Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
The Report to Shareholders is attached herewith.
ASGI Corbin Multi-Strategy Fund, LLC
Consolidated Financial Statements as of and for the
Six Month Period Ended September 30, 2013
ASGI Corbin Multi-Strategy Fund, LLC
Table of Contents
| | Page |
| | |
| Consolidated Schedule of Investments | 1 |
| | |
| Consolidated Statement of Assets, Liabilities and Net Assets | 9 |
| | |
| Consolidated Statement of Operations | 10 |
| | |
| Consolidated Statements of Changes in Net Assets | 11 |
| | |
| Consolidated Statement of Cash Flows | 12 |
| | |
| Consolidated Financial Highlights | 13 |
| | |
| Notes to Consolidated Financial Statements | 14 |
| | |
| Supplemental Information | 32 |
ASGI Corbin Multi-Strategy Fund, LLC
Consolidated Schedule of Investments (unaudited)
As of September 30, 2013
| Strategy | Investments | | Cost | | | Fair Value | |
| Investment Funds - 97.38% | | | | | | |
| Asset-Backed Securities - 17.05% | | | | | | |
| | Halcyon Structured Opportunities Fund LP* | | $ | 13,992 | | | $ | 10,894 | |
| | Perella Weinberg Partners Asset Based Value Offshore Fund LP | | | 5,070,709 | | | | 6,007,106 | |
| | Pine River Fixed Income Fund Ltd | | | 3,978,811 | | | | 4,897,868 | |
| | Seer Capital Partners Offshore Fund | | | 5,350,000 | | | | 5,796,763 | |
| | Serengeti Lycaon Overseas Ltd | | | 4,602,589 | | | | 5,467,486 | |
| | Serengeti Segregated Portfolio Company, Ltd. | | | 716,672 | | | | 832,855 | |
| | | | | | | | | 23,012,972 | |
| Equity Special Situations - 8.40% | | | | | | | | |
| | Ironsides Partners Special Situations Offshore Fund Ltd. | | | 1,800,000 | | | | 1,845,567 | |
| | Jet Capital Concentrated Offshore Fund, Ltd | | | 3,997,383 | | | | 4,781,710 | |
| | Jet Capital Select Opportunities Offshore Fund, Ltd | | | 900,000 | | | | 915,511 | |
| | Pershing Square Holdings, Ltd | | | 2,602,093 | | | | 2,605,101 | |
| | Third Point Offshore Investors Ltd | | | 948,331 | | | | 1,192,400 | |
| | | | | | | | | 11,340,289 | |
| Event Driven/Distressed - 21.91% | | | | | | | | |
| | Anchorage Capital Partners Offshore, Ltd | | | 8,118,631 | | | | 9,076,735 | |
| | Anchorage Capital Partners, LP | | | 11,470 | | | | 3,047 | |
| | Archer Capital Fund LP* | | | 60,760 | | | | 54,065 | |
| | Archer SPE I LLC* | | | 79,547 | | | | 63,342 | |
| | Drawbridge Special Opportunities Fund, LP* | | | 1,244,865 | | | | 1,818,731 | |
| | Garrison Special Opportunities Fund LP* | | | 707,610 | | | | 693,598 | |
| | New Point V Ltd | | | 1,305,900 | | | | 1,411,537 | |
| | Redwood Offshore Fund Ltd | | | 7,900,000 | | | | 9,138,973 | |
| | Silver Lake Credit Fund (Offshore), Ltd | | | 345,970 | | | | 452,411 | |
| | Venor Capital Offshore Ltd. | | | 6,100,000 | | | | 6,874,311 | |
| | | | | | | | | 29,586,750 | |
| Global Macro - 19.00% | | | | | | | | |
| | Autonomy Global Macro Fund Ltd | | | 5,300,000 | | | | 5,482,504 | |
| | BH Macro Ltd | | | 2,988,694 | | | | 3,097,950 | |
| | Brevan Howard Fund Limited | | | 3,068,126 | | | | 3,311,864 | |
| | COMAC Global Macro Fund Limited | | | 1,719,133 | | | | 1,589,002 | |
| | D.E. Shaw Oculus International Fund | | | 3,026,248 | | | | 3,276,891 | |
| | Discovery Global Macro Fund Ltd. | | | 2,500,000 | | | | 2,426,935 | |
| | Fortress Macro Fund Ltd | | | 3,600,000 | | | | 3,790,794 | |
| | Tyticus Partners II Ltd | | | 83,103 | | | | 74,207 | |
| | WCG Offshore Fund, Ltd | | | 2,604,152 | | | | 2,597,751 | |
| | | | | | | | | 25,647,898 | |
See accompanying notes to consolidated financial statements.
ASGI Corbin Multi-Strategy Fund, LLC
Consolidated Schedule of Investments (unaudited) (continued)
As of September 30, 2013
| Strategy | Investments | | Cost | | | Fair Value | |
| Investment Funds - 97.38% (continued) | | | | | | |
| Long/Short Equity - 20.41% | | | | | | |
| | Cadian Offshore Fund Ltd | | $ | 4,708,434 | | | $ | 4,897,858 | |
| | Marble Arch Offshore Partners Ltd | | | 2,620,568 | | | | 3,121,056 | |
| | Pelham Long/Short Fund Ltd | | | 4,400,000 | | | | 5,485,667 | |
| | Squadra Equity Fund Ltd | | | 2,750,000 | | | | 2,596,749 | |
| | SRS Partners, Ltd | | | 6,250,000 | | | | 7,800,181 | |
| | Tekne Offshore Fund, Ltd | | | 3,100,000 | | | | 3,606,114 | |
| | TPG-Axon Partners, LP* | | | 58,653 | | | | 49,840 | |
| | | | | | | | | 27,557,465 | |
| Relative Value - 10.61% | | | | | | | | |
| | BlueCrest Capital International Limited | | | 1,862,168 | | | | 2,029,780 | |
| | D.E. Shaw Composite Fund LLC* | | | 87,214 | | | | 85,559 | |
| | D.E. Shaw Composite International Fund | | | 7,000,000 | | | | 7,173,111 | |
| | Kildonan Castle Global Credit Opportunity Fund Ltd. | | | 1,800,000 | | | | 1,821,823 | |
| | QVT Onshore LP* | | | 64,993 | | | | 70,057 | |
| | QVT SLV Onshore Ltd* | | | 39,957 | | | | 72,739 | |
| | QVT Special Investment Onshore Fund Ltd* | | | 25,171 | | | | 34,029 | |
| | Saba Capital Leveraged Offshore Fund, Ltd | | | 3,172,644 | | | | 3,038,213 | |
| | | | | | | | | 14,325,311 | |
See accompanying notes to consolidated financial statements.
ASGI Corbin Multi-Strategy Fund, LLC
Consolidated Schedule of Investments (unaudited) (continued)
As of September 30, 2013
| Strategy | Investments | | Strike Price | | Expiration Date | | Cost | | | Fair Value | |
| Purchased Options - 0.13% | | | | | | | | | | |
| Currency Options - 0.00% | | | | | | | | | | |
| | Put Option - OTC - Morgan Stanley Capital Services Inc., USD vs JPY | | JPY 120 | | 04/24/2014 | | $ | 5,808 | | | $ | 2 | |
| | | | | | | | | | | | | | |
| Index Options - 0.13% | | | | | | | | | | | | |
| | Put Option - OTC - Morgan Stanley Capital Services Inc., SPX | | $ | 1,700 | | 01/18/2014 | | $ | 28,804 | | | $ | 40,200 | |
| | Put Option - OTC - Morgan Stanley Capital Services Inc., SPX | | $ | 1,650 | | 12/31/2013 | | | 47,727 | | | | 36,810 | |
| | Put Option - OTC - Morgan Stanley Capital Services Inc., SPX | | $ | 1,675 | | 12/31/2013 | | | 30,005 | | | | 30,180 | |
| | Put Option - OTC - Morgan Stanley Capital Services Inc., SPX | | $ | 1,650 | | 12/21/2013 | | | 22,625 | | | | 22,500 | |
| | Put Option - OTC - Morgan Stanley Capital Services Inc., SPX | | $ | 1,675 | | 11/16/2013 | | | 16,925 | | | | 20,400 | |
| | Put Option - OTC - Morgan Stanley Capital Services Inc., SPX | | $ | 1,650 | | 11/16/2013 | | | 18,018 | | | | 15,330 | |
| | Put Option - OTC - Morgan Stanley Capital Services Inc., SPX | | $ | 1,600 | | 10/19/2013 | | | 16,638 | | | | 3,270 | |
| | | | | | | | | | | | | | 168,690 | |
| Total Investments (Cost $118,871,141**) - 97.51% | | | | | | | | | | | 131,639,377 | |
| Other Assets and Liabilities, net - 2.49% | | | | | | | | | | | 3,367,105 | |
| Net Assets - 100.00% | | | | | | | | | | | $ | 135,006,482 | |
Percentages shown are stated as a percentage of net assets as of September 30, 2013. All investments in Investment Funds are non-income producing.
| * | Investment Fund held in ASGI Special Asset Holdings, Inc. |
| | |
| ** | The cost and unrealized appreciation/(depreciation) of investments as of September 30, 2013, as computed for federal tax purposes, were as follows: |
| | Aggregate cost | $ | 121,154,237 | |
| | | | | |
| | Gross unrealized appreciation | $ | 13,432,788 | |
| | Gross unrealized depreciation | | (3,116,340 | ) |
| | Net unrealized appreciation | $ | 10,316,448 | |
See accompanying notes to consolidated financial statements.
ASGI Corbin Multi-Strategy Fund, LLC
Consolidated Schedule of Investments (unaudited) (continued)
As of September 30, 2013
| Investments by Strategy (as a percentage of total investments) |
| Investment Funds |
| Event Driven/Distressed | 22.48 | % |
| Long/Short Equity | 20.93 | |
| Global Macro | 19.48 | |
| Asset-Backed Securities | 17.48 | |
| Relative Value | 10.88 | |
| Equity Special Situations | 8.62 | |
| Total Investment Funds | 99.87 | |
| Purchased Options | 0.13 | |
| | 100.00 | % |
Credit Default Swaps Outstanding as of September 30, 2013:
Credit Default Swap Agreements on Credit Indices - Buy Protection (1)
| Counterparty | Reference Entity/Obligation | Buy/ Sell | (Pay) Receive Fixed Rate (%) | Termination Date | Notional Amount(2) | | Fair Value(3) | | Upfront Payments (Received)/ Paid | |
| |
| |
| |
| |
| Morgan Stanley Capital Services Inc. | iTraxx Europe Series 9 Version 1 | Buy | | (0.25 | ) | 6/20/2015 | | € | 285,000 | | | $ | (1,639 | ) | | $ | (849 | ) |
| Morgan Stanley Capital Services Inc. | iTraxx Europe Sub Financials Series 10 Version 1 | Buy | | (2.20 | ) | 12/20/2013 | | € | 147,500 | | | | (833 | ) | | | 5,402 | |
| Morgan Stanley Capital Services Inc. | CDX.NA.HY.19 | Buy | | (5.00 | ) | 12/20/2017 | | $ | 408,000 | | | | (29,057 | ) | | | (12,013 | ) |
| Morgan Stanley Capital Services Inc. | CDX.NA.IG.18 | Buy | | (1.00 | ) | 6/20/2017 | | $ | 1,520,000 | | | | (26,286 | ) | | | 10,538 | |
| | | | | | | | | | | | | $ | (57,815 | ) | | $ | 3,078 | |
See accompanying notes to consolidated financial statements.
