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: | 811-07816 | |
| Registrant Name: | PCM Fund Inc. | |
| Address of Principal Executive Offices: | 1633 Broadway | |
| New York, NY 10019 | ||
| Name and Address of Agent for Service: | William G. Galipeau | |
| 650 Newport Center Drive | ||
| Newport Beach, CA 92660 | ||
| Registrant’s telephone number, including area code: | (844) 337-4626 | |
| Date of Fiscal Year End: | December 31 | |
| Date of Reporting Period: | March 31, 2015 | |
Item 1. Schedule of Investments
| Schedule of Investments PCM Fund, Inc. March 31, 2015 (Unaudited) |
||||
| PRINCIPAL AMOUNT (000s) |
MARKET |
|||||||
| INVESTMENTS IN SECURITIES 170.7% |
||||||||
| BANK LOAN OBLIGATIONS 7.5% |
||||||||
| Albertson’s Holdings LLC |
||||||||
| 4.500% - 5.500% due 08/25/2021 |
$ | 267 | $ | 270 | ||||
| 5.000% due 08/25/2019 |
122 | 123 | ||||||
| Cactus Wellhead LLC |
||||||||
| 7.000% due 07/31/2020 |
498 | 323 | ||||||
| Clear Channel Communications, Inc. |
||||||||
| 6.928% due 01/30/2019 |
3,000 | 2,860 | ||||||
| Energy Future Intermediate Holding Co. LLC |
||||||||
| 4.250% due 06/19/2016 |
3,714 | 3,735 | ||||||
| Getty Images, Inc. |
||||||||
| 4.750% due 10/18/2019 |
383 | 324 | ||||||
| New Albertson’s, Inc. |
||||||||
| 4.750% due 06/27/2021 |
1,294 | 1,298 | ||||||
| Sequa Corp. |
||||||||
| 5.250% due 06/19/2017 |
299 | 280 | ||||||
|
|
|
|||||||
| Total Bank Loan Obligations (Cost $9,471) |
9,213 | |||||||
|
|
|
|||||||
| CORPORATE BONDS & NOTES 33.9% |
||||||||
| BANKING & FINANCE 12.7% |
||||||||
| American International Group, Inc. |
||||||||
| 8.175% due 05/15/2068 (e) |
600 | 854 | ||||||
| Blackstone CQP Holdco LP |
||||||||
| 9.296% due 03/18/2019 |
3,665 | 3,789 | ||||||
| Cantor Fitzgerald LP |
||||||||
| 7.875% due 10/15/2019 (e) |
1,000 | 1,093 | ||||||
| Exeter Finance Corp. |
||||||||
| 9.750% due 05/20/2019 |
800 | 803 | ||||||
| Ford Motor Credit Co. LLC |
||||||||
| 8.000% due 12/15/2016 (e) |
500 | 554 | ||||||
| Jefferies Finance LLC |
||||||||
| 7.500% due 04/15/2021 (e) |
687 | 665 | ||||||
| Jefferies LoanCore LLC |
||||||||
| 6.875% due 06/01/2020 (e) |
800 | 746 | ||||||
| KGH Intermediate Holdco LLC |
||||||||
| 8.500% due 08/07/2019 (c) |
1,118 | 1,055 | ||||||
| 8.500% due 08/08/2019 (c) |
373 | 351 | ||||||
| Navient Corp. |
||||||||
| 8.000% due 03/25/2020 (e) |
1,000 | 1,115 | ||||||
| 8.450% due 06/15/2018 (e) |
850 | 946 | ||||||
| OneMain Financial Holdings, Inc. |
||||||||
| 7.250% due 12/15/2021 (e) |
1,132 | 1,177 | ||||||
| Springleaf Finance Corp. |
||||||||
| 6.500% due 09/15/2017 (e) |
455 | 481 | ||||||
| 6.900% due 12/15/2017 (e) |
1,200 | 1,281 | ||||||
| Toll Road Investors Partnership LP |
||||||||
| 0.000% due 02/15/2045 |
3,515 | 721 | ||||||
|
|
|
|||||||
| 15,631 | ||||||||
|
|
|
|||||||
| INDUSTRIALS 18.1% |
||||||||
| Ancestry.com Holdings LLC (9.625% Cash or 10.375% PIK) |
||||||||
| 9.625% due 10/15/2018 (b) |
165 | 167 | ||||||
| Armored Autogroup, Inc. |
||||||||
| 9.250% due 11/01/2018 |
60 | 62 | ||||||
| Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK) |
||||||||
| 9.000% due 10/15/2019 (b)(e) |
1,089 | 904 | ||||||
| Caesars Entertainment Operating Co., Inc. |
||||||||
| 8.500% due 02/15/2020 ^(e) |
3,143 | 2,357 | ||||||
| 9.000% due 02/15/2020 ^ |
182 | 136 | ||||||
| California Resources Corp. |
||||||||
| 6.000% due 11/15/2024 (e) |
1,183 | 1,043 | ||||||
| CVS Pass-Through Trust |
||||||||
| 5.880% due 01/10/2028 (e) |
1,461 | 1,688 | ||||||
| 7.507% due 01/10/2032 (e) |
886 | 1,153 | ||||||
| Forbes Energy Services Ltd. |
||||||||
| 9.000% due 06/15/2019 (e) |
1,900 | 1,301 | ||||||
| Global Geophysical Services, Inc. |
||||||||
| 10.500% due 05/01/2017 ^ |
285 | 4 | ||||||
| Gulfport Energy Corp. |
||||||||
| 7.750% due 11/01/2020 (e) |
800 | 824 | ||||||
| Intrepid Aviation Group Holdings LLC |
||||||||
| 6.875% due 02/15/2019 |
1,130 | 1,037 | ||||||
| Rockies Express Pipeline LLC |
||||||||
| 6.875% due 04/15/2040 |
252 | 277 | ||||||
| Scientific Games International, Inc. |
||||||||
| 10.000% due 12/01/2022 (e) |
800 | 754 | ||||||
| Sequa Corp. |
||||||||
| 7.000% due 12/15/2017 |
890 | 716 | ||||||
| Sitel LLC |
||||||||
| 11.000% due 08/01/2017 (e) |
700 | 728 | ||||||
| Spanish Broadcasting System, Inc. |
||||||||
| 12.500% due 04/15/2017 (e) |
2,290 | 2,387 | ||||||
| Tenet Healthcare Corp. |
||||||||
| 4.375% due 10/01/2021 (e) |
200 | 196 | ||||||
| Trinseo Materials Operating S.C.A. |
||||||||
| 8.750% due 02/01/2019 (e) |
1,728 | 1,832 | ||||||
| UAL Pass-Through Trust |
||||||||
| 6.636% due 01/02/2024 (e) |
634 | 685 | ||||||
| 9.750% due 07/15/2018 (e) |
475 | 527 | ||||||
| 10.400% due 05/01/2018 (e) |
319 | 348 | ||||||
| UCP, Inc. |
||||||||
| 8.500% due 10/21/2017 |
1,300 | 1,305 | ||||||
| Warren Resources, Inc. |
||||||||
| 9.000% due 08/01/2022 (e) |
1,000 | 575 | ||||||
| Westmoreland Coal Co. |
||||||||
| 8.750% due 01/01/2022 |
1,264 | 1,277 | ||||||
|
|
|
|||||||
| 22,283 | ||||||||
|
|
|
|||||||
| UTILITIES 3.1% |
||||||||
| Dynegy Finance, Inc. |
||||||||
