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SOURCE CAPITAL /DE/ — Regulatory Filings 2019
May 29, 2019
33116_rns_2019-05-30_0a349def-3641-412d-925d-410e18a1aaaa.zip
Regulatory Filings
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NPORT-EX 1 18080293.htm N-Q 0000091847 xxxxxxx N-2 [email protected] [email protected] [email protected] [email protected] 03/31/2019 NYSE EDGAR Advantage Service Team (800) 688 - 1933
ITEM 1. Schedule of Investments.
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*SOURCE CAPITAL, INC.*
*PORTFOLIO OF INVESTMENTS*
March 31, 2019
(Unaudited)
| Shares | Fair Value | |
|---|---|---|
| COMMON STOCKS | ||
| INTERNET MEDIA 9.9% | ||
| Alphabet, Inc. (Class A)(a) | 6,500 | $ 7,649,785 |
| Alphabet, Inc. (Class C)(a) | 6,542 | 7,675,794 |
| Baidu, Inc. (ADR) (China)(a) | 48,480 | 7,991,928 |
| Facebook, Inc. (Class A)(a) | 45,470 | 7,579,394 |
| Naspers, Ltd. (N Shares) (South Africa) | 16,798 | 3,879,289 |
| $ 34,776,190 | ||
| DIVERSIFIED BANKS 6.1% | ||
| Bank of America Corp. | 301,690 | $ 8,323,627 |
| Citigroup, Inc. | 141,320 | 8,792,931 |
| Royal Bank of Scotland Group plc (Britain) | 1,331,100 | 4,282,216 |
| $ 21,398,774 | ||
| SEMICONDUCTOR DEVICES 5.9% | ||
| Analog Devices, Inc. | 92,330 | $ 9,719,579 |
| Broadcom, Inc. | 36,947 | 11,110,333 |
| $ 20,829,912 | ||
| AIRCRAFT & PARTS 5.5% | ||
| Arconic, Inc. | 509,820 | $ 9,742,660 |
| United Technologies Corp. | 75,490 | 9,729,906 |
| $ 19,472,566 | ||
| CABLE & SATELLITE 4.8% | ||
| Charter Communications, Inc. (Class A)(a) | 22,311 | $ 7,739,909 |
| Comcast Corp. (Class A) | 228,440 | 9,133,031 |
| $ 16,872,940 | ||
| CEMENT & AGGREGATES 3.8% | ||
| HeidelbergCement AG (Germany) | 83,480 | $ 6,008,181 |
| LafargeHolcim Ltd. (Switzerland)(a) | 150,190 | 7,419,378 |
| $ 13,427,559 | ||
| P&C INSURANCE 3.6% | ||
| American International Group, Inc. | 291,650 | $ 12,558,449 |
| ELECTRICAL COMPONENTS 2.1% | ||
| TE Connectivity, Ltd. (Switzerland) | 91,860 | $ 7,417,695 |
| INVESTMENT COMPANIES 2.1% | ||
| Groupe Bruxelles Lambert SA (Belgium) | 74,640 | $ 7,252,471 |
| INFRASTRUCTURE SOFTWARE 2.1% | ||
| Microsoft Corp. | 61,260 | $ 7,225,005 |
| MIDSTREAM - OIL & GAS 1.9% | ||
| Kinder Morgan, Inc. | 326,330 | $ 6,529,863 |
| BANKS 1.7% | ||
| Wells Fargo & Co. | 123,500 | $ 5,967,520 |
See Notes to Financial Statements
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| Shares or Principal Amount | Fair Value | |
|---|---|---|
| COMMON STOCKS Continued | ||
| INSURANCE BROKERS 1.7% | ||
| Aon plc (Britain) | 34,392 | $ 5,870,715 |
| GENERIC PHARMACEUTICALS 1.6% | ||
| Mylan NV(a) | 193,570 | $ 5,485,774 |
| E-COMMERCE DISCRETIONARY 1.5% | ||
| JD.com, Inc. (ADR) (China)(a) | 178,580 | $ 5,384,187 |
| MINING SERVICES 1.5% | ||
| Glencore plc (Switzerland) | 1,275,150 | $ 5,280,573 |
| CONSUMER FINANCE 1.5% | ||
| Ally Financial, Inc. | 188,660 | $ 5,186,263 |
| HOME IMPROVEMENT 1.2% | ||
| Mohawk Industries, Inc.(a) | 34,236 | $ 4,318,871 |
| APPLICATION SOFTWARE 0.7% | ||
| Nexon Co. Ltd. (Japan)(a) | 169,000 | $ 2,644,104 |
| FOOD & DRUG STORES 0.6% | ||
| Jardine Strategic Holdings, Ltd. (Hong Kong) | 54,710 | $ 2,047,795 |
| BASE METALS 0.2% | ||
| Alcoa Corp.(a) | 24,650 | $ 694,144 |
| TOTAL COMMON STOCKS 60.0% (Cost $186,312,141) | $ 210,641,370 | |
| CLOSED END FUND 2.7% | ||
| INTERNET MEDIA 2.7% | ||
| Altaba, Inc.(a) (Cost $7,537,310) | 126,820 | $ 9,399,899 |
| BONDS & DEBENTURES | ||
| COMMERCIAL MORTGAGE-BACKED SECURITIES 3.8% | ||
| AGENCY 0.1% | ||
| Government National Mortgage Association 2011-49 A 2.45% 7/16/2038 | $ 12,617 | $ 12,590 |
| Government National Mortgage Association 2010-161 B 3.00% 7/16/2040 | 79,128 | 78,886 |
| Government National Mortgage Association 2011-9 C, VRN 3.512% 9/16/2041(b) | 110,714 | 111,498 |
| $ 202,974 | ||
| AGENCY STRIPPED 2.2% | ||
| Government National Mortgage Association 2014-171 IO 0.666% 11/16/2055(b) | $ 15,211,948 | $ 520,913 |
| Government National Mortgage Association 2012-79 IO 0.674% 3/16/2053(b) | 6,156,267 | 195,125 |
| Government National Mortgage Association 2012-58 IO 0.70% 2/16/2053(b) | 11,809,491 | 335,742 |
| Government National Mortgage Association 2015-86 IO 0.762% 5/16/2052(b) | 2,842,528 | 140,256 |
See Notes to Financial Statements
