UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21279
The Merger Fund® VL
(Exact name of registrant as specified in charter)
101 Munson Street
Greenfield, MA 01301-9683
(Address of principal executive offices) (Zip code)
Jennifer Fromm, Esq.
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
One Financial Plaza
Hartford, CT 06103-2608
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 367-5877
Date of fiscal year end: December 31
Date of reporting period: June 30, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
(b) | Not applicable. |
The Merger Fund® VL |
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President, The Merger Fund® VL
August 2022
Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Annualized Expense Ratio** | Expenses Paid During Period* | ||||
Class I | $ 1,000.00 | $ 983.90 | 1.51 % | $ 7.43 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (181) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
** | Annualized expense ratios include dividend and interest expense on securities sold short. |
Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Annualized Expense Ratio** | Expenses Paid During Period* | ||||
Class I | $ 1,000.00 | $ 1,017.31 | 1.51 % | $ 7.55 |
* | Expenses are equal to the Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (181) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
** | Annualized expense ratios include dividend and interest expense on securities sold short. |
companies use ADRs in order to make it easier for Americans to buy their shares.
economy and currency stable. Governed by a seven-member board, the system includes 12 regional Federal Reserve Banks, 25
branches, and all national and state banks that are part of the system.
arranged by banks and other financial institutions to help companies finance acquisitions, recapitalizations, or other highly leveraged
transactions. Such loans may be especially vulnerable to adverse changes in economic or market conditions, although they are senior in
the capital structure which typically provides investors/lenders a degree of potential credit risk protection.
calculating interest rates on various loans throughout the world.
shopping centers and other commercial properties.
June 30, 2022
through an initial public offering for the purpose of acquiring or merging with an existing company.
total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it
is not available for direct investment.
PORTFOLIO HOLDINGS SUMMARY WEIGHTINGS (Unaudited)
Information Technology | 33.6% |
Industrials | 19.6 |
Consumer Discretionary | 10.8 |
Health Care | 9.7 |
Real Estate | 8.1 |
Financials | 7.3 |
Communication Services | 5.9 |
Consumer Staples | 2.9 |
Materials | 1.7 |
Utilities | 0.4 |
Total | 100% |
Type of Buyer | Deal Terms* | ||
Strategic | 86.1% | Cash | 78.8% |
Financial | 13.9% | Cash and Stock | 12.5% |
Stock and Stub(1) | 4.8% | ||
By Deal Type | Risk Reversal | 2.0% | |
Friendly | 100.0% | Stock with Fixed Exchange Ratio | 1.8% |
Hostile | 0.0% | Undetermined (2) | 0.1% |
Par Value | Value | ||
Corporate Bonds and Notes—5.1% | |||
Communication Services—1.6% | |||
Connect Finco S.a.r.l. 144A 6.750%, 10/1/26(1) | $ 96 | $ 86 | |
GrubHub Holdings, Inc. 144A 5.500%, 7/1/27(1) | 287 | 200 | |
TEGNA, Inc. | |||
4.625%, 3/15/28 | 206 | 193 | |
5.000%, 9/15/29 | 107 | 101 | |
Twitter, Inc. | |||
144A 3.875%, 12/15/27(1) | 238 | 224 | |
144A 5.000%, 3/1/30(1) | 89 | 85 | |
WeWork Cos., LLC 144A 5.000%, 7/10/25(1) | 8 | 5 | |
894 | |||
Consumer Discretionary—1.0% | |||
Peninsula Pacific Entertainment LLC 144A 8.500%, 11/15/27(1) | 167 | 176 | |
Tenneco, Inc. 144A 5.125%, 4/15/29(1) | 406 | 382 | |
558 | |||
Consumer Staples—0.3% | |||
Fresh Market, Inc. (The) 144A 9.750%, 5/1/23(1) | 57 | 57 | |
TreeHouse Foods, Inc. 4.000%, 9/1/28 | 140 | 114 | |
171 | |||
Financials—0.7% | |||
Nielsen Finance LLC | |||
144A 5.625%, 10/1/28(1) | 322 | 299 | |
144A 5.875%, 10/1/30(1) | 83 | 76 | |
375 | |||
Industrials—0.3% | |||
Meritor, Inc. 144A 4.500%, 12/15/28(1) | 119 | 115 | |
WeWork Cos., Inc. 144A 7.875%, 5/1/25(1) | 91 | 66 | |
181 | |||
Information Technology—1.2% | |||
CDK Global, Inc. 144A 5.250%, 5/15/29(1) | 24 | 24 | |
MoneyGram International, Inc. 144A 5.375%, 8/1/26(1) | 202 | 192 | |
Plantronics, Inc. 144A 4.750%, 3/1/29(1) | 233 | 232 | |
Switch Ltd. | |||
144A 3.750%, 9/15/28(1) | 254 | 251 |
Par Value | Value | ||
Information Technology—continued | |||
144A 4.125%, 6/15/29(1) | $ 2 | $ 2 | |
701 | |||
Total Corporate Bonds and Notes (Identified Cost $3,153) | 2,880 | ||
Leveraged Loans—0.7% | |||
Health Care—0.3% | |||
Mallinckrodt International Finance S.A. (3 month LIBOR + 4.250%) 4.250%, 2/28/23(2) | 175 | 173 | |
Media / Telecom - Diversified Media—0.1% | |||
RentPath LLC Tranche B-1, First Lien 0.000%, 1/1/30(3)(4) | 16 | — (5) | |
Syniverse Holdings, Inc. (3 month SOFR + 7.000%) 8.290%, 5/13/27(2) | 70 | 61 | |
61 | |||
Service—0.3% | |||
Watts Guerra LLP (1 month LIBOR + 8.000%) 8.000%, 10/7/23(2)(3) | 160 | 158 | |
Total Leveraged Loans (Identified Cost $413) | 392 | ||
Shares | ||
Preferred Stock—0.1% | ||
Industrials—0.1% | ||
Babcock & Wilcox Enterprises, Inc., 6.500% | 1,856 | 40 |
Total Preferred Stock (Identified Cost $46) | 40 | |
Common Stocks—43.6% | ||
Communication Services—4.1% | ||
Activision Blizzard, Inc. | 8,879 | 691 |
MGM Holdings, Inc. Class A(3)(6) | 1,792 | 7 |
Sciplay Corp. Class A(6) | 2,850 | 40 |
Shaw Communications, Inc. Class B | 11,267 | 332 |
TEGNA, Inc.(7) | 27,354 | 574 |
Twitter, Inc.(6) | 11,154 | 417 |
Vodafone Group plc Sponsored ADR | 16,500 | 257 |
Warner Bros Discovery, Inc.(6) | 46 | 1 |
2,319 | ||
Shares | Value | ||
Consumer Discretionary—2.0% | |||
Lennar Corp. Class A | 7,100 | $ 501 | |
Sportsman’s Warehouse Holdings, Inc.(6) | 8,433 | 81 | |
Tenneco, Inc. Class A(6) | 10,625 | 182 | |
Terminix Global Holdings, Inc.(6) | 8,622 | 351 | |
1,115 | |||
Consumer Staples—0.0% | |||
TPCO Holding Corp.(6) | 6,530 | 4 | |
Financials—4.0% | |||
Alleghany Corp.(6) | 916 | 763 | |
First Horizon Corp.(7) | 64,751 | 1,415 | |
Flagstar Bancorp, Inc. | 1,466 | 52 | |
2,230 | |||
Health Care—3.4% | |||
ATI Physical Therapy, Inc.(6) | 4,111 | 6 | |
Biohaven Pharmaceutical Holding Co. Ltd.(6) | 2,755 | 401 | |
Covetrus, Inc.(6) | 525 | 11 | |
GSK plc Sponsored ADR | 12,192 | 531 | |
LHC Group, Inc.(6) | 6,228 | 970 | |
1,919 | |||
Industrials—4.0% | |||
Cornerstone Building Brands, Inc.(6) | 7,915 | 194 | |
Hertz Global Holdings, Inc.(6) | 215 | 3 | |
ManTech International Corp. Class A | 1,135 | 108 | |
Meritor, Inc.(6) | 14,827 | 539 | |
Microvast Holdings, Inc.(6) | 9,000 | 20 | |
Nielsen Holdings plc | 17,716 | 411 | |
Welbilt, Inc.(6) | 20,750 | 494 | |
XPO Logistics, Inc.(6) | 9,500 | 458 | |
2,227 | |||
Information Technology—20.3% | |||
Citrix Systems, Inc.(7) | 12,795 | 1,243 | |
CMC Materials, Inc. | 5,821 | 1,016 | |
Coherent, Inc.(6) | 8,621 | 2,295 | |
Lazard Growth Acquisition Corp. I(6) | 5,615 | 55 | |
Mandiant, Inc.(6)(7) | 47,991 | 1,047 | |
MoneyGram International, Inc.(6) | 30,101 | 301 | |
NeoPhotonics Corp.(6) | 9,701 | 153 | |
Plantronics, Inc.(6) | 3,281 | 130 | |
Rogers Corp.(6)(7) | 3,115 | 816 | |
Sailpoint Technologies Holdings, Inc.(6) | 17,856 | 1,119 | |
Silicon Motion Technology Corp. ADR | 8,621 | 722 | |
Switch, Inc. Class A | 20,254 | 679 | |
Tower Semiconductor Ltd.(6) | 7,849 | 362 | |
VMware, Inc. Class A | 5,005 | 571 | |
Vonage Holdings Corp.(6)(7) | 35,254 | 664 |
Shares | Value | ||
Information Technology—continued | |||
Zendesk, Inc.(6) | 2,744 | $ 203 | |
11,376 | |||
Materials—0.6% | |||
Atotech Ltd.(6)(7) | 17,657 | 342 | |
Real Estate—5.2% | |||
American Campus Communities, Inc. | 24,140 | 1,556 | |
Bluerock Residential Growth REIT, Inc. Class A | 5,731 | 151 | |
Healthcare Realty Trust, Inc. | 115 | 3 | |
Healthcare Trust of America, Inc. Class A(7) | 22,885 | 639 | |
PS Business Parks, Inc. | 3,152 | 590 | |
2,939 | |||
Total Common Stocks (Identified Cost $25,711) | 24,471 | ||
Rights—0.0% | |||
Financials—0.0% | |||
Shelter Acquisition Corp. I Sponsor Shares(3)(6) | 718 | — | |
Health Care—0.0% | |||
Bristol Myers Squibb Co.(6) | 6,945 | 9 | |
Total Rights (Identified Cost $—) | 9 | ||
Warrants—0.1% | |||
Communication Services—0.0% | |||
Akazoo S.A.(3)(6) | 2,642 | — | |
BuzzFeed, Inc.(6) | 1,666 | — (5) | |
— (5) | |||
Consumer Discretionary—0.0% | |||
Cazoo Group Ltd(6) | 5,415 | — (5) | |
CEC Brands LLC(3)(6) | 2,163 | 7 | |
Enjoy Technology, Inc.(6) | 193 | — (5) | |
Global Business Travel Group I(6) | 804 | 1 | |
8 | |||
Consumer Staples—0.0% | |||
Whole Earth Brands, Inc.(6) | 7,310 | 2 | |
Financials—0.1% | |||
Accelerate Acquisition Corp.(6) | 3,000 | 1 | |
Arrowroot Acquisition Corp.(6) | 6,162 | — (5) | |
Austerlitz Acquisition Corp. I(6) | 189 | — (5) | |
Avanti Acquisition Corp.(6) | 1,800 | — (5) | |
CF Acquisition Corp. VIII(6) | 757 | — (5) | |
Cohn Robbins Holdings Corp.(6) | 1,528 | 1 | |
Conx Corp.(6) | 1,894 | — (5) | |
Deep Lake Capital Acquisition Corp.(6) | 2,380 | — (5) |
Shares | Value | ||
Financials—continued | |||
E.Merge Technology Acquisition Corp.(6) | 5,666 | $ 1 | |
Equity Distribution Acquisition Corp. Class A(6) | 6,502 | 1 | |
Fortress Capital Acquisition Corp.(6) | 983 | — (5) | |
G Squared Ascend I, Inc.(6) | 842 | — (5) | |
GCM Grosvenor, Inc. Class A(6) | 1,355 | 1 | |
Goal Acquisitions Corp.(6) | 8,032 | 1 | |
Golden Falcon Acquisition Corp.(6) | 2,479 | — (5) | |
Grove Collaborative Holdings(6) | 1,063 | 1 | |
Healthcare Services Acquisition Corp.(6) | 3,215 | — (5) | |
