UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-3445
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THE MERGER FUND
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(Exact name of registrant as specified in charter)
100 SUMMIT LAKE DRIVE
VALHALLA, NEW YORK 10595
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(Address of principal executive offices) (Zip code)
FREDERICK W. GREEN
THE MERGER FUND
100 SUMMIT LAKE DRIVE
VALHALLA, NEW YORK 10595
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(Name and address of agent for service)
1-800-343-8959
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Registrant's telephone number, including area code
Date of fiscal year end: SEPTEMBER 30, 2004
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Date of reporting period: MARCH 31, 2004
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ITEM 1. REPORT TO STOCKHOLDERS.
- ------------------------------
THE
MERGER
FUND(R)
SEMI-ANNUAL REPORT
MARCH 31, 2004
THE MERGER FUND
SCHEDULE OF INVESTMENTS
MARCH 31, 2004
(UNAUDITED)
SHARES VALUE
------ -----
COMMON STOCKS -- 80.37%*<F1>
AIRLINES -- 0.71%*<F1>
385,200 Atlantic Coast Airlines Holdings, Inc.**<F2> $ 2,800,404
452,180 Koninklijke Luchtvaart Maatschappij NV(5)<F9> 9,357,717
23,100 Koninklijke Luchtvaart Maatschappij
NV -- NYS(5)<F9> 479,787
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12,637,908
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BANKS -- 7.46%*<F1>
550,910 Bank One Corporation(3)<F7> 30,035,613
1,926,000 FleetBoston Financial Corporation(1)<F5> 86,477,400
834,400 Gold Banc Corporation, Inc.(1)<F5> 13,600,720
69,800 Provident Financial Group, Inc. 2,803,168
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132,916,901
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BROKERAGE -- 0.56%*<F1>
750,000 E*TRADE Financial Corporation**<F2>(3)<F7> 10,012,500
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CABLE TV -- 0.59%*<F1>
1,540,000 Adelphia Communications
Corporation -- Class A**<F2> 1,278,200
850,000 Liberty Media Corporation --
Class A**<F2>(3)<F7> 9,307,500
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10,585,700
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CHEMICALS -- 0.28%*<F1>
328,500 Millennium Chemicals Inc.**<F2> 4,907,790
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COMPUTER HARDWARE -- 0.00%*<F1>
39,158 Hewlett-Packard Company
Contingent Value Rights(6)<F10> --
--------------
COMPUTER SOFTWARE -- 2.05%*<F1>
1,974,500 PeopleSoft, Inc.**<F2>(4)<F8> 36,508,505
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E-COMMERCE -- 0.20%*<F1>
432,400 FreeMarkets, Inc.**<F2>(3)<F7> 3,558,652
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ELECTRIC UTILITIES -- 1.93%*<F1>
1,394,900 Unisource Energy Corporation(4)<F8> 34,272,693
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ELECTRONIC SECURITY SYSTEMS -- 2.92%*<F1>
1,045,998 InVision Technologies, Inc.**<F2>(3)<F7> 51,954,721
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ENTERTAINMENT -- 3.52%*<F1>
2,507,800 The Walt Disney Company(1)<F5> 62,669,922
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FERTILIZERS -- 1.00%*<F1>
1,250,000 IMC Global Inc.**<F2>(3)<F7> 17,875,000
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FOOD & BEVERAGES -- 5.52%*<F1>
1,131,019 DREYER'S GRAND ICE CREAM HOLDINGS, INC.(1)<F5> 89,497,533
352,900 International Multifoods Corporation**<F2> 8,723,688
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98,221,221
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HOME IMPROVEMENT -- 0.65%*<F1>
680,400 MAAX Inc.(5)<F9> 11,560,458
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INFORMATION TECHNOLOGY -- 2.64%*<F1>
2,326,600 The Titan Corporation**<F2>(4)<F8> 46,974,054
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INSURANCE -- 5.77%*<F1>
998,368 AXA Convertible Rights**<F2>(5)<F9> 19,483,080
876,850 John Hancock Financial Services, Inc.(1)<F5> 38,309,576
99,200 The MONY Group Inc. 3,118,848
1,509,570 Travelers Property Casualty
Corp. -- Class A(2)<F6> 25,889,126
918,510 Travelers Property Casualty Corp. -- Class B 15,862,668
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102,663,298
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LODGING -- 2.01%*<F1>
1,851,400 Extended Stay America, Inc. 35,861,618
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LUXURY GOODS -- 0.92%*<F1>
95,646 Gucci Group NV(5)<F9> 8,139,600
96,000 Gucci Group NV -- NYS(3)<F7>(5)<F9> 8,205,120
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16,344,720
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MANAGED CARE -- 3.89%*<F1>
609,600 WellPoint Health Networks Inc.**<F2>(2)<F6> 69,323,712
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MEDICAL DEVICES -- 2.38%*<F1>
1,573,200 Therasense, Inc.**<F2>(4)<F8> 42,413,472
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METALS & MINING -- 0.49%*<F1>
800,000 IAMGOLD Corporation(5)<F9> 5,222,751
1,000,000 Wheaton River Minerals Ltd.**<F2>(5)<F9> 3,408,788
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8,631,539
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MULTI-INDUSTRY -- 0.52%*<F1>
151,869 Groupe Bruxelles Lambert S.A.(5)<F9> 9,172,952
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NETWORKING PRODUCTS -- 3.03%*<F1>
1,478,680 NetScreen Technologies, Inc.**<F2>(1)<F5> 53,868,312
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OFFICE PRODUCTS -- 0.03%*<F1>
82,326 Dictaphone Corporation**<F2>(6)<F10> 493,956
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PHARMACEUTICALS -- 8.48%*<F1>
22,200 AMERSHAM PLC -- ADR(5)<F9> 1,648,350
688,400 Aventis S.A. -- ADR(3)<F7>(5)<F9> 52,937,960
1,776,947 ILEX Oncology, Inc.**<F2>(3)<F7> 42,504,572
250,000 Sanofi-Synthelabo SA(1)<F5>(5)<F9> 16,335,150
1,532,400 Tularik Inc.**<F2>(1)<F5> 37,620,420
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151,046,452
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PUBLISHING -- 0.89%*<F1>
800,000 Hollinger International Inc.(3)<F7> 15,840,000
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SATELLITE COMMUNICATIONS -- 1.06%*<F1>
770,000 PanAmSat Corporation**<F2> 18,849,600
