,566 | ||
Investment in affiliates at value(3) | 398,634 | — | — | ||
Foreign currency at value(4) | 17 | — (a) | 2 | ||
Cash | 44,376 | 674 | 3,833 | ||
Due from broker for swap contracts | 295 | 31 | 384 | ||
Cash pledged as collateral for derivatives and securities sold short | 197,180 | 411 | 24,968 | ||
Over-the-counter swaps at value | 3,528 | 146 | 707 | ||
Unrealized appreciation on forward foreign currency exchange contracts | 554 | 14 | 71 | ||
Receivables | |||||
Investment securities sold | 2,566 | 394 | 4,231 | ||
Fund shares sold | 1,897 | 201 | 721 | ||
Dividends and interest | 5,779 | 603 | 1,784 | ||
Tax reclaims | 947 | — | 42 | ||
Securities lending income | 5 | — (a) | — (a) | ||
Prepaid Trustees’ retainer | 72 | 1 | 8 | ||
Prepaid expenses | 112 | 28 | 115 | ||
Other assets | 78 | 1 | 8 | ||
Total assets | 3,600,293 | 62,781 | 406,440 | ||
Liabilities | |||||
Cash received as collateral for derivatives | 60 | — | 218 | ||
Written options at value(5) | 27,258 | — | 5,557 | ||
Securities sold short at value(6) | 116,737 | 381 | 14,113 | ||
Over-the-counter swaps at value | 44,111 | 24 | 4,188 | ||
Unrealized depreciation on forward foreign currency exchange contracts | 1,574 | 14 | 207 | ||
Payables | |||||
Fund shares repurchased | 4,997 | — | 90 | ||
Investment securities purchased | 41,789 | 2,536 | 15,587 | ||
Collateral on securities loaned | 340 | — | — | ||
Investment advisory fees | 2,527 | 52 | 330 | ||
Distribution and service fees | 136 | — (a) | 4 | ||
Administration and accounting fees | 283 | 6 | 31 | ||
Transfer agent and sub-transfer agent fees and expenses | 612 | 9 | 91 | ||
Professional fees | 79 | 25 | 44 | ||
Trustee deferred compensation plan | 78 | 1 | 8 | ||
Interest expense and/or commitment fees | 7 | — (a) | 1 | ||
Total liabilities | 240,588 | 3,048 | 40,469 | ||
Net Assets | $ 3,359,705 | $ 59,733 | $ 365,971 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $ 3,426,809 | $ 60,418 | $ 379,966 | ||
Accumulated earnings (loss) | (67,104) | (685) | (13,995) | ||
Net Assets | $ 3,359,705 | $ 59,733 | $ 365,971 | ||
Net Assets: | |||||
Class A | $ 656,414 | $ 1,398 | $ 19,766 | ||
Class I | $ 2,703,291 | $ 58,335 | $ 346,205 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 39,315,167 | 124,685 | 1,922,017 | ||
Class I | 163,418,400 | 5,321,133 | 33,387,408 | ||
Net Asset Value and Redemption Price Per Share:(b) | |||||
Class A | $ 16.70 | $ 11.21 | $ 10.28 | ||
Class I | $ 16.54 | $ 10.96 | $ 10.37 |
The Merger Fund | Westchester Credit Event Fund | Westchester Event-Driven Fund | |||
Maximum Offering Price Per Share (NAV/(1-5.50%)): | |||||
Class A | $ 17.67 | $ 11.86 | $ 10.88 | ||
Maximum Sales Charge - Class A | 5.50% | 5.50% | 5.50% | ||
(1) Investment in securities at cost | $ 2,925,882 | $ 61,236 | $ 374,910 | ||
(2) Market value of securities on loan | $ 329 | $ — | $ — | ||
(3) Investment in affiliated funds at cost | $ 385,380 | $ — | $ — | ||
(4) Foreign currency at cost | $ 16 | $ —(a) | $ 2 | ||
(4) Written options premiums received | $ 23,829 | $ — | $ 5,487 | ||
(6) Securities sold short proceeds | $ 111,950 | $ 406 | $ 13,572 |
(a) | Amount is less than $500 (not in thousands). |
(b) | Net Asset Value Per Share is calculated using unrounded net assets. |
SIX MONTHS ENDED June 30, 2023
The Merger Fund | Westchester Credit Event Fund | Westchester Event-Driven Fund | |||
Investment Income | |||||
Dividends | $ 11,999 | $ 124 | $ 1,026 | ||
Interest | 10,460 | 1,441 | 3,946 | ||
Securities lending, net of fees | 83 | 1 | 5 | ||
Foreign taxes withheld | (129) | — | (20) | ||
Total investment income | 22,413 | 1,566 | 4,957 | ||
Expenses | |||||
Investment advisory fees | 18,957 | 297 | 2,152 | ||
Distribution and service fees, Class A | 866 | 2 | 24 | ||
Administration and accounting fees | 1,930 | 34 | 180 | ||
Transfer agent fees and expenses | 835 | 13 | 74 | ||
Sub-transfer agent fees and expenses, Class A | 435 | 1 | 12 | ||
Sub-transfer agent fees and expenses, Class I | 1,334 | 21 | 220 | ||
Custodian fees | 4 | 1 | 2 | ||
Printing fees and expenses | 97 | 1 | 9 | ||
Professional fees | 92 | 22 | 32 | ||
Interest expense and/or commitment fees | 17 | — (1) | 4 | ||
Registration fees | 84 | 21 | 30 | ||
Trustees’ fees and expenses | 165 | 2 | 13 | ||
Miscellaneous expenses | 239 | 9 | 26 | ||
Total expenses | 25,055 | 424 | 2,778 | ||
Dividend and interest expense on securities sold short | 920 | 6 | 119 | ||
Total expenses, including dividend and interest expense on securities sold short | 25,975 | 430 | 2,897 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | (1,853) | — | (93) | ||
Less low balance account fees | — (1) | — | — | ||
Plus net expenses recaptured(2) | — | 34 | — | ||
Net expenses | 24,122 | 464 | 2,804 | ||
Net investment income (loss) | (1,709) | 1,102 | 2,153 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Unaffiliated Investments | (4,802) | (769) | (4,873) | ||
Affiliated Investments | 3,102 | — | — | ||
Securities sold short | 2,155 | — (1) | (279) | ||
Foreign currency transactions | 33 | (1) | 2 | ||
Forward foreign currency exchange contracts | (1,468) | — | (268) | ||
Written options | 6,656 | — | 4,112 | ||
Swaps | (2,455) | (199) | (3,071) | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Unaffiliated Investments | 3,817 | 2,413 | 3,689 | ||
Affiliated Investments | 13,254 | — | — | ||
Securities sold short | (5,596) | — (1) | (685) | ||
Foreign currency transactions | 13 | — (1) | 2 | ||
Forward foreign currency exchange contracts | (694) | — (1) | (6) | ||
Written options | (6,519) | — | 445 | ||
Swaps | (42,506) | 356 | (799) | ||
Net realized and unrealized gain (loss) on investments | (35,010) | 1,800 | (1,731) | ||
Net increase (decrease) in net assets resulting from operations | $(36,719) | $2,902 | $ 422 |
(1) | Amount is less than $500 (not in thousands). |
(2) | See Notes 4C and 4D in the Notes to Financial Statements. |
The Merger Fund | Westchester Credit Event Fund | ||||||
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ (1,709) | $ 6,815 | $ 1,102 | $ 1,478 | |||
Net realized gain (loss) | 3,221 | 251,178 | (969) | (133) | |||
Net change in unrealized appreciation (depreciation) | (38,231) | (217,598) | 2,769 | (3,541) | |||
Increase (decrease) in net assets resulting from operations | (36,719) | 40,395 | 2,902 | (2,196) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | — | (25,339) | — | (3) | |||
Class I | — | (164,411) | — | (1,380) | |||
Total dividends and distributions to shareholders | — | (189,750) | — | (1,383) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (73,526) | (93,584) | 57 | 754 | |||
Class I | (797,458) | 240,443 | 175 | 40,521 | |||
Increase (decrease) in net assets from capital transactions | (870,984) | 146,859 | 232 | 41,275 | |||
Net increase (decrease) in net assets | (907,703) | (2,496) | 3,134 | 37,696 | |||
Net Assets | |||||||
Beginning of period | 4,267,408 | 4,269,904 | 56,599 | 18,903 | |||
End of Period | $ 3,359,705 | $ 4,267,408 | $ 59,733 | $ 56,599 |
Westchester Event-Driven Fund | |||
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $ 2,153 | $ 4,271 | |
Net realized gain (loss) | (4,377) | 2,675 | |
Net change in unrealized appreciation (depreciation) | 2,646 | (17,358) | |
Increase (decrease) in net assets resulting from operations | 422 | (10,412) | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class I | — | (650) | |
Total dividends and distributions to shareholders | — | (650) | |
Change in Net Assets from Capital Transactions (See Note 6): | |||
Class A | 520 | (17,480) | |
Class I | 35,322 | 26,542 | |
Increase (decrease) in net assets from capital transactions | 35,842 | 9,062 | |
Net increase (decrease) in net assets | 36,264 | (2,000) | |
Net Assets | |||
Beginning of period | 329,707 | 331,707 | |
End of Period | $ 365,971 | $ 329,707 |
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
The Merger Fund | ||||||||||||||||
Class A | ||||||||||||||||
1/1/23 to 6/30/23(6) | $16.88 | (0.03) | (0.15) | (0.18) | — | — | — | (0.18) | $16.70 | (1.07) % | $ 656,414 | 1.51 % (7) | 1.61 % | (0.32) % | 105 % | |
