The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2022
($ reported in thousands)
Par Value | Value | ||
Corporate Bonds and Notes—5.1% | |||
Communication Services—1.1% | |||
Connect Finco S.a.r.l. 144A 6.750%, 10/1/26(1) | $ 7,529 | $ 7,660 | |
GrubHub Holdings, Inc. 144A 5.500%, 7/1/27(1) | 22,114 | 19,146 | |
TEGNA, Inc. | |||
4.625%, 3/15/28 | 12,766 | 12,699 | |
5.000%, 9/15/29 | 8,393 | 8,413 | |
47,918 | |||
Consumer Discretionary—1.1% | |||
Peninsula Pacific Entertainment LLC 144A 8.500%, 11/15/27(1) | 13,200 | 14,602 | |
Tenneco, Inc. 144A 5.125%, 4/15/29(1) | 31,999 | 31,800 | |
46,402 | |||
Consumer Staples—0.2% | |||
TreeHouse Foods, Inc. 4.000%, 9/1/28 | 10,995 | 9,310 | |
Energy—0.4% | |||
Renewable Energy Group, Inc. 144A 5.875%, 6/1/28(1) | 16,464 | 17,685 | |
Financials—0.6% | |||
Brighthouse Financial, Inc. 3.850%, 12/22/51 | 500 | 417 | |
Ford Motor Credit Co. LLC 2.900%, 2/10/29 | 2,000 | 1,781 | |
Nielsen Finance LLC | |||
144A 5.625%, 10/1/28(1) | 21,951 | 22,109 | |
144A 5.875%, 10/1/30(1) | 3,555 | 3,564 | |
27,871 | |||
Industrials—0.4% | |||
Meritor, Inc. 144A 4.500%, 12/15/28(1) | 9,352 | 9,376 | |
WeWork Cos., Inc. 144A 7.875%, 5/1/25(1) | 7,175 | 6,482 | |
15,858 | |||
Information Technology—0.8% | |||
MoneyGram International, Inc. 144A 5.375%, 8/1/26(1) | 15,851 | 16,501 | |
Plantronics, Inc. 144A 4.750%, 3/1/29(1) | 17,905 | 18,440 | |
34,941 | |||
Materials—0.5% | |||
Intertape Polymer Group, Inc. 144A 4.375%, 6/15/29(1) | 19,748 | 20,341 | |
Real Estate—0.0% | |||
Realogy Group LLC 144A 5.250%, 4/15/30(1) | 2,000 | 1,840 |
Par Value | Value | ||
Real Estate—continued | |||
WeWork Cos., LLC 144A 5.000%, 7/10/25(1) | $ 661 | $ 556 | |
2,396 | |||
Utilities—0.0% | |||
Southwest Gas Corp. 3.180%, 8/15/51 | 1,000 | 817 | |
Total Corporate Bonds and Notes (Identified Cost $229,002) | 223,539 | ||
Leveraged Loans—1.0% | |||
Health Care—0.3% | |||
Mallinckrodt International Finance S.A. (3 month LIBOR + 4.250%) 4.250%, 2/28/23(2)(3) | 13,825 | 13,700 | |
Media / Telecom - Diversified Media—0.3% | |||
Rentpath, LLC Tranche B-1, First Lien 0.000%, 12/31/22(4)(5) | 556 | 5 | |
Syniverse Holdings, Inc. Tranche C (3 month LIBOR + 5.000%) 6.000%, 3/9/23(3) | 15,744 | 15,237 | |
15,242 | |||
Service—0.4% | |||
Watts Guerra LLP (3 month LIBOR + 8.000%) 8.000%, 10/7/23(3)(4) | 15,958 | 15,918 | |
Total Leveraged Loans (Identified Cost $45,747) | 44,860 | ||
Shares | ||
Preferred Stock—0.1% | ||
Industrials—0.1% | ||
Babcock & Wilcox Enterprises, Inc., 6.500% | 145,221 | 3,461 |
Total Preferred Stock (Identified Cost $3,631) | 3,461 | |
Common Stocks—43.3% | ||
Communication Services—8.1% | ||
Activision Blizzard, Inc. | 778,520 | 62,367 |
AT&T, Inc. | 1,372,500 | 32,432 |
MGM Holdings, Inc. Class A(4)(6) | 131,269 | 525 |
Sciplay Corp. Class A(6) | 327,926 | 4,237 |
Shaw Communications, Inc. Class B | 1,642,624 | 50,987 |
TEGNA, Inc.(7) | 2,143,177 | 48,007 |
Vodafone Group plc Sponsored ADR | 1,312,000 | 21,806 |
Zynga, Inc. Class A(6) | 14,380,205 | 132,873 |
353,234 | ||
Consumer Discretionary—1.5% | ||
Houghton Mifflin Harcourt Co.(6) | 827,540 | 17,387 |
Lennar Corp. Class A | 270,312 | 21,941 |
See Notes to Schedule of Investments
1
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2022
($ reported in thousands)
Shares | Value | ||
Consumer Discretionary—continued | |||
Sportsman’s Warehouse Holdings, Inc.(6) | 991,161 | $ 10,595 | |
Tenneco, Inc. Class A(6) | 840,860 | 15,405 | |
65,328 | |||
Consumer Staples—0.2% | |||
Sanderson Farms, Inc. | 48,525 | 9,098 | |
TPCO Holding Corp.(6) | 1,816,240 | 2,288 | |
11,386 | |||
Energy—0.3% | |||
Oasis Petroleum, Inc. | 82,334 | 12,045 | |
Financials—4.8% | |||
Alleghany Corp.(6) | 17,484 | 14,809 | |
American National Group, Inc. | 125,278 | 23,689 | |
First Horizon Corp.(6)(7) | 3,683,461 | 86,525 | |
Flagstar Bancorp, Inc. | 107,110 | 4,541 | |
Hartford Financial Services Group, Inc. (The) | 349,090 | 25,068 | |
People’s United Financial, Inc. | 2,602,186 | 52,018 | |
Poema Global Holdings Corp. Class A(6) | 235,695 | 2,357 | |
209,007 | |||
Health Care—6.2% | |||
ATI Physical Therapy, Inc.(6) | 306,157 | 576 | |
Cerner Corp. | 2,268,055 | 212,199 | |
Clinigen Group plc | 703,660 | 8,522 | |
Convey Health Solutions Holdings, Inc.(6) | 3,901 | 26 | |
GlaxoSmithKline plc Sponsored ADR | 501,900 | 21,863 | |
Intersect ENT, Inc.(6) | 671,909 | 18,820 | |
LHC Group, Inc.(6) | 54,408 | 9,173 | |
271,179 | |||
Industrials—3.7% | |||
Aerojet Rocketdyne Holdings, Inc.(6) | 34,735 | 1,367 | |
Cornerstone Building Brands, Inc.(6) | 621,247 | 15,109 | |
Hertz Global Holdings, Inc.(6) | 16,825 | 373 | |
Meritor, Inc.(6) | 1,123,331 | 39,957 | |
Nielsen Holdings plc | 586,402 | 15,973 | |
SPX FLOW, Inc. | 124,521 | 10,736 | |
Welbilt, Inc.(6) | 1,487,326 | 35,324 | |
XPO Logistics, Inc.(6) | 577,100 | 42,013 | |
160,852 | |||
Information Technology—15.1% | |||
Anaplan, Inc.(6) | 955,092 | 62,129 | |
Citrix Systems, Inc.(7) | 885,007 | 89,297 | |
CMC Materials, Inc.(7) | 475,674 | 88,190 | |
Coherent, Inc.(6)(7) | 694,657 | 189,891 | |
Five9, Inc.(6) | 75,600 | 8,346 | |
Lazard Growth Acquisition Corp. I(6) | 440,843 | 4,320 | |
Magnachip Semiconductor Corp.(6) | 49,305 | 834 | |
Mandiant, Inc.(6) | 2,357,446 | 52,595 | |
MoneyGram International, Inc.(6) | 1,361,319 | 14,376 | |
NeoPhotonics Corp.(6) | 1,310,798 | 19,937 | |
Plantronics, Inc.(6) | 260,603 | 10,268 | |
Rogers Corp.(6)(7) | 196,462 | 53,379 | |
Tower Semiconductor Ltd.(6) | 456,115 | 22,076 | |
UserTesting, Inc.(6) | 400 | 4 |
Shares | Value | ||
Information Technology—continued | |||
Vonage Holdings Corp.(6) | 2,305,512 | $ 46,779 | |
662,421 | |||
Materials—1.2% | |||
Atotech Ltd.(6) | 1,289,606 | 28,307 | |
Ferro Corp.(6) | 1,124,548 | 24,447 | |
52,754 | |||
Real Estate—2.2% | |||