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SAVINGS & LOANS -- 0.71%*<F1>
154,800 GreenPoint Financial Corp.(3)<F7> 6,766,308
1 Sovereign Bancorp, Inc. 21
239,100 Staten Island Bancorp, Inc. 5,948,808
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12,715,137
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SEMICONDUCTORS -- 2.38%*<F1>
2,916,100 ChipPAC, Inc. -- Class A**<F2>(3)<F7> 23,066,351
1,442,586 Monolithic System Technology, Inc.**<F2>(3)<F7> 19,316,227
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42,382,578
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SPECIALTY RENTALS -- 0.17%*<F1>
96,129 McGrath Rentcorp 2,930,973
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TELECOMMUNICATIONS EQUIPMENT -- 0.47%*<F1>
816,200 LGP Allgon Holding AB**<F2>(5)<F9> 7,089,542
200,251 Powerwave Technologies, Inc.**<F2> 1,561,958
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8,651,500
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TELEPHONY -- 17.14%*<F1>
773,979 Allstream Inc. -- Class B**<F2>(5)<F9> 43,498,394
9,488,900 AT&T Wireless Services Inc.**<F2>(3)<F7> 129,143,929
3,052,300 Citizens Communications Company**<F2>(3)<F7> 39,496,762
148,600 Manitoba Telecom Services Inc.(5)<F9> 5,512,079
2,360,400 NextWave Telecom Inc. -- Class B**<F2>(1)<F5> 11,093,880
3,696,600 Price Communications Corporation**<F2> 57,999,654
1,108,300 Telus Corporation(5)<F9> 18,544,076
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305,288,774
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TOTAL COMMON STOCKS (Cost $1,382,018,673) 1,431,134,618
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CONTRACTS (100 SHARES PER CONTRACT)
- -----------------------------------
PUT OPTIONS PURCHASED -- 0.19%*<F1>
iShares Lehman 7-10 Year Treasury Bond Fund:
350 Expiration June 19, 2004, Exercise Price $88.00 69,125
3,075 Expiration June 19, 2004, Exercise Price $89.00 845,625
Semiconductor HOLDRs Trust:
1,000 Expiration May 22, 2004, Exercise Price $50.00 1,050,000
Standard and Poor's 500 Index:
500 Expiration December 18, 2004,
Exercise Price $1,005.00 1,450,000
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TOTAL PUT OPTIONS (Cost $3,389,341) 3,414,750
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PRINCIPAL AMOUNT
- ----------------
CONVERTIBLE BONDS -- 1.22%*<F1>
Adelphia Communications Corporation:
$13,450,000 6.00%, 2/15/2006D<F3> 5,514,500
24,333,000 3.25%, 5/01/2021D<F3> 9,976,530
Duane Reade Inc.
11,000,000 2.15%, 4/16/2022 6,270,00
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TOTAL CONVERTIBLE BONDS (Cost $20,123,876) 21,761,030
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CORPORATE BONDS -- 2.52%*<F1>
Adelphia Communications Corporation
13,695,000 9.25%, 10/01/2022D<F3> 13,078,725
Roadway Corporation
27,195,000 8.25%, 12/01/2008 31,716,169
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TOTAL CORPORATE BONDS (Cost $39,642,924) 44,794,894
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SHORT-TERM INVESTMENTS -- 10.58%*<F1>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 8.65%*<F1>
Federal Home Loan Bank:
29,001,000 0.81%, 04/01/2004(1)<F5> 29,001,000
45,000,000 1.33%, 04/02/2004(1)<F5> 44,998,333
30,000,000 0.80%, 04/05/2004(1)<F5> 29,997,333
30,000,000 0.83%, 04/06/2004(1)<F5> 29,996,542
20,000,000 0.97%, 04/08/2004(1)<F5> 19,996,222
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153,989,430
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VARIABLE RATE DEMAND NOTES #<F4> -- 1.93%*<F1>
$ 5,704,016 American Family Financial Services, Inc., 0.69% 5,704,016
24,563,766 U.S. Bank, 0.84% 24,563,766
4,124,778 Wisconsin Corporate Central Credit Union, 0.76% 4,124,778
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34,392,560
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TOTAL SHORT-TERM INVESTMENTS (Cost $188,381,990) 188,381,990
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TOTAL INVESTMENTS (Cost $1,633,556,804) $1,689,487,282
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ADR - American Depositary Receipt
NYS - New York Shares
*<F1> Calculated as a percentage of net assets.
**<F2> Non-income producing security.
D<F3> - Security in default.
#<F4> Variable rate demand notes are considered short-term obligations and
are payable on demand. Interest rates change periodically on
specified dates. The rates listed above are as of March 31, 2004.
(1)<F5> All or a portion of the shares have been committed as collateral for
open short positions.
(2)<F6> All or a portion of the shares have been committed as collateral for
short foreign currency contracts.
(3)<F7> All or a portion of the shares have been committed as collateral for
written option contracts.
(4)<F8> All or a portion of the shares have been committed as collateral for
equity swap contracts.
(5)<F9> Foreign security.
(6)<F10> Fair-valued security.
See notes to the financial statements.
THE MERGER FUND
SCHEDULE OF SECURITIES SOLD SHORT
MARCH 31, 2004
(UNAUDITED)
SHARES VALUE
------ -----
2,553,000 Adelphia Communications Corporation -- Class A $ 2,118,990
25,000 Air France 448,856
475,280 Air France Warrants, Exercise Price $20.00 634,499
609,600 Anthem, Inc. 55,254,144
315,700 Ariba, Inc. 890,274
998,368 Axa 20,832,664
1,069,420 Bank of America Corporation 86,601,632
2,229,950 General Electric Company 68,058,074
201,340 Genzyme Corporation 9,471,034
1,250,000 IAMGOLD Corporation 8,160,548
111,900 Independence Community Bank Corp. 4,559,925
726,300 J.P. Morgan Chase & Co. 30,468,285
1,092,910 Juniper Networks, Inc. 28,426,589
426,860 Lockheed Martin Corporation 19,481,890
252,500 Lyondell Chemical Company 3,747,100
992,503 Manitoba Telecom Services Inc. 36,815,310
1,039,100 Manulife Financial Corporation 38,602,565
79,300 National City Corporation 2,821,494
496,600 Powerwave Technologies, Inc. 3,873,480
79,489 Suez SA 1,623,508
1,108,300 Telus Corporation 19,648,765
1,051,005 The St. Paul Companies, Inc. 42,050,710
25,762 Total SA 4,729,842
245,500 Verizon Communications Inc. 8,970,570
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TOTAL SECURITIES SOLD SHORT
(Proceeds $478,648,209) $498,290,747
------------
------------
See notes to the financial statements.
