UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-23179
First Trust Alternative Opportunities Fund
(Exact name of registrant as specified in charter)
c/o UMB Fund Services, Inc.
235 West Galena Street
Milwaukee, WI 53212
(Address of principal executive offices)
Ann Maurer
235 West Galena Street
Milwaukee, WI 53212
(Name and address of agent for service)
Registrant’s telephone number, including area code: (414) 299-2270
Date of fiscal year end: March 31
Date of reporting period: March 31, 2023
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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
(a) | The Report to Shareholders is attached herewith. |
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![[MISSING IMAGE: lg_firsttrust-4c.jpg]](https://capedge.com/proxy/N-CSR/0001104659-23-069777/lg_firsttrust-4c.jpg)
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
![[MISSING IMAGE: ft_firsttrustchicagodri-bw.jpg]](https://capedge.com/proxy/N-CSR/0001104659-23-069777/ft_firsttrustchicagodri-bw.jpg)
![[MISSING IMAGE: lg_firsttrust-4c.jpg]](https://capedge.com/proxy/N-CSR/0001104659-23-069777/lg_firsttrust-4c.jpg)
| ![]() | | | ![]() | |
| Michael D. Peck, CFA | | | Brian R. Murphy | |
| Chief Executive Officer, Co-Chief Investment Officer | | | Co-Chief Investment Officer | |
| mpeck@firsttrustcapital.com | | | bmurphy@firsttrustcapital.com | |
![[MISSING IMAGE: ft_firsttrustchicagodri-bw.jpg]](https://capedge.com/proxy/N-CSR/0001104659-23-069777/ft_firsttrustchicagodri-bw.jpg)
Fund Performance
March 31, 2023 (Unaudited)
Class I Shares
![[MISSING IMAGE: lc_virelvali-bw.jpg]](https://capedge.com/proxy/N-CSR/0001104659-23-069777/lc_virelvali-bw.jpg)
| | Average Annual Total Returns as of March 31, 2023 | | | | 1 Year | | | | 5 Years | | | | Since Inception | | |
| | Class I Shares (Inception Date 6/12/2017) | | | | 1.47% | | | | 6.27% | | | | 5.29% | | |
| | Bloomberg U.S. Aggregate Bond Index | | | | (4.78)% | | | | 0.91% | | | | 0.73% | | |
| | ICE BofA 3 Month U.S. Treasury Bill Index | | | | 2.53% | | | | 1.41% | | | | 1.38% | | |
Fund Performance — Continued
March 31, 2023 (Unaudited)
| | Average Annual Total Returns as of March 31, 2023 | | | | 1 Year | | | | Since Inception | | |
| | Class A Shares (Inception Date 8/02/2021) | | | | 0.69% | | | | (0.11)% | | |
| | Bloomberg U.S. Aggregate Bond Index | | | | (4.78)% | | | | (7.15)% | | |
| | ICE BofA 3 Month U.S. Treasury Bill Index | | | | 2.53% | | | | 1.55% | | |
| ![]() ![]() | | | | |
First Trust Alternative Opportunities Fund
May 30, 2023
![[MISSING IMAGE: ft_grant-4c.jpg]](https://capedge.com/proxy/N-CSR/0001104659-23-069777/ft_grant-4c.jpg)
CONSOLIDATED SCHEDULE OF INVESTMENTS
As of March 31, 2023
| Principal Amount | | | | | | Value | | ||||||
| | | | ASSET-BACKED SECURITIES – 16.9% | | |||||||||
| | $ | 500,000 | | | | ACC Trust Series 2022-1, Class D, 6.65%, 10/20/20281,2 | | | | $ | 476,138 | | |
| | | 172,470 | | | | Adjustable Rate Mortgage Trust Series 2006-1, Class 2A1, 4.60%, 3/25/20362,3,4 | | | | | 101,201 | | |
| | | 815,000 | | | | AIMCO CLO Series 2017-AA, Class DR, 7.96% (3-Month USD Libor+315 basis points), 4/20/2034 | | | | | 749,800 | | |
| | | 7,000,000 | | | | Antares Loan Funding Class, 0.000%, 2/17/20325 | | | | | 7,152,697 | | |
| | | 1,000,000 | | | | Apidos CLO XLIV Ltd. Series 2023-44A, Class E, 0.000% (3-Month Term SOFR+825 basis points), 4/26/2035 | | | | | 975,000 | | |
| | | 1,000,000 | | | | Bain Capital Credit CLO Series 2018-1A, Class D, 7.52% (3-Month USD Libor+270 basis points), 4/23/2031 | | | | | 868,551 | | |
| | | 1,250,000 | | | | Benefit Street Partners CLO XVII Ltd. Series 2019-17A, Class DR, 8.14% (3-Month USD Libor+335 basis points), 7/15/2032 | | | | | 1,169,514 | | |
| | | 1,000,000 | | | | Benefit Street Partners CLO XXIII Ltd. Series 2021-23A, Class E, 11.63% (3-Month USD Libor+681 basis points), 4/25/2034 | | | | | 921,877 | | |
| | | 4,000,000 | | | | BFNS, LLC Series 2022-1A, Class C, 7.00%, 7/10/20351,2,6 | | | | | 3,433,142 | | |
| | | 2,000,000 | | | | CAL Receivables, LLC Series 2022-1, Class B, 8.91% (30-Day SOFR Average+435 basis points), 10/15/20261,6 | | | | | 1,933,002 | | |
| | | 198,444 | | | | CHL Mortgage Pass-Through Trust Series 2007-8, Class 1A12, 5.87%, 1/25/20382,3 | | | | | 95,061 | | |
| | | 1,000,000 | | | | CIFC Funding Ltd. Series 2018-2A, Class D, 10.66% (3-Month USD Libor+585 basis points), 4/20/20311,4 | | | | | 871,972 | | |
| | | 500,000 | | | | COLT Mortgage Loan Trust Series 2022-2, Class M1, 3.99%, 2/25/20671,2,4 | | | | | 394,536 | | |
| | | 500,000 | | | | Series 2021-1, Class M1, 2.29%, 6/25/20661,2,4 | | | | | 320,350 | | |
| | | 250,000 | | | | Connecticut Avenue Securities Trust Series 2020-R02, Class 2B1, 7.85% (1-Month USD Libor+300 basis points), 1/25/20401,2,6 | | | | | 234,519 | | |
| | | 300,000 | | | | Deephaven Residential Mortgage Trust Series 2021-2, Class B1, 3.17%, 4/25/20661,2,4 | | | | | 205,487 | | |
| | | 750,000 | | | | Dryden 30 Senior Loan Fund Series 2013-30A, Class DR, 7.46% (3-Month USD Libor+260 basis points), 11/15/20281,4 | | | | | 690,060 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
| Principal Amount | | | | | | Value | | ||||||
| | | | ASSET-BACKED SECURITIES (Continued) | | |||||||||
| | $ | 1,000,000 | | | | Dryden 36 Senior Loan Fund Series 2014-36A, Class DR3, 8.48% (3-Month USD Libor+369 basis points), 4/15/2029 | | | | $ | 941,615 | | |
| | | 105,264 | | | | DSLA Mortgage Loan Trust Series 2006-AR2, Class 1A1A, 4.95% (1-Month USD Libor+19 basis points), 10/19/20362,6 | | | | | 83,545 | | |
| | | 300,000 | | | | Eagle RE Ltd. Series 2021-1, Class M2, 9.01% (30-Day SOFR Average+445 basis points), 10/25/20331,2,6 | | | | | 305,151 | | |
| | | 250,000 | | | | First Investors Auto Owner Trust Series 2022-1A, Class E, 5.41%, 6/15/20291,2 | | | | | 214,368 | | |
| | | 750,000 | | | | Flatiron CLO LLC Series 2023-1A, Class D, 0.000% (3-Month Term SOFR+525 basis points), 4/17/2036 | | | | | 750,000 | | |
| | | 200,000 | | | | Foursight Capital Automobile Receivables Trust Series 2022-2, Class D, 7.09%, 10/15/20291,2 | | | | | 195,912 | | |
| | | 250,000 | | | | Freddie Mac Structured Agency Credit Risk Debt Notes Series 2021-DNA2, Class B2, 10.56% (30-Day SOFR Average+600 basis points), 8/25/20331,2,4,6 | | | | | 220,074 | | |
| | | 250,000 | | | | GCAT Trust Series 2021-NQM6, Class M1, 3.41%, 8/25/20661,2,4 | | | | | 172,463 | | |
| | | 300,000 | | | | GS Mortgage Securities Corp. Trust Series 2018-TWR, Class G, 8.86% (1-Month USD Libor+417 basis points), 7/15/20311,6 | | | | | 180,000 | | |
| | | 419,000 | | | | GS Mortgage-Backed Securities Corp. Trust Series 2020-PJ3, Class B5, 3.42%, 10/25/20501,2,4 | | | | | 204,403 | | |
| | | 137,261 | | | | GSR Mortgage Loan Trust Series 2007-AR1, Class 2A1, 3.53%, 3/25/20472,3,4 | | | | | 87,756 | | |
| | | 1,500,000 | | | | Harbor Park CLO Ltd. Series 2018-1A, Class D, 7.71% (3-Month USD Libor+290 basis points), 1/20/2031 | | | | | 1,392,750 | | |
| | | 500,000 | | | | Home RE Ltd. Series 2021-2, Class M2, 7.81% (30-Day SOFR Average+325 basis points), 1/25/20341,2,3,6 | | | | | 475,591 | | |
| | | 200,000 | | | | Series 2021-2, Class M1C, 7.36% (30-Day SOFR Average+280 basis points), 1/25/20341,2,6 | | | | | 194,099 | | |
| | | 250,000 | | | | Series 2022-1, Class M1C, 10.06% (30-Day SOFR Average+550 basis points), 10/25/20341,2,4,6 | | | | | 250,928 | | |
| | | 487,122 | | | | JP Morgan Mortgage Trust Series 2022-1, Class B4, 3.09%, 7/25/20521,2,3,4 | | | | | 321,546 | | |
| | | 1,000,000 | | | | Madison Park Funding Ltd. Series 2023-63A, Class E, 0.000% (3-Month Term SOFR+857 basis points), 4/21/2035 | | | | | 975,000 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
| Principal Amount | | | | | | Value | | ||||||
| | | | ASSET-BACKED SECURITIES (Continued) | | |||||||||
| | $ | 1,000,000 | | | | Madison Park Funding XIII Ltd. Series 2014-13A, Class DR2, 7.65% (3-Month USD Libor+285 basis points), 4/19/2030 | | | | $ | 950,906 | | |
| | | 43,883 | | | | Mosaic Solar Loan Trust Series 2019-1A, Class B, 0.000%, 12/21/20431,2 | | | | | 39,435 | | |
| | | 16,084,782 | | | | Mount Logan Funding LP Series 2018-1A, Class SUBR, 0.000%, 1/22/20331,2,4 | | | | | 10,278,111 | | |
| | | 500,000 | | | | New Mountain CLO 4 Ltd. Series CLO-4A, Class D, 0.000% (3-Month Term SOFR+550 basis points), 4/20/2036 | | | | | 497,928 | | |
| | | 750,000 | | | | Series CLO-4A, Class E, 0.000% (3-Month Term SOFR+815 basis points), 4/20/2036 | | | | | 731,892 | | |
| | | 216,755 | | | | New Residential Mortgage Loan Trust Series 2019-1A, Class B6B, 3.17%, 9/25/20571,2,4 | | | | | 181,446 | | |
| | | 250,000 | | | | Series 2022-NQM1, Class M1, 3.60%, 4/25/20611,2,4 | | | | | 170,256 | | |
| | | 1,000,000 | | | | Newark BSL CLO 2 Ltd. Series 2017-1A, Class CR, 7.97% (3-Month USD Libor+315 basis points), 7/25/20301,4 | | | | | 915,000 | | |
| | | 323,692 | | | | Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2006-AP1, Class A3, 5.65%, 1/25/20362,3,4 | | | | | 104,820 | | |
| | | 750,000 | | | | OCP CLO Ltd. Series 2016-11A, Class DR, 11.32% (3-Month USD Libor+650 basis points), 10/26/2030 | | | | | 690,937 | | |
| | | 800,000 | | | | OSD CLO Ltd. Series 2023-27A, Class E, 10.79% (3-Month Term SOFR+825 basis points), 4/16/20351,4 | | | | | 756,667 | | |
| | | 1,000,000 | | | | OZLM VI Ltd. Series 2014-6A, Class CS, 7.92% (3-Month USD Libor+313 basis points), 4/17/2031 | | | | | 890,000 | | |
| | | 199,974 | | | | Pagaya AI Debt Trust Series 2022-1, Class C, 4.89%, 10/15/20291,2 | | | | | 169,695 | | |
| | | 299,971 | | | | Series 2022-3, Class B, 8.05%, 3/15/20301,2 | | | | | 302,819 | | |
| | | 4,000,000 | | | | Palmer Square CLO Ltd. Series 2023-1A, Class SUB, 0.000%, 1/20/20361,2,4 | | | | | 3,922,387 | | |
| | | 2,500,000 | | | | Palmer Square European CLO Series 2021-2X, Class SUB, 0.000%, 4/15/20352,4 | | | | | 1,485,487 | | |
| | | 2,975,000 | | | | Palmer Square European Loan Funding Series 2022-1X, Class SUB, 0.000%, 10/15/20312,4 | | | | | 2,009,392 | | |
| | | 4,000,000 | | | | Series 2022-2X, Class SUB, 0.000%, 10/15/20312,4 | | | | | 2,974,865 | | |
| | | 7,500,000 | | | | Series 2022-3X, Class E, 9.32% (3-Month Euribor+728 basis points), 4/12/20322,6 | | | | | 7,672,599 | | |
| | | 4,000,000 | | | | Series 2022-3X, Class SUB, 0.000%, 4/12/20322,4 | | | | | 4,352,100 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
| Principal Amount | | | | | | Value | | ||||||
| | | | ASSET-BACKED SECURITIES (Continued) | | |||||||||
| | $ | 3,700,000 | | | | Series 2023-1X, Class E, 0.000% (3-Month Euribor+653 basis points), 11/15/20322,4,6 | | | | $ | 3,691,574 | | |
| | | 7,100,000 | | | | Series 2023-1A, Class SUB, 0.000%, 11/15/20321,2,4,5 | | | | | 7,699,816 | | |
| | | 1,000,000 | | | | Palmer Square Loan Funding Ltd. Series 2019-1A, Class SUB, 0.000%, 4/20/20271,2,4,5 | | | | | — | | |
| | | 1,000,000 | | | | Series 2019-3A, Class SUB, 0.000%, 8/20/20271,2,4,5 | | | | | — | | |
| | | 1,500,000 | | | | Series 2019-4A, Class SUB, 0.000%, 10/24/20271,2,4,5 | | | | | — | | |
| | | 1,250,000 | | | | Series 2020-1A, Class SUB, 0.000%, 2/20/20281,2,4 | | | | | 866,837 | | |
| | | 650,000 | | | | Series 2020-2A, Class SUB, 0.000%, 4/20/20281,2,4 | | | | | 26,000 | | |
| | | 1,250,000 | | | | Series 2020-3A, Class SUB, 0.000%, 7/20/20281,2,4,5 | | | | | — | | |
| | | 2,250,000 | | | | Series 2020-4A, Class SUB, 0.000%, 11/25/20281,2,4 | | | | | 1,419,808 | | |
| | | 1,250,000 | | | | Series 2021-1A, Class SUB, 0.000%, 4/20/20291,2,4 | | | | | 811,485 | | |
| | | 2,150,000 | | | | Series 2021-2A, Class SUB, 0.000%, 5/20/20291,2,4 | | | | | 1,367,396 | | |
| | | 1,500,000 | | | | Series 2021-3A, Class SUB, 0.000%, 7/20/20291,2,4 | | | | | 990,675 | | |
| | | 3,100,000 | | | | Series 2021-4A, Class SUB, 0.000%, 10/15/20291,2,4 | | | | | 2,131,113 | | |
| | | 5,235,000 | | | | Series 2022-1I, Class SUB, 0.000%, 4/15/20302,4 | | | | | 3,764,008 | | |
| | | 6,000,000 | | | | Series 2022-2A, Class SUB, 0.000%, 10/15/20301,2,4 | | | | | 4,515,211 | | |
| | | 2,500,000 | | | | Series 2022-5I, Class D, 10.04% (3-Month Term SOFR+538 basis points), 1/15/20312,6 | | | | | 2,338,054 | | |
| | | 1,250,000 | | | | Series 2022-5I, Class SUB, 0.000%, 1/15/20312,4 | | | | | 1,258,277 | | |
| | | 6,250,000 | | | | Series 2022-3A, Class SUB, 0.000%, 4/15/20311,2,4 | | | | | 6,276,546 | | |
| | | 3,700,000 | | | | Series 2022-4A, Class D, 12.07% (3-Month Term SOFR+729 basis points), 7/24/20311,2,4,6 | | | | | 3,444,732 | | |
| | | 8,050,000 | | | | Series 2022-4A, Class SUB, 0.000%, 7/24/20311,2,4 | | | | | 7,903,479 | | |
| | | 250,000 | | | | Radnor RE Ltd. Series 2021-1, Class M2, 7.71% (30-Day SOFR Average+315 basis points), 12/27/20331,2,6 | | | | | 241,009 | | |
| | | 250,000 | | | | Series 2021-2, Class M2, 9.56% (30-Day SOFR Average+500 basis points), 11/25/20311,2,6 | | | | | 246,430 | | |
| | | 175,000 | | | | Series 2021-1, Class M1C, 7.26% (30-Day SOFR Average+270 basis points), 12/27/20331,2,6 | | | | | 172,317 | | |
| | | 300,000 | | | | Series 2022-1, Class M1B, 11.31% (30-Day SOFR Average+675 basis points), 9/25/20321,2,6 | | | | | 318,743 | | |
| | | | | | | RALI Trust | | | |||||
| | | 69,986 | | | | Series 2006-QA10, Class A1, 5.22% (1-Month USD Libor+37 basis points), 12/25/20362,6 | | | | | 54,750 | | |
| | | 165,416 | | | | Series 2006-QS2, Class 1A9, 5.50%, 2/25/20362,3 | | | | | 132,434 | | |
| | | 340,000 | | | | Residential Mortgage Loan Trust Series 2020-1, Class B2, 4.66%, 1/26/20601,2,3,4 | | | | | 242,512 | | |
| | | 750,000 | | | | RR 5 Ltd. Series 2018-5A, Class C, 7.89% (3-Month USD Libor+310 basis points), 10/15/2031 | | | | | 693,915 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
| Principal Amount | | | | | | Value | | ||||||
| | | | ASSET-BACKED SECURITIES (Continued) | | |||||||||
| | $ | 250,000 | | | | Saranac CLO VIII Ltd. Series 2020-8A, Class E, 13.04% (3-Month USD Libor+812 basis points), 2/20/20331,2,3,6 | | | | $ | 204,336 | | |
| | | 1,840,935 | | | | Silver Point Loan Funding, LLC Class, 0.000%, 10/20/20335 | | | | | 1,840,217 | | |
| | | 100,000 | | | | STAR Trust Series 2021-SFR1, Class F, 7.11% (1-Month USD Libor+240 basis points), 4/17/20381,6 | | | | | 93,463 | | |
| | | 500,000 | | | | Triangle RE Ltd. Series 2021-3, Class M2, 8.31% (30-Day SOFR Average+375 basis points), 2/25/20341,2,4,6 | | | | | 478,684 | | |
| | | 77,371 | | | | Series 2021-2, Class M1B, 7.45% (1-Month USD Libor+260 basis points), 10/25/20331,2,6 | | | | | 77,569 | | |
| | | 200,000 | | | | Upstart Securitization Trust Series 2021-5, Class C, 4.15%, 11/20/20311,2 | | | | | 170,042 | | |
| | | 200,000 | | | | Series 2021-3, Class C, 3.28%, 7/20/20311,2 | | | | | 176,585 | | |
| | | 40,000 | | | | Veros Automobile Receivables Trust Series 2020-1, Class D, 5.64%, 2/16/20271,2 | | | | | 39,928 | | |
| | | 100,000 | | | | Series 2022-1, Class D, 7.23%, 7/16/20291,2 | | | | | 92,820 | | |
| | | 900,000 | | | | Verus Securitization Trust Series 2020-5, Class B2, 4.71%, 5/25/20651,2,4 | | | | | 723,636 | | |
| | | 812,000 | | | | Series 2021-8, Class B2, 4.33%, 11/25/20661,2,4 | | | | | 496,573 | | |
| | | 300,000 | | | | Series 2021-5, Class M1, 2.33%, 9/25/20661,2,4 | | | | | 209,432 | | |
| | | 250,000 | | | | Series 2022-7, Class M1, 5.41%, 7/25/20671,2,4 | | | | | 221,097 | | |
| | | 750,500 | | | | Voya CLO Ltd. Series 2019-2A, Class D, 8.51% (3-Month USD Libor+370 basis points), 7/20/2032 | | | | | 671,367 | | |
| | | 23,226 | | | | WaMu Mortgage Pass-Through Certificates Trust Series 2006-AR18, Class 3A1, 3.30%, 1/25/20372,4 | | | | | 19,701 | | |
| | | 165,890 | | | | Wells Fargo Mortgage Loan Trust Series 2010-RR2, Class 1A4, 3.49%, 9/27/20351,2,3,4 | | | | | 122,454 | | |
| | | 434,749 | | | | Western Mortgage Reference Notes Series 2021-CL2, Class M4, 9.91% (30-Day SOFR Average+535 basis points), 7/25/20591,2,3,6 | | | | | 419,608 | | |
| | | 442,266 | | | | Series 2021-CL2, Class M5, 11.06% (30-Day SOFR Average+650 basis points), 7/25/20591,2,3,6 | | | | | 427,499 | | |
| | | 73,914 | | | | XCALI Mortgage Trust Series 2020-1, Class B1, 12.16% (1-Month USD Libor+750 basis points), 2/6/20241,2,6 | | | | | 73,003 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost $137,223,302) | | | | | 123,819,985 | | |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
| Principal Amount | | | | | | Value | | ||||||
| | | | | | | BANK LOANS – 12.2% | | ||||||
| | $ | 4,502,894 | | | | Advantage Capital Holdings, LLC 12.50% PIK, 4/14/20275,7 | | | | $ | 4,368,015 | | |
| | | 2,610,508 | | | | 5.00% Cash, 8.000% PIK, 4/14/20275,7 | | | | | 2,535,587 | | |
| | | 5,000,000 | | | | Antares Loan Funding CLO 11.94%, 3/1/20265 | | | | | 5,000,000 | | |
| | | 299,436 | | | | BJ Services 11.83%, 12/1/20235 | | | | | 275,481 | | |
| | | 1,950,496 | | | | Challenge Manufacturing Company, LLC 15.82%, 12/18/20255 | | | | | 1,872,476 | | |
| | | 7,500,000 | | | | Cherco, LLC 15.95%, 9/1/20255 | | | | | 7,387,500 | | |
| | | 17,250,000 | | | | Florida Marine 14.90%, 9/1/20255 | | | | | 16,937,723 | | |
| | | 3,500,000 | | | | GH Group, Inc. 16.50%, 12/10/20265 | | | | | 3,255,000 | | |
| | | 5,402,172 | | | | IFit Inc. 19.96%, 2/24/20275 | | | | | 5,186,085 | | |
| | | 5,829,207 | | | | Lucky Bucks Holdings, LLC 12.50%, 5/29/20285 | | | | | 4,124,164 | | |
| | | 8,938,649 | | | | Nova Compression, LLC 11.63%, 9/1/20255 | | | | | 9,028,036 | | |
| | | 236,284 | | | | Premier Brands Group Holdings, LLC 9.12%, 3/20/20245 | | | | | 228,014 | | |
| | | 6,786,735 | | | | PWCC Marketplace, LLC 10.91%, 9/6/20255 | | | | | 6,786,735 | | |
| | | 10,250,000 | | | | Shryne Group, Inc. 14.75%, 5/26/20265 | | | | | 10,096,250 | | |
