NPORT-EX 2 wcmeventnportv3confidential.htm PART F EVENT DRIVEN
WCM Alternatives: Event-Driven Fund
              
SCHEDULE OF INVESTMENTS
              
September 30, 2019 (Unaudited)
              
               
   
Shares




Value
  
LONG INVESTMENTS - 102.06%
                  
COMMON STOCKS - 47.31%
                  
AEROSPACE & DEFENSE - 2.10%
                  
United Technologies Corporation (k)
    
30,500
          
$
4,163,860
  
ALTERNATIVE CARRIERS - 0.09%
                      
Zayo Group Holdings, Inc. (a)
    
5,520
            
187,128
  
ASSET MANAGEMENT & CUSTODY BANKS - 3.97%
                      
Apollo Global Management, Inc. (k)
    
72,403
            
2,738,281
  
Brookfield Asset Management, Inc. Class A (b)(e)
    
96,484
            
5,122,335
  
                   
7,860,616
  
BIOTECHNOLOGY - 5.12%
                      
Alder Biopharmaceuticals, Inc. (a)
    
63,174
            
1,191,462
  
Celgene Corporation (a)(e)
    
90,123
            
8,949,214
  
                   
10,140,676
  
BROADCASTING - 0.94%
                      
Fox Corporation Class A
    
58,683
            
1,850,568
  
BUILDING PRODUCTS - 1.04%
                      
Masco Corporation (e)(k)
    
49,300
            
2,054,824
  
CASINOS & GAMING - 3.61%
                      
Caesars Entertainment Corporation (a)(e)
    
442,038
            
5,154,163
  
MGM Resorts International (k)
    
71,900
            
1,993,068
  
                   
7,147,231
  
COMMODITY CHEMICALS - 0.64%
                      
Dow, Inc. (e)(k)
    
26,551
            
1,265,155
  
CONSTRUCTION MACHINERY & HEAVY TRUCKS - 1.45%
                      
WABCO Holdings, Inc. (e)
    
21,444
            
2,868,135
  
ENVIRONMENTAL & FACILITIES SERVICES - 0.78%
                      
Advanced Disposal Services, Inc. (a)
    
47,308
            
1,540,822
  
FERTILIZERS & AGRICULTURAL CHEMICALS - 0.38%
                      
Corteva, Inc. (e)(k)
    
26,551
            
743,428
  
HEALTH CARE TECHNOLOGY - 0.40%
                      
Medidata Solutions, Inc. (a)
    
8,730
            
798,795
  
HOTELS, RESORTS & CRUISE LINES - 1.53%
                      
Hilton Grand Vacations, Inc. (a)(e)(k)
    
94,748
            
3,031,936
  
INDUSTRIAL MACHINERY - 1.60%
                      
Milacron Holdings Corporation (a)(e)
    
189,336
            
3,156,231
  
INTEGRATED OIL & GAS - 0.02%
                      
Occidental Petroleum Corporation (k)
    
929
            
41,313
  
INTERACTIVE MEDIA & SERVICES - 1.93%
                      
IAC / InterActiveCorp (a)(e)(k)
    
17,487
            
3,811,641
  
INTERNET & DIRECT MARKETING RETAIL - 0.00%
                      
Reebonz Holdings Ltd. (a)(b)
    
597
            
609
  
LIFE & HEALTH INSURANCE - 0.03%
                      
Genworth Financial, Inc. Class A (a)
    
15,670
            
68,948
  
MANAGED HEALTH CARE - 1.89%
                      
WellCare Health Plans, Inc. (a)(e)
    
14,400
            
3,732,048
  
MOVIES & ENTERTAINMENT - 3.10%
                      
The Madison Square Garden Company Class A (a)(k)
    
14,400
            
3,794,688
  
Viacom, Inc. Class B (e)
    
97,337
            
2,339,008
  
                   
6,133,696
  
OIL & GAS EXPLORATION & PRODUCTION - 0.04%
                      
EnCana Corporation (b)
    
17,005
            
78,223
  
OIL & GAS STORAGE & TRANSPORTATION - 1.85%
                      
Buckeye Partners LP (e)
    
60,498
            
2,485,863
  
Columbia Pipeline Group, Inc. (a)(d)(g)(i)
    
38,718
            
1,169,283
  
                   
3,655,146
  
PHARMACEUTICALS - 4.36%
                      
Allergan plc (b)(e)
    
51,207
            
8,617,626
  
RAILROADS - 0.83%
                      
Genesee & Wyoming, Inc. Class A (a)(e)
    
14,935
            
1,650,467
  
REGIONAL BANKS - 4.02%
                      
SunTrust Banks, Inc. (e)
    
115,750
            
7,963,600
  
SEMICONDUCTOR EQUIPMENT - 0.96%
                      
Versum Materials, Inc. (e)
    
35,980
            
1,904,421
  
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.56%
                      
Cypress Semiconductor Corporation
    
47,640
            
1,111,918
  
SPECIALTY CHEMICALS - 3.07%
                      
Axalta Coating Systems Ltd. (a)(b)(k)
    
138,455
            
4,174,418
  
DuPont de Nemours, Inc. (e)(k)
    
26,553
            
1,893,495
  
                   
6,067,913
  
SPECIALTY RETAIL - 0.01%
                      
Kaixin Auto Holdings (a)(b)
    
9,742
            
17,634
  
WIRELESS TELECOMMUNICATION SERVICES - 0.99%
                      
Sprint Corporation (a)(e)
    
316,180
            
1,950,831
  
TOTAL COMMON STOCKS (Cost $95,593,762)
                  
93,615,439
  
                       
SPECIAL PURPOSE ACQUISITION COMPANIES - 12.59% (a)
                      
Act II Global Acquisition Corporation Class A (b)
    
90,858
            
894,951
  
Akazoo SA (b)
    
7,150
            
45,260
  
Alberton Acquisition Corporation (b)
    
242,664
            
2,487,306
  
Apex Technology Acquisition Corporation
    
58,965
            
600,853
  
Big Rock Partners Acquisition Corporation
    
45,950
            
486,151
  
CF Finance Acquisition Corporation Class A (f)
    
108,500
            
1,098,563
  
ChaSerg Technology Acquisition Corporation Class A (f)
    
22,830
            
231,040
  
Collier Creek Holdings Class A (b)
    
42,300
            
431,037
  
FinTech Acquisition Corporation III Class A
    
168,874
            
1,700,561
  
GigCapital, Inc. (f)
    
122,996
            
1,282,233
  
GigCapital2, Inc.
    
