0001752724-21-164752.txt : 20210811
0001752724-21-164752.hdr.sgml : 20210811
20210811135634
ACCESSION NUMBER: 0001752724-21-164752
CONFORMED SUBMISSION TYPE: N-CEN
PUBLIC DOCUMENT COUNT: 2
CONFORMED PERIOD OF REPORT: 20210531
FILED AS OF DATE: 20210811
DATE AS OF CHANGE: 20210811
EFFECTIVENESS DATE: 20210811
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: ARBITRAGE FUNDS
CENTRAL INDEX KEY: 0001105076
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0531
FILING VALUES:
FORM TYPE: N-CEN
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-09815
FILM NUMBER: 211162931
BUSINESS ADDRESS:
STREET 1: C/O ALPS FUND SERVICES, INC.
STREET 2: 1290 BROADWAY, SUITE 1100
CITY: DENVER
STATE: CO
ZIP: 80203
BUSINESS PHONE: 303-623-2577
MAIL ADDRESS:
STREET 1: C/O ALPS FUND SERVICES, INC.
STREET 2: 1290 BROADWAY, SUITE 1100
CITY: DENVER
STATE: CO
ZIP: 80203
0001105076
S000006440
ARBITRAGE FUND
C000017637
Class R
ARBFX
C000017638
Class I
ARBNX
C000115401
Class C
ARBCX
C000127228
Class A
ARGAX
0001105076
S000030113
WATER ISLAND EVENT-DRIVEN FUND
C000092484
Class R
AEDFX
C000092485
Class I
AEDNX
C000115402
Class C
AEFCX
C000127229
Class A
AGEAX
0001105076
S000039281
WATER ISLAND CREDIT OPPORTUNITIES FUND
C000120977
Class R
ARCFX
C000120978
Class I
ACFIX
C000120979
Class C
ARCCX
C000127230
Class A
AGCAX
0001105076
S000047725
Water Island Long/Short Fund
C000149945
Class R
ATQFX
C000149946
Class I
ATQIX
N-CEN
1
primary_doc.xml
X0404
N-CEN
LIVE
0001105076
XXXXXXXX
811-09815
false
false
false
N-1A
S000047725
C000149946
C000149945
S000039281
C000120977
C000120979
C000120978
C000127230
S000030113
C000127229
C000092485
C000092484
C000115402
S000006440
C000017638
C000115401
C000127228
C000017637
ARBITRAGE FUNDS
811-09815
0001105076
549300NPBJYDNFZ58M30
C/O ALPS FUND SERVICES, INC.
1290 BROADWAY, SUITE 1100
DENVER
80203
US-CO
US
303-623-2577
State Street Bank and Trust Company
1 Lincoln Street
Boston
02111
617-786-3000
Custody and Accounting records
N
N
N-1A
4
Y
Stephen R. Byers
000000000
N
Nancy M. Morris
000000000
N
John S. Orrico
000000000
Y
Francis X. Tracy
000000000
N
Robert P. Herrmann
000000000
N
John C. Alvarado
000000000
N
Christina Chew
002828425
Y
Philip Channen
004814848
41 Madison Avenue
42nd Floor
New York
10010
XXXXXX
N
N
N
N
N
N
N
ALPS Distributors, Inc.
8-34626
000016853
0000000000
N
N
Ernst & Young LLP
42
00000000000000000000
N
N
N
N
N
N
N
Water Island Long/Short Fund
S000047725
549300Q0ZNWYZ0LQM757
N
1
0
1
N/A
Y
N
Y
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Revenue sharing split
191.54000000
127.00000000
Rule 32a-4 (17 CFR 270.32a-4)
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 22d-1 (17 CFR 270.22d-1)
Y
Y
Y
N
Water Island Capital, LLC
801-57341
000113358
IEUW0AW31PB5M40NL881
N
DST Systems, Inc.
84-00448
21B7QCD05XOK0YTYOP98
N
N
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
N
Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch)
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Intesa Sanpaolo S.p.A.
