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: December 31, 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. |
The Merger Fund® |
Virtus Westchester Credit Event Fund |
Virtus Westchester Event-Driven Fund |
1 | ||
2 | ||
4 | ||
Fund | Fund Summary | Schedule of Investments |
6 | 20 | |
11 | 29 | |
16 | 35 | |
45 | ||
47 | ||
49 | ||
51 | ||
53 | ||
71 | ||
72 | ||
73 | ||
78 |
President, Virtus Funds
February 2024
Beginning Account Value July 1, 2023 | Ending Account Value December 31, 2023 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||
The Merger Fund | ||||||||
Class A | $ 1,000.00 | $ 1,053.00 | 1.48 % | $ 7.66 | ||||
Class I | 1,000.00 | 1,055.20 | 1.19 | 6.16 | ||||
Westchester Credit Event Fund | ||||||||
Class A | 1,000.00 | 1,041.60 | 1.72 | 8.85 | ||||
Class I | 1,000.00 | 1,043.70 | 1.47 | 7.57 | ||||
Westchester Event-Driven Fund | ||||||||
Class A | 1,000.00 | 1,055.40 | 1.71 | 8.86 | ||||
Class I | 1,000.00 | 1,056.60 | 1.47 | 7.62 |
* | 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 (184) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Beginning Account Value July 1, 2023 | Ending Account Value December 31, 2023 | Annualized Expense Ratio* | Expenses Paid During Period** | |||||
The Merger Fund | ||||||||
Class A | $ 1,000.00 | $ 1,017.74 | 1.48 % | $ 7.53 | ||||
Class I | 1,000.00 | 1,019.21 | 1.19 | 6.06 | ||||
Westchester Credit Event Fund | ||||||||
Class A | 1,000.00 | 1,016.53 | 1.72 | 8.74 | ||||
Class I | 1,000.00 | 1,017.80 | 1.47 | 7.48 | ||||
Westchester Event-Driven Fund | ||||||||
Class A | 1,000.00 | 1,016.59 | 1.71 | 8.69 | ||||
Class I | 1,000.00 | 1,017.80 | 1.47 | 7.48 |
* | 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 (184) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Ticker Symbols: | |
Class A: MERFX | |
Class I: MERIX |
Westchester Capital Management LLC
■ | The Fund is diversified and has an investment objective of seeking to achieve capital growth by engaging in merger arbitrage. Merger arbitrage is a highly specialized investment approach generally designed to profit from the successful completion of publicly announced mergers, takeovers, tender offers, leveraged buyouts, spin-offs, liquidations and other corporate reorganizations. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended December 31, 2023, the Fund’s Class A shares at NAV returned 4.18% and Class I shares at NAV returned 4.51%. For the same period, the ICE BofA U.S. Treasury Bill 3 Month Index returned 5.01%. |
Energy | 24.8% |
Materials | 14.1 |
Health Care | 13.2 |
Consumer Discretionary | 11.7 |
Information Technology | 10.4 |
Financials | 7.4 |
Consumer Staples | 6.0 |
Real Estate | 5.5 |
Utilities | 2.4 |
Communication Services | 2.3 |
Industrials | 2.2 |
Total | 100% |
Type of Buyer | Deal Terms* | ||
Strategic | 93.4% | Cash | 70.1% |
Financial | 6.6% | Stock with Fixed Exchange Ratio | 19.8% |
Cash and Stock | 5.5% | ||
By Deal Type | Undetermined (1) | 3.3% | |
Friendly | 100.0% | Stock and Stub | 1.3% |
Hostile | 0.0% | Stock with Flexible Exchange Ratio (Collar) | 0.0%** |
1 Year | 5 Years | 10 Years | ||
Class A shares at NAV2 | 4.18 % | 3.08% | 2.85% | |
Class A shares at POP3,4 | -1.55 | 1.92 | 2.27 | |
Class I shares at NAV2 | 4.51 | 3.39 | 3.15 | |
ICE BofA U.S. Treasury Bill 3 Month Index | 5.01 | 1.88 | 1.25 | |
Fund Expense Ratios5: Class A shares: Gross 1.63%, Net 1.54%; Class I shares: Gross 1.36%, Net 1.25%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.50% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid. |
5 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 28, 2023, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2024. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: | |
Class A: WCFRX | |
Class I: WCFIX |
Westchester Capital Management LLC
■ | The Fund is diversified and has an investment objective of seeking to provide attractive risk-adjusted returns independent of market cycles. The intent is to provide such returns through both current income and capital appreciation. Risk-adjusted return is a concept that considers not only an investment’s return, but also the amount of potential risk involved in producing that return. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended December 31, 2023, the Fund’s Class A shares at NAV returned 9.22% and Class I shares at NAV returned 9.56%. For the same period, the ICE BofA U.S. Treasury Bill 3 Month Index returned 5.01%. |
may have greater price volatility than bonds with lower durations. However, when considering our internal assumptions about the expected holding duration to event completion, our unofficial assumption of 1.17 years is used. This shorter term lowers the sensitivity to interest rate movements compared to longer durations, which helped the Fund navigate the bond market’s rate fluctuations effectively in 2023.
Consumer Discretionary | 21.3% |
Energy | 21.0 |
Financials | 16.5 |
Information Technology | 13.5 |
Industrials | 10.1 |
Consumer Staples | 7.3 |
Communication Services | 4.7 |
Materials | 2.6 |
Health Care | 1.7 |
Utilities | 1.3 |
Total | 100% |
1 Year | 5 Years | Since inception | Inception date | ||
Class A shares at NAV2 | 9.22 % | 7.72 % | 5.81 % | 12/29/17 | |
Class A shares at POP3,4 | 3.21 | 6.51 | 4.82 | 12/29/17 | |
Class I shares at NAV2 | 9.56 | 7.96 | 6.06 | 12/29/17 | |
ICE BofA U.S. Treasury Bill 3 Month Index | 5.01 | 1.88 | 1.88 5 | — | |
Fund Expense Ratios6: Class A shares: Gross 1.81%, Net 1.73%; Class I shares: Gross 1.53%, Net 1.48%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.50% sales charge. |
4 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid. |
5 | The since inception index return is from the Fund’s inception date. |
6 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 28, 2023, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2025. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Ticker Symbols: | |
Class A: WCERX | |
Class I: WCEIX |
Westchester Capital Management LLC
■ | The Fund is diversified and has an investment objective of seeking to provide attractive risk adjusted returns with low relative volatility in virtually all market environments. Risk-adjusted return is a concept that considers not only an investment’s return, but also the amount of potential risk involved in producing that return. There is no guarantee that the Fund will meet its objective. |
■ | For the fiscal year ended December 31, 2023, the Fund’s Class A shares at NAV returned 5.65% † and Class I shares at NAV returned 5.86%. For the same period, the ICE BofA U.S. Treasury Bill 3 Month Index returned 5.01%. |
Energy | 24.3% |
Materials | 14.5 |
Information Technology | 11.1 |
Consumer Discretionary | 10.6 |
Health Care | 10.4 |
Financials | 7.3 |
Consumer Staples | 6.3 |
Real Estate | 4.8 |
Industrials | 4.7 |
Communication Services | 4.5 |
Utilities | 1.5 |
Total | 100% |
1 Year | 5 Years | Since inception | Inception date | ||
Class A shares at NAV2 | 5.65 % 3 | 4.12 % | 4.33 % | 3/22/17 | |
Class A shares at POP4,5 | -0.16 | 2.95 | 3.46 | 3/22/17 | |
Class I shares at NAV2 | 5.86 3 | 4.39 | 3.64 | 1/2/14 | |
ICE BofA U.S. Treasury Bill 3 Month Index | 5.01 | 1.88 | 1.25 6 | — | |
Fund Expense Ratios7: Class A shares: Gross 1.95%, Net 1.82%; Class I shares: Gross 1.70, Net 1.57%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not include the effect of any sales charge. |
3 | Total Return for the report period presented in the table differs from the return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
4 | “POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.50% sales charge. |
5 | “CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid. |
6 | The since inception index returned 1.78% from the inception date of Class A shares and 1.25% from the inception date of Class I shares. |
7 | The expense ratios of the Fund are set forth according to the prospectus for the Fund effective April 28, 2023, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2025. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
December 31, 2023
Par Value | Value | ||
Convertible Bonds and Notes—1.7% | |||
Health Care—0.2% | |||
Cerevel Therapeutics Holdings, Inc. 144A 2.500%, 8/15/27(1) | $ 3,698 | $ 4,120 | |
Information Technology—1.5% | |||
Splunk, Inc. 1.125%, 6/15/27 | 43,713 | 42,336 | |
Total Convertible Bonds and Notes (Identified Cost $45,876) | 46,456 | ||
Corporate Bonds and Notes—6.8% | |||
Communication Services—1.8% | |||
Connect Finco S.a.r.l. 144A 6.750%, 10/1/26(1) | 1,998 | 1,986 | |
GrubHub Holdings, Inc. 144A 5.500%, 7/1/27(1) | 8,853 | 7,442 | |
Lagardere S.A. | |||
RegS 1.625%, 6/21/24(2) | 2,600 EUR | 2,856 | |
RegS 2.125%, 10/16/26(2) | 18,800 EUR | 20,691 | |
RegS 1.750%, 10/7/27(2) | 16,600 EUR | 18,257 | |
51,232 | |||
Consumer Discretionary—0.7% | |||
Michael Kors USA, Inc. 144A 4.250%, 11/1/24(1) | 19,096 | 18,666 | |
Consumer Staples—0.3% | |||
TreeHouse Foods, Inc. 4.000%, 9/1/28 | 10,995 | 9,733 | |
Energy—1.8% | |||
California Resources Corp. 144A 7.125%, 2/1/26(1) | 22,385 | 22,703 | |
Calumet Specialty Products Partners LP 144A 11.000%, 4/15/25(1) | 1,456 | 1,472 | |
PDC Energy, Inc. 5.750%, 5/15/26 | 26,314 | 26,264 | |
50,439 | |||
Financials—1.5% | |||
Mobius Merger Sub, Inc. 144A 9.000%, 6/1/30(1) | 1,679 | 1,629 | |
NFP Corp. 144A 6.875%, 8/15/28(1) | 25,487 | 25,910 | |
Permian Resources Operating LLC 144A 8.000%, 4/15/27(1) | 5,995 | 6,214 | |
SEG Holding LLC 144A 5.625%, 10/15/28(1) | 6,587 | 6,612 | |
Verscend Escrow Corp. 144A 9.750%, 8/15/26(1) | 1,810 | 1,823 | |
42,188 | |||
Industrials—0.5% | |||
PGT Innovations, Inc. 144A 4.375%, 10/1/29(1) | 14,506 | 14,454 |
Par Value | Value | ||
Real Estate—0.1% | |||
Anywhere Real Estate Group LLC 144A 7.000%, 4/15/30(1) | $ 1,522 | $ 1,404 | |
Realogy Group LLC 144A 5.250%, 4/15/30(1) | 97 | 72 | |
1,476 | |||
Utilities—0.1% | |||
Origin Energy Finance Ltd. RegS 1.000%, 9/17/29(2) | 3,126 EUR | 3,003 | |
Total Corporate Bonds and Notes (Identified Cost $192,552) | 191,191 | ||
Leveraged Loans—0.7% | |||
Health Care—0.2% | |||
Verscend Holding Corp. Tranche B (1 month Term SOFR + 4.114%) 9.470%, 8/27/25(3) | 4,949 | 4,953 | |
Information Technology—0.5% | |||
NFP Corp. (1 month Term SOFR + 3.250%) 0.000%, 2/15/27(3)(4) | 8,750 | 8,787 | |
Syniverse Holdings, Inc. (3 month Term SOFR + 7.000%) 12.348%, 5/13/27(3) | 5,313 | 4,629 | |
13,416 | |||
Total Leveraged Loans (Identified Cost $18,929) | 18,369 |
Shares | ||
Preferred Stocks—0.5% | ||
Industrials—0.5% | ||
Textainer Group Holdings Ltd., 7.000% | 427,470 | 10,623 |
Textainer Group Holdings Ltd. Series B, 6.250% | 166,132 | 4,100 |
14,723 | ||
Total Preferred Stocks (Identified Cost $14,608) | 14,723 | |
Common Stocks—45.6% | ||
Communication Services—1.3% | ||
Endeavor Group Holdings, Inc. Class A | 1,551,564 | 36,819 |
GCI Liberty, Inc. Escrow Share(5) | 70,800 | 9 |
36,828 | ||
Consumer Discretionary—3.2% | ||
Capri Holdings Ltd.(5)(6) | 1,712,854 | 86,054 |
NEOGAMES S.A.(5) | 118,608 | 3,396 |
Next.e.GO N.V.(5) | 1 | — (7) |
89,450 | ||
Consumer Staples—3.4% | ||
Albertsons Cos., Inc. Class A(6) | 1,872,855 | 43,076 |
Shares | Value | ||
Consumer Staples—continued | |||
Sovos Brands, Inc.(5)(6)(8) | 2,429,172 | $ 53,514 | |
96,590 | |||
Energy—13.0% | |||
Euronav N.V.(8) | 351,380 | 6,181 | |
Hess Corp. | 1,030,288 | 148,526 | |
Pioneer Natural Resources Co.(6) | 946,611 | 212,874 | |
367,581 | |||
Financials—0.8% | |||
Acropolis Infrastructure(5)(9) | 315,662 | — | |
American Equity Investment Life Holding Co.(5) | 327,593 | 18,280 | |
National Western Life Group, Inc. Class A | 10,853 | 5,242 | |
23,522 | |||
Health Care—7.0% | |||
ABIOMED, Inc.(5)(9) | 60,860 | 129 | |
Amedisys, Inc.(5) | 785,750 | 74,693 | |
Cerevel Therapeutics Holdings, Inc.(5) | 560,970 | 23,785 | |
ImmunoGen, Inc.(5) | 1,048,618 | 31,092 | |
Karuna Therapeutics, Inc.(5) | 74,135 | 23,464 | |
Mirati Therapeutics, Inc.(5) | 71,146 | 4,180 | |
Olink Holding AB ADR(5) | 1,570,996 | 39,511 | |
196,854 | |||
Industrials—0.4% | |||
SP Plus Corp.(5) | 227,967 | 11,683 | |
Information Technology—5.1% | |||
Splunk, Inc.(5)(6) | 946,148 | 144,146 | |
Materials—6.3% | |||
Newmont Corp. | 85,670 | 3,546 | |
Teck Resources Ltd. Class B | 562,400 | 23,772 | |
United States Steel Corp. | 1,092,287 | 53,140 | |
Westrock Co.(6) | 2,310,449 | 95,930 | |
176,388 | |||
Real Estate—3.7% | |||
RPT Realty | 1,236,501 | 15,864 | |
Spirit Realty Capital, Inc. | 1,996,131 | 87,211 | |
103,075 | |||
Utilities—1.4% | |||
Origin Energy Ltd. | 7,092,810 | 40,939 | |
Total Common Stocks (Identified Cost $1,261,478) | 1,287,056 | ||
Shares | Value | ||
Affiliated Mutual Fund—2.9% | |||
Equity Fund—2.9% | |||
Virtus Westchester Event-Driven Fund Class I(10)(11) | 7,603,483 | $ 81,281 | |
Total Affiliated Mutual Fund (Identified Cost $79,470) | 81,281 | ||
Rights—0.0% | |||
Financials—0.0% | |||
Pershing Tontine Spar, 12/31/33(5)(9) | 136,884 | 31 | |
Health Care—0.0% | |||
Akouos, Inc., 12/31/49(5) | 336,679 | 378 | |
Bristol Myers Squibb Co., 12/31/35(5)(9) | 453,175 | 646 | |
1,024 | |||
Total Rights (Identified Cost $—) | 1,055 | ||
Warrants—0.1% | |||
Communication Services—0.0% | |||
Akazoo S.A., 12/31/35(5)(9) | 238,850 | — | |
BuzzFeed, Inc., 12/01/26(5) | 116,254 | 4 | |
4 | |||
Consumer Discretionary—0.1% | |||
Allurion Technologies, Inc., 07/31/29(5) | 63,240 | 29 | |
CEC Brands LLC, 12/31/25(5)(9) | 189,648 | 569 | |
ECARX Holdings, Inc., 12/21/27(5) | 81,099 | 3 | |
Grove Collaborative Holdings, 03/13/26(5) | 78,996 | — (7) | |
Zapp Electric Vehicles Group Ltd., 03/03/28(5) | 168,623 | 1 | |
602 | |||
Consumer Staples—0.0% | |||
Whole Earth Brands, Inc., 06/25/25(5) | 55,224 | 4 | |
Financials—0.0% | |||
26 Capital Acquisition Corp., 12/31/27(5) | 61,000 | — | |
Alchemy Investments Acquisition Corp. 1, 06/26/28(5) | 183,897 | 28 | |
Alpha Partners Technology Merger Corp., 03/31/28(5) | 83,333 | 5 | |
AltEnergy Acquisition Corp., 11/10/28(5) | 62,809 | 2 | |
Ares Acquisition Corp. II, 06/12/28(5) | 331,251 | 50 | |
Arrowroot Acquisition Corp., 03/02/26(5) | 462,172 | 37 | |
Cartesian Growth Corp II, 07/12/28(5) | 69,832 | 9 | |
Cartica Acquisition Corp., 04/30/28(5) | 37,500 | 1 | |
Corner Growth Acquisition Corp., 12/31/27(5) | 62,938 | 4 | |
ESGEN Acquisition Corp., 10/20/26(5) | 73,376 | 3 | |
EVe Mobility Acquisition Corp., 12/31/28(5) | 75,122 | 2 | |
FTAC Emerald Acquisition Corp., 08/22/28(5) | 207,965 | 10 | |
GCM Grosvenor, Inc. Class A, 11/17/25(5) | 102,070 | 37 | |
Goal Acquisitions Corp., 02/11/26(5) | 564,935 | 2 | |
Haymaker Acquisition Corp. 4, 09/12/28(5) | 119,080 | 18 | |
Inflection Point Acquisition Corp. II, 07/17/28(5) | 147,761 | 15 | |
Israel Acquisitions Corp., 02/28/28(5) | 447,969 | 27 | |
Keen Vision Acquisition Corp., 09/15/28(5) | 537,265 | 21 | |
Kensington Capital Acquisition Corp. V, 08/13/28(5) | 126,939 | 13 |
Shares | Value | ||
Financials—continued | |||
LeddarTech Holdings, Inc., 09/21/28(5) | 155,088 | $ 13 | |
Moneylion, Inc., 06/01/27(5) | 106,742 | 11 | |
Nabors Energy Transition Corp. II, 09/05/28(5) | 187,613 | 24 | |
Newbury Street Acquisition Corp., 12/31/27(5) | 31,054 | 1 | |
Newcourt Acquisition Corp., 04/12/28(5) | 85,245 | 1 | |
Phoenix Biotech Acquisition Corp., 09/01/26(5) | 62,781 | 2 | |
Pyrophyte Acquisition Corp., 05/03/28(5) | 83,773 | 7 | |
RMG Acquisition Corp. III, 12/31/27(5) | 85,180 | 6 | |
Screaming Eagle Acquisition Corp. Class A, 12/15/27(5) | 250,784 | 113 | |
Semper Paratus Acquisition Corp., 11/04/26(5) | 83,731 | 3 | |
SilverBox Corp. III, 04/28/28(5) | 31,515 | 3 | |
Slam Corp. Class A, 12/31/27(5) | 55,909 | 11 | |
Spring Valley Acquisition Corp. II, 02/25/26(5) | ��� 158,098 | 10 | |
Target Global Acquisition I Corp., 12/31/27(5) | 125,200 | 9 | |
Volato Group, Inc., 12/03/28(5) | 167,228 | 19 | |
XBP Europe Holdings, Inc., 12/31/27(5) | 40,000 | 2 | |
519 | |||
Health Care—0.0% | |||
Pear Therapeutics, Inc., 02/04/26(5) | 6,166 | — (7) | |
Quantum-Si, Inc., 09/30/27(5) | 32,085 | 9 | |
9 | |||
Industrials—0.0% | |||
Amprius Technologies, Inc., 03/02/27(5) | 326,205 | 127 | |
Bridger Aerospace Group Holdings, Inc., 12/31/27(5) | 58,300 | 13 | |
Freightos Ltd., 01/23/28(5) | 54,429 | 4 | |
Getaround, Inc., 03/09/26(5) | 12,698 | — (7) | |
144 | |||
Information Technology—0.0% | |||
KLDiscovery, Inc., 12/19/24(5) | 677,651 | 2 | |
Movella Holdings, Inc., 12/31/27(5) | 74,121 | 1 | |
Near Intelligence, Inc., 07/08/27(5) | 16,000 | — (7) | |
3 | |||
Materials—0.0% | |||
Ginkgo Bioworks Holdings, Inc., 12/31/27(5) | 2,620 | — (7) | |
Total Warrants (Identified Cost $12,476) | 1,285 |
Shares/Units | ||
Special Purpose Acquisition Companies—22.1% | ||
Agriculture & Natural Solutions Acquisition Corp.(5) | 1,402,658 | 14,223 |
Aimei Health Technology Co., Ltd.(5) | 269,392 | 2,748 |
Aimfinity Investment Corp. I(5) | 107,731 | 1,180 |
Alchemy Investments Acquisition Corp. 1(5) | 367,795 | 3,836 |
Alpha Partners Technology Merger Corp. Class A(5)(10) | 1,146,417 | 12,267 |
Alpha Star Acquisition Corp.(5)(10) | 710,257 | 7,948 |
AltC Acquisition Corp. Class A(5) | 184,604 | 1,949 |
Andretti Acquisition Corp. Class A(5) | 83,204 | 904 |
AP Acquisition Corp. Class A(5) | 405,336 | 4,511 |
APx Acquisition Corp. I(5) | 489,675 | 5,475 |
Ares Acquisition Corp. II(5) | 1,538,410 | 16,061 |
Arisz Acquisition Corp.(5)(10) | 339,292 | 3,701 |
Arogo Capital Acquisition Corp. Class A(5) | 83,133 | 895 |
Shares/Units | Value | ||
Arrowroot Acquisition Corp. Class A(5)(10) | 345,322 | $ 3,619 | |
ARYA Sciences Acquisition Corp. IV Class A(5) | 207,319 | 2,256 | |
Aura FAT Projects Acquisition Corp. Class A(5) | 123,650 | 1,344 | |
Aurora Technology Acquisition Corp. Class A(5) | 200,000 | 2,182 | |
Bannix Acquisition Corp.(5) | 21,987 | 237 | |
Battery Future Acquisition Corp. Class A(5) | 233,772 | 2,536 | |
Bayview Acquisition Corp.(5) | 233,688 | 2,365 | |
Bayview Acquisition Corp. Class A(5) | 28,267 | 283 | |
Blue Ocean Acquisition Corp. Class A(5) | 271,847 | 2,930 | |
Blue World Acquisition Corp.(5) | 139,717 | 1,540 | |
Bowen Acquisition Corp.(5) | 189,738 | 1,958 | |
Bukit Jalil Global Acquisition 1 Ltd.(5) | 291,371 | 3,027 | |
Bukit Jalil Global Acquisition 1 Ltd.(5) | 121,363 | 1,271 | |
byNordic Acquisition Corp.(5) | 142,352 | 1,582 | |
Canna-Global Acquisition Corp. Class A(5) | 21,959 | 239 | |
Capitalworks Emerging Markets Acquisition Corp. Class A(5) | 203,471 | 2,228 | |
Cartesian Growth Corp. II Class A(5) | 1,019,800 | 11,177 | |
Cartica Acquisition Corp. Class A(5) | 284,379 | 3,103 | |
Cetus Capital Acquisition Corp.(5) | 322,132 | 3,382 | |
CF Acquisition Corp. VII Class A(5) | 708,562 | 7,688 | |
