The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2023
($ reported in thousands)
Par Value | Value | ||
Convertible Bonds and Notes—0.7% | |||
Health Care—0.3% | |||
NextGen Healthcare, Inc. 144A 3.750%, 11/15/27(1) | $ 6,423 | $ 7,174 | |
Tabula Rasa HealthCare, Inc. 1.750%, 2/15/26 | 1,334 | 1,292 | |
8,466 | |||
Information Technology—0.4% | |||
Splunk, Inc. 1.125%, 6/15/27 | 14,785 | 13,949 | |
Total Convertible Bonds and Notes (Identified Cost $22,354) | 22,415 | ||
Corporate Bonds and Notes—4.4% | |||
Communication Services—1.6% | |||
Connect Finco S.a.r.l. 144A 6.750%, 10/1/26(1) | 3,898 | 3,636 | |
GrubHub Holdings, Inc. 144A 5.500%, 7/1/27(1) | 8,853 | 6,877 | |
Lagardere S.A. | |||
RegS 1.625%, 6/21/24(2) | 2,600EUR | 2,711 | |
RegS 2.125%, 10/16/26(2) | 18,800EUR | 19,516 | |
RegS 1.750%, 10/7/27(2) | 16,600EUR | 17,256 | |
49,996 | |||
Consumer Discretionary—0.6% | |||
Michael Kors USA, Inc. 144A 4.250%, 11/1/24(1) | 18,768 | 18,440 | |
Consumer Staples—0.3% | |||
TreeHouse Foods, Inc. 4.000%, 9/1/28 | 10,995 | 8,920 | |
Energy—1.0% | |||
California Resources Corp. 144A 7.125%, 2/1/26(1) | 2,421 | 2,433 | |
Calumet Specialty Products Partners LP 144A 11.000%, 4/15/25(1) | 1,456 | 1,478 | |
PDC Energy, Inc. 5.750%, 5/15/26 | 26,314 | 26,223 | |
30,134 | |||
Financials—0.4% | |||
Earthstone Energy Holdings LLC 144A 8.000%, 4/15/27(1) | 5,995 | 6,136 | |
Mobius Merger Sub, Inc. 144A 9.000%, 6/1/30(1) | 1,679 | 1,553 | |
SEG Holding LLC 144A 5.625%, 10/15/28(1) | 1,653 | 1,657 | |
Verscend Escrow Corp. 144A 9.750%, 8/15/26(1) | 1,810 | 1,810 | |
11,156 | |||
Information Technology—0.4% | |||
NCR Corp. | |||
144A 5.750%, 9/1/27(1) | 5,023 | 5,060 |
Par Value | Value | ||
Information Technology—continued | |||
144A 6.125%, 9/1/29(1)(3) | $ 6,253 | $ 6,413 | |
11,473 | |||
Real Estate—0.0% | |||
Anywhere Real Estate Group LLC 144A 7.000%, 4/15/30(1) | 1,522 | 1,374 | |
Realogy Group LLC 144A 5.250%, 4/15/30(1) | 97 | 67 | |
1,441 | |||
Utilities—0.1% | |||
Origin Energy Finance Ltd. RegS 1.000%, 9/17/29(2) | 3,126EUR | 3,002 | |
Total Corporate Bonds and Notes (Identified Cost $140,030) | 134,562 | ||
Leveraged Loans—0.6% | |||
Food / Tobacco—0.3% | |||
Hostess Brands LLC Tranche B (3 month Term SOFR + 2.500%) 7.890%, 6/21/30(4) | 9,000 | 9,009 | |
Health Care—0.2% | |||
Verscend Holding Corp. Tranche B (1 month Term SOFR + 4.114%) 9.431%, 8/27/25(4) | 4,962 | 4,957 | |
Information Technology—0.1% | |||
RentPath LLC Tranche B-1, First Lien (3 month PRIME + 3.750%) 12.250%, 4/25/24(5)(6) | 482 | — | |
Syniverse Holdings, Inc. (3 month Term SOFR + 7.000%) 12.390%, 5/13/27(4) | 5,326 | 4,658 | |
4,658 | |||
Total Leveraged Loans (Identified Cost $19,595) | 18,624 |
Shares | ||
Preferred Stock—0.0% | ||
Information Technology—0.0% | ||
Babcock & Wilcox Enterprises, Inc., 6.500% | 6,867 | 143 |
Total Preferred Stock (Identified Cost $172) | 143 | |
Common Stocks—45.3% | ||
Communication Services—8.0% | ||
Activision Blizzard, Inc. | 2,646,605 | 247,801 |
GCI Liberty, Inc. Escrow Share(7) | 70,800 | 9 |
247,810 | ||
Consumer Discretionary—2.1% | ||
Capri Holdings Ltd.(7)(8) | 1,238,561 | 65,161 |
See Notes to Schedule of Investments
1
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
Shares | Value | ||
Consumer Staples—3.3% | |||
Albertsons Cos., Inc. Class A(8) | 2,177,010 | $ 49,527 | |
Gold Flora Corp.(7) | 389,769 | 50 | |
Hostess Brands, Inc. Class A(7)(8) | 466,093 | 15,526 | |
Sovos Brands, Inc.(7)(8) | 1,577,392 | 35,570 | |
100,673 | |||
Energy—1.7% | |||
Denbury, Inc.(7)(8) | 527,511 | 51,701 | |
ONEOK, Inc. | — | —(9) | |
51,701 | |||
Financials—0.8% | |||
American Equity Investment Life Holding Co.(7)(8) | 327,593 | 17,572 | |
Argo Group International Holdings Ltd. | 209,223 | 6,243 | |
Intercontinental Exchange, Inc. | 13,800 | 1,519 | |
25,334 | |||
Health Care—16.3% | |||
Abcam plc Sponsored ADR(7)(8) | 2,616,294 | 59,207 | |
ABIOMED, Inc.(5)(7) | 60,860 | 129 | |
Amedisys, Inc.(7) | 653,187 | 61,008 | |
Emis Group plc | 160,999 | 3,795 | |
EQRx, Inc.(7)(8) | 5,429,530 | 12,053 | |
Horizon Therapeutics plc(7)(8) | 1,730,866 | 200,244 | |
Seagen, Inc.(7)(8) | 797,684 | 169,229 | |
505,665 | |||
Information Technology—9.5% | |||
National Instruments Corp.(8) | 944,281 | 56,298 | |
New Relic, Inc.(7) | 167,142 | 14,311 | |
Silicon Motion Technology Corp. ADR(7) | 317,793 | 16,287 | |
Splunk, Inc.(7) | 322,100 | 47,107 | |
Tower Semiconductor Ltd.(7) | 381,418 | 9,368 | |
VMware, Inc. Class A(7) | 896,049 | 149,174 | |
292,545 | |||
Materials—3.2% | |||
Newcrest Mining Ltd. | 214,176 | 3,386 | |
Teck Resources Ltd. Class B | 666,600 | 28,724 | |
United States Steel Corp. | 1,492,311 | 48,470 | |
Westrock Co. | 557,063 | 19,943 | |
100,523 | |||
Real Estate—0.4% | |||
RPT Realty | 1,236,501 | 13,057 | |
Total Common Stocks (Identified Cost $1,336,440) | 1,402,469 | ||
Affiliated Mutual Fund—2.6% | |||
Equity Fund—2.6% | |||
Virtus Westchester Event-Driven Fund Class I(10)(11) | 7,418,511 | 78,933 | |
