PCM Fund Inc.

 

 

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:    Trent W. Walker
   650 Newport Center Drive
   Newport Beach, CA 92660
Registrant’s telephone number, including area code:    (844) 337-4626
Date of Fiscal Year End:    June 30
Date of Reporting Period:    March 31, 2018


Item 1. Schedule of Investments

 


Schedule of Investments

PCM Fund, Inc.

March 31, 2018 (Unaudited)

(AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF SHARES, CONTRACTS AND UNITS, IF ANY)

 

                                         
    PRINCIPAL
AMOUNT
(000S)
    MARKET
VALUE
(000S)
 

INVESTMENTS IN SECURITIES 154.5% ¤

   

LOAN PARTICIPATIONS AND ASSIGNMENTS 3.2%

   

Beacon Roofing Supply, Inc.

   

3.936% due 01/02/2025

  $ 10     $ 10  

Caesars Resort Collection LLC

   

4.627% due 12/22/2024

    100       101  

Centene Corp.

   

TBD% due 09/13/2018

    300       300  

Forbes Energy Services LLC

   

5.000% - 7.000% due 04/13/2021

    454       467  

Frontier Communications Corp.

   

5.630% due 06/15/2024

    99       98  

iHeartCommunications, Inc.

   

TBD% due 01/30/2019 ^(e)

    3,000       2,398  

MH Sub LLC

   

5.527% due 09/13/2024

    20       20  

Multi Color Corp.

   

4.127% due 10/31/2024

    3       3  

Sequa Mezzanine Holdings LLC

   

7.071% due 11/28/2021

    40       40  

10.752% due 04/28/2022

    220       224  

Sinclair Broadcast Group, Inc.

   

TBD% due 12/12/2024

    100       101  

West Corp.

   

5.877% due 10/10/2024

    9       9  
   

 

 

 
Total Loan Participations and Assignments
(Cost $4,310)
      3,771  
   

 

 

 

CORPORATE BONDS & NOTES 11.8%

   

BANKING & FINANCE 4.8%

   

Assurant, Inc.

   

4.200% due 09/27/2023

    12       12  

Athene Holding Ltd.

   

4.125% due 01/12/2028

    10       10  

Bank of America Corp.

   

5.875% due 03/15/2028 •(j)

    84       85  

Cantor Fitzgerald LP

   

7.875% due 10/15/2019 (m)

    740       787  

CIT Group, Inc.

   

4.125% due 03/09/2021

    12       12  

5.250% due 03/07/2025

    10       10  

Exeter Finance Corp.

   

9.750% due 05/20/2019 «

    800       782  

Fortress Transportation & Infrastructure Investors LLC

   

6.750% due 03/15/2022

    12       12  

Hunt Cos., Inc.

   

6.250% due 02/15/2026

    6       6  

iStar, Inc.

   

4.625% due 09/15/2020

    3       3  

5.250% due 09/15/2022

    10       10  

Jefferies Finance LLC

   

7.500% due 04/15/2021

    187       190  

Kennedy-Wilson, Inc.

   

5.875% due 04/01/2024

    14       14  

Life Storage LP

   

3.875% due 12/15/2027

    6       6  

LoanCore Capital Markets LLC

   

6.875% due 06/01/2020

    1,000       1,013  

MetLife, Inc.

   

5.875% due 03/15/2028 •(j)

    30       31  

Navient Corp.

   

5.875% due 03/25/2021 (m)

    465       477  

6.500% due 06/15/2022

    16       17  

Oppenheimer Holdings, Inc.

   

6.750% due 07/01/2022

    10       10  

Physicians Realty LP

   

3.950% due 01/15/2028

    12       11  

Provident Funding Associates LP

   

6.375% due 06/15/2025

    6       6  

Santander Holdings USA, Inc.

   

3.400% due 01/18/2023

    12       12  

4.400% due 07/13/2027

    4       4  

Springleaf Finance Corp.

   

5.250% due 12/15/2019

    14       14  


                                         

5.625% due 03/15/2023 (m)

    200       197  

6.125% due 05/15/2022 (m)

    131       134  

6.875% due 03/15/2025

    70       70  

7.750% due 10/01/2021 (m)

    150       163  

8.250% due 12/15/2020 (m)

    900       982  

Starwood Property Trust, Inc.

   

4.750% due 03/15/2025

    14       14  

STORE Capital Corp.

   

4.500% due 03/15/2028

    8       8  

Toll Road Investors Partnership LP

   

0.000% due 02/15/2045 (h)

    1,174       287  

Vici Properties LLC

   

8.000% due 10/15/2023

    322       358  
   

 

 

 
      5,747  
   

 

 

 

INDUSTRIALS 6.6%

   

American Woodmark Corp.

   

4.875% due 03/15/2026

    2       2  

Andeavor Logistics LP

   

3.500% due 12/01/2022

    2       2  

4.250% due 12/01/2027

    4       4  

Anheuser-Busch InBev Worldwide, Inc.

   

4.000% due 04/13/2028 (c)

    22       22  

4.375% due 04/15/2038 (c)

    21       21  

4.600% due 04/15/2048 (c)

    17       18  

4.750% due 04/15/2058 (c)

    26       27  

Aramark Services, Inc.

   

5.000% due 02/01/2028

    8       8  

Ball Corp.

   

4.875% due 03/15/2026

    14       14  

Berry Global, Inc.

   

4.500% due 02/15/2026

    14       13  

BMC Software Finance, Inc.

   

8.125% due 07/15/2021 (m)

    285       286  

Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK)

   

9.000% due 10/15/2019 (d)(m)

    510       511  

Campbell Soup Co.

   

2.645% due 03/16/2020 ~

    30       30  

2.775% due 03/15/2021 ~

    20       20  

3.300% due 03/15/2021

    20       20  

3.650% due 03/15/2023

    30       30  

3.950% due 03/15/2025

    20       20  

4.150% due 03/15/2028

    30       30  

4.800% due 03/15/2048

    10       10  

Charles River Laboratories International, Inc.

   

5.500% due 04/01/2026 (c)

    6       6  

Charter Communications Operating LLC

   

4.200% due 03/15/2028

    27       26  

Cheniere Energy Partners LP

   

5.250% due 10/01/2025

    5       5  

Chesapeake Energy Corp.

   

4.970% (US0003M + 3.250%) due 04/15/2019 ~

    10       10  

Cleveland-Cliffs, Inc.

   

4.875% due 01/15/2024

    6       6  

Community Health Systems, Inc.

   

5.125% due 08/01/2021

    235       220  

6.250% due 03/31/2023

    490       454  

Coty, Inc.

   

6.500% due 04/15/2026 (c)

    20       20  

Crown Americas LLC

   

4.750% due 02/01/2026

    10       10  

CVS Health Corp.

   

2.687% due 03/09/2020 ~

    20       20  

3.125% due 03/09/2020

    40       40  

3.350% due 03/09/2021

    30       30  

3.700% due 03/09/2023

    100       100  

4.100% due 03/25/2025

    60       60  

4.300% due 03/25/2028

    80       81  

4.780% due 03/25/2038

    20       20  

5.050% due 03/25/2048

    30       32  

CVS Pass-Through Trust

   

5.880% due 01/10/2028

    1,210       1,291  

DAE Funding LLC

   

4.000% due 08/01/2020

    10       10  

4.500% due 08/01/2022

    10       9  

5.000% due 08/01/2024

    30       28  

Diamond Resorts International, Inc.

