AI assistant
SOURCE CAPITAL /DE/ — Regulatory Filings 2017
May 30, 2017
33116_rns_2017-05-30_cd36ca8b-5f57-4561-88e1-240149d75d48.zip
Regulatory Filings
Open in viewerOpens in your device viewer
N-Q 1 a17-8634_3nq.htm N-Q
*UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549*
*FORM N-Q*
*QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY*
| Investment Company Act file number | |
|---|---|
| Source Capital, Inc. | |
| (Exact name of registrant as specified in charter) | |
| 11601 WILSHIRE BLVD., STE 1200 LOS ANGELES, CALIFORNIA | 90025 |
| (Address of principal executive offices) | (Zip code) |
| Copy to: | |
| J. RICHARD ATWOOD, PRESIDENT Source Capital, Inc. 11601 WILSHIRE BLVD., STE 1200 LOS ANGELES, CALIFORNIA 90025 | MARK D. PERLOW, ESQ. DECHERT LLP ONE BUSH STREET STE. 1600 SAN FRANCISCO, CA 94104 |
| (Name and address of agent for service) | |
| Registrants telephone number, including area code: | (310) 473-0225 |
| Date of fiscal year end: | December 31 |
| Date of reporting period: | March 31, 2017 |
SEQ.=1,FOLIO='',FILE='C:\JMS\107899\17-8634-3\task8441933\8634-3-be.htm',USER='107899',CD='May 20 02:37 2017'
ITEM 1. Schedule of Investments.
SEQ.=1,FOLIO='',FILE='C:\JMS\107541\16-19867-4\task8179047\19867-4-bg.htm',USER='107541',CD='Nov 20 13:21 2016'
*SOURCE CAPITAL, INC.*
*Portfolio of investments*
March 31, 2017
(Unaudited)
| Shares | Fair Value | |
|---|---|---|
| COMMON STOCKS | ||
| INFRASTRUCTURE SOFTWARE 8.3% | ||
| Microsoft Corporation | 169,550 | $ 11,166,563 |
| Oracle Corporation | 434,720 | 19,392,859 |
| $ 30,559,422 | ||
| DIVERSIFIED BANKS 7.6% | ||
| Bank of America Corporation | 567,370 | $ 13,384,258 |
| Citigroup, Inc. | 240,330 | 14,376,541 |
| $ 27,760,799 | ||
| AIRCRAFT & PARTS 7.1% | ||
| Arconic, Inc. | 411,206 | $ 10,831,166 |
| United Technologies Corporation | 135,350 | 15,187,624 |
| $ 26,018,790 | ||
| INTERNET MEDIA 4.3% | ||
| Alphabet, Inc. (Class A)* | 5,617 | $ 4,762,092 |
| Alphabet, Inc. (Class C)* | 5,632 | 4,672,082 |
| Baidu, Inc. (ADR) (China)* | 36,950 | 6,374,614 |
| $ 15,808,788 | ||
| P&C INSURANCE 3.8% | ||
| American International Group, Inc. | 224,030 | $ 13,986,193 |
| INSURANCE BROKERS 3.7% | ||
| Aon plc (Britain) | 114,830 | $ 13,629,173 |
| SEMICONDUCTOR DEVICES 3.0% | ||
| Analog Devices, Inc. | 93,070 | $ 7,627,087 |
| QUALCOMM, Inc. | 60,910 | 3,492,579 |
| $ 11,119,666 | ||
| COMMUNICATIONS EQUIPMENT 2.8% | ||
| Cisco Systems, Inc. | 300,010 | $ 10,140,338 |
| ELECTRICAL COMPONENTS 2.6% | ||
| TE Connectivity, Ltd. (Switzerland) | 128,350 | $ 9,568,492 |
| INVESTMENT COMPANIES 1.8% | ||
| Groupe Bruxelles Lambert SA (Belgium) | 72,700 | $ 6,600,045 |
| ADVERTISING & MARKETING 1.7% | ||
| WPP plc (Britain) | 288,280 | $ 6,327,981 |
| CONSUMER FINANCE 1.7% | ||
| American Express Co. | 78,380 | $ 6,200,642 |
| BASE METALS 1.5% | ||
| Alcoa Corporation | 111,019 | $ 3,819,053 |
| MMC Norilsk Nickel PJSC (ADR) (Russia) | 111,630 | 1,754,824 |
| $ 5,573,877 |
See notes to financial statements.