1/1/22 to 12/31/22 | 17.35 | (0.02) | 0.14 | 0.12 | (0.14) | (0.45) | (0.59) | (0.47) | 16.88 | 0.71 | 737,427 | 1.50 (7) | 1.59 | (0.14) | 196 | |
1/1/21 to 12/31/21 | 17.43 | (0.10) (8) | 0.07 | (0.03) | — (9) | (0.05) | (0.05) | (0.08) | 17.35 | (0.19) | 851,000 | 1.54 (7) | 1.61 | (0.59) | 162 | |
1/1/20 to 12/31/20 | 17.17 | (0.04) (8) | 0.88 | 0.84 | (0.13) | (0.45) | (0.58) | 0.26 | 17.43 | 4.87 | 920,000 | 1.49 (7) | 1.51 | (0.22) | 188 | |
1/1/19 to 12/31/19 | 16.42 | 0.09 (8) | 0.89 | 0.98 | (0.05) | (0.18) | (0.23) | 0.75 | 17.17 | 5.96 | 1,031,000 | 2.01 (7)(10) | 2.03 (10) | 0.52 | 167 | |
1/1/18 to 12/31/18 | 15.94 | 0.18 (8) | 1.05 | 1.23 | (0.19) | (0.56) | (0.75) | 0.48 | 16.42 | 7.68 | 1,265,000 | 1.91 (7) | 1.94 | 1.08 | 155 | |
Class I | ||||||||||||||||
1/1/23 to 6/30/23(6) | $16.70 | — (9) | (0.16) | (0.16) | — | — | — | (0.16) | $16.54 | (0.96) % | $2,703,291 | 1.22 % (11) | 1.32 % | (0.04) % | 105 % | |
1/1/22 to 12/31/22 | 17.32 | 0.04 | 0.13 | 0.17 | (0.34) | (0.45) | (0.79) | (0.62) | 16.70 | 1.01 | 3,529,981 | 1.21 (11) | 1.32 | 0.22 | 196 | |
1/1/21 to 12/31/21 | 17.35 | (0.05) (12) | 0.07 | 0.02 | — (9) | (0.05) | (0.05) | (0.03) | 17.32 | 0.10 | 3,419,099 | 1.25 (11) | 1.31 | (0.30) | 162 | |
1/1/20 to 12/31/20 | 17.10 | 0.01 (12) | 0.87 | 0.88 | (0.18) | (0.45) | (0.63) | 0.25 | 17.35 | 5.15 | 2,709,370 | 1.20 (11) | 1.22 | 0.07 | 188 | |
1/1/19 to 12/31/19 | 16.30 | 0.14 (12) | 0.89 | 1.03 | (0.05) | (0.18) | (0.23) | 0.80 | 17.10 | 6.32 | 2,161,001 | 1.72 (10)(11) | 1.74 (10) | 0.81 | 167 | |
1/1/18 to 12/31/18 | 15.83 | 0.23 (12) | 1.03 | 1.26 | (0.23) | (0.56) | (0.79) | 0.47 | 16.30 | 7.98 | 1,496,116 | 1.61 (11) | 1.64 | 1.38 | 155 | |
Westchester Credit Event Fund | ||||||||||||||||
Class A | ||||||||||||||||
1/1/23 to 6/30/23(6) | $10.69 | 0.19 | 0.33 | 0.52 | — | — | — | 0.52 | $11.21 | 4.86 % | $ 1,398 | 1.81 % (13)(14)(15) | 1.81 % | 3.47 % | 102 % | |
1/1/22 to 12/31/22 | 11.31 | 0.21 | (0.81) | (0.60) | — | (0.02) | (0.02) | (0.62) | 10.69 | (5.28) | 1,278 | 1.90 (14)(15)(16) | 1.78 | 1.89 | 151 | |
1/1/21 to 12/31/21 | 11.99 | (0.02) (17) | 0.90 | 0.88 | (0.29) | (1.27) | (1.56) | (0.68) | 11.31 | 7.36 | 870 | 2.21 (15) | 2.88 | (0.19) | 198 | |
1/1/20 to 12/31/20 | 10.43 | — (9)(17) | 1.67 | 1.67 | (0.03) | (0.08) | (0.11) | 1.56 | 11.99 | 15.99 (18) | 78 | 4.20 (15) | 5.69 | 0.01 | 208 | |
1/1/19 to 12/31/19 | 9.54 | 0.19 (17) | 1.01 | 1.20 | (0.27) | (0.04) | (0.31) | 0.89 | 10.43 | 12.60 | 463 | 2.13 (15) | 5.63 | 1.77 | 106 | |
1/1/18 to 12/31/18 | 10.00 | 0.12 (17) | (0.44) | (0.32) | (0.14) | — | (0.14) | (0.46) | 9.54 | (3.23) | 38 | 1.98 (15) | 6.56 | 1.19 | 192 | |
Class I | ||||||||||||||||
1/1/23 to 6/30/23(6) | $10.44 | 0.20 | 0.32 | 0.52 | — | — | — | 0.52 | $10.96 | 4.98 % | $ 58,335 | 1.56 % (13)(14)(16)(19) | 1.44 % | 3.72 % | 102 % | |
1/1/22 to 12/31/22 | 11.25 | 0.33 | (0.88) | (0.55) | (0.24) | (0.02) | (0.26) | (0.81) | 10.44 | (4.87) | 55,321 | 1.65 (14)(16)(19) | 1.52 | 3.05 | 151 | |
1/1/21 to 12/31/21 | 11.91 | 0.01 (20) | 0.89 | 0.90 | (0.29) | (1.27) | (1.56) | (0.66) | 11.25 | 7.57 | 18,033 | 1.96 (19) | 2.63 | 0.06 | 198 | |
1/1/20 to 12/31/20 | 10.46 | 0.03 (20) | 1.63 | 1.66 | (0.13) | (0.08) | (0.21) | 1.45 | 11.91 | 15.99 (18) | 9,824 | 3.95 (19) | 5.44 | 0.26 | 208 | |
1/1/19 to 12/31/19 | 9.55 | 0.21 (20) | 1.02 | 1.23 | (0.28) | (0.04) | (0.32) | 0.91 | 10.46 | 12.87 | 4,698 | 1.88 (19) | 5.38 | 2.02 | 106 | |
1/1/18 to 12/31/18 | 10.00 | 0.14 (20) | (0.43) | (0.29) | (0.16) | — | (0.16) | (0.45) | 9.55 | (2.93) | 3,744 | 1.73 (19) | 6.24 | 1.44 | 192 | |
Westchester Event-Driven Fund | ||||||||||||||||
Class A | ||||||||||||||||
1/1/23 to 6/30/23(6) | $10.28 | 0.05 | (0.05) | — | — | — | — | — | $10.28 | 0.10 % | $ 19,766 | 1.86 % (13)(21) | 1.90 % | 1.00 % | 131 % | |
1/1/22 to 12/31/22 | 10.60 | 0.07 | (0.39) | (0.32) | — | — | — | (0.32) | 10.28 | (3.02) | 19,240 | 1.87 (16)(21) | 1.96 | 0.66 | 194 | |
1/1/21 to 12/31/21 | 11.30 | (0.05) (22) | 0.23 | 0.18 | (0.55) | (0.33) | (0.88) | (0.70) | 10.60 | 1.57 | 37,426 | 1.94 (13)(21) | 1.96 | (0.42) | 237 | |
1/1/20 to 12/31/20 | 10.97 | (0.01) (22) | 0.70 | 0.69 | (0.10) | (0.26) | (0.36) | 0.33 | 11.30 | 6.30 | 23,298 | 1.99 (21) | 1.99 | (0.11) | 320 | |
1/1/19 to 12/31/19 | 10.12 | 0.03 (22) | 1.05 | 1.08 | (0.15) | (0.08) | (0.23) | 0.85 | 10.97 | 10.73 | 19,352 | 2.35 (21)(23) | 2.35 (23) | 0.27 | 238 | |
1/1/18 to 12/31/18 | 10.16 | 0.11 (22) | 0.39 | 0.50 | (0.41) | (0.13) | (0.54) | (0.04) | 10.12 | 4.95 | 10,311 | 2.45 (21) | 2.44 | 1.09 | 230 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Westchester Event-Driven Fund (Continued) | ||||||||||||||||
Class I | ||||||||||||||||
1/1/23 to 6/30/23(6) | $10.35 | 0.06 | (0.04) | 0.02 | — | — | — | 0.02 | $10.37 | 0.19 % | $ 346,205 | 1.60 % (13)(16)(24) | 1.66 % | 1.26 % | 131 % | |
1/1/22 to 12/31/22 | 10.67 | 0.13 | (0.43) | (0.30) | (0.02) | — | (0.02) | (0.32) | 10.35 | (2.79) | 310,467 | 1.63 (16)(24) | 1.71 | 1.27 | 194 | |
1/1/21 to 12/31/21 | 11.37 | (0.02) (25) | 0.22 | 0.20 | (0.57) | (0.33) | (0.90) | (0.70) | 10.67 | 1.75 | 294,281 | 1.69 (13)(24) | 1.71 | (0.17) | 237 | |
1/1/20 to 12/31/20 | 11.01 | 0.01 (25) | 0.71 | 0.72 | (0.10) | (0.26) | (0.36) | 0.36 | 11.37 | 6.55 | 236,865 | 1.74 (24) | 1.74 | 0.14 | 320 | |
1/1/19 to 12/31/19 | 10.14 | 0.06 (25) | 1.06 | 1.12 | (0.17) | (0.08) | (0.25) | 0.87 | 11.01 | 11.13 | 199,251 | 2.10 (23)(24) | 2.10 (23) | 0.52 | 238 | |
1/1/18 to 12/31/18 | 10.17 | 0.14 (25) | 0.39 | 0.53 | (0.43) | (0.13) | (0.56) | (0.03) | 10.14 | 5.27 | 134,923 | 2.20 (24) | 2.19 | 1.34 | 230 |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | Total returns would have been lower had various fees and expenses not been waived and reimbursed during the period. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in a Fund (assuming reinvestment of all dividends and distributions). |
(4) | Annualized for periods less than one year. |
(5) | The Funds will also indirectly bear their prorated share of expenses of any underlying funds in which they invest. Such expenses are not included in the calculation of this ratio. |
(6) | Unaudited. |
(7) | Ratios of net expenses excluding dividend and interest expense on securities sold short to average net assets for the six months period ended June 30, 2023, and the years ended December 31, 2022, 2021, 2020, 2019 and 2018 were 1.46%, and 1.46%, 1.46%, 1.47%, 1.48%*, and 1.50%, respectively. *The amount for the year ended December 31, 2019 excludes 0.10% of legal expenses related to the settlement of an appraisal right. |
(8) | Net investment income (loss) before dividends and interest on short positions, borrowing expense on securities sold short, legal expenses related to the settlement of an appraisal right and professional fees related to tax reclaims processing for the years ended December 31, 2021, 2020, 2019 and 2018 was $(0.09), $(0.04), $0.18, and $0.25, respectively. |
(9) | Amount is less than $0.005 per share. |
(10) | The amount for the year ended December 31, 2019 includes 0.10% of legal expenses related to the settlement of an appraisal right. |
(11) | Ratios of net expenses excluding dividend and interest expense on securities sold short to average net assets for the six months period ended June 30, 2023, and the years ended December 31, 2022, 2021, 2020, 2019 and 2018 were 1.17%, and 1.17%, 1.17%, 1.18%, 1.19%*, and 1.20%, respectively. *The amount for the year ended December 31, 2019 excludes 0.10% of legal expenses related to the settlement of an appraisal right. |
(12) | Net investment income (loss) before dividends and interest on short positions, borrowing expense on securities sold short, legal expenses related to the settlement of an appraisal right and professional fees related to tax reclaims processing for the years ended December 31, 2021, 2020, 2019 and 2018 was $(0.04), $0.02, $0.22 and $0.29, respectively. |
(13) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(14) | The share class is currently under its expense limitation. |
