PCF High Income Securities Fund

Security valuation - Portfolio securities and other investments are valued using policies and procedures adopted by the Trustees. The Trustees have formed a Valuation

Committee to oversee the implementation of these procedures.

 

 

 

 

 

 

 

 

 

 

 

Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and

are classified as Level 1 securities under Accounting Standards Codification 820 Fair Value Measurements and Disclosures (ASC 820). If no sales are reported, as in the case of some

securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.

 

 

 

 

 

 

 

 

 

Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset

value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.

 

 

 

 

 

 

 

Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other

investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees. Such services or dealers determine

valuations for normal institutional size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally

recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized

as Level 2.

 

 

 

 

 

 

 

 

 

 

 

 

 

Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such

markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days,

the Fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons

to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities,

will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity

and it is possible that fair value prices will be used by the Fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current

exchange rate.

 

 

 

 

 

 

 

 

 

 

 

 

 

To the extent a pricing service or dealer is unable to value a security, the security will be valued at fair value in accordance with policies and procedures approved by the Trustees.

Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations

consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S.

Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or

as Level 3 depending on the priority of the significant inputs.

 

 

 

 

 

 

 

 

 

 

 

To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all

relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the

amount that the Fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith

estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.

 

 

 

 

 

 

 

 

 

The Fund has adopted fair valuation accounting standards that establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require

additional disclosures about the various input and valuation techniques used in measuring fair value. Fair value inputs are summarized in the three broad levels listed below:

 

 

 

 

 

 

 

 

Level 1—Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

 

 

 

 

 

 

 

 

Level 2—Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly.

 

These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates,

 

prepayment speeds, credit risk, yield curves, default rates and similar data.

 

 

 

 

 

 

 

 

 

 

Level 3—Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own

 

assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information

 

available.

 

 

 

 

 

 

 

 

 

 

 

The following is a summary of the fair valuations according to the inputs used as of May 31, 2023 in valuing the Fund's investments:

 

 

At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund’s net assets and were not considered a significant portion of the fund’s portfolio.

The fair value of derivative instruments as reported within the Schedule of Investments as of May 31, 2023:

 

 

 

 

 

 

 

 

 

 

Derivatives not accounted for as hedging instruments

 

 

Statement of Assets &

Liabilities Location

 

Value

 

Equity Contracts - Warrants

 

 

Investments, at value

 

                  93,877

 

 

 

 

 

 

 

 

The effect of derivative instruments on the Statement of Operations for the period ended May 31, 2023:

 

 

 

 

 

 

 

 

 

 

 

 

Amount of Realized Gain (Loss) on Derivatives Recognized in Income

 

Derivatives not accounted for as hedging instruments

 

 

Statement of Operations

Location

 

Value

 

Equity Contracts - Warrants

 

 

Net Realized Loss

 

             (204,904)

 

 

 

 

on Investments

 

 

 

 

 

 

 

 

 

 

 

 

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income

 

Derivatives not accounted for as hedging instruments

 

 

Statement of Operations

Location

 

Total

 

Equity Contracts - Warrants

 

 

Net change in unrealized

 

              192,158

 

 

 

 

appreciation of investments