WCM Alternatives Credit Event Fund
|
||||||||
SCHEDULE OF INVESTMENTS
|
||||||||
March 31, 2020 (Unaudited)
|
||||||||
Shares
|
Value
|
|||||||
LONG INVESTMENTS - 103.22%
|
||||||||
SPECIAL PURPOSE ACQUISITION COMPANIES - 13.02% (a)
|
||||||||
CF Finance Acquisition Corporation Class A
|
4,323
|
$
|
44,484
|
|||||
CHP Merger Corporation Class A
|
1,150
|
11,155
|
||||||
CHP Merger Corporation
|
1
|
10
|
||||||
Churchill Capital Corporation III
|
8,972
|
89,720
|
||||||
CIIG Merger Corporation Class A (e)
|
9,110
|
87,182
|
||||||
dMY Technology Group, Inc.
|
7,823
|
76,900
|
||||||
FinTech Acquisition Corporation III Class A
|
4,230
|
42,342
|
||||||
Flying Eagle Acquisition Corporation
|
8,037
|
80,129
|
||||||
Gores Holdings IV, Inc.
|
11,761
|
118,434
|
||||||
Juniper Industrial Holdings, Inc. Class A
|
4,552
|
43,790
|
||||||
Legacy Acquisition Corporation Class A
|
8,245
|
85,501
|
||||||
Leisure Acquisition Corporation (e)
|
116
|
1,189
|
||||||
Merida Merger Corporation I
|
5,915
|
57,316
|
||||||
PropTech Acquisition Corporation Class A (e)
|
5,888
|
57,614
|
||||||
SCVX Corporation (b)
|
4,975
|
49,601
|
||||||
Software Acquisition Group, Inc. (e)
|
836
|
8,481
|
||||||
Tuscan Holdings Corporation II
|
4,200
|
40,950
|
||||||
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES (Cost $895,509)
|
894,798
|
|||||||
CLOSED-END FUNDS - 0.03%
|
||||||||
Ares Dynamic Credit Allocation Fund
|
173
|
1,867
|
||||||
TOTAL CLOSED-END FUNDS (Cost $2,766)
|
1,867
|
|||||||
PREFERRED STOCKS - 1.85% (a)
|
||||||||
Freddie Mac, 8.375%, Series Z
|
20,943
|
127,543
|
||||||
TOTAL PREFERRED STOCKS (Cost $229,843)
|
127,543
|
|||||||
WARRANTS - 0.74% (a)
|
||||||||
Act II Global Acquisition Corporation Class A
|
||||||||
Expiration: April 2024, Exercise Price: $11.50 (b)(e)
|
5,734
|
3,727
|
||||||
CF Finance Acquisition Corporation Class A
|
||||||||
Expiration: April 2025, Exercise Price: $11.50
|
11,580
|
5,790
|
||||||
CHP Merger Corporation
|
||||||||
Expiration: November 2024, Exercise Price: $11.50
|
575
|
311
|
||||||
CIIG Merger Corporation Class A
|
||||||||
Expiration: December 2026, Exercise Price: $11.50 (e)
|
4,555
|
2,710
|
||||||
FinTech Acquisition Corporation III Class A
|
||||||||
Expiration: December 2023, Exercise Price: $11.50
|
7,553
|
4,532
|
||||||
Haymaker Acquisition Corporation II Class A
|
||||||||
Expiration: October 2026, Exercise Price: $11.50
|
2,676
|
2,809
|
||||||
Hennessy Capital Acquisition Corporation IV Class A
|
||||||||
Expiration: September 2025, Exercise Price: $11.50
|
7,411
|
2,594
|
||||||
Juniper Industrial Holdings, Inc. Class A
|
||||||||
Expiration: November 2026, Exercise Price: $11.50
|
2,276
|
1,275
|
||||||
KLDiscovery, Inc.