KL Acquisition Corp.(6) | 4,297 | — (5) | |
KludeIn I Acquisition Corp.(6) | 1,500 | — (5) | |
Longview Acquisition Corp. II(6) | 1,261 | — (5) | |
Marlin Technology Corp.(6) | 3,139 | 1 | |
Moneylion, Inc.(6) | 11,485 | 2 | |
Pathfinder Acquisition Corp.(6) | 1,062 | — (5) | |
Pioneer Merger Corp.(6) | 3,454 | 1 | |
Pontem Corp.(6) | 2,248 | — (5) | |
Prospector Capital Corp.(6) | 2,213 | — (5) | |
RMG Acquisition Corp. III(6) | 1,196 | — (5) | |
Senior Connect Acquisition Corp. I(6) | 2,283 | — (5) | |
Supernova Partners Acquisition Co. III Ltd(6) | 1,493 | — (5) | |
Thunder Bridge Capital Partners III, Inc.(6) | 1,095 | — (5) | |
Tishman Speyer Innovation Corp. II(6) | 1,028 | — (5) | |
VectoIQ Acquisition Corp. II(6) | 1,342 | — (5) | |
11 | |||
Health Care—0.0% | |||
Biote Corp.(6) | 1,190 | 1 | |
Pear Therapeutics, Inc.(6) | 100 | — (5) | |
Quantum-Si, Inc.(6) | 7,060 | 4 | |
Talkspace, Inc.(6) | 17,327 | 6 | |
11 | |||
Industrials—0.0% | |||
Berkshire Grey, Inc.(6) | 1,255 | — (5) | |
Information Technology—0.0% | |||
Embark Technology, Inc.(6) | 66 | — (5) | |
Materials—0.0% | |||
Ginkgo Bioworks Holdings, Inc.(6) | 40 | — (5) | |
Total Warrants (Identified Cost $252) | 32 | ||
Shares/Units | Value | ||
Special Purpose Acquisition Companies—20.8% | |||
10X Capital Venture Acquisition Corp. II Class A(6) | 5,567 | $ 55 | |
10X Capital Venture Acquisition Corp. III Class A(6) | 5,378 | 54 | |
26 Capital Acquisition Corp.(6) | 1,800 | 18 | |
7GC & Co. Holdings, Inc. Class A(6) | 5,614 | 55 | |
Accelerate Acquisition Corp. Class A(6) | 9,000 | 88 | |
ACE Convergence Acquisition Corp. Class A(6) | 1,586 | 16 | |
AEA-Bridges Impact Corp. Class A(6) | 5,552 | 55 | |
AfterNext HealthTech Acquisition Corp. Class A(6) | 6,731 | 65 | |
Agba Acquisition Ltd.(6) | 632 | 7 | |
Agile Growth Corp. Class A(6) | 3,931 | 39 | |
Alpha Partners Technology Merger Corp. Class A(6) | 5,646 | 55 | |
AltEnergy Acquisition Corp.(6) | 1,600 | 16 | |
Altimar Acquisition Corp. III(6) | 2,313 | 23 | |
Altimeter Growth Corp. 2 Class A (6) | 5,427 | 54 | |
Anzu Special Acquisition Corp. I(6) | 200 | 2 | |
Anzu Special Acquisition Corp. I Class A(6) | 5,592 | 55 | |
ArcLight Clean Transition Corp. II Class A(6) | 5,563 | 55 | |
Ares Acquisition Corp.(6) | 1,950 | 19 | |
Argus Capital Corp. Class A(6) | 18 | — (5) | |
Arrowroot Acquisition Corp. Class A(6) | 7,864 | 77 | |
Artemis Strategic Investment Corp. Class A(6) | 5,481 | 54 | |
ARYA Sciences Acquisition Corp. V Class A(6) | 911 | 9 | |
Astrea Acquisition Corp. Class A(6) | 4,267 | 42 | |
Athena Consumer Acquisition Corp.(6) | 1,071 | 10 | |
Atlas Crest Investment Corp. II(6) | 1,450 | 14 | |
Atlas Crest Investment Corp. II Class A(6) | 3,919 | 38 | |
Ault Disruptive Technologies Corp.(6) | 1,619 | 16 | |
Aurora Acquisition Corp. Class A(6) | 2,413 | 24 | |
Austerlitz Acquisition Corp. I Class A(6) | 11,528 | 112 | |
Austerlitz Acquisition Corp. II(6) | 900 | 9 | |
Austerlitz Acquisition Corp. II Class A(6) | 4,453 | 43 | |
Authentic Equity Acquisition Corp.(6) | 400 | 4 | |
Avanti Acquisition Corp. Class A(6) | 8,716 | 86 |
Shares/Units | Value | ||
Avista Public Acquisition Corp. II Class A(6) | 5,451 | $ 55 | |
AxonPrime Infrastructure Acquisition Corp. Class A(6) | 3 | — (5) | |
Belong Acquisition Corp. Class A(6) | 716 | 7 | |
Big Sky Growth Partners, Inc. Class A(6) | 619 | 6 | |
Bilander Acquisition Corp. Class A(6) | 5,641 | 55 | |
Biotech Acquisition Co. Class A(6) | 5,539 | 55 | |
Blue Whale Acquisition Corp. I Class A(6) | 3,504 | 34 | |
BlueRiver Acquisition Corp.(6) | 150 | 1 | |
BOA Acquisition Corp. Class A(6) | 3,923 | 38 | |
Brigade-M3 European Acquisition Corp.(6) | 3,199 | 31 | |
Broadscale Acquisition Corp. Class A(6) | 3,648 | 36 | |
Build Acquisition Corp.(6) | 1,053 | 10 | |
Cartesian Growth Corp. Class A(6) | 1,430 | 14 | |
Cartesian Growth Corp. II(6) | 2,621 | 26 | |
Catalyst Partners Acquisition Corp. Class A(6) | 5,630 | 55 | |
CC Neuberger Principal Holdings II Class A(6) | 9,734 | 97 | |
CC Neuberger Principal Holdings III(6) | 1,500 | 15 | |
CC Neuberger Principal Holdings III Class A(6) | 4,442 | 44 | |
CF Acquisition Corp. IV Class A(6) | 5,436 | 53 | |
Churchill Capital Corp. V Class A(6) | 1,825 | 18 | |
Churchill Capital Corp. VII Class A(6) | 11,792 | 115 | |
CIIG Capital Partners II, Inc.(6) | 4,645 | 46 | |
Class Acceleration Corp.(6) | 150 | 1 | |
Climate Real Impact Solutions II Acquisition Corp.(6) | 68 | 1 | |
Climate Real Impact Solutions II Acquisition Corp. Class A(6) | 6,007 | 59 | |
Cohn Robbins Holdings Corp. Class A(6) | 15,588 | 155 | |
Colicity, Inc.(6) | 5,272 | 52 | |
Colonnade Acquisition Corp. II(6) | 1,000 | 10 | |
Compute Health Acquisition Corp.(6) | 5,691 | 56 | |
Concord Acquisition Corp. Class A(6) | 14,272 | 142 | |
Concord Acquisition Corp. II Class A(6) | 8,465 | 82 | |
Concord Acquisition Corp. III Class A(6) | 4,835 | 48 | |
Conx Corp. Class A(6)(7) | 8,816 | 87 | |
Conyers Park III Acquisition Corp. Class A(6) | 5,588 | 54 | |
Corazon Capital V838 Monoceros Corp. Class A(6) | 2,795 | 27 |
Shares/Units | Value | ||
Corner Growth Acquisition Corp.(6) | 2,686 | $ 27 | |
COVA Acquisition Corp.(6) | 2,301 | 23 | |
Crown PropTech Acquisitions Class A(6) | 5,549 | 55 | |
D & Z Media Acquisition Corp.(6) | 2,350 | 23 | |
DA32 Life Science Tech Acquisition Corp. Class A(6) | 1,996 | 19 | |
Decarbonization Plus Acquisition Corp. IV Class A(6) | 5,194 | 51 | |
Deep Lake Capital Acquisition Corp. Class A(6) | 4,760 | 47 | |
DHC Acquisition Corp. Class A(6) | 5,600 | 55 | |
Digital Transformation Opportunities Corp. Class A(6) | 5,636 | 55 | |
dMY Technology Group, Inc. VI(6) | 2 | — (5) | |
DPCM Capital, Inc. Class A(6) | 6,385 | 63 | |
Dragoneer Growth Opportunities Corp. III Class A(6) | 5,561 | 54 | |
E.Merge Technology Acquisition Corp. Class A(6) | 16,998 | 170 | |
Elliott Opportunity II Corp.(6) | 1,118 | 11 | |
Elliott Opportunity II Corp. Class A(6) | 5,998 | 58 | |
Enterprise 4.0 Technology Acquisition Corp.(6) | 1,694 | 17 | |
Equity Distribution Acquisition Corp. Class A(6) | 24,951 | 248 | |
ESGEN Acquisition Corp.(6) | 1,873 | 19 | |
ESM Acquisition Corp.(6) | 933 | 9 | |
Eucrates Biomedical Acquisition Corp.(6) | 13 | — (5) | |
ExcelFin Acquisition Corp.(6) | 1,606 | 16 | |
ExcelFin Acquisition Corp. Class A(6) | 5,609 | 56 | |
Far Peak Acquisition Corp. Class A(6) | 5,512 | 54 | |
Fat Projects Acquisition Corp.(6) | 4,253 | 42 | |
Fifth Wall Acquisition Corp. III Class A(6) | 5,552 | 54 | |
FinServ Acquisition Corp. II(6) | 1,229 | 12 | |
FinServ Acquisition Corp. II Class A(6) | 1,651 | 16 | |
Fintech Acquisition Corp. V Class A(6) | 5,422 | 53 | |
FinTech Acquisition Corp. VI(6) | 2,838 | 28 | |
FinTech Acquisition Corp. VI Class A(6) | 2,782 | 27 | |
Fintech Evolution Acquisition Group(6) | 5,096 | 50 | |
Flame Acquisition Corp. Class A(6) | 1,413 | 14 | |
Fortistar Sustainable Solutions Corp. Class A(6) | 5,601 | 55 | |
Fortress Capital Acquisition Corp. Class A(6) | 4,915 | 48 |
Shares/Units | Value | ||
Fortress Value Acquisition Corp. III(6) | 1,065 | $ 10 | |
Fortress Value Acquisition Corp. III Class A(6) | 5,586 | 55 | |
Fortress Value Acquisition Corp. IV Class A(6) | 5,570 | 54 | |
Frazier Lifesciences Acquisition Corp.(6) | 1,900 | 19 | |
FTAC Athena Acquisition Corp. Class A(6) | 6,788 | 67 | |
FTAC Emerald Acquisition Corp.(6) | 5,286 | 52 | |
FTAC Hera Acquisition Corp.(6) | 2,134 | 21 | |
FTAC Parnassus Acquisition Corp. Class A(6) | 5,564 | 55 | |
FTAC Zeus Acquisition Corp.(6) | 1,059 | 10 | |
Fusion Acquisition Corp. II(6) | 3,000 | 29 | |
G Squared Ascend I, Inc. Class A(6) | 10,152 | 100 | |
G Squared Ascend II, Inc.(6) | 2,391 | 23 | |
Gesher I Acquisition Corp.(6) | 1,707 | 17 | |
Global SPAC Partners Co.(6) | 3,374 | 34 | |
Goal Acquisitions Corp.(6) | 8,597 | 84 | |
Golden Falcon Acquisition Corp. Class A(6) | 4,958 | 49 | |
Gores Holdings IX, Inc. Class A(6) | 2,193 | 21 | |
Gores Holdings VII, Inc. Class A(6) | 5,610 | 55 | |
Gores Holdings VIII, Inc. Class A (6) | 75 | 1 | |
Gores Technology Partners II, Inc. Class A(6) | 9,116 | 89 | |
Gores Technology Partners, Inc. Class A(6) | 8,434 | 83 | |
Graf Acquisition Corp. IV(6) | 3,041 | 30 | |
Health Assurance Acquisition Corp. Class A(6) | 5,883 | 58 | |
Healthcare Services Acquisition Corp. Class A(6) | 6,430 | 63 | |
Hennessy Capital Investment Corp. V(6) | 100 | 1 | |
Hennessy Capital Investment Corp. VI Class A(6) | 5,700 | 55 | |
Highland Transcend Partners I Corp. Class A(6) | 50,169 | 495 | |
Home Plate Acquisition Corp. Class A(6) | 4,147 | 40 | |
Horizon Acquisition Corp. II Class A(6) | 5,983 | 59 | |
Hudson Executive Investment Corp. II(6) | 200 | 2 | |
Independence Holdings Corp.(6) | 1,500 | 15 | |
Independence Holdings Corp. Class A(6) | 3,919 | 38 | |
Infinite Acquisition Corp.(6) | 1,324 | 13 | |
INSU Acquisition Corp. III Class A(6) | 5,558 | 55 | |
InterPrivate II Acquisition Corp.(6) | 897 | 9 |
Shares/Units | Value | ||
InterPrivate III Financial Partners, Inc. Class A(6) | 895 | $ 9 | |
InterPrivate IV InfraTech Partners, Inc.(6) | 231 | 2 | |
ION Acquisition Corp. 3 Ltd. Class A(6) | 6,032 | 59 | |
Isleworth Healthcare Acquisition Corp.(6) | 5,725 | 57 | |
Jack Creek Investment Corp.(6) | 1,500 | 15 | |
Jack Creek Investment Corp. Class A(6) | 3,816 | 38 | |
Jaws Hurricane Acquisition Corp. Class A(6) | 5,394 | 53 | |
Jaws Juggernaut Acquisition Corp.(6) | 4,066 | 40 | |
Jaws Juggernaut Acquisition Corp. Class A(6) | 1,674 | 16 | |
Jaws Mustang Acquisition Corp.(6) | 600 | 6 | |
