NPORT-EX 2 mergerv2confidential.htm MERGER SOI
The Merger Fund
             
SCHEDULE OF INVESTMENTS
             
March 31, 2020 (Unaudited)
             
               
   
Shares
         
Value
 
LONG INVESTMENTS - 93.83%
                 
COMMON STOCKS - 54.14%
                 
AEROSPACE & DEFENSE - 2.12%
                 
United Technologies Corporation
   
674,497
         
$
63,625,302
 
AIR FREIGHT & LOGISTICS - 0.86%
                     
XPO Logistics, Inc. (a)(j)(k)
   
527,800
           
25,730,250
 
APPLICATION SOFTWARE - 1.88%
                     
LogMeIn, Inc.
   
676,280
           
56,320,598
 
ASSET MANAGEMENT & CUSTODY BANKS - 2.53%
                     
Legg Mason, Inc. (j)
   
1,551,344
           
75,783,154
 
AUTO PARTS & EQUIPMENT - 0.67%
                     
Delphi Technologies plc (a)(b)
   
2,477,033
           
19,940,116
 
BIOTECHNOLOGY - 2.09%
                     
Forty Seven, Inc. (a)
   
99,435
           
9,488,088
 
Ra Pharmaceuticals, Inc. (a)
   
1,108,540
           
53,221,005
 
                   
62,709,093
 
BROADCASTING - 0.26%
                     
Fox Corporation Class A
   
119,809
           
2,831,087
 
Fox Corporation Class B
   
222,157
           
5,082,952
 
                   
7,914,039
 
BUILDING PRODUCTS - 1.60%
                     
Masco Corporation (j)
   
1,386,000
           
47,914,020
 
CASINOS & GAMING - 3.25%
                     
Caesars Entertainment Corporation (a)(e)(k)
   
5,676,256
           
38,371,491
 
The Stars Group, Inc. (a)(b)(e)(f)(k)
   
2,955,908
           
58,911,246
 
                   
97,282,737
 
CHEMICALS - 0.26%
                     
DuPont de Nemours, Inc. (e)(j)
   
155,735
           
5,310,564
 
OMNOVA Solutions, Inc. (a)
   
236,888
           
2,402,044
 
                   
7,712,608
 
CONSTRUCTION MACHINERY & HEAVY TRUCKS - 2.98%
                     
WABCO Holdings, Inc. (a)(e)
   
662,482
           
89,468,194
 
ELECTRIC UTILITIES - 0.62%
                     
El Paso Electric Company (k)
   
273,947
           
18,617,438
 
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.49%
                     
Fitbit, Inc. Class A (a)(j)(k)
   
2,225,272
           
14,820,312
 
ENVIRONMENTAL & FACILITIES SERVICES - 0.80%
                     
Advanced Disposal Services, Inc. (a)
   
727,878
           
23,874,398
 
HEALTH CARE EQUIPMENT - 3.80%
                     
Wright Medical Group N.V. (a)(b)
   
3,972,749
           
113,819,259
 
INSURANCE BROKERS - 2.01%
                     
Willis Towers Watson plc (b)
   
354,850
           
60,271,272
 
INTEGRATED TELECOMMUNICATION SERVICES - 0.14%
                     
Cincinnati Bell, Inc. (a)(k)
   
279,877
           
4,097,399
 
INTERACTIVE MEDIA & SERVICES - 0.97%
                     
IAC/InterActiveCorp (a)(j)
   
162,600
           
29,142,798
 
INVESTMENT BANKING & BROKERAGE - 5.31%
                     
E*TRADE Financial Corporation (k)
   
2,304,959
           
79,106,193
 
TD Ameritrade Holdings Corporation (k)
   
2,306,867
           
79,956,010
 
                   
159,062,203
 
LIFE & HEALTH INSURANCE - 0.03%
                     
Genworth Financial, Inc. Class A (a)
   
306,379
           
1,017,178
 
LIFE SCIENCES TOOLS & SERVICES - 0.13%
                     
Qiagen N.V. (a)(b)
   
95,520
           
3,973,632
 
MOVIES & ENTERTAINMENT - 0.00%
                     
Akazoo S.A. (a)(b)(k)
   
47,770
           
133,756
 
OIL & GAS REFINING & MARKETING - 0.14%
                     
Marathon Petroleum Corporation (j)
   
174,800
           
4,128,776
 
OIL & GAS STORAGE & TRANSPORTATION - 1.42%
                     
Tallgrass Energy LP Class A
   
2,587,040
           
42,582,678
 
OTHER DIVERSIFIED FINANCIAL SERVICES - 0.51%
                     
FGL Holdings (b)(k)
   
1,575,300
           
15,437,940
 
PHARMACEUTICALS - 0.49%
                     
Allergan plc (b)
   
82,816
           
14,666,714
 
REGIONAL BANKS - 0.31%
                     
IBERIABANK Corporation
   
259,380
           
9,379,181
 
REITs - 2.13%
                     
Broadmark Realty Capital, Inc. (k)
   
501,551
           
3,771,664
 
Digital Realty Trust, Inc. (k)
   
27,220
           
3,781,125
 
Taubman Centers, Inc. (j)(k)
   
1,347,303
           
56,425,050
 
                   
63,977,839
 
SEMICONDUCTORS - 1.75%
                     
Mellanox Technologies Ltd. (a)(b)(e)(j)
   
432,871
           
52,515,910
 
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 3.75%
                     
Cypress Semiconductor Corporation (e)
   
4,826,101
           
112,544,675
 
SPECIALTY STORES - 4.67%
                     
Tiffany & Company (e)(j)
   
1,081,366
           
140,036,897
 
SYSTEMS SOFTWARE - 0.51%
                     
Forescout Technologies, Inc. (a)
   
481,852
           
15,221,705
 
TECHNOLOGY DISTRIBUTORS - 3.50%
                     
Anixter International, Inc. (a)
   
256,168
           
22,509,482
 
Tech Data Corporation (a)(k)
   
628,864
           
82,286,855
 
                   
104,796,337
 
WIRELESS TELECOMMUNICATION SERVICES - 2.16%
                     
Sprint Corporation (a)(k)
   
7,448,238
           
64,203,812
 
T-Mobile USA, Inc. (a)(j)
   
7,757
           
650,812
 
                   
64,854,624
 
TOTAL COMMON STOCKS (Cost $1,828,006,006)
                 
