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 LOS ANGELES, CALIFORNIA |
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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, 2017 |
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ITEM 1. Schedule of Investments.
SOURCE CAPITAL, INC.
PORTFOLIO OF INVESTMENTS
September 30, 2017
(Unaudited)
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|
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Shares |
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Fair Value |
| |
|
COMMON STOCKS |
|
|
|
|
| |
|
INFRASTRUCTURE SOFTWARE — 8.8% |
|
|
|
|
| |
|
Microsoft Corporation |
|
166,630 |
|
$ |
12,412,269 |
|
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Oracle Corporation |
|
434,720 |
|
21,018,712 |
| |
|
|
|
|
|
$ |
33,430,981 |
|
|
DIVERSIFIED BANKS — 7.2% |
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|
|
|
| |
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Bank of America Corporation |
|
567,370 |
|
$ |
14,377,156 |
|
|
Citigroup, Inc. |
|
180,010 |
|
13,093,927 |
| |
|
|
|
|
|
$ |
27,471,083 |
|
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AIRCRAFT & PARTS — 6.3% |
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|
|
|
| |
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Arconic, Inc. |
|
411,206 |
|
$ |
10,230,805 |
|
|
United Technologies Corporation |
|
119,620 |
|
13,885,490 |
| |
|
|
|
|
|
$ |
24,116,295 |
|
|
INTERNET MEDIA — 5.3% |
|
|
|
|
| |
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Alphabet, Inc. (Class A)* |
|
5,617 |
|
$ |
5,469,385 |
|
|
Alphabet, Inc. (Class C)* |
|
5,632 |
|
5,401,708 |
| |
|
Baidu, Inc. (ADR) (China)* |
|
36,950 |
|
9,152,145 |
| |
|
|
|
|
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$ |
20,023,238 |
|
|
INSURANCE BROKERS — 3.9% |
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|
|
|
| |
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Aon plc (Britain) |
|
100,810 |
|
$ |
14,728,341 |
|
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|
|
|
|
|
| |
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CONSUMER FINANCE — 3.7% |
|
|
|
|
| |
|
Ally Financial, Inc. |
|
288,540 |
|
$ |
6,999,980 |
|
|
American Express Co. |
|
78,380 |
|
7,090,255 |
| |
|
|
|
|
|
$ |
14,090,235 |
|
|
P&C INSURANCE — 3.6% |
|
|
|
|
| |
|
American International Group, Inc. |
|
224,030 |
|
$ |
13,753,202 |
|
|
|
|
|
|
|
| |
|
SEMICONDUCTOR DEVICES — 3.1% |
|
|
|
|
| |
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Analog Devices, Inc. |
|
93,070 |
|
$ |
8,019,842 |
|
|
QUALCOMM, Inc. |
|
73,360 |
|
3,802,982 |
| |
|
|
|
|
|
$ |
11,822,824 |
|
|
COMMUNICATIONS EQUIPMENT — 2.9% |
|
|
|
|
| |
|
Cisco Systems, Inc. |
|
324,260 |
|
$ |
10,904,864 |
|
|
|
|
|
|
|
| |
|
ELECTRICAL COMPONENTS — 2.8% |
|
|
|
|
| |
|
TE Connectivity, Ltd. (Switzerland) |
|
128,350 |
|
$ |
10,660,751 |
|
|
|
|
|
|
|
| |
|
INVESTMENT COMPANIES — 2.0% |
|
|
|
|
| |
|
Groupe Bruxelles Lambert SA (Belgium) |
|
72,700 |
|
$ |
7,647,250 |
|
|
|
|
|
|
|
| |
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ADVERTISING & MARKETING — 1.8% |
|
|
|
|
| |
|
WPP plc (Britain) |
|
376,040 |
|
$ |
6,978,923 |
|
|
|
|
|
|
|
| |
|
SPECIALTY PHARMA — 1.8% |
|
|
|
|
| |
|
Mylan NV* |
|
215,960 |
|
$ |
6,774,665 |
|
See notes to financial statements.
|
|
|
Shares or |
|
Fair Value |
| ||
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LIFE SCIENCE EQUIPMENT — 1.5% |
|
|
|
|
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Thermo Fisher Scientific, Inc. |
|
30,380 |
|
$ |
5,747,896 |
| |
|
|
|
|
|
|
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ELECTRICAL POWER EQUIPMENT — 1.4% |
|
|
|
|
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General Electric Co. |
|
222,732 |
|
$ |
5,385,660 |
| |
|
|
|
|
|
|
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BASE METALS — 1.1% |
|
|
|
|
| ||
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Alcoa Corporation* |
|
47,570 |
|
$ |
2,217,713 |
| |
|
MMC Norilsk Nickel PJSC (ADR) (Russia) |
|
111,630 |
|
1,921,711 |
| ||
|
|
|
|
|
$ |
4,139,424 |
| |
|
INTEGRATED OILS — 1.1% |
|
|
|
|
| ||
|
Gazprom PJSC (ADR) (Russia) |
|
323,590 |
|
$ |
1,355,842 |
| |
|
Lukoil PJSC (ADR) (Russia) |
|
37,100 |
|
1,963,703 |
| ||
|
Rosneft Oil Co. PJSC (GDR) (Russia) |
|
145,630 |
|
808,975 |
| ||
|
|
|
|
|
$ |
4,128,520 |
| |
|
HOUSEHOLD PRODUCTS — 0.8% |
|
|
|
|
| ||
|
Unilever NV (CVA) (Britain) |
|
48,330 |
|
$ |
2,858,347 |
| |
|
|
|
|
|
|
| ||
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FOOD & DRUG STORES — 0.7% |
|
|
|
|
| ||
|
Jardine Strategic Holdings, Ltd. (Hong Kong) |
|
61,080 |
|
$ |
2,638,656 |
| |
|
|
|
|
|
|
| ||
|
EXPLORATION & PRODUCTION — 0.2% |
|
|
|
|
| ||
|
Occidental Petroleum Corporation |
|
14,880 |
|
$ |
955,445 |
| |
|
|
|
|
|
|
| ||
|
TOTAL COMMON STOCKS — 60.0% |
|
|
|
$ |
228,256,600 |
| |
|
|
|
|
|
|
| ||
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BONDS & DEBENTURES — 33.0% |
|
|
|
|
| ||
|
|
|
|
|
|
| ||
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COMMERCIAL MORTGAGE-BACKED SECURITIES — 5.1% |
|
|
|
|
| ||
|
AGENCY — 0.1% |
|
|
|
|
| ||
|
Government National Mortgage Association 2011-49 A — 2.45% 7/16/2038 |
|
$ |
248,358 |
|
$ |
248,382 |
|
|
|
|
|
|
|
| ||
|
AGENCY STRIPPED — 3.8% |
|
|
|
|
| ||
|
Government National Mortgage Association 2012-58 IO — 0.73% 2/16/2053@ |
|
$ |
12,530,189 |
|
$ |
479,820 |
|
|
Government National Mortgage Association 2015-86 IO — 0.773% 5/16/2052@ |
|
2,998,248 |
|
169,894 |
| ||
|
Government National Mortgage Association 2013-63 IO — 0.777% 9/16/2051@ |
|
17,925,158 |
|
909,481 |
| ||
|
Government National Mortgage Association 2013-13 IO — 0.783% 7/16/2047@ |
|
2,898,059 |
|
132,439 |
| ||
|
Government National Mortgage Association 2013-74 IO — 0.783% 12/16/2053@ |
|
19,247,555 |
|
957,760 |
| ||
|
Government National Mortgage Association 2014-171 IO — 0.787% 11/16/2055@ |
|
18,165,506 |
|
873,190 |
| ||
|
Government National Mortgage Association 2013-146 IO — 0.803% 11/16/2048@ |
|
16,883,292 |
|
707,003 |
| ||
|
Government National Mortgage Association 2012-79 IO — 0.803% 3/16/2053@ |
|
7,891,108 |
|
337,037 |
| ||
|
Government National Mortgage Association 2012-114 IO — 0.811% 1/16/2053@ |
|
17,069,854 |
|
961,926 |
| ||
|
Government National Mortgage Association 2014-153 IO — 0.825% 4/16/2056@ |
|
12,377,531 |
|
727,774 |
| ||
|
Government National Mortgage Association 2012-109 IO — 0.841% 10/16/2053@ |
|
15,068,328 |
|
590,772 |
| ||
|
Government National Mortgage Association 2015-19 IO — 0.879% 1/16/2057@ |
|
10,007,830 |
|
661,718 |
| ||
|
Government National Mortgage Association 2014-187 IO — 0.932% 5/16/2056@ |
|
7,998,274 |
|
508,311 |
| ||
|
Government National Mortgage Association 2015-114 IO — 0.968% 3/15/2057@ |
|
2,212,308 |
|
135,894 |
| ||
See notes to financial statements.