Chain Bridge I Class A(5) | 154,503 | 1,676 | |
Chenghe Acquisition Co. Class A(5) | 301,319 | 3,314 | |
Chenghe Acquisition I Co.(5) | 180,678 | 1,991 | |
Churchill Capital Corp. VII Class A(5)(10) | 3,298,554 | 34,635 | |
Colombier Acquisition Corp. II(5) | 151,325 | 1,525 | |
Compass Digital Acquisition Corp.(5) | 170,419 | 1,798 | |
Concord Acquisition Corp. II Class A(5)(10) | 1,067,227 | 11,078 | |
Concord Acquisition Corp. III Class A(5) | 177,624 | 1,876 | |
Constellation Acquisition Corp. I Class A(5)(10) | 381,194 | 4,212 | |
Crown PropTech Acquisitions Class A(5) | 993 | 11 | |
CSLM Acquisition Corp.(5) | 450,016 | 4,896 | |
Denali Capital Acquisition Corp. Class A(5) | 224,555 | 2,284 | |
Direct Selling Acquisition Corp. Class A(5) | 213,853 | 2,329 | |
Distoken Acquisition Corp.(5) | 188,499 | 1,998 | |
DUET Acquisition Corp. Class A(5) | 201,622 | 2,210 | |
Enphys Acquisition Corp.(5) | 739,293 | 7,888 | |
ESH Acquisition Corp.(5) | 321,082 | 32 | |
ESH Acquisition Corp. Class A(5) | 321,082 | 3,281 | |
EVe Mobility Acquisition Corp. Class A(5) | 606,371 | 6,549 | |
Everest Consolidator Acquisition Corp.(5) | 533,272 | 5,834 | |
Evergreen Corp. Class A(5) | 318,588 | 3,549 | |
ExcelFin Acquisition Corp. Class A(5) | 161,036 | 1,723 | |
Feutune Light Acquisition Corp. Class A(5) | 81,104 | 877 | |
Finnovate Acquisition Corp. Class A(5) | 449,655 | 4,964 | |
Fintech Ecosystem Development Corp. Class A(5) | 159,097 | 1,704 | |
Focus Impact Acquisition Corp. Class A(5) | 375,863 | 4,116 | |
FTAC Emerald Acquisition Corp. Class A(5) | 963,882 | 10,188 | |
FutureTech II Acquisition Corp. Class A(5) | 258,648 | 2,809 | |
Generation Asia I Acquisition Ltd. Class A(5) | 375,000 | 4,069 | |
Global Lights Acquisition Corp.(5)(8) | 93,536 | 942 | |
Global Lights Acquisition Corp.(5) | 140,267 | 1,434 | |
Global Partner Acquisition Corp. II Class A(5) | 4,721 | 52 | |
Global Star Acquisition, Inc. Class A(5) | 186,979 | 1,976 | |
Globalink Investment, Inc.(5) | 268,023 | 2,908 | |
Golden Star Acquisition Corp.(5) | 315,654 | 3,289 | |
Golden Star Acquisition Corp.(5) | 205,869 | 31 | |
Gores Holdings IX, Inc. Class A(5) | 2,327,807 | 24,442 | |
Haymaker Acquisition Corp. 4(5) | 238,161 | 2,444 | |
HCM Acquisition Corp. Class A(5) | 467,203 | 5,219 | |
Hennessy Capital Investment Corp. VI Class A(5)(10) | 1,857,295 | 19,372 | |
HH&L Acquisition Co. Class A(5) | 54,258 | 578 | |
Hudson Acquisition I Corp.(5) | 118,200 | 1,246 | |
InFinT Acquisition Corp. Class A(5) | 355,736 | 3,991 |
Shares/Units | Value | ||
Inflection Point Acquisition Corp. II Class A(5) | 374,166 | $ 3,865 | |
Integral Acquisition Corp. 1 Class A(5) | 119,000 | 1,289 | |
Integrated Rail & Resources Acquisition Corp. Class A(5) | 236,599 | 2,555 | |
Integrated Wellness Acquisition Corp. Class A(5)(10) | 423,090 | 4,747 | |
Investcorp Europe Acquisition Corp. I Class A(5) | 469,232 | 5,171 | |
Investcorp India Acquisition Corp. Class A(5)(10) | 657,507 | 7,226 | |
Iron Horse Acquisitions Corp.(5) | 187,379 | 1,881 | |
Israel Acquisitions Corp. Class A(5) | 459,107 | 4,908 | |
IX Acquisition Corp. Class A(5) | 195,300 | 2,158 | |
Keen Vision Acquisition Corp.(5) | 622,800 | 6,434 | |
Kernel Group Holdings, Inc. Class A(5) | 312,278 | 3,354 | |
Keyarch Acquisition Corp.(5) | 125,176 | 1,361 | |
L Catterton Asia Acquisition Corp. Class A(5) | 855,885 | 9,227 | |
Lakeshore Acquisition II Corp.(5) | 94,593 | 1,041 | |
Learn CW Investment Corp. Class A(5)(10) | 817,802 | 8,816 | |
Liberty Resources Acquisition Corp. Class A(5) | 201,051 | 2,197 | |
Magnum Opus Acquisition Ltd. Class A(5) | 299,757 | 3,235 | |
Mars Acquisition Corp.(5) | 214,664 | 2,282 | |
Mars Acquisition Corp.(5) | 5,944 | 1 | |
Metal Sky Star Acquisition Corp.(5) | 66,472 | 727 | |
Monterey Capital Acquisition Corp. Class A(5) | 358,230 | 3,890 | |
Mountain & Co. I Acquisition Corp.(5)(10) | 923,431 | 10,435 | |
Nabors Energy Transition Corp. II Class A(5) | 375,227 | 3,895 | |
Newbury Street Acquisition Corp.(5) | 262,382 | 2,781 | |
Newcourt Acquisition Corp. Class A(5) | 93,635 | 1,066 | |
Nubia Brand International Corp. Class A(5) | 308,227 | 3,369 | |
Oak Woods Acquisition Corp. Class A(5) | 241,946 | 2,548 | |
OCA Acquisition Corp. Class A(5) | 139,497 | 1,505 | |
Oxus Acquisition Corp. Class A(5) | 153,112 | 1,732 | |
Patria Latin American Opportunity Acquisition Corp.(5)(10) | 1,301,323 | 14,444 | |
Pegasus Digital Mobility Acquisition Corp. Class A(5) | 124,475 | 1,375 | |
Perception Capital Corp. III Class A(5) | 66,337 | 699 | |
Plum Acquisition Corp. I Class A(5) | 228,987 | 2,484 | |
Plutonian Acquisition Corp.(5) | 193,386 | 2,073 | |
Pono Capital Three, Inc. Class A(5) | 258,363 | 2,744 | |
Power & Digital Infrastructure Acquisition II Corp. Class A(5)(10) | 658,824 | 7,194 | |
PowerUp Acquisition Corp. Class A(5) | 27,909 | 304 | |
Project Energy Reimagined Acquisition Corp.(5) | 546,831 | 5,786 | |
Pyrophyte Acquisition Corp. Class A(5) | 665,963 | 7,326 | |
Quadro Acquisition One Corp.(5) | 70,320 | 759 | |
Quetta Acquisition Corp.(5) | 332,047 | 3,390 | |
RCF Acquisition Corp. Class A(5) | 356,072 | 3,910 | |
Redwoods Acquisition Corp.(5) | 198,928 | 2,125 | |
Rigel Resource Acquisition Corp. Class A(5)(10) | 1,428,308 | 15,654 | |
Ross Acquisition Corp. II Class A(5)(10) | 468,201 | 5,099 | |
Roth CH Acquisition Co.(5) | 246,418 | 2,682 | |
Screaming Eagle Acquisition Corp. Class A(5)(8) | 3,441,137 | 36,476 | |
SDCL EDGE Acquisition Corp. Class A(5) | 606,577 | 6,527 | |
Semper Paratus Acquisition Corp. Class A(5) | 83,094 | 925 | |
SilverBox Corp. III Class A(5) | 94,545 | 978 | |
Sizzle Acquisition Corp.(5) | 217,633 | 2,396 | |
Slam Corp. Class A(5) | 330,441 | 3,582 | |
Spark I Acquisition Corp.(5) | 381,965 | 3,888 | |
Spring Valley Acquisition Corp. II(5) | 316,196 | 4 | |
Spring Valley Acquisition Corp. II Class A(5) | 780,799 | 8,464 | |
StoneBridge Acquisition Corp.(5) | 33,014 | 367 | |
Target Global Acquisition I Corp. Class A(5) | 422,226 | 4,657 | |
TenX Keane Acquisition Class A(5) | 251,058 | 2,749 | |
TLGY Acquisition Corp. Class A(5)(8)(10) | 445,558 | 4,937 | |
TMT Acquisition Corp.(5) | 244,827 | 53 | |
TMT Acquisition Corp. Class A(5) | 327,009 | 3,440 |
Shares/Units | Value | ||
TortoiseEcofin Acquisition Corp. III Class A(5)(10) | 1,363,243 | $ 14,478 | |
Tristar Acquisition I Corp. Class A(5) | 447,946 | 4,831 | |
two Class A(5) | 39,834 | 420 | |
Valuence Merger Corp. I Class A(5)(10) | 581,603 | 6,508 | |
Viveon Health Acquisition Corp.(5) | 76,597 | 864 | |
Zalatoris Acquisition Corp.(5) | 252,668 | 2,693 | |
Total Special Purpose Acquisition Companies (Identified Cost $598,667) | 622,966 |
Shares | ||
Purchased Options—0.0% | ||
(See open purchased options schedule) | ||
Total Purchased Options (Premiums Paid $7,320) | 910 | |
Escrow Notes—2.2% | ||
Financials—2.2% | ||
Altaba, Inc. Escrow(5) | 25,792,925 | 63,064 |
Pershing Square Escrow(5)(9) | 547,537 | — |
63,064 | ||
Industrials—0.0% | ||
AMR Corp. Escrow(5) | 1,243,406 | 25 |
Total Escrow Notes (Identified Cost $35,547) | 63,089 | |
Total Long-Term Investments—82.6% (Identified Cost $2,266,923) | 2,328,381 | |
Short-Term Investments—13.3% | ||
Money Market Mutual Funds—13.3% | ||
Goldman Sachs Financial Square Funds - Treasury Instruments Fund - Standard Shares (seven-day effective yield 5.214%)(11) | 192,800,000 | 192,800 |
Goldman Sachs Financial Square Government Fund - Standard Shares (seven-day effective yield 5.244%)(11) | 181,159,801 | 181,160 |
Total Short-Term Investments (Identified Cost $373,960) | 373,960 | |
Securities Lending Collateral—0.2% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 5.250%)(11)(12) | 6,272,010 | 6,272 |
Total Securities Lending Collateral (Identified Cost $6,272) | 6,272 | |
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT AND WRITTEN OPTIONS—96.1% (Identified Cost $2,647,155) | 2,708,613 |
Securities Sold Short—(2.5)% |
Shares | Value | ||
Common Stocks—(2.5)% | |||
Energy—(2.2)% | |||
Chevron Corp. | (334,500) | $ (49,894) | |
Exxon Mobil Corp. | (122,811) | (12,279) | |
(62,173) | |||
Materials—(0.1)% | |||
Newmont Corp. | (83,185) | (3,443) | |
Smurfit Kappa Group plc ADR | (3,891) | (152) | |
(3,595) | |||
Real Estate—(0.2)% | |||
Kimco Realty Corp. | (118,164) | (2,518) | |
Realty Income Corp. | (49,418) | (2,838) | |
(5,356) | |||
Total Securities Sold Short (Identified Proceeds $(69,322)) | (71,124) | ||
Written Options—(0.3)% | |||
(See open written options schedule) | |||
Total Written Options (Premiums Received $8,415) | (7,352) | ||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT AND WRITTEN OPTIONS—93.3% (Identified Cost $2,569,418) | $ 2,630,137 | ||
Other assets and liabilities, net—6.7% | 189,871 | ||
NET ASSETS—100.0% | $ 2,820,008 |
Abbreviations: | |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
LP | Limited Partnership |
OBFR | Overnight Bank Funding Rate |
S&P | Standard & Poor’s |
SOFR | Secured Overnight Financing Rate |
SPDR | S&P Depositary Receipt |
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 December 31, 2023, these securities amounted to a value of $114,507 or 4.1% 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) | Variable rate security. Rate disclosed is as of December 31, 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. |
(4) | This loan will settle after December 31, 2023, at which time the interest rate, calculated on the base lending rate and the agreed upon spread on trade date, will be reflected. |
(5) | Non-income producing. |
(6) | 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 $294,107. |
(7) | Amount is less than $500 (not in thousands). |
(8) | All or a portion of security is on loan. |
(9) | 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. |
(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 |
EUR | Euro |
GBP | United Kingdom Pound Sterling |
JPY | Japanese Yen |
USD | United States Dollar |
Country Weightings (Unaudited)† | |
United States | 74% |
Cayman Islands | 16 |
Virgin Islands (British) | 3 |
Australia | 2 |
France | 2 |
Sweden | 1 |
Canada | 1 |
Other | 1 |
Total | 100% |
†% of total investments, net of securities sold short and written options, as of December 31, 2023. |
Open purchased options contracts as of December 31, 2023 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Put Options(2) | |||||
Cerevel Therapeutics Holdings, Inc. | 1,552 | $ 5,432 | $ 35.00 | 12/20/24 | $124 |
Open purchased options contracts as of December 31, 2023 were as follows (continued): | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Put Options(2) (continued) | |||||
Endeavor Group Holdings, Inc. | 15,514 | $31,028 | $ 20.00 | 02/16/24 | $388 |
Seagen, Inc. | 3,422 | 65,018 | 190.00 | 06/21/24 | — |
SPDR S&P 500® ETF Trust | 1,401 | 65,847 | 470.00 | 01/19/24 | 329 |
SPDR S&P Retail® ETF | 941 | 6,022 | 64.00 | 01/19/24 | 11 |
Teck Resources Ltd. | 3,674 | 11,757 | 32.00 | 01/19/24 | 28 |
Teck Resources Ltd. | 1,898 | 7,213 | 38.00 | 01/19/24 | 23 |
United States Steel Corp. | 7,463 | 23,135 | 31.00 | 01/19/24 | 7 |
Total Purchased Options | $910 | ||||
Footnote Legend: | |||||
(1) Strike price not reported in thousands. | |||||
(2) Exchange-traded options. |
Open written options contracts as of December 31, 2023 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Albertsons Cos., Inc. | (766) | $ (1,915) | $ 25.00 | 04/19/24 | $ (58) |
Capri Holdings Ltd. | (1,829) | (10,517) | 57.50 | 01/19/24 | (4) |
Capri Holdings Ltd. | (5,136) | (25,680) | 50.00 | 01/19/24 | (449) |
Cerevel Therapeutics Holdings, Inc. | (1,552) | (6,984) | 45.00 | 12/20/24 | (89) |
Endeavor Group Holdings, Inc. | (15,515) | (34,909) | 22.50 | 02/16/24 | (3,026) |
ImmunoGen, Inc. | (4,683) | (14,049) | 30.00 | 01/19/24 | (70) |
ImmunoGen, Inc. | (18) | (56) | 31.00 | 07/19/24 | (1) |
Karuna Therapeutics, Inc. | (152) | (4,864) | 320.00 | 01/19/24 | (5) |
Karuna Therapeutics, Inc. | (13) | (429) | 330.00 | 02/16/24 | (1) |
Sovos Brands, Inc. | (15,630) | (39,075) | 25.00 | 02/16/24 | (16) |
SPDR S&P 500® ETF Trust | (1,001) | (48,048) | 480.00 | 01/19/24 | (295) |
Splunk, Inc. | (508) | (7,874) | 155.00 | 02/16/24 | (8) |
Splunk, Inc. | (1,072) | (16,616) | 155.00 | 04/19/24 | (161) |
Teck Resources Ltd. | (1,021) | (4,084) | 40.00 | 01/19/24 | (306) |
Teck Resources Ltd. | (1,898) | (7,971) | 42.00 | 01/19/24 | (258) |
Teck Resources Ltd. | (907) | (3,447) | 38.00 | 02/16/24 | (449) |
Teck Resources Ltd. | (1,798) | (7,192) | 40.00 | 02/16/24 | (638) |
United States Steel Corp. | (2,800) | (13,720) | 49.00 | 01/19/24 | (140) |
United States Steel Corp. | (1,881) | (8,652) | 46.00 | 02/16/24 | (630) |
United States Steel Corp. | (4,663) | (22,382) | 48.00 | 02/16/24 | (746) |
(7,350) | |||||
Put Options(2) | |||||
Seagen, Inc. | (3,423) | (49,634) | 145.00 | 06/21/24 | — |
SPDR S&P Retail® ETF | (258) | (1,316) | 51.00 | 01/19/24 | (—) (3) |
SPDR S&P Retail® ETF | (683) | (3,961) | 58.00 | 01/19/24 | (2) |
(2) | |||||
Total Written Options | $ (7,352) |
Footnote Legend: | |
(1) Strike price not reported in thousands. | |
(2) Exchange-traded options. | |
(3) Amount is less than $500 (not in thousands). |
Forward foreign currency exchange contracts as of December 31, 2023 were as follows: | ||||||||
Currency Purchased | Currency Amount Purchased | Currency Sold | Currency Amount Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
AUD | 390 | USD | 267 | GS | 03/19/24 | $— | $ — (1) | |
USD | 41,780 | EUR | 38,000 | JPM | 01/16/24 | — | (202) | |
USD | 47,542 | GBP | 37,371 | GS | 01/30/24 | — | (102) | |
USD | 3,441 | EUR | 3,126 | JPM | 02/20/24 | — | (17) | |
USD | 26,893 | AUD | 39,434 | GS | 03/19/24 | — | (44) | |
USD | 64,878 | JPY | 9,099,169 | GS | 03/27/24 | — | (558) | |
Total | $— | $ (923) |
Footnote Legend: | |
(1) | Amount is less than $500 (not in thousands). |
Over-the-counter total return swaps outstanding as of December 31, 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 | 6.070% (0.750% + OBFR) | 1 Month | BAML | 03/04/24 | $ —(5) | $ 516 | $ 516 | $ — | |
Brookfield Property Preferred LP | Pay | 6.070% (0.750% + OBFR) | 1 Month | BAML | 01/08/24 | 846 | (211) | — | (211) | |
Canna-Global Acquisition Corp. | Pay | 5.700% (0.380% + OBFR) | 3 Month | JPM | 01/13/25 | 611 | — (5) | — | — (5) | |
Chr. Hansen Holding A/S | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 02/19/24 | 14,633 | 2,138 | 2,138 | — | |
Chr. Hansen Holding A/S | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 08/05/24 | 211 | 42 | 42 | — | |
Chr. Hansen Holding A/S | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 08/12/24 | 4,782 | 907 | 907 | — | |
Chr. Hansen Holding A/S | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 08/13/24 | 2,072 | 369 | 369 | — | |
Chr. Hansen Holding A/S | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 08/14/24 | 2,546 | 393 | 393 | — | |
Chr. Hansen Holding A/S | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 08/19/24 | 563 | 73 | 73 | — | |
Dechra Pharmaceuticals plc | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 05/27/24 | 43,135 | 2,742 | 2,742 | — | |
Euronav N.V. | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 11/11/24 | 1,881 | (16) | — | (16) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 11/12/24 | 1,880 | (16) | — | (16) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 11/13/24 | 2,507 | (22) | — | (22) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 11/18/24 | 244 | (2) | — | (2) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 11/20/24 | 1,736 | (22) | — | (22) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 11/25/24 | 2,369 | (30) | — | (30) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 12/02/24 | 177 | (2) | — | (2) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 12/03/24 | 129 | (2) | — | (2) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 12/09/24 | 574 | (10) | — | (10) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 12/10/24 | 123 | (2) | — | (2) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 12/13/24 | 189 | (4) | — | (4) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 12/16/24 | 10 | — (5) | — | — (5) | |
Hess Corp. | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 01/09/25 | 28,297 | 2,497 | 2,497 | — | |
JSR Corp. | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 07/30/24 | 60,189 | (672) | — | (672) | |
8,666 | 9,677 | (1,011) | ||||||||
Short Total Return Swap Contracts | ||||||||||
Brookfield Asset Management Ltd. | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 09/30/24 | (1,246) | (243) | — | (243) | |
Chevron Corp. | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 12/06/24 | (137,924) | (2,175) | — | (2,175) | |
Exxon Mobil Corp. | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 09/16/24 | (216,510) | 24,792 | 24,792 | — | |
Exxon Mobil Corp. | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 09/18/24 | (15,443) | (67) | — | (67) | |
Kimco Realty Corp. | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 10/07/24 | (11,680) | (1,733) | — | (1,733) | |
Newmont Corp. | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 06/24/24 | (112) | 1 | 1 | — | |
Novozymes A/S | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 02/19/24 | (15,699) | (1,150) | — | (1,150) | |
Novozymes A/S | Receive | 4.820% ((0.500)% + OBFR) | 3 Month | JPM | 08/05/24 | (217) | (38) | — | (38) | |
Novozymes A/S | Receive | 4.820% ((0.500)% + OBFR) | 3 Month | JPM | 08/12/24 | (4,890) | (819) | — | (819) | |
Novozymes A/S | Receive | 4.820% ((0.500)% + OBFR) | 3 Month | JPM | 08/13/24 | (2,122) | (331) | — | (331) |
Over-the-counter total return swaps outstanding as of December 31, 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 | |||
Novozymes A/S | Receive | 4.820% ((0.500)% + OBFR) | 3 Month | JPM | 08/14/24 | $ (2,608) | $ (347) | $ — | $ (347) | |||
Novozymes A/S | Receive | 4.820% ((0.500)% + OBFR) | 3 Month | JPM | 08/19/24 | (577) | (63) | — | (63) | |||
Origin Energy Ltd. | Receive | 4.920% ((0.400)% + OBFR) | 1 Month | GS | 01/20/25 | (938) | (6) | — | (6) | |||
Realty Income Corp. | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 12/02/24 | (58,334) | (9,930) | — | (9,930) | |||
Realty Income Corp. | Receive | 4.720% ((0.600)% + OBFR) | 3 Month | JPM | 12/02/24 | (5,041) | (1,242) | — | (1,242) | |||
Realty Income Corp. | Receive | 4.720% ((0.600)% + OBFR) | 3 Month | JPM | 12/23/24 | (9,423) | (779) | — | (779) | |||
Smurfit Kappa Group plc | Receive | 5.050% ((0.270)% + OBFR) | 1 Month | GS | 10/14/24 | (82,661) | (8,565) | — | (8,565) | |||
(2,695) | 24,793 | (27,488) | ||||||||||
Total | $ 5,971 | $34,470 | $(28,499) |