1,623,373,032
 
                       
SPECIAL PURPOSE ACQUISITION COMPANIES - 7.71% (a)
                     
Act II Global Acquisition Corporation Class A  (b)
   
675,184
           
6,664,066
 
Alberton Acquisition Corporation (b)
   
541,885
           
5,689,793
 
Allegro Merger Corporation (f)
   
167,002
           
1,743,501
 
AMCI Acquisition Corporation Class A (k)
   
53,402
           
542,564
 
Andina Acquisition Corporation III  (b)
   
584,088
           
5,881,766
 
Apex Technology Acquisition Corporation Class A
   
604,500
           
5,893,875
 
CF Finance Acquisition Corporation Class A
   
390,688
           
4,020,180
 
Churchill Capital Corporation II Class A
   
302,610
           
3,010,969
 
Churchill Capital Corporation III
   
51,028
           
510,280
 
CIIG Merger Corporation Class A (f)
   
315,662
           
3,020,885
 
Collier Creek Holdings Class A  (b)
   
195,000
           
1,994,850
 
dMY Technology Group, Inc.
   
84,837
           
833,948
 
Fellazo, Inc. (b)(f)(k)
   
187,945
           
1,870,053
 
FinTech Acquisition Corporation III Class A
   
328,770
           
3,290,988
 
Flying Eagle Acquisition Corporation
   
33,893
           
337,913
 
Forum Merger II Corporation Class A
   
613,227
           
6,310,106
 
Galileo Acquisition Corporation (b)
   
112,274
           
1,086,812
 
Gordon Pointe Acquisition Corporation (f)(m)
   
704,622
           
7,521,840
 
Gores Holdings IV, Inc.
   
350,315
           
3,527,672
 
Graf Industrial Corporation (k)
   
1,034,606
           
10,521,943
 
Grid Dynamics Holdings, Inc.
   
439,436
           
3,515,488
 
Haymaker Acquisition Corporation II Class A
   
893,499
           
8,747,355
 
Hennessy Capital Acquisition Corporation IV Class A
   
175,540
           
1,774,709
 
InterPrivate Acquisition Corporation
   
464,185
           
4,590,790
 
Juniper Industrial Holdings, Inc. Class A
   
817,774
           
7,866,986
 
Legacy Acquisition Corporation Class A
   
1,293,025
           
13,408,669
 
Leisure Acquisition Corporation (f)
   
578,466
           
5,929,276
 
Leo Holdings Corporation Class A (b)(k)
   
250,699
           
2,582,200
 
LF Capital Acquisition Corporation Class A (f)
   
89,230
           
918,623
 
LGL Systems Acquisition Corporation
   
15,818
           
159,287
 
Longevity Acquisition Corporation (b)(f)
   
262,500
           
2,757,563
 
Megalith Financial Acquisition Corporation Class A
   
367,450
           
3,781,060
 
Merida Merger Corporation I
   
240,205
           
2,327,586
 
Monocle Acquisition Corporation
   
204,085
           
2,051,054
 
Nebula Acquisition Corporation Class A
   
455,146
           
4,619,732
 
New Providence Acquisition Corporation Class A
   
454,276
           
4,438,277
 
Orisun Acquisition Corporation
   
113,258
           
1,154,099
 
Pivotal Investment Corporation II Class A
   
121,848
           
1,207,514
 
PropTech Acquisition Corporation Class A (f)
   
183,000
           
1,790,655
 
Pure Acquisition Corporation (k)(m)
   
2,166,864
           
22,513,717
 
Schultze Special Purpose Acquisition Corporation
   
602,043
           
6,092,675
 
Software Acquisition Group, Inc. (f)
   
567,175
           
5,753,990
 
Spartan Energy Acquisition Corporation Class A
   
684,666
           
6,928,820
 
Subversive Capital Acquisition Corporation Class A (b)(f)
   
1,585,965
           
15,368,001
 
Thunder Bridge Acquisition II Ltd. Class A (b)
   
516,986
           
5,092,312
 
Trident Acquisitions Corporation (k)
   
654,925
           
7,086,289
 
Tuscan Holdings Corporation  (e)
   
610,840
           
6,090,075
 
Tuscan Holdings Corporation II
   
331,070
           
3,227,933
 
VectoIQ Acquisition Corporation (k)
   
476,005
           
5,064,693
 
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES (Cost $221,263,680)
                 
231,113,432
 
                       
CONTINGENT VALUE RIGHTS - 0.12% (a)(d)(g)
                     
Alder Biopharmaceuticals, Inc.
   
2,217,560
           
3,548,096
 
Media General, Inc. (e)
   
891,153
           
26,734
 
TOTAL CONTINGENT VALUE RIGHTS (Cost $0)
                 
3,574,830
 
                       
RIGHTS - 0.06% (a)
                     
Bristol-Myers Squibb Company
   
453,175
           
1,722,065
 
TOTAL RIGHTS (Cost $1,595,530)
                 
1,722,065
 
                       
WARRANTS - 0.13% (a)
                     
Act II Global Acquisition Corporation Class A
                     
Expiration: April 2024, Exercise Price: $11.50 (b)(f)
   
337,592
           
219,435
 
Akazoo S.A.
                     
Expiration: December 2024, Exercise Price: $11.50 (b)(f)
   
238,850
           
74,044
 
Apex Technology Acquisition Corporation Class A
                     
Expiration: September 2026, Exercise Price: $11.50
   
302,250
           
272,025
 
CF Finance Acquisition Corporation Class A
                     
Expiration: April 2025, Exercise Price: $11.50
   
293,016
           
146,508
 
Churchill Capital Corporation II Class A
                     
Expiration: July 2024, Exercise Price: $11.50
   
100,870
           
166,435
 
CIIG Merger Corporation Class A
                     
Expiration: December 2026, Exercise Price: $11.50 (f)
   
157,831
           
93,909
 
Collier Creek Holdings Class A
                     
Expiration: November 2023, Exercise Price: $11.50 (b)(f)
   
65,000
           
60,450
 
FinTech Acquisition Corporation III Class A
                     
Expiration: December 2023, Exercise Price: $11.50
   
164,385
           
98,631
 
Galileo Acquisition Corporation
                     
Expiration: October 2026, Exercise Price: $11.50 (b)
   
112,274
           
28,080
 
Graf Industrial Corporation
                     
Expiration: December 2025, Exercise Price: $11.50
   
434,606
           
43,461
 
Grid Dynamics Holdings, Inc.
                     
