WCM Alternatives: Event-Driven Fund | |||||||||
SCHEDULE OF INVESTMENTS | |||||||||
March 31, 2021 (Unaudited) | |||||||||
Shares | Value | ||||||||
LONG INVESTMENTS - 90.29% | |||||||||
COMMON STOCKS - 17.55% | |||||||||
AEROSPACE & DEFENSE - 0.75% | |||||||||
Aerojet Rocketdyne Holdings, Inc. (e) | 45,643 | $ | 2,143,395 | ||||||
APPLICATION SOFTWARE - 0.47% | |||||||||
Pluralsight, Inc. Class A (a) | 60,929 | 1,361,154 | |||||||
SEMrush Holdings, Inc. Class A (a) | 150 | 1,786 | |||||||
1,362,940 | |||||||||
BIOTECHNOLOGY - 0.49% | |||||||||
Alexion Pharmaceuticals, Inc. (a) | 145 | 22,172 | |||||||
China Biologic Products Holdings, Inc. - ADR (a) | 11,701 | 1,385,515 | |||||||
1,407,687 | |||||||||
CHEMICALS - 1.61% | |||||||||
DuPont de Nemours, Inc. (e)(j) | 25,257 | 1,951,861 | |||||||
International Flavors & Fragrances, Inc. (e)(j) | 19,125 | 2,670,041 | |||||||
4,621,902 | |||||||||
CONTAINERS & PACKAGING - 0.25% | |||||||||
Crown Holdings, Inc. (e)(j) | 7,500 | 727,800 | |||||||
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.00% | |||||||||
Coherent, Inc. (a)(e)(j) | 11,323 | 2,863,474 | |||||||
ENTERTAINMENT - 0.19% | |||||||||
Glu Mobile, Inc. (a) | 44,253 | 552,277 | |||||||
HEALTH CARE EQUIPMENT - 0.08% | |||||||||
Varian Medical Systems, Inc. (a) | 1,377 | 243,082 | |||||||
INSURANCE - 0.02% | |||||||||
Syncora Holdings Ltd. - ADR (a) | 226,178 | 70,115 | |||||||
INSURANCE BROKERS - 0.23% | |||||||||
Willis Towers Watson plc - ADR (e) | 2,850 | 652,308 | |||||||
INTEGRATED TELECOMMUNICATION SERVICES - 0.21% | |||||||||
Cincinnati Bell, Inc. (a) | 38,981 | 598,358 | |||||||
INTERACTIVE MEDIA & SERVICES - 0.56% | |||||||||
IAC/InterActiveCorp (a)(e)(j) | 4,078 | 882,112 | |||||||
Sogou, Inc. - ADR (a) | 97,660 | 737,333 | |||||||
1,619,445 | |||||||||
INTERNET & DIRECT MARKETING RETAIL - 0.56% | |||||||||
eBay, Inc. (e)(j) | 26,200 | 1,604,488 | |||||||
LIFE & HEALTH INSURANCE - 1.68% | |||||||||
American Equity Investment Life Holding Company (j) | 2,918 | 92,005 | |||||||
Athene Holding Ltd. - ADR (a) | 92,798 | 4,677,018 | |||||||
Genworth Financial, Inc. Class A (a) | 15,670 | 52,024 | |||||||
Oscar Health, Inc. Class A (a) | 300 | 8,064 | |||||||
4,829,111 | |||||||||
LIFE SCIENCES TOOLS & SERVICES - 0.42% | |||||||||
PRA Health Sciences, Inc. (a)(e) | 7,809 | 1,197,354 | |||||||
METALS & MINING - 0.10% | |||||||||
Pan American Silver Corporation (a)(b) | 322,499 | 280,574 | |||||||
OIL & GAS REFINING & MARKETING - 0.11% | |||||||||
Marathon Petroleum Corporation (j) | 5,700 | 304,893 | |||||||
OIL, GAS & CONSUMABLE FUELS - 0.79% | |||||||||
Royal Dutch Shell plc Class B - ADR (e) | 61,718 | 2,273,074 | |||||||
PHARMACEUTICALS - 2.41% | |||||||||
Aphria, Inc. - ADR (a)(e) | 115,977 | 2,130,498 | |||||||
GW Pharmaceuticals plc - ADR (a)(e) | 15,791 | 3,425,068 | |||||||
TPCO Holding Corporation - ADR (a) | 182,408 | 1,353,467 | |||||||
6,909,033 | |||||||||
RAILROADS - 1.28% | |||||||||
Kansas City Southern (e) | 13,951 | 3,681,948 | |||||||
REITS - 0.29% | |||||||||
Brookfield Property Partners LP (b) | 47,156 | 838,905 | |||||||
RESEARCH & CONSULTING SERVICES - 1.72% | |||||||||
CoreLogic, Inc. (e)(j) | 62,451 | 4,949,242 | |||||||
SEMICONDUCTORS - 1.43% | |||||||||
Inphi Corporation (a)(e) | 3,836 | 684,381 | |||||||
Magnachip Semiconductor Corporation (a) | 77,664 | 1,933,834 | |||||||
Maxim Integrated Products, Inc. (a)(e) | 13,206 | 1,206,632 | |||||||
Xilinx, Inc. (a) | 2,386 | 295,625 | |||||||
4,120,472 | |||||||||
SPECIALITY CHEMICALS - 0.00% | |||||||||
Diversey Holdings Ltd. - ADR (a) | 43 | 633 | |||||||
SPECIALTY STORES - 0.14% | |||||||||
The Michaels Cos, Inc. (a)(j) | 17,892 | 392,551 | |||||||
WIRELESS TELECOMMUNICATION SERVICES - 0.76% | |||||||||
Vodafone Group plc - ADR (e)(j) | 117,800 | 2,171,054 | |||||||
TOTAL COMMON STOCKS (Cost $49,193,359) | 50,416,115 | ||||||||
Shares/Units | |||||||||
SPECIAL PURPOSE ACQUISITION COMPANIES - 46.48% (a) | |||||||||
26 Capital Acquisition Corporation | 51,600 | 518,064 | |||||||
890 5th Avenue Partners, Inc. Class A (e) | 52,000 | 517,400 | |||||||
Accelerate Acquisition Corporation | 95,761 | 950,907 | |||||||
ACE Convergence Acquisition Corporation Class A - ADR | 84,443 | 841,897 | |||||||
Ackrell Spac Partners I Company (e) | 112,200 | 1,138,830 | |||||||
Ajax I Class A - ADR (e) | 284,542 | 2,919,401 | |||||||
Altimar Acquisition Corporation II - ADR | 19,400 | 197,878 | |||||||
Altimar Acquisition Corporation III - ADR | 12,014 | 120,140 | |||||||
Altitude Acquisition Corporation Class A | 37,388 | 375,002 | |||||||
Anzu Special Acquisition Corporation I | 56,956 | 568,421 | |||||||
Apollo Strategic Growth Capital Class A - ADR | 64,557 | 639,114 | |||||||
Archimedes Tech SPAC Partners Company | 56,647 | 560,239 | |||||||
Ares Acquisition Corporation - ADR | 108,633 | 1,086,330 | |||||||
Arrowroot Acquisition Corporation (f) | 91,466 | 907,800 | |||||||
Artius Acquisition, Inc. - ADR | 146,583 | 1,480,488 | |||||||
Ascendant Digital Acquisition Corporation Class A - ADR | 56,927 | 563,577 | |||||||
Atlas Crest Investment Corporation II | 53,300 | 533,266 | |||||||
Aurora Acquisition Corporation - ADR | 20,637 | 213,593 | |||||||
Austerlitz Acquisition Corporation I - ADR | 56,566 | 567,923 | |||||||
Austerlitz Acquisition Corporation II - ADR | 56,500 | 566,695 | |||||||
Authentic Equity Acquisition Corporation - ADR | 51,000 | 504,390 | |||||||
Avanti Acquisition Corporation Class A - ADR | 171,808 | 1,678,564 | |||||||
Bespoke Capital Acquisition Corporation Class A - ADR | 81,328 | 811,653 | |||||||
Biotech Acquisition Company - ADR | 10,000 | 98,900 | |||||||
BlueRiver Acquisition Corporation - ADR | 26,000 | 259,220 | |||||||
BowX Acquisition Corporation Class A | 34,898 | 407,609 | |||||||
Bridgetown 2 Holdings Ltd. Class A - ADR | 10,000 | 102,400 | |||||||
Bright Lights Acquisition Corporation Class A | 21,110 | 202,656 | |||||||
Bright Lights Acquisition Corporation | 205,886 | 2,036,213 | |||||||
Build Acquisition Corporation | 9,251 | 91,307 | |||||||
Burgundy Technology Acquisition Corporation - ADR | 25,936 | 282,573 | |||||||
Burgundy Technology Acquisition Corporation Class A - ADR | 75,744 | 749,108 | |||||||
CA Healthcare Acquisition Corporation | 27,128 | 268,567 | |||||||
Carney Technology Acquisition Corporation II | 30,113 | 302,937 | |||||||
CC Neuberger Principal Holdings II Class A - ADR (e) | 249,991 | 2,464,911 | |||||||
CC Neuberger Principal Holdings III - ADR | 54,900 | 548,451 | |||||||
CF Acquisition Corporation IV | 84,803 | 829,797 | |||||||
CF Acquisition Corporation VI | 28,500 | 282,720 | |||||||
CF Acquisition Corporation VIII | 57,044 | 565,876 | |||||||
CHP Merger Corporation (f) | 54,178 | 559,117 | |||||||
CHP Merger Corporation Class A | 72,602 | 719,486 | |||||||
Class Acceleration Corporation | 53,000 | 524,700 | |||||||
Climate Real Impact Solutions II Acquisition Corporation | 27,128 | 271,280 | |||||||
Cohn Robbins Holdings Corporation Class A - ADR | 110,022 | 1,081,516 | |||||||
Colicity, Inc. Class A (e) | 54,772 | 553,197 | |||||||
Colonnade Acquisition Corporation II - ADR | 56,454 | 556,072 | |||||||
Compute Health Acquisition Corporation Class C | 55,400 | 558,986 | |||||||
Concord Acquisition Corporation | 111,474 | 1,090,216 | |||||||
Conx Corporation Class A (e) | 231,080 | 2,303,868 | |||||||
Corner Growth Acquisition Corporation - ADR | 62,019 | 626,392 | |||||||
COVA Acquisition Corporation - ADR | 55,500 | 552,225 | |||||||
Crucible Acquisition Corporation | 5,600 | 58,408 | |||||||
D & Z Media Acquisition Corporation | 15,838 | 156,638 | |||||||
D8 Holdings Corporation Class A - ADR | 10,300 | 102,382 | |||||||
Decarbonization Plus Acquisition Corporation II | 27,600 | 277,656 | |||||||
Deep Lake Capital Acquisition Corporation - ADR | 122,341 | 1,230,750 | |||||||
Delwinds Insurance Acquisition Corporation | 52,374 | 523,216 | |||||||
DFP Healthcare Acquisitions Corporation Class A (e)(f) | 120,954 | 1,204,702 | |||||||
DiamondHead Holdings Corporation | 27,100 | 268,561 | |||||||
DigitalOcean Holdings, Inc. | 100 | 4,213 | |||||||
Dragoneer Growth Opportunities Corporation III - ADR | 13,118 | 132,623 | |||||||
E.Merge Technology Acquisition Corporation Class A | 73,998 | 721,480 | |||||||
Equity Distribution Acquisition Corporation Class A | 195,973 | 1,942,092 | |||||||
ESM Acquisition Corporation - ADR | 56,454 | 561,153 | |||||||
Falcon Capital Acquisition Corporation Class A | 112,397 | 1,120,598 | |||||||
