|
|
Par Value(1)
|
Value
|
|
Convertible Bonds and Notes—0.6%
|
||
|
Health Care—0.6%
|
|
|
|
Exact Sciences Corp. 144A
2.000%, 3/1/30(2)
|
$510
|
$723
|
|
Total Convertible Bonds and Notes
(Identified Cost $700)
|
723
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
||
|
Corporate Bonds and Notes—13.9%
|
||
|
Communication Services—3.6%
|
|
|
|
DISH Network Corp. 144A
11.750%, 11/15/27(2) |
674
|
694
|
|
EchoStar Corp.
10.750%, 11/30/29
|
975
|
1,053
|
|
Getty Images, Inc. 144A
11.250%, 2/21/30(2)(3) |
3,243
|
2,921
|
|
|
|
4,668
|
|
|
|
|
|
|
||
|
Financials—3.6%
|
|
|
|
Apollo Commercial Real Estate Finance, Inc. 144A
4.625%, 6/15/29(2) |
1,336
|
1,325
|
|
Frontier Communications Holdings LLC
|
|
|
|
5.875%, 11/1/29
|
441
|
444
|
|
144A 6.000%, 1/15/30(2) |
1,093
|
1,100
|
|
Mobius Merger Sub, Inc. 144A
9.000%, 6/1/30(2) |
555
|
391
|
|
SBL Holdings, Inc. 144A
6.500% (2)(4)(5) |
1,665
|
1,375
|
|
|
|
4,635
|
|
|
|
|
|
|
||
|
Industrials—4.5%
|
|
|
|
Conduent Business Services LLC 144A
6.000%, 11/1/29(2) |
731
|
496
|
|
Mauser Packaging Solutions Holding Co. 144A
9.250%, 4/15/30(2) |
5,703
|
5,299
|
|
|
|
5,795
|
|
|
|
|
|
|
||
|
Information Technology—0.2%
|
|
|
|
ams-OSRAM AG RegS
10.500%, 3/30/29(6) |
210
EUR
|
254
|
|
Materials—0.8%
|
|
|
|
Illuminate Buyer LLC 144A
9.000%, 7/1/28(2) |
1,028
|
1,029
|
|
Real Estate—1.2%
|
|
|
|
Kennedy-Wilson, Inc.
5.000%, 3/1/31
|
1,601
|
1,597
|
|
Total Corporate Bonds and Notes
(Identified Cost $18,919)
|
17,978
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
||
|
|
Par Value(1)
|
Value
|
|
|
|
|
|
|
|
|
|
Leveraged Loans—1.9%
|
||
|
Media / Telecom - Telecommunications—1.9%
|
|
|
|
Syniverse Holdings, Inc. (2 month Term SOFR +
7.000%)
10.700%, 5/13/27(7)
|
$2,702
|
$2,493
|
|
Total Leveraged Loans
(Identified Cost $2,672)
|
2,493
|
|
|
|
Shares
|
|
|
Closed-End Funds—2.5%
|
||
|
Equity Funds—2.5%
|
|
|
|
BlackRock MuniHoldings Fund, Inc.(8)
|
106,446
|
1,200
|
|
BlackRock MuniYield Quality Fund III, Inc.(8)
|
51,836
|
545
|
|
BlackRock MuniYield Quality Fund, Inc.(8)
|
86,782
|
953
|
|
Eaton Vance Floating-Rate Income Trust(8)
|
13,115
|
141
|
|
Franklin Universal Trust(8)
|
43,979
|
352
|
|
|
|
3,191
|
|
|
|
|
|
|
||
|
Total Closed-End Funds
(Identified Cost $3,316)
|
3,191
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
||
|
Preferred Stocks—0.8%
|
||
|
Financials—0.8%
|
|
|
|
Federal Home Loan Mortgage Corp. Series Z, 8.375%(7)
|
58,875
|
665
|
|
Federal National Mortgage Association Series T,
8.250%
|
6,425
|
64
|
|
Federal National Mortgage Association Series P(7)
|
31,800
|
301
|
|
|
|
1,030
|
|
|
|
|
|
|
||
|
Total Preferred Stocks
(Identified Cost $1,319)
|
1,030
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
||
|
Common Stocks—43.4%
|
||
|
Communication Services—10.7%
|
|
|
|
Electronic Arts, Inc.
|
6,955
|
1,418
|
|
Endeavor Group Holdings, Inc. Class A (9)(10)(11)
|
389,302
|
11,788
|
|
Warner Bros Discovery, Inc.(10)
|
22,611
|
621
|
|
|
|
13,827
|
|
|
|
|
|
|
||
|
Consumer Discretionary—5.1%
|
|
|
|
Aptiv plc(10)
|
54,200
|
3,764
|
|
Caesars Entertainment, Inc.(10)
|
105,479
|
2,788
|
|
Golden Entertainment, Inc.
|
540
|
14
|
|
|
|
6,566
|
|
|
|
|
|
|
||
|
Consumer Staples—0.8%
|
|
|
|
CN Healthy Food Tech Group Corp.(10)
|
6,328
|
35
|
|
Kenvue, Inc.(3)
|
15,091
|
260
|
|
Keurig Dr Pepper, Inc.
|
24,300
|
640
|
|
Treehouse Foods, Inc.(9)(10)
|
30,336
|
72
|
|
|
|
1,007
|
|
|
|
|
|
|
||
|
Energy—2.6%
|
|
|
|
Coterra Energy, Inc.
|
80,256
|
2,820
|
|
|
Shares
|
Value
|
|
|
|
|
|
Energy—continued
|
|
|
|
Valaris Ltd.(10)
|
5,012
|
$491
|
|
|
|
3,311
|
|
|
|
|
|
|
||
|
Financials—5.5%
|
|
|
|
Acropolis Infrastructure(9)(10)
|
39,798
|
—
|
|
Brighthouse Financial, Inc.(10)
|
4,003
|
240
|
|
Cantaloupe, Inc.(10)
|
4,371
|
47
|
|
DigitalBridge Group, Inc.
|
18
|
—
(12)
|
|
Janus Henderson Group plc
|
12,629
|
649
|
|
MidCap Financial Investment Corp.(5)
|
7,702
|
87
|
|
Webster Financial Corp.(3)
|
88,304
|
6,130
|
|
|
|
7,153
|
|
|
|
|
|
|
||
|
Health Care—4.0%
|
|
|
|
Apellis Pharmaceuticals, Inc.(10)
|
16,783
|
675
|
|
Atrium Therapeutics, Inc.(10)
|
2,659
|
35
|
|
Hologic, Inc.(3)(10)
|
24,487
|
1,851
|
|
Inhibrx, Inc.(10)
|
35,267
|
40
|
|
Masimo Corp.(10)
|
6,263
|
1,114
|
|
Penumbra, Inc.(3)(10)
|
4,293
|
1,410
|
|
|
|
5,125
|
|
|
|
|
|
|
||
|
Industrials—7.8%
|
|
|
|
Air Lease Corp. Class A(3)
|
15,259
|
991
|
|
Chart Industries, Inc.(10)
|
33
|
7
|
|
FedEx Corp.(3)
|
7,500
|
2,671
|
|
L3Harris Technologies, Inc.
|
38
|
13
|
|
Norfolk Southern Corp.(3)
|
8,914
|
2,558
|
|
UniFirst Corp.
