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SOURCE CAPITAL /DE/ — Regulatory Filings 2018
May 30, 2018
33116_rns_2018-05-30_96c06c9e-7d18-4a8f-b468-7d6b9b8074e6.zip
Regulatory Filings
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N-Q 1 a18-9104_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 | MARK D. PERLOW, ESQ. |
| Source Capital, Inc. | DECHERT LLP |
| 11601 WILSHIRE BLVD., STE 1200 | ONE BUSH STREET STE. 1600 |
| LOS ANGELES, CALIFORNIA 90025 | 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, 2018 |
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ITEM 1. Schedule of Investments.
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*SOURCE CAPITAL, INC.*
*PORTFOLIO OF INVESTMENTS*
March 31, 2018
(Unaudited)
| Shares | Fair Value | |
|---|---|---|
| COMMON STOCKS | ||
| INTERNET MEDIA 8.8% | ||
| Alphabet, Inc. (Class A)(a) | 8,490 | $ 8,805,318 |
| Alphabet, Inc. (Class C)(a) | 7,296 | 7,527,940 |
| Baidu, Inc. (ADR) (China)(a) | 48,425 | 10,807,976 |
| Facebook, Inc. (Class A)(a) | 42,034 | 6,716,613 |
| $ 33,857,847 | ||
| INFRASTRUCTURE SOFTWARE 8.7% | ||
| Microsoft Corporation | 162,430 | $ 14,824,986 |
| Oracle Corporation | 399,580 | 18,280,785 |
| $ 33,105,771 | ||
| AIRCRAFT & PARTS 6.5% | ||
| Arconic, Inc. | 448,110 | $ 10,324,454 |
| United Technologies Corporation | 116,770 | 14,692,002 |
| $ 25,016,456 | ||
| DIVERSIFIED BANKS 6.4% | ||
| Bank of America Corporation | 469,720 | $ 14,086,903 |
| Citigroup, Inc. | 154,620 | 10,436,850 |
| $ 24,523,753 | ||
| P&C INSURANCE 3.9% | ||
| American International Group, Inc. | 276,808 | $ 15,063,891 |
| INSURANCE BROKERS 3.6% | ||
| Aon plc (Britain) | 97,080 | $ 13,623,236 |
| SEMICONDUCTOR DEVICES 3.1% | ||
| Analog Devices, Inc. | 104,289 | $ 9,503,856 |
| QUALCOMM, Inc. | 39,941 | 2,213,131 |
| $ 11,716,987 | ||
| ELECTRICAL COMPONENTS 3.0% | ||
| TE Connectivity, Ltd. (Switzerland) | 115,260 | $ 11,514,474 |
| CONSUMER FINANCE 3.0% | ||
| Ally Financial, Inc. | 243,340 | $ 6,606,681 |
| American Express Co. | 50,260 | 4,688,253 |
| $ 11,294,934 | ||
| INVESTMENT COMPANIES 2.5% | ||
| Groupe Bruxelles Lambert SA (Belgium) | 83,890 | $ 9,579,041 |
| GENERIC PHARMA 2.3% | ||
| Mylan NV(a) | 218,500 | $ 8,995,645 |
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| Shares or Principal Amount | Fair Value | |
|---|---|---|
| COMMUNICATIONS EQUIPMENT 1.9% | ||
| Cisco Systems, Inc. | 170,477 | $ 7,311,759 |
| ADVERTISING & MARKETING 1.8% | ||
| WPP plc (Britain) | 440,640 | $ 7,001,322 |
| INTERNET BASED SERVICES 1.8% | ||
| Expedia, Inc. | 60,743 | $ 6,706,635 |
| LIFE SCIENCE EQUIPMENT 1.7% | ||
| Thermo Fisher Scientific, Inc. | 30,690 | $ 6,336,257 |
| INTEGRATED OILS 1.5% | ||
| Gazprom PJSC (ADR) (Russia) | 373,420 | $ 1,817,062 |
| Lukoil PJSC (ADR) (Russia) | 42,820 | 2,950,298 |
| Rosneft Oil Co. PJSC (GDR) (Russia) | 168,060 | 921,305 |
| $ 5,688,665 | ||
| MIDSTREAM - OIL & GAS 1.3% | ||
| Kinder Morgan, Inc. | 341,600 | $ 5,144,496 |
| BASE METALS 0.9% | ||
| Alcoa Corporation(a) | 26,920 | $ 1,210,323 |
| MMC Norilsk Nickel PJSC (ADR) (Russia) | 128,820 | 2,387,679 |
| $ 3,598,002 | ||
| HOUSEHOLD PRODUCTS 0.8% | ||
| Unilever NV (CVA) (Britain) | 51,690 | $ 2,917,421 |
| FOOD & DRUG STORES 0.6% | ||
| Jardine Strategic Holdings, Ltd. (Hong Kong) | 60,830 | $ 2,332,222 |
| EXPLORATION & PRODUCTION 0.1% | ||
| Occidental Petroleum Corporation | 3,238 | $ 210,340 |
| TOTAL COMMON STOCKS 64.2% (Cost $197,394,115) | $ 245,539,154 | |
| BONDS & DEBENTURES | ||
| COMMERCIAL MORTGAGE-BACKED SECURITIES 4.5% | ||
| AGENCY 0.0% | ||
| Government National Mortgage Association 2011-49 A 2.45% 7/16/2038 | $ 51,541 | $ 51,436 |
| AGENCY STRIPPED 3.0% | ||
| Government National Mortgage Association 2014-171 IO 0.677% 11/16/2055(b) | $ 15,721,623 | $ 695,877 |
| Government National Mortgage Association 2012-58 IO 0.717% 2/16/2053(b) | 12,231,993 | 426,475 |
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| Principal Amount | Fair Value | |
|---|---|---|
| Government National Mortgage Association 2015-86 IO 0.772% 5/16/2052(b) | $ 2,971,223 | $ 162,585 |
| Government National Mortgage Association 2012-79 IO 0.775% 3/16/2053(b) | 7,652,570 | 301,869 |
| Government National Mortgage Association 2013-63 IO 0.79% 9/16/2051(b) | 17,634,276 | 915,004 |
| Government National Mortgage Association 2013-74 IO 0.795% 12/16/2053(b) | 19,005,967 | 922,008 |
| Government National Mortgage Association 2012-114 IO 0.802% 1/16/2053(b) | 16,637,026 | 876,043 |
| Government National Mortgage Association 2013-13 IO 0.803% 7/16/2047(b) | 2,864,027 | 128,053 |
| Government National Mortgage Association 2014-153 IO 0.806% 4/16/2056(b) | 11,940,077 | 641,555 |
| Government National Mortgage Association 2012-109 IO 0.815% 10/16/2053(b) | 13,071,979 | 463,406 |
| Government National Mortgage Association 2013-146 IO 0.817% 11/16/2048(b) | 16,650,781 | 659,760 |
| Government National Mortgage Association 2015-19 IO 0.847% 1/16/2057(b) | 8,635,472 | 534,643 |