37,777
            
389,103
  
Gordon Pointe Acquisition Corporation
    
4,482
            
46,927
  
Graf Industrial Corporation (e)(f)
    
197,624
            
1,985,133
  
Hennessy Capital Acquisition Corporation IV Class A (f)
    
167,612
            
1,684,501
  
Legacy Acquisition Corporation Class A
    
144,392
            
1,472,798
  
Monocle Acquisition Corporation (f)
    
15,759
            
157,590
  
Mudrick Capital Acquisition Corporation Class A (f)
    
19,411
            
198,866
  
Pivotal Investment Corporation II
    
97,373
            
991,257
  
Pure Acquisition Corporation
    
57,469
            
589,057
  
Regalwood Global Energy Ltd. Class A (b)
    
97,770
            
1,008,986
  
Trident Acquisitions Corporation (f)
    
187,445
            
1,949,428
  
Trinity Merger Corporation Class A
    
171,957
            
1,795,231
  
Tuscan Holdings Corporation (e)
    
168,926
            
1,655,475
  
Tuscan Holdings Corporation II
    
146,060
            
1,467,903
  
VectoIQ Acquisition Corporation (f)
    
25,000
            
255,500
  
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES (Cost $23,685,157)
                  
24,905,710
  
                       
CLOSED-END FUNDS - 3.78%
                      
Altaba, Inc.
    
89,173
            
1,737,090
  
Apollo Senior Floating Rate Fund, Inc.
    
22,543
            
334,313
  
Apollo Tactical Income Fund, Inc.
    
21,782
            
329,997
  
Ares Dynamic Credit Allocation Fund
    
4,683
            
69,777
  
BlackRock Debt Strategies Fund, Inc. (a)(e)
    
71,056
            
763,852
  
BlackRock Floating Rate Income Strategies Fund, Inc. (a)
    
19,222
            
242,582
  
Eaton Vance Floating-Rate Income Trust
    
57,056
            
754,280
  
First Trust Senior Floating Rate Income Fund II
    
22,317
            
267,804
  
Invesco Dynamic Credit Opportunities Fund
    
53,124
            
584,895
  
Invesco Senior Income Trust
    
173,546
            
728,893
  
Nuveen Credit Strategies Income Fund
    
1,574
            
11,774
  
Voya Prime Rate Trust
    
147,638
            
695,375
  
Western Asset High Income Opportunity Fund, Inc. (e)
    
191,266
            
965,893
  
TOTAL CLOSED-END FUNDS (Cost $7,566,315)
                  
7,486,525
  
                       
PREFERRED STOCKS - 3.73%
                      
Colony Capital, Inc., 8.750%, Series E (e)
    
56,929
            
1,439,735
  
Fannie Mae, 8.250%, Series S (a)(e)
    
281,114
            
3,752,872
  
Freddie Mac, 8.375%, Series Z (a)
    
160,436
            
2,100,107
  
Pebblebrook Hotel Trust, 6.375%, Series E
    
3,515
            
88,402
  
TOTAL PREFERRED STOCKS (Cost $6,853,970)
                  
7,381,116
  
                       
CONTINGENT VALUE RIGHTS - 0.00% (a)(e)(g)
                      
Media General, Inc.
    
42,852
            
2,143
  
TOTAL CONTINGENT VALUE RIGHTS (Cost $0)
                  
2,143
  
                       
WARRANTS - 0.34% (a)
                      
Act II Global Acquisition Corporation Class A
                      
Expiration: April 2024, Exercise Price: $11.50 (b)
    
45,429
            
42,249
  
Akazoo SA
                      
Expiration: December 2024, Exercise Price: $11.50 (b)
    
35,748
            
27,526
  
CF Finance Acquisition Corporation Class A
                      
Expiration: April 2025, Exercise Price: $11.50
    
81,375
            
52,894
  
ChaSerg Technology Acquisition Corporation Class A
                      
Expiration: September 2023, Exercise Price: $11.50 (f)
    
11,415
            
11,415
  
Collier Creek Holdings Class A
                      
Expiration: November 2023, Exercise Price: $11.50 (b)(f)
    
14,100
            
19,740
  
FinTech Acquisition Corporation III Class A
                      
Expiration: December 2023, Exercise Price: $11.50
    
84,437
            
103,013
  
Graf Industrial Corporation
                      
Expiration: December 2025, Exercise Price: $11.50
    
197,624
            
77,073
  
Hennessy Capital Acquisition Corporation IV Class A
                      
Expiration: September 2025, Exercise Price: $11.50 (f)
    
125,709
            
98,053
  
Kaixin Auto Holdings
                      
Expiration: April 2024, Exercise Price: $11.50 (b)(f)
    
48,712
            
2,277
  
Legacy Acquisition Corporation Class A
                      
Expiration: November 2022, Exercise Price: $11.50
    
144,392
            
50,537
  
Monocle Acquisition Corporation
                      
Expiration: June 2024, Exercise Price: $11.50 (f)
    
15,759
            
7,249
  
Mudrick Capital Acquisition Corporation Class A
                      
Expiration: March 2025, Exercise Price: $11.50 (f)
    
19,411
            
12,132
  
Pivotal Acquisition Corporation Class A
                      
Expiration: December 2025, Exercise Price: $11.50 (f)
    
10,000
            
13,100
  
Pure Acquisition Corporation
                      
Expiration: April 2023, Exercise Price: $11.50
    
22,218
            
23,329
  
Reebonz Holdings Ltd.
                      
Expiration: December 2023, Exercise Price: $11.50 (b)(f)
    
23,859
            
167
  
Tuscan Holdings Corporation
                      
Expiration: April 2026, Exercise Price: $11.50 (e)
    
168,926
            
128,384
  
TOTAL WARRANTS (Cost $573,019)
                  
669,138
  
                       
   
Principal Amount
                
BANK LOANS - 3.19% (f)(j)
                      
Avaya Holdings Corporation
                      
6.278% (1 Month U.S. LIBOR + 4.250%), 12/15/2024
  
$
596,557
            
568,220
  
6.430% (2 Month U.S. LIBOR + 4.250%), 12/15/2024
    
355,883
            
338,979
  
Cengage Learning Holdings II, Inc.
                      
