AIP Multi-Strategy Fund A

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-22192

 

 

AIP Multi-Strategy Fund A

(Exact Name of Registrant as specified in Charter)

 

 

100 Front Street, Suite 400

West Conshohocken, Pennsylvania 19428-2881

(Address of principal executive offices)

 

 

Joseph Benedetti, Esq.

Morgan Stanley Investment Management Inc.

522 Fifth Avenue

New York, NY 10036

(Name and address of agent for service)

 

 

Registrant’s Telephone Number, including Area Code: (212) 296-6970

Date of fiscal year end: December 31

Date of reporting period: March 31, 2015

 

 

 


Item 1. Schedule of Investments.

The Registrant’s schedule of investments as of the close of the reporting period prepared pursuant to Rule 12-12 of Regulation S-X is as follows:


ALTERNATIVE INVESTMENT PARTNERS   Morgan Stanley
     

AIP Multi-Strategy Fund A

Schedule of Investments (Unaudited)

March 31, 2015

 

Description    First
Acquisition
Date
     Cost      Fair
Value
     Percent
of Net
Assets
 

Investment Funds

           

Commodity Trading Advisors - Managed Futures

           

Two Sigma Absolute Return Macro Cayman Fund, Ltd.

     7/1/2014       $         2,000,000       $         2,130,578         3.16
     

 

 

 

Total Commodity Trading Advisors - Managed Futures

        2,000,000         2,130,578         3.16   
     

 

 

 

Distressed

           

Monarch Debt Recovery Fund Ltd

     3/1/2011         450,000         487,453         0.72   

York Credit Opportunities Unit Trust

     5/1/2010         1,900,000         2,522,606         3.75   
     

 

 

 

Total Distressed

        2,350,000         3,010,059         4.47   
     

 

 

 

Equity Long/Short - High Hedge

           

Citadel Tactical Trading Ltd.

     7/1/2010         585,060         1,398,562         2.08   

Millennium International, Ltd.

     5/1/2010         2,225,534         3,330,401         4.94   

Visium Balanced Offshore Fund, Ltd.

     3/1/2011         1,100,000         1,626,709         2.42   
     

 

 

 

Total Equity Long/Short - High Hedge

        3,910,594         6,355,672         9.44   
     

 

 

 

Equity Long/Short - Opportunistic

           

Anchor Bolt Offshore Fund, Ltd.

     1/1/2014         2,500,000         3,073,509         4.56   

Broadway Gate Offshore Fund, Ltd.

     5/1/2010         1,775,000         2,380,119         3.53   

Destrier Capital Partners, Ltd.

     9/1/2013         2,400,000         2,322,609         3.45   

Doonbeg Fund, Ltd.

     6/1/2013         2,300,000         2,483,117         3.69   

Quentec Fund, Ltd.

     11/1/2012         1,550,000         2,232,838         3.32   
     

 

 

 

Total Equity Long/Short - Opportunistic

        10,525,000         12,492,192         18.55   
     

 

 

 

 

1


ALTERNATIVE INVESTMENT PARTNERS   Morgan Stanley
     

AIP Multi-Strategy Fund A

Schedule of Investments (Unaudited) (continued)

March 31, 2015

 

Description    First
Acquisition
Date
     Cost      Fair
Value
     Percent
of Net
Assets
 

Investment Funds (continued)

           

Event Driven Equity

           

Ionic Event Driven Fund Ltd.

     8/1/2013       $         2,550,000       $         2,683,868         3.98

LionEye Offshore Fund Ltd.

     10/1/2014         1,250,000         1,370,851         2.04   

Sachem Head Offshore Ltd.

     11/1/2014         2,250,000         2,516,561         3.74   
     

 

 

 

Total Event Driven Equity

        6,050,000         6,571,280         9.76   
     

 

 

 

Macro

           

Autonomy Global Macro Fund Limited

     11/1/2014         1,900,000         1,745,051         2.59   

Brevan Howard Fund Limited

     6/1/2010         652,648         676,318         1.00   

D.E. Shaw Oculus International Fund

     5/1/2010         1,550,000         2,473,439         3.67   

Discovery Global Opportunity Fund, Ltd.

