-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Tz8ZmGzvRJ39uU/hZzd+HWY/jjYVs+vEza6d2Py6FIiP1PErKtIcHDsQM+IFfJY8 MkE8MA1Z5/ltJg7z8ZiVZw== 0000927405-96-000358.txt : 19960830 0000927405-96-000358.hdr.sgml : 19960830 ACCESSION NUMBER: 0000927405-96-000358 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19960630 FILED AS OF DATE: 19960829 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: CIM HIGH YIELD SECURITIES CENTRAL INDEX KEY: 0000821466 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-05328 FILM NUMBER: 96622940 BUSINESS ADDRESS: STREET 1: C/O CHANCELLOR TRUST COMPANY STREET 2: 1166 AVENUE OF THE AMERICAS 27TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10036 BUSINESS PHONE: 2122789559 MAIL ADDRESS: STREET 1: C/O CHANCELLOR TRUST COMPANY STREET 2: 1166 AVENUE OF THE AMERICAS 27TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10036 N-30D 1 CIM HIGH YIELD SECURITIES--FIRST HALF 1996 REVIEW AND OUTLOOK Dear Shareholder: Fear of inflationary growth sent U.S. Treasury prices plummeting during the second quarter of 1996. From the beginning of the year through June 30, 1996, 10-year Treasury yields have risen from 5.57% to 6.74%, an increase of 117 basis points. With the rise in Treasury yields, higher rated, longer duration and deferred interest high yield securities underperformed the broad high yield market. These were the outperforming sectors of the high yield market in 1995. The total return for the high yield market, as measured by the CS First Boston High Yield Index, was 3.8% for the six months ended June 30, 1996. This compares very favorably with the total return of the 10-year Treasury of (4.4)% for the same period. The total return performance for CIM High Yield Securities (the "Fund") was 5.26% based on net asset value (before Fund expenses) and 4.69% (after Fund expenses) for the six months ended June 30, 1996, which compares very favorably with the CS First Boston High Yield Index return cited above for the same period. The Fund's relative outperformance was due to the lack of exposure to underperforming sectors such as zero coupon securities and long duration instruments. Several individual securities in the Fund also experienced significant price improvement and a favorable economic outlook pushed the cyclical sector higher. The high yield market has performed very well considering the extraordinary Treasury volatility and continues to be supported by favorable technical factors. High yield mutual funds for the period saw net cash inflows greater than in 1995. This flow has supported strong new issuance of high yield securities since the beginning of the year, particularly in the media and communications sector. As a result of strong demand, spreads between the high yield markets and the Treasury benchmarks have narrowed since the beginning of the year. Fundamentally, we remain very positive on the high yield market over the long term. Issuer quality remains high relative to historical experience. Barring significant downturns in other asset categories, we believe the high yield market is poised for a healthy 1996 relative to other fixed income segments. Investors are increasingly finding the high yield market attractive given the superior returns to other fixed income classes, lower default rates than in some previous periods and shorter duration and lower volatility relative to other asset classes. Thank you for your continued support. Sincerely, /s/ Dan Baldwin Dan S. Baldwin, CFA Portfolio Manager CIM HIGH YIELD SECURITIES STATEMENT OF INVESTMENTS JUNE 30, 1996 (UNAUDITED)
PRINCIPAL VALUE AMOUNT (NOTE 1) --------- - ------------ CORPORATE BONDS AND NOTES -- 117.4% CABLE T.V. -- 16.6% Cai Wireless System, Inc., Sr. Secured Note, $1,250,000 12.250%, 02/01/2003............................. $ 1,312,500 CF Cable TV, Inc., Sr. Secured Note, 11.625%, 1,250,000 02/15/2005...................................... 1,370,312 Charter Communications International, Inc., Sr. 1,000,000 Note, 11.250%, 03/15/2006....................... 1,006,250 Galaxy Telecommunication L.P., Sr. Sub. Note, 1,250,000 12.375%, 10/01/2005............................. 1,296,875 Le Groupe Videotron, Ltd., Sr. Note, 10.625%, 750,000 02/15/2005...................................... 787,500 Rifkin Acquision Partners, Sr. Sub. Note, 1,000,000 11.125%, 01/15/2006............................. 