P
ACHOLDER
H
IGH
Y
IELD
F
UND,
I
NC.
Schedule of Portfolio Investments (continued)
As of March 31, 2013 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Shares
(000)
|
|
|
Value
|
|
|
Percent
of Net
Assets*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENT 2.6%
|
|
|
|
|
|
|
|
|
|
INVESTMENT COMPANY 2.6%
|
|
|
|
|
|
|
|
|
|
|
|
|
JPMorgan Prime Money Market Fund, Institutional Class Shares,
0.050%
5,13
|
|
|
|
|
|
|
|
|
|
|
|
|
(cost $2,900,165)
|
|
|
2,900
|
|
|
$
|
2,900,165
|
|
|
|
2.6
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS
|
|
|
|
|
|
|
|
|
|
|
|
|
(cost $155,423,002)
|
|
|
|
|
|
|
155,932,201
|
|
|
|
137.2
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Stock and Liabilities
in Excess of Other Assets
|
|
|
|
|
|
|
(42,250,949
|
)
|
|
|
(37.2
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets Applicable to
Common Stockholders
|
|
|
|
|
|
$
|
113,681,252
|
|
|
|
100.0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ADR
|
|
American Depositary Receipt
|
VAR
|
|
Variable Rate Security. The interest rate shown is the rate in effect as of March 31, 2013.
|
*
|
|
Applicable to common stockholders.
|
1
|
|
Non-income producing security.
|
2
|
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933. Unless otherwise indicated, this security has been determined to be liquid
under procedures established by the Board of Directors and may be resold in transactions exempt from registration, normally to qualified institutional buyers. These securities amounted to $52,477,444 and 46.2% of net assets applicable to common
stockholders.
|
5
|
|
Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
|
9
|
|
Security deemed to be illiquid. These securities amounted to $3,793,344 and 3.3% of net assets applicable to common stockholders.
|
10
|
|
All or a portion of the security is reserved for current or potential holdings of swaps, unfunded commitments, TBAs, when issued securities and/or delayed
delivery securities.
|
11
|
|
Amount rounds to less than one thousand (par or shares).
|
12
|
|
Amount rounds to less than 0.1%.
|
13
|
|
The rate shown is the current yield as of March 31, 2013.
|
14
|
|
Security is perpetual and, thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be
structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of March 31, 2013.
|
15
|
|
The date shown reflects the next call date on which the issuer may redeem the security at par value. The coupon rate for this security is based on par value and
is currently in effect as of March 31, 2013.
|
16
|
|
Security is distressed as of March 31, 2013. The rate at which income is accrued on the security is lower than the stated PIK coupon rate.
|
^
|
|
All or a portion of the security is unsettled as of March 31, 2013. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may
not be accrued for the entire position.
|
As of
March 31, 2013, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
|
|
|
|
|
Aggregate gross unrealized appreciation
|
|
$
|
10,037,797
|
|
Aggregate gross unrealized depreciation
|
|
|
(9,528,598
|
)
|
|
|
|
|
|
Net unrealized appreciation/depreciation
|
|
$
|
509,199
|
|
|
|
|
|
|
Federal income tax cost of investments
|
|
$
|
155,423,002
|
|
|
|
|
|
|
26
P
ACHOLDER
H
IGH
Y
IELD
F
UND,
I
NC.
Schedule of Portfolio Investments (continued)
As of March 31, 2013 (Unaudited)
A.
VALUATION OF INVESTMENTS
Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on prices received from independent or affiliated pricing services approved by the
Board of Trustees or third party broker-dealers. The broker-dealers or pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the broker-dealers or pricing services may
utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the broker-dealers or pricing services also utilize proprietary
valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics such as benchmark yield curves, option-adjusted spreads, credit
spreads, estimated default rates, coupon-rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair
values. Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported
before the time when the net assets of the Fund are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price. Generally, short-term investments of sufficient credit quality maturing
in less than 61 days are valued at amortized cost, which approximates fair value.
Certain investments of the Fund may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by
the Fund to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options are generally valued on the basis of available market quotations. Swaps and other
derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of fair value, values
will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at each investment companys net asset value per share (NAV) as of the report date.
Securities or other assets for which market quotations are not readily available or for
which market quotations do not represent the fair value of the security or asset at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility
of the Board of Trustees. The Board of Trustees has established an Audit and Valuation Committee to assist with the oversight of the valuation of the Funds securities. JPMorgan Funds Management, Inc. (the Administrator, or
JPMFM), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (JPMorgan), has established a Valuation Committee (VC) that is comprised of senior representatives from JPMFM, J.P. Morgan Investment
Management Inc. (JPMIM or the Advisor), a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc. (JPMAM), which is a wholly-owned subsidiary of JPMorgan, JPMAMs Legal and Compliance, JPMAMs
Risk Management and the Funds Chief Compliance Officer. The VCs responsibilities include making determinations regarding Level 3 fair value measurements (Fair Values) and/or providing recommendations for approval to the Board
of Trustees Audit and Valuation Committee, in accordance with the Funds valuation policies.