SEQ.=1,FOLIO='',FILE='C:\JMS\107899\17-8634-3\task8447125\8634-3-bi-01.htm',USER='107899',CD='May 24 18:57 2017'
| Shares or Principal Amount | Fair Value | |
|---|---|---|
| COMMON STOCKS (Continued) | ||
| ELECTRICAL POWER EQUIPMENT 1.5% | ||
| General Electric Co. | 183,450 | $ 5,466,810 |
| LIFE SCIENCE EQUIPMENT 1.4% | ||
| Thermo Fisher Scientific, Inc. | 32,030 | $ 4,919,808 |
| INTEGRATED OILS 1.2% | ||
| Gazprom PJSC (ADR) (Russia) | 323,590 | $ 1,446,447 |
| Lukoil PJSC (ADR) (Russia) | 37,100 | 1,964,816 |
| Rosneft Oil Co. PJSC (GDR) (Russia) | 145,630 | 828,635 |
| $ 4,239,898 | ||
| FOOD & DRUG STORES 0.8% | ||
| Jardine Strategic Holdings, Ltd. (Hong Kong) | 67,680 | $ 2,842,560 |
| HOUSEHOLD PRODUCTS 0.7% | ||
| Unilever NV (CVA) (Britain) | 48,330 | $ 2,401,076 |
| EXPLORATION & PRODUCTION 0.3% | ||
| Occidental Petroleum Corporation | 14,880 | $ 942,797 |
| OTHER COMMON STOCKS 1.3% | $ 4,917,419 | |
| TOTAL COMMON STOCKS 57.1% (Cost $177,164,697) | $ 209,024,574 | |
| BONDS & DEBENTURES | ||
| COMMERCIAL MORTGAGE-BACKED SECURITIES 5.5% | ||
| AGENCY 0.1% | ||
| Government National Mortgage Association 2011-49 A 2.45% 7/16/2038 | $ 344,154 | $ 344,675 |
| AGENCY STRIPPED 4.5% | ||
| Government National Mortgage Association 2013-63 IO 0.769% 9/16/2051@ | $ 19,290,715 | $ 1,023,245 |
| Government National Mortgage Association 2013-74 IO 0.77% 12/16/2053@ | 20,801,435 | 1,021,789 |
| Government National Mortgage Association 2012-58 IO 0.775% 2/16/2053@ | 13,140,346 | 556,231 |
| Government National Mortgage Association 2015-86 IO 0.777% 5/16/2052@ | 3,036,821 | 180,369 |
| Government National Mortgage Association 2014-171 IO 0.79% 11/16/2055@ | 18,326,633 | 923,935 |
| Government National Mortgage Association 2013-13 IO 0.798% 7/16/2047@ | 3,210,955 | 153,732 |
| Government National Mortgage Association 2013-146 IO 0.809% 11/16/2048@ | 18,067,215 | 820,168 |
| Government National Mortgage Association 2012-79 IO 0.813% 3/16/2053@ | 8,210,850 | 375,072 |
| Government National Mortgage Association 2012-85 IO 0.816% 9/16/2052@ | 5,771,607 | 275,431 |
| Government National Mortgage Association 2012-114 IO 0.822% 1/16/2053@ | 17,443,631 | 1,056,644 |
| Government National Mortgage Association 2014-153 IO 0.863% 4/16/2056@ | 12,562,860 | 785,678 |
| Government National Mortgage Association 2015-19 IO 0.887% 1/16/2057@ | 10,083,503 | 694,538 |
| Government National Mortgage Association 2012-109 IO 0.924% 10/16/2053@ | 17,164,665 | 822,186 |
| Government National Mortgage Association 2014-187 IO 0.963% 5/16/2056@ | 8,100,807 | 542,997 |
| Government National Mortgage Association 2016-45 IO 1.004% 2/16/2058@ | 16,115,434 | 1,211,062 |
| Government National Mortgage Association 2016-34 IO 1.007% 1/16/2058@ | 5,751,062 | 442,211 |
| Government National Mortgage Association 2016-65 IO 1.009% 1/16/2058@ | 6,484,581 | 505,448 |
| Government National Mortgage Association 2015-114 IO 1.035% 3/15/2057@ | 2,464,668 | 163,985 |
See notes to financial statements.
SEQ.=1,FOLIO='',FILE='C:\JMS\107899\17-8634-3\task8447125\8634-3-bi-01.htm',USER='107899',CD='May 24 18:57 2017'
| Principal Amount | Fair Value | |
|---|---|---|
| BONDS & DEBENTURES (Continued) | ||
| Government National Mortgage Association 2015-108 IO 1.059% 10/16/2056@ | $ 12,898,847 | $ 941,648 |
| Government National Mortgage Association 2016-106 IO 1.068% 9/16/2058@ | 7,302,610 | 610,864 |
| Government National Mortgage Association 2016-125 IO 1.089% 12/16/2057@ | 3,849,364 | 311,593 |
| Government National Mortgage Association 2016-85 IO 1.121% 3/16/2057@ | 4,277,311 | 350,780 |
| Government National Mortgage Association 2016-119 IO 1.127% 4/16/2058@ | 10,923,543 | 903,264 |
| Government National Mortgage Association 2016-67 IO 1.168% 7/16/2057@ | 15,432,500 | 1,245,829 |
| Government National Mortgage Association 2016-94 IO 1.17% 12/16/2057@ | 5,849,782 | 485,370 |
| $ 16,404,069 | ||
| NON-AGENCY 0.9% | ||
| A10 Term Asset Financing LLC 2016-1 A1 2.42% 3/15/2035** | $ 263,000 | $ 262,047 |
| Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7 B 5.214% 2/11/2041@ | 155,215 | 155,199 |
| Citigroup Commercial Mortgage Trust 2006-C4 B 5.995% 3/15/2049@ | 186,163 | 186,654 |
| COMM Mortgage Trust 2014-FL5 B 3.062% 10/15/2031**,@ | 339,000 | 340,118 |
| COMM Mortgage Trust 2014-FL5 C 3.062% 10/15/2031**,@ | 226,000 | 222,808 |
| Credit Suisse Commercial Mortgage Trust Series 2016-MFF E 6.912% 11/15/2033**,@ | 813,000 | 816,059 |
| Latitude Management Real Estate Capita 2016-CRE2 A 2.477% 11/24/2031**,@, | 318,000 | 318,000 |
| Morgan Stanley Capital I Trust 2006-HQ9 D 5.862% 7/12/2044@ | 260,000 | 260,355 |
| Rialto Capital Management LLC 2014-LT5 B 5.00% 5/15/2024**, | 454,347 | 454,347 |
| SCG Trust 2013-SRP1 AJ 2.862% 11/15/2026**,@ | 380,000 | 378,162 |
| $ 3,393,749 | ||
| TOTAL COMMERICAL MORTGAGE-BACKED SECURITIES (Cost $20,746,336) | $ 20,142,493 | |
| RESIDENTIAL MORTGAGE-BACKED SECURITIES 5.6% | ||
| AGENCY COLLATERALIZED MORTGAGE OBLIGATION 2.2% | ||
| Federal Home Loan Mortgage Corporation 3770 WA 4.00% 11/15/2028 | $ 419,095 | $ 425,679 |
| Federal Home Loan Mortgage Corporation 3957 BV 4.00% 10/15/2029 | 592,402 | 596,165 |
| Federal National Mortgage Association 2012-117 DA 1.50% 12/25/2039 | 310,873 | 306,088 |
| Federal National Mortgage Association 2017-16 WB 2.25% 1/25/2045 | 600,989 | 593,295 |
| Federal National Mortgage Association 2017-25 BE 2.25% 1/25/2046 | 1,331,000 | 1,313,747 |
| Federal National Mortgage Association 2017-16 JA 3.00% 2/25/2043 | 915,946 | 932,824 |
| Federal National Mortgage Association 2016-104 QA 3.00% 11/25/2043 | 1,358,635 | 1,380,702 |
| Federal National Mortgage Association 2014-4 KA 3.00% 1/25/2044 | 111,783 | 112,487 |
| Federal National Mortgage Association 2017-5 JA 3.00% 2/25/2046 | 1,244,921 | 1,266,332 |
| Federal National Mortgage Association 2017-28 A 3.50% 5/25/2045 | 734,000 | 758,795 |
| Federal National Mortgage Association 2003-78 B 5.00% 8/25/2023 | 322,561 | 342,183 |
| $ 8,028,297 | ||
| AGENCY POOL FIXED RATE 1.1% | ||
| Federal Home Loan Mortgage Corporation G13122 5.00% 4/1/2023 | $ 297,237 | $ 315,648 |
| Federal Home Loan Mortgage Corporation G15744 5.00% 6/1/2026 | 513,269 | 536,437 |
| Federal Home Loan Mortgage Corporation G13145 5.50% 4/1/2023 | 624,153 | 667,151 |
| Federal National Mortgage Association AL8274 4.50% 12/1/2018 | 898,237 | 912,882 |
| Federal National Mortgage Association 889109 5.00% 1/1/2023 | 233,946 | 247,065 |
| Federal National Mortgage Association AE0286 5.00% 4/1/2025 | 334,161 | 355,174 |
| Federal National Mortgage Association AL7725 5.00% 9/1/2025 | 798,031 | 838,662 |
| Federal National Mortgage Association 256717 5.50% 5/1/2022 | 240,944 | 256,267 |
| $ 4,129,286 |
See notes to financial statements.
