N-Q 1 afmf_nq.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: 811-22449

 

 

 

American Funds Mortgage Fund

(Exact Name of Registrant as Specified in Charter)

 

One Market, Steuart Tower

Suite 2000

San Francisco, California 94105

(Address of Principal Executive Offices)

 

 

 

 

Registrant's telephone number, including area code: (415) 421-9360

 

Date of fiscal year end: August 31

 

Date of reporting period: November 30, 2013

 

 

 

 

 

Courtney R. Taylor

American Funds Mortgage Fund

One Market, Steuart Tower

Suite 2000

San Francisco, California 94105

(Name and Address of Agent for Service)

 

 

Copies to:

Michael Glazer

Bingham McCutchen LLP

355 South Grand Avenue, Suite 4400

Los Angeles, California 90071

(Counsel for the Registrant)

 
 

 

ITEM 1 – Schedule of Investments

 

 

AF_ColorLogo_Letterhead

 

 

 

 

American Funds Mortgage Fund®

Investment portfolio

November 30, 2013

 

unaudited

Bonds, notes & other debt instruments  96.48%    
Mortgage-backed obligations  71.69% Principal amount Value
Federal agency mortgage-backed obligations1  65.06% (000) (000)
     
Fannie Mae 3.417% 20172 $     334 $     357
Fannie Mae 3.50% 2025 840 887
Fannie Mae 3.50% 2026 1,009 1,065
Fannie Mae 4.50% 2026 4,388 4,680
Fannie Mae 2.50% 2027 622 624
Fannie Mae 2.50% 2027 295 296
Fannie Mae 2.50% 2028 5,112 5,110
Fannie Mae 2.50% 2033 4,804 4,582
Fannie Mae 2.50% 2033 1,289 1,229
Fannie Mae 3.00% 2033 1,443 1,402
Fannie Mae 3.00% 2038 6,852 6,630
Fannie Mae 3.00% 2038 3,410 3,317
Fannie Mae 5.50% 2039 228 250
Fannie Mae 6.00% 2039 454 501
Fannie Mae 3.245% 20402 1,851 1,971
Fannie Mae 3.553% 20402 941 1,003
Fannie Mae 4.194% 20402 837 889
Fannie Mae 4.50% 2040 269 288
Fannie Mae 5.00% 2040 3,169 3,360
Fannie Mae 5.00% 2040 2,068 2,192
Fannie Mae 3.426% 20412 1,165 1,229
Fannie Mae 3.51% 20412 340 355
Fannie Mae 3.771% 20412 2,295 2,448
Fannie Mae 4.50% 2041 816 873
Fannie Mae 3.00% 2042 28,916 27,979
Fannie Mae 3.00% 2042 3,357 3,248
Fannie Mae 3.50% 2042 4,990 5,041
Fannie Mae 3.50% 2042 2,085 2,107
Fannie Mae 3.50% 2042 482 480
Fannie Mae 3.50% 2042 275 274
Fannie Mae 3.50% 2042 72 71
Fannie Mae 3.50% 2042 9 9
Fannie Mae 2.275% 2043 212 187
Fannie Mae 2.275% 2043 138 122
Fannie Mae 2.275% 2043 130 115
Fannie Mae 2.275% 2043 122 108
Fannie Mae 2.275% 2043 121 107
Fannie Mae 2.275% 2043 93 82
Fannie Mae 2.515% 20432 1,050 1,049
Fannie Mae 2.525% 2043 358 330
Fannie Mae 2.525% 2043 303 279
Fannie Mae 2.525% 2043 241 222
Fannie Mae 2.525% 2043 194 179
Bonds, notes & other debt instruments    
  Principal amount Value
Mortgage-backed obligations — Federal agency mortgage-backed obligations1  (continued) (000) (000)
     