ASGI Corbin Multi-Strategy Fund, LLC
Consolidated Schedule of Investments (unaudited) (continued)
As of September 30, 2013
Credit Default Swap Agreements on Corporate and Sovereign Issues - Buy Protection (1)
| Counterparty | Reference Entity/Obligation | | (Pay) Receive Fixed Rate (%) | Termination Date | | | Notional Amount(2) | | | | | | | |
| Morgan Stanley Capital Services Inc. | Australia and New Zealand Banking Group Ltd | Buy | (1.00 | ) | 12/20/2016 | | $ | 98,000 | | $ | (1,266 | ) | $ | 3,845 | |
| Morgan Stanley Capital Services Inc. | BorgWarner, Inc. | Buy | (1.00 | ) | 3/20/2015 | | $ | 57,000 | | | (632 | ) | | (816 | ) |
| Morgan Stanley Capital Services Inc. | Capital One Bank (USA), National Association | Buy | (1.00 | ) | 6/20/2016 | | $ | 100,000 | | | (2,033 | ) | | (1,465 | ) |
| Morgan Stanley Capital Services Inc. | Caterpillar Financial Services Corporation | Buy | (2.73 | ) | 12/20/2013 | | $ | 29,500 | | | (172 | ) | | (1,835 | ) |
| Morgan Stanley Capital Services Inc. | Commonwealth Bank of Australia | Buy | (1.00 | ) | 12/20/2016 | | $ | 98,000 | | | (1,266 | ) | | 3,845 | |
| Morgan Stanley Capital Services Inc. | Commonwealth of Australia | Buy | (1.00 | ) | 12/20/2016 | | $ | 109,000 | | | (2,634 | ) | | (972 | ) |
| Morgan Stanley Capital Services Inc. | Credit Suisse (USA), Inc. | Buy | (0.33 | ) | 12/20/2014 | | $ | 81,000 | | | (25 | ) | | 141 | |
| Morgan Stanley Capital Services Inc. | Federal Republic Of Germany | Buy | (0.12 | ) | 9/20/2018 | | $ | 114,000 | | | 580 | | | 4,324 | |
| Morgan Stanley Capital Services Inc. | Kingdom of Spain | Buy | (0.40 | ) | 3/20/2018 | | $ | 21,000 | | | 1,481 | | | 3,611 | |
| Morgan Stanley Capital Services Inc. | Kingdom of Sweden | Buy | (0.69 | ) | 12/20/2015 | | $ | 42,000 | | | (602 | ) | | (606 | ) |
| Morgan Stanley Capital Services Inc. | Lowe's Companies, Inc. | Buy | (1.25 | ) | 12/20/2013 | | $ | 126,000 | | | (343 | ) | | (3,403 | ) |
| Morgan Stanley Capital Services Inc. | Masco Corp. | Buy | (1.00 | ) | 3/20/2015 | | $ | 57,000 | | | (529 | ) | | 2,235 | |
| Morgan Stanley Capital Services Inc. | National Australia Bank Ltd | Buy | (1.00 | ) | 12/20/2016 | | $ | 49,000 | | | (633 | ) | | 1,923 | |
| Morgan Stanley Capital Services Inc. | National Rural Utilities Cooperative Finance Corp. | Buy | (1.00 | ) | 6/20/2014 | | $ | 98,000 | | | (668 | ) | | 384 | |
| Morgan Stanley Capital Services Inc. | National Rural Utilities Cooperative Finance Corp. | Buy | (1.00 | ) | 9/20/2014 | | $ | 32,500 | | | (292 | ) | | 212 | |
| Morgan Stanley Capital Services Inc. | Nordstrom, Inc. | Buy | (1.00 | ) | 6/20/2014 | | $ | 100,000 | | | (674 | ) | | (1,065 | ) |
| Morgan Stanley Capital Services Inc. | People's Republic Of China | Buy | (1.00 | ) | 6/20/2016 | | $ | 100,000 | | | (1,409 | ) | | (1,057 | ) |
| Morgan Stanley Capital Services Inc. | ProLogis | Buy | (1.00 | ) | 12/20/2014 | | $ | 63,000 | | | (580 | ) | | 1,054 | |
| Morgan Stanley Capital Services Inc. | Simon Property Group, LP | Buy | (1.00 | ) | 12/20/2014 | | $ | 126,000 | | | (1,308 | ) | | (948 | ) |
| Morgan Stanley Capital Services Inc. | The Dow Chemical Company | Buy | (1.00 | ) | 6/20/2014 | | $ | 100,000 | | | (678 | ) | | (1,334 | ) |
| Morgan Stanley Capital Services Inc. | The Dow Chemical Company | Buy | (1.50 | ) | 12/20/2013 | | $ | 21,000 | | | (67 | ) | | (594 | ) |
| Morgan Stanley Capital Services Inc. | The Goldman Sachs Group, Inc. | Buy | (0.47 | ) | 12/20/2017 | | $ | 40,000 | | | 1,004 | | | 1,988 | |
| Morgan Stanley Capital Services Inc. | Wells Fargo & Company | Buy | (0.73 | ) | 3/20/2014 | | $ | 20,500 | | | (63 | ) | | 13 | |
| Morgan Stanley Capital Services Inc. | Yum! Brands, Inc. | Buy | (2.30 | ) | 12/20/2013 | | $ | 59,000 | | | (296 | ) | | (3,256 | ) |
| | | | | | | | | | | $ | (13,105 | ) | $ | 6,224 | |
| (1) | If a portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a portfolio will either 1) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or 2) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | The maximum amount of future payments (undiscounted) that a portfolio as a seller of protection could be required to make or receive as a buyer of credit protection under a credit default swap agreement would be an amount equal to the notional amount of the agreement. |
| (3) | The fair values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. Increasing fair values, in absolute terms, when compared to the notional amount of the agreement, represent a deterioration of the referenced obligation's credit soundness and a greater likelihood or risk of default or other credit event occurring. |
See accompanying notes to consolidated financial statements.
ASGI Corbin Multi-Strategy Fund, LLC
Consolidated Schedule of Investments (unaudited) (continued)
As of September 30, 2013
Written Options Open as of September 30, 2013
| | Description | Strike Price | | Expiration Date | | Premium Received/(Paid) | | Fair Value | |
| Currency Options | | | | | | | | | |
| | Put Option - OTC - Morgan Stanley Capital Services Inc., USD vs JPY | JPY 130 | | 04/24/2014 | | $ | 4,162 | | $ | — | |
| Index Options | | | | | | | | | | | |
| | Call Option - OTC - Morgan Stanley Capital Services Inc. SPX | $ | 1,735 | | 11/16/2013 | | | 7,182 | | | (5,610 | ) |
| | Call Option - OTC - Morgan Stanley Capital Services Inc. SPX | $ | 1,750 | | 11/16/2013 | | | 7,195 | | | (3,510 | ) |
| | Call Option - OTC - Morgan Stanley Capital Services Inc. SPX | $ | 1,730 | | 12/21/2013 | | | 13,795 | | | (11,790 | ) |
| | Call Option - OTC - Morgan Stanley Capital Services Inc. SPX | $ | 1,725 | | 12/31/2013 | | | 16,856 | | | (14,580 | ) |
| | Call Option - OTC - Morgan Stanley Capital Services Inc. SPX | $ | 1,750 | | 12/31/2013 | | | 28,323 | | | (13,950 | ) |
| | Call Option - OTC - Morgan Stanley Capital Services Inc. SPX | $ | 1,775 | | 01/18/2014 | | | 14,395 | | | (7,230 | ) |
| | Put Option - OTC - Morgan Stanley Capital Services Inc. SPX | $ | 1,540 | | 10/19/2013 | | | 9,582 | | | (1,350 | ) |
| | Put Option - OTC - Morgan Stanley Capital Services Inc. SPX | $ | 1,600 | | 11/16/2013 | | | 10,782 | | | (8,550 | ) |
| | Put Option - OTC - Morgan Stanley Capital Services Inc. SPX | $ | 1,625 | | 11/16/2013 | | | 9,595 | | | (11,370 | ) |
| | Put Option - OTC - Morgan Stanley Capital Services Inc. SPX | $ | 1,530 | | 12/21/2013 | | | 7,795 | | | (7,890 | ) |
| | Put Option - OTC - Morgan Stanley Capital Services Inc. SPX | $ | 1,575 | | 12/31/2013 | | | 29,223 | | | (19,800 | ) |
| | Put Option - OTC - Morgan Stanley Capital Services Inc. SPX | $ | 1,600 | | 12/31/2013 | | | 16,195 | | | (16,200 | ) |
| | Put Option - OTC - Morgan Stanley Capital Services Inc. SPX | $ | 1,625 | | 01/18/2014 | | | 15,595 | | | (22,740 | ) |
| | | | | | | | | 186,513 | | | (144,570 | ) |
| | | | | | | | $ | 190,675 | | $ | (144,570 | ) |
Futures Contracts Open as of September 30, 2013
| | Description | Expiration Date | | Premium Received/(Paid) | | Fair Value | |
| Index Futures | | | | | | | |
| | NIKKEI 225 | 12/12/2013 | | $ | 17 | | $ | (370 | ) |
See accompanying notes to consolidated financial statements.
ASGI Corbin Multi-Strategy Fund, LLC
Consolidated Schedule of Investments (unaudited) (continued)
As of September 30, 2013
A summary of derivative instruments by primary risk exposure is outlined in the following tables:
The fair value of derivative instruments as of September 30, 2013 was as follows:
Derivative instruments not accounted for as hedging instruments | | Location on Consolidated Statement of Assets, Liabilites and Net Assets | | Fair Value | |
| Asset derivative instruments | | | | | |
| Credit Contracts | | Credit default swaps, at fair value | | $ | 3,065 | |
| Equity Contracts | | Investments in purchased index option contracts, at fair value | | | 168,690 | |
| Foreign Exchange Contracts | | Investments in purchased currency option contracts, at fair value | | | 2 | |
| Total asset derivative instruments | | | | $ | 171,757 | |
| | | | | | | |
| Liability derivative instruments | | | | | | |
| Credit Contracts | | Credit default swaps, at fair value | | $ | (73,985 | ) |
| Equity Contracts | | Futures margin payable | | | (370 | ) |
| Equity Contracts | | Written index option contracts, at fair value | | | (144,570 | ) |
| Total liability derivative instruments | | | | $ | (218,925 | ) |
Net realized gain/(loss) and net change in unrealized appreciation/(depreciation) from investments in derivative instruments for the six months ended September 30, 2013 were as follows:
Net Realized Gain/(Loss) on Derivative Instruments Recognized in Income on the Consolidated Statement of Operations
| Derivative Instruments not accounted for as hedging instruments | | Options/ Swaptions | | | Swaps | | | Futures | | | Total | |
| Equity Contracts | | $ | (55,412 | ) | | $ | – | | | $ | 1,424 | | | $ | (53,988 | ) |
| Foreign Exchange Contracts | | | 16,002 | | | | – | | | | – | | | | 16,002 | |
| Credit Contracts | | | – | | | | (2,350 | ) | | | – | | | | (2,350 | ) |
| Total | | $ | (39,410 | ) | | $ | (2,350 | ) | | $ | 1,424 | | | $ | (40,336 | ) |
Net Change in Unrealized Appreciation/(Depreciation) on Derivative Instruments Recognized in Income on the
Consolidated Statement of Operations
| Derivative Instruments not accounted for as hedging instruments | | Options/ Swaptions | | | Swaps | | | Futures | | | Total | |
| Equity Contracts | | $ | 61,807 | | | $ | – | | | $ | (370 | ) | | $ | 61,437 | |
| Foreign Exchange Contracts | | | (7 | ) | | | – | | | | – | | | | (7 | ) |
| Credit Contracts | | | 1,245 | | | | (16,228 | ) | | | – | | | | (14,983 | ) |
| Total | | $ | 63,045 | | | $ | (16,228 | ) | | $ | (370 | ) | | $ | 46,447 | |
See accompanying notes to consolidated financial statements.