   

10.750% due 09/01/2024 (m)

    500       546  

Discovery Communications LLC

   

3.950% due 03/20/2028

    9       9  

Exela Intermediate LLC

   

10.000% due 07/15/2023

    23       23  

Fresh Market, Inc.

   

9.750% due 05/01/2023 (m)

    350       205  


                                         

Full House Resorts, Inc.

   

8.575% due 01/31/2024 «

    100       97  

Harland Clarke Holdings Corp.

   

8.375% due 08/15/2022

    8       8  

Hologic, Inc.

   

4.375% due 10/15/2025

    4       4  

iHeartCommunications, Inc.

   

9.000% due 12/15/2019 ^(e)

    93       74  

9.000% due 03/01/2021 ^(e)

    70       56  

Ingevity Corp.

   

4.500% due 02/01/2026

    10       10  

Intrepid Aviation Group Holdings LLC

   

6.875% due 02/15/2019 (m)

    1,800       1,782  

IRB Holding Corp.

   

6.750% due 02/15/2026

    4       4  

Kronos Acquisition Holdings, Inc.

   

9.000% due 08/15/2023

    200       190  

Live Nation Entertainment, Inc.

   

5.625% due 03/15/2026

    4       4  

Meredith Corp.

   

6.875% due 02/01/2026

    10       10  

Netflix, Inc.

   

4.875% due 04/15/2028

    6       6  

PetSmart, Inc.

   

5.875% due 06/01/2025

    22       16  

Pisces Midco, Inc.

   

8.000% due 04/15/2026 (c)

    40       40  

Pitney Bowes, Inc.

   

4.700% due 04/01/2023

    8       8  

Radiate Holdco LLC

   

6.875% due 02/15/2023

    10       10  

Scientific Games International, Inc.

   

5.000% due 10/15/2025

    3       3  

Standard Industries, Inc.

   

4.750% due 01/15/2028

    22       21  

Sunoco LP

   

4.875% due 01/15/2023

    14       13  

T-Mobile USA, Inc.

   

4.750% due 02/01/2028

    10       10  

Transcontinental Gas Pipe Line Co. LLC

   

4.600% due 03/15/2048

    6       6  

Tronox, Inc.

   

6.500% due 04/15/2026 (c)

    14       14  

UAL Pass-Through Trust

   

6.636% due 01/02/2024

    484       508  

Valeant Pharmaceuticals International, Inc.

   

9.250% due 04/01/2026

    6       6  

ViaSat, Inc.

   

5.625% due 09/15/2025

    18       17  

Viking Cruises Ltd.

   

5.875% due 09/15/2027

    6       6  

VOC Escrow Ltd.

   

5.000% due 02/15/2028

    14       13  

Western Digital Corp.

   

4.750% due 02/15/2026

    52       52  

Westmoreland Coal Co.

   

8.750% due 01/01/2022

    1,225       435  

Wyndham Hotels & Resorts, Inc.

   

5.375% due 04/15/2026 (c)

    6       6  
   

 

 

 
      7,778  
   

 

 

 

UTILITIES 0.4%

   

AT&T, Inc.

   

2.850% due 02/14/2023

    40       40  

3.400% due 08/14/2024

    80       81  

3.900% due 08/14/2027

    70       71  

4.900% due 08/14/2037

    70       71  

5.150% due 02/14/2050

    106       107  

5.300% due 08/14/2058

    32       32  

Calpine Corp.

   

5.250% due 06/01/2026

    4       4  

Frontier Communications Corp.

   

8.500% due 04/01/2026

    20       19  

Sprint Capital Corp.

   

6.900% due 05/01/2019

    2       2  


                                         

Sprint Corp.

   

7.625% due 03/01/2026

    54       53  
   

 

 

 
      480  
   

 

 

 
Total Corporate Bonds & Notes
(Cost $14,489)
      14,005  
   

 

 

 

CONVERTIBLE BONDS & NOTES 0.0%

   

INDUSTRIALS 0.0%

   

Caesars Entertainment Corp.

   

5.000% due 10/01/2024

    28       48  
   

 

 

 
Total Convertible Bonds & Notes
(Cost $51)
      48  
   

 

 

 

MUNICIPAL BONDS & NOTES 0.8%

   

ARKANSAS 0.1%

   

Little Rock Municipal Property Owners Multipurpose Improvement District No. 10, Arkansas Special Tax Bonds, Series 2007

   

7.200% due 03/01/2032

    165       161  
   

 

 

 

WEST VIRGINIA 0.7%

   

Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007

   

7.467% due 06/01/2047

    820       815  
   

 

 

 
Total Municipal Bonds & Notes
(Cost $937)
      976  
   

 

 

 

U.S. GOVERNMENT AGENCIES 5.2%

   

Fannie Mae

   

5.422% (US0001M + 3.550%) due 07/25/2029 ~

    170       185  

7.622% (US0001M + 5.750%) due 07/25/2029 ~

    230       269  

Freddie Mac

   

0.000% due 04/25/2045 - 11/25/2050 (b)(h)

    3,517       2,259  

0.000% due 04/25/2046 (b)(h)(m)

    1,046       881  

0.100% due 05/25/2020 - 11/25/2050 (a)

    47,748       165  

0.200% due 04/25/2045 (a)

    1,136       2  

0.542% due 01/25/2021 ~(a)

    2,587       35  

0.680% due 10/25/2020 ~(a)

    8,420       118  

2.011% due 11/25/2045 ~(a)

    1,027       155  

3.615% due 06/25/2041 ~(a)(m)

    10,500       1,038  

7.022% (US0001M + 5.150%) due 10/25/2029 ~

    500       565  

9.422% (US0001M + 7.550%) due 12/25/2027 ~

    449       555  
   

 

 

 
Total U.S. Government Agencies
(Cost $6,032)
      6,227  
   

 

 

 

NON-AGENCY MORTGAGE-BACKED SECURITIES 55.5%

   

Adjustable Rate Mortgage Trust

   

3.682% due 01/25/2036 ^~

    187       177  

Banc of America Alternative Loan Trust

   

6.515% due 04/25/2037 ^~

    218       209  

Banc of America Funding Trust

   

3.203% due 12/20/2034 ~

    342       286  

3.775% due 03/20/2036 ~

    99       93  

5.806% due 03/25/2037 ^~

    112       107  

7.000% due 10/25/2037 ^

    653       458  

Banc of America Mortgage Trust

   

3.658% due 11/25/2034 ~

    181       184  

3.801% due 06/25/2035 ~

    128       125  

4.076% due 06/20/2031 ~

    409       418  

Bancorp Commercial Mortgage Trust

   

5.490% due 08/15/2032 ~(m)

    2,300       2,318  

Barclays Commercial Mortgage Securities Trust

   

6.777% (LIBOR01M + 5.000%) due 08/15/2027 ~(m)

    900       885  

BCAP LLC Trust

   

