UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act file number |
811-1731 | |||||||
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Source Capital, Inc. | ||||||||
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(Exact name of registrant as specified in charter) | ||||||||
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11601 WILSHIRE BLVD., STE 1200 |
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90025 | ||||||
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(Address of principal executive offices) |
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(Zip code) | ||||||
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Copy to: | ||||||
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J. RICHARD ATWOOD, PRESIDENT |
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MARK D. PERLOW, ESQ. | ||||||
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Source Capital, Inc. |
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DECHERT LLP | ||||||
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11601 WILSHIRE BLVD., STE 1200 |
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ONE BUSH STREET STE. 1600 | ||||||
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LOS ANGELES, CALIFORNIA 90025 |
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SAN FRANCISCO, CA 94104 | ||||||
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(Name and address of agent for service) | ||||||||
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Registrant’s telephone number, including area code: |
(310) 473-0225 |
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Date of fiscal year end: |
December 31 |
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Date of reporting period: |
September 30, 2018 |
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ITEM 1. Schedule of Investments.
SOURCE CAPITAL, INC.
PORTFOLIO OF INVESTMENTS
September 30, 2018
(Unaudited)
|
|
|
Shares |
|
Fair Value |
| |
|
COMMON STOCKS |
|
|
|
|
| |
|
INTERNET MEDIA — 8.5% |
|
|
|
|
| |
|
Alphabet, Inc. (Class A)(a) |
|
6,651 |
|
$ |
8,028,289 |
|
|
Alphabet, Inc. (Class C)(a) |
|
6,694 |
|
7,989,088 |
| |
|
Baidu, Inc. (ADR) (China)(a) |
|
46,767 |
|
10,694,678 |
| |
|
Facebook, Inc. (Class A)(a) |
|
38,850 |
|
6,389,271 |
| |
|
|
|
|
|
$ |
33,101,326 |
|
|
AIRCRAFT & PARTS — 6.0% |
|
|
|
|
| |
|
Arconic, Inc. |
|
535,540 |
|
$ |
11,787,235 |
|
|
United Technologies Corporation |
|
83,510 |
|
11,675,533 |
| |
|
|
|
|
|
$ |
23,462,768 |
|
|
DIVERSIFIED BANKS — 5.8% |
|
|
|
|
| |
|
Bank of America Corporation |
|
307,066 |
|
$ |
9,046,164 |
|
|
Citigroup, Inc. |
|
144,900 |
|
10,395,126 |
| |
|
Royal Bank of Scotland Group plc (Britain) |
|
952,980 |
|
3,105,286 |
| |
|
|
|
|
|
$ |
22,546,576 |
|
|
SEMICONDUCTOR DEVICES — 5.0% |
|
|
|
|
| |
|
Analog Devices, Inc. |
|
94,480 |
|
$ |
8,735,621 |
|
|
Broadcom, Inc. |
|
43,708 |
|
10,784,075 |
| |
|
|
|
|
|
$ |
19,519,696 |
|
|
INFRASTRUCTURE SOFTWARE — 4.3% |
|
|
|
|
| |
|
Microsoft Corporation |
|
64,560 |
|
$ |
7,383,727 |
|
|
Oracle Corporation |
|
181,588 |
|
9,362,677 |
| |
|
|
|
|
|
$ |
16,746,404 |
|
|
CABLE & SATELLITE — 4.0% |
|
|
|
|
| |
|
Charter Communications, Inc. (Class A)(a) |
|
22,609 |
|
$ |
7,367,821 |
|
|
Comcast Corp. (Class A) |
|
233,750 |
|
8,277,087 |
| |
|
|
|
|
|
$ |
15,644,908 |
|
|
P&C INSURANCE — 3.7% |
|
|
|
|
| |
|
American International Group, Inc. |
|
268,700 |
|
$ |
14,305,588 |
|
|
|
|
|
|
|
| |
|
CEMENT & AGGREGATES — 3.1% |
|
|
|
|
| |
|
HeidelbergCement AG (Germany) |
|
71,730 |
|
$ |
5,606,554 |
|
|
LafargeHolcim Ltd. (Switzerland) |
|
133,030 |
|
6,567,458 |
| |
|
|
|
|
|
$ |
12,174,012 |
|
|
INSURANCE BROKERS — 2.6% |
|
|
|
|
| |
|
Aon plc (Britain) |
|
66,727 |
|
$ |
10,261,278 |
|
|
|
|
|
|
|
| |
|
ELECTRICAL COMPONENTS — 2.2% |
|
|
|
|
| |
|
TE Connectivity, Ltd. (Switzerland) |
|
96,290 |
|
$ |
8,466,780 |
|
|
|
|
|
|
|
| |
|
INVESTMENT COMPANIES — 2.1% |
|
|
|
|
| |
|
Groupe Bruxelles Lambert SA (Belgium) |
|
78,610 |
|
$ |
8,241,697 |
|
|
|
|
|
|
|
| |
|
CONSUMER FINANCE — 2.0% |
|
|
|
|
| |
|
Ally Financial, Inc. |
|
161,543 |
|
$ |
4,272,812 |
|
|
American Express Co. |
|
34,511 |
|
3,675,077 |
| |
|
|
|
|
|
$ |
7,947,889 |
|
See notes to financial statements.
|
|
|
Shares or |
|
Fair Value |
| ||
|
COMMON STOCKS - Continued |
|
|
|
|
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GENERIC PHARMA — 1.9% |
|
|
|
|
| ||
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Mylan NV(a) |
|
204,760 |
|
$ |
7,494,216 |
| |
|
|
|
|
|
|
| ||
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ADVERTISING & MARKETING — 1.7% |
|
|
|
|
| ||
|
WPP plc (Britain) |
|
443,640 |
|
$ |
6,502,315 |
| |
|
|
|
|
|
|
| ||
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INTERNET BASED SERVICES — 1.6% |
|
|
|
|
| ||
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Expedia, Inc. |
|
49,160 |
|
$ |
6,414,397 |
| |
|
|
|
|
|
|
| ||
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HOME IMPROVEMENT — 1.6% |
|
|
|
|
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Mohawk Industries, Inc.(a) |
|
34,480 |
|
$ |
6,046,068 |
| |
|
|
|
|
|
|
| ||
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BANKS — 1.5% |
|
|
|
|
| ||
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Wells Fargo & Co. |
|
109,830 |
|
$ |
5,772,665 |
| |
|
|
|
|
|
|
| ||
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MIDSTREAM - OIL & GAS — 1.5% |
|
|
|
|
| ||
|
Kinder Morgan, Inc. |
|
320,500 |
|
$ |
5,682,465 |
| |
|
|
|
|
|
|
| ||
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PACKAGED FOOD — 1.3% |
|
|
|
|
| ||
|
Mondelez International, Inc. (Class A) |
|
118,300 |
|
$ |
5,082,168 |
| |
|
|
|
|
|
|
| ||
|
E-COMMERCE DISCRETIONARY — 1.1% |
|
|
|
|
| ||
|
JD.com, Inc. (ADR) (China)(a) |
|
171,920 |
|
$ |
4,485,393 |
| |
|
|
|
|
|
|
| ||
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FOOD & DRUG STORES — 0.5% |
|
|
|
|
| ||
|
Jardine Strategic Holdings, Ltd. (Hong Kong) |
|
57,010 |
|
$ |
2,069,463 |
| |
|
|
|
|
|
|
| ||
|
LIFE SCIENCE EQUIPMENT — 0.3% |
|
|
|
|
| ||
|
Thermo Fisher Scientific, Inc. |
|
4,213 |
|
$ |
1,028,309 |
| |
|
|
|
|
|
|
| ||
|
BASE METALS — 0.3% |
|
|
|
|
| ||
|
Alcoa Corporation(a) |
|
25,230 |
|
$ |
1,019,292 |
| |
|
|
|
|
|
|
| ||
|
OTHER COMMON STOCKS — 0.0%(a)(b) |
|
|
|
$ |
101,945 |
| |
|
|
|
|
|
|
| ||
|
TOTAL COMMON STOCKS — 62.6% (Cost $208,535,640) |
|
|
|
$ |
244,117,618 |
| |
|
|
|
|
|
|
| ||
|
BONDS & DEBENTURES |
|
|
|
|
| ||
|
|
|
|
|
|
| ||
|
COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.2% |
|
|
|
|
| ||
|
AGENCY — 0.0% |
|
|
|
|
| ||
|
Government National Mortgage Association 2011-49 A — 2.45% 7/16/2038 |
|
$ |
32,281 |
|
$ |
32,217 |
|
|
|
|
|
|
|
| ||
|
AGENCY STRIPPED — 1.9% |
|
|
|
|
| ||
|
Government National Mortgage Association 2014-171 IO — 0.67% 11/16/2055(c) |
|
$ |
15,366,616 |
|
$ |
553,068 |
|
|
Government National Mortgage Association 2012-58 IO — 0.702% 2/16/2053(c) |
|
11,954,955 |
|
371,859 |
| ||
See notes to financial statements.
