N-Q 1 w38515nvq.htm FORM N-Q RIVUS BOND FUND nvq
 

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 811-02201
Rivus Bond Fund
 
(Exact name of registrant as specified in charter)
113 King Street
Armonk, NY 10504
 
(Address of principal executive offices) (Zip code)
Clifford D. Corso
113 King Street
Armonk, NY 10504
 
(Name and address of agent for service)
Registrant’s telephone number, including area code: 914-273-4545
Date of fiscal year end: March 31
Date of reporting period: June 30, 2007

 


 

Item 1. Schedule of Investments.
The Schedule(s) of Investments is attached herewith.
 
SCHEDULE OF INVESTMENTS (Unaudited)   June 30, 2007
                     
    Moody’s/            
    Standard &   Principal        
    Poor’s Rating(a)   Amount (000’s)     Value  
LONG-TERM DEBT SECURITIES (98.18%)
                   
AUTOMOTIVE (6.67%)
                   
DaimlerChrysler Co. LLC, Unsec. Debs., 12.375%, 05/01/20
  Baa1/BBB     1,000,000     $ 1,631,504  
Ford Holdings, LLC, Gtd., 9.30%, 03/01/30
  Caa1/CCC+     1,000,000       910,000  
Ford Motor Co., Debs., 8.90%, 01/15/32
  Caa1/CCC+     1,060,000       922,200  
Ford Motor Credit Co., Debs., 7.00%, 10/01/13
  B1/B     1,000,000       926,496  
Ford Motor Credit Co., Sr. Unsec. Notes, 8.00%, 12/15/16
  B1/B     1,000,000       957,848  
General Motors Acceptance Corp., Notes, 7.25%, 03/02/11
  Ba1/BB+     1,000,000       996,721  
Meritor Automotive Inc., Notes, 6.80%, 02/15/09
  B1/B+     87,000       85,260  
 
                 
 
                6,430,029  
 
                 
 
                   
CHEMICALS (0.76%)
                   
Lyondell Chemical Co., Sr. Unsec. Notes, 8.25%, 09/15/16
  B1/B+     250,000       261,250  
Nova Chemicals Co., Sr. Notes, 6.50%, 01/15/12
  Ba3/B+     500,000       467,500  
 
                 
 
                728,750  
 
                 
 
                   
COMMERCIAL SERVICES (0.26%)
                   
Avis Budget Car Rental LLC, Sr. Unsec. Notes, 7.86%, 05/15/14(b)
  Ba3/BB-     250,000       253,750  
 
                 
 
                   
DIVERSIFIED FINANCIAL SERVICES (16.72%)
                   
Bank of America Corp., Sub. Notes, 5.42%, 03/15/17
  Aa2/AA-     1,000,000       958,664  
Capital One Financial Corp., Notes, 7.125%, 08/01/08
  A3/BBB+     1,000,000       1,015,782  
Credit Suisse FB USA, Inc., Notes, 4.875%, 08/15/10
  Aa1/AA-     500,000       492,437  
General Electric Capital Corp., Notes, 6.125%, 02/22/11
  Aaa/AAA     1,000,000       1,019,294  
General Electric Capital Corp., Unsec. Notes, 6.00%, 06/15/12
  Aaa/AAA     1,725,000       1,755,765  
HSBC America Capital Trust II, Co. Gtd., 8.38%, 05/15/27, 144A
  NA/A     2,500,000       2,610,017  
HSBC Finance Corp., Notes, 6.75%, 05/15/11
  Aa3/AA-     1,500,000       1,557,040  
ICICI Bank Ltd., Notes, 5.75%, 01/12/12, 144A
  Baa2/BBB-     1,000,000       982,096  
Landesbank Baden-Wurtt NY, Sub. Notes, 6.35%, 04/01/12
  Aaa/AA+     500,000       517,982  
Residential Capital Corp., Gtd., 6.375%, 06/30/10
  Baa3/BBB-     1,000,000       987,092  
Residential Capital LLC, Co. Gty., 6.125%, 11/21/08
  Baa3/BBB-     500,000       495,437  
Sanwa Bank Ltd., Sub. Notes, 7.40%, 06/15/11
  Aa3/A     500,000       533,085  
Takefuji Corp., Sr. Notes, 9.20%, 04/15/11, 144A
  Baa1/BBB     1,000,000       1,110,140  
UBS PFD Funding Trust I, Co. Gtd., 8.622%, 12/31/49(b)
  Aa2/AA-     1,000,000       1,086,087  
Wachovia Capital Trust III, Gtd., 5.80%, 08/29/49(b)
  A2/A     1,000,000       995,642  
 
