NPORT-EX 2 wcmcenportv6confidential.htm PART F CREDIT EVENT
WCM Alternatives: Credit Event Fund
           
SCHEDULE OF INVESTMENTS
           
September 30, 2019 (Unaudited)
           
             
   
Shares
   
Value
 
LONG INVESTMENTS - 100.17%
           
SPECIAL PURPOSE ACQUISITION COMPANIES - 36.98% (a)
           
Act II Global Acquisition Corporation Class A (b)
   
11,468
   
$
112,960
 
Alberton Acquisition Corporation (b)
   
19,986
     
204,857
 
CF Finance Acquisition Corporation Class A (e)
   
15,440
     
156,330
 
FinTech Acquisition Corporation III Class A
   
15,106
     
152,117
 
Haymaker Acquisition Corporation II
   
8,030
     
82,950
 
Hennessy Capital Acquisition Corporation IV (e)
   
7,720
     
77,586
 
Legacy Acquisition Corporation Class A
   
8,245
     
84,099
 
Mudrick Capital Acquisition Corporation Class A (e)
   
1,950
     
19,978
 
Pivotal Acquisition Corporation
   
7,598
     
77,348
 
Pure Acquisition Corporation
   
16,153
     
165,568
 
Trident Acquisitions Corporation (e)
   
13,565
     
141,076
 
Trinity Merger Corporation Class A
   
7,578
     
79,114
 
Tuscan Holdings Corporation
   
10,713
     
104,987
 
Tuscan Holdings Corporation II
   
15,000
     
150,750
 
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES (Cost $1,529,164)
           
1,609,720
 
                 
CLOSED-END FUNDS - 0.10%
               
Apollo Tactical Income Fund, Inc.
   
23
     
348
 
Ares Dynamic Credit Allocation Fund
   
173
     
2,577
 
BlackRock Debt Strategies Fund, Inc.
   
82
     
882
 
Nuveen Credit Strategies Income Fund
   
58
     
434
 
TOTAL CLOSED-END FUNDS (Cost $4,531)
           
4,241
 
                 
PREFERRED STOCKS - 3.38% (a)
               
Fannie Mae, 8.250%, Series S
   
5,799
     
77,417
 
Freddie Mac, 8.375%, Series Z
   
5,338
     
69,874
 
TOTAL PREFERRED STOCKS (Cost $132,599)
           
147,291
 
                 
WARRANTS - 2.12% (a)
               
Act II Global Acquisition Corporation Class A
               
Expiration: April 2024, Exercise Price: $11.50 (b)
   
5,734
     
5,333
 
CF Finance Acquisition Corporation Class A
               
Expiration: April 2025, Exercise Price: $11.50
   
11,580
     
7,527
 
FinTech Acquisition Corporation III Class A
               
Expiration: December 2023, Exercise Price: $11.50
   
7,553
     
9,214
 
Hennessy Capital Acquisition Corporation IV
               
Expiration: September 2025, Exercise Price: $11.50 (e)
   
5,790
     
4,516
 
Mudrick Capital Acquisition Corporation Class A
               
Expiration: March 2025, Exercise Price: $11.50 (e)
   
1,950
     
1,219
 
Pivotal Acquisition Corporation
               
Expiration: December 2025, Exercise Price: $11.50 (e)
   
32,598
     
42,703
 
Pure Acquisition Corporation
               
Expiration: April 2023, Exercise Price: $11.50
   
7,903
     
8,298
 
Repay Holdings Corporation
               
Expiration: July 2024, Exercise Price: $11.50
   
5,911
     
5,202
 
Tuscan Holdings Corporation
               
Expiration: April 2026, Exercise Price: $11.50
   
10,713
     
8,142
 
TOTAL WARRANTS (Cost $78,293)
           
92,154
 

   
Principal Value
         
BANK LOANS - 11.33% (e)(g)
               
Avaya Holdings Corporation
               
6.278% (1 Month U.S. LIBOR + 4.250%), 12/16/2024
 
$
101,835
     
96,998
 
6.430% (2 Month U.S. LIBOR + 4.250%), 12/16/2024
   
60,751
     
57,865
 
Cengage Learning Holdings II, Inc.
               
6.384% (1 Month U.S. LIBOR + 4.250%), 6/7/2023
   
99,486
     
94,388
 
McGraw-Hill Global Education Holdings LLC
               
6.139% (1 Month U.S. LIBOR + 4.000%), 5/4/2022
   
98,487
     
92,331
 
Refinitiv US Holdings, Inc.
               
5.849% (1 Month U.S. LIBOR + 3.750%), 10/1/2025
   
150,621
     
151,562
 
TOTAL BANK LOANS (Cost $506,081)
           
493,144
 
                 
CONVERTIBLE BONDS - 7.62% (e)
               
Caesars Entertainment Corporation
               
5.000%, 10/1/2024
   
71,000
     
120,756
 
NII Holdings, Inc.
               