The VC or Board of Trustees, as applicable, primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant
information for the investment to determine the fair value of the investment. The VC or Board of Trustees may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair
value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and
industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material. JPMFM and JPMIM are responsible for
monitoring developments that may impact Fair Values and for discussing and assessing Fair Values on an ongoing, and at least a quarterly, basis with the VC and Board of Trustees, as applicable. The appropriateness of Fair Values is assessed based on
results of unchanged price review and consideration of macro or security specific events, back testing and broker and vendor due diligence.
See the table on Quantitative Information about Level 3 Fair Value Measurements for information on the valuation techniques and inputs used to value
Level 3 securities for the Fund at March 31, 2013.
27
P
ACHOLDER
H
IGH
Y
IELD
F
UND,
I
NC.
Schedule of Portfolio Investments (continued)
As of March 31, 2013 (Unaudited)
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market
events and/or issuer related events after the report date and prior to issuance of the report, are not reflected herein.
The various inputs that are used in determining the fair value of the Funds investments are summarized into the three broad levels listed below.
|
|
Level 1 quoted prices in active markets for identical securities
|
|
|
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
|
|
|
Level 3 significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments)
|
A financial instruments level within the fair value hierarchy is based on the
lowest level of any input both individually and in the aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in
those securities.
The following table represents each valuation input by
sector as presented on the Schedule of Portfolio Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
|
|
Level 2
Other significant
observable
inputs
|
|
|
Level 3
Significant
unobservable
inputs
|
|
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary
|
|
$
|
345,886
|
|
|
$
|
|
|
|
$
|
44,910
|
|
|
$
|
390,796
|
|
Consumer Staples
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
|
|
|
(a)
|
Financials
|
|
|
176,353
|
|
|
|
|
|
|
|
5,838
|
|
|
|
182,191
|
|
Industrials
|
|
|
|
|
|
|
|
|
|
|
254,086
|
|
|
|
254,086
|
|
Information Technology
|
|
|
46,321
|
|
|
|
|
|
|
|
|
(a)
|
|
|
46,321
|
|
Materials
|
|
|
138,390
|
|
|
|
|
|
|
|
523,140
|
|
|
|
661,530
|
|
Utilities
|
|
|
659,725
|
|
|
|
|
|
|
|
|
|
|
|
659,725
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks
|
|
|
1,366,675
|
|
|
|
|
|
|
|
827,974
|
|
|
|
2,194,649
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Stocks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary
|
|
|
300,580
|
|
|
|
|
|
|
|
200,078
|
|
|
|
500,658
|
|
Consumer Staples
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
|
|
|
(a)
|
Financials
|
|
|
224,340
|
|
|
|
1,527,183
|
|
|
|
|
|
|
|
1,751,523
|
|
Health Care
|
|
|
424,000
|
|
|
|
|
|
|
|
|
|
|
|
424,000
|
|
Industrials
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
|
|
|
(a)
|
Information Technology
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
|
|
|
(a)
|
Materials
|
|
|
188,026
|
|
|
|
|
|
|
|
|
(a)
|
|
|
188,026
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Stocks
|
|
|
1,136,946
|
|
|
|
1,527,183
|
|
|
|
200,078
|
|
|
|
2,864,207
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
|
|
|
|
|
|
|
|
|
|
1,498,925
|
|
|
|
1,498,925
|
|
Convertible Bonds
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
|
|
|
(a)
|
28
P
ACHOLDER
H
IGH
Y
IELD
F
UND,
I
NC.