ASGI Corbin Multi-Strategy Fund, LLC
Consolidated Statement of Assets, Liabilities and Net Assets (unaudited)
As of September 30, 2013
| Assets | |
| | | | | |
| Investments in Investment Funds, at fair value (cost - $118,684,591) | | $ | 131,470,685 | |
| Investments in purchased currency option contracts, at fair value (cost - $5,808) | | | 2 | |
| Investments in purchased index option contracts, at fair value (cost - $180,742) | | | 168,690 | |
| Total Investments | | | 131,639,377 | |
| Cash and cash equivalents | | | 4,763,241 | |
| Investments in Investment Funds paid in advance | | | 3,500,000 | |
| Receivable for investments in Investment Funds sold | | | 3,153,004 | |
| Due from broker | | | 898 | |
| Other prepaid assets | | | 5,826 | |
| Total assets | | | 143,062,346 | |
| | | | | |
| Liabilities | |
| | | | | |
| Tenders payable | | | 1,023,752 | |
| Subscriptions received in advance | | | 2,853,680 | |
| Loan payable | | | 3,000,000 | |
| Management fee payable | | | 409,715 | |
| Due to Adviser | | | 167,062 | |
| Written index option contracts, at fair value (proceeds received - $186,513) | | | 144,570 | |
| Credit default swaps, at fair value (upfront premiums paid - $9,302) | | | 70,920 | |
| Deferred tax liability | | | 20,149 | |
| Fund Board fees payable | | | 13,992 | |
| Investor Distribution and Servicing Fee payable | | | 4,918 | |
| Interest payable on credit default swaps | | | 1,772 | |
| Futures margin payable | | | 370 | |
| Accrued expenses and other liabilities | | | 344,964 | |
| Total liabilities | | | 8,055,864 | |
| | | | | |
| Net Assets | |
| | | | | |
| Total net assets | | $ | 135,006,482 | |
| | | | | |
| Net Assets consist of: | |
| | | | | |
| Paid-in capital | | $ | 126,644,757 | |
| Undistributed net investment loss | | | (4,741,220 | ) |
| Accumulated net realized gain/(loss) on investments | | | 824,484 | |
| Net unrealized appreciation/(depreciation) on investments | | | 12,278,461 | |
| Retained earnings | | | 8,361,725 | |
| Total net assets | | $ | 135,006,482 | |
| | | | | |
| Net Assets per Share | |
| | |
| ASGI Corbin Multi-Strategy Fund, LLC Class I (1,104,682.286 Shares outstanding) | | $ | 111.09 | |
| ASGI Corbin Multi-Strategy Fund, LLC Class A (113,743.170 Shares outstanding) | | $ | 108.05 | |
See accompanying notes to consolidated financial statements.
ASGI Corbin Multi-Strategy Fund, LLC
Consolidated Statement of Operations (unaudited)
For the Six Month Period Ended September 30, 2013
| Investment Income | |
| | | | | |
| Interest | | $ | 233 | |
| | | | | |
| Fund Expenses | |
| | | | | |
| Management fee | | | 771,652 | |
| Professional fees | | | 237,451 | |
| Administrative and custodian fees | | | 149,733 | |
| Income tax expense | | | 54,399 | |
| Fund Board fees | | | 23,677 | |
| Commitment fees | | | 16,395 | |
| Investor Distribution and Servicing fee | | | 7,072 | |
| Other operating expenses | | | 39,400 | |
| Total operating expenses | | | 1,299,779 | |
| Interest expense | | | 35,848 | |
| Total expenses | | | 1,335,627 | |
| Expense recoupment by Adviser | | | 167,062 | |
| Net expenses | | | 1,502,689 | |
| Net investment loss | | | (1,502,456 | ) |
| | | | | |
| Net Realized and Unrealized Gain/(Loss) on Investments | |
| | | | | |
| Net realized gain/(loss) from investments in Investment Funds | | | 63,640 | |
| Net realized gain/(loss) on currency options | | | 16,002 | |
| Net realized gain/(loss) on index options | | | (55,412 | ) |
| Net realized gain/(loss) on credit default swaps | | | (2,350 | ) |
| Net realized gain/(loss) on futures | | | 1,424 | |
| Net realized gain/(loss) on foreign currency transactions | | | (630 | ) |
| Net realized gain/(loss) on distribution from investments in Investment Funds | | | 120,827 | |
| Net change in unrealized appreciation/(depreciation) from investments in Investment Funds | | | 4,128,045 | |
| Net change in unrealized appreciation/(depreciation) on purchased currency option contracts | | | (12 | ) |
| Net change in unrealized appreciation/(depreciation) on written currency option contracts | | | 5 | |
| Net change in unrealized appreciation/(depreciation) on purchased index option contracts | | | 11,853 | |
| Net change in unrealized appreciation/(depreciation) on written index option contracts | | | 49,954 | |
| Net change in unrealized appreciation/(depreciation) on credit default swaps | | | (16,228 | ) |
| Net change in unrealized appreciation/(depreciation) on swaptions | | | 1,245 | |
| Net change in unrealized appreciation/(depreciation) on futures | | | (370 | ) |
| Net change in unrealized appreciation/(depreciation) on foreign currency translations | | | (239 | ) |
| Total net realized and unrealized gain/(loss) from investments | | | 4,317,754 | |
| Net increase in net assets resulting from operations | | $ | 2,815,298 | |
See accompanying notes to consolidated financial statements.
ASGI Corbin Multi-Strategy Fund, LLC
Consolidated Statements of Changes in Net Assets
| | |
| Net increase/(decrease) in net assets | | For the Six Month Period Ended September 30, 2013 (unaudited) | | For the Year Ended March 31, 2013 |
| Operations | | | | | | | | |
| | | | | | | | | |
| Net investment loss | | $ | (1,502,456 | ) | | $ | (1,636,676 | ) |
| Net realized gain/(loss) on investments in Investment Funds | | | 63,640 | | | | 857,526 | |
| Net realized gain/(loss) on currency options | | | 16,002 | | | | (1,090 | ) |
| Net realized gain/(loss) on index options | | | (55,412 | ) | | | (4,880 | ) |
| Net realized gain/(loss) on credit default swaps | | | (2,350 | ) | | | (35,825 | ) |
| Net realized gain/(loss) on equity sold short | | | – | | | | (11,799 | ) |
| Net realized gain/(loss) on futures | | | 1,424 | | | | – | |
| Net realized gain/(loss) on foreign currency transactions | | | (630 | ) | | | 702 | |
| Net realized gain/(loss) on distribution from investments in Investment Funds | | | 120,827 | | | | – | |
| Net change in unrealized appreciation/(depreciation) from investments in Investment Funds | | | 4,128,045 | | | | 7,028,028 | |
| Net change in unrealized appreciation/(depreciation) on purchased currency option contracts | | | (12 | ) | | | 2,408 | |
| Net change in unrealized appreciation/(depreciation) on written currency option contracts | | | 5 | | | | (1,327 | ) |
| Net change in unrealized appreciation/(depreciation) on purchased index option contracts | | | 11,853 | | | | 563 | |
| Net change in unrealized appreciation/(depreciation) on written index option contracts | | | 49,954 | | | | (22,848 | ) |
| Net change in unrealized appreciation/(depreciation) on credit default swaps | | | (16,228 | ) | | | (55,259 | ) |
| Net change in unrealized appreciation/(depreciation) on swaptions | | | 1,245 | | | | (1,245 | ) |
| Net change in unrealized appreciation/(depreciation) on equity sold short | | | – | | | | 11,959 | |
| Net change in unrealized appreciation/(depreciation) on futures | | | (370 | ) | | | – | |
| Net change in unrealized appreciation/(depreciation) on foreign currency translations | | | (239 | ) | | | (245 | ) |
| Net increase in net assets resulting from operations | | | 2,815,298 | | | | 6,129,992 | |
| | | | | | | | | |
| Distributions to Shareholders | | | | | | | | |
| | | | | | | | | |
| Distribution of ordinary income | | | – | | | | (1,725,739 | ) |
| | | | | | | | | |
| Capital Transactions | | | | | | | | |
| | | | | | | | | |
| Issuance of shares | | | 33,878,210 | | | | 77,635,743 | |
| Reinvestment of distributions | | | – | | | | 775,062 | |
| Shares tendered | | | (2,458,645 | ) | | | (14,937,106 | ) |
| Increase in net assets derived from capital transactions | | | 31,419,565 | | | | 63,473,699 | |
| | | | | | | | | |
| Net Assets | | | | | | | | |
| | | | | | | | | |
| Total increase in net assets | | | 34,234,863 | | | | 67,877,952 | |
| Beginning of period | | | 100,771,619 | | | | 32,893,667 | |
| End of period | | $ | 135,006,482 | | | $ | 100,771,619 | |
| | | | | | | | | |
| Undistributed net investment loss | | $ | (4,741,220 | ) | | $ | (3,359,591 | ) |
See accompanying notes to consolidated financial statements.
