N-Q 1 e54862.htm
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: 811-08765
______________________________________________
 
Managed High Yield Plus Fund Inc.
_____________________________________________________________________________
(Exact name of registrant as specified in charter)
 
51 West 52nd Street, New York, New York 10019-6114
______________________________________________________________________
(Address of principal executive offices) (Zip code)

Mark F. Kemper, Esq.
UBS Global Asset Management
51 West 52nd Street
New York, NY 10019-6114
(Name and address of agent for service)
 
Copy to:
Jack W. Murphy, Esq.
Dechert LLP
1775 I Street, N.W.
Washington, DC 20006-2401

Registrant’s telephone number, including area code: 212-882 5000

Date of fiscal year end: May 31

Date of reporting period: February 28, 2007



Item 1.   Schedule of Investments

Managed High Yield Plus Fund Inc.
Schedule of investments—February 28, 2007 (unaudited)

Principal                    
amount     Maturity   Interest      
(000) ($)     dates   rates (%)   Value ($)  
Corporate bonds—139.88%                  
Apparel/textiles — 4.91%                  
7,150   Levi Strauss & Co.1   12/15/12     12.250     7,891,812  
3,000   Propex Fabrics, Inc.1   12/01/12     10.000     2,595,000  
4,158   Rafaella Apparel Group1,2   06/15/11     11.250     4,261,950  
                    14,748,762  
Automotive — 8.32%                  
6,200   ArvinMeritor, Inc.1   09/15/15     8.125     6,293,000  
5,250   Cooper Standard Automotive, Inc.1   12/15/14     8.375     4,410,000  
4,000   Ford Motor Credit Co.1,2   09/15/10     9.750     4,285,768  
3,000   General Motors1   07/15/33     8.375     2,782,500  
3,000   HLI Operating Co., Inc.1   06/15/10     10.500     3,090,000  
4,000   Stanadyne Corp.1   08/15/14     10.000     4,150,000  
                    25,011,268  
Broadcasting — 4.29%                  
5,775   CMP Susquehanna1,2   05/15/14     9.875     5,933,813  
1,000   Rainbow National Services LLC1,2   09/01/14     10.375     1,120,000  
3,450   Sirius Satellite Radio1   08/01/13     9.625     3,484,500  
2,358   Young Broadcasting, Inc.1   03/01/11     10.000     2,340,315  
                    12,878,628  
Building materials — 7.45%                  
2,000   Coleman Cable, Inc.1   10/01/12     9.875     2,055,000  
3,500   Collins & Aikman Floorcovering, Series B1   02/15/10     9.750     3,578,750  
4,750   FastenTech, Inc.1   05/01/11     11.500     5,046,875  
4,075   Interface, Inc.1   02/01/10     10.375     4,513,062  
3,000   Masonite Corp.2   04/06/15     11.000     2,992,500  
4,000   Scranton Products, Inc.1   07/01/13     10.500     4,190,000  
                    22,376,187  
Cable — 0.92%                  
3,000   CCH I Holdings LLC1   05/15/14     10.000     2,760,000  
Capital goods — 0.21%                  
576   Invensys PLC1,2   03/15/11     9.875     619,200  


Managed High Yield Plus Fund Inc.
Schedule of investments—February 28, 2007 (unaudited)

Principal                    
amount     Maturity   Interest      
(000) ($)     dates   rates (%)   Value ($)  
Corporate bonds—(continued)                  
Chemicals — 9.83%                  
3,000   Equistar Chemicals LP1   09/01/08     10.125     3,172,500  
2,000   Georgia Gulf Corp.1,2   10/15/14     9.500     1,970,000  
3,000   Georgia Gulf Corp.1,2   10/15/16     10.750     2,940,000  
1,500   Ineos Group Holdings PLC1,2   02/15/16     8.500     1,458,750  
1,000   Millennium America, Inc.1   06/15/08     9.250     1,040,000  
2,000   Momentive Performance1,2   12/01/14     10.125     2,105,000  
1,000   Momentive Performance1,2   12/01/16     11.500     1,040,000  
2,012   Montell Finance Co. BV1,2   03/15/27     8.100     2,012,000  
5,225   Omnova Solutions, Inc.1   06/01/10     11.250     5,584,219  
3,500   Polyone Corp.1   05/15/10     10.625     3,705,625  
4,280   Rockwood Specialties Group, Inc.1   05/15/11     10.625     4,515,400  
                    29,543,494  
Consumer products — 4.04%                  
2,500   Da-Lite Screen Co., Inc.1   05/15/11     9.500     2,618,750  
3,480   Jafra Cosmetics International, Inc.1   05/15/11     10.750     3,688,800  
1,000   Nutro Products, Inc.1,2   04/15/14     10.750     1,100,000  
4,060   Prestige Brands, Inc.1   04/15/12     9.250     4,202,100  
500   Sally Holdings LLC1,2   11/15/16     10.500     517,500  
                    12,127,150  
Containers — 1.60%                  
3,000   Graham Packaging Co.1   10/15/14     9.875     3,090,000  
2,000   Solo Cup Co.1   02/15/14     8.500     1,735,000  
                    4,825,000  
Diversified media — 4.45%                  
4,100   Advanstar Communications, Inc.1   08/15/10     10.750     4,397,250  
4,000   Affinion Group, Inc.1   10/15/13     10.125     4,320,000  
4,500   Baker & Taylor, Inc.1,2   07/01/13     11.500     4,646,250  
                    13,363,500  
Electronics — 1.37%                  
4,000   NXP BV/NXP Funding LLC1,2   10/15/15     9.500     4,130,000  