Bluerock Residential Growth REIT, Inc. Class A | 450,222 | 11,962 | |
Healthcare Trust of America, Inc. Class A(7) | 2,713,723 | 85,048 | |
97,010 | |||
Total Common Stocks (Identified Cost $1,887,493) | 1,895,216 | ||
Rights—0.0% | |||
Communication Services—0.0% | |||
Media General, Inc.(4)(6)(7) | 891,153 | — | |
Financials—0.0% | |||
Shelter Acquisition Corp. I Sponsor Shares(4)(6) | 52,650 | — | |
Health Care—0.0% | |||
Bristol Myers Squibb Co.(4)(6) | 453,175 | 464 | |
Total Rights (Identified Cost $—) | 464 | ||
Warrants—0.1% | |||
Communication Services—0.0% | |||
Akazoo S.A.(4)(6) | 238,850 | — | |
BuzzFeed, Inc.(6) | 117,848 | 100 | |
100 | |||
Consumer Discretionary—0.0% | |||
Cazoo Group Ltd(6) | 380,410 | 145 | |
CEC Brands LLC(4)(6) | 189,648 | 569 | |
Enjoy Technology, Inc.(6) | 13,538 | 3 | |
717 | |||
Consumer Staples—0.0% | |||
Whole Earth Brands, Inc.(6) | 229,941 | 133 | |
Financials—0.1% | |||
Accelerate Acquisition Corp.(6) | 201,400 | 78 | |
Apollo Strategic Growth Capital(6) | 163,274 | 224 | |
Arrowroot Acquisition Corp.(6) | 462,172 | 93 | |
Austerlitz Acquisition Corp. I(6) | 9,500 | 5 | |
Avanti Acquisition Corp.(6) | 125,000 | ��� 32 | |
CC Neuberger Principal Holdings II(6) | 17,943 | 18 | |
CF Acquisition Corp. VIII(6) | 40,000 | 13 | |
CHP Merger Corp.(6) | 100,814 | 17 | |
Cohn Robbins Holdings Corp.(6) | 297,617 | 229 | |
Conx Corp.(6) | 153,442 | 64 | |
Deep Lake Capital Acquisition Corp.(6) | 167,691 | 34 |
See Notes to Schedule of Investments
2
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2022
($ reported in thousands)
Shares | Value | ||
Financials—continued | |||
E.Merge Technology Acquisition Corp.(6) | 395,766 | $ 67 | |
Equity Distribution Acquisition Corp.(6) | 13,806 | 5 | |
Forge Global Holdings, Inc.(6) | 118,190 | 196 | |
Fortress Capital Acquisition Corp.(6) | 68,899 | 28 | |
GCM Grosvenor, Inc.(6) | 102,070 | 143 | |
Goal Acquisitions Corp.(6) | 564,935 | 169 | |
Golden Falcon Acquisition Corp.(6) | 172,837 | 47 | |
Healthcare Services Acquisition Corp.(6) | 225,254 | 79 | |
HPX Corp.(6) | 24,612 | 4 | |
KL Acquisition Corp.(6) | 207,528 | 38 | |
Longview Acquisition Corp. II(6) | 85,384 | 36 | |
Marlin Technology Corp.(6) | 220,545 | 66 | |
Medicus Sciences Acquisition Corp.(6) | 18,222 | 8 | |
Moneylion, Inc.(6) | 106,742 | 41 | |
Pathfinder Acquisition Corp.(6) | 74,121 | 27 | |
Pioneer Merger Corp.(6) | 145,550 | 29 | |
Pontem Corp.(6) | 134,633 | 44 | |
Prospector Capital Corp.(6) | 155,088 | 44 | |
RMG Acquisition Corp. III(6) | 85,180 | 38 | |
Senior Connect Acquisition Corp. I(6) | 158,629 | 28 | |
Supernova Partners Acquisition Co. III Ltd(6) | 79,167 | 37 | |
Thunder Bridge Capital Partners III, Inc.(6) | 81,350 | 43 | |
Tishman Speyer Innovation Corp. II(6) | 70,542 | 27 | |
Tuscan Holdings Corp. II(6) | 109,883 | 55 | |
VectoIQ Acquisition Corp. II(6) | 63,188 | 29 | |
Virgin Group Acquisition Corp. II(6) | 78,996 | 30 | |
2,165 | |||
Health Care—0.0% | |||
Pear Therapeutics, Inc.(6) | 6,166 | 5 | |
Quantum-Si, Inc.(6) | 32,085 | 37 | |
42 | |||
Industrials—0.0% | |||
Berkshire Grey, Inc.(6) | 88,153 | 36 | |
Shapeways Holdings, Inc.(6) | 112,274 | 39 | |
75 | |||
Information Technology—0.0% | |||
BigBear.ai Holdings, Inc.(6) | 43,484 | 38 | |
Embark Technology, Inc.(6) | 3,466 | 4 | |
KLDiscovery, Inc.(6) | 677,651 | 169 | |
211 | |||
Materials—0.0% | |||
Ginkgo Bioworks Holdings, Inc.(6) | 2,620 | 2 | |
Total Warrants (Identified Cost $17,222) | 3,445 | ||
Shares/Units | ||
Special Purpose Acquisition Companies—17.5% | ||
26 Capital Acquisition Corp.(6) | 122,000 | 1,231 |
7GC & Co. Holdings, Inc. Class A(6) | 440,351 | 4,320 |
Accelerate Acquisition Corp. Class A(6) | 604,200 | 5,897 |
AEA-Bridges Impact Corp. Class A(6) | 436,514 | 4,322 |
AfterNext HealthTech Acquisition Corp. Class A(6) | 527,310 | 5,104 |
Shares/Units | Value | ||
Agba Acquisition Ltd.(6) | 49,368 | $ 551 | |
Agile Growth Corp. Class A(6) | 371,222 | 3,619 | |
Alpha Partners Technology Merger Corp. Class A(6) | 441,459 | 4,265 | |
AltEnergy Acquisition Corp.(6) | 125,618 | 1,252 | |
Altimar Acquisition Corp. III(6) | 163,357 | 1,609 | |
Altimar Acquisition Corp. III Class A(6) | 150,000 | 1,469 | |
Altimeter Growth Corp. 2 Class A (6) | 298,403 | 2,930 | |
Altitude Acquisition Corp. Class A(6) | 481,728 | 4,793 | |
Anzu Special Acquisition Corp. I(6) | 15,412 | 152 | |
Anzu Special Acquisition Corp. I Class A(6) | 441,364 | 4,312 | |
Apollo Strategic Growth Capital Class A(6) | 859,790 | 8,555 | |
Apollo Strategic Growth Capital II Class A(6) | 200,000 | 1,960 | |
Archimedes Tech SPAC Partners Co.(6) | 13,489 | 136 | |
ArcLight Clean Transition Corp. II Class A(6) | 435,720 | 4,322 | |
Ares Acquisition Corp.(6) | 157,500 | 1,558 | |
Ares Acquisition Corp. Class A(6) | 100,000 | 981 | |
Arrowroot Acquisition Corp. Class A(6) | 575,536 | 5,609 | |
Artemis Strategic Investment Corp. Class A(6) | 437,600 | 4,367 | |
Artisan Acquisition Corp. Class A(6) | 217,825 | 2,150 | |
Astrea Acquisition Corp. Class A(6) | 430,908 | 4,210 | |
Athena Consumer Acquisition Corp.(6) | 83,859 | 839 | |
Atlas Crest Investment Corp. II(6) | 107,500 | 1,058 | |
Atlas Crest Investment Corp. II Class A(6) | 306,631 | 3,011 | |
Ault Disruptive Technologies Corp.(6) | 128,174 | 1,278 | |
Aurora Acquisition Corp. Class A(6) | 175,172 | 1,727 | |
Austerlitz Acquisition Corp. I Class A(6) | 820,401 | 8,056 | |
Austerlitz Acquisition Corp. II(6) | 63,000 | 622 | |
Austerlitz Acquisition Corp. II Class A(6) | 392,818 | 3,842 | |
Authentic Equity Acquisition Corp.(6) | 21,600 | 215 | |
Avanti Acquisition Corp. Class A(6) | 609,156 | 6,006 | |
Avista Public Acquisition Corp. II Class A(6) | 431,754 | 4,369 | |
AxonPrime Infrastructure Acquisition Corp.(6) | 500 | 5 | |
AxonPrime Infrastructure Acquisition Corp. Class A(6) | 100,000 | 963 | |