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| Principal Amount | Fair Value | |
|---|---|---|
| BONDS & DEBENTURES Continued | ||
| Government National Mortgage Association 2012-114 IO 0.766% 1/16/2053(b) | $ 14,878,798 | $ 673,525 |
| Government National Mortgage Association 2015-19 IO 0.772% 1/16/2057(b) | 7,439,330 | 395,606 |
| Government National Mortgage Association 2012-109 IO 0.778% 10/16/2053(b) | 12,401,898 | 354,387 |
| Government National Mortgage Association 2014-153 IO 0.79% 4/16/2056(b) | 10,846,660 | 542,271 |
| Government National Mortgage Association 2013-146 IO 0.795% 11/16/2048(b) | 15,758,606 | 530,439 |
| Government National Mortgage Association 2013-74 IO 0.795% 12/16/2053(b) | 18,511,465 | 828,677 |
| Government National Mortgage Association 2014-187 IO 0.881% 5/16/2056(b) | 6,249,294 | 333,101 |
| Government National Mortgage Association 2015-169 IO 0.925% 7/16/2057(b) | 2,145,569 | 133,276 |
| Government National Mortgage Association 2015-114 IO 0.937% 3/15/2057(b) | 2,061,190 | 120,378 |
| Government National Mortgage Association 2015-108 IO 0.946% 10/16/2056(b) | 8,064,437 | 458,869 |
| Government National Mortgage Association 2016-65 IO 1.002% 1/16/2058(b) | 6,245,890 | 469,050 |
| Government National Mortgage Association 2016-106 IO 1.031% 9/16/2058(b) | 6,322,168 | 469,744 |
| Government National Mortgage Association 2016-125 IO 1.062% 12/16/2057(b) | 3,661,416 | 285,958 |
| Government National Mortgage Association 3.10% 5/16/2059 | 1,156,000 | 1,151,888 |
| $ 7,939,205 | ||
| NON-AGENCY 1.5% | ||
| Aventura Mall Trust M 2013-AVM A 3.743% 12/5/2032(b)(c) | $ 970,000 | $ 986,363 |
| Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7 B 5.142% 2/11/2041(b) | 120,799 | 121,103 |
| Citigroup Commercial Mortgage Trust 2017-C4 A2 3.19% 10/12/2050 | 408,000 | 412,671 |
| COMM Mortgage Trust 2014-FL5 B, 1M LIBOR + 2.150% 3.875% 10/15/2031(b)(c) | 25,013 | 24,942 |
| COMM Mortgage Trust 2014-FL5 C, 1M LIBOR + 2.150% 3.875% 10/15/2031(b)(c) | 226,000 | 224,906 |
| Credit Suisse Commercial Mortgage Trust Series 2016-MFF E, 1M LIBOR + 6.000% 8.484% 11/15/2033(b)(c) | 878,000 | 877,337 |
| DBUBS Mortgage Trust 2011-LC2A A4 4.537% 7/10/2044(c) | 1,082,030 | 1,113,869 |
| Latitude Management Real Estate Capita 2016-CRE2 A, 1M LIBOR + 1.700% 4.19% 11/24/2031(b)(c) | 383,879 | 384,812 |
| Madison Avenue Trust M 2013-650M A 3.843% 10/12/2032(c) | 277,000 | 280,864 |
| WFRBS Commercial Mortgage Trust 2013-UBS1 A3 3.591% 3/15/2046 | 737,000 | 744,710 |
| $ 5,171,577 | ||
| TOTAL COMMERICAL MORTGAGE-BACKED SECURITIES (Cost $13,583,900) | $ 13,313,756 | |
| RESIDENTIAL MORTGAGE-BACKED SECURITIES 9.3% | ||
| AGENCY COLLATERALIZED MORTGAGE OBLIGATION 1.6% | ||
| Federal Home Loan Mortgage Corp. 4302 AE 2.00% 11/15/2029 | $ 336,905 | $ 332,766 |
| Federal Home Loan Mortgage Corp. 4664 TA 3.00% 9/15/2037 | 156,681 | 157,384 |
| Federal Home Loan Mortgage Corp. 4504 DN 3.00% 10/15/2040 | 305,019 | 306,495 |
| Federal Home Loan Mortgage Corp. 3862 MB 3.50% 5/15/2026 | 441,859 | 451,358 |
| Federal National Mortgage Association 2012-117 DA 1.50% 12/25/2039 | 99,569 | 91,489 |
| Federal National Mortgage Association 2014-89 LB 2.00% 6/25/2042 | 95,678 | 93,531 |
| Federal National Mortgage Association 2011-61 B 3.00% 7/25/2026 | 248,000 | 250,586 |
| Federal National Mortgage Association 2017-30 G 3.00% 7/25/2040 | 232,640 | 232,615 |
| Federal National Mortgage Association 2013-93 PJ 3.00% 7/25/2042 | 48,354 | 48,731 |
| Federal National Mortgage Association 2017-16 JA 3.00% 2/25/2043 | 642,729 | 642,215 |
| Federal National Mortgage Association 2018-16 HA 3.00% 7/25/2043 | 589,234 | 589,171 |
| Federal National Mortgage Association 2014-4 KA 3.00% 1/25/2044 | 74,147 | 74,069 |
| Federal National Mortgage Association 2011-98 VE 3.50% 6/25/2026 | 329,000 | 333,134 |
| Federal National Mortgage Association 2011-80 KB 3.50% 8/25/2026 | 327,000 | 331,706 |
| Federal National Mortgage Association 2017-45 KD 3.50% 2/25/2044 | 481,892 | 486,805 |
| Federal National Mortgage Association 2017-52 KC 3.50% 4/25/2044 | 472,071 | 477,012 |
See Notes to Financial Statements
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| Principal Amount | Fair Value | |
|---|---|---|
| BONDS & DEBENTURES Continued | ||
| Federal National Mortgage Association 2017-59 DC 3.50% 5/25/2044 | $ 670,911 | $ 677,746 |
