Form N-CSR Pursuit Asset-Based Inco For: Mar 31

See accompanying Notes to the Financial Statements.

See accompanying Notes to the Financial Statements.

(1)    All Investments in Private Investments and Credit Facilities are restricted securities. The total value of these securities is $64,794,653, which represents 124.8% of total net assets of the Fund.

(2)    All Investments in Private Investments and Credit Facilities are Level 3 securities fair valued using significant unobservable inputs.

(3)    An affiliate of Issuer filed for bankruptcy on January 26, 2026. Security is defaulted. See Note 11 in the Notes to the Financial Statements.

(4)    Investment is a portion of a multi-draw term loan. As of March 31, 2026, the Fund has an unfunded commitment related to this issuer. Please refer to Note 7 in the Notes to the Financial Statements for further details regarding unfunded commitments.

(5)    Represents the 7-day effective yield as of March 31, 2026.

See accompanying Notes to the Financial Statements.

See accompanying Notes to the Financial Statements.

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(1)    Includes $141,735 in accrued investment management and incentive fees offset by $307,878 in waived accrued investment management fees, incentive fees, and other expenses in excess of the expense limitation and reimbursement agreement.

See accompanying Notes to the Financial Statements.

____________

(1)    Reflects operations for the period from September 23, 2025 (effective date of the Fund’s registration statement) to March 31, 2026. Prior to the Fund’s commencement of operations on October 1, 2025, the Fund was inactive except for matters related to the Fund’s establishment, designation, and planned registration.

See accompanying Notes to the Financial Statements.

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(1)     Reflects operations for the period from September 23, 2025 (effective date of the Fund’s registration statement) to March 31, 2026.

(2)    Includes $51,055,637 of paid-in-capital received from an in-kind subscription effective as of the close of business on September 30, 2025. The total value received of $51,055,637 from this non-taxable event represented $50,447,462 in securities cost, $0 in net unrealized appreciation, $191,205 in cash and $416,970 in other net assets in exchange for 5,105,564 Class I Shares.

(3)    On July 11, 2025, the Pursuit Fund Advisers, LLC made an initial purchase of 10,000 Class I Shares for $100,000 at a net asset value of $10.00 per share.

See accompanying Notes to the Financial Statements.

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(1)    Reflects operations for the period from September 23, 2025 (effective date of the Fund’s registration statement) to March 31, 2026.

(2)    Excludes non-cash portion of the in-kind subscription that occurred after close of business on September 30, 2025.

(3)    Cash, beginning of period represents the Fund’s cash balance of $100,000 as of September 22, 2025. This balance relates to the initial capital contribution made by Pursuit Fund Advisers, LLC on July 11, 2025, consisting of a $100,000 share purchase (10,000 shares at $10.00 per share).

See accompanying Notes to the Financial Statements.

Per share operating performance.

For a capital share outstanding throughout the period.

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(1)    Reflects operations for the period from October 1, 2025 (commencement of operations) through March 31, 2026.

(2)    Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon net asset values may differ from the net asset values and returns for shareholder transactions.

(3)    Pursuit Fund Advisers, LLC made the initial share purchase of $100,000 on July, 11 2025. The total initial share purchase of $100,000 included 10,000 shares which were purchased at $10.00 per share.

(4)    Per share data is computed using the average shares method.

(5)    Not annualized for periods less than one year.

(6)    Total return based on the net asset value per share is the combination of changes in net asset value per share and reinvested distributions at net asset value per share, if any.

(7)    Annualized, with the exception of incentive fees, incentive fee waivers, and organizational costs.

(8)    If incentive fees and incentive fee waivers had been excluded, the ratio before waivers would have decreased 0.66% and the ratio after waivers would have decreased 0.53%.

(9)    Incentive fees, loan servicing fees, and interest expense associated with the line of credit are exclusive of the expense cap.

(10)  Includes an annualized 0.50% waiver of management fees, a non-annualized 0.13% waiver of incentive fees, and an annualized 1.98% waiver of other fees and expenses. The dollar amounts are listed in the Statement of Operations.

(11)   If incentive fees and incentive fee waivers had been excluded, the ratio before waivers would have increased 0.66% and the ratio after waivers would have increased 0.53%.

(12)   Calculated by subtracting the Fund’s total liabilities (excluding the debt balance) from the Fund’s total assets and dividing by the outstanding debt balance.