Fannie Mae 2.525% 2043 $     176 $     162
Fannie Mae 2.525% 2043 158 146
Fannie Mae 2.525% 2043 145 134
Fannie Mae 2.525% 2043 137 126
Fannie Mae 2.525% 2043 133 122
Fannie Mae 2.525% 2043 125 115
Fannie Mae 2.525% 2043 113 104
Fannie Mae 2.525% 2043 107 99
Fannie Mae 2.525% 2043 95 87
Fannie Mae 2.525% 2043 91 84
Fannie Mae 2.525% 2043 90 83
Fannie Mae 2.525% 2043 90 83
Fannie Mae 2.525% 2043 77 71
Fannie Mae 2.525% 2043 77 71
Fannie Mae 2.525% 2043 76 70
Fannie Mae 2.525% 2043 70 65
Fannie Mae 2.775% 2043 851 785
Fannie Mae 2.775% 2043 545 503
Fannie Mae 2.775% 2043 494 456
Fannie Mae 2.775% 2043 421 389
Fannie Mae 2.775% 2043 400 369
Fannie Mae 2.775% 2043 394 364
Fannie Mae 2.775% 2043 378 349
Fannie Mae 2.775% 2043 237 219
Fannie Mae 2.775% 2043 164 151
Fannie Mae 2.775% 2043 148 136
Fannie Mae 2.775% 2043 143 132
Fannie Mae 2.775% 2043 134 124
Fannie Mae 2.775% 2043 130 120
Fannie Mae 2.775% 2043 116 107
Fannie Mae 2.775% 2043 112 103
Fannie Mae 2.775% 2043 111 103
Fannie Mae 2.775% 2043 61 57
Fannie Mae 2.775% 2043 56 51
Fannie Mae 3.00% 2043 23,958 23,181
Fannie Mae 3.00% 2043 23,262 22,508
Fannie Mae 3.00% 2043 19,500 18,811
Fannie Mae 3.00% 2043 12,831 12,415
Fannie Mae 3.00% 2043 10,115 9,787
Fannie Mae 3.025% 2043 396 384
Fannie Mae 3.025% 2043 284 274
Fannie Mae 3.025% 2043 235 227
Fannie Mae 3.025% 2043 211 204
Fannie Mae 3.025% 2043 186 180
Fannie Mae 3.025% 2043 151 146
Fannie Mae 3.025% 2043 123 119
Fannie Mae 3.025% 2043 120 116
Fannie Mae 3.025% 2043 113 109
Fannie Mae 3.025% 2043 99 95
Fannie Mae 3.025% 2043 98 94
Fannie Mae 3.025% 2043 95 92
Fannie Mae 3.025% 2043 93 90
Fannie Mae 3.025% 2043 86 83
Fannie Mae 3.025% 2043 49 48
Bonds, notes & other debt instruments    
  Principal amount Value
Mortgage-backed obligations — Federal agency mortgage-backed obligations1  (continued) (000) (000)
     
Fannie Mae 3.275% 2043 $     241 $     233
Fannie Mae 3.275% 2043 200 193
Fannie Mae 3.275% 2043 175 170
Fannie Mae 3.275% 2043 139 134
Fannie Mae 3.275% 2043 131 126
Fannie Mae 3.275% 2043 130 126
Fannie Mae 3.275% 2043 80 77
Fannie Mae 3.275% 2043 67 65
Fannie Mae 3.275% 2043 36 35
Fannie Mae 3.50% 2043 13,466 13,617
Fannie Mae 3.50% 2043 1,055 1,051
Fannie Mae 3.50% 2043 788 785
Fannie Mae 3.50% 2043 463 461
Fannie Mae 3.50% 2043 255 254
Fannie Mae 3.50% 2043 222 221
Fannie Mae 3.50% 2043 190 189
Fannie Mae 3.50% 2043 157 156
Fannie Mae 3.50% 2043 113 113
Fannie Mae 3.50% 2043 41 41
Fannie Mae 4.00% 2043 9,948 10,283
Fannie Mae 4.00% 2043 8,818 9,256
Fannie Mae 4.00% 2043 8,017 8,404
Fannie Mae 4.50% 2043 47,426 50,629
Fannie Mae 4.50% 2044 15,067 16,037
Fannie Mae 3.50% 2053 2,959 2,944
Government National Mortgage Assn. 4.00% 2032 1,345 1,381
Government National Mortgage Assn. 4.00% 2032 997 1,034
Government National Mortgage Assn. 6.50% 2032 2,622 2,968
Government National Mortgage Assn. 5.00% 2035 1,652 1,810
Government National Mortgage Assn. 3.75% 2037 918 930
Government National Mortgage Assn. 6.50% 2037 453 515
Government National Mortgage Assn. 5.00% 2038 1,090 1,187
Government National Mortgage Assn. 6.50% 2038 935 1,066
Government National Mortgage Assn. 6.50% 2038 574 652
Government National Mortgage Assn. 6.50% 2038 317 361
Government National Mortgage Assn. 4.50% 2039 1,144 1,232
Government National Mortgage Assn. 6.00% 2039 13,747 15,449
Government National Mortgage Assn. 3.50% 2040 1,354 1,386
Government National Mortgage Assn. 4.50% 2040 389 408
Government National Mortgage Assn. 5.50% 2040 12,425 13,933
Government National Mortgage Assn. 3.50% 2041 1,171 1,198
Government National Mortgage Assn. 4.00% 2041 1,488 1,524
Government National Mortgage Assn. 4.50% 2041 4,432 4,804
Government National Mortgage Assn. 4.50% 2041 2,831 3,060
Government National Mortgage Assn. 4.50% 2041 2,291 2,398
Government National Mortgage Assn. 4.50% 2041 1,847 2,003
Government National Mortgage Assn. 4.50% 2041 1,726 1,872
Government National Mortgage Assn. 4.50% 2041 1,738 1,819
Government National Mortgage Assn. 5.00% 2041 8,036 8,754
Government National Mortgage Assn. 5.00% 2041 3,723 3,930
Government National Mortgage Assn. 6.50% 2041 1,455 1,579
Government National Mortgage Assn. 2.75% 2042 979 911
Government National Mortgage Assn. 2.75% 2042 951 884
Government National Mortgage Assn. 2.75% 2042 547 508
Bonds, notes & other debt instruments    
  Principal amount Value
Mortgage-backed obligations — Federal agency mortgage-backed obligations1  (continued) (000) (000)
     