(15) | Ratio of net expenses excluding dividend and interest expense on securities sold short to average net assets was for the six months period ended June 30, 2023 and December 31, 2022 was 1.79% and 1.89%, respectively. |
(16) | See Note 4D in the Notes to Financial Statements for information on recapture of expenses previously reimbursed. |
(17) | Net investment income (loss) before borrowing expense on securities sold short and interest on securities sold short and reverse repurchase agreements for the years ended December 31, 2021, 2020, 2019 and 2018 was $0.02, $0.23, $0.21 and $0.13, respectively. |
(18) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(19) | Ratio of net expenses excluding dividend and interest expense on securities sold short to average net assets for the six months period ended June 30, 2023 and December 31, 2022 was 1.54% and 1.64%, respectively. |
(20) | Net investment income before borrowing expense on securities sold short and interest on securities sold short and reverse repurchase agreements for the years ended December 31, 2021, 2020, 2019 and 2018 was $0.05, $0.26, $0.23 and $0.15, respectively. |
(21) | Ratios of net expenses excluding dividend and interest expense on securities sold short to average net assets for the six months period ended June 30, 2023, and the years ended December 31, 2022, 2021, 2020, 2019 and 2018 were 1.78%, and 1.80%, 1.79%, 1.82%, 1.86%*, and 1.99%, respectively. *The amount for the year ended December 31, 2019 excludes 0.03% of legal expenses related to the settlement of an appraisal right. |
(22) | Net investment income (loss) before dividends and interest on short positions, borrowing expense on securities sold short and legal expenses related to the settlement of an appraisal right for the periods ended December 31, 2021, 2020, 2019 and 2018 was $(0.03), $0.01, $0.08 and $0.16, respectively |
(23) | The amount for the year ended December 31, 2019 includes 0.03% of legal expenses related to the settlement of an appraisal right. |
(24) | Ratios of net expenses excluding dividend and interest expense on securities sold short to average net assets for the six months period ended June 30, 2023, and the years ended December 31, 2022, 2021, 2020, 2019 and 2018 were 1.53%, and 1.55%, 1.54%, 1.57%, 1.61%*, and 1.74%, respectively. *The amount for the year ended December 31, 2019 excludes 0.03% of legal expenses related to the settlement of an appraisal right. |
(25) | Net investment income (loss) before dividends and interest on short positions, borrowing expense on securities sold short and legal expenses related to the settlement of an appraisal right for the years ended December 31, 2021, 2020, 2019 and 2018 was $0.00, $0.03, $0.11, and $0.19, respectively. |
June 30, 2023
Fund | Investment objective(s) | |
The Merger Fund | Seeks capital growth by engaging in merger arbitrage. | |
Westchester Credit Event Fund | Seeks to provide attractive risk-adjusted returns independent of market cycles. | |
Westchester Event-Driven Fund | Seeks to provide attractive risk-adjusted returns with low relative volatility in virtually all market environments. |
A. | Security Valuation |
The Trustees have designated the Investment Adviser as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940. Each Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Funds’ policy is to recognize transfers into or out of Level 3 at the end of the reporting period. |
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income and capital gain distributions are recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as a Fund is notified. Interest income is recorded on the accrual basis. Each Fund amortizes premiums and accretes discounts using the effective interest method. Premiums on callable debt instruments are amortized to interest income to the earliest call date using the effective interest method. Conversion premium is not amortized. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
Dividend income from REIT and MLP investments is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed their cost basis, the distributions are treated as realized gains. A Fund may invest in MLPs that make distributions that are primarily attributable to return of capital. The actual amounts of income, return of capital, and capital gains are only determined by each REIT and MLP after its fiscal year-end, and may differ from the estimated amounts. | |
C. | Income Taxes |
Each Fund is treated as a separate taxable entity. It is the intention of each Fund to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”) and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made. |
Certain Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. | |
Management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Each Fund’s U.S. federal income tax return is generally subject to examination by the Internal Revenue Service for a period of three years after it is filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. | |
D. | Distributions to Shareholders |
Distributions are recorded by each Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. | |
E. | Expenses |
Expenses incurred together by a Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to each Fund and each such other fund, or an alternative allocation method, can be more appropriately used. | |
In addition to the net annual operating expenses that a Fund bears directly, the shareholders of a Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. | |
F. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. For fixed income instruments, the Funds bifurcate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held and such fluctuations are included with the net realized and unrealized gain or loss on foreign currency transactions. For equity securities, the Funds do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held and such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
G. | Short Sales |
Each Fund may sell securities short. A short sale is a transaction in which a Fund sells a security it does not own in anticipation of a decline in market price. To sell a security short, a Fund must borrow the security. Each Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by the proceeds from the short sale retained by the broker and by cash and securities deposited in a segregated account with the Funds’ custodian. If the price of the security sold short increases between the time of the short sale and the time a Fund replaces the borrowed security, the Funds’ will realize a loss, and if the price declines during the period, the Funds will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs. On ex-dividend date, dividends on short sales are recorded as an expense to the Funds. | |
In addition, in accordance with the terms of its prime brokerage agreement, The Merger Fund may receive rebate income or be charged a fee on borrowed securities. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security. The dividends on short sales and rebate income/fees are recorded under “Dividend and interest expense on securities sold short” on the Statements of Operations. | |
H. | Convertible Securities |
Certain Funds may invest a portion of their assets in convertible securities. Although convertible securities derive part of their value from that of the securities into which they are convertible, they are not considered derivative financial instruments. However, certain of the Funds’ investments in convertible securities include features which render them sensitive to price changes in their underlying securities. The value of structured/synthetic convertible securities can be affected by interest rate changes and credit risks of the issuer. Such securities may be structured in ways that limit their potential for capital appreciation, and the entire value of the security may be at risk of loss depending on the performance of the underlying equity security. Consequently, the Funds are exposed to greater downside risk than traditional convertible securities, but typically still less than that of the underlying stock. | |