| | | 9,208,333 | | | | Stronghold Digital Mining, Inc. 14.57%, 11/16/20255 | | | | | 8,729,500 | | |
| | | 1,586,711 | | | | Wellbore Integrity Solutions, LLC 11.40%, 12/31/20245 | | | | | 1,586,711 | | |
| | | 2,078,811 | | | | 14.83%, 12/31/20245 | | | | | 2,068,417 | | |
| | | | | | | TOTAL BANK LOANS (Cost $91,079,299) | | | | | 89,465,694 | | |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
| Number of Shares | | | | | | Value | | ||||||
| | | | CLOSED-END FUNDS – 17.0% | | | | | | | | |||
| | | 22,030 | | | | Apollo Diversified Credit Fund – Class I | | | | $ | 468,799 | | |
| | | 338,600 | | | | BC Partners Lending Corp. | | | | | 7,422,799 | | |
| | | 2,086,615 | | | | Cliffwater Corporate Lending Fund – Class I | | | | | 22,264,179 | | |
| | | 3,376,951 | | | | Cliffwater Enhanced Lending Fund – Class I | | | | | 36,639,913 | | |
| | | 32,823 | | | | Invesco Dynamic Credit Opportunity Fund – Class AX | | | | | 363,352 | | |
| | | 191,603 | | | | Opportunistic Credit Interval Fund – Class I | | | | | 2,230,261 | | |
| | | 697,900 | | | | Palmer Square Opportunistic Income Fund | | | | | 11,466,490 | | |
| | | 459,841 | | | | PalmerSquare Capital BDC, Inc. | | | | | 7,500,000 | | |
| | | 1,169,025 | | | | Pomona Investment Fund LP | | | | | 17,037,610 | | |
| | | 422,519 | | | | StepStone Private Markets – Class I* | | | | | 19,326,031 | | |
| | | | | | | TOTAL CLOSED-END FUNDS (Cost $116,959,098) | | | | | 124,719,434 | | |
| Principal Amount | | | | | | | | | | | |||
| | | | COLLATERALIZED MORTGAGE OBLIGATIONS – 1.6% | | |||||||||
| | $ | 100,000 | | | | Arivo Acceptance Auto Loan Receivables Trust Series 2022-1A, Class D, 7.38%, 9/17/20291,2 | | | | | 87,680 | | |
| | | 6,000,000 | | | | Banco Santander, S.A. 9.11%, 8/15/20374,5,8 | | | | | 6,506,886 | | |
| | | 250,000 | | | | Bellemeade Re Ltd. Series 2019-2A, Class M2, 7.94% (1-Month USD Libor+310 basis points), 4/25/20291,2,3,6 | | | | | 252,764 | | |
| | | 1,000,000 | | | | Series 2022-1, Class M1C, 8.26% (30-Day SOFR Average+370 basis points), 1/26/20321,2,6 | | | | | 978,181 | | |
| | | 500,000 | | | | Series 2022-1, Class M2, 9.16% (30-Day SOFR Average+460 basis points), 1/26/20321,2,3,6 | | | | | 474,728 | | |
| | | 574,388 | | | | CHL Mortgage Pass-Through Trust Series 2004-29, Class 1X, 0.28%, 2/25/20352,4 | | | | | 3,200 | | |
| | | 16,302 | | | | Connecticut Avenue Securities Trust Series 2019-R01, Class 2M2, 7.30% (1-Month USD Libor+245 basis points), 7/25/20311,2,6 | | | | | 16,326 | | |
| | | 4,647 | | | | Series 2019-R03, Class 1M2, 7.00% (1-Month USD Libor+215 basis points), 9/25/20311,2,6 | | | | | 4,647 | | |
| | | 352,157 | | | | DSLA Mortgage Loan Trust Series 2004-AR2, Class X2, 0.00%, 11/19/20442,4 | | | | | 448 | | |
| | | 500,000 | | | | Eagle RE Ltd. Series 2021-2, Class M2, 8.81% (30-Day SOFR Average+425 basis points), 4/25/20341,2,6 | | | | | 500,620 | | |
| | | 200,000 | | | | Foursight Capital Automobile Receivables Trust Series 2020-1, Class F, 4.62%, 6/15/20271,2 | | | | | 197,085 | | |
| | | 249,089 | | | | Freddie Mac Structured Agency Credit Risk Debt Notes Series 2018-SPI2, Class B, 3.83%, 5/25/20481,2,4 | | | | | 162,388 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
| Principal Amount | | | | | | Value | | ||||||
| | | | | | | COLLATERALIZED MORTGAGE OBLIGATIONS (Continued) | | | |||||
| | $ | 189,251 | | | | Series 2018-SPI4, Class B, 4.51%, 11/25/20481,2,4 | | | | $ | 106,644 | | |
| | | 250,000 | | | | GCAT Trust Series 2020-NQM2, Class M1, 3.59%, 4/25/20651,2,4 | | | | | 205,230 | | |
| | | 500,000 | | | | Home RE Ltd. Series 2021-1, Class M2, 7.70% (1-Month USD Libor+285 basis points), 7/25/20331,2,6 | | | | | 492,057 | | |
| | | 550,000 | | | | Series 2021-1, Class B1, 8.49% (1-Month USD Libor+365 basis points), 7/25/20331,2,6 | | | | | 531,306 | | |
| | | 1,410,000 | | | | JP Morgan Mortgage Trust Series 2022-INV2, Class B6, 3.35%, 7/25/20521,2,4 | | | | | 510,818 | | |
| | | 100,000 | | | | Lendingpoint Asset Securitization Trust Series 2022-B, Class C, 8.45%, 10/15/20291,2 | | | | | 93,172 | | |
| | | 632,000 | | | | Rate Mortgage Trust Series 2022-J1, Class B5, 2.75%, 1/25/20521,2,4 | | | | | 219,497 | | |
| | | 1,100,000 | | | | Series 2022-J1, Class B6, 2.75%, 1/25/20521,2,4 | | | | | 266,945 | | |
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $11,915,876) | | | | | 11,610,622 | | |
| Number of Shares | | | | | | | | | | | |||
| | | | COMMON STOCKS – 2.0% | | | | | | | | |||
| | | | | | | AEROSPACE/DEFENSE-EQUIPMENT – 0.0% | | | | | | | |
| | | 514 | | | | Aerojet Rocketdyne Holdings, Inc.*,3 | | | | | 28,871 | | |
| | | | | | | APPLIANCES – 0.0% | | ||||||
| | | 3,929 | | | | iRobot Corp.*,3 | | | | | 171,462 | | |
| | | | | | | APPLICATIONS SOFTWARE – 0.1% | | ||||||
| | | 14,474 | | | | ForgeRock, Inc. – Class A*,3 | | | | | 298,164 | | |
| | | | | | | BROADCAST SERVICES/PROGRAMS – 0.0% | | ||||||
| | | 9,923 | | | | TEGNA, Inc.3 | | | | | 167,798 | | |
| | | | | | | COMMERCIAL BANKS-EASTERN US – 0.0% | | ||||||
| | | 16,773 | | | | Lakeland Bancorp, Inc. | | | | | 262,330 | | |
| | | | | | | COMMERCIAL BANKS-SOUTHERN US – 0.0% | | ||||||
| | | 10,412 | | | | First Horizon Corp.3 | | | | | 185,125 | | |
| | | | | | | COMMERCIAL SERVICES-FINANCE – 0.0% | | ||||||
| | | 3,771 | | | | MoneyGram International, Inc.*,3 | | | | | 39,294 | | |
| | | | | | | ENTERTAINMENT SOFTWARE – 0.0% | | ||||||
| | | 107 | | | | MultiMetaVerse Holdings Ltd.*,9 | | | | | 117 | | |
| | | | | | | MEDICAL LABS & TESTING SERVICES – 0.0% | | ||||||
| | | 1 | | | | Etao International Co., Ltd.*,9 | | | | | 1 | | |
| | | —10 | | | | Euda Health Holdings Ltd.*,9 | | | | | — | | |
| | | | | | | | | | | | 1 | | |
| | | | | | | MEDICAL-BIOMEDICAL/GENERICS – 0.1% | | ||||||
| | | 3,261 | | | | Horizon Therapeutics PLC*,9 | | | | | 355,906 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | COMMON STOCKS (Continued) | | | | | | | |
| | | | | | | SPECIFIED PURPOSE ACQUISITIONS – 1.8% | | | | | | | |
| | | 2,076 | | | | Accretion Acquisition Corp.* | | | | $ | 21,404 | | |
| | | 1,456 | | | | Ace Global Business Acquisition Ltd.*,9 | | | | | 15,827 | | |
| | | 1,774 | | | | Achari Ventures Holdings Corp. I* | | | | | 18,627 | | |
| | | 42,500 | | | | Acies Acquisition Corp. – Class A* | | | | | 445,400 | | |
| | | 20 | | | | African Gold Acquisition Corp. – Class A*,9 | | | | | 205 | | |
| | | 1,489 | | | | Alpha Star Acquisition Corp.*,9 | | | | | 15,649 | | |
| | | 60,548 | | | | AltEnergy Acquisition Corp. – Class A* | | | | | 627,883 | | |
| | | 194 | | | | Apeiron Capital Investment Corp. – Class A* | | | | | 1,994 | | |
| | | 21,500 | | | | Apollo Strategic Growth Capital II – Class A*,9 | | | | | 220,375 | | |
| | | 86,880 | | | | Ares Acquisition Corp. – Class A*,9 | | | | | 896,602 | | |
| | | 1,050 | | | | Arisz Acquisition Corp.* | | | | | 10,815 | | |
| | | 1,044 | | | | Atlantic Coastal Acquisition Corp. II – Class A* | | | | | 10,847 | | |
| | | 2,964 | | | | Avalon Acquisition, Inc. – Class A* | | | | | 30,915 | | |
| | | 36,742 | | | | B. Riley Principal 250 Merger Corp. – Class A* | | | | | 373,299 | | |
| | | 2,396 | | | | Black Mountain Acquisition Corp. – Class A* | | | | | 24,894 | | |
| | | 1,778 | | | | Blockchain Moon Acquisition Corp.* | | | | | 18,865 | | |
| | | 2,874 | | | | Blue Safari Group Acquisition Corp. – Class A*,9 | | | | | 31,183 | | |
| | | 2,932 | | | | Cactus Acquisition Corp. I Ltd. – Class A*,9 | | | | | 30,581 | | |
| | | 21,888 | | | | Churchill Capital Corp. V – Class A* | | | | | 220,631 | | |
| | | 62,905 | | | | Churchill Capital Corp. VI – Class A* | | | | | 635,970 | | |
| | | 64,065 | | | | Churchill Capital Corp. VII – Class A* | | | | | 649,619 | | |
| | | 2,445 | | | | Colombier Acquisition Corp. – Class A* | | | | | 24,768 | | |
| | | 30,000 | | | | Conyers Park III Acquisition Corp. – Class A* | | | | | 303,300 | | |
| | | 626 | | | | Crescera Capital Acquisition Corp. – Class A*,9 | | | | | 6,542 | | |
| | | 1,764 | | | | Deep Medicine Acquisition Corp. – Class A* | | | | | 18,698 | | |
| | | 9,833 | | | | Denali Capital Acquisition Corp. – Class A*,9 | | | | | 102,951 | | |
| | | 31,924 | | | | Distoken Acquisition Corp.*,9 | | | | | 324,667 | | |
| | | 698 | | | | dMY Technology Group, Inc. VI – Class A | | | | | 7,067 | | |
| | | 592 | | | | Enterprise 4.0 Technology Acquisition Corp. – Class A*,9 | | | | | 6,186 | | |
| | | 12,228 | | | | Everest Consolidator Acquisition Corp. – Class A* | | | | | 127,171 | | |
| | | 14,699 | | | | ExcelFin Acquisition Corp. – Class A* | | | | | 152,723 | | |
| | | 19,844 | | | | FG Merger Corp.* | | | | | 206,378 | | |
| | | 1,060 | | | | Finnovate Acquisition Corp. – Class A*,9 | | | | | 11,056 | | |
| | | 20,000 | | | | Focus Impact Acquisition Corp. – Class A* | | | | | 207,400 | | |
| | | 20,000 | | | | FutureTech II Acquisition Corp. – Class A* | | | | | 209,000 | | |
| | | 1,455 | | | | G Squared Ascend II, Inc. – Class A*,9 | | | | | 15,001 | | |
| | | 1,763 | | | | Globalink Investment, Inc.* | | | | | 18,300 | | |
| | | 1,582 | | | | Goldenbridge Acquisition Ltd.*,9 | | | | | 16,975 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | COMMON STOCKS (Continued) | | | |||||
| | | | | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | |||||
| | | 29,037 | | | | Gores Holdings IX, Inc. – Class A* | | | | $ | 292,693 | | |
| | | 2,885 | | | | Graf Acquisition Corp. IV* | | | | | 29,225 | | |
| | | 782 | | | | Green Visor Financial Technology Acquisition Corp. I – Class A*,9 | | | | | 8,227 | | |
| | | 1,764 | | | | Growth For Good Acquisition Corp. – Class A*,9 | | | | | 18,046 | | |
| | | 12,288 | | | | GSR II Meteora Acquisition Corp. | | | | | 125,460 | | |
| | | 19,983 | | | | Hainan Manaslu Acquisition Corp.*,9 | | | | | 206,624 | | |
| | | 20,882 | | | | Innovative International Acquisition Corp. – Class A*,9 | | | | | 220,514 | | |
| | | 1,962 | | | | Integrated Rail and Resources Acquisition Corp. – Class A* | | | | | 20,562 | | |
| | | 2,354 | | | | Integrated Wellness Acquisition Corp. – Class A*,9 | | | | | 24,081 | | |
| | | 42,544 | | | | Jaws Hurricane Acquisition Corp. – Class A* | | | | | 432,247 | | |
| | | 56,469 | | | | Jaws Juggernaut Acquisition Corp. – Class A*,9 | | | | | 577,678 | | |
| | | 1,241 | | | | Jupiter Wellness Acquisition Corp. – Class A* | | | | | 13,093 | | |
| | | 1,748 | | | | Kairous Acquisition Corp. Ltd.*,9 | | | | | 18,634 | | |
| | | 1,069 | | | | Khosla Ventures Acquisition Co. III – Class A* | | | | | 10,850 | | |
| | | 55,746 | | | | Lakeshore Acquisition II Corp.*,9 | | | | | 584,218 | | |
| | | 2,764 | | | | LAMF Global Ventures Corp. I – Class A*,9 | | | | | 28,884 | | |
| | | 48,410 | | | | LAVA Medtech Acquisition Corp. – Class A* | | | | | 504,916 | | |
| | | 584 | | | | Learn CW Investment Corp. – Class A*,9 | | | | | 5,998 | | |
| | | 11,354 | | | | LF Capital Acquisition Corp. II – Class A* | | | | | 119,217 | | |
| | | 1,182 | | | | M3-Brigade Acquisition III Corp. – Class A* | | | | | 12,198 | | |
| | | 2,122 | | | | Mercato Partners Acquisition Corp. – Class A* | | | | | 22,111 | | |
| | | 2,256 | | | | Monterey Bio Acquisition Corp.* | | | | | 23,981 | | |
| | | 1,689 | | | | Mountain Crest Acquisition Corp. V* | | | | | 17,295 | | |
| | | 12,184 | | | | Nabors Energy Transition Corp. – Class A* | | | | | 127,932 | | |
| | | 27,670 | | | | Newbury Street Acquisition Corp.* | | | | | 283,617 | | |
| | | 2,282 | | | | Nocturne Acquisition Corp.*,9 | | | | | 24,805 | | |
| | | 2,885 | | | | OceanTech Acquisitions I Corp. – Class A* | | | | | 30,725 | | |
| | | 1,750 | | | | OPY Acquisition Corp. I – Class A* | | | | | 17,657 | | |
| | | 2,500 | | | | Orion Biotech Opportunities Corp. – Class A*,9 | | | | | 25,575 | | |
| | | 15,561 | | | | Papaya Growth Opportunity Corp. I – Class A* | | | | | 161,990 | | |
| | | 720 | | | | Post Holdings Partnering Corp. – Class A* | | | | | 7,286 | | |
| | | 2,346 | | | | Project Energy Reimagined Acquisition Corp. – Class A*,9 | | | | | 23,953 | | |
| | | 294 | | | | Pyrophyte Acquisition Corp. – Class A*,9 | | | | | 3,088 | | |
| | | 20,023 | | | | Redwoods Acquisition Corp.* | | | | | 206,838 | | |
| | | 19,239 | | | | RF Acquisition Corp. – Class A* | | | | | 198,162 | | |
| | | 2,478 | | | | ROC Energy Acquisition Corp.* | | | | | 25,846 | | |
| | | 1,666 | | | | Roth CH Acquisition V Corp.* | | | | | 17,193 | | |
| | | 52,326 | | | | Screaming Eagle Acquisition Corp. – Class A*,9 | | | | | 531,109 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | COMMON STOCKS (Continued) | | | |||||
| | | | | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | |||||
| | | 60,000 | | | | SHUAA Partners Acquisition Corp. I – Class A*,9 | | | | $ | 628,800 | | |
| | | 2,760 | | | | Sizzle Acquisition Corp.* | | | | | 28,814 | | |
| | | 888 | | | | SportsMap Tech Acquisition Corp.* | | | | | 9,235 | | |
| | | 4,204 | | | | Spree Acquisition Corp. I Ltd. – Class A*,9 | | | | | 43,806 | | |
| | | 62,852 | | | | Sustainable Development Acquisition I Corp. – Class A* | | | | | 634,177 | | |
| | | 20,000 | | | | Talon 1 Acquisition Corp. – Class A*,9 | | | | | 211,000 | | |
| | | 1,896 | | | | Tastemaker Acquisition Corp. – Class A* | | | | | 19,624 | | |
| | | 852 | | | | TG Venture Acquisition Corp. – Class A* | | | | | 8,818 | | |
| | | 22,243 | | | | TPG Pace Beneficial II Corp.*,3,9 | | | | | 221,765 | | |
| | | 2,558 | | | | Trine II Acquisition Corp. – Class A*,9 | | | | | 26,757 | | |
| | | 2,396 | | | | Tristar Acquisition I Corp. – Class A*,9 | | | | | 24,751 | | |
| | | 838 | | | | Vahanna Tech Edge Acquisition I Corp. – Class A*,9 | | | | | 8,774 | | |
| | | 3,680 | | | | Welsbach Technology Metals Acquisition Corp.* | | | | | 38,198 | | |
| | | 3,044 | | | | Worldwide Webb Acquisition Corp. – Class A*,9 | | | | | 31,505 | | |
| | | | | | | | | | | | 12,998,320 | | |
| | | | | | | WIRELESS EQUIPMENT – 0.0% | | ||||||
| | | 3,508 | | | | Maxar Technologies, Inc. | | | | | 179,118 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost $14,562,524) | | | | | 14,686,506 | | |
| Principal Amount | | | | | | | | | | | |||
| | | | | | | CORPORATE BONDS – 0.5% | | | | | | | |
| | | | | | | INVESTMENT COMPANIES – 0.5% | | | | | | | |
| | $ | 1,135,377 | | | | Blackstone Private Credit Fund 2.63%, 12/15/20262 | | | | | 955,033 | | |
| | | 490,000 | | | | 3.25%, 3/15/20272 | | | | | 416,453 | | |
| | | 1,000,000 | | | | Golub Capital BDC, Inc. 3.37%, 4/15/20242 | | | | | 961,681 | | |
| | | | | | | Owl Rock Capital Corp. | | | | | | | |
| | | 1,000,000 | | | | 3.40%, 7/15/20262 | | | | | 883,696 | | |
| | | 500,000 | | | | 2.87%, 6/11/20282 | | | | | 405,213 | | |
| | | 158,000 | | | | OWL Rock Core Income Corp. 7.75%, 9/16/20271,2 | | | | | 154,810 | | |
| | | | | | | VENTURE CAPITAL – 0.0% | | ||||||
| | | 312,000 | | | | Hercules Capital, Inc. 3.38%, 1/20/20272 | | | | | 268,035 | | |
| | | | | | | TOTAL CORPORATE BONDS (Cost $4,012,094) | | | | | 4,044,921 | | |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | MUTUAL FUNDS – 5.0% | | | | | | | |
| | | 1,436,656 | | | | Driehaus Event Driven Fund | | | | $ | 17,326,069 | | |
| | | 1,515,655 | | | | Glenmede Secured Options Portfolio – Class Institutional* | | | | | 19,248,823 | | |
| | | | | | | TOTAL MUTUAL FUNDS (Cost $38,000,000) | | | | | 36,574,892 | | |
| | | | | | | PRIVATE INVESTMENT FUNDS – 24.1% | | | | | | | |
| | | N/A11 | | | | DSC Meridian Credit Opportunities Onshore Fund LP* | | | | | 13,840,691 | | |
| | | N/A11 | | | | Eisler Capital Multi Strategy Fund LP* | | | | | 22,930,559 | | |
| | | N/A11 | | | | Hudson Bay Fund LP* | | | | | 9,149,523 | | |
| | | N/A11 | | | | Linden Investors LP* | | | | | 11,679,280 | | |
| | | N/A11 | | | | Nuveen Real Estate U.S. Cities Industrial Fund LP*,5 | | | | | 9,182,291 | | |
| | | N/A11 | | | | Nuveen Real Estate U.S. Cities Multifamily Fund LP*,5 | | | | | 9,233,766 | | |
| | | N/A11 | | | | Oak Street Real Estate Capital Net Lease Property Fund LP | | | | | 20,287,145 | | |
| | | N/A11 | | | | Pender Capital Asset Based Lending Fund I LP | | | | | 35,500,000 | | |
| | | N/A11 | | | | Point72 Capital LP* | | | | | 17,189,029 | | |
| | | N/A11 | | | | Rivernorth Capital Partners LP* | | | | | 12,006,892 | | |
| | | N/A11 | | | | Seer Capital Partners Fund LP* | | | | | 2,718,983 | | |
| | | N/A11 | | | | Walleye Opportunities Fund LP* | | | | | 12,980,330 | | |
| | | | | | | TOTAL PRIVATE INVESTMENT FUNDS (Cost $169,171,900) | | | | | 176,698,489 | | |
| | | | | | | REAL ESTATE INVESTMENT TRUSTS – 9.0% | | | | | | | |
| | | | | | | REAL ESTATE – 9.0% | | | |||||
| | | 686,379 | | | | Bailard Real Estate Investment Trust LP5 | | | | | 23,783,021 | | |
| | | 753,940 | | | | Invesco Real Estate Income Trust, Inc. – Class I5 | | | | | 22,894,150 | | |
| | | 1,439,175 | | | | Jones Lang LaSalle Income Property Trust, Inc. – Class M-I | | | | | 19,817,440 | | |
| | | | | | | | | | | | 66,494,611 | | |
| | | | | | | TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $63,013,030) | | | | | 66,494,611 | | |
| | | | | | | | |||||||
| | | | | | | RIGHTS – 0.0% | | | | | | | |
| | | 481 | | | | ABIOMED, Inc., Expiration Date: June 29, 2023*,3,5 | | | | | 491 | | |
| | | 2,076 | | | | Accretion Acquisition Corp., Expiration Date: May 16, 2023* | | | | | 195 | | |
| | | 4,393 | | | | AIB Acquisition Corp., Expiration Date: May 11, 2023*,9 | | | | | 659 | | |
| | | 1,489 | | | | Alpha Star Acquisition Corp., Expiration Date: April 18, 2023*,9 | | | | | 147 | | |
| | | 1,050 | | | | Arisz Acquisition Corp., Expiration Date: August 17, 2023* | | | | | 91 | | |
