N-Q 1 wcm_ed-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, 2018



Date of reporting period:  September 30, 2018


Item 1. Schedule of Investments.
 
WCM Alternatives: Event-Driven Fund
             
SCHEDULE OF INVESTMENTS
             
September 30, 2018 (Unaudited)
             
               
   
Shares
         
Value
 
LONG INVESTMENTS - 96.55%
                 
COMMON STOCKS - 57.02%
                 
AEROSPACE & DEFENSE - 4.73%
                 
KLX, Inc. (a)
   
41,165
         
$
2,584,339
 
Rockwell Collins, Inc. (e)
   
26,311
           
3,695,906
 
                   
6,280,245
 
ASSET MANAGEMENT & CUSTODY BANKS - 1.48%
                     
The Blackstone Group LP
   
51,500
           
1,961,120
 
AUTO PARTS & EQUIPMENT - 2.37%
                     
Tenneco, Inc. (e)
   
74,500
           
3,139,430
 
BIOTECHNOLOGY - 0.15%
                     
Shire plc - ADR
   
1,116
           
202,297
 
CASINOS & GAMING - 0.00%
                     
Caesars Entertainment Corporation (a)
   
17
           
174
 
COMMUNICATIONS EQUIPMENT - 0.47%
                     
Mitel Networks Corporation (a)(b)
   
56,188
           
619,192
 
COPPER - 0.19%
                     
Nevsun Resources Ltd. (b)
   
58,286
           
258,207
 
DIVERSIFIED CHEMICALS - 4.26%
                     
DowDuPont, Inc. (e)
   
48,900
           
3,144,759
 
Huntsman Corporation (e)
   
91,891
           
2,502,192
 
                   
5,646,951
 
DRUG RETAIL - 0.04%
                     
Rite Aid Corporation (a)
   
36,791
           
47,093
 
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.47%
                     
Orbotech Ltd. (a)(b)(e)
   
32,889
           
1,954,922
 
HEALTH CARE EQUIPMENT & SUPPLIES - 1.13%
                     
NxStage Medical, Inc. (a)
   
53,827
           
1,501,235
 
HEALTH CARE SERVICES - 3.53%
                     
Express Scripts Holding Company (a)(e)
   
49,274
           
4,681,523
 
INTEGRATED TELECOMMUNICATION SERVICES - 0.19%
                     
AT&T, Inc.
   
7,384
           
247,955
 
MANAGED HEALTH CARE - 3.55%
                     
Aetna, Inc. (e)
   
23,191
           
4,704,294
 
MOVIES & ENTERTAINMENT - 6.04%
                     
Twenty-First Century Fox, Inc. Class A
   
8,302
           
384,632
 
Twenty-First Century Fox, Inc. Class B (e)
   
166,532
           
7,630,496
 
                   
8,015,128
 
OIL & GAS DRILLING - 1.30%
                     
Ocean Rig UDW, Inc. Class A (a)(b)
   
49,660
           
1,719,229
 
OIL & GAS EXPLORATION & PRODUCTION - 0.51%
                     
Alta Mesa Resources, Inc. (a)(e)
   
28,539
           
119,293
 
EQT Corporation
   
12,700
           
561,721
 
                   
681,014
 
OIL & GAS REFINING & MARKETING - 3.52%
                     
Andeavor (e)(f)
   
30,893
           
4,677,200
 
OIL & GAS STORAGE & TRANSPORTATION - 1.04%
                     
Columbia Pipeline Group, Inc. (a)(d)(g)(i)
   
38,718
           
1,012,025
 
Enbridge Energy Partners LP
   
11,449
           
125,824
 
Energy Transfer Partners LP
   
5,309
           
118,178
 
Spectra Energy Partners LP
   
3,498
           
124,914
 
                   
1,380,941
 
PACKAGED FOODS & MEATS - 3.75%
                     
Pinnacle Foods, Inc. (e)
   
76,857
           
4,981,102
 
PAPER PRODUCTS - 0.08%
                     
KapStone Paper and Packaging Corporation
   
3,094
           
104,918
 
PROPERTY & CASUALTY INSURANCE - 1.35%
                     
Aspen Insurance Holdings Ltd. (b)
   
42,955
           
1,795,519
 
REITs - 0.22%
                     
Forest City Realty Trust, Inc. Class A
   
4,391
           
110,170
 
Gramercy Property Trust
   
6,559
           
179,979
 
                   
290,149
 
 

RESEARCH & CONSULTING SERVICES - 0.13%
                     
The Dun & Bradstreet Corporation
   
1,259
           
179,420
 
SPECIAL PURPOSE ACQUISITION COMPANIES - 11.20%
                     
Avista Healthcare Public Acquisition Corporation Class A (a)(b)(e)
   
100,214
           
1,015,168
 
Big Rock Partners Acquisition Corporation (a)(f)
   
45,950
           
460,649
 
Bison Capital Acquisition Corporation (a)(b)
   
35,538
           
362,843
 
Black Ridge Acquisition Corporation (a)(f)
   
40,778
           
400,440
 
Churchill Capital Corporation (a)
   
127,245
           
1,288,992
 
CM Seven Star Acquisition Corporation (a)(b)(e)
   
97,424
           
982,034
 
Constellation Alpha Capital Corporation (a)(b)
   
134,259
           
1,358,701
 
Draper Oakwood Technology Acquisition, Inc. Class A (a)(f)
   
52,499
           
535,490
 
Easterly Acquisition Corporation (a)
   
20,939
           
218,812
 
GigCapital, Inc. (a)(f)
   
122,996
           
1,223,810
 
Gordon Pointe Acquisition Corporation (a)(f)
   
4,482
           
44,260
 
Industrea Acquisition Corporation Class A (a)
   
