UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-23179
First Trust Alternative Opportunities Fund
(Exact name of registrant as specified in charter)
c/o UMB Fund Services, Inc.
235 West Galena Street
Milwaukee, WI 53212
(Address of principal executive offices)
Ann Maurer
235 West Galena Street
Milwaukee, WI 53212
(Name and address of agent for service)
Registrant's telephone number, including area code: (414) 299-2270
Date of fiscal year end: March 31
Date of reporting period: March 31, 2024
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-1090. 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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MANAGEMENT DISCUSSION OF FUND PERFORMANCE
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| Michael D. Peck, CFA | | | Brian R. Murphy | |
| Chief Executive Officer, Co-Chief Investment Officer | | | Co-Chief Investment Officer | |
| mpeck@firsttrustcapital.com | | | bmurphy@firsttrustcapital.com | |
FUND PERFORMANCE
March 31, 2024 (Unaudited)
| | Average Annual Total Returns as of March 31, 2024 | | | | 1 Years | | | | Since Inception | | |
| | Class A Shares (Inception Date 8/2/2021) | | | | 9.32% | | | | 5.66% | | |
| | Bloomberg U.S. Aggregate Bond Index | | | | 1.70% | | | | (3.92)% | | |
| | ICE BofA 3 Month U.S. Treasury Bill Index | | | | 5.27% | | | | 2.93% | | |
FUND PERFORMANCE — Continued
March 31, 2024 (Unaudited)
| | Average Annual Total Returns as of March 31, 2024 | | | | 1 Year | | | | 5 Years | | | | Since Inception | | |
| | Class I Shares (Inception Date 6/12/2017) | | | | 10.11% | | | | 7.64% | | | | 5.99% | | |
| | Bloomberg U.S. Aggregate Bond Index | | | | 1.70% | | | | 0.36% | | | | 0.87% | | |
| | ICE BofA 3 Month U.S. Treasury Bill Index | | | | 5.27% | | | | 2.03% | | | | 1.95% | | |
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First Trust Alternative Opportunities Fund
June 5, 2024
CONSOLIDATED SCHEDULE OF INVESTMENTS
As of March 31, 2024
| Principal Amount1 | | | | | | Value | | ||||||
| | | | ASSET-BACKED SECURITIES – 10.7% | | |||||||||
| | | 54,452,6492 | | | | Banco Santander, S.A. Series 2023-1B, Class B, 12.420% (CIBO03M+0 basis points), 10/31/20333,4,5 | | | | $ | 7,881,336 | | |
| | | 4,151,1532 | | | | 9.884%, 8/15/20373 | | | | | 4,471,816 | | |
| | | 1,308,0172 | | | | Series 2021-1, Class CLN, 12.884% (3-Month Euribor+900 basis points), 8/15/20373,4,5 | | | | | 1,411,173 | | |
| | | 4,000,0002 | | | | 12.926%, 5/2/20453 | | | | | 4,317,618 | | |
| | | 9,622,1462 | | | | BNP Paribas S1 Mezzanine Debt 13.436%, 10/12/20323 | | | | | 10,380,997 | | |
| | | 7,000,000 | | | | Broadway 1 Junior Mortgage Class JNR, 13.312% (1-Month Term SOFR+0 basis points), 4/12/20313,4,5,6 | | | | | 7,000,000 | | |
| | | 10,846,5002 | | | | Colossus Series 2023-2 F2, 16.189%, 4/22/20333 | | | | | 13,717,270 | | |
| | | 17,000,000 | | | | Deutsche Bank AG Series 2021-1X, Class CLN, 14.076% (3-Month Term SOFR+876 basis points), 2/21/20293,4,5,6 | | | | | 16,617,500 | | |
| | | 14,000,0002 | | | | Ducati Series 2024-1, 12.935%, 6/20/20303 | | | | | 15,104,111 | | |
| | | 13,034,5182 | | | | Fondo de Titulizacion PYMES Magdalena Series 7, Class NOTE, 13.926% (3-Month Euribor+1,000 basis points), 12/23/20423,4,5 | | | | | 14,069,517 | | |
| | | 7,500,000 | | | | Granville Ltd. Series 2023-1X, Class E2, 15.050% (SOFR Rate+975 basis points), 7/31/20313,4,5 | | | | | 7,500,000 | | |
| | | 10,000,000 | | | | Manitoulin 15.560%, 11/1/20283 | | | | | 9,824,000 | | |
| | | 3,000,0002 | | | | Nightingale Ltd. Series 2021-1 LF, 15.938%, 4/1/20283 | | | | | 3,760,318 | | |
| | | 8,000,0002 | | | | Salis 16.064%, 11/19/20293 | | | | | 10,158,072 | | |
| | | 10,000,000 | | | | Santander Bank Auto Credit-Linked Notes Series Series 2023-A, Class F, 13.752%, 6/15/20334,7 | | | | | 10,301,210 | | |
| | | 3,000,000 | | | | Series 2023-A, Class G, 24.695%, 6/15/20334,7 | | | | | 3,054,300 | | |
| | | 14,000,000 | | | | St. Lawrence Corp. Series 2023-1X, Class MEZZ, 15.050% (SOFR Rate+975 basis points), 5/25/20333,4,5 | | | | | 14,000,000 | | |
| | | 9,000,0002 | | | | Vale Securities Finance Series 2023-1B, Class B, 13.425% (3-Month Euribor+0 basis points), 7/28/20323,4,5,6 | | | | | 9,709,785 | | |
| | | | | | | TOTAL ASSET-BACKED SECURITIES (Cost $162,995,384) | | | | | 163,279,023 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
| Principal Amount1 | | | | | | Value | | ||||||
| | | | BANK LOANS – 8.8% | | |||||||||
| | | 5,094,386 | | | | Advantage Capital Holdings, LLC 0.000% Cash, 12.500% PIK6,8 | | | | $ | 5,421,757 | | |
| | | 2,677,584 | | | | 8.000% Cash, 5.000% PIK, 4/14/20276,8 | | | | | 2,627,513 | | |
| | | 5,000,000 | | | | Antares Loan Funding – Class C 12.318%, 2/17/2032 | | | | | 5,000,000 | | |
| | | 299,436 | | | | BJ Services 18.600%6,9 | | | | | 275,481 | | |
| | | 7,000,000 | | | | Black Rifle Coffee Company, LLC 13.869%, 8/10/20286 | | | | | 6,860,000 | | |
| | | 7,500,000 | | | | CherCo, LLC 14.478%, 9/1/20256 | | | | | 7,425,000 | | |
| | | 25,000,000 | | | | CIRE Alto OpCo, LLC 10.800%, 11/29/20246 | | | | | 25,000,000 | | |
| | | 17,719,630 | | | | Florida Marine 15.241%, 3/17/20286 | | | | | 17,985,425 | | |
| | | 3,325,000 | | | | GH Group, Inc. 16.500%, 11/30/20266 | | | | | 3,192,000 | | |
| | | 5,075,098 | | | | IFit, Inc. 14.074%, 2/24/20276,8 | | | | | 4,846,719 | | |
| | | 6,391,359 | | | | Lucky Bucks Holdings, LLC 0.000% Cash, 12.500% PIK, 5/29/20286,8,9 | | | | | — | | |
| | | 199,493 | | | | Premier Brands Group Holdings, LLC 14.413%, 3/20/20266 | | | | | 196,501 | | |
| | | 10,307,391 | | | | Shryne Group, Inc. 17.000% Cash, 1.000% PIK, 5/26/20266,8 | | | | | 10,358,928 | | |
| | | 5,457,644 | | | | Steward Health Care System, LLC 16.180%, 6/30/20246 | | | | | 5,457,644 | | |
| | | 20,866,341 | | | | 21.250%, 12/31/20276,8 | | | | | 19,823,024 | | |
| | | 8,594,568 | | | | Stronghold Digital Mining, Inc. 15.328%, 10/25/20256 | | | | | 8,422,677 | | |
| | | 8,757,397 | | | | TCW Fenix Topco, LLC 11.810%, 3/28/20296 | | | | | 8,492,048 | | |
| | | 2,076,847 | | | | Wellbore Integrity Solutions, LLC 9.822% Cash, 6.950% PIK, 12/31/20246,8 | | | | | 2,056,079 | | |
| | | 1,351,327 | | | | 12.369%, 12/31/20246 | | | | | 1,351,326 | | |
| | | | | | | TOTAL BANK LOANS (Cost $140,020,673) | | | | | 134,792,122 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
| Number of Shares | | | | | | Value | | ||||||
| | | | CLOSED-END FUNDS – 16.3% | | | | | | | | |||
| | | 567,120 | | | | BC Partners Lending Corp.10 | | | | $ | 12,777,206 | | |
| | | 2,744,777 | | | | Cliffwater Corporate Lending Fund – Class I | | | | | 28,957,403 | | |
| | | 7,027,912 | | | | Cliffwater Enhanced Lending Fund – Class I | | | | | 75,198,661 | | |
| | | 20,559 | | | | Invesco Dynamic Credit Opportunities Fund – Class AX | | | | | 228,002 | | |
| | | 2,071,833 | | | | Opportunistic Credit Interval Fund – Class I10 | | | | | 24,178,293 | | |
| | | 1,522,749 | | | | Palmer Square Capital BDC, Inc.10 | | | | | 24,805,579 | | |
| | | 697,900 | | | | Palmer Square Opportunistic Income Fund10 | | | | | 12,450,528 | | |
| | | 1,359,687 | | | | Pender Real Estate Credit Fund – Class I | | | | | 13,651,258 | | |
| | | 1,501,178 | | | | Pomona Investment Fund LP | | | | | 23,053,135 | | |
| | | 623,793 | | | | StepStone Private Markets – Class I | | | | | 32,742,895 | | |
| | | | | | | TOTAL CLOSED-END FUNDS (Cost $235,697,662) | | | | | 248,042,960 | | |
| Principal Amount1 | | | | | | | | | | | |||
| | | | COLLATERALIZED LOAN OBLIGATIONS – 19.3% | | |||||||||
| | | 815,000 | | | | AIMCO CLO Series 2017-AA, Class DR, 8.729% (3-Month Term SOFR+341 basis points), 4/20/20344,5,7 | | | | | 807,726 | | |
| | | 1,000,000 | | | | ALM Ltd. Series 2020-1A, Class D, 11.576% (3-Month Term SOFR+626 basis points), 10/15/20294,5,7 | | | | | 1,000,629 | | |
| | | 7,000,000 | | | | Antares Loan Funding CLO 0.000%, 2/17/2032*,6 | | | | | 7,814,671 | | |
| | | 1,000,000 | | | | Apidos CLO Ltd. Series 2018-29A, Class D, 10.836% (3-Month Term SOFR+551 basis points), 7/25/20304,5,7 | | | | | 990,923 | | |
| | | 1,500,000 | | | | Series 2017-28A, Class C, 8.079% (3-Month Term SOFR+276 basis points), 1/20/20314,5,7 | | | | | 1,469,444 | | |
| | | 1,000,000 | | | | Series 2013-15A, Class ERR, 11.279% (3-Month Term SOFR+596 basis points), 4/20/20314,5,7 | | | | | 991,498 | | |
| | | 500,000 | | | | Series 2015-20A, Class DR, 11.276% (3-Month Term SOFR+596 basis points), 7/16/20314,5,7 | | | | | 487,690 | | |
| | | 500,000 | | | | Series XXXA, Class D, 11.160% (3-Month Term SOFR+586 basis points), 10/18/20314,5,7 | | | | | 495,287 | | |
| | | 1,000,000 | | | | Series 2023-44A, Class E, 13.574% (3-Month Term SOFR+825 basis points), 4/26/20354,5,7 | | | | | 1,010,951 | | |
| | | 1,000,000 | | | | Series 2023-45A, Class E, 13.724% (3-Month Term SOFR+840 basis points), 4/26/20364,5,7 | | | | | 1,025,279 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
| Principal Amount1 | | | | | | Value | | ||||||
| | | | | | | COLLATERALIZED LOAN OBLIGATIONS (Continued) | | | |||||
| | | 1,000,000 | | | | Ares CLO Ltd. Series 2018-47A, Class D, 8.276% (3-Month Term SOFR+296 basis points), 4/15/20304,5,7 | | | | $ | 997,730 | | |
| | | 850,000 | | | | Series 2018-50A, Class D, 8.476% (3-Month Term SOFR+316 basis points), 1/15/20324,5,7 | | | | | 843,767 | | |
| | | 907,904 | | | | 0.000%, 7/11/20336 | | | | | 973,842 | | |
| | | 1,500,000 | | | | Assurant CLO Ltd. Series 2017-1A, Class ER, 12.779% (3-Month Term SOFR+746 basis points), 10/20/20344,5,7 | | | | | 1,410,898 | | |
| | | 1,000,000 | | | | Atrium, LLC Series 14A, Class D, 8.526% (3-Month Term SOFR+321 basis points), 8/23/20304,5,7 | | | | | 995,000 | | |
| | | 1,000,000 | | | | Bain Capital Credit CLO Ltd. Series 2018-1A, Class D, 8.277% (3-Month Term SOFR+296 basis points), 4/23/20314,5,7 | | | | | 988,190 | | |
| | | 750,000 | | | | Barings CLO Ltd. Series 2017-1A, Class E, 11.560% (3-Month Term SOFR+626 basis points), 7/18/20294,5,7 | | | | | 751,524 | | |
| | | 1,500,000 | | | | Bean Creek CLO Ltd. Series 2015-1A, Class DR, 8.329% (3-Month Term SOFR+301 basis points), 4/20/20314,5,7 | | | | | 1,489,713 | | |
| | | 500,000 | | | | Benefit Street Partners CLO Ltd. Series 2015-8A, Class DR, 11.179% (3-Month Term SOFR+586 basis points), 1/20/20314,5,7 | | | | | 472,081 | | |
| | | 1,500,000 | | | | Series 2018-5BA, Class C, 8.509% (3-Month Term SOFR+319 basis points), 4/20/20314,5,7 | | | | | 1,499,970 | | |
| | | 1,250,000 | | | | Series 2019-17A, Class DR, 8.926% (3-Month Term SOFR+361 basis points), 7/15/20324,5,7 | | | | | 1,257,315 | | |
| | | 1,000,000 | | | | Series 2021-23A, Class E, 12.396% (3-Month Term SOFR+707 basis points), 4/25/20344,5,7 | | | | | 1,002,530 | | |
| | | 4,000,000 | | | | BFNS, LLC Series 2022-1A, Class C, 7.000%, 7/10/20354,5,7 | | | | | 3,366,836 | | |
| | | 1,825,000 | | | | Bristol Park CLO Ltd. Series 2016-1A, Class ER, 12.576% (3-Month Term SOFR+726 basis points), 4/15/20294,5,7 | | | | | 1,805,540 | | |
| | | 750,000 | | | | Bryant Park Funding Ltd. Series 2023-21A, Class E, 13.955% (3-Month Term SOFR+847 basis points), 10/18/20364,5,7 | | | | | 771,406 | | |
| | | 1,000,000 | | | | Carbone CLO Ltd. Series 2017-1A, Class C, 8.179% (3-Month Term SOFR+286 basis points), 1/20/20314,5,7 | | | | | 997,500 | | |
| | | 1,800,000 | | | | Carlyle Global Market Strategies CLO Ltd. Series 2014-4RA, Class C, 8.476% (3-Month Term SOFR+316 basis points), 7/15/20304,5,7 | | | | | 1,761,551 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
| Principal Amount1 | | | | | | Value | | ||||||
| | | | | | | COLLATERALIZED LOAN OBLIGATIONS (Continued) | | | |||||
| | | 1,000,000 | | | | Series 2014-3RA, Class C, 8.531% (3-Month Term SOFR+321 basis points), 7/27/20314,5,7 | | | | $ | 983,385 | | |
| | | 1,000,000 | | | | Series 2015-4A, Class CR, 9.279% (3-Month Term SOFR+396 basis points), 7/20/20324,5,7 | | | | | 1,000,003 | | |
| | | 1,000,000 | | | | Carlyle U.S. CLO Ltd. Series 2017-2A, Class C, 9.279% (3-Month Term SOFR+396 basis points), 7/20/20314,5,7 | | | | | 986,315 | | |
| | | 520,000 | | | | Catamaran CLO Ltd. Series 2018-1A, Class D, 9.236% (3-Month Term SOFR+391 basis points), 10/25/20314,5,7 | | | | | 517,182 | | |
| | | 1,100,000 | | | | Catskill Park CLO Ltd. Series 2017-1A, Class D, 11.579% (3-Month Term SOFR+626 basis points), 4/20/20294,5,7 | | | | | 1,097,915 | | |
| | | 1,000,000 | | | | CIFC Funding Ltd. Series 2018-2A, Class D, 11.429% (3-Month Term SOFR+611 basis points), 4/20/20314,5,7 | | | | | 1,003,717 | | |
| | | 1,000,000 | | | | Series 2018-3A, Class D, 8.410% (3-Month Term SOFR+311 basis points), 7/18/20314,5,7 | | | | | 1,006,014 | | |
| | | 600,000 | | | | Series 2016-1A, Class D2RR, 9.829% (3-Month Term SOFR+451 basis points), 10/21/20314,5,7 | | | | | 598,550 | | |
| | | 1,000,000 | | | | Series 2014-3A, Class DR2, 8.979% (3-Month Term SOFR+366 basis points), 10/22/20314,5,7 | | | | | 997,527 | | |
| | | 750,000 | | | | Deer Creek CLO Ltd. Series 2017-1A, Class E, 11.929% (3-Month Term SOFR+661 basis points), 10/20/20304,5,7 | | | | | 756,239 | | |
| | | 1,000,000 | | | | Dewolf Park CLO Ltd. Series 2017-1A, Class DR, 8.426% (3-Month Term SOFR+311 basis points), 10/15/20304,5,7 | | | | | 991,532 | | |
| | | 750,000 | | | | Dryden Senior Loan Fund Series 2013-30A, Class DR, 8.169% (3-Month Term SOFR+286 basis points), 11/15/20284,5,7 | | | | | 741,042 | | |
| | | 1,500,000 | | | | Series 2013-26A, Class DR, 8.276% (3-Month Term SOFR+296 basis points), 4/15/20294,5,7 | | | | | 1,488,921 | | |
| | | 1,000,000 | | | | Series 2014-36A, Class DR3, 9.266% (3-Month Term SOFR+395 basis points), 4/15/20294,5,7 | | | | | 1,008,983 | | |
| | | 1,270,000 | | | | Series 2017-49A, Class DR, 8.960% (3-Month Term SOFR+366 basis points), 7/18/20304,5,7 | | | | | 1,266,546 | | |
| | | 1,000,000 | | | | Series 2022-106A, Class D, 11.014% (3-Month Term SOFR+570 basis points), 10/15/20354,5,7 | | | | | 1,019,133 | | |
| | | 750,000 | | | | Flatiron CLO Ltd. Series 2023-1A, Class D, 10.567% (3-Month Term SOFR+525 basis points), 4/17/20364,5,7 | | | | | 767,340 | | |
| | | 1,000,000 | | | | Series 2023-2A, Class D, 10.055% (3-Month Term SOFR+485 basis points), 1/15/20374,5,7 | | | | | 1,020,252 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
| Principal Amount1 | | | | | | Value | | ||||||
| | | | | | | COLLATERALIZED LOAN OBLIGATIONS (Continued) | | | |||||
| | | 1,000,000 | | | | Series 2023-2A, Class E, 13.035% (3-Month Term SOFR+783 basis points), 1/15/20374,5,7 | | | | $ | 1,014,047 | | |
| | | 1,000,000 | | | | Galaxy CLO Ltd. Series 2015-21A, Class DR, 8.229% (3-Month Term SOFR+291 basis points), 4/20/20314,5,7 | | | | | 997,500 | | |
| | | 750,000 | | | | Series 2018-27A, Class E, 11.367% (3-Month Term SOFR+604 basis points), 5/16/20314,5,7 | | | | | 751,890 | | |
| | | 1,000,000 | | | | Generate CLO Ltd. Series 2A, Class DR, 8.179% (3-Month Term SOFR+286 basis points), 1/22/20314,5,7 | | | | | 998,903 | | |
| | | 500,000 | | | | Series 6A, Class ER, 12.379% (3-Month Term SOFR+706 basis points), 1/22/20354,5,7 | | | | | 488,237 | | |
| | | 1,000,000 | | | | Series 2023-12A, Class E, 13.718% (3-Month Term SOFR+840 basis points), 7/20/20364,5,7 | | | | | 1,026,945 | | |
| | | 1,500,000 | | | | Harbor Park CLO Ltd. Series 2018-1A, Class D, 8.479% (3-Month Term SOFR+316 basis points), 1/20/20314,5,7 | | | | | 1,475,070 | | |
| | | 1,000,000 | | | | HPS Loan Management Ltd. Series 8A-2016, Class DR, 8.479% (3-Month Term SOFR+316 basis points), 7/20/20304,5,7 | | | | | 994,828 | | |
| | | 1,000,000 | | | | Invesco U.S. CLO Ltd. Series 2023-3A, Class E, 13.579% (3-Month Term SOFR+816 basis points), 7/15/20364,5,7 | | | | | 1,026,466 | | |
| | | 13,500,000 | | | | Kohlberg CLO 0.000%, 12/28/20336 | | | | | 13,934,870 | | |
| | | 1,000,000 | | | | Magnetite CLO Ltd. Series 2018-20A, Class E, 10.929% (3-Month Term SOFR+561 basis points), 4/20/20314,5,7 | | | | | 1,006,162 | | |
| | | 1,500,000 | | | | Series 2022-35A, Class ER, 12.575% (3-Month Term SOFR+725 basis points), 10/25/20364,5,7 | | | | | 1,525,833 | | |
| | | 7,000,000 | | | | MCF CLO Ltd. Series 2018-1A, Class SUB, 0.000%, 7/18/20304,7,11 | | | | | 5,785,284 | | |
| | | 2,950,000 | | | | Series 2019-1A, Class ER, 13.542% (3-Month Term SOFR+0 basis points), 4/17/20364,5,6,7 | | | | | 2,920,500 | | |
| | | 750,000 | | | | Morgan Stanley Eaton Vance CLO Ltd. Series 2023-19A, Class E, 14.218% (3-Month Term SOFR+890 basis points), 7/20/20364,5,7 | | | | | 770,124 | | |
| | | 16,084,782 | | | | Mount Logan Funding LP Series 2018-1A, Class SUBR, 0.000%, 1/22/20334,7,11 | | | | | 11,810,122 | | |
| | | 1,000,000 | | | | Mountain View CLO Ltd. Series 2019-2A, Class D, 9.946% (3-Month Term SOFR+463 basis points), 1/15/20334,5,7 | | | | | 997,599 | | |
| | | 500,000 | | | | Neuberger Berman CLO Ltd. Series 2018-27A, Class D, 8.176% (3-Month Term SOFR+286 basis points), 1/15/20304,5,7 | | | | | 499,568 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
| Principal Amount1 | | | | | | Value | | ||||||
| | | | | | | COLLATERALIZED LOAN OBLIGATIONS (Continued) | | | |||||
| | | 500,000 | | | | New Mountain CLO Ltd. Series CLO-4A, Class D, 10.818% (3-Month Term SOFR+550 basis points), 4/20/20364,5,7 | | | | $ | 513,365 | | |
| | | 750,000 | | | | Series CLO-4A, Class E, 13.468% (3-Month Term SOFR+815 basis points), 4/20/20364,5,7 | | | | | 768,805 | | |
| | | 1,000,000 | | | | Newark BSL CLO Ltd. Series 2017-1A, Class CR, 8.736% (3-Month Term SOFR+341 basis points), 7/25/20304,5,7 | | | | | 992,915 | | |
| | | 700,000 | | | | OCP CLO Ltd. Series 2014-5A, Class DR, 11.286% (3-Month Term SOFR+596 basis points), 4/26/20314,5,7 | | | | | 635,242 | | |
| | | 1,000,000 | | | | Series 2020-8RA, Class C, 9.328% (3-Month Term SOFR+401 basis points), 1/17/20324,5,7 | | | | | 993,913 | | |
| | | 1,000,000 | | | | Octagon Investment Partners Ltd. Series 2012-1A, Class CRR, 9.476% (3-Month Term SOFR+416 basis points), 7/15/20294,5,7 | | | | | 1,000,453 | | |
| | | 1,000,000 | | | | Series 2014-1A, Class DRR, 8.329% (3-Month Term SOFR+301 basis points), 1/22/20304,5,7 | | | | | 992,500 | | |
| | | 1,000,000 | | | | Series 2013-1A, Class DR2, 8.086% (3-Month Term SOFR+276 basis points), 1/25/20314,5,7 | | | | | 982,577 | | |
| | | 750,000 | | | | Series 2022-1A, Class D1, 10.318% (3-Month Term SOFR+500 basis points), 10/20/20354,5,7 | | | | | 755,613 | | |
| | | 800,000 | | | | OSD CLO Ltd. Series 2023-27A, Class E, 13.564% (3-Month Term SOFR+825 basis points), 4/16/20354,5,7 | | | | | 803,846 | | |
| | | 1,500,000 | | | | OZLM Ltd. Series 2017-21A, Class C, 8.249% (3-Month Term SOFR+293 basis points), 1/20/20314,5,7 | | | | | 1,496,704 | | |
| | | 1,000,000 | | | | Series 2014-6A, Class CS, 8.708% (3-Month Term SOFR+339 basis points), 4/17/20314,5,7 | | | | | 993,906 | | |
| | | 900,000 | | | | Series 2014-6A, Class DS, 11.628% (3-Month Term SOFR+631 basis points), 4/17/20314,5,7 | | | | | 859,928 | | |
| | | 2,975,0002 | | | | Palmer Square European Loan Funding Series 2022-1X, Class SUB, 0.000%, 10/15/20314,10,11 | | | | | 2,216,703 | | |
| | | 4,000,0002 | | | | Series 2022-2X, Class SUB, 0.000%, 10/15/20314,10,11 | | | | | 3,462,367 | | |
| | | 4,000,0002 | | | | Series 2022-3X, Class SUB, 0.000%, 4/12/20324,6,10,11 | | | | | — | | |
| | | 7,100,0002 | | | | Series 2023-1A, Class SUB, 0.000%, 11/15/2032*,4,7,10,11 | | | | | 7,241,452 | | |
| | | 3,700,0002 | | | | Series 2023-1X, Class E, 10.431% (3-Month Euribor+653 basis points), 11/15/20324,5,10 | | | | | 4,006,090 | | |
| | | 8,325,0002 | | | | Series 2023-2X, Class SUB, 0.000%, 1/15/2033*,4,10,11 | | | | | 7,844,135 | | |
