Driehaus Active Income Fund
Schedule of Investments
September 30, 2019 (unaudited)
| Shares, Principal Amount, or Number of Contracts | Value | |||||||
| BANK LOANS — 23.12% | ||||||||
| Apparel — 1.01% | ||||||||
| Boardriders, Inc. | ||||||||
| 8.61% (US LIBOR+650 basis points), 4/6/241,2 | $ | 3,921,916 | $ | 3,774,844 | ||||
| Computers — 1.97% | ||||||||
| McAfee LLC | ||||||||
| 5.87% (US LIBOR+375 basis points), 9/29/241,2 | 2,312,661 | 2,320,675 | ||||||
| McAfee LLC | ||||||||
| 10.61% (US LIBOR+850 basis points), 9/28/251,2 | 4,963,636 | 5,029,826 | ||||||
| 7,350,501 | ||||||||
| Distribution/Wholesale — 1.58% | ||||||||
| Fossil Group, Inc. | ||||||||
| 8.55% (US LIBOR+650 basis points), 9/26/241,2 | 6,000,000 | 5,880,000 | ||||||
| Healthcare - Services — 1.60% | ||||||||
| Heartland Dental LLC | ||||||||
| 5.80% (US LIBOR+375 basis points), 4/30/251,2 | 298,825 | 293,081 | ||||||
| Heartland Dental LLC | ||||||||
| 6.27% (US LIBOR+375 basis points), 4/30/251,2 | 6,721 | 6,592 | ||||||
| Tivity Health, Inc. | ||||||||
| 7.36% (US LIBOR+525 basis points), 3/8/261,2 | 5,683,735 | 5,656,482 | ||||||
| 5,956,155 | ||||||||
| Insurance — 4.32% | ||||||||
| Acrisure LLC | ||||||||
| 6.36% (US LIBOR+425 basis points), 11/22/231,2 | 3,252,444 | 3,243,304 | ||||||
| Asurion LLC | ||||||||
| 8.54% (US LIBOR+650 basis points), 8/4/251,2 | 12,628,049 | 12,847,462 | ||||||
| 16,090,766 | ||||||||
| Internet — 1.15% | ||||||||
| Hoya Midco LLC | ||||||||
| 5.61% (US LIBOR+350 basis points), 6/30/241,2 | 4,345,674 | 4,296,785 | ||||||
| Investment Companies — 2.53% | ||||||||
| Abe Investment Holdings, Inc. | ||||||||
| 6.56% (US LIBOR+450 basis points), 2/19/261,2 | 3,950,075 | 3,943,498 | ||||||
| Larchmont Resources LLC | ||||||||
| 9.14% (US LIBOR+900 basis points), 8/7/201,2 | 5,884,140 | 5,472,251 | ||||||
| 9,415,749 | ||||||||
| Shares, Principal Amount, or Number of Contracts | Value | |||||||
| Media — 3.31% | ||||||||
| iHeartCommunications, Inc. | ||||||||
| 6.23% (US LIBOR+400 basis points), 5/1/261,2 | $ | 5,913,364 | $ | 5,958,719 | ||||
| NEP Group, Inc. | ||||||||
| 9.04% (US LIBOR+700 basis points), 10/19/261,2 | 6,500,000 | 6,380,855 | ||||||
| 12,339,574 | ||||||||
| Real Estate Investment Trust — 1.43% | ||||||||
| Uniti Group LP | ||||||||
| 7.05% (US LIBOR+500 basis points), 10/24/221,2 | 5,471,867 | 5,347,902 | ||||||
| Shipbuilding — 0.27% | ||||||||
| MHI Holdings LLC | ||||||||
| 5.00% (US LIBOR+500 basis points), 9/20/261,2 | 1,000,000 | 1,001,250 | ||||||
| Software — 2.60% | ||||||||
| Blackboard, Inc. | ||||||||
| 6.00% (US LIBOR+500 basis points), 6/18/211,2 | 5,000,000 | 4,993,225 | ||||||
| Cerence, Inc. | ||||||||
| 7.00% (US LIBOR+600 basis points), 10/1/241,2 | 5,000,000 | 4,700,000 | ||||||
| 9,693,225 | ||||||||
| Telecommunications — 1.35% | ||||||||
| Intelsat Jackson Holdings S.A. (Luxembourg) | ||||||||
| 5.99% (US LIBOR+375 basis points), 11/27/231,2,3 | 5,000,000 | 5,021,100 | ||||||
| Total BANK LOANS | ||||||||
| (Cost $87,532,891) | 86,167,851 | |||||||
| CORPORATE BONDS — 64.46% | ||||||||
| Aerospace & Defense — 1.30% | ||||||||
| Bombardier, Inc. (Canada) | ||||||||
| 8.75%, 12/1/213,4 | 4,500,000 | 4,860,000 | ||||||
| Agriculture — 2.71% | ||||||||
| Vector Group Ltd. | ||||||||
| 6.13%, 2/1/254,5 | 10,560,000 | 10,111,200 | ||||||
| Airlines — 1.60% | ||||||||
| Virgin Australia Holdings Ltd. (Australia) | ||||||||
| 8.50%, 11/15/193,4,5 | 5,956,000 | 5,977,596 | ||||||
| Banks — 6.38% | ||||||||
| JPMorgan Chase & Co. | ||||||||
| 5.74% (3-Month USD Libor+347 basis points), 12/29/495,6,7 | 13,081,000 | 13,142,311 | ||||||
See accompanying Notes to Schedule of Investments.
Driehaus Active Income Fund
Schedule of Investments
September 30, 2019 (unaudited)
| Shares, Principal Amount, or Number of Contracts | Value | |||||||
| USB Realty Corp. | ||||||||
| 3.45% (LIBOR 3 Month+115 basis points), 1/15/624,5,6,7 | $ | 12,435,000 | $ | 10,631,925 | ||||
| 23,774,236 | ||||||||
| Beverages — 1.39% | ||||||||
| Cott Holdings, Inc. | ||||||||
| 5.50%, 4/1/254 | 5,000,000 | 5,187,650 | ||||||
| Chemicals — 0.05% | ||||||||
| CVR Partners LP / CVR Nitrogen Finance Corp. | ||||||||
| 9.25%, 6/15/234 | 160,000 | 166,800 | ||||||
| Commercial Services — 2.33% | ||||||||
| AMN Healthcare, Inc. | ||||||||
| 5.12%, 10/1/244 | 3,000,000 | 3,112,500 | ||||||
| Nielsen Finance LLC / Nielsen Finance Co. | ||||||||
| 5.00%, 4/15/224 | 5,559,000 | 5,574,565 | ||||||
| 8,687,065 | ||||||||
| Computers — 3.66% | ||||||||
| NCR Corp. | ||||||||
| 6.37%, 12/15/235 | 8,000,000 | 8,220,000 | ||||||
| Unisys Corp. | ||||||||
| 10.75%, 4/15/224 | 4,960,000 | 5,418,800 | ||||||
| 13,638,800 | ||||||||
| Cosmetics/Personal Care — 2.41% | ||||||||
| Avon International Capital PLC (United Kingdom) | ||||||||
| 6.50%, 8/15/223,4 | 2,500,000 | 2,590,625 | ||||||
| Avon International Operations, Inc. | ||||||||
| 7.87%, 8/15/224,5 | 6,136,000 | 6,387,392 | ||||||
| 8,978,017 | ||||||||
| Distribution/Wholesale — 1.77% | ||||||||
| Univar USA, Inc. | ||||||||
| 6.75%, 7/15/234,5 | 6,500,000 | 6,605,625 | ||||||
| Diversified Financial Services — 0.91% | ||||||||
| ILFC E-Capital Trust I | ||||||||
| 3.77%, 12/21/654,5,7,8 | 3,206,000 | 2,194,379 | ||||||
| ILFC E-Capital Trust I | ||||||||
| 3.77%, 12/21/657,9 | 1,750,000 | 1,197,805 | ||||||
| 3,392,184 | ||||||||
| Energy-Alternate Sources — 1.65% | ||||||||
| Enviva Partners LP / Enviva Partners Finance Corp. | ||||||||
| 8.50%, 11/1/215 | 6,000,000 | 6,135,000 | ||||||
| Shares, Principal Amount, or Number of Contracts | Value | |||||||
| Entertainment — 1.58% | ||||||||
| Lions Gate Capital Holdings LLC | ||||||||
| 6.38%, 2/1/244,5 | $ | 5,570,000 | $ | 5,889,607 | ||||
| Home Builders — 0.57% | ||||||||
| Taylor Morrison Communities, Inc. / Taylor Morrison Holdings II, Inc. | ||||||||
| 5.88%, 4/15/234 | 2,000,000 | 2,135,000 | ||||||
| Insurance — 3.94% | ||||||||
| Acrisure LLC / Acrisure Finance, Inc. | ||||||||
| 8.13%, 2/15/244,5 | 5,318,000 | 5,730,145 | ||||||
| Genworth Holdings, Inc. | ||||||||
| 7.70%, 6/15/205 | 8,764,000 | 8,961,190 | ||||||
| 14,691,335 | ||||||||
| Internet — 3.75% | ||||||||
| EIG Investors Corp. | ||||||||
| 10.88%, 2/1/245 | 9,560,000 | 9,942,400 | ||||||
| Uber Technologies, Inc. | ||||||||
| 7.50%, 11/1/234 | 4,000,000 | 4,030,000 | ||||||
| 13,972,400 | ||||||||
| Investment Companies — 2.25% | ||||||||
| Compass Group Diversified Holdings LLC | ||||||||
| 8.00%, 5/1/264,5 | 7,943,000 | 8,399,722 | ||||||
| Iron/Steel — 1.59% | ||||||||
| AK Steel Corp. | ||||||||
| 7.63%, 10/1/215 | 6,000,000 | 5,910,000 | ||||||
| Media — 4.87% | ||||||||
| Altice Luxembourg S.A. (Luxembourg) | ||||||||
| 7.75%, 5/15/223,4 | 610,000 | 622,962 | ||||||
| Cumulus Media New Holdings, Inc. | ||||||||
| 6.75%, 7/1/264 | 2,400,000 | 2,514,000 | ||||||
| GCI LLC | ||||||||
| 6.63%, 6/15/244 | 500,000 | 539,375 | ||||||
| GCI LLC | ||||||||
| 6.87%, 4/15/255 | 6,000,000 | 6,315,000 | ||||||
| iHeartCommunications, Inc. | ||||||||
| 8.37%, 5/1/27 | 2,500,000 | 2,700,750 | ||||||
| Lee Enterprises, Inc. | ||||||||
| 9.50%, 3/15/224,5 | 5,475,000 | 5,475,000 | ||||||
| 18,167,087 | ||||||||
| Mining — 0.96% | ||||||||
| Mountain Province Diamonds, Inc. (Canada) | ||||||||
| 8.00%, 12/15/223,4,5 | 3,644,000 | 3,562,010 | ||||||
See accompanying Notes to Schedule of Investments.
