SOURCE CAPITAL, INC.
PORTFOLIO OF INVESTMENTS
September 30, 2019
(Unaudited)
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Shares |
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Fair Value |
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COMMON STOCKS |
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|
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| |
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INTERNET MEDIA — 9.7% |
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|
|
| |
|
Alphabet, Inc. (Class A)(a) |
|
7,289 |
|
$ |
8,900,890 |
|
|
Alphabet, Inc. (Class C)(a) |
|
7,336 |
|
8,942,584 |
| |
|
Baidu, Inc. (ADR) (China)(a) |
|
53,570 |
|
5,504,853 |
| |
|
Facebook, Inc. (Class A)(a) |
|
48,630 |
|
8,660,030 |
| |
|
Naspers, Ltd. (N Shares) (South Africa) |
|
17,193 |
|
2,605,401 |
| |
|
|
|
|
|
$ |
34,613,758 |
|
|
DIVERSIFIED BANKS — 6.6% |
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|
|
|
| |
|
Bank of America Corp. |
|
315,225 |
|
$ |
9,195,113 |
|
|
Citigroup, Inc. |
|
151,428 |
|
10,460,646 |
| |
|
Royal Bank of Scotland Group plc (Britain) |
|
1,492,740 |
|
3,810,286 |
| |
|
|
|
|
|
$ |
23,466,045 |
|
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AIRCRAFT & PARTS — 6.4% |
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|
|
|
| |
|
Arconic, Inc. |
|
537,370 |
|
$ |
13,971,620 |
|
|
United Technologies Corp. |
|
66,203 |
|
9,038,033 |
| |
|
|
|
|
|
$ |
23,009,653 |
|
|
SEMICONDUCTOR DEVICES — 5.6% |
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| |
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Analog Devices, Inc. |
|
92,630 |
|
$ |
10,349,550 |
|
|
Broadcom, Inc. |
|
35,323 |
|
9,751,620 |
| |
|
|
|
|
|
$ |
20,101,170 |
|
|
CABLE & SATELLITE — 5.0% |
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|
|
|
| |
|
Charter Communications, Inc. (Class A)(a) |
|
20,510 |
|
$ |
8,452,581 |
|
|
Comcast Corp. (Class A) |
|
212,510 |
|
9,579,951 |
| |
|
|
|
|
|
$ |
18,032,532 |
|
|
P&C INSURANCE — 4.5% |
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|
|
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| |
|
American International Group, Inc. |
|
291,310 |
|
$ |
16,225,967 |
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|
|
|
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|
| |
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CEMENT & AGGREGATES — 4.1% |
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| |
|
HeidelbergCement AG (Germany) |
|
88,140 |
|
$ |
6,371,244 |
|
|
LafargeHolcim Ltd. (Switzerland)(a) |
|
166,720 |
|
8,205,287 |
| |
|
|
|
|
|
$ |
14,576,531 |
|
|
INVESTMENT COMPANIES — 3.1% |
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|
|
| |
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Groupe Bruxelles Lambert SA (Belgium) |
|
81,410 |
|
$ |
7,817,365 |
|
|
Prosus NV (Netherlands)(a) |
|
42,772 |
|
3,139,813 |
| |
|
|
|
|
|
$ |
10,957,178 |
|
|
ELECTRICAL COMPONENTS — 2.3% |
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|
|
|
| |
|
TE Connectivity, Ltd. (Switzerland) |
|
86,070 |
|
$ |
8,020,003 |
|
|
|
|
|
|
|
| |
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BANKS — 2.0% |
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|
|
|
| |
|
Wells Fargo & Co. |
|
143,500 |
|
$ |
7,238,140 |
|
|
|
|
|
|
|
| |
|
INFRASTRUCTURE SOFTWARE — 2.0% |
|
|
|
|
| |
|
Microsoft Corp. |
|
51,893 |
|
$ |
7,214,684 |
|
|
|
|
Shares |
|
Fair Value |
| |
|
COMMON STOCKS - Continued |
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|
|
|
| |
|
MIDSTREAM - OIL & GAS — 1.9% |
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|
|
|
| |
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Kinder Morgan, Inc. |
|
327,970 |
|
$ |
6,759,462 |
|
|
|
|
|
|
|
| |
|
CONSUMER FINANCE — 1.4% |
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|
|
|
| |
|
Ally Financial, Inc. |
|
150,050 |
|
$ |
4,975,658 |
|
|
|
|
|
|
|
| |
|
INSURANCE BROKERS — 1.4% |
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|
|
|
| |
|
Aon plc (Britain) |
|
25,640 |
|
$ |
4,963,135 |
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|
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|
| |
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E-COMMERCE DISCRETIONARY — 1.4% |
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| |
|
JD.com, Inc. (ADR) (China)(a) |
|
171,380 |
|
$ |
4,834,630 |
|
|
|
|
|
|
|
| |
|
MINING SERVICES — 1.2% |
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|
|
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| |
|
Glencore plc (Switzerland)(a) |
|
1,429,990 |
|
$ |
4,303,301 |
|
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|
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|
|
|
| |
|
GENERIC PHARMACEUTICALS — 1.0% |
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|
|
|
| |
|
Mylan NV(a) |
|
187,250 |
|
$ |
3,703,805 |
|
|
|
|
|
|
|
| |
|
HOME IMPROVEMENT — 0.7% |
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|
|
|
| |
|
Mohawk Industries, Inc.(a) |
|
20,850 |
|
$ |
2,586,859 |
|
|
|
|
|
|
|
| |
|
MEDICAL EQUIPMENT — 0.7% |
|
|
|
|
| |
|
Olympus Corp. (Japan) |
|
185,200 |
|
$ |
2,493,884 |
|
|
|
|
|
|
|
| |
|
APPLICATION SOFTWARE — 0.6% |
|
|
|
|
| |
|
Nexon Co. Ltd. (Japan)(a) |
|
188,800 |
|
$ |
2,289,173 |
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|
|
|
|
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|
| |
|
FOOD & DRUG STORES — 0.5% |
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|
|
|
| |
|
Jardine Strategic Holdings, Ltd. (Hong Kong) |
|
60,810 |
|
$ |
1,817,003 |
|
|
|
|
|
|
|
| |
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ENERGY — 0.2% |
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|
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| |
|
PHI Group, Inc.(a)(b)(c)(d) |
|
26,711 |
|
$ |
221,968 |
|
|
PHI Group, Inc.(a)(b)(c)(d) |
|
57,741 |
|
479,828 |
| |
|
|
|
|
|
$ |
701,796 |
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS — 62.3% (Cost $192,639,948) |