Jaws Mustang Acquisition Corp. Class A(6) | 5,976 | 59 | |
JOFF Fintech Acquisition Corp. Class A(6) | 3,144 | 31 | |
Juniper II Corp.(6) | 2,490 | 25 | |
Juniper II Corp. Class A(6) | 3,189 | 32 | |
Kensington Capital Acquisition Corp. IV(6) | 4,149 | 42 | |
Kensington Capital Acquisition Corp. V Class A(6) | 5,800 | 57 | |
Khosla Ventures Acquisition Co. Class A(6) | 5,659 | 55 | |
Khosla Ventures Acquisition Co. III Class A(6) | 5,273 | 51 | |
Kismet Acquisition Three Corp.(6) | 1 | — (5) | |
Kismet Acquisition Three Corp. Class A(6) | 6,044 | 59 | |
KKR Acquisition Holdings I Corp.(6) | 5,844 | 58 | |
KL Acquisition Corp. Class A(6) | 12,891 | 127 | |
KludeIn I Acquisition Corp. Class A(6) | 3,000 | 30 | |
L Catterton Asia Acquisition Corp. Class A(6) | 6,050 | 59 | |
Landcadia Holdings IV, Inc. Class A(6) | 5,988 | 59 | |
LAVA Medtech Acquisition Corp. Class A(6) | 2,516 | 25 | |
LDH Growth Corp. I Class A(6) | 5,903 | 58 | |
Lerer Hippeau Acquisition Corp. Class A(6) | 5,616 | 55 | |
Live Oak Crestview Climate Acquisition Corp.(6) | 5,937 | 57 | |
Live Oak Mobility Acquisition Corp. Class A(6) | 2,647 | 26 | |
Longview Acquisition Corp. II Class A(6) | 6,305 | 62 | |
M3-Brigade Acquisition II Corp. Class A(6) | 5,922 | 58 | |
Macondray Capital Acquisition Corp. I(6) | 2,600 | 26 |
Shares/Units | Value | ||
Macondray Capital Acquisition Corp. I Class A(6) | 5,582 | $ 56 | |
Magnum Opus Acquisition Ltd. Class A(6) | 5,909 | 58 | |
Marlin Technology Corp. Class A(6) | 9,417 | 93 | |
Mason Industrial Technology, Inc.(6) | 2,774 | 27 | |
MedTech Acquisition Corp. Class A(6) | 4,429 | 44 | |
Motive Capital Corp. II(6) | 3,201 | 32 | |
Motive Capital Corp. II Class A(6) | 2,352 | 23 | |
Music Acquisition Corp. (The)(6) | 2,750 | 27 | |
New Vista Acquisition Corp. Class A(6) | 1,051 | 10 | |
Newbury Street Acquisition Corp.(6) | 838 | 8 | |
Newcourt Acquisition Corp.(6) | 2,194 | 22 | |
Newcourt Acquisition Corp. Class A(6) | 1,034 | 10 | |
NewHold Investment Corp. II Class A(6) | 3,599 | 36 | |
Noble Rock Acquisition Corp.(6) | 300 | 3 | |
North Atlantic Acquisition Corp. Class A(6) | 5,564 | 55 | |
North Mountain Merger Corp. Class A(6) | 2,783 | 28 | |
Northern Genesis Acquisition Corp. III Class A(6) | 6,025 | 59 | |
Northern Star Investment Corp. II Class A(6) | 5,650 | 55 | |
Omega Alpha SPAC Class A(6) | 2,677 | 26 | |
Pathfinder Acquisition Corp. Class A(6) | 5,310 | 52 | |
Patria Latin American Opportunity Acquisition Corp.(6) | 423 | 4 | |
Peridot Acquisition Corp. II(6) | 2,500 | 24 | |
Peridot Acquisition Corp. II Class A(6) | 6,038 | 59 | |
Pershing Square Tontine Holdings Ltd. Class A(6) | 7,392 | 148 | |
Phoenix Biotech Acquisition Corp.(6) | 1,719 | 17 | |
Phoenix Biotech Acquisition Corp. Class A(6) | 5,480 | 55 | |
Pioneer Merger Corp. Class A(6) | 10,362 | 102 | |
Pivotal Investment Corp. III(6) | 852 | 8 | |
Pontem Corp. Class A(6) | 6,744 | 66 | |
Portage Fintech Acquisition Corp. Class A(6) | 2,114 | 21 | |
Post Holdings Partnering Corp. Class A(6) | 8,951 | 87 | |
Prime Impact Acquisition I(6) | 57 | 1 | |
Prime Impact Acquisition I Class A(6) | 6,492 | 65 | |
Progress Acquisition Corp.(6) | 65 | 1 | |
PROOF Acquisition Corp. I(6) | 4,240 | 40 |
Shares/Units | Value | ||
Property Solutions Acquisition Corp. II(6) | 1,847 | $ 18 | |
PropTech Investment Corp. II Class A(6) | 586 | 6 | |
Prospector Capital Corp. Class A(6) | 6,639 | 65 | |
Pyrophyte Acquisition Corp.(6) | 2,132 | 20 | |
Pyrophyte Acquisition Corp. Class A(6) | 5,493 | 55 | |
RedBall Acquisition Corp. Class A(6) | 10,937 | 109 | |
Revolution Healthcare Acquisition Corp. Class A(6) | 11,543 | 113 | |
Riverview Acquisition Corp. Class A(6) | 5,544 | 55 | |
RMG Acquisition Corp. III Class A(6) | 11,557 | 114 | |
Rocket Internet Growth Opportunities Corp.(6) | 5,017 | 49 | |
Ross Acquisition Corp. II(6) | 153 | 2 | |
Ross Acquisition Corp. II Class A(6) | 5,518 | 54 | |
RXR Acquisition Corp. Class A(6) | 5,670 | 56 | |
ScION Tech Growth II(6) | 1,250 | 12 | |
Screaming Eagle Acquisition Corp.(6) | 9,629 | 93 | |
Seaport Calibre Materials Acquisition Corp.(6) | 2,581 | 26 | |
Semper Paratus Acquisition Corp.(6) | 2,138 | 21 | |
Senior Connect Acquisition Corp. I Class A(6) | 4,566 | 45 | |
Shelter Acquisition Corp. I(6) | 5,172 | 51 | |
ShoulderUp Technology Acquisition Corp. Class A(6) | 2,402 | 24 | |
Silver Crest Acquisition Corp. Class A(6) | 3,731 | 37 | |
SILVERspac, Inc. Class A(6) | 505 | 5 | |
Simon Property Group Acquisition Holdings, Inc.(6) | 5,267 | 52 | |
Simon Property Group Acquisition Holdings, Inc. Class A(6) | 8,911 | 87 | |
Slam Corp.(6) | 5,203 | 51 | |
Slam Corp. Class A(6) | 401 | 4 | |
Soar Technology Acquisition Corp.(6) | 1,164 | 12 | |
Social Capital Suvretta Holdings Corp. I Class A(6) | 1,522 | 15 | |
Social Capital Suvretta Holdings Corp. IV Class A(6) | 1,231 | 12 | |
Social Leverage Acquisition Corp. I Class A(6) | 5,711 | 56 | |
Software Acquisition Group, Inc. III Class A(6) | 123 | 1 | |
Sound Point Acquisition Corp. I Ltd.(6) | 527 | 5 | |
Sound Point Acquisition Corp. I Ltd. Class A(6) | 2,632 | 26 |
Shares/Units | Value | ||
Supernova Partners Acquisition Co. III Ltd. Class A(6) | 13,459 | $ 132 | |
Sustainable Development Acquisition I Corp.(6) | 300 | 3 | |
SVF Investment Corp.(6) | 1,779 | 18 | |
SVF Investment Corp. Class A(6) | 11,106 | 109 | |
SVF Investment Corp. 2 Class A(6) | 185 | 2 | |
Tailwind Acquisition Corp. Class A(6) | 15,365 | 153 | |
Tailwind International Acquisition Corp. Class A(6) | 2,828 | 28 | |
Target Global Acquisition I Corp.(6) | 4,800 | 48 | |
TCV Acquisition Corp. Class A(6) | 3,633 | 35 | |
Thunder Bridge Capital Partners III, Inc. Class A(6) | 5,475 | 54 | |
Tishman Speyer Innovation Corp. II Class A(6) | 5,140 | 50 | |
TortoiseEcofin Acquisition Corp. III Class A(6) | 8,454 | 82 | |
TPG Pace Beneficial Finance Corp. Class A(6) | 27 | — (5) | |
TPG Pace Beneficial II Corp. Class A(6) | 1,128 | 11 | |
Tribe Capital Growth Corp. I(6) | 3,142 | 31 | |
Tribe Capital Growth Corp. I Class A(6) | 2,236 | 22 | |
Twelve Seas Investment Co. II(6) | 587 | 6 | |
Valuence Merger Corp. I(6) | 249 | 2 | |
VectoIQ Acquisition Corp. II Class A(6) | 6,710 | 66 | |
Vector Acquisition Corp. II Class A(6) | 1,592 | 16 | |
Viscogliosi Brothers Acquisition Corp.(6) | 1,606 | 16 | |
VPC Impact Acquisition Holdings II Class A(6) | 5,477 | 54 | |
Vy Global Growth Class A(6) | 8,099 | 80 | |
Waldencast Acquisition Corp. Class A(6) | 5,531 | 54 | |
Warburg Pincus Capital Corp. I Class A(6) | 5,982 | 59 | |
Warrior Technologies Acquisition Co. Class A(6) | 5,590 | 56 |
Shares/Units | Value | ||
Z-Work Acquisition Corp. Class A(6) | 4,054 | $ 40 | |
Total Special Purpose Acquisition Companies (Identified Cost $11,704) | 11,650 | ||
Shares | ||
Purchased Options—0.4% | ||
(See open purchased options schedule) | ||
Total Purchased Options (Premiums Paid $121) | 203 | |
Private Investments in Public Equity—0.0% | ||
MarketWise, Inc.(6) | 565 | 2 |
Total Private Investments in Public Equity (Identified Cost $6) | 2 | |
Escrow Notes—2.8% | ||
Industrials—0.0% | ||
AMR Corp. Escrow Shares(3)(6) | 7,668 | — (5) |
Information Technology—2.8% | ||
Altaba, Inc. Escrow(6) | 312,958 | 1,596 |
Total Escrow Notes (Identified Cost $1,191) | 1,596 | |
Total Long-Term Investments—73.6% (Identified Cost $42,597) | 41,275 | |
Short-Term Investments—24.0% | ||
Money Market Mutual Funds—24.0% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 1.316%)(8) | 2,450,000 | 2,450 |
Federated Hermes Government Obligations Fund - Institutional Shares (seven-day effective yield 1.360%)(8) | 1,191,765 | 1,192 |
Goldman Sachs Financial Square Government Fund - Standard Shares (seven-day effective yield 1.358%)(8) | 2,450,000 | 2,450 |
Shares | Value | ||
Money Market Mutual Funds—continued | |||
Invesco Government & Agency Portfolio - Institutional Shares (seven-day effective yield 1.386%)(8) | 2,450,000 | $ 2,450 | |
JPMorgan U.S. Government Money Market Fund - Institutional Shares (seven-day effective yield 1.315%)(8) | 2,450,000 | 2,450 | |
Morgan Stanley Liquidity Fund Government Portfolio - Institutional Shares (seven-day effective yield 1.381%)(8) | 2,450,000 | 2,450 | |
Total Short-Term Investments (Identified Cost $13,442) | 13,442 | ||
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT AND WRITTEN OPTIONS—97.6% (Identified Cost $56,039) | 54,717 | ||
Securities Sold Short—(2.5)% | |||
Common Stocks—(2.5)% | |||
Financials—(0.4)% | |||
Aon plc Class A | (664) | (179) | |
New York Community Bancorp, Inc. | (5,885) | (54) | |
(233) | |||
Information Technology—(1.1)% | |||
Broadcom, Inc. | (629) | (305) | |
MaxLinear, Inc.(6) | (3,344) | (114) | |
MKS Instruments, Inc. | (964) | (99) | |
NortonLifeLock, Inc. | (4,197) | (92) | |
(610) | |||
Real Estate—(1.0)% | |||
Healthcare Realty Trust, Inc. | (20,642) | (562) | |
Total Common Stocks (Identified Proceeds $(1,570)) | (1,405) | ||
Total Securities Sold Short (Identified Proceeds $(1,570)) | (1,405) | ||
Value | ||
Written Options—(0.2)% | ||
(See open written options schedule) | ||
Total Written Options (Premiums Received $233) | $ (93) | |
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT AND WRITTEN OPTIONS—94.9% (Identified Cost $54,236) | $53,219 | |
Other assets and liabilities, net—5.1% | 2,838 | |
NET ASSETS—100.0% | $56,057 |
Abbreviations: | |
ADR | American Depositary Receipt |
ETF | Exchange-Traded Fund |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLP | Limited Liability Partnership |
OBFR | Overnight Bank Funding Rate |