2W8N8UU78PMDQKZENC08
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken A/S
F3JS33DEI6XQ4ZBPTN86
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services (Paris, Paris, FR, Branch)
549300WCGB70D06XZS54
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Austria AG
D1HEB8VEU6D9M8ZUXG17
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Clearstream Banking S.A.
549300OL514RA0SXJJ44
LU
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Standard Chartered Bank (Makati City, Metro Manila, PH, Branch)
RILFO74KP1CM8P6PCT96
PH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank, Sociedad Anonima Espanola
529900SICIK5OVMVY186
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Hapoalim B.M.
B6ARUI4946ST4S7WOU88
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch)
F3JS33DEI6XQ4ZBPTN86
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Standard Bank of South Africa Limited
QFC8ZCW3Q5PRXU1XTM60
ZA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Y
DST Systems, Inc.
21B7QCD05XOK0YTYOP98
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
2344.35000000
Bloomberg Tradebook LLC
8-49219
000040881
549300P0PVQNO43T7K36
750.79000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
3969.42000000
Cowen and Company, LLC
8-22522
000007616
549300WR155U7DVMIW58
1569.20000000
JonesTrading Institutional Services LLC
8-26089
000006888
2138008JJ5PA8H5UIL69
362.91000000
Jefferies LLC
8-15074
000002347
58PU97L1C0WSRCWADL48
330.09000000
Barclays Capital Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
395.09000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
717.49000000
Cantor Fitzgerald & Co.
8-201
000000134
5493004J7H4GCPG6OB62
619.73000000
Mizuho Securities USA LLC
8-37710
000019647
7TK5RJIZDFROZCA6XF66
519.86000000
13883.74000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
108883.85000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
500437.29000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
88910.00000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
11707100.35000000
Oppenheimer & Co. Inc.
8-4077
000000249
254900VH02JQR2L8XD64
302687.50000000
Jefferies LLC
8-15074
000002347
58PU97L1C0WSRCWADL48
98360.00000000
B. Riley Securities, Inc.
8-41426
000025027
2549005CLOSQO0MJEA57
120730.00000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
1458351.82000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
228590.00000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
12280907.14000000
27533076.10000000
N
2797295.64846153
Uncommitted
100000000.00000000
Committed
50000000.00000000
N
N
N
N
WATER ISLAND CREDIT OPPORTUNITIES FUND
S000039281
5493006WV4T6QSURTK55
N
3
0
1
N/A
N
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 22d-1 (17 CFR 270.22d-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
N
Water Island Capital, LLC
801-57341
000113358
IEUW0AW31PB5M40NL881
N
DST Systems, Inc.
84-00448
21B7QCD05XOK0YTYOP98
N
N
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
N
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Clearstream Banking S.A.
549300OL514RA0SXJJ44
LU
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Intesa Sanpaolo S.p.A.
2W8N8UU78PMDQKZENC08
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank, Sociedad Anonima Espanola
529900SICIK5OVMVY186
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch)
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Makati City, Metro Manila, PH, Branch)
RILFO74KP1CM8P6PCT96
PH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Austria AG
D1HEB8VEU6D9M8ZUXG17
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Handlowy w Warszawie Spolka Akcyjna
XLEZHWWOI4HFQDGL4793
PL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services (Paris, Paris, FR, Branch)
549300WCGB70D06XZS54
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Y
DST Systems, Inc.
21B7QCD05XOK0YTYOP98
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
4314.29000000
Bloomberg Tradebook LLC
8-49219
000040881
549300P0PVQNO43T7K36
1566.14000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
27068.68000000
Seaport Global Securities LLC
8-53535
000116270
54930028D6D0G5RZJ888
15.20000000
Virtu Americas LLC
8-68193
000149823
549300RA02N3BNSWBV74
60.34000000
Liquidnet, Inc.
