Merger Fund VL NCSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-21279

The Merger Fund VL
(Exact name of registrant as specified in charter)

100 Summit Lake Drive

Valhalla, New York 10595

(Address of principal executive offices) (Zip code)

Roy Behren and Michael T. Shannon

100 Summit Lake Drive

Valhalla, New York 10595
(Name and address of agent for service)

914-741-5600

Registrant's telephone number, including area code

Date of fiscal year end: December 31, 2020

Date of reporting period: June 30, 2020

Item 1. Reports to Stockholders.

June 30, 2020

Semi-Annual Report

THE MERGER FUND VL

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, at the election of your insurance company, paper copies of the Fund’s shareholder reports may no longer be sent by mail, unless you specifically request paper copies of the reports from your insurance company. Instead, the reports will be made available free of charge on a website, and if you have not previously elected electronic delivery of your shareholder reports, you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from your insurance company electronically by contacting your insurance company. You may elect to receive all future reports in paper free of charge. You can inform your insurance company that you wish to continue receiving paper copies of your shareholder reports by contacting your insurance company. Your election to receive reports in paper will apply to all funds held in your account with your insurance company.

DEAL COMPOSITION

The Merger Fund VL (Unaudited)

Type of Buyer		Deal Terms*
Strategic	91.1%	Cash	65.3%
Financial	8.9%	Stock with Fixed Exchange Ratio	17.7%
		Stock and Stub⁽¹⁾	9.0%
By Deal Type		Cash & Stock	6.2%
Friendly	100.0%	Risk Reversal	1.6%
Hostile	—%	Undetermined⁽²⁾	0.2%
		Stock with Flexible
		Exchange Ratio (Collar)	—%	**

*	Data expressed as a percentage of long common stock, corporate bonds and swap contract positions as of June 30, 2020.
**	Less than 0.05%.
⁽¹⁾	“Stub” includes assets other than cash and stock (e.g., escrow notes).
⁽²⁾	The compensation is undetermined because the compensation to be received (e.g., stock, cash, escrow notes, other) will be determined at a later date, potentially at the option of the Fund’s investment adviser.

PORTFOLIO COMPOSITION*

The Merger Fund VL (Unaudited)

By Sector

By Region

Data expressed as a percentage of long common stocks, preferred stocks, contingent value rights, rights, warrants, bank loans, corporate bonds and swap contract positions as of June 30, 2020. Data expressed excludes special purpose acquisition companies, escrow notes, short- term investments, securities sold short, written and purchased options, forward currency exchange contracts and short total return swap contracts. Please refer to the Schedule of Investments for more details on the Fund’s individual holdings.

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 (“Fund Services”).

The Merger Fund VL

EXPENSE EXAMPLE

June 30, 2020 (Unaudited)

As a shareholder of The Merger Fund VL (the “Fund”), you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, and other Fund specific expenses. The expense example is intended to help a shareholder understand ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the most recent six-month period.

The Actual Expenses comparison provides information about actual account values and actual expenses. A shareholder may use the information in this line, together with the amount invested, to estimate the expenses paid over the period. A shareholder may divide his/her account value by $1,000 (e.g., an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses paid on his/her account during this period. The example below includes, among other fees, management fees, fund accounting, custody and transfer agent fees. However, the example does not include portfolio trading commissions and related expenses or extraordinary expenses. In addition, charges and expenses at the insurance company separate account level are not reflected.

The Hypothetical Example for Comparison Purposes provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid for the period. A shareholder may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, a shareholder would compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

The expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemptions fees, or exchange fees. Therefore, the Hypothetical Example for Comparison Purposes is useful in comparing ongoing costs only, and will not help to determine the relevant total costs of owning different funds. In addition, if these transactional costs were included, shareholder costs would have been higher.

The Merger Fund VL

EXPENSE EXAMPLE (continued)

June 30, 2020 (Unaudited)

	Annualized	Beginning	Ending	Expenses Paid
	Net Expense	Account	Account	During Period
	Ratio	Value	Value	1/1/20 —
	6/30/20	1/1/20	6/30/20	6/30/20⁽¹⁾
Actual Expenses⁽²⁾⁽³⁾	1.44%	$1,000.00	$1,001.80	$7.17
Hypothetical Example
for Comparison Purposes
(5% return before
expenses)⁽³⁾	1.44%	$1,000.00	$1,017.70	$7.22

(1)	Expenses are equal to the Fund’s annualized net expense ratio, multiplied by the average account value over the period, multiplied by 182/366 to reflect the one-half year period.
(2)	Based on the actual returns of 0.18% for the six-month period ended June 30, 2020.
(3)	Excluding dividends on securities sold short and borrowing expenses on securities sold short, your actual cost of investment in and your hypothetical cost of investment in the Fund would have been $6.97 and $7.02, respectively.

The Merger Fund VL

SCHEDULE OF INVESTMENTS

June 30, 2020 (Unaudited)

	Shares		Value
LONG INVESTMENTS — 95.95%

COMMON STOCKS — 42.47%

A/C HEATING & FRIDGE EQUIPMENT — 0.06%
Carrier Global Corporation (j)		1,329	$	29,530

AIR FREIGHT & LOGISTICS — 1.31%
XPO Logistics, Inc. (a)(j)		8,100		625,725

APPLICATION SOFTWARE — 2.39%
LogMeIn, Inc. (e)		13,474		1,142,191

ASSET MANAGEMENT
& CUSTODY BANKS — 2.51%
Legg Mason, Inc.		24,091		1,198,527

AUTO PARTS & EQUIPMENT — 1.81%
Delphi Technologies plc (a)(b)		60,679		862,249

BIOTECHNOLOGY — 0.31%
Portola Pharmaceuticals, Inc. (a)		8,119		146,061

BROADCASTING — 0.07%
Fox Corporation Class A (j)		1,212		32,506

CASINOS & GAMING — 2.13%
Caesars Entertainment Corporation (a)		83,909		1,017,816

CHEMICALS — 0.34%
DuPont de Nemours, Inc. (e)(j)		3,100		164,703

ELECTRIC UTILITIES — 1.81%
El Paso Electric Company		12,920		865,640

ELECTRONIC EQUIPMENT
& INSTRUMENTS — 0.43%
Fitbit, Inc. Class A (a)(j)		31,591		204,078

ELEVATOR & MOVING STAIRWAY — 0.24%
Otis Worldwide Corporation (j)		2,014		114,516

ENVIRONMENTAL
& FACILITIES SERVICES — 1.66%
Advanced Disposal Services, Inc. (a)(e)		26,249		791,932

HEALTH CARE EQUIPMENT — 5.23%
Wright Medical Group N.V. (a)(b)(e)		84,120		2,500,046

INSURANCE BROKERS — 4.86%
Willis Towers Watson plc (b)		11,786		2,321,253

The accompanying notes are an integral part of these financial statements.

The Merger Fund VL

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares		Value
INTEGRATED TELECOMMUNICATION
SERVICES — 0.22%
Cincinnati Bell, Inc. (a)		7,051	$	104,707

INTERACTIVE MEDIA & SERVICES — 1.15%
Bitauto Holdings Ltd. — ADR (a)(j)		600		9,510
IAC/InterActiveCorp (a)(j)		1,671		540,402
				549,912
INVESTMENT BANKING & BROKERAGE — 7.64%
E*TRADE Financial Corporation		40,910		2,034,454
TD Ameritrade Holdings Corporation		44,345		1,613,271
				3,647,725
IT CONSULTING & OTHER SERVICES — 0.09%
Grid Dynamics Holdings, Inc. (a)		5,904		40,738

LIFE & HEALTH INSURANCE — 0.02%
Genworth Financial, Inc. Class A (a)		4,159		9,607

LIFE SCIENCES TOOLS & SERVICES — 0.23%
Qiagen N.V. (a)(b)		2,525		108,095

PACKAGED FOOD — 0.24%
Whole Earth Brands, Inc. (a)		14,310		115,482

REITs — 2.18%
Broadmark Realty Capital, Inc.		2,814		26,649
Taubman Centers, Inc.		26,888		1,015,291
				1,041,940
SPECIALTY STORES — 4.77%
Tiffany & Company (e)		18,692		2,279,303

SYSTEMS SOFTWARE — 0.77%
Forescout Technologies, Inc. (a)		17,431		369,537
TOTAL COMMON STOCKS (Cost $20,546,925)				20,283,819

	Shares/Units
SPECIAL PURPOSE
ACQUISITION COMPANIES — 7.71% (a)
CC Neuberger Principal Holdings I (b)		21,168		224,381
CF Finance Acquisition Corporation Class A		5,184		56,246
Collier Creek Holdings Class A (b)		7,946		108,860
Flying Eagle Acquisition Corporation Class A		7,960		87,401
Fortress Value Acquisition Corporation		13,652		140,616
Fusion Acquisition Corporation		22,970		233,375
GigCapital3, Inc.		4,800		48,192

The accompanying notes are an integral part of these financial statements.