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|
|
$ |
222,884,367 |
|
|
|
|
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|
|
| |
|
CLOSED END FUND — 0.8% |
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|
|
|
| |
|
Altaba, Inc.(a) (Cost: $1,293,263) |
|
142,220 |
|
$ |
2,770,446 |
|
|
|
|
Principal |
|
Fair Value |
| ||
|
BONDS & DEBENTURES |
|
|
|
|
| ||
|
|
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| ||
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COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.8% |
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|
|
|
| ||
|
AGENCY — 0.6% |
|
|
|
|
| ||
|
Federal Home Loan Mortgage Corp. K042 A1 — 2.267% 6/25/2024 |
|
$ |
264,380 |
|
$ |
265,933 |
|
|
Federal Home Loan Mortgage Corp. K024 A2 — 2.573% 9/25/2022 |
|
94,000 |
|
95,520 |
| ||
|
Government National Mortgage Association 2014-148 A — 2.65% 11/16/2043 |
|
188,682 |
|
188,962 |
| ||
|
Government National Mortgage Association 2010-161 B — 3.00% 7/16/2040 |
|
74,984 |
|
75,070 |
| ||
|
Government National Mortgage Association 2019 39 A — 3.10% 5/16/2059 |
|
1,152,235 |
|
1,170,134 |
| ||
|
Government National Mortgage Association 2011-9 C, VRN — 3.499% 9/16/2041(e) |
|
90,019 |
|
91,097 |
| ||
|
|
|
|
|
$ |
1,886,716 |
| |
|
AGENCY STRIPPED — 1.7% |
|
|
|
|
| ||
|
Government National Mortgage Association 2014-171 IO — 0.639% 11/16/2055(e) |
|
$ |
14,574,759 |
|
$ |
453,363 |
|
|
Government National Mortgage Association 2012-79 IO — 0.665% 3/16/2053(e) |
|
6,030,690 |
|
170,719 |
| ||
|
Government National Mortgage Association 2012-58 IO — 0.695% 2/16/2053(e) |
|
11,346,268 |
|
293,033 |
| ||
|
Government National Mortgage Association 2012-109 IO — 0.727% 10/16/2053(e) |
|
11,298,252 |
|
297,824 |
| ||
|
Government National Mortgage Association 2015-86 IO — 0.762% 5/16/2052(e) |
|
2,765,043 |
|
130,601 |
| ||
|
Government National Mortgage Association 2012-114 IO — 0.768% 1/16/2053(e) |
|
14,662,522 |
|
647,356 |
| ||
|
Government National Mortgage Association 2015-19 IO — 0.768% 1/16/2057(e) |
|
7,228,550 |
|
366,525 |
| ||
|
Government National Mortgage Association 2014-153 IO — 0.786% 4/16/2056(e) |
|
10,605,591 |
|
498,153 |
| ||
|
Government National Mortgage Association 2013-146 IO — 0.79% 11/16/2048(e) |
|
15,476,802 |
|
514,342 |
| ||
|
Government National Mortgage Association 2013-74 IO — 0.798% 12/16/2053(e) |
|
17,869,345 |
|
697,798 |
| ||
|
Government National Mortgage Association 2014-187 IO — 0.826% 5/16/2056(e) |
|
5,640,728 |
|
275,797 |
| ||
|
Government National Mortgage Association 2015-108 IO — 0.923% 10/16/2056(e) |
|
7,256,838 |
|
385,231 |
| ||
|
Government National Mortgage Association 2015-169 IO — 0.924% 7/16/2057(e) |
|
2,128,557 |
|
127,669 |
| ||
|
Government National Mortgage Association 2015-114 IO — 0.935% 3/15/2057(e) |
|
2,025,810 |
|
116,843 |
| ||
|
Government National Mortgage Association 2016-65 IO — 0.999% 1/16/2058(e) |
|
6,168,741 |
|
460,176 |
| ||
|
Government National Mortgage Association 2016-106 IO — 1.03% 9/16/2058(e) |
|
6,257,754 |
|
448,951 |
| ||
|
Government National Mortgage Association 2016-125 IO — 1.038% 12/16/2057(e) |
|
3,433,175 |
|
253,888 |
| ||
|
|
|
|
|
$ |
6,138,269 |
| |
|
NON-AGENCY — 1.5% |
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|
|
|
| ||
|
Aventura Mall Trust 2013-AVM A — 3.867% 12/5/2032(e)(f) |
|
$ |
970,000 |
|
$ |
980,136 |
|
|
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7 B — 5.214% 2/11/2041(e) |
|
116,813 |
|
117,213 |
| ||
|
Citigroup Commercial Mortgage Trust 2012-GC8 A4 — 3.024% 9/10/2045 |
|
68,882 |
|
70,481 |
| ||
|
Citigroup Commercial Mortgage Trust 2017-C4 A2 — 3.19% 10/12/2050 |
|
408,000 |
|
419,211 |
| ||
|
COMM Mortgage Trust 2014-FL5 B, 1M LIBOR + 2.150% — 3.582% 10/15/2031(e)(f) |
|
22,169 |
|
22,135 |
| ||
|
COMM Mortgage Trust 2014-FL5 C, 1M LIBOR + 2.150% — 3.582% 10/15/2031(e)(f) |
|
226,000 |
|
225,016 |
| ||
|
DBUBS Mortgage Trust 2011-LC2A A4 — 4.537% 7/10/2044(f) |
|
1,082,030 |
|
1,110,085 |
| ||
|
GS Mortgage Securities Corp. Trust 2012-ALOH A — 3.551% 4/10/2034(f) |
|
287,000 |
|
295,181 |
| ||
|
JP Morgan Chase Commercial Mortgage Securities Trust C 2012-HSBC A — 3.093% 7/5/2032(f) |
|
165,127 |
|
169,687 |
| ||
|
JPMBB Commercial Mortgage Securities Trust 2015-C30 ASB — 3.559% 7/15/2048 |
|
126,000 |
|
130,747 |
| ||
|
Latitude Management Real Estate Capita 2016-CRE2 A, 1M LIBOR + 1.700% — 3.737% 11/24/2031(e)(f) |
|
165,563 |
|
165,757 |
| ||
|
UBS Commercial Mortgage Trust 2012-C1 A3 — 3.40% 5/10/2045 |
|
100,290 |
|
102,693 |
| ||
|
Wells Fargo Commercial Mortgage Trust 2012-LC5 A3 — 2.918% 10/15/2045 |
|
570,919 |
|
582,255 |
| ||
|
WFRBS Commercial Mortgage Trust 2012-C9 A3 — 2.87% 11/15/2045 |
|
264,442 |
|
269,966 |
| ||
|
|
|
Principal |
|
Fair Value |
| ||
|
BONDS & DEBENTURES - Continued |
|
|
|
|
| ||
|
WFRBS Commercial Mortgage Trust 2013-UBS1 A3 — 3.591% 3/15/2046 |
|
$ |
737,000 |
|
$ |
746,443 |
|
|
|
|
|
|
$ |
5,407,006 |
| |
|
TOTAL COMMERICAL MORTGAGE-BACKED SECURITIES (Cost $13,524,645) |
|
|
|
$ |
13,431,991 |
| |
|
|
|
|
|
|
| ||
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 8.2% |
|
|
|
|
| ||
|
AGENCY COLLATERALIZED MORTGAGE OBLIGATION — 1.4% |
|
|
|
|
| ||
|
Federal Home Loan Mortgage Corp. 4302 AE — 2.00% 11/15/2029 |
|
$ |
275,726 |
|
$ |
275,217 |
|
|
Federal Home Loan Mortgage Corp. 4664 TA — 3.00% 9/15/2037 |
|
140,523 |
|
142,684 |
| ||
|
Federal Home Loan Mortgage Corp. 4504 DN — 3.00% 10/15/2040 |
|
262,350 |
|
266,849 |
| ||
|
Federal Home Loan Mortgage Corp. 3862 MB — 3.50% 5/15/2026 |
|
384,566 |
|
396,812 |
| ||
|
Federal National Mortgage Association 2014-89 LB — 2.00% 6/25/2042 |
|
76,724 |
|
76,231 |
| ||
|
Federal National Mortgage Association 2011-61 B — 3.00% 7/25/2026 |
|
242,777 |
|
247,623 |
| ||
|
Federal National Mortgage Association 2017-30 G — 3.00% 7/25/2040 |
|
204,694 |
|
208,967 |
| ||
|
Federal National Mortgage Association 2013-93 PJ — 3.00% 7/25/2042 |
|
42,960 |
|
44,047 |
| ||
|