|
||||||||
Expiration: December 2025, Exercise Price: $11.50
|
41,725
|
7,928
|
||||||
Merida Merger Corporation I
|
||||||||
Expiration: November 2026, Exercise Price: $11.50
|
2,957
|
1,479
|
||||||
PropTech Acquisition Corporation Class A
|
||||||||
Expiration: October 2026, Exercise Price: $11.50 (e)
|
2,944
|
1,473
|
||||||
Repay Holdings Corporation
|
||||||||
Expiration: July 2024, Exercise Price: $11.50
|
5,911
|
7,743
|
||||||
Tuscan Holdings Corporation
|
||||||||
Expiration: April 2026, Exercise Price: $11.50
|
13,713
|
5,348
|
||||||
Tuscan Holdings Corporation II
|
||||||||
Expiration: July 2025, Exercise Price: $11.50 (e)
|
9,600
|
2,886
|
||||||
TOTAL WARRANTS (Cost $99,379)
|
50,605
|
|||||||
Principal Amount
|
||||||||
BANK LOANS - 24.51% (e)(g)
|
||||||||
Avaya Holdings Corporation
|
||||||||
4.955% (3 Month U.S. LIBOR + 4.250%), 12/15/2024
|
$
|
190,443
|
164,733
|
|||||
Cengage Learning Holdings II, Inc.
|
||||||||
5.250% (3 Month U.S. LIBOR + 4.250%), 6/7/2023
|
124,907
|
100,862
|
||||||
CEOC LLC
|
||||||||
3.603% (3 Month U.S. LIBOR + 2.000%), 10/6/2024
|
255,000
|
210,375
|
||||||
Claire's Stores, Inc.
|
||||||||
8.421% (1 Month U.S. LIBOR + 6.500%), 12/18/2026
|
419,000
|
349,865
|
Heritage Power LLC
|
||||||||
7.771% (1 Month U.S. LIBOR + 6.000%), 8/2/2026
|
297,667
|
245,575
|
||||||
McGraw-Hill Global Education Holdings LLC
|
||||||||
5.000% (3 Month U.S. LIBOR + 4.000%), 5/4/2022
|
92,482
|
76,298
|
||||||
Refinitiv U.S. Holdings, Inc.
|
||||||||
4.239% (3 Month U.S. LIBOR + 4.250%), 10/1/2025
|
149,862
|
144,679
|
||||||
RentPath LLC
|
||||||||
0.000% (3 Month U.S. LIBOR + 4.750%), 12/17/2021
|
473,000
|
371,304
|
||||||
8.660% (1 Month U.S. LIBOR + 7.000%), 12/14/2025
|
22,094
|
21,100
|
||||||
TOTAL BANK LOANS (Cost $1,886,657)
|
1,684,791
|
|||||||
CONVERTIBLE BONDS - 1.11% (e)
|
||||||||
Caesars Entertainment Corporation
|
||||||||
5.000%, 10/1/2024
|
71,000
|
75,973
|
||||||
TOTAL CONVERTIBLE BONDS (Cost $111,586)
|
75,973
|
|||||||
CORPORATE BONDS - 39.88% (e)
|
||||||||
Acadia Healthcare Company, Inc.
|
||||||||
5.125%, 7/1/2022 (d)
|
153,000
|
147,119
|
||||||
APX Group, Inc.
|
||||||||
7.875%, 12/1/2022
|
383,000
|
366,715
|
||||||
Bombardier, Inc.
|
||||||||
6.000%, 10/15/2022 (b)(f)
|
131,000
|
99,233
|
||||||
7.500%, 3/15/2025 (b)(f)
|
255,000
|
178,500
|
||||||
Cincinnati Bell, Inc.
|
||||||||
8.000%, 10/15/2025 (f)
|
227,000
|
234,660
|
||||||
Delphi Technologies plc
|
||||||||
5.000%, 10/1/2025 (b)(f)
|
113,000
|
90,965
|
||||||
EIG Investors Corporation
|
||||||||
10.875%, 2/1/2024
|
58,000
|
49,807
|
||||||
Genesis Energy LP / Genesis Energy Finance Corporation
|
||||||||
6.000%, 5/15/2023
|
315,000
|
231,240
|
||||||
Global A&T Electronics Ltd.