| Government National Mortgage Association 2014-187 IO 0.904% 5/16/2056(b) | 7,559,812 | 455,123 |
| Government National Mortgage Association 2015-114 IO 0.941% 3/15/2057(b) | 2,123,445 | 129,405 |
| Government National Mortgage Association 2015-108 IO 0.969% 10/16/2056(b) | 8,940,928 | 567,989 |
| Government National Mortgage Association 2016-34 IO 1.003% 1/16/2058(b) | 5,642,944 | 430,041 |
| Government National Mortgage Association 2016-45 IO 1.003% 2/16/2058(b) | 14,536,949 | 1,097,794 |
| Government National Mortgage Association 2016-65 IO 1.009% 1/16/2058(b) | 6,391,825 | 496,128 |
| Government National Mortgage Association 2016-106 IO 1.034% 9/16/2058(b) | 6,454,698 | 523,261 |
| Government National Mortgage Association 2016-125 IO 1.062% 12/16/2057(b) | 3,735,946 | 302,010 |
| Government National Mortgage Association 2016-119 IO 1.126% 4/16/2058(b) | 10,766,237 | 883,804 |
| $ 11,612,833 | ||
| NON-AGENCY 1.5% | ||
| A10 Term Asset Financing LLC 2017-1A A1FX 2.34% 3/15/2036(c) | $ 378,953 | $ 377,909 |
| A10 Term Asset Financing LLC 2016-1 A1 2.42% 3/15/2035(c) | 41,307 | 41,129 |
| Aventura Mall Trust M 2013-AVM A 3.743% 12/5/2032(b)(c) | 970,000 | 991,647 |
| Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7 B 5.214% 2/11/2041(b) | 131,118 | 131,924 |
| Citigroup Commercial Mortgage Trust 2006-C4 B 6.19% 3/15/2049(b) | 5,684 | 5,719 |
| COMM Mortgage Trust 2014-FL5 B, 1M USD LIBOR + 2.150% 3.89% 10/15/2031(b)(c) | 339,000 | 339,581 |
| COMM Mortgage Trust 2014-FL5 C, 1M USD LIBOR + 2.150% 3.89% 10/15/2031(b)(c) | 226,000 | 223,162 |
| Credit Suisse Commercial Mortgage Trust Series 2016-MFF E, 1M USD LIBOR + 6.000% 7.777% 11/15/2033(b)(c) | 878,000 | 883,732 |
| DBUBS Mortgage Trust 2011-LC2A A4 4.537% 7/10/2044(c) | 671,949 | 696,287 |
| JP Morgan Chase Commercial Mortgage Securities Trust 2010-C1 A3 5.058% 6/15/2043(c) | 191,000 | 198,233 |
| Latitude Management Real Estate Capita 2016-CRE2 A, 1M USD LIBOR + 1.700% 3.554% 11/24/2031(b)(c) | 444,000 | 447,800 |
| Madison Avenue Trust M 2013-650M A 3.843% 10/12/2032(c) | 277,000 | 282,309 |
| Morgan Stanley Capital I Trust 2006-HQ9 D 5.862% 7/12/2044(b) | 85,364 | 85,222 |
| Rialto Real Estate Fund LP 2015-LT7 B 5.071% 12/25/2032(c) | 278,677 | 278,677 |
| SCG Trust 2013-SRP1 AJ, 1M USD LIBOR + 1.950% 3.977% 11/15/2026(b)(c) | 380,000 | 379,122 |
| Wells Fargo Commercial Mortgage Trust 2015-C26 A2 2.663% 2/15/2048 | 198,000 | 196,803 |
| $ 5,559,256 | ||
| TOTAL COMMERICAL MORTGAGE-BACKED SECURITIES (Cost $17,297,162) | $ 17,223,525 | |
| RESIDENTIAL MORTGAGE-BACKED SECURITIES 4.6% | ||
| AGENCY COLLATERALIZED MORTGAGE OBLIGATION 1.7% | ||
| Federal Home Loan Mortgage Corporation 4302 AE 2.00% 11/15/2029 | $ 477,817 | $ 471,307 |
| Federal Home Loan Mortgage Corporation 4664 TA 3.00% 9/15/2037 | 181,146 | 181,924 |
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| Principal Amount | Fair Value | |
|---|---|---|
| Federal Home Loan Mortgage Corporation 4504 DN 3.00% 10/15/2040 | $ 380,820 | $ 381,975 |
| Federal Home Loan Mortgage Corporation 3957 BV 4.00% 10/15/2029 | 3,816 | 3,813 |
| Federal National Mortgage Association 2012-117 DA 1.50% 12/25/2039 | 197,770 | 189,799 |
| Federal National Mortgage Association 2014-89 LB 2.00% 6/25/2042 | 135,539 | 132,864 |
| Federal National Mortgage Association 2017-16 JA 3.00% 2/25/2043 | 813,713 | 812,453 |
| Federal National Mortgage Association 2018-16 HA 3.00% 7/25/2043 | 641,508 | 642,130 |
| Federal National Mortgage Association 2016-104 QA 3.00% 11/25/2043 | 1,234,440 | 1,231,090 |
| Federal National Mortgage Association 2014-4 KA 3.00% 1/25/2044 | 91,433 | 90,427 |
| Federal National Mortgage Association 2017-45 KD 3.50% 2/25/2044 | 571,080 | 577,311 |
| Federal National Mortgage Association 2017-52 KC 3.50% 4/25/2044 | 560,793 | 567,070 |
| Federal National Mortgage Association 2017-59 DC 3.50% 5/25/2044 | 794,853 | 803,726 |
| Federal National Mortgage Association 2003-78 B 5.00% 8/25/2023 | 237,606 | 247,395 |
| $ 6,333,284 | ||
| AGENCY POOL FIXED RATE 0.8% | ||
| Federal Home Loan Mortgage Corporation G13122 5.00% 4/1/2023 | $ 210,904 | $ 220,031 |
| Federal Home Loan Mortgage Corporation G15744 5.00% 6/1/2026 | 242,438 | 250,668 |
| Federal Home Loan Mortgage Corporation G13145 5.50% 4/1/2023 | 443,277 | 464,074 |
| Federal National Mortgage Association MA1212 2.50% 10/1/2022 | 365,905 | 365,167 |
| Federal National Mortgage Association MA3075 3.50% 7/1/2027 | 922,378 | 942,753 |
| Federal National Mortgage Association 889109 5.00% 1/1/2023 | 158,528 | 164,371 |
| Federal National Mortgage Association AE0286 5.00% 4/1/2025 | 239,003 | 249,581 |
| Federal National Mortgage Association AL7725 5.00% 9/1/2025 | 445,495 | 461,606 |
| Federal National Mortgage Association 256717 5.50% 5/1/2022 | 133,252 | 138,578 |
| $ 3,256,829 | ||
| NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATION 2.1% | ||
| CIM Trust 2017-7 A, VRN 3.00% 4/25/2057(b)(c) | $ 871,674 | $ 864,063 |
