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 811-22894
INVESTMENT MANAGERS SERIES TRUST II
(Exact name of registrant as specified in charter)
235 W. Galena Street
Milwaukee, WI 53212
(Address of principal executive offices) (Zip code)
Diane J. Drake
Mutual Fund Administration, LLC
2220 E. Route 66, Suite 226
Glendora, CA 91740
(Name and address of agent for service)
(626) 385-5777
Registrant's telephone number, including area code
Date of fiscal year end: September 30
Date of reporting period: March 31, 2021
Item 1. Report to Stockholders.
The registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:
SEMI-ANNUAL REPORT
March 31, 2021
Vivaldi Merger Arbitrage Fund
Class A Shares – VARAX Class I Shares – VARBX
VIVALDI MULTI-STRATEGY FUND
Class A Shares – OMOAX Class I Shares – OMOIX |
Vivaldi Asset Management, LLC | 225 W. Wacker Dr. | Suite 2100 | Chicago, IL 60606 | P: 312.248.8300 |
The Vivaldi Funds
Each a series of Investment Managers Series Trust II
Table of Contents
Schedule of Investments | 1 |
Statements of Assets and Liabilities | 24 |
Statements of Operations | 25 |
Statements of Changes in Net Assets | 26 |
Statements of Cash Flows | 28 |
Financial Highlights | 30 |
Notes to Financial Statements | 36 |
Supplemental Information | 51 |
Expense Examples | 53 |
This report and the financial statements contained herein are provided for the general information of the shareholders of the Vivaldi Funds. This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus.
www.vivaldifunds.com
Vivaldi Merger Arbitrage Fund
SCHEDULE OF INVESTMENTS
As of March 31, 2021 (Unaudited)
Number | Value | |||||||
COMMON STOCKS — 73.4% | ||||||||
APPLICATIONS SOFTWARE — 5.2% | ||||||||
354,600 | RealPage, Inc.*,1 | $ | 30,921,120 | |||||
AUTO-MEDIUM & HEAVY DUTY TRUCKS — 0.7% | ||||||||
88,404 | Navistar International Corp.* | 3,892,428 | ||||||
COMMERCIAL SERVICES — 3.9% | ||||||||
134,385 | CoreLogic, Inc. | 10,650,011 | ||||||
343,636 | HMS Holdings Corp.* | 12,705,941 | ||||||
23,355,952 | ||||||||
COMMERCIAL SERVICES-FINANCE — 0.5% | ||||||||
81,582 | Cardtronics PLC - Class A* | 3,165,382 | ||||||
COMPUTER SERVICES — 2.0% | ||||||||
397,192 | Perspecta, Inc. | 11,538,428 | ||||||
COMPUTER SOFTWARE — 3.1% | ||||||||
458,391 | Slack Technologies, Inc. - Class A* | 18,624,426 | ||||||
DIAGNOSTIC EQUIPMENT — 2.3% | ||||||||
564,099 | GenMark Diagnostics, Inc.* | 13,481,966 | ||||||
ELECTRONIC COMPONENTS-SEMICONDUCTOR — 3.2% | ||||||||
107,604 | Inphi Corp.* | 19,197,630 | ||||||
ENTERPRISE SOFTWARE/SERVICE — 2.3% | ||||||||
600,160 | Pluralsight, Inc. - Class A* | 13,407,574 | ||||||
HOTELS & MOTELS — 3.1% | ||||||||
932,868 | Extended Stay America, Inc. - Class B | 18,424,143 | ||||||
MEDICAL PRODUCTS — 9.2% | ||||||||
307,851 | Varian Medical Systems, Inc.*,1 | 54,344,937 | ||||||
MEDICAL-BIOMEDICAL/GENERICS — 0.6% | ||||||||
23,957 | Alexion Pharmaceuticals, Inc.* | 3,663,265 | ||||||
MEDICAL-DRUGS — 1.2% | ||||||||
374,373 | Aphria, Inc.* | 6,877,232 | ||||||
OIL COMP-EXPLORATION & PRODUCTION — 0.0% | ||||||||
— | 2 | CNX Resources Corp.* | 2 |
1
Vivaldi Merger Arbitrage Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
PROPERTY/CASUALTY INSURANCE — 1.3% | ||||||||
225,891 | Watford Holdings Ltd.* | $ | 7,818,088 | |||||
PUBLISHING-NEWSPAPERS — 1.1% | ||||||||
357,106 | Tribune Publishing Co. | 6,424,337 | ||||||
SPECIFIED PURPOSE ACQUISITIONS — 29.7% | ||||||||
135,000 | 26 Capital Acquisition Corp.* | 1,309,500 | ||||||
25,380 | 5:01 Acquisition Corp. - Class A* | 252,531 | ||||||
39,631 | 7GC & Co. Holdings, Inc. - Class A* | 392,347 | ||||||
99,499 | 890 5th Avenue Partners, Inc. - Class A* | 964,145 | ||||||
32,873 | Acies Acquisition Corp. - Class A* | 327,086 | ||||||
45,000 | Ackrell Spac Partners I Co.* | 456,750 | ||||||
286,479 | ACON S2 Acquisition Corp.* | 2,810,359 | ||||||
20,000 | Adit EdTech Acquisition Corp.* | 192,600 | ||||||
33,120 | Agile Growth Corp.* | 328,550 | ||||||
90,000 | Alkuri Global Acquisition Corp.* | 889,200 | ||||||
196,306 | Altimar Acquisition Corp. - Class A* | 1,939,503 | ||||||
294,700 | Apollo Strategic Growth Capital - Class A* | 2,917,530 | ||||||
67,500 | Archimedes Tech SPAC Partners Co.* | 667,575 | ||||||
50 | Arrowroot Acquisition Corp.* | 497 | ||||||
270,184 | Artius Acquisition, Inc. - Class A* | 2,728,858 | ||||||
81,318 | ARYA Sciences Acquisition Corp. IV - Class A* | 845,707 | ||||||
236,682 | Ascendant Digital Acquisition Corp. - Class A* | 2,343,152 | ||||||
60,400 | Aspirational Consumer Lifestyle Corp.* | 604,604 | ||||||
26,200 | Atlantic Avenue Acquisition Corp. - Class A* | 253,878 | ||||||
260,292 | Avanti Acquisition Corp. - Class A* | 2,543,053 | ||||||
191,272 | BCLS Acquisition Corp. - Class A* | 2,021,745 | ||||||
128,440 | Benessere Capital Acquisition Corp. - Class A* | 1,276,694 | ||||||
25,000 | Better World Acquisition Corp.* | 248,875 | ||||||
268,763 | Burgundy Technology Acquisition Corp. - Class A* | 2,658,066 | ||||||
12,640 | Capstar Special Purpose Acquisition Corp. - Class A* | 123,366 | ||||||
67,819 | CC Neuberger Principal Holdings II - Class A* | 668,695 | ||||||
187,642 | CF Acquisition Corp. IV - Class A* | 1,833,262 | ||||||
47,748 | CF Finance Acquisition Corp. III - Class A* | 477,480 | ||||||
191,846 | CHP Merger Corp. - Class A* | 1,901,194 | ||||||
374,960 | Churchill Capital Corp. II - Class A* | 3,749,600 | ||||||
145,864 | Churchill Capital Corp. V - Class A* | 1,441,136 | ||||||
9,127 | Climate Real Impact Solutions II Acquisition Corp.* | 91,270 | ||||||
200,000 | Concord Acquisition Corp. - Class A* | 1,956,000 | ||||||
38,037 | Consonance-HFW Acquisition Corp. - Class A* | 365,916 | ||||||
244,661 | Corner Growth Acquisition Corp. - Class A* | 2,395,231 | ||||||
143,617 | Crescent Acquisition Corp. - Class A* | 1,444,787 |
2
Vivaldi Merger Arbitrage Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
SPECIFIED PURPOSE ACQUISITIONS (Continued) | ||||||||
155,910 | D8 Holdings Corp.* | $ | 1,549,745 | |||||
68,884 | DFP Healthcare Acquisitions Corp. - Class A* | 686,085 | ||||||
22,500 | dMY Technology Group, Inc. IV* | 225,905 | ||||||
153,825 | DPCM Capital, Inc. - Class A* | 1,516,715 | ||||||
338,835 | E.Merge Technology Acquisition Corp. - Class A* | 3,303,641 | ||||||
176,283 | East Resources Acquisition Co. - Class A* | 1,724,048 | ||||||
26,138 | East Stone Acquisition Corp.* | 261,119 | ||||||
15,000 | EdtechX Holdings Acquisition Corp. II* | 147,450 | ||||||
93,840 | Epiphany Technology Acquisition Corp. - Class A* | 914,940 | ||||||
276,959 | Equity Distribution Acquisition Corp. - Class A* | 2,744,664 | ||||||
1 | Eucrates Biomedical Acquisition Corp.* | 10 | ||||||
365,205 | FG New America Acquisition Corp. - Class A* | 3,721,439 | ||||||
45,900 | Fifth Wall Acquisition Corp. I - Class A* | 459,000 | ||||||
14,138 | Fortress Value Acquisition Corp. II - Class A* | 140,956 | ||||||
42,772 | Forum Merger III Corp. - Class A* | 426,437 | ||||||
200,000 | Forum Merger IV Corp.* | 1,980,000 | ||||||
47,500 | Frazier Lifesciences Acquisition Corp. - Class A* | 472,625 | ||||||
40,000 | Fusion Acquisition Corp. - Class A* | 398,400 | ||||||
90,000 | Fusion Acquisition Corp. II* | 893,700 | ||||||
163,919 | GigCapital2, Inc.* | 1,644,108 | ||||||
156,172 | GO Acquisition Corp.* | 1,538,294 | ||||||
75,000 | Golden Arrow Merger Corp.* | 746,250 | ||||||
45,000 | Golden Falcon Acquisition Corp. - Class A* | 435,150 | ||||||
215,592 | Gores Holdings V, Inc. - Class A* | 2,151,608 | ||||||
153,827 | Greenrose Acquisition Corp.* | 1,532,117 | ||||||
19,149 | GS Acquisition Holdings Corp. II - Class A* | 199,724 | ||||||
332,760 | GX Acquisition Corp. - Class A* | 3,354,221 | ||||||
224,465 | HIG Acquisition Corp. - Class A* | 2,231,182 | ||||||
135,900 | Highland Transcend Partners I Corp. - Class A* | 1,329,102 | ||||||
190,454 | Horizon Acquisition Corp. - Class A* | 1,881,686 | ||||||
201,626 | Horizon Acquisition Corp. II - Class A* | 2,056,585 | ||||||
99,007 | Hudson Executive Investment Corp. - Class A* | 982,149 | ||||||
323,512 | IG Acquisition Corp. - Class A* | 3,196,299 | ||||||
51,847 | Jaws Spitfire Acquisition Corp. - Class A* | 531,432 | ||||||
75,000 | Khosla Ventures Acquisition Co. - Class A* | 757,500 | ||||||
50,000 | Khosla Ventures Acquisition Co. II - Class A* | 504,500 | ||||||
52,393 | Khosla Ventures Acquisition Co. III - Class A* | 523,406 | ||||||
200,814 | Kingswood Acquisition Corp. - Class A* | 1,995,690 | ||||||
280,000 | KINS Technology Group, Inc. - Class A* | 2,746,800 | ||||||
204,146 | Kismet Acquisition One Corp.* | 2,021,045 | ||||||
17,361 | Landcadia Holdings III, Inc. - Class A* | 173,784 |
3
Vivaldi Merger Arbitrage Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
SPECIFIED PURPOSE ACQUISITIONS (Continued) | ||||||||
323,290 | Lionheart Acquisition Corp. II - Class A* | $ | 3,174,708 | |||||
237,000 | Live Oak Acquisition Corp. II - Class A* | 2,367,630 | ||||||
20,000 | Longview Acquisition Corp. II* | 200,800 | ||||||
164,695 | Malacca Straits Acquisition Co., Ltd. - Class A* | 1,625,540 | ||||||
90,000 | MCAP Acquisition Corp.* | 895,500 | ||||||
264,820 | Mudrick Capital Acquisition Corp. - Class A* | 2,608,477 | ||||||
64,495 | Nebula Caravel Acquisition Corp. - Class A* | 639,790 | ||||||
12,572 | NextGen Acquisition Corp.* | 124,714 | ||||||
125,946 | North Mountain Merger Corp. - Class A* | 1,239,309 | ||||||
155,495 | Northern Genesis Acquisition Corp. II* | 1,542,510 | ||||||
49,685 | Northern Star Investment Corp. II - Class A* | 496,850 | ||||||
206,564 | Oaktree Acquisition Corp. II - Class A* | 2,042,918 | ||||||
45,900 | Omega Alpha SPAC - Class A* | 454,410 | ||||||
45,000 | Peridot Acquisition Corp. II* | 447,300 | ||||||
50,000 | Plum Acquisition Corp. I* | 497,500 | ||||||
180,000 | PMV Consumer Acquisition Corp.* | 1,746,000 | ||||||
25,000 | Population Health Investment Co., Inc. - Class A* | 246,500 | ||||||
300,000 | Prime Impact Acquisition I - Class A* | 2,919,000 | ||||||
94,500 | Prospector Capital Corp. - Class A* | 919,485 | ||||||
194,510 | RedBall Acquisition Corp. - Class A* | 1,935,374 | ||||||
285,000 | Reinvent Technology Partners Y* | 2,861,400 | ||||||
485,103 | Replay Acquisition Corp.* | 4,948,051 | ||||||
168,850 | Research Alliance Corp. II - Class A* | 1,730,712 | ||||||
96,923 | Rice Acquisition Corp. - Class A* | 979,892 | ||||||
128,006 | RMG Acquisition Corp. II - Class A* | 1,282,620 | ||||||
107,972 | Roman DBDR Tech Acquisition Corp. - Class A* | 1,074,321 | ||||||
40,981 | Roth Ch Acquisition II Co.* | 406,122 | ||||||
184,992 | Sandbridge Acquisition Corp. - Class A* | 1,833,271 | ||||||
13,214 | Sarissa Capital Acquisition Corp. - Class A* | 133,594 | ||||||
59,578 | SC Health Corp. - Class A* | 600,546 | ||||||
134,158 | ScION Tech Growth I - Class A* | 1,313,407 | ||||||
114,047 | Seven Oaks Acquisition Corp. - Class A* | 1,111,958 | ||||||
281,216 | Sports Entertainment Acquisition Corp. - Class A* | 2,747,480 | ||||||
346,007 | Spring Valley Acquisition Corp. - Class A* | 3,498,131 | ||||||
65,401 | Star Peak Corp. II - Class A* | 661,204 | ||||||
30,300 | Starboard Value Acquisition Corp. Class A* | 300,879 | ||||||
13,500 | Stratim Cloud Acquisition Corp.* | 135,000 | ||||||
245,392 | Supernova Partners Acquisition Co., Inc. - Class A* | 2,480,913 | ||||||
149,610 | Sustainable Opportunities Acquisition Corp. - Class A* | 1,485,627 | ||||||
97,572 | Switchback II Corp. - Class A* | 959,133 | ||||||
320,560 | Tailwind Acquisition Corp. - Class A* | 3,179,955 |
4
Vivaldi Merger Arbitrage Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
SPECIFIED PURPOSE ACQUISITIONS (Continued) | ||||||||
224,998 | Tekkorp Digital Acquisition Corp. - Class A* | $ | 2,204,980 | |||||
139,110 | Tiga Acquisition Corp. - Class A* | 1,396,664 | ||||||
41,020 | TPG Pace Tech Opportunities Corp. - Class A* | 406,508 | ||||||
276,284 | Trebia Acquisition Corp. - Class A* | 2,751,789 | ||||||
131,940 | Trepont Acquisition Corp. I - Class A* | 1,294,331 | ||||||
25,000 | Turmeric Acquisition Corp. - Class A* | 244,250 | ||||||
208,979 | TWC Tech Holdings II Corp.* | 2,056,353 | ||||||
85,011 | Union Acquisition Corp. II* | 854,361 | ||||||
25,000 | VectoIQ Acquisition Corp. II - Class A* | 248,000 | ||||||
77,164 | Ventoux CCM Acquisition Corp.* | 755,436 | ||||||
169,971 | Vy Global Growth - Class A* | 1,720,107 | ||||||
151,799 | Yucaipa Acquisition Corp.* | 1,495,220 | ||||||
113,647 | Zanite Acquisition Corp. - Class A* | 1,130,788 | ||||||
175,927,571 | ||||||||
THERAPEUTICS — 3.8% | ||||||||
105,038 | GW Pharmaceuticals PLC* | 22,782,742 | ||||||
WEB HOSTING/DESIGN — 0.2% | ||||||||
28,199 | NIC, Inc. | 956,792 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $437,074,387) | 434,804,015 | |||||||
RIGHTS — 0.0% | ||||||||
499,660 | Stemline Therapeutics, Inc., Expiration Date: December 31, 2021*,1,3 | 164,888 | ||||||
TOTAL RIGHTS | ||||||||
(Cost $164,888) | 164,888 | |||||||
UNITS — 12.1% | ||||||||
SPECIFIED PURPOSE ACQUISITIONS — 12.1% | ||||||||
