The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2022
($ reported in thousands)
Par Value | Value | ||
Convertible Bonds and Notes—1.2% | |||
Health Care—0.3% | |||
1Life Healthcare, Inc. 3.000%, 6/15/25 | $ 11,917 | $ 11,530 | |
Aerie Pharmaceuticals, Inc. 1.500%, 10/1/24 | 3,612 | 3,536 | |
15,066 | |||
Information Technology—0.9% | |||
Avalara, Inc. 0.250%, 8/1/26 | 37,895 | 36,644 | |
Total Convertible Bonds and Notes (Identified Cost $51,976) | 51,710 | ||
Corporate Bonds and Notes—7.3% | |||
Communication Services—1.8% | |||
Connect Finco S.a.r.l. 144A 6.750%, 10/1/26(1) | 7,529 | 6,585 | |
GrubHub Holdings, Inc. 144A 5.500%, 7/1/27(1) | 22,114 | �� 15,265 | |
TEGNA, Inc. | |||
4.625%, 3/15/28 | 16,333 | 15,079 | |
5.000%, 9/15/29 | 8,393 | 7,726 | |
Twitter, Inc. | |||
144A 3.875%, 12/15/27(1)(2) | 27,819 | 26,087 | |
144A 5.000%, 3/1/30(1) | 7,051 | 6,757 | |
WeWork Cos., LLC 144A 5.000%, 7/10/25(1) | 661 | 384 | |
77,883 | |||
Consumer Discretionary—1.1% | |||
Peninsula Pacific Entertainment LLC 144A 8.500%, 11/15/27(1) | 16,797 | 18,078 | |
Tenneco, Inc. 144A 5.125%, 4/15/29(1) | 31,999 | 31,600 | |
49,678 | |||
Consumer Staples—0.2% | |||
TreeHouse Foods, Inc. 4.000%, 9/1/28 | 10,995 | 8,767 | |
Financials—0.7% | |||
Nielsen Finance LLC | |||
144A 5.625%, 10/1/28(1) | 25,763 | 25,571 | |
144A 5.875%, 10/1/30(1) | 6,288 | 6,262 | |
31,833 | |||
Health Care—0.7% | |||
Change Healthcare Holdings LLC 144A 5.750%, 3/1/25(1) | 28,558 | 28,385 | |
Industrials—0.1% | |||
WeWork Cos., Inc. 144A 7.875%, 5/1/25(1) | 7,175 | 4,969 |
Par Value | Value | ||
Information Technology—1.4% | |||
HP, Inc. 144A 4.750%, 3/1/29(1) | $ 18,413 | $ 18,511 | |
MoneyGram International, Inc. 144A 5.375%, 8/1/26(1) | 15,851 | 15,534 | |
Switch Ltd. | |||
144A 3.750%, 9/15/28(1) | 25,156 | 24,999 | |
144A 4.125%, 6/15/29(1) | 170 | 168 | |
59,212 | |||
Materials—0.2% | |||
Resolute Forest Products, Inc. 144A 4.875%, 3/1/26(1) | 7,677 | 7,466 | |
Real Estate—1.1% | |||
iStar, Inc. | |||
4.750%, 10/1/24 | 19,922 | 19,647 | |
4.250%, 8/1/25 | 16,494 | 16,000 | |
5.500%, 2/15/26 | 9,460 | 9,520 | |
Realogy Group LLC 144A 5.250%, 4/15/30(1) | 2,000 | 1,358 | |
46,525 | |||
Total Corporate Bonds and Notes (Identified Cost $333,189) | 314,718 | ||
Leveraged Loans—0.3% | |||
Media / Telecom - Diversified Media—0.1% | |||
RentPath LLC Tranche B-1, First Lien 0.000%, 1/1/30(3)(4)(5) | 482 | 5 | |
Syniverse Holdings, Inc. (3 month Term SOFR + 7.000%) 10.553%, 5/13/27(5) | 5,380 | 4,600 | |
4,605 | |||
Service—0.2% | |||
Watts Guerra LLP 8.000%, 10/7/23(3) | 8,834 | 8,967 | |
Total Leveraged Loans (Identified Cost $14,449) | 13,572 |
Shares | ||
Preferred Stock—0.1% | ||
Industrials—0.1% | ||
Babcock & Wilcox Enterprises, Inc., 6.500%(2) | 145,221 | 3,474 |
Total Preferred Stock (Identified Cost $3,631) | 3,474 | |
Common Stocks—40.4% | ||
Communication Services—3.9% | ||
Activision Blizzard, Inc. | 674,827 | 50,167 |
MGM Holdings, Inc. Class A(6) | 131,269 | 525 |
Sciplay Corp. Class A(6) | 208,934 | 2,457 |
Shaw Communications, Inc. Class B | 658,561 | 16,016 |
TEGNA, Inc.(7) | 2,122,135 | 43,886 |
Twitter, Inc.(6) | 939,523 | 41,189 |
See Notes to Schedule of Investments
1
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Shares | Value | ||
Communication Services—continued | |||
Vodafone Group plc Sponsored ADR | 1,312,000 | $ 14,865 | |
169,105 | |||
Consumer Discretionary—1.1% | |||
Cazoo Group Ltd.(6) | 461,844 | 212 | |
Sportsman’s Warehouse Holdings, Inc.(6) | 327,633 | 2,719 | |
Tenneco, Inc. Class A(6) | 802,502 | 13,956 | |
Terminix Global Holdings, Inc.(6) | 773,680 | 29,624 | |
46,511 | |||
Consumer Staples—0.0% | |||
TPCO Holding Corp.(6) | 1,665,816 | 1,016 | |
Energy—0.1% | |||
Euronav N.V. | 167,158 | 2,573 | |
Financials—4.5% | |||
Alleghany Corp.(6)(7) | 75,974 | 63,770 | |
Cowen, Inc. Class A | 176,185 | 6,808 | |
First Horizon Corp.(7) | 5,277,587 | 120,857 | |
Flagstar Bancorp, Inc. | 107,110 | 3,577 | |
195,012 | |||
Health Care—10.0% | |||
1Life Healthcare, Inc.(6) | 4,713,074 | 80,829 | |
Aerie Pharmaceuticals, Inc.(6) | 12,629 | 191 | |
Biohaven Pharmaceutical Holding Co. Ltd.(6) | 836,837 | 126,505 | |
Change Healthcare, Inc.(6) | 3,173,006 | 87,226 | |
ChemoCentryx, Inc.(6) | 124,325 | 6,422 | |
Covetrus, Inc.(6) | 42,281 | 883 | |
Global Blood Therapeutics, Inc.(6) | 367,264 | 25,011 | |
Hanger, Inc.(6) | 42,051 | 787 | |
LHC Group, Inc.(6) | 564,393 | 92,368 | |
Signify Health, Inc. Class A(6) | 420,882 | 12,269 | |
432,491 | |||
Industrials—3.6% | |||
Atlas Air Worldwide Holdings, Inc.(6) | 994,046 | 95,001 | |
Microvast Holdings, Inc.(6) | 61,000 | 111 | |
Nielsen Holdings plc | 1,418,756 | 39,328 | |
XPO Logistics, Inc.(6) | 469,300 | 20,893 | |
155,333 | |||
Information Technology—14.7% | |||
Avalara, Inc.(6) | 1,003,719 | 92,141 | |
BTRS Holdings, Inc. Class 1(6) | 1,552,230 | 14,374 | |
Citrix Systems, Inc. | 855,502 | 88,972 | |
Computer Services, Inc. | 259,864 | 14,487 | |
Evo Payments, Inc. Class A(6) | 1,276,298 | 42,501 | |
MoneyGram International, Inc.(6) | 2,393,861 | 24,896 | |
Ping Identity Holding Corp.(6) | 55,598 | 1,560 | |
Rogers Corp.(6)(7) | 350,197 | 84,706 | |
Sierra Wireless, Inc.(6) | 11,585 | 353 | |
Silicon Motion Technology Corp. ADR | 907,655 | 59,170 | |
Switch, Inc. Class A(7) | 2,055,230 | 69,241 | |
Tower Semiconductor Ltd.(6) | 402,116 | 17,669 | |
VMware, Inc. Class A(7) | 719,593 | 76,608 |
Shares | Value | ||
Information Technology—continued | |||
Zendesk, Inc.(6) | 599,330 | $ 45,609 | |
632,287 | |||
Materials—0.3% | |||
Turquoise Hill Resources Ltd.(6) | 418,476 | 12,374 | |
Real Estate—2.2% | |||
Bluerock Residential Growth REIT, Inc. Class A | 450,222 | 12,044 | |
STORE Capital Corp. | 2,563,076 | 80,301 | |
92,345 | |||
Total Common Stocks (Identified Cost $1,835,132) | 1,739,047 | ||
Rights—0.0% | |||
Financials—0.0% | |||
Shelter Acquisition Corp. I Sponsor Shares(3)(6) | 52,650 | — | |
Health Care—0.0% | |||
Bristol Myers Squibb Co.(3)(6) | 453,175 | 566 | |
Total Rights (Identified Cost $—) | 566 | ||
Warrants—0.0% | |||
Communication Services—0.0% | |||
Akazoo S.A.(3)(6) | 238,850 | — | |
BuzzFeed, Inc.(6) | 117,848 | 24 | |
24 | |||
Consumer Discretionary—0.0% | |||
Cazoo Group Ltd(6) | 380,410 | 20 | |
CEC Brands LLC(3)(6) | 189,648 | 569 | |
Enjoy Technology, Inc.(6) | 13,538 | —(8) | |
Grove Collaborative Holdings(6) | 78,996 | 18 | |
607 | |||
Consumer Staples—0.0% | |||
Whole Earth Brands, Inc.(6) | 229,941 | 39 | |