8-52461
000103987
213800HSKBBO1GCVRG79
300.00000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
2205.50000000
35530.15000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
11293005.00000000
MarketAxess Corporation
8-50727
000044542
GPSMMRI21JE7ZCVYF972
16974118.90000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
9667325.00000000
Robert W. Baird & Co. Incorporated
8-497
000008158
549300772UJAHRD6LO53
39633748.98000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
88304943.30000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
16417631.05000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
37180291.82000000
Stifel, Nicolaus & Company, Incorporated
8-1447
000000793
5WUVMA08EYG4KEUPW589
8111253.57000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
222418755.72000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
9309711.25000000
519836338.54000000
N
76129650.16461538
Uncommitted
100000000.00000000
Committed
50000000.00000000
N
N
N
Water Island Event-Driven Fund
S000030113
71ZPS0ACY0O0VMTK8636
N
3
0
1
N/A
Y
N
Y
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Revenue sharing split
27933.38000000
7999.00000000
Rule 22d-1 (17 CFR 270.22d-1)
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
N
Water Island Capital, LLC
801-57341
000113358
IEUW0AW31PB5M40NL881
N
DST Systems, Inc.
84-00448
21B7QCD05XOK0YTYOP98
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
N
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank, Sociedad Anonima Espanola
529900SICIK5OVMVY186
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Intesa Sanpaolo S.p.A.
2W8N8UU78PMDQKZENC08
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank (Malaysia) Berhad
529900DLWFR8HK7DR278
MY
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services (Paris, Paris, FR, Branch)
549300WCGB70D06XZS54
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Standard Bank of South Africa Limited
QFC8ZCW3Q5PRXU1XTM60
ZA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Handlowy w Warszawie Spolka Akcyjna
XLEZHWWOI4HFQDGL4793
PL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Standard Chartered Bank (Makati City, Metro Manila, PH, Branch)
RILFO74KP1CM8P6PCT96
PH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Ceskoslovenska obchodni banka, a. s.
Q5BP2UEQ48R75BOTCB92
CZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Clearstream Banking S.A.
549300OL514RA0SXJJ44
LU
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Hapoalim B.M.
B6ARUI4946ST4S7WOU88
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch)
F3JS33DEI6XQ4ZBPTN86
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Taiwan) Limited
549300QJEO1B92LSHZ06
TW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited
549300F99IL9YJDWH369
AE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank Malaysia Berhad
549300JTJBG2QBI8KD48
MY
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Thai) Public Company Limited
549300O1LQYCQ7G1IM57
TH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Austria AG
D1HEB8VEU6D9M8ZUXG17
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch)
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Y
DST Systems, Inc.
21B7QCD05XOK0YTYOP98
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
Barclays Capital Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
11603.88000000
Bloomberg Tradebook LLC
8-49219
000040881
549300P0PVQNO43T7K36
40770.68000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
74210.55000000
Truist Securities, Inc.
8-17212
000006271
CSVTK36R0PNGXEM7NS14
12268.55000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
40264.19000000
Credit Suisse Securities (USA) LLC
8-422
000000816
1V8Y6QCX6YMJ2OELII46
14738.56000000
Cowen and Company, LLC
8-22522
000007616
549300WR155U7DVMIW58
28963.92000000
JonesTrading Institutional Services LLC
8-26089
000006888
2138008JJ5PA8H5UIL69
19211.80000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
84700.26000000
Jefferies LLC
8-15074
000002347
58PU97L1C0WSRCWADL48
12596.96000000
458881.29000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
60242764.65000000
B. Riley Securities, Inc.
8-41426
000025027
2549005CLOSQO0MJEA57
1784770.00000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
2703812.00000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
314330955.08000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
501971626.49000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
3723287.21000000
Oppenheimer & Co. Inc.
8-4077
000000249
254900VH02JQR2L8XD64
3096400.00000000
Robert W. Baird & Co. Incorporated
8-497
000008158
549300772UJAHRD6LO53
2544078.80000000
Cantor Fitzgerald & Co.
