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 811-06400

 

 

The Advisors’ Inner Circle Fund

(Exact name of registrant as specified in charter)

 

 

101 Federal Street

Boston, MA 02110

(Address of principal executive offices) (Zip code)

 

 

SEI Corporation

One Freedom Valley Drive

Oaks, PA 19456

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: 1-877-446-3863

Date of fiscal year end: October 31, 2014

Date of reporting period: January 31, 2014

 

 

 

Item 1. Schedule of Investments

Portfolio of Investments — as of January 31, 2014 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund

 

Principal
Amount 		     Description   Value  

 

Residential Mortgage-Backed Obligations — 56.7%

  

  

Adjustable Rate Mortgage Trust

 
  $977,259      

2.557%, 04/25/35 (A)

  $ 951,804   
  1,446,211      

0.468%, 11/25/35 (A)

    1,210,399   
  

Alternative Loan Trust

 
  10,621,729      

6.000%, 12/25/34

    10,472,876   
  1,685,176      

5.750%, 04/25/33

    1,757,726   
  1,798,681      

5.750%, 10/25/33

    1,894,325   
  1,000,590      

5.500%, 02/25/25

    1,019,694   
  2,621,860      

5.500%, 07/25/33

    2,673,442   
  1,317,830      

5.500%, 04/25/34

    1,376,724   
  

American Home Mortgage Investment Trust

 
  3,830      

2.173%, 10/25/34 (A)

    3,535   
  1,658,567      

1.835%, 09/25/45 (A)

    1,549,103   
  

Banc of America Alternative Loan Trust

 
  972,246      

6.000%, 10/25/34

    1,004,901   
  2,052,302      

5.500%, 10/25/33

    2,122,879   
  7,529,118      

5.500%, 12/25/33

    7,757,147   
  

Banc of America Funding Trust

 
  3,107,796      

5.750%, 11/25/35

    3,190,771   
  800,001      

2.700%, 12/20/34 (A)

    658,817   
  442,691      

2.395%, 12/20/36 (A)

    445,857   
  1,352,411      

0.608%, 07/25/37 (A) (B)

    859,984   
  

Banc of America Mortgage Trust

 
  709,856      

6.069%, 11/20/46 (A)

    627,444   
  1,442,971      

3.122%, 02/25/35 (A)

    1,448,062   
  

Bear Stearns Adjustable Rate Mortgage Trust

 
  83,086      

2.694%, 01/25/35 (A)

    83,692   
  46,696      

2.686%, 01/25/35 (A)

    45,974   
  269,526      

2.680%, 04/25/34 (A)

    256,731   
  224,754      

2.597%, 07/25/34 (A)

    224,212   
  6,525,068      

2.572%, 02/25/36 (A)

    5,163,189   
  

Chase Mortgage Finance Trust

 
  2,522,757      

2.691%, 02/25/37 (A)

    2,488,916   
  

Citicorp Mortgage Securities

 
  886,688      

6.000%, 08/25/36

    919,032   
  

Citigroup Mortgage Loan Trust

 
  1,368,286      

2.510%, 10/25/35 (A)

    1,353,556   
  714,190      

2.200%, 09/25/35 (A)

    714,004   
  

CitiMortgage Alternative Loan Trust

 
  4,692,461      

6.000%, 07/25/36

    4,184,300   
  5,346,894      

6.000%, 09/25/36

    4,659,086   
  6,304,093      

6.000%, 06/25/37

    5,333,584   
  1,057,293      

6.000%, 10/25/37

    917,126   
  

Countrywide Alternative Loan Trust

 
  3,122,330      

6.250%, 07/25/36

    2,138,053   
  4,368,461      

5.750%, 04/25/37

    3,909,851   
  986,028      

5.500%, 08/25/34

    1,025,466   
  919,348      

5.500%, 04/25/36

    847,559   
  2,710,212      

0.368%, 05/25/35 (A)

    2,261,943   
  

Countrywide Home Loan Mortgage Pass-Through Trust

 
  3,465,646      

6.000%, 05/25/36

    3,124,723   
  7,205,809      

6.000%, 02/25/37

    6,635,347   
  10,053      

5.500%, 06/25/35

    10,044   
  568,535      

3.437%, 01/20/35 (A)

    564,636   
  4,137,296      

2.644%, 04/25/35 (A)

    3,012,043   
  3,141,158      

2.621%, 11/20/35 (A)

    2,988,347   
  345,095      

2.502%, 09/20/34 (A)