6.384% (1 Month U.S. LIBOR + 4.250%), 6/7/2023
    
1,364,946
            
1,294,993
  
McGraw-Hill Global Education Holdings LLC
                      
6.139% (1 Month U.S. LIBOR + 4.000%), 5/4/2022
    
1,362,897
            
1,277,715
  
Refinitiv US Holdings, Inc.
                      
5.849% (1 Month U.S. LIBOR + 3.750%), 10/1/2025
    
2,806,431
            
2,823,971
  
TOTAL BANK LOANS (Cost $6,448,429)
                  
6,303,878
  
                       
CONVERTIBLE BONDS - 1.25% (f)
                      
Caesars Entertainment Corporation
                      
5.000%, 10/1/2024
    
251,397
            
427,574
  
NII Holdings, Inc.
                      
4.250%, 8/15/2023 (h)
    
1,960,000
            
2,044,809
  
TOTAL CONVERTIBLE BONDS (Cost $2,190,540)
                  
2,472,383
  
                       
CORPORATE BONDS - 11.80% (f)
                      
APX Group, Inc.
                      
7.875%, 12/1/2022
    
2,416,000
            
2,422,040
  
Arconic, Inc.
                      
5.400%, 4/15/2021
    
795,000
            
822,733
  
CEC Entertainment, Inc.
                      
8.000%, 2/15/2022
    
3,440,000
            
3,276,600
  
EIG Investors Corporation
                      
10.875%, 2/1/2024 (e)
    
2,068,000
            
2,161,060
  
Inmarsat Finance plc
                      
6.500%, 10/1/2024 (b)(e)(h)
    
1,379,000
            
1,451,397
  
Kinetic Concepts, Inc. / KCI USA, Inc.
                      
12.500%, 11/1/2021 (h)
    
3,286,000
            
3,499,590
  
MEG Energy Corporation
                      
6.500%, 1/15/2025 (b)(h)
    
1,246,000
            
1,275,593
  
Nielsen Finance LLC / Nielsen Finance Company
                      
5.000%, 4/15/2022 (e)(h)
    
4,022,000
            
4,053,372
  
Sinclair Television Group, Inc.
                      
6.125%, 10/1/2022 (e)
    
1,600,000
            
1,634,928
  
T-Mobile USA, Inc.
                      
6.500%, 1/15/2024
    
217,000
            
225,639
  
Univar USA, Inc.
                      
6.750%, 7/15/2023 (h)
    
1,435,000
            
1,465,494
  
Vistra Energy Corporation
                      
5.875%, 6/1/2023
    
601,000
            
616,175
  
Zayo Group LLC / Zayo Capital, Inc.
                      
5.750%, 1/15/2027 (h)
    
440,000
            
450,912
  
TOTAL CORPORATE BONDS (Cost $23,640,002)
                  
23,355,533
  
                       
   
Contracts (100
shares per contract)

Notional
Amount
          
PURCHASED PUT OPTIONS - 0.29% (a)
                      
Alder Biopharmaceuticals, Inc.
                      
Expiration: January 2020, Exercise Price: $17.50
    
632
    
$
1,191,952
      
9,480
  
Apollo Global Management, Inc.
                        
Expiration: October 2019, Exercise Price: $37.00
    
410
      
1,550,620
      
28,700
  
Axalta Coating Systems Ltd.
                        
Expiration: October 2019, Exercise Price: $25.00
    
330
      
994,950
      
1,650
  
Expiration: October 2019, Exercise Price: $26.00
    
745
      
2,246,175
      
5,587
  
Bayer AG
                        
Expiration: October 2019, Exercise Price: EUR 54.00 (b)(f)
    
755
      
4,884,095
      
3,292
  
The Blackstone Group LP
                        
Expiration: December 2019, Exercise Price: $48.00
    
488
      
2,383,392
      
119,560
  
CBS Corporation Class B
                        
Expiration: October 2019, Exercise Price: $37.50
    
307
      
1,239,359
      
7,368
  
Expiration: December 2019, Exercise Price: $32.50
    
717
      
2,894,529
      
22,227
  
Expiration: December 2019, Exercise Price: $35.00
    
5
      
20,185
      
320
  
Expiration: December 2019, Exercise Price: $40.00
    
203
      
819,511
      
40,600
  
Centene Corporation
                        
Expiration: December 2019, Exercise Price: $40.00
    
55
      
237,930
      
8,525
  
Corteva, Inc.
                        
Expiration: December 2019, Exercise Price: $24.00
    
145
      
406,000
      
7,250
  
Dow, Inc.
                        
Expiration: October 2019, Exercise Price: $40.00
    
288
      
1,372,320
      
2,880
  
DuPont de Nemours, Inc.
                        
Expiration: December 2019, Exercise Price: $60.00
    
288
      
2,053,728
      
24,768
  
FTSE 100 Index
                        
Expiration: October 2019, Exercise Price: GBP 7,200.00 (b)(f)(m)
    
2
      
182,258
      
566
  
Hilton Grand Vacations, Inc.
                        