I. | Private Investment in a Public Equity (PIPE) with Special Purpose Acquisition Companies (SPAC) |
Special purpose acquisition companies (SPACs) are shell companies that have no operations but are formed to raise capital with the intention of merging with or acquiring a company with the proceeds of the SPAC’s initial public offering (IPO). Certain Funds may acquire equity securities of an issuer that are issued through a private investment in public equity (PIPE), including on a when-issued basis. PIPE transactions typically involve the purchase of securities directly from a publicly traded company or its affiliates in a private placement transaction, typically at a discount to the market price of the issuer’s common equity. Purchased PIPE shares will be restricted from trading until the registration statement for the shares is declared effective. Upon registration, the shares can be freely sold; however, in certain circumstances, the issuer may have the right to temporarily suspend trading of the shares in the first year after the merger or acquisition. The securities issued by a SPAC may be considered illiquid, more difficult to value, and/or be subject to restrictions on resale. PIPEs are valued based upon valuations of the underlying SPACs. | |
At six months ended June 30, 2023, the Fund had no commitments to purchase when-issued securities through PIPE transactions with SPACs. |
J. | Leveraged Loans |
Certain Funds may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Leveraged loans are generally non-investment grade and often involve borrowers that are highly leveraged. The Funds may invest in obligations of borrowers who are in bankruptcy proceedings. Leveraged loans are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the leveraged loan. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. A Fund generally has no right to enforce compliance with the terms of the leveraged loan with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the leveraged loan. When a Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. | |
A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Leveraged loans may involve foreign borrowers and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due. | |
The leveraged loans have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR, SOFR, the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a leveraged loan is purchased a Fund may pay an assignment fee. On an ongoing basis, a Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a leveraged loan. Prepayment penalty fees are received upon the prepayment of a leveraged loan by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid. | |
A Fund may invest in both secured loans and “covenant lite” loans which have few or no financial maintenance covenants that would require a borrower to maintain certain financial metrics. The lack of financial maintenance covenants in covenant lite loans increases the risk that the applicable Fund will experience difficulty or delays in enforcing its rights on its holdings of such loans, which may result in losses, especially during a downturn in the credit cycle. | |
K. | Warrants |
The Funds may receive warrants. Warrants are securities that are usually issued together with a debt instrument or preferred stock and that give the holder the right to buy a proportionate amount of common stock at a specified price. Warrants may be freely transferable and are often traded on major exchanges. Warrants normally have a life that is measured in years and entitle the holder to buy common stock of a company at a price that is usually higher than the market price at the time the warrant is issued. Warrants may entail greater risks than certain other types of investments. Generally, warrants do not carry the right to receive dividends or exercise voting rights with respect to the underlying securities, and they do not represent any rights in the assets of the issuer. In addition, their value does not necessarily change with the value of the underlying securities, and they cease to have value if they are not exercised on or before their expiration date. If the market price of the underlying stock does not exceed the exercise price during the life of the warrant, the warrant will expire worthless. Warrants may increase the potential profit or loss to be realized from the investment as compared with investing the same amount in the underlying securities. Similarly, the percentage increase or decrease in the value of an equity security warrant may be greater than the percentage increase or decrease in the value of the underlying common stock. Warrants may relate to the purchase of equity or debt instruments. Debt obligations with warrants attached to purchase equity securities have many characteristics of convertible securities and their prices may, to some degree, reflect the performance of the underlying stock. Debt obligations also may be issued with warrants attached to purchase additional debt instruments at the same coupon rate. A decline in interest rates would permit a Fund to sell such warrants at a profit. If interest rates rise, these warrants would generally expire with no value. | |
L. | Securities Lending |
The Funds may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when lending securities a Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan bringing the collateral market value in line with the required percent. Due to timing of collateral adjustments, the market value of collateral held with respect to a loaned security, may be more or less than the value of the security on loan. | |
Collateral may consist of cash and securities issued by the U.S. government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. | |
Securities lending transactions are entered into by each Fund under a Master Securities Lending Agreement (“MSLA”) which permits the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. |
Fund | Value of Securities on Loan | Cash Collateral Received(1) | Net Amount(2) | |||
The Merger Fund | $ 329 | $ 329 | $ — |
(1) | Collateral received in excess of the value of securities on loan is not presented in this table. The cash collateral received in connection with securities lending transactions has been used for the purchase of securities as disclosed in the Fund’s Schedule of Investments. |
(2) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
Fund | Investment of Cash Collateral | Overnight and Continuous | ||
The Merger Fund | Money Market Mutual Fund | $340 |
A. | Forward Foreign Currency Exchange Contracts |
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Forward foreign currency exchange contracts, when used by a Fund, help to manage the overall exposure to the currencies in which some of the investments held by the Fund are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Fund as an unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts involves the risk that the value of the contract changes unfavorably due to movements in the value of the referenced foreign currencies. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency. Cash deposited is recorded on the Statements of Assets and Liabilities as “Cash pledged as collateral for derivatives and securities sold short”. | |
During the six months ended June 30, 2023, each Fund entered into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, foreign currencies (foreign currency exchange rate risk). | |
Forward foreign currency contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments. | |
B. | Options Contracts |
An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price. The Funds may purchase or write both put and call options on portfolio securities. When doing so, the Fund is subject to equity price risk and/or foreign currency risk in the normal course of pursuing its investment objectives. | |