|
15,278
|
3,844
|
|
|
|
10,084
|
|
|
|
|
|
|
||
|
Information Technology—4.3%
|
|
|
|
Clearwater Analytics Holdings, Inc. Class A (3)(10)
|
150,774
|
3,566
|
|
Onestream, Inc. Class A(10)
|
38,148
|
915
|
|
Qorvo, Inc.(3)(10)
|
14,519
|
1,124
|
|
|
|
5,605
|
|
|
|
|
|
|
||
|
Materials—2.6%
|
|
|
|
Barrick Mining Corp.
|
75,200
|
3,067
|
|
Sealed Air Corp.
|
8,052
|
339
|
|
|
|
3,406
|
|
|
|
|
|
|
||
|
Total Common Stocks
(Identified Cost $55,659)
|
56,084
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
||
|
Rights—0.7%
|
||
|
Financials—0.0%
|
|
|
|
Axiom Intelligence Acquisition Corp. 1, 10/20/30(10)
|
8,143
|
1
|
|
BEST SPAC I Acquisition Corp., 02/01/30(10)
|
2,328
|
—
(12)
|
|
Cal Redwood Acquisition Corp., 05/15/30(10)
|
7,000
|
1
|
|
Emmis Acquisition Corp., 09/26/30(10)
|
7,731
|
1
|
|
GSR IV Acquisition Corp., 09/05/30(10)
|
4,112
|
8
|
|
Jena Acquisition Corp. II, 03/31/30(10)
|
18,687
|
3
|
|
K&F Growth Acquisition Corp. II, 08/29/31(10)
|
12,053
|
1
|
|
Lakeshore Acquisition III Corp., (10)
|
20,607
|
4
|
|
Mountain Lake Acquisition Corp., 12/31/26(10)
|
16,606
|
4
|
|
|
Shares
|
Value
|
|
|
|
|
|
Financials—continued
|
|
|
|
Oyster Enterprises II Acquisition Corp., 03/31/30(10)
|
11,728
|
$2
|
|
Pershing Tontine Spar, 09/29/33(9)(10)
|
11,093
|
5
|
|
Sizzle Acquisition Corp. II, (10)
|
11,873
|
2
|
|
Soulpower Acquisition Corp., 12/31/49(10)
|
13,952
|
3
|
|
Thayer Ventures Acquisition Corp. II, 05/15/30(10)
|
13,191
|
2
|
|
UY Scuti Acquisition Corp., 03/03/30(10)
|
4,727
|
1
|
|
Wintergreen Acquisition Corp., 12/18/26(10)
|
211
|
—
(12)
|
|
|
|
38
|
|
|
|
|
|
|
||
|
Health Care—0.2%
|
|
|
|
Akouos, Inc., 12/31/49(9)(10)
|
26,079
|
20
|
|
Bristol-Myers Squibb Co., 12/31/35(9)(10)
|
169,085
|
232
|
|
|
|
252
|
|
|
|
|
|
|
||
|
Materials—0.5%
|
|
|
|
Pan American Silver Corp., 12/31/48(10)
|
978,488
|
587
|
|
Total Rights
(Identified Cost $617)
|
877
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
||
|
Warrants—0.0%
|
||
|
Consumer Staples—0.0%
|
|
|
|
CN Healthy Food Tech Group Corp., 02/16/29(10)
|
31,641
|
3
|
|
Financials—0.0%
|
|
|
|
26 Capital Acquisition Corp., 12/31/27(9)(10)
|
25,800
|
—
|
|
AA Mission Acquisition Corp. II, 09/09/31(10)
|
10,563
|
2
|
|
Alchemy Investments Acquisition Corp. 1, 06/26/28(10)
|
17,935
|
3
|
|
Aldel Financial II, Inc., 10/10/29(10)
|
9,701
|
3
|
|
AltEnergy Acquisition Corp., 11/02/28(10)
|
5,160
|
—
(12)
|
|
Archimedes Tech SPAC Partners II Co., 04/02/30(10)
|
7,214
|
4
|
|
Armada Acquisition Corp. II, 05/20/30(10)
|
4,128
|
3
|
|
Berto Acquisition Corp., 04/28/30(10)
|
1,759
|
—
(12)
|
|
Blue Water Acquisition Corp. III, 12/31/26(10)
|
9,297
|
4
|
|
Cartesian Growth Corp. II, 07/12/28(10)
|
5,799
|
—
(12)
|
|
Cartesian Growth Corp. III, 03/06/30(10)
|
664
|
—
(12)
|
|
Copley Acquisition Corp., 05/23/30(10)
|
2,831
|
—
(12)
|
|
Corner Growth Acquisition Corp., 12/31/27(9)(10)
|
20,673
|
—
|
|
Dune Acquisition Corp. II, 06/12/30(10)
|
11,564
|
3
|
|
Galata Acquisition Corp. II, 09/18/30(10)
|
2,582
|
1
|
|
Gesher Acquisition Corp. II, 03/12/30(10)
|
5,680
|
1
|
|
Goal Acquisitions Corp., 02/11/27(10)
|
272,843
|
—
(12)
|
|
Gores Holdings X, Inc., 06/20/31(10)
|
5,981
|
3
|
|
Jaws Mustang Acquisition Corp., 02/04/28(10)
|
23,996
|
1
|
|
Keen Vision Acquisition Corp., 09/15/28(10)
|
63,143
|
2
|
|
Lightwave Acquisition Corp., 06/24/30(10)
|
11,341
|
3
|
|
New Providence Acquisition Corp. III, 04/24/30(10)
|
16,236
|
3
|
|
Newbury Street II Acquisition Corp., 12/29/29(10)
|
12,867
|
2
|
|
Oxley Bridge Acquisition Ltd., 08/15/30(10)
|
4,648
|
1
|
|
Perimeter Acquisition Corp. I, 06/17/30(10)
|
3,504
|
2
|
|
Pioneer Acquisition I Corp., 06/17/30(10)
|
17,468
|
4
|
|
Republic Digital Acquisition Co., 10/31/31(10)
|
1,759
|
1
|
|
Roman DBDR Acquisition Corp. II, 02/03/30(10)
|
7,615
|
2
|
|
Spark I Acquisition Corp., 11/27/28(10)
|
28,847
|
5
|
|
Stellar V Capital Corp., 03/24/30(10)
|
4,836
|
1
|
|
Target Global Acquisition I Corp., 12/31/27(10)
|
10,328
|
—
(12)
|
|
Titan Acquisition Corp., 06/02/30(10)
|
12,485
|
3
|
|
|
Shares
|
Value
|
|
|
|
|
|
Financials—continued
|
|
|
|
Wen Acquisition Corp., 05/15/31(10)
|
8,974
|
$3
|
|
|
|
60
|
|
|
|
|
|
|
||
|
Health Care—0.0%
|
|
|
|
Tevogen Bio Holdings, Inc., 11/04/26(10)
|
6,900
|
—
(12)
|
|
Information Technology—0.0%
|
|
|
|
iLearningEngines Holdings, Inc., 04/16/29(10)
|
60,113
|
—
(12)
|
|
LeddarTech Holdings, Inc., 12/21/28(10)
|
58,973
|
—
(12)
|
|
|
|
—
(12)
|
|
|
|
|
|
|
||
|
Total Warrants
(Identified Cost $326)
|
63
|
|
|
|
Shares/Units
|
|
|
Special Purpose Acquisition Companies—20.9%
|
||
|
1RT Acquisition Corp.(10)
|
5,247
|
54
|
|
A Paradise Acquisition Corp.(10)
|
4,625
|
49
|
|
A Paradise Acquisition Corp. Class A(10)
|
50,166
|
510
|
|
AA Mission Acquisition Corp. II Class A(10)
|
21,127
|
212
|
|
Abony Acquisition Corp. I(10)
|
5,516
|
55
|
|
Activate Energy Acquisition Corp.(10)
|
15,323
|
154
|
|
Activate Energy Acquisition Corp. Class A(10)