Driehaus Active Income Fund
Schedule of Investments
September 30, 2019 (unaudited)
| Shares, Principal Amount, or Number of Contracts | Value | |||||||
| Miscellaneous Manufacturing — 0.57% | ||||||||
| LSB Industries, Inc. | ||||||||
| 9.63%, 5/1/234 | $ | 2,000,000 | $ | 2,110,000 | ||||
| Oil & Gas — 1.70% | ||||||||
| Transocean Pontus Ltd. (Cayman Islands) | ||||||||
| 6.13%, 8/1/253,4,5 | 6,230,000 | 6,323,450 | ||||||
| Packaging & Containers — 1.42% | ||||||||
| Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. (Ireland) | ||||||||
| 6.00%, 2/15/253,4,5 | 5,060,000 | 5,290,736 | ||||||
| Pharmaceuticals — 2.71% | ||||||||
| HLF Financing Sarl LLC / Herbalife International, Inc. | ||||||||
| 7.25%, 8/15/264,5 | 9,995,000 | 10,094,950 | ||||||
| Retail — 3.68% | ||||||||
| CEC Entertainment, Inc. | ||||||||
| 8.00%, 2/15/22 | 4,000,000 | 3,790,000 | ||||||
| GameStop Corp. | ||||||||
| 6.75%, 3/15/214,5 | 3,650,000 | 3,577,000 | ||||||
| Men’s Wearhouse, Inc. | ||||||||
| 7.00%, 7/1/22 | 2,167,000 | 2,123,660 | ||||||
| PetSmart, Inc. | ||||||||
| 5.87%, 6/1/254 | 4,250,000 | 4,239,375 | ||||||
| 13,730,035 | ||||||||
| Software — 2.51% | ||||||||
| Donnelley Financial Solutions, Inc. | ||||||||
| 8.25%, 10/15/24 | 5,215,000 | 5,410,562 | ||||||
| j2 Cloud Services LLC / j2 Global Co-Obligor, Inc. | ||||||||
| 6.00%, 7/15/254 | 3,750,000 | 3,959,438 | ||||||
| 9,370,000 | ||||||||
| Telecommunications — 3.96% | ||||||||
| Consolidated Communications, Inc. | ||||||||
| 6.50%, 10/1/225 | 12,451,000 | 11,517,175 | ||||||
| HC2 Holdings, Inc. | ||||||||
| 11.50%, 12/1/214,5 | 3,672,000 | 3,231,360 | ||||||
| 14,748,535 | ||||||||
| Trucking & Leasing — 2.24% | ||||||||
| Fortress Transportation & Infrastructure Investors LLC | ||||||||
| 6.75%, 3/15/224,5 | 8,000,000 | 8,360,000 | ||||||
| Total CORPORATE BONDS | ||||||||
| (Cost $240,669,152) | 240,269,040 | |||||||
| Shares, Principal Amount, or Number of Contracts | Value | |||||||
| CONVERTIBLE CORPORATE BONDS — 1.06% | ||||||||
| Software — 1.06% | ||||||||
| Avaya Holdings Corp. | ||||||||
| 2.25%, 6/15/23 | $ | 4,625,000 | $ | 3,939,186 | ||||
| Total CONVERTIBLE CORPORATE BONDS | ||||||||
| (Cost $4,525,306) | 3,939,186 | |||||||
| COMMON STOCKS — 0.57% | ||||||||
| Banks — 0.29% | ||||||||
| Kearny Financial Corp | 81,506 | 1,062,838 | ||||||
| Telecommunications — 0.28% | ||||||||
| Consolidated Communications Holdings, Inc. | 221,265 | 1,053,222 | ||||||
| Total COMMON STOCKS | ||||||||
| (Cost $2,334,750) | 2,116,060 | |||||||
| CONVERTIBLE PREFERRED STOCKS — 0.00% | ||||||||
| Auto Manufacturers — 0.00% | ||||||||
| General Motors Corp. Senior Convertible Preferred Escrow - C | ||||||||
| 6.25%, 12/15/12*,10,11,12 | 11,790,650 | — | ||||||
| General Motors Corp. Senior Convertible Preferred Escrow - B | ||||||||
| 5.25%, 3/6/34*,10,11,12 | 475,000 | — | ||||||
| — | ||||||||
| Total CONVERTIBLE PREFERRED STOCKS | ||||||||
| (Cost $—) | — | |||||||
| PREFERRED STOCKS — 3.76% | ||||||||
| Banks — 3.76% | ||||||||
| GMAC Capital Trust I | ||||||||
| 7.94% (3-Month USD Libor+579 basis points), 2/15/405,7 | 534,658 | 14,013,386 | ||||||
| Total PREFERRED STOCKS | ||||||||
| (Cost $14,218,902) | 14,013,386 | |||||||
| PRIVATE STOCK — 0.52% | ||||||||
| Investment Companies — 0.52% | ||||||||
| Larchmont Resources LLC10 | 7,824 | 1,956,000 | ||||||
| Total PRIVATE STOCK | ||||||||
| (Cost $977,968) | 1,956,000 | |||||||
See accompanying Notes to Schedule of Investments.
Driehaus Active Income Fund
Schedule of Investments
September 30, 2019 (unaudited)
| Shares, Principal Amount, or Number of Contracts | Value | |||||||
| PURCHASED PUT OPTIONS — 0.16% | ||||||||
| S&P 500 Index Exercise Price: $2,864.73, Notional Amount: $29,220,246, Expiration Date: December 31, 2019* | 10,200 | $ | 598,281 | |||||
| Total PURCHASED PUT OPTIONS | ||||||||
| (Premiums paid $551,820) | 598,281 | |||||||
| TOTAL INVESTMENTS | ||||||||
| (Cost $350,810,789) | 93.65 | % | $ | 349,059,804 | ||||
| Other Assets less Liabilities | 6.35 | % | 23,687,617 | |||||
| Net Assets | 100.00 | % | $ | 372,747,421 | ||||
| INVESTMENT SECURITIES SOLD SHORT — (2.92)% | ||||||||
| CORPORATE BONDS — (2.59)% | ||||||||
| Commercial Services — (0.28)% | ||||||||
| Avis Budget Car Rental LLC / Avis Budget Finance, Inc. | ||||||||
| 5.25%, 3/15/254 | $ | (1,000,000 | ) | (1,035,000 | ) | |||
| Food — (0.60)% | ||||||||
| General Mills, Inc. | ||||||||
| 4.20%, 4/17/28 | (2,000,000 | ) | (2,230,482 | ) | ||||
| Healthcare - Services — (1.58)% | ||||||||
| DaVita, Inc. | ||||||||
| 5.13%, 7/15/24 | (2,000,000 | ) | (2,042,500 | ) | ||||
| Hadrian Merger Sub, Inc. | ||||||||
| 8.50%, 5/1/264 | (3,940,000 | ) | (3,846,425 | ) | ||||
| (5,888,925 | ) | |||||||
| Software — (0.13)% | ||||||||
| Blackboard, Inc. | ||||||||
| 9.75%, 10/15/214 | (500,000 | ) | (500,000 | ) | ||||
| Total CORPORATE BONDS | ||||||||
| (Proceeds $9,019,297) | (9,654,407 | ) | ||||||
| COMMON STOCKS — (0.33)% | ||||||||
| Investment Companies — (0.21)% | ||||||||
| Compass Diversified Holdings | (40,000 | ) | (788,400 | ) | ||||
| Pharmaceuticals — (0.12)% | ||||||||
| Herbalife Nutrition Ltd.* | (12,000 | ) | (454,320 | ) | ||||
| Total COMMON STOCKS | ||||||||
| (Proceeds $1,388,203) | (1,242,720 | ) | ||||||
| TOTAL TOTAL INVESTMENT SECURITIES SOLD SHORT | ||||||||
| (Proceeds $10,407,500) | (2.92 | )% | $ | (10,897,127 | ) | |||
| Shares, Principal Amount, or Number of Contracts | Value | |||||||
| WRITTEN PUT OPTIONS — (0.04)% | ||||||||
| S&P 500 Index Knock-in Rate: $2,563.18, Notional Amount: $(26,144,436), Expiration Date: December 31, 2019* | (10,200 | ) | $ | (166,404 | ) | |||
| Total WRITTEN PUT OPTIONS | ||||||||
| (Premiums received $154,020) | (0.04 | )% | $ | (166,404 | ) | |||
LIBOR 3 Month – 3 Month U.S. Dollar London Interbank Offered Rate.
US LIBOR – U.S. Dollar London Interbank Offered Rate.
| * | Non-income producing security. |
| 1 | Bank loans in which the Fund invests pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate (“LIBOR”), (ii) the prime rate offered by one or more United States banks or (iii) the certificate of deposit rate. Certain bank loans are subject to a LIBOR floor that establishes a minimum LIBOR rate. The interest rate shown reflects the rate in effect at September 30, 2019. Bank loans generally are subject to mandatory and/or optional repayment. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. |
| 2 | Floating rate security. Rates disclosed as of September 30, 2019. |
| 3 | Foreign security denominated in U.S. dollars and traded in the U.S. |
| 4 | Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by Driehaus Mutual Funds’ (the “Trust”) Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 5 | All or a portion of this security is pledged as collateral for short sales or derivatives transactions. |
| 6 | Perpetual security. Maturity date is not applicable. |
| 7 | Variable rate security. Rates disclosed as of September 30, 2019. |
| 8 | The coupon rate equals 155 basis points plus the highest of the LIBOR 3 Month, the Constant Maturity Treasury 10 year rate, and the Constant Maturity Treasury 30 year rate, with a maximum of 12.95%. |
See accompanying Notes to Schedule of Investments.