Schedule of Portfolio Investments (continued)
As of March 31, 2013 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
|
|
Level 2
Other significant
observable
inputs
|
|
|
Level 3
Significant
unobservable
inputs
|
|
|
Total
|
|
Corporate Bonds
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary
|
|
$
|
|
|
|
$
|
30,064,310
|
|
|
$
|
452,522
|
|
|
$
|
30,516,832
|
|
Consumer Staples
|
|
|
|
|
|
|
5,421,468
|
|
|
|
|
(a)
|
|
|
5,421,468
|
|
Energy
|
|
|
|
|
|
|
17,667,818
|
|
|
|
201,000
|
|
|
|
17,868,818
|
|
Financials
|
|
|
|
|
|
|
15,301,814
|
|
|
|
32,593
|
|
|
|
15,334,407
|
|
Health Care
|
|
|
|
|
|
|
9,386,055
|
|
|
|
77,555
|
|
|
|
9,463,610
|
|
Industrials
|
|
|
|
|
|
|
12,671,010
|
|
|
|
2,460,637
|
|
|
|
15,131,647
|
|
Information Technology
|
|
|
|
|
|
|
6,306,622
|
|
|
|
|
|
|
|
6,306,622
|
|
Materials
|
|
|
|
|
|
|
15,952,448
|
|
|
|
390,595
|
|
|
|
16,343,043
|
|
Telecommunication Services
|
|
|
|
|
|
|
12,288,428
|
|
|
|
|
(a)
|
|
|
12,288,428
|
|
Utilities
|
|
|
|
|
|
|
5,801,315
|
|
|
|
20,625
|
|
|
|
5,821,940
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds
|
|
|
|
|
|
|
130,861,288
|
|
|
|
3,635,527
|
|
|
|
134,496,815
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loan Assignments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary
|
|
|
|
|
|
|
4,530,127
|
|
|
|
112,802
|
|
|
|
4,642,929
|
|
Consumer Staples
|
|
|
|
|
|
|
407,948
|
|
|
|
|
|
|
|
407,948
|
|
Energy
|
|
|
|
|
|
|
528,332
|
|
|
|
|
|
|
|
528,332
|
|
Financials
|
|
|
|
|
|
|
867,624
|
|
|
|
|
|
|
|
867,624
|
|
Health Care
|
|
|
|
|
|
|
52,614
|
|
|
|
|
|
|
|
52,614
|
|
Industrials
|
|
|
|
|
|
|
1,236,888
|
|
|
|
|
|
|
|
1,236,888
|
|
Information Technology
|
|
|
|
|
|
|
1,576,585
|
|
|
|
|
|
|
|
1,576,585
|
|
Materials
|
|
|
|
|
|
|
1,289,953
|
|
|
|
|
|
|
|
1,289,953
|
|
Telecommunication Services
|
|
|
|
|
|
|
254,345
|
|
|
|
|
|
|
|
254,345
|
|
Utilities
|
|
|
|
|
|
|
980,083
|
|
|
|
|
|
|
|
980,083
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Loan Assignments
|
|
|
|
|
|
|
11,724,499
|
|
|
|
112,802
|
|
|
|
11,837,301
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrants
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary
|
|
|
140,139
|
|
|
|
|
|
|
|
|
(a)
|
|
|
140,139
|
|
Industrials
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
|
|
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Warrants
|
|
|
140,139
|
|
|
|
|
|
|
|
|
(a)
|
|
|
140,139
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Investment
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Company
|
|
|
2,900,165
|
|
|
|
|
|
|
|
|
|
|
|
2,900,165
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities
|
|
$
|
5,543,925
|
|
|
$
|
144,112,970
|
|
|
$
|
6,275,306
|
|
|
$
|
155,932,201
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
There were no
transfers between Levels 1 and 2 during the period ended March 31, 2013.
29
P
ACHOLDER
H
IGH
Y
IELD
F
UND,
I
NC.
Schedule of Portfolio Investments (continued)
As of March 31, 2013 (Unaudited)
The following is a summary of investments for which significant unobservable inputs (Level 3) were used in
determining fair value.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance as
of 12/31/12
|
|
|
Realized
gain (loss)
|
|
|
Change in
unrealized
appreciation
(depreciation)
|
|
|
Net
accretion
(amortization)
|
|
|
Purchases
1
|
|
|
Sales
2
|
|
|
Transfers
into
Level 3
|
|
|
Transfers
out of
Level 3
|
|
|
Balance as
of 03/31/13
|
|
Investments in Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
|
$
|
1,448,757
|
|
|
$
|
|
|
|
$
|
53,105
|
|
|
$
|
1,503
|
|
|
$
|
|
|
|
$
|
(4,440
|
)
|
|
$
|
|
|
|
$
|
|
|
|
$
|
1,498,925
|
|
Common Stocks Consumer Discretionary
|
|
|
56,310
|
|
|
|
|
|
|
|
(11,400
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44,910
|
|
Common Stocks Consumer Staples
|
|
|