| | | 1,778 | | | | Blockchain Moon Acquisition Corp., Expiration Date: April 13, 2023* | | | | | 91 | | |
| | | 2,874 | | | | Blue Safari Group Acquisition Corp., Expiration Date: December 8, 2023*,9 | | | | | 1,552 | | |
| | | 1,207 | | | | Breeze Holdings Acquisition Corp., Expiration Date: May 24, 2027* | | | | | 169 | | |
| | | 1,299 | | | | Brilliant Acquisition Corp., Expiration Date: May 16, 2023*,9 | | | | | 187 | | |
| | | 1,764 | | | | Deep Medicine Acquisition Corp., Expiration Date: June 22, 2023* | | | | | 247 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | | |||||||
| | | | | | | RIGHTS (Continued) | | | |||||
| | | 31,924 | | | | Distoken Acquisition Corp., Expiration Date: April 29, 2023*,9 | | | | $ | 4,150 | | |
| | | 923 | | | | Edoc Acquisition Corp., Expiration Date: May 10, 2023*,9 | | | | | 178 | | |
| | | 1,765 | | | | Financial Strategies Acquisition Corp., Expiration Date: April 19, 2023* | | | | | 185 | | |
| | | 1,763 | | | | Globalink Investment, Inc., Expiration Date: September 21, 2023* | | | | | 116 | | |
| | | 1,582 | | | | Goldenbridge Acquisition Ltd., Expiration Date: October 27, 2025*,9 | | | | | 717 | | |
| | | 1,764 | | | | Growth For Good Acquisition Corp., Expiration Date: May 10, 2023*,9 | | | | | 318 | | |
| | | 768 | | | | GSR II Meteora Acquisition Corp., Expiration Date: April 27, 2023* | | | | | 653 | | |
| | | 19,983 | | | | Hainan Manaslu Acquisition Corp., Expiration Date: November 14, 2023*,9 | | | | | 4,376 | | |
| | | 1,241 | | | | Jupiter Wellness Acquisition Corp., Expiration Date: June 5, 2023* | | | | | 496 | | |
| | | 1,748 | | | | Kairous Acquisition Corp. Ltd., Expiration Date: May 23, 2023*,9 | | | | | 264 | | |
| | | 55,746 | | | | Lakeshore Acquisition II Corp., Expiration Date: June 11, 2023*,9 | | | | | 11,707 | | |
| | | 20,035 | | | | Metal Sky Star Acquisition Corp., Expiration Date: April 29, 2023*,9 | | | | | 3,005 | | |
| | | 1,689 | | | | Mountain Crest Acquisition Corp. V, Expiration Date: April 29, 2023* | | | | | 343 | | |
| | | 2,282 | | | | Nocturne Acquisition Corp., Expiration Date: April 5, 2023*,9 | | | | | 297 | | |
| | | 3,780 | | | | NorthView Acquisition Corp., Expiration Date: September 19, 2023* | | | | | 643 | | |
| | | 20,023 | | | | Redwoods Acquisition Corp., Expiration Date: June 29, 2023* | | | | | 2,002 | | |
| | | 19,239 | | | | RF Acquisition Corp., Expiration Date: June 29, 2023* | | | | | 2,886 | | |
| | | 2,478 | | | | ROC Energy Acquisition Corp., Expiration Date: May 15, 2023* | | | | | 805 | | |
| | | 1,805 | | | | Viveon Health Acquisition Corp., Expiration Date: January 31, 2024* | | | | | 90 | | |
| | | 3,680 | | | | Welsbach Technology Metals Acquisition Corp., Expiration Date: May 11, 2023* | | | | | 626 | | |
| | | | | | | TOTAL RIGHTS (Cost $491) | | | | | 37,686 | | |
| | | | | | | UNITS – 0.5% | | | | | | | |
| | | | | | | SPECIFIED PURPOSE ACQUISITIONS – 0.5% | | | |||||
| | | 19,429 | | | | Alphatime Acquisition Corp.*,9 | | | | | 202,256 | | |
| | | 24,475 | | | | AlphaVest Acquisition Corp.*,9 | | | | | 254,540 | | |
| | | 1 | | | | Apeiron Capital Investment Corp.* | | | | | 7 | | |
| | | 19,609 | | | | Aquaron Acquisition Corp.* | | | | | 203,541 | | |
| | | 1,182 | | | | Ault Disruptive Technologies Corp.* | | | | | 12,364 | | |
| | | 2,938 | | | | Battery Future Acquisition Corp.*,9 | | | | | 30,790 | | |
| | | 16,328 | | | | Bellevue Life Sciences Acquisition Corp.* | | | | | 168,342 | | |
| | | 824 | | | | BioPlus Acquisition Corp.*,9 | | | | | 8,635 | | |
| | | 3,089 | | | | Blue Ocean Acquisition Corp.*,9 | | | | | 32,311 | | |
| | | 2,069 | | | | Bullpen Parlay Acquisition Co.*,9 | | | | | 21,621 | | |
| | | 19,672 | | | | dMY Squared Technology Group, Inc.* | | | | | 204,195 | | |
| | | 20,295 | | | | Elliott Opportunity II Corp.*,9 | | | | | 207,618 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | UNITS (Continued) | | | |||||
| | | | | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | |||||
| | | 2,938 | | | | EVe Mobility Acquisition Corp.*,9 | | | | $ | 30,731 | | |
| | | 23,908 | | | | Goldenstone Acquisition Ltd.* | | | | | 248,643 | | |
| | | 1,348 | | | | Healthcare AI Acquisition Corp.*,9 | | | | | 14,127 | | |
| | | 19,947 | | | | Horizon Space Acquisition I Corp.*,9 | | | | | 207,648 | | |
| | | 14,391 | | | | Hudson Acquisition I Corp.* | | | | | 148,083 | | |
| | | 10,018 | | | | Israel Acquisitions Corp.*,9 | | | | | 103,586 | | |
| | | 1,765 | | | | Jackson Acquisition Co.* | | | | | 18,162 | | |
| | | 25,305 | | | | Mars Acquisition Corp.*,9 | | | | | 261,654 | | |
| | | 18,409 | | | | Plutonian Acquisition Corp.* | | | | | 192,190 | | |
| | | 9,699 | | | | Pono Capital Three, Inc.*,9 | | | | | 99,027 | | |
| | | 3,529 | | | | Power & Digital Infrastructure Acquisition II Corp.* | | | | | 36,349 | | |
| | | 1,833 | | | | PROOF Acquisition Corp. I* | | | | | 18,990 | | |
| | | 19,479 | | | | Qomolangma Acquisition Corp.* | | | | | 203,556 | | |
| | | 1,764 | | | | Sculptor Acquisition Corp. I*,9 | | | | | 18,381 | | |
| | | 1,763 | | | | Southport Acquisition Corp.* | | | | | 19,164 | | |
| | | 1,649 | | | | ST Energy Transition I Ltd.*,9 | | | | | 17,216 | | |
| | | 1,763 | | | | Swiftmerge Acquisition Corp.*,9 | | | | | 17,401 | | |
| | | 15,965 | | | | TenX Keane Acquisition*,9 | | | | | 168,111 | | |
| | | 27,573 | | | | Trailblazer Merger Corp. I* | | | | | 278,212 | | |
| | | 2,479 | | | | UTA Acquisition Corp.*,9 | | | | | 25,955 | | |
| | | | | | | | | | | | 3,473,406 | | |
| | | | | | | TOTAL UNITS (Cost $3,352,333) | | | | | 3,473,406 | | |
| | | | | | | WARRANTS – 0.2% | | | | | | | |
| | | 68 | | | | 7GC & Co. Holdings, Inc., Expiration Date: December 31, 2026* | | | | | 7 | | |
| | | 1,038 | | | | Accretion Acquisition Corp., Expiration Date: March 1, 2028* | | | | | 36 | | |
| | | 1,456 | | | | Ace Global Business Acquisition Ltd., Expiration Date: December 31, 2027*,9 | | | | | 58 | | |
| | | 1,774 | | | | Achari Ventures Holdings Corp. I, Expiration Date: October 15, 2026* | | | | | 76 | | |
| | | 274 | | | | Advantage Capital Holdings, LLC, Expiration Date: January 28, 2025*,5 | | | | | 717,735 | | |
| | | 15 | | | | African Gold Acquisition Corp., Expiration Date: March 13, 2028*,5,9 | | | | | 0 | | |
| | | 2,247 | | | | Agba Acquisition Ltd., Expiration Date: May 10, 2024*,9 | | | | | 67 | | |
| | | 1,489 | | | | Alpha Star Acquisition Corp., Expiration Date: December 13, 2026*,9 | | | | | 20 | | |
| | | 1,165 | | | | ALSP Orchid Acquisition Corp. I, Expiration Date: November 30, 2028*,9 | | | | | 45 | | |
| | | 733 | | | | AltEnergy Acquisition Corp., Expiration Date: November 2, 2028* | | | | | 59 | | |
| | | 46 | | | | Altitude Acquisition Corp., Expiration Date: November 30, 2027* | | | | | 2 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | WARRANTS (Continued) | | | |||||
| | | 862 | | | | American Acquisition Opportunity, Inc., Expiration Date: May 28, 2026* | | | | $ | 26 | | |
| | | 22,500 | | | | Amprius Technologies, Inc., Expiration Date: September 14, 2027* | | | | | 11,250 | | |
| | | 97 | | | | Apeiron Capital Investment Corp., Expiration Date: June 24, 2023* | | | | | 5 | | |
| | | 4,300 | | | | Apollo Strategic Growth Capital II, Expiration Date: December 31, 2027*,9 | | | | | 420 | | |
| | | 232 | | | | Appreciate Holdings, Inc., Expiration Date: November 29, 2027* | | | | | 5 | | |
| | | 17,376 | | | | Ares Acquisition Corp., Expiration Date: December 31, 2027*,9 | | | | | 15,291 | | |
| | | 902 | | | | Aries I Acquisition Corp., Expiration Date: May 7, 2023*,5,9 | | | | | 0 | | |
| | | 1,050 | | | | Arisz Acquisition Corp., Expiration Date: November 16, 2026* | | | | | 37 | | |
| | | 522 | | | | Atlantic Coastal Acquisition Corp. II, Expiration Date: June 2, 2028* | | | | | 25 | | |
| | | 2,223 | | | | Avalon Acquisition, Inc., Expiration Date: December 31, 2026* | | | | | 200 | | |
| | | 47 | | | | B. Riley Principal 250 Merger Corp., Expiration Date: December 31, 2027* | | | | | 3 | | |
| | | 1,658 | | | | Better World Acquisition Corp., Expiration Date: November 15, 2027* | | | | | 183 | | |
| | | 1,797 | | | | Black Mountain Acquisition Corp., Expiration Date: October 15, 2027* | | | | | 121 | | |
| | | 195 | | | | Blockchain Coinvestors Acquisition Corp. I, Expiration Date: November 1, 2028*,9 | | | | | 22 | | |
| | | 1,778 | | | | Blockchain Moon Acquisition Corp., Expiration Date: October 14, 2026* | | | | | 32 | | |
| | | 1,207 | | | | Breeze Holdings Acquisition Corp., Expiration Date: May 25, 2027* | | | | | 75 | | |
| | | 296 | | | | Bridger Aerospace Group Holdings, Inc., Expiration Date: January 25, 2028* | | | | | 53 | | |
| | | 389 | | | | Brilliant Acquisition Corp., Expiration Date: December 31, 2025*,9 | | | | | 5 | | |
| | | 1,466 | | | | Cactus Acquisition Corp. I Ltd., Expiration Date: July 20, 2023*,9 | | | | | 73 | | |
| | | 419 | | | | Cardio Diagnostics Holdings, Inc., Expiration Date: December 1, 2026* | | | | | 122 | | |
| | | 117 | | | | CC Neuberger Principal Holdings III, Expiration Date: December 31, 2027*,9 | | | | | 24 | | |
| | | 45 | | | | CF Acquisition Corp. IV, Expiration Date: December 14, 2025* | | | | | 4 | | |
| | | 430 | | | | CF Acquisition Corp. VIII, Expiration Date: December 31, 2027* | | | | | 24 | | |
| | | 5,472 | | | | Churchill Capital Corp. V, Expiration Date: October 29, 2027* | | | | | 1,022 | | |
| | | 12,581 | | | | Churchill Capital Corp. VI, Expiration Date: December 31, 2027* | | | | | 1,384 | | |
| | | 12,813 | | | | Churchill Capital Corp. VII, Expiration Date: February 29, 2028* | | | | | 1,570 | | |
| | | 2,030 | | | | Coeptis Therapeutics Holdings, Expiration Date: October 31, 2025* | | | | | 299 | | |
| | | 815 | | | | Colombier Acquisition Corp., Expiration Date: December 31, 2028* | | | | | 176 | | |
| | | 968 | | | | Comera Life Sciences Holdings, Inc., Expiration Date: May 19, 2027* | | | | | 54 | | |
| | | 3,920 | | | | Compute Health Acquisition Corp., Expiration Date: December 31, 2027* | | | | | 1,568 | | |
| | | 117 | | | | Corner Growth Acquisition Corp., Expiration Date: December 31, 2027*,9 | | | | | 10 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | WARRANTS (Continued) | | | |||||
| | | 935 | | | | Corner Growth Acquisition Corp. 2, Expiration Date: June 17, 2026*,9 | | | | $ | 65 | | |
| | | 313 | | | | Crescera Capital Acquisition Corp., Expiration Date: April 20, 2028*,9 | | | | | 25 | | |
| | | 341 | | | | CXApp, Inc., Expiration Date: December 15, 2025* | | | | | 15 | | |
| | | 2,151 | | | | Data Knights Acquisition Corp., Expiration Date: December 31, 2028* | | | | | 56 | | |
| | | 9,833 | | | | Denali Capital Acquisition Corp., Expiration Date: April 7, 2027*,9 | | | | | 501 | | |
| | | 310 | | | | DHC Acquisition Corp., Expiration Date: December 31, 2027*,9 | | | | | 11 | | |
| | | 637 | | | | Digital Health Acquisition Corp., Expiration Date: October 14, 2023* | | | | | 57 | | |
| | | 31,924 | | | | Distoken Acquisition Corp., Expiration Date: March 30, 2028*,9 | | | | | 1,277 | | |
| | | 349 | | | | dMY Technology Group, Inc. VI, Expiration Date: June 25, 2023* | | | | | 28 | | |
| | | 534 | | | | Dune Acquisition Corp., Expiration Date: October 29, 2027* | | | | | 32 | | |
| | | 789 | | | | East Resources Acquisition Co., Expiration Date: July 1, 2027* | | | | | 103 | | |
| | | 880 | | | | Edify Acquisition Corp., Expiration Date: December 31, 2027* | | | | | 26 | | |
| | | 923 | | | | Edoc Acquisition Corp., Expiration Date: November 30, 2027*,9 | | | | | 19 | | |
| | | 351 | | | | EdtechX Holdings Acquisition Corp. II, Expiration Date: June 15, 2027* | | | | | 10 | | |
| | | 296 | | | | Enterprise 4.0 Technology Acquisition Corp., Expiration Date: September 24, 2023*,9 | | | | | 12 | | |
| | | 470 | | | | Eucrates Biomedical Acquisition Corp., Expiration Date: December 14, 2025*,9 | | | | | 16 | | |
| | | 1,464 | | | | Euda Health Holdings Ltd., Expiration Date: September 24, 2026*,9 | | | | | 176 | | |
| | | 484 | | | | Eve Holding, Inc., Expiration Date: October 8, 2025* | | | | | 196 | | |
| | | 460 | | | | Everest Consolidator Acquisition Corp., Expiration Date: July 19, 2028* | | | | | 23 | | |
| | | 296 | | | | ExcelFin Acquisition Corp., Expiration Date: July 5, 2023* | | | | | 15 | | |
| | | 428 | | | | FAST Acquisition Corp. II, Expiration Date: March 16, 2026* | | | | | 118 | | |
| | | 14,883 | | | | FG Merger Corp., Expiration Date: June 17, 2027* | | | | | 752 | | |
| | | 1,765 | | | | Financial Strategies Acquisition Corp., Expiration Date: March 31, 2028* | | | | | 62 | | |
| | | 795 | | | | Finnovate Acquisition Corp., Expiration Date: September 30, 2026*,9 | | | | | 15 | | |
| | | 118 | | | | Flame Acquisition Corp., Expiration Date: December 31, 2028* | | | | | 67 | | |
| | | 2,109 | | | | Forafric Global PLC, Expiration Date: June 9, 2027*,9 | | | | | 1,413 | | |
| | | 1,228 | | | | FOXO Technologies, Inc., Expiration Date: August 1, 2027* | | | | | 39 | | |
| | | 6,825 | | | | Fusion Acquisition Corp. II, Expiration Date: December 31, 2027* | | | | | 78 | | |
| | | 485 | | | | G Squared Ascend II, Inc., Expiration Date: December 31, 2026*,9 | | | | | 13 | | |
| | | 826 | | | | Games & Esports Experience Acquisition Corp., Expiration Date: October 21, 2028*,9 | | | | | 56 | | |
| | | 1,177 | | | | Genesis Growth Tech Acquisition Corp., Expiration Date: May 19, 2028*,9 | | | | | 20 | | |
| | | 53 | | | | Getaround, Inc., Expiration Date: March 9, 2026* | | | | | 2 | | |
| | | 280,000 | | | | Glass House Brands, Inc., Expiration Date: January 15, 2026*,9 | | | | | 112,000 | | |
| | | 1,763 | | | | Globalink Investment, Inc., Expiration Date: December 3, 2026* | | | | | 18 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | WARRANTS (Continued) | | | |||||
| | | 71 | | | | Golden Falcon Acquisition Corp., Expiration Date: November 4, 2026* | | | | $ | 17 | | |
| | | 1,582 | | | | Goldenbridge Acquisition Ltd., Expiration Date: October 28, 2025*,9 | | | | | 76 | | |
| | | 9,679 | | | | Gores Holdings IX, Inc., Expiration Date: January 14, 2029* | | | | | 2,226 | | |
| | | 1,266 | | | | Gorilla Technology Group, Inc., Expiration Date: July 14, 2027*,9 | | | | | 304 | | |
| | | 577 | | | | Graf Acquisition Corp. IV, Expiration Date: May 31, 2028* | | | | | 81 | | |
| | | 391 | | | | Green Visor Financial Technology Acquisition Corp. I, Expiration Date: May 8, 2023*,9 | | | | | 27 | | |
| | | 882 | | | | Growth For Good Acquisition Corp., Expiration Date: November 12, 2026*,9 | | | | | 84 | | |
| | | 12,288 | | | | GSR II Meteora Acquisition Corp., Expiration Date: July 22, 2023* | | | | | 510 | | |
| | | 19,983 | | | | Hainan Manaslu Acquisition Corp., Expiration Date: January 31, 2029*,9 | | | | | 601 | | |
| | | 2,424 | | | | Hub Cyber Security Ltd., Expiration Date: February 27, 2028*,9 | | | | | 303 | | |
| | | 1,235,429 | | | | IFit, Expiration Date: February 24, 3030*,5 | | | | | 0 | | |
| | | 441 | | | | Innovative International Acquisition Corp., Expiration Date: July 1, 2028*,9 | | | | | 26 | | |
| | | 981 | | | | Integrated Rail and Resources Acquisition Corp., Expiration Date: May 21, 2023* | | | | | 259 | | |
| | | 1,177 | | | | Integrated Wellness Acquisition Corp., Expiration Date: October 31, 2028*,9 | | | | | 1,120 | | |
| | | 105 | | | | Intelligent Medicine Acquisition Corp., Expiration Date: November 5, 2026* | | | | | 5 | | |
| | | 59 | | | | InterPrivate III Financial Partners, Inc., Expiration Date: December 31, 2027* | | | | | 6 | | |
| | | 10,636 | | | | Jaws Hurricane Acquisition Corp., Expiration Date: June 11, 2026* | | | | | 1,649 | | |
| | | 23,278 | | | | Jaws Mustang Acquisition Corp., Expiration Date: January 30, 2026*,9 | | | | | 2,530 | | |
| | | 874 | | | | Kairous Acquisition Corp. Ltd., Expiration Date: September 15, 2026*,9 | | | | | 66 | | |
| | | 870 | | | | Kingswood Acquisition Corp., Expiration Date: May 1, 2027* | | | | | 28 | | |
| | | 27,873 | | | | Lakeshore Acquisition II Corp., Expiration Date: November 18, 2026*,9 | | | | | 836 | | |
| | | 1,382 | | | | LAMF Global Ventures Corp. I, Expiration Date: November 11, 2026*,9 | | | | | 44 | | |
| | | 292 | | | | Learn CW Investment Corp., Expiration Date: December 31, 2028*,9 | | | | | 7 | | |
| | | 526 | | | | LF Capital Acquisition Corp. II, Expiration Date: January 7, 2026* | | | | | 78 | | |
| | | 394 | | | | M3-Brigade Acquisition III Corp., Expiration Date: May 11, 2023* | | | | | 142 | | |
| | | 314 | | | | Malacca Straits Acquisition Co., Ltd., Expiration Date: June 30, 2027*,9 | | | | | 31 | | |
| | | 479 | | | | Maquia Capital Acquisition Corp., Expiration Date: December 31, 2027* | | | | | 9 | | |
| | | 1,061 | | | | Mercato Partners Acquisition Corp., Expiration Date: December 28, 2026* | | | | | 101 | | ��� |
| | | 20,035 | | | | Metal Sky Star Acquisition Corp., Expiration Date: April 1, 2027*,9 | | | | | 801 | | |
| | | 940 | | | | MicroAlgo, Inc., Expiration Date: December 31, 2027*,9 | | | | | 11 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | WARRANTS (Continued) | | | |||||
| | | 2,925 | | | | MicroCloud Hologram, Inc., Expiration Date: January 31, 2028*,9 | | | | $ | 287 | | |
| | | 2,256 | | | | Monterey Bio Acquisition Corp., Expiration Date: June 7, 2023* | | | | | 61 | | |
| | | 142 | | | | Moringa Acquisition Corp., Expiration Date: February 10, 2026*,9 | | | | | 13 | | |
| | | 770 | | | | MSP Recovery, Inc., Expiration Date: February 14, 2026* | | | | | 685 | | |
| | | 1,265 | | | | MultiMetaVerse Holdings Ltd., Expiration Date: March 15, 2027*,9 | | | | | 65 | | |
| | | 842 | | | | Nabors Energy Transition Corp., Expiration Date: November 17, 2026* | | | | | 161 | | |