Federal National Mortgage Association 2017-16 JA — 3.00% 2/25/2043 |
|
561,965 |
|
570,065 |
| ||
|
Federal National Mortgage Association 2018-16 HA — 3.00% 7/25/2043 |
|
522,543 |
|
527,527 |
| ||
|
Federal National Mortgage Association 2011-98 VE — 3.50% 6/25/2026 |
|
329,000 |
|
332,977 |
| ||
|
Federal National Mortgage Association 2011-80 KB — 3.50% 8/25/2026 |
|
302,065 |
|
307,601 |
| ||
|
Federal National Mortgage Association 2017-45 KD — 3.50% 2/25/2044 |
|
399,641 |
|
404,602 |
| ||
|
Federal National Mortgage Association 2017-52 KC — 3.50% 4/25/2044 |
|
407,019 |
|
412,236 |
| ||
|
Federal National Mortgage Association 2017-59 DC — 3.50% 5/25/2044 |
|
567,930 |
|
574,891 |
| ||
|
Federal National Mortgage Association 2003-78 B — 5.00% 8/25/2023 |
|
138,632 |
|
144,013 |
| ||
|
|
|
|
|
$ |
4,932,342 |
| |
|
AGENCY POOL FIXED RATE — 4.3% |
|
|
|
|
| ||
|
Federal Home Loan Mortgage Corp. G16178 — 2.50% 11/1/2028 |
|
$ |
454,691 |
|
$ |
461,938 |
|
|
Federal Home Loan Mortgage Corp. G16618 — 2.50% 1/1/2030 |
|
756,476 |
|
766,168 |
| ||
|
Federal Home Loan Mortgage Corp. J16678 — 3.00% 9/1/2026 |
|
100,853 |
|
103,340 |
| ||
|
Federal Home Loan Mortgage Corp. J17544 — 3.00% 12/1/2026 |
|
139,080 |
|
142,945 |
| ||
|
Federal Home Loan Mortgage Corp. G16406 — 3.00% 1/1/2028 |
|
443,918 |
|
454,589 |
| ||
|
Federal Home Loan Mortgage Corp. G16620 — 3.00% 8/1/2028 |
|
182,340 |
|
186,781 |
| ||
|
Federal Home Loan Mortgage Corp. G16478 — 3.00% 5/1/2030 |
|
609,047 |
|
623,688 |
| ||
|
Federal Home Loan Mortgage Corp. G16473 — 3.50% 1/1/2028 |
|
709,194 |
|
734,797 |
| ||
|
Federal Home Loan Mortgage Corp. G16613 — 3.50% 8/1/2028 |
|
177,233 |
|
183,686 |
| ||
|
Federal Home Loan Mortgage Corp. V62149 — 3.50% 9/1/2028 |
|
125,166 |
|
129,724 |
| ||
|
Federal Home Loan Mortgage Corp. J26472 — 3.50% 11/1/2028 |
|
151,953 |
|
158,388 |
| ||
|
Federal Home Loan Mortgage Corp. G13122 — 5.00% 4/1/2023 |
|
123,319 |
|
127,642 |
| ||
|
Federal Home Loan Mortgage Corp. G13145 — 5.50% 4/1/2023 |
|
230,404 |
|
238,648 |
| ||
|
Federal National Mortgage Association AR6882 — 2.50% 2/1/2028 |
|
78,266 |
|
79,423 |
| ||
|
Federal National Mortgage Association BM4386 — 2.50% 8/1/2030 |
|
295,466 |
|
299,095 |
| ||
|
Federal National Mortgage Association AJ6973 — 3.00% 11/1/2026 |
|
34,823 |
|
35,641 |
| ||
|
Federal National Mortgage Association AJ9387 — 3.00% 12/1/2026 |
|
18,010 |
|
18,433 |
| ||
|
Federal National Mortgage Association AU3826 — 3.00% 12/1/2026 |
|
520,182 |
|
532,081 |
| ||
|
Federal National Mortgage Association AL1345 — 3.00% 2/1/2027 |
|
32,726 |
|
33,495 |
| ||
|
Federal National Mortgage Association AB4673 — 3.00% 3/1/2027 |
|
35,794 |
|
36,680 |
| ||
|
Federal National Mortgage Association AK9467 — 3.00% 3/1/2027 |
|
38,015 |
|
38,908 |
| ||
|
Federal National Mortgage Association AB8890 — 3.00% 4/1/2028 |
|
166,156 |
|
170,216 |
| ||
|
Federal National Mortgage Association AL4693 — 3.00% 8/1/2028 |
|
31,401 |
|
32,139 |
| ||
|
|
|
Principal |
|
Fair Value |
| ||
|
BONDS & DEBENTURES - Continued |
|
$ |
|
|
$ |
|
|
|
Federal National Mortgage Association MA3480 — 3.00% 8/1/2028 |
|
128,298 |
|
131,353 |
| ||
|
Federal National Mortgage Association AU6681 — 3.00% 9/1/2028 |
|
308,700 |
|
316,631 |
| ||
|
Federal National Mortgage Association AU6682 — 3.00% 9/1/2028 |
|
1,533,959 |
|
1,573,364 |
| ||
|
Federal National Mortgage Association MA3485 — 3.00% 9/1/2028 |
|
63,228 |
|
64,734 |
| ||
|
Federal National Mortgage Association 890837 — 3.00% 10/1/2028 |
|
365,109 |
|
374,032 |
| ||
|
Federal National Mortgage Association BM4485 — 3.00% 9/1/2030 |
|
1,011,752 |
|
1,036,478 |
| ||
|
Federal National Mortgage Association BM3539 — 3.00% 10/1/2030 |
|
749,271 |
|
768,987 |
| ||
|
Federal National Mortgage Association BM4536 — 3.00% 8/1/2031 |
|
1,086,556 |
|
1,114,468 |
| ||
|
Federal National Mortgage Association BM3973 — 3.00% 4/1/2032 |
|
1,111,159 |
|
1,139,703 |
| ||
|
Federal National Mortgage Association AB2446 — 3.50% 3/1/2026 |
|
191,860 |
|
198,624 |
| ||
|
Federal National Mortgage Association AL1741 — 3.50% 5/1/2027 |
|
273,319 |
|
283,040 |
| ||
|
Federal National Mortgage Association MA3075 — 3.50% 7/1/2027 |
|
639,353 |
|
662,092 |
| ||
|
Federal National Mortgage Association MA3132 — 3.50% 9/1/2027 |
|
138,067 |
|
142,978 |
| ||
|
Federal National Mortgage Association MA3251 — 3.50% 1/1/2028 |
|
168,290 |
|
174,275 |
| ||
|
Federal National Mortgage Association MA3321 — 3.50% 3/1/2028 |
|
100,293 |
|
103,891 |
| ||
|
Federal National Mortgage Association CA1631 — 3.50% 10/1/2028 |
|
170,614 |
|
176,682 |
| ||
|
Federal National Mortgage Association MA3514 — 3.50% 11/1/2028 |
|
422,363 |
|
437,517 |
| ||
|
Federal National Mortgage Association MA3542 — 3.50% 12/1/2028 |
|
382,360 |
|
396,078 |
| ||
|
Federal National Mortgage Association BM1231 — 3.50% 11/1/2031 |
|
346,548 |
|
359,739 |
| ||
|
Federal National Mortgage Association AE0286 — 5.00% 4/1/2025 |
|
135,378 |
|
140,259 |
| ||
|
Federal National Mortgage Association AL7725 — 5.00% 9/1/2025 |
|
178,562 |
|
184,417 |
| ||
|
|
|
|
|
$ |
15,367,787 |
| |
|
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATION — 2.5% |
|
|
|
|
| ||
|
BRAVO Residential Funding Trust 2019-1 A1C — 3.50% 3/25/2058(f) |
|
$ |
594,236 |
|
$ |
598,642 |
|
|
CIM Trust 2017-7 A, VRN — 3.00% 4/25/2057(e)(f) |
|
597,555 |
|
601,290 |
| ||
|
CIM Trust 2018-R3 A1, VRN — 5.00% 12/25/2057(e)(f) |
|
932,996 |
|
969,502 |
| ||
|
Citigroup Mortgage Loan Trust, Inc. 2014-A A — 4.00% 1/25/2035(e)(f) |
|
173,863 |
|
177,865 |
| ||
|
Finance of America Structured Securities Trust 2018-HB1 M1, VRN — 3.774% 9/25/2028(e)(f) |
|
355,000 |
|
360,100 |
| ||
|
Mill City Mortgage Loan Trust 2018-2 A1, VRN — 3.50% 5/25/2058(e)(f) |
|
894,198 |
|
912,175 |
| ||
|
Mill City Mortgage Loan Trust 2018-3 A1, VRN — 3.50% 8/25/2058(e)(f) |
|
498,574 |
|
512,924 |
| ||
|
Nationstar HECM Loan Trust 2018-2A M1, VRN — 3.552% 7/25/2028(f) |
|
188,000 |
|
190,386 |
| ||
|
Nomura Resecuritization Trust 2016-1R 3A1 — 5.00% 9/28/2036(e)(f) |