|
|
|
Principal |
|
Fair Value |
| ||
|
Government National Mortgage Association 2016-45 IO — 1.004% 2/16/2058@ |
|
$ |
16,010,132 |
|
$ |
1,191,639 |
|
|
Government National Mortgage Association 2016-34 IO — 1.007% 1/16/2058@ |
|
5,711,422 |
|
421,213 |
| ||
|
Government National Mortgage Association 2016-65 IO — 1.009% 1/16/2058@ |
|
6,441,547 |
|
484,178 |
| ||
|
Government National Mortgage Association 2015-108 IO — 1.035% 10/16/2056@ |
|
10,099,864 |
|
683,049 |
| ||
|
Government National Mortgage Association 2016-125 IO — 1.064% 12/16/2057@ |
|
3,780,045 |
|
300,622 |
| ||
|
Government National Mortgage Association 2016-106 IO — 1.069% 9/16/2058@ |
|
7,254,687 |
|
601,325 |
| ||
|
Government National Mortgage Association 2016-85 IO — 1.121% 3/16/2057@ |
|
4,242,884 |
|
346,063 |
| ||
|
Government National Mortgage Association 2016-119 IO — 1.126% 4/16/2058@ |
|
10,846,559 |
|
886,316 |
| ||
|
Government National Mortgage Association 2016-67 IO — 1.166% 7/16/2057@ |
|
15,331,191 |
|
1,224,812 |
| ||
|
Government National Mortgage Association 2016-94 IO — 1.17% 12/16/2057@ |
|
5,808,651 |
|
483,902 |
| ||
|
|
|
|
|
$ |
14,776,138 |
| |
|
NON-AGENCY — 1.2% |
|
|
|
|
| ||
|
A10 Term Asset Financing LLC 2017-1A A1FX — 2.34% 3/15/2036**,†† |
|
$ |
469,000 |
|
$ |
469,269 |
|
|
A10 Term Asset Financing LLC 2016-1 A1 — 2.42% 3/15/2035** |
|
145,616 |
|
145,144 |
| ||
|
Aventura Mall Trust M 2013-AVM A — 3.867% 12/5/2032**,@ |
|
651,000 |
|
676,442 |
| ||
|
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7 B — 5.214% 2/11/2041@ |
|
134,878 |
|
134,864 |
| ||
|
Citigroup Commercial Mortgage Trust 2006-C4 B — 6.25% 3/15/2049@ |
|
73,000 |
|
73,033 |
| ||
|
COMM Mortgage Trust 2014-FL5 B, 1M LIBOR + 2.150% — 3.384% 10/15/2031**,@ |
|
339,000 |
|
338,425 |
| ||
|
COMM Mortgage Trust 2014-FL5 C, 1M LIBOR + 2.150% — 3.384% 10/15/2031**,@ |
|
226,000 |
|
221,158 |
| ||
|
Credit Suisse Commercial Mortgage Trust Series 2016-MFF E, 1M LIBOR + 6.000% — 7.234% 11/15/2033**,@ |
|
813,000 |
|
817,069 |
| ||
|
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C1 A3 — 5.058% 6/15/2043** |
|
191,000 |
|
203,661 |
| ||
|
Latitude Management Real Estate Capita 2016-CRE2 A, 1M LIBOR + 1.700% — 2.936% 11/24/2031**,@,†† |
|
444,000 |
|
448,440 |
| ||
|
Madison Avenue Trust M 2013-650M A — 3.843% 10/12/2032** |
|
277,000 |
|
288,489 |
| ||
|
Morgan Stanley Capital I Trust 2006-HQ9 D — 5.862% 7/12/2044@ |
|
208,747 |
|
209,391 |
| ||
|
Rialto Capital Management LLC 2014-LT5 B — 5.00% 5/15/2024** |
|
103,817 |
|
103,728 |
| ||
|
SCG Trust 2013-SRP1 AJ, 1M LIBOR + 1.950% — 3.427% 11/15/2026**,@ |
|
380,000 |
|
378,580 |
| ||
|
|
|
|
|
$ |
4,507,693 |
| |
|
TOTAL COMMERICAL MORTGAGE-BACKED SECURITIES |
|
|
|
$ |
19,532,213 |
| |
|
|
|
|
|
|
| ||
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 3.8% |
|
|
|
|
| ||
|
AGENCY COLLATERALIZED MORTGAGE OBLIGATION — 1.4% |
|
|
|
|
| ||
|
Federal Home Loan Mortgage Corporation 3770 WA — 4.00% 11/15/2028 |
|
$ |
285,376 |
|
$ |
288,610 |
|
|
Federal Home Loan Mortgage Corporation 3957 BV — 4.00% 10/15/2029 |
|
181,719 |
|
182,045 |
| ||
|
Federal National Mortgage Association 2012-117 DA — 1.50% 12/25/2039 |
|
249,227 |
|
243,480 |
| ||
|
Federal National Mortgage Association 2017-16 JA — 3.00% 2/25/2043 |
|
867,936 |
|
882,549 |
| ||
|
Federal National Mortgage Association 2016-104 QA — 3.00% 11/25/2043 |
|
1,301,946 |
|
1,321,780 |
| ||
|
Federal National Mortgage Association 2014-4 KA — 3.00% 1/25/2044 |
|
99,766 |
|
100,903 |
| ||
|
Federal National Mortgage Association 2017-45 KD — 3.50% 2/25/2044 |
|
590,158 |
|
608,156 |
| ||
|
Federal National Mortgage Association 2017-52 KC — 3.50% 4/25/2044 |
|
569,640 |
|
587,301 |
| ||
|
Federal National Mortgage Association 2017-59 DC — 3.50% 5/25/2044 |
|
842,291 |
|
868,520 |
| ||
|
Federal National Mortgage Association 2003-78 B — 5.00% 8/25/2023 |
|
277,675 |
|
292,764 |
| ||
|
|
|
|
|
$ |
5,376,108 |
| |
|
AGENCY POOL FIXED RATE — 0.9% |
|
|
|
|
| ||
|
Federal Home Loan Mortgage Corporation G13122 — 5.00% 4/1/2023 |
|
$ |
258,426 |
|
$ |
272,773 |
|
|
Federal Home Loan Mortgage Corporation G15744 — 5.00% 6/1/2026 |
|
366,188 |
|
381,279 |
| ||
See notes to financial statements.
|
|
|
Principal |
|
Fair Value |
| ||
|
Federal Home Loan Mortgage Corporation G13145 — 5.50% 4/1/2023 |
|
$ |
529,689 |
|
$ |
561,459 |
|
|
Federal National Mortgage Association MA1212 — 2.50% 10/1/2022 |
|
443,510 |
|
449,063 |
| ||
|
Federal National Mortgage Association AL8274 — 4.50% 12/1/2018 |
|
480,415 |
|
484,710 |
| ||
|
Federal National Mortgage Association 889109 — 5.00% 1/1/2023 |
|
193,984 |
|
203,218 |
| ||
|
Federal National Mortgage Association AE0286 — 5.00% 4/1/2025 |
|
284,920 |
|
300,892 |
| ||
|
Federal National Mortgage Association AL7725 — 5.00% 9/1/2025 |
|
599,851 |
|
627,812 |
| ||
|
Federal National Mortgage Association 256717 — 5.50% 5/1/2022 |
|
192,291 |
|
203,026 |
| ||
|
|
|
|
|
$ |
3,484,232 |
| |
|
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATION — 1.5% |
|
|
|
|
| ||
|
BCAP LLC Trust 2010-RR8 2A6 — 2.754% 11/26/2036**,@ |
|
$ |
179,186 |
|
$ |
178,749 |
|
|
Nationstar HECM Loan Trust 2016-3A A — 2.013% 8/25/2026** |
|
53,975 |
|
54,669 |
| ||
|
Nationstar HECM Loan Trust 2017-2A A1 — 2.038% 9/25/2027**,@,†† |
|
325,000 |
|
325,000 |
| ||
|
Nationstar HECM Loan Trust 2017-2A M1 — 2.815% 9/25/2027**,††,@ |
|
316,000 |
|
316,000 |
| ||
|
Nomura Resecuritization Trust 2016-1R 3A1 — 5.00% 9/28/2036**,@ |
|
153,746 |
|
158,617 |
| ||
|
RiverView HECM Trust 2007-1 A, 1 year Treasury + 0.500% — 1.817% 5/25/2047**,@ |
|
548,009 |
|
459,470 |
| ||
|
Towd Point Mortgage Trust 2016-3 A1 — 2.25% 4/25/2056**,@ |
|
602,708 |
|
599,329 |
| ||
|
Towd Point Mortgage Trust 2015-1 AES — 3.00% 10/25/2053**,@ |
|
519,797 |
|
524,719 |
| ||
|
Towd Point Mortgage Trust 2015-4 A1 — 3.50% 4/25/2055**,@ |
|
861,965 |
|
879,145 |
| ||
|
Towd Point Mortgage Trust 2015-2 2A1 — 3.75% 11/25/2057**,@ |
|
1,296,801 |
|
1,327,747 |
| ||
|
VOLT XL LLC 2015-NP14 A1 — 4.375% 11/27/2045**,@@ |
|
485,102 |
|
485,508 |
| ||
|
VOLT XXV LLC 2015-NPL8 A1 — 3.50% 6/26/2045**,@@ |
|
442,995 |
|
443,143 |
| ||
|
|
|
|
|
$ |
5,752,096 |
| |
|
|
|
|
|
|
| ||
|
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
|
|
|
$ |
14,612,436 |
| |
|
|
|
|
|
|
| ||
|
ASSET-BACKED SECURITIES — 20.6% |
|
|
|
|
| ||
|
AUTO — 6.1% |
|
|
|
|
| ||
|
Ally Auto Receivables Trust 2017-1 B — 2.35% 3/15/2022 |
|
$ |
101,000 |
|
$ |
100,806 |
|
|
Ally Auto Receivables Trust 2017-1 C — 2.48% 5/16/2022 |
|
191,000 |
|
190,739 |
| ||
|
AmeriCredit Automobile Receivables Trust 2017-1 C — 2.71% 8/18/2022 |
|
203,000 |
|
203,350 |
| ||
|
BMW Vehicle Lease Trust 2017-1 A4 — 2.18% 6/22/2020 |
|
501,000 |
|
502,425 |
| ||
|
Capital Auto Receivables Asset Trust 2016-3 A3 — 1.54% 8/20/2020 |
|
252,000 |
|
251,713 |
| ||
|
Capital Auto Receivables Asset Trust 2015-2 A3 — 1.73% 9/20/2019 |
|
990,675 |
|
991,502 |
| ||
|
Capital Auto Receivables Asset Trust 2016-1 B — 2.67% 12/21/2020 |
|
114,000 |
|
114,684 |
| ||
|
Credit Acceptance Auto Loan Trust 2015-1A A — 2.00% 7/15/2022** |
|
246,459 |
|
246,525 |
| ||
|
Credit Acceptance Auto Loan Trust 2016-2A A — 2.42% 11/15/2023** |
|
250,000 |
|
250,987 |
| ||
|
Credit Acceptance Auto Loan Trust 2017-2A A — 2.55% 2/17/2026** |
|
1,351,000 |
|
1,349,828 |
| ||
|
Credit Acceptance Auto Loan Trust 2014-2A B — 2.67% 9/15/2022** |
|
153,696 |
|
153,722 |
| ||
|
Credit Acceptance Auto Loan Trust 2016-3A B — 2.94% 10/15/2024** |
|
548,000 |
|
549,165 |
| ||
|
Credit Acceptance Auto Loan Trust 2015-2A B — 3.04% 8/15/2023** |
|
566,000 |
|
570,276 |
| ||
|
Credit Acceptance Auto Loan Trust 2016-2A B — 3.18% 5/15/2024** |
|
601,000 |
|
604,956 |
| ||
|
Credit Acceptance Auto Loan Trust 2016-3A C — 3.60% 4/15/2025** |
|
339,000 |
|
341,607 |
| ||
|
DT Auto Owner Trust 2016-4A B — 2.02% 8/17/2020** |
|
366,000 |
|
365,426 |
| ||
|
DT Auto Owner Trust 2017-1A C — 2.70% 11/15/2022** |
|
503,000 |
|
502,845 |
| ||
|
Exeter Automobile Receivables Trust 2016-3A A — 1.84% 11/16/2020** |
|
328,714 |
|
327,774 |
| ||
|
Exeter Automobile Receivables Trust 2017-1A B — 3.00% 12/15/2021** |
|
237,000 |
|
237,267 |
| ||
|
First Investors Auto Owner Trust 2016-2A A2 — 1.87% 11/15/2021** |
|
148,000 |
|
147,683 |
| ||
|
First Investors Auto Owner Trust 2016-1A A1 — 1.92% 5/15/2020** |
|
237,701 |
|
237,844 |
| ||
|
First Investors Auto Owner Trust 2016-1A A2 — 2.26% 4/15/2021** |
|
1,096,000 |
|
1,097,769 |
| ||
|
First Investors Auto Owner Trust 2017-1A B — 2.67% 4/17/2023** |
|
115,000 |
|
114,961 |
| ||
See notes to financial statements.