Far Peak Acquisition Corporation Class A - ADR | 56,216 | 549,230 | |||||||
Far Peak Acquisition Corporation - ADR | 122,741 | 1,239,684 | |||||||
FinServ Acquisition Corporation II | 28,500 | 284,002 | |||||||
Fintech Evolution Acquisition Group - ADR | 36,677 | 362,002 | |||||||
FirstMark Horizon Acquisition Corporation Class A | 14,900 | 156,748 | |||||||
Foley Trasimene Acquisition Corporation | 43,003 | 431,750 | |||||||
Foresight Acquisition Corporation | 33,133 | 328,348 | |||||||
Fortistar Sustainable Solutions Corporation | 47,426 | 469,992 | |||||||
Fortress Capital Acquisition Corporation - ADR | 124,986 | 1,251,110 | |||||||
Fortress Value Acquisition Corporation IV | 16,404 | 162,400 | |||||||
Frazier Lifesciences Acquisition Corporation Class A - ADR | 53,515 | 543,712 | |||||||
FTAC Athena Acquisition Corporation - ADR | 65,285 | 652,850 | |||||||
FTAC Hera Acquisition Corporation - ADR | 37,333 | 372,957 | |||||||
Fusion Acquisition Corporation Class A | 163,353 | 1,626,996 | |||||||
Fusion Acquisition Corporation II | 15,500 | 153,915 | |||||||
G Squared Ascend I, Inc. - ADR | 86,194 | 861,940 | |||||||
Galileo Acquisition Corporation - ADR | 126,337 | 1,263,370 | |||||||
GigCapital4, Inc. | 28,088 | 277,229 | |||||||
Goal Acquisitions Corporation | 272,843 | 2,731,158 | |||||||
Golden Falcon Acquisition Corporation Class A | 125,274 | 1,211,400 | |||||||
Gores Holdings V, Inc. | 2 | 18 | |||||||
Gores Holdings V, Inc. Class A | 65,639 | 655,077 | |||||||
Gores Technology Partners, Inc. | 1,000 | 10,010 | |||||||
GS Acquisition Holdings Corporation Class A | 150,429 | 1,568,974 | |||||||
Haymaker Acquisition Corporation III | 28,814 | 286,411 | |||||||
Healthcare Services Acquisition Corporation Class A | 128,000 | 1,239,040 | |||||||
Hennessy Capital Investment Corporation V | 44,900 | 454,388 | |||||||
HH&L Acquisition Company - ADR | 27,208 | 274,801 | |||||||
Highcape Capital Acquisition Corporation Class A | 101,454 | 1,209,332 | |||||||
Highland Transcend Partners I Corporation - ADR | 20,000 | 201,200 | |||||||
Hudson Executive Investment Corporation Class A | 125,119 | 1,241,180 | |||||||
Hudson Executive Investment Corporation II | 54,000 | 529,740 | |||||||
Independence Holdings Corporation - ADR | 56,180 | 561,800 | |||||||
INSU Acquisition Corporation III | 61,265 | 618,777 | |||||||
InterPrivate II Acquisition Corporation | 55,833 | 552,188 | |||||||
InterPrivate III Financial Partners, Inc. | 55,833 | 550,513 | |||||||
InterPrivate IV InfraTech Partners, Inc. | 55,833 | 552,747 | |||||||
Isleworth Healthcare Acquisition Corporation | 7,075 | 68,557 | |||||||
Jack Creek Investment Corporation - ADR | 54,000 | 535,140 | |||||||
Jaws Mustang Acquisition Corporation - ADR | 25,000 | 253,750 | |||||||
Jaws Spitfire Acquisition Corporation - ADR | 14,836 | 158,003 | |||||||
Kairos Acquisition Corporation - ADR (e) | 129,553 | 1,296,826 | |||||||
Kensington Capital Acquisition Corporation II | 56,300 | 577,638 | |||||||
Khosla Ventures Acquisition Company | 13,503 | 136,380 | |||||||
Khosla Ventures Acquisition Company III Class A | 38,902 | 387,464 | |||||||
KL Acquisition Corporation Class A | 159,999 | 1,551,990 | |||||||
KludeIn I Acquisition Corporation | 20,000 | 199,000 | |||||||
Legato Merger Corporation | 19,214 | 194,638 | |||||||
Lerer Hippeau Acquisition Corporation Class A | 55,833 | 552,747 | |||||||
LGL Systems Acquisition Corporation Class A (e) | 119,152 | 1,184,371 | |||||||
Liberty Media Acquisition Corporation | 2,792 | 29,902 | |||||||
Longview Acquisition Corporation II | 43,846 | 440,214 | |||||||
Marlin Technology Corporation - ADR | 174,681 | 1,678,684 | |||||||
Marlin Technology Corporation Class A - ADR | 2 | 20 | |||||||
Marquee Raine Acquisition Corporation - ADR | 132,736 | 1,347,270 | |||||||
Mason Industrial Technology, Inc. | 53,675 | 533,530 | |||||||
Medicus Sciences Acquisition Corporation - ADR | 60,000 | 591,000 | |||||||
Montes Archimedes Acquisition Corporation Class A | 119,312 | 1,166,871 | |||||||
Motive Capital Corporation Class A - ADR | 50,286 | 492,803 | |||||||
The Music Acquisition Corporation | 54,900 | 547,902 | |||||||
Nebula Caravel Acquisition Corporation | 56,348 | 558,972 | |||||||
New Vista Acquisition Corporation - ADR | 135,609 | 1,354,734 | |||||||
Newbury Street Acquisition Corporation | 57,099 | 564,709 | |||||||
NextGen Acquisition Corporation Class A - ADR | 30,653 | 304,078 | |||||||
NextGen Acquisition Corporation II - ADR | 101,946 | 1,009,265 | |||||||
Noble Rock Acquisition Corporation - ADR | 83,381 | 824,638 | |||||||
North Atlantic Acquisition Corporation - ADR | 55,461 | 551,837 | |||||||
Northern Genesis Acquisition Corporation II | 58,700 | 601,088 | |||||||
Northern Star Investment Corporation II | 110,310 | 1,103,100 | |||||||
Novus Capital Corporation II | 27,600 | 276,000 | |||||||
Omega Alpha SPAC - ADR | 113,424 | 1,122,898 | |||||||
One Equity Partners Open Water I Corporation | 84,160 | 839,075 | |||||||
Pathfinder Acquisition Corporation - ADR | 55,514 | 549,589 | |||||||
Peridot Acquisition Corporation II - ADR | 46,817 | 465,361 | |||||||
Pershing Square Tontine Holdings Ltd. Class A (j) | 12,829 | 308,024 | |||||||
Pioneer Merger Corporation - ADR | 54,104 | 540,499 | |||||||
Pivotal Investment Corporation III | 53,401 | 534,010 | |||||||
Plum Acquisition Corporation I - ADR | 86,629 | 861,959 | |||||||
Pontem Corporation Class A - ADR | 149,373 | 1,445,931 | |||||||
Power & Digital Infrastructure Acquisition Corporation | 28,000 | 281,400 | |||||||
Prime Impact Acquisition I - ADR | 13,873 | 137,343 | |||||||
Prime Impact Acquisition I Class A - ADR | 108,775 | 1,058,381 | |||||||
Priveterra Acquisition Corporation | 55,621 | 552,873 | |||||||
Progress Acquisition Corporation | 6,042 | 59,514 | |||||||
Property Solutions Acquisition Corporation II | 28,061 | 275,840 | |||||||
Prospector Capital Corporation Class A - ADR | 122,268 | 1,189,668 | |||||||
Qell Acquisition Corporation Class A - ADR | 39,996 | 407,159 | |||||||
Queen's Gambit Growth Capital - ADR | 32,232 | 325,221 | |||||||
RedBall Acquisition Corporation Class A - ADR | 36,523 | 363,404 | |||||||
Reinvent Technology Partners Class Y - ADR | 59,599 | 598,374 | |||||||
Revolution Acceleration Acquisition Corporation Class A | 26,528 | 268,994 | |||||||
RMG Acquisition Corporation III - ADR | 104,475 | 1,039,526 | |||||||
Rocket Internet Growth Opportunities Corporation - ADR | 66,999 | 670,660 | |||||||
Roman DBDR Tech Acquisition Corporation | 56,518 | 562,354 | |||||||
Ross Acquisition Corporation II - ADR | 49,115 | 489,185 | |||||||
ScION Tech Growth I - ADR (e) | 368,025 | 3,606,645 | |||||||
ScION Tech Growth II - ADR | 56,000 | 557,760 | |||||||
SCP & CO Healthcare Acquisition Company | 54,000 | 538,380 | |||||||
SCVX Corporation Class A - ADR | 21,403 | 211,034 | |||||||
Senior Connect Acquisition Corporation I Class A | 50,288 | 488,799 | |||||||
Simon Property Group Acquisition Holdings, Inc. | 54,720 | 549,936 | |||||||
Soaring Eagle Acquisition Corporation - ADR | 57,000 | 576,840 | |||||||
Spartan Acquisition Corporation III | 56,149 | 563,174 | |||||||
Sports Entertainment Acquisition Corporation | 46,146 | 473,458 | |||||||
Starboard Value Acquisition Corporation Class A | 88,104 | 874,873 | |||||||
Supernova Partners Acquisition Company III Ltd. - ADR | 66,817 | 668,170 | |||||||
Sustainable Development Acquisition I Corporation | 50,000 | 497,500 | |||||||
SVF Investment Corporation 2 - ADR | 4,000 | 40,400 | |||||||
SVF Investment Corporation 3 - ADR | 4,000 | 40,400 | |||||||
Tailwind Acquisition Corporation Class A | 73,616 | 730,271 | |||||||
Thimble Point Acquisition Corporation | 108,519 | 1,085,190 | |||||||
Thunder Bridge Capital Partners III, Inc. | 143,492 | 1,419,136 | |||||||
Tishman Speyer Innovation Corporation II | 107,879 | 1,078,790 | |||||||
TPG Pace Tech Opportunities Corporation Class A - ADR | 138,798 | 1,375,488 | |||||||
Trebia Acquisition Corporation Class A - ADR | 131,943 | 1,314,152 | |||||||
Tribe Capital Growth Corporation I | 50,250 | 505,013 | |||||||
Tuscan Holdings Corporation II | 134,424 | 1,356,338 | |||||||
TWC Tech Holdings II Corporation Class A | 183,422 | 1,804,872 | |||||||
Twelve Seas Investment Company II | 11,061 | 108,951 | |||||||
TZP Strategies Acquisition Corporation - ADR | 30,925 | 308,013 | |||||||
VectoIQ Acquisition Corporation II | 116,523 | 1,180,378 | |||||||
VG Acquisition Corporation Class A - ADR | 52,394 | 532,847 | |||||||