| 6.750% due 11/01/2019 |
55 | 57 | ||||||
| Illinois Power Generating Co. |
||||||||
| 6.300% due 04/01/2020 (e) |
1,515 | 1,318 | ||||||
| 7.950% due 06/01/2032 (e) |
1,024 | 891 | ||||||
| Sprint Corp. |
||||||||
| 7.125% due 06/15/2024 (e) |
1,650 | 1,625 | ||||||
|
|
|
|||||||
| 3,891 | ||||||||
|
|
|
|||||||
| Total Corporate Bonds & Notes (Cost $42,381) |
41,805 | |||||||
|
|
|
|||||||
| MUNICIPAL BONDS & NOTES 1.1% |
||||||||
| ARKANSAS 0.5% |
||||||||
| Little Rock Municipal Property Owners Multipurpose Improvement District No. 10, Arkansas Special Tax Bonds, Series 2007 |
||||||||
| 7.200% due 03/01/2032 |
590 | 573 | ||||||
|
|
|
|||||||
| WEST VIRGINIA 0.6% |
||||||||
| Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
||||||||
| 7.467% due 06/01/2047 |
870 | 761 | ||||||
|
|
|
|||||||
| Total Municipal Bonds & Notes (Cost $1,403) |
1,334 | |||||||
|
|
|
|||||||
| U.S. GOVERNMENT AGENCIES 2.0% |
||||||||
| Freddie Mac |
||||||||
| 0.657% due 01/25/2021 (a) |
2,959 | 84 | ||||||
| 0.747% due 10/25/2020 (a)(e) |
9,010 | 311 | ||||||
| 3.615% due 06/25/2041 (a)(e) |
10,500 | 2,039 | ||||||
|
|
|
|||||||
| Total U.S. Government Agencies (Cost $2,138) |
2,434 | |||||||
|
|
|
|||||||
| MORTGAGE-BACKED SECURITIES 85.1% |
||||||||
| Adjustable Rate Mortgage Trust |
||||||||
| 2.625% due 01/25/2036 ^ |
350 | 301 | ||||||
| Banc of America Alternative Loan Trust |
||||||||
| 6.333% due 04/25/2037 ^(e) |
485 | 396 | ||||||
| Banc of America Commercial Mortgage Trust |
||||||||
| 5.414% due 09/10/2047 (e) |
2,000 | 2,069 | ||||||
| Banc of America Funding Trust |
||||||||
| 2.669% due 12/20/2034 |
706 | 595 | ||||||
| 5.669% due 03/20/2036 |
224 | 205 | ||||||
| 7.000% due 10/25/2037 ^ |
906 | 578 | ||||||
| Banc of America Mortgage Trust |
||||||||
| 2.686% due 11/25/2034 |
485 | 487 | ||||||
| 2.697% due 06/20/2031 |
545 | 563 | ||||||
| 2.755% due 06/25/2035 |
306 | 295 | ||||||
| BCAP LLC Trust |
||||||||
| 0.368% due 07/26/2036 |
87 | 66 | ||||||
| 5.031% due 03/26/2036 |
92 | 92 | ||||||
| BCRR Trust |
||||||||
| 5.858% due 07/17/2040 |
1,000 | 1,081 | ||||||
| Bear Stearns Adjustable Rate Mortgage Trust |
||||||||
| 2.687% due 10/25/2035 |
1,496 | 1,489 | ||||||
| 2.706% due 05/25/2034 |
246 | 239 | ||||||
| Bear Stearns ALT-A Trust |
||||||||
| 2.488% due 05/25/2036 |
64 | 39 | ||||||
| 2.528% due 08/25/2036 ^ |
1,180 | 971 | ||||||
| 2.619% due 11/25/2036 |
1,167 | 785 | ||||||
| 2.723% due 01/25/2047 |
85 | 64 | ||||||
| 2.756% due 08/25/2036 ^ |
472 | 347 | ||||||
| 3.110% due 05/25/2036 ^ |
459 | 349 | ||||||
| 3.606% due 09/25/2034 |
251 | 247 | ||||||
| 4.121% due 07/25/2035 ^ |
209 | 158 | ||||||
| Bear Stearns Asset-Backed Securities Trust |
||||||||
| 5.500% due 12/25/2035 |
105 | 90 | ||||||
| Bear Stearns Commercial Mortgage Securities Trust |
||||||||
| 5.694% due 06/11/2050 (e) |
3,000 | 3,244 | ||||||
| 5.708% due 06/11/2040 (e) |
2,000 | 2,159 | ||||||
| 6.872% due 05/11/2039 |
1,000 | 1,019 | ||||||
| BRAD Resecuritization Trust |
||||||||
| 2.177% due 03/12/2021 |
2,662 | 218 | ||||||
| 6.550% due 03/12/2021 |
498 | 493 | ||||||
| CBA Commercial Small Balance Commercial Mortgage |
||||||||
| 5.540% due 01/25/2039 ^ |
877 | 748 | ||||||
| Chase Mortgage Finance Trust |
||||||||
| 6.000% due 03/25/2037 ^ |
417 | 373 | ||||||
| Citigroup Commercial Mortgage Trust |
||||||||
| 0.707% due 05/15/2043 (a) |
16,488 | 6 | ||||||
| 5.703% due 12/10/2049 (e) |
2,500 | 2,706 | ||||||
| Citigroup Mortgage Loan Trust, Inc. |
||||||||
| 2.467% due 11/25/2036 ^ |
308 | 271 | ||||||
| 2.586% due 09/25/2035 ^ |
396 | 346 | ||||||
| 2.658% due 08/25/2035 ^ |
242 | 226 | ||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust |
||||||||
| 5.322% due 12/11/2049 (e) |
4,012 | 4,227 | ||||||
| CitiMortgage Alternative Loan Trust |
||||||||
| 5.500% due 04/25/2022 ^ |
82 | 84 | ||||||
| COBALT Commercial Mortgage Trust |
||||||||
| 5.223% due 08/15/2048 (e) |
1,670 | 1,753 | ||||||
| Commercial Mortgage Trust |
||||||||
| 5.921% due 07/10/2046 |
690 | 772 | ||||||
| 6.586% due 07/16/2034 |
673 | 720 | ||||||
| 6.924% due 07/16/2034 (e) |
1,500 | 1,622 | ||||||
| Countrywide Alternative Loan Trust |
||||||||
| 0.454% due 02/25/2037 (e) |
455 | 357 | ||||||
| 0.464% due 02/25/2036 ^ |
1,438 | 1,161 | ||||||
| 1.128% due 12/25/2035 (e) |
3,035 | 2,517 | ||||||
| 6.000% due 11/25/2035 ^ |
241 | 126 | ||||||
| 6.000% due 04/25/2036 ^(e) |
5,586 | 4,775 | ||||||
| 6.000% due 05/25/2037 ^ |
949 | 791 | ||||||
| Countrywide Home Loan Mortgage Pass-Through Trust |
||||||||
| 0.494% due 03/25/2035 |
324 | 255 | ||||||
| 2.313% due 02/20/2036 ^ |
25 | 24 | ||||||
| 2.391% due 09/20/2036 ^ |
235 | 209 | ||||||
| 2.550% due 09/25/2047 ^ |
921 | 828 | ||||||
| 6.000% due 05/25/2037 ^ |
590 | 534 | ||||||
| Credit Suisse First Boston Mortgage Securities Corp. |
||||||||
| 7.000% due 02/25/2033 |
105 | 110 | ||||||
| Credit Suisse Mortgage Capital Certificates |
||||||||
| 5.467% due 09/16/2039 |
1,000 | 1,043 | ||||||
| Credit Suisse Mortgage Capital Mortgage-Backed Trust |
||||||||
