Arbitrage Fund | Portfolio of Investments |
February 28, 2022 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 86.40% | ||||||||
Aerospace & Defense - 1.01% | ||||||||
Aerojet Rocketdyne Holdings, Inc. | 422,570 | $ | 16,374,588 | |||||
Airlines - 0.25% | ||||||||
Spirit Airlines, Inc.(a) | 161,950 | 4,061,706 | ||||||
Auto Parts & Equipment - 1.90% | ||||||||
Meritor, Inc.(a) | 444,994 | 15,846,236 | ||||||
Tenneco, Inc., Class A(a) | 400,351 | 7,718,767 | ||||||
Veoneer, Inc.(a) | 206,497 | 7,320,319 | ||||||
30,885,322 | ||||||||
Banks - 3.01% | ||||||||
First Horizon Corp. | 852,063 | 20,006,439 | ||||||
Sbanken ASA(b) | 1,000,885 | 10,342,865 | ||||||
TriState Capital Holdings, Inc.(a)(c) | 555,000 | 18,426,000 | ||||||
48,775,304 | ||||||||
Biotechnology - 1.77% | ||||||||
Arena Pharmaceuticals, Inc.(a)(c) | 109,307 | 10,380,886 | ||||||
Swedish Orphan Biovitrum AB(a) | 894,158 | 18,355,814 | ||||||
28,736,700 | ||||||||
Chemicals - 6.49% | ||||||||
Atotech Ltd.(a) | 811,029 | 19,440,365 | ||||||
GCP Applied Technologies, Inc.(a) | 696,580 | 21,997,996 | ||||||
Kraton Corp.(a) | 227,237 | 10,486,988 | ||||||
Rogers Corp.(a)(c) | 195,211 | 53,292,603 | ||||||
105,217,952 | ||||||||
Commercial Services - 6.06% | ||||||||
Bakkt Holdings, Inc.(a)(d) | 171,827 | 981,132 | ||||||
Clipper Logistics Plc | 344,405 | 4,116,593 | ||||||
Europcar Mobility Group(a)(b) | 13,799,346 | 7,819,808 | ||||||
MoneyGram International, Inc.(a) | 385,319 | 4,138,326 | ||||||
Moneylion, Inc.(a)(d) | 1,911,916 | 4,607,718 | ||||||
S&P Global, Inc. | 199,519 | 74,959,206 | ||||||
Terminix Global Holdings, Inc.(a) | 40,300 | 1,715,168 | ||||||
98,337,951 | ||||||||
Computers & Computer Services - 2.08% | ||||||||
Avast Plc(b) | 868,154 | 7,320,857 | ||||||
McAfee Corp., Class A | 1,019,033 | 26,484,668 | ||||||
33,805,525 | ||||||||
Construction Materials - 0.95% | ||||||||
Forterra, Inc.(a) | 654,034 | 15,409,041 | ||||||
Diversified Financial Services - 1.37% | ||||||||
Intertrust N.V.(a)(b) | 386,013 | 8,362,023 | ||||||
Sanne Group Plc | 1,128,610 | 13,823,101 | ||||||
22,185,124 |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 86.40% (Continued) | ||||||||
Electric - 1.84% | ||||||||
PNM Resources, Inc. | 659,216 | $ | 29,776,787 | |||||
Electronics - 2.66% | ||||||||
Coherent, Inc.(a)(c) | 162,981 | 43,079,138 | ||||||
Energy - Alternate Sources - 1.68% | ||||||||
Falck Renewables SpA | 1,093,619 | 10,790,736 | ||||||
Renewable Energy Group, Inc.(a) | 268,096 | 16,487,904 | ||||||
27,278,640 | ||||||||
Engineering & Construction - 0.27% | ||||||||
Akka Technologies(a) | 81,250 | 4,440,289 | ||||||
Environmental Control - 1.10% | ||||||||
US Ecology, Inc.(a)(c) | 376,604 | 17,866,094 | ||||||
Food - 1.48% | ||||||||
Sanderson Farms, Inc. | 131,779 | 23,534,412 | ||||||
Stryve Foods, Inc., Class A(a)(d) | 171,198 | 470,794 | ||||||
24,005,206 | ||||||||
Forest Products & Paper - 0.49% | ||||||||
Verso Corp., Class A | 301,799 | 8,000,691 | ||||||
Gas - 1.02% | ||||||||
South Jersey Industries, Inc. | 488,212 | 16,565,033 | ||||||
Healthcare - Products - 0.77% | ||||||||
Apria, Inc.(a)(c) | 332,703 | 12,423,130 | ||||||
Healthcare - Services - 0.01% | ||||||||
UpHealth, Inc.(a)(d) | 48,973 | 109,210 | ||||||
Insurance - 3.75% | ||||||||
TOWER Ltd. | 8,008,907 | 3,793,179 | ||||||
Willis Towers Watson Plc(c)(e) | 256,776 | 57,081,305 | ||||||
60,874,484 | ||||||||
Internet - 1.78% | ||||||||
Mimecast Ltd.(a)(c) | 362,383 | 28,820,320 | ||||||
Leisure Time - 0.54% | ||||||||
Accell Group N.V.(a) | 135,474 | 8,749,450 | ||||||
Machinery - Diversified - 5.24% | ||||||||
SPX FLOW, Inc. | 331,888 | 28,505,860 | ||||||
Welbilt, Inc.(a)(c) | 2,393,160 | 56,574,303 | ||||||
85,080,163 | ||||||||
Media - 2.79% | ||||||||
Houghton Mifflin Harcourt Co.(a) | 1,085,502 | 22,741,267 | ||||||
TEGNA, Inc. | 981,987 | 22,507,142 | ||||||
45,248,409 | ||||||||
Pharmaceuticals - 2.14% | ||||||||
BioDelivery Sciences International, Inc.(a) | 738,797 | 4,122,487 |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 86.40% (Continued) | ||||||||
Pharmaceuticals - 2.14% (Continued) | ||||||||
Clinigen Group Plc | 840,226 | $ | 10,375,540 | |||||
Vifor Pharma AG | 69,581 | 12,226,560 | ||||||
Vifor Pharma AG/New(a) | 197 | 34,584 | ||||||
Zogenix, Inc.(a) | 304,716 | 8,001,842 | ||||||
34,761,013 | ||||||||
Real Estate Investment Trusts - 6.29% | ||||||||
Befimmo SA | 167,200 | 8,914,339 | ||||||
Bluerock Residential Growth REIT, Inc.(c) | 309,026 | 8,204,640 | ||||||
Corepoint Lodging, Inc.(a) | 635,729 | 10,152,592 | ||||||
CyrusOne, Inc.(c) | 562,860 | 50,854,401 | ||||||
Healthcare Trust of America, Inc., Class A | 536,260 | 15,760,681 | ||||||
Preferred Apartment Communities, Inc. | 324,056 | 8,185,655 | ||||||
102,072,308 | ||||||||
Retail - 1.60% | ||||||||
Del Taco Restaurants, Inc. | 978,309 | 12,209,296 | ||||||
Vivo Energy Plc(b) | 7,582,982 | 13,732,974 | ||||||
25,942,270 | ||||||||
Semiconductors - 2.57% | ||||||||
CMC Materials, Inc.(c) | 131,562 | 24,395,541 | ||||||
Magnachip Semiconductor Corp.(a) | 727,164 | 13,234,385 | ||||||
Tower Semiconductor Ltd.(a) | 86,080 | 4,032,848 | ||||||
41,662,774 | ||||||||
Software - 20.40% | ||||||||
Activision Blizzard, Inc.(c) | 422,256 | 34,413,864 | ||||||
Blue Prism Group Plc(a) | 1,356,638 | 23,149,515 | ||||||
Bottomline Technologies DE, Inc.(a) | 428,267 | 24,257,043 | ||||||
Cerner Corp.(e) | 358,274 | 33,409,050 | ||||||
Change Healthcare, Inc.(a) | 1,789,941 | 38,340,536 | ||||||
Citrix Systems, Inc.(c) | 253,913 | 26,026,083 | ||||||
Inovalon Holdings, Inc., Class A(a)(f) | 405,270 | 16,616,070 | ||||||
Kaleyra, Inc.(a) | 134,591 | 1,040,388 | ||||||
Momentive Global, Inc.(a)(c) | 1,604,381 | 25,220,869 | ||||||
Nuance Communications, Inc.(a)(c) | 1,373,140 | 76,236,733 | ||||||
Onemarket Ltd.(a)(f) | 111,800 | — | ||||||
Playtech Plc(a) | 877,000 | 7,847,227 | ||||||
QAD, Inc., Class A(a)(f) | 232,603 | 20,352,763 | ||||||
Zynga, Inc., Class A(a)(c)(e) | 443,534 | 4,027,289 | ||||||
330,937,430 | ||||||||
Telecommunications - 3.09% | ||||||||
NeoPhotonics Corp.(a)(c) | 1,073,920 | 16,441,715 |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 86.40% (Continued) | ||||||||
Telecommunications - 3.09% (Continued) | ||||||||
Vonage Holdings Corp.(a) | 1,659,196 | $ | 33,714,863 | |||||
50,156,578 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $1,411,724,601) | 1,401,638,630 | |||||||
RIGHTS(a) - 0.12% | ||||||||
Bristol-Myers Squibb Co. CVR | 857,631 | 857,631 | ||||||
CA Immobilien Anlagen AG CVR(f) | 221,534 | — | ||||||
Contra Adamas Pharmaceuticals, Inc. CVR, Expires 12/31/2024(f) | 1,150,652 | 70,880 | ||||||
Contra Adamas Pharmaceuticals, Inc. CVR, Expires 12/31/2025(f) | 1,150,652 | 70,765 | ||||||
Contra Flexion Therapeutics, Inc. CVR, Expires 12/31/2030(f) | 1,411,000 | 898,525 | ||||||
Elanco Animal Health, Inc. CVR, Expires 12/31/2021(f)(g) | 1,124,589 | — | ||||||
Media General, Inc. CVR(f) | 613,589 | — | ||||||
TOTAL RIGHTS | ||||||||
(Cost $2,226,999) | 1,897,801 |
Maturity Date | Rate | Principal Amount | Value | |||||||||||
CONVERTIBLE CORPORATE BONDS - 0.53% | ||||||||||||||
Auto Manufacturers - 0.13% | ||||||||||||||
Lightning eMotors, Inc.(b) | 05/15/2024 | 7.500 | % | $ | 2,596,000 | $ | 2,053,773 | |||||||
Healthcare - Services - 0.19% | ||||||||||||||
UpHealth, Inc.(b) | 06/15/2026 | 6.250 | % | 3,613,000 | 3,065,731 | |||||||||
Software - 0.21% | ||||||||||||||
Kaleyra, Inc.(b) | 06/01/2026 | 6.125 | % | 3,525,000 | 3,483,266 | |||||||||
TOTAL CONVERTIBLE CORPORATE BONDS | ||||||||||||||
(Cost $9,735,770) | 8,602,770 |
Shares | Value | |||||||
MUTUAL FUNDS - 4.50% | ||||||||
Water Island Event-Driven Fund, Class I(h) | 6,605,365 | $ | 72,989,286 | |||||
TOTAL MUTUAL FUNDS | ||||||||
(Cost $60,632,644) | 72,989,286 | |||||||
PRIVATE INVESTMENTS(a)(d)(f)(i) - 0.11% | ||||||||
Fast Capital LLC | 290,700 | 290,700 | ||||||
Fuse LLC | 725,800 | 1,266,404 | ||||||
Fuse Sponsor Capital, Z2 Shares | 72,580 | 169,982 | ||||||
TOTAL PRIVATE INVESTMENTS | ||||||||
(Cost $1,036,875) | 1,727,086 |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
Shares | Value | |||||||