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 December 31, 2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Convertible Bonds and Notes | $ 46,456 | $ — | $ 46,456 | $ — | |||
Corporate Bonds and Notes | 191,191 | — | 191,191 | — | |||
Leveraged Loans | 18,369 | — | 18,369 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 14,723 | 14,723 | — | — | |||
Common Stocks | 1,287,056 | 1,286,918 | 9 | 129 (1) | |||
Rights | 1,055 | — | 378 | 677 | |||
Warrants | 1,285 | 716 | — | 569 (1) | |||
Special Purpose Acquisition Companies | 622,966 | 603,810 | 19,156 | — | |||
Escrow Notes | 63,089 | — | 63,089 | — (1) | |||
Affiliated Mutual Fund | 81,281 | 81,281 | — | — | |||
Money Market Mutual Funds | 373,960 | 373,960 | — | — | |||
Securities Lending Collateral | 6,272 | 6,272 | — | — | |||
Other Financial Instruments: | |||||||
Purchased Options | 910 | 340 | 570 | — | |||
Over-the-Counter Total Return Swaps* | 34,470 | — | 33,954 | 516 | |||
Total Assets | 2,743,083 | 2,368,020 | 373,172 | 1,891 | |||
Liabilities: | |||||||
Securities Sold Short: | |||||||
Common Stocks | (71,124) | (71,124) | — | — | |||
Other Financial Instruments: | |||||||
Written Options | (7,352) | (1,932) | (5,420) | — | |||
Forward Foreign Currency Exchange Contracts* | (923) | — | (923) | — | |||
Over-the-Counter Total Return Swaps* | (28,499) | — | (28,499) | — | |||
Total Liabilities | (107,898) | (73,056) | (34,842) | — | |||
Total Investments, Net of Securities Sold Short and Written Options | $2,635,185 | $2,294,964 | $ 338,330 | $1,891 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
* | Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument by level and counterparty. |
December 31, 2023
Par Value | Value | ||
Convertible Bonds and Notes—7.8% | |||
Health Care—1.5% | |||
Cerevel Therapeutics Holdings, Inc. 144A 2.500%, 8/15/27(1) | $ 958 | $ 1,067 | |
Information Technology—6.3% | |||
Splunk, Inc. 1.125%, 6/15/27 | 4,841 | 4,689 | |
Total Convertible Bonds and Notes (Identified Cost $5,660) | 5,756 | ||
Corporate Bonds and Notes—60.6% | |||
Communication Services—7.7% | |||
Allen Media LLC 144A 10.500%, 2/15/28(1) | 451 | 241 | |
Clear Channel Outdoor Holdings, Inc. 144A 7.500%, 6/1/29(1) | 1,456 | 1,211 | |
Connect Finco S.a.r.l. 144A 6.750%, 10/1/26(1) | 575 | 571 | |
Getty Images, Inc. 144A 9.750%, 3/1/27(1)(2) | 1,239 | 1,246 | |
GrubHub Holdings, Inc. 144A 5.500%, 7/1/27(1) | 181 | 152 | |
Lagardere S.A. | |||
RegS 2.125%, 10/16/26(3) | 1,000 EUR | 1,101 | |
RegS 1.750%, 10/7/27(3) | 1,100 EUR | 1,210 | |
5,732 | |||
Consumer Discretionary—12.2% | |||
Aramark Services, Inc. 144A 5.000%, 4/1/25(1) | 1,097 | 1,089 | |
Carriage Services, Inc. 144A 4.250%, 5/15/29(1) | 1,967 | 1,747 | |
Light & Wonder International, Inc. 144A 7.000%, 5/15/28(1) | 426 | 430 | |
Michael Kors USA, Inc. 144A 4.250%, 11/1/24(1) | 3,888 | 3,801 | |
Valvoline, Inc. 144A 4.250%, 2/15/30(1) | 1,978 | 1,962 | |
9,029 | |||
Consumer Staples—2.4% | |||
TreeHouse Foods, Inc. 4.000%, 9/1/28 | 1,482 | 1,312 | |
Vector Group Ltd. 144A 10.500%, 11/1/26(1) | 472 | 473 | |
1,785 | |||
Energy—16.4% | |||
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(1) | 2,249 | 2,238 | |
California Resources Corp. 144A 7.125%, 2/1/26(1) | 3,431 | 3,480 | |
Calumet Specialty Products Partners LP 144A 11.000%, 4/15/25(1) | 2,680 | 2,709 | |
PDC Energy, Inc. 5.750%, 5/15/26 | 1,957 | 1,953 |
Par Value | Value | ||
Energy—continued | |||
Petroleum Geo-Services AS 13.500%, 3/31/27 | $ 1,600 | $ 1,756 | |
12,136 | |||
Financials—13.1% | |||
Intercontinental Exchange, Inc. 3.650%, 5/23/25 | 1,268 | 1,244 | |
Mobius Merger Sub, Inc. 144A 9.000%, 6/1/30(1) | 1,359 | 1,318 | |
NFP Corp. 144A 6.875%, 8/15/28(1) | 2,138 | 2,173 | |
Permian Resources Operating LLC 144A 8.000%, 4/15/27(1) | 1,248 | 1,294 | |
SEG Holding LLC 144A 5.625%, 10/15/28(1) | 2,881 | 2,892 | |
United Airlines, Inc. Pass-Through Trust 2016-2, B 3.650%, 4/7/27 | 546 | 513 | |
Verscend Escrow Corp. 144A 9.750%, 8/15/26(1) | 218 | 220 | |
9,654 | |||
Industrials—7.7% | |||
Bombardier, Inc. 144A 7.875%, 4/15/27(1) | 222 | 222 | |
IEA Energy Services LLC 144A 6.625%, 8/15/29(1) | 764 | 712 | |
La Financiere Atalian SASU | |||
RegS 4.000%, 5/15/24(3) | 352 EUR | 307 | |
RegS 5.125%, 5/15/25(3) | 419 EUR | 339 | |
Mauser Packaging Solutions Holding Co. 144A 9.250%, 4/15/27(1) | 1,694 | 1,663 | |
PGT Innovations, Inc. 144A 4.375%, 10/1/29(1) | 2,448 | 2,439 | |
5,682 | |||
Utilities—1.1% | |||
Origin Energy Finance Ltd. RegS 1.000%, 9/17/29(3) | 845 EUR | 812 | |
Total Corporate Bonds and Notes (Identified Cost $44,887) | 44,830 | ||
Leveraged Loans—4.3% | |||
Health Care—1.2% | |||
Verscend Holding Corp. Tranche B (1 month Term SOFR + 4.114%) 9.470%, 8/27/25(4) | 893 | 894 | |
Information Technology—2.6% | |||
NFP Corp. (1 month Term SOFR + 3.250%) 0.000%, 2/15/27(4)(5) | 700 | 703 | |
Syniverse Holdings, Inc. (3 month Term SOFR + 7.000%) 12.348%, 5/13/27(4) | 1,383 | 1,204 | |
1,907 | |||
Par Value | Value | ||
Retail—0.5% | |||
Claire’s Stores, Inc. Tranche B (1 month Term SOFR + 6.600%) 11.956%, 12/18/26(4) | $ 403 | $ 367 | |
Total Leveraged Loans (Identified Cost $3,316) | 3,168 |
Shares | ||
Closed-End Funds—8.2% | ||
Equity Funds—8.2% | ||
Ares Dynamic Credit Allocation Fund, Inc. | 14,699 | 202 |
BlackRock Debt Strategies Fund, Inc. | 59,125 | 638 |
BlackRock MuniYield Quality Fund III, Inc. | 7,499 | 87 |
Blackstone Senior Floating Rate 2027 Term Fund | 8,995 | 120 |
Blackstone Strategic Credit 2027 Term Fund | 11,153 | 126 |
First Trust Senior Floating Rate Income Fund II | 19,676 | 199 |
Franklin Universal Trust | 15,487 | 103 |
Invesco Municipal Opportunity Trust | 79,618 | 765 |
Invesco Senior Income Trust | 139,220 | 571 |
Invesco Value Municipal Income Trust | 7,269 | 85 |
KKR Income Opportunities Fund | 34,775 | 437 |
Nuveen AMT-Free Municipal Credit Income Fund | 112,236 | 1,327 |
Nuveen AMT-Free Quality Municipal Income Fund | 30,071 | 331 |
Nuveen Municipal Credit Income Fund | 68,635 | 811 |
Nuveen Municipal Value Fund, Inc. | 24,298 | 209 |
Nuveen Preferred & Income Term Fund | 3,841 | 70 |
6,081 | ||
Total Closed-End Funds (Identified Cost $5,841) | 6,081 | |
Preferred Stocks—3.8% | ||
Consumer Discretionary—0.4% | ||
Fossil Group, Inc., 7.000% | 20,031 | 309 |
Industrials—3.4% | ||
Textainer Group Holdings Ltd., 7.000% | 93,841 | 2,332 |
Textainer Group Holdings Ltd. Series B, 6.250% | 8,995 | 222 |
2,554 | ||
Total Preferred Stocks (Identified Cost $3,039) | 2,863 | |
Common Stock—0.0% | ||
Financials—0.0% | ||
Acropolis Infrastructure(6)(7) | 6,145 | — |
Total Common Stock (Identified Cost $—) | — | |
Warrants—0.0% | ||
Communication Services—0.0% | ||
BuzzFeed, Inc., 12/01/26(7) | 986 | — (8) |
Consumer Discretionary—0.0% | ||
Allurion Technologies, Inc., 07/31/29(7) | 1,074 | — (8) |
ECARX Holdings, Inc., 12/21/27(7) | 2,800 | — (8) |
Shares | Value | ||
Consumer Discretionary—continued | |||
Grove Collaborative Holdings, 03/13/26(7) | 983 | $ —(8) | |
Zapp Electric Vehicles Group Ltd., 03/03/28(7) | 601 | — (8) | |
— (8) | |||
Financials—0.0% | |||
26 Capital Acquisition Corp., 12/31/27(7) | 1,000 | — | |
Alchemy Investments Acquisition Corp. 1, 06/26/28(7) | 3,082 | 1 | |
AltEnergy Acquisition Corp., 11/10/28(7) | 243 | — (8) | |
Arrowroot Acquisition Corp., 03/02/26(7) | 992 | — (8) | |
ESGEN Acquisition Corp., 10/20/26(7) | 282 | — (8) | |
EVe Mobility Acquisition Corp., 12/31/28(7) | 1,945 | — (8) | |
FTAC Emerald Acquisition Corp., 08/22/28(7) | 807 | — (8) | |
GCM Grosvenor, Inc. Class A, 11/17/25(7) | 4,103 | 2 | |
Goal Acquisitions Corp., 02/11/26(7) | 10,907 | — (8) | |
Haymaker Acquisition Corp. 4, 09/12/28(7) | 2,394 | — (8) | |
Inflection Point Acquisition Corp. II, 07/17/28(7) | 2,574 | — (8) | |
Kensington Capital Acquisition Corp. V, 08/13/28(7) | 5,397 | 1 | |
LeddarTech Holdings, Inc., 09/21/28(7) | 3,202 | — (8) | |
Newbury Street Acquisition Corp., 12/31/27(7) | 2,435 | — (8) | |
Newcourt Acquisition Corp., 04/12/28(7) | 733 | — (8) | |
Phoenix Biotech Acquisition Corp., 09/01/26(7) | 240 | — (8) | |
Pyrophyte Acquisition Corp., 05/03/28(7) | 326 | — (8) | |
RMG Acquisition Corp. III, 12/31/27(7) | 1,120 | — (8) | |
Screaming Eagle Acquisition Corp. Class A, 12/15/27(7) | 1,138 | 1 | |
Semper Paratus Acquisition Corp., 11/04/26(7) | 325 | — (8) | |
Slam Corp. Class A, 12/31/27(7) | 217 | — (8) | |
Spring Valley Acquisition Corp. II, 02/25/26(7) | 525 | — (8) | |
Target Global Acquisition I Corp., 12/31/27(7) | 480 | — (8) | |
Volato Group, Inc., 12/03/28(7) | 648 | — (8) | |
XBP Europe Holdings, Inc., 12/31/27(7) | 1,227 | — (8) | |
5 | |||
Health Care—0.0% | |||
Newamsterdam Pharma Co. N.V., 11/22/27(7) | 3,067 | 10 | |
Pear Therapeutics, Inc., 02/04/26(7) | 1,433 | — (8) | |
10 | |||
Industrials—0.0% | |||
Amprius Technologies, Inc., 03/02/27(7) | 3,369 | 1 | |
Bridger Aerospace Group Holdings, Inc., 12/31/27(7) | 2,200 | 1 | |
Freightos Ltd., 01/23/28(7) | 208 | — (8) | |
Getaround, Inc., 03/09/26(7) | 458 | — (8) | |
2 | |||
Information Technology—0.0% | |||
FOXO Technologies, Inc., 08/01/27(7) | 1,072 | — (8) | |
Near Intelligence, Inc., 07/08/27(7) | 2,500 | — (8) | |
— (8) | |||
Materials—0.0% | |||
Ginkgo Bioworks Holdings, Inc., 12/31/27(7) | 940 | — (8) | |
Total Warrants (Identified Cost $29) | 17 |
Shares/Units | ||
Special Purpose Acquisition Companies—10.9% | ||
Aimfinity Investment Corp. I(7) | 2,209 | 24 |
Shares/Units | Value | ||
Alchemy Investments Acquisition Corp. 1(7) | 6,164 | $ 64 | |
Alpha Partners Technology Merger Corp. Class A(7) | 1,697 | 18 | |
Alpha Star Acquisition Corp.(7) | 16,220 | 182 | |
AltC Acquisition Corp. Class A(7) | 23,391 | 247 | |
Andretti Acquisition Corp. Class A(7) | 2,148 | 23 | |
AP Acquisition Corp. Class A(7) | 9,372 | 104 | |
Arisz Acquisition Corp.(7) | 5,852 | 64 | |
Arrowroot Acquisition Corp. Class A(7) | 1,190 | 12 | |
Bannix Acquisition Corp.(7) | 288 | 3 | |
Bayview Acquisition Corp. Class A(7) | 18,493 | 185 | |
BlueRiver Acquisition Corp. Class A(7) | 43,440 | 463 | |
Bowen Acquisition Corp.(7) | 3,946 | 41 | |
Bukit Jalil Global Acquisition 1 Ltd.(7) | 2,411 | 25 | |
byNordic Acquisition Corp.(7) | 2,964 | 33 | |
Cartesian Growth Corp. II Class A(7) | 25,189 | 276 | |
CF Acquisition Corp. VII Class A(7) | 3,767 | 41 | |
Chain Bridge I Class A(7) | 3,587 | 39 | |
Chenghe Acquisition Co. Class A(7) | 36,860 | 405 | |
Clean Energy Special Situations Corp.(7) | 9,243 | 97 | |
Colombier Acquisition Corp. II(7) | 4,147 | 42 | |
Concord Acquisition Corp. II Class A(7) | 37,981 | 394 | |
Crown PropTech Acquisitions Class A(7) | 18 | — (8) | |
Direct Selling Acquisition Corp. Class A(7) | 2,939 | 32 | |
Distoken Acquisition Corp.(7) | 2,872 | 30 | |
DUET Acquisition Corp. Class A(7) | 3,522 | 39 | |
ESH Acquisition Corp.(7) | 4,387 | — (8) | |
ESH Acquisition Corp. Class A(7) | 4,387 | 45 | |
EVe Mobility Acquisition Corp. Class A(7) | 60,000 | 648 | |
Evergreen Corp. Class A(7) | 3,950 | 44 | |
Fintech Ecosystem Development Corp. Class A(7) | 2,433 | 26 | |
Focus Impact Acquisition Corp. Class A(7) | 3,302 | 36 | |
Fortune Rise Acquisition Corp.(7) | 22,119 | 242 | |
FTAC Emerald Acquisition Corp. Class A(7) | 22,771 | 241 | |
Global Blockchain Acquisition Corp.(7) | 20,000 | 211 | |
Global Partner Acquisition Corp. II Class A(7) | 82 | 1 | |
Globalink Investment, Inc.(7) | 7,142 | 77 | |
Golden Star Acquisition Corp.(7) | 2,386 | 25 | |
Haymaker Acquisition Corp. 4(7) | 4,788 | 49 | |
HCM Acquisition Corp. Class A(7) | 8,697 | 97 | |
Hennessy Capital Investment Corp. VI Class A(7) | 32,505 | 339 | |
Hudson Acquisition I Corp.(7) | 2,376 | 25 | |
Inflection Point Acquisition Corp. II Class A(7) | 5,149 | 53 | |
Integrated Rail & Resources Acquisition Corp. Class A(7) | 4,901 | 53 | |
Investcorp Europe Acquisition Corp. I Class A(7) | 16,664 | 184 | |
Investcorp India Acquisition Corp. Class A(7) | 2,150 | 24 | |
Iron Horse Acquisitions Corp.(7) | 4,884 | 49 | |
Keen Vision Acquisition Corp.(7) | 10,544 | 109 | |
L Catterton Asia Acquisition Corp. Class A(7) | 27,662 | 298 | |
Mountain & Co. I Acquisition Corp.(7) | 8,108 | 92 | |
Newbury Street Acquisition Corp.(7) | 6,782 | 72 | |
Newcourt Acquisition Corp. Class A(7) | 66 | 1 | |
Nubia Brand International Corp. Class A(7) | 6,087 | 67 | |
Oak Woods Acquisition Corp. Class A(7) | 4,226 | 44 | |
Patria Latin American Opportunity Acquisition Corp.(7) | 14,119 | 157 | |
Plum Acquisition Corp. I Class A(7) | 9,431 | 102 | |
Plutonian Acquisition Corp.(7) | 4,024 | 43 | |
Power & Digital Infrastructure Acquisition II Corp. Class A(7) | 255 | 3 | |
PowerUp Acquisition Corp. Class A(7) | 577 | 6 | |
Project Energy Reimagined Acquisition Corp.(7) | 25,614 | 271 | |
Quadro Acquisition One Corp.(7) | 921 | 10 | |
Quetta Acquisition Corp.(7) | 4,564 | 47 | |
RCF Acquisition Corp. Class A(7) | 3,710 | 41 |
Shares/Units | Value | ||
Rigel Resource Acquisition Corp. Class A(7) | 43,094 | $ 472 | |
Ross Acquisition Corp. II Class A(7) | 3,655 | 40 | |
Roth CH Acquisition Co.(7) | 4,341 | 47 | |
Slam Corp. Class A(7) | 972 | 11 | |
Spark I Acquisition Corp.(7) | 9,094 | 93 | |
Spring Valley Acquisition Corp. II(7) | 1,051 | — (8) | |
TenX Keane Acquisition Class A(7) | 3,283 | 36 | |
TLGY Acquisition Corp. Class A(7) | 25,965 | 288 | |
TMT Acquisition Corp.(7) | 3,695 | 1 | |
TMT Acquisition Corp. Class A(7) | 3,695 | 39 | |
TortoiseEcofin Acquisition Corp. III Class A(7) | 18,868 | 200 | |
Twelve Seas Investment Co. II Class A(7) | 4,741 | 50 | |
Valuence Merger Corp. I Class A(7) | 513 | 6 | |
Zalatoris Acquisition Corp.(7) | 4,553 | 49 | |
Total Special Purpose Acquisition Companies (Identified Cost $7,855) | 8,047 |
Shares | ||
Escrow Notes—1.1% | ||
Financials—1.1% | ||
Altaba, Inc. Escrow(7) | 327,452 | ��� 800 |
Total Escrow Notes (Identified Cost $638) | 800 | |
Total Long-Term Investments—96.7% (Identified Cost $71,265) | 71,562 | |
Short-Term Investments—3.2% | ||
Money Market Mutual Funds—3.2% | ||
Goldman Sachs Financial Square Funds - Treasury Instruments Fund - Standard Shares (seven-day effective yield 5.214%)(9) | 1,900,000 | 1,900 |
Goldman Sachs Financial Square Government Fund - Standard Shares (seven-day effective yield 5.244%)(9) | 461,208 | 461 |
Total Short-Term Investments (Identified Cost $2,361) | 2,361 | |
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT—99.9% (Identified Cost $73,626) | 73,923 |
Securities Sold Short—(0.5)% |
Par Value | ||
U.S. Government Security—(0.5)% | ||
U.S. Treasury Notes 3.250%, 6/30/29 | $ (398) | (385) |
Total Securities Sold Short (Identified Proceeds $(405)) | (385) | |
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT—99.4% (Identified Cost $73,221) | $ 73,538 | |
Other assets and liabilities, net—0.6% | 442 | |
NET ASSETS—100.0% | $ 73,980 |
Abbreviations: | |
AMT | Alternative Minimum Tax |
LLC | Limited Liability Company |
LP | Limited Partnership |
OBFR | Overnight Bank Funding Rate |
SOFR | Secured Overnight Financing Rate |
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 December 31, 2023, these securities amounted to a value of $35,350 or 47.8% 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 $655. |
(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 December 31, 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) | This loan will settle after December 31, 2023, at which time the interest rate, calculated on the base lending rate and the agreed upon spread on trade date, will be reflected. |
(6) | 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. |
(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. |
Foreign Currencies: | |
EUR | Euro |
USD | United States Dollar |
Country Weightings (Unaudited)† | |
United States | 81% |
Cayman Islands | 7 |
France | 4 |
Bermuda | 4 |
Norway | 2 |
Australia | 1 |
Luxembourg | 1 |
Total | 100% |
†% of total investments, net of securities sold short as of December 31, 2023. |
Forward foreign currency exchange contracts as of December 31, 2023 were as follows: | ||||||||
Currency Purchased | Currency Amount Purchased | Currency Sold | Currency Amount Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
USD | 2,309 | EUR | 2,100 | JPM | 01/16/24 | $— | $ (11) | |
USD | 930 | EUR | 845 | JPM | 02/20/24 | — | (4) | |
USD | 658 | EUR | 596 | JPM | 03/13/24 | — | (2) | |
Total | $— | $ (17) |
Over-the-counter total return swaps outstanding as of December 31, 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 | ||||||||||||
BlackRock Floating Rate Income Strategies Fund, Inc. | Pay | 5.910% (0.590% + OBFR) | 3 Month | JPM | 03/25/24 | $ 17 | $ 1 | $ 1 | $ — | |||
BlackRock Floating Rate Income Strategies Fund, Inc. | Pay | 5.910% (0.590% + OBFR) | 3 Month | JPM | 03/28/24 | 9 | 1 | 1 | — | |||
BlackRock Floating Rate Income Strategies Fund, Inc. | Pay | 5.910% (0.590% + OBFR) | 3 Month | JPM | 04/08/24 | 8 | — (3) | — (3) | — | |||
BlackRock Floating Rate Income Strategies Fund, Inc. | Pay | 5.910% (0.590% + OBFR) | 3 Month | JPM | 11/25/24 | 34 | 2 | 2 | — | |||
Churchill Capital Corp. VII | Pay | 6.030% (0.710% + OBFR) | 1 Month | GS | 12/06/24 | 1,392 | 1 | 1 | — | |||
Invesco Dynamic Credit Opportunities | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 03/27/24 | 3 | — (3) | — | — (3) | |||
Invesco Dynamic Credit Opportunities | Pay | 5.700% (0.380% + OBFR) | 3 Month | JPM | 01/04/24 | 22 | — (3) | — | — (3) | |||
Invesco Dynamic Credit Opportunities | Pay | 5.700% (0.380% + OBFR) | 3 Month | JPM | 01/30/24 | — (3) | 1 | 1 | — | |||
Invesco Dynamic Credit Opportunities | Pay | 5.700% (0.380% + OBFR) | 3 Month | JPM | 04/30/24 | — (3) | 1 | 1 | — | |||
Nuveen New York AMT-Free Quality Municipal Income Fund | Pay | 6.530% (1.210% + OBFR) | 1 Month | GS | 07/29/24 | 71 | 1 | 1 | — | |||
Nuveen New York AMT-Free Quality Municipal Income Fund | Pay | 5.700% (0.380% + OBFR) | 3 Month | JPM | 11/25/24 | 6 | 1 | 1 | — | |||
Pershing Square Escrow(4) | Pay | 6.530% (1.210% + OBFR) | 1 Month | GS | 10/02/24 | — (3) | — (3) | — | — (3) | |||
Pershing Tontine Spar(4) | Pay | 6.530% (1.210% + OBFR) | 1 Month | GS | 10/02/24 | — (3) | — (3) | — (3) | — | |||
Saba Capital Income & Opportunities Fund | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 03/27/24 | 214 | (6) | — | (6) | |||
Saba Capital Income & Opportunities Fund | Pay | 5.700% (0.380% + OBFR) | 3 Month | JPM | 07/22/24 | 3 | — (3) | — (3) | — | |||
SK Growth Opportunities Corp. | Pay | 6.530% (1.210% + OBFR) | 1 Month | GS | 12/23/24 | 297 | (2) | — | (2) | |||
1 | 9 | (8) | ||||||||||
Total | $ 1 | $ 9 | $(8) |
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). |
(4) | 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. |