128,972
           
1,315,514
 
Kayne Anderson Acquisition Corporation Class A (a)
   
15,911
           
161,656
 
Legacy Acquisition Corporation Class A (a)
   
144,392
           
1,402,133
 
Matlin & Partners Acquisition Corporation Class A (a)
   
25,036
           
250,610
 
Modern Media Acquisition Corporation (a)(e)
   
71,496
           
722,109
 
Mudrick Capital Acquisition Corporation Class A (a)(f)
   
19,411
           
188,578
 
Pensare Acquisition Corporation (a)
   
56,616
           
563,895
 
Pure Acquisition Corporation (a)
   
44,644
           
433,270
 
Regalwood Global Energy Ltd. Class A (a)(b)(f)
   
97,770
           
955,702
 
Trinity Merger Corporation Class A (a)
   
99,243
           
975,559
 
                   
14,860,225
 
SPECIALIZED CONSUMER SERVICES - 1.48%
                     
ServiceMaster Global Holdings, Inc. (a)
   
31,600
           
1,960,148
 
SYSTEMS SOFTWARE - 2.84%
                     
CA, Inc. (e)
   
9,868
           
435,672
 
Dell Technologies, Inc. Class V (a)
   
34,263
           
3,327,623
 
                   
3,763,295
 
TOTAL COMMON STOCKS (Cost $74,090,069)
                 
75,652,926
 
                       
CLOSED-END FUNDS - 4.97%
                     
Altaba, Inc. (a)
   
26,464
           
1,802,728
 
Apollo Senior Floating Rate Fund, Inc.
   
22,543
           
360,237
 
Apollo Tactical Income Fund, Inc.
   
614
           
9,535
 
Ares Dynamic Credit Allocation Fund
   
4,683
           
72,727
 
BlackRock Debt Strategies Fund, Inc. (e)
   
67,032
           
746,737
 
BlackRock Floating Rate Income Strategies Fund, Inc.
   
19,222
           
265,071
 
Eaton Vance Floating-Rate Income Trust
   
22,900
           
334,340
 
First Trust Senior Floating Rate Income Fund II
   
22,317
           
283,872
 
Invesco Dynamic Credit Opportunities Fund
   
31,842
           
365,228
 
Invesco Senior Income Trust
   
173,546
           
746,248
 
Nuveen Credit Strategies Income Fund
   
1,574
           
12,545
 
Voya Prime Rate Trust
   
147,638
           
735,237
 
Western Asset High Income Opportunity Fund, Inc. (e)
   
179,467
           
854,263
 
TOTAL CLOSED-END FUNDS (Cost $6,716,116)
                 
6,588,768
 
                       
PREFERRED STOCKS - 2.82%
                     
AllianzGI Convertible & Income Fund, 5.625%, Series A
   
44,837
           
1,127,202
 
Colony Capital, Inc., 8.750%, Series E (e)
   
37,590
           
963,056
 
Fannie Mae, 8.250% (3 Month LIBOR + 7.750%), Series S (a)(j)
   
39,497
           
217,628
 
Freddie Mac, 8.375% (3 Month LIBOR + 7.875%), Series Z (a)(j)
   
52,260
           
278,546
 
Kimco Realty Corporation, 5.250%, Series M (e)
   
28,577
           
637,553
 
LaSalle Hotel Properties, 6.375%, Series I
   
3,515
           
86,961
 
NuStar Logistics LP, 9.073% (3 Month LIBOR + 6.734%), 1/15/2043 (e)(j)
   
17,282
           
436,371
 
TOTAL PREFERRED STOCKS (Cost $3,789,942)
                 
3,747,317
 
                       
CONTINGENT VALUE RIGHTS - 0.00% (a)(e)(g)
                     
Media General, Inc.
   
42,852
           
1,285
 
TOTAL CONTINGENT VALUE RIGHTS (Cost $0)
                 
1,285
 
                       
RIGHTS - 0.19% (a)(f)
                     
Big Rock Partners Acquisition Corporation
   
45,950
           
21,367
 
Bison Capital Acquisition Corporation (b)
   
35,538
           
18,657
 
Black Ridge Acquisition Corporation
   
40,778
           
15,496
 
CM Seven Star Acquisition Corporation (b)
   
97,424
           
51,148
 
Draper Oakwood Technology Acquisition, Inc. Class A
   
47,718
           
24,336
 
GigCapital, Inc.
   
122,996
           
65,175
 
Modern Media Acquisition Corporation
   
71,496
           
31,097
 
Pensare Acquisition Corporation
   
56,616
           
25,432
 
TOTAL RIGHTS (Cost $185,238)
                 
252,708
 
                       
 

WARRANTS - 0.33% (a)(f)
                     
Big Rock Partners Acquisition Corporation
   
22,975
           
9,545
 
Bison Capital Acquisition Corporation (b)
   
17,769
           
9,061
 
Black Ridge Acquisition Corporation
   
40,778
           
17,942
 
CM Seven Star Acquisition Corporation (b)
   
48,712
           
23,625
 
ConvergeOne Holdings, Inc.
   
52,837
           
73,444
 
Draper Oakwood Technology Acquisition, Inc. Class A
   
23,859
           
14,077
 
Federal Street Acquisition Corporation
   
4,238
           
6,145
 
GigCapital, Inc.
   