Financials—0.0% | |||
26 Capital Acquisition Corp.(6) | 61,000 | 19 | |
Accelerate Acquisition Corp.(6) | 201,400 | 10 | |
Arrowroot Acquisition Corp.(6) | 462,172 | 14 | |
Austerlitz Acquisition Corp. I(6) | 9,500 | 1 | |
Avanti Acquisition Corp.(6) | 125,000 | 3 | |
CF Acquisition Corp. VIII(6) | 40,000 | 5 | |
Colonnade Acquisition Corp. II(6) | 12,586 | 1 | |
Compute Health Acquisition Corp. Class A(6) | 103,250 | 7 | |
COVA Acquisition Corp. Class A(6) | 81,099 | 2 | |
Deep Lake Capital Acquisition Corp.(6) | 167,691 | 6 | |
Fortress Capital Acquisition Corp.(6) | 68,899 | 5 | |
G Squared Ascend I, Inc.(6) | 63,206 | 4 | |
GCM Grosvenor, Inc. Class A(6) | 102,070 | 60 | |
Goal Acquisitions Corp.(6) | 564,935 | 23 | |
Golden Falcon Acquisition Corp.(6) | 172,837 | 10 |
See Notes to Schedule of Investments
2
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Shares | Value | ||
Financials—continued | |||
Healthcare Services Acquisition Corp.(6) | 225,254 | $ 6 | |
HPX Corp.(6) | 24,612 | 6 | |
InterPrivate II Acquisition Corp. Class A(6) | 12,698 | 1 | |
Jack Creek Investment Corp. Class A(6) | 58,300 | 16 | |
KKR Acquisition Holdings I Corp. Class A(6) | 106,058 | 13 | |
KL Acquisition Corp.(6) | 207,528 | 10 | |
KludeIn I Acquisition Corp.(6) | 16,000 | 2 | |
Longview Acquisition Corp. II(6) | 85,384 | 6 | |
Marlin Technology Corp.(6) | 220,545 | 13 | |
Medicus Sciences Acquisition Corp.(6) | 18,222 | —(8) | |
Moneylion, Inc.(6) | 106,742 | 13 | |
Pathfinder Acquisition Corp.(6) | 74,121 | 1 | |
Pioneer Merger Corp.(6) | 145,550 | 2 | |
Pontem Corp.(6) | 134,633 | 8 | |
Prospector Capital Corp.(6) | 155,088 | 5 | |
RMG Acquisition Corp. III(6) | 85,180 | 5 | |
Rocket Internet Growth Opportunities Corp. Class A(6) | 93,165 | 1 | |
Screaming Eagle Acquisition Corp. Class A(6) | 251,119 | 55 | |
Senior Connect Acquisition Corp. I(6) | 158,629 | 2 | |
Slam Corp. Class A(6) | 101,785 | 7 | |
Supernova Partners Acquisition Co. III Ltd(6) | 79,167 | 6 | |
Thunder Bridge Capital Partners III, Inc.(6) | 81,350 | 7 | |
Tishman Speyer Innovation Corp. II(6) | 70,542 | 3 | |
Tuscan Holdings Corp. II(6) | 109,883 | 8 | |
VectoIQ Acquisition Corp. II(6) | 63,188 | 4 | |
370 | |||
Health Care—0.0% | |||
Biote Corp.(6) | 83,540 | 29 | |
Pear Therapeutics, Inc.(6) | 6,166 | 1 | |
Quantum-Si, Inc.(6) | 32,085 | 18 | |
48 | |||
Industrials—0.0% | |||
Amprius Technologies, Inc.(6) | 326,205 | 104 | |
Berkshire Grey, Inc.(6) | 88,153 | 16 | |
Shapeways Holdings, Inc.(6) | 112,274 | 5 | |
125 | |||
Information Technology—0.0% | |||
Embark Technology, Inc.(6) | 3,466 | —(8) | |
KLDiscovery, Inc.(6) | 677,651 | 69 | |
69 | |||
Materials—0.0% | |||
Ginkgo Bioworks Holdings, Inc.(6) | 2,620 | 2 | |
Total Warrants (Identified Cost $15,965) | 1,284 |
Shares/Units | ||
Special Purpose Acquisition Companies—24.5% | ||
10X Capital Venture Acquisition Corp. II Class A(6) | 443,501 | 4,435 |
10X Capital Venture Acquisition Corp. III Class A(6) | 432,994 | 4,373 |
26 Capital Acquisition Corp. Class A(6) | 549,890 | 5,427 |
5:01 Acquisition Corp. Class A(6) | 151,978 | 1,518 |
7GC & Co. Holdings, Inc. Class A(6) | 440,351 | 4,377 |
Accelerate Acquisition Corp. Class A(6) | 604,200 | 5,933 |
Shares/Units | Value | ||
Achari Ventures Holdings Corp. I(6) | 405,463 | $ 4,075 | |
Adit EdTech Acquisition Corp.(6) | 284,883 | 2,817 | |
Aequi Acquisition Corp. Class A(6) | 246,905 | 2,467 | |
African Gold Acquisition Corp. Class A(6) | 700,695 | 6,937 | |
AfterNext HealthTech Acquisition Corp. Class A(6) | 527,310 | 5,152 | |
Agba Acquisition Ltd.(6) | 49,368 | 566 | |
Agile Growth Corp. Class A(6) | 399,582 | 3,968 | |
Alpha Partners Technology Merger Corp. Class A(6) | 441,459 | 4,335 | |
ALSP Orchid Acquisition Corp. I Class A(6) | 436,279 | 4,376 | |
AltEnergy Acquisition Corp.(6) | 125,618 | 1,267 | |
Altimar Acquisition Corp. III(6) | 163,357 | 1,619 | |
Altimar Acquisition Corp. III Class A(6) | 150,000 | 1,488 | |
Altimeter Growth Corp. 2 Class A (6) | 436,951 | 4,330 | |
Andretti Acquisition Corp. Class A(6) | 142,699 | 1,433 | |
Anzu Special Acquisition Corp. I(6) | 15,412 | 151 | |
Anzu Special Acquisition Corp. I Class A(6) | 441,364 | 4,339 | |
Apollo Strategic Growth Capital II Class A(6) | 738,693 | 7,291 | |
APx Acquisition Corp. I(6) | 142,082 | 1,442 | |
Ares Acquisition Corp.(6) | 157,500 | 1,562 | |
Ares Acquisition Corp. Class A(6) | 877,854 | 8,717 | |
Argus Capital Corp. Class A(6) | 1,382 | 14 | |
Arrowroot Acquisition Corp. Class A(6) | 575,536 | 5,652 | |
Artemis Strategic Investment Corp. Class A(6) | 437,600 | 4,354 | |
ARYA Sciences Acquisition Corp. IV Class A(6) | 302,386 | 2,997 | |
ARYA Sciences Acquisition Corp. V Class A(6) | 248,161 | 2,432 | |
Ascendant Digital Acquisition Corp. III Class A(6) | 400,226 | 4,058 | |
Astrea Acquisition Corp. Class A(6) | 430,908 | 4,240 | |
Athena Consumer Acquisition Corp.(6) | 83,859 | 843 | |
Athlon Acquisition Corp. Class A(6) | 443,801 | 4,385 | |
Atlantic Avenue Acquisition Corp. Class A(6) | 364,128 | 3,656 | |
Atlantic Coastal Acquisition Corp. Class A(6) | 333,823 | 3,278 | |
Atlas Crest Investment Corp. II(6) | 107,500 | 1,058 | |
Atlas Crest Investment Corp. II Class A(6) | 440,464 | 4,339 | |
Ault Disruptive Technologies Corp.(6) | 128,174 | 1,292 | |
Aurora Acquisition Corp. Class A(2)(6) | 175,172 | 1,732 | |
Austerlitz Acquisition Corp. I Class A(6) | 445,401 | 4,369 | |
Authentic Equity Acquisition Corp.(6) | 21,600 | 214 | |
Authentic Equity Acquisition Corp. Class A(6) | 237,862 | 2,367 | |
Avanti Acquisition Corp. Class A(6) | 609,156 | 6,104 | |
Avista Public Acquisition Corp. II Class A(6) | 431,754 | 4,408 | |
AxonPrime Infrastructure Acquisition Corp.(6) | 500 | 5 | |
AxonPrime Infrastructure Acquisition Corp. Class A(6) | 100,211 | 970 | |
Belong Acquisition Corp. Class A(6) | 55,662 | 549 | |
Big Sky Growth Partners, Inc. Class A(6) | 48,506 | 474 | |
Bilander Acquisition Corp. Class A(6) | 441,893 | 4,273 | |
Biotech Acquisition Co. Class A(6) | 434,517 | 4,313 | |
Blue Whale Acquisition Corp. I Class A(2)(6) | 274,845 | 2,663 | |
BlueRiver Acquisition Corp.(6) | 10,650 | 106 | |
BOA Acquisition Corp. Class A(6) | 412,182 | 4,097 | |
Brigade-M3 European Acquisition Corp.(6) | 250,490 | 2,467 | |
Broadscale Acquisition Corp. Class A(6) | 882,062 | 8,688 | |
Build Acquisition Corp.(6) | 76,056 | 745 | |
BYTE Acquisition Corp. Class A(6) | 88,725 | 878 | |
Carney Technology Acquisition Corp. II Class A(6) | 23,653 | 235 | |