117,323 | 7GC & Co. Holdings, Inc.* | 1,192,002 | ||||||
83,001 | 890 5th Avenue Partners, Inc.* | 830,010 | ||||||
135,000 | Adit EdTech Acquisition Corp.* | 1,330,560 | ||||||
6,439 | Ajax I* | 68,447 | ||||||
251,333 | Americas Technology Acquisition Corp.* | 2,546,003 | ||||||
164,873 | Athlon Acquisition Corp.* | 1,630,594 | ||||||
60,000 | Atlas Crest Investment Corp. II* | 600,300 | ||||||
90,000 | Authentic Equity Acquisition Corp.* | 890,100 | ||||||
90,000 | Biotech Acquisition Co.* | 890,100 | ||||||
161,875 | BlueRiver Acquisition Corp.* | 1,613,894 | ||||||
57,957 | BOA Acquisition Corp.* | 574,354 | ||||||
126,000 | Bright Lights Acquisition Corp.* | 1,254,960 |
5
Vivaldi Merger Arbitrage Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number | Value | |||||||
UNITS (Continued) | ||||||||
SPECIFIED PURPOSE ACQUISITIONS (Continued) | ||||||||
126,000 | Broadscale Acquisition Corp.* | $ | 1,248,660 | |||||
250,000 | Carney Technology Acquisition Corp. II* | 2,480,000 | ||||||
102,258 | Cartesian Growth Corp.* | 1,017,467 | ||||||
185,000 | CF Acquisition Corp. V* | 1,846,300 | ||||||
90,000 | CF Acquisition Corp. VI* | 891,000 | ||||||
138,750 | Clarim Acquisition Corp.* | 1,380,562 | ||||||
258,555 | Colicity, Inc.* | 2,611,405 | ||||||
22,500 | COVA Acquisition Corp.* | 223,875 | ||||||
135,000 | Delwinds Insurance Acquisition Corp.* | 1,348,650 | ||||||
139,500 | DiamondHead Holdings Corp.* | 1,382,445 | ||||||
45,000 | Dune Acquisition Corp.* | 451,350 | ||||||
67,500 | EdtechX Holdings Acquisition Corp. II* | 675,000 | ||||||
180,000 | Empowerment & Inclusion Capital I Corp.* | 1,774,800 | ||||||
63,000 | EQ Health Acquisition Corp.* | 624,330 | ||||||
45,000 | Foresight Acquisition Corp.* | 447,300 | ||||||
281,200 | Fortress Capital Acquisition Corp.* | 2,814,812 | ||||||
68,033 | Fortress Value Acquisition Corp. II* | 680,330 | ||||||
9,000 | Fortress Value Acquisition Corp. III* | 90,180 | ||||||
135,000 | GigCapital4, Inc.* | 1,332,450 | ||||||
172,000 | Healthcare Capital Corp.* | 1,697,640 | ||||||
45,000 | HH&L Acquisition Co.* | 454,500 | ||||||
15,000 | Hudson Executive Investment Corp. II* | 147,150 | ||||||
45,000 | ITHAX Acquisition Corp.* | 451,350 | ||||||
36,000 | KL Acquisition Corp.* | 356,760 | ||||||
67,500 | Legato Merger Corp.* | 683,775 | ||||||
67,500 | LightJump Acquisition Corp.* | 671,625 | ||||||
45,000 | LMF Acquisition Opportunities, Inc.* | 457,200 | ||||||
112,600 | Monument Circle Acquisition Corp.* | 1,110,236 | ||||||
48,600 | Moringa Acquisition Corp.* | 482,598 | ||||||
198,000 | Motive Capital Corp.* | 1,989,900 | ||||||
173,000 | North Atlantic Acquisition Corp.* | 1,719,620 | ||||||
157,230 | North Mountain Merger Corp.* | 1,602,174 | ||||||
1 | Northern Genesis Acquisition Corp. II* | 10 | ||||||
121,500 | Novus Capital Corp. II* | 1,215,000 | ||||||
158,400 | Pivotal Investment Corp. III* | 1,584,000 | ||||||
190,000 | Poema Global Holdings Corp.* | 1,901,900 | ||||||
59,990 | Power & Digital Infrastructure Acquisition Corp.* | 607,099 | ||||||
58,500 | Progress Acquisition Corp.* | 578,565 | ||||||
138,000 | Queen's Gambit Growth Capital* | 1,389,660 | ||||||
154,854 | RMG Acquisition Corp. III* | 1,540,797 | ||||||
180,000 | Sarissa Capital Acquisition Corp.* | 1,949,400 |
6
Vivaldi Merger Arbitrage Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number | Value | |||||||
UNITS (Continued) | ||||||||
SPECIFIED PURPOSE ACQUISITIONS (Continued) | ||||||||
172,000 | ScION Tech Growth I* | $ | 1,732,040 | |||||
152,500 | Soaring Eagle Acquisition Corp.* | 1,543,300 | ||||||
195,000 | Social Leverage Acquisition Corp. I* | 1,940,250 | ||||||
180,000 | Spartan Acquisition Corp. III* | 1,805,400 | ||||||
185,000 | Tailwind International Acquisition Corp.* | 1,829,650 | ||||||
54,000 | TLG Acquisition One Corp.* | 535,680 | ||||||
52,600 | TWC Tech Holdings II Corp.* | 531,260 | ||||||
90,000 | Virtuoso Acquisition Corp.* | 887,400 | ||||||
185,000 | Z-Work Acquisition Corp.* | 1,848,150 | ||||||
71,986,329 | ||||||||
TOTAL UNITS | ||||||||
(Cost $74,511,677) | 71,986,329 | |||||||
WARRANTS — 0.2% | ||||||||
53,275 | 26 Capital Acquisition Corp., Expiration Date: December 31, 2027* | 42,087 | ||||||
19,153 | 890 5th Avenue Partners, Inc., Expiration Date: December 31, 2027* | 15,322 | ||||||
10,974 | Avanti Acquisition Corp., Expiration Date: December 31, 2025* | 11,523 | ||||||
23,806 | Burgundy Technology Acquisition Corp., Expiration Date: October 5, 2025* | 25,472 | ||||||
29,767 | CF Acquisition Corp. IV, Expiration Date: December 14, 2025* | 26,790 | ||||||
96,115 | Concord Acquisition Corp., Expiration Date: November 28, 2025* | 86,504 | ||||||
9,528 | DPCM Capital, Inc., Expiration Date: October 14, 2027* | 11,910 | ||||||
72,321 | E.Merge Technology Acquisition Corp., Expiration Date: July 30, 2025* | 68,705 | ||||||
30,842 | East Resources Acquisition Co., Expiration Date: July 1, 2027* | 24,985 | ||||||
13,500 | Golden Falcon Acquisition Corp., Expiration Date: November 4, 2026* | 9,585 | ||||||
26,235 | Highland Transcend Partners I Corp., Expiration Date: December 31, 2027* | 32,794 | ||||||
114,497 | IG Acquisition Corp., Expiration Date: October 5, 2027* | 109,917 | ||||||
56,017 | KINS Technology Group, Inc., Expiration Date: December 31, 2025* | 36,411 | ||||||
56,256 | Live Oak Acquisition Corp. II, Expiration Date: December 7, 2025* | 80,446 | ||||||
23,083 | Northern Genesis Acquisition Corp. II, Expiration Date: December 31, 2027* | 26,774 | ||||||
18,336 | PMV Consumer Acquisition Corp., Expiration Date: August 31, 2027* | 14,119 | ||||||
103,167 | Prime Impact Acquisition I, Expiration Date: October 1, 2030* | 84,597 | ||||||
31,500 | Prospector Capital Corp., Expiration Date: December 22, 2025* | 30,870 | ||||||
7,306 | Rice Acquisition Corp., Expiration Date: October 26, 2027* | 10,813 | ||||||
63,488 | Sports Entertainment Acquisition Corp., Expiration Date: October 30, 2025* | 69,837 | ||||||
106,671 | Tailwind Acquisition Corp., Expiration Date: September 7, 2027* | 108,805 | ||||||
24,433 | Tekkorp Digital Acquisition Corp., Expiration Date: October 26, 2027* | 23,211 | ||||||
36,424 | Ventoux CCM Acquisition Corp., Expiration Date: September 30, 2025* | 16,026 | ||||||
TOTAL WARRANTS | ||||||||
(Cost $64,817) | 967,503 |
|
7
Vivaldi Merger Arbitrage Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number | Value | |||||||
SHORT-TERM INVESTMENTS — 21.3% | ||||||||
126,554,152 | Morgan Stanley Institutional Liquidity Fund - Government Portfolio - Institutional Class, 0.03%4 | $ | 126,554,152 | |||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $126,554,152) | 126,554,152 | |||||||
TOTAL INVESTMENTS — 107.0% | ||||||||
(Cost $638,369,921) | 634,476,887 | |||||||
Liabilities in Excess of Other Assets — (7.0)% | (41,783,493 | ) | ||||||
TOTAL NET ASSETS — 100.0% | $ | 592,693,394 | ||||||
SECURITIES SOLD SHORT — (5.3)% | ||||||||
COMMON STOCKS — (5.3)% | ||||||||
ELECTRONIC COMPONENTS-SEMICONDUCTOR — (2.1)% | ||||||||
(249,965 | ) | Marvell Technology Group Ltd. | (12,243,286 | ) | ||||
ENTERPRISE SOFTWARE/SERVICE — (1.3)% | ||||||||
(35,572 | ) | salesforce.com, Inc.* | (7,536,640 | ) | ||||
MEDICAL-DRUGS — (1.9)% | ||||||||
(50,892 | ) | AstraZeneca PLC | (2,530,350 | ) | ||||
(10,489 | ) | Jazz Pharmaceuticals PLC* | (1,724,077 | ) | ||||
(313,763 | ) | Tilray, Inc.* | (7,131,832 | ) | ||||
(11,386,259 | ) | |||||||
TOTAL COMMON STOCKS | ||||||||
(Proceeds $31,402,199) | (31,166,185 | ) | ||||||
TOTAL SECURITIES SOLD SHORT | ||||||||
(Proceeds $31,402,199) | $ | (31,166,185 | ) |
Number | ||||||||
WRITTEN OPTIONS CONTRACTS — (0.0)% | ||||||||
CALL OPTIONS — (0.0)% | ||||||||
Artius Acquisition, Inc. | ||||||||
(1,320 | ) | Exercise Price: $12.50, Notional Amount: $(1,650,000), Expiration Date: April 16, 2021* | (6,600 | ) | ||||
CoreLogic, Inc. | ||||||||
(893 | ) | Exercise Price: $80.00, Notional Amount: $(7,144,000), Expiration Date: May 21, 2021* | (80,370 | ) | ||||
(317 | ) | Exercise Price: $80.00, Notional Amount: $(2,536,000), Expiration Date: July 16, 2021* | (31,700 | ) | ||||
Extended Stay America, Inc. | ||||||||
(620 | ) | Exercise Price: $19.65, Notional Amount: $(1,218,300), Expiration Date: April 16, 2021* | (12,400 | ) |
8
Vivaldi Merger Arbitrage Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number | Value | |||||||
WRITTEN OPTIONS CONTRACTS (Continued) | ||||||||
CALL OPTIONS (Continued) | ||||||||
(52 | ) | Exercise Price: $20.00, Notional Amount: $(104,000), Expiration Date: May 21, 2021* | $ | (1,092 | ) | |||
(36 | ) | Exercise Price: $19.65, Notional Amount: $(70,740), Expiration Date: July 16, 2021* | (2,520 | ) | ||||
(105 | ) | Exercise Price: $19.65, Notional Amount: $(206,325), Expiration Date: January 21, 2022* | (6,825 | ) | ||||
(24 | ) | Exercise Price: $19.65, Notional Amount: $(47,160), Expiration Date: January 20, 2023* | (1,680 | ) | ||||
GenMark Diagnostics, Inc. | ||||||||
(245 | ) | Exercise Price: $25.00, Notional Amount: $(612,500), Expiration Date: April 16, 2021* | (1,225 | ) | ||||
(138 | ) | Exercise Price: $25.00, Notional Amount: $(345,000), Expiration Date: July 16, 2021* | (1,380 | ) | ||||
(61 | ) | Exercise Price: $25.00, Notional Amount: $(152,500), Expiration Date: October 15, 2021* | (610 | ) | ||||
Horizon Acquisition Corp. II | ||||||||
(554 | ) | Exercise Price: $12.50, Notional Amount: $(692,500), Expiration Date: April 16, 2021* | (2,770 | ) | ||||
Perspecta, Inc. | ||||||||
(194 | ) | Exercise Price: $30.00, Notional Amount: $(582,000), Expiration Date: April 16, 2021* | (485 | ) | ||||
Pluralsight, Inc. | ||||||||
(1 | ) | Exercise Price: $22.50, Notional Amount: $(2,250), Expiration Date: April 16, 2021* | (10 | ) | ||||
RedBall Acquisition Corp. | ||||||||
(24 | ) | Exercise Price: $12.50, Notional Amount: $(30,000), Expiration Date: April 16, 2021* | (120 | ) | ||||
(90 | ) | Exercise Price: $12.50, Notional Amount: $(112,500), Expiration Date: June 18, 2021* | (900 | ) | ||||
Starboard Value Acquisition Corp. | ||||||||
(301 | ) | Exercise Price: $10.00, Notional Amount: $(301,000), Expiration Date: April 16, 2021* | (2,709 | ) | ||||
Sustainable Opportunities Acquisition Corp. | ||||||||
(415 | ) | Exercise Price: $10.00, Notional Amount: $(415,000), Expiration Date: April 16, 2021* | (2,075 | ) | ||||
(10 | ) | Exercise Price: $12.50, Notional Amount: $(12,500), Expiration Date: April 16, 2021* | (25 | ) | ||||
Zanite Acquisition Corp. | ||||||||
(100 | ) | Exercise Price: $12.50, Notional Amount: $(125,000), Expiration Date: April 16, 2021* | (200 | ) |
9
Vivaldi Merger Arbitrage Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number | Value | |||||||
WRITTEN OPTIONS CONTRACTS (Continued) | ||||||||
CALL OPTIONS (Continued) | ||||||||
(15 | ) | Exercise Price: $15.00, Notional Amount: $(22,500), Expiration Date: April 16, 2021* | $ | (38 | ) | |||
TOTAL CALL OPTIONS | ||||||||
(Proceeds $248,070) | (155,734 | ) | ||||||
PUT OPTIONS — (0.0)% | ||||||||
Artius Acquisition, Inc. | ||||||||
(656 | ) | Exercise Price: $10.00, Notional Amount: $(656,000), Expiration Date: April 16, 2021* | (3,280 | ) | ||||
TOTAL PUT OPTIONS | ||||||||
(Proceeds $14,837) | (3,280 | ) | ||||||
TOTAL WRITTEN OPTIONS CONTRACTS | ||||||||
(Proceeds $262,907) | $ | (159,014 | ) |
PLC — Public Limited Company |
* | Non-income producing security. |
1 | All or a portion of this security is segregated as collateral for securities sold short and written options contracts. The market value of the securities pledged as collateral was $56,569,822. |
2 | Amount represents less than 0.5 shares. |
3 | Level 3 securities fair valued under procedures established by the Board of Trustees, represents 0.03% of Net Assets. The total value of these securities is $164,888. |
4 | The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Financial Statements.
10
Vivaldi Merger Arbitrage Fund
SUMMARY OF INVESTMENTS
As of March 31, 2021 (Unaudited)
Security Type/Sector | Percent of Total Net Assets |
Common Stocks | |
Specified Purpose Acquisitions | 29.7% |
Medical Products | 9.2% |
Applications Software | 5.2% |
Commercial Services | 3.9% |
Therapeutics | 3.8% |
Electronic Components-Semiconductor | 3.2% |
Computer Software | 3.1% |
Hotels & Motels | 3.1% |
Diagnostic Equipment | 2.3% |
Enterprise Software/Service | 2.3% |
Computer Services | 2.0% |
Property/Casualty Insurance | 1.3% |
Medical-Drugs | 1.2% |
Publishing-Newspapers | 1.1% |
Auto-Medium & Heavy Duty Trucks | 0.7% |
Medical-Biomedical/Generics | 0.6% |
Commercial Services-Finance | 0.5% |
Web Hosting/Design | 0.2% |
Oil Comp-Exploration & Production | 0.0% |
Total Common Stocks | 73.4% |
Units | 12.1% |
Warrants | 0.2% |
Rights | 0.0% |
Short-Term Investments | 21.3% |
Total Investments | 107.0% |
Liabilities in Excess of Other Assets | (7.0)% |
Total Net Assets | 100.0% |
Please refer to the Schedule of Investments for information on securities sold short and written options contracts.
See accompanying Notes to Financial Statements.
