FPA CRESCENT FUND
PORTFOLIO OF INVESTMENTS
September 30, 2021
(Unaudited)
COMMON STOCKS | Shares | Fair Value | ||||||
INTERNET MEDIA — 11.8% | ||||||||
Alphabet, Inc. Class A(a) | 120,978 | $ | 323,437,103 | |||||
Alphabet, Inc. Class C(a) | 108,994 | 290,502,798 | ||||||
Baidu, Inc. ADR (China)(a) | 3,868,925 | 74,393,884 | ||||||
Facebook, Inc. Class A(a) | 895,761 | 304,012,326 | ||||||
Naspers Ltd. N Shares (South Africa) | 345,972 | 57,182,155 | ||||||
Prosus NV (Netherlands) | 2,424,494 | 194,058,887 | ||||||
$ | 1,243,587,153 | |||||||
SEMICONDUCTOR DEVICES — 6.4% | ||||||||
Analog Devices, Inc. | 1,786,350 | $ | 299,177,898 | |||||
Broadcom, Inc. | 594,060 | 288,077,516 | ||||||
NXP Semiconductors NV (Netherlands) | 429,763 | 84,177,679 | ||||||
$ | 671,433,093 | |||||||
CABLE & SATELLITE — 6.0% | ||||||||
Charter Communications, Inc. Class A(a)(b) | 390,978 | $ | 284,459,953 | |||||
Comcast Corp. Class A(b) | 6,136,260 | 343,201,022 | ||||||
$ | 627,660,975 | |||||||
DIVERSIFIED BANKS — 3.3% | ||||||||
Citigroup, Inc. | 3,571,897 | $ | 250,675,732 | |||||
Flutter Entertainment PLC (Ireland)(a) | 271,020 | 53,308,662 | ||||||
Gulfport Energy Corp.(a) | 503,402 | 41,384,678 | ||||||
$ | 345,369,072 | |||||||
CEMENT & AGGREGATES — 3.1% | ||||||||
HeidelbergCement AG (Germany) | 1,012,913 | $ | 75,566,716 | |||||
LafargeHolcim Ltd. (Switzerland) | 5,189,042 | 250,033,895 | ||||||
$ | 325,600,611 | |||||||
P&C INSURANCE — 2.9% | ||||||||
American International Group, Inc.(b) | 5,607,772 | $ | 307,810,605 | |||||
APPLICATION SOFTWARE — 2.8% | ||||||||
Alteryx, Inc. Class A(a) | 147,315 | $ | 10,768,727 | |||||
Entain PLC (Isle of Man)(a) | 3,205,123 | 91,543,464 | ||||||
Epic Games, Inc.(c)(d)(e) | 33,130 | 29,320,050 | ||||||
Nexon Co. Ltd. (Japan) | 4,138,049 | 66,417,963 | ||||||
Open Text Corp. (Canada) | 572,669 | 27,911,887 | ||||||
Ubisoft Entertainment SA (France)(a) | 1,066,684 | 63,875,401 | ||||||
$ | 289,837,492 | |||||||
BANKS — 2.6% | ||||||||
Signature Bank | 156,266 | $ | 42,548,107 | |||||
Wells Fargo & Co. | 5,029,984 | 233,441,557 | ||||||
$ | 275,989,664 | |||||||
INDUSTRIAL DISTRIBUTION & RENTAL — 2.5% | ||||||||
Howmet Aerospace, Inc. | 4,577,152 | $ | 142,807,142 | |||||
LG Corp. (South Korea) | 1,610,540 | 125,380,466 | ||||||
$ | 268,187,608 |
FPA CRESCENT FUND
PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2021
(Unaudited)
COMMON STOCKS — Continued | Shares | Fair Value | ||||||
ELECTRICAL COMPONENTS — 2.5% | ||||||||
TE Connectivity Ltd. (Switzerland) | 1,951,660 | $ | 267,806,785 | |||||
INVESTMENT COMPANIES — 2.4% | ||||||||
Groupe Bruxelles Lambert SA (Belgium) | 2,254,270 | $ | 247,959,772 | |||||
BASE METALS — 2.3% | ||||||||
Glencore PLC (Switzerland) | 51,364,163 | $ | 241,622,374 | |||||
INSURANCE BROKERS — 2.3% | ||||||||
Aon PLC Class A (Britain) | 840,487 | $ | 240,185,970 | |||||
INSTITUTIONAL BROKERAGE — 2.0% | ||||||||
Jefferies Financial Group, Inc.(b) | 5,578,880 | $ | 207,143,814 | |||||
FOOD SERVICES — 1.4% | ||||||||
JDE Peet's NV (Netherlands) | 3,432,564 | $ | 102,583,643 | |||||
Just Eat Takeaway.com NV (Netherlands)(a)(f) | 585,855 | 42,804,910 | ||||||
$ | 145,388,553 | |||||||
COMPUTER HARDWARE & STORAGE — 1.2% | ||||||||
Dell Technologies, Inc. C Shares(a) | 1,192,689 | $ | 124,087,363 | |||||
RAILROAD ROLLING STOCK — 1.2% | ||||||||
Westinghouse Air Brake Technologies Corp. | 1,435,847 | $ | 123,784,370 | |||||
CHEMICALS — 1.1% | ||||||||
International Flavors & Fragrances, Inc. | 868,051 | $ | 116,075,780 | |||||
TELECOM CARRIERS — 1.1% | ||||||||
SoftBank Group Corp. (Japan) | 1,922,596 | $ | 111,097,737 | |||||
E-COMMERCE DISCRETIONARY — 1.0% | ||||||||
Alibaba Group Holding Ltd. ADR (China)(a) | 5,586,312 | $ | 103,424,639 | |||||
HOTELS, RESTAURANTS & LEISURE — 1.0% | ||||||||
Marriott International, Inc. Class A(a) | 697,310 | $ | 103,264,638 | |||||
WEALTH MANAGEMENT — 0.9% | ||||||||
LPL Financial Holdings, Inc. | 637,836 | $ | 99,987,171 | |||||
INFRASTRUCTURE SOFTWARE — 0.9% | ||||||||
FirstEnergy Corp. | 2,789,666 | $ | 99,367,903 | |||||
APPAREL, FOOTWEAR & ACCESSORY DESIGN — 0.9% | ||||||||
Cie Financiere Richemont SA (Switzerland) | 945,310 | $ | 98,011,707 |
FPA CRESCENT FUND
PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2021
(Unaudited)
COMMON STOCKS — Continued | Shares | Fair Value | ||||||
MIDSTREAM - OIL & GAS — 0.8% | ||||||||
Kinder Morgan, Inc.(b) | 5,262,897 | $ | 88,048,267 | |||||
SPECIALTY CHEMICALS — 0.8% | ||||||||
Univar Solutions, Inc.(a) | 3,690,211 | $ | 87,900,826 | |||||
COMMERCIAL & RESIDENTIAL BUILDING EQUIPMENT & SYSTEMS — 0.8% | ||||||||
Samsung C&T Corp. (South Korea) | 828,160 | $ | 85,349,754 | |||||
REAL ESTATE OWNERS & DEVELOPERS — 0.6% | ||||||||
Swire Pacific Ltd. Class A (Hong Kong) | 10,113,170 | $ | 59,840,004 | |||||
MARINE SHIPPING — 0.5% | ||||||||
Sound Holding FP (Luxembourg)(c)(d)(e)(g)(h) | 1,146,250 | $ | 56,533,172 | |||||
MEDICAL EQUIPMENT — 0.5% | ||||||||
Olympus Corp. (Japan) | 2,280,167 | $ | 49,908,247 | |||||
INTEGRATED UTILITIES — 0.3% | ||||||||
PG&E Corp.(a) | 3,597,611 | $ | 34,537,066 | |||||
INTERNET BASED SERVICES — 0.3% | ||||||||
Booking Holdings, Inc.(a) | 13,556 | $ | 32,180,182 | |||||
AIRCRAFT & PARTS — 0.3% | ||||||||