WARRANTS(a) - 0.02% | ||||||||
Auto Manufacturers - 0.01% | ||||||||
Lightning eMotors, Inc., Exercise Price $11.50, Expires 05/18/2025(d) | 225,739 | $ | 211,066 | |||||
Commercial Services - 0.01% | ||||||||
Moneylion, Inc., Exercise Price $11.50, Expires 09/22/2026 | 290,320 | 105,647 | ||||||
Healthcare - Services - 0.00%(j) | ||||||||
UpHealth, Inc., Exercise Price $11.50, Expires 07/01/2024(d) | 4,897 | 1,598 | ||||||
TOTAL WARRANTS | ||||||||
(Cost $0) | 318,311 |
Expiration Date | Exercise Price | Notional Amount | Contracts | Value | |||||||||||||||
PURCHASED OPTIONS(a) - 0.02% | |||||||||||||||||||
Call Options Purchased - 0.02% | |||||||||||||||||||
Frontier Group Holdings, Inc. | 03/2022 | $ | 15.00 | $ | 3,990,224 | 3,098 | $ | 54,215 | |||||||||||
Take-Two Interactive Software, Inc. | 03/2022 | 155.00 | 3,369,600 | 208 | 226,720 | ||||||||||||||
Zynga, Inc. | 03/2022 | 9.00 | 4,025,164 | 4,433 | 97,526 | ||||||||||||||
TOTAL CALL OPTIONS PURCHASED | |||||||||||||||||||
(Cost $513,598) | 378,461 | ||||||||||||||||||
Put Options Purchased - 0.00%(j) | |||||||||||||||||||
Cerner Corp. | 03/2022 | 90.00 | 33,467,425 | 3,589 | 17,945 | ||||||||||||||
TOTAL PUT OPTIONS PURCHASED | |||||||||||||||||||
(Cost $198,671) | 17,945 | ||||||||||||||||||
TOTAL PURCHASED OPTIONS | |||||||||||||||||||
(Cost $712,269) | 396,406 |
Yield | Shares | Value | ||||||||||
SHORT-TERM INVESTMENTS - 10.86% | ||||||||||||
Money Market Funds | ||||||||||||
Morgan Stanley Institutional Liquidity Fund - Government Portfolio | 0.026 | %(k) | 88,121,071 | $ | 88,121,071 | |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 0.099 | %(k) | 88,121,071 | 88,121,071 | ||||||||
176,242,142 |
TOTAL SHORT-TERM INVESTMENTS | ||||
(Cost $176,242,142) | 176,242,142 | |||
Total Investments - 102.56% | ||||
(Cost $1,662,311,300) | 1,663,812,432 | |||
Liabilities in Excess of Other Assets - (2.56)%(l) | (41,453,189 | ) | ||
NET ASSETS - 100.00% | $ | 1,622,359,243 |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
Portfolio Footnotes
(a) | Non-income-producing security. |
(b) | 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 February 28, 2022, these securities had a total value of $56,181,297 or 3.46% of net assets. |
(c) | Security, or a portion of security, is being held as collateral for short sales, written option contracts or forward foreign currency exchange contracts. At February 28, 2022, the aggregate fair market value of those securities was $310,110,160, representing 19.11% of net assets. |
(d) | Restricted securities (including private placements) - The Fund may own investment securities that have other legal or contractual limitations. At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $8,108,604 or 0.50% of net assets. |
Restricted Security | Acquisition Date | Acquisition Cost | ||||
Bakkt Holdings, Inc. | 10/06/2021 | $ | 1,718,270 | |||
Fast Capital LLC | 08/18/2020 | 300,786 | ||||
Fuse LLC | 06/19/2020 | 669,078 | ||||
Fuse Sponsor Capital, Z2 Shares | 06/19/2020 | 67,011 | ||||
Lightning eMotors, Inc., Exercise Price $11.50, Expires 05/18/2025 | 04/28/2021 | — | ||||
Moneylion, Inc. | 09/14/2021 | 16,344,382 | ||||
Stryve Foods, Inc. | 07/09/2021 | 1,711,980 | ||||
UpHealth, Inc. | 05/25/2021 | 489,730 | ||||
UpHealth, Inc., Exercise Price $11.50, Expires 07/01/2024 | 06/04/2021 | — | ||||
Total | $ | 21,301,237 |
(e) | Underlying security for a written/purchased call/put option. |
(f) | Security fair valued using significant unobservable inputs and classified as a Level 3 security. As of February 28, 2022, the total fair market value of these securities was $39,736,089, representing 2.45% of net assets. |
(g) | Expired CVR. Awaiting final confirmation. |
(h) | Affiliated investment. |
(i) | Represents a holding that is a direct investment into a private company and is not a listed or publicly traded entity. |
(j) | Less than 0.005% of net assets. |
(k) | Rate shown is the 7-day effective yield as of February 28, 2022. |
(l) | Includes cash held as collateral for short sales. |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
COMMON STOCKS SOLD SHORT - (2.15%) | ||||||||
Airlines - (0.25%) | ||||||||
Frontier Group Holdings, Inc. | (309,746 | ) | $ | (3,989,528 | ) | |||
Commercial Services - (0.10%) | ||||||||
Bakkt Holdings, Inc. | (91,784 | ) | (524,087 | ) | ||||
GXO Logistics, Inc. | (12,364 | ) | (1,037,710 | ) | ||||
(1,561,797 | ) | |||||||
Electronics - (0.63%) | ||||||||
II-VI, Inc. | (148,313 | ) | (10,301,821 | ) | ||||
Internet - (0.05%) | ||||||||
NortonLifeLock, Inc. | (26,214 | ) | (759,682 | ) | ||||
Real Estate Investment Trusts - (0.86%) | ||||||||
Healthcare Realty Trust, Inc. | (536,260 | ) | (13,985,661 | ) | ||||
Semiconductors - (0.15%) | ||||||||
Entegris, Inc. | (9,879 | ) | (1,289,012 | ) | ||||
MKS Instruments, Inc. | (7,728 | ) | (1,163,837 | ) | ||||
(2,452,849 | ) | |||||||
Software - (0.11%) | ||||||||
Take-Two Interactive Software, Inc. | (11,088 | ) | (1,796,256 | ) | ||||
TOTAL SECURITIES SOLD SHORT (Proceeds $38,620,687) | $ | (34,847,594 | ) |
WRITTEN OPTIONS | Expiration Date | Exercise Price | Notional Amount | Contracts | Value | |||||||||||||
Written Call Options | ||||||||||||||||||
Willis Towers Watson Plc | 03/2022 | $ | 220.00 | $ | (14,582,880 | ) | (656 | ) | $ | (413,280 | ) | |||||||
TOTAL WRITTEN CALL OPTIONS (Premiums received $660,199) | (413,280 | ) | ||||||||||||||||
Written Put Options | ||||||||||||||||||
Cerner Corp. | 03/2022 | 85.00 | (17,307,200 | ) | (1,856 | ) | (9,280 | ) | ||||||||||
TOTAL WRITTEN PUT OPTIONS (Premiums received $25,399) | (9,280 | ) | ||||||||||||||||
TOTAL WRITTEN OPTIONS (Premiums received $685,598) | $ | (422,560 | ) |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
EQUITY SWAP CONTRACTS
Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Paid | Upfront Payments Received | Market Value | Notional Amount | Unrealized Appreciation | ||||||||||||||
Goldman Sachs & Co./ Monthly | Meggitt Plc | Paid 1 Month SONIA Plus 55 bps (0.995%) | 08/04/2022 | $ | — | $ | — | $ | — | GBP | 14,446,329 | $ | — | |||||||||
Goldman Sachs & Co./ Monthly | Sanne Group Plc | Paid 1 Month SONIA Plus 55 bps (0.995%) | 08/31/2022 | — | — | — | GBP | 5,669,009 | — | |||||||||||||
Goldman Sachs & Co./ Monthly | Zardoya Otis SA | Paid 1 Week ESTR Plus 53 bps (0.045%) | 09/27/2022 | — | — | — | EUR | 5,335,770 | — | |||||||||||||
Goldman Sachs & Co./ Monthly | CNP Assurance | Paid 1 Week ESTR Plus 63 bps (0.055%) | 11/01/2022 | — | — | — | EUR | 17,566,409 | — | |||||||||||||
Goldman Sachs & Co./ Monthly | Distell Group Holdings Ltd. | Paid 1 Month JIBAR Plus 95 bps (4.942%) | 11/18/2022 | — | — | — | ZAR | 63,400,014 | — | |||||||||||||
Goldman Sachs & Co./ Monthly | Nobina AB | Paid 1 Month STIBOR Plus 70 bps (0.630%) | 12/13/2022 | — | — | — | SEK | 37,485,621 | — | |||||||||||||
Morgan Stanley & Co./ Monthly | Entegris, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 08/11/2023 | — | — | — | USD | 6,446,103 | — | |||||||||||||
Morgan Stanley & Co./ Monthly | iShares MSCI Australia ETF | Received 1 Month-Federal Rate Minus 398 bps (-4.060%) | 08/11/2023 | — | — | — | USD | 1,361,783 | — | |||||||||||||
Morgan Stanley & Co./ Monthly | iShares Russell 2000 ETF | Received 1 Month-Federal Rate Minus 113 bps (-1.050%) | 08/11/2023 | — | — | — | USD | 3,190,091 | — | |||||||||||||
Morgan Stanley & Co./ Monthly | MKS Instruments, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 08/11/2023 | — | — | — | USD | 5,578,977 | — | |||||||||||||
Morgan Stanley & Co./ Monthly | Raymond James Financial, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 08/11/2023 | — | — | — | USD | 15,213,938 | — | |||||||||||||
Morgan Stanley & Co./ Monthly | S&P Global, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 08/11/2023 | — | — | — | USD | 74,959,664 | — | |||||||||||||
Morgan Stanley & Co./ Monthly | Distell Group Holdings Ltd. | Paid 1 Month SABOR Plus 125 bps (5.080%) | 11/17/2023 | — | — | — | ZAR | 22,316,964 | — | |||||||||||||
$ | — | $ | — |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||
AUD | 22,326,400 | USD | 16,099,076 | Morgan Stanley & Co. | 03/15/2022 | $ | 119,334 | |||||||||