|
90,873 |
|
93,127 |
| ||
|
Towd Point Mortgage Trust 2016-3 A1 — 2.25% 4/25/2056(e)(f) |
|
336,308 |
|
334,391 |
| ||
|
Towd Point Mortgage Trust 2015-5 A1B, VRN — 2.75% 5/25/2055(e)(f) |
|
137,856 |
|
137,897 |
| ||
|
Towd Point Mortgage Trust 2015-3 A1B, VRN — 3.00% 3/25/2054(e)(f) |
|
204,776 |
|
205,104 |
| ||
|
Towd Point Mortgage Trust 2018-1 A1, VRN — 3.00% 1/25/2058(e)(f) |
|
697,151 |
|
705,902 |
| ||
|
Towd Point Mortgage Trust 2018-2 A1, VRN — 3.25% 3/25/2058(e)(f) |
|
1,117,165 |
|
1,135,263 |
| ||
|
Towd Point Mortgage Trust 2018-5 A1A, VRN — 3.25% 7/25/2058(e)(f) |
|
1,098,986 |
|
1,119,427 |
| ||
|
Towd Point Mortgage Trust 2018-6 A1A, VRN — 3.75% 3/25/2058(e)(f) |
|
1,098,543 |
|
1,131,060 |
| ||
|
|
|
|
|
$ |
9,185,055 |
| |
|
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost $28,899,853) |
|
|
|
$ |
29,485,184 |
| |
|
|
|
|
|
|
| ||
|
ASSET-BACKED SECURITIES — 15.6% |
|
|
|
|
| ||
|
AUTO — 4.4% |
|
|
|
|
| ||
|
Ally Auto Receivables Trust 2019-3 A3 — 1.93% 5/15/2024 |
|
$ |
1,155,000 |
|
$ |
1,155,577 |
|
|
Ally Auto Receivables Trust 2017-1 B — 2.35% 3/15/2022 |
|
101,000 |
|
100,881 |
| ||
|
|
|
Principal |
|
Fair Value |
| ||
|
BONDS & DEBENTURES - Continued |
|
|
|
|
| ||
|
Ally Auto Receivables Trust 2017-1 C — 2.48% 5/16/2022 |
|
$ |
191,000 |
|
$ |
190,952 |
|
|
Ally Auto Receivables Trust 2018-3 A4 — 3.12% 7/17/2023 |
|
238,000 |
|
243,260 |
| ||
|
AmeriCredit Automobile Receivables Trust 2017-1 C — 2.71% 8/18/2022 |
|
203,000 |
|
204,612 |
| ||
|
BMW Vehicle Owner Trust 2019-A A3 — 1.92% 1/25/2024 |
|
539,000 |
|
539,184 |
| ||
|
CarMax Auto Owner Trust 2019-3 A3 — 2.18% 8/15/2024 |
|
658,000 |
|
659,735 |
| ||
|
CarMax Auto Owner Trust 2018-1 A3 — 2.48% 11/15/2022 |
|
474,000 |
|
475,499 |
| ||
|
CarMax Auto Owner Trust 2018-1 A4 — 2.64% 6/15/2023 |
|
218,000 |
|
221,259 |
| ||
|
CarMax Auto Owner Trust 2018-2 A3 — 2.98% 1/17/2023 |
|
536,000 |
|
542,224 |
| ||
|
CarMax Auto Owner Trust 2019-1 A4 — 3.26% 8/15/2024 |
|
463,000 |
|
478,038 |
| ||
|
CarMax Auto Owner Trust 2019-1 B — 3.45% 11/15/2024 |
|
249,000 |
|
257,668 |
| ||
|
CarMax Auto Owner Trust 2018-4 A4 — 3.48% 2/15/2024 |
|
492,000 |
|
513,225 |
| ||
|
Credit Acceptance Auto Loan Trust 2017-3A B — 3.21% 8/17/2026(f) |
|
941,000 |
|
951,119 |
| ||
|
First Investors Auto Owner Trust 2017-1A C — 2.95% 4/17/2023(f) |
|
219,000 |
|
219,407 |
| ||
|
Ford Credit Auto Lease Trust 2019-B A4 — 2.27% 11/15/2022 |
|
329,000 |
|
331,062 |
| ||
|
Ford Credit Auto Lease Trust 2019-B B — 2.36% 1/15/2023 |
|
549,000 |
|
551,509 |
| ||
|
GM Financial Automobile Leasing Trust 2018-1 A4 — 2.68% 12/20/2021 |
|
385,000 |
|
386,398 |
| ||
|
Honda Auto Receivables Owner Trust 2019-3 A3 — 1.78% 8/15/2023 |
|
556,000 |
|
554,441 |
| ||
|
Honda Auto Receivables Owner Trust 2019-2 A4 — 2.54% 3/21/2025 |
|
359,000 |
|
364,876 |
| ||
|
Honda Auto Receivables Owner Trust 2018-1I A4 — 2.78% 5/15/2024 |
|
918,000 |
|
930,810 |
| ||
|
Hyundai Auto Lease Securitization Trust 2018-A A4 — 2.89% 3/15/2022(f) |
|
576,000 |
|
579,859 |
| ||
|
Hyundai Auto Receivables Trust 2018-A A4 — 2.94% 6/17/2024 |
|
656,000 |
|
669,462 |
| ||
|
Mercedes-Benz Auto Receivables Trust 2019-1 A3 — 1.94% 3/15/2024 |
|
803,000 |
|
803,339 |
| ||
|
Mercedes-Benz Auto Receivables Trust 2018-1 A4 — 3.15% 10/15/2024 |
|
537,000 |
|
552,793 |
| ||
|
Nissan Auto Receivables Owner Trust 2019-A A3 — 2.90% 10/16/2023 |
|
96,000 |
|
97,581 |
| ||
|
Nissan Auto Receivables Owner Trust 2018-B A4 — 3.16% 12/16/2024 |
|
451,000 |
|
465,269 |
| ||
|
Prestige Auto Receivables Trust 2019-1A B — 2.53% 1/16/2024(f) |
|
294,000 |
|
295,556 |
| ||
|
Prestige Auto Receivables Trust 2017-1A C — 2.81% 1/17/2023(f) |
|
787,000 |
|
787,747 |
| ||
|
World Omni Auto Receivables Trust 2018-A A3 — 2.50% 4/17/2023 |
|
773,000 |
|
776,242 |
| ||
|
World Omni Auto Receivables Trust 2019-A B — 3.34% 6/16/2025 |
|
196,000 |
|
203,192 |
| ||
|
World Omni Automobile Lease Securitization Trust 2019-B A4 — 2.07% 2/18/2025 |
|
363,000 |
|
362,878 |
| ||
|
World Omni Automobile Lease Securitization Trust 2019-B B — 2.13% 2/18/2025 |
|
203,000 |
|
202,912 |
| ||
|
|
|
|
|
$ |
15,668,566 |
| |
|
COLLATERALIZED LOAN OBLIGATION — 4.4% |
|
|
|
|
| ||
|
Adams Mill CLO Ltd. 2014-1A B2R — 3.35% 7/15/2026(f) |
|
$ |
250,000 |
|
$ |
252,553 |
|
|
B&M CLO Ltd. 2014-1A A2R, FRN, 3M USD LIBOR + 1.600% — 3.922% 4/16/2026(e)(f) |
|
287,000 |
|
287,032 |
| ||
|
Black Diamond CLO Ltd. 2014-1A A1R, 3M USD LIBOR + 1.150% — 3.453% 10/17/2026(e)(f) |
|
617,810 |
|
618,009 |
| ||
|
Cerberus Loan Funding XVIII LP 2017-1A A, 3M USD LIBOR + 1.750% — 3.75% 4/15/2027(f) |
|
1,027,209 |
|
1,027,589 |
| ||
|
Cerberus Loan Funding XXI LP 2017-4A A, FRN,3M USD LIBOR + 1.450% — 3.753% 10/15/2027(e)(f) |
|
857,000 |
|
856,796 |
| ||
|
Elm Trust 2016-1A A2 — 4.163% 6/20/2025(f) |
|
96,660 |
|
97,070 |
| ||
|
Elm Trust 2018-2A A2 — 4.605% 10/20/2027(f) |
|
513,000 |
|
521,569 |
| ||
|
Fortress Credit Opportunities IX CLO Ltd. 2017-9A A1T, FRN,3M USD LIBOR + 1.550% — 3.708% 11/15/2029(e)(f) |
|
683,000 |
|
679,371 |
| ||
|
Fortress Credit Opportunities IX CLO Ltd. 2017-9A E, FRN, 3M USD LIBOR + 7.250% — 9.408% 11/15/2029(e)(f) |
|
328,000 |
|
310,980 |
| ||
|
|
|
Principal |
|
Fair Value |
| ||
|
BONDS & DEBENTURES - Continued |
|
|
|
|
| ||
|
Fortress Credit Opportunities VII CLO, Ltd. 2016-7I E, 3M USD LIBOR + 7.490% — 9.609% 12/15/2028(e) |
|
$ |
561,000 |
|
$ |
536,714 |
|
|
Halcyon Loan Advisors Funding Ltd. 2015-3A A1R, 3M USD LIBOR + 0.90% — 3.20% 10/18/2027(e)(f) |
|
1,089,000 |
|
1,088,998 |
| ||
|
Halcyon Loan Advisors Funding Ltd. 2015-1A AR, FRN, 3M USD LIBOR + 0.920% — 3.198% 4/20/2027(e)(f) |
|
1,086,955 |
|
1,086,128 |
| ||
|
Halcyon Loan Advisors Funding Ltd. 2014-3A AR, 3M USD LIBOR + 1.100% — 3.378% 10/22/2025(e)(f) |
|
276,720 |
|
276,748 |
| ||
|
Hercules Capital Funding Trust 2018-1A A — 4.605% 11/22/2027(f) |
|
485,000 |
|
491,225 |
| ||
|
Hercules Capital Funding Trust 2019-1A A — 4.703% 2/20/2028(f) |