THE MERGER FUND
SCHEDULE OF OPTIONS WRITTEN
MARCH 31, 2004
(UNAUDITED)
CONTRACTS (100 SHARES PER CONTRACT) VALUE
- ----------------------------------- -----
CALL OPTIONS
AT&T Wireless Services Inc.:
10,248 Expiration April 17, 2004, Exercise Price $7.50 $ 6,261,528
25,641 Expiration July 17, 2004, Exercise Price $10.00 9,487,170
Aventis S.A. -- ADR:
450 Expiration April 17, 2004, Exercise Price $70.00 315,000
4,640 Expiration April 17, 2004, Exercise Price $75.00 1,136,800
1,794 Expiration May 22, 2004, Exercise Price $75.00 596,505
Bank One Corporation
7 Expiration May 22, 2004, Exercise Price $45.00 6,790
ChipPAC, Inc. -- Class A:
15,400 Expiration April 17, 2004, Exercise Price $7.50 847,000
2,800 Expiration May 22, 2004, Exercise Price $7.50 203,000
Citizens Communications Company
30,523 Expiration May 22, 2004, Exercise Price $12.50 2,441,840
E*TRADE Financial Corporation
7,500 Expiration April 17, 2004, Exercise Price $12.50 825,000
FreeMarkets, Inc.
2,921 Expiration April 17, 2004, Exercise Price $7.50 248,285
GreenPoint Financial Corp.
1,548 Expiration April 17, 2004, Exercise Price $40.00 580,500
Gucci Group NV -- NYS
750 Expiration April 17, 2004, Exercise Price $85.00 48,750
Hollinger International Inc.:
4,000 Expiration April 17, 2004, Exercise Price $17.50 940,000
4,000 Expiration June 19, 2004, Exercise Price $17.50 1,040,000
ILEX Oncology, Inc.
4,377 Expiration May 22, 2004, Exercise Price $25.00 65,655
IMC Global Inc.
12,500 Expiration June 19, 2004, Exercise Price $10.00 5,375,000
InVision Technologies, Inc.:
5,985 Expiration April 17, 2004, Exercise Price $50.00 149,625
4,473 Expiration July 17, 2004, Exercise Price $50.00 134,190
Liberty Media Corporation -- Class A:
5,000 Expiration April 16, 2004, Exercise Price $11.00 170,000
3,500 Expiration April 17, 2004, Exercise Price $11.00 70,000
Monolithic System Technology, Inc.
1,201 Expiration April 17, 2004, Exercise Price $12.50 108,090
The MONY Group Inc.
992 Expiration April 17, 2004, Exercise Price $30.00 119,040
NetScreen Technologies, Inc.
7,000 Expiration June 19, 2004, Exercise Price $30.00 5,320,000
PanAmSat Corporation:
1,500 Expiration April 17, 2004, Exercise Price $22.50 318,750
6,200 Expiration May 22, 2004, Exercise Price $22.50 1,550,000
PeopleSoft, Inc.:
5,800 Expiration April 17, 2004, Exercise Price $17.50 696,000
13,945 Expiration April 17, 2004, Exercise Price $20.00 209,175
Price Communications Corporation:
500 Expiration May 22, 2004, Exercise Price $15.00 46,250
5,100 Expiration August 21, 2004, Exercise Price $15.00 573,750
5,426 Expiration August 21, 2004, Exercise Price $17.50 119,372
The Titan Corporation:
300 Expiration April 17, 2004, Exercise Price $17.50 88,500
2,500 Expiration April 17, 2004, Exercise Price $22.50 12,500
The Walt Disney Company:
22,078 Expiration April 17, 2004, Exercise Price $25.00 1,103,900
3,000 Expiration April 17, 2004, Exercise Price $27.50 30,000
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TOTAL OPTIONS WRITTEN
(Premiums received $36,661,580) $41,237,965
-----------
-----------
See notes to the financial statements.
THE MERGER FUND
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2004
(UNAUDITED)
ASSETS:
Investments, at value (Cost $1,633,556,804) $1,689,487,282
Deposit at brokers for short sales 49,884,449
Receivable from brokers for proceeds on securities sold short 482,322,383
Receivable for investments sold 104,997,648
Receivable for fund shares issued 7,281,708
Receivable for written options 666,283
Receivable for equity swap contracts 93,280,152
Dividends and interest receivable 1,107,174
Prepaid expenses 202,352
--------------
Total Assets 2,429,229,431
--------------
LIABILITIES:
Securities sold short, at value (Proceeds of $478,648,209) $498,290,747
Options written, at value (Premiums received $36,661,580) 41,237,965
See accompanying schedule
Payable to custodian 1,401,387
Payable for investment securities purchased 102,910,363
Payable for fund shares redeemed 790,403
Payable for forward currency exchange contracts 1,515,331
Investment advisory fee payable 1,487,637
Distribution fees payable 556,429
Accrued expenses and other payables 345,089
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Total Liabilities 648,535,351
--------------
NET ASSETS $1,780,694,080
--------------
--------------
NET ASSETS Consist Of:
Accumulated undistributed net investment loss $ (14,574,109)
Accumulated undistributed net realized loss on investments
sold, foreign currencies, securities sold short, equity swaps,
and option contracts expired or closed (47,006,192)
Net unrealized appreciation (depreciation) on:
Investments $ 55,930,478
Short positions (19,642,538)
Written options (4,576,385)
Equity swap contracts 9,105,881
Foreign currency translation 23,398
Forward currency exchange contracts (1,282,563)
------------
Net unrealized appreciation 39,558,271
Paid-in capital 1,802,716,110
--------------
Total Net Assets $1,780,694,080
--------------
--------------
NET ASSET VALUE, offering price and redemption price per share
($1,780,694,080/ 115,161,020 shares of beneficial interest outstanding) $15.46
------
------
See notes to the financial statements.