CAD | 15,756,600 | USD | 12,281,135 | Morgan Stanley & Co. | 03/15/2022 | 150,844 | ||||||||||
USD | 14,643 | CHF | 13,400 | Morgan Stanley & Co. | 03/15/2022 | 23 | ||||||||||
USD | 55,414,389 | EUR | 49,018,400 | Morgan Stanley & Co. | 03/15/2022 | 424,139 | ||||||||||
USD | 4,665,701 | GBP | 3,447,100 | Morgan Stanley & Co. | 03/15/2022 | 40,909 | ||||||||||
NOK | 13,461,900 | USD | 1,502,822 | Morgan Stanley & Co. | 03/15/2022 | 24,091 | ||||||||||
NZD | 961,000 | USD | 643,368 | Morgan Stanley & Co. | 03/15/2022 | 6,735 | ||||||||||
USD | 3,984,847 | NZD | 5,886,500 | Morgan Stanley & Co. | 03/15/2022 | 2,706 | ||||||||||
SEK | 3,800,200 | USD | 400,095 | Morgan Stanley & Co. | 03/15/2022 | 1,235 | ||||||||||
USD | 22,054,047 | SEK | 199,978,500 | Morgan Stanley & Co. | 03/15/2022 | 934,780 | ||||||||||
$ | 1,704,796 |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||||||
USD | 36,995,988 | AUD | 51,514,000 | Morgan Stanley & Co. | 03/15/2022 | $ | (424,965 | ) | ||||||||
USD | 12,350,688 | CAD | 15,756,600 | Morgan Stanley & Co. | 03/15/2022 | (81,291 | ) | |||||||||
USD | 147,952 | CHF | 136,400 | Morgan Stanley & Co. | 03/15/2022 | (859 | ) | |||||||||
EUR | 7,289,800 | USD | 8,267,943 | Morgan Stanley & Co. | 03/15/2022 | (90,037 | ) | |||||||||
USD | 2,558,125 | EUR | 2,292,300 | Morgan Stanley & Co. | 03/15/2022 | (13,443 | ) | |||||||||
GBP | 3,416,600 | USD | 4,633,401 | Morgan Stanley & Co. | 03/15/2022 | (49,531 | ) | |||||||||
USD | 57,921,579 | GBP | 43,621,600 | Morgan Stanley & Co. | 03/15/2022 | (603,205 | ) | |||||||||
USD | 11,874,736 | NOK | 106,744,400 | Morgan Stanley & Co. | 03/15/2022 | (232,725 | ) | |||||||||
NZD | 80,100 | USD | 54,215 | Morgan Stanley & Co. | 03/15/2022 | (28 | ) | |||||||||
USD | 507,842 | NZD | 760,800 | Morgan Stanley & Co. | 03/15/2022 | (6,829 | ) | |||||||||
SEK | 24,187,000 | USD | 2,646,816 | Morgan Stanley & Co. | 03/15/2022 | (92,482 | ) | |||||||||
$ | (1,595,395 | ) |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
The following is a summary of investments classified by country exposure: |
Country | % of Net Assets(a) | |||
United States | 85.53 | % | ||
United Kingdom | 8.74 | % | ||
Sweden | 1.58 | % | ||
Netherlands | 1.05 | % | ||
Belgium | 0.82 | % | ||
Republic of Korea | 0.82 | % | ||
Switzerland | 0.76 | % | ||
Italy | 0.73 | % | ||
Norway | 0.64 | % | ||
Isle of Man | 0.48 | % | ||
France | 0.48 | % | ||
Czech Republic | 0.45 | % | ||
Israel | 0.25 | % | ||
New Zealand | 0.23 | % | ||
Australia | 0.00 | %(b) | ||
Austria | 0.00 | %(b) | ||
Liabilities in Excess of Other Assets | (2.56 | )% | ||
100.00 | % |
(a) | These percentages represent long positions only and are not net of short positions. |
(b) | Less than 0.005% of net assets. |
Abbreviations:
AB - Aktiebolag is the Swedish term for a limited company.
AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders.
ASA - Allmennaksjeselskap is the Norwegian term for public limited company.
AUD - Australian dollar
bps - Basis Points. 100 Basis Points is equal to 1 percentage point.
CAD - Canadian dollar
CHF - Swiss franc
CVR - Contingent Value Rights
ESTR - Euro Short-term Rate
ETF - Exchange-Traded Fund
EUR - Euro
GBP - British pound
JIBAR - Johannesburg Interbank Agreed Rate
LLC - Limited Liability Company
Ltd. - Limited
MSCI - Morgan Stanley Capital International
NOK - Norwegian krone
N.V. - Naamloze Vennootschap is the Dutch term for a public limited liability corporation.
NZD - New Zealand dollar
Plc - Public Limited Company
REIT - Real Estate Investment Trust
SA - Generally designates corporations in various countries, mostly those employing civil law. This translates literally in all languages mentioned as anonymous company.
SABOR - South African Benchmark Overnight Rate
SEK - Swedish krona
SONIA - Sterling OverNight Index Average
S&P - Standard & Poor's
SpA - Societa per Azione
STIBOR - Stockholm Interbank Offered Rate
USD - United States Dollar
ZAR - South African rand
Arbitrage Fund
Affiliated Issuer | Beginning Value as of May 31, 2021 | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ Depreciation | Ending Value as of February 28, 2022 | Shares as of February 28, 2022 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
Water Island Event-Driven Fund | $ | 75,829,593 | $ | - | $ | - | $ | - | $ | (2,840,307 | ) | $ | 72,989,286 | 6,605,365 | $ | - | $ | - |
Arbitrage Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
Investments in Securities at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 16,374,588 | $ | — | $ | — | $ | 16,374,588 | ||||||||
Airlines | 4,061,706 | — | — | 4,061,706 | ||||||||||||
Auto Parts & Equipment | 30,885,322 | — | — | 30,885,322 | ||||||||||||
Banks | 48,775,304 | — | — | 48,775,304 | ||||||||||||
Biotechnology | 28,736,700 | — | — | 28,736,700 | ||||||||||||
Chemicals | 105,217,952 | — | — | 105,217,952 | ||||||||||||
Commercial Services | 98,337,951 | — | — | 98,337,951 | ||||||||||||
Computers & Computer Services | 33,805,525 | — | — | 33,805,525 | ||||||||||||
Construction Materials | 15,409,041 | — | — | 15,409,041 | ||||||||||||
Diversified Financial Services | 22,185,124 | — | — | 22,185,124 | ||||||||||||
Electric | 29,776,787 | — | — | 29,776,787 | ||||||||||||
Electronics | 43,079,138 | — | — | 43,079,138 | ||||||||||||
Energy - Alternate Sources | 27,278,640 | — | — | 27,278,640 | ||||||||||||
Engineering & Construction | 4,440,289 | — | — | 4,440,289 | ||||||||||||
Environmental Control | 17,866,094 | — | — | 17,866,094 | ||||||||||||
Food | 24,005,206 | — | — | 24,005,206 | ||||||||||||
Forest Products & Paper | 8,000,691 | — | — | 8,000,691 | ||||||||||||
Gas | 16,565,033 | — | — | 16,565,033 | ||||||||||||
Healthcare - Products | 12,423,130 | — | — | 12,423,130 | ||||||||||||
Healthcare - Services | 109,210 | — | — | 109,210 | ||||||||||||
Insurance | 60,874,484 | — | — | 60,874,484 | ||||||||||||
Internet | 28,820,320 | — | — | 28,820,320 | ||||||||||||
Leisure Time | 8,749,450 | — | — | 8,749,450 | ||||||||||||
Machinery - Diversified | 85,080,163 | — | — | 85,080,163 | ||||||||||||
Media | 45,248,409 | — | — | 45,248,409 | ||||||||||||
Pharmaceuticals | 34,761,013 | — | — | 34,761,013 | ||||||||||||
Real Estate Investment Trusts | 102,072,308 | — | — | 102,072,308 | ||||||||||||
Retail | 25,942,270 | — | — | 25,942,270 | ||||||||||||
Semiconductors | 41,662,774 | — | — | 41,662,774 | ||||||||||||
Software | 293,968,597 | — | 36,968,833 | 330,937,430 | ||||||||||||
Telecommunications | 50,156,578 | — | — | 50,156,578 | ||||||||||||
Rights | — | 857,631 | 1,040,170 | 1,897,801 | ||||||||||||
Convertible Corporate Bonds* | — | 8,602,770 | — | 8,602,770 | ||||||||||||
Mutual Funds | 72,989,286 | — | — | 72,989,286 | ||||||||||||
Private Investments | — | — | 1,727,086 | 1,727,086 | ||||||||||||
Warrants* | 318,311 | — | — | 318,311 | ||||||||||||
Purchased Options | 396,406 | — | — | 396,406 | ||||||||||||
Short-Term Investments | 176,242,142 | — | — | 176,242,142 | ||||||||||||
TOTAL | $ | 1,614,615,942 | $ | 9,460,401 | $ | 39,736,089 | $ | 1,663,812,432 |
Other Financial Instruments** | ||||||||||||||||
Assets | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 1,704,796 | $ | — | $ | 1,704,796 | ||||||||
Equity Swaps | 0 | — | — | 0 | ||||||||||||
Liabilities | ||||||||||||||||
Common Stocks* | (34,847,594 | ) | — | — | (34,847,594 | ) | ||||||||||
Written Options | (422,560 | ) | — | — | (422,560 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | — | (1,595,395 | ) | — | (1,595,395 | ) | ||||||||||
TOTAL | $ | (35,270,154 | ) | $ | 109,401 | $ | — | $ | (35,160,753 | ) |
* | Refer to Portfolio of Investments for sector information. |
** | Other financial instruments are instruments such as written options, securities sold short, equity swaps and forward foreign currency exchange contracts. |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund’s assets and liabilities during the period ended February 28, 2022:
Investments in Securities | Balance as of May 31, 2021 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales Proceeds | Transfers into Level 3 | Transfers out of Level 3 | Balance as of February 28, 2022 | Net change in Unrealized Appreciation (Depreciation) from investments still held as of February 28, 2022 | |||||||||||||||||||||||||||
