Altaba (AABA) NPORT-P Altaba Inc. (Mar 2020 report)

Altaba Inc.
Consolidated Schedule of Investments
As of March 31, 2020
($ in thousands)
Description					Shares		Fair Value $
Unaffiliated Investments:
Common Shares — 0.0%
Internet Software & Services - 0.0%
SeatGeek, Inc. (1)(2)						47,463		185
Total Common Shares (Cost — $9)								185
Fixed Income Securities		Rate % (3)		Final Maturity (4)	Principal $		Fair Value $
Money Market Funds — 37.7%
Fidelity Government Portfolio - Class I			0.34			1,142,826		1,142,826
Federated Government Obligations Fund - Premier Shares			0.37			3,514,673		3,514,673
Total Money Market Investments (Cost — $4,657,499)						4,657,499		4,657,499
	Rate Type		Rate % (5)(6)	Final Maturity		Principal $		Fair Value $
Short Term
Corporate Debt — 1.3%
Financial — 0.7%
Mass Mutual Global Funding II	Fixed		1.95	9/22/2020		20,000		20,072
Protective Life Global Funding	Fixed		2.16	9/25/2020		7,000		6,943
US Bank	Fixed		2.05	10/23/2020		25,000		25,000
Wells Fargo Bank	Fixed		2.60	1/15/2021		35,000		35,181
Total						87,000		87,196
Industrial — 0.6%
American Honda Finance Corp	Fixed		2.45	9/24/2020		20,000		19,858
American Honda Finance Corp	Fixed		2.65	2/12/2021		12,500		12,500
American Honda Finance Corp	Floating	1.92 (3 month LIBOR USD + 0.21)		2/12/2021		12,500		12,369
Apple Inc.	Floating	1.80 ( 3 month LIBOR USD + 0.07)		5/11/2020		7,000		6,997
Intel Corp	Floating	1.81 ( 3 month LIBOR USD + 0.08)		5/11/2020		11,000		10,910
Toyota Motor Credit Corporation	Floating	2.10 ( 3 month LIBOR USD + 0.26)		4/17/2020		12,000		12,003
Total						75,000		74,637
Total Corporate Debt (Cost — $161,756)						162,000		161,833
Commercial Paper — 51.6%
Allianz Finance Corporation	Zero Coupon		1.90	4/15/2020		30,000		29,976
Allianz Finance Corporation	Zero Coupon		1.79	5/19/2020		28,000		27,932
Australia and New Zealand Banking Group Limited	Zero Coupon		1.49	4/2/2020		75,000		74,994
Australia and New Zealand Banking Group Limited	Zero Coupon		1.49	4/20/2020		20,000		19,983
Australia and New Zealand Banking Group Limited	Zero Coupon		1.53	5/8/2020		15,000		14,976
Australia and New Zealand Banking Group Limited	Zero Coupon		1.53	5/26/2020		60,000		59,858
Bank of Nova Scotia	Zero Coupon		1.04	4/17/2020		50,000		49,975
Bank of Nova Scotia	Zero Coupon		1.04	4/23/2020		50,000		49,967
Bank of Nova Scotia	Zero Coupon		1.19	7/17/2020		35,000		34,875
Bank of Nova Scotia	Zero Coupon		1.19	7/24/2020		50,000		49,809
Bank of Nova Scotia	Zero Coupon		1.20	8/10/2020		100,000		99,561
BMW US Capital, LLC	Zero Coupon		1.55	4/14/2020		50,000		49,970
Canadian Imperial Bank of Commerce	Zero Coupon		1.80	4/1/2020		150,000		149,993
Canadian Imperial Bank of Commerce	Zero Coupon		1.79	4/3/2020		50,000		49,993
Canadian Imperial Bank of Commerce	Zero Coupon		1.79	4/28/2020		75,000		74,895
Cummins, Inc.	Zero Coupon		1.75	4/28/2020		115,000		114,844
Eli Lilly and Company	Zero Coupon		1.81	4/13/2020		175,000		174,886
Eli Lilly and Company	Zero Coupon		1.91	5/18/2020		65,000		64,835
Eli Lilly and Company	Zero Coupon		1.91	5/22/2020		200,000		199,449
Eli Lilly and Company	Zero Coupon		2.11	8/4/2020		127,000		126,062
Emerson Electric Co.	Zero Coupon		2.01	4/21/2020		65,000		64,924
Emerson Electric Co.	Zero Coupon		2.01	4/24/2020		100,000		99,866
Emerson Electric Co.	Zero Coupon		2.01	4/27/2020		100,000		99,849
Exxon Mobil Corporation	Zero Coupon		1.91	4/3/2020		50,000		49,992