Total Value at December 31, 2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Convertible Bonds and Notes | $ 5,756 | $ — | $ 5,756 | $ — | |||
Corporate Bonds and Notes | 44,830 | — | 44,830 | — | |||
Leveraged Loans | 3,168 | — | 3,168 | — | |||
Equity Securities: | |||||||
Closed-End Funds | 6,081 | 6,081 | — | — | |||
Preferred Stocks | 2,863 | 2,863 | — | — | |||
Common Stock | — (1) | — | — | — (1) | |||
Warrants | 17 | 17 | — | — | |||
Special Purpose Acquisition Companies | 8,047 | 7,857 | 190 | — | |||
Escrow Notes | 800 | — | 800 | — | |||
Money Market Mutual Funds | 2,361 | 2,361 | — | — | |||
Other Financial Instruments: | |||||||
Over-the-Counter Total Return Swaps* | 9 | — | 9 | — (2) | |||
Total Assets | 73,932 | 19,179 | 54,753 | — | |||
Liabilities: | |||||||
Securities Sold Short: | |||||||
U.S. Government Security | (385) | — | (385) | — | |||
Other Financial Instruments: | |||||||
Forward Foreign Currency Exchange Contracts* | (17) | — | (17) | — | |||
Over-the-Counter Total Return Swaps* | (8) | — | (8) | — (2) | |||
Total Liabilities | (410) | — | (410) | — | |||
Total Investments, Net of Securities Sold Short | $73,522 | $19,179 | $54,343 | $ — |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
(2) | Amount is less than $500 (not in thousands). |
* | Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument by level and counterparty. |
December 31, 2023
Par Value | Value | ||
Convertible Bonds and Notes—1.8% | |||
Health Care—0.3% | |||
Cerevel Therapeutics Holdings, Inc. 144A 2.500%, 8/15/27(1) | $ 1,323 | $ 1,474 | |
Information Technology—1.5% | |||
Splunk, Inc. 1.125%, 6/15/27 | 7,434 | 7,200 | |
Total Convertible Bonds and Notes (Identified Cost $8,572) | 8,674 | ||
Corporate Bonds and Notes—20.8% | |||
Communication Services—4.0% | |||
Allen Media LLC 144A 10.500%, 2/15/28(1) | 3,724 | 1,992 | |
Clear Channel Outdoor Holdings, Inc. 144A 7.500%, 6/1/29(1) | 2,780 | 2,311 | |
Connect Finco S.a.r.l. 144A 6.750%, 10/1/26(1) | 2,071 | 2,059 | |
Getty Images, Inc. 144A 9.750%, 3/1/27(1)(2) | 6,830 | 6,870 | |
GrubHub Holdings, Inc. 144A 5.500%, 7/1/27(1) | 878 | 738 | |
Lagardere S.A. | |||
RegS 1.625%, 6/21/24(3) | 300 EUR | 329 | |
RegS 2.125%, 10/16/26(3) | 2,400 EUR | 2,641 | |
RegS 1.750%, 10/7/27(3) | 1,900 EUR | 2,090 | |
19,030 | |||
Consumer Discretionary—3.1% | |||
Aramark Services, Inc. 144A 5.000%, 4/1/25(1) | 1,105 | 1,097 | |
Carriage Services, Inc. 144A 4.250%, 5/15/29(1) | 6,676 | 5,929 | |
Light & Wonder International, Inc. 144A 7.000%, 5/15/28(1) | 3,366 | 3,400 | |
Valvoline, Inc. 144A 4.250%, 2/15/30(1) | 4,762 | 4,724 | |
15,150 | |||
Consumer Staples—1.2% | |||
TreeHouse Foods, Inc. 4.000%, 9/1/28 | 3,268 | 2,893 | |
Vector Group Ltd. 144A 10.500%, 11/1/26(1) | 2,791 | 2,797 | |
5,690 | |||
Energy—5.8% | |||
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(1) | 4,530 | 4,507 | |
California Resources Corp. 144A 7.125%, 2/1/26(1) | 4,773 | 4,841 | |
Calumet Specialty Products Partners LP 144A 11.000%, 4/15/25(1) | 10,829 | 10,949 | |
PDC Energy, Inc. 5.750%, 5/15/26 | 2,657 | 2,652 |
Par Value | Value | ||
Energy—continued | |||
Petroleum Geo-Services AS 13.500%, 3/31/27 | $ 4,400 | $ 4,829 | |
27,778 | |||
Financials—3.5% | |||
Intercontinental Exchange, Inc. 3.650%, 5/23/25 | 1,283 | 1,259 | |
Mobius Merger Sub, Inc. 144A 9.000%, 6/1/30(1) | 1,060 | 1,028 | |
NFP Corp. 144A 6.875%, 8/15/28(1) | 6,883 | 6,997 | |
Permian Resources Operating LLC 144A 8.000%, 4/15/27(1) | 1,302 | 1,350 | |
SEG Holding LLC 144A 5.625%, 10/15/28(1) | 4,348 | 4,364 | |
United Airlines, Inc. Pass-Through Trust 2016-2, B 3.650%, 4/7/27 | 770 | 723 | |
Verscend Escrow Corp. 144A 9.750%, 8/15/26(1) | 930 | 936 | |
16,657 | |||
Industrials—3.1% | |||
Bombardier, Inc. 144A 7.875%, 4/15/27(1) | 1,283 | 1,283 | |
IEA Energy Services LLC 144A 6.625%, 8/15/29(1) | 1,111 | 1,036 | |
La Financiere Atalian SASU | |||
RegS 4.000%, 5/15/24(3) | 1,019 EUR | 889 | |
RegS 5.125%, 5/15/25(3) | 977 EUR | 790 | |
Mauser Packaging Solutions Holding Co. 144A 9.250%, 4/15/27(1) | 5,703 | 5,598 | |
PGT Innovations, Inc. 144A 4.375%, 10/1/29(1) | 5,509 | 5,489 | |
15,085 | |||
Utilities—0.1% | |||
Origin Energy Finance Ltd. RegS 1.000%, 9/17/29(3) | 329 EUR | 316 | |
Total Corporate Bonds and Notes (Identified Cost $101,000) | 99,706 | ||
Leveraged Loans—1.1% | |||
Health Care—0.5% | |||
Verscend Holding Corp. Tranche B (1 month Term SOFR + 4.114%) 9.470%, 8/27/25(4) | 2,537 | 2,539 | |
Information Technology—0.5% | |||
Syniverse Holdings, Inc. (3 month Term SOFR + 7.000%) 12.348%, 5/13/27(4) | 2,765 | 2,409 |
Par Value | Value | ||
Retail—0.1% | |||
Claire’s Stores, Inc. Tranche B (1 month Term SOFR + 6.600%) 11.956%, 12/18/26(4) | $ 252 | $ 229 | |
Total Leveraged Loans (Identified Cost $5,474) | 5,177 |
Shares | ||
Closed-End Funds—3.3% | ||
Equity Funds—3.3% | ||
Apollo Senior Floating Rate Fund, Inc. | 11,127 | 147 |
Ares Dynamic Credit Allocation Fund, Inc. | 8,750 | 120 |
BlackRock Debt Strategies Fund, Inc. | 88,408 | 954 |
BlackRock Floating Rate Income Strategies Fund, Inc. | 9,611 | 122 |
BlackRock MuniYield Quality Fund III, Inc. | 45,863 | 534 |
Blackstone Senior Floating Rate 2027 Term Fund(5) | 54,814 | 732 |
Blackstone Strategic Credit 2027 Term Fund | 68,041 | 770 |
First Trust Senior Floating Rate Income Fund II | 11,712 | 118 |
Franklin Universal Trust | 102,050 | 679 |
Invesco Municipal Opportunity Trust | 100,962 | 970 |
Invesco Senior Income Trust | 362,014 | 1,484 |
Invesco Value Municipal Income Trust | 45,435 | 533 |
KKR Income Opportunities Fund | 70,431 | 885 |
Nuveen AMT-Free Municipal Credit Income Fund | 93,266 | 1,102 |
Nuveen AMT-Free Quality Municipal Income Fund | 183,929 | 2,023 |
Nuveen Municipal Credit Income Fund | 142,900 | 1,689 |
Nuveen Municipal Value Fund, Inc. | 143,015 | 1,230 |
Nuveen New York AMT-Free Quality Municipal Income Fund | 104,340 | 1,099 |
Nuveen Preferred & Income Term Fund | 23,495 | 430 |
Saba Capital Income & Opportunities Fund | 29,430 | 227 |
15,848 | ||
Total Closed-End Funds (Identified Cost $15,703) | 15,848 | |
Preferred Stocks—0.9% | ||
Consumer Discretionary—0.1% | ||
Fossil Group, Inc., 7.000% | 31,540 | 486 |
Financials—0.3% | ||
Federal Home Loan Mortgage Corp. Series Z, 8.375%(4) | 369,204 | 1,071 |
Federal National Mortgage Association Series S, 8.250%(4) | 168,144 | 541 |
1,612 | ||
Industrials—0.5% | ||
Textainer Group Holdings Ltd., 7.000% | 65,360 | 1,624 |
Textainer Group Holdings Ltd. Series B, 6.250% | 26,973 | 666 |
2,290 | ||
Total Preferred Stocks (Identified Cost $4,298) | 4,388 | |
Shares | Value | ||
Common Stocks—55.2% | |||
Communication Services—2.6% | |||
Endeavor Group Holdings, Inc. Class A (2) | 421,100 | $ 9,993 | |
Liberty Media Corp.-Liberty SiriusXM Class A(6) | 88,000 | 2,529 | |
12,522 | |||
Consumer Discretionary—2.8% | |||
Capri Holdings Ltd.(2)(6) | 244,521 | 12,285 | |
NEOGAMES S.A.(6) | 45,277 | 1,296 | |
13,581 | |||
Consumer Staples—4.3% | |||
Albertsons Cos., Inc. Class A(2) | 306,384 | 7,047 | |
Kenvue, Inc. | 160,100 | 3,447 | |
Sovos Brands, Inc.(6) | 450,015 | 9,914 | |
20,408 | |||
Energy—17.1% | |||
Euronav N.V.(5) | 72,445 | 1,274 | |
Hess Corp.(2) | 273,352 | 39,406 | |
Phillips 66 | 37,800 | 5,033 | |
Pioneer Natural Resources Co.(2) | 161,791 | 36,383 | |
82,096 | |||
Financials—1.7% | |||
Acropolis Infrastructure(6)(7) | 39,798 | — | |
American Equity Investment Life Holding Co.(6) | 60,624 | 3,383 | |
Fidelity National Information Services, Inc. | 57,200 | 3,436 | |
National Western Life Group, Inc. Class A | 2,677 | 1,293 | |
8,112 | |||
Health Care—6.6% | |||
Amedisys, Inc.(6) | 22,841 | 2,171 | |
BioMarin Pharmaceutical, Inc.(6) | 82,600 | 7,964 | |
Cerevel Therapeutics Holdings, Inc.(6) | 86,313 | 3,660 | |
ImmunoGen, Inc.(6) | 177,670 | 5,268 | |
Karuna Therapeutics, Inc.(6) | 15,541 | 4,919 | |
Mirati Therapeutics, Inc.(6) | 15,421 | 906 | |
Olink Holding AB ADR(6) | 266,179 | 6,694 | |
31,582 | |||
Industrials—2.5% | |||
Carrier Global Corp. | 174,500 | 10,025 | |
SP Plus Corp.(6) | 37,774 | 1,936 | |
11,961 | |||
Information Technology—5.1% | |||
Splunk, Inc.(2)(6) | 161,931 | 24,670 | |
Materials—6.9% | |||
Ball Corp. | 69,500 | 3,998 | |
Newmont Corp. | 8,263 | 342 | |
Teck Resources Ltd. Class B | 123,100 | 5,203 | |
United States Steel Corp. | 79,297 | 3,858 | |
Vale S.A. Class B Sponsored ADR | 147,100 | 2,333 |
Shares | Value | ||
Materials—continued | |||
Westrock Co.(2) | 415,017 | $ 17,231 | |
32,965 | |||
Real Estate—4.2% | |||
Crown Castle, Inc. | 41,500 | 4,781 | |
RPT Realty | 27,514 | 353 | |
Spirit Realty Capital, Inc. | 344,454 | 15,049 | |
20,183 | |||
Utilities—1.4% | |||
Origin Energy Ltd. | 1,190,131 | 6,869 | |
Total Common Stocks (Identified Cost $258,736) | 264,949 | ||
Rights—0.1% | |||
Financials—0.0% | |||
Pershing Tontine Spar, 12/31/33(6)(7) | 11,093 | 3 | |
Health Care—0.0% | |||
Akouos, Inc., 12/31/49(6) | 26,079 | 29 | |
Bristol Myers Squibb Co., 12/31/35(6)(7) | 169,085 | 241 | |
270 | |||
Materials—0.1% | |||
Pan American Silver Corp., 02/22/24(6) | 930,417 | 479 | |
Total Rights (Identified Cost $568) | 752 | ||
Warrants—0.1% | |||
Communication Services—0.0% | |||
Akazoo S.A., 12/31/35(6)(7) | 35,748 | — | |
BuzzFeed, Inc., 12/01/26(6) | 17,099 | 1 | |
1 | |||
Consumer Discretionary—0.1% | |||
Allurion Technologies, Inc., 07/31/29(6) | 13,340 | 6 | |
CEC Brands LLC, 12/31/25(6)(7) | 45,120 | 135 | |
ECARX Holdings, Inc., 12/21/27(6) | 27,750 | 1 | |
Evergreen Corp., 02/15/27(6) | 28,500 | 1 | |
Grove Collaborative Holdings, 03/13/26(6) | 20,136 | — (8) | |
Kaixin Auto Holdings, 04/30/24(6) | 48,712 | 2 | |
Zapp Electric Vehicles Group Ltd., 03/03/28(6) | 13,420 | — (8) | |
145 | |||
Consumer Staples—0.0% | |||
Whole Earth Brands, Inc., 06/25/25(6) | 7,431 | 1 | |
Financials—0.0% | |||
26 Capital Acquisition Corp., 12/31/27(6) | 25,800 | — | |
Achari Ventures Holdings Corp. I, 08/05/26(6) | 28,624 | — (8) | |
Airship AI Holdings, Inc., 12/31/28(6) | 256,226 | 15 | |
Alchemy Investments Acquisition Corp. 1, 06/26/28(6) | 17,935 | 3 | |
AltEnergy Acquisition Corp., 11/10/28(6) | 5,160 | — (8) | |
Ares Acquisition Corp. II, 06/12/28(6) | 32,327 | 5 |
Shares | Value | ||
Financials—continued | |||
Arogo Capital Acquisition Corp., 03/23/28(6) | 28,500 | $ 1 | |
Arrowroot Acquisition Corp., 03/02/26(6) | 60,113 | 5 | |
Cartesian Growth Corp II, 07/12/28(6) | 5,799 | 1 | |
Cetus Capital Acquisition Corp., 03/24/28(6) | 51,637 | 1 | |
Corner Growth Acquisition Corp., 12/31/27(6) | 20,673 | 1 | |
ESGEN Acquisition Corp., 10/20/26(6) | 5,942 | — (8) | |
EVe Mobility Acquisition Corp., 12/31/28(6) | 12,551 | — (8) | |
FTAC Emerald Acquisition Corp., 08/22/28(6) | 17,092 | 1 | |
GCM Grosvenor, Inc. Class A, 11/17/25(6) | 28,825 | 10 | |
Global Blockchain Acquisition Corp., 05/10/27(6) | 60,562 | 1 | |
Goal Acquisitions Corp., 02/11/26(6) | 272,843 | 1 | |
Haymaker Acquisition Corp. 4, 09/12/28(6) | 14,997 | 2 | |
Inflection Point Acquisition Corp. II, 07/17/28(6) | 14,919 | 1 | |
International Media Acquisition Corp., 12/31/28(6) | 18,227 | — (8) | |
Jaws Mustang Acquisition Corp., 01/30/26(6) | 23,996 | 1 | |
Keen Vision Acquisition Corp., 09/15/28(6) | 67,562 | 3 | |
Kensington Capital Acquisition Corp. V, 08/13/28(6) | 48,984 | 5 | |
LeddarTech Holdings, Inc., 09/21/28(6) | 58,973 | 5 | |
Nabors Energy Transition Corp. II, 09/05/28(6) | 20,650 | 3 | |
Newbury Street Acquisition Corp., 12/31/27(6) | 28,549 | 1 | |
Oak Woods Acquisition Corp., 05/17/28(6) | 62,481 | 2 | |
Phoenix Biotech Acquisition Corp., 09/01/26(6) | 5,078 | — (8) | |
Plum Acquisition Corp. I, 12/31/28(6) | 17,325 | 2 | |
Pono Capital Three, Inc., 04/03/28(6) | 84,194 | 8 | |
Pyrophyte Acquisition Corp., 05/03/28(6) | 6,863 | 1 | |
RMG Acquisition Corp. III, 12/31/27(6) | 20,895 | 1 | |
Screaming Eagle Acquisition Corp. Class A, 12/15/27(6) | 19,604 | 9 | |
Semper Paratus Acquisition Corp., 11/04/26(6) | 6,900 | — (8) | |
Slam Corp. Class A, 12/31/27(6) | 43,478 | 8 | |
Spring Valley Acquisition Corp. II, 02/25/26(6) | 3,247 | — (8) | |
Target Global Acquisition I Corp., 12/31/27(6) | 10,328 | 1 | |
Volato Group, Inc., 12/03/28(6) | 13,646 | 2 | |
XBP Europe Holdings, Inc., 12/31/27(6) | 14,261 | 1 | |
101 | |||
Health Care—0.0% | |||
Newamsterdam Pharma Co. N.V., 11/22/27(6) | 17,838 | 56 | |
Pear Therapeutics, Inc., 02/04/26(6) | 36,173 | — (8) | |
56 | |||
Industrials—0.0% | |||
Amprius Technologies, Inc., 03/02/27(6) | 27,068 | 11 | |
Bridger Aerospace Group Holdings, Inc., 12/31/27(6) | 27,000 | 6 | |
Freightos Ltd., 01/23/28(6) | 4,398 | — (8) | |
Getaround, Inc., 03/09/26(6) | 11,166 | — (8) | |
17 | |||
Information Technology—0.0% | |||
FOXO Technologies, Inc., 08/01/27(6) | 26,187 | — (8) | |
Movella Holdings, Inc., 12/31/27(6) | 11,102 | — (8) | |
Near Intelligence, Inc., 07/08/27(6) | 10,000 | — (8) | |
— (8) | |||
Materials—0.0% | |||
Ginkgo Bioworks Holdings, Inc., 12/31/27(6) | 11,400 | 1 | |
Total Warrants (Identified Cost $2,787) | 322 |
Shares/Units | Value | ||
Special Purpose Acquisition Companies—8.4% | |||
Aimfinity Investment Corp. I(6) | 14,637 | $ 160 | |
Alchemy Investments Acquisition Corp. 1(6) | 35,870 | 374 | |
Alpha Partners Technology Merger Corp. Class A(6) | 36,400 | 389 | |
Alpha Star Acquisition Corp.(6) | 77,897 | 872 | |
AltC Acquisition Corp. Class A(6) | 28,134 | 297 | |
Andretti Acquisition Corp. Class A(6) | 13,864 | 151 | |
AP Acquisition Corp. Class A(6) | 24,240 | 270 | |
Ares Acquisition Corp. II(6) | 223,483 | 2,333 | |
Arisz Acquisition Corp.(6) | 33,967 | 371 | |
Arrowroot Acquisition Corp. Class A(5)(6) | 44,532 | 467 | |
Bannix Acquisition Corp.(6) | 1,688 | 18 | |
Blue Ocean Acquisition Corp. Class A(6) | 17,159 | 185 | |
Blue World Acquisition Corp.(6) | 13,659 | 151 | |
Bowen Acquisition Corp.(6) | 27,563 | 284 | |
Bukit Jalil Global Acquisition 1 Ltd.(6) | 16,823 | 175 | |
Bukit Jalil Global Acquisition 1 Ltd.(6) | 13,190 | 138 | |
byNordic Acquisition Corp.(6) | 20,617 | 229 | |
Capitalworks Emerging Markets Acquisition Corp. Class A(6) | 21,250 | 233 | |
Cartica Acquisition Corp. Class A(6) | 30,613 | 334 | |
CF Acquisition Corp. VII Class A(6) | 102,691 | 1,114 | |
Chain Bridge I Class A(6) | 21,592 | 234 | |
Chenghe Acquisition Co. Class A(6) | 33,786 | 372 | |
Churchill Capital Corp. VII Class A(6) | 482,715 | 5,068 | |
Clean Energy Special Situations Corp.(6) | 54,751 | 575 | |
Colombier Acquisition Corp. II(6) | 24,894 | 251 | |
Concord Acquisition Corp. II Class A(6) | 136,589 | 1,418 | |
Crown PropTech Acquisitions Class A(6) | 108 | 1 | |
Direct Selling Acquisition Corp. Class A(6) | 17,638 | 192 | |
Distoken Acquisition Corp.(6) | 17,107 | 181 | |
DUET Acquisition Corp. Class A(6) | 20,404 | 224 | |
ESH Acquisition Corp.(6) | 34,175 | 3 | |
EVe Mobility Acquisition Corp. Class A(6) | 45,216 | 488 | |
Evergreen Corp. Class A(6) | 22,483 | 250 | |
ExcelFin Acquisition Corp. Class A(6) | 19,632 | 210 | |
Feutune Light Acquisition Corp. Class A(6) | 8,687 | 94 | |
Fintech Ecosystem Development Corp. Class A(6) | 16,876 | 181 | |
Focus Impact Acquisition Corp. Class A(6) | 33,274 | 364 | |
Fortune Rise Acquisition Corp.(6) | 130,088 | 1,424 | |
Global Partner Acquisition Corp. II Class A(6) | 509 | 6 | |
Golden Star Acquisition Corp.(6) | 24,428 | 255 | |
Golden Star Acquisition Corp.(6) | 19,932 | 3 | |
Gores Holdings IX, Inc. Class A(6) | 98,963 | 1,039 | |
Haymaker Acquisition Corp. 4(6) | 29,995 | 308 | |
HCM Acquisition Corp. Class A(6) | 33,834 | 378 | |
Hudson Acquisition I Corp.(6) | 14,887 | 157 | |
Inflection Point Acquisition Corp. II Class A(6) | 41,195 | 426 | |
Investcorp India Acquisition Corp. Class A(6) | 35,215 | 387 | |
Iron Horse Acquisitions Corp.(6) | 31,641 | 318 | |
Keen Vision Acquisition Corp.(6) | 67,562 | 698 | |
L Catterton Asia Acquisition Corp. Class A(6) | 105,509 | 1,137 | |
Learn CW Investment Corp. Class A(6) | 70,838 | 764 | |
Mars Acquisition Corp.(6) | 117,007 | 1,244 | |
Mountain & Co. I Acquisition Corp.(6) | 77,015 | 870 | |
Nabors Energy Transition Corp. II Class A(6) | 41,300 | 429 | |
Nubia Brand International Corp. Class A(6) | 35,345 | 386 | |
Oak Woods Acquisition Corp. Class A(6) | 24,485 | 258 | |
Patria Latin American Opportunity Acquisition Corp.(6) | 189,383 | 2,102 | |
Perception Capital Corp. III Class A(6) | 9,488 | 100 | |
Plum Acquisition Corp. I Class A(6) | 36,815 | 399 | |
Plutonian Acquisition Corp.(6) | 23,030 | 247 | |
Power & Digital Infrastructure Acquisition II Corp. Class A(6) | 1,620 | 18 |
Shares/Units | Value | ||
PowerUp Acquisition Corp. Class A(6) | 4,008 | $ 44 | |
Project Energy Reimagined Acquisition Corp.(6) | 28,219 | 299 | |
Quetta Acquisition Corp.(6) | 28,958 | 296 | |
RCF Acquisition Corp. Class A(6) | 48,404 | 531 | |
Redwoods Acquisition Corp.(6) | 21,658 | 231 | |
Rigel Resource Acquisition Corp. Class A(6) | 191,186 | 2,095 | |
Ross Acquisition Corp. II Class A(6) | 11,470 | 125 | |
Roth CH Acquisition Co.(6) | 25,207 | 274 | |
Semper Paratus Acquisition Corp. Class A(6) | 9,316 | 104 | |
Slam Corp. Class A(6) | 36,931 | 400 | |
Spark I Acquisition Corp.(6) | 57,694 | 587 | |
Spring Valley Acquisition Corp. II(6) | 6,495 | — (8) | |
TenX Keane Acquisition Class A(6) | 19,217 | 210 | |
TMT Acquisition Corp.(6) | 21,997 | 5 | |
TMT Acquisition Corp. Class A(6) | 30,067 | 316 | |
TortoiseEcofin Acquisition Corp. III Class A(6) | 160,714 | 1,707 | |
Tristar Acquisition I Corp. Class A(6) | 39,102 | 422 | |
Twelve Seas Investment Co. II Class A(6) | 27,514 | 291 | |
two Class A(6) | 4,351 | 46 | |
Viveon Health Acquisition Corp.(6) | 8,292 | 94 | |
Zalatoris Acquisition Corp.(6) | 26,388 | 281 | |
Total Special Purpose Acquisition Companies (Identified Cost $39,120) | 40,362 |
Shares | ||
Purchased Options—0.1% | ||
(See open purchased options schedule) | ||
Total Purchased Options (Premiums Paid $2,586) | 291 | |
Escrow Notes—2.0% | ||
Financials—2.0% | ||
Altaba, Inc. Escrow(6) | 3,887,713 | 9,505 |
Pershing Square Escrow(6)(7) | 44,373 | — |
9,505 | ||
Industrials—0.0% | ||
AMR Corp. Escrow(6) | 28,850 | 1 |
Total Escrow Notes (Identified Cost $6,690) | 9,506 | |
Total Long-Term Investments—93.8% (Identified Cost $445,534) | 449,975 | |
Short-Term Investments—6.2% | ||
Money Market Mutual Funds—6.2% | ||
Goldman Sachs Financial Square Funds - Treasury Instruments Fund - Standard Shares (seven-day effective yield 5.214%)(9) | 15,600,000 | 15,600 |
Goldman Sachs Financial Square Government Fund - Standard Shares (seven-day effective yield 5.244%)(9) | 14,025,695 | 14,026 |
Total Short-Term Investments (Identified Cost $29,626) | 29,626 | |
Shares | Value | ||
Securities Lending Collateral—0.2% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 5.250%)(9)(10) | 1,135,592 | $ 1,136 | |