|
910,000 |
|
924,594 |
| ||
|
Ivy Hill Middle Market Credit Fund VII Ltd., 3M USD LIBOR + 1.125% — 3.55% 7/18/2030(e)(f) |
|
604,000 |
|
594,673 |
| ||
|
Ivy Hill Middle Market Credit Fund VII Ltd. 7A AR, FRN, 3M USD LIBOR + 1.530% — 3.808% 10/20/2029(e)(f) |
|
250,000 |
|
249,757 |
| ||
|
Saranac CLO III Ltd. 2014-3A ALR, FRN, 3M USD LIBOR + 1.10% — 3.259% 6/22/2030(e)(f) |
|
632,000 |
|
630,940 |
| ||
|
Silvermore CLO Ltd. 2014-1A A1R, 3M USD LIBOR + 1.170% — 3.328% 5/15/2026(e)(f) |
|
392,401 |
|
392,684 |
| ||
|
Symphony CLO XII Ltd. 2013-12A B2R — 3.389% 10/15/2025(f) |
|
427,000 |
|
429,835 |
| ||
|
Telos CLO 2013-3A AR, 3M USD LIBOR + 1.300% — 3.603% 7/17/2026(e)(f) |
|
474,000 |
|
474,207 |
| ||
|
Telos CLO 2013-3A BR, 3M USD LIBOR + 2.000% — 4.303% 7/17/2026(e)(f) |
|
550,000 |
|
549,053 |
| ||
|
Telos CLO Ltd. 2014-5A A1R, FRN, 3M USD LIBOR + 0.950% — 3.253% 4/17/2028(e)(f) |
|
828,000 |
|
825,379 |
| ||
|
THL Credit Wind River CLO Ltd. 2016-1A AR, FRN, 3M USD LIBOR + 1.05% — 3.353% 7/15/2028(e)(f) |
|
640,000 |
|
638,601 |
| ||
|
VCO CLO LLC 2018-1A A, FRN, 3M USD LIBOR + 1.50% — 3.778% 7/20/2030(e)(f) |
|
607,000 |
|
607,129 |
| ||
|
Wellfleet CLO Ltd. 2016-1A AR, FRN, 3M USD LIBOR +0.910 % — 3.188% 4/20/2028(e)(f) |
|
629,000 |
|
626,878 |
| ||
|
West CLO Ltd. 2014-2A A1BR — 2.724% 1/16/2027(f) |
|
171,600 |
|
171,649 |
| ||
|
West CLO Ltd. 2013-1A A2BR — 3.393% 11/7/2025(f) |
|
212,982 |
|
213,582 |
| ||
|
Zais CLO 2 Ltd. 2014-2A A1BR — 2.92% 7/25/2026(f) |
|
131,227 |
|
131,208 |
| ||
|
|
|
|
|
$ |
15,590,951 |
| |
|
CREDIT CARD — 1.6% |
|
|
|
|
| ||
|
American Express Credit Account Master Trust 2017-6 B — 2.20% 5/15/2023 |
|
$ |
1,002,000 |
|
$ |
1,002,666 |
|
|
American Express Credit Account Master Trust 2019-2 A — 2.67% 11/15/2024 |
|
277,000 |
|
282,748 |
| ||
|
Barclays Dryrock Issuance Trust 2019-1 A — 1.96% 5/15/2025 |
|
951,000 |
|
951,215 |
| ||
|
Golden Credit Card Trust 2018-1A A — 2.62% 1/15/2023(f) |
|
798,000 |
|
804,380 |
| ||
|
Synchrony Card Funding LLC 2019-A2 A — 2.34% 6/15/2025 |
|
1,070,000 |
|
1,079,087 |
| ||
|
Synchrony Card Funding LLC 2019-A1 A — 2.95% 3/15/2025 |
|
144,000 |
|
146,945 |
| ||
|
Synchrony Card Issuance Trust 2018-A1 A1 — 3.38% 9/15/2024 |
|
1,279,000 |
|
1,312,345 |
| ||
|
|
|
|
|
$ |
5,579,386 |
| |
|
EQUIPMENT — 3.3% |
|
|
|
|
| ||
|
ARI Fleet Lease Trust 2019-A A2A — 2.41% 11/15/2027(f) |
|
$ |
385,000 |
|
$ |
387,286 |
|
|
ARI Fleet Lease Trust 2018-A A3 — 2.84% 10/15/2026(f) |
|
340,000 |
|
342,940 |
| ||
|
Ascentium Equipment Receivables Trust 2017-2A A3 — 2.31% 12/10/2021(f) |
|
288,000 |
|
288,403 |
| ||
|
Avis Budget Rental Car Funding AESOP LLC 2015-2A A — 2.63% 12/20/2021(f) |
|
616,000 |
|
617,868 |
| ||
|
Avis Budget Rental Car Funding AESOP LLC 2019-1A A — 3.45% 3/20/2023(f) |
|
238,000 |
|
244,512 |
| ||
|
Coinstar Funding LLC Series 2017-1A A2 — 5.216% 4/25/2047(f) |
|
222,870 |
|
230,193 |
| ||
|
|
|
Principal |
|
Fair Value |
| ||
|
BONDS & DEBENTURES - Continued |
|
|
|
|
| ||
|
GreatAmerica Leasing Receivables Funding LLC Series 2017-1 A4 — 2.36% 1/20/2023(f) |
|
$ |
177,000 |
|
$ |
177,059 |
|
|
GreatAmerica Leasing Receivables Funding LLC Series 2018-1 A4 — 2.83% 6/17/2024(f) |
|
210,000 |
|
212,147 |
| ||
|
GreatAmerica Leasing Receivables Funding LLC Series 2017-1 C — 2.89% 1/22/2024(f) |
|
250,000 |
|
250,981 |
| ||
|
HPEFS Equipment Trust 2019-1A B — 2.32% 9/20/2029(f) |
|
103,000 |
|
103,076 |
| ||
|
John Deere Owner Trust 2018-A A4 — 2.91% 1/15/2025 |
|
598,000 |
|
604,835 |
| ||
|
John Deere Owner Trust 2019 A A4 — 3.00% 1/15/2026 |
|
236,000 |
|
242,897 |
| ||
|
John Deere Owner Trust 2018-B A4 — 3.23% 6/16/2025 |
|
620,000 |
|
636,828 |
| ||
|
Kubota Credit Owner Trust 2018-1A A3 — 3.10% 8/15/2022(f) |
|
1,009,000 |
|
1,020,639 |
| ||
|
Kubota Credit Owner Trust 2018-1A A4 — 3.21% 1/15/2025(f) |
|
110,000 |
|
112,945 |
| ||
|
NextGear Floorplan Master Owner Trust 2017-2A B — 3.02% 10/17/2022(f) |
|
498,000 |
|
501,042 |
| ||
|
NextGear Floorplan Master Owner Trust 2018-1A A2 — 3.22% 2/15/2023(f) |
|
300,000 |
|
303,806 |
| ||
|
Prop Series 2017-1A — 5.30% 3/15/2042(c) |
|
620,276 |
|
610,281 |
| ||
|
Verizon Owner Trust 2019 A A1A — 2.93% 9/20/2023 |
|
652,000 |
|
664,115 |
| ||
|
Verizon Owner Trust 2019 A B — 3.02% 9/20/2023 |
|
296,000 |
|
303,730 |
| ||
|
Verizon Owner Trust 2017-2A B — 2.22% 12/20/2021(f) |
|
645,000 |
|
644,932 |
| ||
|
Verizon Owner Trust 2019-B B — 2.40% 12/20/2023 |
|
701,000 |
|
706,832 |
| ||
|
Verizon Owner Trust 2018-1A B — 3.05% 9/20/2022(f) |
|
553,000 |
|
559,732 |
| ||
|
Verizon Owner Trust 2018-A B — 3.38% 4/20/2023 |
|
593,000 |
|
610,886 |
| ||
|
Volvo Financial Equipment LLC Series 2017-1A A4 — 2.21% 11/15/2021(f) |
|
159,000 |
|
158,998 |
| ||
|
Volvo Financial Equipment LLC Series 2018-1A A3 — 2.54% 2/15/2022(f) |
|
987,000 |
|
989,964 |
| ||
|
Wheels SPV 2 LLC 2018-1A A3 — 3.24% 4/20/2027(f) |
|
291,000 |
|
296,213 |
| ||
|
|
|
|
|
$ |
11,823,140 |
| |
|
OTHER — 1.9% |
|
|
|
|
| ||
|
Conn Funding II LP 2017-B B — 4.52% 4/15/2021(f) |
|
$ |
17,097 |
|
$ |
17,111 |
|
|
New Residential Advance Receivables Trust Advance Receivables Backed 2019-T3 AT3 — 2.512% 10/20/2052(f) |
|
520,000 |
|
521,083 |
| ||
|
New Residential Mortgage LLC 2018-FNT1 A — 3.61% 5/25/2023(f) |
|
585,460 |
|
585,094 |
| ||
|
New Residential Mortgage LLC 2018-FNT2 A — 3.79% 7/25/2054(f) |
|
675,985 |
|
675,562 |
| ||
|
NRZ Excess Spread-Collateralized Notes Series 2018-PLS1 A — 3.193% 1/25/2023(f) |
|
288,750 |
|
288,569 |
| ||
|
NRZ Excess Spread-Collateralized Notes Series 2018-PLS2 A — 3.265% 2/25/2023(f) |
|
327,661 |
|
327,456 |
| ||
|
PFS Financing Corp. 2017-D A — 2.40% 10/17/2022(f) |
|
430,000 |
|
430,477 |
| ||
|
PFS Financing Corp. 2017-BA B — 2.57% 7/15/2022(f) |
|
195,000 |
|
194,446 |
| ||
|
PFS Financing Corp. 2017-D B — 2.74% 10/17/2022(f) |
|
202,000 |
|
201,810 |
| ||
|
PFS Financing Corp. 2019-A A2 — 2.86% 4/15/2024(f) |
|
314,000 |
|
319,989 |
| ||
|
PFS Financing Corp. 2018-B A — 2.89% 2/15/2023(f) |