Cartesian Growth Corp. Class A(6) | 113,428 | 1,124 | |
Cartesian Growth Corp. II(6) | 209,496 | 2,097 | |
Catalyst Partners Acquisition Corp. Class A(6) | 440,985 | 4,361 | |
Catcha Investment Corp. Class A(6) | 72,542 | 718 | |
CC Neuberger Principal Holdings III(6) | 114,000 | 1,133 | |
CC Neuberger Principal Holdings III Class A(2)(6) | 432,934 | 4,299 | |
CF Acquisition Corp. IV Class A(6) | 437,732 | 4,355 | |
Chain Bridge I Class A(6) | 104,374 | 1,054 | |
Churchill Capital Corp. V Class A(6) | 184,334 | 1,825 |
See Notes to Schedule of Investments
3
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Shares/Units | Value | ||
Churchill Capital Corp. VII Class A(6) | 873,520 | $ 8,587 | |
CIIG Capital Partners II, Inc.(6) | 337,246 | 3,352 | |
Class Acceleration Corp.(6) | 11,750 | 116 | |
Class Acceleration Corp. Class A(6) | 250,160 | 2,472 | |
Climate Real Impact Solutions II Acquisition Corp.(6) | 4,860 | 48 | |
Climate Real Impact Solutions II Acquisition Corp. Class A(6) | 436,069 | 4,300 | |
Colicity, Inc.(6) | 368,445 | 3,614 | |
Colonnade Acquisition Corp. II(6) | 3 | —(8) | |
Colonnade Acquisition Corp. II Class A(6) | 434,206 | 4,307 | |
Compute Health Acquisition Corp. Class A(6) | 713,000 | 7,037 | |
Concord Acquisition Corp. Class A(6) | 280,885 | 2,823 | |
Concord Acquisition Corp. II Class A(6) | 662,974 | 6,424 | |
Concord Acquisition Corp. III Class A(6) | 437,187 | 4,385 | |
Conx Corp. Class A(6) | 613,768 | 6,138 | |
Conyers Park III Acquisition Corp. Class A(6) | 438,254 | 4,260 | |
Corazon Capital V838 Monoceros Corp. Class A(6) | 465,490 | 4,613 | |
Corner Growth Acquisition Corp.(6) | 188,816 | 1,879 | |
COVA Acquisition Corp. Class A(6) | 162,198 | 1,612 | |
Crown PropTech Acquisitions Class A(6) | 435,176 | 4,317 | |
Crucible Acquisition Corp. Class A(6) | 537,438 | 5,353 | |
D & Z Media Acquisition Corp.(6) | 167,214 | 1,644 | |
D & Z Media Acquisition Corp. Class A(6) | 41,014 | 405 | |
DA32 Life Science Tech Acquisition Corp. Class A(6) | 156,534 | 1,517 | |
Decarbonization Plus Acquisition Corp. IV Class A(6) | 610,228 | 6,133 | |
Deep Lake Capital Acquisition Corp. Class A(6) | 335,382 | 3,344 | |
DHC Acquisition Corp. Class A(6) | 448,953 | 4,440 | |
DiamondHead Holdings Corp. Class A(6) | 786,210 | 7,760 | |
Digital Transformation Opportunities Corp. Class A(6) | 446,457 | 4,384 | |
Direct Selling Acquisition Corp.(6) | 94,000 | 950 | |
dMY Technology Group, Inc. VI(6) | 189 | 2 | |
Dragoneer Growth Opportunities Corp. III Class A(6) | 435,587 | 4,264 | |
Elliott Opportunity II Corp.(6) | 81,448 | 802 | |
Elliott Opportunity II Corp. Class A(6) | 435,340 | 4,284 | |
Enterprise 4.0 Technology Acquisition Corp.(6) | 125,722 | 1,276 | |
ESGEN Acquisition Corp.(6) | 146,752 | 1,488 | |
ESM Acquisition Corp.(6) | 63,000 | 625 | |
Eucrates Biomedical Acquisition Corp.(6) | 927 | 9 | |
EVe Mobility Acquisition Corp. Class A(6) | 218,981 | 2,210 | |
ExcelFin Acquisition Corp.(6) | 125,701 | 1,257 | |
ExcelFin Acquisition Corp. Class A(6) | 435,797 | 4,367 | |
Far Peak Acquisition Corp. Class A(6) | 441,474 | 4,366 | |
Fat Projects Acquisition Corp.(6) | 437,658 | 4,355 | |
Fifth Wall Acquisition Corp. III Class A(6) | 434,863 | 4,279 | |
Figure Acquisition Corp. I Class A(6) | 151,447 | 1,492 | |
FinServ Acquisition Corp. II(6) | 95,843 | 940 | |
FinServ Acquisition Corp. II Class A(6) | 153,906 | 1,514 | |
Fintech Acquisition Corp. V Class A(6) | 436,598 | 4,349 | |
FinTech Acquisition Corp. VI(6) | 206,626 | 2,050 | |
FinTech Acquisition Corp. VI Class A(6) | 329,193 | 3,275 | |
Fintech Evolution Acquisition Group(6) | 270,205 | 2,675 | |
Fintech Evolution Acquisition Group Class A(6) | 63,920 | 634 | |
Flame Acquisition Corp. Class A(6) | 435,162 | 4,278 | |
Focus Impact Acquisition Corp. Class A(6) | 263,603 | 2,641 | |
Fortistar Sustainable Solutions Corp. Class A(6) | 439,156 | 4,343 | |
Fortress Capital Acquisition Corp. Class A(6) | 344,495 | 3,428 | |
Fortress Value Acquisition Corp. III(6) | 83,525 | 828 | |
Fortress Value Acquisition Corp. III Class A(6) | 437,804 | 4,334 | |
Fortress Value Acquisition Corp. IV Class A(2)(6) | 437,535 | 4,305 | |
Forum Merger IV Corp. Class A(6) | 305,977 | 3,005 | |
FTAC Athena Acquisition Corp. Class A(6) | 503,599 | 4,996 | |
FTAC Emerald Acquisition Corp.(6) | 415,930 | 4,101 | |
FTAC Hera Acquisition Corp.(6) | 141,200 | 1,399 | |
FTAC Hera Acquisition Corp. Class A(6) | 186,877 | 1,855 |
Shares/Units | Value | ||
FTAC Parnassus Acquisition Corp. Class A(6) | 437,086 | $ 4,297 | |
FTAC Zeus Acquisition Corp.(6) | 83,545 | 829 | |
Fusion Acquisition Corp. II(6) | 212,300 | 2,087 | |
G Squared Ascend I, Inc. Class A(6) | 747,263 | 7,417 | |
G Squared Ascend II, Inc.(6) | 171,106 | 1,701 | |
Gesher I Acquisition Corp.(6) | 125,606 | 1,280 | |
Glass Houses Acquisition Corp.(6) | 57,015 | 559 | |
Glenfarne Merger Corp. Class A(6) | 436,140 | 4,279 | |
Global Partner Acquisition Corp. II Class A(6) | 74,534 | 742 | |
Goal Acquisitions Corp.(6) | 606,837 | 5,971 | |
Golden Falcon Acquisition Corp. Class A(6) | 345,674 | 3,439 | |
Gores Holdings IX, Inc. Class A(6) | 270,226 | 2,616 | |
Gores Holdings VII, Inc. Class A(6) | 865,255 | 8,531 | |
Gores Holdings VIII, Inc. Class A (6) | 5,432 | 54 | |
Gores Technology Partners II, Inc. Class A(6) | 711,485 | 6,987 | |
Gores Technology Partners, Inc. Class A(6) | 662,042 | 6,505 | |
Graf Acquisition Corp. IV(6) | 222,759 | 2,172 | |
Green Visor Financial Technology Acquisition Corp. I Class A(6) | 58,341 | 591 | |
Group Nine Acquisition Corp. Class A(6) | 444,251 | 4,394 | |
Hamilton Lane Alliance Holdings I, Inc. Class A(6) | 182,834 | 1,808 | |
Health Assurance Acquisition Corp. Class A(6) | 436,766 | 4,359 | |
Healthcare Services Acquisition Corp. Class A(2)(6) | 635,916 | 6,321 | |
Hennessy Capital Investment Corp. V(6) | 8,400 | 83 | |
Hennessy Capital Investment Corp. V Class A(6) | 438,662 | 4,330 | |
Hennessy Capital Investment Corp. VI Class A(6) | 451,213 | 4,408 | |
HH&L Acquisition Co. Class A(6) | 295,608 | 2,938 | |
Highland Transcend Partners I Corp. Class A(6) | 658,976 | 6,563 | |
Home Plate Acquisition Corp. Class A(6) | 322,291 | 3,171 | |
Horizon Acquisition Corp. II Class A(6) | 432,894 | 4,329 | |
Hudson Executive Investment Corp. II(6) | 17,300 | 170 | |
Hudson Executive Investment Corp. II(6) | 225,815 | 2,224 | |
Hudson Executive Investment Corp. III Class A(6) | 435,696 | 4,283 | |
Independence Holdings Corp.(6) | 113,012 | 1,120 | |