Total Securities Lending Collateral (Identified Cost $1,136) | 1,136 | ||
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT AND WRITTEN OPTIONS—100.2% (Identified Cost $476,296) | 480,737 |
Securities Sold Short—(5.8)% |
Par Value | ||
U.S. Government Security—(0.1)% | ||
U.S. Treasury Notes 3.250%, 6/30/29 | $ (578) | (559) |
Total U.S. Government Security (Identified Proceeds $(588)) | (559) |
Shares | ||
Common Stocks—(5.7)% | ||
Energy—(5.3)% | ||
Chevron Corp. | (147,980) | (22,073) |
Exxon Mobil Corp. | (33,844) | (3,384) |
(25,457) | ||
Materials—(0.1)% | ||
Newmont Corp. | (8,100) | (335) |
Real Estate—(0.3)% | ||
Kimco Realty Corp. | (17,384) | (370) |
Realty Income Corp. | (20,753) | (1,192) |
(1,562) | ||
Total Common Stocks (Identified Proceeds $(26,487)) | (27,354) | |
Total Securities Sold Short (Identified Proceeds $(27,075)) | (27,913) | |
Written Options—(1.5)% | ||
(See open written options schedule) | ||
Total Written Options (Premiums Received $6,357) | (6,938) | |
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT AND WRITTEN OPTIONS—92.9% (Identified Cost $442,864) | $ 445,886 | |
Other assets and liabilities, net—7.1% | 33,842 | |
NET ASSETS—100.0% | $ 479,728 |
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 |
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 December 31, 2023, these securities amounted to a value of $81,769 or 17.0% 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 $91,013. |
(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 December 31, 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) | All or a portion of security is on loan. |
(6) | Non-income producing. |
(7) | 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. |
(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. |
(10) | 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 |
EUR | Euro |
GBP | United Kingdom Pound Sterling |
JPY | Japanese Yen |
USD | United States Dollar |
Country Weightings (Unaudited)† | |
United States | 83% |
Cayman Islands | 5 |
Virgin Islands (British) | 3 |
Australia | 2 |
Canada | 2 |
France | 1 |
Sweden | 1 |
Other | 3 |
Total | 100% |
†% of total investments, net of securities sold short and written options, as of December 31, 2023. |
Open purchased options contracts as of December 31, 2023 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Put Options(2) | |||||
Ball Corp. | 1,606 | $ 6,825 | $ 42.50 | 01/19/24 | $ — |
Ball Corp. | 291 | 1,164 | 40.00 | 01/19/24 | — |
Baxter International, Inc. | 2,103 | 6,835 | 32.50 | 01/19/24 | 4 |
BioMarin Pharmaceutical, Inc. | 826 | 6,608 | 80.00 | 01/19/24 | 4 |
Carrier Global Corp. | 868 | 3,906 | 45.00 | 01/19/24 | 4 |
Carrier Global Corp. | 877 | 4,166 | 47.50 | 01/19/24 | 7 |
Cerevel Therapeutics Holdings, Inc. | 186 | 651 | 35.00 | 12/20/24 | 15 |
Crown Castle, Inc. | 415 | 3,942 | 95.00 | 02/16/24 | 9 |
Endeavor Group Holdings, Inc. | 100 | 150 | 15.00 | 02/16/24 | 1 |
Endeavor Group Holdings, Inc. | 1,848 | 3,696 | 20.00 | 02/16/24 | 46 |
Fidelity National Information Services, Inc. | 1,372 | 6,860 | 50.00 | 01/19/24 | 10 |
Kenvue, Inc. | 1,601 | 2,802 | 17.50 | 02/16/24 | 14 |
Liberty Media Corp.-Liberty SiriusXM | 880 | 1,760 | 20.00 | 01/19/24 | — |
Phillips 66 | 378 | 4,158 | 110.00 | 01/19/24 | 2 |
Seagen, Inc. | 717 | 13,623 | 190.00 | 06/21/24 | — |
SPDR S&P 500® ETF Trust | 234 | 10,998 | 470.00 | 01/19/24 | 55 |
SPDR S&P Retail® ETF | 142 | 909 | 64.00 | 01/19/24 | 2 |
Teck Resources Ltd. | 852 | 2,726 | 32.00 | 01/19/24 | 6 |
Teck Resources Ltd. | 352 | 1,338 | 38.00 | 01/19/24 | 4 |
Thyssenkrupp AG | 3,225 | 2,096 | 6.50 | 01/19/24 | 103 |
United States Steel Corp. | 1,250 | 3,875 | 31.00 | 01/19/24 | 1 |
Vale S.A. | 1,409 | 1,832 | 13.00 | 01/19/24 | 4 |
Total Purchased Options | $291 | ||||
Footnote Legend: | |||||
(1) Strike price not reported in thousands. | |||||
(2) Unless otherwise noted, options are exchange-traded. |
Open written options contracts as of December 31, 2023 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Albertsons Cos., Inc. | (128) | $ (320) | $ 25.00 | 04/19/24 | $ (10) |
Ball Corp. | (202) | (1,010) | 50.00 | 01/19/24 | (154) |
Ball Corp. | (202) | (1,111) | 55.00 | 01/19/24 | (63) |
Ball Corp. | (291) | (1,310) | 45.00 | 01/19/24 | (371) |
BioMarin Pharmaceutical, Inc. | (826) | (7,021) | 85.00 | 01/19/24 | (991) |
Capri Holdings Ltd. | (699) | (4,019) | 57.50 | 01/19/24 | (1) |
Capri Holdings Ltd. | (1,179) | (5,895) | 50.00 | 01/19/24 | (103) |
Carrier Global Corp. | (868) | (4,340) | 50.00 | 01/19/24 | (716) |
Carrier Global Corp. | (877) | (4,604) | 52.50 | 01/19/24 | (473) |
Open written options contracts as of December 31, 2023 were as follows (continued): | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) (continued) | |||||
Cerevel Therapeutics Holdings, Inc. | (186) | $ (837) | $ 45.00 | 12/20/24 | $ (11) |
Crown Castle, Inc. | (415) | (4,358) | 105.00 | 02/16/24 | (498) |
Endeavor Group Holdings, Inc. | (350) | (875) | 25.00 | 01/19/24 | (7) |
Endeavor Group Holdings, Inc. | (1,848) | (4,158) | 22.50 | 02/16/24 | (360) |
Endeavor Group Holdings, Inc. | (249) | (647) | 26.00 | 02/16/24 | (7) |
Fidelity National Information Services, Inc. | (1,372) | (7,546) | 55.00 | 01/19/24 | (799) |
ImmunoGen, Inc. | (683) | (2,049) | 30.00 | 01/19/24 | (10) |
ImmunoGen, Inc. | (3) | (9) | 31.00 | 07/19/24 | (— ) (3) |
Karuna Therapeutics, Inc. | (26) | (832) | 320.00 | 01/19/24 | (1) |
Karuna Therapeutics, Inc. | (2) | (66) | 330.00 | 02/16/24 | (— ) (3) |
Kenvue, Inc. | (519) | (1,038) | 20.00 | 02/16/24 | (95) |
Kenvue, Inc. | (1,082) | (2,272) | 21.00 | 02/16/24 | (124) |
Liberty Media Corp.-Liberty SiriusXM | (880) | (2,200) | 25.00 | 01/19/24 | (352) |
Phillips 66 | (378) | (4,536) | 120.00 | 01/19/24 | (518) |
Sovos Brands, Inc. | (2,554) | (6,385) | 25.00 | 02/16/24 | (3) |
SPDR S&P 500® ETF Trust | (167) | (8,016) | 480.00 | 01/19/24 | (49) |
Splunk, Inc. | (84) | (1,302) | 155.00 | 02/16/24 | (1) |
Splunk, Inc. | (193) | (2,992) | 155.00 | 04/19/24 | (29) |
Teck Resources Ltd. | (190) | (760) | 40.00 | 01/19/24 | (57) |
Teck Resources Ltd. | (352) | (1,478) | 42.00 | 01/19/24 | (48) |
Teck Resources Ltd. | (230) | (874) | 38.00 | 02/16/24 | (114) |
Teck Resources Ltd. | (459) | (1,836) | 40.00 | 02/16/24 | (163) |
Thyssenkrupp AG | (4,118) | (2,924) | 7.10 | 01/19/24 | (9) |
Thyssenkrupp AG | (4,972) | (3,480) | 7.00 | 01/19/24 | (11) |
United States Steel Corp. | (469) | (2,298) | 49.00 | 01/19/24 | (23) |
United States Steel Corp. | (464) | (2,134) | 46.00 | 02/16/24 | (155) |
United States Steel Corp. | (781) | (3,749) | 48.00 | 02/16/24 | (125) |
Vale S.A. | (1,409) | (2,114) | 15.00 | 01/19/24 | (141) |
(6,592) | |||||
Put Options | |||||
Ball Corp. | (1,606) | (7,629) | 47.50 | 01/19/24 | (2) |
Baxter International, Inc. | (2,103) | (8,412) | 40.00 | 01/19/24 | (342) |
Endeavor Group Holdings, Inc. | (100) | (200) | 20.00 | 02/16/24 | (2) |
Seagen, Inc. | (717) | (10,397) | 145.00 | 06/21/24 | — |
SPDR S&P Retail® ETF | (39) | (199) | 51.00 | 01/19/24 | (—) (3) |
SPDR S&P Retail® ETF | (103) | (597) | 58.00 | 01/19/24 | (—) (3) |
(346) | |||||
Total Written Options | $(6,938) |
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 December 31, 2023 were as follows: | |||||||
Currency Purchased | Currency Amount Purchased | Currency Sold | Currency Amount Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized Depreciation |
USD | 5,057 | EUR | 4,600 | JPM | 01/16/24 | $— | $ (24) |
USD | 10,078 | EUR | 9,341 | GS | 01/22/24 | — | (245) |
USD | 5,779 | GBP | 4,543 | GS | 01/30/24 | — | (12) |
USD | 362 | EUR | 329 | JPM | 02/20/24 | — | (2) |
USD | 1,710 | EUR | 1,548 | JPM | 03/13/24 | — | (4) |
USD | 4,278 | AUD | 6,273 | GS | 03/19/24 | — | (7) |
USD | 1,210 | EUR | 1,095 | GS | 03/19/24 | — | (3) |
USD | 917 | EUR | 830 | JPM | 03/19/24 | — | (2) |
Forward foreign currency exchange contracts as of December 31, 2023 were as follows: | ||||||||
Currency Purchased | Currency Amount Purchased | Currency Sold | Currency Amount Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
USD | 1,719 | EUR | 1,569 | GS | 03/20/24 | $— | $ (19) | |
USD | 9,980 | JPY | 1,399,682 | GS | 03/27/24 | — | (86) | |
Total | $— | $ (404) |
Over-the-counter total return swaps outstanding as of December 31, 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 | 6.070% (0.750% + OBFR) | 1 Month | BAML | 01/30/24 | $ —(4) | $ 8 | $ 8 | $ — | |
Amedisys, Inc. | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 12/02/24 | 10,781 | 399 | 399 | — | |
BlackRock Floating Rate Income Strategies Fund, Inc. | Pay | 6.120% (0.800% + OBFR) | 3 Month | JPM | 03/25/24 | 431 | 31 | 31 | — | |
BlackRock Floating Rate Income Strategies Fund, Inc. | Pay | 6.120% (0.800% + OBFR) | 3 Month | JPM | 03/28/24 | 232 | 14 | 14 | — | |
BlackRock Floating Rate Income Strategies Fund, Inc. | Pay | 6.120% (0.800% + OBFR) | 3 Month | JPM | 04/08/24 | 207 | 10 | 10 | — | |
Bristol-Myers Squibb Co.(3),(5) | Pay | 6.070% (0.750% + OBFR) | 1 Month | BAML | 03/04/24 | — (4) | 36 | 36 | — | |
Brookfield Property Preferred LP | Pay | 6.070% (0.750% + OBFR) | 1 Month | BAML | 01/08/24 | 64 | (16) | — | (16) | |
Canna-Global Acquisition Corp. | Pay | 5.700% (0.380% + OBFR) | 3 Month | JPM | 01/13/25 | 95 | — (4) | — | — (4) | |
Capri Holdings Ltd. | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 11/12/24 | 4,624 | (94) | — | (94) | |
Chr. Hansen Holding A/S | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 02/19/24 | 1,148 | 168 | 168 | — | |
Chr. Hansen Holding A/S | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 08/05/24 | 48 | 9 | 9 | — | |
Chr. Hansen Holding A/S | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 08/12/24 | 1,079 | 205 | 205 | — | |
Chr. Hansen Holding A/S | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 08/13/24 | 467 | 84 | 84 | — | |
Chr. Hansen Holding A/S | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 08/14/24 | 575 | 89 | 89 | — | |
Chr. Hansen Holding A/S | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 08/19/24 | 127 | 16 | 16 | — | |
Covestro AG | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 10/11/24 | 1,413 | 45 | 45 | — | |
Dechra Pharmaceuticals plc | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 05/27/24 | 5,236 | 328 | 328 | — | |
Euronav N.V. | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 11/11/24 | 427 | (4) | — | (4) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 11/12/24 | 426 | (4) | — | (4) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 11/13/24 | 569 | (5) | — | (5) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 11/18/24 | 55 | — (4) | — | — (4) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 11/20/24 | 394 | (5) | — | (5) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 11/25/24 | 442 | (5) | — | (5) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 12/02/24 | 27 | — (4) | — | — (4) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 12/03/24 | 20 | — (4) | — | — (4) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 12/09/24 | 87 | (2) | — | (2) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 12/10/24 | 19 | — (4) | — | — (4) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 12/13/24 | 29 | (1) | — | (1) | |
Euronav N.V. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 12/16/24 | 1 | — (4) | — | — (4) | |
Fidelity National Information Services, Inc. | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 09/16/24 | 4,465 | 332 | 332 | — | |
Hess Corp. | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 12/20/24 | 3,612 | (16) | — | (16) | |
Invesco Dynamic | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 03/27/24 | 67 | (1) | — | (1) | |
Invesco Dynamic | Pay | 5.700% (0.380% + OBFR) | 3 Month | JPM | 01/30/24 | — (4) | 9 | 9 | — | |
Invesco Dynamic | Pay | 5.700% (0.380% + OBFR) | 3 Month | JPM | 04/30/24 | — (4) | 9 | 9 | — | |
Invesco Dynamic | Pay | 5.700% (0.380% + OBFR) | 3 Month | JPM | 02/03/25 | 231 | (1) | — | (1) | |
JSR Corp. | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 07/30/24 | 9,249 | (95) | — | (95) |
Over-the-counter total return swaps outstanding as of December 31, 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 | |||
Nuveen New York AMT-Free Quality Municipal Income Fund | Pay | 5.700% (0.380% + OBFR) | 3 Month | JPM | 11/25/24 | $ 789 | $ 104 | $ 104 | $ — | |||
RPT Realty | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 10/08/24 | 2,634 | 362 | 362 | — | |||
Saba Capital Income & Opportunities Fund | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 03/27/24 | 234 | (7) | — | (7) | |||
Saba Capital Income & Opportunities Fund | Pay | 5.700% (0.380% + OBFR) | 3 Month | JPM | 07/22/24 | 75 | 1 | 1 | — | |||
SLM Corp. | Pay | 5.700% (0.380% + OBFR) | 3 Month | JPM | 11/25/24 | 2,307 | 53 | 53 | — | |||
Thyssenkrupp AG | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 07/12/24 | 10,193 | (611) | — | (611) | |||
United States Steel Corp. | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 09/17/24 | 4,084 | 2,146 | 2,146 | — | |||
Vivendi SE | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 05/20/24 | 1,189 | (22) | — | (22) | |||
Vivendi SE | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 12/30/24 | 1,001 | 104 | 104 | — | |||
3,673 | 4,562 | (889) | ||||||||||
Short Total Return Swap Contracts | ||||||||||||
Brookfield Asset Management Ltd. | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 09/30/24 | (216) | (42) | — | (42) | |||
Chevron Corp. | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 12/06/24 | (23,144) | (356) | — | (356) | |||
Exxon Mobil Corp. | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 09/14/24 | (23,893) | 2,487 | 2,487 | — | |||
Exxon Mobil Corp. | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 09/16/24 | (8,303) | 672 | 672 | — | |||
Exxon Mobil Corp. | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 11/18/24 | (4,733) | (43) | — | (43) | |||
Kimco Realty Corp. | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 10/07/24 | (2,610) | (387) | — | (387) | |||
Novozymes A/S | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 02/19/24 | (1,232) | (90) | — | (90) | |||
Novozymes A/S | Receive | 4.820% ((0.500)% + OBFR) | 3 Month | JPM | 08/05/24 | (49) | (9) | — | (9) | |||
Novozymes A/S | Receive | 4.820% ((0.500)% + OBFR) | 3 Month | JPM | 08/12/24 | (1,103) | (185) | — | (185) | |||
Novozymes A/S | Receive | 4.820% ((0.500)% + OBFR) | 3 Month | JPM | 08/13/24 | (479) | (74) | — | (74) | |||
Novozymes A/S | Receive | 4.820% ((0.500)% + OBFR) | 3 Month | JPM | 08/14/24 | (589) | (79) | — | (79) | |||
Novozymes A/S | Receive | 4.820% ((0.500)% + OBFR) | 3 Month | JPM | 08/19/24 | (130) | (14) | — | (14) | |||
Pan American Silver Corp. | Receive | 4.920% ((0.400)% + OBFR) | 1 Month | BAML | 01/08/24 | (266) | 5 | 5 | — | |||
Pan American Silver Corp. | Receive | 4.720% ((0.600)% + OBFR) | 3 Month | JPM | 09/30/24 | (473) | (19) | — | (19) | |||
Realty Income Corp. | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 12/02/24 | (9,324) | (1,588) | — | (1,588) | |||
Realty Income Corp. | Receive | 4.720% ((0.600)% + OBFR) | 3 Month | JPM | 12/02/24 | (802) | (198) | — | (198) | |||
Realty Income Corp. | Receive | 4.720% ((0.600)% + OBFR) | 3 Month | JPM | 12/23/24 | (1,856) | (153) | — | (153) | |||
Smurfit Kappa Group plc | Receive | 5.050% ((0.270)% + OBFR) | 1 Month | GS | 10/14/24 | (14,824) | (1,590) | — | (1,590) | |||
(1,663) | 3,164 | (4,827) | ||||||||||
Total | $ 2,010 | $7,726 | $ (5,716) |
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 December 31, 2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Convertible Bonds and Notes | $ 8,674 | $ — | $ 8,674 | $ — | |||
Corporate Bonds and Notes | 99,706 | — | 99,706 | — | |||
Leveraged Loans | 5,177 | — | 5,177 | — | |||
Equity Securities: | |||||||
Closed-End Funds | 15,848 | 15,848 | — | — | |||
Preferred Stocks | 4,388 | 4,388 | — | — | |||
Common Stocks | 264,949 | 264,949 | — | — (1) | |||
Rights | 752 | 479 | 29 | 244 | |||
Warrants | 322 | 187 | — | 135 (1) | |||
Special Purpose Acquisition Companies | 40,362 | 39,068 | 1,294 | — | |||
Escrow Notes | 9,506 | — | 9,506 | — (1) | |||
Money Market Mutual Funds | 29,626 | 29,626 | — | — | |||
Securities Lending Collateral | 1,136 | 1,136 | — | — | |||
Other Financial Instruments: | |||||||
Purchased Options | 291 | 174 | 117 | — | |||
Over-the-Counter Total Return Swaps* | 7,726 | — | 7,682 | 44 | |||
Total Assets | 488,463 | 355,855 | 132,185 | 423 | |||
Liabilities: | |||||||
Securities Sold Short: | |||||||
Common Stocks | (27,354) | (27,354) | — | — | |||
U.S. Government Security | (559) | — | (559) | — | |||
Other Financial Instruments: | |||||||
Written Options | (6,938) | (2,566) | (4,372) | — | |||
Forward Foreign Currency Exchange Contracts* | (404) | — | (404) | — | |||
Over-the-Counter Total Return Swaps* | (5,716) | — | (5,716) | — | |||
Total Liabilities | (40,971) | (29,920) | (11,051) | — | |||
Total Investments, Net of Securities Sold Short and Written Options | $447,492 | $325,935 | $121,134 | $423 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
* | Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument by level and counterparty. |
December 31, 2023
The Merger Fund | Westchester Credit Event Fund | Westchester Event-Driven Fund | |||
Assets | |||||
Investment in securities at value(1)(2) | $ 2,430,962 | $ 73,923 | $ 480,737 | ||
Investment in affiliates at value(3) | 277,651 | — | — | ||
Foreign currency at value(4) | 65 | 11 | 42 | ||
Cash | 71,430 | 667 | 6,199 | ||
Due from broker for swap contracts | 21 | — (a) | 30 | ||
Cash pledged as collateral for derivatives and securities sold short | 147,035 | 422 | 33,668 | ||
Over-the-counter swaps at value | 34,470 | 9 | 7,726 | ||
Receivables | |||||
Investment securities sold | 2,942 | 4 | 13 | ||
Fund shares sold | 2,284 | 15 | 1,055 | ||
Dividends and interest | 5,854 | 723 | 2,389 | ||
Tax reclaims | 1,052 | — | 61 | ||
Securities lending income | 8 | — (a) | 2 | ||
Prepaid expenses | 29 | 35 | 118 | ||
Other assets | 86 | 2 | 14 | ||
Total assets | 2,973,889 | 75,811 | 532,054 | ||
Liabilities | |||||
Written options at value(5) | 7,352 | — | 6,938 | ||
Securities sold short at value(6) | 71,124 | 385 | 27,913 | ||
Over-the-counter swaps at value | 28,499 | 8 | 5,716 | ||
Unrealized depreciation on forward foreign currency exchange contracts | 923 | 17 | 404 | ||
Payables | |||||
Fund shares repurchased | 3,482 | 45 | 86 | ||
Investment securities purchased | 32,834 | 1,248 | 9,455 | ||
Collateral on securities loaned | 6,272 | — | 1,136 | ||