Common Stocks | $ | 85,217,245 | $ | 5,697,206 | $ | (5,043,077 | ) | $ | 36,590,100 | $ | (85,492,641 | ) | $ | - | $ | - | $ | 36,968,833 | $ | 378,733 | ||||||||||||||||
Rights | 1,135,875 | (217,983 | ) | (48,637 | ) | 1,012,898 | (841,983 | ) | - | - | 1,040,170 | 27,272 | ||||||||||||||||||||||||
Convertible Corporate Bonds | 6,433,715 | - | 328,097 | - | - | - | (6,761,812 | ) | - | - | ||||||||||||||||||||||||||
Private Investments | 1,016,499 | - | 707,196 | 3,391 | - | - | - | 1,727,086 | 707,196 | |||||||||||||||||||||||||||
Total | $ | 93,803,334 | $ | 5,479,223 | $ | (4,056,421 | ) | $ | 37,606,389 | $ | (86,334,624 | ) | $ | - | $ | (6,761,812 | ) | $ | 39,736,089 | $ | 1,113,201 |
Water Island Event-Driven Fund | Portfolio of Investments |
February 28, 2022 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 95.59% | ||||||||
Aerospace & Defense - 1.53% | ||||||||
Aerojet Rocketdyne Holdings, Inc. | 46,470 | $ | 1,800,713 | |||||
Airlines - 0.25% | ||||||||
Spirit Airlines, Inc.(a)(b) | 11,898 | 298,402 | ||||||
Auto Parts & Equipment - 1.98% | ||||||||
Meritor, Inc.(a) | 32,242 | 1,148,137 | ||||||
Tenneco, Inc., Class A(a) | 29,035 | 559,795 | ||||||
Veoneer, Inc.(a) | 17,446 | 618,461 | ||||||
2,326,393 | ||||||||
Banks - 1.23% | ||||||||
First Horizon Corp. | 61,794 | 1,450,923 | ||||||
Biotechnology - 2.15% | ||||||||
Arena Pharmaceuticals, Inc.(a)(b) | 7,927 | 752,827 | ||||||
Swedish Orphan Biovitrum AB(a) | 86,904 | 1,784,018 | ||||||
2,536,845 | ||||||||
Chemicals - 6.32% | ||||||||
GCP Applied Technologies, Inc.(a) | 50,496 | 1,594,664 | ||||||
Kraton Corp.(a) | 21,400 | 987,610 | ||||||
Rogers Corp.(a)(b) | 17,799 | 4,859,127 | ||||||
7,441,401 | ||||||||
Commercial Services - 5.99% | ||||||||
Bakkt Holdings, Inc.(a)(c) | 29,314 | 167,383 | ||||||
Clipper Logistics Plc | 24,978 | 298,556 | ||||||
MoneyGram International, Inc.(a) | 34,921 | 375,052 | ||||||
Moneylion, Inc.(a)(c) | 218,409 | 526,366 | ||||||
S&P Global, Inc. | 14,790 | 5,556,692 | ||||||
Terminix Global Holdings, Inc.(a) | 3,200 | 136,192 | ||||||
7,060,241 | ||||||||
Computers & Computer Services - 2.52% | ||||||||
Avast Plc(d) | 66,516 | 560,907 | ||||||
McAfee Corp., Class A | 92,836 | 2,412,808 | ||||||
2,973,715 | ||||||||
Construction Materials - 1.12% | ||||||||
Forterra, Inc.(a) | 56,115 | 1,322,069 | ||||||
Diversified Financial Services - 0.86% | ||||||||
Intertrust N.V.(a)(d) | 28,654 | 620,719 | ||||||
Sanne Group Plc | 31,615 | 387,217 | ||||||
1,007,936 | ||||||||
Electric - 2.26% | ||||||||
PNM Resources, Inc. | 58,821 | 2,656,945 | ||||||
Electronics - 3.70% | ||||||||
Coherent, Inc.(a)(b) | 16,467 | 4,352,557 |
Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 95.59% (Continued) | ||||||||
Energy - Alternate Sources - 1.27% | ||||||||
Renewable Energy Group, Inc.(a) | 24,304 | $ | 1,494,696 | |||||
Entertainment - 0.21% | ||||||||
Cineplex, Inc.(a) | 23,133 | 252,592 | ||||||
Environmental Control - 1.28% | ||||||||
US Ecology, Inc.(a)(b) | 31,799 | 1,508,545 | ||||||
Food - 1.95% | ||||||||
Sanderson Farms, Inc. | 12,392 | 2,213,088 | ||||||
Stryve Foods, Inc., Class A(a)(c) | 29,191 | 80,275 | ||||||
2,293,363 | ||||||||
Forest Products & Paper - 0.62% | ||||||||
Verso Corp., Class A | 27,459 | 727,938 | ||||||
Gas - 1.02% | ||||||||
South Jersey Industries, Inc. | 35,374 | 1,200,240 | ||||||
Healthcare - Products - 0.90% | ||||||||
Apria, Inc.(a)(b) | 28,269 | 1,055,564 | ||||||
Healthcare - Services - 0.02% | ||||||||
UpHealth, Inc.(a)(c) | 8,340 | 18,598 | ||||||
Insurance - 4.76% | ||||||||
Hartford Financial Services Group, Inc. (The) | 5,355 | 372,065 | ||||||
Willis Towers Watson Plc(e) | 23,566 | 5,238,722 | ||||||
5,610,787 | ||||||||
Internet - 2.51% | ||||||||
Just Eat Takeaway.com N.V.(a)(d) | 7,623 | 309,583 | ||||||
Mimecast Ltd.(a)(b) | 33,210 | 2,641,191 | ||||||
2,950,774 | ||||||||
Leisure Time - 0.54% | ||||||||
Accell Group N.V.(a) | 9,816 | 633,956 | ||||||
Lodging - 0.26% | ||||||||
Crown Resorts Ltd.(a) | 33,674 | 302,783 | ||||||
Machinery - Diversified - 5.86% | ||||||||
SPX FLOW, Inc. | 29,487 | 2,532,638 | ||||||
Welbilt, Inc.(a) | 184,892 | 4,370,847 | ||||||
6,903,485 | ||||||||
Media - 3.13% | ||||||||
TEGNA, Inc. | 71,186 | 1,631,583 | ||||||
Houghton Mifflin Harcourt Co.(a) | 98,313 | 2,059,658 | ||||||
3,691,241 | ||||||||
Pharmaceuticals - 2.43% | ||||||||
BioDelivery Sciences International, Inc.(a) | 53,980 | 301,208 | ||||||
Clinigen Group Plc | 61,406 | 758,273 | ||||||
Vifor Pharma AG | 6,340 | 1,114,045 |
Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 95.59% (Continued) | ||||||||
Pharmaceuticals - 2.43% (Continued) | ||||||||
Vifor Pharma AG/New(a) | 27 | $ | 4,740 | |||||
Zogenix, Inc.(a) | 26,158 | 686,909 | ||||||
2,865,175 | ||||||||
Real Estate Investment Trusts - 6.83% | ||||||||
Bluerock Residential Growth REIT, Inc.(b) | 28,071 | 745,285 | ||||||
Corepoint Lodging, Inc.(a) | 51,091 | 815,923 | ||||||
CyrusOne, Inc.(b) | 49,663 | 4,487,052 | ||||||
Healthcare Trust of America, Inc., Class A | 44,725 | 1,314,468 | ||||||
Preferred Apartment Communities, Inc. | 27,001 | 682,045 | ||||||
8,044,773 | ||||||||
Retail - 1.61% | ||||||||
Del Taco Restaurants, Inc. | 72,425 | 903,864 | ||||||
Vivo Energy Plc(d) | 549,429 | 995,030 | ||||||
1,898,894 | ||||||||
Semiconductors - 3.20% | ||||||||
CMC Materials, Inc. | 11,627 | 2,155,995 | ||||||
Magnachip Semiconductor Corp.(a) | 72,698 | 1,323,104 | ||||||
Tower Semiconductor Ltd.(a) | 6,291 | 294,733 | ||||||
3,773,832 | ||||||||
Software - 23.70% | ||||||||
Activision Blizzard, Inc.(b) | 35,601 | 2,901,481 | ||||||
Blue Prism Group Plc(a) | 104,965 | 1,791,111 | ||||||
Bottomline Technologies DE, Inc.(a) | 36,270 | 2,054,333 | ||||||
Cerner Corp.(e) | 32,597 | 3,039,670 | ||||||
Change Healthcare, Inc.(a)(b) | 225,009 | 4,819,693 | ||||||
Citrix Systems, Inc.(b) | 21,157 | 2,168,592 | ||||||
Inovalon Holdings, Inc., Class A(a)(f) | 37,435 | 1,534,835 | ||||||
Kaleyra, Inc.(a) | 22,292 | 172,317 | ||||||
Momentive Global, Inc.(a)(b) | 135,658 | 2,132,544 | ||||||
Nuance Communications, Inc.(a)(b) | 125,032 | 6,941,777 | ||||||
Zynga, Inc., Class A(a)(e) | 39,410 | 357,843 | ||||||
27,914,196 | ||||||||
Telecommunications - 3.58% | ||||||||
NeoPhotonics Corp.(a)(b) | 85,994 | 1,316,568 | ||||||
Vonage Holdings Corp.(a) | 142,876 | 2,903,240 | ||||||
4,219,808 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $114,514,217) | 112,589,380 | |||||||
RIGHTS(a) - 0.06% | ||||||||
Bristol-Myers Squibb Co. CVR | 67,803 | 67,803 |
Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
Shares | Value | |||||||
RIGHTS(a) - 0.06% (Continued) | ||||||||
CA Immobilien Anlagen AG CVR(f) | 18,714 | $ | — | |||||
TOTAL RIGHTS | ||||||||
(Cost $110,781) | 67,803 |
Maturity Date | Rate | Principal Amount | Value | |||||||||||
CORPORATE BONDS - 1.46% | ||||||||||||||
Entertainment - 1.03% | ||||||||||||||
Peninsula Pacific Entertainment LLC / Peninsula Pacific Entertainment Finance In(d) | 11/15/2027 | 8.500 | % | $ | 1,090,000 | $ | 1,206,826 | |||||||
Packaging & Containers - 0.43% | ||||||||||||||
Flex Acquisition Co., Inc.(d) | 07/15/2026 | 7.875 | % | 493,000 | 508,406 | |||||||||
TOTAL CORPORATE BONDS | ||||||||||||||
(Cost $1,719,846) | 1,715,232 | |||||||||||||
CONVERTIBLE CORPORATE BONDS - 2.77% | ||||||||||||||
Auto Manufacturers - 0.27% | ||||||||||||||
Lightning eMotors, Inc.(d) | 05/15/2024 | 7.500 | % | 403,000 | 318,825 | |||||||||
Entertainment - 0.35% | ||||||||||||||
Cineplex, Inc.(d) | 09/30/2025 | 5.750 | % | 392,000 | 408,676 | |||||||||
Healthcare - Services - 0.44% | ||||||||||||||
UpHealth, Inc.(d) | 06/15/2026 | 6.250 | % | 616,000 | 522,693 | |||||||||
Pharmaceuticals - 1.22% | ||||||||||||||
Dermira, Inc. | 05/15/2022 | 3.000 | % | 1,430,000 | 1,437,150 | |||||||||
Software - 0.49% | ||||||||||||||
Kaleyra, Inc.(d) | 06/01/2026 | 6.125 | % | 584,000 | 577,086 | |||||||||
TOTAL CONVERTIBLE CORPORATE BONDS | ||||||||||||||
(Cost $3,322,537) | 3,264,430 |