Expiration: September 2023, Exercise Price: $11.50
   
219,718
           
417,464
 
Haymaker Acquisition Corporation II Class A
                     
Expiration: October 2026, Exercise Price: $11.50
   
297,833
           
312,725
 
Hennessy Capital Acquisition Corporation IV Class A
                     
Expiration: September 2025, Exercise Price: $11.50
   
131,655
           
46,079
 
International General Insurance Holdings Ltd.
                     
Expiration: March 2025, Exercise Price: $11.50 (b)
   
311,172
           
130,692
 
Juniper Industrial Holdings, Inc. Class A
                     
Expiration: November 2026, Exercise Price: $11.50
   
408,887
           
228,977
 
KLDiscovery, Inc.
                     
Expiration: December 2025, Exercise Price: $11.50
   
677,651
           
128,754
 
Merida Merger Corporation I
                     
Expiration: November 2026, Exercise Price: $11.50
   
120,103
           
60,051
 
Monocle Acquisition Corporation
                     
Expiration: June 2024, Exercise Price: $11.50
   
204,085
           
61,225
 
Nebula Acquisition Corporation Class A
                     
Expiration: January 2023, Exercise Price: $11.50
   
141,718
           
143,135
 
New Providence Acquisition Corporation Class A
                     
Expiration: September 2024, Exercise Price: $11.50 (f)
   
227,138
           
124,926
 
Pivotal Investment Corporation II Class A
                     
Expiration: June 2025, Exercise Price: $11.50 (f)
   
40,616
           
20,308
 
PropTech Acquisition Corporation Class A
                     
Expiration: October 2026, Exercise Price: $11.50 (f)
   
91,500
           
45,787
 
Repay Holdings Corporation
                     
Expiration: July 2024, Exercise Price: $11.50
   
338,801
           
443,829
 
Thunder Bridge Acquisition II Ltd. Class A
                     
Expiration: November 2026, Exercise Price: $11.50 (b)
   
258,496
           
180,947
 
Tuscan Holdings Corporation
                     
Expiration: April 2026, Exercise Price: $11.50
   
610,840
           
238,228
 
Tuscan Holdings Corporation II
                     
Expiration: July 2025, Exercise Price: $11.50 (f)
   
165,535
           
49,768
 
TOTAL WARRANTS (Cost $4,737,854)
                 
3,835,873
 
                       
   
Principal
Amount
               
BANK LOANS - 2.30% (f)(i)
                     
Avaya Holdings Corporation
                     
4.955% (3 Month U.S. LIBOR + 4.250%), 12/15/2024
 
$
16,332,815
           
14,127,885
 
Cengage Learning Holdings II, Inc.
                     
5.250% (3 Month U.S. LIBOR + 4.250%), 6/7/2023
   
10,813,546
           
8,731,938
 
McGraw-Hill Global Education Holdings LLC
                     
5.000% (3 Month U.S. LIBOR + 4.000%), 5/4/2022
   
11,254,693
           
9,285,121
 
Refinitiv U.S. Holdings, Inc.
                     
4.239% (3 Month U.S. LIBOR + 4.250%), 10/1/2025
   
30,065,157
           
29,025,354
 
RentPath LLC
                     
0.000% (3 Month U.S. LIBOR + 4.750%), 12/17/2021
   
9,499,000
           
7,456,715
 
8.660% (1 Month U.S. LIBOR + 7.000%), 12/14/2025
   
443,691
           
423,725
 
TOTAL BANK LOANS (Cost $76,204,403)
                 
69,050,738
 
                       
CORPORATE BONDS - 4.29% (f)
                     
Arconic, Inc.
                     
5.400%, 4/15/2021
   
7,553,000
           
7,492,010
 
CEC Entertainment, Inc.
                     
8.000%, 2/15/2022
   
10,405,000
           
4,561,927
 
Cincinnati Bell, Inc.
                     
7.000%, 7/15/2024 (h)
   
2,935,000
           
2,975,268
 
8.000%, 10/15/2025 (h)
   
11,838,000
           
12,237,473
 
EIG Investors Corporation
                     
10.875%, 2/1/2024
   
8,231,000
           
7,068,330
 
Global A&T Electronics Ltd.
                     
8.500%, 1/12/2023 (b)
   
6,523,000
           
5,309,008
 
Kinetic Concepts, Inc. / KCI USA, Inc.
                     
12.500%, 11/1/2021 (h)
   
15,253,000
           
15,385,701
 
Nielsen Finance LLC / Nielsen Finance Company
                     
5.000%, 4/15/2022 (h)
   
12,171,000
           
11,284,464
 
Refinitiv U.S. Holdings, Inc.
                     
8.250%, 11/15/2026 (h)
   
26,960,000
           
28,510,200
 
Stars Group Holdings BV / Stars Group US Co-Borrower LLC
                     
7.000%, 7/15/2026 (b)(h)
   
5,345,000
           
5,055,034
 
T-Mobile USA, Inc.
                     
6.500%, 1/15/2024 (k)
   
9,842,000
           
10,063,150
 
6.375%, 3/1/2025 (k)
   
3,180,000
           
3,271,441
 
Vistra Energy Corporation
                     
5.875%, 6/1/2023
   
15,354,000
           
15,430,309
 
TOTAL CORPORATE BONDS (Cost $141,892,266)
                 
128,644,315
 
                       
PURCHASED OPTION CONTRACTS - 1.05%
 
Contracts (100
shares per
contract)
   
Notional
Amount
         
PURCHASED CALL OPTIONS - 0.00% (a)
                     
Marathon Petroleum Corporation
                     
Expiration: April 2020, Exercise Price: $45.00
   
3,680
   
$
8,692,160
     
18,400
 
                     
18,400
 
PURCHASED PUT OPTIONS - 1.05% (a)
                       
BorgWarner, Inc.
                       
Expiration: May 2020, Exercise Price: $20.00
   
68
     
165,716
     
6,120
 
DuPont de Nemours, Inc.
                       