Meggitt PLC (Britain)(a) | 2,789,763 | $ | 27,523,793 | |||||
OIL & GAS SERVICES & EQUIPMENT — 0.2% | ||||||||
McDermott International Ltd.(a)(g) | 14,118,980 | $ | 5,647,592 | |||||
McDermott International Ltd. | 31,609,578 | 12,643,831 | ||||||
McDermott International Ltd. | 1,053,862 | 421,545 | ||||||
$ | 18,712,968 | |||||||
OTHER COMMON STOCKS — 1.4%(a)(l) | $ | 151,684,375 | ||||||
TOTAL COMMON STOCKS — 70.1% (Cost $4,500,336,952) | $ | 7,376,903,503 | ||||||
CLOSED END FUND — 0.3% | ||||||||
Altaba Escrow(c)(Cost $0) | 4,756,180 | $ | 31,152,979 | |||||
LIMITED PARTNERSHIPS | ||||||||
FPS LLC (Marine Shipping)(c)(d)(e)(g)(h) | 1,173,870 | $ | 82,546,743 | |||||
FPS Shelby Holding I LLC (Marine Shipping)(c)(d)(e)(g)(h) | 107,799 | 8,876,468 | ||||||
Footpath Ventures SpV IV LP(c)(d)(e) | 150,000 | 15,000,000 | ||||||
GACP II L.P. (Credit)(c)(d)(e) | 958,312 | 31,646,287 |
FPA CRESCENT FUND
PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2021
(Unaudited)
LIMITED PARTNERSHIPS — Continued | Shares | Fair Value | ||||||
U.S. Farming Realty Trust LP (Real Estate)(c)(d)(e)(g) | 350,000 | $ | 10,235,782 | |||||
U.S. Farming Realty Trust II LP (Real Estate)(c)(d)(e)(g) | 120,000 | 8,350,933 | ||||||
TOTAL LIMITED PARTNERSHIPS — 1.5% (Cost $158,624,383) | $ | 156,656,213 | ||||||
PREFERRED STOCKS | ||||||||
ENGINEERING SERVICES — 0.1% | ||||||||
McDermott International, Inc.(c)(d)(e) | 22,591 | $ | 13,554,380 | |||||
ENERGY — 0.0% | ||||||||
Gulfport Energy Corp.(d)(e) | 1,297 | $ | 654,985 | |||||
TOTAL PREFERRED STOCKS — 0.1% (Cost $1,273,128) | $ | 14,209,365 | ||||||
WARRANT — 0.0% | ||||||||
ENERGY — 0.0% | ||||||||
Cie Financiere Richemont SA (a) (Cost $0) | 2,521,536 | $ | 1,190,489 | |||||
SPECIAL PURPOSE ACQUISITION COMPANIES(a) | ||||||||
DIVERSIFIED BANKS — 3.2% | ||||||||
Accelerate Acquisition Corp. | 1,824 | $ | 18,313 | |||||
African Gold Acquisition Corp. | 175,509 | 1,772,641 | ||||||
Agile Growth Corp. | 972,411 | 9,626,869 | ||||||
Alkuri Global Acquisition Corp. Class A | 62,046 | 512,502 | ||||||
Alpha Partners Technology Merger Corp. | 40,319 | 398,755 | ||||||
Angel Pond Holdings Corp. | 948,163 | 9,301,479 | ||||||
Apollo Strategic Growth Capital II | 206,968 | 2,059,332 | ||||||
Ares Acquisition Corp. | 494,451 | 4,895,164 | ||||||
Artisan Acquisition Corp. Class A | 42,770 | 330,403 | ||||||
Athena Technology Acquisition Corp. | 395,340 | 3,077,347 | ||||||
Atlantic Coastal Acquisition Corp. | 1,238,597 | 12,237,338 | ||||||
Broadscale Acquisition Corp. | 837,121 | 8,279,127 | ||||||
Churchill Capital Corp. VII | 616,422 | 6,090,249 | ||||||
Colonnade Acquisition Corp. II | 1,032,132 | 10,011,680 | ||||||
COVA Acquisition Corp. | 334,885 | 3,328,757 | ||||||
DHC Acquisition Corp. | 520,584 | 5,169,399 | ||||||
Digital Transformation Opportunities Corp. | 72,255 | 708,099 | ||||||
Disruptive Acquisition Corp. I | 1,032,135 | 10,135,566 | ||||||
ESM Acquisition Corp. | 157 | 1,559 | ||||||
Flame Acquisition Corp. | 1,032,145 | 10,249,200 | ||||||
Forest Road Acquisition Corp. II | 1,242,983 | 12,289,746 | ||||||
Fortress Value Acquisition Corp. IV | 477,990 | 4,708,201 | ||||||
FTAC Hera Acquisition Corp. | 124,395 | 1,238,974 | ||||||
Fusion Acquisition Corp. II | 173,927 | 1,690,570 | ||||||
GigCapital4, Inc. | 1,067,809 | 8,176,750 | ||||||
Glenfarne Merger Corp. | 1,033,214 | 10,280,479 | ||||||
Global Partner Acquisition Corp. II | 387,688 | 3,834,234 |
FPA CRESCENT FUND
PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2021
(Unaudited)
SPECIAL PURPOSE ACQUISITION COMPANIES — Continued | Shares | Fair Value | ||||||
Golden Arrow Merger Corp. | 1,032,132 | $ | 10,218,107 | |||||
Gores Holdings VII, Inc. | 4,846 | 47,830 | ||||||
Gores Holdings VIII, Inc. | 235,462 | 2,342,847 | ||||||
Gores Technology Partners II, Inc. | 6,490 | 64,316 | ||||||
GX Acquisition Corp. II | 648,196 | 6,391,213 | ||||||
Haymaker Acquisition Corp. III | 7,337 | 72,416 | ||||||
Hudson Executive Investment Corp. III | 1,243,215 | 12,245,668 | ||||||
InterPrivate IV InfraTech Partners, Inc. | 866,479 | 8,547,815 | ||||||
Kismet Acquisition Three Corp. | 1,032,132 | 10,187,143 | ||||||
Landcadia Holdings IV, Inc. | 1,243,001 | 12,479,730 | ||||||
Lazard Growth Acquisition Corp. I | 37,457 | 371,573 | ||||||
Lead Edge Growth Opportunities Ltd. | 111,893 | 1,117,811 | ||||||
Macondray Capital Acquisition Corp. I | 1,030,833 | 10,287,713 | ||||||
Mason Industrial Technology, Inc. | 760,239 | 7,564,378 | ||||||
Metals Acquisition Corp. | 539,903 | 5,350,439 | ||||||
Mission Advancement Corp. | 613,285 | 6,040,857 | ||||||
Monument Circle Acquisition Corp. | 69,903 | 704,622 | ||||||
NextGen Acquisition Corp. II | 567,358 | 4,844,297 | ||||||
Northern Star Investment Corp. III | 550,747 | 5,430,365 | ||||||
Northern Star Investment Corp. IV | 425,470 | 4,195,134 | ||||||
Orion Acquisition Corp. | 252,217 | 2,491,904 | ||||||
Peridot Acquisition Corp. II | 582,407 | 5,742,533 | ||||||
Pershing Square Tontine Holdings Ltd. Class A | 457,176 | 9,006,367 | ||||||
Pine Technology Acquisition Corp. | 967,571 | 9,598,304 | ||||||
Plum Acquisition Corp. I | 969,880 | 9,514,523 | ||||||
Queen's Gambit Growth Capital | 109,868 | 836,365 | ||||||