Total Affiliated Mutual Fund (Identified Cost $77,500) | 78,933 | ||
Shares | Value | ||
Rights—0.0% | |||
Health Care—0.0% | |||
Akouos, Inc., 12/31/49(7) | 336,679 | $ 379 | |
Bristol Myers Squibb Co., 12/31/35(5)(7) | 453,175 | 566 | |
Total Rights (Identified Cost $—) | 945 | ||
Warrants—0.0% | |||
Communication Services—0.0% | |||
Akazoo S.A., 12/31/35(5)(7) | 238,850 | — | |
BuzzFeed, Inc., 12/01/26(7) | 116,254 | 5 | |
5 | |||
Consumer Discretionary—0.0% | |||
Allurion Technologies, Inc., 07/31/29(7) | 63,240 | 58 | |
Cazoo Group Ltd., 08/26/26(7) | 380,410 | —(9) | |
CEC Brands LLC, 12/31/25(5)(7) | 189,648 | 569 | |
ECARX Holdings, Inc., 12/21/27(7) | 81,099 | 4 | |
Grove Collaborative Holdings, 03/13/26(7) | 78,996 | 1 | |
Zapp Electric Vehicles Group Ltd., 03/03/28(7) | 168,623 | 4 | |
636 | |||
Consumer Staples—0.0% | |||
Whole Earth Brands, Inc., 06/25/25(7) | 55,224 | 7 | |
Financials—0.0% | |||
26 Capital Acquisition Corp., 12/31/27(7) | 61,000 | — | |
Alchemy Investments Acquisition Corp. 1, 06/26/28(7) | 183,897 | 30 | |
Alpha Partners Technology Merger Corp., 03/31/28(7) | 83,333 | 4 | |
AltEnergy Acquisition Corp., 11/10/28(7) | 62,809 | 3 | |
Ares Acquisition Corp., 12/31/27(7) | 31,500 | 21 | |
Ares Acquisition Corp. II, 06/12/28(7) | 331,251 | 78 | |
Arrowroot Acquisition Corp., 03/02/26(7) | 462,172 | 79 | |
Athena Consumer Acquisition Corp., 07/31/28(7) | 41,929 | 15 | |
Cartesian Growth Corp II, 07/12/28(7) | 69,832 | 12 | |
Cartica Acquisition Corp., 04/30/28(7) | 37,500 | 2 | |
CC Neuberger Principal Holdings III, 12/31/27(7) | 22,800 | 4 | |
CF Acquisition Corp. VIII, 12/31/27(7) | 40,000 | 11 | |
Corner Growth Acquisition Corp., 12/31/27(7) | 62,938 | 6 | |
ESGEN Acquisition Corp., 10/20/26(7) | 73,376 | 3 | |
FTAC Emerald Acquisition Corp., 08/22/28(7) | 207,965 | 15 | |
Fusion Acquisition Corp. II, 12/31/27(7) | 70,766 | —(9) | |
GCM Grosvenor, Inc. Class A, 11/17/25(7) | 102,070 | 27 | |
Goal Acquisitions Corp., 02/11/26(7) | 564,935 | 15 | |
Infinite Acquisition Corp., 11/23/28(7) | 52,215 | 2 | |
Inflection Point Acquisition Corp. II, 07/17/28(7) | 147,761 | 25 | |
Israel Acquisitions Corp., 02/28/28(7) | 447,969 | 62 | |
Juniper II Corp., 12/31/28(7) | 97,736 | —(9) | |
Kensington Capital Acquisition Corp. V, 08/13/28(7) | 126,939 | 15 | |
Live Oak Crestview Climate Acquisition Corp., 03/12/26(7) | 143,352 | 10 | |
Moneylion, Inc., 06/01/27(7) | 106,742 | 5 | |
Newbury Street Acquisition Corp., 12/31/27(7) | 31,054 | 5 | |
Newcourt Acquisition Corp., 04/12/28(7) | 85,245 | 2 | |
Phoenix Biotech Acquisition Corp., 09/01/26(7) | 62,781 | 4 | |
PROOF Acquisition Corp. I, 12/03/28(7) | 167,228 | 15 | |
Prospector Capital Corp., 01/01/25(7) | 155,088 | 10 |
See Notes to Schedule of Investments
2
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
Shares | Value | ||
Financials—continued | |||
Pyrophyte Acquisition Corp., 12/17/23(7) | 83,773 | $ 5 | |
RMG Acquisition Corp. III, 12/31/27(7) | 85,180 | 11 | |
Screaming Eagle Acquisition Corp. Class A, 12/15/27(7) | 251,119 | 40 | |
Semper Paratus Acquisition Corp., 11/04/26(7) | 83,731 | 5 | |
SilverBox Corp. III, 04/28/28(7) | 31,515 | 5 | |
Slam Corp. Class A, 12/31/27(7) | 101,785 | 14 | |
Spring Valley Acquisition Corp. II, 02/25/26(7) | 158,098 | 16 | |
Target Global Acquisition I Corp., 12/31/27(7) | 125,200 | 7 | |
Thunder Bridge Capital Partners III, Inc., 02/15/28(7) | 81,350 | 6 | |
589 | |||
Health Care—0.0% | |||
Pear Therapeutics, Inc., 02/04/26(7) | 6,166 | —(9) | |
Quantum-Si, Inc., 09/30/27(7) | 32,085 | 9 | |
9 | |||
Industrials—0.0% | |||
Amprius Technologies, Inc., 03/02/27(7) | 326,205 | 87 | |
Bridger Aerospace Group Holdings, Inc., 12/31/27(7) | 58,300 | 17 | |
Freightos Ltd., 01/23/28(7) | 54,429 | 7 | |
Getaround, Inc., 12/31/28(7) | 12,698 | —(9) | |
111 | |||
Information Technology—0.0% | |||
KLDiscovery, Inc., 12/19/24(7) | 677,651 | 2 | |
Movella Holdings, Inc., 12/31/27(7) | 74,121 | 2 | |
Near Intelligence, Inc., 07/08/27(7) | 16,000 | —(9) | |
4 | |||
Materials—0.0% | |||
Ginkgo Bioworks Holdings, Inc., 12/31/27(7) | 2,620 | 1 | |
Total Warrants (Identified Cost $13,629) | 1,362 |
Shares/Units | ||
Special Purpose Acquisition Companies—27.1% | ||
7GC & Co. Holdings, Inc. Class A(7)(10) | 198,728 | 2,102 |
Accretion Acquisition Corp.(7) | 306,281 | 3,210 |
Acropolis Infrastructure Acquisition Corp. Class A(7) | 268,949 | 2,765 |
Aimfinity Investment Corp. I(7) | 107,731 | 1,150 |
Alchemy Investments Acquisition Corp. 1(7) | 367,795 | 3,796 |
Alpha Partners Technology Merger Corp. Class A(7)(10) | 1,146,417 | 12,135 |
Alpha Star Acquisition Corp.(7)(10) | 710,257 | 7,735 |
AltC Acquisition Corp. Class A(7) | 299,852 | 3,103 |
Anzu Special Acquisition Corp. I Class A(7) | 99,143 | 1,034 |
AP Acquisition Corp. Class A(7) | 355,336 | 3,902 |
Apollo Strategic Growth Capital Class B(5)(7) | 263,982 | — |
Apollo Strategic Growth Capital II Class A(7)(10) | 1,536,014 | 16,144 |
APx Acquisition Corp. I(7)(10) | 566,675 | 6,216 |