THE MERGER FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MARCH 31, 2004
(UNAUDITED)
INVESTMENT INCOME:
Interest $ 5,023,526
Dividend income on long positions
(net of foreign withholding taxes of $55,193) 5,212,961
-----------
Total investment income 10,236,487
-----------
EXPENSES:
Investment advisory fee $ 7,115,542
Distribution fees 1,549,850
Transfer agent and shareholder servicing agent fees 208,334
Federal and state registration fees 107,580
Professional fees 95,728
Trustees' fees and expenses 16,570
Custody fees 157,335
Administration fee 312,227
Reports to shareholders 106,475
Other 63,058
-----------
Total operating expenses before dividends on short positions 9,732,699
Dividends on short positions 2,912,359
-----------
Total expenses 12,645,058
-----------
NET INVESTMENT LOSS (2,408,571)
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Realized gain (loss) on:
Long transactions 60,070,105
Short transactions (7,296,712)
Option contracts expired or closed (6,275,840)
Equity swap contracts (1,541,033)
Foreign currencies (4,654,128)
-----------
Net realized gain 40,302,392
Change in unrealized appreciation / depreciation on:
Investments 31,548,223
Short positions (15,599,217)
Written options (6,624,049)
Equity swap contracts 9,774,028
Foreign currency translation 8,006
Forward currency exchange contracts 1,579,537
-----------
Net unrealized gain 20,686,528
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 60,988,920
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $58,580,349
-----------
-----------
See notes to the financial statements.
THE MERGER FUND
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED YEAR ENDED
MARCH 31, 2004 SEPTEMBER 30, 2003
---------------- ------------------
(UNAUDITED)
Net investment income (loss) $ (2,408,571) $ 1,980,221
Net realized gain (loss) on investments sold, foreign
currency translations, forward currency exchange
contracts, securities sold short, equity swap contracts,
and option contracts expired or closed 40,302,392 (37,321,867)
Change in unrealized appreciation / depreciation on
investments, foreign currencies, forward currency
exchange contracts, short positions, equity swap
contracts and written options 20,686,528 134,156,405
-------------- --------------
Net increase in net assets resulting from operations 58,580,349 98,814,759
-------------- --------------
Distributions to shareholders from:
Net investment income (3,130,756) (11,728,173)
Net realized gains -- --
-------------- --------------
Total dividends and distributions (3,130,756) (11,728,173)
-------------- --------------
Net increase in net assets from capital
share transactions (Note 4) 575,254,255 208,946,909
-------------- --------------
Net increase in net assets 630,703,848 296,033,495
NET ASSETS:
Beginning of period 1,149,990,232 853,956,737
-------------- --------------
End of period (including accumulated undistributed net
investment loss of ($14,574,109) and ($10,681,814)
respectively) $1,780,694,080 $1,149,990,232
-------------- --------------
-------------- --------------
See notes to the financial statements.
THE MERGER FUND
FINANCIAL HIGHLIGHTS
Selected per share data is based on a share of beneficial interest outstanding
throughout each period.
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MARCH 31, SEPT. 30, SEPT. 30, SEPT. 30, SEPT. 30, SEPT. 30,
2004 2003 2002 2001 2000 1999
--------- --------- --------- --------- --------- ---------
(UNAUDITED)
Net Asset Value, beginning of period $14.84 $13.46 $15.74 $16.90 $15.37 $13.90
Income from investment operations:
Net investment income(1)<F11> (0.03)(2) 0.05(7) 0.22(7) 0.31(7) 0.29(7) 0.08(2)
<F12> <F17> <F17> <F17> <F17> <F12>
Net realized and unrealized
gain (loss) on investments 0.69 1.53(7) (1.44)(7) 0.32(7) 2.46(7) 2.71
<F17> <F17> <F17> <F17>
------ ------ ------ ------ ------ ------
Total from investment operations 0.66 1.58 (1.22) 0.63 2.75 2.79
Less distributions:
Dividends from net investment income (0.04) (0.20) (0.21) (0.14) (0.07) (0.22)
Distributions from net realized gains -- -- (0.85) (1.65) (1.15) (1.10)
------ ------ ------ ------ ------ ------
Total distributions (0.04) (0.20) (1.06) (1.79) (1.22) (1.32)
------ ------ ------ ------ ------ ------
Net Asset Value, end of period $15.46 $14.84 $13.46 $15.74 $16.90 $15.37
------ ------ ------ ------ ------ ------
------ ------ ------ ------ ------ ------
Total Return 4.42%(4) 11.88% (8.39)% 3.86% 19.08% 21.39%
<F14>
Supplemental Data and Ratios:
Net assets, end of period (000's) $1,780,694 $1,149,990 $853,957 $982,893 $1,078,958 $575,449
Ratio of operating expenses
to average net assets 1.77%(5) 1.86%(7) 1.60%(7) 1.99%(7) 1.89%(7) 2.45%
<F15> <F17> <F17> <F17> <F17>
Ratio of interest expense and dividends
on short positions to average net assets 0.41%(5) 0.49%(7) 0.22%(7) 0.65%(7) 0.55%(7) 1.07%
<F15> <F17> <F17> <F17> <F17>
Ratio of operating expenses to average
net assets excluding interest expense
and dividends on short positions 1.36%(5) 1.37% 1.38% 1.34% 1.34% 1.38%
<F15>
Ratio of net investment income
to average net assets (0.34)%(5) 0.22%(7) 1.31%(7) 1.91%(7) 1.83%(7) 0.54%
<F15> <F17> <F17> <F17> <F17>
Portfolio turnover rate(6)<F16> 128.33% 309.18% 258.37% 383.74% 419.24% 386.52%
(1)<F11> Net investment income before interest expense and dividends on short
positions for the six months ended March 31, 2004 and the years ended
September 30, 2003, 2002, 2001, 2000 and 1999, was $0.01, $0.16,
$0.27, $0.47, $0.38 and $0.23, respectively.