Investment advisory fees | 2,093 | 56 | 442 | ||
Distribution and service fees | 117 | 1 | 1 | ||
Administration and accounting fees | 242 | 7 | 42 | ||
Transfer agent and sub-transfer agent fees and expenses | 630 | 15 | 115 | ||
Professional fees | 150 | 46 | 61 | ||
Trustee deferred compensation plan | 86 | 2 | 14 | ||
Interest expense and/or commitment fees | 6 | — (a) | 3 | ||
Other accrued expenses | 71 | 1 | — | ||
Total liabilities | 153,881 | 1,831 | 52,326 | ||
Net Assets | $ 2,820,008 | $ 73,980 | $ 479,728 | ||
Net Assets Consist of: | |||||
Capital paid in on shares of beneficial interest | $ 2,800,277 | $ 74,658 | $ 480,312 | ||
Accumulated earnings (loss) | 19,731 | (678) | (584) | ||
Net Assets | $ 2,820,008 | $ 73,980 | $ 479,728 | ||
Net Assets: | |||||
Class A | $ 550,230 | $ 2,910 | $ 4,077 | ||
Class I | $ 2,269,778 | $ 71,070 | $ 475,651 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 32,098,166 | 259,487 | 375,748 | ||
Class I | 133,855,289 | 6,483,736 | 44,502,706 | ||
Net Asset Value and Redemption Price Per Share:(b) | |||||
Class A | $ 17.14 | $ 11.21 | $ 10.85 | ||
Class I | $ 16.96 | $ 10.96 | $ 10.69 |
The Merger Fund | Westchester Credit Event Fund | Westchester Event-Driven Fund | |||
Maximum Offering Price Per Share (NAV/(1-5.50%)): | |||||
Class A | $ 18.14 | $ 11.86 | $ 11.48 | ||
Maximum Sales Charge - Class A | 5.50% | 5.50% | 5.50% | ||
(1) Investment in securities at cost | $ 2,379,755 | $ 73,626 | $ 476,296 | ||
(2) Market value of securities on loan | $ 3,827 | $ — | $ 1,110 | ||
(3) Investment in affiliates at cost | $ 267,400 | $ — | $ — | ||
(4) Foreign currency at cost | $ 65 | $ 11 | $ 42 | ||
(5) Written options premiums received | $ 8,415 | $ — | $ 6,357 | ||
(6) Securities sold short proceeds | $ 69,322 | $ 405 | $ 27,075 |
(a) | Amount is less than $500 (not in thousands). |
(b) | Net Asset Value Per Share is calculated using unrounded net assets. |
December 31, 2023
The Merger Fund | Westchester Credit Event Fund | Westchester Event-Driven Fund | |||
Investment Income | |||||
Dividends | $ 35,328 | $ 490 | $ 4,117 | ||
Dividends from affiliates | 1,970 | — | — | ||
Interest | 17,982 | 3,058 | 7,991 | ||
Securities lending, net of fees | 107 | 1 | 11 | ||
Foreign taxes withheld | (281) | — | (83) | ||
Total investment income | 55,106 | 3,549 | 12,036 | ||
Expenses | |||||
Investment advisory fees | 34,325 | 657 | 4,886 | ||
Distribution and service fees, Class A | 1,594 | 6 | 40 | ||
Administration and accounting fees | 3,496 | 75 | 417 | ||
Transfer agent fees and expenses | 1,520 | 29 | 170 | ||
Sub-transfer agent fees and expenses, Class A | 892 | 4 | 23 | ||
Sub-transfer agent fees and expenses, Class I | 2,511 | 51 | 495 | ||
Custodian fees | 9 | 1 | 4 | ||
Printing fees and expenses | 139 | 3 | 18 | ||
Professional fees | 282 | 51 | 77 | ||
Interest expense and/or commitment fees | 29 | 1 | 8 | ||
Registration fees | 86 | 34 | 46 | ||
Trustees’ fees and expenses | 308 | 5 | 30 | ||
Miscellaneous expenses | 502 | 23 | 68 | ||
Total expenses | 45,693 | 940 | 6,282 | ||
Dividend and interest expense on securities sold short | 1,191 | 12 | 154 | ||
Total expenses, including dividend and interest expense on securities sold short | 46,884 | 952 | 6,436 | ||
Less net expenses reimbursed and/or waived by investment adviser(1) | (3,651) | — | (274) | ||
Less low balance account fees | — (2) | — | — | ||
Plus net expenses recaptured(1) | — | 45 | — | ||
Net expenses | 43,233 | 997 | 6,162 | ||
Net investment income (loss) | 11,873 | 2,552 | 5,874 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | 133,876 | (413) | 4,155 | ||
Investments in affiliates | 2,726 | — | — | ||
Securities sold short | (21,758) | — (2) | (827) | ||
Foreign currency transactions | (370) | (2) | (26) | ||
Forward foreign currency exchange contracts | 3,089 | 29 | 543 | ||
Written options | (8,295) | — | 6,455 | ||
Swaps | (41,197) | (44) | (7,689) | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | 36,653 | 3,668 | 13,474 | ||
Investments in affiliates | 10,251 | — | — | ||
Securities sold short | (2,611) | (5) | (982) | ||
Foreign currency transactions | 36 | — (2) | 4 | ||
Forward foreign currency exchange contracts | (597) | (17) | (274) | ||
Written options | (2,027) | — | (66) | ||
Swaps | 4,048 | 235 | 4,692 | ||
Net realized and unrealized gain (loss) on investments | 113,824 | 3,451 | 19,459 |
The Merger Fund | Westchester Credit Event Fund | Westchester Event-Driven Fund | |||
Net increase (decrease) in net assets resulting from operations | $125,697 | $6,003 | $25,333 |
(1) | See Notes 4C and 4D in the Notes to Financial Statements. |
(2) | Amount is less than $500 (not in thousands). |
The Merger Fund | Westchester Credit Event Fund | ||||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2023 | Year Ended December 31, 2022 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 11,873 | $ 6,815 | $ 2,552 | $ 1,478 | |||
Net realized gain (loss) | 68,071 | 251,178 | (430) | (133) | |||
Net change in unrealized appreciation (depreciation) | 45,753 | (217,598) | 3,881 | (3,541) | |||
Increase (decrease) in net assets resulting from operations | 125,697 | 40,395 | 6,003 | (2,196) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (14,025) | (25,339) | (116) | (3) | |||
Class I | (65,375) | (164,411) | (2,984) | (1,380) | |||
Total dividends and distributions to shareholders | (79,400) | (189,750) | (3,100) | (1,383) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (195,636) | (93,584) | 1,507 | 754 | |||
Class I | (1,298,061) | 240,443 | 12,971 | 40,521 | |||
Increase (decrease) in net assets from capital transactions | (1,493,697) | 146,859 | 14,478 | 41,275 | |||
Net increase (decrease) in net assets | (1,447,400) | (2,496) | 17,381 | 37,696 | |||
Net Assets | |||||||
Beginning of period | 4,267,408 | 4,269,904 | 56,599 | 18,903 | |||
End of Period | $ 2,820,008 | $ 4,267,408 | $ 73,980 | $ 56,599 |
Westchester Event-Driven Fund | |||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $ 5,874 | $ 4,271 | |
Net realized gain (loss) | 2,611 | 2,675 | |
Net change in unrealized appreciation (depreciation) | 16,848 | (17,358) | |
Increase (decrease) in net assets resulting from operations | 25,333 | (10,412) | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class I | (11,500) | (650) | |
Total dividends and distributions to shareholders | (11,500) | (650) | |
Change in Net Assets from Capital Transactions (See Note 6): | |||
Class A | (15,732) | (17,480) | |
Class I | 151,920 | 26,542 | |
Increase (decrease) in net assets from capital transactions | 136,188 | 9,062 | |
Net increase (decrease) in net assets | 150,021 | (2,000) | |
Net Assets | |||
Beginning of period | 329,707 | 331,707 | |
End of Period | $ 479,728 | $ 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) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3) | Ratio of Gross Expenses to Average Net Assets(3) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | ||
The Merger Fund | ||||||||||||||||
Class A | ||||||||||||||||
1/1/23 to 12/31/23 | $16.88 | 0.02 | 0.68 | 0.70 | (0.44) | — | (0.44) | 0.26 | $17.14 | 4.18 % | $ 550,230 | 1.50 % (4) | 1.61 % | 0.12 % | 218 % | |
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 (4) | 1.59 | (0.14) | 196 | |
1/1/21 to 12/31/21 | 17.43 | (0.10) (5) | 0.07 | (0.03) | — (6) | (0.05) | (0.05) | (0.08) | 17.35 | (0.19) | 851,000 | 1.54 (4) | 1.61 | (0.59) | 162 | |
1/1/20 to 12/31/20 | 17.17 | (0.04) (5) | 0.88 | 0.84 | (0.13) | (0.45) | (0.58) | 0.26 | 17.43 | 4.87 | 920,000 | 1.49 (4) | 1.51 | (0.22) | 188 | |
1/1/19 to 12/31/19 | 16.42 | 0.09 (5) | 0.89 | 0.98 | (0.05) | (0.18) | (0.23) | 0.75 | 17.17 | 5.96 | 1,031,000 | 2.01 (4)(7) | 2.03 (7) | 0.52 | 167 | |
Class I | ||||||||||||||||
1/1/23 to 12/31/23 | $16.70 | 0.07 | 0.68 | 0.75 | (0.49) | — | (0.49) | 0.26 | $16.96 | 4.51 % | $2,269,778 | 1.21 % (8) | 1.31 % | 0.40 % | 218 % | |
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 (8) | 1.32 | 0.22 | 196 | |
1/1/21 to 12/31/21 | 17.35 | (0.05) (9) | 0.07 | 0.02 | — (6) | (0.05) | (0.05) | (0.03) | 17.32 | 0.10 | 3,419,099 | 1.25 (8) | 1.31 | (0.30) | 162 | |
1/1/20 to 12/31/20 | 17.10 | 0.01 (9) | 0.87 | 0.88 | (0.18) | (0.45) | (0.63) | 0.25 | 17.35 | 5.15 | 2,709,370 | 1.20 (8) | 1.22 | 0.07 | 188 | |
1/1/19 to 12/31/19 | 16.30 | 0.14 (9) | 0.89 | 1.03 | (0.05) | (0.18) | (0.23) | 0.80 | 17.10 | 6.32 | 2,161,001 | 1.72 (7)(8) | 1.74 (7) | 0.81 | 167 | |
Westchester Credit Event Fund | ||||||||||||||||
Class A | ||||||||||||||||
1/1/23 to 12/31/23 | $10.69 | 0.43 | 0.55 | 0.98 | (0.46) | — | (0.46) | 0.52 | $11.21 | 9.22 % | $ 2,910 | 1.74 % (10)(11) | 1.79 % | 3.82 % | 182 % | |
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 (11)(12)(13) | 1.78 | 1.89 | 151 | |
1/1/21 to 12/31/21 | 11.99 | (0.02) (14) | 0.90 | 0.88 | (0.29) | (1.27) | (1.56) | (0.68) | 11.31 | 7.36 | 870 | 2.21 (11) | 2.88 | (0.19) | 198 | |
1/1/20 to 12/31/20 | 10.43 | — (6)(14) | 1.67 | 1.67 | (0.03) | (0.08) | (0.11) | 1.56 | 11.99 | 15.99 (15) | 78 | 4.20 (11) | 5.69 | 0.01 | 208 | |
1/1/19 to 12/31/19 | 9.54 | 0.19 (14) | 1.01 | 1.20 | (0.27) | (0.04) | (0.31) | 0.89 | 10.43 | 12.60 | 463 | 2.13 (11) | 5.63 | 1.77 | 106 | |
Class I | ||||||||||||||||
1/1/23 to 12/31/23 | $10.44 | 0.43 | 0.57 | 1.00 | (0.48) | — | (0.48) | 0.52 | $10.96 | 9.56 % | $ 71,070 | 1.51 % (10)(16)(17) | 1.44 % | 3.89 % | 182 % | |
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 (13)(17) | 1.52 | 3.05 | 151 | |
1/1/21 to 12/31/21 | 11.91 | 0.01 (18) | 0.89 | 0.90 | (0.29) | (1.27) | (1.56) | (0.66) | 11.25 | 7.57 | 18,033 | 1.96 (17) | 2.63 | 0.06 | 198 | |
1/1/20 to 12/31/20 | 10.46 | 0.03 (18) | 1.63 | 1.66 | (0.13) | (0.08) | (0.21) | 1.45 | 11.91 | 15.99 (15) | 9,824 | 3.95 (17) | 5.44 | 0.26 | 208 | |
1/1/19 to 12/31/19 | 9.55 | 0.21 (18) | 1.02 | 1.23 | (0.28) | (0.04) | (0.32) | 0.91 | 10.46 | 12.87 | 4,698 | 1.88 (17) | 5.38 | 2.02 | 106 | |
Westchester Event-Driven Fund | ||||||||||||||||
Class A | ||||||||||||||||
1/1/23 to 12/31/23 | $10.28 | 0.11 | 0.46 | 0.57 | — | — | — | 0.57 | $10.85 | 5.54 % | $ 4,077 | 1.80 % (10)(19) | 1.87 % | 1.07 % | 295 % | |
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 (19) | 1.96 | 0.66 | 194 | |
1/1/21 to 12/31/21 | 11.30 | (0.05) (20) | 0.23 | 0.18 | (0.55) | (0.33) | (0.88) | (0.70) | 10.60 | 1.57 | 37,426 | 1.94 (10)(19) | 1.96 | (0.42) | 237 | |
1/1/20 to 12/31/20 | 10.97 | (0.01) (20) | 0.70 | 0.69 | (0.10) | (0.26) | (0.36) | 0.33 | 11.30 | 6.30 | 23,298 | 1.99 (19) | 1.99 | (0.11) | 320 | |
1/1/19 to 12/31/19 | 10.12 | 0.03 (20) | 1.05 | 1.08 | (0.15) | (0.08) | (0.23) | 0.85 | 10.97 | 10.73 | 19,352 | 2.35 (19)(21) | 2.35 (21) | 0.27 | 238 | |
Class I | ||||||||||||||||
1/1/23 to 12/31/23 | $10.35 | 0.16 | 0.45 | 0.61 | (0.27) | — | (0.27) | 0.34 | $10.69 | 5.86 % | $ 475,651 | 1.53 % (10)(22) | 1.59 % | 1.48 % | 295 % | |
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 (22) | 1.71 | 1.27 | 194 | |
1/1/21 to 12/31/21 | 11.37 | (0.02) (23) | 0.22 | 0.20 | (0.57) | (0.33) | (0.90) | (0.70) | 10.67 | 1.75 | 294,281 | 1.69 (10)(22) | 1.71 | (0.17) | 237 | |
1/1/20 to 12/31/20 | 11.01 | 0.01 (23) | 0.71 | 0.72 | (0.10) | (0.26) | (0.36) | 0.36 | 11.37 | 6.55 | 236,865 | 1.74 (22) | 1.74 | 0.14 | 320 | |
1/1/19 to 12/31/19 | 10.14 | 0.06 (23) | 1.06 | 1.12 | (0.17) | (0.08) | (0.25) | 0.87 | 11.01 | 11.13 | 199,251 | 2.10��� (21)(22) | 2.10 (21) | 0.52 | 238 |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | 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). |
(3) | 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. |
(4) | Ratios of net expenses excluding dividend and interest expense on securities sold short to average net assets for the years ended December 31, 2023, 2022, 2021, 2020 and 2019 were 1.46%, 1.46%, 1.46%, 1.47%, and 1.48%*, respectively. *The amount for the year ended December 31, 2019 excludes 0.10% of legal expenses related to the settlement of an appraisal right. |
(5) | 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 and 2019 was $(0.09), $(0.04) and $0.18, respectively. |
(6) | Amount is less than $0.005 per share. |
(7) | The amount for the year ended December 31, 2019 includes 0.10% of legal expenses related to the settlement of an appraisal right. |
(8) | Ratios of net expenses excluding dividend and interest expense on securities sold short to average net assets for the years ended December 31, 2023, 2022, 2021, 2020 and 2019 were 1.17%, 1.17%, 1.17%, 1.18%, and 1.19%*, respectively. *The amount for the year ended December 31, 2019 excludes 0.10% of legal expenses related to the settlement of an appraisal right. |
(9) | 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 and 2019 was $(0.04), $0.02 and $0.22, respectively. |
(10) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(11) | Ratio of net expenses excluding dividend and interest expense on securities sold short to average net assets was for the year ended December 31, 2023 and 2022 was 1.72% and 1.89%, respectively. |
(12) | See Notes 4C and 4D in the Notes to Financial Statements. |
(13) | The share class is currently under its expense limitation. |
(14) | 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 and 2019 was $0.02, $0.23 and $0.21, respectively. |
(15) | 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. |
(16) | See Note 4D in the Notes to Financial Statements for information on recapture of expenses previously reimbursed. |
(17) | Ratio of net expenses excluding dividend and interest expense on securities sold short to average net assets was for the year ended December 31, 2023 and 2022 was 1.49% and 1.64%, respectively. |
(18) | 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, and 2019 was $0.05, $0.26 and $0.23, respectively. |
(19) | Ratios of net expenses excluding dividend and interest expense on securities sold short to average net assets for the years ended December 31, 2023, 2022, 2021, 2020 and 2019 were 1.75%, 1.80%, 1.79%, 1.82%, and 1.86%*, respectively. *The amount for the year ended December 31, 2019 excludes 0.03% of legal expenses related to the settlement of an appraisal right. |
(20) | 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 and 2019 was $(0.03), $0.01 and $0.08, respectively. |
(21) | The amount for the year ended December 31, 2019 includes 0.03% of legal expenses related to the settlement of an appraisal right. |
(22) | Ratios of net expenses excluding dividend and interest expense on securities sold short to average net assets for the years ended December 31, 2023, 2022, 2021, 2020 and 2019 were 1.49%, 1.55%, 1.54%, 1.57%, and 1.61%*, respectively. *The amount for the year ended December 31, 2019 excludes 0.03% of legal expenses related to the settlement of an appraisal right. |
(23) | 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 and 2019 was $0.00, $0.03 and $0.11, respectively. |
December 31, 2023
A. | Security Valuation |
The Funds’ Board of Trustees has 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. |
• | Level 1 – | quoted prices in active markets for identical securities (security types generally include listed equities). | |
• | Level 2 – | prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). | |
• | Level 3 – | prices determined using significant unobservable inputs (including the investment adviser’s Valuation Committee’s own assumptions in determining the fair value of investments). |
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 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. 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 year ended December 31, 2023, the Funds 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. | |
At December 31, 2023, the securities loaned were subject to a MSLA on a net payment basis as follows: |
Fund | Value of Securities on Loan | Cash Collateral Received(1) | Net Amount(2) | ||||
The Merger Fund | $ 3,827 | $ 3,827 | $ — | ||||
Westchester Event-Driven Fund | 1,110 | 1,110 | — |
(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 | $6,272 | |||
Westchester Event-Driven Fund | Money Market Mutual Fund | 1,136 |
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 year ended December 31, 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 year ended December 31, 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 year ended December 31, 2023, each Fund utilized total return swaps to gain exposure to broad markets or to hedge the risk of individual securities within the portfolios and to obtain long or short exposure to the underlying reference instrument. At December 31, 2023, the Funds did not hold swap baskets. |
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 | $ 910 | $ — | $ 291 | |
Over-the-counter swaps at value(2) | Equity contracts | 34,470 | 9 | 7,726 | |
Total Assets | $ 35,380 | $ 9 | $ 8,017 | ||
Liability Derivatives | |||||
Over-the-counter swaps at value(2) | Equity contracts | $(28,499) | $ (8) | $ (5,716) | |
Written options at value | Equity contracts | (7,352) | — | (6,938) | |
Unrealized depreciation on forward foreign currency exchange contracts | Foreign currency contracts | (923) | (17) | (404) | |
Total Liabilities | $(36,774) | $ (25) | $ (13,058) |
(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 December 31, 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 | $(12,801) | $ — | $ (4,310) | ||
Written options | Equity contracts | (8,295) | — | 6,455 | ||
Forward foreign currency exchange contracts | Foreign currency contracts | 3,089 | 29 | 543 | ||
Swaps | Equity contracts | (41,197) | (44) | (7,689) | ||
Total | $(59,204) | $ (15) | $ (5,001) | |||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||
Purchased options(2) | Equity contracts | $(4,150) | $ — | $ (1,784) | ||
Written options | Equity contracts | (2,027) | — | (66) | ||
Forward foreign currency exchange contracts | Foreign currency contracts | (597) | (17) | (274) | ||
Swaps | Equity contracts | 4,048 | 235 | 4,692 | ||
Total | $(2,726) | $ 218 | $ 2,568 |
(1) Amount included in Net realized gain (loss) on investments. |
(2) Amount included in Net change in unrealized appreciation (depreciation) on investments. |
The Merger Fund | Westchester Credit Event Fund | Westchester Event-Driven Fund | |||
Purchased Options(1) | $ 5,288 | $ — | $ 1,777 | ||
Written Options(1) | 13,535 | — | 5,774 | ||
Forward Foreign Currency Exchange Purchase Contracts(2) | 220,437 | 2,761 | 38,803 | ||
Forward Foreign Currency Exchange Sale Contracts(2) | 22,343 | — | 2,773 |
The Merger Fund | Westchester Credit Event Fund | Westchester Event-Driven Fund | |||
Long Total Return Swap Contracts(2) | $181,620 | $5,692 | $70,682 | ||