| | | 8,200,0002 | | | | Series 2023-3X, Class SUB, 0.000%, 5/15/2033*,4,10,11 | | | | | 8,917,676 | | |
| | | 10,575,0002 | | | | Series 2024-1X, Class SUB, 0.000%, 8/15/2033*,4,6,10,11 | | | | | 11,408,998 | | |
| | | 2,500,0002 | | | | Series 2021-2X, Class SUB, 0.000%, 4/15/20354,10,11 | | | | | 1,871,788 | | |
| | | 10,000,0002 | | | | Series 2023-1X, Class SUB, 0.000%, 7/15/2036*,4,10,11 | | | | | 9,656,589 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
| Principal Amount1 | | | | | | Value | | ||||||
| | | | | | | COLLATERALIZED LOAN OBLIGATIONS (Continued) | | | |||||
| | | 11,000,0002 | | | | Series 2023-2X, Class SUB, 0.000%, 10/15/2036*,4,10,11 | | | | $ | 11,899,174 | | |
| | | 1,250,000 | | | | Palmer Square Loan Funding Ltd. Series 2020-1A, Class SUB, 0.000%, 2/20/20284,6,7,10,11 | | | | | — | | |
| | | 2,250,000 | | | | Series 2020-4A, Class SUB, 0.000%, 11/25/20284,7,10,11 | | | | | 659,475 | | |
| | | 1,250,000 | | | | Series 2021-1A, Class SUB, 0.000%, 4/20/20294,7,10,11 | | | | | 977,672 | | |
| | | 2,150,000 | | | | Series 2021-2A, Class SUB, 0.000%, 5/20/20294,7,10,11 | | | | | 1,346,350 | | |
| | | 1,500,000 | | | | Series 2021-3A, Class SUB, 0.000%, 7/20/20294,7,10,11 | | | | | 998,834 | | |
| | | 3,100,000 | | | | Series 2021-4A, Class SUB, 0.000%, 10/15/20294,7,10,11 | | | | | 2,052,130 | | |
| | | 5,235,000 | | | | Series 2022-1A, Class SUB, 0.000%, 4/15/20304,7,10,11 | | | | | 3,735,709 | | |
| | | 6,000,000 | | | | Series 2022-2A, Class SUB, 0.000%, 10/15/20304,7,10,11 | | | | | 4,479,406 | | |
| | | 1,250,000 | | | | Series 2022-5I, Class SUB, 0.000%, 1/15/20314,6,10,11 | | | | | — | | |
| | | 6,250,000 | | | | Series 2022-3A, Class SUB, 0.000%, 4/15/20314,7,10,11 | | | | | 6,156,397 | | |
| | | 4,675,000 | | | | Series 2023-1A, Class SUB, 0.000%, 7/20/2031*,4,7,10,11 | | | | | 5,038,573 | | |
| | | 3,875,000 | | | | Series 2023-1A, Class D, 13.318% (3-Month Term SOFR+800 basis points), 7/20/20314,5,7,10 | | | | | 3,893,508 | | |
| | | 8,050,000 | | | | Series 2022-4A, Class SUB, 0.000%, 7/24/2031*,4,7,10,11 | | | | | 7,709,646 | | |
| | | 3,700,000 | | | | Series 2022-4A, Class D, 12.609% (3-Month Term SOFR+729 basis points), 7/24/20314,5,7,10 | | | | | 3,688,557 | | |
| | | 6,600,000 | | | | Series 2023-2A, Class SUB, 0.000%, 1/25/2032*,4,7,10,11 | | | | | 6,745,442 | | |
| | | 12,750,000 | | | | Series 2023-4A, Class SUB, 0.000%, 10/20/2033*,4,7,10,11 | | | | | 12,874,696 | | |
| | | 4,000,000 | | | | Series 2023-1A, Class SUB, 0.000%, 1/20/20364,7,10,11 | | | | | 3,986,641 | | |
| | | 9,500,000 | | | | Series 2023-2A, Class SUB, 0.000%, 4/20/2036*,4,7,10,11 | | | | | 8,769,909 | | |
| | | 8,000,000 | | | | Series 2023-3A, Class SUB, 0.000%, 1/20/2037*,4,7,10,11 | | | | | 8,044,663 | | |
| | | 13,760,000 | | | | Series 2024-1A, Class SUB, 0.000%, 4/15/2037*,4,7,10,11 | | | | | 13,446,536 | | |
| | | 1,000,000 | | | | Post CLO Ltd. Series 2024-1A, Class E, 12.072% (3-Month Term SOFR+680 basis points), 4/20/20374,5,7 | | | | | 991,352 | | |
| | | 1,000,000 | | | | Regatta Funding Ltd. Series 2018-4A, Class C, 8.886% (3-Month Term SOFR+356 basis points), 10/25/20314,5,7 | | | | | 995,122 | | |
| | | 1,000,000 | | | | Series 2023-2A, Class D, 10.478% (3-Month Term SOFR+525 basis points), 1/25/20374,5,7 | | | | | 1,028,126 | | |
| | | 750,000 | | | | RR Ltd. Series 2018-4A, Class C, 8.526% (3-Month Term SOFR+321 basis points), 4/15/20304,5,7 | | | | | 748,369 | | |
| | | 1,750,000 | | | | Series 2018-5A, Class C, 8.676% (3-Month Term SOFR+336 basis points), 10/15/20314,5,7 | | | | | 1,753,911 | | |
| | | 825,000 | | | | Shackleton CLO Ltd. Series 2015-7RA, Class D, 8.906% (3-Month Term SOFR+359 basis points), 7/15/20314,5,7 | | | | | 817,777 | | |
| | | 3,057,623 | | | | Silver Point Loan Funding, LLC 0.000%, 10/20/20336 | | | | | 3,182,840 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
| Principal Amount1 | | | | | | Value | | ||||||
| | | | | | | COLLATERALIZED LOAN OBLIGATIONS (Continued) | | | |||||
| | | 1,500,000 | | | | Sound Point CLO Ltd. Series 2017-3A, Class C, 8.579% (3-Month Term SOFR+326 basis points), 10/20/20304,5,7 | | | | $ | 1,473,704 | | |
| | | 625,000 | | | | Symphony CLO Ltd. Series 2018-19A, Class D, 8.126% (3-Month Term SOFR+281 basis points), 4/16/20314,5,7 | | | | | 614,481 | | |
| | | 1,500,000 | | | | Texas Debt Capital CLO Ltd. Series 2023-2A, Class E, 12.978% (3-Month Term SOFR+766 basis points), 7/21/20354,5,7 | | | | | 1,512,857 | | |
| | | 500,000 | | | | Voya CLO Ltd. Series 2013-1A, Class CR, 8.526% (3-Month Term SOFR+321 basis points), 10/15/20304,5,7 | | | | | 489,805 | | |
| | | 1,250,000 | | | | Series 2014-1A, Class CR2, 8.360% (3-Month Term SOFR+306 basis points), 4/18/20314,5,7 | | | | | 1,202,601 | | |
| | | 1,000,000 | | | | Series 2018-2A, Class D, 8.326% (3-Month Term SOFR+301 basis points), 7/15/20314,5,7 | | | | | 974,185 | | |
| | | 1,250,500 | | | | Series 2019-2A, Class D, 9.279% (3-Month Term SOFR+396 basis points), 7/20/20324,5,7 | | | | | 1,242,535 | | |
| | | | | | | TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $301,496,687) | | | | | 294,700,583 | | |
| | | | COLLATERALIZED MORTGAGE OBLIGATIONS – 0.0% | | |||||||||
| | | 380,724 | | | | CHL Mortgage Pass-Through Trust Series 2004-29, Class 1X, 0.389%, 2/25/20354,11,12 | | | | | 4 | | |
| | | 4,552 | | | | Connecticut Avenue Securities Trust Series 2019-R01, Class 2M2, 7.885% (30-Day SOFR Average+256 basis points), 7/25/20314,5,7 | | | | | 4,564 | | |
| | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $4,576) | | | | | 4,568 | | |
| Number of Shares | | | | | | | | | | | |||
| | | | COMMON STOCKS – 1.1% | | | | | | | | |||
| | | | | | | BROADCAST SERVICES/PROGRAMS – 0.0% | | | | | | | |
| | | 9,923 | | | | TEGNA, Inc.13 | | | | | 148,250 | | |
| | | | | | | COMMERCIAL BANKS-EASTERN US – 0.0% | | | | | | | |
| | | 16,773 | | | | Lakeland Bancorp, Inc.13 | | | | | 202,953 | | |
| | | | | | | FOOD-RETAIL – 0.1% | | | | | | | |
| | | 23,798 | | | | Misfits Market, Inc.6 | | | | | 885,047 | | |
| | | | | | | GAMING & ENTERTAINMENT – 0.2% | | | | | | | |
| | | 5,182 | | | | Epic Games, Inc.6 | | | | | 2,228,260 | | |
| | | | | | | HUMAN RESOURCES – 0.1% | | | | | | | |
| | | 8,146 | | | | Workrise Technologies, Inc.6 | | | | | 923,186 | | |
| | | | | | | MEDICAL-OUTPATIENT/HOME MEDICAL – 0.0% | | | | | | | |
| | | 5,880 | | | | Amedisys, Inc.*,13 | | | | | 541,901 | | |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | COMMON STOCKS (Continued) | | | | | | | |
| | | | | | | SPECIFIED PURPOSE ACQUISITIONS – 0.7% | | | | | | | |
| | | 1,456 | | | | Ace Global Business Acquisition Ltd.*,14 | | | | $ | 17,552 | | |
| | | 1,774 | | | | Achari Ventures Holdings Corp. I* | | | | | 19,549 | | |
| | | 42,500 | | | | Acri Capital Acquisition Corp.* | | | | | 475,575 | | |
| | | 39,796 | | | | Aimei Health Technology Co., Ltd.*,14 | | | | | 406,715 | | |
| | | 18,482 | | | | Alchemy Investments Acquisition Corp. I*,14 | | | | | 195,724 | | |
| | | 1,489 | | | | Alpha Star Acquisition Corp.*,14 | | | | | 16,826 | | |
| | | 19,429 | | | | Alphatime Acquisition Corp.*,14 | | | | | 212,748 | | |
| | | 24,475 | | | | AlphaVest Acquisition Corp.*,14 | | | | | 267,512 | | |
| | | 19,609 | | | | Aquaron Acquisition Corp.* | | | | | 212,169 | | |
| | | 42,210 | | | | Ares Acquisition Corp. II*,14 | | | | | 446,160 | | |
| | | 26,811 | | | | Bayview Acquisition Corp. – Class A*,14 | | | | | 270,255 | | |
| | | 16,328 | | | | Bellevue Life Sciences Acquisition Corp.* | | | | | 174,057 | | |
| | | 35,000 | | | | Bowen Acquisition Corp.*,14 | | | | | 366,800 | | |
| | | 45,000 | | | | Churchill Capital Corp. VII – Class A* | | | | | 481,500 | | |
| | | 19,797 | | | | Colombier Acquisition Corp. II – Class A*,14 | | | | | 203,315 | | |
| | | 23,028 | | | | ESH Acquisition Corp. – Class A* | | | | | 238,800 | | |
| | | 12,228 | | | | Everest Consolidator Acquisition Corp.* | | | | | 136,587 | | |
| | | 21,190 | | | | ExcelFin Acquisition Corp. – Class A* | | | | | 231,819 | | |
| | | 20,000 | | | | FutureTech II Acquisition Corp. – Class A* | | | | | 222,000 | | |
| | | 23,181 | | | | Global Lights Acquisition Corp.*,14 | | | | | 235,983 | | |
| | | 1,763 | | | | Globalink Investment, Inc.* | | | | | 19,305 | | |
| | | 20,342 | | | | Haymaker Acquisition Corp. IV*,14 | | | | | 211,964 | | |
| | | 19,947 | | | | Horizon Space Acquisition I Corp.*,14 | | | | | 217,023 | | |
| | | 14,391 | | | | Hudson Acquisition I Corp.* | | | | | 152,257 | | |
| | | 61,243 | | | | InFinT Acquisition Corp. – Class A*,14 | | | | | 701,232 | | |
| | | 38,726 | | | | Inflection Point Acquisition Corp. II – Class A*,14 | | | | | 405,461 | | |
| | | 1,962 | | | | Integrated Rail and Resources Acquisition Corp. – Class A* | | | | | 21,484 | | |
| | | 2,354 | | | | Integrated Wellness Acquisition Corp. – Class A*,14 | | | | | 26,647 | | |
| | | 162,277 | | | | Iron Horse Acquisition Corp. | | | | | 1,620,336 | | |
| | | 1,748 | | | | Kairous Acquisition Corp. Ltd.*,14 | | | | | 20,399 | | |
| | | 45,622 | | | | Nabors Energy Transition Corp. II – Class A*,14 | | | | | 474,469 | | |
| | | 27,670 | | | | Newbury Street Acquisition Corp.* | | | | | 298,559 | | |
| | | 2,282 | | | | Nocturne Acquisition Corp. | | | | | 26,585 | | |
| | | 2,885 | | | | OceanTech Acquisitions I Corp. | | | | | 32,947 | | |
| | | 15,561 | | | | Papaya Growth Opportunity Corp. I – Class A* | | | | | 168,370 | | |
| | | 18,409 | | | | Plutonian Acquisition Corp.* | | | | | 197,529 | | |
| | | 19,479 | | | | Qomolangma Acquisition Corp.* | | | | | 212,321 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | COMMON STOCKS (Continued) | | | |||||
| | | | | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | |||||
| | | 11,890 | | | | Quetta Acquisition Corp.* | | | | $ | 121,040 | | |
| | | 20,023 | | | | Redwoods Acquisition Corp. | | | | | 220,653 | | |
| | | 19,239 | | | | RF Acquisition Corp. – Class A* | | | | | 207,974 | | |
| | | 52,326 | | | | Screaming Eagle Acquisition Corp. – Class A*,14 | | | | | 559,888 | | |
| | | 11,894 | | | | Spark I Acquisition Corp.*,14 | | | | | 122,032 | | |
| | | 15,965 | | | | TenX Keane Acquisition – Class A*,14 | | | | | 176,733 | | |
| | | 27,573 | | | | Trailblazer Merger Corp. I* | | | | | 293,101 | | |
| | | 2,396 | | | | Tristar Acquisition I Corp. – Class A*,14 | | | | | 26,260 | | |
| | | | | | | | | | | | 11,366,215 | | |
| | | | | | | TOTAL COMMON STOCKS (Cost $16,063,505) | | | | | 16,295,812 | | |
| Principal Amount2 | | | | | | | | | | | |||
| | | | | | | CORPORATE BONDS – 2.7% | | | | | | | |
| | | | | | | INVESTMENT COMPANIES – 2.7% | | | | | | | |
| | | 1,000,000 | | | | Bain Capital Specialty Finance, Inc. 2.950%, 3/10/20264 | | | | | 939,748 | | |
| | | 2,000,000 | | | | Barings BDC, Inc. 7.000%, 2/15/20294 | | | | | 1,983,918 | | |
| | | | | | | Blackstone Private Credit Fund | | | | | | | |
| | | 2,135,377 | | | | 2.625%, 12/15/20264 | | | | | 1,950,097 | | |
| | | 490,000 | | | | 3.250%, 3/15/20274 | | | | | 452,802 | | |
| | | | | | | Blue Owl Capital Corp. | | | | | | | |
| | | 3,000,000 | | | | 3.750%, 7/22/20254,13 | | | | | 2,911,884 | | |
| | | 1,000,000 | | | | 3.400%, 7/15/20264 | | | | | 942,693 | | |
| | | 500,000 | | | | 2.875%, 6/11/20284 | | | | | 442,433 | | |
| | | | | | | Blue Owl Capital Corp. II | | | | | | | |
| | | 222,000 | | | | 4.625%, 11/26/20244,7 | | | | | 219,813 | | |
| | | 1,000,000 | | | | 8.450%, 11/15/20264,7 | | | | | 1,030,522 | | |
| | | 2,510,000 | | | | Blue Owl Capital Corp. III 3.125%, 4/13/20274 | | | | | 2,288,517 | | |
| | | | | | | Blue Owl Credit Income Corp. | | | | | | | |
| | | 1,000,000 | | | | 5.500%, 3/21/2025 | | | | | 993,070 | | |
| | | 158,000 | | | | 7.750%, 9/16/20274 | | | | | 162,029 | | |
| | | 2,000,000 | | | | 7.950%, 6/13/20284,7 | | | | | 2,075,862 | | |
| | | | | | | Blue Owl Technology Finance Corp. | | | | | | | |
| | | 3,000,000 | | | | 6.750%, 6/30/20254,7 | | | | | 2,978,988 | | |
| | | 1,000,000 | | | | 4.750%, 12/15/20254,7 | | | | | 961,817 | | |
| | | 2,000,000 | | | | 6.750%, 4/4/20294,7 | | | | | 1,977,324 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
| Principal Amount2 | | | | | | Value | | | ||||||||
| | | | | | | CORPORATE BONDS (Continued) | | | | | | | | | ||
| | | | | | | INVESTMENT COMPANIES (Continued) | | | | |||||||
| | | 40,000 | | | | Capital Southwest Corp. 3.375%, 10/1/20264 | | | | $ | 35,931 | | | | ||
| | | | | | | Franklin BSP Lending Corp. | | | | | | | | | ||
| | | 1,000,000 | | | | 4.850%, 12/15/20247 | | | | | 981,600 | | | | ||
| | | 152,000 | | | | 3.250%, 3/30/20264 | | | | | 142,199 | | | | ||
| | | | | | | FS KKR Capital Corp. | | | | | | | | | ||
| | | 800,000 | | | | 4.625%, 7/15/20244 | | | | | 796,673 | | | | ||
| | | 600,000 | | | | 1.650%, 10/12/2024 | | | | | 586,088 | | | | ||
| | | 1,500,000 | | | | 4.125%, 2/1/20254 | | | | | 1,475,196 | | | | ||
| | | 2,000,000 | | | | 2.625%, 1/15/20274 | | | | | 1,815,854 | | | | ||
| | | | | | | Golub Capital BDC, Inc. | | | | | | | | | ||
| | | 1,000,000 | | | | 3.375%, 4/15/20244 | | | | | 999,538 | | | | ||
| | | 2,200,000 | | | | 2.050%, 2/15/20274 | | | | | 1,960,913 | | | | ||
| | | 500,000 | | | | Main Street Capital Corp. 6.950%, 3/1/20294 | | | | | 508,489 | | | | | |
| | | | | | | MidCap Financial Investment Corp. | | | | | | | | | ||
| | | 1,659,000 | | | | 5.250%, 3/3/2025 | | | | | 1,626,339 | | | | ||
| | | 605,000 | | | | 4.500%, 7/16/20264 | | | | | 564,124 | | | | ||
| | | 3,500,000 | | | | New Mountain Finance Corp. 6.875%, 2/1/20294 | | | | | 3,464,622 | | | | ||
| | | | | | | Oaktree Specialty Lending Corp. | | | | | | | | | ||
| | | 1,000,000 | | | | 2.700%, 1/15/20274 | | | | | 905,144 | | | | ||
| | | 3,000,000 | | | | 7.100%, 2/15/20294 | | | | | 3,102,672 | | | | ||
| | | 500,000 | | | | Sixth Street Specialty Lending, Inc. 3.875%, 11/1/20244 | | | | | 493,812 | | | | ||
| | | | | | | | | | | | 41,770,711 | | | | ||
| | | | | | | TOTAL CORPORATE BONDS (Cost $40,991,386) | | | | | 41,770,711 | | | | ||
| Number of Shares | | | | | | | | | | | | |||||
| | | | | | | MUTUAL FUNDS – 4.6% | | | | | | | | | ||
| | | 2,092,463 | | | | Driehaus Event Driven Fund10 | | | | | 26,406,891 | | | | ||
| | | 3,094,777 | | | | Glenmede Secured Options Portfolio – Class Institutional10 | | | | | 43,852,986 | | | | ||
| | | | | | | TOTAL MUTUAL FUNDS (Cost $67,500,000) | | | | | 70,259,877 | | | | ||
| | | | | | | PREFERRED STOCKS – 0.8% | | | | | | | | | ||
| | | | | | | CLOSED-END FUNDS – 0.1% | | | | | | | | | ||
| | | 10,000 | | | | Eagle Point Credit Co., Inc. 8.000%, 1/31/20294 | | | | | 249,600 | | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | PREFERRED STOCKS (Continued) | | | | | | | |
| | | | | | | CLOSED-END FUNDS (Continued) | | | | | | | |
| | | 30,000 | | | | Eagle Point Income Co., Inc. 8.000%, 4/30/20294 | | | | $ | 741,000 | | |
| | | | | | | | | | | | 990,600 | | |
| | | | | | | CONSUMER STAPLES – 0.2% | | | | | | | |
| | | 83,287 | | | | Misfits Market, Inc. – Series A-1 0.000%6,15 | | | | | 3,539,697 | | |
| | | | | | | FINANCIALS – 0.5% | | | | | | | |
| | | 27,000 | | | | Chime Financial, Inc. – Series A 0.000%6,15 | | | | | 528,930 | | |
| | | 210,870 | | | | Chime Financial, Inc. – Series B 0.000%6,15 | | | | | 4,130,943 | | |
| | | 91,247 | | | | MidCap Financial Investment Corp. 8.000%, 12/15/20284 | | | | | 2,314,937 | | |
| | | 20,000 | | | | New Mountain Finance Corp. 8.250%, 11/15/20284 | | | | | 516,400 | | |
| | | | | | | | | | | | 7,491,210 | | |
| | | | | | | TECHNOLOGY – 0.0% | | | | | | | |
| | | 4,873 | | | | Workrise Technologies, Inc. – Series A 0.000%6,15 | | | | | 565,268 | | |
| | | | | | | TOTAL PREFERRED STOCKS (Cost $12,350,250) | | | | | 12,586,775 | | |
| | | | | | | PRIVATE INVESTMENT FUNDS – 18.7% | | | | | | | |
| | | N/A16 | | | | Arlington Capital Partners VI LP | | | | | 1,346,614 | | |
| | | N/A16 | | | | Blue Owl Real Estate Net Lease Property Fund | | | | | 29,497,154 | | |
| | | N/A16 | | | | DSC Meridian Credit Opportunities Onshore Fund LP6 | | | | | 32,365,402 | | |
| | | N/A16 | | | | Eisler Capital Multi Strategy Fund LP6 | | | | | 30,459,575 | | |
| | | N/A16 | | | | HS Investments V F LP | | | | | 335,783 | | |
| | | N/A16 | | | | Hudson Bay Fund LP6 | | | | | 9,735,036 | | |
| | | N/A16 | | | | Linden Investors LP6 | | | | | 20,926,960 | | |
| | | N/A16 | | | | Nuveen Real Estate U.S. Cities Industrial Fund LP6 | | | | | 7,629,352 | | |
| | | N/A16 | | | | Nuveen Real Estate U.S. Cities Multifamily Fund LP6 | | | | | 7,104,681 | | |
| | | N/A16 | | | | Old Orchard Credit Fund LP6 | | | | | 23,043,845 | | |
| | | N/A16 | | | | Point72 Capital LP6 | | | | | 31,059,787 | | |
| | | N/A16 | | | | Quiet SPV R9 LP | | | | | 5,763,725 | | |
| | | N/A16 | | | | Quiet T1 LP | | | | | 1,963,497 | | |
| | | N/A16 | | | | Rivernorth Capital Partners LP6,10 | | | | | 18,260,442 | | |
| | | N/A16 | | | | Savory Fund III Blocked LP | | | | | 1,000,000 | | |
| | | N/A16 | | | | Seer Capital Partners Fund LP | | | | | 2,729,416 | | |
| | | N/A16 | | | | Seer Capital Regulatory Capital Relief Fund | | | | | 7,000,000 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | PRIVATE INVESTMENT FUNDS (Continued) | | | |||||
| | | N/A16 | | | | TCW Direct Lending VIII, LLC | | | | $ | 29,590,637 | | |
| | | N/A16 | | | | Walleye Opportunities Fund LP6 | | | | | 20,324,513 | | |
| | | N/A16 | | | | Whitehawk IV-Plus Onshore Fund LP | | | | | 5,389,637 | | |
| | | | | | | TOTAL PRIVATE INVESTMENT FUNDS (Cost $264,064,189) | | | | | 285,526,056 | | |
| | | | | | | REAL ESTATE INVESTMENT TRUSTS – 8.9% | | | | | | | |
| | | 1,093,426 | | | | Bailard Real Estate Investment Trust, Inc. | | | | | 33,721,256 | | |
| | | N/A16 | | | | CIRE Real Estate Investment Trust, Inc. | | | | | 61,167,818 | | |
| | | 1,434,984 | | | | Invesco Real Estate Income Trust, Inc. – Class I6,10 | | | | | 40,069,016 | | |
| | | | | | | TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $137,319,889) | | | | | 134,958,090 | | |
| | | | | | | RIGHTS – 0.0% | | | | | | | |
| | | 481 | | | | ABIOMED, Inc., Expiration Date: December 30, 2029*,6,13 | | | | | 491 | | |
| | | 4,393 | | | | AIB Acquisition Corp., Expiration Date: March 31, 2024*,14 | | | | | 488 | | |
| | | 39,796 | | | | Aimei Health Technology Co., Ltd., Expiration Date: December 4, 2024* | | | | | 7,223 | | |
| | | 1,489 | | | | Alpha Star Acquisition Corp., Expiration Date: April 1, 2024*,14 | | | | | 149 | | |
| | | 19,429 | | | | Alphatime Acquisition Corp., Expiration Date: May 14, 2024*,14 | | | | | 2,176 | | |
| | | 24,475 | | | | AlphaVest Acquisition Corp., Expiration Date: May 21, 2024*,14 | | | | | 1,929 | | |
| | | 19,609 | | | | Aquaron Acquisition Corp., Expiration Date: May 14, 2024* | | | | | 3,433 | | |
| | | 26,811 | | | | Bayview Acquisition Corp., Expiration Date: May 17, 2024*,14 | | | | | 2,949 | | |
| | | 16,328 | | | | Bellevue Life Sciences Acquisition Corp., Expiration Date: May 22, 2024* | | | | | 2,221 | | |
| | | 35,000 | | | | Bowen Acquisition Corp., Expiration Date: November 26, 2026*,14 | | | | | 3,850 | | |
| | | 1,207 | | | | Breeze Holdings Acquisition Corp., Expiration Date: May 24, 2027* | | | | | 229 | | |
| | | 31,924 | | | | Distoken Acquisition Corp., Expiration Date: April 21, 2024*,14 | | | | | 2,586 | | |
| | | 23,028 | | | | ESH Acquisition Corp., Expiration Date: July 20, 2024* | | | | | 1,865 | | |
| | | 1,765 | | | | Financial Strategies Acquisition Corp., Expiration Date: March 28, 2024* | | | | | 18 | | |
| | | 23,181 | | | | Global Lights Acquisition Corp., Expiration Date: December 3, 2024*,14 | | | | | 6,479 | | |