Expiration: June 2020, Exercise Price: $40.00
   
1,557
     
5,309,370
     
1,214,460
 
Fox Corporation Class A
                       
Expiration: April 2020, Exercise Price: $35.00
   
2,578
     
6,091,814
     
2,931,186
 
IAC/InterActiveCorp
                       
Expiration: April 2020, Exercise Price: $180.00
   
562
     
10,072,726
     
601,340
 
Expiration: April 2020, Exercise Price: $200.00
   
1,064
     
19,070,072
     
2,367,400
 
Industrial Select Sector SPDR Fund
                       
Expiration: April 2020, Exercise Price: $53.00
   
2,501
     
14,758,401
     
267,607
 
Expiration: April 2020, Exercise Price: $57.00
   
1,935
     
11,418,435
     
387,000
 
Expiration: May 2020, Exercise Price: $58.00
   
1,563
     
9,223,263
     
601,755
 
Marathon Petroleum Corporation
                       
Expiration: April 2020, Exercise Price: $42.50
   
1,748
     
4,128,776
     
3,300,224
 
Masco Corporation
                       
Expiration: April 2020, Exercise Price: $38.00
   
3,608
     
12,472,856
     
1,298,880
 
Expiration: April 2020, Exercise Price: $39.00
   
1,024
     
3,539,968
     
476,160
 
Expiration: April 2020, Exercise Price: $41.00
   
9,228
     
31,901,196
     
5,933,604
 
Ra Pharmaceuticals, Inc.
                       
Expiration: April 2020, Exercise Price: $40.00
   
58
     
278,458
     
290
 
SPDR S&P 500 ETF Trust
                       
Expiration: April 2020, Exercise Price: $245.00
   
1,678
     
43,250,450
     
1,193,058
 
Expiration: April 2020, Exercise Price: $255.00
   
629
     
16,212,475
     
635,290
 
Expiration: May 2020, Exercise Price: $237.00
   
839
     
21,625,225
     
841,097
 
T-Mobile USA, Inc.
                       
Expiration: May 2020, Exercise Price: $72.50
   
901
     
7,559,390
     
199,121
 
VanEck Vectors Semiconductor ETF
                       
Expiration: April 2020, Exercise Price: $110.00
   
3,989
     
46,727,146
     
1,328,337
 
XPO Logistics, Inc.
                       
Expiration: May 2020, Exercise Price: $40.00
   
1,822
     
8,882,250
     
473,720
 
Expiration: May 2020, Exercise Price: $70.00
   
3,456
     
16,848,000
     
7,534,080
 
                     
31,590,729
 
TOTAL PURCHASED OPTIONS (Cost $10,808,561)
                   
31,609,129
 
                         
   
Shares
                 
ESCROW NOTES - 4.94% (a)
                       
Altaba, Inc. (f)
   
7,121,039
             
147,761,559
 
AMR Corporation (d)(g)
   
1,243,406
             
174,077
 
Sentinel Energy Services, Inc. Class B (d)(g)
   
1,689,936
             
9,295
 
T-Mobile USA, Inc. (d)(g)
   
7,594,000
             
 
TOTAL ESCROW NOTES (Cost $90,949,940)
                   
147,944,931
 
                         
                         
SHORT-TERM INVESTMENTS - 19.09%
                       
MONEY MARKET FUNDS - 12.00% (c)
                       
The Government & Agency Portfolio, Institutional Share Class, 0.44%
   
146,056,000
             
146,056,000
 
JPMorgan U.S. Government Money Market Fund, Institutional Share Class, 0.36%
   
146,056,000
             
146,056,000
 
Morgan Stanley Institutional Liquidity Fund - Government Portfolio, Institutional Share Class, 0.26%
   
67,752,062
             
67,752,062
 
                     
359,864,062
 
   
Principal
Amount
                 
U.S. TREASURY BILLS - 7.09% (e)(f)(l)
                       
United States Treasury Bills
                       
0.80%, 4/2/2020
 
$
25,690,000
             
25,690,002
 
0.57%, 4/7/2020
   
15,590,000
             
15,589,834
 
0.39%, 4/9/2020
   
11,040,000
             
11,039,896
 
0.39%, 4/14/2020
   
320,000
             
319,994
 
1.49%, 5/7/2020
   
14,341,000
             
14,340,118
 
1.49%, 5/14/2020
   
5,060,000
             
5,059,402
 
1.51%, 5/21/2020
   
20,665,000
             
20,662,553
 
1.51%, 5/28/2020
   
6,820,000
             
6,818,890
 
1.46%, 6/4/2020
   
8,366,000
             
8,364,587
 
1.48%, 6/11/2020
   
585,000
             
584,879
 
0.26%, 6/18/2020
   
15,745,000
             
15,741,452
 
1.50%, 6/25/2020
   
4,989,000
             
4,988,084
 
1.46%, 7/2/2020
   
9,050,000
             
9,047,514
 
1.47%, 7/9/2020
   
4,825,000
             
4,823,836
 
1.47%, 7/16/2020
   
9,005,000
             
9,002,614
 
1.46%, 7/23/2020
   
1,255,000
             
1,254,621
 
1.46%, 7/30/2020
   
4,110,000
             
4,108,558
 
1.46%, 8/6/2020
   
31,075,000
             
31,063,736
 
1.47%, 8/13/2020
   
9,480,000
             
9,476,639
 
1.45%, 8/20/2020
   
2,765,000
             
2,763,684
 
1.12%, 8/27/2020
   
580,000
             
579,740
 
0.27%, 9/10/2020
   
11,130,000
             
11,123,664
 
                     
212,444,297
 
TOTAL SHORT-TERM INVESTMENTS (Cost $571,848,567)
                   
572,308,359
 
TOTAL LONG INVESTMENTS (Cost $2,947,306,807) - 93.83%
                   
2,813,176,704
 
   
Shares
                 
INVESTMENT OF CASH COLLATERAL FROM SECURITIES LOANED  - 5.54%
                       
SHORT-TERM FUND - 5.54% (c)
                       
Mount Vernon Liquid Asset Portfolio LLC, 0.91%
   
166,143,290
             
166,143,290
 
TOTAL SHORT-TERM FUND - (Cost $166,143,290)
                   
166,143,290
 
TOTAL INVESTMENT OF CASH COLLATERAL FROM SECURITIES LOANED - (Cost $166,143,290) 5.54%
                   
166,143,290
 
                         
SHORT INVESTMENTS - (0.21)%
                       
COMMON STOCKS - (0.21)%
                       
A/C HEATING & FRIDGE EQUIPMENT - (0.01)%
                       
Carrier Global Corporation
   
(24,630
)
           
(424,868
)
AUTO PARTS & EQUIPMENT - (0.18)%
                       
BorgWarner, Inc.
   