Independence Holdings Corp. Class A(6) | 442,327 | 4,388 | |
Infinite Acquisition Corp.(6) | 104,431 | 1,044 | |
INSU Acquisition Corp. III Class A(6) | 436,638 | 4,349 | |
InterPrivate II Acquisition Corp.(6) | 4 | —(8) | |
InterPrivate II Acquisition Corp. Class A(6) | 400,066 | 3,937 | |
InterPrivate III Financial Partners, Inc. Class A(2)(6) | 63,490 | 622 | |
InterPrivate IV InfraTech Partners, Inc.(6) | 16,373 | 160 | |
InterPrivate IV InfraTech Partners, Inc. Class A(6) | 214,075 | 2,109 | |
ION Acquisition Corp. 3 Ltd. Class A(6) | 437,873 | 4,322 | |
Iris Acquisition Corp.(6) | 219,127 | 2,156 | |
Iris Acquisition Corp.(6) | 222,494 | 2,178 | |
Jack Creek Investment Corp. Class A(6) | 435,920 | 4,337 | |
Jatt Acquisition Corp. Class A(6) | 240,325 | 2,415 | |
Jaws Hurricane Acquisition Corp. Class A(6) | 391,573 | 3,818 | |
Jaws Juggernaut Acquisition Corp.(6) | 295,167 | 2,910 | |
Jaws Juggernaut Acquisition Corp. Class A(6) | 131,123 | 1,288 | |
Jaws Mustang Acquisition Corp.(6) | 36,600 | 365 | |
Jaws Mustang Acquisition Corp. Class A(6) | 1,133,136 | 11,263 | |
JOFF Fintech Acquisition Corp. Class A(6) | 246,856 | 2,432 | |
Juniper II Corp.(6) | 195,472 | 1,955 | |
Juniper II Corp. Class A(6) | 250,389 | 2,494 | |
Kairos Acquisition Corp. Class A(6) | 152,038 | 1,514 | |
Kensington Capital Acquisition Corp. V(6) | 169,255 | 1,711 | |
Kensington Capital Acquisition Corp. V Class A(6) | 177,700 | 1,771 | |
Khosla Ventures Acquisition Co. Class A(6) | 440,241 | 4,314 | |
Khosla Ventures Acquisition Co. III Class A(6) | 388,945 | 3,804 | |
Kismet Acquisition Three Corp.(6) | 84 | 1 | |
Kismet Acquisition Three Corp. Class A(6) | 438,780 | 4,344 | |
KKR Acquisition Holdings I Corp. Class A(6) | 664,778 | 6,541 | |
KL Acquisition Corp. Class A(6) | 622,584 | 6,164 |
See Notes to Schedule of Investments
4
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Shares/Units | Value | ||
L Catterton Asia Acquisition Corp. Class A(6) | 502,071 | $ 4,986 | |
Landcadia Holdings IV, Inc. Class A(6) | 434,726 | 4,269 | |
LAVA Medtech Acquisition Corp. Class A(6) | 320,912 | 3,228 | |
Lazard Growth Acquisition Corp. I(6) | 927,542 | 9,201 | |
LDH Growth Corp. I Class A(6) | 438,110 | 4,337 | |
Lead Edge Growth Opportunities Ltd. Class A(6) | 363,818 | 3,609 | |
Leo Holdings Corp. II Class A(6) | 373,768 | 3,723 | |
Lerer Hippeau Acquisition Corp. Class A(6) | 440,533 | 4,330 | |
Liberty Media Acquisition Corp. Class A(6) | 621,467 | 6,177 | |
Live Oak Crestview Climate Acquisition Corp.(6) | 430,057 | 4,202 | |
Live Oak Mobility Acquisition Corp. Class A(6) | 208,944 | 2,052 | |
Logistics Innovation Technologies Corp. Class A(6) | 671,461 | 6,560 | |
Longview Acquisition Corp. II Class A(6) | 426,920 | 4,192 | |
M3-Brigade Acquisition II Corp. Class A(6) | 429,828 | 4,217 | |
Macondray Capital Acquisition Corp. I(6) | 191,600 | 1,918 | |
Macondray Capital Acquisition Corp. I Class A(6) | 433,753 | 4,346 | |
Magnum Opus Acquisition Ltd. Class A(6) | 429,084 | 4,261 | |
Marlin Technology Corp. Class A(6) | 661,635 | 6,583 | |
Mason Industrial Technology, Inc.(6) | 197,230 | 1,931 | |
MDH Acquisition Corp. Class A(6) | 607,289 | 5,976 | |
Medicus Sciences Acquisition Corp. Class A(6) | 164,000 | 1,624 | |
MedTech Acquisition Corp. Class A(6) | 346,875 | 3,444 | |
Metals Acquisition Corp. Class A(6) | 84,063 | 822 | |
Monument Circle Acquisition Corp. Class A(6) | 100,000 | 989 | |
Motive Capital Corp. II(6) | 250,495 | 2,512 | |
Motive Capital Corp. II Class A(6) | 184,925 | 1,847 | |
Mount Rainier Acquisition Corp.(6) | 415,985 | 4,201 | |
MSD Acquisition Corp. Class A(6) | 443,491 | 4,391 | |
Music Acquisition Corp. (The)(6) | 205,000 | 2,019 | |
New Vista Acquisition Corp. Class A(6) | 76,113 | 757 | |
Newbury Street Acquisition Corp.(6) | 62,108 | 609 | |
Newcourt Acquisition Corp.(6) | 170,491 | 1,729 | |
Newcourt Acquisition Corp. Class A(6) | 80,403 | 816 | |
NewHold Investment Corp. II Class A(6) | 279,643 | 2,749 | |
Noble Rock Acquisition Corp.(6) | 18,600 | 185 | |
North Atlantic Acquisition Corp. Class A(6) | 669,580 | 6,659 | |
North Mountain Merger Corp. Class A(6) | 217,892 | 2,188 | |
Northern Genesis Acquisition Corp. III Class A(6) | 437,421 | 4,291 | |
Northern Star Investment Corp. II Class A(6) | 444,137 | 4,384 | |
Northern Star Investment Corp. III Class A(6) | 141,856 | 1,397 | |
Omega Alpha SPAC Class A(2)(6) | 209,065 | 2,080 | |
Onyx Acquisition Co. I Class A(6) | 217,024 | 2,196 | |
Pathfinder Acquisition Corp. Class A(6) | 370,605 | 3,684 | |
Patria Latin American Opportunity Acquisition Corp.(6) | 33,214 | 339 | |
PepperLime Health Acquisition Corp. Class A(6) | 49,933 | 499 | |
Peridot Acquisition Corp. II(6) | 176,260 | 1,750 | |
Peridot Acquisition Corp. II Class A(6) | 438,326 | 4,346 | |
Phoenix Biotech Acquisition Corp.(6) | 125,563 | 1,271 | |
Phoenix Biotech Acquisition Corp. Class A(6) | 435,512 | 4,399 | |
Pioneer Merger Corp. Class A(6) | 436,650 | 4,349 | |
Pivotal Investment Corp. III(6) | 54,665 | 538 | |
Pivotal Investment Corp. III Class A(6) | 663,639 | 6,540 | |
Plum Acquisition Corp. I Class A(6) | 168,519 | 1,670 | |
Pono Capital Corp. Class A(6) | 213,922 | 2,184 | |
Pontem Corp. Class A(6) | 403,899 | 4,015 | |
Portage Fintech Acquisition Corp. Class A(6) | 167,496 | 1,650 | |
Post Holdings Partnering Corp. Class A(6) | 651,708 | 6,315 | |
Primavera Capital Acquisition Corp. Class A(6) | 440,498 | 4,383 | |
Progress Acquisition Corp.(6) | 6,819 | 68 | |
Project Energy Reimagined Acquisition Corp.(6) | 166,566 | 1,641 | |
PROOF Acquisition Corp. I(6) | 334,456 | 3,324 | |
Property Solutions Acquisition Corp. II(6) | 130,444 | 1,280 | |
Property Solutions Acquisition Corp. II Class A(6) | 249,806 | 2,451 |
Shares/Units | Value | ||
PropTech Investment Corp. II Class A(6) | 44,540 | $ 443 | |
Prospector Capital Corp. Class A(6) | 465,264 | 4,639 | |
Pyrophyte Acquisition Corp.(6) | 167,546 | 1,699 | |
Pyrophyte Acquisition Corp. Class A(6) | 439,074 | 4,458 | |
Recharge Acquisition Corp. Class A(6) | 738,638 | 7,471 | |
Revolution Healthcare Acquisition Corp. Class A(6) | 879,167 | 8,642 | |
RMG Acquisition Corp. III Class A(6) | 863,887 | 8,596 | |
ROC Energy Acquisition Corp.(6) | 436,656 | 4,384 | |
Rocket Internet Growth Opportunities Corp. Class A(6) | 419,966 | 4,162 | |
Ross Acquisition Corp. II(6) | 11,064 | 110 | |
Ross Acquisition Corp. II Class A(6) | 433,661 | 4,298 | |
RXR Acquisition Corp. Class A(6) | 445,738 | 4,386 | |
ScION Tech Growth II(6) | 80,650 | 801 | |