Government National Mortgage Assn. 2.75% 2042 $     511 $     475
Government National Mortgage Assn. 2.75% 2042 501 466
Government National Mortgage Assn. 2.75% 2042 481 447
Government National Mortgage Assn. 2.75% 2042 212 197
Government National Mortgage Assn. 3.50% 2042 1,082 1,107
Government National Mortgage Assn. 3.50% 2042 972 995
Government National Mortgage Assn. 4.00% 2042 3,922 4,156
Government National Mortgage Assn. 4.00% 2042 1,961 2,074
Government National Mortgage Assn. 4.00% 2042 1,502 1,562
Government National Mortgage Assn. 4.00% 2042 1,068 1,130
Government National Mortgage Assn. 4.50% 2042 3,166 3,430
Government National Mortgage Assn. 3.50% 2043 1,353 1,385
Government National Mortgage Assn. 3.50% 2043 1,265 1,295
Government National Mortgage Assn. 4.00% 2043 18,315 19,357
Government National Mortgage Assn. 4.00% 2043 3,367 3,479
Government National Mortgage Assn. 4.50% 2043 13,966 15,101
Government National Mortgage Assn. 5.00% 2043 13,310 14,485
Freddie Mac 3.00% 2026 1,046 1,078
Freddie Mac 5.50% 2037 621 674
Freddie Mac 5.50% 2037 157 170
Freddie Mac 5.00% 2038 1,809 1,955
Freddie Mac 5.50% 2038 3,055 3,316
Freddie Mac 5.50% 2038 426 463
Freddie Mac 6.00% 2038 748 822
Freddie Mac 3.827% 20392 1,029 1,100
Freddie Mac 5.50% 2039 1,193 1,295
Freddie Mac 5.50% 2039 804 873
Freddie Mac 6.00% 2039 693 763
Freddie Mac 3.084% 20402 179 188
Freddie Mac 4.50% 2040 121 130
Freddie Mac 2.833% 20412 304 318
Freddie Mac 3.233% 20412 2,146 2,246
Freddie Mac 3.405% 20412 221 233
Freddie Mac 4.00% 2041 638 665
Freddie Mac 4.50% 2041 6,374 6,792
Freddie Mac 4.50% 2041 2,065 2,208
Freddie Mac 5.00% 2041 1,106 1,206
Freddie Mac 2.561% 20422 976 980
Freddie Mac 3.50% 2042 360 359
Freddie Mac 2.352% 20432 8,862 8,780
Freddie Mac 3.50% 2043 242 241
Freddie Mac 3.50% 2043 216 215
Freddie Mac 3.50% 2043 174 173
Freddie Mac 3.50% 2043 164 163
Freddie Mac 4.00% 2043 11,928 12,472
Freddie Mac 4.00% 2043 6,293 6,566
Freddie Mac 4.00% 2043 3,146 3,290
Freddie Mac 4.00% 2043 2,473 2,581
Freddie Mac 4.00% 2043 2,362 2,470
Freddie Mac 4.00% 2043 854 893
Freddie Mac 4.00% 2043 821 857
Freddie Mac 4.00% 2043 587 612
Freddie Mac 4.00% 2043 547 571
Freddie Mac 4.00% 2043 465 485
Bonds, notes & other debt instruments    
  Principal amount Value
Mortgage-backed obligations — Federal agency mortgage-backed obligations1  (continued) (000) (000)
     
