SEC Info℠

Home

Search

My Interests

Help

Sign In

Please Sign In

AOG Institutional Diversified Fund – ‘N-CSR’ for 9/30/22

On:  Thursday, 12/8/22, at 5:01pm ET   ·   Effective:  12/8/22   ·   For:  9/30/22   ·   Accession #:  1580642-22-6158   ·   File #:  811-23764

Previous ‘N-CSR’:  None   ·   Next & Latest:  ‘N-CSR’ on 12/8/23 for 9/30/23   ·   7 References:   By:  AOG Institutional Fund – ‘486APOS’ on 4/19/24 By:  AOG Institutional Fund – ‘486BPOS’ on 1/29/24 By:  AOG Institutional Fund – ‘486BPOS’ on 8/25/23 By:  AOG Institutional Fund – ‘486APOS’ on 6/15/23 By:  AOG Institutional Fund – ‘424B3’ on 1/20/23 By:  AOG Institutional Diversified Tender Fund – ‘N-2/A’ on 1/11/23 By:  AOG Institutional Fund – ‘N-2/A’ on 1/11/23 

in

this entire Filing. an “Entity” Search.

Show

Documents searched

and

each “hit”. the 1st “hit”.

↓↑Hints

 Text Wildcards:  ? (any letter/digit),  * (many).  Search Logic:  for Documents:  & (and),  | (or);  for Text:  | (anywhere),  "(&)" (near).  Details... 

  As Of               Filer                 Filing    For·On·As Docs:Size             Issuer                      Filing Agent

12/08/22  AOG Inst’l Diversified Fund       N-CSR       9/30/22    6:951K                                   Blu Giant, LLC/FA

Document/Exhibit                   Description                      Pages   Size 

 1: N-CSR       Annual Certified Shareholder Report by an           HTML    789K 
                Investment Company                                               
 4: EX-13       Annual or Quarterly Report to Security Holders --   HTML     12K 
                ex13a4                                                           
 5: EX-13       Annual or Quarterly Report to Security Holders --   HTML     26K 
                ex13a5                                                           
 3: EX-99.906 CERT  Certification -- §906 - SOA'02                  HTML      7K 
 2: EX-99.CERT  Certification -- §302 - SOA'02                      HTML     13K 
 6: EX-99.CODE ETH  Code of Ethics                                  HTML     12K 

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 811-23764

AOG Institutional Diversified Fund

(Exact name of registrant as specified in charter)

11911 Freedom Drive, Suite 730, Reston, VA 20190

(Address of principal executive offices) (Zip code)

Michelle Whitlock

11911 Freedom Drive, Suite 730, Reston, VA 20190

(Name and address of agent for service)

Registrant's telephone number, including area code: 703-757-8020

Date of fiscal year end: 9/30

Date of reporting period: 9/30/22

ITEM 1. REPORTS TO SHAREHOLDERS.

(a)       Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1).

AOG Institutional Diversified Fund

Annual Report

September 30, 2022

This Page Intentionally Left Blank

The AOG Institutional Diversified Fund (AOGFX) (the “Fund”) was created to equip investors and advisors with a tool to parallel the investment philosophy employed by most large university endowment funds, pension funds, sovereign wealth funds and institutional investors. The Fund’s objective is to provide attractive risk adjusted returns with a focus on both income and growth. By allocating to Private Real Estate, Private Equity and Private Debt investments, we believe the Fund is providing a complement to the standard 60% Stock and 40% Bond (60/40) Portfolio.

The Fund opened to investors in January of 2022 and began investing assets in February of 2022. Through that initial ramp up phase we missed capturing some of the more robust returns experienced by both Real Estate and Private Equity during the first quarter of 2022. Therefore, while the Year to Date (YTD) returns of the Fund compare favorably to the returns of a typical 60/40 portfolio, it does not fully reflect the performance of the various asset classes on a year-to-date basis. Through September 2022 the Fund has returned 2.33% while a 60% S&P 500 Index/40% Bloomberg Aggregate Bond Index portfolio has returned (-20.7%).

In April, some short-term allocations were made to liquid equity ETFs. This ensured that capital was appropriately invested to try and take advantage of the first quarter stock market correction. The Fund’s holdings in equity ETFs have been sold and the capital redeployed into the three main asset classes which are the focus of the Fund. For the foreseeable future, we anticipate that the Fund’s target allocation will be 50% Real Estate, 25% Private Equity and 25% Private Debt.

The Real Estate and Private Equity elements of the portfolio both started the year with very strong performance, but that began to taper off as rising interest rates began to place downward pressure on valuations. The Real Estate category contributed favorably to the YTD returns by adding approximately 4% to the overall return. Private Equity, Private Debt and Public Equity detracted from the annual return by (-0.75%), (-0.65%) and (-0.50%) respectively. While we believe that interest rate increases will eventually lead to higher dividend payments in the Private Credit Sector, the fear of a recession and potential credit impairment caused downward pressure on short term pricing of the loans in these portfolios. Historically, while both Private Credit and Private Equity mark down during recessions and market corrections, high demand Real Estate tends to have more resiliency and less volatility than the overall market.

Additionally, we believe that Private Equity serves as a robust portfolio diversifier since fund managers can call and deploy capital at opportune times (especially in down cycles) to secure assets at accretive valuations. As of the end of the 3^rd Quarter of 2022 the Fund has one investment subject to capital calls. We expect more of these investments will be added in the future.

