Morgan Stanley Insight Fund
Consolidated Portfolio of Investments ▪ September 30, 2021 (unaudited)
NUMBER OF SHARES | VALUE | |||||||
Common Stocks (95.5%) | ||||||||
Biotechnology (2.7%) | ||||||||
181,870 | Alnylam Pharmaceuticals, Inc. (a) | $ | 34,338,875 | |||||
1,719,569 | Ginkgo Bioworks Holdings, Inc. (a)(b) | 19,929,805 | ||||||
244,836 | Intellia Therapeutics, Inc. (a) | 32,844,749 | ||||||
299,829 | Moderna, Inc. (a) | 115,392,189 | ||||||
202,505,618 | ||||||||
Diversified Holding Companies (0.8%) | ||||||||
2,577,632 | Altimeter Growth Corp., Class A SPAC (a)(b)(c) | 26,343,399 | ||||||
2,994,000 | BowX Acquisition Corp., Class A SPAC (a)(b) | 29,940,000 | ||||||
56,283,399 | ||||||||
Entertainment (6.6%) | ||||||||
3,581,644 | ROBLOX Corp., Class A (a) | 270,593,204 | ||||||
698,014 | Sea Ltd. ADR (a) | 222,478,002 | ||||||
493,071,206 | ||||||||
Health Care Providers & Services (2.1%) | ||||||||
3,111,578 | Agilon Health, Inc. (a) | 81,554,459 | ||||||
614,325 | Guardant Health, Inc. (a) | 76,796,768 | ||||||
158,351,227 | ||||||||
Health Care Technology (2.9%) | ||||||||
1,023,400 | Agilon Health Topco, Inc. (a)(e) | 26,286,848 | ||||||
653,559 | Veeva Systems, Inc., Class A (a) | 188,336,097 | ||||||
214,622,945 | ||||||||
Information Technology Services (29.1%) | ||||||||
46,356 | Adyen N.V. (a) | 129,581,788 | ||||||
3,319,841 | Cloudflare, Inc., Class A (a) | 373,980,089 | ||||||
754,490 | Fastly, Inc., Class A (a) | 30,511,576 | ||||||
222,975 | MongoDB, Inc. (a) | 105,134,942 | ||||||
333,933 | Shopify, Inc., Class A (a) | 452,739,683 | ||||||
1,470,714 | Snowflake, Inc., Class A (a) | 444,788,035 | ||||||
1,667,847 | Square, Inc., Class A (a) | 400,016,424 | ||||||
737,820 | Twilio, Inc., Class A (a) | 235,401,471 | ||||||
2,172,154,008 | ||||||||
Interactive Media & Services (15.2%) | ||||||||
2,794,052 | Pinterest, Inc., Class A (a) | 142,356,949 | ||||||
5,946,356 | Snap, Inc., Class A (a) | 439,257,318 | ||||||
6,043,113 | Twitter, Inc. (a) | 364,943,594 | ||||||
943,223 | Zillow Group, Inc., Class C (a) | 83,135,675 | ||||||
1,754,403 | ZoomInfo Technologies, Inc., Class A (a) | 107,351,920 | ||||||
1,137,045,456 | ||||||||
Internet & Direct Marketing Retail (11.8%) | ||||||||
3,546,054 | Coupang, Inc. (a) | 98,757,604 | ||||||
1,811,256 | DoorDash, Inc., Class A (a) | 373,082,511 | ||||||
72,072 | MercadoLibre, Inc. (a) | 121,037,717 | ||||||
1,340,399 | Overstock.com, Inc. (a) | 104,443,890 | ||||||
709,930 | Wayfair, Inc., Class A (a) | 181,394,214 | ||||||
878,715,936 | ||||||||
Life Sciences Tools & Services (1.3%) | ||||||||
644,524 | 10X Genomics, Inc., Class A (a) | 93,829,804 | ||||||
Metals & Mining (0.2%) | ||||||||
196,410 | Royal Gold, Inc. | 18,755,191 | ||||||
Pharmaceuticals (2.4%) | ||||||||
4,983,835 | Royalty Pharma PLC, Class A (United Kingdom) | 180,115,797 | ||||||
Real Estate Management & Development (1.1%) | ||||||||
1,659,591 | Redfin Corp. (a) | 83,145,509 |
Morgan Stanley Insight Fund
Consolidated Portfolio of Investments ▪ September 30, 2021 (unaudited) continued
Software (16.7%) | ||||||||
1,015,988 | Bill.Com Holdings, Inc. (a) | 271,217,997 | ||||||
3,895,732 | Cipher Mining Technologies, Inc. (a)(d) | 35,649,454 | ||||||
823,708 | Datadog, Inc., Class A (a) | 116,431,126 | ||||||
7,321,373 | IronSource Ltd., Class A (a)(d) | 72,420,825 | ||||||
2,621,988 | IronSource Ltd., Class A (a) | 28,501,009 | ||||||
56,890 | MicroStrategy, Inc., Class A (a) | 32,905,176 | ||||||
2,652,800 | Trade Desk, Inc. (The), Class A (a) | 186,491,840 | ||||||
570,528 | UiPath, Inc., Class A (a) | 30,015,478 | ||||||
1,643,057 | Unity Software, Inc. (a) | 207,435,946 | ||||||
1,004,626 | Zoom Video Communications, Inc., Class A (a) | 262,709,699 | ||||||
1,243,778,550 | ||||||||
Specialty Retail (2.6%) | ||||||||
633,496 | Carvana Co. (a) | 191,024,384 | ||||||
Total Common Stocks (Cost $5,369,646,448) | 7,123,399,030 |
NUMBER OF WARRANTS | ||||||||
Warrant (0.0%) (f) | ||||||||
Biotechnology (0.0%) (f) | ||||||||
343,914 | Ginkgo Bioworks Holdings, Inc. expires 12/31/27 (a) (Cost $1,145,233) | 1,165,868 |