| | | 1,763 | | | | Globalink Investment, Inc., Expiration Date: April 14, 2024* | | | | | 144 | | |
| | | 23,908 | | | | Goldenstone Acquisition Ltd., Expiration Date: July 11, 2024* | | | | | 2,080 | | |
| | | 19,947 | | | | Horizon Space Acquisition I Corp., Expiration Date: June 19, 2024*,14 | | | | | 1,596 | | |
| | | 14,391 | | | | Hudson Acquisition I Corp., Expiration Date: May 14, 2024* | | | | | 3,329 | | |
| | | 162,277 | | | | Iron Horse Acquisition Corp., Expiration Date: February 27, 2025* | | | | | 30,833 | | |
| | | 1,748 | | | | Kairous Acquisition Corp. Ltd., Expiration Date: April 15, 2024*,14 | | | | | 143 | | |
| | | 25,305 | | | | Mars Acquisition Corp., Expiration Date: May 14, 2024*,14 | | | | | 5,238 | | |
| | | 20,035 | | | | Metal Sky Star Acquisition Corp., Expiration Date: June 27, 2024*,14 | | | | | 1,276 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | RIGHTS (Continued) | | | |||||
| | | 1,689 | | | | Mountain Crest Acquisition Corp. V, Expiration Date: October 13, 2024* | | | | $ | 217 | | |
| | | 2,282 | | | | Nocturne Acquisition Corp., Expiration Date: April 15, 2024*,14 | | | | | 374 | | |
| | | 3,780 | | | | NorthView Acquisition Corp., Expiration Date: May 16, 2024* | | | | | 567 | | |
| | | 18,409 | | | | Plutonian Acquisition Corp., Expiration Date: April 15, 2024* | | | | | 3,148 | | |
| | | 19,479 | | | | Qomolangma Acquisition Corp., Expiration Date: May 12, 2024* | | | | | 1,755 | | |
| | | 1,189 | | | | Quetta Acquisition Corp., Expiration Date: May 31, 2024* | | | | | 1,201 | | |
| | | 20,023 | | | | Redwoods Acquisition Corp., Expiration Date: April 9, 2024* | | | | | 4,445 | | |
| | | 19,239 | | | | RF Acquisition Corp., Expiration Date: May 27, 2024* | | | | | 1,755 | | |
| | | 15,965 | | | | TenX Keane Acquisition, Expiration Date: May 15, 2024*,14 | | | | | 2,909 | | |
| | | 27,573 | | | | Trailblazer Merger Corp. I, Expiration Date: May 13, 2024* | | | | | 2,057 | | |
| | | 1,805 | | | | Viveon Health Acquisition Corp., Expiration Date: July 31, 2024* | | | | | 90 | | |
| | | 3,680 | | | | Welsbach Technology Metals Acquisition Corp., Expiration Date: June 19, 2024* | | | | | 276 | | |
| | | | | | | TOTAL RIGHTS (Cost $491) | | | | | 99,519 | | |
| | | | | | | UNITS – 0.3% | | | | | | | |
| | | | | | | SPECIFIED PURPOSE ACQUISITIONS – 0.3% | | | | | | | |
| | | 126,024 | | | | Black Hawk Acquisition Corp. | | | | | 1,279,144 | | |
| | | 160,000 | | | | DT Cloud Acquisition Corp.*,14 | | | | | 1,625,600 | | |
| | | 47,773 | | | | IB Acquisition Corp. | | | | | 477,969 | | |
| | | 62,700 | | | | JVSPAC Acquisition Corp.*,14 | | | | | 644,556 | | |
| | | 117,247 | | | | Legato Merger Corp. III*,14 | | | | | 1,188,298 | | |
| | | | | | | | | | | | 5,215,567 | | |
| | | | | | | TOTAL UNITS (Cost $5,174,253) | | | | | 5,215,567 | | |
| | | | | | | WARRANTS – 0.1% | | | | | | | |
| | | 19,983 | | | | Able View Global, Inc., Expiration Date: May 15, 2028*,14 | | | | | 807 | | |
| | | 1,456 | | | | Ace Global Business Acquisition Ltd., Expiration Date: December 31, 2027*,14 | | | | | 32 | | |
| | | 1,774 | | | | Achari Ventures Holdings Corp. I, Expiration Date: October 15, 2026* | | | | | 37 | | |
| | | 287 | | | | Advantage Capital Holdings, LLC, Expiration Date: January 28, 2025*,6 | | | | | 928,353 | | |
| | | 1,341 | | | | Aeries Technology, Inc., Expiration Date: October 20, 2026*,14 | | | | | 67 | | |
| | | 2,211 | | | | AGBA Group Holding Ltd., Expiration Date: May 10, 2024*,14 | | | | | 35 | | |
| | | 9,241 | | | | Alchemy Investments Acquisition Corp. I, Expiration Date: June 26, 2028*,14 | | | | | 1,756 | | |
| | | 1,489 | | | | Alpha Star Acquisition Corp., Expiration Date: December 13, 2026*,14 | | | | | 15 | | |
| | | 19,429 | | | | Alphatime Acquisition Corp., Expiration Date: January 17, 2028*,14 | | | | | 519 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | WARRANTS (Continued) | | | |||||
| | | 733 | | | | AltEnergy Acquisition Corp., Expiration Date: November 2, 2028* | | | | $ | 39 | | |
| | | 21,105 | | | | Ares Acquisition Corp. II, Expiration Date: June 12, 2028*,14 | | | | | 3,904 | | |
| | | 522 | | | | Atlantic Coastal Acquisition Corp. II, Expiration Date: June 2, 2028* | | | | | 28 | | |
| | | 885 | | | | Ault Disruptive Technologies Corp., Expiration Date: June 20, 2028* | | | | | 8 | | |
| | | 923 | | | | Australian Oilseed, Expiration Date: March 21, 2029* | | | | | 46 | | |
| | | 68 | | | | Banzai International, Inc., Expiration Date: December 31, 2026* | | | | | 1 | | |
| | | 1,469 | | | | Battery Future Acquisition Corp., Expiration Date: May 26, 2028*,14 | | | | | 52 | | |
| | | 16,328 | | | | Bellevue Life Sciences Acquisition Corp., Expiration Date: February 10, 2028* | | | | | 348 | | |
| | | 2,223 | | | | Beneficient, Expiration Date: June 7, 2028* | | | | | 15 | | |
| | | 870 | | | | Binah Capital Group, Expiration Date: June 7, 2028* | | | | | 96 | | |
| | | 1,050 | | | | Bitfufu, Inc., Expiration Date: June 7, 2028* | | | | | 393 | | |
| | | 195 | | | | Blockchain Coinvestors Acquisition Corp. I, Expiration Date: November 1, 2028*,14 | | | | | 8 | | |
| | | 1,544 | | | | Blue Ocean Acquisition Corp., Expiration Date: October 21, 2028*,14 | | | | | 24 | | |
| | | 310 | | | | Brand Engagement Network, Inc., Expiration Date: March 14, 2029* | | | | | 37 | | |
| | | 1,207 | | | | Breeze Holdings Acquisition Corp., Expiration Date: May 25, 2027* | | | | | 1,521 | | |
| | | 1,466 | | | | Cactus Acquisition Corp. I Ltd., Expiration Date: October 29, 2026*,14 | | | | | 73 | | |
| | | 323 | | | | Cero Therapeutics Holdings, Inc., Expiration Date: February 14, 2029* | | | | | 29 | | |
| | | 5,454,545 | | | | CherCo, LLC, Expiration Date: August 31, 2032*,6 | | | | | 272,727 | | |
| | | 21,813 | | | | Churchill Capital Corp. VII, Expiration Date: February 29, 2028* | | | | | 6,980 | | |
| | | 2,030 | | | | Coeptis Therapeutics Holdings, Expiration Date: October 31, 2025* | | | | | 52 | | |
| | | 6,599 | | | | Colombier Acquisition Corp. II, Expiration Date: December 31, 2028*,14 | | | | | 3,036 | | |
| | | 968 | | | | Comera Life Sciences Holdings, Inc., Expiration Date: May 19, 2027* | | | | | 1 | | |
| | | 13,333 | | | | Concord Acquisition Corp. II, Expiration Date: December 31, 2028* | | | | | 1,484 | | |
| | | 117 | | | | Corner Growth Acquisition Corp., Expiration Date: December 31, 2027*,14 | | | | | 18 | | |
| | | 935 | | | | Corner Growth Acquisition Corp. 2, Expiration Date: June 17, 2026*,14 | | | | | 47 | | |
| | | 1,380 | | | | Critical Metals Corp., Expiration Date: June 6, 2028*,14 | | | | | 221 | | |
| | | 9,833 | | | | Denali Capital Acquisition Corp., Expiration Date: April 7, 2027*,14 | | | | | 305 | | |
| | | 637 | | | | Digital Health Acquisition Corp., Expiration Date: November 4, 2028* | | | | | 108 | | |
| | | 31,924 | | | | Distoken Acquisition Corp., Expiration Date: March 30, 2028*,14 | | | | | 607 | | |
| | | 9,836 | | | | dMY Squared Technology Group, Inc., Expiration Date: November 21, 2027* | | | | | 1,033 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | WARRANTS (Continued) | | | |||||
| | | 1,464 | | | | Euda Health Holdings Ltd., Expiration Date: September 24, 2026*,14 | | | | $ | 308 | | |
| | | 1,469 | | | | EVe Mobility Acquisition Corp, Expiration Date: December 31, 2028*,14 | | | | | 194 | | |
| | | 460 | | | | Everest Consolidator Acquisition Corp., Expiration Date: July 19, 2028* | | | | | 60 | | |
| | | 296 | | | | ExcelFin Acquisition Corp., Expiration Date: October 21, 2026* | | | | | 16 | | |
| | | 1,765 | | | | Financial Strategies Acquisition Corp., Expiration Date: March 31, 2028* | | | | | —17 | | |
| | | 795 | | | | Finnovate Acquisition Corp., Expiration Date: September 30, 2026*,14 | | | | | 17 | | |
| | | 1,228 | | | | FOXO Technologies, Inc., Expiration Date: August 1, 2027* | | | | | 2 | | |
| | | 1,177 | | | | Genesis Growth Tech Acquisition Corp., Expiration Date: May 19, 2028*,14 | | | | | 15 | | |
| | | 280,000 | | | | Glass House Brands, Inc., Expiration Date: June 29, 2026*,14 | | | | | 315,280 | | |
| | | 534 | | | | Global Gas Corp., Expiration Date: October 29, 2027* | | | | | 22 | | |
| | | 1,763 | | | | Globalink Investment, Inc., Expiration Date: December 3, 2026* | | | | | 44 | | |
| | | 23,908 | | | | Goldenstone Acquisition Ltd., Expiration Date: July 15, 2026* | | | | | 263 | | |
| | | 10,929 | | | | Gores Holdings IX, Inc., Expiration Date: January 14, 2029* | | | | | 3,060 | | |
| | | 1,266 | | | | Gorilla Technology Group, Inc., Expiration Date: July 14, 2027*,14 | | | | | 100 | | |
| | | 10,171 | | | | Haymaker Acquisition Corp. IV, Expiration Date: September 12, 2028*,14 | | | | | 2,034 | | |
| | | 674 | | | | Healthcare AI Acquisition Corp., Expiration Date: December 14, 2026*,14 | | | | | 30 | | |
| | | 16,500 | | | | Hennessy Capital Investment Corp. VI, Expiration Date: December 31, 2027* | | | | | 1,728 | | |
| | | 19,947 | | | | Horizon Space Acquisition I Corp., Expiration Date: January 26, 2028*,14 | | | | | 535 | | |
| | | 2,424 | | | | Hub Cyber Security Ltd., Expiration Date: February 27, 2028*,14 | | | | | 39 | | |
| | | 14,883 | | | | iCoreConnect, Inc., Expiration Date: May 14, 2028* | | | | | 149 | | |
| | | 1,235,429 | | | | IFit, Inc., Expiration Date: February 24, 3030*,6 | | | | | — | | |
| | | 19,363 | | | | Inflection Point Acquisition Corp. II, Expiration Date: July 17, 2028*,14 | | | | | 2,904 | | |
| | | 981 | | | | Integrated Rail and Resources Acquisition Corp., Expiration Date: November 12, 2026* | | | | | 5 | | |
| | | 1,177 | | | | Integrated Wellness Acquisition Corp., Expiration Date: October 31, 2028*,14 | | | | | 37 | | |
| | | 162,277 | | | | Iron Horse Acquisition Corp., Expiration Date: February 16, 2029* | | | | | 5,047 | | |
| | | 10,018 | | | | Israel Acquisitions Corp., Expiration Date: February 28, 2028*,14 | | | | | 701 | | |
| | | 23,278 | | | | Jaws Mustang Acquisition Corp., Expiration Date: January 30, 2026*,14 | | | | | 5,005 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | WARRANTS (Continued) | | | |||||
| | | 874 | | | | Kairous Acquisition Corp. Ltd., Expiration Date: September 15, 2026*,14 | | | | $ | 17 | | |
| | | 1,382 | | | | LAMF Global Ventures Corp. I, Expiration Date: November 11, 2026*,14 | | | | | 138 | | |
| | | 292 | | | | Learn CW Investment Corp., Expiration Date: December 31, 2028*,14 | | | | | 9 | | |
| | | 479 | | | | Maquia Capital Acquisition Corp., Expiration Date: December 31, 2027* | | | | | 15 | | |
| | | 20,035 | | | | Metal Sky Star Acquisition Corp., Expiration Date: April 1, 2027*,14 | | | | | 196 | | |
| | | 940 | | | | MicroAlgo, Inc., Expiration Date: December 31, 2027*,14 | | | | | 470 | | |
| | | 2,925 | | | | MicroCloud Hologram, Inc., Expiration Date: January 31, 2028*,14 | | | | | 243 | | |
| | | 1,764 | | | | Montana Technologies Corp., Expiration Date: March 15, 2029* | | | | | 924 | | |
| | | 142 | | | | Moringa Acquisition Corp., Expiration Date: February 10, 2026*,14 | | | | | 6 | | |
| | | 770 | | | | MSP Recovery, Inc., Expiration Date: February 14, 2026* | | | | | 39 | | |
| | | 1,265 | | | | MultiMetaVerse Holdings Ltd., Expiration Date: March 15, 2027*,14 | | | | | 19 | | |
| | | 666 | | | | MultiSensor AI Holdings, Inc., Expiration Date: December 19, 2028* | | | | | 34 | | |
| | | 22,811 | | | | Nabors Energy Transition Corp. II, Expiration Date: September 5, 2028*,14 | | | | | 2,509 | | |
| | | 27,873 | | | | Nature’s Miracle Holding, Inc., Expiration Date: March 12, 2029* | | | | | 1,001 | | |
| | | 231 | | | | Near Intelligence, Inc., Expiration Date: July 8, 2027* | | | | | —17 | | |
| | | 9,699 | | | | New Horizon Aircraft Ltd., Expiration Date: April 3, 2028*,14 | | | | | 486 | | |
| | | 1,335 | | | | Newbury Street Acquisition Corp., Expiration Date: December 31, 2027* | | | | | 56 | | |
| | | 577 | | | | NKGen Biotech, Inc., Expiration Date: October 2, 2028* | | | | | 69 | | |
| | | 237 | | | | Northern Revival Acquisition Corp., Expiration Date: December 31, 2027*,14 | | | | | 5 | | |
| | | 1,890 | | | | NorthView Acquisition Corp., Expiration Date: August 2, 2027* | | | | | 66 | | |
| | | 544 | | | | Nukkleus, Inc., Expiration Date: December 31, 2025* | | | | | 36 | | |
| | | 1,061 | | | | Nvni Group Ltd., Expiration Date: November 1, 2028*,14 | | | | | 48 | | |
| | | 2,885 | | | | OceanTech Acquisitions I Corp., Expiration Date: May 10, 2026* | | | | | 101 | | |
| | | 2,151 | | | | OneMedNet Corp., Expiration Date: December 31, 2028* | | | | | 36 | | |
| | | 277 | | | | Onyx Acquisition Co. I, Expiration Date: November 30, 2028*,14 | | | | | 9 | | |
| | | 1,438 | | | | Osiris Acquisition Corp., Expiration Date: May 1, 2028* | | | | | 29 | | |
| | | 522 | | | | Papaya Growth Opportunity Corp. I, Expiration Date: December 31, 2028* | | | | | 26 | | |
| | | 18,409 | | | | Plutonian Acquisition Corp., Expiration Date: October 26, 2027* | | | | | 552 | | |
| | | 479 | | | | Prenetics Global Ltd., Expiration Date: May 17, 2027*,14 | | | | | 5 | | |
| | | 1,990 | | | | Presto Automation, Inc., Expiration Date: September 21, 2027* | | | | | 33 | | |
| | | 948 | | | | Priveterra Acquisition Corp. II, Expiration Date: January 7, 2027* | | | | | 39 | | |
| | | 1,173 | | | | Project Energy Reimagined Acquisition Corp., Expiration Date: December 31, 2028*,14 | | | | | 176 | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | WARRANTS (Continued) | | | |||||
| | | 873 | | | | ProSomnus, Inc., Expiration Date: April 20, 2028* | | | | $ | 15 | | |
| | | 19,479 | | | | Qomolangma Acquisition Corp., Expiration Date: November 23, 2027* | | | | | 294 | | |
| | | 20,023 | | | | Redwoods Acquisition Corp., Expiration Date: March 15, 2027* | | | | | 1,580 | | |
| | | 19,239 | | | | RF Acquisition Corp., Expiration Date: May 1, 2028* | | | | | 250 | | |
| | | 419 | | | | Roadzen, Inc., Expiration Date: November 30, 2028*,14 | | | | | 39 | | |
| | | 833 | | | | Roth CH Acquisition Co., Expiration Date: December 10, 2026* | | | | | 63 | | |
| | | 58 | | | | Roth CH Acquisition Co., Expiration Date: October 29, 2028*,14 | | | | | 1 | | |
| | | 862 | | | | Royalty Management Holding Corp., Expiration Date: May 28, 2026* | | | | | 19 | | |
| | | 17,442 | | | | Screaming Eagle Acquisition Corp., Expiration Date: December 15, 2027*,14 | | | | | 8,241 | | |
| | | 1,693 | | | | SMX Security Matters PLC, Expiration Date: March 7, 2028*,14 | | | | | 17 | | |
| | | 644 | | | | Southland Holdings, Inc., Expiration Date: September 1, 2026* | | | | | 285 | | |
| | | 881 | | | | Southport Acquisition Corp., Expiration Date: May 24, 2028* | | | | | 5 | | |
| | | 5,947 | | | | Spark I Acquisition Corp., Expiration Date: November 27, 2028*,14 | | | | | 1,076 | | |
| | | 2,102 | | | | Spree Acquisition Corp. 1 Ltd., Expiration Date: December 22, 2028*,14 | | | | | 32 | | |
| | | 441 | | | | SunCar Technology Group, Inc., Expiration Date: May 18, 2028*,14 | | | | | 121 | | |
| | | 881 | | | | Swiftmerge Acquisition Corp., Expiration Date: June 17, 2028*,14 | | | | | 49 | | |
| | | 944 | | | | Syntec Optics Holdings, Inc., Expiration Date: November 8, 2026* | | | | | 141 | | |
| | | 852 | | | | TG Venture Acquisition Corp., Expiration Date: August 15, 2028* | | | | | 6 | | |
| | | 166 | | | | TLGY Acquisition Corp., Expiration Date: January 14, 2028*,14 | | | | | 3 | | |
| | | 1,198 | | | | Tristar Acquisition I Corp., Expiration Date: December 31, 2028*,14 | | | | | 83 | | |
| | | 126 | | | | Twelve Seas Investment Co. II, Expiration Date: March 2, 2028* | | | | | 12 | | |
| | | 1,805 | | | | Viveon Health Acquisition Corp., Expiration Date: December 31, 2027* | | | | | 11 | | |
| | | 916 | | | | Volato Group, Inc., Expiration Date: December 3, 2028* | | | | | 137 | | |
| | | 430 | | | | XBP Europe Holdings, Inc., Expiration Date: December 31, 2027* | | | | | 17 | | |
| | | | | | | TOTAL WARRANTS (Cost $706,044) | | | | | 1,582,346 | | |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
| Number of Shares | | | | | | Value | | ||||||
| | | | | | | SHORT-TERM INVESTMENTS – 11.0% | | | | | | | |
| | | 167,926,833 | | | | Morgan Stanley Institutional Liquidity Fund – Government Portfolio – Institutional Class, 5.21%18 | | | | $ | 167,926,833 | | |
| | | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost $167,926,833) | | | | | 167,926,833 | | |
| | | | | | | TOTAL INVESTMENTS – 103.3% (Cost $1,552,311,822) | | | | | 1,577,040,842 | | |
| | | | | | | Liabilities in Excess of Other Assets – (3.3)% | | | | | (50,900,225) | | |
| | | | | | | TOTAL NET ASSETS – 100.0% | | | | $ | 1,526,140,617 | | |
| | | | | | | SECURITIES SOLD SHORT – (0.0)% | | | | | | | |
| | | | | | | COMMON STOCKS – (0.0)% | | | | | | | |
| | | | | | | S & L/THRIFTS-EASTERN US – (0.0)% | | | | | | | |
| | | (13,954) | | | | Provident Financial Services, Inc. | | | | | (203,310) | | |
| | | | | | | TOTAL COMMON STOCKS (Proceeds $326,452) | | | | | (203,310) | | |
| | | | | | | TOTAL SECURITIES SOLD SHORT (Proceeds $326,452) | | | | $ | (203,310) | | |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
Securities With Restrictions On Redemptions | | | Redemptions Permitted | | | Redemption Notice Period | | | Cost | | | Fair Value | | | Original Acquisition Date | | ||||||
Arlington Capital Partners VI LP1 | | | Not Permitted | | | N/A | | | | $ | 1,346,614 | | | | | $ | 1,346,614 | | | | 1/26/2024 | |
Bailard Real Estate Investment Trust, Inc.1 | | | Quarterly | | | 30 Days | | | | | 34,725,000 | | | | | | 33,721,256 | | | | 12/28/2018 | |
BC Partners Lending Corp.1 | | | Not Permitted | | | N/A | | | | | 12,500,000 | | | | | | 12,777,206 | | | | 3/6/2023 | |
Blue Owl Real Estate Net Lease Property Fund1 | | | Quarterly | | | 60 Days | | | | | 30,000,000 | | | | | | 29,497,154 | | | | 1/25/2022 | |
CIRE Real Estate Investment Trust, Inc.1 | | | Quarterly2 | | | 90 Days | | | | | 60,000,000 | | | | | | 61,167,818 | | | | 4/4/2023 | |
Cliffwater Corporate Lending Fund – Class I | | | Quarterly3 | | | N/A | | | | | 28,496,179 | | | | | | 28,957,403 | | | | 8/4/2020 | |
Cliffwater Enhanced Lending Fund – Class I | | | Quarterly3 | | | N/A | | | | | 75,058,151 | | | | | | 75,198,661 | | | | 4/26/2022 | |
DSC Meridian Credit Opportunities Onshore Fund LP1 | | | Quarterly4 | | | 65 Days | | | | | 27,450,000 | | | | | | 32,365,402 | | | | 10/1/2018 | |
Eisler Capital Multi Strategy Fund LP1 | | | Quarterly4 | | | 65 Days | | | | | 28,000,000 | | | | | | 30,459,575 | | | | 12/1/2022 | |
HS Investments V F LP1 | | | Not Permitted | | | N/A | | | | | 249,042 | | | | | | 335,783 | | | | 7/31/2023 | |
Hudson Bay Fund LP1 | | | Quarterly4,5 | | | 65 Days | | | | | 8,500,000 | | | | | | 9,735,036 | | | | 4/1/2021 | |
Invesco Dynamic Credit Opportunities Fund – Class AX | | | Quarterly3 | | | N/A | | | | | 234,691 | | | | | | 228,002 | | | | 10/19/2021 | |
Invesco Real Estate Income Trust, Inc. – Class I | | | Monthly | | | 30 Days | | | | | 42,594,889 | | | | | | 40,069,016 | | | | 6/1/2022 | |
Linden Investors LP1 | | | Quarterly4 | | | 65 Days | | | | | 17,250,000 | | | | | | 20,926,960 | | | | 10/1/2018 | |
Nuveen Real Estate U.S. Cities Industrial Fund LP1 | | | Quarterly | | | 45 Days | | | | | 9,015,206 | | | | | | 7,629,352 | | | | 10/3/2022 | |
Nuveen Real Estate U.S. Cities Multifamily Fund LP1 | | | Quarterly | | | 45 Days | | | | | 9,139,325 | | | | | | 7,104,681 | | | | 4/1/2022 | |
Old Orchard Credit Fund LP1 | | | Quarterly4 | | | 65 Days | | | | | 22,000,000 | | | | | | 23,043,845 | | | | 5/31/2023 | |