|
|
|
Principal |
|
Fair Value |
| ||
|
First Investors Auto Owner Trust 2017-1A C — 2.95% 4/17/2023** |
|
$ |
219,000 |
|
$ |
219,106 |
|
|
GM Financial Automobile Leasing Trust 2016-3 C — 2.38% 5/20/2020 |
|
208,000 |
|
207,519 |
| ||
|
GM Financial Automobile Leasing Trust 2017-2 B — 2.43% 6/21/2021 |
|
597,000 |
|
594,452 |
| ||
|
GM Financial Automobile Leasing Trust 2017-1 B — 2.48% 8/20/2020 |
|
1,320,000 |
|
1,324,491 |
| ||
|
GM Financial Automobile Leasing Trust 2017-1 C — 2.74% 8/20/2020 |
|
597,000 |
|
597,669 |
| ||
|
GM Financial Automobile Leasing Trust 2017-2 C — 2.84% 6/21/2021 |
|
100,000 |
|
99,609 |
| ||
|
Hyundai Auto Lease Securitization Trust 2016-C B — 1.86% 5/17/2021** |
|
359,000 |
|
356,459 |
| ||
|
Nissan Auto Lease Trust 2017-A A3 — 1.91% 4/15/2020 |
|
567,000 |
|
567,345 |
| ||
|
Prestige Auto Receivables Trust 2016-1A A3 — 1.99% 6/15/2020** |
|
1,256,000 |
|
1,257,535 |
| ||
|
Prestige Auto Receivables Trust 2016-2A B — 2.19% 11/15/2022** |
|
673,000 |
|
669,018 |
| ||
|
Prestige Auto Receivables Trust 2017-1A B — 2.39% 5/16/2022** |
|
319,000 |
|
317,228 |
| ||
|
Prestige Auto Receivables Trust 2017-1A C — 2.81% 1/17/2023** |
|
786,000 |
|
788,349 |
| ||
|
Prestige Auto Receivables Trust 2016-2A C — 2.88% 11/15/2022** |
|
327,000 |
|
328,376 |
| ||
|
Santander Drive Auto Receivables Trust 2013-3 C — 1.81% 4/15/2019 |
|
3,268 |
|
3,268 |
| ||
|
Santander Drive Auto Receivables Trust 2015-2 B — 1.83% 1/15/2020 |
|
417,913 |
|
418,070 |
| ||
|
Santander Drive Auto Receivables Trust 2017-3 B — 2.19% 3/15/2022 |
|
797,000 |
|
794,416 |
| ||
|
Santander Drive Auto Receivables Trust 2014-2 C — 2.33% 11/15/2019 |
|
651,210 |
|
652,537 |
| ||
|
Santander Drive Auto Receivables Trust 2017-1 C — 2.58% 5/16/2022 |
|
209,000 |
|
208,656 |
| ||
|
Santander Drive Auto Receivables Trust 2016-2 C — 2.66% 11/15/2021 |
|
131,000 |
|
132,030 |
| ||
|
Santander Drive Auto Receivables Trust 2013-5 D — 2.73% 10/15/2019 |
|
439,000 |
|
441,592 |
| ||
|
Santander Drive Auto Receivables Trust 2017-2 C — 2.79% 8/15/2022 |
|
327,000 |
|
327,911 |
| ||
|
Santander Drive Auto Receivables Trust 2013-A C — 3.12% 10/15/2019** |
|
168,589 |
|
168,760 |
| ||
|
Westlake Automobile Receivables Trust 2016-3A B — 2.07% 12/15/2021** |
|
1,349,000 |
|
1,346,903 |
| ||
|
Westlake Automobile Receivables Trust 2016-1A B — 2.68% 9/15/2021** |
|
1,300,000 |
|
1,301,850 |
| ||
|
Westlake Automobile Receivables Trust 2017-1A C — 2.70% 10/17/2022** |
|
411,000 |
|
412,557 |
| ||
|
World Omni Automobile Lease Securitization Trust 2017-A A4 — 2.32% 8/15/2022 |
|
149,000 |
|
149,166 |
| ||
|
World Omni Automobile Lease Securitization Trust 2017-A B — 2.48% 8/15/2022 |
|
276,000 |
|
276,331 |
| ||
|
|
|
|
|
$ |
23,415,057 |
| |
|
COLLATERALIZED LOAN OBLIGATION — 5.1% |
|
|
|
|
| ||
|
Adams Mill CLO Ltd. 2014-1A B2R — 3.35% 7/15/2026** |
|
$ |
250,000 |
|
$ |
248,515 |
|
|
Black Diamond CLO Ltd. 2014-1A A1R, 3M USD LIBOR + 1.150% — 2.454% 10/17/2026**,@ |
|
893,000 |
|
895,333 |
| ||
|
BlueMountain CLO Ltd. 2013-4A — 3.36% 4/15/2025** |
|
250,000 |
|
250,475 |
| ||
|
Cerberus Loan Funding XVIII LP 2017-1A A, 3M USD LIBOR + 1.750% — 3.054% 4/15/2027**,@ |
|
1,138,000 |
|
1,139,343 |
| ||
|
Cerberus Onshore II CLO-2 LLC 2014-1A A, 3M USD LIBOR + 1.900% — 3.204% 10/15/2023**,@ |
|
24,790 |
|
24,793 |
| ||
|
Cerberus Onshore II CLO-2 LLC 2014-1A B, 3M USD LIBOR + 2.700% — 4.004% 10/15/2023**,@ |
|
250,000 |
|
250,032 |
| ||
|
CIFC Funding 2013-III Ltd. 2013-3A A2BR — 3.40% 10/24/2025** |
|
250,000 |
|
250,459 |
| ||
|
CIFC Funding 2013-IV Ltd. 2013-4A A2R — 2.72% 11/27/2024** |
|
403,000 |
|
403,594 |
| ||
|
Elm Trust 2016-1A A2 — 4.163% 6/20/2025** |
|
356,000 |
|
363,565 |
| ||
|
Flagship VII Ltd. 2013-7A A2R — 2.70% 1/20/2026** |
|
475,000 |
|
475,635 |
| ||
|
Fortress Credit Opportunities III CLO LP 2014-3A A1TR, 3M USD LIBOR + 1.650% — 2.953% 4/28/2026**,@ |
|
1,322,000 |
|
1,325,041 |
| ||
|
Fortress Credit Opportunities III CLO LP 2014-3A DR, 3M USD LIBOR + 4.100% — 5.403% 4/28/2026**,@ |
|
217,000 |
|
218,229 |
| ||
|
Fortress Credit Opportunities V CLO Ltd. 2014-5A A1FR — 3.40% 10/15/2026** |
|
683,000 |
|
683,461 |
| ||
|
Fortress Credit Opportunities V CLO Ltd. 2014-5A A2R — 3.75% 10/15/2026** |
|
178,000 |
|
177,536 |
| ||
|
Fortress Credit Opportunities VII CLO, Ltd. 2016-7I E, 3M USD LIBOR + 7.490% — 8.81% 12/15/2028@ |
|
561,000 |
|
564,153 |
| ||
|
Halcyon Loan Advisors Funding, 3M USD LIBOR + 1.100% — 2.413% 10/22/2025**,@ |
|
491,000 |
|
491,256 |
| ||
See notes to financial statements.
|
|
|
Principal |
|
Fair Value |
| ||
|
ICG US CLO Ltd. 2014-3A A1BR — 2.97% 1/25/2027** |
|
$ |
933,000 |
|
$ |
933,995 |
|
|
Jamestown CLO III Ltd. 2013-3A A1BR — 2.753% 1/15/2026** |
|
451,000 |
|
451,517 |
| ||
|
MidOcean Credit CLO I 2012-1A A2R, 3M USD LIBOR + 2.500% — 3.804% 1/15/2024**,@ |
|
504,000 |
|
506,749 |
| ||
|
Nelder Grove CLO Ltd. 2014-1A AFR — 3.00% 8/28/2026** |
|
250,000 |
|
251,080 |
| ||
|
NewMark Capital Funding CLO, Ltd. 2014-2A AFR — 3.077% 6/30/2026** |
|
250,000 |
|
251,108 |
| ||
|
NewMark Capital Funding CLO, Ltd. 2014-2A BFR — 3.669% 6/30/2026** |
|
278,000 |
|
279,324 |
| ||
|
Northwoods Capital X Ltd. 2013-10A A2R — 2.649% 11/4/2025** |
|
797,000 |
|
795,949 |
| ||
|
Northwoods Capital X Ltd. 2013-10A B2R — 3.442% 11/4/2025** |
|
250,000 |
|
250,439 |
| ||
|
Oaktree CLO Ltd. 2014-2A A1BR — 2.953% 10/20/2026** |
|
293,000 |
|
294,228 |
| ||
|
Ocean Trails CLO V 2014-5A C2R — 4.70% 10/13/2026** |
|
186,000 |
|
188,027 |
| ||
|
OHA Loan Funding LLC 2014-1A A2R — 2.95% 10/20/2026** |
|
569,000 |
|
569,306 |
| ||
|
Peaks CLO 1, Ltd. 2014-1A C, 3M USD LIBOR + 3.500% — 4.804% 6/15/2026**,@ |
|
344,000 |
|
344,058 |
| ||
|
Peaks CLO, 1 Ltd. 2014-1A A, 3M USD LIBOR + 1.750% — 3.054% 6/15/2026**,@ |
|
839,000 |
|
840,005 |
| ||
|
Saranac CLO II Ltd. 2014-2A A2, 3M USD LIBOR + 1.750% — 3.066% 2/20/2025**,@ |
|
320,000 |
|
320,578 |
| ||
|
Senior Credit Fund SPV LLC 2016-1A — 3.033% 12/19/2025†† |
|
925,000 |
|
926,202 |
| ||
|
Silvermore Clo Ltd., 3M USD LIBOR + 1.170% — 2.485% 5/15/2026**,@ |
|
664,000 |
|
663,993 |
| ||
|
Symphony CLO XII Ltd. 2013-12A B2R — 3.50% 10/15/2025** |
|
427,000 |
|
427,667 |
| ||
|
Telos CLO 2013-3A AR, 3M USD LIBOR + 1.300% — 2.571% 7/17/2026**,@ |
|
461,000 |
|
460,987 |
| ||
|
Telos CLO 2013-3A BR, 3M USD LIBOR + 2.000% — 3.271% 7/17/2026**,@ |
|
549,000 |
|
548,983 |
| ||
|
Telos CLO, Ltd. 2014-5A A, 3M USD LIBOR + 1.550% — 2.854% 4/17/2025**,@ |
|
828,000 |
|
831,804 |
| ||
|
Washington Mill CLO Ltd. 2014-1A A2R — 2.90% 4/20/2026** |
|
250,000 |
|
250,654 |
| ||
|
Washington Mill CLO Ltd. 2014-1A B2R — 3.60% 4/20/2026** |
|
317,000 |
|
318,095 |
| ||
|
West CLO Ltd. 2013-1A A1BR — 2.745% 11/7/2025** |
|
418,000 |
|
418,291 |
| ||
|
West CLO Ltd. 2013-1A A2BR — 3.393% 11/7/2025** |
|
250,000 |
|
250,403 |
| ||
|
Zais CLO 2 Ltd. 2014-2A A1BR — 2.92% 7/25/2026** |
|
250,000 |
|
250,968 |
| ||
|
|
|
|
|
$ |
19,385,830 |
| |
|
CREDIT CARD — 1.6% |
|
|
|
|
| ||
|
Cabela’s Credit Card Master Note Trust 2016-1 A1 — 1.78% 6/15/2022 |
|
$ |
1,343,000 |
|
$ |
1,339,685 |
|
|
Capital One Multi-Asset Execution Trust 2016-A6 A6 — 1.82% 9/15/2022 |
|
1,051,000 |
|
1,050,559 |
| ||
|
Capital One Multi-Asset Execution Trust 2017-A1 A1 — 2.00% 1/17/2023 |
|
1,321,000 |
|
1,324,826 |
| ||
|
Discover Card Execution Note Trust 2014-A4 A4 — 2.12% 12/15/2021 |
|
1,152,000 |
|
1,158,332 |
| ||
|
Synchrony Credit Card Master Note Trust 2015-3 A — 1.74% 9/15/2021 |
|
1,012,000 |
|
1,011,845 |
| ||
|
Synchrony Credit Card Master Note Trust 2016-3 B — 1.91% 9/15/2022 |
|
104,000 |
|
103,272 |
| ||
|
|
|
|
|
$ |
5,988,519 |
| |
|
EQUIPMENT — 4.6% |
|
|
|
|
| ||
|
ARI Fleet Lease Trust 2015-A A2 — 1.11% 11/15/2018** |
|
$ |
151,609 |
|
$ |
151,502 |
|
|
ARI Fleet Lease Trust 2016-A A2 — 1.82% 7/15/2024** |
|
293,323 |
|
293,462 |
| ||
|
Ascentium Equipment Receivables LLC 2015-2A B — 2.62% 12/10/2019** |
|
1,256,000 |
|
1,257,482 |
| ||
|
Ascentium Equipment Receivables Trust 2016-1A A2 — 1.75% 11/13/2018** |
|
390,645 |
|
390,642 |
| ||
|
Avis Budget Rental Car Funding AESOP LLC 2014-2A A — 2.50% 2/20/2021** |
|
172,000 |
|
172,347 |
| ||
|
Avis Budget Rental Car Funding AESOP LLC 2015-1A A — 2.50% 7/20/2021** |
|
1,282,000 |
|
1,278,571 |
| ||
|
Avis Budget Rental Car Funding AESOP LLC 2015-2A A — 2.63% 12/20/2021** |
|
616,000 |
|
615,595 |
| ||
|
CCG Receivables Trust 2015-1 A2 — 1.46% 11/14/2018** |
|
112,696 |
|
112,598 |
| ||
|
Chesapeake Funding II LLC 2016-2A A1 — 1.88% 6/15/2028** |
|
653,577 |
|
653,702 |
| ||
|
Chesapeake Funding II LLC 2016-1A A1 — 2.11% 3/15/2028** |
|
1,005,477 |
|
1,007,749 |
| ||
|
Coinstar Funding LLC Series 2017-1A A2 — 5.216% 4/25/2047** |
|
227,430 |
|
235,811 |
| ||
|
Enterprise Fleet Financing LLC 2014-2 A2 — 1.05% 3/20/2020** |
|
25,296 |
|
25,289 |
| ||
|
Enterprise Fleet Financing LLC 2015-1 A2 — 1.30% 9/20/2020** |
|
200,866 |
|
200,786 |
| ||
|
Enterprise Fleet Financing LLC 2016-2 A2 — 1.74% 2/22/2022** |
|
400,242 |
|
399,777 |
| ||
|
Enterprise Fleet Financing LLC 2016-1 A2 — 1.83% 9/20/2021** |
|
779,479 |
|
779,173 |
| ||
See notes to financial statements.