|
1,085,000 |
|
1,095,169 |
| ||
|
PFS Financing Corp. 2018-B B — 3.08% 2/15/2023(f) |
|
191,000 |
|
192,424 |
| ||
|
PFS Financing Corp. 2018-D A — 3.19% 4/17/2023(f) |
|
846,000 |
|
858,702 |
| ||
|
PFS Financing Corp. 2018-D B — 3.45% 4/17/2023(f) |
|
421,000 |
|
426,187 |
| ||
|
PFS Financing Corp. 2018-F A — 3.52% 10/15/2023(f) |
|
698,000 |
|
708,611 |
| ||
|
PFS Financing Corp. 2018-F B — 3.77% 10/15/2023(f) |
|
126,000 |
|
128,256 |
| ||
|
|
|
|
|
$ |
6,970,946 |
| |
|
TOTAL ASSET-BACKED SECURITIES (Cost $55,300,264) |
|
|
|
$ |
55,632,989 |
| |
|
|
|
Principal |
|
Fair Value |
| ||
|
BONDS & DEBENTURES - Continued |
|
|
|
|
| ||
|
|
|
|
|
|
| ||
|
CORPORATE BONDS & NOTES — 0.2% |
|
|
|
|
| ||
|
CONSUMER, CYCLICAL — 0.0% |
|
|
|
|
| ||
|
Continental Airlines 2000-1 Class B Pass Through Trust — 8.388% 5/1/2022 |
|
$ |
753 |
|
$ |
825 |
|
|
|
|
|
|
|
| ||
|
CONSUMER, NON-CYCLICAL — 0.2% |
|
|
|
|
| ||
|
StoneMor Partners LP / Cornerstone Family Services of West Virginia Subsidiary — 11.50% 6/30/2024(f) |
|
$ |
732,491 |
|
$ |
717,841 |
|
|
|
|
|
|
|
| ||
|
ENERGY — 0.0% |
|
|
|
|
| ||
|
Bristow Group, Inc. — 8.75% 3/1/2023(f) |
|
$ |
102,000 |
|
$ |
100,470 |
|
|
|
|
|
|
|
| ||
|
TECHNOLOGY — 0.0% |
|
|
|
|
| ||
|
Oracle Corp. — 3.875% 7/15/2020 |
|
$ |
21,000 |
|
$ |
21,297 |
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS & NOTES (Cost $818,308) |
|
|
|
$ |
840,433 |
| |
|
|
|
|
|
|
| ||
|
CORPORATE BANK DEBT — 2.7% |
|
|
|
|
| ||
|
ABG Intermediate Holdings 2 LLC, 1M USD LIBOR + 7.750% — 9.794% 9/29/2025(b)(e) |
|
$ |
469,000 |
|
$ |
467,438 |
|
|
Barneys New York Inc., 1M USD LIBOR + 8.000% — 10.10% 3/31/2020(b)(c)(d)(e) |
|
2,199,578 |
|
2,182,153 |
| ||
|
BJ Services Inc., 3M USD LIBOR + 7.000% — 9.32% 1/3/2023(b)(c)(d)(e) |
|
1,135,625 |
|
1,126,214 |
| ||
|
Del Friscos Rstrant Group, Inc., 1M USD LIBOR + 5.500% — 7.554% 12/31/2019(b)(c)(d)(e) |
|
134,000 |
|
134,000 |
| ||
|
General Nutrition Centers, Inc., 1M USD LIBOR +7.000% — 9.050% 12/31/2022(b)(e) |
|
376,000 |
|
376,000 |
| ||
|
JC Penney Corp., Inc., 3M USD LIBOR + 4.250% — 6.394% 6/23/2023(b)(e) |
|
572,336 |
|
497,932 |
| ||
|
Logix Holding Co. LLC TL 1L, 1M USD LIBOR + 5.750% — 7.794% 12/22/2024(b)(e) |
|
293,118 |
|
292,344 |
| ||
|
MB2LTL, 2M USD LIBOR + 9.250% — 11.34% 11/30/2023(b)(c)(e) |
|
184,000 |
|
184,363 |
| ||
|
McDermott Technology Americas, Inc. / McDermott Technology US, Inc., 1M USD LIBOR + 4.250% — 6.35% 5/4/2023(b)(e) |
|
1,206,357 |
|
744,925 |
| ||
|
McDermott Technology Americas, Inc. / McDermott Technology US, Inc., 1M USD LIBOR + 5.000% — 7.176% 5/9/2025(b)(e) |
|
2,000,000 |
|
1,265,000 |
| ||
|
OTGTL, 3M USD LIBOR + 7.000% — 9.247% 8/23/2021(b)(c)(e) |
|
677,000 |
|
677,643 |
| ||
|
SDTL, 1M USD LIBOR + 4.500% — 6.544% 11/22/2021(b)(c)(e) |
|
282,804 |
|
280,140 |
| ||
|
Transform SR Holdings LLC Term Loan B, 1M USD LIBOR + 7.250% — 9.296% 2/12/2024(b)(e) |
|
474,000 |
|
475,185 |
| ||
|
Xplornet Communication, Inc., 3M USD LIBOR + 4.000% — 6.104% 9/9/2021(b)(e) |
|
538,093 |
|
533,439 |
| ||
|
ZW1L, 2M USD LIBOR + 5.000% — 7.26% 11/16/2022(b)(c)(e) |
|
359,825 |
|
360,397 |
| ||
|
ZW2L, 3M USD LIBOR + 9.000% — 11.28% 11/16/2023(b)(c)(e) |
|
82,491 |
|
83,156 |
| ||
|
TOTAL CORPORATE BANK DEBT (Cost $9,779,891) |
|
|
|
$ |
9,680,329 |
| |
|
|
|
|
|
|
| ||
|
U.S. TREASURIES — 3.6% |
|
|
|
|
| ||
|
U.S. Treasury Bills — 1.724% 10/8/2019(g) |
|
$ |
2,700,000 |
|
$ |
2,699,092 |
|
|
U.S. Treasury Bills — 1.887% 10/1/2019(g) |
|
2,205,000 |
|
2,205,000 |
| ||
|
|
|
Shares or |
|
Fair Value |
| ||
|
BONDS & DEBENTURES - Continued |
|
|
|
|
| ||
|
U.S. Treasury Notes — 1.75% 4/30/2022 |
|
$ |
3,982,000 |
|
$ |
3,997,206 |
|
|
U.S. Treasury Notes — 1.875% 4/30/2022 |
|
3,962,000 |
|
3,988,815 |
| ||
|
|
|
|
|
|
| ||
|
TOTAL U.S. TREASURIES (Cost $12,837,642) |
|
|
|
$ |
12,890,113 |
| |
|
|
|
|
|
|
| ||
|
TOTAL BONDS & DEBENTURES — 34.1% (Cost $121,160,603) |
|
|
|
$ |
121,961,039 |
| |
|
|
|
|
|
|
| ||
|
TOTAL INVESTMENT SECURITIES — 97.2% (Cost $315,093,814) |
|
|
|
$ |
347,615,852 |
| |
|
|
|
|
|
|
| ||
|
SHORT-TERM INVESTMENTS — 3.9% |
|
|
|
|
| ||
|
State Street Bank Repurchase Agreement — 0.25% 10/1/2019 |
|
|
|
|
| ||
|
(Dated 09/30/2019, repurchase price of $14,006,097, collateralized by $14,150,000 principal amount U.S. Treasury Notes — 1.75% 2022, fair value $14,286,236) |
|
$ |
14,006,000 |
|
$ |
14,006,000 |
|
|
TOTAL SHORT-TERM INVESTMENTS (Cost $14,006,000) |
|
|
|
$ |
14,006,000 |
| |
|
|
|
|
|
|
| ||
|
TOTAL INVESTMENTS — 101.1% (Cost $329,099,814) |
|
|
|
$ |
361,621,852 |
| |
|
|
|
|
|
|
| ||
|
SECURITIES SOLD SHORT |
|
|
|
|
| ||
|
CORPORATE BANK DEBT — SHORT — (0.2)% |
|
|
|
|
| ||
|
McDermott Technology Americas, Inc. / McDermott Technology US, Inc., 1M USD LIBOR + 4.250% — 6.35% 5/4/2023(b)(e) (Cost: $(717,385)) |
|
(1,976,643 |
) |
(756,066 |
) | ||
|
Other Assets and Liabilities, net — (0.9)% |
|
|
|
(3,152,587 |
) | ||
|
NET ASSETS — 100.0% |
|
|
|
$ |
357,713,199 |
| |
|
(a) |
Non-income producing security. |
|
(b) |
Restricted securities. These restricted securities constituted 2.69% of total net assets at September 30, 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 Fund’s Board of Directors. |
|
(c) |
Investments categorized as a significant unobservable input (Level 3) (See Note 6 of the Notes to Financial Statements). |
|
(d) |
These securities have been valued in good faith under policies adopted by authority of the Board of Directors in accordance with the Fund’s fair value procedures. These securities constituted 1.16% of total net assets at September 30, 2019. |
|
(e) |
Variable/Floating Rate Security — The rate shown is based on the latest available information as of September 30, 2019. For Corporate Bank Debt, 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. |
|
(f) |
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. |
|
(g) |
Zero coupon bond. Coupon amount represents effective yield to maturity. |
See Notes to Financial Statements.
