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: September 30, 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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CONSOLIDATED SCHEDULE OF INVESTMENTS
As of September 30, 2023 (Unaudited)
| Principal Amount | | | | | | Value | | ||||||
| | | | ASSET-BACKED SECURITIES – 8.5% | | |||||||||
| | $ | 4,747,605 | | | | Banco Santander, S.A. 9.722%, 8/15/20372 | | | | $ | 5,019,141 | | |
| | | 1,495,957 | | | | Series 2021-1, Class CLN, 12.722% (3-Month Euribor+900 basis points), 8/15/20372 | | | | | 1,585,471 | | |
| | | 4,000,000 | | | | 3.723%, 5/2/20452 | | | | | 4,228,777 | | |
| | | 10,000,000 | | | | BNP Paribas S1 Mezzanine Debt 13.441%, 10/12/20322 | | | | | 10,571,942 | | |
| | | 12,000,000 | | | | Colossus 2023-2 F2 16.186%, 4/22/20332 | | | | | 14,641,289 | | |
| | | 16,000,000 | | | | Fondo de Titulizacion PYMES Magdalena 7 Series 7, Class NOTE, 13.955% (3-Month Euribor+1,000 basis points), 12/23/20422 | | | | | 16,915,107 | | |
| | | 7,500,000 | | | | Granville Ltd. Series 2023-1X, Class E2, 14.810% (SOFR Rate+975 basis points), 7/31/20312 | | | | | 7,500,000 | | |
| | | 37,093 | | | | Mosaic Solar Loan Trust Series 2019-1A, Class B, 0.000%, 12/21/20433,4 | | | | | 30,709 | | |
| | | 3,000,000 | | | | Nightingale Ltd. Series 2021-1LF, 14.927%, 4/1/20282 | | | | | 3,660,322 | | |
| | | 10,000,000 | | | | Santander Bank Auto Credit-Linked Notes Series Series 2023-A, Class F, 13.752%, 6/15/20333,4 | | | | | 9,982,950 | | |
| | | 3,000,000 | | | | Series 2023-A, Class G, 24.695%, 6/15/20333,4 | | | | | 2,998,500 | | |
| | | 14,000,000 | | | | St. Lawrence Corp. Series 2023-1X, Class MEZZ, 15.050% (SOFR Rate+975 basis points), 5/25/20332 | | | | | 14,000,000 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost $92,091,928) | | | | | 91,134,208 | | |
| | | | | | | BANK LOANS – 9.3% | | ||||||
| | | 2,610,508 | | | | Advantage Capital Holdings, LLC 5.000% Cash, 8.000% PIK, 4/14/20271,5 | | | | | 2,519,140 | | |
| | | 1,229 | | | | 12.500% PIK, 4/14/20271,5 | | | | | 4,643,230 | | |
| | | 299,436 | | | | BJ Services 11.830%, 12/1/20231 | | | | | 275,481 | | |
| | | 7,000,000 | | | | Black Rifle Coffee Company, LLC 13.200%, 12/31/20271 | | | | | 6,930,000 | | |
| | | 1,828,590 | | | | Challenge Manufacturing Company, LLC 15.968%, 12/18/20251 | | | | | 1,773,732 | | |
| | | 7,500,000 | | | | Cherco, LLC 16.739%, 9/1/20251 | | | | | 7,387,500 | | |
| | | 19,490,075 | | | | Florida Marine 14.640%, 9/1/20251 | | | | | 19,684,976 | | |
| | | 3,500,000 | | | | GH Group, Inc. 16.500%, 12/10/20261 | | | | | 3,307,500 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
| Principal Amount | | | | | | Value | | ||||||
| | | | | | | BANK LOANS (Continued) | | ||||||
| | $ | 5,459,814 | | | | IFit, Inc. 16.634%, 2/24/20271 | | | | $ | 5,159,525 | | |
| | | 6,198,196 | | | | Lucky Bucks Holdings, LLC 12.500%, 5/29/20281 | | | | | — | | |
| | | 9,446,846 | | | | Nova Compression, LLC 11.627%, 9/1/20251 | | | | | 9,730,251 | | |
| | | 236,284 | | | | Premier Brands Group Holdings, LLC 9.116%, 3/20/20241 | | | | | 230,377 | | |
| | | 10,267,130 | | | | Shryne Group, Inc. 16.500%, 5/26/20261 | | | | | 10,267,130 | | |
| | | 15,960,000 | | | | Steward Health Care System, LLC 16.182%, 12/31/20271 | | | | | 15,441,300 | | |
| | | 9,166,415 | | | | Stronghold Digital Mining, Inc. 15.318%, 11/16/20251 | | | | | 8,845,591 | | |
| | | 1,351,327 | | | | Wellbore Integrity Solutions, LLC 12.276%, 12/31/20241 | | | | | 1,351,327 | | |
| | | 2,004,095 | | | | 18.955%, 12/31/20241 | | | | | 1,994,074 | | |
| | | | | | | TOTAL BANK LOANS (Cost $104,617,569) | | | | | 99,541,134 | | |
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| Number of Shares | | | | | | | | | | | |||
| | | | CLOSED-END FUNDS – 18.9% | | | | | | | | |||
| | | 6,789 | | | | Apollo Diversified Credit Fund – Class I | | | | | 146,570 | | |
| | | 567,120 | | | | BC Partners Lending Corp.6 | | | | | 12,470,961 | | |
| | | 2,556,984 | | | | Cliffwater Corporate Lending Fund – Class I | | | | | 27,615,428 | | |
| | | 4,998,945 | | | | Cliffwater Enhanced Lending Fund – Class I | | | | | 54,888,412 | | |
| | | 26,181 | | | | Invesco Dynamic Credit Opportunities Fund – Class AX | | | | | 295,062 | | |
| | | 695,241 | | | | Opportunistic Credit Interval Fund – Class I6 | | | | | 8,224,702 | | |
| | | 762,871 | | | | Palmer Square Capital BDC, Inc.6 | | | | | 12,938,290 | | |
| | | 697,899 | | | | Palmer Square Opportunistic Income Fund6 | | | | | 12,052,726 | | |
| | | 2,900,994 | | | | Pender Real Estate Credit Fund – Class I6 | | | | | 29,125,984 | | |
| | | 1,300,841 | | | | Pomona Investment Fund LP | | | | | 22,737,271 | | |
| | | 464,554 | | | | StepStone Private Markets – Class I* | | | | | 21,926,937 | | |
| | | | | | | TOTAL CLOSED-END FUNDS (Cost $189,874,728) | | | | | 202,422,343 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
| Principal Amount | | | | | | Value | | ||||||
| | | | COLLATERALIZED LOAN OBLIGATIONS – 20.4% | | |||||||||
| | $ | 815,000 | | | | AIMCO CLO Series 2017-AA, Class DR, 8.738% (3-Month Term SOFR+341 basis points), 4/20/20344,7 | | | | $ | 802,684 | | |
| | | 1,000,000 | | | | ALM Ltd. Series 2020-1A, Class D, 11.570% (3-Month Term SOFR+626 basis points), 10/15/20294,7 | | | | | 965,555 | | |
| | | 500,000 | | | | AMMC CLO XXVI Ltd. Series 2023-26A, Class E, 13.423% (3-Month Term SOFR+828 basis points), 4/15/20364,7 | | | | | 504,938 | | |
| | | 5,000,000 | | | | Antares Loan Funding – Class C 12.326%, 3/1/2026 | | | | | 5,000,000 | | |
| | | 7,000,000 | | | | Antares Loan Funding CLO 0.000%, 2/17/20321 | | | | | 7,673,035 | | |
| | | 1,000,000 | | | | Apidos CLO Ltd. Series 2018-29A, Class D, 10.863% (3-Month Term SOFR+551 basis points), 7/25/20304,7 | | | | | 942,656 | | |
| | | 1,000,000 | | | | Series 2017-28A, Class C, 8.088% (3-Month Term SOFR+276 basis points), 1/20/20314,7 | | | | | 963,843 | | |
| | | 500,000 | | | | Series 2015-20A, Class DR, 11.270% (3-Month Term SOFR+596 basis points), 7/16/20314,7 | | | | | 466,104 | | |
| | | 1,000,000 | | | | Series 2023-44A, Class E, 13.307% (3-Month Term SOFR+825 basis points), 4/26/20354,7 | | | | | 1,003,346 | | |
| | | 1,000,000 | | | | Series 2023-45A, Class E, 13.564% (3-Month Term SOFR+840 basis points), 4/26/20364,7 | | | | | 1,011,841 | | |
| | | 1,314,428 | | | | Ares Capital Corp. 0.000%, 7/11/20331 | | | | | 1,326,889 | | |
| | | 850,000 | | | | Ares L CLO Ltd. Series 2018-50A, Class D, 8.470% (3-Month Term SOFR+316 basis points), 1/15/20324,7 | | | | | 826,040 | | |
| | | 1,000,000 | | | | Atrium XIV, LLC Series 14A, Class D, 8.520% (3-Month Term SOFR+321 basis points), 8/23/20304,7 | | | | | 990,193 | | |
| | | 1,000,000 | | | | Bain Capital Credit CLO Ltd. Series 2018-1A, Class D, 8.307% (3-Month Term SOFR+296 basis points), 4/23/20314,7 | | | | | 927,120 | | |
| | | 750,000 | | | | Barings CLO Ltd. Series 2017-1A, Class E, 11.572% (3-Month Term SOFR+626 basis points), 7/18/20294,7 | | | | | 724,612 | | |
| | | 1,500,000 | | | | Bean Creek CLO Ltd. Series 2015-1A, Class DR, 8.338% (3-Month Term SOFR+301 basis points), 4/20/20314,7 | | | | | 1,446,070 | | |
| | | 1,500,000 | | | | Benefit Street Partners CLO V-B Ltd. Series 2018-5BA, Class C, 8.518% (3-Month Term SOFR+319 basis points), 4/20/20314,7 | | | | | 1,451,055 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
| Principal Amount | | | | | | Value | | ||||||
| | | | COLLATERALIZED LOAN OBLIGATIONS (Continued) | | |||||||||
| | $ | 1,250,000 | | | | Benefit Street Partners CLO XVII Ltd. Series 2019-17A, Class DR, 8.920% (3-Month Term SOFR+361 basis points), 7/15/20324,7 | | | | $ | 1,246,685 | | |
| | | 1,000,000 | | | | Benefit Street Partners CLO XXIII Ltd. Series 2021-23A, Class E, 12.423% (3-Month Term SOFR+707 basis points), 4/25/20344,7 | | | | | 982,711 | | |
| | | 4,000,000 | | | | BFNS, LLC Series 2022-1A, Class C, 7.000%, 7/10/20353,4,7 | | | | | 3,385,675 | | |
| | | 750,000 | | | | Bryant Park Funding Ltd. Series 2023-21A, Class E, 0.000% (3-Month Term SOFR+847 basis points), 10/18/20361,4,7 | | | | | 727,500 | | |
| | | 1,000,000 | | | | Carbone CLO Ltd. Series 2017-1A, Class C, 8.188% (3-Month Term SOFR+286 basis points), 1/20/20314,7 | | | | | 966,297 | | |
| | | 1,800,000 | | | | Carlyle Global Market Strategies CLO Ltd. Series 2014-4RA, Class C, 8.470% (3-Month Term SOFR+316 basis points), 7/15/20304,7 | | | | | 1,669,383 | | |
| | | 1,000,000 | | | | Carlyle U.S. CLO Ltd. Series 2017-2A, Class C, 9.288% (3-Month Term SOFR+396 basis points), 7/20/20314,7 | | | | | 948,198 | | |
| | | 520,000 | | | | Catamaran CLO Ltd. Series 2018-1A, Class D, 9.263% (3-Month Term SOFR+391 basis points), 10/25/20314,7 | | | | | 501,617 | | |
| | | 1,100,000 | | | | Catskill Park CLO Ltd. Series 2017-1A, Class D, 11.588% (3-Month Term SOFR+626 basis points), 4/20/20294,7 | | | | | 970,416 | | |
| | | 1,000,000 | | | | CIFC Funding Ltd. Series 2018-2A, Class D, 11.438% (3-Month Term SOFR+611 basis points), 4/20/20313,4,7,8 | | | | | 948,634 | | |
| | | 600,000 | | | | Series 2016-1A, Class D2RR, 9.845% (3-Month Term SOFR+451 basis points), 10/21/20314,7 | | | | | 600,023 | | |
| | | 1,000,000 | | | | Series 2014-3A, Class DR2, 9.007% (3-Month Term SOFR+366 basis points), 10/22/20314,7 | | | | | 974,742 | | |
| | | 750,000 | | | | Deer Creek CLO Ltd. Series 2017-1A, Class E, 11.938% (3-Month Term SOFR+661 basis points), 10/20/20304,7 | | | | | 750,589 | | |
| | | 1,000,000 | | | | Dryden 106 CLO Ltd. Series 2022-106A, Class D, 11.008% (3-Month Term SOFR+570 basis points), 10/15/20353,4,7,8 | | | | | 1,020,750 | | |
| | | 750,000 | | | | Dryden 30 Senior Loan Fund Series 2013-30A, Class DR, 8.226% (3-Month Term SOFR+286 basis points), 11/15/20283,4,7,8 | | | | | 726,972 | | |
| | | 1,000,000 | | | | Dryden 36 Senior Loan Fund Series 2014-36A, Class DR3, 9.260% (3-Month Term SOFR+395 basis points), 4/15/20294,7 | | | | | 990,288 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
| Principal Amount | | | | | | Value | | ||||||
| | | | COLLATERALIZED LOAN OBLIGATIONS (Continued) | | |||||||||
| | $ | 1,270,000 | | | | Dryden 49 Senior Loan Fund Series 2017-49A, Class DR, 8.972% (3-Month Term SOFR+366 basis points), 7/18/20304,7 | | | | $ | 1,238,349 | | |
| | | 1,500,000 | | | | Dryden XXVI Senior Loan Fund Series 2013-26A, Class DR, 8.270% (3-Month Term SOFR+296 basis points), 4/15/20294,7 | | | | | 1,458,917 | | |
| | | 750,000 | | | | Flatiron CLO, LLC Series 2023-1A, Class D, 10.293% (3-Month Term SOFR+525 basis points), 4/17/20364,7 | | | | | 767,773 | | |
| | | 1,000,000 | | | | Galaxy XXI CLO Ltd. Series 2015-21A, Class DR, 8.238% (3-Month Term SOFR+291 basis points), 4/20/20314,7 | | | | | 978,870 | | |
| | | 750,000 | | | | Galaxy XXVII CLO Ltd. Series 2018-27A, Class E, 11.413% (3-Month Term SOFR+604 basis points), 5/16/20314,7 | | | | | 702,632 | | |
| | | 1,000,000 | | | | Generate CLO Ltd. Series 2A, Class DR, 8.207% (3-Month Term SOFR+286 basis points), 1/22/20314,7 | | | | | 979,559 | | |
| | | 500,000 | | | | Generate VI CLO Ltd. Series 6A, Class ER, 12.407% (3-Month Term SOFR+706 basis points), 1/22/20354,7 | | | | | 496,509 | | |
| | | 1,000,000 | | | | Generate XII CLO Ltd. Series 2023-12A, Class E, 13.739% (3-Month Term SOFR+840 basis points), 7/20/20363,4,7,8 | | | | | 1,003,075 | | |
| | | 1,500,000 | | | | Harbor Park CLO Ltd. Series 2018-1A, Class D, 8.488% (3-Month Term SOFR+316 basis points), 1/20/20314,7 | | | | | 1,478,253 | | |
| | | 1,000,000 | | | | HPS Loan Management Ltd. Series 8A-2016, Class DR, 8.488% (3-Month Term SOFR+316 basis points), 7/20/20303,4,7,8 | | | | | 949,777 | | |
| | | 1,000,000 | | | | Series 2023-18A, Class E, 14.232% (3-Month Term SOFR+897 basis points), 7/20/20364,7 | | | | | 1,017,443 | | |
| | | 1,000,000 | | | | Invesco U.S. CLO Ltd. Series 2023-3A, Class E, 13.579% (3-Month Term SOFR+816 basis points), 7/15/20363,4,7,8 | | | | | 1,015,896 | | |
| | | 1,000,000 | | | | Madison Park Funding Ltd. Series 2023-63A, Class E, 13.652% (3-Month Term SOFR+857 basis points), 4/21/20354,7 | | | | | 1,017,930 | | |
| | | 1,000,000 | | | | Magnetite XXXV Ltd. Series 2022-35A, Class E, 13.251% (3-Month Term SOFR+790 basis points), 10/25/20354,7 | | | | | 1,008,520 | | |
| | | 750,000 | | | | Morgan Stanley Eaton Vance CLO Ltd. Series 2023-19A, Class E, 14.156% (3-Month Term SOFR+890 basis points), 7/20/20364,7 | | | | | 767,997 | | |