11
Vivaldi Multi-Strategy Fund
SCHEDULE OF INVESTMENTS
As of March 31, 2021 (Unaudited)
Principal | Value | |||||||
ASSET-BACKED SECURITIES — 13.5% | ||||||||
$ | 500,000 | Affirm Asset Securitization Trust Series 2020-A, Class C, 6.230%, 2/18/20251,2 | $ | 516,515 | ||||
500,000 | Anchorage Credit Funding 12 Ltd. Series 2020-12A, Class D, 5.927%, 10/25/20381,2 | 505,000 | ||||||
Aqua Finance Trust | ||||||||
150,000 | Series 2020-AA, Class B, 2.790%, 7/17/20461,2 | 153,220 | ||||||
150,000 | Series 2020-AA, Class C, 3.970%, 7/17/20461,2 | 154,741 | ||||||
100,000 | Carvana Auto Receivables Trust Series 2021-N1, Class E, 2.880%, 1/10/20281,2 | 99,921 | ||||||
500,000 | CPS Auto Receivables Trust Series 2019-C, Class E, 4.300%, 7/15/20251,2 | 516,826 | ||||||
250,000 | Home RE Ltd. Series 2019-1, Class M2, 3.359% (1-Month USD Libor+325 basis points), 5/25/20291,2,3 | 249,930 | ||||||
250,000 | Mello Warehouse Securitization Trust Series 2019-2, Class G, 4.108% (1-Month USD Libor+400 basis points), 11/25/20521,2,3 | 247,366 | ||||||
526,022 | Merrill Lynch Mortgage Investors Trust Series 2006-WMC2, Class A1, 0.589% (1-Month USD Libor+48 basis points), 3/25/20372,3 | 189,872 | ||||||
1,000,000 | Monroe Capital Mml Clo X Ltd. Series 2020-1A, Class D, 7.082% (3-Month USD Libor+690 basis points), 8/20/20311,2,3 | 1,004,120 | ||||||
250,000 | Oaktown Re III Ltd. Series 2019-1A, Class M2, 2.659% (1-Month USD Libor+255 basis points), 7/25/20291,2,3,4 | 252,002 | ||||||
500,000 | Palmer Square Loan Funding Ltd. Series 2020-1A, Class SUB, 0.000%, 2/19/20281,2,4 | 458,281 | ||||||
350,000 | Upstart Securitization Trust Series 2019-3, Class C, 5.381%, 1/21/20301,2 | 363,967 | ||||||
150,000 | Veros Automobile Receivables Trust Series 2020-1, Class D, 5.640%, 2/16/20271,2 | 151,847 | ||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||
(Cost $4,803,335) | 4,863,608 |
Number of Shares | ||||||||
CLOSED-END FUNDS — 24.1% | ||||||||
29,494 | Aberdeen Emerging Markets Equity Income Fund, Inc.5 | 255,123 | ||||||
20,997 | Calamos Long/Short Equity & Dynamic Income Trust | 422,250 | ||||||
1 | Cornerstone Strategic Value Fund, Inc. | 14 | ||||||
1 | Cornerstone Total Return Fund, Inc. | 13 | ||||||
17,370 | DTF Tax-Free Income, Inc. | 249,260 | ||||||
68,028 | Eaton Vance Floating-Rate Income Plus Fund5 | 1,107,496 |
12
Vivaldi Multi-Strategy Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
CLOSED-END FUNDS (Continued) | ||||||||
100,046 | Eaton Vance Senior Income Trust | $ | 663,305 | |||||
1,761 | First Eagle Senior Loan Fund | 25,253 | ||||||
27,908 | First Trust Senior Floating Rate 2022 Target Term Fund | 262,614 | ||||||
55,069 | Invesco Dynamic Credit Opportunities Fund | 626,135 | ||||||
167,310 | Invesco Senior Income Trust | 702,702 | ||||||
40,134 | Kayne Anderson NextGen Energy & Infrastructure, Inc.5 | 267,292 | ||||||
5 | Liberty All Star Growth Fund, Inc. | 43 | ||||||
48,039 | Miller/Howard High Dividend Fund | 461,174 | ||||||
25,067 | Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | 150,903 | ||||||
9,743 | NexPoint Strategic Opportunities Fund | 110,973 | ||||||
34,895 | Nuveen AMT-Free Quality Municipal Income Fund | 517,144 | ||||||
4,600 | Nuveen New York Municipal Value Fund 2 | 67,528 | ||||||
56,335 | PIMCO Energy & Tactical Credit Opportunities Fund | 583,067 | ||||||
16,699 | Pioneer Municipal High Income Trust | 206,567 | ||||||
3,413 | Source Capital, Inc.5 | 149,319 | ||||||
39 | Sprott Focus Trust, Inc. | 305 | ||||||
95,177 | Virtus AllianzGI Convertible & Income Fund II | 473,981 | ||||||
294,413 | Voya Prime Rate Trust5 | 1,366,076 | ||||||
TOTAL CLOSED-END FUNDS | ||||||||
(Cost $7,728,692) | 8,668,537 |
Principal Amount | ||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 21.0% | ||||||||
Alternative Loan Trust | ||||||||
$ | 42,576 | Series 2005-3CB, Class 1A4, 5.250%, 3/25/20352 | 42,141 | |||||
6,773,208 | Series 2006-HY10, Class 1X, 0.475%, 5/25/20362,4 | 87,916 | ||||||
248,983 | Series 2006-6CB, Class 2A3, 5.750%, 5/25/20362 | 153,579 | ||||||
147,256 | American Home Mortgage Assets Trust Series 2007-1, Class A1, 0.959% (12MTA+70 basis points), 2/25/20472,3 | 85,723 | ||||||
54,378 | Banc of America Funding Trust Series 2007-A, Class 2A1, 0.431% (1-Month USD Libor+32 basis points), 2/20/20472,3 | 52,322 | ||||||
168,608 | Bear Stearns Trust Series 2005-7, Class 22A1, 3.033%, 9/25/20352,4 | 134,120 | ||||||
250,000 | Bellemeade Re Ltd. Series 2019-2A, Class M2, 3.208% (1-Month USD Libor+310 basis points), 4/25/20291,2,3,4 | 252,383 | ||||||
430,284 | CSMC Mortgage-Backed Trust Series 2006-6, Class 1A4, 6.000%, 7/25/20362 | 331,460 | ||||||
932,145 | CSMC Trust Series 2017-RPL3, Class B5, 4.559%, 8/1/20571,2,4 | 920,028 |
13
Vivaldi Multi-Strategy Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Principal Amount | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (Continued) | ||||||||
$ | 183,421 | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR3, Class A6, 0.669% (1-Month USD Libor+56 basis points), 8/25/20362,3 | $ | 180,379 | ||||
250,000 | Foursight Capital Automobile Receivables Trust Series 2020-1, Class F, 4.620%, 6/15/20271,2 | 253,289 | ||||||
100,000 | Freddie Mac Multifamily Structured Credit Risk Series 2021-MN1, Class M2, 3.767% (SOFR30A+375 basis points), 1/25/20511,2,3,4 | 104,794 | ||||||
249,920 | Freddie Mac Structured Agency Credit Risk Debt Notes Series 2018-SPI3, Class B, 4.148%, 8/25/20481,2,4 | 238,197 | ||||||
250,567 | GreenPoint Mortgage Funding Trust Series 2006-OH1, Class A1, 0.289% (1-Month USD Libor+18 basis points), 1/25/20372,3 | 241,932 | ||||||
HarborView Mortgage Loan Trust | ||||||||
145,276 | Series 2006-13, Class A, 0.290% (1-Month USD Libor+18 basis points), 11/19/20462,3 | 125,042 | ||||||
87,029 | Series 2006-14, Class 2A1A, 0.260% (1-Month USD Libor+15 basis points), 1/25/20472,3 | 82,026 | ||||||
146,505 | Homeward Opportunities Fund I Trust Series 2019-2, Class A3, 3.007%, 9/25/20591,2,4 | 146,846 | ||||||
97,229 | Impac CMB Trust Series 2004-10, Class 3A1, 0.808% (1-Month USD Libor+70 basis points), 3/25/20352,3 | 96,641 | ||||||
2,086 | IndyMac INDA Mortgage Loan Trust Series 2007-AR2, Class A1, 3.659%, 6/25/20372,4 | 1,865 | ||||||
526,473 | IndyMac INDX Mortgage Loan Trust Series 2006-AR2, Class 1A1A, 0.549% (1-Month USD Libor+44 basis points), 4/25/20462,3 | 502,021 | ||||||
127,439 | JP Morgan Alternative Loan Trust Series 2007-A2, Class 11A1, 0.289% (1-Month USD Libor+18 basis points), 6/25/20372,3 | 91,135 | ||||||
685,038 | JP Morgan Mortgage Trust Series 2005-A8, Class 3A1, 2.763%, 11/25/20352,4 | 662,783 | ||||||
MASTR Alternative Loan Trust | ||||||||
544,528 | Series 2007-HF1, Class 4A1, 7.000%, 10/25/20472 | 352,062 | ||||||
258,672 | Series 2005-5, Class 3A1, 5.750%, 8/25/20352 | 185,414 | ||||||
487,649 | Morgan Stanley Mortgage Loan Trust Series 2006-13AX, Class A2, 0.449% (1-Month USD Libor+34 basis points), 10/25/20362,3,4 | 254,597 | ||||||
RALI Trust | ||||||||
143,402 | Series 2006-QS6, Class 1A2, 6.000%, 6/25/20362 | 137,302 | ||||||
295,673 | Series 2007-QS5, Class A1, 5.500%, 3/25/20372 | 284,170 | ||||||
305,692 | Series 2006-QO9, Class 1A3A, 0.509% (1-Month USD Libor+40 basis points), 12/25/20462,3 | 285,586 | ||||||
181,660 | Series 2006-QS15, Class A1, 6.500%, 10/25/20362 | 180,144 |
14
Vivaldi Multi-Strategy Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Principal Amount | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (Continued) | ||||||||
$ | 239,881 | Series 2007-QO4, Class A1A, 0.299% (1-Month USD Libor+19 basis points), 5/25/20472,3 | $ | 231,291 | ||||
410,272 | Residential Asset Securitization Trust Series 2006-A4, Class 2A1, 0.808% (1-Month USD Libor+70 basis points), 5/25/20362,3 | 371,575 | ||||||
242,203 | STACR Trust Series 2018-HRP1, Class B2, 11.858% (1-Month USD Libor+1,175 basis points), 5/25/20431,2,3 | 269,275 | ||||||
234,000 | Verus Securitization Trust Series 2019-INV2, Class B1, 4.452%, 7/25/20591,2,4 | 229,957 | ||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||
(Cost $7,788,064) | 7,567,995 |
Number of Shares | ||||||||
COMMON STOCKS — 10.8% | ||||||||
APPLICATIONS SOFTWARE — 0.7% | ||||||||
2,732 | RealPage, Inc.*,5 | 238,230 | ||||||
AUTO-MEDIUM & HEAVY DUTY TRUCKS — 0.1% | ||||||||
658 | Navistar International Corp.* | 28,972 | ||||||
COMMERCIAL SERVICES — 0.5% | ||||||||
1,015 | CoreLogic, Inc. | 80,439 | ||||||
2,661 | HMS Holdings Corp.*,5 | 98,390 | ||||||
178,829 | ||||||||
COMMERCIAL SERVICES-FINANCE — 0.1% | ||||||||
607 | Cardtronics PLC - Class A*,6 | 23,552 | ||||||
—7 | Diginex Ltd.*,6 | 4 | ||||||
23,556 | ||||||||
COMPUTER SERVICES — 0.3% | ||||||||
1 | American Virtual Cloud Technologies, Inc.* | 5 | ||||||
3,180 | Perspecta, Inc.5 | 92,379 | ||||||
92,384 | ||||||||
COMPUTER SOFTWARE — 0.4% | ||||||||
3,784 | Slack Technologies, Inc. - Class A*,5 | 153,744 | ||||||
DIAGNOSTIC EQUIPMENT — 0.0% | ||||||||
659 | GenMark Diagnostics, Inc.* | 15,750 | ||||||
ELECTRONIC COMPONENTS-SEMICONDUCTOR — 0.4% | ||||||||
800 | Inphi Corp.* | 142,728 |
15
Vivaldi Multi-Strategy Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
ENTERPRISE SOFTWARE/SERVICE — 0.3% | ||||||||
4,500 | Pluralsight, Inc. - Class A* | $ | 100,530 | |||||
HOTELS & MOTELS — 0.4% | ||||||||
6,929 | Extended Stay America, Inc. - Class B | 136,848 | ||||||
INVESTMENT COMPANIES — 2.2% | ||||||||
30,276 | Barings BDC, Inc.5 | 302,154 | ||||||
25,300 | First Eagle Alternative Capital BDC, Inc. | 102,212 | ||||||
60,286 | Oaktree Specialty Lending Corp. | 373,772 | ||||||
778,138 | ||||||||
MEDICAL PRODUCTS — 1.1% | ||||||||
2,353 | Varian Medical Systems, Inc.*,5 | 415,375 | ||||||
MEDICAL-DRUGS — 0.1% | ||||||||
2,774 | Aphria, Inc.*,6 | 50,958 | ||||||
OIL COMP-EXPLORATION & PRODUCTION — 0.0% | ||||||||
—7 | CNX Resources Corp.* | 1 | ||||||
PROPERTY/CASUALTY INSURANCE — 0.2% | ||||||||
1,823 | Watford Holdings Ltd.*,5,6 | 63,094 | ||||||
PUBLISHING-NEWSPAPERS — 0.1% | ||||||||
2,718 | Tribune Publishing Co. | 48,897 | ||||||
SPECIFIED PURPOSE ACQUISITIONS — 3.4% | ||||||||
3,452 | Agba Acquisition Ltd.*,5,6 | 36,419 | ||||||
1,940 | Americas Thechonology Acquisition Corp.*,6 | 19,264 | ||||||
4,148 | Amplitude Healthcare Acquisition Corp. - Class A*,5 | 41,231 | ||||||
4,016 | Benessere Capital Acquisition Corp. - Class A* | 39,919 | ||||||
3,234 | Blue Water Acquisition Corp. - Class A* | 32,534 | ||||||
1,186 | Bright Lights Acquisition Corp. - Class A* | 11,386 | ||||||
1,635 | Brilliant Acquisition Corp.*,6 | 16,236 | ||||||
3,776 | Burgundy Technology Acquisition Corp. - Class A*,6 | 37,345 | ||||||
574 | Capstar Special Purpose Acquisition Corp. - Class A* | 5,602 | ||||||
3,962 | Chardan Healthcare Acquisition 2 Corp.* | 39,818 | ||||||
3,246 | Churchill Capital Corp. II - Class A*,5 | 32,460 | ||||||
663 | Corner Growth Acquisition Corp. - Class A*,6 | 6,491 | ||||||
2,024 | Dune Acquisition Corp. - Class A* | 19,734 | ||||||
4,001 | East Stone Acquisition Corp.*,5,6 | 39,970 | ||||||
2,878 | Empowerment & Inclusion Capital I Corp. - Class A* | 27,830 | ||||||
4,701 | Far Point Acquisition Corp. - Class A*,6 | 45,929 |
16
Vivaldi Multi-Strategy Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
SPECIFIED PURPOSE ACQUISITIONS (Continued) | ||||||||
746 | Fusion Acquisition Corp. - Class A* | $ | 7,430 | |||||
268 | Golden Falcon Acquisition Corp. - Class A* | 2,592 | ||||||
7,084 | Greenrose Acquisition Corp.*,5 | 70,557 | ||||||
5,713 | Greenvision Acquisition Corp.*,5 | 58,044 | ||||||
194 | Healthcare Services Acquisition Corp. - Class A* | 1,878 | ||||||
1,060 | Kairos Acquisition Corp. - Class A*,6 | 10,324 | ||||||
1,292 | KINS Technology Group, Inc. - Class A* | 12,675 | ||||||
2,964 | LightJump Acquisition Corp.* | 28,721 | ||||||
5,036 | Lionheart Acquisition Corp. II - Class A* | 49,453 | ||||||
6,857 | LIV Capital Acquisition Corp. - Class A*,5,6 | 68,159 | ||||||
1,563 | Live Oak Acquisition Corp. II - Class A* | 15,614 | ||||||
741 | Locust Walk Acquisition Corp. - Class A* | 7,128 | ||||||
6,824 | Merida Merger Corp. I*,5 | 67,421 | ||||||
29 | Omega Alpha SPAC - Class A*,6 | 287 | ||||||
1,551 | PropTech Investment Corp. II - Class A* | 15,184 | ||||||
2,979 | RedBall Acquisition Corp. - Class A*,6 | 29,641 | ||||||
2,738 | Replay Acquisition Corp.*,5,6 | 27,928 | ||||||
154 | SC Health Corp. - Class A*,5,6 | 1,552 | ||||||
663 | ScION Tech Growth I - Class A*,6 | 6,491 | ||||||
3,940 | Seven Oaks Acquisition Corp. - Class A* | 38,415 | ||||||
160 | Spartan Acquisition Corp. II* | 1,674 | ||||||
2,156 | Sustainable Opportunities Acquisition Corp. - Class A*,6 | 21,409 | ||||||
25 | SVF Investment Corp. - Class A*,6 | 255 | ||||||
3,572 | Tastemaker Acquisition Corp. - Class A* | 34,791 | ||||||
1,043 | Thunder Bridge Acquisition II Ltd. - Class A*,5,6 | 10,868 | ||||||
2,464 | Tuscan Holdings Corp. II*,5 | 24,862 | ||||||
3,768 | Ventoux CCM Acquisition Corp.* | 36,889 | ||||||
3,895 | Vistas Media Acquisition Co., Inc. - Class A* | 38,599 | ||||||
3,405 | Viveon Health Acquisition Corp.* | 33,437 | ||||||
4,702 | Yunhong International - Class A*,5,6 | 47,161 | ||||||
1,221,607 | ||||||||
THERAPEUTICS — 0.5% | ||||||||
784 | GW Pharmaceuticals PLC*,6 | 170,050 | ||||||
WEB HOSTING/DESIGN — 0.0% | ||||||||
209 | NIC, Inc. | 7,091 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $3,681,830) | 3,866,782 |
17
Vivaldi Multi-Strategy Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Principal Amount | Value | |||||||
CORPORATE BONDS — 4.5% | ||||||||
FINANCIALS — 4.5% | ||||||||
$ | 300,000 | Allegiance Bank 5.250% (3-Month USD Libor+303 basis points), 12/15/20271,2,4 | $ | 308,924 | ||||
205,570 | BlackRock Capital Investment Corp. 5.000%, 6/15/20225,8 | 206,388 | ||||||
300,000 | ConnectOne Bancorp, Inc. 5.200% (3-Month USD Libor+284 basis points), 2/1/20282,4 | 301,142 | ||||||
300,000 | Independent Bank Group, Inc. 5.000% (3-Month USD Libor+283 basis points), 12/31/20272,4 | 308,382 | ||||||
250,000 | Nationstar Mortgage Holdings, Inc. 5.500%, 8/15/20281,2 | 251,481 | ||||||
230,000 | PennantPark Floating Rate Capital Ltd. 4.250%, 4/1/20262 | 230,705 | ||||||
1,607,022 | ||||||||
TOTAL CORPORATE BONDS | ||||||||
(Cost $1,564,327) | 1,607,022 |
Number of Shares | ||||||||
EXCHANGE-TRADED DEBT SECURITIES — 2.8% | ||||||||
FINANCIALS — 2.8% | ||||||||
First Eagle Alternative Capital BDC, Inc. | ||||||||
6,599 | 6.125%, 10/30/20232,5 | 170,518 | ||||||
5,836 | 6.750%, 12/30/20222,5 | 148,351 | ||||||
Oxford Square Capital Corp. | ||||||||
13,092 | 6.500%, 3/30/20242,5 | 333,846 | ||||||
2,042 | 6.250%, 4/30/20262,5 | 51,601 | ||||||