ASGI Corbin Multi-Strategy Fund, LLC
Consolidated Statements of Cash Flows (unaudited)
For the Six Month Period Ended September 30, 2013
| Cash Used in Operating Activities | | | |
| | | | |
| Net increase in net assets resulting from operations | | $ | 2,815,298 | |
Adjustments to reconcile net increase in net assets resulting from operations to net cash used in operating activities: | | | | |
| Purchase of investments in Investment Funds | | | (36,946,688 | ) |
| Purchase of derivative instruments | | | (343,006 | ) |
| Proceeds from sale of investments in Investment Funds | | | 4,786,771 | |
| Proceeds from sale of derivative instruments | | | 313,139 | |
| Net realized gain/(loss) from investments in Investment Funds | | | (63,640 | ) |
| Net realized gain/(loss) on options | | | 39,410 | |
| Net realized gain/(loss) on credit default swaps | | | 2,350 | |
| Net realized gain/(loss) on futures | | | (1,424 | ) |
| Net change in unrealized appreciation/(depreciation) on investments in Investment Funds | | | (4,128,045 | ) |
| Net change in unrealized appreciation/(depreciation) from derivative instruments | | | (46,817 | ) |
| Net change in unrealized appreciation/(depreciation) on foreign currency translations | | | 239 | |
| Net change in unrealized appreciation/(depreciation) on futures | | | 370 | |
| Decrease in investments in Investment Funds paid in advance | | | 4,700,000 | |
| Decrease in receivable for investments in Investment Funds sold | | | 1,752,488 | |
| Decrease in other prepaid assets | | | 6,589 | |
| Increase in due from broker | | | (898 | ) |
| Decrease in due from Adviser | | | 132,340 | |
| Increase in management fee payable | | | 118,785 | |
| Increase in due to Adviser | | | 167,062 | |
| Increase in Fund Board fees payable | | | 1,606 | |
| Increase in Investor Distribution and Servicing Fee payable | | | 4,918 | |
| Decrease in interest payable on credit default swaps | | | (309 | ) |
| Increase in futures margin payable | | | 370 | |
| Increase in accrued expenses and other liabilities | | | 56,181 | |
| Net cash used in operating activities | | | (26,632,911 | ) |
| | | | | |
| Cash Provided by Financing Activities | | | | |
| | | | | |
| Proceeds from issuance of shares (net of change in subscriptions received in advance of $(3,344,320)) | | | 30,533,890 | |
| Payments for shares tendered (net of change in payable for tenders of $646,529) | | | (3,105,174 | ) |
| Proceeds from loan | | | 6,500,000 | |
| Principle payments on loan | | | (3,500,000 | ) |
| Net cash provided by financing activities | | | 30,428,716 | |
| | | | | |
| Cash and Cash Equivalents | | | | |
| | | | | |
| Net increase in cash and cash equivalents | | | 3,795,805 | |
| Cash and cash equivalents at beginning of period | | | 967,675 | |
| Effect of exchange rate changes | | | (239 | ) |
| Cash and cash equivalents at end of period | | $ | 4,763,241 | |
| | | | | |
| Supplemental Disclosure of Cash Flow Information | | | | |
| | | | | |
| Cash paid during the period for interest expense | | $ | 36,157 | |
See accompanying notes to consolidated financial statements.
ASGI Corbin Multi-Strategy Fund, LLC
Consolidated Financial Highlights
| | | Class I | | Class A | |
| | | For the Six Months Ended September 30, 2013 (Unaudited) | | For the Year Ended March 31, 2013 | | For the Year Ended March 31, 2012(a) | | For the Period from January 4, 2011(b) to March 31, 2011(a) | | For the Six Months Ended September 30, 2013 (Unaudited) | | For the Year Ended March 31, 2013(c) | |
| Per Share operating performance: | | | | | | | | | | | | | |
| (For Share outstanding throughout the period) | | | | | | | | | | | | | |
| Net asset value per Share, beginning of period | | $ | 108.60 | | $ | 102.67 | | $ | 101.17 | | $ | 100.00 | | $ | 105.69 | | $ | 100.00 | |
| | | | | | | | | | | | | | | | | | | | |
| Income/(loss) from investment operations: | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net investment income/(loss)(d) | | | (1.33 | ) | | (2.56 | ) | | (2.40 | ) | | (0.60 | ) | | (1.39 | ) | | (2.52 | ) |
| Net realized and unrealized gain/(loss) from investments | | | 3.82 | | | 10.85 | | | 3.90 | | | 1.77 | | | 3.75 | | | 10.57 | |
| Total income/(loss) from investment operations | | | 2.49 | | | 8.29 | | | 1.50 | | | 1.17 | | | 2.36 | | | 8.05 | |
| Less: Distribution of ordinary income to Members | | | – | | | (2.36 | ) | | – | | | – | | | – | | | (2.36 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Net asset value per Share, end of period | | $ | 111.09 | | $ | 108.60 | | $ | 102.67 | | $ | 101.17 | | $ | 108.05 | | $ | 105.69 | |
| | | | | | | | | | | | | | | | | | | | |
| Total return | | | 2.29% | (e) | | 8.16% | | | 1.48% | | | 1.17% | (e) | | 2.23% | (e) | | 8.14% | |
| | | | | | | | | | | | | | | | | | | | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | |
Gross expenses(f) (g) | | | 2.14% | | | 2.91% | | | 4.15% | | | 7.28% | | | 2.30% | | | 2.74% | |
Expenses waived/reimbursed(f) (g) | | | 0.28% | | | (0.41%) | | | (1.79%) | | | (4.91%) | | | 0.28% | | | (0.17%) | |
Net expenses, including non-reimbursable expenses(f) (g) | | | 2.42% | | | 2.50% | | | 2.36% | | | 2.37% | | | 2.58% | | | 2.57% | |
Net expenses, excluding non-reimbursable expenses(f) (g) | | | 2.25% | | | 2.25% | | | 2.25% | | | 2.25% | | | 2.25% | | | 2.25% | |
Net investment income/(loss)(f) (g) | | | (2.42%) | | | (2.49%) | | | (2.37%) | | | (2.37%) | | | (2.59%) | | | (2.56%) | |
| Net assets, end of period (in thousands) | | $ | 122,717 | | $ | 92,578 | | $ | 32,894 | | $ | 28,210 | | $ | 12,289 | | $ | 8,194 | |
| | | | | | | | | | | | | | | | | | | | |
| Portfolio turnover rate | | | 4.07% | (e) | | 20.99% | | | 33.34% | | | 4.40% | (e) | | 4.07% | (e) | | 20.99% | |
| (a) | Not consolidated numbers as ASGI Special Asset Holdings, Inc. commenced operation on April 1, 2012. |
| (b) | Inception date. |
| (c) | Date of first Member subscription into Class A Shares of the Fund following inception was April 1, 2012. |
| (d) | Based on average Shares outstanding. |
| (e) | Not annualized. |
| (f) | The expenses and net investment loss ratios do not include income or expenses of the Investment Funds in which the Fund invests. |
| (g) | Annualized for periods less than one year. |
See accompanying notes to consolidated financial statements.
ASGI Corbin Multi-Strategy Fund, LLC
Notes to Consolidated Financial Statements (unaudited)
1. Organization
ASGI Corbin Multi-Strategy Fund, LLC (the “Corbin Fund”), a Delaware limited liability company, has been registered as an investment company under the Investment Company Act of 1940, as amended (the “1940 Act”) since January 4, 2011. The Corbin Fund is a closed-end management investment company and is the successor to an unregistered investment vehicle that commenced operations on April 1, 2007.
ASGI Special Asset Holdings, Inc. (the “Domestic Blocker”) has been registered as a corporation in the state of Delaware since March 23, 2012. The Domestic Blocker is a wholly-owned subsidiary of the Corbin Fund and commenced operations on April 1, 2012 (the “Reorganization Date”). These financial statements are the consolidated financial statements of the Corbin Fund and the Domestic Blocker (collectively, the “Fund”).
Alternative Strategies Group, Inc. (the “Adviser”), a North Carolina corporation, is the investment adviser to the Fund. The Adviser has retained Corbin Capital Partners, L.P., a Delaware limited partnership, to act as the subadviser to the Fund (the “Subadviser”). The Subadviser has been engaged by the Fund and the Adviser to formulate and implement the Fund’s investment program.
The investment objective of the Fund is to achieve a consistent return on capital, with limited correlation with equity market returns over a full market cycle, through investments in a diversified portfolio of securities and other instruments including, but not limited to, securities of United States (“U.S.”) and non-U.S. corporations, U.S. government securities, non-U.S. government securities, partnership interests, money market instruments, derivatives on securities, commodity interests including futures contracts, options, options on futures, other derivatives including swaps, forward contracts, currencies, physical commodities and other instruments.
Generally, the Fund pursues its investment objective principally by allocating its capital among various collective investment vehicles (“Investment Funds”). The Fund’s investments consist primarily of Investment Funds across a range of strategies, weighted toward what the Subadviser believes to be lower volatility, relative value oriented strategies. The Fund may, in addition to investing in Investment Funds, also make investments directly, including, without limitation, for purposes of hedging certain exposures. The Subadviser may cause the Fund to maintain such cash holdings as the Subadviser may from time to time deem to be appropriate, and those holdings may at times comprise a material portion of the Fund’s assets. There can be no assurance that the Fund’s investment objective will be achieved or that the Fund will not incur losses.
The Fund’s Board of Managers (the “Fund Board”) provides broad oversight over the operations and affairs of the Fund, and has overall responsibility to manage and control the business affairs of the Fund, including the complete and exclusive authority to establish policies regarding the management, conduct, and operation of the Fund’s business. The Fund Board exercises the same powers, authority and responsibilities on behalf of the Fund as are customarily exercised by the board of directors of a registered investment company organized as a corporation.
ASGI Corbin Multi-Strategy Fund, LLC
Notes to Consolidated Financial Statements (unaudited) (continued)
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund and are in conformity with accounting principles generally accepted in the United States (“GAAP”).
(a) Valuation of investments in Investments Funds – The Fund values its investments in Investment Funds at fair value in accordance with procedures established in good faith by the Fund Board. The fair value ordinarily will be the value of an interest in an Investment Fund determined by the investment manager of the Investment Fund in accordance with the policies established by the Investment Fund, absent information indicating that such value does not represent the fair value of the interest. The Fund could reasonably expect to receive this amount from the Investment Fund if the Fund’s interest were redeemed at the time of valuation, based on information reasonably available at the time the valuation is made and that the Fund believes to be reliable. Due to the nature of the investments held by the Investment Funds, changes in market conditions and the economic environment may significantly impact the value of the Investment Funds and the fair value of the Fund’s interests in the Investment Funds. Under some circumstances, the Fund or the Adviser may determine, based on other information available to the Fund or the Adviser, that an Investment Fund’s reported valuation does not represent fair value. If it is determined that the Investment Fund’s reported valuation does not represent fair value, the Adviser may choose to make adjustments to reflect the fair value. During the six month period ended September 30, 2013, no such adjustments were deemed necessary by the Adviser. In addition, the Fund may not have an Investment Fund’s reported valuation as of a particular fiscal period end. In such cases, the Fund would determine the fair value of such an Investment Fund based on any relevant information available at the time. The Fund Board has also established procedures for the valuation of investment securities other than securities of Investment Funds, if any, held directly by the Fund.
Accounting Standards Update (“ASU”) 2009-12 permits a reporting entity to measure the fair value of an investment that does not have a readily determinable fair value based on the net asset value per share (the “NAV”), or its equivalent, of the investment as a practical expedient, without further adjustment, unless it is probable that the investment will be sold at a value significantly different than the NAV. If the practical expedient NAV is not as of the reporting entity’s measurement date, then the NAV should be adjusted to reflect any significant events that may change the valuation. In using the NAV as a practical expedient, certain attributes of the investment that may impact its fair value are not considered in measuring fair value. Attributes of those investments include but are not limited to, restrictions on the investor’s ability to redeem its investments at the measurement date and any unfunded commitments. The Fund is permitted to invest in alternative investments that do not have a readily determinable fair value, and as such, has elected to use the NAV as calculated on the reporting entity’s measurement date as the fair value of the investment.
(b) Consolidation – The Corbin Fund consolidates its investment in the Domestic Blocker because it is a wholly-owned subsidiary of the Corbin Fund. Accordingly, the accompanying consolidated financial statements include the assets and liabilities and results of operations for the aforementioned entity. Any material intercompany accounts and transactions have been eliminated in consolidation.
(c) Income taxes – The Fund elects to be treated as, and qualifies as, a regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code of 1986 as amended (the “Code”), by distributing substantially all of its investment company taxable income and any net realized capital gains (after reduction for capital loss carryforwards) sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provision for federal income tax was required for the Corbin Fund. However, for the Domestic Blocker, an income tax provision was calculated and is disclosed in the Fund’s annual financial statements.