| 5.896% due 04/25/2036 |
338 | 269 | ||||||
| 6.500% due 05/25/2036 ^ |
257 | 175 | ||||||
| FFCA Secured Franchise Loan Trust |
||||||||
| 0.982% due 09/18/2027 (a) |
2,396 | 74 | ||||||
| First Horizon Alternative Mortgage Securities Trust |
||||||||
| 2.253% due 08/25/2035 ^ |
195 | 56 | ||||||
| First Horizon Mortgage Pass-Through Trust |
||||||||
| 2.623% due 04/25/2035 |
191 | 189 | ||||||
| FREMF Mortgage Trust |
||||||||
| 0.100% due 05/25/2020 (a) |
14,516 | 54 | ||||||
| GMAC Commercial Mortgage Securities, Inc. |
||||||||
| 8.230% due 09/15/2035 |
1,072 | 1,072 | ||||||
| Greenwich Capital Commercial Funding Corp. |
||||||||
| 5.444% due 03/10/2039 (e) |
2,000 | 2,112 | ||||||
| GS Mortgage Securities Trust |
||||||||
| 1.495% due 08/10/2043 (a) |
15,802 | 955 | ||||||
| 2.551% due 05/10/2045 (a) |
6,219 | 671 | ||||||
| 6.038% due 08/10/2043 (e) |
1,670 | 1,851 | ||||||
| HarborView Mortgage Loan Trust |
||||||||
| 0.428% due 01/19/2036 (e) |
1,158 | 805 | ||||||
| 4.449% due 06/19/2036 ^ |
505 | 358 | ||||||
| IndyMac Mortgage Loan Trust |
||||||||
| 0.974% due 11/25/2034 |
185 | 169 | ||||||
| 2.781% due 06/25/2037 |
735 | 695 | ||||||
| 2.815% due 05/25/2036 |
283 | 205 | ||||||
| JPMorgan Chase Commercial Mortgage Securities Corp. |
||||||||
| 1.311% due 03/12/2039 (a) |
712 | 11 | ||||||
| JPMorgan Chase Commercial Mortgage Securities Trust |
||||||||
| 0.473% due 02/15/2046 (a) |
61,000 | 1,771 | ||||||
| 5.694% due 02/12/2049 (e) |
1,400 | 1,509 | ||||||
| 5.794% due 02/12/2051 (e) |
1,193 | 1,289 | ||||||
| 5.938% due 02/15/2051 |
61 | 61 | ||||||
| 6.450% due 05/12/2034 (e) |
3,570 | 3,701 | ||||||
| JPMorgan Commercial Mortgage-Backed Securities Trust |
||||||||
| 5.641% due 03/18/2051 (e) |
4,100 | 4,395 | ||||||
| JPMorgan Mortgage Trust |
||||||||
| 2.489% due 07/25/2035 |
203 | 204 | ||||||
| LB Commercial Mortgage Trust |
||||||||
| 5.600% due 10/15/2035 |
446 | 465 | ||||||
| 5.900% due 07/15/2044 (e) |
950 | 1,027 | ||||||
| LB-UBS Commercial Mortgage Trust |
||||||||
| 5.347% due 11/15/2038 (e) |
1,278 | 1,351 | ||||||
| Lehman Mortgage Trust |
||||||||
| 5.989% due 04/25/2036 |
325 | 306 | ||||||
| 6.000% due 05/25/2037 ^ |
704 | 689 | ||||||
| Luminent Mortgage Trust |
||||||||
| 0.344% due 12/25/2036 |
1,137 | 912 | ||||||
| MASTR Asset Securitization Trust |
||||||||
| 6.000% due 06/25/2036 ^ |
892 | 854 | ||||||
| Merrill Lynch Mortgage Investors Trust |
||||||||
| 0.594% due 07/25/2030 |
459 | 420 | ||||||
| 0.831% due 11/25/2029 |
219 | 212 | ||||||
| 2.693% due 11/25/2035 |
353 | 352 | ||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust |
||||||||
| 5.485% due 03/12/2051 (e) |
1,500 | 1,606 | ||||||
| 5.700% due 09/12/2049 (e) |
2,300 | 2,468 | ||||||
| Morgan Stanley Capital Trust |
||||||||
| 0.234% due 11/12/2049 (a) |
60,689 | 314 | ||||||
| 5.447% due 02/12/2044 (e) |
2,000 | 2,118 | ||||||
| 5.686% due 04/15/2049 |
315 | 338 | ||||||
| 5.809% due 12/12/2049 (e) |
547 | 593 | ||||||
| Morgan Stanley Capital, Inc. |
||||||||
| 6.010% due 11/15/2030 (e) |
2,344 | 2,448 | ||||||
| Morgan Stanley Mortgage Loan Trust |
||||||||
| 2.560% due 01/25/2035 ^ |
392 | 30 | ||||||
| 6.000% due 08/25/2037 ^ |
469 | 421 | ||||||
| Ocwen Residential MBS Corp. |
||||||||
| 7.000% due 10/25/2040 ^ |
82 | 0 | ||||||
| Regal Trust |
||||||||
| 2.186% due 09/29/2031 |
314 | 296 | ||||||
| Residential Accredit Loans, Inc. Trust |
||||||||
| 0.354% due 06/25/2046 |
202 | 91 | ||||||
| 3.741% due 01/25/2036 ^ |
626 | 508 | ||||||
| 6.000% due 08/25/2035 ^ |
434 | 405 | ||||||
| 6.500% due 09/25/2037 ^ |
446 | 347 | ||||||
| Residential Asset Securitization Trust |
||||||||
| 6.000% due 03/25/2037 ^ |
329 | 236 | ||||||
| Residential Funding Mortgage Securities, Inc. Trust |
||||||||
| 6.000% due 06/25/2036 ^ |
523 | 484 | ||||||
| Royal Bank of Scotland Capital Funding Trust |
||||||||
| 5.223% due 08/16/2048 (e) |
1,000 | 1,043 | ||||||
| 5.331% due 02/16/2044 |
1,000 | 1,049 | ||||||
| 5.336% due 05/16/2047 (e) |
1,000 | 1,053 | ||||||
| 6.068% due 02/17/2051 |
2,744 | 2,771 | ||||||
| Structured Adjustable Rate Mortgage Loan Trust |
||||||||
| 4.524% due 11/25/2036 ^ |
400 | 364 | ||||||
| 4.643% due 04/25/2036 ^ |
701 | 530 | ||||||
| 5.008% due 01/25/2036 ^(e) |
557 | 409 | ||||||
| 5.254% due 09/25/2036 ^ |
457 | 413 | ||||||
| Structured Asset Mortgage Investments Trust |
||||||||
| 0.384% due 08/25/2036 |
1,309 | 1,039 | ||||||
| Structured Asset Securities Corp. Trust |
||||||||
| 5.000% due 05/25/2035 |
109 | 111 | ||||||
| TBW Mortgage-Backed Trust |
||||||||
| 6.000% due 07/25/2036 ^ |
239 | 186 | ||||||
| TIAA CMBS Trust |
||||||||
| 5.770% due 06/19/2033 (e) |
732 | 740 | ||||||
| Wachovia Bank Commercial Mortgage Trust |
||||||||
| 0.949% due 10/15/2041 (a) |
5,757 | 5 | ||||||
| 5.509% due 04/15/2047 (e) |
1,000 | 1,056 | ||||||
| 5.964% due 02/15/2051 (e) |
1,825 | 1,994 | ||||||
| WaMu Commercial Mortgage Securities Trust |
||||||||
| 5.673% due 03/23/2045 (e) |
1,000 | 1,040 | ||||||
| WaMu Mortgage Pass-Through Certificates Trust |
||||||||