|
11,024
|
109
|
|
AI Infrastructure Acquisition Corp.(10)
|
17,611
|
180
|
|
AI Infrastructure Acquisition Corp. Class A(10)
|
11,573
|
116
|
|
Aldabra 4 Liquidity Opportunity Vehicle, Inc.(10)
|
11,050
|
110
|
|
American Drive Acquisition Co.(10)
|
6,305
|
63
|
|
Apex Treasury Corp.(10)
|
6,636
|
67
|
|
Apex Treasury Corp. Class A(10)
|
43,846
|
438
|
|
Archimedes Tech SPAC Partners II Co.(10)
|
25,821
|
269
|
|
Archimedes Tech SPAC Partners III Co.(10)
|
4,411
|
44
|
|
Armada Acquisition Corp. II Class A(10)
|
33,581
|
346
|
|
Axiom Intelligence Acquisition Corp. 1 Class A(10)
|
30,300
|
307
|
|
Bain Capital GSS Investment Corp.(10)
|
11,055
|
113
|
|
Berto Acquisition Corp.(10)
|
31,573
|
324
|
|
BEST SPAC I Acquisition Corp. Class A(10)
|
2,328
|
24
|
|
Bitcoin Infrastructure Acquisition Corp., Ltd.(10)
|
9,617
|
96
|
|
Blue Acquisition Corp.(10)
|
5,750
|
59
|
|
Blue Water Acquisition Corp. III Class A(10)
|
25,878
|
266
|
|
Blue Water Acquisition Corp. IV(10)
|
4,356
|
43
|
|
Blueport Acquisition Ltd. Class A(10)
|
4,368
|
44
|
|
Bluerock Acquisition Corp.(10)
|
10,936
|
110
|
|
BTC Development Corp.(10)
|
2,209
|
22
|
|
Cal Redwood Acquisition Corp. Class A(10)
|
45,696
|
464
|
|
Calisa Acquisition Corp.(10)
|
696
|
7
|
|
Cambridge Acquisition Corp.(10)
|
8,821
|
88
|
|
Cantor Equity Partners I, Inc. Class A(10)
|
5,565
|
58
|
|
Cantor Equity Partners III, Inc. Class A(10)
|
2,328
|
24
|
|
Cantor Equity Partners V, Inc. Class A(10)
|
19,821
|
200
|
|
Cartesian Growth Corp. III Class A(10)
|
8,357
|
86
|
|
Centurion Acquisition Corp.(10)
|
4
|
—
(12)
|
|
ChampionsGate Acquisition Corp.(10)
|
2,797
|
28
|
|
Chenghe Acquisition III Co.(10)
|
12,168
|
123
|
|
Chenghe Acquisition III Co. Class A(10)
|
88
|
1
|
|
Churchill Capital Corp. XI(10)
|
2,101
|
22
|
|
CO2 Energy Transition Corp.(5)(10)
|
102,834
|
1,066
|
|
Cohen Circle Acquisition Corp. II(10)
|
9,839
|
102
|
|
Colombier Acquisition Corp. III(10)
|
3,849
|
39
|
|
Columbus Circle Capital Corp. II(10)
|
6,610
|
66
|
|
Copley Acquisition Corp. Class A(10)
|
10,880
|
112
|
|
|
Shares/Units
|
Value
|
|
Crane Harbor Acquisition Corp. II(10)
|
2,185
|
$22
|
|
Crown Reserve Acquisition Corp. I(10)
|
10,951
|
111
|
|
Crown Reserve Acquisition Corp. I Class A(10)
|
26,677
|
267
|
|
CSLM Digital Asset Acquisition Corp. III Ltd.(10)
|
17,727
|
180
|
|
CSLM Digital Asset Acquisition Corp. III Ltd. Class A(10)
|
28,593
|
287
|
|
D Boral ARC Acquisition I Corp. Class A(10)
|
21,476
|
217
|
|
Daedalus Special Acquisition Corp.(10)
|
6,216
|
62
|
|
Drugs Made In America Acquisition II Corp.(10)
|
22,215
|
223
|
|
Drugs Made In America Acquisition II Corp.(10)
|
21,825
|
218
|
|
Dune Acquisition Corp. II(10)
|
17,132
|
177
|
|
Dynamix Corp. III(10)
|
2,210
|
22
|
|
EGH Acquisition Corp. Class A(10)
|
3,766
|
38
|
|
Emmis Acquisition Corp. Class A(10)
|
7,731
|
78
|
|
EQV Ventures Acquisition Corp. II(10)
|
75,000
|
762
|
|
Eureka Acquisition Corp.(10)
|
2,338
|
27
|
|
FG Merger II Corp.(10)
|
54,415
|
550
|
|
Fifth Era Acquisition Corp. I Class A(10)
|
3,828
|
39
|
|
FIGX Capital Acquisition Corp.(10)
|
3,958
|
40
|
|
FIGX Capital Acquisition Corp. Class A(10)
|
5,576
|
56
|
|
Flag Ship Acquisition Corp.(10)
|
2,336
|
26
|
|
Future Vision II Acquisition Corp.(10)
|
17,683
|
190
|
|
FutureCrest Acquisition Corp.(10)
|
442
|
5
|
|
Galata Acquisition Corp. II Class A(10)
|
7,747
|
77
|
|
Gesher Acquisition Corp. II Class A(10)
|
11,360
|
118
|
|
GigCapital7 Corp. Class A(10)
|
4,447
|
47
|
|
GigCapital8 Corp. Class A(10)
|
58,587
|
584
|
|
GigCapital9 Corp.(10)
|
13,235
|
133
|
|
GigCapital9 Corp. Class A(10)
|
4,355
|
43
|
|
Globa Terra Acquisition Corp. Class A(10)
|
62,071
|
636
|
|
Gores Holdings X, Inc. Class A(10)
|
23,927
|
245
|
|
GP-Act III Acquisition Corp. Class A(10)
|
6,951
|
75
|
|
GSR IV Acquisition Corp. Class A(10)
|
28,786
|
289
|
|
Harvard Ave Acquisition Corp.(10)
|
26,455
|
268
|
|
Haymaker Acquisition Corp. 4(10)
|
34,929
|
400
|
|
HCM III Acquisition Corp.(10)
|
1,153
|
12
|
|
Highview Merger Corp. Class A(10)
|
7,484
|
75
|
|
Idea Acquisition Corp.(10)
|
6,610
|
66
|
|
Illumination Acquisition Corp. I(10)
|
6,584
|
65
|
|
Indigo Acquisition Corp.(10)
|
11,056
|
112
|
|
Infinite Eagle Acquisition Corp.(10)
|
2,217
|
23
|
|
Inflection Point Acquisition Corp. V Class A(10)
|
3,147
|
33
|
|
Iron Horse Acquisition II Corp.(10)
|
6,305
|
63
|
|
ITHAX Acquisition Corp. III(10)
|
10,929
|
109
|
|
Jackson Acquisition Co. II Class A(10)
|
9,982
|
106
|
|
Jena Acquisition Corp. II Class A(10)
|
41,343
|
423
|
|
K&F Growth Acquisition Corp. II Class A(10)
|
9,440
|
99
|
|
Kochav Defense Acquisition Corp. Class A(10)
|
13,623
|
140
|
|
KRAKacquisition Corp.(10)
|
2,209
|
22
|
|
LaFayette Acquisition Corp.(10)
|
8,913
|
90
|
|
Lafayette Digital Acquisition Corp. I(10)
|
4,415
|
44
|
|
Lake Superior Acquisition Corp.(10)
|
11,265
|
114
|
|
Lake Superior Acquisition Corp. Class A(10)
|
8,768
|
88
|