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
Common Stocks Financials
|
|
|
5,838
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,838
|
|
Common Stocks Industrials
|
|
|
173,562
|
|
|
|
|
|
|
|
80,524
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
254,086
|
|
Common Stocks Information Technology
|
|
|
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
Common Stocks Materials
|
|
|
523,140
|
|
|
|
|
|
|
|
10,254
|
|
|
|
|
|
|
|
|
|
|
|
(10,254
|
)
|
|
|
|
|
|
|
|
|
|
|
523,140
|
|
Convertible Bonds Consumer Discretionary
|
|
|
76,923
|
|
|
|
|
|
|
|
(77,605
|
)
|
|
|
|
|
|
|
682
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
Corporate Bonds Consumer Discretionary
|
|
|
745,398
|
|
|
|
(84,435
|
)
|
|
|
15,234
|
|
|
|
1,958
|
|
|
|
4,067
|
|
|
|
(229,700
|
)
|
|
|
|
|
|
|
|
|
|
|
452,522
|
|
Corporate Bonds Consumer Staples
|
|
|
|
(b)
|
|
|
|
|
|
|
(19,189
|
)
|
|
|
|
|
|
|
19,189
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
Corporate Bonds Energy
|
|
|
|
|
|
|
|
|
|
|
1,000
|
|
|
|
|
|
|
|
200,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
201,000
|
|
Corporate Bonds Financials
|
|
|
43,048
|
|
|
|
|
|
|
|
(10,455
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,593
|
|
Corporate Bonds Health Care
|
|
|
71,479
|
|
|
|
|
|
|
|
6,251
|
|
|
|
(175
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
77,555
|
|
Corporate Bonds Industrials
|
|
|
2,642,434
|
|
|
|
|
|
|
|
33,146
|
|
|
|
(1,430
|
)
|
|
|
5,646
|
|
|
|
(47,259
|
)
|
|
|
28,100
|
|
|
|
(200,000
|
)
|
|
|
2,460,637
|
|
Corporate Bonds Information Technology
|
|
|
98,258
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(98,258
|
)
|
|
|
|
|
Corporate Bonds Materials
|
|
|
519,184
|
|
|
|
|
|
|
|
(137,776
|
)
|
|
|
449
|
|
|
|
8,738
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
390,595
|
|
Corporate Bonds Telecommunication Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
Corporate Bonds Utilities
|
|
|
29,750
|
|
|
|
|
|
|
|
(9,125
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,625
|
|
Loan Assignments Consumer Discretionary
|
|
|
97,631
|
|
|
|
|
|
|
|
15,171
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
112,802
|
|
Preferred Stocks Consumer Discretionary
|
|
|
107,734
|
|
|
|
|
|
|
|
92,344
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
200,078
|
|
Preferred Stocks Consumer Staples
|
|
|
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
Preferred Stocks Industrials
|
|
|
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
Preferred Stocks Information Technology
|
|
|
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
Preferred Stocks Materials
|
|
|
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
Warrants Consumer Discretionary
|
|
|
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
Warrants Industrials
|
|
|
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
6,639,446
|
|
|
$
|
(84,435
|
)
|
|
$
|
41,479
|
|
|
$
|
2,305
|
|
|
$
|
238,322
|
|
|
$
|
(291,653
|
)
|
|
$
|
28,100
|
|
|
$
|
(298,258
|
)
|
|
$
|
6,275,306
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(b)
|
|
Amount rounds to less than $1.
|
30
P
ACHOLDER
H
IGH
Y
IELD
F
UND,
I
NC.
Schedule of Portfolio Investments (continued)
As of March 31, 2013 (Unaudited)
1
|
|
Purchases include all purchases of securities and securities received in corporate actions.
|
2
|
|
Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions.
|
Transfers into, and out of, Level 3 are valued utilizing values as of
the beginning of the period.
Transfers from Level 2 to
Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack of or increase in available market inputs to determine price.
The change in unrealized appreciation (depreciation) attributable to
securities owned at March 31, 2013, which were valued using significant unobservable inputs (Level 3) amounted to $41,479.