Freddie Mac 4.00% 2043 $   449 $          468
Freddie Mac 4.00% 2043 245 255
Freddie Mac 4.00% 2043 211 221
Freddie Mac 4.00% 2043 139 145
National Credit Union Administration, Series 2010-R2, Class 1A, 0.539% 20172 67 67
National Credit Union Administration, Series 2011-R2, Class 1A, 0.569% 20202 241 242
National Credit Union Administration, Series 2011-R3, Class 1A, 0.569% 20202 183 184
National Credit Union Administration, Series 2011-R1, Class 1A, 0.619% 20202 143 143
    518,855
Commercial mortgage-backed securities1  3.53%    
     
ML-CFC Commercial Mortgage Trust, Series 2006-2, Class A-1-A, 6.079% 20462 3,090 3,413
ML-CFC Commercial Mortgage Trust, Series 2006-4, Class A1A, 5.166% 20492 4,243 4,661
Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A1A, 5.904% 20432 3,697 4,074
Morgan Stanley Capital I Trust, Series 2006-IQ12, Class A1A, 5.319% 2043 3,450 3,799
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW14, Class A1A, 5.189% 2038 949 1,046
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW12, Class A1A, 5.892% 20382 468 515
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW16, Class A1A, 5.898% 20402 581 658
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-T28, Class A-1A, 5.71% 20422 1,027 1,162
Hilton USA Trust, Series 2013-HLF, AFX, 2.6621% 20303 3,185 3,198
LB-UBS Commercial Mortgage Trust, Series 2006-C3, Class A1A, 5.641% 20392 993 1,082
Banc of America Commercial Mortgage Inc., Series 2006-1, Class A1A, 5.378% 20452 968 1,048
Morgan Stanley Capital I Trust, Series 2007-TA27, Class A-1-A, 5.814% 20422 889 1,007
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB-16, Class A1A, 5.546% 2045 901 995
Commercial Mortgage Trust, Series 2006-C8, Class A1A, 5.292% 2046 862 953
Morgan Stanley Capital I Trust, Series 2007-IQ13, Class A-1A, 5.312% 2044 455 502
    28,113
Other mortgage-backed securities1  3.10%    
     
Westpac Banking Corp. 1.375% 20153 500 507
Westpac Banking Corp. 2.45% 20163 375 392
Westpac Banking Corp. 1.25% 20183 600 595
Westpac Banking Corp. 1.85% 20183 900 899
Westpac Banking Corp. 1.375% 20193 700 684
Sparebank 1 Boligkreditt AS 2.625% 20173 400 418
Sparebank 1 Boligkreditt AS 2.30% 20183 550 571
Sparebank 1 Boligkreditt AS 1.25% 20193 1,000 982
Sparebank 1 Boligkreditt AS 1.75% 20203 1,125 1,090
National Australia Bank 2.00% 20173 500 513
National Australia Bank 1.25% 20183 420 414
National Australia Bank 2.00% 20193 825 828
UBS AG 1.875% 20153 400 407
UBS AG 0.75% 20173 700 700
UBS AG 2.25% 20173 450 465
Royal Bank of Canada 1.125% 2017 750 755
Royal Bank of Canada 2.00% 2019 700 709
Swedbank AB 2.125% 20163 325 336
Swedbank AB 2.95% 20163 300 315
Swedbank AB 1.375% 20183 700 693
Bank of Montreal 1.30% 20143 550 555
Bank of Montreal 2.625% 20163 650 679
Bank of Nova Scotia 1.25% 20143 400 404
Bank of Nova Scotia 2.15% 20163 350 363
Bank of Nova Scotia 1.75% 20173 425 435
Bonds, notes & other debt instruments    
  Principal amount Value
Mortgage-backed obligations — Other mortgage-backed securities1 (continued) (000) (000)
     