Ares Acquisition Corp. Class A(7)(10) | 2,638,587 | 28,391 |
Ares Acquisition Corp. II(7) | 1,538,410 | 15,799 |
Arisz Acquisition Corp.(7)(10) | 339,292 | 3,641 |
Arogo Capital Acquisition Corp. Class A(7)(10) | 160,187 | 1,709 |
Arrowroot Acquisition Corp. Class A(7)(10) | 345,322 | 3,622 |
Artemis Strategic Investment Corp. Class A(7) | 115,940 | 1,235 |
ARYA Sciences Acquisition Corp. IV Class A(7)(10) | 395,691 | 4,293 |
Shares/Units | Value | ||
Aura FAT Projects Acquisition Corp. Class A(7) | 178,446 | $ 1,920 | |
Aurora Technology Acquisition Corp. Class A(7) | 200,000 | 2,168 | |
Bannix Acquisition Corp.(7) | 21,987 | 234 | |
Battery Future Acquisition Corp. Class A(7)(10) | 938,916 | 10,215 | |
Beard Energy Transition Acquisition Corp. Class A(7) | 350,888 | 3,772 | |
BioPlus Acquisition Corp. Class A(7)(10) | 1,119,976 | 12,129 | |
Black Mountain Acquisition Corp. Class A(3)(7) | 335,923 | 3,584 | |
Blue Ocean Acquisition Corp. Class A(7) | 271,847 | 2,914 | |
Blue World Acquisition Corp.(7) | 139,717 | 1,523 | |
Bowen Acquisition Corp.(7) | 189,738 | 1,933 | |
Bridgetown Holdings Ltd. Class A(7) | 196,553 | 2,036 | |
Bukit Jalil Global Acquisition 1 Ltd.(7) | 116,009 | 1,193 | |
Bukit Jalil Global Acquisition 1 Ltd.(7) | 121,363 | 1,268 | |
byNordic Acquisition Corp.(7) | 142,352 | 1,535 | |
C5 Acquisition Corp. Class A(7)(10) | 584,310 | 6,410 | |
Canna-Global Acquisition Corp. Class A(7) | 112,533 | 1,217 | |
Capitalworks Emerging Markets Acquisition Corp. Class A(7) | 203,471 | 2,198 | |
Cartesian Growth Corp. II Class A(7) | 1,060,315 | 11,451 | |
Cartica Acquisition Corp. Class A(7) | 284,379 | 3,060 | |
CC Neuberger Principal Holdings III Class A(7) | 186,417 | 2,032 | |
Cetus Capital Acquisition Corp.(7) | 165,895 | 1,735 | |
CF Acquisition Corp. IV Class A(7) | 451,305 | 4,820 | |
CF Acquisition Corp. VII Class A(7) | 708,562 | 7,582 | |
Chenghe Acquisition Co. Class A(7) | 285,319 | 3,090 | |
Churchill Capital Corp. V Class A(7) | 208,972 | 2,173 | |
Churchill Capital Corp. VII Class A(7)(10) | 3,298,554 | 34,470 | |
Clean Earth Acquisitions Corp. Class A(7)(10) | 547,252 | 5,784 | |
Coliseum Acquisition Corp. Class A(7)(10) | 522,188 | 5,556 | |
Compass Digital Acquisition Corp.(7) | 749,247 | 7,860 | |
Concord Acquisition Corp. II Class A(7) | 1,067,227 | 10,971 | |
Constellation Acquisition Corp. I Class A(7)(10) | 381,194 | 4,113 | |
Crown PropTech Acquisitions Class A(7) | 993 | 10 | |
CSLM Acquisition Corp.(7) | 450,016 | 4,815 | |
Data Knights Acquisition Corp. Class A(7)(10) | 221,951 | 2,519 | |
Denali Capital Acquisition Corp. Class A(7) | 286,711 | 3,131 | |
DHC Acquisition Corp. Class A(7) | 190,308 | 2,021 | |
Direct Selling Acquisition Corp. Class A(7) | 183,853 | 1,923 | |
Distoken Acquisition Corp.(3)(7) | 376,998 | 3,974 | |
DUET Acquisition Corp. Class A(7) | 201,622 | 2,159 | |
EF Hutton Acquisition Corp. I(7) | 194,219 | 2,051 | |
Embrace Change Acquisition Corp.(7) | 346,270 | 3,729 | |
Enphys Acquisition Corp.(7) | 1,382,585 | 14,517 | |
ESGEN Acquisition Corp. Class A(7)(10) | 271,788 | 3,033 | |
ESH Acquisition Corp.(7) | 321,082 | 78 | |
ESH Acquisition Corp. Class A(7) | 321,082 | 3,249 | |
EVe Mobility Acquisition Corp. Class A(7) | 606,371 | 6,476 | |
Everest Consolidator Acquisition Corp.(7) | 533,272 | 5,770 | |
Evergreen Corp. Class A(7) | 204,678 | 2,243 | |
ExcelFin Acquisition Corp. Class A(7) | 161,036 | 1,713 | |
FAST Acquisition Corp. II Class A(7) | 200,431 | 2,119 | |
Feutune Light Acquisition Corp. Class A(7) | 81,104 | 866 | |
Finnovate Acquisition Corp. Class A(7)(10) | 521,355 | 5,678 | |
Fintech Ecosystem Development Corp. Class A(7) | 116,862 | 1,243 | |
Focus Impact Acquisition Corp. Class A(7)(10) | 375,863 | 4,078 | |
Forbion European Acquisition Corp. Class A(7) | 389,361 | 4,264 | |
Forest Road Acquisition Corp. II Class A(3)(7) | 150,000 | 1,553 | |
FTAC Emerald Acquisition Corp. Class A(7) | 722,983 | 7,562 | |
FutureTech II Acquisition Corp. Class A(7) | 308,648 | 3,358 | |
Generation Asia I Acquisition Ltd. Class A(7) | 325,000 | 3,484 | |
Global Partner Acquisition Corp. II Class A(7) | 4,721 | 51 | |
Golden Star Acquisition Corp.(7) | 205,869 | 2,188 | |
Golden Star Acquisition Corp.(7) | 109,785 | 1,131 | |
Gores Holdings IX, Inc. Class A(7) | 2,327,807 | 24,186 |
See Notes to Schedule of Investments
3
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
Shares/Units | Value | ||
Graf Acquisition Corp. IV(7) | 85,305 | $ 884 | |
Haymaker Acquisition Corp. 4(7) | 238,161 | 2,489 | |
HCM Acquisition Corp. Class A(7) | 467,203 | 5,139 | |
Hudson Acquisition I Corp.(7) | 118,200 | 1,269 | |
Iconic Sports Acquisition Corp. Class A(7) | 562,740 | 6,083 | |
Infinite Acquisition Corp. Class A(7)(10) | 646,649 | 6,958 | |
InFinT Acquisition Corp. Class A(7) | 319,938 | 3,529 | |
Inflection Point Acquisition Corp. II Class A(7) | 374,166 | 3,820 | |
Integral Acquisition Corp. 1 Class A(7) | 124,146 | 1,331 | |
Integrated Rail & Resources Acquisition Corp. Class A(7) | 29,811 | 324 | |