     5/1/2010         1,250,000         1,761,056         2.62   

Fortress Asia Macro Fund Ltd

     8/1/2011         2,200,000         2,794,207         4.15   

Stone Milliner Macro Fund Inc.

     12/1/2013         2,550,000         3,065,560         4.55   

Trient Global Macro Fund

     10/1/2013         2,000,000         1,846,197         2.74   
     

 

 

 

Total Macro

        12,102,648         14,361,828         21.32   
     

 

 

 

Merger/Risk Arbitrage

           

Magnetar Global Event Driven Fund Ltd

     7/1/2011         2,625,000         2,984,238         4.43   
     

 

 

 

Total Merger/Risk Arbitrage

        2,625,000         2,984,238         4.43   
     

 

 

 

Mortgage Arbitrage

           

Cerberus Global Residential Mortgage Opportunity Feeder Fund, Ltd. (formerly Cerberus RMBS Opportunities Feeder Fund, Ltd.)

     1/1/2012         1,999,622         2,785,644         4.13   

Midway Market Neutral International Fund, Ltd.

     4/1/2013         2,099,285         2,429,044         3.61   

Tilden Park Offshore Investment Fund Ltd.

     3/1/2012         2,100,000         3,420,207         5.08   
     

 

 

 

Total Mortgage Arbitrage

        6,198,907         8,634,895         12.82   
     

 

 

 

 

2


ALTERNATIVE INVESTMENT PARTNERS   Morgan Stanley
     

AIP Multi-Strategy Fund A

Schedule of Investments (Unaudited) (continued)

March 31, 2015

 

Description    First
Acquisition
Date
     Cost      Fair
Value
     Percent
of Net
Assets
 

Investment Funds (continued)

           

Multi-Strategy

           

Citadel Kensington Global Strategies Fund Ltd.

     11/1/2011       $         2,300,000       $         3,899,708         5.79

Farallon Capital Offshore Investors, Inc.

     5/1/2010         2,200,000         2,655,646         3.94   

HBK Multi-Strategy Offshore Fund Ltd.

     5/1/2010         2,000,000         2,565,032         3.81   

QVT Offshore Ltd.

     1/1/2014         2,400,000         2,461,709         3.65   
     

 

 

 

Total Multi-Strategy

        8,900,000         11,582,095         17.19   
     

 

 

 

Statistical Arbitrage

           

GSA International Fund Limited

     2/1/2011         1,113,539         1,684,608         2.50   

OxAM Quant Fund (International) Limited

     3/1/2015         1,599,998         1,672,160         2.48   

Two Sigma Eclipse Cayman Fund, Ltd.

     4/1/2011         643,446         1,005,612         1.49   

Two Sigma Spectrum Cayman Fund, Ltd.

     5/1/2010         1,752,858         2,544,998         3.78   
     

 

 

 

Total Statistical Arbitrage

        5,109,841         6,907,378         10.25   
     

 

 

 

Total Investments in Investment Funds

      $ 59,771,990         75,030,215         111.39   
     

 

 

       

Liabilities in excess of Other Assets

           (7,674,513      (11.39
        

 

 

 

Total Net Assets

         $ 67,355,702         100.00
        

 

 

 

 

3


ALTERNATIVE INVESTMENT PARTNERS   Morgan Stanley
     

AIP Multi-Strategy Fund A

Schedule of Investments (Unaudited) (continued)

March 31, 2015

 

Strategy Allocation    Percent
of Net
Assets
 

Macro

     21.32

Equity Long/Short - Opportunistic

     18.55   

Multi-Strategy

     17.19   

Mortgage Arbitrage

     12.82   

Statistical Arbitrage

     10.25   

Event Driven Equity

     9.76   

Equity Long/Short - High Hedge

     9.44   

Distressed

     4.47   

Merger/Risk Arbitrage

     4.43   

Commodity Trading Advisors - Managed Futures

     3.16   
  

 

 

 

Total Investments in Investment Funds

     111.39
  

 

 

 

 

