The Merger Fund VL | ||||||||||||
SCHEDULE OF INVESTMENTS | ||||||||||||
March 31, 2020 (Unaudited) | ||||||||||||
Shares | Value | |||||||||||
LONG INVESTMENTS - 93.97% | ||||||||||||
COMMON STOCKS - 56.14% | ||||||||||||
AEROSPACE & DEFENSE - 2.16% | ||||||||||||
United Technologies Corporation | 10,305 | $ | 972,071 | |||||||||
AIR FREIGHT & LOGISTICS - 0.88% | ||||||||||||
XPO Logistics, Inc. (a)(j) | 8,100 | 394,875 | ||||||||||
APPLICATION SOFTWARE - 1.89% | ||||||||||||
LogMeIn, Inc. | 10,186 | 848,290 | ||||||||||
ASSET MANAGEMENT & CUSTODY BANKS - 2.53% | ||||||||||||
Legg Mason, Inc. | 23,255 | 1,136,007 | ||||||||||
AUTO PARTS & EQUIPMENT - 0.67% | ||||||||||||
Delphi Technologies plc (a)(b) | 37,461 | 301,561 | ||||||||||
BIOTECHNOLOGY - 2.07% | ||||||||||||
Forty Seven, Inc. (a) | 1,485 | 141,699 | ||||||||||
Ra Pharmaceuticals, Inc. (a) | 16,438 | 789,188 | ||||||||||
930,887 | ||||||||||||
BROADCASTING - 0.25% | ||||||||||||
Fox Corporation Class A | 1,738 | 41,069 | ||||||||||
Fox Corporation Class B | 3,174 | 72,621 | ||||||||||
113,690 | ||||||||||||
BUILDING PRODUCTS - 1.56% | ||||||||||||
Masco Corporation (j) | 20,300 | 701,771 | ||||||||||
CASINOS & GAMING - 3.20% | ||||||||||||
Caesars Entertainment Corporation (a) | 84,973 | 574,417 | ||||||||||
The Stars Group, Inc. (a)(b)(e)(f) | 43,249 | 861,953 | ||||||||||
1,436,370 | ||||||||||||
CHEMICALS - 1.37% | ||||||||||||
DuPont de Nemours, Inc. (e)(j) | 17,001 | 579,734 | ||||||||||
OMNOVA Solutions, Inc. (a) | 3,546 | 35,956 | ||||||||||
615,690 | ||||||||||||
CONSTRUCTION MACHINERY & HEAVY TRUCKS - 2.98% | ||||||||||||
WABCO Holdings, Inc. (a) | 9,925 | 1,340,371 | ||||||||||
ELECTRIC UTILITIES - 0.62% | ||||||||||||
El Paso Electric Company | 4,118 | 279,859 | ||||||||||
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.47% | ||||||||||||
Fitbit, Inc. Class A (a)(j) | 31,591 | 210,396 | ||||||||||
ENVIRONMENTAL & FACILITIES SERVICES - 0.77% | ||||||||||||
Advanced Disposal Services, Inc. (a)(e) | 10,478 | 343,678 | ||||||||||
HEALTH CARE EQUIPMENT - 3.79% | ||||||||||||
Wright Medical Group N.V. (a)(b)(e) | 59,493 | 1,704,474 | ||||||||||
INSURANCE BROKERS - 2.01% | ||||||||||||
Willis Towers Watson plc (b) | 5,321 | 903,772 | ||||||||||
INTEGRATED TELECOMMUNICATION SERVICES - 0.14% | ||||||||||||
Cincinnati Bell, Inc. (a) | 4,174 | 61,107 | ||||||||||
INTERACTIVE MEDIA & SERVICES - 0.96% | ||||||||||||
IAC/InterActiveCorp (a)(e)(j) | 2,400 | 430,152 | ||||||||||
INVESTMENT BANKING & BROKERAGE - 5.30% | ||||||||||||
E*TRADE Financial Corporation | 34,505 | 1,184,212 | ||||||||||
TD Ameritrade Holdings Corporation | 34,543 | 1,197,260 | ||||||||||
2,381,472 | ||||||||||||
LIFE & HEALTH INSURANCE - 0.03% | ||||||||||||
Genworth Financial, Inc. Class A (a) | 4,159 | 13,808 | ||||||||||
LIFE SCIENCES TOOLS & SERVICES - 0.13% | ||||||||||||
Qiagen N.V. (a)(b) | 1,447 | 60,195 | ||||||||||
MOVIES & ENTERTAINMENT - 0.00% | ||||||||||||
Akazoo S.A. (a)(b) | 529 | 1,481 | ||||||||||
OIL & GAS REFINING & MARKETING - 0.14% | ||||||||||||
Marathon Petroleum Corporation (j) | 2,700 | 63,774 | ||||||||||
OIL & GAS STORAGE & TRANSPORTATION - 1.42% | ||||||||||||
Tallgrass Energy LP Class A | 38,782 | 638,352 | ||||||||||
OTHER DIVERSIFIED FINANCIAL SERVICES - 0.52% | ||||||||||||
FGL Holdings (b) | 23,674 | 232,005 | ||||||||||
PHARMACEUTICALS - 0.49% | ||||||||||||
Allergan plc (b) | 1,245 | 220,490 | ||||||||||
REGIONAL BANKS - 0.31% | ||||||||||||
IBERIABANK Corporation | 3,894 | 140,807 | ||||||||||
REITs - 2.06% | ||||||||||||
Broadmark Realty Capital, Inc. | 2,814 | 21,161 | ||||||||||
Digital Realty Trust, Inc. | 411 | 57,035 | ||||||||||
Taubman Centers, Inc. (j) | 20,259 | 848,447 | ||||||||||
926,643 | ||||||||||||
SEMICONDUCTORS - 1.74% | ||||||||||||
Mellanox Technologies Ltd. (a)(b)(e)(j) | 6,463 | 784,091 | ||||||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 3.86% | ||||||||||||
Cypress Semiconductor Corporation (e) | 74,242 | 1,731,324 | ||||||||||
SPECIALTY STORES - 4.66% | ||||||||||||
Tiffany & Company (e) | 16,169 | 2,093,887 | ||||||||||
SYSTEMS SOFTWARE - 0.51% | ||||||||||||
Forescout Technologies, Inc. (a) | 7,249 | 228,996 | ||||||||||
TECHNOLOGY DISTRIBUTORS - 3.50% | ||||||||||||
Anixter International, Inc. (a) | 3,828 | 336,367 | ||||||||||
Tech Data Corporation (a) | 9,465 | 1,238,495 | ||||||||||
1,574,862 | ||||||||||||
WIRELESS TELECOMMUNICATION SERVICES - 3.15% | ||||||||||||
Sprint Corporation (a) | 162,080 | 1,397,129 | ||||||||||
T-Mobile USA, Inc. (a)(j) | 203 | 17,032 | ||||||||||
1,414,161 | ||||||||||||
TOTAL COMMON STOCKS (Cost $28,565,054) | 25,231,369 | |||||||||||
SPECIAL PURPOSE ACQUISITION COMPANIES - 8.65% (a) | ||||||||||||
Act II Global Acquisition Corporation Class A (b) | 21,464 | 211,850 | ||||||||||
Allegro Merger Corporation (f) | 2,503 | 26,131 | ||||||||||
AMCI Acquisition Corporation Class A | 798 | 8,108 | ||||||||||
CF Finance Acquisition Corporation Class A | 5,184 | 53,343 | ||||||||||
Collier Creek Holdings Class A (b) | 11,400 | 116,622 | ||||||||||
Fellazo, Inc. (b)(f) | 2,657 | 26,437 | ||||||||||
Flying Eagle Acquisition Corporation | 506 | 5,045 | ||||||||||