The investment objective of the Fund is to see to provide total return. We believe that including these assets in a portfolio accessible to Accredited Investors levels the “playing field” with not only Qualified Purchasers, but also Institutional Investors who have long enjoyed access to these funds. We further believe that utilizing the 1940 Act structure democratizes this investment strategy in a tax efficient way (1099 reporting vs K1), eases administration (one subscription document vs 24 or more prospectuses and applications) and pools capital in the Fund to access funds that might require $5M to $25M minimum single investments that would be unreachable for most investors. We also believe that creating and advising this Fund through a Retail Registered Investment Advisor allows for broad diversification to many investment platforms in a way that would be difficult for a major distributor to duplicate.

James Ortlip

Chief Investment Officer

The Fund’s performance figures* for the period ended September 30, 2022, compared to its benchmark:

Comparison of the Change in Value of a $10,000 Investment

See accompanying notes to financial statements.

See accompanying notes to financial statements.

See accompanying notes to financial statements.

See accompanying notes to financial statements.

The table below sets forth financial data for one share of beneficial interest outstanding throughout the period.

See accompanying notes to financial statements.

The AOG Institutional Diversified Fund (the “Auction Fund”) is a Delaware statutory trust registered under the 1940 Act as a diversified, closed-end management investment company. The Auction Fund commenced operations on December 31, 2021.

The Auction Fund and the AOG Institutional Diversified Tender Fund (the “Tender Offer Fund”) together are “Feeder Funds”. As of September 30, 2022, the Tender Offer Fund has not commenced operations.

In pursuing its investment objective, each Feeder Fund invests substantially all of its assets in the AOG Institutional Diversified Master Fund (the “Master Fund” and together with the Feeder Funds, the “Funds” and each, a “Fund”), a Delaware statutory trust registered under the 1940 Act as a diversified, closed-end management investment company. Each Feeder Fund’s portfolio typically will consist solely of the Master Fund’s shares (together with the Feeder Fund Shares, “Shares”). Therefore, each Feeder Fund’s investment results will correspond directly to the investment results of the Master Fund. This form of investment structure is commonly known as a “master feeder” structure. The Master Fund has the same investment objective and identical investment policies as those of the Feeder Funds. The investment objective of each Fund is non-fundamental and, therefore, may be changed without the approval of the shareholders of any Fund (together “Shareholders”). For the convenience of the reader, references to each Feeder Fund’s investments also refer to the Master Fund’s investments and references to the risks of investing in the Master Fund also refer to the risks of investing in each Feeder Fund, except as otherwise provided. The financial statements of the Master Fund, including the Schedule of Investments, are attached to this report and should be read in conjunction with the Auction Fund’s financial statements.

As of September 30, 2022, the Auction Fund has a 100% ownership interest in the Master Fund.

The following is a summary of significant accounting policies followed by the Auction Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The Auction Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies” including FASB Accounting Standard Update (“ASU”) 2013-08.

Net Asset Value Determination – The Auction Fund calculates its Net Asset Value (“NAV”) as of the close of business on the last business day of each calendar month, each date that Shares are offered or repurchased, as of the date of any distribution and at such other times as the Board of Trustees (the “Board”) shall determine (each, a “Determination Date”). In determining its NAV, the Auction Fund values its investments as of the relevant Determination Date. The NAV of each Fund equals the value of the total assets of the Fund, less all of its liabilities, including accrued fees and expenses, each determined as of the relevant Determination Date.

Investment in the Master Fund – The Auction Fund’s investment in the Master Fund is valued at an amount equal to the net asset value of the investment without discount or premium, which approximates fair value. Income, expense and net realized gain (losses) of the Master Fund, are allocated each month to the Auction Fund based on its pro -rata ownership of the Master Fund. The more relevant disclosure regarding fair value measurements impacting the Auction Fund is related to the Master Fund’s investment portfolio. Such disclosure can be found in the Notes to the Master Fund’s attached financial statements.

Valuation of Investments – Because each Feeder Fund invests all or substantially all of its assets in the Master Fund, the value of the assets of each Feeder Fund depends on the value of its pro rata interest in the Master Fund investments. The Adviser oversees the valuation of each Fund’s investments on behalf of each Fund. The Board has approved valuation procedures for each Fund, which are in substance identical (the “Valuation Procedures”).

The Valuation Procedures provide that the Master Fund will value its investments in funds, including privately offered pooled investment vehicles, such as hedge funds, which are issued in private placements to investors that meet certain suitability standards (“Private Markets Investment Funds”) and direct private equity investments at fair value. The fair value of such investments as of each Determination Date ordinarily will be the capital account value of the Master Fund’s interest in such investments as provided by the relevant Private Markets Investment Fund manager as of or prior to the relevant Determination Date; provided that such values will be adjusted for any other relevant information available at the time the Master Fund values its portfolio, including capital activity and material events occurring between the reference dates of the Private Markets Investment Fund manager’s valuations and the relevant Determination Date.