Australia & New Zealand Banking Group Ltd. 1.00% 20153 $     500 $          504
Australia & New Zealand Banking Group Ltd. 2.40% 20163 500 521
Barclays Bank PLC 2.50% 20153 550 568
Barclays Bank PLC 2.25% 20173 375 390
Commonwealth Bank of Australia 0.75% 20163 500 501
Commonwealth Bank of Australia 2.25% 20173 425 440
National Bank of Canada 1.65% 20143 500 501
National Bank of Canada 2.20% 20163 350 364
Northern Rock PLC 5.625% 20173 725 828
HSBC Bank PLC 1.625% 20153 700 706
DnB NOR ASA 1.45% 20193 700 697
Skandinaviska Enskilda 1.375% 20183 700 692
Credit Mutuel-CIC Home Loan SFH 1.50% 20173 600 601
Credit Suisse Group AG 2.60% 20163 500 523
Nordea Eiendomskreditt AS 2.125% 20173 500 518
Stadshypotek AB 1.875% 20193 525 516
Canadian Imperial Bank of Commerce 2.75% 20163 400 419
Toronto-Dominion Bank 1.625% 20163 400 409
Caisse Centrale Desjardins 1.60% 20173 350 357
    24,764
Total mortgage-backed obligations   571,732
U.S. Treasury bonds & notes  13.14%    
U.S. Treasury  7.90%    
     
U.S. Treasury 0.25% 2015 7,250 7,245
U.S. Treasury 1.50% 2016 8,750 8,995
U.S. Treasury 2.50% 20234 5,000 4,907
U.S. Treasury 2.75% 2023 26,900 26,923
U.S. Treasury 2.875% 2043 4,000 3,320
U.S. Treasury 3.625% 2043 12,000 11,604
    62,994
U.S. Treasury inflation-protected securities5  5.24%    
     
U.S. Treasury Inflation-Protected Security 2.00% 2014 10,137 10,128
U.S. Treasury Inflation-Protected Security 0.50% 2015 12,965 13,214
U.S. Treasury Inflation-Protected Security 0.125% 2022 2,311 2,255
U.S. Treasury Inflation-Protected Security 0.125% 2023 5,295 5,092
U.S. Treasury Inflation-Protected Security 0.625% 2043 14,003 11,065
    41,754
Total U.S. Treasury bonds & notes   104,748
Federal agency bonds & notes  10.52%    
     
Freddie Mac 0.375% 2014 5,850 5,853
Freddie Mac 1.00% 2017 575 577
Freddie Mac 1.25% 2019 2,330 2,243
Freddie Mac, Series K501, Class A1, multifamily 1.337% 20161 410 415
Freddie Mac, Series K702, Class A1, multifamily 2.084% 20171 177 182
Freddie Mac, Series K711, Class A1, multifamily 1.321% 20181 554 560
Freddie Mac, Series K705, Class A2, multifamily 2.303% 20181 199 204
Freddie Mac, Series K706, Class A2, multifamily 2.323% 20181 850 872
Bonds, notes & other debt instruments    
  Principal amount Value
Federal agency bonds & notes  (continued) (000) (000)
     