Exxon Mobil Corporation	Zero Coupon		1.91	4/9/2020		20,000		19,990
Exxon Mobil Corporation	Zero Coupon		2.01	5/4/2020		50,000		49,905
Exxon Mobil Corporation	Zero Coupon		2.01	6/4/2020		75,000		74,728
Exxon Mobil Corporation	Zero Coupon		2.01	6/5/2020		45,000		44,834
Exxon Mobil Corporation	Zero Coupon		2.01	6/11/2020		75,000		74,699
Exxon Mobil Corporation	Zero Coupon		2.01	6/26/2020		30,000		29,854
Exxon Mobil Corporation	Zero Coupon		2.01	6/29/2020		50,000		49,749
Exxon Mobil Corporation	Zero Coupon		2.01	7/22/2020		22,000		21,861
Fédération des caisses Desjardins du Québec	Zero Coupon		1.57	4/9/2020		25,000		24,990
Fédération des caisses Desjardins du Québec	Zero Coupon		1.74	7/17/2020		100,000		99,479
Groupe BPCE	Zero Coupon		1.77	8/10/2020		50,000		49,676
Groupe BPCE	Zero Coupon		1.67	9/16/2020		100,000		99,216
Groupe BPCE	Zero Coupon		1.67	9/30/2020		100,000		99,149
Henkel Corporation	Zero Coupon		1.98	4/6/2020		90,000		89,970
Henkel Corporation	Zero Coupon		1.99	4/20/2020		30,000		29,967
Henkel Corporation	Zero Coupon		2.00	4/29/2020		30,000		29,952
Henkel Corporation	Zero Coupon		2.00	5/5/2020		40,000		39,922
Henkel Corporation	Zero Coupon		1.99	5/15/2020		50,000		49,876
ING Funding LLC	Zero Coupon		1.18	5/1/2020		100,000		99,898
ING Funding LLC	Zero Coupon		1.33	6/3/2020		100,000		99,763
John Deere Capital Corporation	Zero Coupon		2.07	4/20/2020		24,000		23,972
John Deere Capital Corporation	Zero Coupon		2.07	4/21/2020		50,000		49,940
John Deere Capital Corporation	Zero Coupon		2.07	4/27/2020		30,000		29,953
John Deere Capital Corporation	Zero Coupon		2.07	4/28/2020		100,000		99,839
John Deere Capital Corporation	Zero Coupon		2.13	5/14/2020		40,000		39,896
Koch Industries, Inc.	Zero Coupon		2.02	4/3/2020		40,000		39,993
Koch Industries, Inc.	Zero Coupon		2.03	4/8/2020		150,000		149,932
Koch Industries, Inc.	Zero Coupon		2.02	4/9/2020		300,000		299,849
Koch Industries, Inc.	Zero Coupon		2.08	4/17/2020		50,000		49,951
National Australia Bank Limited	Zero Coupon		1.39	4/28/2020		20,000		19,978
Nestle Capital Corporation	Zero Coupon		1.57	4/28/2020		144,000		143,825
Nestle Capital Corporation	Zero Coupon		2.06	6/9/2020		50,000		49,800
Nestle Capital Corporation	Zero Coupon		2.06	8/13/2020		50,000		49,614
Nestle Capital Corporation	Zero Coupon		2.06	8/17/2020		25,000		24,801
Nestle Capital Corporation	Zero Coupon		2.06	8/19/2020		50,000		49,597
Nestle Capital Corporation	Zero Coupon		2.06	9/14/2020		25,000		24,761
PACCAR Financial Corp.	Zero Coupon		1.75	4/23/2020		15,000		14,983
PACCAR Financial Corp.	Zero Coupon		1.78	5/26/2020		45,000		44,876
Roche Holdings, Inc.	Zero Coupon		1.39	4/2/2020		75,000		74,994
Roche Holdings, Inc.	Zero Coupon		1.39	4/3/2020		50,000		49,994
Roche Holdings, Inc.	Zero Coupon		1.40	4/8/2020		110,000		109,966
Roche Holdings, Inc.	Zero Coupon		1.40	4/14/2020		30,000		29,984
Roche Holdings, Inc.	Zero Coupon		1.43	4/20/2020		40,000		39,968
Roche Holdings, Inc.	Zero Coupon		1.41	4/30/2020		20,000		19,977
Santander UK plc	Zero Coupon		1.65	7/1/2020		80,000		79,663
Santander UK plc	Zero Coupon		1.67	8/18/2020		60,000		59,611
Santander UK plc	Zero Coupon		1.57	9/8/2020		80,000		79,440
Santander UK plc	Zero Coupon		1.57	9/11/2020		100,000		99,286
Simon Property Group, L.P.	Zero Coupon		1.51	4/1/2020		50,000		49,998
Simon Property Group, L.P.	Zero Coupon		1.52	4/9/2020		50,000		49,981