                 
 
                16,116,560  
 
                 
 
                   
ENERGY (7.48%)
                   
Anadarko Petroleum Corp., Sr. Notes, 5.95%, 09/15/16
  Baa3/BBB-     700,000       683,496  
Apache Corp., Notes, 7.70%, 03/15/26
  A3/A-     500,000       570,211  
Chesapeake Energy Corp., Sr. Notes, 7.50%, 09/15/13
  Ba2/BB     500,000       508,750  
Pemex Project Funding Master Trust, Co. Gty., 6.125%, 08/15/08
  Baa1/BBB     1,000,000       1,006,000  
Petrobras International Finance Co., Sr. Unsub. Notes, 6.125%, 10/06/16
  Baa2/BBB-     750,000       735,000  
Transocean, Inc., Notes, 7.50%, 04/15/31
  Baa1/A-     500,000       552,905  
Western Atlas, Inc., Debs., 8.55%, 06/15/24
  A2/A     2,539,000       3,149,987  
 
                 
 
                7,206,349  
 
                 
 
                   
GAMING, LODGING & LEISURE (4.21%)
                   
Caesars Entertainment Inc., Sr. Notes, 7.50%, 09/01/09
  Baa3/BB     1,000,000       1,022,500  
MGM Mirage, Inc., Co. Gty., 6.00%, 10/01/09
  Ba2/BB     1,000,000       991,250  
Royal Caribbean Cruises Ltd., Sr. Notes, 6.75%, 03/15/08
  Ba1/BBB-     1,000,000       1,005,991  

1


 

SCHEDULE OF INVESTMENTS (Unaudited) — continued
                     
    Moody’s/            
    Standard &   Principal        
    Poor’s Rating(a)   Amount (000’s)     Value  
Starwood Hotels & Resorts Worldwide, Inc., Gtd., 7.875%, 05/01/12
  Baa3/BBB-     1,000,000     $ 1,041,345  
 
                 
 
                4,061,086  
 
                 
 
                   
HOME BUILDERS (0.99%)
                   
Centex Corp., Notes, 5.45%, 08/15/12
  Baa2/BBB     1,000,000       954,150  
 
                 
 
                   
INDUSTRIAL (0.75%)
                   
Belden CDT, Inc., Sr. Sub. Notes, 7.00%, 03/15/17, 144A
  Ba2/BB-     250,000       246,250  
L-3 Communications Corp., Co. Gty., 6.125%, 07/15/13
  Ba3/BB+     500,000       472,500  
 
                 
 
                718,750  
 
                 
 
                   
INSURANCE (5.32%)
                   
AIG Sunamerica Global Finance VI, Sr. Notes, 6.30%, 05/10/11, 144A
  Aa2/AA+     1,000,000       1,024,171  
Berkshire Hathaway Finance Corp., Notes, 5.10%, 07/15/14
  Aaa/AAA     1,000,000       971,573  
Penn Central Corp., Sub. Notes, 10.875%, 05/01/11(c)
  WR/NR     1,500,000       1,720,320  
Sunamerica Inc., Debs., 8.125%, 04/28/23
  Aa2/AA     750,000       897,577  
XL Capital Europe PLC, Gtd., 6.50%, 01/15/12
  A3/A-     500,000       513,442  
 