ScION Tech Growth II Class A(6) | 220,594 | 2,193 | |
Screaming Eagle Acquisition Corp. Class A(6) | 753,357 | 7,293 | |
Seaport Calibre Materials Acquisition Corp.(6) | 200,543 | 2,011 | |
Semper Paratus Acquisition Corp.(6) | 167,465 | 1,698 | |
Semper Paratus Acquisition Corp. Class A(6) | 190,446 | 1,935 | |
Senior Connect Acquisition Corp. I Class A(6) | 658,298 | 6,550 | |
Shelter Acquisition Corp. I(6) | 379,078 | 3,753 | |
ShoulderUp Technology Acquisition Corp. Class A(6) | 188,525 | 1,891 | |
SILVERspac, Inc. Class A(6) | 436,253 | 4,273 | |
Simon Property Group Acquisition Holdings, Inc.(6) | 368,092 | 3,622 | |
Simon Property Group Acquisition Holdings, Inc. Class A(2)(6) | 646,902 | 6,372 | |
Sizzle Acquisition Corp.(6) | 435,266 | 4,379 | |
Slam Corp. Class A(6) | 533,825 | 5,290 | |
Soar Technology Acquisition Corp.(6) | 84,290 | 866 | |
Soar Technology Acquisition Corp. Class A(6) | 7,092 | 73 | |
Social Capital Hedosophia Holdings Corp. IV Class A(6) | 872,806 | 8,737 | |
Social Capital Hedosophia Holdings Corp. VI Class A(6) | 1,521,417 | 15,214 | |
Social Capital Suvretta Holdings Corp. IV Class A(6) | 448,505 | 4,413 | |
Social Leverage Acquisition Corp. I Class A(6) | 432,422 | 4,251 | |
Sound Point Acquisition Corp. I Ltd.(6) | 41,468 | 423 | |
Sound Point Acquisition Corp. I Ltd. Class A(6) | 212,165 | 2,160 | |
Sports Ventures Acquisition Corp. Class A(6) | 277,195 | 2,761 | |
SportsTek Acquisition Corp. Class A(6) | 67,748 | 667 | |
Supernova Partners Acquisition Co. III Ltd. Class A(6) | 831,008 | 8,227 | |
Sustainable Development Acquisition I Corp.(6) | 22,700 | 223 | |
Sustainable Development Acquisition I Corp. Class A(6) | 161,903 | 1,596 | |
SVF Investment Corp.(6) | 139,921 | 1,396 | |
SVF Investment Corp. Class A(6) | 873,807 | 8,703 | |
SVF Investment Corp. 2 Class A(6) | 444,008 | 4,405 | |
Tailwind International Acquisition Corp. Class A(6) | 867,857 | 8,609 | |
Target Global Acquisition I Corp.(6) | 375,602 | 3,764 | |
TCV Acquisition Corp. Class A(6) | 657,904 | 6,447 | |
Thrive Acquisition Corp. Class A(6) | 331,230 | 3,362 | |
Thunder Bridge Capital Partners III, Inc. Class A(6) | 406,750 | 4,006 | |
Tio Tech A Class A(6) | 200,037 | 1,979 | |
Tishman Speyer Innovation Corp. II Class A(6) | 352,710 | 3,474 | |
TLGY Acquisition Corp. Class A(6) | 339,843 | 3,436 | |
TortoiseEcofin Acquisition Corp. III Class A(6) | 676,651 | 6,645 | |
TPG Pace Beneficial Finance Corp. Class A(6) | 2,078 | 21 | |
TPG Pace Beneficial II Corp. Class A(6) | 90,315 | 883 | |
Twelve Seas Investment Co. II(6) | 31,437 | 309 | |
Twelve Seas Investment Co. II Class A(6) | 436,017 | 4,293 | |
TZP Strategies Acquisition Corp.(6) | 50,000 | 499 | |
Valuence Merger Corp. I(6) | 19,767 | 201 | |
VectoIQ Acquisition Corp. II Class A(6) | 315,940 | 3,118 | |
Vector Acquisition Corp. II Class A(6) | 600,453 | 5,957 |
See Notes to Schedule of Investments
5
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Shares/Units | Value | ||
Viscogliosi Brothers Acquisition Corp.(6) | 125,599 | $ 1,238 | |
VPC Impact Acquisition Holdings II Class A(6) | 440,980 | 4,375 | |
Vy Global Growth Class A(6) | 567,814 | 5,695 | |
Warburg Pincus Capital Corp. I Class A(6) | 485,234 | 4,814 | |
Warburg Pincus Capital Corp. I Class B(6) | 441,839 | 4,383 | |
Williams Rowland Acquisition Corp.(6) | 233,573 | 2,354 | |
Zimmer Energy Transition Acquisition Corp. Class A(6) | 278,922 | 2,728 | |
Z-Work Acquisition Corp. Class A(6) | 328,737 | 3,238 | |
Total Special Purpose Acquisition Companies (Identified Cost $1,055,121) | 1,057,095 |
Shares | ||
Purchased Options—0.3% | ||
(See open purchased options schedule) | ||
Total Purchased Options (Premiums Paid $7,165) | 12,369 | |
Private Investments in Public Equity—0.0% | ||
MarketWise, Inc.(6) | 65,608 | 150 |
Total Private Investments in Public Equity (Identified Cost $656) | 150 | |
Escrow Notes—1.8% | ||
Financials—0.0% | ||
Pershing Square Escrow(3)(6) | 547,537 | 109 |
Industrials—0.0% | ||
AMR Corp. Escrow Shares(3)(6) | 1,243,406 | 25 |
Information Technology—1.8% | ||
Altaba, Inc. Escrow(6) | 20,262,111 | 76,996 |
Total Escrow Notes (Identified Cost $47,299) | 77,130 | |
Total Long-Term Investments—75.9% (Identified Cost $3,364,583) | 3,271,115 | |
Short-Term Investments—22.1% | ||
Money Market Mutual Funds—22.1% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 2.758%)(9) | 192,800,000 | 192,800 |
Federated Hermes Government Obligations Fund - Institutional Shares (seven-day effective yield 2.810%)(9) | 180,318,246 | 180,318 |
Goldman Sachs Financial Square Government Fund - Standard Shares (seven-day effective yield 2.901%)(9) | 192,800,000 | 192,800 |
Invesco Government & Agency Portfolio - Institutional Shares (seven-day effective yield 2.883%)(9) | 192,800,000 | 192,800 |
Shares | Value | ||
Money Market Mutual Funds—continued | |||
Morgan Stanley Liquidity Fund Government Portfolio - Institutional Shares (seven-day effective yield 2.800%)(9) | 192,800,000 | $ 192,800 | |
Total Short-Term Investments (Identified Cost $951,518) | 951,518 | ||
Securities Lending Collateral—0.2% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 2.748%)(9)(10) | 10,263,999 | 10,264 | |
Total Securities Lending Collateral (Identified Cost $10,264) | 10,264 | ||
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT AND WRITTEN OPTIONS—98.2% (Identified Cost $4,326,365) | 4,232,897 | ||
Securities Sold Short—(0.7)% | |||
Common Stocks—(0.7)% | |||
Energy—(0.1)% | |||
Frontline Ltd. | (460,451) | (5,033) | |
Financials—(0.3)% | |||
Aon plc Class A | (50,508) | (13,529) | |
Information Technology—(0.3)% | |||
Broadcom, Inc. | (3,837) | (1,703) | |
MaxLinear, Inc.(6) | (352,169) | (11,488) | |
(13,191) | |||
Total Common Stocks (Identified Proceeds $(38,097)) | (31,753) | ||
Total Securities Sold Short (Identified Proceeds $(38,097)) | (31,753) | ||
Written Options—(0.2)% | |||
(See open written options schedule) | |||
Total Written Options (Premiums Received $15,388) | (8,279) | ||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT AND WRITTEN OPTIONS—97.3% (Identified Cost $4,272,880) | $4,192,865 | ||
Other assets and liabilities, net—2.7% | 118,036 | ||
NET ASSETS—100.0% | $4,310,901 |
See Notes to Schedule of Investments
6
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Abbreviations: | |
ADR | American Depositary Receipt |
ETF | Exchange-Traded Fund |
LLC | Limited Liability Company |