Integrated Wellness Acquisition Corp. Class A(7)(10) | 423,090 | 4,637 | |
Investcorp Europe Acquisition Corp. I Class A(7)(10) | 1,234,820 | 13,435 | |
Investcorp India Acquisition Corp. Class A(7)(10) | 657,507 | 7,121 | |
Israel Acquisitions Corp. Class A(7)(10) | 847,969 | 8,946 | |
IX Acquisition Corp. Class A(7) | 390,600 | 4,258 | |
Jaguar Global Growth Corp. I Class A(7)(10) | 543,143 | 5,768 | |
Jupiter Acquisition Corp. Class A(7) | 199,693 | 2,053 | |
Keen Vision Acquisition Corp.(7) | 537,265 | 5,496 | |
Keen Vision Acquisition Corp.(7) | 85,535 | 871 | |
Kernel Group Holdings, Inc. Class A(7)(10) | 376,278 | 3,989 | |
Keyarch Acquisition Corp.(7) | 125,176 | 1,333 | |
KnightSwan Acquisition Corp. Class A(7) | 130,561 | 1,372 | |
L Catterton Asia Acquisition Corp. Class A(7) | 757,139 | 8,048 | |
LatAmGrowth SPAC(7) | 230,919 | 2,485 | |
Learn CW Investment Corp. Class A(7) | 817,802 | 8,677 | |
Leo Holdings Corp. II Class A(7)(10) | 281,385 | 3,090 | |
Liberty Resources Acquisition Corp. Class A(7)(10) | 277,451 | 3,030 | |
LIV Capital Acquisition Corp. II Class A(7) | 277,944 | 3,016 | |
Live Oak Crestview Climate Acquisition Corp. Class A(7) | 676,018 | 6,983 | |
Magnum Opus Acquisition Ltd. Class A(7)(10) | 394,757 | 4,208 | |
Mars Acquisition Corp.(7) | 214,664 | 2,256 | |
Mars Acquisition Corp.(7) | 5,944 | 1 | |
Metal Sky Star Acquisition Corp.(7) | 314,301 | 3,435 | |
Mobiv Acquisition Corp. Class A(7) | 255,399 | 2,730 | |
Monterey Capital Acquisition Corp. Class A(7) | 440,230 | 4,671 | |
Mountain & Co. I Acquisition Corp.(7)(10) | 923,431 | 10,342 | |
Nabors Energy Transition Corp. Class A(7)(10) | 752,411 | 8,164 | |
Nabors Energy Transition Corp. II(7) | 375,227 | 3,854 | |
Newbury Street Acquisition Corp.(7)(10) | 181,745 | 1,908 | |
Newcourt Acquisition Corp. Class A(3)(7) | 93,635 | 1,039 | |
Nubia Brand International Corp. Class A(7)(10) | 308,227 | 3,341 | |
Oak Woods Acquisition Corp. Class A(7) | 241,946 | 2,526 | |
OCA Acquisition Corp. Class A(7) | 139,497 | 1,483 | |
Patria Latin American Opportunity Acquisition Corp.(7)(10) | 1,020,533 | 11,216 | |
Pearl Holdings Acquisition Corp. Class A(7)(10) | 1,090,589 | 11,691 | |
Pegasus Digital Mobility Acquisition Corp. Class A(7) | 124,475 | 1,362 | |
Perception Capital Corp. II Class A(7) | 92,004 | 1,023 | |
Plum Acquisition Corp. I Class A(7)(10) | 228,987 | 2,466 | |
Plutonian Acquisition Corp.(7) | 193,386 | 2,044 | |
Pono Capital Three, Inc. Class A(7) | 47,842 | 505 | |
Portage Fintech Acquisition Corp. Class A(7) | 66,337 | 695 | |
Power & Digital Infrastructure Acquisition II Corp. Class A(7)(10) | 658,824 | 7,017 | |
PowerUp Acquisition Corp. Class A(7) | 27,909 | 325 | |
Project Energy Reimagined Acquisition Corp.(7) | 196,860 | 2,063 | |
PROOF Acquisition Corp. I Class A(7)(10) | 479,976 | 5,155 | |
Pyrophyte Acquisition Corp. Class A(7)(10) | 699,963 | 7,637 | |
Qomolangma Acquisition Corp.(7) | 92,065 | 977 | |
Quadro Acquisition One Corp.(7) | 70,320 | 752 | |
RCF Acquisition Corp. Class A(7)(10) | 1,079,005 | 11,804 | |
Redwoods Acquisition Corp.(7) | 438,910 | 4,683 |
Shares/Units | Value | ||
Rigel Resource Acquisition Corp. Class A(7)(10) | 1,308,415 | $ 14,249 | |
Ross Acquisition Corp. II Class A(7)(10) | 468,201 | 5,038 | |
Roth CH Acquisition Co.(7) | 246,418 | 2,664 | |
Roth CH Acquisition V Co.(7) | 162,947 | 1,714 | |
Screaming Eagle Acquisition Corp. Class A(7)(10) | 3,978,195 | 41,612 | |
SDCL EDGE Acquisition Corp. Class A(7) | 499,699 | 5,297 | |
Semper Paratus Acquisition Corp. Class A(7) | 83,094 | 902 | |
SHUAA Partners Acquisition Corp. I Class A(7) | 205,292 | 2,266 | |
SilverBox Corp. III Class A(7) | 94,545 | 967 | |
Sizzle Acquisition Corp.(7) | 217,633 | 2,364 | |
SK Growth Opportunities Corp. Class A(7) | 872,233 | 9,368 | |
Slam Corp. Class A(7)(10) | 2,065,256 | 22,263 | |
Spree Acquisition Corp. 1 Ltd.(3)(7) | 166,892 | 1,802 | |
Spring Valley Acquisition Corp. II(7) | 316,196 | 44 | |
Spring Valley Acquisition Corp. II Class A(7) | 780,799 | 8,355 | |
Target Global Acquisition I Corp. Class A(7)(10) | 672,226 | 7,300 | |
TenX Keane Acquisition Class A(7) | 251,058 | 2,699 | |
TLGY Acquisition Corp. Class A(7)(10) | 572,339 | 6,293 | |
TMT Acquisition Corp.(7) | 244,827 | 49 | |
TMT Acquisition Corp. Class A(7) | 327,009 | 3,411 | |
TortoiseEcofin Acquisition Corp. III Class A(7) | 1,363,243 | 14,287 | |
Tristar Acquisition I Corp. Class A(7) | 447,946 | 4,789 | |
Twin Ridge Capital Acquisition Corp. Class A(7)(10) | 537,023 | 5,714 | |
two Class A(7) | 39,834 | 417 | |
Valuence Merger Corp. I Class A(7)(10) | 706,148 | 7,845 | |
Viveon Health Acquisition Corp.(7) | 76,597 | 857 | |
Yotta Acquisition Corp.(7) | 275,274 | 2,940 | |
Zalatoris Acquisition Corp.(7) | 252,668 | 2,658 | |
Zalatoris II Acquisition Corp.(7)(10) | 487,219 | 5,204 | |
Total Special Purpose Acquisition Companies (Identified Cost $808,157) | 839,275 |
Shares | ||
Purchased Options—0.1% | ||