REIT | Real Estate Investment Trust |
S&P | Standard & Poor’s |
SOFR | Secured Overnight Financing Rate |
SPAC | Special Purpose Acquisition Company |
SPDR | S&P Depositary Receipt |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2022, these securities amounted to a value of $2,472 or 4.4% of net assets. |
(2) | Variable rate security. Rate disclosed is as of June 30, 2022. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(3) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(4) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(5) | Amount is less than $500. |
(6) | Non-income producing. |
(7) | 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. The value of securities segregated as collateral is $4,759. |
(8) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Counterparties: | |
BAML | Bank of America--Merrill Lynch |
GS | Goldman Sachs & Co. |
JPM | JPMorgan Chase Bank N.A. |
Foreign Currencies: | |
AUD | Australian Dollar |
CAD | Canadian Dollar |
EUR | Euro |
GBP | United Kingdom Pound Sterling |
JPY | Japanese Yen |
SEK | Swedish Krona |
USD | United States Dollar |
Country Weightings† | |
United States | 81% |
Cayman Islands | 12 |
United Kingdom | 2 |
Canada | 1 |
Taiwan | 1 |
Israel | 1 |
Virgin Islands (British) | 1 |
Other | 1 |
Total | 100% |
†% of total investments, net of securities sold short and written options, as of June 30, 2022. |
Open purchased options contracts as of June 30, 2022 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Put Options(2) | |||||
GSK plc | 61 | $220 | $ 36.00 | 08/19/22 | $ 1 |
GSK plc | 61 | 232 | 38.00 | 08/19/22 | 2 |
iShares iBoxx High Yield Corporate Bond ETF | 8 | 62 | 77.00 | 07/15/22 | 3 |
iShares iBoxx High Yield Corporate Bond ETF | 63 | 479 | 76.00 | 08/19/22 | 23 |
Lennar Corp. | 71 | 461 | 65.00 | 08/19/22 | 20 |
SPDR S&P 500 ETF Trust | 20 | 750 | 375.00 | 07/15/22 | 14 |
SPDR S&P 500 ETF Trust | 3 | 110 | 368.00 | 07/15/22 | 2 |
Vodafone Group plc | 165 | 247 | 15.00 | 07/15/22 | 3 |
XPO Logistics, Inc. | 36 | 243 | 67.50 | 08/19/22 | 71 |
XPO Logistics, Inc. | 37 | 231 | 62.50 | 08/19/22 | 55 |
XPO Logistics, Inc. | 22 | 105 | 47.50 | 08/19/22 | 9 |
Total Purchased Options | $203 | ||||
Footnote Legend: | |||||
(1) Strike price not reported in thousands. | |||||
(2) Exchange-traded options. |
Open written options contracts as of June 30, 2022 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Activision Blizzard, Inc. | (20) | $(150) | $ 75.00 | 07/15/22 | $ (7) |
Activision Blizzard, Inc. | (10) | (80) | 80.00 | 08/19/22 | (1) |
GSK plc | (61) | (244) | 40.00 | 08/19/22 | (25) |
GSK plc | (61) | (256) | 42.00 | 08/19/22 | (15) |
Lennar Corp. | (38) | (285) | 75.00 | 08/19/22 | (11) |
Lennar Corp. | (33) | (231) | 70.00 | 08/19/22 | (17) |
SPDR S&P 500 ETF Trust | (9) | (364) | 405.00 | 07/15/22 | (1) |
Twitter, Inc. | (12) | (47) | 39.00 | 07/15/22 | (2) |
Vodafone Group plc | (82) | (131) | 16.00 | 07/15/22 | (1) |
Vodafone Group plc | (27) | (46) | 17.00 | 07/15/22 | (—) (3) |
XPO Logistics, Inc. | (37) | (250) | 67.50 | 08/19/22 | (1) |
XPO Logistics, Inc. | (36) | (261) | 72.50 | 08/19/22 | (1) |
XPO Logistics, Inc. | (22) | (121) | 55.00 | 08/19/22 | (3) |
Zendesk, Inc. | (7) | (56) | 80.00 | 07/15/22 | (—) (3) |
Zendesk, Inc. | (20) | (150) | 75.00 | 08/19/22 | (2) |
(87) | |||||
Put Options(2) | |||||
iShares iBoxx High Yield Corporate Bond ETF | (63) | (441) | 70.00 | 08/19/22 | (5) |
SPDR S&P 500 ETF Trust | (6) | (210) | 350.00 | 07/15/22 | (1) |
(6) | |||||
Total Written Options | $(93) |
Footnote Legend: | |
(1) Strike price not reported in thousands. | |
(2) Exchange-traded options. | |
(3) Amount is less than $500. |
Forward foreign currency exchange contracts as of June 30, 2022 were as follows: | |||||||
Currency Purchased | Currency Amount Purchased | Currency Sold | Currency Amount Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized Depreciation |
AUD | 38 | USD | 26 | GS | 07/20/22 | $ — | $ (—)(1) |
AUD | 267 | USD | 185 | GS | 07/27/22 | — | (1) |
AUD | 512 | USD | 356 | JPM | 07/27/22 | — | (2) |
CAD | 390 | USD | 302 | JPM | 07/11/22 | — | (—) (1) |
EUR | 102 | USD | 110 | GS | 10/13/22 | — | (2) |
EUR | 103 | USD | 111 | GS | 11/23/22 | — | (2) |
GBP | 11 | USD | 14 | JPM | 09/14/22 | — | (1) |
USD | 660 | CAD | 845 | JPM | 07/11/22 | 3 | — |
USD | 56 | AUD | 82 | GS | 07/13/22 | — | (—) (1) |
USD | 269 | AUD | 374 | GS | 07/20/22 | 10 | — |
USD | 104 | EUR | 92 | GS | 07/20/22 | 8 | — |
USD | 195 | AUD | 267 | GS | 07/27/22 | 11 | — |
USD | 373 | AUD | 513 | JPM | 07/27/22 | 20 | — |
USD | 278 | CAD | 360 | JPM | 07/27/22 | — | (2) |
USD | 102 | AUD | 143 | GS | 08/04/22 | 3 | — |
USD | 50 | EUR | 48 | GS | 08/05/22 | — | (—) (1) |
USD | 49 | JPY | 6,626 | JPM | 08/05/22 | — | (—) (1) |
USD | 11 | EUR | 10 | JPM | 08/09/22 | — (1) | — |
USD | 837 | SEK | 8,342 | JPM | 08/10/22 | 21 | — |
USD | 485 | GBP | 395 | JPM | 08/12/22 | 3 | — |
USD | 14 | GBP | 11 | JPM | 09/14/22 | 1 | — |
USD | 315 | EUR | 283 | JPM | 09/15/22 | 18 | — |
USD | 331 | GBP | 254 | GS | 10/05/22 | 22 | — |
USD | 1,153 | GBP | 884 | GS | 10/07/22 | 75 | — |
USD | 617 | EUR | 570 | GS | 10/13/22 | 16 | — |
USD | 716 | EUR | 656 | JPM | 10/13/22 | 23 | — |
USD | 927 | GBP | 750 | JPM | 11/10/22 | 10 | — |
USD | 96 | AUD | 136 | GS | 11/15/22 | 2 | — |
USD | 113 | EUR | 102 | GS | 11/23/22 | 5 | — |
Total | $251 | $ (10) |
Footnote Legend: | |
(1) | Amount is less than $500. |
Over-the-counter total return swaps outstanding as of June 30, 2022 were as follows: | ||||||||||
Referenced Entity | Pay/Receive | Financing Rate(1) | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value | Unrealized Appreciation | Unrealized Depreciation | |
Long Total Return Swap Contracts | ||||||||||
Atlantia S.P.A | Pay | 2.180% (0.610% + OBFR) | 1 Month | GS | 05/19/23 | $ 494 | $ (19) | $ — | $ (19) | |
Atlantia S.P.A | Pay | 2.120% (0.550% + OBFR) | 3 Month | JPM | 05/22/23 | 704 | (36) | — | (36) | |
Avast plc | Pay | 2.130% (0.610% + SOFR) | 1 Month | GS | 09/12/22 | 1,107 | (236) | — | (236) | |
Brewin Dolphin Holdings plc | Pay | 2.180% (0.610% + OBFR) | 1 Month | GS | 05/01/23 | 328 | (21) | — | (21) | |
Bristol-Myers Squibb Co.(2) | Pay | 1.57% (0.000% + OBFR) | 1 Month | BAML | 09/02/22 | — (3) | 5 | 5 | — | |
Brookfield Property Preferred LP | Pay | 2.320% (0.750% + OBFR) | 1 Month | BAML | 12/08/22 | 18 | (4) | — | (4) | |
Cazoo Group Ltd. | Receive | (9.430%) ((11.000%)+ OBFR) | 1 Month | BAML | 12/26/22 | 24 | (22) | — | (22) | |
Cazoo Group Ltd. | Receive | (16.480%) ((18.000%) + SOFR) | 1 Month | GS | 12/26/22 | 61 | (73) | — | (73) | |
Deutsche Euroshop AG | Pay | 2.180% (0.610% + OBFR) | 1 Month | GS | 07/31/23 | 50 | (—) (3) | — | (—) (3) | |
Homeserve plc | Pay | 2.170% (0.600% + OBFR) | 1 Month | BAML | 06/26/23 | 129 | (2) | — | (2) | |
Homeserve plc | Pay | 2.170% (0.600% + OBFR) | 1 Month | BAML | 07/20/23 | 49 | (—) (3) | — | (—) (3) | |
Homeserve plc | Pay | 2.170% (0.600% + OBFR) | 1 Month | BAML | 07/21/23 | 81 | — (3) | — (3) | — | |
Homeserve plc | Pay | 2.170% (0.600% + OBFR) | 1 Month | BAML | 07/24/23 | 81 | (—) (3) | — | (—) (3) | |
Homeserve plc | Pay | 2.170% (0.600% + OBFR) | 1 Month | BAML | 07/27/23 | 129 | — (3) | — (3) | — | |
Homeserve plc | Pay | 2.170% (0.600% + OBFR) | 1 Month | BAML | 07/28/23 | — | (—) (3) | — | (—) (3) | |
Homeserve plc | Pay | 2.170% (0.600% + OBFR) | 1 Month | BAML | 07/31/23 | 206 | — (3) | — (3) | — | |
Homeserve plc | Pay | 2.170% (0.600% + OBFR) | 1 Month | BAML | 06/27/23 | 32 | (—) (3) | — | (—) (3) | |
Homeserve plc | Pay | 2.170% (0.600% + OBFR) | 1 Month | BAML | 07/10/23 | 53 | (1) | — | (1) | |
Homeserve plc | Pay | 2.170% (0.600% + OBFR) | 1 Month | BAML | 07/14/23 | 54 | (—) (3) | — | (—) (3) | |
Homeserve plc | Pay | 2.020% (0.450% + OBFR) | 3 Month | JPM | 07/10/23 | 43 | (1) | — | (1) | |
Homeserve plc | Pay | 2.020% (0.450% + OBFR) | 3 Month | JPM | 07/14/23 | 16 | (—) (3) | — | (—) (3) | |
Homeserve plc | Pay | 2.020% (0.450% + OBFR) | 3 Month | JPM | 07/17/23 | 25 | — (3) | — (3) | — | |
Intertape Polymer Group, Inc. | Pay | 2.320% (0.750% + OBFR) | 1 Month | BAML | 06/16/23 | 108 | 5 | 5 | — | |
Intertape Polymer Group, Inc. | Pay | 2.320% (0.750% + OBFR) | 1 Month | BAML | 06/19/23 | 53 | 2 | 2 | — | |
Intertape Polymer Group, Inc. | Pay | 2.320% (0.750% + OBFR) | 1 Month | BAML | 06/27/23 | 54 | 2 | 2 | — | |
Intertape Polymer Group, Inc. | Pay | 2.320% (0.750% + OBFR) | 1 Month | BAML | 06/13/23 | 53 | 2 | 2 | — | |
InterTrust N.V. | Pay | 2.120% (0.550% + OBFR) | 3 Month | JPM | 02/27/23 | 49 | (4) | — | (4) | |
InterTrust N.V. | Pay | 2.120% (0.550% + OBFR) | 3 Month | JPM | 04/07/23 | 37 | (2) | — | (2) | |
InterTrust N.V. | Pay | 2.120% (0.550% + OBFR) | 3 Month | JPM | 04/10/23 | 133 | (6) | — | (6) | |
InterTrust N.V. | Pay | 2.120% (0.550% + OBFR) | 3 Month | JPM | 03/28/23 | 14 | (1) | — | (1) | |
InterTrust N.V. | Pay | 2.120% (0.550% + OBFR) | 3 Month | JPM | 04/03/23 | 24 | (2) | — | (2) | |
InterTrust N.V. | Pay | 2.120% (0.550% + OBFR) | 3 Month | JPM | 04/04/23 | 44 | (3) | — | (3) | |
Irongate Group | Pay | 2.180% (0.610% + OBFR) | 1 Month | GS | 05/19/23 | 57 | (1) | — | (1) | |
Link Administration Holdings Ltd. | Pay | 2.130% (0.610% + SOFR) | 1 Month | GS | 02/24/23 | 230 | (73) | — | (73) | |
Meggit plc | Pay | 2.330% (0.810% + SOFR) | 1 Month | GS | 09/12/22 | 1,164 | (101) | — | (101) | |
Ramsay Health Care Ltd. | Pay | 2.180% (0.610% + OBFR) | 1 Month | GS | 07/31/23 | 85 | (7) | — | (7) | |