Driehaus Active Income Fund
Schedule of Investments
September 30, 2019 (unaudited)
| 9 | The coupon rate equals 155 basis points plus the highest of the LIBOR 3 Month, the Constant Maturity Treasury 10 year rate, and the Constant Maturity Treasury 30 year rate, with a maximum of 14.5%. |
| 10 | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by Driehaus Capital Management LLC (the “Adviser”), investment adviser to the Fund. |
| 11 | Security is in default. |
| 12 | Security valued at fair value as determined in good faith by the Adviser, in accordance with procedures established by, and under the general supervision of, the Trust’s Board of Trustees. |
Percentages are stated as a percent of net assets.
See accompanying Notes to Schedule of Investments.
Driehaus Active Income Fund
Schedule of Investments
September 30, 2019 (unaudited)
FUTURES CONTRACTS
| Counterparty | Futures Contracts | Number of Contracts (Short) | Expiration Date | Notional Amount | Value at September 30, 2019 | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
| Goldman Sachs | U.S. 5 Year Treasury Note | (34 | ) | December 31, 2019 | $ | (4,078,325 | ) | $ | (4,051,046 | ) | $ | 27,279 | ||||||||
| Goldman Sachs | U.S. 10 Year Treasury Note | (20 | ) | December 19, 2019 | (2,635,734 | ) | (2,606,250 | ) | 29,484 | |||||||||||
| Goldman Sachs | U.S. Treasury Long Bond | (4 | ) | December 19, 2019 | (662,866 | ) | (649,250 | ) | 13,616 | |||||||||||
| TOTAL FUTURES CONTRACTS | $ | (7,376,925 | ) | $ | (7,306,546 | ) | $ | 70,379 | ||||||||||||
See accompanying Notes to Schedule of Investments.
Driehaus Event Driven Fund
Schedule of Investments
September 30, 2019 (unaudited)
| Shares, Principal Amount, or Number of Contracts | Value | |||||||
| BANK LOANS — 9.35% | ||||||||
| Distribution/Wholesale — 2.97% | ||||||||
| Fossil Group, Inc. | ||||||||
| 8.54% (US LIBOR+650 basis points), 9/26/241,2 | $ | 2,000,000 | $ | 1,960,000 | ||||
| Insurance — 3.54% | ||||||||
| Asurion LLC | ||||||||
| 8.54% (US LIBOR+650 basis points), 8/4/251,2 | 2,300,000 | 2,339,963 | ||||||
| Software — 2.84% | ||||||||
| Cerence, Inc. | ||||||||
| 7.00% (US LIBOR+600 basis points), 10/1/241,2 | 2,000,000 | 1,880,000 | ||||||
| Total BANK LOANS | ||||||||
| (Cost $6,091,523) | 6,179,963 | |||||||
| CORPORATE BONDS — 30.55% | ||||||||
| Agriculture — 3.02% | ||||||||
| Vector Group Ltd. | ||||||||
| 6.13%, 2/1/253,4 | 2,081,000 | 1,992,557 | ||||||
| Banks — 3.49% | ||||||||
| USB Realty Corp. | ||||||||
| 3.45% (LIBOR 3 Month+115 basis points), 1/15/623,4,5,6 | 2,698,000 | 2,306,790 | ||||||
| Diversified Financial Services — 3.01% | ||||||||
| ILFC E-Capital Trust I | ||||||||
| 3.77%, 12/21/653,4,6,7 | 2,900,000 | 1,984,934 | ||||||
| Holding Companies-Diversified — 2.70% | ||||||||
| Arrow Bidco LLC | ||||||||
| 9.50%, 3/15/243,4 | 1,785,000 | 1,785,000 | ||||||
| Insurance — 2.69% | ||||||||
| Genworth Holdings, Inc. | ||||||||
| 7.70%, 6/15/204 | 1,739,000 | 1,778,128 | ||||||
| Internet — 2.91% | ||||||||
| EIG Investors Corp. | ||||||||
| 10.87%, 2/1/24 | 1,850,000 | 1,924,000 | ||||||
| Pharmaceuticals — 3.16% | ||||||||
| HLF Financing Sarl LLC / Herbalife International, Inc. | ||||||||
| 7.25%, 8/15/263 | 2,067,000 | 2,087,670 | ||||||
| Retail — 1.43% | ||||||||
| CEC Entertainment, Inc. | ||||||||
| 8.00%, 2/15/22 | 1,000,000 | 947,500 | ||||||
| Telecommunications — 8.14% | ||||||||
| Consolidated Communications, Inc. | ||||||||
| 6.50%, 10/1/224 | 3,377,000 | 3,123,725 | ||||||
| Shares, Principal Amount, or Number of Contracts | Value | |||||||
| HC2 Holdings, Inc. | ||||||||
| 11.50%, 12/1/213,4 | $ | 2,561,500 | $ | 2,254,120 | ||||
| 5,377,845 | ||||||||
| Total CORPORATE BONDS | ||||||||
| (Cost $20,836,898) | 20,184,424 | |||||||
| CONVERTIBLE CORPORATE BONDS — 1.93% | ||||||||
| Software — 1.93% | ||||||||
| Avaya Holdings Corp. | ||||||||
| 2.25%, 6/15/234,8 | 1,500,000 | 1,277,574 | ||||||
| Total CONVERTIBLE CORPORATE BONDS | ||||||||
| (Cost $1,401,071) | 1,277,574 | |||||||
| COMMON STOCKS — 46.74% | ||||||||
| Advertising — 0.89% | ||||||||
| Clear Channel Outdoor Holdings, Inc.* | 232,972 | 587,089 | ||||||
| Banks — 3.06% | ||||||||
| HarborOne Bancorp, Inc.* | 69,184 | 696,337 | ||||||
| Kearny Financial Corp.4 | 101,547 | 1,324,173 | ||||||
| 2,020,510 | ||||||||
| Biotechnology — 10.71% | ||||||||
| Argenx SE ADR (Netherlands)*,4 | 19,901 | 2,267,918 | ||||||
| BELLUS Health, Inc. (Canada)* | 25,991 | 166,083 | ||||||
| Blueprint Medicines Corp.*,4 | 6,628 | 486,959 | ||||||
| Celgene Corp.*,4 | 12,614 | 1,252,570 | ||||||
| Deciphera Pharmaceuticals, Inc.* | 3,928 | 133,316 | ||||||
| Ideaya Biosciences, Inc.*,9 | 150,637 | 1,355,737 | ||||||
| Orchard Therapeutics plc ADR (United Kingdom)* | 119,163 | 1,415,657 | ||||||
| 7,078,240 | ||||||||
| Electronics — 0.79% | ||||||||
| Fluidigm Corp.*,4 | 113,113 | 523,713 | ||||||
| Entertainment — 0.19% | ||||||||
| Lions Gate Entertainment Corp., Class A | 13,083 | 121,018 | ||||||
| Healthcare - Products — 3.95% | ||||||||
| Alphatec Holdings, Inc.* | 123,239 | 618,660 | ||||||
| Inspire Medical Systems, Inc.* | 13,451 | 820,780 | ||||||
| SI-BONE, Inc.*,4 | 66,292 | 1,171,379 | ||||||
| 2,610,819 | ||||||||
| Healthcare - Services — 0.36% | ||||||||
| Vapotherm, Inc.* | 25,141 | 238,085 | ||||||
See accompanying Notes to Schedule of Investments.
Driehaus Event Driven Fund
Schedule of Investments
September 30, 2019 (unaudited)
| Shares, Principal Amount, or Number of Contracts | Value | |||||||
| Holding Companies-Diversified — 1.80% | ||||||||
| Diamond Eagle Acquisition Corp.*,4,9 | 117,000 | $ | 1,189,890 | |||||
| Insurance — 4.68% | ||||||||
| FGL Holdings (Bermuda)4 . | 387,100 | 3,089,058 | ||||||
| Pharmaceuticals — 13.12% | ||||||||
| Allergan PLC | 12,669 | 2,132,066 | ||||||
| Ascendis Pharma A/S ADR (Denmark)*,4 | 9,659 | 930,355 | ||||||
| Cytokinetics, Inc.*,4 . | 153,763 | 1,749,823 | ||||||
| Merus NV (Netherlands)* | 22,537 | 401,609 | ||||||
| Mirati Therapeutics, Inc.*,4 | 5,181 | 403,652 | ||||||
| MyoKardia, Inc.*,4 | 38,465 | 2,005,950 | ||||||
| Odonate Therapeutics, Inc.*,4 | 30,102 | 783,555 | ||||||
| Sutro Biopharma, Inc.* | 16,946 | 154,039 | ||||||
| Trevi Therapeutics, Inc.* | 23,962 | 107,829 | ||||||
| 8,668,878 | ||||||||
| Savings & Loans — 2.52% | ||||||||
| OceanFirst Financial Corp.4 | 68,463 | 1,615,727 | ||||||
| Waterstone Financial, Inc. | 2,917 | 50,114 | ||||||
| 1,665,841 | ||||||||
| Telecommunications — 4.67% | ||||||||
| Consolidated Communications Holdings, Inc. | 161,919 | 770,734 | ||||||
| HC2 Holdings, Inc.* | 60,025 | 141,059 | ||||||
| Zayo Group Holdings, Inc.*,4 | 64,150 | 2,174,685 | ||||||
| 3,086,478 | ||||||||
| Total COMMON STOCKS | ||||||||
| (Cost $31,931,116) | 30,879,619 | |||||||
| CONVERTIBLE PREFERRED STOCKS — 0.00% | ||||||||
| Auto Manufacturers — 0.00% | ||||||||
| General Motors Corp. Senior Convertible Preferred Escrow – B | ||||||||
| 5.25%, 3/6/34*,9,10,11 | 25,000 | — | ||||||
| General Motors Corp. Senior Convertible Preferred Escrow – C | ||||||||
| 7.25%, 4/15/41*,9,10,11 | 162,750 | — | ||||||
| — | ||||||||
| Total CONVERTIBLE PREFERRED STOCKS | ||||||||
| (Cost $1,877) | — | |||||||
| Shares, Principal Amount, or Number of Contracts | Value | |||||||
| PRIVATE PREFERRED STOCK — 0.62% | ||||||||
| Biotechnology — 0.62% | ||||||||
| 14ner Oncology, Inc. Private Equity9 | 550,000 | $ | 412,500 | |||||
| Total PRIVATE PREFERRED STOCK | ||||||||
| (Cost $550,000) | 412,500 | |||||||
| WARRANTS — 0.00% | ||||||||
| X4 Pharmaceuticals, Inc.*,9 | 5,547 | — | ||||||
| Total WARRANTS | ||||||||
| (Cost $0) | — | |||||||
| TOTAL INVESTMENTS | ||||||||
| (Cost $60,812,485) | 89.19 | % | $ | 58,934,080 | ||||
| Other Assets less Liabilities | 10.81 | % | 7,140,189 | |||||
| Net Assets | 100.00 | % | $ | 66,074,269 | ||||
| INVESTMENT SECURITIES SOLD SHORT — (24.06)% | ||||||||
| CORPORATE BONDS — (1.77)% | ||||||||
| Healthcare - Services — (1.77)% | ||||||||
| Hadrian Merger Sub, Inc. | ||||||||
| 8.50%, 5/1/263 | $ | (1,200,000 | ) | (1,171,500 | ) | |||
| Total CORPORATE BONDS | ||||||||
| (Proceeds $1,145,235) | (1,171,500 | ) | ||||||
| COMMON STOCKS — (2.44)% | ||||||||
| Pharmaceuticals — (2.44)% | ||||||||
| AbbVie, Inc | (10,971 | ) | (830,724 | ) | ||||
| Bristol-Myers Squibb Co | (12,614 | ) | (639,656 | ) | ||||
| Herbalife Nutrition Ltd.* | (3,730 | ) | (141,218 | ) | ||||
| (1,611,598 | ) | |||||||
| Total COMMON STOCKS | ||||||||
| (Proceeds $1,478,846) | (1,611,598 | ) | ||||||
| EXCHANGE-TRADED FUNDS — (19.85)% | ||||||||
| iShares Nasdaq Biotechnology ETF | (32,760 | ) | (3,259,620 | ) | ||||
| SPDR S&P Biotech ETF | (80,260 | ) | (6,119,825 | ) | ||||
| SPDR S&P Regional Banking ETF | (70,690 | ) | (3,731,725 | ) | ||||
| Total EXCHANGE-TRADED FUNDS | ||||||||
| (Proceeds $13,589,002) | (13,111,170 | ) | ||||||
| TOTAL INVESTMENT SECURITIES SOLD SHORT | ||||||||
| (Proceeds $16,213,083) | (24.06 | )% | $ | (15,894,268 | ) | |||
See accompanying Notes to Schedule of Investments.