LLP | Limited Liability 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 September 30, 2022, these securities amounted to a value of $237,979 or 5.5% of net assets. |
(2) | All or a portion of security is on loan. |
(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 in default; no interest payments are being received during the bankruptcy proceedings. |
(5) | Variable rate security. Rate disclosed is as of September 30, 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. |
(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. The value of securities segregated as collateral is $221,652. |
(8) | Amount is less than $500. |
(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 |
CAD | Canadian Dollar |
EUR | Euro |
GBP | United Kingdom Pound Sterling |
JPY | Japanese Yen |
SEK | Swedish Krona |
USD | United States Dollar |
Country Weightings† | |
United States | 81% |
Cayman Islands | 13 |
Virgin Islands (British) | 3 |
Taiwan | 1 |
United Kingdom | 1 |
Canada | 1 |
Total | 100% |
†% of total investments, net of securities sold short and written options, as of September 30, 2022. |
Open purchased options contracts as of September 30, 2022 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Put Options(2) | |||||
iShares iBoxx High Yield Corporate Bond ETF | 1,235 | $8,892 | $72.00 | 10/21/22 | $212 |
iShares iBoxx High Yield Corporate Bond ETF | 3,233 | 24,248 | 75.00 | 10/21/22 | 1,300 |
Silicon Motion Technology Corp. (GS)(3) | 9,068 | 60,828 | 67.08 | 10/31/22 | 3,285 |
SPDR S&P 500® ETF Trust | 2,622 | 98,325 | 375.00 | 10/21/22 | 5,055 |
Vodafone Group plc | 13,120 | 14,432 | 11.00 | 10/21/22 | 446 |
XPO Logistics, Inc. | 4,693 | 18,772 | 40.00 | 11/18/22 | 938 |
XPO Logistics, Inc. | 3,654 | 14,616 | 40.00 | 01/20/23 | 1,133 |
Total Purchased Options | $12,369 | ||||
Footnote Legend: | |||||
(1) Strike price not reported in thousands. | |||||
(2) Unless otherwise noted, options are exchange-traded. | |||||
(3) Over the counter option. |
See Notes to Schedule of Investments
7
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Open written options contracts as of September 30, 2022 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
1Life Healthcare, Inc. | (14,680) | $(25,690) | $17.50 | 11/18/22 | $(147) |
Activision Blizzard, Inc. | (3,157) | (25,256) | 80.00 | 10/21/22 | (41) |
Avalara, Inc. | (2) | (19) | 95.00 | 10/21/22 | (—)(3) |
Avalara, Inc. | (211) | (2,110) | 100.00 | 11/18/22 | (10) |
Avalara, Inc. | (161) | (1,529) | 95.00 | 01/20/23 | (1) |
BTRS Holdings, Inc. | (607) | (607) | 10.00 | 10/21/22 | (1) |
BTRS Holdings, Inc. | (9) | (9) | 10.00 | 11/18/22 | (—)(3) |
Dufry AG | (2,737) | (10,948) | 40.00 | 03/17/23 | (172) |
Global Blood Therapeutics, Inc. | (3,258) | (22,806) | 70.00 | 12/16/22 | (78) |
Ping Identity Holding Corp. | (233) | (699) | 30.00 | 11/18/22 | (—)(3) |
Signify Health, Inc. | (1,080) | (3,240) | 30.00 | 10/21/22 | (9) |
Signify Health, Inc. | (3,088) | (9,264) | 30.00 | 11/18/22 | (39) |
Silicon Motion Technology Corp. (GS)(4) | (9,068) | (62,052) | 68.43 | 10/31/22 | (1,294) |
SPDR S&P 500® ETF Trust | (219) | (8,760) | 400.00 | 10/21/22 | (6) |
SPDR S&P 500® ETF Trust | (872) | (35,316) | 405.00 | 10/21/22 | (14) |
STORE Capital Corp. | (2,128) | (6,916) | 32.50 | 10/21/22 | (8) |
STORE Capital Corp. | (1,676) | (5,447) | 32.50 | 11/18/22 | (8) |
STORE Capital Corp. | (153) | (536) | 35.00 | 11/18/22 | —(5) |
STORE Capital Corp. | (917) | (2,980) | 32.50 | 01/20/23 | (4) |
Vodafone Group plc | (13,120) | (15,744) | 12.00 | 10/21/22 | (302) |
XPO Logistics, Inc. | (4,693) | (22,292) | 47.50 | 11/18/22 | (1,361) |
Zendesk, Inc. | (3,346) | (25,095) | 75.00 | 10/21/22 | (652) |
Zendesk, Inc. | (97) | (776) | 80.00 | 10/21/22 | —(5) |
(4,147) | |||||
Put Options(2) | |||||
iShares iBoxx High Yield Corporate Bond ETF | (3,233) | (22,631) | 70.00 | 10/21/22 | (268) |
iShares iBoxx High Yield Corporate Bond ETF | (1,235) | (8,275) | 67.00 | 10/21/22 | (27) |
SPDR S&P 500® ETF Trust | (1,791) | (64,476) | 360.00 | 10/21/22 | (1,845) |
XPO Logistics, Inc. | (3,654) | (16,443) | 45.00 | 01/20/23 | (1,992) |
(4,132) | |||||
Total Written Options | $(8,279) |
Footnote Legend: | |
(1) Strike price not reported in thousands. | |
(2) Unless otherwise noted, options are exchange-traded. | |
(3) Amount is less than $500. | |
(4) Over the counter option. | |
(5) Includes internally fair valued securities currently priced at zero ($0). |
Forward foreign currency exchange contracts as of September 30, 2022 were as follows : | |||||||
Currency Purchased | Currency Amount Purchased | Currency Sold | Currency Amount Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized Depreciation |
AUD | 12,174 | USD | 7,868 | GS | 10/28/22 | $— | $(79) |
AUD | 3,642 | USD | 2,345 | GS | 11/15/22 | — | (14) |
EUR | 8,236 | USD | 8,853 | GS | 10/13/22 | — | (774) |
EUR | 796 | USD | 789 | JPM | 10/26/22 | — | (8) |
EUR | 8,076 | USD | 8,713 | GS | 11/23/22 | — | (768) |
EUR | 3,628 | USD | 3,540 | GS | 12/15/22 | 38 | — |
GBP | 69,712 | USD | 79,044 | GS | 10/07/22 | — | (1,196) |
GBP | 2,476 | USD | 2,920 | JPM | 10/25/22 | — | (154) |
USD | 26,351 | GBP | 20,201 | GS | 10/05/22 | 3,792 | — |
USD | 20,874 | CAD | 27,053 | JPM | 10/07/22 | 1,290 | — |
USD | 90,959 | GBP | 69,712 | GS | 10/07/22 | 13,111 | — |
USD | 46,070 | EUR | 43,011 | GS | 10/13/22 | 3,878 | — |
See Notes to Schedule of Investments
8
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Forward foreign currency exchange contracts as of September 30, 2022 were as follows (continued): | ||||||||
Currency Purchased | Currency Amount Purchased | Currency Sold | Currency Amount Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
USD | 56,966 | EUR | 52,176 | JPM | 10/13/22 | $5,785 | $— | |
USD | 10,161 | EUR | 9,929 | JPM | 10/25/22 | 413 | — | |
USD | 2,930 | GBP | 2,476 | JPM | 10/25/22 | 164 | — | |
USD | 815 | EUR | 796 | JPM | 10/26/22 | 33 | — | |
USD | 3,992 | JPY | 530,393 | JPM | 10/26/22 | 318 | — | |
USD | 61,058 | SEK | 618,472 | JPM | 10/26/22 | 5,264 | — | |
USD | 28,255 | EUR | 27,427 | GS | 10/27/22 | 1,324 | — | |
USD | 36,055 | EUR | 35,017 | JPM | 10/27/22 | 1,672 | — | |
USD | 4,367 | GBP | 3,756 | JPM | 10/27/22 | 171 | — | |
USD | 27,236 | AUD | 39,822 | GS | 10/28/22 | 1,755 | — | |
USD | 13,550 | CAD | 17,995 | JPM | 10/28/22 | 524 | — | |
USD | 71,005 | GBP | 57,460 | JPM | 11/10/22 | 6,805 | — | |
USD | 7,294 | AUD | 10,321 | GS | 11/15/22 | 688 | — | |
USD | 22,349 | EUR | 22,157 | JPM | 11/22/22 | 553 | — | |