|
||||||||
8.500%, 1/12/2023 (b)
|
439,000
|
357,297
|
||||||
Intel Corporation
|
||||||||
2.450%, 11/15/2029
|
72,000
|
73,545
|
||||||
Nielsen Finance LLC / Nielsen Finance Company
|
||||||||
5.000%, 4/15/2022 (d)(f)
|
323,000
|
299,473
|
||||||
Refinitiv U.S. Holdings, Inc.
|
||||||||
8.250%, 11/15/2026 (f)
|
273,000
|
288,698
|
||||||
Stars Group Holdings BV / Stars Group US Co-Borrower LLC
|
||||||||
7.000%, 7/15/2026 (b)(f)
|
294,000
|
278,051
|
||||||
T-Mobile USA, Inc.
|
||||||||
6.375%, 3/1/2025
|
44,000
|
45,265
|
||||||
TOTAL CORPORATE BONDS (Cost $3,162,583)
|
2,740,568
|
|||||||
Shares
|
||||||||
ESCROW NOTES - 6.81% (a)(e)
|
||||||||
Altaba, Inc.
|
22,540
|
467,705
|
||||||
TOTAL ESCROW NOTES (Cost $477,584)
|
467,705
|
|||||||
SHORT-TERM INVESTMENTS - 15.27%
|
||||||||
MONEY MARKET FUNDS - 15.27% (c)
|
||||||||
First American Government Obligations Fund, Institutional Share Class, 0.41%
|
35,188
|
35,188
|
||||||
The Government & Agency Portfolio, Institutional Share Class, 0.44%
|
338,000
|
338,000
|
||||||
JPMorgan U.S. Government Money Market Fund, Institutional Share Class, 0.36% (d)
|
338,000
|
338,000
|
||||||
Morgan Stanley Institutional Liquidity Fund - Government Portfolio, Institutional Share Class, 0.26%
|
338,000
|
338,000
|
||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,049,188)
|
1,049,188
|
|||||||
TOTAL LONG INVESTMENTS (Cost $7,915,095) - 103.22%
|
7,093,038
|
|||||||
Principal Amount
|
||||||||
SHORT INVESTMENTS - (7.95)%
|
||||||||
U.S. GOVERNMENT NOTES/BONDS - (7.95)% (e)(h)
|
||||||||
1.75%, 11/15/2029
|
$
|
(68,000
|
)
|
(74,763
|
)
|
|||
1.38%, 1/31/2025
|
(450,000
|
)
|
(471,551
|
)
|
||||
TOTAL U.S. GOVERNMENT NOTES/BONDS (Proceeds $525,065)
|
(546,314
|
)
|
||||||
TOTAL SHORT INVESTMENTS (Proceeds $525,065) - (7.95)%
|
(546,314
|
)
|
||||||
TOTAL NET INVESTMENTS (Cost $7,390,030) - 95.27%
|
6,546,724
|
|||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.73%
|
324,897
|
|||||||
TOTAL NET ASSETS - 100.00%
|
$
|
6,871,621
|
LIBOR
|
- London Interbank Offered Rate
|
|
|||||
plc
|
- Public Limited Company
|
||||||
(a)
|
Non-income producing security.
|
||||||
(b)
|
Foreign Security.
|
||||||
(c)
|
The rate quoted is the annualized seven-day yield as of March 31, 2020.
|
||||||
(d)
|
All or a portion of the shares have been committed as collateral for open securities sold short and swap contracts.
|
||||||
(e)
|
Level 2 Security. Please see footnote (i) on the Schedule of Investments for more information.
|
||||||
(f)
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutional buyers. As of March 31,
2020, these securities represent 21.39% of total net assets.
|
|
|||||
(g)
|
The coupon rate shown on variable rate securities represents the rate as of March 31, 2020.
|
||||||
(h)
|
The rate shown represents yield to maturity.
|
||||||
(i)
|
Investment Valuation
|
||||||
The following is a summary of the Fund’s pricing procedures. It is intended to be a general discussion and may not necessarily reflect all pricing procedures followed by the Fund.