A meaningful input in each Fund’s Valuation Procedures will be the valuations provided by the Private Markets Investment Fund managers. Specifically, the value of the Master Fund’s investment in Private Markets Investment Funds generally will be valued using the “practical expedient,” in accordance with Accounting Standards Codification (ASC) Topic 820, based on the valuation provided to the Adviser by the Private Markets Investment Fund in accordance with the Private Markets Investment Fund’s own valuation policies. Generally, Private Markets Investment Fund managers value investments of their Private Markets Investment Funds at their market price if market quotations are readily available. In the absence of observable market prices, Private Markets Investment Fund managers value investments using valuation methodologies applied on a consistent basis. For some investments little market activity may exist. The determination of fair value by Private Markets Investment Fund managers is then based on the best information available in the circumstances and may incorporate management’s own assumptions and involves a significant degree of judgment, taking into consideration a combination of internal and external factors, including the appropriate risk adjustments for nonperformance and liquidity risks. Investments for which market prices are not observable include private investments in the equity of operating companies, real estate properties or certain debt positions.

Market quotations will not be readily available for most of the Master Fund’s investments. To the extent the Funds hold securities or other instruments that are not investments in Private Markets Investment Funds or direct private equity investments, the Funds will generally value such assets as described below.

Equity Securities - Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ), including securities traded over the counter, are valued at the last quoted sale price on an exchange or market (foreign or domestic) on which they are traded on the valuation date (or at approximately 4:00 p.m. Eastern Time if such exchange is normally open at that time), or, if there is no such reported sale on the valuation date, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. If such prices are not available or determined to not represent the fair value of the security as of a Fund’s pricing time, the security will be valued at fair value as determined in good faith using methods approved by the Board.

Money Market Securities and other Debt Securities - If available, money market securities and other debt securities are priced based upon valuations provided by recognized independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Such methodologies generally consider such factors as security prices, yields, maturities, call features, ratings and developments relating to specific securities in arriving at valuations. Money market securities and other debt securities with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. If such prices are not available or determined to not represent the fair value of the security as of a Fund’s or the Master Fund’s pricing time, the security will be valued at fair value as determined in good faith using methods approved by the Board.

Valuation of Fund of Funds - The Master Fund may invest in portfolios of open-end or closed-end investment companies (the “Underlying Funds”). The Underlying Funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value to the methods established by the board of directors of the Underlying Funds.

Open-end investment companies are valued at their respective net asset values as reported by such investment companies. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per share, which is different than the net asset value per share. The difference represents a market premium or market discount of such shares. There can be no assurance that the market discount or market premium on shares of any closed-end investment company purchased by the Master Fund will not change.

Exchange-Traded Funds - The Master Fund may invest in exchange-traded funds (“ETFs”). ETFs are a type of fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities. The Master Fund may purchase an ETF to gain exposure to a portion of the U.S. or a foreign market. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although a potential lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.

Fair Value Procedures - Securities for which market prices are not “readily available” or which cannot be valued using the methodologies described above are valued in accordance with Fair Value Procedures established by the Board and implemented through the Fair Value Pricing Committee established by the Board. The members of the Fair Value Pricing Committee report, as necessary, to the Board regarding portfolio valuation determinations. The Board, from time to time, will review these methods of valuation and will recommend changes which may be necessary to assure that the investments of a Fund are valued at fair value.

Some of the more common reasons that may necessitate a security being valued using Fair Value Procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; the security has not been traded for an extended period of time; the security’s primary pricing source is not able or willing to provide a price; trading of the security is subject to local government-imposed restrictions; or a significant event with respect to a security has occurred after the close of the market or exchange on which the security principally trades and before the time the Funds calculate net asset value. When a security is valued in accordance with the Fair Value Procedures, the Fair Value Pricing Committee will determine the value after taking into consideration relevant information reasonably available to the Fair Value Pricing Committee.

The Auction Fund utilizes various methods to measure the fair value of all of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Fund has the ability to access.

Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument in an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following table summarizes the inputs used as of September 30, 2022 for the Auction Fund’s assets measured at fair value:

There were no transfers into or out of Levels 2 or 3 during the period.

Security Transactions and Investment Income – Investment security transactions are accounted for on a trade date basis. Realized gains and losses from sales of securities are based upon the specific identification method for both financial statement and federal income tax purposes. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis.

Expenses – Each Feeder Fund, and therefore, Shareholders, bears all expenses incurred in the business of such Feeder Fund, and, through its investment in the Master Fund, a pro-rata portion of the operating expenses of the Master Fund, including any charges, allocations and fees to which the Master Fund is subject as an investor in the private markets investment funds. Each Feeder Fund bears certain ongoing offering costs associated with the Fund’s continuous offering of Shares.

Offering Costs – Offering costs will be amortized on a straight line basis over the first twelve months of the Master Fund’s operations. Offering costs consist primarily of legal fees in connection with the preparation of the initial registration statement and related filings. As of September 30, 2022, the total offering costs amounted to $51,297.

Federal Income Taxes – Each Fund intends to continue to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended, and, if so qualified, will not be liable for federal income taxes to the extent all earnings are distributed to shareholders on a timely basis. Therefore, no federal income tax provision has been recorded.

The Funds recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed each Fund’s tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions expected to be taken on returns filed for the year ended September 30, 2022. The Fund identifies its major tax jurisdictions as U.S. federal and foreign jurisdictions where the Fund makes significant investments; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.