1.790% due 07/26/2036 ~

    87       69  

Bear Stearns ALT-A Trust

   

2.042% (US0001M + 0.170%) due 04/25/2037 ~

    879       863  

3.354% due 08/25/2036 ^~

    620       619  

3.378% due 05/25/2036 ^~

    306       283  

3.400% due 05/25/2036 ~

    48       40  

3.492% due 09/25/2034 ~

    101       100  

3.695% due 01/25/2047 ~

    48       38  

3.860% due 08/25/2036 ^~

    321       252  

3.867% due 07/25/2035 ^~

    165       146  

4.267% due 11/25/2036 ^~

    853       731  

Bear Stearns Asset-Backed Securities Trust

   

5.500% due 12/25/2035

    48       43  

Bear Stearns Commercial Mortgage Securities Trust

   

5.657% due 10/12/2041 ~(m)

    1,258       1,188  

5.760% due 04/12/2038 ~

    40       31  

BRAD Resecuritization Trust

   

2.184% due 03/12/2021 «

    2,053       97  

6.550% due 03/12/2021 «

    384       385  


                                         

CBA Commercial Small Balance Commercial Mortgage

   

5.540% due 01/25/2039 ^

    457       386  

CD Mortgage Trust

   

5.688% due 10/15/2048 (m)

    1,555       777  

Chase Mortgage Finance Trust

   

6.000% due 03/25/2037 ^

    269       230  

Citigroup Commercial Mortgage Trust

   

5.612% due 12/10/2049 ~(m)

    708       545  

Citigroup Mortgage Loan Trust

   

3.608% due 11/25/2036 ^~

    126       122  

3.767% due 11/25/2035 ~

    1,874       1,304  

3.872% due 08/25/2035 ^~

    89       82  

Citigroup Mortgage Loan Trust, Inc.

   

3.485% due 10/25/2035 ~

    672       528  

Citigroup Mortgage Loan Trust, Inc. Mortgage Pass-Through Certificates

   

3.608% due 09/25/2035 ^~

    200       177  

Citigroup/Deutsche Bank Commercial Mortgage Trust

   

5.398% due 12/11/2049 ~

    187       111  

CitiMortgage Alternative Loan Trust

   

5.500% due 04/25/2022 ^

    33       33  

Commercial Mortgage Asset Trust

   

6.000% due 11/17/2032

    565       566  

Commercial Mortgage Loan Trust

   

6.034% due 12/10/2049 ~

    869       536  

Commercial Mortgage Trust

   

4.750% due 10/15/2045 ~(m)

    1,500       1,132  

5.505% due 03/10/2039 ~(m)

    313       243  

5.658% due 06/10/2046 ~

    130       99  

6.126% due 07/10/2046 ~(m)

    690       715  

Countrywide Alternative Loan Trust

   

2.152% (US0001M + 0.280%) due 02/25/2037 ~

    277       252  

2.162% (US0001M + 0.290%) due 02/25/2036 ^~

    880       738  

2.283% (12MTA + 1.000%) due 12/25/2035 ~(m)

    1,476       1,367  

2.422% (US0001M + 0.550%) due 10/25/2037 ~

    5,252       1,815  

5.500% due 03/25/2035

    607       467  

6.000% due 11/25/2035 ^

    184       74  

6.000% due 04/25/2036 ^(m)

    3,467       2,739  

Countrywide Home Loan Mortgage Pass-Through Trust

   

2.512% (US0001M + 0.640%) due 03/25/2035 ~

    187       165  

3.402% due 09/20/2036 ^~

    147       128  

3.462% (US0012M + 1.750%) due 02/20/2036 ^~

    13       11  

3.473% due 09/25/2047 ^~

    576       543  

3.742% (US0001M + 1.870%) due 03/25/2046 ^~(m)

    1,016       669  

6.000% due 05/25/2037 ^

    329       270  

Credit Suisse First Boston Mortgage Securities Corp.

   

7.000% due 02/25/2033

    69       75  

Credit Suisse Mortgage Capital Certificates

   

2.061% (LIBOR01M + 0.500%) due 11/30/2037 ~

    2,900       2,552  

Credit Suisse Mortgage Capital Mortgage-Backed Trust

   

5.896% due 04/25/2036

    266       192  

6.000% due 07/25/2036

    1,451       1,225  

6.500% due 05/25/2036 ^

    171       109  

First Horizon Alternative Mortgage Securities Trust

   

3.375% due 08/25/2035 ^~

    41       8  

First Horizon Mortgage Pass-Through Trust

   

3.987% due 04/25/2035 ~

    69       71  

GE Commercial Mortgage Corp. Trust

   

5.606% due 12/10/2049 ~(m)

    1,700       1,716  

GS Mortgage Securities Corp.

   

4.591% due 10/10/2032 ~

    1,000       894  

GS Mortgage Securities Trust

   

1.374% due 08/10/2043 ~(a)

    13,692       345  

2.220% due 05/10/2045 ~(a)

    4,382       249  

5.622% due 11/10/2039 (m)

    750       708  

6.052% due 08/10/2043 ~(m)

    1,670       1,693  

GSR Mortgage Loan Trust

   

3.546% due 03/25/2047 ~(m)

    1,496       1,388  

HarborView Mortgage Loan Trust

   

2.308% (US0001M + 0.500%) due 01/19/2036 ~

    822       650  

IndyMac Mortgage Loan Trust

   

2.672% (US0001M + 0.800%) due 11/25/2034 ~

    125       113  

3.338% due 05/25/2036 ~

    184       141  

3.848% due 06/25/2037 ~

    337       314  

JPMorgan Alternative Loan Trust

   

6.500% due 03/25/2036 (m)

    1,241       1,115  

JPMorgan Chase Commercial Mortgage Securities Corp.

   

1.559% due 03/12/2039 ~(a)

    232       1  

JPMorgan Chase Commercial Mortgage Securities Trust

   

0.525% due 02/15/2046 ~(a)

    59,516       874  

2.972% due 05/15/2045 ~(m)

    2,200       1,141  

4.000% due 08/15/2046 ~(m)

    1,000       571  

5.585% due 01/12/2043 ~

    130       134  

6.450% due 05/12/2034 ~

    169       169  

JPMorgan Mortgage Trust

   

3.739% due 07/25/2035 ~

    85       87  


                                         

LB-UBS Commercial Mortgage Trust

   

5.350% due 09/15/2040 ~(m)

    1,200       1,213  

5.407% due 11/15/2038 (m)

    378       292  

5.562% due 02/15/2040 ~(m)

    355       226  

5.767% due 02/15/2040 ~

    200       200  

Lehman Mortgage Trust

   

5.000% due 08/25/2021 ^

    214       214  

5.837% due 04/25/2036 ~

    190       173  

6.000% due 05/25/2037 ^

    384       387  

MASTR Adjustable Rate Mortgages Trust

   

3.584% due 11/25/2035 ^~(m)

    497       417  

MASTR Asset Securitization Trust

   

6.000% (US0001M + 6.000%) due 06/25/2036 ^~

    448       439  

Merrill Lynch Mortgage Investors Trust

   