Virgin Group Acquisition Corporation II - ADR | 100,683 | 999,782 | |||||||
Virtuoso Acquisition Corporation | 68,746 | 677,836 | |||||||
Vy Global Growth Class A - ADR | 129,873 | 1,314,315 | |||||||
Yucaipa Acquisition Corporation Class A - ADR | 116,429 | 1,146,826 | |||||||
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES (Cost $134,828,449) | 133,539,263 | ||||||||
Shares | |||||||||
PRIVATE INVESTMENT IN PUBLIC EQUITY - 0.27% (a)(f)(l) | |||||||||
Ascendant Digital Acquisition Corporation Class A (b) | 27,000 | 270,000 | |||||||
Tuscan Holdings Corporation | 50,000 | 500,000 | |||||||
TOTAL PRIVATE INVESTMENT IN PUBLIC EQUITY (Cost $770,000) | 770,000 | ||||||||
CLOSED-END FUNDS - 2.17% (e) | |||||||||
Apollo Senior Floating Rate Fund, Inc. | 11,127 | 165,347 | |||||||
BlackRock Floating Rate Income Strategies Fund, Inc. | 9,611 | 124,943 | |||||||
BlackRock MuniYield Quality Fund III, Inc. | 77,879 | 1,110,554 | |||||||
First Trust Senior Floating Rate Income Fund II | 5,810 | 71,231 | |||||||
Invesco Senior Income Trust | 64,480 | 270,816 | |||||||
Nuveen Intermediate Duration Municipal Term Fund | 185,935 | 2,655,152 | |||||||
Nuveen Municipal Credit Income Fund | 48,255 | 779,801 | |||||||
Nuveen New York AMT-Free Quality Municipal Income Fund | 58,257 | 795,208 | |||||||
Voya Prime Rate Trust | 55,805 | 258,935 | |||||||
TOTAL CLOSED-END FUNDS (Cost $6,099,930) | 6,231,987 | ||||||||
PREFERRED STOCKS - 1.89% | |||||||||
Brookfield Property REIT, Inc. 6.375% Series A | 2,092 | 51,735 | |||||||
Freddie Mac, 8.375%, Series Z (a)(e) | 537,348 | 2,708,234 | |||||||
GMAC Capital Trust I, 5.983% ( 3 Month U.S. LIBOR +5.785%), 2/15/2040, Series 2 (e) | 39,471 | 1,005,721 | |||||||
Pebblebrook Hotel Trust, 6.375%, Series E | 3,515 | 86,575 | |||||||
Qurate Retail, Inc. 8.000% | 15,411 | 1,566,528 | |||||||
TOTAL PREFERRED STOCKS (Cost $6,126,560) | 5,418,793 | ||||||||
CONTINGENT VALUE RIGHTS - 0.12% (a)(f) | |||||||||
Alder Biopharmaceuticals, Inc. | 194,778 | 223,995 | |||||||
Ligand Pharmaceuticals | 113,683 | 127,893 | |||||||
Media General, Inc. (e) | 42,852 | 1,286 | |||||||
TOTAL CONTINGENT VALUE RIGHTS (Cost $0) | 353,174 | ||||||||
RIGHTS - 0.06% (a) | |||||||||
Bristol-Myers Squibb Company | 169,085 | 173,312 | |||||||
TOTAL RIGHTS (Cost $0) | 173,312 | ||||||||
WARRANTS - 1.38% (a) | |||||||||
ACE Convergence Acquisition Corporation Class A | |||||||||
Expiration: September 2027, Exercise Price: $11.50 (b) | 48,601 | 94,772 | |||||||
Ajax I Class A | |||||||||
Expiration: December 2026, Exercise Price: $11.50 (b) | 65,868 | 111,317 | |||||||
Akazoo S.A. | |||||||||
Expiration: December 2024, Exercise Price: $11.50 (b)(d)(g) | 35,748 | – | |||||||
Altitude Acquisition Corporation Class A | |||||||||
Expiration: November 2027, Exercise Price: $11.50 | 8,107 | 13,782 | |||||||
Apollo Strategic Growth Capital Class A | |||||||||
Expiration: October 2027, Exercise Price: $11.50 (b) | 21,519 | 27,114 | |||||||
ArcLight Clean Transition Corporation | |||||||||
Expiration: September 2027, Exercise Price: $11.50 (b) | 87,500 | 500,500 | |||||||
Ascendant Digital Acquisition Corporation Class A | |||||||||
Expiration: December 2025, Exercise Price: $11.50 (b) | 35,022 | 35,372 | |||||||
Avanti Acquisition Corporation Class A | |||||||||
Expiration: December 2025, Exercise Price: $11.50 (b) | 23,300 | 24,465 | |||||||
BowX Acquisition Corporation Class A | |||||||||
Expiration: December 2025, Exercise Price: $11.50 | 22,422 | 47,983 | |||||||
CC Neuberger Principal Holdings II Class A | |||||||||
Expiration: July 2025, Exercise Price: $11.50 (b) | 26,370 | 29,023 | |||||||
CEC BRANDS LLC | |||||||||
Expiration: December 2025 , Exercise Price: $21.88 (d)(g) | 45,120 | 56,400 | |||||||
ChargePoint Holdings, Inc. | |||||||||
Expiration: February 2026, Exercise Price: $11.50 | 45,400 | 687,810 | |||||||
CHP Merger Corporation Class A | |||||||||
Expiration: November 2024, Exercise Price: $11.50 | 20,060 | 16,048 | |||||||
Churchill Capital Corporation IV Class A | |||||||||
Expiration: September 2025, Exercise Price: $11.50 | 2,058 | 22,947 | |||||||
Cohn Robbins Holdings Corporation Class A | |||||||||
Expiration: August 2025, Exercise Price: $11.50 (b) | 36,674 | 44,009 | |||||||
Conx Corporation Class A | |||||||||
Expiration: October 2027, Exercise Price: $11.50 | 57,770 | 71,057 | |||||||
D8 Holdings Corporation Class A | |||||||||
Expiration: August 2027, Exercise Price: $11.50 (b) | 5,150 | 5,922 | |||||||
Dragoneer Growth Opportunities Corporation Class A | |||||||||
Expiration: August 2025, Exercise Price: $11.50 (b) | 800 | 1,272 | |||||||
E.Merge Technology Acquisition Corporation Class A | |||||||||
Expiration: July 2025, Exercise Price: $11.50 | 24,666 | 23,433 | |||||||
Falcon Capital Acquisition Corporation Class A | |||||||||
Expiration: August 2027, Exercise Price: $11.50 | 3,209 | 4,942 | |||||||
Foley Trasimene Acquisition Corporation | |||||||||
Expiration: July 2025, Exercise Price: $11.50 | 7,595 | 12,152 | |||||||
Fusion Acquisition Corporation Class A | |||||||||
Expiration: June 2027, Exercise Price: $11.50 | 53,893 | 62,516 | |||||||
Galileo Acquisition Corporation | |||||||||
Expiration: October 2026, Exercise Price: $11.50 (b) | 126,337 | 69,485 | |||||||
GCM Grosvenor, Inc. Class A | |||||||||
Expiration: November 2025, Exercise Price: $11.50 | 50,877 | 59,526 | |||||||
Golden Falcon Acquisition Corporation Class A | |||||||||
Expiration: November 2026, Exercise Price: $11.50 | 62,637 | 44,472 | |||||||
Gores Holdings V, Inc. Class A | |||||||||
Expiration: August 2027, Exercise Price: $11.50 | 5,119 | 7,934 | |||||||
Healthcare Services Acquisition Corporation Class A | |||||||||
Expiration: December 2027, Exercise Price: $11.50 | 64,000 | 40,320 | |||||||
Highcape Capital Acquisition Corporation Class A | |||||||||
Expiration: September 2027, Exercise Price: $11.50 | 24,671 | 80,674 | |||||||
Hudson Executive Investment Corporation | |||||||||
Expiration: June 2025, Exercise Price: $11.50 | 55,361 | 80,273 | |||||||
International General Insurance Holdings Ltd. | |||||||||
Expiration: March 2025, Exercise Price: $11.50 (b)(f) | 20,975 | 18,668 | |||||||
Isleworth Healthcare Acquisition Corporation | |||||||||
Expiration: August 2027, Exercise Price: $11.50 | 3,538 | 1,650 | |||||||
Juniper Industrial Holdings, Inc. Class A | |||||||||
Expiration: November 2026, Exercise Price: $11.50 | 4,492 | 12,353 | |||||||
Kaixin Auto Holdings | |||||||||
Expiration: April 2024, Exercise Price: $11.50 (b) | 48,712 | 7,185 | |||||||
KL Acquisition Corporation Class A | |||||||||
Expiration: January 2028, Exercise Price: $11.50 | 53,333 | 34,666 | |||||||
LGL Systems Acquisition Corporation Class A | |||||||||
Expiration: November 2026, Exercise Price: $11.50 | 59,576 | 75,066 | |||||||
Marlin Technology Corporation Class A | |||||||||
Expiration: March 2026, Exercise Price: $11.50 (b) | 58,227 | 42,506 | |||||||
Montes Archimedes Acquisition Corporation Class A | |||||||||
Expiration: December 2025, Exercise Price: $11.50 | 59,656 | 50,708 | |||||||
Motive Capital Corporation Class A | |||||||||
Expiration: December 2025, Exercise Price: $11.50 (b) | 16,762 | 14,751 | |||||||
Northern Star Investment Corporation II | |||||||||
Expiration: January 2028, Exercise Price: $11.50 | 10,860 | 14,878 | |||||||
Opendoor Technologies, Inc. | |||||||||
Expiration: December 2025, Exercise Price: $11.50 | 22,098 | 225,621 | |||||||
Pontem Corporation Class A | |||||||||
Expiration: January 2027, Exercise Price: $11.50 (b) | 49,791 | 37,343 | |||||||
Prospector Capital Corporation Class A | |||||||||
Expiration: December 2025, Exercise Price: $11.50 (b) | 40,756 | 41,164 | |||||||
Reebonz Holdings Ltd. | |||||||||
Expiration: December 2023, Exercise Price: $92.00 (b)(f) | 23,859 | 206 | |||||||
Revolution Acceleration Acquisition Corporation Class A | |||||||||
Expiration: December 2026, Exercise Price: $11.50 | 11,756 | 23,277 | |||||||
ScION Tech Growth I | |||||||||
Expiration: November 2025, Exercise Price: $11.50 (b) | 122,675 | 112,861 | |||||||
SCVX Corporation | |||||||||
Expiration: January 2025, Exercise Price: $11.50 (b) | 10,701 | 10,701 | |||||||
Senior Connect Acquisition Corporation I Class A | |||||||||
Expiration: December 2027, Exercise Price: $11.50 | 25,144 | 17,865 | |||||||
Star Peak Energy Transition Corporation | |||||||||
Expiration: August 2025, Exercise Price: $11.50 | 51,163 | 723,956 | |||||||
TPG Pace Tech Opportunities Corporation Class A | |||||||||
