N-Q 1 westchester-nq.htm QUARTERLY NOTICE OF PORTFOLIO HOLDINGS


 



UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549


 
FORM N-Q
 
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
 




Investment Company Act file number 811-22818



Westchester Capital Funds
(Exact name of registrant as specified in charter)


100 Summit Lake Drive
Valhalla, New York  10595
(Address of principal executive offices) (Zip code)

Roy Behren and Michael T. Shannon
Westchester Capital Funds
100 Summit Lake Drive
Valhalla, New York  10595
(Name and address of agent for service)



Registrant's telephone number, including area code: 1-800-343-8959



Date of fiscal year end: December 31, 2017



Date of reporting period:  March 31, 2017




 

Item 1. Schedule of Investments.
 
WCM Alternatives: Event-Driven Fund
 
SCHEDULE OF INVESTMENTS
 
March 31, 2017 (Unaudited)
 
   
     
Shares
   
Value
 
LONG INVESTMENTS - 82.51%
           
COMMON STOCKS - 59.80%
           
AEROSPACE & DEFENSE - 0.93%
           
B/E Aerospace, Inc.
   
5,526
   
$
354,272
 
DigitalGlobe, Inc. (a)
   
18,994
     
622,053
 
             
976,325
 
ALTERNATIVE CARRIERS - 2.76%
               
Level 3 Communications, Inc. (a)
   
50,395
     
2,883,602
 
APPLICATION SOFTWARE - 2.98%
               
Mobileye NV (a)(b)
   
50,755
     
3,116,357
 
AUTOMOBILE MANUFACTURERS - 1.66%
               
General Motors Company
   
49,200
     
1,739,712
 
BROADCASTING - 0.99%
               
CBS Corporation Class B
   
14,900
     
1,033,464
 
CABLE & SATELLITE - 2.05%
               
Liberty Media Corporation-Liberty SiriusXM Class A (a)
   
55,034
     
2,141,923
 
CASINOS & GAMING - 3.01%
               
MGM Resorts International
   
114,800
     
3,145,520
 
DATA PROCESSING & OUTSOURCED SERVICES - 0.29%
               
DH Corporation (b)
   
16,058
     
304,774
 
DIVERSIFIED CHEMICALS - 4.38%
               
E. I. du Pont de Nemours and Company
   
57,045
     
4,582,425
 
HEALTH CARE EQUIPMENT & SUPPLIES - 0.99%
               
Varex Imaging Corporation (a)
   
3,960
     
133,056
 
Varian Medical Systems, Inc. (a)
   
9,900
     
902,187
 
             
1,035,243
 
HOTELS, RESTAURANTS & LEISURE - 1.94%
               
Hilton Worldwide Holdings, Inc.
   
34,800
     
2,034,408
 
HOUSEHOLD DURABLES - 0.01%
               
Lennar Corporation Class B
   
173
     
7,231
 
HOUSEWARES & SPECIALTIES - 3.70%
               
Jarden Corporation (a)(d)(g)(j)
   
61,683
     
3,873,267
 
INDUSTRIAL CONGLOMERATES - 3.79%
               
General Electric Company
   
132,900
     
3,960,420
 
IT SERVICES - 0.13%
               
Computer Sciences Corporation
   
1,900
     
131,119
 
MEDIA - 1.18%
               
DISH Network Corporation Class A (a)
   
19,500
     
1,238,055
 
MOVIES & ENTERTAINMENT - 1.78%
               
News Corporation Class A
   
47,456
     
616,928
 
Time Warner, Inc.
   
12,774
     
1,248,148
 
             
1,865,076
 
MULTI-LINE INSURANCE - 2.26%
               
American International Group, Inc.
   
37,800
     
2,359,854
 
OIL & GAS EQUIPMENT & SERVICES - 0.00%
               
Baker Hughes, Inc.
   
5
     
299
 
OIL & GAS REFINING & MARKETING - 0.10%
               
Showa Shell Sekiyu K.K. (b)
   
10,508
     
106,373
 
OIL & GAS STORAGE & TRANSPORTATION - 2.00%
               
Columbia Pipeline Group, Inc. (a)(d)(g)(j)
   
38,718
     
995,238
 
Energy Transfer Partners LP
   
29,975
     
1,094,687
 
             
2,089,925
 
OIL, GAS & CONSUMABLE FUELS - 2.62%
               
Marathon Petroleum Corporation
   
54,100
     
2,734,214
 
PACKAGED FOODS & MEATS - 1.53%
               
The WhiteWave Foods Company (a)
   
28,449
     
1,597,411
 
REGIONAL BANKS - 5.85%
               
CIT Group, Inc.
   
69,400
     
2,979,342
 
PrivateBancorp, Inc.
   
52,867
     
3,138,714
 
             
6,118,056
 
REITs - 2.28%
               
Colony NorthStar, Inc. Class A
   
119,310
     
1,540,292
 
Starwood Property Trust, Inc.
   
34,314
     
774,810
 
Wheeler Real Estate Investment Trust, Inc.
   
37,098
     
64,180
 
             
2,379,282
 
RESTAURANTS - 2.17%
               
Bob Evans Farms, Inc.
   