                 
 
                5,127,083  
 
                 
 
                   
MEDIA (12.82%)
                   
Clear Channel Communication, Inc., Co. Gty., 8.00%, 11/01/08
  Baa3/B+     1,000,000       1,025,695  
Comcast Corp., Gtd., 7.05%, 03/15/33
  Baa2/BBB+     2,000,000       2,064,264  
Dex Media West LLC, Sr. Notes, 8.50%, 08/15/10
  B1/B     500,000       518,125  
Harcourt General, Inc., Sr. Debs., 8.875%, 06/01/22
  WR/A-     2,000,000       2,438,062  
News America Holdings, Inc., Gtd., 7.90%, 12/31/49
  Baa2/BBB     1,400,000       1,525,136  
Quebecor World Capital Corp., Gtd., 6.125%, 11/15/13
  B2/B+     1,000,000       902,500  
Time Warner, Inc., Debs., 9.15%, 02/01/23
  Baa2/BBB+     3,000,000       3,627,114  
Viacom, Inc., Sr. Debs., 7.875%, 07/30/30
  Baa3/BBB     250,000       258,514  
 
                 
 
                12,359,410  
 
                 
 
                   
MINING (1.58%)
                   
Freeport-McMoran C&G, Sr. Unsec. Notes, 8.375%, 04/01/17
  Ba3/BB     500,000       533,750  
Vale Overseas Ltd., Co. Gty., 6.25%, 01/23/17
  Baa3/BBB     1,000,000       991,820  
 
                 
 
                1,525,570  
 
                 
 
                   
PAPER (2.53%)
                   
Abitibi-Consolidated, Inc., Debs., 8.85%, 08/01/30
  B3/B     500,000       420,000  
Smurfit Capital Funding PLC, Debs., 7.50%, 11/20/25
  Ba2/BB     2,000,000       2,015,000  
 
                 
 
                2,435,000  
 
                 
 
                   
PHARMACEUTICALS (0.55%)
                   
Monsanto Co. (Pharmacia Corp.), Debs., 6.50%, 12/01/18
  Aa1/AAA     500,000       529,730  
 
                 
 
                   
REAL ESTATE INVESTMENT TRUST (REIT) (5.50%)
                   
Chelsea Property Group, Inc., Notes, 7.25%, 10/21/07
  A3/A-     1,000,000       1,004,133  
Federal Realty Investment Trust, Sr. Unsec. Notes, 5.40%, 12/01/13
  Baa1/BBB+     750,000       728,701  
Host Marriott LP, Sr. Notes, 7.00%, 08/15/12
  Ba1/BB     500,000       500,625  
iStar Financial, Inc., Sr. Notes, 6.00%, 12/15/10
  Baa2/BBB     1,000,000       1,004,222  
Liberty Property LP, Sr. Notes, 7.50%, 01/15/18
  Baa2/BBB     1,000,000       1,076,588  
Nationwide Health Properties, Inc., Notes, 6.00%, 05/20/15
  Baa3/BBB-     500,000       489,205  
Prologis, Sr. Notes, 5.50%, 04/01/12
  Baa1/BBB+     500,000       495,822  
 
                 
 
                5,299,296  
 
                 
 
                   
RETAIL & RESTAURANT (2.14%)
                   
Autonation, Inc., Co. Gty., 7.00%, 04/15/14
  Ba2/BB+     500,000       493,750  
Darden Restaurants, Inc., Debs., 7.125%, 02/01/16
  Baa1/BBB+     500,000       515,952  

2


 

SCHEDULE OF INVESTMENTS (Unaudited) — continued
                     
    Moody’s/            
    Standard &   Principal        
    Poor’s Rating(a)   Amount (000’s)     Value  
JC Penney Co., Inc., Sr. Unsec. Notes, 8.00%, 03/01/10
  Baa3/BBB-     1,000,000     $ 1,055,911  
 
                 
 
                2,065,613  
 
                 
 