ASGI Corbin Multi-Strategy Fund, LLC
Notes to Consolidated Financial Statements (unaudited) (continued)
In accounting for income taxes, the Fund follows the guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 740, as amended by ASU 2009-06, Accounting for Uncertainty in Income Taxes. ASC 740 prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity before being measured and recognized in the financial statements. There were no uncertain tax positions as of September 30, 2013.
The Fund’s income and federal excise tax returns and all financial records supporting the 2012 returns are subject to examination by the federal and Delaware revenue authorities.
(d) Security transactions and investment income – The Fund’s transactions are accounted for on a trade-date basis. Realized gains and losses on the Fund’s transactions are determined on a average cost basis. Interest income is recognized on the accrual basis. The Fund will indirectly bear a portion of the Investment Funds’ income and expenses, including management fees and incentive fees charged by the Investment Funds. That income and those expenses are recorded in the Fund’s consolidated financial statements as unrealized appreciation/(depreciation) and not as income or expense on the Consolidated Statement of Operations or in the Consolidated Financial Highlights.
(e) Cash and cash equivalents – The Fund maintains cash in an interest-bearing money market account, which, at times, may exceed federally insured limits. The Fund has not experienced any losses in such account and does not believe it is exposed to any significant credit risk on such bank deposits. All interest income earned will be paid to the Fund.
(f) Foreign currency translation – The Fund does not isolate the portion of the results of operations that is due to the change in foreign currency translation from changes in the market price of investments held or sold during the period. Assets and liabilities denominated in a foreign currency are translated into the U.S. dollar equivalent using the spot foreign currency exchange rate in effect at the time of reporting. Unrealized gains and losses from such translation are included in change in unrealized appreciation/(depreciation) on foreign currency translations on the Consolidated Statement of Operations. Purchases and sales of investments and revenues and expenses denominated in foreign currencies are translated at the daily spot rates in effect at the time of the transaction.
(g) Options purchased – When an option is purchased, an amount equal to the premium paid is recorded as an investment and is subsequently adjusted to the current fair value of the option purchased. Premiums paid for the purchase of options which expire unexercised are treated by the Fund on the expiration date as realized losses. If a purchased put option is exercised, the premium is subtracted from the proceeds of the sale of the underlying security or foreign currency in determining whether the Fund has realized a gain or loss. If a purchased call option is exercised, the premium increases the cost basis of the security or foreign currency purchased by the Fund. Options purchased on an exchange are standardized while options purchased over-the-counter (“OTC”) have counterparty risk associated with them.
(h) Options written – When an option is written, an amount equal to the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current fair value of the option written. Premiums received from written options which expire unexercised are treated by the Fund as realized gains on the expiration date. If a written call option is exercised, the premium is added to the proceeds from the sale of the underlying security or foreign currency in determining whether the Fund has realized a gain or loss. If a written put option is exercised, the premium reduces the cost basis of the security or foreign currency purchased by the Fund.
ASGI Corbin Multi-Strategy Fund, LLC
Notes to Consolidated Financial Statements (unaudited) (continued)
(i) Swaptions – These are options on swap contracts and are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swaption is granting or buying the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.
(j) Futures contracts – The Fund purchases or sells futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk). Futures contracts are agreements between the Fund and counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as margin variation and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts, interest or foreign currency exchange rates and the underlying assets.
(k) Credit default swaps – The Fund may enter into credit default swaps to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which it is not otherwise exposed (credit risk). The Fund enters into credit default swaps to provide a measure of protection against the default of an issuer (as buyer of protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller of protection). The Fund may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign) or traded indexes. Credit default swaps on single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a negative credit event take place (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising of an index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising of an index. As a seller (writer), if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising of an index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising of an index. The Fund may also enter into collateral agreements with certain counterparties to further mitigate counterparty risk on OTC derivative and forward foreign currency contracts. Subject to established minimum levels, collateral is generally determined based on the net aggregate unrealized gain or loss on contracts with a certain counterparty. Collateral pledged to or from the Fund is held in a segregated account by a third-party agent and can be in the form of cash or debt securities issued by the U.S. government or related agencies.
ASGI Corbin Multi-Strategy Fund, LLC
Notes to Consolidated Financial Statements (unaudited) (continued)
(l) Valuation of derivatives – The Fund has purchased and written index options and currency options, futures contracts and credit default swaps outstanding at September 30, 2013. The fair value of written and purchased index options and futures can be determined using unadjusted quoted prices and are generally categorized within Level 1 of the Fund’s fair value hierarchy. The fair value of written and purchased OTC currency options, swaptions and credit default swaps can be determined by an independent pricing vendor deemed reliable by management using a pricing model. The pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgment, and the pricing inputs are observed from actively quoted markets and/or dealer quotes. The Fund generally categorizes these derivatives within Level 2 of the fair value hierarchy. In instances where significant inputs are unobservable, they would be categorized as Level 3 in the fair value hierarchy.
(m) Distributions – Distributions will be paid at least annually on limited liability company interests (“Shares”) in an amount representing substantially all of the net investment income and net capital gains, if any, earned each year. Each investor (the “Member”) will automatically be a participant under the Fund’s Dividend Reinvestment Plan (“DRP”) and have all income dividends and/or capital gains distributions automatically reinvested in Shares. Election by a Member not to participate in the DRP and to receive all income distributions and/or capital gain distributions, if any, in cash may be made by providing notice to the Member’s broker or intermediary. There were no distributions to Members during the six month period ended September 30, 2013.
Distributions to Members from net investment income and net realized gains, if any, are recorded on the ex-dividend date. Such distributions are determined in conformity with income tax regulations, which may differ from GAAP. The timing and character of distributions made during the period from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. To the extent that these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment. Temporary differences do not require reclassifications.
(n) Use of estimates – The preparation of the consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the consolidated financial statements. Actual results could differ from those estimates.
(o) Fund expenses – The Fund bears all expenses incurred in its business and operations, and records them on an accrual basis. Expenses include, but are not limited to, administrative and extraordinary expenses and legal, tax, audit, escrow, fund accounting and printing expenses. Operating expenses also include: (1) investment related expenses, including, but not limited to, brokerage commissions, research fees, and other transactions costs; (2) interest and commitment expense on any borrowings; and (3) all costs and expenses associated with the registration of the Fund under, and in compliance with, any applicable federal and state laws.
ASGI Corbin Multi-Strategy Fund, LLC
Notes to Consolidated Financial Statements (unaudited) (continued)
(p) Expense limitation agreement – Through January 31, 2014, the Adviser has contractually agreed to limit the Fund’s total annualized ordinary fund-wide operating expenses to 2.25%. Members holding Shares designated as Class I (“Class I Shares”) have no class-specific expenses. Members holding Shares designated as Class A (“Class A Shares”) will pay (in addition to up to 2.25% in fund-wide expenses) an additional annualized amount of up to 0.75% (the “Investor Distribution and Servicing Fee”), for a total of up to 3.00%. Ordinary fund-wide operating expenses exclude the Fund’s borrowing and other investment-related costs, Investment Fund and investment manager fees and expenses, taxes, litigation and indemnification expenses, judgments, other extraordinary expenses not incurred in the ordinary course of the Fund’s business, and the Investor Distribution and Servicing Fee charged to Class A Shares. Ordinary fund-wide operating expenses include the Fund’s management fee, start-up, offering and organizational expenses.
Accordingly, the Adviser is permitted to recover from the Fund expenses it has borne (whether through reduction of its management fee or otherwise) in later periods to the extent that the Fund’s ordinary fund-wide operating expenses (exclusive of the Investor Distribution and Servicing Fee charged to Class A Shares) fall below the annualized rate of 2.25% per year. The Fund, however, is not obligated to pay any such amount more than three years after the end of the fiscal year in which the Adviser deferred a fee or reimbursed an expense. Any such recovery by the Adviser will not cause the Fund to exceed the annual limitation rate set forth above. There were no expenses waived for the six month period ended September 30, 2013.
As of September 30, 2013, amounts subject to recoupment within three years after the end of the fiscal year in which the Adviser reimbursed the expense were as follows:
| Amount | Date |
| $298,077 | March 31, 2014 |
| $480,912 | March 31, 2015 |
| $132,340 | March 31, 2016 |
| | |
As of September 30, 2013, the amount of expenses recoupable by the Adviser and payable by the Fund was $167,062.
(q) Third party service providers – BNY Mellon Investment Servicing (US) Inc. (the “Administrator”) serves as the Administrator to the Fund. Under an agreement made between the Administrator and the Fund, the following annual fee will be calculated upon the Fund’s beginning of the month’s net assets and paid monthly:
| | 0.085% of the first $200 million of beginning of month net assets; | |
| | 0.070% of the next $200 million of beginning of month net assets; and | |
| | 0.050% of beginning of month net assets in excess of $400 million. | |
The Fund also pays the Administrator certain fixed fees for consolidated financial statement preparation and other services.
The Bank of New York Mellon (the “Custodian”) serves as the Custodian to the Fund. Under an agreement made between the Custodian and the Fund, 0.02% per annum is paid to the Custodian based on gross ending assets at the end of each month. ASGI Corbin Multi-Strategy Fund, LLC
Notes to Consolidated Financial Statements (unaudited) (continued)
The Fund also pays the Custodian certain fixed fees for transactions and other services.
(r) Recent accounting pronouncements – In December 2011, FASB issued ASU No. 2011-11, Disclosures about Offsetting Assets and Liabilities, which requires an entity to make additional disclosures about offsetting assets and liabilities and related arrangements. The new guidance seeks to enhance disclosures by requiring improved information about financial instruments and derivatives instruments that are either (1) offset in accordance with GAAP or (2) subject to enforceable master netting arrangement or similar agreement, irrespective of whether they are offset in accordance with GAAP. The objective of this information is to enable users of an entity’s financial statements to evaluate the effect or potential effect of netting arrangements on an entity’s financial position, including the effect or potential effect of rights of netting associated with certain financial instruments and derivative instruments in the scope of the update. The pronouncement is effective January 1, 2013, and must be applied retrospectively. Management has adopted this change in presenting the Fund’s consolidated financial statements.
3. Related Party Transactions
Parties are considered to be related if one party has the ability to control the other party or exercise significant influence over the other party in making financial or operational decisions. Fees incurred with related parties during the period are disclosed in the Consolidated Statement of Operations and may include the following:
(a) Investor Distribution and Servicing Fee – Under the terms of the wholesaling and placement agent agreement between the Fund and Alternative Strategies Brokerage Services, Inc. (the “Placement Agent”), the Placement Agent is authorized to retain brokers, dealers and certain financial advisers for distribution services and to provide ongoing investor services and account maintenance services to Members purchasing Class A Shares that are their customers.
The Fund pays an Investor Distribution and Servicing Fee out of the net assets of Class A Shares at the annual rate of 0.75% of the aggregate net asset value of Class A Shares that have been outstanding for more than twelve (12) months, calculated and accrued as of the last day of each calendar month (before any repurchases of Class A Shares) and paid to the Placement Agent quarterly. The Investor Distribution and Servicing Fee is charged on an aggregate class-wide basis, and investors in Class A Shares will be subject to the Investor Distribution and Servicing Fee regardless of how long they have held their Class A Shares. The Investor Distribution and Servicing Fee is paid to the Placement Agent to reimburse it for payments made to investor service providers and for the Placement Agent’s ongoing investor servicing. Pursuant to the conditions of an exemptive order issued by the Securities and Exchange Commission (“SEC”), the Investor Distribution and Servicing Fee is paid pursuant to a plan adopted by the Fund in compliance with Rule 12b-1 under the 1940 Act with respect to Class A Shares. Class I Shares are not subject to the Investor Distribution and Servicing Fee.