2.292% (US0001M + 0.420%) due 07/25/2030 ~

    155       148  

2.532% (US0001M + 0.660%) due 11/25/2029 ~

    126       124  

3.667% due 11/25/2035 ~

    181       184  

Merrill Lynch Mortgage Trust

   

5.810% due 06/12/2050 ~(m)

    1,800       1,820  

Morgan Stanley Capital Trust

   

0.309% due 11/12/2049 ~(a)

    6,489       29  

5.399% due 12/15/2043 (m)

    784       614  

5.993% due 06/11/2049 ~

    209       212  

Morgan Stanley Mortgage Loan Trust

   

3.734% due 01/25/2035 ^~

    272       114  

6.000% due 08/25/2037 ^

    257       214  

Morgan Stanley Resecuritization Trust

   

3.804% due 03/26/2037 ~

    5,469       5,149  

Mortgage Equity Conversion Asset Trust

   

4.000% due 07/25/2060 «

    223       195  

Motel 6 Trust

   

8.703% due 08/15/2019 ~(m)

    1,580       1,603  

Regal Trust

   

2.277% (D11COF + 1.500%) due 09/29/2031 ~

    49       46  

Residential Accredit Loans, Inc. Trust

   

4.467% due 01/25/2036 ^~(m)

    419       364  

6.000% due 08/25/2035 ^

    285       269  

6.500% due 09/25/2037 ^

    276       245  

Residential Asset Securitization Trust

   

6.000% due 03/25/2037 ^

    242       173  

Residential Funding Mortgage Securities, Inc. Trust

   

6.000% due 06/25/2036 ^

    272       270  

Structured Adjustable Rate Mortgage Loan Trust

   

3.563% due 01/25/2036 ^~

    338       265  

3.595% due 04/25/2036 ^~

    396       357  

3.633% due 09/25/2036 ^~

    201       185  

Structured Asset Mortgage Investments Trust

   

2.082% (US0001M + 0.210%) due 08/25/2036 ^~

    934       856  

TBW Mortgage-Backed Trust

   

6.000% due 07/25/2036 ^

    160       126  

Wachovia Bank Commercial Mortgage Trust

   

0.855% due 10/15/2041 ~(a)

    1,152       0  

5.691% due 10/15/2048 ~

    200       203  

5.720% due 10/15/2048 ~(m)

    2,400       2,456  

WaMu Mortgage Pass-Through Certificates Trust

   

2.277% (COF 11 + 1.500%) due 11/25/2046 ~

    479       456  

2.362% (US0001M + 0.490%) due 06/25/2044 ~

    539       506  

3.254% due 12/25/2036 ^~(m)

    403       389  

Washington Mutual Mortgage Pass-Through Certificates Trust

   

6.500% due 08/25/2036 ^(m)

    1,509       1,177  

Wells Fargo Alternative Loan Trust

   

5.500% due 07/25/2022

    25       25  

Wells Fargo-RBS Commercial Mortgage Trust

   

0.783% due 02/15/2044 ~(a)(m)

    14,463       287  
   

 

 

 
Total Non-Agency Mortgage-Backed Securities
(Cost $60,825)
      66,126  
   

 

 

 

ASSET-BACKED SECURITIES 67.5%

   

Airspeed Ltd.

   

2.047% (LIBOR01M + 0.270%) due 06/15/2032 ~

    722       628  

Asset-Backed Securities Corp. Home Equity Loan Trust

   

2.967% (US0001M + 1.095%) due 02/25/2035 ~(m)

    3,374       3,431  

3.597% (US0001M + 1.725%) due 12/25/2034 ~(m)

    1,771       1,766  

5.091% (US0001M + 3.250%) due 06/21/2029 ~

    148       145  

Associates Manufactured Housing Pass-Through Certificates

   

7.150% due 03/15/2028 ~(m)

    373       410  

Bayview Financial Acquisition Trust

   

2.157% (US0001M + 0.280%) due 12/28/2036 ~

    108       108  

Bear Stearns Asset-Backed Securities Trust

   

2.252% (US0001M + 0.380%) due 04/25/2036 ~

    2,646       2,767  

2.252% (US0001M + 0.380%) due 06/25/2036 ~

    12       12  

3.558% due 07/25/2036 ~

    387       389  

Bombardier Capital Mortgage Securitization Corp.

   

7.830% due 06/15/2030 ~

    1,185       491  

Centex Home Equity Loan Trust

   

2.622% (US0001M + 0.750%) due 01/25/2035 ~(m)

    1,643       1,587  


                                         

Citigroup Mortgage Loan Trust

   

2.032% (US0001M + 0.160%) due 12/25/2036 ~(m)

    1,708       1,129  

2.092% (US0001M + 0.220%) due 12/25/2036 ~

    902       486  

2.322% (US0001M + 0.450%) due 11/25/2045 ~(m)

    4,748       4,696  

2.572% (US0001M + 0.700%) due 11/25/2046 ~

    1,900       1,124  

Citigroup Mortgage Loan Trust, Inc.

   

2.132% (US0001M + 0.260%) due 03/25/2037 ~(m)

    4,061       3,696  

Conseco Finance Securitizations Corp.

   

7.960% due 05/01/2031

    366       239  

9.163% due 03/01/2033 ~

    878       828  

Countrywide Asset-Backed Certificates

   

2.002% (US0001M + 0.130%) due 12/25/2036 ^~

    1,246       1,169  

2.012% (US0001M + 0.140%) due 06/25/2035 ~(m)

    2,667       2,388  

2.012% (US0001M + 0.140%) due 06/25/2047 ^~(m)

    3,018       2,771  

2.022% (US0001M + 0.150%) due 04/25/2047 ~(m)

    1,123       1,093  

2.072% (US0001M + 0.200%) due 06/25/2037 ^~(m)

    839       758  

2.112% (US0001M + 0.240%) due 05/25/2036 ~(m)

    8,526       6,186  

3.522% (US0001M + 1.650%) due 06/25/2035 ~(m)

    4,000       3,543  

Countrywide Asset-Backed Certificates Trust

   

2.142% (US0001M + 0.270%) due 09/25/2046 ~

    5,000       3,128  

Crecera Americas LLC

   

0.000% due 08/31/2020 ~

    1,900       1,902  

EMC Mortgage Loan Trust

   

2.922% (US0001M + 1.050%) due 05/25/2040 ~

    595       531  

3.172% (LIBOR01M + 1.300%) due 02/25/2041 ~

    318       314  

Fremont Home Loan Trust

   

2.052% (US0001M + 0.180%) due 04/25/2036 ~

    1,063       887  

GE Capital Mortgage Services, Inc. Trust

   

6.705% due 04/25/2029 ~

    103       87  

GSAMP Trust

   

3.622% (US0001M + 1.750%) due 12/25/2034 ~

    2,074       1,248  

3.672% (US0001M + 1.800%) due 06/25/2035 ~

    2,200       2,169  

Home Equity Mortgage Loan Asset-Backed Trust

   

2.112% (US0001M + 0.240%) due 04/25/2037 ~(m)

    4,985       3,789  

HSI Asset Securitization Corp. Trust

   

1.982% (US0001M + 0.110%) due 04/25/2037 ~(m)