|
|||||||
Equity securities, including common and preferred stocks, closed-end funds and ETFs, that trade on an exchange will typically be valued based on the last reported sale price. Securities listed on NASDAQ are
typically valued using the NASDAQ Official Closing Price. The securities valued using quoted prices in active markets are classified as Level 1 investments. If, on a particular day, an exchange-listed security does not trade, then the mean
between the closing bid and asked prices will typically be used to value the security. These securities are classified as Level 2 investments. Fixed income securities having a maturity of greater than 60 days are typically valued based on
evaluations provided by an independent pricing vendor. Investments in United States government securities (other than short-term securities) are valued at the mean between the 4:00 p.m. New York time bid and asked prices supplied by a third
party vendor. Short-term fixed-income securities having a maturity of less than 60 days are valued at market quotations or based on valuations supplied by a third party pricing service. If a reliable price from a third party pricing service
is unavailable, amortized cost may be used if it is determined that the instrument’s amortized cost value represents approximately the fair value of the security. These securities are classified as Level 2 investments.
|
|||||||
Investments in Special Purpose Acquisition Companies, including their related units, shares, rights and warrants (each a “SPAC interest”), will typically be valued by reference to the last reported transaction for
the composite exchange. These securities are classified as Level 1 investments. If, on a particular day, no reliable market transaction is readily available and reported for the composite exchange, then the mean between the closing bid and
asked prices on the composite exchange will be used to value the SPAC interest, or the SPAC interest will be fair valued in accordance with the Fund’s pricing procedures. These securities are classified as Level 2 investments.
|
|||||||
Exchange-traded options are typically valued at the higher of the intrinsic value of the option (i.e., what a Fund would pay or can receive upon the option being exercised) or the last reported composite sale price
when such sale falls between the bid and asked prices. Notwithstanding the above, options that trade principally on a European exchange are typically valued at the “settlement price” as reported by the exchange on which the option principally
trades. If the settlement price for a European exchange-traded option is unreliable or unavailable, the option will generally be valued at the last reported sale price. When the last sale of an exchange-traded option is outside the bid and
asked prices, the Fund will typically value the option at the higher of the intrinsic value of the option or the mean between the highest end of day option bid price and the lowest end of day option ask price. On the stipulated expiration
date, expiring options will be priced at intrinsic value. Options for which there is an active market are classified as Level 1 investments, but options not listed on an exchange and/or are fair valued in accordance with the Fund’s pricing
procedures are classified as Level 2 investments.
|
|||||||
Investments in registered open-end investment companies, including Money Market Funds, are typically valued at their reported net asset value (“NAV”) per share. These securities are generally classified as Level 1
investments.
|
|||||||
Forward currency contracts are valued daily at the prevailing forward exchange rate. These securities are generally classified as Level 2.
|
|||||||
In general, swap prices are determined using the same methods as would be used to price the underlying security. When the underlying security is the subject of a completed corporate reorganization for which the
final deal terms are known, the swap is priced at the value of the consideration to be received by the Fund. The credit quality of counterparties and collateral is monitored and the valuation of a swap may be adjusted if it is believed that
the credit quality of the counterparty or collateral affects the market value of the swap position. These securities are generally classified as Level 2 investments.
|
|||||||
The Fund typically fair values securities and assets for which (a) market quotations are not readily available or (b) market quotations are believed to be unrepresentative of market value. For example, the Fund may
fair value a security that primarily trades on an exchange that closes before the New York Stock Exchange (“NYSE”) if a significant event occurs after the close of the exchange on which the security primarily trades but before the NYSE
closes. Fair valuations are determined in good faith by the Valuation Group (the “Valuation Group”), a committee comprised of persons who are officers of the Trust or representatives of the Adviser, acting pursuant to procedures adopted by
the Board. When fair value pricing is employed, the prices of securities used by the Fund to calculate its NAV may differ from quoted or published prices for the same securities. In addition, due to the subjective nature of fair value
pricing, it is possible that the value determined for a particular asset may be materially different from the value realized upon such asset’s sale. These securities are generally classified as Level 2 or 3 depending on the inputs as
described below.