Distributions to Shareholders – Distributions from investment income, if any, are declared and paid quarterly and are recorded on the ex -dividend date. Distributions from net realized capital gains, if any, are declared and paid at least annually and are recorded on the ex-dividend date. The character of income and gains to be distributed is determined in accordance with income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary (i.e., deferred losses, capital loss carry forwards) or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment. Temporary differences do not require reclassification. These reclassifications have no effect on net assets, results from operations or net asset value per share of the Funds.

Indemnification – In the normal course of business the Auction Fund enters into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. Additionally, under the Auction Fund’s organizational documents, the officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Auction Fund. The Auction Fund’s maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, the Adviser is of the view that risk of loss to the Auction Fund in connection with the Auction Fund’s indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Auction Fund.

AOG Wealth Management serves as the Funds’ investment adviser (the “Adviser”). In consideration of the services provided by the Adviser to the Funds, the Master Fund pays the Adviser a fee (the “Management Fee”), accrued daily and payable monthly, at the annual rate of 0.50% of the Master Fund’s average daily Net Assets. “Managed Assets” means the total assets of the Master Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of the Feeder Fund’s accrued liabilities (other than money borrowed for investment purposes), and calculated before giving effect to any repurchase of shares on such date. Through its investment in the Master Fund, each Feeder Fund bears a proportionate share of the investment management fee paid by the Master Fund to the Adviser in consideration of the advisory and other services provided by the Adviser to the Master Fund. The Management Fee is paid to the Adviser out of the Master Fund’s assets and, therefore, decreases the net profits or increases the net losses of each Feeder Fund. Through its investment in the Master Fund, each Feeder Fund bears a proportionate share of the investment management fee paid by the Master Fund to the Adviser in consideration of the advisory and other services provided by the Adviser to the Master Fund.

The Adviser voluntarily agreed to reimburse the Auction Fund for all expenses accrued for the month ended January 31, 2022. Such reimbursement amounted to $8,425.

Only Shares of the Auction Fund are available for purchase by prospective investors. During the first 12-18 months of the Auction Fund’s operations, investors (i) will be able to purchase Auction Fund Shares monthly directly from the Auction Fund at their net asset value (“NAV”) calculated as of the last business day of each month, and (ii) will not be able to sell or redeem their Auction Fund Shares.

Beginning approximately 12-18 months following the date the Auction Fund commences operations, the Auction Fund may accept initial and additional purchases of Shares through an auction conducted via The Nasdaq Private Market, LLC and its registered broker dealer and alternative trading system subsidiary, NPM Securities, LLC (the “Nasdaq Private Market”). As of September 30, 2022, the Auction Fund has not accepted purchases of Shares through the Nasdaq Private Market.

The identified cost of investments in securities owned by the Auction Fund for federal income tax purposes, and its respective gross unrealized appreciation and depreciation as of September 30, 2022, were as follows:

As of September 30, 2022, the components of accumulated earnings/(deficit) on a tax basis were as follows:

The difference between book basis and tax basis accumulated ordinary income/(loss), accumulated net realized losses and other book/tax differences are primarily attributable to the tax adjustments related to the Fund’s Investment in the AOG Institutional Diversified Master Fund.

Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Fund incurred and elected to defer such late year losses of $36,826.

Permanent book and tax differences, primarily attributable to the book/tax basis treatment of non-deductible expenses, resulted in reclassifications for the Fund for the fiscal period ended September 30, 2022 as follows:

Investment in a Fund is speculative and involves substantial risks, including the risk of loss of a Shareholder’s entire investment. No guarantee or representation is made that a Fund will achieve its investment objective, and investment results may vary substantially from year to year. Additional risks of investing in a Fund are set forth below.

Certain risk factors below discuss the risks of investing in Private Markets Investment Funds. The Fund will be exposed to such risks indirectly through its investment in the Master Fund.

Equity Securities Risk - When the Fund invests in equity securities, the Fund’s investments in those securities are subject to price fluctuations based on a number of reasons of issuer -specific and broader economic or international considerations. They may also decline due to factors which affect a particular industry or industries. In addition, equity securities prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. The prices of common equity securities are also sensitive to the market risks described above. Common equity securities in which the Fund may invest are structurally subordinated to other instruments in a company’s capital structure in terms of priority to corporate income and are therefore inherently riskier than preferred stock or debt instruments of such issuers. In addition, dividends on common equity securities which the Fund may hold are not fixed and there is no guarantee that the issuers of the common equity securities in which the Fund invests will declare dividends in the future or that, if declared, they will remain at current levels or increase over time.

Real Estate Securities Risks - The Fund may invest in publicly-traded and non-traded real estate investment trusts (“REITs”) or Private Markets Investment Funds that hold real estate as well as invest in real estate directly through entities owned or controlled directly or indirectly by the Fund, including one or more entities that qualify as a REIT for federal income tax purposes such (a “REIT Subsidiary”). As a result, its portfolio may be significantly impacted by the performance of the real estate market and may experience more volatility and be exposed to greater risk than a more diversified portfolio. The value of companies investing in real estate is affected by, among other things: (i) changes in general economic and market conditions; (ii) changes in the value of real estate properties; (iii) risks related to local economic conditions, overbuilding and increased competition; (iv) increases in property taxes and operating expenses; (v) changes in zoning laws; (vi) casualty and condemnation losses; (vii) variations in rental income, neighborhood values or the appeal of property to tenants; (viii) the availability of financing; and (ix) changes in interest rates and leverage.

