NPORT-EX 2 tm2038542d10_Aetos_nportex.htm

AETOS MULTI-STRATEGY ARBITRAGE FUND, LLC

AETOS DISTRESSED INVESTMENT STRATEGIES FUND, LLC

AETOS LONG/SHORT STRATEGIES FUND, LLC

Quarterly Report (unaudited)

October 31, 2020

Aetos Multi-Strategy Arbitrage Fund, LLC

Schedule of Investments (Unaudited)

October 31, 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 - 10/01/20	$	21,311,526	$	19,886,208		4.02	%		Daily
Total Commodity Trading Advisor				21,311,526		19,886,208		4.02

Credit - Convertible Arbitrage ⁽⁴⁾
Aequim Arbitrage Fund LP		03/01/19 - 06/01/19		30,000,000		37,683,234		7.61			Quarterly*
Total Credit - Convertible Arbitrage				30,000,000		37,683,234		7.61

Event Driven Arbitrage ⁽⁵⁾
Davidson Kempner Partners		07/01/06 - 07/01/12		49,041,414		85,686,589		17.31			Semi-Annual
Farallon Capital Offshore Investors, Inc.		02/01/07 - 04/01/12		45,554,327		87,927,006		17.76			Semi-Annual*
Governors Lane Onshore Fund LP		08/01/15 - 08/01/16		35,000,000		39,680,562		8.02			Quarterly*
Luxor Capital Partners Liquidating SPV, LLC		07/01/16		279,527		226,079		0.05			Liquidating
Oceanwood European Financials Capital Structure
Opportunities Segregated Portfolio		08/01/19		15,000,000		15,395,941		3.11			Quarterly*
Oceanwood Opportunities Fund L.P.		02/01/12 - 07/01/16		41,969,897		59,029,949		11.92			Quarterly
Total Event Driven Arbitrage				186,845,165		287,946,126		58.17

Fixed Income Arbitrage ⁽⁶⁾
FFIP, L.P.		04/01/07 - 04/01/12		37,984,278		79,479,164		16.06			Annual*
Parsec Onshore Partners, L.P.		07/01/07 - 04/01/12		34,127,311		56,590,849		11.43			Monthly
Total Fixed Income Arbitrage				72,111,589		136,070,013		27.49

Total investments in Portfolio Funds				310,268,280		481,585,581		97.29

Money Market Investment
JPMorgan U.S. Government Money Market Fund,
Agency Shares, 0.01%⁽²⁾ (Shares 14,877,820)				14,877,820		14,877,820		3.01

Total investments			$	325,146,100	$	496,463,401		100.30	%

Aetos Multi-Strategy Arbitrage Fund, LLC

Schedule of Investments (Unaudited) (Concluded)

October 31, 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 $494,987,115.

⁽²⁾

Rate disclosed is the 7-day effective yield as of 10/31/2020.

(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 $473,581,515. Net unrealized appreciation on investments for tax purposes was $22,881,886 consisting of $24,239,625 of gross unrealized appreciation and $1,357,739 of gross unrealized depreciation.

The investments in Portfolio Funds shown above, representing 97.29% 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)

October 31, 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	$	1,239,304	$	1,902,340		0.65	%		Side Pockets Only
Centerbridge Credit Partners, L.P.	06/01/10 - 05/01/16		30,328,799		43,807,865		14.92			Bi-Annual**
Davidson Kempner Distressed Opportunities Fund LP	11/01/09 - 05/01/13		28,597,674		51,024,041		17.38			Annual
Marble Ridge LP	02/01/17 - 06/01/20		14,273,502		13,467,612		4.59			Liquidating
Total Distressed - Long Biased			74,439,279		110,201,858		37.54

Distressed - Variable Biased ⁽⁴⁾
Anchorage Capital Partners, L.P.	09/01/08 - 07/01/16		28,601,088		49,733,619		16.94			Annual*
Aurelius Capital Partners, LP	07/01/08 - 01/01/13		23,259,994		39,182,559		13.35			Semi-Annual*
King Street Capital, L.P.	08/01/07 - 07/01/08		25,140,115		43,894,676		14.96			Quarterly*
Total Distressed - Variable Biased			77,001,197		132,810,854		45.25

Total investments in Portfolio Funds			151,440,476		243,012,712		82.79

Money Market Investment
JPMorgan U.S. Government Money Market Fund,
Agency Shares, 0.01%⁽²⁾ (Shares 38,936,230)			38,936,230		38,936,230		13.27

Total investments		$	190,376,706	$	281,948,942		96.06	%

Aetos Distressed Investment Strategies Fund, LLC

Schedule of Investments (Unaudited) (Concluded)

October 31, 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 $293,503,026.

⁽²⁾

Rate disclosed is the 7-day effective yield as of 10/31/2020.

⁽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⁾

The aggregate cost of investments for tax purposes was $295,688,430. Net unrealized depreciation on investments for tax purposes was $13,739,488 consisting of $5,882,366 of gross unrealized appreciation and $19,621,854 of gross unrealized depreciation.

The investments in Portfolio Funds shown above, representing 82.79% of Members’ Capital, have been fair valued using NAV as a practical expedient.