34,900
     
2,263,963
 
ROAD & RAIL - 3.83%
               
CSX Corporation
   
86,100
     
4,007,955
 
SEMICONDUCTORS - 1.60%
               
NXP Semiconductors NV (a)(b)
   
16,175
     
1,674,113
 
SPECIALIZED FINANCE - 0.35%
               
Pacific Special Acquisition Corporation (a)(b)
   
35,377
     
366,152
 
SPECIALTY CHEMICALS - 1.30%
               
Ashland Global Holdings, Inc.
   
11,000
     
1,361,910
 
SYSTEMS SOFTWARE - 0.93%
               
Dell Technologies, Inc. Class V (a)
   
15,172
     
972,222
 
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS - 0.41%
               
Hewlett Packard Enterprise Company
   
18,200
     
431,340
 
TOTAL COMMON STOCKS (Cost $59,589,561)
           
62,531,990
 
                 
CLOSED-END FUNDS - 5.93%
               
BlackRock Debt Strategies Fund, Inc.
   
82,764
     
953,441
 
BlackRock Floating Rate Income Strategies Fund, Inc.
   
51,413
     
744,974
 
First Trust Senior Floating Rate Income Fund II
   
42,285
     
584,802
 
Invesco Senior Income Trust
   
215,940
     
999,802
 
Nuveen Credit Strategies Income Fund
   
113,092
     
982,770
 
Voya Prime Rate Trust
   
175,532
     
949,628
 
Western Asset High Income Opportunity Fund, Inc.
   
195,533
     
985,486
 
TOTAL CLOSED-END FUNDS (Cost $5,864,058)
           
6,200,903
 
                 
PREFERRED STOCKS - 1.29%
               
Colony NorthStar, Inc., 8.25%, Series B
   
30,492
     
778,156
 
Colony NorthStar, Inc., 8.75%, Series E
   
21,830
     
574,347
 
TOTAL PREFERRED STOCKS (Cost $1,325,761)
           
1,352,503
 
                 
CONTINGENT VALUE RIGHTS - 0.08%
               
Casa Ley, S.A. de C.V. (a)(g)
   
5,338
     
2,028
 
Media General, Inc. (a)(g)
   
42,852
     
77,134
 
Property Development Centers LLC (a)(g)
   
5,338
     
107
 
TOTAL CONTINGENT VALUE RIGHTS (Cost $20,805)
           
79,269
 
                 
RIGHTS - 0.01%
               
Pacific Special Acquisition Corporation (a)(b)
   
35,377
     
15,035
 
TOTAL RIGHTS (Cost $8,171)
           
15,035
 
                 
WARRANTS - 0.01%
               
Pacific Special Acquisition Corporation (a)(b)
   
35,377
     
12,276
 
TOTAL WARRANTS (Cost $3,112)
           
12,276
 
                 
     
Principal Amount
         
BANK LOANS - 1.15% (f)
               
Bass Pro Group LLC
               
  6.150%, 12/16/2023
 
$
1,246,000
     
1,199,275
 
TOTAL BANK LOANS (Cost $1,238,212)
           
1,199,275
 
                 
CORPORATE BONDS - 10.41% (f)
               
Caesars Entertainment Operating Company, Inc.
               
  10.750%, 2/1/2016 (h)
   
1,417,000
     
1,551,615
 
Caesars Growth Properties Holdings LLC / Caesars Growth Properties Finance, Inc.
               
  9.375%, 5/1/2022
   
2,799,000
     
3,015,923
 
Energy Future Intermediate Holding Company LLC
               
  11.000%, 10/1/2021 (h)
   
430,830
     
500,840
 
FairPoint Communications, Inc.
               
  8.750%, 8/15/2019 (i)
   
1,104,000
     
1,138,942
 
JBS USA LUX SA / JBS USA Finance, Inc.
               
  8.250%, 2/1/2020 (i)
   
808,000
     
832,240
 
Rite Aid Corporation
               
  6.750%, 6/15/2021
   
747,000
     
756,405
 
  6.125%, 4/1/2023 (i)
   
126,000
     
125,370
 
The WhiteWave Foods Company
               
  5.375%, 10/1/2022
   
2,717,000
     
2,961,530
 
TOTAL CORPORATE BONDS (Cost $10,512,313)
           
10,882,865
 
                 
     
Contracts (100 shares per contract)
         
PURCHASED CALL OPTIONS - 0.00%
               
Mead Johnson Nutrition Company
               
Expiration: January 2019, Exercise Price: $90.00
   
20
     
600
 
SPDR S&P 500 ETF Trust
               
Expiration: May 2017, Exercise Price: $250.00
   
32
     
352
 
             
952
 
PURCHASED PUT OPTIONS - 0.32%
               
Alibaba Group Holding Ltd. - ADR
               
Expiration: April 2017, Exercise Price: $90.00
   
6
     
18
 
American International Group, Inc.
               
Expiration: May 2017, Exercise Price: $55.00
   
504
     
11,088
 
Expiration: May 2017, Exercise Price: $57.50
   
45
     
1,935
 
Expiration: May 2017, Exercise Price: $60.00
   
34
     
3,077
 
Ashland Global Holdings, Inc.
               
Expiration: April 2017, Exercise Price: $95.00
   
11
     
22
 
Expiration: April 2017, Exercise Price: $100.00
   
147
     
294
 
Expiration: May 2017, Exercise Price: $105.00
   
83
     
2,573
 
AT&T, Inc.
               