Opportunistic Credit Interval Fund – Class I | | | Quarterly3 | | | N/A | | | | | 24,303,000 | | | | | | 24,178,293 | | | | 8/16/2022 | |
Palmer Square Capital BDC, Inc.1 | | | Not Permitted | | | N/A | | | | | 12,500,000 | | | | | | 12,427,167 | | | | 3/1/2023 | |
Palmer Square Opportunistic Income Fund | | | Quarterly3 | | | N/A | | | | | 12,800,000 | | | | | | 12,450,528 | | | | 10/2/2018 | |
Pender Real Estate Credit Fund – Class I | | | Quarterly3 | | | N/A | | | | | 13,531,718 | | | | | | 13,651,258 | | | | 8/16/2019 | |
Point72 Capital LP1 | | | Quarterly4 | | | 45 Days | | | | | 25,530,367 | | | | | | 31,059,787 | | | | 4/24/2019 | |
Pomona Investment Fund LP | | | Quarterly3 | | | 75 Days | | | | | 17,616,015 | | | | | | 23,053,135 | | | | 10/1/2018 | |
Quiet SPV R9 LP1 | | | Not Permitted | | | N/A | | | | | 3,742,689 | | | | | | 5,763,725 | | | | 9/20/2023 | |
Quiet T1 LP1 | | | Not Permitted | | | N/A | | | | | 1,963,497 | | | | | | 1,963,497 | | | | 1/29/2024 | |
Rivernorth Capital Partners LP1 | | | Quarterly6 | | | 65 Days | | | | | 16,000,000 | | | | | | 18,260,442 | | | | 6/1/2022 | |
Savory Fund III Blocked LP1 | | | Not Permitted | | | N/A | | | | | 1,000,000 | | | | | | 1,000,000 | | | | 3/11/2024 | |
Seer Capital Partners Fund LP1 | | | Not Permitted | | | N/A | | | | | 2,000,000 | | | | | | 2,729,416 | | | | 9/29/2021 | |
Seer Capital Regulatory Capital Relief Fund1 | | | Not Permitted | | | N/A | | | | | 7,000,000 | | | | | | 7,000,000 | | | | 3/7/2024 | |
StepStone Private Markets – Class I | | | Quarterly3 | | | N/A | | | | | 26,157,916 | | | | | | 32,742,895 | | | | 3/26/2021 | |
TCW Direct Lending VIII, LLC1 | | | Not Permitted | | | N/A | | | | | 31,659,097 | | | | | | 29,590,637 | | | | 8/9/2023 | |
Walleye Opportunities Fund LP1 | | | Monthly4 | | | 30 Days | | | | | 16,925,000 | | | | | | 20,324,513 | | | | 12/3/2018 | |
Whitehawk IV-Plus Onshore Fund LP1 | | | Not Permitted | | | N/A | | | | | 5,293,352 | | | | | | 5,389,637 | | | | 6/29/2023 | |
Totals | | | | | | | | | | $ | 624,581,748 | | | | | $ | 656,148,694 | | | | | |
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued
As of March 31, 2024
| | | Counterparty | | | Currency Exchange | | | Settlement Date | | | Currency Amount Purchased | | | Value At Settlement Date | | | Value At March 31, 2024 | | | Unrealized Appreciation/ (Depreciation) | | ||||||||||||
PURCHASE CONTRACTS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||
Euro | | | BNP Paribas | | | EUR per USD | | | 4/19/2024 | | | | | 90,000 | | | | | $ | 97,515 | | | | | $ | 97,182 | | | | | $ | (333) | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 5/8/2024 | | | | | 6,825,000 | | | | | | 7,411,950 | | | | | | 7,375,379 | | | | | | (36,571) | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 7/19/2024 | | | | | 70,000 | | | | | | 76,174 | | | | | | 75,892 | | | | | | (282) | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 10/18/2024 | | | | | 60,000 | | | | | | 65,610 | | | | | | 65,339 | | | | | | (271) | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 1/17/2025 | | | | | 3,528,000 | | | | | | 3,880,800 | | | | | | 3,858,111 | | | | | | (22,689) | | |
TOTAL PURCHASE CONTRACTS | | | | | | | | | | | | | | 11,532,049 | | | | | | 11,471,903 | | | | | | (60,146) | | | ||||||
SALE CONTRACTS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ||||||
Euro | | | BNP Paribas | | | EUR per USD | | | 4/5/2024 | | | | | (10,575,000) | | | | | $ | (11,458,013) | | | | | $ | (11,412,609) | | | | | $ | 45,404 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 4/16/2024 | | | | | (100,000) | | | | | | (121,443) | | | | | | (107,968) | | | | | | 13,475 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 4/19/2024 | | | | | (90,000) | | | | | | (93,330) | | | | | | (97,182) | | | | | | (3,852) | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 4/22/2024 | | | | | (3,730,000) | | | | | | (4,240,217) | | | | | | (4,028,150) | | | | | | 212,067 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 5/8/2024 | | | | | (6,825,000) | | | | | | (7,371,000) | | | | | | (7,375,379) | | | | | | (4,379) | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 5/22/2024 | | | | | (850,000) | | | | | | (933,685) | | | | | | (919,062) | | | | | | 14,623 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 7/16/2024 | | | | | (100,000) | | | | | | (121,853) | | | | | | (108,403) | | | | | | 13,450 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 7/19/2024 | | | | | (70,000) | | | | | | (72,870) | | | | | | (75,892) | | | | | | (3,022) | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 7/22/2024 | | | | | (4,270,000) | | | | | | (4,711,729) | | | | | | (4,630,028) | | | | | | 81,701 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 8/2/2024 | | | | | (2,024,000) | | | | | | (2,467,519) | | | | | | (2,195,707) | | | | | | 271,812 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 8/22/2024 | | | | | (580,000) | | | | | | (638,630) | | | | | | (629,753) | | | | | | 8,877 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 10/18/2024 | | | | | (60,000) | | | | | | (62,700) | | | | | | (65,339) | | | | | | (2,639) | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 10/22/2024 | | | | | (1,070,000) | | | | | | (1,176,079) | | | | | | (1,165,434) | | | | | | 10,645 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 11/22/2024 | | | | | (810,000) | | | | | | (895,140) | | | | | | (883,505) | | | | | | 11,635 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 1/17/2025 | | | | | (3,528,000) | | | | | | (3,700,872) | | | | | | (3,858,111) | | | | | | (157,239) | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 1/22/2025 | | | | | (1,000,000) | | | | | | (1,101,930) | | | | | | (1,093,821) | | | | | | 8,109 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 2/21/2025 | | | | | (630,000) | | | | | | (697,960) | | | | | | (690,064) | | | | | | 7,896 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 4/22/2025 | | | | | (1,040,000) | | | | | | (1,150,800) | | | | | | (1,142,279) | | | | | | 8,521 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 5/22/2025 | | | | | (5,788,000) | | | | | | (6,442,628) | | | | | | (6,366,065) | | | | | | 76,563 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 7/22/2025 | | | | | (870,000) | | | | | | (963,931) | | | | | | (959,603) | | | | | | 4,328 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 8/22/2025 | | | | | (280,000) | | | | | | (311,920) | | | | | | (309,284) | | | | | | 2,636 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 10/22/2025 | | | | | (6,570,000) | | | | | | (7,347,630) | | | | | | (7,277,791) | | | | | | 69,839 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 11/21/2025 | | | | | (310,000) | | | | | | (345,805) | | | | | | (343,878) | | | | | | 1,927 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 1/22/2026 | | | | | (760,000) | | | | | | (846,620) | | | | | | (845,508) | | | | | | 1,112 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 2/20/2026 | | | | | (5,584,000) | | | | | | (6,248,496) | | | | | | (6,220,715) | | | | | | 27,781 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 4/22/2026 | | | | | (540,000) | | | | | | (603,625) | | | | | | (603,302) | | | | | | 323 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 6/18/2026 | | | | | (9,472,000) | | | | | | (10,656,000) | | | | | | (10,610,841) | | | | | | 45,159 | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 7/22/2026 | | | | | (440,000) | | | | | | (491,040) | | | | | | (493,695) | | | | | | (2,655) | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 10/22/2026 | | | | | (400,000) | | | | | | (447,800) | | | | | | (450,775) | | | | | | (2,975) | | |
Euro | | | BNP Paribas | | | EUR per USD | | | 11/6/2026 | | | | | (10,936,000) | | | | | | (12,248,320) | | | | | | (12,332,976) | | | | | | (84,656) | | |
Great British Pound | | | BNP Paribas | | | GBP per USD | | | 5/15/2024 | | | | | (86,300,000) | | | | | | (96,948,346) | | | | | | (97,243,322) | | | | | | (294,976) | | |
TOTAL SALE CONTRACTS | | | | | | | | | | | | | | (184,917,931) | | | | | | (184,536,441) | | | | | | 381,490 | | | ||||||
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | | | | | | | | | | | | | $ | (173,385,882) | | | | | $ | (173,064,538) | | | | | $ | 321,344 | | |
CONSOLIDATED PORTFOLIO COMPOSITION*
As of March 31, 2024 (unaudited)
Country of Investment | | | Value | | | Percent of Total Net Assets | | ||||||
Canada | | | | $ | 315,766 | | | | | | 0.0% | | |
Cayman Islands | | | | | 9,308,856 | | | | | | 0.6% | | |
China | | | | | 1,198 | | | | | | 0.0% | | |
Denmark | | | | | 7,881,336 | | | | | | 0.5% | | |
European Union | | | | | 128,325,772 | | | | | | 8.3% | | |
Hong Kong | | | | | 54 | | | | | | 0.0% | | |
Ireland | | | | | 17 | | | | | | 0.0% | | |
Israel | | | | | 39 | | | | | | 0.0% | | |
Malaysia | | | | | 17 | | | | | | 0.0% | | |
Switzerland | | | | | 15 | | | | | | 0.0% | | |
Taiwan | | | | | 100 | | | | | | 0.0% | | |
United Kingdom | | | | | 58,095,235 | | | | | | 3.8% | | |
United States | | | | | 1,372,449,768 | | | | | | 90.1% | | |
Virgin Islands (British) | | | | | 662,669 | | | | | | 0.0% | | |
Total Investments | | �� | | | 1,577,040,842 | | | | | | 103.3% | | |
Liabilities in Excess of Other Assets | | | | | (50,900,225) | | | | | | (3.3)% | | |
Total Net Assets | | | | $ | 1,526,140,617 | | | | | | 100.0% | | |
CONSOLIDATED SUMMARY OF INVESTMENTS*
As of March 31, 2024 (unaudited)
Security Type/Sector | | | Percent of Total Net Assets | | |||
Asset-Backed Securities | | | | | 10.7% | | |
Bank Loans | | | | | 8.8% | | |
Closed-End Funds | | | | | 16.3% | | |
Collateralized Loan Obligations | | | | | 19.3% | | |
Collateralized Mortgage Obligations | | | | | 0.0% | | |
Common Stocks | | | | | | | |
Specified Purpose Acquisitions | | | | | 0.7% | | |
Gaming & Entertainment | | | | | 0.2% | | |
Food-Retail | | | | | 0.1% | | |
Human Resources | | | | | 0.1% | | |
Medical-Outpatient/Home Medical | | | | | 0.0% | | |
Commercial Banks-Eastern US | | | | | 0.0% | | |
Broadcast Services/Programs | | | | | 0.0% | | |
Total Common Stocks | | | | | 1.1% | | |
Corporate Bonds | | | | | | | |
Investment Companies | | | | | 2.7% | | |
Mutual Funds | | | | | 4.6% | | |
Preferred Stocks | | | | | | | |
Financials | | | | | 0.5% | | |
Consumer Staples | | | | | 0.2% | | |
Closed-End Funds | | | | | 0.1% | | |
Technology | | | | | 0.0% | | |
Total Preferred Stocks | | | | | 0.8% | | |
Private Investment Funds | | | | | 18.7% | | |
Real Estate Investment Trusts | | | | | 8.9% | | |
Rights | | | | | 0.0% | | |
Units | | | | | | | |
Specified Purpose Acquisitions | | | | | 0.3% | | |
Warrants | | | | | 0.1% | | |
Short-Term Investments | | | | | 11.0% | | |
Total Investments | | | | | 103.3% | | |
Liabilities in Excess of Other Assets | | | | | (3.3)% | | |
Total Net Assets | | | | | 100.0% | | |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
As of March 31, 2024
| Assets: | | ||||||
| Investments, at value (cost $1,176,460,415) | | | | $ | 1,211,110,785 | | |
| Investments in affiliated issuers, at cost (cost $375,851,407) | | | | | 365,930,057 | | |
| Foreign currency, at value (cost $594) | | | | | 592 | | |
| Forward foreign currency exchange contracts (cost $0) | | | | | 321,344 | | |
| Cash | | | | | 2,633,306 | | |
| Cash deposited with broker | | | | | 354,187 | | |
| Receivables: | | | | | | | |
| Investment securities sold | | | | | 1,302,122 | | |
| Investments purchased in advance | | | | | 13,000,000 | | |
| Fund shares sold | | | | | 5,511,535 | | |
| Dividends and interest | | | | | 11,789,022 | | |
| Prepaid expenses | | | | | 162,455 | | |
| Total assets | | | | | 1,612,115,405 | | |
| Liabilities: | | | | | | | |
| Securities sold short, at value (proceeds $326,452) | | | | | 203,310 | | |
| Payables: | | | | | | | |
| Investment securities purchased | | | | | 5,186,105 | | |
| Fund shares redeemed | | | | | 78,834,576 | | |
| Investment management fees | | | | | 970,174 | | |
| Pricing expense | | | | | 235,170 | | |
| Fund services fees | | | | | 203,745 | | |
| Distribution fees – Class I (Note 3) | | | | | 104,458 | | |
| Legal fees | | | | | 49,520 | | |
| Shareholder reporting fees | | | | | 49,242 | | |
| Distribution fees – Class A (Note 3) | | | | | 43,200 | | |
| Audit fees | | | | | 39,125 | | |
| Extraordinary litigation fees | | | | | 19,276 | | |
| Tax services fees | | | | | 18,490 | | |
| Unused line of credit fees (Note 13) | | | | | 12,745 | | |
| Accrued other expenses | | | | | 5,652 | | |
| Total liabilities | | | | | 85,974,788 | | |
| Commitments and contingencies (Note 3) | | | | | | | |
| Net Assets | | | | $ | 1,526,140,617 | | |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES — Continued
As of March 31, 2024
| Components of Net Assets: | | | | | | | |
| Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized) | | | | $ | 1,504,526,412 | | |
| Total accumulated earnings/(deficit) | | | | | 21,614,205 | | |
| Net Assets | | | | $ | 1,526,140,617 | | |
| Maximum Offering Price per Share: | | | | | | | |
| Class A Shares | | | | | | | |
| Net assets applicable to shares outstanding | | | | $ | 9,455,751 | | |
| Shares of common stock issued and outstanding | | | | | 357,143 | | |
| Net asset value per share | | | | $ | 26.48 | | |
| Maximum sales charge (4.50% of offering price)* | | | | | 1.25 | | |
| Maximum offer price to public | | | | $ | 27.73 | | |
| Class I Shares | | | | | | | |
| Net assets applicable to shares outstanding | | | | $ | 1,516,684,866 | | |
| Shares of common stock issued and outstanding | | | | | 56,495,709 | | |
| Net asset value per share | | | | $ | 26.85 | | |
CONSOLIDATED STATEMENT OF OPERATIONS
For the Year Ended March 31, 2024
| Investment Income: | | | | | | | |
| Dividends (net of foreign withholding taxes of $39,107) | | | | $ | 14,947,234 | | |
| Dividends from affiliated issuers (net of foreign withholding taxes of $0) | | | | | 9,525,373 | | |
| Interest | | | | | 46,775,857 | | |
| Interest from affiliated issuers | | | | | 25,822,411 | | |
| Total investment income | | | | | 97,070,875 | | |
| Expenses: | | | | | | | |
| Investment management fees | | | | | 10,913,722 | | |
| Distribution fees – Class I (Note 3) | | | | | 1,587,445 | | |
| Fund services expense | | | | | 1,112,974 | | |
| Pricing expense | | | | | 614,623 | | |
| Shareholder reporting fees | | | | | 484,131 | | |
| Legal fees | | | | | 246,792 | | |
| Registration fees | | | | | 185,756 | | |
| Audit fees | | | | | 99,313 | | |
| Trustees’ fees and expenses | | | | | 90,900 | | |
| Miscellaneous | | | | | 72,865 | | |
| Unused line of credit fees (Note 13) | | | | | 60,068 | | |
| Chief Compliance Officer fees | | | | | 47,748 | | |
| Distribution fees – Class A (Note 3) | | | | | 45,182 | | |
| Extraordinary litigation fees | | | | | 37,772 | | |
| Tax services fees | | | | | 31,933 | | |
| Interest expense (Note 13) | | | | | 30,095 | | |
| Insurance fees | | | | | 20,945 | | |
| Commitment fees (Note 13) | | | | | 20,525 | | |
| Dividends on securities sold short | | | | | 16,533 | | |
| Interest on securities sold short | | | | | 38 | | |
| Total expenses | | | | | 15,719,360 | | |
| Investment management fees waived | | | | | (430,848) | | |
| Net expenses | | | | | 15,288,512 | | |
| Net investment income (loss) | | | | | 81,782,363 | | |
| Realized and Unrealized Gain (Loss) on Investments, Investments in Affiliated Issuers, Securities Sold Short, Forward Foreign Currency Exchange Contracts and Foreign Currency Transactions | | | | | | | |
| Net realized gain (loss) on: | | | | | | | |
| Investments | | | | | 3,526,188 | | |
| Securities sold short | | | | | 11 | | |
| Foreign currency transactions | | | | | 219,648 | | |
| Net realized gain (loss) | | | | | 3,745,847 | | |
| Net change in unrealized appreciation/(depreciation) on: | | | | | | | |
| Investments | | | | | 31,903,126 | | |
| Investments in affiliated issuers | | | | | (9,921,350) | | |
| Securities sold short | | | | | 64,319 | | |
| Forward foreign currency exchange contracts | | | | | 890,311 | | |
| Foreign currency translations | | | | | 26,784 | | |
| Net change in unrealized appreciation/(depreciation) | | | | | 22,963,190 | | |
| Net realized and unrealized gain (loss) on investments, investments in affiliated issuers, securities sold short, forward foreign currency exchange contracts and foreign currency transactions | | | | | 26,709,037 | | |
| Net Increase (Decrease) in Net Assets from Operations | | | | $ | 108,491,400 | | |
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS
| | | For the Year Ended March 31, 2024 | | | For the Year Ended March 31, 2023 | | ||||||
Increase (Decrease) in Net Assets from: | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | |
Net investment income (loss) | | | | $ | 81,782,363 | | | | | $ | 23,262,734 | | |
Net realized gain (loss) on investments, securities sold short and foreign currency transactions | | | | | 3,745,847 | | | | | | 591,686 | | |
Net change in unrealized appreciation/(depreciation) on investments, investments in affiliated issuers, securities sold short, forward foreign currency exchange contracts and foreign currency transactions | | | | | 22,963,190 | | | | | | (13,331,178) | | |
Net increase (decrease) in net assets from operations | | | | | 108,491,400 | | | | | | 10,523,242 | | |
Distributions to Shareholders: | | | | | | | | | | | | | |
Distributions: | | | | | | | | | | | | | |
Class A | | | | | (326,125) | | | | | | (22,358) | | |
Class I | | | | | (80,954,357) | | | | | | (33,477,624) | | |
Net increase (decrease) in net assets from distributions to shareholders | | | | | (81,280,482) | | | | | | (33,499,982) | | |
Capital Transactions: | | | | | | | | | | | | | |
Net proceeds from shares sold: | | | | | | | | | | | | | |
Class A | | | | | 8,059,143 | | | | | | 1,393,570 | | |
Class I | | | | | 939,879,287 | | | | | | 507,371,008 | | |
Reinvestment of distributions: | | | | | | | | | | | | | |
Class A | | | | | 44,432 | | | | | | 9,857 | | |
Class I | | | | | 17,075,331 | | | | | | 8,635,712 | | |
Cost of shares redeemed: | | | | | | | | | | | | | |
Class A | | | | | (177,070) | | | | | | (8,471) | | |
Class I | | | | | (200,260,647) | | | | | | (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 | | | | | 764,620,476 | | | | | | 420,819,093 | | |
Total increase (decrease) in net assets | | | | | 791,831,394 | | | | | | 397,842,353 | | |
Net Assets: | | | | | | | | | | | | | |
Beginning of period | | | | | 734,309,223 | | | | | | 336,466,870 | | |
End of period | | | | $ | 1,526,140,617 | | | | | $ | 734,309,223 | | |
Capital Share Transactions: | | | | | | | | | | | | | |
Shares sold: | | | | | | | | | | | | | |
Class A | | | | | 308,705 | | | | | | 53,357 | | |
Class I | | | | | 35,490,106 | | | | | | 19,074,555 | | |
Shares reinvested: | | | | | | | | | | | | | |
Class A | | | | | 1,702 | | | | | | 381 | | |
Class I | | | | | 648,031 | | | | | | 326,281 | | |
Shares redeemed: | | | | | | | | | | | | | |
Class A | | | | | (6,712) | | | | | | (328) | | |
Class I | | | | | (7,521,956) | | | | | | (3,654,941) | | |
Net increase (decrease) in capital share transactions | | | | | 28,919,876 | | | | | | 15,799,305 | | |
CONSOLIDATED STATEMENT OF CASH FLOWS
For the Year Ended March 31, 2024
| Increase (Decrease) in Cash: | | | | | | | |
| Cash flows provided by (used for) operating activities: | | | | | | | |
| Net increase in net assets resulting from operations | | | | $ | 108,491,400 | | |
| Adjustments to reconcile net increase in net assets from operations to net cash used for operating activities: | | | | | | | |
| Purchases of long-term portfolio investments | | | | | (731,210,484) | | |