987,500 - ------------ 6,760,937 - ------------ BROADCAST/RADIO/T.V. -- 13.9% Argyle Television, Inc., Sr. Sub. Note, 9.750%, 750,000 11/01/2005...................................... 709,688 Chancellor Broadcasting Company, Sr. Sub. Note, 1,000,000 9.375%, 10/01/2004.............................. 947,500 Granite Broadcasting Corporation, Sr. Sub Note, 750,000 9.375%, 12/01/2005.............................. 686,250 Heritage Media Inc., Gtd. Sr. Secured Note, 750,000 11.000%, 06/15/2002............................. 795,937 Paxson Communication Corporation, Sr. Sub. Note, 1,000,000 11.625%, 10/01/2002***.......................... 1,040,000 SFX Broadcasting, Inc. Sr. Sub. Note, 10.750%, 1,000,000 05/15/2006...................................... 997,500 Sullivan Broadcasting, Sr. Sub. Note, 10.250%, 500,000 12/15/2005...................................... 481,250 - ------------ 5,658,125 - ------------ TELECOMMUNICATION -- 11.0% Fonorola Inc., Sr. Secured Note, 12.500%, 750,000 08/15/2002...................................... 806,250 Metrocall, Inc., Sr. Sub. Note, 10.375%, 750,000 10/01/2007...................................... 706,875 Nextlink Communications, Sr. Note, 12.500%, 1,000,000 04/15/2006...................................... 1,000,000 Paging Network, Inc., Sr. Sub. Note, 10.125%, 750,000 08/01/2007...................................... 742,500 500,000 ProNet, Inc., Sr. Sub. Note, 10.875%, 09/15/2006. 487,500 Rogers Cantel Mobile Communications, Sr. Sub. 750,000 Note, 9.375%, 06/01/2008........................ 735,938 - ------------ 4,479,063 - ------------ STEEL -- 7.8% 750,000 Algoma Steel Inc., 12.375%, 07/15/2005........... 735,000 Florida Steel Corporation, 1st Mortgage Note, 1,000,000 11.500%, 12/15/2000............................. 1,011,250 1,000(a) NS Group, Inc., 13.500%, 07/15/2003.............. 963,750 500,000 Weirton Steel Corporation, 11.375%, 07/01/2004... 493,125 - ------------ 3,203,125 - ------------ OTHER RETAILERS -- 6.7% Brylane Capital Corporation, Sr. Sub. Note, 1,250,000 Series B, 10.000%, 09/01/2003................... 1,204,688 Hills Stores Company, Sr. Note, 12.500%, 650,000 07/01/2003...................................... 638,625 Pamida Holdings Inc., Sr. Sub. Note, 11.750%, 1,000,000 03/15/2003...................................... 873,750 - ------------ 2,717,063 - ------------
See Notes to Financial Statements. 1 CIM HIGH YIELD SECURITIES STATEMENT OF INVESTMENTS (CONTINUED) JUNE 30, 1996 (UNAUDITED)
PRINCIPAL VALUE AMOUNT (NOTE 1) --------- - ------------ CORPORATE BONDS AND NOTES -- (CONTINUED) HEALTHCARE -- 6.3% Dade International, Inc., Sr. Sub. Note, 11.125%, $ 600,000 05/01/2006......................................... $ 624,000 800,000 Grancare, Inc., Sr. Sub. Note, 9.375%, 09/15/2005... 770,000 Owens & Minor, Inc., Sr. Sub. Note, 10.875%, 150,000 06/01/2006......................................... 152,625 Paracelsus Healthcare Corporation, Sr. Sub. Note, 1,000,000 9.875%, 10/15/2003................................. 1,007,500 - ------------ 2,554,125 - ------------ OIL AND GAS -- 5.8% Crown Petroleum Corporation, Sr. Note, 10.875%, 1,000,000 02/01/2005......................................... 1,017,500 325,000 Mesa Operating Company, Note, 10.625%, 07/01/2006... 331,500 TransTexas Gas Corporation, Sr. Note, 11.500%, 500,000 06/15/2002......................................... 501,250 United Meridian Corporation, Sr. Sub. Note, 10.375%, 500,000 10/15/2005......................................... 515,625 - ------------ 2,365,875 - ------------ APPAREL/TEXTILES -- 5.2% CMI Industries Corporation, Sr. Sub. Note, 9.500%, 1,000,000 10/01/2003......................................... 865,000 Polysindo International Finance, Note, 11.375%, 500,000 06/15/2006......................................... 508,125 750,000 Tultex Corporation, Sr. Note, 10.625%, 03/15/2005... 764,063 - ------------ 2,137,188 - ------------ MANUFACTURING -- DIVERSIFIED -- 5.0% Foamex Capital Corporation, Sr. Note, 11.250%, 1,000,000 10/01/2002......................................... 1,035,000 Interlake Corporation, Sr. Sub. Debenture, 12.125%, 1,000,000 03/01/2002......................................... 1,006,250 - ------------ 2,041,250 - ------------ BUSINESS EQUIPMENT AND SERVICES -- 5.0% 1,000,000 Knoll, Inc., Sr. Sub. Note, 10.875%, 03/15/2006..... 