Freddie Mac, Series K704, Class A2, multifamily 2.412% 20181 $     350 $        362
Freddie Mac, Series K702, Class A2, multifamily 3.154% 20181 236 252
Freddie Mac, Series K711, Class A2, multifamily 1.73% 20191 575 564
Freddie Mac, Series K712, Class A2, multifamily 1.869% 20191 535 526
Freddie Mac, Series K709, Class A2, multifamily 2.086% 20191 475 479
Freddie Mac, Series KF02, Class A-3, multifamily 0.83% 20201,2 7,885 7,900
Freddie Mac, Series K015, Class A1, multifamily 2.257% 20201 286 293
Freddie Mac, Series K014, Class A1, multifamily 2.788% 20201 371 391
Freddie Mac, Series K013, Class A1, multifamily 2.902% 20201 2,504 2,620
Freddie Mac, Series K010, Class A1, multifamily 3.32% 20201 232 248
Freddie Mac, Series KGRP, Class A, multifamily 0.546% 20201,2 2,865 2,871
Freddie Mac, Series K019, Class A1, multifamily 1.459% 20211 467 460
Freddie Mac, Series K017, Class A2, multifamily 2.873% 20211 425 426
Freddie Mac, Series K022, Class A1, multifamily 1.583% 20221 585 578
Freddie Mac, Series KS01, Class A1, multifamily 1.693% 20221 289 289
Freddie Mac, Series K025, Class A1, multifamily 1.875% 20221 614 613
Freddie Mac, Series K023, Class A2, multifamily 2.307% 20221 2,050 1,933
Freddie Mac, Series K022, Class A2, multifamily 2.355% 20221 575 545
Freddie Mac, Series K020, Class A2, multifamily 2.373% 20221 2,555 2,438
Freddie Mac, Series K021, Class A2, multifamily 2.396% 20221 2,005 1,915
Freddie Mac, Series K024, Class A2, multifamily 2.573% 20221 705 675
Freddie Mac, Series K031, Class A1, multifamily 2.778% 20221 841 875
Freddie Mac, Series K030, Class A1, multifamily 2.779% 20221 600 623
Freddie Mac, Series K029, Class A1, multifamily 2.839% 20221 744 776
Freddie Mac, Series KS01, Class A2, multifamily 2.522% 20231 1,275 1,220
Freddie Mac, Series K035, Class A1, multifamily 2.615% 20231,6 850 864
Freddie Mac, Series K028, Class A2, multifamily 3.111% 20231 700 697
Freddie Mac, Series K030, Class A2, multifamily 3.25% 20231,2 1,257 1,262
Freddie Mac, Series K031, Class A2, multifamily 3.30% 20231,2 7,596 7,644
Freddie Mac, Series K032, Class A2, multifamily 3.31% 20231,2 4,250 4,275
Freddie Mac, Series K029, Class A2, multifamily 3.32% 20231,2 600 607
Freddie Mac, Series K035, Class A2, multifamily 3.458% 20231,2,6 12,000 12,146
Freddie Mac, Series K034, Class A-2, multifamily 3.531% 20231,2 9,835 10,033
Fannie Mae, Series 2012-M14, multifamily 1.114% 20171 550 550
Fannie Mae, Series 2012-M9, multifamily 1.513% 20171 525 527
Fannie Mae, Series 2012-M5, Class A1, multifamily 1.787% 20221 434 436
Fannie Mae, Series 2013-M4, multifamily 2.608% 20221 700 685
Fannie Mae, Series 2012-M2, Class A2, multifamily 2.717% 20221 425 419
Fannie Mae, Series 2012-M3, Class 1-A2, multifamily 3.044% 20221 425 429
Fannie Mae, Series 2013-M14, Class A2, multifamily 3.329% 20231,2 690 688
Tennessee Valley Authority 1.875% 2022 1,650 1,491
Federal Home Loan Bank 5.50% 2036 300 355
    83,886
Municipals  1.13%    
     
State of Minnesota, Housing Finance Agency., Homeownership Finance Bonds    
(GNMA and FNMA Pass-Through Program), Series 2012-B, 2.25% 20421 1,231 1,190
State of Minnesota, Housing Finance Agency., Homeownership Finance Bonds    
(GNMA and FNMA Pass-Through Program), Series 2013-A, 2.35% 20431 1,258 1,223
State of Kentucky, Housing Corp., Housing Revenue Bonds, Series 2013-D, 3.50% 2033 1,345 1,417
State of Oklahoma, Housing Finance Agency, Single-family Mortgage Revenue Bonds    
(Homeownership Loan Program), Series 2012-A, 5.00% 2043 975 1,087
State of New Mexico, Mortgage Finance Authority, Single-family Mortgage Program Revenue Refunding Bonds,    
Series 2012-B-1, Class I, AMT, 3.75% 2043 705 739
Bonds, notes & other debt instruments    
  Principal amount Value
Municipals  (continued) (000) (000)
     
State of Iowa, Finance Authority, Single-family Mortgage Bonds (Mortgage-backed Securities Program),    
Series 2013-1, 2.15% 20431 $     734 $          705
State of Illinois, Housing Development Authority, Housing Revenue Bonds, Series 2013-A, 2.45% 20431 628 585
State of Georgia, Housing and Finance Authority, Single-family Mortgage Bonds, Series 2013-A, 3.00% 2043 540 562
State of Mississippi, Home Corp., Single-family Mortgage Revenue Bonds, Series 2009-A-2, 5.00% 2039 500 541
State of Florida, Housing Finance Corp., Homeowner Mortgage Revenue Bonds, Series 2011-C, 4.50% 2030 330 357
State of Connecticut, Housing Finance Authority,    
Housing Mortgage Finance Program Revenue Refunding Bonds, Series 2013-B-2, 4.00% 2032 250 269
State of Washington, Housing Finance Commission, Single-family Program Revenue Refunding Bonds,    
Series 2013-1-N, 3.00% 2043 160 166
State of Missouri, Housing Development Commission, Single-family Mortgage Revenue Bonds    
(Homeownership Loan Program), Series 2004-A-1, AMT, 5.15% 2034 150 153
    8,994
Total bonds, notes & other debt instruments (cost: $766,871,000)   769,360
Short-term securities  9.17%    
     