(2)<F12> Net investment income per share represents net investment income for
the respective period divided by the monthly average shares of
beneficial interest outstanding throughout each period.
(3)<F13> Net investment income per share is calculated using ending balances
prior to consideration of adjustments for permanent book and tax
differences.
(4)<F14> Not Annualized.
(5)<F15> Annualized.
(6)<F16> The numerator for the portfolio turnover rate includes the lesser of
purchases or sales (excluding short positions). The denominator
includes the average long positions throughout the period.
(7)<F17> As a result of recent changes in generally accepted accounting
principles, the Fund has reclassified periodic payments made under
equity swap agreements, previously included within dividend income,
interest expense on equity swap contracts, and dividends on short
positions, as a component of realized gain (loss) in the statement of
operations. The effect of this reclassification was to increase
(reduce) the net investment income ratio for the years ending
September 30, 2003, 2002, 2001 and 2000 by (0.12)%, (0.05)%, (0.32)%,
and 0.26%, respectively, and net investment income per share by
$(0.01), $(0.01), $(0.05), and $0.04, respectively. This
reclassification also reduced the ratio of interest expense and
dividends on short positions for the years ended September 30, 2003,
2002, 2001 and 2000 by 0.33%, 0.05%, 0.02%, and 0.31%, respectively.
See notes to the financial statements.
THE MERGER FUND
NOTES TO THE FINANCIAL STATEMENTS
MARCH 31, 2004 (UNAUDITED)
NOTE 1 -- ORGANIZATION
The Merger Fund (the "Fund") is a no-load, open-end, non-diversified
investment company organized as a trust under the laws of the Commonwealth of
Massachusetts on April 12, 1982, and registered under the Investment Company Act
of 1940 (the "1940 Act"), as amended. The Fund was formerly known as the Risk
Portfolio of The Ayco Fund. In January of 1989, the Fund's fundamental policies
were amended to permit the Fund to engage exclusively in merger arbitrage. At
the same time, Westchester Capital Management, Inc. became the Fund's investment
adviser, and the Fund began to do business as The Merger Fund. Merger arbitrage
is a highly specialized investment approach generally designed to profit from
the successful completion of proposed mergers, takeovers, tender offers,
leveraged buyouts, liquidations and other types of corporate reorganizations.
NOTE 2 -- SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements. These
policies are in conformity with generally accepted accounting principles.
A. Investment Valuation
Securities listed on the NASDAQ National Market are valued at the NASDAQ
Official Closing Price ("NOCP"). Other listed securities are valued at the last
sales price on the exchange on which such securities are primarily traded or, in
the case of options, at the last sales price on any exchange. Securities not
listed on an exchange, securities for which there are no transactions or options
whose last sales price is outside the parameters of the closing bid and asked
prices are valued at the average of the closing bid and asked prices. Securities
for which there are no such valuations are valued at fair value as determined in
good faith by management under the supervision of the Board of Trustees. The
investment adviser reserves the right to value securities, including options, at
prices other than last-sale prices or the average of closing bid and asked
prices when such prices are believed unrepresentative of fair market value as
determined in good faith by the adviser. At March 31, 2004, fair-valued long
securities represented 0.03% of investments, at value. Investments in United
States government securities (other than short-term securities) are valued at
the average of the quoted bid and asked prices in the over-the-counter market.
Short-term investments are carried at amortized cost, which approximates market
value.
B. Short Positions
The Fund may sell securities or currencies short for hedging purposes. For
financial statement purposes, an amount equal to the settlement amount is
included in the Statement of Assets and Liabilities as an asset and an
equivalent liability. The amount of the liability is subsequently marked-to-
market to reflect the current value of the short position. Subsequent
fluctuations in the market prices of securities or currencies sold, but not yet
purchased, may require purchasing the securities or currencies at prices which
may differ from the market value reflected on the Statement of Assets and
Liabilities. The Fund is liable for any dividends payable on securities while
those securities are in a short position. As collateral for its short positions,
the Fund is required under the 1940 Act to maintain assets consisting of cash,
cash equivalents or liquid securities. These assets are required to be adjusted
daily to reflect changes in the value of the securities or currencies sold
short.
C. Transactions with Brokers for Short Sales
The Fund's receivable from brokers for proceeds on securities sold short and
deposit at brokers for short sales are with three major securities dealers. The
Fund does not require the brokers to maintain collateral in support of the
receivable from the broker for proceeds on securities sold short.
D. Federal Income Taxes
No provision for federal income taxes has been made since the Fund has
complied to date with the provisions of the Internal Revenue Code applicable to
regulated investment companies and intends to continue to so comply in future
years and to distribute investment company net taxable income and net capital
gains to shareholders. Additionally, the Fund intends to make all required
distributions to avoid federal excise tax.
E. Written Option Accounting
The Fund writes (sells) covered call options to hedge portfolio investments.
Uncovered put options can also be written by the Fund as part of a merger
arbitrage strategy involving a pending corporate reorganization. When the Fund
writes (sells) an option, an amount equal to the premium received by the Fund is
included in the Statement of Assets and Liabilities as an asset and an
equivalent liability. The amount of the liability is subsequently marked-to-
market to reflect the current value of the option written. By writing an option,
the Fund may become obligated during the term of the option to deliver or
purchase the securities underlying the option at the exercise price if the
option is exercised. Option contracts are valued at the last sales price
reported on the date of valuation. If no sale is reported or if the last sale is
outside the parameters of the closing bid and asked prices, the option contract
written is valued at the average of the closing bid and asked prices reported on
the day of valuation. When an option expires on its stipulated expiration date
or the Fund enters into a closing purchase transaction, the Fund realizes a gain
or loss if the cost of the closing purchase transaction differs from the premium
received when the option was sold without regard to any unrealized gain or loss
on the underlying security, and the liability related to such option is
eliminated. When an option is exercised, the premium originally received
decreases the cost basis of the security (or increases the proceeds on a sale of
the security), and the Fund realizes a gain or loss from the sale of the
underlying security.
