0001104659-20-073258.txt : 20200615 0001104659-20-073258.hdr.sgml : 20200615 20200615103934 ACCESSION NUMBER: 0001104659-20-073258 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20200430 FILED AS OF DATE: 20200615 PERIOD START: 20210131 FILER: COMPANY DATA: COMPANY CONFORMED NAME: AETOS MULTI-STRATEGY ARBITRAGE FUND LLC CENTRAL INDEX KEY: 0001169580 IRS NUMBER: 000000000 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-21061 FILM NUMBER: 20962193 BUSINESS ADDRESS: STREET 1: CLIFFORD CHANCE ROGER & WELLS STREET 2: 200 PARK AVENUE CITY: NEW YORK STATE: NY ZIP: 10166 BUSINESS PHONE: 212-201-2500 MAIL ADDRESS: STREET 1: AETOS ALTERNATIVES MANANGEMENT, LP STREET 2: 875 THIRD AVENUE, 6TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10022 FORMER COMPANY: FORMER CONFORMED NAME: AETOS CAPITAL MULTI-STRATEGY ARBITRAGE FUND LLC DATE OF NAME CHANGE: 20060605 FORMER COMPANY: FORMER CONFORMED NAME: AETOS MULTI STRATEGY ARBITRAGE FUND LLC DATE OF NAME CHANGE: 20020320 NPORT-P 1 primary_doc.xml NPORT-P false 0001169580 XXXXXXXX AETOS MULTI-STRATEGY ARBITRAGE FUND LLC 811-21061 0001169580 254900NXWKVVDK4PTY73 875 Third Avenue New York 10022 2122012500 AETOS MULTI-STRATEGY ARBITRAGE FUND LLC 254900NXWKVVDK4PTY73 2021-01-31 2020-04-30 N 466189610.72 975039.83 465214570.89 0 0 0 0 0 0 0 0 0 0 0 0 0 16085841.88 N Oceanwood European Financials Capital Structure Opportunities Segregated Portfolio N/A Oceanwood European Financials Capital Structure Opportunities Segregated Portfol N/A 15000 NS USD 13236168.4 0.028452 Long PF KY Y N/A N N N FFIP, L.P. N/A FFIP, L.P. / ACMSAFLLC N/A 67257.541871 OU LP Interest USD 79419988.65 0.170717 Long PF US Y N/A N N N GSA Trend Fund LP N/A GSA Trend Fund LP / Series 1 N/A 2670.755087 OU LP Interest USD 20789861.11 0.044689 Long PF US Y N/A N N N Farallon Capital Offshore Investors, Inc. 549300V4ANSPFZJHW311 Farallon Capital Offshore Investors, Inc. / Class D / Series O N/A 4431079.528806 NS USD 84762514.6 0.182201 Long PF VG Y N/A N N N Parsec Onshore Partners, L.P. N/A Parsec Onshore Partners, L.P. / Class I N/A 8342.211461 OU LP Interest USD 54540449.02 0.117237 Long PF US Y N/A N N N Governors Lane Onshore Fund LP N/A Governors Lane Onshore Fund LP / Series 1 N/A 1754.501355 OU LP Interest USD 36649199.8 0.078779 Long PF US Y N/A N N N Oceanwood Opportunities Fund L.P. N/A Oceanwood Opportunities Fund L.P. / Class 41-103961 on Class A INST USD SC1 NI 0 N/A 1745.711871 OU LP Interest USD 49002677.89 0.105333 Long PF US Y N/A N N N Davidson Kempner Partners A8INQCMPQ7GG06PN3U65 Davidson Kempner Partners / ACMSAFLLC N/A 2031.029017 OU LP Interest USD 78303585.44 0.168317 Long PF US Y N/A N N N Aequim Arbitrage Fund LP N/A Aequim Arbitrage Fund LP / Class Founders Class / ACMSAFLLC N/A 1502.043648 OU LP Interest USD 33142361.23 0.071241 Long PF US Y N/A N N N Luxor Capital Partners Liquidating SPV, LLC N/A Luxor Capital Partners Liquidating SPV, LLC / ACMSAFLLC N/A 337.166006 OU LLC Interest USD 248052.87 0.000533 Long PF US Y N/A N N N 2020-06-15 AETOS MULTI-STRATEGY ARBITRAGE FUND LLC Michael Klein Michael Klein President XXXX NPORT-EX 2 tm2022337-10_nportex.htm