4


Notes to Schedule of Investments

Portfolio Valuation

The Board of Trustees (the “Board”) of AIP Multi-Strategy Fund A (the “Fund”) has approved procedures pursuant to which the Fund values its investments in Investment Funds at fair value, which ordinarily will be the amount equal to the Fund’s pro rata interest in the net assets of each such Investment Fund, as such value is supplied by, or on behalf of, the Investment Fund’s investment manager from time to time, usually monthly. Values received from, or on behalf of, the Investment Funds’ respective investment managers are typically estimates only, subject to subsequent revision by such investment managers. Such values are generally net of management fees and performance incentive fees or allocations payable to the Investment Funds’ managers or general partners pursuant to the Investment Funds’ operating agreements. The Investment Funds value their underlying investments in accordance with policies established by each Investment Fund, as described in each of their financial statements or offering memoranda. The Fund’s investments in Investment Funds are subject to the terms and conditions of the respective operating agreements and offering memoranda, as appropriate.

The Fund’s investment adviser (the “Adviser”) has designed ongoing due diligence processes with respect to Investment Funds and their investment managers, which assist the Adviser in assessing the quality of information provided by, or on behalf of, each Investment Fund and in determining whether such information continues to be reliable or whether further investigation is necessary. Such investigation, as applicable, may or may not require the Adviser to forego its normal reliance on the value supplied by, or on behalf of, such Investment Fund and to determine independently the fair value of the Fund’s interest in such Investment Fund, consistent with the Fund’s fair valuation procedures.

Where no value is readily available from an Investment Fund or where a value supplied by an Investment Fund is deemed by the Adviser not to be indicative of its fair value, the Adviser will determine the fair value of the Investment Fund. In order to determine the fair value of these Investment Funds, the Adviser has established the Fund of Hedge Funds Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for determining and implementing the Fund’s valuation policies and procedures, which have been adopted by the Board, and are subject to Board supervision. The Valuation Committee consists of voting members from Morgan Stanley’s accounting, financial reporting and risk management groups, and non-voting members from portfolio management, legal and compliance groups. A member of the portfolio management team may attend each Valuation Committee meeting to provide knowledge, insight, and recommendations on valuation issues. The portfolio management team will recommend to the Valuation Committee a fair value for an investment using valuation techniques such as a market approach or income approach. In applying these valuation techniques, the portfolio management team uses their knowledge of the Investment Fund, industry expertise, information obtained through communication with the Investment Fund’s investment manager, and available relevant information as it considers material. After consideration of the portfolio management team’s recommendation, the Valuation Committee will determine, in good faith, the fair value of the Investment Fund. The Valuation Committee shall meet at least annually to analyze changes in fair value measurements. Because of the inherent uncertainty of valuation, the fair values of the Fund’s investments may differ significantly from the values that would have been used had a ready market for these Investment Funds held by the Fund been available.

 

5


Fair Value of Financial Instruments

The fair value of the Fund’s assets and liabilities that qualify as financial instruments approximates the carrying amounts presented in the Schedule of Investments. Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in a timely transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. The Fund uses a three-tier hierarchy to distinguish between (a) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (b) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the fair value of the Fund’s investments. The inputs are summarized in the three broad levels listed below:

 

   

Level 1 – quoted prices in active markets for identical investments

 

   

Level 2 – other significant observable inputs (including quoted prices for similar investments), fair value of investments for which the Fund has the ability to fully redeem tranches at net asset value as of the measurement date or within the near term or short-term investments that are valued at amortized cost

 

   

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) or fair value of investments for which the Fund does not have the ability to fully redeem tranches at net asset value as of the measurement date or within the near term

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

The units of account that are valued by the Fund are its interests in the Investment Funds or other financial instruments and not the underlying holdings of such Investment Funds or other financial instruments. Thus, the inputs used by the Fund to value its investments in each of the Investment Funds or other financial instruments may differ from the inputs used to value the underlying holdings of such Investment Funds or other financial instruments.

The Fund’s policy is to recognize transfers between Levels 1, 2, or 3 and transfers due to strategy reclassification, if any, as if they occurred as of the beginning of the reporting period. For the period from January 1, 2015 to March 31, 2015, the Fund did not have any transfers between Levels 1 and 2.