Expiration: October 2019, Exercise Price: $31.00
    
342
      
1,094,400
      
27,360
  
Expiration: November 2019, Exercise Price: $30.00
    
90
      
288,000
      
9,810
  
Expiration: December 2019, Exercise Price: $30.00
    
389
      
1,244,800
      
54,460
  
IAC / InterActiveCorp
                        
Expiration: October 2019, Exercise Price: $195.00
    
18
      
392,346
      
1,665
  
Expiration: October 2019, Exercise Price: $200.00
    
58
      
1,264,226
      
8,410
  
Expiration: October 2019, Exercise Price: $210.00
    
91
      
1,983,527
      
29,120
  
The Madison Square Garden Company Class A
                        
Expiration: November 2019, Exercise Price: $220.00
    
110
      
2,898,720
      
4,675
  
Expiration: November 2019, Exercise Price: $240.00
    
34
      
895,968
      
6,205
  
Masco Corporation
                        
Expiration: October 2019, Exercise Price: $31.00
    
372
      
1,550,496
      
930
  
Expiration: October 2019, Exercise Price: $34.00
    
718
      
2,992,624
      
3,590
  
Expiration: October 2019, Exercise Price: $35.00
    
361
      
1,504,648
      
1,805
  
MGM Resorts International
                        
Expiration: December 2019, Exercise Price: $23.00
    
719
      
1,993,068
      
24,086
  
Mylan NV
                        
Expiration: October 2019, Exercise Price: $15.00
    
896
      
1,772,288
      
4,928
  
Expiration: October 2019, Exercise Price: $17.50
    
1,109
      
2,193,602
      
22,180
  
SPDR S&P 500 ETF Trust
                        
Expiration: October 2019, Exercise Price: $293.00
    
40
      
1,187,080
      
9,080
  
Expiration: October 2019, Exercise Price: $300.00
    
71
      
2,107,067
      
31,950
  
United Technologies Corporation
                        
Expiration: October 2019, Exercise Price: $105.00
    
153
      
2,088,756
      
1,224
  
Expiration: October 2019, Exercise Price: $110.00
    
152
      
2,075,104
      
1,216
  
Expiration: November 2019, Exercise Price: $125.00
    
247
      
3,372,044
      
37,544
  
VanEck Vectors Semiconductor ETF
                        
Expiration: November 2019, Exercise Price: $107.00
    
64
      
762,432
      
7,744
  
Expiration: November 2019, Exercise Price: $115.00
    
38
      
452,694
      
11,058
  
TOTAL PURCHASED PUT OPTIONS (Cost $847,228)
                    
581,813
  
                         
   
Principal Amount
                  
ESCROW NOTES - 0.01% (a)(d)(g)
                        
AMR Corporation
  
$
28,850
              
6,636
  
Winthrop Realty Trust (e)
    
26,484
              
15,890
  
TOTAL ESCROW NOTES (Cost $75,779)
                    
22,526
  
                         
   
Shares
                  
SHORT-TERM INVESTMENTS - 17.77%
                        
MONEY MARKET FUNDS - 7.24% (c)
                        
The Government & Agency Portfolio, Institutional Share Class, 1.81%
    
4,635,149
              
4,635,149
  
JPMorgan U.S. Government Money Market Fund, Institutional Share Class, 1.83%
    
9,692,000
              
9,692,000
  
                     
14,327,149
  
   
Principal Amount
                  
U.S. TREASURY BILLS - 10.53% (e)(f)(l)
                        
United States Treasury Bills
                        
2.35%, 10/24/2019
  
$
315,000
              
314,641
  
2.33%, 11/7/2019
    
15,000
              
14,974
  
2.29%, 11/21/2019
    
3,760,000
              
3,750,452
  
2.23%, 11/29/2019
    
820,000
              
817,584
  
2.09%, 12/5/2019
    
1,345,000
              
1,340,686
  
2.10%, 12/12/2019
    
275,000
              
274,023
  
1.95%, 12/19/2019
    
1,710,000
              
1,703,504
  
2.00%, 1/23/2020
    
1,280,000
              
1,272,747
  
1.91%, 1/30/2020
    
990,000
              
984,091
  
1.86%, 2/6/2020
    
1,265,000
              
1,256,964
  
1.78%, 2/13/2020
    
1,355,000
              
1,345,994
  
1.80%, 2/20/2020
    
940,000
              
933,382
  
1.78%, 2/27/2020
    
3,085,000
              
3,062,302
  
1.78%, 3/12/2020
    
1,490,000
              
1,477,951
  
1.82%, 3/19/2020
    
1,244,000
              
1,233,513
  
1.73%, 3/26/2020
    
1,060,000
              
1,050,775
  
                     
20,833,583
  
TOTAL SHORT-TERM INVESTMENTS (Cost $35,154,985)
                    
35,160,732
  
TOTAL LONG INVESTMENTS (Cost $202,629,186) - 102.06%
                    
201,956,936
  
                         
   
Shares
                  
SHORT INVESTMENTS - (14.71)%
                        
COMMON STOCKS - (14.21)%
                        
AIRLINES - (0.00)%
                        
American Airlines Group, Inc.
    
(194
)
            
(5,232
)
ASSET MANAGEMENT & CUSTODY BANKS - (2.42)%
                        
Brookfield Asset Management, Inc. Class A (b)
    
(90,303
)
            
(4,794,186
)
BROADCASTING - (0.28)%
                        
CBS Corporation Class B
    
(6,886
)
            
(277,988
)
Discovery, Inc. Class A
    
(10,767
)
            
(286,725
)
                     
(564,713
)
CABLE & SATELLITE - (0.37)%
                        
Sirius XM Holdings, Inc.
    
(117,749
)
            
(736,520
)
CASINOS & GAMING - (0.88)%
                        
Eldorado Resorts, Inc.
    
(43,633
)
            
(1,739,648
)
INDUSTRIAL MACHINERY - (0.48)%
                        
Hillenbrand, Inc.
    
(30,561
)
            
(943,724
)
INTERNET & DIRECT MARKETING RETAIL - (0.07)%
                        
Alibaba Group Holding Ltd. - ADR
    
(796
)
            
(133,115
)
MANAGED HEALTH CARE - (0.94)%
                        
Centene Corporation
    
(43,167
)
            
(1,867,404
)
PHARMACEUTICALS - (4.01)%
                        
AbbVie, Inc.
    
(44,355
)
            
(3,358,561
)
Bristol-Myers Squibb Company
    
(90,123
)
            
(4,570,137
)
                     
(7,928,698
)
REGIONAL BANKS - (4.05)%
                        
BB&T Corporation
    
(150,073
)
            
(8,009,396
)
REITs - (0.25)%
                        
Brookfield Property Partners LP (b)
    
(24,527
)
            
(497,898
)
WIRELESS TELECOMMUNICATION SERVICES - (0.46)%
                        
T-Mobile USA, Inc.
    
(11,477
)
            
(904,043
)
TOTAL COMMON STOCKS
                        
  (Proceeds $26,819,475)
                    
(28,124,577
)
   
Principal Amount
                  
CORPORATE BONDS - (0.45)% (f)
                        
APX Group, Inc.
                        