Forum Merger II Corporation Class A | 9,420 | 96,932 | ||||||||||
Gordon Pointe Acquisition Corporation (f) | 21,277 | 227,132 | ||||||||||
Gores Holdings IV, Inc. | 3,256 | 32,788 | ||||||||||
Graf Industrial Corporation | 51,254 | 521,253 | ||||||||||
Grid Dynamics Holdings, Inc. | 5,904 | 47,232 | ||||||||||
InterPrivate Acquisition Corporation | 7,049 | 69,715 | ||||||||||
Juniper Industrial Holdings, Inc. (f) | 1 | 10 | ||||||||||
Juniper Industrial Holdings, Inc. Class A | 40,644 | 390,995 | ||||||||||
Legacy Acquisition Corporation Class A | 32,052 | 332,379 | ||||||||||
Leisure Acquisition Corporation (f) | 6,820 | 69,905 | ||||||||||
Leo Holdings Corporation Class A (b) | 3,591 | 36,987 | ||||||||||
LGL Systems Acquisition Corporation | 11,666 | 117,477 | ||||||||||
Megalith Financial Acquisition Corporation Class A | 5,131 | 52,798 | ||||||||||
Monocle Acquisition Corporation | 4,405 | 44,270 | ||||||||||
Nebula Acquisition Corporation Class A | 6,526 | 66,239 | ||||||||||
Orisun Acquisition Corporation | 2,514 | 25,618 | ||||||||||
Pivotal Investment Corporation II Class A | 21,879 | 216,821 | ||||||||||
Pure Acquisition Corporation | 20,450 | 212,476 | ||||||||||
Schultze Special Purpose Acquisition Corporation | 9,007 | 91,151 | ||||||||||
Software Acquisition Group, Inc. (f) | 8,658 | 87,835 | ||||||||||
Spartan Energy Acquisition Corporation Class A | 9,699 | 98,154 | ||||||||||
Subversive Capital Acquisition Corporation Class A (b)(f) | 23,657 | 229,236 | ||||||||||
Trident Acquisitions Corporation | 9,377 | 101,459 | ||||||||||
Tuscan Holdings Corporation | 8,621 | 85,951 | ||||||||||
VectoIQ Acquisition Corporation | 17,487 | 186,062 | ||||||||||
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES (Cost $3,579,803) | 3,888,411 | |||||||||||
CONTINGENT VALUE RIGHTS - 0.11% (a)(d)(g) | ||||||||||||
Alder Biopharmaceuticals, Inc. | 31,310 | 50,096 | ||||||||||
Media General, Inc. (e) | 8,397 | 252 | ||||||||||
TOTAL CONTINGENT VALUE RIGHTS (Cost $0) | 50,348 | |||||||||||
RIGHTS - 0.06% (a) | ||||||||||||
Bristol-Myers Squibb Company | 6,945 | 26,391 | ||||||||||
TOTAL RIGHTS (Cost $24,452) | 26,391 | |||||||||||
WARRANTS - 0.14% (a) | ||||||||||||
Act II Global Acquisition Corporation Class A | ||||||||||||
Expiration: April 2024, Exercise Price: $11.50 (b)(f) | 10,732 | 6,976 | ||||||||||
Akazoo S.A. | ||||||||||||
Expiration: December 2024, Exercise Price: $11.50 (b)(f) | 2,642 | 819 | ||||||||||
CF Finance Acquisition Corporation Class A | ||||||||||||
Expiration: April 2025, Exercise Price: $11.50 | 3,888 | 1,944 | ||||||||||
Collier Creek Holdings Class A | ||||||||||||
Expiration: November 2023, Exercise Price: $11.50 (b)(f) | 3,800 | 3,534 | ||||||||||
Graf Industrial Corporation | ||||||||||||
Expiration: December 2025, Exercise Price: $11.50 | 51,254 | 5,125 | ||||||||||
Grid Dynamics Holdings, Inc. | ||||||||||||
Expiration: September 2025, Exercise Price: $11.50 | 2,952 | 5,609 | ||||||||||
International General Insurance Holdings Ltd. | ||||||||||||
Expiration: March 2025, Exercise Price: $11.50 (b) | 4,193 | 1,761 | ||||||||||
Juniper Industrial Holdings, Inc. Class A | ||||||||||||
Expiration: November 2026, Exercise Price: $11.50 | 20,322 | 11,380 | ||||||||||
KLDiscovery, Inc. | ||||||||||||
Expiration: December 2025, Exercise Price: $11.50 | 2,000 | 380 | ||||||||||
Monocle Acquisition Corporation | ||||||||||||
Expiration: June 2024, Exercise Price: $11.50 | 4,405 | 1,322 | ||||||||||
Nebula Acquisition Corporation Class A | ||||||||||||
Expiration: January 2023, Exercise Price: $11.50 | 2,037 | 2,057 | ||||||||||
Pivotal Investment Corporation II Class A | ||||||||||||
Expiration: June 2025, Exercise Price: $11.50 (f) | 7,293 | 3,647 | ||||||||||
Repay Holdings Corporation | ||||||||||||
Expiration: July 2024, Exercise Price: $11.50 | 10,600 | 13,886 | ||||||||||
Tuscan Holdings Corporation | ||||||||||||
Expiration: April 2026, Exercise Price: $11.50 | 8,621 | 3,362 | ||||||||||
TOTAL WARRANTS (Cost $75,898) | 61,802 | |||||||||||
Principal Amount | ||||||||||||
BANK LOANS - 2.59% (f)(i) | ||||||||||||
Avaya Holdings Corporation | ||||||||||||
4.955% (3 Month U.S. LIBOR + 4.250%), 12/15/2024 | $ | 229,252 | 198,303 | |||||||||
Cengage Learning Holdings II, Inc. | ||||||||||||
5.250% (3 Month U.S. LIBOR + 4.250%), 6/7/2023 | 201,841 | 162,987 | ||||||||||
McGraw-Hill Global Education Holdings LLC | ||||||||||||
5.000% (3 Month U.S. LIBOR + 4.000%), 5/4/2022 | 158,627 | 130,867 | ||||||||||
Refinitiv U.S. Holdings, Inc. | ||||||||||||
4.239% (3 Month U.S. LIBOR + 4.250%), 10/1/2025 | 433,210 | 418,227 | ||||||||||
RentPath LLC | ||||||||||||
0.000% (3 Month U.S. LIBOR + 4.750%), 12/17/2021 | 305,000 | 239,425 | ||||||||||
8.660% (1 Month U.S. LIBOR + 7.000%), 12/14/2025 | 14,246 | 13,605 | ||||||||||
TOTAL BANK LOANS (Cost $1,277,950) | 1,163,414 | |||||||||||
CONVERTIBLE BONDS - 1.08% (f)(h) | ||||||||||||
NII Holdings, Inc. | ||||||||||||
4.250%, 8/15/2023 | 447,000 | 487,230 | ||||||||||
TOTAL CONVERTIBLE BONDS (Cost $464,163) | 487,230 | |||||||||||
CORPORATE BONDS - 3.96% (f) | ||||||||||||