Reinvent Technology Partners Y | 251 | 377 | ||||||
Ross Acquisition Corp. II | 231,224 | 2,302,991 | ||||||
RXR Acquisition Corp. | 9,883 | 97,348 | ||||||
Silver Spike Acquisition Corp. II | 130,768 | 1,310,295 | ||||||
Slam Corp. | 714,327 | 7,078,981 | ||||||
Stratim Cloud Acquisition Corp. | 671,649 | 6,676,191 | ||||||
TCW Special Purpose Acquisition Corp. | 118,726 | 1,169,451 | ||||||
Tio Tech A (Germany) | 297,050 | 2,943,766 | ||||||
TLG Acquisition One Corp. | 1,242,983 | 12,336,606 | ||||||
Twelve Seas Investment Co. II | 990,015 | 9,801,148 | ||||||
Viking Acquisitions (Norway)(c)(d)(e) | 9,562,500 | 7,292,590 | ||||||
$ | 337,126,747 | |||||||
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES — 3.2% (Cost $339,240,601) | $ | 337,126,747 |
FPA CRESCENT FUND
PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2021
(Unaudited)
BONDS & DEBENTURES | Principal Amount | Fair Value | ||||||
CORPORATE BONDS & NOTES | ||||||||
CONSUMER, CYCLICAL — 0.3% | ||||||||
Royal Caribbean Cruises Ltd. — 11.500% 6/1/2025(f) | $ | 25,568,000 | $ | 29,109,168 | ||||
ENERGY — 0.0% | ||||||||
Gulfport Energy Corp. — 6.000% 10/15/2024(d)(e) | 18,209,000 | — | ||||||
Gulfport Energy Corp. — 6.375% 5/15/2025(d)(e) | 8,822,000 | — | ||||||
Gulfport Energy Corp. — 6.375% 1/15/2026(d)(e) | 9,128,000 | — | ||||||
Gulfport Energy Corp. — 6.625% 5/1/2023(d)(e) | 9,417,000 | — | ||||||
$ | — | |||||||
TOTAL CORPORATE BONDS & NOTES — 0.3% (Cost $24,966,641) | $ | 29,109,168 | ||||||
CORPORATE BANK DEBT | ||||||||
McDermott LC, 1M USD LIBOR — 6.335% 12/31/2021(c)(d)(e)(j) | $ | 28,718,370 | $ | 19,706,205 | ||||
McDermott Technology Americas, Inc., 1M USD LIBOR + 3.000% — 3.084% 6/30/2024(c)(i) | 1,074,102 | 590,756 | ||||||
McDermott Technology Americas, Inc., 1M USD LIBOR + 1.000% — 1.084% 6/30/2025(c)(i) | 32,833,473 | 14,118,393 | ||||||
Steenbok LUX Financial 2 SARL, PIK — 10.750% 12/31/2022(c) | 703,343 | 775,000 | ||||||
Western Digital Corp. Term Loan B 4, 1M USD LIBOR + 1.750% — 1.832% 4/29/2023(c)(i) | 14,677,084 | 14,677,084 | ||||||
TOTAL CORPORATE BANK DEBT — 0.5% (Cost $123,228,925) | $ | 49,867,438 | ||||||
U.S. TREASURIES | ||||||||
U.S. Treasury Bills — 0.003% 10/21/2021(k) | $ | 120,000,000 | $ | 119,994,288 | ||||
U.S. Treasury Bills — 0.009% 10/28/2021(k) | 167,000,000 | 166,990,331 | ||||||
U.S. Treasury Bills — 0.012% 11/4/2021(k) | 130,000,000 | 129,990,094 | ||||||
U.S. Treasury Bills — 0.018% 11/12/2021(k) | 131,000,000 | 130,990,764 | ||||||
U.S. Treasury Bills — 0.033% 11/16/2021(k) | 83,000,000 | 82,996,182 | ||||||
U.S. Treasury Bills — 0.041% 11/2/2021(k) | 60,000,000 | 59,997,030 | ||||||
U.S. Treasury Bills — 0.046% 10/26/2021(k) | 188,000,000 | 187,991,258 | ||||||
U.S. Treasury Bills — 0.051% 11/18/2021(k) | 49,000,000 | 48,997,918 | ||||||
U.S. Treasury Bills — 0.052% 10/19/2021(k) | 175,000,000 | 174,993,595 | ||||||
U.S. Treasury Cash Management Bills — 0.033% 11/23/2021(k) | 50,000,000 | 49,997,730 | ||||||
U.S. Treasury Cash Management Bills — 0.041% 11/9/2021(k) | 79,000,000 | 78,995,481 | ||||||
U.S. Treasury Cash Management Bills — 0.053% 11/1/2021(k) | 166,000,000 | 165,990,870 | ||||||
U.S. Treasury Cash Management Bills — 0.076% 10/15/2021(k) | 150,000,000 | 149,997,000 | ||||||
TOTAL U.S. TREASURIES — 14.7% (Cost $1,547,950,917) | $ | 1,547,922,541 | ||||||
TOTAL BONDS & DEBENTURES — 15.5% (Cost $1,696,146,483) | $ | 1,626,899,147 | ||||||
TOTAL INVESTMENT SECURITIES — 90.7% (Cost $6,695,621,547) | $ | 9,544,138,443 |
FPA CRESCENT FUND
PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2021
(Unaudited)
SHORT-TERM INVESTMENTS | Shares or Principal Amount | Fair Value | |||||||
SHORT-TERM INVESTMENTS | |||||||||
Amazon.com, Inc. | |||||||||
— 0.041% 10/18/2021 | $ | 20,000,000 | $ | 19,999,622 | |||||
— 0.051% 10/6/2021 | 10,000,000 | 9,999,930 | |||||||
Apple, Inc. — 0.041% 11/5/2021 | 50,000,000 | 49,998,056 | |||||||
Chevron Corp. — 0.051% 10/14/2021 | 50,000,000 | 49,999,097 | |||||||
Coca-Cola Co. — 0.051% 10/5/2021 | 22,000,000 | 21,999,878 | |||||||
Exxon Mobil Corp. | |||||||||
— 0.051% 10/1/2021 | 33,000,000 | 33,000,000 | |||||||
— 0.051% 10/4/2021 | 60,000,000 | 59,999,750 | |||||||
— 0.051% 10/7/2021 | 60,000,000 | 59,999,500 | |||||||
— 0.051% 10/25/2021 | 25,000,000 | 24,999,167 | |||||||
— 0.051% 11/19/2021 | 100,000,000 | 99,993,194 | |||||||
— 0.061% 10/22/2021 | 65,000,000 | 64,997,725 | |||||||
Nestle Capital Corp. | |||||||||
— 0.041% 10/19/2021 | 10,000,000 | 9,999,800 | |||||||
— 0.041% 11/2/2021 | 150,000,000 | 149,994,667 | |||||||
Nestle Finance International Ltd. | |||||||||
— 0.051% 10/20/2021 | 50,000,000 | 49,998,681 | |||||||
— 0.051% 10/29/2021 | 43,000,000 | 42,998,328 | |||||||
— 0.051% 11/2/2021 | 100,000,000 | 99,995,555 | |||||||
— 0.061% 11/9/2021 | 50,000,000 | 49,996,750 | |||||||
Roche Holdings, Inc. | |||||||||
— 0.041% 10/15/2021 | 40,000,000 | 39,999,378 | |||||||
— 0.041% 10/29/2021 | 31,500,000 | 31,499,020 | |||||||
— 0.051% 11/8/2021 | 80,000,000 | 79,995,778 | |||||||
State Street Bank Repurchase Agreement — 0.00% 10/1/2021 | |||||||||
(Dated 09/30/2021, repurchase price of $20,160,000, collateralized by $20,561,600 principal amount U.S. Treasury Notes — 1.250% 2028, fair value $20,563,204) | 20,160,000 | 20,160,000 | |||||||