Expiration: October 2027, Exercise Price: $11.50 (b) | 672 | 907 | |||||||
Trebia Acquisition Corporation Class A | |||||||||
Expiration: December 2025, Exercise Price: $11.50 (b) | 43,981 | 65,972 | |||||||
Tuscan Holdings Corporation II | |||||||||
Expiration: July 2025, Exercise Price: $11.50 | 48,478 | 38,782 | |||||||
VG Acquisition Corporation Class A | �� | ||||||||
Expiration: September 2025, Exercise Price: $11.50 (b) | 18,591 | 31,233 | |||||||
Whole Earth Brands, Inc. | |||||||||
Expiration: June 2025, Exercise Price: $11.50 | 40,886 | 85,861 | |||||||
TOTAL WARRANTS (Cost $7,307,743) | 3,963,700 | ||||||||
Principal Amount | |||||||||
BANK LOANS - 3.25% | |||||||||
Cengage Learning Holdings II, Inc. | |||||||||
5.250% (3 Month U.S. LIBOR + 4.250%), 6/7/2023 (f)(i) | $ | 963,977 | 955,691 | ||||||
Claire's Stores, Inc. | |||||||||
6.808% (1 Month U.S. LIBOR + 6.500%), 12/18/2026 (f)(i) | 259,380 | 247,708 | |||||||
Cyxtera DC Holdings, Inc. | |||||||||
8.250% (3 Month U.S. LIBOR + 7.250%), 5/1/2025 (f)(i) | 568,000 | 563,740 | |||||||
Heritage Power LLC | |||||||||
7.000% (1 Month U.S. LIBOR + 6.000%), 8/2/2026 (f)(i) | 3,507,525 | 3,358,455 | |||||||
McGraw-Hill Global Education Holdings LLC | |||||||||
5.750% (3 Month U.S. LIBOR + 4.000%), 5/4/2022 (f)(i) | 867,055 | 869,764 | |||||||
RentPath LLC | |||||||||
8.000% (1 Month U.S. LIBOR + 7.000%), 12/14/2025 (f)(i) | 138,073 | 139,454 | |||||||
8.000% (3 Month U.S. LIBOR + 4.750%), 12/17/2021 (f)(i) | 2,217,000 | 2,017,470 | |||||||
Watts Guerra LLP | |||||||||
8.000%, 12/31/2022 (d)(g)(k) | 1,191,000 | 1,191,000 | |||||||
TOTAL BANK LOANS (Cost $9,304,218) | 9,343,282 | ||||||||
CONVERTIBLE BONDS - 0.20% (f) | |||||||||
Pluralsight, Inc. | |||||||||
0.375%, 3/1/2024 | 569,000 | 561,887 | |||||||
TOTAL CONVERTIBLE BONDS (Cost $562,029) | 561,887 | ||||||||
CORPORATE BONDS - 7.56% (f) | |||||||||
APX Group, Inc. | |||||||||
7.875%, 12/1/2022 (e) | 3,322,000 | 3,340,687 | |||||||
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc. | |||||||||
6.000%, 2/15/2025 (b)(h) | 545,000 | 562,167 | |||||||
Bombardier, Inc. | |||||||||
6.125%, 1/15/2023 (b)(h) | 756,000 | 787,941 | |||||||
7.875%, 4/15/2027 (b)(e)(h) | 1,474,000 | 1,447,792 | |||||||
Cincinnati Bell, Inc. | |||||||||
7.000%, 7/15/2024 (h) | 1,059,000 | 1,094,741 | |||||||
Diamond Resorts International, Inc. | |||||||||
7.750%, 9/1/2023 (h) | 685,000 | 714,534 | |||||||
10.750%, 9/1/2024 (h) | 588,000 | 624,541 | |||||||
Genesis Energy LP / Genesis Energy Finance Corporation | |||||||||
5.625%, 6/15/2024 (e) | 3,324,000 | 3,255,443 | |||||||
Gogo Intermediate Holdings LLC / Gogo Finance Company, Inc. | |||||||||
9.875%, 5/1/2024 (e)(h) | 1,355,000 | 1,428,678 | |||||||
Golden Nugget, Inc. | |||||||||
6.750%, 10/15/2024 (h) | 1,316,000 | 1,332,345 | |||||||
Ingram Micro, Inc. | |||||||||
5.450%, 12/15/2024 (e) | 1,019,000 | 1,162,191 | |||||||
Michaels Stores, Inc. | |||||||||
4.750%, 10/1/2027 (e)(h) | 1,271,000 | 1,384,119 | |||||||
Navistar International Corporation Class B | |||||||||
6.625%, 11/1/2025 (e)(h) | 1,923,000 | 1,997,574 | |||||||
Nielsen Finance LLC / Nielsen Finance Company | |||||||||
5.000%, 4/15/2022 (e)(h) | 1,440,000 | 1,441,736 | |||||||
Oasis Midstream Partners LP / OMP Finance Corporation | |||||||||
8.000%, 4/1/2029 (h) | 355,000 | 364,763 | |||||||
Solera LLC / Solera Finance, Inc. | |||||||||
10.500%, 3/1/2024 (h) | 350,000 | 362,023 | |||||||
Stars Group Holdings BV / Stars Group US Co-Borrower LLC | |||||||||
7.000%, 7/15/2026 (b)(h) | 390,000 | 408,281 | |||||||
TOTAL CORPORATE BONDS (Cost $20,740,640) | 21,709,556 | ||||||||
Contracts (100 shares per contract) | Notional Amount | ||||||||
PURCHASED OPTIONS - 1.34% (a) | |||||||||
PURCHASED CALL OPTIONS - 0.03% (a) | |||||||||
Analog Devices, Inc. | |||||||||
Expiration: June 2021, Exercise Price: $180.00 | 146 | $ 2,264,168 | 18,980 | ||||||
Marvell Technology Group Ltd. - ADR | |||||||||
Expiration: August 2021, Exercise Price: $65.00 | 527 | 2,581,246 | 62,186 | ||||||
81,166 | |||||||||
PURCHASED PUT OPTIONS - 1.34% (a) | |||||||||
AECOM | |||||||||
Expiration: June 2021, Exercise Price: $45.00 | 457 | 2,929,827 | 4,570 | ||||||
ArcLight Clean Transition Corporation | |||||||||
Expiration: May 2021, Exercise Price: $35.00 | 875 | 1,564,500 | 1,566,250 | ||||||
Bayer AG | |||||||||
Expiration: April 2021, Exercise Price: EUR 45.00 (b) | 1,188 | 1,886,544 | 5,573 | ||||||
ChargePoint Holdings, Inc. | |||||||||
Expiration: April 2021, Exercise Price: $40.00 | 454 | 1,212,180 | 625,385 | ||||||
Crown Holdings, Inc. | |||||||||
Expiration: April 2021, Exercise Price: $82.50 (f) | 75 | 727,800 | 1,125 | ||||||
Expiration: April 2021, Exercise Price: $85.00 | 666 | 6,462,864 | 11,655 | ||||||
Dell Technologies, Inc. | |||||||||
Expiration: April 2021, Exercise Price: $60.00 | 455 | 4,010,825 | 5,460 | ||||||
Deutsche Telekom AG | |||||||||
Expiration: April 2021, Exercise Price: EUR 13.40 (b) | 2,765 | 4,747,505 | 3,243 | ||||||
Expiration: May 2021, Exercise Price: EUR 14.80 (b) | 3,092 | 5,308,964 | 29,008 | ||||||
DuPont de Nemours, Inc. | |||||||||
Expiration: April 2021, Exercise Price: $55.00 | 252 | 1,947,456 | 12,978 | ||||||
eBay, Inc. | |||||||||
Expiration: May 2021, Exercise Price: $45.00 | 262 | 1,604,488 | 3,406 | ||||||
Electricite de France SA | |||||||||
Expiration: April 2021, Exercise Price: EUR 9.20 (b) | 1,674 | 1,915,056 | 9,815 | ||||||
The Hartford Financial Services Group, Inc. | |||||||||
Expiration: May 2021, Exercise Price: $60.00 | 684 | 4,568,436 | 87,552 | ||||||
IAC/InterActiveCorp | |||||||||
Expiration: May 2021, Exercise Price: $185.00 | 103 | 2,227,993 | 41,972 | ||||||
International Flavors & Fragrances, Inc. | |||||||||
Expiration: May 2021, Exercise Price: $120.00 | 190 | 2,652,590 | 19,475 | ||||||
Jazz Pharmaceuticals plc - ADR | |||||||||
Expiration: June 2021, Exercise Price: $140.00 | 10 | 164,370 | 2,200 | ||||||
Marathon Petroleum Corporation | |||||||||
Expiration: April 2021, Exercise Price: $45.00 | 57 | 304,893 | 855 | ||||||
Pershing Square Tontine Holdings Ltd. | |||||||||
Expiration: September 2021, Exercise Price: $30.00 | 81 | 194,481 | 66,825 | ||||||
SPDR S&P 500 ETF Trust | |||||||||
Expiration: April 2021, Exercise Price: $390.00 | 49 | 1,942,017 | 14,161 | ||||||
Expiration: May 2021, Exercise Price: $390.00 | 97 | 3,844,401 | 70,131 | ||||||
Star Peak Energy Transition Corporation | |||||||||
Expiration: April 2021, Exercise Price: $50.00 | 511 | 1,358,238 | 1,203,405 | ||||||
Vivendi SE | |||||||||
Expiration: May 2021, Exercise Price: EUR 25.00 (b) | 426 | 1,192,800 | 5,995 | ||||||
Vodafone Group plc | |||||||||
Expiration: April 2021, Exercise Price: $16.00 | 2,903 | 5,350,229 | 5,806 | ||||||
XPO Logistics, Inc. | |||||||||
Expiration: May 2021, Exercise Price: $100.00 | 482 | 5,943,060 | 56,394 | ||||||
3,853,239 | |||||||||
TOTAL PURCHASED OPTIONS (Cost $4,085,304) | 3,934,405 | ||||||||
Shares | |||||||||
ESCROW NOTES - 5.48% (a)(f) | |||||||||
Altaba, Inc. | 1,085,083 | 15,747,267 | |||||||
AMR Corporation | 28,850 | 3,174 | |||||||
TOTAL ESCROW NOTES (Cost $13,999,291) | 15,750,441 | ||||||||
SHORT-TERM INVESTMENTS - 2.51% | |||||||||
MONEY MARKET FUNDS - 2.51% (c)(e) | |||||||||
Goldman Sachs Government Fund, FST Share Class, 0.04% | 7,206,412 | 7,206,412 | |||||||
TOTAL SHORT-TERM INVESTMENTS | |||||||||
(Cost $7,206,412) | 7,206,412 | ||||||||
TOTAL LONG INVESTMENTS | |||||||||
(Cost $260,223,935) - 90.29% | 259,372,327 | ||||||||
SHORT INVESTMENTS - (2.93)% | |||||||||
COMMON STOCKS - (2.93)% | |||||||||
AEROSPACE & DEFENSE - (0.03)% | |||||||||
Teledyne Technologies, Inc. | (185 | ) | (76,525 | ) | |||||
ELECTRONIC COMPONENTS - (0.64)% | |||||||||
II-VI, Inc. | (27,060 | ) | (1,850,092 | ) | |||||
FINANCIAL EXCHANGES & DATA - (1.04)% | |||||||||
S&P Global, Inc. | (8,447 | ) | (2,980,693 | ) | |||||
LIFE SCIENCES TOOLS & SERVICES - (0.07)% | |||||||||
ICON plc - ADR | (949 | ) | (186,355 | ) | |||||
PHARMACEUTICALS - (0.06)% | |||||||||
AstraZeneca plc - ADR | (310 | ) | (15,413 | ) | |||||
Jazz Pharmaceuticals plc - ADR (j) | (918 | ) | (150,892 | ) | |||||
(166,305 | ) | ||||||||
RAILROADS - (0.90)% | |||||||||
Canadian Pacific Railway Ltd. - ADR | (6,822 | ) | (2,587,516 | ) | |||||
REAL ESTATE MANAGEMENT & DEVELOPMENT - (0.16)% | |||||||||
Opendoor Technologies, Inc. | (22,098 | ) | (468,257 | ) | |||||
SEMICONDUCTORS - (0.03)% | |||||||||
Marvell Technology Group Ltd. - ADR (j) | (1,825 | ) | (89,389 | ) | |||||