| Citigroup Mortgage Loan Trust, Inc. 2014-A A 4.00% 1/25/2035(b)(c) | 248,180 | 253,394 |
| Finance of America Structured Securities Trust 2017-HB1 A 2.321% 11/25/2027(b)(c) | 362,063 | 361,238 |
| Finance of America Structured Securities Trust 2017-HB1 M1 2.84% 11/25/2027(b)(c)(d) | 379,000 | 375,218 |
| Nationstar HECM Loan Trust 2017-2A A1 2.038% 9/25/2027(b)(c) | 236,025 | 234,550 |
| Nationstar HECM Loan Trust 2017-2A M1 2.815% 9/25/2027(b)(c) | 316,000 | 316,000 |
| Nomura Resecuritization Trust 2016-1R 3A1 5.00% 9/28/2036(b)(c) | 138,299 | 141,049 |
| RiverView HECM Trust 2007-1 A, 1 year Treasury + 0.500% 2.55% 5/25/2047(b)(c) | 553,830 | 469,371 |
| Towd Point Mortgage Trust 2016-3 A1 2.25% 4/25/2056(b)(c) | 527,895 | 518,624 |
| Towd Point Mortgage Trust 2015-5 A1B, VRN 2.75% 5/25/2055(b)(c) | 224,990 | 223,086 |
| Towd Point Mortgage Trust 2015-1 AES 3.00% 10/25/2053(b)(c) | 419,633 | 418,236 |
| Towd Point Mortgage Trust 2015-3 A1B, VRN 3.00% 3/25/2054(b)(c) | 384,933 | 383,642 |
| Towd Point Mortgage Trust 2018-1 A1, VRN 3.00% 1/25/2058(b)(c) | 850,839 | 846,301 |
| Towd Point Mortgage Trust 2015-4 A1 3.50% 4/25/2055(b)(c) | 817,981 | 822,719 |
| Towd Point Mortgage Trust 2015-2 2A1 3.75% 11/25/2057(b)(c) | 1,071,921 | 1,081,963 |
| VOLT XL LLC 2015-NP14 A1 4.375% 11/27/2045(c)(e) | 290,703 | 290,947 |
| VOLT XXV LLC 2015-NPL8 A1 3.50% 6/26/2045(c)(e) | 323,129 | 323,227 |
| $ 7,923,628 | ||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost $17,707,802) | $ 17,513,741 |
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| Principal Amount | Fair Value | |
|---|---|---|
| ASSET-BACKED SECURITIES 19.9% | ||
| AUTO 5.7% | ||
| Ally Auto Receivables Trust 2017-1 B 2.35% 3/15/2022 | $ 101,000 | $ 99,198 |
| Ally Auto Receivables Trust 2017-1 C 2.48% 5/16/2022 | 191,000 | 188,080 |
| American Credit Acceptance Receivables Trust 2017-4 B 2.61% 5/10/2021(c) | 216,000 | 215,206 |
| AmeriCredit Automobile Receivables Trust 2017-4 A3 2.04% 7/18/2022 | 402,000 | 397,286 |
| AmeriCredit Automobile Receivables Trust 2017-1 C 2.71% 8/18/2022 | 203,000 | 201,023 |
| BMW Vehicle Lease Trust 2017-1 A4 2.18% 6/22/2020 | 501,000 | 497,279 |
| BMW Vehicle Lease Trust 2017-2 A4 2.19% 3/22/2021 | 247,000 | 244,037 |
| Capital Auto Receivables Asset Trust 2016-1 B 2.67% 12/21/2020 | 114,000 | 114,029 |
| CarMax Auto Owner Trust 2017-4 A3 2.11% 10/17/2022 | 225,000 | 222,039 |
| CarMax Auto Owner Trust 2018-1 A3 2.48% 11/15/2022 | 474,000 | 470,307 |
| Credit Acceptance Auto Loan Trust 2016-2A A 2.42% 11/15/2023(c) | 250,000 | 249,433 |
| Credit Acceptance Auto Loan Trust 2017-2A A 2.55% 2/17/2026(c) | 1,351,000 | 1,334,350 |
| Credit Acceptance Auto Loan Trust 2017-3A A 2.65% 6/15/2026(c) | 445,000 | 442,424 |
| Credit Acceptance Auto Loan Trust 2016-3A B 2.94% 10/15/2024(c) | 548,000 | 541,416 |
| Credit Acceptance Auto Loan Trust 2016-2A B 3.18% 5/15/2024(c) | 601,000 | 599,261 |
| Credit Acceptance Auto Loan Trust 2017-3A B 3.21% 8/17/2026(c) | 941,000 | 930,100 |
| DT Auto Owner Trust 2017-4A B 2.44% 1/15/2021(c) | 274,000 | 272,419 |
| DT Auto Owner Trust 2017-1A C 2.70% 11/15/2022(c) | 503,000 | 500,214 |
| DT Auto Owner Trust 2017-4A C 2.86% 7/17/2023(c) | 236,000 | 234,299 |
| Exeter Automobile Receivables Trust 2018-1A B 2.75% 4/15/2022(c) | 275,000 | 272,987 |
| Exeter Automobile Receivables Trust 2017-1A B 3.00% 12/15/2021(c) | 237,000 | 237,295 |
| First Investors Auto Owner Trust 2016-2A A2 1.87% 11/15/2021(c) | 148,000 | 146,506 |
| First Investors Auto Owner Trust 2017-1A B 2.67% 4/17/2023(c) | 115,000 | 113,393 |
| First Investors Auto Owner Trust 2017-1A C 2.95% 4/17/2023(c) | 219,000 | 215,398 |
| GM Financial Automobile Leasing Trust 2016-3 C 2.38% 5/20/2020 | 208,000 | 206,745 |
| GM Financial Automobile Leasing Trust 2017-2 B 2.43% 6/21/2021 | 597,000 | 590,620 |
| GM Financial Automobile Leasing Trust 2017-1 B 2.48% 8/20/2020 | 1,320,000 | 1,311,940 |
| GM Financial Automobile Leasing Trust 2018-1 A4 2.68% 12/20/2021 | 385,000 | 383,084 |
| GM Financial Automobile Leasing Trust 2017-1 C 2.74% 8/20/2020 | 597,000 | 592,686 |
| GM Financial Automobile Leasing Trust 2017-2 C 2.84% 6/21/2021 | 100,000 | 99,333 |
| Honda Auto Receivables Owner Trust 2018-1I A4 2.78% 5/15/2024 | 918,000 | 916,611 |
| Hyundai Auto Lease Securitization Trust 2016-C B 1.86% 5/17/2021(c) | 359,000 | 355,365 |
| Hyundai Auto Lease Securitization Trust 2017-C A4 2.21% 9/15/2021(c) | 265,000 | 261,921 |
| Hyundai Auto Lease Securitization Trust 2018-A A4 2.89% 3/15/2022(c) | 576,000 | 575,979 |
| Mercedes-Benz Auto Lease Trust 2018-A A4 2.51% 10/16/2023 | 158,000 | 156,951 |
| Nissan Auto Lease Trust 2017-A A3 1.91% 4/15/2020 | 567,000 | 561,735 |
| Nissan Auto Lease Trust 2017-B A4 2.17% 12/15/2021 | 292,000 | 289,305 |
| Nissan Auto Receivables Owner Trust 2018-A A3 2.65% 5/16/2022 | 662,000 | 661,295 |
| Prestige Auto Receivables Trust 2016-2A B 2.19% 11/15/2022(c) | 673,000 | 667,620 |