(215,039
)
           
(5,240,500
)
ELEVATOR & MOVING STAIRWAY - (0.02)%
                       
Otis Worldwide Corporation
   
(12,315
)
           
(615,750
)
TOTAL COMMON STOCKS
                       
  (Proceeds $6,235,215)
                   
(6,281,118
)
TOTAL SHORT INVESTMENTS
                       
  (Proceeds $6,235,215) - (0.21)%
                   
(6,281,118
)
TOTAL NET INVESTMENTS
                       
  (Cost $3,107,214,882) - 99.16%
                   
2,973,038,876
 
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.84%
                   
25,158,340
 
TOTAL NET ASSETS - 100.00%
                 
$
2,998,197,216
 

ETF
 
- Exchange-Traded Fund
 
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 March 31, 2020.
 
(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 (n) on the Schedule of Investments for more information.
 
(g)
 
Level 3 Security. Please see footnote (n) 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 March 31, 2020, these securities represent 2.52% of total net assets.
 
(i)
 
The coupon rate shown on variable rate securities represents the rate as of March 31, 2020.
 
(j)
 
This security is held in connection with a written option contract.
 
(k)
 
All or a portion of the shares was out on loan at March 31, 2020. Total loaned securities had a value of $160,170,300 at March 31, 2020.
 
(l)
 
The rate shown represents yield to maturity.
 
(m)
 
Affiliated Issuer. Please see below note for more information.
           
   
Under section 2(a)(3) of the Act, an investment company is defined as being an affiliated person of a company if it owns five percent or more of a company’s outstanding voting stock.
 
   
Investments in affiliated companies for the Fund for the period January 1, 2020 to March 31, 2020, are shown below:
 

                           
 
Name of issuer
 
Number of shares held at December 31, 2019
   
Gross additions
   
Gross reductions
   
Number of shares held at
March 31, 2020
 
 
Gordon Pointe Acquisition Corporation
   
424,801
     
279,821
     
-
     
704,622
 
 
Pure Acquisition Corporation
   
1,413,170
     
753,694
     
-
     
2,166,864
 
                                   
     
Value at March 31, 2020
   
Amount of dividends for
the period
   
Net increase in unrealized appreciation for the period
   
Realized capital gain/(loss)
for the period
 
 
Gordon Pointe Acquisition Corporation
 
$
7,521,840
   
$
-
   
$
48,700
   
$
-
 
 
Pure Acquisition Corporation
   
22,513,717
     
-
     
41,543
     
-
 

(n)
 
Investment Valuation
 
   
The following is a summary of the Fund’s pricing procedures. It is intended to be a general discussion and may not necessarily reflect all pricing procedures followed by the Fund.
 
       
   
Equity securities, including common and preferred stocks, closed-end funds and ETFs, that trade on an exchange will typically be valued based on the last reported sale price. Securities listed on NASDAQ are typically valued using the NASDAQ Official Closing Price. The securities valued using quoted prices in active markets are classified as Level 1 investments. If, on a particular day, an exchange-listed security does not trade, then the mean between the closing bid and asked prices will typically be used to value the security. These securities are classified as Level 2 investments. Fixed income securities having a maturity of greater than 60 days are  typically valued based on evaluations provided by an independent pricing vendor. Investments in United States government securities (other than short-term  securities) are valued at the mean between the 4:00 p.m. New York time bid and asked prices supplied by a third party vendor. Short-term fixed-income securities having a maturity of less than 60 days are valued at market quotations or based on valuations supplied by a third party pricing service. If a reliable price from a  third party pricing service is unavailable, amortized cost may be used if it is determined that the instrument’s amortized cost value represents approximately the fair value of the security. These 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 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, 2020. These assets and liabilities are measured on a recurring basis.
 

                           
 
Investments at Fair Value
 
Level 1
   
Level 2
   
Level 3
   
Total
 
 
Assets
                       
 
Common Stocks*
 
$
1,564,461,786
   
$
58,911,246
   
$
-
   
$
1,623,373,032
 
 
Special Purpose Acquisition Companies
   
184,439,045
     
46,674,387
     
-
     
231,113,432
 
 
Contingent Value Rights
   
-
     
-
     
3,574,830
     
3,574,830
 
 
Rights
   
1,722,065
     
-
     
-
     
1,722,065
 
 
Warrants
   
3,147,246
     
688,627
     
-
     
3,835,873
 
 
Bank Loans
   
-
     
69,050,738
     
-
     
69,050,738
 
 
Corporate Bonds
   
-
     
128,644,315
     
-
     
128,644,315
 
 
Purchased Option Contracts
   
31,609,129
     
-
     
-
     
31,609,129
 
 
Escrow Notes
   
-
     
147,761,559
     
183,372
     
147,944,931
 
 
Short-Term Investments
   
359,864,062
     
212,444,297
     
-
     
572,308,359
 
 
Investments Purchased with the Cash Proceeds from Securities Lending***
   
-
     
-
     
-
     
166,143,290
 
 
Forward Currency Exchange Contracts**
   
-
     
5,103,816
     
-
     
5,103,816
 
 
Swap Contracts**
   
-
     
65,472,235
     
-
     
65,472,235
 
 
Total
 
$
2,145,243,333
   
$
734,751,220
   
$
3,758,202
   
$
3,049,896,045
 
                                   
 
Liabilities
                               
 
Short Common Stocks*
 
$
(6,281,118
)
 
$
-
   
$
-
   
$
(6,281,118
)
 
Written Option Contracts
   
(7,653,901
)
   
-
     
-
     
(7,653,901
)
 
Swap Contracts**
   
-
     
(23,192,999
)
   
-
     
(23,192,999
)
 
Total
 
$
(13,935,019
)
 
$
(23,192,999
)
 
$
-
   
$
(37,128,018
)

*
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.
***
Certain investments that are measured at fair value using the NAV per share (or its equivalent) practical expedient have not been characterized
 
in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the
 
amount presented in the Statement of Assets and Liabilities. See Note (k) for additional information regarding securities lending activity.

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 March 31, 2020, the value of these securities was $3,758,202. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs as described in footnote (n). The appropriateness of fair values for these securities is monitored by the Valuation Group on an ongoing basis.