|
Lakeshore Acquisition III Corp.(10)
|
32,249
|
332
|
|
Launchpad Cadenza Acquisition Corp. I(10)
|
14,061
|
140
|
|
Leapfrog Acquisition Corp.(10)
|
5,473
|
55
|
|
Legato Merger Corp. IV(10)
|
6,617
|
66
|
|
Lightwave Acquisition Corp. Class A(10)
|
33,719
|
341
|
|
Lionheart Holdings Class A(10)
|
17,717
|
190
|
|
M Evo Global Acquisition Corp. II(10)
|
12,933
|
129
|
|
M3-Brigade Acquisition VI Corp.(10)
|
2,219
|
23
|
|
McKinley Acquisition Corp.(10)
|
4,435
|
45
|
|
McKinley Acquisition Corp. Class A(10)
|
32,690
|
329
|
|
Mercer Park Opportunities Corp.(10)
|
12,189
|
127
|
|
Meshflow Acquisition Corp.(10)
|
15,294
|
152
|
|
|
Shares/Units
|
Value
|
|
Miluna Acquisition Corp. Class A(10)
|
19,868
|
$199
|
|
Mountain Lake Acquisition Corp. Class A(10)
|
45,724
|
481
|
|
Mountain Lake Acquisition Corp. II(10)
|
27,121
|
269
|
|
MOZAYYX Acquisition Corp.(10)
|
8,779
|
87
|
|
Muzero Acquisition Corp.(10)
|
8,811
|
87
|
|
New Providence Acquisition Corp. III Class A(10)
|
50,370
|
517
|
|
Newbury Street II Acquisition Corp. Class A(10)
|
41,428
|
435
|
|
NMP Acquisition Corp. Class A(10)
|
21,941
|
223
|
|
Origin Investment Corp. I(10)
|
11,060
|
113
|
|
OTG Acquisition Corp. I(10)
|
5,532
|
56
|
|
Oxley Bridge Acquisition Ltd. Class A(10)
|
46,843
|
475
|
|
Oyster Enterprises II Acquisition Corp. Class A(10)
|
30,980
|
317
|
|
Perimeter Acquisition Corp. I Class A(10)
|
7,008
|
72
|
|
Pioneer Acquisition I Corp. Class A(10)
|
50,058
|
509
|
|
Praetorian Acquisition Corp.(10)
|
6,617
|
65
|
|
ProCap Acquisition Corp.(10)
|
3,231
|
33
|
|
ProCap Acquisition Corp. Class A(10)
|
10,879
|
111
|
|
Proem Acquisition Corp. I(10)
|
5,387
|
54
|
|
Pyrophyte Acquisition Corp. II Class A(10)
|
11,036
|
111
|
|
Quantumsphere Acquisition Corp.(10)
|
4,430
|
45
|
|
Quantumsphere Acquisition Corp.(10)
|
11,056
|
112
|
|
Quartzsea Acquisition Corp.(10)
|
33,242
|
345
|
|
Real Asset Acquisition Corp. Class A(10)
|
10,365
|
109
|
|
Republic Digital Acquisition Co. Class A(10)
|
36,539
|
373
|
|
Ribbon Acquisition Corp.(10)
|
3,979
|
42
|
|
Roman DBDR Acquisition Corp. II(10)
|
9,405
|
98
|
|
SC II Acquisition Corp. Class A(10)
|
22,150
|
221
|
|
Siddhi Acquisition Corp. Class A(10)
|
63,115
|
655
|
|
Silicon Valley Acquisition Corp.(10)
|
7,758
|
78
|
|
Silver Pegasus Acquisition Corp.(10)
|
5,824
|
60
|
|
Silver Pegasus Acquisition Corp. Class A(10)
|
15,484
|
157
|
|
SilverBox Corp. V(10)
|
4,365
|
44
|
|
SIM Acquisition Corp. I Class A(10)
|
13,513
|
145
|
|
Sizzle Acquisition Corp. II Class A(10)
|
38,117
|
391
|
|
Social Commerce Partners Corp.(10)
|
5,542
|
55
|
|
Solarius Capital Acquisition Corp. Class A(10)
|
28,293
|
288
|
|
Soren Acquisition Corp.(10)
|
8,840
|
88
|
|
Soulpower Acquisition Corp. Class A(10)
|
25,026
|
257
|
|
Space Asset Acquisition Corp.(10)
|
2,760
|
28
|
|
SPACSphere Acquisition Corp.(10)
|
22,024
|
222
|
|
Spring Valley Acquisition Corp. III(10)
|
3,323
|
34
|
|
Starry Sea Acquisition Corp.(10)
|
16,554
|
168
|
|
Stellar V Capital Corp. Class A(10)
|
9,672
|
101
|
|
Thayer Ventures Acquisition Corp. II Class A(10)
|
24,882
|
255
|
|
Titan Acquisition Corp. Class A(10)
|
24,971
|
258
|
|
Translational Development Acquisition Corp.(10)
|
8,748
|
92
|
|
UY Scuti Acquisition Corp.(10)
|
4,727
|
49
|
|
Vendome Acquisition Corp. I Class A(10)
|
22,892
|
232
|
|
Viking Acquisition Corp. I(10)
|
3,293
|
33
|
|
Wen Acquisition Corp. Class A(10)
|
30,603
|
312
|
|
Westin Acquisition Corp. Class A(10)
|
9,985
|
100
|
|
White Pearl Acquisition Corp.(10)
|
12,984
|
131
|
|
White Pearl Acquisition Corp. Class A(10)
|
10,973
|
108
|
|
Wintergreen Acquisition Corp.(10)
|
11,286
|
116
|
|
Yorkville Acquisition Corp. Class A(10)
|
24,256
|
245
|
|
Total Special Purpose Acquisition Companies
(Identified Cost $26,546)
|
27,056
|
|
|
|
Shares
|
Value
|
|
Purchased Options—0.4%
|
||
|
(See open purchased options schedule)
|
|
|
|
Total Purchased Options
(Premiums Paid $585)
|
$517
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
||
|
Escrow Notes—1.7%
|
||
|
Financials—1.7%
|
|
|
|
Altaba, Inc. Escrow(9)(10)
|
1,637,713
|
2,211
|
|
Pershing Square Escrow(9)(10)
|
44,373
|
—
|
|
|
|
2,211
|
|
|
|
|
|
|
||
|
Total Escrow Notes
(Identified Cost $1,817)
|
2,211
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
||
|
Total Long-Term Investments—86.8%
(Identified Cost $112,476)
|
112,223
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
||
|
Securities Lending Collateral—0.4%
|
||
|
Dreyfus Government Cash Management Fund -
Institutional Shares (seven-day effective yield
3.531%)(8)(13)
|
507,389
|
507
|
|
Total Securities Lending Collateral
(Identified Cost $507)
|
507
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
||
|
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT AND
WRITTEN OPTIONS—87.2%
(Identified Cost $112,983)
|
112,730
|
|
|
Securities Sold Short—(1.2)%
|
|
|
|
|
|
Common Stocks—(1.2)%
|
||
|
Energy—(0.7)%
|
|
|
|
Devon Energy Corp.