Quantitative Information about Level 3 Fair Value Measurements #
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value at
3/31/13
|
|
|
|
|
Valuation Technique(s)
|
|
Unobservable Input
|
|
Range (Weighted Average)
|
|
|
|
$
|
770,176
|
|
|
|
|
Market Comparable Companies
|
|
EBITDA Multiple
(a)
|
|
|
5.00x - 7.29x(5.64x)
|
|
|
|
|
|
|
|
|
|
|
|
Discount for lack of marketability
(b)
|
|
|
10% - 30%(11.60%)
|
|
|
|
|
27,517
|
|
|
|
|
Mergers and Acquisitions
|
|
Discount for potential outcome
|
|
|
20%(N/A)
|
|
|
|
|
|
|
|
|
|
|
|
Discount for lack of marketability
(b)
|
|
|
25%(N/A)
|
|
|
|
|
7,050
|
|
|
|
|
Terms of Plan of Reorganization
|
|
Discount for lack of marketability
(b)
|
|
|
25%(N/A)
|
|
|
|
|
0
|
|
|
|
|
Broker Bid
|
|
Equity Broker Quote
|
|
|
$0(N/A)
|
|
|
|
|
17,393
|
|
|
|
|
Consensus Broker Pricing
|
|
Median Bid quote
|
|
|
$1.50(N/A)
|
|
|
|
|
0
|
|
|
|
|
Discounted Cash Flow
|
|
Probability of Insolvency
|
|
|
100%(N/A)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock
|
|
|
822,136
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0
|
|
|
|
|
Discounted Cash Flow
|
|
Discount for lack of marketability
(b)
|
|
|
17.5%(N/A)
|
|
|
|
|
|
|
|
|
|
|
|
Probability of Insolvency
|
|
|
100%(N/A)
|
|
|
|
|
0
|
(c)
|
|
|
|
Market Comparable Companies
|
|
EBITDA Multiple
(a)
|
|
|
5.40x - 5.82x(N/A)
|
|
|
|
|
|
|
|
|
|
|
|
Discount for lack of marketability
(b)
|
|
|
30%(N/A)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Stock
|
|
|
0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
309,339
|
|
|
|
|
Market Comparable Companies
|
|
EBITDA Multiple
(a)
|
|
|
5.5x - 7.29x(6.88x)
|
|
|
|
|
|
|
|
|
|
|
|
Discount for lack of marketability
(b)
|
|
|
25% - 30%(25.00%)
|
|
|
|
|
|
|
|
|
|
|
|
Probability of Default
|
|
|
97%(N/A)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bond
|
|
|
309,339
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,494,450
|
|
|
|
|
Discounted Cash Flow
|
|
Liquidity Discount
Implied Spread to Index
|
|
|
4.50%(N/A)
2%(N/A)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
|
|
1,494,450
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrants
|
|
|
0
|
|
|
|
|
Intrinsic Value
|
|
Issue Price vs. Stock Price
|
|
|
0(N/A)
|
|
|
|
|
|
|
|
Total
|
|
$
|
2,625,925
|
|
|
|
|
|
|
|
|
|
|
|
#
|
|
The table above does not include Level 3 securities that are valued by brokers and pricing services. At 3/31/13, the value of these securities was $3,649,381. The inputs for
these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note A. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of
back testing, unchanged price review, results of broker and vendor due diligence and consideration of macro or security specific events.
|
31
P
ACHOLDER
H
IGH
Y
IELD
F
UND,
I
NC.
Schedule of Portfolio Investments (continued)
As of March 31, 2013 (Unaudited)
(a)
|
|
Represents amounts used when the
reporting entity has determined that market participants would take into account such multiples when pricing the investments.
|
(b)
|
|
Represents amounts used when the reporting entity has determined that market participants would take into account discounts, as applicable, when pricing the
investments.
|
(c)
|
|
Securities senior to the preferred securities in issuing entity capital structure result in preferred stock being valued at zero.
|
The significant unobservable inputs used in the fair value measurement of the
Funds investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact
the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in enterprise multiples may increase (decrease) the fair value
measurement. Significant increases (decreases) in the discount for lack of marketability, discount for potential outcome and probability of default may decrease (increase) the fair value measurement. A significant change in broker pricing
information could result in a significantly higher or lower value in such Level 3 instruments.
32
ITEM 2. CONTROLS AND PROCEDURES.
|
(a)
|
The Registrants principal executive and principal financial officers have concluded, based on their evaluation of the Registrants disclosure controls and
procedures as of a date within 90 days of the filing date of this report, that the Registrants disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-Q is
recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-Q is accumulated and communicated to the
Registrants management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
|
|
(b)
|
There were no changes in the Registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that
occurred during the Registrants most recent fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrants internal controls over financial reporting.
|
ITEM 3. EXHIBITS.
CERTIFICATIONS PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 ARE ATTACHED HERETO.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned,
thereunto duly authorized.
Pacholder High Yield Fund, Inc.
|
|
|
By:
|
|
/s/ Patricia A. Maleski
|
|
|
Patricia A. Maleski
|
|
|
President and Principal Executive Officer
|
|
|
May 29, 2013
|
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/ Patricia A. Maleski
|
|
|
Patricia A. Maleski
|
|
|
President and Principal Executive Officer
|
|
|
May 29, 2013
|
|
|
By:
|
|
/s/ Joy C. Dowd
|
|
|
Joy C. Dowd
|
|
|
Treasurer and Principal Financial Officer
|
|
|
May 29, 2013
|
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