NUMBER OF SHARES | ||||||||
Preferred Stocks (0.9%) | ||||||||
Electronic Equipment, Instruments & Components (0.0%) | ||||||||
82,075 | Magic Leap, Series C (a)(d)(g) (acquisition cost — $1,890,434; acquired 12/22/15) | — | ||||||
Internet & Direct Marketing Retail (0.1%) | ||||||||
149,242 | Overstock.com, Inc., Series A-1 | 10,708,113 | ||||||
Software (0.8%) | ||||||||
253,991 | Databricks, Inc. (a)(d)(g) (acquisition cost — $55,992,926; acquired 8/31/21) | 55,992,926 | ||||||
197,427 | Lookout, Inc., Series F (a)(d)(g) (acquisition cost — $2,255,228; acquired 6/17/14) | 900,267 | ||||||
56,893,193 | ||||||||
Total Preferred Stocks (Cost $60,960,105) | 67,601,306 | |||||||
Investment Company (0.7%) | ||||||||
1,520,549 | Grayscale Bitcoin Trust (a) (Cost $66,340,465) | 51,470,584 |
NUMBER OF SHARES (000) | ||||||||
Short-Term Investments (3.9%) | ||||||||
Securities held as Collateral on Loaned Securities (0.7%) | ||||||||
Investment Company (0.6%) | ||||||||
39,658 | Morgan Stanley Institutional Liquidity Funds - Treasury Securities Portfolio - Institutional Class (h) (Cost $39,657,581) | 39,657,581 |
Morgan Stanley Insight Fund
Consolidated Portfolio of Investments ▪ September 30, 2021 (unaudited) continued
PRINCIPAL AMOUNT (000) | ||||||||
Repurchase Agreements (0.1%) | ||||||||
$ | 2,073 | HSBC Securities USA, Inc. (0.05%, dated 9/30/21, due 10/1/21; proceeds $2,072,699; fully collateralized by U.S. Government obligations; 0.00%-0.13% due 10/7/21-12/31/22; valued at $2,114,156) | 2,072,696 | |||||
7,047 | Merrill Lynch & Co., Inc. (0.05%, dated 9/30/21, due 10/1/21; proceeds $7,047,176; fully collateralized by a U.S. Government obligation; 0.38% due 4/15/24; valued at $7,188,116) | 7,047,166 | ||||||
Total Securities held as Collateral on Loaned Securities (Cost $48,777,443) | 48,777,443 |
NUMBER OF SHARES (000) | ||||||||||||
Investment Company (3.2%) | ||||||||||||
238,508 | Morgan Stanley Institutional Liquidity Funds - Treasury Securities Portfolio - Institutional Class (h) (Cost $238,507,853) | 238,507,853 | ||||||||||
Total Short-Term Investments (Cost $287,285,296) | 287,285,296 | |||||||||||
Total Investments Excluding Purchased Options (Cost $5,785,377,547) | 101.0 | % | 7,530,922,084 | |||||||||
Total Purchased Options Outstanding (Cost $36,974,302) | 0.1 | % | 8,141,433 | |||||||||
Total Investments (Cost $5,822,351,849) Including $46,724,054 of Securities Loaned (i)(j)(k)(l) | 101.1 | % | 7,539,063,517 | |||||||||
Liabilities in Excess of Other Assets | (1.1 | ) | (79,602,038 | ) | ||||||||
Net Assets | 100.0 | % | $ | 7,459,461,479 |
The Fund had the following Derivative Contracts - PIPE open at September 30, 2021:
Counterparty | Referenced Obligation | Notional Amount | Settlement Date | Unrealized Depreciation | % of Net Assets | |||||||||||
Altimeter Growth Corp. | Grab Holdings Inc.(a)(d)(g)(m)(p) | $ | 61,828,080 | 12/31/21 | $ | (4,958,612 | ) | (0.06 | )% | |||||||
Athena Technology Acquisition Corp. | Heliogen, Inc. (a)(d)(g)(n)(p) | 36,220,370 | 12/31/21 | (4,224,722 | ) | (0.06 | ) | |||||||||
Reinvent Technology Partners Y | Aurora Innovation,Inc. (a)(d)(g)(o)(p) | 25,619,650 | 12/31/21 | (3,613,780 | ) | (0.05 | ) | |||||||||
$ | (12,797,114 | ) | (0.17 | )% |
(a) | Non-income producing security. |
(b) | All or a portion of this security was on loan. The value of loaned securities and related collateral outstanding at September 30, 2021, were $46,724,054 and $49,021,870 respectively. The Fund received cash collateral of $49,021,870, of which $48,777,443 was subsequently invested in Repurchase Agreements and Morgan Stanley Institutional Liquidity Funds - Treasury Securities Portfolio - Institutional Class as reported in the Consolidated Portfolio of Investments. At September 30, 2021, there was uninvested cash of $244,427 which is not reflected in the Consolidated Portfolio of Investments. The Fund has the right under the securities lending agreement to recover the securities from the borrower on demand. |