    3,961       2,355  

Lehman XS Trust

   

5.420% due 11/25/2035 ^

    109       109  

Mastr Asset Backed Securities Trust

   

1.982% (US0001M + 0.110%) due 08/25/2036 ~(m)

    3,390       1,853  

Morgan Stanley ABS Capital, Inc. Trust

   

2.652% (US0001M + 0.780%) due 12/25/2034 ~

    170       158  

Morgan Stanley Home Equity Loan Trust

   

2.937% (US0001M + 1.065%) due 05/25/2035 ~

    1,978       1,264  

National Collegiate Commutation Trust

   

0.000% (7-DayAuc) due 03/25/2038 ~

    3,500       1,821  

People’s Financial Realty Mortgage Securities Trust

   

2.002% (US0001M + 0.130%) due 09/25/2036 ~

    1,547       500  

Renaissance Home Equity Loan Trust

   

7.238% due 09/25/2037 ^(m)

    4,078       2,290  

Residential Asset Securities Corp. Trust

   

2.562% (US0001M + 0.690%) due 08/25/2035 ~(m)

    4,350       3,800  

Securitized Asset-Backed Receivables LLC Trust

   

2.266% (LIBOR01M + 0.645%) due 01/25/2035 ~

    1,228       1,115  

2.322% (US0001M + 0.450%) due 10/25/2035 ~(m)

    5,500       5,330  

SoFi Professional Loan Program LLC

   

0.000% due 03/25/2036 «(h)

    10       201  

0.000% due 01/25/2039 «(h)

    1,000       553  

0.000% due 05/25/2040 «(h)

    1,000       558  

0.000% due 09/25/2040 «(h)

    339       197  

Southern Pacific Secured Asset Corp.

   

2.212% (US0001M + 0.340%) due 07/25/2029 ~

    15       15  

Structured Asset Investment Loan Trust

   

3.597% (US0001M + 1.725%) due 10/25/2034 ~

    1,986       1,953  

6.372% (US0001M + 4.500%) due 10/25/2033 ~

    68       66  

UCFC Manufactured Housing Contract

   

7.900% due 01/15/2028 ^~

    384       379  

UPS Capital Business Credit

   

7.527% (US0001M + 5.750%) due 04/15/2026 «~

    1,856       39  
   

 

 

 
Total Asset-Backed Securities
(Cost $73,127)
      80,451  
   

 

 

 
    SHARES        

COMMON STOCKS 1.0%

   

CONSUMER DISCRETIONARY 0.7%

   

Caesars Entertainment Corp. (f)

    71,398       803  
   

 

 

 

ENERGY 0.3%

   

Forbes Energy Services Ltd. (f)(k)

    35,625       339  


                                         

Warren Resources, Inc. «

    7,681       10  
   

 

 

 
      349  
   

 

 

 
Total Common Stocks
(Cost $3,585)
      1,152  
   

 

 

 

WARRANTS 0.0%

   

INDUSTRIALS 0.0%

   

Sequa Corp. - Exp. 04/28/2024 «

    118,000       39  
   

 

 

 
Total Warrants
(Cost $0)
      39  
   

 

 

 

PREFERRED SECURITIES 1.7%

   

INDUSTRIALS 1.7%

   

Sequa Corp.

   

9.000% «

    2,185       1,967  
   

 

 

 
Total Preferred Securities
(Cost $2,185)
      1,967  
   

 

 

 

REAL ESTATE INVESTMENT TRUSTS 1.6%

   

REAL ESTATE 1.6%

   

VICI Properties, Inc. (k)

    104,988       1,923  
   

 

 

 
Total Real Estate Investment Trusts
(Cost $1,538)
      1,923  
   

 

 

 

SHORT-TERM INSTRUMENTS 6.2%

   

REPURCHASE AGREEMENTS (l) 4.5%

      5,381  
   

 

 

 
    PRINCIPAL
AMOUNT
(000S)
       

SHORT-TERM NOTES 0.4%

   

Federal Home Loan Bank

   

1.428% due 04/06/2018 (h)(i)

  $ 500       500  
   

 

 

 

U.S. TREASURY BILLS 1.3%

   

1.444% due 04/19/2018 - 04/26/2018 (g)(h)(p)

    1,516       1,514  
   

 

 

 
Total Short-Term Instruments
(Cost $7,396)
      7,395  
   

 

 

 
Total Investments in Securities
(Cost $174,475)
      184,080  
   

 

 

 
Total Investments 154.5%
(Cost $174,475)
    $ 184,080  
Financial Derivative Instruments (n)(o) (1.0)%
(Cost or Premiums, net $185)
      (1,200
Other Assets and Liabilities, net (53.5)%       (63,705
   

 

 

 
Net Assets Applicable to Common Shareholders 100.0%     $ 119,175  
   

 

 

 


Notes to Schedule of Investments:

 

* A zero balance may reflect actual amounts rounding to less than one thousand.

 

¤ The geographical classification of foreign (non-U.S.) securities in this report are classified by the country of incorporation of a holding. In certain instances, a security’s country of incorporation may be different from its country of economic exposure.

 

^ Security is in default.

 

« Security valued using significant unobservable inputs (Level 3).

 

~ Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.

 

Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.

 

(a) Interest only security.

 

(b) Principal only security.

 

(c) When-issued security.

 

(d) Payment in-kind security.

 

(e) Security is not accruing income as of the date of this report.

 

(f) Security did not produce income within the last twelve months.

 

(g) Coupon represents a weighted average yield to maturity.

 

(h) Zero coupon security.

 

(i) Coupon represents a yield to maturity.

 

(j) Perpetual maturity; date shown, if applicable, represents next contractual call date.

 

(k) Restricted Securities:

 

Issuer Description    Acquisition Date      Cost      Market
Value
    Market Value
as Percentage
of Net Assets
 

Forbes Energy Services Ltd.

     07/29/2014      $ 1,769      $ 339       0.29%  

VICI Properties, Inc.

     04/30/2014 - 11/06/2017        1,538        1,923       1.61%  
     

 

 

    

 

 

   

 

 

 
   $   3,307      $   2,262       1.90%  
     

 

 

    

 

 

   

 

 

 

Borrowings and Other Financing Transactions

 

(l) Repurchase Agreements:

 

Counterparty   Lending
Rate
    Settlement
Date
    Maturity
Date
    Principal
Amount
    Collateralized By   Collateral
(Received)
    Repurchase
Agreements,
at Value
    Repurchase
Agreement
Proceeds
to be
Received (1)
 
FICC     1.250     03/29/2018       04/02/2018     $ 681     U.S. Treasury Notes 2.000% due 04/30/2024   $ (699   $ 681     $ 681  
SAL     1.910       03/29/2018       04/02/2018         4,700     U.S. Treasury Notes 1.750% due 05/31/2022     (4,799     4,700       4,701  
           

 

 

   

 

 

   

 

 

 

Total Repurchase Agreements

      $   (5,498   $   5,381     $   5,382  
           

 

 

   

 

 

   

 

 

 


Reverse Repurchase Agreements:

 

Counterparty    Borrowing
Rate (2)
     Settlement
Date
     Maturity
Date
    Amount
Borrowed (2)
    Payable for
Reverse
Repurchase
Agreements
 