| Sales of long-term portfolio investments | | | | | 147,081,551 | | |
| Proceeds from securities sold short | | | | | 645,357 | | |
| Cover short securities | | | | | (645,376) | | |
| Purchases of short-term investments, net | | | | | (58,220,510) | | |
| Return of capital dividends received | | | | | (142,910,026) | | |
| Increase in foreign currency | | | | | (592) | | |
| Decrease in cash deposited with broker | | | | | 69,622 | | |
| Increase in investment securities sold | | | | | (391,457) | | |
| Increase in investments purchased in advance | | | | | (13,000,000) | | |
| Increase in dividends and interest | | | | | (9,024,462) | | |
| Increase in prepaid expenses | | | | | (96,608) | | |
| Decrease in foreign currency due to custodian | | | | | (4,008,242) | | |
| Decrease in investment securities purchased | | | | | (11,413,612) | | |
| Increase in investment management fees | | | | | 499,533 | | |
| Increase in pricing expense | | | | | 235,170 | | |
| Increase in fund services fees | | | | | 102,791 | | |
| Increase in distribution fees – Class I (Note 3) | | | | | 32,179 | | |
| Increase in legal fees | | | | | 49,520 | | |
| Increase in shareholder reporting fees | | | | | 49,242 | | |
| Increase in distribution fees – Class A (Note 3) | | | | | 43,200 | | |
| Increase in audit fees | | | | | 22,554 | | |
| Increase in extraordinary litigation fees | | | | | 19,276 | | |
| Increase in tax services fees | | | | | 11,339 | | |
| Increase in unused line of credit fees (Note 13) | | | | | 12,745 | | |
| Decrease in accrued other expenses | | | | | (46,518) | | |
| Net amortization on investments | | | | | (1,928,104) | | |
| Net realized gain (loss) | | | | | (5,282,719) | | |
| Net change in unrealized appreciation/(depreciation) | | | | | (22,936,406) | | |
| Net cash used for operating activities | | | | | (743,749,637) | | |
| Cash flows provided by (used for) financing activities: | | | | | | | |
| Proceeds from shares sold | | | | | 952,936,977 | | |
| Cost of shares redeemed | | | | | (143,078,281) | | |
| Draw on line of credit | | | | | 30,049,052 | | |
| Paydown on line of credit | | | | | (30,049,052) | | |
| Dividends paid to shareholders, net of reinvestments | | | | | (64,160,719) | | |
| Net cash provided by financing activities | | | | | 745,697,977 | | |
| Net increase in cash | | | | | 1,948,340 | | |
| Cash: | | | | | | | |
| Beginning of period | | | | | 684,966 | | |
| End of period | | | | $ | 2,633,306 | | |
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class A
For a capital share outstanding throughout each period.
| | | For the Year Ended March 31, | | | For the Period August 2, 2021* Through March 31, 2022 | | ||||||||||||
| | | 2024 | | | 2023 | | ||||||||||||
Net asset value, beginning of period | | | | $ | 25.97 | | | | | $ | 27.65 | | | | | $ | 27.29 | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 1.73 | | | | | | 1.05 | | | | | | 0.21 | | |
Net realized and unrealized gain (loss) on investments | | | | | 0.59 | | | | | | (0.88) | | | | | | 1.19 | | |
Total from investment operations | | | | | 2.32 | | | | | | 0.17 | | | | | | 1.40 | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (1.81) | | | | | | (1.71) | | | | | | (0.79) | | |
From net realized gains | | | | | — | | | | | | (0.14) | | | | | | (0.25) | | |
Total distributions | | | | | (1.81) | | | | | | (1.85) | | | | | | (1.04) | | |
Redemption fee proceeds1 | | | | | — | | | | | | — | | | | | | — | | |
Net increase from payment by affiliates (Note 3) | | | | | — | | | | | | 0.002 | | | | | | — | | |
Net asset value, end of period | | | | $ | 26.48 | | | | | $ | 25.97 | | | | | $ | 27.65 | | |
Total return3 | | | | | 9.32% | | | | | | 0.69%4 | | | | | | 5.17%5 | | |
Ratios and Supplemental Data: | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (in thousands) | | | | $ | 9,456 | | | | | $ | 1,388 | | | | | $ | 1 | | |
Ratio of expenses to average net assets: | | | | | | | | | | | | | | | | | | | |
(including dividends and interest on securities sold short, excise tax, commitment fees, unused line of credit fees, interest expense and extraordinary litigation fees) | | | | | | | | | | | | | | | | | | | |
Before fees waived6,7 | | | | | 2.18% | | | | | | 2.24% | | | | | | 2.05%8 | | |
After fees waived6,7 | | | | | 2.15%9 | | | | | | 2.04% | | | | | | —10 | | |
Ratio of net investment income to average net assets: | | | | | |||||||||||||||
(including dividends and interest on securities sold short, excise tax, commitment fees, unused line of credit fees, interest expense and extraordinary litigation fees) | | | | | | | | | | | | | | | | | | | |
Before fees waived | | | | | 6.58% | | | | | | 3.84% | | | | | | 1.90%8 | | |
After fees waived | | | | | 6.61% | | | | | | 4.04% | | | | | | — | | |
Portfolio turnover rate | | | | | 15% | | | | | | 11% | | | | | | 26% | | |
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class A — Continued
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class I
For a capital share outstanding throughout each period.
| | | For the Year Ended March 31, | | |||||||||||||||||||||||||||
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | | |||||||||||||||
Net asset value, beginning of period | | | | $ | 26.29 | | | | | $ | 27.73 | | | | | $ | 26.62 | | | | | $ | 22.23 | | | | | $ | 25.14 | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 1.96 | | | | | | 1.27 | | | | | | 0.92 | | | | | | 1.19 | | | | | | 1.01 | | |
Net realized and unrealized gain (loss) on investments | | | | | 0.59 | | | | | | (0.88) | | | | | | 1.89 | | | | | | 4.73 | | | | | | (2.96) | | |
Total from investment operations | | | | | 2.55 | | | | | | 0.39 | | | | | | 2.81 | | | | | | 5.92 | | | | | | (1.95) | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (1.99) | | | | | | (1.69) | | | | | | (1.45) | | | | | | (1.41) | | | | | | (0.88) | | |
From net realized gains | | | | | — | | | | | | (0.14) | | | | | | (0.25) | | | | | | (0.12) | | | | | | (0.06) | | |
From return of capital | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (0.02) | | |
Total distributions | | | | | (1.99) | | | | | | (1.83) | | | | | | (1.70) | | | | | | (1.53) | | | | | | (0.96) | | |
Redemption fee proceeds1 | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Net increase from payment by affiliates (Note 3) | | | | | — | | | | | | 0.002 | | | | | | — | | | | | | — | | | | | | — | | |
Net asset value, end of period | | | | $ | 26.85 | | | | | $ | 26.29 | | | | | $ | 27.73 | | | | | $ | 26.62 | | | | | $ | 22.23 | | |
Total return3 | | | | | 10.11% | | | | | | 1.47%4,5 | | | | | | 10.80% | | | | | | 22.75% | | | | | | (4.89)% | | |
Ratios and Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (in thousands) | | | | $ | 1,516,685 | | | | | $ | 732,921 | | | | | $ | 336,466 | | | | | $ | 121,400 | | | | | $ | 63,568 | | |
Ratio of expenses to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(including dividends and interest on securities sold short, excise tax, commitment fees, unused line of credit fees, interest expense and extraordinary litigation fees) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before fees waived6,7 | | | | | 1.42% | | | | | | 1.36% | | | | | | 1.16% | | | | | | 1.12% | | | | | | 1.36% | | |
After fees waived6,7 | | | | | 1.38%8 | | | | | | 1.30% | | | | | | 1.14%9 | | | | | | 1.08% | | | | | | 1.05% | | |
Ratio of net investment income to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(including dividends and interest on securities sold short, excise tax, commitment fees, unused line of credit fees, interest expense and extraordinary litigation fees) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before fees waived | | | | | 7.35% | | | | | | 4.72% | | | | | | 3.34% | | | | | | 4.78% | | | | | | 3.66% | | |
After fees waived | | | | | 7.39% | | | | | | 4.78% | | | | | | 3.36% | | | | | | 4.82% | | | | | | 3.97% | | |
Portfolio turnover rate | | | | | 15% | | | | | | 11% | | | | | | 26% | | | | | | 43% | | | | | | 48% | | |
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class I — Continued
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2024
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
| 2025 | | | | $ | 114,082 | | |
| 2026 | | | | | 491,503 | | |
| 2027 | | | | | 430,848 | | |
| Total | | | | $ | 1,036,433 | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
| Cost of investments | | | | $ | 1,563,932,708 | | |
| Gross unrealized appreciation | | | | | 50,128,960 | | |
| Gross unrealized (depreciation) | | | | | (34,564,123) | | |
| Net unrealized appreciation/(depreciation) on investments | | | | $ | 15,564,837 | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
| Increase (Decrease) | | |||
| Paid-in Capital | | | Total Distributable Earnings | |
| $(30,375) | | | $30,375 | |
| Undistributed ordinary income | | | | $ | 1,803,344 | | |
| Undistributed long-term capital gains | | | | | 912,800 | | |
| Accumulated capital and other losses | | | | | (3,375,727) | | |
| Unrealized appreciation/(depreciation) on investments | | | | | 592,880 | | |
| Total accumulated earnings/(deficit) | | | | $ | (66,703) | | |
Distribution paid from: | | | 2023 | | | 2022 | | ||||||
Ordinary income | | | | $ | 64,317,534 | | | | | $ | 25,436,858 | | |
Net long-term capital gains | | | | | — | | | | | | 3,099,344 | | |
Total taxable distributions | | | | $ | 64,317,534 | | | | | $ | 28,536,202 | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
| | | | Repurchase Offer | | | Repurchase Offer | | | Repurchase Offer | | | Repurchase Offer | |
| Commencement Date: | | | May 31, 2023 | | | August 30, 2023 | | | November 29, 2023 | | | February 27, 2024 | |
| Repurchase Request: | | | June 30, 2023 | | | September 29, 2023 | | | December 29, 2023 | | | March 28, 2024 | |
| Repurchase Pricing Date: | | | June 30, 2023 | | | September 29, 2023 | | | December 29, 2023 | | | March 28, 2024 | |
| Net Asset Value as of Repurchase Offer Date: | | | | | | | | | | | | | |
| Class A Shares | | | $25.95 | | | $26.16 | | | $26.15 | | | $26.48 | |
| Class I Shares | | | $26.32 | | | $26.58 | | | $26.46 | | | $26.85 | |
| Amount Repurchased: | | | | | | | | | | | | | |
| Class A Shares | | | $— | | | $49,340 | | | $5,355 | | | $122,375 | |
| Class I Shares | | | $27,408,197 | | | $51,429,793 | | | $42,710,456 | | | $78,712,201 | |
| Percentage of Outstanding Shares Repurchased: | | | | | | | | | | | | | |
| Class A Shares | | | —% | | | 1.05% | | | 0.07% | | | 1.28% | |
| Class I Shares | | | 2.99% | | | 4.61% | | | 3.26% | | | 4.95% | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | $ | — | | | | | $ | 129,951,738 | | | | | $ | 33,327,285 | | | | | $ | 163,279,023 | | |
Bank Loans | | | | | — | | | | | | 5,000,000 | | | | | | 129,792,122 | | | | | | 134,792,122 | | |
Closed-End Funds | | | | | 212,212,619 | | | | | | — | | | | | | — | | | | | | 212,212,619 | | |
Collateralized Loan Obligations | | | | | — | | | | | | 254,464,862 | | | | | | 40,235,721 | | | | | | 294,700,583 | | |
Collateralized Mortgage Obligations | | | | | — | | | | | | 4,568 | | | | | | — | | | | | | 4,568 | | |
Common Stocks | | | | | | | | | | | | | | | | | | | | | | | | | |
Broadcast Services/Programs | | | | | 148,250 | | | | | | — | | | | | | — | | | | | | 148,250 | | |
Commercial Banks-Eastern US | | | | | 202,953 | | | | | | — | | | | | | — | | | | | | 202,953 | | |
Food-Retail | | | | | — | | | | | | — | | | | | | 885,047 | | | | | | 885,047 | | |
Gaming & Entertainment | | | | | — | | | | | | — | | | | | | 2,228,260 | | | | | | 2,228,260 | | |
Human Resources | | | | | — | | | | | | — | | | | | | 923,186 | | | | | | 923,186 | | |
Medical-Outpatient/Home Medical | | | | | 541,901 | | | | | | — | | | | | | — | | | | | | 541,901 | | |
Specified Purpose Acquisitions | | | | | 11,366,215 | | | | | | — | | | | | | — | | | | | | 11,366,215 | | |
Corporate Bonds* | | | | | — | | | | | | 41,770,711 | | | | | | — | | | | | | 41,770,711 | | |
Mutual Funds | | | | | 70,259,877 | | | | | | — | | | | | | — | | | | | | 70,259,877 | | |
Preferred Stocks | | | | | | | | | | | | | | | | | | | | | | | | | |
Closed-End Funds | | | | | 990,600 | | | | | | — | | | | | | — | | | | | | 990,600 | | |
Consumer Staples | | | | | — | | | | | | — | | | | | | 3,539,697 | | | | | | 3,539,697 | | |
Financials | | | | | 2,831,337 | | | | | | — | | | | | | 4,659,873 | | | | | | 7,491,210 | | |
Technology | | | | | — | | | | | | — | | | | | | 565,268 | | | | | | 565,268 | | |
Private Investment Funds | | | | | — | | | | | | — | | | | | | 200,909,593 | | | | | | 200,909,593 | | |
Real Estate Investment Trusts | | | | | — | | | | | | — | | | | | | 40,069,016 | | | | | | 40,069,016 | | |
Rights | | | | | 98,920 | | | | | | 108 | | | | | | 491 | | | | | | 99,519 | | |
Units** | | | | | 5,215,567 | | | | | | — | | | | | | — | | | | | | 5,215,567 | | |
Warrants | | | | | 380,641 | | | | | | 625 | | | | | | 1,201,080 | | | | | | 1,582,346 | | |
Short-Term Investments | | | | | 167,926,833 | | | | | | — | | | | | | — | | | | | | 167,926,833 | | |
Subtotal | | | | $ | 472,175,713 | | | | | $ | 431,192,612 | | | | | $ | 458,336,639 | | | | | $ | 1,361,704,964 | | |
Closed End Funds | | | | | | | | | | | | | | | | | | | | | | | 35,830,341 | | |
Private Investment Funds | | | | | | | | | | | | | | | | | | | | | | | 84,616,463 | | |
Real Estate Investment Trusts | | | | | | | | | | | | | | | | | | | | | | | 94,889,074 | | |
Total Investments | | | | | | | | | | | | | | | | | | | | | | $ | 1,577,040,842 | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | ||||||||||||
Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities Sold Short | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stocks** | | | | $ | 203,310 | | | | | $ | — | | | | | $ | — | | | | | $ | 203,310 | | |
Total Securities Sold Short | | | | $ | 203,310 | | | | | $ | — | | | | | $ | — | | | | | $ | 203,310 | | |
|
| | | | | | | | | | | | | | | | | | | | | 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 March 31, 2024 | | ||||||||||||||||||||||||||||||
Asset-Backed Securities | | | | $ | 16,692,730 | | | | | | — | | | | | | (18,238,963) | | | | | | 322,699 | | | | | | — | | | | | | 34,550,819 | | | | | | — | | | | | $ | 33,327,285 | | | | | $ | 482,181 | | |
Bank Loans | | | | $ | 89,465,694 | | | | | | — | | | | | | (5,000,000) | | | | | | (8,852,374) | | | | | | — | | | | | | 71,502,656 | | | | | | (17,323,854) | | | | | $ | 129,792,122 | | | | | $ | (3,614,946) | | |
Collateralized Loan Obligations | | | | $ | — | | | | | | 10,997,511 | | | | | | — | | | | | | 435,196 | | | | | | — | | | | | | 29,726,932 | | | | | | (923,918) | | | | | $ | 40,235,721 | | | | | $ | 435,196 | | |
Collateralized Mortgage Obligations | | | | $ | 6,506,886 | | | | | | — | | | | | | (4,471,816) | | | | | | (2,035,070) | | | | | | — | | | | | | — | | | | | | — | | | | | $ | — | | | | | $ | (26,545) | | |
Common Stocks | | | | $ | — | | | | | | — | | | | | | — | | | | | | (116,814) | | | | | | — | | | | | | 4,153,307 | | | | | | — | | | | | $ | 4,036,493 | | | | | $ | (116,814) | | |
Preferred Stocks | | | | $ | — | | | | | | — | | | | | | — | | | | | | 189,602 | | | | | | — | | | | | | 8,575,236 | | | | | | — | | | | | $ | 8,764,838 | | | | | $ | 189,602 | | |
Private Investment Funds | | | | $ | 18,416,057 | | | | | | 163,131,716 | | | | | | — | | | | | | 16,361,820 | | | | | | — | | | | | | 3,000,000 | | | | | | — | | | | | $ | 200,909,593 | | | | | $ | (792,711) | | |
Real Estate Investment Trusts | | | | $ | 46,677,171 | | | | | | — | | | | | | (33,721,257) | | | | | | (6,486,898) | | | | | | — | | | | | | 33,600,000 | | | | | | — | | | | | $ | 40,069,016 | | | | | $ | (6,486,898) | | |
Rights | | | | $ | 491 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | $ | 491 | | | | | $ | — | | |
Warrants | | | | $ | 1,074,079 | | | | | | — | | | | | | — | | | | | | 374,245 | | | | | | — | | | | | | — | | | | | | (247,244) | | | | | $ | 1,201,080 | | | | | $ | 265,154 | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
Investments | | | Fair Value | | | Valuation Technique(s) | | | Unobservable Input | | | Range of Input | | |||
Asset-Backed Securities | | | | $ | 33,327,285 | | | | Recent Transaction Price | | | Recent Transaction Price | | | N/A | |
Bank Loans | | | | $ | — | | | | Asset Approach | | | Expected Remaining Distributions | | | N/A | |
| | | | $ | 82,793,160 | | | | Discounted Cash Flow | | | Discount Rates | | | 6.04% – 18.20% | |
| | | | $ | 5,421,757 | | | | Market Appraoch | | | Book Value Multiple | | | 1.5x | |
| | | | $ | 2,627,513 | | | | Market Approach | | | Bond Yields | | | 14.12% | |
| | | | $ | 38,949,692 | | | | Recent Transaction Price | | | Recent Transaction Price | | | N/A | |
Collateralized Loan Obligations | | | | $ | — | | | | Asset Approach | | | Expected remaining distributions | | | N/A | |
| | | | $ | 25,906,223 | | | | Market Approach | | | Expected yield | | | 12.35% – 23.03% | |
| | | | $ | 14,329,498 | | | | Recent Transaction Price | | | Recent Transaction Price | | | N/A | |
Common Stocks | | | | $ | 4,036,493 | | | | Recent Transaction Price | | | Recent Transaction Price | | | N/A | |
Preferred Stocks | | | | $ | 8,764,838 | | | | Recent Transaction Price | | | Recent Transaction Price | | | N/A | |
Private Investment Funds | | | | $ | 200,909,593 | | | | Adjusted Net Asset Value | | | Reported net asset/fair value adjustments | | | N/A | |
Real Estate Investment Trusts | | | | $ | 40,069,016 | | | | Adjusted Net Asset Value | | | Reported net asset/fair value adjustments | | | N/A | |
Rights | | | | $ | 491 | | | | Asset Approach | | | Expected remaining distributions | | | $1.02 / share | |
Warrants | | | | $ | 928,353 | | | | Market Approach | | | Book Value Multiple | | | 1.5x | |
| | | | $ | 272,727 | | | | Market Approach | | | Revenue Multiple | | | 0.7x – 5.25x | |
Security Description | | | Value Beginning of Period | | | Additions | | | Reductions | | | Net Realized Gain (Loss) | | | Change in Unrealized Appreciation/ (Depreciation) | | | Value End of Period | | | Dividend Income* | | | Interest Income* | | ||||||||||||||||||||||||
Closed-End Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
BC Partners Lending Corp.1,2 | | | | | 7,422,799 | | | | | | 5,077,201 | | | | | | — | | | | | | — | | | | | | 277,206 | | | | | | 12,777,206 | | | | | | 927,290 | | | | | | — | | |
Opportunistic Credit Interval Fund – Class I1,2 | | | | | 2,230,262 | | | | | | 22,375,000 | | | | | | (302,262) | | | | | | — | | | | | | (124,707) | | | | | | 24,178,293 | | | | | | 758,587 | | | | | | — | | |
Palmer Square Capital BDC, Inc.1,2 | | | | | 7,500,000 | | | | | | 17,499,993 | | | | | | — | | | | | | — | | | | | | (194,414) | | | | | | 24,805,579 | | | | | | 2,390,463 | | | | | | — | | |
Palmer Square Opportunistic Income Fund1,2 | | | | | 11,466,490 | | | | | | 1,333,510 | | | | | | — | | | | | | — | | | | | | (349,472) | | | | | | 12,450,528 | | | | | | 1,205,622 | | | | | | — | | |
Collateralized Loan Obligations | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Palmer Square European Loan Funding, Series 2021-2X, Class SUB, 0.000%, 4/15/20351,2,3,4 | | | | | 1,485,487 | | | | | | 1,330,496 | | | | | | — | | | | | | — | | | | | | (944,195) | | | | | | 1,871,788 | | | | | | — | | | | | | 448,562 | | |
Palmer Square European Loan Funding, Series 2022-1X, Class SUB, 0.000%, 10/15/20311,2,3,4 | | | | | 2,009,392 | | | | | | 1,276,449 | | | | | | — | | | | | | — | | | | | | (1,069,138) | | | | | | 2,216,703 | | | | | | — | | | | | | 721,874 | | |
