NPORT-EX 1 d743778dnportex.htm WESTCHESTER CAPITAL FUNDS Westchester Capital Funds
WCM Alternatives Credit Event Fund
       
SCHEDULE OF INVESTMENTS
       
March 31, 2019 (Unaudited)
       
         
   
Shares
   
Value
 
LONG INVESTMENTS - 109.20%
           
SPECIAL PURPOSE ACQUISITION COMPANIES - 45.32% (a)
           
Alberton Acquisition Corporation (b)
   
19,986
   
$
198,861
 
CF Finance Acquisition Corporation
   
15,441
     
157,498
 
CM Seven Star Acquisition Corporation (b)(e)
   
23,605
     
243,839
 
FinTech Acquisition Corporation III
   
15,106
     
147,284
 
Graf Industrial Corporation
   
5,933
     
58,381
 
Hennessy Capital Acquisition Corporation IV
   
7,720
     
77,818
 
Legacy Acquisition Corporation Class A
   
8,245
     
82,780
 
Mudrick Capital Acquisition Corporation Class A
   
1,950
     
19,656
 
Pensare Acquisition Corporation
   
14,833
     
152,038
 
Pivotal Acquisition Corporation
   
7,598
     
77,424
 
Pure Acquisition Corporation (e)
   
15,882
     
159,614
 
Thunder Bridge Acquisition Ltd. Class A (b)
   
5,911
     
60,292
 
Trident Acquisitions Corporation
   
13,565
     
138,227
 
Trinity Merger Corporation Class A
   
7,578
     
77,447
 
Tuscan Holdings Corporation
   
10,713
     
111,715
 
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES (Cost $1,707,836)
           
1,762,874
 
                 
CLOSED-END FUNDS - 0.11%
               
Apollo Tactical Income Fund, Inc.
   
23
     
338
 
Ares Dynamic Credit Allocation Fund
   
173
     
2,567
 
BlackRock Debt Strategies Fund, Inc.
   
93
     
997
 
Nuveen Credit Strategies Income Fund
   
58
     
448
 
TOTAL CLOSED-END FUNDS (Cost $4,658)
           
4,350
 
                 
PREFERRED STOCKS - 1.85% (a)(g)
               
Freddie Mac, 8.375%, Series Z
   
7,158
     
71,866
 
TOTAL PREFERRED STOCKS (Cost $64,399)
           
71,866
 
                 
WARRANTS - 0.60% (a)
               
FinTech Acquisition Corporation III Class A
               
Expiration: December 2023, Exercise Price: $11.50
   
7,553
     
6,873
 
Graf Industrial Corporation
               
Expiration: December 2025, Exercise Price: $11.50
   
5,933
     
1,957
 
Mudrick Capital Acquisition Corporation Class A
               
Expiration: March 2025, Exercise Price: $11.50
   
1,950
     
1,073
 
Pure Acquisition Corporation
               
Expiration: April 2023, Exercise Price: $11.50 (e)
   
7,903
     
9,247
 
Thunder Bridge Acquisition Ltd. Class A
               
Expiration: July 2022, Exercise Price: $11.50 (b)
   
5,911
     
4,256
 
TOTAL WARRANTS (Cost $21,116)
           
23,406
 

                 
   
Principal Amount
         
BANK LOANS - 4.89% (e)(g)
               
Tribune Media Company
               
5.499% (1 Month LIBOR+ 3.000%), 1/26/2024 (g)
 
$
190,000
     
190,238
 
TOTAL BANK LOANS (Cost $190,108)
           
190,238
 
                 
CORPORATE BONDS - 54.08% (e)
               
Acadia Healthcare Company, Inc.
               
5.125%, 7/1/2022
   
153,000
     
154,148
 
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
               
7.250%, 5/15/2024 (b)(f)(h)
   
225,000
     
237,869
 
EIG Investors Corporation
               
10.875%, 2/1/2024
   
182,000
     
192,465
 
Enbridge, Inc.
               
6.000% (Fixed at 6.000% until 2027), 1/15/2077 (b)(g)
   
137,000
     
136,175
 
GenOn Energy, Inc. / NRG Americas, Inc.
               
9.392% (6 Month LIBOR + 6.500%), 12/1/2023 (g)
   
184,000
     
183,540
 
MEG Energy Corporation
               
6.500%, 1/15/2025 (b)(f)
   
112,000
     
110,740
 
Momentive Performance Materials, Inc.
               