The Merger Fund VL

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares/Units		Value
Gores Holdings IV, Inc. Class A		3,256	$	33,016
Hudson Executive Investment Corporation		34,654		355,204
InterPrivate Acquisition Corporation		7,048		69,916
Jaws Acquisition Corporation (b)		3,880		40,468
Juniper Industrial Holdings, Inc. Class A		40,644		405,221
Kensington Capital Acquisition Corporation		22,970		230,159
Leo Holdings Corporation Class A (b)		8,873		92,279
LGL Systems Acquisition Corporation Class A		14,098		139,783
Longview Acquisition Corporation		27,085		273,559
Monocle Acquisition Corporation		4,405		45,239
Oaktree Acquisition Corporation Class A (b)		1,341		13,638
Orisun Acquisition Corporation		2,514		25,467
Pivotal Investment Corporation II Class A		21,879		222,072
Schultze Special Purpose
Acquisition Corporation		4,504		46,076
Social Capital Hedosophia
Holdings Corporation III (b)		2,590		30,743
Software Acquisition Group, Inc. Class A		8,658		87,013
Spartan Energy Acquisition
Corporation Class A		11,639		124,770
Subversive Capital Acquisition
Corporation Class A (b)(f)		34,893		347,185
Trident Acquisitions Corporation (f)		9,377		104,085
Tottenham Acquisition I Ltd. (b)(f)		976		10,599
Tuscan Holdings Corporation		8,621		88,193
TOTAL SPECIAL PURPOSE
ACQUISITION COMPANIES (Cost $3,522,749)				3,683,756

	Shares
PREFERRED STOCKS — 0.22% (a)
WESCO International, Inc., 10.625%, Series A		3,965		105,148
TOTAL PREFERRED STOCKS (Cost $105,267)				105,148

CONTINGENT VALUE RIGHTS — 0.09% (a)(f)
Alder Biopharmaceuticals, Inc.		31,310		43,051
Media General, Inc. (e)		8,397		420
TOTAL CONTINGENT VALUE RIGHTS (Cost $0)				43,471

RIGHTS — 0.05% (a)
Bristol-Myers Squibb Company		6,945		24,863
TOTAL RIGHTS (Cost $24,452)				24,863

The accompanying notes are an integral part of these financial statements.

The Merger Fund VL

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares		Value
WARRANTS — 0.50% (a)
Akazoo S.A.
Expiration: December 2024,
Exercise Price: $11.50 (b)(d)(g)		2,642	$	—
CF Finance Acquisition Corporation Class A
Expiration: April 2025,
Exercise Price: $11.50		3,888		5,249
Collier Creek Holdings Class A
Expiration: November 2023,
Exercise Price: $11.50 (b)		3,800		12,350
Flying Eagle Acquisition Corporation Class A
Expiration: February 2027,
Exercise Price: $11.50		1,990		5,970
Gores Holdings IV, Inc. Class A
Expiration: January 2025,
Exercise Price: $11.50		814		1,465
Graf Industrial Corporation
Expiration: December 2025,
Exercise Price: $11.50		46,538		106,107
Grid Dynamics Holdings, Inc.
Expiration: September 2023,
Exercise Price: $11.50		2,952		4,723
International General Insurance Holdings Ltd.
Expiration: March 2025,
Exercise Price: $11.50 (b)		4,193		1,425
InterPrivate Acquisition Corporation
Expiration: October 2024,
Exercise Price: $11.50		3,524		2,114
Juniper Industrial Holdings, Inc. Class A
Expiration: November 2026,
Exercise Price: $11.50		20,322		17,680
KLDiscovery, Inc.
Expiration: December 2025,
Exercise Price: $11.50 (f)		2,000		420
LGL Systems Acquisition Corporation Class A
Expiration: November 2026,
Exercise Price: $11.50		7,049		6,415
Monocle Acquisition Corporation
Expiration: June 2024,
Exercise Price: $11.50		4,405		2,867

The accompanying notes are an integral part of these financial statements.

The Merger Fund VL

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares		Value
Open Lending Corporation
Expiration: June 2025,
Exercise Price: $11.50		2,037	$	8,148
Pivotal Investment Corporation II Class A
Expiration: June 2025,
Exercise Price: $11.50		7,293		5,761
Repay Holdings Corporation
Expiration: July 2024,
Exercise Price: $11.50		10,600		34,662
Software Acquisition Group, Inc. Class A
Expiration: October 2026,
Exercise Price: $11.50		4,329		3,897
Tuscan Holdings Corporation
Expiration: April 2026,
Exercise Price: $11.50		8,621		5,043
Whole Earth Brands, Inc.
Expiration: June 2025,
Exercise Price: $11.50		10,732		12,235
TOTAL WARRANTS (Cost $93,375)				236,531

	Principal
	Amount
BANK LOANS — 2.70% (f)(i)
Avaya Holdings Corporation
4.435% (3 Month U.S.
LIBOR + 4.250%), 12/15/2024	$	229,252		212,058
Cengage Learning Holdings II, Inc.
5.250% (3 Month U.S.
LIBOR + 4.250%), 6/7/2023		201,317		164,576
Flavors Holdings, Inc.
7.200% (3 Month U.S.
LIBOR + 5.750%), 10/7/2020		129,000		128,355
McGraw-Hill Global Education Holdings LLC
5.000% (3 Month U.S.
LIBOR + 4.000%), 5/4/2022		158,200		134,866
Refinitiv U.S. Holdings, Inc.
3.428% (1 Month U.S.
LIBOR + 3.250%), 10/1/2025		432,113		423,473

The accompanying notes are an integral part of these financial statements.

The Merger Fund VL

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Principal
	Amount		Value
RentPath LLC
0.000% (3 Month U.S.
LIBOR + 4.750%), 12/17/2021 (l)	$	305,000	$	215,025
8.000% (1 Month U.S.
LIBOR + 7.000%), 12/14/2025		14,246		13,142
TOTAL BANK LOANS (Cost $1,408,378)				1,291,495

CORPORATE BONDS — 2.78% (f)
CEC Entertainment, Inc.
8.000%, 2/15/2022 (l)		105,000		11,550
Cincinnati Bell, Inc.
7.000%, 7/15/2024 (h)		56,000		57,294
8.000%, 10/15/2025 (h)		181,000		189,579
EIG Investors Corporation
10.875%, 2/1/2024		112,000		109,048
Global A&T Electronics Ltd.
8.500%, 1/12/2023 (b)		113,000		107,508
Nielsen Finance LLC / Nielsen Finance Company
5.000%, 4/15/2022 (h)		163,000		162,706
Refinitiv U.S. Holdings, Inc.
8.250%, 11/15/2026 (h)		378,000		409,746
Stars Group Holdings BV /
Stars Group US Co-Borrower LLC
7.000%, 7/15/2026 (b)(h)		80,000		84,515
T-Mobile USA, Inc.
6.500%, 1/15/2024		145,000		148,598
6.375%, 3/1/2025		45,000		46,283
TOTAL CORPORATE BONDS (Cost $1,429,945)				1,326,827

	Contracts
	(100 shares		Notional
	per contract)		Amount
PURCHASED PUT OPTIONS — 0.08% (a)
BorgWarner, Inc.
Expiration: August 2020,
Exercise Price: $22.50		13	$	45,890	162
DuPont de Nemours, Inc.
Expiration: August 2020,
Exercise Price: $42.50		9		47,817	666
Expiration: September 2020,
Exercise Price: $40.00		22		116,886	1,782

The accompanying notes are an integral part of these financial statements.

The Merger Fund VL

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Contracts
	(100 shares		Notional
	per contract)		Amount		Value
Fox Corporation Class A
Expiration: July 2020,
Exercise Price: $25.00		12	$	32,184	$	600
IAC/InterActiveCorp
Expiration: July 2020,
Exercise Price: $200.00		16		517,440		240
Otis Worldwide Corporation
Expiration: September 2020,
Exercise Price: $45.00		7		39,802		823
SPDR S&P 500 ETF Trust
Expiration: July 2020,
Exercise Price: $240.00		25		770,900		563
Expiration: July 2020,
Exercise Price: $280.00		25		770,900		2,950
Expiration: July 2020,
Exercise Price: $305.00		39		1,202,604		21,060
XPO Logistics, Inc.
Expiration: August 2020,
Exercise Price: $55.00		81		625,725		9,315
TOTAL PURCHASED OPTIONS (Cost $103,016)						38,161

	Shares
ESCROW NOTES — 5.60% (a)
Allegro Merger Corporation (f)		2,503	64
Altaba, Inc. (f)		124,074	2,672,243
AMR Corporation (d)(g)		7,668	767
TOTAL ESCROW NOTES (Cost $2,062,058)			2,673,074

SHORT-TERM INVESTMENTS — 33.75%

MONEY MARKET FUNDS — 32.30% (c)
Fidelity Institutional Government Portfolio,
Institutional Share Class, 0.06%		2,342,000	2,342,000
First American Government Obligations Fund,
Institutional Share Class, 0.09%		2,342,000	2,342,000
Goldman Sachs Government Fund,
Institutional Share Class, 0.15%		2,342,000	2,342,000
The Government & Agency Portfolio,
Institutional Share Class, 0.09%		2,342,000	2,342,000

The accompanying notes are an integral part of these financial statements.

The Merger Fund VL

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares		Value
JPMorgan U.S. Government Money Market
Fund, Institutional Share Class, 0.15%		2,342,000	$	2,342,000
Morgan Stanley Institutional Liquidity
Fund — Government Portfolio,
Institutional Share Class, 0.05%		2,342,000		2,342,000
Morgan Stanley Institutional Liquidity
Fund — Treasury Portfolio,
Institutional Share Class, 0.06%		1,377,984		1,377,984
				15,429,984

	Principal
	Amount
U.S. TREASURY BILLS — 1.45% (e)(f)(k)
United States Treasury Bills
1.47%, 7/16/2020	$	290,000		289,987
1.47%, 7/23/2020		260,000		259,983
1.12%, 8/27/2020		65,000		64,987
0.27%, 9/10/2020		80,000		79,981
				694,938
TOTAL SHORT-TERM INVESTMENTS
(Cost $16,124,419)				16,124,922
TOTAL LONG INVESTMENTS
(Cost $45,420,584) — 95.95%				45,832,067

The accompanying notes are an integral part of these financial statements.