Driehaus Event Driven Fund
Schedule of Investments
September 30, 2019 (unaudited)
ADR – American Depositary Receipt
LIBOR 3 Month – 3 Month U.S. Dollar London Interbank Offered Rate.
US – United States
US LIBOR – U.S. Dollar London Interbank Offered Rate.
| * | Non-income producing security. |
| 1 | Bank loans in which the Fund invests pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate (“LIBOR”), (ii) the prime rate offered by one or more United States banks or (iii) the certificate of deposit rate. Certain bank loans are subject to a LIBOR floor that establishes a minimum LIBOR rate. The interest rate shown reflects the rate in effect at September 30, 2019. Bank loans generally are subject to mandatory and/or optional repayment. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. |
| 2 | Floating rate security. Rates disclosed as of September 30, 2019. |
| 3 | Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by Driehaus Mutual Funds’ (the “Trust”) Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 4 | All or a portion of this security is pledged as collateral for short sales or derivatives transactions. |
| 5 | Perpetual security. |
| 6 | Variable rate security. Rates disclosed as of September 30, 2019. |
| 7 | The coupon rate equals 155 basis points plus the highest of the LIBOR 3 Month, the Constant Maturity Treasury 10 year rate, and the Constant Maturity Treasury 30 year rate, with a maximum of 12.95%. |
| 8 | Convertible security. |
| 9 | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by Driehaus Capital Management LLC (the “Adviser”), investment adviser to the Fund. |
| 10 | Security is in default. |
| 11 | Security valued at fair value as determined in good faith by the Adviser, in accordance with procedures established by, and under the general supervision of, the Trust’s Board of Trustees. |
Percentages are stated as a percent of net assets.
See accompanying Notes to Schedule of Investments.
Driehaus Multi-Asset Growth Economies Fund
Schedule of Investments
September 30, 2019 (unaudited)
| Shares, Principal Amount, or Number of Contracts | Value | |||||||
| SOVEREIGN BONDS — 30.71% | ||||||||
| Argentina — 0.47% | ||||||||
| Argentine Republic Government International Bond | ||||||||
| 6.88%, 4/22/21 | $ | 340,000 | $ | 166,603 | ||||
| Brazil — 3.40% | ||||||||
| Brazil Notas do Tesouro Nacional Series F | ||||||||
| 10.00%, 1/1/292 | 1,550,000 | 2 | 454,420 | |||||
| Brazilian Government International Bond | ||||||||
| 4.63%, 1/13/28 | 700,000 | 743,757 | ||||||
| 1,198,177 | ||||||||
| Egypt — 5.45% | ||||||||
| Egypt Government Bond | ||||||||
| 17.00%, 4/3/222 | 22,500,000 | 2 | 1,457,954 | |||||
| Egypt Government International Bond | ||||||||
| 8.70%, 3/1/49 | 430,000 | 462,250 | ||||||
| 1,920,204 | ||||||||
| Hungary — 1.47% | ||||||||
| Hungary Government Bond | ||||||||
| 3.00%, 10/27/382 | 150,000,000 | 2 | 519,235 | |||||
| Indonesia — 2.87% | ||||||||
| Indonesia Treasury Bond | ||||||||
| 8.38%, 9/15/262 | 13,400,000,000 | 2 | 1,011,320 | |||||
| Malaysia — 1.98% | ||||||||
| Malaysia Government Bond | ||||||||
| 3.89%, 8/15/292 | 2,800,000 | 2 | 698,582 | |||||
| Mexico — 3.61% | ||||||||
| Mexican Bonos | ||||||||
| 8.00%, 12/7/232 | 100,000 | 2 | 530,536 | |||||
| Mexican Bonos | ||||||||
| 8.50%, 11/18/382 | 130,000 | 2 | 741,917 | |||||
| 1,272,453 | ||||||||
| Nigeria — 1.08% | ||||||||
| Nigeria Treasury Bill | ||||||||
| 11.10%, 5/14/202 | 150,000,000 | 2 | 381,044 | |||||
| Panama — 1.07% | ||||||||
| Panama Government International Bond | ||||||||
| 7.13%, 1/29/26 | 300,000 | 375,390 | ||||||
| Peru — 2.05% | ||||||||
| Peruvian Government International Bond | ||||||||
| 6.95%, 8/12/312 | 2,000,000 | 2 | 723,423 | |||||
| Shares, Principal Amount, or Number of Contracts | Value | |||||||
| Saudi Arabia — 1.90% | ||||||||
| Saudi Government International Bond | ||||||||
| 4.50%, 10/26/46 | $ | 600,000 | $ | 669,072 | ||||
| South Africa — 1.24% | ||||||||
| Republic of South Africa Government Bond | ||||||||
| 8.50%, 1/31/372 | 7,400,000 | 2 | 438,175 | |||||
| Turkey — 3.12% | ||||||||
| Turkey Government Bond | ||||||||
| 10.60%, 2/11/262 | 2,500,000 | 2 | 396,228 | |||||
| Turkey Government International Bond | ||||||||
| 7.62%, 4/26/29 | 660,000 | 701,314 | ||||||
| 1,097,542 | ||||||||
| Ukraine — 1.00% | ||||||||
| Ukraine Government International Bond | ||||||||
| 7.37%, 9/25/32 | 350,000 | 351,494 | ||||||
| Total SOVEREIGN BONDS | ||||||||
| (Cost $10,595,701) | 10,822,714 | |||||||
| EQUITY SECURITIES — 61.78% | ||||||||
| Argentina — 0.67% | ||||||||
| Globant SA*,3,4 | 2,575 | 235,819 | ||||||
| Brazil — 3.56% | ||||||||
| Afya, Ltd.*,3,4 | 6,452 | 165,429 | ||||||
| Linx SA | 36,480 | 283,938 | ||||||
| LOG Commercial Properties e Participacoes SA | 71,475 | 417,153 | ||||||
| Pagseguro Digital, Ltd. - A*,3,4 | 3,925 | 181,767 | ||||||
| Petroleo Brasileiro SA - ADR3,4 | 14,217 | 205,720 | ||||||
| 1,254,007 | ||||||||
| China — 20.25% | ||||||||
| AIA Group, Ltd. | 51,019 | 482,024 | ||||||
| Aier Eye Hospital Group Co., Ltd. - A | 59,604 | 296,165 | ||||||
| Alibaba Group Holding, Ltd. - SP ADR*,3,4 | 5,503 | 920,267 | ||||||
| China Mobile, Ltd. | 16,500 | 136,523 | ||||||
| CNOOC, Ltd. - ADR3,4 | 1,381 | 210,257 | ||||||
| GDS Holdings Ltd. - ADR*,3,4 | 4,376 | 175,390 | ||||||
| HUYA, Inc. - ADR*,3,4 | 11,726 | 277,203 | ||||||
| JD.com, Inc. - ADR*,3,4 | 6,368 | 179,641 | ||||||
| Li Ning Co., Ltd. | 103,000 | 295,686 | ||||||
| Luxshare Precision Industry Co., Ltd. | 96,101 | 360,257 | ||||||
| Meituan Dianping- B* | 48,586 | 496,541 | ||||||
| MTR Corp., Ltd. | 44,895 | 252,036 | ||||||
| PetroChina Co., Ltd. | 336,000 | 172,765 | ||||||
See accompanying Notes to Schedule of Investments.