TOTAL SHORT-TERM INVESTMENTS — 10.2% (Cost $1,069,623,876) | $ | 1,069,623,876 | |||||||
TOTAL INVESTMENTS — 100.9% (Cost $7,765,245,423) | $ | 10,613,762,319 | |||||||
SECURITIES SOLD SHORT — (3.1)% | |||||||||
COMMON STOCKS SOLD SHORT — (2.2)% | |||||||||
Softbank Corp. (Japan) | (1,397,343 | ) | $ | (18,954,660 | ) | ||||
SPDR S&P 500 ETF Trust | (505,929 | ) | (217,114,371 | ) | |||||
$ | (236,069,031 | ) | |||||||
OTHER COMMON STOCKS SOLD SHORT (l) | $ | (71,934,369 | ) | ||||||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $188,249,588) | $ | (308,003,400 | ) |
FPA CRESCENT FUND
PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2021
(Unaudited)
CORPORATE BONDS & NOTES_SOLD SHORT | Principal Amount | Fair Value | ||||||
CORPORATE BONDS & NOTES_SOLD SHORT — (0.2)% | ||||||||
Western Digital Corp. — 4.750% 2/15/2026 | $ | (14,677,000 | ) | $ | (16,255,463 | ) | ||
TOTAL CORPORATE BONDS & NOTES SOLD SHORT (Proceeds $14,740,686) | $ | (16,255,463 | ) | |||||
TOTAL SECURITIES SOLD SHORT (Proceeds $275,784,553) | $ | (324,258,863 | ) | |||||
Other assets and liabilities, net — 2.2% | $ | 230,947,700 | ||||||
NET ASSETS — 100.0% | $ | 10,520,451,156 |
(a) | Non-income producing security. | |
(b) | As of September 30, 2021, investments with a value of $1,081,239,000 were fully or partially segregated with the broker(s)/custodian as collateral for short option contracts. |
(c) | Restricted securities. These restricted securities constituted 3.50% of total net assets at September 30, 2021, most of which are considered liquid by the Adviser. These securities are not registered and may not be sold to the public. There are legal and/or contractual restrictions on resale. The Fund does not have the right to demand that such securities be registered. The values of these securities are determined by valuations provided by pricing services, brokers, dealers, market makers, or in good faith under policies adopted by authority of the Fund’s Board of Trustees. |
(d) | These securities have been valued in good faith under policies adopted by authority of the Board of Trustees in accordance with the Fund's fair value procedures. These securities constituted 2.70% of total net assets at September 30, 2021. |
(e) | Investments categorized as a significant unobservable input (Level 3) (See Note 1 of the Notes to Financial Statements). |
As permitted by U.S. Securities and Exchange Commission regulations, "Other" Common Stocks include holdings in their first year of acquisition that have not previously been publicly disclosed. |
(f) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid. |
(g) | Affiliated Security. |
(h) | Controlled company. |
(i) | Variable/Floating Rate Security — The rate shown is based on the latest available information as of September 30, 2021. For Corporate Bank Debt, the rate shown may represent a weighted average interest rate. Certain variable rate securities are not based on a published rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(j) | All or a portion of this holding is subject to unfunded loan commitments. The stated interest rate reflects the weighted average of the reference rate and spread for the funded portion, if any, and the commitment fees on the portion of the loan that is unfunded. |
(k) | Zero coupon bond. Coupon amount represents effective yield to maturity. |
(l) | As permitted by U.S. Securities and Exchange Commission regulations, “Other” Common Stocks include holdings in their first year of acquisition that have not previously been publicly disclosed. |
FPA CRESCENT FUND
PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2021
Purchased Options
Description | Pay/Receive Floating Rate | Floating Rate Index | Exercise Rate | Expiration Date | Counterparty | Notional Amount | Premium | Fair Value | ||||||||||||||||
Call — CMS Cap Swap(c)(e) | Receive | Maximum of [0, 30- Year— 3-Year — USD-ISDA Swap Rate — 0.04] | 0.04 | % | 2/15/2023 | Barclays Bank PLC | $ | 4,776,000,000 | $ | 1,265,640 | $ | 1,179,672 | ||||||||||||
Call — CMS Cap Swap(c)(e) | Receive | Maximum of [0, 30- Year— 3-Year — USD-ISDA Swap Rate — 0.04] | 0.04 | % | 2/22/2023 | Barclays Bank PLC | 4,776,000,000 | 1,265,640 | 1,198,776 | |||||||||||||||
Call — CMS Cap Swap(c)(e) | Receive | Maximum of [0, 30- Year— 3-Year — USD-ISDA Swap Rate — 0.04] | 0.04 | % | 3/01/2023 | Barclays Bank PLC | 4,776,000,000 | 1,265,640 | 1,232,208 | |||||||||||||||
Call — CMS Cap Swap(c)(e) | Receive | Maximum of [0, 30- Year— 3-Year — USD-ISDA Swap Rate — 0.04] | 0.04 | % | 3/08/2023 | Barclays Bank PLC | 4,776,000,000 | 1,265,640 | 1,260,864 | |||||||||||||||
Call — CMS Cap Swap(c)(e) | Receive | Maximum of [0, 30- Year— 3-Year — USD-ISDA Swap Rate — 0.04] | 0.04 | % | 2/15/2023 | Goldman Sachs International | 9,204,500,000 | 2,531,237 | 1,242,608 | |||||||||||||||
Call — CMS Cap Swap(c)(e) | Receive | Maximum of [0, 30- Year— 3-Year — USD-ISDA Swap Rate — 0.04] | 0.04 | % | 2/22/2023 | Goldman Sachs International | 9,204,500,000 | 2,531,238 | 1,270,221 | |||||||||||||||
Call — CMS Cap Swap(c)(e) | Receive | Maximum of [0, 30- Year— 3-Year — USD-ISDA Swap Rate — 0.04] | 0.04 | % | 3/01/2023 | Goldman Sachs International | 9,204,500,000 | 2,531,237 | 1,307,039 | |||||||||||||||