Belong Acquisition Corp. Class A(6) | 45,049 | 441 | |
Big Sky Growth Partners, Inc. Class A(6) | 11,109 | 108 | |
Bilander Acquisition Corp. Class A(6) | 441,893 | 4,273 | |
Biotech Acquisition Co.(6) | 40,000 | 395 | |
Biotech Acquisition Co. Class A(6) | 434,517 | 4,280 | |
Blue Whale Acquisition Corp. I Class A(6) | 103,519 | 1,004 | |
BlueRiver Acquisition Corp.(6) | 10,650 | 105 | |
BOA Acquisition Corp. Class A(6) | 307,206 | 3,041 | |
Brigade-M3 European Acquisition Corp.(6) | 250,490 | 2,462 | |
Build Acquisition Corp.(6) | 76,056 | 746 | |
Catalyst Partners Acquisition Corp. Class A(6) | 440,985 | 4,291 | |
CC Neuberger Principal Holdings II Class A(6) | 754,616 | 7,486 | |
CC Neuberger Principal Holdings III(6) | 114,000 | 1,135 | |
CC Neuberger Principal Holdings III Class A(6) | 93,305 | 920 | |
CF Acquisition Corp. VI Class A(6) | 7,876 | 93 | |
CHP Merger Corp. Class A(6) | 274,195 | 2,791 | |
Churchill Capital Corp. V Class A(6) | 184,334 | 1,812 | |
Churchill Capital Corp. VII Class A(6) | 873,520 | 8,552 | |
CIIG Capital Partners II, Inc.(6) | 337,246 | 3,389 | |
Class Acceleration Corp.(6) | 11,750 | 116 | |
Climate Real Impact Solutions II Acquisition Corp.(6) | 4,860 | 48 | |
Climate Real Impact Solutions II Acquisition Corp. Class A(6) | 436,069 | 4,269 | |
Cohn Robbins Holdings Corp. Class A(6) | 1,092,312 | 10,858 | |
Colicity, Inc.(6) | 368,445 | 3,627 | |
Colonnade Acquisition Corp. II(6) | 62,933 | 617 | |
Compute Health Acquisition Corp.(6) | 413,002 | 4,089 | |
Compute Health Acquisition Corp. Class A(6) | 300,000 | 2,934 | |
Concord Acquisition Corp. Class A(6) | 280,885 | 2,795 | |
Concord Acquisition Corp. II Class A(6) | 662,974 | 6,418 |
See Notes to Schedule of Investments
3
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2022
($ reported in thousands)
Shares/Units | Value | ||
Concord Acquisition Corp. III Class A(6) | 375,662 | $ 3,727 | |
Conx Corp. Class A(6) | 613,768 | 6,046 | |
Conyers Park III Acquisition Corp. Class A(6) | 438,254 | 4,273 | |
Corazon Capital V838 Monoceros Corp. Class A(6) | 219,127 | 2,137 | |
Corner Growth Acquisition Corp.(6) | 188,816 | 1,867 | |
COVA Acquisition Corp.(6) | 162,199 | 1,601 | |
Crown PropTech Acquisitions Class A(6) | 435,176 | 4,300 | |
D & Z Media Acquisition Corp.(6) | 167,214 | 1,642 | |
DA32 Life Science Tech Acquisition Corp. Class A(6) | 156,534 | 1,526 | |
Decarbonization Plus Acquisition Corp. IV Class A(6) | 407,972 | 4,055 | |
Deep Lake Capital Acquisition Corp. Class A(6) | 335,382 | 3,297 | |
DHC Acquisition Corp. Class A(6) | 448,953 | 4,400 | |
Digital Transformation Opportunities Corp. Class A(6) | 182,295 | 1,779 | |
Direct Selling Acquisition Corp.(6) | 94,000 | 948 | |
DMY Technology Group, Inc. VI(6) | 189 | 2 | |
Dragoneer Growth Opportunities Corp. III Class A(6) | 435,587 | 4,251 | |
Dynamics Special Purpose Corp. Class A(6) | 455,060 | 4,494 | |
E.Merge Technology Acquisition Corp. Class A(6) | 1,187,298 | 11,754 | |
EdtechX Holdings Acquisition Corp. II Class A(6) | 98,926 | 999 | |
Elliott Opportunity II Corp.(6) | 81,448 | 793 | |
Elliott Opportunity II Corp. Class A(6) | 435,340 | 4,258 | |
Enterprise 4.0 Technology Acquisition Corp.(6) | 125,722 | 1,269 | |
Equity Distribution Acquisition Corp. Class A(6) | 1,069,829 | 10,580 | |
ESGEN Acquisition Corp.(6) | 146,752 | 1,485 | |
ESM Acquisition Corp.(6) | 63,000 | 624 | |
Eucrates Biomedical Acquisition Corp.(6) | 927 | 9 | |
ExcelFin Acquisition Corp.(6) | 125,701 | 1,253 | |
ExcelFin Acquisition Corp. Class A(6) | 158,794 | 1,583 | |
Fifth Wall Acquisition Corp. III Class A(6) | 434,863 | 4,223 | |
FinServ Acquisition Corp. II(6) | 95,843 | 945 | |
FinServ Acquisition Corp. II Class A(6) | 130,245 | 1,270 | |
FinTech Acquisition Corp. VI(6) | 206,626 | 2,035 | |
FinTech Acquisition Corp. VI Class A(6) | 231,086 | 2,269 | |
Fintech Evolution Acquisition Group(6) | 270,205 | 2,667 | |
Fortistar Sustainable Solutions Corp. Class A(6) | 439,156 | 4,299 | |
Fortress Capital Acquisition Corp. Class A(6) | 344,495 | 3,404 | |
Fortress Value Acquisition Corp. III(6) | 83,525 | 823 | |
Fortress Value Acquisition Corp. III Class A(6) | 437,804 | 4,312 | |
Fortress Value Acquisition Corp. IV Class A(6) | 437,535 | 4,288 | |
FTAC Athena Acquisition Corp. Class A(6) | 503,599 | 4,935 | |
FTAC Emerald Acquisition Corp.(6) | 415,930 | 4,151 | |
FTAC Hera Acquisition Corp.(6) | 141,200 | 1,395 | |
FTAC Parnassus Acquisition Corp. Class A(6) | 437,086 | 4,257 | |
FTAC Zeus Acquisition Corp.(6) | 83,545 | 835 | |
Fusion Acquisition Corp. II(6) | 212,300 | 2,083 | |
G Squared Ascend I, Inc.(6) | 316,031 | 3,126 | |
G Squared Ascend I, Inc. Class A(6) | 431,233 | 4,248 | |
G Squared Ascend II, Inc.(6) | 171,106 | 1,656 | |
Gesher I Acquisition Corp.(6) | 125,606 | 1,240 | |
Goal Acquisitions Corp.(6) | 606,837 | 5,923 | |
Golden Falcon Acquisition Corp. Class A(6) | 345,674 | 3,391 | |
Gores Holdings VII, Inc. Class A(6) | 440,392 | 4,311 | |
Gores Holdings VIII, Inc. Class A (6) | 5,432 | 54 | |
Gores Technology Partners II, Inc. Class A(6) | 711,485 | 6,958 | |
Gores Technology Partners, Inc. Class A(6) | 603,976 | 5,919 | |
Graf Acquisition Corp. IV(6) | 222,759 | 2,163 | |
Haymaker Acquisition Corp. III(6) | 334,161 | 3,308 | |
Health Assurance Acquisition Corp. Class A(6) | 436,766 | 4,302 | |
Healthcare Services Acquisition Corp. Class A(6) | 450,508 | 4,415 | |
Hennessy Capital Investment Corp. V(6) | 8,400 | 83 | |
Hennessy Capital Investment Corp. VI Class A(6) | 451,213 | 4,377 | |
Highland Transcend Partners I Corp. Class A(6) | 20,847 | 205 | |
Home Plate Acquisition Corp. Class A(6) | 294,903 | 2,866 | |
Horizon Acquisition Corp. II Class A(6) | 432,894 | 4,290 |
Shares/Units | Value | ||
HPX Corp. Class A(6) | 49,224 | $ 488 | |
Hudson Executive Investment Corp. II(6) | 17,300 | 170 | |