|
|
|
Principal |
|
Fair Value |
| ||
|
Enterprise Fleet Financing LLC 2017-2 A2 — 1.97% 1/20/2023** |
|
$ |
384,000 |
|
$ |
383,761 |
|
|
Enterprise Fleet Financing LLC 2017-1 A3 — 2.60% 7/20/2022** |
|
275,000 |
|
277,796 |
| ||
|
GreatAmerica Leasing Receivables Funding LLC Series 2016-1 A3 — 1.73% 6/20/2019** |
|
1,000,000 |
|
998,994 |
| ||
|
GreatAmerica Leasing Receivables Funding LLC Series 2017-1 A4 — 2.36% 1/20/2023** |
|
177,000 |
|
176,623 |
| ||
|
GreatAmerica Leasing Receivables Funding LLC Series 2017-1 C — 2.89% 1/22/2024** |
|
250,000 |
|
249,540 |
| ||
|
Hertz Fleet Lease Funding LP 2016-1 A2 — 1.96% 4/10/2030** |
|
1,190,367 |
|
1,188,246 |
| ||
|
Hertz Fleet Lease Funding LP 2017-1 A2 — 2.13% 4/10/2031** |
|
548,000 |
|
547,626 |
| ||
|
Leaf Receivables Funding 12 LLC 2017-1 A3 — 2.07% 8/15/2020**,†† |
|
203,000 |
|
202,715 |
| ||
|
Leaf Receivables Funding 12 LLC 2017-1 A4 — 2.43% 7/15/2021**,†† |
|
149,000 |
|
148,732 |
| ||
|
NextGear Floorplan Master Owner Trust 2015-2A A — 2.38% 10/15/2020** |
|
517,000 |
|
519,107 |
| ||
|
NextGear Floorplan Master Owner Trust 2017-1A A2 — 2.54% 4/18/2022** |
|
620,000 |
|
618,598 |
| ||
|
Prop Series 2017-1A — 5.30% 3/15/2042†† |
|
1,046,338 |
|
1,057,848 |
| ||
|
Verizon Owner Trust 2016-2A A — 1.68% 5/20/2021** |
|
240,000 |
|
239,073 |
| ||
|
Verizon Owner Trust 2017-2A A — 1.92% 12/20/2021** |
|
707,000 |
|
706,275 |
| ||
|
Verizon Owner Trust 2017-1A A — 2.06% 9/20/2021** |
|
269,000 |
|
269,682 |
| ||
|
Verizon Owner Trust 2016-2A B — 2.15% 5/20/2021** |
|
269,000 |
|
268,357 |
| ||
|
Verizon Owner Trust 2017-2A B — 2.22% 12/20/2021** |
|
645,000 |
|
641,627 |
| ||
|
Verizon Owner Trust 2017-1A B — 2.45% 9/20/2021** |
|
918,000 |
|
922,102 |
| ||
|
Volvo Financial Equipment LLC Series 2016-1A A2 — 1.44% 10/15/2018** |
|
258,837 |
|
258,827 |
| ||
|
Volvo Financial Equipment LLC Series 2017-1A A4 — 2.21% 11/15/2021** |
|
159,000 |
|
158,763 |
| ||
|
|
|
|
|
$ |
17,408,778 |
| |
|
OTHER — 3.2% |
|
|
|
|
| ||
|
New Residential Advance Receivables Trust 2015-ON1 2016-T4 AT4 — 3.107% 12/15/2050**,†† |
|
$ |
1,345,000 |
|
$ |
1,350,124 |
|
|
New Residential Advance Receivables Trust Advance Receivables Backed 2016-T1 AT1 — 2.751% 6/15/2049** |
|
679,500 |
|
675,423 |
| ||
|
New Residential Advance Receivables Trust Advance Receivables Backed Notes 2016-T2 AT2 — 2.575% 10/15/2049** |
|
1,362,000 |
|
1,351,734 |
| ||
|
New Residential Advance Receivables Trust Advance Receivables Backed Notes 2017-T1 AT1 — 3.214% 2/15/2051**,†† |
|
1,262,000 |
|
1,268,827 |
| ||
|
Ocwen Master Advance Receivables Trust 2017-T1 AT1 — 2.499% 9/15/2048**,†† |
|
148,000 |
|
148,000 |
| ||
|
Ocwen Master Advance Receivables Trust 2016-T1 AT1 — 2.521% 8/17/2048** |
|
1,343,000 |
|
1,340,902 |
| ||
|
Oportun Funding III LLC 2016-B A — 3.69% 7/8/2021** |
|
264,000 |
|
264,204 |
| ||
|
Oportun Funding IV LLC 2016-C A — 3.28% 11/8/2021** |
|
261,000 |
|
259,259 |
| ||
|
Panhandle-Plains Student Finance Corporation 2001-1 A2 — 2.735% 12/1/2031††,@ |
|
600,000 |
|
596,250 |
| ||
|
PFS Financing Corp. 2016-BA A — 1.87% 10/15/2021** |
|
320,000 |
|
317,541 |
| ||
|
PFS Financing Corp. 2017-BA A2 — 2.22% 7/15/2022** |
|
588,000 |
|
587,847 |
| ||
|
PFS Financing Corp. 2017-BA B — 2.57% 7/15/2022** |
|
195,000 |
|
194,968 |
| ||
|
PFS Financing Corporation 2014-BA A, 1M LIBOR + 0.600% — 1.834% 10/15/2019**,@ |
|
1,450,000 |
|
1,451,857 |
| ||
|
PFS Financing Corporation 2016-A A, 1M LIBOR + 1.200% — 2.434% 2/18/2020**,@ |
|
1,516,000 |
|
1,521,593 |
| ||
|
Unison Ground Lease Funding LLC 2013-1 B — 5.78% 3/15/2043**,†† |
|
349,000 |
|
346,497 |
| ||
|
WCP ISSUER LLC 2013-1 B — 6.657% 8/15/2043**,†† |
|
409,000 |
|
423,348 |
| ||
|
|
|
|
|
$ |
12,098,374 |
| |
|
|
|
|
|
|
|
| |
|
TOTAL ASSET-BACKED SECURITIES |
|
|
|
$ |
78,296,558 |
| |
See notes to financial statements.
|
|
|
Principal |
|
Fair Value |
| ||
|
CORPORATE BONDS & NOTES — 0.5% |
|
|
|
|
| ||
|
CONSUMER, CYCLICAL — 0.0% |
|
|
|
|
| ||
|
Continental Airlines 2000-1 Class B Pass Through Trust — 8.388% 5/1/2022 |
|
$ |
753 |
|
$ |
847 |
|
|
Northwest Airlines 1999-2 Class C Pass Through Trust — 8.304% 9/1/2010†† |
|
232,812 |
|
86,723 |
| ||
|
US Airways 1998-1B Pass Through Trust — 7.35% 7/30/2019 |
|
53,755 |
|
53,185 |
| ||
|
|
|
|
|
$ |
140,755 |
| |
|
CONSUMER, NON-CYCLICAL — 0.1% |
|
|
|
|
| ||
|
StoneMor Partners LP / Cornerstone Family Services of West Virginia Subsidiary — 7.875% 6/1/2021 |
|
$ |
163,000 |
|
$ |
156,480 |
|
|
|
|
|
|
|
| ||
|
ENERGY — 0.1% |
|
|
|
|
| ||
|
PHI, Inc. — 5.25% 3/15/2019 |
|
$ |
306,000 |
|
$ |
297,585 |
|
|
|
|
|
|
|
| ||
|
FINANCIAL — 0.1% |
|
|
|
|
| ||
|
Berkshire Hathaway Finance Corporation, 3M USD LIBOR + 0.260% — 1.575% 8/15/2019@ |
|
$ |
336,000 |
|
$ |
337,150 |
|
|
N671US Trust — 7.50% 9/15/2020**,†† |
|
119,392 |
|
119,690 |
| ||
|
|
|
|
|
$ |
456,840 |
| |
|
INDUSTRIAL — 0.0% |
|
|
|
|
| ||
|
Air 2 US — 10.127% 10/1/2020**,†† |
|
$ |
426,921 |
|
$ |
106,730 |
|
|
|
|
|
|
|
|
|
|
|
TECHNOLOGY — 0.2% |
|
|
|
|
| ||
|
Apple, Inc. — 1.90% 2/7/2020 |
|
$ |
688,000 |
|
$ |
690,287 |
|
|
|
|
|
|
|
|
| |
|
TOTAL CORPORATE BONDS & NOTES |
|
|
|
$ |
1,848,677 |
| |
|
|
|
|
|
|
| ||
|
CORPORATE BANK DEBT — 1.6% |
|
|
|
|
| ||
|
ACCTL2 — 6.06% 7/28/2023††,**,@ |
|
$ |
516,790 |
|
$ |
516,790 |
|
|
Authentic Brands TL 2L — 9.07% 9/26/2025**,@ |
|
131,000 |
|
131,983 |
| ||
|
Intelsat Jackson Holding SA — 3.80% 6/30/2019**,@ |
|
690,000 |
|
687,626 |
| ||
|
Internap Corp. TL 1L — 8.24% 4/3/2022**,@ |
|
500,000 |
|
503,750 |
| ||
|
Logix Holding Co. LLC TL 1L — 2.87% 7/17/2024**,@ |
|
311,000 |
|
312,309 |
| ||
|
MB1LTL, 1M LIBOR + 5.00% — 6.24% 11/30/2022††,**,@ |
|
707,442 |
|
709,960 |
| ||
|
MB1LDDTL, 1M LIBOR + 2.26% — 2.33% 12/2/2022††,** |
|
53,661 |
|
191 |
| ||
|
MB2LTL, 1M LIBOR + 9.25% — 10.49% 11/30/2023††,**,@ |
|
184,000 |
|
183,921 |
| ||
|
OTGDDTL — 1.00% 8/23/2021††,** |
|
20,000 |
|
550 |
| ||
|
OTGTL — 9.771% 8/23/2021††,**,@ |
|
560,000 |
|
564,200 |
| ||
|
SDTL — 7.30% 11/22/2021††,**,@ |
|
372,875 |
|
373,341 |
| ||
|
Sears Roebuck Acceptance Corp. TL — 5.80% 6/30/2018**,@ |
|
517,181 |
|
510,716 |
| ||
|
XPLORNET COMMUNICATIONS Inc. TL-B 1L — 6.07% 9/9/2021**,@ |
|
1,051,604 |
|
1,058,839 |
| ||
|
ZW1L — 6.325% 11/16/2022††,**,@ |
|
367,225 |
|
367,684 |
| ||
|
ZW2L — 10.314% 11/16/2023††,**,@ |
|
130,000 |
|
129,838 |
| ||
|
|
|
|
|
|
|
| |
|
TOTAL CORPORATE BANK DEBT |
|
|
|
$ |
6,051,698 |
| |
|
|
|
|
|
|
| ||
|
MUNICIPALS — 0.1% |
|
|
|
|
| ||
|
Wayne County GO, (TXBL-NTS), — 4.25% 12/1/2018 |
|
$ |
225,000 |
|
$ |
226,660 |
|
See notes to financial statements.