| | | 16,084,782 | | | | Mount Logan Funding LP Series 2018-1A, Class SUBR, 0.000%, 1/22/20333,4,6,8,9 | | | | | 13,170,499 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
| Principal Amount | | | | | | Value | | ||||||
| | | | COLLATERALIZED LOAN OBLIGATIONS (Continued) | | |||||||||
| | $ | 750,000 | | | | Mountain View CLO IX Ltd. Series 2015-9A, Class CR, 8.690% (3-Month Term SOFR+338 basis points), 7/15/20314,7 | | | | $ | 676,886 | | |
| | | 1,000,000 | | | | Mountain View CLO XV Ltd. Series 2019-2A, Class D, 9.940% (3-Month Term SOFR+463 basis points), 1/15/20334,7 | | | | | 975,295 | | |
| | | 500,000 | | | | Neuberger Berman Loan Advisers CLO Ltd. Series 2018-27A, Class D, 8.170% (3-Month Term SOFR+286 basis points), 1/15/20304,7 | | | | | 482,305 | | |
| | | 500,000 | | | | New Mountain CLO 4 Ltd. Series CLO-4A, Class D, 10.387% (3-Month Term SOFR+550 basis points), 4/20/20364,7 | | | | | 509,059 | | |
| | | 750,000 | | | | Series CLO-4A, Class E, 13.037% (3-Month Term SOFR+815 basis points), 4/20/20364,7 | | | | | 753,768 | | |
| | | 1,000,000 | | | | Newark BSL CLO 2 Ltd. Series 2017-1A, Class CR, 8.763% (3-Month Term SOFR+341 basis points), 7/25/20303,4,7,8 | | | | | 966,128 | | |
| | | 750,000 | | | | OCP CLO Ltd. Series 2016-11A, Class DR, 12.112% (3-Month Term SOFR+676 basis points), 10/26/20304,7 | | | | | 722,615 | | |
| | | 700,000 | | | | Series 2014-5A, Class DR, 11.312% (3-Month Term SOFR+596 basis points), 4/26/20314,7 | | | | | 603,647 | | |
| | | 1,000,000 | | | | Series 2020-8RA, Class C, 9.402% (3-Month Term SOFR+401 basis points), 1/17/20324,7 | | | | | 987,569 | | |
| | | 750,000 | | | | Octagon 60 Ltd. Series 2022-1A, Class D1, 10.326% (3-Month Term SOFR+500 basis points), 10/20/20354,7 | | | | | 751,835 | | |
| | | 750,000 | | | | Octagon 70 Alto Ltd. Series 2023-1A, Class E, 12.065% (3-Month Term SOFR+666 basis points), 10/20/20361,4,7 | | | | | 712,500 | | |
| | | 1,000,000 | | | | Octagon Investment Partners XIV Ltd. Series 2012-1A, Class CRR, 9.470% (3-Month Term SOFR+416 basis points), 7/15/20294,7 | | | | | 964,454 | | |
| | | 750,000 | | | | Octagon Investment Partners XVII Ltd. Series 2013-1A, Class DR2, 8.113% (3-Month Term SOFR+276 basis points), 1/25/20314,7 | | | | | 704,780 | | |
| | | 1,000,000 | | | | Octagon Investment Partners XXII Ltd. Series 2014-1A, Class DRR, 8.357% (3-Month Term SOFR+301 basis points), 1/22/20304,7 | | | | | 960,537 | | |
| | | 800,000 | | | | OSD CLO Ltd. Series 2023-27A, Class E, 13.303% (3-Month Term SOFR+825 basis points), 4/16/20353,4,7,8 | | | | | 800,161 | | |
| | | 1,000,000 | | | | OZLM VI Ltd. Series 2014-6A, Class CS, 8.700% (3-Month Term SOFR+339 basis points), 4/17/20314,7 | | | | | 959,768 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
| Principal Amount | | | | | | Value | | ||||||
| | | | COLLATERALIZED LOAN OBLIGATIONS (Continued) | | |||||||||
| | $ | 1,500,000 | | | | OZLM XXI Ltd. Series 2017-21A, Class C, 8.258% (3-Month Term SOFR+293 basis points), 1/20/20314,7 | | | | $ | 1,411,602 | | |
| | | 2,975,000 | | | | Palmer Square European Loan Funding Series 2022-1X, Class SUB, 0.000%, 10/15/20314,6,8 | | | | | 2,070,349 | | |
| | | 4,000,000 | | | | Series 2022-2X, Class SUB, 0.000%, 10/15/20314,6,8 | | | | | 3,011,520 | | |
| | | 4,000,000 | | | | Series 2022-3X, Class SUB, 0.000%, 4/12/20324,6,8 | | | | | 4,247,229 | | |
| | | 7,500,000 | | | | Series 2022-3X, Class E, 10.941% (3-Month Euribor+728 basis points), 4/12/20324,6,7 | | | | | 7,986,290 | | |
| | | 7,100,000 | | | | Series 2023-1A, Class SUB, 0.000%, 11/15/20323,4,6,8 | | | | | 6,846,355 | | |
| | | 3,700,000 | | | | Series 2023-1X, Class E, 10.311% (3-Month Euribor+653 basis points), 11/15/20324,6,7,8 | | | | | 3,804,161 | | |
| | | 8,325,000 | | | | Series 2023-2X, Class SUB, 0.000%, 1/15/20334,6,8 | | | | | 8,848,097 | | |
| | | 2,500,000 | | | | Series 2021-2X, Class SUB, 0.000%, 4/15/20354,6,8 | | | | | 1,890,534 | | |
| | | 10,000,000 | | | | Series 2023-1X, Class SUB, 0.000%, 7/15/20364,6,8 | | | | | 10,043,345 | | |
| | | 1,250,000 | | | | Palmer Square Loan Funding Ltd. Series 2020-1A, Class SUB, 0.000%, 2/20/20283,4,6,8 | | | | | 993 | | |
| | | 2,250,000 | | | | Series 2020-4A, Class SUB, 0.000%, 11/25/20283,4,6,8 | | | | | 1,618,066 | | |
| | | 1,250,000 | | | | Series 2021-1A, Class SUB, 0.000%, 4/20/20293,4,6,8 | | | | | 883,115 | | |
| | | 2,150,000 | | | | Series 2021-2A, Class SUB, 0.000%, 5/20/20293,4,6,8 | | | | | 1,295,615 | | |
| | | 1,500,000 | | | | Series 2021-3A, Class SUB, 0.000%, 7/20/20293,4,6,8 | | | | | 972,195 | | |
| | | 3,100,000 | | | | Series 2021-4A, Class SUB, 0.000%, 10/15/20293,4,6,8 | | | | | 2,136,980 | | |
| | | 5,235,000 | | | | Series 2022-1A, Class SUB, 0.000%, 4/15/20303,4,6,8 | | | | | 4,163,811 | | |
| | | 6,000,000 | | | | Series 2022-2A, Class SUB, 0.000%, 10/15/20303,4,6,8 | | | | | 4,735,782 | | |
| | | 6,250,000 | | | | Series 2022-3A, Class SUB, 0.000%, 4/15/20313,4,6,8 | | | | | 6,316,550 | | |
| | | 4,675,000 | | | | Series 2023-1A, Class SUB, 0.000%, 7/20/20313,4,6,8 | | | | | 5,034,811 | | |
| | | 3,875,000 | | | | Series 2023-1A, Class D, 13.255% (3-Month Term SOFR+800 basis points), 7/20/20313,4,6,7,8 | | | | | 3,882,989 | | |
| | | 8,050,000 | | | | Series 2022-4A, Class SUB, 0.000%, 7/24/20313,4,6,8 | | | | | 7,232,886 | | |
| | | 3,700,000 | | | | Series 2022-4A, Class D, 12.636% (3-Month Term SOFR+729 basis points), 7/24/20313,4,6,7,8 | | | | | 3,672,359 | | |
| | | 12,750,000 | | | | Series 2023-4A, Class SUB, 0.000%, 10/20/20333,4,6,8 | | | | | 12,750,000 | | |
| | | 4,000,000 | | | | Series 2023-1A, Class SUB, 0.000%, 1/20/20363,4,6,8 | | | | | 3,943,673 | | |
| | | 9,500,000 | | | | Series 2023-2A, Class SUB, 0.000%, 4/20/20363,4,6,8 | | | | | 9,519,503 | | |
| | | 1,000,000 | | | | Regatta XV Funding Ltd. Series 2018-4A, Class C, 8.913% (3-Month Term SOFR+356 basis points), 10/25/20314,7 | | | | | 985,508 | | |
| | | 1,000,000 | | | | Regatta XXV Funding Ltd. Series 2023-1A, Class E, 13.664% (3-Month Term SOFR+841 basis points), 7/15/20363,4,7,8 | | | | | 1,012,370 | | |
| | | 750,000 | | | | RR 4 Ltd. Series 2018-4A, Class C, 8.520% (3-Month Term SOFR+321 basis points), 4/15/20304,7 | | | | | 725,505 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
| Principal Amount | | | | | | Value | | ||||||
| | | | COLLATERALIZED LOAN OBLIGATIONS (Continued) | | |||||||||
| | $ | 750,000 | | | | RR 5 Ltd. Series 2018-5A, Class C, 8.670% (3-Month Term SOFR+336 basis points), 10/15/20314,7 | | | | $ | 721,732 | | |
| | | 2,321,304 | | | | Silver Point Loan Funding, LLC 0.000%, 10/20/20331 | | | | | 2,402,835 | | |
| | | 825,000 | | | | Shackleton CLO Ltd. Series 2015-7RA, Class D, 8.900% (3-Month Term SOFR+359 basis points), 7/15/20314,7 | | | | | 782,688 | | |
| | | | | | | Sound Point CLO XVII Ltd. | | | | | | | |
| | | 1,500,000 | | | | Series 2017-3A, Class C, 8.588% (3-Month Term SOFR+326 basis points), 10/20/20303,4,7,8 | | | | | 1,333,226 | | |
| | | 625,000 | | | | Symphony CLO XIX Ltd. Series 2018-19A, Class D, 8.120% (3-Month Term SOFR+281 basis points), 4/16/20314,7 | | | | | 588,512 | | |
| | | 1,750,000 | | | | Texas Debt Capital CLO Ltd. Series 2023-2A, Class E, 12.826% (3-Month Term SOFR+766 basis points), 7/21/20354,7 | | | | | 1,760,061 | | |
| | | 750,000 | | | | Trinitas CLO XXII Ltd. Series 2023-22A, Class D, 11.263% (3-Month Term SOFR+619 basis points), 7/20/20364,7 | | | | | 767,473 | | |
| | | 1,250,000 | | | | Voya CLO Ltd. Series 2014-1A, Class CR2, 8.372% (3-Month Term SOFR+306 basis points), 4/18/20313,4,7,8 | | | | | 1,077,541 | | |
| | | 1,000,000 | | | | Series 2018-2A, Class D, 8.320% (3-Month Term SOFR+301 basis points), 7/15/20314,7 | | | | | 929,181 | | |
| | | 1,250,500 | | | | Series 2019-2A, Class D, 9.288% (3-Month Term SOFR+396 basis points), 7/20/20323,4,7,8 | | | | | 1,194,254 | | |
| | | | | | | TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $222,953,691) | | | | | 217,619,463 | | |
| | | | | | | COLLATERALIZED MORTGAGE OBLIGATIONS – 0.0% | | ||||||
| | | 539,620 | | | | CHL Mortgage Pass-Through Trust Series 2004-29, Class 1X, 0.000%, 2/25/20354,8,10 | | | | | 6 | | |
| | | 9,666 | | | | Connecticut Avenue Securities Trust Series 2019-R01, Class 2M2, 7.879% (30-Day SOFR Average+256 basis points), 7/25/20313,4,7 | | | | | 9,704 | | |
| | | 314 | | | | Series 2019-R03, Class 1M2, 7.579% (30-Day SOFR Average+226 basis points), 9/25/20313,4,7 | | | | | 314 | | |
| | | 340,476 | | | | DSLA Mortgage Loan Trust Series 2004-AR2, Class X2, 0.000%, 11/19/20444,8,10 | | | | | 429 | | |
| | | 300,000 | | | | GS Mortgage Securities Corp. Trust Series 2018-TWR, Class G, 9.555% (1-Month Term SOFR+422 basis points), 7/15/20313,7 | | | | | 25,988 | | |
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $319,964) | | | | | 36,441 | | |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
| Number of Shares | | | | | | Value | | ||||||
| | | | COMMON STOCKS – 1.8% | | | ||||||||
| | | | | | | APPLIANCES – 0.0% | | ||||||
| | | 3,929 | | | | iRobot Corp.*,9 | | | | $ | 148,909 | | |
| | | | | | | AUTO-CARS/LIGHT TRUCKS – 0.0% | | | | | | | |
| | | 1 | | | | Chijet Motor Co., Inc.*,11 | | | | | 1 | | |
| | | | | | | BROADCAST SERVICES/PROGRAMS – 0.0% | | | | | | | |
| | | 9,923 | | | | TEGNA, Inc.9 | | | | | 144,578 | | |
| | | | | | | COMMERCIAL BANKS-EASTERN US – 0.0% | | | | | | | |
| | | 16,773 | | | | Lakeland Bancorp, Inc.9 | | | | | 211,676 | | |
| | | | | | | E-COMMERCE/SERVICE – 0.0% | | | | | | | |
| | | —12 | | | | SunCar Technology Group, Inc. – Class A*,11 | | | | | 2 | | |
| | | | | | | ENTERPRISE SOFTWARE/SERVICE – 0.1% | | | | | | | |
| | | 5,647 | | | | New Relic, Inc.* | | | | | 483,496 | | |
| | | | | | | MACHINERY-PUMPS – 0.0% | | | | | | | |
| | | 6,667 | | | | CIRCOR International, Inc.* | | | | | 371,685 | | |
| | | | | | | MEDICAL-BIOMEDICAL/GENERICS – 0.0% | | | | | | | |
| | | 3,261 | | | | Horizon Therapeutics PLC*,9,11 | | | | | 377,265 | | |
| | | | | | | MEDICAL-OUTPATIENT/HOME MEDICAL – 0.1% | | | | | | | |
| | | 5,880 | | | | Amedisys, Inc.*,9 | | | | | 549,192 | | |
| | | | | | | OIL COMP-EXPLORATION & PRODUCTION – 0.1% | | | | | | | |
| | | 4,105 | | | | Denbury, Inc.* | | | | | 402,331 | | |
| | | | | | | OIL-FIELD SERVICES – 0.0% | | | | | | | |
| | | 1 | | | | Drilling Tools International Corp.* | | | | | 3 | | |
| | | | | | | PIPELINES – 0.0% | | | | | | | |
| | | —12 | | | | ONEOK, Inc. | | | | | 33 | | |
| | | | SPECIFIED PURPOSE ACQUISITIONS – 1.5% | | | | | | | | |||
| | | 1,456 | | | | Ace Global Business Acquisition Ltd.*,11 | | | | | 16,919 | | |
| | | 1,774 | | | | Achari Ventures Holdings Corp. I* | | | | | 18,929 | | |
| | | 42,500 | | | | Acies Acquisition Corp. – Class A* | | | | | 467,075 | | |
| | | 18,482 | | | | Alchemy Investments Acquisition Corp. I – Class A*,11 | | | | | 190,734 | | |
| | | 1,489 | | | | Alpha Star Acquisition Corp.*,11 | | | | | 16,215 | | |
| | | 19,429 | | | | Alphatime Acquisition Corp.*,11 | | | | | 204,587 | | |
| | | 24,475 | | | | AlphaVest Acquisition Corp.*,11 | | | | | 258,701 | | |
| | | 40,000 | | | | Apollo Strategic Growth Capital II – Class A*,11 | | | | | 420,400 | | |
| | | 19,609 | | | | Aquaron Acquisition Corp.* | | | | | 207,463 | | |
| | | 86,880 | | | | Ares Acquisition Corp. – Class A*,11 | | | | | 934,829 | | |
| | | 42,210 | | | | Ares Acquisition Corp. II – Class A*,11 | | | | | 433,497 | | |
| | | 1,050 | | | | Arisz Acquisition Corp.* | | | | | 11,267 | | |
| | | 64,880 | | | | Atlantic Coastal Acquisition Corp. II – Class A* | | | | | 683,835 | | |
| | | 16,328 | | | | Bellevue Life Sciences Acquisition Corp.* | | | | | 169,811 | | |
| | | 35,000 | | | | Bowen Acquisition Corp.*,11 | | | | | 356,650 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
| Number of Shares | | | | | | Value | | ||||||
| | | | COMMON STOCKS (Continued) | | | ||||||||
| | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | ||||||||
| | | 42,480 | | | | CC Neuberger Principal Holdings III – Class A*,11 | | | | $ | 463,032 | | |
| | | 63,888 | | | | Churchill Capital Corp. V – Class A* | | | | | 664,435 | | |
| | | 50,000 | | | | Churchill Capital Corp. VI – Class A* | | | | | 522,500 | | |
| | | 45,000 | | | | Churchill Capital Corp. VII – Class A* | | | | | 470,250 | | |
| | | 1,764 | | | | Deep Medicine Acquisition Corp. – Class A* | | | | | 20,551 | | |
| | | 9,833 | | | | Denali Capital Acquisition Corp. – Class A*,11 | | | | | 107,376 | | |
| | | 31,924 | | | | Distoken Acquisition Corp.*,11 | | | | | 336,479 | | |