    335,198   
  872,734      

0.498%, 03/25/35 (A)

    656,954   
  3,036,360      

0.428%, 04/25/35 (A)

    2,482,682   

 

      1

Portfolio of Investments — as of January 31, 2014 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund — continued

 

Principal
Amount 		     Description   Value  

 

Residential Mortgage-Backed Obligations — 56.7% (continued)

  

  

Credit Suisse First Boston Mortgage Securities

 
  $4,949,422      

5.500%, 11/25/35

  $ 4,405,080   
  481,787      

5.250%, 05/25/28

    490,129   
  

Credit Suisse Mortgage Capital Certificates

 
  3,483,182      

6.500%, 10/25/21

    2,904,137   
  

Credit Suisse Mortgage Trust

 
  3,300,000      

5.251%, 06/27/34 (A) (B)

    2,940,623   
  

Deutsche Alt-A Securities Mortgage Loan Trust

 
  1,736,932      

5.500%, 11/25/35 (A)

    1,615,946   
  5,755,489      

5.500%, 12/25/35

    4,861,460   
  2,970,266      

5.250%, 06/25/35

    3,034,732   
  

FDIC Trust

 
  1,805,170      

4.500%, 10/25/18 (B)

    1,823,949   
  

GMAC Mortgage Loan Trust

 
  305,007      

5.000%, 11/25/33

    314,851   
  1,578,046      

3.102%, 07/19/35 (A)

    1,462,064   
  1,206,877      

2.873%, 06/19/35 (A)

    1,203,960   
  

GSR Mortgage Loan Trust

 
  2,778,078      

6.000%, 09/25/36

    2,377,713   
  1,096,704      

2.761%, 12/25/34 (A)

    1,001,738   
  596,756      

2.759%, 12/25/34 (A)

    597,405   
  290,725      

2.712%, 07/25/35 (A)

    269,211   
  1,125,000      

2.678%, 09/25/35 (A)

    1,115,580   
  

Indymac Index Mortgage Loan Trust

 
  3,386,352      

0.798%, 07/25/45 (A)

    3,073,806   
  

JPMorgan Alternative Loan Trust

 
  2,765,786      

4.552%, 03/25/36 (A)

    2,231,378   
  

JPMorgan Mortgage Trust

 
  6,356,487      

6.000%, 01/25/36

    5,624,564   
  1,150,263      

5.750%, 03/25/37

    948,782   
  2,540,461      

3.556%, 03/25/43 (A) (B)

    2,557,566   
  1,923,820      

2.865%, 08/25/35 (A)

    1,938,275   
  5,741,879      

2.529%, 01/25/37 (A)

    5,083,889   
  

Lehman Mortgage Trust

 
  2,196,550      

5.500%, 02/25/36

    2,214,546   
  1,006,804      

0.658%, 01/25/36 (A)

    714,276   
  

MASTR Adjustable Rate Mortgages Trust

 
  3,537,697      

2.736%, 04/25/36 (A)

    3,368,811   
  3,373,873      

2.644%, 03/25/35 (A)

    2,995,247   
  842,230      

2.632%, 01/25/36 (A)

    809,058   
  4,124,620      

0.318%, 01/25/47 (A)

    2,995,456   
  

MASTR Alternative Loan Trust

 
  2,417,063      

6.000%, 06/25/34

    2,552,851   
  5,403,757      

6.000%, 09/25/34

    5,535,511   
  2,094,547      

5.500%, 06/25/34

    2,191,908   
  1,498,493      

5.250%, 11/25/33

    1,552,190   
  

Merrill Lynch Alternative Note Asset Trust

 
  10,030,815      

6.000%, 03/25/37

    7,734,190   
  

Morgan Stanley Mortgage Loan Trust

 
  1,493,197      

6.000%, 06/25/36

    1,271,547   
  2,539,528      

6.000%, 08/25/36

    2,214,042   
  225,000      

5.500%, 11/25/35

    229,959   
  

New York Mortgage Trust

 
  2,592,843      

2.738%, 05/25/36 (A)

    2,320,229   
  

RALI Trust

 
  680,257      

6.000%, 06/25/36

    550,489   
  515,000      

5.500%, 09/25/33

    540,673   
  814,785      

5.500%, 06/25/34

    843,165   

 

2    

Portfolio of Investments — as of January 31, 2014 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund — continued

 

Principal
Amount 		     Description   Value  

 