1,018,750 1,000,000 Unisys Corporation, Sr. Note, 12.000%, 04/15/2003... 1,018,750 - ------------ 2,037,500 - ------------ HOTELS AND CASINOS -- 4.8% Harrahs Jazz Company, 1st Mortgage Note, 14.250%, 750,000 11/15/2001 (In Default)............................ 395,625 MGM Grand Hotel Finance Company, 1st Mortgage, 500,000 12.000%, 05/01/2002................................ 548,125 Trump Atlantic City Associates, 1st Mortgage, 1,000,000 11.250%, 05/01/2006................................ 1,007,500 - ------------ 1,951,250 - ------------ FOOD SERVICE -- 4.1% 1,000,000 Carrols Corporation, Sr. Note, 11.500%, 08/15/2003.. 1,013,750 Flagstar Corporation, Sr. Sub. Deb., 11.250%, 1,000,000 11/01/2002......................................... 662,500 - ------------ 1,676,250 - ------------
See Notes to Financial Statements. 2 CIM HIGH YIELD SECURITIES STATEMENT OF INVESTMENTS (CONTINUED) JUNE 30, 1996 (UNAUDITED)
PRINCIPAL VALUE AMOUNT (NOTE 1) --------- - ------------ CORPORATE BONDS AND NOTES -- (CONTINUED) FOOD/DRUG RETAILERS -- 4.1% $1,000,000 Penn Traffic Company, Sr. Note, 10.250%, 02/15/2002. $ 912,500 Smiths Food & Drug Centers, Inc., Sr. Sub. Note, 750,000 11.250%, 05/15/2007................................ 761,250 - ------------ 1,673,750 - ------------ PAPER PRODUCTS -- 3.6% APP International Finance Company, Gtd. Secured 1,000,000 Note, 11.750%, 10/01/2005.......................... 1,032,500 Florida Coast Paper LLC, 1st Mortgage, 12.750%, 400,000 06/01/2003......................................... 417,000 - ------------ 1,449,500 - ------------ SURFACE TRANSPORT -- 3.5% Ameritruck Distribution Corporation, Sr. Sub. Note, 750,000 12.250%, 11/15/2005***............................. 739,687 750,000 Trism Inc., Gtd. Sr. Sub. Note, 10.750%, 12/15/2000. 708,750 - ------------ 1,448,437 - ------------ CHEMICALS AND PLASTICS -- 3.0% NL Industries, Inc., Sr. Secured Note, 11.750%, 750,000 10/15/2003......................................... 769,688 Texas Petrochemical Corporation, Sr. Note, 11.125%, 425,000 07/01/2006......................................... 435,625 - ------------ 1,205,313 - ------------ FOOD PRODUCTS -- 2.0% Van de Kamps Inc., Sr. Sub. Note, 12.000%, 750,000 09/15/2005......................................... 804,375 - ------------ METALS AND MINERALS -- 1.9% 750,000 Kaiser Aluminum & Chemical Corporation, Sr. Sub. Note, 12.750%, 02/01/2003................................ 793,125 - ------------ CONGLOMERATES -- 1.8% Maxxam Group Inc., Sr. Secured Note, 11.250%, 750,000 08/01/2003......................................... 754,688 - ------------ AEROSPACE -- 1.8% K & F Industries, Sr. Secured Note, 11.875%, 700,000 12/01/2003......................................... 754,250 - ------------ BUILDING MATERIALS -- 1.8% 750,000 Southdown, Inc., Sr. Sub. Note, 10.000%, 03/01/2006. 740,625 - ------------ RAIL INDUSTRIES -- 1.7% Johnstown American Industries, Inc., Sr. Sub. Note, 750,000 11.750%, 08/15/2005................................ 703,125 - ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $48,381,091).. 47,908,939 - ------------
See Notes to Financial Statements. 3 CIM HIGH YIELD SECURITIES STATEMENT OF INVESTMENTS (CONTINUED) JUNE 30, 1996 (UNAUDITED)
PRINCIPAL VALUE AMOUNT (NOTE 1) --------- - ------------ UNITED STATES GOVERNMENT SECURITIES -- 11.6% UNITED STATES TREASURY BILLS: $ 27,000 5.120%++, 07/11/1996................................ $ 26,962 3,505,000 5.170%++, 08/08/1996................................ 3,486,988 1,237,000 5.110%++, 08/22/1996................................ 1,228,147 - ------------ TOTAL UNITED STATES GOVERNMENT SECURITIES (Cost $4,742,099).................................. 4,742,097 - ------------ SHARES ------ PREFERRED STOCK -- 1.3% (Cost $500,000) K-III Communications Corporation, Sr. Exchangeable 20,000 Preferred Note, 11,500%............................. 527,500 - ------------ COMMON STOCK -- 0.6% 40,000 Dr. Pepper Bottling Holdings, Class A**............. 200,000 1,601 Harvest Foods Inc., (02/20/1992, cost $36)**+....... 8,005 972 Thermadyne Holdings Corporation, New**.............. 20,898 - ------------ TOTAL COMMON STOCK (Cost $36,331)................... 228,903 - ------------ WARRANTS -- 0.0%# (Cost $0.00) Capital Gaming International Incorporated, Warrants, 1,250 expire 02/01/1999**................................. 63 - ------------