F. Purchased Option Accounting
The Fund purchases put options to hedge portfolio investments. Call options
may be purchased only for the purpose of closing out previously written covered
call options. Premiums paid for option contracts purchased are included in the
Statement of Assets and Liabilities as an asset. Option contracts are valued at
the last sales price reported on the date of valuation. If no sale is reported
or if the last sale is outside the parameters of the closing bid and asked
prices, the option contract purchased is valued at the average of the closing
bid and asked prices reported on the day of valuation. When option contracts
expire or are closed, realized gains or losses are recognized without regard to
any unrealized gains or losses on the underlying securities.
G. Forward Currency Exchange Contracts
The Fund may enter into forward currency exchange contracts obligating the
Fund to deliver and receive a currency at a specified future date. Forward
contracts are valued daily and unrealized appreciation or depreciation is
recorded daily as the difference between the contract exchange rate and the
closing forward rate applied to the face amount of the contract. A realized gain
or loss is recorded at the time the forward contract is closed.
H. Distributions to Shareholders
Dividends from net investment income and net realized capital gains, if any,
are declared and paid annually. Income and capital gain distributions are
determined in accordance with income tax regulations which may differ from
generally accepted accounting principles. These differences are due primarily to
wash loss deferrals, constructive sales, straddle loss deferrals, adjustments on
equity swaps, and unrealized gains or losses on Section 1256 contracts, which
were realized, for tax purposes, at September 30, 2003. Accordingly,
reclassifications are made within the net asset accounts for such amounts, as
well as amounts related to permanent differences in the character of certain
income and expense items for income tax and financial reporting purposes. The
Fund may utilize earnings and profits distributed to shareholders on redemption
of shares as part of the dividends paid deduction.
I. Use of Estimates
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from those estimates.
J. Foreign Securities
Investing in securities of foreign companies and foreign governments involves
special risks and considerations not typically associated with investing in U.S.
companies and the U.S. government. These risks include revaluation of currencies
and future adverse political and economic developments. Moreover, securities of
many foreign companies and foreign governments and their markets may be less
liquid and their prices more volatile than those of securities of comparable
U.S. companies and the U.S. government.
K. Foreign Currency Translations
The books and records of the Fund are maintained in U.S. dollars. Foreign
currency transactions are translated into U.S. dollars on the following basis:
(i) market value of investment securities, assets and liabilities at the daily
rates of exchange, and (ii) purchases and sales of investment securities,
dividend and interest income and certain expenses at the rates of exchange
prevailing on the respective dates of such transactions. For financial reporting
purposes, the Fund does not isolate changes in the exchange rate of investment
securities from the fluctuations arising from changes in the market prices of
securities. However, for federal income tax purposes the Fund does isolate and
treat as ordinary income the effect of changes in foreign exchange rates on
realized gain or loss from the sale of investment securities and payables and
receivables arising from trade date and settlement date differences.
L. When-Issued Securities
The Fund may sell securities on a when-issued or delayed delivery basis.
Although the payment and interest terms of these securities are established at
the time the Fund enters into the agreement, these securities may be delivered
for cash proceeds at a future date. The Fund records sales of when-issued
securities and reflects the values of such securities in determining net asset
value in the same manner as other open short sale positions. The Fund segregates
and maintains at all times cash, cash equivalents, or other liquid securities in
an amount at least equal to the market value for when-issued securities.
M. Reporting of Swap Contracts
As a result of a recent FASB Emerging Issues Task Force consensus and
subsequent related SEC staff guidance, the Fund has reclassified periodic
payments made under equity swap agreements, previously included within dividend
income, interest expense on equity swap contracts, and dividends on short
positions, as a component of realized gain (loss) in the statement of
operations. For consistency, similar reclassifications have been made to
amounts appearing in the previous year's statement of changes in net assets and
the per-share amounts in the previous years' financial highlights. The previous
years' net-investment-income ratios in the financial highlights have also been
modified accordingly. This reclassification increased (decreased) net
investment income by $(1,045,740), $(467,783), $(3,719,964) and $2,045,083 for
the years ended September 30, 2003, 2002, 2001, and 2000, respectively, but had
no effect on the Fund's net asset value, either in total or per share. The
reclassification of net investment income was offset by an increase (decrease)
in net realized gains.
N. Other
Investment and shareholder transactions are recorded on the trade date.
Realized gains and losses from security transactions are recorded on the
identified cost basis. Dividend income and distributions to shareholders are
recorded on the ex-dividend date. Interest is accounted for on the accrual
basis. Investment income includes $1,348,210 of interest earned on receivables
from brokers for proceeds on securities sold short and deposits. The Fund may
utilize derivative instruments including options, forward currency exchange
contracts and other instruments with similar characteristics to the extent that
they are consistent with the Fund's investment objectives and limitations. The
use of these instruments may involve additional investment risks including the
possibility of illiquid markets or imperfect correlation between the value of
the instruments and the underlying securities.
NOTE 3 -- AGREEMENTS
The Fund's investment adviser is Westchester Capital Management, Inc. (the
"Adviser") pursuant to an investment advisory agreement dated January 31, 1989.
Under the terms of this agreement, the Adviser is entitled to receive a fee,
calculated daily and payable monthly, at the annual rate of 1.00% of the Fund's
average daily net assets. Certain officers of the Fund are also officers of the
Adviser.
U.S. Bancorp Fund Services, LLC, a subsidiary of U.S. Bancorp, a publicly
held bank holding company, serves as transfer agent, administrator and
accounting services agent for the Fund. U.S. Bank, N.A. serves as custodian for
the Fund.
Distribution services are performed pursuant to distribution contracts with
broker-dealers and other qualified institutions. Prior to its resignation on
June 30, 2003, Mercer Allied Company, L.P. served as the Fund's principal
underwriter. The Fund has not had a principal underwriter since such date.
NOTE 4 -- SHARES OF BENEFICIAL INTEREST
The Trustees have the authority to issue an unlimited amount of shares of
beneficial interest without par value.