For the six month period ended September 30, 2013, the Fund expensed Investor Distribution and Servicing Fees of $7,072. As of September 30, 2013, there were $4,918 of Investor Distribution and Servicing Fees payable to the Placement Agent.
(b) Placement fees – Under the terms of the wholesaling and placement agent agreement between the Fund and the Placement Agent, the Placement Agent and its sub-agents are entitled to receive a placement fee based on the gross amount of Class A Shares purchased by a Member (the “Class A Share Placement Fee”). In determining the applicable Class A Share Placement Fee at the time of investment in Class A Shares, the amount of a Member’s investment in Class A Shares (whether initial or additional) will be aggregated with the value of (i) the Member’s investments in shares subject to a placement fee of any collective investment vehicle advised by the Adviser and (ii) investments in shares subject to a placement fee of any collective investment vehicle advised by the Adviser held by the Member’s “Immediate Family Members” (as defined in the Fund’s subscription agreement). The Member must indicate in the subscription agreement who such “Immediate Family Members” are and the amounts of their investments.
ASGI Corbin Multi-Strategy Fund, LLC
Notes to Consolidated Financial Statements (unaudited) (continued)
The Class A Share Placement Fee shall be deducted by the Placement Agent from the initial or optional additional subscriptions provided by the Member and is as follows:
| Current Value of Class A Shares | Placement Fee |
| Less than $500,000 | 2.00% |
| $500,000 to less than $1,000,000 | 1.00% |
| $1,000,000 or more | 0.50% |
For the six month period ended September 30, 2013, Class A Share Placement Fees paid to the Placement Agent by Members upon subscription into the Fund were $65,690.
(c) Investment advisory fees – Amounts paid, and payable, to the Adviser for the six month period ended September 30, 2013 are disclosed in Note 4.
(d) Fund Board fees – For the six months ended September 30, 2013, the Fund incurred Fund Board fees, including out of pocket expenses, of $23,677. As of September 30, 2013, amounts payable to the Fund Board were $13,992.
4. Investment Advisory Agreement
The Adviser is registered with the SEC as an investment adviser under the Investment Advisers Act of 1940, as amended (“Advisers Act”). The Adviser also serves as investment adviser to other investment funds, some of which utilize a multi-manager, multi-strategy investment approach. Although the Adviser is registered with the Commodity Futures Trading Commission (“CFTC”) as a “commodity trading adviser,” it operates the Fund as if it was exempt from registration under CFTC Rule 4.14(a)(8). The Fund is not required to register as a “commodity pool operator” pursuant to CFTC Rule 4.5. It should be noted, however, that in 2012 the CFTC revised certain rules that significantly affect the exemptions available to the Fund, the Adviser, and the Subadviser. The scope and application of these rules is still uncertain with respect to, among other things, funds of funds such as the Fund. There is no certainty that the Fund, the Adviser, the Subadviser or other parties will be able to rely on these exclusions and exemptions in the future. Additional CFTC regulation (or a choice to no longer use strategies that trigger additional regulation) may cause the Fund to change its investment strategies or to incur additional expenses.
ASGI Corbin Multi-Strategy Fund, LLC
Notes to Consolidated Financial Statements (unaudited) (continued)
In addition, the CFTC, in conjunction with other federal regulators, also recently proposed stricter margin requirements for certain swap transactions. If adopted, the proposed requirements could increase the amount of margin necessary to conduct many swap transactions, limit the types of assets that can be used as collateral for such transactions, and impose other restrictions. The CFTC amendments and/or the rule proposals may affect the ability of the Fund to use swap agreements as well as futures contracts and options on futures contracts or commodities and may substantially increase regulatory compliance costs for the Adviser and the Fund. As of the date of this report, the ultimate impact of the CFTC amendments and/or the rule proposals on the Fund is uncertain.
Subject to policies adopted by the Fund Board and applicable law, the Adviser is responsible for appointing the Subadviser to manage the Fund’s investments, monitoring the Subadviser’s management of the Fund’s investments, and implementing the Fund’s compliance program. Subject to the limitations set forth in the subadvisory agreement, the Adviser has the ability to restrict initial/additional investment in an Investment Fund and/or remove an Investment Fund from the portfolio, although it does not intend to use this ability to manage the portfolio or restrict the Subadviser’s discretion.
Pursuant to an agreement with the Adviser and the Fund, the Subadviser is responsible for the selection and monitoring of Investment Funds as well as direct investments of the Fund, and for day-to-day management of the Fund’s investment activities and holdings.
The Fund pays the Adviser each month a fee (“Management Fee”) equal to one-twelfth of 1.25% of the aggregate net asset value of outstanding Shares of the Fund calculated as of the last day of each month (before any repurchases of Shares). The Management Fee incurred by the Fund for the six month period ended September 30, 2013 was $771,652. As of September 30, 2013, the Management Fee payable to the Adviser was $409,715. The Adviser pays the Subadviser a portion of the Management Fee as described in the subadvisory agreement among the Adviser, Subadviser, and the Fund.
5. Investment Fund Transactions
Purchases of investments in Investment Funds for the six month period ended September 30, 2013 were $36,946,688. Proceeds from sales of investments in Investment Funds for the six month period ended September 30, 2013 were $4,786,771.
6. Derivative Transactions
The Fund enters into derivative contracts for risk management purposes such as to manage or hedge the Fund’s currency exchange risk, interest rate risk, credit risk and other risks. During the year ended September 30, 2013, the Fund entered into derivative contracts to hedge credit exposures of the broader portfolio. The Fund’s hedge overlay includes a portfolio of single name credit default swaps to hedge the aggregate risk based on their understanding of the underlying exposures of those managers. The hedge overlay is used to reduce risk to broad market factors, not exposures to specific securities and it is not necessarily aimed to neutralize exposures, just to bring the portfolio in line with the desired posture given the portfolio objectives. All derivative contracts must be fully backed by cash positions and may be OTC and/or exchanged traded. Such derivative contracts may include forwards, futures, options, swaptions, warrants and swaps.
ASGI Corbin Multi-Strategy Fund, LLC
Notes to Consolidated Financial Statements (unaudited) (continued)
Forwards are a tailored contract between two parties, where payment takes place at a specific time in the future at today’s pre-determined price. Futures are contracts to buy or sell an asset on or before a future date at a price specified today. Options are contracts that give the owner the right, but not the obligation, to buy or sell an asset. The price at which the buy or sale takes place is known as the strike price, and is specified at the time the parties enter into the option. The option contract also specifies a maturity date. Warrants are long dated options, usually longer than one year, which are traded OTC. Swaps are agreements to exchange cash flows on or before a specified future date on the underlying value of currency exchange rates, bonds/interest rates, commodities exchange, equities, indices or other assets. Swaptions are options on swap contracts and are similar to options on assets except that instead of selling or purchasing the right to buy or sell an asset, the writer or purchaser of the swaption is granting or buying the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option. As of September 30, 2013, the Fund has written currency options, written index options, purchased currency options, purchased index options, futures contracts, and entered into credit default swaps. The counterparty for the Fund’s derivative transactions is Morgan Stanley Capital Services, Inc.
The monthly average notional of currency options was JPY 4,875,000 for the six month period ended September 30, 2013. The monthly average number of open contracts of index options was 17 for the six month period ended September 30, 2013. The monthly average notional of credit default swaps was USD 3,725,214 and EUR 471,929 for the six month period ended September 30, 2013. The average number of open future contracts was 1 for the six month period ended September 30, 2013.
The Fund’s derivatives are not considered to be hedging instruments under GAAP and, therefore, the Fund accounts for derivatives at fair value on the Consolidated Statement of Assets, Liabilities and Net Assets. As of September 30, 2013, the net change in unrealized appreciation/(depreciation) on written option contracts recorded on the Consolidated Statement of Operations was $49,959, the net change in unrealized appreciation/(depreciation) on credit default swaps recorded on the Consolidated Statement of Operations was $(16,228), the net change in unrealized appreciation/(depreciation) on purchased option contracts was $11,841, the net change in unrealized appreciation/(depreciation) on the swaptions was $1,245 and the net change in unrealized appreciation/(depreciation) on futures was $(370).
Transactions in options contracts for the six month period ended September 30, 2013 were as follows:
| Currency options purchased | | JPY Notional | | Cost | |
| Balance at April 1, 2013 | | 58,500,000 | | $ | 5,808 | |
| | | | | | | |
| Balance at September 30, 2013 | | 58,500,000 | | $ | 5,808 | |
| Currency options written | | JPY Notional | | Premiums Received | |
| Balance at April 1, 2013 | | 63,375,000 | | $ | 4,162 | |
| | | | | | | |
| Balance at September 30, 2013 | | 63,375,000 | | $ | 4,162 | |
ASGI Corbin Multi-Strategy Fund, LLC
Notes to Consolidated Financial Statements (unaudited) (continued)
| Index options purchased | | Number of Contracts | | | Cost | |
| Balance at April 1, 2013 | | 10 | | | $ | 30,780 | |
| | | | | | | | |
| Options purchased | | 91 | | | | 268,197 | |
| Options terminated in closing buy transactions | | (19 | ) | | | (30,051 | ) |
| Options expired | | (34 | ) | | | (88,184 | ) |
| | | | | | | | |
| Balance at September 30, 2013 | | 48 | | | $ | 180,742 | |
| Index options written | | Number of Contracts | | | Cost | |
| Balance at April 1, 2013 | | 20 | | | $ | 29,039 | |
| | | | | | | | |
| Options written | | 151 | | | | 263,918 | |
| Options terminated in closing sell transactions | | (40 | ) | | | (50,920 | ) |
| Options expired | | (44 | ) | | | (55,524 | ) |
| | | | | | | | |
| Balance at September 30, 2013 | | 87 | | | $ | 186,513 | |
| Swaptions purchased | | Number of Contracts | | | Cost | |
| Balance at April 1, 2013 | | 1 | | | $ | 3,996 | |
| | | | | | | | |
| Swaptions expired | | (1 | ) | | | (3,996 | ) |
| | | | | | | | |
| Balance at September 30, 2013 | | – | | | $ | – | |
| Swaptions written | | Number of Contracts | | | Cost | |
| Balance at April 1, 2013 | | 1 | | | $ | 1,944 | |
| | | | | | | | |
| Swaptions written | | (1 | ) | | | (1,944 | ) |
| | | | | | | | |
| Balance at September 30, 2013 | | – | | | $ | – | |
The following table presents derivative assets and liabilities net of amounts available for offset under a master netting arrangement and, as applicable, the related collateral and potential loss exposure to the Fund as of September 30, 2013.
| | | | | Gross Amounts Presented on Consolidated Statements of Assets and Liabilities | | | | | | | | | |
| Counterparty | | Form of Master Netting Agreement | | Value of Asset | | | Value of Liability | | | Net Amount Due (to)/from Counterparty | | | Collateral Pledged (Received) by Fund | | Loss Exposure, After Collateral (not less than $0) | |
| Morgan Stanley Capital Serivces Inc. | | ISDA | | $ | 3,065 | | | $ | (73,985 | ) | | $ | (70,920 | ) | | $ | 110,000 | | $ | 39,080 | |
| Morgan Stanley Capital Serivces Inc. | | OTC | | | 168,692 | | | | (144,570 | ) | | | 24,122 | | | | – | | | 24,122 | |
| Exchange Traded | | | | | – | | | | (370 | ) | | | (370 | ) | | | – | | | – | |
| Total | | | | $ | 171,757 | | | $ | (218,925 | ) | | $ | (47,168 | ) | | $ | 110,000 | | $ | 63,202 | |
ASGI Corbin Multi-Strategy Fund, LLC
Notes to Consolidated Financial Statements (unaudited) (continued)
7.Investments in Investment Funds
The Adviser and Subadviser monitor the performance of Investment Funds. Such monitoring procedures include, but are not limited to, monitoring market movements in the Investment Funds’ portfolio investments, comparing performance to industry benchmarks, in depth conference calls and site visits with Investment Fund portfolio managers.