The Merger Fund VL

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares			Value
SHORT INVESTMENTS — (0.20)%

COMMON STOCKS — (0.20)%

INTERACTIVE MEDIA & SERVICES — (0.03)%
Match Group, Inc.		(156	)	$	(16,700	)

INVESTMENT BANKING
& BROKERAGE — (0.17)%
Morgan Stanley		(1,683	)		(81,289	)
TOTAL COMMON STOCKS
(Proceeds $93,536)					(97,989	)
TOTAL SHORT INVESTMENTS
(Proceeds $93,536) — (0.20)%					(97,989	)
TOTAL NET INVESTMENTS
(Cost $45,327,048) — 95.75%					45,734,078
OTHER ASSETS IN
EXCESS OF LIABILITIES — 4.25%					2,031,679
TOTAL NET ASSETS — 100.00%				$	47,765,757

ETF – Exchange-Traded Fund

LIBOR – London Interbank Offered Rate

plc – Public Limited Company

REITs – Real Estate Investment Trusts

(a)	Non-income producing security.
(b)	Foreign security.
(c)	The rate quoted is the annualized seven-day yield as of June 30, 2020.
(d)	Security fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees.
(e)	All or a portion of the shares have been committed as collateral for open securities sold short, written option contracts, swap contracts, and forward currency exchange contracts.
(f)	Level 2 Security. Please see Note 2 in the Notes to the Financial Statements for more information.
(g)	Level 3 Security. Please see Note 2 in the Notes to the Financial Statements for more information.
(h)	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 June 30, 2020, these securities represent 1.89% of total net assets.
(i)	The coupon rate shown on variable rate securities represents the rate as of June 30, 2020.
(j)	This security is held in connection with a written option contract.
(k)	The rate shown represents yield to maturity.
(l)	Default or other conditions exist and the security is not presently accruing income.

The accompanying notes are an integral part of these financial statements.

The Merger Fund VL

SCHEDULE OF INVESTMENTS (continued)

Open Written Options

June 30, 2020 (Unaudited)

	Contracts
	(100 shares			Notional
	per contract)			Amount			Value
WRITTEN CALL OPTIONS
Bitauto Holdings Ltd.
Expiration: July 2020,
Exercise Price: $17.50		(6	)	$	(9,510	)	$	(30	)
BorgWarner, Inc.
Expiration: August 2020,
Exercise Price: $27.50		(13	)		(45,890	)		(10,725	)
Carrier Global Corporation
Expiration: July 2020,
Exercise Price: $19.00		(5	)		(11,110	)		(1,700	)
Expiration: July 2020,
Exercise Price: $20.00		(8	)		(17,776	)		(2,080	)
DuPont de Nemours, Inc.
Expiration: August 2020,
Exercise Price: $47.50		(9	)		(47,817	)		(6,413	)
Expiration: September 2020,
Exercise Price: $47.50		(22	)		(116,886	)		(16,940	)
Fitbit, Inc. Class A
Expiration: August 2020,
Exercise Price: $7.00		(165	)		(106,590	)		(2,145	)
Fox Corporation Class A
Expiration: July 2020,
Exercise Price: $31.00		(12	)		(32,184	)		(90	)
IAC/InterActiveCorp
Expiration: July 2020,
Exercise Price: $220.00		(16	)		(517,440	)		(165,440	)
Otis Worldwide Corporation
Expiration: July 2020,
Exercise Price: $55.00		(12	)		(68,232	)		(3,540	)
Expiration: July 2020,
Exercise Price: $60.00		(1	)		(5,686	)		(60	)
Expiration: September 2020,
Exercise Price: $55.00		(7	)		(39,802	)		(3,850	)
SPDR S&P 500 ETF Trust
Expiration: July 2020,
Exercise Price: $320.00		(33	)		(1,017,588	)		(5,280	)
Expiration: July 2020,
Exercise Price: $330.00		(21	)		(647,556	)		(798	)
XPO Logistics, Inc.
Expiration: August 2020,
Exercise Price: $65.00		(81	)		(625,725	)		(119,475	)
								(338,566	)

The accompanying notes are an integral part of these financial statements.

The Merger Fund VL

SCHEDULE OF INVESTMENTS (continued)

Open Written Options

June 30, 2020 (Unaudited)

	Contracts
	(100 shares			Notional
	per contract)			Amount			Value
WRITTEN PUT OPTIONS
Fitbit, Inc. Class A
Expiration: August 2020,
Exercise Price: $6.00		(36	)	$	(23,256	)	$	(972	)
SPDR S&P 500 ETF Trust
Expiration: July 2020,
Exercise Price: $260.00		(50	)		(1,541,800	)		(2,075	)
Expiration: July 2020,
Exercise Price: $285.00		(25	)		(770,900	)		(4,075	)
								(7,122	)
TOTAL WRITTEN OPTIONS
(Premiums received $187,940)							$	(345,688	)

ETF – Exchange-Traded Fund

The accompanying notes are an integral part of these financial statements.

The Merger Fund VL

SCHEDULE OF INVESTMENTS (continued)

Forward Currency Exchange Contracts

June 30, 2020 (Unaudited)

										Unrealized
Settlement		Currency to		USD Value at		Currency to		USD Value at		Appreciation
Date	Counterparty	be Delivered		June 30, 2020		be Received		June 30, 2020		(Depreciation)*
7/14/20	JPM	643,070	CAD	$	473,701	463,483	USD	$	463,483	$	(10,218	)
3/17/21	GS	67,704	EUR		76,546	73,922	USD		73,922		(2,624	)
3/17/21	JPM	2,014,722	EUR		2,277,838	2,268,156	USD		2,268,156		(9,682	)
3/17/21	JPM	173,672	USD		173,672	159,335	EUR		180,144		6,472
7/7/20	JPM	193,749	EUR		217,712	215,884	USD		215,884		(1,828	)
8/19/20	GS	29,684	EUR		33,388	33,600	USD		33,600		212
8/19/20	JPM	1,794,014	EUR		2,017,847	2,030,483	USD		2,030,483		12,636
8/20/20	GS	26,044	EUR		29,294	29,478	USD		29,478		184
8/20/20	GS	29,308	USD		29,308	26,044	EUR		29,294		(14	)
8/20/20	JPM	137,606	EUR		154,778	155,733	USD		155,733		955
8/20/20	JPM	155,024	USD		155,024	137,606	EUR		154,778		(246	)
10/8/20	GS	95,568	EUR		107,619	107,772	USD		107,772		153
11/18/20	GS	397,624	EUR		448,266	448,452	USD		448,452		186
7/22/20	GS	427,800	HKD		55,191	55,141	USD		55,141		(50	)
7/22/20	JPM	24,036	HKD		3,101	3,096	USD		3,096		(5	)
11/4/20	JPM	3,619,967	HKD		466,617	466,431	USD		466,431		(186	)
8/13/20	JPM	57,246,100	JPY		530,482	536,228	USD		536,228		5,746

The accompanying notes are an integral part of these financial statements.

The Merger Fund VL

SCHEDULE OF INVESTMENTS (continued)

Forward Currency Exchange Contracts

June 30, 2020 (Unaudited)

										Unrealized
Settlement		Currency to		USD Value at		Currency to		USD Value at		Appreciation
Date	Counterparty	be Delivered		June 30, 2020		be Received		June 30, 2020		(Depreciation)*
9/24/20	JPM	27,042,950	JPY	$	250,760	253,621	USD	$	253,621	$	2,861
9/3/20	JPM	43,610	NZD		28,140	27,612	USD		27,612		(528	)
9/3/20	JPM	14,211	USD		14,211	21,987	NZD		14,188		(23	)
				$	7,543,495			$	7,547,496	$	4,001

CAD – Canadian Dollar

EUR – Euro

GS – Goldman, Sachs & Co.

HKD – Hong Kong Dollar

JPM – JPMorgan Chase & Co., Inc.

JPY – Japanese Yen

NZD – New Zealand Dollar

USD – U.S. Dollar

*	Net unrealized appreciation (depreciation) is a receivable (payable).

The accompanying notes are an integral part of these financial statements.

The Merger Fund VL

SCHEDULE OF INVESTMENTS (continued)

Open Swap Contracts

June 30, 2020 (Unaudited)

Pay/Receive

Unrealized

Counter-

Termination

on Financing

Payment

Notional

Appreciation

party

Security

Date

Rate

Financing Rate

Frequency

Amount

(Depreciation)*

LONG TOTAL RETURN SWAP CONTRACTS

BAML

Bristol-Myers

Squibb Company

11/21/20

Pay

0.000%⁽¹⁾

Monthly

5,135

—

⁽¹⁾

18,383

BAML

Faurecia S.E.

11/14/20

Pay

0.435% +1 Month U.S. LIBOR

Monthly

1,641

76,630

(12,536

)

BAML

Fiat Chrysler

Automobiles N.V.

11/14/20

Pay

0.437% +1 Month U.S. LIBOR

Monthly

44,448

550,454

(103,889

)

GrandVision N.V.

1/7/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

13,991

420,390

(21,992

)

JPM

Groupe Bruxelles

Lambert S.A.

6/11/21

Pay

0.400% +3 Month U.S. LIBOR

Quarterly

1,582

119,715

13,009

JPM

Haudian Fuxin Energy

Corporation Ltd.