(c) | For the three months ended September 30, 2021, the cost of purchase and proceeds from sale of Altimeter Growth Corp., Common Stock, and its affiliated broker-dealers, which may be deemed affiliates of the Adviser/Administrator and Distributor under the Investment Company Act of 1940, were approximately $35,303,268 and $958,330, respectively, including net realized gain of approximately $253,571. |
Morgan Stanley Insight Fund
Consolidated Portfolio of Investments ▪ September 30, 2021 (unaudited) continued
(d) | Security cannot be offered for public resale without first being registered under the Securities Act of 1933 and related rules (“restricted security”). Acquisition date represents the day on which an enforceable right to acquire such security is obtained and is presented along with related cost in the security description. The Fund has registration rights for certain restricted securities . Any costs related to such registration are borne by the issuer. The aggregate value of restricted securities and derivative contracts (excluding 144A holdings) at September 30, 2021 amounts to $152,166,358 and represents 2.0% of net assets. |
(e) | Security has been deemed by the investment manager to be illiquid and is subject to restrictions on resale. At September 30, 2021, this security amounted to approximately $26,286,848, which represents 0.4% of net assets of the Fund. |
(f) | Amount is less than 0.05%. |
(g) | At September 30, 2021, the Fund held fair valued securities and derivative contracts valued at $44,096,079, representing 0.6% of net assets. These securities have been fair valued as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees. |
(h) | The Fund invests in the Institutional Class of the Morgan Stanley Institutional Liquidity Funds - Treasury Securities Portfolio - (the "Liquidity Funds"), an open-end management investment company managed by the Adviser, both directly and as a portion of the securities held as collateral on loaned securities. Advisory fees paid by the Fund are reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Fund due to its investment in the Liquidity Funds. For the nine months ended September 30, 2021, advisory fees paid were reduced by $140,916 relating to the Fund's investment in the Liquidity Funds. |
(i) | The approximate fair value and percentage of net assets, $129,581,788 and 1.7%, respectively, represent the securities that have been fair valued under the fair valuation policy for international investments as described in the Notes to the Consolidated Portfolio of Investments. |
(j) | The Fund is permitted to purchase and sell securities ("cross-trade") from and to other Morgan Stanley Funds as well as other funds and client accounts for which the Adviser or an affiliate of the Adviser serves as investment adviser, pursuant to procedures approved by the Trustees in compliance with Rule 17a-7 under the Act (the "Rule"). Each cross-trade is executed at the current market price in compliance with provisions of the Rule. For the nine months ended September 30, 2021, the Fund did not engage in any cross-trade transactions. |
(k) | At September 30, 2021, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $2,076,840,602 and the aggregate gross unrealized depreciation is $372,926,048, resulting in net unrealized appreciation of $1,703,914,554. |
(l) | Securities are available for collateral in connection with securities purchased on a forward commitment basis. |
(m) | Represents an unfunded subscription agreement in a private investment in a public entity. The Fund is committed to purchase 6,182,808 shares at $10.00 per share on the settlement date pursuant to the closing of the business combination between Grab Holdings Inc., and Altimeter Growth Corp., a SPAC. The settlement date shown reflects the estimated date based upon the subscription agreement and is subject to change. The transaction will require the approval of the shareholders of both Altimeter Growth Corp., and Grab Holdings Inc., and is subject to other customary closing conditions, including the receipt of certain regulatory approvals. If these conditions are not met, the Fund is no longer obligated to fulfill its commitment to Altimeter Growth Corp., and Grab Holdings Inc. The investment is restricted from resale until the settlement date. |