Simon Property Group, L.P.	Zero Coupon		1.58	4/13/2020		30,000		29,983
Simon Property Group, L.P.	Zero Coupon		1.53	4/17/2020		30,000		29,978
Simon Property Group, L.P.	Zero Coupon		1.54	4/27/2020		28,000		27,968
Simon Property Group, L.P.	Zero Coupon		1.56	5/20/2020		25,000		24,946
Sumitomo Mitsui Banking Corporation	Zero Coupon		1.66	5/15/2020		100,000		99,793
The Coca-Cola Company	Zero Coupon		2.11	4/15/2020		12,500		12,489
The Coca-Cola Company	Zero Coupon		2.11	4/17/2020		25,000		24,975
The Coca-Cola Company	Zero Coupon		2.12	5/8/2020		10,000		9,978
The Coca-Cola Company	Zero Coupon		2.20	6/15/2020		88,000		87,590
The Coca-Cola Company	Zero Coupon		2.21	6/19/2020		65,000		64,681
The Coca-Cola Company	Zero Coupon		2.19	7/20/2020		25,000		24,831
The Coca-Cola Company	Zero Coupon		2.19	7/21/2020		15,000		14,898
The Coca-Cola Company	Zero Coupon		2.19	7/23/2020		32,070		31,848
The Coca-Cola Company	Zero Coupon		2.23	8/13/2020		48,000		47,598
The Coca-Cola Company	Zero Coupon		2.20	8/18/2020		70,000		69,402
The Coca-Cola Company	Zero Coupon		2.09	9/15/2020		90,000		89,120
The Coca-Cola Company	Zero Coupon		2.10	9/22/2020		25,000		24,745
The Toronto-Dominion Bank	Zero Coupon		2.51	4/24/2020		100,000		99,833
The Toronto-Dominion Bank	Zero Coupon		2.46	5/5/2020		40,000		39,904
The Toronto-Dominion Bank	Zero Coupon		2.59	6/26/2020		60,000		59,624
Total Capital Canada Ltd.	Zero Coupon		1.28	4/14/2020		75,000		74,963
Toyota Motor Credit Corporation	Zero Coupon		1.32	4/27/2020		35,000		34,965
Toyota Motor Credit Corporation	Zero Coupon		1.45	7/20/2020		15,000		14,933
Toyota Motor Credit Corporation	Zero Coupon		1.45	7/21/2020		75,000		74,662
Unilever Capital Corporation	Zero Coupon		1.81	4/7/2020		120,000		119,958
Unilever Capital Corporation	Zero Coupon		1.81	4/14/2020		80,000		79,944
USAA Capital Corporation	Zero Coupon		1.41	6/2/2020		100,000		99,754
Total Commercial Paper (Cost — $6,371,787)						6,388,570		6,370,727
Certificates of Deposits — 7.0%
Bank of Montreal	Fixed		1.80	7/10/2020		100,000		100,194
Bank of Montreal	Fixed		1.80	7/2/2020		75,000		75,134
Bank of Montreal	Floating	1.97 (3 month LIBOR USD + 0.06)		4/3/2020		65,000		64,999
Bank of Nova Scotia	Floating	1.72 (1 month LIBOR USD + 0.14)		4/2/2020		200,000		200,020
Bank of Nova Scotia	Floating	1.17 (1 month LIBOR USD + 0.16)		4/9/2020		150,000		150,021
Bank of Nova Scotia	Floating	0.35 (Daily EFFR USD + 0.26)		4/16/2020		150,000		149,948
BNP Paribas	Fixed		1.85	7/2/2020		50,000		50,096
BNP Paribas	Floating	0.88 (3 month LIBOR USD + 0.10)		9/11/2020		75,000		74,466
Total Certificates of Deposits (Cost — $865,000)						865,000		864,878
Agency Notes - 2.0%
Federal Home Loan Banks	Zero Coupon		0.12	4/9/2020		50,000		49,998
Federal Home Loan Banks	Zero Coupon		0.14	5/28/2020		100,000		99,978
Federal Home Loan Banks	Zero Coupon		0.15	6/12/2020		100,000		99,970
Total Agency Notes (Cost — $249,416)						250,000		249,946
U.S. Government Debt — 3.9%
United States Treasury	Fixed		2.63	8/15/2020		71,567		72,137
United States Treasury	Fixed		2.13	8/31/2020		100,000		100,797
United States Treasury	Fixed		1.38	9/15/2020		100,000		100,547
United States Treasury	Fixed		2.00	9/30/2020		100,000		100,906
United States Treasury	Fixed		2.75	9/30/2020		100,000		101,266
Total U.S. Government Debt (Cost — $472,648)						471,567		475,653
Total Short Term Fixed Income Securities (Cost — $8,120,607) — 65.8%						8,137,137		8,123,037