6/17/21

Pay

0.400% +3 Month U.S. LIBOR

Quarterly

1,447,987

460,798

2,418

Ingenico Group

5/21/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

4,168

642,511

22,393

JPM

Keihin Corporation

3/12/21

Pay

0.400% +3 Month U.S. LIBOR

Quarterly

7,283

170,431

(242

)

JPM

Line Corporation

11/20/20

Pay

0.400% +3 Month U.S. LIBOR

Quarterly

5,107

242,675

13,600

JPM

Metlifecare Ltd.

3/12/21

Pay

0.400% +1 Month U.S. LIBOR

Quarterly

3,089

12,878

(2,636

)

NetEnt AB

7/1/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

177

1,347

(1,202

)

JPM

Nissin Kogyo

Company Ltd.

3/12/21

Pay

0.400% +3 Month U.S. LIBOR

Quarterly

7,376

148,766

924

BAML

Northview Apartment

Real Estate

Investment Trust

5/4/21

Pay

0.706% +1 Month U.S. LIBOR

Monthly

17,741

438,903

15,513

JPM

Osram Licht AG

12/6/20

Pay

0.400% +3 Month U.S. LIBOR

Quarterly

38,445

1,690,174

71,534

BAML

Osram Licht AG

12/16/20

Pay

0.350% +1 Month U.S. LIBOR

Monthly

1,081

48,914

632

Osram Licht AG

12/17/20

Pay

0.500% +1 Month U.S. LIBOR

Monthly

5,084

230,174

2,829

JPM

Qiagen N.V.

3/3/21

Pay

0.400% +3 Month U.S. LIBOR

Quarterly

46,807

1,927,373

75,796

JPM

RIB Software S.E.

4/22/21

Pay

0.400% +3 Month U.S. LIBOR

Quarterly

6,681

211,930

5,674

JPM

SHOWA Corporation

3/12/21

Pay

0.400% +3 Month U.S. LIBOR

Quarterly

9,441

196,098

(1,529

)

JPM

Wheelock and

Company Ltd.

3/18/21

Pay

0.400% +3 Month U.S. LIBOR

Quarterly

2,003

13,386

2,921

Wheelock and

Company Ltd.

4/20/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

35,650

254,748

35,541

The accompanying notes are an integral part of these financial statements.

The Merger Fund VL

SCHEDULE OF INVESTMENTS (continued)

Open Swap Contracts

June 30, 2020 (Unaudited)

			Pay/Receive								Unrealized
Counter-		Termination	on Financing		Payment			Notional			Appreciation
party	Security	Date	Rate	Financing Rate	Frequency	Shares		Amount			(Depreciation)*
SHORT TOTAL RETURN SWAP CONTRACTS
GS	Acacia
	Communications, Inc.	6/3/21	Pay	(0.350)% + U.S. Federal Funds	Monthly	(1,614	)	$	(109,994	)	$	1,542
JPM	American Airlines
	Group, Inc.	2/25/21	Pay	(0.600)% +3 Month U.S. LIBOR	Quarterly	(70	)		(1,618	)		703
GS	Aon plc	3/19/21	Pay	(0.350)% + U.S. Federal Funds	Monthly	(12,726	)		(2,205,076	)		(246,058	)
JPM	Basket of Swaps	5/11/21	Pay	(0.950)% +1 Month U.S. LIBOR	Quarterly	(1,187	)		(112,892	)		(14,098	)
GS	BorgWarner, Inc.	2/14/21	Pay	(0.350)% + U.S. Federal Funds	Monthly	(24,836	)		(728,272	)		(148,482	)
GS	The Charles Schwab
	Corporation	12/5/20	Pay	(0.350)% + U.S. Federal Funds	Monthly	(47,993	)		(2,030,101	)		410,671
GS	Eldorado Resorts, Inc.	12/20/20	Pay	(3.016)% + U.S. Federal Funds	Monthly	(7,518	)		(379,520	)		78,582
GS	Evolution Gaming
	Group AB	7/1/21	Pay	(0.350)% + U.S. Federal Funds	Monthly	(23	)		(1,365	)		1,219
GS	Morgan Stanley	2/28/21	Pay	(0.350)% + U.S. Federal Funds	Monthly	(40,973	)		(1,677,492	)		(301,633	)
BAML	Peugeot S.A.	11/14/20	Pay	(0.350)% +1 Month U.S. LIBOR	Monthly	(25,409	)		(509,397	)		96,020
JPM	The Wharf Holdings Ltd.	3/18/21	Pay	(3.000)% +3 Month U.S. LIBOR	Quarterly	(2,003	)		(3,346	)		(714	)
GS	The Wharf Holdings Ltd.	4/20/21	Pay	(4.500)% + U.S. Federal Funds	Monthly	(35,650	)		(64,337	)		(8,204	)
JPM	Wharf Real Estate
	Investment
	Company Ltd.	3/18/21	Pay	(2.750)% +3 Month U.S. LIBOR	Quarterly	(2,003	)		(8,107	)		(1,466	)
GS	Wharf Real Estate
	Investment
	Company Ltd.	4/20/21	Pay	(4.250)% + U.S. Federal Funds	Monthly	(35,650	)		(144,217	)		(26,096	)
GS	Worldline S.A.	5/21/21	Pay	(0.350)% + U.S. Federal Funds	Monthly	(6,548	)		(542,182	)		(24,884	)
											$	(45,757	)

BAML – Bank of America Merrill Lynch & Co., Inc.	LIBOR – London Interbank Offered Rate
GS – Goldman, Sachs & Co.	plc – Public Limited Company
JPM – JPMorgan Chase & Co., Inc.	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).
(1)	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.

The accompanying notes are an integral part of these financial statements.

The Merger Fund VL

STATEMENT OF ASSETS AND LIABILITIES

June 30, 2020 (Unaudited)

ASSETS:
Investments, at value (Cost $45,420,584)			$	45,832,067
Cash				3,931
Deposits at brokers for securities sold short				97,891
Deposits at brokers for other investments				2,380,319
Receivable for forward currency exchange contracts				5,954
Receivable for swap contracts				180,017
Dividends and interest receivable				62,877
Receivable for investments sold				52,442
Receivable for fund shares issued				6,408
Prepaid expenses and other receivables				7,363
Total Assets				48,629,269
LIABILITIES:
Securities sold short, at value (Proceeds of $93,536)	$	97,989
Written option contracts, at value
(Premiums received $187,940)		345,688
Payable for forward currency exchange contracts		1,953
Payable for swap contracts		225,774
Payable for investments purchased		97,638
Payable to the investment adviser		27,288
Payable for fund shares redeemed		12,133
Dividends and interest payable		987
Accrued expenses and other liabilities		54,062
Total Liabilities				863,512
NET ASSETS			$	47,765,757
NET ASSETS CONSISTS OF:
Paid-in capital			$	45,796,160
Distributable earnings				1,969,597
Total Net Assets			$	47,765,757

NET ASSET VALUE and offering price per share*
($47,765,757 / 4,184,416 shares of
beneficial interest outstanding)			$	11.42

*	The redemption price per share may vary based on the length of time a shareholder holds Fund shares.

The accompanying notes are an integral part of these financial statements.

The Merger Fund VL

STATEMENT OF OPERATIONS

For the Six Months Ended June 30, 2020 (Unaudited)

INVESTMENT INCOME:
Dividend income on long positions				$	166,232
Interest					116,214
Total investment income					282,446
EXPENSES:
Investment advisory fees	$	289,637
Professional fees		46,426
Transfer agent and shareholder servicing agent fees		42,520
Administration fees		12,912
Custody fees		9,762
Reports to shareholders		8,542
Fund accounting expenses		7,863
Trustees’ fees and expenses		7,648
Miscellaneous expenses		3,763
Compliance fees		1,461
Federal registration fees		402
Borrowing expenses on securities sold short		6,964
Dividends on securities sold short		2,291
Total expenses before expense reimbursement by adviser					440,191
Expense reimbursed by adviser (Note 3)					(106,543	)
Net expenses					333,648
NET INVESTMENT LOSS					(51,202	)
REALIZED AND CHANGE IN UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Realized gain (loss) on:
Investments		955,686
Securities sold short		746,979
Written option contracts expired or closed		(155,368	)
Forward currency exchange contracts		16,396
Swap contracts		(1,548	)
Foreign currency transactions		36
Net realized gain					1,562,181
Change in unrealized appreciation (depreciation) on:
Investments		(1,667,360	)
Securities sold short		7,656
Written option contracts		(17,484	)
Forward currency exchange contracts		42,097
Swap contracts		114,305
Net change in unrealized depreciation					(1,520,786	)
NET REALIZED AND CHANGE IN UNREALIZED
GAIN (LOSS) ON INVESTMENTS					41,395
NET DECREASE IN NET ASSETS
RESULTING FROM OPERATIONS				$	(9,807	)

The accompanying notes are an integral part of these financial statements.

The Merger Fund VL

STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended			Year Ended
	June 30, 2020			December 31, 2019
	(Unaudited)

Net investment income (loss)	$	(51,202	)	$	207,390
Net realized gain on investments,
securities sold short, written option
contracts expired or closed, forward currency
exchange contracts, swap contracts, and
foreign currency transactions		1,562,181			527,851
Net change in unrealized appreciation
(depreciation) on investments, securities sold
short, written option contracts, forward
currency exchange contracts, swap contracts,
and foreign currency translation		(1,520,786	)		1,896,201
Net increase (decrease) in net assets
resulting from operations		(9,807	)		2,631,442

Distributions to shareholders from: (Note 5)
Total dividends and
distributions to shareholders		—			(2,619,257	)

Net increase (decrease) in net assets from
capital share transactions (Note 4)		(187,053	)		6,302,272
Net increase (decrease) in net assets		(196,860	)		6,314,457

NET ASSETS:
Beginning of period		47,962,617			41,648,160
End of period	$	47,765,757		$	47,962,617

The accompanying notes are an integral part of these financial statements.