Arconic, Inc. | ||||||||||||
5.400%, 4/15/2021 | 109,000 | 108,120 | ||||||||||
CEC Entertainment, Inc. | ||||||||||||
8.000%, 2/15/2022 | 155,000 | 67,958 | ||||||||||
Cincinnati Bell, Inc. | ||||||||||||
7.000%, 7/15/2024 (h) | 56,000 | 56,768 | ||||||||||
8.000%, 10/15/2025 (h) | 181,000 | 187,108 | ||||||||||
EIG Investors Corporation | ||||||||||||
10.875%, 2/1/2024 | 112,000 | 96,179 | ||||||||||
Global A&T Electronics Ltd. | ||||||||||||
8.500%, 1/12/2023 (b) | 100,000 | 81,389 | ||||||||||
Kinetic Concepts, Inc. / KCI USA, Inc. | ||||||||||||
12.500%, 11/1/2021 (h) | 131,000 | 132,140 | ||||||||||
Nielsen Finance LLC / Nielsen Finance Company | ||||||||||||
5.000%, 4/15/2022 (h) | 163,000 | 151,127 | ||||||||||
Refinitiv U.S. Holdings, Inc. | ||||||||||||
8.250%, 11/15/2026 (h) | 405,000 | 428,287 | ||||||||||
Stars Group Holdings BV / Stars Group US Co-Borrower LLC | ||||||||||||
7.000%, 7/15/2026 (b)(h) | 80,000 | 75,660 | ||||||||||
T-Mobile USA, Inc. | ||||||||||||
6.500%, 1/15/2024 | 145,000 | 148,258 | ||||||||||
6.375%, 3/1/2025 | 45,000 | 46,294 | ||||||||||
Vistra Energy Corporation | ||||||||||||
5.875%, 6/1/2023 | 198,000 | 198,984 | ||||||||||
TOTAL CORPORATE BONDS (Cost $1,965,680) | 1,778,272 | |||||||||||
PURCHASED OPTION CONTRACTS - 1.06% | Contracts (100 shares per contract) | Notional Amount | ||||||||||
PURCHASED CALL OPTIONS - 0.00% (a) | ||||||||||||
Marathon Petroleum Corporation | ||||||||||||
Expiration: April 2020, Exercise Price: $45.00 | 56 | $ | 132,272 | 280 | ||||||||
280 | ||||||||||||
PURCHASED PUT OPTIONS - 1.06% (a) | ||||||||||||
DuPont de Nemours, Inc. | ||||||||||||
Expiration: June 2020, Exercise Price: $40.00 | 22 | 75,020 | 17,160 | |||||||||
Fox Corporation Class A | ||||||||||||
Expiration: April 2020, Exercise Price: $35.00 | 37 | 87,431 | 42,069 | |||||||||
IAC/InterActiveCorp | ||||||||||||
Expiration: April 2020, Exercise Price: $180.00 | 8 | 143,384 | 8,560 | |||||||||
Expiration: April 2020, Exercise Price: $200.00 | 16 | 286,768 | 35,600 | |||||||||
Industrial Select Sector SPDR Fund | ||||||||||||
Expiration: April 2020, Exercise Price: $53.00 | 36 | 212,436 | 3,852 | |||||||||
Expiration: April 2020, Exercise Price: $57.00 | 30 | 177,030 | 6,000 | |||||||||
Expiration: May 2020, Exercise Price: $58.00 | 24 | 141,624 | 9,240 | |||||||||
Marathon Petroleum Corporation | ||||||||||||
Expiration: April 2020, Exercise Price: $42.50 | 27 | 63,774 | 50,976 | |||||||||
Masco Corporation | ||||||||||||
Expiration: April 2020, Exercise Price: $38.00 | 55 | 190,135 | 19,800 | |||||||||
Expiration: April 2020, Exercise Price: $39.00 | 15 | 51,855 | 6,975 | |||||||||
Expiration: April 2020, Exercise Price: $41.00 | 133 | 459,781 | 85,519 | |||||||||
Materials Select Sector SPDR Fund | ||||||||||||
Expiration: April 2020, Exercise Price: $42.00 | 71 | 319,784 | 8,449 | |||||||||
Ra Pharmaceuticals, Inc. | ||||||||||||
Expiration: April 2020, Exercise Price: $40.00 | 1 | 4,801 | 5 | |||||||||
SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: April 2020, Exercise Price: $245.00 | 26 | 670,150 | 18,486 | |||||||||
Expiration: April 2020, Exercise Price: $255.00 | 9 | 231,975 | 9,090 | |||||||||
Expiration: May 2020, Exercise Price: $237.00 | 12 | 309,300 | 12,030 | |||||||||
T-Mobile USA, Inc. | ||||||||||||
Expiration: May 2020, Exercise Price: $72.50 | 12 | 100,680 | 2,652 | |||||||||
VanEck Vectors Semiconductor ETF | ||||||||||||
Expiration: April 2020, Exercise Price: $110.00 | 55 | 644,270 | 18,315 | |||||||||
XPO Logistics, Inc. | ||||||||||||
Expiration: May 2020, Exercise Price: $40.00 | 28 | 136,500 | 7,280 | |||||||||
Expiration: May 2020, Exercise Price: $70.00 | 53 | 258,375 | 115,540 | |||||||||
477,598 | ||||||||||||
TOTAL PURCHASED OPTIONS (Cost $200,698) | 477,878 | |||||||||||
Shares | ||||||||||||
ESCROW NOTES - 4.97% (a) | ||||||||||||
Altaba, Inc. (f) | 107,658 | 2,233,903 | ||||||||||
AMR Corporation (d)(g) | 7,668 | 1,074 | ||||||||||
Sentinel Energy Services, Inc. Class B (d)(g) | 37,510 | 206 | ||||||||||
T-Mobile USA, Inc. (d)(g) | 108,000 | – | ||||||||||
TOTAL ESCROW NOTES (Cost $1,679,833) | 2,235,183 | |||||||||||
SHORT-TERM INVESTMENTS - 15.21% | ||||||||||||
MONEY MARKET FUNDS - 7.58% (c) | ||||||||||||
The Government & Agency Portfolio, Institutional Share Class, 0.44% | 1,205,772 | 1,205,772 | ||||||||||
JPMorgan U.S. Government Money Market Fund, Institutional Share Class, 0.36% | 2,200,000 | 2,200,000 | ||||||||||
3,405,772 | ||||||||||||
Principal Amount | ||||||||||||
U.S. TREASURY BILLS - 7.63% (e)(f)(k) | ||||||||||||
United States Treasury Bills | ||||||||||||
0.80%, 4/2/2020 | $ | 610,000 | 610,000 | |||||||||
0.39%, 4/9/2020 | 260,000 | 259,998 | ||||||||||
1.53%, 4/23/2020 | 360,000 | 359,994 | ||||||||||
1.49%, 5/7/2020 | 430,000 | 429,974 | ||||||||||
1.51%, 5/21/2020 | 320,000 | 319,962 | ||||||||||
1.53%, 5/28/2020 | 260,000 | 259,958 | ||||||||||
1.47%, 7/16/2020 | 290,000 | 289,923 | ||||||||||
1.47%, 7/23/2020 | 260,000 | 259,921 | ||||||||||
1.46%, 8/6/2020 | 275,000 | 274,900 | ||||||||||
1.12%, 8/27/2020 | 65,000 | 64,971 | ||||||||||
0.27%, 9/10/2020 | 300,000 | 299,829 | ||||||||||