92,247
           
45,847
 
Legacy Acquisition Corporation Class A
   
144,392
           
64,255
 
Modern Media Acquisition Corporation
   
35,748
           
20,555
 
Mudrick Capital Acquisition Corporation Class A
   
19,411
           
12,811
 
Pensare Acquisition Corporation
   
28,308
           
14,720
 
Pure Acquisition Corporation
   
22,322
           
30,135
 
Regalwood Global Energy Ltd. Class A (b)
   
32,590
           
47,581
 
Trinity Merger Corporation Class A
   
99,243
           
49,622
 
TOTAL WARRANTS (Cost $315,033)
                 
439,365
 
                       
            Principal Value               
CONVERTIBLE BONDS - 0.95% (f)
                     
Caesars Entertainment Corporation
                     
5.000%, 10/1/2024
 
$
251,397
           
410,050
 
NXP Semiconductors NV
                     
1.000%, 12/1/2019 (b)
   
809,000
           
844,377
 
TOTAL CONVERTIBLE BONDS (Cost $1,239,481)
                 
1,254,427
 
                       
CORPORATE BONDS - 15.55% (f)
                     
Ardagh Packaging Finance plc / Ardagh Holdings MP USA, Inc.
                     
7.250%, 5/15/2024 (b)(h)
   
2,971,000
           
3,119,550
 
BlueLine Rental Finance Corporation / BlueLine Rental LLC
                     
9.250%, 3/15/2024 (h)
   
1,143,000
           
1,202,293
 
Dynegy, Inc.
                     
5.875%, 6/1/2023
   
601,000
           
619,481
 
EIG Investors Corporation
                     
10.875%, 2/1/2024
   
2,068,000
           
2,267,045
 
Enbridge, Inc.
                     
6.000% (Fixed at 6.000% until 2027), 1/15/2077 (b)(e)(j)
   
1,279,000
           
1,241,413
 
Envision Healthcare Corporation
                     
5.625%, 7/15/2022
   
3,402,000
           
3,499,638
 
LifePoint Health, Inc.
                     
5.875%, 12/1/2023
   
644,000
           
673,785
 
5.375%, 5/1/2024
   
1,263,000
           
1,318,256
 
Rent-A-Center, Inc.
                     
6.625%, 11/15/2020
   
382,000
           
382,955
 
4.750%, 5/1/2021
   
512,000
           
512,000
 
Rite Aid Corporation
                     
6.125%, 4/1/2023 (h)
   
616,000
           
555,170
 
Sinclair Television Group, Inc.
                     
6.125%, 10/1/2022 (e)
   
1,600,000
           
1,636,000
 
Spectrum Brands Holdings, Inc.
                     
7.750%, 1/15/2022 (e)
   
2,591,000
           
2,673,912
 
T-Mobile USA, Inc.
                     
6.500%, 1/15/2024
   
217,000
           
225,951
 
Tribune Media Company
                     
5.875%, 7/15/2022
   
77,000
           
79,021
 
Univar USA, Inc.
                     
6.750%, 7/15/2023 (h)
   
604,000
           
626,650
 
TOTAL CORPORATE BONDS (Cost $20,730,371)
                 
20,633,120
 
                       
 

   
Contracts (100 shares per
contract)
   
Notional Amount
         
PURCHASED CALL OPTIONS - 0.03%
                     
SPDR S&P 500 ETF Trust
                     
Expiration: November 2018, Exercise Price: $295.00
   
98
   
$
2,849,056
     
23,128
 
VF Corporation
                       
Expiration: November 2018, Exercise Price: $100.00
   
135
     
1,261,575
     
10,935
 
                     
34,063
 
PURCHASED PUT OPTIONS - 0.34%
                       
AT&T, Inc.
                       
Expiration: October 2018, Exercise Price: $32.00
   
51
     
171,258
     
765
 
Bayer AG
                       
Expiration: November 2018, Exercise Price: EUR: 72.00 (b)(f)
   
74
     
566,174
     
11,771
 
The Blackstone Group LP
                       
Expiration: December 2018, Exercise Price: $34.00
   
346
     
1,317,568
     
14,705
 
Expiration: December 2018, Exercise Price: $35.00
   
169
     
643,552
     
10,816
 
Cisco Systems, Inc.
                       
Expiration: November 2018, Exercise Price: $44.00
   
63
     
306,495
     
2,016
 
Conagra Brands, Inc.
                       
Expiration: December 2018, Exercise Price: $31.00
   
12
     
40,764
     
510
 
DowDuPont, Inc.
                       
Expiration: October 2018, Exercise Price: $62.50
   
371
     
2,385,901
     
22,631
 
Expiration: November 2018, Exercise Price: $65.00
   
64
     
411,584
     
15,552
 
EQT Corporation
                       
Expiration: December 2018, Exercise Price: $40.00
   
973
     
4,303,579
     
116,760
 
FTSE 100 Index
                       
Expiration: December 2018, Exercise Price: GBP: 7,800.00 (b)(f)(k)
   
5
     
375,510
     
23,298
 
HP, Inc.
                       
Expiration: November 2018, Exercise Price: $23.00
   
62
     
159,774
     
744
 
Huntsman Corporation
                       
Expiration: November 2018, Exercise Price: $27.00
   
1,178
     
3,207,694
     
135,470
 
Marriott Vacations Worldwide Corporation
                       
Expiration: October 2018, Exercise Price: $95.00
   
34
     
379,950
     
425
 
ServiceMaster Global Holdings, Inc.
                       
Expiration: November 2018, Exercise Price: $55.00
   
316
     
1,960,148
     
15,010
 
Shire plc - ADR
                       
Expiration: October 2018, Exercise Price: $160.00
   
16
     
290,032
     
520
 
SPDR S&P 500 ETF Trust
                       
Expiration: October 2018, Exercise Price: $285.00
   
302
     
8,779,744
     
29,596
 
Tenneco, Inc.
                       
Expiration: October 2018, Exercise Price: $37.00 (f)
   
149
     
627,886
     
3,353
 
Expiration: October 2018, Exercise Price: $39.00
   
500
     
2,107,000
     
20,000
 
Trinity Industries, Inc.
                       