(See open purchased options schedule) | ||
Total Purchased Options (Premiums Paid $9,001) | 3,468 | |
Escrow Notes—2.0% | ||
Financials—2.0% | ||
Altaba, Inc. Escrow(7) | 25,671,973 | 60,072 |
Pershing Square Escrow(7) | 547,537 | 110 |
60,182 | ||
Industrials—0.0% | ||
AMR Corp. Escrow(5)(7) | 1,243,406 | 25 |
Total Escrow Notes (Identified Cost $35,331) | 60,207 | |
See Notes to Schedule of Investments
4
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
Shares | Value | ||
Master Limited Partnerships and Related Companies—0.2% | |||
Downstream/Other—0.2% | |||
Holly Energy Partners LP | 294,942 | $ 6,477 | |
Total Master Limited Partnerships and Related Companies (Identified Cost $6,462) | 6,477 | ||
Total Long-Term Investments—83.0% (Identified Cost $2,468,671) | 2,568,880 | ||
Short-Term Investments—13.5% | |||
Money Market Mutual Funds—13.5% | |||
Goldman Sachs Financial Square Funds - Treasury Instruments Fund - Standard Shares (seven-day effective yield 5.219%)(11) | 192,800,000 | 192,800 | |
Goldman Sachs Financial Square Government Fund - Standard Shares (seven-day effective yield 5.234%)(11) | 192,800,000 | 192,800 | |
Goldman Sachs Financial Square Treasury Solutions Fund - Standard Shares (seven-day effective yield 5.231%)(11) | 32,770,461 | 32,770 | |
Total Short-Term Investments (Identified Cost $418,370) | 418,370 | ||
Securities Lending Collateral—0.1% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 5.222%)(11)(12) | 2,617,060 | 2,617 | |
Total Securities Lending Collateral (Identified Cost $2,617) | 2,617 | ||
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT AND WRITTEN OPTIONS—96.6% (Identified Cost $2,889,658) | 2,989,867 |
Securities Sold Short—(1.5)% |
Common Stocks—(1.5)% | ||
Consumer Staples—(0.0)% | ||
J M Smucker Co. (The) | (13,992) | (1,720) |
Energy—(1.2)% | ||
Exxon Mobil Corp. | (265,621) | (31,232) |
HF Sinclair Corp. | (92,859) | (5,286) |
(36,518) | ||
Health Care—(0.1)% | ||
Revolution Medicines, Inc.(7) | (83,861) | (2,321) |
Materials—(0.1)% | ||
Newmont Corp. | (83,185) | (3,074) |
Shares | Value | ||
Real Estate—(0.1)% | |||
Kimco Realty Corp. | (118,164) | $ (2,078) | |
Total Securities Sold Short (Identified Proceeds $(44,456)) | (45,711) | ||
Written Options—(0.5)% | |||
(See open written options schedule) | |||
Total Written Options (Premiums Received $15,072) | (15,398) | ||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT AND WRITTEN OPTIONS—94.6% (Identified Cost $2,830,130) | $2,928,758 | ||
Other assets and liabilities, net—5.4% | 167,607 | ||
NET ASSETS—100.0% | $3,096,365 |
Abbreviations: | |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
LP | Limited Partnership |
OBFR | Overnight Bank Funding Rate |
S&P | Standard & Poor’s |
SOFR | Secured Overnight Financing Rate |
SPAC | Special Purpose Acquisition Company |
SPDR | S&P Depositary Receipt |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2023, these securities amounted to a value of $64,108 or 2.1% of net assets. |
(2) | Regulation S security. Security is offered and sold outside of the United States; therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(3) | All or a portion of security is on loan. |
(4) | Variable rate security. Rate disclosed is as of September 30, 2023. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(6) | Security in default; no interest payments are being received. |
(7) | Non-income producing. |
(8) | All or a portion of the shares have been committed as collateral for open securities sold short and written option contracts. The value of securities segregated as collateral is $308,542. |
(9) | Amount is less than $500 (not in thousands). |
(10) | Affiliated investment. |
(11) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(12) | Represents security purchased with cash collateral received for securities on loan. |
See Notes to Schedule of Investments
5
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
Counterparties: | |
BAML | Bank of America-Merrill Lynch |
GS | Goldman Sachs & Co. |
JPM | JPMorgan Chase Bank N.A. |
Foreign Currencies: | |
AUD | Australian Dollar |
CAD | Canadian Dollar |
DKK | Danish Krone |
EUR | Euro |
GBP | United Kingdom Pound Sterling |
JPY | Japanese Yen |
USD | United States Dollar |
Country Weightings† | |
United States | 65% |
Cayman Islands | 21 |
Ireland | 7 |
Virgin Islands (British) | 3 |
United Kingdom | 2 |
France | 1 |
Canada | 1 |
Total | 100% |
†% of total investments, net of securities sold short and written options, as of September 30, 2023. |
Open purchased options contracts as of September 30, 2023 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Put Options(2) | |||||
Horizon Therapeutics plc | 2,134 | $21,340 | $100.00 | 01/19/24 | $96 |
Seagen, Inc. | 3,387 | 64,353 | 190.00 | 06/21/24 | 2,371 |
SPDR S&P 500® ETF Trust | 3,690 | 153,135 | 415.00 | 10/20/23 | 867 |
Teck Resources Ltd. | 1,898 | 7,212 | 38.00 | 10/20/23 | 32 |
Teck Resources Ltd. | 426 | 1,363 | 32.00 | 11/17/23 | 5 |