Shares | Value | |||||||
WARRANTS(a) - 0.03% | ||||||||
Auto Manufacturers - 0.02% | ||||||||
Lightning eMotors, Inc., Exercise Price $11.50, Expires 05/18/2025(c) | 35,043 | $ | 32,765 | |||||
Commercial Services - 0.01% | ||||||||
Moneylion, Inc., Exercise Price $11.50, Expires 09/22/2026 | 22,640 | 8,239 | ||||||
Healthcare - Services - 0.00%(g) | ||||||||
UpHealth, Inc., Exercise Price $11.50, Expires 07/01/2024(c) | 834 | 272 | ||||||
TOTAL WARRANTS | ||||||||
(Cost $0) | 41,276 | |||||||
PRIVATE INVESTMENTS(a)(c)(f)(h) - 0.11% | ||||||||
Fast Capital LLC | 22,800 | 22,800 |
Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
Shares | Value | |||||||
PRIVATE INVESTMENTS(a)(c)(f)(h) - 0.11% (Continued) | ||||||||
Fuse LLC | 56,600 | $ | 98,758 | |||||
Fuse Sponsor Capital, Z2 Shares | 5,660 | 13,256 | ||||||
TOTAL PRIVATE INVESTMENTS | ||||||||
(Cost $80,993) | 134,814 |
Expiration Date | Exercise Price | Notional Amount | Contracts | Value | ||||||||||||||||
PURCHASED OPTIONS(a) - 0.03% | ||||||||||||||||||||
Call Options Purchased - 0.03% | ||||||||||||||||||||
Frontier Group Holdings, Inc. | 03/2022 | $ | 15.00 | $ | 293,664 | 228 | $ | 3,990 | ||||||||||||
Take-Two Interactive Software, Inc. | 03/2022 | 155.00 | 307,800 | 19 | 20,710 | |||||||||||||||
Zynga, Inc. | 03/2022 | 9.00 | 360,476 | 397 | 8,734 | |||||||||||||||
TOTAL CALL OPTIONS PURCHASED | ||||||||||||||||||||
(Cost $44,759) | 33,434 | |||||||||||||||||||
Put Options Purchased - 0.00%(g) |
Cerner Corp. | 03/2022 | 90.00 | 3,039,950 | 326 | 1,630 | |||||||||||||||
TOTAL PUT OPTIONS PURCHASED | ||||||||||||||||||||
(Cost $18,050) | 1,630 | |||||||||||||||||||
TOTAL PURCHASED OPTIONS | ||||||||||||||||||||
(Cost $62,809) | 35,064 |
Yield | Shares | Value | ||||||||||
SHORT-TERM INVESTMENTS - 0.50% | ||||||||||||
Money Market Funds | ||||||||||||
Morgan Stanley Institutional Liquidity Fund - Government Portfolio | 0.026 | %(i) | 292,053 | $ | 292,053 | |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 0.099 | %(i) | 292,054 | 292,054 | ||||||||
584,107 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||
(Cost $584,107) | 584,107 | |||||||||||
Total Investments - 100.55% | ||||||||||||
(Cost $120,395,290) | 118,432,106 | |||||||||||
Liabilities in Excess of Other Assets - (0.55)%(j) | (649,104 | ) | ||||||||||
NET ASSETS - 100.00% | $ | 117,783,002 |
Portfolio Footnotes |
(a) | Non-income-producing security. |
Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
(b) | Security, or a portion of security, is being held as collateral for short sales, written option contracts or forward foreign currency exchange contracts. At February 28, 2022, the aggregate fair market value of those securities was $31,293,406, representing 26.57% of net assets. |
(c) | Restricted securities (including private placements) - The Fund may own investment securities that have other legal or contractual limitations. At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $960,473 or 0.82% of net assets. |
Restricted Security | Acquisition Date | Acquisition Cost | ||||
Bakkt Holdings, Inc. | 10/06/2021 | $ | 293,140 | |||
Fast Capital LLC | 08/18/2020 | 23,591 | ||||
Fuse LLC | 06/19/2020 | 52,176 | ||||
Fuse Sponsor Capital, Z2 Shares | 06/19/2020 | 5,226 | ||||
Lightning eMotors, Inc., Exercise Price $11.50, Expires 05/18/2025 | 04/28/2021 | — | ||||
Moneylion, Inc. | 09/14/2021 | 1,868,733 | ||||
Stryve Foods, Inc. | 07/09/2021 | 291,910 | ||||
UpHealth, Inc. | 05/25/2021 | 83,400 | ||||
UpHealth, Inc., Exercise Price $11.50, Expires 07/01/2024 | 06/04/2021 | — | ||||
Total | $ | 2,618,176 |
(d) | 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 February 28, 2022, these securities had a total value of $6,028,751 or 5.12% of net assets. |
(e) | Underlying security for a written/purchased call/put option. |
(f) | Security fair valued using significant unobservable inputs and classified as a Level 3 security. As of February 28, 2022, the total fair market value of these securities was $1,669,649, representing 1.42% of net assets. |
(g) | Less than 0.005% of net assets. |
(h) | Represents a holding that is a direct investment into a private company and is not a listed or publicly traded entity. |
(i) | Rate shown is the 7-day effective yield as of February 28, 2022. |
(j) | Includes cash held as collateral for short sales and written option contracts. |
Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
COMMON STOCKS SOLD SHORT - (2.60%) | ||||||||
Airlines - (0.25%) | ||||||||
Frontier Group Holdings, Inc. | (22,756 | ) | $ | (293,097 | ) | |||
Commercial Services - (0.14%) | ||||||||
Bakkt Holdings, Inc. | (15,547 | ) | (88,774 | ) | ||||
GXO Logistics, Inc. | (897 | ) | (75,285 | ) | ||||
(164,059 | ) | |||||||
Construction Materials - (0.06%) | ||||||||
Forterra, Inc. | (3,048 | ) | (71,811 | ) | ||||
Electronics - (0.88%) | ||||||||
II-VI, Inc. | (14,985 | ) | (1,040,858 | ) | ||||
Entertainment - (0.03%) | ||||||||
Cineplex, Inc. | (3,228 | ) | (35,247 | ) | ||||
Internet - (0.05%) | ||||||||
NortonLifeLock, Inc. | (2,014 | ) | (58,366 | ) | ||||
Real Estate Investment Trusts - (0.99%) | ||||||||
Healthcare Realty Trust, Inc. | (44,725 | ) | (1,166,428 | ) | ||||
Semiconductors - (0.06%) | ||||||||
Entegris, Inc. | (549 | ) | (71,633 | ) | ||||
Software - (0.14%) | ||||||||
Take-Two Interactive Software, Inc. | (985 | ) | (159,570 | ) | ||||
TOTAL SECURITIES SOLD SHORT | ||||||||
(Proceeds $3,514,086) | $ | (3,061,069 | ) |
WRITTEN OPTIONS | Expiration Date | Exercise Price | Notional Amount | Contracts | Value | |||||||||||||||
Written Call Options | ||||||||||||||||||||
Willis Towers Watson Plc | 03/2022 | $ | 220.00 | $ | (1,333,800 | ) | (60 | ) | $ | (37,800 | ) | |||||||||
TOTAL WRITTEN CALL OPTIONS | ||||||||||||||||||||
(Premiums received $60,385) | (37,800 | ) | ||||||||||||||||||
Written Put Options | ||||||||||||||||||||
Cerner Corp. | 03/2022 | 85.00 | (1,575,925 | ) | (169 | ) | (845 | ) | ||||||||||||
TOTAL WRITTEN PUT OPTIONS | ||||||||||||||||||||
(Premiums received $2,314) | (845 | ) | ||||||||||||||||||
TOTAL WRITTEN OPTIONS | ||||||||||||||||||||
(Premiums received $62,699) | $ | (38,645 | ) |
Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
EQUITY SWAP CONTRACTS
Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Paid | Upfront Payments Received | Market Value | Notional Amount | Unrealized Appreciation | |||||||||||||||||
Goldman Sachs & Co./ Monthly | Sanne Group Plc | Paid 1 Month SONIA Plus 47 bps (0.915%) | 06/16/2022 | $ | — | $ | — | $ | — | GBP | 456,180 | $ | — | ||||||||||||
Goldman Sachs & Co./ Monthly | Meggitt Plc | Paid 1 Month SONIA Plus 55 bps (0.995%) | 08/04/2022 | — | — | — | GBP | 1,145,146 | — | ||||||||||||||||
Goldman Sachs & Co./ Monthly | CNP Assurance | Paid 1 Week ESTR Plus 63 bps (0.550%) | 11/02/2022 | — | — | — | EUR | 1,413,831 | — | ||||||||||||||||
Morgan Stanley & Co./ Monthly | Distell Group Holdings Ltd. | Paid 1 Month SABOR Plus 125 bps (5.080%) | 11/17/2023 | — | — | — | ZAR | 1,849,697 | — | ||||||||||||||||
Goldman Sachs & Co./ Monthly | Distell Group Holdings Ltd. | Paid 1 Month JIBAR Plus 95 bps (4.942%) | 11/18/2022 | — | — | — | ZAR | 5,076,647 | — | ||||||||||||||||
Goldman Sachs & Co./ Monthly | Nobina AB | Paid 1 Month STIBOR Plus 70 bps (0.630%) | 12/13/2022 | — | — | — | SEK | 2,967,777 | — | ||||||||||||||||
Morgan Stanley & Co./ Monthly | iShares Russell 2000 ETF | Received 1 Month-Federal Rate Minus 113 bps (-1.050%) | 08/18/2023 | — | — | — | USD | 487,561 | — | ||||||||||||||||
Morgan Stanley & Co./ Monthly | S&P Global, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.330%) | 08/18/2023 | — | — | — | USD | 5,556,979 | — | ||||||||||||||||
Morgan Stanley & Co./ Monthly | Entegris, Inc. | Received 1 Month-Federal Rate Minus 40 bps (-0.320%) | 08/18/2023 | — | — | — | USD | 612,082 | — | ||||||||||||||||
$ | — | $ | — |
Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||||
AUD | 1,985,000 | USD | 1,431,328 | Morgan Stanley & Co. | 03/15/2022 | $ | 10,621 | |||||||||||
CAD | 1,540,000 | USD | 1,200,820 | Morgan Stanley & Co. | 03/15/2022 | 14,243 | ||||||||||||
