FEG Absolute Access Fund LLC
Schedule of Investments
June 30, 2020
(Unaudited)
| Investment Name | Original Acquisition Date | Cost | Fair Value | Percentage of Members’ Capital | Withdrawals Permitted (1) | Redemption Notice Period (1) | ||||||||||||||||
| Investments in Portfolio Funds: (2) | ||||||||||||||||||||||
| United States: | ||||||||||||||||||||||
| Multi-Strategy: (3) | ||||||||||||||||||||||
| Atalan Partners, L.P. | 11 | /2018 | 7,273,953 | 8,633,913 | 6.4 | Quarterly (6) | 60 days | |||||||||||||||
| CVI Global Value Fund A, L.P., Class H(4) | 5 | /2008 | 6,631 | 22,907 | 0.0 | Quarterly (7) | 120 days | |||||||||||||||
| Eton Park Fund, L.P., Class B(4) | 6 | /2009 | 21,805 | 35,712 | 0.0 | Quarterly | 65 days | |||||||||||||||
| Farallon Capital Partners, L.P.(4) | 4 | /2008 | 43,812 | 33,699 | 0.0 | Semi-Annually (5) | 45 days | |||||||||||||||
| Fir Tree Capital Opportunity Fund, L.P. | 4 | /2011 | 4,520,922 | 5,117,280 | 3.8 | Annually (5) | 90 days | |||||||||||||||
| Governors Lane Onshore Fund, L.P. | 6 | /2015 | 3,500,000 | 3,796,294 | 2.8 | Annually (5) | 65 days | |||||||||||||||
| GSO Special Situations Fund, L.P.(4) | 4 | /2008 | 8,120 | 34,208 | 0.0 | Semi-Annually (5) | 90 days | |||||||||||||||
| HBK Multi-Strategy Fund, L.P., Class A | 11 | /2009 | 8,438,875 | 11,918,349 | 8.8 | Quarterly | 90 days | |||||||||||||||
| Highfields Capital II, L.P.(4) | 7 | /2008 | 5,273 | 3,445 | 0.0 | Annually (7) | 60 days | |||||||||||||||
| Indaba Capital Partners, L.P. | 6 | /2019 | 8,879,329 | 8,476,598 | 6.3 | Quarterly | 90 days | |||||||||||||||
| Junto Capital Partners, L.P. | 11 | /2018 | 9,246,307 | 10,353,886 | 7.6 | Quarterly(8) | 45 days | |||||||||||||||
| Lion Point Associates, L.P. | 2 | /2018 | 4,000,000 | 4,107,345 | 3.0 | Semi-Annually | 60 days | |||||||||||||||
| Nut Tree Onshore Fund, L.P. | 6 | /2019 | 3,493,990 | 3,497,311 | 2.6 | Quarterly | 75 days | |||||||||||||||
| Renaissance Institutional Equities Fund LLC | 1 | /2020 | 10,000,000 | 8,487,057 | 6.3 | Monthly | 30 days | |||||||||||||||
| Sculptor Asia Domestic Partners, L.P.(4)(12) | 4 | /2013 | 480,532 | 743,388 | 0.5 | Quarterly (5) | 45 days | |||||||||||||||
| Securis Event Fund (US), L.P. | 12 | /2017 | 717,846 | 666,029 | 0.5 | Semi-Annually | 60 days | |||||||||||||||
| Stark Investments, L.P., Class A (4) | 1 | /2010 | 143,844 | 145,403 | 0.1 | Quarterly | 90 days | |||||||||||||||
| Taconic Opportunity Fund, L.P. | 3 | /2020 | 10,000,000 | 9,567,102 | 7.1 | Quarterly | 60 days | |||||||||||||||
| Total United States: | 70,781,239 | 75,639,926 | 55.8 | |||||||||||||||||||
| Cayman Islands: | ||||||||||||||||||||||
| Multi-Strategy: (3) | ||||||||||||||||||||||
| Autonomy Global Macro Fund, Limited | 12 | /2017 | 9,230,508 | 9,378,939 | 6.9 | Monthly (5) | 60 days | |||||||||||||||
| Davidson Kempner International (BVI), Ltd. | 4 | /2020 | 6,000,000 | 6,315,282 | 4.7 | Quarterly(9) | 60 days | |||||||||||||||
| Elliott International, Ltd. | 1 | /2015 | 14,180,728 | 20,255,535 | 15.0 | Quarterly(7) | 60 days | |||||||||||||||
| Highfields Capital, Ltd.(4) | 12 | /2014 | 1,123,666 | 742,521 | 0.5 | Annually(10) | 60 days | |||||||||||||||
| Myriad Opportunities US Fund, Limited | 11 | /2017 | 137,879 | 131,466 | 0.1 | Quarterly (5) | 60 days | |||||||||||||||
| Nut Tree Offshore Fund, Ltd. | 1 | /2019 | 6,458,136 | 6,757,385 | 5.0 | Quarterly (5) | 75 days | |||||||||||||||
| Parallax Offshore Investors Fund, Ltd. | 4 | /2019 | 6,082,918 | 6,185,495 | 4.6 | Quarterly | 45 days | |||||||||||||||
| Systematica Alternative Markets Fund, Limited | 5 | /2016 | 3,989,432 | 5,154,597 | 3.8 | Monthly | 30 days | |||||||||||||||
| Total Cayman Islands: | 47,203,267 | 54,921,220 | 40.6 | |||||||||||||||||||
| Total Investments in Portfolio Funds | $ | 117,984,506 | $ | 130,561,146 | 96.4 | % | ||||||||||||||||
FEG Absolute Access Fund LLC
Schedule of Investments (continued)
| Investment Name | Cost | Fair Value | Percentage of Members’ Capital | |||||||||
| Short-term investments: | ||||||||||||
| United States: | ||||||||||||
| Money market fund: | ||||||||||||
| Fidelity Investments Money Market Treasury Funds Portfolio - Class I, 0.06% (11) | $ | 5,036,494 | $ | 5,036,494 | 3.7 | % | ||||||
| Total Short-term investments: | 5,036,494 | 5,036,494 | 3.7 | |||||||||
| Total Investments in Portfolio Funds and Short-Term investments | $ | 123,021,000 | 135,597,640 | 100.1 | ||||||||
| Liabilities less other assets | (207,566 | ) | (0.1 | ) | ||||||||
| Members’ capital | $ | 135,390,074 | 100.0 | % | ||||||||