3,429,430 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,828,967) | 6,835,202 | |||||||||||
TOTAL LONG INVESTMENTS (Cost $44,662,498) - 93.97% | 42,235,500 | |||||||||||
Shares | ||||||||||||
SHORT INVESTMENTS - (0.21)% | ||||||||||||
COMMON STOCKS - (0.21)% | ||||||||||||
A/C HEATING & FRIDGE EQUIPMENT - (0.01)% | ||||||||||||
Carrier Global Corporation | (370 | ) | (6,382 | ) | ||||||||
AUTO PARTS & EQUIPMENT - (0.18)% | ||||||||||||
BorgWarner, Inc. | (3,284 | ) | (80,032 | ) | ||||||||
ELEVATOR & MOVING STAIRWAY - (0.02)% | ||||||||||||
Otis Worldwide Corporation | (185 | ) | (9,250 | ) | ||||||||
TOTAL COMMON STOCKS (Proceeds $95,001) | (95,664 | ) | ||||||||||
TOTAL SHORT INVESTMENTS (Proceeds $95,001) - (0.21)% | (95,664 | ) | ||||||||||
TOTAL NET INVESTMENTS (Cost $44,567,497) - 93.76% | 42,139,836 | |||||||||||
OTHER LIABILITIES IN EXCESS OF ASSETS - 6.24% | 2,804,605 | |||||||||||
TOTAL NET ASSETS - 100.00% | $ | 44,944,441 |
ETF | - Exchange-Traded Fund | ||||||
LIBOR | - London Interbank Offered Rate | ||||||
plc | - Public Limited Company | ||||||
REITs | - Real Estate Investment Trusts | ||||||
(a) | Non-income producing security. | ||||||
(b) | Foreign security. | ||||||
(c) | The rate quoted is the annualized seven-day yield as of March 31, 2020. | ||||||
(d) | Security fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees. | ||||||
(e) | All or a portion of the shares have been committed as collateral for open securities sold short, written option contracts, swap contracts, and forward currency exchange contracts. | ||||||
(f) | Level 2 Security. Please see footnote (l) on the Schedule of Investments for more information. | ||||||
(g) | Level 3 Security. Please see footnote (l) on the Schedule of Investments for more information. | ||||||
(h) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutional buyers. As of March 31, 2020, these securities represent 3.38% of total net assets. | ||||||
(i) | The coupon rate shown on variable rate securities represents the rate as of March 31, 2020. | ||||||
(j) | This security is held in connection with a written option contract. | ||||||
(k) | The rate shown represents yield to maturity. | ||||||
(l) | Investment Valuation | ||||||
The following is a summary of the Fund’s pricing procedures. It is intended to be a general discussion and may not necessarily reflect all pricing procedures followed by the Fund. | |||||||
Equity securities, including common and preferred stocks, closed-end funds and ETFs, that trade on an exchange will typically be valued based on the last reported sale price. Securities listed on NASDAQ are typically valued using the NASDAQ Official Closing Price. The securities valued using quoted prices in active markets are classified as Level 1 investments. If, on a particular day, an exchange-listed security does not trade, then the mean between the closing bid and asked prices will typically be used to value the security. These securities are classified as Level 2 investments. Fixed income securities having a maturity of greater than 60 days are typically valued based on evaluations provided by an independent pricing vendor. Investments in United States government securities (other than short-term securities) are valued at the mean between the 4:00 p.m. New York time bid and asked prices supplied by a third party vendor. Short-term fixed-income securities having a maturity of less than 60 days are valued at market quotations or based on valuations supplied by a third party pricing service. If a reliable price from a third party pricing service is unavailable, amortized cost may be used if it is determined that the instrument’s amortized cost value represents approximately the fair value of the security. These securities are classified as Level 2 investments. | |||||||
Investments in Special Purpose Acquisition Companies, including their related units, shares, rights and warrants (each a “SPAC interest”), will typically be valued by reference to the last reported transaction for the composite exchange. These securities are classified as Level 1 investments. If, on a particular day, no reliable market transaction is readily available and reported for the composite exchange, then the mean between the closing bid and asked prices on the composite exchange will be used to value the SPAC interest, or the SPAC interest will be fair valued in accordance with the Fund’s pricing procedures. These securities are classified as Level 2 investments. | |||||||
Exchange-traded options are typically valued at the higher of the intrinsic value of the option (i.e., what a Fund would pay or can receive upon the option being exercised) or the last reported composite sale price when such sale falls between the bid and asked prices. Notwithstanding the above, options that trade principally on a European exchange are typically valued at the “settlement price” as reported by the exchange on which the option principally trades. If the settlement price for a European exchange-traded option is unreliable or unavailable, the option will generally be valued at the last reported sale price. When the last sale of an exchange-traded option is outside the bid and asked prices, the Fund will typically value the option at the higher of the intrinsic value of the option or the mean between the highest end of day option bid price and the lowest end of day option ask price. On the stipulated expiration date, expiring options will be priced at intrinsic value. Options for which there is an active market are classified as Level 1 investments, but options not listed on an exchange and/or are fair valued in accordance with the Fund’s pricing procedures are classified as Level 2 investments. | |||||||