TOTAL INVESTMENTS (Cost $53,659,521*)...................... 130.9% 53,407,502 OTHER ASSETS AND LIABILITIES (NET)......................... (30.9) (12,603,854) ----- - ------------ NET ASSETS................................................. 100.0% $ 40,803,648 ===== ============
- -------- * Aggregate cost for Federal income tax purposes. ** Non-income producing security. *** Security purchased in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. + Securities for which market quotations are not readily available are valued by or at the direction of the Board of Trustees. Parenthetical disclosure includes the acquisition date and cost of the security. The total fair value of such securities at June 30, 1996 is $8,005, which represents 0.02% of total net assets. ++ Rate represents annualized yield at date of purchase. # Amount represents less than 0.1% of total net assets. (a) Units. See Notes to Financial Statements. 4 CIM HIGH YIELD SECURITIES STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1996 (UNAUDITED) ASSETS: Investments, at value (Cost $53,659,521) (Note 1) See accompanying statement........................ $53,407,502 Cash............................................... 27,332 Receivable for investment securities sold.......... 1,405,010 Interest receivable................................ 1,352,270 Prepaid expenses................................... 610 - ----------- Total Assets..................................... 56,192,724 LIABILITIES: Notes payable (including accrued interest of $208,984) (Note 5)................................ $ 12,708,984 Payable for investment securities purchased........ 2,240,440 Dividends payable.................................. 364,777 Investment advisory fee payable (Note 2)........... 16,770 Accrued Trustees' fees and expenses (Note 2)....... 5,000 Shareholder servicing agent fees payable (Note 2).. 4,500 Administration fee payable (Note 2)................ 3,333 Custodian fees payable (Note 2).................... 2,600 Accrued expenses and other payables................ 42,672 ------------ Total Liabilities................................ 15,389,076 - ----------- NET ASSETS........................................... $40,803,648 =========== NET ASSETS consist of: Distributions in excess of net investment income... $ (154,072) Accumulated net realized loss on investments sold.. (7,211,937) Unrealized depreciation of investments............. (252,019) Shares of beneficial interest, $0.01 per share par value, issued and outstanding 5,611,955.................. 56,120 Paid-in capital in excess of par value............. 48,365,556 - ----------- Total Net Assets................................. $40,803,648 =========== NET ASSET VALUE PER SHARE ($40,803,648 / 5,611,955 shares of beneficial interest outstanding)............................... $ 7.27 ===========
See Notes to Financial Statements. 5 CIM HIGH YIELD SECURITIES STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED) INVESTMENT INCOME: Interest............................................... $2,758,136 Dividends.............................................. 28,750 - ---------- Total Investment Income.............................. 2,786,886 EXPENSES: Interest expense (Note 5).............................. $431,575 Investment advisory fee (Note 2)....................... 101,941 Legal and audit fees................................... 31,237 Administration fee (Note 2)............................ 20,000 Trustees' fees and expenses (Note 2)................... 17,134 Shareholder servicing agent fees (Note 2).............. 13,511 Custodian fees (Note 2)................................ 9,211 Miscellaneous.......................................... 27,670 ------- - - Total Expenses....................................... 652,279 - ---------- NET INVESTMENT INCOME.................................... 2,134,607 - ---------- REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS (Notes 1 and 3): Net realized loss on investments sold during the period................................................ (349,335) Net unrealized appreciation of investments during the period................................................ 139,675 - ---------- NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS.......... (209,660) - ---------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..... $1,924,947 ==========