Expiration: October 2018, Exercise Price: $30.00
   
926
     
3,392,864
     
2,315
 
VanEck Vectors Semiconductor ETF
                       
Expiration: October 2018, Exercise Price: $107.00
   
74
     
787,730
     
16,724
 
The Walt Disney Company
                       
Expiration: January 2019, Exercise Price: $95.00
   
323
     
3,777,162
     
11,305
 
                     
454,286
 
TOTAL PURCHASED OPTIONS (Cost $593,099)
                   
488,349
 
                         
   
Principal Amount
                 
ESCROW NOTES - 0.05% (a)(d)(g)
                       
AMR Corporation
 
$
28,850
             
44,718
 
Winthrop Realty Trust (e)
   
26,484
             
21,187
 
TOTAL ESCROW NOTES (Cost $105,025)
                   
65,905
 
                         
   
Shares
                 
SHORT-TERM INVESTMENTS - 14.30%
                       
MONEY MARKET FUNDS - 2.48% (c)(e)
                       
JPMorgan U.S. Government Money Market Fund, Institutional Share Class, 1.96%
   
3,292,077
             
3,292,077
 
                     
3,292,077
 
   
Principal Amount
                 
U.S. TREASURY BILLS - 11.82% (f)
                       
United States Treasury Bills
                       
1.94%, 10/18/2018 (e)
 
$
1,260,000
             
1,258,773
 
1.93%, 10/25/2018 (e)
   
800,000
             
798,895
 
1.94%, 11/1/2018
   
1,500,000
             
1,497,342
 
1.96%, 11/8/2018
   
100,000
             
99,782
 
2.00%, 11/23/2018 (e)
   
3,080,000
             
3,070,461
 
2.04%, 12/6/2018 (e)
   
1,900,000
             
1,892,606
 
2.06%, 1/17/2019 (e)
   
700,000
             
695,417
 
2.09%, 1/24/2019
   
400,000
             
397,179
 
2.12%, 1/31/2019
   
1,600,000
             
1,587,969
 
2.15%, 2/7/2019
   
900,000
             
892,728
 
2.14%, 2/14/2019 (e)
   
200,000
             
198,300
 
2.15%, 2/21/2019 (e)
   
200,000
             
198,198
 
2.18%, 2/28/2019 (e)
   
3,130,000
             
3,100,346
 
                     
15,687,996
 
                         
 

TOTAL SHORT-TERM INVESTMENTS (Cost $18,984,639)                   18,980,073  
TOTAL LONG INVESTMENTS (Cost $126,749,013) - 96.55%                    128,104,243  
   
Shares
                 
SHORT INVESTMENTS - (16.54)%
                       
COMMON STOCKS - (16.43)%
                       
AEROSPACE & DEFENSE - (2.06)%
                       
United Technologies Corporation
   
(19,586
)
           
(2,738,319
)
AIRLINES - (0.04)%
                       
American Airlines Group, Inc.
   
(1,443
)
           
(59,639
)
BROADCASTING - (0.39)%
                       
Discovery Communications, Inc. Class A
   
(16,146
)
           
(516,672
)
CABLE & SATELLITE - (0.56)%
                       
Sirius XM Holdings, Inc.
   
(117,749
)
           
(744,174
)
DRUG RETAIL - (1.90)%
                       
CVS Health Corporation
   
(31,996
)
           
(2,518,725
)
INDUSTRIAL GASES - (0.33)%
                       
Praxair, Inc. (f)
   
(2,731
)
           
(440,073
)
INTERNET & DIRECT MARKETING RETAIL - (1.56)%
                       
Alibaba Group Holding Ltd. - ADR
   
(12,548
)
           
(2,067,409
)
MANAGED HEALTH CARE - (1.88)%
                       
Cigna Corporation
   
(11,992
)
           
(2,497,334
)
MOVIES & ENTERTAINMENT - (0.04)%
                       
The Walt Disney Company
   
(443
)
           
(51,804
)
OIL & GAS DRILLING - (0.84)%
                       
Transocean Ltd. (b)
   
(80,091
)
           
(1,117,269
)
OIL & GAS REFINING & MARKETING - (3.10)%
                       
Marathon Petroleum Corporation (f)
   
(51,108
)
           
(4,118,283
)
OIL & GAS STORAGE & TRANSPORTATION - (0.28)%
                       
Enbridge, Inc. (b)
   
(7,722
)
           
(249,343
)
Energy Transfer Equity LP
   
(6,795
)
           
(118,437
)
                     
(367,780
)
PACKAGED FOODS & MEATS - (1.25)%
                       
Conagra Brands, Inc.
   
(48,714
)
           
(1,654,815
)
REITs - (0.39)%
                       
Brookfield Property Partners LP (b)
   
(24,527
)
           
(512,369
)
SEMICONDUCTORS - (0.63)%
                       
KLA-Tenor Corporation
   
(8,222
)
           
(836,260
)
SYSTEMS SOFTWARE - (1.18)%
                       
VMware, Inc. Class A
   
(10,054
)
           
(1,569,027
)
TOTAL COMMON STOCKS (Proceeds $20,670,927)
                   
(21,809,952
)
                         
PRIVATE PLACEMENTS - (0.11)% (g)
                       
Twenty-First Century Fox, Inc. Class A
   
(4,658
)
           
(139,740
)
 TOTAL PRIVATE PLACEMENTS (Proceeds $139,507)
                   
(139,740
)
                         
TOTAL SHORT INVESTMENTS
                       
  (Proceeds $20,810,434) - (16.54)%
                   
(21,949,692
)
TOTAL NET INVESTMENTS
                       
  (Cost $105,938,579) - 80.01%
                   
106,154,551
 
OTHER ASSETS IN EXCESS OF LIABILITIES - 19.99%
                   
26,519,904
 
TOTAL NET ASSETS - 100.00%
                 
$
132,674,455
 
 
 