| 2.194% due 12/25/2036 ^(e) |
662 | 598 | ||||||
| Washington Mutual Mortgage Pass-Through Certificates Trust |
||||||||
| 6.500% due 08/25/2036 ^ |
2,341 | 1,756 | ||||||
| Wells Fargo Alternative Loan Trust |
||||||||
| 5.500% due 07/25/2022 |
70 | 70 | ||||||
| Wells Fargo Mortgage-Backed Securities Trust |
||||||||
| 5.765% due 10/25/2036 ^ |
528 | 513 | ||||||
| Wells Fargo-RBS Commercial Mortgage Trust |
||||||||
| 1.077% due 02/15/2044 (a)(e) |
30,060 | 825 | ||||||
|
|
|
|||||||
| Total Mortgage-Backed Securities (Cost $87,563) |
104,730 | |||||||
|
|
|
|||||||
| ASSET-BACKED SECURITIES 36.1% |
||||||||
| Asset-Backed Securities Corp. Home Equity Loan Trust |
||||||||
| 1.269% due 02/25/2035 |
56 | 45 | ||||||
| 3.423% due 06/21/2029 |
156 | 143 | ||||||
| Associates Manufactured Housing Pass-Through Certificates |
||||||||
| 7.150% due 03/15/2028 |
433 | 516 | ||||||
| Bayview Financial Acquisition Trust |
||||||||
| 0.458% due 12/28/2036 |
282 | 268 | ||||||
| Bear Stearns Asset-Backed Securities Trust |
||||||||
| 0.554% due 06/25/2036 |
44 | 43 | ||||||
| 2.783% due 07/25/2036 |
508 | 484 | ||||||
| Bombardier Capital Mortgage Securitization Corp. |
||||||||
| 7.830% due 06/15/2030 |
1,213 | 707 | ||||||
| Centex Home Equity Loan Trust |
||||||||
| 0.674% due 01/25/2035 (e) |
1,928 | 1,618 | ||||||
| Citigroup Mortgage Loan Trust, Inc. |
||||||||
| 0.624% due 11/25/2045 |
5,300 | 4,779 | ||||||
| Conseco Finance Securitizations Corp. |
||||||||
| 7.960% due 05/01/2031 |
415 | 321 | ||||||
| 9.163% due 03/01/2033 |
970 | 874 | ||||||
| Countrywide Asset-Backed Certificates |
||||||||
| 0.414% due 05/25/2036 |
8,005 | 4,271 | ||||||
| 1.824% due 06/25/2035 |
4,000 | 3,073 | ||||||
| EMC Mortgage Loan Trust |
||||||||
| 1.474% due 02/25/2041 |
495 | 482 | ||||||
| Fremont Home Loan Trust |
||||||||
| 0.354% due 04/25/2036 (e) |
1,941 | 1,756 | ||||||
| GE Capital Mortgage Corp. |
||||||||
| 6.705% due 04/25/2029 |
189 | 186 | ||||||
| GSAMP Trust |
||||||||
| 1.974% due 06/25/2035 |
2,200 | 1,823 | ||||||
| HSI Asset Securitization Corp. Trust |
||||||||
| 0.284% due 04/25/2037 |
2,599 | 1,538 | ||||||
| IndyMac Home Equity Mortgage Loan Asset-Backed Trust |
||||||||
| 0.414% due 04/25/2047 (e) |
6,250 | 3,839 | ||||||
| Keystone Owner Trust |
||||||||
| 9.000% due 01/25/2029 |
56 | 54 | ||||||
| Lehman XS Trust |
||||||||
| 5.420% due 11/25/2035 ^ |
441 | 449 | ||||||
| Merrill Lynch First Franklin Mortgage Loan Trust |
||||||||
| 0.414% due 05/25/2037 |
2,107 | 1,269 | ||||||
| Merrill Lynch Mortgage Investors Trust |
||||||||
| 0.674% due 06/25/2036 |
521 | 494 | ||||||
| Morgan Stanley ABS Capital, Inc. Trust |
||||||||
| 0.954% due 12/25/2034 |
266 | 221 | ||||||
| Oakwood Mortgage Investors, Inc. |
||||||||
| 6.890% due 11/15/2032 ^ |
654 | 259 | ||||||
| Renaissance Home Equity Loan Trust |
||||||||
| 7.238% due 09/25/2037 |
4,510 | 3,022 | ||||||
| Residential Asset Mortgage Products Trust |
||||||||
| 0.914% due 09/25/2032 |
61 | 56 | ||||||
| Residential Asset Securities Corp. Trust |
||||||||
| 0.634% due 06/25/2031 |
2,061 | 1,925 | ||||||
| 0.864% due 08/25/2035 (e) |
4,350 | 3,241 | ||||||
| Securitized Asset-Backed Receivables LLC Trust |
||||||||
| 0.624% due 10/25/2035 |
5,500 | 4,166 | ||||||
| Southern Pacific Secured Asset Corp. |
||||||||
| 0.344% due 07/25/2029 |
39 | 36 | ||||||
| Structured Asset Investment Loan Trust |
||||||||
| 1.899% due 10/25/2034 |
1,986 | 1,664 | ||||||
| 4.674% due 10/25/2033 |
68 | 29 | ||||||
| UCFC Manufactured Housing Contract |
||||||||
| 7.900% due 01/15/2028 |
708 | 721 | ||||||
| UPS Capital Business Credit |
||||||||
| 3.456% due 04/15/2026 |
1,856 | 45 | ||||||
|
|
|
|||||||
| Total Asset-Backed Securities (Cost $43,511) |
44,417 | |||||||
|
|
|
|||||||
| SHARES | ||||||
| COMMON STOCKS 0.2% |
||||||
| ENERGY 0.2% |
||||||
| SemGroup Corp. ‘A’ |
2,654 | 216 | ||||
|
| ||||||
| Total Common Stocks (Cost $74) |
216 | |||||
|
| ||||||
| WARRANTS 0.0% |
|
|||||
| INDUSTRIALS 0.0% |
||||||
| Global Geophysical Services, Inc. - Exp. 05/01/2049 |
1,239 | 12 | ||||
|
| ||||||
| Total Warrants (Cost $12) |
12 | |||||
|
| ||||||
| SHORT-TERM INSTRUMENTS 4.8% |
||||||
| REPURCHASE AGREEMENTS (d) 0.1% |
||||||
| 137 | ||||||
|
| ||||||
| PRINCIPAL AMOUNT (000s) |
||||||
| SHORT-TERM NOTES 3.1% |
||||||
| Federal Home Loan Bank |
||||||
| 0.058% due 05/01/2015 |
$ | 100 | 100 | |||
| 0.065% due 05/27/2015 - 06/03/2015 |
300 | 300 | ||||
| 0.069% due 05/15/2015 |
400 | 400 | ||||
| 0.070% due 05/21/2015 |
400 | 400 | ||||
| 0.074% due 05/22/2015 |
300 | 300 | ||||
| 0.075% due 06/10/2015 |
1,300 | 1,300 | ||||
| 0.086% due 05/06/2015 |
800 | 800 | ||||
| Freddie Mac |
||||||
| 0.130% due 06/09/2015 |
300 | 300 | ||||
|
| ||||||
| 3,900 | ||||||
|
| ||||||
| U.S. TREASURY BILLS 1.6% |
||||||
| 0.007% due 05/07/2015 (h) |
1,973 | 1,973 | ||||
|
| ||||||
| Total Short-Term Instruments (Cost $6,009) |
6,010 | |||||
|
| ||||||
| Total Investments in Securities (Cost $192,562) |
210,171 | |||||
|
| ||||||
| Total Investments 170.7% (Cost $192,562) |