SEQ.=1,FOLIO='',FILE='C:\JMS\107899\17-8634-3\task8447125\8634-3-bi-01.htm',USER='107899',CD='May 24 18:57 2017'
| Principal Amount | Fair Value | |
|---|---|---|
| BONDS & DEBENTURES (Continued) | ||
| NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATION 2.3% | ||
| BCAP LLC Trust 2010-RR8 2A6 2.662% 11/26/2036**,@ | $ 689,212 | $ 685,409 |
| Nationstar HECM Loan Trust 2016-3A A 2.013% 8/25/2026**, | 75,010 | 75,092 |
| Nationstar HECM Loan Trust 2016-1A A 2.981% 2/25/2026**, | 178,698 | 178,698 |
| Nomura Resecuritization Trust 2016-1R 3A1 5.00% 9/28/2036**,@ | 169,748 | 175,667 |
| RiverView HECM Trust 2007-1 A 1.49% 5/25/2047**,@ | 583,042 | 525,082 |
| Towd Point Mortgage Trust 2016-3 A1 2.25% 4/25/2056**,@ | 687,137 | 680,553 |
| Towd Point Mortgage Trust 2015-1 AES 3.00% 10/25/2053** | 615,099 | 619,379 |
| Towd Point Mortgage Trust 2015-4 A1 3.50% 4/25/2055**,@ | 1,008,098 | 1,025,104 |
| Towd Point Mortgage Trust 2015-2 2A1 3.75% 11/25/2057**,@ | 399,859 | 408,294 |
| VOLT XL LLC 2015-NP14 A1 4.375% 11/27/2045**,@@ | 750,428 | 757,926 |
| VOLT XXV LLC 2015-NPL8 A1 3.50% 6/26/2045**,@@ | 484,825 | 485,551 |
| VOLT XXVII LLC 2014-NPL7 A1 3.375% 8/27/2057**,@@ | 876,860 | 877,062 |
| VOLT XXXI LLC 2015-NPL2 A1 3.375% 2/25/2055**,@@ | 594,674 | 594,841 |
| VOLT XXXIII LLC 2015-NPL5 A1 3.50% 3/25/2055**,@@ | 733,182 | 734,122 |
| VOLT XXXV LLC 2015-NPL9 A1 3.50% 6/26/2045**,@@ | 600,710 | 601,432 |
| $ 8,424,212 | ||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost $20,503,109) | $ 20,581,795 | |
| ASSET-BACKED SECURITIES 21.4% | ||
| AUTO 6.4% | ||
| Ally Auto Receivables Trust 2017-1 B 2.35% 3/15/2022 | $ 101,000 | $ 100,701 |
| Ally Auto Receivables Trust 2017-1 C 2.48% 5/16/2022 | 191,000 | 190,559 |
| AmeriCredit Automobile Receivables Trust 2013-1 D 2.09% 2/8/2019 | 1,300,000 | 1,301,786 |
| AmeriCredit Automobile Receivables Trust 2017-1 C 2.71% 8/18/2022 | 203,000 | 204,030 |
| BMW Vehicle Lease Trust 2017-1 A4 2.18% 6/22/2020 | 501,000 | 503,659 |
| Capital Auto Receivables Asset Trust 2016-3 A3 1.54% 8/20/2020 | 252,000 | 251,615 |
| Capital Auto Receivables Asset Trust 2015-2 A3 1.73% 9/20/2019 | 1,185,000 | 1,186,954 |
| Capital Auto Receivables Asset Trust 2016-1 B 2.67% 12/21/2020 | 114,000 | 115,536 |
| Credit Acceptance Auto Loan Trust 2015-1A A 2.00% 7/15/2022** | 1,090,511 | 1,092,013 |
| Credit Acceptance Auto Loan Trust 2014-1A B 2.29% 4/15/2022** | 618,636 | 618,803 |
| Credit Acceptance Auto Loan Trust 2016-2A A 2.42% 11/15/2023** | 250,000 | 250,248 |
| Credit Acceptance Auto Loan Trust 2014-2A B 2.67% 9/15/2022** | 250,000 | 250,986 |
| Credit Acceptance Auto Loan Trust 2016-3A B 2.94% 10/15/2024** | 411,000 | 412,417 |
| Credit Acceptance Auto Loan Trust 2015-2A B 3.04% 8/15/2023** | 566,000 | 570,136 |
| Credit Acceptance Auto Loan Trust 2016-2A B 3.18% 5/15/2024** | 601,000 | 606,583 |
| Credit Acceptance Auto Loan Trust 2016-3A C 3.60% 4/15/2025** | 339,000 | 341,528 |
| Drive Auto Receivables Trust 2015-BA B 2.12% 6/17/2019** | 7,620 | 7,622 |
| DT Auto Owner Trust 2016-4A B 2.02% 8/17/2020** | 366,000 | 364,956 |
| DT Auto Owner Trust 2014-2A C 2.46% 1/15/2020** | 58,977 | 58,991 |
| DT Auto Owner Trust 2017-1A C 2.70% 11/15/2022** | 438,000 | 437,813 |
| Exeter Automobile Receivables Trust 2016-3A A 1.84% 11/16/2020** | 553,829 | 552,160 |
| Exeter Automobile Receivables Trust 2017-1A B 3.00% 12/15/2021** | 237,000 | 238,186 |
| First Investors Auto Owner Trust 2014-1A A3 1.49% 1/15/2020** | 250,224 | 250,176 |
| First Investors Auto Owner Trust 2016-2A A2 1.87% 11/15/2021** | 148,000 | 147,731 |
| First Investors Auto Owner Trust 2016-1A A1 1.92% 5/15/2020** | 536,385 | 536,782 |
| First Investors Auto Owner Trust 2016-1A A2 2.26% 4/15/2021** | 1,096,000 | 1,099,616 |
| First Investors Auto Owner Trust 2017-1A B 2.67% 4/17/2023** | 115,000 | 114,911 |
| First Investors Auto Owner Trust 2017-1A C 2.95% 4/17/2023** | 210,000 | 209,942 |
See notes to financial statements.