4.250%, 8/15/2023 (f)
   
202,000
     
210,741
 
TOTAL CONVERTIBLE BONDS (Cost $315,965)
           
331,497
 
                 
CORPORATE BONDS - 34.99% (e)
               
Acadia Healthcare Company, Inc.
               
5.125%, 7/1/2022 (d)
   
153,000
     
154,721
 
APX Group, Inc.
               
7.875%, 12/1/2022
   
141,000
     
141,353
 
CEC Entertainment, Inc.
               
8.000%, 2/15/2022
   
188,000
     
179,070
 
EIG Investors Corporation
               
10.875%, 2/1/2024
   
182,000
     
190,190
 
Inmarsat Finance plc
               
6.500%, 10/1/2024 (b)(f)
   
23,000
     
24,208
 
Kinetic Concepts, Inc. / KCI USA, Inc.
               
7.875%, 2/15/2021 (f)
   
45,000
     
45,974
 
Nationstar Mortgage LLC / Nationstar Capital Corporation
               
6.500%, 7/1/2021
   
25,000
     
25,130
 
6.500%, 6/1/2022
   
16,000
     
16,030
 
Nielsen Finance LLC / Nielsen Finance Company
               
5.000%, 4/15/2022 (d)(f)
   
203,000
     
204,583
 
SRC Energy, Inc.
               
6.250%, 12/1/2025
   
183,000
     
182,081
 
Univar USA, Inc.
               
6.750%, 7/15/2023 (f)(h)
   
232,000
     
236,930
 
York Risk Services Holding Corporation
               
8.500%, 10/1/2022 (f)
   
120,000
     
122,550
 
TOTAL CORPORATE BONDS (Cost $1,523,820)
           
1,522,820
 
                 
   
Shares
         
SHORT-TERM INVESTMENTS - 3.65%
               
MONEY MARKET FUNDS - 3.65% (c)
               
JPMorgan U.S. Government Money Market Fund, Institutional Share Class, 1.83%
   
158,665
     
158,665
 
TOTAL SHORT-TERM INVESTMENTS
               
(Cost $158,665)
           
158,665
 
TOTAL LONG INVESTMENTS
               
(Cost $4,249,118) - 100.17%
           
4,359,532
 

SHORT INVESTMENTS - (2.00)%
               
COMMON STOCKS - (0.83)%
               
CASINOS & GAMING - (0.83)%
               
Eldorado Resorts, Inc.
   
(902
)
   
(35,963
)
TOTAL COMMON STOCKS
               
(Proceeds $40,595)
           
(35,963
)
CORPORATE BONDS - (1.17)% (e)
               
APX Group, Inc.
   

   

7.625%, 9/1/2023
    (57,000)
      (51,014)
 
TOTAL CORPORATE BONDS
               
(Proceeds $51,385)
           
(51,014
)
                 
TOTAL SHORT INVESTMENTS
               
(Proceeds $91,980) - (2.00)%
           
(86,977
)
TOTAL NET INVESTMENTS
               
(Cost $4,157,138) - 98.17%
           
4,272,555
 
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.83%
           
79,831
 
TOTAL NET ASSETS - 100.00%
         
$
4,352,386
 

LIBOR
 
- London Interbank Offered Rate
     
plc
 
- Public Limited Company
     
(a)
 
Non-income producing security.
     
(b)
 
Foreign Security.
     
(c)
 
The rate quoted is the annualized seven-day yield as of September 30, 2019.
     
(d)
 
All or a portion of the shares have been committed as collateral for open securities sold short and swap contracts.
(e)
 
Level 2 Security. Please see footnote (j) on the Schedule of Investments for more information.
   
(f)
 
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, 2019, these securities represent 19.41% of total net assets.
(g)
 
The coupon rate shown on variable rate securities represents the rate as of September 30, 2019.
   
(h)
 
All or partial amount transferred for the benefit of the counterparty as collateral for reverse repurchase agreements.
(i)
 
As of September 30, 2019, the components of accumulated earnings (losses) for income tax purposes were as follows*:

 
Total Portfolio
 
Tax Cost (1)
$
3,982,382
 
 
     
 
     
Gross unrealized appreciation(2)
 
165,443
 
Gross unrealized depreciation(2)
 
(56,079
)
Net unrealized appreciation
$
109,364
 
 
   
(1) Tax cost represents tax on investments, net of proceeds on open securities sold short and reverse repurchase agreements.
   
(2) Includes investments, open swap contracts and reverse repurchase agreement appreciation and/or depreciation.
   
*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.
           