Independence Holdings Corp.(6) | 113,012 | 1,123 | |
Independence Holdings Corp. Class A(6) | 306,692 | 3,003 | |
Infinite Acquisition Corp.(6) | 104,431 | 1,040 | |
INSU Acquisition Corp. III Class A(6) | 436,638 | 4,288 | |
InterPrivate II Acquisition Corp.(6) | 63,494 | 621 | |
InterPrivate III Financial Partners, Inc. Class A(6) | 63,490 | 627 | |
InterPrivate IV InfraTech Partners, Inc.(6) | 16,373 | 161 | |
ION Acquisition Corp. 3 Ltd. Class A(6) | 437,873 | 4,265 | |
Isleworth Healthcare Acquisition Corp.(6) | 436,449 | 4,321 | |
Jack Creek Investment Corp.(6) | 116,600 | 1,152 | |
Jack Creek Investment Corp. Class A(6) | 302,112 | 2,964 | |
Jaws Hurricane Acquisition Corp. Class A(6) | 391,573 | 3,826 | |
Jaws Juggernaut Acquisition Corp.(6) | 295,167 | 2,916 | |
Jaws Juggernaut Acquisition Corp. Class A(6) | 131,123 | 1,280 | |
Jaws Mustang Acquisition Corp.(6) | 36,600 | 362 | |
Jaws Mustang Acquisition Corp. Class A(6) | 483,788 | 4,746 | |
JOFF Fintech Acquisition Corp. Class A(6) | 246,856 | 2,412 | |
Juniper II Corp. Class A(6) | 6,049 | 60 | |
Kensington Capital Acquisition Corp. IV(6) | 358,384 | 3,587 | |
Kensington Capital Acquisition Corp. V(6) | 169,255 | 1,743 | |
Khosla Ventures Acquisition Co. Class A(6) | 440,241 | 4,306 | |
Khosla Ventures Acquisition Co. III Class A(6) | 388,928 | 3,800 | |
Kismet Acquisition Three Corp.(6) | 84 | 1 | |
Kismet Acquisition Three Corp. Class A(6) | 438,780 | 4,296 | |
KKR Acquisition Holdings I Corp.(6) | 424,235 | 4,200 | |
KL Acquisition Corp. Class A(6) | 622,584 | 6,108 | |
KludeIn I Acquisition Corp.(6) | 32,000 | 319 | |
L Catterton Asia Acquisition Corp. Class A(6) | 439,236 | 4,287 | |
Landcadia Holdings IV, Inc. Class A(6) | 434,726 | 4,269 | |
LAVA Medtech Acquisition Corp. Class A(6) | 197,384 | 1,964 | |
LDH Growth Corp. I Class A(6) | 438,110 | 4,285 | |
Lerer Hippeau Acquisition Corp. Class A(6) | 440,533 | 4,295 | |
Live Oak Crestview Climate Acquisition Corp.(6) | 430,057 | 4,210 | |
Live Oak Mobility Acquisition Corp. Class A(6) | 208,944 | 2,050 | |
Longview Acquisition Corp. II Class A(6) | 426,920 | 4,167 | |
M3-Brigade Acquisition II Corp. Class A(6) | 429,828 | 4,199 | |
Macondray Capital Acquisition Corp. I(6) | 191,600 | 1,916 | |
Macondray Capital Acquisition Corp. I Class A(6) | 433,753 | 4,290 | |
Magnum Opus Acquisition Ltd. Class A(6) | 429,084 | 4,252 | |
Marlin Technology Corp. Class A(6) | 661,635 | 6,497 | |
Mason Industrial Technology, Inc.(6) | 197,230 | 1,943 | |
Medicus Sciences Acquisition Corp. Class A(6) | 164,000 | 1,604 | |
MedTech Acquisition Corp. Class A(6) | 346,875 | 3,399 | |
Metals Acquisition Corp. Class A(6) | 84,063 | 837 | |
Motive Capital Corp. II(6) | 250,495 | 2,555 | |
Motive Capital Corp. II Class A(6) | 184,925 | 1,834 | |
Music Acquisition Corp. (The)(6) | 205,000 | 2,021 | |
New Vista Acquisition Corp. Class A(6) | 76,113 | 745 | |
Newbury Street Acquisition Corp.(6) | 62,108 | 610 | |
Newcourt Acquisition Corp.(6) | 170,491 | 1,705 | |
Newcourt Acquisition Corp. Class A(6) | 80,403 | 805 | |
Noble Rock Acquisition Corp.(6) | 18,600 | 183 | |
North Atlantic Acquisition Corp. Class A(6) | 437,086 | 4,314 | |
North Mountain Merger Corp. Class A(6) | 217,892 | 2,155 | |
Northern Genesis Acquisition Corp. III Class A(6) | 437,421 | 4,265 | |
Northern Star Investment Corp. II Class A(6) | 444,137 | 4,344 | |
Omega Alpha SPAC Class A(6) | 161,367 | 1,585 | |
Oscar Health, Inc. Class A(6) | 500 | 5 | |
Pathfinder Acquisition Corp. Class A(6) | 370,605 | 3,625 | |
Patria Latin American Opportunity Acquisition Corp.(6) | 33,214 | 334 | |
Peridot Acquisition Corp. II(6) | 176,260 | 1,731 |
See Notes to Schedule of Investments
4
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2022
($ reported in thousands)
Shares/Units | Value | ||
Peridot Acquisition Corp. II Class A(6) | 438,326 | $ 4,287 | |
Pershing Square Tontine Holdings Ltd. Class A(6) | 547,537 | 10,891 | |
Phoenix Biotech Acquisition Corp.(6) | 125,563 | 1,264 | |
Pioneer Merger Corp. Class A(6) | 436,650 | 4,279 | |
Pivotal Investment Corp. III(6) | 54,665 | 534 | |
Pontem Corp. Class A(6) | 403,899 | 3,962 | |
Portage Fintech Acquisition Corp. Class A(6) | 167,307 | 1,641 | |
Post Holdings Partnering Corp. Class A(6) | 651,708 | 6,374 | |
Prime Impact Acquisition I(6) | 3,935 | 39 | |
Prime Impact Acquisition I Class A(6) | 454,200 | 4,492 | |
Progress Acquisition Corp.(6) | 6,819 | 68 | |
PROOF Acquisition Corp. I(6) | 334,456 | 3,321 | |
Property Solutions Acquisition Corp. II(6) | 130,444 | 1,277 | |
Prospector Capital Corp. Class A(6) | 465,264 | 4,560 | |
Pyrophyte Acquisition Corp.(6) | 167,546 | 1,686 | |
Queen’s Gambit Growth Capital Class A(6) | 525,881 | 5,259 | |
RedBall Acquisition Corp. Class A(6) | 791,741 | 7,862 | |
Revolution Healthcare Acquisition Corp. Class A(6) | 879,167 | 8,625 | |
RMG Acquisition Corp. III Class A(6) | 863,887 | 8,466 | |
Rocket Internet Growth Opportunities Corp.(6) | 372,661 | 3,656 | |
Ross Acquisition Corp. II(6) | 11,064 | 110 | |
Ross Acquisition Corp. II Class A(6) | 433,661 | 4,259 | |
RXR Acquisition Corp. Class A(6) | 445,738 | 4,346 | |
ScION Tech Growth II(6) | 80,650 | 793 | |
Screaming Eagle Acquisition Corp.(6) | 753,357 | 7,534 | |
Seaport Calibre Materials Acquisition Corp.(6) | 83,325 | 826 | |
Semper Paratus Acquisition Corp.(6) | 167,465 | 1,691 | |
Senior Connect Acquisition Corp. I Class A(6) | 317,258 | 3,112 | |
Shelter Acquisition Corp. I(6) | 379,078 | 3,768 | |
ShoulderUp Technology Acquisition Corp. Class A(6) | 187,519 | 1,851 | |
SILVERspac, Inc. Class A(6) | 39,614 | 382 | |
Simon Property Group Acquisition Holdings, Inc.(6) | 368,092 | 3,633 | |
Simon Property Group Acquisition Holdings, Inc. Class A(6) | 646,902 | 6,327 | |
Slam Corp.(6) | 407,140 | 4,006 | |
Slam Corp. Class A(6) | 31,355 | 306 | |