See accompanying Notes to the Financial Statements.

1. Organization

Pursuit Asset-Based Income Fund (the “Fund”) was established as a Delaware statutory trust (the “Trust”) on January 24, 2025. The Fund is registered with the Securities and Exchange Commission (the “SEC”) as a non-diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”).

The Fund operates as an interval fund pursuant to Rule 23c-3 of the 1940 Act, and has adopted a fundamental policy to conduct quarterly repurchase offers at net asset value (“NAV”). The Fund is authorized to offer an unlimited number of shares. On July 11, 2025, Pursuit Fund Advisers, LLC (the “Investment Manager”) made an initial purchase of 10,000 Shares for $100,000 at a $10.00 net asset value per share. The Fund’s registration statement was declared effective on September 23, 2025. The Fund commenced investment operations on October 1, 2025. The period covered by these Notes to Financial Statements is the period from the effective date of the Fund’s registration statement on September 23, 2025 through March 31, 2026 (the “Reporting Period”).

Simultaneous with the Fund’s commencement of operations, Pursuit Alternative Income Fund, LP (the “Predecessor Fund”), reorganized with and into the Fund. As a result of the tax-free reorganization, $51,055,637 of net assets from the Predecessor Fund were transferred into the Fund in exchange for 5,105,564 Class I Shares. The Predecessor Fund maintained an investment objective, strategies and investment policies, guidelines, and restrictions that are, in all material respects, equivalent to those of the Fund. At the time of reorganization, the Predecessor Fund shared the same Investment Manager and portfolio managers as the Fund.

The Fund has been granted exemptive relief (the “Exemptive Relief”) from the SEC that permits the Fund to issue multiple classes of shares (each, a “Class”) and to impose asset-based distribution fees and early-withdrawal fees. As of March 31, 2026, only Class I Shares were available for purchase. Pursuant to the Exemptive Relief, the Fund may offer Class A Shares and Class C Shares, and may offer additional classes in the future.

The Fund’s primary investment objective is to seek a high level of current income. Long-term capital appreciation is considered a secondary investment objective. The Fund seeks to achieve its investment objective by investing, under normal circumstances, at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in smaller, undercapitalized assets and markets (issuers generally seeking between $1,000,000 and $25,000,000 in financing) that banks and large institutional investors often overlook, referred to as “Niche Asset-Based Alternatives.” Niche Asset-Based Alternatives are backed by asset-level cash flows and collateral and may include investments in consumer and small business credit, trade and equipment finance, leasing, infrastructure, loan portfolios, mortgage servicing rights, real assets, digital infrastructure, media and sports rights, litigation finance and royalties. The Fund expects to allocate its assets to Niche Asset-Based Alternatives primarily through both private companies and credit facilities through (i) structured notes, loans (including senior and subordinated loans), leases or royalties; (ii) investments in assets issued by private companies; (iii) investments alongside third parties, including Private Funds (defined below), in assets issued primarily by private companies (“Co-Investments”).

To a lesser extent, the Fund may allocate its assets to Niche Asset-Based Alternatives through (i) primary and secondary investments in unaffiliated private investment funds (private funds that are excluded from the definition of “investment company” pursuant to Sections 3(c)(1) or 3(c)(7) of the 1940 Act (“Private Funds”); and (ii) investments in securities of other unaffiliated open- or closed investment companies, including exchange-traded funds (collectively with Private Funds, “Underlying Funds”), that invest primarily in securities of the types in which the Fund may invest directly.

The Investment Manager serves as the Fund’s investment adviser and is registered with the SEC under the Investment Advisers Act of 1940, as amended. The Fund’s Board of Trustees (the “Board” and members thereof, “Trustees”) has the overall responsibility for the management and supervision of the business operations of the Fund.

Basis of Presentation and Use of Estimates

The Fund is an investment company and follows the accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services — Investment Companies. The accompanying financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The preparation of the financial statements in accordance with U.S. 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, as well as reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from these estimates.

Income recognition and expenses

Interest income is recognized on an accrual basis as earned. Purchase discounts and premiums on securities are accreted and amortized over the life of the respective securities using the effective interest method. The Fund bears all expenses incurred in the course of its operations, including, but not limited to, the following: all costs and expenses related to portfolio transactions and positions for the Fund’s account; professional fees; costs of insurance; registration expenses; and expenses of meetings of the Board. Expenses are subject to an expense limitation and reimbursement agreement between the Investment Manager and the Fund (the “Expense Limitation and Reimbursement Agreement”) (see Note 4).