8,756 | Portman Ridge Finance Corp. 6.125%, 9/30/20222,5 | 221,089 | ||||||
1,184 | TriplePoint Venture Growth BDC Corp. 5.750%, 7/15/20222,5 | 29,956 | ||||||
1,800 | WhiteHorse Finance, Inc. 6.500%, 11/30/20252,5 | 47,160 | ||||||
1,002,521 | ||||||||
TOTAL EXCHANGE-TRADED DEBT SECURITIES | ||||||||
(Cost $936,690) | 1,002,521 | |||||||
EXCHANGE-TRADED FUNDS — 0.6% | ||||||||
1,691 | iShares iBoxx $ Investment Grade Corporate Bond ETF | 219,915 | ||||||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Cost $220,890) | 219,915 | |||||||
RIGHTS — 0.0% | ||||||||
3,452 | Agba Acquisition Ltd., Expiration Date: April 14, 2021*,5,6 | 2,071 |
18
Vivaldi Multi-Strategy Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
RIGHTS (Continued) | ||||||||
4,016 | Benessere Capital Acquisition Corp., Expiration Date: January 4, 2022* | $ | 1,313 | |||||
1,635 | Brilliant Acquisition Corp., Expiration Date: March 20, 2022*,6 | 458 | ||||||
4,001 | East Stone Acquisition Corp., Expiration Date: November 3, 2021*,5,6 | 1,281 | ||||||
5,713 | Greenvision Acquisition Corp., Expiration Date: August 20, 2022*,5 | 3,028 | ||||||
8,260 | Stemline Therapeutics, Inc., Expiration Date: December 31, 2021*,5,9 | 2,726 | ||||||
3,768 | Ventoux CCM Acquisition Corp., Expiration Date: June 23, 2022* | 788 | ||||||
3,405 | Viveon Health Acquisition Corp., Expiration Date: February 17, 2022* | 613 | ||||||
4,702 | Yunhong International, Expiration Date: November 3, 2021*,5,6 | 2,062 | ||||||
TOTAL RIGHTS | ||||||||
(Cost $2,726) | 14,340 |
Principal Amount | ||||||||
U.S. TREASURY BONDS — 0.6% | ||||||||
$ | 289,403 | United States Treasury Bond 1.250%, 5/15/2050 | 218,488 | |||||
TOTAL U.S. TREASURY BONDS | ||||||||
(Cost $220,489) | 218,488 |
Number of Shares | ||||||||
UNITS — 0.3% | ||||||||
SPECIFIED PURPOSE ACQUISITIONS — 0.3% | ||||||||
259 | 7GC & Co. Holdings, Inc.* | 2,631 | ||||||
2 | Benessere Capital Acquisition Corp.* | 22 | ||||||
259 | CF Acquisition Corp. IV* | 2,598 | ||||||
2 | Corner Growth Acquisition Corp.*,6 | 20 | ||||||
1 | Empowerment & Inclusion Capital I Corp.* | 10 | ||||||
1 | Golden Falcon Acquisition Corp.* | 10 | ||||||
1 | KINS Technology Group, Inc.* | 10 | ||||||
148 | KL Acquisition Corp.* | 1,467 | ||||||
1 | Live Oak Acquisition Corp. II* | 11 | ||||||
3,648 | Mountain Crest Acquisition Corp. II* | 36,991 | ||||||
1 | PropTech Investment Corp. II* | 10 | ||||||
148 | Prospector Capital Corp.*,6 | 1,487 | ||||||
2 | RedBall Acquisition Corp.*,6 | 20 | ||||||
2 | ScION Tech Growth I*,6 | 20 | ||||||
265 | Star Peak Corp. II* | 2,773 | ||||||
4 | SVF Investment Corp.*,6 | 42 | ||||||
148 | VectoIQ Acquisition Corp. II* | 1,499 |
19
Vivaldi Multi-Strategy Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
UNITS (Continued) | ||||||||
SPECIFIED PURPOSE ACQUISITIONS (Continued) | ||||||||
7,417 | Vickers Vantage Corp. I*,6 | $ | 74,912 | |||||
124,533 | ||||||||
TOTAL UNITS | ||||||||
(Cost $123,089) | 124,533 | |||||||
WARRANTS — 0.2% | ||||||||
3,452 | Agba Acquisition Ltd., Expiration Date: May 10, 2024*,5,6 | 1,001 | ||||||
970 | Americas Thechonology Acquisition Corp., Expiration Date: December 31, 2027*,6 | 533 | ||||||
2,074 | Amplitude Healthcare Acquisition Corp., Expiration Date: December 1, 2026*,5 | 1,701 | ||||||
3,012 | Benessere Capital Acquisition Corp., Expiration Date: December 31, 2027* | 1,416 | ||||||
3,234 | Blue Water Acquisition Corp., Expiration Date: August 31, 2027* | 1,763 | ||||||
593 | Bright Lights Acquisition Corp., Expiration Date: December 31, 2027* | 356 | ||||||
999 | Brilliant Acquisition Corp., Expiration Date: December 31, 2025*,6 | 499 | ||||||
1,888 | Burgundy Technology Acquisition Corp., Expiration Date: October 5, 2025*,6 | 2,020 | ||||||
287 | Capstar Special Purpose Acquisition Corp., Expiration Date: July 9, 2027* | 204 | ||||||
3,962 | Chardan Healthcare Acquisition 2 Corp., Expiration Date: March 5, 2025* | 3,724 | ||||||
221 | Corner Growth Acquisition Corp., Expiration Date: December 31, 2027*,6 | 219 | ||||||
1,012 | Dune Acquisition Corp., Expiration Date: October 29, 2027* | 628 | ||||||
1,439 | Empowerment & Inclusion Capital I Corp., Expiration Date: December 31, 2027* | 719 | ||||||
1,567 | Far Point Acquisition Corp., Expiration Date: December 7, 2025*,6 | 1,724 | ||||||
373 | Fusion Acquisition Corp., Expiration Date: June 1, 2027* | 433 | ||||||
134 | Golden Falcon Acquisition Corp., Expiration Date: November 4, 2026* | 95 | ||||||
7,084 | Greenrose Acquisition Corp., Expiration Date: May 11, 2024*,5 | 5,883 | ||||||
1,931 | Greenvision Acquisition Corp., Expiration Date: October 28, 2024*,5 | 1,912 | ||||||
97 | Healthcare Services Acquisition Corp., Expiration Date: December 31, 2027* | 60 | ||||||
530 | Kairos Acquisition Corp., Expiration Date: December 31, 2027*,6 | 286 | ||||||
646 | KINS Technology Group, Inc., Expiration Date: December 31, 2025* | 420 | ||||||
7,144 | Leisure Acquisition Corp., Expiration Date: December 28, 2022*,5 | 5,930 | ||||||
1,482 | LightJump Acquisition Corp., Expiration Date: December 31, 2027* | 741 | ||||||
2,518 | Lionheart Acquisition Corp. II, Expiration Date: February 14, 2026* | 1,813 | ||||||
6,857 | LIV Capital Acquisition Corp., Expiration Date: January 10, 2025*,5,6 | 3,909 | ||||||
521 | Live Oak Acquisition Corp. II, Expiration Date: December 7, 2025* | 745 | ||||||
247 | Locust Walk Acquisition Corp., Expiration Date: December 31, 2027* | 151 | ||||||
3,412 | Merida Merger Corp. I, Expiration Date: November 7, 2026*,5 | 3,958 | ||||||
517 | PropTech Investment Corp. II, Expiration Date: December 31, 2027* | 522 | ||||||
993 | RedBall Acquisition Corp., Expiration Date: August 17, 2022*,6 | 1,350 | ||||||
77 | SC Health Corp., Expiration Date: August 21, 2024*,5,6 | 146 | ||||||
221 | ScION Tech Growth I, Expiration Date: November 1, 2025*,6 | 192 | ||||||
1,970 | Seven Oaks Acquisition Corp., Expiration Date: December 22, 2025* | 1,793 | ||||||
80 | Spartan Acquisition Corp. II, Expiration Date: November 28, 2025* | 146 | ||||||
1,078 | Sustainable Opportunities Acquisition Corp., Expiration Date: June 26, 2025*,6 | 970 |
20
Vivaldi Multi-Strategy Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
WARRANTS (Continued) | ||||||||
5 | SVF Investment Corp., Expiration Date: December 31, 2027*,6 | $ | 10 | |||||
1,786 | Tastemaker Acquisition Corp., Expiration Date: December 31, 2025* | 1,039 | ||||||
1,232 | Tuscan Holdings Corp. II, Expiration Date: July 16, 2025*,5 | 986 | ||||||
3,768 | Ventoux CCM Acquisition Corp., Expiration Date: September 30, 2025* | 1,658 | ||||||
1,386 | Vincerx Pharma, Inc., Expiration Date: December 24, 2025*,5 | 5,599 | ||||||
3,895 | Vistas Media Acquisition Co., Inc., Expiration Date: August 1, 2026* | 2,415 | ||||||
3,405 | Viveon Health Acquisition Corp., Expiration Date: December 31, 2027* | 1,296 | ||||||
2,351 | Yunhong International, Expiration Date: January 31, 2027*,5,6 | 1,199 | ||||||
TOTAL WARRANTS | ||||||||
(Cost $0) | 62,164 | |||||||
SHORT-TERM INVESTMENTS — 20.9% | ||||||||
7,520,637 | Morgan Stanley Institutional Liquidity Fund - Government Portfolio - Institutional Class 0.026%5,10 | 7,520,637 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $7,520,637) | 7,520,637 | |||||||
TOTAL INVESTMENTS — 99.3% | ||||||||
(Cost $34,590,769) | 35,736,542 | |||||||
Assets in Excess of Other Liabilities — 0.7% | 235,292 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 35,971,834 | ||||||
SECURITIES SOLD SHORT — (5.6)% | ||||||||
COMMON STOCKS — (0.6)% | ||||||||
ELECTRONIC COMPONENTS-SEMICONDUCTOR — (0.2)% | ||||||||
(1,857 | ) | Marvell Technology Group Ltd.6 | (90,956 | ) | ||||
ENTERPRISE SOFTWARE/SERVICE — (0.2)% | ||||||||
(293 | ) | salesforce.com, Inc.* | (62,078 | ) | ||||
MEDICAL-DRUGS — (0.2)% | ||||||||
(92 | ) | Jazz Pharmaceuticals PLC*,6 | (15,122 | ) | ||||
(2,325 | ) | Tilray, Inc.* | (52,847 | ) | ||||
(67,969 | ) | |||||||
TOTAL COMMON STOCKS | ||||||||
(Proceeds $223,140) | (221,003 | ) | ||||||
EXCHANGE-TRADED FUNDS — (5.0)% | ||||||||
(2,094 | ) | Energy Select Sector SPDR Fund - ETF | (102,732 | ) | ||||
(52,349 | ) | Invesco Senior Loan ETF | (1,158,483 | ) |
21
Vivaldi Multi-Strategy Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2021 (Unaudited)
Number of Shares | Value | |||||||
EXCHANGE-TRADED FUNDS (Continued) | ||||||||
(6,122 | ) | iShares iBoxx High Yield Corporate Bond ETF | $ | (533,716 | ) | |||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Proceeds $1,772,056) | (1,794,931 | ) | ||||||
TOTAL SECURITIES SOLD SHORT | ||||||||
(Proceeds $1,995,196) | $ | (2,015,934 | ) |
Number of Contracts | ||||||||
WRITTEN OPTIONS CONTRACTS — (0.0)% | ||||||||
CALL OPTIONS — (0.0)% | ||||||||
CoreLogic, Inc. | ||||||||
(7 | ) | Exercise Price: $80.00, Notional Amount: $(56,000), Expiration Date: May 21, 2021* | (630 | ) | ||||
(3 | ) | Exercise Price: $80.00, Notional Amount: $(24,000), Expiration Date: July 16, 2021* | (300 | ) | ||||
Extended Stay America, Inc. | ||||||||
(5 | ) | Exercise Price: $19.65, Notional Amount: $(9,825), Expiration Date: April 16, 2021* | (100 | ) | ||||
GenMark Diagnostics, Inc. | ||||||||
(2 | ) | Exercise Price: $25.00, Notional Amount: $(5,000), Expiration Date: April 16, 2021* | (10 | ) | ||||
(1 | ) | Exercise Price: $25.00, Notional Amount: $(2,500), Expiration Date: July 16, 2021* | (10 | ) | ||||
Perspecta, Inc. | ||||||||
(1 | ) | Exercise Price: $30.00, Notional Amount: $(3,000), Expiration Date: April 16, 2021* | (2 | ) | ||||
TOTAL CALL OPTIONS | ||||||||
(Proceeds $1,135) | (1,052 | ) | ||||||
TOTAL WRITTEN OPTIONS CONTRACTS | ||||||||
(Proceeds $1,135) | $ | (1,052 | ) |
ETF — Exchange-Traded Fund |
PLC — Public Limited Company |
* | Non-income producing security. |
1 | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers. The total value of these securities is $7,648,910, which represents 21.26% of total net assets of the Fund. |
2 | Callable. |
3 | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
4 | Variable rate security. |
5 | All or a portion of this security is segregated as collateral for securities sold short and written options contracts. The market value of the securities pledged as collateral was $3,289,265. |
6 | Foreign security denominated in U.S. Dollars. |
7 | Amount represents less than 0.5 shares. |
8 | Convertible security. |
9 | Level 3 securities fair valued under procedures established by the Board of Trustees, represents 0.01% of Net Assets. The total value of these securities is $2,726. |
10 | The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Financial Statements.
22
Vivaldi Multi-Strategy Fund
SUMMARY OF INVESTMENTS
As of March 31, 2021 (Unaudited)
Security Type/Sector | Percent of Total Net Assets |
Asset-Backed Securities | 13.5% |
Closed-End Funds | 24.1% |
Collateralized Mortgage Obligations | 21.0% |
Common Stocks | |
Financials | 5.7% |
Technology | 2.3% |
Health Care | 1.7% |
Consumer Discretionary | 0.4% |
Industrials | 0.4% |
Consumer Staples | 0.2% |
Communications | 0.1% |
Energy | 0.0% |
Total Common Stocks | 10.8% |
Corporate Bonds | 4.5% |
Exchange-Traded Debt Securities | |
Financials | 2.8% |
Exchange-Traded Funds | 0.6% |
Rights | 0.0% |
U.S. Treasury Bonds | 0.6% |
Units | |
Financials | 0.3% |
Warrants | 0.2% |
Short-Term Investments | 20.9% |
Total Investments | 99.3% |
Other Assets in Excess of Liabilities | 0.7% |
Total Net Assets | 100.0% |
Please refer to the Schedule of Investments for information on securities sold short and written options contracts.
See accompanying Notes to Financial Statements.
23
STATEMENTS OF ASSETS AND LIABILITIES
As of March 31, 2021 (Unaudited)
Vivaldi Merger Arbitrage Fund | Vivaldi Multi-Strategy Fund | |||||||
Assets: | ||||||||
Investments, at cost | $ | 638,369,921 | $ | 34,590,769 | ||||
Investments, at value | $ | 634,476,887 | $ | 35,736,542 | ||||
Cash deposited with brokers for securities sold short and written options contracts | 30,075,618 | 2,686,712 | ||||||
Receivables: | ||||||||
Investment securities sold | 685,242 | 66,020 | ||||||
Fund shares sold | 2,456,286 | 5,151 | ||||||
Dividends and interest | 31,676 | 87,285 | ||||||
Prepaid expenses | 45,971 | 50,000 | ||||||
Total assets | 667,771,680 | 38,631,710 | ||||||
Liabilities: | ||||||||
Securities sold short, proceeds | $ | 31,402,199 | $ | 1,995,196 | ||||
Written options contracts, proceeds | 262,907 | 1,135 | ||||||
Securities sold short, at value | $ | 31,166,185 | $ | 2,015,934 | ||||
Written options contracts, at value | 159,014 | 1,052 | ||||||
Payables: | ||||||||
Investment securities purchased | 42,470,686 | 543,090 | ||||||
Fund shares redeemed | 437,442 | 39,347 | ||||||
Advisory fees | 618,256 | 30,029 | ||||||
Shareholder servicing fees (Note 8) | 10,348 | 2,962 | ||||||
Distribution fees (Note 7) | 10,257 | 497 | ||||||
Fund services fees | 134,749 | - | ||||||
Trustees' deferred compensation (Note 3) | 33,882 | 9,147 | ||||||
Shareholder reporting fees | 11,978 | 175 | ||||||
Auditing fees | 7,480 | 7,460 | ||||||
Dividends and interest on securities sold short | 6,724 | 2,793 | ||||||
Chief Compliance Officer fees | 3,330 | 4,475 | ||||||
Legal fees | 2,840 | 1,391 | ||||||
Trustees' fees and expenses | 2,465 | 631 | ||||||
Accrued other expenses | 2,650 | 893 | ||||||
Total liabilities | 75,078,286 | 2,659,876 | ||||||
Net Assets | $ | 592,693,394 | $ | 35,971,834 | ||||
Components of Net Assets: | ||||||||
Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized) | $ | 559,732,458 | $ | 37,109,667 | ||||
Total distributable earnings (accumulated deficit) | 32,960,936 | (1,137,833 | ) | |||||
Net Assets | $ | 592,693,394 | $ | 35,971,834 | ||||
Maximum Offering Price per Share: | ||||||||
Class A Shares: | ||||||||
Net assets applicable to shares outstanding | $ | 49,336,663 | $ | 2,268,894 | ||||
Number of shares issued and outstanding | 4,487,797 | 88,006 | ||||||
Redemption price per share | $ | 10.99 | $ | 25.78 | ||||
Maximum sales charge (5.75%, 5.00%, respectively, of offering price)* | 0.67 | 1.36 | ||||||
Maximum offering price to public | $ | 11.66 | $ | 27.14 | ||||
Class I Shares: | ||||||||
Net assets applicable to shares outstanding | $ | 543,356,731 | $ | 33,702,940 | ||||
Number of shares issued and outstanding | 48,647,009 | 1,282,165 | ||||||
Redemption price per share | $ | 11.17 | $ | 26.29 |
* | No sales charge applies on investments of $1 million or more. On sales of $25,000 or more, the sales charge will be reduced for the Vivaldi Merger Arbitrage Fund. On sales of $50,000 or more, the sales charge will be reduced for the Vivaldi Multi-Strategy Fund. |
See accompanying Notes to Financial Statements.