National Rural Utilities Cooperative Finance Corp. 0.09% due 1/8/2014 15,500 15,498
Fannie Mae 0.08%–0.10% due 1/2–1/6/2014 13,300 13,300
Wells Fargo & Co. 0.17%–0.18% due 12/16–12/17/2013 11,300 11,299
John Deere Financial Ltd. 0.09% due 1/22/20143 6,700 6,699
Freddie Mac 0.115% due 1/14/2014 6,400 6,399
Federal Home Loan Bank 0.15% due 12/19/2013 5,800 5,800
Google Inc. 0.06% due 12/10/20133 5,000 5,000
Chevron Corp. 0.09% due 12/3/20133 3,900 3,900
Medtronic Inc. 0.07% due 12/10/20133 2,700 2,700
Merck & Co. Inc. 0.06% due 12/6/20133 2,500 2,500
Total short-term securities (cost: $73,094,000)   73,095
Total investment securities (cost: $839,965,000)   842,455
Other assets less liabilities   (45,018)
Net assets   $797,437

 

 

Interest rate swaps

 

The fund has entered into interest rate swaps as shown in the following table. The average notional amount of interest rate swaps was $29,280,000 over the prior five-month period.

 

          Unrealized
          (depreciation)
          appreciation
Pay/receive       Notional amount at 11/30/2013
floating rate Floating rate index Fixed rate Expiration date (000) (000)
           
Receive 3-month USD-LIBOR 1.039% 11/26/2017  $  2,400 $      —*
Receive 3-month USD-LIBOR 1.5125 7/22/2018  10,000 (91)
Receive 3-month USD-LIBOR 1.5775 8/6/2018  10,000 (114)
Receive 3-month USD-LIBOR 1.5625 8/9/2018  2,500 (27)
Receive 3-month USD-LIBOR 2.74125 11/22/2023  4,000 29
Receive 3-month USD-LIBOR 2.807 11/27/2023  5,000 7
          $(196)

*Amount less than one thousand.

 

1Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date.
2Coupon rate may change periodically.
3Acquired in a transaction exempt from registration under Rule 144A or section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $47,297,000, which represented 5.93% of the net assets of the fund.
4A portion of this security was pledged as collateral for net losses on unsettled interest rate swaps. The total value of pledged collateral was $1,126,000, which represented .14% of the net assets of the fund.
5Index-linked bond whose principal amount moves with a government price index.
6Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities was $13,010,000, which represented 1.63% of the net assets of the fund.

Valuation disclosures

 

Capital Research and Management Company (“CRMC”), the fund’s investment adviser, values the fund’s investments at fair value as defined by accounting principles generally accepted in the United States of America. The net asset value of each share class of the fund is generally determined as of approximately 4:00 p.m. New York time each day the New York Stock Exchange is open. Security transactions are recorded by the fund as of the date the trades are executed with brokers.

 

Methods and inputs — The fund’s investment adviser uses the following methods and inputs to establish the fair value of the fund’s assets and liabilities. Use of particular methods and inputs may vary over time based on availability and relevance as market and economic conditions evolve.

 

Fixed-income securities, including short-term securities purchased with more than 60 days left to maturity, are generally valued at prices obtained from one or more pricing vendors. Vendors value such securities based on one or more of the inputs described in the following table. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed-income securities in which the fund is authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income security.

 

Fixed-income class Examples of standard inputs
All Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred to as “standard inputs”)
Bonds & notes of governments & government agencies Standard inputs and interest rate volatilities
Mortgage-backed; asset-backed obligations Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information
Municipal securities Standard inputs and, for certain distressed securities, cash flows or liquidation values using a net present value calculation based on inputs that include, but are not limited to, financial statements and debt contracts

 

When the fund’s investment adviser deems it appropriate to do so (such as when vendor prices are unavailable or not deemed to be representative), fixed-income securities will be valued in good faith at the mean quoted bid and ask prices that are reasonably and timely available (or bid prices, if ask prices are not available) or at prices for securities of comparable maturity, quality and type.