BCY

     2.697      01/03/2018        04/03/2018     $ (204   $ (205
     2.760        01/26/2018        04/26/2018       (547     (550
     2.797        01/03/2018        04/03/2018         (4,714       (4,747
     2.984        02/27/2018        05/30/2018       (743     (745
     3.072        01/17/2018        01/17/2019       (2,832     (2,850

GSC

     2.836        03/16/2018        04/16/2018       (754     (755

JPS

     2.443        12/05/2017        06/05/2018       (4,662     (4,699

MSB

     3.187        02/05/2018        02/05/2019       (1,110     (1,116

NOM

     2.500        03/22/2018        04/23/2018       (203     (203

RCY

     2.940        01/19/2018        05/29/2018       (192     (193
     3.220        02/02/2018        08/02/2018       (2,903     (2,918
     3.240        02/07/2018        08/07/2018       (1,541     (1,549
     3.350        03/20/2018        06/20/2018       (1,138     (1,139
     3.450        03/12/2018        09/12/2018       (6,635     (6,648

RDR

     2.290        02/27/2018        05/30/2018       (731     (733

RTA

     2.616        10/06/2017        04/06/2018       (3,465     (3,510
     2.698        11/08/2017        05/08/2018       (2,865     (2,896
     2.879        05/08/2017        05/07/2018       (3,436     (3,526
     2.888        05/11/2017        05/07/2018       (4,415     (4,530
     2.889        04/13/2017        04/05/2018       (3,009     (3,095
     2.945        11/27/2017        05/29/2018       (218     (220
     3.017        01/31/2018        07/31/2018       (1,717     (1,726
     3.296        03/08/2018        09/07/2018       (2,612     (2,618
     3.519        03/12/2018        09/12/2018       (1,577     (1,580

SAL

     2.596        01/05/2018        04/05/2018       (1,347     (1,355

SOG

     2.250        01/24/2018        04/24/2018       (444     (446
     2.250        01/29/2018        04/24/2018       (286     (287
     2.350        03/02/2018        06/04/2018       (1,173     (1,175
     2.440        03/14/2018        06/14/2018       (492     (493
     2.954        01/10/2018        07/10/2018       (924     (930
     2.969        11/15/2017        05/15/2018       (459     (461

UBS

     2.590        01/23/2018        04/23/2018       (1,308     (1,315
     2.887        02/05/2018        05/07/2018       (1,751     (1,759
     2.900        02/09/2018        05/09/2018       (3,057     (3,070
     3.084        02/27/2018        05/31/2018       (1,887     (1,893
            

 

 

 

Total Reverse Repurchase Agreements

             $   (65,935
            

 

 

 

 

(m) Securities with an aggregate market value of $89,235 have been pledged as collateral under the terms of master agreements as of March 31, 2018.

 

(1)  Includes accrued interest.
(2)  The average amount of borrowings outstanding during the period ended March 31, 2018 was $(69,419) at a weighted average interest rate of 2.682%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period.

 

(n) Financial Derivative Instruments: Exchange-Traded or Centrally Cleared

Swap Agreements:

Credit Default Swaps on Corporate Issues - Sell Protection (1)

 

      Variation Margin  
Reference Entity   Fixed
Receive Rate
    Payment
Frequency
  Maturity
Date
    Implied Credit
Spread at
March 31, 2018 (2)
    Notional
Amount (3)
    Premiums
Paid/
(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value
    Asset     Liability  

Frontier Communications Corp.

    5.000   Quarterly     06/20/2020       8.984   $   590     $   (33   $   (11   $   (44   $   0     $ 0  

Sprint Communications, Inc.

    5.000     Quarterly     12/20/2021       2.888       300       9       13       22       0       (1
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
          $ (24   $ 2     $ (22   $ 0     $   (1
           

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Interest Rate Swaps

 

      Variation Margin  
Pay/Receive
Floating Rate
   Floating Rate Index    Fixed Rate      Payment
Frequency
   Maturity
Date
     Notional
Amount
    Premiums
Paid/
(Received)
    Unrealized
Appreciation/
(Depreciation)
    Market
Value
    Asset     Liability  
Pay   

3-Month USD-LIBOR

     1.500    Semi-Annual      12/21/2021      $ 1,500     $ 22     $ (80   $ (58   $ 0     $ 0  
Receive (4)   

3-Month USD-LIBOR

     2.000      Semi-Annual      06/20/2023        6,500       182       43       225       0       (5
Pay   

3-Month USD-LIBOR

     1.750      Semi-Annual      12/21/2023          60,000         1,131         (4,021     (2,890     48       0  
Pay   

3-Month USD-LIBOR

     1.750      Semi-Annual      12/21/2026        3,200       77       (323     (246     5       0  
Receive (4)   

3-Month USD-LIBOR

     2.500      Semi-Annual      06/20/2038        20,200       465       785       1,250       0       (91
Receive (4)   

3-Month USD-LIBOR

     2.500      Semi-Annual      06/20/2048        1,600       132       (6     126       0       (9
                

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
           $ 2,009     $ (3,602   $ (1,593   $ 53     $ (105
                

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

        $ 1,985     $ (3,600   $   (1,615   $   53     $   (106
                

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Cash of $1,200 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2018.

 

(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, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.


(2)  Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
(3)  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.
(4)  This instrument has a forward starting effective date.

 

(o) 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
Receive
Rate
    Payment
Frequency
  Maturity
Date
    Notional
Amount (2)
    Premiums
Paid/
(Received)
    Unrealized
Appreciation/
(Depreciation)
    Asset     Liability  
DUB  

CMBX.NA.BBB-.6 Index

    3.000   Monthly     05/11/2063     $ 300     $ (16   $ (28   $ 0     $ (44
 

CMBX.NA.BBB-.8 Index

    3.000     Monthly     10/17/2057       600       (69     (22     0       (91
 

CMBX.NA.BBB-.9 Index

    3.000     Monthly     09/17/2058       300       (38     (1     0       (39
FBF  

CMBX.NA.BBB-.8 Index

    3.000     Monthly     10/17/2057       100       (16     1       0       (15
GST  

ABX.HE.AA.6-1 Index

    0.320     Monthly     07/25/2045         5,539       (1,102     772       0       (330
 

ABX.HE.PENAAA.7-1 Index

    0.090     Monthly     08/25/2037       1,334       (258     42       0       (216
 

CMBX.NA.A.6 Index

    2.000     Monthly     05/11/2063       500       (25     3       0       (22
 

CMBX.NA.BB.6 Index

    5.000     Monthly     05/11/2063       300       (41     (30     0       (71
 

CMBX.NA.BBB-.6 Index

    3.000     Monthly     05/11/2063       700       (39     (64     0       (103
 

CMBX.NA.BBB-.7 Index

    3.000     Monthly     01/17/2047       100       (5     (7     0       (12
 

CMBX.NA.BBB-.9 Index

    3.000     Monthly     09/17/2058       700       (87     (3     0       (90
MYC  

CMBX.NA.BBB-.10 Index

    3.000     Monthly     11/17/2059       1,200       (126     (6     0       (132
 

CMBX.NA.BBB-.7 Index

    3.000     Monthly     01/17/2047       300       (13     (22     0       (35
 

CMBX.NA.BBB-.8 Index

    3.000     Monthly     10/17/2057       100       (12     (3     0       (15
 

CMBX.NA.BBB-.9 Index

    3.000     Monthly     09/17/2058       300       (37     (2     0       (39
           

 