Call — CMS Cap Swap(c)(e) | Receive | Maximum of [0, 30- Year— 3-Year — USD-ISDA Swap Rate — 0.04] | 0.04 | % | 3/08/2023 | Goldman Sachs International | 9,204,500,000 | 2,531,238 | 1,343,857 | |||||||||||||||
Call — CMS Cap Swap(c)(e) | Receive | Maximum of [0, 30- Year— 3-Year — USD-ISDA Swap Rate — 0.04] | 0.04 | % | 2/15/2023 | Morgan Stanley | 5,062,500,000 | 1,265,625 | 739,125 | |||||||||||||||
Call — CMS Cap Swap(c)(e) | Receive | Maximum of [0, 30- Year— 3-Year — USD-ISDA Swap Rate — 0.04] | 0.04 | % | 2/22/2023 | Morgan Stanley | 5,062,500,000 | 1,265,625 | 759,375 | |||||||||||||||
Call — CMS Cap Swap(c)(e) | Receive | Maximum of [0, 30- Year— 3-Year — USD-ISDA Swap Rate — 0.04] | 0.04 | % | 3/01/2023 | Morgan Stanley | 5,062,500,000 | 1,265,625 | 789,750 | |||||||||||||||
Call — CMS Cap Swap(c)(e) | Receive | Maximum of [0, 30- Year— 3-Year — USD-ISDA Swap Rate — 0.04] | 0.04 | % | 3/08/2023 | Morgan Stanley | 5,062,500,000 | 1,265,625 | 815,062 | |||||||||||||||
Call — OIS Cap Swap(c)(e) | Receive | 3-Month USD-LIBOR | 0.68 | % | 1/11/2029 | Morgan Stanley | 260,061,813 | 7,038,227 | 14,778,273 | |||||||||||||||
$ | 27,288,237 | $ | 27,916,830 |
Written Options
Description | Pay/Receive Floating Rate | Floating Rate Index | Exercise Rate | Expiration Date | Counterparty | Notional Amount | Premium | Fair Value | ||||||||||||||||
Put — OIS Floor Swap(c)(e) | Pay | 3-Month USD-LIBOR | 0.35 | % | 1/11/2029 | Morgan Stanley | $ | (260,061,813 | ) | $ | (7,038,227 | ) | $ | (3,745,930 | ) |
FPA CRESCENT FUND
PORTFOLIO OF INVESTMENTS – RESTRICTED SECURITIES
September 30, 2021
(Unaudited)
Issuer | Acquisition Date (s) | Cost | Fair Value | Fair Value as a % of Net Assets | ||||||||||
Altaba Escrow | 09/26/2014, 09/29/2014, 09/30/2014, 10/03/2014, 10/06/2014, 10/07/2014, 08/28/2015, 11/01/2016, 11/02/2016, 11/03/2016 | — | $ | 31,152,979 | 0.30 | % | ||||||||
CMS CAP SWAPTION 4.000 FEB23 4.000 CALL Barclays Bank PLC 4.000% 02/15/2023 | 02/26/2020 | $ | 1,265,640 | 1,179,672 | 0.01 | % | ||||||||
CMS CAP SWAPTION 4.000 FEB23 4.000 CALL Barclays Bank PLC 4.000% 02/22/2023 | 02/26/2020 | 1,265,640 | 1,198,776 | 0.01 | % | |||||||||
CMS CAP SWAPTION 4.000 MAR23 4.000 CALL Barclays Bank PLC 4.000% 03/01/2023 | 02/26/2020 | 1,265,640 | 1,232,208 | 0.01 | % | |||||||||
CMS CAP SWAPTION 4.000 MAR23 4.000 CALL Barclays Bank PLC 4.000% 03/08/2023 | 02/26/2020 | 1,265,640 | 1,260,864 | 0.01 | % | |||||||||
CMS CAP SWAPTION 4.000 FEB23 4.000 CALL Goldman Sachs International 4.000% 02/15/2023 | 02/26/2020 | 2,531,237 | 1,242,608 | 0.01 | % | |||||||||
CMS CAP SWAPTION 4.000 FEB23 4.000 CALL Goldman Sachs International 4.000% 02/22/2023 | 02/26/2020 | 2,531,238 | 1,270,221 | 0.01 | % | |||||||||
CMS CAP SWAPTION 4.000 MAR23 4.000 CALL Goldman Sachs International 4.000% 03/01/2023 | 02/26/2020 | 2,531,237 | 1,307,039 | 0.01 | % | |||||||||
CMS CAP SWAPTION 4.000 MAR23 4.000 CALL Goldman Sachs International 4.000% 03/08/2023 | 02/26/2020 | 2,531,238 | 1,343,857 | 0.01 | % | |||||||||
CMS CAP SWAPTION 4.000 FEB23 4.000 CALL Morgan Stanley 4.000% 02/15/2023 | 02/26/2020 | 1,265,625 | 739,125 | 0.01 | % | |||||||||
CMS CAP SWAPTION 4.000 FEB23 4.000 CALL Morgan Stanley 4.000% 02/22/2023 | 02/26/2020 | 1,265,625 | 759,375 | 0.01 | % | |||||||||
CMS CAP SWAPTION 4.000 MAR23 4.000 CALL Morgan Stanley 4.000% 03/01/2023 | 02/26/2020 | 1,265,625 | 789,750 | 0.01 | % | |||||||||
CMS CAP SWAPTION 4.000 MAR23 4.000 CALL Morgan Stanley 4.000% 03/08/2023 | 02/26/2020 | 1,265,625 | 815,062 | 0.01 | % | |||||||||
Epic Games, Inc. | 06/25/2020 | 19,049,750 | 29,320,050 | 0.28 | % | |||||||||
FPS LLC (Marine Shipping) | 07/06/2021 | 98,862,137 | 82,546,743 | 0.78 | % | |||||||||
FPS Shelby Holding I LLC (Marine Shipping) | 02/04/2020, 03/26/2020, 04/29/2020, 07/24/2020 | 10,191,934 | 8,876,468 | 0.08 | % | |||||||||
Footpath Ventures SpV IV LP | 09/24/2021 | 15,180,000 | 15,000,000 | 0.14 | % | |||||||||
GACP II L.P. (Credit) | 01/17/2020 | 20,689,076 | 31,646,287 | 0.30 | % | |||||||||
McDermott International, Inc. | 12/31/2020 | — | 13,554,380 | 0.13 | % | |||||||||
McDermott LC, 1M USD LIBOR — 6.335% 12/31/2021 | 03/04/2021, 03/05/2021 | 35,777,645 | 19,706,205 | 0.19 | % |
FPA CRESCENT FUND
PORTFOLIO OF INVESTMENTS – RESTRICTED SECURITIES (Continued)
September 30, 2021
(Unaudited)
Issuer | Acquisition Date (s) | Cost | Fair Value | Fair Value as a % of Net Assets | ||||||||||
McDermott Technology Americas, Inc., 1M USD LIBOR + 1.000% — 1.084% 6/30/2025 | 07/30/2021,08/31/2021 | $ | 71,141,350 | $ | 14,118,393 | 0.13 | % | |||||||
McDermott Technology Americas, Inc., 1M USD LIBOR + 3.000% — 3.084% 6/30/2024 | 07/01/2020 | 1,074,101 | 590,756 | 0.01 | % | |||||||||
OIS CAP SWAPTION 0.680 JAN29 0.680 CALL Morgan Stanley 0.680% 01/11/2029 | 10/19/2020 | 7,038,227 | 14,778,273 | 0.14 | % | |||||||||
OIS FLOOR SWAPTION 0.350 JAN29 0.350 PUT Morgan Stanley 0.350% 01/11/2029 | 10/19/2020 | (7,038,227 | ) | (3,745,930 | ) | (0.04 | )% | |||||||
Sound Holding FP | 10/07/2013 | 68,546,025 | 56,533,172 | 0.54 | % | |||||||||
Steenbok LUX Financial 2 SARL, PIK — 10.750% 12/31/2022 | 06/30/2021 | 712,525 | 775,000 | 0.01 | % | |||||||||