|
|
|
Principal |
|
Fair Value |
| ||
|
U.S. Treasuries — 1.3% |
|
|
|
|
| ||
|
U.S. Treasury Notes — 1.00% 12/15/2017 |
|
$ |
1,300,000 |
|
$ |
1,299,924 |
|
|
U.S. Treasury Notes — 1.375% 8/31/2020 |
|
2,693,000 |
|
2,673,655 |
| ||
|
U.S. Treasury Notes — 1.375% 10/31/2020 |
|
891,000 |
|
883,332 |
| ||
|
|
|
|
|
|
| ||
|
TOTAL U.S. TREASURIES |
|
|
|
$ |
4,856,911 |
| |
|
|
|
|
|
|
| ||
|
TOTAL BONDS & DEBENTURES — 33.0% |
|
|
|
$ |
125,425,153 |
| |
|
|
|
|
|
|
| ||
|
TOTAL INVESTMENT SECURITIES — 93.0% |
|
|
|
$ |
353,681,753 |
| |
|
|
|
|
|
|
| ||
|
SHORT-TERM INVESTMENTS — 7.3% |
|
|
|
|
| ||
|
State Street Bank Repurchase Agreement — 0.12% 10/2/2017 |
|
$ |
27,767,000 |
|
$ |
27,767,000 |
|
|
TOTAL SHORT-TERM INVESTMENTS |
|
|
|
$ |
27,767,000 |
| |
|
|
|
|
|
|
| ||
|
TOTAL INVESTMENTS — 100.3% |
|
|
|
$ |
381,448,753 |
| |
|
Other Assets and Liabilities, net — (0.3)% |
|
|
|
(1,143,191 |
) | ||
|
NET ASSETS — 100.0% — NOTE 2 |
|
|
|
$ |
380,305,562 |
| |
|
*Non-income producing security. |
|
@Variable/Floating Rate Security — The rate shown is based on the latest available information as of September 30, 2017. For Senior Loan Notes, the rate shown may represent a weighted average interest rate. Certain variable rate securities are not based on a published reference 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. |
|
**Restricted securities. These restricted securities constituted 20.02% of total net assets at September 30, 2017, 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 Company 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 Company’s Board of Directors. |
|
††These securities have been valued in good faith under policies adopted by authority of the Board of Director in accordance with the Company’s fair value procedures. These securities constituted 2.96% of total net assets at September 30, 2017. |
|
@@Step Coupon - Coupon rate increases in increments to maturity. Rate disclosed is as of September 30, 2017. |
See notes to financial statements.
SOURCE CAPITAL, INC.
PORTFOLIO OF INVESTMENTS —
RESTRICTED SECURITIES
September 30, 2017
|
Issuer |
|
Acquisition Date (s) |
|
Cost |
|
Fair Value |
|
Fair Value as a % |
| ||
|
A10 Term Asset Financing LLC 2016-1 A1 — 2.42% 3/15/2035 |
|
05/19/2016 |
|
$ |
145,602 |
|
$ |
145,144 |
|
0.04 |
% |
|
A10 Term Asset Financing LLC 2017-1A A1FX — 2.34% 3/15/2036 |
|
08/08/2017 |
|
468,941 |
|
469,269 |
|
0.12 |
% | ||
|
ACCTL2 — 6.06% 7/28/2023 |
|
12/30/2016 |
|
512,403 |
|
516,790 |
|
0.14 |
% | ||
|
Adams Mill CLO Ltd. 2014-1A B2R — 3.35% 7/15/2026 |
|
06/23/2017 |
|
250,000 |
|
248,515 |
|
0.07 |
% | ||
|
Air 2 US — 10.127% 10/1/2020 |
|
02/21/2015, 01/13/2016 |
|
125,942 |
|
106,730 |
|
0.03 |
% | ||
|
ARI Fleet Lease Trust 2015-A A2 — 1.11% 11/15/2018 |
|
01/25/2016, 03/07/2016, 03/11/2016 |
|
151,371 |
|
151,502 |
|
0.04 |
% | ||
|
ARI Fleet Lease Trust 2016-A A2 — 1.82% 7/15/2024 |
|
02/17/2016 |
|
293,304 |
|
293,462 |
|
0.08 |
% | ||
|
Ascentium Equipment Receivables LLC 2015-2A B — 2.62% 12/10/2019 |
|
02/18/2016 |
|
1,253,250 |
|
1,257,482 |
|
0.33 |
% | ||
|
Ascentium Equipment Receivables Trust 2016-1A A2 — 1.75% 11/13/2018 |
|
04/18/2016 |
|
390,641 |
|
390,642 |
|
0.10 |
% | ||
|
Authentic Brands TL 2L — 9.07% 9/26/2025 |
|
09/26/2017 |
|
130,018 |
|
131,983 |
|
0.03 |
% | ||
|
Aventura Mall Trust M 2013-AVM A — 3.867% 12/5/2032 |
|
09/28/2017 |
|
678,767 |
|
676,442 |
|
0.18 |
% | ||
|
Avis Budget Rental Car Funding AESOP LLC 2014-2A A — 2.50% 2/20/2021 |
|
01/31/2017 |
|
172,283 |
|
172,347 |
|
0.05 |
% | ||
|
Avis Budget Rental Car Funding AESOP LLC 2015-1A A — 2.50% 7/20/2021 |
|
06/09/2017 |
|
1,278,450 |
|
1,278,571 |
|
0.34 |
% | ||
|
Avis Budget Rental Car Funding AESOP LLC 2015-2A A — 2.63% 12/20/2021 |
|
03/13/2017 |
|
614,186 |
|
615,595 |
|
0.16 |
% | ||
|
BCAP LLC Trust 2010-RR8 2A6 — 2.754% 11/26/2036 |
|
12/08/2015 |
|
178,302 |
|
178,749 |
|
0.05 |
% | ||
|
Black Diamond CLO Ltd. 2014-1A A1R, 3M USD LIBOR + 1.150% — 2.454% 10/17/2026 |
|
07/12/2017 |
|
893,000 |
|
895,333 |
|
0.24 |
% | ||
|
BlueMountain CLO Ltd. 2013-4A — 3.36% 4/15/2025 |
|
03/31/2017 |
|
250,000 |
|
250,475 |
|
0.07 |
% | ||
|
CCG Receivables Trust 2015-1 A2 — 1.46% 11/14/2018 |
|
05/26/2016 |
|
112,725 |
|
112,598 |
|
0.03 |
% | ||
|
Cerberus Loan Funding XVIII LP 2017-1A A, 3M USD LIBOR + 1.750% — 3.054% 4/15/2027 |
|
03/30/2017 |
|
1,138,000 |
|
1,139,343 |
|
0.30 |
% | ||
|
Cerberus Onshore II CLO-2 LLC 2014-1A A, 3M USD LIBOR + 1.900% — 3.204% 10/15/2023 |
|
05/05/2016 |
|
24,763 |
|
24,793 |
|
0.01 |
% | ||
|
Cerberus Onshore II CLO-2 LLC 2014-1A B, 3M USD LIBOR + 2.700% — 4.004% 10/15/2023 |
|
05/05/2016 |
|
247,872 |
|
250,032 |
|
0.07 |
% | ||
|
Chesapeake Funding II LLC 2016-1A A1 — 2.11% 3/15/2028 |
|
03/24/2016 |
|
1,005,347 |
|
1,007,749 |
|
0.26 |
% | ||
|
Chesapeake Funding II LLC 2016-2A A1 — 1.88% 6/15/2028 |
|
06/14/2016 |
|
653,546 |
|
653,702 |
|
0.17 |
% | ||
|
CIFC Funding 2013-III Ltd. 2013-3A A2BR — 3.40% 10/24/2025 |
|
03/10/2017 |
|
250,000 |
|
250,459 |
|
0.07 |
% | ||
|
CIFC Funding 2013-IV Ltd. 2013-4A A2R — 2.72% 11/27/2024 |
|
02/15/2017 |
|
403,000 |
|
403,594 |
|
0.11 |
% | ||
|
Coinstar Funding LLC Series 2017-1A A2 — 5.216% 4/25/2047 |
|
05/04/2017 |
|
227,430 |
|
235,811 |
|
0.06 |
% | ||
|
COMM Mortgage Trust 2014-FL5 B, 1M LIBOR + 2.150% — 3.384% 10/15/2031 |
|
11/29/2016 |
|
337,653 |
|
338,425 |
|
0.09 |
% | ||
|
COMM Mortgage Trust 2014-FL5 C, 1M LIBOR + 2.150% — 3.384% 10/15/2031 |
|
09/15/2016 |
|
218,124 |
|
221,158 |
|
0.06 |
% | ||
|
Credit Acceptance Auto Loan Trust 2014-2A B — 2.67% 9/15/2022 |
|
01/08/2016 |
|
153,069 |
|
153,722 |
|
0.04 |
% | ||
|
Credit Acceptance Auto Loan Trust 2015-1A A — 2.00% 7/15/2022 |
|
01/06/2016, 01/11/2016 |
|
245,781 |
|
246,525 |
|
0.06 |
% | ||
|
Credit Acceptance Auto Loan Trust 2015-2A B — 3.04% 8/15/2023 |
|
01/08/2016 |
|
565,144 |
|
570,276 |
|
0.15 |
% | ||
|
Credit Acceptance Auto Loan Trust 2016-2A A — 2.42% 11/15/2023 |
|
05/04/2016 |
|
249,952 |
|
250,987 |
|
0.07 |
% | ||
|
Credit Acceptance Auto Loan Trust 2016-2A B — 3.18% 5/15/2024 |
|
05/04/2016 |
|
600,870 |
|
604,956 |
|
0.16 |
% | ||
|
Credit Acceptance Auto Loan Trust 2016-3A B — 2.94% 10/15/2024 |
|
10/19/2016 |
|
548,595 |
|
549,165 |
|
0.14 |
% | ||
|
Credit Acceptance Auto Loan Trust 2016-3A C — 3.60% 4/15/2025 |
|
10/19/2016 |
|
338,943 |
|
341,607 |
|
0.09 |
% | ||
|
Credit Acceptance Auto Loan Trust 2017-2A A — 2.55% 2/17/2026 |
|
07/10/2017 |
|
1,351,035 |
|
1,349,828 |
|
0.35 |
% | ||
|
Credit Suisse Commercial Mortgage Trust Series 2016-MFF E, 1M LIBOR + 6.000% — 7.234% 11/15/2033 |
|
11/4/2016, 12/20/2016 |
|
813,000 |
|
817,069 |
|
0.21 |
% | ||
|
DT Auto Owner Trust 2016-4A B — 2.02% 8/17/2020 |
|
09/28/2016 |
|
365,984 |
|
365,426 |
|
0.10 |
% | ||
|
DT Auto Owner Trust 2017-1A C — 2.70% 11/15/2022 |
|
06/14/2017 |
|
503,091 |
|
502,845 |
|
0.13 |
% | ||
|
Elm Trust 2016-1A A2 — 4.163% 6/20/2025 |
|
12/18/2016 |
|
355,994 |
|
363,565 |
|
0.10 |
% | ||
|
Enterprise Fleet Financing LLC 2014-2 A2 — 1.05% 3/20/2020 |
|
02/17/2016 |
|
25,230 |
|
25,289 |
|
0.01 |
% | ||
|