SOURCE CAPITAL, INC.
PORTFOLIO OF INVESTMENTS – RESTRICTED SECURITIES
September 30, 2019
(Unaudited)
|
Issuer |
|
Acquisition Date (s) |
|
Cost |
|
Fair Value |
|
Fair Value as a % |
| ||
|
ABG Intermediate Holdings 2 LLC - 9.794% 9/29/2025 |
|
09/26/2017, |
|
$ |
468,602 |
|
$ |
467,438 |
|
0.13 |
% |
|
Barneys New York Inc. - 10.10% 3/31/2020 |
|
08/14/2019 |
|
2,182,119 |
|
2,182,153 |
|
0.61 |
% | ||
|
BJ Services Inc. - 9.32% 1/3/2023 |
|
1/28/2019 |
|
1,126,214 |
|
1,126,214 |
|
0.31 |
% | ||
|
Del Friscos Rstrant Group, Inc. - 7.554% 12/31/2019 |
|
09/27/2019 |
|
134,010 |
|
134,000 |
|
0.04 |
% | ||
|
General Nutrition Centers, Inc. - 9.05% 12/31/2022 |
|
12/21/2018 |
|
376,000 |
|
376,000 |
|
0.11 |
% | ||
|
JC Penney Corp., Inc. - 6.394% 6/23/2023 |
|
10/4/2017, |
|
554,051 |
|
497,932 |
|
0.14 |
% | ||
|
Logix Holding Co. LLC TL 1L - 7.794% 12/22/2024 |
|
08/11/2017 |
|
290,904 |
|
292,344 |
|
0.08 |
% | ||
|
MB2LTL - 11.34% 11/30/2023 |
|
12/02/2016, |
|
182,125 |
|
184,363 |
|
0.05 |
% | ||
|
McDermott Technology Americas, Inc. / McDermott Technology US, Inc. - 7.176% 5/9/2025 |
|
09/19/2019, |
|
1,294,175 |
|
1,265,000 |
|
0.35 |
% | ||
|
McDermott Technology Americas, Inc. / McDermott Technology US, Inc. - 6.35% 5/4/2023 |
|
09/27/2019, |
|
768,532 |
|
744,925 |
|
0.21 |
% | ||
|
McDermott Technology Americas, Inc. / McDermott Technology US, Inc. - 6.35% 5/4/2023 |
|
09/27/2019, |
|
(717,385 |
) |
(756,066 |
) |
(0.21 |
)% | ||
|
OTGTL - 9.247% 8/23/2021 |
|
08/26/2016, |
|
671,139 |
|
677,643 |
|
0.19 |
% | ||
|
PHI Group, Inc. |
|
08/19/2019 |
|
477,861 |
|
479,828 |
|
0.14 |
% | ||
|
PHI Group, Inc. |
|
08/19/2019 |
|
212,846 |
|
221,968 |
|
0.06 |
% | ||
|
SDTL - 6.544% 11/22/2021 |
|
12/22/2016 |
|
280,091 |
|
280,140 |
|
0.08 |
% | ||
|
Transform SR Holdings LLC Term Loan B - 9.296% 2/12/2024 |
|
2/11/2019, |
|
475,655 |
|
475,185 |
|
0.13 |
% | ||
|
Xplornet Communication, Inc. - 6.104% 9/9/2021 |
|
09/08/2016, |
|
536,827 |
|
533,439 |
|
0.15 |
% | ||
|
ZW1L - 7.26% 11/16/2022 |
|
11/17/2016 |
|
357,787 |
|
360,397 |
|
0.10 |
% | ||
|
ZW2L - 11.28% 11/16/2023 |
|
11/17/2016 |
|
81,660 |
|
83,156 |
|
0.02 |
% | ||
|
TOTAL RESTRICTED SECURITIES |
|
|
|
$ |
9,753,213 |
|
$ |
9,626,059 |
|
2.69 |
% |
See Notes to Financial Statements.
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 Fund’s officers, are valued at the most recent bid price. However, most fixed income securities are generally valued at prices obtained from pricing vendors and brokers. Short-term corporate notes with maturities of 60 days or less at the time of purchase are valued at amortized cost.
Securities for which representative market quotations are not readily available or are considered unreliable by the Adviser are valued as determined in good faith under procedures adopted by the authority of the Fund’s Board of Directors. Various inputs may be reviewed in order to make a good faith determination of a security’s value. These inputs include, but are not limited to, the type and cost of the security; contractual or legal restrictions on resale of the security; relevant financial or business developments of the issuer; actively traded similar or related securities; conversion or exchange rights on the security; related corporate actions; significant events occurring after the close of trading in the security; and changes in overall market conditions. Fair valuations and valuations of investments that are not actively trading involve judgment and may differ materially from valuations of investments that would have been used had greater market activity occurred.