U.S. Farming Realty Trust II, L.P. (Real Estate) | 12/24/2012, 04/29/2013, 06/17/2013, 10/28/2013, 01/14/2014, 04/22/2014, 06/25/2014, 09/09/2014, 10/08/2014, 12/18/2014, 06/18/2015, 07/29/2015 | 9,498,194 | 8,350,933 | 0.08 | % | |||||||||
U.S. Farming Realty Trust, L.P. (Real Estate) | 11/26/2010, 01/31/2011, 03/09/2011, 04/15/2011, 05/10/2011, 06/27/2011, 08/15/2011, 10/17/2011, 10/28/2011, 11/28/2011, 01/03/2012, 01/26/2012, 04/05/2012, 07/13/2012, 12/07/2012, 08/01/2013 | 4,203,042 | 10,235,782 | 0.10 | % | |||||||||
Viking Acquisitions (Norway) | 06/03/2021 | 7,607,534 | 7,292,590 | 0.07 | % | |||||||||
Western Digital Corp. Term Loan B 4, 1M USD LIBOR + 1.750% — 1.832% 4/29/2023 | 04/05/2021, 04/07/2021, 04/22/2021 | 14,523,304 | 14,677,084 | 0.14 | % | |||||||||
TOTAL RESTRICTED SECURITIES | $ | 397,306,627 | $ | 368,547,722 | 3.50 | % |
NOTE 1 — Disclosure of Fair Value Measurements
The Fund uses the following methods and inputs to establish the fair value of its assets and liabilities. Use of particular methods and inputs may vary over time based on availability and relevance as market and economic conditions evolve.
Equity securities are generally valued each day at the official closing price of, or the last reported sale price on, the exchange or market on which such securities principally are traded, as of the close of business on that day. If there have been no sales that day, equity securities are generally valued at the last available bid price. Securities that are unlisted and fixed-income and convertible securities listed on a national securities exchange for which the over-the-counter ("OTC") market more accurately reflects the securities’ value in the judgment of the Fund's officers, are valued at the most recent bid price. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the NYSE. The Fund may utilize an independent fair valuation service in adjusting the valuations of foreign securities. However, most fixed income securities are generally valued at prices obtained from pricing vendors and brokers. Vendors value such securities based on one or more of the following inputs: transactions, bids, offers quotations from dealers and trading systems, spreads and other relationships observed in the markets among comparable securities, benchmarks, underlying equity of the issuer, and proprietary pricing models such as cash flows, financial or collateral performance and other reference data (includes prepayments, defaults, collateral, credit enhancements, and interest rate volatility). Currency forwards are valued at the closing currency exchange rate which is not materially different from the forward rate. Short-term corporate notes with maturities of 60 days or less at the time of purchase are valued at amortized cost.
Securities for which representative market quotations are not readily available or are considered unreliable by the Adviser are valued as determined in good faith under procedures adopted by the authority of the Fund’s Board of Trustees. Various inputs may be reviewed in order to make a good faith determination of a security’s value. These inputs include, but are not limited to, the type and cost of the security; contractual or legal restrictions on resale of the security; relevant financial or business developments of the issuer; actively traded similar or related securities; conversion or exchange rights on the security; related corporate actions; significant events occurring after the close of trading in the security; and changes in overall market conditions. Investments in limited partnerships are valued, as a practical expedient, utilizing the net asset valuations provided by the underlying limited partnerships in a manner consistent with U.S. GAAP for investment companies. The Fund applies the practical expedient to its investments in limited partnerships on an investment-by-investment basis, and consistently with the Fund’s entire position in a particular investment, unless it is probable that the Fund will sell a portion of an investment at an amount different from the net asset valuation. Investments in limited partnerships are included in Level 3 of the fair value hierarchy based on the limited rights of withdrawal by the Fund as specified in the respective agreements. Fair valuations and valuations of investments that are not actively trading involve judgment and may differ materially from valuations of investments that would have been used had greater market activity occurred.
Investments in open-end investment companies are valued at their net asset value each business day and are categorized as Level 1. The investments in limited partnerships represent investments in private funds which are valued at their net asset value as a practical expedient. The net asset value of the limited partnerships has been estimated primarily based upon the pro-rata ownership of the fair value of the limited partnerships as reported by the Management of the limited partnerships. Investments in private funds can never be redeemed. Instead, the nature of the investments in this category is that distributions are received through the liquidation of the underlying assets of the limited partnerships.