Managed High Yield Plus Fund Inc.
Schedule of investments—February 28, 2007 (unaudited)

Principal                    
amount     Maturity   Interest      
(000) ($)     dates   rates (%)   Value ($)  
Corporate bonds—(continued)                  
Energy — 3.27%                  
5,750   Bluewater Finance Ltd.1   02/15/12     10.250     5,994,375  
3,605   Giant Industries, Inc.1   05/15/12     11.000     3,830,313  
                    9,824,688  
Entertainment — 0.32%                  
1,000   Imax Corp.1   12/01/10     9.625     956,250  
Food & drug retailers — 3.08%                  
3,400   Jean Coutu Group PLC1   08/01/14     8.500     3,510,500  
4,000   Rite Aid Corp.1   02/15/11     9.500     4,190,000  
1,412   Susser Holdings LLC1   12/15/13     10.625     1,553,200  
                    9,253,700  
Food/beverage/tobacco — 2.81%                  
1,000   Pinnacle Foods Holding1   12/01/13     8.250     1,075,000  
3,000   Southern States Cooperative, Inc.1,2   11/01/10     10.500     3,195,000  
4,500   Wornick Co.1   07/15/11     10.875     4,173,750  
                    8,443,750  
Gaming — 11.47%                  
4,500   Circus & Eldorado Joint Venture1   03/01/12     10.125     4,727,835  
4,400   Inn Of The Mountain Gods Resort & Casino1   11/15/10     12.000     4,796,000  
6,000   Jacobs Entertainment, Inc.1   06/15/14     9.750     6,300,000  
3,000   Little Traverse Bay Bands of Odawa Indians1,2   02/15/14     10.250     3,090,000  
2,525   MTR Gaming Group, Inc., Series B1   04/01/10     9.750     2,644,937  
3,200   Pokagon Gaming Authority1,2   06/15/14     10.375     3,504,000  
2,750   River Rock Entertainment Authority1   11/01/11     9.750     2,935,625  
6,350   Wheeling Island Gaming, Inc.1   12/15/09     10.125     6,461,125  
                    34,459,522  
Healthcare — 6.43%                  
3,000   American Holding Co./EmCare Holding Co.1   02/15/15     10.000     3,300,000  
4,750   Ameripath, Inc.1   04/01/13     10.500     5,130,000  
2,000   Elan Finance PLC/Elan Finance Corp.1,2   12/01/13     9.496 3   2,030,000  
4,000   Universal Hospital Services, Inc.1   11/01/11     10.125     4,250,000  
4,500   US Oncology Holdings, Inc.1   03/15/15     10.675 3   4,601,250  
                    19,311,250  


Managed High Yield Plus Fund Inc.
Schedule of investments—February 28, 2007 (unaudited)