REIT Risk - REIT share prices may decline because of adverse developments affecting the real estate industry and real property values. In general, real estate values can be affected by a variety of factors, including supply and demand for properties, the economic health of the country or of different regions, and the strength of specific industries that rent properties. Qualification as a REIT under the Code in any particular year is a complex analysis that depends on a number of factors. There can be no assurance that the entities in which the Fund invests with the expectation that they will be taxed as a REIT will qualify as a REIT. An entity that fails to qualify as a REIT would be subject to a corporate level tax, would not be entitled to a deduction for dividends paid to its shareholders and would not pass through to its shareholders the character of income earned by the entity.

Restricted and Illiquid Investments Risk - The Fund’s investments are also subject to liquidity risk, possibly preventing the Fund from selling such illiquid securities at an advantageous time or price, or possibly requiring the Fund to dispose of other investments at unfavorable times or prices to satisfy its obligations. The Adviser may be unable to sell restricted and other illiquid securities at the most opportune times or at prices approximating the value at which they purchased such securities.

Private Markets Investment Funds - The managers of the Private Markets Investment Funds in which the Master Fund may invest may have relatively short track records and may rely on a limited number of key personnel. The portfolio companies in which the Private Markets Investment Funds may invest also have no, or relatively short, operating histories, may face substantial competitive pressures from larger companies, and may also rely on a limited number of key personnel. The Master Fund will not necessarily have the opportunity to evaluate the information that a Private Markets Investment Fund uses in making investment decisions.

Master-Feeder Structure - The Feeder Funds and the Master Fund are part of a “master-feeder” structure. While it currently has no intention to do so, the Master Fund may accept investments from other investors, including other investment vehicles that are managed or sponsored by the Adviser, or an affiliate thereof, which may or may not be registered under the 1940 Act and which may be established in jurisdictions outside of the United States. Because each Feeder Fund may be subject to different investment minimums, feeder-specific expenses and other terms, one Feeder Fund may offer access to the Master Fund on more attractive terms, or could experience better performance, than the Feeder Funds. In addition, because each Feeder Fund incurs expenses that may not be incurred by other investors investing directly or indirectly in the Master Fund, such investors may experience better performance than investors in a Feeder Fund. If other investors in the Master Fund, including other investment vehicles that are managed or sponsored by the Adviser or an affiliate thereof, request to have their Master Fund Shares repurchased, this may reduce the amount of a Feeder Fund’s Master Fund Shares that may be repurchased by the Master Fund and, therefore, the amount of Feeder Fund Shares that may be repurchased by a Feeder Fund.

For the period ended September 30, 2022, capital share transactions were as follows:

Subsequent events after the date of the Statement of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees and the Shareholders of

AOG Institutional Diversified Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of AOG Institutional Diversified Fund (the “Fund”), as of September 30, 2022, and the related statements of operations, changes in net assets and cash flows, and the financial highlights for the period December 31, 2021 (commencement of operations) through September 30, 2022, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of September 30, 2022, and the results of its operations, the changes in its net assets, its cash flows and its financial highlights for the period December 31, 2021 through September 30, 2022, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities law and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audit we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audit included performing procedures to assess the risk of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audit provides a reasonable basis for our opinion.

BBD, LLP

We have served as the auditor of AOG Institutional Diversified Fund since 2022.

Philadelphia, Pennsylvania

November 29, 2022

As a shareholder of the Auction Fund you will incur ongoing costs, including management fees and other Fund operating expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Auction Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs.

The example is based on an investment of $1,000 invested and held for the entire period from April 1, 2022 through September 30, 2022.

Actual Expenses : The first line of the table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.

Hypothetical Examples for Comparison Purposes: The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Auction Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Auction Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Auction Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs which may be applicable to your account. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning shares in different funds. In addition, if these transactional costs were included, your costs would have been higher.

AOG Funds 15(c) Disclosure for Approval of Investment Management Agreement

Annual Report for Year Ended September 30, 2022

The Board of Trustees (each, a “Board” and collectively, the “Boards”) of each of the AOG Institutional Diversified Fund (the “Auction Fund”), the AOG Institutional Diversified Tender Fund (the “Tender Fund”) and the AOG Institutional Diversified Master Fund (the “Master Fund” and together with the Auction Fund and the Tender Fund, the “Funds” and each a “Fund”) consist of four individuals, two of whom are not “interested persons” of the Funds, as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the “Independent Trustees”). The Boards are responsible for the oversight of the Funds and their operations, and perform the various duties imposed on the directors or trustees of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of each Board is an Interested Trustee.

As required under the 1940 Act, the Boards approve the Investment Management Agreement between Alpha Omega Group, Inc. dba AOG Wealth Management (the “Adviser”) and the Funds. As is further discussed and explained below, the Boards, including all of the Independent Trustees, met on July 6, 2022 (the “Meeting”) and approved a new Investment Management Agreement between the Adviser and the Funds (the “New Management Agreement”) for an initial two-year term.

In determining whether to approve the New Management Agreement, the Board evaluated information relevant to its consideration of the New Management Agreement at the Meeting. The Board also considered its regular discussions with management regarding the viability and performance of the Funds.

As part of its discussions with the Adviser, the Board considered the new management fee of 1.49% (the “New Management Fee”) and the potential impact on existing shareholders of the Funds.