TOTAL COMMON STOCKS | |||||||||
(Proceeds $8,403,810) | (8,405,132 | ) | |||||||
TOTAL SHORT INVESTMENTS | |||||||||
(Proceeds $8,403,810) - (2.93)% | (8,405,132 | ) | |||||||
TOTAL NET INVESTMENTS | |||||||||
(Cost $251,820,125) - 87.36% | 250,967,195 | ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 12.64% | 36,312,773 | ||||||||
TOTAL NET ASSETS - 100.00% | $ | 287,279,968 |
ADR | - American Depository Receipt | |||||||
ETF | - Exchange-Traded Fund | |||||||
EUR | - Euro | |||||||
LIBOR | - London Interbank Offered Rate | |||||||
plc | - Public Limited Company | |||||||
REITs | - Real Estate Investment Trusts | |||||||
(a) | Non-income producing security. | |||||||
(b) | Foreign security. | |||||||
(c) | The rate quoted is the annualized seven-day yield as of March 31, 2021. | |||||||
(d) | Security fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees. | |||||||
(e) | All or a portion of the shares have been committed as collateral for open securities sold short, written option contracts, swap contracts, and forward currency exchange contracts. | |||||||
(f) | Level 2 Security. Please see footnote (m) on the Schedule of Investments for more information. | |||||||
(g) | Level 3 Security. Please see footnote (m) on the Schedule of Investments for more information. | |||||||
(h) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutional buyers. As of March 31, 2021, these securities represent 4.86% of total net assets. | |||||||
(i) | The coupon rate shown on variable rate securities represents the rate as of March 31, 2021. | |||||||
(j) | This security is held in connection with a written option contract. | |||||||
(k) | Default or other conditions exist and the security is not presently accruing income. | |||||||
(l) | Represents unfunded commitments. | |||||||
(m) | Investment Valuation | |||||||
The following is a summary of the Fund’s pricing procedures. It is intended to be a general discussion and may not necessarily reflect all pricing procedures followed by the Fund. |
Equity securities, including common and preferred stocks, closed-end funds and ETFs, that trade on an exchange will typically be valued based on the last reported sale price. Securities listed on NASDAQ are typically valued using the NASDAQ Official Closing Price. The securities valued using quoted prices in active markets are classified as Level 1 investments. If, on a particular day, an exchange-listed security does not trade, then the mean between the closing bid and asked prices will typically be used to value the security. These securities are classified as Level 2 investments. Fixed income securities having a maturity of greater than 60 days are typically valued based on evaluations provided by an independent pricing vendor. Investments in United States government securities (other than short-term securities) are valued at the mean between the 4:00 p.m. New York time bid and asked prices supplied by a third party vendor. Short-term fixed-income securities having a maturity of less than 60 days are valued at market quotations or based on valuations supplied by a third party pricing service. If a reliable price from a third party pricing service is unavailable, amortized cost may be used if it is determined that the instrument’s amortized cost value represents approximately the fair value of the security. These securities are classified as Level 2 investments. | ||||||||
Investments in Special Purpose Acquisition Companies, including their related units, shares, rights and warrants (each a “SPAC interest”), will typically be valued by reference to the last reported transaction for the composite exchange. These securities are classified as Level 1 investments. If, on a particular day, no reliable market transaction is readily available and reported for the composite exchange, then the mean between the closing bid and asked prices on the composite exchange will be used to value the SPAC interest, or the SPAC interest will be fair valued in accordance with the Fund’s pricing procedures. These securities are classified as Level 2 investments. | ||||||||
Exchange-traded options are typically valued at the higher of the intrinsic value of the option (i.e., what a Fund would pay or can receive upon the option being exercised) or the last reported composite sale price when such sale falls between the bid and asked prices. Notwithstanding the above, options that trade principally on a European exchange are typically valued at the “settlement price” as reported by the exchange on which the option principally trades. If the settlement price for a European exchange-traded option is unreliable or unavailable, the option will generally be valued at the last reported sale price. When the last sale of an exchange-traded option is outside the bid and asked prices, the Fund will typically value the option at the higher of the intrinsic value of the option or the mean between the highest end of day option bid price and the lowest end of day option ask price. On the stipulated expiration date, expiring options will be priced at intrinsic value. Options for which there is an active market are classified as Level 1 investments, but options not listed on an exchange and/or are fair valued in accordance with the Fund’s pricing procedures are classified as Level 2 investments. | ||||||||
Investments in registered open-end investment companies, including Money Market Funds, are typically valued at their reported net asset value (“NAV”) per share. These securities are generally classified as Level 1 investments. | ||||||||
Forward currency contracts are valued at bid prices calculated using an “interpolation” methodology that incorporates foreign-exchange prices for standard forward-settlement periods. These securities are generally classified as Level 2. | ||||||||
In general, swap prices are determined using the same methods as would be used to price the underlying security. When the underlying security is the subject of a completed corporate reorganization for which the final deal terms are known, the swap is priced at the value of the consideration to be received by the Fund. The credit quality of the swap’s counterparties and collateral is monitored and the valuation of a swap may be adjusted if it is believed that the credit quality of the counterparty or collateral affects the market value of the swap position. These securities are generally classified as Level 2 investments. | ||||||||
Private Investment in Public Equity. The Fund may acquire equity securities of an issuer through a private investment in a public equity (PIPE) transaction, including through commitments to purchase securities on a when-issued basis. A PIPE typically involves the purchase of securities directly from a publicly traded company in a private placement transaction. Securities purchased through PIPE transactions will 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. The commitments are contingent upon the SPACs acquiring the securities of target companies. | ||||||||
The Fund typically fair values securities and assets for which (a) market quotations are not readily available or market quotations are believed to be unrepresentative of market value. For example, the Fund may fair value a security that primarily trades on an exchange that closes before the New York Stock Exchange (“NYSE”) if a significant event occurs after the close of the exchange on which the security primarily trades but before the NYSE closes. Fair valuations are determined in good faith by the Valuation Group (the “Valuation Group”), a committee comprised of persons who are officers of the Trust or representatives of the Adviser, acting pursuant to procedures adopted by the Board. When fair value pricing is employed, the prices of securities used by the Fund to calculate its NAV may differ from quoted or published prices for the same securities. In addition, due to the subjective nature of fair value pricing, it is possible that the value determined for a particular asset may be materially different from the value realized upon such asset’s sale. These securities are generally classified as Level 2 or 3 depending on the inputs as described below. | ||||||||
The Fund has performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below: | ||||||||
Level 1 — Quoted prices in active markets for identical securities. | ||||||||
Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). | ||||||||
