CIF MFS Intermediate High Income Fund

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act File Number 811-10467

 

 

Causeway Capital Management Trust

(Exact name of registrant as specified in charter)

 

 

11111 Santa Monica Boulevard, Suite 1500

Los Angeles, CA 90025

(Address of principal executive offices) (Zip code)

 

 

SEI Investments Global Funds Services

One Freedom Valley Drive

Oaks, PA 19456

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: 1-866-947-7000

Date of fiscal year end: September 30, 2013

Date of reporting period: June 30, 2013

 

 

 

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Item 1.

Schedule of Investments

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SCHEDULE OF INVESTMENTS (000)*

June 30, 2013 (Unaudited)

 

Causeway Global Absolute Return Fund		Number of Shares				Value
SHORT-TERM INVESTMENTS
Dreyfus Cash Management, Institutional Class, 0.050% **1			47,691,249			$	47,691
Total Short-Term Investments
(Cost $ 47,691) — 99.9%							47,691
Total Investments — 99.9%
(Cost $ 47,691) †							47,691
Other Assets in Excess of Liabilities — 0.1%							35
Net Assets — 100.0%						$	47,726

A list of outstanding total return swap agreements held by the Fund at June 30, 2013, is as follows (000):

 

Counterparty

Reference Entity/ Obligation

Fixed payments paid

Total Return received or paid

Termination Date

Net Notional Amount 2

Net Unrealized Appreciation (Depreciation)

Long Positions

Morgan Stanley

South Korea Custom Basket of Securities

Long: Fed Funds-1 day + 0.65%

Total Return of the basket of securities

1/25/2014

$

1,070

$

4

Morgan Stanley

Canada Custom Basket of Securities

Long: Fed Funds-1 day + 0.50%

Total Return of the basket of securities

1/25/2014

2,755

4

Morgan Stanley

United States Custom Basket of Securities

Long: Fed Funds-1 day + 0.50%

Total Return of the basket of securities

1/25/2014

27,474

60

Morgan Stanley

Europe Custom Basket of Securities (Local)

Long: EONIA-1 day + 0.55% Short: EONIA-1 day – 0.40% to EONIA-1 day – 0.88%

Total Return of the basket of securities

1/25/2014

167

—

Morgan Stanley

Singapore Custom Basket of Securities

Long: Fed Funds-1 day + 0.55% Short: Fed Funds-1 day – 0.50%

Total Return of the basket of securities

1/25/2014

579

—

Morgan Stanley

Japan Custom Basket of Securities

Long: Fed Funds-1 day + 0.55% Short: Fed Funds-1 day – 0.40%

Total Return of the basket of securities

1/25/2014

1,037

(11

)

Morgan Stanley

Hong Kong Custom Basket of Securities

Long: Fed Funds-1 day + 0.55% Short: Fed Funds-1 day – 0.50% to Fed Funds-1 day – 1.25%

Total Return of the basket of securities

1/25/2014

190

64

 

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SCHEDULE OF INVESTMENTS (000)* (continued)

June 30, 2013 (Unaudited)

 

 

Counterparty

Reference Entity/ Obligation

Fixed payments paid

Total Return received or paid

Termination Date

Net Notional Amount 2

Net Unrealized Appreciation (Depreciation)

Long Positions (continued)

Morgan Stanley

United Kingdom Custom Basket of Long Securities

Long: Fed Funds-1 day + 0.55% Short: Fed Funds-1 day – 0.35%

Total Return of the basket of securities

1/25/2014

$

5,098

$

73

Short Positions

Morgan Stanley

United States Custom Basket of Short Securities

Short: Fed Funds-1 day – 0.35% to Fed Funds-1 day – 1.29%

Total Return of the basket of securities

1/25/2014

(33,650

)

(100

)

Morgan Stanley

Canada Custom Basket of Securities

Short: Fed Funds-1 day – 0.35%

Total Return of the basket of securities

1/25/2014

(3,670

)

(5

)

Morgan Stanley

Australia Custom Basket of Securities

Short: Fed Funds-1 day – 0.50% to Fed Funds-1 day – 1.11%

Total Return of the basket of securities

1/25/2014

(2,244

)

—

Morgan Stanley

Europe Custom Basket of Securities

Long: Fed Funds-1 day + 0.55% Short: Fed Funds-1 day – 0.40% to Fed Funds-1 day – 0.88%

Total Return of the basket of securities

1/25/2014

(1,779

)

—

$

89

 

*	Except for share data.

**	The rate reported is the 7-day effective yield as of June 30, 2013.

†	For Federal tax purposes, the Fund’s aggregate tax cost is equal to book cost.

1	Of this investment $30,733 was pledged and segregated with the custodian as collateral for outstanding total return equity swap agreements.

2	The net notional amount is the sum of long and short positions. The gross notional amount of long positions and short positions at June 30, 2013 is $38,370 and $(41,343), respectively. The gross notional amounts are representative of the volume of activity during the period ended June 30, 2013.

 

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SCHEDULE OF INVESTMENTS (000) (concluded)

June 30, 2013 (Unaudited)

 

The following is a summary of the inputs used as of June 30, 2013, in valuing the Fund’s investments carried at value (000):

 

Investments in Securities		Level 1				Level 2				Level 3				Total
Short-Term Investments
United States		$	47,691			$	—			$	—			$	47,691
Total Investments in Securities		$	47,691			$	—			$	—			$	47,691
Other Financial Instruments – Assets		Level 1				Level 2				Level 3				Total
Total Return Swaps		$	—			$	205			$	—			$	205
Total Other Financial Instruments – Assets		$	—			$	205			$	—			$	205
Other Financial Instruments – Liabilities		Level 1				Level 2				Level 3				Total
Total Return Swaps		$	—			$	116			$	—			$	116
Total Other Financial Instruments – Liabilities		$	—			$	116			$	—			$	116

During the period ended June 30, 2013, there were no transfers between levels.

Amounts designated as “—” are $0.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

CCM-QH-005-0500

 

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Item 2.

Controls and Procedures

(a) The certifying officers, whose certifications are included herewith, have evaluated the registrant’s disclosure controls and procedures (as such term is defined in Rule 30a-3(c) under the Investment Company Act of 1940) within 90 days of the filing date of this report. Based on their evaluation, the certifying officers have concluded that such disclosure controls and procedures are adequately designed, and are operating effectively to ensure that information required to be disclosed by the registrant in the reports it files or submits under the Investment Company Act of 1940 and the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There were no changes in the registrant’s internal control over financial reporting (as such term is defined in Rule 30a-3(d) under the Investment Company Act of 1940) 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 certifications for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are filed herewith.

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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.

 

(Registrant)						Causeway Capital Management Trust
By (Signature and Title)						/s/ Turner Swan
						Turner Swan, President
Date: August 26, 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 (Signature and Title)						/s/ Turner Swan
						Turner Swan, President
Date: August 26, 2013
By (Signature and Title)						/s/ Michael Lawson
						Michael Lawson, Treasurer
Date: August 26, 2013