Swedish Match AB | Pay | 2.120% (0.550% + OBFR) | 3 Month | JPM | 06/19/23 | 215 | 2 | 2 | — |
Over-the-counter total return swaps outstanding as of June 30, 2022 were as follows (continued): | |||||||||||||
Referenced Entity | Pay/Receive | Financing Rate(1) | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value | Unrealized Appreciation | Unrealized Depreciation | ||||
Swedish Match AB | Pay | 2.120% (0.550% + OBFR) | 3 Month | JPM | 07/10/23 | $ 83 | $ (1) | $ — | $ (1) | ||||
Swedish Match AB | Pay | 2.120% (0.550% + OBFR) | 3 Month | JPM | 07/20/23 | 108 | 3 | 3 | — | ||||
Swedish Match AB | Pay | 2.120% (0.550% + OBFR) | 3 Month | JPM | 07/24/23 | 55 | 1 | 1 | — | ||||
Swedish Match AB | Pay | 2.120% (0.550% + OBFR) | 3 Month | JPM | 07/27/23 | 56 | 2 | 2 | — | ||||
Swedish Match AB | Pay | 2.120% (0.550% + OBFR) | 3 Month | JPM | 07/31/23 | 46 | 1 | 1 | — | ||||
Swedish Match AB | Pay | 2.120% (0.550% + OBFR) | 3 Month | JPM | 06/20/23 | 107 | — (3) | — (3) | — | ||||
Swedish Match AB | Pay | 2.120% (0.550% + OBFR) | 3 Month | JPM | 06/26/23 | 51 | — (3) | — (3) | — | ||||
Swedish Match AB | Pay | 2.120% (0.550% + OBFR) | 3 Month | JPM | 06/27/23 | 22 | (—) (3) | — | (—) (3) | ||||
Swedish Match AB | Pay | 2.120% (0.550% + OBFR) | 3 Month | JPM | 07/03/23 | 54 | (1) | — | (1) | ||||
Telecom Italia S.P.A | Pay | 2.130% (0.610% + SOFR) | 1 Month | GS | 02/13/23 | 82 | (36) | — | (36) | ||||
Toshiba Corp. | Pay | 2.180% (0.610% + OBFR) | 3 Month | JPM | 07/31/23 | 53 | (3) | — | (3) | ||||
Ultra Electronics Holdings plc | Pay | 2.170% (0.600% + OBFR) | 1 Month | BAML | 07/27/23 | 47 | (—) (3) | — | (—) (3) | ||||
Ultra Electronics Holdings plc | Pay | 2.170% (0.600% + OBFR) | 1 Month | BAML | 07/28/23 | 421 | (1) | — | (1) | ||||
Ultra Electronics Holdings plc | Pay | 2.170% (0.600% + OBFR) | 1 Month | BAML | 07/31/23 | 9 | (—) (3) | — | (—) (3) | ||||
Uniper S.E. | Pay | 2.130% (0.610% + SOFR) | 1 Month | GS | 12/12/22 | 10 | (6) | — | (6) | ||||
Uniti Group Ltd. | Pay | 2.180% (0.610% + SOFR) | 1 Month | GS | 05/01/23 | 29 | (1) | — | (1) | ||||
Uniti Group Ltd. | Pay | 2.180% (0.610% + OBFR) | 1 Month | GS | 05/01/23 | 71 | (1) | — | (1) | ||||
Vifor Pharma AG | Pay | 2.180% (0.610% + OBFR) | 1 Month | GS | 04/03/23 | 495 | (2) | — | (2) | ||||
Vifor Pharma AG | Pay | 2.120% (0.550% + OBFR) | 3 Month | JPM | 04/03/23 | 934 | (13) | — | (13) | ||||
Vifor Pharma AG | Pay | 2.120% (0.550% + OBFR) | 3 Month | JPM | 04/24/23 | 54 | (1) | — | (1) | ||||
Willis Towers Watson plc | Pay | 2.130% (0.610% + SOFR) | 1 Month | GS | 10/27/22 | 175 | (26) | — | (26) | ||||
(682) | 25 | (707) | |||||||||||
Short Total Return Swap Contracts | |||||||||||||
Entegris, Inc. | Receive | 1.220% ((0.350%) + OBFR) | 1 Month | GS | 06/02/23 | (304) | 62 | 62 | — | ||||
II-VI, Inc. | Receive | 1.220% ((0.350%) + OBFR) | 1 Month | GS | 06/12/23 | (457) | 85 | 85 | — | ||||
Rentokil Initial plc | Receive | 1.300% ((0.270%) + OBFR) | 1 Month | GS | 05/19/23 | (76) | 10 | 10 | — | ||||
Rentokil Initial plc | Receive | 1.220% ((0.350%) + OBFR) | 1 Month | GS | 05/19/23 | (222) | 24 | 24 | — | ||||
181 | 181 | — | |||||||||||
Total | $ (501) | $206 | $ (707) |
Footnote Legend: | |
(1) | The Fund pays the floating rate (+/- a spread) and receives the total return of the reference entity. |
(2) | 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. |
(3) | Amount is less than $500. |
Total Value at June 30, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $ 2,880 | $ — | $2,880 | $ — | |||
Leveraged Loans | 392 | — | 234 | 158 | |||
Equity Securities: | |||||||
Common Stocks | 24,471 | 24,464 | 7 | — | |||
Escrow Notes | 1,596 | — | 1,596 | — | |||
Special Purpose Acquisition Companies | 11,650 | 11,450 | 200 | — | |||
Warrants | 32 | 25 | — | 7 (1) | |||
Preferred Stock | 40 | 40 | — | — | |||
Rights | 9 | — | 9 | — (1) | |||
Private Investments in Public Equity | 2 | 2 | — | — | |||
Money Market Mutual Funds | 13,442 | 13,442 | — | — | |||
Other Financial Instruments: | |||||||
Purchased Options | 203 | 76 | 127 | — | |||
Forward Foreign Currency Exchange Contracts | 251 | — | 251 | — | |||
Over-the-Counter Total Return Swaps | 206 | — | 206 | — | |||
Total Investments, Before Securities Sold Short and Written Options | 55,174 | 49,499 | 5,510 | 165 | |||
Liabilities: | |||||||
Securities Sold Short: | |||||||
Common Stocks | (1,405) | (1,405) | — | — | |||
Other Financial Instruments: | |||||||
Written Options | (93) | (66) | (27) | — | |||
Forward Foreign Currency Exchange Contracts | (10) | — | (10) | — | |||
Over-the-Counter Total Return Swaps | (707) | — | (707) | — | |||
Total Liabilities | (2,215) | (1,471) | (744) | — | |||
Total Investments, Net of Securities Sold Short and Written Options | $52,959 | $48,028 | $4,766 | $165 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Special Purpose Acquisition | Contingent Value Rights | Leverage Loans | Private Investments in Public Equity | Escrow Notes | Warrants | Rights | Swaps | |||||||||
Investments in Securities | |||||||||||||||||
Balance as of December 31, 2021: | $ 331 | $ — (a) | $ 1 | $ 261 | $ 48 | $ (a) | $ 7(b) | $ 8(b) | $ 6 | ||||||||
Net realized gain (loss) | — (a) | — (a) | — | — (a) | — | — | — | — | — | ||||||||
Net change in unrealized appreciation (depreciation)(c) | (27) | 2 | (1) | (1) | (28) | — | — | 1 | — | ||||||||
Sales (d) | (104) | (2) | — (a) | (102) | — | — | — | — (a) | — | ||||||||
Transfers from Level 3(e) | (35) | — | — | — | (20) | — | — | (9) | (6) | ||||||||
Balance as of June 30, 2022 | $ 165 | $ — (a) | $ — | $ 158 | $ — | (a) | $ 7(b) | $ — (b) | $ — |
Assets | |
Investment in securities at value(1) | $ 54,717 |
Foreign currency at value(2) | — (a) |
Cash | 101 |
Segregated cash for options | 1,930 |
Cash pledged as collateral for over the counter swaps | 57 |
Deposits at brokers for securities sold short | 1,619 |
Swaps at value | 206 |
Unrealized appreciation on forward foreign currency exchange contracts | 251 |
Receivables | |
Investment securities sold | 74 |
Fund shares sold | 153 |
Dividends and interest | 75 |
Tax reclaims | 4 |
Prepaid Trustees’ retainer | 1 |
Prepaid expenses | 24 |
Other assets | — (a) |
Total assets | 59,212 |
Liabilities | |
Written options at value(3) | 93 |
Securities sold short(4) | 1,405 |
Swaps at value | 707 |
Unrealized depreciation on forward foreign currency exchange contracts | 10 |
Payables | |
Fund shares repurchased | 6 |
Investment securities purchased | 845 |
Investment advisory fees | 55 |
Administration and accounting fees | 5 |
Transfer agent and sub-transfer agent fees and expenses | 1 |
Professional fees | 28 |
Trustee deferred compensation plan | — (a) |
Interest expense and/or commitment fees | — (a) |
Total liabilities | 3,155 |
Net Assets | $ 56,057 |
Net Assets Consist of: | |
Capital paid in on shares of beneficial interest | $ 53,796 |
Accumulated earnings (loss) | 2,261 |
Net Assets | $ 56,057 |
Net Assets: | |
Class I | $ 56,057 |
Shares Outstanding (unlimited number of shares authorized, no par value): | |
Class I | 4,840,262 |
Net Asset Value and Redemption Price Per Share: | |
Class I | $ 11.58 |
(1) Investment in securities at cost | $ 56,039 |
(2) Foreign currency at cost | $ —(a) |
(3) Premiums paid on written options | 233 |
(4) Securities sold short proceeds | $ 1,570 |
(a) | Amount is less than $500. |
Investment Income | |
Dividends | $ 99 |
Interest | 93 |
Foreign taxes withheld | (18) |
Total investment income | 174 |
Expenses | |
Investment advisory fees | 339 |
Administration and accounting fees | 42 |
Transfer agent fees and expenses | 1 |
Custodian fees | 14 |
Printing fees and expenses | 8 |
Professional fees | 21 |
Interest expense and/or commitment fees | — (1) |
Trustees’ fees and expenses | 1 |
Miscellaneous expenses | 4 |
Total expenses | 430 |
Dividend expense and interest expense on securities sold short | 30 |
Total expenses, including dividend and interest expense on securities sold short | 460 |
Less net expenses reimbursed and/or waived by investment adviser(2) | (50) |
Net expenses | 410 |
Net investment income (loss) | (236) |
Net Realized and Unrealized Gain (Loss) on Investments | |
Net realized gain (loss) from: | |
Investments | 2,755 |
Foreign currency transactions | 4 |
Forward foreign currency exchange contracts | 175 |
Securities sold short | 53 |
Written options | (412) |
Swaps | 1,239 |
Net change in unrealized appreciation (depreciation) on: | |
Investments | (4,483) |
Securities sold short | 240 |
Foreign currency transactions | — (1) |
Forward foreign currency exchange contracts | 184 |
Written options | 131 |
Swaps | (543) |
Net realized and unrealized gain (loss) on investments | (657) |
Net increase (decrease) in net assets resulting from operations | $ (893) |
(1) | Amount is less than $500. |
(2) | See Note 4D in Notes to Financial Statements. |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $ (236) | $ (316) | |
Net realized gain (loss) | 3,814 | (145) | |
Net change in unrealized appreciation (depreciation) | (4,471) | 919 | |
Increase (decrease) in net assets resulting from operations | (893) | 458 | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class I | — | (2,516) | |
Total dividends and distributions to shareholders | — | (2,516) | |
Change in Net Assets from Capital Transactions | |||
Shares sold and cross class conversions: | |||
Class I (952,584 and 1,088,438 shares, respectively) | 11,157 | 13,623 | |
Reinvestment of distributions: | |||
Class I (— and 213,958 shares, respectively) | — | 2,516 | |