Level 3 — Significant unobservable inputs are those inputs that reflect the applicable Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information. | ||||||||
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. | ||||||||
The following tables provide the fair value measurements of applicable Fund assets and liabilities by level within the fair value hierarchy for the Fund as of March 31, 2021. These assets and liabilities are measured on a recurring basis. |
Investments at Fair Value | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | |||||||||||||||||
Common Stocks* | $ | 50,416,115 | $ | - | $ | - | $ | 50,416,115 | |||||||||
Special Purpose Acquisition Companies | 130,867,644 | 2,671,619 | - | 133,539,263 | |||||||||||||
Private Investment in Public Equity | - | 770,000 | - | 770,000 | |||||||||||||
Closed-End Funds | 6,231,987 | - | - | 6,231,987 | |||||||||||||
Preferred Stocks | 5,418,793 | - | - | 5,418,793 | |||||||||||||
Contingent Value Rights | - | 353,174 | - | 353,174 | |||||||||||||
Rights | 173,312 | - | - | 173,312 | |||||||||||||
Warrants | 3,888,426 | 18,874 | 56,400 | 3,963,700 | |||||||||||||
Bank Loans | - | 8,152,282 | 1,191,000 | 9,343,282 | |||||||||||||
Convertible Bonds | - | 561,887 | - | 561,887 | |||||||||||||
Corporate Bonds | - | 21,709,556 | - | 21,709,556 | |||||||||||||
Purchased Option Contracts | 3,933,280 | 1,125 | - | 3,934,405 | |||||||||||||
Escrow Notes | - | 15,750,441 | - | 15,750,441 | |||||||||||||
Short-Term Investments | 7,206,412 | - | - | 7,206,412 | |||||||||||||
Forward Currency Exchange Contracts** | - | 343,604 | - | 343,604 | |||||||||||||
Swap Contracts** | - | 5,898,649 | - | 5,898,649 | |||||||||||||
Total | $ | 208,135,969 | $ | 56,231,211 | $ | 1,247,400 | $ | 265,614,580 | |||||||||
Liabilities | |||||||||||||||||
Short Common Stocks* | $ | (8,405,132 | ) | $ | - | $ | - | $ | (8,405,132 | ) | |||||||
Written Option Contracts | (5,196,482 | ) | - | - | (5,196,482 | ) | |||||||||||
Forward Currency Exchange Contracts** | - | (31,027 | ) | - | (31,027 | ) | |||||||||||
Total | $ | (13,601,614 | ) | $ | (31,027 | ) | $ | - | $ | (13,632,641 | ) | ||||||
* Please refer to the Schedules of Investments to view long/short common stocks segregated by industry type. | |||||||||||||||||
** Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument by counterparty. | |||||||||||||||||
*** Amount less than $0.50. |
The Level 2 securities are priced using inputs such as current yields, discount rates, credit quality, yields on comparable securities, trading volume, maturity date, market bid and asked prices, prices on comparable securities and other significant inputs. Level 3 securities are valued by using broker quotes or such other pricing sources or data as are permitted by the Fund’s pricing procedures. At March 31, 2021, the value of these securities was $1,247,400. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs as described in footnote (m). The appropriateness of fair values for these securities is monitored by the Valuation Group on an ongoing basis. | |||
Level 3 Reconciliation Disclosure | |||
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. |
Description | Common Stocks | Private Investment in Public Equity | Warrants | Bank Loans | Total Investment | ||||||||||||||||
Balance as of December 31, 2020 | $ | 3,236,912 | $ | 5,211,131 | $ | 43,800 | $ | 1,191,000 | $ | 9,682,843 | |||||||||||
Purchases on Investments | - | - | - | - | - | ||||||||||||||||
(Sales) of Investments | (3,495,157 | ) | (4,280,162 | ) | - | - | (7,775,319 | ) | |||||||||||||
Realized (Gain) Loss | 327,245 | 3,050,452 | - | - | 3,377,697 | ||||||||||||||||
Transfers Into Level 3 | - | - | - | - | - | ||||||||||||||||
(Transfer Out) of Level 3 | - | - | - | - | - | ||||||||||||||||
Change in Unrealized Appreciation (Depreciation) | (69,000 | ) | (3,981,421 | ) | 12,600 | - | (4,037,821 | ) | |||||||||||||
Balance as of March 31, 2021 | $ | - | $ | - | $ | 56,400 | $ | 1,191,000 | $ | 1,247,400 | |||||||||||
Change in unrealized appreciation (depreciation) during the year for Level 3 investments held at March 31, 2021 | $ | - | $ | - | $ | (2,181,357 | ) | $ | - | $ | (2,181,357 | ) |
The realized and unrealized gains and losses from Level 3 transactions are included with the net realized gain (loss) on investments and net change in unrealized appreciation (depreciation) on investments on the Statement of Operations, respectively. The net change in unrealized appreciation on investments related to Level 3 securities held by the Fund at March 31, 2021 totals $(4,037,821). |
Significant unobservable valuation inputs monitored by the Valuation Group under the supervision of the Board of Trustees for restricted securities or material Level 3 investments as of March 31, 2021 for the Fund are as follows: |
Description | Fair Value at March 31, 2021 | Valuation Technique | Unobservable Input | Input Values (Ranges) | |||||||
Warrant | $ | - | * | Projected Final Exercise Price** | Value of Final Exercise Price | $0.00 - $0.01 | |||||
Warrant | $ | 56,400 | Projected Final Exercise Price | Expected Recovery | $1.25 | ||||||
* | Amount less than $0.50. | ||||||||||
** | Based on the evaluation of the likelihood that the warrant is exercised, the security is being priced at zero. |
The table above does not include certain Level 3 investments that are valued by brokers. At March 31, 2021, the net value of these securities was $17,966,000. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described herein. | |||
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC, doing business as U.S Bank Global Fund Services. |
WCM Alternatives: Event-Driven Fund | ||||||||||||
SCHEDULE OF INVESTMENTS | ||||||||||||
Open Written Options | ||||||||||||
March 31, 2021 (Unaudited) | ||||||||||||
Contracts (100 shares per contract) | Notional Amount | Value | ||||||||||
WRITTEN CALL OPTIONS | ||||||||||||
AECOM | ||||||||||||
Expiration: June 2021, Exercise Price: $55.00 | (457) | $ | (2,929,827 | ) | $ | (461,570 | ) | |||||
American Equity Investment Life Holding Company | ||||||||||||
Expiration: May 2021, Exercise Price: $25.00 | (30) | (94,590 | ) | (19,590 | ) | |||||||
Apollo Global Management, Inc. | ||||||||||||
Expiration: May 2021, Exercise Price: $47.00 | (637) | (2,994,537 | ) | (181,545 | ) | |||||||
Coherent, Inc. | ||||||||||||
Expiration: April 2021, Exercise Price: $220.00 | (4) | (101,156 | ) | (13,220 | ) | |||||||
CoreLogic, Inc. | ||||||||||||
Expiration: April 2021, Exercise Price: $80.00 | (286) | (2,266,550 | ) | (10,010 | ) | |||||||
Expiration: May 2021, Exercise Price: $80.00 | (46) | (364,550 | ) | (3,220 | ) | |||||||
Crown Holdings, Inc. | ||||||||||||
Expiration: April 2021, Exercise Price: $90.00 | (75) | (727,800 | ) | (55,125 | ) | |||||||
Expiration: April 2021, Exercise Price: $95.00 | (666) | (6,462,864 | ) | (225,108 | ) | |||||||
Dell Technologies, Inc. | ||||||||||||
Expiration: April 2021, Exercise Price: $70.00 | (455) | (4,010,825 | ) | (844,026 | ) | |||||||
Deutsche Telekom AG | ||||||||||||
Expiration: April 2021, Exercise Price: EUR 15.00 (a) | (2,765) | (4,747,505 | ) | (703,628 | ) | |||||||
DuPont de Nemours, Inc. | ||||||||||||
Expiration: April 2021, Exercise Price: $62.50 | (252) | (1,947,456 | ) | (383,040 | ) | |||||||
eBay, Inc. | ||||||||||||
Expiration: May 2021, Exercise Price: $50.00 | (262) | (1,604,488 | ) | (328,286 | ) | |||||||
Electricite de France SA | ||||||||||||
Expiration: April 2021, Exercise Price: EUR 11.00 (a) | (1,674) | (1,915,056 | ) | (192,384 | ) | |||||||
Extended Stay America, Inc. | ||||||||||||
Expiration: April 2021, Exercise Price: $19.65 | (116) | (229,100 | ) | (2,320 | ) | |||||||
The Hartford Financial Services Group, Inc. | ||||||||||||
Expiration: May 2021, Exercise Price: $65.00 | (252) | (1,683,108 | ) | (119,700 | ) | |||||||
Expiration: May 2021, Exercise Price: $70.00 | (470) | (3,139,130 | ) | (124,550 | ) | |||||||
IAC/InterActiveCorp | ||||||||||||
Expiration: May 2021, Exercise Price: $210.00 | (103) | (2,227,993 | ) | (201,365 | ) | |||||||
International Flavors & Fragrances, Inc. | ||||||||||||
Expiration: May 2021, Exercise Price: $130.00 | (190) | (2,652,590 | ) | (233,700 | ) | |||||||
Jazz Pharmaceuticals plc - ADR | ||||||||||||
Expiration: June 2021, Exercise Price: $170.00 | (8) | (131,496 | ) | (6,712 | ) | |||||||
Marathon Petroleum Corporation | ||||||||||||
Expiration: April 2021, Exercise Price: $50.00 | (57) | (304,893 | ) | (24,054 | ) | |||||||