Driehaus Multi-Asset Growth Economies Fund
Schedule of Investments
September 30, 2019 (unaudited)
| Shares, Principal Amount, or Number of Contracts | Value | |||||||
| Ping An Healthcare and Technology Co., Ltd.*,1 | 35,300 | $ | 206,502 | |||||
| Ping An Insurance Group Co. of China, Ltd. - H | 58,961 | 677,423 | ||||||
| Shanghai International Airport Co., Ltd. - A | 24,776 | 276,901 | ||||||
| Shenzhen Mindray Bio-Medical Electronics Co., Ltd. | 8,800 | 227,397 | ||||||
| Shenzhou International Group Holdings, Ltd. | 20,068 | 262,189 | ||||||
| Tencent Holdings, Ltd. | 22,415 | 944,337 | ||||||
| ZTO Express Cayman, Inc. - ADR3,4 | 13,596 | 290,003 | ||||||
| 7,139,507 | ||||||||
| Colombia — 0.83% | ||||||||
| Bancolombia SA - ADR3,4 | 5,888 | 291,162 | ||||||
| Czech Republic — 1.16% | ||||||||
| Moneta Money Bank AS1 | 133,255 | 410,799 | ||||||
| India — 7.84% | ||||||||
| HDFC Bank, Ltd. - ADR3,4 | 9,528 | 543,573 | ||||||
| Hindustan Unilever, Ltd. | 18,548 | 518,722 | ||||||
| Housing Development Finance Corp., Ltd. | 9,115 | 254,284 | ||||||
| ICICI Bank, Ltd. - SP ADR3,4 | 31,146 | 379,358 | ||||||
| ICICI Lombard General Insurance Co., Ltd.1 | 15,288 | 260,992 | ||||||
| Kotak Mahindra Bank, Ltd | 13,342 | 309,590 | ||||||
| Reliance Industries, Ltd. | 14,906 | 280,215 | ||||||
| Tata Consultancy Services, Ltd. | 7,332 | 217,191 | ||||||
| 2,763,925 | ||||||||
| Indonesia — 1.97% | ||||||||
| PT Bank Central Asia Tbk | 234,497 | 501,373 | ||||||
| Telekomunikasi Indonesia Persero Tbk | 630,836 | 191,539 | ||||||
| 692,912 | ||||||||
| Mexico — 1.02% | ||||||||
| Wal-Mart de Mexico SAB de CV | 121,179 | 359,104 | ||||||
| Netherlands — 0.72% | ||||||||
| Heineken NV | 1,671 | 180,595 | ||||||
| Prosus NV* | 982 | 72,085 | ||||||
| 252,680 | ||||||||
| Philippines — 0.89% | ||||||||
| BDO Unibank, Inc. | 113,349 | 312,732 | ||||||
| Poland — 1.29% | ||||||||
| CD Projekt SA | 4,243 | 257,536 | ||||||
| Shares, Principal Amount, or Number of Contracts | Value | |||||||
| Powszechna Kasa Oszczednosci Bank Polski SA | 20,118 | $ | 197,262 | |||||
| 454,798 | ||||||||
| Russia — 4.18% | ||||||||
| Gazprom PJSC - SP ADR3 | 26,770 | 184,820 | ||||||
| LUKOIL PJSC - ADR3 | 2,456 | 203,209 | ||||||
| MMC Norilsk Nickel PJSC - ADR3 | 16,848 | 431,309 | ||||||
| Sberbank of Russia PJSC - SP ADR3 | 21,914 | 310,631 | ||||||
| Tatneft PJSC - ADR3 | 2,657 | 168,720 | ||||||
| Yandex NV - A*,3,4 | 5,042 | 176,520 | ||||||
| 1,475,209 | ||||||||
| Singapore — 0.29% | ||||||||
| Sea, Ltd. - ADR*,3,4 | 3,291 | 101,856 | ||||||
| Slovenia — 0.50% | ||||||||
| Nova Ljubljanska Banka dd GDR | 14,900 | 176,364 | ||||||
| South Africa — 2.65% | ||||||||
| Capitec Bank Holdings, Ltd | 2,358 | 200,448 | ||||||
| Clicks Group, Ltd. | 20,416 | 289,814 | ||||||
| MTN Group, Ltd. | 46,427 | 295,208 | ||||||
| Naspers, Ltd. - N | 982 | 148,811 | ||||||
| 934,281 | ||||||||
| South Korea — 4.42% | ||||||||
| Macquarie Korea Infrastructure Fund. | 28,231 | 277,318 | ||||||
| Samsung Electro-Mechanics Co., Ltd. | 2,536 | 218,374 | ||||||
| Samsung Electronics Co., Ltd. | 20,800 | 852,936 | ||||||
| SK Hynix, Inc. | 3,046 | 209,323 | ||||||
| 1,557,951 | ||||||||
| Taiwan — 5.05% | ||||||||
| Giant Manufacturing Co., Ltd. | 48,000 | 326,452 | ||||||
| Taiwan Semiconductor Manufacturing Co., Ltd. | 133,432 | 1,169,833 | ||||||
| Wiwynn Corp. | 20,000 | 284,614 | ||||||
| 1,780,899 | ||||||||
| Thailand — 3.19% | ||||||||
| Charoen Pokphand Foods PCL - NVDR | 341,900 | 293,440 | ||||||
| CP ALL PCL - NVDR | 100,996 | 268,299 | ||||||
| Thai Beverage PCL | 389,070 | 249,115 | ||||||
| Tisco Financial Group PCL - NVDR | 93,491 | 313,318 | ||||||
| 1,124,172 | ||||||||
See accompanying Notes to Schedule of Investments.
Driehaus Multi-Asset Growth Economies Fund
Schedule of Investments
September 30, 2019 (unaudited)
| Shares, Principal Amount, or Number of Contracts | Value | |||||||
| United Arab Emirates — 0.56% | ||||||||
| Network International Holdings PLC*,1 | 30,022 | $ | 197,489 | |||||
| United States — 0.74% | ||||||||
| Liberty Media Corp.-Liberty Formula One - C*,4 | 6,305 | 262,225 | ||||||
| Total EQUITY SECURITIES | ||||||||
| (Cost $18,149,944) | 21,777,891 | |||||||
| PURCHASED PUT OPTIONS — 0.05% | ||||||||
| OTC MXN vs USD Exercise Price: $19.81, Notional Amount: $277,340, Expiration Date: October 21, 2019 Counterparty: Goldman Sachs* | 1,400,000 | 17,919 | ||||||
| Total PURCHASED PUT OPTIONS | ||||||||
| (Premiums paid $27,715) | 17,919 | |||||||
| TOTAL INVESTMENTS | ||||||||
| (Cost $28,773,360) | 92.54 | % | 32,618,524 | |||||
| Other Assets less Liabilities | 7.46 | % | 2,630,980 | |||||
| Net Assets | 100.00 | % | $ | 35,249,504 | ||||
ADR – American Depositary Receipt
GDR – Global Depositary Receipt
NVDR – Non-Voting Depository Receipt
PCL – Public Company Limited
PJSC – Public Joint Stock Company
PLC – Public Limited Company
SP ADR – Sponsored American Depositary Receipt
| * | Non-income producing security. |
| 1 | Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by Driehaus Mutual Funds’ (the “Trust”) Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Foreign security, par value shown in local currency. |
| 3 | Foreign security denominated in U.S. dollars and traded in the U.S. |
| 4 | All or a portion of this security is pledged as collateral for short sales or derivatives transactions. |
Percentages are stated as a percent of net assets.
See accompanying Notes to Schedule of Investments.
Driehaus Multi-Asset Growth Economies Fund
Schedule of Investments
September 30, 2019 (Unaudited)
INTEREST RATE SWAPS
OTC SWAP CONTRACTS
| Counterparty | Notional Amount | Fixed Rate | Floating Rate Index | Payment Frequency | Expiration Date | Value/ Unrealized Appreciation/ (Depreciation) | ||||||||||
| Merrill Lynch | MYR 67,000,000 | 3.455 | %1 | 3-Months MYR KLIB3M1 | Quarterly | 4/5/2021 | 60,328 | |||||||||
| JP Morgan | RUB 725,000,000 | 7.53 | %1 | 3-Months RUB MOSKP31 | Quarterly | 8/22/2021 | 68,661 | |||||||||
| JP Morgan | RUB 420,000,000 | 7.48 | %1 | 3-Months RUB MOSKP31 | Quarterly | 8/28/2021 | 34,322 | |||||||||
| TOTAL INTEREST RATE SWAPS | $ | 163,311 | ||||||||||||||
| 1 | Fund Pays the floating rate and receives the fixed rate. |
MYR - Malaysian Ringgit
RUB - Russian Ruble
KLIB3M - Bank Negara Malaysia Klibor Interbank
MOSKP3 - NFEA MosPrime 3 Month Rate
See accompanying Notes to Schedule of Investments.
Driehaus Multi-Asset Growth Economies Fund
Schedule of Investments
September, 2019 (unaudited)
FORWARD FOREIGN CURRENCY CONTRACTS
| Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
| Goldman Sachs | CLP | 550,000,000 | USD | 808,110 | October 1, 2019 | $ | (53,792 | ) | ||||||||||
| Goldman Sachs | USD | 784,470 | CLP | 550,000,000 | October 1, 2019 | 30,151 | ||||||||||||
| Goldman Sachs | USD | 700,000 | CNH | 5,009,137 | November 8, 2019 | (839 | ) | |||||||||||
| Goldman Sachs | HUF | 281,768,430 | USD | 944,059 | October 7, 2019 | (26,463 | ) | |||||||||||
| Goldman Sachs | USD | 560,000 | HUF | 164,900,618 | October 7, 2019 | 22,991 | ||||||||||||
| Goldman Sachs | USD | 400,000 | HUF | 116,867,812 | October 7, 2019 | 19,413 | ||||||||||||
| Goldman Sachs | USD | 442,217 | ZAR | 6,534,315 | October 7, 2019 | 11,200 | ||||||||||||
| TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | $ | 2,661 | ||||||||||||||||
CLP - Chilean Peso
CNH - Chinese Yuan
HUF - Hungarian Forint
USD - United States Dollar
ZAR - South African Rand
See accompanying Notes to Schedule of Investments.