24
STATEMENTS OF OPERATIONS
For the Six Months Ended March 31, 2021 (Unaudited)
Vivaldi Merger Arbitrage Fund | Vivaldi Multi-Strategy Fund | |||||||
Investment income: | ||||||||
Dividends | $ | 3,901,149 | $ | 369,977 | ||||
Interest | 21,439 | 483,969 | ||||||
Total investment income | 3,922,588 | 853,946 | ||||||
Expenses: | ||||||||
Advisory fees | 3,336,226 | 243,402 | ||||||
Shareholder servicing fees Class A (Note 8) | 34,718 | 914 | ||||||
Shareholder servicing fees Class I (Note 8) | 186,444 | 19,303 | ||||||
Distribution fees - (Note 7) | 57,864 | 2,576 | ||||||
Fund services fees | 426,915 | 20,382 | ||||||
Dividends on securities sold short | 174,240 | 43,628 | ||||||
Shareholder reporting fees | 51,663 | 6,233 | ||||||
Interest expense | 42,599 | 14,793 | ||||||
Registration fees | 40,560 | 28,633 | ||||||
Trustees' fees and expenses | 22,030 | 1,512 | ||||||
Legal fees | 21,627 | 1,056 | ||||||
Chief Compliance Officer fees | 8,228 | 11,795 | ||||||
Insurance fees | 7,877 | 839 | ||||||
Auditing fees | 7,480 | 7,461 | ||||||
Miscellaneous | 6,483 | 1,641 | ||||||
Total expenses | 4,424,954 | 404,168 | ||||||
Advisory fees waived | (50,866 | ) | - | |||||
Fees paid indirectly (Note 3) | (8,201 | ) | (28,719 | ) | ||||
Net expenses | 4,365,887 | 375,449 | ||||||
Net investment income (loss) | (443,299 | ) | 478,497 | |||||
Realized and Unrealized Gain (Loss) | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | 43,505,705 | 2,219,937 | ||||||
Purchased options contracts | (126,450 | ) | 414 | |||||
Securities sold short | (515,248 | ) | (59,417 | ) | ||||
Written options contracts | 41,220 | 2,544 | ||||||
Net realized gain | 42,905,227 | 2,163,478 | ||||||
Net change in unrealized appreciation/depreciation on: | ||||||||
Investments | (9,774,336 | ) | 1,571,741 | |||||
Securities sold short | 3,449,389 | 22,895 | ||||||
Written options contracts | (11,018 | ) | (1,423 | ) | ||||
Net change in unrealized appreciation/depreciation | (6,335,965 | ) | 1,593,213 | |||||
Net increase from payments by affiliates (Note 3) | - | 440 | ||||||
Net realized and unrealized gain | 36,569,262 | 3,757,131 | ||||||
Net Increase in Net Assets from Operations | $ | 36,125,963 | $ | 4,235,628 |
See accompanying Notes to Financial Statements.
25
Vivaldi Merger Arbitrage Fund
STATEMENTS OF CHANGES IN NET ASSETS
For the | For the | |||||||
Increase (Decrease) in Net Assets from: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (443,299 | ) | $ | (6,324,936 | ) | ||
Net realized gain | 42,905,227 | 7,219,199 | ||||||
Net change in unrealized appreciation/depreciation on investments, securities sold short, written options contracts and swap contracts | (6,335,965 | ) | 2,504,088 | |||||
Net increase in net assets resulting from operations | 36,125,963 | 3,398,351 | ||||||
Distributions to Shareholders: | ||||||||
Distributions: | ||||||||
Class A | (384,641 | ) | (2,663,911 | ) | ||||
Class I | (3,779,861 | ) | (30,677,263 | ) | ||||
Total distributions to shareholders | (4,164,502 | ) | (33,341,174 | ) | ||||
Capital Transactions: | ||||||||
Net proceeds from shares sold: | ||||||||
Class A | 12,533,987 | 18,114,907 | ||||||
Class I | 116,423,227 | 236,806,046 | ||||||
Reinvestment of distributions: | ||||||||
Class A | 374,347 | 2,596,722 | ||||||
Class I | 3,145,463 | 25,742,679 | ||||||
Cost of shares redeemed: | ||||||||
Class A1 | (10,236,782 | ) | (33,206,520 | ) | ||||
Class I2 | (91,241,770 | ) | (326,207,463 | ) | ||||
Net increase (decrease) in net assets from capital transactions | 30,998,472 | (76,153,629 | ) | |||||
Total increase (decrease) in net assets | 62,959,933 | (106,096,452 | ) | |||||
Net Assets: | ||||||||
Beginning of period | 529,733,461 | 635,829,913 | ||||||
End of period | $ | 592,693,394 | $ | 529,733,461 | ||||
Capital Share Transactions: | ||||||||
Shares sold: | ||||||||
Class A | 1,155,383 | 1,754,129 | ||||||
Class I | 10,475,450 | 22,558,438 | ||||||
Shares reinvested: | ||||||||
Class A | 35,961 | 250,891 | ||||||
Class I | 297,584 | 2,458,709 | ||||||
Shares redeemed: | ||||||||
Class A | (950,209 | ) | (3,180,340 | ) | ||||
Class I | (8,497,744 | ) | (31,231,207 | ) | ||||
Net increase (decrease) in capital share transactions | 2,516,425 | (7,389,380 | ) |
1 | Net of redemption fee proceeds of $1,851 and $1,039, respectively. |
2 | Net of redemption fee proceeds of $5,016 and $11,012, respectively. |
See accompanying Notes to Financial Statements.
26
Vivaldi Multi-Strategy Fund
STATEMENTS OF CHANGES IN NET ASSETS
For the | For the | |||||||
Increase (Decrease) in Net Assets from: | ||||||||
Operations: | ||||||||
Net investment income | $ | 478,497 | $ | 859,568 | ||||
Net realized gain (loss) | 2,163,478 | (2,025,096 | ) | |||||
Net change in unrealized appreciation/depreciation on investments, purchased options contracts, securities sold short, written options contracts, swap contracts and foreign currency translations | 1,593,213 | (1,295,544 | ) | |||||
Net increase from payment by affiliates | 440 | - | ||||||
Net increase (decrease) in net assets resulting from operations | 4,235,628 | (2,461,072 | ) | |||||
Distributions to Shareholders: | ||||||||
Distributions: | ||||||||
Class A | (48,789 | ) | (380,980 | ) | ||||
Class I | (893,668 | ) | (3,889,997 | ) | ||||
From return of capital: | ||||||||
Class A | — | (38,519 | ) | |||||
Class I | — | (752,217 | ) | |||||
Total distributions to shareholders | (942,457 | ) | (5,061,713 | ) | ||||
Capital Transactions: | ||||||||
Net proceeds from shares sold: | ||||||||
Class A | 794,023 | 1,082,483 | ||||||
Class I | 6,474,924 | 38,478,341 | ||||||
Reinvestment of distributions: | ||||||||
Class A | 44,393 | 402,535 | ||||||
Class I | 790,689 | 3,740,095 | ||||||
Cost of shares redeemed: | ||||||||
Class A | (1,172,721 | ) | (3,871,894 | ) | ||||
Class I | (22,418,178 | ) | (37,251,286 | ) | ||||
Net increase (decrease) in net assets from capital transactions | (15,486,870 | ) | 2,580,274 | |||||
Total decrease in net assets | (12,193,699 | ) | (4,942,511 | ) | ||||
Net Assets: | ||||||||
Beginning of period | 48,165,533 | 53,108,044 | ||||||
End of period | $ | 35,971,834 | $ | 48,165,533 | ||||
Capital Share Transactions: | ||||||||
Shares sold: | ||||||||
Class A | 30,763 | 43,872 | ||||||
Class I | 254,213 | 1,531,827 | ||||||
Shares reinvested: | ||||||||
Class A | 1,741 | 15,970 | ||||||
Class I | 30,488 | 149,225 | ||||||
Shares redeemed: | ||||||||
Class A | (47,432 | ) | (162,003 | ) | ||||
Class I | (879,411 | ) | (1,529,165 | ) | ||||
Net increase (decrease) in capital share transactions | (609,638 | ) | 49,726 |
See accompanying Notes to Financial Statements.
27
Vivaldi Merger Arbitrage Fund
STATEMENT OF CASH FLOWS
For the Six Months Ended March 31, 2021 (Unaudited)
Increase (Decrease) in Cash: | ||||
Cash flows provided by (used for) operating activities: | ||||
Net increase in net assets resulting from operations | $ | 36,125,963 | ||
Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used for) operating activities: | ||||
Purchases of long-term investments | (937,420,640 | ) | ||
Sales of long-term investments | 832,673,056 | |||
Return of capital dividends received | 3,046,958 | |||
Proceeds from securities sold short | 63,408,071 | |||
Cover short securities | (100,713,989 | ) | ||
Proceeds from written options | 551,687 | |||
Closed written options | (399,028 | ) | ||
Sales of short-term investments, net | 48,999,569 | |||
Decrease in investment securities sold receivable | 261,238 | |||
Decrease in dividends and interest receivables | 87,233 | |||
Increase in prepaid expenses | (13,120 | ) | ||
Increase in investment securities purchased payable | 24,336,192 | |||
Increase in advisory fees payable | 69,293 | |||
Decrease in interest and dividends on securities sold short | (11,263 | ) | ||
Decrease in accrued expenses | (46,731 | ) | ||
Net realized gain | (42,905,095 | ) | ||
Net change in unrealized appreciation/depreciation | 6,335,965 | |||
Net cash used for operating activities | (65,614,641 | ) | ||
Cash flows provided by (used for) financing activities: | ||||
Proceeds from shares sold | 126,833,182 | |||
Cost of shares redeemed | (101,374,380 | ) | ||
Dividends paid to shareholders, net of reinvestments | (644,692 | ) | ||
Net cash provided by financing activities | 24,814,110 | |||
Net decrease in cash | (40,800,531 | ) | ||
Cash and cash equivalents | ||||
Beginning cash balance | - | |||
Begining cash held at brokers | 70,876,149 | |||
Total beginning cash and cash equivalents | 70,876,149 | |||
Ending cash balance | - | |||
Ending cash held at brokers | 30,075,618 | |||
Total ending cash and cash equivalents | $ | 30,075,618 | ||
Non cash financing activities not included herein consist of $3,519,810 of reinvested dividends. |
See accompanying Notes to Financial Statements.
28
Vivaldi Multi-Strategy Fund
STATEMENT OF CASH FLOWS
For the Six Months Ended March 31, 2021 (Unaudited)
Increase (Decrease) in Cash: | ||||
Cash flows provided by (used for) operating activities: | ||||
Net increase in net assets resulting from operations | $ | 4,235,628 | ||
Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used for) operating activities: | ||||
Purchases of long-term investments | (20,183,242 | ) | ||
Sales of long-term investments | 37,273,534 | |||
Return of capital dividends received | 177,884 | |||
Proceeds from securities sold short | 1,577,017 | |||
Cover short securities | (2,798,680 | ) | ||
Proceeds from written options | 1,709 | |||
Closed written options | (21 | ) | ||
Purchases of short-term investments, net | (1,766,113 | ) | ||
Decrease in investment securities sold receivable | 84,144 | |||
Decrease in dividends and interest receivables | 42,535 | |||
Increase in prepaid expenses | (8,769 | ) | ||
Decrease in investment securities purchased payable | (12,070 | ) | ||
Decrease in advisory fees payable | (17,739 | ) | ||
Decrease in interest and dividends on securities sold short | (92 | ) | ||
Decrease in accrued expenses | (16,220 | ) | ||
Net amortization on investments | (30,391 | ) | ||
Net realized gain | (2,203,472 | ) | ||
Net change in unrealized appreciation/depreciation | (1,593,213 | ) | ||
Net cash provided by operating activities | 14,762,429 | |||
Cash flows provided by (used for) financing activities: | ||||
Proceeds from shares sold | 7,266,179 | |||
Cost of shares redeemed | (23,562,908 | ) | ||
Dividends paid to shareholders, net of reinvestments | (107,375 | ) | ||
Net cash used for financing activities | (16,404,104 | ) | ||
Net decrease in cash | (1,641,675 | ) | ||
Cash and cash equivalents | ||||
Beginning cash balance | 458,302 | |||
Begining cash held at brokers | 3,870,085 | |||
Total beginning cash and cash equivalents | 4,328,387 | |||
Ending cash balance | - | |||
Ending cash held at brokers | 2,686,712 | |||
Total ending cash and cash equivalents | $ | 2,686,712 | ||
Non cash financing activities not included herein consist of $835,082 of reinvested dividends. |
See accompanying Notes to Financial Statements.
29
Vivaldi Merger Arbitrage Fund
FINANCIAL HIGHLIGHTS
Class A
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2021 | For the Year Ended September 30, | |||||||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net asset value, beginning of period | $ | 10.33 | $ | 10.86 | $ | 10.51 | $ | 10.63 | $ | 10.26 | $ | 10.00 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.02 | ) | (0.14 | ) | - | 0.18 | (0.06 | ) | (0.19 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 0.77 | 0.19 | 0.55 | (0.12 | ) | 0.44 | 0.45 | |||||||||||||||||
Net increase from payments by affiliates | - | - | - | - | 2,3 | - | 3,4 | - | ||||||||||||||||
Total from investment operations | 0.75 | 0.05 | 0.55 | 0.06 | 0.38 | 0.26 | ||||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | - | (0.10 | ) | - | - | - | |||||||||||||||||
From net realized gain | (0.09 | ) | (0.58 | ) | (0.10 | ) | (0.18 | ) | (0.01 | ) | - | 3 | ||||||||||||
Total distributions | (0.09 | ) | (0.58 | ) | (0.20 | ) | (0.18 | ) | (0.01 | ) | - | 3 | ||||||||||||
Redemption Fee Proceeds1 | - | 3 | - | 3 | - | 3 | - | 3 | - | 3 | - | 3 | ||||||||||||
Net asset value, end of period | $ | 10.99 | $ | 10.33 | $ | 10.86 | $ | 10.51 | $ | 10.63 | $ | 10.26 | ||||||||||||
Total return5 | 7.29 | %6 | 0.47 | % | 5.26 | % | 0.57 | % | 3.67 | % | 2.64 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 49,337 | $ | 43,870 | $ | 58,887 | $ | 78,053 | $ | 86,740 | $ | 82,393 | ||||||||||||
Ratio of expenses to average net assets (including dividends and interest on securities sold short and interest expense): | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 1.95 | %7,8 | 2.40 | %8 | 2.78 | %8 | 2.43 | %8 | 3.03 | %8 | 2.78 | %8 | ||||||||||||
After fees waived and expenses absorbed | 1.93 | %7,8 | 2.40 | %8 | 2.78 | %8 | 2.46 | %8 | 3.04 | %8 | 2.62 | %8 | ||||||||||||
Ratio of net investment income (loss) to average net assets (including dividends and interest on securities sold short and interest expense): | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (0.48 | )%7 | (1.34 | )% | 0.03 | % | 1.77 | % | (0.54 | )% | (2.00 | )% | ||||||||||||
After fees waived and expenses absorbed | (0.46 | )%7 | (1.34 | )% | 0.03 | % | 1.74 | % | (0.55 | )% | (1.84 | )% | ||||||||||||
Portfolio turnover rate | 220 | %6 | 644 | % | 716 | % | 670 | % | 478 | % | 566 | % |
1 | Based on average daily shares outstanding for the period. |
2 | Affiliate reimbursed the Fund $2,674 for errors during processing. The reimbursement had no impact to the Fund's performance. |
3 | Amount represents less than $0.01 per share. |
4 | Affiliate reimbursed the Fund $11,641 for errors during processing. The reimbursement had no impact to the Fund's performance. |
5 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns shown do not include payment of sales load of 5.75% of offering price which is reduced on sales of $25,000 or more. If the sales charge was included total returns would be lower. |
6 | Not annualized. |
7 | Annualized. |
8 | If dividends and interest on securities sold short and interest expense had been excluded, the expense ratios would have been lowered by 0.08% for the six months ended March 31, 2021. For the years ended September 30, 2020, 2019, 2018, 2017 and 2016, the ratios would have been lowered by 0.55%, 0.95%, 0.64%, 1.22% and 0.80%, respectively. |
See accompanying Notes to Financial Statements.