Investments in registered open-end investment companies, including Money Market Funds, are typically valued at their reported net asset value (“NAV”) per share. These securities are generally classified as Level 1 investments. | |||||||
Forward currency contracts are valued daily at the prevailing forward exchange rate. These securities are generally classified as Level 2. | |||||||
In general, swap prices are determined using the same methods as would be used to price the underlying security. When the underlying security is the subject of a completed corporate reorganization for which the final deal terms are known, the swap is priced at the value of the consideration to be received by the Fund. The credit quality of counterparties and collateral is monitored and the valuation of a swap may be adjusted if it is believed that the credit quality of the counterparty or collateral affects the market value of the swap position. These securities are generally classified as Level 2 investments. | |||||||
The Fund typically fair values securities and assets for which (a) market quotations are not readily available or (b) market quotations are believed to be unrepresentative of market value. For example, the Fund may fair value a security that primarily trades on an exchange that closes before the New York Stock Exchange (“NYSE”) if a significant event occurs after the close of the exchange on which the security primarily trades but before the NYSE closes. Fair valuations are determined in good faith by the Valuation Group (the “Valuation Group”), a committee comprised of persons who are officers of the Trust or representatives of the Adviser, acting pursuant to procedures adopted by the Board. When fair value pricing is employed, the prices of securities used by the Fund to calculate its NAV may differ from quoted or published prices for the same securities. In addition, due to the subjective nature of fair value pricing, it is possible that the value determined for a particular asset may be materially different from the value realized upon such asset’s sale. These securities are generally classified as Level 2 or 3 depending on the inputs as described below. | |||||||
The Fund has performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below: | |||||||
Level 1 — Quoted prices in active markets for identical securities. | |||||||
Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). | |||||||
Level 3 — Significant unobservable inputs are those inputs that reflect the applicable Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information. | |||||||
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. | |||||||
The following tables provide the fair value measurements of applicable Fund assets and liabilities by level within the fair value hierarchy for the Fund as of March 31, 2020. These assets and liabilities are measured on a recurring basis. |
Investments at Fair Value | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | |||||||||||||||||
Common Stocks* | $ | 24,369,416 | $ | 861,953 | $ | - | $ | 25,231,369 | |||||||||
Special Purpose Acquisition Companies | 3,221,725 | 666,686 | - | 3,888,411 | |||||||||||||
Contingent Value Rights | - | - | 50,348 | 50,348 | |||||||||||||
Rights | 26,391 | - | - | 26,391 | |||||||||||||
Warrants | 46,826 | 14,976 | - | 61,802 | |||||||||||||
Bank Loans | - | 1,163,414 | - | 1,163,414 | |||||||||||||
Convertible Bonds | - | 487,230 | - | 487,230 | |||||||||||||
Corporate Bonds | - | 1,778,272 | - | 1,778,272 | |||||||||||||
Purchased Option Contracts | 477,878 | - | - | 477,878 | |||||||||||||
Escrow Notes | - | 2,233,903 | 1,280 | 2,235,183 | |||||||||||||
Short-Term Investments | 3,405,772 | 3,429,430 | - | 6,835,202 | |||||||||||||
Forward Currency Exchange Contracts** | - | 80,482 | - | 80,482 | |||||||||||||
Swap Contracts** | - | 1,019,196 | - | 1,019,196 | |||||||||||||
Total | $ | 31,548,008 | $ | 11,735,542 | $ | 51,628 | $ | 43,335,178 | |||||||||
Liabilities | |||||||||||||||||
Short Common Stocks* | $ | (95,664 | ) | $ | - | $ | - | $ | (95,664 | ) | |||||||
Written Option Contracts | (118,892 | ) | - | - | (118,892 | ) | |||||||||||
Swap Contracts** | - | (351,590 | ) | - | (351,590 | ) | |||||||||||
Total | $ | (214,556 | ) | $ | (351,590 | ) | $ | - | $ | (566,146 | ) | ||||||
* Please refer to the Schedules of Investments to view long/short common stocks segregated by industry type. | |||||||||||||||||
** Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument by counterparty. |
The Level 2 securities are priced using inputs such as current yields, discount rates, credit quality, yields on comparable securities, trading volume, maturity date, market bid and asked prices, prices on comparable securities and other significant inputs. Level 3 securities are valued by using broker quotes or such other pricing sources or data as are permitted by the Fund’s pricing procedures. At March 31, 2020, the value of these securities was $51,628. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs as described in footnote (l). The appropriateness of fair values for these securities is monitored by the Valuation Group on an ongoing basis. | |||||||
During the period ended March 31, 2020, the value of securities transferred out of Level 2 and into Level 3 was $50,554. These securities were transferred out of Level 2 and into Level 3 due to decreased market activity and the availability of broker valuations. |
Level 3 Reconciliation Disclosure |
Description | Contingent Value Rights | Escrow Notes | Total Investment | ||||||||||
Balance as of December 31, 2019 | $ | - | $ | 1,764 | $ | 1,764 | |||||||
Purchases on Investments | - | - | - | ||||||||||
(Sales) of Investments | - | - | - | ||||||||||
Realized (Gain) Loss | - | - | - | ||||||||||
Transfers Into Level 3 | 50,348 | 206 | 50,554 | ||||||||||
(Transfer Out) of Level 3 | - | - | - | ||||||||||
Change in Unrealized Appreciation (Depreciation) | - | (690 | ) | (690 | ) | ||||||||
Balance as of March 31, 2020 | $ | 50,348 | $ | 1,280 | $ | 51,628 | |||||||
Change in unrealized appreciation (depreciation) during the period for Level 3 investments held at March 31, 2020. | $ | 20,575 | $ | (690 | ) | $ | 19,885 |
The realized and unrealized gains and losses from Level 3 transactions are included with the net realized gain (loss) on investments and net change in unrealized appreciation (depreciation) on investments on the Statement of Operations, respectively. The net change in unrealized depreciation on investments related to Level 3 securities held by the Fund at March 31, 2020 totals $(690). | |||||||
Significant unobservable valuation inputs monitored by the Valuation Group under the supervision of the Board of Trustees for restricted securities or material Level 3 investments as of March 31, 2020 are as follows: |
Description | Fair Value at March 31, 2020 | Valuation Technique | Unobservable Input | ||||
Escrow Note | $ | - | * | Projected Final Distribution** | Discount of Projected Distribution | ||
* Amount less than $0.50. | ||||||||
** The Level 3 security was received through a corporate action. The security is being kept open due to the potential of an additional distribution. Based on an evaluation of the likelihood of an additional distribution, the security is being priced at zero. |
The table above does not include certain Level 3 investments that are valued by brokers. At March 31, 2020, the value of these securities was $51,628. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in footnote (l). | |||||
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (”Fund Services”). |
The Merger Fund VL | |||||||
SCHEDULE OF INVESTMENTS | |||||||
Open Written Options | |||||||
March 31, 2020 (Unaudited) | |||||||
Contracts (100 shares per contract) | Notional Amount | Value | |||||
WRITTEN CALL OPTIONS | |||||||
BorgWarner, Inc. | |||||||
Expiration: May 2020, Exercise Price: $30.00 | (13) | $ | (31,681) | $ | (747) | ||
DuPont de Nemours, Inc. | |||||||
Expiration: June 2020, Exercise Price: $45.00 | (22) | (75,020) | (1,804) | ||||
Fitbit, Inc. Class A | |||||||
Expiration: May 2020, Exercise Price: $8.00 | (4) | (2,664) | (8) | ||||
IAC/InterActiveCorp | |||||||
Expiration: April 2020, Exercise Price: $200.00 | (4) | (71,692) | (1,240) | ||||
Expiration: April 2020, Exercise Price: $210.00 | (4) | (71,692) | (800) | ||||
Expiration: April 2020, Exercise Price: $220.00 | (16) | (286,768) | (1,400) | ||||
Industrial Select Sector SPDR Fund | |||||||
Expiration: April 2020, Exercise Price: $60.00 | (18) | (106,218) | (4,068) | ||||
Marathon Petroleum Corporation | |||||||
Expiration: April 2020, Exercise Price: $47.50 | (27) | (63,774) | (81) | ||||
Expiration: April 2020, Exercise Price: $52.50 | (56) | (132,272) | (336) | ||||
Masco Corporation | |||||||
Expiration: April 2020, Exercise Price: $42.00 | (55) | (190,135) | (688) | ||||
Expiration: April 2020, Exercise Price: $45.00 | (148) | (511,636) | (148) | ||||
Mellanox Technologies Ltd. | |||||||
Expiration: June 2020, Exercise Price: $125.00 | (9) | (109,188) | (450) | ||||
SPDR S&P 500 ETF Trust | |||||||
Expiration: April 2020, Exercise Price: $265.00 | (6) | (154,650) | (3,594) | ||||
Expiration: April 2020, Exercise Price: $270.00 | (12) | (309,300) | (4,668) | ||||
Expiration: April 2020, Exercise Price: $275.00 | (9) | (231,975) | (2,052) | ||||
Taubman Centers, Inc. | |||||||
Expiration: June 2020, Exercise Price: $55.00 | (14) | (58,632) | (70) | ||||
T-Mobile USA, Inc. | |||||||
Expiration: April 2020, Exercise Price: $80.00 | (21) | (176,190) | (11,393) | ||||
Expiration: April 2020, Exercise Price: $85.00 | (36) | (302,040) | (10,440) | ||||