| | | 239 | | | | Near Intelligence, Inc., Expiration Date: July 8, 2027* | | | | | 32 | | |
| | | 1,335 | | | | Newbury Street Acquisition Corp., Expiration Date: December 31, 2027* | | | | | 60 | | |
| | | 593 | | | | Newcourt Acquisition Corp., Expiration Date: April 12, 2028*,9 | | | | | 17 | | |
| | | 237 | | | | Noble Rock Acquisition Corp., Expiration Date: December 31, 2027*,9 | | | | | 19 | | |
| | | 1,890 | | | | NorthView Acquisition Corp., Expiration Date: August 2, 2027* | | | | | 142 | | |
| | | 2,885 | | | | OceanTech Acquisitions I Corp., Expiration Date: May 10, 2026* | | | | | 183 | | |
| | | 1,144 | | | | OmniLit Acquisition Corp., Expiration Date: November 8, 2026* | | | | | 29 | | |
| | | 277 | | | | Onyx Acquisition Co. I, Expiration Date: November 30, 2028*,9 | | | | | 30 | | |
| | | 1,764 | | | | OPY Acquisition Corp. I, Expiration Date: April 8, 2023* | | | | | 265 | | |
| | | 500 | | | | Orion Biotech Opportunities Corp., Expiration Date: December 31, 2027*,9 | | | | | 35 | | |
| | | 1,438 | | | | Osiris Acquisition Corp., Expiration Date: May 1, 2028* | | | | | 173 | | |
| | | 522 | | | | Papaya Growth Opportunity Corp. I, Expiration Date: December 31, 2028* | | | | | 21 | | |
| | | 323 | | | | Phoenix Biotech Acquisition Corp., Expiration Date: September 1, 2026* | | | | | 16 | | |
| | | 1 | | | | Pivotal Investment Corp. III, Expiration Date: December 31, 2027* | | | | | 0 | | |
| | | 240 | | | | Post Holdings Partnering Corp., Expiration Date: April 12, 2026* | | | | | 36 | | |
| | | 479 | | | | Prenetics Global Ltd., Expiration Date: May 17, 2027*,9 | | | | | 35 | | |
| | | 1,990 | | | | Presto Automation, Inc., Expiration Date: September 21, 2027* | | | | | 80 | | |
| | | 14,925 | | | | Priveterra Acquisition Corp., Expiration Date: December 31, 2027* | | | | | 763 | | |
| | | 235 | | | | Progress Acquisition Corp., Expiration Date: December 31, 2027* | | | | | 10 | | |
| | | 1,173 | | | | Project Energy Reimagined Acquisition Corp., Expiration Date: December 31, 2028*,9 | | | | | 84 | | |
| | | 873 | | | | ProSomnus, Inc., Expiration Date: April 20, 2028* | | | | | 87 | | |
| | | 147 | | | | Pyrophyte Acquisition Corp., Expiration Date: December 17, 2023*,9 | | | | | 13 | | |
| | | 20,023 | | | | Redwoods Acquisition Corp., Expiration Date: March 15, 2027* | | | | | 1,001 | | |
| | | 19,239 | | | | RF Acquisition Corp., Expiration Date: May 1, 2028* | | | | | 577 | | |
| | | 833 | | | | Roth CH Acquisition V Co., Expiration Date: December 10, 2026* | | | | | 38 | | |
| | | 17,442 | | | | Screaming Eagle Acquisition Corp., Expiration Date: December 15, 2027*,9 | | | | | 3,837 | | |
| | | 106 | | | | Semper Paratus Acquisition Corp., Expiration Date: November 4, 2026*,9 | | | | | 5 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | WARRANTS (Continued) | | | |||||
| | | 11,426 | | | | Senior Connect Acquisition Corp. I, Expiration Date: December 31, 2027* | | | | $ | 351 | | |
| | | 30,000 | | | | SHUAA Partners Acquisition Corp. I, Expiration Date: March 2, 2027*,9 | | | | | 4,500 | | |
| | | 1,380 | | | | Sizzle Acquisition Corp., Expiration Date: March 12, 2026* | | | | | 469 | | |
| | | 1,698 | | | | SMX Security Matters PLC, Expiration Date: March 7, 2028*,9 | | | | | 85 | | |
| | | 1,255 | | | | Southland Holdings, Inc., Expiration Date: September 1, 2026* | | | | | 991 | | |
| | | 666 | | | | SportsMap Tech Acquisition Corp., Expiration Date: September 1, 2027* | | | | | 20 | | |
| | | 2,102 | | | | Spree Acquisition Corp. 1 Ltd., Expiration Date: December 22, 2028*,9 | | | | | 56 | | |
| | | 670,686 | | | | Stronghold Digital Mining, Inc., Expiration Date: February 24, 3030*,5 | | | | | 356,157 | | |
| | | 31,426 | | | | Sustainable Development Acquisition I Corp., Expiration Date: December 31, 2028* | | | | | 2,514 | | |
| | | 62 | | | | Tailwind International Acquisition Corp., Expiration Date: March 1, 2028*,9 | | | | | 1 | | |
| | | 948 | | | | Tastemaker Acquisition Corp., Expiration Date: December 31, 2025* | | | | | 147 | | |
| | | 852 | | | | TG Venture Acquisition Corp., Expiration Date: August 13, 2023* | | | | | 36 | | |
| | | 58 | | | | TKB Critical Technologies 1, Expiration Date: October 29, 2028*,9 | | | | | 8 | | |
| | | 166 | | | | TLGY Acquisition Corp., Expiration Date: January 14, 2028*,9 | | | | | 10 | | |
| | | 1,279 | | | | Trine II Acquisition Corp., Expiration Date: December 31, 2027*,9 | | | | | 13 | | |
| | | 1,198 | | | | Tristar Acquisition I Corp., Expiration Date: December 31, 2028*,9 | | | | | 119 | | |
| | | 126 | | | | Twelve Seas Investment Co. II, Expiration Date: March 2, 2028* | | | | | 6 | | |
| | | 419 | | | | Vahanna Tech Edge Acquisition I Corp., Expiration Date: November 30, 2028*,9 | | | | | 16 | | |
| | | 1,805 | | | | Viveon Health Acquisition Corp., Expiration Date: December 31, 2027* | | | | | 27 | | |
| | | 1,522 | | | | Worldwide Webb Acquisition Corp., Expiration Date: October 20, 2026*,9 | | | | | 119 | | |
| | | 519 | | | | ZeroFox Holdings, Inc., Expiration Date: June 1, 2027* | | | | | 42 | | |
| | | 2,673 | | | | ZyVersa Therapeutics, Inc., Expiration Date: December 20, 2026*,5 | | | | | 187 | | |
| | | | | | | TOTAL WARRANTS (Cost $845,271) | | | | | 1,256,216 | | |
| | | | | | | SHORT-TERM INVESTMENTS – 14.9% | | | | | | | |
| | | 109,706,323 | | | | Morgan Stanley Institutional Liquidity Fund – Government Portfolio – Institutional Class, 4.66%12 | | | | | 109,706,323 | | |
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost $109,706,323) | | | | | 109,706,323 | | |
| | | | | | | TOTAL INVESTMENTS – 103.9% (Cost $759,841,541) | | | | | 762,588,785 | | |
| | | | | | | Liabilities in Excess of Other Assets – (3.9)% | | | | | (28,279,562) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 734,309,223 | | |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | SECURITIES SOLD SHORT – (0.0)% | | | | | | | |
| | | | | | | COMMON STOCKS – (0.0)% | | | | | | | |
| | | | | | | COMMERCIAL BANKS-WESTERN US – (0.0)% | | | | | | | |
| | | (1) | | | | Columbia Banking System, Inc. | | | | $ | (21) | | |
| | | | | | | S & L/THRIFTS-EASTERN US – (0.0)% | | | | | | | |
| | | (13,954) | | | | Provident Financial Services, Inc. | | | | | (267,638) | | |
| | | | | | | TOTAL COMMON STOCKS (Proceeds $326,482) | | | | | (267,659) | | |
| | | | | | | TOTAL SECURITIES SOLD SHORT (Proceeds $326,482) | | | | $ | (267,659) | | |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
Securities With Restrictions On Redemptions | | | Redemptions Permitted | | | Redemption Notice Period | | | Cost | | | Fair Value | | | Original Acquisition Date | | ||||||
Apollo Diversified Credit Fund – Class Ia | | | Quarterly | | | 14 Days | | | | $ | 539,311 | | | | | $ | 468,799 | | | | 8/9/2021 | |
Bailard Real Estate Investment Trust LPb | | | Quarterly | | | 30 Days | | | | | 21,400,000 | | | | | | 23,783,021 | | | | 12/28/2018 | |
BC Partners Lending Corp.b | | | Not Permitted | | | N/A | | | | | 7,500,000 | | | | | | 7,422,799 | | | | 3/6/2023 | |
Cliffwater Corporate Lending Fund – Class Ia | | | Quarterly | | | 14 Days | | | | | 21,543,011 | | | | | | 22,264,179 | | | | 8/4/2020 | |
Cliffwater Enhanced Lending Fund – Class Ia | | | Quarterly | | | 14 Days | | | | | 36,000,000 | | | | | | 36,639,913 | | | | 4/26/2022 | |
DSC Meridian Credit Opportunities Onshore Fund LPb | | | Quarterlyc | | | 65 Days | | | | | 12,950,000 | | | | | | 13,840,691 | | | | 10/1/2018 | |
Eisler Capital Multi Strategy Fund LPb | | | Quarterlyc | | | 65 Days | | | | | 22,500,000 | | | | | | 22,930,559 | | | | 12/1/2022 | |
Hudson Bay Fund LPb | | | Quarterlyc | | | 65 Days | | | | | 8,500,000 | | | | | | 9,149,523 | | | | 4/1/2021 | |
Invesco Dynamic Credit Opportunity Fund – Class AXa | | | Quarterly | | | 15 Days | | | | | 374,845 | | | | | | 363,352 | | | | 10/19/2021 | |
Invesco Real Estate Income Trust, Inc. – REIT | | | Monthly | | | 30 Days | | | | | 24,000,000 | | | | | | 22,894,150 | | | | 6/1/2022 | |
Linden Investors LPb | | | Quarterlyd | | | 65 Days | | | | | 10,250,000 | | | | | | 11,679,280 | | | | 10/1/2018 | |
Nuveen Real Estate U.S. Cities Industrial Fund LPb | | | Quarterly | | | 45 Days | | | | | 10,000,000 | | | | | | 9,182,291 | | | | 10/3/2022 | |
Nuveen Real Estate U.S. Cities Multifamily Fund LPb | | | Quarterly | | | 45 Days | | | | | 10,000,000 | | | | | | 9,233,766 | | | | 4/1/2022 | |
Oak Street Real Estate Capital Net Lease Property Fund LPb | | | Quarterly | | | 60 Days | | | | | 20,000,000 | | | | | | 20,287,145 | | | | 1/25/2022 | |
Opportunistic Credit Interval Fund – Class Ia | | | Quarterly | | | 30 Days | | | | | 1,928,000 | | | | | | 2,230,261 | | | | 8/16/2022 | |
Palmer Square Opportunistic Income Funda | | | Quarterly | | | 14 Days | | | | | 12,800,000 | | | | | | 11,466,490 | | | | 10/2/2018 | |
PalmerSquare Capital BDC, Inc.b | | | Not Permitted | | | N/A | | | | | 7,500,000 | | | | | | 7,500,000 | | | | 2/28/2023 | |
Pender Capital Asset Based Lending Fund I LPb | | | Quarterly | | | 90 Days | | | | | 35,516,533 | | | | | | 35,500,000 | | | | 8/16/2019 | |
Point72 Capital LPb | | | Quarterlyc | | | 45 Days | | | | | 15,030,367 | | | | | | 17,189,029 | | | | 4/24/2019 | |
Pomona Investment Fund LPa | | | Quarterly | | | 75 Days | | | | | 12,616,015 | | | | | | 17,037,610 | | | | 10/1/2018 | |
RiverNorth Capital Partners LPb | | | Quarterlyd | | | 65 Days | | | | | 11,500,000 | | | | | | 12,006,892 | | | | 6/1/2022 | |
Seer Capital Partners Fund LPb | | | Not Permitted | | | N/A | | | | | 2,000,000 | | | | | | 2,718,983 | | | | 9/29/2021 | |
StepStone Private Markets – Class Ia | | | Quarterly | | | 35 Days | | | | | 16,157,916 | | | | | | 19,326,031 | | | | 3/26/2021 | |
Walleye Opportunities Fund LPb | | | Monthlyd | | | 30 Days | | | | | 10,925,000 | | | | | | 12,980,330 | | | | 12/3/2018 | |
Totals | | | | | | | | | | $ | 331,530,998 | | | | | $ | 348,095,094 | | | | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2023
Sale Contracts | | | Counterparty | | | Currency Exchange | | | Currency Amount Sold | | | Value At Settlement Date | | | Value At March 31, 2023 | | | Unrealized Appreciation (Depreciation) | | ||||||||||||
Euro | | | BNP Paribas | | | EUR per USD | | | | | (31,619,000) | | | | | $ | (34,541,146) | | | | | $ | (35,110,113) | | | | | $ | (568,967) | | |
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | | | | | | | | | | $ | (34,541,146) | | | | | $ | (35,110,113) | | | | | $ | (568,967) | | |
CONSOLIDATED SUMMARY OF INVESTMENTS*
As of March 31, 2023
Security Type/Sector | | | Percent of Total Net Assets | | |||
Asset-Backed Securities | | | | | 16.9% | | |
Bank Loans | | | | | 12.2% | | |
Closed-End Funds | | | | | 17.0% | | |
Collateralized Mortgage Obligations | | | | | 1.6% | | |
Common Stocks | | | | | | | |
Specified Purpose Acquisitions | | | | | 1.8% | | |
Medical-Biomedical/Generics | | | | | 0.1% | | |
Applications Software | | | | | 0.1% | | |
Appliances | | | | | 0.0% | | |
Aerospace/Defense-Equipment | | | | | 0.0% | | |
Commercial Banks-Southern US | | | | | 0.0% | | |
Commercial Banks-Eastern US | | | | | 0.0% | | |
Commercial Services-Finance | | | | | 0.0% | | |
Broadcast Services/Programs | | | | | 0.0% | | |
Wireless Equipment | | | | | 0.0% | | |
Medical Labs & Testing Services | | | | | 0.0% | | |
Entertainment Software | | | | | 0.0% | | |
Total Common Stocks | | | | | 2.0% | | |
Corporate Bonds | | | | | | | |
Investment Companies | | | | | 0.5% | | |
Venture Capital | | | | | 0.0% | | |
Total Corporate Bonds | | | | | 0.5% | | |
Mutual Funds | | | | | 5.0% | | |
Private Investment Funds | | | | | 24.1% | | |
Real Estate Investment Trusts | | | | | 9.0% | | |
Rights | | | | | 0.0% | | |
Units | | | | | | | |
Specified Purpose Acquisitions | | | | | 0.5% | | |
Warrants | | | | | 0.2% | | |
Short-Term Investments | | | | | 14.9% | | |
Total Investments | | | | | 103.9% | | |
Liabilities in Excess of Other Assets | | | | | (3.9)% | | |
Total Net Assets | | | | | 100.0% | | |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
As of March 31, 2023
| Assets: | | ||||||
| Investments, at value (cost $759,841,541) | | | | $ | 762,588,785 | | |
| Cash | | | | | 684,966 | | |
| Cash deposited with broker | | | | | 423,809 | | |
| Receivables: | | | | | | | |
| Investment securities sold | | | | | 910,665 | | |
| Fund shares sold | | | | | 10,510,082 | | |
| Dividends and interest | | | | | 2,764,560 | | |
| Prepaid expenses | | | | | 65,847 | | |
| Total assets | | | | | 777,948,714 | | |
| Liabilities: | | | | | | | |
| Securities sold short, at value (proceeds $326,482) | | | | | 267,659 | | |
| Foreign currency due to custodian, at value (proceeds $4,004,903) | | | | | 4,008,242 | | |
| Payables: | | | | | | | |
| Unrealized appreciation on forward foreign currency exchange contracts | | | | | 568,967 | | |
| Investment securities purchased | | | | | 16,599,717 | | |
| Fund shares redeemed | | | | | 21,475,140 | | |
| Advisory fees | | | | | 470,641 | | |
| Fund services fees | | | | | 100,954 | | |
| Distribution fees (Note 3) | | | | | 72,279 | | |
| Auditing fees | | | | | 16,571 | | |
| Tax services fees | | | | | 7,151 | | |
| Accrued other expenses | | | | | 52,170 | | |
| Total liabilities | | | | | 43,639,491 | | |
| Net Assets | | | | $ | 734,309,223 | | |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES — Continued
As of March 31, 2023
| Components of Net Assets: | | | | | | | |
| Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized) | | | | $ | 739,905,936 | | |
| Total accumulated deficit | | | | | (5,596,713) | | |
| Net Assets | | | | $ | 734,309,223 | | |
| Maximum Offering Price per Share: | | | | | | | |
| Class A Shares | | | | | | | |
| Net assets applicable to shares outstanding | | | | $ | 1,388,301 | | |
| Shares of common stock issued and outstanding | | | | | 53,448 | | |
| Net asset value per share | | | | $ | 25.97 | | |
| Maximum sales charge (4.50% of offering price)* | | | | | 1.17 | | |
| Maximum offer price to public | | | | $ | 27.14 | | |
| Class I Shares | | | | | | | |
| Net assets applicable to shares outstanding | | | | $ | 732,920,922 | | |
| Shares of common stock issued and outstanding | | | | | 27,879,528 | | |
| Net asset value per share | | | | $ | 26.29 | | |
CONSOLIDATED STATEMENT OF OPERATIONS
For the Year Ended March 31, 2023
| Investment Income: | | | | | | | |
| Dividends | | | | $ | 8,401,854 | | |
| Interest | | | | | 21,176,302 | | |
| Total investment income | | | | | 29,578,156 | | |
| Expenses: | | | | | | | |
| Advisory fees | | | | | 4,622,364 | | |
| Distribution fees (Note 3) | | | | | 572,386 | | |
| Fund services expense | | | | | 525,838 | | |
| Legal fees | | | | | 254,441 | | |
| Interest expense (see Note 12) | | | | | 146,840 | | |
| Shareholder reporting fees | | | | | 107,691 | | |
| Trustees’ fees and expenses | | | | | 75,692 | | |
| Registration fees | | | | | 67,594 | | |
| Auditing fees | | | | | 50,696 | | |
| Miscellaneous | | | | | 45,612 | | |
| Excise tax expense | | | | | 41,145 | | |
| Chief Compliance Officer fees | | | | | 34,017 | | |
| Unused line of credit fees | | | | | 24,139 | | |
| Insurance fees | | | | | 18,845 | | |
| Dividends on securities sold short | | | | | 10,239 | | |
| Tax services fees | | | | | 7,151 | | |
| Commitment fee | | | | | 5,448 | | |
| Interest on securities sold short | | | | | 5,098 | | |
| Total expenses | | | | | 6,615,236 | | |
| Advisory fees waived | | | | | (299,814) | | |
| Net expenses | | | | | 6,315,422 | | |
| Net investment income | | | | | 23,262,734 | | |
| Realized and Unrealized Gain (Loss) on Investments, Securities Sold Short, Forward Contracts, Distributions and Foreign Currency | | | | | | | |
| Net realized gain (loss) on: | | | | | | | |
| Investments | | | | | 86,726 | | |
| Securities sold short | | | | | (24) | | |
| Foreign currency transactions | | | | | 30,617 | | |
| Distributions of long-term realized gains from regulated investment companies | | | | | 474,367 | | |
| Net realized gain | | | | | 591,686 | | |
| Net change in unrealized appreciation/depreciation on: | | | | | | | |
| Investments | | | | | (12,593,240) | | |
| Securities sold short | | | | | 58,900 | | |
| Forward contracts | | | | | (780,369) | | |
| Foreign currency translations | | | | | (16,469) | | |
| Net change in unrealized appreciation/depreciation | | | | | (13,331,178) | | |
| Net realized and unrealized loss on investments, securities sold short, forward contracts, distributions and foreign currency | | | | | (12,739,492) | | |
| Net Increase in Net Assets from Operations | | | | $ | 10,523,242 | | |
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS
| | | For the Year Ended March 31, 2023 | | | For the Year Ended March 31, 2022 | | ||||||
Increase (Decrease) in Net Assets from: | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | |
Net investment income | | | | $ | 23,262,734 | | | | | $ | 6,779,501 | | |
Net realized gain (loss) on investments, securities sold short, distributions from regulated investment companies, and foreign currency | | | | | 591,686 | | | | | | 3,663,231 | | |
Net change in unrealized appreciation/depreciation on investments, securities sold short, forward contracts, distributions from regulated investment companies and foreign currency | | | | | (13,331,178) | | | | | | 8,336,801 | | |
Net increase (decrease) in net assets resulting from operations | | | | | 10,523,242 | | | | | | 18,779,533 | | |
Distributions to Shareholders: | | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | |
Class A | | | | | (22,358) | | | | | | (39) | | |
Class I | | | | | (33,477,624) | | | | | | (12,292,666) | | |