|
(16,395
)
|
(825)
|
|
Health Care—(0.0)%
|
|
|
|
Boston Scientific Corp.(10)
|
(430
)
|
(27)
|
|
Industrials—(0.5)%
|
|
|
|
Cintas Corp.
|
(796
)
|
(135)
|
|
Union Pacific Corp.
|
(2,102
)
|
(510)
|
|
|
|
(645
)
|
|
|
|
|
|
|
||
|
Total Securities Sold Short
(Identified Proceeds $(1,439))
|
(1,497
)
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
||
|
Written Options—(1.1)%
|
||
|
(See open written options schedule)
|
|
|
|
Total Written Options
(Premiums Received $2,114)
|
(1,476
)
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
||
|
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT AND
WRITTEN OPTIONS—84.9%
(Identified Cost $109,430)
|
$109,757
|
|
|
Other assets and liabilities, net—15.1%
|
19,455
|
|
|
NET ASSETS—100.0%
|
$129,212
|
|
|
Abbreviations:
|
|
|
ETF
|
Exchange-Traded Fund
|
|
LLC
|
Limited Liability Company
|
|
OBFR
|
Overnight Bank Funding Rate
|
|
plc
|
Public Limited Company
|
|
S&P
|
Standard & Poor’s
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
SPAC
|
Special Purpose Acquisition Company
|
|
SPDR
|
S&P Depositary Receipt
|
|
Footnote Legend:
|
|
|
(1)
|
Par Value disclosed in foreign currency is reported in thousands.
|
|
(2)
|
Security exempt from registration under Rule 144A of the Securities Act of 1933.
These securities may be resold in transactions exempt from registration,
normally to qualified institutional buyers. At March 31, 2026, these securities
amounted to a value of $15,353 or 11.9% of net assets.
|
|
(3)
|
All or a portion of the shares have been committed as collateral for open
securities sold short and written option contracts. The value of securities
segregated as collateral is $14,962.
|
|
(4)
|
No contractual maturity date.
|
|
(5)
|
All or a portion of security is on loan.
|
|
(6)
|
Regulation S security. Security is offered and sold outside of the United States;
therefore, it is exempt from registration with the SEC under Rules 903 and 904 of
the Securities Act of 1933.
|
|
(7)
|
Variable rate security. Rate disclosed is as of March 31, 2026. Information in
parenthesis represents benchmark and reference rate for each security. Certain
variable rate securities are not based on a published reference rate and spread but
are determined by the issuer or agent and are based on current market
conditions, or, for mortgage-backed securities, are impacted by the individual
mortgages which are paying off over time. These securities do not indicate a
reference rate and spread in their descriptions.
|
|
(8)
|
Shares of this fund are publicly offered, and its prospectus and annual report are
publicly available.
|
|
(9)
|
The value of this security was determined using significant unobservable inputs
and is reported as a Level 3 security in the Fair Value Hierarchy table located after
the Schedule of Investments.
|
|
(10)
|
Non-income producing.
|
|
(11)
|
Delisted security. As of March 31, 2026, the common stock is classified as a
Level 3 investment due to the absence of observable market inputs and had a cost
of $10,640 and its market value represents 9.1% of total net assets. The security
was delisted on March 24, 2025 and is currently subject to appraisal rights
proceedings in connection with an acquisition. Due to the uncertainty of fair
valuation in the absence of an active market and the pending legal proceedings,
the fair value of the security may differ materially from the presented estimated
fair value.
|
|
(12)
|
Amount is less than $500 (not in thousands).
|
|
(13)
|
Represents security purchased with cash collateral received for securities on
loan.
|
|
Counterparties:
|
|
|
BAML
|
Bank of America-Merrill Lynch
|
|
GS
|
Goldman Sachs & Co.
|
|
JPM
|
JPMorgan Chase Bank N.A.
|
|
Foreign Currencies:
|
|
|
EUR
|
Euro
|
|
GBP
|
United Kingdom Pound Sterling
|
|
JPY
|
Japanese Yen
|
|
USD
|
United States Dollar
|
|
Country Weightings†
|
|
|
United States
|
69
%
|
|
Cayman Islands
|
22
|
|
Jersey
|
4
|
|
Canada
|
3
|
|
Virgin Islands(British)
|
1
|
|
Bermuda
|
1
|
|
Total
|
100
%
|
|
†% of total investments, net of securities sold short and written options, as of
March 31, 2026.
|
|
|
Open purchased options contracts as of March 31, 2026 were as follows:
|
|||||
|
Description of Options
|
Number
of
Contracts
|
Contract
Notional
Amount
|
Strike
Price(1)
|
Expiration
Date
|
Value
|
|
Put Options(2)
|
|
|
|
|
|
|
Aptiv plc
|
465
|
$3,255
|
$70.00
|
05/15/26
|
$198
|
|
Aptiv plc
|
77
|
501
|
65.00
|
05/15/26
|
17
|
|
Barrick Mining Corp.
|
293
|
1,055
|
36.00
|
05/15/26
|
32
|
|
Barrick Mining Corp.
|
290
|
1,102
|
38.00
|
05/15/26
|
49
|
|
Barrick Mining Corp.
|
169
|
541
|
32.00
|
05/15/26
|
6
|
|
Caesars Entertainment, Inc.
|
451
|
1,037
|
23.00
|
06/18/26
|
48
|
|
Caesars Entertainment, Inc.
|
604
|
1,087
|
18.00
|
06/18/26
|
23
|
|
Clearwater Analytics Holdings, Inc.
|
1
|
2
|
17.50
|
06/18/26
|
—
(3)
|
|
FedEx Corp.
|
21
|
504
|
240.00
|
04/17/26
|
—
(3)
|
|
FedEx Corp.
|
54
|
1,620
|
300.00
|
05/15/26
|
13
|
|
Honeywell International, Inc.
|
130
|
2,600
|
200.00
|
05/15/26
|
27
|
|
Keurig Dr Pepper, Inc.
|
1,205
|
2,892
|
24.00
|
04/17/26
|
15
|
|
Keurig Dr Pepper, Inc.
|
243
|
559
|
23.00
|
06/18/26
|
10
|
|
Kraft Heinz Co. (The)
|
240
|
480
|
20.00
|
04/17/26
|
2
|
|
L3Harris Technologies, Inc.