$ 210,171 | |||||
| Financial Derivative Instruments (f)(g) (1.5%) |
(1,864) | |||||
| Other Assets and Liabilities, net (69.2%) |
(85,218) | |||||
|
| ||||||
| Net Assets Applicable to Common Shareholders 100.0% | $ 123,089 | |||||
|
| ||||||
Notes to Schedule of Investments (amounts in thousands*):
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| ^ | Security is in default. |
| (a) | Interest only security. |
| (b) | Payment in-kind bond security. |
| (c) | Restricted Securities: |
| Issuer Description | Coupon | Maturity Date |
Acquisition Date | Cost | Market Value |
Market Value as Percentage of Net Assets |
||||||||||||||||||
| KGH Intermediate Holdco LLC |
8.500% | 08/07/2019 - 08/08/2019 | 08/07/2014 | $ | 1,464 | $ | 1,406 | 1.14% | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
Borrowings and Other Financing Transactions
| (d) | Repurchase Agreements: |
| Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||
| SSB | 0.000% |
03/31/2015 | 04/01/2015 | $ | 137 | Freddie Mac 2.080% due 10/17/2022 | $ | (143 | ) | $ | 137 | $ | 137 | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total Repurchase Agreements |
|
$ | (143 | ) | $ | 137 | $ | 137 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (1) | Includes accrued interest. |
Reverse Repurchase Agreements:
| Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||
| BCY |
(0.500%) | 10/02/2014 | 09/30/2016 | $ | (920 | ) | $ | (918 | ) | |||||||
| 0.100% | 01/22/2015 | 01/21/2017 | (2,134 | ) | (2,134 | ) | ||||||||||
| 0.750% | 02/26/2015 | 05/28/2015 | (2,679 | ) | (2,681 | ) | ||||||||||
| 0.900% | 03/18/2015 | 06/19/2015 | (852 | ) | (852 | ) | ||||||||||
| 0.950% | 01/30/2015 | 04/30/2015 | (221 | ) | (221 | ) | ||||||||||
| 1.103% | 01/30/2015 | 04/30/2015 | (1,451 | ) | (1,454 | ) | ||||||||||
| 1.365% | 01/07/2015 | 07/07/2015 | (725 | ) | (727 | ) | ||||||||||
| 1.430% | 10/02/2014 | 04/02/2015 | (2,624 | ) | (2,643 | ) | ||||||||||
| 1.617% | 03/10/2015 | 06/11/2015 | (1,530 | ) | (1,532 | ) | ||||||||||
| 1.619% | 03/26/2015 | 06/26/2015 | (4,310 | ) | (4,311 | ) | ||||||||||
| 1.621% | 04/02/2015 | 07/02/2015 | (2,427 | ) | (2,427 | ) | ||||||||||
| BOS |
1.962% | 01/07/2015 | 07/06/2015 | (947 | ) | (951 | ) | |||||||||
| 2.062% | 01/07/2015 | 07/06/2015 | (950 | ) | (955 | ) | ||||||||||
| DEU |
0.800% | 01/02/2015 | 04/02/2015 | (2,045 | ) | (2,049 | ) | |||||||||
| 0.800% | 01/08/2015 | 04/08/2015 | (2,137 | ) | (2,141 | ) | ||||||||||
| 0.800% | 01/26/2015 | 04/27/2015 | (1,335 | ) | (1,337 | ) | ||||||||||
| 0.800% | 02/03/2015 | 05/04/2015 | (1,414 | ) | (1,416 | ) | ||||||||||
| 0.800% | 02/12/2015 | 05/13/2015 | (644 | ) | (645 | ) | ||||||||||
| 0.800% | 02/17/2015 | 05/18/2015 | (447 | ) | (447 | ) | ||||||||||
| 0.800% | 02/24/2015 | 04/02/2015 | (307 | ) | (307 | ) | ||||||||||
| 0.800% | 03/10/2015 | 05/19/2015 | (732 | ) | (732 | ) | ||||||||||
| 0.800% | 03/13/2015 | 04/30/2015 | (182 | ) | (182 | ) | ||||||||||
| JPS |
0.856% | 02/09/2015 | 05/07/2015 | (1,962 | ) | (1,964 | ) | |||||||||
| 0.952% | 01/14/2015 | 04/14/2015 | (5,025 | ) | (5,035 | ) | ||||||||||
| 1.018% | 03/11/2015 | 06/11/2015 | (2,245 | ) | (2,246 | ) | ||||||||||
| 1.519% | 03/18/2015 | 06/19/2015 | (2,563 | ) | (2,565 | ) | ||||||||||
| MSC |
1.100% | 01/15/2015 | 04/15/2015 | (1,928 | ) | (1,932 | ) | |||||||||
| 1.150% | 01/15/2015 | 04/15/2015 | (5,586 | ) | (5,600 | ) | ||||||||||
| RBC |
0.750% | 02/27/2015 | 05/13/2015 | (265 | ) | (265 | ) | |||||||||
| 0.780% | 12/01/2014 | 06/01/2015 | (630 | ) | (632 | ) | ||||||||||
| RDR |
0.420% | 02/06/2015 | 05/06/2015 | (794 | ) | (795 | ) | |||||||||
| 0.420% | 02/26/2015 | 05/28/2015 | (1,072 | ) | (1,072 | ) | ||||||||||
| 0.580% | 01/07/2015 | 07/07/2015 | (534 | ) | (535 | ) | ||||||||||
| 1.030% | 11/06/2014 | 05/06/2015 | (5,312 | ) | (5,334 | ) | ||||||||||
| 1.030% | 11/21/2014 | 05/21/2015 | (1,262 | ) | (1,267 | ) | ||||||||||
| 1.060% | 02/02/2015 | 08/03/2015 | (949 | ) | (951 | ) | ||||||||||
| 1.330% | 11/10/2014 | 05/11/2015 | (3,963 | ) | (3,984 | ) | ||||||||||
| 1.360% | 02/02/2015 | 08/03/2015 | (829 | ) | (831 | ) | ||||||||||
| RTA |
1.616% | 03/24/2015 | 03/24/2016 | (1,104 | ) | (1,104 | ) | |||||||||
| SAL |
0.982% | 02/19/2015 | 05/19/2015 | (3,729 | ) | (3,733 | ) | |||||||||
| 1.003% | 02/03/2015 | 05/01/2015 | (2,306 | ) | (2,310 | ) | ||||||||||
| 1.006% | 01/06/2015 | 04/07/2015 | (5,313 | ) | (5,326 | ) | ||||||||||
| 1.006% | 02/12/2015 | 05/13/2015 | (2,451 | ) | (2,454 | ) | ||||||||||
| SOG |
0.620% | 03/10/2015 | 04/29/2015 | (1,701 | ) | (1,702 | ) | |||||||||
| 0.640% | 03/10/2015 | 04/29/2015 | (1,162 | ) | (1,162 | ) | ||||||||||
| 0.670% | 02/06/2015 | 05/05/2015 | (1,027 | ) | (1,028 | ) | ||||||||||
| UBS |
0.600% | 03/23/2015 | 04/06/2015 | (1,458 | ) | (1,458 | ) | |||||||||
| 0.600% | 04/06/2015 | 04/21/2015 | (1,370 | ) | (1,370 | ) | ||||||||||
| 0.650% | 02/25/2015 | 04/02/2015 | (927 | ) | (928 | ) | ||||||||||
| 0.700% | 03/24/2015 | 04/02/2015 | (1,605 | ) | (1,605 | ) | ||||||||||