| Federal National Mortgage Association 2003-78 B 5.00% 8/25/2023 | 168,402 | 175,584 |
| $ 5,752,397 | ||
| AGENCY POOL FIXED RATE 4.9% | ||
| Federal Home Loan Mortgage Corp. G16178 2.50% 11/1/2028 | $ 513,844 | $ 514,115 |
| Federal Home Loan Mortgage Corp. G16618 2.50% 1/1/2030 | 848,158 | 848,606 |
| Federal Home Loan Mortgage Corp. J16678 3.00% 9/1/2026 | 116,125 | 117,238 |
| Federal Home Loan Mortgage Corp. J17544 3.00% 12/1/2026 | 159,021 | 161,030 |
| Federal Home Loan Mortgage Corp. G16406 3.00% 1/1/2028 | 501,401 | 508,834 |
| Federal Home Loan Mortgage Corp. G16620 3.00% 8/1/2028 | 215,797 | 218,659 |
| Federal Home Loan Mortgage Corp. G16478 3.00% 5/1/2030 | 691,576 | 698,802 |
| Federal Home Loan Mortgage Corp. G16473 3.50% 1/1/2028 | 814,219 | 836,109 |
| Federal Home Loan Mortgage Corp. G16613 3.50% 8/1/2028 | 204,203 | 209,502 |
| Federal Home Loan Mortgage Corp. V62149 3.50% 9/1/2028 | 138,685 | 142,197 |
| Federal Home Loan Mortgage Corp. J26472 3.50% 11/1/2028 | 164,291 | 168,914 |
| Federal Home Loan Mortgage Corp. G13122 5.00% 4/1/2023 | 154,027 | 158,926 |
| Federal Home Loan Mortgage Corp. G13145 5.50% 4/1/2023 | 294,224 | 304,255 |
| Federal National Mortgage Association MA1212 2.50% 10/1/2022 | 241,195 | 241,681 |
| Federal National Mortgage Association AR6882 2.50% 2/1/2028 | 87,280 | 87,278 |
| Federal National Mortgage Association BM4386 2.50% 8/1/2030 | 328,231 | 328,226 |
| Federal National Mortgage Association AJ6973 3.00% 11/1/2026 | 39,974 | 40,360 |
| Federal National Mortgage Association AJ9387 3.00% 12/1/2026 | 20,404 | 20,601 |
| Federal National Mortgage Association AU3826 3.00% 12/1/2026 | 592,024 | 598,289 |
| Federal National Mortgage Association AL1345 3.00% 2/1/2027 | 37,001 | 37,358 |
| Federal National Mortgage Association AB4673 3.00% 3/1/2027 | 40,348 | 40,826 |
| Federal National Mortgage Association AK9467 3.00% 3/1/2027 | 42,809 | 43,222 |
| Federal National Mortgage Association AB8890 3.00% 4/1/2028 | 184,899 | 186,973 |
| Federal National Mortgage Association AL4693 3.00% 8/1/2028 | 35,771 | 36,117 |
| Federal National Mortgage Association MA3480 3.00% 8/1/2028 | 147,152 | 148,987 |
| Federal National Mortgage Association AU6681 3.00% 9/1/2028 | 342,748 | 346,808 |
| Federal National Mortgage Association AU6682 3.00% 9/1/2028 | 1,726,008 | 1,746,452 |
| Federal National Mortgage Association MA3485 3.00% 9/1/2028 | 74,407 | 75,265 |
| Federal National Mortgage Association 890837 3.00% 10/1/2028 | 410,515 | 415,121 |
| Federal National Mortgage Association BM4485 3.00% 9/1/2030 | 1,123,699 | 1,136,307 |
| Federal National Mortgage Association BM3539 3.00% 10/1/2030 | 844,932 | 855,204 |
| Federal National Mortgage Association BM4536 3.00% 8/1/2031 | 1,211,549 | 1,225,899 |
| Federal National Mortgage Association BM3973 3.00% 4/1/2032 | 1,223,645 | 1,238,139 |
| Federal National Mortgage Association AB2446 3.50% 3/1/2026 | 227,537 | 232,668 |
| Federal National Mortgage Association MA3075 3.50% 7/1/2027 | 740,743 | 760,439 |
| Federal National Mortgage Association MA3132 3.50% 9/1/2027 | 160,688 | 164,860 |
| Federal National Mortgage Association MA3251 3.50% 1/1/2028 | 199,752 | 204,938 |
| Federal National Mortgage Association MA3321 3.50% 3/1/2028 | 112,011 | 114,920 |
| Federal National Mortgage Association CA1631 3.50% 10/1/2028 | 195,777 | 200,555 |
| Federal National Mortgage Association MA3514 3.50% 11/1/2028 | 479,205 | 490,898 |
| Federal National Mortgage Association MA3542 3.50% 12/1/2028 | 433,153 | 443,724 |
| Federal National Mortgage Association BM1231 3.50% 11/1/2031 | 396,796 | 406,975 |
| Federal National Mortgage Association AE0286 5.00% 4/1/2025 | 168,439 | 173,996 |
| Federal National Mortgage Association AL7725 5.00% 9/1/2025 | 242,394 | 249,284 |
| $ 17,179,557 | ||
| NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATION 2.8% | ||
| CIM Trust 2017-7 A, VRN 3.00% 4/25/2057(b)(c) | $ 691,910 | $ 685,591 |
See Notes to Financial Statements
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| Principal Amount | Fair Value | |
|---|---|---|
| BONDS & DEBENTURES Continued | ||
| CIM Trust 2018-R3 A1, VRN 5.00% 12/25/2057(b)(c) | $ 1,051,843 | $ 1,094,074 |
| Citigroup Mortgage Loan Trust, Inc. 2014-A A 4.00% 1/25/2035(b)(c) | 202,223 | 206,182 |