 

AETOS MULTI-STRATEGY ARBITRAGE FUND, LLC

 

AETOS DISTRESSED INVESTMENT STRATEGIES FUND, LLC

 

AETOS LONG/SHORT STRATEGIES FUND, LLC

 

Quarterly Report (unaudited)

 

April 30, 2020

 

 

 

 

Aetos Multi-Strategy Arbitrage Fund, LLC

Schedule of Investments (Unaudited)

April 30, 2020

 

Investments  Date(s) of Acquisition  Cost   Fair Value   Percentage
of Members'
Capital (1)		   Liquidity
                   
Investments in Portfolio Funds**                     
Commodity Trading Advisor (3)                     
GSA Trend Fund LP  08/01/18 - 06/01/19  $20,311,526   $20,789,861    4.47%  Daily
Total Commodity Trading Advisor      20,311,526    20,789,861    4.47    
                      
Credit - Convertible Arbitrage (4)                     
Aequim Arbitrage Fund LP  03/01/19 - 06/01/19   30,000,000    33,142,361    7.12   Quarterly*
Total Credit - Convertible Arbitrage      30,000,000    33,142,361    7.12    
                      
Event Driven Arbitrage (5)                     
Davidson Kempner Partners  07/01/06 - 07/01/12   49,041,414    78,303,585    16.83   Semi-Annual
Farallon Capital Offshore Investors, Inc.  02/01/07 - 04/01/12   45,554,327    84,762,515    18.22   Semi-Annual*
Governors Lane Onshore Fund LP  08/01/15 - 08/01/16   35,000,000    36,649,200    7.88   Quarterly*
Luxor Capital Partners Liquidating SPV, LLC  07/01/16   279,527    248,053    0.05   Liquidating
Oceanwood European Financials Capital Structure                     
Opportunities Segregated Portfolio  08/01/19   15,000,000    13,236,168    2.85   Quarterly*
Oceanwood Opportunities Fund L.P.  02/01/12 - 07/01/16   41,969,897    49,002,678    10.53   Quarterly
Total Event Driven Arbitrage      186,845,165    262,202,199    56.36    
                      
Fixed Income Arbitrage (6)                     
FFIP, L.P.  04/01/07 - 04/01/12   41,193,321    79,419,989    17.07   Annual*
Parsec Onshore Partners, L.P.  07/01/07 - 04/01/12   34,127,311    54,540,449    11.73   Monthly
Total Fixed Income Arbitrage      75,320,632    133,960,438    28.80    
                      
Total investments in Portfolio Funds      312,477,323    450,094,859    96.75    
                      
Money Market Investment                     
JPMorgan U.S. Government Money Market Fund,                     
Agency Shares, 0.14%(2) (Shares 16,085,842)      16,085,842    16,085,842    3.46    
                      
Total investments     $328,563,165   $466,180,701    100.21%   

 

 

 

 

Aetos Multi-Strategy Arbitrage Fund, LLC

Schedule of Investments (Unaudited) (Concluded)

April 30, 2020

 

* The liquidity of the Portfolio Funds may be further restricted due to withdrawal limitations.
** Non-income producing investments.
 