| 0.750% | 11/12/2014 | 05/12/2015 | (808 | ) | (810 | ) | ||||||||||
|
|
|
|||||||||||||||
| Total Reverse Repurchase Agreements |
$ | (91,060) | ||||||||||||||
|
|
|
|||||||||||||||
| (2) | The average amount of borrowings outstanding during the period ended March 31, 2015 was $89,360 at a weighted average interest rate of 0.970%. |
Short Sales:
| Description | Coupon | Maturity Date |
Principal Amount |
Proceeds | Payable for Short Sales (3) |
|||||||||||||||
| Sprint Corp. |
7.125 | % | 06/15/2024 | $ | 100 | $ | (98 | ) | $ | (100 | ) | |||||||||
|
|
|
|
|
|||||||||||||||||
| Total Short Sales |
$ | (98 | ) | $ | (100 | ) | ||||||||||||||
|
|
|
|
|
|||||||||||||||||
| (3) | Payable for short sales includes $2 of accrued interest. |
| (e) | Securities with an aggregate market value of $102,201 and cash of $370 have been pledged as collateral under the terms of master agreements as of March 31, 2015. |
| (f) | Financial Derivative Instruments: Exchange-Traded or Centrally Cleared |
Swap Agreements:
Interest Rate Swaps
| Variation Margin | ||||||||||||||||||||||||||||||||
| Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate | Maturity Date |
Notional Amount |
Market Value |
Unrealized (Depreciation) |
Asset | Liability | ||||||||||||||||||||||||
| Receive | 3-Month USD-LIBOR |
3.250% | 06/17/2045 | $ | 4,300 | $ | (799 | ) | $ | (425 | ) | $ | 0 | $ | (5 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Total Swap Agreements |
|
$ | (799 | ) | $ | (425 | ) | $ | 0 | $ | (5 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Cash of $568 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2015.
| (g) | Financial Derivative Instruments: Over the Counter |
Swap Agreements:
Credit Default Swaps on Credit Indices - Sell Protection (1)
| Swap Agreements, at Value (3) | ||||||||||||||||||||||||||||||
| Counterparty | Index/Tranches | Fixed Deal Receive Rate |
Maturity Date |
Notional Amount (2) |
Premiums (Received) |
Unrealized Appreciation |
Asset | Liability | ||||||||||||||||||||||
| RYL |
ABX.HE.AA.6-1 Index | 0.320% | 07/25/2045 | $ | 6,640 | $ | (3,901 | ) | $ | 2,520 | $ | 0 | $ | (1,381 | ) | |||||||||||||||
| ABX.HE.AAA.7-1 Index | 0.090% | 08/25/2037 | 2,133 | (1,056 | ) | 578 | 0 | (478 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | (4,957 | ) | $ | 3,098 | $ | 0 | $ | (1,859 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total Swap Agreements |
|
$ | (4,957 | ) | $ | 3,098 | $ | 0 | $ | (1,859 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (3) | The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| (h) | Securities with an aggregate market value of $1,973 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2015. |
Fair Value Measurements
The following is a summary of the fair valuations according to the inputs used as of March 31, 2015 in valuing the Fund’s assets and liabilities:
| Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value |
||||||||||||
| Investments in Securities, at Value |
||||||||||||||||
| Bank Loan Obligations |
$ | 0 | $ | 8,890 | $ | 323 | $ | 9,213 | ||||||||
| Corporate Bonds & Notes |
||||||||||||||||
| Banking & Finance |
0 | 9,633 | 5,998 | 15,631 | ||||||||||||
| Industrials |
0 | 19,414 | 2,869 | 22,283 | ||||||||||||
| Utilities |
0 | 3,891 | 0 | 3,891 | ||||||||||||
| Municipal Bonds & Notes |
||||||||||||||||
| Arkansas |
0 | 573 | 0 | 573 | ||||||||||||
| West Virginia |
0 | 761 | 0 | 761 | ||||||||||||
| U.S. Government Agencies |
0 | 2,434 | 0 | 2,434 | ||||||||||||
| Mortgage-Backed Securities |
0 | 104,019 | 711 | 104,730 | ||||||||||||
| Asset-Backed Securities |
0 | 44,318 | 99 | 44,417 | ||||||||||||
| Common Stocks |
||||||||||||||||
| Energy |
216 | 0 | 0 | 216 | ||||||||||||
| Warrants |
||||||||||||||||
| Industrials |
0 | 0 | 12 | 12 | ||||||||||||
| Short-Term Instruments |
||||||||||||||||
| Repurchase Agreements |
$ | 0 | $ | 137 | $ | 0 | $ | 137 | ||||||||
| Short-Term Notes |
0 | 3,900 | 0 | 3,900 | ||||||||||||
| U.S. Treasury Bills |
0 | 1,973 | 0 | 1,973 | ||||||||||||
| Total Investments |
$ | 216 | $ | 199,943 | $ | 10,012 | $ | 210,171 | ||||||||
| Short Sales, at Value - Liabilities |
|
|||||||||||||||
| Corporate Bonds & Notes |
$ | 0 | $ | (100 | ) | $ | 0 | $ | (100 | ) | ||||||
| Financial Derivative Instruments - Liabilities |
|
|||||||||||||||
| Exchange-traded or centrally cleared |
$ | 0 | $ | (5 | ) | $ | 0 | $ | (5 | ) | ||||||
| Over the counter |
0 | (1,859 | ) | 0 | (1,859 | ) | ||||||||||
| $ | 0 | $ | (1,864 | ) | $ | 0 | $ | (1,864 | ) | |||||||
| Totals |
$ | 216 | $ | 197,979 | $ | 10,012 | $ | 208,207 | ||||||||
There were no significant transfers between Levels 1 and 2 during the period ended March 31, 2015.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2015:
| Category and Subcategory | Beginning at 12/31/2014 |
Net Purchases |
Net Sales |
Accrued Discounts/ (Premiums) |
Realized Gain/(Loss) |
Net Change
in Unrealized Appreciation/ (Depreciation) (1) |
Transfers Level 3 |
Transfers out |
Ending at 03/31/2015 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 03/31/2015 (1) |