The Fund classifies its assets based on three valuation methodologies. Level 1 values are based on quoted market prices in active markets for identical assets. Level 2 values are based on significant observable market inputs, such as quoted prices for similar assets and quoted prices in inactive markets or other market observable inputs as noted above including spreads, cash flows, financial performance, prepayments, defaults, collateral, credit enhancements, and interest rate volatility. Level 3 values are based on significant unobservable inputs that reflect the Fund’s determination of assumptions that market participants might reasonably use in valuing the assets. The valuation levels are not necessarily an indication of the risk associated with investing in those securities. The following table presents the valuation levels of the Fund's investments as of September 30, 2021: (see Portfolio of Investments for industry categories):
Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Internet Media | $ | 1,243,587,153 | — | — | $ | 1,243,587,153 | ||||||||||
Semiconductor Devices | 671,433,093 | — | — | 671,433,093 | ||||||||||||
Cable & Satellite | 627,660,975 | — | — | 627,660,975 | ||||||||||||
Diversified Banks | 345,369,072 | — | — | 345,369,072 | ||||||||||||
Cement & Aggregates | 325,600,611 | — | — | 325,600,611 | ||||||||||||
P&C Insurance | 307,810,605 | — | — | 307,810,605 | ||||||||||||
Application Software | 260,517,442 | — | $ | 29,320,050 | 289,837,492 | |||||||||||
Banks | 275,989,664 | — | — | 275,989,664 | ||||||||||||
Industrial Distribution & Rental | 268,187,608 | — | — | 268,187,608 | ||||||||||||
Electrical Components | 267,806,785 | — | — | 267,806,785 | ||||||||||||
Investment Companies | 247,959,772 | — | — | 247,959,772 | ||||||||||||
Base Metals | 241,622,374 | — | — | 241,622,374 | ||||||||||||
Insurance Brokers | 240,185,970 | — | — | 240,185,970 | ||||||||||||
Institutional Brokerage | 207,143,814 | — | — | 207,143,814 | ||||||||||||
Food Services | 145,388,553 | — | — | 145,388,553 | ||||||||||||
Computer Hardware & Storage | 124,087,363 | — | — | 124,087,363 | ||||||||||||
Railroad Rolling Stock | 123,784,370 | — | — | 123,784,370 | ||||||||||||
Chemicals | 116,075,780 | — | — | 116,075,780 | ||||||||||||
Telecom Carriers | 111,097,737 | — | — | 111,097,737 | ||||||||||||
E-Commerce Discretionary | 103,424,639 | — | — | 103,424,639 | ||||||||||||
Hotels, Restaurants & Leisure | 103,264,638 | — | — | 103,264,638 | ||||||||||||
Wealth Management | 99,987,171 | — | — | 99,987,171 | ||||||||||||
Infrastructure Software | 99,367,903 | — | — | 99,367,903 | ||||||||||||
Apparel, Footwear & Accessory Design | 98,011,707 | — | — | 98,011,707 | ||||||||||||
Midstream - Oil & Gas | 88,048,267 | — | — | 88,048,267 | ||||||||||||
Specialty Chemicals | 87,900,826 | — | — | 87,900,826 | ||||||||||||
Commercial & Residential Building Equipment & Systems | 85,349,754 | — | — | 85,349,754 | ||||||||||||
Real Estate Owners & Developers | 59,840,004 | — | — | 59,840,004 | ||||||||||||
Marine Shipping | — | — | 56,533,172 | 56,533,172 | ||||||||||||
Medical Equipment | 49,908,247 | — | — | 49,908,247 | ||||||||||||
Integrated Utilities | 34,537,066 | — | — | 34,537,066 | ||||||||||||
Internet Based Services | 32,180,182 | — | — | 32,180,182 | ||||||||||||
Aircraft & Parts | 27,523,793 | — | — | 27,523,793 | ||||||||||||
Oil & Gas Services & Equipment | 18,712,968 | — | — | 18,712,968 | ||||||||||||
Other Common Stocks | 151,684,375 | — | — | 151,684,375 | ||||||||||||
Closed End Fund | — | $ | 31,152,979 | — | 31,152,979 | |||||||||||
Limited Partnerships | — | — | 156,656,213 | 156,656,213 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Engineering Services | — | — | 13,554,380 | 13,554,380 | ||||||||||||
Energy | — | — | 654,985 | 654,985 | ||||||||||||
Warrant | ||||||||||||||||
Energy | 1,190,489 | — | — | 1,190,489 | ||||||||||||
Special Purpose Acquisition Companies | ||||||||||||||||
Diversified Banks | 329,834,157 | — | 7,292,590 | 337,126,747 | ||||||||||||
Corporate Bonds & Notes | — | 29,109,168 | — | 29,109,168 | ||||||||||||
Corporate Bank Debt | — | 30,161,233 | 19,706,205 | 49,867,438 | ||||||||||||
U.S. Treasuries | — | 1,547,922,541 | — | 1,547,922,541 |
Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments | — | $ | 1,069,623,876 | — | $ | 1,069,623,876 | ||||||||||
$ | 7,622,074,927 | $ | 2,707,969,797 | $ | 283,717,595 | $ | 10,613,762,319 | |||||||||
Purchased Options (interest rate risk) | — | — | $ | 27,916,830 | $ | 27,916,830 | ||||||||||
Written Options (interest rate risk) | — | — | (3,745,930 | ) | (3,745,930 | ) | ||||||||||
— | — | $ | 24,170,900 | $ | 24,170,900 | |||||||||||
Common Stock Sold Short | $ | (308,003,400 | ) | — | — | $ | (308,003,400 | ) | ||||||||
Corporate Bonds & Notes Sold Short | — | $ | (16,255,463 | ) | — | (16,255,463 | ) | |||||||||
$ | (308,003,400 | ) | $ | (16,255,463 | ) | — | $ | (324,258,863 | ) |
The following table summarizes the Fund’s Level 3 investment securities and related transactions during the period ended September 30, 2021:
Investments | Beginning Value at December 31, 2020 | Net Realized and Unrealized Gains (Losses)* | Purchases | (Sales) | Gross Transfers In/(Out) | Ending Value at September 30, 2021 | Net Change in Unrealized Appreciation (Depreciation) related to Investments held at September 30, 2021 | |||||||||||||||||||||
Common Stocks | $ | 50,973,743 | $ | 34,879,479 | — | — | — | $ | 85,853,222 | $ | 34,879,479 | |||||||||||||||||
Closed End Fund | 67,513,975 | (33,792,659 | ) | — | $ | (2,568,337 | ) | $ | (31,152,979 | ) | — | — | ||||||||||||||||
Limited Partnerships | 139,460,218 | 21,781,512 | $ | 30,640,554 | (35,226,071 | ) | — | 156,656,213 | 21,781,512 | |||||||||||||||||||
Preferred Stock | 7,906,722 | 5,028,689 | 1,274,000 | (46 | ) | — | 14,209,365 | 5,029,515 | ||||||||||||||||||||
Special Purpose Acquisition Companies | — | (314,945 | ) | 7,607,535 | — | — | 7,292,590 | (314,945 | ) | |||||||||||||||||||
Asset-Backed Securities — Marine Shipping | 4,410,116 | 713,745 | — | (5,123,861 | ) | — | — | — | ||||||||||||||||||||
Corporate Bank Debt | 22,136,102 | (9,911,076 | ) | 49,585,474 | (42,104,295 | ) | — | 19,706,205 | (7,579,205 | ) | ||||||||||||||||||
Purchased Options (interest rate risk) | 23,846,085 | 4,070,745 | — | — | — | 27,916,830 | 4,070,745 | |||||||||||||||||||||
Written Options (interest rate risk) | (6,353,310 | ) | 2,607,380 | — | — | — | (3,745,930 | ) | 2,607,380 | |||||||||||||||||||
Credit Default Swaps (credit risk) | (59,388 | ) | (1,024,582 | ) | 59,693,808 | (58,609,838 | ) | — | — | — | ||||||||||||||||||
$ | 309,834,263 | $ | 24,038,288 | $ | 148,801,371 | $ | (143,632,448 | ) | $ | (31,152,979 | ) | $ | 307,888,495 | $ | 60,474,481 |
* Net realized and unrealized gains (losses) are included in the related amounts in the statement of operations.
There were transfers of $31,152,979 out of Level 3 into Level 2 during the period ended September 30, 2021. Transfers out of Level 3 were due to change in valuation technique from recent trade activity to vendor priced. Transfers into Level 3 were due to change in valuation technique from vendor priced to third party broker quoted.
