Ann: Quarterly Activities Report, page-19

I don't see why your SMSF can't hold shares in a non-public company unless that is something specifically prohibited by your trust deed or the fund's investment strategy. I'm in the same boat. Most of my holding in TGS is actually held in the SMSF.

There may be some advantage to you effecting an off-market sale of the shares from the SMSF to yourself at the last closing price because this would be a good way of transferring some cash into the SMSF without effecting your tax deductible contribution limit. I believe that the ATO no longer allow off-market share transfers of shares into a SMSF as a means to contribute to a fund, but if your accountant is confident the auditor will be happy with an off-market sale of shares from the SMSF then it could have some benefits.