| | | 19,672 | | | | dMY Squared Technology Group, Inc. – Class A* | | | | | 205,574 | | |
| | | 23,028 | | | | ESH Acquisition Corp. – Class A* | | | | | 233,043 | | |
| | | 12,228 | | | | Everest Consolidator Acquisition Corp. – Class A* | | | | | 132,307 | | |
| | | 20,000 | | | | FutureTech II Acquisition Corp. – Class A* | | | | | 217,600 | | |
| | | 1,763 | | | | Globalink Investment, Inc.* | | | | | 18,952 | | |
| | | 23,908 | | | | Goldenstone Acquisition Ltd. | | | | | 255,337 | | |
| | | 32,787 | | | | Gores Holdings IX, Inc. – Class A* | | | | | 340,657 | | |
| | | 49,500 | | | | Hennessy Capital Investment Corp. VI – Class A* | | | | | 512,325 | | |
| | | 19,947 | | | | Horizon Space Acquisition I Corp.*,11 | | | | | 210,241 | | |
| | | 14,391 | | | | Hudson Acquisition I Corp.* | | | | | 154,559 | | |
| | | 61,243 | | | | InFinT Acquisition Corp.*,11 | | | | | 675,510 | | |
| | | 38,726 | | | | Inflection Point Acquisition Corp. II – Class A*,11 | | | | | 395,392 | | |
| | | 20,882 | | | | Innovative International Acquisition Corp. – Class A*,11 | | | | | 233,043 | | |
| | | 1,962 | | | | Integrated Rail and Resources Acquisition Corp. – Class A* | | | | | 21,347 | | |
| | | 2,354 | | | | Integrated Wellness Acquisition Corp. – Class A*,11 | | | | | 25,800 | | |
| | | 10,018 | | | | Israel Acquisitions Corp.*,11 | | | | | 105,690 | | |
| | | 1,748 | | | | Kairous Acquisition Corp. Ltd.*,11 | | | | | 19,700 | | |
| | | 55,746 | | | | Lakeshore Acquisition II Corp.*,11 | | | | | 604,844 | | |
| | | 584 | | | | Learn CW Investment Corp. – Class A*,11 | | | | | 6,196 | | |
| | | 25,305 | | | | Mars Acquisition Corp.*,11 | | | | | 265,956 | | |
| | | 2,256 | | | | Monterey Acquisition Corp.* | | | | | 25,245 | | |
| | | 45,622 | | | | Nabors Energy Transition Corp. II – Class A*,11 | | | | | 463,976 | | |
| | | 27,670 | | | | Newbury Street Acquisition Corp.* | | | | | 290,535 | | |
| | | 2,885 | | | | NKGen Biotech, Inc. | | | | | 29,167 | | |
| | | 2,282 | | | | Nocturne Acquisition Corp.*,11 | | | | | 25,946 | | |
| | | 2,885 | | | | OceanTech Acquisitions I Corp. – Class A* | | | | | 31,822 | | |
| | | 1,750 | | | | OPY Acquisition Corp. I – Class A* | | | | | 18,253 | | |
| | | 15,561 | | | | Papaya Growth Opportunity Corp. I – Class A* | | | | | 166,192 | | |
| | | 25,000 | | | | Pearl Holdings Acquisition Corp. – Class A*,11 | | | | | 268,000 | | |
| | | 18,409 | | | | Plutonian Acquisition Corp.* | | | | | 194,583 | | |
| | | 9,699 | | | | Pono Capital Three, Inc. – Class A*,11 | | | | | 102,324 | | |
| | | 1,896 | | | | Priveterra Acquisition Corp. – Class A* | | | | | 20,458 | | |
| | | 19,479 | | | | Qomolangma Acquisition Corp.* | | | | | 206,477 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
| Number of Shares | | | | | | Value | | ||||||
| | | | COMMON STOCKS (Continued) | | | ||||||||
| | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | ||||||||
| | | 20,023 | | | | Redwoods Acquisition Corp.* | | | | $ | 213,645 | | |
| | | 59,301 | | | | Revelstone Capital Acquisition Corp. – Class A* | | | | | 629,777 | | |
| | | 19,239 | | | | RF Acquisition Corp. – Class A* | | | | | 204,895 | | |
| | | 52,326 | | | | Screaming Eagle Acquisition Corp. – Class A*,11 | | | | | 547,330 | | |
| | | 30,622 | | | | Seaport Global Acquisition II Corp. – Class A* | | | | | 327,349 | | |
| | | 2,760 | | | | Sizzle Acquisition Corp.* | | | | | 29,974 | | |
| | | 888 | | | | SportsMap Tech Acquisition Corp.* | | | | | 9,484 | | |
| | | 15,965 | | | | TenX Keane Acquisition – Class A*,11 | | | | | 171,624 | | |
| | | 27,573 | | | | Trailblazer Merger Corp. I* | | | | | 284,829 | | |
| | | 2,396 | | | | Tristar Acquisition I Corp. – Class A*,11 | | | | | 25,614 | | |
| | | 3,680 | | | | Welsbach Tech Metals | | | | | 39,818 | | |
| | | | | | | | | | | | 15,936,925 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost $18,157,974) | | | | | 18,626,096 | | |
|
| Principal Amount | | | | | | | | | | | |||
| | | | CORPORATE BONDS – 2.4% | | |||||||||
| | | | | | | INVESTMENT COMPANIES – 2.4% | | | | | | | |
| | $ | 2,135,377 | | | | Blackstone Private Credit Fund 2.625%, 12/15/20264 | | | | | 1,839,486 | | |
| | | 490,000 | | | | 3.250%, 3/15/20274 | | | | | 425,925 | | |
| | | 3,000,000 | | | | Blue Owl Capital Corp. 3.750%, 7/22/20254,9 | | | | | 2,812,692 | | |
| | | 1,000,000 | | | | 3.400%, 7/15/20264 | | | | | 897,533 | | |
| | | 500,000 | | | | 2.875%, 6/11/20284 | | | | | 411,712 | | |
| | | 1,000,000 | | | | Blue Owl Capital Corp. II 4.625%, 11/26/20243,4 | | | | | 965,065 | | |
| | | 1,010,000 | | | | Blue Owl Capital Corp. III 3.125%, 4/13/20274 | | | | | 863,639 | | |
| | | 1,000,000 | | | | Blue Owl Credit Income Corp. 5.500%, 3/21/2025 | | | | | 967,506 | | |
| | | 158,000 | | | | 7.750%, 9/16/20274 | | | | | 156,870 | | |
| | | 2,000,000 | | | | 7.950%, 6/13/20283,4 | | | | | 1,984,360 | | |
| | | 2,250,000 | | | | Blue Owl Technology Finance Corp. 6.750%, 6/30/20253,4 | | | | | 2,182,502 | | |
| | | 500,000 | | | | 4.750%, 12/15/20253,4 | | | | | 462,902 | | |
| | | 40,000 | | | | Capital Southwest Corp. 3.375%, 10/1/20264 | | | | | 35,185 | | |
| | | 1,000,000 | | | | Franklin BSP Lending Corp. 4.850%, 12/15/20243 | | | | | 961,147 | | |
| | | 152,000 | | | | 3.250%, 3/30/20264 | | | | | 136,814 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
| Principal Amount | | | | | | Value | | ||||||
| | | | CORPORATE BONDS (Continued) | | |||||||||
| | | | | | | INVESTMENT COMPANIES (Continued) | | | | | | | |
| | $ | 600,000 | | | | FS KKR Capital Corp. 1.650%, 10/12/2024 | | | | $ | 570,286 | | |
| | | 1,500,000 | | | | 4.125%, 2/1/20254 | | | | | 1,441,962 | | |
| | | 2,000,000 | | | | 2.625%, 1/15/20274 | | | | | 1,714,466 | | |
| | | 1,000,000 | | | | Golub Capital BDC, Inc. 3.375%, 4/15/20244 | | | | | 982,351 | | |
| | | 2,200,000 | | | | 2.050%, 2/15/20274 | | | | | 1,854,796 | | |
| | | 1,000,000 | | | | Oaktree Specialty Lending Corp. 2.700%, 1/15/20274 | | | | | 862,238 | | |
| | | 3,000,000 | | | | 7.100%, 2/15/20294 | | | | | 2,898,285 | | |
| | | | | | | | | | | | 25,427,722 | | |
| | | | | | | TOTAL CORPORATE BONDS (Cost $25,513,759) | | | | | 25,427,722 | | |
| Number of Shares | | | | | | ||||||||
| | | | MUTUAL FUNDS – 4.8% | | | | | | | | |||
| | | 1,930,975 | | | | Driehaus Event Driven Fund6 | | | | | 23,982,707 | | |
| | | 2,081,497 | | | | Glenmede Secured Options Portfolio – Class Institutional*,6 | | | | | 27,454,946 | | |
| | | | | | | TOTAL MUTUAL FUNDS (Cost $51,500,000) | | | | | 51,437,653 | | |
| | | | | | ��� | PRIVATE INVESTMENT FUNDS – 19.7% | | | | | | | |
| | | N/A13 | | | | DSC Meridian Credit Opportunities Onshore Fund LP*,1 | | | | | 20,002,720 | | |
| | | N/A13 | | | | Eisler Capital Multi Strategy Fund LP*,1 | | | | | 28,997,395 | | |
| | | N/A13 | | | | HS Investments Fund LP | | | | | 232,583 | | |
| | | N/A13 | | | | Hudson Bay Fund LP*,1 | | | | | 9,399,447 | | |
| | | N/A13 | | | | Linden Investors LP*,1 | | | | | 19,331,234 | | |
| | | N/A13 | | | | Nuveen Real Estate U.S. Cities Industrial Fund LP*,1 | | | | | 8,343,104 | | |
| | | N/A13 | | | | Nuveen Real Estate U.S. Cities Multifamily Fund LP*,1 | | | | | 7,971,447 | | |
| | | N/A13 | | | | Oak Street Real Estate Capital Net Lease Property Fund LP | | | | | 24,587,641 | | |
| | | N/A13 | | | | Old Orchard Credit Fund LP1 | | | | | 13,974,113 | | |
| | | N/A13 | | | | Point72 Capital LP*,1 | | | | | 28,620,798 | | |
| | | N/A13 | | | | Quiet SPV R9, LP | | | | | 2,247,664 | | |
| | | N/A13 | | | | Rivernorth Capital Partners LP*,1 | | | | | 14,637,632 | | |
| | | N/A13 | | | | Seer Capital Partners Fund LP* | | | | | 2,715,493 | | |
| | | N/A13 | | | | TCW Direct Lending VIII, LLC | | | | | 13,205,949 | | |
| | | N/A13 | | | | Walleye Opportunities Fund LP*,1 | | | | | 13,323,360 | | |
| | | N/A13 | | | | Whitehawk IV-Plus Onshore Fund LP | | | | | 3,547,777 | | |
| | | | | | | TOTAL PRIVATE INVESTMENT FUNDS (Cost $201,017,669) | | | | | 211,138,357 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
| Number of Shares | | | | | | Value | | ||||||
| | | | REAL ESTATE INVESTMENT TRUSTS – 10.6% | | | | | | | | |||
| | | 790,690 | | | | Bailard Real Estate Investment Trust LP | | | | $ | 32,709,466 | | |
| | | N/A13 | | | | Cire Real Estate Investment Trust, Inc. | | | | | 30,165,492 | | |
| | | 1,086,671 | | | | Invesco Real Estate Income Trust, Inc. – Class I1 | | | | | 32,045,045 | | |
| | | 1,439,175 | | | | Jones Lang LaSalle Income Property Trust, Inc. – Class M-I | | | | | 18,853,193 | | |
| | | | | | | TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $113,416,211) | | | | | 113,773,196 | | |
| | | | RIGHTS – 0.0% | | | | | | | | |||
| | | 481 | | | | ABIOMED, Inc., Expiration Date: December 30, 2029*,1,9 | | | | | 491 | | |
| | | 2,076 | | | | Accretion Acquisition Corp., Expiration Date: October 9, 2023* | | | | | 117 | | |
| | | 4,393 | | | | AIB Acquisition Corp., Expiration Date: November 13, 2023*,11 | | | | | 254 | | |
| | | 1,489 | | | | Alpha Star Acquisition Corp., Expiration Date: October 10, 2023*,11 | | | | | 119 | | |
| | | 19,429 | | | | Alphatime Acquisition Corp., Expiration Date: November 16, 2023*,11 | | | | | 2,137 | | |
| | | 24,475 | | | | AlphaVest Acquisition Corp., Expiration Date: November 8, 2023*,11 | | | | | 3,916 | | |
| | | 19,609 | | | | Aquaron Acquisition Corp., Expiration Date: November 17, 2023* | | | | | 5,412 | | |
| | | 1,050 | | | | Arisz Acquisition Corp., Expiration Date: November 10, 2023* | | | | | 94 | | |
| | | 16,328 | | | | Bellevue Life Sciences Acquisition Corp., Expiration Date: May 22, 2024* | | | | | 4,572 | | |
| | | 35,000 | | | | Bowen Acquisition Corp., Expiration Date: October 12, 2023*,11 | | | | | 5,250 | | |
| | | 1,207 | | | | Breeze Holdings Acquisition Corp., Expiration Date: May 24, 2027* | | | | | 103 | | |
| | | 1,299 | | | | Brilliant Acquisition Corp., Expiration Date: November 14, 2023*,11 | | | | | 271 | | |
| | | 1,764 | | | | Deep Medicine Acquisition Corp., Expiration Date: November 28, 2023* | | | | | 529 | | |
| | | 31,924 | | | | Distoken Acquisition Corp., Expiration Date: December 24, 2023*,11 | | | | | 6,066 | | |
| | | 923 | | | | Edoc Acquisition Corp., Expiration Date: November 3, 2023*,11 | | | | | 83 | | |
| | | 23,028 | | | | ESH Acquisition Corp., Expiration Date: July 20, 2024* | | | | | 5,619 | | |
| | | 1,765 | | | | Financial Strategies Acquisition Corp., Expiration Date: November 28, 2023*,1 | | | | | 124 | | |
| | | 1,763 | | | | Globalink Investment, Inc., Expiration Date: December 6, 2023* | | | | | 159 | | |
| | | 23,908 | | | | Goldenstone Acquisition Ltd., Expiration Date: November 15, 2023* | | | | | 3,600 | | |
| | | 19,947 | | | | Horizon Space Acquisition I Corp., Expiration Date: November 21, 2023*,11 | | | | | 3,391 | | |
| | | 14,391 | | | | Hudson Acquisition I Corp., Expiration Date: November 14, 2023* | | | | | 3,454 | | |
| | | 1,748 | | | | Kairous Acquisition Corp. Ltd., Expiration Date: October 12, 2023*,11 | | | | | 95 | | |
| | | 55,746 | | | | Lakeshore Acquisition II Corp., Expiration Date: November 15, 2023*,11 | | | | | 11,149 | | |
| | | 25,305 | | | | Mars Acquisition Corp., Expiration Date: February 14, 2024*,11 | | | | | 5,314 | | |
| | | 20,035 | | | | Metal Sky Star Acquisition Corp., Expiration Date: November 7, 2023*,11 | | | | | 2,607 | | |
| | | 1,689 | | | | Mountain Crest Acquisition Corp. V, Expiration Date: November 6, 2023* | | | | | 339 | | |
| | | 2,282 | | | | Nocturne Acquisition Corp., Expiration Date: October 20, 2023*,11 | | | | | 263 | | |
| | | 3,780 | | | | NorthView Acquisition Corp., Expiration Date: November 9, 2023* | | | | | 643 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
| Number of Shares | | | | | | Value | | ||||||
| | | | RIGHTS (Continued) | | | ||||||||
| | | 18,409 | | | | Plutonian Acquisition Corp., Expiration Date: November 14, 2023* | | | | $ | 3,314 | | |
| | | 19,479 | | | | Qomolangma Acquisition Corp., Expiration Date: November 18, 2023* | | | | | 2,747 | | |
| | | 20,023 | | | | Redwoods Acquisition Corp., Expiration Date: October 14, 2023* | | | | | 2,803 | | |
| | | 19,239 | | | | RF Acquisition Corp., Expiration Date: November 14, 2023* | | | | | 2,116 | | |
| | | 15,965 | | | | TenX Keane Acquisition, Expiration Date: November 28, 2023*,11 | | | | | 3,804 | | |
| | | 27,573 | | | | Trailblazer Merger Corp. I, Expiration Date: May 13, 2024* | | | | | 4,963 | | |