Shares repurchased and cross class conversions: | |||
Class I ((711,268) and (943,227) shares, respectively) | (8,336) | (11,705) | |
Increase (decrease) in net assets from capital transactions | 2,821 | 4,434 | |
Net increase (decrease) in net assets | 1,928 | 2,376 | |
Net Assets | |||
Beginning of period | 54,129 | 51,753 | |
End of Period | $ 56,057 | $ 54,129 |
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | |
Class I | |||||||||||||||
1/1/22 to 6/30/22(6) | $11.77 | (0.05) | (0.14) | (0.19) | — | — | — | (0.19) | $11.58 | (1.61) % | $56,057 | 1.51 % (7) | 1.69 % | (0.87) % | 86 % |
1/1/21 to 12/31/21 | 12.21 | (0.07) | 0.20 | 0.13 | — | (0.57) | (0.57) | (0.44) | 11.77 | 1.08 | 54,129 | 1.51 (7) | 1.91 | (0.57) | 164 |
1/1/20 to 12/31/20 | 11.40 | (0.02) | 0.86 | 0.84 | — | (0.03) | (0.03) | 0.81 | 12.21 | 7.38 | 51,753 | 1.46 (7) | 1.91 | (0.19) | 189 |
1/1/19 to 12/31/19 | 11.36 | 0.06 | 0.64 | 0.70 | (0.12) | (0.54) | (0.66) | 0.04 | 11.40 | 6.17 | 47,963 | 1.91 (7)(8) | 2.43 (8) | 0.48 | 172 |
1/1/18 to 12/31/18 | 10.80 | 0.14 | 0.63 | 0.77 | (0.08) | (0.13) | (0.21) | 0.56 | 11.36 | 7.09 | 41,648 | 1.84 (7) | 2.57 | 1.20 | 154 |
1/1/17 to 12/31/17 | 10.53 | 0.04 | 0.23 | 0.27 | — | — | — | 0.27 | 10.80 | 2.56 | 31,990 | 1.78 (7) | 2.51 | 0.34 | 184 |
Footnote Legend | |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | The total return does not include the expenses associated with the annuity or life insurance policy through which you invest. |
(4) | Annualized for periods less than one year. |
(5) | The Fund will also indirectly bear its prorated share of expenses of any underlying funds in which it invests. Such expenses are not included in the calculation of this ratio. |
(6) | Unaudited. |
(7) | Ratios of expenses excluding dividend expense and interest expense on securities sold short to average net assets were 1.40%. |
(8) | The amount for the year ended December 31, 2019 includes 0.05% of legal expenses related to the settlement of an appraisal right. |
A. | Security Valuation |
The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period. |
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income and capital gain distributions are recognized on the ex-dividend date, or in the case of certain foreign securities, as soon as the Fund is notified. Interest income is recorded on the accrual basis. The Fund amortizes premiums and accretes discounts using the effective interest method. Premiums on callable debt securities are amortized to interest income to the earliest call date using the effective interest method. Conversion premium is not amortized. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
Dividend income from REITs is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed their cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. | |
C. | Income Taxes |
It is the intention of the Fund to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”) and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made. | |
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. | |
Management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. The Fund’s U.S. federal income tax return is generally subject to examination by the Internal Revenue Service for a period of three years after it is filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. | |
D. | Distributions to Shareholders |
Distributions are recorded by the Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. | |
E. | Expenses |
Expenses incurred together by the Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to each fund or an alternative allocation method can be more appropriately used. | |
In addition to the net annual operating expenses that the Fund bears directly, the shareholders of the Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. | |
F. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. For fixed income securities, the Fund bifurcates that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held and such fluctuations are included with the net realized and unrealized gain or loss on foreign currency transactions. For equity securities, the Fund does not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held and such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
G. | Short Sales |
The Fund may sell securities short. A short sale is a transaction in which the Fund sells a security it does not own in anticipation of a decline in market price. To sell a security short, the Fund must borrow the security. The Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by the proceeds from the short sale retained by the broker and by cash and securities deposited in a segregated account with the Fund’s custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss, and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs. On ex-dividend date, dividends on short sales are recorded as an expense to the Fund. |
In addition, in accordance with the terms of its prime brokerage agreement, the Fund may receive rebate income or be charged a fee on borrowed securities. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security. The dividends on short sales and rebate income/fees are recorded under “Dividend expense and interest expense on securities sold short” on the Statement of Operations. | |
H. | Convertible Securities |
The Fund may invest a portion of its assets in convertible securities. Although convertible securities derive part of their value from that of the securities into which they are convertible, they are not considered derivative financial instruments. However, certain of the Fund’s investments in convertible securities include features which render them sensitive to price changes in their underlying securities. The value of structured/synthetic convertible securities can be affected by interest rate changes and credit risks of the issuer. Such securities may be structured in ways that limit their potential for capital appreciation, and the entire value of the security may be at risk of loss depending on the performance of the underlying equity security. Consequently, the Fund is exposed to greater downside risk than traditional convertible securities, but typically still less than that of the underlying stock. | |
I. | Private Investment in a Public Equity (PIPE) with Special Purpose Acquisition Companies (SPAC) |
The Fund may acquire equity securities of an issuer through a private investment in a public equity (PIPE) transaction with SPACs, including through commitments to purchase securities on a when-issued basis. A PIPE transaction typically involves the purchase of securities directly from a publicly traded company in a private placement transaction. Securities purchased through PIPE transactions will generally be restricted from trading and considered illiquid until a resale registration statement for the shares is filed and declared effective. At period end, the Fund had commitments to purchase when-issued securities through PIPE transactions with SPACs. | |
J. | Leveraged Loans |
The Fund may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Leveraged loans are generally non-investment grade and often involve borrowers that are highly leveraged. The Fund may invest in obligations of borrowers who are in bankruptcy proceedings. Leveraged loans are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the leveraged loan. The Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the leveraged loan with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the leveraged loan. When the Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. | |
The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Leveraged loans may involve foreign borrowers and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due. | |
The leveraged loans have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR, SOFR, the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a leveraged loan is purchased the Fund may pay an assignment fee. On an ongoing basis, the Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a leveraged loan. Prepayment penalty fees are received upon the prepayment of a leveraged loan by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid earned or paid. | |
K. | Warrants |
The Fund may receive warrants. Warrants are securities that are usually issued together with a debt security or preferred stock and that give the holder the right to buy a proportionate amount of common stock at a specified price. Warrants may be freely transferable and are often traded on major exchanges. Warrants normally have a life that is measured in years and entitle the holder to buy common stock of a company at a price that is usually higher than the market price at the time the warrant is issued. Warrants may entail greater risks than certain other types of investments. Generally, warrants do not carry the right to receive dividends or exercise voting rights with respect to the underlying securities, and they do not represent any rights in the assets of the issuer. In addition, their value does not necessarily change with the value of the underlying securities, and they cease to have value if they are not exercised on or before their expiration date. If the market price of the underlying stock does not exceed the exercise price during the life of the warrant, the warrant will expire worthless. Warrants may increase the potential profit or loss to be realized from the investment as compared with investing the same amount in the underlying securities. Similarly, the percentage increase or decrease in the value of an equity security warrant may be greater than the percentage increase or decrease in the value of the underlying common stock. Warrants may relate to the purchase of equity or debt securities. Debt obligations with warrants attached to purchase equity securities have many characteristics of convertible securities and their prices may, to some degree, reflect the performance of the underlying stock. Debt obligations also may be issued with warrants attached to purchase additional debt securities at the same coupon rate. A decline in interest rates would permit a Fund to sell such warrants at a profit. If interest rates rise, these warrants would generally expire with no value. | |