Driehaus Mutual Funds
Notes to Schedule of Investments (unaudited)
| A. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
Organization
The Driehaus Mutual Funds (the “Trust”) is an open-end registered management investment company under the Investment Company Act of 1940, as amended, organized as a Delaware statutory trust, with eight separate series currently in operation. The Trust was organized under an Agreement and Declaration of Trust dated May 31, 1996, as subsequently amended and restated as of June 6, 2013 and amended as of June 4, 2015, and may issue an unlimited number of full and fractional units of beneficial interest (shares) without par value. The three series (“Funds” or each a “Fund”) included in this report are as follows: the Driehaus Active Income Fund (the “Active Income Fund”) commenced operations on June 1, 2009 following the receipt of the assets and liabilities of the Lotsoff Capital Management Active Income Fund (the “Acquired Fund”) pursuant to a plan of reorganization approved by the shareholders of the Acquired Fund. The reorganization was accomplished by a tax-free exchange of Acquired Fund shares for an equal number of shares of the Active Income Fund as of June 1, 2009. The Active Income Fund seeks to provide current income and capital appreciation. The Driehaus Event Driven Fund (the “Event Driven Fund”) commenced operations on August 26, 2013, following a tax-free exchange with the Driehaus Credit Opportunities Fund, L.P. The Event Driven Fund seeks to provide positive returns over full market cycles. The Driehaus Multi-Asset Growth Economies Fund (the “Multi-Asset Growth Economies Fund”) commenced operations on April 10, 2017, after succeeding to the assets of the Driehaus Emerging Markets Dividend Growth Fund, L.P. The transaction was structured to be a tax-free exchange and the cost basis and holding period of the underlying securities were carried over to the Multi-Asset Growth Economies Fund. The Multi-Asset Growth Economies Fund seeks to maximize total return.
Significant Accounting Policies
The presentation of financial statements in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses. Actual results may differ from those estimates.
The Funds, which are investment companies within the scope of Financial Accounting Standards Board (“FASB”) Accounting Standards Update 2013-08, follow accounting and reporting guidance under FASB Accounting Standards Codification Topic 946, Financial Services-Investment Companies.
Cash is held at U.S. financial institutions, and at times, may exceed the amount insured by the U.S. Federal Deposit Insurance Corporation. The Funds consider highly liquid investments, with maturities of ninety days or less when purchased to be cash equivalents, and such investments may include money market mutual fund investments. All such investments are categorized in Level 1 of the fair value hierarchy.
Securities Valuation
Investments in securities traded on a national securities exchange, including exchange-traded futures and options, are valued at the last reported sales or settlement price on the day of valuation and are generally classified as level 1. Exchange-traded securities for which no sale was reported are valued at the mean of the closing bid and ask prices from the exchange the security is primarily traded on and are generally classified as level 1. Equity certificates are valued at the last sale price of the underlying security as of the close of the primary exchange. Long-term fixed income securities are valued at the representative quoted bid price when held long or the representative quoted ask price if sold short or, if such prices are not available, at prices for securities of comparable maturity, quality and type or as determined by an independent pricing service. The pricing service provider may employ methodologies that utilize actual market transactions, broker-dealer supplied valuations or other techniques. Such techniques generally consider factors such as composite security prices, yields, maturities, call features, credit ratings and developments relating to specific securities, in arriving at valuations. Fixed income securities are generally classified as level 2. Short-term investments with remaining maturities of 60 days or less at the time of purchase are stated at amortized cost, which approximates fair value. If amortized cost does not approximate fair value, short-term securities are reported at fair value. These securities are generally classified as level 2. Swaps, forward foreign currency contracts and other financial derivatives are valued daily, primarily by an independent pricing service using pricing models and are generally classified as level 2. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, yield curves, dividends and exchange rates. If valuations are not available from the independent pricing service or values received are deemed not representative of fair value, values will be obtained from a third party broker-dealer or counterparty. Investments initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from an independent pricing service. In addition, for Multi-Asset Growth Economies Fund, if quotations are not readily available, if the values have been materially affected by events occurring after the closing of a foreign market, or if there has been a movement in the U.S. market that exceeds a certain threshold, assets may be valued at fair value as determined in good faith by or under the direction of the Trust’s Board of Trustees. Events that may materially affect asset values that could cause a fair value determination include, but are not limited to: corporate announcements relating to a specific security; natural and other disasters which may impact an entire market or region; and political and other events which may be global or impact a particular country or region. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. To the extent utilized, securities would be considered level 2 in the hierarchy described below. Securities for which market quotations are not readily available are valued at fair value as determined in good faith in accordance with procedures established by or under the direction of the Trust’s Board of Trustees and are generally classified as level 3. Under these procedures, the Funds primarily employ a market-based approach, which may use related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment to determine the fair value of the investment. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market existed for the investments, and such differences could be material.
Each Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
Driehaus Mutual Funds
Notes to Schedule of Investments (unaudited) – (Continued)
Level 1 – quoted prices for active markets for identical securities
Level 2 – significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the inputs used to value the Active Income Fund’s investments as of September 30, 2019:
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Bank Loans | $ | - | $ | 86,167,851 | $ | - | $ | 86,167,851 | ||||||||
| Common Stocks | ||||||||||||||||
| Banks | 1,062,838 | - | - | 1,062,838 | ||||||||||||
| Telecommunications | 1,053,222 | - | - | 1,053,222 | ||||||||||||
| Convertible Corporate Bonds | - | 3,939,186 | - | 3,939,186 | ||||||||||||
| Convertible Preferred Stocks | ||||||||||||||||
| Auto Manufacturers | - | - | 0 | 0 | ||||||||||||
| Corporate Bonds | - | 240,269,040 | - | 240,269,040 | ||||||||||||
| Preferred Stock | ||||||||||||||||
| Banks | 14,013,386 | - | - | 14,013,386 | ||||||||||||
| Private Stock | ||||||||||||||||
| Investment Companies | - | - | 1,956,000 | 1,956,000 | ||||||||||||
| Purchased Put Options | - | 598,281 | - | 598,281 | ||||||||||||
| Total | $ | 16,129,446 | $ | 330,974,358 | $ | 1,956,000 | $ | 349,059,804 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Common Stocks Sold Short | ||||||||||||||||
| Investment Companies | $ | (788,400 | ) | $ | - | $ | - | $ | (788,400 | ) | ||||||
| Pharmaceuticals | (454,320 | ) | - | - | (454,320 | ) | ||||||||||
| Corporate Bonds Sold Short | - | (9,654,407 | ) | - | (9,654,407 | ) | ||||||||||
| Written Put Options | - | (166,404 | ) | - | (166,404 | ) | ||||||||||
| Total | $ | (1,242,720 | ) | $ | (9,820,811 | ) | $ | - | $ | (11,063,531 | ) | |||||
| Other Financial Instruments* | ||||||||||||||||
| Futures Contracts | $ | 70,379 | $ | - | $ | - | $ | 70,379 | ||||||||
| Total Other Financial Instruments | $ | 70,379 | $ | - | $ | - | $ | 70,379 | ||||||||
| * | Other financial instruments are futures contracts, which are detailed in the Schedule of Investments. |
Driehaus Mutual Funds
Notes to Schedule of Investments (unaudited) – (Continued)
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value in the Active Income Fund:
| Investments, at Value | ||||
| Balance as of December 31, 2018 | $ | 1,956,000 | ||
| Realized gain (loss) | - | |||
| Change in net unrealized appreciation (depreciation) | - | |||
| Purchases | - | |||
| Sales | - | |||
| Transfers in and/or out of Level 3 | - | |||
| Balance as of September 30, 2019 | $ | 1,956,000 | ||
As of September 30, 2019 and December 31, 2018, the Active Income Fund held Level 3 investments in General Motors Corp. senior convertible preferred stock and Larchmont Resources LLC private stock, valued at fair value as determined in good faith in accordance with procedures established by or under the direction of the Trust’s Board of Trustees. As a part of the ongoing restructuring of General Motors, any value previously ascribed to these holdings has been transferred to the General Motors Co. Motors Liquidation Co. GUC Trust common stock, which is freely and actively traded, and therefore the senior convertible preferred stock was fair valued at $0. The common stock investment in Larchmont Resources LLC has been valued using an unadjusted third-party pricing vendor quote. There were no transfers into or out of Level 3 during the period ended September 30, 2019. The following table summarizes the quantitative inputs and assumptions used for items categorized as Level 3 of the fair value hierarchy as of September 30, 2019:
| Financial Assets | Fair Value at September 30, 2019 | Valuation Technique(s) | Unobservable Inputs | Price/Range | ||||||||
| Convertible Preferred Stock | $ | - | Cash available in relation to claim | Estimated recovery | $ | - | ||||||
| Private Stock | $ | 1,956,000 | Broker quote | N/A | N/A | |||||||
The following is a summary of the inputs used to value the Event Driven Fund’s investments as of September 30, 2019:
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Bank Loans | $ | - | $ | 6,179,963 | $ | - | $ | 6,179,963 | ||||||||
| Common Stocks | ||||||||||||||||
| Advertising | 587,089 | - | - | 587,089 | ||||||||||||
| Banks | 2,020,510 | - | - | 2,020,510 | ||||||||||||
| Biotechnology | 7,078,240 | - | - | 7,078,240 | ||||||||||||
| Electronics | 523,713 | - | - | 523,713 | ||||||||||||
| Entertainment | 121,018 | - | - | 121,018 | ||||||||||||
| Healthcare - Products | 2,610,819 | - | - | 2,610,819 | ||||||||||||
| Healthcare - Services | 238,085 | - | - | 238,085 | ||||||||||||
| Holding Companies - Diversified | 1,189,890 | - | - | 1,189,890 | ||||||||||||