| Finance of America Structured Securities Trust 2018-HB1 M1, VRN 3.774% 9/25/2028(b)(c)(d) | 355,000 | 355,923 |
| Mill City Mortgage Loan Trust 2018-2 A1, VRN 3.50% 5/25/2058(b)(c) | 1,012,979 | 1,014,415 |
| Mill City Mortgage Loan Trust 2018-3 A1, VRN 3.50% 8/25/2058(b)(c) | 540,847 | 541,359 |
| Nationstar HECM Loan Trust 2017-2A M1 2.815% 9/25/2027(b)(c) | 316,000 | 313,531 |
| Nationstar HECM Loan Trust 2018-2A M1, VRN 3.552% 7/25/2028 | 188,000 | 189,461 |
| Nomura Resecuritization Trust 2016-1R 3A1 5.00% 9/28/2036(b)(c) | 105,363 | 107,006 |
| Towd Point Mortgage Trust 2016-3 A1 2.25% 4/25/2056(b)(c) | 393,292 | 386,233 |
| Towd Point Mortgage Trust 2015-5 A1B, VRN 2.75% 5/25/2055(b)(c) | 165,329 | 163,725 |
| Towd Point Mortgage Trust 2015-3 A1B, VRN 3.00% 3/25/2054(b)(c) | 263,442 | 261,753 |
| Towd Point Mortgage Trust 2018-1 A1, VRN 3.00% 1/25/2058(b)(c) | 772,474 | 764,527 |
| Towd Point Mortgage Trust 2018-2 A1, VRN 3.25% 3/25/2058(b)(c) | 1,242,234 | 1,237,351 |
| Towd Point Mortgage Trust 2018-5 A1A, VRN 3.25% 7/25/2058(b)(c) | 1,211,158 | 1,206,534 |
| Towd Point Mortgage Trust 2018-6 A1A, VRN 3.75% 3/25/2058(b)(c) | 1,197,576 | 1,207,872 |
| $ 9,735,537 | ||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost $32,427,299) | $ 32,667,491 | |
| ASSET-BACKED SECURITIES 15.9% | ||
| AUTO 2.9% | ||
| Ally Auto Receivables Trust 2017-1 B 2.35% 3/15/2022 | $ 101,000 | $ 100,102 |
| Ally Auto Receivables Trust 2017-1 C 2.48% 5/16/2022 | 191,000 | 189,573 |
| AmeriCredit Automobile Receivables Trust 2017-1 C 2.71% 8/18/2022 | 203,000 | 202,551 |
| CarMax Auto Owner Trust 2018-1 A3 2.48% 11/15/2022 | 474,000 | 473,661 |
| CarMax Auto Owner Trust 2018-2 A3 2.98% 1/17/2023 | 536,000 | 539,615 |
| CarMax Auto Owner Trust 2019-1 A4 3.26% 8/15/2024 | 463,000 | 468,383 |
| CarMax Auto Owner Trust 2019-1 B 3.45% 11/15/2024 | 249,000 | 251,962 |
| CarMax Auto Owner Trust 2018-4 A4 3.48% 2/15/2024 | 492,000 | 504,780 |
| Credit Acceptance Auto Loan Trust 2017-3A A 2.65% 6/15/2026(c) | 445,000 | 443,500 |
| Credit Acceptance Auto Loan Trust 2016-3A B 2.94% 10/15/2024(c) | 548,000 | 546,262 |
| Credit Acceptance Auto Loan Trust 2017-3A B 3.21% 8/17/2026(c) | 941,000 | 939,746 |
| First Investors Auto Owner Trust 2017-1A C 2.95% 4/17/2023(c) | 219,000 | 217,865 |
| GM Financial Automobile Leasing Trust 2018-1 A4 2.68% 12/20/2021 | 385,000 | 384,257 |
| GM Financial Automobile Leasing Trust 2017-2 C 2.84% 6/21/2021 | 100,000 | 99,668 |
| Honda Auto Receivables Owner Trust 2018-1I A4 2.78% 5/15/2024 | 918,000 | 920,683 |
| Hyundai Auto Lease Securitization Trust 2018-A A4 2.89% 3/15/2022(c) | 576,000 | 576,275 |
| Hyundai Auto Receivables Trust 2018-A A4 2.94% 6/17/2024 | 656,000 | 661,812 |
| Mercedes-Benz Auto Lease Trust 2018-A A4 2.51% 10/16/2023 | 158,000 | 157,711 |
| Prestige Auto Receivables Trust 2017-1A C 2.81% 1/17/2023(c) | 787,000 | 781,146 |
| Prestige Auto Receivables Trust 2016-2A C 2.88% 11/15/2022(c) | 327,000 | 326,131 |
| Westlake Automobile Receivables Trust 2018-1A C 2.92% 5/15/2023(c) | 310,000 | 309,767 |
| World Omni Auto Receivables 3.34% 6/16/2025 | 196,000 | 198,605 |
| World Omni Auto Receivables Trust 2018-A A3 2.50% 4/17/2023 | 773,000 | 769,599 |
| $ 10,063,654 | ||
| COLLATERALIZED LOAN OBLIGATION 5.0% | ||
| Adams Mill CLO Ltd. 2014-1A B2R 3.35% 7/15/2026(c) | $ 250,000 | $ 245,039 |
| B&M CLO Ltd. 2014-1A A2R, FRN 4.379% 4/16/2026(b)(c) | 287,000 | 287,098 |
See Notes to Financial Statements
SEQ.=1,FOLIO='',FILE='C:\JMS\105342\19-7873-5\task9367495\7873-5-bk-01.htm',USER='105342',CD='May 22 02:55 2019'
| Principal Amount | Fair Value | |
|---|---|---|
| BONDS & DEBENTURES Continued | ||
| Black Diamond CLO Ltd. 2014-1A A1R, 3M USD LIBOR + 1.150% 3.923% 10/17/2026(b)(c) | $ 799,301 | $ 799,293 |
| Cerberus Loan Funding XVIII LP 2017-1A A, 3M USD LIBOR + 1.750% 4.537% 4/15/2027 | 1,138,000 | 1,138,475 |
| Cerberus Loan Funding XXI LP 2017-4A A, FRN 4.237% 10/15/2027(b)(c) | 857,000 | 856,993 |
| Elm Trust 2016-1A A2 4.163% 6/20/2025(c) | 243,238 | 243,479 |
| Elm Trust 2018-2A A2 4.605% 10/20/2027(c) | 513,000 | 518,368 |
| Fortress Credit Opportunities IX CLO Ltd. 2017-9A A1T, FRN 4.234% 11/15/2029(b)(c) | 683,000 | 678,845 |
| Fortress Credit Opportunities IX CLO Ltd. 2017-9A E, FRN 9.934% 11/15/2029(b)(c) | 328,000 | 312,619 |