Investment transactions

Investment transactions are accounted for on a trade date basis. Cost of securities sold, and the related realized gains and losses are determined based on the specific identification method.

Cash

Cash represents cash deposits held at financial institutions. Cash is held at major financial institutions and is subject to credit risk to the extent those balances exceed applicable Federal Deposit Insurance Corporation or Securities Investor Protection Corporation limitations.

Investment Valuation

The Fund calculates its NAV following the close of regular trading on the New York Stock Exchange (“NYSE”), generally 4:00 p.m. Eastern Time, on each day the NYSE is open for trading, and at such other times as the Board may determine, including in connection with repurchases of shares, in accordance with the procedures described below or as may be determined from time to time in accordance with policies established by the Board.

The Board has approved the delegation of the day-to-day responsibility for determining the fair value of Fund investments in accordance with valuation procedures approved by the Board to the Investment Manager as valuation designee (in such capacity, the “Valuation Designee”).

Investments in securities that are listed on the NYSE are valued, except as indicated below, at the last sale price reflected at the close of the NYSE on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the closing bid and asked prices for the day or, if no asked price is available, at the bid price. Securities not listed on the NYSE but listed on other domestic or foreign securities exchanges are valued in a

similar manner. Securities traded on more than one securities exchange are valued at the last sale price on the business day as of which such value is being determined as reflected on the tape at the close of the exchange representing the principal market for such securities.

As a general matter, to value the Fund’s investments, the Valuation Designee will use current market values, when available, and otherwise value the Fund’s investments with fair value methodologies that the Valuation Designee believes to be consistent with those used by the Fund for valuing its investments. These fair value calculations will involve significant professional judgment, including use of discounting cash flow models and recent transactions, by the Valuation Designee in the application of both observable and unobservable attributes, and it is possible that the fair value determined for a security may differ materially from the value that could be realized upon the sale of the security. The amortized cost of the private companies and credit facilities generally approximate their respective fair values due to their short-term nature. There is no single standard for determining the fair value of an investment. Likewise, there can be no assurance that the Fund will be able to purchase or sell an investment at the fair value price used to calculate the Fund’s NAV.

The Valuation Designee will monitor the valuations of Fund investments and review any material concerns with the Board.

Federal Income Taxes

The Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If so qualified, the Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. Therefore, no federal income tax provision is required. Management of the Fund is required to determine whether a tax position taken by the Fund is more likely than not to be sustained upon examination by the applicable taxing authority, based on the technical merits of the position. Based on its analysis, there were no tax positions identified by management of the Fund which did not meet the “more likely than not” standard as of March 31, 2026.

Distribution to Shareholders

The Fund’s distribution policy is to make quarterly distributions of substantially all of its net investment income. The Fund accrues dividends daily (Saturdays, Sundays and holidays included) and distributes as of the last business day of each quarter. Unless a Shareholder elects otherwise, the Shareholder’s distributions will be reinvested in additional shares of the same class under the Fund’s dividend reinvestment program. Shareholders who elect not to participate in the Fund’s dividend reinvestment program will receive all distributions in cash paid to the shareholder of record (or, if the shares are held in street or other nominee name, then to such nominee). Distributions are made at the class level, so they may vary from Class to Class within the Fund. The Fund may pay distributions from sources that may not be available in the future and that are unrelated to the Fund’s performance, such as from offering proceeds and/or borrowings. When distributions are paid from offering proceeds and/or borrowings, they may constitute a return of capital for Federal income tax purposes and reduce the amount of capital available to the Fund for investment.

Borrowing, Use of Leverage

The Fund may borrow cash for a number of reasons, including without limitation, in connection with its investment activities, to make distributions, to satisfy repurchase requests from shareholders and to otherwise provide the Fund with temporary liquidity. Under the 1940 Act, the Fund may utilize leverage

Amount, the Fund may, but is not required to, repurchase an additional amount of Shares not to exceed 2% of outstanding Shares of the Fund on the repurchase request deadline. If the Fund determines not to repurchase more than the Repurchase Offer Amount, or if shareholders tender Shares in an amount exceeding the Repurchase Offer Amount plus 2% of the outstanding Shares on the repurchase request deadline, the Fund will repurchase the Shares on a pro rata basis. Because of the potential for proration, tendering shareholders may not have all of their tendered Shares repurchased by the Fund. In addition, the Fund may accept the total number of Shares tendered in connection with required minimum distributions from an individual retirement account (“IRA”) or other qualified retirement plan. It is the shareholder’s obligation to both notify and provide the Fund supporting documentation of a required minimum distribution from an IRA or other qualified retirement plan.