When a Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When a Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. Holdings of the Fund designated to cover outstanding written options are noted in the Schedules of Investments. Purchased options are reported as an asset within “Investment in securities at value” in the Statements of Assets and Liabilities. Written options are reported as a liability within “Written options at value.” Changes in value of the purchased option are included in “Net change in unrealized appreciation (depreciation) from investments” in the Statements of Operations. Changes in value of written options are included in “Net change in unrealized appreciation (depreciation) from written options” in the Statements of Operations. | |
If an option expires unexercised, the Fund realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in “Net realized gain (loss) on investments” in the Statements of Operations. Gain or loss on written options is presented separately as “Net realized gain (loss) from written options” in the Statements of Operations. | |
The risk in writing call options is that the Fund gives up the opportunity for profit if the market price/foreign currency rate of the referenced security/currency increases and the option is exercised. The risk in writing put options is that the Fund may incur a loss if the market price/foreign currency rate of the referenced security/currency decreases and the option is exercised. The risk in buying options is that the Fund pays a premium |
whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value. As the writer of a covered call option, the Fund forgoes, during the option’s life, the opportunity to profit from increases in the market value of the security covering the call option above the sum of the premium and the strike price of the call, but retains the risk of loss should the price of the underlying security decline. | |
During the six months ended June 30, 2023, each Fund invested in purchased call and put options contracts and written covered call and put options contracts in an attempt to manage equity price risk and with the purpose of generating realized gains. | |
C. | Swaps |
Each Fund may enter into swap agreements, in which the Fund and a counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). The value of the swap is reflected on the Statements of Assets and Liabilities as “Over-the-counter swaps at value” for OTC swaps and as “variation margin receivable/payable on cleared swaps” for centrally cleared swaps. Swaps are marked-to-market daily and changes in value are recorded as “Net change in unrealized appreciation (depreciation) on swaps” in the Statements of Operations. | |
Any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown under “Over-the-counter swaps at value” in the Statements of Assets and Liabilities and are amortized over the term of the swap for OTC swaps. When a swap is terminated, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract, if any. Generally, the basis of the contracts is the unamortized premium received or paid. Cash settlements between the Fund and the counterparty are recognized as “Net realized gain (loss) on swaps” in the Statements of Operations. Swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments. | |
In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is submitted to a central counterparty (the “CCP”) and the Fund’s counterparty on the swap agreement becomes the CCP. Each Fund is required to interface with the CCP through a clearing broker. Upon entering into a centrally cleared swap, a Fund is required to deposit initial margin with the clearing broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. | |
Securities deposited as margin are designated on the Schedule of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as “Cash pledged as collateral for derivatives and securities sold short.” | |
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions. | |
Total return swaps – Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Each Fund may enter into total return swaps to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). | |
Each Fund may enter into equity basket swaps to obtain exposure to a portfolio of long and short securities. Under the terms of the agreement, the swap is designed to function as a portfolio of direct investments in long and short equity or fixed income positions. This means that the Fund has the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as “financing costs”. Positions within the swap are reset periodically, and financing costs are reset monthly. | |
During a reset, any unrealized gains (losses) on positions and accrued financing costs become available for cash settlement between the Fund and the swap counterparty. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of the ISDA Master Agreement (defined below in “Derivative Risks”) between the Fund and the counterparty. | |
The value of the swap is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing prices on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable. The swap involves additional risks than if the Fund has invested in the underlying positions directly, including: the risk that changes in the swap may not correlate perfectly with the underlying long and short securities; credit risk related to the counterparty’s failure to perform under contract terms; and liquidity risk related to the lack of a liquid market for the swap contract, which may limit the ability of the Fund to close out its position(s). | |
During the six months ended June 30, 2023, each Fund utilized total return swaps to gain exposure to broad markets or to hedge the risk of individual securities within the portfolios, obtain long or short exposure to the underlying reference instrument, obtain leverage and gain exposure to restricted markets in order to avoid the operational burden of ownership filing requirements. At June 30, 2023, the Funds did not hold swap baskets. |
The following is a summary of derivative instruments categorized by primary risk exposure, and location as presented in the Statements of Assets and Liabilities at June 30, 2023: |
Statement Line Description | Primary Risk | The Merger Fund | Westchester Credit Event Fund | Westchester Event-Driven Fund | |
Asset Derivatives | |||||
Purchased options at value(1) | Equity contracts | $ 3,860 | $ — | $ 962 | |
Over-the-counter swaps at value (2) | Equity contracts | 3,528 | 146 | 707 | |
Unrealized appreciation on forward foreign currency exchange contracts | Foreign currency contracts | 554 | 14 | 71 | |
Total Assets | $ 7,942 | $160 | $ 1,740 | ||
Liability Derivatives | |||||
Over-the-counter swaps at value (2) | Equity contracts | $(44,111) | $ (24) | $(4,188) | |
Written options at value | Equity contracts | (27,258) | — | (5,557) | |
Unrealized depreciation on forward foreign currency exchange contracts | Foreign currency contracts | (1,574) | (14) | (207) | |
Total Liabilities | $(72,943) | $ (38) | $(9,952) |
(1) | Amount included in Investment in securities at value. |
(2) | Represents cumulative appreciation (depreciation) on swap contracts as reported in the Schedule of Investments. Only current day’s variation margin is shown in the Statements of Assets and Liabilities for centrally cleared swap contracts. For OTC swap contracts, the value (including premiums) at June 30, 2023 is shown in the Statements of Assets and Liabilities. |
Statement Line Description | Primary Risk | The Merger Fund | Westchester Credit Event Fund | Westchester Event-Driven Fund | ||
Net Realized Gain (Loss) from | ||||||
Purchased options(1) | Equity contracts | $ (6,995) | $ — | $ (2,379) | ||
Swaps | Equity contracts | (2,455) | (199) | (3,071) | ||
Written options | Equity contracts | 6,656 | — | 4,112 | ||
Forward foreign currency exchange contracts | Foreign currency contracts | (1,468) | — | (268) | ||
Total | $ (4,262) | $ (199) | $ (1,606) | |||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||
Purchased options(2) | Equity contracts | $ 1,518 | $ — | $ 100 | ||
Swaps | Equity contracts | (42,506) | 356 | (799) | ||
Written options | Equity contracts | (6,519) | — | 445 | ||