| Prestige Auto Receivables Trust 2017-1A B 2.39% 5/16/2022(c) | 319,000 | 315,449 |
| Prestige Auto Receivables Trust 2017-1A C 2.81% 1/17/2023(c) | 787,000 | 774,816 |
| Prestige Auto Receivables Trust 2016-2A C 2.88% 11/15/2022(c) | 327,000 | 323,390 |
| Santander Drive Auto Receivables Trust 2017-3 B 2.19% 3/15/2022 | 797,000 | 788,695 |
| Santander Drive Auto Receivables Trust 2017-1 C 2.58% 5/16/2022 | 209,000 | 207,402 |
| Santander Drive Auto Receivables Trust 2018-1 B 2.63% 7/15/2022 | 463,000 | 460,295 |
| Santander Drive Auto Receivables Trust 2016-2 C 2.66% 11/15/2021 | 131,000 | 130,962 |
| Santander Drive Auto Receivables Trust 2017-2 C 2.79% 8/15/2022 | 327,000 | 325,365 |
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| Principal Amount | Fair Value | |
|---|---|---|
| Westlake Automobile Receivables Trust 2017-1A C 2.70% 10/17/2022(c) | $ 411,000 | $ 409,670 |
| Westlake Automobile Receivables Trust 2018-1A C 2.92% 5/15/2023(c) | 310,000 | 308,272 |
| World Omni Auto Receivables Trust 2018-A A3 2.50% 4/17/2023 | 773,000 | 769,127 |
| World Omni Automobile Lease Securitization Trust 2017-A A4 2.32% 8/15/2022 | 149,000 | 147,914 |
| World Omni Automobile Lease Securitization Trust 2017-A B 2.48% 8/15/2022 | 276,000 | 273,120 |
| $ 21,603,646 | ||
| COLLATERALIZED LOAN OBLIGATION 5.1% | ||
| Adams Mill CLO Ltd. 2014-1A B2R 3.35% 7/15/2026(c) | $ 250,000 | $ 243,903 |
| Black Diamond CLO Ltd. 2014-1A A1R, 3M USD LIBOR + 1.150% 2.881% 10/17/2026(b)(c) | 893,000 | 892,996 |
| BlueMountain CLO Ltd. 2013-4A 3.36% 4/15/2025(c) | 250,000 | 250,028 |
| Cerberus Loan Funding XVIII LP 2017-1A A, 3M USD LIBOR + 1.750% 3.472% 4/15/2027(b)(c) | 1,138,000 | 1,138,891 |
| Cerberus Loan Funding XXI LP 2017-4A A, FRN, 3M USD LIBOR + 1.450% 3.001% 10/15/2027(b)(c) | 857,000 | 857,122 |
| CIFC Funding 2013-III Ltd. 2013-3A A2BR 3.40% 10/24/2025(c) | 250,000 | 249,910 |
| CIFC Funding 2013-IV Ltd. 2013-4A A2R 2.72% 11/27/2024(c) | 376,061 | 375,770 |
| Elm Trust 2016-1A A2 4.163% 6/20/2025(c) | 356,000 | 356,167 |
| Flagship VII Ltd. 2013-7A A2R 2.70% 1/20/2026(c) | 475,000 | 469,950 |
| Fortress Credit Opportunities IX CLO Ltd. 2017-9A A1T, FRN, 3M USD LIBOR + 1.550% 2.966% 11/15/2029(b)(c) | 613,000 | 614,381 |
| Fortress Credit Opportunities IX CLO Ltd. 2017-9A E, FRN, 3M USD LIBOR + 7.250% 8.666% 11/15/2029(b)(c) | 328,000 | 319,560 |
| Fortress Credit Opportunities V CLO Ltd. 2014-5A A1FR 3.40% 10/15/2026(c) | 683,000 | 678,544 |
| Fortress Credit Opportunities V CLO Ltd. 2014-5A A2R 3.75% 10/15/2026(c) | 178,000 | 177,991 |
| Fortress Credit Opportunities VII CLO, Ltd. 2016-7I E, 3M USD LIBOR + 7.490% 9.615% 12/15/2028(b) | 561,000 | 562,880 |
| Halcyon Loan Advisors Funding 2015-3A A1R, 3M USD LIBOR + 0.900% 2.634% 10/18/2027(b)(c) | 1,089,000 | 1,089,091 |
| Halcyon Loan Advisors Funding 2015-1A AR, FRN, 3M USD LIBOR + 0.920% 2.665% 4/20/2027(b)(c) | 1,304,000 | 1,304,061 |
| Halcyon Loan Advisors Funding 2014-3A AR, 3M USD LIBOR + 1.100% 2.845% 10/22/2025(b)(c) | 491,000 | 491,094 |
| ICG US CLO Ltd. 2014-3A A1BR 2.97% 1/25/2027(c) | 933,000 | 924,627 |
| Ivy Hill Middle Market Credit Fund VII Ltd. 7A AR, FRN, 3M USD LIBOR + 1.530% 3.275% 10/20/2029(b)(c) | 250,000 | 250,242 |
| Jamestown CLO III Ltd. 2013-3A A1BR 2.753% 1/15/2026(c) | 451,000 | 450,902 |
| Nelder Grove CLO Ltd. 2014-1A AFR 3.00% 8/28/2026(c) | 250,000 | 249,948 |
| NewMark Capital Funding CLO, Ltd. 2014-2A AFR 3.077% 6/30/2026(c) | 250,000 | 249,998 |
| NewMark Capital Funding CLO, Ltd. 2014-2A BFR 3.669% 6/30/2026(c) | 278,000 | 277,997 |
| Oaktree CLO Ltd. 2014-2A A1BR 2.953% 10/20/2026(c) | 293,000 | 292,944 |
| Ocean Trails CLO V 2014-5A C2R 4.70% 10/13/2026(c) | 186,000 | 185,922 |
| Peaks CLO 1, Ltd. 2014-1A C, 3M USD LIBOR + 3.500% 5.222% 6/15/2026(b)(c) | 344,000 | 344,190 |
| Peaks CLO, 1 Ltd. 2014-1A A, 3M USD LIBOR + 1.750% 3.472% 6/15/2026(b)(c) | 839,000 | 839,116 |
| Senior Credit Fund SPV LLC 2016-1A 3.033% 12/19/2025(d) | 925,000 | 925,546 |
| Silvermore CLO Ltd. 2014-1A A1R, 3M USD LIBOR + 1.170% 3.009% 5/15/2026(b)(c) | 664,000 | 664,199 |
| Symphony CLO XII Ltd. 2013-12A B2R 3.389% 10/15/2025(c) | 427,000 | 426,956 |
| Telos CLO 2013-3A AR, 3M USD LIBOR + 1.300% 3.031% 7/17/2026(b)(c) | 461,000 | 463,205 |
| Telos CLO 2013-3A BR, 3M USD LIBOR + 2.000% 3.731% 7/17/2026(b)(c) | 549,000 | 549,657 |
| Telos CLO, Ltd. 2014-5A A, 3M USD LIBOR + 1.550% 3.281% 4/17/2025(b)(c) | 828,000 | 828,175 |
SEQ.=1,FOLIO='',FILE='C:\JMS\108224\18-9104-3\task8896635\9104-3-bi-01.htm',USER='108224',CD='May 11 19:54 2018'
| Principal Amount | Fair Value | |
|---|---|---|
| Washington Mill CLO Ltd. 2014-1A A2R 2.90% 4/20/2026(c) | $ 250,000 | $ 249,941 |
| Washington Mill CLO Ltd. 2014-1A B2R 3.60% 4/20/2026(c) | 317,000 | 311,569 |
| West CLO Ltd. 2014-2A A1BR 2.724% 1/16/2027(c) | 233,000 | 231,137 |
| West CLO Ltd. 2013-1A A1BR 2.745% 11/7/2025(c) | 381,086 | 378,957 |