Palmer Square European Loan Funding, Series 2022-2X, Class SUB, 0.000%, 10/15/20311,2,3,4 | | | | | 2,974,865 | | | | | | 1,427,028 | | | | | | — | | | | | | — | | | | | | (939,526) | | | | | | 3,462,367 | | | | | | — | | | | | | 810,248 | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
Security Description | | | Value Beginning of Period | | | Additions | | | Reductions | | | Net Realized Gain (Loss) | | | Change in Unrealized Appreciation/ (Depreciation) | | | Value End of Period | | | Dividend Income* | | | Interest Income* | | ||||||||||||||||||||||||
Palmer Square European Loan Funding, Series 2022-3X, Class E, 9.32% (3-Month Euribor+728 basis points), 4/12/20321,2,3,5 | | | | | 7,672,599 | | | | | | 1,462,716 | | | | | | (9,135,315) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 2,218,586 | | |
Palmer Square European Loan Funding, Series 2022-3X, Class SUB, 0.000%, 4/12/20321,2,3,4,6 | | | | | 4,352,100 | | | | | | — | | | | | | (4,352,100) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,629,946 | | |
Palmer Square European Loan Funding, Series 2023-1A, Class SUB, 0.000%, 11/15/20321,2,3,4,7,8 | | | | | 7,699,816 | | | | | | — | | | | | | (149,837) | | | | | | — | | | | | | (308,527) | | | | | | 7,241,452 | | | | | | — | | | | | | 1,965,624 | | |
Palmer Square European Loan Funding, Series 2023-1X, Class E, 10.431% (3-Month Euribor+653 basis points), 11/15/20321,2,3,5 | | | | | 3,691,574 | | | | | | 19,230 | | | | | | — | | | | | | — | | | | | | 295,286 | | | | | | 4,006,090 | | | | | | — | | | | | | 434,323 | | |
Palmer Square European Loan Funding, Series 2023-1X, Class SUB, 0.000%, 7/15/20361,2,3,4,8 | | | | | — | | | | | | 10,298,372 | | | | | | — | | | | | | — | | | | | | (641,783) | | | | | | 9,656,589 | | | | | | — | | | | | | 654,351 | | |
Palmer Square European Loan Funding, Series 2023-2X, Class SUB, 0.000%, 1/15/20331,2,3,4,8 | | | | | — | | | | | | 9,266,474 | | | | | | — | | | | | | — | | | | | | (1,422,339) | | | | | | 7,844,135 | | | | | | — | | | | | | 1,690,467 | | |
Palmer Square European Loan Funding, Series 2023-2X, Class SUB, 0.000%, 10/15/20361,2,3,4,8 | | | | | — | | | | | | 11,618,082 | | | | | | — | | | | | | — | | | | | | 281,092 | | | | | | 11,899,174 | | | | | | — | | | | | | 84,029 | | |
Palmer Square European Loan Funding, Series 2023-3X, Class SUB, 0.000%, 5/15/20331,2,3,4,8 | | | | | — | | | | | | 8,710,431 | | | | | | — | | | | | | — | | | | | | 207,245 | | | | | | 8,917,676 | | | | | | — | | | | | | 201,237 | | |
Palmer Square European Loan Funding, Series 2024-1X, Class SUB, 0.000%, 8/15/20331,2,3,4,6,8 | | | | | — | | | | | | 11,474,609 | | | | | | — | | | | | | — | | | | | | (65,611) | | | | | | 11,408,998 | | | | | | — | | | | | | 241,402 | | |
Palmer Square Loan Funding Ltd., Series 2020-1A, Class SUB, 0.000%, 2/20/20281,2,3,4,6,7 | | | | | 866,837 | | | | | | 383,163 | | | | | | (975,325) | | | | | | — | | | | | | (274,675) | | | | | | — | | | | | | — | | | | | | 39,135 | | |
Palmer Square Loan Funding Ltd., Series 2020-4A, Class SUB, 0.000%, 11/25/20281,2,3,4,7 | | | | | 1,419,808 | | | | | | 830,192 | | | | | | — | | | | | | — | | | | | | (1,590,525) | | | | | | 659,475 | | | | | | — | | | | | | 1,372,525 | | |
Palmer Square Loan Funding Ltd., Series 2021-1A, Class SUB, 0.000%, 4/20/20291,2,3,4,7 | | | | | 811,485 | | | | | | 438,515 | | | | | | — | | | | | | — | | | | | | (272,328) | | | | | | 977,672 | | | | | | — | | | | | | 210,043 | | |
Palmer Square Loan Funding Ltd., Series 2021-2A, Class SUB, 0.000%, 5/20/20291,2,3,4,7 | | | | | 1,367,396 | | | | | | 782,604 | | | | | | — | | | | | | — | | | | | | (803,650) | | | | | | 1,346,350 | | | | | | — | | | | | | 466,259 | | |
Palmer Square Loan Funding Ltd., Series 2021-3A, Class SUB, 0.000%, 7/20/20291,2,3,4,7 | | | | | 990,675 | | | | | | 509,325 | | | | | | — | | | | | | — | | | | | | (501,166) | | | | | | 998,834 | | | | | | — | | | | | | 335,496 | | |
Palmer Square Loan Funding Ltd., Series 2021-4A, Class SUB, 0.000%, 10/15/20291,2,3,4,7 | | | | | 2,131,113 | | | | | | 968,887 | | | | | | — | | | | | | — | | | | | | (1,047,870) | | | | | | 2,052,130 | | | | | | — | | | | | | 779,783 | | |
Palmer Square Loan Funding Ltd., Series 2022-1A, Class SUB, 0.000%, 4/15/20301,2,3,4,7 | | | | | 3,764,008 | | | | | | 1,470,992 | | | | | | — | | | | | | — | | | | | | (1,499,291) | | | | | | 3,735,709 | | | | | | — | | | | | | 1,452,195 | | |
Palmer Square Loan Funding Ltd., Series 2022-2A, Class SUB, 0.000%, 10/15/20301,2,3,4,7 | | | | | 4,515,211 | | | | | | 1,484,789 | | | | | | — | | | | | | — | | | | | | (1,520,594) | | | | | | 4,479,406 | | | | | | — | | | | | | 1,459,797 | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
Security Description | | | Value Beginning of Period | | | Additions | | | Reductions | | | Net Realized Gain (Loss) | | | Change in Unrealized Appreciation/ (Depreciation) | | | Value End of Period | | | Dividend Income* | | | Interest Income* | | ||||||||||||||||||||||||
Palmer Square Loan Funding Ltd., Series 2022-3A, Class SUB, 0.000%, 4/15/20311,2,3,4,7 | | | | | 6,276,546 | | | | | | — | | | | | | (26,546) | | | | | | — | | | | | | (93,603) | | | | | | 6,156,397 | | | | | | — | | | | | | 2,075,593 | | |
Palmer Square Loan Funding Ltd., Series 2022-4A, Class D, 12.609% (3-Month Term SOFR+729 basis points), 7/24/20311,2,3,5,7 | | | | | 3,444,732 | | | | | | 118,076 | | | | | | — | | | | | | — | | | | | | 125,749 | | | | | | 3,688,557 | | | | | | — | | | | | | 481,799 | | |
Palmer Square Loan Funding Ltd., Series 2022-4A, Class SUB, 0.000%, 7/24/20311,2,3,4,7,8 | | | | | 7,903,479 | | | | | | 146,521 | | | | | | — | | | | | | — | | | | | | (340,354) | | | | | | 7,709,646 | | | | | | — | | | | | | 1,481,169 | | |
Palmer Square Loan Funding Ltd., Series 2022-5I, Class SUB, 0.000%, 1/15/20311,2,3,4 | | | | | 1,258,277 | | | | | | — | | | | | | (1,258,277) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | 521,882 | | |
Palmer Square Loan Funding Ltd., Series 2023-1A, Class D, 13.318% (3-Month Term SOFR+800 basis points), 7/20/20311,2,3,5,7 | | | | | — | | | | | | 3,801,574 | | | | | | — | | | | | | — | | | | | | 91,934 | | | | | | 3,893,508 | | | | | | — | | | | | | 402,817 | | |
Palmer Square Loan Funding Ltd., Series 2023-1A, Class SUB, 0.000%, 1/20/20361,2,3,4,7 | | | | | 3,922,387 | | | | | | 77,613 | | | | | | — | | | | | | — | | | | | | (13,359) | | | | | | 3,986,641 | | | | | | — | | | | | | 424,343 | | |
Palmer Square Loan Funding Ltd., Series 2023-1A, Class SUB, 0.000%, 7/20/20311,2,3,4,7,8 | | | | | — | | | | | | 4,675,000 | | | | | | — | | | | | | — | | | | | | 363,573 | | | | | | 5,038,573 | | | | | | — | | | | | | 1,047,376 | | |
Palmer Square Loan Funding Ltd., Series 2023-2A, Class SUB, 0.000%, 4/20/20361,2,3,4,7,8 | | | | | — | | | | | | 9,500,000 | | | | | | — | | | | | | — | | | | | | (730,091) | | | | | | 8,769,909 | | | | | | — | | | | | | 1,259,497 | | |
Palmer Square Loan Funding Ltd., Series 2023-2A, Class SUB, 0.000%, 1/25/20321,2,3,4,7,8 | | | | | — | | | | | | 6,600,000 | | | | | | — | | | | | | — | | | | | | 145,442 | | | | | | 6,745,442 | | | | | | — | | | | | | 208,850 | | |
Palmer Square Loan Funding Ltd., Series 2023-3A, Class SUB, 0.000%, 1/20/20371,2,3,4,7,8 | | | | | — | | | | | | 8,000,000 | | | | | | — | | | | | | — | | | | | | 44,663 | | | | | | 8,044,663 | | | | | | — | | | | | | 141,627 | | |
Palmer Square Loan Funding Ltd., Series 2023-4A, Class SUB, 0.000%, 10/20/20331,2,3,4,7,8 | | | | | — | | | | | | 12,750,000 | | | | | | — | | | | | | — | | | | | | 124,696 | | | | | | 12,874,696 | | | | | | — | | | | | | 199,678 | | |
Palmer Square Loan Funding Ltd., Series 2024-1A, Class SUB, 0.000%, 4/15/20371,2,3,4,7,8 | | | | | — | | | | | | 13,072,000 | | | | | | — | | | | | | — | | | | | | 374,536 | | | | | | 13,446,536 | | | | | | — | | | | | | 361,901 | | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Driehaus Event Driven Fund2,9 | | | | | 17,326,069 | | | | | | 9,173,931 | | | | | | — | | | | | | — | | | | | | (93,109) | | | | | | 26,406,891 | | | | | | 1,158,246 | | | | | | — | | |
Glenmede Secured Options Portfolio – Class Institutional2,9 | | | | | 19,248,823 | | | | | | 21,751,177 | | | | | | — | | | | | | — | | | | | | 2,852,986 | | | | | | 43,852,986 | | | | | | 2,900 | | | | | | — | | |
Private Investment Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Rivernorth Capital Partners LP1,2,6,10 | | | | | 12,006,892 | | | | | | 4,500,000 | | | | | | (506,892) | | | | | | — | | | | | | 2,260,442 | | | | | | 18,260,442 | | | | | | — | | | | | | — | | |
Real Estate Investment Trusts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Invesco Real Estate Income Trust, Inc. – Class I 1,2,6 | | | | | 22,894,149 | | | | | | 21,105,851 | | | | | | (1,405,111) | | | | | | — | | | | | | (2,525,873) | | | | | | 40,069,016 | | | | | | 3,082,265 | | | | | | — | | |
Total | | | | $ | 168,653,271 | | | | | $ | 225,309,801 | | | | | $ | (18,111,665) | | | | | $ | — | | | | | $ | (9,921,350) | | | | | $ | 365,930,057 | | | | | $ | 9,525,373 | | | | | $ | 25,822,411 | | |
|
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
Security Description | | | Shares/ Principal Amount Beginning of Period | | | Additions | | | Reductions | | | Stock Split | | | Shares/ Principal Amount End of Period | | |||||||||||||||
Closed-End Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
BC Partners Lending Corp.1,2 | | | | | 338,600 | | | | | | 228,520 | | | | | | — | | | | | | — | | | | | | 567,120 | | |
Opportunistic Credit Interval Fund – Class I1,2 | | | | | 191,603 | | | | | | 1,880,230 | | | | | | — | | | | | | — | | | | | | 2,071,833 | | |
Palmer Square Capital BDC, Inc.1,2 | | | | | 459,841 | | | | | | 1,062,908 | | | | | | — | | | | | | — | | | | | | 1,522,749 | | |
Palmer Square Opportunistic Income Fund1,2 | | | | | 697,900 | | | | | | — | | | | | | — | | | | | | — | | | | | | 697,900 | | |
Collateralized Loan Obligations | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Palmer Square European Loan Funding, Series 2021-2X, Class SUB, 0.000%, 4/15/20351,2,3,4 | | | | | 2,500,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 2,500,000 | | |
Palmer Square European Loan Funding, Series 2022-1X, Class SUB, 0.000%, 10/15/2031 1,2,3,4 | | | | | 2,975,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 2,975,000 | | |
Palmer Square European Loan Funding, Series 2022-2X, Class SUB, 0.000%, 10/15/20311,2,3,4 | | | | | 4,000,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 4,000,000 | | |
Palmer Square European Loan Funding, Series 2022-3X, Class E, 9.32% (3-Month Euribor+728 basis points), 4/12/20321,2,3,5 | | | | | 7,500,000 | | | | | | — | | | | | | (7,500,000) | | | | | | — | | | | | | — | | |
Palmer Square European Loan Funding, Series 2022-3X, Class SUB, 0.000%, 4/12/20321,2,3,4,6 | | | | | 4,000,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 4,000,000 | | |
Palmer Square European Loan Funding, Series 2023-1A, Class SUB, 0.000%, 11/15/20321,2,3,4,7,8 | | | | | 7,100,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 7,100,000 | | |
Palmer Square European Loan Funding, Series 2023-1X, Class E, 10.431% (3-Month Euribor+653 basis points), 11/15/20321,2,3,5 | | | | | 3,700,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 3,700,000 | | |
Palmer Square European Loan Funding, Series 2023-1X, Class SUB, 0.000%, 7/15/20361,2,3,4,8 | | | | | — | | | | | | 10,000,000 | | | | | | — | | | | | | — | | | | | | 10,000,000 | | |
Palmer Square European Loan Funding, Series 2023-2X, Class SUB, 0.000%, 1/15/20331,2,3,4,8 | | | | | — | | | | | | 8,325,000 | | | | | | — | | | | | | — | | | | | | 8,325,000 | | |
Palmer Square European Loan Funding, Series 2023-2X, Class SUB, 0.000%, 10/15/20361,2,3,4,8 | | | | | — | | | | | | 11,000,000 | | | | | | — | | | | | | — | | | | | | 11,000,000 | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
Security Description | | | Shares/ Principal Amount Beginning of Period | | | Additions | | | Reductions | | | Stock Split | | | Shares/ Principal Amount End of Period | | |||||||||||||||
Palmer Square European Loan Funding, Series 2023-3X, Class SUB, 0.000%, 5/15/20331,2,3,4,8 | | | | | — | | | | | | 8,200,000 | | | | | | — | | | | | | — | | | | | | 8,200,000 | | |
Palmer Square European Loan Funding, Series 2024-1X, Class SUB, 0.000%, 8/15/20331,2,3,4,6,8 | | | | | — | | | | | | 10,575,000 | | | | | | — | | | | | | — | | | | | | 10,575,000 | | |
Palmer Square Loan Funding Ltd., Series 2020-1A, Class SUB, 0.000%, 2/20/20281,2,3,4,6,7 | | | | | 1,250,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,250,000 | | |
Palmer Square Loan Funding Ltd., Series 2020-4A, Class SUB, 0.000%, 11/25/20281,2,3,4,7 | | | | | 2,250,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 2,250,000 | | |
Palmer Square Loan Funding Ltd., Series 2021-1A, Class SUB, 0.000%, 4/20/20291,2,3,4,7 | | | | | 1,250,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,250,000 | | |
Palmer Square Loan Funding Ltd., Series 2021-2A, Class SUB, 0.000%, 5/20/20291,2,3,4,7 | | | | | 2,150,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 2,150,000 | | |
Palmer Square Loan Funding Ltd., Series 2021-3A, Class SUB, 0.000%, 7/20/20291,2,3,4,7 | | | | | 1,500,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,500,000 | | |
Palmer Square Loan Funding Ltd., Series 2021-4A, Class SUB, 0.000%, 10/15/20291,2,3,4,7 | | | | | 3,100,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 3,100,000 | | |
Palmer Square Loan Funding Ltd., Series 2022-1A, Class SUB, 0.000%, 4/15/20301,2,3,4,7 | | | | | 5,235,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 5,235,000 | | |
Palmer Square Loan Funding Ltd., Series 2022-2A, Class SUB, 0.000%, 10/15/20301,2,3,4,7 | | | | | 6,000,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 6,000,000 | | |
Palmer Square Loan Funding Ltd., Series 2022-3A, Class SUB, 0.000%, 4/15/20311,2,3,4,7 | | | | | 6,250,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 6,250,000 | | |
Palmer Square Loan Funding Ltd., Series 2022-4A, Class D, 12.609% (3-Month Term SOFR+729 basis points), 7/24/20311,2,3,5,7 | | | | | 3,700,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 3,700,000 | | |
Palmer Square Loan Funding Ltd., Series 2022-4A, Class SUB, 0.000%, 7/24/20311,2,3,4,7,8 | | | | | 8,050,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 8,050,000 | | |
Palmer Square Loan Funding Ltd., Series 2022-5I, Class SUB, 0.000%, 1/15/20311,2,3,4 | | | | | 1,250,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 1,250,000 | | |
Palmer Square Loan Funding Ltd., Series 2023-1A, Class D, 13.318% (3-Month Term SOFR+800 basis points), 7/20/20311,2,3,5,7 | | | | | — | | | | | | 3,875,000 | | | | | | — | | | | | | — | | | | | | 3,875,000 | | |
Palmer Square Loan Funding Ltd., Series 2023-1A, Class SUB, 0.000%, 1/20/20361,2,3,4,7 | | | | | 4,000,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | 4,000,000 | | |
Palmer Square Loan Funding Ltd., Series 2023-1A, Class SUB, 0.000%, 7/20/20311,2,3,4,7,8 | | | | | — | | | | | | 4,675,000 | | | | | | — | | | | | | — | | | | | | 4,675,000 | | |
Palmer Square Loan Funding Ltd., Series 2023-2A, Class SUB, 0.000%, 4/20/20361,2,3,4,7,8 | | | | | — | | | | | | 9,500,000 | | | | | | — | | | | | | — | | | | | | 9,500,000 | | |
Palmer Square Loan Funding Ltd., Series 2023-2A, Class SUB, 0.000%, 1/25/20321,2,3,4,7,8 | | | | | — | | | | | | 6,600,000 | | | | | | — | | | | | | — | | | | | | 6,600,000 | | |
Palmer Square Loan Funding Ltd., Series 2023-3A, Class SUB, 0.000%, 1/20/20371,2,3,4,7,8 | | | | | — | | | | | | 8,000,000 | | | | | | — | | | | | | — | | | | | | 8,000,000 | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
Security Description | | | Shares/ Principal Amount Beginning of Period | | | Additions | | | Reductions | | | Stock Split | | | Shares/ Principal Amount End of Period | | |||||||||||||||
Palmer Square Loan Funding Ltd., Series 2023-4A, Class SUB, 0.000%, 10/20/20331,2,3,4,7,8 | | | | | — | | | | | | 12,750,000 | | | | | | — | | | | | | — | | | | | | 12,750,000 | | |
Palmer Square Loan Funding Ltd., Series 2024-1A, Class SUB, 0.000%, 4/15/20371,2,3,4,7,8 | | | | | — | | | | | | 13,760,000 | | | | | | — | | | | | | — | | | | | | 13,760,000 | | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Driehaus Event Driven Fund2,9 | | | | | 1,436,656 | | | | | | 655,807 | | | | | | — | | | | | | — | | | | | | 2,092,463 | | |
Glenmede Secured Options Portfolio – Class Institutional2,9 | | | | | 1,515,655 | | | | | | 1,579,122 | | | | | | — | | | | | | — | | | | | | 3,094,777 | | |
Private Investment Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Rivernorth Capital Partners LP1,2,6,10 | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | |
Real Estate Investment Trusts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Invesco Real Estate Income Trust, Inc. – Class I1,2,6 | | | | | 753,940 | | | | | | 681,044 | | | | | | — | | | | | | — | | | | | | 1,434,984 | | |
Total | | | | | 83,154,195 | | | | | | 113,347,631 | | | | | | (7,500,000) | | | | | | — | | | | | | 189,001,826 | | |
|
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
| | | Derivatives not designated as hedging instruments | | |||||||||
| | | Forward Foreign Currency Exchange Contracts | | | Total | | ||||||
Assets | | | | | | | | | | | | | |
Forward foreign currency exchange contracts | | | | $ | 321,344 | | | | | $ | 321,344 | | |
| | | | $ | 321,344 | | | | | $ | 321,344 | | |
| | | Derivatives not designated as hedging instruments | | |||||||||
| | | Forward Foreign Currency Exchange Contracts | | | Total | | ||||||
Net Change in Unrealized Appreciation/(Depreciation) on Derivatives | | | | | | | | | | | | | |
Forward foreign currency exchange contracts | | | | $ | 890,311 | | | | | $ | 890,311 | | |
| | | | $ | 890,311 | | | | | $ | 890,311 | | |
Derivatives not designated as hedging instruments | | | | | | | | | | |
Forward foreign currency exchange contracts | | | Notional amount | | | | $ | (110,222,988) | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
Description/Financial Instrument/Consolidated Statement of Assets and Liabilities Category | | | Counterparty | | | Gross Amounts Recognized in Consolidated Statement of Assets and Liabilities | | | Amounts Not Offset in Consolidated Statement of Assets and Liabilities | | ||||||||||||||||||
| Financial Instruments* | | | Cash Collateral** | | | Net Amount | | ||||||||||||||||||||
Forward foreign currency exchange contracts – asset receivable | | | BNP Paribas | | | | $ | 321,344 | | | | | $ | — | | | | | $ | — | | | | | $ | 321,344 | | |
| Bank Loans | | | | $ | 3,992,603 | | |
| Collateralized Loan Obligations | | | | $ | 7,610,552 | | |
| Private Investment Funds | | | | $ | 86,524,329 | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
Beneficial Owner | | | % of Outstanding Shares of the Fund | | |||
Charles Schwab & Co. | | | | | 61.7% | | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued
March 31, 2024
FUND MANAGEMENT
March 31, 2024 (Unaudited)
| | NAME, ADDRESS AND YEAR OF BIRTH | | | | POSITION(S) HELD WITH THE FUND | | | | LENGTH OF TIME SERVED | | | | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | | | | NUMBER OF PORTFOLIOS IN FUND COMPLEX* OVERSEEN BY TRUSTEE | | | | OTHER DIRECTORSHIPS HELD BY TRUSTEES | | |
| | David G. Lee Year of Birth: 1952 c/o UMB Fund Services, Inc. 235 W. Galena St. Milwaukee, WI 53212 | | | | Chairman and Trustee | | | | Chairman Since May 2019; Trustee Since Inception | | | | Retired (Since 2012); President and Director, Client Opinions, Inc. (2003 – 2012); Chief Operating Officer, Brandywine Global Investment Management (1998 – 2002). | | | | 17 | | | | None | | |