In considering the New Management Agreement, the Board reviewed and analyzed various factors with respect to the Funds that it determined were relevant, including the factors below, and made the following conclusions. In their deliberations, the Board did not identify any single factor as determinative but considered all factors together.

In addition to the specific factors considered by the Board below, the Board also considered broader factors, such as the responsibility, attention, and diligence the Adviser would need to devote to the Auction Fund once the Auction Fund’s securities were registered under the Securities Act of 1933, as amended (the “1933 Act”), the fees charged by comparable funds, and ensuring that the New Management Fee was competitive to attract portfolio management talent and expand the personnel needed to support a fund whose investor based extended beyond the Adviser’s existing clients. In addition, the Board considered the superior performance of the Auction Fund relative to its peers, the long-term strategic direction for the Auction Fund, and the administrative and operational demands of operating a fund utilizing the Auction Fund’s unique liquidity feature supplied by The Nasdaq Private Market, LLC, in its evaluation of the New Management Fee.

Nature and Quality of Services Provided to the Funds. The Board analyzed the nature, extent and quality of the services provided by the Adviser to the Funds, noting that the Adviser has served as the Funds’ investment advisor since their inception in 2021. The Board concluded that the nature and quality of the services provided by the Adviser to the Funds was appropriate and that the Funds were likely to continue to benefit from services provided under the New Management Agreement.

Scope and Costs of Services Provided. The Board examined the New Management Fee under the New Management Agreement. The Board noted that the New Management Fee under the New Management Agreement (1.49%) is higher than the Management Fee under the existing investment management agreement (the “Existing Management Agreement”) (0.50%). As part of its review at the Meeting, the Board considered the fees realized, and the costs incurred, by the Adviser in providing investment advisory services to the Funds and the profitability to the Adviser of having a relationship with the Funds, as well as the projected profitability information under the new fee structure. The Board noted the fee waivers and unreimbursed expenses for the Funds since inception. At the Meeting, the Board considered the financial information and condition of the Adviser and determined it to be sound.

Also, as part of its review at the Meeting, the Board considered the change in scope of investment management services provided by the Adviser to the Funds. The Board noted that, under the Existing Management Agreement, the Adviser agreed to provide investment management services to the Auction Fund during its private offering of shares. The Board further noted that the Auction Fund is seeking to register its shares with the SEC on Form N- 2. The Board concluded that the Auction Fund’s needs for investment management services have increased and as a Delaware statutory trust registered under the 1940 Act, the Auction Fund will need additional research, marketing, and management support that was not contemplated under the Existing Management Agreement. In particular, the Auction Fund will require additional marketing and management services from the Adviser once its shares are registered under the 1933 Act and it is selling shares to investors that are not already clients of the Adviser. This increased attention and regulatory demands will require the support and resources from Adviser personnel. As a result, the Board determined that the New Management Fee provides appropriate and relative compensation for the increased duties, responsibilities, and resources demanded of the Auction Fund conducting an offering registered under the 1933 Act. At the Meeting, the Board considered the general financial condition of the Adviser and determined it to be sound. In light of all of the information that it received and considered, the Board concluded that the New Management Fee was reasonable.

Economies of Scale and Fee Levels Reflecting Those Economies. The Board compared the proposed fees under the New Management Agreement to the comparative data provided and discussed potential economies of scale. The Board noted that the Funds’ proposed advisory fee structure under the New Management Agreement does not contain any breakpoint reductions as the Funds grow in size. However, the Board noted that the Adviser had committed to review the possibility of incorporating breakpoints in the future should assets grow significantly. The Board concluded that the proposed fee structure under the New Management Agreement was reasonable given the Funds’ current and projected asset size under the New Management Agreement.

Benefits Derived from the Relationship with the Funds. The Board noted that the Adviser currently derives ancillary benefits from its association with the Funds in the form of research products and services received from unaffiliated broker-dealers who execute portfolio trades for the Funds. The Board determined such products and services have been used for legitimate purposes relating to the Funds by providing assistance in the investment decision-making space.

Conclusion. Based on their evaluation of the above factors, as well as other factors relevant to their consideration of the New Management Agreement, the Trustees, two of whom are Independent Trustees, concluded that the approval of (i) the New Management Fee and (ii) the New Management Agreement was in the best interest of the Funds and their shareholders.

Trustees and Officers. The Trustees and officers of the Fund, together with information as to their principal business occupations during the past five years and other information, are shown below. Unless otherwise noted, the address of each Trustee and Officer is 11911 Freedom Drive, Suite 730, Reston, VA 20190.

The Fund’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and is available free of charge, upon request, by calling toll-free at 1-703-757-8020.

This Page Intentionally Left Blank

This Page Intentionally Left Blank

How to Obtain Proxy Voting Information

Information regarding how the Fund votes proxies relating to portfolio securities for the 12 month period ended June 30^th as well as a description of the policies and procedures that the Fund used to determine how to vote proxies is available without charge, upon request, by calling 1-866-618-3456 or by referring to the Securities and Exchange Commission’s (the “SEC”) website at http://www.sec.gov.

How to Obtain 1^st and 3^rd Fiscal Quarter Portfolio Holdings

The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, within sixty days after the end of the period. Form N-PORT reports are available at the SEC’s website at www.sec.gov.

