-----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, WY+vbZu0cyd+CjXLrSb4Jr1vW8QN4cR8XqkXI/yvOZWMMEtCxElRk5EAGB5V8ikt roAR+bHh+Rd5EqlLyUpJyQ== 0000927405-97-000347.txt : 19970912 0000927405-97-000347.hdr.sgml : 19970912 ACCESSION NUMBER: 0000927405-97-000347 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19970630 FILED AS OF DATE: 19970829 SROS: AMEX 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: SEC FILE NUMBER: 811-05328 FILM NUMBER: 97672546 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 The total return for CIM High Yield Securities (the "Fund") was 7.76% based on net asset value (before Fund expenses) and 7.18% (after Fund expenses) for the first half of 1997. This compares very favorably with the Credit Suisse First Boston High Yield Index (the "Index") of 5.9%. For the twelve-month period ended June 30, 1997, the Fund's return was 20.56% based on net asset value (before Fund expenses) and 19.24% (after Fund expenses) compared with the Index return of 14.7%. The Fund has also performed well relative to other asset classes. For the six months ended June 30, 1997 investment grade corporate securities and ten-year Treasuries returned 3.2% and 2.5%, respectively. The Fund's performance is generally due to the ongoing focus on cash-pay, single-B average quality, shorter duration securities in the marketplace, as well as credit-specific issues. Of course, past performance is not indicative of future results. Market conditions continue to be very favorable for high yield securities. While the supply of high yield issues has grown at an unprecedented pace over the past year, it has been easily supported by strong demand from mutual funds, CBOs (high yield structured products), insurance companies and international investors. As a result, the spreads available from high yield securities to comparable Treasuries have tightened to approximately 339 basis points, as measured by the Index, from 417 basis points available one year ago. The current environment of low inflation, moderate economic growth, favorable Treasury and equity markets, and an equilibrium of technical factors remains very favorable for the high yield bond market. Fundamentally, we believe the Fund will continue to do well. Investors of all types continue to seek high returns in their portfolios and the high yield market continues to be an attractive candidate relative to other asset classes. For a discussion of additional considerations relating to the high yield market, see note 7 in the Notes to Financial Statements. Over the long term we continue to be very positive on the high yield market; default rates remain low, demand is growing from a diversified group of investors, spreads to Treasuries, while narrower than last year, are still attractive, and issuer quality has been high relative to comparable issuers in the past. Even in a scenario of a slower growing economy, companies are in much better shape financially than in the 1980s because of more conservative capitalization and a higher proportion of issuance with senior priority. It is our belief that the high yield market will continue to outperform other fixed income classes through various investment cycles. The current environment continues to provide solid underlying support for credit fundamentals. Our portfolio strategy continues to be oriented toward relatively stable issuers of high yield securities. We thank you for your continued support. Chancellor LGT Asset Management, Inc. CIM HIGH YIELD SECURITIES STATEMENT OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ----------- CORPORATE BONDS AND NOTES -- 122.7% BROADCAST/RADIO/T.V. -- 11.1% $ 350,000 Citadel Broadcasting Company, Sr. Sub. Note, 10.250%, 7/1/2007***... $ 350,000 1,000,000 Katz Media Corporation, Sr. Sub. Note, 10.500%, 01/15/2007***....... 988,750 1,000,000 Paxson Communication Corporation, Sr. Sub. Note, 11.625%, 10/01/2002***..................................................... 1,083,750 1,000,000 SFX Broadcasting, Inc., Sr. Sub. Note, 10.750%, 05/15/2006.......... 1,095,000 500,000 Viasystems Inc., Sr. Sub. Note, 9.750%, 6/1/2007***................. 512,500 1,000,000 Young Broadcasting Inc., Sr. Sub. Note, 8.750%, 6/15/2007***........ 