Short Total Return Swap Contracts(2) | 223,791 | — | 31,320 |
(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 December 31, 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 | $ — | $ 923 | $— | $17 | $ — | $ 404 | |||||||||||
OTC swaps | 34,470 | 28,499 | 9 | 8 | 7,726 | 5,716 | |||||||||||
Purchased options | 910 | — | — | — | 291 | — | |||||||||||
Written options | — | 7,352 | — | — | — | 6,938 | |||||||||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | $35,380 | $ 36,774 | $ 9 | $25 | $8,017 | $ 13,058 | |||||||||||
Derivatives not subject to a MNA or similar agreement | (910) | (7,352) | — | — | (291) | (6,938) | |||||||||||
Total assets and liabilities subject to a MNA | $34,470 | $ 29,422 | $ 9 | $25 | $7,726 | $ 6,120 |
The Merger Fund | ||||||||||
Counterparty | Gross Derivative Assets Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Received(1) | Cash Collateral Received(1) | Net Amount of Derivative Assets(1) | |||||
Bank Of America Merrill Lynch | $ 516 | $ (211) | $ — | $ — | $ 305 | |||||
Goldman Sachs & Co | 32,170 | (25,261) | — | — | 6,909 | |||||
JPMorgan Chase Bank N.A. | 1,784 | (1,784) | — | — | — | |||||
Total | $ 34,470 | $ (27,256) | $ — | $ — | $ 7,214 | |||||
Counterparty | Gross Derivative Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged(1) | Cash Collateral Pledged(1) | Net Amount of Derivative Liabilities(1) | |||||
Bank of America Merrill Lynch | $ 211 | $ (211) | $ — | $ — | $ — | |||||
Goldman Sachs & Co | 25,261 | (25,261) | — | — | — | |||||
JPMorgan Chase Bank N.A. | 3,950 | (1,784) | — | (2,166) | — | |||||
Total | $ 29,422 | $ (27,256) | $ — | $ (2,166) | $ — |
Westchester Credit Event Fund | ||||||||||
Counterparty | Gross Derivative Assets Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Received(1) | Cash Collateral Received(1) | Net Amount of Derivative Assets(1) | |||||
Goldman Sachs & Co. | $ 2 | $ (2) | $ — | $ — | $ — | |||||
JPMorgan Chase Bank N.A. | 7 | — | — | — | 7 | |||||
Total | $ 9 | $ (2) | $ — | $ — | $ 7 | |||||
Counterparty | Gross Derivative Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged(1) | Cash Collateral Pledged(1) | Net Amount of Derivative Liabilities(1) | |||||
Goldman Sachs & Co. | $ 8 | $ (2) | $ — | $ (6) | $ — | |||||
Total | $ 8 | $ (2) | $ — | $ (6) | $ — |
Westchester Event-Driven Fund | ||||||||||
Counterparty | Gross Derivative Assets Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Received(1) | Cash Collateral Received(1) | Net Amount of Derivative Assets(1) | |||||
Bank Of America Merrill Lynch | $ 49 | $ (16) | $ — | $ — | $ 33 | |||||
Goldman Sachs & Co | 6,939 | (5,318) | — | — | 1,621 | |||||
JPMorgan Chase Bank N.A. | 738 | (738) | — | — | — | |||||
Total | $ 7,726 | $ (6,072) | $ — | $ — | $ 1,654 | |||||
Counterparty | Gross Derivative Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged(1) | Cash Collateral Pledged(1) | Net Amount of Derivative Liabilities(1) | |||||
Bank of America Merrill Lynch | $ 16 | $ (16) | $ — | $ — | $ — | |||||
Goldman Sachs & Co | 5,318 | (5,318) | — | — | — | |||||
JPMorgan Chase Bank N.A. | 786 | (738) | — | (48) | — | |||||
Total | $ 6,120 | $ (6,072) | $ — | $ (48) | $ — |
(1) | These amounts are limited to the derivatives asset/liability balance and, accordingly, do not include excess collateral received/pledged. |
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”), an indirect wholly-owned subsidiary of Virtus, 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, for The Merger Fund and through April 30, 2025, for the Westchester Credit Event Fund and Westchester Event-Driven Fund. 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 year ending December 31: |
Expiration | |||||||||
Fund | 2024 | 2025 | 2026 | Total | |||||
The Merger Fund | |||||||||
Class A | $ 236 | $ 380 | $ 513 | $ 1,129 | |||||
Class I | 851 | 2,576 | 1,953 | 5,380 |
Expiration | |||||||||
Fund | 2024 | 2025 | 2026 | Total | |||||
Westchester Credit Event Fund | |||||||||
Class A | $ 3 | $ 1 | $ 1 | $ 5 | |||||
Class I | 38 | 8 | 7 | 53 | |||||
Westchester Event-Driven Fund | |||||||||
Class A | 2 | 21 | 11 | 34 | |||||
Class I | — | 304 | 263 | 567 |
Fund | Class A | Class I | Total | ||||
Westchester Credit Event Fund | $1 | $52 | $53 |
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 year ended December 31, 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 year ended December 31, 2023, The Merger Fund, Westchester Credit Event Fund, and Westchester Event-Driven Fund incurred administration fees totaling $3,246, $379, and $62, 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 years ended December 31, 2023, The Merger Fund, Westchester Credit Event Fund, and Westchester Event-Driven Fund incurred transfer agent fees totaling $1,453, $170, and $28, 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 year ended December 31, 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. |
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—6.9% | |||||||||||||||||
Alpha Partners Technology Merger Corp.(2),(3) | $ 6,716 | $ 4,836 | $ — | $ — | $ 715 | $ 12,267 | 1,146,417 | $ — | $— | ||||||||
Alpha Star Acquisition Corp.(2),(3) | 2,220 | 5,377 | — | — | 351 | 7,948 | 710,257 | — | — | ||||||||
Arisz Acquisition Corp.(2),(3) | — | 3,574 | — | — | 127 | 3,701 | 339,292 | — | — | ||||||||
Arrowroot Acquisition Corp.(2),(3) | 5,784 | — | 2,342 | 101 | 76 | 3,619 | 345,322 | — | — | ||||||||
Churchill Capital Corp. VII(2),(3) | 19,449 | 60,508 | 46,298 | 825 | 151 | 34,635 | 3,298,554 | — | — | ||||||||
Concord Acquisition Corp. II(2),(3) | 6,593 | 15,321 | 11,314 | 454 | 24 | 11,078 | 1,067,227 | — | — | ||||||||
Constellation Acquisition Corp. I(2),(3) | 8,031 | — | 4,201 | 37 | 345 | 4,212 | 381,194 | — | — | ||||||||
Hennessy Capital Investment Corp. VI(2),(3) | 4,521 | 29,678 | 15,298 | 416 | 55 | 19,372 | 1,857,295 | — | — | ||||||||
Integrated Wellness Acquisition Corp.(2),(3) | — | 4,389 | — | — | 358 | 4,747 | 423,090 | — | — | ||||||||
Investcorp India Acquisition Corp.(2),(3) | 3,365 | 8,068 | 4,708 | 179 | 322 | 7,226 | 657,507 | — | — | ||||||||
Learn CW Investment Corp.(2),(3) | — | 8,385 | — | — | 431 | 8,816 | 817,802 | — | — | ||||||||
Mountain & Co. I Acquisition Corp.(2),(3) | 6,596 | 3,114 | — | — | 725 | 10,435 | 923,431 | — | — | ||||||||
Patria Latin American Opportunity Acquisition Corp.(2),(3) | — | 13,830 | — | — | 614 | 14,444 | 1,301,323 | — | — | ||||||||
Power & Digital Infrastructure Acquisition II Corp.(2),(3) | 421 | 12,931 | 6,832 | 167 | 507 | 7,194 | 658,824 | — | — | ||||||||
Rigel Resource Acquisition Corp.(2),(3) | 1,691 | 13,256 | — | — | 707 | 15,654 | 1,428,308 | — | — | ||||||||
Ross Acquisition Corp. II(2),(3) | 10,771 | 2,769 | 8,897 | 277 | 179 | 5,099 | 468,201 | — | — | ||||||||
TLGY Acquisition Corp.(2),(3) | 3,483 | 2,405 | 1,392 | 115 | 326 | 4,937 | 445,558 | — | — | ||||||||
TortoiseEcofin Acquisition Corp. III(2),(3) | 7,893 | 5,892 | — | — | 693 | 14,478 | 1,363,243 | — | — | ||||||||
Valuence Merger Corp. I(2),(3) | 436 | 10,093 | 4,597 | 155 | 421 | 6,508 | 581,603 | — | — | ||||||||
$87,970 | $204,426 | $105,879 | $2,726 | $7,127 | $196,370 | $ — | $— | ||||||||||
Affiliated Mutual Fund—2.9% | |||||||||||||||||
Virtus Westchester Event-Driven Fund Class I(4) | — | 79,470 | — | — | 1,811 | 81,281 | 7,603,483 | 1,970 | — | ||||||||
Total | $87,970 | $283,896 | $105,879 | $2,726 | $8,938 | $277,651 | $1,970 | $— |
(1) | Does not tie to Net change in unrealized appreciation (depreciation) on Investment in affiliates on the Statements of Operations as a result of previously affiliated securities moving to unaffiliated. |
(2) | Issuer was not an affiliated investment at December 31, 2022. |
(3) | Non-income producing. |
(4) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
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 December 31, 2023. |
Purchases | Sales | ||
The Merger Fund | $6,232,956 | $7,358,907 | |
Westchester Credit Event Fund | 127,775 | 112,201 | |
Westchester Event-Driven Fund | 1,240,822 | 1,115,715 |
Purchases | Sales | ||
Westchester Credit Event Fund | $ — | $ 23 | |
Westchester Event-Driven Fund | 856 | 822 |
The Merger Fund | Westchester Credit Event Fund | ||||||||||||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2023 | Year Ended December 31, 2022 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 2,987 | $ 50,254 | 17,797 | $ 308,421 | 589 | $ 6,681 | 646 | $ 7,269 | |||||||
Reinvestment of distributions | 807 | 13,811 | 1,484 | 24,989 | 10 | 114 | — (1) | 3 | |||||||
Shares repurchased | (15,383) | (259,701) | (24,643) | (426,994) | (459) | (5,288) | (604) | (6,518) | |||||||
Net Increase / (Decrease) | (11,589) | $ (195,636) | (5,362) | $ (93,584) | 140 | $ 1,507 | 42 | $ 754 | |||||||
Class I | |||||||||||||||
Shares sold | 27,883 | $ 468,282 | 81,779 | $ 1,414,374 | 2,191 | $ 24,023 | 4,871 | $ 53,114 | |||||||
Reinvestment of distributions | 3,023 | 51,203 | 8,019 | 133,600 | 266 | 2,909 | 120 | 1,254 | |||||||
Shares repurchased | (108,426) | (1,817,546) | (75,851) | (1,307,531) | (1,273) | (13,961) | (1,294) | (13,847) | |||||||
Net Increase / (Decrease) | (77,520) | $ (1,298,061) | 13,947 | $ 240,443 | 1,184 | $ 12,971 | 3,697 | $ 40,521 |
(1) | Amount is less than 500 shares (not in thousands). |
Westchester Event-Driven Fund | |||||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Shares sold | 345 | $ 3,572 | 521 | $ 5,394 | |||
Shares repurchased | (1,841) | (19,304) | (2,180) | (22,874) | |||
Net Increase / (Decrease) | (1,496) | $ (15,732) | (1,659) | $ (17,480) | |||
Class I | |||||||
Shares sold | 19,421 | $ 203,628 | 12,822 | $ 133,991 | |||
Reinvestment of distributions | 1,079 | 11,491 | 63 | 647 | |||
Shares repurchased | (5,997) | (63,199) | (10,463) | (108,096) | |||
Net Increase / (Decrease) | 14,503 | $ 151,920 | 2,422 | $ 26,542 |
% of Shares Outstanding | Number of Accounts | ||
The Merger Fund | 39% | 2 | |
Westchester Credit Event Fund | 46 | 1 | |
Westchester Event-Driven Fund | 96 | 3 * |
* | Includes affiliated shareholder account(s). |
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® | Energy | 25% |
Fund | Interest Incurred on Borrowing | Average Borrowing | Weighted Average Interest Rate | Days Outstanding | |||||
Westchester Event-Driven Fund | $2 | $3,500 | 6.42% | 4 |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||||
The Merger Fund (Including Purchased Options) | $ 2,680,650 | $ 104,865 | $ (71,854) | $ 33,011 | |||||
The Merger Fund (Written options) | (8,415) | 2,195 | (1,132) | 1,063 | |||||
The Merger Fund (Short sales) | (69,322) | 548 | (2,350) | (1,802) | |||||
Westchester Credit Event Fund | 73,731 | 1,293 | (1,117) | 176 | |||||
Westchester Credit Event Fund (Short sales) | (405) | 20 | — | 20 | |||||
Westchester Event-Driven Fund (Including Purchased Options) | 481,341 | 16,524 | (15,522) | 1,002 | |||||
Westchester Event-Driven Fund (Written options) | (6,357) | 1,947 | (2,528) | (581) | |||||
Westchester Event-Driven Fund (Short sales) | (27,075) | 134 | (972) | (838) |
Fund | Short-Term | Long-Term | |||
Westchester Credit Event Fund | $— | $822 | |||
Westchester Event-Driven Fund | — | 746 |
Fund | Undistributed Ordinary Income | Late Year Ordinary Losses Deferred | Post-October Capital Loss Deferred | Capital Loss Deferred | |||||
The Merger Fund | $6,325 | $ 18,828 | $ — | $ — | |||||
Westchester Credit Event Fund | — | 13 | 36 | 822 | |||||
Westchester Event-Driven Fund | 589 | — | — | 746 |
Ordinary Income | Long-Term Capital Gains | Total | |||
The Merger Fund | |||||
12/31/23 | $ 79,400 | $ — | $ 79,400 | ||
12/31/22 | 156,094 | 33,656 | 189,750 | ||
Westchester Credit Event Fund | |||||
12/31/23 | 3,100 | — | 3,100 | ||
12/31/22 | 1,372 | 11 | 1,383 | ||
Westchester Event-Driven Fund | |||||
12/31/23 | 11,500 | — | 11,500 | ||
12/31/22 | 650 | — | 650 |
Philadelphia, Pennsylvania
February 26, 2024
Fund | Qualified Dividend Income % (non-corporate shareholder) | Dividend Received Deduction % (corporate shareholders) | ||
The Merger Fund | 13.63 % | 11.75 % | ||
Westchester Credit Event Fund | 4.10 | 2.93 | ||
Westchester Event-Driven Fund | 19.64 | 16.83 |
WESTCHESTER EVENT-DRIVEN FUND (each a “FUND” and collectively, the “FUNDS”) BY THE
BOARD OF TRUSTEES (Unaudited)
WESTCHESTER EVENT-DRIVEN FUND (each a “FUND” and collectively, the “FUNDS”) BY THE
BOARD OF TRUSTEES (Unaudited) (Continued)
WESTCHESTER EVENT-DRIVEN FUND (each a “FUND” and collectively, the “FUNDS”) BY THE
BOARD OF TRUSTEES (Unaudited) (Continued)
WESTCHESTER EVENT-DRIVEN FUND (each a “FUND” and collectively, the “FUNDS”) BY THE
BOARD OF TRUSTEES (Unaudited) (Continued)
WESTCHESTER EVENT-DRIVEN FUND (each a “FUND” and collectively, the “FUNDS”) BY THE
BOARD OF TRUSTEES (Unaudited) (Continued)
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Burke, Donald C. YOB: 1960 Served Since: 2021 100 Portfolios | Private investor (since 2009). Formerly, President and Chief Executive Officer, BlackRock U.S. Funds (2007 to 2009); Managing Director, BlackRock, Inc. (2006 to 2009); and Managing Director, Merrill Lynch Investment Managers (1990 to 2006). | Trustee (since May 2023) and Advisory Board Member (May 2023), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Dividend, Interest & Premium Strategy Fund and Virtus Equity & Convertible Income Fund; Advisory Board Member (since May 2023), Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II and Virtus Diversified Income & Convertible Fund; Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Director (2020 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2020), Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (50 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (4 portfolios); Director (since 2014), closed-end funds managed by Duff & Phelps Investment Management Co. (3 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). |
Cogan, Sarah E. YOB: 1956 Served Since: 2021 97 Portfolios | Retired Partner, Simpson Thacher & Bartlett LLP (“STB”) (law firm) (since 2019); Director, Girl Scouts of Greater New York (since 2016); Trustee, Natural Resources Defense Council, Inc. (since 2013); and formerly, Partner, STB (1989 to 2018). | Trustee (since 2022) and Advisory Board Member (2021 to 2022), Virtus Alternative Solutions Trust (4 portfolios), Virtus Mutual Fund Family (50 portfolios) and Virtus Variable Insurance Trust (8 portfolios); Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), and Virtus Global Multi-Sector Income Fund; Director (since 2021), Virtus Total Return Fund Inc.; Advisory Board Member (February 2021 to June 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2019), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Trustee (since 2019), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Equity & Convertible Income Fund, and Virtus Dividend, Interest & Premium Strategy Fund; and Trustee (since 2019), PIMCO Closed-End Funds* (30 portfolios). |
DeCotis, Deborah A. YOB: 1952 Served Since: 2021 97 Portfolios | Director, Cadre Holdings Inc. (since 2022); Advisory Director, Morgan Stanley & Co., Inc. (since 1996); Member, Circle Financial Group (since 2009); Member, Council on Foreign Relations (since 2013); and Trustee, Smith College (since 2017). Formerly, Director, Watford Re (2017 to 2021); Co-Chair Special Projects Committee, Memorial Sloan Kettering (2005 to 2015); and Trustee, Stanford University (2010 to 2015). | Trustee (since 2022) and Advisory Board Member (2021 to 2022), Virtus Alternative Solutions Trust (4 portfolios), Virtus Mutual Fund Family (50 portfolios) and Virtus Variable Insurance Trust (8 portfolios); Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), and Virtus Global Multi-Sector Income Fund; Director (since 2021), Virtus Total Return Fund Inc.; Advisory Board Member (February 2021 to June 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2019), Virtus Artificial Intelligence & Technology Opportunities Fund; Trustee (since 2017), Virtus Convertible & Income 2024 Target Term Fund; Trustee (since 2015), Virtus Diversified Income & Convertible Fund; Trustee (since 2014), Virtus Investment Trust (13 portfolios); Trustee (since 2011), Virtus Strategy Trust (8 portfolios); Trustee (since 2011), Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Equity & Convertible Income Fund, and Virtus Dividend, Interest & Premium Strategy Fund; and Trustee (since 2011), PIMCO Closed-End Funds* (30 portfolios). |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Drummond, F. Ford YOB: 1962 Served Since: 2021 97 Portfolios | President (since 1998), F.G. Drummond Ranches, Inc.; and Director (since 2015), Texas and Southwestern Cattle Raisers Association. Formerly Chairman, Oklahoma Nature Conservancy (2019 to 2020); Trustee (since 2014), Frank Phillips Foundation; Trustee (since 2008), Oklahoma Nature Conservancy; Board Member (2006 to 2020) and Chairman (2016 to 2018), Oklahoma Water Resources Board; Director (1998 to 2008), The Cleveland Bank; and General Counsel (1998 to 2008), BMIHealth Plans (benefits administration). | Trustee (since 2022) and Advisory Board Member (2021 to 2022), Virtus Alternative Solutions Trust (4 portfolios), Virtus Mutual Fund Family (50 portfolios), and Virtus Variable Insurance Trust (8 portfolios); Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, and Virtus Event Opportunities Trust (2 portfolios); Advisory Board Member (February 2021 to June 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2021), Virtus Global Multi-Sector Income Fund; Director (since 2021), Virtus Total Return Fund Inc.; Trustee (since 2019), Virtus Artificial Intelligence & Technology Opportunities Fund; Trustee (since 2017), Virtus Convertible & Income 2024 Target Term Fund; Trustee (since 2015), Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Dividend, Interest & Premium Strategy Fund and Virtus Equity & Convertible Income Fund; Trustee (since 2014), Virtus Strategy Trust (8 portfolios); Director (since 2011), Bancfirst Corporation; and Trustee (since 2006), Virtus Investment Trust (13 portfolios). |