USD | 42,489 | CAD | 53,500 | Morgan Stanley & Co. | 03/15/2022 | 277 | ||||||||||||
CHF | 3,800 | USD | 4,132 | Morgan Stanley & Co. | 03/15/2022 | 14 | ||||||||||||
USD | 1,202 | CHF | 1,100 | Morgan Stanley & Co. | 03/15/2022 | 2 | ||||||||||||
EUR | 12,300 | USD | 13,743 | Morgan Stanley & Co. | 03/15/2022 | 56 | ||||||||||||
USD | 2,391,695 | EUR | 2,113,200 | Morgan Stanley & Co. | 03/15/2022 | 21,047 | ||||||||||||
USD | 232,077 | GBP | 171,200 | Morgan Stanley & Co. | 03/15/2022 | 2,388 | ||||||||||||
SEK | 369,300 | USD | 38,881 | Morgan Stanley & Co. | 03/15/2022 | 120 | ||||||||||||
USD | 2,143,442 | SEK | 19,436,000 | Morgan Stanley & Co. | 03/15/2022 | 90,853 | ||||||||||||
$ | 139,621 |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||||||||
USD | 3,824,787 | AUD | 5,328,700 | Morgan Stanley & Co. | 03/15/2022 | $ | (46,105 | ) | ||||||||||
CAD | 48,900 | USD | 38,757 | Morgan Stanley & Co. | 03/15/2022 | (176 | ) | |||||||||||
USD | 1,823,012 | CAD | 2,325,700 | Morgan Stanley & Co. | 03/15/2022 | (11,969 | ) | |||||||||||
USD | 19,344 | CHF | 17,800 | Morgan Stanley & Co. | 03/15/2022 | (73 | ) | |||||||||||
EUR | 769,800 | USD | 873,421 | Morgan Stanley & Co. | 03/15/2022 | (9,838 | ) | |||||||||||
USD | 87,457 | EUR | 78,400 | Morgan Stanley & Co. | 03/15/2022 | (495 | ) | |||||||||||
USD | 2,919,718 | GBP | 2,198,300 | Morgan Stanley & Co. | 03/15/2022 | (29,624 | ) | |||||||||||
SEK | 2,350,700 | USD | 257,239 | Morgan Stanley & Co. | 03/15/2022 | (8,989 | ) | |||||||||||
$ | (107,269 | ) |
Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
The following is a summary of investments classified by country exposure: |
Country | % of Net Assets(a) | |||
United States | 85.38 | % | ||
United Kingdom | 8.04 | % | ||
Sweden | 2.04 | % | ||
Netherlands | 1.33 | % | ||
Republic of Korea | 1.12 | % | ||
Switzerland | 0.95 | % | ||
Canada | 0.56 | % | ||
Czech Republic | 0.47 | % | ||
Australia | 0.26 | % | ||
Israel | 0.25 | % | ||
Italy | 0.15 | % | ||
Austria | 0.00 | %(b) | ||
Liabilities in Excess of Other Assets | (0.55 | )% | ||
100.00 | % |
(a) | These percentages represent long positions only and are not net of short positions. |
(b) | Less than 0.005% of net assets. |
Abbreviations:
AB - Aktiebolag is the Swedish term for a limited company.
AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders.
AUD - Australian dollar
bps - Basis Points. 100 Basis Points is equal to 1 percentage point.
CAD - Canadian dollar
CHF - Swiss franc
CVR - Contingent Value Rights
ESTR - Euro Short-term Rate
ETF - Exchange-Traded Fund
EUR - Euro
GBP - British pound
JIBAR - Johannesburg Interbank Agreed Rate
LLC - Limited Liability Company
Ltd. - Limited
N.V. - Naamloze Vennootschap is the Dutch term for a public limited liability corporation.
Plc - Public Limited Company
REIT - Real Estate Investment Trust
SABOR - South African Benchmark Overnight Rate
SEK - Swedish krona
SONIA - Sterling OverNight Index Average
S&P - Standard & Poor's
STIBOR - Stockholm Interbank Offered Rate
USD - United States Dollar
ZAR - South African rand
Water Island Event-Driven Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
Investments in Securities at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 1,800,713 | $ | — | $ | — | $ | 1,800,713 | ||||||||
Airlines | 298,402 | — | — | 298,402 | ||||||||||||
Auto Parts & Equipment | 2,326,393 | — | — | 2,326,393 | ||||||||||||
Banks | 1,450,923 | — | — | 1,450,923 | ||||||||||||
Biotechnology | 2,536,845 | — | — | 2,536,845 | ||||||||||||
Chemicals | 7,441,401 | — | — | 7,441,401 | ||||||||||||
Commercial Services | 7,060,241 | — | — | 7,060,241 | ||||||||||||
Computers & Computer Services | 2,973,715 | — | — | 2,973,715 | ||||||||||||
Construction Materials | 1,322,069 | — | — | 1,322,069 | ||||||||||||
Diversified Financial Services | 1,007,936 | — | — | 1,007,936 | ||||||||||||
Electric | 2,656,945 | — | — | 2,656,945 | ||||||||||||
Electronics | 4,352,557 | — | — | 4,352,557 | ||||||||||||
Energy - Alternate Sources | 1,494,696 | — | — | 1,494,696 | ||||||||||||
Entertainment | 252,592 | — | — | 252,592 | ||||||||||||
Environmental Control | 1,508,545 | — | — | 1,508,545 | ||||||||||||
Food | 2,293,363 | — | — | 2,293,363 | ||||||||||||
Forest Products & Paper | 727,938 | — | — | 727,938 | ||||||||||||
Gas | 1,200,240 | — | — | 1,200,240 | ||||||||||||
Healthcare – Products | 1,055,564 | — | — | 1,055,564 | ||||||||||||
Healthcare – Services | 18,598 | — | — | 18,598 | ||||||||||||
Insurance | 5,610,787 | — | — | 5,610,787 | ||||||||||||
Internet | 2,950,774 | — | — | 2,950,774 | ||||||||||||
Leisure Time | 633,956 | — | — | 633,956 | ||||||||||||
Lodging | 302,783 | — | — | 302,783 | ||||||||||||
Machinery - Diversified | 6,903,485 | — | — | 6,903,485 | ||||||||||||
Media | 3,691,241 | — | — | 3,691,241 | ||||||||||||
Pharmaceuticals | 2,865,175 | — | — | 2,865,175 | ||||||||||||
Real Estate Investment Trusts | 8,044,773 | — | — | 8,044,773 | ||||||||||||
Retail | 1,898,894 | — | — | 1,898,894 | ||||||||||||
Semiconductors | 3,773,832 | — | — | 3,773,832 | ||||||||||||
Software | 26,379,361 | — | 1,534,835 | 27,914,196 | ||||||||||||
Telecommunications | 4,219,808 | — | — | 4,219,808 | ||||||||||||
Rights | — | 67,803 | — | 67,803 | ||||||||||||
Corporate Bonds* | — | 1,715,232 | — | 1,715,232 | ||||||||||||
Convertible Corporate Bonds* | — | 3,264,430 | — | 3,264,430 | ||||||||||||
Warrants* | 41,276 | — | — | 41,276 | ||||||||||||
Private Investments | — | — | 134,814 | 134,814 | ||||||||||||
Purchased Options | 35,064 | — | — | 35,064 | ||||||||||||
Short-Term Investments | 584,107 | — | — | 584,107 | ||||||||||||
TOTAL | $ | 111,714,992 | $ | 5,047,465 | $ | 1,669,649 | $ | 118,432,106 |
Other Financial Instruments** | ||||||||||||||||
Assets | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 139,621 | $ | — | $ | 139,621 | ||||||||
Equity Swaps | 0 | — | — | 0 | ||||||||||||
Liabilities | ||||||||||||||||
Common Stocks* | (3,061,069 | ) | — | — | (3,061,069 | ) | ||||||||||
Written Options | (38,645 | ) | — | — | (38,645 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | — | (107,269 | ) | — | (107,269 | ) | ||||||||||
TOTAL | $ | (3,099,714 | ) | $ | 32,352 | $ | — | $ | (3,067,362 | ) |
* | Refer to Portfolio of Investments for sector information. |
** | Other financial instruments are instruments such as written options, securities sold short, equity swaps and forward foreign currency exchange contracts. |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund’s assets and liabilities during the period ended February 28, 2022:
Investments in Securities | Balance as of May 31, 2021 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales Proceeds | Transfers into Level 3 | Transfers out of Level 3 | Balance as of February 28, 2022 | Net change in Unrealized Appreciation (Depreciation) from investments still held as of February 28, 2022 | |||||||||||||||||||||||||||
Common Stocks | $ | 6,055,654 | $ | 466,544 | $ | (424,231 | ) | $ | 1,512,152 | $ | (6,075,284 | ) | $ | - | $ | - | $ | 1,534,835 | $ | 22,683 | ||||||||||||||||
Rights | 43,889 | 81,275 | (3,858 | ) | - | (121,306 | ) | - | - | - | - | |||||||||||||||||||||||||
Convertible Corporate Bonds | 1,081,737 | - | 55,939 | - | - | - | (1,137,676 | ) | - | - | ||||||||||||||||||||||||||
Private Investments | 79,400 | - | 55,148 | 266 | - | - | - | 134,814 | 55,148 | |||||||||||||||||||||||||||
Total | $ | 7,260,680 | $ | 547,819 | $ | (317,002 | ) | $ | 1,512,418 | $ | (6,196,590 | ) | $ | - | $ | (1,137,676 | ) | $ | 1,669,649 | $ | 77,831 |
Water Island Credit Opportunities Fund | Portfolio of Investments |
February 28, 2022 (unaudited) |
Maturity Date | Rate | Principal Amount | Value | |||||||||||
BANK LOANS - 3.99% | ||||||||||||||
Chemicals - 0.49% | ||||||||||||||
Zep Inc., 2017 1st Lien Term Loan, Variable Rate, (12 mo. USD LIBOR plus 4.00%) | 08/12/2024 | 5.000 | % | $ | 720,331 | $ | 701,873 | |||||||
Commercial Services - 3.50% | ||||||||||||||
Moneygram International, Inc., 2021 Term Loan B, TBD(a) | 07/21/2026 | TBD | 5,000,000 | 5,001,875 | ||||||||||
TOTAL BANK LOANS | ||||||||||||||
(Cost $5,730,169) | 5,703,748 | |||||||||||||