USD | 8,968 | EUR | 8,077 | GS | 11/23/22 | 1,025 | — | |
USD | 2,955 | AUD | 4,246 | JPM | 12/15/22 | 236 | — | |
USD | 7,441 | EUR | 7,213 | GS | 12/15/22 | 329 | — | |
USD | 13,550 | GBP | 11,567 | JPM | 12/23/22 | 619 | — | |
USD | 6,670 | EUR | 6,454 | JPM | 03/15/23 | 265 | — | |
Total | $50,052 | $(2,993) |
Over-the-counter total return swaps outstanding as of September 30, 2022 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 | ||||||||||
Aareal Bank AG | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 08/11/23 | $1,499 | $(18) | $— | $(18) | |
Aareal Bank AG | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 08/14/23 | 119 | (2) | — | (2) | |
Aareal Bank AG | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 09/01/23 | 4,223 | (48) | — | (48) | |
Aareal Bank AG | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 09/04/23 | 449 | (10) | — | (10) | |
Atlantia S.P.A. | Pay | 3.680% (0.610% + OBFR) | 1 Month | GS | 05/19/23 | 36,140 | (2,777) | — | (2,777) | |
Atlantia S.P.A. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 05/22/23 | 56,037 | (5,980) | — | (5,980) | |
Autogrill S.P.A. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 09/04/23 | 1,664 | (105) | — | (105) | |
Autogrill S.P.A. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 09/05/23 | 3,123 | (234) | — | (234) | |
Autogrill S.P.A. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 09/08/23 | 2,179 | (179) | — | (179) | |
Autogrill S.P.A. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 09/11/23 | 2,175 | (175) | — | (175) | |
Autogrill S.P.A. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 08/21/23 | 750 | (43) | — | (43) | |
Autogrill S.P.A. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 08/22/23 | 6,261 | (439) | — | (439) | |
Autogrill S.P.A. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 08/28/23 | 2,015 | (121) | — | (121) | |
Autogrill S.P.A. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 09/01/23 | 116 | (5) | — | (5) | |
Brewin Dolphin Holdings plc | Pay | 3.680% (0.610% + OBFR) | 1 Month | GS | 05/01/23 | 26,182 | (3,627) | — | (3,627) | |
Bristol-Myers Squibb Co.(3),(4) | Pay | 3.070% (0.000% + OBFR) | 1 Month | BAML | 03/02/23 | —(5) | 452 | 452 | — | |
Brookfield Property LP | Pay | 3.820% (0.750% + OBFR) | 1 Month | BAML | 12/08/22 | 1,284 | (322) | — | (322) | |
Cazoo Group Ltd. | Pay | 3.820% (0.750% + OBFR) | 1 Month | BAML | 12/26/22 | 1,704 | (1,615) | — | (1,615) | |
Cazoo Group Ltd. | Receive | (15.020)% ((18.000)% + SOFR) | 1 Month | GS | 12/26/22 | 4,311 | (4,070) | — | (4,070) | |
Cazoo Group Ltd. | Pay | 3.820% (0.750% + OBFR) | 1 Month | BAML | 10/23/23 | 163 | (43) | — | (43) | |
Electricite De France S.A. | Pay | 3.470% (0.400% + OBFR) | 1 Month | BAML | 08/21/23 | 22,330 | (804) | — | (804) | |
Electricite De France S.A. | Pay | 3.470% (0.400% + OBFR) | 1 Month | BAML | 08/22/23 | 12,711 | (394) | — | (394) | |
Electricite De France S.A. | Pay | 3.770% (0.700% + OBFR) | 1 Month | GS | 08/21/23 | 27,465 | (958) | — | (958) | |
Emis Group plc | Pay | 3.520% (0.450% + OBFR) | 3 Month | JPM | 09/18/23 | 874 | (63) | — | (63) | |
Emis Group plc | Pay | 3.520% (0.450% + OBFR) | 3 Month | JPM | 10/02/23 | 563 | (26) | — | (26) | |
Emis Group plc | Pay | 3.520% (0.450% + OBFR) | 3 Month | JPM | 10/05/23 | 8,345 | (256) | — | (256) | |
Emis Group plc | Pay | 3.520% (0.450% + OBFR) | 3 Month | JPM | 09/19/23 | 2,545 | (175) | — | (175) | |
Emis Group plc | Pay | 3.520% (0.450% + OBFR) | 3 Month | JPM | 09/22/23 | 334 | (21) | — | (21) | |
Emis Group plc | Pay | 3.520% (0.450% + OBFR) | 3 Month | JPM | 09/25/23 | 468 | (24) | — | (24) | |
Emis Group plc | Pay | 3.520% (0.450% + OBFR) | 3 Month | JPM | 09/26/23 | 56 | (3) | — | (3) |
See Notes to Schedule of Investments
9
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Over-the-counter total return swaps outstanding as of September 30, 2022 were as follows (continued): | ||||||||||
Referenced Entity | Pay/Receive | Financing Rate(1) | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value(2) | Unrealized Appreciation | Unrealized Depreciation | |
Euromoney Institutional Investor plc | Pay | 3.520% (0.450% + OBFR) | 3 Month | JPM | 10/02/23 | $4,328 | $(217) | $— | $(217) | |
Euronav N.V. | Pay | 3.680% (0.610% + OBFR) | 1 Month | GS | 10/09/23 | 4,682 | (627) | — | (627) | |
Homeserve plc | Pay | 3.670% (0.600% + OBFR) | 1 Month | BAML | 06/26/23 | 10,405 | (1,010) | — | (1,010) | |
Homeserve plc | Pay | 3.670% (0.600% + OBFR) | 1 Month | BAML | 07/20/23 | 3,603 | (299) | — | (299) | |
Homeserve plc | Pay | 3.670% (0.600% + OBFR) | 1 Month | BAML | 07/24/23 | 5,971 | (473) | — | (473) | |
Homeserve plc | Pay | 3.670% (0.600% + OBFR) | 1 Month | BAML | 07/28/23 | 4 | (—) (5) | — | (—) (5) | |
Homeserve plc | Pay | 3.670% (0.600% + OBFR) | 1 Month | BAML | 06/27/23 | 2,546 | (244) | — | (244) | |
Homeserve plc | Pay | 3.670% (0.600% + OBFR) | 1 Month | BAML | 07/10/23 | 4,238 | (413) | — | (413) | |
Homeserve plc | Pay | 3.670% (0.600% + OBFR) | 1 Month | BAML | 07/14/23 | 4,117 | (337) | — | (337) | |
Homeserve plc | Pay | 3.670% (0.600% + OBFR) | 1 Month | BAML | 07/21/23 | 5,938 | (432) | — | (432) | |
Homeserve plc | Pay | 3.670% (0.600% + OBFR) | 1 Month | BAML | 07/27/23 | 9,868 | (746) | — | (746) | |
Homeserve plc | Pay | 3.670% (0.600% + OBFR) | 1 Month | BAML | 07/31/23 | 15,681 | (1,157) | — | (1,157) | |
Homeserve plc | Pay | 3.670% (0.600% + OBFR) | 1 Month | BAML | 08/07/23 | 11 | (1) | — | (1) | |
Homeserve plc | Pay | 3.520% (0.450% + OBFR) | 3 Month | JPM | 07/10/23 | 3,259 | (319) | — | (319) | |
Homeserve plc | Pay | 3.520% (0.450% + OBFR) | 3 Month | JPM | 07/14/23 | 1,209 | (98) | — | (98) | |
Homeserve plc | Pay | 3.520% (0.450% + OBFR) | 3 Month | JPM | 07/17/23 | 1,920 | (135) | — | (135) | |
Intertrust N.V. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 02/27/23 | 3,851 | (433) | — | (433) | |
Intertrust N.V. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 04/07/23 | 2,968 | (310) | — | (310) | |
Intertrust N.V. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 04/10/23 | 10,453 | (925) | — | (925) | |
Intertrust N.V. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 03/28/23 | 1,037 | (115) | — | (115) | |
Intertrust N.V. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 04/03/23 | 1,885 | (222) | — | (222) | |
Intertrust N.V. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 04/04/23 | 3,372 | (364) | — | (364) | |