Marvell Technology Group Ltd. - ADR | ||||||||||||
Expiration: August 2021, Exercise Price: $80.00 | (527) | (2,581,246 | ) | (17,391 | ) | |||||||
The Michaels Cos, Inc. | ||||||||||||
Expiration: April 2021, Exercise Price: $22.50 | (179) | (392,726 | ) | (895 | ) | |||||||
Pershing Square Tontine Holdings Ltd. | ||||||||||||
Expiration: September 2021, Exercise Price: $45.00 | (81) | (194,481 | ) | (11,340 | ) | |||||||
SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: April 2021, Exercise Price: $400.00 | (129) | (5,112,657 | ) | (30,228 | ) | |||||||
Expiration: April 2021, Exercise Price: $405.00 | (16) | (634,128 | ) | (1,888 | ) | |||||||
Vodafone Group plc | ||||||||||||
Expiration: April 2021, Exercise Price: $18.00 (a) | (2,903) | (5,350,229 | ) | (174,180 | ) | |||||||
XPO Logistics, Inc. | ||||||||||||
Expiration: May 2021, Exercise Price: $115.00 | (482 | (5,943,060 | ) | (623,226 | ) | |||||||
(4,992,301 | ) | |||||||||||
WRITTEN PUT OPTIONS | ||||||||||||
Bayer AG | ||||||||||||
Expiration: April 2021, Exercise Price: EUR 51.00 (a) | (1,188) | (1,886,544 | ) | (37,615 | ) | |||||||
Deutsche Telekom AG | ||||||||||||
Expiration: May 2021, Exercise Price: EUR 16.00 (a) | (3,092) | (5,308,964 | ) | (97,902 | ) | |||||||
Pershing Square Tontine Holdings Ltd. | ||||||||||||
Expiration: September 2021, Exercise Price: $22.50 | (162) | (388,962 | ) | (40,986 | ) | |||||||
SPDR S&P 500 ETF Trust | ||||||||||||
Expiration: April 2021, Exercise Price: $360.00 | (17) | (673,761 | ) | (748 | ) | |||||||
Expiration: April 2021, Exercise Price: $365.00 | (17) | (673,761 | ) | (952 | ) | |||||||
Vivendi SE | ||||||||||||
Expiration: May 2021, Exercise Price: EUR 27.00 (a) | (426) | (1,192,800 | ) | (25,978 | ) | |||||||
(204,181 | ) | |||||||||||
TOTAL WRITTEN OPTIONS | ||||||||||||
(Premiums received $4,712,830) | $ | (5,196,482 | ) | |||||||||
ETF - Exchange-Traded Fund | ||||||||||||
EUR - Euro | ||||||||||||
(a) Foreign security. | ||||||||||||
WCM Alternatives: Event-Driven Fund | ||||||||||||||||||
SCHEDULE OF INVESTMENTS | ||||||||||||||||||
Forward Currency Exchange Contracts | ||||||||||||||||||
March 31, 2021 (Unaudited) | ||||||||||||||||||
Unrealized | ||||||||||||||||||
Settlement | USD Value at | USD Value at | Appreciation | |||||||||||||||
Date | Counterparty | Currency to be Delivered | March 31, 2021 | Currency to be Received | March 31, 2021 | (Depreciation)* | ||||||||||||
4/9/2021 | JPM | 3,174,954 | AUD | $ | 2,411,670 | 2,262,688 | USD | $ | 2,262,688 | $ | (148,982) | |||||||
4/22/2021 | GS | 2,478,703 | EUR | 2,908,095 | 3,044,368 | USD | 3,044,368 | 136,273 | ||||||||||
4/28/2021 | JPM | 1,841,590 | EUR | 2,160,881 | 2,194,801 | USD | 2,194,801 | 33,920 | ||||||||||
5/10/2021 | JPM | 8,881,542 | EUR | 10,424,162 | 10,783,593 | USD | 10,783,593 | 359,431 | ||||||||||
5/10/2021 | JPM | 5,601,799 | USD | 5,601,799 | 4,693,380 | EUR | 5,508,565 | (93,234) | ||||||||||
5/17/2021 | JPM | 1,113,844 | EUR | 1,307,509 | 1,368,384 | USD | 1,368,384 | 60,875 | ||||||||||
5/17/2021 | JPM | 55,176 | USD | 55,176 | 44,878 | EUR | 52,681 | (2,495) | ||||||||||
5/26/2021 | JPM | 312,305 | EUR | 366,679 | 373,173 | USD | 373,173 | 6,494 | ||||||||||
6/16/2021 | GS | 3,196,554 | EUR | 3,754,818 | 3,886,636 | USD | 3,886,636 | 131,818 | ||||||||||
6/23/2021 | JPM | 2,659,918 | EUR | 3,124,937 | 3,179,225 | USD | 3,179,225 | 54,288 | ||||||||||
12/15/2021 | GS | 8,288,601 | EUR | 9,778,761 | 10,044,443 | USD | 10,044,443 | 265,682 | ||||||||||
5/12/2021 | JPM | 294,810 | GBP | 406,479 | 404,216 | USD | 404,216 | (2,263) | ||||||||||
5/12/2021 | GS | 2,643,100 | GBP | 3,644,258 | 3,480,050 | USD | 3,480,050 | (164,208) | ||||||||||
5/12/2021 | GS | 575,831 | USD | 575,831 | 430,804 | GBP | 593,984 | 18,153 | ||||||||||
5/13/2021 | GS | 1,063,110 | GBP | 1,465,800 | 1,421,686 | USD | 1,421,686 | (44,114) | ||||||||||
5/13/2021 | JPM | 1,654,460 | GBP | 2,281,145 | 2,212,201 | USD | 2,212,201 | (68,944) | ||||||||||
5/18/2021 | JPM | 4,529,054 | GBP | 6,244,672 | 6,014,269 | USD | 6,014,269 | (230,403) | ||||||||||
5/18/2021 | JPM | 16,374 | USD | 16,374 | 12,246 | GBP | 16,885 | 511 | ||||||||||
5/4/2021 | JPM | 1,563,958 | HKD | 201,195 | 201,769 | USD | 201,769 | 574 | ||||||||||
6/23/2021 | JPM | 156,133,100 | JPY | 1,411,247 | 1,504,953 | USD | 1,504,953 | 93,706 | ||||||||||
6/23/2021 | JPM | 1,488,973 | USD | 1,488,973 | 156,133,100 | JPY | 1,411,247 | (77,726) | ||||||||||
4/15/2021 | JPM | 5,499,550 | NOK | 642,994 | 618,624 | USD | 618,624 | (24,370) | ||||||||||
4/15/2021 | JPM | 635,404 | USD | 635,404 | 5,499,550 | NOK | 642,995 | 7,591 | ||||||||||
$ | 60,908,859 | $ | 61,221,436 | $ | 312,577 |
AUD | - Australian Dollar | |||||||||||||||||
EUR | - Euro | |||||||||||||||||
GBP | - British Pound | |||||||||||||||||
GS | - Goldman, Sachs & Co. | |||||||||||||||||
HKD | - Hong Kong Dollar | |||||||||||||||||
JPM | - JPMorgan Chase & Co., Inc. | |||||||||||||||||
JPY | - Japanese Yen | |||||||||||||||||
NOK | - Norwegian Krone | |||||||||||||||||
USD | - U.S. Dollar | |||||||||||||||||
* | Net unrealized appreciation (depreciation) is a receivable (payable). | |||||||||||||||||
WCM Alternatives: Event-Driven Fund | ||||||||||
SCHEDULE OF INVESTMENTS | ||||||||||
Open Swap Contracts* | ||||||||||
March 31, 2021 (Unaudited) | ||||||||||
Unrealized | ||||||||||
Pay/Receive on | Financing | Payment | Notional | Appreciation | ||||||
Counterparty | Security | Termination Date | Financing Rate | Rate | Frequency | Shares | Amount | (Depreciation)** | ||
LONG TOTAL RETURN SWAP CONTRACTS | ||||||||||
GS | AECOM | 12/4/2021 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 45,700 | $ 2,345,781 | $ | 583,524 | |
GS | Alexion Pharmaceuticals, Inc. | 12/15/2021 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 88,434 | 13,840,438 | (320,447) | ||
JPM | Beijing Jingneng Clean Energy Company, Ltd. Class H | 12/1/2021 | Pay | 0.550% + Overnight Rate | Quarterly | 579,244 | 190,935 | (59,857) | ||
JPM | BlackRock Floating Rate Income Strategies Fund, Inc. | 12/22/2021 | Pay | 0.380% + Overnight Rate | Quarterly | 73,288 | 882,176 | 70,369 | ||
JPM | BlackRock MuniYield Quality Fund, Inc. | 1/0/1900 | Pay | 0.380% + Overnight Rate | Quarterly | 85,655 | 1,144,351 | 76,832 | ||
BAML | Bristol-Myers Squibb Company CVR | 2/2/2022 | Pay | 0.000%** | Monthly | 25,034 | - | 25,660 | ||
BAML | Brookfield Property Partners LP | 1/5/2022 | Pay | 0.750% + 1 Month U.S. LIBOR | Monthly | 67,663 | 1,197,975 | 5,485 | ||
GS | Change Healthcare, Inc. | 1/27/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 246,546 | 5,705,582 | (257,779) | ||
JPM | Coca-Cola Amatil Ltd. | 10/26/2021 | Pay | 0.550% + Overnight Rate | Quarterly | 249,016 | 2,184,103 | 355,370 | ||
GS | Coherent, Inc. | 1/27/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 18,813 | 4,295,540 | 461,290 | ||
GS | Crown Holdings, Inc. | 12/17/2021 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 66,600 | 6,294,228 | 167,424 | ||
GS | Dell Technologies, Inc. Class C | 12/17/2021 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 52,259 | 3,904,270 | 701,513 | ||
JPM | Deutsche Telekom AG | 10/21/2021 | Pay | 0.550% + Overnight Rate | Quarterly | 289,716 | 5,067,683 | 764,273 | ||
GS | Dialog Semiconductor plc | 2/18/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 122,794 | 9,522,446 | (276,304) | ||
GS | Discovery, Inc. Class C | 1/27/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 36,325 | 1,215,798 | 123,924 | ||
BAML | DouYu International Holdings Ltd. | 11/30/2021 | Pay | 0.750% + 1 Month U.S. LIBOR | Monthly | 39,970 | 535,650 | (119,690) | ||
JPM | Eaton Vance Floating-Rate Income Trust | 12/22/2021 | Pay | 0.483% + Overnight Rate | Quarterly | 93,205 | 1,259,986 | 53,986 | ||
JPM | Electricite de France SA | 11/17/2021 | Pay | 0.550% + Overnight Rate | Quarterly | 167,400 | 2,429,036 | (183,995) | ||
GS | Extended Stay America, Inc. | 3/29/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 121,621 | 2,405,663 | (3,715) | ||
JPM | First Trust Senior Floating Rate Income Fund II | 7/20/2021 | Pay | 0.800% + Overnight Rate | Quarterly | 12,108 | 130,282 | 18,105 | ||
GS | Flir Systems, Inc. | 1/7/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 176,491 | 9,379,007 | 585,924 | ||
GS | G4S plc | 9/18/2021 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 1,046,112 | 2,993,484 | 539,197 | ||
JPM | G4S plc | 3/10/2022 | Pay | 0.450% + Overnight Rate | Quarterly | 93,511 | 315,101 | 658 | ||