| | | 1,805 | | | | Viveon Health Acquisition Corp., Expiration Date: January 31, 2024* | | | | | 92 | | |
| | | 3,680 | | | | Welsbach Technology Metals Acquisition Corp., Expiration Date: November 21, 2023* | | | | | 478 | | |
| | | | | | | TOTAL RIGHTS (Cost $491) | | | | | 86,488 | | |
| | | | | | | UNITS – 0.0% | | | | | | | |
| | | | | | | SPECIFIED PURPOSE ACQUISITIONS – 0.0% | | | | | | | |
| | | 20,343 | | | | Haymaker Acquisition Corp. IV*,9,11 | | | | | 212,584 | | |
| | | | | | | TOTAL UNITS (Cost $205,330) | | | | | 212,584 | | |
| | | | | | | WARRANTS – 0.1% | | | | | | | |
| | | 68 | | | | 7GC & Co. Holdings, Inc., Expiration Date: December 31, 2026* | | | | | 8 | | |
| | | 789 | | | | Abacus Life, Inc., Expiration Date: July 1, 2027* | | | | | 300 | | |
| | | 19,983 | | | | Able View Global, Inc., Expiration Date: May 15, 2028*,11 | | | | | 550 | | |
| | | 1,038 | | | | Accretion Acquisition Corp., Expiration Date: March 1, 2028* | | | | | 23 | | |
| | | 1,456 | | | | Ace Global Business Acquisition Ltd., Expiration Date: December 31, 2027*,11 | | | | | 60 | | |
| | | 1,774 | | | | Achari Ventures Holdings Corp. I, Expiration Date: October 15, 2026* | | | | | 85 | | |
| | | 287 | | | | Advantage Capital Holdings, LLC, Expiration Date: January 28, 2025*,1 | | | | | 702,499 | | |
| | | 14,925 | | | | AEON Biopharma, Inc., Expiration Date: July 21, 2028* | | | | | 2,239 | | |
| | | 2,211 | | | | Agba Acquisition Ltd., Expiration Date: May 10, 2024*,11 | | | | | 42 | | |
| | | 9,241 | | | | Alchemy Investments Acquisition Corp. I, Expiration Date: June 26, 2028*,11 | | | | | 1,525 | | |
| | | 1,489 | | | | Alpha Star Acquisition Corp., Expiration Date: December 13, 2026*,11 | | | | | 11 | | |
| | | 19,429 | | | | Alphatime Acquisition Corp., Expiration Date: January 17, 2028*,11 | | | | | 991 | | |
| | | 1,165 | | | | ALSP Orchid Acquisition Corp. I, Expiration Date: November 30, 2028*,11 | | | | | 35 | | |
| | | 733 | | | | AltEnergy Acquisition Corp., Expiration Date: November 2, 2028* | | | | | 38 | | |
| | | 862 | | | | American Acquisition Opportunity, Inc., Expiration Date: May 28, 2026* | | | | | 36 | | |
| | | 22,500 | | | | Amprius Technologies, Inc., Expiration Date: September 14, 2027* | | | | | 5,965 | | |
| | | 12,300 | | | | Apollo Strategic Growth Capital II, Expiration Date: December 31, 2027*,11 | | | | | 966 | | |
| | | 17,376 | | | | Ares Acquisition Corp., Expiration Date: December 31, 2027*,11 | | | | | 11,486 | | |
| | | 21,105 | | | | Ares Acquisition Corp. II, Expiration Date: June 12, 2028*,11 | | | | | 4,960 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | WARRANTS (Continued) | | | |||||
| | | 1,050 | | | | Arisz Acquisition Corp., Expiration Date: November 16, 2026* | | | | $ | 21 | | |
| | | 522 | | | | Atlantic Coastal Acquisition Corp. II, Expiration Date: June 2, 2028* | | | | | 37 | | |
| | | 885 | | | | Ault Disruptive Technologies Corp., Expiration Date: June 20, 2028* | | | | | 14 | | |
| | | 1,469 | | | | Battery Future Acquisition Corp., Expiration Date: May 26, 2028*,11 | | | | | 162 | | |
| | | 16,328 | | | | Bellevue Life Sciences Acquisition Corp., Expiration Date: February 10, 2028* | | | | | 573 | | |
| | | 2,223 | | | | Beneficient, Expiration Date: June 7, 2028* | | | | | 86 | | |
| | | 412 | | | | BioPlus Acquisition Corp., Expiration Date: July 19, 2028*,11 | | | | | 23 | | |
| | | 6,294 | | | | Bitcoin Depot, Inc., Expiration Date: July 3, 2028* | | | | | 1,195 | | |
| | | 1,797 | | | | Black Mountain Acquisition Corp., Expiration Date: October 15, 2027* | | | | | 79 | | |
| | | 195 | | | | Blockchain Coinvestors Acquisition Corp. I, Expiration Date: November 1, 2028*,11 | | | | | 11 | | |
| | | 1,544 | | | | Blue Ocean Acquisition Corp., Expiration Date: October 21, 2028*,11 | | | | | 77 | | |
| | | 1,207 | | | | Breeze Holdings Acquisition Corp., Expiration Date: May 25, 2027* | | | | | 229 | | |
| | | 296 | | | | Bridger Aerospace Group Holdings, Inc., Expiration Date: January 25, 2028* | | | | | 88 | | |
| | | 389 | | | | Brilliant Acquisition Corp., Expiration Date: December 31, 2025*,11 | | | | | 25 | | |
| | | 1,466 | | | | Cactus Acquisition Corp. I Ltd., Expiration Date: October 29, 2026*,11 | | | | | 37 | | |
| | | 412 | | | | Cardio Diagnostics Holdings, Inc., Expiration Date: December 1, 2026* | | | | | 14 | | |
| | | 8,617 | | | | CC Neuberger Principal Holdings III, Expiration Date: December 31, 2027*,11 | | | | | 1,594 | | |
| | | 45 | | | | CF Acquisition Corp. IV, Expiration Date: December 14, 2025* | | | | | 2 | | |
| | | 430 | | | | CF Acquisition Corp. VIII, Expiration Date: December 31, 2027* | | | | | 121 | | |
| | | 15,972 | | | | Churchill Capital Corp. V, Expiration Date: October 29, 2027* | | | | | 2,955 | | |
| | | 22,581 | | | | Churchill Capital Corp. VI, Expiration Date: December 31, 2027* | | | | | 3,186 | | |
| | | 21,813 | | | | Churchill Capital Corp. VII, Expiration Date: February 29, 2028* | | | | | 6,718 | | |
| | | 2,030 | | | | Coeptis Therapeutics Holdings, Expiration Date: October 31, 2025* | | | | | 77 | | |
| | | 968 | | | | Comera Life Sciences Holdings, Inc., Expiration Date: May 19, 2027* | | | | | 17 | | |
| | | 13,333 | | | | Concord Acquisition Corp. II, Expiration Date: December 31, 2028* | | | | | 933 | | |
| | | 117 | | | | Corner Growth Acquisition Corp., Expiration Date: December 31, 2027*,11 | | | | | 11 | | |
| | | 935 | | | | Corner Growth Acquisition Corp. 2, Expiration Date: June 17, 2026*,11 | | | | | 140 | | |
| | | 313 | | | | Crescera Capital Acquisition Corp., Expiration Date: November 19, 2028*,11 | | | | | 1 | | |
| | | 2,151 | | | | Data Knights Acquisition Corp., Expiration Date: December 31, 2028* | | | | | 97 | | |
| | | 9,833 | | | | Denali Capital Acquisition Corp., Expiration Date: April 7, 2027*,11 | | | | | 590 | | |
| | | 310 | | | | DHC Acquisition Corp., Expiration Date: December 31, 2027*,11 | | | | | 25 | | |
| | | 637 | | | | Digital Health Acquisition Corp., Expiration Date: October 14, 2023* | | | | | 14 | | |
| | | 31,924 | | | | Distoken Acquisition Corp., Expiration Date: March 30, 2028*,11 | | | | | 958 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | WARRANTS (Continued) | | | |||||
| | | 9,836 | | | | dMY Squared Technology Group, Inc., Expiration Date: November 21, 2027* | | | | $ | 1,328 | | |
| | | 534 | | | | Dune Acquisition Corp., Expiration Date: October 29, 2027* | | | | | 37 | | |
| | | 880 | | | | Edify Acquisition Corp., Expiration Date: December 31, 2027* | | | | | 13 | | |
| | | 923 | | | | Edoc Acquisition Corp., Expiration Date: November 30, 2027*,11 | | | | | 16 | | |
| | | 1,464 | | | | Euda Health Holdings Ltd., Expiration Date: September 24, 2026*,11 | | | | | 88 | | |
| | | 484 | | | | Eve Holding, Inc., Expiration Date: May 9, 2027* | | | | | 344 | | |
| | | 1,469 | | | | EVe Mobility Acquisition Corp, Expiration Date: December 31, 2028*,11 | | | | | 59 | | |
| | | 460 | | | | Everest Consolidator Acquisition Corp., Expiration Date: July 19, 2028* | | | | | 92 | | |
| | | 296 | | | | ExcelFin Acquisition Corp., Expiration Date: October 21, 2026* | | | | | 12 | | |
| | | 428 | | | | FAST Acquisition Corp. II, Expiration Date: March 16, 2026* | | | | | 214 | | |
| | | 1,765 | | | | Financial Strategies Acquisition Corp., Expiration Date: March 31, 2028*,1 | | | | | 31 | | |
| | | 795 | | | | Finnovate Acquisition Corp., Expiration Date: September 30, 2026*,11 | | | | | 27 | | |
| | | 24 | | | | Flame Acquisition Corp., Expiration Date: December 31, 2028* | | | | | 19 | | |
| | | 2,109 | | | | Forafric Global PLC, Expiration Date: June 9, 2027*,11 | | | | | 2,510 | | |
| | | 1,228 | | | | FOXO Technologies, Inc., Expiration Date: August 1, 2027* | | | | | 4 | | |
| | | 12,602 | | | | Frontier Investment Corp., Expiration Date: December 31, 2026*,11 | | | | | 1,472 | | |
| | | 6,825 | | | | Fusion Acquisition Corp. II, Expiration Date: December 31, 2027* | | | | | 1 | | |
| | | 1,177 | | | | Genesis Growth Tech Acquisition Corp., Expiration Date: May 19, 2028*,11 | | | | | 6 | | |
| | | 280,000 | | | | Glass House Brands, Inc., Expiration Date: January 15, 2026*,11 | | | | | 266,000 | | |
| | | 1,763 | | | | Globalink Investment, Inc., Expiration Date: December 3, 2026* | | | | | 19 | | |
| | | 23,908 | | | | Goldenstone Acquisition Ltd., Expiration Date: July 15, 2026* | | | | | 1,152 | | |
| | | 10,929 | | | | Gores Holdings IX, Inc., Expiration Date: January 14, 2029* | | | | | 2,186 | | |
| | | 1,266 | | | | Gorilla Technology Group, Inc., Expiration Date: July 14, 2027*,11 | | | | | 74 | | |
| | | 674 | | | | Healthcare AI Acquisition Corp., Expiration Date: December 14, 2026*,11 | | | | | 30 | | |
| | | 16,500 | | | | Hennessy Capital Investment Corp. VI, Expiration Date: December 31, 2027* | | | | | 1,980 | | |
| | | 19,947 | | | | Horizon Space Acquisition I Corp., Expiration Date: January 26, 2028*,11 | | | | | 720 | | |
| | | 2,424 | | | | Hub Cyber Security Ltd., Expiration Date: February 27, 2028*,11 | | | | | 24 | | |
| | | 14,883 | | | | iCoreConnect, Inc., Expiration Date: May 14, 2028*,1 | | | | | 1,488 | | |
| | | 1,235,429 | | | | IFit, Inc., Expiration Date: February 24, 3030*,1 | | | | | —14 | | |
| | | 19,363 | | | | Inflection Point Acquisition Corp. II, Expiration Date: July 17, 2028*,11 | | | | | 3,329 | | |
| | | 441 | | | | Innovative International Acquisition Corp., Expiration Date: July 1, 2028*,11 | | | | | 19 | | |
| | | 981 | | | | Integrated Rail and Resources Acquisition Corp., Expiration Date: November 12, 2026* | | | | | 250 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | WARRANTS (Continued) | | | |||||
| | | 1,177 | | | | Integrated Wellness Acquisition Corp., Expiration Date: October 31, 2028*,11 | | | | $ | 441 | | |
| | | 59 | | | | InterPrivate III Financial Partners, Inc., Expiration Date: December 31, 2027* | | | | | 2 | | |
| | | 10,018 | | | | Israel Acquisitions Corp., Expiration Date: February 28, 2028*,11 | | | | | 1,378 | | |
| | | 23,278 | | | | Jaws Mustang Acquisition Corp., Expiration Date: January 30, 2026*,11 | | | | | 931 | | |
| | | 874 | | | | Kairous Acquisition Corp. Ltd., Expiration Date: September 15, 2026*,11 | | | | | 9 | | |
| | | 870 | | | | Kingswood Acquisition Corp., Expiration Date: May 1, 2027* | | | | | 10 | | |
| | | 27,873 | | | | Lakeshore Acquisition II Corp., Expiration Date: November 18, 2026*,11 | | | | | 474 | | |
| | | 1,382 | | | | LAMF Global Ventures Corp. I, Expiration Date: November 11, 2026*,11 | | | | | 78 | | |
| | | 292 | | | | Learn CW Investment Corp., Expiration Date: December 31, 2028*,11 | | | | | 7 | | |
| | | 526 | | | | LF Capital Acquisition Corp. II, Expiration Date: January 7, 2026* | | | | | 2 | | |
| | | 479 | | | | Maquia Capital Acquisition Corp., Expiration Date: December 31, 2027* | | | | | 30 | | |
| | | 1,061 | | | | Mercato Partners Acquisition Corp., Expiration Date: December 28, 2026* | | | | | 223 | | |
| | | 20,035 | | | | Metal Sky Star Acquisition Corp., Expiration Date: April 1, 2027*,11 | | | | | 381 | | |
| | | 940 | | | | MicroAlgo, Inc., Expiration Date: December 31, 2027*,11 | | | | | 47 | | |
| | | 2,925 | | | | MicroCloud Hologram, Inc., Expiration Date: January 31, 2028*,11 | | | | | 117 | | |
| | | 2,256 | | | | Monterey Acquisition Corp., Expiration Date: October 1, 2026* | | | | | 45 | | |
| | | 142 | | | | Moringa Acquisition Corp., Expiration Date: February 10, 2026*,11 | | | | | 5 | | |
| | | 770 | | | | MSP Recovery, Inc., Expiration Date: February 14, 2026* | | | | | 112 | | |
| | | 1,265 | | | | MultiMetaVerse Holdings Ltd., Expiration Date: March 15, 2027*,11 | | | | | 36 | | |
| | | 842 | | | | Nabors Energy Transition Corp., Expiration Date: November 17, 2026* | | | | | 126 | | |
| | | 22,811 | | | | Nabors Energy Transition Corp. II, Expiration Date: September 5, 2028*,11 | | | | | 3,878 | | |
| | | 231 | | | | Near Intelligence, Inc., Expiration Date: July 8, 2027* | | | | | 7 | | |
| | | 1,335 | | | | Newbury Street Acquisition Corp., Expiration Date: December 31, 2027* | | | | | 194 | | |
| | | 593 | | | | Newcourt Acquisition Corp., Expiration Date: April 12, 2028*,11 | | | | | 16 | | |
| | | 577 | | | | NKGen Biotech, Inc., Expiration Date: May 31, 2028* | | | | | 228 | | |
| | | 237 | | | | Northern Revival Acquisition Corp., Expiration Date: December 31, 2027*,11 | | | | | 6 | | |
| | | 1,890 | | | | NorthView Acquisition Corp., Expiration Date: August 2, 2027* | | | | | 70 | | |