| West CLO Ltd. 2013-1A A2BR 3.393% 11/7/2025(c) | 250,000 | 249,844 |
| Zais CLO 2 Ltd. 2014-2A A1BR 2.92% 7/25/2026(c) | 250,000 | 249,930 |
| $ 19,667,341 | ||
| CREDIT CARD 2.0% | ||
| American Express Credit Account Master Trust 2017-6 B 2.20% 5/15/2023 | $ 1,002,000 | $ 987,565 |
| Cabelas Credit Card Master Note Trust 2016-1 A1 1.78% 6/15/2022 | 1,343,000 | 1,329,029 |
| Capital One Multi-Asset Execution Trust 2016-A6 A6 1.82% 9/15/2022 | 1,051,000 | 1,036,546 |
| Capital One Multi-Asset Execution Trust 2017-A1 A1 2.00% 1/17/2023 | 1,321,000 | 1,303,156 |
| Discover Card Execution Note Trust 2014-A4 A4 2.12% 12/15/2021 | 1,152,000 | 1,145,389 |
| Golden Credit Card Trust 2018-1A A 2.62% 1/15/2023(c) | 798,000 | 792,994 |
| Synchrony Credit Card Master Note Trust 2015-3 A 1.74% 9/15/2021 | 1,012,000 | 1,008,559 |
| Synchrony Credit Card Master Note Trust 2016-3 B 1.91% 9/15/2022 | 104,000 | 102,671 |
| $ 7,705,909 | ||
| EQUIPMENT 4.5% | ||
| ARI Fleet Lease Trust 2018-A A3 2.84% 10/15/2026(c) | $ 340,000 | $ 338,781 |
| Ascentium Equipment Receivables Trust 2017-2A A3 2.31% 12/10/2021(c) | 288,000 | 283,328 |
| Avis Budget Rental Car Funding AESOP LLC 2014-2A A 2.50% 2/20/2021(c) | 172,000 | 170,631 |
| Avis Budget Rental Car Funding AESOP LLC 2015-1A A 2.50% 7/20/2021(c) | 1,282,000 | 1,268,710 |
| Avis Budget Rental Car Funding AESOP LLC 2015-2A A 2.63% 12/20/2021(c) | 616,000 | 610,183 |
| CCG Receivables Trust 2018-1 A2 2.50% 6/16/2025(c) | 363,000 | 361,552 |
| Chesapeake Funding II LLC 2016-2A A1 1.88% 6/15/2028(c) | 491,587 | 488,754 |
| Chesapeake Funding II LLC 2016-1A A1 2.11% 3/15/2028(c) | 726,034 | 723,678 |
| Chesapeake Funding II LLC 2017-4A A1 2.12% 11/15/2029(c) | 724,000 | 715,040 |
| Coinstar Funding LLC Series 2017-1A A2 5.216% 4/25/2047(c) | 226,290 | 232,155 |
| Dell Equipment Finance Trust 2017-2 A3 2.19% 10/24/2022(c) | 179,000 | 177,143 |
| Enterprise Fleet Financing LLC 2017-2 A2 1.97% 1/20/2023(c) | 384,000 | 381,061 |
| Enterprise Fleet Financing LLC 2017-3 A2 2.13% 5/22/2023(c) | 455,000 | 450,323 |
| Enterprise Fleet Financing LLC 2017-1 A3 2.60% 7/20/2022(c) | 275,000 | 273,458 |
| GreatAmerica Leasing Receivables Funding LLC Series 2017-1 A4 2.36% 1/20/2023(c) | 177,000 | 175,132 |
| GreatAmerica Leasing Receivables Funding LLC Series 2018-1 A4 2.83% 6/17/2024(c) | 210,000 | 208,780 |
| GreatAmerica Leasing Receivables Funding LLC Series 2017-1 C 2.89% 1/22/2024(c) | 250,000 | 244,767 |
| Hertz Fleet Lease Funding LP 2016-1 A2 1.96% 4/10/2030(c) | 903,855 | 896,955 |
| Hertz Fleet Lease Funding LP 2017-1 A2 2.13% 4/10/2031(c) | 548,000 | 544,186 |
| John Deere Owner Trust 2018 2018-A A4 2.91% 1/15/2025 | 598,000 | 598,320 |
| Leaf Receivables Funding 12 LLC 2017-1 A4 2.43% 7/15/2021(c) | 149,000 | 147,288 |
| MMAF Equipment Finance LLC 2017-B A3 2.21% 10/17/2022(c) | 499,000 | 489,705 |
| NextGear Floorplan Master Owner Trust 2017-1A A2 2.54% 4/18/2022(c) | 620,000 | 613,653 |
| NextGear Floorplan Master Owner Trust 2017-2A B 3.02% 10/17/2022(c) | 498,000 | 494,446 |
| NextGear Floorplan Master Owner Trust 2018-1A A2 3.22% 2/15/2023(c) | 300,000 | 300,443 |
| Prop Series 2017-1A 5.30% 3/15/2042(d) | 975,933 | 965,003 |
| Verizon Owner Trust 2016-2A A 1.68% 5/20/2021(c) | 240,000 | 237,249 |
| Verizon Owner Trust 2017-2A A 1.92% 12/20/2021(c) | 707,000 | 697,038 |
| Verizon Owner Trust 2017-1A A 2.06% 9/20/2021(c) | 269,000 | 266,421 |
| Verizon Owner Trust 2017-3A A1A 2.06% 4/20/2022(c) | 311,000 | 306,521 |
| Verizon Owner Trust 2016-2A B 2.15% 5/20/2021(c) | 269,000 | 264,909 |
SEQ.=1,FOLIO='',FILE='C:\JMS\108224\18-9104-3\task8896635\9104-3-bi-01.htm',USER='108224',CD='May 11 19:54 2018'
| Principal Amount | Fair Value | |
|---|---|---|
| Verizon Owner Trust 2017-2A B 2.22% 12/20/2021(c) | $ 645,000 | $ 634,100 |
| Verizon Owner Trust 2017-1A B 2.45% 9/20/2021(c) | 918,000 | 906,611 |
| Verizon Owner Trust 2018-1A B 3.05% 9/20/2022(c) | 491,000 | 490,919 |
| Volvo Financial Equipment LLC Series 2017-1A A4 2.21% 11/15/2021(c) | 159,000 | 156,821 |
| Volvo Financial Equipment LLC Series 2018-1A A3 2.54% 2/15/2022(c) | 987,000 | 982,689 |
| $ 17,096,753 | ||
| OTHER 2.6% | ||
| Conn Funding II LP 2017-B B 4.52% 11/15/2020(c) | $ 200,000 | $ 201,382 |
| New Residential Advance Receivables Trust 2015-ON1 2016-T4 AT4 3.107% 12/15/2050(c) | 1,345,000 | 1,339,011 |
| New Residential Advance Receivables Trust Advance Receivables Backed 2016-T1 AT1 2.751% 6/15/2049(c) | 679,500 | 675,423 |
| New Residential Advance Receivables Trust Advance Receivables Backed Notes 2016-T2 AT2 2.575% 10/15/2049(c) | 1,362,000 | 1,348,105 |
| New Residential Advance Receivables Trust Advance Receivables Backed Notes 2017-T1 AT1 3.214% 2/15/2051(c) | 1,262,000 | 1,254,763 |
| NRZ Excess Spread-Collateralized Notes Series 2018-PLS1 A 3.193% 1/25/2023(c)(d) | 425,110 | 421,921 |
| NRZ Excess Spread-Collateralized Notes Series 2018-PLS2 A 3.265% 2/25/2023(c)(d) | 474,503 | 472,723 |