Total distributions to shareholders | | | | | (33,499,982) | | | | | | (12,292,705) | | |
Capital Transactions: | | | | | | | | | | | | | |
Net proceeds from shares sold: | | | | | | | | | | | | | |
Class A | | | | | 1,393,570 | | | | | | 1,000 | | |
Class I | | | | | 507,371,008 | | | | | | 233,877,451 | | |
Reinvestment of distributions: | | | | | | | | | | | | | |
Class A | | | | | 9,857 | | | | | | 39 | | |
Class I | | | | | 8,635,712 | | | | | | 2,421,654 | | |
Cost of shares redeemed: | | | | | | | | | | | | | |
Class A | | | | | (8,471) | | | | | | — | | |
Class I | | | | | (96,646,499) | | | | | | (27,719,707) | | |
Net increase from payments by affiliates (Note 3) | | | | | | | | | | | | | |
Class A | | | | | 37 | | | | | | — | | |
Class I | | | | | 63,879 | | | | | | — | | |
Net increase in net assets from capital transactions | | | | | 420,819,093 | | | | | | 208,580,437 | | |
Total increase in net assets | | | | | 397,842,353 | | | | | | 215,067,265 | | |
Net Assets: | | | | | | | | | | | | | |
Beginning of period | | | | | 336,466,870 | | | | | | 121,399,605 | | |
End of period | | | | $ | 734,309,223 | | | | | $ | 336,466,870 | | |
Capital Share Transactions: | | | | | | | | | | | | | |
Shares sold: | | | | | | | | | | | | | |
Class A | | ��� | | | 53,357 | | | | | | 37 | | |
Class I | | | | | 19,074,555 | | | | | | 8,488,202 | | |
Shares reinvested: | | | | | | | | | | | | | |
Class A | | | | | 381 | | | | | | 1 | | |
Class I | | | | | 326,281 | | | | | | 88,180 | | |
Shares redeemed: | | | | | | | | | | | | | |
Class A | | | | | (328) | | | | | | — | | |
Class I | | | | | (3,654,941) | | | | | | (1,002,521) | | |
Net increase in capital share transactions | | | | | 15,799,305 | | | | | | 7,573,899 | | |
CONSOLIDATED STATEMENT OF CASH FLOWS
For the Year Ended March 31, 2023
| Increase (Decrease) in Cash: | | | | | | | |
| Cash flows provided by (used for) operating activities: | | | | | | | |
| Net increase in net assets resulting from operations | | | | $ | 10,523,242 | | |
| Adjustments to reconcile net increase in net assets from operations to net cash used for operating activities: | | | | | | | |
| Purchases of long-term portfolio investments | | | | | (417,190,023) | | |
| Sales of long-term portfolio investments | | | | | 49,421,297 | | |
| Proceeds from securities sold short | | | | | 705,027 | | |
| Cover short securities | | | | | (423,846) | | |
| Purchases of short-term investments, net | | | | | (47,601,564) | | |
| Return of capital dividends received | | | | | 4,837,890 | | |
| Decrease in cash deposited with broker for securities sold short | | | | | 4,476,177 | | |
| Increase in dividends and interest receivable | | | | | (1,951,243) | | |
| Increase in prepaid expenses | | | | | (38,394) | | |
| Decrease in foreign currency due to custodian | | | | | (416,698) | | |
| Increase in advisory fees | | | | | 289,833 | | |
| Decrease in dividends and interest on securities sold short | | | | | (6) | | |
| Increase in distribution fees | | | | | 3,511 | | |
| Increase in accrued expenses | | | | | 39,742 | | |
| Net amortization on investments | | | | | (533,084) | | |
| Net realized gain | | | | | (296,176) | | |
| Net change in unrealized appreciation/depreciation | | | | | 13,314,709 | | |
| Net cash used for operating activities | | | | | (384,839,606) | | |
| Cash flows provided by (used for) financing activities: | | | | | | | |
| Proceeds from shares sold | | | | | 500,382,825 | | |
| Cost of shares redeemed | | | | | (90,067,756) | | |
| Net increase from payments by affiliates (Note 3) | | | | | 63,916 | | |
| Dividends paid to shareholders, net of reinvestments | | | | | (24,854,413) | | |
| Net cash provided by financing activities | | | | | 385,524,572 | | |
| Net increase in cash | | | | | 684,966 | | |
| Cash: | | | | | | | |
| Beginning of period | | | | | — | | |
| End of period | | | | $ | 684,966 | | |
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class A
For a capital share outstanding throughout each period.
| | | For the Year Ended March 31, 2023 | | | For the Period August 2, 2021* Through March 31, 2022 | | ||||||
Net asset value, beginning of period | | | | $ | 27.65 | | | | | $ | 27.29 | | |
Income from Investment Operations: | | | | | | | | | | | | | |
Net investment income1 | | | | | 1.05 | | | | | | 0.21 | | |
Net realized and unrealized gain (loss) on investments | | | | | (0.88) | | | | | | 1.19 | | |
Total from investment operations | | | | | 0.17 | | | | | | 1.40 | | |
Less Distributions: | | | | | | | | | | | | | |
From net investment income | | | | | (1.71) | | | | | | (0.79) | | |
From net realized gains | | | | | (0.14) | | | | | | (0.25) | | |
Total distributions | | | | | (1.85) | | | | | | (1.04) | | |
Redemption fee proceeds1 | | | | | — | | | | | | — | | |
Net increase from payment by affiliates (Note 3) | | | | | 0.002 | | | | | | — | | |
Net asset value, end of period | | | | $ | 25.97 | | | | | $ | 27.65 | | |
Total return3 | | | | | 0.69%4,9 | | | | | | 5.17%5 | | |
Ratios and Supplemental Data: | | | | | | | | | | | | | |
Net assets, end of period (in thousands) | | | | $ | 1,388 | | | | | $ | 1 | | |
Ratio of expenses to average net assets: | | | | | | | | | | | | | |
(including dividends and interest on securities sold short, excise tax, unused line of credit fees and interest expense) | | | | | | | | | | | | | |
Before fees waived6,7 | | | | | 2.24% | | | | | | 2.05%8 | | |
After fees waived6,7 | | | | | 2.04% | | | | | | — | | |
Ratio of net investment income to average net assets: | | | | | | | | | | | | | |
(including dividends and interest on securities sold short, excise tax, unused line of credit fees and interest expense) | | | | | | | | | | | | | |
Before fees waived | | | | | 3.84% | | | | | | 1.90%8 | | |
After fees waived | | | | | 4.04% | | | | | | — | | |
Portfolio turnover rate | | | | | 11% | | | | | | 26% | | |
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class A — Continued
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class I
For a capital share outstanding throughout each period.
| | | For the Year Ended March 31, | | |||||||||||||||||||||||||||
| | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | |||||||||||||||
Net asset value, beginning of period | | | | $ | 27.73 | | | | | $ | 26.62 | | | | | $ | 22.23 | | | | | $ | 25.14 | | | | | $ | 24.77 | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 1.27 | | | | | | 0.92 | | | | | | 1.19 | | | | | | 1.01 | | | | | | 0.86 | | |
Net realized and unrealized gain (loss) on investments | | | | | (0.88) | | | | | | 1.89 | | | | | | 4.73 | | | | | | (2.96) | | | | | | (0.06) | | |
Total from investment operations | | | | | 0.39 | | | | | | 2.81 | | | | | | 5.92 | | | | | | (1.95) | | | | | | 0.80 | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (1.69) | | | | | | (1.45) | | | | | | (1.41) | | | | | | (0.88) | | | | | | (0.28) | | |
From net realized gains | | | | | (0.14) | | | | | | (0.25) | | | | | | (0.12) | | | | | | (0.06) | | | | | | (0.15) | | |
From return of capital | | | | | — | | | | | | — | | | | | | — | | | | | | (0.02) | | | | | | — | | |
Total distributions | | | | | (1.83) | | | | | | (1.70) | | | | | | (1.53) | | | | | | (0.96) | | | | | | (0.43) | | |
Redemption fee proceeds1 | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Net increase from payment by affiliates (Note 3) | | | | | 0.002 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Net asset value, end of period | | | | $ | 26.29 | | | | | $ | 27.73 | | | | | $ | 26.62 | | | | | $ | 22.23 | | | | | $ | 25.14 | | |
Total return3 | | | | | 1.47%4,7 | | | | | | 10.80% | | | | | | 22.75% | | | | | | (4.89)% | | | | | | 3.28% | | |
Ratios and Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (in thousands) | | | | $ | 732,921 | | | | | $ | 336,466 | | | | | $ | 121,400 | | | | | $ | 63,568 | | | | | $ | 17,196 | | |
Ratio of expenses to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(including dividends and interest on securities sold short, excise tax, unused line of credit fees and interest expense) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before fees waived5,6 | | | | | 1.36% | | | | | | 1.16% | | | | | | 1.12% | | | | | | 1.36% | | | | | | 5.28% | | |
After fees waived5,6 | | | | | 1.30% | | | | | | 1.14% | | | | | | 1.08% | | | | | | 1.05% | | | | | | 2.35% | | |
Ratio of net investment income to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(including dividends and interest on securities sold short, excise tax, unused line of credit fees and interest expense) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before fees waived | | | | | 4.72% | | | | | | 3.34% | | | | | | 4.78% | | | | | | 3.66% | | | | | | 0.49% | | |
After fees waived | | | | | 4.78% | | | | | | 3.36% | | | | | | 4.82% | | | | | | 3.97% | | | | | | 3.42% | | |
Portfolio turnover rate | | | | | 11% | | | | | | 26% | | | | | | 43% | | | | | | 48% | | | | | | 374% | | |
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class I — Continued
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2023
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2023
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2023
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2023
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2023
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2023
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2023
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2023
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2023
| 2024 | | | | $ | 34,167 | | |
| 2025 | | | | | 43,229 | | |
| 2026 | | | | | 299,814 | | |
| Total | | | | $ | 377,210 | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2023
| Cost of investments | | | | $ | 765,959,575 | | |
| Gross unrealized appreciation | | | | | 26,610,810 | | |
| Gross unrealized depreciation | | | | | (30,249,259) | | |
| Net unrealized appreciation/(depreciation) on investments | | | | $ | (3,638,449) | | |
| Increase (Decrease) | | |||
| Paid-in Capital | | | Total Distributable Earnings | |
| $(2,647,392) | | | $2,647,392 | |
| Undistributed ordinary income | | | | $ | — | | |
| Undistributed long-term capital gains | | | | | — | | |
| Tax accumulated earnings/(deficit) | | | | | — | | |
| Accumulated capital and other losses | | | | | — | | |
| Unrealized appreciation/(depreciation) on investments | | | | | (3,638,449) | | |
| Total accumulated earnings/(deficit) | | | | $ | (3,638,449) | | |
Distribution paid from: | | | 2022 | | | 2021 | | ||||||
Ordinary income | | | | $ | 25,436,858 | | | | | $ | 9,904,946 | | |
Net long-term capital gains | | | | | 3,099,344 | | | | | | 879,630 | | |
Total taxable distributions | | | | $ | 28,536,202 | | | | | $ | 10,784,576 | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2023
| | | | Repurchase Offer | | | Repurchase Offer | | | Repurchase Offer | | | Repurchase Offer | |
| Commencement Date | | | May 31, 2022 | | | August 31, 2022 | | | November 30, 2022 | | | March 1, 2023 | |
| Repurchase Request | | | June 30, 2022 | | | September 30, 2022 | | | December 30, 2022 | | | March 31, 2023 | |
| Repurchase Pricing date | | | June 30, 2022 | | | September 30, 2022 | | | December 30, 2022 | | | March 31, 2023 | |
| Net Asset Value as of Repurchase Offer Date | | | | | | | | | | | | | |
| Class A Shares | | | $26.80 | | | $26.49 | | | $25.76 | | | $25.97 | |
| Class I Shares | | | $26.94 | | | $26.67 | | | $26.03 | | | $26.28 | |
| Amount Repurchased | | | | | | | | | | | | | |
| Class A Shares | | | $— | | | $— | | | $8,471 | | | $— | |
| Class I Shares | | | $20,163,158 | | | $25,961,253 | | | $29,046,948 | | | $21,475,140 | |
| Percentage of Outstanding Shares Repurchased | | | | | | | | | | | | | |
| Class A Shares | | | —% | | | —% | | | 2.07% | | | —% | |
| Class I Shares | | | 4.98% | | | 5.40% | | | 5.07% | | | 2.89% | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2023
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | $ | — | | | | | $ | 107,127,255 | | | | | $ | 16,692,730 | | | | | $ | 123,819,985 | | |
Bank Loans | | | | | — | | | | | | — | | | | | | 89,465,694 | | | | | | 89,465,694 | | |
Closed-End Funds | | | | | 73,432,994 | | | | | | 7,500,000 | | | | | | — | | | | | | 80,932,994 | | |
Collateralized Mortgage Obligations | | | | | — | | | | | | 5,103,736 | | | | | | 6,506,886 | | | | | | 11,610,622 | | |
Common Stocks* | | | | | 14,686,506 | | | | | | — | | | | | | — | | | | | | 14,686,506 | | |
Corporate Bonds** | | | | | — | | | | | | 4,044,921 | | | | | | — | | | | | | 4,044,921 | | |
Mutual Funds | | | | | 36,574,892 | | | | | | — | | | | | | — | | | | | | 36,574,892 | | |
Private Investment Funds | | | | | — | | | | | | — | | | | | | 18,416,057 | | | | | | 18,416,057 | | |
Real Estate Investment Trusts | | | | | 19,817,440 | | | | | | — | | | | | | 46,677,171 | | | | | | 66,494,611 | | |
Rights | | | | | 37,195 | | | | | | — | | | | | | 491 | | | | | | 37,686 | | |
Units* | | | | | 3,473,406 | | | | | | — | | | | | | — | | | | | | 3,473,406 | | |
Warrants | | | | | 182,137 | | | | | | — | | | | | | 1,074,079 | | | | | | 1,256,216 | | |
Short-Term Investments | | | | | 109,706,323 | | | | | | — | | | | | | — | | | | | | 109,706,323 | | |
Subtotal | | | | $ | 257,910,893 | | | | | $ | 123,775,912 | | | | | $ | 178,833,108 | | | | | $ | 560,519,913 | | |
Closed End Funds | | | | | | | | | | | | | | | | | | | | | | | 43,786,440 | | |
Private Investment Funds | | | | | | | | | | | | | | | | | | | | | | | 158,282,432 | | |
Total Investments | | | | | | | | | | | | | | | | | | | | | | $ | 762,588,785 | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2023
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities Sold Short | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 267,659 | | | | | $ | — | | | | | $ | — | | | | | $ | 267,659 | | |
Total Securities Sold Short | | | | $ | 267,659 | | | | | $ | — | | | | | $ | — | | | | | $ | 267,659 | | |
|
| | | Asset-Backed Securities | | | Bank Loans | | | Collateralized Mortgage Obligations | | | Private Investment Funds | | | Real Estate Investment Trusts | | | Rights | | | Warrants | | |||||||||||||||||||||
Balance as of March 31, 2022 | | | | | 12,840,086 | | | | | | 25,156,484 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 91,294 | | |
Transfers into Level 3 | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 46,677,171 | | | | | | — | | | | | | — | | |
Transfers out of Level 3 | | | | | (12,287,504) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Total gains or losses for the period | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | | | |
Included in earnings (or changes in net assets) | | | | | (2,380,745) | | | | | | (7,038,552) | | | | | | — | | | | | | 10,648,588 | | | | | | — | | | | | | — | | | | | | 550,227 | | |
Included in other comprehensive income | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Net purchases | | | | | 26,863,284 | | | | | | 74,326,467 | | | | | | 6,506,886 | | | | | | 7,767,469 | | | | | | — | | | | | | 491 | | | | | | 432,558 | | |
Net sales | | | | | (8,342,391) | | | | | | (2,978,705) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Balance as of March 31, 2023 | | | | $ | 16,692,730 | | | | | $ | 89,465,694 | | | | | $ | 6,506,886 | | | | | $ | 18,416,057 | | | | | $ | 46,677,171 | | | | | $ | 491 | | | | | $ | 1,074,079 | | |
Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets held at the end of the reporting period | | | | $ | (2,499,587) | | | | | $ | (1,614,233) | | | | | $ | (11,310) | | | | | $ | (1,583,943) | | | | | $ | — | | | | | $ | — | | | | | $ | 550,227 | | |
| | | | | | | | | Valuation Technique | | | Unobservable Inputs | | | Range of Input | |
Asset Backed Securities | | | | $ | 9,540,033 | | | | Recent Transaction Price | | | Recent Transaction Price | | | N/A | |
| | | | $ | 7,152,697 | | | | Market Approach | | | Expected yield | | | 18.52% | |
| | | | $ | — | | | | Asset Approach | | | Expected remaining distributions | | | $0 | |
Bank Loans | | | | $ | 21,937,723 | | | | Recent Transaction Price | | | Recent Transaction Price | | | N/A | |
| | | | $ | 6,903,602 | | | | Market Approach | | | Bond yields | | | 13.76% | |
| | | | $ | 4,124,164 | | | | Market Approach | | | Market yields | | | 18.91% | |
| | | | $ | 56,500,205 | | | | Market Approach | | | Expected yield | | | 9.90% – 18.91% | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2023
| | | | | | | | | Valuation Technique | | | Unobservable Inputs | | | Range of Input | |
Collateralized Mortgage Obligations | | | | $ | 6,506,886 | | | | Recent Transaction Price | | | Recent Transaction Price | | | N/A | |
Private Investment Funds | | | | $ | 18,416,057 | | | | Adjusted Net Asset Value | | | Reported net asset/fair value adjustments | | | N/A | |
Real Estate Investment Trusts | | | | $ | 46,677,171 | | | | Adjusted Net Asset Value | | | Reported net asset/fair value adjustments | | | N/A | |
Rights | | | | $ | 491 | | | | Asset Approach | | | Expected remaining distributions | | | $1.02 / share | |
Warrants | | | | $ | 717,735 | | | | Market Approach | | | Book value multiple | | | 1.75x | |
| | | | $ | 356,157 | | | | Market Approach | | | Illiquidity discount | | | 17.00% | |
| | | | $ | — | | | | Market Approach | | | Sales multiple | | | 0.55x | |
| | | | $ | 187 | | | | Recent Transaction Price | | | Recent Transaction Price | | | N/A | |
| | | Derivatives not designated as hedging instruments | | |||||||||
| | | Foreign Exchange Contracts | | | Total | | ||||||
Liabilities | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency exchange contracts | | | | $ | 568,967 | | | | | $ | 568,967 | | |