 

   

 

 

   

 

 

   

 

 

 
          $   (1,884   $   630     $   0     $   (1,254
           

 

 

   

 

 

   

 

 

   

 

 

 

Interest Rate Swaps

 

      Swap Agreements, at Value  
Counterparty   Pay/Receive
Floating Rate
  Floating Rate Index   Fixed
Rate
    Payment
Frequency
  Maturity
Date
    Notional
Amount
    Premiums
Paid/
(Received)
    Unrealized
Appreciation/
(Depreciation)
    Asset     Liability  
MYC  

Pay

  3-Month USD-LIBOR     2.860%     Semi-Annual     04/26/2023     $   50,000     $ 84     $ 23     $ 107     $ 0  
             

 

 

   

 

 

   

 

 

   

 

 

 

Total Swap Agreements

          $   (1,800   $   653     $   107     $   (1,254
             

 

 

   

 

 

   

 

 

   

 

 

 

 

(p) Securities with an aggregate market value of $1,243 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2018.

 

(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, securities or other deliverable obligations 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 indicators 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.

Fair Value Measurements

The following is a summary of the fair valuations according to the inputs used as of March 31, 2018 in valuing the Fund’s assets and liabilities:

 

Category and Subcategory    Level 1        Level 2        Level 3        Fair Value
at 03/31/2018
 

Investments in Securities, at Value

 

Loan Participations and Assignments

   $ 0        $ 3,771        $ 0        $ 3,771  

Corporate Bonds & Notes

 

Banking & Finance

     0          4,965          782          5,747  

Industrials

     0          7,681          97          7,778  

Utilities

     0          480          0          480  

Convertible Bonds & Notes

 

Industrials

     0          48          0          48  

Municipal Bonds & Notes

 

Arkansas

     0          161          0          161  

West Virginia

     0          815          0          815  

U.S. Government Agencies

     0          6,227          0          6,227  

Non-Agency Mortgage-Backed Securities

     0          65,449          677          66,126  

Asset-Backed Securities

     0          78,903          1,548          80,451  

Common Stocks

 

Consumer Discretionary

     803          0          0          803  

Energy

     0          339          10          349  

Warrants

 

Industrials

     0          0          39          39  

Preferred Securities

 

Industrials

     0          0          1,967          1,967  

Real Estate Investment Trusts

 

Real Estate

     1,923          0          0          1,923  

Short-Term Instruments

 

Repurchase Agreements

     0          5,381          0          5,381  

Short-Term Notes

     0          500          0          500  

U.S. Treasury Bills

     0          1,514          0          1,514  

Total Investments

   $ 2,726        $ 176,234        $ 5,120        $ 184,080  

Financial Derivative Instruments - Assets

 

Exchange-traded or centrally cleared

     0          53          0          53  

Over the counter

     0          107          0          107  
   $ 0        $ 160        $ 0        $ 160  

Financial Derivative Instruments - Liabilities

 

Exchange-traded or centrally cleared

     0          (106        0          (106

Over the counter

     0          (1,254        0          (1,254
     $ 0        $ (1,360      $ 0        $ (1,360

Total Financial Derivative Instruments

   $ 0        $ (1,200      $ 0        $ (1,200

Totals

   $   2,726        $   175,034        $   5,120        $   182,880  

There were no significant transfers among Levels 1 and 2 during the period ended March 31, 2018.


The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2018:

 

Category and Subcategory   Beginning
Balance
at 06/30/2017
    Net
Purchases
    Net
Sales
    Accrued
Discounts/
(Premiums)
    Realized
Gain/
(Loss)
    Net Change in
Unrealized
Appreciation/
(Depreciation) (1)
    Transfers
into
Level 3
    Transfers
out
of Level 3
    Ending
Balance
at 03/31/2018
    Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
03/31/2018 (1)
 
Investments in Securities, at Value                    

Loan Participations and Assignments

  $ 438     $ 23     $ 0     $ 9     $ 0     $ (3   $ 0     $ (467   $ 0     $ 0  

Corporate Bonds & Notes

                   

Banking & Finance

    780       0       0       2       0       0       0       0       782       0  

Industrials

    1,292       98       (1,313     0       13       7       0       0       97       (1

Non-Agency Mortgage-Backed Securities

    767       0       (64     3       6       (35     0       0       677       (34

Asset-Backed Securities

    3,133       192       0       75       0       (31     0       (1,821     1,548       (197

Common Stocks

                   

Energy

    10       0       0       0       0       0       0       0       10       0  

Warrants

                   

Industrials

    56       0       0       0       0       (17     0       0       39       (17

Preferred Securities

                   

Industrials

    2,131       0       0       0       0       (164     0       0       1,967       (164
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Totals

  $   8,607     $   313     $   (1,377   $   89     $   19     $   (243   $   0     $   (2,288   $   5,120     $   (413
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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 03/31/2018
     Valuation Technique   Unobservable Inputs      Input Value(s)
(% Unless Noted Otherwise)
 

Investments in Securities, at Value

 

Corporate Bonds & Notes

 

Banking & Finance

   $ 782     

Reference Instrument

 

Spread Movement

       318.000 bps  

Industrials

     97     

Reference Instrument

 

Yield

       9.773  

Non-Agency Mortgage-Backed  Securities

     482     

Proxy Pricing

 

Base Price

       4.700 - 100.250  
     195     

Third Party Vendor

 

Broker Quote

       87.250  

Asset-Backed Securities

     1,509     

Proxy Pricing

 

Base Price

       55.250 - 2,011.000  
     39     

Third Party Vendor

 

Broker Quote

       2.125  

Common Stocks

 

Energy

     10     

Other Valuation Techniques (2)

 

—  

        

Warrants

 

Industrials

     39     

Other Valuation Techniques (2)

 

—  

        

Preferred Securities

 

Industrials

     1,967     

Indicative Market Quotation

 

Broker Quote

     $ 900.000  
  

 

 

           

Total

   $   5,120            
  

 

 

           

 

(1)  Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2018 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 determined by dividing the total value of portfolio investments and other assets attributable to that Fund less any liabilities by the total number of shares outstanding of the Fund.

On each day that the New York Stock Exchange (“NYSE”) is open, Fund shares are ordinarily valued as of the close of regular trading (“NYSE Close”). Information that becomes known to the Fund or its agents after the time as of which 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. The Fund reserves the right to change the time as of which its NAV is calculated if the Fund closes earlier, or as permitted by the U.S. Securities and Exchange Commission (“SEC”).

For purposes of calculating a NAV, portfolio securities and other assets for which market quotes are readily available are valued at market value. Market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from established market makers or prices (including evaluated prices) supplied by the Fund’s approved pricing services, quotation reporting systems and other third-party sources (together, “Pricing Services”). The Fund will normally use pricing data for domestic equity securities received shortly after the NYSE Close and does not normally take into account trading, clearances or settlements that take place after the NYSE Close. If market value pricing is used, a foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by Pacific Investment Management Company LLC (“PIMCO” or the “Manager”) to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Services may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Services. The Fund’s investments in open-end management investment companies, other than exchange-traded funds (“ETFs”), are valued at the NAVs of such investments.