|
|
|
Principal |
|
Fair Value |
| ||
|
BONDS & DEBENTURES - Continued |
|
|
|
|
| ||
|
Government National Mortgage Association 2012-79 IO — 0.751% 3/16/2053(c) |
|
$ |
7,131,480 |
|
$ |
253,597 |
|
|
Government National Mortgage Association 2015-86 IO — 0.771% 5/16/2052(c) |
|
2,943,719 |
|
151,303 |
| ||
|
Government National Mortgage Association 2015-19 IO — 0.773% 1/16/2057(c) |
|
7,506,221 |
|
413,675 |
| ||
|
Government National Mortgage Association 2012-109 IO — 0.782% 10/16/2053(c) |
|
12,537,782 |
|
401,654 |
| ||
|
Government National Mortgage Association 2012-114 IO — 0.786% 1/16/2053(c) |
|
16,240,432 |
|
789,870 |
| ||
|
Government National Mortgage Association 2014-153 IO — 0.788% 4/16/2056(c) |
|
10,946,149 |
|
569,886 |
| ||
|
Government National Mortgage Association 2013-74 IO — 0.795% 12/16/2053(c) |
|
18,760,624 |
|
860,852 |
| ||
|
Government National Mortgage Association 2013-146 IO — 0.797% 11/16/2048(c) |
|
15,963,308 |
|
573,190 |
| ||
|
Government National Mortgage Association 2014-187 IO — 0.892% 5/16/2056(c) |
|
6,897,984 |
|
385,477 |
| ||
|
Government National Mortgage Association 2015-114 IO — 0.94% 3/15/2057(c) |
|
2,082,647 |
|
120,675 |
| ||
|
Government National Mortgage Association 2015-108 IO — 0.941% 10/16/2056(c) |
|
8,536,860 |
|
505,342 |
| ||
|
Government National Mortgage Association 2016-65 IO — 1.002% 1/16/2058(c) |
|
6,295,445 |
|
466,432 |
| ||
|
Government National Mortgage Association 2016-106 IO — 1.031% 9/16/2058(c) |
|
6,373,092 |
|
487,742 |
| ||
|
Government National Mortgage Association 2016-125 IO — 1.062% 12/16/2057(c) |
|
3,699,039 |
|
285,731 |
| ||
|
|
|
|
|
$ |
7,190,353 |
| |
|
NON-AGENCY — 1.3% |
|
|
|
|
| ||
|
Aventura Mall Trust M 2013-AVM A — 3.867% 12/5/2032(c)(d) |
|
$ |
970,000 |
|
$ |
983,400 |
|
|
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7 B — 5.214% 2/11/2041(c) |
|
124,726 |
|
125,083 |
| ||
|
Citigroup Commercial Mortgage Trust 2006-C4 B — 6.395% 3/15/2049(c) |
|
1,091 |
|
1,092 |
| ||
|
COMM Mortgage Trust 2014-FL5 B, 1M LIBOR + 2.150% — 3.449% 10/15/2031(c)(d) |
|
27,857 |
|
27,887 |
| ||
|
COMM Mortgage Trust 2014-FL5 C, 1M LIBOR + 2.150% — 3.449% 10/15/2031(c)(d) |
|
226,000 |
|
224,934 |
| ||
|
Credit Suisse Commercial Mortgage Trust Series 2016-MFF E, 1M LIBOR + 6.000% — 8.158% 11/15/2033(c)(d) |
|
878,000 |
|
878,308 |
| ||
|
DBUBS Mortgage Trust 2011-LC2A A4 — 4.537% 7/10/2044(d) |
|
1,082,918 |
|
1,111,026 |
| ||
|
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C1 A3 — 5.058% 6/15/2043(d) |
|
191,000 |
|
196,175 |
| ||
|
Latitude Management Real Estate Capita 2016-CRE2 A, 1M LIBOR + 1.700% — 2.696% 11/24/2031(c)(d) |
|
444,000 |
|
446,219 |
| ||
|
Madison Avenue Trust M 2013-650M A — 3.843% 10/12/2032(d) |
|
277,000 |
|
279,024 |
| ||
|
Wells Fargo Commercial Mortgage Trust 2015-C26 A2 — 2.663% 2/15/2048 |
|
198,000 |
|
197,186 |
| ||
|
WFRBS Commercial Mortgage Trust 2013-UBS1 A3 — 3.591% 3/15/2046 |
|
737,000 |
|
743,309 |
| ||
|
|
|
|
|
$ |
5,213,643 |
| |
|
TOTAL COMMERICAL MORTGAGE-BACKED SECURITIES (Cost $12,929,765) |
|
|
|
$ |
12,436,213 |
| |
|
|
|
|
|
|
| ||
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 7.8% |
|
|
|
|
| ||
|
AGENCY COLLATERALIZED MORTGAGE OBLIGATION — 1.6% |
|
|
|
|
| ||
|
Federal Home Loan Mortgage Corporation 4302 AE — 2.00% 11/15/2029 |
|
$ |
400,227 |
|
$ |
391,513 |
|
|
Federal Home Loan Mortgage Corporation 4664 TA — 3.00% 9/15/2037 |
|
170,847 |
|
169,666 |
| ||
|
Federal Home Loan Mortgage Corporation 4504 DN — 3.00% 10/15/2040 |
|
338,085 |
|
335,056 |
| ||
|
Federal Home Loan Mortgage Corporation 3862 MB — 3.50% 5/15/2026 |
|
455,000 |
|
458,160 |
| ||
|
Federal National Mortgage Association 2012-117 DA — 1.50% 12/25/2039 |
|
130,544 |
|
123,762 |
| ||
|
Federal National Mortgage Association 2014-89 LB — 2.00% 6/25/2042 |
|
111,314 |
|
108,233 |
| ||
|
Federal National Mortgage Association 2011-61 B — 3.00% 7/25/2026 |
|
248,000 |
|
245,880 |
| ||
|
Federal National Mortgage Association 2017-30 G — 3.00% 7/25/2040 |
|
254,478 |
|
250,325 |
| ||
|
Federal National Mortgage Association 2013-93 PJ — 3.00% 7/25/2042 |
|
52,137 |
|
51,514 |
| ||
|
Federal National Mortgage Association 2017-16 JA — 3.00% 2/25/2043 |
|
739,982 |
|
731,780 |
| ||
|
Federal National Mortgage Association 2018-16 HA — 3.00% 7/25/2043 |
|
618,195 |
|
609,530 |
| ||
|
Federal National Mortgage Association 2014-4 KA — 3.00% 1/25/2044 |
|
82,326 |
|
80,118 |
| ||
See notes to financial statements.