(j)
 
Investment Valuation
     
   
Equity securities, including common and preferred stocks, closed-end funds and ETFs, that trade on an exchange will typically be valued based 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 securities 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. These securities are classified as Level 1 investments. 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 a 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. Notwithstanding the above, options that trade principally on a European exchange are typically valued at the “settlement price” as reported by the exchange on which the option principally trades. If the settlement price for a European exchange-traded option is unreliable or unavailable, the option will generally be valued at the last reported sale price. When the last sale of an exchange-traded option is outside the bid and asked prices, the Funds 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. On the stipulated expiration date, expiring options will be priced at intrinsic value. 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, including Money Market Funds, 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 Funds. 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.
           
   
Due to the short-term nature of the reverse repurchase agreements, amortized cost approximates fair value at September 30, 2019. These securities are generally classified as Level 2 investments.
           
   
The Funds typically fair value 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 Funds 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 Funds to calculate their 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, 2019. These assets and liabilities are measured on a recurring basis.

                         
Investments at Fair Value
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Assets
                               
Special Purpose Acquisition Companies
 
$
1,214,750
   
$
394,970
   
$
-
   
$
1,609,720
 
Closed-End Funds
   
4,241
     
-
     
-
     
4,241
 
Preferred Stocks
   
147,291
     
-
     
-
     
147,291
 
Warrants
   
43,716
     
48,438
     
-
     
92,154
 
Bank Loans
   
-
     
493,144
     
-
     
493,144
 
Convertible Bonds
   
-
     
331,497
     
-
     
331,497
 
Corporate Bonds
   
-
     
1,522,820
     
-
     
1,522,820
 
Short-Term Investments
   
158,665
     
-
     
-
     
158,665
 
Total
 
$
1,568,663
   
$
2,790,869
   
$
-
   
$
4,359,532
 
                                 
                                 
Liabilities
                               
Short Common Stock*
 
$
(35,963
)
 
$
-
   
$
-
   
$
(35,963
)
Short Corporate Bonds
   
-
     
(51,014
)
   
-
     
(51,014
)
Swap Contracts**
   
-
     
(5,338
)
   
-
     
(5,338
)
Reverse Repurchase Agreements
   
-
     
(174,756
)
   
-
     
(174,756
)
Total
 
$
(35,963
)
 
$
(231,108
)
 
$
-
   
$
(267,071
)

 
* Please refer to the Schedules of Investments to view short common stocks segregated by industry type.
 
** 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. 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, 2019.
         
 
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, doing business as U.S Bank Global Fund Services.

WCM Alternatives: Credit Event Fund
                     
SCHEDULE OF INVESTMENTS
                     
Open Swap Contracts
                     
September 30, 2019 (Unaudited)
                     
                                   
                               
Unrealized
 
Counterparty
 
Security
 
Termination Date
 
Pay/Receive on Financing Rate
 
Financing Rate
 
Payment Frequency
 
Shares
 
Notional Amount
 
Appreciation (Depreciation)*
 
LONG TOTAL RETURN SWAP CONTRACTS
         
JPM
 
Altaba, Inc.
 
9/25/2020
 
Pay
 
0.800% + 3 Month U.S. LIBOR
 
Quarterly
 
6,174
 
$                      120,702
 
$                          (478)
 
JPM
 
Apollo Tactical Income Fund, Inc.
 
12/27/2019
 
Pay
 
0.300% + 3 Month U.S. LIBOR
 
Quarterly
 
546
 
                            7,495
 
                             769
 
JPM
 
BlackRock Debt Strategies Fund, Inc.
 
11/28/2019
 
Pay
 
0.800% + 3 Month U.S. LIBOR
 
Quarterly
 
5,442
 
                          57,895
 
                             535
 
JPM
 
BlackRock Floating Rate Income Strategies Fund, Inc.
 
11/28/2019
 
Pay
 
0.473% + 3 Month U.S. LIBOR
 
Quarterly
 
4,417
 
                          55,414
 
                             283
 
JPM
 
Colony Capital, Inc., 8.750%, Series E
 
4/30/2020
 
Pay
 
0.753% + 3 Month U.S. LIBOR
 
Quarterly
 
8,113
 
                        203,481
 
                          1,451
 
JPM
 
Eaton Vance Floating-Rate Income Trust
 
11/28/2019
 
Pay
 
0.800% + 3 Month U.S. LIBOR
 
Quarterly
 
4,124
 
                          55,764
 
                         (1,313)
 