(1) Percentages are based on Members’ Capital of $465,214,571.
(2) Rate disclosed is the 7-day effective yield as of 04/30/2020.
(3) Portfolio Funds in this strategy invest in futures contracts and foreign exchange forwards contracts using a variety of systematic trading strategies to meet investment objectives, which are typically the capturing of directional moves, both long and short, across diversified portfolios of markets and asset classes.
(4) Portfolio Funds in this strategy generally look to exploit relative mispricings between securities in a company’s capital structure where the manager can go long the undervalued security and hedge out resulting equity and/or credit betas. In convertible bonds, opportunities can be found where sellers do not properly assess the value of the embedded credit and equity option components, resulting in convertibles that trade either cheap or expensive to their fundamental value. In other corporate credit situations, opportunities arise when different components of a company’s capital structure imply very different fundamental outcomes (i.e. equity near zero and debt near par), creating the opportunity to structure long and short positions that have favorable payoff profiles. Both of these strategies are implemented with the use of leverage.
(5) Portfolio Funds in this strategy invest in securities of companies involved in certain special situations, including mergers, acquisitions, asset sales, spin-offs, balance sheet restructuring, bankruptcy and other situations. These special situations constitute an “event” which the Portfolio Managers believe will trigger a change in the price of securities relative to their current price or close the gap between securities that are being arbitraged.
(6) Portfolio Funds in this strategy look to exploit mispricings between related fixed income instruments, including sovereign debt, corporate debt and derivative instruments such as futures, options and swaps. Exploitable opportunities may be found in closely related securities trading at different prices, in the value between fixed income instruments and related derivative instruments, in the shape of yield curves and in credit spreads. These strategies typically require leverage in order to exploit relatively small mispricings.

 

The aggregate cost of investments for tax purposes was $463,023,000. Net unrealized appreciation on investments for tax purposes was $3,157,701 consisting of $18,946,035 of gross unrealized appreciation and $15,788,334 of gross unrealized depreciation.

 

The investments in Portfolio Funds shown above, representing 96.75% of Members’ Capital, have been fair valued using NAV as a practical expedient.

 

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual or annual financial statements.

 

 

 

 

Aetos Distressed Investment Strategies Fund, LLC

Schedule of Investments (Unaudited)

April 30, 2020

 

Investments  Date(s) of Acquisition  Cost   Fair Value   Percentage
of Members'
Capital (1)		   Liquidity
                   
Investments in Portfolio Funds***                     
Distressed - Long Biased (3)                     
AG Mortgage Value Partners, L.P.  05/01/13  $1,457,813   $2,066,441    0.73%  Side Pockets Only
Centerbridge Credit Partners, L.P.  06/01/10 - 05/01/16   30,339,697    40,380,227    14.19   Bi-Annual**
Davidson Kempner Distressed Opportunities Fund LP  11/01/09 - 05/01/13   28,597,674    46,251,078    16.25   Annual
Marble Ridge LP  12/01/16 - 02/01/17   25,000,000    25,322,076    8.90   Quarterly*
Silver Point Capital Fund, L.P.  07/01/08   390,994    —    0.00   Side Pockets Only
Total Distressed - Long Biased      85,786,178    114,019,822    40.07    
                      
Distressed - Variable Biased (4)                     
Anchorage Capital Partners, L.P.  09/01/08 - 07/01/16   28,601,088    47,862,927    16.82   Annual*
Aurelius Capital Partners, LP  07/01/08 - 01/01/13   23,259,994    36,767,906    12.92   Semi-Annual*
King Street Capital, L.P.  08/01/07 - 07/01/08   25,140,115    41,245,565    14.49   Quarterly*
Total Distressed - Variable Biased      77,001,197    125,876,398    44.23    
                      
Distressed - Short Biased Credit (5)                     
Anchorage Short Credit Fund, L.P.  11/01/16 - 06/01/19   24,500,000    25,433,362    8.94   Monthly
Total Distressed - Short Biased Credit      24,500,000    25,433,362    8.94    
                      
Total investments in Portfolio Funds      187,287,375    265,329,582    93.24    
                      
Money Market Investment                     
JPMorgan U.S. Government Money Market Fund,                     
Agency Shares, 0.14%(2) (Shares 19,934,052)      19,934,052    19,934,052    7.00    
                      
Total investments     $207,221,427   $285,263,634    100.24%   

 

 

 

 

Aetos Distressed Investment Strategies Fund, LLC

Schedule of Investments (Unaudited) (Concluded)

April 30, 2020

 

* The liquidity of the Portfolio Funds may be further restricted due to withdrawal limitations.
** All or a portion of the investment is subject to lock-up provision.
*** Non-income producing investments.
 