The Fund’s initial repurchase offer will commence in the third quarter following the commencement of its operations.

6. Investment Transactions

Purchases and sales of investments, excluding short-term investments, for the Reporting Period were $61,872,476 and $40,480,979, respectively.

7. Commitments and Contingencies

In the normal course of business, the Fund enters into contracts that provide general indemnifications. The Fund’s maximum exposure under these agreements is dependent upon future claims that may be made against the Fund and therefore cannot be established; however, the risk of loss from such claims is considered remote. The Fund is required to provide financial support in the form of investment commitments to certain investees as part of the conditions for entering into such investments. At March 31, 2026, the Fund reasonably believes its assets will provide adequate cover to satisfy all its unfunded commitments. The Fund’s unfunded commitments as of March 31, 2026 are listed in the below table. The unfunded amount lists the remaining available draw, but the issuance of additional draws is at the discretion of the Fund subject to certain conditions and terms outlined in the loan agreement.

8. Federal Tax Information

The Fund’s taxable year is September 30 which is prior to the commencement of investment operations. At March 31, 2026, gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes were as follows:

The Fund entered into a line of credit agreement (the “Credit Agreement”) with Forbright Bank on October 27, 2025. The maturity date of the Credit Agreement is October 27, 2028. The terms of the Credit Agreement provide a $30,000,000 secured revolving credit facility. Borrowings under the Credit Agreement is secured by all of the Fund’s investments, cash and cash equivalents. The Credit Agreement provides an Unused Line Fee at a rate of 0.25% on unused capacity that shall accrue from the 6 month anniversary of the Credit Agreement. Deferred financing fees as of March 31, 2026 were $257,890 and are included in the Line of Credit on the Statement of Assets and Liabilities. Deferred financing fees are amortized over the life of the Credit Agreement. For the Reporting Period, the Fund amortized $41,613 in deferred financing fees, which are included in the interest expenses in the Statement of Operations. The Credit Agreement’s interest rate is the Term SOFR in effect on each day plus 3.625%. For the Reporting Period, the Line of Credit activity for the Fund was as follows:

The Credit Agreement contains certain financial covenants, including, but not limited to, that the Fund: (a) shall not have charge-offs totaling more than 5% of the investment balance (b) shall not have more than 10% defaulted investments (c) shall have a minimum interest coverage ratio of 1.25x (d) shall have a minimum tangible net worth of $40,000,000, and (e) shall have maximum leverage of no more than 0.30x total tangible net worth. As of March 31, 2026, the Fund was in compliance with all covenants and other requirements of the Credit Agreement. In light of the impairment of the FAT Positions described below (see Note 11), the Credit Agreement was amended to exclude the write-down of the FAT Positions from the calculation for covenant (a) above. In addition, covenant (d) was updated to require the Fund to maintain a minimum tangible net worth of $45,000,000 and covenant (e) was updated to increase the maximum leverage to no more than 0.35x tangible net worth. The amendment occurred on May 28, 2026, subsequent to the date of these financial statements.

10. Principal Risks

Investing in the Fund involves risks including, but not limited to, those set forth below. The risks described below are not, and are not intended to be, a complete enumeration or explanation of the risks involved in an investment in the Fund. For a more complete discussion of the risks of investing in the Fund, see the sections entitled “Principal Risk Factors” and “Additional Risks of the Fund” in the Fund’s prospectus and the Fund’s other filings with the SEC.

LIMITED OPERATING HISTORY.    The Fund is a newly organized closed-end management investment company that has no operating history and no public trading of its shares. The Fund is designed primarily as a long-term investment vehicle and not as a trading tool. An investment in the Fund’s Shares should not constitute a complete investment program for any investor and involves a high degree of risk. Due to the uncertainty in all investments, there can be no assurance that the Fund will achieve its investment objectives. The value of the Fund’s Shares could decline substantially and cause you to lose some or all of your investment.

NON-DIVERSIFIED STATUS.    The Fund is classified as “non-diversified” under the 1940 Act. As a result, it can invest a greater portion of its assets in obligations of a single issuer than a “diversified” fund. The Fund may therefore be more susceptible than a diversified fund to being adversely affected by a single corporate, economic, political or regulatory occurrence.

REPURCHASE OFFERS; LIMITED LIQUIDITY.    The Fund is a closed-end investment company structured as an interval fund and, as such, has adopted a fundamental policy to make quarterly repurchase offers, at per-class NAV, of not less than 5% of the Fund’s outstanding Shares on the repurchase request deadline. The Fund will offer to purchase only a small portion of its Shares each quarter, and there is no guarantee that shareholders will be able to sell all of the Shares that they desire to sell in any particular repurchase offer. Under current regulations, such offers must be for not less than 5% nor more than 25% of the Fund’s Shares outstanding on the repurchase request deadline. If a repurchase offer is oversubscribed, the Fund may repurchase only a pro rata portion of the Shares tendered by each shareholder. The potential for proration may cause some investors to tender more Shares for repurchase than they wish to have repurchased or result in investors being unable to liquidate all or a given percentage of their investment during in the particular repurchase offer.

MARKET RISK.    Investing in shares involves risk, including potential loss of your entire investment. The value of Fund shares depends on the underlying securities, which may fluctuate rapidly and unpredictably, and could be worth less than your original investment, even after reinvesting dividends. Pandemics, such as COVID-19, and other epidemics may negatively impact economies, markets, and Fund performance. While business continuity plans are in place, prolonged disruptions from disease outbreaks may impair operations, personnel, and essential services. Climate change poses long-term risks, including extreme weather events, property value declines, and regulatory changes, which could materially impact the Fund’s value and performance. Technological advancements and increased regulation, such as in artificial intelligence, may further affect markets and Fund performance.

ALTERNATIVE INVESTMENTS RISK.    Alternative investments provide limited liquidity and include, among other things, the risks inherent in investing in securities, futures, commodities and derivatives, using leverage and engaging in short sales. An investment in alternative investment products is speculative, involves substantial risks, and should not constitute a complete investment program.

ASSET-BACKED SECURITIES RISK.    Asset-backed securities carry unique risks, including sensitivity to interest rate changes, prepayment risk, and reliance on the cash flows and servicing quality of the underlying assets. Their complex structures can make them difficult to value and potentially illiquid. If borrowers default or servicers fail, investor losses may exceed credit enhancements. Economic downturns and rising unemployment can further increase delinquencies and losses for these securities.

BANK LOANS.    Investments in bank loans involve unique risks, such as potential invalidation of transactions, lender-liability claims, environmental issues with collateral, and limited legal protections. Bank loans can also be illiquid or volatile, and the Fund may face challenges in enforcing its rights or selling these investments, especially during periods of market stress.

CO-INVESTMENT RISK.    Co-investment risk arises when the Fund invests alongside third parties, such as through partnerships or joint ventures. These arrangements can expose the Fund to risks including conflicting interests, potential liability for a co-investor’s actions, limited access to information, and difficulty protecting against fraud or poor judgment by co-investors.

COUNTERPARTY RISK.    Counterparty risk refers to the possibility that a party to an over-the-counter or inter-dealer transaction may fail to fulfill its obligations due to disputes, credit issues, or liquidity problems. Unlike exchange-based transactions, these deals lack protections such as clearing guarantees and regulatory oversight. This risk is heightened for longer contracts or when the Fund concentrates transactions with a few counterparties, potentially leading to significant losses if a counterparty defaults.

DEBT SECURITIES.    One of the fundamental risks associated with such direct or indirect investments in debt and debt-related securities is credit risk, which is the risk that an issuer will be unable to make principal and interest payments on its outstanding debt obligations when due. Adverse changes in the financial condition of an issuer or in general economic conditions (or both) may impair the ability of such issuer to make such payments and result in defaults on, and declines in, the value of its debt. The Fund’s return to shareholders would be adversely impacted if an issuer of debt securities in which the Fund invests becomes unable to make such payments when due. Other risk factors include interest rate risk (a rise in interest rates causes a decline in the value of debt securities) and prepayment risk (the debtor may pay its obligation early, reducing the amount of interest payments). These risks could affect the value of a particular investment, possibly causing the Fund’s share price and total return to be reduced and fluctuate more than other types of investments.