Expiration: October 2017, Exercise Price: $37.00
   
235
     
18,565
 
Baker Hughes, Inc.
               
Expiration: April 2017, Exercise Price: $50.00
   
35
     
175
 
Expiration: April 2017, Exercise Price: $52.50
   
250
     
1,875
 
Expiration: April 2017, Exercise Price: $55.00
   
95
     
950
 
Expiration: April 2017, Exercise Price: $57.50
   
187
     
6,545
 
Bob Evans Farms, Inc.
               
Expiration: April 2017, Exercise Price: $50.00
   
349
     
1,745
 
CBS Corporation Class B
               
Expiration: June 2017, Exercise Price: $57.50
   
14
     
385
 
Expiration: June 2017, Exercise Price: $62.50
   
148
     
11,692
 
CIT Group, Inc
               
Expiration: April 2017, Exercise Price: $36.00
   
845
     
845
 
Expiration: April 2017, Exercise Price: $39.00
   
133
     
1,729
 
Computer Sciences Corporation
               
Expiration: June 2017, Exercise Price: $57.50
   
19
     
1,377
 
CSX Corporation
               
Expiration: May 2017, Exercise Price: $39.00
   
323
     
6,460
 
Expiration: May 2017, Exercise Price: $40.00
   
483
     
12,075
 
Expiration: May 2017, Exercise Price: $42.00
   
219
     
11,060
 
Expiration: June 2017, Exercise Price: $41.00
   
55
     
3,575
 
DISH Network Corporation Class A
               
Expiration: June 2017, Exercise Price: $50.00
   
167
     
6,680
 
Expiration: June 2017, Exercise Price: $52.50
   
188
     
10,340
 
E. I. du Pont de Nemours and Company
               
Expiration: May 2017, Exercise Price: $70.00
   
57
     
2,109
 
Expiration: May 2017, Exercise Price: $72.50
   
67
     
3,417
 
Expiration: July 2017, Exercise Price: $72.50
   
34
     
3,740
 
General Electric Company
               
Expiration: April 2017, Exercise Price: $27.00
   
962
     
1,924
 
Expiration: April 2017, Exercise Price: $28.00
   
367
     
2,202
 
General Motors Company
               
Expiration: June 2017, Exercise Price: $31.00
   
492
     
15,744
 
Hertz Global Holdings, Inc.
               
Expiration: April 2017, Exercise Price: $15.00
   
1,464
     
20,496
 
Expiration: July 2017, Exercise Price: $17.50
   
154
     
33,495
 
Hewlett Packard Enterprise Company
               
Expiration: May 2017, Exercise Price: $17.00
   
182
     
364
 
Expiration: May 2017, Exercise Price: $19.00
   
1,922
     
13,454
 
Hilton Worldwide Holdings, Inc.
               
Expiration: April 2017, Exercise Price: $50.00
   
348
     
870
 
Huntsman Corporation
               
Expiration: May 2017, Exercise Price: $15.00
   
1,167
     
1,167
 
Expiration: August 2017, Exercise Price: $18.00
   
343
     
8,575
 
Marathon Petroleum Corporation
               
Expiration: April 2017, Exercise Price: $42.50
   
541
     
2,705
 
MetLife, Inc.
               
Expiration: May 2017, Exercise Price: $47.50
   
864
     
31,968
 
MGM Resorts International
               
Expiration: April 2017, Exercise Price: $24.00
   
1,032
     
2,064
 
Expiration: May 2017, Exercise Price: $23.00
   
116
     
1,972
 
Sealed Air Corporation
               
Expiration: April 2017, Exercise Price: $38.00
   
852
     
6,390
 
SPDR S&P 500 ETF Trust
               
Expiration: April 2017, Exercise Price: $235.00
   
96
     
15,024
 
Expiration: April 2017, Exercise Price: $236.00
   
276
     
53,958
 
VanEck Vectors Semiconductor ETF
               
Expiration: May 2017, Exercise Price: $72.00
   
16
     
560
 
Varian Medical Systems, Inc.
               
Expiration: May 2017, Exercise Price: $75.00
   
259
     
518
 
             
337,796
 
TOTAL PURCHASED OPTIONS (Cost $873,784)
           
338,748
 
                 
     
Principal Amount
         
ESCROW NOTES - 0.24%
               
AMR Corporation (a)(d)(g)
 
$
28,850
     
33,755
 
Winthrop Realty Trust (a)(d)(g)
   
26,484
     
215,182
 
TOTAL ESCROW NOTES (Cost $294,386)
           
248,937
 
                 
     
Shares
         
SHORT-TERM INVESTMENTS - 3.27%
               
The Government & Agency Portfolio, Institutional Share Class, 0.61% (c)
   
3,418,957
     
3,418,957
 
TOTAL SHORT-TERM INVESTMENTS (Cost $3,418,957)
           
3,418,957
 
TOTAL LONG INVESTMENTS (Cost $83,149,120) - 82.51% (e)
           
86,280,758
 
                 
SHORT INVESTMENTS - (13.82)%
               
COMMON STOCKS - (13.34)%
               
AEROSPACE & DEFENSE - (2.02)%
               
MacDonald, Dettwiler and Associates Ltd. (b)(f)
   
(3,039
)
   
(159,411
)
Rockwell Collins, Inc.
   