SEQ.=1,FOLIO='',FILE='C:\JMS\107899\17-8634-3\task8447125\8634-3-bi-01.htm',USER='107899',CD='May 24 18:57 2017'
| Principal Amount | Fair Value | |
|---|---|---|
| BONDS & DEBENTURES (Continued) | ||
| Ford Credit Auto Owner Trust 2013-C C 1.91% 3/15/2019 | $ 456,000 | $ 456,835 |
| GM Financial Automobile Leasing Trust 2016-3 C 2.38% 5/20/2020 | 208,000 | 207,557 |
| GM Financial Automobile Leasing Trust 2017-1 C 2.74% 8/20/2020 | 597,000 | 597,970 |
| Hyundai Auto Lease Securitization Trust 2016-C B 1.86% 5/17/2021** | 359,000 | 355,791 |
| Prestige Auto Receivables Trust 2016-1A A3 1.99% 6/15/2020** | 1,256,000 | 1,259,579 |
| Prestige Auto Receivables Trust 2016-2A B 2.19% 11/15/2022** | 673,000 | 668,602 |
| Prestige Auto Receivables Trust 2016-2A C 2.88% 11/15/2022** | 242,000 | 242,611 |
| Santander Drive Auto Receivables Trust 2013-1 C 1.76% 1/15/2019 | 109,108 | 109,122 |
| Santander Drive Auto Receivables Trust 2013-3 C 1.81% 4/15/2019 | 418,452 | 418,797 |
| Santander Drive Auto Receivables Trust 2015-2 B 1.83% 1/15/2020 | 1,300,000 | 1,301,779 |
| Santander Drive Auto Receivables Trust 2014-2 C 2.33% 11/15/2019 | 1,192,771 | 1,196,018 |
| Santander Drive Auto Receivables Trust 2017-1 C 2.58% 5/16/2022 | 209,000 | 209,079 |
| Santander Drive Auto Receivables Trust 2013-5 D 2.73% 10/15/2019 | 439,000 | 443,174 |
| Santander Drive Auto Receivables Trust 2013-A C 3.12% 10/15/2019** | 642,563 | 644,418 |
| Westlake Automobile Receivables Trust 2016-3A B 2.07% 12/15/2021** | 1,349,000 | 1,343,371 |
| Westlake Automobile Receivables Trust 2016-1A B 2.68% 9/15/2021** | 1,300,000 | 1,305,929 |
| Westlake Automobile Receivables Trust 2017-1A C 2.70% 10/17/2022** | 311,000 | 311,490 |
| World Omni Automobile Lease Securitization Trust 2017-A A4 2.32% 8/15/2022 | 149,000 | 149,224 |
| World Omni Automobile Lease Securitization Trust 2017-A B 2.48% 8/15/2022 | 276,000 | 276,389 |
| $ 23,514,175 | ||
| COLLATERALIZED LOAN OBLIGATION 4.8% | ||
| Black Diamond CLO, Ltd. 2013-1A A1 2.473% 2/6/2026**,@ | $ 567,000 | $ 567,011 |
| BlueMountain CLO Ltd. 2013-4A 3.36% 4/15/2025**, | 250,000 | 250,000 |
| Cent CLO 19, Ltd. 2013-19A A1A 2.369% 10/29/2025**,@ | 453,000 | 453,796 |
| Cerberus Loan Funding XVIII LP 2017-1A A 2.91% 4/15/2027**, | 1,138,000 | 1,138,000 |
| Cerberus Onshore II CLO-2 LLC 2014-1A A 2.78% 10/15/2023**,@ | 109,929 | 109,899 |
| Cerberus Onshore II CLO-2 LLC 2014-1A B 3.722% 10/15/2023**,@ | 250,000 | 249,962 |
| CIFC Funding 2013-III Ltd. 2013-3A A2BR 3.40% 10/24/2025** | 250,000 | 250,112 |
| CIFC Funding 2013-IV Ltd. 2013-4A A2R 2.72% 11/27/2024**, | 403,000 | 401,500 |
| CVP Cascade CLO-1, Ltd. 2013-CLO1 A1 2.473% 1/16/2026**,@ | 425,000 | 425,002 |
| Elm Trust 2016-1A A2 4.163% 6/20/2025**, | 356,000 | 357,891 |
| Flagship VII Ltd. 2013-7A A2R 2.70% 1/20/2026**, | 475,000 | 475,000 |
| Fortress Credit Opportunities III CLO LP 2014-3A A1TR 2.80% 4/28/2026**,@, | 1,322,000 | 1,322,000 |
| Fortress Credit Opportunities III CLO LP 2014-3A A1T 2.909% 4/28/2026**,@ | 565,000 | 566,312 |
| Fortress Credit Opportunities V CLO Ltd. 2014-5A A1FR 3.40% 10/15/2026**, | 683,000 | 683,000 |
| Fortress Credit Opportunities V CLO Ltd. 2014-5A A2R 3.75% 10/15/2026**, | 178,000 | 178,000 |
| Fortress Credit Opportunities VII CLO, Ltd. 2016-7I E 8.424% 12/15/2028@ | 561,000 | 565,146 |
| Grayson CLO, Ltd. 2006-1A A1B 1.394% 11/1/2021**,@ | 250,000 | 248,659 |
| Longfellow Place CLO Ltd. 2013-1A CR 3.709% 1/15/2024**,@ | 811,000 | 812,257 |
| MidOcean Credit CLO I 2012-1A A2R 3.523% 1/15/2024**,@ | 504,000 | 511,516 |
| Nelder Grove CLO Ltd. 2014-1A AFR 3.00% 8/28/2026** | 250,000 | 249,215 |
| NewMark Capital Funding CLO, Ltd. 2013-1A A2 2.184% 6/2/2025**,@ | 250,000 | 250,198 |
| NewMark Capital Funding CLO, Ltd. 2014-2A AFR 3.077% 6/30/2026**, | 250,000 | 250,000 |