7.625%, 9/1/2023
  
$
(991,000
)
            
(886,945
)
TOTAL CORPORATE BONDS
                        
  (Proceeds $893,386)
                    
(886,945
)
   
Shares
                  
PRIVATE PLACEMENTS - (0.05)% (g)
                        
Celgene Corporation
    
(44,896
)
            
(89,231
)
TOTAL PRIVATE PLACEMENTS
                        
  (Proceeds $93,995)
                    
(89,231
)
TOTAL SHORT INVESTMENTS
                        
  (Proceeds $27,806,856) - (14.71)%
                    
(29,100,753
)
TOTAL NET INVESTMENTS
                        
  (Cost $174,822,330) - 87.35%
                    
172,856,183
  
OTHER ASSETS IN EXCESS OF LIABILITIES - 12.65%
                    
25,024,792
  
TOTAL NET ASSETS - 100.00%
                  
$
197,880,975
  
ADR
  
- American Depository Receipt
ETF
  
- Exchange-Traded Fund
EUR
  
- Euro
          
GBP
  
- British Pound
          
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, 2019.
(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 (o) on the Schedule of Investments for more information.
(g)
  
Level 3 Security. Please see footnote (o) 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, 2019, these securities represent 7.20% 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, 2019, this common stock had a cost of $983,662 and its market value represented 0.59% of total net assets. The Fund’s adviser perfected its appraisal rights over this security as of 6/20/2016. Please see footnote (o) on the Schedule of Investments for more information.
(j)
  
The coupon rate shown on variable rate securities represents the rate as of September 30, 2019.
(k)
  
This security is held in connection with a written option contract.
(l)
  
The rate shown represents yield to maturity.
(m)
  
This security has 10 shares per contract.
(n)
  
As of September 30, 2019, the components of accumulated earnings (losses) for income tax purposes were as follows*:

 
Total Portfolio
  
Tax Cost (1)
$
171,088,857
  
       
       
Gross unrealized appreciation(2)
  
10,114,080
  
Gross unrealized depreciation(2)
  
(11,017,226
)
Net unrealized depreciation
$
(903,146
)

 
(1) Tax cost represents tax on investments, net of premiums on written options.
 
(2) Includes investments, open written options, forward currency contacts and open swap contracts 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.

(o)
  
Investment Valuation
   
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 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 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. 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 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 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
                        
Common Stocks*
  
$
92,446,156
    
$
-
    
$
1,169,283
    
$
93,615,439
  
Special Purpose Acquisition Companies
    
16,062,856
      
8,842,854
      
-
      
24,905,710
  
Closed-End Funds
    
7,486,525
      
-
      
-
      
7,486,525
  
Preferred Stocks
    
7,381,116
      
-
      
-
      
7,381,116
  
Contingent Value Rights
    
-
      
-
      
2,143
      
2,143
  
Warrants
    
505,005
      
164,133
      
-
      
669,138
  
Bank Loans
    
-
      
6,303,878
      
-
      
6,303,878
  
Convertible Bonds
    
-
      
2,472,383
      
-
      
2,472,383
  
Corporate Bonds
    
-
      
23,355,533
      
-
      
23,355,533
  
Purchased Option Contracts
    
577,955
      
3,858
      
-
      
581,813
  
Escrow Notes
    
-
      
-
      
22,526
      
22,526
  
Short-Term Investments
    
14,327,149
      
20,833,583
      
-
      
35,160,732
  
Forward Currency Exchange Contracts**
    
-
      
347,154
      
-
      
347,154
  
Swap Contracts**
    
-
      
532,521
      
-
      
532,521
  
Total
  
$
138,786,762
    
$
62,855,897
    
$
1,193,952
    
$
202,836,611
  
                                 
Liabilities
                                
Short Common Stocks*
  
$
(28,124,577
)
  
$
-
    
$
-
    
$
(28,124,577
)
Short Corporate Bonds
    
-
      
(886,945
)
    
-
      
(886,945
)
Private Placements
    
-
      
-
      
(89,231
)
    
(89,231
)
Written Option Contracts
    
(2,973,553
)
    
(34,562
)
    
-
      
(3,008,115
)
Swap Contracts**
    
-
      
(542,032
)
    
-
      
(542,032
)
Total
  
$
(31,098,130
)
  
$
(1,463,539
)
  
$
(89,231
)
  
$
(32,650,900
)
                                 
* 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 using broker quotes or such other pricing sources or data as are permitted by the Fund’s pricing procedures. At September 30, 2019, the net value of these securities was $1,104,721. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs as described in footnote (o). The appropriateness of fair values for these securities is monitored by the Valuation Group on an ongoing basis.
               
   
There were no transfers into or out of Level 3 for the nine months ended September 30, 2019.
   
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 Stocks

Contingent Value Rights

Escrow Notes

Private Placements

Total Investment
  
Balance as of December 31, 2018
  
$
1,016,674
    
$
1,286
    
$
60,608
    
$
-
    
$
1,078,568
  
Purchases on Investments*
    
-
      
-
      
-
      
(93,995
)
    
(93,995
)
(Sales) of Investments
    
-
      
-
      
-
      
-
      
-
  
Realized (Gain) Loss
    
-
      
-
      
-
      
-
      
-
  
Transfers Into Level 3
    
-
      
-
      
-
      
-
      
-
  
(Transfer Out) of Level 3
    
-
      
-
      
-
      
-
      
-
  
Change in Unrealized Appreciation (Depreciation)
     152,609
      857
      (38,082
)**
   
4,764
       120,148
 
Balance as of September 30, 2019
  
$
1,169,283
    
$
2,143
    
$
22,526
    
$
(89,231
)
  
$
1,104,721
  
                                         
Change in unrealized appreciation (depreciation)
    during the period for Level 3 investments held at
    September 30, 2019.
  
$
152,609
    
$
857
    
$
(19,429

)**
  
$
4,764
    
$
138,801
  
                                         
* Includes receipts from corporate actions.
                                        
** The difference in unrealized depreciation values is due to a change in the cost basis from a corporate action.
          

   
The realized and unrealized gains and losses from Level 3 transactions are included with the net realized gain (loss) on investments and net change in unrealized appreciation (depreciation) on investments on the Statement of Operations, respectively. The net change in unrealized appreciation on investments related to Level 3 securities held by the Fund at September 30, 2019 totals $120,148.
               
   
Significant unobservable valuation inputs monitored by the Valuation Group under the supervision of the Board of Trustees for restricted securities or material Level 3 investments as of September 30, 2019 are as follows:

              
Description
Fair Value at September 30, 2019
Valuation Technique
Unobservable Input
Common Stock
  
$
1,169,283
  
 Discounted Cash
Flow Model
  Discount Rates/Terminal Value/Cash Flow
Projection
                

   
The table above does not include certain Level 3 investments that are valued by brokers. At September 30, 2019, the net value of these securities was $(64,562). The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in footnote (o).
               
   
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 Fund Services.
WCM Alternatives: Event-Driven Fund
          
SCHEDULE OF INVESTMENTS
          
Open Written Options
              
September 30, 2019 (Unaudited)
          
           
 
Contracts (100
shares per
contract)
 
Notional Amount
 
Value
WRITTEN CALL OPTIONS
            
Apollo Global Management, Inc.
              