|
|||||||
The Fund has performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of the
Fund’s investments. These inputs are summarized in the three broad levels listed below:
|
|||||||
Level 1 — Quoted prices in active markets for identical securities.
|
|||||||
Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
|
|||||||
Level 3 — Significant unobservable inputs are those inputs that reflect the applicable Fund’s own assumptions that market participants would use to price the asset or liability based on the best available
information.
|
|||||||
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
|
|||||||
The following tables provide the fair value measurements of applicable Fund assets and liabilities by level within the fair value hierarchy for the Fund as of March 31, 2020. These assets and liabilities are
measured on a recurring basis.
|
Investments at Fair Value
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||||
Assets
|
||||||||||||||||||
Special Purpose Acquisition Companies
|
$
|
740,332
|
$
|
154,466
|
$
|
-
|
$
|
894,798
|
||||||||||
Closed-End Funds
|
1,867
|
-
|
-
|
1,867
|
||||||||||||||
Preferred Stocks
|
127,543
|
-
|
-
|
127,543
|
||||||||||||||
Warrants
|
39,809
|
10,796
|
-
|
50,605
|
||||||||||||||
Bank Loans
|
-
|
1,684,791
|
-
|
1,684,791
|
||||||||||||||
Convertible Bonds
|
-
|
75,973
|
-
|
75,973
|
||||||||||||||
Corporate Bonds
|
-
|
2,740,568
|
-
|
2,740,568
|
||||||||||||||
Escrow Notes
|
-
|
467,705
|
-
|
467,705
|
||||||||||||||
Short-Term Investments
|
1,049,188
|
-
|
-
|
1,049,188
|
||||||||||||||
Total
|
$
|
1,958,739
|
$
|
5,134,299
|
$
|
-
|
$
|
7,093,038
|
||||||||||
Liabilities
|
||||||||||||||||||
Short U.S. Government Notes/Bonds
|
$
|
-
|
$
|
(546,314
|
)
|
$
|
-
|
$
|
(546,314
|
)
|
||||||||
Swap Contracts*
|
-
|
(150,925
|
)
|
-
|
(150,925
|
)
|
||||||||||||
Total
|
$
|
-
|
$
|
(697,239
|
)
|
$
|
-
|
$
|
(697,239
|
)
|
||||||||
* Swap contracts are valued at the net unrealized appreciation (depreciation) on the instrument by counterparty.
|
The Level 2 securities are priced using inputs such as current yields, discount rates, credit quality, yields on comparable securities, trading volume, maturity date, market bid and asked prices, prices on
comparable securities and other significant inputs. Level 3 securities are valued by using broker quotes or such other pricing sources or data as are permitted by the Fund’s pricing procedures. At March 31, 2020, the value of these securities
was $-. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs as described in footnote (i). The appropriateness of fair values for these securities is monitored by the
Valuation Group on an ongoing basis.
|
|||||||
During the period ended March 31, 2020, the value of securities transferred out of Level 2 and into Level 3 was $-.
|
|||||||
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard &
Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC, doing business as U.S Bank Global Fund Services.
|
WCM Alternatives: Credit Event Fund
|
|||||||||||
SCHEDULE OF INVESTMENTS
|
|||||||||||
Open Swap Contracts
|
|||||||||||
March 31, 2020 (Unaudited)
|
|||||||||||
|
|
|
|
|||||||||||
Counterparty
|
Security
|
Termination Date
|
Pay/Receive on Financing
Rate
|
Financing
Rate
|
Payment Frequency
|
Shares
|
Notional Amount
|
Unrealized
Appreciation (Depreciation)* |
|||||
LONG TOTAL RETURN SWAP CONTRACTS
|
|||||||||||||
GS
|
Act II Global Acquisition Corporation Class A
|
3/24/2021
|
Pay
|
1.100% +1 Month U.S. LIBOR
|
Monthly
|
11,468
|
$ 109,749
|
$ |
3,406
|
||||
GS
|
Alberton Acquisition Corporation
|
1/16/2021
|
Pay
|
1.100% +1 Month U.S. LIBOR
|
Monthly
|
19,986
|
207,147
|
2,128
|
|||||
JPM
|
Apollo Tactical Income Fund, Inc.