| Fortress Credit Opportunities VII CLO Ltd. 2016-7I E, 3M USD LIBOR + 7.490% 10.101% 12/15/2028(b)(c) | 561,000 | 508,526 |
| Halcyon Loan Advisors Funding 2014-3A AR, 3M USD LIBOR + 1.100% 3.861% 10/22/2025(b)(c) | 386,208 | 386,060 |
| Halcyon Loan Advisors Funding 2015-1A AR, FRN 3.681% 4/20/2027(b)(c) | 1,304,000 | 1,298,472 |
| Halcyon Loan Advisors Funding 2015-3A A1R, 3M USD LIBOR + 0.90% 3.68% 10/18/2027(b)(c) | 1,089,000 | 1,083,295 |
| Hercules Capital Funding Trust 2018-1A A 4.605% 11/22/2027(c) | 485,000 | 495,738 |
| Hercules Capital Funding Trust 2019-1A A 4.703% 2/20/2028(c) | 910,000 | 918,675 |
| Ivy Hill Middle Market Credit Fund VII Ltd. 4.03% 7/18/2030(b)(c) | 604,000 | 602,851 |
| Ivy Hill Middle Market Credit Fund VII Ltd. 7A AR, FRN 4.291% 10/20/2029(b)(c) | 250,000 | 249,372 |
| Oaktree CLO Ltd. 2014-2A A1BR 2.953% 10/20/2026(c) | 258,675 | 256,564 |
| Saranac CLO III Ltd. 2014-3A ALR, FRN 3.707% 6/22/2030(b)(c) | 632,000 | 634,638 |
| Senior Credit Fund SPV LLC 2016-1A 4.83% 12/19/2025 | 882,115 | 882,429 |
| Silvermore CLO Ltd. 2014-1A A1R, 3M USD LIBOR + 1.170% 3.854% 5/15/2026(b)(c) | 493,904 | 493,919 |
| Symphony CLO XII Ltd. 2013-12A B2R 3.389% 10/15/2025(c) | 427,000 | 421,200 |
| Telos CLO 2013-3A AR, 3M USD LIBOR + 1.300% 4.073% 7/17/2026(b)(c) | 474,000 | 474,022 |
| Telos CLO 2013-3A BR, 3M USD LIBOR + 2.000% 4.773% 7/17/2026(b)(c) | 550,000 | 548,957 |
| Telos CLO Ltd. 2014-5A A1R, FRN 3.723% 4/17/2028(b)(c) | 828,000 | 821,972 |
| THL Credit Wind River CLO Ltd. 2016-1A AR, FRN 3.837% 7/15/2028(b) | 640,000 | 636,904 |
| VCO CLO LLC 2018-1A A, FRN 4.261% 7/20/2030(b)(c) | 607,000 | 607,774 |
| Wellfleet CLO Ltd. 2016-1A AR, FRN 3.671% 4/20/2028(b)(c) | 629,000 | 622,991 |
| West CLO Ltd. 2014-2A A1BR 2.724% 1/16/2027(c) | 233,000 | 230,456 |
| West CLO Ltd. 2013-1A A2BR 3.393% 11/7/2025(c) | 250,000 | 247,094 |
| Zais CLO 2 Ltd. 2014-2A A1BR 2.92% 7/25/2026(c) | 216,409 | 214,625 |
| $ 17,716,743 | ||
| CREDIT CARD 0.9% | ||
| American Express Credit Account Master Trust 2017-6 B 2.20% 5/15/2023 | $ 1,002,000 | $ 992,204 |
| Golden Credit Card Trust 2018-1A A 2.62% 1/15/2023(c) | 798,000 | 796,022 |
| Synchrony Card Issuance Trust 2018-A1 A1 3.38% 9/15/2024 | 1,279,000 | 1,301,585 |
| $ 3,089,811 | ||
| EQUIPMENT 4.0% | ||
| ARI Fleet Lease Trust 2018-A A3 2.84% 10/15/2026(c) | $ 340,000 | $ 340,073 |
| Ascentium Equipment Receivables Trust 2017-2A A3 2.31% 12/10/2021(c) | 288,000 | 285,563 |
| Avis Budget Rental Car Funding AESOP LLC 2015-1A A 2.50% 7/20/2021(c) | 1,282,000 | 1,276,334 |
| Avis Budget Rental Car Funding AESOP LLC 2015-2A A 2.63% 12/20/2021(c) | 616,000 | 612,907 |
| Avis Budget Rental Car Funding AESOP LLC 2019-1A A 3.45% 3/20/2023(c) | 238,000 | 240,417 |
| Chesapeake Funding II LLC 2017-4A A1 2.12% 11/15/2029(c) | 526,593 | 521,745 |
| Coinstar Funding LLC Series 2017-1A A2 5.216% 4/25/2047(c) | 224,010 | 227,695 |
| Enterprise Fleet Financing LLC 2017-1 A3 2.60% 7/20/2022(c) | 275,000 | 273,999 |
See Notes to Financial Statements
SEQ.=1,FOLIO='',FILE='C:\JMS\105537\19-7873-5\task9367597\7873-5-bk-03.htm',USER='105537',CD='May 22 04:21 2019'
| Principal Amount | Fair Value | |
|---|---|---|
| BONDS & DEBENTURES Continued | ||
| GreatAmerica Leasing Receivables Funding LLC Series 2017-1 A4 2.36% 1/20/2023(c) | $ 177,000 | $ 175,837 |
| GreatAmerica Leasing Receivables Funding LLC Series 2018-1 A4 2.83% 6/17/2024 | 210,000 | 209,967 |
| GreatAmerica Leasing Receivables Funding LLC Series 2017-1 C 2.89% 1/22/2024(c) | 250,000 | 249,170 |
| Hertz Fleet Lease Funding LP 2018-1 A2 3.23% 5/10/2032(c) | 409,000 | 409,748 |
| John Deere Owner Trust 2018-B A4 3.23% 6/16/2025 | 620,000 | 629,126 |
| John Deere Owner Trust 2018 2018-A A4 2.91% 1/15/2025 | 598,000 | 601,982 |
| John Deere Owner Trust 2019 A A4 3.24% 1/15/2026 | 236,000 | 238,256 |
| Kubota Credit Owner Trust 2018-1A A3 3.10% 8/15/2022(c) | 1,009,000 | 1,012,617 |
| MMAF Equipment Finance LLC 2017-B A3 2.21% 10/17/2022(c) | 499,000 | 495,389 |
| NextGear Floorplan Master Owner Trust 2017-2A B 3.02% 10/17/2022(c) | 498,000 | 496,394 |
| NextGear Floorplan Master Owner Trust 2018-1A A2 3.22% 2/15/2023(c) | 300,000 | 300,915 |
| Prop Series 2017-1A 5.30% 3/15/2042(d) | 692,026 | 680,713 |