JPM
 
Eaton Vance Senior Floating-Rate Income Trust
 
8/30/2020
 
Pay
 
1.000% + 3 Month U.S. LIBOR
 
Quarterly
 
2,841
 
                          36,649
 
                             350
 
JPM
 
First Trust Senior Floating Rate Income Fund II
 
3/18/2020
 
Pay
 
0.800% + 3 Month U.S. LIBOR
 
Quarterly
 
5,272
 
                          63,106
 
                               81
 
JPM
 
Invesco Dynamic Credit Opportunities Fund
 
12/27/2019
 
Pay
 
0.802% + 3 Month U.S. LIBOR
 
Quarterly
 
8,430
 
                          91,911
 
                             795
 
JPM
 
Invesco Municipal Opportunity Trust
 
3/13/2020
 
Pay
 
0.300% + 3 Month U.S. LIBOR
 
Quarterly
 
1,733
 
                          20,731
 
                             917
 
JPM
 
Invesco Senior Income Trust
 
3/18/2020
 
Pay
 
1.000% + 3 Month U.S. LIBOR
 
Quarterly
 
27,652
 
                        115,947
 
                               40
 
JPM
 
Invesco Value Municipal Income Trust
 
3/13/2020
 
Pay
 
0.300% + 3 Month U.S. LIBOR
 
Quarterly
 
1,442
 
                          21,145
 
                             972
 
JPM
 
Nuveen AMT-Free Municipal Credit Income Fund
 
11/28/2019
 
Pay
 
0.300% + 3 Month U.S. LIBOR
 
Quarterly
 
1,413
 
                          19,230
 
                          4,390
 
JPM
 
Nuveen AMT-Free Quality Municipal Income Fund
 
11/28/2019
 
Pay
 
0.300% + 3 Month U.S. LIBOR
 
Quarterly
 
1,566
 
                          19,245
 
                          3,145
 
JPM
 
Nuveen California Quality Municipal Income Fund
 
11/28/2019
 
Pay
 
0.300% + 3 Month U.S. LIBOR
 
Quarterly
 
1,536
 
                          19,246
 
                          3,759
 
JPM
 
Nuveen Credit Strategies Income Fund
 
11/28/2019
 
Pay
 
0.800% + 3 Month U.S. LIBOR
 
Quarterly
 
8,620
 
                          66,627
 
                         (2,230)
 
JPM
 
Nuveen Preferred and Income 2022 Term Fund
 
11/29/2019
 
Pay
 
0.300% + 3 Month U.S. LIBOR
 
Quarterly
 
894
 
                          19,274
 
                          2,448
 
JPM
 
SLM Corporation, 4.311%, Series B
 
2/8/2020
 
Pay
 
1.100% + 3 Month U.S. LIBOR
 
Quarterly
 
2,007
 
                        133,465
 
                       (20,691)
 
JPM
 
Voya Prime Rate Trust
 
3/18/2020
 
Pay
 
1.000% + 3 Month U.S. LIBOR
 
Quarterly
 
24,016
 
                        113,619
 
                            (652)
 
                                   
SHORT TOTAL RETURN SWAP CONTRACTS
         
JPM
 
Alibaba Group Holding Ltd. - ADR
 
5/8/2020
 
Receive
 
(0.600)% + 3 Month U.S. LIBOR
 
Quarterly
 
(7)
 
                          (1,260)
 
                               91
 
                     
  $   
 (5,338)  

ADR
- American Depository Receipt
                             
JPM
- JPMorgan Chase & Co., Inc.
       
LIBOR
- London Interbank Offered Rate
                             
*
Based on the net swap value held at each counterparty, unrealized appreciation (depreciation) is a receivable (payable).
       

WCM Alternatives: Credit Event Fund
                   
SCHEDULE OF INVESTMENTS
                   
Reverse Repurchase Agreements
                   
September 30, 2019 (Unaudited)
                   
                         
Counterparty
 
Rate
 
Trade Date
 
Maturity Date
 
Principal
   
Principal & Interest
 
 JPM
   
2.907%

9/6/2019
 
10/4/2019
 
$
(174,756
)
 
$
(175,471
)
                     
$
(174,756
)
 
$
(175,471
)
                               
JPM - JPMorgan Chase & Co., Inc.
                       

The weighted average daily balance of reverse repurchase agreements during the nine months ended September 30, 2019 was $326,084, at a weighted average interest rate of 3.19%. Total market value of underlying collateral (refer to the Schedule of Investments for positions transferred for the benefit of the counterparty as collateral) for open reverse repurchase agreements at September 30, 2019 was $233,866.
                   
Securities Accounted for as Secured Borrowings
               
 
Remaining Contractual Maturity of the Agreements
 
Overnight and Continuous
 
Up to 30 Days
 
31-90 Days
 
Greater than 90 Days
 
Total
Reverse Repurchase Agreements
                 
Corporate Bonds
 $                                                   -
 
 $                                       (174,756)
 
 $                                                   -
 
 $                                                   -
 
 $                                       (174,756)
Total Borrowings
 $                                                   -
 
 $                                       (174,756)
 
 $                                                   -
 
 $                                                   -
 
 $                                       (174,756)
Gross amount of recognized liabilities for reverse repurchase agreements
             
 $                                       (174,756)