| Insurance | 3,089,058 | - | - | 3,089,058 | ||||||||||||
| Pharmaceuticals | 8,668,878 | - | - | 8,668,878 | ||||||||||||
| Savings & Loans | 1,665,841 | - | - | 1,665,841 | ||||||||||||
| Telecommunications | 3,086,478 | - | - | 3,086,478 | ||||||||||||
| Convertible Corporate Bonds | - | 1,277,574 | - | 1,277,574 | ||||||||||||
| Convertible Preferred Stocks | ||||||||||||||||
| Auto Manufacturers | - | - | 0 | 0 | ||||||||||||
| Corporate Bonds | - | 20,184,424 | - | 20,184,424 | ||||||||||||
Driehaus Mutual Funds
Notes to Schedule of Investments (unaudited) – (Continued)
| Assets (continued) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Private Preferred Stock | ||||||||||||||||
| Biotechnology | - | 412,500 | - | 412,500 | ||||||||||||
| Warrants | - | 0 | - | 0 | ||||||||||||
| Total | $ | 30,879,619 | $ | 28,054,461 | $ | - | $ | 58,934,080 | ||||||||
| Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Common Stocks Sold Short | ||||||||||||||||
| Pharmaceuticals | $ | (1,611,598 | ) | $ | - | $ | - | $ | (1,611,598 | ) | ||||||
| Corporate Bonds Sold Short | - | (1,171,500 | ) | - | (1,171,500 | ) | ||||||||||
| Exchange-Traded Funds Sold Short | (13,111,170 | ) | - | - | (13,111,170 | ) | ||||||||||
| Total | $ | ($14,722,768 | ) | $ | (1,171,500 | ) | $ | - | $ | (15,894,268 | ) | |||||
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value in the Event Driven Fund:
| Investments, at Value | ||||
| Balance as of December 31, 2018 | $ | 830,745 | ||
| Realized gain (loss) | - | |||
| Change in net unrealized appreciation (depreciation) | - | |||
| Purchases | - | |||
| Sales | - | |||
| Transfers in and/or out of Level 3 | (830,745 | ) | ||
| Balance as of September 30, 2019 | $ | - | ||
As of September 30, 2019, the Event Driven Fund held Level 3 investments in General Motors Corp. senior convertible preferred stock. The General Motors Corp. senior convertible preferred stock was valued in the same manner described for the Active Income Fund. As of September 30, 2019, the Event Driven Fund’s investment in Ideaya Biosciences, Inc. transferred from Level 3 to Level 1. The following table summarizes the quantitative inputs and assumptions used for items categorized as Level 3 of the fair value hierarchy as of September 30, 2019:
| Financial Assets | Fair Value at September 30, 2019 | Valuation Technique(s) | Unobservable Inputs | Price/Median | ||||||||
| Convertible Preferred Stock | $ | - | Cash available in relation to claim | Estimated recovery | $ | - |
The following is a summary of the inputs used to value the Multi-Asset Growth Economies Fund’s investments as of September 30, 2019:
| Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Sovereign Bonds | ||||||||||||||||
| Argentina | $ | - | $ | 166,603 | $ | - | $ | 166,603 | ||||||||
| Brazil | - | 1,198,177 | - | 1,198,177 | ||||||||||||
| Egypt | - | 1,920,204 | - | 1,920,204 | ||||||||||||
| Hungary | - | 519,235 | 519,235 | |||||||||||||
| Indonesia | - | 1,011,320 | - | 1,011,320 | ||||||||||||
| Malaysia | - | 698,582 | - | 698,582 | ||||||||||||
| Mexico | - | 1,272,453 | - | 1,272,453 | ||||||||||||
| Nigeria | - | 381,044 | - | 381,044 | ||||||||||||
| Panama | - | 375,390 | - | 375,390 | ||||||||||||
Driehaus Mutual Funds
Notes to Schedule of Investments (unaudited) – (Continued)
| Assets (continued) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Peru | - | 723,423 | - | 723,423 | ||||||||||||
| Saudi Arabia | - | 669,072 | - | 669,072 | ||||||||||||
| South Africa | - | 438,175 | - | 438,175 | ||||||||||||
| Turkey | - | 1,097,542 | - | 1,097,542 | ||||||||||||
| Ukraine | - | 351,494 | - | 351,494 | ||||||||||||
| Equity Securities | ||||||||||||||||
| Argentina | 235,819 | - | - | 235,819 | ||||||||||||
| Brazil | 1,254,007 | - | - | 1,254,007 | ||||||||||||
| China | 7,139,507 | - | - | 7,139,507 | ||||||||||||
| Colombia | 291,162 | - | - | 291,162 | ||||||||||||
| Czech Republic | 410,799 | - | - | 410,799 | ||||||||||||
| India | 2,763,925 | - | - | 2,763,925 | ||||||||||||
| Indonesia | 692,912 | - | - | 692,912 | ||||||||||||
| Mexico | 359,104 | - | - | 359,104 | ||||||||||||
| Netherlands | 252,680 | - | - | 252,680 | ||||||||||||
| Philippines | 312,732 | - | - | 312,732 | ||||||||||||
| Poland | 454,798 | - | - | 454,798 | ||||||||||||
| Russia | 1,475,209 | - | - | 1,475,209 | ||||||||||||
| Singapore | 101,856 | - | - | 101,856 | ||||||||||||
| Slovenia | 176,364 | - | - | 176,364 | ||||||||||||
| South Africa | 934,281 | - | - | 934,281 | ||||||||||||
| South Korea | 1,557,951 | - | - | 1,557,951 | ||||||||||||
| Taiwan | 1,780,899 | - | - | 1,780,899 | ||||||||||||
| Thailand | 1,124,172 | - | - | 1,124,172 | ||||||||||||
| United Arab Emirates | 197,489 | - | - | 197,489 | ||||||||||||
| United States | 262,225 | - | - | 262,225 | ||||||||||||
| Purchased Put Options | - | 17,919 | - | 17,919 | ||||||||||||
| Total | $ | 21,777,891 | $ | 10,840,633 | $ | - | $ | 32,618,524 | ||||||||
| Other Financial Instruments* | ||||||||||||||||
| OTC Interest Rate Swaps - Asset | $ | - | $ | 163,311 | $ | - | $ | 163,311 | ||||||||
| Forward Foreign Currency Contracts – Assets | - | 83,755 | - | 83,755 | ||||||||||||
| Forward Foreign Currency Contracts – Liabilities | - | (81,094 | ) | - | (81,094 | ) | ||||||||||
| Total Other Financial Instruments | $ | - | $ | 165,972 | $ | - | $ | 165,972 | ||||||||
| * | Other financial instruments are swap and forward foreign currency contracts, which are detailed in the Schedule of Investments. |
Securities Sold Short
The Funds are engaged in selling securities short, which obligates them to replace a borrowed security by purchasing it at market price at the time of replacement. Each Fund incurs a loss if the price of the security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. Each Fund realizes a gain if the price of the security declines between those dates. Gains are limited to the price at which the Fund sold the security short, while losses are potentially unlimited in size.
Driehaus Mutual Funds
Notes to Schedule of Investments (unaudited) – (Continued)
The Funds are required to establish a margin account with the broker lending the security sold short. While the short sale is outstanding, the broker retains the proceeds of the short sale and the Fund must maintain a deposit with the broker consisting of cash and securities having a value equal to a specified percentage of the value of the securities sold short. Each Fund is obligated to pay any dividends or interest due on securities sold short.
Foreign Currency Translation
The value of securities, currencies and other assets and liabilities not denominated in U.S. dollars are translated into U.S. dollar values based upon the current rates of exchange on the date of the Funds’ valuations.
Net realized foreign exchange gains or losses which are reported by the Funds result from currency gains and losses on transaction hedges arising from changes in exchange rates between the trade and settlement dates on forward contract transactions, and the difference between the amounts accrued for dividends, interest, and foreign taxes and the amounts actually received or paid in U.S. dollars for these items. Net unrealized foreign exchange gains and losses result from changes in the U.S. dollar value of assets and liabilities (other than investments in securities), which are denominated in foreign currencies, as a result of changes in exchange rates.
Net realized gain (loss) on foreign currency contracts on portfolio hedges result from the use of forward contracts to hedge portfolio positions denominated or quoted in a particular currency in order to reduce or limit exposure in that currency. The Multi-Asset Growth Economies Fund held portfolio hedges as of September 30, 2019 as disclosed in the Schedule of Investments. The Active Income Fund and Event Driven Fund and had no portfolio hedges at September 30, 2019.
The Funds do not isolate that portion of the results of operations which results from fluctuations in foreign exchange rates on investments. These fluctuations are included with the net realized gain (loss) on investments and the net change in unrealized appreciation (depreciation) on investments.
Securities Transactions and Income
The Trust records security transactions based on trade date. Dividend income is recognized on the ex-dividend date, and interest income is recognized on an accrual basis. Discounts and premiums on securities purchased are accreted and amortized over the lives of the respective securities using the effective yield method. Withholding taxes on foreign dividends and interest have been provided for in accordance with the Trust’s understanding of the applicable country’s tax rules and rates.
Pursuant to the terms of certain of the senior unsecured loan agreements, the Funds may have unfunded loan commitments, which are callable on demand. Each Fund will have available with its custodian, cash and/or liquid securities having an aggregate value at least equal to the amount of the unfunded senior loan commitments. At September 30, 2019, the Funds had no unfunded senior loan commitments.
With respect to the senior loans held in each Fund’s portfolio, the Funds may: 1) invest in assignments; 2) act as a participant in primary lending syndicates; or 3) invest in participations. If a Fund purchases a participation of a senior loan interest, the Fund would typically enter into a contractual agreement with the lender or other third party selling the participation, rather than directly with the borrower. As such, the Fund not only assumes the credit risk of the borrower, but also that of the selling participant or other persons interpositioned between the Fund and the borrower. At September 30, 2019, the Funds had no such outstanding senior loan participation commitments.
| B. | INVESTMENTS IN DERIVATIVES |
Each Fund uses derivative instruments such as swaps, futures, options, swaptions and forward foreign currency contracts in connection with their respective investment strategies. During the period January 1, 2019 through September 30, 2019, the Active Income Fund primarily utilized: 1) futures to hedge its interest rate and/or commodity risk and manage volatility; and 2) options to hedge downside risk and manage volatility. During the period January 1, 2019 through September 30, 2019, the Event Driven Fund primarily utilized: 1) options to both hedge exposure and provide exposure to certain market segments or specific securities; and 2) forward foreign currency contracts to manage currency risk in portfolio holdings. During the period January 1, 2019 through September 30, 2019, the Multi-Asset Growth Economies Fund primarily utilized: 1) interest rate swaps to hedge against interest rate fluctuation and enable the parties involved to exchange fixed and floating cash flows; 2) credit default swaps as alternatives to direct investments to manage exposure to specific sectors/markets/industries and/or credit events and manage volatility; 3) options to both hedge exposure and provide exposure to certain market segments or specific securities; and 4) forward foreign currency contracts to manage currency risk in portfolio holdings. Detail regarding each derivative type is included below.