30
Vivaldi Merger Arbitrage Fund
FINANCIAL HIGHLIGHTS
Class I
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2021 | For the Year Ended September 30, | |||||||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net asset value, beginning of period | $ | 10.48 | $ | 10.97 | $ | 10.62 | $ | 10.70 | $ | 10.30 | $ | 10.00 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.01 | ) | (0.11 | ) | 0.04 | 0.21 | (0.03 | ) | (0.16 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 0.79 | 0.20 | 0.54 | (0.11 | ) | 0.44 | 0.46 | |||||||||||||||||
Net increase from payments by affiliates | - | - | - | - | 2,3 | - | 3,4 | - | ||||||||||||||||
Total from investment operations | 0.78 | 0.09 | 0.58 | 0.10 | 0.41 | 0.30 | ||||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | - | (0.13 | ) | - | - | - | |||||||||||||||||
From net realized gain | (0.09 | ) | (0.58 | ) | (0.10 | ) | (0.18 | ) | (0.01 | ) | - | 3 | ||||||||||||
Total distributions | (0.09 | ) | (0.58 | ) | (0.23 | ) | (0.18 | ) | (0.01 | ) | - | 3 | ||||||||||||
Redemption Fee Proceeds1 | - | 3 | - | 3 | - | 3 | - | 3 | - | 3 | - | 3 | ||||||||||||
Net asset value, end of period | $ | 11.17 | $ | 10.48 | $ | 10.97 | $ | 10.62 | $ | 10.70 | $ | 10.30 | ||||||||||||
Total return5 | 7.47 | %6 | 0.85 | % | 5.52 | % | 0.94 | % | 3.95 | % | 3.04 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 543,357 | $ | 485,864 | $ | 576,943 | $ | 473,711 | $ | 445,110 | $ | 311,389 | ||||||||||||
Ratio of expenses to average net assets (including dividends and interest on securities sold short and interest expense): | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 1.63 | %7,8 | 2.07 | %8 | 2.47 | %8 | 2.14 | %8 | 2.74 | %8 | 2.47 | %8 | ||||||||||||
After fees waived and expenses absorbed | 1.61 | %7,8 | 2.07 | %8 | 2.47 | %8 | 2.17 | %8 | 2.75 | %8 | 2.31 | %8 | ||||||||||||
Ratio of net investment income (loss) to average net assets (including dividends and interest on securities sold short and interest expense): | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (0.16 | )%7 | (1.01 | )% | 0.34 | % | 2.06 | % | (0.25 | )% | (1.69 | )% | ||||||||||||
After fees waived and expenses absorbed | (0.14 | )%7 | (1.01 | )% | 0.34 | % | 2.03 | % | (0.26 | )% | (1.53 | )% | ||||||||||||
Portfolio turnover rate | 220 | %6 | 644 | % | 716 | % | 670 | % | 478 | % | 566 | % |
1 | Based on average daily shares outstanding for the period. |
2 | Affiliate reimbursed the Fund $2,674 for errors during processing. The reimbursement had no impact to the Fund's performance. |
3 | Amount represents less than $0.01 per share. |
4 | Affiliate reimbursed the Fund $11,641 for errors during processing. The reimbursement had no impact to the Fund's performance. |
5 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
6 | Not annualized. |
7 | Annualized. |
8 | If dividends and interest on securities sold short and interest expense had been excluded, the expense ratios would have been lowered by 0.08% for the six months ended March 31, 2021. For the years ended September 30, 2020, 2019, 2018, 2017 and 2016, the ratios would have been lowered by 0.55%, 0.95%, 0.64%, 1.22% and 0.80%, respectively. |
See accompanying Notes to Financial Statements.
31
Vivaldi Multi-Strategy Fund
FINANCIAL HIGHLIGHTS
Class A*
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2021 | For the Year Ended September 30, |
| For the Period March 1, 2017 through September 30, | For the Year Ended February 28, | For the Year Ended February 29, | |||||||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017** | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.90 | $ | 27.08 | $ | 25.62 | $ | 26.92 | $ | 26.28 | $ | 25.88 | $ | 26.07 | ||||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||||||
Net investment income (loss)1 | 0.27 | 0.35 | 0.41 | 0.24 | (0.08 | ) | (0.54 | ) | (0.17 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) | 2.24 | (0.98 | ) | 1.72 | (0.73 | ) | 0.72 | 1.38 | 1.25 | |||||||||||||||||||
Net increase from payments by affiliates (Note 3) | - | 2,3 | - | - | - | - | - | - | ||||||||||||||||||||
Total from investment operations | 2.51 | (0.63 | ) | 2.13 | (0.49 | ) | 0.64 | 0.84 | 1.08 | |||||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||||||
From net investment income | (0.63 | ) | (0.58 | ) | (0.67 | ) | - | - | - | - | ||||||||||||||||||
From net realized gain | - | (1.62 | ) | - | (0.81 | ) | - | (0.44 | ) | (1.27 | ) | |||||||||||||||||
From return of capital | - | (0.35 | ) | - | - | - | - | - | ||||||||||||||||||||
Total distributions | (0.63 | ) | (2.55 | ) | (0.67 | ) | (0.81 | ) | - | (0.44 | ) | (1.27 | ) | |||||||||||||||
Redemption Fee Proceeds1 | - | - | - | - | - | - | - | 2 | ||||||||||||||||||||
Net asset value, end of period | $ | 25.78 | $ | 23.90 | $ | 27.08 | $ | 25.62 | $ | 26.92 | $ | 26.28 | $ | 25.88 | ||||||||||||||
Total return4 | 10.53 | %5 | (2.45 | )% | 8.44 | % | (1.89 | )% | 2.40 | %5 | 3.22 | % | 4.30 | % | ||||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,269 | $ | 2,460 | $ | 5,554 | $ | 7,767 | $ | 27,016 | $ | 30,800 | $ | 30,888 | ||||||||||||||
Ratio of expenses to average net assets (including dividends and interest on securities sold short and interest expense): | ||||||||||||||||||||||||||||
Before fees waived and expenses absorbed | 2.22 | %6,7 | 2.19 | %7 | 2.49 | %7 | 3.12 | %7,8 | 3.67 | %6,7 | 3.71 | %7 | 4.66 | %7 | ||||||||||||||
After fees waived and expenses absorbed | 2.08 | %6,7 | 2.10 | %7 | 2.33 | %7 | 2.98 | %7,8 | 3.67 | %6,7 | 3.66 | %7 | 4.02 | %7 | ||||||||||||||
Ratio of net investment income (loss) to average net assets (including dividends and interest on securities sold short and interest expense): | ||||||||||||||||||||||||||||
Before fees waived and expenses absorbed | 1.99 | %6 | 1.30 | % | 1.42 | % | 0.80 | % | (0.49 | )%6 | (2.08 | )% | (3.31 | )% | ||||||||||||||
After fees waived and expenses absorbed | 2.13 | %6 | 1.39 | % | 1.58 | % | 0.94 | % | (0.49 | )%6 | (2.03 | )% | (2.67 | )% | ||||||||||||||
Portfolio turnover rate | 60 | %5 | 223 | % | 286 | % | 275 | % | 198 | %5 | 323 | % | 393 | % |
* | Financial information from April 30, 2012 through December 18, 2016 is for the Vivaldi Orinda Macro Opportunities Fund, which was reorganized into the Vivaldi Multi-Strategy Fund as of the close of business December 18, 2016. |
** | Fiscal year end changed to September 30, effective July 20, 2017. |
1 | Based on average shares outstanding for the period. |
2 | Amount represents less than $0.01 per share. |
See accompanying Notes to Financial Statements.
32
Vivaldi Multi-Strategy Fund
FINANCIAL HIGHLIGHTS - Continued
Class A*
3 | Reimbursement had no impact to the Fund's performance (Note 3). |
4 | Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns shown do not include payment of sales load of 5.00% of offering price which is reduced on sales of $50,000 or more. If the sales charge was included total returns would be lower. |
5 | Not annualized. |
6 | Annualized. |
7 | If dividends and interest on securities sold short and interest expense had been excluded, the expense ratios would have been lowered by 0.29% for the six months ended March 31, 2021. For the prior periods, the ratios would have been lowered by 0.31%, 0.50%, 0.78%, 1.42%, 1.20% and 1.22%, respectively. |
8 | Effective August 1, 2018, the Fund's advisor had contractually agreed to waive its fees and/or pay for operating expenses of the Fund to ensure that the total annual fund operating expenses (excluding taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses as determined in accordance with SEC Form N-1A, expenses incurred in connection with any merger or reorganization, or extraordinary expenses such as litigation) do not exceed 1.85% of average daily net assets of the Fund. Prior to August 1, 2018, the annual operating expense limitation was 2.25%. |
See accompanying Notes to Financial Statements.
33
Vivaldi Multi-Strategy Fund
FINANCIAL HIGHLIGHTS
Class I*
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2021 | For the Year Ended September 30, | For the Period March 1, 2017 through September 30, | For the Year Ended February 28, | For the Year Ended February 29, | ||||||||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017** | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.35 | $ | 27.57 | $ | 26.17 | $ | 27.40 | $ | 26.71 | $ | 26.21 | $ | 26.29 | ||||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||||||
Net investment income (loss)1 | 0.30 | 0.42 | 0.50 | 0.33 | (0.03 | ) | (0.47 | ) | (0.51 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) | 2.30 | (1.01 | ) | 1.74 | (0.75 | ) | 0.72 | 1.41 | 1.70 | |||||||||||||||||||
Net increase from payments by affiliates | - | 2,3 | - | - | - | - | - | - | ||||||||||||||||||||
Total from investment operations | 2.60 | (0.59 | ) | 2.24 | (0.42 | ) | 0.69 | 0.94 | 1.19 | |||||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||||||
From net investment income | (0.66 | ) | (0.64 | ) | (0.84 | ) | - | - | - | - | ||||||||||||||||||
From net realized gain | - | (1.62 | ) | - | (0.81 | ) | - | (0.44 | ) | (1.27 | ) | |||||||||||||||||
From return of capital | - | (0.37 | ) | - | - | - | - | - | ||||||||||||||||||||
Total distributions | (0.66 | ) | (2.63 | ) | (0.84 | ) | (0.81 | ) | - | (0.44 | ) | (1.27 | ) | |||||||||||||||
Redemption Fee Proceeds1 | - | - | - | - | - | - | - | 2 | ||||||||||||||||||||
Net asset value, end of period | $ | 26.29 | $ | 24.35 | $ | 27.57 | $ | 26.17 | $ | 27.40 | $ | 26.71 | $ | 26.21 | ||||||||||||||
Total return4 | 10.72 | %5 | (2.23 | )% | 8.80 | % | (1.60 | )% | 2.58 | %5 | 3.56 | % | 4.69 | % | ||||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 33,703 | $ | 45,706 | $ | 47,554 | $ | 57,368 | $ | 128,676 | $ | 111,728 | $ | 28,648 | ||||||||||||||
Ratio of expenses to average net assets (including dividends and interest on securities sold short and interest expense): | ||||||||||||||||||||||||||||
Before fees waived and expenses absorbed | 1.98 | %6,7 | 1.92 | %7 | 2.17 | %7 | 2.82 | %7,8 | 3.37 | %6,7 | 3.41 | %7 | 4.45 | %7 | ||||||||||||||
After fees waived and expenses absorbed | 1.84 | %6,7 | 1.83 | %7 | 2.01 | %7 | 2.68 | %7,8 | 3.37 | %6,7 | 3.36 | %7 | 3.74 | %7 | ||||||||||||||
Ratio of net investment income (loss) to average net assets (including dividends and interest on securities sold short and interest expense): | ||||||||||||||||||||||||||||
Before fees waived and expenses absorbed | 2.23 | %6 | 1.57 | % | 1.74 | % | 1.10 | % | (0.19 | )%6 | (1.78 | )% | (3.21 | )% | ||||||||||||||
After fees waived and expenses absorbed | 2.37 | %6 | 1.66 | % | 1.90 | % | 1.24 | % | (0.19 | )%6 | (1.73 | )% | (2.50 | )% | ||||||||||||||
Portfolio turnover rate | 60 | %5 | 223 | % | 286 | % | 275 | % | 198 | %5 | 323 | % | 393 | % |
* | Financial information from April 30, 2012 through December 18, 2016 is for the Vivaldi Orinda Macro Opportunities Fund, which was reorganized into the Vivaldi Multi-Strategy Fund as of the close of business December 18, 2016. |
** | Fiscal year end changed to September 30, effective July 20, 2017. |
1 | Based on average shares outstanding for the period. |
2 | Amount represents less than $0.01 per share. |
See accompanying Notes to Financial Statements.
34
Vivaldi Multi-Strategy Fund
FINANCIAL HIGHLIGHTS - Continued
Class I*
3 | Reimbursement had no impact to the Fund's performance (Note 3). |
4 | Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
5 | Not annualized. |
6 | Annualized. |
7 | If dividends and interest on securities sold short and interest expense had been excluded, the expense ratios would have been lowered by 0.29% for the six months ended March 31, 2021. For the prior periods, the ratios would have been lowered by 0.31%, 0.50%, 0.78%, 1.42%, 1.20% and 1.22%, respectively. |
8 | Effective August 1, 2018, the Fund's advisor had contractually agreed to waive its fees and/or pay for operating expenses of the Fund to ensure that the total annual fund operating expenses (excluding taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses as determined in accordance with SEC Form N-1A, expenses incurred in connection with any merger or reorganization, or extraordinary expenses such as litigation) do not exceed 1.55% of average daily net assets of the Fund. Prior to August 1, 2018, the annual operating expense limitation was 1.95%. |
See accompanying Notes to Financial Statements.
35
Vivaldi Funds
NOTES TO FINANCIAL STATEMENTS
March 31, 2021 (Unaudited)
Note 1 – Organization
Vivaldi Merger Arbitrage Fund (the ‘‘Merger Arbitrage Fund’’) and Vivaldi Multi-Strategy Fund (the “Multi-Strategy Fund”) (each a “Fund” and collectively the ‘‘Funds’’) are organized as a series of Investment Managers Series Trust II, a Delaware statutory trust (the “Trust”) which is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Merger Arbitrage Fund is a non-diversified fund. The Multi-Strategy Fund is a diversified fund.
The Merger Arbitrage Fund seeks returns that are largely uncorrelated with the returns of the general stock market and capital appreciation. The Fund commenced investment operations on October 1, 2015 with Class A and Class I shares. Prior to that date, its only activity was the receipt of a $1,000 investment from principals of the Fund’s advisor and a transfer of 307,251 newly issued shares of the Fund’s Class I in exchange for the net assets of the Highland Capital Management Institutional Fund, LLC, a Delaware limited liability company (the “Company”) valued at $3,073,511. This exchange was nontaxable. The primary assets received by the Fund were cash, interest receivable and securities of the Company with a fair value of $2,249,946 (identified cost of investments transferred were $2,271,450), totaling $3,073,511. For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value; however, the cost basis of the investments received from the Company was carried forward to align ongoing reporting of the Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
The Multi-Strategy Fund seeks to achieve long-term capital appreciation by pursuing positive absolute returns across market cycles. In pursuing its objective, the Fund seeks to generate attractive long-term returns with low sensitivity to traditional equity and fixed-income indices. The Fund commenced investment operations on December 16, 2016 with Class A and Class I shares. Prior to that date, the Fund acquired the assets and assumed the liabilities of the Vivaldi Orinda Macro Opportunities Fund (the “Predecessor Fund”), a series of Advisors Series Trust. The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:
Shares Issued | Net Assets | |||||||
Class A | 1,058,074 | $ | 28,004,864 | |||||
Class I | 3,174,754 | $ | 85,334,375 |
The net unrealized appreciation of investments transferred was $3,090,238 as of the date of the acquisition.
The shares of each class of each Fund represent an interest in the same portfolio of investments of each particular Fund and have equal rights as to voting, redemptions, dividends and liquidation, subject to the approval of the Trustees. Income, expenses (other than expenses attributable to a specific class) and realized and unrealized gains and losses on investments are allocated to each class of shares in proportion to their relative net assets. Shareholders of a class that bears distribution and service expenses under the terms of a distribution plan have exclusive voting rights to that distribution plan.
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services—Investment Companies.”
Note 2 – Accounting Policies
The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of their financial statements. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
36
Vivaldi Funds
NOTES TO FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
(a) Valuation of Investments
The Funds value equity securities at the last reported sale price on the principal exchange or in the principal over the counter (“OTC”) market in which such securities are traded, as of the close of regular trading on the NYSE on the day the securities are being valued or, if the last-quoted sales price is not readily available, the securities will be valued at the last bid or the mean between the last available bid and ask price. Securities traded on the NASDAQ are valued at the NASDAQ Official Closing Price (“NOCP”). Investments in open-end investment companies are valued at the daily closing net asset value of the respective investment company. Options are valued at the mean between the last available bid and asked prices used. Debt securities are valued by utilizing a price supplied by independent pricing service providers. The independent pricing service providers may use various valuation methodologies including matrix pricing and other analytical pricing models as well as market transactions and dealer quotations. These models generally consider such factors as yields or prices of bonds of comparable quality, type of issue, coupon, maturity, ratings and general market conditions. If a price is not readily available for a portfolio security, the security will be valued at fair value (the amount which the Funds might reasonably expect to receive for the security upon its current sale) as determined in good faith by the Funds’ advisor, subject to review and approval by the Valuation Committee, pursuant to procedures adopted by the Board of Trustees. The actions of the Valuation Committee are subsequently reviewed by the Board at its next regularly scheduled board meeting. The Valuation Committee meets as needed. The Valuation Committee is comprised of all the Trustees, but action may be taken by any one of the Trustees.
(b) Foreign Currency Translation
The Funds’ records are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the reporting period. The currencies are translated into U.S. dollars by using the exchange rates quoted as of 4:00 PM Eastern Standard Time. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
The Funds do not isolate that portion of their net realized and unrealized gains and losses on investments resulting from changes in foreign exchange rates from the impact arising from changes in market prices. Such fluctuations are included with net realized and unrealized gain or loss from investments and foreign currency.
Net realized foreign currency transaction gains and losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the differences between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency translation gains and losses arise from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in the exchange rates.
(c) Short Sales
Short sales are transactions in which the Funds sell a security they do not own in anticipation of a decline in the value of that security. To complete such a transaction, the Funds must borrow the security to make delivery to the buyer. The Funds then are obligated to replace the security borrowed by purchasing the security at market price at the time of replacement. The price at such time may be more or less than the price at which the security was sold by the Funds. When a security is sold short, a decrease in the value of the security will be recognized as a gain and an increase in the value of the security will be recognized as a loss, which is potentially limitless. Until the security is replaced, the Funds are required to pay the lender amounts equal to dividend or interest that accrue during the period of the loan which is recorded as an expense. To borrow the security, the Funds also may be required to pay a premium or an interest fee, which are recorded as interest expense. Cash or securities are segregated for the broker to meet the necessary margin requirements. The Funds are subject to the risk that they may not always be able to close out a short position at a particular time or at an acceptable price.
37
Vivaldi Funds
NOTES TO FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
(d) Options
The Funds may write or purchase options contracts primarily to enhance the Funds’ returns or reduce volatility. In addition, the Funds may utilize options in an attempt to generate gains from option premiums or to reduce overall portfolio risk. When a Fund writes or purchases an option, an amount equal to the premium received or paid by a Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by a Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether a Fund has realized a gain or a loss on investment transactions. A Fund, as a writer of an option, may have no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option.