Teck Resources Ltd. | 1,164 | 3,841 | 33.00 | 11/17/23 | 17 |
Teck Resources Ltd. | 711 | 2,489 | 35.00 | 11/17/23 | 20 |
United States Steel Corp. | 14,923 | 37,308 | 25.00 | 10/20/23 | 60 |
Total Purchased Options | $3,468 | ||||
Footnote Legend: | |||||
(1) Strike price not reported in thousands. | |||||
(2) Exchange-traded options. |
Open written options contracts as of September 30, 2023 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Abcam plc | (1,384) | $(3,460) | $25.00 | 11/17/23 | $— |
Albertsons Cos., Inc. | (7,832) | (18,014) | 23.00 | 10/20/23 | (157) |
Capri Holdings Ltd. | (3,672) | (18,360) | 50.00 | 10/20/23 | (1,157) |
Capri Holdings Ltd. | (1,495) | (7,849) | 52.50 | 10/20/23 | (149) |
Capri Holdings Ltd. | (867) | (4,552) | 52.50 | 11/17/23 | (145) |
Capri Holdings Ltd. | (1,829) | (10,517) | 57.50 | 01/19/24 | (37) |
Horizon Therapeutics plc | (1,691) | (18,601) | 110.00 | 10/20/23 | (1,082) |
Intercontinental Exchange, Inc. | (138) | (1,518) | 110.00 | 10/20/23 | (30) |
Radius Global Infrastructure, Inc. | (363) | (544) | 15.00 | 01/19/24 | — |
Reata Pharmaceuticals, Inc. | (68) | (1,190) | 175.00 | 11/17/23 | — |
Seagen, Inc. | (1,571) | (31,420) | 200.00 | 10/20/23 | (2,239) |
Silicon Motion Technology Corp. | (156) | (858) | 55.00 | 10/20/23 | (16) |
Sovos Brands, Inc. | (15,630) | (39,075) | 25.00 | 02/16/24 | (313) |
SPDR S&P 500® ETF Trust | (2,050) | (89,175) | 435.00 | 10/20/23 | (697) |
Splunk, Inc. | (1,072) | (15,544) | 145.00 | 10/20/23 | (214) |
Splunk, Inc. | (1,498) | (21,721) | 145.00 | 11/17/23 | (479) |
Splunk, Inc. | (481) | (7,215) | 150.00 | 11/17/23 | (33) |
Teck Resources Ltd. | (1,898) | (7,972) | 42.00 | 10/20/23 | (395) |
Teck Resources Ltd. | (2,015) | (7,455) | 37.00 | 11/17/23 | (1,390) |
Teck Resources Ltd. | (711) | (2,773) | 39.00 | 11/17/23 | (375) |
Teck Resources Ltd. | (1,021) | (4,492) | 44.00 | 11/17/23 | (219) |
Tower Semiconductor Ltd. | (610) | (1,708) | 28.00 | 10/20/23 | (5) |
See Notes to Schedule of Investments
6
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
Open written options contracts as of September 30, 2023 were as follows (continued): | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) (continued) | |||||
United States Steel Corp. | (2,553) | $(7,148) | $28.00 | 10/20/23 | $(1,215) |
United States Steel Corp. | (4,895) | (14,195) | 29.00 | 10/20/23 | (1,791) |
United States Steel Corp. | (7,475) | (22,425) | 30.00 | 10/20/23 | (2,183) |
(14,321) | |||||
Put Options(2) | |||||
Activision Blizzard, Inc. | (114) | (912) | 80.00 | 10/20/23 | (3) |
Activision Blizzard, Inc. | (121) | (1,119) | 92.50 | 10/20/23 | (11) |
Horizon Therapeutics plc | (873) | (4,802) | 55.00 | 01/19/24 | (4) |
Horizon Therapeutics plc | (1,261) | (7,566) | 60.00 | 01/19/24 | (10) |
Seagen, Inc. | (3,388) | (49,126) | 145.00 | 06/21/24 | (881) |
SPDR S&P 500® ETF Trust | (2,050) | (82,000) | 400.00 | 10/20/23 | (168) |
(1,077) | |||||
Total Written Options | $(15,398) |
Footnote Legend: | |
(1) Strike price not reported in thousands. | |
(2) Exchange-traded options. |
Forward foreign currency exchange contracts as of September 30, 2023 were as follows: | ||||||||
Currency Purchased | Currency Amount Purchased | Currency Sold | Currency Amount Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
AUD | 577 | USD | 373 | GS | 12/05/23 | $— | $(1) | |
DKK | 21,022 | USD | 2,986 | GS | 10/04/23 | — | (5) | |
DKK | 66,455 | USD | 9,372 | JPM | 10/04/23 | 51 | — | |
EUR | 7,256 | USD | 8,066 | GS | 10/04/23 | — | (392) | |
JPY | 5,483,534 | USD | 36,747 | GS | 10/06/23 | — | (6) | |
JPY | 530,393 | USD | 3,571 | JPM | 10/06/23 | — | (18) | |
USD | 3,098 | DKK | 21,022 | GS | 10/04/23 | 117 | — | |
USD | 9,778 | DKK | 66,455 | JPM | 10/04/23 | 356 | — | |
USD | 7,884 | EUR | 7,256 | GS | 10/04/23 | 210 | — | |
USD | 37,187 | JPY | 5,483,534 | GS | 10/06/23 | 446 | — | |
USD | 3,597 | JPY | 530,393 | JPM | 10/06/23 | 44 | — | |
USD | 24,172 | CAD | 32,600 | JPM | 10/13/23 | 165 | — | |
USD | 1,540 | EUR | 1,404 | GS | 10/19/23 | 55 | — | |
USD | 3,048 | EUR | 2,780 | JPM | 10/19/23 | 106 | — | |
USD | 27,104 | AUD | 40,247 | GS | 12/05/23 | 1,168 | — | |
USD | 18,284 | GBP | 14,665 | JPM | 12/06/23 | 383 | — | |
USD | 40,810 | EUR | 38,000 | JPM | 12/21/23 | 472 | — | |
USD | 3,406 | EUR | 3,126 | JPM | 12/22/23 | 87 | — | |
USD | 65,461 | JPY | 9,099,169 | GS | 12/26/23 | 3,653 | — | |
USD | 46,919 | GBP | 37,371 | GS | 12/27/23 | 1,290 | — | |
Total | $8,603 | $(422) |
Over-the-counter total return swaps outstanding as of September 30, 2023 were as follows: | ||||||||||
Referenced Entity | Pay/Receive | Financing Rate(1) | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value(2) | Unrealized Appreciation | Unrealized Depreciation | |
Long Total Return Swap Contracts | ||||||||||
Bristol-Myers Squibb Co.(3),(4) | Pay | 6.070% (0.750% + OBFR) | 1 Month | BAML | 03/04/24 | $—(5) | $452 | $452 | $— | |
Brookfield Property Preferred LP | Pay | 6.070% (0.750% + OBFR) | 1 Month | BAML | 01/08/24 | 846 | (136) | — | (136) | |