| | | 2,885 | | | | OceanTech Acquisitions I Corp., Expiration Date: May 10, 2026* | | | | | 79 | | |
| | | 1,144 | | | | OmniLit Acquisition Corp., Expiration Date: November 8, 2026* | | | | | 51 | | |
| | | 277 | | | | Onyx Acquisition Co. I, Expiration Date: November 30, 2028*,11 | | | | | 10 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | WARRANTS (Continued) | | | |||||
| | | 1,764 | | | | OPY Acquisition Corp. I, Expiration Date: September 22, 2027* | | | | $ | 49 | | |
| | | 1,438 | | | | Osiris Acquisition Corp., Expiration Date: May 1, 2028* | | | | | 43 | | |
| | | 522 | | | | Papaya Growth Opportunity Corp. I, Expiration Date: December 31, 2028* | | | | | 18 | | |
| | | 323 | | | | Phoenix Biotech Acquisition Corp., Expiration Date: September 1, 2026* | | | | | 23 | | |
| | | 18,409 | | | | Plutonian Acquisition Corp., Expiration Date: October 26, 2027* | | | | | 1,278 | | |
| | | 9,699 | | | | Pono Capital Three, Inc., Expiration Date: April 3, 2028*,11 | | | | | 436 | | |
| | | 1,764 | | | | Power & Digital Infrastructure Acquisition II Corp., Expiration Date: December 14, 2028* | | | | | 176 | | |
| | | 479 | | | | Prenetics Global Ltd., Expiration Date: May 17, 2027*,11 | | | | | 25 | | |
| | | 1,990 | | | | Presto Automation, Inc., Expiration Date: September 21, 2027* | | | | | 120 | | |
| | | 948 | | | | Priveterra Acquisition Corp. II, Expiration Date: January 8, 2026* | | | | | 47 | | |
| | | 1,173 | | | | Project Energy Reimagined Acquisition Corp., Expiration Date: December 31, 2028*,11 | | | | | 141 | | |
| | | 916 | | | | PROOF Acquisition Corp. I, Expiration Date: December 3, 2028* | | | | | 83 | | |
| | | 873 | | | | ProSomnus, Inc., Expiration Date: April 20, 2028* | | | | | 57 | | |
| | | 147 | | | | Pyrophyte Acquisition Corp., Expiration Date: December 17, 2023*,11 | | | | | 10 | | |
| | | 19,479 | | | | Qomolangma Acquisition Corp., Expiration Date: November 23, 2027* | | | | | 392 | | |
| | | 20,023 | | | | Redwoods Acquisition Corp., Expiration Date: March 15, 2027* | | | | | 1,003 | | |
| | | 19,239 | | | | RF Acquisition Corp., Expiration Date: May 1, 2028* | | | | | 483 | | |
| | | 419 | | | | Roadzen, Inc., Expiration Date: November 30, 2028* | | | | | 15 | | |
| | | 58 | | | | Roth CH Acquisition Co., Expiration Date: October 29, 2028*,11 | | | | | 3 | | |
| | | 833 | | | | Roth CH Acquisition V Co., Expiration Date: December 10, 2026* | | | | | 58 | | |
| | | 17,442 | | | | Screaming Eagle Acquisition Corp., Expiration Date: December 15, 2027*,11 | | | | | 2,808 | | |
| | | 106 | | | | Semper Paratus Acquisition Corp., Expiration Date: November 4, 2026*,11 | | | | | 7 | | |
| | | 30,000 | | | | SHUAA Partners Acquisition Corp. I, Expiration Date: March 2, 2027*,11 | | | | | 1,506 | | |
| | | 1,380 | | | | Sizzle Acquisition Corp., Expiration Date: March 12, 2026* | | | | | 207 | | |
| | | 1,693 | | | | SMX Security Matters PLC, Expiration Date: March 7, 2028*,11 | | | | | 19 | | |
| | | 1,255 | | | | Southland Holdings, Inc., Expiration Date: September 1, 2026* | | | | | 828 | | |
| | | 881 | | | | Southport Acquisition Corp., Expiration Date: May 24, 2028* | | | | | 25 | | |
| | | 666 | | | | SportsMap Tech Acquisition Corp., Expiration Date: September 1, 2027* | | | | | 21 | | |
| | | 2,102 | | | | Spree Acquisition Corp. 1 Ltd., Expiration Date: December 22, 2028*,11 | | | | | 53 | | |
| | | 1,561 | | | | SunCar Technology Group, Inc., Expiration Date: May 18, 2028*,11 | | | | | 203 | | |
| | | 881 | | | | Swiftmerge Acquisition Corp., Expiration Date: June 17, 2028*,11 | | | | | 53 | | |
| | | 852 | | | | TG Venture Acquisition Corp., Expiration Date: August 15, 2028* | | | | | 27 | | |
| | | 166 | | | | TLGY Acquisition Corp., Expiration Date: January 14, 2028*,11 | | | | | 8 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | WARRANTS (Continued) | | | |||||
| | | 1,198 | | | | Tristar Acquisition I Corp., Expiration Date: December 31, 2028*,11 | | | | $ | 42 | | |
| | | 126 | | | | Twelve Seas Investment Co. II, Expiration Date: March 2, 2028* | | | | | 4 | | |
| | | 1,239 | | | | UTA Acquisition Corp., Expiration Date: October 30, 2026*,1,11 | | | | | —14 | | |
| | | 1,805 | | | | Viveon Health Acquisition Corp., Expiration Date: December 31, 2027* | | | | | 41 | | |
| | | 1,522 | | | | Worldwide Webb Acquisition Corp., Expiration Date: October 20, 2026*,11 | | | | | 39 | | |
| | | | | | | TOTAL WARRANTS (Cost $608,666) | | | | | 1,054,817 | | |
| | | | | | | SHORT-TERM INVESTMENTS – 8.4% | | | | | | | |
| | | 90,156,649 | | | | Morgan Stanley Institutional Liquidity Fund – Government Portfolio – Institutional Class, 5.20%9,15 | | | | | 90,156,649 | | |
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost $90,156,649) | | | | | 90,156,649 | | |
| | | | | | | TOTAL INVESTMENTS – 104.9% (Cost $1,110,434,629) | | | | | 1,122,667,151 | | |
| | | | | | | Liabilities in Excess of Other Assets – (4.9)% | | | | | (52,744,499) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 1,069,922,652 | | |
| | | | | | | SECURITIES SOLD SHORT – (0.1)% | | | | | | | |
| | | | | | | COMMON STOCKS – (0.1)% | | | | | | | |
| | | | | | | OIL COMP-INTEGRATED – (0.1)% | | | | | | | |
| | | (3,447) | | | | Exxon Mobil Corp. | | | | | (405,298) | | |
| | | | | | | S & L/THRIFTS-EASTERN US – (0.0)% | | | | | | | |
| | | (13,954) | | | | Provident Financial Services, Inc. | | | | | (213,357) | | |
| | | | | | | TOTAL COMMON STOCKS (Proceeds $694,477) | | | | | (618,655) | | |
| | | | | | | TOTAL SECURITIES SOLD SHORT (Proceeds $694,477) | | | | $ | (618,655) | | |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
Securities With Restrictions On Redemptions | | | Redemptions Permitted | | | Redemption Notice Period | | | Cost | | | Fair Value | | | Original Acquisition Date | | ||||||
Apollo Diversified Credit Fund – Class I | | | Quarterlya | | | N/A | | | | $ | 46,693 | | | | | $ | 146,570 | | | | 8/23/2021 | |
Bailard Real Estate Investment Trust LPb | | | Quarterly | | | 30 Days | | | | | 30,994,633 | | | | | | 32,709,466 | | | | 12/28/2018 | |
BC Partners Lending Corp.b | | | Not Permitted | | | N/A | | | | | 12,500,000 | | | | | | 12,470,961 | | | | 3/6/2023 | |
Cire Real Estate Investment Trust, Inc. | | | Quarterly | | | 90 Days | | | | | 30,000,000 | | | | | | 30,165,492 | | | | 4/4/2023 | |
Cliffwater Corporate Lending Fund – Class I | | | Quarterlya | | | N/A | | | | | 26,321,412 | | | | | | 27,615,428 | | | | 8/4/2020 | |
Cliffwater Enhanced Lending Fund – Class I | | | Quarterlya | | | N/A | | | | | 52,462,802 | | | | | | 54,888,412 | | | | 4/26/2022 | |
DSC Meridian Credit Opportunities Onshore Fund LPb | | | Quarterlyc | | | 65 Days | | | | | 17,950,000 | | | | | | 20,002,720 | | | | 10/1/2018 | |
Eisler Capital Multi Strategy Fund LPb | | | Quarterlyc | | | 65 Days | | | | | 28,000,000 | | | | | | 28,997,395 | | | | 12/1/2022 | |
HS Investments Fund LPb | | | Not Permitted | | | N/A | | | | | 246,427 | | | | | | 232,583 | | | | 7/31/2023 | |
Hudson Bay Fund LPb | | | Quarterlyc,e | | | 65 Days | | | | | 8,500,000 | | | | | | 9,399,447 | | | | 4/1/2021 | |
Invesco Dynamic Credit Opportunities Fund – Class AX | | | Quarterlya | | | N/A | | | | | 298,939 | | | | | | 295,062 | | | | 10/19/2021 | |
Invesco Real Estate Income Trust, Inc. – Class I | | | Monthly | | | 30 Days | | | | | 34,000,000 | | | | | | 32,045,045 | | | | 6/1/2022 | |
Linden Investors LPb | | | Quarterlyc | | | 65 Days | | | | | 17,250,000 | | | | | | 19,331,234 | | | | 10/1/2018 | |
Nuveen Real Estate U.S. Cities Industrial Fund LPb | | | Quarterly | | | 45 Days | | | | | 9,290,057 | | | | | | 8,343,104 | | | | 10/3/2022 | |
Nuveen Real Estate U.S. Cities Multifamily Fund LPb | | | Quarterly | | | 45 Days | | | | | 9,426,050 | | | | | | 7,971,447 | | | | 4/1/2022 | |
Oak Street Real Estate Capital Net Lease Property Fund LPb | | | Quarterly | | | 60 Days | | | | | 24,500,000 | | | | | | 24,587,641 | | | | 1/25/2022 | |
Old Orchard Credit Fund LPb | | | Quarterlyc | | | 65 Days | | | | | 14,000,000 | | | | | | 13,974,113 | | | | 5/31/2023 | |
Opportunistic Credit Interval Fund – Class I | | | Quarterlya | | | N/A | | | | | 8,028,000 | | | | | | 8,224,702 | | | | 8/16/2022 | |
Palmer Square Capital BDC, Inc.b | | | Not Permitted | | | N/A | | | | | 12,500,000 | | | | | | 12,938,290 | | | | 3/1/2023 | |
Palmer Square Opportunistic Income Fund | | | Quarterlya | | | N/A | | | | | 12,800,000 | | | | | | 12,052,726 | | | | 10/2/2018 | |
Pender Real Estate Credit Fund – Class I | | | Quarterlya | | | N/A | | | | | 29,023,455 | | | | | | 29,125,984 | | | | 8/16/2019 | |
Point72 Capital LPb | | | Quarterlyc | | | 45 Days | | | | | 25,530,367 | | | | | | 28,620,798 | | | | 4/24/2019 | |
Pomona Investment Fund LP | | | Quarterlya | | | 75 Days | | | | | 17,735,511 | | | | | | 22,737,271 | | | | 10/1/2018 | |
Quiet SPV R9, LPb | | | Not Permitted | | | N/A | | | | | 2,247,664 | | | | | | 2,247,664 | | | | 9/20/2023 | |
RiverNorth Capital Partners LPb | | | Quarterlyd | | | 65 Days | | | | | 14,000,000 | | | | | | 14,637,632 | | | | 6/1/2022 | |
Seer Capital Partners Fund LPb | | | Not Permitted | | | N/A | | | | | 2,000,000 | | | | | | 2,715,493 | | | | 9/29/2021 | |
StepStone Private Markets – Class I | | | Quarterlya | | | N/A | | | | | 18,157,916 | | | | | | 21,926,937 | | | | 3/26/2021 | |
TCW Direct Lending VIII, LLCb | | | Not Permitted | | | N/A | | | | | 13,604,328 | | | | | | 13,205,949 | | | | 8/9/2023 | |
Walleye Opportunities Fund LPb | | | Monthlyc | | | 30 Days | | | | | 10,925,000 | | | | | | 13,323,360 | | | | 12/3/2018 | |
Whitehawk IV-Plus Onshore Fund LPb | | | Not Permitted | | | N/A | | | | | 3,547,777 | | | | | | 3,547,777 | | | | 6/29/2023 | |
Totals | | | | | | | | | | $ | 485,887,031 | | | | | $ | 508,480,703 | | | | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of September 30, 2023 (Unaudited)
Sale Contracts | | | Counterparty | | | Currency Exchange | | | Currency Amount Sold | | | Value At Settlement Date | | | Value At September 30, 2023 | | | Unrealized Appreciation (Depreciation) | | ||||||||||||
Euro | | | BNP Paribas | | | EUR per USD | | | | | (93,336,000) | | | | | $ | (101,754,985) | | | | | $ | (99,973,040) | | | | | $ | 1,781,944 | | |
British Pound | | | BNP Paribas | | | GBP per USD | | | | | (15,000,000) | | | | | | (18,413,760) | | | | | | (18,306,335) | | | | | | 107,425 | | |
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | | | | | | | | | | $ | (120,168,745) | | | | | $ | (118,279,375) | | | | | $ | 1,889,370 | | |
CONSOLIDATED SUMMARY OF INVESTMENTS*
As of September 30, 2023 (Unaudited)
Security Type/Sector | | | Percent of Total Net Assets | | |||
Asset-Backed Securities | | | | | 4.8% | | |
Bank Loans | | | | | 9.8% | | |
Closed-End Funds | | | | | 18.9% | | |
Collateralized Loan Obligations | | | | | 19.5% | | |
Collateralized Mortgage Obligations | | | | | 0.5% | | |
Common Stocks | | | | | | | |
Specified Purpose Acquisitions | | | | | 1.5% | | |
Medical-Outpatient/Home Medical | | | | | 0.1% | | |
Enterprise Software/Service | | | | | 0.1% | | |
Oil Comp-Exploration & Production | | | | | 0.1% | | |
Appliances | | | | | 0.0% | | |
Medical-Biomedical/Generics | | | | | 0.0% | | |
Commercial Banks-Eastern US | | | | | 0.0% | | |
Pipelines | | | | | 0.0% | | |
Broadcast Services/Programs | | | | | 0.0% | | |
Machinery-Pumps | | | | | 0.0% | | |
E-Commerce/Service | | | | | 0.0% | | |
Auto-Cars/Light Trucks | | | | | 0.0% | | |
Oil-Field Services | | | | | 0.0% | | |
Total Common Stocks | | | | | 1.8% | | |
Corporate Bonds | | | | | | | |
Investment Companies | | | | | 2.4% | | |
Mutual Funds | | | | | 4.8% | | |
Private Investment Funds | | | | | 19.7% | | |
Real Estate Investment Trusts | | | | | 10.6% | | |
Rights | | | | | 0.0% | | |
Structured Notes | | | | | 3.6% | | |
Units | | | | | | | |
Specified Purpose Acquisitions | | | | | 0.0% | | |
Warrants | | | | | 0.1% | | |
Short-Term Investments | | | | | 8.4% | | |
Total Investments | | | | | 104.9% | | |
Liabilities in Excess of Other Assets | | | | | (4.9)% | | |
Total Net Assets | | | | | 100.0% | | |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
As of September 30, 2023 (Unaudited)
| Assets: | | ||||||
| Investments, at value (cost $845,576,784) | | | | $ | 866,126,542 | | |
| Investments in affiliated issuers, at cost (cost $264,857,845) | | | | | 256,540,609 | | |
| Purchased options contracts, at value (cost $0) | | | | | — | | |