(n) | Represents an unfunded subscription agreement in a private investment in a public entity. The Fund is committed to purchase 3,622,037 shares at $10.00 per share on the settlement date pursuant to the closing of the business combination between Heliogen, Inc., and Athena Technology Acquisition Corp., a SPAC. The settlement date shown reflects the estimated date based upon the subscription agreement and is subject to change. The transaction will require the approval of the shareholders of both Athena Technology Acquisition Corp., and Heliogen, Inc., and is subject to other customary closing conditions, including the receipt of certain regulatory approvals. If these conditions are not met, the Fund is no longer obligated to fulfill its commitment to Athena Technology Acquisition Corp., and Heliogen, Inc. The investment is restricted from resale until the settlement date. |
(o) | Represents an unfunded subscription agreement in a private investment in a public entity. The Fund is committed to purchase 2,561,965 shares at $10.00 per share on the settlement date pursuant to the closing of the business combination between Aurora Innovation, Inc., and Reinvent Technology Partners Y, a SPAC. The settlement date shown reflects the estimated date based upon the subscription agreement and is subject to change. The transaction will require the approval of the shareholders of both Reinvent Technology Partners Y, and Aurora Innovation, Inc., and is subject to other customary closing conditions, including the receipt of certain regulatory approvals. If these conditions are not met, the Fund is no longer obligated to fulfill its commitment to Reinvent Technology Partners Y, and Aurora Innovation, Inc. The investment is restricted from resale until the settlement date. |
(p) | Investment is valued based on the underlying stock price and significant unobservable inputs that factor in volatility and discount for lack of marketability and transaction risk and is classified as Level 3 in the fair value hierarchy. |
ADR | American Depositary Receipt. |
PIPE | Private Investment in Public Equity. |
SPAC | Special Purpose Acquisition Company. |
Morgan Stanley Insight Fund
Consolidated Portfolio of Investments ▪ September 30, 2021 (unaudited) continued
Call Options Purchased:
The Fund had the following call options purchased open at September 30, 2021:
Counterparty | Description | Strike Price | Expiration Date | Number of Contracts | Notional Amount (000) | Value | Premiums Paid | Unrealized Depreciation | |||||||||||||||||||
BNP Paribas | USD/CNH | CNH | 7.45 | Jan-22 | 1,415,479,829 | 1,415,480 | $ | 121,731 | $ | 7,555,803 | $ | (7,434,072 | ) | ||||||||||||||
BNP Paribas | USD/CNH | CNH | 7.64 | Nov-21 | 1,137,180,586 | 1,137,181 | 2,274 | 6,175,633 | (6,173,359 | ) | |||||||||||||||||
Goldman Sachs International | USD/CNH | CNH | 7.57 | Mar-22 | 1,458,081,129 | 1,458,081 | 562,819 | 7,242,384 | (6,679,565 | ) | |||||||||||||||||
JP Morgan Chase Bank NA | USD/CNH | CNH | 7.28 | Jul-22 | 1,715,752,843 | 1,715,753 | 4,347,718 | 7,993,418 | (3,645,700 | ) | |||||||||||||||||
JP Morgan Chase Bank NA | USD/CNH | CNH | 7.31 | Aug-22 | 790,635,623 | 790,636 | 2,040,631 | 5,369,997 | (3,329,366 | ) | |||||||||||||||||
JP Morgan Chase Bank NA | USD/CNH | CNH | 7.38 | Jul-22 | 497,090,986 | 497,091 | 1,066,260 | 2,637,067 | (1,570,807 | ) | |||||||||||||||||
$ | 8,141,433 | $ | 36,974,302 | $ | (28,832,869 | ) |
CNH | — | Chinese Yuan Renminbi Offshore |
USD | — | United States Dollar |
INDUSTRY† | VALUE | PERCENT OF TOTAL INVESTMENTS | ||||||
Information Technology Services | $ | 2,172,154,008 | 28.9 | % | ||||
Software | 1,300,671,743 | 17.3 | ||||||
Interactive Media & Services | 1,137,045,456 | 15.1 | ||||||
Internet & Direct Marketing Retail | 889,424,049 | 11.9 | ||||||
