NPORT-EX 2 VIWA010VIRTUS093023.htm
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2023
($ reported in thousands)
  Par Value   Value
Convertible Bonds and Notes—0.7%
Health Care—0.3%    
NextGen Healthcare, Inc. 144A
3.750%, 11/15/27(1)
$      6,423   $    7,174
Tabula Rasa HealthCare, Inc.
1.750%, 2/15/26
      1,334       1,292
          8,466
       
 
Information Technology—0.4%    
Splunk, Inc.
1.125%, 6/15/27
     14,785      13,949
Total Convertible Bonds and Notes
(Identified Cost $22,354)
     22,415
       
 
       
 
Corporate Bonds and Notes—4.4%
Communication Services—1.6%    
Connect Finco S.a.r.l. 144A
6.750%, 10/1/26(1)
      3,898       3,636
GrubHub Holdings, Inc. 144A
5.500%, 7/1/27(1)
      8,853       6,877
Lagardere S.A.      
RegS 1.625%, 6/21/24(2)       2,600EUR       2,711
RegS 2.125%, 10/16/26(2)      18,800EUR      19,516
RegS 1.750%, 10/7/27(2)      16,600EUR      17,256
         49,996
       
 
Consumer Discretionary—0.6%    
Michael Kors USA, Inc. 144A
4.250%, 11/1/24(1)
     18,768      18,440
Consumer Staples—0.3%    
TreeHouse Foods, Inc.
4.000%, 9/1/28
     10,995       8,920
Energy—1.0%    
California Resources Corp. 144A
7.125%, 2/1/26(1)
      2,421       2,433
Calumet Specialty Products Partners LP 144A
11.000%, 4/15/25(1)
      1,456       1,478
PDC Energy, Inc.
5.750%, 5/15/26
     26,314      26,223
         30,134
       
 
Financials—0.4%    
Earthstone Energy Holdings LLC 144A
8.000%, 4/15/27(1)
      5,995       6,136
Mobius Merger Sub, Inc. 144A
9.000%, 6/1/30(1)
      1,679       1,553
SEG Holding LLC 144A
5.625%, 10/15/28(1)
      1,653       1,657
Verscend Escrow Corp. 144A
9.750%, 8/15/26(1)
      1,810       1,810
         11,156
       
 
Information Technology—0.4%    
NCR Corp.      
144A 5.750%, 9/1/27(1)       5,023       5,060
  Par Value   Value
       
Information Technology—continued    
144A 6.125%, 9/1/29(1)(3) $      6,253   $    6,413
         11,473
       
 
Real Estate—0.0%    
Anywhere Real Estate Group LLC 144A
7.000%, 4/15/30(1)
      1,522       1,374
Realogy Group LLC 144A
5.250%, 4/15/30(1)
         97          67
          1,441
       
 
Utilities—0.1%    
Origin Energy Finance Ltd. RegS
1.000%, 9/17/29(2)
      3,126EUR       3,002
Total Corporate Bonds and Notes
(Identified Cost $140,030)
    134,562
       
 
       
 
Leveraged Loans—0.6%
Food / Tobacco—0.3%    
Hostess Brands LLC Tranche B (3 month Term SOFR + 2.500%)
7.890%, 6/21/30(4)
      9,000       9,009
Health Care—0.2%    
Verscend Holding Corp. Tranche B (1 month Term SOFR + 4.114%)
9.431%, 8/27/25(4)
      4,962       4,957
Information Technology—0.1%    
RentPath LLC Tranche B-1, First Lien (3 month PRIME + 3.750%)
12.250%, 4/25/24(5)(6)
        482          —
Syniverse Holdings, Inc. (3 month Term SOFR + 7.000%)
12.390%, 5/13/27(4)
      5,326       4,658
          4,658
       
 
Total Leveraged Loans
(Identified Cost $19,595)
     18,624
    
  Shares  
Preferred Stock—0.0%
Information Technology—0.0%  
Babcock & Wilcox Enterprises, Inc., 6.500%       6,867       143
Total Preferred Stock
(Identified Cost $172)
      143
     
 
     
 
Common Stocks—45.3%
Communication Services—8.0%  
Activision Blizzard, Inc.   2,646,605   247,801
GCI Liberty, Inc. Escrow Share(7)      70,800         9
      247,810
     
 
Consumer Discretionary—2.1%  
Capri Holdings Ltd.(7)(8)   1,238,561    65,161
See Notes to Schedule of Investments
1

The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
  Shares   Value
       
Consumer Staples—3.3%    
Albertsons Cos., Inc. Class A(8)   2,177,010   $   49,527
Gold Flora Corp.(7)     389,769          50
Hostess Brands, Inc. Class A(7)(8)     466,093      15,526
Sovos Brands, Inc.(7)(8)   1,577,392      35,570
        100,673
       
 
Energy—1.7%    
Denbury, Inc.(7)(8)     527,511      51,701
ONEOK, Inc.          —          —(9)
         51,701
       
 
Financials—0.8%    
American Equity Investment Life Holding Co.(7)(8)     327,593      17,572
Argo Group International Holdings Ltd.     209,223       6,243
Intercontinental Exchange, Inc.      13,800       1,519
         25,334
       
 
Health Care—16.3%    
Abcam plc Sponsored ADR(7)(8)   2,616,294      59,207
ABIOMED, Inc.(5)(7)      60,860         129
Amedisys, Inc.(7)     653,187      61,008
Emis Group plc     160,999       3,795
EQRx, Inc.(7)(8)   5,429,530      12,053
Horizon Therapeutics plc(7)(8)   1,730,866     200,244
Seagen, Inc.(7)(8)     797,684     169,229
        505,665
       