GS | GrandVision N.V. | 2/8/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 87,174 | 2,646,359 | 41,772 | ||
JPM | Groupe Bruxelles Lambert S.A. | 7/20/2021 | Pay | 0.550% + Overnight Rate | Quarterly | 13,563 | 1,177,670 | 225,775 | ||
GS | The Hartford Financial Services Group, Inc. | 3/29/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 72,217 | 4,763,433 | 59,808 | ||
JPM | IAC/InterActiveCorp | 7/20/2021 | Pay | 0.380% + Overnight Rate | Quarterly | 6,300 | 826,371 | 536,196 | ||
GS | IHS Markit Ltd. | 3/29/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 32,843 | 3,260,653 | (82,198) | ||
BAML | Inphi Corporation | 12/3/2021 | Pay | 0.750% + 1 Month U.S. LIBOR | Monthly | 69,549 | 10,937,544 | 1,468,088 | ||
GS | Invesco Dynamic Credit Opportunities Fund | 12/22/2021 | Pay | 1.100% + 1 Month U.S. LIBOR | Monthly | 19,812 | 206,348 | 18,832 | ||
GS | Invesco Municipal Opportunity Trust | 3/11/2021 | Pay | 1.100% + 1 Month U.S. LIBOR | Monthly | 47,566 | 548,640 | 78,020 | ||
JPM | Invesco Senior Income Trust | 12/22/2021 | Pay | 0.380% + Overnight Rate | Quarterly | 207,181 | 803,060 | 66,919 | ||
BAML | Maxim Integrated Products, Inc. | 10/15/2021 | Pay | 0.750% + 1 Month U.S. LIBOR | Monthly | 106,611 | 7,967,531 | 1,771,618 | ||
JPM | Nuveen AMT-Free Municipal Credit Income Fund | 7/20/2021 | Pay | 0.380% + Overnight Rate | Quarterly | 38,528 | 602,193 | 48,795 | ||
JPM | Nuveen AMT-Free Quality Municipal Income Fund | 7/20/2021 | Pay | 0.380% + Overnight Rate | Quarterly | 313,259 | 4,526,222 | 115,258 | ||
JPM | Nuveen California Quality Municipal Income Fund | 7/20/2021 | Pay | 0.380% + Overnight Rate | Quarterly | 40,893 | 597,856 | 9,680 | ||
JPM | Nuveen Intermediate Duration Municipal Term Fund | 7/20/2021 | Pay | 0.380% + Overnight Rate | Quarterly | 30,701 | 407,402 | 30,916 | ||
JPM | Nuveen Municipal Credit Income Fund | 7/20/2021 | Pay | 0.380% + Overnight Rate | Quarterly | 39,155 | 590,849 | 41,763 | ||
JPM | Nuveen New York AMT-Free Quality Municipal Income Fund | 7/20/2021 | Pay | 0.380% + Overnight Rate | Quarterly | 85,021 | 1,114,625 | 45,661 | ||
GS | Nuveen New York Quality Municipal Income Fund | 3/12/2021 | Pay | 1.100% + 1 Month U.S. LIBOR | Monthly | 31,029 | 411,301 | 37,836 | ||
GS | PRA Health Sciences, Inc. | 3/12/2022 | Pay | 1.000% + 1 Month U.S. LIBOR | Monthly | 28,414 | 4,166,913 | 188,369 | ||
BAML | Qiagen N.V. | 2/10/2022 | Pay | 0.450% + 1 Month U.S. LIBOR | Monthly | 39,609 | 2,172,554 | (244,248) | ||
BAML | Qiagen N.V. | 7/27/2021 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 21,850 | 1,035,116 | 28,601 | ||
JPM | Qiagen N.V. | 7/23/2021 | Pay | 0.550% + Overnight Rate | Quarterly | 1,747 | 84,998 | 37 | ||
GS | Realpage, Inc. | 1/8/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 64,157 | 5,562,547 | 31,022 | ||
BAML | Renault S.A. | 5/29/2021 | Pay | 0.350% + 1 Month U.S. LIBOR | Monthly | 3,000 | 70,408 | 59,507 | ||
JPM | Renault S.A. | 7/20/2021 | Pay | 0.550% + Overnight Rate | Quarterly | 25,418 | 705,728 | 394,855 | ||
JPM | Royal Dutch Shell plc ADR Class B | 7/20/2021 | Pay | 0.380% + Overnight Rate | Quarterly | 40,950 | 1,247,337 | 260,571 | ||
JPM | RSA Insurance Group plc | 11/6/2021 | Pay | 0.450% + Overnight Rate | Quarterly | 659,386 | 5,798,836 | 390,179 | ||
GS | Signature Aviation plc | 12/18/2021 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 98,214 | 524,025 | 23,290 | ||
GS | Siltronic AG | 3/3/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 23,636 | 3,800,012 | 10,495 | ||
GS | Slack Technologies, Inc. Class A | 12/3/2021 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 310,539 | 13,113,779 | (498,766) | ||
JPM | SLM Corporation, 1.884% (3 Month U.S. LIBOR +1.700%) Series B | 7/20/2021 | Pay | 0.800% + Overnight Rate | Quarterly | 35,769 | 1,162,492 | 813,229 | ||
JPM | Suez | 10/9/2021 | Pay | 0.550% + Overnight Rate | Quarterly | 63,791 | 1,202,686 | 147,973 | ||
GS | Varian Medical Systems, Inc. | 10/28/2021 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 79,542 | 13,843,381 | 195,689 | ||
GS | Vodafone Group plc | 3/22/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 172,500 | 3,211,950 | (33,263) | ||
GS | Voya Prime Rate Trust | 12/22/2021 | Pay | 1.100% + 1 Month U.S. LIBOR | Monthly | 111,684 | 501,409 | 16,614 | ||
JPM | Voya Prime Rate Trust | 12/24/2021 | Pay | 0.380% + Overnight Rate | Quarterly | 37,088 | 166,837 | 5,214 | ||
GS | Willam Hill plc | 9/24/2021 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 393,869 | 1,143,002 | 333,659 | ||
JPM | Willam Hill plc | 9/25/2021 | Pay | 0.450% + Overnight Rate | Quarterly | 549,914 | 2,022,692 | 38,855 | ||
GS | Willis Towers Watson plc | 3/12/2021 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 69,482 | 13,855,821 | 2,044,368 | ||
BAML | Xilinx, Inc. | 12/4/2021 | Pay | 0.750% + 1 Month U.S. LIBOR | Monthly | 42,686 | 5,703,946 | (416,009) | ||
JPM | Xilinx, Inc. | 12/4/2021 | Pay | 0.380% + Overnight Rate | Quarterly | 22,937 | 3,392,612 | (551,481) | ||
GS | XPO Logistics, Inc. | 3/23/2022 | Pay | 0.500% + 1 Month U.S. LIBOR | Monthly | 48,200 | 5,629,278 | 313,038 | ||
SHORT TOTAL RETURN SWAP CONTRACTS | ||||||||||
BAML | Advanced Micro Devices, Inc. | 11/11/2021 | Pay | (0.400)% + 1 Month U.S. LIBOR | Monthly | (66,937) | (5,767,848) | 512,883 | ||
JPM | Advanced Micro Devices, Inc. | 10/27/2021 | Pay | (0.600)% + Overnight Rate | Quarterly | (50,269) | (4,170,425) | 223,203 | ||
JPM | American Airlines Group, Inc. | 7/20/2021 | Pay | (0.600)% + Overnight Rate | Quarterly | (194) | (2,225) | (2,412) | ||
BAML | Analog Devices, Inc. | 7/30/2021 | Pay | (0.400)% + 1 Month U.S. LIBOR | Monthly | (75,529) | (9,307,984) | (2,405,774) | ||
GS | Aon plc | 4/23/2021 | Pay | (0.350)% + U.S. Federal Funds | Monthly | (78,086) | (15,437,997) | (2,531,634) | ||
BAML | Apollo Global Management, Inc. | 3/15/2022 | Pay | (0.400)% + 1 Month U.S. LIBOR | Monthly | (26,735) | (1,298,667) | 41,749 | ||
GS | AstraZeneca plc | 12/15/2021 | Pay | (0.350)% + U.S. Federal Funds | Monthly | (187,850) | (9,612,395) | 271,840 | ||
JPM | Basket of Swaps | 7/20/2021 | Pay | (0.950)% + Overnight Rate | Quarterly | (10,248) | (1,158,088) | (175,899) | ||
BAML | Brookfield Asset Management, Inc. | 1/5/2022 | Pay | (0.400)% + 1 Month U.S. LIBOR | Monthly | (19,166) | (807,713) | (45,237) | ||
GS | Discovery, Inc. Class A | 2/17/2022 | Pay | (0.350)% + U.S. Federal Funds | Monthly | (38,192) | (1,885,157) | 225,211 | ||
BAML | HUYA, Inc. | 11/30/2021 | Pay | (7.750)% + 1 Month U.S. LIBOR | Monthly | (29,178) | (610,237) | 40,555 | ||
GS | ICON plc | 3/8/2022 | Pay | (0.350)% + U.S. Federal Funds | Monthly | (13,987) | (2,545,859) | (200,949) | ||
BAML | Marvell Technology Group Ltd. | 10/29/2021 | Pay | (0.400)% + 1 Month U.S. LIBOR | Monthly | (168,655) | (7,608,463) | (652,878) | ||
JPM | Nissan Motor Company Ltd. | 7/20/2021 | Pay | (0.467)% + Overnight Rate | Quarterly | (171,229) | (680,384) | (272,200) | ||
BAML | Pan American Silver Corporation | 3/22/2022 | Pay | (0.400)% + 1 Month U.S. LIBOR | Monthly | (16,028) | (529,725) | 48,361 | ||
JPM | Royal Dutch Shell plc ADR Class A | 7/20/2021 | Pay | (0.600)% + Overnight Rate | Quarterly | (102,668) | (3,327,470) | (699,024) | ||
GS | S&P Global, Inc. | 3/8/2022 | Pay | (0.350)% + U.S. Federal Funds | Monthly | (874) | (299,537) | (8,893) | ||
GS | salesforce.com, Inc. | 12/4/2021 | Pay | (0.350)% + U.S. Federal Funds | Monthly | (24,175) | (5,655,248) | 532,938 | ||
GS | Teledyne Technologies, Inc. | 1/14/2022 | Pay | (0.350)% + U.S. Federal Funds | Monthly | (12,494) | (4,843,797) | (324,781) | ||
GS | Tilray, Inc. | 3/8/2022 | Pay | (1.883)% + U.S. Federal Funds | Monthly | (72,688) | (1,629,665) | (23,095) | ||
BAML | VMware, Inc. Class A | 10/15/2021 | Pay | (0.855)% + 1 Month U.S. LIBOR | Monthly | (3,001) | (417,988) | (33,599) | ||
$ | 5,898,649 | |||||||||
BAML | - Bank of America Merrill Lynch & Co., Inc. | |||||||||
GS | - Goldman, Sachs & Co. | |||||||||
JPM | - JPMorgan Chase & Co., Inc. | |||||||||
LIBOR | - London Interbank Offered Rate | |||||||||
Overnight Rate | - Overnight Banking Funding Rate | |||||||||
plc | - Public Limited Company | |||||||||
U.S. Federal Funds | - U.S. Federal Funds Effective Rate | |||||||||
* | There were no upfront premiums paid or received for the open swap contracts held. | |||||||||
** | Based on the net swap value held at each counterparty, unrealized appreciation (depreciation) is a receivable (payable). |