| Ocwen Master Advance Receivables Trust 2017-T1 AT1 2.499% 9/15/2048(c) | 148,000 | 147,988 |
| Panhandle-Plains Student Finance Corporation 2001-1 A2 3.308% 12/1/2031(d) | 600,000 | 596,250 |
| PFS Financing Corp. 2017-D A 2.40% 10/17/2022(c) | 430,000 | 423,486 |
| PFS Financing Corp. 2017-D B 2.74% 10/17/2022(c) | 202,000 | 199,029 |
| PFS Financing Corp. 2018-B A 2.89% 2/15/2023(c) | 1,007,000 | 1,001,242 |
| PFS Financing Corp. 2018-B B 3.08% 2/15/2023(c) | 191,000 | 189,833 |
| PFS Financing Corporation 2016-BA A 1.87% 10/15/2021(c) | 320,000 | 315,474 |
| PFS Financing Corporation 2017-BA A2 2.22% 7/15/2022(c) | 588,000 | 577,818 |
| PFS Financing Corporation 2017-BA B 2.57% 7/15/2022(c) | 195,000 | 191,956 |
| Unison Ground Lease Funding LLC 2013-1 B 5.78% 3/15/2043(c)(d) | 349,000 | 346,427 |
| WCP ISSUER LLC 2013-1 B 6.657% 8/15/2043(c)(d) | 409,000 | 423,267 |
| $ 10,126,098 | ||
| TOTAL ASSET-BACKED SECURITIES (Cost $76,587,190) | $ 76,199,747 | |
| CORPORATE BONDS & NOTES 0.9% | ||
| COMMUNICATIONS 0.2% | ||
| Cisco Systems, Inc. 2.45% 6/15/2020 | $ 669,000 | $ 664,720 |
| CONSUMER, CYCLICAL 0.0% | ||
| Continental Airlines 2000-1 Class B Pass Through Trust 8.388% 5/1/2022 | $ 753 | $ 831 |
| Northwest Airlines 1999-2 Class C Pass Through Trust 8.304% 9/1/2010(d) | 269,305 | 45,782 |
| $ 46,613 | ||
| CONSUMER, NON-CYCLICAL 0.2% | ||
| StoneMor Partners LP / Cornerstone Family Services of West Virginia Subsidiary 7.875% 6/1/2021 | $ 540,000 | $ 531,900 |
| ENERGY 0.2% | ||
| PHI, Inc. 5.25% 3/15/2019 | $ 620,000 | $ 606,050 |
| Bristow Group, Inc. 8.75% 3/1/2023(c) | 85,000 | 85,637 |
| $ 691,687 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105733\18-9104-3\task8898217\9104-3-bi-03.htm',USER='105733',CD='May 12 14:11 2018'
| Principal Amount | Fair Value | |
|---|---|---|
| FINANCIAL 0.1% | ||
| Berkshire Hathaway Finance Corporation, 3M USD LIBOR + 0.260% 2.099% 8/15/2019(b) | $ 336,000 | $ 336,358 |
| N671US Trust 7.50% 9/15/2020(c)(d) | 151,972 | 152,352 |
| $ 488,710 | ||
| INDUSTRIAL 0.0% | ||
| Air 2 US 10.127% 10/1/2020(c)(d) | $ 426,921 | $ 89,653 |
| TECHNOLOGY 0.2% | ||
| Apple, Inc. 1.90% 2/7/2020 | $ 750,000 | $ 740,857 |
| Oracle Corporation 3.875% 7/15/2020 | 21,000 | 21,541 |
| $ 762,398 | ||
| TOTAL CORPORATE BONDS & NOTES (Cost $3,422,050) | $ 3,275,681 | |
| CORPORATE BANK DEBT 1.3% | ||
| ABG Intermediate Holdings 2 LLC, 3M USD LIBOR + 7.750% 9.44% 9/29/2025(f) | $ 131,000 | $ 132,474 |
| ACCTL2, 3M USD LIBOR + 4.750% 6.52% 7/28/2023(d)(f) | 514,199 | 507,319 |
| Internap Corp. TL 1L, 3M USD LIBOR + 7.000% 8.72% 4/6/2022(f) | 496,250 | 498,111 |
| JC Penney Corporation, Inc., 1M USD LIBOR + 4.250% 5.73% 6/23/2023(f) | 542,477 | 531,064 |
| Logix Holding Co. LLC TL 1L, 1M USD LIBOR + 5.750% 7.25% 7/17/2024(f) | 297,783 | 299,644 |
| MB1LTL, 1M USD LIBOR + 5.000% 6.88% 12/2/2022(d)(f) | 757,597 | 743,764 |
| MB2LTL, 1M USD LIBOR + 9.250% 11.13% 6/2/2023(d)(f) | 184,000 | 179,635 |
| OTGDDTL 1.00% 8/26/2021(d)(f)(g) | 67,124 | 826 |
| OTGTL, 3M USD LIBOR + 8.500% 10.273% 8/26/2021(d)(f) | 609,876 | 605,186 |
| SDTL, 1M USD LIBOR + 6.000% 7.784% 12/22/2021(d)(f) | 368,125 | 367,157 |
| Sears Roebuck Acceptance Corp. TL, 3M USD LIBOR + 4.500% 6.07% 6/30/2018(f) | 85,572 | 85,358 |
| Xplornet Communication, Inc. TL-B 1L, 3M USD LIBOR + 4.750% 6.44% 9/9/2021(f) | 563,515 | 564,219 |
| ZW1L, 3M USD LIBOR + 5.000% 7.18% 11/16/2022(d)(f) | 365,375 | 364,462 |
| ZW2L, 3M USD LIBOR + 9.000% 10.873% 11/16/2023(d)(f) | 130,000 | 129,350 |
| TOTAL CORPORATE BANK DEBT (Cost $4,984,297) | $ 5,008,569 | |
| U.S. Treasuries 2.3% | ||
| U.S. Treasury Bills 1.556% 4/5/2018 | $ 737,000 | $ 736,775 |
| U.S. Treasury Bills 1.570% 5/3/2018 | 783,000 | 781,884 |
| U.S. Treasury Notes 1.375% 8/31/2020 | 2,293,000 | 2,240,926 |
| U.S. Treasury Notes 1.375% 10/31/2020 | 891,000 | 868,985 |
| U.S. Treasury Notes 1.50% 2/28/2019 | 3,024,000 | 3,007,397 |
| U.S. Treasury Notes 2.00% 9/30/2020 | 425,000 | 421,393 |
| U.S. Treasury Notes 2.375% 5/31/2018 | 780,000 | 780,621 |
| TOTAL U.S. TREASURIES (Cost $8,928,069) | $ 8,837,981 | |
| TOTAL BONDS & DEBENTURES 33.5% (Cost $128,926,570) | $ 128,059,244 | |
| TOTAL INVESTMENT SECURITIES 97.7% (Cost $326,320,685) | $ 373,598,398 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105733\18-9104-3\task8898217\9104-3-bi-03.htm',USER='105733',CD='May 12 14:11 2018'
| Principal Amount | Fair Value | ||
|---|---|---|---|
| SHORT-TERM INVESTMENTS 2.5% | |||
| State Street Bank Repurchase Agreement 0.28% 4/2/2018 | |||
| (Dated 03/29/2018, repurchase price of $9,611,299, collateralized by $9,985,000 principal amount U.S. Treasury Notes - 2.25% 2024, fair value $9,804,441) | $ 9,611,000 | $ 9,611,000 | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $9,611,000) | $ 9,611,000 | ||
| TOTAL INVESTMENTS 100.2% (Cost $335,931,685) | $ 383,209,398 | ||
| Other Assets and Liabilities, net (0.2)% | (670,835 | ) | |
| NET ASSETS 100.0% | $ 382,538,563 |
(a)Non-income producing security.