 
Information Technology—9.5%    
National Instruments Corp.(8)     944,281      56,298
New Relic, Inc.(7)     167,142      14,311
Silicon Motion Technology Corp. ADR(7)     317,793      16,287
Splunk, Inc.(7)     322,100      47,107
Tower Semiconductor Ltd.(7)     381,418       9,368
VMware, Inc. Class A(7)     896,049     149,174
        292,545
       
 
Materials—3.2%    
Newcrest Mining Ltd.     214,176       3,386
Teck Resources Ltd. Class B     666,600      28,724
United States Steel Corp.   1,492,311      48,470
Westrock Co.     557,063      19,943
        100,523
       
 
Real Estate—0.4%    
RPT Realty   1,236,501      13,057
Total Common Stocks
(Identified Cost $1,336,440)
  1,402,469
       
 
       
 
Affiliated Mutual Fund—2.6%
Equity Fund—2.6%    
Virtus Westchester Event-Driven Fund Class I(10)(11)   7,418,511      78,933
Total Affiliated Mutual Fund
(Identified Cost $77,500)
     78,933
       
 
       
 
  Shares   Value
       
       
Rights—0.0%
Health Care—0.0%    
Akouos, Inc., 12/31/49(7)     336,679   $      379
Bristol Myers Squibb Co., 12/31/35(5)(7)     453,175         566
Total Rights
(Identified Cost $—)
        945
       
 
       
 
Warrants—0.0%
Communication Services—0.0%    
Akazoo S.A., 12/31/35(5)(7)     238,850          —
BuzzFeed, Inc., 12/01/26(7)     116,254           5
              5
       
 
Consumer Discretionary—0.0%    
Allurion Technologies, Inc., 07/31/29(7)      63,240          58
Cazoo Group Ltd., 08/26/26(7)     380,410          —(9)
CEC Brands LLC, 12/31/25(5)(7)     189,648         569
ECARX Holdings, Inc., 12/21/27(7)      81,099           4
Grove Collaborative Holdings, 03/13/26(7)      78,996           1
Zapp Electric Vehicles Group Ltd., 03/03/28(7)     168,623           4
            636
       
 
Consumer Staples—0.0%    
Whole Earth Brands, Inc., 06/25/25(7)      55,224           7
Financials—0.0%    
26 Capital Acquisition Corp., 12/31/27(7)      61,000          —
Alchemy Investments Acquisition Corp. 1, 06/26/28(7)     183,897          30
Alpha Partners Technology Merger Corp., 03/31/28(7)      83,333           4
AltEnergy Acquisition Corp., 11/10/28(7)      62,809           3
Ares Acquisition Corp., 12/31/27(7)      31,500          21
Ares Acquisition Corp. II, 06/12/28(7)     331,251          78
Arrowroot Acquisition Corp., 03/02/26(7)     462,172          79
Athena Consumer Acquisition Corp., 07/31/28(7)      41,929          15
Cartesian Growth Corp II, 07/12/28(7)      69,832          12
Cartica Acquisition Corp., 04/30/28(7)      37,500           2
CC Neuberger Principal Holdings III, 12/31/27(7)      22,800           4
CF Acquisition Corp. VIII, 12/31/27(7)      40,000          11
Corner Growth Acquisition Corp., 12/31/27(7)      62,938           6
ESGEN Acquisition Corp., 10/20/26(7)      73,376           3
FTAC Emerald Acquisition Corp., 08/22/28(7)     207,965          15
Fusion Acquisition Corp. II, 12/31/27(7)      70,766          —(9)
GCM Grosvenor, Inc. Class A, 11/17/25(7)     102,070          27
Goal Acquisitions Corp., 02/11/26(7)     564,935          15
Infinite Acquisition Corp., 11/23/28(7)      52,215           2
Inflection Point Acquisition Corp. II, 07/17/28(7)     147,761          25
Israel Acquisitions Corp., 02/28/28(7)     447,969          62
Juniper II Corp., 12/31/28(7)      97,736          —(9)
Kensington Capital Acquisition Corp. V, 08/13/28(7)     126,939          15
Live Oak Crestview Climate Acquisition Corp., 03/12/26(7)     143,352          10
Moneylion, Inc., 06/01/27(7)     106,742           5
Newbury Street Acquisition Corp., 12/31/27(7)      31,054           5
Newcourt Acquisition Corp., 04/12/28(7)      85,245           2
Phoenix Biotech Acquisition Corp., 09/01/26(7)      62,781           4
PROOF Acquisition Corp. I, 12/03/28(7)     167,228          15
Prospector Capital Corp., 01/01/25(7)     155,088          10
 
See Notes to Schedule of Investments
2

The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
  Shares   Value
       
Financials—continued    
Pyrophyte Acquisition Corp., 12/17/23(7)      83,773   $        5
RMG Acquisition Corp. III, 12/31/27(7)      85,180          11
Screaming Eagle Acquisition Corp. Class A, 12/15/27(7)     251,119          40
Semper Paratus Acquisition Corp., 11/04/26(7)      83,731           5
SilverBox Corp. III, 04/28/28(7)      31,515           5
Slam Corp. Class A, 12/31/27(7)     101,785          14
Spring Valley Acquisition Corp. II, 02/25/26(7)     158,098          16
Target Global Acquisition I Corp., 12/31/27(7)     125,200           7
Thunder Bridge Capital Partners III, Inc., 02/15/28(7)      81,350           6
            589
       
 
Health Care—0.0%    
Pear Therapeutics, Inc., 02/04/26(7)       6,166          —(9)
Quantum-Si, Inc., 09/30/27(7)      32,085           9
              9
       
 
Industrials—0.0%    
Amprius Technologies, Inc., 03/02/27(7)     326,205          87
Bridger Aerospace Group Holdings, Inc., 12/31/27(7)      58,300          17
Freightos Ltd., 01/23/28(7)      54,429           7
Getaround, Inc., 12/31/28(7)      12,698          —(9)
            111
       