Expiration: October 2019, Exercise Price: $42.00
(410)
   $
         (1,550,620)
   $
               (2,050)
AT&T, Inc.
              
Expiration: October 2019, Exercise Price: $36.00
(26)
    
(98,384)
    
                 (4,914)
Expiration: October 2019, Exercise Price: $37.00
(30)
    
(113,520)
    
                 (2,925)
Axalta Coating Systems Ltd.
              
Expiration: October 2019, Exercise Price: $28.00
(183)
    
(551,745)
    
               (45,292)
Expiration: October 2019, Exercise Price: $30.00
(662)
    
(1,995,930)
    
               (72,820)
Expiration: October 2019, Exercise Price: $31.00
(86)
    
(259,290)
    
                 (5,590)
Expiration: October 2019, Exercise Price: $32.00
(316)
    
(952,740)
    
               (15,800)
The Blackstone Group LP
              
Expiration: December 2019, Exercise Price: $52.50
(488)
    
(2,383,392)
    
               (53,192)
CBS Corporation Class B
              
Expiration: October 2019, Exercise Price: $42.50
(307)
    
(1,239,359)
    
                 (9,210)
Expiration: December 2019, Exercise Price: $37.50
(205)
    
(827,585)
    
               (83,537)
Expiration: December 2019, Exercise Price: $40.00
(517)
    
(2,087,129)
    
             (127,182)
Expiration: December 2019, Exercise Price: $45.00
(203)
    
(819,511)
    
               (13,804)
Centene Corporation
              
Expiration: December 2019, Exercise Price: $45.00
(55)
    
(237,930)
    
               (12,237)
Corteva, Inc.
              
Expiration: December 2019, Exercise Price: $27.00
(145)
    
(406,000)
    
               (34,655)
Dow, Inc.
              
Expiration: October 2019, Exercise Price: $46.00
(288)
    
(1,372,320)
    
               (68,400)
DuPont de Nemours, Inc.
              
Expiration: December 2019, Exercise Price: $67.50
(288)
    
(2,053,728)
    
             (177,120)
Hilton Grand Vacations, Inc.
              
Expiration: October 2019, Exercise Price: $34.00
(342)
    
(1,094,400)
    
               (17,100)
Expiration: November 2019, Exercise Price: $33.00
(90)
    
(288,000)
    
               (13,950)
Expiration: December 2019, Exercise Price: $33.00
(389)
    
(1,244,800)
    
               (75,855)
IAC / InterActiveCorp
              
Expiration: October 2019, Exercise Price: $220.00
(58)
    
(1,264,226)
    
               (31,958)
Expiration: October 2019, Exercise Price: $230.00
(37)
    
(806,489)
    
                 (7,955)
Expiration: October 2019, Exercise Price: $240.00
(72)
    
(1,569,384)
    
                 (3,384)
The Madison Square Garden Company Class A
              
Expiration: November 2019, Exercise Price: $260.00
(110)
    
(2,898,720)
    
             (119,900)
Expiration: November 2019, Exercise Price: $270.00
(34)
    
(895,968)
    
               (21,930)
Masco Corporation
              
Expiration: October 2019, Exercise Price: $37.00
(250)
    
(1,042,000)
    
             (117,000)
Expiration: October 2019, Exercise Price: $38.00
(829)
    
(3,455,272)
    
             (315,020)
Expiration: October 2019, Exercise Price: $39.00
(372)
    
(1,550,496)
    
             (106,020)
MGM Resorts International
              
Expiration: December 2019, Exercise Price: $26.00
(719)
    
(1,993,068)
    
             (197,006)
Mylan NV
              
Expiration: October 2019, Exercise Price: $17.50
(776)
    
(1,534,928)
    
             (195,940)
Expiration: October 2019, Exercise Price: $20.00
(1,229)
    
(2,430,962)
    
               (90,946)
Occidental Petroleum Corporation
              
Expiration: October 2019, Exercise Price: $45.00
(9)
    
(40,023)
    
                    (900)
T-Mobile USA, Inc.
              
Expiration: November 2019, Exercise Price: $70.00
(203)
    
(1,599,031)
    
             (183,208)
United Technologies Corporation
              
Expiration: October 2019, Exercise Price: $115.00
(153)
    
(2,088,756)
    
             (336,983)
Expiration: October 2019, Exercise Price: $120.00
(152)
    
(2,075,104)
    
             (257,640)
Expiration: November 2019, Exercise Price: $135.00
(247)
    
(3,372,044)
    
             (138,567)
             
           (2,959,990)
WRITTEN PUT OPTIONS
            
Bayer AG
              
Expiration: October 2019, Exercise Price: EUR 60.00 (a)(b)
(755)
    
(4,884,095)
    
               (34,562)
SPDR S&P 500 ETF Trust
              
Expiration: October 2019, Exercise Price: $283.00
(40)
    
(1,187,080)
    
                 (3,320)
Expiration: October 2019, Exercise Price: $289.00
(31)
    
(919,987)
    
                 (4,759)
VanEck Vectors Semiconductor ETF
              
Expiration: November 2019, Exercise Price: $100.00
(32)
    
(381,216)
    
                 (1,760)
Expiration: November 2019, Exercise Price: $105.00
(38)
    
(452,694)
    
                 (3,724)
             
                (48,125)
TOTAL WRITTEN OPTIONS
            
 
(Premiums received $3,733,473)
           $
         (3,008,115)

ETF - Exchange-Traded Fund
              
EUR - Euro
              
(a) Foreign Security.
(b) Level 2 Security. Please see footnote (o) on the Schedule of Investments for more information.
WCM Alternatives: Event-Driven Fund
                  
SCHEDULE OF INVESTMENTS
                  
Forward Currency Exchange Contracts
                    
September 30, 2019 (Unaudited)
                  