Enterprise Fleet Financing LLC 2015-1 A2 — 1.30% 9/20/2020 |
|
02/23/2016 |
|
200,469 |
|
200,786 |
|
0.05 |
% | ||
|
Enterprise Fleet Financing LLC 2016-1 A2 — 1.83% 9/20/2021 |
|
02/09/2016 |
|
779,401 |
|
779,173 |
|
0.20 |
% | ||
|
Enterprise Fleet Financing LLC 2016-2 A2 — 1.74% 2/22/2022 |
|
07/12/2016 |
|
400,221 |
|
399,777 |
|
0.11 |
% | ||
|
Enterprise Fleet Financing LLC 2017-1 A3 — 2.60% 7/20/2022 |
|
01/24/2017 |
|
274,939 |
|
277,796 |
|
0.07 |
% | ||
|
Enterprise Fleet Financing LLC 2017-2 A2 — 1.97% 1/20/2023 |
|
06/20/2017 |
|
383,981 |
|
383,761 |
|
0.10 |
% | ||
|
Exeter Automobile Receivables Trust 2016-3A A — 1.84% 11/16/2020 |
|
10/03/2016 |
|
328,697 |
|
327,774 |
|
0.09 |
% | ||
|
Exeter Automobile Receivables Trust 2017-1A B — 3.00% 12/15/2021 |
|
01/30/2017 |
|
236,954 |
|
237,267 |
|
0.06 |
% | ||
|
First Investors Auto Owner Trust 2016-1A A1 — 1.92% 5/15/2020 |
|
03/09/2016 |
|
237,600 |
|
237,844 |
|
0.06 |
% | ||
|
First Investors Auto Owner Trust 2016-1A A2 — 2.26% 4/15/2021 |
|
02/10/2016 |
|
1,096,000 |
|
1,097,769 |
|
0.29 |
% | ||
|
First Investors Auto Owner Trust 2016-2A A2 — 1.87% 11/15/2021 |
|
09/12/2016 |
|
147,992 |
|
147,683 |
|
0.04 |
% |
|
First Investors Auto Owner Trust 2017-1A B — 2.67% 4/17/2023 |
|
02/21/2017 |
|
115,008 |
|
114,961 |
|
0.03 |
% |
|
First Investors Auto Owner Trust 2017-1A C — 2.95% 4/17/2023 |
|
06/30/2017 |
|
218,972 |
|
219,106 |
|
0.06 |
% |
|
Flagship VII Ltd. 2013-7A A2R — 2.70% 1/20/2026 |
|
03/22/2017 |
|
475,000 |
|
475,635 |
|
0.13 |
% |
|
Fortress Credit Opportunities III CLO LP 2014-3A A1TR, 3M USD LIBOR + 1.650% — 2.953% 4/28/2026 |
|
03/22/2017 |
|
1,322,000 |
|
1,325,041 |
|
0.35 |
% |
|
Fortress Credit Opportunities III CLO LP 2014-3A DR, 3M USD LIBOR + 4.100% — 5.403% 4/28/2026 |
|
08/03/2017 |
|
217,899 |
|
218,229 |
|
0.06 |
% |
|
Fortress Credit Opportunities V CLO Ltd. 2014-5A A1FR — 3.40% 10/15/2026 |
|
03/28/2017 |
|
683,000 |
|
683,461 |
|
0.18 |
% |
|
Fortress Credit Opportunities V CLO Ltd. 2014-5A A2R — 3.75% 10/15/2026 |
|
03/28/2017 |
|
178,000 |
|
177,536 |
|
0.05 |
% |
|
GreatAmerica Leasing Receivables Funding LLC Series 2016-1 A3 — 1.73% 6/20/2019 |
|
02/09/2016 |
|
999,911 |
|
998,994 |
|
0.26 |
% |
|
GreatAmerica Leasing Receivables Funding LLC Series 2017-1 A4 — 2.36% 1/20/2023 |
|
02/07/2017 |
|
176,993 |
|
176,623 |
|
0.05 |
% |
|
GreatAmerica Leasing Receivables Funding LLC Series 2017-1 C — 2.89% 1/22/2024 |
|
02/07/2017 |
|
249,987 |
|
249,540 |
|
0.07 |
% |
|
Halcyon Loan Advisors Funding, 3M USD LIBOR + 1.100% — 2.413% 10/22/2025 |
|
06/30/2017 |
|
491,000 |
|
491,256 |
|
0.13 |
% |
|
Hertz Fleet Lease Funding LP 2016-1 A2 — 1.96% 4/10/2030 |
|
04/13/2016 |
|
1,190,347 |
|
1,188,246 |
|
0.31 |
% |
|
Hertz Fleet Lease Funding LP 2017-1 A2 — 2.13% 4/10/2031 |
|
04/18/2017 |
|
547,935 |
|
547,626 |
|
0.14 |
% |
|
Hyundai Auto Lease Securitization Trust 2016-C B — 1.86% 5/17/2021 |
|
01/10/2017 |
|
357,066 |
|
356,459 |
|
0.09 |
% |
|
ICG US CLO Ltd. 2014-3A A1BR — 2.97% 1/25/2027 |
|
04/27/2017 |
|
933,000 |
|
933,995 |
|
0.25 |
% |
|
Intelsat Jackson Holding SA — 3.80% 6/30/2019 |
|
06/27/2017 |
|
683,750 |
|
687,626 |
|
0.18 |
% |
|
Internap Corp. TL 1L — 8.24% 4/3/2022 |
|
04/03/2017 |
|
493,054 |
|
503,750 |
|
0.13 |
% |
|
Jamestown CLO III Ltd. 2013-3A A1BR — 2.753% 1/15/2026 |
|
05/02/2017 |
|
451,000 |
|
451,517 |
|
0.12 |
% |
|
JP Morgan Chase Commercial Mortgage Securities Trust 2010-C1 A3 — 5.058% 6/15/2043 |
|
09/15/2017 |
|
203,861 |
|
203,661 |
|
0.05 |
% |
|
Latitude Management Real Estate Capita 2016-CRE2 A, 1M LIBOR + 1.700% — 2.936% 11/24/2031 |
|
10/21/2016 |
|
445,448 |
|
448,440 |
|
0.12 |
% |
|
Leaf Receivables Funding 12 LLC 2017-1 A3 — 2.07% 8/15/2020 |
|
05/17/2017 |
|
202,960 |
|
202,715 |
|
0.05 |
% |
|
Leaf Receivables Funding 12 LLC 2017-1 A4 — 2.43% 7/15/2021 |
|
05/17/2017 |
|
148,977 |
|
148,732 |
|
0.04 |
% |
|
Logix Holding Co. LLC TL 1L — 2.87% 7/17/2024 |
|
08/11/2017 |
|
307,890 |
|
312,309 |
|
0.08 |
% |
|
Madison Avenue Trust M 2013-650M A — 3.843% 10/12/2032 |
|
09/28/2017 |
|
288,773 |
|
288,489 |
|
0.08 |
% |
|
MB1LTL, 1M LIBOR + 5.00% — 6.24% 11/30/2022 |
|
12/02/2016 |
|
700,731 |
|
709,960 |
|
0.19 |
% |
|
MB1LDDTL, 1M LIBOR + 2.26% — 2.33% 12/2/2022 |
|
08/29/2017 |
|
0 |
|
191 |
|
0.00 |
% |
|
MB2LTL, 1M LIBOR + 9.25% — 10.49% 11/30/2023 |
|
12/02/2016 |
|
181,474 |
|
183,921 |
|
0.05 |
% |
|
MidOcean Credit CLO I 2012-1A A2R, 3M USD LIBOR + 2.500% — 3.804% 1/15/2024 |
|
01/18/2017 |
|
509,280 |
|
506,749 |
|
0.13 |
% |
|
N671US Trust — 7.50% 9/15/2020 |
|
05/09/2016 |
|
119,392 |
|
119,690 |
|
0.03 |
% |
|
Nationstar HECM Loan Trust 2016-3A A — 2.013% 8/25/2026 |
|
08/11/2016 |
|
53,975 |
|
54,669 |
|
0.01 |
% |
|
Nationstar HECM Loan Trust 2017-2A A1 — 2.038% 9/25/2027 |
|
09/26/2017 |
|
325,000 |
|
325,000 |
|
0.09 |
% |
|
Nationstar HECM Loan Trust 2017-2A M1 — 2.815% 9/25/2027 |
|
09/26/2017 |
|
316,000 |
|
316,000 |
|
0.08 |
% |
|
Nelder Grove CLO Ltd. 2014-1A AFR — 3.00% 8/28/2026 |
|
02/08/2017 |
|
250,000 |
|
251,080 |
|
0.07 |
% |
|
New Residential Advance Receivables Trust 2015-ON1 2016-T4 AT4 — 3.107% 12/15/2050 |
|
11/22/2016 |
|
1,345,000 |
|
1,350,124 |
|
0.36 |
% |
|
New Residential Advance Receivables Trust Advance Receivables Backed 2016-T1 AT1 — 2.751% 6/15/2049 |
|
06/23/2016 |
|
679,500 |
|
675,423 |
|
0.18 |
% |
|
New Residential Advance Receivables Trust Advance Receivables Backed Notes 2016-T2 AT2 — 2.575% 10/15/2049 |
|
10/14/2016 |
|
1,362,000 |
|
1,351,734 |
|
0.36 |
% |
|
New Residential Advance Receivables Trust Advance Receivables Backed Notes 2017-T1 AT1 — 3.214% 2/15/2051 |
|
02/01/2017 |
|
1,262,000 |
|
1,268,827 |
|
0.33 |
% |
|
NewMark Capital Funding CLO, Ltd. 2014-2A AFR — 3.077% 6/30/2026 |
|
03/02/2017 |
|
250,000 |
|
251,108 |
|
0.07 |
% |
|
NewMark Capital Funding CLO, Ltd. 2014-2A BFR — 3.669% 6/30/2026 |
|
03/02/2017 |
|
278,000 |
|
279,324 |
|
0.07 |
% |
|
NextGear Floorplan Master Owner Trust 2015-2A A — 2.38% 10/15/2020 |
|
01/30/2017 |
|
519,705 |
|
519,107 |
|
0.14 |
% |
|
NextGear Floorplan Master Owner Trust 2017-1A A2 — 2.54% 4/18/2022 |
|
04/24/2017 |
|
619,960 |
|
618,598 |
|
0.16 |
% |
|
Nomura Resecuritization Trust 2016-1R 3A1 — 5.00% 9/28/2036 |
|
05/05/2016 |
|
160,379 |
|
158,617 |
|
0.04 |
% |
|
Northwoods Capital X Ltd. 2013-10A A2R — 2.649% 11/4/2025 |
|
03/29/2017 |
|
797,000 |
|
795,949 |
|
0.21 |
% |
|
Northwoods Capital X Ltd. 2013-10A B2R — 3.442% 11/4/2025 |
|
03/29/2017 |
|
250,000 |
|
250,439 |
|
0.07 |
% |
|
Oaktree CLO Ltd. 2014-2A A1BR — 2.953% 10/20/2026 |
|
02/17/2017 |
|
293,000 |
|
294,228 |
|
0.08 |
% |
|
Ocean Trails CLO V 2014-5A C2R — 4.70% 10/13/2026 |
|
03/09/2017 |
|
186,000 |
|
188,027 |
|
0.05 |
% |
|
Ocwen Master Advance Receivables Trust 2016-T1 AT1 — 2.521% 8/17/2048 |
|
08/03/2016 |
|
1,343,000 |
|
1,340,902 |
|
0.35 |
% |
|
Ocwen Master Advance Receivables Trust 2017-T1 AT1 — 2.499% 9/15/2048 |
|
09/08/2017 |
|
148,000 |
|
148,000 |
|
0.04 |
% |
|
OHA Loan Funding LLC 2014-1A A2R — 2.95% 10/20/2026 |
|
03/09/2017 |
|
569,000 |
|
569,306 |
|
0.15 |
% |
|
Oportun Funding III LLC 2016-B A — 3.69% 7/8/2021 |