|
|
|
Principal |
|
Fair Value |
| ||
|
BONDS & DEBENTURES - Continued |
|
|
|
|
| ||
|
Federal National Mortgage Association 2011-98 VE — 3.50% 6/25/2026 |
|
$ |
329,000 |
|
$ |
328,809 |
|
|
Federal National Mortgage Association 2011-80 KB — 3.50% 8/25/2026 |
|
327,000 |
|
329,069 |
| ||
|
Federal National Mortgage Association 2017-45 KD — 3.50% 2/25/2044 |
|
521,013 |
|
517,216 |
| ||
|
Federal National Mortgage Association 2017-52 KC — 3.50% 4/25/2044 |
|
516,700 |
|
512,829 |
| ||
|
Federal National Mortgage Association 2017-59 DC — 3.50% 5/25/2044 |
|
738,002 |
|
732,579 |
| ||
|
Federal National Mortgage Association 2003-78 B — 5.00% 8/25/2023 |
|
200,742 |
|
207,915 |
| ||
|
|
|
|
|
$ |
6,183,954 |
| |
|
AGENCY POOL FIXED RATE — 3.4% |
|
|
|
|
| ||
|
Federal Home Loan Mortgage Corporation J16678 — 3.00% 9/1/2026 |
|
$ |
133,899 |
|
$ |
132,676 |
|
|
Federal Home Loan Mortgage Corporation J17544 — 3.00% 12/1/2026 |
|
179,748 |
|
178,106 |
| ||
|
Federal Home Loan Mortgage Corporation G16406 — 3.00% 1/1/2028 |
|
565,174 |
|
559,129 |
| ||
|
Federal Home Loan Mortgage Corporation G16478 — 3.00% 5/1/2030 |
|
776,132 |
|
768,314 |
| ||
|
Federal Home Loan Mortgage Corporation G16473 — 3.50% 1/1/2028 |
|
909,371 |
|
915,604 |
| ||
|
Federal Home Loan Mortgage Corporation J26472 — 3.50% 11/1/2028 |
|
182,559 |
|
183,953 |
| ||
|
Federal Home Loan Mortgage Corporation G13122 — 5.00% 4/1/2023 |
|
182,610 |
|
187,939 |
| ||
|
Federal Home Loan Mortgage Corporation G15744 — 5.00% 6/1/2026 |
|
161,375 |
|
165,005 |
| ||
|
Federal Home Loan Mortgage Corporation G13145 — 5.50% 4/1/2023 |
|
367,675 |
|
379,387 |
| ||
|
Federal National Mortgage Association MA1212 — 2.50% 10/1/2022 |
|
298,490 |
|
294,784 |
| ||
|
Federal National Mortgage Association AR6882 — 2.50% 2/1/2028 |
|
97,257 |
|
94,823 |
| ||
|
Federal National Mortgage Association BM4386 — 2.50% 8/1/2030 |
|
359,777 |
|
350,772 |
| ||
|
Federal National Mortgage Association AJ6973 — 3.00% 11/1/2026 |
|
44,569 |
|
44,268 |
| ||
|
Federal National Mortgage Association AJ9387 — 3.00% 12/1/2026 |
|
22,240 |
|
22,090 |
| ||
|
Federal National Mortgage Association AU3826 — 3.00% 12/1/2026 |
|
665,920 |
|
661,612 |
| ||
|
Federal National Mortgage Association AL1345 — 3.00% 2/1/2027 |
|
41,123 |
|
40,846 |
| ||
|
Federal National Mortgage Association AB4673 — 3.00% 3/1/2027 |
|
44,666 |
|
44,323 |
| ||
|
Federal National Mortgage Association AK9467 — 3.00% 3/1/2027 |
|
47,406 |
|
47,085 |
| ||
|
Federal National Mortgage Association AB8890 — 3.00% 4/1/2028 |
|
203,304 |
|
201,614 |
| ||
|
Federal National Mortgage Association AL4693 — 3.00% 8/1/2028 |
|
39,828 |
|
39,559 |
| ||
|
Federal National Mortgage Association AU6681 — 3.00% 9/1/2028 |
|
378,527 |
|
375,380 |
| ||
|
Federal National Mortgage Association AU6682 — 3.00% 9/1/2028 |
|
1,894,816 |
|
1,879,061 |
| ||
|
Federal National Mortgage Association 890837 — 3.00% 10/1/2028 |
|
456,618 |
|
453,107 |
| ||
|
Federal National Mortgage Association BM3539 — 3.00% 10/1/2030 |
|
937,956 |
|
930,157 |
| ||
|
Federal National Mortgage Association BM4536 — 3.00% 8/1/2031 |
|
1,312,000 |
|
1,301,091 |
| ||
|
Federal National Mortgage Association AB2446 — 3.50% 3/1/2026 |
|
254,355 |
|
256,118 |
| ||
|
Federal National Mortgage Association MA3075 — 3.50% 7/1/2027 |
|
828,503 |
|
836,511 |
| ||
|
Federal National Mortgage Association MA3132 — 3.50% 9/1/2027 |
|
183,695 |
|
185,470 |
| ||
|
Federal National Mortgage Association MA3251 — 3.50% 1/1/2028 |
|
222,497 |
|
224,579 |
| ||
|
Federal National Mortgage Association MA3321 — 3.50% 3/1/2028 |
|
122,562 |
|
123,709 |
| ||
|
Federal National Mortgage Association CA1631 — 3.50% 10/1/2028 |
|
210,530 |
|
211,973 |
| ||
|
Federal National Mortgage Association BM1231 — 3.50% 11/1/2031 |
|
444,493 |
|
447,679 |
| ||
|
Federal National Mortgage Association 889109 — 5.00% 1/1/2023 |
|
125,703 |
|
128,518 |
| ||
|
Federal National Mortgage Association AE0286 — 5.00% 4/1/2025 |
|
200,914 |
|
206,638 |
| ||
|
Federal National Mortgage Association AL7725 — 5.00% 9/1/2025 |
|
324,908 |
|
332,874 |
| ||
|
Federal National Mortgage Association 256717 — 5.50% 5/1/2022 |
|
104,166 |
|
107,046 |
| ||
|
|
|
|
|
$ |
13,311,800 |
| |
|
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATION — 2.8% |
|
|
|
|
| ||
|
CIM Trust 2017-7 A, VRN — 3.00% 4/25/2057(c)(d) |
|
$ |
767,253 |
|
$ |
759,482 |
|
|
CIM Trust 2018-R3 A1, VRN — 5.00% 12/25/2057(c)(d) |
|
1,173,774 |
|
1,205,363 |
| ||
|
Citigroup Mortgage Loan Trust, Inc. 2014-A A — 4.00% 1/25/2035(c)(d) |
|
225,978 |
|
227,077 |
| ||
|
Finance of America Structured Securities Trust 2017-HB1 M1 — 2.84% 11/25/2027(c)(d) |
|
379,000 |
|
375,403 |
| ||
See notes to financial statements.
|
|
|
Principal |
|
Fair Value |
| ||
|
BONDS & DEBENTURES - Continued |
|
|
|
|
| ||
|
Mill City Mortgage Loan Trust 2018-2 A1, VRN — 3.50% 5/25/2058(c)(d) |
|
$ |
1,108,232 |
|
$ |
1,100,887 |
|
|
Mill City Mortgage Loan Trust 2018-3 A1, VRN — 3.50% 8/25/2058(c)(d) |
|
539,000 |
|
533,719 |
| ||
|
Nationstar HECM Loan Trust 2017-2A M1 — 2.815% 9/25/2027(c)(d) |
|
316,000 |
|
314,519 |
| ||
|
Nationstar HECM Loan Trust 2018-2A M1, VRN — 3.552% 7/25/2028(c)(d) |
|
188,000 |
|
187,438 |
| ||
|
Nomura Resecuritization Trust 2016-1R 3A1 — 5.00% 9/28/2036(c)(d) |
|
120,370 |
|
121,692 |
| ||
|
Towd Point Mortgage Trust 2016-3 A1 — 2.25% 4/25/2056(c)(d) |
|
447,766 |
|
435,945 |
| ||
|
Towd Point Mortgage Trust 2015-5 A1B, VRN — 2.75% 5/25/2055(c)(d) |
|
189,919 |
|
186,444 |
| ||
|
Towd Point Mortgage Trust 2015-1 AES — 3.00% 10/25/2053(c)(d) |
|
322,001 |
|
319,097 |
| ||
|
Towd Point Mortgage Trust 2015-3 A1B, VRN — 3.00% 3/25/2054(c)(d) |
|
313,149 |
|
309,746 |
| ||
|
Towd Point Mortgage Trust 2018-1 A1, VRN — 3.00% 1/25/2058(c)(d) |
|
852,872 |
|
836,838 |
| ||
|
Towd Point Mortgage Trust 2018-2 A1, VRN — 3.25% 3/25/2058(c)(d) |
|
1,205,742 |
|
1,189,255 |
| ||
|
Towd Point Mortgage Trust 2018-5 A1A, VRN — 3.25% 8/25/2058(c)(d) |
|
1,297,000 |
|
1,279,910 |
| ||
|
Towd Point Mortgage Trust 2015-4 A1 — 3.50% 4/25/2055(c)(d) |
|
674,486 |
|
671,455 |
| ||
|
Towd Point Mortgage Trust 2015-2 2A1 — 3.75% 11/25/2057(c)(d) |
|
854,325 |
|
853,774 |
| ||
|
|
|
|
|
$ |
10,908,044 |
| |
|
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost $30,762,004) |
|
|
|
$ |
30,403,798 |
| |
|
|
|
|
|
|
| ||
|
ASSET-BACKED SECURITIES — 18.5% |
|
|
|
|
| ||
|
AUTO — 5.4% |
|
|
|
|
| ||
|
Ally Auto Receivables Trust 2017-1 B — 2.35% 3/15/2022 |
|
$ |
101,000 |
|
$ |
99,017 |
|
|
Ally Auto Receivables Trust 2017-1 C — 2.48% 5/16/2022 |
|
191,000 |
|
187,629 |
| ||
|
AmeriCredit Automobile Receivables Trust 2017-4 A3 — 2.04% 7/18/2022 |
|
402,000 |
|
396,190 |
| ||
|
AmeriCredit Automobile Receivables Trust 2017-1 C — 2.71% 8/18/2022 |
|
203,000 |
|
199,855 |
| ||
|
BMW Vehicle Lease Trust 2017-1 A4 — 2.18% 6/22/2020 |
|
501,000 |
|