                           
Unrealized
Settlement
            
USD Value at
        
USD Value at
  
Appreciation
Date
  
Counterparty
  
Currency to be Delivered
  
September 30, 2019
  
Currency to be Received
  
September 30, 2019
  
(Depreciation)*
12/5/2019
  
JPM
  
2,005,206
AUD
  
 $                     1,356,319
  
1,377,777
USD
  
 $                     1,377,777
  
 $                                               21,458
10/24/2019
  
JPM
  
3,083,600
EUR
  
3,367,605
  
3,450,280
USD
  
3,450,280
  
82,675
10/24/2019
  
JPM
  
3,401,828
USD
  
3,401,828
  
3,083,600
EUR
  
3,367,605
  
(34,223)
11/12/2019
  
JPM
  
1,322,725
EUR
  
1,446,518
  
1,459,255
USD
  
1,459,255
  
12,737
12/10/2019
  
JPM
  
203,344
EUR
  
222,858
  
226,126
USD
  
226,126
  
3,268
12/19/2019
  
JPM
  
1,808,688
EUR
  
1,983,972
  
2,060,581
USD
  
2,060,581
  
76,609
12/19/2019
  
JPM
  
47,011
USD
  
47,011
  
42,448
EUR
  
46,562
  
(449)
1/15/2020
  
JPM
  
3,195,809
EUR
  
3,512,889
  
3,581,140
USD
  
3,581,140
  
68,251
1/15/2020
  
JPM
  
439,885
USD
  
439,885
  
398,871
EUR
  
438,446
  
(1,439)
10/15/2019
  
JPM
  
2,125,233
GBP
  
2,614,794
  
2,680,263
USD
  
2,680,263
  
65,469
10/29/2019
  
JPM
  
346,064
GBP
  
426,055
  
426,025
USD
  
426,025
  
(30)
11/6/2019
  
JPM
  
5,601
GBP
  
6,897
  
6,809
USD
  
6,809
  
(88)
12/19/2019
  
JPM
  
4,196,689
GBP
  
5,177,625
  
5,222,671
USD
  
5,222,671
  
45,046
1/10/2020
  
JPM
  
329,122
GBP
  
406,412
  
411,381
USD
  
411,381
  
4,969
2/6/2020
  
JPM
  
596,203
GBP
  
736,819
  
737,671
USD
  
737,671
  
852
1/16/2020
  
JPM
  
4,053,000
HKD
  
517,512
  
517,195
USD
  
517,195
  
(317)
12/4/2019
  
JPM
  
64,526,198
JPY
  
599,462
  
601,828
USD
  
601,828
  
2,366
             
$                   26,264,461
        
$                   26,611,615
  
$                                             347,154
         
AUD
- Australian Dollar
        
EUR
- Euro
        
GBP
- British Pound
        
HKD
- Hong Kong Dollar
        
JPM
- JPMorgan Chase & Co., Inc.
        
JPY
- Japanese Yen
        
USD
- U.S. Dollar
        
*
Net unrealized appreciation (depreciation) is a receivable (payable).
        
WCM Alternatives: Event-Driven Fund
              
SCHEDULE OF INVESTMENTS
              
Open Swap Contracts
                      
September 30, 2019 (Unaudited)
              
     

               
     

 

       

 
Counterparty
Security
Termination Date
Pay/Receive
on Financing
Rate
Financing Rate
Payment
Frequency
Shares
Notional Amount
Unrealized
Appreciation (Depreciation)*
  
LONG TOTAL RETURN SWAP CONTRACTS
      
JPM
Altaba, Inc.
9/26/2020
Pay
0.800% + 3 Month U.S. LIBOR
Quarterly
332,903
  
$          6,508,254
  
$                                            (25,401)
  
JPM
Altran Technologies SA
6/25/2020
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
126,160
  
            2,027,118
  
                                              (48,073)
  
JPM
AT&T, Inc.
9/5/2020
Pay
0.300% + 3 Month U.S. LIBOR
Quarterly
5,502
  
               197,467
  
                                               10,530
  
JPM
Aveo Group
9/17/2020
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
932,654
  
            1,356,290
  
                                              (16,624)
  
BAML
Avon Products, Inc.
8/26/2020
Pay
0.750% + 1 Month U.S. LIBOR
Monthly
237,686
  
            1,029,462
  
                                               15,719
  
GS
Avon Products, Inc.
9/17/2020
Pay
0.500% + 1 Month U.S. LIBOR
Monthly
3,037
  
                 14,460
  
                                                (1,107)
  
JPM
BCA Marketplace plc
6/27/2020
Pay
0.300% + 3 Month U.S. LIBOR
Quarterly
749,395
  
            2,280,108
  
                                            (109,712)
  
BAML
BCA Marketplace plc
7/25/2020
Pay
0.450% + 1 Month U.S. LIBOR
Monthly
125,187
  
               376,552
  
                                              (13,810)
  
JPM
The Blackstone Group LP
5/31/2020
Pay
0.650% + 3 Month U.S. LIBOR
Quarterly
58,432
  
            2,211,651
  
                                             639,616
  
BAML
Brookfield Property REIT, Inc. Class A
8/30/2020
Pay
0.750% + 1 Month U.S. LIBOR
Monthly
29,422
  
               553,722
  
                                               45,850
  
JPM
CBS Corporation Class B
5/8/2020
Pay
0.300% + 3 Month U.S. LIBOR
Quarterly
1,200
  
                 58,248
  
                                                (9,863)
  
BAML
CBS Corporation Class B
10/22/2019
Pay
0.400% + 1 Month U.S. LIBOR
Monthly
73,435
  
            3,789,697
  
                                            (827,178)
  
JPM
Cobham plc
9/10/2020
Pay
0.300% + 3 Month U.S. LIBOR
Quarterly
2,543,448
  
            5,013,927
  
                                            (112,530)
  
BAML
Corteva, Inc.
6/3/2020
Pay
0.400% + 1 Month U.S. LIBOR
Monthly
2,280
  
                 75,961
  
                                              (12,162)
  
BAML
Cypress Semiconductor Corporation
8/26/2020
Pay
0.750% + 1 Month U.S. LIBOR
Monthly
216,075
  
            4,965,404
  
                                               74,712
  
JPM
Discovery, Inc. Class C
3/9/2020
Pay
0.300% + 3 Month U.S. LIBOR
Quarterly
10,767
  
               292,539
  
                                              (27,751)
  
BAML
Dow, Inc.
4/2/2020
Pay
0.400% + 1 Month U.S. LIBOR
Monthly
2,280
  
               125,697
  
                                              (17,123)
  
BAML
Dupont De Nemours, Inc.
4/2/2020
Pay
0.400% + 1 Month U.S. LIBOR
Monthly
2,280
  
               181,917
  
                                              (19,429)
  
BAML
EI Group plc
9/30/2020
Pay
0.450% + 1 Month U.S. LIBOR
Monthly
209,194
  
               723,709
  
                                                   (425)
  