| Verizon Owner Trust 2017-2A B 2.22% 12/20/2021 | 645,000 | 640,195 |
| Verizon Owner Trust 2017-1A B 2.45% 9/20/2021(c) | 918,000 | 913,182 |
| Verizon Owner Trust 2018-1A B 3.05% 9/20/2022(c) | 553,000 | 555,755 |
| Verizon Owner Trust 2018-A B 3.38% 4/20/2023 | 593,000 | 603,294 |
| Verizon Owner Trust 2019 A A1A 2.93% 9/20/2023 | 652,000 | 657,009 |
| Verizon Owner Trust 2019 A B 3.02% 9/20/2023 | 296,000 | 298,488 |
| Volvo Financial Equipment LLC Series 2017-1A A4 2.21% 11/15/2021(c) | 159,000 | 157,825 |
| Volvo Financial Equipment LLC Series 2018-1A A3 2.54% 2/15/2022(c) | 987,000 | 985,246 |
| Wheels SPV 2 LLC 2018-1A A3 3.24% 4/20/2027(c) | 291,000 | 293,980 |
| $ 14,383,821 | ||
| OTHER 3.1% | ||
| Conn Funding II LP 2017-B B 4.52% 4/15/2021(c) | $ 109,678 | $ 110,007 |
| New Residential Advance Receivables Trust 2016-T4 AT4 3.107% 12/15/2050(c) | 1,345,000 | 1,346,395 |
| New Residential Advance Receivables Trust Advance Receivables Backed Notes 2017-T1 AT1 3.214% 2/15/2051(c) | 1,262,000 | 1,265,512 |
| New Residential Mortgage LLC 2018-FNT1 A 3.61% 5/25/2023(c) | 661,575 | 663,946 |
| New Residential Mortgage LLC 2018-FNT2 A 3.79% 7/25/2054(c) | 770,816 | 777,292 |
| NRZ Excess Spread-Collateralized Notes Series 2018-PLS1 A 3.193% 1/25/2023(c) | 330,298 | 328,792 |
| NRZ Excess Spread-Collateralized Notes Series 2018-PLS2 A 3.265% 2/25/2023(c) | 372,269 | 371,004 |
| Panhandle-Plains Student Finance Corp. 2001-1 A2 2.29% 12/1/2031(b)(d) | 500,000 | 496,875 |
| PFS Financing Corp. 2017-BA A2 2.22% 7/15/2022(c) | 588,000 | 581,118 |
| PFS Financing Corp. 2017-D A 2.40% 10/17/2022(c) | 430,000 | 427,287 |
| PFS Financing Corp. 2017-BA B 2.57% 7/15/2022(c) | 195,000 | 193,260 |
| PFS Financing Corp. 2017-D B 2.74% 10/17/2022(c) | 202,000 | 200,570 |
| PFS Financing Corp. 2018-B A 2.89% 2/15/2023(c) | 1,085,000 | 1,081,329 |
| PFS Financing Corp. 2018-B B 3.08% 2/15/2023(c) | 191,000 | 190,853 |
| PFS Financing Corp. 2018-D A 3.19% 4/17/2023(c) | 846,000 | 850,935 |
| PFS Financing Corp. 2018-D B 3.45% 4/17/2023(c) | 421,000 | 423,147 |
| PFS Financing Corp. 2018-F A 3.52% 10/16/2023(c) | 698,000 | 709,014 |
| PFS Financing Corp. 2018-F B 3.77% 10/16/2023(c) | 126,000 | 128,164 |
| Unison Ground Lease Funding LLC 2013-1 B 5.78% 3/15/2043(c)(d) | 349,000 | 346,647 |
| WCP ISSUER LLC 2013-1 B 6.657% 8/15/2043(c)(d) | 409,000 | 409,088 |
| $ 10,901,235 | ||
| TOTAL ASSET-BACKED SECURITIES (Cost $56,103,826) | $ 56,155,264 |
See Notes to Financial Statements
SEQ.=1,FOLIO='',FILE='C:\JMS\105537\19-7873-5\task9367597\7873-5-bk-03.htm',USER='105537',CD='May 22 04:21 2019'
| Principal Amount | Fair Value | |
|---|---|---|
| BONDS & DEBENTURES Continued | ||
| CORPORATE BONDS & NOTES 0.7% | ||
| COMMUNICATIONS 0.2% | ||
| Cisco Systems, Inc. 2.45% 6/15/2020 | $ 496,000 | $ 495,056 |
| CONSUMER, CYCLICAL 0.0% | ||
| Continental Airlines 2000-1 Class B Pass Through Trust 8.388% 5/1/2022 | $ 753 | $ 823 |
| Northwest Airlines 1999-2 Class C Pass Through Trust 8.304% 9/1/2010(d)(e) | 244,616 | |
| $ 823 | ||
| CONSUMER, NON-CYCLICAL 0.1% | ||
| StoneMor Partners LP / Cornerstone Family Services of West Virginia Subsidiary 7.875% 6/1/2021 | $ 540,000 | $ 485,527 |
| ENERGY 0.3% | ||
| Bristow Group, Inc. 8.75% 3/1/2023(c) | $ 287,000 | $ 208,793 |
| PHI, Inc. 5.25% 3/15/2019 | 1,309,000 | 814,852 |
| $ 1,023,645 | ||
| INDUSTRIAL 0.1% | ||
| Manitowoc Co., Inc. (The) 12.75% 8/15/2021(c) | $ 221,000 | $ 235,444 |
| TECHNOLOGY 0.0% | ||
| Oracle Corp. 3.875% 7/15/2020 | $ 21,000 | $ 21,346 |
| TOTAL CORPORATE BONDS & NOTES (Cost $2,993,707) | $ 2,261,841 | |
| CORPORATE BANK DEBT 1.5% | ||
| ABG Intermediate Holdings 2 LLC, 1M USD LIBOR + 7.750% 10.249% 9/29/2025(f) | $ 435,000 | $ 424,125 |
| BJ Services Inc. 3M USD LIBOR + 7.000% 9.65% 1/3/2023(d)(e)(f) | 1,150,000 | 1,138,989 |
| General Nutrition Centers, Inc., 1M USD LIBOR + 7.000% 9.50% 12/31/2022(f) | 376,000 | 380,072 |
| JC Penney Corp., Inc., 1M USD LIBOR + 4.250% 6.879% 6/23/2023(f) | 580,123 | 510,508 |
| Logix Holding Co. LLC TL 1L, 1M USD LIBOR + 5.750% 8.249% 12/22/2024(f) | 294,673 | 291,210 |
| MB2LTL, 3M USD LIBOR + 9.250% 11.88% 11/30/2023(d)(f) | 184,000 | 184,920 |
| OTGTL, 3M USD LIBOR 7.000% 9.744% 8/23/2021(d)(f) | 677,000 | 674,928 |
| SDTL, 11/22/2021(d)(f) | ||