497,573 |
| ||
|
BMW Vehicle Lease Trust 2017-2 A4 — 2.19% 3/22/2021 |
|
247,000 |
|
243,668 |
| ||
|
Capital Auto Receivables Asset Trust 2016-1 B — 2.67% 12/21/2020 |
|
114,000 |
|
113,695 |
| ||
|
CarMax Auto Owner Trust 2017-4 A3 — 2.11% 10/17/2022 |
|
225,000 |
|
221,536 |
| ||
|
CarMax Auto Owner Trust 2018-1 A3 — 2.48% 11/15/2022 |
|
474,000 |
|
468,290 |
| ||
|
CarMax Auto Owner Trust 2018-2 A3 — 2.98% 1/17/2023 |
|
536,000 |
|
534,077 |
| ||
|
Credit Acceptance Auto Loan Trust 2017-2A A — 2.55% 2/17/2026(d) |
|
1,351,000 |
|
1,338,260 |
| ||
|
Credit Acceptance Auto Loan Trust 2017-3A A — 2.65% 6/15/2026(d) |
|
445,000 |
|
439,883 |
| ||
|
Credit Acceptance Auto Loan Trust 2016-3A B — 2.94% 10/15/2024(d) |
|
548,000 |
|
541,273 |
| ||
|
Credit Acceptance Auto Loan Trust 2016-2A B — 3.18% 5/15/2024(d) |
|
601,000 |
|
600,912 |
| ||
|
Credit Acceptance Auto Loan Trust 2017-3A B — 3.21% 8/17/2026(d) |
|
941,000 |
|
924,044 |
| ||
|
DT Auto Owner Trust 2017-4A C — 2.86% 7/17/2023(d) |
|
236,000 |
|
234,965 |
| ||
|
Exeter Automobile Receivables Trust 2018-1A B — 2.75% 4/15/2022(d) |
|
275,000 |
|
272,587 |
| ||
|
Exeter Automobile Receivables Trust 2017-1A B — 3.00% 12/15/2021(d) |
|
237,000 |
|
236,520 |
| ||
|
First Investors Auto Owner Trust 2017-1A B — 2.67% 4/17/2023(d) |
|
115,000 |
|
113,709 |
| ||
|
First Investors Auto Owner Trust 2017-1A C — 2.95% 4/17/2023(d) |
|
219,000 |
|
214,561 |
| ||
|
GM Financial Automobile Leasing Trust 2016-3 C — 2.38% 5/20/2020 |
|
208,000 |
|
207,011 |
| ||
|
GM Financial Automobile Leasing Trust 2017-2 B — 2.43% 6/21/2021 |
|
597,000 |
|
590,179 |
| ||
|
GM Financial Automobile Leasing Trust 2017-1 B — 2.48% 8/20/2020 |
|
1,320,000 |
|
1,309,039 |
| ||
|
GM Financial Automobile Leasing Trust 2018-1 A4 — 2.68% 12/20/2021 |
|
385,000 |
|
381,281 |
| ||
|
GM Financial Automobile Leasing Trust 2017-1 C — 2.74% 8/20/2020 |
|
597,000 |
|
591,993 |
| ||
|
GM Financial Automobile Leasing Trust 2017-2 C — 2.84% 6/21/2021 |
|
100,000 |
|
99,043 |
| ||
|
Honda Auto Receivables Owner Trust 2018-1I A4 — 2.78% 5/15/2024 |
|
918,000 |
|
910,143 |
| ||
|
Hyundai Auto Lease Securitization Trust 2017-C A4 — 2.21% 9/15/2021(d) |
|
265,000 |
|
261,520 |
| ||
|
Hyundai Auto Lease Securitization Trust 2018-A A4 — 2.89% 3/15/2022(d) |
|
576,000 |
|
572,067 |
| ||
|
Hyundai Auto Receivables Trust 2018-A A4 — 2.94% 6/17/2024 |
|
656,000 |
|
651,117 |
| ||
|
Mercedes-Benz Auto Lease Trust 2018-A A4 — 2.51% 10/16/2023 |
|
158,000 |
|
156,390 |
| ||
See notes to financial statements.
|
|
|
Principal |
|
Fair Value |
| ||
|
BONDS & DEBENTURES - Continued |
|
|
|
|
| ||
|
Nissan Auto Lease Trust 2017-A A3 — 1.91% 4/15/2020 |
|
$ |
567,000 |
|
$ |
563,706 |
|
|
Nissan Auto Lease Trust 2017-B A4 — 2.17% 12/15/2021 |
|
292,000 |
|
288,337 |
| ||
|
Nissan Auto Receivables Owner Trust 2018-A A3 — 2.65% 5/16/2022 |
|
662,000 |
|
657,502 |
| ||
|
Prestige Auto Receivables Trust 2016-2A B — 2.19% 11/15/2022(d) |
|
673,000 |
|
669,827 |
| ||
|
Prestige Auto Receivables Trust 2017-1A B — 2.39% 5/16/2022(d) |
|
319,000 |
|
314,769 |
| ||
|
Prestige Auto Receivables Trust 2017-1A C — 2.81% 1/17/2023(d) |
|
787,000 |
|
771,073 |
| ||
|
Prestige Auto Receivables Trust 2016-2A C — 2.88% 11/15/2022(d) |
|
327,000 |
|
324,932 |
| ||
|
Santander Drive Auto Receivables Trust 2017-3 B — 2.19% 3/15/2022 |
|
797,000 |
|
789,344 |
| ||
|
Santander Drive Auto Receivables Trust 2017-1 C — 2.58% 5/16/2022 |
|
209,000 |
|
207,623 |
| ||
|
Santander Drive Auto Receivables Trust 2018-1 B — 2.63% 7/15/2022 |
|
463,000 |
|
460,321 |
| ||
|
Santander Drive Auto Receivables Trust 2016-2 C — 2.66% 11/15/2021 |
|
131,000 |
|
130,667 |
| ||
|
Santander Drive Auto Receivables Trust 2017-2 C — 2.79% 8/15/2022 |
|
327,000 |
|
325,026 |
| ||
|
Westlake Automobile Receivables Trust 2017-1A C — 2.70% 10/17/2022(d) |
|
411,000 |
|
409,407 |
| ||
|
Westlake Automobile Receivables Trust 2018-1A C — 2.92% 5/15/2023(d) |
|
310,000 |
|
307,001 |
| ||
|
World Omni Auto Receivables Trust 2018-A A3 — 2.50% 4/17/2023 |
|
773,000 |
|
762,858 |
| ||
|
World Omni Automobile Lease Securitization Trust 2017-A A4 — 2.32% 8/15/2022 |
|
149,000 |
|
147,679 |
| ||
|
World Omni Automobile Lease Securitization Trust 2017-A B — 2.48% 8/15/2022 |
|
276,000 |
|
273,277 |
| ||
|
|
|
|
|
$ |
21,011,376 |
| |
|
COLLATERALIZED LOAN OBLIGATION — 4.5% |
|
|
|
|
| ||
|
Adams Mill CLO Ltd. 2014-1A B2R — 3.35% 7/15/2026(d) |
|
$ |
250,000 |
|
$ |
246,080 |
|
|
B&M CLO Ltd. 2014-1A A2R, FRN — 3.939% 4/16/2026(c)(d) |
|
287,000 |
|
287,148 |
| ||
|
Black Diamond CLO Ltd. 2014-1A A1R, 3M USD LIBOR + 1.150% — 3.486% 10/17/2026(c)(d) |
|
893,000 |
|
892,308 |
| ||
|
BlueMountain CLO Ltd. 2013-4A — 3.36% 4/15/2025(d) |
|
250,000 |
|
250,218 |
| ||
|
Cerberus Loan Funding XVIII LP 2017-1A A, 3M USD LIBOR + 1.750% — 4.089% 4/15/2027(c)(d) |
|
1,138,000 |
|
1,138,124 |
| ||
|
Cerberus Loan Funding XXI LP 2017-4A A, FRN — 3.789% 10/15/2027(c)(d) |
|
857,000 |
|
857,039 |
| ||
|
Elm Trust 2016-1A A2 — 4.163% 6/20/2025(d) |
|
356,000 |
|
353,658 |
| ||
|
Flagship VII Ltd. 2013-7A A2R — 2.70% 1/20/2026(d) |
|
291,606 |
|
288,845 |
| ||
|
Fortress Credit Opportunities IX CLO Ltd. 2017-9A A1T, FRN — 3.864% 11/15/2029(c)(d) |
|
613,000 |
|
613,967 |
| ||
|
Fortress Credit Opportunities IX CLO Ltd. 2017-9A E, FRN — 9.564% 11/15/2029(c)(d) |
|
328,000 |
|
320,569 |
| ||
|
Fortress Credit Opportunities VII CLO, Ltd. 2016-7I E, 3M USD LIBOR + 7.490% — 9.824% 12/15/2028(c) |
|
561,000 |
|
561,564 |
| ||
|
Halcyon Loan Advisors Funding 2015-3A A1R, 3M USD LIBOR + 0.90% — 3.233% 10/18/2027(c)(d) |
|
1,089,000 |
|
1,087,370 |
| ||
|
Halcyon Loan Advisors Funding 2015-1A AR, FRN — 3.268% 4/20/2027(c)(d) |
|
1,304,000 |
|
1,303,188 |
| ||
|
Halcyon Loan Advisors Funding 2014-3A AR, 3M USD LIBOR + 1.100% — 3.447% 10/22/2025(c)(d) |
|
491,000 |
|
491,042 |
| ||
|
Ivy Hill Middle Market Credit Fund VII Ltd. — 3.583% 7/18/2030(c)(d)(e) |
|
604,000 |
|
603,396 |
| ||
|
Ivy Hill Middle Market Credit Fund VII Ltd. 7A AR, FRN — 3.878% 10/20/2029(c)(d) |
|
250,000 |
|
249,824 |
| ||
|
NewMark Capital Funding CLO, Ltd. 2014-2A AFR — 3.077% 6/30/2026(d) |
|
224,771 |
|
222,455 |
| ||
|
NewMark Capital Funding CLO, Ltd. 2014-2A BFR — 3.669% 6/30/2026(d) |
|
278,000 |
|
277,815 |
| ||
|
Oaktree CLO Ltd. 2014-2A A1BR — 2.953% 10/20/2026(d) |
|
293,000 |
|
288,734 |
| ||
|
Ocean Trails CLO V 2014-5A C2R — 4.70% 10/13/2026(d) |
|
186,000 |
|
185,939 |
| ||
|
Saranac CLO III Ltd. 2014-3A ALR, FRN — 3.466% 6/22/2030(c)(d) |
|
632,000 |
|
631,997 |
| ||
|
Senior Credit Fund SPV LLC 2016-1A — 3.033% 12/19/2025(e) |
|
925,000 |
|
925,000 |
| ||
|
Silvermore CLO Ltd. 2014-1A A1R, 3M USD LIBOR + 1.170% — 3.484% 5/15/2026(c)(d) |
|
595,533 |
|
595,671 |
| ||
|
Symphony CLO XII Ltd. 2013-12A B2R — 3.389% 10/15/2025(d) |
|
427,000 |
|
426,994 |
| ||
See notes to financial statements.