Entertainment | 493,071,206 | 6.6 | ||||||
Investment Companies | 289,978,437 | 3.9 | ||||||
Health Care Technology | 214,622,945 | 2.9 | ||||||
Biotechnology | 203,671,486 | 2.7 | ||||||
Specialty Retail | 191,024,384 | 2.6 | ||||||
Pharmaceuticals | 180,115,797 | 2.4 | ||||||
Health Care Providers & Services | 158,351,227 | 2.1 | ||||||
Life Sciences Tools & Services | 93,829,804 | 1.3 | ||||||
Real Estate Management & Development | 83,145,509 | 1.1 | ||||||
Diversified Holding Companies | 56,283,399 | 0.8 | ||||||
Metals & Mining | 18,755,191 | 0.3 | ||||||
Call Options Purchased | 8,141,433 | 0.1 | ||||||
Electronic Equipment, Instruments & Components | — | †† | 0.0 | |||||
$ | 7,490,286,074 | †† | 100.0 | %* |
† | Does not reflect the value of securities held as collateral on loaned securities. |
†† | Includes a security valued at zero. |
* | Does not include open PIPE contracts with total unrealized depreciation of $12,797,114. |
Morgan Stanley Insight Fund
Notes to Consolidated Portfolio of Investments ▪ September 30, 2021 (unaudited)
Valuation of Investments - (1) An equity portfolio security listed or traded on an exchange is valued at its latest reported sales price (or at the exchange official closing price if such exchange reports an official closing price), and if there were no sales on a given day and if there is no official exchange closing price for that day, the security is valued at the mean between the last reported bid and asked prices if such bid and asked prices are available on the relevant exchanges. If only bid prices are available then the latest bid price may be used. Listed equity securities not traded on the valuation date with no reported bid and asked prices available on the exchange are valued at the mean between the current bid and asked prices obtained from one or more reputable brokers or dealers. In cases where a security is traded on more than one exchange, the security is valued on the exchange designated as the primary market; (2) all other equity portfolio securities for which over-the-counter (“OTC”) market quotations are readily available are valued at the latest reported sales price (or at the market official closing price if such market reports an official closing price), and if there was no trading in the security on a given day and if there is no official closing price from relevant markets for that day, the security is valued at the mean between the last reported bid and asked prices if such bid and asked prices are available on the relevant markets. An unlisted equity security that does not trade on the valuation date and for which bid and asked prices from the relevant markets are unavailable is valued at the mean between the current bid and asked prices obtained from one or more reputable brokers or dealers; (3) when market quotations are not readily available, including circumstances under which Morgan Stanley Investment Management Inc. (the "Adviser"), a wholly-owned subsidiary of Morgan Stanley determines that the closing price, last sale price or the mean between the last reported bid and asked prices are not reflective of a security's market value, portfolio securities are valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Fund’s Board of Trustees (the "Trustees"). Occasionally, developments affecting the closing prices of securities and other assets may occur between the times at which valuations of such securities are determined (that is, close of the foreign market on which the securities trade) and the close of business on the New York Stock Exchange ("NYSE"). If developments occur during such periods that are expected to materially affect the value of such securities, such valuations may be adjusted to reflect the estimated fair value of such securities as of the close of the NYSE, as determined in good faith by the Trustees or by the Adviser using a pricing service and/or procedures approved by the Trustees; (4) quotations of foreign portfolio securities, other assets and liabilities and forward contracts stated in foreign currency are