AABA Altaba Inc

At March 31, 2019, the tax cost basis of the Fund’s investments and derivatives was $8,759,382 and the unrealized appreciation and depreciation were $47,188,348 and $(7,390), respectively, with a net unrealized appreciation of $47,180,958.

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, 2019 for the Fund’s assets (in thousands):

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

The change in unrealized appreciation (depreciation) attributable to assets and liabilities owned on March 31, 2019, which were valued using significant unobservable inputs (Level 3) amounted to nil and $(65) million, respectively.

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. The fair value for Altaba’s Level 3 financial assets were obtained using a variety of techniques including transaction price, income approach and Black-Scholes models.

Quantitative Disclosure of Derivative Holdings

The Fund entered into Hedge Transactions to reduce the potential dilution with respect to Altaba’s common stock upon conversion of the Fund’s 0.00% Convertible Senior Notes due 2018 (the “Convertible Notes”). The Convertible Notes and Hedge Transactions were settled in December 2018.

The Fund also entered into Warrant Transactions with the certain option counterparties giving them the right to purchase common stock from Altaba. The Warrant Transactions

initially covered, subject to customary anti-dilution adjustments, the same number of shares of common stock that initially underlay the Convertible Notes, including any notes purchased by the initial purchasers pursuant to their over-allotment option. The Warrant Transactions may separately have a dilutive effect with respect to Altaba’s common stock to the extent that the net asset value per share of its common stock exceeds the strike price of the Warrant Transactions, in which case the Fund would be prohibited under the 1940 Act from issuing shares to satisfy its obligations under the Warrant Transactions. If the Fund is required to sell assets to satisfy its obligations under the Warrant Transactions in cash, it may be required to do so at a time that is disadvantageous to the Fund and its stockholders.

The initial strike price of the Warrant Transactions was $71.24. Counterparties to the written warrants may make adjustments to certain terms of the Warrant Transactions upon the occurrence of specified events. The adjusted weighted average strike price of $69.39 (which takes into account adjustments made by Counterparties to the Warrant Transactions in connection with the sale of its operating business to Verizon Communications Inc.) was used in estimating the fair value of the written warrants as of March 31, 2019. The Warrant Transactions began to expire on March 1, 2019 and will continue to expire through May 24, 2019.

There is no master netting arrangement policy.

The average quarterly fair value of written warrants during the period ended March 31, 2019 was $(53) million.

The realized gain (loss) and change in unrealized appreciation (depreciation) on derivatives recognized on the consolidated statement of operations for the period ended March 31, 2019 is as follows (in thousands):

Amount of realized gain (loss) on derivatives recognized as a result of operations:

Change in unrealized appreciation (depreciation) on derivatives recognized as a result of operations:

SIGNATURE

The Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

Grafico Azioni Altaba (NASDAQ:AABA)
Storico
Da Mar 2024 a Apr 2024

Grafico Azioni Altaba (NASDAQ:AABA)
Storico
Da Apr 2023 a Apr 2024