CORPORATE BONDS - 63.90% | ||||||||||||||
Aerospace & Defense - 1.04% | ||||||||||||||
Boeing Co. (The)(b) | 05/01/2050 | 5.805 | % | 1,250,000 | 1,485,011 | |||||||||
Auto Parts & Equipment - 1.40% | ||||||||||||||
Tenneco, Inc.(c) | 04/15/2029 | 5.125 | % | 2,000,000 | 2,005,000 | |||||||||
Banks - 0.68% | ||||||||||||||
Truist Bank, Variable Rate, (3 mo. USD LIBOR plus 0.65%)(b) | 03/15/2028 | 0.853 | % | 1,000,000 | 965,266 | |||||||||
Chemicals - 3.01% | ||||||||||||||
GCP Applied Technologies, Inc.(c) | 04/15/2026 | 5.500 | % | 1,175,000 | 1,197,031 | |||||||||
Kraton Polymers LLC / Kraton Polymers Capital Corp.(c) | 12/15/2025 | 4.250 | % | 3,028,000 | 3,107,485 | |||||||||
4,304,516 | ||||||||||||||
Commercial Services - 1.64% | ||||||||||||||
RR Donnelley & Sons Co.(b)(c) | 11/01/2026 | 6.125 | % | 2,200,000 | 2,343,000 | |||||||||
Computers & Computer Services - 1.03% | ||||||||||||||
Diebold Nixdorf, Inc.(d) | 04/15/2024 | 8.500 | % | 1,500,000 | 1,477,500 | |||||||||
Construction Materials - 1.21% | ||||||||||||||
Forterra Finance LLC / FRTA Finance Corp.(c) | 07/15/2025 | 6.500 | % | 1,663,000 | 1,721,205 | |||||||||
Entertainment - 5.55% | ||||||||||||||
Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium Op(c) | 05/01/2025 | 5.500 | % | 500,000 | 513,935 | |||||||||
Peninsula Pacific Entertainment LLC / Peninsula Pacific Entertainment Finance In(c) | 11/15/2027 | 8.500 | % | 5,320,000 | 5,890,198 | |||||||||
Scientific Games International, Inc.(c) | 10/15/2025 | 5.000 | % | 1,500,000 | 1,515,000 | |||||||||
7,919,133 | ||||||||||||||
Food - 9.55% | ||||||||||||||
B&G Foods, Inc.(b)(d) | 04/01/2025 | 5.250 | % | 1,500,000 | 1,510,950 | |||||||||
Chobani LLC / Chobani Finance Corp., Inc.(c) | 04/15/2025 | 7.500 | % | 4,499,000 | 4,476,505 | |||||||||
Fresh Market, Inc. (The)(c) | 05/01/2023 | 9.750 | % | 6,088,000 | 6,148,880 | |||||||||
US Foods, Inc.(c) | 04/15/2025 | 6.250 | % | 1,451,000 | 1,500,769 | |||||||||
13,637,104 | ||||||||||||||
Gas - 1.40% | ||||||||||||||
Rockpoint Gas Storage Canada Ltd.(c) | 03/31/2023 | 7.000 | % | 2,000,000 | 1,997,500 |
Water Island Credit Opportunities Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
Maturity Date | Rate | Principal Amount | Value | |||||||||||
CORPORATE BONDS - 63.90% (Continued) | ||||||||||||||
Hand/Machine Tools - 2.17% | ||||||||||||||
Werner FinCo LP / Werner FinCo, Inc.(b)(c) | 07/15/2025 | 8.750 | % | $ | 3,000,000 | $ | 3,105,000 | |||||||
Internet - 4.38% | ||||||||||||||
Getty Images, Inc.(c) | 03/01/2027 | 9.750 | % | 6,000,000 | 6,247,500 | |||||||||
Machinery - Diversified - 3.20% | ||||||||||||||
JPW Industries Holding Corp.(b)(c) | 10/01/2024 | 9.000 | % | 2,000,000 | 2,060,000 | |||||||||
Welbilt, Inc. | 02/15/2024 | 9.500 | % | 2,500,000 | 2,506,250 | |||||||||
4,566,250 | ||||||||||||||
Media - 0.70% | ||||||||||||||
Cengage Learning, Inc.(b)(c) | 06/15/2024 | 9.500 | % | 1,000,000 | 1,001,710 | |||||||||
Office/Business Equip - 2.66% | ||||||||||||||
Xerox Holdings Corp.(c)(d) | 08/15/2025 | 5.000 | % | 3,745,000 | 3,805,426 | |||||||||
Oil & Gas - 2.26% | ||||||||||||||
Par Petroleum LLC / Par Petroleum Finance Corp.(b)(c) | 12/15/2025 | 7.750 | % | 3,190,000 | 3,221,900 | |||||||||
Packaging & Containers - 9.54% | ||||||||||||||
Flex Acquisition Co., Inc.(c) | ||||||||||||||
01/15/2025 | 6.875 | % | 6,500,000 | 6,514,170 | ||||||||||
07/15/2026 | 7.875 | % | 3,183,000 | 3,282,469 | ||||||||||
LABL, Inc.(c) | ||||||||||||||
07/15/2026 | 6.750 | % | 2,500,000 | 2,506,250 | ||||||||||
07/15/2027 | 10.500 | % | 1,293,000 | 1,325,325 | ||||||||||
13,628,214 | ||||||||||||||
Pipelines - 0.99% | ||||||||||||||
Energy Transfer LP | ||||||||||||||
05/15/2024 | 3.900 | % | 1,250,000 | 1,282,121 | ||||||||||
05/15/2028 | 4.950 | % | 125,000 | 133,764 | ||||||||||
1,415,885 | ||||||||||||||
Real Estate Investment Trusts - 3.86% | ||||||||||||||
Uniti Group LP / Uniti Fiber Holdings, Inc. / CSL Capital LLC(b)(c) | 02/15/2025 | 7.875 | % | 5,296,000 | 5,517,240 | |||||||||
Software - 2.86% | ||||||||||||||
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc.(c) | 03/01/2025 | 5.750 | % | 2,000,000 | 1,991,000 | |||||||||
Citrix Systems, Inc. | 03/01/2030 | 3.300 | % | 2,100,000 | 2,086,001 | |||||||||
4,077,001 | ||||||||||||||
Telecommunications - 4.77% | ||||||||||||||
Altice France Holding SA(b)(c) | 05/15/2027 | 10.500 | % | 6,500,000 | 6,805,500 | |||||||||
TOTAL CORPORATE BONDS | ||||||||||||||
(Cost $91,767,730) | 91,246,861 |
Water Island Credit Opportunities Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
Maturity Date | Rate | Principal Amount | Value | |||||||||||
CONVERTIBLE CORPORATE BONDS - 31.71% | ||||||||||||||
Aerospace & Defense - 2.19% | ||||||||||||||
Kaman Corp.(b) | 05/01/2024 | 3.250 | % | $ | 3,000,000 | $ | 3,127,500 | |||||||
Auto Manufacturers - 0.76% | ||||||||||||||
Lightning eMotors, Inc.(c) | 05/15/2024 | 7.500 | % | 1,370,000 | 1,083,848 | |||||||||
Commercial Services - 1.79% | ||||||||||||||
Block, Inc. | 03/01/2025 | 0.125 | % | 2,000,000 | 2,551,250 | |||||||||
Computers & Computer Services - 1.22% | ||||||||||||||
Pure Storage, Inc. | 04/15/2023 | 0.125 | % | 1,500,000 | 1,750,500 | |||||||||
Diversified Financial Services - 1.00% | ||||||||||||||
WisdomTree Investments, Inc.(b)(c) | 06/15/2026 | 3.250 | % | 1,500,000 | 1,428,000 | |||||||||
Entertainment - 0.41% | ||||||||||||||
Cineplex, Inc.(c) | 09/30/2025 | 5.750 | % | 567,000 | 591,120 | |||||||||
Healthcare - Services - 1.16% | ||||||||||||||
UpHealth, Inc.(b)(c) | 06/15/2026 | 6.250 | % | 1,951,000 | 1,655,478 | |||||||||
Internet - 8.24% | ||||||||||||||
fuboTV, Inc.(b)(c) | 02/15/2026 | 3.250 | % | 2,500,000 | 1,885,000 | |||||||||
Spotify USA, Inc.(b)(c)(e) | 03/15/2026 | 0.000 | % | 3,500,000 | 2,987,250 | |||||||||
Twitter, Inc.(b) | 06/15/2024 | 0.250 | % | 2,500,000 | 2,534,375 | |||||||||
Zendesk, Inc. | 06/15/2025 | 0.625 | % | 3,500,000 | 4,357,500 | |||||||||
11,764,125 | ||||||||||||||
Pharmaceuticals - 2.77% | ||||||||||||||
Dermira, Inc. | 05/15/2022 | 3.000 | % | 1,938,000 | 1,947,690 | |||||||||
Paratek Pharmaceuticals, Inc.(b) | 05/01/2024 | 4.750 | % | 2,250,000 | 2,006,100 | |||||||||
3,953,790 | ||||||||||||||
Software - 7.10% | ||||||||||||||
Five9, Inc.(b) | 06/01/2025 | 0.500 | % | 3,000,000 | 3,256,702 | |||||||||
Kaleyra, Inc.(c) | 06/01/2026 | 6.125 | % | 1,900,000 | 1,877,505 | |||||||||
Nuance Communications, Inc. | 12/15/2035 | 1.000 | % | 1,000,000 | 2,291,300 | |||||||||
RingCentral, Inc.(e) | 03/01/2025 | 0.000 | % | 3,105,000 | 2,709,112 | |||||||||
10,134,619 | ||||||||||||||
Telecommunications - 5.07% | ||||||||||||||
Vonage Holdings Corp.(b) | 06/01/2024 | 1.750 | % | 5,500,000 | 7,246,250 | |||||||||
TOTAL CONVERTIBLE CORPORATE BONDS | ||||||||||||||
(Cost $45,721,914) | 45,286,480 |
Shares | Value | |||||||
WARRANTS(f) - 0.04% | ||||||||
Auto Manufacturers - 0.04% | ||||||||
Lightning eMotors, Inc., Exercise Price $11.50, Expires 05/18/2025(g) | 53,913 | $ | 50,409 | |||||
TOTAL WARRANTS | ||||||||
(Cost $0) | 50,409 |
Water Island Credit Opportunities Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
Expiration Date | Exercise Price | Notional Amount | Contracts | Value | ||||||||||||||||
PURCHASED OPTIONS(f) - 0.04% | ||||||||||||||||||||
Call Options Purchased - 0.04% | ||||||||||||||||||||
B&G Foods, Inc. | 05/2022 | $ | 35.00 | $ | 592,000 | 200 | $ | 7,500 | ||||||||||||
Diebold Nixdorf, Inc. | 05/2022 | 12.50 | 269,700 | 310 | 4,650 | |||||||||||||||
Par Pacific Holdings, Inc. | 06/2022 | 17.50 | 95,200 | 70 | 6,650 | |||||||||||||||
SPDR S&P 500 ETF Trust | 03/2022 | 475.00 | 6,549,450 | 150 | 2,325 | |||||||||||||||
Uniti Group, Inc. | 03/2022 | 14.00 | 1,523,975 | 1,175 | 26,438 | |||||||||||||||
Xerox Holdings Corp. | 04/2022 | 25.00 | 591,300 | 300 | 3,750 | |||||||||||||||
TOTAL CALL OPTIONS PURCHASED | ||||||||||||||||||||
(Cost $202,879) | 51,313 | |||||||||||||||||||
TOTAL PURCHASED OPTIONS | ||||||||||||||||||||
(Cost $202,879) | 51,313 | |||||||||||||||||||
Total Investments - 99.68% | ||||||||||||||||||||
(Cost $143,422,692) | 142,338,811 | |||||||||||||||||||