Changes in shares of beneficial interest were as follows:
SIX MONTHS ENDED YEAR ENDED
MARCH 31, 2004 SEPTEMBER 30, 2003
---------------------------- ----------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------- ----------- -------------
Sold 52,361,078 $ 799,199,496 50,925,065 $ 724,702,611
Issued as reinvestment
of dividends 198,390 3,013,553 819,393 11,250,262
Redemption fee -- 22,025 -- --
Redeemed (14,911,919) (226,980,819) (37,670,473) (527,005,964)
----------- ------------- ----------- -------------
Net increase 37,647,549 $ 575,254,255 14,073,985 $ 208,946,909
----------- ------------- ----------- -------------
----------- ------------- ----------- -------------
Effective March 5, 2004, the Fund closed to new investors.
NOTE 5 -- INVESTMENT TRANSACTIONS
Purchases and sales of securities for the six months ended March 31, 2004
(excluding short-term investments, options and short positions) aggregated
$2,040,909,520 and $1,495,421,651, respectively. There were no purchases or
sales of U.S. Government Securities.
At September 30, 2003, the components of accumulated losses on a tax basis
were as follows:
Cost of Investments $1,159,962,529
--------------
--------------
Gross unrealized appreciation $ 40,687,057
Gross unrealized depreciation (58,021,595)
--------------
Net unrealized depreciation $ (17,334,538)
--------------
--------------
Undistributed ordinary income $ 3,130,135
Undistributed long-term capital gain --
--------------
Total distributable earnings $ 3,130,135
--------------
--------------
Other accumulated losses $ (80,601,758)
--------------
Total accumulated losses $ (77,471,623)
--------------
--------------
The tax components of capital loss carryovers as of September 30, 2003, and
tax-basis post-October loss deferrals (recognized for tax purposes on October 1,
2003) are as follows:
NET CAPITAL CAPITAL LOSS
LOSS CARRYOVER POST-OCTOBER
CARRYOVER*<F18> EXPIRATION LOSS
--------------- ------------ ------------
$17,185,725 2010 $36,613,632
$ 6,619,041 2011
-----------
$23,804,766
*<F18> Capital gain distributions will resume in the future to the extent
gains are realized in excess of the available carryforwards.
The tax components of dividends paid during the six months ended March 31,
2004 and 2003 were as follows:
2004 2003
---- ----
Ordinary Income $3,130,756 $11,728,173
Long-Term Capital Gains $ -- $ --
NOTE 6 -- OPTION CONTRACTS WRITTEN
The premium amount and the number of option contracts written during the six
months ended March 31, 2004, were as follows:
PREMIUM NUMBER OF
AMOUNT CONTRACTS
----------- ---------
Options outstanding at September 30, 2003 $19,058,882 89,312
Options written 89,731,766 506,735
Options closed (21,502,911) (135,307)
Options exercised (48,963,040) (224,720)
Options expired (1,663,117) (12,421)
----------- --------
Options outstanding at March 31, 2004 $36,661,580 223,599
----------- --------
----------- --------
NOTE 7 -- DISTRIBUTION PLAN
The Fund has adopted a Plan of Distribution (the "Plan") dated July 1, 1993,
as amended, pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Fund
will compensate broker-dealers or qualified institutions with whom the Fund has
entered into a contract to distribute Fund shares ("Dealers"). Under the Plan,
the amount of such compensation paid in any one year shall not exceed 0.25%
annually of the average daily net assets of the Fund, which may be payable as a
service fee for providing record keeping, subaccounting, subtransfer agency
and/or shareholder liaison services. For the six months ended March 31, 2004,
the Fund incurred $1,549,850 pursuant to the Plan.
The Plan will remain in effect from year to year provided such continuance is
approved at least annually by a vote either of a majority of the Trustees,
including a majority of the non-interested Trustees, or a majority of the Fund's
outstanding shares.
NOTE 8 -- CREDIT FACILITY
Custodial Trust Company has made available to the Fund a $230 million credit
facility (subject to increase under certain conditions) pursuant to a Loan and
Security Agreement ("Agreement") dated March 18, 1992 (subsequently amended) for
the purpose of purchasing portfolio securities. The Agreement can be terminated
by either the Fund or Custodial Trust Company with three months' prior notice.
As collateral for the loan, the Fund is required under the 1940 Act to maintain
assets consisting of cash, cash equivalents or liquid securities. The assets are
required to be adjusted daily to reflect changes in the amount of the loan
outstanding. During the six months ended March 31, 2004 the Fund did not have
any borrowings outstanding under the Agreement.
NOTE 9 -- FORWARD CURRENCY EXCHANGE CONTRACTS
At March 31, 2004, the Fund had entered into "position hedge" forward
currency exchange contracts that obligated the Fund to deliver and receive
currencies at a specified future date. The net unrealized depreciation of
$1,282,563 is included in the net unrealized appreciation (depreciation) section
of the accompanying financial statements. The terms of the open contracts are as
follows:
SETTLEMENT CURRENCY TO U.S. $ VALUE AT CURRENCY TO U.S. $ VALUE AT
DATE BE DELIVERED MARCH 31, 2004 BE RECEIVED MARCH 31, 2004
---------- ------------ -------------- ----------- --------------
4/15/04 12,507,865 British Pounds $22,958,025 22,290,782 U.S. Dollars $22,290,782
4/30/04 3,102,400 British Pounds 5,685,957 5,524,106 U.S. Dollars 5,524,106
6/30/04 16,132,600 Canadian Dollars 12,245,238 12,268,141 U.S. Dollars 12,268,141
6/15/04 13,050,000 Euros 16,003,840 15,831,985 U.S. Dollars 15,831,985
4/30/04 1,848,504 Euros 2,269,370 2,298,430 U.S. Dollars 2,298,430
6/30/04 32,504,300,000 South Korean Won 28,140,367 27,806,790 U.S. Dollars 27,806,790
----------- -----------
$87,302,797 $86,020,234
----------- -----------
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NOTE 10 -- EQUITY SWAP CONTRACTS
The Fund has entered into both long and short equity swap contracts with
multiple broker/dealers. A long equity swap contract entitles the Fund to
receive from the counterparty any appreciation and dividends paid on an
individual security, while obligating the Fund to pay the counterparty any
depreciation on the security as well as interest on the notional amount of the
contract at a rate equal to LIBOR plus 50 to 100 basis points. The Fund may
enter into fully-funded long equity swap contracts in order to avoid these
interest charges. A short equity swap contract obligates the Fund to pay the
counterparty any appreciation and dividends paid on an individual security,
while entitling the Fund to receive from the counterparty any depreciation on
the security as well as interest on the notional value of the contract at a rate
equal to LIBOR less 50 to 100 basis points.