Swap Contracts
The Funds are subject to credit risk, volatility risk and interest rate risk exposure in the normal course of pursuing their investment objectives. The Funds engage in various swap transactions, including forward rate agreements and interest rate, currency, volatility, index and total return swaps, primarily to manage duration and yield curve risk, or as alternatives to direct investments. Swaps that are centrally cleared are exposed to the creditworthiness of the clearing organizations (and, consequentially, that of their members — generally, banks and broker-dealers) involved in the transaction. Centrally cleared swaps are valued daily and unrealized gains or losses are recorded in a “variation margin” account. The Fund receives from or pays to the clearing organization a specified amount of cash based upon changes in the variation margin account. When a contract is closed, the Fund recognizes a realized gain or loss.
Driehaus Mutual Funds
Notes to Schedule of Investments (unaudited) – (Continued)
Interest rate swaps are agreements between two parties to exchange cash flows based on a notional principal amount. The Funds may elect to pay a fixed rate and receive a floating rate or receive a fixed rate and pay a floating rate on a notional principal amount. The net interest received or paid on interest rate swap agreements is accrued daily as interest income/expense. Interest rate swaps are marked-to-market daily using fair value estimates provided by an independent pricing service. Changes in value, including accrued interest, are recorded as changes in net unrealized appreciation (depreciation) on the Statements of Operations. Unrealized appreciation is reported as an asset and unrealized depreciation is reported as a liability on the Statements of Assets and Liabilities. Gains or losses are realized upon termination of the contracts. The risk of loss under a swap contract may exceed the amount recorded as an asset or a liability.
Total return swap contracts are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure and to manage exposure to specific sectors or industries and/or to gain exposure to specific markets/countries and to specific sectors/industries. To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Total return swap contracts are marked to market daily based upon quotations from market makers and the change, if any, is recorded as a change in net unrealized appreciation (depreciation) on the Statements of Operations. Unrealized appreciation is reported as an asset and unrealized depreciation is reported as a liability on the Statements of Assets and Liabilities. Payments received or made are recorded as realized gains or losses. Gains or losses are realized upon termination of the contracts. Each Fund’s maximum risk of loss from counterparty risk is the fair value of the contract.
Volatility swaps are forward contracts on the future realized volatility of an underlying instrument. Volatility swaps are generally used to speculate on future volatility levels, trade the spread between realized and implied volatility or hedge volatility exposure of other positions. Changes in value are recorded as changes in net unrealized appreciation (depreciation) on the Statements of Operations. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statements of Assets and Liabilities. Gains or losses are realized upon termination of the contracts. The risk of loss under a volatility swap contract is dependent upon the volatility of the underlying instrument.
Under the terms of a credit default swap contract, one party acts as a guarantor receiving a periodic payment that is a fixed percentage applied to a notional amount. In return, the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the contract. Each Fund may enter into credit default swaps in which the Fund acts as guarantor (a seller of protection), and may enter into credit default swaps in which the counterparty acts as guarantor (a buyer of protection). Premiums paid to or by the Funds are accrued daily and included in net realized gain (loss) on swap contracts. The contracts are marked-to-market daily using fair value estimates provided by an independent pricing service. Changes in value are recorded as unrealized appreciation (depreciation) on the Statements of Operations. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statements of Assets and Liabilities. Gains or losses are realized upon termination of the contracts. The risk of loss under a swap contract may exceed the amount recorded as an asset or a liability. The notional amount of a swap contract is the reference amount pursuant to which the counterparties make payments. For swaps in which the referenced obligation is an index, in the event of default of any debt security included in the corresponding index, the Fund pays or receives the percentage of the corresponding index that the defaulted security comprises (1) multiplied by the notional value and (2) multiplied by the ratio of one minus the ratio of the market value of the defaulted debt security to its par value. The Funds held no credit default swaps at September 30, 2019.
Risks associated with swap contracts include changes in the returns of underlying instruments and/or interest rates, failure of the counterparties to perform under the contracts’ terms and the possible lack of liquidity with respect to the contracts. For centrally cleared swap contracts, counterparty risk is limited due to the role of the clearinghouse. Credit default swaps can involve greater risks than if an investor had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to counterparty credit risk, leverage risk, hedging risk, correlation risk and liquidity risk. The Funds disclose swap contracts on a gross basis, with no netting of contracts held with the same counterparty. As of September 30, 2019, the Multi-Asset Growth Economies Fund had outstanding swap contracts as listed on the Schedule of Investments. The Active Income Fund and Event Driven Fund had no outstanding swap contracts at September 30, 2019.
Futures Contracts
The Funds may enter into futures contracts to produce incremental earnings, hedge existing positions or protect against market changes in the value of equities or interest rates. Upon entering into a futures contract with a broker, a Fund is required to deposit in a segregated account a specified amount of cash or U.S. government securities. Futures contracts are valued daily and unrealized gains or losses are recorded in a “variation margin” account. Daily, the Fund receives from or pays to the broker a specified amount of cash based upon changes in the variation margin account. When a contract is closed, the Fund recognizes a realized gain or loss. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. With futures contracts, there is minimal counterparty credit risk to the Funds since futures contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contract against default. As of September 30, 2019, the Active Income Fund had outstanding futures contracts as listed in the Schedule of Investments. The Event Driven Fund and Multi-Asset Growth Economies Fund had no outstanding futures contracts at September 30, 2019.
Options Contracts
The Funds may use options contracts to hedge downside risk, produce incremental earnings or protect against market changes in the value of equities or interest rates. The Funds may write covered call and put options on futures, swaps, securities or currencies the Funds own or in which they may invest. Writing put options tends to increase a Fund’s exposure to the underlying instrument. Writing call options tends to decrease a Fund’s exposure to the underlying instrument. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding in the Schedule of Investments. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are added to the proceeds or offset against amounts paid on the underlying future, swap, security or currency transaction to determine the realized gain or loss. A Fund, as a writer of an option, has no control over whether the underlying future, swap, security or currency may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the future, swap, security or currency underlying the written option. The risk exists that a Fund may not be able to enter into a closing transaction because of an illiquid market. In addition, to the extent a Fund purchases an over-the-counter (“OTC”) option, it is subject to credit risk that the counterparty to the trade does not perform under the contract’s terms. The Funds are not subject to credit risk on OTC options written as the counterparty has already performed its obligation by paying the premium at the inception of the contract.
Driehaus Mutual Funds
Notes to Schedule of Investments (unaudited) – (Continued)
The Funds may also purchase put and call options. Purchasing call options tends to increase a Fund’s exposure to the underlying instrument. Purchasing put options tends to decrease a Fund’s exposure to the underlying instrument. A Fund pays a premium, which is included in its Schedule of Investments as an investment and subsequently marked-to-market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options that are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying future, swap, security or currency transaction to determine the realized gain or loss. When entering into purchased option contracts, a Fund bears the risk of securities prices moving unexpectedly, in which case, a Fund may not achieve the anticipated benefits of the purchased option contracts; however, the risk of loss is limited to the premium paid. As of September 30, 2019, the Active Income Fund and Multi-Asset Economies Fund had outstanding options as listed on the Schedule of Investments. The Event Driven Fund had no outstanding options at September 30, 2019.
Swaptions
An option on a swap contract, also called a “swaption,” is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based “premium.” A call or receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index swap. A put or payer swaption gives the owner the right to pay the total return of a specified asset, reference rate, or index swap. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. The Funds had no outstanding swaptions at September 30, 2019.
Forward Foreign Currency Contracts
The Funds use forward foreign currency contracts to manage foreign currency, to produce incremental earnings or to hedge existing positions. A forward foreign currency contract involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. These contracts are principally traded in the inter-bank market conducted directly between currency traders (usually large commercial banks) and their customers.
The market value of a forward foreign currency contract fluctuates with changes in currency exchange rates. Outstanding forward foreign currency contracts are valued daily at current market rates and the resulting change in market value is recorded as change in net unrealized appreciation or depreciation on the Statements of Operations. When a forward foreign currency contract is settled, the Fund records a realized gain or loss equal to the difference between the value at the time the forward foreign currency contract was opened and the value at the time it was settled. A forward foreign currency contract may involve market risk in excess of the unrealized appreciation (depreciation) reflected on the Statements of Assets and Liabilities. In addition, the Funds could be exposed to credit risk if the counterparties are unable or unwilling to meet the terms of the contracts or market risk if the value of the foreign currency changes unfavorably. As of September 30, 2019, the Multi-Asset Economies Fund had forward foreign currency contracts as listed in the Schedule of Investments. The Active Income Fund and Event Driven Fund had no outstanding forward foreign currency contracts at September 30, 2019.
Equity Certificates
The Funds may invest in equity certificates, which allow the Funds to participate in the appreciation (depreciation) of the underlying security without actually owning the underlying security. These derivative instruments are purchased pursuant to an agreement with a financial institution and are valued at a calculated market price based on the value of the underlying security in accordance with the agreement. These equity certificates are subject to the credit risk of the issuing financial institution. There is no off-balance sheet risk associated with equity certificates and the Funds’ potential loss is limited to the purchase price of the securities. The Funds are exposed to credit risk associated with the counterparty to the transaction, which is monitored by the Funds’ management on a periodic basis. A Fund’s equity certificates are not subject to any master netting agreement. The Funds had no outstanding equity certificates at September 30, 2019.
| C. | FEDERAL INCOME TAXES |
At September 30, 2019, gross unrealized appreciation (depreciation) on investments, based on cost for Federal income tax purposes, were as follows:
| Active Income Fund | Event Driven Fund | Multi-Asset Growth Economies Fund | ||||||||||
| Cost of investments | $ | 341,167,761 | $ | 44,953,193 | $ | 28,889,649 | ||||||
| Gross unrealized appreciation | $ | 4,935,347 | $ | 3,432,631 | $ | 4,297,392 | ||||||
| Gross unrealized depreciation | (8,106,835 | ) | (5,346,012 | ) | (568,517 | ) | ||||||
| Net unrealized appreciation (depreciation) on investments | $ | (3,171,488 | ) | $ | (1,913,381 | ) | $ | 3,728,875 | ||||
Driehaus Mutual Funds
Notes to Schedule of Investments (unaudited) – (Continued)
The difference between cost amounts for financial statements and federal income tax purposes is due primarily to the tax deferral of losses on wash sales and timing differences in recognizing certain gains and losses on security transactions.