| Foreign currency, at value (cost $581) | | | | | 568 | | |
| Cash | | | | | 665,775 | | |
| Cash deposited with broker | | | | | 778,555 | | |
| Receivables: | | | | | | | |
| Unrealized appreciation on forward foreign currency exchange contracts | | | | | 1,889,370 | | |
| Investment securities sold | | | | | 1,130,358 | | |
| Fund shares sold | | | | | 2,301,586 | | |
| Dividends and interest | | | | | 6,313,136 | | |
| Prepaid expenses | | | | | 277,741 | | |
| Total assets | | | | | 1,136,024,240 | | |
| Liabilities: | | | | | | | |
| Line of credit payable | | | | | 10,000,000 | | |
| Securities sold short, at value (proceeds $694,477) | | | | | 618,655 | | |
| Payables: | | | | | | | |
| Investment securities purchased | | | | | 1,731,692 | | |
| Fund shares redeemed | | | | | 51,479,133 | | |
| Advisory fees | | | | | 1,724,705 | | |
| Distribution fees (Note 3) | | | | | 170,567 | | |
| Fund services fees | | | | | 144,227 | | |
| Interest expense | | | | | 89,333 | | |
| Auditing fees | | | | | 23,828 | | |
| Tax services fees | | | | | 21,780 | | |
| Chief Compliance Officer fees | | | | | 2,973 | | |
| Accrued other expenses | | | | | 94,695 | | |
| Total liabilities | | | | | 66,101,588 | | |
| Commitments and contingencies (Note 3) | | | | | | | |
| Net Assets | | | | $ | 1,069,922,652 | | |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES — Continued
As of September 30, 2023 (Unaudited)
| Components of Net Assets: | | | | | | | |
| Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized) | | | | $ | 1,064,364,858 | | |
| Total accumulated earnings/(deficit) | | | | | 5,557,794 | | |
| Net Assets | | | | $ | 1,069,922,652 | | |
| Maximum Offering Price per Share: | | | | | | | |
| Class A Shares | | | | | | | |
| Net assets applicable to shares outstanding | | | | $ | 4,640,276 | | |
| Shares of common stock issued and outstanding | | | | | 177,386 | | |
| Net asset value per share | | | | $ | 26.16 | | |
| Maximum sales charge (4.50% of offering price)* | | | | | 1.18 | | |
| Maximum offer price to public | | | | $ | 27.34 | | |
| Class I Shares | | | | | | | |
| Net assets applicable to shares outstanding | | | | $ | 1,065,282,376 | | |
| Shares of common stock issued and outstanding | | | | | 40,087,030 | | |
| Net asset value per share | | | �� | $ | 26.57 | | |
CONSOLIDATED STATEMENT OF OPERATIONS
For the Six Months Ended September 30, 2023 (Unaudited)
| Investment Income: | | | | | | | |
| Dividends | | | | $ | 5,188,579 | | |
| Dividends from affiliated issuers | | | | | 3,636,267 | | |
| Interest | | | | | 26,872,070 | | |
| Interest from affiliated issuers | | | | | 228,704 | | |
| Total investment income | | | | | 35,925,620 | | |
| Expenses: | | | | | | | |
| Advisory fees | | | | | 4,493,487 | | |
| Distribution fees (Note 3) | | | | | 530,189 | | |
| Fund services expense | | | | | 353,210 | | |
| Shareholder reporting fees | | | | | 104,561 | | |
| Legal fees | | | | | 91,845 | | |
| Interest expense (see Note 13) | | | | | 63,917 | | |
| Registration fees | | | | | 50,804 | | |
| Trustees’ fees and expenses | | | | | 40,227 | | |
| Auditing fees | | | | | 39,848 | | |
| Miscellaneous | | | | | 33,585 | | |
| Unused line of credit fees | | | | | 24,931 | | |
| Chief Compliance Officer fees | | | | | 20,057 | | |
| Tax services fees | | | | | 14,630 | | |
| Extraordinary litigation fees | | | | | 12,908 | | |
| Dividends on securities sold short | | | | | 9,835 | | |
| Insurance fees | | | | | 9,637 | | |
| Commitment fee | | | | | 2,552 | | |
| Interest on securities sold short | | | | | 23 | | |
| Total expenses | | | | | 5,896,246 | | |
| Advisory fees waived | | | | | (41,673) | | |
| Net expenses | | | | | 5,854,573 | | |
| Net investment income (loss) | | | | | 30,071,047 | | |
| Realized and Unrealized Gain (Loss) on Investments, Investments in Affiliated Issuers, Securities Sold Short, Forward Contracts and Foreign Currency | | | | | | | |
| Net realized gain (loss) on: | | | | | | | |
| Investments | | | | | (366,479) | | |
| Investments in affiliated issuers | | | | | 284,091 | | |
| Purchased options contracts | | | | | — | | |
| Securities sold short | | | | | 11 | | |
| Foreign currency transactions | | | | | 166,966 | | |
| Net realized gain | | | | | 84,589 | | |
| Net change in unrealized appreciation/depreciation on: | | | | | | | |
| Investments | | | | | 31,531,097 | | |
| Investments in affiliated issuers | | | | | (22,045,819) | | |
| Purchased options contracts | | | | | — | | |
| Securities sold short | | | | | 16,999 | | |
| Forward contracts | | | | | 2,458,337 | | |
| Foreign currency translations | | | | | 27,234 | | |
| Net change in unrealized appreciation/depreciation | | | | | 11,987,848 | | |
| Net realized and unrealized gain (loss) on investments, investments in affiliated issuers, securities sold short, forward contracts, and foreign currency | | | | | 12,072,437 | | |
| Net increase (decrease) in Net Assets from Operations | | | | $ | 42,143,484 | | |
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS
| | | For the Six Months Ended September 30, 2023 (Unaudited) | | | For the Year Ended March 31, 2023 | | ||||||
Increase (Decrease) in Net Assets from: | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 30,071,047 | | | | | $ | 23,262,734 | | |
Net realized gain (loss) on investments, investments in affiliated issuers, securities sold short, distributions from regulated investment companies and foreign currency | | | | | 84,589 | | | | | | 591,686 | | |
Net change in unrealized appreciation/depreciation on investments, investments in affiliated issuers, securities sold short, forward contracts, distributions from regulated investment companies and foreign currency | | | | | 11,987,848 | | | | | | (13,331,178) | | |
Net increase (decrease) in net assets resulting from operations | | | | | 42,143,484 | | | | | | 10,523,242 | | |
Distributions to Shareholders: | | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | |
Class A | | | | | (82,207) | | | | | | (22,358) | | |
Class I | | | | | (30,906,770) | | | | | | (33,477,624) | | |
Total distributions to shareholders | | | | | (30,988,977) | | | | | | (33,499,982) | | |
Capital Transactions: | | | | | | | | | | | | | |
Net proceeds from shares sold: | | | | | | | | | | | | | |
Class A | | | | | 3,270,019 | | | | | | 1,393,570 | | |
Class I | | | | | 391,675,541 | | | | | | 507,371,008 | | |
Reinvestment of distributions: | | | | | | | | | | | | | |
Class A | | | | | 4,199 | | | | | | 9,857 | | |
Class I | | | | | 8,396,493 | | | | | | 8,635,712 | | |
Cost of shares redeemed: | | | | | | | | | | | | | |
Class A | | | | | (49,340) | | | | | | (8,471) | | |
Class I | | | | | (78,837,990) | | | | | | (96,646,499) | | |
Net increase from payments by affiliates (Note 3) | | | | | | | | | | | | | |
Class A | | | | | — | | | | | | 37 | | |
Class I | | | | | — | | | | | | 63,879 | | |
Net increase (decrease) in net assets from capital transactions | | | | | 324,458,922 | | | | | | 420,819,093 | | |
Total increase (decrease) in net assets | | | | | 335,613,429 | | | | | | 397,842,353 | | |
Net Assets: | | | | | | | | | | | | | |
Beginning of period | | | | | 734,309,223 | | | | | | 336,466,870 | | |
End of period | | | | $ | 1,069,922,652 | | | | | $ | 734,309,223 | | |
Capital Share Transactions: | | | | | | | | | | | | | |
Shares sold: | | | | | | | | | | | | | |
Class A | | | | | 125,662 | | | | | | 53,357 | | |
Class I | | | | | 14,863,742 | | | | | | 19,074,555 | | |
Shares reinvested: | | | | | | | | | | | | | |
Class A | | | | | 162 | | | | | | 381 | | |
Class I | | | | | 320,011 | | | | | | 326,281 | | |
Shares redeemed: | | | | | | | | | | | | | |
Class A | | | | | (1,886) | | | | | | (328) | | |
Class I | | | | | (2,976,251) | | | | | | (3,654,941) | | |
Net increase (decrease) in capital share transactions | | | | | 12,331,440 | | | | | | 15,799,305 | | |
CONSOLIDATED STATEMENT OF CASH FLOWS
For the Six Months Ended September 30, 2023 (Unaudited)
| Increase (Decrease) in Cash: | | | | | | | |
| Cash flows provided by (used for) operating activities: | | | | | | | |
| Net increase in net assets resulting from operations | | | | $ | 42,143,484 | | |
| Adjustments to reconcile net increase in net assets from operations to net cash used for operating activities: | | | | | | | |
| Purchases of long-term portfolio investments | | | | | (449,640,525) | | |
| Sales of long-term portfolio investments | | | | | 61,753,894 | | |
| Proceeds from securities sold short | | | | | 645,358 | | |
| Cover short securities | | | | | (277,352) | | |
| Sales of short-term investments, net | | | | | 19,549,674 | | |
| Return of capital dividends received | | | | | 3,509,333 | | |
| Increase in cash deposited with broker for securities sold short | | | | | (354,746) | | |
| Increase in dividends and interest receivable | | | | | (3,548,576) | | |
| Increase in prepaid expenses | | | | | (211,894) | | |
| Decrease in foreign currency due to custodian | | | | | (4,008,242) | | |
| Increase in line of credit payable | | | | | 10,000,000 | | |
| Increase in advisory fees | | | | | 1,254,064 | | |
| Increase in distribution fees | | | | | 98,288 | | |
| Increase in accrued expenses | | | | | 199,990 | | |
| Net amortization on investments | | | | | (874,968) | | |
| Net realized gain | | | | | 21,207 | | |
| Net change in unrealized appreciation/depreciation | | | | | (11,960,614) | | |
| Net cash used for operating activities | | | | | (331,701,625) | | |
| Cash flows provided by (used for) financing activities: | | | | | | | |
| Proceeds from shares sold | | | | | 403,154,056 | | |
| Cost of shares redeemed | | | | | (48,883,337) | | |
| Net increase from payments by affiliates (Note 3) | | | | | — | | |
| Dividends paid to shareholders, net of reinvestments | | | | | (22,588,285) | | |
| Net cash provided by financing activities | | | | | 331,682,434 | | |
| Net decrease in cash | | | | | (19,191) | | |
| Cash: | | | | | | | |
| Beginning of period | | | | | 684,966 | | |
| End of period | | | | $ | 665,775 | | |
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class A
For a capital share outstanding throughout each period.
| | | For the Six Months Ended September 30, 2023 (Unaudited) | | | For the Year Ended March 31, 2023 | | | For the Period August 2, 2021* Through March 31, 2022 | | |||||||||
Net asset value, beginning of period | | | | $ | 25.97 | | | | | $ | 27.65 | | | | | $ | 27.29 | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.76 | | | | | | 1.05 | | | | | | 0.21 | | |
Net realized and unrealized gain (loss) on investments | | | | | 0.34 | | | | | | (0.88) | | | | | | 1.19 | | |
Total from investment operations | | | | | 1.10 | | | | | | 0.17 | | | | | | 1.40 | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.91) | | | | | | (1.71) | | | | | | (0.79) | | |
From net realized gains | | | | | — | | | | | | (0.14) | | | | | | (0.25) | | |
Total distributions | | | | | (0.91) | | | | | | (1.85) | | | | | | (1.04) | | |
Redemption fee proceeds1 | | | | | — | | | | | | — | | | | | | — | | |
Net increase from payment by affiliates (Note 3) | | | | | — | | | | | | 0.002 | | | | | | — | | |
Net asset value, end of period | | | | $ | 26.16 | | | | | $ | 25.97 | | | | | $ | 27.65 | | |
Total return3 | | | | | 4.33%4 | | | | | | 0.69%5,6 | | | | | | 5.17%4 | | |
Ratios and Supplemental Data: | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (in thousands) | | | | $ | 4,640 | | | | | $ | 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, interest expense and extraordinary litigation fees) | | | | | | | | | | | | | | | | | | | |
Before fees waived7,8 | | | | | 2.12%9 | | | | | | 2.24% | | | | | | 2.05%9 | | |
After fees waived7,8 | | | | | 2.05%9,10 | | | | | | 2.04% | | | | | | —11 | | |
Ratio of net investment income to average net assets: | | | | | | | | | | | | | | | | | | | |
(including dividends and interest on securities sold short, excise tax, unused line of credit fees, interest expense and extraordinary litigation fees) | | | | | | | | | | | | | | | | | | | |
Before fees waived | | | | | 5.76%9 | | | | | | 3.84% | | | | | | 1.90%9 | | |
After fees waived | | | | | 5.83%9 | | | | | | 4.04% | | | | | | — | | |
Portfolio turnover rate | | | | | 8%4 | | | | | | 11% | | | | | | 26% | | |
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class A — Continued
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class I
For a capital share outstanding throughout each period.