Investment in Controlled Affiliate	Units		Fair Value $
Internet Software & Services
Excalibur IP, LLC (1)(2)		2,715		-
Total Investment in Controlled Affiliate (Cost — $0) — 0.0%				-

Total Unaffiliated Investments (Cost — $12,778,115)	12,794,636		12,780,721
Total Investments — 103.5%			12,780,721
Other Liabilities/Other Assets — (3.5)%			(426,288	)
Net Assets Applicable to Common Shares  — 100.0%		$	12,354,433

(1) Non-income producing securities.

(2) Fair-value investment.  Represents fair value measured in good faith under procedures approved by the Board of Directors, aggregate holdings equal to less than 1% of the net assets of the Fund.

(3) Presented rate represents the Money Market Fund's average 7-day % yield as of March 31, 2020.

(4) Money Market Funds do not have a set maturity date. 

(5) For fixed and floating rate bonds, the rate presented is the coupon rate as of March 31, 2020. LIBOR stands for London Interbank Offered Rate.  EFFR stands for Effective Federal Funds Rate.

(6) For zero coupon bonds, the rate presented is Yield as of March 31, 2020.

At March 31, 2020, the tax basis cost of the Fund's investments was $12,885,431 and the unrealized appreciation and depreciation were $3,785 and $108,495, respectively, with a net unrealized depreciation of $104,710.

Hierarchy of Fair Value Inputs

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1—Unadjusted quoted prices in active markets for identical assets or 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 on 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 that relevant observable inputs are not available, representing management’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.

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 following table reflects the valuation level used in the consolidated schedule of investments as of March 31, 2020 for the Fund’s assets (in thousands):

	Level 1		Level 2		Level 3		Total
Unaffiliated investments:
Common shares	$	-	$	-	$	185	$	185
Money market funds		4,657,499		-		-		4,657,499
Fixed income securities:
Corporate debt		-		161,833		-		161,833
Commercial paper		-		6,370,727		-		6,370,727
Certificates of deposits		-		864,878		-		864,878
Agency notes		-		249,946		-		249,946
U.S. government debt		-		475,653		-		475,653
Investment in controlled affiliate:
Excalibur (1)		-		-		-		-
Total financial assets at fair value	$	4,657,499	$	8,123,037	$	185	$	12,780,721

⁽¹⁾ Excalibur assets relates to the Fund's patent portfolio.

The following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining fair value (in thousands):

	Assets
	Total Investments in Securities		Unaffiliated Investments		Investment in Controlled Affiliate
Balance as of January 1, 2020	$	52,685	$	185	$	52,500
Purchases		-		-		-
Sales		(52,500)		-		(52,500)
Change in unrealized appreciation (depreciation)		(52,500)		-		(52,500)
Realized gain (loss)		52,500		-		52,500
Transfers out of Level 3		-		-		-
Balance as of March 31, 2020	$	185	$	185	$	-

The fair values of Altaba’s Level 1 financial assets and liabilities are based on quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. The fair values of Altaba’s Level 2 financial assets and liabilities are obtained using quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar assets in markets that are not active; and inputs other than quoted prices (e.g., interest rates and yield curves). Altaba utilizes a pricing service to assist in obtaining fair value pricing for the marketable debt securities.

Type of investment	Fair Value at March 31, 2020 (in thousands)		Valuation Technique	Unobservable Inputs
Unaffiliated investments - common shares	$	185	Valuation model	Price per share	$	3.90
Investment in controlled affiliate - Excalibur	$	-	Market approach	Number of patents plus applications pending		2,715

Investments in Affiliates

 If the Fund’s holding represents ownership of 5% or more of voting securities of a company, the company is deemed to be an affiliate as defined in the 1940 Act. The Fund had the following transactions during the period ended March 31, 2020 with affiliated companies⁽¹⁾⁽¹⁾:

 

	Excalibur IP, LLC
Balance of patents held and applications pending at January 1, 2020		2,863
Change in patents held		(148)
Balance of patents held and applications pending at March 31, 2020		2,715
Fair value as of March 31, 2020(2)	$	-
Change in unrealized appreciation (depreciation)(2)	$	(52,500)
Distributions	$	-
Net realized gain (loss)(2)	$	52,500

(1) Affiliated issuer, as defined in the 1940 Act.

(2) In thousands.