|
06/22/2016 |
|
263,979 |
|
264,204 |
|
0.07 |
% |
|
Oportun Funding IV LLC 2016-C A — 3.28% 11/8/2021 |
|
12/07/2016 |
|
260,989 |
|
259,259 |
|
0.07 |
% |
|
OTGDDTL — 1.00% 8/23/2021 |
|
08/26/2016 |
|
0 |
|
550 |
|
0.00 |
% |
|
OTGTL — 9.771% 8/23/2021 |
|
08/26/2016 |
|
551,313 |
|
564,200 |
|
0.15 |
% |
|
Peaks CLO 1, Ltd. 2014-1A C, 3M USD LIBOR + 3.500% — 4.804% 6/15/2026 |
|
12/07/2016 |
|
337,789 |
|
344,058 |
|
0.09 |
% |
|
Peaks CLO, 1 Ltd. 2014-1A A, 3M USD LIBOR + 1.750% — 3.054% 6/15/2026 |
|
06/28/2017 |
|
839,821 |
|
840,005 |
|
0.22 |
% |
|
PFS Financing Corp. 2016-BA A — 1.87% 10/15/2021 |
|
08/15/2017 |
|
318,579 |
|
317,541 |
|
0.08 |
% |
|
PFS Financing Corp. 2017-BA A2 — 2.22% 7/15/2022 |
|
08/01/2017 |
|
587,908 |
|
587,847 |
|
0.15 |
% | ||
|
PFS Financing Corp. 2017-BA B — 2.57% 7/15/2022 |
|
08/01/2017 |
|
194,988 |
|
194,968 |
|
0.05 |
% | ||
|
PFS Financing Corporation 2014-BA A, 1M LIBOR + 0.600% — 1.834% 10/15/2019 |
|
02/16/2016 |
|
1,441,968 |
|
1,451,857 |
|
0.38 |
% | ||
|
PFS Financing Corporation 2016-A A, 1M LIBOR + 1.200% — 2.434% 2/18/2020 |
|
02/09/2016 |
|
1,516,327 |
|
1,521,593 |
|
0.40 |
% | ||
|
Prestige Auto Receivables Trust 2016-1A A3 — 1.99% 6/15/2020 |
|
03/16/2016 |
|
1,256,000 |
|
1,257,535 |
|
0.33 |
% | ||
|
Prestige Auto Receivables Trust 2016-2A B — 2.19% 11/15/2022 |
|
10/21/2016 |
|
672,901 |
|
669,018 |
|
0.18 |
% | ||
|
Prestige Auto Receivables Trust 2016-2A C — 2.88% 11/15/2022 |
|
10/21/2016 |
|
327,603 |
|
328,376 |
|
0.09 |
% | ||
|
Prestige Auto Receivables Trust 2017-1A B — 2.39% 5/16/2022 |
|
08/16/2017 |
|
318,977 |
|
317,228 |
|
0.08 |
% | ||
|
Prestige Auto Receivables Trust 2017-1A C — 2.81% 1/17/2023 |
|
09/28/2017 |
|
786,024 |
|
788,349 |
|
0.21 |
% | ||
|
Rialto Capital Management LLC 2014-LT5 B — 5.00% 5/15/2024 |
|
01/11/2016 |
|
102,984 |
|
103,728 |
|
0.03 |
% | ||
|
RiverView HECM Trust 2007-1 A, 1 year Treasury + 0.500% — 1.817% 5/25/2047 |
|
05/11/2016 |
|
462,433 |
|
459,470 |
|
0.12 |
% | ||
|
Santander Drive Auto Receivables Trust 2013-A C — 3.12% 10/15/2019 |
|
12/18/2015 |
|
169,729 |
|
168,760 |
|
0.04 |
% | ||
|
Saranac CLO II Ltd. 2014-2A A2, 3M USD LIBOR + 1.750% — 3.066% 2/20/2025 |
|
04/17/2017 |
|
320,569 |
|
320,578 |
|
0.08 |
% | ||
|
SCG Trust 2013-SRP1 AJ, 1M LIBOR + 1.950% — 3.427% 11/15/2026 |
|
12/07/2016 |
|
378,159 |
|
378,580 |
|
0.10 |
% | ||
|
SDTL — 7.30% 11/22/2021 |
|
12/22/2016 |
|
366,426 |
|
373,341 |
|
0.10 |
% | ||
|
Sears Roebuck Acceptance Corp. TL — 5.80% 6/30/2018 |
|
08/01/2017 |
|
512,335 |
|
510,716 |
|
0.13 |
% | ||
|
Silvermore Clo Ltd., 3M USD LIBOR + 1.170% — 2.485% 5/15/2026 |
|
06/30/2017 |
|
664,000 |
|
663,993 |
|
0.17 |
% | ||
|
Symphony CLO XII Ltd. 2013-12A B2R — 3.50% 10/15/2025 |
|
04/03/2017 |
|
427,000 |
|
427,667 |
|
0.11 |
% | ||
|
Telos CLO 2013-3A AR, 3M USD LIBOR + 1.300% — 2.571% 7/17/2026 |
|
07/13/2017 |
|
461,000 |
|
460,987 |
|
0.12 |
% | ||
|
Telos CLO 2013-3A BR, 3M USD LIBOR + 2.000% — 3.271% 7/17/2026 |
|
07/12/2017 |
|
549,000 |
|
548,983 |
|
0.14 |
% | ||
|
Telos CLO, Ltd. 2014-5A A, 3M USD LIBOR + 1.550% — 2.854% 4/17/2025 |
|
11/01/2016 |
|
828,379 |
|
831,804 |
|
0.22 |
% | ||
|
Towd Point Mortgage Trust 2015-1 AES — 3.00% 10/25/2053 |
|
12/09/2015 |
|
521,335 |
|
524,719 |
|
0.14 |
% | ||
|
Towd Point Mortgage Trust 2015-2 2A1 — 3.75% 11/25/2057 |
|
01/05/2016 |
|
1,327,989 |
|
1,327,747 |
|
0.35 |
% | ||
|
Towd Point Mortgage Trust 2015-4 A1 — 3.50% 4/25/2055 |
|
01/26/2017 |
|
877,721 |
|
879,145 |
|
0.23 |
% | ||
|
Towd Point Mortgage Trust 2016-3 A1 — 2.25% 4/25/2056 |
|
07/22/2016 |
|
601,859 |
|
599,329 |
|
0.16 |
% | ||
|
Unison Ground Lease Funding LLC 2013-1 B — 5.78% 3/15/2043 |
|
12/12/2016, 12/15/2016 |
|
319,164 |
|
346,497 |
|
0.09 |
% | ||
|
Verizon Owner Trust 2016-2A A — 1.68% 5/20/2021 |
|
03/08/2017 |
|
238,691 |
|
239,073 |
|
0.06 |
% | ||
|
Verizon Owner Trust 2016-2A B — 2.15% 5/20/2021 |
|
03/08/2017 |
|
267,770 |
|
268,357 |
|
0.07 |
% | ||
|
Verizon Owner Trust 2017-1A A — 2.06% 9/20/2021 |
|
03/08/2017 |
|
269,028 |
|
269,682 |
|
0.07 |
% | ||
|
Verizon Owner Trust 2017-1A B — 2.45% 9/20/2021 |
|
03/07/2017 |
|
917,881 |
|
922,102 |
|
0.24 |
% | ||
|
Verizon Owner Trust 2017-2A A — 1.92% 12/20/2021 |
|
06/13/2017 |
|
706,898 |
|
706,275 |
|
0.19 |
% | ||
|
Verizon Owner Trust 2017-2A B — 2.22% 12/20/2021 |
|
06/13/2017 |
|
644,841 |
|
641,627 |
|
0.17 |
% | ||
|
VOLT XL LLC 2015-NP14 A1 — 4.375% 11/27/2045 |
|
12/08/2015 |
|
484,744 |
|
485,508 |
|
0.13 |
% | ||
|
VOLT XXV LLC 2015-NPL8 A1 — 3.50% 6/26/2045 |
|
01/20/2016 |
|
435,232 |
|
443,143 |
|
0.12 |
% | ||
|
Volvo Financial Equipment LLC Series 2016-1A A2 — 1.44% 10/15/2018 |
|
06/09/2016 |
|
259,072 |
|
258,827 |
|
0.07 |
% | ||
|
Volvo Financial Equipment LLC Series 2017-1A A4 — 2.21% 11/15/2021 |
|
02/13/2017 |
|
158,997 |
|
158,763 |
|
0.04 |
% | ||
|
Washington Mill CLO Ltd. 2014-1A A2R — 2.90% 4/20/2026 |
|
02/24/2017 |
|
250,000 |
|
250,654 |
|
0.07 |
% | ||
|
Washington Mill CLO Ltd. 2014-1A B2R — 3.60% 4/20/2026 |
|
02/24/2017 |
|
317,000 |
|
318,095 |
|
0.08 |
% | ||
|
WCP ISSUER LLC 2013-1 B — 6.657% 8/15/2043 |
|
12/13/2016, 12/16/2016 |
|
380,648 |
|
423,348 |
|
0.11 |
% | ||
|
West CLO Ltd. 2013-1A A1BR — 2.745% 11/7/2025 |
|
04/28/2017 |
|
418,000 |
|
418,291 |
|
0.11 |
% | ||
|
West CLO Ltd. 2013-1A A2BR — 3.393% 11/7/2025 |
|
04/28/2017 |
|
250,000 |
|
250,403 |
|
0.07 |
% | ||
|
Westlake Automobile Receivables Trust 2016-1A B — 2.68% 9/15/2021 |
|
01/14/2016 |
|
1,299,936 |
|
1,301,850 |
|
0.34 |
% | ||
|
Westlake Automobile Receivables Trust 2016-3A B — 2.07% 12/15/2021 |
|
10/14/2016 |
|
1,348,883 |
|
1,346,903 |
|
0.35 |
% | ||
|
Westlake Automobile Receivables Trust 2017-1A C — 2.70% 10/17/2022 |
|
04/11/2017 |
|
410,984 |
|
412,557 |
|
0.10 |
% | ||
|
XPLORNET COMMUNICATIONS Inc. TL-B 1L — 6.07% 9/9/2021 |
|
10/7/2016, 10/14/2016, 12/19/2016 |
|
1,047,909 |
|
1,058,839 |
|
0.27 |
% | ||
|
Zais CLO 2 Ltd. 2014-2A A1BR — 2.92% 7/25/2026 |
|
04/10/2017 |
|
250,000 |
|
250,968 |
|
0.06 |
% | ||
|
ZW1L — 6.325% 11/16/2022 |
|
11/17/2016 |
|
364,008 |
|
367,684 |
|
0.09 |
% | ||
|
ZW2L — 10.314% 11/16/2023 |
|
11/17/2016, 2/17/2016 |
|
128,226 |
|
129,838 |
|
0.03 |
% | ||
|
TOTAL RESTRICTED SECURITIES |
|
|
|
$ |
75,922,085 |
|
$ |
76,133,924 |
|
20.02 |
% |
NOTE 1 — Disclosure of Fair Value Measurements
The Company 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 Company’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. 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 Company’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 Company 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 Company’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 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 Company’s investments as of September 30, 2017:
|
Investments |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
| ||||
|
Common Stocks |
|
|
|
|
|
|
|
|
| ||||
|
Infrastructure Software |
|
$ |
33,430,981 |
|
$ |
— |
|
$ |
— |
|
$ |
33,430,981 |
|
|
Diversified Banks |
|
27,471,083 |
|
— |
|
— |
|
27,471,083 |
| ||||
|
Aircraft & Parts |
|