(This Page Intentionally Left Blank.)

The Merger Fund VL

FINANCIAL HIGHLIGHTS

Selected per share data is based on a share of beneficial interest outstanding throughout each period/year.⁽¹⁾

	Six
	Months
	Ended
	June 30,			Year Ended December 31,
	2020			2019			2018			2017			2016			2015
	(Unaudited)
Per Share Data:
Net asset value,
beginning of period	$	11.40		$	11.36		$	10.80		$	10.53		$	10.47		$	10.87
Income from
investment operations:
Net investment
income (loss)⁽²⁾		(0.01	)		0.06			0.14			0.04			(0.07	)		(0.05	)
Net realized and
unrealized gain (loss)
on investments		0.03			0.64			0.63			0.23			0.33			(0.05	)
Total from investment
operations		0.02			0.70			0.77			0.27			0.26			(0.10	)
Less distributions:
From net
investment income		—			(0.12	)		(0.08	)		—			(0.08	)		(0.23	)
From net
realized gains		—			(0.54	)		(0.13	)		—			(0.12	)		(0.07	)
Total dividends
and distributions		—			(0.66	)		(0.21	)		—			(0.20	)		(0.30	)
Net Asset Value,
end of period	$	11.42		$	11.40		$	11.36		$	10.80		$	10.53		$	10.47
Total Return		0.18	%⁽⁴⁾		6.17	%		7.09	%		2.56	%		2.44	%		(0.90	)%

The accompanying notes are an integral part of these financial statements.

The Merger Fund VL

FINANCIAL HIGHLIGHTS (continued)

Selected per share data is based on a share of beneficial interest outstanding throughout each period/year.⁽¹⁾

	Six
	Months
	Ended
	June 30,			Year Ended December 31,
	2020			2019			2018			2017			2016			2015
	(Unaudited)
Supplemental data and ratios:
Net assets,
end of period (000’s)	$	47,766		$	47,963		$	41,648		$	31,990		$	31,835		$	33,153
Ratio of gross expenses
to average net assets:
Before expense
reimbursement		1.90	%⁽³⁾		2.43	%⁽⁶⁾		2.57	%		2.51	%		2.75	%		2.57	%
After expense
reimbursement		1.44	%⁽³⁾		1.91	%⁽⁶⁾		1.84	%		1.78	%		1.99	%		1.79	%
Ratio of dividends and
interest on short positions
and borrowing expense
on securities sold short
to average net assets		0.04	%⁽³⁾		0.51	%⁽⁶⁾		0.44	%		0.38	%		0.59	%		0.39	%
Ratio of operating expenses
to average net assets
excluding dividends and
interest on short positions
and borrowing expense
on securities sold short
(after expense
reimbursement)		1.40	%⁽³⁾		1.40	%⁽⁷⁾		1.40	%		1.40	%		1.40	%		1.40	%
Ratio of net investment
income (loss) to
average net assets		(0.22	)%⁽³⁾		0.48	%		1.20	%		0.34	%		(0.66	)%		(0.49	)%
Portfolio turnover rate⁽⁵⁾		102	%⁽⁴⁾		172	%		154	%		184	%		202	%		167	%

(1)	The figures presented do not reflect any fees or charges imposed by participating life insurance companies under their variable annuity and variable life insurance contracts. If the fees and charges imposed by participating life insurance companies under their variable annuity and variable life insurance contracts were included, the fees and expenses of Fund would be higher than those shown in the table.
(2)	Net investment income (loss) per share has been calculated based on average shares outstanding during the period.
(3)	Annualized.
(4)	Not annualized.
(5)	The numerator for the portfolio turnover rate includes the lesser of purchases or sales (excluding short-term investments, short-term options, forward currency contracts, swap contracts and short positions). The denominator includes the average long positions throughout the period.
(6)	The amount for the year ended December 31, 2019 includes 0.05% of legal expenses related to the settlement of an appraisal right.
(7)	The amount for the year ended December 31, 2019 excludes 0.05% of legal expenses related to the settlement of an appraisal right.

The accompanying notes are an integral part of these financial statements.

The Merger Fund VL

NOTES TO THE FINANCIAL STATEMENTS

June 30, 2020 (Unaudited)

Note 1 — ORGANIZATION

The Merger Fund VL (the “Fund”) is a no-load, open-end, diversified investment company organized as a statutory trust under the laws of Delaware on November 22, 2002, and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund commenced operations on May 26, 2004. In a transaction that closed on December 31, 2010, Westchester Capital Management, Inc. transferred substantially all of its business and assets to Westchester Capital Management, LLC (the “Adviser”), which became the Fund’s investment adviser. Therefore, the performance information included for periods prior to 2011 reflects the performance of Westchester Capital Management, Inc. Roy Behren and Michael Shannon, the Fund’s current portfolio managers, assumed portfolio management duties for the Fund in January 2007. The investment objective of the Fund is to seek to achieve capital growth by engaging in merger arbitrage. Merger arbitrage is a highly specialized investment approach generally designed to profit from the successful completion of publicly announced mergers, takeovers, tender offers, leveraged buyouts, spin-offs, liquidations and other corporate reorganizations. The Fund’s shares are currently offered only to separate accounts funding variable annuity and variable life insurance contracts. At June 30, 2020, 93.9% of the shares outstanding of the Fund were owned by 4 insurance companies. Activities of these shareholders may have a significant effect on the operations of the Fund.

Note 2 — SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. These policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 – Investment Companies. The presentation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and assumptions.

A. 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.

The Merger Fund VL

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

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.

The Merger Fund VL

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

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 at bid prices calculated using an “interpolation” methodology that incorporates foreign-exchange prices for standard forward-settlement periods. 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 the swap’s 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.

The Merger Fund VL

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

	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 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 June 30, 2020. These assets and liabilities are measured on a recurring basis.

Investments at Fair Value	Level 1			Level 2			Level 3			Total
Assets
Common Stocks*	$	20,283,819		$	—		$	—		$	20,283,819
Special Purpose Acquisition
Companies		3,221,887			461,869			—			3,683,756
Preferred Stocks		105,148			—			—			105,148
Contingent Value Rights		—			43,471			—			43,471
Rights		24,863			—			—			24,863
Warrants		236,111			420			—	***		236,531
Bank Loans		—			1,291,495			—			1,291,495
Corporate Bonds		—			1,326,827			—			1,326,827
Purchased Option Contracts		38,161			—			—			38,161
Escrow Notes		—			2,672,307			767			2,673,074
Short-Term Investments		15,429,984			694,938			—			16,124,922
Forward Currency
Exchange Contracts**		—			5,954			—			5,954
Swap Contracts**		—			180,017			—			180,017
Total	$	39,339,973		$	6,677,298		$	767		$	46,018,038
Liabilities
Short Common Stocks*	$	(97,989	)	$	—		$	—		$	(97,989	)
Written Option Contracts		(345,688	)		—			—			(345,688	)
Forward Currency
Exchange Contracts**		—			(1,953	)		—			(1,953	)
Swap Contracts**		—			(225,774	)		—			(225,774	)
Total	$	(443,677	)	$	(227,727	)	$	—		$	(671,404	)

*		Please refer to the Schedules of Investments to view long/short common stocks segregated by industry type.
**		Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument by counterparty.
***		Amount less than $0.50.

The Merger Fund VL

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

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 June 30, 2020, the net value of these securities was $767. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs as described in Note 2 A. The appropriateness of fair values for these securities is monitored by the Valuation Group on an ongoing basis.

Level 3 Reconciliation Disclosure

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.

Description	Warrants			Escrow Notes			Total Investment
Balance as of December 31, 2019	$	—		$	1,764		$	1,764
Purchases on Investments		—			—			—
(Sales) of Investments		—			—	*		—	*
Realized (Gain) Loss		—			(1,119	)		(1,119	)
Transfers Into Level 3		—	*		—			—	*
(Transfer Out) of Level 3		—			—			—
Change in Unrealized
Appreciation (Depreciation)		—			122			122
Balance as of June 30, 2020	$	—		$	767		$	767
Change in unrealized appreciation
(depreciation) for Level 3 investments held
during the period ended June 30, 2020	$	(1,218	)	$	(997	)	$	(2,215	)

* Amount less than $0.50.

The realized and unrealized gains and losses from Level 3 transactions are included with the net realized gain (loss) on investments and net change in unrealized appreciation (depreciation) on investments on the Statement of Operations, respectively. The net change in unrealized appreciation on investments related to Level 3 securities held by the Fund at June 30, 2020 totals $122.

Significant unobservable valuation inputs monitored by the Valuation Group under the supervision of the Board of Trustees for restricted securities or material Level 3 investments as of June 30, 2020 for the Fund are as follows:

	Fair Value at	Valuation	Unobservable
Description	June 30, 2020	Technique	Input
Warrant	$ —*	Projected Final Exercise Price**	Value of Final Exercise Price

*		Amount less than $0.50.
**		Based on the evaluation of the likelihood that the warrant is exercised, the security is being priced at zero.

The Merger Fund VL

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

The table above does not include certain Level 3 investments that are valued by brokers. At June 30, 2020, the net value of these securities was $767. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2 A.

B. Federal Income Taxes

No provision for federal income taxes has been made since the Fund has complied to date with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and intends to continue to comply in future years and to distribute investment company net taxable income and net capital gains to shareholders. Additionally, the Fund intends to make all required distributions to avoid federal excise tax.