Expiration: April 2020, Exercise Price: $90.00 | (51) | (427,890) | (5,253) | ||||
Expiration: May 2020, Exercise Price: $82.50 | (10) | (83,900) | (6,300) | ||||
Expiration: May 2020, Exercise Price: $87.50 | (46) | (385,940) | (19,412) | ||||
VanEck Vectors Semiconductor ETF | |||||||
Expiration: April 2020, Exercise Price: $125.00 | (16) | (187,424) | (3,400) | ||||
XPO Logistics, Inc. | |||||||
Expiration: May 2020, Exercise Price: $45.00 | (28) | (136,500) | (23,240) | ||||
Expiration: May 2020, Exercise Price: $82.50 | (53) | (258,375) | (265) | ||||
(101,857) | |||||||
WRITTEN PUT OPTIONS | |||||||
Industrial Select Sector SPDR Fund | |||||||
Expiration: April 2020, Exercise Price: $45.00 | (24) | (141,624) | (648) | ||||
Expiration: April 2020, Exercise Price: $50.00 | (30) | (177,030) | (2,130) | ||||
Expiration: May 2020, Exercise Price: $45.00 | (24) | (141,624) | (2,136) | ||||
Materials Select Sector SPDR Fund | |||||||
Expiration: April 2020, Exercise Price: $33.00 | (56) | (252,224) | (924) | ||||
SPDR S&P 500 ETF Trust | |||||||
Expiration: April 2020, Exercise Price: $190.00 | (46) | (1,185,650) | (3,772) | ||||
VanEck Vectors Semiconductor ETF | |||||||
Expiration: April 2020, Exercise Price: $100.00 | (55) | (644,270) | (7,425) | ||||
(17,035) | |||||||
TOTAL WRITTEN OPTIONS | |||||||
(Premiums received $549,167) | $ | (118,892) | |||||
ETF - Exchange-Traded Fund |
The Merger Fund VL | ||||||||||||||
SCHEDULE OF INVESTMENTS | ||||||||||||||
Forward Currency Exchange Contracts | ||||||||||||||
March 31, 2020 (Unaudited) | ||||||||||||||
Unrealized | ||||||||||||||
Settlement | USD Value at | USD Value at | Appreciation | |||||||||||
Date | Counterparty | Currency to be Delivered | March 31, 2020 | Currency to be Received | March 31, 2020 | (Depreciation)* | ||||||||
3/17/2021 | JPM | 1,716,956 | EUR | $ 1,915,283 | 1,938,505 | USD | $ 1,938,505 | $ 23,222 | ||||||
3/17/2021 | GS | 67,704 | EUR | 75,524 | 73,922 | USD | 73,922 | (1,602) | ||||||
3/17/2021 | JPM | 3,283 | USD | 3,283 | 3,023 | EUR | 3,372 | 89 | ||||||
4/22/2020 | JPM | 322,031 | EUR | 355,478 | 361,645 | USD | 361,645 | 6,167 | ||||||
4/22/2020 | JPM | 237,218 | USD | 237,218 | 214,611 | EUR | 236,901 | (317) | ||||||
4/23/2020 | JPM | 89,012 | EUR | 98,261 | 95,693 | USD | 95,693 | (2,568) | ||||||
4/27/2020 | JPM | 1,794,014 | EUR | 1,980,789 | 2,007,029 | USD | 2,007,029 | 26,240 | ||||||
4/27/2020 | GS | 29,684 | EUR | 32,775 | 33,236 | USD | 33,236 | 461 | ||||||
5/20/2020 | GS | 26,044 | EUR | 28,780 | 29,319 | USD | 29,319 | 539 | ||||||
5/20/2020 | JPM | 137,606 | EUR | 152,066 | 153,670 | USD | 153,670 | 1,604 | ||||||
6/15/2020 | GS | 397,453 | EUR | 439,640 | 443,402 | USD | 443,402 | 3,762 | ||||||
7/8/2020 | JPM | 193,749 | EUR | 214,480 | 215,884 | USD | 215,884 | 1,404 | ||||||
5/7/2020 | JPM | 1,084,061 | HKD | 139,808 | 139,258 | USD | 139,258 | (550) | ||||||
5/7/2020 | GS | 1,084,061 | HKD | 139,808 | 139,250 | USD | 139,250 | (558) | ||||||
5/7/2020 | JPM | 278,679 | USD | 278,679 | 2,168,122 | HKD | 279,616 | 937 | ||||||
7/22/2020 | JPM | 24,036 | HKD | 3,099 | 3,096 | USD | 3,096 | (3) | ||||||
5/11/2020 | JPM | 123,546,920 | JPY | 1,151,309 | 1,159,576 | USD | 1,159,576 | 8,267 | ||||||
5/12/2020 | JPM | 15,316,001 | JPY | 142,731 | 142,008 | USD | 142,008 | (723) | ||||||
5/12/2020 | JPM | 73,309 | USD | 73,309 | 8,013,600 | JPY | 74,679 | 1,370 | ||||||
6/22/2020 | JPM | 37,925,830 | JPY | 353,972 | 354,490 | USD | 354,490 | 518 | ||||||
6/26/2020 | JPM | 27,042,950 | JPY | 252,439 | 246,053 | USD | 246,053 | (6,386) | ||||||
6/4/2020 | JPM | 363,755 | NZD | 216,941 | 235,550 | USD | 235,550 | 18,609 | ||||||
$ 8,285,672 | $ 8,366,154 | $ �� 80,482 | ||||||||||||
EUR | - | Euro | ||||||||||||
GS | - | Goldman Sachs & Co. | ||||||||||||
HKD | - | Hong Kong Dollar | ||||||||||||
JPM | - | JPMorgan Chase & Co, Inc. | ||||||||||||
JPY | - | Japanese Yen | ||||||||||||
NZD | - | New Zealand Dollar | ||||||||||||
USD | - | U.S. Dollar | ||||||||||||
* | Net unrealized appreciation (depreciation) is a receivable (payable). |
The Merger Fund VL | |||||||||||
SCHEDULE OF INVESTMENTS | |||||||||||
Open Swap Contracts | |||||||||||
March 31, 2020 (Unaudited) | |||||||||||
Pay/Receive on | Unrealized | ||||||||||
Counterparty | Security | Termination Date | Financing Rate | Financing Rate | Payment Frequency | Shares | Notional Amount | Appreciation (Depreciation)* | |||
LONG TOTAL RETURN SWAP CONTRACTS | |||||||||||
BAML | Allergan plc | 2/7/2021 | Pay | 0.750% +1 Month U.S. LIBOR | Monthly | 16,656 | $ 3,244,741 | $ | (301,504) | ||
BAML | Altran Technologies S.A. | 3/27/2021 | Pay | 0.350% +1 Month U.S. LIBOR | Monthly | 7,403 | 119,188 | 2,449 | |||
GS | Bolsas y Mercados Espanoles | 11/19/2020 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 3,169 | 123,793 | (8,301) | |||
JPM | Bolsas y Mercados Espanoles | 12/20/2020 | Pay | 0.400% +3 Month U.S. LIBOR | Quarterly | 1,667 | 63,898 | (3,150) | |||
BAML | Bristol-Myers Squibb Company | 11/21/2020 | Pay | 0.000%(1) | Monthly | 5,135 | - | (1) | 19,513 | ||
BAML | Faurecia S.E. | 11/14/2020 | Pay | 0.423% +1 Month U.S. LIBOR | Monthly | 1,052 | 51,668 | (20,089) | |||