| 1M USD LIBOR + 4.500% 6.999% | 156,472 | 156,108 |
| 6M USD LIBOR + 4.500% 7.383% | 161,500 | 161,124 |
| Transform SR Holdings LLC Term Loan B, 1M LIBOR + 7.250% 9.741% 2/11/2024(f) | 159,000 | 157,496 |
| Xplornet Communication, Inc., 3M USD LIBOR + 4.000% 6.601% 9/9/2021(f) | 552,217 | 554,525 |
| ZW1L, 1M USD LIBOR + 5.000% 7.50% 11/16/2022(d)(f) | 361,675 | 362,127 |
| ZW2L, 1M USD LIBOR + 9.000% 11.49% 11/16/2023(d)(f) | 130,000 | 130,651 |
| TOTAL CORPORATE BANK DEBT (Cost $5,163,160) | $ 5,126,783 | |
| U.S. TREASURIES 1.6% | ||
| U.S. Treasury Notes 1.875% 8/31/2022 | $ 1,937,000 | $ 1,914,679 |
| U.S. Treasury Notes 1.875% 9/30/2022 | 1,918,000 | 1,895,974 |
See Notes to Financial Statements
SEQ.=1,FOLIO='',FILE='C:\JMS\105537\19-7873-5\task9367597\7873-5-bk-03.htm',USER='105537',CD='May 22 04:21 2019'
| Principal Amount | Fair Value | |
|---|---|---|
| BONDS & DEBENTURES Continued | ||
| U.S. Treasury Notes 2.00% 7/31/2022 | $ 1,922,000 | $ 1,908,248 |
| TOTAL U.S. TREASURIES (Cost $5,573,165) | $ 5,718,901 | |
| TOTAL BONDS & DEBENTURES 32.8% (Cost $115,845,057) | $ 115,244,036 | |
| TOTAL INVESTMENT SECURITIES 95.5% (Cost $309,694,508) | $ 335,285,305 | |
| SHORT-TERM INVESTMENTS 4.4% | ||
| State Street Bank Repurchase Agreement 0.50% 4/1/2019 | ||
| (Dated 03/29/2019, repurchase price of $15,300,638, collateralized by $15,530,000 principal amount U.S. Treasury Notes - 2.125% - 2.375% 2022, fair value $15,609,173) | $ 15,300,000 | $ 15,300,000 |
| TOTAL SHORT-TERM INVESTMENTS (Cost $15,300,000) | $ 15,300,000 | |
| TOTAL INVESTMENTS 99.9% (Cost $324,994,508) | $ 350,585,305 | |
| Other Assets and Liabilities, net 0.1% | 325,829 | |
| NET ASSETS 100.0% NOTE 2 | $ 350,911,134 |
| (a) | Non-income producing security. |
|---|---|
| (b) | Variable/Floating Rate Security The rate shown is based on the latest available information as of March 31, 2019. 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) | 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 0.32% of total net assets at March 31, 2019. |
| (f) | Restricted securities. These restricted securities constituted 1.46% of total net assets at March 31, 2019, 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. |
See Notes to Financial Statements
SEQ.=1,FOLIO='',FILE='C:\JMS\105537\19-7873-5\task9367597\7873-5-bk-03.htm',USER='105537',CD='May 22 04:21 2019'
*SOURCE CAPITAL, INC.*
*PORTFOLIO OF INVESTMENTS RESTRICTED SECURITIES*
March 31, 2019
(Unaudited)
| Issuer | Acquisition Date (s) | Cost | Fair Value | Fair Value as a % of Net Assets |
|---|---|---|---|---|
| ABG Intermediate Holdings 2 LLC, 1M USD LIBOR + 7.750% 10.249% 9/29/2025 | 09/26/2017, 04/11/2018, 07/03/2018, 06/21/2018, 11/02/2018, 12/03/2018 | $ 434,569 | $ 424,125 | 0.12 % |
| BJ Services Inc. 3M USD LIBOR + 7.000% 9.65% 1/3/2023 | 1/28/2019 | 1,139,005 | 1,138,989 | 0.33 % |
| General Nutrition Centers, Inc., 1M USD LIBOR + 7.000% 9.50% 12/31/2022 | 12/21/2018 | 376,000 | 380,072 | 0.11 % |
| JC Penney Corp., Inc., 1M USD LIBOR + 4.250% 6.879% 6/23/2023 | 10/4/2017, 10/5/2017,10/6/2017, 10/11/2017, 11/19/18, 11/27/18 | 559,186 | 510,508 | 0.15 % |
| Logix Holding Co. LLC TL 1L, 1M USD LIBOR + 5.750% 8.249% 12/22/2024 | 08/11/2017 | 292,233 | 291,210 | 0.08 % |
| MB2LTL, 3M USD LIBOR + 9.250% 11.88% 11/30/2023 | 12/02/2016, 01/31/2017 | 181,949 | 184,920 | 0.05 % |
| OTGTL, 3M USD LIBOR 7.000% 9.744% 8/23/2021 | 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, 05/09/2018, 05/15/2018, 06/13/2018, 07/13/2018, 08/17/2018, 10/10/2018 | 669,996 | 674,928 | 0.19 % |
| SDTL, 11/22/2021 | ||||
| 1M USD LIBOR + 4.500% 6.999% | 12/22/2016 | 154,653 | 156,108 | 0.04 % |
| 6M USD LIBOR + 4.500% 7.383% | 12/22/2016 | 159,623 | 161,124 | 0.05 % |
| Transform SR Holdings LLC TL B, 1M USD LIBOR + 7.250% 9.741% 2/11/2024 | 2/11/2019, 2/19/2019 | 157,420 | 157,496 | 0.04 % |
| Xplornet Communication, Inc., 3M USD LIBOR + 4.000% 6.601% 9/9/2021 | 09/08/2016, 09/20/2016, 10/7/2016, 10/14/2016 05/22/2017, 10/18/2017 | 550,627 | 554,525 | 0.16 % |
| ZW1L, 1M USD LIBOR + 5.000% 7.50% 11/16/2022 | 11/17/2016 | 359,334 | 362,127 | 0.10 % |
| ZW2L, 1M USD LIBOR + 9.000% 11.49% 11/16/2023 | 11/17/2016 | 128,565 | 130,651 | 0.04 % |
| TOTAL RESTRICTED SECURITIES | $ 5,163,160 | $ 5,126,783 | 1.46 % |
See Notes to Financial Statements.