 
           
ADR
- American Depository Receipt
 
ETF
- Exchange-Traded Fund
 
EUR
- Euro
           
LIBOR
- London Interbank Offered Rate
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 September 30, 2018.
(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 contracts, and forward currency exchange contracts.
(f)
Level 2 Security. Please see footnote (m) on the Schedule of Investments for more information.
(g)
Level 3 Security. Please see footnote (m) on the Schedule of Investments for more information.
(h)
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 September 30, 2018, these securities represent 4.15% of total net assets.
(i)
Restricted security. The Fund may own investment securities that have other legal or contractual limitations, and thus are restricted as to resale. These securities are valued by the Valuation Group under the supervision of the Board of Trustees. As of September 30, 2018, this common stock had a cost of $983,662 and its market value represented 0.76% of total net assets. The Fund's adviser perfected its appraisal rights over this security as of 6/20/2016. Please see footnote (m) on the Schedule of Investments for more information.
(j)
The coupon rate shown on variable rate securities represents the rate as of September 30, 2018.
(k)
10 shares per contract.
         
(l)
As of September 30, 2018, the components of accumulated earnings (losses) for income tax purposes were as follows*:

 
Total Portfolio
 
Tax Cost (1)
 $    104,707,447
 
 
 
 
 
 
 
Gross unrealized appreciation
           8,847,835
 
Gross unrealized depreciation
         (6,986,077)
 
Net unrealized appreciation
 $        1,861,758
 
 
 
(1) Tax cost represents tax on investments, net of proceeds on securities sold short and premiums on written options.
         
 
*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 the Financial Statements section in the Fund's most recent annual report.
 
 
(m)
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, including common and preferred stocks, closed-end funds and ETFs, 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 an independent pricing vendor. Investments in United States government securities (other than short-term securities) are valued at the mean between the 4:00
p.m. New York time bid and asked prices supplied by a third party vendor. 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. These are classified as Level 2 investments.
 
 
Investments in Special Purpose Acquisition Companies, including their related units, shares, rights and warrants (each a "SPAC interest"), will typically be valued by reference
to the last reported transaction for the composite exchange. If, on a particular day, no reliable market transaction is readily available and reported for the composite exchange,
then the mean between the closing bid and asked prices on the composite exchange will be used to value the SPAC interest, or the SPAC interest will be fair valued in
accordance with the Fund's pricing procedures. These securities 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 and/or are fair valued in
accordance with the Fund's pricing procedures are classified as Level 2 investments.
 
 
Investments in registered open-end investment companies are typically valued at their reported net asset value ("NAV") per share. These securities are generally classified as
Level 1 investments. Forward currency contracts are valued daily at the prevailing forward exchange rate. These securities are generally classified as Level 2. In general, swap
prices are determined using the same methods as would be used to price the underlying security. When the underlying security is the subject of a completed corporate
reorganization for which the final deal terms are known, the swap is priced at the value of the consideration to be received by the Fund. The credit quality of counterparties
and collateral is monitored and the valuation of a swap may be adjusted if it is believed that the credit quality of the counterparty or collateral affects the market value of the 
swap position. These securities are generally classified as Level 2 investments.
 
 
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, the Fund may fair value a security that primarily trades on an exchange that closes before the New York Stock Exchange ("NYSE") if a significant
event occurs after the close of the exchange on 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 Trust 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 sale. 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 September 30, 2018. These assets and liabilities are measured on a recurring basis.
 
Investments at Fair Value
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Assets
                       
Common Stocks*
 
$
66,154,772
   
$
8,486,129
   
$
1,012,025
   
$
75,652,926
 
Closed End Funds
   
6,588,768
     
-
     
-
     
6,588,768
 
Preferred Stock
   
3,747,317
     
-
     
-
     
3,747,317
 
Contingent Value Rights
   
-
     
-
     
1,285
     
1,285
 
Rights
   
-
     
252,708
     
-
     
252,708
 
Warrants
   
-
     
439,365
     
-
     
439,365
 
Convertible Bonds
   
-
     
1,254,427
     
-
     
1,254,427
 
Corporate Bonds
   
-
     
20,633,120
     
-
     
20,633,120
 
Purchased Option Contracts
   
449,927
     
38,422
     
-
     
488,349
 
Escrow Notes
   
-
     
-
     
65,905
     
65,905
 
Short-Term Investments
   
3,292,077
     
15,687,996
     
-
     
18,980,073
 
Forward Currency Exchange Contracts**
   
-
     
87,289
     
-
     
87,289
 
Swap Contracts**
   
-
     
2,219,213
     
-
     
2,219,213
 
Total
 
$
80,232,861
   
$
49,095,316
   
$
1,079,215
   
$
130,410,745
 
 
                               
Liabilities
                               
Short Common Stock*
 
$
17,251,596
   
$
4,558,356
   
$
-
   
$
21,809,952
 
Private Placements
   
-
     
-
     
139,740
     
139,740
 
Written Option Contracts
   
1,071,166
     
31,961
     
-
     
1,103,127
 
Swap Contracts**
   
-
     
788,721
     
-
     
788,721
 
Total
 
$
18,322,762
   
$
5,379,038
   
$
139,740
   
$
23,841,540
 
 
*
Please refer to the Schedules of Investments to view long/short common stocks segregated by industry type.
**
Forward currency exchange contracts and swap 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 using broker quotes or such other pricing sources or data as are permitted by the Fund's pricing procedures. At September 30, 2018, the value of these assets and liabilities was $1,079,215 and $139,740, respectively. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs as described in footnote (m). The appropriateness of fair values for these securities is monitored by the Valuation Group on an ongoing basis.