Complete information about the underlying investments held by the Investment Funds is not readily available, so it is unknown whether the Fund, through its aggregate investment in Investment Funds, holds any single investment whereby the Fund’s proportionate share exceeds 5% of the Fund’s net assets at September 30, 2013.
The following table summarizes the Fund’s investments in the Investment Funds as of and for the six month period ended September 30, 2013, none of which were related parties. The Fund indirectly bears fees and expenses as an investor in the Investment Funds. Each investor of each Investment Fund will pay the investment manager of the Investment Fund a management fee. The fee rate varies and ranges from 1.00% to 3.00% per annum of the net asset value of that Investment Fund. Additionally, the investment manager of each Investment Fund will generally receive an incentive fee/allocation from each investor ranging from 12.5% to 30% of any net new appreciation of that Investment Fund as of the end of each performance period for which an incentive fee/allocation is calculated.
| Investments in Investment Funds | | % of Fund’s Total Fair Value | | Fair Value | | Net Change in Unrealized Appreciation/ (Depreciation) | | Realized Gain (Loss) | | Redemptions Permitted* | | Primary Geographic Location |
| Redwood Offshore Fund Ltd | | 6.9 | % | | $ | 9,138,973 | | $ | 515,746 | | $ | — | | Biennial | | Cayman Islands |
| Anchorage Capital Partners Offshore, Ltd | | 6.9 | | | | 9,076,735 | | | 645,635 | | | — | | Annually | | Cayman Islands |
| SRS Partners, Ltd | | 5.9 | | | | 7,800,181 | | | 1,348,646 | | | — | | Quarterly | | Cayman Islands |
| D.E. Shaw Composite International Fund | | 5.5 | | | | 7,173,111 | | | 173,111 | | | — | | Quarterly | | Cayman Islands |
| Venor Capital Offshore Ltd. | | 5.2 | | | | 6,874,311 | | | 349,306 | | | — | | Semi-Annually | | Cayman Islands |
Perella Weinberg Partners Asset Based Value Offshore Fund LP | | 4.6 | | | | 6,007,106 | | | 332,846 | | | — | | Quarterly | | Cayman Islands |
| Seer Capital Partners Offshore Fund | | 4.4 | | | | 5,796,763 | | | 100,102 | | | — | | Quarterly | | Cayman Islands |
| Pelham Long/Short Fund Ltd | | 4.2 | | | | 5,485,667 | | | 519,880 | | | — | | Monthly | | Bermuda |
| Autonomy Global Macro Fund Ltd | | 4.2 | | | | 5,482,504 | | | (196,809 | ) | | — | | Monthly | | Cayman Islands |
| Serengeti Lycaon Overseas Ltd | | 4.2 | | | | 5,467,486 | | | 400,507, | | | 11,741 | | Annually | | Cayman Islands |
| Pine River Fixed Income Fund Ltd | | 3.8 | | | | 4,897,868 | | | 119,593 | | | — | | Quarterly | | Cayman Islands |
| Cadian Offshore Fund Ltd | | 3.7 | | | | 4,897,858 | | | (272,861 | ) | | 45 | | Quarterly | | Cayman Islands |
| Jet Capital Concentrated Offshore Fund, Ltd | | 3.6 | | | | 4,781,710 | | | 142,007 | | | — | | Monthly | | Cayman Islands |
| Fortress Macro Fund Ltd | | 2.9 | | | | 3,790,794 | | | 207,768 | | | — | | Quarterly | | Cayman Islands |
| Tekne Offshore Fund, Ltd | | 2.7 | | | | 3,606,114 | | | 396,641 | | | — | | Quarterly | | Cayman Islands |
| Brevan Howard Fund Limited | | 2.5 | | | | 3,311,864 | | | (49,446 | ) | | — | | Monthly | | Cayman Islands |
| D.E. Shaw Oculus International Fund | | 2.5 | | | | 3,276,891 | | | (205,036 | ) | | — | | Quarterly | | Cayman Islands |
| Marble Arch Offshore Partners Ltd | | 2.4 | | | | 3,121,056 | | | (70,955 | ) | | — | | Quarterly | | Cayman Islands |
| BH Macro Ltd | | 2.4 | | | | 3,097,950 | | | (5,974 | ) | | — | | Daily | | Guernsey |
| Saba Capital Leveraged Offshore Fund, Ltd | | 2.3 | | | | 3,038,213 | | | (128,703 | ) | | — | | Quarterly | | Cayman Islands |
| Pershing Square Holdings, Ltd | | 2.0 | | | | 2,605,101 | | | (157,216 | ) | | — | | Quarterly | | Guernsey |
| WCG Offshore Fund, Ltd | | 1.9 | | | | 2,597,751 | | | (152,646 | ) | | 13,021 | | Quarterly | | Cayman Islands |
| Squadra Equity Fund Ltd | | 1.9 | | | | 2,596,749 | | | (174,083 | ) | | — | | Monthly | | Cayman Islands |
| Discovery Global Macro Fund Ltd. | | 1.9 | | | | 2,426,935 | | | (73,065 | ) | | — | | Quarterly | | Cayman Islands |
| BlueCrest Capital International Limited | | 1.5 | | | | 2,029,780 | | | (40,018 | ) | | — | | Quarterly | | Cayman Islands |
ASGI Corbin Multi-Strategy Fund, LLC
Notes to Consolidated Financial Statements (unaudited) (continued)
| Investments in Investment Funds (continued) | | % of Fund’s Total Fair Value | | Fair Value | | Net Change in Unrealized Appreciation/ (Depreciation) | | | Realized Gain (Loss) | | Redemptions Permitted* | | Primary Geographic Location |
Ironsides Partners Special Situations Offshore Fund Ltd. | | 1.4 | % | | $ | 1,845,567 | | $ | 37,552 | | | | | Not Permitted | | Cayman Islands |
Kildonan Castle Global Credit Opportunity Fund Ltd. | | 1.4 | | | | 1,821,823 | | | 21,823 | | | | | Quarterly | | Cayman Islands |
| Drawbridge Special Opportunities Fund, LP** | | 1.4 | | | | 1,818,731 | | | 87,589 | | | 67,282 | | Annually | | United States |
| COMAC Global Macro Fund Limited | | 1.2 | | | | 1,589,002 | | | (31,466 | ) | | — | | Monthly | | Cayman Islands |
| New Point V Ltd | | 1.1 | | | | 1,411,537 | | | 49,483 | | | — | | Not Permitted | | Bermuda |
| Third Point Offshore Investors Ltd | | 0.9 | | | | 1,192,400 | | | 82,400 | | | — | | Daily | | Guernsey |
Jet Capital Select Opportunities Offshore Fund, Ltd | | 0.7 | | | | 915,511 | | | 3,934 | | | — | | Monthly | | Cayman Islands |
| Serengeti Segregated Portfolio Company, Ltd. | | 0.6 | | | | 832,855 | | | 6,090 | | | — | | Annually | | Cayman Islands |
| Garrison Special Opportunities Fund LP** | | 0.5 | | | | 693,598 | | | 28,537 | | | (5,976 | ) | Annually | | United States |
| Silver Lake Credit Fund (Offshore), Ltd | | 0.4 | | | | 452,411 | | | 89,580 | | | 2,666 | | In Liquidation | | Cayman Islands |
| D.E. Shaw Composite Fund LLC** | | 0.1 | | | | 85,559 | | | (4,211 | ) | | (36 | ) | In Liquidation | | United States |
| Tyticus Partners II Ltd | | 0.1 | | | | 74,207 | | | (1,474 | ) | | — | | In Liquidation | | Cayman Islands |
| QVT SLV Onshore Ltd** | | 0.1 | | | | 72,739 | | | 213 | | | 5,020 | | In Liquidation | | United States |
| QVT Onshore LP** | | 0.1 | | | | 70,057 | | | (15,218 | ) | | 10,406 | | Quarterly | | United States |
| Archer SPE I LLC** | | 0.0 | | | | 63,342 | | | 778 | | | (2,092 | ) | In Liquidation | | United States |
| Archer Capital Fund LP** | | 0.0 | | | | 54,065 | | | (654 | ) | | — | | In Liquidation | | United States |
| TPG-Axon Partners, LP** | | 0.0 | | | | 49,840 | | | (6,825 | ) | | (51 | ) | In Liquidation | | United States |
| QVT Special Investment Onshore Fund Ltd** | | 0.0 | | | | 34,029 | | | 2,940 | | | — | | In Liquidation | | United States |
| Halcyon Structured Opportunities Fund LP** | | 0.0 | | | | 10,894 | | | 1,078 | | | — | | In Liquidation | | United States |
| Anchorage Capital Partners, LP | | 0.0 | | | | 3,047 | | | (100 | ) | | — | | In Liquidation | | United States |
| Fox Point Offshore Ltd | | — | | | | — | | | 146,606 | | | (150,617 | ) | Semi-Annually | | Cayman Islands |
| JHL Capital Group Fund Ltd | | — | | | | — | | | (7,672 | ) | | 12,854 | | Quarterly | | Cayman Islands |
| Tricadia Credit Strategies, Ltd | | — | | | | — | | | (87,914 | ) | | 99,377 | | Quarterly | | Cayman Islands |
| Total Investments in Investment Funds | | 100.0 | % | | $ | 131,470,685 | | $ | 4,128,045 | | $ | 63,640 | | | | |
| * | Subject to the terms of the offering memorandums of the Investment Funds. |
| ** | Investment Fund held in ASGI Special Asset Holdings, Inc. |
While redemptions are permitted as noted in the table above for the Investment Funds, such redemptions may be deferred or suspended at any time upon the election of the investment manager of the Investment Fund. Moreover, certain Investment Funds may amend their liquidity provisions or otherwise further restrict the Fund’s ability to make withdrawals from those Investment Funds. No such restrictions were in place as of or during the six month period ended September 30, 2013. As of September 30, 2013, the Fund had unfunded capital commitments of $1,500,000.