                   
TECHNOLOGY (0.52%)
                   
Avnet, Inc., Sr. Notes, 6.625%, 09/15/16
  Ba1/BBB-     500,000       506,627  
 
                 
 
                   
TELECOMMUNICATIONS (10.18%)
                   
Citizens Communications Co., Sr. Notes, 6.25%, 01/15/13
  Ba2/BB+     500,000       479,375  
Deutsche Telekom International Finance BV, Gtd., 8.25%, 06/15/30
  A3/A-     2,000,000       2,397,130  
France Telecom SA, Notes, 7.75%, 03/01/11(d)
  A3/A-     750,000       801,281  
GTE Corp., Debs., 6.94%, 04/15/28
  Baa1/A     2,000,000       2,057,006  
SBC Communications, Inc., Notes, 5.875%, 08/15/12
  A2/A     500,000       503,797  
Sprint Capital Corp., Co. Gty., 6.90%, 05/01/19
  Baa3/BBB     1,750,000       1,732,388  
Verizon Global Funding Corp., Notes, 7.75%, 12/01/30
  A3/A     1,646,000       1,843,788  
 
                 
 
                9,814,765  
 
                 
 
                   
TRANSPORTATION (3.87%)
                   
BNSF Funding Trust I, Co. Gty., 6.613%, 12/15/49(b)
  Baa3/BBB-     250,000       228,362  
Burlington North Santa Fe., Unsec. Notes, 5.65%, 05/01/17
  Baa1/BBB     1,000,000       974,157  
Federal Express Corp., Notes, 9.65%, 06/15/12
  Baa2/BBB     1,750,000       2,037,571  
Ryder Systems, Inc., Notes, 5.85%, 03/01/14
  Baa1/BBB+     500,000       491,843  
 
                 
 
                3,731,933  
 
                 
 
                   
UTILITIES (6.42%)
                   
Dominion Resources, Inc., Sr. Notes, 6.75%, 12/15/32
  Baa2/BBB     1,000,000       1,074,867  
DPL, Inc., Sr. Notes, 8.00%, 03/31/09(e)
  NR/NR     1,000,000       1,039,604  
Hydro-Quebec, Gtd., Debs., 8.25%, 04/15/26
  Aa2/A+     1,550,000       1,992,733  
Midamerican Funding LLC, Sec. Sr. Bonds, 6.927%, 03/01/29
  A3/BBB+     500,000       539,817  
NSTAR, Notes, 8.00%, 02/15/10
  A2/A     500,000       530,062  
Ohio Power Co., Sr. Notes, 6.00%, 06/01/16
  A3/BBB     500,000       500,478  
Old Dominion Electric Coop., Sec. Bonds, 6.25%, 06/01/11
  Aaa/AAA     500,000       512,567  
 
                 
 
                6,190,128  
 
                 
 
                   
MORTGAGE-BACKED SECURITIES (7.95%)
                   
FHLMC Pool # B11892, 4.50%, 01/01/19
  Aaa/AAA     1,495,598       1,425,545  
FHLMC Pool # A15675, 6.00%, 11/01/33
  Aaa/AAA     1,022,283       1,017,949  
FNMA Pool # 754791, 6.50%, 12/01/33
  Aaa/AAA     1,332,596       1,354,057  
FNMA Pool # 763852, 5.50%, 02/01/34
  Aaa/AAA     2,312,238       2,238,674  
GNSF Pool # 417239, 7.00%, 02/15/26
  Aaa/AAA     64,300       67,063  
GNSF Pool # 780374, 7.50%, 12/15/23
  Aaa/AAA     27,864       29,161  
Meristar Commercial Mortagage Trust, Series 1999-C1, Class C, 8.29%, 03/03/16, 144A
  Aaa/AAA     500,000       531,640  
Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A3, 5.679%, 10/15/48
  Aaa/AAA     500,000       492,555  
Wells Fargo Mortgage Backed Securities Trust, Series 2007-10, Class 1A19, 6.00%, 07/25/37(c)
  Aaa/NR     500,000       502,188  
 