 
Information Technology—0.0%    
KLDiscovery, Inc., 12/19/24(7)     677,651           2
Movella Holdings, Inc., 12/31/27(7)      74,121           2
Near Intelligence, Inc., 07/08/27(7)      16,000          —(9)
              4
       
 
Materials—0.0%    
Ginkgo Bioworks Holdings, Inc., 12/31/27(7)       2,620           1
Total Warrants
(Identified Cost $13,629)
      1,362
    
  Shares/Units  
Special Purpose Acquisition Companies—27.1%
7GC & Co. Holdings, Inc. Class A(7)(10)     198,728     2,102
Accretion Acquisition Corp.(7)     306,281     3,210
Acropolis Infrastructure Acquisition Corp. Class A(7)     268,949     2,765
Aimfinity Investment Corp. I(7)     107,731     1,150
Alchemy Investments Acquisition Corp. 1(7)     367,795     3,796
Alpha Partners Technology Merger Corp. Class A(7)(10)   1,146,417    12,135
Alpha Star Acquisition Corp.(7)(10)     710,257     7,735
AltC Acquisition Corp. Class A(7)     299,852     3,103
Anzu Special Acquisition Corp. I Class A(7)      99,143     1,034
AP Acquisition Corp. Class A(7)     355,336     3,902
Apollo Strategic Growth Capital Class B(5)(7)     263,982        —
Apollo Strategic Growth Capital II Class A(7)(10)   1,536,014    16,144
APx Acquisition Corp. I(7)(10)     566,675     6,216
Ares Acquisition Corp. Class A(7)(10)   2,638,587    28,391
Ares Acquisition Corp. II(7)   1,538,410    15,799
Arisz Acquisition Corp.(7)(10)     339,292     3,641
Arogo Capital Acquisition Corp. Class A(7)(10)     160,187     1,709
Arrowroot Acquisition Corp. Class A(7)(10)     345,322     3,622
Artemis Strategic Investment Corp. Class A(7)     115,940     1,235
ARYA Sciences Acquisition Corp. IV Class A(7)(10)     395,691     4,293
  Shares/Units   Value
Aura FAT Projects Acquisition Corp. Class A(7)     178,446   $    1,920
Aurora Technology Acquisition Corp. Class A(7)     200,000       2,168
Bannix Acquisition Corp.(7)      21,987         234
Battery Future Acquisition Corp. Class A(7)(10)     938,916      10,215
Beard Energy Transition Acquisition Corp. Class A(7)     350,888       3,772
BioPlus Acquisition Corp. Class A(7)(10)   1,119,976      12,129
Black Mountain Acquisition Corp. Class A(3)(7)     335,923       3,584
Blue Ocean Acquisition Corp. Class A(7)     271,847       2,914
Blue World Acquisition Corp.(7)     139,717       1,523
Bowen Acquisition Corp.(7)     189,738       1,933
Bridgetown Holdings Ltd. Class A(7)     196,553       2,036
Bukit Jalil Global Acquisition 1 Ltd.(7)     116,009       1,193
Bukit Jalil Global Acquisition 1 Ltd.(7)     121,363       1,268
byNordic Acquisition Corp.(7)     142,352       1,535
C5 Acquisition Corp. Class A(7)(10)     584,310       6,410
Canna-Global Acquisition Corp. Class A(7)     112,533       1,217
Capitalworks Emerging Markets Acquisition Corp. Class A(7)     203,471       2,198
Cartesian Growth Corp. II Class A(7)   1,060,315      11,451
Cartica Acquisition Corp. Class A(7)     284,379       3,060
CC Neuberger Principal Holdings III Class A(7)     186,417       2,032
Cetus Capital Acquisition Corp.(7)     165,895       1,735
CF Acquisition Corp. IV Class A(7)     451,305       4,820
CF Acquisition Corp. VII Class A(7)     708,562       7,582
Chenghe Acquisition Co. Class A(7)     285,319       3,090
Churchill Capital Corp. V Class A(7)     208,972       2,173
Churchill Capital Corp. VII Class A(7)(10)   3,298,554      34,470
Clean Earth Acquisitions Corp. Class A(7)(10)     547,252       5,784
Coliseum Acquisition Corp. Class A(7)(10)     522,188       5,556
Compass Digital Acquisition Corp.(7)     749,247       7,860
Concord Acquisition Corp. II Class A(7)   1,067,227      10,971
Constellation Acquisition Corp. I Class A(7)(10)     381,194       4,113
Crown PropTech Acquisitions Class A(7)         993          10
CSLM Acquisition Corp.(7)     450,016       4,815
Data Knights Acquisition Corp. Class A(7)(10)     221,951       2,519
Denali Capital Acquisition Corp. Class A(7)     286,711       3,131
DHC Acquisition Corp. Class A(7)     190,308       2,021
Direct Selling Acquisition Corp. Class A(7)     183,853       1,923
Distoken Acquisition Corp.(3)(7)     376,998       3,974
DUET Acquisition Corp. Class A(7)     201,622       2,159
EF Hutton Acquisition Corp. I(7)     194,219       2,051
Embrace Change Acquisition Corp.(7)     346,270       3,729
Enphys Acquisition Corp.(7)   1,382,585      14,517
ESGEN Acquisition Corp. Class A(7)(10)     271,788       3,033
ESH Acquisition Corp.(7)     321,082          78
ESH Acquisition Corp. Class A(7)     321,082       3,249
EVe Mobility Acquisition Corp. Class A(7)     606,371       6,476
Everest Consolidator Acquisition Corp.(7)     533,272       5,770
Evergreen Corp. Class A(7)     204,678       2,243
ExcelFin Acquisition Corp. Class A(7)     161,036       1,713
FAST Acquisition Corp. II Class A(7)     200,431       2,119
Feutune Light Acquisition Corp. Class A(7)      81,104         866
Finnovate Acquisition Corp. Class A(7)(10)     521,355       5,678
Fintech Ecosystem Development Corp. Class A(7)     116,862       1,243
Focus Impact Acquisition Corp. Class A(7)(10)     375,863       4,078
Forbion European Acquisition Corp. Class A(7)     389,361       4,264
Forest Road Acquisition Corp. II Class A(3)(7)     150,000       1,553
FTAC Emerald Acquisition Corp. Class A(7)     722,983       7,562
FutureTech II Acquisition Corp. Class A(7)     308,648       3,358
Generation Asia I Acquisition Ltd. Class A(7)     325,000       3,484
Global Partner Acquisition Corp. II Class A(7)       4,721          51
Golden Star Acquisition Corp.(7)     205,869       2,188
Golden Star Acquisition Corp.(7)     109,785       1,131
Gores Holdings IX, Inc. Class A(7)   2,327,807      24,186
 