(b)Variable/Floating Rate Security The rate shown is based on the latest available information as of March 31, 2018. For Senior Loan Notes, the rate shown may represent a weighted average interest rate. Certain variable rate securities are not based on a published rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.
(c)Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid.
(d)Investments categorized as a significant unobservable input (Level 3) (See Note F of the Notes to Financial Statements).
(e)Step Coupon - Coupon rate increases in increments to maturity. Rate disclosed is as of March 31, 2018.
(f)Restricted securities. These restricted securities constituted 1.31% of total net assets at March 31, 2018, most of which are considered liquid by the Adviser. These securities are not registered and may not be sold to the public. There are legal and/or contractual restrictions on resale. The Fund does not have the right to demand that such securities be registered. The values of these securities are determined by valuations provided by pricing services, brokers, dealers, market makers, or in good faith under policies adopted by authority of the Funds Board of Directors.
(g)These securities have been valued in good faith under policies adopted by authority of the Board of Director in accordance with the Funds fair value procedures. These securities constituted 0.00% of total net assets at March 31, 2018.
SEQ.=1,FOLIO='',FILE='C:\JMS\105733\18-9104-3\task8898217\9104-3-bi-03.htm',USER='105733',CD='May 12 14:11 2018'
*SOURCE CAPITAL, INC.*
*PORTFOLIO OF INVESTMENTS RESTRICTED SECURITIES*
March 31, 2018
(Unaudited)
| Issuer | Acquisition Date (s) | Cost | Fair Value | Fair Value as a % of Net Assets |
|---|---|---|---|---|
| ABG Intermediate Holdings 2 LLC, 3M USD LIBOR + 7.750% 9.44% 9/29/2025 | 09/26/2017 | $ 130,076 | $ 132,474 | 0.03 % |
| ACCTL2, 3M USD LIBOR + 4.750% 6.52% 7/28/2023 | 09/19/2016, 12/30/2016 | 510,150 | 507,319 | 0.13 % |
| Internap Corp. TL 1L, 3M USD LIBOR + 7.000% 8.72% 4/6/2022 | 04/03/2017 | 490,002 | 498,111 | 0.13 % |
| JC Penney Corporation, Inc., 1M USD LIBOR + 4.250% 5.73% 6/23/2023 | 10/4/2017, 10/5/2017, | |||
| 10/6/2017, 10/11/2017, | ||||
| 02/07/2018 | 524,612 | 531,064 | 0.14 % | |
| Logix Holding Co. LLC TL 1L, 1M USD LIBOR + 5.750% 7.25% 7/17/2024 | 08/11/2017 | 294,893 | 299,644 | 0.08 % |
| MB1LTL, 1M USD LIBOR + 5.000% 6.88% 12/2/2022 | 12/02/2016, 1/31/2017, | |||
| 04/11/2017, 05/05/2017, | ||||
| 07/18/2017, 07/21/2017, | ||||
| 08/23/2017, 08/29/2017, | ||||
| 09/20/2017, 11/01/2017, | ||||
| 11/03/2017, 11/06/2017, | ||||
| 01/05/2018, | ||||
| 02/12/2018 | 751,462 | 743,764 | 0.19 % | |
| MB2LTL, 1M USD LIBOR + 9.250% 11.13% 6/2/2023 | 12/02/2016, 01/31/2017 | 181,624 | 179,635 | 0.05 % |
| OTGDDTL 1.00% 8/26/2021 | 08/26/2016, | |||
| 01/26/2018 | | 826 | 0.00 % | |
| OTGTL, 3M USD LIBOR + 8.500% 10.273% 8/26/2021 | 08/26/2016, 02/28/2017, | |||
| 05/26/2017, 06/14/2017, | ||||
| 08/26/2017, 08/30/2017, | ||||
| 11/30/2017, | ||||
| 01/26/2018, | ||||
| 03/08/2018 | 601,810 | 605,186 | 0.16 % | |
| SDTL, 1M USD LIBOR + 6.000% 7.784% 12/22/2021 | 12/22/2016 | 362,429 | 367,157 | 0.10 % |
| Sears Roebuck Acceptance Corp. TL, 3M USD LIBOR + 4.500% 6.07% 6/30/2018 | 08/01/2017, 08/03/2017, | |||
| 08/10/2017, 09/11/2017, | ||||
| 09/12/2017, 09/13/2017, | ||||
| 09/25/2017, 10/05/2017 | 85,185 | 85,358 | 0.02 % | |
| Xplornet Communication, Inc. TL-B 1L, 3M USD LIBOR + 4.750% 6.44% 9/9/2021 | 09/08/2016, 09/20/2016, | |||
| 10/7/2016, 10/14/2016 | ||||
| 05/22/2017, 10/18/2017 | 561,277 | 564,219 | 0.15 % | |
| ZW1L, 3M USD LIBOR + 5.000% 7.18% 11/16/2022 | 11/17/2016 | 362,444 | 364,462 | 0.10 % |
| ZW2L, 3M USD LIBOR + 9.000% 10.873% 11/16/2023 | 11/17/2016 | 128,333 | 129,350 | 0.03 % |
| TOTAL RESTRICTED SECURITIES | $ 4,984,297 | $ 5,008,569 | 1.31 % |
See notes to financial statements.
SEQ.=1,FOLIO='',FILE='C:\JMS\105733\18-9104-3\task8898217\9104-3-bi-03.htm',USER='105733',CD='May 12 14:11 2018'
*NOTE 1 Disclosure of Fair Value Measurements*
The Fund uses the following methods and inputs to establish the fair value of its assets and liabilities. Use of particular methods and inputs may vary over time based on availability and relevance as market and economic conditions evolve.