                 
 
                7,658,832  
 
               
 
                   
ASSET-BACKED SECURITIES (0.96%)
                   
Option One Mortgage Loan Trust, Series 2007-FXD2, Class 2A1, 5.90%, 03/25/38(d)
  Aaa/AAA     922,312       920,157  
 
                 
 
TOTAL LONG-TERM DEBT SECURITIES (Cost of $92,432,859)
                94,633,568  
 
                 

3


 

SCHEDULE OF INVESTMENTS (UNAUDITED) — continued
                 
    Shares     Value  
INVESTMENT COMPANIES (3.42%)
               
 
               
PNC Bank Money Market
    3,301,312     $ 3,301,312  
 
             
 
               
TOTAL INVESTMENTS (101.6%)
               
(Cost of $95,734,171)*
          $ 97,934,880  
 
             
LIABILITIES IN EXCESS OF OTHER ASSETS (-1.6%)
            (1,544,316 )
 
             
NET ASSETS (100.0%)
          $ 96,390,564  
 
             
 
(a)   Ratings for debt securities are unaudited. All ratings are as of June 30, 2007 and may have changed subsequently.
 
(b)   Variable rate security. Rate disclosed is as of June 30, 2007.
 
(c)   Security was valued using fair value procedures as of June 30, 2007.
 
(d)   Multi-Step Coupon. Rate disclosed is as of June 30, 2007.
 
(e)   Security rated BBB+ by Fitch.
 
144A   Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. At June 30, 2007, these securities amounted to 6.75% of net assets.
 
*   Aggregate cost for Federal income tax purpose is $95,734,171.
         
Gross unrealized appreciation
  $ 3,889,048  
Gross unrealized depreciation
    (1,688,339 )
 
     
Net unrealized depreciation
  $ 2,200,709  
 
     
Legend
Co. Gty — Company Guaranty
Ctfs. — Certificates
Debs. — Debentures
GNSF — Government National Mortgage Association (Single Family)
Gtd. — Guaranteed
FHLMC — Federal Home Loan Mortgage Corp.
FNMA — Federal National Mortgage Association
NR — Not Rated
Sec. — Secured
Sr. — Senior
Sub. — Subordinated
Unsec. — Unsecured
WR — Withdrawn Rating
Security Valuation — In valuing the Fund’s net assets, all securities for which representative market quotations are available will be valued at the last quoted sales price on the security’s principal exchange on the day of valuation. If there are no sales of the relevant security on such day, the security will be valued at the bid price at the time of computation. Prices for securities traded in the over-the-counter market, including listed debt and preferred securities, whose primary market is believed to be over-the-counter, normally are supplied by independent pricing services. Securities for which market quotations are not readily available will be valued at their respective fair values as determined in good faith by, or under procedures established by the Board of Trustees. At June 30, 2007, Penn Central Corp. and Wells Fargo Mortgage Backed Securities Trust were valued using fair value procedures and represented 2.31% of net assets.
For more information with regards to significant accounting policies, see the most recent annual report filed with the Securities and Exchange Commission.

4


 

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, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
  (b)   There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) 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.
Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

5


 

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)
  Rivus Bond Fund
 
   
 
   
By (Signature and Title)*
  /s/ Clifford D. Corso
 
   
 
  Clifford D. Corso, President
 
  (principal executive officer)
 
   
Date
  August 28, 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 (Signature and Title)*
  /s/ Clifford D. Corso
 
   
 
  Clifford D. Corso, President
 
  (principal executive officer )
 
   
Date
  August 28, 2007
 
   
 
   
By (Signature and Title)*
  /s/ Marc D. Morris
 
   
 
  Marc D. Morris, Treasurer
 
  (principal financial officer )
 
   
Date
  August 28, 2007
 
   
 
*   Print the name and title of each signing officer under his or her signature.

6