|
19
|
570
|
300.00
|
04/17/26
|
2
|
|
L3Harris Technologies, Inc.
|
19
|
589
|
310.00
|
05/15/26
|
10
|
|
State Street SPDR S&P 500® ETF Trust
|
77
|
4,735
|
615.00
|
05/15/26
|
65
|
|
Total Purchased Options
|
|
$517
|
|||
|
Footnote Legend:
|
|
|
|
|
|
|
(1) Strike price not reported in thousands.
|
|
|
|
|
|
|
(2) Unless otherwise noted, options are exchange-traded.
|
|
|
|
|
|
|
(3) Amount is less than $500 (not in thousands).
|
|
|
|
|
|
|
Open written options contracts as of March 31, 2026 were as follows:
|
|||||
|
Description of Options
|
Number
of
Contracts
|
Contract
Notional
Amount
|
Strike
Price(1)
|
Expiration
Date
|
Value
|
|
Call Options(2)
|
|
|
|
|
|
|
Aptiv plc
|
(542)
|
$(4,200
)
|
$77.50
|
05/15/26
|
$(75
)
|
|
Barrick Mining Corp.
|
(169)
|
(625
)
|
37.00
|
05/15/26
|
(89
)
|
|
Barrick Mining Corp.
|
(290)
|
(1,247
)
|
43.00
|
05/15/26
|
(62
)
|
|
Barrick Mining Corp.
|
(293)
|
(1,172
)
|
40.00
|
05/15/26
|
(101
)
|
|
Caesars Entertainment, Inc.
|
(451)
|
(1,218
)
|
27.00
|
06/18/26
|
(93
)
|
|
Caesars Entertainment, Inc.
|
(604)
|
(1,329
)
|
22.00
|
06/18/26
|
(338
)
|
|
Chart Industries, Inc.
|
(1)
|
(21
)
|
210.00
|
06/18/26
|
(—
) (3)
|
|
DigitalBridge Group, Inc.
|
(1,234)
|
(1,974
)
|
16.00
|
04/17/26
|
(6
)
|
|
DigitalBridge Group, Inc.
|
(23)
|
(37
)
|
16.00
|
06/18/26
|
(—
) (3)
|
|
Electronic Arts, Inc.
|
(4)
|
(84
)
|
210.00
|
06/18/26
|
(—
) (3)
|
|
FedEx Corp.
|
(21)
|
(588
)
|
280.00
|
04/17/26
|
(162
)
|
|
FedEx Corp.
|
(54)
|
(1,782
)
|
330.00
|
05/15/26
|
(189
)
|
|
Honeywell International, Inc.
|
(130)
|
(2,990
)
|
230.00
|
05/15/26
|
(85
)
|
|
Keurig Dr Pepper, Inc.
|
(1,205)
|
(3,254
)
|
27.00
|
04/17/26
|
(48
)
|
|
Keurig Dr Pepper, Inc.
|
(243)
|
(632
)
|
26.00
|
06/18/26
|
(43
)
|
|
L3Harris Technologies, Inc.
|
(19)
|
(627
)
|
330.00
|
04/17/26
|
(39
)
|
|
L3Harris Technologies, Inc.
|
(19)
|
(646
)
|
340.00
|
05/15/26
|
(39
)
|
|
Masimo Corp.
|
(19)
|
(342
)
|
180.00
|
09/18/26
|
(2
)
|
|
State Street SPDR S&P 500® ETF Trust
|
(51)
|
(3,442
)
|
675.00
|
05/15/26
|
(40
)
|
|
Warner Bros Discovery, Inc.
|
(48)
|
(130
)
|
27.00
|
04/17/26
|
(2
)
|
|
Warner Bros Discovery, Inc.
|
(69)
|
(193
)
|
28.00
|
04/17/26
|
(1
)
|
|
Warner Bros Discovery, Inc.
|
(193)
|
(483
)
|
25.00
|
04/17/26
|
(44
)
|
|
Warner Bros Discovery, Inc.
|
(809)
|
(2,346
)
|
29.00
|
04/17/26
|
(1
)
|
|
Warner Bros Discovery, Inc.
|
(136)
|
(408
)
|
30.00
|
04/17/26
|
(—
) (3)
|
|
|
|
|
|
|
(1,459
)
|
|
Open written options contracts as of March 31, 2026 were as follows (continued):
|
|||||
|
Description of Options
|
Number
of
Contracts
|
Contract
Notional
Amount
|
Strike
Price(1)
|
Expiration
Date
|
Value
|
|
Put Option(2)
|
|
|
|
|
|
|
State Street SPDR S&P 500® ETF Trust
|
(56)
|
$(3,164
)
|
$565.00
|
05/15/26
|
$(17
)
|
|
Total Written Options
|
|
$(1,476
)
|
|||
|
Footnote Legend:
|
|
(1) Strike price not reported in thousands.
|
|
(2) Unless otherwise noted, options are exchange-traded.
|
|
(3) Amount is less than $500 (not in thousands).
|
|
Forward foreign currency exchange contracts as of March 31, 2026 were as follows:
|
|||||||
|
Currency
Purchased
|
Currency
Amount
Purchased
|
Currency
Sold
|
Currency
Amount
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation
|
Unrealized
Depreciation
|
|
JPY
|
175,100
|
USD
|
1,101
|
GS
|
04/22/26
|
$5
|
$—
|
|
USD
|
248
|
EUR
|
210
|
JPM
|
04/01/26
|
6
|
—
|
|
USD
|
2,465
|
GBP
|
1,839
|
GS
|
04/15/26
|
30
|
—
|
|
USD
|
1,112
|
JPY
|
175,100
|
GS
|
04/22/26
|
6
|
—
|
|
USD
|
2,466
|
GBP
|
1,817
|
GS
|
08/12/26
|
63
|
—
|
|
USD
|
589
|
EUR
|
504
|
GS
|
09/15/26
|
2
|
—
|
|
USD
|
228
|
EUR
|
195
|
JPM
|
09/15/26
|
1
|
—
|
|
USD
|
2,180
|
GBP
|
1,611
|
GS
|
11/18/26
|
52
|
—
|
|
Total
|
|
|
|
|
|
$165
|
$—
|
|
Over-the-counter total return swaps outstanding as of March 31, 2026 were as follows:
|
|
|
|
|
|
|
|
|
||||||||||
|
Referenced Entity
|
Pay/Receive
|
Financing Rate(1)
|
Payment
Frequency
|
Counterparty
|
Expiration
Date
|
Notional
Amount
|
Value(2)
|
Unrealized
Appreciation
|
Unrealized
Depreciation
|
|||||||||
|
Long Total Return Swap
Contracts
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
ABIOMED, Inc.(3)
|
Pay
|
6.070% (0.750% + OBFR)
|
1 Month
|
BAML
|
04/03/27
|
$—
(4)
|
|
$7
|
$7
|
$—
|
||||||||
|
Beazley plc
|
Pay
|
4.490% (0.850% + OBFR)
|
1 Month
|
GS
|
02/25/27
|
2,270
|
|
79
|
79
|
—
|
||||||||
|
Bristol-Myers Squibb
Co.(3),(5)
|
Pay
|
4.390% (0.750% + OBFR)
|
1 Month
|
BAML
|
03/02/27
|
—
(4)
|
|
34
|
34
|
—
|
||||||||
|
Cantaloupe, Inc.