 

Short-term securities purchased within 60 days to maturity are valued at amortized cost, which approximates fair value. The value of short-term securities originally purchased with maturities greater than 60 days is determined based on an amortized value to par when they reach 60 days. Interest rate swaps are generally valued by pricing vendors based on market inputs that include the index and term of index, reset frequency, payer/receiver, currency and pay frequency.

 

Securities and other assets for which representative market quotations are not readily available or are considered unreliable by the fund’s investment adviser are fair valued as determined in good faith under fair valuation guidelines adopted by authority of the fund’s board of trustees as further described. The investment adviser follows fair valuation guidelines, consistent with U.S. Securities and Exchange Commission rules and guidance, to consider relevant principles and factors when making fair value determinations. The investment adviser considers relevant indications of value that are reasonably and timely available to it in determining the fair value to be assigned to a particular security, such as 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 that would have been used had greater market activity occurred.

 

Processes and structure — The fund’s board of trustees has delegated authority to the fund’s investment adviser to make fair value determinations, subject to board oversight. The investment adviser has established a Joint Fair Valuation Committee (the “Fair Valuation Committee”) to administer, implement and oversee the fair valuation process, and to make fair value decisions. The Fair Valuation Committee regularly reviews its own fair value decisions, as well as decisions made under its standing instructions to the investment adviser’s valuation teams. The Fair Valuation Committee reviews changes in fair value measurements from period to period and may, as deemed appropriate, update the fair valuation guidelines to better reflect the results of back testing and address new or evolving issues. The Fair Valuation Committee reports any changes to the fair valuation guidelines to the board of trustees with supplemental information to support the changes. The fund’s board and audit committee also regularly review reports that describe fair value determinations and methods.

 

The fund’s investment adviser has also established a Fixed-Income Pricing Review Group to administer and oversee the fixed-income valuation process, including the use of fixed-income pricing vendors. This group regularly reviews pricing vendor information and market data. Pricing decisions, processes and controls over security valuation are also subject to additional internal reviews, including an annual control self-evaluation program facilitated by the investment adviser’s compliance group.

 

Classifications — The fund’s investment adviser classifies the fund’s assets and liabilities into three levels based on the inputs used to value the assets or liabilities. Level 1 values are based on quoted prices in active markets for identical securities. Level 2 values are based on significant observable market inputs, such as quoted prices for similar securities and quoted prices in inactive markets. Level 3 values are based on significant unobservable inputs that reflect the investment adviser’s determination of assumptions that market participants might reasonably use in valuing the securities. The valuation levels are not necessarily an indication of the risk or liquidity associated with the underlying investment. For example, U.S. government securities are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market. At November 30, 2013, all of the fund’s investments were classified as Level 2.

Federal income tax information (dollars in thousands)
   
Gross unrealized appreciation on investment securities  $    7,067
Gross unrealized depreciation on investment securities  (4,787)
Net unrealized appreciation on investment securities  2,280
Cost of investment securities for federal income tax purposes  840,175

 

 

 

 

Investments are not FDIC-insured, nor are they deposits of or guaranteed by a bank or any other entity, so they may lose value.

 

Investors should carefully consider investment objectives, risks, charges and expenses. This and other important information is contained in the fund prospectus and summary prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call American Funds Service Company (AFS) at (800) 421-4225 or visit the American Funds website at americanfunds.com.

 

 

 

MFGEFPX-042-0114O-S37630

 

 

ITEM 2 – Controls and Procedures

 

The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures (as such term is defined in Rule 30a-3 under the Investment Company Act of 1940), that such controls and procedures are adequate and reasonably designed to achieve the purposes described in paragraph (c) of such rule.

 

There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the Registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

 

ITEM 3 – Exhibits

 

The certifications required by Rule 30a-2 of the Investment Company Act of 1940 and Section 302 of the Sarbanes-Oxley Act of 2002 are attached as exhibits hereto.

 

 
 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

  AMERICAN FUNDS MORTGAGE FUND
   
  By /s/ Wesley K.-S. Phoa
 

Wesley K.-S. Phoa, President and

Principal Executive Officer

   
  Date: January 28, 2014

 

 

 

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/ Wesley K.-S. Phoa

Wesley K.-S. Phoa, President and

Principal Executive Officer

 
Date: January 28, 2014

 

 

 

By /s/ Brian C. Janssen

Brian C. Janssen, Treasurer and

Principal Financial Officer

 
Date: January 28, 2014