(20,101
)
   
(1,953,013
)
             
(2,112,424
)
AIRLINES - (0.06)%
               
American Airlines Group, Inc.
   
(1,443
)
   
(61,039
)
CABLE & SATELLITE - (2.53)%
               
Sirius XM Holdings, Inc.
   
(514,633
)
   
(2,650,360
)
CONSTUCTION MACHINERY & HEAVY TRUCKS - (0.29)%
               
Joy Global, Inc.
   
(10,714
)
   
(302,670
)
DIVERSIFIED BANKS - (0.63)%
               
Canadian Imperial Bank of Commerce (b)
   
(7,661
)
   
(660,455
)
DIVERSIFIED CHEMICALS - (2.21)%
               
The Dow Chemical Company
   
(36,377
)
   
(2,311,394
)
HOUSEHOLD DURABLES - (0.01)%
               
Lennar Corporation Class A
   
(138
)
   
(7,064
)
INTEGRATED TELECOMMUNICATION SERVICES - (1.07)%
               
AT&T, Inc.
   
(12,729
)
   
(528,890
)
CenturyLink, Inc.
   
(25,168
)
   
(593,210
)
             
(1,122,100
)
MOVIES & ENTERTAINMENT - (0.61)%
               
News Corporation Class B
   
(47,456
)
   
(640,656
)
OIL & GAS REFINING & MARKETING - (0.17)%
               
Idemitsu Kosan Company, Ltd. (b)
   
(5,154
)
   
(179,161
)
OIL & GAS STORAGE & TRANSPORTATION - (2.33)%
               
ONEOK, Inc.
   
(24,051
)
   
(1,333,388
)
Sunoco Logistics Partners LP
   
(44,960
)
   
(1,097,923
)
             
(2,431,311
)
SOFTWARE - (1.20)%
               
VMware, Inc. Class A
   
(13,610
)
   
(1,254,025
)
TOBACCO - (0.21)%
               
British American Tobacco plc - ADR
   
(3,243
)
   
(215,076
)
TOTAL SHORT COMMON STOCKS (Proceeds $12,337,101)
           
(13,947,735
)
                 
     
Principal Amount
         
U.S. GOVERNMENT NOTES/BONDS -(0.48)%
               
United States Treasury Note/Bond
               
  1.875%, 2/28/2022
   $
(500,000
)
   
(498,936
)
TOTAL U.S. GOVERNMENT NOTES/BONDS
               
(Proceeds $498,652)
           
(498,936
)
TOTAL SHORT INVESTMENTS
               
(Proceeds $12,835,753) - (13.82)%
           
(14,446,671
)
TOTAL NET INVESTMENTS
               
  (Cost $70,313,367) - 68.69%
           
71,834,087
 
OTHER ASSETS IN EXCESS OF LIABILITIES - 31.31% (e)
           
32,736,650
 
TOTAL NET ASSETS - 100.00%
         
$
104,570,737
 
                 
 
 
ADR
- American Depository Receipt
       
 
ETF
- Exchange-Traded Fund
       
 
plc
- Public Limited Company
       
 
REITs
- Real Estate Investment Trusts
       
 
(a)
Non-income producing security.
       
 
(b)
Foreign security.
       
 
(c)
The rate quoted is the annualized seven-day yield as of March 31, 2017.
       
 
(d)
Security fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees.
 
(e)
All or a portion of the shares have been committed as collateral for open securities sold short, written option contracts,
   
swap contacts, and forward currency exchange contracts.
       
 
(f)
Level 2 Security. Please see footnote (l) on the schedule of investments for more information.
 
(g)
Level 3 Security. Please see footnote (l) on the schedule of investments for more information.
 
(h)
Default or other conditions exist and the security is not presently accruing income.
       
 
(i)
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. As of March 31, 2017, these
   
securities represent 2.00% of total net assets.
       
 

 
(j)
Restricted security. Please see footnote (l) on the schedule of investments for more information. As of March 31, 2017,
 
   
these securities represented 4.66% of total net assets.
       
 
(k)
The cost basis of long investments for federal income tax purposes at March 31, 2017 was as follows*:
     
 
 
Cost of long investments
 
$
83,149,120
 
 
Long investment gross unrealized appreciation
 
$
4,454,237
 
 
Long investment gross unrealized depreciation
   
(1,322,599
)
 
Long investment net unrealized appreciation
 
$
3,131,638
 
 
   
*Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent annual report.
 
     
     
 
(l)
Investment Valuation
       
   
The following is a summary of the Fund’s pricing procedures. It is intended to be a general discussion and may not necessarily reflect all pricing procedures followed by the Fund.
 
             
   
Equity securities that trade on an exchange will typically be valued based on the last reported sale price. Securities listed on NASDAQ are typically valued using the NASDAQ Official Closing Price. The securities valued using quoted prices in active markets are classified as Level 1 investments. If, on a particular day, an exchange-listed security does not trade, then the mean between the closing bid and asked prices will typically be used to value the security. These securities are classified as Level 2 investments. Fixed income securities having a maturity of greater than 60 days are typically valued based on evaluations provided by a pricing vendor approved by the Board of Trustees of the Fund (the “Board” or “Trustees”). These are classified as Level 2 investments.
 