|
12/27/2020
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
358
|
5,461
|
(1,408)
|
|||||
JPM
|
Ares Dynamic Credit Allocation Fund
|
2/7/2021
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
48
|
755
|
(237)
|
|||||
JPM
|
Blackrock Corporate High Yield Fund
|
2/28/2021
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
1,537
|
16,082
|
(2,563)
|
|||||
GS
|
BlackRock Debt Strategies Fund, Inc.
|
3/24/2021
|
Pay
|
1.100% +1 Month U.S. LIBOR
|
Monthly
|
10,536
|
73,647
|
15,360
|
|||||
JPM
|
BlackRock Floating Rate Income Strategies Fund, Inc.
|
8/30/2020
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
2,826
|
35,897
|
(7,624)
|
|||||
JPM
|
BlackRock MuniYield Quality Fund III, Inc.
|
3/24/2021
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
672
|
7,423
|
1,163
|
|||||
GS
|
BlackRock MuniYield Quality Fund III, Inc.
|
3/24/2021
|
Pay
|
1.100% +1 Month U.S. LIBOR
|
Monthly
|
6,882
|
76,750
|
11,178
|
|||||
GS
|
Broadmark Realty Capital, Inc.
|
1/16/2021
|
Pay
|
0.600% +1 Month U.S. LIBOR
|
Monthly
|
18,866
|
230,890
|
(89,536)
|
|||||
GS
|
CF Finance Acquisition Corporation Class A
|
11/19/2020
|
Pay
|
1.100% +1 Month U.S. LIBOR
|
Monthly
|
15,440
|
157,179
|
1,259
|
|||||
JPM
|
Eaton Vance Floating-Rate Income Trust
|
2/4/2021
|
Pay
|
0.800% + 3 Month U.S. LIBOR
|
Quarterly
|
2,639
|
25,888
|
1,148
|
|||||
JPM
|
Eaton Vance Senior Floating-Rate Income Trust
|
8/30/2020
|
Pay
|
0.841% + 3 Month U.S. LIBOR
|
Quarterly
|
1,819
|
23,728
|
(5,772)
|
|||||
GS
|
FinTech Acquisition Corporation III Class A
|
11/19/2020
|
Pay
|
1.100% +1 Month U.S. LIBOR
|
Monthly
|
15,106
|
151,815
|
(1,029)
|
|||||
JPM
|
First Trust Senior Floating Rate Income Fund II
|
2/4/2021
|
Pay
|
0.800% + 3 Month U.S. LIBOR
|
Quarterly
|
3,374
|
31,785
|
285
|
|||||
GS
|
GMAC Capital Trust I
|
2/19/2021
|
Pay
|
0.500% +1 Month U.S. LIBOR
|
Monthly
|
8,875
|
233,235
|
(51,573)
|
|||||
GS
|
Haymaker Acquisition Corporation II Class A
|
3/24/2021
|
Pay
|
1.100% +1 Month U.S. LIBOR
|
Monthly
|
9,882
|
93,780
|
2,935
|
|||||
GS
|
Hennessy Capital Acquisition Corporation IV Class A
|
3/24/2021
|
Pay
|
1.100% +1 Month U.S. LIBOR
|
Monthly
|
10,276
|
102,555
|
1,304
|
|||||
GS
|
Invesco Dynamic Credit Opportunities Fund
|
3/24/2021
|
Pay
|
1.100% +1 Month U.S. LIBOR
|
Monthly
|
9,304
|
67,919
|
6,306
|
|||||
JPM
|
Invesco Municipal Opportunity Trust
|
2/4/2021
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
1,107
|
12,876
|
(211)
|
|||||
GS
|
Invesco Municipal Opportunity Trust
|
2/19/2021
|
Pay
|
0.500% +1 Month U.S. LIBOR
|
Monthly
|
835
|
9,631
|
(76)
|
|||||
JPM
|
Invesco Senior Income Trust
|
8/7/2020
|
Pay
|
1.000% + 3 Month U.S. LIBOR
|
Quarterly
|
13,151
|