The 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 Fund’s determination of assumptions that market participants might reasonably use in valuing the assets. The valuation levels are not necessarily an indication of the risk associated with investing in those securities. The following table presents the valuation levels of the Fund’s investments as of September 30, 2019:
|
Investments |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
| ||||
|
Common Stocks |
|
|
|
|
|
|
|
|
| ||||
|
Internet Media |
|
$ |
34,613,758 |
|
— |
|
— |
|
$ |
34,613,758 |
| ||
|
Diversified Banks |
|
23,466,045 |
|
— |
|
— |
|
23,466,045 |
| ||||
|
Aircraft & Parts |
|
23,009,653 |
|
— |
|
— |
|
23,009,653 |
| ||||
|
Semiconductor Devices |
|
20,101,170 |
|
— |
|
— |
|
20,101,170 |
| ||||
|
Cable & Satellite |
|
18,032,532 |
|
— |
|
— |
|
18,032,532 |
| ||||
|
P&C Insurance |
|
16,225,967 |
|
— |
|
— |
|
16,225,967 |
| ||||
|
Cement & Aggregates |
|
14,576,531 |
|
— |
|
— |
|
14,576,531 |
| ||||
|
Investment Companies |
|
10,957,178 |
|
— |
|
— |
|
10,957,178 |
| ||||
|
Electrical Components |
|
8,020,003 |
|
— |
|
— |
|
8,020,003 |
| ||||
|
Banks |
|
7,238,140 |
|
— |
|
— |
|
7,238,140 |
| ||||
|
Infrastructure Software |
|
7,214,684 |
|
— |
|
— |
|
7,214,684 |
| ||||
|
Midstream - Oil & Gas |
|
6,759,462 |
|
— |
|
— |
|
6,759,462 |
| ||||
|
Consumer Finance |
|
4,975,658 |
|
— |
|
— |
|
4,975,658 |
| ||||
|
Insurance Brokers |
|
4,963,135 |
|
— |
|
— |
|
4,963,135 |
| ||||
|
E-Commerce Discretionary |
|
4,834,630 |
|
— |
|
— |
|
4,834,630 |
| ||||
|
Mining Services |
|
4,303,301 |
|
— |
|
— |
|
4,303,301 |
| ||||
|
Generic Pharmaceuticals |
|
3,703,805 |
|
— |
|
— |
|
3,703,805 |
| ||||
|
Home Improvement |
|
2,586,859 |
|
— |
|
— |
|
2,586,859 |
| ||||
|
Medical Equipment |
|
2,493,884 |
|
— |
|
— |
|
2,493,884 |
| ||||
|
Application Software |
|
2,289,173 |
|
— |
|
— |
|
2,289,173 |
| ||||
|
Food & Drug Stores |
|
1,817,003 |
|
— |
|
— |
|
1,817,003 |
| ||||
|
Energy |
|
— |
|
— |
|
$ |
701,796 |
|
701,796 |
| |||
|
Closed End Fund |
|
|
|
|
|
|
|
|
| ||||
|
Internet Media |
|
2,770,446 |
|
— |
|
— |
|
2,770,446 |
| ||||
|
Commercial Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
| ||||
|
Agency |
|
— |
|
$ |
1,886,716 |
|
— |
|
1,886,716 |
| |||
|
Agency Stripped |
|
— |
|
6,138,269 |
|
— |
|
6,138,269 |
| ||||
|
Non-Agency |
|
— |
|
5,407,006 |
|
— |
|
5,407,006 |
| ||||
|
Residential Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
| ||||
|
Agency Collateralized Mortgage Obligation |
|
— |
|
4,932,342 |
|
— |
|
4,932,342 |
| ||||
|
Agency Pool Fixed Rate |
|
— |
|
15,367,787 |
|
— |
|
15,367,787 |
| ||||
|
Non-Agency Collateralized Mortgage Obligation |
|
— |
|
9,185,055 |
|
— |
|
9,185,055 |
| ||||
|
Asset-Backed Securities |
|
|
|
|
|
|
|
|
| ||||
|
Auto |
|
— |
|
15,668,566 |
|
— |
|
15,668,566 |
| ||||
|
Collateralized Loan Obligation |
|
— |
|
15,590,951 |
|
— |
|
15,590,951 |
| ||||
|
Credit Card |
|
— |
|
5,579,386 |
|
— |
|
5,579,386 |
| ||||
|
Equipment |
|
— |
|
11,212,859 |
|
610,281 |
|
11,823,140 |
| ||||
|
Other |
|
— |
|
6,970,946 |
|
— |
|
6,970,946 |
| ||||
|
Corporate Bonds & Notes |
|
— |
|
840,433 |
|
— |
|
840,433 |
| ||||
|
Corporate Bank Debt |
|
— |
|
4,652,263 |
|
5,028,066 |
|
9,680,329 |
| ||||
|
U.S. Treasuries |
|
— |
|
12,890,113 |
|
— |
|
12,890,113 |
| ||||
|
Short-Term Investment |
|
— |
|
14,006,000 |
|
— |
|
14,006,000 |
| ||||
|
|
|
$ |
224,953,017 |
|
$ |
130,328,692 |
|
$ |
6,340,143 |
|
$ |
361,621,852 |
|
|
Corporate Bank Debt Sold Short |
|
— |
|
— |
|
$ |
(756,066 |
) |
$ |
(756,066 |
) | ||
The following table summarizes the Fund’s Level 3 investment securities and related transactions during the period ended September 30, 2019:
|
Investments |
|
Beginning |
|
Net |
|
Purchases |
|
(Sales) |
|
Gross |
|
Ending Value |
|
Net Change in |
| |||||||
|
Common Stocks |
|
— |
|
$ |
11,089 |
|
$ |
690,707 |
|
— |
|
— |
|
$ |
701,796 |
|
$ |
11,089 |
| |||
|
Residential Mortgage-Backed Securities Non-Agency Collateralized Mortgage Obligation |
|
$ |
353,935 |
|
6,165 |
|
— |
|
— |
|
$ |
(360,100 |
) |
— |
|
— |
| |||||
|
Asset-Backed Securities Equipment |
|
883,324 |
|
5,024 |
|
— |
|
$ |
(278,067 |
) |
— |
|
610,281 |
|
4,860 |
| ||||||
|
Asset-Backed Securities Other |
|
1,252,402 |
|
10,718 |
|
— |
|
(1,263,120 |
) |
— |
|
— |
|
— |
| |||||||
|
Corporate Bonds & Notes |
|
100,723 |
|
(15,712 |
) |
— |
|
(85,011 |
) |
— |
|
— |
|
— |
| |||||||
|
Corporate Bank Debt |
|
1,672,614 |
|
8,416 |
|
3,898,923 |
|
(551,887 |
) |
— |
|
5,028,066 |
|
(3,445 |
) | |||||||
|
Corporate Bank Debt Sold Short |
|
— |
|
— |
|
(756,066 |
) |
— |
|
— |
|
(756,066 |
) |
— |
| |||||||
|
|
|
$ |
4,262,998 |
|
$ |
25,700 |
|
$ |
3,833,564 |
|
$ |
(2,178,085 |
) |
$ |
(360,100 |
) |
$ |
5,584,077 |
|
$ |
12,504 |
|
* Net realized and unrealized gains (losses) are included in the related amounts in the statement of operations.
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 Fund’s Board of Directors. The Adviser employs various methods to determine fair valuations including regular review of key inputs and assumptions, and review of related market activity, if any. However, there are generally no observable trade activities in these securities. The Adviser reports to the Board of Directors at their regularly scheduled quarterly meetings, or more often if warranted. The report includes a summary of the results of the process, the key inputs and assumptions noted, and any changes to the inputs and assumptions used. When appropriate, the Adviser will recommend changes to the procedures and process employed. The value determined for an investment using the fair value procedures may differ significantly from the value realized upon the sale of such investment. Transfers of investments between different levels of the fair value hierarchy are recorded at fair value as of the end of the reporting period. There were no transfers between Level 1 and 2.
There were transfers of $360,100 out of Level 3 and into Level 2 during the period ended September 30, 2019. Transfers out were due to change from single broker quoted to vendor priced.
The following table summarized the quantitative inputs and assumptions used for items categorized as Level 3 of the fair value hierarchy as of September 30, 2019:
Source Capital
|
Financial Assets |
|
Fair Value at |
|
Valuation Technique(s) |
|
Unobservable Inputs |
|
Price/Range |
| ||
|
Common Stock |
|
$ |
701,796 |
|
Restricted Assets (a) |
|
Quotes/Prices |
|
$ |
8.31 |
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Asset-Backed Securities - Equipment |
|
$ |
610,281 |
|
Third-Party Broker Quote (b) |
|
Quotes/Prices |
|
$ |
98.39 |
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Corporate Bank Debt |
|
$ |
2,316,153 |
|
Most Recent Capitalization (Funding) (c) |
|
Cost |
|
$ |
99.21 - $100.00 |
|
|
|
|
2,711,913 |
|
Pricing Vendor |
|
Prices |
|
$ |
99.06 - $100.81 |
| |
|
|
|
|
|
|
|
|
|
|
| ||
|
Corporate Bank Debt Sold Short |
|
$ |
(756,066 |
) |
Pricing Model (d) |
|
Quotes/Prices |
|
$ |
38.25 |
|
(a) The fair value of the investment is measured at the intrinsic value of previously held bonds exchanged for new equity via company reorganization.
(b) The Third Party Broker Quote technique involves obtaining an independent third-party broker quote for the security.
(c) The significant unobservable inputs used in the fair value measurment are based on the most recent funding. If the financial condition of the underlying assets were to deteriorate, or if the market comparables were to fall, the value of this investment could be lower.
(d) The Pricing Model technique for Level 3 securities involves calculating the difference between the investment’s original funding at par versus the current vendor price of the investment. This difference is then used to value the current unfunded portion of the investment.
NOTE 2 — Federal Income Tax
The cost of investment securities held at September 30, 2019 (excluding short-term investments), was $316,282,466 for federal income tax purposes. Net unrealized appreciation consists of:
|
Gross unrealized appreciation: |
|
$ |
43,870,143 |
|
|
Gross unrealized depreciation: |
|
(12,536,757 |
) | |
|
Net unrealized appreciation: |
|
$ |
31,333,386 |
|