24,116,295 |
|
— |
|
— |
|
24,116,295 |
| ||||
|
Internet Media |
|
20,023,238 |
|
— |
|
— |
|
20,023,238 |
| ||||
|
Insurance Brokers |
|
14,728,341 |
|
— |
|
— |
|
14,728,341 |
| ||||
|
Consumer Finance |
|
14,090,235 |
|
— |
|
— |
|
14,090,235 |
| ||||
|
P&C Insurance |
|
13,753,202 |
|
— |
|
— |
|
13,753,202 |
| ||||
|
Semiconductor Devices |
|
11,822,824 |
|
— |
|
— |
|
11,822,824 |
| ||||
|
Communications Equipment |
|
10,904,864 |
|
— |
|
— |
|
10,904,864 |
| ||||
|
Electrical Components |
|
10,660,751 |
|
— |
|
— |
|
10,660,751 |
| ||||
|
Investment Companies |
|
7,647,250 |
|
— |
|
— |
|
7,647,250 |
| ||||
|
Advertising & Marketing |
|
6,978,923 |
|
— |
|
— |
|
6,978,923 |
| ||||
|
Specialty Pharma |
|
6,774,665 |
|
— |
|
— |
|
6,774,665 |
| ||||
|
Life Science Equipment |
|
5,747,896 |
|
— |
|
— |
|
5,747,896 |
| ||||
|
Electrical Power Equipment |
|
5,385,660 |
|
— |
|
— |
|
5,385,660 |
| ||||
|
Base Metals |
|
4,139,424 |
|
— |
|
— |
|
4,139,424 |
| ||||
|
Integrated Oils |
|
4,128,520 |
|
— |
|
— |
|
4,128,520 |
| ||||
|
Household Products |
|
2,858,347 |
|
— |
|
— |
|
2,858,347 |
| ||||
|
Food & Drug Stores |
|
2,638,656 |
|
— |
|
— |
|
2,638,656 |
| ||||
|
Exploration & Production |
|
955,445 |
|
— |
|
— |
|
955,445 |
| ||||
|
Commercial Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
| ||||
|
Agency |
|
— |
|
248,382 |
|
— |
|
248,382 |
| ||||
|
Agency Stripped |
|
— |
|
14,776,138 |
|
— |
|
14,776,138 |
| ||||
|
Non-Agency |
|
— |
|
3,589,984 |
|
917,709 |
|
4,507,693 |
| ||||
|
Residential Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
| ||||
|
Agency Collateralized Mortgage Obligation |
|
— |
|
5,376,108 |
|
— |
|
5,376,108 |
| ||||
|
Agency Pool Fixed Rate |
|
— |
|
3,484,232 |
|
— |
|
3,484,232 |
| ||||
|
Non-Agency Collateralized Mortgage Obligation |
|
— |
|
5,111,096 |
|
641,000 |
|
5,752,096 |
| ||||
|
Asset-Backed Securities |
|
|
|
|
|
|
|
|
| ||||
|
Auto |
|
— |
|
23,415,057 |
|
— |
|
23,415,057 |
| ||||
|
Collateralized Loan Obligation |
|
— |
|
18,459,628 |
|
926,202 |
|
19,385,830 |
| ||||
|
Credit Card |
|
— |
|
5,988,519 |
|
— |
|
5,988,519 |
| ||||
|
Equipment |
|
— |
|
15,999,483 |
|
1,409,295 |
|
17,408,778 |
| ||||
|
Other |
|
— |
|
7,965,328 |
|
4,133,046 |
|
12,098,374 |
| ||||
|
Corporate Bonds & Notes |
|
— |
|
1,535,534 |
|
313,143 |
|
1,848,677 |
| ||||
|
Corporate Bank Debt |
|
— |
|
3,205,223 |
|
2,846,475 |
|
6,051,698 |
| ||||
|
Municipals |
|
— |
|
226,660 |
|
— |
|
226,660 |
| ||||
|
U.S. Treasuries |
|
— |
|
4,856,911 |
|
— |
|
4,856,911 |
| ||||
|
Short-Term Investment |
|
— |
|
27,767,000 |
|
— |
|
27,767,000 |
| ||||
|
|
|
$ |
228,256,600 |
|
$ |
142,005,283 |
|
$ |
11,186,870 |
|
$ |
381,448,753 |
|
See notes to financial statements.
The following table summarizes the Company’s Level 3 investment securities and related transactions during the period ended September 30, 2017:
|
Investment |
|
Beginning Value |
|
Net Realized and |
|
Purchases |
|
(Sales) |
|
Gross Transfers |
|
Gross Transfers |
|
Ending Value at |
|
Net Change in |
| ||||||||
|
Commercial Mortgage-Backed Securities Non-Agency |
|
$ |
818,000 |
|
$ |
3,222 |
|
$ |
596,398 |
|
$ |
(396,183 |
) |
$ |
— |
|
$ |
(103,728 |
) |
$ |
917,709 |
|
3,321 |
| |
|
Residential Mortgage-Backed Securities Agency Collateralized Mortgage Obligation |
|
1,395,483 |
|
(3,649 |
) |
— |
|
(70,054 |
) |
— |
|
(1,321,780 |
) |
— |
|
— |
| ||||||||
|
Residential Mortgage-Backed Securities Non-Agency Collateralized Mortgage Obligation |
|
302,523 |
|
986 |
|
641,000 |
|
(248,840 |
) |
— |
|
(54,669 |
) |
641,000 |
|
— |
| ||||||||
|
Asset-Backed Securities Collateralized Loan Obligations |
|
1,759,634 |
|
24,286 |
|
70,000 |
|
— |
|
— |
|
(927,718 |
) |
926,202 |
|
3,338 |
| ||||||||
|
Asset-Backed Securities Equipment |
|
— |
|
11,675 |
|
1,456,282 |
|
(58,662 |
) |
— |
|
— |
|
1,409,295 |
|
11,627 |
| ||||||||
|
Other Asset-Backed Securities |
|
5,406,566 |
|
36,220 |
|
598,994 |
|
(557,000 |
) |
— |
|
(1,351,734 |
) |
4,133,046 |
|
25,931 |
| ||||||||
|
Corporate Bonds & Notes |
|
451,841 |
|
(60,613 |
) |
— |
|
(78,085 |
) |
— |
|
— |
|
313,143 |
|
(76,779 |
) | ||||||||
|
Corporate Bank Debt |
|
2,429,494 |
|
16,219 |
|
932,216 |
|
(531,454 |
) |
— |
|
— |
|
2,846,475 |
|
17,548 |
| ||||||||
|
|
|
$ |
12,563,541 |
|
$ |
28,346 |
|
$ |
4,294,890 |
|
$ |
(1,940,278 |
) |
$ |
— |
|
$ |
(3,759,629 |
) |
$ |
11,186,870 |
|
$ |
(15,014 |
) |
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 Company’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 $6,088,572 out of Level 3 into Level 2 during the period ended September 30, 2017.
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, 2017:
|
Financial Assets |
|
Fair Value at |
|
Valuation Technique(s) |
|
Unobservable Inputs |
|
Price/Range |
| |
|
|
|
|
|
|
|
|
|
|
| |
|
Commercial Mortgage-Backed Securities - Non-Agency |
|
$ |
917,709 |
|
Third-Party Broker Quote* |
|
Quotes/Prices |
|
$100.06 - $101.00 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Residential Mortgage-Backed Securities - Non-Agency CMO |
|
$ |
641,000 |
|
Third-Party Broker Quote* |
|
Quotes/Prices |
|
$100.00 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset-Backed Securities - Collateralized Loan Obligation |
|
$ |
926,202 |
|
Third-Party Broker Quote* |
|
Quotes/Prices |
|
$100.13 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset-Backed Securities - Equipment |
|
$ |
1,409,295 |
|
Third-Party Broker Quote* |
|
Quotes/Prices |
|
$99.82 - $101.10 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset-Backed Securities - Other |
|
$ |
4,133,046 |
|
Third-Party Broker Quote* |
|
Quotes/Prices |
|
$99.28 - $103.51 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Corporate Bonds and Notes - Consumer, Cyclical |
|
$ |
86,723 |
|
Third-Party Broker Quote* |
|
Quotes/Prices |
|
$37.25 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Corporate Bonds and Notes - Financial |
|
$ |
119,690 |
|
Third-Party Broker Quote* |
|
Quotes/Prices |
|
$100.25 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Corporate Bonds and Notes - Industrial |
|
$ |
106,730 |
|
Third-Party Broker Quote* |
|
Quotes/Prices |
|
$25.00 |
|
|
|
|
|
|
|
|
|
|
|
| |
|
Corporate Bank Debt |
|
$ |
2,845,734 |
|
Pricing Vendor |
|
Prices |
|
$99.88 - $100.75 |
|
|
|
|
$ |
741 |
|
Pricing Model ** |
|
Reference prices |
|
$100.36 - $100.75 |
|
* The Third-Party Broker Quote technique involves obtaining an independent third-party broker quote for the security.
** 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, 2017 (excluding short-term investments), was $307,862,131 for federal income tax purposes. Net unrealized appreciation consists of:
|
Gross unrealized appreciation: |
|
$ |
50,050,308 |
|
|
Gross unrealized depreciation: |
|
(4,230,686 |
) | |
|
Net unrealized appreciation: |
|
$ |
45,819,622 |
|
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, 2017 |
| |
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, 2017 |
| |
|
|
|
|
|
|
|
|
|
By: |
/s/ E. Lake Setzler III |
|
|
|
E. Lake Setzler III, |
|
|
|
Treasurer (Principal Financial Officer) |
|
|
|
|
|
|
Date: November 29, 2017 |
| |