| | | For the Six Months Ended September 30, 2023 (Unaudited) | | | For the Year Ended March 31, | | ||||||||||||||||||||||||||||||||||||||||||
| | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | | | | |||||||||||||||||||||||||||||
Net asset value, beginning of period | | | | $ | 26.29 | | | | | $ | 27.73 | | | | | $ | 26.62 | | | | | $ | 22.23 | | | | | $ | 25.14 | | | | | $ | 24.77 | | | | | | | ||||||||
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||
Net investment income1 | | | | | 0.87 | | | | | | 1.27 | | | | | | 0.92 | | | | | | 1.19 | | | | | | 1.01 | | | | | | 0.86 | | | | | | | ||||||||
Net realized and unrealized gain (loss) on investments | | | | | 0.33 | | | | | | (0.88) | | | | | | 1.89 | | | | | | 4.73 | | | | | | (2.96) | | | | | | (0.06) | | | | | | | ||||||||
Total from investment operations | | | | | 1.20 | | | | | | 0.39 | | | | | | 2.81 | | | | | | 5.92 | | | | | | (1.95) | | | | | | 0.80 | | | | | | | ||||||||
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||
From net investment income | | | | | (0.92) | | | | | | (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 | | | | | (0.92) | | | | | | (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 | | | | $ | 26.57 | | | | | $ | 26.29 | | | | | $ | 27.73 | | | | | $ | 26.62 | | | | | $ | 22.23 | | | | | $ | 25.14 | | | | | | | ||||||||
Total return3 | | | | | 4.67%4,5 | | | | | | 1.47%5,6 | | | | | | 10.80% | | | | | | 22.75% | | | | | | (4.89)% | | | | | | 3.28% | | | | | | | ||||||||
Ratios and Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||
Net assets, end of period (in thousands) | | | | $ | 1,065,282 | | | | | $ | 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, interest expense and extraordinary litigation fees) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||
Before fees waived7,8 | | | | | 1.29%9 | | | | | | 1.36% | | | | | | 1.16% | | | | | | 1.12% | | | | | | 1.36% | | | | | | 5.28% | | | | | | | ||||||||
After fees waived7,8 | | | | | 1.28%9,10 | | | | | | 1.30% | | | | | | 1.14%11 | | | | | | 1.08% | | | | | | 1.05% | | | | | | 2.35%12 | | | | | | | ||||||||
Ratio of net investment income to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||
(including dividends and interest on securities sold short, excise tax, unused line of credit fees, interest expense and extraordinary litigation fees) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||||
Before fees waived | | | | | 6.59%9 | | | | | | 4.72% | | | | | | 3.34% | | | | | | 4.78% | | | | | | 3.66% | | | | | | 0.49% | | | | | | | ||||||||
After fees waived | | | | | 6.60%9 | | | | | | 4.78% | | | | | | 3.36% | | | | | | 4.82% | | | | | | 3.97% | | | | | | 3.42% | | | | | | | ||||||||
Portfolio turnover rate | | | | | 8%4 | | | | | | 11% | | | | | | 26% | | | | | | 43% | | | | | | 48% | | | | | | 374% | | | | | | |
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class I — Continued
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2023 (Unaudited)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
September 30, 2023 (Unaudited)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
September 30, 2023 (Unaudited)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
September 30, 2023 (Unaudited)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
September 30, 2023 (Unaudited)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
September 30, 2023 (Unaudited)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
September 30, 2023 (Unaudited)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
September 30, 2023 (Unaudited)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
September 30, 2023 (Unaudited)
| 2024 | | | | $ | 46,297 | | |
| 2025 | | | | | 114,082 | | |
| 2026 | | | | | 491,503 | | |
| 2027 | | | | | 41,673 | | |
| Total | | | | $ | 693,555 | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
September 30, 2023 (Unaudited)
| Cost of investments | | | | $ | 765,503,959 | | |
| Gross unrealized appreciation | | | | | 27,066,426 | | |
| Gross unrealized depreciation | | | | | (30,249,259) | | |
| Net unrealized appreciation/(depreciation) on investments | | | | $ | (3,182,833) | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
September 30, 2023 (Unaudited)
| 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 | | | | | (3,182,833) | | |
| Total accumulated earnings/(deficit) | | | | $ | (3,182,833) | | |
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
September 30, 2023 (Unaudited)
| | | | Repurchase Offer | | | Repurchase Offer | |
| Commencement Date: | | | May 31, 2023 | | | August 30, 2023 | |
| Repurchase Request: | | | June 30, 2023 | | | September 29, 2023 | |
| Repurchase Pricing Date: | | | June 30, 2023 | | | September 29, 2023 | |
| Net Asset Value as of Repurchase Offer Date: | | | | | | | |
| Class A Shares | | | $25.95 | | | $26.16 | |
| Class I Shares | | | $26.32 | | | $26.58 | |
| Amount Repurchased: | | | | | | | |
| Class A Shares | | | $— | | | $49,340 | |
| Class I Shares | | | $27,408,197 | | | $51,429,793 | |
| Percentage of Outstanding Shares Repurchased: | | | | | | | |
| Class A Shares | | | —% | | | 1.05% | |
| Class I Shares | | | 2.99% | | | 4.61% | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
September 30, 2023 (Unaudited)
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | $ | — | | | | | $ | 91,134,208 | | | | | $ | — | | | | | $ | 91,134,208 | | |
Bank Loans | | | | | — | | | | | | — | | | | | | 99,541,134 | | | | | | 99,541,134 | | |
Closed-End Funds | | | | | 154,275,821 | | | | | | — | | | | | | — | | | | | | 154,275,821 | | |
Collateralized Loan Obligations | | | | | — | | | | | | 192,026,704 | | | | | | 12,842,759 | | | | | | 204,869,463 | | |
Collateralized Mortgage Obligations | | | | | — | | | | | | 36,441 | | | | | | — | | | | | | 36,441 | | |
Common Stocks* | | | | | 18,626,096 | | | | | | — | | | | | | — | | | | | | 18,626,096 | | |
Corporate Bonds** | | | | | — | | | | | | 25,427,722 | | | | | | — | | | | | | 25,427,722 | | |
Mutual Funds | | | | | 51,437,653 | | | | | | — | | | | | | — | | | | | | 51,437,653 | | |
Private Investment Funds | | | | | — | | | | | | — | | | | | | 164,601,250 | | | | | | 164,601,250 | | |
Real Estate Investment Trusts | | | | | 18,853,193 | | | | | | — | | | | | | 32,045,045 | | | | | | 50,898,238 | | |
Rights | | | | | 85,873 | | | | | | — | | | | | | 615 | | | | | | 86,488 | | |
Units* | | | | | 212,584 | | | | | | — | | | | | | — | | | | | | 212,584 | | |
Warrants | | | | | 350,752 | | | | | | 47 | | | | | | 704,018 | | | | | | 1,054,817 | | |
Short-Term Investments | | | | | 90,156,649 | | | | | | — | | | | | | — | | | | | | 90,156,649 | | |
Subtotal | | | | $ | 333,998,621 | | | | | $ | 308,625,122 | | | | | $ | 309,734,821 | | | | | $ | 952,358,564 | | |
Closed End Funds | | | | | | | | | | | | | | | | | | | | | | | 48,146,522 | | |
Collateralized Loan Obligations | | | | | | | | | | | | | | | | | | | | | | | 12,750,000 | | |
Private Investment Funds | | | | | | | | | | | | | | | | | | | | | | | 46,537,107 | | |
Real Estate Investment Trusts | | | | | | | | | | | | | | | | | | | | | | | 62,874,958 | | |
Total Investments | | | | | | | | | | | | | | | | | | | | | | $ | 1,122,667,151 | | |
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities Sold Short | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | | | $ | 618,655 | | | | | $ | — | | | | | $ | — | | | | | $ | 618,655 | | |
Total Securities Sold Short | | | | $ | 618,655 | | | | | $ | — | | | | | $ | — | | | | | $ | 618,655 | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
September 30, 2023 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | Total gains or losses for the period | | | | | | | | | | | | | | | | | | | | | 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 | | ||||||||||||
| | | Balance as of March 31, 2023 | | | Transfers into Level 3 | | | Transfers out of Level 3 | | | Included in earnings (or changes in net assets) | | | Included in other comprehensive income | | | Net purchases | | | Net sales | | | Balance as of September 30, 2023 | | ||||||||||||||||||||||||||||||
Asset-Backed Securities | | | | $ | 16,692,730 | | | | | | — | | | | | | (16,922,224) | | | | | | (251,431) | | | | | | — | | | | | | 480,925 | | | | | | — | | | | | $ | — | | | | | $ | (87,420) | | |
Bank Loans | | | | $ | 89,465,694 | | | | | | — | | | | | | (5,000,000) | | | | | | (5,835,530) | | | | | | — | | | | | | 26,969,511 | | | | | | (6,058,541) | | | | | $ | 99,541,134 | | | | | $ | (3,462,831) | | |
Collateralized Loan Obligations | | | | $ | — | | | | | | 10,075,870 | | | | | | — | | | | | | 12,461 | | | | | | — | | | | | | 2,754,428 | | | | | | — | | | | | $ | 12,842,759 | | | | | $ | 12,452 | | |
Collateralized Mortgage Obligations | | | | $ | 6,506,886 | | | | | | — | | | | | | (5,019,141) | | | | | | (1,487,745) | | | | | | — | | | | | | — | | | | | | — | | | | | $ | — | | | | | $ | (127,185) | | |
Private Investment Funds | | | | $ | 18,416,057 | | | | | | 134,312,587 | | | | | | — | | | | | | 8,872,606 | | | | | | — | | | | | | 3,000,000 | | | | | | — | | | | | $ | 164,601,250 | | | | | $ | (843,501) | | |
Real Estate Investment Trusts | | | | $ | 46,677,171 | | | | | | — | | | | | | (26,709,467) | | | | | | (1,522,659) | | | | | | — | | | | | | 13,600,000 | | | | | | — | | | | | $ | 32,045,045 | | | | | $ | (1,522,659) | | |
Rights | | | | $ | 491 | | | | | | 124 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | $ | 615 | | | | | $ | — | | |
Warrants | | | | $ | 1,074,079 | | | | | | 31 | | | | | | — | | | | | | (122,848) | | | | | | — | | | | | | — | | | | | | (247,244) | | | | | $ | 704,018 | | | | | $ | (122,848) | | |
Investments | | | Fair Value | | | Valuation Technique(s) | | | Unobservable Input | | | Range of Input | | |||
Bank Loans | | | | $ | 22,410,000 | | | | Recent Transaction Price | | | Recent Transaction Price | | | N/A | |
| | | | $ | 2,519,140 | | | | Market Approach | | | Bond yields | | | 14.22% | |
| | | | $ | 60,724,789 | | | | Market Approach | | | Expected yield | | | 10.3% – 21.7% | |
| | | | $ | 4,643,230 | | | | Market Approach | | | Book value multiple | | | 1.6x | |
| | | | $ | — | | | | Asset Approach | | | Expected remaining distributions | | | $0 | |
Collateralized Loan Obligations | | | | $ | 8,999,924 | | | | Market Approach | | | Expected yield | | | 14.12% – 19.29% | |
| | | | $ | — | | | | Asset Approach | | | Expected remaining distributions | | | $0 | |
Private Investment Funds | | | | $ | 164,601,251 | | | | Adjusted Net Asset Value | | | Reported net asset/fair value adjustments | | | N/A | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
September 30, 2023 (Unaudited)
Investments | | | Fair Value | | | Valuation Technique(s) | | | Unobservable Input | | | Range of Input | | |||
Real Estate Investment Trusts | | | | $ | 32,045,045 | | | | Adjusted Net Asset Value | | | Reported net asset/fair value adjustments | | | N/A | |
Rights | | | | $ | 614 | | | | Asset Approach | | | Expected remaining distributions | | | $1.02 / share | |
Warrants | | | | $ | 704,018 | | | | Market Approach | | | Book value multiple | | | 1.6x | |
| | | | $ | 0 | | | | Market Approach | | | Sales multiple | | | 0.55x | |
Name of Issuer | | | Value Beginning of Period | | | Purchases | | | Sales Proceeds | | | Net Realized Gain (Loss) | | | Tax Basis or Return of Capital Adjustments | | | Prior Year Unrealized Appreciation (Depreciation) | | | Change in Unrealized Appreciation (Depreciation) | | | Value End of Period | | | Investment Income (Loss) | | |||||||||||||||||||||||||||
BC Partners Lending Corp. | | | | | 7,422,799 | | | | | | 5,000,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 77,201 | | | | | | (29,039) | | | | | | 12,470,961 | | | | | | 513,385 | | |
Driehaus Event Driven Fund | | | | | 17,326,069 | | | | | | 6,000,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,173,931 | | | | | | (517,293) | | | | | | 23,982,707 | | | | | | — | | |
Glenmede Secured Options Portfolio – Class Institutional | | | | | 19,248,823 | | | | | | 7,500,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 251,177 | | | | | | 454,947 | | | | | | 27,454,947 | | | | | | — | | |
Haymaker Acquisition Corp. IV | | | | | — | | | | | | 205,330 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 7,254 | | | | | | 212,584 | | | | | | — | | |
Mount Logan Funding LP 2018-1A | | | | | 10,278,111 | | | | | | — | | | | | | — | | | | | | 178,167 | | | | | | — | | | | | | 1,515,068 | | | | | | 1,199,153 | | | | | | 13,170,499 | | | | | | 178,167 | | |
Opportunistic Credit Interval Fund – Class I | | | | | 2,230,262 | | | | | | 6,100,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | (302,262) | | | | | | 196,702 | | | | | | 8,224,702 | | | | | | 354,738 | | |
Palmer Square Capital BDC, Inc.1 | | | | | 7,500,000 | | | | | | 5,000,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 438,290 | | | | | | 12,938,290 | | | | | | 1,235,851 | | |
Palmer Square European Loan Funding 2021-2X1 | | | | | 1,485,487 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,330,496 | | | | | | (925,449) | | | | | | 1,890,534 | | | | | | — | | |
Palmer Square European Loan Funding 2022-1X1 | | | | | 2,009,392 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,276,448 | | | | | | (1,215,491) | | | | | | 2,070,349 | | | | | | — | | |
Palmer Square European Loan Funding 2022-2X1 | | | | | 2,974,865 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,427,028 | | | | | | (1,390,373) | | | | | | 3,011,520 | | | | | | — | | |
Palmer Square European Loan Funding 2022-3X1 | | | | | 7,672,599 | | | | | | — | | | | | | — | | | | | | 20,417 | | | | | | — | | | | | | (983,141) | | | | | | 1,276,415 | | | | | | 7,986,290 | | | | | | 20,417 | | |
Palmer Square European Loan Funding 2022-3X1 | | | | | 4,352,100 | | | | | | — | | | | | | — | | | | | | — | | | | | | 23,496 | | | | | | (411,601) | | | | | | 283,235 | | | | | | 4,247,229 | | | | | | — | | |
Palmer Square European Loan Funding 2023-1X1 | | | | | 3,691,574 | | | | | | — | | | | | | — | | | | | | 9,480 | | | | | | — | | | | | | — | | | | | | 103,107 | | | | | | 3,804,161 | | | | | | 9,480 | | |
Palmer Square European Loan Funding 2023-1A1 | | | | | 7,699,816 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (149,837) | | | | | | (703,624) | | | | | | 6,846,355 | | | | | | — | | |
Palmer Square European Loan Funding 2023-1X1 | | | | | — | | | | | | 10,270,270 | | | | | | — | | | | | | 14,411 | | | | | | — | | | | | | — | | | | | | (241,336) | | | | | | 10,043,345 | | | | | | 14,411 | | |
Palmer Square European Loan Funding 2023-2X1 | | | | | — | | | | | | 9,266,474 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (418,377) | | | | | | 8,848,097 | | | | | | — | | |
Palmer Square Loan Funding Ltd. 2022-3A1 | | | | | 6,276,546 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (26,546) | | | | | | 66,550 | | | | | | 6,316,550 | | | | | | — | | |