Other Assets in Excess of Liabilities - 0.32%(h) | 454,465 | |||||||||||||||||||
NET ASSETS - 100.00% | $ | 142,793,276 |
Portfolio Footnotes |
(a) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date. |
(b) | Security, or a portion of security, is being held as collateral for short sales or forward foreign currency exchange contracts. At February 28, 2022, the aggregate fair market value of those securities was $39,187,773, representing 27.44% of net assets. |
(c) | 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 February 28, 2022, these securities had a total value of $91,308,199 or 63.94% of net assets. |
(d) | Underlying security for a purchased call/put option. |
(e) | Represents a zero coupon bond. |
(f) | Non-income-producing security. |
(g) | Restricted securities (including private placements) - The Fund may own investment securities that have other legal or contractual limitations. At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $50,409 or 0.04% of net assets. |
Restricted Security | Acquisition Date | Acquisition Cost | ||||
Lightning eMotors, Inc., Exercise Price $11.50, Expires 05/18/2025 | 04/28/2021 | $ | — | |||
Total | $ | — |
(h) | Includes cash held as collateral for short sales. |
Water Island Credit Opportunities Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
SCHEDULE OF SECURITIES SOLD SHORT | Shares | Value | ||||||
COMMON STOCKS SOLD SHORT - (10.56%) | ||||||||
Aerospace & Defense - (0.21%) | ||||||||
Kaman Corp. | (6,900 | ) | $ | (299,529 | ) | |||
Commercial Services - (1.00%) | ||||||||
Block, Inc. | (11,200 | ) | (1,428,000 | ) | ||||
Computers & Computer Services - (0.55%) | ||||||||
Diebold Nixdorf, Inc. | (4,200 | ) | (36,540 | ) | ||||
Pure Storage, Inc., Class A | (29,100 | ) | (754,854 | ) | ||||
(791,394 | ) | |||||||
Diversified Financial Services - (0.16%) | ||||||||
WisdomTree Investments, Inc. | (39,400 | ) | (221,822 | ) | ||||
Entertainment - (0.25%) | ||||||||
Cineplex, Inc. | (33,300 | ) | (363,607 | ) | ||||
Food - (0.12%) | ||||||||
B&G Foods, Inc. | (5,600 | ) | (165,760 | ) | ||||
Internet - (2.42%) | ||||||||
fuboTV, Inc. | (17,333 | ) | (148,197 | ) | ||||
Spotify Technology SA | (1,300 | ) | (203,047 | ) | ||||
Twitter, Inc. | (14,400 | ) | (511,920 | ) | ||||
Zendesk, Inc. | (22,200 | ) | (2,590,074 | ) | ||||
(3,453,238 | ) | |||||||
Office/Business Equip - (0.11%) | ||||||||
Xerox Holdings Corp. | (7,900 | ) | (155,709 | ) | ||||
Oil & Gas - (0.02%) | ||||||||
Par Pacific Holdings, Inc. | (2,260 | ) | (30,736 | ) | ||||
Pharmaceuticals - (0.07%) | ||||||||
Paratek Pharmaceuticals, Inc. | (27,450 | ) | (96,624 | ) | ||||
Real Estate Investment Trusts - (0.16%) | ||||||||
Uniti Group, Inc. | (17,500 | ) | (226,975 | ) | ||||
Software - (2.63%) | ||||||||
Five9, Inc. | (12,800 | ) | (1,408,000 | ) | ||||
Nuance Communications, Inc. | (37,700 | ) | (2,093,104 | ) | ||||
RingCentral, Inc., Class A | (2,000 | ) | (261,680 | ) | ||||
(3,762,784 | ) | |||||||
Telecommunications - (2.86%) | ||||||||
Vonage Holdings Corp. | (201,000 | ) | (4,084,320 | ) | ||||
TOTAL COMMON STOCKS SOLD SHORT | ||||||||
(Proceeds $15,657,613) | (15,080,498 | ) |
Water Island Credit Opportunities Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
SCHEDULE OF SECURITIES SOLD SHORT | Maturity Date | Rate | Principal Amount | Value | ||||||||||
U.S. TREASURY & GOVERNMENT AGENCIES - (1.57%) | ||||||||||||||
Sovereign - (1.57%) | ||||||||||||||
U.S. Treasury Bond | 02/15/2050 | 2.000 | % | $ | (1,240,000 | ) | $ | (1,187,446 | ) | |||||
U.S. Treasury Note | 04/30/2026 | 0.750 | % | (1,100,000 | ) | (1,056,086 | ) | |||||||
(2,243,532 | ) | |||||||||||||
TOTAL U.S. TREASURY & GOVERNMENT AGENCIES | ||||||||||||||
(Proceeds $2,525,521) | (2,243,532 | ) | ||||||||||||
TOTAL SECURITIES SOLD SHORT | ||||||||||||||
(Proceeds $18,183,134) | $ | (17,324,030 | ) |
EQUITY SWAP CONTRACTS
Swap Counterparty/ Payment Frequency | Reference Obligation | Rate Paid/Received by the Fund | Termination Date | Upfront Payments Paid | Upfront Payments Received | Market Value | Notional Amount | Unrealized Appreciation | ||||||||||||||||
Morgan Stanley & Co./ Monthly | SPDR Bloomberg High Yield Bond ETF | Received 1 Month-Federal Rate Minus 458 bps (-4.500%) | 08/18/2023 | $ | — | $ | — | $ | — | USD 1,449,770 | $ | — | ||||||||||||
Morgan Stanley & Co./ Monthly | iShares iBoxx $ Investment Grade Corporate Bond ETF | Received 1 Month-Federal Rate Minus 168 bps (-1.600%) | 08/18/2023 | — | — | — | USD 1,385,280 | — | ||||||||||||||||
$ | — | $ | — |
Water Island Credit Opportunities Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||
CAD | 262,300 | USD | 204,894 | Morgan Stanley & Co. | 03/15/2022 | $ | 2,061 | |||||||||
USD | 53,951 | CAD | 67,900 | Morgan Stanley & Co. | 03/15/2022 | 378 | ||||||||||
$ | 2,439 |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Depreciation | ||||||||||||
CAD | 81,300 | USD | 64,584 | Morgan Stanley & Co. | 03/15/2022 | $ | (437 | ) | ||||||||
USD | 449,643 | CAD | 573,800 | Morgan Stanley & Co. | 03/15/2022 | (3,088 | ) | |||||||||
$ | (3,525 | ) |
The following is a summary of investments classified by country exposure: |
Country | % of Net Assets(a) | |||
United States | 93.10 | % | ||
Luxembourg | 4.77 | % | ||
Canada | 1.81 | % | ||
Other Assets in Excess of Liabilities | 0.32 | % | ||
100.00 | % |
(a) | These percentages represent long positions only and are not net of short positions. |
Abbreviations:
bps - Basis Points. 100 Basis Points is equal to 1 percentage point.
CAD - Canadian dollar
ETF - Exchange-Traded Fund
LIBOR - London Interbank Offered Rate
LLC - Limited Liability Company
LP - Limited Partnership
Ltd. - Limited
SA - Generally designates corporations in various countries, mostly those employing civil law. This translates literally in all languages mentioned as anonymous company.
S&P - Standard & Poor's
SPDR - Standard & Poor's Depositary Receipt
TBD - To Be Determined
USD - United States Dollar
Water Island Credit Opportunities Fund | Portfolio of Investments (Continued) |
February 28, 2022 (unaudited) |
Investments in Securities at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Bank Loans* | $ | — | $ | 5,703,748 | $ | — | $ | 5,703,748 | ||||||||
Corporate Bonds* | — | 91,246,861 | — | 91,246,861 | ||||||||||||
Convertible Corporate Bonds* | — | 45,286,480 | — | 45,286,480 | ||||||||||||
Warrants* | 50,409 | — | — | 50,409 | ||||||||||||
Purchased Options | 51,313 | — | — | 51,313 | ||||||||||||
TOTAL | $ | 101,722 | $ | 142,237,089 | $ | — | $ | 142,338,811 |
Other Financial Instruments** | ||||||||||||||||
Assets | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 2,439 | $ | — | $ | 2,439 | ||||||||
Equity Swaps | 0 | — | — | 0 | ||||||||||||
Liabilities | ||||||||||||||||
Common Stocks* | (15,080,498 | ) | — | — | (15,080,498 | ) | ||||||||||
U.S. Treasury & Government Agencies | — | (2,243,532 | ) | — | (2,243,532 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts | — | (3,525 | ) | — | (3,525 | ) | ||||||||||
TOTAL | $ | (15,080,498 | ) | $ | (2,244,618 | ) | $ | — | $ | (17,325,116 | ) |
* | Refer to Portfolio of at Investments for sector information. |
** | Other financial instruments are instruments such as securities sold short, equity swaps and forward foreign currency exchange contracts. |
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund’s assets and liabilities during the period ended February 28, 2022:
Investments in Securities | Balance as of May 31, 2021 | Accrued Discounts/ (Premiums) | Realized Gain/(Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales Proceeds | Amortization Premium/ Discount | Transfers into Level 3 | Transfers out of Level 3 | Balance as of February 28, 2022 | Net change in Unrealized Appreciation (Depreciation) from investments still held as of February 28, 2022 | |||||||||||||||||||||||||||||||||
Convertible Corporate Bonds | $ | 1,668,592 | $ | - | $ | - | $ | 86,360 | $ | - | $ | - | $ | - | $ | - | $ | (1,754,952 | ) | $ | - | $ | - | |||||||||||||||||||||
Total | $ | 1,668,592 | $ | - | $ | - | $ | 86,360 | $ | - | $ | - | $ | - | $ | - | $ | (1,754,952 | ) | $ | - | $ | - |