Soar Technology Acquisition Corp.(6) | 84,290 | 862 | |
Social Capital Hedosophia Holdings Corp. VI Class A(6) | 262,291 | 2,649 | |
Social Capital Suvretta Holdings Corp. I Class A(6) | 119,151 | 1,178 | |
Social Capital Suvretta Holdings Corp. III Class A(6) | 24 | —(8) | |
Social Capital Suvretta Holdings Corp. IV Class A(6) | 23,830 | 232 | |
Software Acquisition Group, Inc. III Class A(6) | 9,551 | 95 | |
Sound Point Acquisition Corp. I Ltd.(6) | 41,468 | 417 | |
Supernova Partners Acquisition Co. III Ltd. Class A(6) | 831,008 | 8,127 | |
Sustainable Development Acquisition I Corp.(6) | 22,700 | 224 | |
SVF Investment Corp.(6) | 139,921 | 1,388 | |
SVF Investment Corp. Class A(6) | 440,012 | 4,312 | |
SVF Investment Corp. 2 Class A(6) | 13,746 | 135 | |
SVF Investment Corp. 3 Class A(6) | 346,286 | 3,432 | |
Tailwind Acquisition Corp. Class A(6) | 1,073,615 | 10,623 | |
Tailwind International Acquisition Corp. Class A(6) | 94,415 | 924 | |
Target Global Acquisition I Corp.(6) | 375,602 | 3,745 | |
TCV Acquisition Corp. Class A(6) | 282,250 | 2,755 | |
Thunder Bridge Capital Partners III, Inc. Class A(6) | 406,750 | 3,994 | |
Tishman Speyer Innovation Corp. II Class A(6) | 352,710 | 3,457 | |
TortoiseEcofin Acquisition Corp. III Class A(6) | 440,756 | 4,284 | |
Tribe Capital Growth Corp. I(6) | 222,494 | 2,187 | |
Tribe Capital Growth Corp. I Class A(6) | 219,127 | 2,134 | |
Twelve Seas Investment Co. II(6) | 31,437 | ��309 | |
TZP Strategies Acquisition Corp.(6) | 50,000 | 493 | |
USHG Acquisition Corp. Class A(6) | 264,912 | 2,678 | |
VectoIQ Acquisition Corp. II Class A(6) | 315,940 | 3,109 | |
Vector Acquisition Corp. II Class A(6) | 101,284 | 988 |
Shares/Units | Value | ||
Virgin Group Acquisition Corp. II Class A(6) | 816,663 | $ 8,052 | |
Viscogliosi Brothers Acquisition Corp.(6) | 125,599 | 1,248 | |
Vy Global Growth Class A(6) | 567,814 | 5,621 | |
Warburg Pincus Capital Corp. I Class A(6) | 434,280 | 4,269 | |
Warrior Technologies Acquisition Co. Class A(6) | 439,403 | 4,346 | |
Z-Work Acquisition Corp. Class A(6) | 290,581 | 2,839 | |
Total Special Purpose Acquisition Companies (Identified Cost $770,885) | 766,796 | ||
Shares | ||
Purchased Options—0.1% | ||
(See open purchased options schedule) | ||
Total Purchased Options (Premiums paid $10,053) | 5,146 | |
Private Investments in Public Equity—0.0% | ||
MarketWise, Inc.(6) | 65,608 | 310 |
Microvast Holdings, Inc.(4)(6)(9) | 61,000 | 388 |
Total Private Investments in Public Equity (Identified Cost $1,266) | 698 | |
Escrow Notes—2.7% | ||
Financials—2.7% | ||
Altaba, Inc. Escrow(6) | 20,262,111 | 118,533 |
Industrials—0.0% | ||
AMR Corp. Escrow Shares(4)(6) | 1,243,406 | 25 |
Total Escrow Notes (Identified Cost $83,158) | 118,558 | |
Total Long-Term Investments—69.9% (Identified Cost $3,048,457) | 3,062,183 | |
Short-Term Investments—25.8% | ||
Money Market Mutual Funds—25.8% | ||
BlackRock Liquidity FedFund, Institutional Shares (seven-day effective yield 0.231%)(10) | 192,800,000 | 192,800 |
Federated Hermes Government Obligations Fund, Institutional Shares (seven-day effective yield 0.140%)(10) | 164,975,890 | 164,976 |
Goldman Sachs Financial Square Government Fund, Standard Shares (seven-day effective yield 0.248%)(10) | 192,800,000 | 192,800 |
Invesco Government & Agency Portfolio, Institutional Shares (seven-day effective yield 0.249%)(10) | 192,800,000 | 192,800 |
JPMorgan U.S. Government Money Market Fund, Capital Shares (seven-day effective yield 0.246%)(10) | 192,800,000 | 192,800 |
Morgan Stanley Liquidity Fund Government Portfolio, Institutional Shares (seven-day effective yield 0.230%)(10) | 192,800,000 | 192,800 |
Total Short-Term Investments (Identified Cost $1,128,976) | 1,128,976 | |
See Notes to Schedule of Investments
5
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2022
($ reported in thousands)
Shares | Value | ||
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT AND WRITTEN OPTIONS—95.7% (Identified Cost $4,177,433) | $4,191,159 | ||
Securities Sold Short—(5.5)% |
Par Value | ||
U.S. Government Security—(0.0)% | ||
U.S. Treasury Notes 2.375%, 5/15/51 | $ (1,170) | (1,146) |
Total U.S. Government Security (Identified Cost $(1,293)) | (1,146) | |
Shares | ||
Common Stocks—(5.5)% | ||
Communication Services—(1.1)% | ||
Take-Two Interactive Software, Inc.(6) | (301,126) | (46,295) |
Energy—(0.3)% | ||
Whiting Petroleum Corp. | (142,599) | (11,623) |
Financials—(1.9)% | ||
Aon plc | (99,153) | (32,288) |
M&T Bank Corp. | (307,092) | (52,052) |
(84,340) | ||
Information Technology—(1.1)% | ||
Entegris, Inc. | (214,194) | (28,115) |
MKS Instruments, Inc. | (70,389) | (10,558) |
NortonLifeLock, Inc. | (371,250) | (9,846) |
(48,519) | ||
Real Estate—(1.1)% | ||
Healthcare Realty Trust, Inc. | (1,805,718) | (49,621) |
Total Common Stocks (Identified Proceeds $(237,377)) | (240,398) | |
Total Securities Sold Short (Identified Proceeds $(238,670)) | (241,544) | |
Written Options—(0.5)% | ||
(See open written options schedule) | ||
Total Written Options (Premiums received $22,280) | (21,496) | |
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT AND WRITTEN OPTIONS—89.7% (Identified Cost $3,916,483) | $3,928,119 | |
Other assets and liabilities, net—10.3% | 450,574 | |
NET ASSETS—100.0% | $4,378,693 |
Abbreviations: | |
ADR | American Depositary Receipt |
ETF | Exchange-Traded Fund |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLP | Limited Liability Partnership |
LP | Limited Partnership |
OBFR | Overnight Bank Funding Rate |
REIT | Real Estate Investment Trust |
S&P | Standard & Poor’s |
SOFR | Secured Overnight Financing Rate |
SPAC | Special Purpose Acquisition Company |
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 March 31, 2022, these securities amounted to a value of $190,102 or 4.3% of net assets. |