AOG AR22

AOG Institutional Diversified Master Fund

Annual Report

September 30, 2022

The AOG Institutional Diversified Fund (AOGFX) (the “Fund”) was created to equip investors and advisors with a tool to parallel the investment philosophy employed by most large university endowment funds, pension funds, sovereign wealth funds and institutional investors. The Fund’s objective is to provide attractive risk adjusted returns with a focus on both income and growth. By allocating to Private Real Estate, Private Equity and Private Debt investments, we believe the Fund is providing a complement to the standard 60% Stock and 40% Bond (60/40) Portfolio.

The Fund opened to investors in January of 2022 and began investing assets in February of 2022. Through that initial ramp up phase we missed capturing some of the more robust returns experienced by both Real Estate and Private Equity during the first quarter of 2022. Therefore, while the Year to Date (YTD) returns of the Fund compare favorably to the returns of a typical 60/40 portfolio, it does not fully reflect the performance of the various asset classes on a year-to-date basis. Through September 2022 the Fund has returned 2.33% while a 60% S&P 500 Index/40% Bloomberg Aggregate Bond Index portfolio has returned (-20.7%).

In April, some short-term allocations were made to liquid equity ETFs. This ensured that capital was appropriately invested to try and take advantage of the first quarter stock market correction. The Fund’s holdings in equity ETFs have been sold and the capital redeployed into the three main asset classes which are the focus of the Fund. For the foreseeable future, we anticipate that the Fund’s target allocation will be 50% Real Estate, 25% Private Equity and 25% Private Debt.

The Real Estate and Private Equity elements of the portfolio both started the year with very strong performance, but that began to taper off as rising interest rates began to place downward pressure on valuations. The Real Estate category contributed favorably to the YTD returns by adding approximately 4% to the overall return. Private Equity, Private Debt and Public Equity detracted from the annual return by (-0.75%), (-0.65%) and (-0.50%) respectively. While we believe that interest rate increases will eventually lead to higher dividend payments in the Private Credit Sector, the fear of a recession and potential credit impairment caused downward pressure on short term pricing of the loans in these portfolios. Historically, while both Private Credit and Private Equity mark down during recessions and market corrections, high demand Real Estate tends to have more resiliency and less volatility than the overall market.

Additionally, we believe that Private Equity serves as a robust portfolio diversifier since fund managers can call and deploy capital at opportune times (especially in down cycles) to secure assets at accretive valuations. As of the end of the 3^rd Quarter of 2022 the Fund has one investment subject to capital calls. We expect more of these investments will be added in the future.

The investment objective of the Fund is to see to provide total return. We believe that including these assets in a portfolio accessible to Accredited Investors levels the “playing field” with not only Qualified Purchasers, but also Institutional Investors who have long enjoyed access to these funds. We further believe that utilizing the 1940 Act structure democratizes this investment strategy in a tax efficient way (1099 reporting vs K1), eases administration (one subscription document vs 24 or more prospectuses and applications) and pools capital in the Fund to access funds that might require $5M to $25M minimum single investments that would be unreachable for most investors. We also believe that creating and advising this Fund through a Retail Registered Investment Advisor allows for broad diversification to many investment platforms in a way that would be difficult for a major distributor to duplicate.

James Ortlip
Chief Investment Officer

The Fund’s performance figures* for the period ended September 30, 2022, compared to its benchmark:

Comparison of the Change in Value of a $10,000 Investment

Please refer to the Schedule of Investments in this annual report for a detailed listing of the Fund’s holdings.

See accompanying notes to financial statements.

See accompanying notes to financial statements.

See accompanying notes to financial statements.

See accompanying notes to financial statements.

See accompanying notes to financial statements.

See accompanying notes to financial statements.

The table below sets forth financial data for one share of beneficial interest outstanding throughout the period.

See accompanying notes to financial statements.

The AOG Institutional Diversified Master Fund is a Delaware statutory trust registered under the 1940 Act as a diversified, closed-end management investment company. The Master Fund commenced operations on December 31, 2021.

The AOG Institutional Diversified Fund (the “Auction Fund”) and the AOG Institutional Diversified Tender Fund (the “Tender Offer Fund”) together are “Feeder Funds”. As of September 30, 2022, the Tender Offer Fund has not commenced operations.

The Feeder Funds invest substantially all of their assets in the AOG Institutional Diversified Master Fund (the “Master Fund” and together with the Feeder Funds, the “Funds” and each, a “Fund”), a Delaware statutory trust registered under the 1940 Act as a diversified, closed-end management investment company. Each Feeder Fund’s portfolio typically will consist solely of the Master Fund’s shares (together with the Feeder Fund Shares, “Shares”). Therefore, each Feeder Fund’s investment results will correspond directly to the investment results of the Master Fund. This form of investment structure is commonly known as a “master feeder” structure. The Master Fund has the same investment objective and identical investment policies as those of the Feeder Funds. The investment objective of each Fund is non-fundamental and, therefore, may be changed without the approval of the shareholders of any Fund (together “Shareholders”). For the convenience of the reader, references to each Feeder Fund’s investments also refer to the Master Fund’s investments and references to the risks of investing in the Master Fund also refer to the risks of investing in each Feeder Fund, except as otherwise provided. The investment objective of each Fund is to seek to provide total return.

The following is a summary of significant accounting policies followed by the Master Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The Master Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies” including FASB Accounting Standard Update (“ASU”) 2013-08.