There were no transfers to Level 3 securities during the nine months ended September 30, 2018.
 
 
 
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
 
Private Placements
 
Total Investment
Balance as of December 31, 2017
 $       1,003,220
 
 $                                 5,293
 
 $       218,306
 
 $                         -
 
 $           1,226,819
Purchases on Investments*
-
 
                                           -
 
                     -
 
                 (139,507)
 
               (139,507)
(Sales) of Investments
                         -
 
                                           -
 
                     -
 
                              -
 
                          -
Realized (Gain) Loss
                         -
 
                                  (5,000)
 
            (3,132)
 
                              -
 
                   (8,132)
Transfers Into Level 3
                         -
 
                                           -
 
                     -
 
                              -
 
                          -
(Transfer Out) of Level 3
                         -
 
                                           -
 
                     -
 
                              -
 
                          -
Change in Unrealized Appreciation (Depreciation)
                 8,805
 
                                       992
 
        (149,269)
 
                        (233)
 
               (139,705)
Balance as of September 30, 2018
 $       1,012,025
 
 $                                 1,285
 
 $         65,905
 
 $              (139,740)
 
 $              939,475
 
 
The net change in unrealized appreciation (depreciation) on investments related to Level 3 securities held by the Fund at September 30, 2018 totals $(139,705).
 
 
 
Significant unobservable valuation inputs monitored by the Valuation Group under the supervision of the Board of Trustees for material Level 3 investments as of September 30, 2018 are as follows:
 
Description
 
Fair Value at
September 30, 2018
 
Valuation Technique
 
Unobservable Input
Common Stock
 
 $                   1,012,025
 
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 September 30, 2018, the value of these assets and liabilities was $67,190 and $139,740, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in footnote (m).
(n)
Disclosures about Derivative Instruments and Hedging Activities at September 30, 2018.

 
The Fund has adopted authoritative standards regarding disclosure about derivatives and hedging activities. Fair values of derivative instruments as of September 30, 2018 are as follows:
 
 
 
 Asset Derivatives
 
 Liability Derivatives
 
Derivatives
 
Description
 
Fair Value
 
Description
 
Fair Value
 
Equity Contracts:
 
 
 
 
 
 
 
 
 
   Purchased Option Contracts
 
 Schedule of Investments
 
 $     488,349
 
 N/A
 
 $                 -
 
   Written Option Contracts
 
 N/A
 
                    -
 
 Schedule of Written Options
 
     1,103,127
 
    Swap Contracts
 
 Schedule of Swap Contracts
 
     2,219,213
 
 Schedule of Swap Contracts
 
        788,721
 
Foreign Exchange Contracts:
 
 
 
 
 
 
 
 
 
    Exchange Contracts
     Forward Currency
 
 Schedule of Forward
Currency Exchange
Contracts
 
          87,289
 
 Schedule of Forward Currency
Exchange Contracts
 
                    -
 
Total
 
 
 
 $  2,794,851
 
 
 
 $  1,891,848
 
 
 
 
 
 
 
 
 
 
 
 
 
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 WRITTEN OPTIONS
             
September 30, 2018 (Unaudited)
             
               
 
 Contracts (100
shares per
contract)
   
Notional Amount
   
Value
 
WRITTEN CALL OPTIONS
             
AT&T, Inc.
                 
Expiration: October 2018, Exercise Price: $34.00
   
29
   
$
97,382
   
$
580
 
The Blackstone Group LP
                       
Expiration: December 2018, Exercise Price: $40.00
   
346
     
1,317,568
     
23,528
 
Expiration: December 2018, Exercise Price: $41.00
   
169
     
643,552
     
7,267
 
CBS Corporation Class B
                       
Expiration: October 2018, Exercise Price: $55.00
   
570
     
3,274,650
     
163,590
 
Conagra Brands, Inc.
                       
Expiration: December 2018, Exercise Price: $35.00
   
12
     
40,764
     
960
 
Dell Technologies, Inc. Class V
                       
Expiration: October 2018, Exercise Price: $95.00
   
52
     
505,024
     
17,160
 
DowDuPont, Inc.
                       
Expiration: October 2018, Exercise Price: $67.50
   
185
     
1,189,735
     
4,440
 
Expiration: November 2018, Exercise Price: $70.00
   
64
     
411,584
     
2,496
 
EQT Corporation
                       
Expiration: December 2018, Exercise Price: $50.00
   
127
     
561,721
     
13,970
 
Huntsman Corporation
                       
Expiration: November 2018, Exercise Price: $29.00
   
67
     
182,441
     
3,685
 
Expiration: November 2018, Exercise Price: $32.00
   
428
     
1,165,444
     
5,350
 
Expiration: November 2018, Exercise Price: $33.00
   
13
     
35,399
     
104
 
Marriott Vacations Worldwide Corporation
                       
Expiration: October 2018, Exercise Price: $105.00
   
34
     
379,950
     
26,690
 
NXP Semiconductors NV
                       
Expiration: October 2018, Exercise Price: $90.00
   
267
     
2,282,850
     
17,622
 
ServiceMaster Global Holdings, Inc.
                       
Expiration: November 2018, Exercise Price: $60.00
   
316
     
1,960,148
     
109,020
 
Shire plc - ADR
                       
Expiration: October 2018, Exercise Price: $170.00
   
18
     
326,286
     
21,150
 
SPDR S&P 500 ETF Trust
                       
Expiration: November 2018, Exercise Price: $287.00
   
98
     
2,849,056
     
73,353
 
Tenneco, Inc.
                       