 
During the period ended March 31, 2020, the value of securities transferred out of Level 2 and into Level 3 was $3,584,125. These securities were transferred out of Level 2 and into Level 3 due to decreased market activity and the availability of broker valuations.
 
   
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
 
Contingent Value Rights
   
Escrow Notes
   
Total Investment
 
 
Balance as of December 31, 2019
 
$
-
   
$
285,983
   
$
285,983
 
 
Purchases on Investments
   
-
     
-
     
-
 
 
(Sales) of Investments
   
-
     
-
     
-
 
 
Realized (Gain) Loss
   
-
     
-
     
-
 
 
Transfers Into Level 3
   
3,574,830
     
9,295
     
3,584,125
 
 
(Transfer Out) of Level 3
   
-
     
-
     
-
 
 
Change in Unrealized Appreciation (Depreciation)
   
-
     
(111,906
)
   
(111,906
)
 
Balance as of March 31, 2020
 
$
3,574,830
   
$
183,372
   
$
3,758,202
 
                           
 
Change in unrealized appreciation (depreciation)
    during the period for Level 3 investments held at
    March 31, 2020.
 
$
1,451,310
   
$
(111,906
)
 
$
1,339,404
 

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 depreciation on investments related to Level 3 securities held by the Fund at March 31, 2020 totals $(111,906).
 
   
Significant unobservable valuation inputs monitored by the Valuation Group under the supervision of the Board of Trustees for material Level 3 investments as of March 31, 2020 are as follows:
 

                   
                   
                   
 
Description
 
Fair Value at
March 31, 2020
 
Valuation Technique
 
Unobservable Input
 
 
Escrow Note

 
                          -
*
 
Projected Final Distribution**
Discount of Projected Distribution
*
Amount less than $0.50.
               
**
This Level 3 security was received through a corporate action. The security is being kept open due to the potential of an additional
distribution. Based on the evaluation of the likelihood of an additional distribution, the security is being priced at zero.

The table above does not include certain Level 3 investments that are valued by brokers. At March 31, 2020, the net value of these securities was $3,758,202. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in footnote (n).

 
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.
 
   

The Merger Fund
         
SCHEDULE OF INVESTMENTS
         
Open Written Options
             
March 31, 2020 (Unaudited)
         
           
 
Contracts (100
shares per
contract)

 
Notional Amount

 
Value
WRITTEN CALL OPTIONS
           
BorgWarner, Inc.
             
Expiration: May 2020, Exercise Price: $27.50
(68)
  $
            (165,716)
  $
               (7,820)
Expiration: May 2020, Exercise Price: $30.00
(809)
   
            (1,971,533)
   
                (46,517)
DuPont de Nemours, Inc.
             
Expiration: June 2020, Exercise Price: $45.00
(1,557)
   
(5,309,370)
   
             (127,674)
Fitbit, Inc. Class A
             
Expiration: May 2020, Exercise Price: $8.00
(330)
   
(219,780)
   
                    (660)
IAC/InterActiveCorp
             
Expiration: April 2020, Exercise Price: $200.00
(290)
   
(5,197,670)
   
               (89,900)
Expiration: April 2020, Exercise Price: $210.00
(272)
   
(4,875,056)
   
               (54,400)
Expiration: April 2020, Exercise Price: $220.00
(1,064)
   
(19,070,072)
   
               (93,100)
Industrial Select Sector SPDR Fund
             
Expiration: April 2020, Exercise Price: $60.00
(1,250)
   
(7,376,250)
   
             (282,500)
Legg Mason, Inc.
             
Expiration: May 2020, Exercise Price: $50.00
(17)
   
(83,045)
   
                    (510)
Marathon Petroleum Corporation
             
Expiration: April 2020, Exercise Price: $47.50
(1,748)
   
(4,128,776)
   
                 (5,244)
Expiration: April 2020, Exercise Price: $52.50
(3,680)
   
(8,692,160)
   
               (22,080)
Expiration: April 2020, Exercise Price: $55.00
(42)
   
(99,204)
   
                      (42)
Masco Corporation
             
Expiration: April 2020, Exercise Price: $42.00
(3,608)
   
(12,472,856)
   
               (45,100)
Expiration: April 2020, Exercise Price: $45.00
(10,252)
   
(35,441,164)
   
               (10,252)
Mellanox Technologies Ltd.
             
Expiration: June 2020, Exercise Price: $125.00
(928)
   
(11,258,496)
   
               (46,400)
SPDR S&P 500 ETF Trust
             
Expiration: April 2020, Exercise Price: $265.00
(418)
   
(10,773,950)
   
             (250,382)
Expiration: April 2020, Exercise Price: $270.00
(839)
   
(21,625,225)
   
             (326,371)
Expiration: April 2020, Exercise Price: $275.00
(629)
   
(16,212,475)
   
             (143,412)
Taubman Centers, Inc.
             
Expiration: June 2020, Exercise Price: $55.00
(933)
   
(3,907,404)
   
                 (4,665)
Tiffany & Company
             
Expiration: May 2020, Exercise Price: $135.00
(1)
   
(12,950)
   
                        (8)
T-Mobile USA, Inc.
             
Expiration: April 2020, Exercise Price: $80.00
(1,434)
   
(12,031,260)
   
             (777,945)
Expiration: April 2020, Exercise Price: $85.00
(2,379)
   
(19,959,810)
   
             (689,910)
Expiration: May 2020, Exercise Price: $82.50
(730)
   
(6,124,700)
   
             (459,900)
Expiration: May 2020, Exercise Price: $87.50
(3,002)
   
(25,186,780)
   
          (1,266,844)
VanEck Vectors Semiconductor ETF
             
Expiration: April 2020, Exercise Price: $125.00
(1,197)
   
(14,021,658)
   
             (254,363)
XPO Logistics, Inc.
             