 

6


The following is a summary of the inputs used for investment tranches as of March 31, 2015 in valuing the Fund’s investments carried at fair value:

 

      Level 1      Level 2      Level 3      Total  

Investment Funds

           

Commodity Trading Advisors - Managed Futures

   $  —         $ 2,130,578       $ —         $ 2,130,578   

Distressed

     —           2,694,644         315,415         3,010,059   

Equity Long/Short - High Hedge

     —           3,025,271         3,330,401         6,355,672   

Equity Long/Short - Opportunistic

     —           9,649,249         2,842,943         12,492,192   

Event Driven Equity

     —           3,479,128         3,092,152         6,571,280   

Macro

     —           12,616,777         1,745,051         14,361,828   

Merger/Risk Arbitrage

     —           —           2,984,238         2,984,238   

Mortgage Arbitrage

     —           2,429,044         6,205,851         8,634,895   

Multi-Strategy

     —           2,953,342         8,628,753         11,582,095   

Statistical Arbitrage

     —           5,235,218         1,672,160         6,907,378   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investment Funds

   $ —         $ 44,213,251       $ 30,816,964       $ 75,030,215   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

7


The following is a reconciliation of Level 3 investment tranches for the period from January 1, 2015 through March 31, 2015:

 

Investment Funds    Balance as of
December 31,
2014
     Transfers
into
Level 3*
     Transfers
out of
Level 3*
     Purchases      Sales      Net realized
gain (loss)
     Net change
in
unrealized
appreciation/
depreciation
     Balance as of
March 31,
2015
 

Distressed

   $ 2,659,187       $ 310,033       $ (2,659,187    $ —         $ —         $ —         $ 5,382       $ 315,415   

Equity Long/Short - High Hedge

     3,146,849         —           —           —           —           —           183,552         3,330,401   

Equity Long/Short - Opportunistic

     2,454,629         —           —           500,000         —           —           (111,686      2,842,943   

Event Driven Equity

     1,898,370         —           —           950,000         —           —           243,782         3,092,152   

Macro

     1,771,204         —           —           —           —           —           (26,153      1,745,051   

Merger/Risk Arbitrage

     2,971,019         —           —           —           —           —           13,219         2,984,238   

Mortgage Arbitrage

     6,186,642         —           —           —           —           —           19,209         6,205,851   

Multi-Strategy

     8,389,687         —           —           —           —           —           239,066         8,628,753   

Statistcal Arbitrage

     —           —           —           1,600,000         —           —           72,160         1,672,160   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Investment Funds

   $ 29,477,587       $ 310,033       $ (2,659,187    $ 3,050,000       $ —         $ —         $ 638,531       $ 30,816,964   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

     Net change in unrealized appreciation/
depreciation on Level 3  investment tranches
still held as of March 31, 2015
 

Investment Funds

  

Distressed

   $ 5,382   

Equity Long/Short - High Hedge

     183,552   

Equity Long/Short - Opportunistic

     (111,686

Event Driven Equity

     243,782   

Macro

     (26,153

Merger/Risk Arbitrage

     13,219   

Mortgage Arbitrage

     19,209   

Multi-Strategy

     239,066   

Statistical Arbitrage

     72,160   
  

 

 

 

Total Investment Funds

   $ 638,531   
  

 

 

 

 

* Transfers into Level 3 of $310,033 and out of Level 3 of $2,659,187 are due to changes in the Fund’s ability to fully redeem investment tranches, based on changes to the available redemption date for each applicable investment tranche.

 

8


Item 2. Controls and Procedures

 

(a) The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in the form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

 

(b) There were no changes or corrective actions during the Registrant’s first fiscal quarter with regard to significant deficiencies or material weaknesses in the Registrant’s internal controls over financial reporting or in other factors that could materially affect the Registrant’s internal controls over financial reporting.

 

Item 3. Exhibits

 

(a) Certifications of Principal Executive Officer and Principal Financial Officer attached to the report as part of EX-99. CERT.


SIGNATURES

Pursuant to the requirement 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) AIP Multi-Strategy Fund A

 

By:

 

/s/ John H. Gernon

Name:

 

John H. Gernon

Title:

 

Principal Executive Officer

Date:

 

May 28, 2015

Pursuant to the requirement of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:

 

/s/ John H. Gernon

Name:

 

John H. Gernon

Title:

 

Principal Executive Officer

Date:

 

May 28, 2015

 

By:

 

/s/ Noel Langlois

Name:

 

Noel Langlois

Title:

 

Principal Financial Officer

Date:

 

May 28, 2015