The following is a summary of the investment strategies of the Investment Funds held in the Fund as of September 30, 2013:
Asset-Backed Securities strategies are those in which the investment thesis is predicated on realization of a spread between related instruments in which one or multiple components of the spread is a fixed income instrument backed by physical collateral or other financial obligations (loans, credit cards) other than those of a specific corporation. Strategies employ an investment process designed to isolate attractive opportunities between a variety of fixed income instruments specifically securitized by collateral commitments which frequently include loans, pools and portfolios of loans, receivables, real estate, machinery or other tangible financial commitments. Investment thesis may be predicated on an attractive spread given the nature and quality of the collateral, the liquidity characteristics of the underlying instruments and on issuance and trends in collateralized fixed income instruments, broadly speaking.
ASGI Corbin Multi-Strategy Fund, LLC
Notes to Consolidated Financial Statements (unaudited) (continued)
Equity Special Situations strategies generally employ an investment process primarily focused on opportunities in equity and equity related instruments of companies which are currently engaged in a corporate transaction, security issuance/repurchase, asset sales, division spin-off or other catalyst oriented situation. These involve both announced transactions as well as situations which pre-, post-date or situations in which no formal announcement is expected to occur. Strategies employ an investment process focusing broadly on a wide spectrum of corporate life cycle investing, including but not limited to distressed, bankruptcy and post-bankruptcy security issuance, announced acquisitions and corporate division spin-offs, asset sales and other security issuance impacting an individual capital structure focusing primarily on situations identified via fundamental research which are likely to result in a corporate transaction or other realization of shareholder value through the occurrence of some identifiable catalyst. Strategies effectively employ primarily equity but also corporate debt exposure, and in general tend to focus more broadly on post-bankruptcy equity exposure and exit of restructuring proceedings.
Event Driven/Distressed strategies generally include investments in securities of companies involved in identifiable corporate actions, such as mergers, acquisitions, restructurings, spin-offs, shareholder activism, or other special situations which alter a company’s financial structure or operating strategy. Risk management and hedging techniques may be employed to protect the portfolio from events that fail to materialize. In addition, accurately forecasting the timing of an event is an important element impacting the realized return. The use of leverage varies considerably.
Global Macro strategies generally involve fundamental, discretionary, directional trading in currencies, commodities, bonds and equities. Investment manager utilizing Macro strategies invest in a wide variety of strategies and instruments, often assuming an aggressive risk posture. Most investment manager rely on macro-economic analyses to invest across countries, markets, sectors and companies, and have the flexibility to invest in numerous financial instruments. Futures, options and other derivative instruments are often used for hedging and speculation and the use of leverage varies considerably.
Long/Short Equity strategies generally involve taking both long and short positions in equity securities that are deemed to be under or overvalued. Although the combination of long and short investing can provide an element of protection against (but not eliminate) directional market exposure, long/short equities investment managers generally do not attempt to neutralize the amount of long and short positions (i.e., they will be net long or net short). Investment managers may specialize in a particular industry or geographic region, or they may diversify holdings across industries or geographic regions. Investment managers in this strategy usually employ a low to moderate degree of leverage.
Relative Value strategies employ multiple arbitrage investment strategies including forms of fixed-income arbitrage, merger arbitrage, convertible arbitrage, pairs trading, index-rebalancing arbitrage and capital structure arbitrage. Generally, investment managers take offsetting long and short positions in similar or related securities when their values, which are mathematically or historically interrelated, are temporarily distorted. In addition, investment managers make decisions regarding which Relative Value strategies offer the best opportunities at any given time and weight strategies accordingly in their overall portfolio.
ASGI Corbin Multi-Strategy Fund, LLC
Notes to Consolidated Financial Statements (unaudited) (continued)
8. Fair Value Measurements
The Fund measures fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The three levels of the fair value hierarchy are:
| | ● | Level 1 – Unadjusted quoted prices for identical securities in an active market. Since valuations are based on quoted prices that are readily-accessible at the measurement date, valuation of these securities does not entail a significant degree of judgment. |
| | ● | Level 2 – Quoted prices in non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include pricing models whose inputs are observable or derived principally from or corroborated by observable market data. |
| | ● | Level 3 – Prices or valuation techniques that require inputs that are both significant to the fair value and unobservable. Little if any market activity exists for Level 3 securities. |
The Adviser considers subscription and redemption rights, including any restrictions on the disposition of the interest, in its determination of the fair value of investments in Investment Funds. Investments in Investment Funds are included in Level 1 of the fair value hierarchy if an unadjusted price can be obtained from a reputable, independent third party pricing source as of the measurement date. Investments in the Investment Funds are included in Level 2 of the fair value hierarchy if the Fund can provide the appropriate redemption notice and can redeem its investment within 90 days of fiscal period end. All other investments in Investment Funds are classified as Level 3.
The Fund recognizes transfers into and out of the levels indicated above at the beginning of the reporting period.
ASGI Corbin Multi-Strategy Fund, LLC
Notes to Consolidated Financial Statements (unaudited) (continued)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value the Fund’s investments and other financial instruments as of September 30, 2013 is as follows:
| Description | | Total Fair Value at September 30, 2013 | | | Level 1 Quoted Prices | | | Level 2 Other Significant Observable Inputs | | | Level 3 Significant Unobservable Inputs | |
| Other Financial Instruments | | | | | | | | | | | | |
| Assets | | | | | | | | | | | | |
| Purchased Options | | $ | 168,692 | | | $ | 168,690 | | | $ | 2 | | | $ | – | |
| Credit Default Swaps | | | 3,065 | | | | – | | | | 3,065 | | | | – | |
| Liabilities | | | | | | | | | | | | | | | | |
| Written Options | | | (144,570 | ) | | | (144,570 | ) | | | – | | | | – | |
| Futures | | | (370 | ) | | | (370 | ) | | | – | | | | – | |
| Credit Default Swaps | | | (73,985 | ) | | | – | | | | (73,985 | ) | | | – | |
| | | | | | | | | | | | | | | | | |
| Investment Funds | | | | | | | | | | | | | | | | |
| Asset-Backed Securities | | | 23,012,972 | | | | – | | | | 9,939,557 | | | | 13,073,415 | |
| Equity Special Situations | | | 11,340,289 | | | | 1,192,400 | | | | 4,685,098 | | | | 5,462,791 | |
| Event Driven/Distressed | | | 29,586,750 | | | | – | | | | 9,823,406 | | | | 19,763,344 | |
| Global Macro | | | 25,647,898 | | | | 3,097,950 | | | | 12,055,956 | | | | 10,493,992 | |
| Long/Short Equity | | | 27,557,465 | | | | – | | | | 12,653,208 | | | | 14,904,257 | |
| Relative Value | | | 14,325,311 | | | | – | | | | 4,281,646 | | | | 10,043,665 | |
| Total Investments | | $ | 131,423,517 | | | $ | 4,314,100 | | | $ | 53,367,953 | | | $ | 73,741,464 | |
There were no transfers between Level 1 and Level 2 for the six month period ended September 30, 2013.
The following is a reconciliation of Level 3 investments for which the Fund cannot redeem its investment within 90 days of period end:
| | | Balance, as of April 1, 2013 | | | Realized gain/(loss) | | | Change in unrealized appreciation/ (depreciation) | | | Purchases | | | (Sales) | | | Transfers into Level 3 | | | Transfers out of Level 3 | | | Balance, as of September 30, 2013 | |
| Investments in Investment Funds | | | | | | | | | | | | | | | | | | | | | | | | |
| Asset-Backed Securities | | $ | 15,960,108 | | | $ | 11,743 | | | $ | 618,285 | | | $ | 2,437,253 | | | $ | (110,467 | ) | | $ | – | | | $ | (5,843,507 | ) | | $ | 13,073,415 | |
| Equity Special Situation | | | 6,139,408 | | | | – | | | | (83,603 | ) | | | 1,290,000 | | | | – | | | | – | | | | (1,883,014 | ) | | | 5,462,791 | |
| Event-Driven/ Distressed | | | 14,079,636 | | | | 61,881 | | | | 1,159,691 | | | | 6,100,000 | | | | (764,997 | ) | | | – | | | | (872,867 | ) | | | 19,763,344 | |
| Global Macro | | | 6,966,386 | | | | – | | | | (306,844 | ) | | | 7,525,000 | | | | – | | | | – | | | | (3,690,550 | ) | | | 10,493,992 | |
| Long/Short Equities | | | 13,371,052 | | | | (51 | ) | | | 858,373 | | | | 3,576,325 | | | | (286 | ) | | | – | | | | (2,901,156 | ) | | | 14,904,257 | |
| Relative Value | | | 1,659,292 | | | | 10,186 | | | | 116,197 | | | | 8,425,000 | | | | (86,287 | ) | | | – | | | | (80,723 | ) | | | 10,043,665 | |
| Total | | $ | 58,175,882 | | | $ | 83,759 | | | $ | 2,362,099 | | | $ | 29,353,578 | | | $ | (962,037 | ) | | $ | – | | | $ | (15,271,817 | ) | | $ | 73,741,464 | |
ASGI Corbin Multi-Strategy Fund, LLC
Notes to Consolidated Financial Statements (unaudited) (continued)
September 30, 2013
Investments in Investment Funds | | Net change in unrealized appreciation/ (depreciation) | |
| Asset-Backed Securities | | $ | 618,285 | |
| Equity Special Situation | | | (83,603 | ) |
| Event-Driven/ Distressed | | | 1,159,691 | |
| Global Macro | | | (306,844 | ) |
| Long/Short Equities | | | 858,373 | |
| Relative Value | | | 116,197 | |
| Total | | $ | 2,362,099 | |
All transfers out of Level 3 during the period were due to expiry of lock-up terms on certain Investment Funds and a portion of the Fund’s investment in these Investment Funds now being available for withdrawal within 90 days.
9. Capital Share Transactions
The Fund offers two separate classes of Shares, Class I Shares and Class A Shares, to investors eligible to invest in the Fund.
The Fund accepts initial and additional subscriptions for Shares on subscription dates, which occur only once each month, effective as of the beginning of the first calendar day of the month at the relevant net asset value per Share of the Fund as of the end of the last calendar day of the prior month. All Class A Share subscriptions accepted into the Fund are received net of Class A Share Placement Fees. The Fund Board may discontinue accepting subscriptions at any time.
To provide a limited degree of liquidity to Members, the Fund may from time to time offer to repurchase Shares pursuant to written tenders by Members. Repurchases will be made at such times, in such amounts and on such terms as may be determined by the Fund Board in its sole discretion. The Adviser expects to recommend ordinarily that the Fund Board authorize the Fund to offer to repurchase Shares from Members quarterly. If the interval between the date of purchase of Shares and repurchase of Shares is less than 180 calendar days, then such repurchase will be subject to a 2% early withdrawal fee.
For the six month period ended September 30, 2013, transactions in the Fund’s Shares were as follows:
| | | Subscriptions (in Shares) | | | Subscriptions | | | Reinvestment of Distributions (in Shares) | | | Reinvestment of Distributions | | | Tenders (in Shares) | | | Tenders | |
| | | | | | | | | | | | | | | | | | | | |
| Class I | | | 273,688.204 | | | $ | 29,918,000 | | | – | | | $ | – | | | (21,456.652 | ) | | $ | (2,353,128 | ) |
| Class A | | | 37,218.131 | | | | 3,960,210 | | | – | | | | – | | | (997.543 | ) | | | (105,519 | ) |
| | | | 310,906.335 | | | $ | 33,878,210 | | | – | | | $ | – | | | (22,454.195 | ) | | $ | (2,458,647 | ) |
Not applicable.
Not applicable.
Not applicable.
Not applicable.
Not applicable.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
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.