Forward foreign currency exchange contracts | Foreign currency contracts | (694) | — (3) | (6) | ||
Total | $ (48,201) | $ 356 | $ (260) |
(1)Amount included in Net realized gain (loss) on investments. |
(2) Amount included in Net change in unrealized appreciation (depreciation) on investments. |
(3)Amount is less than $500 (not in thousands). |
The Merger Fund | Westchester Credit Event Fund | Westchester Event-Driven Fund | |||
Purchased Options(1) | $ 3,373 | $ — | $ 1,062 |
The Merger Fund | Westchester Credit Event Fund | Westchester Event-Driven Fund | |||
Written Options(1) | $ 14,730 | $ — | $ 4,909 | ||
Forward Foreign Currency Exchange Purchase Contracts(2) | 209,707 | 1,734 | 29,530 | ||
Forward Foreign Currency Exchange Sale Contracts(2) | 283,958 | — | 1,482 | ||
Long Total Return Swap Contracts(2) | 178,605 | 25,751 | 60,621 | ||
Short Total Return Swap Contracts(2) | 131,181 | — | 11,518 |
(1) Average premium amount. |
(2) Average notional amount. |
D. | Derivative Risks |
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract. | |
A Fund’s risk of loss from counterparty credit risk on derivatives bought or sold OTC, rather than traded on a securities exchange, is generally limited to the aggregate unrealized gain netted against any collateral held by such Fund. For OTC purchased options, each Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund should the counterparty fail to perform under the contracts. Options written by a Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund, and not the counterparty to perform. | |
With exchange traded purchased options and futures and centrally cleared swaps generally speaking, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro-rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund. | |
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, each Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. | |
E. | Collateral Requirements and Master Netting Agreements (“MNA”) |
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. | |
Cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Typically, the Funds and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. | |
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities. |
At June 30, 2023, the Funds’ derivative assets and liabilities (by type) are as follows: | |||||||||||||||||
The Merger Fund | Westchester Credit Event Fund | Westchester Event-Driven Fund | |||||||||||||||
Assets | Liabilities | Assets | Liabilities | Assets | Liabilities | ||||||||||||
Derivative Financial Instruments: | |||||||||||||||||
Forward foreign currency exchange contracts | $ 554 | $ 1,574 | $ 14 | $14 | $ 71 | $ 207 | |||||||||||
OTC swaps | 3,528 | 44,111 | 146 | 24 | 707 | 4,188 | |||||||||||
Purchased options | 3,860 | — | — | — | 962 | — | |||||||||||
Written options | — | 27,258 | — | — | — | 5,557 | |||||||||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | $ 7,942 | $ 72,943 | $160 | $38 | $1,740 | $ 9,952 | |||||||||||
Derivatives not subject to a MNA or similar agreement | (3,860) | (27,258) | — | — | (962) | (5,557) | |||||||||||
Total assets and liabilities subject to a MNA | $ 4,082 | $ 45,685 | $160 | $38 | $ 778 | $ 4,395 |
The Merger Fund | ||||||||||
Counterparty | Gross Derivative Assets Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets | |||||
Bank of America Merrill Lynch | $ 452 | $ (452) | $— | $— | $— | |||||
Goldman Sachs & Co. | 3,271 | (3,271) | — | — | — | |||||
JPMorgan Chase Bank N.A. | 359 | (359) | — | — | — | |||||
Total | $4,082 | $(4,082) | $— | $— | $— |
Counterparty | Gross Derivatives Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged | Cash Collateral Pledged(1) | Net Amount of Derivative Liabilities | |||||
Bank of America Merrill Lynch | $31,399 | $ (452) | $— | $(30,947) | $ — | |||||
Goldman Sachs & Co. | 10,690 | (3,271) | — | (7,010) | 409 | |||||
JPMorgan Chase Bank N.A. | 3,596 | (359) | — | (3,237) | — | |||||
Total | $45,685 | $(4,082) | $ | $(41,194) | $409 |
Westchester Credit Event Fund | ||||||||||
Counterparty | Gross Derivative Assets Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets | |||||
Goldman Sachs & Co. | $139 | $(12) | $— | $— | $127 | |||||
JPMorgan Chase Bank N.A. | 21 | (21) | — | — | — | |||||
Total | $160 | $(33) | $— | $— | $127 |
Counterparty | Gross Derivatives Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged | Cash Collateral Pledged(1) | Net Amount of Derivative Liabilities | |||||
Goldman Sachs & Co. | $12 | $(12) | $— | $— | $— | |||||
JPMorgan Chase Bank N.A. | 26 | (21) | — | (5) | — | |||||
Total | $38 | $(33) | $— | $ (5) | $— |
Westchester Event-Driven Fund | ||||||||||
Counterparty | Gross Derivative Assets Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets | |||||
Bank of America Merrill Lynch | $ 72 | $ (72) | $— | $— | $— | |||||
Goldman Sachs & Co. | 511 | (511) | — | — | — | |||||
JPMorgan Chase Bank N.A. | 195 | (195) | — | — | — | |||||
Total | $778 | $(778) | $— | $— | $— |
Counterparty | Gross Derivatives Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged | Cash Collateral Pledged(1) | Net Amount of Derivative Liabilities | |||||
Bank of America Merrill Lynch | $2,722 | $ (72) | $— | $(2,650) | $— | |||||
Goldman Sachs & Co. | 1,155 | (511) | — | (644) | — | |||||
JPMorgan Chase Bank N.A. | 518 | (195) | — | (323) | — | |||||
Total | $4,395 | $(778) | $— | $(3,617) | $— |
A. | Investment Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Funds. The Adviser manages the Funds’ investment programs and general operations of the Funds, including oversight of the Funds’ subadviser. | |
As compensation for its services to the Funds, the Adviser is entitled to a fee, which is calculated daily and paid monthly based upon the following annual rates as a percentage of the average daily net assets of each Fund: |
Fund | Advisory Fee | |
The Merger Fund | 1.00%* | |
Westchester Credit Event Fund | 1.00 | |
Westchester Event-Driven Fund | 1.20** |
B. | Subadviser |
Westchester Capital Management, LLC (the “Subadviser”), is the subadviser to the Funds. The Subadviser manages the investments of each Fund, for which it is paid a fee by the Adviser. | |
C. | Expense Limitations |
The Adviser has contractually agreed to limit each Fund’s annual total operating expenses, subject to the exceptions listed below, so that such expenses do not exceed, on an annualized basis, the following respective percentages of average daily net assets through April 30, 2024. Following the contractual period, the Adviser may discontinue these expense limitation arrangements at any time. The waivers and reimbursements are accrued daily and received monthly. |
Fund | Class A | Class I | ||
The Merger Fund | 1.46% | 1.17% | ||
Westchester Credit Event Fund | 1.70 (1) | 1.45 (1) | ||
Westchester Event-Driven Fund | 1.70 (1) | 1.45 (1) |
(1) | Effective June 1, 2023. For the period January 1, 2023 through May 31, 2023, the expense caps were as follows for Class A shares and Class I shares, respectively: 1.80% and 1.55%. |
D. | Expense Recapture |
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. A Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the six months ending June 30: |
Expiration | ||||||||||
Fund | 2023 | 2024 | 2025 | 2026 | Total | |||||
The Merger Fund | ||||||||||
Class A | $ — | $ 236 | $ 380 | $ 220 | $ 836 | |||||
Class I | — | 851 | 2,576 | 1,000 | 4,427 |
Expiration | ||||||||||
Fund | 2023 | 2024 | 2025 | 2026 | Total | |||||
Westchester Credit Event Fund | ||||||||||
Class A | $ 3 | $ 3 | $ 1 | $ — (1) | $ 7 | |||||
Class I | 70 | 57 | 8 | — | 135 | |||||
Westchester Event-Driven Fund | ||||||||||
Class A | — | 2 | 21 | 4 | 27 | |||||
Class I | — | — | 304 | 89 | 393 |
(1) | Amount is less than $500 (not in thousands). |
Fund | Class A | Class I | Total | |||
Westchester Credit Event Fund | $— (1) | $34 | $34 |
(1) | Amount is less than $500 (not in thousands). |
E. | Distributor |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of each Fund’s shares. VP Distributors has advised the Funds that for the six months ended June 30, 2023, it retained net commissions of $5 for Class A shares. | |