Harris, Sidney E. YOB: 1949 Served Since: 2021 90 Portfolios | Private Investor (since 2021); Dean Emeritus (since 2015), Professor (2015 to 2021 and 1997 to 2014), and Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University. | Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Director (2020 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2020), Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2019), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (50 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (4 portfolios); Trustee (2013 to 2020) and Honorary Trustee (since 2020), KIPP Metro Atlanta; Director (1999 to 2019), Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Chairman (2012 to 2017), International University of the Grand Bassam Foundation; Trustee (since 2012), International University of the Grand Bassam Foundation; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Mallin, John R. YOB: 1950 Served Since: 2021 90 Portfolios | Partner/Attorney (since 2003), McCarter & English LLP (law firm) Real Property Practice Group; and Member (2014 to 2022), Counselors of Real Estate. | Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Director (2020 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2020), Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (50 portfolios) and Virtus Alternative Solutions Trust (4 portfolios); Director (since 2019), 1892 Club, Inc. (non-profit); Director (2013 to 2020), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
McDaniel, Connie D. YOB: 1958 Served Since: 2021 97 Portfolios | Retired (since 2013). Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013); Vice President, Global Finance Transformation (2007 to 2009); and Vice President and Controller (1999 to 2007), The Coca-Cola Company. | Trustee (since May 2023) and Advisory Board Member (May 2023), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Dividend, Interest & Premium Strategy Fund and Virtus Equity & Convertible Income Fund; Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Director (2020 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2020), Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Director (since 2019), Global Payments Inc.; Chairperson (since 2021), Governance & Nominating Committee, Global Payments Inc; Trustee (since 2017), Virtus Mutual Fund Family (50 portfolios), Virtus Variable Insurance Trust (8 portfolios), and Virtus Alternative Solutions Trust (4 portfolios); Director (since 2021), North Florida Land Trust; Director (2014 to 2019), Total System Services, Inc.; Member (2011 to 2022) and Chair (2014 to 2016), Georgia State University, Robinson College of Business Board of Advisors; and Trustee (2005 to 2017), RidgeWorth Funds. |
McLoughlin, Philip YOB: 1946 Served Since: 2021 100 Portfolios | Private investor since 2010. | Trustee and Chairman (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee and Chairman (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee and Chairman (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Chairman (since 2023) and Trustee (since 2021), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Equity & Convertible Income Fund and Virtus Dividend, Interest & Premium Strategy Fund; Chairman (since 2023), Trustee (since 2022) and Advisory Board Member (2021), Virtus Convertible & Income 2024 Target Term Fund and Virtus Convertible & Income Fund; Director and Chairman (since 2016), Virtus Total Return Fund Inc.; Director and Chairman (2016 to 2019), the former Virtus Total Return Fund Inc.; Director and Chairman (2014 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (4 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (3 funds); Director (1991 to 2019) and Chairman (2010 to 2019), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (50 portfolios). |
McNamara, Geraldine M. YOB: 1951 Served Since: 2021 100 Portfolios | Private investor (since 2006); and Managing Director, U.S. Trust Company of New York (1982 to 2006). | Trustee (since May 2023) and Advisory Board Member (January 2023 to May 2023), Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund and Virtus Dividend, Interest & Premium Strategy Fund; Trustee (since 2023), Virtus Artificial Intelligence & Technology Opportunities Fund and Virtus Equity & Convertible Income Fund; Advisory Board Member (since 2023), Virtus Convertible & Income 2024 Target Term Fund; Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Director (2020 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Director (since 2020), Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016) Virtus Alternative Solutions Trust (4 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (3 funds); and Trustee (since 2001), Virtus Mutual Fund Family (50 portfolios). |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Walton, R. Keith YOB: 1964 Served Since: 2021 97 Portfolios | Senior Adviser (since 2022), Brightwood Capital LLC; Venture and Operating Partner (2020 to 2021), Plexo Capital, LLC; Venture Partner (2019 to 2020) and Senior Adviser (2018 to 2019), Plexo, LLC; and Partner (since 2006), Global Infrastructure Partners. Formerly, Managing Director (2020 to 2021), Lafayette Square Holding Company LLC; Senior Adviser (2018 to 2019), Vatic Labs, LLC; Executive Vice President, Strategy (2017 to 2019), Zero Mass Water, LLC; and Vice President, Strategy (2013 to 2017), Arizona State University. | Trustee (since 2023) and Advisory Board Member (2022 to 2023), Virtus Convertible & Income 2024 Target Term Fund; Trustee (since 2023) and Advisory Board Member (2022 to 2023), Virtus Convertible & Income Fund II and Virtus Dividend, Interest & Premium Strategy Fund; Trustee (since 2022) and Advisory Board Member (January 2022 to July 2022), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income Fund and Virtus Equity & Convertible Income Fund; Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2022), Virtus Diversified Income & Convertible Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Trustee (since 2020) Virtus Alternative Solutions Trust (4 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (50 portfolios); Director (since 2017), certain funds advised by Bessemer Investment Management LLC; Director (2016 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (2006 to 2019), Systematica Investments Limited Funds; Director (2006 to 2017), BlueCrest Capital Management Funds; Trustee (2014 to 2017), AZ Service; Director (since 2004), Virtus Total Return Fund Inc.; and Director (2004 to 2019), the former Virtus Total Return Fund Inc. |
Zino, Brian T. YOB: 1952 Served Since: 2021 97 Portfolios | Retired. Various roles (1982 to 2009), J. & W. Seligman & Co. Incorporated, including President (1994 to 2009). | Trustee (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Trustee (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Trustee (since 2022) and Advisory Board Member (2021), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Equity & Convertible Income Fund, and Virtus Dividend, Interest & Premium Strategy Fund; Trustee (since 2020) Virtus Alternative Solutions Trust (4 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (50 portfolios); Director (2016 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (since 2014), Virtus Total Return Fund Inc.; Director (2014 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2011), Bentley University; Director (1986 to 2009) and President (1994 to 2009), J&W Seligman Co. Inc.; Director (1998 to 2009), Chairman (2002 to 2004) and Vice Chairman (2000 to 2002), ICI Mutual Insurance Company; Member, Board of Governors of ICI (1998 to 2008). |
Name, Year of Birth, Length of Time Served and Number of Funds Overseen | Principal Occupation(s) During Past 5 Years | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee |
Aylward, George R.* Trustee and President YOB: 1964 Served Since: 2021 104 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries, and various senior officer positions with Virtus affiliates (since 2005). | Director (since 2023), Stone Harbor Investment Funds plc (21 sub-funds), Stone Harbor Global Funds plc (27 sub-funds), and Virtus Global Funds ICAV (5 portfolios); Trustee, President and Chief Executive Officer (since 2022), Virtus Stone Harbor Emerging Markets Income Fund; Trustee (2022 to 2023), Virtus Stone Harbor Emerging Markets Total Income Fund; Member, Board of Governors of the Investment Company Institute (since 2021); Trustee and President (since 2021), The Merger Fund®, The Merger Fund® VL, Virtus Event Opportunities Trust (2 portfolios), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2021), Virtus Artificial Intelligence & Technology Opportunities Fund, Virtus Convertible & Income 2024 Target Term Fund, Virtus Convertible & Income Fund, Virtus Convertible & Income Fund II, Virtus Diversified Income & Convertible Fund, Virtus Equity & Convertible Income Fund, and Virtus Dividend, Interest & Premium Strategy Fund; Chairman and Trustee (since 2015), Virtus ETF Trust II (6 portfolios); Director, President and Chief Executive Officer (2014 to 2021), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (4 portfolios); Director (since 2013), Virtus Global Funds, plc (5 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (50 portfolios); Director, President and Chief Executive Officer (since 2006), Virtus Total Return Fund Inc.; and Director, President and Chief Executive Officer (2006 to 2019), the former Virtus Total Return Fund Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter J. YOB: 1970 | Senior Vice President (since 2021). | Senior Vice President, Product Development (since 2017), Vice President, Product Development (2008 to 2017), and various officer positions (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2008) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
Bradley, W. Patrick YOB: 1972 | Executive Vice President, Chief Financial Officer and Treasurer (since 2021). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016) and various officer positions (since 2004), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Director (since 2023), Stone Harbor Investment Funds plc and Stone Harbor Global Funds plc; Director (since 2019), Virtus Global Funds ICAV; Director (since 2013), Virtus Global Funds, plc; various officer positions (since 2006) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc.; Member (since 2022), BNY Mellon Asset Servicing Client Advisory Board. |
Branigan, Timothy YOB: 1976 | Vice President and Fund Chief Compliance Officer (since 2022); Assistant Vice President and Deputy Fund Chief Compliance Officer (March to May 2022); and Assistant Vice President and Assistant Chief Compliance Officer (2021 to 2022). | Various officer positions (since 2019) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
Chisolm, Daphne YOB: 1969 | Vice President, Counsel and Assistant Secretary (since 2023). | Vice President and Senior Counsel (since 2023), Virtus Investment Partners, Inc.; Attorney at Law engaged in private practice as a solo practitioner (2018 to 2023); and various officer positions (since 2023) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
Fromm Jennifer YOB: 1973 | Vice President, Chief Legal Officer, Counsel and Secretary (since 2021). | Vice President (since 2016) and Senior Counsel, Legal (since 2007) and various officer positions (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; various officer positions (since 2008) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
Griswold, Heidi YOB: 1973 | Vice President (since 2021). | Vice President, Head of Transfer Agent & Servicing, Mutual Fund Services (since 2018), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and Vice President (since 2016) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
Hackett, Amy YOB: 1968 | Vice President and Assistant Treasurer (since 2021). | Vice President (since 2010) and Assistant Vice President (2007 to 2010), Fund Services, Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various officer positions (since 2007) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
Krishnan, Suneeta YOB: 1965 | Vice President and Assistant Treasurer (since 2021). | Vice President (since 2017) and Assistant Treasurer (since 2007), Mutual Fund Administration, Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various officer positions (since 2009) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
Lowe, Benjamin YOB: 1978 | Vice President, Controller and Assistant Treasurer (since 2021). | Vice President, Fund Services (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; and various officer positions (since 2018) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc. |
Martin, David YOB: 1959 | Anti-Money Laundering Compliance Officer (since 2021). | Vice President, Compliance – Broker/Dealer (since 2009), Virtus Investment Partners, Inc.; and Vice President and Chief Compliance Officer of certain Virtus subsidiaries (since 2004). |
Rahman, Mahmood YOB: 1967 | Assistant Vice President (since 2021). | Vice President (since 2023), Tax Director (since 2020) and Assistant Vice President (2020 to 2023), Fund Administration, Virtus Investment Partners, Inc.; Assistant Vice President (since 2021) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc.; and Assistant Treasurer and Tax Director, Grantham, Mayo, Van Otterloo & Co. LLC (2007 to 2019). |
Short, Julia R. YOB: 1972 | Senior Vice President (since 2021). | Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2017) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc.; and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Smirl, Richard W. YOB: 1967 | Executive Vice President (since 2021). | Chief Operating Officer (since 2021), Virtus Investment Partners, Inc.; Executive Vice President (since 2021), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Executive Vice President (since 2021) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc.; Chief Operating Officer (2018 to 2021), Russell Investments; Executive Director (Jan. to July 2018), State of Wisconsin Investment Board; and Partner and Chief Operating Officer (2004 to 2018), William Blair Investment Management. |
Suss, Amanda YOB: 1969 | Vice President, Controller and Assistant Treasurer (since 2022). | Vice President and Controller (since 2022), Mutual Fund Administration and Financial Reporting, Virtus Investment Partners, Inc.; Vice President, Controller and Assistant Treasurer (since 2022) of various registered funds advised by subsidiaries of Virtus Investment Partners, Inc.; and Senior Finance Associate (2011 to 2022), Stone Harbor Investment Partners LP. |
Accounting Firm
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.
8462 | 02-24 |
(b) | Not applicable. |
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics described in Item 2(b) of the instructions for completion of Form N-CSR. A copy of the currently applicable code is included as an exhibit. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
Item 3. Audit Committee Financial Expert.
(a)(1) | The Registrant’s Board of Trustees has determined that the Registrant has an “audit committee financial expert” serving on its Audit Committee. |
(a)(2) | The Registrant’s Board of Trustees has determined that each of Connie D. McDaniel, Donald C. Burke and Brian T. Zino possesses the technical attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert.” Each such individual is an “independent” trustee pursuant to paragraph (a)(2) of Item 3 to Form N-CSR. |
(a)(3) | Not Applicable. |
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $111,982 for 2023 and $109,250 for 2022. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $1,926 for 2023 and $1,022 for 2022. Such audit-related fees include out of pocket expenses. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $12,494 for 2023 and $15,451 for 2022. |
“Tax Fees” are those primarily associated with review of the Trust’s tax provision and qualification as a regulated investment company (RIC) in connection with audits of the Trust’s financial statement, review of year-end distributions by the Fund to avoid excise tax for the Trust, periodic discussion with management on tax issues affecting the Trust, and reviewing and signing the Fund’s federal income tax returns.
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2023 and $0 for 2022. |
(e)(1) | Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
The Virtus Event Opportunities Trust (the “Fund”) Board has adopted policies and procedures with regard to the pre-approval of services provided by its independent auditors. Audit, audit-related and tax compliance services provided to the Fund on an annual basis require specific pre-approval by the Audit Committee. The Audit Committee must also approve other non-audit services provided to the Fund and those non-audit services provided to the Fund’s Affiliate Service Providers that related directly to the operations and financial reporting of the Fund. Certain of these non-audit services that the Audit Committee believes are a) consistent with the SEC’s auditor independence rules and b) routine and recurring services that will not impair the independence of the independent auditors may be approved by the Audit Committee without consideration on a specific case-by-case basis (“general pre-approval”).
The Audit Committee has determined that the Chair of the Audit Committee may provide pre-approval for such services that meet the above requirements but are not included in the general pre-approval in the event such approval is sought between regularly scheduled meetings. In any event, the Audit Committee is informed of, and ratifies, each service approved at the next regularly scheduled in-person Audit Committee meeting.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows: |
(b) 0%
(c) 0%
(d) N/A
(f) | The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $14,420 for 2023 and $16,473 for 2022. |
(h) | The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
(i) | Not applicable. |
(j) | Not applicable |
Item 5. Audit Committee of Listed Registrants.
Disclosure not required for open-end management investment companies.
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.
Disclosure not required for open-end management investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Disclosure not required for open-end management investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Disclosure not required for open-end management investment companies.
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 and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the 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.
Disclosure not required for open-end management investment companies.
Item 13. Exhibits.
(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 | ||||
(principal executive officer) |
Date 2/29/2024
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 | ||||
(principal executive officer) |
Date 2/29/2024
By (Signature and Title)* | /s/ W. Patrick Bradley | |||
W. Patrick Bradley, Executive Vice President, | ||||
Chief Financial Officer, and Treasurer | ||||
(principal financial officer) |
Date 2/29/2024
* | Print the name and title of each signing officer under his or her signature. |