Aetos Multi-strategy Arbitrage Fund NPORTP (Apr 2020 report)

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.

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 valuedusing 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 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.

Aetos Multi-strategy Arbitrage Fund NPORT-PAetos Multi-strategy Arbitrage Fund LLC (Apr 2020 report)