See Notes to Schedule of Investments
3

The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
  Shares/Units   Value
Graf Acquisition Corp. IV(7)      85,305   $      884
Haymaker Acquisition Corp. 4(7)     238,161       2,489
HCM Acquisition Corp. Class A(7)     467,203       5,139
Hudson Acquisition I Corp.(7)     118,200       1,269
Iconic Sports Acquisition Corp. Class A(7)     562,740       6,083
Infinite Acquisition Corp. Class A(7)(10)     646,649       6,958
InFinT Acquisition Corp. Class A(7)     319,938       3,529
Inflection Point Acquisition Corp. II Class A(7)     374,166       3,820
Integral Acquisition Corp. 1 Class A(7)     124,146       1,331
Integrated Rail & Resources Acquisition Corp. Class A(7)      29,811         324
Integrated Wellness Acquisition Corp. Class A(7)(10)     423,090       4,637
Investcorp Europe Acquisition Corp. I Class A(7)(10)   1,234,820      13,435
Investcorp India Acquisition Corp. Class A(7)(10)     657,507       7,121
Israel Acquisitions Corp. Class A(7)(10)     847,969       8,946
IX Acquisition Corp. Class A(7)     390,600       4,258
Jaguar Global Growth Corp. I Class A(7)(10)     543,143       5,768
Jupiter Acquisition Corp. Class A(7)     199,693       2,053
Keen Vision Acquisition Corp.(7)     537,265       5,496
Keen Vision Acquisition Corp.(7)      85,535         871
Kernel Group Holdings, Inc. Class A(7)(10)     376,278       3,989
Keyarch Acquisition Corp.(7)     125,176       1,333
KnightSwan Acquisition Corp. Class A(7)     130,561       1,372
L Catterton Asia Acquisition Corp. Class A(7)     757,139       8,048
LatAmGrowth SPAC(7)     230,919       2,485
Learn CW Investment Corp. Class A(7)     817,802       8,677
Leo Holdings Corp. II Class A(7)(10)     281,385       3,090
Liberty Resources Acquisition Corp. Class A(7)(10)     277,451       3,030
LIV Capital Acquisition Corp. II Class A(7)     277,944       3,016
Live Oak Crestview Climate Acquisition Corp. Class A(7)     676,018       6,983
Magnum Opus Acquisition Ltd. Class A(7)(10)     394,757       4,208
Mars Acquisition Corp.(7)     214,664       2,256
Mars Acquisition Corp.(7)       5,944           1
Metal Sky Star Acquisition Corp.(7)     314,301       3,435
Mobiv Acquisition Corp. Class A(7)     255,399       2,730
Monterey Capital Acquisition Corp. Class A(7)     440,230       4,671
Mountain & Co. I Acquisition Corp.(7)(10)     923,431      10,342
Nabors Energy Transition Corp. Class A(7)(10)     752,411       8,164
Nabors Energy Transition Corp. II(7)     375,227       3,854
Newbury Street Acquisition Corp.(7)(10)     181,745       1,908
Newcourt Acquisition Corp. Class A(3)(7)      93,635       1,039
Nubia Brand International Corp. Class A(7)(10)     308,227       3,341
Oak Woods Acquisition Corp. Class A(7)     241,946       2,526
OCA Acquisition Corp. Class A(7)     139,497       1,483
Patria Latin American Opportunity Acquisition Corp.(7)(10)   1,020,533      11,216
Pearl Holdings Acquisition Corp. Class A(7)(10)   1,090,589      11,691
Pegasus Digital Mobility Acquisition Corp. Class A(7)     124,475       1,362
Perception Capital Corp. II Class A(7)      92,004       1,023
Plum Acquisition Corp. I Class A(7)(10)     228,987       2,466
Plutonian Acquisition Corp.(7)     193,386       2,044
Pono Capital Three, Inc. Class A(7)      47,842         505
Portage Fintech Acquisition Corp. Class A(7)      66,337         695
Power & Digital Infrastructure Acquisition II Corp. Class A(7)(10)     658,824       7,017
PowerUp Acquisition Corp. Class A(7)      27,909         325
Project Energy Reimagined Acquisition Corp.(7)     196,860       2,063
PROOF Acquisition Corp. I Class A(7)(10)     479,976       5,155
Pyrophyte Acquisition Corp. Class A(7)(10)     699,963       7,637
Qomolangma Acquisition Corp.(7)      92,065         977
Quadro Acquisition One Corp.(7)      70,320         752
RCF Acquisition Corp. Class A(7)(10)   1,079,005      11,804
Redwoods Acquisition Corp.(7)     438,910       4,683
  Shares/Units   Value
Rigel Resource Acquisition Corp. Class A(7)(10)   1,308,415   $   14,249
Ross Acquisition Corp. II Class A(7)(10)     468,201       5,038
Roth CH Acquisition Co.(7)     246,418       2,664
Roth CH Acquisition V Co.(7)     162,947       1,714
Screaming Eagle Acquisition Corp. Class A(7)(10)   3,978,195      41,612
SDCL EDGE Acquisition Corp. Class A(7)     499,699       5,297
Semper Paratus Acquisition Corp. Class A(7)      83,094         902
SHUAA Partners Acquisition Corp. I Class A(7)     205,292       2,266
SilverBox Corp. III Class A(7)      94,545         967
Sizzle Acquisition Corp.(7)     217,633       2,364
SK Growth Opportunities Corp. Class A(7)     872,233       9,368
Slam Corp. Class A(7)(10)   2,065,256      22,263
Spree Acquisition Corp. 1 Ltd.(3)(7)     166,892       1,802
Spring Valley Acquisition Corp. II(7)     316,196          44
Spring Valley Acquisition Corp. II Class A(7)     780,799       8,355
Target Global Acquisition I Corp. Class A(7)(10)     672,226       7,300
TenX Keane Acquisition Class A(7)     251,058       2,699
TLGY Acquisition Corp. Class A(7)(10)     572,339       6,293
TMT Acquisition Corp.(7)     244,827          49
TMT Acquisition Corp. Class A(7)     327,009       3,411
TortoiseEcofin Acquisition Corp. III Class A(7)   1,363,243      14,287
Tristar Acquisition I Corp. Class A(7)     447,946       4,789
Twin Ridge Capital Acquisition Corp. Class A(7)(10)     537,023       5,714
two Class A(7)      39,834         417
Valuence Merger Corp. I Class A(7)(10)     706,148       7,845
Viveon Health Acquisition Corp.(7)      76,597         857
Yotta Acquisition Corp.(7)     275,274       2,940
Zalatoris Acquisition Corp.(7)     252,668       2,658
Zalatoris II Acquisition Corp.(7)(10)     487,219       5,204
Total Special Purpose Acquisition Companies
(Identified Cost $808,157)
    839,275
    