             
   
Exchange-traded options are typically valued at the higher of the intrinsic value of the option (i.e., what the Fund would pay or can receive upon the option being exercised) or the last reported composite sale price when such sale falls between the bid and asked prices. When the last sale of an exchange-traded option is outside the bid and asked prices, the Fund will typically value the option at the higher of the intrinsic value of the option or the mean between the highest end of day option bid price and the lowest end of day option ask price. Options for which there is an active market are classified as Level 1 investments, but options not listed on an exchange are classified as Level 2 investments. Investments in United States government securities (other than short-term securities) are valued at the mean between the 4:00 PM New York time bid and asked prices supplied by a third party vendor. Investments in registered open-end investment companies, including money market funds, are typically valued at their reported NAV per share. Short-term fixed-income securities having a maturity of less than 60 days are valued at market quotations or based on valuations supplied by a third party pricing service. If a reliable price from a third party pricing service is unavailable, amortized cost may be used if it is determined that the instrument’s amortized cost value represents approximately the fair value of the security. Forward currency contracts are valued daily at the prevailing forward exchange rate. These securities are generally classified as Level 2. Total return swap prices are determined using the same methods as would be used to price the underlying security. These securities are generally classified as Level 2.
 
             
   
The Fund typically fair values securities and assets for which (a) market quotations are not readily available or (b) market quotations are believed to be unrepresentative of market value. For example, a Fund may fair value a security that primarily trades on an exchange that closes before which the security primarily trades but before the NYSE closes. Fair valuations are determined in good faith by the Valuation Group (the “Valuation Group”), a committee comprised of persons who are officers of the Fund or representatives of the Adviser, acting pursuant to procedures adopted by the Board. When fair-value pricing is employed, the prices of securities used by the Fund to calculate its NAV may differ from quoted or published prices for the same securities. In addition, due to the subjective nature of fair-value pricing, it is possible that the value determined for a particular asset may be materially different from the value realized upon such asset’s sales. These securities are generally classified as Level 2 or 3 depending on the inputs as described below.
 
             
   
The Fund has performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
 
 

   
Level 1 — Quoted prices in active markets for identical securities.
       
   
Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
 
   
Level 3 — Significant unobservable inputs are those inputs that reflect the applicable Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information.
 
             
   
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
 
             
   
The following tables provide the fair value measurements of applicable Fund assets and liabilities by level within the fair value hierarchy for the Fund as of March 31, 2017. These assets and liabilities are measured on a recurring basis.
 

 
Investments at Fair Value
 
Level 1
   
Level 2
   
Level 3
   
Total
 
 
Assets
                       
 
Common Stocks*
 
$
57,663,485
   
$
-
   
$
4,868,505
   
$
62,531,990
 
 
Closed-End Funds
   
6,200,903
     
-
     
-
     
6,200,903
 
 
Preferred Stocks
   
1,352,503
     
-
     
-
     
1,352,503
 
 
Contingent Value Rights
   
-
     
-
     
79,269
     
79,269
 
 
Rights
   
-
     
15,035
     
-
     
15,035
 
 
Warrants
   
-
     
12,276
     
-
     
12,276
 
 
Bank Loans
   
-
     
1,199,275
     
-
     
1,199,275
 
 
Corporate Bonds
   
-
     
10,882,865
     
-
     
10,882,865
 
 
Purchased Option Contracts
   
338,748
     
-
     
-
     
338,748
 
 
Escrow Notes
   
-
     
-
     
248,937
     
248,937
 
 
Short-Term Investments
   
3,418,957
     
-
     
-
     
3,418,957
 
 
Swap Contracts**
   
-
     
1,259,317
     
-
     
1,259,317
 
 
Total
 
$
68,974,596
   
$
13,368,768
   
$
5,196,711
   
$
87,540,075
 
                                   
 
Liabilities
                               
 
Short Common Stock*
 
$
13,788,324
   
$
159,411
   
$
-
   
$
13,947,735
 
 
US Government Notes/Bonds
   
-
     
498,936
     
-
     
498,936
 
 
Written Option Contracts
   
3,401,519
     
-
     
-
     
3,401,519
 
 
Forward Currency Exchange Contracts**
   
-
     
53,174
     
-
     
53,174
 
 
Total
 
$
17,189,843
   
$
711,521
   
$
-
   
$
17,901,364
 

 
Please refer to the Schedules of Investments to view long/short common stocks segregated by industry type.
 
 
** 
Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument by counterparty.
 
             
   
The Level 2 securities are priced using inputs such as current yields, discount rates, credit quality, yields on comparable securities, trading volume, maturity date, market bid and asked prices, prices on comparable securities and other significant inputs. Level 3 securities are valued by brokers using broker quotes or such other pricing sources or data as are permitted by the Fund’s pricing procedures. At March 31, 2017, the value of these securities was $5,196,711. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs as described in footnote (l). The appropriateness of fair values for these securities is monitored by the Valuation Group on an ongoing basis.

For the three months ended March 31, 2017, the Fund had transfers of $366,152 out of Level 2 to Level 1 due to increased market activity. There were no transfers into or out of Level 3 investments during the period. Transfers are recorded at the end of the reporting period.
 