|
Pay
|
4.020% (0.380% + OBFR)
|
3 Month
|
JPM
|
10/16/26
|
301
|
|
(1
)
|
—
|
(1
)
|
||||||||
|
Chart Industries, Inc.
|
Pay
|
4.250% (0.610% + OBFR)
|
1 Month
|
GS
|
09/09/26
|
3,565
|
|
140
|
140
|
—
|
||||||||
|
Chart Industries, Inc.
|
Pay
|
4.020% (0.380% + OBFR)
|
3 Month
|
JPM
|
10/19/26
|
1,488
|
|
52
|
52
|
—
|
||||||||
|
CoinShares International
Ltd.
|
Pay
|
4.490% (0.850% + OBFR)
|
1 Month
|
GS
|
11/05/26
|
548
|
|
(290
)
|
—
|
(290
)
|
||||||||
|
Cyberark Software Ltd.
|
Pay
|
4.250% (0.610% + OBFR)
|
1 Month
|
GS
|
03/15/27
|
833
|
|
(1
)
|
—
|
(1
)
|
||||||||
|
Digitalbridge Group, Inc.
Class A
|
Pay
|
4.250% (0.610% + OBFR)
|
1 Month
|
GS
|
04/20/27
|
2,397
|
|
6
|
6
|
—
|
||||||||
|
Electronic Arts, Inc.
|
Pay
|
4.250% (0.610% + OBFR)
|
1 Month
|
GS
|
03/02/27
|
2,564
|
|
(4
)
|
—
|
(4
)
|
||||||||
|
Electronic Arts, Inc.
|
Pay
|
4.020% (0.380% + OBFR)
|
3 Month
|
JPM
|
02/26/27
|
4,314
|
|
58
|
58
|
—
|
||||||||
|
Honeywell International,
Inc.
|
Pay
|
4.250% (0.610% + OBFR)
|
1 Month
|
GS
|
04/26/27
|
2,832
|
|
36
|
36
|
—
|
||||||||
|
Honeywell International,
Inc.
|
Pay
|
4.020% (0.380% + OBFR)
|
3 Month
|
JPM
|
11/30/26
|
51
|
|
17
|
17
|
—
|
||||||||
|
Just Group plc
|
Pay
|
4.490% (0.850% + OBFR)
|
1 Month
|
GS
|
09/03/26
|
2,362
|
|
61
|
61
|
—
|
||||||||
|
Keurig Dr Pepper, Inc.
|
Pay
|
4.250% (0.610% + OBFR)
|
1 Month
|
GS
|
12/07/26
|
3,237
|
|
(41
)
|
—
|
(41
)
|
||||||||
|
Kraft Heinz Co. (The)
|
Pay
|
4.250% (0.610% + OBFR)
|
1 Month
|
GS
|
10/14/26
|
638
|
|
(98
)
|
—
|
(98
)
|
||||||||
|
L3Harris Technologies, Inc.
|
Pay
|
4.250% (0.610% + OBFR)
|
1 Month
|
GS
|
02/23/27
|
1,311
|
|
9
|
9
|
—
|
||||||||
|
Liberty Broadband Corp.
Class A
|
Pay
|
4.020% (0.380% + OBFR)
|
3 Month
|
JPM
|
11/09/26
|
845
|
|
(194
)
|
—
|
(194
)
|
||||||||
|
Norfolk Southern Corp.
|
Pay
|
4.020% (0.380% + OBFR)
|
3 Month
|
JPM
|
12/21/26
|
5,013
|
|
(35
)
|
—
|
(35
)
|
||||||||
|
ProAssurance Corp.
|
Pay
|
4.020% (0.380% + OBFR)
|
3 Month
|
JPM
|
11/30/26
|
2,058
|
|
61
|
61
|
—
|
||||||||
|
Schroders plc
|
Pay
|
3.540% (1.00% + OBFR)
|
1 Month
|
GS
|
03/17/27
|
2,085
|
|
(9
)
|
—
|
(9
)
|
||||||||
|
Sealed Air Corp.
|
Pay
|
4.250% (0.610% + OBFR)
|
1 Month
|
GS
|
03/09/27
|
1,409
|
|
6
|
6
|
—
|
||||||||
|
Over-the-counter total return swaps outstanding as of March 31, 2026 were as follows (continued):
|
|
|
|
|
|
|
|
|
||||||||||
|
Referenced Entity
|
Pay/Receive
|
Financing Rate(1)
|
Payment
Frequency
|
Counterparty
|
Expiration
Date
|
Notional
Amount
|
Value(2)
|
Unrealized
Appreciation
|
Unrealized
Depreciation
|
|||||||||
|
Vivendi S.A.
|
Pay
|
4.250% (0.610% + OBFR)
|
1 Month
|
GS
|
07/22/26
|
$1,337
|
|
$(549
)
|
$—
|
$(549
)
|
||||||||
|
Vivendi SE
|
Pay
|
4.190% (0.550% + OBFR)
|
3 Month
|
JPM
|
03/01/27
|
187
|
|
(54
)
|
—
|
(54
)
|
||||||||
|
Warner Bros Discovery,
Inc. Class A
|
Pay
|
4.250% (0.610% + OBFR)
|
1 Month
|
GS
|
11/30/26
|
9,417
|
|
1,222
|
1,222
|
—
|
||||||||
|
Webster Financial Corp.
|
Pay
|
4.250% (0.610% + OBFR)
|
1 Month
|
GS
|
03/12/27
|
389
|
|
(14
)
|
—
|
(14
)
|
||||||||
|
Webster Financial Corp.
|
Pay
|
4.020% (0.380% + OBFR)
|
3 Month
|
JPM
|
03/25/27
|
651
|
|
(29
)
|
—
|
(29
)
|
||||||||
|
|
|
|
|
|
|
|
|
469
|
1,788
|
(1,319
)
|
||||||||
|
Short Total Return Swap
Contracts
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Banco Santander S.A.
Sponsored ADR
|
Receive
|
3.190% ((0.450)% + OBFR)
|
1 Month
|
GS
|
03/12/27
|
(2,018
)
|
|
102
|
102
|
—
|
||||||||
|
Banco Santander S.A.