| NewMark Capital Funding CLO, Ltd. 2014-2A BFR 3.669% 6/30/2026**, | 278,000 | 278,000 |
| Nomad CLO, Ltd. 2013-1A A1 2.223% 1/15/2025**,@ | 250,000 | 249,999 |
| Northwoods Capital X Ltd. 2013-10A A2R 2.649% 11/4/2025**, | 797,000 | 796,601 |
| Northwoods Capital X Ltd. 2013-10A B2R 3.442% 11/4/2025**, | 250,000 | 249,875 |
| Oaktree CLO Ltd. 2014-2A A1BR 2.953% 10/20/2026**, | 293,000 | 293,000 |
| Oaktree EIF II Series A1, Ltd. 2014-A1A A 2.509% 8/15/2025**,@ | 317,000 | 317,043 |
| Ocean Trails CLO V 2014-5A C2R 4.70% 10/13/2026** | 186,000 | 186,585 |
| OHA Loan Funding LLC 2014-1A A2R 2.95% 10/20/2026**, | 569,000 | 569,000 |
See notes to financial statements.
SEQ.=1,FOLIO='',FILE='C:\JMS\107899\17-8634-3\task8447125\8634-3-bi-01.htm',USER='107899',CD='May 24 18:57 2017'
| Principal Amount | Fair Value | |
|---|---|---|
| BONDS & DEBENTURES (Continued) | ||
| Peaks CLO 1, Ltd. 2014-1A C 4.523% 6/15/2026**,@ | $ 344,000 | $ 344,238 |
| Saranac CLO I Ltd. 2013-1A B 3.082% 10/26/2024**,@ | 340,000 | 341,337 |
| Senior Credit Fund SPV LLC 2016 1A 3.033% 12/19/2025 | 925,000 | 922,965 |
| Telos CLO, Ltd. 2013-4A A 2.323% 7/17/2024**,@ | 250,000 | 250,449 |
| Telos CLO, Ltd. 2014-5A A 2.573% 4/17/2025**,@ | 828,000 | 830,973 |
| THL Credit Wind River CLO, Ltd. 2013-2A A2A 2.464% 1/18/2026**,@ | 250,000 | 250,020 |
| Washington Mill CLO Ltd. 2014-1A A2R 2.90% 4/20/2026**, | 250,000 | 250,000 |
| Washington Mill CLO Ltd. 2014-1A B2R 3.60% 4/20/2026**, | 317,000 | 317,000 |
| Westwood CDO II, Ltd. 2007-2A A2 1.388% 4/25/2022**,@ | 750,000 | 748,920 |
| $ 17,510,481 | ||
| CREDIT CARD 1.6% | ||
| Cabelas Credit Card Master Note Trust 2016-1 A1 1.78% 6/15/2022 | $ 1,343,000 | $ 1,340,270 |
| Capital One Multi-Asset Execution Trust 2016-A6 A6 1.82% 9/15/2022 | 1,051,000 | 1,050,224 |
| Capital One Multi-Asset Execution Trust 2017-A1 A1 2.00% 1/17/2023 | 1,321,000 | 1,321,631 |
| Discover Card Execution Note Trust 2014-A4 A4 2.12% 12/15/2021 | 1,152,000 | 1,162,169 |
| Synchrony Credit Card Master Note Trust 2015-3 A 1.74% 9/15/2021 | 1,012,000 | 1,012,691 |
| Synchrony Credit Card Master Note Trust 2016-3 B 1.91% 9/15/2022 | 104,000 | 102,960 |
| $ 5,989,945 | ||
| EQUIPMENT 5.0% | ||
| ARI Fleet Lease Trust 2015-A A2 1.11% 11/15/2018** | $ 440,617 | $ 439,807 |
| ARI Fleet Lease Trust 2016-A A2 1.82% 7/15/2024** | 471,733 | 471,616 |
| Ascentium Equipment Receivables LLC 2015-1A A3 1.61% 10/13/2020** | 137,480 | 137,472 |
| Ascentium Equipment Receivables LLC 2015-2A B 2.62% 12/10/2019** | 1,256,000 | 1,259,243 |
| Ascentium Equipment Receivables Trust 2016-1A A2 1.75% 11/13/2018** | 976,268 | 976,515 |
| Avis Budget Rental Car Funding AESOP LLC 2014-2A A 2.50% 2/20/2021** | 172,000 | 172,957 |
| Avis Budget Rental Car Funding AESOP LLC 2015-1A A 2.50% 7/20/2021** | 1,078,000 | 1,077,793 |
| Avis Budget Rental Car Funding AESOP LLC 2015-2A A 2.63% 12/20/2021** | 616,000 | 616,508 |
| CCG Receivables Trust 2015-1 A2 1.46% 11/14/2018** | 352,781 | 352,080 |
| Chesapeake Funding II LLC 2016-2A A1 1.88% 6/15/2028** | 772,000 | 770,121 |
| Chesapeake Funding II LLC 2016-1A A1 2.11% 3/15/2028** | 1,308,388 | 1,309,294 |
| Enterprise Fleet Financing LLC 2014-2 A2 1.05% 3/20/2020** | 361,784 | 361,584 |
| Enterprise Fleet Financing LLC 2015-1 A2 1.30% 9/20/2020** | 532,217 | 531,875 |
| Enterprise Fleet Financing LLC 2016-1 A2 1.83% 9/20/2021** | 1,088,200 | 1,088,474 |
| Enterprise Fleet Financing LLC 2016-2 A2 1.74% 2/22/2022** | 485,000 | 484,049 |
| Enterprise Fleet Financing LLC 2017-1 A3 2.60% 7/20/2022** | 275,000 | 274,505 |
| GreatAmerica Leasing Receivables Funding LLC Series 2016-1 A3 1.73% 6/20/2019** | 1,000,000 | 999,736 |
| GreatAmerica Leasing Receivables Funding LLC Series 2017-1 A4 2.36% 1/20/2023** | 177,000 | 176,424 |