Expiration: October 2018, Exercise Price: $40.00
   
149
     
627,886
     
39,858
 
Expiration: October 2018, Exercise Price: $44.00
   
273
     
1,150,422
     
13,650
 
VF Corporation
                       
Expiration: November 2018, Exercise Price: $95.00
   
135
     
1,261,575
     
32,738
 
The Walt Disney Company
                       
Expiration: January 2019, Exercise Price: $115.00
   
297
     
3,473,118
     
171,517
 
                     
748,728
 
WRITTEN PUT OPTIONS
                 
Bayer AG
                       
Expiration: November 2018, Exercise Price: EUR: 78.00 (a)(b)
   
74
     
566,174
     
31,961
 
EQT Corporation
                       
Expiration: December 2018, Exercise Price: $45.00
   
846
     
3,741,858
     
270,719
 
SPDR S&P 500 ETF Trust
                       
Expiration: October 2018, Exercise Price: $275.00
   
258
     
7,500,576
     
10,191
 
Tenneco, Inc.
                       
Expiration: October 2018, Exercise Price: $42.00
   
148
     
623,672
     
14,800
 
Expiration: October 2018, Exercise Price: $43.00
   
79
     
332,906
     
12,838
 
Trinity Industries, Inc.
                       
Expiration: October 2018, Exercise Price: $34.00
   
926
     
3,392,864
     
13,890
 
                     
354,399
 
TOTAL WRITTEN OPTIONS
                       
(Premiums received $1,231,132)
                 
$
1,103,127
 

ADR - American Depository Receipt
           
ETF - Exchange-Traded Fund
           
EUR - Euro
           
plc - Public Limited Company
           
(a)  Foreign Security.
           
(b)  Level 2 Security. Please see footnote (m) on the Schedule of Investments for more information.
 
 

WCM Alternatives: Event-Driven Fund    
         
SCHEDULE OF FORWARD CURRENCY EXCHANGE CONTRACTS       
   
September 30, 2018 (Unaudited)
                 
                           
Unrealized
Settlement
           
USD Value at
       
USD Value at
 
Appreciation
Date
 
Counterparty
 
Currency to be Delivered
 
September 30, 2018
 
Currency to be Received
 
September 30, 2018
 
(Depreciation)*
11/7/2018
 
JPM
 
1,925,415
AUD
 
   $                              1,392,186
 
1,383,883
USD
 
 $                  1,383,883
 
 $                                 (8,303)
11/7/2018
 
JPM
 
1,383,603
USD
 
1,383,603
 
1,925,415
AUD
 
1,392,186
 
8,583
11/15/2018
 
JPM
 
108,674
AUD
 
78,582
 
79,870
USD
 
79,870
 
1,288
1/16/2019
 
JPM
 
323,630
CAD
 
251,155
 
249,942
USD
 
249,942
 
(1,213)
1/3/2019
 
JPM
 
2,243,442
EUR
 
2,627,261
 
2,591,467
USD
 
2,591,467
 
(35,794)
3/21/2019
 
JPM
 
2,613,087
EUR
 
3,080,627
 
3,113,970
USD
 
3,113,970
 
33,343
3/21/2019
 
JPM
 
580,964
USD
 
580,964
 
489,270
EUR
 
576,811
 
(4,153)
10/11/2018
 
JPM
 
6,081,461
GBP
 
7,931,195
 
8,075,130
USD
 
8,075,130
 
143,935
10/11/2018
 
JPM
 
7,980,574
USD
 
7,980,574
 
6,081,461
GBP
 
7,931,195
 
(49,379)
12/13/2018
 
JPM
 
1,026,830
GBP
 
1,343,392
 
1,342,374
USD
 
1,342,374
 
(1,018)
             
$                           26,649,539
       
$              26,736,828
 
$                                 87,289
         
AUD
- Australian Dollar
       
CAD
- Canadian Dollar
       
EUR
- Euro
       
GBP
- British Pound
       
JPM
- JPMorgan Chase & Co., Inc.
       
USD
- U.S. Dollar
       
*
 Net unrealized appreciation (depreciation) is a receivable (payable).
       


WCM Alternatives: Event-Driven Fund
           
SCHEDULE OF SWAP CONTRACTS
           
September 30, 2018 (Unaudited)
           
 
                 
Unrealized
 
     Termination
Pay/Receive on
Financing
Payment
   Notional  
Appreciation
 
Counterparty
Security
Date
Financing Rate
Rate
Frequency
Shares
Amount
 
(Depreciation)*
 
LONG TOTAL RETURN SWAP CONTRACTS
     
JPM
Aetna, Inc.
3/5/2019
Pay
0.300% +3 Month LIBOR
Quarterly
20,429
$      3,789,898
 
$             350,816
 
JPM
Altaba, Inc.
11/1/2018
Pay
0.626% +3 Month LIBOR
Quarterly
173,311
            12,475,377
 
                  (683,094)
 
BAML
Andeavor
4/30/2019
Pay
0.750% +1 Month LIBOR
Monthly
15,261
              2,107,642
 
                    201,472
 
JPM
APN Outdoor Group Ltd.
8/22/2019
Pay
0.400% +3 Month LIBOR
Quarterly
16,220
                   75,189
 
                        2,817
 
JPM
AT&T, Inc.
6/15/2019
Pay
0.300% +3 Month LIBOR
Quarterly
28,318
                 903,646
 
                      46,347
 
BAML
Brookfield Property REIT, Inc. Class A
8/30/2019
Pay
0.750% +1 Month LIBOR
Monthly
29,805
                 582,474
 
                      41,195
 
BAML
CBS Corporation Class B
10/20/2018
Pay
0.400% +1 Month LIBOR
Monthly
72,506
              4,183,932
 
                    (20,925)
 
JPM
Discovery Communications, Inc. Class C
3/9/2019
Pay
0.000%(1)
Quarterly
16,146
                          -
 