Sponsored ADR
|
Receive
|
3.140% ((0.500)% + OBFR)
|
3 Month
|
JPM
|
04/26/27
|
(502
)
|
|
44
|
44
|
—
|
||||||||
|
Boston Scientific Corp.
|
Receive
|
3.290% ((0.350)% + OBFR)
|
1 Month
|
GS
|
04/13/27
|
(282
)
|
|
30
|
30
|
—
|
||||||||
|
Charter Communications,
Inc.
|
Receive
|
3.290% ((0.350)% + OBFR)
|
1 Month
|
GS
|
11/30/26
|
(752
)
|
|
91
|
91
|
—
|
||||||||
|
Cintas Corp.
|
Receive
|
3.290% ((0.350)% + OBFR)
|
1 Month
|
GS
|
04/13/27
|
(2,153
)
|
|
296
|
296
|
—
|
||||||||
|
Devon Energy Corp.
|
Receive
|
3.290% ((0.350)% + OBFR)
|
1 Month
|
GS
|
04/13/27
|
(1,522
)
|
|
(163
)
|
—
|
(163
)
|
||||||||
|
Devon Energy Corp.
|
Receive
|
3.390% ((0.250)% + OBFR)
|
3 Month
|
JPM
|
04/12/27
|
(263
)
|
|
(31
)
|
—
|
(31
)
|
||||||||
|
Kimberly-Clark Corp.
|
Receive
|
3.290% ((0.350)% + OBFR)
|
1 Month
|
GS
|
04/06/27
|
(231
)
|
|
16
|
16
|
—
|
||||||||
|
Pan American Silver Corp.
|
Receive
|
3.390% ((0.250)% + OBFR)
|
3 Month
|
JPM
|
11/30/26
|
(496
)
|
|
(283
)
|
—
|
(283
)
|
||||||||
|
Skyworks Solutions, Inc.
|
Receive
|
3.290% ((0.350)% + OBFR)
|
1 Month
|
GS
|
03/18/27
|
(678
)
|
|
71
|
71
|
—
|
||||||||
|
Skyworks Solutions, Inc.
|
Receive
|
3.390% ((0.250)% + OBFR)
|
3 Month
|
JPM
|
03/29/27
|
(155
)
|
|
15
|
15
|
—
|
||||||||
|
Transocean Ltd.
|
Receive
|
3.290% ((0.350)% + OBFR)
|
1 Month
|
GS
|
04/13/27
|
(464
)
|
|
(41
)
|
—
|
(41
)
|
||||||||
|
Union Pacific Corp.
|
Receive
|
3.290% ((0.350)% + OBFR)
|
1 Month
|
GS
|
12/29/26
|
(3,294
)
|
|
(144
)
|
—
|
(144
)
|
||||||||
|
Union Pacific Corp.
|
Receive
|
3.390% ((0.250)% + OBFR)
|
3 Month
|
JPM
|
04/12/27
|
(2,372
)
|
|
(49
)
|
—
|
(49
)
|
||||||||
|
Universal Music Group N.V.
|
Receive
|
3.370% ((0.270)% + OBFR)
|
1 Month
|
GS
|
09/03/26
|
(831
)
|
|
249
|
249
|
—
|
||||||||
|
VICI Properties, Inc.
|
Receive
|
3.290% ((0.350)% + OBFR)
|
1 Month
|
GS
|
03/03/27
|
(12
)
|
|
—
(4)
|
—
(4)
|
—
|
||||||||
|
|
|
|
|
|
|
|
|
203
|
914
|
(711
)
|
||||||||
|
Total
|
|
|
|
|
|
|
|
$672
|
$2,702
|
$(2,030
)
|
||||||||
|
Footnote Legend:
|
|
|
(1)
|
The Fund pays the floating rate (+/- a spread) and receives the total return of the
reference entity.
|
|
(2)
|
There were no upfront premiums paid or received for the open swap contracts held.
|
|
(3)
|
The value of this security was determined using significant unobservable inputs and
is reported as a Level 3 security in the Fair Value Hierarchy table located after
the Schedule
of Investments.
|
|
(4)
|
Amount is less than $500 (not in thousands).
|
|
(5)
|
Security held is the direct result of a corporate action. There is no associated financing
rate and the security is held with a zero cost basis.
|
|
|
Total
Value at
March 31, 2026
|
Level 1
Quoted Prices
|
Level 2
Significant
Observable
Inputs
|
Level 3
Significant
Unobservable
Inputs
|
|
Assets:
|
|
|
|
|
|
Debt Instruments:
|
|
|
|
|
|
Convertible Bonds and Notes
|
$723
|
$—
|
$723
|
$—
|
|
Corporate Bonds and Notes
|
17,978
|
—
|
17,978
|
—
|
|
Leveraged Loans
|
2,493
|
—
|
2,493
|
—
|
|
Equity Securities:
|
|
|
|
|
|
Closed-End Funds
|
3,191
|
3,191
|
—
|
—
|
|
Preferred Stocks
|
1,030
|
1,030
|
—
|
—
|
|
Common Stocks
|
56,084
|
44,149
|
75
|
11,860
(1)
|
|
Rights
|
877
|
620
|
—
|
257
|
|
Warrants
|
63
|
60
|
3
|
—
(1)
|
|
Special Purpose Acquisition Companies
|
27,056
|
26,565
|
491
|
—
|
|
Escrow Notes
|
2,211
|
—
|
—
|
2,211
(1)
|
|
Securities Lending Collateral
|
507
|
507
|
—
|
—
|
|
Other Financial Instruments:
|
|
|
|
|
|
Purchased Options
|
517
|
502
|
15
|
—
|
|
Forward Foreign Currency Exchange Contracts*
|
165
|
—
|
165
|
—
|
|
Over-the-Counter Total Return Swaps*
|
2,702
|
—
|
2,661
|
41
|
|
Total Assets
|
115,597
|
76,624
|
24,604
|
14,369
|
|
Liabilities:
|
|
|
|
|
|
Securities Sold Short:
|
|
|
|
|
|
Common Stocks
|
(1,497
)
|
(1,497
)
|
—
|
—
|
|
Other Financial Instruments:
|
|
|
|
|
|
Written Options
|
(1,476
)
|
(1,476
)
|
—
|
—
|
|
Over-the-Counter Total Return Swaps*
|
(2,030
)
|
—
|
(2,030
)
|
—
|
|
Total Liabilities
|
(5,003
)
|
(2,973
)
|
(2,030
)
|
—
|
|
Total Investments, Net of Securities Sold Short and Written
Options
|
$110,594
|
$73,651
|
$22,574
|
$14,369
|
|
(1)
|
Includes internally fair valued securities currently priced at zero ($0).
|
|
*
|
Swap contracts and forward currency exchange contracts are valued at the net unrealized
appreciation (depreciation) on the instrument by level and counterparty.
|
|
|
Total
|
Common
stocks
|
Rights
|
Warrants
|
Escrow
Notes
|
Over-the-Counter
Total Return Swaps
|
|
Investments in Securities
|
|
|
|
|
|
|
|
Balance as of December 31, 2025:
|
$}12,086
|
$11,788
(a)
|
$257
|
$—
(a)
|
$—
(a)
|
$41
|
|
Net change in unrealized appreciation (depreciation)(b)
|
72
|
72
|
—
|
—
|
—
|
—
|
|
Purchases
|
—
(c)
|
—
(c)
|
—
|
—
|
—
|
—
|
|
Transfers into Level 3(d)
|
2,211
|
—
|
—
|
—
|
2,211
|
—
|
|
Balance as of March 31, 2026
|
$14,369
|
$11,860
(a)
|
$257
|
$—
(a)
|
$2,211
(a)
|
$41
|
|
Investments in
Securities – Assets
|
Ending
Balance
at March 31, 2026
|
Valuation Technique
Used
|
Unobservable
Inputs
|
Input
Values
|
Impact to Valuation
from an Increase in
Unobservable Inputs(a)
|
|
Common Stocks:
|
|
|
|
|
|
|
Endeavor Group
Holdings, Inc.
Class A
|
$11,788
|
Market Approach
|
Spread (parent and
subsidiary ownership)
|
8.1015 (6.8131 - 8.9796)
|
Decrease
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|