The Fund has reviewed all open tax years in major jurisdictions and concluded that there is no impact on the Fund’s net assets and there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken on a tax return. The Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. As of June 30, 2020, open Federal and New York tax years include the tax years ended December 31, 2016 through December 31, 2019. The Fund has no tax examination in progress.

C. Transactions with Brokers

The Fund’s deposits at brokers for securities sold short and deposits at brokers for other investments are with two securities dealers. The Fund is required by the brokers to maintain collateral for securities sold short. The receivable from brokers for securities sold short on the Statement of Assets and Liabilities represents the proceeds from securities sold short that is maintained at the broker. The Fund does not require the brokers to maintain collateral in support of the receivables from the brokers for proceeds on securities sold short. The Fund may maintain cash deposits at brokers beyond the receivables for short sales. On the Statement of Assets and Liabilities, these are classified as deposits at brokers for other investments. The Fund may be required by the brokers with which it executes short sales to maintain an additional amount of collateral in a special tri-party custody arrangement for the benefit of the broker.

The Fund’s equity swap contracts’ and forward currency exchange contracts’ cash deposits are monitored daily by the Adviser and counterparty. These transactions may involve market risk in excess of amounts receivable or payable reflected on the Statement of Assets and Liabilities.

D. Securities Sold Short

The Fund sells securities or currencies short for economic hedging purposes or any other investment purpose. For financial statement purposes, an amount equal to the settlement amount is initially included

The Merger Fund VL

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

in the Statement of Assets and Liabilities as an asset and an equivalent liability. The amount of the liability is subsequently priced to reflect the current value of the short position. Subsequent fluctuations in the market prices of securities or currencies sold, but not yet purchased, may require purchasing the securities or currencies at prices which may differ from the market value reflected on the Statement of Assets and Liabilities. Short sale transactions result in off balance sheet risk because the ultimate obligation may exceed the related amounts shown in the Statement of Assets and Liabilities. The Fund will incur a loss if the price of the security increases between the date of the short sale and the date on which the Fund purchases the security to replace the borrowed security. The Fund’s loss on a short sale is potentially unlimited because there is no upward limit on the price a borrowed security could attain.

The Fund is liable for any dividends payable on securities while those securities are sold short. Until the security is replaced, the Fund is required to pay to the lender any income earned, which is recorded as an expense by the Fund. The Fund segregates liquid assets in an amount equal to the market value of securities sold short, which is reflected in the Schedule of Investments. These assets are required to be adjusted daily to reflect changes in the value of the securities or currencies sold short.

E. Written Option Contracts

The Fund is subject to equity price risk in the normal course of pursuing its investment objectives. The Fund writes (sells) put or call options for hedging purposes, volatility management purposes, or otherwise to gain, or reduce, long or short exposure to one or more asset classes or issuers. When the Fund writes (sells) an option, an amount equal to the premium received by the Fund is included in the Statement of Assets and Liabilities as an asset and an equivalent liability. The amount of the liability is subsequently priced daily to reflect the current value of the option written. Refer to Note 2 A. for a pricing description. By writing an option, the Fund may become obligated during the term of the option to deliver or purchase the securities underlying the option at the exercise price if the option is exercised. These contracts may involve market risk in excess of amounts receivable or payable reflected on the Statement of Assets and Liabilities. Refer to Note 2 Q. for further derivative disclosures, and Note 2 O. for further counterparty risk disclosure.

When an option expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the Fund realizes a gain or loss if the cost of the closing purchase transaction differs from the premium received when the option was sold without regard to any unrealized appreciation or depreciation on the underlying security, and the liability related to such option is eliminated. When a written call option is

The Merger Fund VL

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

exercised, the premium originally received decreases the cost basis of the security and the Fund realizes gains or losses from the sale of the underlying security. When a written put option is exercised, the cost of the security acquired is decreased by the premium received for the put.

F. Purchased Option Contracts

The Fund is subject to equity price risk in the normal course of pursuing its investment objectives. The Fund purchases put or call options for hedging purposes, volatility management purposes, or otherwise to gain, or reduce, long or short exposure to one or more asset classes or issuers. When the Fund purchases an option contract, an amount equal to the premium paid is included in the Statement of Assets and Liabilities as an investment, and is subsequently priced daily to reflect the value of the purchased option. Refer to Note 2 A. for a pricing description. Refer to Note 2 Q. for further derivative disclosures, and Note 2 O. for further counterparty risk disclosure.

When option contracts expire or are closed, realized gains or losses are recognized without regard to any unrealized appreciation or depreciation on the underlying securities that may be held by the Fund. If the Fund exercises a call option, the cost of the security acquired is increased by the premium paid for the call. If the Fund exercises a put option, the premium paid for the put option increases the cost of the underlying security and a gain or loss is realized from the sale of the underlying security.

G. Forward Currency Exchange Contracts

The Fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The Fund uses forward currency exchange contracts to hedge against changes in the value of foreign currencies. The Fund may enter into forward currency exchange contracts obligating the Fund to deliver and receive a currency at a specified future date. Forward contracts are valued daily, and unrealized appreciation or depreciation is recorded daily as the difference between the contract exchange rate and the closing forward rate applied to the face amount of the contract. Refer to Note 2 A. for a pricing description. A realized gain or loss is recorded at the time the forward contract expires. Credit risk may arise as a result of the failure of the counterparty to comply with the terms of the contract. Refer to Note 2 O. for further counterparty risk disclosure.

The use of forward currency exchange contracts does not eliminate fluctuations in the underlying prices of the Fund’s investment securities. The use of forward currency exchange contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward currency exchange contract would limit the risk of loss due to a decline in the value of a particular currency; however, it would also limit

The Merger Fund VL

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the amounts receivable or payable reflected on the Statement of Assets and Liabilities. Refer to Note 2 Q. for further derivative disclosures.

H. Equity Swap Contracts

The Fund is subject to equity price risk and interest rate risk in the normal course of pursuing its investment objectives. The Fund entered into both long and short equity swap contracts with multiple broker-dealers. A long equity swap contract entitles the Fund to receive from the counterparty any appreciation and dividends paid on an individual security, while obligating the Fund to pay the counterparty any depreciation on the security as well as interest on the notional amount of the contract at a rate equal to LIBOR and/or the U.S. Federal Funds Effective Rate plus an agreed upon spread (refer to the Schedule of Investments for further disclosure of the contracts’ financing rates). A short equity swap contract obligates the Fund to pay the counterparty any appreciation and dividends paid on an individual security, while entitling the Fund to receive from the counterparty any depreciation on the security, and to pay to or receive from the counterparty interest on the notional value of the contract at a rate equal to LIBOR and/or the U.S. Federal Funds Effective Rate less an agreed upon spread (refer to the Schedule of Investments for further disclosure of the contracts’ financing rates).

The Fund may also enter into equity swap contracts whose value may be determined by the spread between a long equity position and a short equity position. This type of swap contract obligates the Fund to pay the counterparty an amount tied to any increase in the spread between the two securities over the term of the contract. The Fund is also obligated to pay the counterparty any dividends paid on the short equity holding as well as any net financing costs. This type of swap contract entitles the Fund to receive from the counterparty any gains based on a decrease in the spread as well as any dividends paid on the long equity holding and any net interest income.

Fluctuations in the value of an open contract are recorded daily as net unrealized appreciation or depreciation. The Fund will realize a gain or loss upon termination or reset of the contract. The Fund or the Fund’s counterparty, under certain conditions, may terminate the contract prior to the contract’s expiration date.

Credit risk may arise as a result of the failure of the counterparty to comply with the terms of the contract. Refer to Note 2 O. for further counterparty risk disclosure. Additionally, risk may arise from unanticipated movements in interest rates or in the value of the underlying securities. Equity Swap contracts may involve market risk in

The Merger Fund VL

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

excess of amounts receivable or payable reflected on the Statement of Assets and Liabilities. Refer to Note 2 Q. for further derivative disclosures.

I. Distributions to Shareholders

Dividends from net investment income and net realized capital gains, if any, are declared and paid at least annually. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from GAAP. These differences are due primarily to wash sale-loss deferrals, constructive sales, straddle-loss deferrals, adjustments on swap contracts, and unrealized gains or losses on Section 1256 contracts, which were realized, for tax purposes, at the end of the Fund’s fiscal year.

J. Foreign Securities

Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and the U.S. government. These risks include fluctuations in currency exchange rates and adverse political, cultural, regulatory, legal, tax, and economic developments as well as different custody and/or settlement practices or delayed settlements in some foreign markets. Moreover, securities of many foreign companies and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. government.

K. Foreign Currency Transactions

The books and records of the Fund are maintained in U.S. dollars. Foreign currency transactions are translated into U.S. dollars on the following basis: (i) market value of investment securities, assets and liabilities at the daily rates of exchange, and (ii) purchases and sales of investment securities, dividend and interest income and certain expenses at the rates of exchange prevailing on the respective dates of such transactions. For financial reporting purposes, the Fund does not isolate changes in the exchange rate of investment securities from the fluctuations arising from changes in the market prices of securities. However, for federal income tax purposes, the Fund does isolate and treat as ordinary income the effect of changes in foreign exchange rates on realized gain or loss from the sale of investment securities and payables and receivables arising from trade-date and settlement-date differences. Foreign currency, if any, held as cash by the Fund’s custodian is reported separately on the Statement of Assets and Liabilities.

L. Cash and Cash Equivalents

The Fund considers highly liquid short-term fixed income investments purchased with an original maturity of less than three months to be cash equivalents. Cash equivalents are included in short-term investments on the Schedule of Investments as well as in investments on the Statement of Assets and Liabilities. Temporary cash overdrafts are reported as payable to custodian.