| | | | $ | 568,967 | | | | | $ | 568,967 | | |
| | | Derivatives not designated as hedging instruments | | |||||||||
| | | Foreign Exchange Contracts | | | Total | | ||||||
Net Change in Unrealized Appreciation/(Depreciation) on Derivatives | | | | | | | | | | | | | |
Forward contracts | | | | $ | (780,369) | | | | | $ | (780,369) | | |
| | | | $ | (780,369) | | | | | $ | (780,369) | | |
Derivatives not designated as hedging instruments | | | | | | | | | | | | | |
Forward contracts | | | Foreign exchange contracts | | | Notional amount | | | | $ | (18,976,424) | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2023
Description/Financial Instrument/ Statement of Assets and Liabilities Category | | | Counterparty | | | Gross Amounts Recognized in Statement of Assets and Liabilities | | | Amounts Not Offset in Statement of Assets and Liabilities | | ||||||||||||||||||
| Financial Instruments* | | | Cash Collateral** | | | Net Amount | | ||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts – liability payable | | | BNP Paribas | | | | $ | (568,967) | | | | | $ | — | | | | | $ | 423,809 | | | | | $ | (145,158) | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2023
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2023
| For the Proposal | | | Against the Proposal | | | Abstain | | ||||||
| 9,138,443 | | | | | 29,983 | | | | | | 210,545 | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2023
FUND MANAGEMENT
March 31, 2023 (Unaudited)
| | NAME, ADDRESS AND YEAR OF BIRTH | | | | POSITION(S) HELD WITH THE FUND | | | | LENGTH OF TIME SERVED | | | | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | | | | NUMBER OF PORTFOLIOS IN FUND COMPLEX* OVERSEEN BY TRUSTEE | | | | OTHER DIRECTORSHIPS HELD BY TRUSTEES | | |
| | David G. Lee Year of Birth: 1952 c/o UMB Fund Services, Inc. 235 W. Galena St. Milwaukee, WI 53212 | | | | Chairman and Trustee | | | | Chairman since May 2019; Trustee Since Inception | | | | Retired (since 2012); President and Director, Client Opinions, Inc. (2003 – 2012); Chief Operating Officer, Brandywine Global Investment Management (1998 – 2002). | | | | 17 | | | | None | | |
| | Robert Seyferth Year of Birth: 1952 c/o UMB Fund Services, Inc. 235 W. Galena St. Milwaukee, WI 53212 | | | | Trustee | | | | Since Inception | | | | Retired (since 2009); Chief Procurement Officer/Senior Managing Director, Bear Stearns/JP Morgan Chase (1993 – 2009). | | | | 17 | | | | None | | |
| | Gary E. Shugrue Year of Birth: 1954 c/o UMB Fund Services, Inc. 235 W. Galena St. Milwaukee, WI 53212 | | | | Trustee | | | | Since September 2021 | | | | Managing Director, Veritable LP (investment advisory firm) (2016 – Present); Founder/ President, Ascendant Capital Partners, LP (private equity firm) (2001 – 2015). | | | | 15 | | | | Trustee, Quaker Investment Trust (2 portfolios) (registered investment company). | | |
FUND MANAGEMENT — Continued
March 31, 2023 (Unaudited)
| | NAME, ADDRESS AND YEAR OF BIRTH | | | | POSITION(S) HELD WITH THE FUND | | | | LENGTH OF TIME SERVED | | | | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | | | | NUMBER OF PORTFOLIOS IN FUND COMPLEX* OVERSEEN BY TRUSTEE | | | | OTHER DIRECTORSHIPS HELD BY TRUSTEES | | |
| | Terrance P. Gallagher** Year of Birth: 1958 c/o UMB Fund Services, Inc. 235 W. Galena St. Milwaukee, WI 53212 | | | | Trustee | | | | Since June 2020 | | | | Executive Vice President and Director of Fund Accounting, Administration and Tax; UMB Fund Services, Inc. (2007 – present). President, Investment Managers Series Trust II (registered investment company) (2013 – Present); Treasurer, American Independence Funds Trust (registered investment company) (2016 – 2018); Treasurer, Commonwealth International Series Trust (registered investment company) (2010 – 2015). | | | | 17 | | | | Trustee, Investment Managers Series Trust II (19 portfolios) (registered investment company). | | |
| | Michael Peck Year of Birth: 1980 c/o UMB Fund Services, Inc. 235 W. Galena St. Milwaukee, WI 53212 | | | | President | | | | Since Inception | | | | Chief Executive Officer and Co-CIO, First Trust Capital Management L.P. (formerly, Vivaldi Asset Management, LLC) (2012 – Present); President and Co-CIO, Vivaldi Capital Management LP (2012 – Present); Portfolio Manager, Coe Capital Management (2010 – 2012); Senior Financial Analyst and Risk Manager, the Bond Companies (2006 – 2008). | | | | N/A | | | | N/A | | |
| | Chad Eisenberg Year of Birth: 1982 c/o UMB Fund Services, Inc. 235 W. Galena St. Milwaukee, WI 53212 | | | | Treasurer | | | | Since Inception | | | | Chief Operating Officer, First Trust Capital Management L.P. (formerly, Vivaldi Asset Management, LLC) (2012 – Present); Chief Operating Officer, Vivaldi Capital Management LP (2012 – Present); Director, Coe Capital Management LLC (2010 – 2011). | | | | N/A | | | | N/A | | |
FUND MANAGEMENT — Continued
March 31, 2023 (Unaudited)
| | NAME, ADDRESS AND YEAR OF BIRTH | | | | POSITION(S) HELD WITH THE FUND | | | | LENGTH OF TIME SERVED | | | | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | | | | NUMBER OF PORTFOLIOS IN FUND COMPLEX* OVERSEEN BY TRUSTEE | | | | OTHER DIRECTORSHIPS HELD BY TRUSTEES | | |
| | Bernadette Murphy Year of Birth: 1964 c/o UMB Fund Services, Inc. 235 W. Galena St. Milwaukee, WI 53212 | | | | Chief Compliance Officer | | | | Since 2021 | | | | Director, Vigilant Compliance, LLC (investment management solutions firm) (2018 – Present); Director of Compliance and operations, B. Riley Capital Management, LLC (investment advisory firm ((2017 – 2018); Chief Compliance Officer, Dialect Capital Management, LP (investment advisory firm) (2008 – 2018). | | | | N/A | | | | N/A | | |
| | Ann Maurer Year of Birth: 1972 c/o UMB Fund Services, Inc. 235 W. Galena St. Milwaukee, WI 53212 | | | | Secretary | | | | Since September 2018 | | | | Senior Vice President, Client Services (2017 – Present), Vice President, Senior Client Service Manager (2013 – 2017), Assistant Vice President, Client Relations Manager (2002 – 2013), UMB Fund Services, Inc. | | | | N/A | | | | N/A | | |
FUND INFORMATION
March 31, 2023 (Unaudited)
FUND INFORMATION — Continued
March 31, 2023 (Unaudited)
| | | | TICKER | | | CUSIP | | ||||||
| First Trust Alternative Opportunities Fund – Class A Shares | | | | | VFLAX | | | | | | 75943J209 | | |
| First Trust Alternative Opportunities Fund – Class I Shares | | | | | VFLEX | | | | | | 75943J100 | | |
FUND INFORMATION — Continued
March 31, 2023 (Unaudited)
235 West Galena Street
Milwaukee, WI 53212
Toll Free: (877) 779-1999
(b) Not applicable.
ITEM 2. CODE OF ETHICS.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(b) | The registrant’s code of ethics are written standards that are reasonably designed to deter wrongdoing and to promote: (1) Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Commission and in other public communications made by the registrant; (3) Compliance with applicable governmental laws, rules, and regulations; (4) The prompt internal reporting of violations of the code to an appropriate person or persons identified in the code; and (5) Accountability for adherence to the code. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, during the period covered by this report, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
(e) | The registrant does not intend to satisfy the disclosure requirement under paragraph (c) or (d) of this Item regarding an amendment to, or a waiver from, a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item by posting such information on its Internet website. |
(f) | The registrant has included with this filing, pursuant to Item 13(a)(1), a copy of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, as an exhibit to its annual report on this Form N-CSR; |
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) | As of the end of the period covered by the report, the registrant’s board of trustees has determined that Mr. David G. Lee and Mr. Robert Seyferth are qualified to serve as the audit committee financial experts serving on its audit committee and that they are “independent,” as defined by Item 3 of Form N-CSR. |
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Audit Fees
------------------
(a) | The aggregate fees billed for the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements are $48,200 for 2022 and $52,500 for 2023. |
Audit-Related Fees
------------------
(b) | The aggregate fees billed for the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 for 2022 and $0 for 2023. |
Tax Fees
------------------
(c) | The aggregate fees billed for the last two fiscal years for professional services rendered by the principal accountant for the review and preparation of tax returns are $13,300 for 2022 and $22,154 for 2023. |
All Other Fees
------------------
(d) | The aggregate fees billed for the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2022 and $0 for 2023. |
(e) | (1) The Registrant’s Audit Committee must pre-approve the audit and non-audit services of the Auditors prior to the Auditor’s engagement. |
(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:
(b) 0%
(c) 0%
(d) 0%
(f) | The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the fiscal period April 1, 2022 through March 31, 2023 that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $0 for 2022 and $0 for 2023. |
(h) | The registrant’s audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
(i) | Not applicable. |
(j) | Not applicable. |
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) | Not applicable. |
(b) | Not applicable. |
ITEM 6. SCHEDULE OF INVESTMENTS.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
First Trust Capital Management L.P.
PROXY POLICY AND PROCEDURE
INTRODUCTION
First Trust Capital Management L.P. (“FTCM”) acts as either the advisor or sub-advisor to a number of registered investment companies (the “Funds”). In accord with Rule 206(4)-6 of the Investment Advisers Act of 1940, as amended, FTCM has adopted the following policies and procedures to provide information on FTCM’s proxy policy generally as well as on procedures for each of the Funds specifically (the “Proxy Policy and Procedure”). These policies and procedures apply only to FTCM. Investment managers engaged as sub-advisors for one of the Funds are required to vote proxies in accord with their own policies and procedures and any applicable management agreements.
GENERAL GUIDELINES
FTCM’s Proxy Policy and Procedure is designed to ensure that proxies are voted in a manner (i) reasonably believed to be in the best interests of the Funds and their shareholders1 and (ii) not affected by any material conflict of interest. FTCM considers shareholders’ best economic interests over the long term (i.e., addresses the common interest of all shareholders over time). Although shareholders may have differing political or social interests or values, their economic interest is generally uniform.
FTCM has adopted voting guidelines to assist in making voting decisions on common issues. The guidelines are designed to address those securities in which the Funds generally invest and may be revised in FTCM’s discretion. Any non-routine matters not addressed by the proxy voting guidelines are addressed on a case-by-case basis, considering all relevant facts and circumstances at the time of the vote, particularly where such matters have a potential for major economic impact on the issuer’s structure or operations. In making voting determinations, FTCM typically will rely on the individual portfolio managers who invest in and track particular companies as they are the most knowledgeable about, and best suited to make decisions regarding, particular proxy matters. In addition, FTCM may conduct research internally and/or use the resources of an independent research consultant. FTCM may also consider other materials such as studies of corporate governance and/or analyses of shareholder and management proposals by a certain sector of companies and may engage in dialogue with an issuer’s management.
FTCM acknowledges its responsibility to identify material conflicts of interest related to voting proxies. FTCM’s employees are required to disclose to the Chief Compliance Officer any personal conflicts, such as officer or director positions held by them, their spouses or close relatives, in any publicly traded company. Conflicts based on business relationships with FTCM, any affiliate or any person associated with FTCM, will be considered only to the extent that FTCM has actual knowledge of such relationships. FTCM then takes appropriate steps to address identified conflicts. Typically, in those instances when a proxy vote may present a conflict between the interests of the Fund, on the one hand, and FTCM’s interests or the interests of a person affiliated with FTCM on the other, FTCM will abstain from making a voting decision and will document the decision and reasoning for doing so.
In some cases, the cost of voting a proxy may outweigh the expected benefits. For example, casting a vote on a foreign security may involve additional costs such as hiring a translator or traveling to the foreign country to vote the security in person. In such situations, FTCM may abstain from voting a proxy if the effect on shareholders’ economic interests or the value of the portfolio holding is indeterminable or insignificant.
1 Actions taken in accord with the best interests of the Funds and their shareholders are those which align most closely with the Funds’ stated investment objectives and strategies.
In certain cases, securities on loan as part of a securities lending program may not be voted. Nothing in the proxy voting policies shall obligate FTCM to exercise voting rights with respect to a portfolio security if it is prohibited by the terms of the security or by applicable law or otherwise.
FTCM will not discuss with members of the public how they intend to vote on any particular proxy proposal.
SPECIAL CONSIDERATIONS
The Funds are subject to the restrictions of Sections 12(d)(1)(A)(i) and (B)(i) of the Investment Company Act of 1940. Generally, these provisions require that any fund and any entity controlled by that fund (including ETFs that are registered investment companies) may not own, in the aggregate, more than three percent (3%) of the total outstanding voting securities of any registered open-end or closed-end investment company, including money market funds, or may invest more than 10% of its total assets in the securities of other investment companies.2 Section 12(d)(1)(F) of the Act provides that the Section 12(d)(1) limitations do not apply to the securities acquired by a fund if (i) immediately after the purchase or acquisition of not more than 3% of the total outstanding stock of such registered investment company is owned by the fund and all affiliated persons of the fund, and (ii) the fund is not proposing to offer or sell any security issued by it through a principal underwriter or otherwise at a public or offering price which includes a sales load of more than one and a half percent (1.5%). In the event that one of Funds relies upon Section 12(d)(1)(F), FTCM, acting on behalf of the Fund, will, when voting with respect to any investment company owned by the Fund, comply with either of the following voting restrictions:
● | Seek instruction from the Fund’s shareholders with regard to the voting of all proxies and vote in accordance with such instructions, or |
● | Vote the shares held by the Fund in the same proportion as the vote of all other holders of such security. |
● | Under Rule 12d1-4 under the Investment Company Act of 1940, a registered investment company (“Acquiring Fund”) may purchase or otherwise acquire the securities issued by another registered investment company (the “Acquired Fund”) in excess of the limits of Section 12(d)(1) and an Acquired Fund may sell or otherwise dispose of the securities issued by the Acquiring Fund in excess of the limits of Section 12(d)(1) if certain conditions are met. One of the conditions is that if the Acquiring Fund and its advisory group (as defined by Rule 12d1-4), in aggregate (A) hold more than 25% of the outstanding voting securities of an Acquired Fund that is a registered open-end management investment company or registered unit investment trust as a result of a decrease in the outstanding voting securities of an Acquired Fund, or (B) hold more than 10% of the outstanding voting securities of an Acquired Fund that is a registered closed-end management investment company or business development company, each of those holders will vote its securities in the same proportion as the vote of all other holders of such securities. When relying on Rule 12d1-4, the Fund will comply with such voting restrictions as required by Rule 12d1-4 and any applicable provision in the respective Fund of Funds Agreement with the Acquired Fund. |
ISS ProxyEdge
FTCM has a contractual relationship with Institutional Shareholder Services Inc. (“ISS”) through which ISS provides certain proxy management services to FTCM’s portfolio management teams. Specifically, ISS (i) provides access to the ISS ProxyExchange web-based voting and research platform to access vote recommendations, research reports, execute vote instructions and run reports relevant to Subscriber’s proxy voting environment; (ii) implements and maps FTCM’s designated proxy voting policies to applicable accounts and generates vote recommendations based on the application of such policies; and (iii) monitors FTCM’s incoming ballots, performs ballot-to-account reconciliations with FTCM and its third party providers to help ensure that ISS is receiving all ballots for which FTCM has voting rights.