  Shares  
Purchased Options—0.1%
(See open purchased options schedule)  
Total Purchased Options
(Premiums Paid $9,001)
    3,468
     
 
     
 
Escrow Notes—2.0%
Financials—2.0%  
Altaba, Inc. Escrow(7)  25,671,973    60,072
Pershing Square Escrow(7)     547,537       110
       60,182
     
 
Industrials—0.0%  
AMR Corp. Escrow(5)(7)   1,243,406        25
Total Escrow Notes
(Identified Cost $35,331)
   60,207
     
 
     
 
 
See Notes to Schedule of Investments
4

The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
  Shares   Value
       
       
Master Limited Partnerships and Related Companies—0.2%
Downstream/Other—0.2%    
Holly Energy Partners LP     294,942   $    6,477
Total Master Limited Partnerships and Related Companies
(Identified Cost $6,462)
      6,477
       
 
       
 
Total Long-Term Investments—83.0%
(Identified Cost $2,468,671)
  2,568,880
       
 
       
 
Short-Term Investments—13.5%
Money Market Mutual Funds—13.5%
Goldman Sachs Financial Square Funds - Treasury Instruments Fund - Standard Shares (seven-day effective yield 5.219%)(11) 192,800,000     192,800
Goldman Sachs Financial Square Government Fund - Standard Shares (seven-day effective yield 5.234%)(11) 192,800,000     192,800
Goldman Sachs Financial Square Treasury Solutions Fund - Standard Shares (seven-day effective yield 5.231%)(11)  32,770,461      32,770
Total Short-Term Investments
(Identified Cost $418,370)
    418,370
       
 
       
 
Securities Lending Collateral—0.1%
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 5.222%)(11)(12)   2,617,060       2,617
Total Securities Lending Collateral
(Identified Cost $2,617)
      2,617
       
 
       
 
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT AND WRITTEN OPTIONS96.6%
(Identified Cost $2,889,658)
  2,989,867
    
     
Securities Sold Short—(1.5)%
    
     
Common Stocks—(1.5)%
Consumer Staples—(0.0)%  
J M Smucker Co. (The)     (13,992)    (1,720)
Energy—(1.2)%  
Exxon Mobil Corp.    (265,621)   (31,232)
HF Sinclair Corp.     (92,859)    (5,286)
      (36,518)
     
 
Health Care—(0.1)%  
Revolution Medicines, Inc.(7)     (83,861)    (2,321)
Materials—(0.1)%  
Newmont Corp.     (83,185)    (3,074)
  Shares   Value
       
Real Estate—(0.1)%    
Kimco Realty Corp.    (118,164)   $   (2,078)
Total Securities Sold Short
(Identified Proceeds $(44,456))
    (45,711)
       
 
       
 
Written Options—(0.5)%
(See open written options schedule)      
Total Written Options
(Premiums Received $15,072)
    (15,398)
       
 
       
 
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT AND WRITTEN OPTIONS—94.6%
(Identified Cost $2,830,130)
  $2,928,758
Other assets and liabilities, net—5.4%     167,607
NET ASSETS—100.0%   $3,096,365
    
Abbreviations:
ADR American Depositary Receipt
LLC Limited Liability Company
LP Limited Partnership
OBFR Overnight Bank Funding Rate
S&P Standard & Poor’s
SOFR Secured Overnight Financing Rate
SPAC Special Purpose Acquisition Company
SPDR S&P Depositary Receipt
    
Footnote Legend:
(1) 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. At September 30, 2023, these securities amounted to a value of $64,108 or 2.1% of net assets.
(2) Regulation S security. Security is offered and sold outside of the United States; therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933.
(3) All or a portion of security is on loan.
(4) Variable rate security. Rate disclosed is as of September 30, 2023. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions.
(5) The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments.
(6) Security in default; no interest payments are being received.
(7) Non-income producing.
(8) All or a portion of the shares have been committed as collateral for open securities sold short and written option contracts. The value of securities segregated as collateral is $308,542.
(9) Amount is less than $500 (not in thousands).
(10) Affiliated investment.
(11) Shares of this fund are publicly offered, and its prospectus and annual report are publicly available.
(12) Represents security purchased with cash collateral received for securities on loan.
 