In addition, each Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan, at the annual rate of 0.25% of the average daily net assets of such Fund’s Class A shares. Class I shares are not subject to a 12b-1 Plan. | |
Under certain circumstances, shares of certain Virtus Funds may be exchanged for shares of the same class of certain other Virtus Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply. | |
F. | Administrator and Transfer Agent |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as the administrator and transfer agent to the Funds. | |
For the six months ended June 30, 2023, The Merger Fund, Westchester Credit Event Fund, and Westchester Event-Driven Fund incurred administration fees totaling $1,794, $28, and $164, respectively, which are included in the Statements of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
For the six months ended June 30, 2023, The Merger Fund, Westchester Credit Event Fund, and Westchester Event-Driven Fund incurred transfer agent fees totaling $803, $13, and $73, respectively, which are included in the Statements of Operations within the line item “Transfer agent fees and expenses.” The fees are calculated daily and paid monthly. | |
G. | Investments with Affiliates |
The Funds are permitted to purchase assets from or sell assets to certain related affiliates under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of assets by the Funds from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers comply with Rule 17a-7 under the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. | |
During the six months ended June 30, 2023, the Funds did not engage in any transactions pursuant to Rule 17a-7 under the 1940 Act. | |
Outside of Rule 17a-7 transactions, other investments with affiliated issuers are separately reported in this Note. An affiliated issuer includes any company in which a Fund held 5% or more of a company’s outstanding voting shares at any point during the period, as well as other circumstances where an investment adviser or subadviser to a Fund is deemed to exercise, directly or indirectly, a certain level of control over the company. | |
A summary of the The Merger Fund’s total long-term and short-term purchases and sales of the respective shares of the affiliated investments during the six months ended June 30, 2023, is as follows: |
Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) on affiliated securities | Net change in unrealized appreciation (depreciation) on affiliated securities(1) | Value, end of period | Shares | Dividend income | Distributions of realized gains | |||||||||
The Merger Fund | |||||||||||||||||
Special Purpose Acquisition Companies—11.9% | |||||||||||||||||
Apollo Strategic Growth Capital II(2),(3) | $ 23,999 | $ 27,321 | $ 36,382 | $ 719 | $ 210 | $ 15,867 | 1,536,014 | $— | $— | ||||||||
APx Acquisition Corp. I(2),(3) | 1,451 | 4,388 | — | — | 264 | 6,103 | 566,675 | — | — | ||||||||
Ares Acquisition Corp.(2),(3) | 30,909 | 2,314 | 6,708 | 198 | 1,176 | 27,890 | 2,638,587 | — | — | ||||||||
Arogo Capital Acquisition Corp.(2),(3) | — | 3,201 | — | — | 97 | 3,298 | 313,503 | — | — | ||||||||
Arrowroot Acquisition Corp.(2),(3) | 5,784 | — | 2,342 | 101 | 59 | 3,602 | 345,322 | — | — | ||||||||
Artemis Strategic Investment Corp.(2),(3) | 4,486 | 7,518 | — | — | 332 | 12,336 | 1,159,403 | — | — | ||||||||
ARYA Sciences Acquisition Corp. IV(2),(3) | 3,054 | 3,220 | 1,587 | 53 | 214 | 4,955 | 465,691 | — | — | ||||||||
Battery Future Acquisition Corp.(2),(3) | — | 16,071 | 6,382 | 101 | 163 | 9,952 | 938,916 | — | — | ||||||||
BioPlus Acquisition Corp.(2),(3) | 1,567 | 13,063 | 3,076 | 105 | 269 | 11,928 | 1,119,976 | — | — | ||||||||
C5 Acquisition Corp.(2),(3) | — | 6,096 | — | — | 127 | 6,223 | 584,310 | — | — | ||||||||
Clean Earth Acquisitions Corp.(2),(3) | — | 5,656 | — | — | 79 | 5,735 | 547,252 | — | — | ||||||||
Constellation Acquisition Corp. I(2),(3) | 8,031 | — | 4,201 | 36 | 166 | 4,033 | 381,194 | — | — | ||||||||
Data Knights Acquisition Corp.(2),(3) | 5,139 | — | 1,028 | 17 | 195 | 4,323 | 395,183 | — | — | ||||||||
ESGEN Acquisition Corp.(2),(3) | 6,036 | 2,953 | 4,834 | 80 | 156 | 4,391 | 403,925 | — | — | ||||||||
Finnovate Acquisition Corp.(2),(3) | 244 | 8,028 | 2,948 | 59 | 139 | 5,521 | 521,355 | — | — | ||||||||
Focus Impact Acquisition Corp.(2),(3) | 2,684 | 1,164 | — | — | 133 | 3,980 | 375,863 | — | — | ||||||||
Forum Merger IV Corp.(2),(3) | 4,469 | — | — | — | 93 | 4,562 | 444,681 | — | — | ||||||||
Freedom Acquisition I Corp.(2),(3) | 4,681 | 1,027 | — | — | 265 | 5,973 | 563,480 | — | — | ||||||||
Fusion Acquisition Corp. II(2),(3) | 1,257 | 7,705 | 4,559 | 133 | 112 | 4,648 | 447,829 | — | — | ||||||||
HH&L Acquisition Co.(2),(3) | 10,383 | — | 3,374 | 107 | 195 | 7,312 | 698,360 | — | — | ||||||||
Integrated Wellness Acquisition Corp.(2),(3) | — | 4,389 | — | — | 143 | 4,531 | 423,090 | — | — | ||||||||
Investcorp Europe Acquisition Corp. I(2),(3) | 2,510 | 10,304 | — | — | 350 | 13,163 | 1,234,820 | — | — | ||||||||
Israel Acquisitions Corp.(2),(3) | — | 8,559 | — | — | 251 | 8,810 | 847,969 | — | — | ||||||||
Jaguar Global Growth Corp. I(2),(3) | — | 14,433 | — | — | 289 | 14,722 | 1,394,134 | — | — | ||||||||
Kensington Capital Acquisition Corp. V(2),(3) | 2,205 | 12,460 | — | — | 451 | 15,116 | 1,431,489 | — | — | ||||||||
Kernel Group Holdings, Inc.(2),(3) | 4,299 | 770 | — | — | 199 | 5,268 | 501,704 | — | — |
Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) on affiliated securities | Net change in unrealized appreciation (depreciation) on affiliated securities(1) | Value, end of period | Shares | Dividend income | Distributions of realized gains | |||||||||
The Merger Fund | |||||||||||||||||
Magnum Opus Acquisition Ltd.(2),(3) | $ 4,325 | $ — | $ 351 | $ 12 | $ 140 | $ 4,125 | 394,757 | $— | $— | ||||||||
Mountain & Co. I Acquisition Corp.(2),(3) | 6,596 | 3,114 | — | — | 328 | 10,038 | 923,431 | — | — | ||||||||
Nabors Energy Transition Corp.(2),(3) | — | 7,841 | — | — | 150 | 7,991 | 752,411 | — | — | ||||||||
Newcourt Acquisition Corp.(2),(3) | 10,901 | 1,724 | 11,014 | 126 | 130 | 1,867 | 170,490 | — | — | ||||||||
Nubia Brand International Corp.(2),(3) | — | 3,648 | 395 | 1 | 28 | 3,283 | 308,227 | — | — | ||||||||
Papaya Growth Opportunity Corp. I(2),(3) | — | 6,386 | — | — | 117 | 6,503 | 613,454 | — | — | ||||||||
Pearl Holdings Acquisition Corp.(2),(3) | — | 11,329 | — | — | 188 | 11,517 | 1,090,589 | — | — | ||||||||
Plum Acquisition Corp. I(2),(3) | 2,149 | 3,312 | 827 | 25 | 159 | 4,818 | 457,975 | — | — | ||||||||
Power & Digital Infrastructure Acquisition II Corp.(2),(3) | 421 | 12,931 | 6,832 | 167 | 184 | 6,872 | 658,824 | — | — | ||||||||
PROOF Acquisition Corp. I(2),(3) | — | 11,039 | 6,222 | 201 | 41 | 5,059 | 479,976 | — | — | ||||||||
Pyrophyte Acquisition Corp.(2),(3) | 4,906 | 5,394 | 3,168 | 170 | 159 | 7,462 | 699,963 | — | — | ||||||||
RCF Acquisition Corp.(2),(3) | 1,965 | 9,221 | — | — | 360 | 11,545 | 1,079,005 | — | — | ||||||||
Ross Acquisition Corp. II(2),(3) | 10,771 | 2,769 | 8,897 | 277 | 6 | 4,925 | 468,201 | — | — | ||||||||
Slam Corp.(2),(3) | 15,020 | 5,885 | — | — | 1,173 | 22,078 | 2,065,256 | — | — | ||||||||
Social Capital Suvretta Holdings Corp. II(2),(3) | 10,347 | 6,813 | — | — | 313 | 17,473 | 1,687,396 | — | — | ||||||||
Social Capital Suvretta Holdings Corp. IV(2),(3) | 9,333 | 7,813 | — | — | 318 | 17,465 | 1,687,396 | — | — | ||||||||
Target Global Acquisition I Corp.(2),(3) | — | 13,807 | 7,080 | 326 | 93 | 7,146 | 672,226 | — | — | ||||||||
TLGY Acquisition Corp.(2),(3) | 3,483 | 2,404 | — | — | 271 | 6,158 | 572,339 | — | — | ||||||||
Twin Ridge Capital Acquisition Corp.(2),(3) | 1,334 | 5,050 | 968 | 13 | 317 | 5,746 | 537,023 | — | — | ||||||||
UTA Acquisition Corp.(2),(3) | 5,528 | 8,867 | — | — | 363 | 14,758 | 1,396,225 | — | — | ||||||||
Valuence Merger Corp. I(2),(3) | 436 | 10,093 | 3,215 | 75 | 174 | 7,563 | 706,148 | — | — | ||||||||
Total | $210,703 | $300,080 | $126,390 | $3,102 | $11,139 | $398,634 | $— | $— |