| | Robert Seyferth Year of Birth: 1952 c/o UMB Fund Services, Inc. 235 W. Galena St. Milwaukee, WI 53212 | | | | Trustee | | | | Since Inception | | | | Retired (Since 2009); Chief Procurement Officer/Senior Managing Director, Bear Stearns/JP Morgan Chase (1993 – 2009). | | | | 17 | | | | None | | |
| | Gary E. Shugrue Year of Birth: 1954 c/o UMB Fund Services, Inc. 235 W. Galena St. Milwaukee, WI 53212 | | | | Trustee | | | | Since September 2021 | | | | Retired (Since 2023); Managing Director, Veritable LP (investment advisory firm) (2016 – 2023); Founder/ President, Ascendant Capital Partners, LP (private equity firm) (2001 – 2015). | | | | 17 | | | | Trustee, Quaker Investment Trust (3 portfolios) (registered investment company). | | |
FUND MANAGEMENT — Continued
March 31, 2024 (Unaudited)
| | NAME, ADDRESS AND YEAR OF BIRTH | | | | POSITION(S) HELD WITH THE FUND | | | | LENGTH OF TIME SERVED | | | | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | | | | NUMBER OF PORTFOLIOS IN FUND COMPLEX* OVERSEEN BY TRUSTEE | | | | OTHER DIRECTORSHIPS HELD BY TRUSTEES | | |
| | Terrance P. Gallagher** Year of Birth: 1958 c/o UMB Fund Services, Inc. 235 W. Galena St. Milwaukee, WI 53212 | | | | Trustee | | | | Since June 2020 | | | | Executive Vice President and Trust Platform Director, UMB Fund Services, Inc. (2024 – Present); President and Trustee, Investment Managers Series Trust II (registered investment company) (2013 – Present); Executive Vice President and Director of Fund Accounting, Administration and Tax, UMB Fund Services, Inc. (2007 – 2023). | | | | 17 | | | | President and Trustee, Investment Managers Series Trust II (33 portfolios) (registered investment company). | | |
| | Michael Peck Year of Birth: 1980 c/o UMB Fund Services, Inc. 235 W. Galena St. Milwaukee, WI 53212 | | | | President | | | | Since Inception | | | | Chief Executive Officer and Co-CIO, First Trust Capital Management L.P. (formerly, Vivaldi Asset Management, LLC) (2012 – Present) President and Co-CIO, Vivaldi Capital Management LP (2012 – March 2024); Portfolio Manager, Coe Capital Management (2010 – 2012); Senior Financial Analyst and Risk Manager, the Bond Companies (2006 – 2008). | | | | N/A | | | | N/A | | |
FUND MANAGEMENT — Continued
March 31, 2024 (Unaudited)
| | NAME, ADDRESS AND YEAR OF BIRTH | | | | POSITION(S) HELD WITH THE FUND | | | | LENGTH OF TIME SERVED | | | | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | | | | NUMBER OF PORTFOLIOS IN FUND COMPLEX* OVERSEEN BY TRUSTEE | | | | OTHER DIRECTORSHIPS HELD BY TRUSTEES | | |
| | Chad Eisenberg Year of Birth: 1982 c/o UMB Fund Services, Inc. 235 W. Galena St. Milwaukee, WI 53212 | | | | Treasurer | | | | Since Inception | | | | Chief Operating Officer, First Trust Capital Management L.P. (formerly, Vivaldi Asset Management, LLC) (2012 – Present); Chief Operating Officer, Vivaldi Capital Management LP (2012 – March 2024); Director, Coe Capital Management LLC (2010 – 2011). | | | | N/A | | | | N/A | | |
| | Bernadette Murphy Year of Birth: 1964 c/o UMB Fund Services, Inc. 235 W. Galena St. Milwaukee, WI 53212 | | | | Chief Compliance Officer | | | | Since 2021 | | | | Director, Vigilant Compliance, LLC (investment management solutions firm) (2018-Present). | | | | N/A | | | | N/A | | |
| | Ann Maurer Year of Birth: 1972 c/o UMB Fund Services, Inc. 235 W. Galena St. Milwaukee, WI 53212 | | | | Secretary | | | | Since September 2018 | | | | Senior Vice President, Client Services (2017 – Present), Vice President, Senior Client Service Manager (2013 – 2017), Assistant Vice President, Client Relations Manager (2002 – 2013), UMB Fund Services, Inc. | | | | N/A | | | | N/A | | |
FUND INFORMATION
March 31, 2024 (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
(b) Not applicable.
ITEM 2. CODE OF ETHICS.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(b) | The registrant’s code of ethics are written standards that are reasonably designed to deter wrongdoing and to promote: (1) Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Commission and in other public communications made by the registrant; (3) Compliance with applicable governmental laws, rules, and regulations; (4) The prompt internal reporting of violations of the code to an appropriate person or persons identified in the code; and (5) Accountability for adherence to the code. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, during the period covered by this report, including an implicit waiver, from a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item's instructions. |
(e) | The registrant does not intend to satisfy the disclosure requirement under paragraph (c) or (d) of this Item regarding an amendment to, or a waiver from, a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item by posting such information on its Internet website. |
(f) | The registrant has included with this filing, pursuant to Item 13(a)(1), a copy of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, as an exhibit to its annual report on this Form N-CSR; |
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) | As of the end of the period covered by the report, the registrant’s board of trustees has determined that Mr. David G. Lee and Mr. Robert Seyferth are qualified to serve as the audit committee financial experts serving on its audit committee and that they are “independent,” as defined by Item 3 of Form N-CSR. |
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Audit Fees
(a) | The aggregate fees billed for the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements are $52,500 for 2023 and $68,100 for 2024. |
Audit-Related Fees
(b) | The aggregate fees billed for the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item are $0 for 2023 and $0 for 2024. |
Tax Fees
(c) | The aggregate fees billed for the last two fiscal years for professional services rendered by the principal accountant for the review and preparation of tax returns are $22,154 for 2023 and $0 for 2024. |
All Other Fees
(d) | The aggregate fees billed for the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2023 and $0 for 2024. |
(e) | (1) The Registrant's Audit Committee must pre-approve the audit and non-audit services of the Auditors prior to the Auditor's engagement. |
(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:
(b) 0%
(c) 0%
(d) 0%
(f) | The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the fiscal period April 1, 2023 through March 31, 2024 that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty percent. |
(g) | The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $0 for 2023 and $0 for 2024. |
(h) | The registrant's audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. |
(i) | Not applicable. |
(j) | Not applicable. |
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) | Not applicable. |
(b) | Not applicable. |
ITEM 6. SCHEDULE OF INVESTMENTS.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
First Trust Capital Management L.P.
PROXY POLICY AND PROCEDURE
INTRODUCTION
First Trust Capital Management L.P. (“FTCM”) acts as either the advisor or sub-advisor to a number of registered investment companies (the “Funds”). In accord with Rule 206(4)-6 of the Investment Advisers Act of 1940, as amended, FTCM has adopted the following policies and procedures to provide information on FTCM’s proxy policy generally as well as on procedures for each of the Funds specifically (the “Proxy Policy and Procedure”). These policies and procedures apply only to FTCM. Investment managers engaged as sub-advisors for one of the Funds are required to vote proxies in accord with their own policies and procedures and any applicable management agreements.
GENERAL GUIDELINES
FTCM’s Proxy Policy and Procedure is designed to ensure that proxies are voted in a manner (i) reasonably believed to be in the best interests of the Funds and their shareholders1 and (ii) not affected by any material conflict of interest. FTCM considers shareholders’ best economic interests over the long term (i.e., addresses the common interest of all shareholders over time). Although shareholders may have differing political or social interests or values, their economic interest is generally uniform.
FTCM has adopted voting guidelines to assist in making voting decisions on common issues. The guidelines are designed to address those securities in which the Funds generally invest and may be revised in FTCM’s discretion. Any non-routine matters not addressed by the proxy voting guidelines are addressed on a case-by-case basis, considering all relevant facts and circumstances at the time of the vote, particularly where such matters have a potential for major economic impact on the issuer’s structure or operations. In making voting determinations, FTCM typically will rely on the individual portfolio managers who invest in and track particular companies as they are the most knowledgeable about, and best suited to make decisions regarding, particular proxy matters. In addition, FTCM may conduct research internally and/or use the resources of an independent research consultant. FTCM may also consider other materials such as studies of corporate governance and/or analyses of shareholder and management proposals by a certain sector of companies and may engage in dialogue with an issuer’s management.
FTCM acknowledges its responsibility to identify material conflicts of interest related to voting proxies. FTCM’s employees are required to disclose to the Chief Compliance Officer any personal conflicts, such as officer or director positions held by them, their spouses or close relatives, in any publicly traded company. Conflicts based on business relationships with FTCM, any affiliate or any person associated with FTCM, will be considered only to the extent that FTCM has actual knowledge of such relationships. FTCM then takes appropriate steps to address identified conflicts. Typically, in those instances when a proxy vote may present a conflict between the interests of the Fund, on the one hand, and FTCM’s interests or the interests of a person affiliated with FTCM on the other, FTCM will abstain from making a voting decision and will document the decision and reasoning for doing so.
1Actions taken in accord with the best interests of the Funds and their shareholders are those which align most closely with the Funds’ stated investment objectives and strategies.
First Trust Capital Management | 225 W. Wacker Drive | 21st Floor | Chicago, IL 60606 | P: 773.828.6700 | F: 847.386.2910
In some cases, the cost of voting a proxy may outweigh the expected benefits. For example, casting a vote on a foreign security may involve additional costs such as hiring a translator or traveling to the foreign country to vote the security in person. In such situations, FTCM may abstain from voting a proxy if the effect on shareholders’ economic interests or the value of the portfolio holding is indeterminable or insignificant.
In certain cases, securities on loan as part of a securities lending program may not be voted. Nothing in the proxy voting policies shall obligate FTCM to exercise voting rights with respect to a portfolio security if it is prohibited by the terms of the security or by applicable law or otherwise.
FTCM will not discuss with members of the public how they intend to vote on any particular proxy proposal.
SPECIAL CONSIDERATIONS
The Funds are subject to the restrictions of Sections 12(d)(1)(A)(i) and (B)(i) of the Investment Company Act of 1940 (the “Act”). Generally, these provisions require that any fund and any entity controlled by that fund (including ETFs that are registered investment companies) may not (i) own, in the aggregate, more than three percent (3%) of the total outstanding voting securities of any registered open-end or closed-end investment company, including money market funds2; (ii) invest more than 5% of its total assets in any one investment company; or (iii) invest more than 10% of its total assets in the securities of other investment companies. Section 12(d)(1)(F) of the Act provides that the Section 12(d)(1) limitations do not apply to the securities acquired by a fund if (x) immediately after the purchase or acquisition of not more than 3% of the total outstanding stock of such registered investment company is owned by the fund and all affiliated persons of the fund, and (y) the fund is not proposing to offer or sell any security issued by it through a principal underwriter or otherwise at a public or offering price which includes a sales load of more than one and a half percent (1.5%). In the event that one of Funds relies upon Section 12(d)(1)(F), FTCM, acting on behalf of the Fund, will, when voting with respect to any investment company owned by the Fund, comply with either of the following voting restrictions:
● | Seek instruction from the Fund’s shareholders with regard to the voting of all proxies and vote in accordance with such instructions, or |
● | Vote the shares held by the Fund in the same proportion as the vote of all other holders of such security. |
In addition to Section 12(d)(1)(F), Rule 12d1-4 under the Act states that a registered investment company (“Acquiring Fund”) may purchase or otherwise acquire the securities issued by another registered investment company (the “Acquired Fund”) in excess of the limits of Section 12(d)(1) and an Acquired Fund may sell or otherwise dispose of the securities issued by the Acquiring Fund in excess of the limits of Section 12(d)(1) if certain conditions are met. One of the conditions is that if the Acquiring Fund and its advisory group (as defined by Rule 12d1-4), in aggregate (A) hold more than 25% of the outstanding voting securities of an Acquired Fund that is a registered open-end management investment company or registered unit investment trust as a result of a decrease in the outstanding voting securities of an Acquired Fund, or (B) hold more than 10% of the outstanding voting securities of an Acquired Fund that is a registered closed-end management investment company or business development company, each of those holders will vote its securities in the same proportion as the vote of all other holders of such securities. When relying on Rule 12d1-4, the Fund will comply with such voting restrictions as required by Rule 12d1-4 and any applicable provision in the respective Fund of Funds Agreement with the Acquired Fund.
2 The three percent (3%) limit is measured at the time of investment.
First Trust Capital Management | 225 W. Wacker Drive | 21st Floor | Chicago, IL 60606 | P: 773.828.6700 | F: 847.386.2910
ISS ProxyEdge
FTCM has a contractual relationship with Institutional Shareholder Services Inc. (“ISS”) through which ISS provides certain proxy management services to FTCM’s portfolio management teams. Specifically, ISS (i) provides access to the ISS ProxyExchange web-based voting and research platform to access vote recommendations, research reports, execute vote instructions and run reports relevant to Subscriber’s proxy voting environment; (ii) implements and maps FTCM’s designated proxy voting policies to applicable accounts and generates vote recommendations based on the application of such policies; and (iii) monitors FTCM’s incoming ballots, performs ballot-to-account reconciliations with FTCM and its third party providers to help ensure that ISS is receiving all ballots for which FTCM has voting rights.
ISS provides two options for how proxy ballots are executed:
1. | Implied Consent: ISS executes ballots on FTCM’s behalf based on policy guidelines chosen at the time FTCM entered into the relationship with ISS. |
2. | Mandatory Signoff: ISS is not permitted to mark or process any ballot on FTCM’s behalf without first receiving FTCM’s specific voting instructions via ProxyExchange. |
FTCM has opted for Option 1. Implied Consent and in so doing has chosen to allow ISS to vote proxies on its behalf “with management’s recommendations.” FTCM has the option, however, to change its vote from the “with management’s recommendations” default at any point prior to the voting deadline if the portfolio managers following the subject company determine it is in the best interests of the Funds and their shareholders to do so. In those instances when the subject company’s management has not provided a voting recommendation, FTCM will either vote based on its own determination of what would align most closely with the best interests of the Funds and their shareholders or will opt to allow ISS to submit an “abstain” vote on its behalf. In addition, in those limited instances when share blocking3 may apply, FTCM has instructed ISS not to cast a vote on FTCM’s behalf unless FTCM provides specific instructions via ProxyExchange.
FUND-SPECIFIC POLICIES AND PROCEDURES
Infinity Core Alternative Fund, Destiny Alternative Fund LLC, Destiny Alternative Fund (TEI) LLC, First Trust Private Assets Fund, and First Trust Hedged Strategies Fund (collectively, the “Funds of Funds”) are “fund of funds” that invest primarily in general or limited partnerships, funds, corporations, trusts or other investment vehicles (collectively, “Investment Funds”). While it is unlikely that the Funds of Funds will receive notices or proxies from Investment Funds (or in connection with any other portfolio securities), to the extent that the Funds of Funds do receive such notices or proxies and the Funds of Funds have voting interests in such Investment Funds, the responsibility for decisions regarding proxy voting for securities held by the Funds of Funds lies with FTCM as their advisor. FTCM will vote such proxies in accordance with the proxy policies and procedures noted above.
3 Proxy voting in certain countries requires share blocking. Shareholders wishing to vote their proxies must deposit their shares shortly before the meeting date with a designated depositary. During this blocking period, any shares held by the designated depositary cannot be sold until the meeting has taken place and the shares have been returned to FTCM’s custodian banks. FTCM generally opts not to participate in share blocking proxies given these restrictions on their ability to trade.
First Trust Capital Management | 225 W. Wacker Drive | 21st Floor | Chicago, IL 60606 | P: 773.828.6700 | F: 847.386.2910
The Funds of Funds are required to file Form N-PX with its complete proxy voting record for the twelve (12) months ended June 30th, no later than August 31st of each year. The Funds of Funds Form N-PX filings will be available: (i) without charge, upon request, by calling 1.877.779.1999 or (ii) by visiting the SEC’s website at www.sec.gov.
All Other Funds
With the exception of the First Trust Merger Arbitrage Fund and First Trust Merger Arbitrage ETF, Infinity Core Alternative Fund, Destiny Alternative Fund LLC, Destiny Alternative Fund (TEI) LLC, First Trust Private Assets Fund, and First Trust Hedged Strategies Fund, the Funds for which FTCM is presently either an advisor or a sub-advisor are managed by multiple internal and external portfolio management teams. As noted above, the policies and procedures outlined within this Proxy Policy and Procedure apply to those securities being held in that portion of the Funds’ portfolios managed by a FTCM portfolio manager only (including Infinity Core Alternative Fund).
Each Fund will be required to file Form N-PX annually, with its complete proxy voting record for the twelve (12) months ended June 30th, no later than August 31st of each year. The Fund’s Form N-PX filing will be available: (i) without charge, upon request, from the Fund’s administrator or (ii) by visiting the SEC’s website at www.sec.gov.