The Fund may also enter into equity swap contracts whose value is determined
by the spread between a long equity position and a short equity position. This
type of swap contract obligates the Fund to pay the counterparty an amount tied
to any increase in the spread between the two securities over the term of the
contract. The Fund is also obligated to pay the counterparty any dividends paid
on the short equity holding as well as any net financing costs. This type of
swap contract entitles the Fund to receive from the counterparty any gains based
on a decrease in the spread as well as any dividends paid on the long equity
holding and any net interest income.
Fluctuations in the value of an open contract are recorded daily as a net
unrealized gain or loss. The Fund will realize a gain or loss upon termination
or reset of the contract. Either party, under certain conditions, may terminate
the contract prior to the contract's expiration date.
Credit risk may arise as a result of the failure of the counterparty to
comply with the terms of the contract. The Fund considers the creditworthiness
of each counterparty to a contract in evaluating potential credit risk. The
counterparty risk to the Fund is limited to the net unrealized gain, if any, on
the contract, along with dividends receivable on long equity contracts and
interest receivable on short equity contracts. Additionally, risk may arise from
unanticipated movements in interest rates or in the value of the underlying
securities. At March 31, 2004, the Fund had the following open equity swap
contracts:
UNREALIZED APPRECIATION
TERMINATION DATE SECURITY SHARES (DEPRECIATION)
---------------- -------- ------ --------------
5/10/04 Air France (485,208) $ (209,649)
4/08/04 Amersham plc 6,410,696 7,687,929
5/07/04 Koram Bank 2,936,220 1,505,644
4/27/04 Powerwave Technologies, Inc. (471,700) (262,277)
6/29/04 Sanofi-Synthelabo SA June Call (250,000) 384,234
----------
$9,105,881
----------
----------
For the six months ended March 31, 2004, the Fund realized losses of
$1,541,033 upon the termination of equity swap contracts.
THE MERGER FUND
AVAILABILITY OF PROXY VOTING INFORMATION
Information regarding how the Fund votes proxies relating to portfolio
securities is available without charge upon request by calling toll-free at
1-800-343-8959 and on the SEC's website at www.sec.gov. Information regarding
-----------
how the Fund voted proxies relating to portfolio securities during the period
ending June 30, 2004 will be available after August 31, 2004 on the SEC's
website at www.sec.gov or by calling the toll-free number listed above.
-----------
INVESTMENT ADVISER
Westchester Capital Management, Inc.
100 Summit Lake Drive
Valhalla, NY 10595
(914) 741-5600
ADMINISTRATOR, TRANSFER AGENT, DIVIDEND PAYING
AGENT, AND SHAREHOLDER SERVICING AGENT
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
P.O. Box 701
Milwaukee, WI 53201-0701
(800) 343-8959
CUSTODIAN
U.S. Bank, N.A.
P.O. Box 701
Milwaukee, WI 53201-0701
(800) 343-8959
TRUSTEES
Frederick W. Green
Michael J. Downey
James P. Logan, III
EXECUTIVE OFFICERS
Frederick W. Green, President
Bonnie L. Smith, Vice President,
Treasurer and Secretary
COUNSEL
Fulbright & Jaworski L.L.P.
666 Fifth Avenue
New York, NY 10103
INDEPENDENT AUDITORS
PricewaterhouseCoopers LLP
100 East Wisconsin Avenue
Milwaukee, WI 53202
ITEM 2. CODE OF ETHICS.
- -----------------------
Not applicable for semi-annual reports.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
- ----------------------------------------
Not applicable for semi-annual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
- -----------------------------------------------
Not applicable for semi-annual reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
- ----------------------------------------------
Not applicable to open-end investment companies.
ITEM 6. SCHEDULE OF INVESTMENTS.
- --------------------------------
Not applicable for periods ending before July 9, 2004.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
- -------------------------------------------------------------------------
MANAGEMENT INVESTMENT COMPANIES.
- --------------------------------
Not applicable to open-end investment companies.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
- ---------------------------------------------------------------------------
COMPANY AND AFFILIATED PURCHASES.
- ---------------------------------
Not applicable to open-end investment companies.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
- ------------------------------------------------------------
There have been no material changes to the procedures by which shareholders may
recommend nominees to the registrant's board of directors.
ITEM 10. CONTROLS AND PROCEDURES.
- ---------------------------------
(a) The Registrant's President/Chief Executive Officer and Treasurer/Chief
Financial Officer have concluded that the Registrant's disclosure controls
and procedures (as defined in Rule 30a-3(c) under the Investment Company
Act of 1940 (the "1940 Act")) are effective as of a date within 90 days of
the filing date of the report that includes the disclosure required by this
paragraph, based on the evaluation of these controls and procedures
required by Rule 30a-3(b) under the 1940 Act and Rules 15d-15(b) under the
Securities Exchange Act of 1934, as amended.
(b) There were no significant changes in the Registrant's internal controls or
in other factors that occurred during the Registrant's last fiscal half-
year that have materially affected, or are reasonably likely to materially
affect, the Registrant's internal control over financial reporting.
ITEM 11. EXHIBITS.
- -----------------
(a) (1) Any code of ethics or amendment thereto, that is subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy Item 2 requirements through filing an exhibit. Not Applicable.
(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002. Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c-1 under
the Act sent or given during the period covered by the report by or on
behalf of the registrant to 10 or more persons. Not applicable to open-end
investment companies.
(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
Furnished herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) The Merger Fund
-------------------------------
By (Signature and Title) /s/Frederick W. Green
-----------------------------
Frederick W. Green, President
Date 5-19-04
-----------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)*<F19> /s/Frederick W. Green
-----------------------------
Frederick W. Green, President
Date 5-19-04
-----------------------------------------------------
By (Signature and Title)*<F19> /s/Bonnie Smith
-----------------------------
Bonnie Smith, Treasurer
Date 5-19-04
-----------------------------------------------------
*<F19> Print the name and title of each signing officer under his or her
signature.