translated into U.S. dollar equivalents at the prevailing market rates prior to the close of the NYSE; (5) listed options are valued at the last reported sales price on the exchange on which they are listed (or at the exchange official closing price if such exchange reports an official closing price). If an official closing price or last reported sales price is unavailable, the listed option should be fair valued at the mean between its latest bid and ask prices. Unlisted options are valued at the mean between their latest bid and ask prices from a broker/dealer or valued by a pricing service/vendor; (6) certain portfolio securities may be valued by an outside pricing service/vendor approved by the Trustees. The pricing service/vendor may employ a pricing model that takes into account, among other things, bids, yield spreads and/or other market data and specific security characteristics. Alternatively, if a valuation is not available from an outside pricing service/vendor and the security trades on an exchange, the security may be valued at its latest reported sale price (or at the exchange official closing price if such exchange reports an official closing price) prior to the time when assets are valued. If there are no sales on a given day and if there is no official exchange closing price for that day, the security is valued at the mean between the last reported bid and asked prices if such bid and asked prices are available in the relevant exchanges. If only bid prices are available then the latest bid price may be used. If the Adviser, a wholly-owned subsidiary of Morgan Stanley, determines that the price provided by the outside pricing service/vendor or exchange does not reflect the security’s fair value or is unable to provide a price, prices from brokers or dealers may also be utilized. In these circumstances, the value of the security will be the mean of bid and asked prices obtained from brokers or dealers; (7) PIPE investments may be valued based on the underlying stock price less a discount until the commitment is fulfilled and shares are registered; and (8) investments in mutual funds, including the Morgan Stanley Institutional Liquidity Funds, are valued at the net asset value as of the close of each business day.
The Trustees have responsibility for determining in good faith the fair value of the investments, and the Trustees may appoint others, such as the Fund’s Adviser or a valuation committee, to assist the Trustees in determining fair value and to make the actual calculations pursuant to the fair valuation methodologies previously approved by the Trustees. Under procedures approved by the Trustees, the Fund's Adviser has formed a Valuation Committee whose members are approved by the Trustees. The Valuation Committee provides administration and oversight of the Fund’s valuation policies and procedures, which are reviewed at least annually by the Trustees. These procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.
Fair Valuation Measurements
Financial Accounting Standards Board (“FASB”) Accounting Standards CodificationTM ("ASC") 820, "Fair Value Measurement" ("ASC 820"), defines fair value as the value that the Fund would receive to sell an investment or pay to transfer a liability in a timely transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. ASC 820 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in valuing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs); and (2) inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in valuing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Fund's investments. The inputs are summarized in the three broad levels listed below:
• Level 1 – unadjusted quoted prices in active markets for identical investments
• Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
• Level 3 – significant unobservable inputs including the Fund’s own assumptions in determining the fair value of investments. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer's financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to each security.