             
   
Level 3 Reconciliation Disclosure
       
   
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
 

 
Description
 
Common Stock
   
Contingent Value Rights
   
Escrow Notes
   
Total Investment
 
 
Balance as of December 31, 2016
 
$
4,868,519
   
$
2,135
   
$
257,440
   
$
5,128,094
 
 
Purchases on Investments
   
-
     
77,134
     
-
     
77,134
 
 
(Sales) of Investments
   
-
     
-
     
-
     
-
 
 
Transfers Into Level 3
   
-
     
-
     
-
     
-
 
 
(Transfer Out) of Level 3
   
-
     
-
     
-
     
-
 
 
Change in Unrealized Depreciation
   
(14
)
   
-
     
(8,503
)
   
(8,517
)
 
Balance as of March 31, 2017
 
$
4,868,505
   
$
79,269
   
$
248,937
   
$
5,196,711
 

 The net change in unrealized appreciation (depreciation) on investments related to Level 3 securities held by the Fund at March 31, 2017 totals $(8,517).
 

 
   
Significant unobservable valuation inputs monitored by the Valuation Group under the supervision of the Board of Trustees for material Level 3 investments as of March 31, 2017 are as follows:
 
 
 
 
Description
 
Fair Value at
March 31, 2017
 
Valuation Technique
 
Unobservable Input
   
 
Common Stock
 
 $                       3,873,267
 
Discounted Cash Flow Model
 
Discount Rates
Terminal Value
Cash Flow Projections
   
 
Common Stock
 
 $                          995,238
 
Discounted Cash Flow Model
 
Discount Rates
Terminal Value
Cash Flow Projections
   

   
The table above does not include certain Level 3 investments that are valued by brokers and pricing services. At March 31, 2017, the value of these investments was $328,206. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in footnote (l).
 
       
 
(m)
Disclosures about Derivative Instruments and Hedging Activities at March 31, 2017.
       
             
   
The Fund has adopted authoritative standards regarding disclosure about derivatives and hedging activities. Fair values of derivative instruments as of March 31, 2017 are as follows:
 

     
Asset Derivatives
   
Liability Derivatives
 
 
Derivatives
 
Description
   
Fair Value
   
Description
   
Fair Value
 
 
Equity Contracts:
                       
 
   Purchased Option Contracts
 
Schedule of Investments
   
$
338,748
     
N/A
   
$
-
 
 
   Written Option Contracts
   
N/A
     
-
   
Schedule of Options Written
     
3,401,519
 
 
Foreign Exchange Contracts:
                               
 
    Exchange Contracts
     Forward Currency
 
Schedule of Forward Currency Exchange Contracts
     
-
   
Schedule of Forward Currency Exchange Contracts
     
53,174
 
 
    Swap Contracts
 
Schedule of Swap Contracts
     
1,259,317
   
Schedule of Swap Contracts
     
-
 
 
Total
         
$
1,598,065
           
$
3,454,693
 
                                   

   
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
 

 

 
 
WCM Alternatives: Event-Driven Fund
 
SCHEDULE OF OPTIONS WRITTEN
 
March 31, 2017 (Unaudited)
 
   
      
Contracts (100 Shares per contract)
   
Value
 
CALL OPTIONS WRITTEN
           
American International Group, Inc.
           
Expiration: May 2017, Exercise Price: $62.50
   
502
   
$
91,364
 
Expiration: May 2017, Exercise Price: $65.00
   
87
     
6,568
 
Ashland Global Holdings, Inc.
               
Expiration: April 2017, Exercise Price: $120.00
   
27
     
12,366
 
Expiration: May 2017, Exercise Price: $125.00
   
83
     
25,730
 
AT&T, Inc.
               
Expiration: October 2017, Exercise Price: $40.00
   
131
     
30,392
 
Expiration: October 2017, Exercise Price: $41.00
   
404
     
69,690
 
Baker Hughes, Inc.
               
Expiration: April 2017, Exercise Price: $55.00
   
35
     
16,870
 
Expiration: April 2017, Exercise Price: $57.50
   
67
     
18,593
 
Expiration: April 2017, Exercise Price: $60.00
   
95
     
10,450
 
Expiration: April 2017, Exercise Price: $62.50
   
347
     
10,410
 
Bob Evans Farms, Inc.
               
Expiration: April 2017, Exercise Price: $55.00
   
349
     
355,980
 
CBS Corporation Class B
               
Expiration: June 2017, Exercise Price: $65.00
   
34
     
18,870
 
Expiration: June 2017, Exercise Price: $67.50
   
148
     
57,350
 
CenturyLink, Inc.
               
