Open written options contracts as of October 31, 2023 were as follows: | |||||
Description of Options | Number of Contracts | Contract Notional Amount | Strike Price(1) | Expiration Date | Value |
Call Options(2) | |||||
Align Technology, Inc. | (7) | $(245) | $350.00 | 12/15/23 | $— |
Alphabet, Inc. | (173) | (2,422) | 140.00 | 11/17/23 | (2) |
Aon plc | (9) | (297) | 330.00 | 11/17/23 | (1) |
AutoZone, Inc. | (2) | (550) | 2,750.00 | 11/17/23 | (—) (3) |
Chevron Corp. | (68) | (1,156) | 170.00 | 12/15/23 | (1) |
Chipotle Mexican Grill, Inc. | (2) | (430) | 2,150.00 | 11/17/23 | (—) (3) |
FedEx Corp. | (38) | (1,026) | 270.00 | 11/17/23 | (—) (3) |
JPMorgan Chase & Co. | (64) | (1,056) | 165.00 | 11/17/23 | (—) (3) |
Mastercard, Inc. | (62) | (2,511) | 405.00 | 11/17/23 | (1) |
Meta Platforms, Inc. | (19) | (627) | 330.00 | 11/17/23 | (2) |
Micron Technology, Inc. | (55) | (426) | 77.50 | 11/17/23 | (—) (3) |
Moody’s Corp. | (47) | (1,645) | 350.00 | 11/17/23 | (1) |
NVIDIA Corp. | (29) | (1,479) | 510.00 | 11/17/23 | (—) (3) |
RTX Corp. | (74) | (740) | 100.00 | 11/17/23 | (—) (3) |
ServiceNow, Inc. | (6) | (390) | 650.00 | 11/17/23 | (1) |
Taiwan Semiconductor Manufacturing Co., Ltd. | (45) | (495) | 110.00 | 11/17/23 | (—) (3) |
Tesla, Inc. | (87) | (3,132) | 360.00 | 11/17/23 | (—) (3) |
Trip.com Group Ltd. | (104) | (395) | 38.00 | 11/17/23 | (1) |
UnitedHealth Group, Inc. | (11) | (638) | 580.00 | 11/17/23 | (—) (3) |
Total Written Options | $(10) |
Footnote Legend: | |
(1) Strike price not reported in thousands. | |
(2) Exchange-traded options. | |
(3) Amount is less than $500 (not in thousands). |
Total Value at October 31, 2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Instruments: | |||||||
Convertible Bonds and Notes | $152,068 | $— | $152,068 | $— | |||
Corporate Bonds and Notes | 37,761 | — | 37,761 | — | |||
Equity Securities: | |||||||
Convertible Preferred Stocks | 11,158 | 11,158 | — | — | |||
Preferred Stock | 157 | — | — | 157 | |||
Common Stocks | 73,083 | 72,260 | — | 823(1) | |||
Warrant | 142 | — | — | 142 | |||
Equity-Linked Note | 1,001 | — | — | 1,001 | |||
Money Market Mutual Fund | 9,592 | 9,592 | — | — | |||
Total Assets | 284,962 | 93,010 | 189,829 | 2,123 | |||
Liabilities: | |||||||
Other Financial Instruments: | |||||||
Written Options | (10) | (6) | (4) | — | |||
Total Liabilities | (10) | (6) | (4) | — | |||
Total Investments, Net of Written Options | $284,952 | $93,004 | $189,825 | $2,123 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Equity-Linked Note | Common Stocks | Preferred Stocks | Warrant | |||||
Investments in Securities | |||||||||
Balance as of January 31, 2023: | $ 4,189 | $ 3,152 | $ 760 | $ 139 | $ 138 | ||||
Accrued discount/(premium) | —(a) | —(a) | — | — | — | ||||
Net realized gain (loss) | (309) | (309) | — | — | — | ||||
Net change in unrealized appreciation (depreciation)(b) | (134) | (219) | 63 | 18 | 4 | ||||
Purchases | 129 | 129 | — | — | — | ||||
Sales(c) | (1,752) | (1,752) | — | — | — | ||||
Balance as of October 31, 2023 | $ 2,123 | $ 1,001 | $ 823(d) | $ 157 | $ 142 |
Investments in Securities – Assets | Ending Balance at October 31, 2023 | Valuation Technique Used | Unobservable Inputs | Input Values | ||||
Preferred Stock: | ||||||||
LiveStyle, Inc. Series B | $157 | Discounted cash flows liquidation approach | Discount rate | 28.04% (25.90% - 30.09%) | ||||
Common Stocks: | ||||||||
CCF Holdings LLC | $678 | Market and Company Comparables | EV Multiples | 1.17x (0.56x - 2.02x) | ||||
5.47x (3.92x - 7.21x) | ||||||||
0.52x (0.13x - 0.83x) | ||||||||
Illiquidity Discount | 20% | |||||||
CCF Holdings LLC Class M | $145 | Market and Company Comparables | EV Multiples | 1.17x (0.56x - 2.02x) | ||||
5.47x (3.92x - 7.21x) | ||||||||
0.52x (0.13x - 0.83x) | ||||||||
Illiquidity Discount | 20% | |||||||
Warrant: | ||||||||
CCF Holdings LLC | $142 | Market and Company Comparables | EV Multiples | 1.17x (0.56x - 2.02x) | ||||
5.47x (3.92x - 7.21x) | ||||||||
0.52x (0.13x - 0.83x) | ||||||||
Illiquidity Discount | 20% | |||||||
Black-Scholes Model | Volatility | 45.63% | ||||||
• | Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
• | Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 – prices determined using significant unobservable inputs (including the Investment Adviser’s Valuation Committee’s own assumptions in determining the fair value of investments). |