L. | Securities Lending |
The Fund may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when lending securities the Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan bringing the |
collateral market value in line with the required percent. Due to timing of collateral adjustments, the market value of collateral held with respect to a loaned security, may be more or less than the value of the security on loan. | |
Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. | |
Securities lending transactions are entered into by the Fund under a Master Securities Lending Agreement (“MSLA”) which permits the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. | |
As of June 30, 2022, the Fund was not loaning securities under the lending agreement with BNYM. |
A. | Futures Contracts |
A futures contract is an agreement between two parties to purchase (long) or sell (short) a security at a set price for delivery on a future date. Upon entering into a futures contract, the Fund is required to pledge to the broker an amount of cash and/or securities equal to the “initial margin” requirements of the futures exchange on which the contract is traded. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund for financial statement purposes on a daily basis as unrealized appreciation or depreciation. When the contract expires or is closed, gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed is realized. This is presented in the Statement of Operations as net realized gain (loss) from future contracts. | |
During the period ended June 30, 2022, the Fund utilized futures to optimize performance by gaining exposure to broad markets or to hedge the risk of securities within the portfolios. The potential risks of doing so are that 1) the use of futures may result in larger losses or smaller gains than the use of more traditional investments, 2) the prices of futures and the price movements of the securities that the future is intended to simulate may not correlate well, 3) the Fund’s success in using futures will be dependent upon the subadviser’s ability to correctly predict such price movements, 4) liquidity of futures can be adversely affected by market factors, and the prices of such securities may move in unexpected ways, and 5) if the Fund cannot close out a futures position, it may be compelled to continue to make daily cash payments to the broker to meet margin requirements, thus increasing transaction costs. Futures contracts outstanding at period end, if any, are listed after the Fund’s Schedule of Investments. | |
B. | Forward Foreign Currency Exchange Contracts |
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Forward foreign currency exchange contracts, when used by the Fund, help to manage the overall exposure to the currencies in which some of the investments held by the Fund are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Fund as an unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts involves the risk that the value of the contract changes unfavorably due to movements in the value of the referenced foreign currencies. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency. | |
During the period ended June 30, 2022, the Fund entered into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, foreign currencies (foreign currency exchange rate risk). | |
Forward foreign currency contracts outstanding at period end, if any, are listed after the Fund’s Schedule of Investments. | |
C. | Options Contracts |
An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price. The Fund may purchase or write both put and call options on portfolio securities. When doing so, the Fund is subject to equity price risk and/or foreign currency risk in the normal course of pursuing its investment objectives. | |
When the Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. Holdings of the Fund designated to cover outstanding written options are noted in the Schedule of Investments. Purchased options are reported as an asset within “Investment in securities at value” in the Statement of Assets and Liabilities. Written options are reported as a liability within “Written options at value.” Changes in value of the purchased option are included in “Net change in unrealized appreciation (depreciation) from investments” in the Statement of Operations. Changes in value of written options are included in “Net change in unrealized appreciation (depreciation) from written options” in the Statement of Operations. |
If an option expires unexercised, the Fund realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in “Net realized gain (loss) on investments” in the Statement of Operations. Gain or loss on written options is presented separately as “Net realized gain (loss) from written options” in the Statement of Operations. | |
The risk in writing call options is that the Fund gives up the opportunity for profit if the market price/foreign currency rate of the referenced security/ currency increases and the option is exercised. The risk in writing put options is that the Fund may incur a loss if the market price/foreign currency rate of the referenced security/currency decreases and the option is exercised. The risk in buying options is that the Fund pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value. As the writer of a covered call option, the Fund forgoes, during the option’s life, the opportunity to profit from increases in the market value of the security covering the call option above the sum of the premium and the strike price of the call, but retains the risk of loss should the price of the underlying security decline. | |
During the period ended June 30, 2022, the Fund invested in writing put/call options and buying put/call options for various purposes, including for investment purposes and as a means to hedge other investments. | |
D. | Swaps |
The Fund may enter into swap agreements, in which the Fund and a counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). The value of the swap is reflected on the Statement of Assets and Liabilities as “Swaps at value” for OTC swaps and as “variation margin receivable/payable” for centrally cleared swaps. Swaps are marked-to-market daily and changes in value are recorded as “Net change in unrealized appreciation (depreciation) on swaps” in the Statement of Operations. | |
Any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown under “Swaps at value” in the Statement of Assets and Liabilities and are amortized over the term of the swap for OTC swaps. When a swap is terminated, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract, if any. Generally, the basis of the contracts is the unamortized premium received or paid. Cash settlements between the Fund and the counterparty are recognized as “Net realized gain (loss) on swaps” in the Statement of Operations. Swap contracts outstanding at period end, if any, are listed after the Fund’s Schedule of Investments. | |
In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is submitted to a central counterparty (the “CCP”) and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through a clearing broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the clearing broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. | |
Securities deposited as margin are designated on the Schedule of Investments and cash deposited is recorded on the Statement of Assets and Liabilities as “Cash pledged as collateral for over the counter swaps”. | |
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions. | |
Total return swaps – Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. The Fund may enter into total return swaps to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). | |
The Fund may enter into equity basket swaps to obtain exposure to a portfolio of long and short securities. Under the terms of the agreement, the swap is designed to function as a portfolio of direct investments in long and short equity or fixed income positions. This means that the Fund has the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as “financing costs”. Positions within the swap are reset periodically, and financing costs are reset monthly. | |
During a reset, any unrealized gains (losses) on positions and accrued financing costs become available for cash settlement between the Fund and the swap counterparty. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of the ISDA Master Agreement (defined below in “Derivative Risks”) between the Fund and the counterparty. | |
The value of the swap is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing prices on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) |