See Notes to Financial Statements. 6 CIM HIGH YIELD SECURITIES STATEMENT OF CASH FLOWS FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED) NET INCREASE IN CASH: Cash flows from operating activities: Interest and dividends received.................. $ 2,686,353 Operating expenses paid.......................... (205,962) ------------ Net cash provided by operating activities.......... $ 2,480,391 Cash flows from investing activities: Decrease in short-term securities, net........... (645,785) Purchases of long-term securities................ (42,526,630) Proceeds from sales of long-term securities...... 42,923,228 ------------ Net cash used in investing activities.............. (249,187) - ----------- Net cash provided by operating and investing activities........................................ 2,231,204 Cash flows from financing activities: Interest payments on notes payable............... (452,431) Cash dividends paid*............................. (1,753,783) ------------ Net cash used in financing activities.............. (2,206,214) - ----------- Net increase in cash............................... 24,990 Cash--beginning of period.......................... 2,342 - ----------- Cash--end of period................................ $ 27,332 =========== RECONCILIATION OF NET INCREASE IN NET ASSETS TO NET CASH PROVIDED BY OPERATING AND INVESTING ACTIVITIES: Net increase in net assets resulting from operations........................................ $ 1,924,947 Interest expense................................. $ 431,575 Increase in investments.......................... (947,281) Decrease in receivables for investments sold..... 2,240,440 Increase in receivables for investments sold..... (1,405,010) Increase in interest and dividends receivable.... (28,209) Increase in other assets......................... (374) Increase in accrued expenses and liabilities..... 15,116 ------------ Total adjustments.............................. 306,257 - ----------- Net cash provided by operating and investing activities........................................ $ 2,231,204 ===========
- -------- * Non cash financing activities include reinvestments of dividends of $421,874. See Notes to Financial Statements. 7 CIM HIGH YIELD SECURITIES STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED YEAR JUNE 30, 1996 ENDED (UNAUDITED) DECEMBER 31, 1995 ------------- ---- - ------------- Net investment income.......................... $ 2,134,607 $ 4,210,792 Net realized loss on investments sold during the period.................................... (349,335) (526,841) Net unrealized appreciation of investments during the period............................. 139,675 1,706,331 ----------- - - ---------- Net increase in net assets resulting from operations.................................... 1,924,947 5,390,282 Distributions to shareholders from net investment income............................. (2,179,357) (4,292,260) Net increase in net assets from Fund share transactions (Note 4)......................... 421,874 860,594 ----------- - - ---------- Net increase in net assets..................... 167,464 1,958,616 NET ASSETS: Beginning of period............................ 40,636,184 38,677,568 ----------- - - ---------- End of period (including distributions in excess of net investment income of $(154,072) and $(109,322), respectively)................. $40,803,648 $40,636,184 =========== ===========
See Notes to Financial Statements. 8 CIM HIGH YIELD SECURITIES FINANCIAL HIGHLIGHTS FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
SIX MONTHS ENDED YEAR YEAR YEAR YEAR YEAR YEAR YEAR 6/30/96 ENDED ENDED ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89 ----------- -------- -------- -- - ------ -------- -------- -------- -------- Operating performance: Net asset value, beginning of period. $ 7.32 $ 7.11 $ 8.02 $ 7.58 $ 7.10 $ 5.65 $ 7.38 $ 9.41 ------- ------- ------- -- - ----- ------- ------- ------- ------- Net investment income.............. 0.38 0.77 0.82 0.87 0.83 0.84 0.86 1.13 Net realized and unrealized gain/(loss) on investments......... (0.04) 0.23 (0.89) 0.71 0.46 1.44 (1.72) (1.96) ------- ------- ------- -- - ----- ------- ------- ------- ------- Net increase/(decrease) in net assets resulting from investment operations.......... 