|
|
|
Principal |
|
Fair Value |
| ||
|
BONDS & DEBENTURES - Continued |
|
|
|
|
| ||
|
Telos CLO 2013-3A AR, 3M USD LIBOR + 1.300% — 3.636% 7/17/2026(c)(d) |
|
$ |
474,000 |
|
$ |
475,615 |
|
|
Telos CLO 2013-3A BR, 3M USD LIBOR + 2.000% — 4.336% 7/17/2026(c)(d) |
|
550,000 |
|
550,076 |
| ||
|
Telos CLO Ltd. 2014-5A A1R, FRN — 3.286% 4/17/2028(c)(d) |
|
828,000 |
|
827,094 |
| ||
|
THL Credit Wind River CLO Ltd. 2016-1A AR, FRN — 3.398% 7/15/2028(c) |
|
640,000 |
|
639,993 |
| ||
|
VCO CLO LLC 2018-1A A, FRN — 3.942% 7/20/2030(c)(d) |
|
607,000 |
|
606,971 |
| ||
|
Wellfleet CLO Ltd. 2016-1A AR, FRN — 3.258% 4/20/2028(c)(d) |
|
629,000 |
|
624,367 |
| ||
|
West CLO Ltd. 2014-2A A1BR — 2.724% 1/16/2027(d) |
|
233,000 |
|
227,944 |
| ||
|
West CLO Ltd. 2013-1A A1BR — 2.745% 11/7/2025(d) |
|
173,380 |
|
172,158 |
| ||
|
West CLO Ltd. 2013-1A A2BR — 3.393% 11/7/2025(d) |
|
250,000 |
|
249,880 |
| ||
|
Zais CLO 2 Ltd. 2014-2A A1BR — 2.92% 7/25/2026(d) |
|
250,000 |
|
246,292 |
| ||
|
|
|
|
|
$ |
17,719,335 |
| |
|
CREDIT CARD — 1.4% |
|
|
|
|
| ||
|
American Express Credit Account Master Trust 2017-6 B — 2.20% 5/15/2023 |
|
$ |
1,002,000 |
|
$ |
980,468 |
|
|
Capital One Multi-Asset Execution Trust 2016-A6 A6 — 1.82% 9/15/2022 |
|
1,051,000 |
|
1,038,470 |
| ||
|
Capital One Multi-Asset Execution Trust 2017-A1 A1 — 2.00% 1/17/2023 |
|
1,321,000 |
|
1,302,626 |
| ||
|
Golden Credit Card Trust 2018-1A A — 2.62% 1/15/2023(d) |
|
798,000 |
|
787,213 |
| ||
|
Synchrony Card Issuance Trust 2018-A1 A1 — 3.38% 9/15/2024 |
|
1,279,000 |
|
1,279,000 |
| ||
|
Synchrony Credit Card Master Note Trust 2016-3 B — 1.91% 9/15/2022 |
|
104,000 |
|
102,870 |
| ||
|
|
|
|
|
$ |
5,490,647 |
| |
|
EQUIPMENT — 4.3% |
|
|
|
|
| ||
|
ARI Fleet Lease Trust 2018-A A3 — 2.84% 10/15/2026(d) |
|
$ |
340,000 |
|
$ |
336,157 |
|
|
Ascentium Equipment Receivables Trust 2017-2A A3 — 2.31% 12/10/2021(d) |
|
288,000 |
|
282,588 |
| ||
|
Avis Budget Rental Car Funding AESOP LLC 2014-2A A — 2.50% 2/20/2021(d) |
|
172,000 |
|
170,653 |
| ||
|
Avis Budget Rental Car Funding AESOP LLC 2015-1A A — 2.50% 7/20/2021(d) |
|
1,282,000 |
|
1,264,557 |
| ||
|
Avis Budget Rental Car Funding AESOP LLC 2015-2A A — 2.63% 12/20/2021(d) |
|
616,000 |
|
606,647 |
| ||
|
CCG Receivables Trust 2018-1 A2 — 2.50% 6/16/2025(d) |
|
363,000 |
|
360,914 |
| ||
|
Chesapeake Funding II LLC 2017-4A A1 — 2.12% 11/15/2029(d) |
|
654,140 |
|
646,198 |
| ||
|
Coinstar Funding LLC Series 2017-1A A2 — 5.216% 4/25/2047(d) |
|
225,150 |
|
227,870 |
| ||
|
Dell Equipment Finance Trust 2017-2 A3 — 2.19% 10/24/2022(d) |
|
179,000 |
|
177,080 |
| ||
|
Enterprise Fleet Financing LLC 2017-3 A2 — 2.13% 5/22/2023(d) |
|
442,906 |
|
438,965 |
| ||
|
Enterprise Fleet Financing LLC 2017-1 A3 — 2.60% 7/20/2022(d) |
|
275,000 |
|
272,468 |
| ||
|
GreatAmerica Leasing Receivables Funding LLC Series 2017-1 A4 — 2.36% 1/20/2023(d) |
|
177,000 |
|
174,739 |
| ||
|
GreatAmerica Leasing Receivables Funding LLC Series 2018-1 A4 — 2.83% 6/17/2024(d) |
|
210,000 |
|
207,008 |
| ||
|
GreatAmerica Leasing Receivables Funding LLC Series 2017-1 C — 2.89% 1/22/2024(d) |
|
250,000 |
|
246,235 |
| ||
|
Hertz Fleet Lease Funding LP 2017-1 A2 — 2.13% 4/10/2031(d) |
|
470,638 |
|
467,820 |
| ||
|
Hertz Fleet Lease Funding LP 2018-1 A2 — 3.23% 5/10/2032(d) |
|
409,000 |
|
408,761 |
| ||
|
John Deere Owner Trust 2018-B A4 — 3.23% 6/16/2025 |
|
620,000 |
|
616,895 |
| ||
|
John Deere Owner Trust 2018 2018-A A4 — 2.91% 1/15/2025 |
|
598,000 |
|
592,611 |
| ||
|
Kubota Credit Owner Trust 2018-1A A3 — 3.10% 8/15/2022(d) |
|
1,009,000 |
|
1,006,391 |
| ||
|
MMAF Equipment Finance LLC 2017-B A3 — 2.21% 10/17/2022(d) |
|
499,000 |
|
490,113 |
| ||
|
NextGear Floorplan Master Owner Trust 2017-1A A2 — 2.54% 4/18/2022(d) |
|
620,000 |
|
613,603 |
| ||
|
NextGear Floorplan Master Owner Trust 2017-2A B — 3.02% 10/17/2022(d) |
|
498,000 |
|
491,599 |
| ||
|
NextGear Floorplan Master Owner Trust 2018-1A A2 — 3.22% 2/15/2023(d) |
|
300,000 |
|
297,889 |
| ||
|
Prop Series 2017-1A — 5.30% 3/15/2042(e) |
|
922,846 |
|
908,562 |
| ||
|
Verizon Owner Trust 2016-2A A — 1.68% 5/20/2021(d) |
|
240,000 |
|
238,331 |
| ||
|
Verizon Owner Trust 2017-2A A — 1.92% 12/20/2021(d) |
|
707,000 |
|
697,835 |
| ||
|
Verizon Owner Trust 2017-1A A — 2.06% 9/20/2021(d) |
|
269,000 |
|
266,571 |
| ||
|
Verizon Owner Trust 2017-3A A1A — 2.06% 4/20/2022(d) |
|
311,000 |
|
306,261 |
| ||
See notes to financial statements.