55,067
|
(12,761)
|
|||||
JPM
|
Invesco Value Municipal Income Trust
|
2/7/2021
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
923
|
13,160
|
(117)
|
|||||
JPM
|
Nuveen AMT-Free Municipal Credit Income Fund
|
11/27/2020
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
1,582
|
24,661
|
(1,454)
|
|||||
JPM
|
Nuveen AMT-Free Quality Municipal Income Fund
|
3/24/2021
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
1,229
|
14,556
|
2,079
|
|||||
GS
|
Nuveen AMT-Free Quality Municipal Income Fund
|
3/24/2021
|
Pay
|
1.100% +1 Month U.S. LIBOR
|
Monthly
|
9,665
|
116,201
|
14,627
|
|||||
JPM
|
Nuveen California Quality Municipal Income Fund
|
11/27/2020
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
1,701
|
24,674
|
(1,427)
|
|||||
JPM
|
Nuveen Credit Strategies Income Fund
|
5/23/2020
|
Pay
|
0.800% + 3 Month U.S. LIBOR
|
Quarterly
|
13,309
|
100,459
|
(25,061)
|
|||||
JPM
|
Nuveen Intermediate Duration Municipal Term Fund
|
10/4/2020
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
4,858
|
66,275
|
(3,224)
|
|||||
JPM
|
Nuveen Municipal Credit Income Fund
|
10/4/2020
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
4,117
|
65,721
|
(7,847)
|
|||||
JPM
|
Nuveen New York AMT-Free Quality Municipal Income Fund
|
3/24/2021
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
654
|
7,350
|
824
|
|||||
GS
|
Nuveen New York AMT-Free Quality Municipal Income Fund
|
3/24/2021
|
Pay
|
1.100% +1 Month U.S. LIBOR
|
Monthly
|
6,880
|
78,367
|
7,609
|
|||||
GS
|
Nuveen New Jersey Quality Municipal Income Fund
|
3/11/2021
|
Pay
|
0.500% +1 Month U.S. LIBOR
|
Monthly
|
712
|
9,578
|
(13)
|
|||||
GS
|
Pure Acquisition Corporation
|
11/19/2020
|
Pay
|
1.100% +1 Month U.S. LIBOR
|
Monthly
|
22,482
|
232,111
|
988
|
|||||
JPM
|
SLM Corporation, 4.311%, Series B
|
2/10/2021
|
Pay
|
1.100% + 3 Month U.S. LIBOR
|
Quarterly
|
2,007
|
116,406
|
(49,381)
|
|||||
GS
|
Tuscan Holdings Corporation
|
3/24/2021
|
Pay
|
1.100% +1 Month U.S. LIBOR
|
Monthly
|
10,713
|
104,773
|
2,003
|
|||||
GS
|
Tuscan Holdings Corporation II
|
1/16/2021
|
Pay
|
1.100% +1 Month U.S. LIBOR
|
Monthly
|
15,000
|
149,100
|
(3,266)
|
|||||
SHORT TOTAL RETURN SWAP CONTRACTS
|
|||||||||||||
GS
|
Eldorado Resorts, Inc.
|
12/20/2020
|
Receive
|
(0.520)% + U.S. Federal Funds
|
Monthly
|
(902)
|
(52,000)
|
39,053
|
|||||
$ |
(150,925)
|
||||||||||||
GS
|
- Goldman, Sachs & Co.
|
||||||||||||
JPM
|
- JPMorgan Chase & Co., Inc.
|
||||||||||||
LIBOR
|
- London Interbank Offered Rate
|
||||||||||||
U.S. Federal Funds
|
- U.S. Federal Funds Effective Rate
|
||||||||||||
*
|
Based on the net swap value held at each counterparty, unrealized appreciation (depreciation) is a receivable (payable).
|