Equity securities are generally valued each day at the official closing price of, or the last reported sale price on, the exchange or market on which such securities principally are traded, as of the close of business on that day. If there have been no sales that day, equity securities are generally valued at the last available bid price. Securities that are unlisted and fixed-income and convertible securities listed on a national securities exchange for which the over-the-counter (OTC) market more accurately reflects the securities value in the judgment of the Funds 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 Funds 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 Fund classifies its assets based on three valuation methodologies. Level 1 values are based on quoted market prices in active markets for identical assets. Level 2 values are based on significant observable market inputs, such as quoted prices for similar assets and quoted prices in inactive markets or other market observable inputs as noted above including spreads, cash flows, financial performance, prepayments, defaults, collateral, credit enhancements, and interest rate volatility. Level 3 values are based on significant unobservable inputs that reflect the Funds determination of assumptions that market participants might reasonably use in valuing the assets. The valuation levels are not necessarily an indication of the risk associated with investing in those securities. The following table presents the valuation levels of the Funds investments as of March 31, 2018:
SEQ.=1,FOLIO='',FILE='C:\JMS\105733\18-9104-3\task8898217\9104-3-bi-05.htm',USER='105733',CD='May 12 14:13 2018'
| Investments | Level 1 | Level 2 | Level 3 | Total |
|---|---|---|---|---|
| Common Stocks | ||||
| Internet Media | $ 33,857,847 | $ | $ | $ 33,857,847 |
| Infrastructure Software | 33,105,771 | | | 33,105,771 |
| Aircraft & Parts | 25,016,456 | | | 25,016,456 |
| Diversified Banks | 24,523,753 | | | 24,523,753 |
| P&C Insurance | 15,063,891 | | | 15,063,891 |
| Insurance Brokers | 13,623,236 | | | 13,623,236 |
| Semiconductor Devices | 11,716,987 | | | 11,716,987 |
| Electrical Components | 11,514,474 | | | 11,514,474 |
| Consumer Finance | 11,294,934 | | | 11,294,934 |
| Investment Companies | 9,579,041 | | | 9,579,041 |
| Generic Pharma | 8,995,645 | | | 8,995,645 |
| Communications Equipment | 7,311,759 | | | 7,311,759 |
| Advertising & Marketing | 7,001,322 | | | 7,001,322 |
| Internet Based Services | 6,706,635 | | | 6,706,635 |
| Life Science Equipment | 6,336,257 | | | 6,336,257 |
| Integrated Oils | 5,688,665 | | | 5,688,665 |
| Midstream - Oil & Gas | 5,144,496 | | | 5,144,496 |
| Base Metals | 3,598,002 | | | 3,598,002 |
| Household Products | 2,917,421 | | | 2,917,421 |
| Food & Drug Stores | 2,332,222 | | | 2,332,222 |
| Exploration & Production | 210,340 | | | 210,340 |
| Commercial Mortgage-Backed Securities | ||||
| Agency | | 51,436 | | 51,436 |
| Agency Stripped | | 11,612,833 | | 11,612,833 |
| Non-Agency | | 5,559,256 | | 5,559,256 |
| Residential Mortgage-Backed Securities | ||||
| Agency Collateralized Mortgage Obligation | | 6,333,284 | | 6,333,284 |
| Agency Pool Fixed Rate | | 3,256,829 | | 3,256,829 |
| Non-Agency Collateralized Mortgage Obligation | | 7,548,410 | 375,218 | 7,923,628 |
| Asset-Backed Securities | ||||
| Auto | | 21,603,646 | | 21,603,646 |
| Collateralized Loan Obligation | | 18,741,795 | 925,546 | 19,667,341 |
| Credit Card | | 7,705,909 | | 7,705,909 |
| Equipment | | 16,131,750 | 965,003 | 17,096,753 |
| Other | | 7,865,510 | 2,260,588 | 10,126,098 |
| Corporate Bonds & Notes | | 2,987,894 | 287,787 | 3,275,681 |
| Corporate Bank Debt | | 2,110,870 | 2,897,699 | 5,008,569 |
| U.S. Treasuries | | 8,837,981 | | 8,837,981 |
| Short-Term Investment | | 9,611,000 | | 9,611,000 |
| $ 245,539,154 | $ 129,958,403 | $ 7,711,841 | $ 383,209,398 |
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The following table summarizes the Funds Level 3 investment securities and related transactions during the period ended March 31, 2018:
| Investment | Beginning Value at December 31, 2017 | Net Realized and Unrealized Gains (Losses)* | Purchases | (Sales) | Gross Transfers In(Out) | Ending Value at March 31, 2018 | Net Change in Unrealized Appreciation (Depreciation) related to Investments held at March 31, 2018 | ||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Commercial Mortgage-Backed Securities Non-Agency | $ 464,468 | $ (1,728 | ) | | $ (84,831 | ) | $ (377,909 | ) | | | |
| Residential Mortgage-Backed Non-Agency Collateralized Mortgage Obligation | 834,410 | (3,439 | ) | | (94,514 | ) | (361,239 | ) | $ 375,218 | $ (3,103 | ) |
| Asset-Backed Securities Collateralized Loan Obligations | 1,159,665 | (2,982 | ) | | | (231,137 | ) | 925,546 | (1,177 | ) | |
| Asset-Backed Securities Equipment | 1,012,436 | (22,837 | ) | | (24,596 | ) | | 965,003 | (22,854 | ) | |
| Asset-Backed Securities Other | 3,961,842 | (7,066 | ) | $ 943,973 | (44,388 | ) | (2,593,773 | ) | 2,260,588 | (6,213 | ) |
| Corporate Bonds & Notes | 290,257 | (26,208 | ) | 92,368 | (68,630 | ) | | 287,787 | (50,046 | ) | |
| Corporate Bank Debt | 2,856,931 | (25,409 | ) | 72,498 | (6,321 | ) | | 2,897,699 | (27,043 | ) | |
| $ 10,580,009 | $ (89,669 | ) | $ 1,108,839 | $ (323,280 | ) | $ (3,564,058 | ) | $ 7,711,841 | $ (110,436 | ) |
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 Funds Board of Directors. The Adviser employs various methods to determine fair valuations including regular review of key inputs and assumptions, and review of related market activity, if any. However, there are generally no observable trade activities in these securities. The Adviser reports to the Board of Directors at their regularly scheduled quarterly meetings, or more often if warranted. The report includes a summary of the results of the process, the key inputs and assumptions noted, and any changes to the inputs and assumptions used. When appropriate, the Adviser will recommend changes to the procedures and process employed. The value determined for an investment using the fair value procedures may differ significantly from the value realized upon the sale of such investment. Transfers of investments between different levels of the fair value hierarchy are recorded at market value as of the end of the reporting period. There were transfers of $3,564,058 out of Level 3 into Level 2 during the period ended March 31, 2018. The transfers out were due to change from single broker quoted to vendor priced.
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, 2018:
| Financial Assets | Fair Value at March 31, 2018 | Valuation Technique(s) | Unobservable Inputs | Price/Range |
|---|---|---|---|---|
| Residential Mortgage-Backed Securities - Non-Agency CMO | $ 375,218 | Third-Party Broker Quote (a) | Quotes/Prices | $99.00 |
| Asset-Backed Securities - Collateralized Loan Obligation | $ 925,546 | Third-Party Broker Quote (a) | Quotes/Prices | $100.06 |
| Asset-Backed Securities - Equipment | $ 965,003 | Third-Party Broker Quote (a) | Quotes/Prices | $98.88 |
| Asset-Backed Securities - Other | $ 2,260,588 | Third-Party Broker Quote (a) | Quotes/Prices | $99.25 - $103.49 |
| Corporate Bonds and Notes - Consumer, Cyclical | $ 45,782 | Third-Party Broker Quote (a) | Quotes/Prices | $17.00 |
| Corporate Bonds and Notes - Financial | $ 152,352 | Third-Party Broker Quote (a) | Quotes/Prices | $100.25 |
| Corporate Bonds and Notes - Industrial | $ 89,653 | Third-Party Broker Quote (a) | Quotes/Prices | $21.00 |
| Corporate Bank Debt | $ 826 | Pricing Model (b ) | Reference prices | $99.23 |
| $ 2,896,873 | Pricing Vendor | Prices | $97.63 - $99.75 |
(a) The Third-Party Broker Quote technique involves obtaining an independent third-party broker quote for the security.
(b) The Pricing Model technique for Level 3 securities involves calculating the difference between the fair value of the funded portion of the securitiy and the price at which the Fund is committed to fund the unfunded committment.
*NOTE 2 Federal Income Tax*
The cost of investment securities held at March 31, 2018 (excluding short-term investments), was $326,554,756 for federal income tax purposes. Net unrealized appreciation consists of:
| Gross unrealized appreciation: | $ | |
|---|---|---|
| Gross unrealized depreciation: | (7,040,827 | ) |
| Net unrealized appreciation: | $ 47,043,642 |
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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.
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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, 2018 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: |
|---|
| J. Richard Atwood, |
| President (Principal Executive Officer) |
| Date: May 30, 2018 |
| By: |
|---|
| E. Lake Setzler III, |
| Treasurer (Principal Financial Officer) |
| Date: May 30, 2018 |
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