cash balances within the swap; and (v) other factors, as applicable. The swap involves additional risks than if the Fund has invested in the underlying positions directly, including: the risk that changes in the swap may not correlate perfectly with the underlying long and short securities; credit risk related to the counterparty’s failure to perform under contract terms; and liquidity risk related to the lack of a liquid market for the swap contract, which may limit the ability of the Fund to close out its position(s). | |
During the period ended June 30, 2022, the Fund utilized total return swaps to gain exposure to broad markets or to hedge the risk of individual securities within the portfolios, obtain long or short exposure to the underlying reference instrument, obtain leverage and gain exposure to restricted markets in order to avoid the operational burden of ownership filing requirements. At June 30, 2022, the Fund did not hold swap baskets. | |
The following is a summary of derivative instruments categorized by primary risk exposure, presented in the Statement of Assets and Liabilities at June 30, 2022: |
Statement Line Description | Primary Risk | |||
Asset Derivatives | ||||
Swaps at value | Equity contracts | $ 206 | ||
Purchased options at value(1) | Equity contracts | 203 | ||
Unrealized appreciation on forward foreign currency exchange contracts | Currency contracts | 251 | ||
Total | $ 660 | |||
Liability Derivatives | ||||
Swaps at value | Equity contracts | $(707) | ||
Written options at value | Equity contracts | (93) | ||
Unrealized depreciation on forward foreign currency exchange contracts | Currency contracts | (10) | ||
Total | $(810) |
Statement Line Description | Primary Risk | |||
Net Realized Gain (Loss) from | ||||
Purchased options(1) | Equity contracts | $ 705 | ||
Forward foreign currency exchange contracts | Currency contracts | 175 | ||
Written options | Equity contracts | (412) | ||
Swaps | Equity contracts | 1,239 | ||
Total | $1,707 | |||
Net Change in Unrealized Appreciation/Depreciation on | ||||
Purchased options(2) | Equity contracts | $ 82 | ||
Forward foreign currency exchange contracts | Currency contracts | 184 | ||
Written options | Equity contracts | 131 | ||
Swaps | Equity contracts | (543) | ||
Total | $ (146) |
(2)Amount included in net change in unrealized appreciation (depreciation) on investments.
Purchased Options(1) | $95 |
Written Options(1) | (189) |
Forward Foreign Currency Exchange Purchase Contracts(2) | 2,828 |
Forward Foreign Currency Exchange Sale Contracts(2) | 4,493 |
Long Total Return Swap Contracts(2) | 7,456 |
Short Total Return Swap Contracts(2) | (3,806) |
(1) Average premium amount. |
(2) Average notional amount. |
E. | Derivative Risks |
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract. | |
The Fund’s risk of loss from counterparty credit risk on derivatives bought or sold OTC, rather than traded on a securities exchange, is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund. For OTC purchased options, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund, and not the counterparty to perform. | |
With exchange traded purchased options and futures and centrally cleared swaps generally speaking, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund. | |
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. | |
F. | Collateral Requirements and Master Netting Agreements (“MNA”) |
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. | |
Cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Fund, if any, is noted in the Schedules of Investments. Typically, the Fund and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. | |
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. | |
The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under a MNA and net of the related collateral received/pledged by the Fund as of June 30, 2022: |
At June 30, 2022, the Fund’s derivative assets and liabilities (by type) are as follows: | |||||
Assets | Liabilities | ||||
Derivative Financial Instruments: | |||||
Forward foreign currency exchange contracts | $ 251 | $ 10 | |||
Purchased options at value | 203 | — | |||
Swaps at value | 206 | 707 | |||
Written options | — | 93 | |||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | $ 660 | $810 | |||
Derivatives not subject to a MNA or similar agreement | (203) | (93) | |||
Total assets and liabilities subject to a MNA | $ 457 | $717 |
Counterparty | Derivative Assets Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-Cash Collateral Received | Cash Collateral Received | Net Amount of Derivative Assets | |||||
Bank of America-Merrill Lynch | $ 16 | $ (16) | $— | $— | $ — | |||||
Goldman Sachs & Co. | 333 | (333) | — | — | — | |||||
JPMorgan Chase Bank N.A. | 108 | (79) | — | — | 29 | |||||
Total | $457 | $(428) | $— | $— | $29 |
Counterparty | Derivatives Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(1) | |||||
Bank of America-Merrill Lynch | $ 30 | $ (16) | $— | $ (14) | $— | |||||
Goldman Sachs & Co. | 608 | (333) | — | (275) | — | |||||
JPMorgan Chase Bank N.A. | 79 | (79) | — | — | — | |||||
Total | $717 | $(428) | $— | $(289) | $— |
A. | Investment Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Fund. The Adviser manages the Fund’s investment programs and general operations of the Fund, including oversight of the Fund’s subadviser. | |
As compensation for its services to the Fund, the Adviser receives a fee at an annual rate of 1.25% of the Fund’s average daily net assets, which is calculated daily and paid monthly. |
B. | Subadviser |
Westchester Capital Management, LLC (“Subadviser”), is the subadviser to the Fund. The Subadviser manages the investments of the Fund, for which it is paid a fee by the Adviser. | |
C. | Expense Limitations |
The Adviser has contractually agreed to limit the Fund’s annual total operating expenses, subject to the exceptions listed below, so that such expenses do not exceed, 1.40% of the Fund’s Class I average daily net assets on an annualized basis, through September 30, 2023. Following the contractual period, the Adviser may discontinue these expense limitation arrangements at any time. The waivers and reimbursements are accrued daily and received monthly. | |
The exclusions include brokerage commissions, short dividends, interest expense, taxes, acquired fund fees and expenses or extraordinary expenses. | |
D. | Expense Recapture |
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. The Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the period ending: |
Expiration | ||||||||
2022 | 2023 | 2024 | 2025 | Total | ||||
$ 224 | $ 218 | $ 224 | $ 50 | $ 716 |
E. | Distributor |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of the Fund’s shares. For the period ended June 30, 2022, the Fund did not incur distribution fees. | |
F. | Administrator |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as administrator to the Fund. | |
For the six months (the “period”) ended June 30, 2022, the Fund incurred administration fees totaling $25, which are included in the Statement of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
G. | Investments with Affiliates |
The Fund is permitted to purchase assets from or sell assets to certain affiliates under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of assets by the Fund from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers comply with Rule 17a-7 under the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. | |
During the period ended June 30, 2022, the Fund did not engage in any transactions pursuant to Rule 17a-7 under the 1940 Act. | |
H. | Trustee Compensation |
The Fund provides a deferred compensation plan for its Trustees who receive compensation from the Fund. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Fund, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statement of Assets and Liabilities at June 30, 2022. |
Purchases | Sales | |
$39,060 | $39,054 |
% of Shares Outstanding | Number of Accounts1 | |
83 % | 2 |
1 | Neither of the accounts is affiliated. |
Sector | Percentage of Total Investments | |
Information Technology | 33.6%* |
Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Investments (including purchased options) | $ 54,442 | $ 1,444 | $ (2,925) | $ (1,481) | |||
Written options | (233) | 151 | (11) | 140 |
Short-Term | Long-Term | |
$550 | $— |
Mutual Fund Services | 1-800-367-5877 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-367-5877.
please contact us at 1-800-367-5877, or visit Virtus.com.
8465 | 08-22 |
Item 2. Code of Ethics.
Response not required for semi-annual report.
Item 3. Audit Committee Financial Expert.
Response not required for semi-annual report.
Item 4. Principal Accountant Fees and Services.
Response not required for semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Response not required for semi-annual report.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Trustees that were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) |
(a)(2)(1) | Not applicable. |
(a)(2)(2) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) The Merger Fund® VL |
By (Signature and Title)* | /s/ George R. Aylward | |||
George R. Aylward, President and Chief Executive Officer | ||||
(principal executive officer) | ||||
Date 9/1/22 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ George R. Aylward | |||
George R. Aylward, President and Chief Executive Officer | ||||
(principal executive officer) | ||||
Date 9/1/22 | ||||
By (Signature and Title)* | /s/ W. Patrick Bradley | |||
W. Patrick Bradley, Executive Vice President, | ||||
Chief Financial Officer, and Treasurer | ||||
(principal financial officer) | ||||
Date 9/1/22 |
* | Print the name and title of each signing officer under his or her signature. |