|
|
|
Principal |
|
Fair Value |
| ||
|
BONDS & DEBENTURES - Continued |
|
|
|
|
| ||
|
Verizon Owner Trust 2016-2A B — 2.15% 5/20/2021(d) |
|
$ |
269,000 |
|
$ |
265,126 |
|
|
Verizon Owner Trust 2017-2A B — 2.22% 12/20/2021(d) |
|
645,000 |
|
631,743 |
| ||
|
Verizon Owner Trust 2017-1A B — 2.45% 9/20/2021(d) |
|
918,000 |
|
905,428 |
| ||
|
Verizon Owner Trust 2018-1A B — 3.05% 9/20/2022(d) |
|
553,000 |
|
547,851 |
| ||
|
Volvo Financial Equipment LLC Series 2017-1A A4 — 2.21% 11/15/2021(d) |
|
159,000 |
|
156,363 |
| ||
|
Volvo Financial Equipment LLC Series 2018-1A A3 — 2.54% 2/15/2022(d) |
|
987,000 |
|
977,987 |
| ||
|
Wheels SPV 2 LLC 2018-1A A3 — 3.24% 4/20/2027(d) |
|
291,000 |
|
289,884 |
| ||
|
|
|
|
|
$ |
16,589,703 |
| |
|
OTHER — 2.9% |
|
|
|
|
| ||
|
Conn Funding II LP 2017-B B — 4.52% 4/15/2021(d) |
|
$ |
200,000 |
|
$ |
201,052 |
|
|
New Residential Advance Receivables Trust 2015-ON1 2016-T4 AT4 — 3.107% 12/15/2050(d) |
|
1,345,000 |
|
1,332,357 |
| ||
|
New Residential Advance Receivables Trust Advance Receivables Backed Notes 2016-T2 AT2 — 2.575% 10/15/2049(d) |
|
681,000 |
|
675,194 |
| ||
|
New Residential Advance Receivables Trust Advance Receivables Backed Notes 2017-T1 AT1 — 3.214% 2/15/2051(d) |
|
1,262,000 |
|
1,249,058 |
| ||
|
New Residential Mortgage LLC 2018-FNT1 A — 3.61% 5/25/2023(d) |
|
754,796 |
|
750,428 |
| ||
|
New Residential Mortgage LLC 2018-FNT2 A — 3.79% 7/25/2054(d) |
|
877,600 |
|
875,698 |
| ||
|
NRZ Excess Spread-Collateralized Notes Series 2018-PLS1 A — 3.193% 1/25/2023(d) |
|
376,002 |
|
372,574 |
| ||
|
NRZ Excess Spread-Collateralized Notes Series 2018-PLS2 A — 3.265% 2/25/2023(d) |
|
421,613 |
|
417,979 |
| ||
|
Panhandle-Plains Student Finance Corporation 2001-1 A2 — 3.17% 12/1/2031(e) |
|
600,000 |
|
596,250 |
| ||
|
PFS Financing Corp. 2017-D A — 2.40% 10/17/2022(d) |
|
430,000 |
|
421,625 |
| ||
|
PFS Financing Corp. 2017-D B — 2.74% 10/17/2022(d) |
|
202,000 |
|
198,139 |
| ||
|
PFS Financing Corp. 2018-B A — 2.89% 2/15/2023(d) |
|
1,085,000 |
|
1,072,658 |
| ||
|
PFS Financing Corp. 2018-B B — 3.08% 2/15/2023(d) |
|
191,000 |
|
188,517 |
| ||
|
PFS Financing Corp. 2018-D A — 3.19% 4/17/2023(d) |
|
846,000 |
|
840,895 |
| ||
|
PFS Financing Corp. 2018-D B — 3.45% 4/17/2023(d) |
|
421,000 |
|
417,333 |
| ||
|
PFS Financing Corporation 2016-BA A — 1.87% 10/15/2021(d) |
|
320,000 |
|
316,066 |
| ||
|
PFS Financing Corporation 2017-BA A2 — 2.22% 7/15/2022(d) |
|
588,000 |
|
576,253 |
| ||
|
PFS Financing Corporation 2017-BA B — 2.57% 7/15/2022(d) |
|
195,000 |
|
191,419 |
| ||
|
Unison Ground Lease Funding LLC 2013-1 B — 5.78% 3/15/2043(d)(e) |
|
349,000 |
|
346,362 |
| ||
|
WCP ISSUER LLC 2013-1 B — 6.657% 8/15/2043(d)(e) |
|
409,000 |
|
423,164 |
| ||
|
|
|
|
|
$ |
11,463,021 |
| |
|
TOTAL ASSET-BACKED SECURITIES (Cost $72,744,799) |
|
|
|
$ |
72,274,082 |
| |
|
|
|
|
|
|
| ||
|
CORPORATE BONDS & NOTES — 0.9% |
|
|
|
|
| ||
|
COMMUNICATIONS — 0.2% |
|
|
|
|
| ||
|
Cisco Systems, Inc. — 2.45% 6/15/2020 |
|
$ |
669,000 |
|
$ |
663,497 |
|
|
CONSUMER, CYCLICAL — 0.0% |
|
|
|
|
| ||
|
Continental Airlines 2000-1 Class B Pass Through Trust — 8.388% 5/1/2022 |
|
$ |
753 |
|
$ |
824 |
|
|
Northwest Airlines 1999-2 Class C Pass Through Trust — 8.304% 9/1/2010(e) |
|
284,512 |
|
49,790 |
| ||
|
|
|
|
|
$ |
50,614 |
| |
|
CONSUMER, NON-CYCLICAL — 0.1% |
|
|
|
|
| ||
|
StoneMor Partners LP / Cornerstone Family Services of West Virginia Subsidiary — 7.875% 6/1/2021 |
|
$ |
540,000 |
|
$ |
501,187 |
|
|
ENERGY — 0.3% |
|
|
|
|
| ||
|
PHI, Inc. — 5.25% 3/15/2019 |
|
$ |
1,135,000 |
|
$ |
1,083,925 |
|
See notes to financial statements.