8-201
000000134
5493004J7H4GCPG6OB62
1286285.00000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
3378120.00000000
944158540.50000000
N
116777362.70846153
Uncommitted
100000000.00000000
Committed
50000000.00000000
N
N
N
THE ARBITRAGE FUND
S000006440
5ID2Z4T6QF54X8TFRS62
N
4
0
0
N/A
N
N
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N/A
N/A
N/A
Rule 32a-4 (17 CFR 270.32a-4)
Rule 22d-1 (17 CFR 270.22d-1)
Rule 12d1-1 (17 CFR 270.12d1-1)
Y
Y
Y
N
Water Island Capital, LLC
801-57341
000113358
IEUW0AW31PB5M40NL881
N
DST Systems, Inc.
84-00448
21B7QCD05XOK0YTYOP98
N
N
N
ICE Data Services, Inc.
13-3668779
Tax ID
N
Refinitiv US Holdings Inc.
549300NF240HXJO7N016
N
IHS Markit Ltd.
549300HLPTRASHS0E726
GB
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
N
Bloomberg L.P.
549300B56MD0ZC402L06
N
N
Standard Chartered Bank (Taiwan) Limited
549300QJEO1B92LSHZ06
TW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank, National Association (Singapore, SG, Branch)
E57ODZWZ7FF32TWEFA76
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Nacional de Mexico, S.A., Integrante del Grupo Financiero Banamex
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company (Edinburgh, GB, Branch)
571474TGEMMWANRLN572
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Thai) Public Company Limited
549300O1LQYCQ7G1IM57
TH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Hapoalim B.M.
B6ARUI4946ST4S7WOU88
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Handlowy w Warszawie Spolka Akcyjna
XLEZHWWOI4HFQDGL4793
PL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services (Athens, Attica, GR, Branch)
549300WCGB70D06XZS54
GR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Intesa Sanpaolo S.p.A.
2W8N8UU78PMDQKZENC08
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank, Sociedad Anonima Espanola
529900SICIK5OVMVY186
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank Aktiengesellschaft (Amsterdam, Noord Holland, NL, Branch)
7LTWFZYICNSX8D621K86
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Sydney, NSW, AU, Branch)
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited (Auckland, Auckland, NZ, Branch)
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Oslo, Oslo, NO, Branch)
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited
549300F99IL9YJDWH369
AE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Euroclear Bank
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (Helsinki, Uusimaa, FI, Branch)
F3JS33DEI6XQ4ZBPTN86
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Austria AG
D1HEB8VEU6D9M8ZUXG17
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Clearstream Banking S.A.
549300OL514RA0SXJJ44
LU
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Ceskoslovenska obchodni banka, a. s.
Q5BP2UEQ48R75BOTCB92
CZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Makati City, Metro Manila, PH, Branch)
RILFO74KP1CM8P6PCT96
PH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank, Ltd. (Minato ku, Tokyo, JP, Branch)
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services (Paris, Paris, FR, Branch)
549300WCGB70D06XZS54
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Standard Bank of South Africa Limited
QFC8ZCW3Q5PRXU1XTM60
ZA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Europe Public Limited Company (Budapest, HU, Branch)
N1FBEDJ5J41VKZLO2475
HU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Y
DST Systems, Inc.
21B7QCD05XOK0YTYOP98
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
N
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
581790.88000000
Cowen and Company, LLC
8-22522
000007616
549300WR155U7DVMIW58
177494.31000000
Bloomberg Tradebook LLC
8-49219
000040881
549300P0PVQNO43T7K36
389137.60000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
84260.54000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
668901.00000000
JonesTrading Institutional Services LLC
8-26089
000006888
2138008JJ5PA8H5UIL69
84673.95000000
Credit Suisse Securities (USA) LLC
8-422
000000816
1V8Y6QCX6YMJ2OELII46
126357.78000000
Virtu Americas LLC
8-68193
000149823
549300RA02N3BNSWBV74
89456.71000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
322880.48000000
Truist Securities, Inc.
8-17212
000006271
CSVTK36R0PNGXEM7NS14
137625.77000000
3597069.89000000
Goldman Sachs & Co. LLC
8-129
000000361
FOR8UP27PHTHYVLBNG30
1062941824.51000000
Jefferies LLC
8-15074
000002347
58PU97L1C0WSRCWADL48
3457790.00000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
77193620.75000000
Oppenheimer & Co. Inc.