Principal                    
amount     Maturity   Interest      
(000) ($)     dates   rates (%)   Value ($)  
Corporate bonds—(continued)                  
Homebuilders/real estate — 2.67%                  
2,000   Stanley Martin-Community LLC1   08/15/15     9.750     1,830,000  
2,750   Structured Asset Securities Corp., Series 2006-S1, Class B21,2   03/25/36     7.820 3   1,648,875  
4,916   Technical Olympic USA, Inc.1   07/01/12     10.375     4,547,300  
                    8,026,175  
Metals/mining — 3.00%                  
3,000   American Rock Salt Co. LLC1   03/15/14     9.500     3,045,000  
2,300   Better Minerals & Aggregates Co.4,5   09/15/09     13.000     1,840,000  
4,000   Neenah Corp.1,2   01/01/17     9.500     4,120,000  
                    9,005,000  
Non-food & drug retailers — 4.76%                  
4,400   Brookstone Co., Inc.1   10/15/12     12.000     4,642,000  
2,350   GameStop Corp.1   10/01/12     8.000     2,496,875  
4,400   Gregg Appliances, Inc.1   02/01/13     9.000     4,576,000  
2,455   Mothers Work, Inc.1   08/01/10     11.250     2,577,750  
                    14,292,625  
Paper — 10.16%                  
5,000   Abitibi-Consolidated, Inc.1   08/01/10     8.550     5,125,000  
3,500   Ainsworth Lumber1   10/01/12     7.250     2,730,000  
3,000   Bowater, Inc.   10/15/12     9.500     3,180,000  
2,242   Buckeye Technologies, Inc.1   09/15/08     9.250     2,242,000  
5,000   Cellu Tissue Holdings, Inc.1   03/15/10     9.750     5,000,000  
4,000   Exopack Holding Corp.1   02/01/14     11.250     4,320,000  
1,000   Millar Western Forest1   11/15/13     7.750     942,500  
1,000   Newpage Corp.1   05/01/13     12.000     1,090,000  
5,500   Verso Paper Holdings LLC1,2   08/01/16     11.375     5,912,500  
                    30,542,000  
Printing & publishing — 8.12%                  
2,250   American Color Graphics, Inc.1   06/15/10     10.000     1,755,000  
4,000   American Media Operation, Series B1   05/01/09     10.250     3,820,000  
3,500   Clarke American Corp.1   12/15/13     11.750     4,025,000  
975   Hollinger, Inc.1,2   03/01/11     12.875     604,500  
4,125   Quebecor World Capital Corp.1,2   03/15/16     8.750     4,217,812  


Managed High Yield Plus Fund Inc.
Schedule of investments—February 28, 2007 (unaudited)

Principal                    
amount     Maturity   Interest      
(000) ($)     dates   rates (%)   Value ($)  
Corporate bonds—(continued)                  
Printing & publishing—(concluded)                  
5,500   Sheridan Acquisition Corp.1   08/15/11     10.250     5,747,500  
3,250   Vertis, Inc.1,2   12/07/09     13.500     3,087,500  
1,125   Vertis, Inc., Series B1   06/15/09     10.875     1,147,500  
                    24,404,812  
Restaurants — 6.23%                  
4,500   Buffets, Inc.1   11/01/14     12.500     4,725,000  
2,000   Friendly Ice Cream Corp.1   06/15/12     8.375     1,940,000  
3,725   Restaurant Co.1   10/01/13     10.000     3,617,906  
2,000   Sbarro, Inc.1,2   02/01/15     10.375     2,085,000  
2,000   UNO Restaurants Holdings Corp.1,2   02/15/11     10.000     1,710,000  
5,000   VICORP Restaurants, Inc.1   04/15/11     10.500     4,650,000  
                    18,727,906  
Services — 7.12%                  
2,750   Ahern Rentals, Inc.1   08/15/13     9.250     2,880,625  
4,000   Hertz Corp.1   01/01/16     10.500     4,560,000  
3,500   HydroChem Industrial Services, Inc.1,2   02/15/13     9.250     3,605,000  
5,250   Mobile Services Group, Inc.1,2   08/01/14     9.750     5,591,250  
1,000   Monitronics International, Inc.1   09/01/10     11.750     1,020,000  
3,500   Sunstate Equipment Co.1,2   04/01/13     10.500     3,745,000  
                    21,401,875  
Steel — 0.60%                  
1,750   Edgen Acquisition Corp.1   02/01/11     9.875     1,791,563  
Technology — 9.24%                  
1,200   Freescale Semiconductor2   12/15/14     8.875     1,216,500  
5,000   Freescale Semiconductor1,2   12/15/16     10.125     5,118,750  
5,000   Nortel Networks Ltd.1,2   07/15/13     10.125     5,500,000  
1,000   Serena Software, Inc.1   03/15/16     10.375     1,082,500  
4,000   SS&C Technologies, Inc.1   12/01/13     11.750     4,450,000  
6,250   Sungard Data Systems, Inc.1   08/15/15     10.250     6,796,875  
3,500   Unisys Corp.1   10/15/15     8.500     3,587,500  
                    27,752,125  