Link Administration Holdings Ltd. | Pay | 3.590% (0.610% + SOFR) | 1 Month | GS | 02/24/23 | 24,928 | (11,766) | — | (11,766) | |
Ramsay Health Care Ltd. | Pay | 3.680% (0.610% + OBFR) | 1 Month | GS | 07/10/23 | 3,134 | (1,036) | — | (1,036) | |
Shell Midstream Partners LP | Pay | 3.800% (0.730% + OBFR) | 3 Month | JPM | 10/20/23 | 6,705 | (15) | — | (15) | |
Silicon Motion Technology Corp. | Pay | 3.680% (0.610% + OBFR) | 1 Month | GS | 10/30/23 | 60,991 | (1,877) | — | (1,877) | |
Swedish Match AB | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 07/10/23 | 6,407 | (289) | — | (289) | |
Swedish Match AB | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 06/27/23 | 1,753 | (88) | — | (88) | |
Swedish Match AB | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 07/03/23 | 4,368 | (198) | — | (198) | |
Swedish Match AB | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 06/19/23 | 13,027 | (207) | — | (207) | |
Swedish Match AB | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 07/20/23 | 5,830 | (8) | — | (8) | |
Swedish Match AB | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 07/24/23 | 4,191 | (33) | — | (33) | |
Swedish Match AB | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 07/27/23 | 4,251 | (39) | — | (39) | |
Swedish Match AB | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 07/31/23 | 3,479 | (56) | — | (56) | |
Swedish Match AB | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 08/18/23 | 1,831 | (14) | — | (14) | |
Swedish Match AB | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 08/21/23 | 1,174 | (31) | — | (31) | |
Swedish Match AB | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 06/20/23 | 8,566 | (216) | — | (216) | |
Swedish Match AB | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 06/26/23 | 4,144 | (117) | — | (117) | |
Tassal Group Ltd. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 09/19/23 | 2,902 | (216) | — | (216) | |
Telecom Italia S.P.A. | Pay | 3.590% (0.610% + SOFR) | 1 Month | GS | 02/13/23 | 4,152 | (2,384) | — | (2,384) | |
Toshiba Corp. | Pay | 3.620% (0.550% + OBFR) | 3 Month | JPM | 06/20/23 | 4,273 | (745) | — | (745) | |
Uniper S.E. | Pay | 3.590% (0.610% + SOFR) | 1 Month | GS | 12/12/22 | 806 | (735) | — | (735) | |
Willis Towers Watson plc | Pay | 3.590% (0.610% + SOFR) | 1 Month | GS | 10/27/22 | 13,348 | (1,766) | — | (1,766) | |
(52,798) | 452 | (53,250) | ||||||||
Short Total Return Swap Contracts | ||||||||||
Broadcom, Inc. | Receive | 2.670% ((0.400)% + OBFR) | 1 Month | BAML | 10/12/23 | (44,450) | 5,897 | 5,897 | — | |
Dufry AG | Receive | 2.320% ((0.750)% + OBFR) | 3 Month | JPM | 09/11/23 | (982) | 241 | 241 | — | |
Frontline Ltd. | Pay | (0.193)% ((3.263)% + OBFR) | 1 Month | GS | 10/09/23 | (2,013) | 292 | 292 | — | |
New York Community Bancorp, Inc. | Receive | 2.670% ((0.400)% + OBFR) | 1 Month | BAML | 01/10/23 | (2,343) | 722 | 722 | — | |
New York Community Bancorp, Inc. | Receive | 2.670% ((0.400)% + OBFR) | 1 Month | BAML | 01/13/23 | (2,293) | 673 | 673 | — | |
New York Community Bancorp, Inc. | Receive | 2.670% ((0.400)% + OBFR) | 1 Month | BAML | 01/16/23 | (595) | 168 | 168 | — |
See Notes to Schedule of Investments
10
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Over-the-counter total return swaps outstanding as of September 30, 2022 were as follows (continued): | ||||||||||||
Referenced Entity | Pay/Receive | Financing Rate(1) | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value(2) | Unrealized Appreciation | Unrealized Depreciation | |||
Rentokil Initial plc | Receive | 2.720% ((0.350)% + OBFR) | 1 Month | GS | 05/19/23 | $(26,710) | $4,939 | $4,939 | $— | |||
12,932 | 12,932 | — | ||||||||||
Total | $(39,866) | $13,384 | $(53,250) |
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. |
The following table summarizes the value of the Fund’s investments as of September 30, 2022, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
Total Value at September 30, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $314,718 | $— | $314,718 | $— | |||
Leveraged Loans | 13,572 | — | 4,600 | 8,972 | |||
Convertible Bonds and Notes | 51,710 | — | 51,710 | — | |||
Equity Securities: | |||||||
Common Stocks | 1,739,047 | 1,649,550 | 89,497 | — | |||
Escrow Notes | 77,130 | — | 76,996 | 134 | |||
Warrants | 1,284(1) | 715 | — | 569(1) | |||
Special Purpose Acquisition Companies | 1,057,095 | 1,053,439 | 3,656 | — | |||
Preferred Stock | 3,474 | 3,474 | — | — | |||
Rights | 566(1) | — | — | 566(1) | |||
Private Investments in Public Equity | 150 | 150 | — | — | |||
Money Market Mutual Funds | 951,518 | 951,518 | — | — | |||
Securities Lending Collateral | 10,264 | 10,264 | — | — | |||
Other Financial Instruments:* | |||||||
Purchased Options | 12,369 | 9,084 | 3,285 | — | |||
Forward Foreign Currency Exchange Contracts | 50,052 | — | 50,052 | — | |||
Over-the-Counter Total Return Swaps | 13,384 | — | 12,932 | 452 | |||
Total Investments, Before Securities Sold Short and Written Options | 4,296,333 | 3,678,194 | 607,446 | 10,693 | |||
Liabilities: | |||||||
Securities Sold Short: | |||||||
Common Stocks | (31,753) | (31,753) | — | — | |||
Other Financial Instruments:* | |||||||
Written Options | (8,279) | (4,204) | (4,075)(1) | — | |||
Forward Foreign Currency Exchange Contracts | (2,993) | — | (2,993) | — | |||
Over-the-Counter Total Return Swaps | (53,250) | — | (53,250) | — | |||
Total Liabilities | (96,275) | (35,957) | (60,318) | — | |||
Total Investments, Net of Securities Sold Short and Written Options | $4,200,058 | $3,642,237 | $547,128 | $10,693 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
* | Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument by level and counterparty. |
See Notes to Schedule of Investments
11
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2022
($ reported in thousands)
Security held by the Fund with an end of period value of $111 was transferred from Level 3 to Level 1 due to an increase 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 September 30, 2022.
See Notes to Schedule of Investments
12
THE MERGER FUND®
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 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. Illiquid, restricted equity securities and illiquid private placements are internally fair valued by the Valuation Committee, and 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 instruments, 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 instruments 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.
13