BAML | Fiat Chrysler Automobiles N.V. | 11/14/2020 | Pay | 0.423% +1 Month U.S. LIBOR | Monthly | 25,559 | 361,320 | (176,733) | |||
GS | GrandVision N.V. | 1/7/2021 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 13,985 | 420,230 | (35,691) | |||
BAML | Hitachi Chemical Company Ltd. | 12/23/2020 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 2,677 | 112,018 | 2,201 | |||
JPM | Hitachi Chemical Company Ltd. | 12/30/2020 | Pay | 0.400% +3 Month U.S. LIBOR | Quarterly | 24,007 | 1,025,663 | (1,324) | |||
JPM | Innogy S.E. | 6/6/2020 | Pay | 0.400% +3 Month U.S. LIBOR | Quarterly | 2,335 | 110,805 | 155 | |||
JPM | Keihin Corporation | 3/12/2021 | Pay | 0.400% +3 Month U.S. LIBOR | Quarterly | 4,824 | 111,998 | 1,243 | |||
JPM | Line Corporation | 11/20/2020 | Pay | 0.400% +3 Month U.S. LIBOR | Quarterly | 5,107 | 242,675 | 4,648 | |||
JPM | Metlifecare Ltd. | 1/21/2021 | Pay | 0.400% +3 Month U.S. LIBOR | Quarterly | 51,965 | 231,076 | (113,328) | |||
JPM | Nissin Kogyo Company Ltd. | 3/12/2021 | Pay | 0.400% +3 Month U.S. LIBOR | Quarterly | 5,646 | 113,327 | 2,364 | |||
JPM | Osram Licht AG | 12/6/2020 | Pay | 0.400% +3 Month U.S. LIBOR | Quarterly | 38,445 | 1,690,174 | 19,797 | |||
BAML | Osram Licht AG | 12/16/2020 | Pay | 0.350% +1 Month U.S. LIBOR | Monthly | 1,081 | 48,914 | (899) | |||
GS | Osram Licht AG | 12/17/2020 | Pay | 0.500% +1 Month U.S. LIBOR | Monthly | 5,084 | 230,175 | (4,030) | |||
JPM | Qiagen N.V. | 3/3/2021 | Pay | 0.400% +3 Month U.S. LIBOR | Quarterly | 44,258 | 1,822,377 | 17,997 | |||
JPM | RIB Software S.E. | 2/24/2021 | Pay | 0.400% +3 Month U.S. LIBOR | Quarterly | 6,681 | 211,930 | (1,597) | |||
JPM | SHOWA Corporation | 3/12/2021 | Pay | 0.400% +3 Month U.S. LIBOR | Quarterly | 5,513 | 113,757 | 1,664 | |||
JPM | The Stars Group, Inc. | 4/5/2021 | Pay | 0.400% + 3 Month U.S. LIBOR | Quarterly | 17,455 | 356,955 | - | |||
JPM | Unizo Holdings Company Ltd. | 11/25/2020 | Pay | 0.400% +3 Month U.S. LIBOR | Quarterly | 1,304 | 59,857 | 12,512 | |||
JPM | Wheelock and Company Ltd. | 3/18/2021 | Pay | 0.400% +3 Month U.S. LIBOR | Quarterly | 2,003 | 13,386 | 281 |
SHORT TOTAL RETURN SWAP CONTRACTS | |||||||||
BAML | AbbVie, Inc. | 10/4/2020 | Receive | (0.236)% +1 Month U.S. LIBOR | Monthly | (15,507) | (1,201,892) | 21,654 | |
JPM | American Airlines Group, Inc. | 2/25/2021 | Receive | (0.600)% +3 Month U.S. LIBOR | Quarterly | (70) | (1,618) | 765 | |
GS | Aon plc | 3/19/2021 | Receive | (0.350)% + U.S. Federal Funds | Monthly | (5,744) | (887,521) | (60,524) | |
GS | BorgWarner, Inc. | 2/14/2021 | Receive | (0.350)% + U.S. Federal Funds | Monthly | (9,051) | (271,139) | 50,551 | |
GS | The Charles Schwab Corporation | 12/5/2020 | Receive | (0.350)% + U.S. Federal Funds | Monthly | (37,375) | (1,649,726) | 393,173 | |
JPM | Digital Realty Trust, Inc. | 12/10/2020 | Receive | (0.600)% +3 Month U.S. LIBOR | Quarterly | (410) | (48,212) | (8,737) | |
GS | Eldorado Resorts, Inc. | 12/20/2020 | Receive | (0.312)% + U.S. Federal Funds | Monthly | (7,634) | (414,393) | 304,469 | |
GS | Fidelity National Financial, Inc. | 3/13/2021 | Receive | (0.350)% + U.S. Federal Funds | Monthly | (2,422) | (69,232) | 8,970 | |
GS | First Horizon National Corporation | 3/19/2021 | Receive | (0.350)% + U.S. Federal Funds | Monthly | (17,855) | (145,743) | 1,824 | |
GS | Flutter Entertainment | 10/2/2020 | Receive | (0.350)% + U.S. Federal Funds | Monthly | (9,744) | (990,781) | 105,464 | |
JPM | Flutter Entertainment | 10/22/2020 | Receive | (0.476)% +3 Month U.S. LIBOR | Quarterly | (3,939) | (388,445) | 30,634 | |
GS | International Flavors & Fragrances, Inc. | 3/17/2021 | Pay | (2.126)% + U.S. Federal Funds | Monthly | (2,812) | (307,858) | 20,743 | |
GS | Morgan Stanley | 2/28/2021 | Receive | (0.350)% + U.S. Federal Funds | Monthly | (35,994) | (1,466,309) | 242,446 | |
BAML | Peugeot S.A. | 11/14/2020 | Receive | (0.350)% +1 Month U.S. LIBOR | Monthly | (14,567) | (331,280) | 136,200 | |
GS | Raytheon Company | 3/19/2021 | Receive | (0.350)% + U.S. Federal Funds | Monthly | (4,414) | (579,023) | 102 | |
BAML | WESCO International, Inc. | 2/20/2021 | Receive | (0.400)% +1 Month U.S. LIBOR | Monthly | (845) | (21,337) | 2,033 | |
JPM | The Wharf Holdings Ltd. | 3/18/2021 | Pay | (3.000)% +3 Month U.S. LIBOR | Quarterly | (2,003) | (3,346) | (204) | |
JPM | Wharf Real Estate Investment Company Ltd. | 3/18/2021 | Pay | (2.750)% +3 Month U.S. LIBOR | Quarterly | (2,003) | (8,107) | (135) | |
$ 667,606 |
BAML | - Bank of America Merrill Lynch & Co., Inc. | |||||||||
GS | - Goldman Sachs & Co. | |||||||||
JPM | - JPMorgan Chase & Co., Inc. | |||||||||
LIBOR | - London Interbank Offered Rate | |||||||||
plc | - Public Limited Company | |||||||||
U.S. Federal Funds | - U.S. Federal Funds Effective Rate | |||||||||
* | Based on the net swap value held at each counterparty, unrealized appreciation (depreciation) is a receivable (payable). | |||||||||
(1) | Security held is the direct result of a corporate action. There is no associated financing rate and the security is held with a zero cost basis. |