(1) | Does not tie to Net change in unrealized appreciation (depreciation) on affiliated investments on the Statements of Operations as a result of previously unaffiliated securities moving to affiliated. |
(2) | Issuer was not an affiliated investment at December 31, 2022. |
(3) | Non-income producing. |
H. | Trustee Deferred Compensation Plan |
The Funds provide a deferred compensation plan for their Trustees who receive compensation from the Funds. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Funds, and then, to the extent |
permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statements of Assets and Liabilities at June 30, 2023. |
Purchases | Sales | ||
The Merger Fund | $3,279,280 | $3,876,544 | |
Westchester Credit Event Fund | 59,452 | 58,007 | |
Westchester Event-Driven Fund | 481,963 | 428,448 |
Purchases | Sales | ||
Westchester Credit Event Fund | $— | $ 23 | |
Westchester Event-Driven Fund | — | 700 |
The Merger Fund | Westchester Credit Event Fund | ||||||||||||||
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 2,484 | $ 41,649 | 17,797 | $ 308,421 | 8 | $ 84 | 646 | $ 7,269 | |||||||
Reinvestment of distributions | — | — | 1,484 | 24,989 | — | — | — (1) | 3 | |||||||
Shares repurchased | (6,856) | (115,175) | (24,643) | (426,994) | (3) | (27) | (604) | (6,518) | |||||||
Net Increase / (Decrease) | (4,372) | $ (73,526) | (5,362) | $ (93,584) | 5 | $ 57 | 42 | $ 754 | |||||||
Class I | |||||||||||||||
Shares sold | 16,916 | $ 281,903 | 81,779 | $ 1,414,374 | 721 | $ 7,746 | 4,871 | $ 53,114 | |||||||
Reinvestment of distributions | — | — | 8,019 | 133,600 | — | — | 120 | 1,254 | |||||||
Shares repurchased | (64,873) | (1,079,361) | (75,851) | (1,307,531) | (699) | (7,571) | (1,294) | (13,847) | |||||||
Net Increase / (Decrease) | (47,957) | $ (797,458) | 13,947 | $ 240,443 | 22 | $ 175 | 3,697 | $ 40,521 |
(1) | Amount is less than 500 shares (not in thousands). |
Westchester Event-Driven Fund | |||||||
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Shares sold | 220 | $ 2,278 | 521 | $ 5,394 | |||
Shares repurchased | (171) | (1,758) | (2,180) | (22,874) | |||
Net Increase / (Decrease) | 49 | $ 520 | (1,659) | $ (17,480) |
Westchester Event-Driven Fund | |||||||
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class I | |||||||
Shares sold | 5,595 | $ 58,283 | 12,822 | $ 133,991 | |||
Reinvestment of distributions | — | — | 63 | 647 | |||
Shares repurchased | (2,207) | (22,961) | (10,463) | (108,096) | |||
Net Increase / (Decrease) | 3,388 | $ 35,322 | 2,422 | $ 26,542 |
% of Shares Outstanding | Number of Accounts* | ||
The Merger Fund | 35 % | 2 | |
Westchester Credit Event Fund | 44 | 1 | |
Westchester Event-Driven Fund | 93 | 3 |
* | None of the accounts are affiliated. |
investments may be volatile. The consequences of political, social, or economic changes in these markets may have disruptive effects on the market prices of these investments and the income they generate, as well as the Fund’s ability to repatriate such amounts.
Sector | Percentage of Total Investments | ||
The Merger Fund | Health Care | 35% |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
The Merger Fund (Including Purchased Options) | $ 3,330,756 | $ 72,893 | $ (102,365) | $ (29,472) | ||||
The Merger Fund (Written options) | (23,829) | 1,581 | (5,010) | (3,429) | ||||
The Merger Fund (Short sales) | (111,950) | 0 | (4,787) | (4,787) | ||||
Westchester Credit Event Fund | 61,051 | 703 | (1,355) | (652) | ||||
Westchester Credit Event Fund (Short sales) | (406) | 25 | — | 25 | ||||
Westchester Event-Driven Fund (Including Purchased Options) | 373,705 | 5,744 | (13,500) | (7,756) | ||||
Westchester Event-Driven Fund (Written options) | (5,487) | 755 | (825) | (70) | ||||
Westchester Event-Driven Fund (Short sales) | (13,572) | 37 | (578) | (541) |
Fund | Short-Term | Long-Term | ||
Westchester Credit Event Fund | $— | $122 | ||
Westchester Event-Driven Fund | — | 466 |
Shareholder Fees (fees paid directly from your investment) | Class A | Class I |
Maximum Sales Charge (load) Imposed on Purchases (as a percentage of offering price) | 5.50% | None |
Maximum Deferred Sales Charge (load) (as a percentage of the lesser of purchase price or redemption proceeds) | None | None |
Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) | Class A | Class I |
Management Fees | 1.00% | 1.00% |
Distribution and/or Service (12b-1) Fees | 0.25% | None |
Total Other Expenses | 0.54% | 0.51% |
Dividend and Interest Expense On Short Positions and Borrowing Expense on Securities Sold Short | 0.01% | 0.01% |
Remaining Other Expenses | 0.53% | 0.50% |
Acquired Fund Fees and Expenses | 0.02% | 0.02% |
Total Annual Fund Operating Expenses(a) | 1.81% | 1.53% |
Less: Fee Waiver and/or Expense Reimbursement(b) | (0.08)% | (0.05)% |
Total Annual Fund Operating Expenses After Expense Reimbursement(a)(b) | 1.73% | 1.48% |
Share Status | 1 Year | 3 Years | 5 Years | 10 Years | |
Class A | Sold or Held | $716 | $1,073 | $1,462 | $2,547 |
Class I | Sold or Held | $151 | $473 | $824 | $1,815 |
Shareholder Fees (fees paid directly from your investment) | Class A | Class I |
Maximum Sales Charge (load) Imposed on Purchases (as a percentage of offering price) | 5.50% | None |
Maximum Deferred Sales Charge (load) (as a percentage of the lesser of purchase price or redemption proceeds) | None | None |
Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) | Class A | Class I |
Management Fees | 1.20% | 1.20% |
Distribution and/or Service (12b-1) Fees | 0.25% | None |
Total Other Expenses | 0.46% | 0.46% |
Dividend and Interest Expense On Short Positions and Borrowing Expense on Securities Sold Short | 0.08% | 0.08% |
Remaining Other Expenses | 0.38% | 0.38% |
Acquired Fund Fees and Expenses | 0.04% | 0.04% |
Total Annual Fund Operating Expenses(a) | 1.95% | 1.70% |
Less: Fee Waiver and/or Expense Reimbursement(b) | (0.13)% | (0.13)% |
Total Annual Fund Operating Expenses After Expense Reimbursement(a)(b) | 1.82% | 1.57% |
Share Status | 1 Year | 3 Years | 5 Years | 10 Years | |
Class A | Sold or Held | $725 | $1,104 | $1,521 | $2,679 |
Class I | Sold or Held | $160 | $510 | $898 | $1,986 |
Class A Shares | Class I Shares | |
Virtus Westchester Credit Event Fund | 1.70% | 1.45% |
Virtus Westchester Event-Driven Fund | 1.70% | 1.45% |
Mutual Fund Services | 1-800-243-1574 |
Adviser Consulting Group | 1-800-243-4361 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
please contact us at 1-800-243-1574, or visit Virtus.com.
8463 | 08-23 |
Item 2. Code of Ethics.
Response not required for semi-annual report.
Item 3. Audit Committee Financial Expert.
Response not required for semi-annual report.
Item 4. Principal Accountant Fees and Services.
Response not required for semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Response not required for semi-annual report.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Trustees that were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on an evaluation of those controls and procedures made as of a date within 90 days of the filing date of this report as required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Exchange Act. |
(b) | There has been no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. | |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. | |
(a)(2)(1) | Not applicable. | |
(a)(2)(2) | There was no change in the Registrant’s independent public accountant during the period covered by the report. | |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) The Merger Fund®
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President and Chief Executive Officer | ||
(principal executive officer) |
Date 8/31/2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President and Chief Executive Officer | ||
(principal executive officer) |
Date 8/31/2023
By (Signature and Title)* | /s/ W. Patrick Bradley | |
W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer | ||
(principal financial officer) |
Date 8/31/2023
* | Print the name and title of each signing officer under his or her signature. |