Net Asset Value Determination - The Master Fund calculates its Net Asset Value (“NAV”) as of the close of business on the last business day of each calendar month, each date that Shares are offered or repurchased, as of the date of any distribution and at such other times as the Board of Trustees (the “Board”) shall determine (each, a “Determination Date”). In determining its NAV, the Master Fund values its investments as of the relevant Determination Date. The NAV of the Fund equals the value of the total assets of the Fund, less all of its liabilities, including accrued fees and expenses, each determined as of the relevant Determination Date.

Valuation of Investments –The Valuation Procedures provide that the Master Fund will value its investments in Private Markets Investment Funds and direct private equity investments at fair value. The fair value of such investments as of each Determination Date ordinarily will be the capital account value of the Master Fund’s interest in such investments as provided by the relevant Private Markets Investment Fund manager as of or prior to the relevant Determination Date; provided that such values will be adjusted for any other relevant information available at the time the Master Fund values its portfolio, including capital activity and material events occurring between the reference dates of the Private Markets Investment Fund manager’s valuations and the relevant Determination Date.

A meaningful input in the Master Fund’s Valuation Procedures will be the valuations provided by the Private Markets Investment Fund managers. Specifically, the value of the Master Fund’s investment in Private Markets Investment Funds generally will be valued using the “practical expedient,” in accordance with Accounting Standards Codification (ASC) Topic 820, based on the valuation provided to the Adviser by the Private Markets Investment Fund in accordance with the Private Markets Investment Fund’s own valuation policies. Generally, Private Markets

Investment Fund managers value investments of their Private Markets Investment Funds at their market price if market quotations are readily available. In the absence of observable market prices, Private Markets Investment Fund managers value investments using valuation methodologies applied on a consistent basis. For some investments little market activity may exist. The determination of fair value by Private Markets Investment Fund managers is then based on the best information available in the circumstances and may incorporate management’s own assumptions and involves a significant degree of judgment, taking into consideration a combination of internal and external factors, including the appropriate risk adjustments for nonperformance and liquidity risks. Investments for which market prices are not observable include private investments in the equity of operating companies, real estate properties or certain debt positions.

Market quotations will not be readily available for most of the Master Fund’s investments. To the extent the Fund holds securities or other instruments that are not investments in Private Markets Investment Funds or direct private equity investments, the Fund will generally value such assets as described below.

Equity Securities - Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ), including securities traded over the counter, are valued at the last quoted sale price on an exchange or market (foreign or domestic) on which they are traded on the valuation date (or at approximately 4:00 p.m. Eastern Time if such exchange is normally open at that time), or, if there is no such reported sale on the valuation date, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. If such prices are not available or determined to not represent the fair value of the security as of a Fund’s pricing time, the security will be valued at fair value as determined in good faith using methods approved by the Board.

Money Market Securities and other Debt Securities - If available, money market securities and other debt securities are priced based upon valuations provided by recognized independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Such methodologies generally consider such factors as security prices, yields, maturities, call features, ratings and developments relating to specific securities in arriving at valuations. Money market securities and other debt securities with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. If such prices are not available or determined to not represent the fair value of the security as the Master Fund’s pricing time, the security will be valued at fair value as determined in good faith using methods approved by the Board.

Valuation of Fund of Funds - The Fund may invest in portfolios of open-end or closed-end investment companies (the “Underlying Funds”). The Underlying Funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value to the methods established by the board of directors of the Underlying Funds.

Open-end investment companies are valued at their respective net asset values as reported by such investment companies. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per share, which is different than the net asset value per share. The difference represents a market premium or market discount of such shares. There can be no assurance that the market discount or market premium on shares of any closed-end investment company purchased by the Fund will not change.

Exchange-Traded Funds - The Fund may invest in exchange -traded funds (“ETFs”). ETFs are a type of fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities. The Funds may purchase an ETF to gain exposure to a portion of the U.S. or a foreign market. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although a potential lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.

Fair Value Procedures - Securities for which market prices are not “readily available” or which cannot be valued using the methodologies described above are valued in accordance with Fair Value Procedures established by the Board and implemented through the Fair Value Pricing Committee established by the Board. The members of the Fair Value Pricing Committee report, as necessary, to the Board regarding portfolio valuation determinations. The Board, from time to time, will review these methods of valuation and will recommend changes which may be necessary to assure that the investments of a Fund are valued at fair value.

Some of the more common reasons that may necessitate a security being valued using Fair Value Procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; the security has not been traded for an extended period of time; the security’s primary pricing source is not able or willing to provide a price; trading of the security is subject to local government-imposed restrictions; or a significant event with respect to a security has occurred after the close of the market or exchange on which the security principally trades and before the time the Fund calculates net asset value. When a security is valued in accordance with the Fair Value Procedures, the Fair Value Pricing Committee will determine the value after taking into consideration relevant information reasonably available to the Fair Value Pricing Committee.

The Master Fund utilizes various methods to measure the fair value of all of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Fund has the ability to access.

Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument in an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following table summarizes the inputs used as of September 30, 2022 for the Master Fund’s assets measured at fair value:

The following table is a reconciliation of assets in which Level 3 inputs were used in determining value:

The following table is a summary of the valuation techniques and unobservable inputs used in the fair value measurements as of September 30, 2022:

As of September 30, 2022, the Fund had unfunded commitments and/or contingencies for the below listed securities: