Securities Valuation as of June 30, 2022 (Unaudited)
The Fund utilizes various methods to measure the fair value of most of its investments on a recurring basis. FASB ASC Topic 820, Fair Value Measurements and Disclosures (“ASC 820”) defines fair values, establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value in accordance with U.S. GAAP and requires disclosure about fair value measurements. Under ASC 820, various inputs are used in determining the value of the Fund’s investments. The three levels of inputs are as follows:
Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access at the date of measurement.
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 on an inactive market, prices for similar instruments in active markets, interest rates, credit risk, yield curves, default rates and similar data.
Level 3 –Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Unobservable inputs are those inputs that reflect the Fund’s own assumptions that market participants would use in valuing the asset or liability at the measurement date and would be based on the best available information.
Certain restricted securities may be considered illiquid. Restricted securities are often purchased in private placement transactions, are not registered under the Securities Act of 1933, may have contractual restrictions on resale, and may be valued under methods approved by the Fund’s Board of Directors as reflecting fair value. Certain restricted securities eligible for resale to qualified institutional investors, including Rule 144A securities, are not subject to the limitation on the Fund’s investments in illiquid securities if they are determined to be liquid in accordance with procedures adopted by the Fund’s Board of Directors.
Additional information on each illiquid restricted security held by the Fund on June 30, 2022 is as follows:
| | | | | | | | | | | | | | | | | | | | |
Security | | Initial Acquisition
Date | | | Shares | | | Cost | | | Fair Value | | | % of Net Assets | |
LLR Equity Partners V, L.P. | | | March 14, 2018 | | | | 920,000 | | | | 818,583 | | | | 1,290,533 | | | | 3.59 | % |
| | | | | |
PIMCO Flexible Credit Income Fund - Institutional Class | | | March 15, 2018 | | | | 47,619 | | | | 500,000 | | | | 374,765 | | | | 1.04 | % |
| | | | | |
Pioneer ILS Interval Fund | | | August 27, 2018 | | | | 117,583 | | | | 1,140,000 | | | | 985,344 | | | | 2.74 | % |
| | | | | |
LRVHealth, L.P. | | | July 16, 2019 | | | | 375,000 | | | | 318,299 | | | | 408,700 | | | | 1.14 | % |
| | | | | |
Moran Tice 20:20 Fund, L.P. | | | July 31, 2020 | | | | 250,000 | | | | 250,000 | | | | 181,604 | | | | 0.50 | % |
| | | | | |
SPAC Opportunity Partners, LLC - Class A | | | March 25, 2021 | | | | 1,000,000 | | | | 1,000,000 | | | | 835,607 | | | | 2.32 | % |
| | | | | |
RCP Select Capital Fund, L.P. | | | June 7, 2021 | | | | 400,000 | | | | 400,000 | | | | 400,000 | | | | 1.11 | % |
| | | | | |
Hayman Hong Kong Opportunities | | | May 6, 2022 | | | | 500,000 | | | | 500,000 | | | | 355,787 | | | | 0.99 | % |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 4,926,882 | | | $ | 4,832,340 | | | | 13.43 | % |
| | | | | | | | | | | | | | | | | | | | |
The following table summarized the inputs used to value the Fund’s investments measured at fair value as of June 30, 2022:
| | | | | | | | | | | | | | | | | | | | |
| | | Practical Expedient* | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments - Assets: | | | | | | | | | | | | | | | | | | | | |
Common Stocks* | | $ | — | | | $ | 21,250,445 | | | $ | — | | | $ | — | | | $ | 21,250,445 | |
Preferred Stock* | | | — | | | | 263,025 | | | | — | | | | — | | | | 263,025 | |
Exchange Traded Funds | | | — | | | | 2,502,600 | | | | — | | | | — | | | | 2,502,600 | |
Closed-End Funds | | | — | | | | 1,360,109 | | | | — | | | | — | | | | 1,360,109 | |
Open-End Funds | | | — | | | | 660,135 | | | | — | | | | — | | | | 660,135 | |
Private Funds | | | 3,472,231 | ^ | | | — | | | | — | | | | — | | | | 3,472,231 | |
REITs* | | | — | | | | 839,610 | | | | — | | | | — | | | | 839,610 | |
Corporate Bonds* | | | — | | | | — | | | | 986,295 | | | | — | | | | 986,295 | |
U.S. Government Obligations | | | — | | | | — | | | | 2,213,174 | | | | — | | | | 2,213,174 | |
Short-Term Investments | | | — | | | | 2,544,405 | | | | — | | | | — | | | | 2,544,405 | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments - Assets | | $ | 3,472,231 | | | $ | 29,420,329 | | | $ | 3,199,469 | | | $ | — | | | $ | 36,092,029 | |
| | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments - Liabilities: | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Written Options | | $ | — | | | $ | 8,645 | | | $ | — | | | $ | — | | | $ | 8,645 | |
| | | | | | | | | | | | | | | | | | | | |
| * | See the Schedule of Investments for industry classifications. |
| | | | | | | | | | | | |
| ^ | | Security | | Withdrawals Permitted | | Redemption Notice
Period | | Investment
Objective | | Investment Strategy | | Lock Up
Period |
| | Hayman Hong Kong Opportunities | | Yes | | 30 Days | | To generate superior risk-adjusted rates of return | | Non-diversified portfolio investing in foreign currency forward and option contracts and options of East Asia Countries, may invest in interest rate derivatives to benefit from the stresses imposed on the Hong Kong Monetary Authority’s Linked Exchange Rate System. Will seek to exploit opportunities in the foreign exchange and interest rate markets in Asia. | | None |
| | | | | | |
| | LLR Equity Partners V, L.P. | | No | | Not Applicable | | Capital Appreciation | | Diversified portfolio of equity investments in lower middle market growth companies primarily focused on software and services | | Not Applicable |
| | | | | | |
| | LRVHealth, L.P | | No | | Not Applicable | | Capital Appreciation | | Non-diversified portfolio of insurance-linked securities | | Not Applicable |
| | | | | | |
| | Moran Tice 20:20 Fund, L.P. | | Yes | | 30 days | | Value | | Diversified portfolio of investments the Investment Manager believes will be influenced by macro-economic trends and/or event-driven situations | | None |
| | | | | | |
| | RCP Select Capital Fund, L.P. | | No | | Not Applicable | | Capital Appreciation | | Diversified portfolio of ground-up development, value-add and income producing real estate projects and real estate financings. | | Not Applicable |
| | | | | | |
| | SPAC Opportunity Partners, LLC - Class A | | Yes | | 93 days | | Capital Appreciation | | Diversified portfolio of special purpose acquisition companies, or “SPACs”. | | 2 years |
| (1) | Up to 5% of the Fund’s net asset value per quarter via tender offer. The tender offer is subject to board approval and not a guarantee of future liquidity. A 2% early repurchase fee will be imposed for repurchases made within one year of investment. |
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
| | | | | | | | | | | | |
| | | Closed-End Funds | | | Open-End Funds | | | Total | |
Balance as of September 30, 2021 | | $ | 1,011,212 | | | $ | 378,929 | | | $ | 1,390,141 | |
Accrued discounts/premiums | | | — | | | | — | | | | — | |
Realized gain (loss) | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | (40,506 | ) | | | (25,868 | ) | | | (66,374 | ) |
Purchases | | | — | | | | — | | | | — | |
| | | | | | | | | | | | |
(Sales) | | | — | | | | — | | | | — | |
Transfer in and/or out of Level 3 | | | 321,712 | | | | 374,765 | | | | 696,477 | |
| | | | | | | | | | | | |
Balance as of June 30, 2022 | | $ | 648,994 | | | $ | (21,704 | ) | | $ | 627,290 | |
| | | | | | | | | | | | |
Change in unrealized appreciation/depreciation during the period for Level 3 investments held at June 30, 2022 | | $ | — | | | | | | | | | |
| | | | | | | | | | | | |
The Level 3 investments as of June 30, 2022 represented 0.00% of net assets and did not warrant a disclosure of significant unobservable valuation inputs.