Palmer Square Loan Funding Ltd. 2023-4A1 | | | | | — | | | | | | 12,750,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 12,750,000 | | | | | | — | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
September 30, 2023 (Unaudited)
Name of Issuer | | | Value Beginning of Period | | | Purchases | | | Sales Proceeds | | | Net Realized Gain (Loss) | | | Tax Basis or Return of Capital Adjustments | | | Prior Year Unrealized Appreciation (Depreciation) | | | Change in Unrealized Appreciation (Depreciation) | | | Value End of Period | | | Investment Income (Loss) | | |||||||||||||||||||||||||||
Palmer Square Loan Funding Ltd. 2020-1A1 | | | | | 866,837 | | | | | | — | | | | | | — | | | | | | — | | | | | | (966,499) | | | | | | 383,164 | | | | | | (282,508) | | | | | | 993 | | | | | | — | | |
Palmer Square Loan Funding Ltd. 2020-4A1 | | | | | 1,419,808 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 830,192 | | | | | | (631,934) | | | | | | 1,618,066 | | | | | | — | | |
Palmer Square Loan Funding Ltd. 2021-1A1 | | | | | 811,485 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 438,515 | | | | | | (366,885) | | | | | | 883,115 | | | | | | — | | |
Palmer Square Loan Funding Ltd. 2021-3A1 | | | | | 990,675 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 509,325 | | | | | | (527,805) | | | | | | 972,195 | | | | | | — | | |
Palmer Square Loan Funding Ltd. 2021-2A1 | | | | | 1,367,396 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 782,604 | | | | | | (854,385) | | | | | | 1,295,615 | | | | | | — | | |
Palmer Square Loan Funding Ltd. 2021-4A1 | | | | | 2,131,113 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 968,887 | | | | | | (963,020) | | | | | | 2,136,980 | | | | | | — | | |
Palmer Square Loan Funding Ltd. 2022-2A1 | | | | | 4,515,211 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,484,789 | | | | | | (1,264,218) | | | | | | 4,735,782 | | | | | | — | | |
Palmer Square Loan Funding Ltd. 2022-1A1 | | | | | 3,764,008 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,470,992 | | | | | | (1,071,189) | | | | | | 4,163,811 | | | | | | — | | |
Palmer Square Loan Funding Ltd. 2023-1A1 | | | | | 3,922,387 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 77,613 | | | | | | (56,327) | | | | | | 3,943,673 | | | | | | — | | |
Palmer Square Loan Funding Ltd. 2022-4A1 | | | | | 3,444,732 | | | | | | — | | | | | | — | | | | | | 4,877 | | | | | | — | | | | | | 107,979 | | | | | | 114,771 | | | | | | 3,672,359 | | | | | | 4,877 | | |
Palmer Square Loan Funding Ltd. 2022-4A1 | | | | | 7,903,479 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 146,521 | | | | | | (817,114) | | | | | | 7,232,886 | | | | | | — | | |
Palmer Square Loan Funding Ltd. 2023-2A1 | | | | | — | | | | | | 9,500,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 19,504 | | | | | | 9,519,504 | | | | | | — | | |
Palmer Square Loan Funding Ltd. 2023-1A1 | | | | | — | | | | | | 3,797,500 | | | | | | — | | | | | | 1,351 | | | | | | — | | | | | | — | | | | | | 84,138 | | | | | | 3,882,989 | | | | | | 1,351 | | |
Palmer Square Loan Funding Ltd. 2023-1A1 | | | | | — | | | | | | 4,675,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 359,811 | | | | | | 5,034,811 | | | | | | — | | |
Palmer Square Opportunistic Income Fund1 | | | | | 11,466,490 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,333,510 | | | | | | (747,274) | | | | | | 12,052,726 | | | | | | 610,383 | | |
Pender Real Estate Credit Fund – Class I | | | | | 35,500,000 | | | | | | — | | | | | | (6,548,466) | | | | | | 55,388 | | | | | | — | | | | | | 16,533 | | | | | | 102,529 | | | | | | 29,125,984 | | | | | | 921,910 | | |
| | | | $ | 178,272,064 | | | | | $ | 80,064,574 | | | | | $ | (6,548,466) | | | | | $ | 284,091 | | | | | $ | (943,004) | | | | | $ | 13,728,585 | | | | | $ | (8,317,235) | | | | | $ | 256,540,609 | | | | | $ | 3,864,971 | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
September 30, 2023 (Unaudited)
Name of Issuer | | | Shares Beginning of Period | | | Purchases | | | Sales | | | Stock Split | | | Shares End of Period | | |||||||||||||||
BC Partners Lending Corp. | | | | | 338,600 | | | | | | 228,520 | | | | | | — | | | | | | — | | | | | | 567,120 | | |
Driehaus Event Driven Fund | | | | | 1,436,656 | | | | | | 494,319 | | | | | | — | | | | | | — | | | | | | 1,930,975 | | |
Glenmede Secured Options Portfolio – Class Institutional | | | | | 1,515,655 | | | | | | 565,842 | | | | | | — | | | | | | — | | | | | | 2,081,497 | | |
Haymaker Acquisition Corp. IV | | | | | — | | | | | | 20,343 | | | | | | — | | | | | | — | | | | | | 20,343 | | |
Mount Logan Funding LP 2018-1A | | | | | 16,084,782 | | | | | | — | | | | | | — | | | | | | — | | | | | | 16,084,782 | | |
Opportunistic Credit Interval Fund – Class I | | | | | 191,603 | | | | | | 503,638 | | | | | | — | | | | | | — | | | | | | 695,241 | | |
Palmer Square Capital BDC, Inc.1 | | | | | 459,841 | | | | | | 303,030 | | | | | | — | | | | | | — | | | | | | 762,871 | | |
Palmer Square European Loan Funding 2021-2X1 | | | | | 2,500,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 2,500,000 | | |
Palmer Square European Loan Funding 2022-1X1 | | | | | 2,975,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 2,975,000 | | |
Palmer Square European Loan Funding 2022-2X1 | | | | | 4,000,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 4,000,000 | | |
Palmer Square European Loan Funding 2022-3X1 | | | | | 7,500,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 7,500,000 | | |
Palmer Square European Loan Funding 2022-3X1 | | | | | 4,000,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 4,000,000 | | |
Palmer Square European Loan Funding 2023-1X1 | | | | | 3,700,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 3,700,000 | | |
Palmer Square European Loan Funding 2023-1A1 | | | | | 7,100,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 7,100,000 | | |
Palmer Square European Loan Funding 2023-1X1 | | | | | — | | | | | | 10,000,000 | | | | | | — | | | | | | — | | | | | | 10,000,000 | | |
Palmer Square European Loan Funding 2023-2X1 | | | | | — | | | | | | 8,325,000 | | | | | | — | | | | | | — | | | | | | 8,325,000 | | |
Palmer Square Loan Funding Ltd. 2022-3A1 | | | | | 6,250,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 6,250,000 | | |
Palmer Square Loan Funding Ltd. 2023-4A1 | | | | | — | | | | | | 12,750,000 | | | | | | — | | | | | | — | | | | | | 12,750,000 | | |
Palmer Square Loan Funding Ltd. 2020-1A1 | | | | | 1,250,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,250,000 | | |
Palmer Square Loan Funding Ltd. 2020-4A1 | | | | | 2,250,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 2,250,000 | | |
Palmer Square Loan Funding Ltd. 2021-1A1 | | | | | 1,250,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,250,000 | | |
Palmer Square Loan Funding Ltd. 2021-3A1 | | | | | 1,500,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,500,000 | | |
Palmer Square Loan Funding Ltd. 2021-2A1 | | | | | 2,150,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 2,150,000 | | |
Palmer Square Loan Funding Ltd. 2021-4A1 | | | | | 3,100,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 3,100,000 | | |
Palmer Square Loan Funding Ltd. 2022-2A1 | | | | | 6,000,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 6,000,000 | | |
Palmer Square Loan Funding Ltd. 2022-1A1 | | | | | 5,235,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 5,235,000 | | |
Palmer Square Loan Funding Ltd. 2023-1A1 | | | | | 4,000,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 4,000,000 | | |
Palmer Square Loan Funding Ltd. 2022-4A1 | | | | | 3,700,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 3,700,000 | | |
Palmer Square Loan Funding Ltd. 2022-4A1 | | | | | 8,050,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 8,050,000 | | |
Palmer Square Loan Funding Ltd. 2023-2A1 | | | | | — | | | | | | 9,500,000 | | | | | | — | | | | | | — | | | | | | 9,500,000 | | |
Palmer Square Loan Funding Ltd. 2023-1A1 | | | | | — | | | | | | 3,875,000 | | | | | | — | | | | | | — | | | | | | 3,875,000 | | |
Palmer Square Loan Funding Ltd. 2023-1A1 | | | | | — | | | | | | 4,675,000 | | | | | | — | | | | | | — | | | | | | 4,675,000 | | |
Palmer Square Opportunistic Income Fund1 | | | | | 697,899 | | | | | | — | | | | | | — | | | | | | — | | | | | | 697,899 | | |
Pender Real Estate Credit Fund – Class I | | | | | 3,550,000 | | | | | | — | | | | | | (649,006) | | | | | | — | | | | | | 2,900,994 | | |
Total | | | | | 100,785,036 | | | | | | 51,240,692 | | | | | | (649,006) | | | | | | — | | | | | | 151,376,722 | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
September 30, 2023 (Unaudited)
| | | Derivatives not designated as hedging instruments | | |||||||||
| | | Foreign Exchange Contracts | | | Total | | ||||||
Liabilities | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency exchange contracts | | | | $ | 1,889,370 | | | | | $ | 1,889,370 | | |
| | | | $ | 1,889,370 | | | | | $ | 1,889,370 | | |
| | | Derivatives not designated as hedging instruments | | |||||||||
| | | Foreign Exchange Contracts | | | Total | | ||||||
Net Change in Unrealized Appreciation/(Depreciation) on Derivatives | | | | | | | | | | | | | |
Forward contracts | | | | $ | 2,458,337 | | | | | $ | 2,458,337 | | |
| | | | $ | 2,458,337 | | | | | $ | 2,458,337 | | |
Derivatives not designated as hedging instruments | | | | | | | | | | | | | |
Forward contracts | | | Foreign exchange contracts | | | Notional amount | | | | $ | (69,668,535) | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
September 30, 2023 (Unaudited)
Description/Financial Instrument/ Statement of Assets and Liabilities Category | | | | | | Gross Amounts Recognized in Statement of Assets and Liabilities | | | Amounts Not Offset in Statement of Assets and Liabilities | | ||||||||||||||||||
| Counterparty | | | Financial Instruments* | | | Cash Collateral** | | | Net Amount | | |||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts – liability payable | | | BNP Paribas | | | | $ | 1,889,370 | | | | | $ | — | | | | | $ | — | | | | | $ | 1,889,370 | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
September 30, 2023 (Unaudited)
Beneficial Owner | | | % of Outstanding Shares of the Fund | | |||
Charles Schwab & Co. | | | | | 62.3% | | |
National Financial Services, LLC | | | | | 25.5% | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
September 30, 2023 (Unaudited)
FUND INFORMATION
September 30, 2023 (Unaudited)
FUND INFORMATION — Continued
September 30, 2023 (Unaudited)
FUND INFORMATION — Continued
September 30, 2023 (Unaudited)
| | | | TICKER | | | CUSIP | | ||||||
| First Trust Alternative Opportunities Fund – Class A Shares | | | | | VFLAX | | | | | | 75943J209 | | |
| First Trust Alternative Opportunities Fund – Class I Shares | | | | | VFLEX | | | | | | 75943J100 | | |
235 West Galena Street
Milwaukee, WI 53212
Toll Free: (877) 779-1999
PRIVACY POLICY
(Unaudited)
| | FACTS | | | | WHAT DOES THE FUND DO WITH YOUR PERSONAL INFORMATION? | | |
| | Why? | | | | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. | | |
| | What? | | | | The types of personal information we collect and share depend on the product or service you have with us. This information can include: • Social Security number • account balances • account transactions • transaction history • wire transfer instructions • checking account information Even when you are no longer our customer, we continue to share your information as described in this notice. | | |
| | How? | | | | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons funds choose to share; and whether you can limit this sharing. | | |
| | Reasons we can share your personal information | | | | Does the Fund share? | | | | Can you limit this sharing? | | |
| | For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | | | | Yes | | | | No | | |
| | For our marketing purposes — to offer our products and services to you | | | | No | | | | We don’t share | | |
| | For joint marketing with other financial companies | | | | No | | | | We don’t share | | |
| | For our affiliates’ everyday business purposes — information about your transactions and experiences | | | | Yes | | | | No | | |
| | For our affiliates’ everyday business purposes — information about your creditworthiness | | | | No | | | | We don’t share | | |
| | For our affiliates to market to you | | | | No | | | | We don’t share | | |
| | For nonaffiliates to market to you | | | | No | | | | We don’t share | | |
PRIVACY POLICY — Continued
(Unaudited)
| | What we do | | | | | | |
| | How does the Fund protect my personal information? | | | | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. | | |
| | How does the Fund collect my personal information? | | | | We collect your personal information, for example, when you • open an account • provide account information • give us your contact information • make a wire transfer • tell us where to send money We also collect your information from others, such as credit bureaus, affiliates, or other companies. | | |
| | Why can’t I limit all sharing? | | | | Federal law gives you the right to limit only • sharing for affiliates’ everyday business purposes — information about your creditworthiness • sharing for affiliates from using your information to market to you • sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. | | |
| | Definitions | | | | | | |
| | Affiliates | | | | Companies related by common ownership or control. They can be financial and nonfinancial companies. • Our affiliates include companies such as Vivaldi Asset Management, LLC. | | |
| | Nonaffiliates | | | | Companies not related by common ownership or control. They can be financial and nonfinancial companies. • The Fund doesn’t share with nonaffiliates so they can market to you. | | |
| | Joint marketing | | | | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. • The Fund doesn’t jointly market. | | |
(b) Not applicable.
ITEM 2. | CODE OF ETHICS. |
Not applicable to semi-annual reports.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable to semi-annual reports.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable to semi-annual reports.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
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(a) of this form. |
(b) | Not applicable. |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to semi-annual reports.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
(a) | Not applicable to semi-annual reports. |
(b) | Not applicable. |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
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 (17 CFR 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) Not applicable to semi-annual reports. |
(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: | December 8, 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: | December 8, 2023 |
By (Signature and Title)* | /s/ Chad Eisenberg | |
Chad Eisenberg, Treasurer | ||
(Principal Financial Officer) |
Date: | December 8, 2023 |
* Print the name and title of each signing officer under his or her signature.