See Notes to Schedule of Investments
5

The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
Counterparties:  
BAML Bank of America-Merrill Lynch
GS Goldman Sachs & Co.
JPM JPMorgan Chase Bank N.A.
    
Foreign Currencies:  
AUD Australian Dollar
CAD Canadian Dollar
DKK Danish Krone
EUR Euro
GBP United Kingdom Pound Sterling
JPY Japanese Yen
USD United States Dollar
Country Weightings
United States 65%
Cayman Islands 21
Ireland 7
Virgin Islands (British) 3
United Kingdom 2
France 1
Canada 1
Total 100%
% of total investments, net of securities sold short and written options, as of September 30, 2023.
Open purchased options contracts as of September 30, 2023 were as follows:
Description of Options Number of
Contracts
Contract
Notional
Amount
Strike
Price(1)
Expiration
Date
Value
Put Options(2)          
Horizon Therapeutics plc 2,134 $21,340 $100.00 01/19/24 $96
Seagen, Inc. 3,387 64,353 190.00 06/21/24 2,371
SPDR S&P 500® ETF Trust 3,690 153,135 415.00 10/20/23 867
Teck Resources Ltd. 1,898 7,212 38.00 10/20/23 32
Teck Resources Ltd. 426 1,363 32.00 11/17/23 5
Teck Resources Ltd. 1,164 3,841 33.00 11/17/23 17
Teck Resources Ltd. 711 2,489 35.00 11/17/23 20
United States Steel Corp. 14,923 37,308 25.00 10/20/23 60
Total Purchased Options $3,468
Footnote Legend:
(1) Strike price not reported in thousands.
(2) Exchange-traded options.
    
Open written options contracts as of September 30, 2023 were as follows:
Description of Options Number of
Contracts
Contract
Notional
Amount
Strike
Price(1)
Expiration
Date
Value
Call Options(2)          
Abcam plc (1,384) $(3,460) $25.00 11/17/23 $— 
Albertsons Cos., Inc. (7,832) (18,014) 23.00 10/20/23 (157)
Capri Holdings Ltd. (3,672) (18,360) 50.00 10/20/23 (1,157)
Capri Holdings Ltd. (1,495) (7,849) 52.50 10/20/23 (149)
Capri Holdings Ltd. (867) (4,552) 52.50 11/17/23 (145)
Capri Holdings Ltd. (1,829) (10,517) 57.50 01/19/24 (37)
Horizon Therapeutics plc (1,691) (18,601) 110.00 10/20/23 (1,082)
Intercontinental Exchange, Inc. (138) (1,518) 110.00 10/20/23 (30)
Radius Global Infrastructure, Inc. (363) (544) 15.00 01/19/24 —  
Reata Pharmaceuticals, Inc. (68) (1,190) 175.00 11/17/23 —  
Seagen, Inc. (1,571) (31,420) 200.00 10/20/23 (2,239)
Silicon Motion Technology Corp. (156) (858) 55.00 10/20/23 (16)
Sovos Brands, Inc. (15,630) (39,075) 25.00 02/16/24 (313)
SPDR S&P 500® ETF Trust (2,050) (89,175) 435.00 10/20/23 (697)
Splunk, Inc. (1,072) (15,544) 145.00 10/20/23 (214)
Splunk, Inc. (1,498) (21,721) 145.00 11/17/23 (479)
Splunk, Inc. (481) (7,215) 150.00 11/17/23 (33)
Teck Resources Ltd. (1,898) (7,972) 42.00 10/20/23 (395)
Teck Resources Ltd. (2,015) (7,455) 37.00 11/17/23 (1,390)
Teck Resources Ltd. (711) (2,773) 39.00 11/17/23 (375)
Teck Resources Ltd. (1,021) (4,492) 44.00 11/17/23 (219)
Tower Semiconductor Ltd. (610) (1,708) 28.00 10/20/23 (5)
See Notes to Schedule of Investments
6

The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
Open written options contracts as of September 30, 2023 were as follows (continued):
Description of Options Number of
Contracts
Contract
Notional
Amount
Strike
Price(1)
Expiration
Date
Value
Call Options(2) (continued)          
United States Steel Corp. (2,553) $(7,148) $28.00 10/20/23 $(1,215)
United States Steel Corp. (4,895) (14,195) 29.00 10/20/23 (1,791)
United States Steel Corp. (7,475) (22,425) 30.00 10/20/23 (2,183)
          (14,321)
Put Options(2)          
Activision Blizzard, Inc. (114) (912) 80.00 10/20/23 (3)
Activision Blizzard, Inc. (121) (1,119) 92.50 10/20/23 (11)
Horizon Therapeutics plc (873) (4,802) 55.00 01/19/24 (4)
Horizon Therapeutics plc (1,261) (7,566) 60.00 01/19/24 (10)
Seagen, Inc. (3,388) (49,126) 145.00 06/21/24 (881)
SPDR S&P 500® ETF Trust (2,050) (82,000) 400.00 10/20/23 (168)
          (1,077)
Total Written Options $(15,398)
    
Footnote Legend:
(1) Strike price not reported in thousands.
(2) Exchange-traded options.
    