3.880%, 10/24/2021
   
186,000
     
201,113
 
Multi-Color Corporation
               
4.875%, 11/1/2025 (f)(h)
   
57,000
     
58,995
 
Nationstar Mortgage LLC / Nationstar Capital Corporation
               
6.500%, 7/1/2021
   
25,000
     
25,063
 
6.500%, 6/1/2022
   
16,000
     
15,780
 
Nielsen Finance LLC / Nielsen Finance Company
               
5.000%, 4/15/2022 (f)
   
203,000
     
201,985
 
Rent-A-Center, Inc.
               
6.625%, 11/15/2020
   
12,000
     
12,030
 
4.750%, 5/1/2021
   
184,000
     
180,780
 
Unitymedia GmbH
               
6.125%, 1/15/2025 (b)(f)
   
148,000
     
154,349
 
Univar USA, Inc.
               
6.750%, 7/15/2023 (f)(h)
   
232,000
     
238,264
 
TOTAL CORPORATE BONDS (Cost $2,103,248)
           
2,103,296
 
                 
   
Shares
         
SHORT-TERM INVESTMENTS - 2.35%
               
MONEY MARKET FUNDS - 2.35%
               
JPMorgan U.S. Government Money Market Fund, Institutional Share Class, , 2.33% (c)(d)
   
91,211
     
91,211
 
TOTAL SHORT-TERM INVESTMENTS
               
(Cost $91,211)
           
91,211
 
TOTAL NET INVESTMENTS
               
  (Cost $4,182,576) - 109.20%
           
4,247,241
 
OTHER LIABILITIES IN EXCESS OF ASSETS - (9.20)%
           
(357,874
)
TOTAL NET ASSETS - 100.00%
         
$
3,889,367
 

LIBOR
 
- London Interbank Offered Rate
(a)
 
Non-income producing security.
(b)
 
Foreign Security.
(c)
 
The rate quoted is the annualized seven-day yield as of March 31, 2019.
(d)
 
All or a portion of the shares have been committed as collateral for swap contracts.
(e)
 
Level 2 Security. Please see footnote (l) 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 March 31, 2019, these securities represent 25.77% of total net assets.
(g)
 
The coupon rate shown on variable rate securities represents the rate as of March 31, 2019.
(h)
 
All or partial amount transferred for the benefit of the counterparty as collateral for reverse repurchase agreements.
(i)
 
As of March 31, 2019, the components of accumulated earnings (losses) for income tax purposes were as follows*:

     
Total Portfolio
 
 
Tax Cost (1)
 
$
3,777,710
 
           
           
 
Gross unrealized appreciation(2)
  $
89,326
 
 
Gross unrealized depreciation(2)
   
(47,710
)
 
Net unrealized depreciation
 
$
41,616
 

   
(1) Tax cost represents tax on investments, net of proceeds on 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.

 
(l)
 
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. 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, 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.

   
Due to the short-term nature of the reverse repurchase agreements, amortized cost approximates fair value at March 31, 2019. 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 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 March 31, 2019. These assets and liabilities are measured on a recurring basis.

 
Investments at Fair Value
 
Level 1
   
Level 2
   
Level 3
   
Total
 
 
Special Purpose Acquisition Companies
 
$
1,359,421
   
$
403,453
   
$
-
   
$
1,762,874
 
 
Closed-End Funds
   
4,350
     
-
     
-
     
4,350
 
 
Preferred Stocks
   
71,866
     
-
     
-
     
71,866
 
 
Warrants
   
14,159
     
9,247
     
-
     
23,406
 
 
Bank Loans
   
-
     
190,238
     
-
     
190,238
 
 
Corporate Bonds
   
-
     
2,103,296
     
-
     
2,103,296
 
 
Short-Term Investments
   
91,211
     
-
     
-
     
91,211
 
 
Total
 
$
1,541,007
   
$
2,706,234
   
$
-
   
$
4,247,241
 
                                   
                                   
 
Liabilities
                               
 
Swap Contracts**
 
$
-
   
$
(23,049
)
 
$
-
   
$
(23,049
)
 
Reverse Repurchase Agreements
   
-
     
(404,866
)
   
-
     
(404,866
)
 
Total
 
$
-
   
$
(427,915
)
 
$
-
   
$
(427,915
)
                                   
                                   
 
** Swap contracts 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 three months ended March 31, 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
                   
March 31, 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
Apollo Tactical Income Fund, Inc.
12/27/2019
Pay
0.300% + 3 Month LIBOR
Quarterly
546
 
