NPORT-EX 2 cefv2confidential.htm CREDIT EVENT SOI
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).