The following table summarizes the quantitative inputs and assumptions used for items categorized as items categorized as Level 3 of the fair value hierarchy as of September 30, 2021.
Financial Assets | Fair Value at September 30, 2021 | Valuation Technique(s) | Unobservable Inputs | Price/Range | Weighted Average | |||||||||
Special Purpose Acquisition Companies | $ | 7,292,590 | Restricted Security (a) | Cost | $0.76 | $ | 0.76 | |||||||
Corporate Bank Debt | $ | 19,706,205 | Pricing Model (b) | Quotes/Prices | $58.00 | $ | 58.00 | |||||||
Preferred Stock | $ | 14,209,365 | Pricing Model (b) | Quotes/Prices | $505.00 - $600.00 | $ | 595.62 | |||||||
Purchased Options (interest rate risk) | $ | 27,916,830 | Third-Party Broker Quote (c) | Quotes/Prices | $0.00 - $0.06 | $ | 0.03 | |||||||
Written Options (interest rate risk) | $ | (3,745,930 | ) | Third-Party Broker Quote (c) | Quotes/Prices | $0.01 | $ | 0.01 | ||||||
Common Stocks- Long | $ | 56,533,172 | NAV adjusted to Fair Value (d) | N/A | $49.32 | $ | 49.32 | |||||||
29,320,050 | Restricted Security (e) | Quotes/Prices | $885.00 | $ | 885.00 | |||||||||
Limited Partnerships | $ | 31,646,287 | NAV as Practical Expedient (f) | N/A | $33.02 | $ | 65.77 | |||||||
Market Discount | 15% | |||||||||||||
106,423,211 | NAV as Practical Expedient (f) | N/A | $70.32 - $100.00 | |||||||||||
10,235,782 | Discounted NAV (g) | Discount | $29.25 | $ | 47.37 | |||||||||
Market Discount | 31% | |||||||||||||
8,350,933 | Discounted NAV (g) | Discount | $69.59 | |||||||||||
Market Discount | 26% |
(a) | The fair value of the investment is based on the initial purchase price. If the financial condition of the underlying assets were to deteriorate, or if the market comparables were to fall, the valuve of the investment could be lower. |
(b) | The Pricing Model technique for Level 3 securities involves recently quoted funding prices of the security. |
(c) | The Third Party Broker Quote technique involves obtaining an independent third-party broker quote for the security. |
(d) | The NAV provided by the administrator of the LLC is reported at depreciated cost. To adjust to fair value, the Fund obtains independent appraisals of the underlying fixed assets and adjusts the NAV based on the difference between the two values. |
(e) | The fair value of the investment is based on capital funding terms. If the financial condition of the underlying assets were to deteriorate, or if the market comparables were to fall, the valuve of the investment could be lower. |
(f) | No adjustments were made to the NAV provided by the administrator of the Limited Partnerships. Adjustments to the NAV would be considered if the practical expedient NAV was not as of Fund's measurement date; it was probable that the Limited Partnerships would be sold at a value materially different than the reported expedient NAV; or it was determined in accordance with the Fund's valuation procedures that the Limited Partnerships are not being reported at fair value. |
(g) | The NAV provided by the general partner has been discounted for the possible impact from various long-term exit strategies under consideration by the general partner. |
Options Contracts: An option contract is a commitment that gives the purchaser of the contract the right, but not the obligation, to buy or sell an underlying asset at a specific price on or before a specified future date. On the other hand, the writer of an option contract is obligated, upon the exercise of the option, to buy or sell an underlying asset at a specific price on or before a specified future date. A swaption is an option contract granting the owner the right to enter into an underlying swap. Inflation-capped options are options on U.S. inflation rates at a stated strike price. The seller of an inflation-capped option receives an upfront premium and in return the buyer receives the right to receive a payment at the expiration of the option if the cumulative annualized inflation rate over the life of the option is above (for caps) or below (for floors) the stated strike price. The purpose of inflation-capped options is to protect the buyer from inflation erosion above a certain rate on a given notional exposure. A floor can be used to give downside protection to investments in inflation-linked products below a certain rate on a given notional exposure. Writing put options or purchasing call options tends to increase a Fund’s exposure to the underlying instrument. Writing call options or purchasing put options tends to decrease a Fund’s exposure to the underlying instrument. When a Fund writes or purchases a call, put, or inflation-capped option, an amount equal to the premium received or paid by the Fund is recorded as a liability or an investment, respectively, and subsequently adjusted to the current market value, based on the quoted daily settlement price of the option written or purchased. Certain options may be written or purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. Premiums received or paid from writing or purchasing options, which expire unexercised, are treated by a Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or realized is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or loss on investment transactions. A Fund, as a writer of an option, may have no control over whether the underlying instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the underlying written option. In addition, an illiquid market may make it difficult for a Fund to close out an option contract. The maximum risk of loss associated with writing put options is limited to the exercised fair value of the option contract. The maximum risk of loss associated with writing call options is potentially unlimited. Listed option contracts present minimal counterparty credit risk since they are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange-traded options, guarantees the options against default. A Fund’s maximum risk of loss from counterparty credit risk related to OTC option contracts is limited to the premiums paid.
Forward foreign currency contracts: Forward foreign currency contracts are agreements to exchange one currency for another at a future date and at a specified price. The Funds’ transactions in forward foreign currency contracts are limited to transaction and portfolio hedging. The contractual amounts of forward foreign currency contracts do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered and could exceed the net unrealized value shown in the tables below. Risks arise from the possible inability of counterparties to meet the terms of their contracts and from movements in currency values. Forward foreign currency contracts are valued daily at the foreign exchange rates as of the close of the New York Stock Exchange. Unrealized appreciation or depreciation on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the foreign exchange rates at the end of the period is included in the Statement of Assets and Liabilities under the caption “Forward Foreign Currency Contracts.” Realized gains and losses and the net change in unrealized appreciation (depreciation) on forward foreign currency contracts for the year are included in the Statement of Operations under the caption “Forward Foreign Currency Contracts.”
Credit Default Swaps: The Fund enters into credit default swap contracts for investment purposes and to manage its credit risk. Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event of a default or other credit event for the referenced entity, obligation or index. The Fund may purchase or sell protection. A seller of protection generally receives an upfront payment or periodic payments throughout the term of the swap provided there is no credit event. Such periodic payments received are accrued daily and accounted for as realized gains. If a credit event occurs, as defined under the terms of the swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The buyer of protection generally pays an upfront premium or periodic payments throughout the term of the swap provided there is no credit event. Such periodic payments paid are accrued daily and accounted for as realized losses.
Entering into credit default swaps involves, to varying degrees, elements of credit, market and documentation risk in excess of the related amounts recognized in the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligations to perform or disagree as to the meaning of the contractual terms in the agreements, and that there will be unfavorable changes in net interest rates.
NOTE 2 — Federal Income Tax
The cost of investment securities held at September 30, 2021 (excluding short-term investments), was $6,724,640,183 for federal income tax purposes. Net unrealized appreciation consists of:
Gross unrealized appreciation: | $ | 3,088,669,948 | ||
Gross unrealized depreciation: | (269,171,688 | ) | ||
Net unrealized appreciation: | $ | 2,819,498,260 |