| GreatAmerica Leasing Receivables Funding LLC Series 2017-1 C 2.89% 1/22/2024** | 250,000 | 249,108 |
| Hertz Fleet Lease Funding LP 2016-1 A2 1.96% 4/10/2030** | 1,364,000 | 1,362,999 |
| Leaf Receivables Funding 10 LLC 2015-1 B 2.42% 1/15/2021** | 834,000 | 830,964 |
| Leaf Receivables Funding 11 LLC 2016-1 A2 1.72% 7/15/2018**, | 433,974 | 433,699 |
| NextGear Floorplan Master Owner Trust 2015-2A A 2.38% 10/15/2020** | 517,000 | 519,185 |
| Prop Series 2017 1A 5.30% 3/15/2042 | 1,096,560 | 1,096,043 |
| Verizon Owner Trust 2016-2A A 1.68% 5/20/2021** | 240,000 | 239,152 |
| Verizon Owner Trust 2017-1A A 2.06% 9/20/2021** | 269,000 | 269,974 |
| Verizon Owner Trust 2016-2A B 2.15% 5/20/2021** | 269,000 | 268,394 |
| Verizon Owner Trust 2017-1A B 2.45% 9/20/2021** | 918,000 | 919,764 |
| Volvo Financial Equipment LLC Series 2016-1A A2 1.44% 10/15/2018** | 829,484 | 829,270 |
See notes to financial statements.
SEQ.=1,FOLIO='',FILE='C:\JMS\C902421\17-8634-3\task8447859\8634-3-bi-03.htm',USER='C902421',CD='May 25 02:59 2017'
| Principal Amount | Fair Value | |
|---|---|---|
| BONDS & DEBENTURES (Continued) | ||
| Volvo Financial Equipment LLC Series 2017-1A A4 2.21% 11/15/2021** | 159,000 | 158,642 |
| $ 18,677,247 | ||
| OTHER 3.6% | ||
| Conns Receivables Funding LLC 2016-A A 4.68% 4/16/2018** | $ 34,076 | $ 34,112 |
| Conns Receivables Funding LLC 2016-A B 8.96% 8/15/2018** | 665,000 | 673,389 |
| New Residential Advance Receivables Trust 2015-ON1 2016-T4 AT4 3.107% 12/15/2050**, | 1,345,000 | 1,343,655 |
| New Residential Advance Receivables Trust Advance Receivables Backed 2016-T1 AT1 2.751% 6/15/2049** | 1,359,000 | 1,356,663 |
| New Residential Advance Receivables Trust Advance Receivables Backed Notes 2016-T2 AT2 2.575% 10/15/2049**, | 1,362,000 | 1,346,356 |
| New Residential Advance Receivables Trust Advance Receivables Backed Notes 2017-T1 AT1 3.214% 2/15/2051**, | 1,262,000 | 1,262,278 |
| 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 | 264,524 |
| Oportun Funding IV LLC 2016-C A 3.28% 11/8/2021** | 261,000 | 258,721 |
| Panhandle-Plains Student Finance Corporation 2001-1 A2 2.478% 12/1/2031 | 700,000 | 695,625 |
| PFS Financing Corporation 2014-BA A 1.512% 10/15/2019**,@ | 1,450,000 | 1,447,696 |
| PFS Financing Corporation 2016-A A 2.112% 2/18/2020**,@ | 1,516,000 | 1,522,243 |
| Progreso Receivables Funding IV LLC 2015-B A 3.00% 7/28/2020** | 500,000 | 499,990 |
| Unison Ground Lease Funding LLC 2013-1 B 5.78% 3/15/2020**, | 349,000 | 344,914 |
| WCP ISSUER LLC 2013-1 B 6.657% 8/15/2020**, | 409,000 | 421,826 |
| $ 12,812,894 | ||
| TOTAL ASSET-BACKED SECURITIES (Cost $78,338,483) | $ 78,504,742 | |
| CORPORATE BONDS & NOTES 0.7% | ||
| CONSUMER, CYCLICAL 0.1% | ||
| Northwest Airlines 1999-2 Class C Pass Through Trust 8.304% 9/1/2010 | $ 232,812 | $ 81,484 |
| US Airways 1998-1B Pass Through Trust 7.35% 1/30/2018 | 53,755 | 53,960 |
| Continental Airlines 2000-1 Class B Pass Through Trust 8.388% 11/1/2020 | 57,793 | 57,723 |
| $ 193,167 | ||
| ENERGY 0.3% | ||
| Atwood Oceanics, Inc. 6.50% 2/1/2020 | $ 1,342,000 | $ 1,197,735 |
| FINANCIAL 0.1% | ||
| N671US Trust 7.50% 9/15/2020**, | $ 142,311 | $ 143,378 |
| Berkshire Hathaway Finance Corporation 1.299% 8/15/2019@ | 336,000 | 336,880 |
| $ 480,258 | ||
| INDUSTRIAL 0.0% | ||
| Air 2 US 10.127% 10/1/2020**, | $ 426,921 | $ 132,345 |
| TECHNOLOGY 0.2% | ||
| Apple, Inc. 1.90% 2/7/2020 | $ 688,000 | $ 690,013 |
| TOTAL CORPORATE BONDS & NOTES (Cost $2,633,895) | $ 2,693,518 | |
| CORPORATE BANK DEBT 1.0% | ||
| ACCTL 6.387% 5/16/2022,** | $ 519,390 | $ 517,100 |
| Intelsat Jackson Holding SA 0.00% 6/30/2019** | 365,000 | 355,908 |
| MB1LTL 6.00% 11/30/2022,** | 458,100 | 454,806 |
| MB2LTL 10.25% 11/30/2023,** | 184,000 | 182,210 |
| OTGDDTL 1.00% 8/23/2021,** | 40,000 | 372 |
See notes to financial statements.