The following is a summary of the inputs used to value the Fund's investments as of September 30, 2021:
Investment Type | Level 1 Unadjusted quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Biotechnology | $ | 202,505,618 | $ | — | $ | — | $ | 202,505,618 | ||||||||
Diversified Holding Companies | 56,283,399 | — | — | 56,283,399 | ||||||||||||
Entertainment | 493,071,206 | — | — | 493,071,206 | ||||||||||||
Health Care Providers & Services | 158,351,227 | — | — | 158,351,227 | ||||||||||||
Health Care Technology | 188,336,097 | 26,286,848 | — | 214,622,945 | ||||||||||||
Information Technology Services | 2,042,572,220 | 129,581,788 | — | 2,172,154,008 | ||||||||||||
Interactive Media & Services | 1,137,045,456 | — | — | 1,137,045,456 | ||||||||||||
Internet & Direct Marketing Retail | 878,715,936 | — | — | 878,715,936 | ||||||||||||
Life Sciences Tools & Services | 93,829,804 | — | — | 93,829,804 | ||||||||||||
Metals & Mining | 18,755,191 | — | — | 18,755,191 | ||||||||||||
Pharmaceuticals | 180,115,797 | — | — | 180,115,797 | ||||||||||||
Real Estate Management & Development | 83,145,509 | — | — | 83,145,509 | ||||||||||||
Software | 1,135,708,271 | 108,070,279 | — | 1,243,778,550 | ||||||||||||
Specialty Retail | 191,024,384 | — | — | 191,024,384 | ||||||||||||
Total Common Stocks | 6,859,460,115 | 263,938,915 | — | 7,123,399,030 | ||||||||||||
Warrant | 1,165,868 | — | — | 1,165,868 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Electronic Equipment, Instruments & Components | — | — | — | † | — | † | ||||||||||
Internet & Direct Marketing Retail | 10,708,113 | — | — | 10,708,113 | ||||||||||||
Software | — | — | 56,893,193 | 56,893,193 | ||||||||||||
Total Preferred Stocks | 10,708,113 | — | 56,893,193 | † | 67,601,306 | † | ||||||||||
Investment Company | 51,470,584 | — | — | 51,470,584 | ||||||||||||
Call Options Purchased | — | 8,141,433 | — | 8,141,433 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Investment Company | 278,165,434 | — | — | 278,165,434 | ||||||||||||
Repurchase Agreements | — | 9,119,862 | — | 9,119,862 | ||||||||||||
Total Short-Term Investments | 278,165,434 | 9,119,862 | — | 287,285,296 | ||||||||||||
Total Assets | 7,200,970,114 | 281,200,210 | 56,893,193 | † | 7,539,063,517 | † | ||||||||||
Liabilities: | — | — | — | — | ||||||||||||
Derivative Contracts — PIPE | — | — | (12,797,114 | ) | (12,797,114 | ) | ||||||||||
Total | $ | 7,200,970,114 | $ | 281,200,210 | $ | 44,096,079 | † | $ | 7,526,266,403 | † |
† Includes a security valued at zero.
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes.
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
COMMON STOCK | PREFERRED STOCKS | DERIVATIVE CONTRACTS — PIPE | ||||||||||
Beginning Balance | $ | 6,032,738 | $ | 612,024 | † | $ | - | |||||
Purchases | - | 55,992,926 | - | |||||||||
Sales | - | - | - | |||||||||
PIPE transactions | - | - | (12,797,114 | ) | ||||||||
Amortization of discount | - | - | - | |||||||||
Transfers in | - | - | - | |||||||||
Transfers out | (6,032,738 | )†† | - | - | ||||||||
Corporate actions | - | - | - | |||||||||
Change in unrealized appreciation (depreciation) | - | 288,243 | - | |||||||||
Realized gains (losses) | - | - | - | |||||||||
Ending Balance | $ | - | $ | 56,893,193 | † | $ | (12,797,114 | ) | ||||
Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2021 | $ | - | $ | 288,243 | $ | (12,797,114 | ) |
† | Includes a security valued at zero. |
†† | A security transferred out of level 3 due to an Initial Public Offering. |
The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 as of September 30, 2021. Various valuation techniques were used in the valuation of certain investments and weighted based on the level of significance. The Fund calculated the weighted averages of the unobservable inputs relative to each investment’s fair value as of September 30, 2021.
Fair Value at September 30, 2021 | Valuation Technique | Unobservable Input | Amount or Range/ Weighted Average* | Impact to Valuation from an Increase in Input** | ||||||||||
Preferred Stocks | $ | 56,893,193 | Market Transaction Method | Precedent Transaction | $220.45 | Increase | ||||||||
Discounted Cash Flow | Weighted Average Cost of Capital | 12.5% | Decrease | |||||||||||
Perpetual Growth Rate | 3.5% | Increase | ||||||||||||
Market Comparable Companies | Enterprise Value/Revenue | 8.0x | Increase | |||||||||||
Discount for Lack of Marketability | 12.0% | Decrease | ||||||||||||
PIPE | $ | (12,797,114 | ) | Market Implied | Discount for Lack of Marketability and Transaction Risk | 10.0% - 13.5% / 11.0% | Decrease |
* | Amount is indicative of the weighted average. |
** | Represents the expected directional change in the fair value of the Level 3 investments that would result from an increase in the corresponding input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs could result in significantly higher or lower fair value measurements. |