                    477,599
 
BAML
DowDuPont, Inc.
10/20/2018
Pay
0.400% +1 Month LIBOR
Monthly
6,841
                 487,462
 
                    (47,805)
 
JPM
Envision Healthcare Corporation
8/13/2019
Pay
0.300% +3 Month LIBOR
Quarterly
33,930
              1,517,519
 
                      32,546
 
BAML
Express Scripts Holding Company
3/20/2019
Pay
0.750% +1 Month LIBOR
Monthly
10,593
                 818,662
 
                    187,256
 
BAML
Gemalto NV
6/1/2019
Pay
0.350% +1 Month LIBOR
Monthly
43,979
              2,567,054
 
                      (5,235)
 
BAML
Gramercy Property Trust
5/11/2019
Pay
0.750% +1 Month LIBOR
Monthly
63,242
              1,740,038
 
                      (5,837)
 
JPM
Innogy SE
7/11/2019
Pay
0.400% +3 Month LIBOR
Quarterly
55,714
              2,388,700
 
                    100,753
 
BAML
Integrated Device Technology, Inc.
9/11/2019
Pay
0.750% +1 Month LIBOR
Monthly
19,660
                 916,683
 
                        6,927
 
JPM
Liberty Media Corporation- Liberty SiriusXM Class A
12/19/2018
Pay
0.300% +3 Month LIBOR
Quarterly
12,597
                 496,992
 
                      49,712
 
BAML
Linde AG
3/9/2019
Pay
0.350% +1 Month LIBOR
Monthly
4,872
              1,115,943
 
                      35,669
 
JPM
Marriott Vacations Worldwide Corporation
9/4/2019
Pay
0.300% +3 Month LIBOR
Quarterly
3,400
                 360,688
 
                      18,893
 
JPM
Melrose Industries plc
9/27/2019
Pay
0.300% +3 Month LIBOR
Quarterly
488,351
              1,437,647
 
                  (166,622)
 
BAML
NXP Semiconductors NV
10/20/2018
Pay
0.400% +1 Month LIBOR
Monthly
35,457
              4,255,875
 
               (1,226,768)
 
BAML
Rite Aid Corporation
10/20/2018
Pay
0.400% +1 Month LIBOR
Monthly
28,938
                   52,957
 
                    (15,947)
 
BAML
Rockwell Collins, Inc.
12/11/2018
Pay
0.400% +1 Month LIBOR
Monthly
29,511
              3,977,303
 
                    165,766
 
JPM
Shire plc
5/2/2019
Pay
0.300% +3 Month LIBOR
Quarterly
8,294
                 994,949
 
                    168,489
 
BAML
Shire plc
6/29/2019
Pay
0.800% +1 Month LIBOR
Monthly
64,000
              3,678,524
 
                    182,277
 
JPM
Twenty-First Century Fox, Inc. Class B
12/18/2018
Pay
0.300% +3 Month LIBOR
Quarterly
56,820
              2,080,181
 
                    521,180
 
BAML
USG Corporation
9/11/2019
Pay
0.750% +1 Month LIBOR
Monthly
26,672
              1,149,697
 
                        4,727
 
                     
SHORT TOTAL RETURN SWAP CONTRACTS
     
JPM
Alibaba Group Holding Ltd. - ADR
11/1/2018
Receive
(0.600)% +3 Month LIBOR
Quarterly
(57,539)
          (10,824,698)
 
                 1,351,524
 
BAML
Brookfield Property Partners LP
3/28/2019
Pay
(4.500)% +1 Month LIBOR
Monthly
(5,278)
               (100,191)
 
                    (11,023)
 
BAML
Cigna Corporation
3/20/2019
Receive
(0.400)% +1 Month LIBOR
Monthly
(2,578)
               (444,687)
 
                    (92,006)
 
JPM
CVS Health Corporation
9/6/2019
Receive
(0.600)% +3 Month LIBOR
Quarterly
(4,549)
               (356,080)
 
                      (1,899)
 
BAML
Marathon Petroleum Corporation
4/30/2019
Receive
(0.400)% +1 Month LIBOR
Monthly
(24,257)
            (1,833,395)
 
                  (120,482)
 
BAML
Praxair, Inc.
1/25/2019
Receive
(0.400)% +1 Month LIBOR
Monthly
(4,803)
               (747,548)
 
                    (26,101)
 
BAML
Takeda Pharmaceutical Company Ltd.
6/29/2019
Receive
(0.750)% +1 Month LIBOR
Monthly
(59,531)
            (2,501,581)
 
                    (41,881)
 
JPM
Takeda Pharmaceutical Company Ltd.
8/17/2019
Receive
(0.400)% +3 Month LIBOR
Quarterly
(7,718)
               (325,662)
 
                      (4,050)
 
JPM
The Walt Disney Company
1/23/2019
Receive
(0.600)% +3 Month LIBOR
Quarterly
(5,292)
               (572,662)
 
                    (45,798)
 
   
 $              1,430,492
 
ADR
- American Depository Receipt
     
BAML
- Bank of America Merrill Lynch & Co., Inc.
     
JPM
- JPMorgan Chase & Co., Inc.
     
LIBOR
- London Interbank Offered Rate
     
plc
- Public Limited Company
     
REIT
- Real Estate Investment Trust
     
*
 Based on the net swap value held at each counterparty, unrealized appreciation (depreciation) is a receivable (payable).
     
(1)
 Security held is the direct result of a corporate action. There is no associated financing rate and the security is held with a zero cost basis.
     
 

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                                              11/21/2018                                                   


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

Date                                              11/21/2018                                                   

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                                              11/21/2018                                                   
 
By (Signature and Title)* /s/ Roy Behren                                                   
                                              Roy Behren, Co-President and Treasurer

Date                                              11/21/2018                                                   

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