| (1) | Redemption frequency and redemption notice period reflect general redemption terms, and exclude liquidity restrictions. |
| (2) | Non-income producing. |
| (3) | Absolute return managers, while often investing in the same asset classes as traditional investment managers, do so in a market neutral framework that attempts to arbitrage pricing discrepancies or other anomalies that are unrelated to general market moves. Absolute return strategies are designed to reduce exposure to the market risks that define the broad asset classes and therefore should be viewed as a separate absolute return or diversifying strategy category for asset allocation purposes. An allocation to absolute return strategies can add a potentially valuable element of diversification to a portfolio of traditional investments and can be used by investors as a way to manage the total market risk of their portfolios. Examples of individual strategies that generally fall into this absolute return category include merger arbitrage, fixed income arbitrage, equity market neutral, convertible arbitrage, relative value arbitrage, and other event-driven strategies. |
| (4) | All or a portion of these investments are held in side-pockets. Such investments generally cannot be withdrawn until removed from the side-pocket, the timing of which cannot be determined. |
| (5) | Withdrawals from this Portfolio Fund are permitted after a one-year lockup period from the date of the initial investment. |
| (6) | Withdrawals from this Portfolio Fund are permitted on a quarterly basis, with 25%, 33 1/3%, 50%, and 100% of the total investment becoming eligible for redemption each successive quarter after the first year. |
| (7) | Withdrawals from this Portfolio Fund are permitted after a two-year lockup period from the date of the initial investment. |
| (8) | Withdrawals from this Portfolio Fund are permitted after a three-month lockup period from the date of the initial investment with 12 1/2%, 14 1/7%, 16 2/3%, 20%, 25%, 33 1/3%, 50%, and 100% of the total investment becoming eligible for redemption each successive three-month period. |
| (9) | Withdrawals from this Portfolio Fund are permitted on a quarterly basis, subject to a 1.5% redemption charge. |
| (10) | Withdrawals from this Portfolio Fund are permitted after a three-year lockup period from the date of the initial investment. |
| (11) | The rate shown is the annualized 7-day yield as of June 30, 2020. |
| (12) | Formerly known as OZ Asia Domestic Partners, L.P. |
Within U.S. GAAP, Fair Value Measurement, fair value is defined as the price that the Company would receive if it were 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. U.S. GAAP establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions that market participants would use in pricing 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 that market participants would use in pricing 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 fair value of the Company’s investments. The inputs are summarized in the three broad levels listed below:
Level 1 – Inputs to the valuation methodology are quoted prices (unadjusted) for identical assets or liabilities in active markets.
Level 2 – Inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets and inputs that are observable for the asset or liability, either directly or indirectly.
Level 3 – Inputs to the valuation methodology are unobservable and significant to the fair value measurement. This includes situations where there is little, if any, market activity for the asset or liability.
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
Short-term investments represent an investment in a money market fund. Short-term investments are recorded at fair value, which is their published net asset value and are listed in the table below as a Level 1 investment.
Investments in Portfolio Funds are recorded at fair value, using the Portfolio Funds’ net asset value as a practical expedient.
The following table represents the investments carried at fair value by level within the valuation hierarchy as of June 30, 2020:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Investments | ||||||||||||||||
| Short-term investments | $ | 5,036,494 | $ | – | $ | – | $ | 5,036,494 | ||||||||
| Total | $ | 5,036,494 | $ | – | $ | – | $ | 5,036,494 | ||||||||
In accordance with ASC 820, “Fair Value Measurement”, investments in Portfolio Funds with a fair value of $130,561,146 are excluded from the fair value hierarchy as of June 30, 2020.
The Schedule of Investments categorizes the aggregate fair value of the Company’s investments in the Portfolio Funds by domicile, investment strategy, and liquidity.