Chr. Hansen Holding A/S | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 02/19/24 | 14,633 | (2,381) | — | (2,381) |
See Notes to Schedule of Investments
7
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
Over-the-counter total return swaps outstanding as of September 30, 2023 were as follows (continued): | ||||||||||||
Referenced Entity | Pay/Receive | Financing Rate(1) | Payment Frequency | Counterparty | Expiration Date | Notional Amount | Value(2) | Unrealized Appreciation | Unrealized Depreciation | |||
Chr. Hansen Holding A/S | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 08/05/24 | $211 | $(26) | $— | $(26) | |||
Chr. Hansen Holding A/S | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 08/12/24 | 4,782 | (626) | — | (626) | |||
Chr. Hansen Holding A/S | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 08/13/24 | 2,072 | (290) | — | (290) | |||
Chr. Hansen Holding A/S | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 08/14/24 | 2,546 | (400) | — | (400) | |||
Chr. Hansen Holding A/S | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 08/19/24 | 563 | (98) | — | (98) | |||
Dechra Pharmaceuticals plc | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 05/27/24 | 43,135 | (26) | — | (26) | |||
Emis Group plc | Pay | 5.770% (0.450% + OBFR) | 3 Month | JPM | 10/05/23 | 8,345 | 713 | 713 | — | |||
Emis Group plc | Pay | 5.770% (0.450% + OBFR) | 3 Month | JPM | 10/18/24 | 921 | (12) | — | (12) | |||
Emis Group plc | Pay | 5.770% (0.450% + OBFR) | 3 Month | JPM | 10/21/24 | 2,680 | (25) | — | (25) | |||
Emis Group plc | Pay | 5.770% (0.450% + OBFR) | 3 Month | JPM | 10/22/24 | 354 | (3) | — | (3) | |||
Emis Group plc | Pay | 5.770% (0.450% + OBFR) | 3 Month | JPM | 10/25/24 | 499 | (1) | — | (1) | |||
Emis Group plc | Pay | 5.770% (0.450% + OBFR) | 3 Month | JPM | 10/28/24 | 60 | — (5) | — (5) | — | |||
Emis Group plc | Pay | 5.770% (0.450% + OBFR) | 3 Month | JPM | 11/04/24 | 599 | 3 | 3 | — | |||
JSR Corp. | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 07/30/24 | 60,189 | (4,080) | — | (4,080) | |||
Majorel Group Luxembourg S.A. | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 07/22/24 | 1,473 | (10) | — | (10) | |||
Majorel Group Luxembourg S.A. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 07/29/24 | 208 | (2) | — | (2) | |||
Majorel Group Luxembourg S.A. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 08/05/24 | 1,829 | 5 | 5 | — | |||
Majorel Group Luxembourg S.A. | Pay | 5.870% (0.550% + OBFR) | 3 Month | JPM | 08/07/24 | 883 | 4 | 4 | — | |||
Newcrest Mining Ltd. | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 05/27/24 | 16,796 | (3,008) | — | (3,008) | |||
Origin Energy Ltd. | Pay | 5.930% (0.610% + OBFR) | 1 Month | GS | 04/16/24 | 38,957 | 719 | 719 | — | |||
(9,228) | 1,896 | (11,124) | ||||||||||
Short Total Return Swap Contracts | ||||||||||||
Broadcom, Inc. | Receive | 4.920% ((0.400)% + OBFR) | 1 Month | BAML | 10/12/23 | (44,450) | (27,595) | — | (27,595) | |||
Broadcom, Inc. | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 10/18/24 | (22,159) | 543 | 543 | — | |||
Brookfield Asset Management Ltd. | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 09/30/24 | (1,246) | 10 | 10 | — | |||
Exxon Mobil Corp. | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 09/16/24 | (19,869) | (972) | — | (972) | |||
Kimco Realty Corp. | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 10/07/24 | (11,680) | 612 | 612 | — | |||
Newmont Corp. | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 06/24/24 | (14,773) | 1,742 | 1,742 | — | |||
Novozymes A/S | Receive | 4.970% ((0.350)% + OBFR) | 1 Month | GS | 02/19/24 | (15,699) | 3,333 | 3,333 | — | |||
Novozymes A/S | Receive | 4.820% ((0.500)% + OBFR) | 3 Month | JPM | 08/05/24 | (217) | 30 | 30 | — | |||
Novozymes A/S | Receive | 4.820% ((0.500)% + OBFR) | 3 Month | JPM | 08/12/24 | (4,890) | 700 | 700 | — | |||
Novozymes A/S | Receive | 4.820% ((0.500)% + OBFR) | 3 Month | JPM | 08/13/24 | (2,122) | 322 | 322 | — | |||
Novozymes A/S | Receive | 4.820% ((0.500)% + OBFR) | 3 Month | JPM | 08/14/24 | (2,609) | 440 | 440 | — | |||
Novozymes A/S | Receive | 4.820% ((0.500)% + OBFR) | 3 Month | JPM | 08/19/24 | (577) | 107 | 107 | — | |||
Smurfit Kappa Group plc | Receive | 5.050% ((0.270)% + OBFR) | 1 Month | GS | 10/14/24 | (19,695) | 942 | 942 | — | |||
(19,786) | 8,781 | (28,567) | ||||||||||
Total | $(29,014) | $10,677 | $(39,691) |
Footnote Legend: | |
(1) | The Fund pays the floating rate (+/- a spread) and receives the total return of the reference entity. |
(2) | There were no upfront premiums paid or received for the open swap contracts held. |
(3) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(4) | Security held is the direct result of a corporate action. There is no associated financing rate and the security is held with a zero cost basis. |
(5) | Amount is less than $500 (not in thousands). |
See Notes to Schedule of Investments
8
The Merger Fund®