Managed High Yield Plus Fund Inc.
Schedule of investments—February 28, 2007 (unaudited)

Principal                    
amount     Maturity   Interest      
(000) ($)     dates   rates (%)   Value ($)  
Corporate bonds—(concluded)                  
Telecommunications — 9.17%                  
3,608   Alamosa Delaware, Inc.1   07/31/10     11.000     3,869,735  
6,000   American Cellular Corp., Series B   08/01/11     10.000     6,382,500  
868   Centennial Cellular Operating Co. LLC1   12/15/08     10.750     870,170  
3,000   Centennial Communications Corp.1   06/15/13     10.125     3,243,750  
1,000   Citizens Communications1   08/15/31     9.000     1,107,500  
2,000   Horizon PCS, Inc.1   07/15/12     11.375     2,220,000  
3,000   Level 3 Communications, Inc.   03/01/10     11.500     3,330,000  
1,750   US Unwired, Inc., Series B1   06/15/12     10.000     1,914,593  
4,000   Wind Acquisition Finance SA1,2   12/01/15     10.750     4,610,000  
                    27,548,248  
Transportation excluding air/rail — 1.02%                  
3,000   Navios Maritime Holdings1,2   12/15/14     9.500     3,082,500  
Utilities — 3.02%                  
5,250   Mission Energy Holding Co.1   07/15/08     13.500     5,729,063  
3,185   Reliant Energy, Inc.1   07/15/10     9.250     3,360,175  
                    9,089,238  
Total corporate bonds (cost—$410,399,954)               420,296,416  
Number of      
shares      
Common stocks*—0.01%      
Energy — 0.00%      
1,253   Orion Refining Corp.4,5   0  
Restaurants — 0.00%      
129   American Restaurant Group, Inc.4,5   0  
Services — 0.00%      
5,456   NCI Holdings, Inc.4,5   0  
Telecommunications — 0.01%      
636   American Tower Corp., Class A1   24,639  
1,052   XO Holdings, Inc.1   4,786  
        29,425  
Total common stocks (cost—$2,716,866)   29,425  
Preferred stock*—0.00%      
Broadcasting — 0.00%      
2,000,000   Adelphia Contingent Value Vehicle4,5 (cost—$0)   0  

Managed High Yield Plus Fund Inc.
Schedule of investments—February 28, 2007 (unaudited)

Number of        
warrants     Value ($)  
Warrants*—0.25%      
Building materials — 0.00%      
2,500   Dayton Superior Corp., strike @ $0.01 expires 06/15/095,6   0  
Energy — 0.25%      
4,500   Key Energy Services, Inc., strike @ $4.88 expires 01/15/091   762,750  
Technology — 0.00%      
3,000   Knology Holdings, Inc., strike @ $0.10 expires 10/22/075,6   0  
Telecommunications — 0.00%      
4,950   Pathnet, Inc., strike @ $0.01, expires 04/15/084,5   0  
2,105   XO Holdings, Inc., Series A, strike @ $6.25, expires 01/16/101   1,473  
1,578   XO Holdings, Inc., Series B, strike @ $7.50, expires 01/16/101   663  
1,578   XO Holdings, Inc., Series C, strike @ $10.00, expires 01/16/101   395  
        2,531  
Total warrants (cost—$51,560)   765,281  

Principal                    
amount     Maturity   Interest      
(000) ($)     date   rate (%)      
Repurchase agreement—3.54%                  
10,629   Repurchase agreement dated 02/28/07 with State Street Bank & Trust Co., collateralized by $3,877,034 US Treasury Bonds, 7.500% to 8.875% due 11/15/16 to 08/15/17 and $5,914,209 US Treasury Notes 4.625% to 4.875% due 07/31/11 to 01/31/12 (value—$10,841,742); proceeds: $10,630,447 (cost—$10,629,000)   03/01/07     4.900     10,629,000  
Total investments (cost—$423,797,380)7,8 — 143.68%               431,720,122  
Liabilities in excess of other assets — (43.68)%               (131,245,997 )
Net assets — 100.00%               300,474,125  

*   Non-income producing.
     