Expiration: May 2020, Exercise Price: $45.00
(1,822)
   
(8,882,250)
   
          (1,512,260)
Expiration: May 2020, Exercise Price: $82.50
(3,457)
   
(16,852,875)
   
               (17,285)
             
           (6,535,544)
 WRITTEN PUT OPTIONS
           
Fitbit, Inc. Class A
             
Expiration: May 2020, Exercise Price: $6.00
(41)
   
(27,306)
   
                    (451)
Industrial Select Sector SPDR Fund
             
Expiration: April 2020, Exercise Price: $45.00
(1,667)
   
(9,836,967)
   
               (45,009)
Expiration: April 2020, Exercise Price: $50.00
(1,935)
   
(11,418,435)
   
             (137,385)
Expiration: May 2020, Exercise Price: $45.00
(1,563)
   
(9,223,263)
   
             (139,107)
SPDR S&P 500 ETF Trust
             
Expiration: April 2020, Exercise Price: $190.00
(3,145)
   
(81,062,375)
   
             (257,890)
VanEck Vectors Semiconductor ETF
             
Expiration: April 2020, Exercise Price: $100.00
(3,989)
   
(46,727,146)
   
             (538,515)
             
           (1,118,357)
TOTAL WRITTEN OPTIONS
           
 
(Premiums received $33,384,194)
          $
         (7,653,901)
 

ETF - Exchange-Traded Fund
             

The Merger Fund
                             
SCHEDULE OF INVESTMENTS
                         
Forward Currency Exchange Contracts
                         
March 31, 2020 (Unaudited)
                           
                                 
Unrealized
Settlement
             
USD Value at
         
USD Value at
   
Appreciation
Date
 
Counterparty
 
Currency to be Delivered
   
March 31, 2020
 
Currency to be Received
   
March 31, 2020
   
(Depreciation)*
3/17/2021
 
GS
 
4,526,145
EUR
 
                          5,048,961
 
4,941,842
USD
 
                        4,941,842
  $
                                          (107,119)
3/17/2021
 
JPM
 
115,157,285
EUR
   
                         128,459,132
 
130,019,884
USD
   
                         130,019,884
   
                                             1,560,752
3/17/2021
 
JPM
 
219,539
USD
   
219,539
 
202,170
EUR
   
225,523
   
5,984
4/22/2020
 
JPM
 
22,346,588
EUR
   
24,667,553
 
25,096,354
USD
   
25,096,354
   
428,801
4/22/2020
 
JPM
 
16,461,301
USD
   
16,461,301
 
14,892,523
EUR
   
16,439,292
   
(22,009)
4/23/2020
 
JPM
 
6,306,308
EUR
   
6,961,607
 
6,779,642
USD
   
6,779,642
   
(181,965)
4/27/2020
 
GS
 
1,978,414
EUR
   
2,184,386
 
2,215,131
USD
   
2,215,131
   
30,745
4/27/2020
 
JPM
 
120,239,211
EUR
   
132,757,301
 
134,518,309
USD
   
134,518,309
   
1,761,008
5/20/2020
 
GS
 
1,735,190
EUR
   
1,917,532
 
1,953,416
USD
   
1,953,416
   
35,884
5/20/2020
 
JPM
 
9,036,317
EUR
   
9,985,892
 
10,091,471
USD
   
10,091,471
   
105,579
6/15/2020
 
GS
 
27,459,432
EUR
   
30,374,066
 
30,637,100
USD
   
30,637,100
   
263,034
7/8/2020
 
JPM
 
12,971,033
EUR
   
14,358,916
 
14,455,966
USD
   
14,455,966
   
97,050
5/7/2020
 
JPM
 
144,309,838
HKD
   
18,611,226
 
18,537,446
USD
   
18,537,446
   
(73,780)
5/7/2020
 
JPM
 
18,548,826
USD
   
18,548,826
 
144,309,838
HKD
   
18,611,226
   
62,400
7/22/2020
 
JPM
 
1,607,964
HKD
   
207,316
 
207,091
USD
   
207,091
   
(225)
5/11/2020
 
JPM
 
7,214,901,220
JPY
   
67,234,237
 
67,476,134
USD
   
67,476,134
   
241,897
5/12/2020
 
JPM
 
1,050,800,800
JPY
   
9,792,540
 
9,742,915
USD
   
9,742,915
   
(49,625)
5/12/2020
 
JPM
 
5,027,050
USD
   
5,027,050
 
549,516,800
JPY
   
5,121,014
   
93,964
6/22/2020
 
JPM
 
2,520,054,270
JPY
   
23,520,352
 
23,554,824
USD
   
23,554,824
   
34,472
6/26/2020
 
JPM
 
1,777,427,843
JPY
   
16,591,820
 
16,172,108
USD
   
16,172,108
   
(419,712)
6/4/2020
 
JPM
 
24,156,321
NZD
   
14,406,668
 
15,643,349
USD
   
15,643,349
   
1,236,681
               $
                      547,336,221
         $
                    552,440,037
  $
                                      5,103,816
                                   
EUR
- Euro
                             
GS
- Goldman, Sachs & Co.
                         
HKD
- Hong Kong Dollar
                         
JPM
- JPMorgan Chase & Co., Inc.
                         
JPY
- Japanese Yen
                           
NZD
- New Zealand Dollar
                         
USD
- U.S. Dollar
                             
*
Net unrealized appreciation (depreciation) is a receivable (payable).
         
 
                                 

The Merger Fund
                     
SCHEDULE OF INVESTMENTS
                     
Open Swap Contracts
                     
March 31, 2020 (Unaudited)
                     
                       
Unrealized
     
Pay/Receive on
Financing
Payment
     
Notional
   
Appreciation
Counterparty
Security
Termination Date
Financing Rate
Rate
Frequency
Shares
   
 Amount

 
(Depreciation)*
LONG TOTAL RETURN SWAP CONTRACTS
                   
BAML
Allergan plc
2/7/2021
Pay
0.750% + 1 Month U.S. LIBOR
Monthly
1,110,227
   $
  216,275,728
  $
          (20,090,370)
BAML
Altran Technologies S.A.
3/27/2021
Pay
0.350% + 1 Month U.S. LIBOR
Monthly
513,715
   
               8,270,812
   
                    170,968
GS
Bolsas y Mercados Espanoles
11/19/2020
Pay
0.500% + 1 Month U.S. LIBOR
Monthly
208,955
   
               8,162,010
   
                  (546,781)
JPM
Bolsas y Mercados Espanoles
12/20/2020
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
109,341
   
               4,191,338
   
                  (206,805)
BAML
Bristol-Myers Squibb Company
11/21/2020
Pay
0.000%(1)
Monthly
361,933
   
                             –
(1)
 
                 1,375,345
BAML
Faurecia S.E.
11/14/2020
Pay
0.423% + 1 Month U.S. LIBOR
Monthly
68,711
   