SEQ.=1,FOLIO='',FILE='C:\JMS\C902421\17-8634-3\task8447859\8634-3-bi-03.htm',USER='C902421',CD='May 25 02:59 2017'
| Principal Amount | Fair Value | ||
|---|---|---|---|
| BONDS & DEBENTURES (Continued) | |||
| OTGTL 9.50% 8/23/2021,** | $ 540,000 | $ 534,222 | |
| SDTL 7.00% 11/22/2021,** | 377,625 | 373,845 | |
| Xplornet Communications, Inc. Term Loan B 7.00% 9/6/2021** | 849,895 | 858,504 | |
| ZW1L 6.00% 11/16/2022,** | 369,075 | 366,790 | |
| ZW2L 10.00% 11/16/2023,** | 130,000 | 128,434 | |
| TOTAL CORPORATE BANK DEBT (Cost $3,750,081) | $ 3,772,191 | ||
| MUNICIPALS 0.1% | |||
| Wayne County GO, (TXBL-NTS), 4.25% 12/1/2018 | $ 322,000 | $ 326,421 | |
| TOTAL MUNICIPALS (Cost $322,000) | $ 326,421 | ||
| U.S. TREASURIES 1.3% | |||
| U.S. Treasury Notes 1.00% 12/15/2017 | $ 1,300,000 | $ 1,299,897 | |
| U.S. Treasury Notes 1.375% 8/31/2020 | 2,693,000 | 2,668,575 | |
| U.S. Treasury Notes 1.375% 10/31/2020 | 891,000 | 881,225 | |
| TOTAL U.S. TREASURIES (Cost $4,904,417) | $ 4,849,697 | ||
| TOTAL BONDS & DEBENTURES 35.6% (Cost $131,198,321) | $ 130,870,857 | ||
| TOTAL INVESTMENT SECURITIES 92.7% (Cost $308,363,018) | $ 339,895,431 | ||
| SHORT-TERM INVESTMENTS 8.7% | |||
| State Street Bank Repurchase Agreement 0.09% 4/3/2017 | |||
| (Dated 03/31/2017, repurchase price of $31,765,238, collateralized by: $33,825,000 principal amount U.S. Treasury Bond - 2.75% 2042, fair value $ 32,403,415) | $ 31,765,000 | $ 31,765,000 | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $31,765,000) | $ 31,765,000 | ||
| TOTAL INVESTMENTS 101.4% (Cost $340,128,018) | $ 371,660,431 | ||
| Other Assets and Liabilities, net (1.4)% | (5,259,360 | ) | |
| NET ASSETS 100.0% | $ 366,401,071 |
*Non-income producing security.
@Variable/Floating Rate Security Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on March 31, 2017.
See notes to financial statements.
SEQ.=1,FOLIO='',FILE='C:\JMS\C902421\17-8634-3\task8447859\8634-3-bi-03.htm',USER='C902421',CD='May 25 02:59 2017'
**Restricted securities. These restricted securities constituted 20.55% of total net assets at March 31, 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 Companys 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 Companys fair value procedures. These securities constituted 5.35% of total net assets at March 31, 2017.
@@Step Coupon - Coupon rate increases in increments to maturity. Rate disclosed is as of March 31, 2017.
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.
See notes to financial statements.
SEQ.=1,FOLIO='',FILE='C:\JMS\C902421\17-8634-3\task8447859\8634-3-bi-03.htm',USER='C902421',CD='May 25 02:59 2017'
*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 Companys 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 Companys Board of Directors. Various inputs may be reviewed in order to make a good faith determination of a securitys 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 Companys 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 Companys investments as of March 31, 2017:
SEQ.=1,FOLIO='',FILE='C:\JMS\C902421\17-8634-3\task8447859\8634-3-bk.htm',USER='C902421',CD='May 25 03:01 2017'
*SOURCE CAPITAL, INC.*
*PORTFOLIO OF INVESTMENTS*
March 31, 2017
(Unaudited)
| Investments | Level 1 | Level 2 | Level 3 | Total |
|---|---|---|---|---|
| Common Stocks | ||||
| Infrastructure Software | $ 30,559,422 | $ | $ | $ 30,559,422 |
| Diversified Banks | 27,760,799 | | | 27,760,799 |
| Aircraft & Parts | 26,018,790 | | | 26,018,790 |
| Internet Media | 15,808,788 | | | 15,808,788 |
| P&C Insurance | 13,986,193 | | | 13,986,193 |
| Insurance Brokers | 13,629,173 | | | 13,629,173 |
| Semiconductor Devices | 11,119,666 | | | 11,119,666 |
| Communications Equipment | 10,140,338 | | | 10,140,338 |
| Electrical Components | 9,568,492 | | | 9,568,492 |
| Investment Companies | 6,600,045 | | | 6,600,045 |
| Advertising & Marketing | 6,327,981 | | | 6,327,981 |
| Consumer Finance | 6,200,642 | | | 6,200,642 |
| Base Metals | 5,573,877 | | | 5,573,877 |
| Electrical Power Equipment | 5,466,810 | | | 5,466,810 |
| Life Science Equipment | 4,919,808 | | | 4,919,808 |
| Integrated Oils | 4,239,898 | | | 4,239,898 |
| Food & Drug Stores | 2,842,560 | | | 2,842,560 |
| Household Products | 2,401,076 | | | 2,401,076 |
| Exploration & Production | 942,797 | | | 942,797 |
| Other Common Stocks | 4,917,419 | | | 4,917,419 |
| Commercial Mortgage-Backed Securities | ||||
| Agency | | 344,675 | | 344,675 |
| Agency Stripped | | 16,404,069 | | 16,404,069 |
| Non-Agency | | 2,621,402 | 772,347 | 3,393,749 |
| Residential Mortgage-Backed Securities | ||||
| Agency Collateralized Mortgage Obligation | | 8,028,297 | | 8,028,297 |
| Agency Pool Fixed Rate | | 4,129,286 | | 4,129,286 |
| Non-Agency Collateralized Mortgage Obligation | | 8,170,422 | 253,790 | 8,424,212 |
| Asset-Backed Securities | ||||
| Auto | | 23,514,175 | | 23,514,175 |
| Collateralized Loan Obligation | | 8,778,649 | 8,731,832 | 17,510,481 |
| Credit Card | | 5,989,945 | | 5,989,945 |
| Equipment | | 17,147,505 | 1,529,742 | 18,677,247 |
| Other | | 7,398,240 | 5,414,654 | 12,812,894 |
| Corporate Bonds & Notes | | 2,336,311 | 357,207 | 2,693,518 |
| Corporate Bank Debt | | 1,214,412 | 2,557,779 | 3,772,191 |
| Municipals | | 326,421 | | 326,421 |
| U.S. Treasuries | | 4,849,697 | | 4,849,697 |
| Short-Term Investment | | 31,765,000 | | 31,765,000 |
| $ 209,024,574 | $ 143,018,506 | $ 19,617,351 | $ 371,660,431 |
See notes to financial statements.