Residential Mortgage-Backed Obligations — 56.7% (continued)

  

  

Residential Asset Securitization Trust

 
  $4,661,368      

6.000%, 05/25/37

  $ 4,175,388   
  4,013,890      

6.000%, 06/25/37

    3,566,462   
  2,792,618      

6.000%, 01/25/46

    2,324,327   
  7,124,020      

5.375%, 07/25/35

    6,125,118   
  

RFMSI Trust

 
  1,742,804      

5.750%, 01/25/36

    1,793,995   
  

Structured Adjustable Rate Mortgage Loan Trust

 
  410,711      

2.655%, 09/25/34 (A)

    405,603   
  1,225,434      

2.403%, 11/25/34 (A)

    1,204,208   
  2,798,851      

0.468%, 07/25/35 (A)

    2,316,721   
  2,995,751      

0.318%, 01/25/37 (A)

    2,211,715   
  

Structured Asset Securities Mortgage Pass-Through Certificates

 
  3,125,923      

5.750%, 11/25/34

    3,373,603   
  

Washington Mutual Mortgage Pass-Through Certificates

 
  3,189,681      

6.000%, 03/25/36

    2,798,176   
  483,147      

5.500%, 07/25/34

    509,746   
  345,041      

2.463%, 09/25/46 (A)

    326,707   
  2,825,626      

2.213%, 01/25/47 (A)

    2,546,174   
  1,788,180      

1.095%, 08/25/46 (A)

    1,224,267   
  413,262      

0.895%, 04/25/47 (A)

    372,126   
  

Wells Fargo Mortgage Backed Securities Trust

 
  5,040,000      

6.000%, 01/25/36

    5,112,400   
  1,034,014      

5.500%, 11/25/35

    1,067,490   
  2,631,567      

5.500%, 01/25/36

    2,702,146   
  258,532      

2.671%, 04/25/35 (A)

    263,309   
    

 

 

 
   Total Residential Mortgage-Backed Obligations  
  

(Cost $222,168,928)

    234,292,405   
    

 

 

 

 

Asset-Backed Securities — 21.5%

  

  

Axis Equipment Finance Receivables LLC

 
  1,000,000      

6.410%, 10/22/18

    997,870   
  

Bayview Opportunity Master Fund Trust

 
  885,655      

3.721%, 06/28/33

    886,426   
  1,706,802      

3.228%, 03/28/33 (A) (B)

    1,704,276   
  

CarNow Auto Receivables Trust

 
  1,736,000      

6.900%, 11/15/16 (B)

    1,770,812   
  1,717,000      

4.330%, 11/15/17

    1,706,806   
  

CFC LLC

 
  2,000,000      

5.930%, 08/15/19 (B)

    1,999,110   
  3,180,000      

4.680%, 11/15/19 (B)

    3,197,435   
  

Countrywide Asset-Backed Certificates

 
  2,090,000      

5.103%, 05/25/35

    2,052,539   
  

CPS Auto Receivables Trust

 
  1,000,000      

6.760%, 03/15/21 (B)

    1,009,563   
  

DSC Floorplan Master Owner Trust

 
  3,750,000      

8.110%, 03/15/16 (B)

    3,730,009   
  

DT Auto Owner Trust

 
  3,400,000      

4.180%, 06/15/20

    3,424,519   
  4,100,000      

3.980%, 01/15/21 (B)

    4,099,399   
  1,850,000      

3.740%, 05/15/20 (B)

    1,865,466   
  

FAN Engine Securitization

 
  5,306,142      

4.625%, 10/15/43 (B)

    5,226,550   
  

First Franklin Mortgage Loan Trust

 
  837,447      

0.308%, 07/25/36 (A)

    774,436   
  

First Investors Auto Owner Trust

 
  2,040,000      

9.000%, 01/15/19 (B)

    2,173,946   
  2,000,000      

6.860%, 03/15/19 (B)

    2,106,676   

 

      3

Portfolio of Investments — as of January 31, 2014 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund — continued

 

Principal
Amount 		     Description   Value  

 

Asset-Backed Securities — 21.5% (continued)

  

  $2,130,000      

2.530%, 01/15/20 (B)

  $ 2,078,944   
  

Flagship Credit Auto Trust

 
  1,000,000      

6.260%, 02/16/21 (B)

    1,006,117   
  2,300,000      

5.380%, 07/15/20 (B)

    2,275,024   
  1,000,000      

4.930%, 05/15/18 (B)