|
|
|
Principal |
|
Fair Value |
| ||
|
BONDS & DEBENTURES - Continued |
|
|
|
|
| ||
|
FINANCIAL — 0.1% |
|
|
|
|
| ||
|
Berkshire Hathaway Finance Corporation, 3M USD LIBOR + 0.260% — 2.574% 8/15/2019(c) |
|
$ |
336,000 |
|
$ |
336,767 |
|
|
INDUSTRIAL — 0.0% |
|
|
|
|
| ||
|
Air 2 US — 10.127% 10/1/2020(d)(e) |
|
$ |
426,921 |
|
$ |
81,115 |
|
|
|
|
|
|
|
| ||
|
TECHNOLOGY — 0.2% |
|
|
|
|
| ||
|
Apple, Inc. — 1.90% 2/7/2020 |
|
$ |
750,000 |
|
$ |
740,636 |
|
|
Oracle Corporation — 3.875% 7/15/2020 |
|
21,000 |
|
21,343 |
| ||
|
|
|
|
|
$ |
761,979 |
| |
|
TOTAL CORPORATE BONDS & NOTES (Cost $3,709,504) |
|
|
|
$ |
3,479,084 |
| |
|
|
|
|
|
|
| ||
|
CORPORATE BANK DEBT — 0.9% |
|
|
|
|
| ||
|
ABG Intermediate Holdings 2 LLC, 3M USD LIBOR + 7.750% — 9.992% 9/29/2025(c)(f) |
|
$ |
293,000 |
|
$ |
293,366 |
|
|
JC Penney Corporation, Inc., 1M USD LIBOR + 4.250% — 6.567% 6/23/2023(c)(f) |
|
531,910 |
|
487,495 |
| ||
|
Logix Holding Co. LLC TL 1L, 1M USD LIBOR 5.750% — 7.992% 12/22/2024(c)(f) |
|
296,228 |
|
295,487 |
| ||
|
MB2LTL, 6M USD LIBOR + 9.250% — 11.75% 11/30/2023(c)(e)(f) |
|
184,000 |
|
184,920 |
| ||
|
OTGDDTL — 1.000% 8/23/2021(c)(e)(f)(g) |
|
5,949 |
|
147 |
| ||
|
OTGTL, 3M USD LIBOR 9.000% — 11.337% 8/23/2021(c)(e)(f) |
|
671,051 |
|
674,178 |
| ||
|
SDTL, 1M USD LIBOR +4.500 — 6.879% 11/22/2021(c)(e)(f) |
|
348,847 |
|
348,034 |
| ||
|
Xplornet Communication, Inc., 3M USD LIBOR 4.000% — 6.386% 9/9/2021(c)(f) |
|
560,690 |
|
563,034 |
| ||
|
ZW1L, 3M USD LIBOR 5.000% — 7.340% 11/16/2022(c)(e)(f) |
|
363,292 |
|
363,746 |
| ||
|
ZW2L, 3M USD LIBOR 9.000% — 11.312% 11/16/2023(c)(e)(f) |
|
130,000 |
|
131,625 |
| ||
|
|
|
|
|
|
| ||
|
TOTAL CORPORATE BANK DEBT (Cost $3,338,465) |
|
|
|
$ |
3,342,032 |
| |
|
|
|
|
|
|
| ||
|
U.S. TREASURIES — 1.7% |
|
|
|
|
| ||
|
U.S. Treasury Notes — 1.875% 1/31/2022 |
|
$ |
2,247,000 |
|
$ |
2,173,599 |
|
|
U.S. Treasury Notes — 2.000% 11/15/2021 |
|
2,231,000 |
|
2,171,879 |
| ||
|
U.S. Treasury Notes — 2.000% 2/15/2022 |
|
2,238,000 |
|
2,173,339 |
| ||
|
|
|
|
|
|
| ||
|
TOTAL U.S. TREASURIES (Cost $6,534,785) |
|
|
|
$ |
6,518,817 |
| |
|
|
|
|
|
|
| ||
|
TOTAL BONDS & DEBENTURES — 33.0% (Cost $130,019,322) |
|
|
|
$ |
128,454,026 |
| |
|
|
|
|
|
|
| ||
|
TOTAL INVESTMENT SECURITIES — 95.6% (Cost $338,554,962) |
|
|
|
$ |
372,571,644 |
| |
|
|
|
|
|
|
| ||
|
SHORT-TERM INVESTMENTS — 5.2% |
|
|
|
|
| ||
|
State Street Bank Repurchase Agreement — 0.42% 10/1/2018 (Dated 09/28/2018, repurchase price of $20,206,707, collateralized by $21,835,000 principal amount U.S. Treasury Notes - 2.25% 2027, fair value $20,610,297) |
|
$ |
20,206,000 |
|
$ |
20,206,000 |
|
|
TOTAL SHORT-TERM INVESTMENTS (Cost $20,206,000) |
|
|
|
$ |
20,206,000 |
| |
|
|
|
|
|
|
| ||
|
TOTAL INVESTMENTS — 100.8% (Cost $358,760,962) |
|
|
|
$ |
392,777,644 |
| |
|
Other Assets and Liabilities, net — (0.8)% |
|
|
|
(2,676,255 |
) | ||
|
NET ASSETS — 100.0% |
|
|
|
$ |
390,101,389 |
| |
(a) Non-income producing security.
See notes to financial statements.
(b) 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.
(c) Variable/Floating Rate Security — The rate shown is based on the latest available information as of September 30, 2018. For Senior Loan Notes, 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.
(d) 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.
(e) Investments categorized as a significant unobservable input (Level 3) (See Note 1).
(f) Restricted securities. These restricted securities constituted 0.85% of total net assets at September 30, 2018, 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 Directors.
(g) These securities have been valued in good faith under policies adopted by authority of the Board of Directors in accordance with the Fund’s fair value procedures. These securities constituted 0.00% of total net assets at September 30, 2018.
See notes to financial statements.
SOURCE CAPITAL, INC.
PORTFOLIO OF INVESTMENTS— RESTRICTED SECURITIES
September 30, 2018
(Unaudited)
|
Issuer |
|
Acquisition Date (s) |
|
Cost |
|
Fair Value |
|
Fair Value as a % of |
| ||
|
ABG Intermediate Holdings 2 LLC, 3M USD LIBOR + 7.750% — 9.992% 9/29/2025 |
|
09/26/2017 |
|
$ |
292,105 |
|
$ |
293,366 |
|
0.08 |
% |
|
JC Penney Corporation, Inc., 1M USD LIBOR + 4.250% — 6.567% 6/23/2023 |
|
10/4/2017, 10/5/2017, |
|
516,050 |
|
487,495 |
|
0.12 |
% | ||
|
Logix Holding Co. LLC TL 1L, 1M USD LIBOR 5.750% — 7.992% 12/22/2024 |
|
08/11/2017 |
|
293,562 |
|
295,487 |
|
0.08 |
% | ||
|
MB2LTL, 6M USD LIBOR + 9.250% — 11.750% 11/30/2023 |
|
12/02/2016, 01/31/2017 |
|
181,782 |
|
184,920 |
|
0.05 |
% | ||
|
OTGDDTL — 1.000% 8/23/2021 |
|
08/26/2016, 01/26/2018 |
|
— |
|
147 |
|
0.00 |
% | ||
|
OTGTL, 3M USD LIBOR 9.000% — 11.337% 8/23/2021 |
|
08/26/2016, 02/28/2017, |
|
662,979 |
|
674,178 |
|
0.17 |
% | ||
|
SDTL, 1M USD LIBOR +4.500 — 6.879% 11/22/2021 |
|
12/22/2016 |
|
344,108 |
|
348,034 |
|
0.09 |
% | ||
|
Xplornet Communication, Inc., 3M USD LIBOR 4.000% — 6.386% 9/9/2021 |
|
09/08/2016, 09/20/2016, |
|
558,779 |
|
563,034 |
|
0.14 |
% | ||
|
ZW1L, 3M USD LIBOR 5.000% — 7.340% 11/16/2022 |
|
11/17/2016 |
|
360,654 |
|
363,746 |
|
0.09 |
% | ||
|
ZW2L, 3M USD LIBOR 9.000% — 11.312% 11/16/2023 |
|
11/17/2016 |
|
128,446 |
|
131,625 |
|
0.03 |
% | ||
|
TOTAL RESTRICTED SECURITIES |
|
|
|
$ |
3,338,465 |
|
$ |
3,342,032 |
|
0.85 |
% |
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. 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). 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 Directors. 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. 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.