JPM
First Trust Senior Floating Rate Income Fund II
12/6/2019
Pay
0.800% + 3 Month U.S. LIBOR
Quarterly
12,108
  
               143,025
  
                                                 2,097
  
JPM
Genesee & Wyoming, Inc. Class A
7/16/2020
Pay
0.300% + 3 Month U.S. LIBOR
Quarterly
22,584
  
            2,479,700
  
                                               13,559
  
JPM
Inmarsat Finance plc
4/8/2020
Pay
0.300% + 3 Month U.S. LIBOR
Quarterly
185,363
  
            1,277,885
  
                                               53,656
  
BAML
Inmarsat Finance plc
4/1/2020
Pay
0.550% + 1 Month U.S. LIBOR
Monthly
141,993
  
            1,001,883
  
                                               18,523
  
JPM
Innogy SE
6/6/2020
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
34,699
  
            1,650,732
  
                                               36,511
  
BAML
Kinder Morgan Ltd.
9/10/2020
Pay
0.750% + 1 Month U.S. LIBOR
Monthly
74,988
  
               839,911
  
                                                 3,492
  
JPM
Liberty Media Corporation- Liberty SiriusXM Class A
12/17/2019
Pay
0.300% + 3 Month U.S. LIBOR
Quarterly
12,597
  
               485,740
  
                                               37,428
  
JPM
London Stock Exchange Group plc
9/16/2020
Pay
0.300% + 3 Month U.S. LIBOR
Quarterly
16,094
  
            1,465,232
  
                                              (20,237)
  
JPM
Masco Corporation
7/25/2020
Pay
0.300% + 3 Month U.S. LIBOR
Quarterly
95,800
  
            3,982,484
  
                                                 6,447
  
JPM
Mellanox Technologies, Inc.
5/14/2020
Pay
0.300% + 3 Month U.S. LIBOR
Quarterly
24,660
  
            2,888,919
  
                                            (189,341)
  
JPM
Melrose Industries plc
10/8/2019
Pay
0.300% + 3 Month U.S. LIBOR
Quarterly
166,701
  
               407,541
  
                                                 5,352
  
JPM
Merlin Entertainment plc
8/15/2020
Pay
0.300% + 3 Month U.S. LIBOR
Quarterly
1,231
  
                   6,728
  
                                                    113
  
JPM
Mylan NV
8/26/2020
Pay
0.300% + 3 Month U.S. LIBOR
Quarterly
200,500
  
            3,767,395
  
                                             194,699
  
JPM
Osram Licht AG
8/13/2020
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
68,218
  
            2,784,322
  
                                             212,682
  
BAML
Renault SA
5/29/2020
Pay
0.350% + 1 Month U.S. LIBOR
Monthly
3,000
  
               179,398
  
                                                (7,303)
  
JPM
Renault SA
4/3/2020
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
25,418
  
            1,502,409
  
                                              (45,070)
  
JPM
SLM Corporation, 4.110%, Series B
2/8/2020
Pay
1.100% + 3 Month U.S. LIBOR
Quarterly
35,769
  
            2,378,639
  
                                            (368,749)
  
BAML
Spark Therapeutics, Inc.
5/24/2020
Pay
0.750% + 1 Month U.S. LIBOR
Monthly
7,829
  
               863,774
  
                                            (105,080)
  
JPM
Tallgrass Energy LP Class A
9/9/2020
Pay
0.300% + 3 Month U.S. LIBOR
Quarterly
19,671
  
               393,059
  
                                                 2,965
  
JPM
TPV Technology Limited
9/11/2020
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
1,050,000
  
               495,505
  
                                                 2,335
  
JPM
United Technologies Corporation
8/7/2020
Pay
0.300% + 3 Month U.S. LIBOR
Quarterly
24,700
  
            3,186,547
  
                                             182,286
  
BAML
Versum Materials, Inc.
5/14/2020
Pay
0.750% + 1 Month U.S. LIBOR
Monthly
116,897
  
            6,054,836
  
                                             128,773
  
BAML
Zayo Group LLC / Zayo Capital, Inc.
5/13/2020
Pay
0.750% + 1 Month U.S. LIBOR
Monthly
214,867
  
            7,103,579
  
                                             176,014
  
JPM
Zozo, Inc.
9/26/2020
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
34,206
  
               788,393
  
                                                   (198)
  
SHORT TOTAL RETURN SWAP CONTRACTS
      
JPM
Alibaba Group Holding Ltd. - ADR
6/11/2020
Receive
(0.600)% + 3 Month U.S. LIBOR
Quarterly
(293)
  
               (47,656)
  
                                                (1,312)
  
BAML
Brookfield Property Partners LP
3/29/2020
Pay
(2.500)% + 1 Month U.S. LIBOR
Monthly
(4,895)
  
             (101,327)
  
                                                 1,948
  
JPM
Daimler AG
4/3/2020
Receive
(0.462)% + 3 Month U.S. LIBOR
Quarterly
(1,525)
  
               (81,561)
  
                                                 5,789
  
BAML
Fiat Chrysler Automobiles N.V.
5/29/2020
Receive
(0.400)% + 1 Month U.S. LIBOR
Monthly
(15,986)
  
             (211,653)
  
                                                 4,856
  
BAML
Natura Cosmeticos SA
8/26/2020
Pay
(10.000)% + 1 Month U.S. LIBOR
Monthly
(142,736)
  
          (1,151,330)
  
                                              (13,906)
  
GS
Natura Cosmeticos SA
9/17/2020
Pay
(20.000)% + 1 Month U.S. LIBOR
Monthly
(1,822)
  
               (16,119)
  
                                                 1,217
  
JPM
Nissan Motor Company Ltd.
4/3/2020
Receive
(0.462)% + 3 Month U.S. LIBOR
Quarterly
(171,229)
  
          (1,168,027)
  
                                             101,207
  
BAML
Pembina Pipeline Corporation
9/10/2020
Receive
(0.350)% + 1 Month U.S. LIBOR
Monthly
(23,036)
  
             (858,082)
  
                                                 4,497
  
   
$                                              (9,511)
  
ADR
- American Depository Receipt
                    
BAML
- Bank of America Merrill Lynch & Co., Inc.
      
GS
- Goldman, Sachs & Co.
                    
JPM
- JPMorgan Chase & Co., Inc.
      
LIBOR
- London Interbank Offered Rate
                    
plc
- Public Limited Company
      
*
Based on the net swap value held at each counterparty, unrealized appreciation (depreciation) is a receivable (payable).