(e) Exchange Traded Funds (“ETFs”)
ETFs typically trade on securities exchanges and their shares may, at times, trade at a premium or discount to their net asset values. In addition, an ETF may not replicate exactly the performance of the benchmark index it seeks to track for a number of reasons, including transaction costs incurred by the ETF, the temporary unavailability of certain index securities in the secondary market or discrepancies between the ETF and the index with respect to the weighting of securities or the number of securities held. Investing in ETFs, which are investment companies, may involve duplication of advisory fees and certain other expenses. As a result, Fund shareholders indirectly bear their proportionate share of these incurred expenses. Therefore, the cost of investing in the Fund will be higher than the cost of investing directly in ETFs and may be higher than other mutual funds that invest directly in securities.
Each ETF in which each Fund invests is subject to specific risks, depending on the nature of the ETF. Each ETF is subject to the risks associated with direct ownership of the securities comprising the index on which the ETF is based. These risks could include liquidity risk, sector risk, and risks associated with fixed-income securities.
(f) Closed-end Funds (“CEFs”)
The Multi-Strategy Fund may invest in shares of CEFs. A CEF is a pooled investment vehicle that is registered under the Investment Company Act of 1940 and whose shares are listed and traded on U.S. national securities exchanges. Investments in CEFs are subject to various risks, including reliance on management’s ability to meet a CEF’s investment objective and to manage a CEF’s portfolio, and fluctuation in the market value of a CEF’s shares compared to the changes in the value of the underlying securities that the CEF owns. In addition, the Fund bears a pro rata share of the management fees and expenses of each underlying CEF, which results in the Fund’s shareholders being subject to higher expenses than if they invested directly in the CEFs.
(g) Equity Swaps
The Funds may enter into equity swap contracts for hedging or investment purposes. Equity swap contracts may be structured in different ways. The counterparty may agree to pay the Fund the amount, if any, by which the notional amount of the equity swap contract would have increased in value had it been invested in particular stocks (or an index of stocks), plus the dividends that would have been received on those stocks. In these cases, the Funds may agree to pay to the counterparty a floating-rate of interest on the notional amount of the equity swap contract plus the amount, if any, by which that notional amount would have decreased in value had it been invested in such stocks. In these cases, the return to the Funds on any equity swap contract should be the gain or loss on the notional amount plus dividends on the stocks less the interest paid by the Fund on the notional amount. In other cases, the counterparty and the Funds may agree to pay the other the difference between the relative investment performance that would have been achieved if the notional amount of the equity swap contract had been invested in different stocks (or indices of stocks).
38
Vivaldi Funds
NOTES TO FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
(h) Short-Term Investments
The Merger Arbitrage Fund and the Multi-Strategy Fund invest a significant amount (21.3% and 20.9% as of March 31, 2021) in the Morgan Stanley Institutional Liquidity Fund - Government Portfolio - Institutional Class (“MVRXX”). MVRXX invests exclusively in obligations issued or guaranteed by the U.S. government and its agencies and instrumentalities and in repurchase agreements collateralized by such securities. Each Fund may also hold cash.
MVRXX files complete Semi-Annual and Annual Reports with the U.S. Securities and Exchange Commission for semi-annual and annual periods of each fiscal year on Form N-CSR. The Forms N-CSR are available on the website of the U.S. Securities and Exchange Commission at www.sec.gov, and may also be viewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The net expense ratio per October 31, 2020 Annual report of Morgan Stanley Institutional Liquidity Fund - Government Portfolio - Institutional Class was 0.17%.
(i) Investment Transactions, Investment Income and Expenses
Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Dividend income is recorded net of applicable withholding taxes on the ex-dividend date and interest income is recorded on an accrual basis. Withholding taxes on foreign dividends, if applicable, are paid (a portion of which may be reclaimable) or provided for in accordance with the applicable country’s tax rules and rates and are disclosed in the Statements of Operations. Withholding tax reclaims are filed in certain countries to recover a portion of the amounts previously withheld. The Fund records a reclaim receivable based on a number of factors, including a jurisdiction’s legal obligation to pay reclaims as well as payment history and market convention. Discounts or premiums on debt securities are accreted or amortized to interest income over the lives of the respective securities using the effective interest method. Income and expenses of the Funds are allocated on a pro rata basis to each class of shares relative to net assets, except for distribution and service fees which are unique to each class of shares. Expenses incurred by the Trust with respect to more than one Fund are allocated in proportion to the net assets of each Fund except where allocation of direct expenses to each Fund or an alternative allocation method can be more appropriately made.
(j) Federal Income Taxes
Each Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its net investment income and any net realized gains to its shareholders. Therefore, no provision is made for federal income or excise taxes. Due to the timing of dividend distributions and the differences in accounting for income and realized gains and losses for financial statement and federal income tax purposes, the fiscal year in which amounts are distributed may differ from the year in which the income and realized gains and losses are recorded by the Funds.
Accounting for Uncertainty in Income Taxes (the “Income Tax Statement”) requires an evaluation of tax positions taken (or expected to be taken) in the course of preparing a Fund’s tax returns to determine whether these positions meet a “more-likely-than-not” standard that, based on the technical merits, have a more than fifty percent likelihood of being sustained by a taxing authority upon examination. A tax position that meets the “more-likely-than-not” recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations.
39
Vivaldi Funds
NOTES TO FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
The Income Tax Statement requires management of the Funds to analyze tax positions taken in the prior three open tax years, if any, and tax positions expected to be taken in the Funds’ current tax year, as defined by the IRS statute of limitations for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of March 31, 2021 and during the prior three open tax years, the Funds did not have a liability for any unrecognized tax benefits. The Funds have no examination in progress and are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
(k) Distributions to Shareholders
The Funds will make distributions of net investment income per the table below and net capital gains, if any, at least annually. The Multi-Strategy Fund seeks to make distributions once per quarter based on a pre-determined rate. A portion of the distributions made by the Multi-Strategy Fund may be treated as return of capital for tax purposes. Shareholders who receive a payment of a distribution consisting of a return of capital may be under the impression that they are receiving net profits when, in fact, they are not. Shareholders should not assume that the source of a distribution from the Multi-Strategy Fund is net profit. Each Fund may make additional payments of dividends or distributions if it deems it desirable at any other time during the year. Distributions to shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Distribution Frequency of Net Investment Income | |
Merger Arbitrage Fund | Annually |
Multi-Strategy Fund | Quarterly |
The character of distributions made during the year from net investment income or net realized gains may differ from the characterization for federal income tax purposes due to differences in the recognition of income, expense and gain (loss) items for financial statement and tax purposes.
(l) Illiquid Securities
Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted a Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Funds limit their illiquid investments that are assets to no more than 15% of net assets. An illiquid investment is any security which may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. If the Advisor, at any time, determines that the value of illiquid securities held by a Fund exceeds 15% of its net asset value, the Advisor will take such steps as it considers appropriate to reduce them as soon as reasonably practicable in accordance with the Funds’ written LRMP.
Note 3 – Investment Advisory and Other Agreements
The Trust, on behalf of the Funds, entered into an Investment Advisory Agreement (the “Agreement”) with Vivaldi Asset Management, LLC (the “Advisor”). Under the terms of the Agreement, the Funds pay a monthly investment advisory fee to the Advisor at the following annual rates based on the average daily net assets of the Funds:
Merger Arbitrage Fund | 1.25% |
Multi-Strategy Fund | 1.20% |
40
Vivaldi Funds
NOTES TO FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
The Advisor has engaged RiverNorth Capital Management, LLC and Angel Oak Capital Advisors, LLC, (each, a "Sub-Advisor" and together, the “Sub-Advisors”) to manage certain assets of the Multi-Strategy Fund and pays the Sub-Advisors from its advisory fees.
The Funds’ Advisor has contractually agreed to waive its fee and/or pay for expenses of the Funds to ensure that the annual Funds’ operating expenses (excluding any taxes, leverage interest, acquired fund fees and expenses (as determined in accordance with Form N-1A), dividend and interest expense on short sales, brokerage commissions, expenses incurred in connection with any merger or reorganization and extraordinary expenses such as litigation expenses) do not exceed the following levels:
Annual Expense Limit | Annual Expense Limit | |
Class A Shares† | Class I Shares† | |
Merger Arbitrage Fund | 1.85% | 1.55% |
Multi-Strategy Fund | 1.85% | 1.55% |
† | The limit on annual operating expenses is calculated based on each Fund’s average daily net assets. |
These agreements are in effect until January 31, 2022 for the Funds. These agreements may be terminated before these dates only by the Trust’s Board of Trustees.
For the six months ended March 31, 2021, the Advisor waived fees as follows:
Advisory fees waived | ||||
Merger Arbitrage Fund | $ | 50,866 |
The Advisor is permitted to seek reimbursement from the Funds, subject to certain limitations, of fees waived or payments made to the Funds for a period ending three full fiscal years after the date of the waiver or payment. This reimbursement may be requested from the Funds if the reimbursement will not cause the Funds’ annual expense ratio to exceed the lesser of (a) the expense limitation amount in effect at the time such fees were waived or payments made, or (b) the expense limitation amount in effect at the time of the reimbursement. At March 31, 2021, the amount of these potentially recoverable expenses was $50,866 for the Merger Arbitrage Fund. The Advisor may recapture all or a portion of this amount no later than September 30, 2024.
UMB Fund Services, Inc. (“UMBFS”) serves as the Funds’ fund accountant, transfer agent and co-administrator; and Mutual Fund Administration, LLC (“MFAC”) serves as the Funds’ other co-administrator. UMB Bank, n.a., an affiliate of UMBFS, serves as the Funds’ custodian. The Funds’ allocated fees incurred for fund accounting, fund administration, transfer agency and custody services for the six months ended March 31, 2021, are reported as “Fund services fees” on the Statements of Operations. For the Multi-Strategy Fund, UMBFS, UMB Bank, n.a., and MFAC have voluntarily waived their fees that they would otherwise be paid, and/or to assume expenses of the Fund in the amount of $28,023 for the six months ended March 31, 2021. This amount is shown as a reduction of expenses, “Fees paid indirectly”, on the Statements of Operations.
IMST Distributors, LLC serves as the Funds’ distributor (the “Distributor”). The Distributor does not receive compensation from the Funds for its distribution services; the Advisor pays the Distributor a fee for its distribution-related services.
41
Vivaldi Funds
NOTES TO FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
The Funds have a fee arrangement with their custodian, UMB Bank, n.a., which provides for custody fees to be reduced by earning credits based on cash balances left on deposit with the custodian. For the six months ended March 31, 2021, there were no fees reduced by earning credits.
Certain trustees and officers of the Trust are employees of UMBFS or MFAC. The Funds do not compensate trustees and officers affiliated with the Funds’ co-administrators. For the six months ended March 31, 2021, the Funds’ allocated fees incurred to Trustees who are not affiliated with the Funds’ co-administrators are reported on the Statements of Operations. A portion of the fees were paid by the Trust’s Co-Administrators. Such amount is shown as a reduction of expenses, “Fees paid indirectly”, on the Statements of Operations.
The Funds’ Board of Trustees has adopted a Deferred Compensation Plan (the “Plan”) for the Independent Trustees that enables Trustees to elect to receive payment in cash or the option to select various fund(s) in the Trust in which their deferred accounts shall be deemed to be invested. If a trustee elects to defer payment, the Plan provides for the creation of a deferred payment account. The Funds’ liability for these amounts is adjusted for market value changes in the invested fund(s) and remains a liability of the Funds until distributed in accordance with the Plan. The Trustees Deferred compensation liability under the Plan constitutes a general unsecured obligation of each Fund and is disclosed in the Statements of Assets and Liabilities. Contributions made under the plan and the change in unrealized appreciation/depreciation and income are included in the Trustees’ fees and expenses in the Statements of Operations.
Dziura Compliance Consulting, LLC provides Chief Compliance Officer (“CCO”) services to the Trust. The Funds’ allocated fees incurred for CCO services for the six months ended March 31, 2021, are reported on the Statements of Operations.
During the six months ended March 31, 2021, UMBFS reimbursed the Multi-Strategy Fund $440 for an error during processing. This amount is reported on the Fund’s Statements of Operations and Statements of Changes in Net Assets under the caption “Reimbursement by affiliate.” These reimbursements had no impact on the Fund’s performance.
The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is affected at the current market price to minimize trading costs, where permissible. For the six months ended March 31, 2021, the Multi-Strategy Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
Fund | Purchases | Sales | Net Realized Gain (Loss) | ||||||||||
Multi-Strategy Fund | $ | - | $ | 1,194,847 | $ | (63,967 | ) |
42
Vivaldi Funds
NOTES TO FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Note 4 – Federal Income Taxes
At March 31, 2021, the cost of investments on a tax basis and gross unrealized appreciation (depreciation) on investments for federal income tax purposes were as follows:
Merger Arbitrage Fund | Multi-Strategy Fund | |||||||
Cost of investments | $ | 609,761,493 | $ | 34,123,779 | ||||
Gross unrealized appreciation | $ | 4,275,576 | $ | 1,278,485 | ||||
Gross unrealized depreciation | (10,885,381 | ) | (1,682,708 | ) | ||||
Net unrealized depreciation on investments | $ | (6,609,805 | ) | $ | (404,223 | ) |
The difference between cost amounts for financial statement and federal income tax purposes is due primarily to timing differences in recognizing certain gains and losses in security transactions.
As of September 30, 2020, the components of accumulated earnings (deficit) on a tax basis were as follows:
Merger Arbitrage Fund | Multi-Strategy Fund | |||||||
Undistributed ordinary income | $ | 1,877,624 | $ | - | ||||
Undistributed long-term capital gains | 22,836 | - | ||||||
Accumulated earnings | 1,900,460 | - | ||||||
Accumulated capital and other losses | - | (3,539,926 | ) | |||||
Unrealized depreciation on investments | (873,221 | ) | (882,438 | ) | ||||
Unrealized deferred compensation | (27,764 | ) | (8,640 | ) | ||||
Total accumulated earnings (loss) | $ | 999,475 | $ | (4,431,004 | ) |
The tax character of distributions paid during the periods ended September 30, 2020 and September 30, 2019 was as follows:
Merger Arbitrage Fund | Multi-Strategy Fund | |||||||||||||||
Distribution paid from: | 2020 | 2019 | 2020 | 2019 | ||||||||||||
Ordinary income | $ | 33,341,174 | $ | 9,388,401 | $ | 4,022,509 | $ | 1,302,007 | ||||||||
Net long-term capital gains | - | 1,630,960 | 248,468 | 214,917 | ||||||||||||
Return of Capital | - | - | 790,736 | - | ||||||||||||
Total taxable distributions | $ | 33,341,174 | $ | 11,019,361 | $ | 5,061,713 | $ | 1,516,924 |
As of September 30, 2020, the Multi-Strategy Fund had qualified post October losses of $3,539,926.
43
Vivaldi Funds
NOTES TO FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Note 5 – Redemption Fee
The Merger Arbitrage Fund may impose a redemption fee of 1.00% of the total redemption amount on all shares redeemed within 30 days of purchase. For the six months ended March 31, 2021 and for the year ended September 30, 2020, the Fund received $6,867 and $12,051, respectively, in redemption fees.
Note 6 – Investment Transactions
For the six months ended March 31, 2021, purchases and sales of investments, excluding short-term investments, were as follows:
Purchases | Sales | Proceeds from Securities Sold Short | Cover Short Securities | |||||||||||||
Merger Arbitrage Fund | $ | 936,851,551 | $ | 832,230,549 | $ | 63,408,071 | $ | 100,713,989 | ||||||||
Multi-Strategy Fund | 20,183,207 | 37,273,085 | 1,577,017 | 2,798,680 |
Note 7 – Distribution Plan
The Trust, on behalf of the Funds, has adopted a Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act that allows the Funds to pay distribution fees for the sale and distribution of its shares. With respect to Class A, the Plan provides for the payment of distribution fees at the annual rate of up to 0.25% of average daily net assets. Class I does not pay any distribution fees.
For the six months ended March 31, 2021, distribution fees incurred are disclosed on the Statements of Operations.
Note 8 – Shareholder Servicing Plan
The Trust, on behalf of the Merger Arbitrage Fund and Multi-Strategy Fund, has adopted a Shareholder Servicing Plan to pay a fee at an annual rate of up to 0.15% of average daily net assets of Class A shares and 0.10% of average daily net assets of Class I shares serviced by shareholder servicing agents who provide administrative and support services to their customers.
For the six months ended March 31, 2021, shareholder servicing fees incurred are disclosed on the Statements of Operations.
Note 9 – Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote.
Note 10 – Fair Value Measurements and Disclosure
Fair Value Measurements and Disclosures defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and expands disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or a liability, when a transaction is not orderly, and how that information must be incorporated into a fair value measurement.
Under Fair Value Measurements and Disclosures, various inputs are used in determining the value of the Funds’ investments. These inputs are summarized into three broad Levels as described below:
44
Vivaldi Funds
NOTES TO FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
● | Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access. |
● | Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. |
● | Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest Level input that is significant to the fair value measurement in its entirety.