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, 2018:
|
Investments |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
| ||||
|
Common Stocks |
|
|
|
|
|
|
|
|
| ||||
|
Internet Media |
|
$ |
33,101,326 |
|
— |
|
— |
|
$ |
33,101,326 |
| ||
|
Aircraft & Parts |
|
23,462,768 |
|
— |
|
— |
|
23,462,768 |
| ||||
|
Diversified Banks |
|
22,546,576 |
|
— |
|
— |
|
22,546,576 |
| ||||
|
Semiconductor Devices |
|
19,519,696 |
|
— |
|
— |
|
19,519,696 |
| ||||
|
Infrastructure Software |
|
16,746,404 |
|
— |
|
— |
|
16,746,404 |
| ||||
|
Cable & Satellite |
|
15,644,908 |
|
— |
|
— |
|
15,644,908 |
| ||||
|
P&C Insurance |
|
14,305,588 |
|
— |
|
— |
|
14,305,588 |
| ||||
|
Cement & Aggregates |
|
12,174,012 |
|
— |
|
— |
|
12,174,012 |
| ||||
|
Insurance Brokers |
|
10,261,278 |
|
— |
|
— |
|
10,261,278 |
| ||||
|
Electrical Components |
|
8,466,780 |
|
— |
|
— |
|
8,466,780 |
| ||||
|
Investment Companies |
|
8,241,697 |
|
— |
|
— |
|
8,241,697 |
| ||||
|
Consumer Finance |
|
7,947,889 |
|
— |
|
— |
|
7,947,889 |
| ||||
|
Generic Pharma |
|
7,494,216 |
|
— |
|
— |
|
7,494,216 |
| ||||
|
Advertising & Marketing |
|
6,502,315 |
|
— |
|
— |
|
6,502,315 |
| ||||
|
Internet Based Services |
|
6,414,397 |
|
— |
|
— |
|
6,414,397 |
| ||||
|
Home Improvement |
|
6,046,068 |
|
— |
|
— |
|
6,046,068 |
| ||||
|
Banks |
|
5,772,665 |
|
— |
|
— |
|
5,772,665 |
| ||||
|
Midstream - Oil & Gas |
|
5,682,465 |
|
— |
|
— |
|
5,682,465 |
| ||||
|
Packaged Food |
|
5,082,168 |
|
— |
|
— |
|
5,082,168 |
| ||||
|
E-Commerce Discretionary |
|
4,485,393 |
|
— |
|
— |
|
4,485,393 |
| ||||
|
Food & Drug Stores |
|
2,069,463 |
|
— |
|
— |
|
2,069,463 |
| ||||
|
Life Science Equipment |
|
1,028,309 |
|
— |
|
— |
|
1,028,309 |
| ||||
|
Base Metals |
|
1,019,292 |
|
— |
|
— |
|
1,019,292 |
| ||||
|
Other Common Stocks |
|
101,945 |
|
— |
|
— |
|
101,945 |
| ||||
|
Commercial Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
| ||||
|
Agency |
|
— |
|
$ |
32,217 |
|
— |
|
32,217 |
| |||
|
Agency Stripped |
|
— |
|
7,190,353 |
|
— |
|
7,190,353 |
| ||||
|
Non-Agency |
|
— |
|
5,213,643 |
|
— |
|
5,213,643 |
| ||||
|
Residential Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
| ||||
|
Agency Collateralized Mortgage Obligation |
|
— |
|
6,183,954 |
|
— |
|
6,183,954 |
| ||||
|
Agency Pool Fixed Rate |
|
— |
|
13,311,800 |
|
— |
|
13,311,800 |
| ||||
|
Non-Agency Collateralized Mortgage Obligation |
|
— |
|
10,908,044 |
|
— |
|
10,908,044 |
| ||||
|
Asset-Backed Securities |
|
|
|
|
|
|
|
|
| ||||
|
Auto |
|
— |
|
21,011,376 |
|
— |
|
21,011,376 |
| ||||
|
Collateralized Loan Obligation |
|
— |
|
16,190,939 |
|
$ |
1,528,396 |
|
17,719,335 |
| |||
|
Credit Card |
|
— |
|
5,490,647 |
|
— |
|
5,490,647 |
| ||||
|
Equipment |
|
— |
|
15,681,141 |
|
908,562 |
|
16,589,703 |
| ||||
|
Other |
|
— |
|
10,097,245 |
|
1,365,776 |
|
11,463,021 |
| ||||
|
Corporate Bonds & Notes |
|
— |
|
3,348,179 |
|
130,905 |
|
3,479,084 |
| ||||
|
Corporate Bank Debt |
|
— |
|
1,639,382 |
|
1,702,650 |
|
3,342,032 |
| ||||
|
U.S. Treasuries |
|
— |
|
6,518,817 |
|
— |
|
6,518,817 |
| ||||
|
Short-Term Investment |
|
— |
|
20,206,000 |
|
— |
|
20,206,000 |
| ||||
|
|
|
$ |
244,117,618 |
|
$ |
143,023,737 |
|
$ |
5,636,289 |
|
$ |
392,777,644 |
|
The following table summarizes the Fund’s Level 3 investment securities and related transactions during the period ended September 30, 2018:
|
Investments |
|
Beginning |
|
Net |
|
Purchases |
|
(Sales) |
|
Gross |
|
Ending Value |
|
Net Change in |
| |||||||
|
Commercial Mortgage-Backed Securities Non-Agency |
|
$ |
464,468 |
|
$ |
(2,578 |
) |
— |
|
$ |
(461,890 |
) |
— |
|
— |
|
— |
| ||||
|
Residential Mortgage-Backed Securities Non-Agency Collateralized Mortgage Obligation |
|
834,410 |
|
(3,894 |
) |
— |
|
(455,113 |
) |
$ |
(375,403 |
) |
— |
|
— |
| ||||||
|
Asset-Backed Securities Collateralized Loan Obligation |
|
1,159,665 |
|
(7,325 |
) |
$ |
604,000 |
|
— |
|
(227,944 |
) |
$ |
1,528,396 |
|
$ |
(2,443 |
) | ||||
|
Asset-Backed Securities Equipment |
|
1,012,436 |
|
(26,190 |
) |
— |
|
(77,684 |
) |
— |
|
908,562 |
|
(26,244 |
) | |||||||
|
Asset-Backed Securities — Other |
|
3,961,842 |
|
(14,652 |
) |
— |
|
— |
|
(2,581,414 |
) |
1,365,776 |
|
(2,332 |
) | |||||||
|
Corporate Bonds & Notes |
|
290,257 |
|
(40,060 |
) |
92,368 |
|
(211,660 |
) |
— |
|
130,905 |
|
(61,279 |
) | |||||||
|
Corporate Bank Debt |
|
2,856,931 |
|
12,319 |
|
1,629,420 |
|
(2,796,020 |
) |
— |
|
1,702,650 |
|
4,463 |
| |||||||
|
Total |
|
$ |
10,580,009 |
|
$ |
(82,380 |
) |
$ |
2,325,788 |
|
$ |
(4,002,367 |
) |
$ |
(3,184,761 |
) |
$ |
5,636,289 |
|
$ |
(87,835 |
) |
Investments classified within Level 3 of the fair value hierarchy are valued by the Adviser in good faith under procedures adopted by authority of the Fund’s Board of Directors. The Adviser employs various methods to determine fair valuations including regular review of key inputs and assumptions, and review of related market activity, if any. However, there are generally no observable trade activities in these securities. The Adviser reports to the Board of Directors at their regularly scheduled quarterly meetings, or more often if warranted. The report includes a summary of the results of the process, the key inputs and assumptions noted, and any changes to the inputs and assumptions used. When appropriate, the Adviser will recommend changes to the procedures and process employed. The value determined for an investment using the fair value procedures may differ significantly from the value realized upon the sale of such investment. Transfers of investments between different levels of the fair value hierarchy are recorded at market value as of the end of the reporting period. There were transfers of $3,184,761 out of Level 3 into Level 2 during the period ended September 30, 2018.
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, 2018:
|
Financial Assets |
|
Fair Value at |
|
Valuation Technique(s) |
|
Unobservable Inputs |
|
Price/Range |
| |
|
|
|
|
|
|
|
|
|
|
| |
|
Asset-Backed Securities - Collateralized Loan Obligation |
|
$ |
1,528,396 |
|
Third-Party Broker Quote (a) |
|
Quotes/Prices |
|
$99.90 - $100.00 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset-Backed Securities - Equipment |
|
$ |
908,562 |
|
Third-Party Broker Quote (a) |
|
Quotes/Prices |
|
$98.45 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset-Backed Securities - Other |
|
$ |
1,365,776 |
|
Third-Party Broker Quote (a) |
|
Quotes/Prices |
|
$99.24 - $103.46 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Corporate Bonds and Notes - Consumer, Cyclical |
|
$ |
49,790 |
|
Third-Party Broker Quote (a) |
|
Quotes/Prices |
|
$17.50 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Corporate Bonds and Notes - Industrial |
|
$ |
81,115 |
|
Third-Party Broker Quote (a) |
|
Quotes/Prices |
|
$19.00 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Corporate Bank Debt |
|
$ |
147 |
|
Pricing Model ( b ) |
|
Reference prices |
|
$2.47 |
|
|
|
|
$ |
1,702,503 |
|
Pricing Vendor |
|
Prices |
|
$99.77 - $101.25 |
|
(a) The Third-Party Broker Quote technique involves obtaining an independent third-party broker quote for the security.
( b ) The Pricing Model technique for Level 3 securities involves calculating the difference between the fair value of the funded portion of the securitiy and the price at which the Fund is committed to fund the unfunded committment.
NOTE 2 — Federal Income Tax
The cost of investment securities held at September 30, 2018 (excluding short-term investments), was $339,090,218 for federal income tax purposes. Net unrealized appreciation consists of:
|
Gross unrealized appreciation: |
|
$ |
41,848,352 |
|
|
Gross unrealized depreciation: |
|
(8,366,926 |
) | |
|
Net unrealized appreciation: |
|
$ |
33,481,426 |
|
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant’s principal executive and principal financial officers have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective, as of a date within 90 days of the filing date of this Form N-Q based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d))under the 1940 Act that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 3. EXHIBITS.
(a) The certifications required by Rule 30a-2(a) under the 1940 Act are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
|
SOURCE CAPITAL, INC. |
| |
|
|
|
|
|
By: |
/s/ J. Richard Atwood |
|
|
|
J. Richard Atwood, |
|
|
|
President (Principal Executive Officer) |
|
|
|
|
|
|
Date: |
November 29, 2018 |
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
By: |
/s/ J. Richard Atwood |
|
|
|
J. Richard Atwood, |
|
|
|
President (Principal Executive Officer) |
|
|
|
|
|
|
Date: |
November 29, 2018 |
|
|
By: |
/s/ E. Lake Setzler III |
|
|
|
E. Lake Setzler III, |
|
|
|
Treasurer (Principal Financial Officer) |
|
|
|
|
|
|
Date: |
November 29, 2018 |
|