DEFAULT RISK.    The ability of the Fund or an Underlying Fund to generate income through its loan investments is dependent upon payments being made by the borrower underlying such loan investments. If a borrower is unable to make its payments on a loan, the Fund may be greatly limited in its ability to recover any outstanding principal and interest under such loan.

DIRECT LENDING RISK.    To the extent the Fund is the sole lender in privately offered debt, it may be solely responsible for the expense of servicing that debt, including, if necessary, taking legal actions to foreclose on any security instrument securing the debt (e.g., the mortgage or, in the case of a mezzanine loan, the pledge). This may increase the risk and expense to the Fund compared to syndicated or publicly offered debt.

DISTRESSED SECURITIES.    Investing in distressed securities involves high risk, as these companies are often financially troubled, undergoing restructurings or bankruptcies, and their securities are typically speculative and may be illiquid. There is a significant risk of loss, including total loss, due to uncertain financial conditions, difficulty obtaining accurate information, and the potential for incorrect credit assessments by the Investment Manager.

EXTENSION RISK.    Rising interest rates tend to extend the duration of long-term, fixed rate securities, making them more sensitive to changes in interest rates. The value of longer-term securities generally changes more in response to changes in interest rates than shorter-term securities. As a result, in a period of rising interest rates, securities may exhibit additional volatility and may lose value.

ILLIQUID PORTFOLIO OF INVESTMENTS.    The Fund is expected to invest in securities that are subject to legal or other restrictions on transfer or for which no liquid market exists. A portfolio may make investments that may become less liquid in response to market developments or geopolitical events such as sanctions, trading halts or wars, or adverse investor perceptions. The market prices, if any, for such securities may be volatile and the Fund may not be able to sell them when the Investment Manager desires to do so or to realize what the Investment Manager perceives to be their fair value in the event of a sale. The sale of restricted and illiquid securities often requires more time and results in higher brokerage charges or dealer discounts and other selling expenses than does the sale of securities eligible for trading on national securities exchanges or in the over-the-counter markets. Restricted securities may sell at prices that are lower than similar securities that are not subject to restrictions on resale.

INFRASTRUCTURE.    Investing in infrastructure securities exposes the Fund to risks such as high leverage, regulatory challenges, environmental costs, economic slowdowns, and government budget constraints. Infrastructure companies may face service interruptions, legal issues, changes in tariffs or tax laws, public corruption, environmental accidents, and terrorism. These securities can also be highly illiquid and sensitive to shifts in market sentiment.

SPECIALTY FINANCE AND OTHER FINANCIAL COMPANIES RISK.    The profitability of specialty finance and other financial companies is largely dependent upon the availability and cost of capital funds, and may fluctuate significantly in response to changes in interest rates, as well as changes in general economic conditions. Any impediments to a specialty finance or other financial company’s access to capital markets, such as those caused by general economic conditions or a negative perception in the capital markets of the company’s financial condition or prospects, could adversely affect such company’s business. From time to time, severe competition may also affect the profitability of specialty finance and other financial companies.

SPORTS AND MEDIA RIGHTS RISK.    The Fund may invest in loans or advances made to athletes, teams or clubs based on future guaranteed contracts. Such loans can carry financial, contractual, reputational, and compliance-related issues. Additionally, the rise of streaming services may potentially impact revenue streams of investments in the ownership, acquisition, or monetization of broadcasting, streaming, and distribution rights for sports events and related media content. Disputes over media rights can lead to delayed payments, reputational damage, and disruption of events.

SPREAD RISK.    Wider credit spreads and decreasing market values typically represent a deterioration of the debt security’s credit soundness and a perceived greater likelihood or risk of default by the issuer.

STRUCTURED NOTES.    Investments in structured notes involve risks, including credit risk and market risk. Where the Fund’s investments in structured notes are based upon the movement of one or more factors, including currency exchange rates, interest rates, referenced bonds and stock indices, depending on the factor used and the use of multipliers or deflators, changes in interest rates and movement of the factor may cause significant price fluctuations. Additionally, changes in the reference instrument or security may cause the interest rate on the structured note to be reduced to zero and any further changes in the reference instrument may then reduce the principal amount payable on maturity. Structured notes may be less liquid than other types of securities and more volatile than the reference instrument or security underlying the note.