(2) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(3) | Variable rate security. Rate disclosed is as of March 31, 2022. 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) | 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. |
(5) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(6) | Non-income producing. |
(7) | All or a portion of the shares have been committed as collateral for open securities sold short, written option contracts, swap contracts, and forward currency exchange contracts. |
(8) | Amount is less than $500. |
(9) | All or a portion of the security is restricted. |
(10) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Counterparties: | |
JPM | JPMorgan Chase Bank N.A. |
GS | Goldman Sachs & Co. |
BAML | Bank of America--Merrill Lynch |
Foreign Currencies: | |
AUD | Australian Dollar |
CAD | Canadian Dollar |
EUR | Euro |
GBP | United Kingdom Pound Sterling |
JPY | Japanese Yen |
USD | United States Dollar |
See Notes to Schedule of Investments
6
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2022
($ reported in thousands)
Country Weightings† | |
United States | 86% |
Cayman Islands | 10 |
Canada | 2 |
United Kingdom | 2 |
Jersey | 1 |
Other | (1) |
Total | 100% |
†% of total investments, net of securities sold short and written options, as of March 31, 2022. |
Open Purchased Options contracts as of March 31, 2022 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Put Options(2) | |||||
AT&T, Inc. | 13,725 | $26,078 | $19.00 | 06/17/22 | $192 |
GlaxoSmithKline plc | 5,019 | 19,072 | 38.00 | 05/20/22 | 75 |
Hartford Financial Services Group, Inc. (The) | 3,490 | 19,195 | 55.00 | 06/17/22 | 113 |
iShares iBoxx High Yield Corporate Bond ETF | 4,695 | 38,029 | 81.00 | 06/17/22 | 686 |
Lennar Corp. | 2,634 | 18,438 | 70.00 | 05/20/22 | 316 |
Lennar Corp. | 69 | 483 | 70.00 | 08/19/22 | 25 |
SPDR S&P 500 ETF Trust | 3,491 | 144,876 | 415.00 | 04/14/22 | 178 |
Take-Two Interactive Software, Inc. | 859 | 13,315 | 155.00 | 06/17/22 | 911 |
Vodafone Group plc | 13,120 | 19,680 | 15.00 | 05/20/22 | 236 |
XPO Logistics, Inc. | 2,826 | 19,076 | 67.50 | 08/19/22 | 1,413 |
XPO Logistics, Inc. | 2,945 | 18,406 | 62.50 | 08/19/22 | 1,001 |
Total Purchased Options | $5,146 | ||||
Footnote Legend: | |||||
(1) Strike price not reported in thousands. | |||||
(2) Exchange-traded options. |
Open Written Options contracts as of March 31, 2022 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Activision Blizzard, Inc. | (1,354) | $(10,493) | $77.50 | 04/14/22 | $(425) |
Activision Blizzard, Inc. | (1,146) | (8,881) | 77.50 | 05/20/22 | (352) |
Activision Blizzard, Inc. | (2,462) | (19,696) | 80.00 | 05/20/22 | (276) |
Anaplan, Inc. | (210) | (1,470) | 70.00 | 04/14/22 | (1) |
Anaplan, Inc. | (2,098) | (14,161) | 67.50 | 05/20/22 | (19) |
Anaplan, Inc. | (755) | (5,285) | 70.00 | 05/20/22 | (4) |
AT&T, Inc. | (13,725) | (30,195) | 22.00 | 06/17/22 | (2,704) |
Citrix Systems, Inc. | (855) | (8,977) | 105.00 | 04/14/22 | (4) |
Five9, Inc. | (504) | (5,544) | 110.00 | 04/14/22 | (202) |
GlaxoSmithKline plc | (5,019) | (20,578) | 41.00 | 05/20/22 | (1,481) |
Hartford Financial Services Group, Inc. (The) | (3,490) | (22,685) | 65.00 | 06/17/22 | (3,106) |
Houghton Mifflin Harcourt Co. | (1,153) | (2,594) | 22.50 | 05/20/22 | (35) |
Houghton Mifflin Harcourt Co. | (7) | (18) | 25.00 | 05/20/22 | (—)(3) |
Houghton Mifflin Harcourt Co. | (7,087) | (15,946) | 22.50 | 06/17/22 | (248) |
Lennar Corp. | (2,634) | (19,755) | 75.00 | 05/20/22 | (2,186) |
Lennar Corp. | (69) | (518) | 75.00 | 08/19/22 | (75) |
Magnachip Semiconductor Corp. | (493) | (863) | 17.50 | 04/14/22 | (12) |
Mandiant, Inc. | (16) | (40) | 25.00 | 04/14/22 | (—)(3) |
Mandiant, Inc. | (17) | (41) | 24.00 | 09/16/22 | (—)(3) |
MoneyGram International, Inc. | (2,359) | (2,595) | 11.00 | 04/14/22 | (2) |
MoneyGram International, Inc. | (2,996) | (3,296) | 11.00 | 05/20/22 | (9) |
Plantronics, Inc. | (2,349) | (9,396) | 40.00 | 05/20/22 | (47) |
See Notes to Schedule of Investments
7
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2022
($ reported in thousands)
Open Written Options contracts as of March 31, 2022 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Social Capital Hedosophia Holdings Corp. VI | (1,063) | $(1,063) | $10.00 | 04/14/22 | $(13) |
Social Capital Hedosophia Holdings Corp. VI | (1,559) | (1,559) | 10.00 | 05/20/22 | (33) |
SPDR S&P 500 ETF Trust | (873) | (37,975) | 435.00 | 04/14/22 | (1,698) |
Vodafone Group plc | (13,120) | (20,992) | 16.00 | 05/20/22 | (1,443) |
XPO Logistics, Inc. | (2,945) | (19,879) | 67.50 | 08/19/22 | (3,375) |
XPO Logistics, Inc. | (2,826) | (20,488) | 72.50 | 08/19/22 | (2,232) |
Zynga, Inc. | (10,042) | (8,034) | 8.00 | 04/14/22 | (1,265) |
(21,247) | |||||
Put Options(2) | |||||
iShares iBoxx High Yield Corporate Bond ETF | (4,695) | (35,213) | 75.00 | 06/17/22 | (178) |
SPDR S&P 500 ETF Trust | (2,618) | (102,102) | 390.00 | 04/14/22 | (71) |
(249) | |||||
Total Written Options | $(21,496) |
Footnote Legend: | |
(1) Strike price not reported in thousands. | |
(2) Exchange-traded options. | |
(3) Amount is less than $500. |
Forward foreign currency exchange contracts as of March 31, 2022 were as follows: | ||||||||
Currency Purchased | Currency Amount Purchased | Currency Sold | Currency Amount Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | |
AUD | 85,980 | USD | 63,420 | GS | 04/08/22 | $925 | $— | |
AUD | 643 | USD | 464 | JPM | 04/11/22 | 18 | — | |
GBP | 2,543 | USD | 3,416 | GS | 04/20/22 | — | (75) | |
GBP | 3,839 | USD | 5,062 | JPM | 05/04/22 | — | (21) | |
GBP | 794 | USD | 1,048 | JPM | 09/14/22 | — | (5) | |
JPY | 1,754,380 | USD | 14,462 | JPM | 04/22/22 | — | (46) | |
USD | 61,624 | AUD | 85,979 | GS | 04/08/22 | — | (2,720) | |
USD | 8,974 | AUD | 12,534 | GS | 04/11/22 | — | (407) | |
USD | 17,153 | AUD | 23,346 | JPM | 04/11/22 | — | (318) | |
USD | 98,891 | GBP | 72,253 | GS | 04/20/22 | 3,984 | — | |
USD | 33,207 | JPY | 3,807,788 | JPM | 04/22/22 | 1,915 | — | |
USD | 1,755 | EUR | 1,548 | GS | 04/29/22 | 41 | — | |
USD | 5,199 | GBP | 3,839 | JPM | 05/04/22 | 158 | — | |
USD | 52,741 | CAD | 66,522 | JPM | 05/20/22 | — | (461) | |
USD | 24,316 | EUR | 22,238 | JPM | 05/26/22 | — | (334) | |
USD | 6,325 | JPY | 761,976 | JPM | 06/22/22 | 52 | — | |
USD | 913 | EUR | 796 | GS | 06/24/22 | 29 | — | |
USD | 8,786 | GBP | 6,509 | JPM | 06/29/22 | 238 | — | |
USD | 20,991 | AUD | 29,312 | GS | 07/20/22 | — | (988) | |
USD | 8,175 | EUR | 7,214 | GS | 07/20/22 | 157 | — | |
USD | 15,355 | AUD | 21,030 | GS | 07/27/22 | — | (417) | |
USD | 1,043 | GBP | 794 | JPM | 09/14/22 | —(1) | — | |
USD | 24,635 | EUR | 22,157 | JPM | 09/15/22 | — | (78) | |
USD | 8,873 | EUR | 7,990 | GS | 11/23/22 | — | (80) | |
Total | $7,517 | $(5,950) |
Footnote Legend: | |
(1) | Amount is less than $500. |
See Notes to Schedule of Investments
8
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2022
($ reported in thousands)
Over-the-counter total return swaps outstanding as of March 31, 2022 were as follows: | ||||||||||
Referenced Entity | Pay/Receive | Financing Rate(1) | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value | Unrealized Appreciation | Unrealized (Depreciation) | |
Long Total Return Swap Contracts | ||||||||||
Avast plc | Pay | 0.880% (0.610% + SOFR) | 1 Month | GS | 09/12/22 | 98,541 | USD | $(7,212) | $— | $(7,212) |
BP Midstream Partners LP | Pay | 1.330% (1.010% + OBFR) | 1 Month | GS | 01/23/23 | 3,047 | USD | 362 | 362 | — |
Bristol-Myers Squibb Co.(2),(3) | Pay | 0.000% | 1 Month | BAML | 09/02/22 | — | USD | 371 | 371 | — |
Brookfield Property LP | Pay | 1.070% (0.750% + OBFR) | 1 Month | BAML | 12/08/22 | 1,284 | USD | (133) | — | (133) |
Cazoo Group Ltd. | Receive | (10.680%) ((11.000)% + OBFR) | 1 Month | BAML | 12/26/22 | 1,704 | USD | (1,167) | — | (1,167) |
Cazoo Group Ltd. | Receive | (17.73%) ((18.000)% + SOFR) | 1 Month | GS | 12/26/22 | 4,311 | USD | (2,862) | — | (2,862) |
CNP Assurances | Pay | 0.820% (0.500% + OBFR) | 1 Month | BAML | 12/08/22 | 25,343 | USD | (897) | — | (897) |
Crown Resorts Ltd. | Pay | 0.930% (0.610% + OBFR) | 1 Month | GS | 03/20/23 | 14,526 | USD | 762 | 762 | — |
Hitachi Metals Ltd. | Pay | 0.870% (0.550% + OBFR) | 3 Month | JPM | 08/19/22 | 2,960 | USD | (340) | — | (340) |
Hitachi Metals Ltd. | Pay | 0.870% (0.550% + OBFR) | 3 Month | JPM | 08/22/22 | 845 | USD | (117) | — | (117) |
Hitachi Metals Ltd. | Pay | 0.870% (0.550% + OBFR) | 3 Month | JPM | 08/26/22 | 321 | USD | (43) | — | (43) |
Hitachi Metals Ltd. | Pay | 0.870% (0.550% + OBFR) | 3 Month | JPM | 09/05/22 | 3,240 | USD | (453) | — | (453) |
Hitachi Metals Ltd. | Pay | 0.870% (0.550% + OBFR) | 3 Month | JPM | 09/12/22 | 2,623 | USD | (352) | — | (352) |
Hitachi Metals Ltd. | Pay | 0.870% (0.550% + OBFR) | 3 Month | JPM | 09/19/22 | 272 | USD | (38) | — | (38) |
Hitachi Metals Ltd. | Pay | 0.870% (0.550% + OBFR) | 3 Month | JPM | 12/08/22 | 5,792 | USD | (693) | — | (693) |
Hitachi Metals Ltd. | Pay | 0.870% (0.550% + OBFR) | 3 Month | JPM | 12/09/22 | 2,129 | USD | (260) | — | (260) |
InterTrust N.V. | Pay | 0.870% (0.550% + OBFR) | 3 Month | JPM | 02/27/23 | 3,851 | USD | 32 | 32 | — |
InterTrust N.V. | Pay | 0.870% (0.550% + OBFR) | 3 Month | JPM | 03/28/23 | 1,037 | USD | 10 | 10 | — |
InterTrust N.V. | Pay | 0.870% (0.550% + OBFR) | 3 Month | JPM | 04/03/23 | 1,885 | USD | 4 | 4 | — |
InterTrust N.V. | Pay | 0.870% (0.550% + OBFR) | 3 Month | JPM | 04/07/23 | 2,968 | USD | 51 | 51 | — |
InterTrust N.V. | Pay | 0.870% (0.550% + OBFR) | 3 Month | JPM | 04/10/23 | 10,453 | USD | 369 | 369 | — |
InterTrust N.V. | Pay | 0.870% (0.550% + OBFR) | 3 Month | JPM | 04/04/23 | 3,372 | USD | 45 | 45 | — |
Lagardere S.A. | Pay | 0.930% (0.610% + OBFR) | 1 Month | GS | 04/03/23 | 8,571 | USD | 32 | 32 | — |
Link Administration Holdings Ltd. | Pay | 0.880% (0.610% + SOFR) | 1 Month | GS | 02/24/23 | 20,115 | USD | 183 | 183 | — |
Meggit plc | Pay | 1.080% (0.810% + SOFR) | 1 Month | GS | 09/12/22 | 91,223 | USD | (4,506) | — | (4,506) |
Neles OY | Pay | 0.880% (0.610% + SOFR) | 1 Month | GS | 01/02/23 | 13,369 | USD | (3,986) | — | (3,986) |
Telecom Italia S.P.A | Pay | 0.880% (0.610% + SOFR) | 1 Month | GS | 02/13/23 | 6,406 | USD | (1,742) | — | (1,742) |
Toshiba Corporation | Pay | 0.870% (0.550% + OBFR) | 3 Month | JPM | 05/16/22 | 6,191 | USD | (730) | — | (730) |
Uniper S.E. | Pay | 0.880% (0.610% + SOFR) | 1 Month | GS | 12/12/22 | 806 | USD | (325) | — | (325) |
Vifore Pharma AG | Pay | 0.930% (0.610% + OBFR) | 1 Month | GS | 04/03/23 | 33,053 | USD | 916 | 916 | — |
Vifore Pharma AG | Pay | 0.870% (0.550% + OBFR) | 3 Month | JPM | 04/03/23 | 73,214 | USD | 1,043 | 1,043 | — |
Vifore Pharma AG | Pay | 0.870% (0.550% + OBFR) | 3 Month | JPM | 04/24/23 | 4,312 | USD | 68 | 68 | — |
Willis Towers Watson plc | Pay | 0.880% (0.610% + SOFR) | 1 Month | GS | 10/27/22 | 26,298 | USD | 527 | 527 | — |
4,775 | (25,856) | |||||||||
Short Total Return Swap Contracts | ||||||||||
BP plc | Pay | (0.080%) ((0.400)% + OBFR) | 1 Month | BAML | 04/03/23 | (2,863) | USD | (91) | — | (91) |
BP plc | Pay | (0.080%) ((0.400)% + OBFR) | 1 Month | BAML | 04/04/23 | (464) | USD | 11 | 11 | — |
Healthcare Realty Trust, Inc. | Pay | (0.080%) ((0.400)% + OBFR) | 1 Month | BAML | 04/04/23 | (2,464) | USD | 28 | 28 | — |
Healthcare Realty Trust, Inc. | Pay | (0.080%) ((0.400)% + OBFR) | 1 Month | BAML | 04/25/23 | (3,504) | USD | — (4) | — (4) | — |
Healthcare Realty Trust, Inc. | Pay | (0.080%) ((0.400)% + OBFR) | 1 Month | BAML | 04/28/23 | (3,558) | USD | 28 | 28 | — |
Healthcare Realty Trust, Inc. | Pay | (0.080%) ((0.400)% + OBFR) | 1 Month | BAML | 05/01/23 | (11,632) | USD | 91 | 91 | — |