               3,375,482
   
               (1,312,911)
BAML
Fiat Chrysler Automobiles N.V.
11/15/2020
Pay
0.423% + 1 Month U.S. LIBOR
Monthly
1,668,030
   
             23,592,092
   
             (11,545,570)
GS
GrandVision N.V.
1/7/2021
Pay
0.500% + 1 Month U.S. LIBOR
Monthly
966,201
   
             29,057,433
   
               (2,491,578)
BAML
Hitachi Chemical Company Ltd.
12/23/2020
Pay
0.500% + 1 Month U.S. LIBOR
Monthly
178,355
   
               7,463,160
   
                    146,690
JPM
Hitachi Chemical Company Ltd.
12/30/2020
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
1,379,939
   
             58,720,648
   
                    155,459
JPM
Innogy S.E.
6/6/2020
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
165,433
   
               7,858,324
   
                        3,127
JPM
Keihin Corporation
3/12/2021
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
320,551
   
               7,439,530
   
                      85,222
JPM
Line Corporation
11/20/2020
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
335,661
   
             15,949,955
   
                    305,516
JPM
Metlifecare Ltd.
1/21/2021
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
3,450,903
   
             15,346,109
   
               (7,529,238)
JPM
Nissin Kogyo Company Ltd.
3/12/2021
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
375,140
   
               7,529,835
   
                    157,126
JPM
Osram Licht AG
12/5/2020
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
2,546,838
   
           111,879,810
   
                 1,399,414
BAML
Osram Licht AG
12/16/2020
Pay
0.350% + 1 Month U.S. LIBOR
Monthly
76,365
   
               3,455,413
   
                    (63,493)
GS
Osram Licht AG
12/17/2020
Pay
0.500% + 1 Month U.S. LIBOR
Monthly
356,329
   
             16,132,236
   
                  (282,112)
JPM
Qiagen N.V.
3/3/2021
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
2,968,127
   
           122,226,853
   
                 1,200,797
JPM
RIB Software S.E.
2/24/2021
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
447,277
   
             14,190,471
   
                  (109,207)
JPM
SHOWA Corporation
3/12/2021
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
366,329
   
               7,559,063
   
                    110,460
JPM
The Stars Group, Inc.
4/5/2021
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
1,231,630
   
             25,186,834
   
                              -
JPM
Unizo Holdings Company Ltd.
11/25/2020
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
89,515
   
               4,108,905
   
                    858,929
JPM
Wheelock and Company Ltd.
3/18/2021
Pay
0.400% + 3 Month U.S. LIBOR
Quarterly
133,997
   
                  895,523
   
                      18,375
                         
SHORT TOTAL RETURN SWAP CONTRACTS
                   
BAML
AbbVie, Inc.
10/4/2020
Receive
(0.236)% +1 Month U.S. LIBOR
Monthly
(1,033,278)
   
           (79,595,491)
   
                    951,436
JPM
American Airlines Group, Inc.
2/25/2021
Receive
(0.600)% +3 Month U.S. LIBOR
Quarterly
(11,395)
   
                (263,452)
   
                    124,570
GS
Aon plc
3/19/2021
Receive
(0.350)% + U.S. Federal Funds
Monthly
(383,025)
   
           (59,182,515)
   
               (4,035,630)
GS
BorgWarner, Inc.
2/14/2021
Receive
(0.350)% + U.S. Federal Funds
Monthly
(598,167)
   
           (17,899,700)
   
                 3,323,188
GS
The Charles Schwab Corporation
12/5/2020
Receive
(0.350)% + U.S. Federal Funds
Monthly
(2,495,645)
   
         (109,556,885)
   
               25,645,502
JPM
Digital Realty Trust, Inc.
12/10/2020
Receive
(0.600)% +3 Month U.S. LIBOR
Quarterly
(27,220)
   
             (3,200,800)
   
                  (580,028)
GS
Eldorado Resorts, Inc.
12/20/2020
Receive
(0.520)% + U.S. Federal Funds
Monthly
(509,766)
   
           (27,654,377)
   
               20,310,424
GS
Fidelity National Financial, Inc.
3/13/2021
Receive
(0.350)% + U.S. Federal Funds
Monthly
(161,182)
   
             (4,607,685)
   
                    597,259
GS
First Horizon National Corporation
3/19/2021
Receive
(0.350)% + U.S. Federal Funds
Monthly
(1,189,254)
   
             (9,707,364)
   
                    121,506
GS
Flutter Entertainment
10/2/2020
Receive
(0.350)% + U.S. Federal Funds
Monthly
(665,966)
   
           (67,532,139)
   
                 7,023,940
JPM
Flutter Entertainment
10/22/2020
Receive
(0.476)% +3 Month U.S. LIBOR
Quarterly
(277,710)
   
           (27,386,229)
   
                 2,159,598
GS
Morgan Stanley
2/28/2021
Receive
(0.350)% + U.S. Federal Funds
Monthly
(2,404,533)
   
           (97,387,692)
   
               15,627,421
BAML
Peugeot S.A.
11/14/2020
Receive
(0.350)% +1 Month U.S. LIBOR
Monthly
(950,619)
   
           (21,631,983)
   
                 8,901,413
GS
Raytheon Company
3/19/2021
Receive
(0.350)% + U.S. Federal Funds
Monthly
(288,933)
   
           (38,074,274)
   
                    179,096
BAML
WESCO International, Inc.
2/20/2021
Receive
(0.400)% +1 Month U.S. LIBOR
Monthly
(56,405)
   
             (1,431,803)
   
                    143,273
JPM
The Wharf Holdings Ltd.
3/18/2021
Pay
(3.000)% +3 Month U.S. LIBOR
Quarterly
(133,997)
   
                (223,822)
   
                    (13,786)
JPM
Wharf Real Estate Investment Company Ltd.
3/18/2021
Pay
(2.750)% +3 Month U.S. LIBOR
Quarterly
(133,997)
   
                (542,315)
   
                      (9,309)
                       
$            42,279,236

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
                   
U.S. Federal Funds
- U.S. Federal Funds Effective Rate
                 
*
Based on the net swap value held at each counterparty, unrealized appreciation (depreciation) is a receivable (payable).
(1)
Security held is the direct result of a corporate action. There is no associated financing rate and the security is held with a zero cost basis.