NPORT-EX 2 tm1924059d1_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, 2019

 

 

 

Aetos Multi-Strategy Arbitrage Fund, LLC

Schedule of Investments (Unaudited)

October 31, 2019

 

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   $20,530,560    4.14%   Daily  
Total Commodity Trading Advisor        20,311,526    20,530,560    4.14      
                          
Credit - Convertible Arbitrage (4)                         
Aequim Arbitrage Fund LP   03/01/19 - 06/01/19    30,000,000    30,807,206    6.20    Quarterly*  
Total Credit - Convertible Arbitrage        30,000,000    30,807,206    6.20      
                          
Event Driven Arbitrage (5)                         
Davidson Kempner Partners   07/01/06 - 07/01/12    51,298,152    87,441,880    17.61    Semi-Annual  
Farallon Capital Offshore Investors, Inc.   02/01/07 - 04/01/12    49,314,304    91,261,520    18.38    Semi-Annual*
Governors Lane Onshore Fund LP   08/01/15 - 08/01/16    35,000,000    38,651,479    7.78    Quarterly*  
Luxor Capital Partners Liquidating SPV, LLC07/01/16    279,527    305,122    0.06    Liquidating  
Oceanwood European Financials Capital Structure                     
Opportunities Segregated Portfolio   08/01/19    15,000,000    15,936,559    3.21    Quarterly*  
Oceanwood Opportunities Fund L.P.   02/01/12 - 07/01/16    44,841,399    58,583,627    11.80    Quarterly  
Total Event Driven Arbitrage        195,733,382    292,180,187    58.84      
                          
Fixed Income Arbitrage (6)                         
FFIP, L.P.   01/01/07 - 04/01/12    42,515,142    89,406,766    18.01    Annual*  
Parsec Onshore Partners, L.P.   07/01/07 - 04/01/12    34,127,311    52,956,451    10.66    Monthly  
Total Fixed Income Arbitrage        76,642,453    142,363,217    28.67      
                          
Total investments in Portfolio Funds        322,687,361    485,881,170    97.85      
                          
Money Market Investment                         
JPMorgan U.S. Government Money Market Fund,                     
Agency Shares, 1.62%(2) (Shares 12,260,250)        12,260,250    12,260,250    2.47      
                          
Total investments       $334,947,611   $498,141,420    100.32%     

 

 

 

Aetos Multi-Strategy Arbitrage Fund, LLC

Schedule of Investments (Unaudited) (Concluded)

October 31, 2019

 

* 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 $496,570,817.
(2) Rate disclosed is the 7-day effective yield as of 10/31/2019.
(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 $479,897,208. Net unrealized appreciation on investments for tax purposes was $18,244,212 consisting of $27,467,454 of gross unrealized appreciation and $9,223,242 of gross unrealized depreciation.

 

The investments in Portfolio Funds shown above, representing 97.85% of Members’ Capital, have been fair valued.

 

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, 2019

 

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   $2,027,784   $2,936,266    0.95%  Side Pockets Only
Centerbridge Credit Partners, L.P.   06/01/10 - 05/01/16    30,351,604    44,274,433    14.35   Bi-Annual*
Davidson Kempner Distressed Opportunities Fund LP11/01/09 - 05/01/13    28,597,674    54,292,683    17.59   Annual
Marble Ridge LP   12/01/16 - 02/01/17    25,000,000    27,921,391    9.05   Quarterly*
Silver Point Capital Fund, L.P.   07/01/08    390,994    —    0.00   Side Pockets Only
Total Distressed - Long Biased        86,368,056    129,424,773    41.94    
                        
Distressed - Variable Biased (4)                       
Anchorage Capital Partners, L.P.   09/01/08 - 07/01/16    28,601,088    49,449,162    16.02   Annual*
Aurelius Capital Partners, LP   07/01/08 - 01/01/13    25,646,328    45,129,605    14.62   Semi-Annual*
King Street Capital, L.P.   08/01/07 - 07/01/08    25,140,116    44,011,521    14.26   Quarterly*
Total Distressed - Variable Biased        79,387,532    138,590,288    44.90    
                        
Distressed - Short Biased Credit (5)                       
Anchorage Short Credit Fund, L.P.   11/01/16 - 06/01/19    24,500,000    21,508,219    6.97   Monthly
Total Distressed - Short Biased Credit        24,500,000    21,508,219    6.97    
                        
Total investments in Portfolio Funds        190,255,588    289,523,280    93.81    
                        
Money Market Investment                       
JPMorgan U.S. Government Money Market Fund,                       
Agency Shares, 1.62%(2) (Shares 20,082,244)        20,082,244    20,082,244    6.50    
                        
Total investments       $210,337,832   $309,605,524    100.31%   

 

 

 

Aetos Distressed Investment Strategies Fund, LLC

Schedule of Investments (Unaudited) (Concluded)

October 31, 2019

 

* 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 $308,636,618.
(2) Rate disclosed is the 7-day effective yield as of 10/31/2019.
(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 $306,345,541. Net unrealized appreciation on investments for tax purposes was $3,259,983 consisting of $11,789,584 of gross unrealized appreciation and $8,529,601 of gross unrealized depreciation.