First Trust Capital Management | 225 W. Wacker Drive | 21st Floor | Chicago, IL 60606 | P: 773.828.6700 | F: 847.386.2910
Palmer Square Capital Management LLC
Proxy Voting Guidelines
In accordance with Rule 30b1-4 under the Investment Company Act of 1940 and Rule 206(4)-6 and 204-2 under of the Investment Advisers Act of 1940, Palmer Square Capital Management LLC (“Palmer Square”) is providing all clients with a summary of its proxy voting procedures.
● | Upon opening an account with Palmer Square, clients are given the option to delegate proxy-voting discretion to Palmer Square by completing the appropriate documents. Palmer Square will only exercise proxy-voting discretion over client shares in the instances where clients give Palmer Square discretionary authority to vote on their behalf. |
● | It is Palmer Square’s policy to vote client shares primarily in conformity with Glass Lewis & Co. recommendations, in order to mitigate conflicts of interest that can arise between Palmer Square and its clients. Glass Lewis & Co. and Palmer Square retain a record of all recommendations. |
● | Glass Lewis & Co. is an independent third party that issues recommendations based upon its own internal guidelines. |
● | Palmer Square conducts a review at least annually of Glass Lewis & Co to assess the firm’s capacity and competency to serve as a proxy advisor. |
● | Palmer Square will vote client shares inconsistent with Glass Lewis & Co. recommendations if Palmer Square believes that doing so is in the best interest of its clients. |
● | In situations where Palmer Square identifies a material conflict of interest in the voting of proxies due to business or personal relationships that Palmer Square maintains with persons having an interest in the outcome of certain votes, Palmer Square will take appropriate steps to ensure that its proxy voting decisions are made in the best interest of its clients. |
● | Palmer Square votes client shares via ProxyEdge, an electronic voting platform provided by Broadridge Financial Solutions, Inc. Additionally, ProxyEdge retains a record of proxy votes for each client. |
● | Annually, Palmer Square will file Form N-PX with the SEC, which will contain each fund’s complete proxy voting record. |
● | Palmer Square’s Compliance Team will periodically review all proxy votes to ensure consistency with its procedures. |
● | Upon request, clients can receive a copy of Palmer Square’s proxy voting procedures and Glass Lewis & Co.’s proxy voting guidelines. |
● | These procedures are currently in effect but could be amended in the future |
If you have any questions or would like a copy of Palmer Square’s proxy voting procedures, Glass Lewis & Co.’s proxy voting guidelines and/or a record of how your shares were voted, please contact Palmer Square’s Chief Compliance Officer at 816-994-3200.
Section 18 - Proxy Voting
RiverNorth Capital Management, LLC
PROXY VOTING POLICIES AND PROCEDURES
Pursuant to the recent adoption by the Securities and Exchange Commission (the “Commission”) of Rule 206(4)-6 (17 CFR 275.206(4)-6) and amendments to Rule 204-2 (17 CFR 275.204-2) under the Investment Advisers Act of 1940 (the “Act”), it is a fraudulent, deceptive, or manipulative act, practice or course of business, within the meaning of Section 206(4) of the Act, for an investment adviser to exercise voting authority with respect to client securities, unless (i) the adviser has adopted and implemented written policies and procedures that are reasonably designed to ensure that the adviser votes proxies in the best interests of its clients, (ii) the adviser describes its proxy voting procedures to its clients and provides copies on request, and (iii) the adviser discloses to clients how they may obtain information on how the adviser voted their proxies.
In its standard investment advisory agreement, RiverNorth Capital Management, LLC (RiverNorth Capital) specifically states that it does not vote proxies unless otherwise directed by the client and the client, including clients governed by ERISA, is responsible for voting any proxies. Therefore, RiverNorth Capital will not vote proxies for these clients. However, RiverNorth Capital will vote proxies on behalf of investment company clients and hedge fund clients ("Funds"). RiverNorth Capital has instructed all custodians, other than Fund custodians, to forward proxies directly to its clients, and if RiverNorth Capital accidentally receives a proxy for any non-Fund client, current or former, the Chief Compliance Officer will promptly forward the proxy to the client. In order to fulfill its responsibilities to Funds, RiverNorth Capital Management, LLC (hereinafter “we” or “our”) has adopted the following policies and procedures for proxy voting with regard to companies in any Fund's investment portfolios.
OVERVIEW
The Proxy Voting Policies and Procedures are designed to protect the best interests of the Funds in which we vote proxies on behalf of. RiverNorth does not delegate or rely on any third-party service provider for voting recommendations.
KEY OBJECTIVES
The key objectives of these policies and procedures recognize that a company’s management is entrusted with the day-to-day operations and longer term strategic planning of the company, subject to the oversight of the company’s board of directors. While “ordinary business matters” are primarily the responsibility of management and should be approved solely by the corporation’s board of directors, these objectives also recognize that the company’s shareholders must have final say over how management and directors are performing, and how shareholders’ rights and ownership interests are handled, especially when matters could have substantial economic implications to the shareholders.
Therefore, we will pay particular attention to the following matters in exercising our proxy voting responsibilities as a fiduciary for clients and the Funds:
Accountability. Each company should have effective means in place to hold those entrusted with running a company’s business accountable for their actions. Management of a company should be accountable to its board of directors and the board should be accountable to shareholders.
Alignment of Management and Shareholder Interests. Each company should endeavor to align the interests of management and the board of directors with the interests of the company’s shareholders. For example, we generally believe that compensation should be designed to reward management for doing a good job of creating value for the shareholders of the company.
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Transparency. Promotion of timely disclosure of important information about a company’s business operations and financial performance enables investors to evaluate the performance of a company and to make informed decisions about the purchase and sale of a company’s securities.
DECISION METHODS
We generally believe that the individual portfolio managers that invest in and track particular companies are the most knowledgeable and best suited to make decisions with regard to proxy votes. Therefore, we rely on those individuals to make the final decisions on how to cast proxy votes.
No set of proxy voting guidelines can anticipate all situations that may arise. In special cases, we may seek insight from our managers and analysts on how a particular proxy proposal will impact the financial prospects of a company, and vote accordingly.
In some instances, a proxy vote may present a conflict between the interests of a client/fund, on the one hand, and our interests or the interests of a person affiliated with us, on the other. In such a case, we will abstain from making a voting decision and will forward all of the necessary proxy voting materials to the client to enable the client to cast the votes.
Notwithstanding the forgoing, the following policies will apply to investment company shares owned by a Fund. The Investment Company Act of 1940, as amended, (the “Act”) defines an “investment company” to include mutual funds, money market funds, closed-end funds (including preferred shares of a closed-end fund), and exchange traded funds. Under Section 12(d)(1) of the Act, a fund may only invest up to 5% of its total assets in the securities of any one investment company, but may not own more than 3% of the outstanding voting stock of any one investment company or invest more than 10% of its total assets in the securities of other investment companies. However, Section 12(d)(1)(F) of the Act provides that the provisions of paragraph 12(d)(1) shall not apply to securities purchased or otherwise acquired by a fund if (i) immediately after such purchase or acquisition not more than 3% of the total outstanding stock of such registered investment company is owned by the fund and all affiliated persons of the fund; and (ii) the fund is not proposing to offer or sell any security issued by it through a principal underwriter or otherwise at a public or offering price which includes a sales load of more than 1½% percent. Therefore, each Fund (or the Adviser acting on behalf of the Fund) must comply with the following voting restrictions unless it is determined that the Fund is not relying on Section 12(d) (1) (F):
● | when the Fund exercises voting rights, by proxy or otherwise, with respect to any investment company owned by the Fund, the Fund will either |
o | seek instruction from the Fund’s shareholders with regard to the voting of all proxies and vote in accordance with such instructions, or |
o | vote the shares held by the Fund in the same proportion as the vote of all other holders of such security. |
Under Section 12(d)(1)-(4) of the Act, an investment company (including exchange traded funds (“ETFs”), or closed-end funds), or business development company (“BDC”), is allowed to acquire securities of any other registered investment company or BDC in excess of the limitations in Section 12(d)(1). For purposes of these policies and procedures, the term “Acquiring Fund” means a fund that invests in any other registered investment company and “Acquired Fund” means a fund that is being acquired by another registered investment company.
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When an investment company is relying on 12(d)(1)-(4), the investment company must comply with the following provisions regarding proxy voting:
1. Limits on Control and Voting. When an investment company acquires shares of another investment company (Acquiring Fund), its advisory group1 is prohibited from controlling2, individually or in the aggregate, of the Acquired Fund. An Acquiring Fund and its advisory group are required to use mirror voting when they hold more than: (i) 25 percent of the outstanding voting securities of an Acquired Fund that is an open-end fund or UIT due to a decrease in the outstanding voting securities of the Acquired Fund; or (ii) 10 percent of the outstanding voting securities of an Acquired Fund that is a closed-end fund or BDC. In assessing whether a Fund is deemed to have control, the Acquiring Fund is required to aggregate its investment in an Acquired Fund with the investment of the Acquiring Fund’s advisory group. The Acquiring Fund and its advisory group are required to use pass-through voting (i.e., seek voting instructions from the Acquiring Fund’s own shareholders and vote accordingly) in situations where (1) all holders of an Acquired Fund’s outstanding voting securities are required by Rule 12d1-4 or Section 12(d)(1) of the 1940 Act to use mirror voting, or (2) mirror voting by an Acquiring Fund is not possible (for example, when Acquiring Funds are the only shareholders of an Acquired Fund).
2. Exceptions from the Control and Voting Conditions. The control and voting conditions described above do not apply when: (i) an Acquiring Fund is within the same group of investment companies as an Acquired Fund; or (ii) the Acquiring Fund’s investment sub-advisor or any person controlling, controlled by, or under common control with such investment sub-advisor acts as the Acquired Fund’s investment advisor or depositor.
PROXY VOTING GUIDELINES
Election of the Board of Directors
We believe that good corporate governance generally starts with a board composed primarily of independent directors, unfettered by significant ties to management, all of whose members are elected annually. We also believe that turnover in board composition promotes independent board action; fresh approaches to governance, and generally has a positive impact on shareholder value. We will generally vote in favor of non-incumbent independent directors.
The election of a company’s board of directors is one of the most fundamental rights held by shareholders. Because a classified board structure prevents shareholders from electing a full slate of directors annually, we will generally support efforts to declassify boards or other measures that permit shareholders to remove a majority of directors at any time, and will generally oppose efforts to adopt classified board structures.
1 Rule 12d1-4 defines “advisory group” as either: (i) an Acquiring Fund’s investment advisor or depositor and any person controlling, controlled by, or under common control with such investment advisor or depositor; or (ii) an Acquiring Fund’s investment sub-advisor and any person controlling, controlled by, or under common control with such investment sub-advisor.
2 “Control” means the power to exercise a controlling influence over the management or policies of a company, unless such power is solely the result of an official position with such company. The 1940 Act creates a rebuttable presumption that any person who, directly or indirectly, beneficially owns more than 25% of the voting securities of a company is deemed to control the company. Accordingly, an Acquiring Fund and its advisory group could own up to 25% of the outstanding shares of an Acquired Fund without being presumed to control the Acquired Fund. A determination of control depends on the facts and circumstances of the particular situation and does not turn solely on ownership of voting securities of a company.
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Approval of Independent Auditors
We believe that the relationship between a company and its auditors should be limited primarily to the audit engagement, although it may include certain closely related activities that do not raise an appearance of impaired independence.
We will evaluate on a case-by-case basis instances in which the audit firm has a substantial non-audit relationship with a company to determine whether we believe independence has been, or could be, compromised.
Equity-based compensation plans
We believe that appropriately designed equity-based compensation plans, approved by shareholders, can be an effective way to align the interests of shareholders and the interests of directors, management, and employees by providing incentives to increase shareholder value. Conversely, we are opposed to plans that substantially dilute ownership interests in the company, provide participants with excessive awards, or have inherently objectionable structural features.
We will generally support measures intended to increase stock ownership by executives and the use of employee stock purchase plans to increase company stock ownership by employees. These may include:
1. Requiring senior executives to hold stock in a company.
2. Requiring stock acquired through option exercise to be held for a certain period of time.
These are guidelines, and we consider other factors, such as the nature of the industry and size of the company, when assessing a plan’s impact on ownership interests.
Corporate Structure
We view the exercise of shareholders’ rights, including the rights to act by written consent, to call special meetings and to remove directors, to be fundamental to good corporate governance.
Because classes of common stock with unequal voting rights limit the rights of certain shareholders, we generally believe that shareholders should have voting power equal to their equity interest in the company and should be able to approve or reject changes to a company’s by-laws by a simple majority vote.
We will generally support the ability of shareholders to cumulate their votes for the election of directors.
Shareholder Rights Plans
While we recognize that there are arguments both in favor of and against shareholder rights plans, also known as poison pills, such measures may tend to entrench current management, which we generally consider to have a negative impact on shareholder value. Therefore, while we will evaluate such plans on a case by case basis, we will generally oppose such plans.
PROXY SERVICE PROVIDER OVERSIGHT
We use Broadridge as our third-party service provider for voting proxies. Broadridge, as a RiverNorth service provider, is monitored by RiverNorth through its proxy service and undergoes an initial and annual due diligence review.
The initial due diligence of a third-party service provider for proxy services includes a review of the service provider’s compliance policies and procedures, records of any administrative proceedings against the firm, interview with key personnel, review the information technology and cybersecurity controls in place to protect vital data and discussions with other clients of the service provider.
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For annual due diligence, RiverNorth requires its third-party service provider for proxy services to complete a Due Diligence Questionnaire (DDQ). As with the initial due diligence, the DDQ will cover the service provider’s compliance policies and procedures, records of any administrative proceedings against the firm and information technology and cybersecurity controls in place to protect vital data. It will also include an evaluation of any material changes in services or operations of the third-party service provider for proxy services.
CLIENT INFORMATION
A copy of these Proxy Voting Policies and Procedures is available to our clients, without charge, upon request, by calling 1-800-646-0148. We will send a copy of these Proxy Voting Policies and Procedures within three business days of receipt of a request, by first-class mail or other means designed to ensure equally prompt delivery. In addition, we will provide each client, without charge, upon request, information regarding the proxy votes cast by us with regard to the client’s securities.
TESTING PROCEDURES
On a monthly basis, the Chief Compliance Officer or his designee shall obtain periodic affirmations from employees responsible for voting proxies that all outstanding proxies for the prior month have been voted. On a periodic basis, the Chief Compliance Officer or his designee shall review a sample of all proxies for compliance with these procedures.
Revised | 2/12/2013 11/7/2014 7/1//2021 3/01/2022 |
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ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
(a) | (1) The following table provides biographical information about the members of First Trust Capital Management L.P. (the “Investment Manager”) Palmer Square Capital Management LLC and RiverNorth Capital Management, LLC, (the "Sub-Advisers"), who are primarily responsible for the day-to-day portfolio management of First Trust Alternative Opportunities Fund as of the date of filing this report: |
Name of Portfolio Management Team Member | Title | Length of Time of Service to the Fund | Business Experience During the Past 5 Years | Role of Portfolio Management Team Member |
Michael Peck | Chief Executive Officer & Co-Chief Investment Officer | Since Inception | Chief Executive Officer and Co-CIO, First Trust Capital Management L.P. (formerly, Vivaldi Asset Management, LLC) (2012 - Present); President and Co-CIO, Vivaldi Capital Management LP (formerly, Vivaldi Capital Management, LLC) (2012 – March 2024) | Portfolio Management |
Brian Murphy | Co-Chief Investment Officer | Since Inception | Co-Chief Investment Officer and Portfolio Manager, First Trust Capital Management L.P. (formerly, Vivaldi Asset Management, LLC) (2014 - Present), Portfolio Manager, Vivaldi Capital Management LP (formerly, Vivaldi Capital Management, LLC) (2014 – March 2024) | Portfolio Management |
Daniel Lancz | Portfolio Manager | Since Inception | Portfolio Manager, First Trust Capital Management L.P. (formerly, Vivaldi Asset Management, LLC) (2014 – Present); Portfolio Manager, Vivaldi Capital Management LP (formerly, Vivaldi Capital Management, LLC) (2014 – 2021) | Portfolio Management |
Angie Long | Chief Investment Officer | Since February 2023 | Chief Investment Officer, Palmer Square Capital Management LLC since 2011 | Portfolio Management |
Christopher Long | Chief Executive Officer | Since February 2023 | Chief Executive Officer, Palmer Square Capital Management LLC since 2009 | Portfolio Management |
Taylor Moore | Managing Director, Portfolio Manager, Head of Structured Credit Trading | Since February 2023 | Managing Director, Portfolio Manager, Head of Structured Credit Trading at Palmer Square Capital Management LLC since 2018, joined Palmer Square Capital Management LLC in 2013. | Portfolio Management |
Patrick Galley | Chief Executive Officer, Chief Investment Officer, Portfolio Manager | Since Inception | CIO/PM, RiverNorth Capital Management, LLC (2004- present). CEO, RiverNorth Capital Management, LLC (2020- present). | Portfolio Management |
Stephen O’Neill | Portfolio Manager | Since Inception | PM, RiverNorth Capital Management, LLC (2007- present). | Portfolio Management |
(a) | (2) The following table provides information about portfolios and accounts, other than First Trust Alternative Opportunities Fund, for which the members of the Portfolio Management team listed above are primarily responsible for the day-to-day portfolio management as of the end of the period covered by this report: |
Name of Portfolio Management Team Member | Number of Accounts and Total Value of Assets for Which Advisory Fee is Performance-Based: | Number of Other Accounts Managed and Total Value of Assets by Account Type for Which There is No Performance- Based Fee: | ||||
Name
| Registered investment companies | Other pooled investment vehicles | Other accounts | Registered investment companies | Other pooled investment vehicles | Other accounts |
Michael Peck | 1 Account $15.57M | 22 Accounts $261.80M | 0 Accounts | 6 Accounts $627.98M | 7 Accounts $85.25M | 0 Accounts |
Brian Murphy | 1 Account $15.57M | 22 Accounts $261.80M | 0 Accounts | 6 Accounts $627.98M | 14 Accounts $118.02M | 0 Accounts |
Daniel Lancz | 0 Accounts | 1 Account $10.10M | 0 Accounts | 2 Accounts $1.66B | 0 Accounts | 0 Accounts |
Angie Long | 0 Accounts | 57 Accounts $23.9B | 0 Accounts | 5 Accounts $1.5B | 63 Accounts $25.8B | 60 Accounts $2.4B |
Christopher Long | 0 Accounts | 57 Accounts $23.9B | 0 Accounts | 4 Accounts $1.4B | 63 Accounts $25.8B | 84 Accounts $2.4B |
Taylor Moore | 0 Accounts | 0 Accounts | 0 Accounts | 3 Accounts $459M | 0 Accounts | 0 Accounts |
Patrick Galley | 0 Accounts | 5 Accounts $977M | 10 Accounts $83M | 13 Accounts $3.9B | 0 Accounts | 0 Accounts |
Stephen O’Neill | 0 Accounts | 5 Accounts $977M | 10 Accounts $83M | 13 Accounts $3.9B | 0 Accounts | 0 Accounts |
Conflicts of Interest
The Investment Manager, Sub-Advisers and Portfolio Managers may manage multiple funds and/or other accounts, and as a result may be presented with one or more of the following actual or potential conflicts:
The management of multiple funds and/or other accounts may result in the Investment Manager, a Sub-Adviser or Portfolio Manager devoting unequal time and attention to the management of each fund and/or other account. The Investment Manager seeks to manage such competing interests for the time and attention of a Portfolio Manager by having the Portfolio Manager focus on a particular investment discipline. Most other accounts managed by a Portfolio Manager are managed using the same investment models that are used in connection with the management of the Fund.
If the Investment Manager, a Sub-Adviser or Portfolio Manager identifies a limited investment opportunity which may be suitable for more than one fund or other account, a fund may not be able to take full advantage of that opportunity due to an allocation of filled purchase or sale orders across all eligible funds and other accounts. To deal with these situations, the Investment Manager and Sub-Advisers have adopted procedures for allocating portfolio transactions across multiple accounts.
The Investment Manager and Sub-Advisers have adopted certain compliance procedures which are designed to address these types of conflicts. However, there is no guarantee that such procedures will detect each and every situation in which a conflict arises.
(a) | (3) The below information is provided as of March 31, 2024. |
Mr. Peck and Mr. Murphy receive base salaries and bonuses, neither of which is based on performance, and are eligible to avail themselves of life insurance, medical and dental benefits offered to all First Trust Capital Management L.P. employees and to participate in First Trust Capital Management L.P.’s 401(k) plan. In addition, they are members of VFT Holdings LP and receive compensation based on the overall profitability of the firm and its affiliates. Mr. Lancz receives a fixed salary and discretionary bonus, based on individual and firm level performance. In addition, he owns interests in First Trust Capital Management L.P. and receives compensation based on the overall profitability of the firm. He also participates in a 401(k) program and receives medical/dental insurance benefits on the same basis as other employees of First Trust Capital Management L.P.
The Portfolio Management team members from Palmer Square Capital Management LLC receive a fixed based salary and a discretionary bonus. Each Portfolio Management team member is an equity owner of the firm and shares in the firm’s profits. The Portfolio Management team members’ compensation arrangements are not determined on the basis of specific funds or accounts managed.
Mr. Galley’s and Mr. O’Neill’s total compensation includes a base salary fixed from year to year and a variable performance bonus consisting of cash incentives. The performance bonus reflects individual performance of the funds managed by the portfolio managers and the performance of RiverNorth Capital Management, LLC’s business as a whole. Mr. Galley and Mr. O’Neill also participate in a 401K program on the same basis as other officers of RiverNorth Capital Management, LLC. As equity owners of RiverNorth Capital Management, LLC, Mr. Galley and Mr. O’Neill also participate in the profits of the firm.
(a) | (4) The following is listing of the dollar range of shares beneficially owned by each Portfolio Management Team Member as of the end of the period covered by this report: |
Name of Portfolio Management Team Member: | Dollar Range of Shares Beneficially Owned by Portfolio Management Team Member: |
Michael Peck | $0 - $10,000 |
Brian Murphy | $50,000 - $100,000 |
Daniel Lancz | None |
Angie Long | None |
Christopher Long | None |
Taylor Moore | None |
Patrick Galley | None |
Stephen O’Neill | None |
(b) | Not applicable. |
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
(a) | Not applicable. |
(b) | Not applicable. |
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17CFR 229.407), or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) | The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. |
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
(a) | Not applicable. |
(b) | Not applicable. |
ITEM 13. EXHIBITS.
(a) | (1) Code of ethics or any amendments thereto, that is subject to disclosure required by item 2 is attached hereto. |
(a) | (2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a) | (3) Not applicable. |
(a) | (4) Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Alternative Opportunities Fund |
By (Signature and Title)* | /s/ Michael Peck | |
Michael Peck, President | ||
(Principal Executive Officer) |
Date: | June 7, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Michael Peck | |
Michael Peck, President | ||
(Principal Executive Officer) |
Date: | June 7, 2024 |
By (Signature and Title)* | /s/ Chad Eisenberg | |
Chad Eisenberg, Treasurer | ||
(Principal Financial Officer) |
Date: | June 7, 2024 |
* Print the name and title of each signing officer under his or her signature.