0.34 1.00 (0.07) 1.58 1.29 2.28 (0.86) (0.83) Change in net asset value from Fund share transaction... -- -- -- (0.31) -- -- -- -- Distributions: Dividends from net investment income... (0.39) (0.79) (0.84) (0.83) (0.81) (0.83) (0.87) (1.15) Distributions from net realized capital gains............... -- -- -- - -- -- -- -- (0.05) ------- ------- ------- -- - ----- ------- ------- ------- ------- Total from distributions....... (0.39) (0.79) (0.84) (0.83) (0.81) (0.83) (0.87) (1.20) ------- ------- ------- -- - ----- ------- ------- ------- ------- Net asset value, end of period....... $ 7.27 $ 7.32 $ 7.11 $ 8.02 $ 7.58 $ 7.10 $ 5.65 $ 7.38 ======= ======= ======= ======= ======= ======= ======= ======= Market value, end of period.............. $ 7.688 $ 7.875 $ 7.125 $ 7.875 $ 7.500 $ 6.625 $ 4.750 $ 7.000 ======= ======= ======= ======= ======= ======= ======= ======= Total investment return.............. 2.90% 22.72% 0.99% 16.55%(4) 25.70% 58.61% (20.89)% (15.18)% ======= ======= ======= ======= ======= ======= ======= ======= Ratios to average net assets/supplemental data: Net assets, end of period (in 000's)... $40,804 $40,636 $38,678 $42,901 $30,024 $28,015 $22,283 $29,122 Ratio of net investment income to average net assets.. 10.57%+ 10.32% 10.82% 11.17% 11.00% 12.59% 13.00% 12.78% Ratio of operating expenses to average net assets.......... 1.09%(3)+ 1.14%(3) 0.95%(3) 1.09%(3) 1.65%(3) 2.46% 2.35% 2.28% Portfolio turnover rate (2)............ 90.0% 79.9% 50.6% 114.3% 40.6% 51.2% 34.9% 77.4% YEAR YEAR ENDED ENDED 12/31/88** 12/31/87* ---------- ------------- Operating performance: Net asset value, beginning of period. $ 9.35 $ 9.33 ---------- ------------- Net investment income.............. 1.16 0.08 Net realized and unrealized gain/(loss) on investments......... 0.12 0.03 ---------- ------------- Net increase/(decrease) in net assets resulting from investment operations.......... 1.28 0.11 Change in net asset value from Fund share transaction... -- -- Distributions: Dividends from net investment income... (1.13) (0.09) Distributions from net realized capital gains............... (0.09) -- ---------- ------------- Total from distributions....... (1.22) (0.09) ---------- ------------- Net asset value, end of period....... $ 9.41 $ 9.35 ========== ============= Market value, end of period.............. $ 9.500 $ 9.625 ========== ============= Total investment return.............. 11.67% (2.76)% ========== ============= Ratios to average net assets/supplemental data: Net assets, end of period (in 000's)... $36,394 $34,220 Ratio of net investment income to average net assets.. 12.07% 6.41%(1)+ Ratio of operating expenses to average net assets.......... 2.36% 2.18%(1)+ Portfolio turnover rate (2)............ 209.6% 6.0%
- ------- * For the period from November 18, 1987 (commencement of operations) to December 31, 1987. ** Chancellor Trust Company became the Fund's investment adviser effective September 30, 1988. (1) During the period ended December 31, 1987, the adviser waived $10,026 of fees. If these fees had not been waived, the ratio of operating expenses to average net assets would have been 2.40%, and the ratio of net investment income to average net assets would have been 6.19%. (2) This rate is, in general, the percentage computed by taking the lesser of the cost of purchases or proceeds from the sales of portfolio securities for a period and dividing it by the monthly average value of such securities during the six months, excluding short-term securities. (3) The annualized operating expense ratio excludes interest expense. The annualized ratios including interest expense were 3.23%, 3.52%, 2.80%, 2.63% and 2.06% for the six months ended June 30, 1996 and for the years ended December 31, 1995, 1994, 1993, and 1992, respectively. (4) The total return for the year ended December 31, 1993, adjusted for the dilutive effect of the rights offering completed in August of 1993, is 21.07%. + Annualized. See Notes to Financial Statements. 