||||||||||||||||||||||||||||||
| Investments in Securities, at Value | ||||||||||||||||||||||||||||||||||||||||
| Bank Loan Obligations |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 323 | $ | 0 | $ | 323 | $ | 0 | ||||||||||||||||||||
| Corporate Bonds & Notes |
||||||||||||||||||||||||||||||||||||||||
| Banking & Finance |
2,291 | 0 | 0 | 1 | 0 | (83 | ) | 3,789 | 0 | 5,998 | (83 | ) | ||||||||||||||||||||||||||||
| Industrials |
6,755 | 4 | (87 | ) | 2 | 0 | (29 | ) | 0 | (3,776 | ) | 2,869 | 0 | |||||||||||||||||||||||||||
| Mortgage-Backed Securities |
767 | 71 | (259 | ) | (29 | ) | 99 | 62 | 0 | 0 | 711 | 136 | ||||||||||||||||||||||||||||
| Asset-Backed Securities |
99 | 0 | 0 | 3 | 0 | (3 | ) | 0 | 0 | 99 | (3 | ) | ||||||||||||||||||||||||||||
| Warrants |
||||||||||||||||||||||||||||||||||||||||
| Industrials |
0 | 12 | 0 | 0 | 0 | 0 | 0 | 0 | 12 | 0 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Totals |
$ | 9,912 | $ | 87 | $ | (346 | ) | $ | (23 | ) | $ | 99 | $ | (53 | ) | $ | 4,112 | $ | (3,776 | ) | $ | 10,012 | $ | 50 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
| Category and Subcategory | Ending Balance at 03/31/2015 |
Valuation Technique | Unobservable Inputs | Input Value(s) (% Unless Noted Otherwise) | ||||||
| Investments in Securities, at Value |
||||||||||
| Bank Loan Obligations |
$ | 323 | Benchmark Pricing | Base Price | 100.00 | |||||
| Corporate Bonds & Notes |
||||||||||
| Banking & Finance |
5,998 | Benchmark Pricing |
Base Price |
100.00 - 102.75 | ||||||
| Industrials |
1,309 | Benchmark Pricing |
Base Price |
1.25 - 100.00 | ||||||
| 685 | Third Party Vendor |
Broker Quote |
108.00 | |||||||
| 875 | Third Party Vendor |
Broker Quote |
109.13 - 111.00 | |||||||
| Mortgage-Backed Securities |
493 | Benchmark Pricing | Base Price | 0.20 - 98.75 | ||||||
| 218 | Other Valuation Techniques(2) |
— |
— | |||||||
| Asset-Backed Securities |
99 | Benchmark Pricing | Base Price | 2.40 - 96.33 | ||||||
| Warrants |
||||||||||
| Industrials |
12 | Benchmark Pricing |
Base Price |
9.50 | ||||||
|
|
|
|||||||||
| Total |
$ | 10,012 | ||||||||
|
|
|
|||||||||
| (1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2015 may be due to an investment no longer held or categorized as Level 3 at period end. |
| (2) | Includes valuation techniques not defined in the Supplementary Notes to Schedule of Investments as securities valued using such techniques are not considered significant to the Fund. |
See Accompanying Notes
Notes to Financial Statements
1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
(a) Investment Valuation Policies The net asset value (“NAV”) of the Fund’s shares is valued as of the close of regular trading (normally 4:00 p.m., Eastern time) (the “NYSE Close”) on each day that the New York Stock Exchange (“NYSE”) is open (each a “Business Day”). Information that becomes known to the Fund or its agents after the NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day.
For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Board of Trustees (the “Board”) of the Fund. The Board has formed a Valuation Committee, whose function is to monitor the valuation of portfolio securities and other financial derivative instruments and, as required by the Fund’s valuation policies, determine in good faith the fair market value of the Fund’s portfolio holdings after consideration of all relevant factors, including recommendations provided by the investment manager (the “Manager”). The Board has delegated responsibility for applying the valuation methods to the Manager. The Manager monitors the continual appropriateness of methods applied and determines if adjustments should be made in light of market factor changes and events affecting issuers.
Where market quotes are readily available, fair market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales or closing prices are reported, equity securities are generally valued at the mean of the last available bid and ask questions on the exchange or market on which the security is primarily traded, or use other information based on quotes obtained from a quotation reporting system, established market makers, or pricing services. Where market quotes are not readily available, portfolio securities and other financial derivative instruments are valued at fair market value, as determined in good faith by the Board, its Valuation Committee, or the Manager pursuant to instructions from the Board or its Valuation Committee. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, or broker quotes), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of the Fund’s securities or financial derivative instruments. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Manager, PIMCO, the responsibility for monitoring significant events that may materially affect the values of the Fund’s securities or financial derivative instruments and for determining whether the value of the applicable securities or financial derivative instruments should be re-evaluated in light of such significant events.