Forward foreign currency exchange contracts as of September 30, 2023 were as follows:
Currency
Purchased
Currency
Amount
Purchased
Currency
Sold
Currency
Amount
Sold
Counterparty Settlement
Date
Unrealized
Appreciation
  Unrealized
Depreciation
AUD 577 USD 373 GS 12/05/23 $  $(1)
DKK 21,022 USD 2,986 GS 10/04/23   (5)
DKK 66,455 USD 9,372 JPM 10/04/23 51   — 
EUR 7,256 USD 8,066 GS 10/04/23   (392)
JPY 5,483,534 USD 36,747 GS 10/06/23   (6)
JPY 530,393 USD 3,571 JPM 10/06/23   (18)
USD 3,098 DKK 21,022 GS 10/04/23 117   — 
USD 9,778 DKK 66,455 JPM 10/04/23 356   — 
USD 7,884 EUR 7,256 GS 10/04/23 210   — 
USD 37,187 JPY 5,483,534 GS 10/06/23 446   — 
USD 3,597 JPY 530,393 JPM 10/06/23 44   — 
USD 24,172 CAD 32,600 JPM 10/13/23 165   — 
USD 1,540 EUR 1,404 GS 10/19/23 55   — 
USD 3,048 EUR 2,780 JPM 10/19/23 106   — 
USD 27,104 AUD 40,247 GS 12/05/23 1,168   — 
USD 18,284 GBP 14,665 JPM 12/06/23 383   — 
USD 40,810 EUR 38,000 JPM 12/21/23 472   — 
USD 3,406 EUR 3,126 JPM 12/22/23 87   — 
USD 65,461 JPY 9,099,169 GS 12/26/23 3,653   — 
USD 46,919 GBP 37,371 GS 12/27/23 1,290   — 
Total $8,603   $(422)
    
Over-the-counter total return swaps outstanding as of September 30, 2023 were as follows:
Referenced Entity Pay/Receive Financing Rate(1) Payment
Frequency
Counterparty Expiration
Date
Notional
Amount
Value(2) Unrealized
Appreciation
Unrealized
Depreciation
Long Total Return Swap Contracts                    
Bristol-Myers Squibb Co.(3),(4) Pay 6.070% (0.750% + OBFR) 1 Month BAML 03/04/24 $(5)   $452  $452  $— 
Brookfield Property Preferred LP Pay 6.070% (0.750% + OBFR) 1 Month BAML 01/08/24 846   (136)—  (136)
Chr. Hansen Holding A/S Pay 5.930% (0.610% + OBFR) 1 Month GS 02/19/24 14,633   (2,381)—  (2,381)
See Notes to Schedule of Investments
7

The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
Over-the-counter total return swaps outstanding as of September 30, 2023 were as follows (continued):
Referenced Entity Pay/Receive Financing Rate(1) Payment
Frequency
Counterparty Expiration
Date
Notional
Amount
Value(2)   Unrealized
Appreciation
  Unrealized
Depreciation
Chr. Hansen Holding A/S Pay 5.870% (0.550% + OBFR) 3 Month JPM 08/05/24 $211   $(26)  $—    $(26)
Chr. Hansen Holding A/S Pay 5.870% (0.550% + OBFR) 3 Month JPM 08/12/24 4,782   (626)  —    (626)
Chr. Hansen Holding A/S Pay 5.870% (0.550% + OBFR) 3 Month JPM 08/13/24 2,072   (290)  —    (290)
Chr. Hansen Holding A/S Pay 5.870% (0.550% + OBFR) 3 Month JPM 08/14/24 2,546   (400)  —    (400)
Chr. Hansen Holding A/S Pay 5.870% (0.550% + OBFR) 3 Month JPM 08/19/24 563   (98)  —    (98)
Dechra Pharmaceuticals plc Pay 5.930% (0.610% + OBFR) 1 Month GS 05/27/24 43,135   (26)  —    (26)
Emis Group plc Pay 5.770% (0.450% + OBFR) 3 Month JPM 10/05/23 8,345   713    713    —  
Emis Group plc Pay 5.770% (0.450% + OBFR) 3 Month JPM 10/18/24 921   (12)  —    (12)
Emis Group plc Pay 5.770% (0.450% + OBFR) 3 Month JPM 10/21/24 2,680   (25)  —    (25)
Emis Group plc Pay 5.770% (0.450% + OBFR) 3 Month JPM 10/22/24 354   (3)  —    (3)
Emis Group plc Pay 5.770% (0.450% + OBFR) 3 Month JPM 10/25/24 499   (1)  —    (1)
Emis Group plc Pay 5.770% (0.450% + OBFR) 3 Month JPM 10/28/24 60   — (5)   — (5)   —  
Emis Group plc Pay 5.770% (0.450% + OBFR) 3 Month JPM 11/04/24 599   3    3    —  
JSR Corp. Pay 5.930% (0.610% + OBFR) 1 Month GS 07/30/24 60,189   (4,080)  —    (4,080)
Majorel Group Luxembourg S.A. Pay 5.930% (0.610% + OBFR) 1 Month GS 07/22/24 1,473   (10)  —    (10)
Majorel Group Luxembourg S.A. Pay 5.870% (0.550% + OBFR) 3 Month JPM 07/29/24 208   (2)  —    (2)
Majorel Group Luxembourg S.A. Pay 5.870% (0.550% + OBFR) 3 Month JPM 08/05/24 1,829   5    5    —  
Majorel Group Luxembourg S.A. Pay 5.870% (0.550% + OBFR) 3 Month JPM 08/07/24 883   4    4    —  
Newcrest Mining Ltd. Pay 5.930% (0.610% + OBFR) 1 Month GS 05/27/24 16,796   (3,008)  —    (3,008)
Origin Energy Ltd. Pay 5.930% (0.610% + OBFR) 1 Month GS 04/16/24 38,957   719    719    — 
                (9,228)   1,896   (11,124)
Short Total Return Swap Contracts                        
Broadcom, Inc. Receive 4.920% ((0.400)% + OBFR) 1 Month BAML 10/12/23 (44,450)   (27,595)  —    (27,595)
Broadcom, Inc. Receive 4.970% ((0.350)% + OBFR) 1 Month GS 10/18/24 (22,159)   543    543    —  
Brookfield Asset Management Ltd. Receive 4.970% ((0.350)% + OBFR) 1 Month GS 09/30/24 (1,246)   10    10    —  
Exxon Mobil Corp. Receive 4.970% ((0.350)% + OBFR) 1 Month GS 09/16/24 (19,869)   (972)  —    (972)
Kimco Realty Corp. Receive 4.970% ((0.350)% + OBFR) 1 Month GS 10/07/24 (11,680)   612    612    —  
Newmont Corp. Receive 4.970% ((0.350)% + OBFR) 1 Month GS 06/24/24 (14,773)   1,742    1,742    —  
Novozymes A/S Receive 4.970% ((0.350)% + OBFR) 1 Month GS 02/19/24 (15,699)   3,333    3,333    —  
Novozymes A/S Receive 4.820% ((0.500)% + OBFR) 3 Month JPM 08/05/24 (217)   30    30    —  
Novozymes A/S Receive 4.820% ((0.500)% + OBFR) 3 Month JPM 08/12/24 (4,890)   700    700    —  
Novozymes A/S Receive 4.820% ((0.500)% + OBFR) 3 Month JPM 08/13/24 (2,122)   322    322    —  
Novozymes A/S Receive 4.820% ((0.500)% + OBFR) 3 Month JPM 08/14/24 (2,609)   440    440    —  
Novozymes A/S Receive 4.820% ((0.500)% + OBFR) 3 Month JPM 08/19/24 (577)   107    107    —  
Smurfit Kappa Group plc Receive 5.050% ((0.270)% + OBFR) 1 Month GS 10/14/24 (19,695)   942    942    — 
                (19,786)   8,781   (28,567)
Total  $(29,014)   $10,677   $(39,691)
    