(1) Percentages are based on Members’ Capital of $284,589,394.
(2) Rate disclosed is the 7-day effective yield as of 04/30/2020.
(3) Portfolio Funds in this strategy invest in securities of companies in various levels of financial distress, including bankruptcy, exchange offers, workouts, financial reorganizations and other credit-related situations. Corporate bankruptcy or distress often causes a company’s securities to trade at a discounted value. The Portfolio Funds will tend to run their investment portfolios with a long bias net exposure.
(4) Portfolio Funds in this strategy invest in securities of companies in various levels of financial distress, including bankruptcy, exchange offers, workouts, financial reorganizations and other credit-related situations. Corporate bankruptcy or distress often causes a company’s securities to trade at a discounted value. The Portfolio Funds will tend to run their investment portfolios with a variable net exposure.
(5) Portfolio Funds in this strategy invest in securities of companies in various levels of financial distress, including bankruptcy, exchange offers, workouts, financial reorganizations and other credit-related situations. Corporate bankruptcy or distress often causes a company’s securities to trade at a discounted value. The Portfolio Funds will tend to run their investment portfolios with a short bias net exposure.

 

The aggregate cost of investments for tax purposes was $301,181,512. Net unrealized depreciation on investments for tax purposes was $15,917,878 consisting of $6,502,167 of gross unrealized appreciation and $22,420,045 of gross unrealized depreciation.

 

The investments in Portfolio Funds shown above, representing 93.24% of Members’ Capital, have been fair valued using NAV as a practical expedient.

 

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual or annual financial statements.

 

 

 

 

Aetos Long/Short Strategies Fund, LLC

Schedule of Investments (Unaudited)

April 30, 2020

 

Investments  Date(s) of Acquisition  Cost   Fair Value   Percentage
of Members'
Capital (1)		   Liquidity
                   
Investments in Portfolio Funds***                     
Directional Equity (3)                     
Egerton Capital Partners, L.P.  05/01/11 - 05/01/15  $39,183,675   $74,525,342    9.82%   Monthly
Sachem Head LP  05/01/15 - 09/01/17   37,882,839    45,626,954    6.02    Quarterly*
Total Directional Equity      77,066,514    120,152,296    15.84    
                      
Equity Hedged - Generalist (4)                     
Eminence Partners, L.P.  01/01/14 - 05/01/19   58,126,943    75,232,054    9.92    Quarterly**
Eton Park Fund, L.P.  05/01/15   59,406    86,363    0.01    Liquidating
Highfields Capital II LP  07/01/15   1,847,005    968,245    0.13    Liquidating
Junto Capital Partners LP  01/01/19 – 10/01/19   45,000,000    47,906,358    6.32    Quarterly*
Lakewood Capital Partners, LP  05/01/17 - 05/01/19   63,079,727    52,761,643    6.95    Quarterly**
MW TOPS Fund  11/01/13 - 05/01/19   40,933,562    48,255,845    6.36    Monthly
Naya Fund LP  02/01/19 - 07/01/19   35,000,000    34,108,603    4.50    Quarterly**
Nitorum Fund, L.P.  12/01/17 - 06/01/19   42,705,264    46,762,674    6.16    Annual**
Turiya Fund LP  05/01/14   10,473,494    12,504,182    1.65    Quarterly*
Viking Global Equities LP  11/01/05 - 03/01/11   19,852,402    79,986,059    10.54    Annual
Total Equity Hedged - Generalist      317,077,803    398,572,026    52.54    
                      
Equity Hedged - Sector Specialist (5)                     
Cadian Fund LP  05/01/10 - 11/01/13   18,734,803    51,787,526    6.83    Quarterly*
Crescent Park Partners, L.P.  02/01/15   11,717,455    16,031,448    2.11    Semi-Annual*
Encompass Capital Fund L.P.  06/01/15 - 07/01/16   28,250,012    39,828,161    5.25    Quarterly*
Long Pond Capital QP Fund, LP  01/01/14 - 02/01/14   30,885,597    36,474,028    4.81    Quarterly*
North River Partners, L.P.  06/01/13 - 11/01/13   26,203,474    49,606,248    6.54    Quarterly
Total Equity Hedged - Sector Specialist      115,791,341    193,727,411    25.54    

 

 

 

 

Aetos Long/Short Strategies Fund, LLC

Schedule of Investments (Unaudited)

April 30, 2020

 

Investments  Date(s) of Acquisition  Cost   Fair Value   Percentage of Members' Capital (1)   Liquidity
                   