 

The investments in Portfolio Funds shown above, representing 93.81% of Members’ Capital, have been fair valued.

 

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)

October 31, 2019

 

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   $50,152,454   $101,531,136    10.06%   Monthly
Sachem Head LP   05/01/15 - 09/01/17    50,000,000    60,089,666    5.96    Quarterly*
Total Directional Equity        100,152,454    161,620,802    16.02    
                        
Equity Hedged - Generalist (4)                       
Eminence Partners, L.P.   01/01/14 - 05/01/19    71,000,000    92,299,197    9.15    Quarterly**
Eton Park Fund, L.P.   05/01/15    59,406    123,845    0.01    Liquidating
Highfields Capital II LP   07/01/15    2,349,140    2,613,400    0.26    Liquidating
Junto Capital Partners LP   01/01/19 – 10/01/19    45,000,000    46,569,811    4.62    Quarterly**
Lakewood Capital Partners, LP   05/01/17 - 05/01/19    75,000,000    79,912,481    7.92    Quarterly**
MW TOPS Fund   06/01/13 - 05/01/19    59,961,818    75,165,339    7.45    Monthly
Naya Fund LP   02/01/19 - 07/01/19    35,000,000    36,979,864    3.66    Quarterly**
Nitorum Fund, L.P.   12/01/17 - 06/01/19    45,000,000    50,276,228    4.98    Annual**
Turiya Fund LP   03/01/12 - 05/01/14    30,015,166    36,857,761    3.65    Quarterly*
Viking Global Equities LP   11/01/05 - 03/01/11    24,795,574    95,300,781    9.44    Annual
Total Equity Hedged - Generalist        388,181,104    516,098,707    51.14    
                        
Equity Hedged - Sector Specialist (5)                       
Cadian Fund LP   07/01/08 - 11/01/13    27,371,158    60,790,800    6.02    Quarterly*
Crescent Park Partners, L.P.   02/01/15    17,576,182    25,738,630    2.55    Semi-Annual*
Encompass Capital Fund L.P.   06/01/15 - 07/01/16    35,000,000    55,023,720    5.45    Quarterly*
Long Pond Capital QP Fund, LP   01/01/14 - 02/01/14    42,217,853    64,952,477    6.44    Quarterly*
North River Partners, L.P.   06/01/13 - 11/01/13    36,713,495    65,290,036    6.47    Quarterly
Total Equity Hedged - Sector Specialist        158,878,688    271,795,663    26.93    

 

 

 

Aetos Long/Short Strategies Fund, LLC

Schedule of Investments (Unaudited)

October 31, 2019

 

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    66,007,196    37,868,161    3.75    Quarterly
Total Short-Biased Equity        66,007,196    37,868,161    3.75    
                        
Total investments in Portfolio Funds        713,219,442    987,383,333    97.84    
                        
Money Market Investment                       
JPMorgan U.S. Government Money Market Fund,                       
Agency Shares, 1.62%(2) (Shares 23,411,037)        23,411,037    23,411,037    2.32    
                        
Total investments       $736,630,479   $1,010,794,370    100.16% 

 

 

* 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 $1,009,191,773.
(2) Rate disclosed is the 7-day effective yield as of 10/31/2019.
(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)

October 31, 2019

 

(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 $919,468,947. Net unrealized appreciation on investments for tax purposes was $91,325,423 consisting of $128,289,606 of gross unrealized appreciation and $36,964,183 of gross unrealized depreciation.

 

The investments in Portfolio Funds shown above, representing 97.84% of Members’ Capital, have been fair valued.

 

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 October 31, 2019:

 

Aetos Multi-Strategy Arbitrage Fund, LLC            
Strategy  Level 1   Level 2   Level 3   Total 
Investments in Portfolio Funds (1)  $—   $—   $—   $485,881,170 
Money Market Investment   12,260,250    —    —    12,260,250 
Total Investments  $12,260,250   $          —   $    —   $498,141,420 
                     
Aetos Distressed Investment Strategies Fund, LLC                    
Strategy   Level 1    Level 2    Level 3    Total 
Investments in Portfolio Funds (1)  $—   $—   $—   $289,523,280 
Money Market Investment   20,082,244    —    —    20,082,244 
Total Investments  $20,082,244   $—   $—   $309,605,524 
                     
Aetos Long/Short Strategies Fund, LLC                    
Strategy   Level 1    Level 2    Level 3    Total 
Investments in Portfolio Funds (1)  $—   $—   $—   $987,383,333 
Money Market Investment   23,411,037    —    —    23,411,037 
Total Investments  $23,411,037   $—   $—   $1,010,794,370 

 

(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.