If a foreign (non-U.S.) equity security’s value has materially changed after the close of the security’s primary exchange or principal market but before the NYSE Close, the security may be valued at fair value based on procedures established and approved by the Board of Trustees of the Trust (the “Board”). Foreign (non-U.S.) equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, the Fund may determine the fair value of investments based on information provided by Pricing Services and other third-party vendors, which may recommend fair value or adjustments with reference to other securities, indices or assets. In considering whether fair valuation is required and in determining fair values, the Fund may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indices) that occur after the close of the relevant market and before the NYSE Close. The Fund may utilize modeling tools provided by third-party vendors to determine fair values of non-U.S. securities. For these purposes, any movement in the applicable reference index or instrument (“zero trigger”) relating to the non-U.S security being fair valued between the earlier close of the applicable foreign market and the NYSE Close may be deemed to be a significant event, prompting the application of the pricing model (effectively resulting in daily fair valuations). Foreign exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Fund is not open for business, which may result in the Fund’s portfolio investments being affected when shareholders are unable to buy or sell shares.

Senior secured floating rate loans for which an active secondary market exists to a reliable degree will be valued at the mean of the last available bid/ask prices in the market for such loans, as provided by a Pricing Service. Senior secured floating rate loans for which an active secondary market does not exist to a reliable degree will be valued at fair value, which is intended to approximate market value. In valuing a senior secured floating rate loan at fair value, the factors considered may include, but are not limited to, the following: (a) the creditworthiness of the borrower and any intermediate participants, (b) the terms of the loan, (c) recent prices in the market for similar loans, if any, and (d) recent prices in the market for instruments of similar quality, rate, period until next interest rate reset and maturity.

Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Services. As a result, the value of such investments and, in turn, the NAV of the Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of investments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Fund is not open for business. As a result, to the extent that the Fund holds foreign (non-U.S.) investments, the value of those investments may change at times when shareholders are unable to buy or sell shares and the value of such investments will be reflected in the Fund’s next calculated NAV.

Investments for which market quotes or market based valuations are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated to PIMCO the responsibility for applying the fair valuation methods. In the event that market quotes or market based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value of the security or asset will be determined in good faith by the Valuation Oversight Committee of the Board (“Valuation Oversight Committee”), generally based on recommendations provided by the Manager. 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, indicative market quotations (“Broker Quotes”), Pricing Services’ prices), 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 assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the 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 the responsibility for monitoring significant events that may materially affect the values of the Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of such significant events.

When the Fund uses fair valuation to determine the value of a portfolio security or other asset for purposes of calculating its NAV, such investments will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe reflects fair value. Fair valuation 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 ensure that fair 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.

(b) Fair Value Hierarchy U.S. GAAP describes fair 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 each 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 risks associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows:

 

  Level 1—Quoted prices in active markets or exchanges for identical assets and 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 method utilized in valuing the investments. Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by 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 into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for 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 realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums), and transfers into and out of the Level 3 category during the period. The end of period value 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 value The valuation methods (or “techniques”) and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities 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 on the basis of quotes obtained from brokers and dealers or Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Services’ 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.

Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to market daily until settlement at the forward settlement date and 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 Services that use broker-dealer quotations, reported trades 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.

Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Services that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

Equity exchange-traded options and over the counter financial derivative instruments, such as forward foreign currency contracts and options contracts derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing Services (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction, financial derivative instruments can be valued by Pricing Services 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 and over the counter swaps derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. They are valued using a broker-dealer bid quotation or on market-based prices provided by Pricing Services (normally determined as of the NYSE close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models may use inputs that are observed from actively quoted markets such as the overnight index swap rate (“OIS”), London Interbank Offered Rate (“LIBOR”) forward rate, interest rates, yield curves and credit spreads. 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, investments 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:

Proxy 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 Oversight Committee. Significant changes in the unobservable inputs of the proxy 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.

If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain 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.

Reference instrument valuation estimates fair value by utilizing the correlation of the security to one or more broad-based securities, market indices, and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include those used in algorithm formulas based on percentage change in the reference instruments and/or weights of each reference instrument. Significant changes in the unobservable inputs 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.

Short-term debt instruments (such as commercial paper) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost value of such short-term debt instruments is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source of the base price.

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.

The Fund may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.

In accordance with U.S. GAAP, the Manager has reviewed the Fund’s tax positions for all open tax years. As of March 31, 2018, 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. federal, state, and local tax returns as required. The Fund’s tax returns are subject to examination by relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return but which can be extended to six years in certain circumstances. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.


GLOSSARY: (abbreviations that may be used in the preceding statements)      (Unaudited)
Counterparty Abbreviations:                  
BCY    Barclays Capital, Inc.   JPS    JP Morgan Securities, Inc.   RDR    RBC Capital Markets LLC
DUB    Deutsche Bank AG   MSB    Morgan Stanley Bank, N.A   RTA    Bank of New York Mellon Corp.
FBF    Credit Suisse International   MYC    Morgan Stanley Capital Services, Inc.   SAL    Citigroup Global Markets, Inc.
FICC    Fixed Income Clearing Corporation   NOM    Nomura Securities International Inc.   SOG    Societe Generale
GSC    Goldman Sachs & Co.   RCY    Royal Bank of Canada   UBS    UBS Securities LLC
GST    Goldman Sachs International          
Currency Abbreviations:                  
USD (or $)    United States Dollar          
Exchange Abbreviations:                  
OTC    Over the Counter          
Index/Spread Abbreviations:                  
12MTA    12 Month Treasury Average   COF 11    Cost of Funds - 11th District of San Francisco   US0001M    1 Month USD Swap Rate
7-DayAuc    7 Day Auction Rate   D11COF    Cost of Funds - 11th District of San Francisco   US0003M    3 Month USD Swap Rate
ABX.HE    Asset-Backed Securities Index - Home Equity   LIBOR01M    1 Month USD-LIBOR   US0012M    12 Month USD Swap Rate
CMBX    Commercial Mortgage-Backed Index          
Other Abbreviations:                  
ABS    Asset-Backed Security   LIBOR    London Interbank Offered Rate   TBA    To-Be-Announced
ALT    Alternate Loan Trust   PIK    Payment-in-Kind   TBD%    Interest rate to be determined when loan settles


Item 2. Controls and Procedures

 

  (a) The principal executive officer and principal financial & accounting officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 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 report.

 

  (b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that have materially affected, or are 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 29, 2018
By:  

/s/ Trent W. Walker

Trent W. Walker
Treasurer (Principal Financial & Accounting Officer)
Date: May 29, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:  

/s/ Peter G. Strelow

Peter G. Strelow
President (Principal Executive Officer)
Date: May 29, 2018
By:  

/s/ Trent W. Walker

Trent W. Walker
Treasurer (Principal Financial & Accounting Officer)
Date: May 29, 2018