2 The three percent (3%) limit is measured at the time of investment.
ISS provides two options for how proxy ballots are executed:
1. | Implied Consent: ISS executes ballots on FTCM’s behalf based on policy guidelines chosen at the time FTCM entered into the relationship with ISS. |
2. | Mandatory Signoff: ISS is not permitted to mark or process any ballot on FTCM’s behalf without first receiving FTCM’s specific voting instructions via ProxyExchange. |
FTCM has opted for Option 1. Implied Consent and in so doing has chosen to allow ISS to vote proxies on its behalf “with management’s recommendations.” FTCM has the option, however, to change its vote from the “with management’s recommendations” default at any point prior to the voting deadline if the portfolio managers following the subject company determine it is in the best interests of the Funds and their shareholders to do so. In those instances when the subject company’s management has not provided a voting recommendation, FTCM will either vote based on its own determination of what would align most closely with the best interests of the Funds and their shareholders or will opt to allow ISS to submit an “abstain” vote on its behalf. In addition, in those limited instances when share blocking3 may apply, FTCM has instructed ISS not to cast a vote on FTCM’s behalf unless FTCM provides specific instructions via ProxyExchange.
FUND-SPECIFIC POLICIES AND PROCEDURES
Infinity Core Alternative Fund, Destiny Alternative Fund LLC, Destiny Alternative Fund (TEI) LLC and First Trust Private Assets Fund (collectively, the “Tender Offer Funds”) are “fund of funds” that invest primarily in general or limited partnerships, funds, corporations, trusts or other investment vehicles (collectively, “Investment Funds”). While it is unlikely that the Tender Offer Funds will receive notices or proxies from Investment Funds (or in connection with any other portfolio securities), to the extent that the Tender Offer Funds do receive such notices or proxies and the Tender Offer Funds have voting interests in such Investment Funds, the responsibility for decisions regarding proxy voting for securities held by the Tender Offer Funds lies with FTCM as their advisor. FTCM will vote such proxies in accordance with the proxy policies and procedures noted above.
The Tender Offer Funds are required to file Form N-PX with its complete proxy voting record for the twelve (12) months ended June 30th, no later than August 31st of each year. The Tender Offer Funds Form N-PX filings will be available: (i) without charge, upon request, by calling 1.877.779.1999 or (ii) by visiting the SEC’s website at www.sec.gov.
All Other Funds
With the exception of the First Trust Merger Arbitrage Fund and First Trust Merger Arbitrage ETF, Infinity Core Alternative Fund, Destiny Alternative Fund LLC, Destiny Alternative Fund (TEI) LLC and First Trust Private Assets Fund, the Funds for which FTCM is presently either an advisor or a sub-advisor are managed by multiple internal and external portfolio management teams. As noted above, the policies and procedures outlined within this Proxy Policy and Procedure apply to those securities being held in that portion of the Funds’ portfolios managed by a FTCM portfolio manager only (including Infinity Core Alternative Fund).
Each Fund will be required to file Form N-PX annually, with its complete proxy voting record for the twelve (12) months immediately prior to the Fund’s year-end, no later than sixty (60) days following the Fund’s year-end. The Fund’s Form N-PX filing will be available: (i) without charge, upon request, from the Fund’s administrator or (ii) by visiting the SEC’s website at www.sec.gov.
3 Proxy voting in certain countries requires share blocking. Shareholders wishing to vote their proxies must deposit their shares shortly before the meeting date with a designated depositary. During this blocking period, any shares held by the designated depositary cannot be sold until the meeting has taken place and the shares have been returned to FTCM’s custodian banks. FTCM generally opts not to participate in share blocking proxies given these restrictions on their ability to trade.
Angel Oak Capital Advisors, LLC
PROXY POLICY AND PROCEDURE
Policy
The Advisers as a matter of policy and as a fiduciary to our Clients1 have responsibility for voting proxies for portfolio securities consistent with the best economic interests of our Clients. Proxy voting is an important right of shareholders and reasonable care and diligence must be undertaken to ensure that such rights are properly and timely exercised.
Investment advisers registered with the SEC, which exercise voting authority with respect to Client securities, are required by Rule 206(4)-6 of the Investment Advisers Act of 1940 to (a) adopt and implement written policies and procedures that are reasonably designed to ensure that Client securities are voted in the best interests of Clients, including how an adviser addresses material conflicts that can arise between an adviser’s interests and those of its Clients; (b) disclose to Clients how they obtain information from the adviser with respect to the voting of proxies for their securities; (c) describe to Clients a summary of its proxy voting policies and procedures and, upon request, furnish a copy of the policies and procedures to its Clients. In addition, SEC Rule 204-2(c)(2) requires investment advisers that exercise voting authority with respect to Client securities to maintain certain records relating to the adviser’s proxy voting activities.
The Advisers will vote all proxies in the best interests of Clients and in accordance with the procedures outlined below, unless otherwise mandated by Client instructions, the investment management agreement, or applicable law. Our policy includes the responsibility to receive and vote Client proxies and disclose any potential conflicts of interest as well as making information available to Clients about the voting of proxies for their portfolio securities and maintaining relevant and required records.
When voting proxies for holdings of U.S. Registered Funds managed by the Advisers, please review the relevant Trust’s Proxy Voting Policy.
When voting proxies for Client holdings in other Registered Funds, please ensure voting decisions comply with the relevant Trust’s Fund of Funds Investments Policy and the Advisers’ Affiliated Fund Investments Policy.
Procedures
● | If Clients delegate proxy voting to the Advisers, the relevant Clients’ custodians are connected to ProxyEdge, a third-party proxy management system from Broadridge used to track and vote proxies. This set-up is part of the Compliance team’s new Client onboarding process. The Advisers have not engaged ProxyEdge, Broadridge, or any other third-party for proxy advisory services. The Compliance team must preclear any use of prepopulated or automated voting in ProxyEdge. |
1 | Clients of the Advisers may include: Publicly offered open-end and closed-end registered investment companies registered under the Investment Company Act of 1940 (“Registered Funds”); a publicly offered Undertaking for Collective Investment of Transferable Securities (UCITS) fund registered with the Central Bank of Ireland (“UCITS Fund”); private investment funds organized as pooled investment vehicles exempt from registration under the Investment Company Act of 1940 by Section 3(c)(1) or 3(c)(7) (“Private Funds”); publicly traded real estate investment trusts (“Public REITs”); pooled investment vehicles exempt from registration under the Investment Company Act of 1940 by Section 3(c)(5) (“3(c)(5) Funds”); and institutional and high net-worth individual investors (“Separately Managed Accounts”). |
● | The Compliance team adds all portfolio managers as users in ProxyEdge if the portfolio manager oversees holdings that have proxy votes. |
● | Prior to voting any proxy, the portfolio manager of the holding with the proxy vote, in consultation with the Compliance team if necessary, will determine if there are any conflicts of interest related to the proxy. If a conflict is identified, the Compliance team will decide as to whether the conflict is material. If it is deemed to be material, the conflict will be addressed as outlined below. In addition to analyzing whether there are conflicts of interest, the portfolio manager is required to determine that any information relied upon to vote the proxy is believed to be materially accurate and complete. |
● | Absent material conflicts, the portfolio manager will determine how the relevant Adviser should vote the proxy in accordance with applicable voting guidelines as described below. It is the relevant portfolio manager’s duty to ensure that all proxy votes are cast in a timely manner. |
Voting Guidelines
● | In the absence of specific voting guidelines from the Client, the Advisers will vote proxies in the best interests of each particular Client. The Advisers’ policy is to vote all proxies from a specific issuer the same way for each Client unless instructed otherwise by a Client or unless there is a situation where the differing investment objectives of Clients lead to different voting directions being in the best interest of different Clients. Clients are permitted to place reasonable restrictions on each Adviser’s voting authority in the same manner they place restrictions on the selection of account securities or establish other investment guidelines. |
● | In certain situations, proxy voting is delegated to sub-advisors who advise on the relevant investments undergoing a proxy. These proxies are managed solely by the sub-advisor and are not tracked by the Advisers. As indicated in the Advisers’ Sub-Advisor Due Diligence Policy, the Advisers review the sub-advisor’s proxy voting policy to confirm the policy is effective and complies with the SEC’s requirements. On a quarterly basis, the Compliance team will confirm with any relevant sub-advisor whether they are maintaining appropriate records with respect to the proxies voted on behalf of the Advisers’ Clients. |
● | The Advisers will generally vote in favor of routine corporate housekeeping proposals such as the election of directors and selection of auditors, unless conflicts of interest are raised by an auditor’s non-audit services. The Advisers will seek to maximize long-term value for Clients, protect Clients’ rights, and promote governance structures and practices that reinforce the accountability of corporate management and boards of directors to shareholders. |
● | The Advisers will generally vote against proposals that cause board members to become entrenched or that cause unequal voting rights. |
● | In reviewing proposals, the Advisers will further consider the opinion of management as well as the effect of the proposal on management, shareholder value, and the issuer’s business practices. Throughout the proxy voting window, the Advisers will assess all known and publicly available information with respect to the proxy vote. This can include information made available by the issuer after the proxy vote has been initiated but prior to the proxy vote submission deadline. For example, this may entail information released by the issuer in response to recommendations made by proxy advisory firms. |
● | In certain circumstances, the Advisers may refrain from voting where the economic or other opportunity cost to a Client of voting a company’s proxy exceeds any anticipated benefits (for the relevant Client) of that proxy proposal. In each situation, the relevant portfolio manager’s decision not to vote will be documented, reviewed by Compliance, and retained in the relevant Adviser’s books and records. The portfolio manager will be required to confirm that they believe that refraining from voting is in the best interest of the relevant Client. |
Additional ERISA Considerations
The Advisers may manage assets of a benefit plan for the purposes of Title I of the Employment Retirement Income Security Act of 1974 (“ERISA”). For each ERISA fund managed, the Advisers would need to comply with ERISA’s Fiduciary Duties Regarding Proxy Voting and Shareholder Rights rule (the “ERISA Rule”). The ERISA Rule is largely in-keeping with this Policy. The ERISA Rule adds additional emphasis regarding ERISA fiduciaries’ requirement to carry out all proxy votes prudently and solely in the interests of plan participants and beneficiaries and for the exclusive purpose of providing benefits to participants and beneficiaries, additionally noting that ERISA fiduciaries must act solely in accordance with the economic interest of the plan considering only factors that they prudently determine will affect the economic value of the plan’s investment based on a determination of risk and return over an appropriate investment horizon. The ERISA Rule contains additional due diligence and monitoring requirements with respect to the selection and use of third-party proxy advisory firms. The Advisers do not use a proxy advisory firm as noted below.
Conflicts of Interest
● | The Advisers will identify any conflicts that exist between the interests of any Adviser and any Client by reviewing the relationship of the Advisers with the issuer of each security to determine if any Adviser has any relationship with the issuer. |
● | The Advisers will identify any conflicts that exist between the interests of any Client and another Client by reviewing each Client’s holdings in the relevant issuer to ensure whether any Client’s holdings at other levels in the issuer’s capital structure conflict with the holdings for which there is a proxy vote. |
● | If a material conflict of interest exists, the relevant Adviser will disclose the conflict to the affected Client(s), to give the Client(s) an opportunity to vote the proxies themselves, or to address the voting issue through other objective means such as voting in a manner consistent with a predetermined voting policy or receiving an independent third-party voting recommendation. |
● | The Advisers will maintain a record of the voting resolution of any conflict of interest. |
Client Requests for Information
● | All Client requests for information regarding proxy votes, or policies and procedures, received by any employee should be forwarded to the Compliance team. |
● | In response to any request, the Compliance team will prepare a written response to the Client with the information requested, and as applicable will include the name of the issuer, the proposal voted upon, and how the relevant Adviser voted the Client’s proxy with respect to each proposal about which the Client inquired. |
Use of Third-Party Proxy Advisory Services
Registered investment advisers can use independent third-party proxy advisory services to assist the adviser by making recommendations regarding how proxies should be voted. The use of proxy advisory services does not relieve an adviser’s obligation to vote in the client’s best interest nor remove an adviser’s obligation to provide full and fair disclosure of any conflicts of interest. Currently, the Advisers predominantly trade fixed-income products which generally do not hold proxy votes and therefore very few proxies are voted by the Advisers. Given the limited number of proxies, the Advisers have not engaged a third-party proxy advisory service. In the future, the Advisers may engage such a service. At that time, the Advisers would be required to vet the independence of the firm engaged to cast those votes, ascertain whether the firm has the capacity and competency to adequately analyze proxy voting issues, evaluate the staffing adequacy and quality of the firm’s personnel, and review the robustness of the firm’s policies and procedures to ensure accurate votes and mitigate conflicts of interest.
In addition, given the Advisers’ obligations to provide full and fair disclosure to their Clients of all material facts relating to the advisory relationship, any future engagements with proxy advisory firms will be disclosed to all Clients. If the Advisers use any automated or pre-populated voting services provided by the proxy advisory firms, the Advisers would disclose the extent of that use and under what circumstances the Advisers use such services. Moreover, the Advisers would need to create policies and disclosures to address the use of automated or pre-populated voting in cases where the Advisers become aware before the proxy voting submission deadline that the issuer intends to file or has filed additional soliciting materials with the SEC regarding a matter to be voted upon.
Certification
Portfolio managers are required to certify each quarter, that all proxies, if any, voted by the portfolio manager have been voted in the best interest of the Client(s). Such certification will demonstrate that each Adviser’s personnel are periodically reminded of their obligations under this Policy even during extended periods of no proxy activity involving Client positions.
Regulatory Reporting
Form N-PX
Each U.S. Registered Fund has an obligation to file Form N-PX with the SEC no later than August 31 of each year, containing the proxy voting record of each Registered Fund for the twelve-month period ended June 30. Form N-PX is generally filed by the Registered Funds’ administrator.
The relevant Adviser of any Registered Fund will assist the administrator with the filing of Form N-PX by notifying the administrator of any proxy votes cast on behalf of a Registered Fund and providing the following information for each security for which a proxy vote was cast during the reporting period: (a) the name of the issuer; (b) the exchange ticker symbol; (c) the CUSIP identifier; (d) the shareholder meeting date; (e) a brief description of the matter voted on; (f) whether the matter was proposed by the issuer or by a security holder; (g) whether a vote was cast on behalf of the Registered Fund; (h) how the vote was cast (e.g., for or against the proposal, or abstain; for or withhold for election of directors); and (i) whether the registrant cast its vote for or against management.
The Compliance team will review for accuracy a draft of the Form N-PX provided by the administrator prior to filing and will provide the relevant Adviser’s authorization to file the Form N-PX with the SEC.
Form ADV
A brief summary of each Adviser’s proxy voting policy and procedures will be included in the Adviser’s Form ADV Part 2A and will be updated at least annually or at any time there are material changes to the policy or procedures. The summary will include information as to how Clients can request a copy of each Adviser’s proxy voting policy and procedures and how Clients can request information from the Adviser regarding how proxies were voted on behalf of the Client’s account.
Testing
In order to determine that the Advisers are casting votes on behalf of Clients consistent with this Policy, the Advisers’ Compliance team samples at least ten percent of the proxy votes cast on behalf of Clients on an annual basis to confirm compliance with the Policy.
As part of the Advisers’ annual review, the Advisers review and document at least annually the adequacy of this Policy to ensure that it has been formulated reasonably and implemented effectively, including whether the Policy continues to be reasonably designed to ensure that the Advisers cast any votes in the best interests of Clients.
Recordkeeping
The Advisers will retain the following proxy records in accordance with the SEC’s five-year retention requirement.
● | These policies and procedures and any amendments; |
● | Each proxy statement that each Adviser receives which is detailed in an automated monthly report received from ProxyEdge which details the Advisers’ full proxy voting record; |
● | A record of each vote that an Adviser casts; |
● | Any document an Adviser created that was material to deciding how to vote proxies, or that memorializes that decision; |
● | Any documentation of a determination that a conflict of interest exists and the resolution of that conflict; and |
● | A copy of each written request from a Client for information on how an Adviser voted such Client’s proxies, and a copy of any written response. |
Palmer Square Capital Management LLC
Proxy Voting Guidelines
In accordance with Rule 30b1-4 under the Investment Company Act of 1940 and Rule 206(4)-6 and 204-2 under of the Investment Advisers Act of 1940, Palmer Square Capital Management LLC (“Palmer Square”) is providing all clients with a summary of its proxy voting procedures.
● | Upon opening an account with Palmer Square, clients are given the option to delegate proxy-voting discretion to Palmer Square by completing the appropriate documents. Palmer Square will only exercise proxy-voting discretion over client shares in the instances where clients give Palmer Square discretionary authority to vote on their behalf. |
● | It is Palmer Square’s policy to vote client shares primarily in conformity with Glass Lewis & Co. recommendations, in order to mitigate conflicts of interest that can arise between Palmer Square and its clients. Glass Lewis & Co. and Palmer Square retain a record of all recommendations. |
● | Glass Lewis & Co. is an independent third party that issues recommendations based upon its own internal guidelines. |
● | Palmer Square conducts a review at least annually of Glass Lewis & Co to assess the firm’s capacity and competency to serve as a proxy advisor. |
● | Palmer Square will vote client shares inconsistent with Glass Lewis & Co. recommendations if Palmer Square believes that doing so is in the best interest of its clients. |
● | In situations where Palmer Square identifies a material conflict of interest in the voting of proxies due to business or personal relationships that Palmer Square maintains with persons having an interest in the outcome of certain votes, Palmer Square will take appropriate steps to ensure that its proxy voting decisions are made in the best interest of its clients. |
● | Palmer Square votes client shares via ProxyEdge, an electronic voting platform provided by Broadridge Financial Solutions, Inc. Additionally, ProxyEdge retains a record of proxy votes for each client. |
● | Annually, Palmer Square will file Form N-PX with the SEC, which will contain each fund’s complete proxy voting record. |
● | Palmer Square’s Compliance Team will periodically review all proxy votes to ensure consistency with its procedures. |
● | Upon request, clients can receive a copy of Palmer Square’s proxy voting procedures and Glass Lewis & Co.’s proxy voting guidelines. |
● | These procedures are currently in effect but could be amended in the future |
If you have any questions or would like a copy of Palmer Square’s proxy voting procedures, Glass Lewis & Co.’s proxy voting guidelines and/or a record of how your shares were voted, please contact Palmer Square’s Chief Compliance Officer at 816-994-3200.
RiverNorth Capital Management, LLC
PROXY VOTING POLICIES AND PROCEDURES
Pursuant to the recent adoption by the Securities and Exchange Commission (the “Commission”) of Rule 206(4)-6 (17 CFR 275.206(4)-6) and amendments to Rule 204-2 (17 CFR 275.204-2) under the Investment Advisers Act of 1940 (the “Act”), it is a fraudulent, deceptive, or manipulative act, practice or course of business, within the meaning of Section 206(4) of the Act, for an investment adviser to exercise voting authority with respect to client securities, unless (i) the adviser has adopted and implemented written policies and procedures that are reasonably designed to ensure that the adviser votes proxies in the best interests of its clients, (ii) the adviser describes its proxy voting procedures to its clients and provides copies on request, and (iii) the adviser discloses to clients how they may obtain information on how the adviser voted their proxies.
In its standard investment advisory agreement, RiverNorth Capital Management, LLC (RiverNorth Capital) specifically states that it does not vote proxies unless otherwise directed by the client and the client, including clients governed by ERISA, is responsible for voting any proxies. Therefore, RiverNorth Capital will not vote proxies for these clients. However, RiverNorth Capital will vote proxies on behalf of investment company clients and hedge fund clients (“Funds”). RiverNorth Capital has instructed all custodians, other than Fund custodians, to forward proxies directly to its clients, and if RiverNorth Capital accidentally receives a proxy for any non-Fund client, current or former, the Chief Compliance Officer will promptly forward the proxy to the client. In order to fulfill its responsibilities to Funds, RiverNorth Capital Management, LLC (hereinafter “we” or “our”) has adopted the following policies and procedures for proxy voting with regard to companies in any Fund’s investment portfolios.
OVERVIEW
The Proxy Voting Policies and Procedures are designed to protect the best interests of the Funds in which we vote proxies on behalf of. RiverNorth does not delegate or rely on any third-party service provider for voting recommendations.