    1,036,511   
  2,200,000      

4.420%, 12/16/19 (B)

    2,196,187   
  2,425,000      

3.590%, 03/15/19 (B)

    2,407,887   
  

Global Seaco Finance

 
  2,753,333      

3.670%, 11/17/28

    2,777,326   
  

GSAA Home Equity Trust

 
  2,649,492      

0.228%, 12/25/46 (A)

    1,495,961   
  

Kondaur Mortgage Asset Trust

 
  2,600,000      

5.000%, 08/25/52

    2,708,064   
  

Leaf II Receivables Funding LLC

 
  2,325,000      

6.000%, 09/15/21

    2,293,757   
  

Lehman XS Trust

 
  3,462      

0.308%, 08/25/46 (A)

    3,462   
  

Prestige Auto Receivables Trust

 
  3,000,000      

3.040%, 07/15/20 (B)

    2,963,838   
  

RBSSP Resecuritization Trust

 
  948,449      

2.920%, 11/28/17 (B)

    892,728   
  

Sierra Timeshare Receivables Funding

 
  645,194      

9.310%, 07/20/28 (B)

    693,834   
  

SNAAC Auto Receivables Trust

 
  2,000,000      

6.210%, 12/17/18 (B)

    2,068,030   
  2,000,000      

4.560%, 04/15/20 (B)

    1,990,078   
  

Springleaf Funding Trust

 
  4,275,000      

3.920%, 01/16/23 (B)

    4,339,125   
  

Structured Asset Securities Mortgage Loan Trust

 
  1,303,930      

0.448%, 06/25/35 (A)

    1,120,858   
  

Trade MAPS 1

 
  4,000,000      

5.161%, 12/10/18 (A) (B)

    4,003,760   
  

United Auto Credit Securitization Trust

 
  1,590,000      

2.900%, 12/15/17

    1,587,165   
  

Vericrest Opportunity Loan Transferee

 
  2,880,445      

4.250%, 08/25/58

    2,894,847   
  1,859,420      

3.960%, 11/25/53 (B)

    1,860,000   
  1,421,876      

3.625%, 03/25/54 (B)

    1,415,721   
  1,766,610      

3.625%, 04/25/55

    1,760,938   
  

Westgate Resorts

 
  1,072,239      

11.000%, 09/20/25 (B)

    1,100,085   
  1,100,392      

9.000%, 01/20/25 (B)

    1,129,926   
    

 

 

 
   Total Asset-Backed Securities  
  

(Cost $87,714,219)

    88,826,011   
    

 

 

 

 

Commercial Mortgage-Backed Obligations — 20.4%

  

  

A10 Securitization

 
  290,000      

6.230%, 11/15/27 (B)

    290,385   
  965,000      

5.120%, 11/15/27 (B)

    960,897   
  

Bear Stearns Commercial Mortgage Securities Trust

 
  2,485,000      

6.541%, 05/11/39 (A) (B)

    2,563,178   
  

COBALT Commercial Mortgage Trust

 
  2,250,000      

5.254%, 08/15/48

    2,321,586   
  

Commercial Mortgage Trust

 
  6,400,000      

5.648%, 12/10/44 (A) (B)

    6,436,097   
  3,850,000      

5.543%, 12/11/49 (A) (B)

    4,161,030   
  4,000,000      

5.475%, 03/10/39

    4,284,188   
  1,000,000      

4.858%, 08/15/45 (A) (B)

    945,085   

 

4    

Portfolio of Investments — as of January 31, 2014 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund — continued

 

Principal
Amount 		     Description   Value  

 

Commercial Mortgage-Backed Obligations — 20.4% (continued)

  

  

Credit Suisse Mortgage Capital Certificates

 
  $3,930,000      

5.869%, 09/15/40 (A)

  $ 4,046,874   
  

DBUBS Mortgage Trust

 
  2,700,000      

5.557%, 01/10/21 (A) (B)

    2,794,559   
  

Del Coronado Trust

 
  3,000,000      

5.160%, 03/15/18 (A) (B)

    3,009,900   
  

Extended Stay America Trust

 
  5,828,000      

5.053%, 12/05/31 (A) (B)

    6,016,571   
  

FREMF Mortgage Trust

 
  1,500,000      

4.023%, 11/25/44 (A) (B)

    1,468,010   
  

GS Mortgage Securities Trust

 
  15,555,000      

5.806%, 08/10/45 (A)