The Merger Fund VL

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

M. Guarantees and Indemnifications

In the normal course of business, the Fund enters into contracts with service providers that contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. The Fund has not historically incurred material expenses in respect of those provisions.

N. Security Transactions, Investment Income and Expenses

Transactions are recorded for financial statement purposes on the trade date. Realized gains and losses from security transactions are recorded on the identified cost basis. Distributions to shareholders are recorded on the ex-dividend date. Dividend income is recorded on the ex-dividend date, except for certain dividends on foreign securities, which are recorded as soon as the Fund is informed after the ex-dividend date. Interest is accounted for on the accrual basis and includes amortization of premiums and discounts on the effective interest method utilizing call features. At June 30, 2020, expenses include $6,964 and $2,291 of borrowing expenses and dividends on securities sold short, respectively.

O. Counterparty Risk

The Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations. The Adviser considers the creditworthiness of each counterparty to a contract in evaluating potential credit risk. The counterparty risk for forward currency exchange contracts to the Fund includes the amount of any net unrealized appreciation on the contract. The counterparty risk for equity swap contracts to the Fund includes the risk of loss of the full amount of any net unrealized appreciation on the contract, along with dividends receivable on long equity contracts and interest receivable on short equity contracts. Written and purchased options sold on an exchange expose the Fund to counterparty risk; however, the exchange’s clearinghouse guarantees the options against default. Over-the-counter options counterparty risk includes the risk of loss of the full amount of any net unrealized appreciation.

P. The Right to Offset

Financial assets and liabilities, as well as cash collateral received by the Fund’s counterparties and posted are offset by the respective counterparty, and the net amount is reported in the Statement of Assets and Liabilities when the Fund believes there exists a legally enforceable right to offset the recognized amounts.

The Merger Fund VL

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

Q. Derivatives

The Fund may utilize derivative instruments such as options, swaps, futures, forward contracts and other instruments with similar characteristics to the extent that they are consistent with the Fund’s investment objectives and limitations. The use of these instruments may involve additional investment risks, including the possibility of illiquid markets or imperfect correlation between the value of the instruments and the underlying securities. Derivatives also may create leverage which will amplify the effect of their performance on the Fund and may produce significant losses.

The Fund has adopted authoritative standards regarding disclosure about derivatives and hedging activities and how they affect the Fund’s Statement of Assets and Liabilities and Statement of Operations. For the six months ended June 30, 2020, the Fund’s monthly average quantities and notional values are described below:

	Monthly Average		Monthly Average
	Quantity		Notional Value
Purchased Option Contracts		483	$	4,479,094
Written Option Contracts		698	$	5,702,531
Forward Currency Exchange Contracts		13	$	5,445,315
Long Total Return Swap Contracts		651,814	$	8,304,756
Short Total Return Swap Contracts		175,445	$	7,162,184

Statement of Assets and Liabilities

Fair values of derivative instruments as of June 30, 2020 as described below:

	Asset Derivatives
	Statements of Assets
Derivatives	and Liabilities Location	Fair Value
Equity Contracts:
Purchased Option Contracts	Investments	$	38,161
Swap Contracts	Receivables		180,017
Foreign Exchange Contracts:
Forward Currency Exchange Contracts	Receivables		5,954
Total		$	224,132

	Liability Derivatives
	Statements of Assets
Derivatives	and Liabilities Location	Fair Value
Equity Contracts:
Written Option Contracts	Written Option Contracts	$	345,688
Swap Contracts	Payables		225,774
Foreign Exchange Contracts:
Forward Currency Exchange Contracts	Payables		1,953
Total		$	573,415

The Merger Fund VL

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

Statement of Operations

The effect of derivative instruments on the Statement of Operations for the six months ended June 30, 2020 as described below:

Amount of Realized Gain (Loss) on Derivatives

						Forward
	Purchased		Written			Currency
	Option		Option			Exchange		Swap
Derivatives	Contracts*		Contracts			Contracts		Contracts			Total
Equity Contracts	$	759,033	$	(155,368	)	$	—	$	(1,548	)	$	602,117
Foreign Exchange
Contracts		—		—			16,396		—			16,396
Total	$	759,033	$	(155,368	)	$	16,396	$	(1,548	)	$	618,513

*	The amounts disclosed are included in the realized gain (loss) on investments.

Change in Unrealized Appreciation (Depreciation) on Derivatives

							Forward
	Purchased			Written			Currency
	Option			Option			Exchange		Swap
Derivatives	Contracts**			Contracts			Contracts		Contracts		Total
Equity Contracts	$	(28,395	)	$	(17,484	)	$	—	$	114,305	$	68,426
Foreign Exchange
Futures Contracts		—			—			42,097		—		42,097
Total	$	(28,395	)	$	(17,484	)	$	42,097	$	114,305	$	110,523

**	The amounts disclosed are included in net change in unrealized appreciation (depreciation) on investments.

R. LIBOR

The London Interbank Offered Rate, or “LIBOR,” is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. LIBOR may be available for different durations (e.g., 1 month or 3 months) and for different currencies. The terms of many investments, financings or other transactions to which the Fund may have exposure have been historically tied to LIBOR. LIBOR may be a significant factor in determining the Fund’s payment obligations under a derivative investment, the cost of financing to the Fund or an investment’s value or return to the Fund, and may be used in other ways that affect the Fund’s investment performance.

The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain investments of the Fund’s portfolio.

The Merger Fund VL

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. However, there are obstacles to converting certain securities and transactions to a new reference rate. Transition planning is at an early stage, and neither the effect of the transition process nor its ultimate success can yet be known. The transition process might lead to increased volatility and illiquidity in markets for instruments whose terms currently include LIBOR. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of new hedges placed against existing LIBOR-based investments. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of the Fund and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform. All of the aforementioned may adversely affect the Fund’s performance or NAV. Refer to Note 2 A. for a pricing description.

Note 3 — AGREEMENTS

The Fund’s investment adviser is Westchester Capital Management, LLC pursuant to an investment advisory agreement with the Adviser dated as of January 1, 2011 (the “Advisory Agreement”). Under the terms of the Advisory Agreement, the Adviser is entitled to receive a fee, calculated daily and payable monthly, at the annual rate of 1.25% of the Fund’s average daily net assets. Certain officers of the Fund are also officers of the Adviser. The Advisory Agreement was approved for an initial term of two years and thereafter will remain in effect from year to year provided that such continuance is specifically approved at least annually by the vote of a majority of the Fund’s Trustees who are not interested persons of the Adviser or the Fund or by a vote of a majority of the outstanding voting securities of the Fund. The Adviser has entered into an agreement with the Fund whereby the Adviser has agreed to reduce all or a portion of its management fee and, if necessary, to bear certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended, but not including brokerage commissions, dividends on securities sold short, borrow expenses on securities sold short, interest expense, taxes, acquired

The Merger Fund VL

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 3 — AGREEMENTS (continued)

fund fees and expenses or extraordinary expenses) associated with operating the Fund to the extent necessary to limit the annualized expenses of the Fund to 1.40% of the Fund’s average daily net assets until April 30, 2021 (the “Expense Waiver and Reimbursement Agreement”). The Expense Waiver and Reimbursement Agreement permits the Adviser to recapture amounts that it waives or absorbs on behalf of the Fund at any time within three years of the end of the fiscal year in which the fee was reduced or waived or the expense was borne provided that doing so would not cause the Fund’s operating expenses for that year, excluding brokerage commissions, dividends on securities sold short, borrow expenses on securities sold short, interest expense, taxes, acquired fund fees and expenses or extraordinary expenses, to exceed 1.40%. The Expense Waiver and Reimbursement Agreement may be terminated at anytime by the Board. For the six months ended June 30, 2020, the Adviser reimbursed $106,543 of advisory fees to the Fund.

Reimbursed expenses subject to potential recovery by year of expiration are as follows:

Year of Expiration	Potential Recovery
12/31/20	$233,117
12/31/21	$255,478
12/31/22	$223,736
12/31/23	$106,543

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”) and a subsidiary of U.S. Bancorp, a publicly held bank holding company, serves as transfer agent, administrator, accountant, dividend paying agent and shareholder servicing agent for the Fund. U.S. Bank, N.A. serves as custodian for the Fund.

Note 4 — SHARES OF BENEFICIAL INTEREST

The Board of Trustees has the authority to issue an unlimited amount of shares of beneficial interest without par value.

Changes in shares of beneficial interest were as follows:

	Six Months Ended						Year Ended
	June 30, 2020						December 31, 2019
	Shares			Amount			Shares			Amount
Issued		1,115,012		$	12,697,737			1,014,611		$	11,896,871
Issued as reinvestment
of dividends		—			—			229,759			2,619,256
Redeemed		(1,136,363	)		(12,884,790	)		(705,377	)		(8,213,855	)
Net Increase (Decrease)		(21,351	)	$	(187,053	)		538,993		$	6,302,272

The Merger Fund VL

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 5 — INVESTMENT TRANSACTIONS AND INCOME TAX INFORMATION

Purchases and sales of securities for the six months ended June 30, 2020 (excluding short-term investments, short-term options, forward currency contracts, swap contracts and securities sold short) aggregated $32,657,421 and $32,326,084, respectively. There were no purchases or sales of long-term U.S. Government securities.

At December 31, 2019, the components of accumulated earnings gains (losses) on a tax basis were as follows:

Cost of investments*	$	45,515,664
Gross unrealized appreciation		2,501,741
Gross unrealized depreciation		(674,905	)
Net unrealized depreciation	$	1,826,836
Undistributed ordinary income	$	—
Undistributed long-term capital gain		224,043
Total distributable earnings	$	224,043
Other accumulated losses		(71,475	)
Total accumulated gains	$	1,979,404

*	Represents cost (including derivative contracts) for federal income tax purposes and differs from the cost for financial reporting purposes due to wash sales, PFIC mark to market, and unsettled short losses.

GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. Permanent differences are primarily related to foreign currency transactions and swap treatment. These reclassifications have no effect on net assets or net asset value per share. For the year ended December 31, 2019, the following table shows the reclassifications made:

Distributable Earnings	Paid-in Capital
$154,743	$(154,743)

The tax components of dividends paid during the six months ended June 30, 2020 and the year ended December 31, 2019 were as follows:

	2020		2019
Ordinary Income	$	—	$	1,830,328
Long-Term Capital Gains		—		788,929
Total Distributions Paid	$	—	$	2,619,257

The Fund designated as long-term capital gain dividend, pursuant to Internal Revenue Case Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Fund related to net capital gain to zero for the tax year ended December 31, 2019. As of December 31, 2019, the Fund had no post-October losses deferred. As of December 31, 2019, the Fund had no short-term capital loss carryover or long-term capital loss carryover.

The Merger Fund VL

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 6 — OFFSETTING ASSETS AND LIABILITIES

The Fund is subject to various Master Netting Arrangements, which govern the terms of certain transactions with select counterparties. The Master Netting Arrangements allow the Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty. The Master Netting Arrangements also specify collateral posting arrangements at pre-arranged exposure levels. Under the Master Netting Arrangements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Netting Arrangement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of Master Netting Arrangement.

The Merger Fund VL

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 6 — OFFSETTING ASSETS AND LIABILITIES (continued)

			Gross		Net
			Amounts		Amounts
			Offset		Presented		Gross Amounts not
	Gross		in the		in the		offset in the Statement
	Amounts of		Statement		Statement		of Assets and Liabilities
	Recognized		of Assets		of Assets				Collateral
	Assets/		and		and		Financial		Received/		Net
Assets:	Liabilities		Liabilities		Liabilities		Instruments		Pledged*		Amount
Description
Forward Currency
Exchange Contracts —
JP Morgan Chase
& Co., Inc.	$	28,670	$	22,716	$	5,954	$	—	$	—	$	5,954
Forward Currency
Exchange Contracts —
Goldman,
Sachs & Co.		735		735		—		—		—		—
Swap Contracts —
Bank of America
Merrill Lynch
& Co., Inc.		130,548		116,425		14,123		—		—		14,123
Swap Contracts —
JPMorgan Chase
& Co., Inc.		186,579		20,685		165,894		—		—		165,894
Swap Contracts —
Goldman,
Sachs & Co.		552,777		552,777		—		—		—		—
	$	899,309	$	713,338	$	185,971	$	—	$	—	$	185,971
Liabilities:
Description
Written Option
Contracts**	$	345,688	$	—	$	345,688	$	—	$	345,688	$	—
Forward Currency
Exchange Contracts —
JP Morgan Chase
& Co., Inc.		22,716		22,716		—		—		—		—
Forward Currency
Exchange Contracts —
Goldman,
Sachs & Co.		2,688		735		1,953		—		1,953		—
Swap Contracts —
Bank of America
Merrill Lynch
& Co., Inc.		116,425		116,425		—		—		—		—
Swap Contracts —
JPMorgan Chase
& Co., Inc.		20,685		20,685		—		—		—		—
Swap Contracts —
Goldman,
Sachs & Co.		778,551		552,777		225,774		—		225,774		—
	$	1,286,753	$	713,338	$	573,415	$	—	$	573,415	$	—

*		In some instances, the actual collateral pledged/received may be more than the amount shown.
**		JPMorgan Chase & Co., Inc. is the prime broker for all written option contracts held by the Fund as of June 30, 2020.

The Merger Fund VL

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 7 — COVID-19

During the period, an outbreak of respiratory disease caused by a novel coronavirus designated as COVID-19 emerged and spread internationally. The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things, border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and customer activity, event cancellations and restrictions, service cancellations, reductions and other changes, significant challenges in healthcare service preparation and delivery, and prolonged quarantines, as well as general concern and uncertainty. These impacts also have caused, and may continue to contribute to, significant market volatility, exchange trading suspensions and closures, and declines in global financial markets, which have caused losses for investors. The COVID-19 pandemic and its effects may last for an extended period of time, and could result in a substantial economic downturn or recession. Health crises caused by the outbreak of COVID-19 (or similar outbreaks of infectious disease) and governmental responses thereto may exacerbate other pre-existing political, social, economic, market and financial risks. The impact of the COVID-19 outbreak, and other epidemics and pandemics that may arise in the future, could negatively affect the global economy, the economies of individual countries, and the financial performance of individual companies, sectors, industries, asset classes, and markets in significant and unforeseen ways. Any such impact could adversely affect the value and liquidity of a Fund’s investments, limit severely the Fund’s investment opportunity set, impair a Fund’s ability to satisfy redemption requests, and negatively impact a Fund’s performance. In addition, the outbreak of COVID-19 or similar infectious diseases, and measures taken to mitigate their effects, could result in disruptions to the services provided to the Funds by its service providers, leading to operational delays and failures and additional investment losses. Issues arising out of or related to this recent health crisis and governmental and business responses thereto may cause one or more events in which the Funds have invested to fail to close or occur as expected by the Adviser, leading to a Fund experiencing investment losses.

Note 8 — SUBSEQUENT EVENTS

Management has evaluated events and transactions occurring after June 30, 2020 through the date that the financial statements were issued, and has determined that no additional disclosure in the financial statements is required.

The Merger Fund VL

ADDITIONAL INFORMATION (Unaudited)

For the fiscal year ended December 31, 2019, certain dividends paid by the Fund may be reported as qualified dividend income (QDI) and may be eligible for taxation at capital gains rate. The percentage of dividends declared from ordinary income designated as qualified dividend income for the fiscal year ended December 31, 2019 was 0.00% for the Fund.

For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended December 31, 2019 was 0.00% for the Fund.

The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Code Section 871(k)(2)(c) for the fiscal year ended December 31, 2019 was 73.61% for the Fund.

AVAILABILITY OF PROXY VOTING INFORMATION

Information regarding how the Fund generally votes proxies relating to portfolio securities may be obtained without charge by calling the Fund’s Transfer Agent at 1-800-343-8959 or by visiting the SEC’s website at www.sec.gov. Information regarding how the Fund voted proxies during the most recent 12-month period ended June 30 is available on the SEC’s website or by calling the toll-free number listed above.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Part F of Form N-PORT. The Fund’s Part F of Form N-PORT is available on the SEC’s website at www.sec.gov. Once filed, the most recent Part F of Form N-PORT will also be available without charge, upon request, by calling 1-800-343-8959.

Investment Adviser

Westchester Capital Management, LLC

100 Summit Lake Drive

Valhalla, NY 10595

(914) 741-5600

www.westchestercapitalfunds.com

Administrator, Transfer Agent, Accountant,

Dividend Paying Agent and Shareholder Servicing Agent

U.S. Bancorp Fund Services, LLC

615 East Michigan Street

P.O. Box 701

Milwaukee, WI 53201-0701

(800) 343-8959

Custodian

U.S. Bank, N.A.

1555 North Rivercenter Drive, Suite 302

Milwaukee, WI 53212

(800) 343-8959

Trustees

Roy Behren

Michael T. Shannon

Barry Hamerling

Richard V. Silver

Christianna Wood

Executive Officers

Roy Behren, Co-President and Treasurer

Michael T. Shannon, Co-President

Bruce Rubin, Vice President and

Chief Compliance Officer

Abraham R. Cary, Secretary

Christopher Colomb, Principal Financial Officer

Counsel

Ropes & Gray LLP

1211 Avenue of the Americas

New York, NY 10036

Independent Registered

Public Accounting Firm

PricewaterhouseCoopers LLP

300 Madison Avenue

New York, NY 10017

This report is authorized for distribution only when

preceded or accompanied by a current prospectus.

Item 2. Code of Ethics.

Not applicable for semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

The registrant’s Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 9. Purchases of Equity Securities by Closed‑End Management Investment Company and Affiliated Purchasers.

Not applicable to open-end investment companies.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.

Item 11. Controls and Procedures.

(a)

The registrant’s Co-Presidents/Chief Executive Officers and Treasurer/Chief Financial Officer have reviewed the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the registrant and by the registrant’s service provider.

(b)

There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 13. Exhibits.

(a)	(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable.

(2) A separate certification for each principal executive officer and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.

(3) Any written solicitation to purchase securities under Rule 23c‑1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.

(4) Change in the registrant’s independent public accountant. Provide the information called for by Item 4 of Form 8-K under the Exchange Act (17 CFR 249.308). Unless otherwise specified by Item 4, or related to and necessary for a complete understanding of information not previously disclosed, the information should relate to events occurring during the reporting period. Not Applicable.

(b)	Certifications pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002. Furnished herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) The Merger Fund VL

By (Signature and Title)* /s/ Michael T. Shannon

Michael T. Shannon, Co-President

Date 9/1/2020

By (Signature and Title)* /s/ Roy Behren

Roy Behren, Co-President and Treasurer

Date 9/1/2020

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)* /s/ Michael T. Shannon

Michael T. Shannon, Co-President

Date 9/1/2020

By (Signature and Title)* /s/ Roy Behren

Roy Behren, Co-President and Treasurer

Date 9/1/2020

* Print the name and title of each signing officer under his or her signature.

Merger Fund VL N-CSRSCertified semi-annual shareholder report (management investment company)