1   Entire or partial amount pledged as collateral for bank loan.
     
2   Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 36.21% of net assets as of February 28, 2007, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
     
3   Floating rate securities. The interest rates shown are the current rates as of February 28, 2007.
     
4   Illiquid securities representing 0.61% of net assets.
     
5   Security is being fair valued by a valuation committee under the direction of the board of directors.
     
6   Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.00% of net assets as of February 28, 2007, are considered illiquid and restricted. (See table below for more information).

Managed High Yield Plus Fund Inc.
Schedule of investments—February 28, 2007 (unaudited)

            Acquisition         
            cost as a       Value as a
    Acquisition   Acquisition   percentage of   Value at   percentage of
Restricted securities   date (s)   cost ($)   net assets (%)    02/28/07 ($)    net assets (%)
Dayton Superior Corp., warrants, expiring 06/15/09   06/09/00   46,550   0.02   0   0.00
Knology Holdings, Inc., warrants, expiring 10/22/07   06/08/98,
04/26/00		   5,000   0.00   0   0.00
        51,550   0.02   0   0.00

     
7   Cost of investments shown approximates cost for federal income tax purposes. Gross unrealized appreciation of investments and gross unrealized depreciation of investments at February 28, 2007 were $15,873,436 and $7,950,694 respectively, resulting in net unrealized appreciation of investments of $7,922,742.
     
8   The Fund calculates its net asset value based on the current market value, where available, for its portfolio securities. The Fund normally obtains market values for its securities from independent pricing sources and broker-dealers. Independent pricing sources may use last reported sale prices, current market quotations or valuations from computerized “matrix” systems that derive values based on comparable securities. A matrix system incorporates parameters such as security quality, maturity and coupon, and/or research and evaluations by its staff, including review of broker-dealer market price quotations, if available, in determining the valuation of the portfolio securities. Securities traded in the over-the-counter (“OTC”) market and listed on The Nasdaq Stock Market, Inc. (“Nasdaq”) normally are valued at the Nasdaq Official Closing Price. Other OTC securities are valued at the last bid price available on the valuation date prior to valuation. Securities which are listed on US and foreign stock exchanges normally are valued at the last sale price on the day the securities are valued or, lacking any sales on such day, at the last available bid price. In cases where securities are traded on more than one exchange, the securities are valued on the exchange designated as the primary market by UBS Global Asset Management (Americas) Inc., the investment manager and administrator of the Fund. If a market value is not available from an independent pricing source for a particular security, that security is valued at fair value as determined in good faith by or under the direction of the Fund’s Board of Directors (the “Board”). Various factors may be reviewed in order to make a good faith determination of a security’s fair value. These factors include, but are not limited to, the type and cost of the security; contractual or legal restrictions on resale of the security; relevant financial or business developments of the issuer; actively traded similar or related securities; conversion or exchange rights on the security; related corporate actions; and changes in overall market conditions. If events occur that materially affect the value of securities (particularly non-US securities) between the close of trading in those securities and the close of regular trading on the New York Stock Exchange (“NYSE”), the securities are fair valued. The amortized cost method of valuation, which approximates market value, generally is used to value short-term debt instruments with sixty days or less remaining to maturity, unless the Board determines that this does not represent fair value. All investments quoted in foreign currencies will be valued daily in US dollars on the basis of the foreign currency exchange rates prevailing at the time such valuation is determined by the Fund’s custodian.

Issuer breakdown by country of origin   Percentage of total investments (%)
United States   89.8
Canada   5.5
Cayman Islands   1.4
Luxembourg   1.1
Marshall Islands   0.7
United Kingdom   0.5
Ireland   0.5
Netherlands   0.5
    100.0

For more information regarding the Fund’s other significant accounting policies, please refer to the Fund’s semiannual report to shareholders dated November 30, 2006.


Item 2.   Controls and Procedures.
     
  (a)
The registrant’s principal executive officer and principal financial 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 (“Investment Company Act”)) are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
     
  (b)
The registrant’s principal executive officer and principal financial officer are aware of no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
     
Item 3.   Exhibits.
     
  (a)
Certifications of principal executive officer and principal financial officer of registrant pursuant to Rule 30a-2(a) under the Investment Company Act is attached hereto as Exhibit EX-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.

Managed High Yield Plus Fund Inc.

By:   /s/ Kai R. Sotorp
    Kai R. Sotorp
    President
     
     
Date:   April 27, 2007

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/ Kai R. Sotorp
    Kai R. Sotorp
    President
     
     
Date:   April 27, 2007

By:   /s/ Thomas Disbrow
    Thomas Disbrow
    Vice President and Treasurer
     
     
Date:   April 27, 2007