TRANSPORTATION FINANCE.    The Fund may invest in transportation finance-related instruments. The transportation finance sector is cyclical in nature and will likely be dependent upon continued economic growth in the world’s economies. Economic recessions, terrorism, pandemics, the price of fuel, and newer, more efficient vehicles are all risks to these types of investments. Further, funds operating in these sectors will often have greater portfolio concentration.

TRADE FINANCE.    Trade finance investments involve risks related to transporting and financing goods, especially in emerging markets. These risks include political and economic instability, regulatory and currency issues, transportation and warehousing risks, legal and collateral risks, illiquidity, and counterparty defaults or fraud. If buyers fail to honor contracts, the Fund may also face losses when reselling goods.

UNSECURED LOANS.    Unsecured loans expose the Fund to higher risk since they lack collateral backing. In liquidation, secured creditors are paid first from collateral proceeds, and unsecured loans are only repaid if there are remaining assets, which may be insufficient. The Fund’s recovery depends on market conditions and available buyers, increasing the likelihood of loss if the borrower defaults.

VALUATION RISK.    Unlike publicly traded common stock which trades on national exchanges, there is no central place or exchange for most of the Fund’s investments to trade. Due to the lack of centralized information and trading, the valuation of loans or fixed-income instruments may result in more risk than that of common stock. Uncertainties in the conditions of the financial market, unreliable reference data, lack of transparency and inconsistency of valuation models and processes may lead to inaccurate asset

pricing. In addition, other market participants may value securities differently than the Fund. As a result, the Fund may be subject to the risk that when an instrument is sold in the market, the amount received by the Fund is less than the value of such loans or fixed-income instruments carried on the Fund’s books.

INVESTMENTS IN PRIVATE FUNDS RISK.    Investing in Private Funds presents significant risks for the Fund. Unlike registered investment companies, Private Funds lack regulatory protections, which increases the potential for loss and reduces investor safeguards. The Fund may have limited access to information regarding the Private Funds’ holdings, values, and performance, relying heavily on data provided by fund managers that cannot be independently verified. Private Funds typically offer little liquidity; the Fund may not be able to withdraw its investment when desired and could receive illiquid securities upon withdrawal. Such investments often have higher management and performance fees than registered funds, meaning the Fund will incur additional expenses beyond its own fees and costs. Many Private Funds may be newly formed with limited operating histories, making it difficult for the Investment Manager to assess their past performance or validate their investment strategies. Even if operating histories exist, past results are not indicative of future performance, especially as key personnel may change. Valuations of Private Fund investments are determined by procedures approved by the Fund’s Board but depend on information from underlying managers, who may face conflicts of interest since their compensation can be tied to these valuations. The Fund may also be subject to broad indemnification obligations, potentially covering liabilities of underlying managers, within legal limits. Finally, because the Investment Manager has no control over Private Fund managers, there can be no assurance that these managers will always act in accordance with the Fund’s investment objectives or strategy.

11. Subsequent Events

Management of the Fund has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has identified the following items requiring adjustment and/or disclosure within the financial statements:

Impairment of Debt Investments

On May 1, 2026, the Valuation Designee identified a fair value impairment of $7,332,383 on its debt investments in FAT Brand Royalty I Jr. and FAT Whole Business Securitization Jr. (collectively, the “FAT Positions”).

In relation to a January 26, 2026 bankruptcy filing of an affiliate of the FAT Positions, FAT Brands Inc., a court-supervised asset sale auction commenced in April 2026. The auction process attracted limited third-party viable participation, resulting in bids that were materially below the Fund’s collateral value that supported the carrying value of the debt position.

In light of the April 29, 2026 auction results, the Valuation Designee reassessed the fair value of the FAT Positions. Prior to this auction process, the Fund had several debtor-in-processor options which it reviewed as well as numerous market-based comparables from which it remained comfortable that the fair value of the FAT Positions approximated amortized cost. Nevertheless, limited auction bids occurring during the auction process resulted in lower-than-expected sale proceeds and, therefore, lower than expected Fund recoveries that were materially insufficient to satisfy the Fund’s outstanding debt position. Accordingly, on May 1, 2026, the Fund recorded a full write-down of the FAT Positions in the amount of $7,053,647 plus a reversal of accrued, but unpaid, interest through the bankruptcy date in the amount of $278,736. The Fund did not accrue interest after the bankruptcy date.