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
The following table summarizes the value of the Fund’s investments as of September 30, 2023, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
Total Value at September 30, 2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Corporate Bonds and Notes | $134,562 | $— | $134,562 | $— | |||
Leveraged Loans | 18,624 | — | 18,624 | —(1) | |||
Convertible Bonds and Notes | 22,415 | — | 22,415 | — | |||
Equity Securities: | |||||||
Common Stocks | 1,402,469 | 1,402,331 | 9 | 129 | |||
Master Limited Partnerships and Related Companies | 6,477 | 6,477 | — | — | |||
Escrow Notes | 60,207 | — | 60,182 | 25 | |||
Warrants | 1,362 | 793 | — | 569(1) | |||
Special Purpose Acquisition Companies | 839,275 | 808,541 | 30,734 | —(1) | |||
Preferred Stock | 143 | 143 | — | — | |||
Rights | 945 | — | 379 | 566 | |||
Affiliated Mutual Fund | 78,933 | 78,933 | — | — | |||
Money Market Mutual Funds | 418,370 | 418,370 | — | — | |||
Securities Lending Collateral | 2,617 | 2,617 | — | — | |||
Other Financial Instruments: | |||||||
Purchased Options | 3,468 | 3,270 | 198 | — | |||
Forward Foreign Currency Exchange Contracts* | 8,603 | — | 8,603 | — | |||
Over-the-Counter Total Return Swaps* | 10,677 | — | 10,225 | 452 | |||
Total Assets | 3,009,147 | 2,721,475 | 285,931 | 1,741 | |||
Liabilities: | |||||||
Securities Sold Short: | |||||||
Common Stocks | (45,711) | (45,711) | — | — | |||
Other Financial Instruments: | |||||||
Written Options | (15,398) | (11,436) | (3,962) | — | |||
Forward Foreign Currency Exchange Contracts* | (422) | — | (422) | — | |||
Over-the-Counter Total Return Swaps* | (39,691) | — | (39,691) | — | |||
Total Liabilities | (101,222) | (57,147) | (44,075) | — | |||
Total Investments, Net of Securities Sold Short and Written Options | $2,907,925 | $2,664,328 | $241,856 | $1,741 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
* | Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument by level and counterparty. |
Securities held by the Fund with an end of period value of $110 were transferred from Level 3 to Level 2 due to an increase in trading activities at period end.
Some of the Fund’s investments that were categorized as Level 3 may have been valued utilizing third party pricing information without adjustment. If applicable, such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the roll-forward of Level 3 securities and assumptions are not shown for the period ended September 30, 2023.
See Notes to Schedule of Investments
9
THE MERGER FUND NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2023
Note 1. Security Valuation
The Fund’s Board of Trustees have designated the Investment Adviser as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940.The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period.
• | Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
• | Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 – prices determined using significant unobservable inputs (including the Investment Adviser’s Valuation Committee’s own assumptions in determining the fair value of investments). |
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Illiquid, restricted equity securities and illiquid private placements are internally fair valued by the Investment Adviser’s Valuation Committee, and are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, Exchange-Traded Funds (“ETFs”), and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt instruments, including convertible bonds, and restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, activity of the underlying equities, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt instruments that are internally fair valued by the Investment Adviser’s Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options and futures, that are actively traded are valued at the last posted settlement price from the exchange where they are principally traded and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts, swaps, swaptions, options and equity-linked instruments, are valued based on model prices provided by independent pricing services or from dealer quotes. Depending on the derivative type and the specific terms of the transaction, these models vary and include observable inputs in actively quoted markets including but not limited to: underlying reference entity details, indices, spreads, interest rates, yield curves, dividend and exchange rates. These instruments are generally categorized as Level 2 in the hierarchy. Centrally cleared swaps listed or traded on a bilateral or trade facility platform, such as a registered exchange, are valued at the last posted settlement price determined by the respective exchange. These securities are generally categorized as Level 2 within the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
For additional information about significant accounting policies, refer to the Fund’s most recent semi or annual report.
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