Short-Biased Equity (6)                     
Kriticos International Limited  01/01/12 - 11/01/18   58,665,573    31,515,485    4.15    Quarterly
Total Short-Biased Equity      58,665,573    31,515,485    4.15    
                      
Total investments in Portfolio Funds      568,601,231    743,967,218    98.07    
                      
Money Market Investment                     
JPMorgan U.S. Government Money Market Fund,                     
Agency Shares, 0.14%(2) (Shares 10,801,477)      10,801,477    10,801,477    1.42    
                      
Total investments     $579,402,708   $754,768,695    99.49%   

 

* The liquidity of the Portfolio Funds may be further restricted due to withdrawal limitations.
** All or a portion of the investment is subject to lock-up provision.
*** Non-income producing investments.

 

(1) Percentages are based on Members’ Capital of $758,658,835.
(2) Rate disclosed is the 7-day effective yield as of 04/30/2020.
(3) Portfolio Funds in this strategy make investments that combine long positions in undervalued common stocks or corporate bonds and short positions in overvalued common stocks or corporate bonds in order to focus on generating positive returns through the Portfolio Managers’ ability to select securities through fundamental analysis, while hedging out some portion of market risk. The Portfolio Funds will tend to run their investment portfolios with a relatively high or variable net exposure.
(4) Portfolio Funds in this strategy make investments that combine long positions in undervalued common stocks or corporate bonds and short positions in overvalued common stocks or corporate bonds in order to focus on generating positive returns through the Portfolio Managers’ ability to select securities through fundamental analysis, while hedging out some portion of market risk. The Portfolio Funds will tend to run their investment portfolios with a relatively low net exposure and will invest broadly across all market sectors.
(5) Portfolio Funds in this strategy make investments that combine long positions in undervalued common stocks or corporate bonds and short positions in overvalued common stocks or corporate bonds in order to focus on generating positive returns through the Portfolio Managers’ ability to select securities through fundamental analysis, while hedging out some portion of market risk. The Portfolio Funds will tend to run their investment portfolios with a relatively low net exposure and will focus on investing in specific market sectors.

 

 

 

 

Aetos Long/Short Strategies Fund, LLC

Schedule of Investments (Unaudited) (Concluded)

April 30, 2020

 

(6)Portfolio Funds in this strategy make investments in short positions in overvalued common stocks or corporate bonds in order to focus on generating positive returns through the Portfolio Managers’ ability to select securities through fundamental analysis, while hedging out some portion of market risk. The Portfolio Funds will tend to run their investment portfolios with a permanent net short or short-only exposure.

 

The aggregate cost of investments for tax purposes was $682,355,978. Net unrealized appreciation on investments for tax purposes was $72,412,717 consisting of $130,486,470 of gross unrealized appreciation and $58,073,753 of gross unrealized depreciation.

 

The investments in Portfolio Funds shown above, representing 98.07% of Members’ Capital, have been fair valued using NAV as a practical expedient.

 

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual or annual financial statements.

 

 

 

 

The following table presents information about the level within the fair valuation hierarchy at which the Funds’ investments are measured as of April 30, 2020:

 

Aetos Multi-Strategy Arbitrage Fund, LLC            
Strategy  Level 1   Level 2   Level 3   Total 
Investments in Portfolio Funds (1)  $—   $—   $—   $450,094,859 
Money Market Investment   16,085,842    —    —    16,085,842 
Total Investments  $16,085,842   $—   $—   $466,180,701 
                     
Aetos Distressed Investment Strategies Fund, LLC                    
Strategy   Level 1    Level 2    Level 3    Total 
Investments in Portfolio Funds (1)  $—   $—   $—   $265,329,582 
Money Market Investment   19,934,052    —    —    19,934,052 
Total Investments  $19,934,052   $—   $—   $285,263,634 
                     
Aetos Long/Short Strategies Fund, LLC                    
Strategy   Level 1    Level 2    Level 3    Total 
Investments in Portfolio Funds (1)  $—   $—   $—   $743,967,218 
Money Market Investment   10,801,477    —    —    10,801,477 
Total Investments  $10,801,477   $—   $—   $754,768,695 

 

(1)In accordance with ASU 2015-07 investments in Portfolio Funds that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Schedule of Investments.