Aetos Long/Short Strategies Fund, LLC

Schedule of Investments (Unaudited)

October 31, 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.		07/01/11 - 05/01/15	$	28,244,171	$	59,729,827		10.44	%		Monthly
Sachem Head LP		05/01/15 - 09/01/17		25,762,438		37,729,632		6.59			Quarterly*
The Children's Investment Fund LP		05/01/20		5,000,000		5,620,500		0.98			Monthly**
Total Directional Equity				59,006,609		103,079,959		18.01

Equity Hedged - Generalist ⁽⁴⁾
Eton Park Fund, L.P.		05/01/15		59,407		86,114		0.02			Liquidating
Highfields Capital II LP		07/01/15		1,847,005		1,229,768		0.21			Liquidating
Junto Capital Partners LP		01/01/19 - 10/01/19		45,000,000		50,470,366		8.82			Quarterly*
Lakewood Capital Partners, LP		05/01/17 - 05/01/19		48,592,909		42,176,181		7.37			Quarterly
MW Market Neutral TOPS Fund		07/01/20		10,492,447		15,456,985		2.70			Monthly
MW TOPS Fund		05/01/15 - 05/01/19		26,143,993		29,706,149		5.19			Monthly
Naya Fund LP		02/01/19 - 07/01/19		29,873,598		33,131,428		5.79			Quarterly
Nitorum Fund, L.P.		12/01/17 - 06/01/19		42,705,264		49,936,840		8.73			Annual**
Viking Global Equities LP		08/01/06 - 03/01/11		16,107,423		68,189,849		11.92			Annual
Total Equity Hedged - Generalist				220,822,046		290,383,680		50.75

Equity Hedged - Sector Specialist ⁽⁵⁾
Cadian Fund LP		05/01/10 - 11/01/13		15,459,023		54,281,902		9.49			Quarterly*
Crescent Park Partners, L.P.		02/01/15		5,858,727		9,116,398		1.59			Semi-Annual*
Encompass Capital Fund L.P.		06/01/15 - 07/01/16		22,235,926		34,687,296		6.06			Quarterly*
Long Pond Capital QP Fund, LP		01/01/14 - 02/01/14		26,410,798		29,564,384		5.17			Quarterly*
North River Partners, L.P.		11/01/13		16,000,533		32,522,417		5.68			Quarterly
Woodline Fund LP		08/01/20		15,000,000		15,415,108		2.70			Quarterly**
Total Equity Hedged - Sector Specialist				100,965,007		175,587,505		30.69

Aetos Long/Short Strategies Fund, LLC

Schedule of Investments (Unaudited)

October 31, 2020

Investments	Date(s) of Acquisition		Cost		Fair Value		Percentage of Members' Capital ⁽¹⁾			Liquidity

Short-Biased Equity ⁽⁶⁾
Kriticos International Limited		05/01/13 - 11/01/18		40,950,929		21,209,585		3.71			Quarterly
Total Short-Biased Equity				40,950,929		21,209,585		3.71

Total investments in Portfolio Funds				421,744,591		590,260,729		103.16

Money Market Investment
JPMorgan U.S. Government Money Market Fund,
Agency Shares, 0.01%⁽²⁾ (Shares 13,688,056)				13,688,056		13,688,056		2.39

Total investments			$	435,432,647	$	603,948,785		105.55	%

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 $572,218,962.

⁽²⁾

Rate disclosed is the 7-day effective yield as of 10/31/2020.

⁽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⁾

⁽⁵⁾

Aetos Long/Short Strategies Fund, LLC

Schedule of Investments (Unaudited) (Concluded)

October 31, 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 $519,368,047. Net unrealized appreciation on investments for tax purposes was $84,580,738 consisting of $137,756,497 of gross unrealized appreciation and $53,175,759 of gross unrealized depreciation.

The investments in Portfolio Funds shown above, representing 103.16% of Members’ Capital, have been fair valued using NAV as a practical expedient.

The following table presents information about the level within the fair valuation hierarchy at which the Funds’ investments are measured as of October 31, 2020:

Aetos Multi-Strategy Arbitrage Fund, LLC
Strategy	Level 1		Level 2		Level 3		Total
Investments in Portfolio Funds ⁽¹⁾	$	—	$	—	$	—	$	481,585,581
Money Market Investment		14,877,820		—		—		14,877,820
Total Investments	$	14,877,820	$	—	$	—	$	496,463,401

Aetos Distressed Investment Strategies Fund, LLC
Strategy		Level 1		Level 2		Level 3		Total
Investments in Portfolio Funds ⁽¹⁾	$	-	$	—	$	—	$	243,012,712
Money Market Investment		38,936,230		—		—		38,936,230
Total Investments	$	38,936,230	$	—	$	—	$	281,948,942

Aetos Long/Short Strategies Fund, LLC
Strategy		Level 1		Level 2		Level 3		Total
Investments in Portfolio Funds ⁽¹⁾	$	—	$	—	$	—	$	590,260,729
Money Market Investment		13,688,056		—		—		13,688,056
Total Investments	$	13,688,056	$	—	$	—	$	603,948,785

⁽¹⁾

In accordance with ASC 820-10-35-54B investments in Portfolio Funds that are measured at fair value using the net asset value per share (or its equivalent) as a 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.