9 CIM HIGH YIELD SECURITIES NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 1. Significant Accounting Policies CIM High Yield Securities (the "Fund") was organized under the laws of the Commonwealth of Massachusetts on September 11, 1987 and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act"), as a diversified, closed-end management investment company. The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reported period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. Portfolio valuation: Fixed-income securities (other than short- term obligations, but including listed issues) are valued based on prices obtained by one or more independent pricing services approved by the Board of Trustees. Securities (other than fixed-income securities) for which the principal market is one or more securities exchanges are valued at the last reported sale price (or if there has been no current sale, at the closing bid price) on the primary exchange on which such securities are traded. If a securities exchange is not the principal market for a security, such security will, if market quotations are readily available, be valued at the closing bid price in the over-the-counter market (or the last sale price in the case of securities reported on the NASDAQ national market system for which any sales occurred during the day). Portfolio securities for which there are no such valuations are valued at fair value as determined in good faith by or at the direction of the Board of Trustees. Short-term obligations with maturities of less than 60 days are valued at amortized cost which approximates market value. Securities transactions and investment income: Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Short term investments that have a maturity of 60 days or less are valued at amortized cost. Dividends and distributions to shareholders: The Fund distributes monthly to shareholders substantially all of its net investment income. Capital gains, if any, net of capital losses, are distributed annually. Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Fund, timing differences and differing characterization of distributions made by the Fund. Federal income taxes: It is the Fund's policy to comply with the requirements of the Internal Revenue Service applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no Federal income tax should be payable by the Fund. 2. Investment Advisory Fee, Administration Fee and Other Related Party Transactions The Fund has entered into an investment advisory agreement (the "Advisory Agreement") with Chancellor Trust Company ("CTC"), a New York State chartered trust company (the "Adviser"). The Advisory Agreement provides that the Fund will pay the Adviser a fee, computed and payable monthly, at the annual rate of .50% of the Fund's average weekly net assets. 10 CIM HIGH YIELD SECURITIES NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) The Fund has also entered into an Administration and Support Agreement with First Data Investor Services Group, Inc., a wholly-owned subsidiary of First Data Corporation, to provide all administrative services to the Fund other than those related to the investment decisions. First Data Investor Services Group, Inc. is paid a fee computed and payable monthly at an annual rate of .09% of the Fund's average weekly net assets, but no less than $40,000 per annum. The Fund pays each Trustee not affiliated with the Adviser $6,000 per year plus $1,000 per meeting and committee meeting attended, and reimburses each such Trustee for travel and out-of-pocket expenses relating to their attendance at such meetings. The Fund pays the actual out-of- pocket expenses of the Trustees affiliated with the Adviser relating to their attendance at such meetings. Boston Safe Deposit & Trust Company, an indirect wholly-owned subsidiary of Mellon Bank Corporation, serves as the Fund's custodian. First Data Investor Services Group, Inc. serves as the Fund's shareholder servicing agent (transfer agent). 3. Purchase and Sales of Securities Cost of purchases and proceeds from sales of investment securities, excluding short-term investments, during the six months ended June 30, 1996 amounted to $44,767,070 and $44,328,238, respectively. At June 30, 1996, aggregate gross unrealized appreciation for all securities (other than restricted securities), in which there is an excess of value over tax costs amounted to $1,142,120, and the aggregate gross unrealized depreciation for all securities (other than restricted securities) in which there is an excess of tax cost over value amounted to $1,402,108. At June 30, 1996, the aggregate gross unrealized appreciation for restricted securities in which there is an excess of value over tax cost amounted to $7,969. 4. Fund Shares The Fund has one class of shares of beneficial interest, par value $0.01 per share, of which an unlimited number of shares are authorized. Transactions in shares of beneficial interest were as follows:
SIX MONTHS ENDED YEAR ENDED JUNE 30, 1996 DECEMBER 31, 1995 ----------------- ---- - -------------- SHARES AMOUNT SHARES AMOUNT ----------------- ---- - ---- --------- Issued as reinvestment of dividends........ 56,923 $ 421,874 116,463 $ 860,594 ------- --------- ---- - ---- --------- Net increase............................... 56,923 $ 421,874 116,463 $ 860,594 ======= ========= ======== =========
5. Notes Payable The Fund currently has a $12.5 million ("commitment amount") line of credit provided by The First National Bank of Boston (the "Bank") under an Amended Credit Agreement (the "Agreement") dated September 18, 1992, primarily to leverage its investment portfolio. Under this Agreement the Fund may borrow up to the lesser of $12.5 million or 25% of its gross assets. Interest is payable at either the Bank's Base Rate or its applicable Money Market Rate, as selected by the Fund from time to time in its loan requests. 11 CIM HIGH YIELD SECURITIES NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONCLUDED) The Fund is charged a commitment fee of one quarter of one percent per annum of the average daily unused commitment amount. The Agreement requires, among other provisions, that the percentage obtained by dividing total indebtedness for money borrowed by total assets of the Fund shall not exceed 30%. At June 30, 1996, the Fund had borrowings of $12,500,000 outstanding under this Agreement. During the six months ended June 30, 1996, the Fund had an average outstanding daily balance of $12,500,000 with interest rates ranging from 6.688% to 6.875%. For the six months ended June 30, 1996, interest expense totaled $431,575 under this Agreement. 6. Capital Loss Carryforward Capital loss carryforwards are available to offset future realized capital gains. To the extent that these carryforwards are used to offset future capital gains, it is probable that the amount which is offset will not be distributed to shareholders. At December 31, 1995, the Fund had available for Federal tax purposes unused capital loss carryforwards of $984,970, $3,316,747, $1,552,171, $330,065 and $678,649 expiring in 1998, 1999, 2000, 2002 and 2003, respectively. 7. Concentration of Risk The Fund invests in securities offering high current income which generally will be in the lower rating categories of recognized ratings agencies. These securities generally involve more credit risk than securities in the higher rating categories. In addition, the trading market for high yield securities may be relatively less liquid than the market for higher-rated securities. The Fund's use of leverage also increases exposure to capital risk. 8. Quarterly Results of Operations
NET INCREASE/ NET REALIZED AND (DECREASE) NET UNREALIZED IN NET ASSETS INVESTMENT INVESTMENT GAIN/(LOSS) RESULTING FROM INCOME INCOME ON INVESTMENTS OPERATIONS ------------ ------------ --------------- - --- ---------------- TOTAL PER TOTAL PER TOTAL PER TOTAL PER (000) SHARE (000) SHARE (000) SHARE (000) SHARE ------ ----- ------ ----- -------- ----- - --- ------- ------- 1996 -- QUARTER ENDED March 31, 1996.......... $1,419 $0.25 $1,100 $0.20 $ 1,406 $ 0.25 $ 2,506 $ 0.45 June 30, 1996........... 1,368 0.24 1,035 0.18 (1,616) (0.29) (581) (0.11) 1995 -- QUARTER ENDED March 31, 1995.......... 1,435 0.26 1,092 0.20 1,203 0.22 2,295 0.42 June 30, 1995........... 1,422 0.26 1,028 0.19 1,073 0.19 2,101 0.38 September 30, 1995...... 1,410 0.26 1,072 0.20 (254) (0.04) 818 0.16 December 31, 1995....... 1,379 0.25 1,019 0.18 (843) (0.14) 176 0.04 1994 -- QUARTER ENDED March 31, 1994.......... 1,376 0.26 1,119 0.21 (1,561) (0.28) (441) (0.07) June 30, 1994........... 1,398 0.26 1,138 0.21 (1,331) (0.25) (194) (0.04) September 30, 1994...... 1,388 0.26 1,083 0.20 (660) (0.12) 423 0.08 December 31, 1994....... 1,402 0.26 1,078 0.20 (1,255) (0.24) (177) (0.04)
12 CIM HIGH YIELD SECURITIES SEMI- ANNUAL REPORT JUNE 30, 1996 This report is sent to shareholders of CIM High Yield Securities for their information. It is not a Prospectus,circular or representation intended for use in the purchase or sale of shares of the Fund or of any securities mentioned in the report. -----END PRIVACY-ENHANCED MESSAGE-----