    16,164,989   
  

Hilton USA Trust

 
  3,995,000      

4.453%, 11/05/30 (A) (B)

    4,074,425   
  

JPMorgan Chase Commercial Mortgage Securities Trust

 
  939,604      

6.160%, 04/15/18

    950,034   
  1,025,000      

5.464%, 01/15/49 (A)

    1,063,925   
  2,000,000      

5.021%, 01/12/37 (A)

    2,035,856   
  3,000,000      

3.122%, 04/15/28 (A) (B)

    2,985,363   
  

Morgan Stanley Capital Trust

 
  2,650,000      

5.601%, 04/12/49 (A)

    2,902,866   
  

Motel 6 Trust

 
  4,500,000      

4.274%, 10/05/25 (B)

    4,424,981   
  1,500,000      

3.781%, 10/05/25 (B)

    1,507,143   
  

RBS Commercial Funding Trust

 
  2,000,000      

3.584%, 03/11/31 (A) (B)

    1,632,600   
  

VNO Mortgage Trust

 
  1,200,000      

3.947%, 12/13/29

    1,178,597   
  

WF-RBS Commercial Mortgage Trust

 
  150,000      

5.636%, 11/15/44 (A) (B)

    160,256   
  2,145,447      

5.548%, 03/15/44 (A) (B)

    2,207,871   
  3,436,469      

5.465%, 02/15/44 (A) (B)

    3,518,487   
    

 

 

 
   Total Commercial Mortgage-Backed Obligations  
  

(Cost $80,647,333)

    84,105,753   
    

 

 

 

 

Municipal Bond — 0.2%

  

  

Michigan State, Tobacco Settlement Financing Authority, RB

 
  955,000      

7.309%, 06/01/34 (Cost $793,701)

    763,656   
    

 

 

 

 

Short-Term Investment — 1.5%

  

  

Dreyfus Treasury Prime Cash Management, 0.000% (C)

 
  6,109,112      

(Cost $6,109,112)

    6,109,112   
    

 

 

 
   Total Investments — 100.3%  
  

(Cost $397,433,293) †

    414,096,937   
  

Other Assets and Liabilities — 0.3%

    -1,407,632   
    

 

 

 
   Net Assets — 100.0%   $ 412,689,305   
    

 

 

 

 

      5

Portfolio of Investments — as of January 31, 2014 (Unaudited)

Loomis Sayles Full Discretion Institutional Securitized Fund — continued

 

  (A) Variable rate security - Rate disclosed is the rate in effect on January 31, 2014.
  (B) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the board of Trustees.
  (C) The rate shown is the 7-day effective yield as of January 31, 2014.

 

  FDIC Federal Deposit Insurance Corporation
  LLC Limited Liability Company
  RB Revenue Bond

 

  † At January 31, 2014, the tax cost basis of the Fund’s investments was $397,433,293 and the unrealized appreciation and (depreciation) were $17,805,267 and ($1,141,623), respectively.

The following is a summary of the inputs used as of January 31, 2014 in valuing the Fund’s investments carried at value:

 

Investments in Securities   Level 1     Level 2     Level 3     Total  

Residential Mortgage-Backed Obligations

  $ —      $ 234,292,405      $ —      $ 234,292,405   

Asset-Backed Securities

    —        88,826,011        —        88,826,011   

Commercial Mortgage-Backed Obligations

    —        84,105,753        —        84,105,753   

Municipal Bond

    —        763,656        —        763,656   

Short-Term Investment

    6,109,112        —        —        6,109,112   
 

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

  $ 6,109,112      $ 407,987,825      $ —      $ 414,096,937   
 

 

 

   

 

 

   

 

 

   

 

 

 

For the period ended January 31, 2014, there have been no transfers between Level 1 and Level 2 assets and liabilities. For the period ended January 31, 2014, there were no Level 3 investments.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to Note 2 of the Fund’s most recent financial statements.

 

6    

Item 2. Controls and Procedures

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report.

(b) There were no significant changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) 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) A separate certification 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, as amended (17 CFR 270.30a-2(a)), are filed herewith.

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)       The Advisors’ Inner Circle Fund
By (Signature and Title)      

/s/ Michael Beattie

      Michael Beattie
      President

Date: March 31, 2014

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/ Michael Beattie

      Michael Beattie
      President

Date: March 31, 2014

 

By (Signature and Title)      

/s/ Michael Lawson

      Michael Lawson
      Treasurer, Controller & CFO

Date: March 31, 2014

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