SEQ.=1,FOLIO='',FILE='C:\JMS\105192\19-7873-5\task9367532\7873-5-bk-05.htm',USER='105192',CD='May 22 03:08 2019'
*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 Advis er 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, 2019:
SEQ.=1,FOLIO='',FILE='C:\JMS\C905664\19-7873-5\task9368930\7873-5-bk-07.htm',USER='C905664',CD='May 22 23:04 2019'
| Investments | Level 1 | Level 2 | Level 3 | Total |
|---|---|---|---|---|
| Common Stocks | ||||
| Internet Media | $ 34,776,190 | | | $ 34,776,190 |
| Diversified Banks | 21,398,774 | | | 21,398,774 |
| Semiconductor Devices | 20,829,912 | | | 20,829,912 |
| Aircraft & Parts | 19,472,566 | | | 19,472,566 |
| Cable & Satellite | 16,872,940 | | | 16,872,940 |
| Cement & Aggregates | 13,427,559 | | | 13,427,559 |
| P&C Insurance | 12,558,449 | | | 12,558,449 |
| Electrical Components | 7,417,695 | | | 7,417,695 |
| Investment Companies | 7,252,471 | | | 7,252,471 |
| Infrastructure Software | 7,225,005 | | | 7,225,005 |
| Midstream - Oil & Gas | 6,529,863 | | | 6,529,863 |
| Banks | 5,967,520 | | | 5,967,520 |
| Insurance Brokers | 5,870,715 | | | 5,870,715 |
| Generic Pharmaceuticals | 5,485,774 | | | 5,485,774 |
| E-Commerce Discretionary | 5,384,187 | | | 5,384,187 |
| Mining Services | 5,280,573 | | | 5,280,573 |
| Consumer Finance | 5,186,263 | | | 5,186,263 |
| Home Improvement | 4,318,871 | | | 4,318,871 |
| Application Software | 2,644,104 | | | 2,644,104 |
| Food & Drug Stores | 2,047,795 | | | 2,047,795 |
| Base Metals | 694,144 | | | 694,144 |
| Closed End Fund | ||||
| Internet Media | 9,399,899 | | | 9,399,899 |
| Commercial Mortgage-Backed Securities | ||||
| Agency | | $ 202,974 | | 202,974 |
| Agency Stripped | | 7,939,205 | | 7,939,205 |
| Non-Agency | | 5,171,577 | | 5,171,577 |
| Residential Mortgage-Backed Securities | ||||
| Agency Collateralized Mortgage Obligation | | 5,752,397 | | 5,752,397 |
| Agency Pool Fixed Rate | | 17,179,557 | | 17,179,557 |
| Non-Agency Collateralized Mortgage Obligation | | 9,379,614 | $ 355,923 | 9,735,537 |
| Asset-Backed Securities | ||||
| Auto | | 10,063,654 | | 10,063,654 |
| Collateralized Loan Obligation | | 17,716,743 | | 17,716,743 |
| Credit Card | | 3,089,811 | | 3,089,811 |
| Equipment | | 13,703,108 | 680,713 | 14,383,821 |
| Other | | 9,648,625 | 1,252,610 | 10,901,235 |
| Corporate Bonds & Notes | | 2,261,841 | | 2,261,841 |
| Corporate Bank Debt | | 2,317,936 | 2,808,847 | 5,126,783 |
| U.S. Treasuries | | 5,718,901 | | 5,718,901 |
| Short-Term Investment | | 15,300,000 | | 15,300,000 |
| $ 220,041,269 | $ 125,445,943 | $ 5,098,093 | $ 350,585,305 |
SEQ.=1,FOLIO='',FILE='C:\JMS\C905664\19-7873-5\task9368930\7873-5-bk-07.htm',USER='C905664',CD='May 22 23:04 2019'
The following table summarizes the Funds Level 3 investment securities and related transactions during the period ended March 31, 2019:
| Investments | Beginning Value at December 31, 2018 | Net Realized and Unrealized Gains (Losses)* | Purchases | (Sales) | Gross Transfers In (Out) | Ending Value at March 31, 2019 | Net Change in Unrealized Appreciation (Depreciation) related to Investments held at March 31, 2019 | |||
|---|---|---|---|---|---|---|---|---|---|---|
| Residential Mortgage-Backed Securities Non-Agency Collateralized Mortgage Obligation | $ 353,935 | $ 1,988 | | | | $ 355,923 | $ 1,988 | |||
| Asset-Backed Securities Equipment | 883,324 | 3,706 | | $ (206,317 | ) | | 680,713 | 3,586 | ||
| Asset-Backed Securities Other | 1,252,402 | 208 | | | | 1,252,610 | (212 | ) | ||
| Corporate Bonds & Notes | 100,723 | (15,731 | ) | | (84,992 | ) | | | | |
| Corporate Bank Debt | 1,672,614 | 1,033 | $ 1,454,854 | (319,654 | ) | | 2,808,847 | (642 | ) | |
| $ 4,262,998 | $ (8,796 | ) | $ 1,454,854 | $ (610,963 | ) | | $ 5,098,093 | $ 4,720 |
Level 3 Valuation Process: 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 fair value as of the end of the reporting period. There were no transfers between Levels 1, 2, or 3 during the period ended March 31, 2019.
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, 2019:
| Financial Assets | Fair Value at March 31, 2019 | Valuation Technique(s) | Unobservable Inputs | Price/Range |
|---|---|---|---|---|
| Residential Mortgage-Backed Securities - Non-Agency Collateralized Mortgage Obligation | $ 355,923 | Third-Party Broker Quote (a) | Quotes/Prices | $ 100.26 |
| Asset-Backed Securities - Equipment | $ 680,713 | Third-Party Broker Quote (a) | Quotes/Prices | $ 98.37 |
| Asset-Backed Securities - Other | $ 1,252,610 | Third-Party Broker Quote (a) | Quotes/Prices | $ 99.33 - $100.02 |
| Corporate Bank Debt | $ 2,808,847 | Pricing Vendor | Prices | $ 99.04- $100.50 |
(a) The Third-Party Broker Quote technique involves obtaining an independent third-party broker quote for the security.
*NOTE 2 Federal Income Tax*
The cost of investment securities held at March 31, 2019 (excluding short-term investments), was $310,771,991 for federal income tax purposes. Net unrealized appreciation consists of:
| Gross unrealized appreciation: | $ | |
|---|---|---|
| Gross unrealized depreciation: | (11,352,886 | ) |
| Net unrealized appreciation: | $ 24,513,314 |
SEQ.=1,FOLIO='',FILE='C:\JMS\C905664\19-7873-5\task9368930\7873-5-bk-07.htm',USER='C905664',CD='May 22 23:04 2019'
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Regulatory Filings
2026
Jan 30
Regulatory Filings
2026
Jan 29
Regulatory Filings
2025
Nov 25
Interim / Quarterly Report
2025
Sep 8