Expiration: April 2017, Exercise Price: $24.00
   
98
     
2,254
 
Expiration: July 2017, Exercise Price: $23.00
   
330
     
45,210
 
CIT Group, Inc
               
Expiration: April 2017, Exercise Price: $40.00
   
561
     
182,325
 
Expiration: April 2017, Exercise Price: $42.00
   
133
     
21,214
 
Computer Sciences Corporation
               
Expiration: June 2017, Exercise Price: $65.00
   
19
     
12,730
 
CSX Corporation
               
Expiration: May 2017, Exercise Price: $45.00
   
495
     
142,065
 
Expiration: May 2017, Exercise Price: $46.00
   
56
     
12,712
 
Expiration: May 2017, Exercise Price: $47.00
   
249
     
43,201
 
Expiration: June 2017, Exercise Price: $45.00
   
61
     
19,673
 
DISH Network Corporation Class A
               
Expiration: June 2017, Exercise Price: $57.50
   
185
     
141,525
 
The Dow Chemical Company
               
Expiration: June 2017, Exercise Price: $62.50
   
73
     
20,732
 
E. I. du Pont de Nemours and Company
               
Expiration: May 2017, Exercise Price: $80.00
   
76
     
20,026
 
Expiration: July 2017, Exercise Price: $80.00
   
38
     
14,364
 
General Electric Company
               
Expiration: April 2017, Exercise Price: $30.00
   
962
     
32,708
 
Expiration: April 2017, Exercise Price: $31.00
   
367
     
2,936
 
General Motors Company
               
Expiration: June 2017, Exercise Price: $35.00
   
492
     
84,132
 
Hewlett Packard Enterprise Company
               
Expiration: May 2017, Exercise Price: $22.00
   
2,104
     
420,800
 
Hilton Worldwide Holdings, Inc.
               
Expiration: April 2017, Exercise Price: $55.00
   
348
     
132,240
 
 

Marathon Petroleum Corporation
               
Expiration: April 2017, Exercise Price: $47.50
   
541
     
183,940
 
MGM Resorts International
               
Expiration: April 2017, Exercise Price: $27.00
   
1,032
     
86,688
 
Expiration: May 2017, Exercise Price: $25.00
   
116
     
32,712
 
NXP Semiconductors NV
               
Expiration: December 2017, Exercise Price: $105.00
   
31
     
13,950
 
Rockwell Collins, Inc.
               
Expiration: April 2017, Exercise Price: $95.00
   
16
     
5,080
 
SPDR S&P 500 ETF Trust
               
Expiration: May 2017, Exercise Price: $243.00
   
76
     
5,624
 
Time Warner, Inc.
               
Expiration: April 2017, Exercise Price: $95.00
   
115
     
36,800
 
The Valspar Corporation
               
Expiration: April 2017, Exercise Price: $105.00
   
45
     
27,000
 
Varian Medical Systems, Inc.
               
Expiration: May 2017, Exercise Price: $85.00
   
99
     
197,505
 
               
2,664,779
 
PUT OPTIONS WRITTEN
               
Alibaba Group Holding Ltd. - ADR
               
Expiration: May 2017, Exercise Price: $105.00
   
6
     
1,668
 
CIT Group, Inc
               
Expiration: April 2017, Exercise Price: $40.00
   
284
     
7,100
 
DISH Network Corporation Class A
               
Expiration: June 2017, Exercise Price: $60.00
   
188
     
41,360
 
Hertz Global Holdings, Inc.
               
Expiration: April 2017, Exercise Price: $17.50
   
1,294
     
111,284
 
Expiration: July 2017, Exercise Price: $20.00
   
154
     
56,980
 
Huntsman Corporation
               
Expiration: May 2017, Exercise Price: $18.00
   
1,167
     
8,169
 
Expiration: August 2017, Exercise Price: $21.00
   
343
     
25,382
 
MetLife, Inc.
               
Expiration: May 2017, Exercise Price: $52.50
   
864
     
156,384
 
Sealed Air Corporation
               
Expiration: April 2017, Exercise Price: $47.00
   
852
     
306,720
 
SPDR S&P 500 ETF Trust
               
Expiration: April 2017, Exercise Price: $229.00
   
69
     
3,381
 
Expiration: April 2017, Exercise Price: $230.00
   
276
     
15,732
 
VanEck Vectors Semiconductor ETF
               
Expiration: May 2017, Exercise Price: $65.00
   
15
     
180
 
Varian Medical Systems, Inc.
               
Expiration: May 2017, Exercise Price: $85.00
   
160
     
2,400
 
               
736,740
 
TOTAL OPTIONS WRITTEN
               
(Premiums received $3,272,996)
         
$
3,401,519
 
                   
 ADR  - America Depositary Receipt                
ETF 
- Exchange-Traded Fund
               

 

 
WCM Alternatives: Event-Driven Fund
           
SCHEDULE OF FORWARD CURRENCY EXCHANGE CONTRACTS*
           
March 31, 2017 (Unaudited)
           
                               
Unrealized
 
Settlement
          
USD Value at
            
USD Value at
   
Appreciation
 
Date
 
Currency to be Delivered
 
March 31, 2017
   
Currency to be Received
 
March 31, 2017
   
(Depreciation)**
 
5/16/2017
   
483,006
 
AUD
 
$
368,706
     
363,175
 
USD
 
$
363,175
   
$
(5,531
)
8/15/2017
   
1,343,590
 
CAD
   
1,012,367
     
1,003,736
 
USD
   
1,003,736
     
(8,631
)
12/20/2017
   
4,444,142
 
GBP
   
5,609,428
     
5,570,416
 
USD
   
5,570,416
     
(39,012
)
               
$
6,990,501
              
$
6,937,327
   
$
(53,174
)

CAD 
- Canadian Dollar
GBP 
- British Pound
USD 
- U.S. Dollar
JPMorgan Chase & Co., Inc. is the counterparty for all open forward currency exchange contracts held by the Fund as of March 31, 2017.
** 
Unrealized appreciation is a receivable and unrealized depreciation is a payable.
 