8-4077
000000249
254900VH02JQR2L8XD64
12786807.50000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
2700700.00000000
JonesTrading Institutional Services LLC
8-26089
000006888
2138008JJ5PA8H5UIL69
3879436.85000000
Robert W. Baird & Co. Incorporated
8-497
000008158
549300772UJAHRD6LO53
4880062.50000000
Citigroup Global Markets Inc.
8-8177
000007059
MBNUM2BPBDO7JBLYG310
3599280.00000000
State Street Bank and Trust Company
N/A
000000000
571474TGEMMWANRLN572
4178776644.13000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
5706234432.53000000
11688184901.90000000
N
1445925478.72615384
Uncommitted
100000000.00000000
Committed
50000000.00000000
N
N
N
N
true
INTERNAL CONTROL RPT
2
NCEN_811-09815_1227067811.txt
Report of Independent Registered Public
Accounting Firm
To the Shareholders and
Board of Trustees of
The Arbitrage Funds
In planning and performing our audit of the
financial statements of The Arbitrage Funds
("the Trust") as of and for the year ended
May 31, 2021, in accordance with the
standards of the Public Company
Accounting Oversight Board (United States)
(PCAOB), we considered the Trust's
internal control over financial reporting,
including controls over safeguarding
securities, as a basis for designing our
auditing procedures for the purpose of
expressing our opinion on the financial
statements and to comply with the
requirements of Form N-CEN, but not for
the purpose of expressing an opinion on the
effectiveness of the Trust's internal control
over financial reporting. Accordingly, we
express no such opinion.
The management of the Trust is responsible
for establishing and maintaining effective
internal control over financial reporting. In
fulfilling this responsibility, estimates and
judgments by management are required to
assess the expected benefits and related
costs of controls. A company's internal
control over financial reporting is a process
designed to provide reasonable assurance
regarding the reliability of financial reporting
and the preparation of financial statements
for external purposes in accordance with
U.S. generally accepted accounting
principles. A company's internal control over
financial reporting includes those policies
and procedures that (1) pertain to the
maintenance of records that, in reasonable
detail, accurately and fairly reflect the
transactions and dispositions of the assets
of the company; (2) provide reasonable
assurance that transactions are recorded as
necessary to permit preparation of financial
statements in accordance with U.S.
generally accepted accounting principles,
and that receipts and expenditures of the
company are being made only in
accordance with authorizations of
management and directors of the company;
and (3) provide reasonable assurance
regarding prevention or timely detection of
unauthorized acquisition, use or disposition
of a company's assets that could have a
material effect on the financial statements.
Because of its inherent limitations, internal
control over financial reporting may not
prevent or detect misstatements. Also,
projections of any evaluation of
effectiveness to future periods are subject to
the risk that controls may become
inadequate because of changes in
conditions, or that the degree of compliance
with the policies or procedures may
deteriorate.
A deficiency in internal control over financial
reporting exists when the design or
operation of a control does not allow
management or employees, in the normal
course of performing their assigned
functions, to prevent or detect
misstatements on a timely basis. A material
weakness is a deficiency, or a combination
of deficiencies, in internal control over
financial reporting, such that there is a
reasonable possibility that a material
misstatement of the company's annual or
interim financial statements will not be
prevented or detected on a timely basis.
Our consideration of the Trust's internal
control over financial reporting was for the
limited purpose described in the first
paragraph and would not necessarily
disclose all deficiencies in internal control
that might be material weaknesses under
standards established by the PCAOB.
However, we noted no deficiencies in the
Trust's internal control over financial
reporting and its operation, including
controls over safeguarding securities, that
we consider to be a material weakness as
defined above as of May 31, 2021.
This report is intended solely for the
information and use of management and the
Board of Trustees of The Arbitrage Funds
and the Securities and Exchange
Commission and is not intended to be and
should not be used by anyone other than
these specified parties.
/s/ Ernst & Young, LLP
Minneapolis, MN
July 29, 2021