Footnote Legend:
(1) The Fund pays the floating rate (+/- a spread) and receives the total return of the reference entity.
(2) There were no upfront premiums paid or received for the open swap contracts held.
(3) The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments.
(4) 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.
(5) Amount is less than $500 (not in thousands).
See Notes to Schedule of Investments
8

The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
The following table summarizes the value of the Fund’s investments as of September 30, 2023, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
  Total
Value at
September 30, 2023
  Level 1
Quoted Prices
  Level 2
Significant
Observable
Inputs
  Level 3
Significant
Unobservable
Inputs
Assets:              
Debt Instruments:              
Corporate Bonds and Notes $134,562   $  $134,562   $
Leveraged Loans 18,624     18,624   (1)
Convertible Bonds and Notes 22,415     22,415  
Equity Securities:              
Common Stocks 1,402,469   1,402,331   9   129
Master Limited Partnerships and Related Companies 6,477   6,477    
Escrow Notes 60,207     60,182   25
Warrants 1,362   793     569(1)
Special Purpose Acquisition Companies 839,275   808,541   30,734   (1)
Preferred Stock 143   143    
Rights 945     379   566
Affiliated Mutual Fund 78,933   78,933    
Money Market Mutual Funds 418,370   418,370    
Securities Lending Collateral 2,617   2,617    
Other Financial Instruments:              
Purchased Options 3,468   3,270   198  
Forward Foreign Currency Exchange Contracts* 8,603     8,603  
Over-the-Counter Total Return Swaps* 10,677     10,225   452
Total Assets 3,009,147   2,721,475   285,931   1,741
Liabilities:              
Securities Sold Short:              
Common Stocks (45,711)   (45,711)    
Other Financial Instruments:              
Written Options (15,398)   (11,436)   (3,962)  
Forward Foreign Currency Exchange Contracts* (422)     (422)  
Over-the-Counter Total Return Swaps* (39,691)     (39,691)  
Total Liabilities (101,222)   (57,147)   (44,075)  
Total Investments, Net of Securities Sold Short and Written Options $2,907,925   $2,664,328   $241,856   $1,741
    
(1) Includes internally fair valued securities currently priced at zero ($0).
* Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument by level and counterparty.
Securities held by the Fund with an end of period value of $110 were transferred from Level 3 to Level 2 due to an increase in trading activities at period end.
Some of the Fund’s investments that were categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the roll-forward of Level 3 securities and assumptions are not shown for the period ended September 30, 2023.
See Notes to Schedule of Investments
9

THE MERGER FUND NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2023
Note 1. Security Valuation
The Fund’s Board of Trustees have designated the Investment Adviser as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940.The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period.
Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities).
Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 – prices determined using significant unobservable inputs (including the Investment Adviser’s Valuation Committee’s own assumptions in determining the fair value of investments).
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Illiquid, restricted equity securities and illiquid private placements are internally fair valued by the Investment Adviser’s Valuation Committee, and are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, Exchange-Traded Funds (“ETFs”), and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt instruments, including convertible bonds, and restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, activity of the underlying equities, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt instruments that are internally fair valued by the Investment Adviser’s Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options and futures, that are actively traded are valued at the last posted settlement price from the exchange where they are principally traded and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts, swaps, swaptions, options and equity-linked instruments, are valued based on model prices provided by independent pricing services or from dealer quotes. Depending on the derivative type and the specific terms of the transaction, these models vary and include observable inputs in actively quoted markets including but not limited to: underlying reference entity details, indices, spreads, interest rates, yield curves, dividend and exchange rates. These instruments are generally categorized as Level 2 in the hierarchy. Centrally cleared swaps listed or traded on a bilateral or trade facility platform, such as a registered exchange, are valued at the last posted settlement price determined by the respective exchange. These securities are generally categorized as Level 2 within the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
For additional information about significant accounting policies, refer to the Fund’s most recent semi or annual report.
10