 
 

WCM Alternatives: Event-Driven Fund
          
SCHEDULE OF SWAP CONTRACTS
          
March 31, 2017 (Unaudited)
          
                            
                 
Unrealized
   
Termination Date
Security
 
Shares
   
Notional Amount
   
Appreciation (Depreciation)*
 
Counterparty
LONG TOTAL RETURN SWAP CONTRACTS
3/31/2018
Actelion Ltd.- ADR
   
405
   
$
114,606
   
$
(2,981
)
JPM
3/30/2018
Actelion Ltd.- ADR (New Line)
   
15,350
     
4,000,984
     
323,481
 
JPM
12/20/2017
Allied World Assurance Company Holdings AG
   
17,327
     
917,922
     
(129
)
BAML
8/26/2017
American International Group, Inc.
   
31,400
     
1,842,057
     
116,965
 
JPM
2/7/2018
B/E Aerospace, Inc.
   
64,605
     
3,987,619
     
145,697
 
BAML
1/6/2018
Baker Hughes, Inc.
   
54,400
     
3,477,961
     
(233,477
)
BAML
5/6/2017
CBS Corporation Class B
   
3,300
     
185,587
     
42,782
 
BAML
3/13/2018
DH Corporation
   
36,385
     
680,346
     
9,677
 
BAML
1/20/2018
DUET Group
   
159,408
     
348,929
     
(9,392
)
JPM
2/16/2018
Fortress Investment Group LLC Class A
   
165,289
     
1,319,437
     
(6,497
)
JPM
3/17/2018
Headwaters, Inc.
   
65,095
     
1,533,622
     
(5,583
)
JPM
1/6/2018
Hewlett Packard Enterprise Company
   
192,200
     
4,448,258
     
94,446
 
BAML
2/3/2018
Mead Johnson Nutrition Company
   
52,498
     
4,583,661
     
89,971
 
JPM
12/6/2017
NXP Semiconductors NV
   
45,674
     
4,513,531
     
202,293
 
BAML
2/13/2018
ONEOK Partners LP
   
24,633
     
1,309,633
     
17,624
 
BAML
1/6/2018
Reynolds American, Inc.
   
148,005
     
8,584,994
     
720,994
 
BAML
12/28/2017
Rite Aid Corporation
   
77,982
     
632,195
     
(302,539
)
BAML
12/12/2017
Sky plc
   
413,409
     
5,073,037
     
(21,170
)
JPM
2/22/2018
Syngenta AG
   
1,662
     
706,364
     
27,981
 
BAML
12/16/2017
Syngenta AG - ADR
   
50,457
     
4,096,095
     
358,342
 
BAML
2/10/2018
Time Warner, Inc.
   
51,128
     
4,936,178
     
49,870
 
BAML
6/8/2017
The Valspar Corporation
   
30,630
     
3,294,910
     
98,401
 
BAML
2/2/2018
VCA, Inc.
   
43,389
     
3,932,336
     
29,398
 
BAML
1/4/2018
Yahoo!, Inc.
   
130,470
     
5,339,783
     
711,739
 
JPM
                                  
SHORT TOTAL RETURN SWAP CONTRACTS
1/5/2018
Alibaba Group Holding Ltd. - ADR
   
(46,451
)
   
(4,342,537
)
   
(665,200
)
JPM
11/23/2017
British American Tobacco plc
   
(19,753
)
   
(1,063,863
)
   
(244,964
)
BAML
1/18/2018
British American Tobacco plc
   
(52,637
)
   
(3,193,043
)
   
(296,673
)
JPM
2/14/2018
British American Tobacco plc - ADR
   
(2,262
)
   
(139,436
)
   
(11,118
)
BAML
12/20/2017
Fairfax Financial Holdings Ltd.
   
(787
)
   
(367,856
)
   
8,443
 
BAML
2/23/2018
ONEOK, Inc.
   
(211
)
   
(11,509
)
   
(182
)
BAML
                     
$
1,248,199
   
 
 
ADR 
- American Depository Receipt
                            
BAML 
- Bank of America Merrill Lynch & Co., Inc.
JPM 
- JPMorgan Chase & Co., Inc.
plc 
- Public Limited Company
Based on the net swap value held at each counterparty, unrealized appreciation is a receivable and unrealized depreciation is a payable.
 

Item 2. Controls and Procedures.
 
(a)          The Registrant’s President/Principal Executive Officer and Treasurer/Principal 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”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d 15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).

(b)
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

 
Item 3. Exhibits.
 
Separate certifications for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)). Filed 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)  Westchester Capital Funds

By (Signature and Title) /s/ Michael T. Shannon
   Michael T. Shannon, Co-President

Date May 25, 2017

By (Signature and Title)  /s/ Roy Behren
    Roy Behren, Co-President and Treasurer

Date May 25, 2017


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)* /s/ Michael T. Shannon
  Michael T. Shannon, Co-President
Date May 25, 2017

By (Signature and Title)* /s/ Roy Behren
 Roy Behren, Co-President and Treasurer

Date May 25, 2017

* Print the name and title of each signing officer under his or her signature.