The Board has adopted methods for valuing securities and other financial derivative instruments that may require fair valuation under particular circumstances. The Manager monitors the continual appropriateness of fair valuation methods applied and determines if adjustments should be made in light of market changes, events affecting the issuer, or other factors. If the Manager determines that a fair valuation method may no longer be appropriate, another valuation method may be selected, or the Valuation Committee may take any appropriate action in accordance with procedures set forth by the Board. The Board reviews the appropriateness of the valuation methods from time to time, and these methods may be amended or supplemented from time to time by the Valuation Committee.
In circumstances in which daily market quotes are not readily available, investments may be valued pursuant to guidelines established by the Board. In the event that the security or other financial derivative instruments cannot be valued pursuant to the established guidelines, the value of the security or other financial derivative instrument will be determined in good faith by the Valuation Committee, generally based upon recommendations provided by the Manager. These methods may require subjective determinations about the value of a security. While the Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects security values as of the time of pricing, the Fund cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold or settled.
(b) Fair Value Hierarchy U.S. GAAP describes fair market value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for the major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows:
| • | Level 1—Inputs using (unadjusted) quoted prices in active markets or exchanges for identical assets or liabilities. |
| • | Level 2—Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. |
| • | Level 3—Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments. |
Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the valuation method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of valuation methods used by third-party pricing services (Level 2) to the use of a broker quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by third-party pricing services or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers between Levels 1 and 2 and transfers in and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments of the Fund.
For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. The end of period timing recognition is used for the transfers between Levels of the Fund’s assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy, and if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments for the Fund.
(c) Valuation Techniques and the Fair Value Hierarchy
Level 1 and Level 2 trading assets and trading liabilities, at fair market value The valuation methods (or “techniques”) and significant inputs used in determining the fair market values of portfolio securities or financial derivative instruments categorized as Level 1 and Level 2 of the fair value hierarchy are as follows:
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued by pricing service providers that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Short-term investments having a maturity of 60 days or less and repurchase agreements are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.
Equity exchange-traded options and over the counter financial derivative instruments, such as foreign currency contracts, options contracts, or swap agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued by independent pricing service providers. Depending on the product and the terms of the transaction, financial derivative instruments can be valued by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indices, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange. For centrally cleared credit default swaps the clearing facility requires its members to provide actionable price levels across complete term structures. These levels, along with external third-party prices, are used to produce daily settlement prices. These securities are categorized as Level 2 of the fair value hierarchy. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates including the overnight index swap rate and London Interbank Offered Rate (“LIBOR”) forward rate to produce the daily settlement price. These securities are categorized as Level 2 of the fair value hierarchy.
Level 3 trading assets and trading liabilities, at fair value When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, securities will be priced by a method that the Board or persons acting at their direction believe reflects fair value and are categorized as Level 3 of the fair value hierarchy. The valuation techniques and significant inputs used in determining the fair values of portfolio assets and liabilities categorized as Level 3 of the fair value hierarchy are as follows:
Benchmark pricing procedures set the base price of a fixed income security and subsequently adjust the price proportionally to market value changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price, or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Committee. Significant changes in the unobservable inputs of the benchmark pricing process (the base price) would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy. The validity of the fair value is reviewed by the Manager on a periodic basis and may be amended as the availability of market data indicates a material change.
If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain indicative market quotations (“broker quotes”) directly from the broker-dealer or passed through from a third-party vendor. In the event that fair value is based upon a single sourced broker quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker quotes are typically received from established market participants. Although independently received, the Manager does not have the transparency to view the underlying inputs which support the market quotation. Significant changes in the broker quote would have direct and proportional changes in the fair value of the security.
The validity of the fair value is reviewed by PIMCO on a periodic basis and may be amended as the availability of market data indicates a material change.
2. FEDERAL INCOME TAX MATTERS
The Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the “Code”) and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.
In accordance with U.S. GAAP, the Manager has reviewed the Fund’s tax positions for all open tax years. As of March 31, 2015, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns.
The Fund files U.S. tax returns. While the statute of limitations remains open to examine the Fund’s U.S. tax returns filed for the fiscal years ending in 2012-2014, no examinations are in progress or anticipated at this time. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
As of March 31, 2015, the aggregate cost and the net unrealized appreciation/(depreciation) of investments for federal income tax purposes are as follows (amounts in thousands):
| Federal Tax Cost |
Aggregate Gross Unrealized Appreciation |
Aggregate Gross Unrealized (Depreciation) |
Net Unrealized Appreciation/ (Depreciation) (1) |
|||||||||||
| $ | 192,562 | $ | 23,458 | $ | (5,849) | $ | 17,609 | |||||||
| (1) | Primary differences, if any, between book and tax net unrealized appreciation/(depreciation) are attributable to wash sale loss deferrals for federal income tax purposes. |
| GLOSSARY: (abbreviations that may be used in the preceding statements) |
(Unaudited) | |||||||||
| Counterparty Abbreviations: |
||||||||||
| BCY | Barclays Capital, Inc. | RBC | Royal Bank of Canada | SAL | Citigroup Global Markets, Inc. | |||||
| BOS | Banc of America Securities LLC | RDR | RBC Dain Rausher, Inc. | SOG | Societe Generale | |||||
| DEU | Deutsche Bank Securities, Inc. | RTA | RBC (Barbados) Trading Bank Corp. | SSB | State Street Bank and Trust Co. | |||||
| JPS | JPMorgan Securities, Inc. | RYL | Royal Bank of Scotland Group PLC | UBS | UBS Securities LLC | |||||
| MSC | Morgan Stanley & Co., Inc. | |||||||||
| Currency Abbreviations: | ||||||||||
| USD (or $) | United States Dollar | |||||||||
| Index Abbreviations: | ||||||||||
| ABX.HE | Asset-Backed Securities Index - Home Equity | |||||||||
| Other Abbreviations: | ||||||||||
| ABS | Asset-Backed Security | CMBS | Collateralized Mortgage-Backed Security | MBS | Mortgage-Backed Security | |||||
| ALT | Alternate Loan Trust | LIBOR | London Interbank Offered Rate | PIK | Payment-in-Kind | |||||
Item 2. Controls and Procedures
(a) The registrant’s President, Principal Executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))), are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no significant changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d))) 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
A separate certification for each principal executive officer and principal financial & accounting officer of the registrant as required by Rule 30a-2 under the 1940 Act is attached as Exhibit 99.CERT.
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.
PCM Fund Inc.
| By: | /s/ Peter G. Strelow | |
| Peter G. Strelow | ||
| President, Principal Executive Officer | ||
| Date: May 28, 2015 | ||
| By: | /s/ William G. Galipeau | |
| William G. Galipeau, Treasurer, | ||
| Principal Financial & Accounting Officer | ||
| Date: May 28, 2015 | ||
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/ Peter G. Strelow | |
| Peter G. Strelow, | ||
| President, Principal Executive Officer | ||
| Date: May 28, 2015 | ||
| By: | /s/ William G. Galipeau | |
| William G. Galipeau, Treasurer, | ||
| Principal Financial & Accounting Officer | ||
| Date: May 28, 2015 | ||