Board of Trustees and Shareholders
Pursuit Asset-Based Income Fund

Opinion on the financial statements

We have audited the accompanying statement of assets and liabilities of Pursuit Asset-Based Income Fund (the “Fund”), including the schedule of investments, as of March 31, 2026, the related statements of operations, changes in net assets, and cash flows for the period from September 23, 2025 (effective date of the Fund’s registration statement) through March 31, 2026, and the related notes (collectively referred to as the “financial statements”) and the financial highlights for the period from October 1, 2025 (commencement of operations) through March 31, 2026. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of March 31, 2026, the results of its operations and its cash flows for the period from September 23, 2025 (effective date of the Fund’s registration statement) through March 31, 2026, and the financial highlights for the period from October 1, 2025 (commencement of operations) through March 31, 2026, in conformity with accounting principles generally accepted in the United States of America.

Basis for opinion

These financial statements and financial highlights 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 laws 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 and financial highlights 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 risks of material misstatement of the financial statements and financial highlights, 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 and financial highlights. Our procedures included confirmation of investments owned as of March 31, 2026, by correspondence with the custodian and loan servicers. 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 and financial highlights. We believe that our audit provides a reasonable basis for our opinion.

/s/ GRANT THORNTON LLP

We have served as the Fund’s auditor since 2025.

Chicago, Illinois
May 29, 2026

those used by the Investment Manager to determine the value of the Fund’s investments. Based on their review, the Board concluded that the nature, extent and quality of services expected to be provided to the Fund under the Investment Management Agreement was satisfactory.

PERFORMANCE

The Board considered the investment experience of the Investment Manager. The Board reviewed and discussed the performance of Pursuit Alternative Income Fund, LP (the “Predecessor Fund”), a private fund managed by the Investment Manager, that would reorganize with and into the Fund and performance data for third-party comparable peer funds and relevant indices. However, because the Fund had not yet commenced operations, the Board was not able to consider Fund performance.

FEES AND EXPENSES

The Board reviewed the proposed advisory fee rates and expected total expense ratio of the Fund. The Board compared the proposed advisory fee, incentive fee and pro-forma total expense ratio for the Fund with various comparative data, including a report containing data on other comparable funds prepared by a third-party. The Board also considered the contractual expense waivers and reimbursement agreements that the Investment Manager had agreed to implement with respect to the Fund over certain time periods. The Board concluded that the proposed advisory fees to be paid by the Fund and pro-forma total expense ratio were reasonable and satisfactory in light of the services proposed to be provided.

BREAKPOINTS AND ECONOMIES OF SCALE

The Board reviewed the structure of the Fund’s advisory fee under the Investment Management Agreement. The Board noted that the Fund’s advisory fee did not have breakpoints. The Board considered the Fund’s advisory and incentive fees and concluded that the fees were reasonable and satisfactory in light of the services provided. The Board determined that certain Fund expenses will benefit the most from decreases in operating expenses over time, but since the Fund had no assets, economies of scale were not present at that time.

PROFITABILITY OF INVESTMENT MANAGER

The Board considered and reviewed pro-forma information concerning the estimated costs to be incurred and profits expected to be realized by the Investment Manager from its relationship with the Fund. Although the Board considered and reviewed pro-forma information concerning the Investment Manager’s expected profits, due to the fact that operations for the Fund had not yet commenced, the Board made no determination with respect to profitability.

ANCILLARY BENEFITS AND OTHER FACTORS

The Board also discussed other benefits to be received by the Investment Manager from its management of the Fund including, without limitation, reputational benefits and the ability to market other investment products offered by the Investment Manager. The Board noted that the Investment Manager does not have affiliations with the Fund’s transfer agent, administrator or custodian, and therefore, would not derive any benefits from the relationships these parties may have with the Fund. The Board concluded that the advisory fees were reasonable in light of any fall-out benefits.

GENERAL CONCLUSION

Based on its consideration of all factors that it deemed material, and assisted by the advice of its counsel, the Board concluded it would be in the best interest of the Fund and its shareholders to approve the Investment Management Agreement for an initial two-year term, subject to the Investment Manager’s registration as an investment adviser with the Securities and Exchange Commission, which occurred on August 11, 2025.