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the inputs used, as of March 31, 2021, in valuing the Funds’ assets carried at fair value:
Merger Arbitrage Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Common Stocks | $ | 429,855,964 | $ | 4,948,051 | $ | - | $ | 434,804,015 | ||||||||
Rights | - | - | 164,888 | 164,888 | ||||||||||||
Units | 71,986,329 | - | - | 71,986,329 | ||||||||||||
Warrants | 967,503 | - | - | 967,503 | ||||||||||||
Short-Term Investments | 126,554,152 | - | - | 126,554,152 | ||||||||||||
Total Investments | $ | 629,363,948 | $ | 4,948,051 | $ | 164,888 | $ | 634,476,887 | ||||||||
Liabilities | ||||||||||||||||
Securities Sold Short | ||||||||||||||||
Common Stocks* | $ | 31,166,185 | $ | - | $ | - | $ | 31,166,185 | ||||||||
Total Securities Sold Short | 31,166,185 | - | - | 31,166,185 | ||||||||||||
Written Options Contracts | 158,466 | 548 | - | 159,014 | ||||||||||||
Total Securities Sold Short and Options | $ | 31,324,651 | $ | 548 | $ | - | $ | 31,325,199 |
45
Vivaldi Funds
NOTES TO FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Multi-Strategy Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Asset-Backed Securities | $ | - | $ | 4,863,608 | $ | - | $ | 4,863,608 | ||||||||
Closed-End Funds | 8,668,537 | - | - | 8,668,537 | ||||||||||||
Collateralized Mortgage Obligations | - | 7,567,995 | - | 7,567,995 | ||||||||||||
Common Stocks | 3,838,854 | 27,928 | - | 3,866,782 | ||||||||||||
Corporate Bonds | - | 1,607,022 | - | 1,607,022 | ||||||||||||
Exchange-Traded Debt Securities | 1,002,521 | - | - | 1,002,521 | ||||||||||||
Exchange-Traded Funds | 219,915 | - | - | 219,915 | ||||||||||||
Rights | 11,614 | - | 2,726 | 14,340 | ||||||||||||
U.S. Treasury Bonds | - | 218,488 | - | 218,488 | ||||||||||||
Units | 124,533 | - | - | 124,533 | ||||||||||||
Warrants | 62,164 | - | - | 62,164 | ||||||||||||
Short-Term Investments | 7,520,637 | - | - | 7,520,637 | ||||||||||||
Total Investments | $ | 21,448,775 | $ | 14,285,041 | $ | 2,726 | $ | 35,736,542 | ||||||||
Liabilities | ||||||||||||||||
Securities Sold Short | ||||||||||||||||
Common Stocks* | $ | 221,003 | $ | - | $ | - | $ | 221,003 | ||||||||
Exchange-Traded Funds | 1,794,931 | - | - | 1,794,931 | ||||||||||||
Total Securities Sold Short | 2,015,934 | - | - | 2,015,934 | ||||||||||||
Written Options Contracts | 1,050 | 2 | - | 1,052 | ||||||||||||
Total Securities Sold Short and Options | $ | 2,016,984 | $ | 2 | $ | - | $ | 2,016,986 |
* | All common stocks sold short in the Fund are Level 1 securities. For a detailed break-out of common stocks by major industry classification, please refer to the Schedule of Investments. |
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining value:
Merger Arbitrage Fund |
Rights | ||||
Balance as of September 30, 2020 | $ | 164,888 | ||
Transfers into Level 3 during the period | - | |||
Transfers out of Level 3 during the period | - | |||
Total gains or losses for the period | ||||
Included in earnings (or changes in net assets) | - | |||
Included in other comprehensive income | - | |||
Purchases, sales, and principal paydowns | ||||
Net purchases | - | |||
Net sales | - | |||
Principal paydown | - | |||
Balance as of March 31, 2021 | $ | 164,888 | ||
Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets held at the end of the reporting period | $ | - |
46
Vivaldi Funds
NOTES TO FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Multi-Strategy Fund |
Rights | Asset-Backed Securities | |||||||
Balance as of September 30, 2020 | $ | 2,726 | $ | 500,000 | ||||
Transfers into Level 3 during the period | - | - | ||||||
Transfers out of Level 3 during the period | - | 500,000 | ||||||
Total gains or losses for the period | ||||||||
Included in earnings (or changes in net assets) | - | - | ||||||
Included in other comprehensive income | - | - | ||||||
Purchases, sales, and principal paydowns | ||||||||
Net purchases | - | - | ||||||
Net sales | - | - | ||||||
Principal paydown | - | - | ||||||
Balance as of March 31, 2021 | $ | 2,726 | $ | - | ||||
Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets held at the end of the reporting period | $ | - | $ | - |
The following tables present additional quantitative information about valuation methodologies and inputs used for investments that are measured at fair value and categorized within Level 3 as of March 31, 2021:
Merger Arbitrage Fund |
Asset Class | Fair Value at 3/31/2021 | Valuation Technique(s) | Unobservable Input(1) | Range of Input | Weighted Average of Input | Impact to Valuation from an Increase in Input(2) | ||||||||||
Rights | $ | 164,888 | Asset Approach | Expected Remaining Distributions | $ | 0.33 | N/A | Increase |
Multi-Strategy Fund |
Asset Class | Fair Value at 3/31/2021 | Valuation Technique(s) | Unobservable Input(1) | Range of Input | Weighted Average of Input | Impact to Valuation from an Increase in Input(2) | ||||||||||
Rights | $ | 2,726 | Asset Approach | Expected Remaining Distributions | $ | 0.33 | N/A | Increase |
(1) | The investment advisor/sub-advisor considers relevant indications of value that are reasonably and timely available to it in determining the fair value to be assigned to a particular security, such as the type and cost of the security; contractual or legal restrictions on resale of the security; relevant financial or business developments of the issuer; actively traded related securities; conversion or exchange rights on the security; related corporate actions; significant events occurring after the close of trading in the security; and changes in overall market conditions. The Fund’s use of fair value pricing may cause the net asset value of Fund shares to differ from the net asset value that would be calculated using market quotations. Fair value pricing involves subjective judgments and it is possible that the fair value determined for a security may be materially different than the value that could be realized upon the sale of that security. |
47
Vivaldi Funds
NOTES TO FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
(2) | This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. |
Note 11 – Derivative and Hedging Disclosure
Derivatives and Hedging requires enhanced disclosures about the Funds’ derivative and hedging activities, including how such activities are accounted for and their effects on the Funds’ financial position, performance and cash flows. The Funds invested in options contracts during the six months ended March 31, 2021.
The effects of these derivative instruments on the Funds’ financial position and financial performance as reflected in the Statements of Assets and Liabilities and Statements of Operations are presented in the tables below. The fair values of derivative instruments as of March 31, 2021, by risk category are as follows:
Merger Arbitrage Fund | ||||||
Liability Derivatives | ||||||
Derivatives not designated as hedging instruments | Statement of Asset and Liabilities Location | Value | ||||
Equity contracts | Written options contracts, at value | $ | 159,014 | |||
Total | $ | 159,014 |
Multi-Strategy Fund | ||||||
Liability Derivatives | ||||||
Derivatives not designated as hedging instruments | Statement of Asset and Liabilities Location | Value | ||||
Equity contracts | Written options contracts, at value | $ | 1,052 | |||
Total | $ | 1,052 |
The effects of derivative instruments on the Statements of Operations for the six months ended March 31, 2021, are as follows:
Merger Arbitrage Fund | ||||||||
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||
Derivatives not designated as hedging instruments | Purchased Options Contracts | Written Options Contracts | ||||||
Equity contracts | $ | (126,450 | ) | $ | 41,220 | |||
Total | $ | (126,450 | ) | $ | 41,220 |
48
Vivaldi Funds
NOTES TO FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Multi-Strategy Fund | ||||||||
Amount of Realized Gain on Derivatives Recognized in Income | ||||||||
Derivatives not designated as hedging instruments | Purchased Options Contracts | Written Options Contracts | ||||||
Equity contracts | $ | 414 | $ | 2,544 | ||||
Total | $ | 414 | $ | 2,544 |
Merger Arbitrage Fund | ||||
Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in Income | ||||
Derivatives not designated as hedging instruments | Written Options Contracts | |||
Equity contracts | $ | (11,018 | ) | |
Total | $ | (11,018 | ) |
Multi-Strategy Fund | ||||
Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in Income | ||||
Derivatives not designated as hedging instruments | Written Options Contracts | |||
Equity contracts | $ | (1,423 | ) | |
Total | $ | (1,423 | ) |
The number of contracts is included on the Schedule of Investments. The quarterly average volumes of derivative instruments as of March 31, 2021, are as follows:
Merger Arbitrage Fund | ||||||
Derivative | Quarterly Average | Amount | ||||
Options Contracts - Written | Average Notional Value | $ | (18,779,425 | ) |
Multi-Strategy Fund | ||||||
Derivative | Quarterly Average | Amount | ||||
Options Contracts - Written | Average Notional Value | $ | (202,608 | ) |
Note 12 – Borrowing
The Funds have entered into a borrowing agreement with BNP Paribas (acting through its New York Branch). The Funds may borrow amounts up to one-third of the value of its assets. The Funds are charged interest of one-month Libor plus 1.10% for borrowing under this agreement. The Funds did not borrow under the line of credit agreement during the six months ended March 31, 2021.
Note 13 – COVID-19 Risks
In early 2020, an outbreak of a novel strain of coronavirus (COVID-19) emerged globally. This coronavirus has resulted in closing international borders, enhanced health screenings, healthcare service preparation and delivery, quarantines, cancellations, disruptions to supply chains and customer activity, as well as general public concern and uncertainty. The impact of this outbreak has negatively affected the worldwide economy, as well as the economies of individual countries, the financial health of individual companies and the market in general in significant and unforeseen ways. The future impact of COVID-19 is currently unknown, and it may exacerbate other risks that apply to the Funds, including political, social and economic risks. Any such impact could adversely affect the Funds’ performance, the performance of the securities in which the Funds invest and may lead to losses on your investment in the Funds. The ultimate impact of COVID-19 on the financial performance of the Funds’ investments is not reasonably estimable at this time.
49
Vivaldi Funds
NOTES TO FINANCIAL STATEMENTS - Continued
March 31, 2021 (Unaudited)
Note 14 – Events Subsequent to the Fiscal Period End
The Funds have adopted financial reporting rules regarding subsequent events which require an entity to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the balance sheet. Management has evaluated the Funds’ related events and transactions that occurred through the date of issuance of the Funds’ financial statements. There were no events or transactions that occurred during this period that materially impacted the amounts or disclosures in the Funds’ financial statements.
50
Vivaldi Funds
SUPPLEMENTAL INFORMATION (Unaudited)
Statement Regarding Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Board of Trustees (the “Board”) of Investment Managers Series Trust II (the “Trust”) met on October 19-20, 2020 (the “Meeting”), to review the liquidity risk management program (the “Fund Program”) applicable to the following series of the Trust (each, a “Fund” and together, the “Funds”) pursuant to the Liquidity Rule:
Vivaldi Merger Arbitrage Fund
Vivaldi Multi-Strategy Fund
The Board has appointed Vivaldi Asset Management, LLC, the investment adviser to the Funds, as the program administrator (“Program Administrator”) for the Fund Program. Under the Trust’s liquidity risk management program (the “Trust Program”), the Board has delegated oversight of the Trust Program to the Liquidity Oversight Committee (the “Oversight Committee”). At the Meeting, the Oversight Committee, on behalf of Program Administrator and the Funds, provided the Board with a written report (the “Report”) that addressed the operation, adequacy, and effectiveness of implementation of the Fund Program, and any material changes to it for the period from December 1, 2019 through July 31, 2020 (the “Program Reporting Period”).
In assessing the adequacy and effectiveness of implementation of the Fund Program, the Report discussed the following, among other things:
● | The Fund Program’s liquidity classification methodology for categorizing each Fund’s investments (including derivative transactions); |
● | An overview of market liquidity for each Fund during the Program Reporting Period; |
● | Each Fund’s ability to meet redemption requests; |
● | Each Fund’s cash management; |
● | Each Fund’s borrowing activity, if any, in order to meet redemption requests; |
● | Each Fund’s compliance with the 15% limit of illiquid investments; and |
● | Each Fund’s status as a primarily highly liquid fund (“PHLF”), the effectiveness of the implementation of the PHLF standard, and whether it would be appropriate for each Fund to adopt a highly liquid investment minimum (“HLIM”). |
The Report stated that the Funds primarily hold assets that are defined under the Liquidity Rule as "highly liquid investments," and therefore each Fund is not required to establish an HLIM. Highly liquid investments are defined as cash and any investment reasonably expected to be convertible to cash in current market conditions in three business days or less without the conversion to cash significantly changing the market value of the investment. The Report also stated that there were no material changes made to the Fund Program during the Program Reporting Period.
In the Report, the Program Administrator concluded that (i) the Fund Program, as adopted and implemented, remains reasonably designed to assess and manage each Fund’s liquidity risk; (ii) each Fund continues to qualify as a PHLF and therefore is not required to adopt an HLIM; (iii) during the Program Reporting Period, each Fund was able to meet redemption requests without significant dilution of remaining investors’ interests; and (iv) there were no weaknesses in the design or implementation of the Fund Program during the Program Reporting Period.
51
Vivaldi Funds
SUPPLEMENTAL INFORMATION (Unaudited) – Continued
There can be no assurance that the Fund Program will achieve its objectives in the future. Please refer to the Funds’ prospectus for more information regarding each Fund’s exposure to liquidity risk and other principal risks to which an investment in the Funds may be subject.
52
Vivaldi Funds
EXPENSE EXAMPLES
For the Six Months Ended March 31, 2021 (Unaudited)
Expense Examples
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs including sales charges (loads) on purchases within certain classes; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (Class A only) and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from October 1, 2020 to March 31, 2021.
Actual Expenses
The information in the row titled “Actual Performance” of the table below provides actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the appropriate row under the column titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The information in the row titled “Hypothetical (5% annual return before expenses)” of the table below provides hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (load). Therefore, the information in the row titled “Hypothetical (5% annual return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Expenses Paid During Period* | ||
Vivaldi Merger Arbitrage Fund | 10/1/20 | 3/31/21 | 10/1/20 – 3/31/21 | |
Class A | Actual Performance | $1,000.00 | $1,072.90 | $9.98 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,015,30 | 9.70 | |
Class I | Actual Performance | 1,000.00 | 1,074.70 | 8.32 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,016.92 | 8.08 |
* | Expenses are equal to the Fund’s annualized expense ratios of 1.93% and 1.61% for the Class A and Class I shares, respectively, multiplied by the average account values over the period, multiplied by 182/365 (to reflect the six month period) for Class A shares and Class I shares. The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested. |
53
Vivaldi Funds
EXPENSE EXAMPLES - Continued
For the Six Months Ended March 31, 2021 (Unaudited)
Beginning Account Value | Ending Account Value | Expenses Paid During Period* | ||
Vivaldi Multi-Strategy Fund | 10/1/20 | 3/31/21 | 10/1/20 – 3/31/21 | |
Class A | Actual Performance | $1,000.00 | $1,105.30 | $10.91 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,014,57 | 10.44 | |
Class I | Actual Performance | 1,000.00 | 1,107.20 | 9.66 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,015,76 | 9.24 |
* | Expenses are equal to the Fund’s annualized expense ratios of 2.08% and 1.84% for the Class A and Class I shares, respectively, multiplied by the average account values over the period, multiplied by 182/365 (to reflect the six month period) for Class A shares and Class I shares. The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested. |
54
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The Vivaldi Funds
Each a series of Investment Managers Series Trust II
Investment Advisor
Vivaldi Asset Management, LLC
225 West Wacker, Suite 2100
Chicago, Illinois 60606
Sub-Advisor
Angel Oak Capital Advisors, LLC
3344 Peachtree Road Northeast, Suite 1725
Atlanta, Georgia 30326
Sub-Advisor
RiverNorth Capital Management, LLC
325 North LaSalle Street, Suite 645
Chicago, Illinois 60654
Custodian
UMB Bank, n.a.
928 Grand Boulevard, 5th Floor
Kansas City, Missouri 64106
Fund Co-Administrator
Mutual Fund Administration, LLC
2220 East Route 66, Suite 226
Glendora, California 91740
Fund Co-Administrator, Transfer Agent and Fund Accountant
UMB Fund Services, Inc.
235 West Galena Street
Milwaukee, Wisconsin 53212
Distributor
IMST Distributors, LLC
Three Canal Plaza, Suite 100
Portland, Maine 04101
www.foreside.com
FUND INFORMATION
TICKER | CUSIP | |
Vivaldi Merger Arbitrage Fund – Class A | VARAX | 46141T 877 |
Vivaldi Merger Arbitrage Fund – Class I | VARBX | 46141T 869 |
Vivaldi Multi-Strategy Fund – Class A | OMOAX | 46141T 687 |
Vivaldi Multi-Strategy Fund – Class I | OMOIX | 46141T 679 |
Privacy Principles of the Vivaldi Funds for Shareholders
The Funds are committed to maintaining the privacy of their shareholders and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information the Funds collect, how we protect that information and why, in certain cases, we may share information with select other parties.
Generally, the Funds do not receive any non-public personal information relating to their shareholders, although certain non-public personal information of their shareholders may become available to the Funds. The Funds do not disclose any non-public personal information about their shareholders or former shareholders to anyone, except as permitted by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third party administrator).
This report is sent to shareholders of the Vivaldi Funds for their information. It is not a Prospectus, circular or representation intended for use in the purchase or sale of shares of the Funds or of any securities mentioned in this report.
Proxy Voting
The Funds’ proxy voting policies and procedures, as well as information regarding how the Funds voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended June 30, are available, without charge and upon request by calling (877) 779-1999 or on the SEC’s website at www.sec.gov.
Fund Portfolio Holdings
The Funds file a complete schedule of their portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the Funds’ Form N-PORT on the SEC’s website at www.sec.gov.
Prior to their use of Form N-PORT, the Funds filed their complete schedule of portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.
Householding
The Funds will mail only one copy of shareholder documents, including prospectuses, notice of annual and semi-annual reports availability and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (877) 779-1999.
Vivaldi Funds
P.O. Box 2175
Milwaukee, WI 53201
Toll Free: (877) 779-1999
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
(a) | Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934). |
(b) | Not applicable. |
Item 6. Investments.
(a) | Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
Item 11. Controls and Procedures.
(a) | The Registrant’s President/Chief Executive Officer and Treasurer/Chief Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) 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 to open-end investment companies.
Item 13. Exhibits.
(a) | (1) Any code of ethics or amendment thereto, that is subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not applicable. |
(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.
(b) | Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
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) | Investment Managers Series Trust II | |
By (Signature and Title) | /s/ Terrance Gallagher | |
Terrance Gallagher, President/Chief Executive Officer | ||
Date | 6/7/2021 |
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/ Terrance Gallagher | |
Terrance Gallagher, President/Chief Executive Officer | ||
Date | 6/7/2021 | |
By (Signature and Title) | /s/ Rita Dam | |
Rita Dam, Treasurer/Chief Financial Officer | ||
Date | 6/7/2021 |