$                 7,495
  $
                                   516
JPM
BlackRock Debt Strategies Fund, Inc.
5/23/2019
Pay
0.800% + 3 Month LIBOR
Quarterly
6,191
 
                  68,630
   
                                  (2,373)
JPM
BlackRock Floating Rate Income Strategies Fund, Inc.
8/30/2019
Pay
0.462% + 3 Month LIBOR
Quarterly
4,417
 
                  59,362
   
                                  (4,236)
JPM
Colony Capital, Inc., 8.750%, Series E
4/27/2019
Pay
0.826% + 3 Month LIBOR
Quarterly
6,970
 
               177,240
   
                                  (2,093)
JPM
Eaton Vance Floating-Rate Income Trust
11/28/2019
Pay
0.800% + 3 Month LIBOR
Quarterly
4,124
 
                  55,764
   
                                  (1,445)
JPM
Eaton Vance Senior Floating-Rate Income Trust
8/30/2019
Pay
1.000% + 3 Month LIBOR
Quarterly
2,841
 
                  40,086
   
                                  (3,165)
JPM
First Trust Senior Floating Rate Income Fund II
3/18/2020
Pay
0.800% + 3 Month LIBOR
Quarterly
5,272
 
                  63,106
   
                                     (863)
JPM
Invesco Dynamic Credit Opportunities Fund
5/23/2019
Pay
0.802% + 3 Month LIBOR
Quarterly
8,430
 
                  97,062
   
                                  (5,753)
JPM
Invesco Municipal Opportunity Trust
3/13/2020
Pay
0.300% + 3 Month LIBOR
Quarterly
1,733
 
                  20,732
   
                                       (85)
JPM
Invesco Senior Income Trust
5/23/2019
Pay
1.000% + 3 Month LIBOR
Quarterly
27,652
 
               119,841
   
                                  (3,891)
JPM
Invesco Value Municipal Income Trust
3/13/2020
Pay
0.300% + 3 Month LIBOR
Quarterly
1,442
 
                  21,145
   
                                     (380)
JPM
Nuveen AMT-Free Municipal Credit Income Fund
11/28/2019
Pay
0.300% + 3 Month LIBOR
Quarterly
1,413
 
                  19,230
   
                                    2,094
JPM
Nuveen AMT-Free Quality Municipal Income Fund
11/28/2019
Pay
0.300% + 3 Month LIBOR
Quarterly
1,566
 
                  19,245
   
                                    1,650
JPM
Nuveen California Quality Municipal Income Fund
11/28/2019
Pay
0.300% + 3 Month LIBOR
Quarterly
1,536
 
                  19,246
   
                                    1,894
JPM
Nuveen Credit Strategies Income Fund
5/23/2019
Pay
0.800% + 3 Month LIBOR
Quarterly
8,620
 
                  68,756
   
                                  (2,234)
JPM
Nuveen Preferred and Income 2022 Term Fund
11/29/2019
Pay
0.300% + 3 Month LIBOR
Quarterly
894
 
                  19,275
   
                                    1,082
JPM
SLM Corporation, 4.311%, Series B
2/8/2020
Pay
1.100% + 3 Month LIBOR
Quarterly
2,007
 
               133,465
   
                                       910
JPM
Voya Prime Rate Trust
5/23/2019
Pay
1.000% + 3 Month LIBOR
Quarterly
24,016
 
               119,285
   
                                  (4,677)
                    $
                            (23,049)
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
                 
March 31, 2019 (Unaudited)
                 
                       
                       
Counterparty
 
Rate
 
Trade Date
Maturity Date
 
Principle
   
Principle & Interest
 
JPM
   
3.237%

3/19/2019
4/17/2019
 
$
(44,173
)
 
$
(44,221
)
JPM
   
3.236%

3/21/2019
4/18/2019
   
(182,541
)
   
(182,721
)
JPM
   
3.236%

3/22/2019
4/18/2019
   
(178,152
)
   
(178,312
)
                  
$
(404,866
)
 
$
(405,254
)
                             

 
JPM - JPMorgan Chase & Co., Inc.
                     

 
The weighted average daily balance of reverse repurchase agreements during the three months ended March 31, 2019 was $356,216, at a weighted average interest rate of 3.27%. 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 March 31, 2019 was $229,970.

 
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
 
$
-
   
$
(404,866
)
 
$
-
   
$
-
   
$
(404,866
)
 
Total Borrowings
 
$
-
   
$
(404,866
)
 
$
-
   
$
-
   
$
(404,866
)
 
Gross amount of recognized liabilities for reverse repurchase agreements
           
$
(404,866
)