Healthcare Realty Trust, Inc. | Pay | (0.080%) ((0.400)% + OBFR) | 1 Month | BAML | 05/04/23 | (3,942) | USD | — (4) | — (4) | — |
II-VI Incorporated | Pay | (0.080%) ((0.350)% + SOFR) | 1 Month | GS | 05/12/22 | (47,598) | USD | 1,477 | 1,477 | — |
New York Community Bancorp, Inc. | Pay | (0.080%) ((0.400)% + OBFR) | 1 Month | BAML | 01/10/23 | (2,343) | USD | 306 | 306 | — |
New York Community Bancorp, Inc. | Pay | (0.080%) ((0.400)% + OBFR) | 1 Month | BAML | 01/13/23 | (2,293) | USD | 257 | 257 | — |
New York Community Bancorp, Inc. | Pay | (0.080%) ((0.400)% + OBFR) | 1 Month | BAML | 01/16/23 | (595) | USD | 58 | 58 | — |
See Notes to Schedule of Investments
9
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2022
($ reported in thousands)
Over-the-counter total return swaps outstanding as of March 31, 2022 were as follows (continued): | |||||||||||
Referenced Entity | Pay/Receive | Financing Rate(1) | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value | Unrealized Appreciation | Unrealized (Depreciation) | ||
Valmet Corp. | Pay | 0.000% ((0.270)% + SOFR) | 1 Month | GS | 01/02/23 | (11,962) | USD | $2,581 | $2,581 | $— | |
4,837 | (91) | ||||||||||
Total | $9,612 | $(25,947) |
Footnote Legend: | |
(1) | The Fund pays the floating rate (+/- a spread) and receives the total return of the reference entity. |
(2) | 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. |
(3) | 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. |
(4) | Amount is less than $500. |
The following table summarizes the market value of the Fund’s investments as of March 31, 2022, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
Total Value at March 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $223,539 | $— | $223,539 | $— | |||
Leveraged Loans | 44,860 | — | 28,937 | 15,923 | |||
Equity Securities: | |||||||
Common Stocks | 1,895,216 | 1,883,812 | 10,879 | 525 | |||
Rights | 464(1) | — | — | 464(1) | |||
Escrow Notes | 118,558 | — | 118,533 | 25 | |||
Warrants | 3,445(1) | 2,876 | — | 569(1) | |||
Special Purpose Acquisition Companies | 766,796 | 761,537 | 5,259 | — | |||
Preferred Stock | 3,461 | 3,461 | — | — | |||
Private Investments in Public Equity | 698 | 310 | — | 388 | |||
Money Market Mutual Fund | 1,128,976 | 1,128,976 | — | — | |||
Other Financial Instruments: | |||||||
Purchased Options | 5,146 | 3,545 | 1,601 | — | |||
Forward Foreign Currency Exchange Contracts | 7,813 | — | 7,813 | — | |||
Over-the-Counter Total Return Swaps | 9,612 | — | 9,241 | 371 | |||
Total Investments, before Securities Sold Short and Written Options | 4,208,584 | 3,784,517 | 405,802 | 18,265 | |||
Liabilities: | |||||||
Securities Sold Short: | |||||||
Common Stocks | (240,398) | (240,398) | — | — | |||
U.S. Government Security | (1,146) | — | (1,146) | — | |||
Other Financial Instruments: | |||||||
Written Options | (21,496) | (13,093) | (8,403) | — | |||
Forward Foreign Currency Exchange Contracts | (6,246) | — | (6,246) | — | |||
Over-the-Counter Total Return Swaps | (25,947) | — | (25,947) | — | |||
Total Liabilities | (295,233) | (253,491) | (41,742) | — | |||
Total Investments, Net of Securities Sold Short and Written Options | $3,913,351 | $3,531,026 | $364,060 | $18,265 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
See Notes to Schedule of Investments
10
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2022
($ reported in thousands)
Security held by the Fund with an end of period value of $525 was transferred from Level 2 to Level 3 due to a decrease in trading activities at period end.
Some of the Fund’s investments that were categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the roll-forward of Level 3 securities and assumptions are not shown for the period ended March 31, 2022.
See Notes to Schedule of Investments
11
THE MERGER FUND®
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2022
Note 1. Security Valuation
The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s 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 Valuation Committee’s own assumptions in determining the fair value of investments). |
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, exchange-traded funds (“ETFs”), and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt securities, including convertible bonds and restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, activity of the underlying equities, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities, may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities, and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are internally fair valued by the Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options and futures, that are actively traded are valued at the last posted settlement price from the exchange where they are principally traded and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts, swaps, swaptions, options and equity linked instruments, are valued based on model prices provided by independent pricing services or from dealer quotes. Depending on the derivative type and the specific terms of the transaction, these models vary and include observable inputs in actively quoted markets including but not limited to: underlying reference entity details, indices, spreads, interest rates, yield curves, dividend and exchange rates. These instruments are generally categorized as Level 2 in the hierarchy. Centrally cleared swaps listed or traded on a bilateral or trade facility platform, such as a registered exchange, are valued at the last posted settlement price determined by the respective exchange. These securities are generally categorized as Level 2 within the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
For additional information about significant accounting policies, refer to the Fund’s most recent semi or annual report.
12