SEQ.=1,FOLIO='',FILE='C:\JMS\C902421\17-8634-3\task8447859\8634-3-bk.htm',USER='C902421',CD='May 25 03:01 2017'
The following table summarizes the Companys Level 3 investment securities and related transactions during the period ended March 31, 2017:
| Investments | Beginning Value at December 31, 2016 | Net Realized and Unrealized Gains (Losses)* | Purchases | (Sales) | Gross Transfers In(Out) | Ending Value at March 31, 2017 | Net Change in Unrealized Appreciation (Depreciation) related to Investments held at March 31, 2017 | ||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Commercial Mortgage-Backed Securities Non-Agency | $ 818,000 | | | $ (45,653 | ) | | $ 772,347 | $ (512 | ) | ||
| Residential Mortgage-Backed Securities Agency Collateralized Mortgage Obligation | 1,395,483 | $ (1,417 | ) | | (13,365 | ) | $ (1,380,701 | ) | | | |
| Residential Mortgage-Backed Securities Non-Agency Collateralized Mortgage Obligation | 302,523 | (374 | ) | | (49,107 | ) | | 253,790 | 374 | ||
| Asset-Backed Securities Collateralized Loan Obligations | | 145 | $ 6,392,000 | | (565,146 | ) | 8,731,832 | 81 | |||
| Asset-Backed Securities Equipment | | 35 | 1,104,351 | (31,466 | ) | | 1,529,742 | 29 | |||
| Other Asset-Backed Securities | 7,166,200 | 28,115 | 1,331,994 | | | 5,414,654 | 13,313 | ||||
| Corporate Bonds & Notes | 451,841 | (39,467 | ) | | (55,167 | ) | | 357,207 | (55,634 | ) | |
| Corporate Bank Debt | 2,429,494 | (15,210 | ) | 149,000 | (5,505 | ) | | 2,557,779 | (15,022 | ) | |
| $ 12,563,541 | $ 16,331 | $ 8,977,345 | $ (200,263 | ) | $ (1,945,847 | ) | $ 19,617,351 | $ 57,371 |
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 Companys 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 $1,945,847 out of Level 3 into Level 2 during the period ended March 31, 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 March 31, 2017:
SEQ.=1,FOLIO='',FILE='C:\JMS\C902421\17-8634-3\task8447859\8634-3-bk.htm',USER='C902421',CD='May 25 03:01 2017'
| Financial Assets | Fair Value at March 31, 2017 | Valuation Technique(s) | Unobservable Inputs | Price/Range |
|---|---|---|---|---|
| Commercial Mortgage-Backed Securities - Non-Agency | $ 772,347 | Third-Party Broker Quote* | Quotes/Prices | $100.00 |
| Corporate Bank Debt | $ 372 | Pricing Model ** | Reference prices | $98.93 |
| $ 2,557,407 | Pricing Vendor | Prices | $97.51 - $99.56 | |
| Corporate Bonds and Notes | $ 357,207 | Third-Party Broker Quote* | Quotes/Prices | $31.00 - $100.75 |
| Asset-Backed Securities | ||||
| Collateralized Mortgage Oblication | $ 8,731,832 | Third-Party Broker Quote* | Quotes/Prices | $99.63 - $100.00 |
| Equipment | $ 1,529,742 | Third-Party Broker Quote* | Quotes/Prices | $99.94 - $99.95 |
| Other | $ 5,414,654 | Third-Party Broker Quote* | Quotes/Prices | $98.83 - $103.14 |
| Residential Mortgage-Backed Securities | ||||
| Non-Agency Collateralized Mortgage Obligation | $ 253,790 | Third-Party Broker Quote* | Quotes/Prices | $100.00 - $100.11 |
- 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 March 31, 2017 (excluding short-term investments), was $308,363,018 for federal income tax purposes. Net unrealized appreciation consists of:
| Gross unrealized appreciation: | $ | |
|---|---|---|
| Gross unrealized depreciation: | (1,365,874 | ) |
| Net unrealized appreciation: | $ 31,420,994 |
SEQ.=1,FOLIO='',FILE='C:\JMS\C902421\17-8634-3\task8447859\8634-3-bk.htm',USER='C902421',CD='May 25 03:01 2017'
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrants principal executive and principal financial officers have concluded that the registrants 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 registrants internal control over financial reporting (as defined in Rule 30a-3(d))under the 1940 Act that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting.
ITEM 3. EXHIBITS.
(a) The certifications required by Rule 30a-2(a) under the 1940 Act are attached hereto.
SEQ.=1,FOLIO='',FILE='C:\JMS\109431\17-8634-3\task8441930\8634-3-ga.htm',USER='109431',CD='May 20 02:49 2017'
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: May 30, 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: May 30, 2017 | |
| By: | /s/ E. Lake Setzler III |
| E. Lake Setzler III, | |
| Treasurer (Principal Financial Officer) | |
| Date: May 30, 2017 |
SEQ.=1,FOLIO='',FILE='C:\JMS\109771\17-8634-3\task8452295\8634-3-jc.htm',USER='109771',CD='May 27 16:31 2017'