KEY OBJECTIVES
The key objectives of these policies and procedures recognize that a company’s management is entrusted with the day-to-day operations and longer term strategic planning of the company, subject to the oversight of the company’s board of directors. While “ordinary business matters” are primarily the responsibility of management and should be approved solely by the corporation’s board of directors, these objectives also recognize that the company’s shareholders must have final say over how management and directors are performing, and how shareholders’ rights and ownership interests are handled, especially when matters could have substantial economic implications to the shareholders.
Therefore, we will pay particular attention to the following matters in exercising our proxy voting responsibilities as a fiduciary for clients and the Funds:
Accountability. Each company should have effective means in place to hold those entrusted with running a company’s business accountable for their actions. Management of a company should be accountable to its board of directors and the board should be accountable to shareholders.
Alignment of Management and Shareholder Interests. Each company should endeavor to align the interests of management and the board of directors with the interests of the company’s shareholders. For example, we generally believe that compensation should be designed to reward management for doing a good job of creating value for the shareholders of the company.
Transparency. Promotion of timely disclosure of important information about a company’s business operations and financial performance enables investors to evaluate the performance of a company and to make informed decisions about the purchase and sale of a company’s securities.
DECISION METHODS
We generally believe that the individual portfolio managers that invest in and track particular companies are the most knowledgeable and best suited to make decisions with regard to proxy votes. Therefore, we rely on those individuals to make the final decisions on how to cast proxy votes.
No set of proxy voting guidelines can anticipate all situations that may arise. In special cases, we may seek insight from our managers and analysts on how a particular proxy proposal will impact the financial prospects of a company, and vote accordingly.
In some instances, a proxy vote may present a conflict between the interests of a client/fund, on the one hand, and our interests or the interests of a person affiliated with us, on the other. In such a case, we will abstain from making a voting decision and will forward all of the necessary proxy voting materials to the client to enable the client to cast the votes.
Notwithstanding the forgoing, the following policies will apply to investment company shares owned by a Fund. The Investment Company Act of 1940, as amended, (the “Act”) defines an “investment company” to include mutual funds, money market funds, closed-end funds (including preferred shares of a closed-end fund), and exchange traded funds. Under Section 12(d)(1) of the Act, a fund may only invest up to 5% of its total assets in the securities of any one investment company, but may not own more than 3% of the outstanding voting stock of any one investment company or invest more than 10% of its total assets in the securities of other investment companies. However, Section 12(d)(1)(F) of the Act provides that the provisions of paragraph 12(d)(1) shall not apply to securities purchased or otherwise acquired by a fund if (i) immediately after such purchase or acquisition not more than 3% of the total outstanding stock of such registered investment company is owned by the fund and all affiliated persons of the fund; and (ii) the fund is not proposing to offer or sell any security issued by it through a principal underwriter or otherwise at a public or offering price which includes a sales load of more than 1½% percent. Therefore, each Fund (or the Adviser acting on behalf of the Fund) must comply with the following voting restrictions unless it is determined that the Fund is not relying on Section 12(d) (1) (F):
● | when the Fund exercises voting rights, by proxy or otherwise, with respect to any investment company owned by the Fund, the Fund will either |
o | seek instruction from the Fund’s shareholders with regard to the voting of all proxies and vote in accordance with such instructions, or |
o | vote the shares held by the Fund in the same proportion as the vote of all other holders of such security. |
Under Section 12(d)(1)-(4) of the Act, an investment company (including exchange traded funds (“ETFs”), or closed-end funds), or business development company (“BDC”), is allowed to acquire securities of any other registered investment company or BDC in excess of the limitations in Section 12(d)(1). For purposes of these policies and procedures, the term “Acquiring Fund” means a fund that invests in any other registered investment company and “Acquired Fund” means a fund that is being acquired by another registered investment company.
When an investment company is relying on 12(d)(1)-(4), the investment company must comply with the following provisions regarding proxy voting:
1. Limits on Control and Voting. When an investment company acquires shares of another investment company (Acquiring Fund), its advisory group1 is prohibited from controlling2, individually or in the aggregate, of the Acquired Fund. An Acquiring Fund and its advisory group are required to use mirror voting when they hold more than: (i) 25 percent of the outstanding voting securities of an Acquired Fund that is an open-end fund or UIT due to a decrease in the outstanding voting securities of the Acquired Fund; or (ii) 10 percent of the outstanding voting securities of an Acquired Fund that is a closed-end fund or BDC. In assessing whether a Fund is deemed to have control, the Acquiring Fund is required to aggregate its investment in an Acquired Fund with the investment of the Acquiring Fund’s advisory group. The Acquiring Fund and its advisory group are required to use pass-through voting (i.e., seek voting instructions from the Acquiring Fund’s own shareholders and vote accordingly) in situations where (1) all holders of an Acquired Fund’s outstanding voting securities are required by Rule 12d1-4 or Section 12(d)(1) of the 1940 Act to use mirror voting, or (2) mirror voting by an Acquiring Fund is not possible (for example, when Acquiring Funds are the only shareholders of an Acquired Fund).
2. Exceptions from the Control and Voting Conditions. The control and voting conditions described above do not apply when: (i) an Acquiring Fund is within the same group of investment companies as an Acquired Fund; or (ii) the Acquiring Fund’s investment sub-advisor or any person controlling, controlled by, or under common control with such investment sub-advisor acts as the Acquired Fund’s investment advisor or depositor.
PROXY VOTING GUIDELINES
Election of the Board of Directors
We believe that good corporate governance generally starts with a board composed primarily of independent directors, unfettered by significant ties to management, all of whose members are elected annually. We also believe that turnover in board composition promotes independent board action; fresh approaches to governance, and generally has a positive impact on shareholder value. We will generally vote in favor of non-incumbent independent directors.
The election of a company’s board of directors is one of the most fundamental rights held by shareholders. Because a classified board structure prevents shareholders from electing a full slate of directors annually, we will generally support efforts to declassify boards or other measures that permit shareholders to remove a majority of directors at any time, and will generally oppose efforts to adopt classified board structures.
1 Rule 12d1-4 defines “advisory group” as either: (i) an Acquiring Fund’s investment advisor or depositor and any person controlling, controlled by, or under common control with such investment advisor or depositor; or (ii) an Acquiring Fund’s investment sub-advisor and any person controlling, controlled by, or under common control with such investment sub-advisor.
2 “Control” means the power to exercise a controlling influence over the management or policies of a company, unless such power is solely the result of an official position with such company. The 1940 Act creates a rebuttable presumption that any person who, directly or indirectly, beneficially owns more than 25% of the voting securities of a company is deemed to control the company. Accordingly, an Acquiring Fund and its advisory group could own up to 25% of the outstanding shares of an Acquired Fund without being presumed to control the Acquired Fund. A determination of control depends on the facts and circumstances of the particular situation and does not turn solely on ownership of voting securities of a company.
Approval of Independent Auditors
We believe that the relationship between a company and its auditors should be limited primarily to the audit engagement, although it may include certain closely related activities that do not raise an appearance of impaired independence.
We will evaluate on a case-by-case basis instances in which the audit firm has a substantial non-audit relationship with a company to determine whether we believe independence has been, or could be, compromised.
Equity-based compensation plans
We believe that appropriately designed equity-based compensation plans, approved by shareholders, can be an effective way to align the interests of shareholders and the interests of directors, management, and employees by providing incentives to increase shareholder value. Conversely, we are opposed to plans that substantially dilute ownership interests in the company, provide participants with excessive awards, or have inherently objectionable structural features.
We will generally support measures intended to increase stock ownership by executives and the use of employee stock purchase plans to increase company stock ownership by employees. These may include:
1. Requiring senior executives to hold stock in a company.
2. Requiring stock acquired through option exercise to be held for a certain period of time.
These are guidelines, and we consider other factors, such as the nature of the industry and size of the company, when assessing a plan’s impact on ownership interests.
Corporate Structure
We view the exercise of shareholders’ rights, including the rights to act by written consent, to call special meetings and to remove directors, to be fundamental to good corporate governance.
Because classes of common stock with unequal voting rights limit the rights of certain shareholders, we generally believe that shareholders should have voting power equal to their equity interest in the company and should be able to approve or reject changes to a company’s by-laws by a simple majority vote.
We will generally support the ability of shareholders to cumulate their votes for the election of directors.
Shareholder Rights Plans
While we recognize that there are arguments both in favor of and against shareholder rights plans, also known as poison pills, such measures may tend to entrench current management, which we generally consider to have a negative impact on shareholder value. Therefore, while we will evaluate such plans on a case by case basis, we will generally oppose such plans.
PROXY SERVICE PROVIDER OVERSIGHT
We use Broadridge as our third-party service provider for voting proxies. Broadridge, as a RiverNorth service provider, is monitored by RiverNorth through its proxy service and undergoes an initial and annual due diligence review.
The initial due diligence of a third-party service provider for proxy services includes a review of the service provider’s compliance policies and procedures, records of any administrative proceedings against the firm, interview with key personnel, review the information technology and cybersecurity controls in place to protect vital data and discussions with other clients of the service provider.
For annual due diligence, RiverNorth requires its third-party service provider for proxy services to complete a Due Diligence Questionnaire (DDQ). As with the initial due diligence, the DDQ will cover the service provider’s compliance policies and procedures, records of any administrative proceedings against the firm and information technology and cybersecurity controls in place to protect vital data. It will also include an evaluation of any material changes in services or operations of the third-party service provider for proxy services.
CLIENT INFORMATION
A copy of these Proxy Voting Policies and Procedures is available to our clients, without charge, upon request, by calling 1-800-646-0148. We will send a copy of these Proxy Voting Policies and Procedures within three business days of receipt of a request, by first-class mail or other means designed to ensure equally prompt delivery. In addition, we will provide each client, without charge, upon request, information regarding the proxy votes cast by us with regard to the client’s securities.
TESTING PROCEDURES
On a monthly basis, the Chief Compliance Officer or his designee shall obtain periodic affirmations from employees responsible for voting proxies that all outstanding proxies for the prior month have been voted. On a periodic basis, the Chief Compliance Officer or his designee shall review a sample of all proxies for compliance with these procedures.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
(a) | (1) The following table provides brief biographical information about the members of First Trust Capital Management L.P. (the “Investment Manager”) and Angel Oak Capital Advisors, LLC, Palmer Square Capital Management LLC and RiverNorth Capital Management, LLC, (the “Sub-Advisers”), who are primarily responsible for the day-to-day portfolio management of First Trust Alternative Opportunities Fund as of the date of the filing of this report: |
Name of Portfolio Management Team Member | Title | Length of Time of Service to the Fund | Business Experience During the Past 5 Years | Role of Portfolio Management Team Member |
Michael Peck | Chief Executive Officer & Co-Chief Investment Officer | Since Inception | Chief Executive Officer and Co-CIO, First Trust Capital Management L.P. (formerly, Vivaldi Asset Management, LLC) (2012 - Present); President and Co-CIO, Vivaldi Capital Management LP (formerly, Vivaldi Capital Management, LLC) (2012 – Present) | Portfolio Management |
Brian Murphy | Co-Chief Investment Officer | Since Inception | Co-Chief Investment Officer and Portfolio Manager, First Trust Capital Management L.P. (formerly, Vivaldi Asset Management, LLC) (2014 - Present), Portfolio Manager, Vivaldi Capital Management LP (formerly, Vivaldi Capital Management, LLC) (2014 – Present) | Portfolio Management |
Daniel Lancz | Portfolio Manager | Since Inception | Portfolio Manager, First Trust Capital Management L.P. (formerly, Vivaldi Asset Management, LLC) (2014 – Present); Portfolio Manager, Vivaldi Capital Management LP (formerly, Vivaldi Capital Management, LLC) (2014 – 2021) | Portfolio Management |
Sreeni Prabu | Managing Partner, Co-CEO, & Group Chief Investment Officer | 10/26/2017 | Managing Partner, Co-CEO, & Group Chief Investment Officer, Angel Oak Capital Advisors, LLC, 2009-present | Portfolio Management |
Sam Dunlap | Chief Investment Officer-Public Strategies | 10/26/2017 | Chief Investment Officer-Public Strategies, Angel Oak Capital Advisors, LLC, 2009-present | Portfolio Management |
Berkin Kologlu | Senior Portfolio Manager | 10/26/2017 | Senior Portfolio Manager, Angel Oak Capital Advisors, LLC, 2013-present | Portfolio Management |
Colin McBurnette | Senior Portfolio Manager | 10/26/2017 | Senior Portfolio Manager, Angel Oak Capital Advisors, LLC, 2012-present | Portfolio Management |
Angie Long | Chief Investment Officer | Since February 2023 | Chief Investment Officer, Palmer Square Capital Management LLC since 2011 | Portfolio Management |
Christopher Long | Chief Executive Officer | Since February 2023 | Chief Executive Officer, Palmer Square Capital Management LLC since 2009 | Portfolio Management |
Taylor Moore | Managing Director, Portfolio Manager, Head of Structured Credit Trading | Since February 2023 | Managing Director, Portfolio Manager, Head of Structured Credit Trading at Palmer Square Capital Management LLC since 2018, joined Palmer Square Capital Management LLC in 2013. | Portfolio Management |
Patrick Galley | Chief Executive Officer, Chief Investment Officer, Portfolio Manager | Since Inception | CIO/PM, RiverNorth Capital Management, LLC (2004- present). CEO, RiverNorth Capital Management, LLC (2020- present). | Portfolio Management |
Stephen O’Neill | Portfolio Manager | Since Inception | PM, RiverNorth Capital Management, LLC (2007- present). | Portfolio Management |
(a) | (2) The following table provides information about portfolios and accounts, other than First Trust Alternative Opportunities Fund, for which the members of the Investment Committee of the Investment Manager and Sub-Advisers are primarily responsible for the day-to-day portfolio management as of the end of the period covered by this report: |
Name of Portfolio Management Team Member | Number of Accounts and Total Value of Assets for Which Advisory Fee is Performance-Based: | Number of Other Accounts Managed and Total Value of Assets by Account Type for Which There is No Performance- Based Fee: | ||||
Name | Registered investment companies | Other pooled investment vehicles | Other accounts | Registered investment companies | Other pooled investment vehicles | Other accounts |
Michael Peck | 1 Account $4M | 3 Accounts $65M | 0 Accounts | 6 Accounts $197M | 2 Accounts $156M | 0 Accounts |
Brian Murphy | 1 Account $4M | 3 Accounts $65M | 0 Accounts | 6 Accounts $197M | 3 Accounts $223M | 0 Accounts |
Daniel Lancz | 0 Accounts | 1 Account $14M | 0 Accounts | 2 Accounts $2.5B | 0 Accounts | 0 Accounts |
Sreeni Prabu | 0 Accounts | 13 Accounts $1.8B | 0 Accounts | 6 Accounts $4.1B | 17 Accounts $2.3B | 0 Accounts |
Sam Dunlap | 0 Accounts | 0 Accounts | 0 Accounts | 9 Accounts $3.1B | 1 Account $140M | 16 Accounts $510M |
Berkin Kologlu | 0 Accounts | 1 Account $108M | 0 Accounts | 6 Accounts $3.1B | 2 Accounts $248M | 4 Accounts $366M |
Colin McBurnette | 0 Accounts | 1 Account $108M | 0 Accounts | 10 Accounts $3.8B | 3 Accounts $255M | 10 Accounts $84M |
Angie Long | 0 Accounts | 50 Accounts $21.3B | 0 Accounts | 4 Accounts $1.3B | 55 Accounts $23.5B | 59 Accounts $1.9B |
Christopher Long | 0 Accounts | 50 Accounts $21.3B | 0 Accounts | 4 Accounts $1.3B | 55 Accounts $23.5B | 85 Accounts $1.9B |
Taylor Moore | 0 Accounts | 0 Accounts | 0 Accounts | 2 Accounts $280M | 0 Accounts | 0 Accounts |
Patrick Galley | 0 Accounts | 4 Accounts $954M | 2 Accounts $38M | 13 Accounts $4.1B | 0 Accounts | 2 Accounts $37M |
Stephen O’Neill | 0 Accounts | 4 Accounts $954M | 2 Accounts $38M | 11 Accounts $4.1B | 0 Accounts | 2 Accounts $37M |
Conflicts of Interest
The Investment Manager, Sub-Advisers and Portfolio Managers may manage multiple funds and/or other accounts, and as a result may be presented with one or more of the following actual or potential conflicts:
The management of multiple funds and/or other accounts may result in the Investment Manager, a Sub-Adviser or Portfolio Manager devoting unequal time and attention to the management of each fund and/or other account. The Investment Manager seeks to manage such competing interests for the time and attention of a Portfolio Manager by having the Portfolio Manager focus on a particular investment discipline. Most other accounts managed by a Portfolio Manager are managed using the same investment models that are used in connection with the management of the Fund.
If the Investment Manager, a Sub-Adviser or Portfolio Manager identifies a limited investment opportunity which may be suitable for more than one fund or other account, a fund may not be able to take full advantage of that opportunity due to an allocation of filled purchase or sale orders across all eligible funds and other accounts. To deal with these situations, the Investment Manager and Sub-Advisers have adopted procedures for allocating portfolio transactions across multiple accounts.
The Investment Manager and Sub-Advisers have adopted certain compliance procedures which are designed to address these types of conflicts. However, there is no guarantee that such procedures will detect each and every situation in which a conflict arises.
(a) | (3) The below information is provided as of March 31, 2023.
Mr. Peck and Mr. Murphy receive base salaries and bonuses, neither of which is based on performance, and are eligible to avail themselves of life insurance, medical and dental benefits offered to all First Trust Capital Management L.P. employees and to participate in First Trust Capital Management L.P.’s 401(k) plan. In addition, they are members of VFT Holdings LP and receive compensation based on the overall profitability of the firm and its affiliates. Mr. Lancz receives a fixed salary and discretionary bonus, based on individual and firm level performance. In addition, he owns interests in First Trust Capital Management L.P. and receives compensation based on the overall profitability of the firm. He also participates in a 401(k) program and receives medical/dental insurance benefits on the same basis as other employees of First Trust Capital Management L.P.
A competitive base salary and a performance-based bonus (paid in April each year) structure are in place for all asset management team members of Angel Oak Capital Advisors, LLC. Portfolio managers, analysts, and other associates are paid a competitive base salary and discretionary bonus based on their fiduciary investment responsibilities, performance of the individual and firm. The discretionary bonus structure gives Angel Oak Capital Advisors, LLC the ability to remain competitive under current market conditions affecting compensation across the industry. The compensation structure of key investment professionals is structured to incent long-term client retention and client service. Employees are permitted to invest in Angel Oak Capital Advisors, LLC funds and have the ability to invest in the private funds at NAV without management fees or incentive fees.
The Portfolio Management team members from Palmer Square Capital Management LLC receive a fixed based salary and a discretionary bonus. Each Portfolio Management team member is an equity owner of the firm and shares in the firm’s profits. The Portfolio Management team members’ compensation arrangements are not determined on the basis of specific funds or accounts managed.
Mr. Galley’s and Mr. O’Neill’s total compensation includes a base salary fixed from year to year and a variable performance bonus consisting of cash incentives. The performance bonus reflects individual performance of the funds managed by the portfolio managers and the performance of RiverNorth Capital Management, LLC’s business as a whole. Mr. Galley and Mr. O’Neill also participate in a 401K program on the same basis as other officers of RiverNorth Capital Management, LLC. As equity owners of RiverNorth Capital Management, LLC, Mr. Galley and Mr. O’Neill also participate in the profits of the firm. |
(a) | (4) The following is listing of the dollar range of shares beneficially owned by each Portfolio Management Team Member as of the end of the period covered by this report: |
Name of Portfolio Management Team Member: | Dollar Range of Shares Beneficially Owned by Portfolio Management Team Member: |
Michael Peck | $0 - $10,000 |
Brian Murphy | $50,000 - $100,000 |
Daniel Lancz | None |
Sreeni Prabu | None |
Sam Dunlap | None |
Berkin Kologlu | None |
Colin McBurnette | None |
Angie Long | None |
Christopher Long | None |
Taylor Moore | None |
Patrick Galley | None |
Stephen O’Neill | None |
(b) | Not applicable. |
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
(a) | Not applicable. |
(b) | Not applicable. |
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, 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 (17CFR 229.407), or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
(a) | Not applicable. |
(b) | Not applicable. |
ITEM 13. EXHIBITS.
(a) | (1) Code of ethics or any amendments thereto, that is subject to disclosure required by item 2 is attached hereto. |
(a) | (2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a) | (3) Not applicable. |
(a) | (4) Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Alternative Opportunities Fund |
By (Signature and Title)* | /s/ Michael Peck | |
Michael Peck, President | ||
(Principal Executive Officer) |
Date: | June 9, 2023 |
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.
By (Signature and Title)* | /s/ Michael Peck | |
Michael Peck, President | ||
(Principal Executive Officer) |
Date: | June 9, 2023 |
By (Signature and Title)* | /s/ Chad Eisenberg | |
Chad Eisenberg, Treasurer | ||
(Principal Financial Officer) |
Date: | June 9, 2023 |
* Print the name and title of each signing officer under his or her signature.