970,000 ----------- 5,000,000 ----------- CABLE T.V. -- 8.4% 1,000,000 Charter Communications International, Inc., Sr. Note, 11.250%, 03/15/2006........................................................ 1,082,500 1,250,000 Galaxy Telecommunication L.P., Sr. Sub. Note, 12.375%, 10/01/2005... 1,334,375 1,250,000 Intermedia Capital Partners, Sr. Note, 11.250%, 08/01/2006***....... 1,350,000 ----------- 3,766,875 ----------- FOOD/DRUG RETAILERS -- 8.4% 1,250,000 Aurora Foods Inc., Sr. Sub. Note, 9.875%, 2/15/2007***.............. 1,290,625 750,000 Grand Union Company, Sr. Note, 12.000%, 09/01/2004.................. 560,625 650,000 North Atlantic Trading, Sr. Note, 11.000%, 6/15/2004***............. 661,375 750,000 Pathmark Stores, Sub. Note, 12.625%, 6/15/2002...................... 772,500 500,000 Randall's Food Markets, Sr. Sub. Note, 9.375%, 7/1/2007***.......... 498,750 ----------- 3,783,875 ----------- OTHER RETAILERS -- 8.4% 1,250,000 Brylane Capital Corporation, Series B, Sr. Sub. Note, 10.000%, 09/01/2003........................................................ 1,321,875 750,000 Central Tractor Farm & Country, Sr. Note, 10.625%, 4/1/2007......... 780,000 1,000,000 Hills Stores Company, Sr. Note, 12.500%, 07/01/2003................. 785,000 825,000 Shop Vac Corporation, Sr. Note, 10.625%, 09/01/2003***.............. 878,625 ----------- 3,765,500 ----------- TELECOMMUNICATION -- 8.3% 500,000 Comcast Cellular, Sr. Note, 9.500%, 5/1/2007***..................... 507,500 750,000 Fonorola Inc., Sr. Secured Note, 12.500%, 08/15/2002................ 810,000 750,000 Metrocall, Inc., Sr. Sub. Note, 10.375%, 10/01/2007................. 690,000 1,000,000 Paging Network, Sr. Sub. Note, 10.000%, 10/15/2008.................. 965,000 750,000 Talton Holdings Inc., 11.000%, 6/30/2007***......................... 759,375 ----------- 3,731,875 ----------- MANUFACTURING -- DIVERSIFIED -- 8.0% 900,000 American Builders and Contractors, Sr. Sub. Note, 10.625%, 5/15/2007***...................................................... 927,000 1,000,000 CMI Industries, Sr. Sub. Note, 9.500%, 10/1/2003.................... 1,003,750 1,000,000 Interlake Corporation, Sr. Sub. Debenture, 12.125%, 03/01/2002...... 1,045,000 600,000 Loomis Fargo & Company, Sr. Sub. Note, 10.000%, 1/15/2004***........ 612,000 ----------- 3,587,750 -----------
See Notes to Financial Statements. 1 CIM HIGH YIELD SECURITIES STATEMENT OF INVESTMENTS (CONTINUED) JUNE 30, 1997 (UNAUDITED)
PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ----------- CORPORATE BONDS AND NOTES -- (CONTINUED) OIL AND GAS -- 6.3% $1,000,000 Belden & Blake, Sr. Sub. Note, 9.875%, 6/15/2007***................. $ 1,000,000 750,000 Costilla Energy Inc., Sr. Note, 10.250%, 10/01/2006................. 780,000 500,000 DI Industries, Inc., Sr. Note, 8.875%, 7/1/2007..................... 495,000 500,000 United Meridian Corporation, Sr. Sub. Note, 10.375%, 10/15/2005..... 542,500 ----------- 2,817,500 ----------- PACKAGING AND CONTAINERS -- 6.3% 875,000 Delta Beverage Group Inc., Sr. Note, 9.750%, 12/15/2003***.......... 915,469 850,000 Printpack Inc., Sr. Sub Note, 10.625%, 08/15/2006***................ 902,063 1,000,000 Stone Container Corp., Sr. Sub. Note, 12.250%, 4/1/2002............. 1,027,500 ----------- 2,845,032 ----------- SURFACE TRANSPORT -- 5.5% 750,000 Ameritruck Distribution Corporation, Sr. Sub. Note, 12.250%, 11/15/2005***..................................................... 766,875 750,000 Coach USA Inc., 9.375%, 7/1/2007***................................. 755,625 1,000,000 Trism Inc., Gtd. Sr. Sub. Note, 10.750%, 12/15/2000................. 950,000 ----------- 2,472,500 ----------- APPAREL/TEXTILES -- 5.2% 900,000 Dan River Inc., Sr. Sub. Note, 10.125%, 12/15/2003.................. 949,500 500,000 Polysindo International Finance, Note, 11.375%, 06/15/2006.......... 550,000 750,000 Tultex Corporation, Sr. Note, 10.625%, 03/15/2005................... 825,000 ----------- 2,324,500 ----------- FINANCE -- 5.0% 600,000 Dollar Financial Group Inc., Sr. Note, 10.875%, 11/15/2006***....... 643,500 1,000,000 Globalstar LP/Capital, 11.375%, 2/15/2004***........................ 1,007,500 600,000 Imperial Credit Industries, Inc., Sr. Note, 9.875%, 1/15/2007....... 598,500 ----------- 2,249,500 ----------- HOME FURNISHINGS -- 4.8% 1,000,000 Lifestyle Furnishings Inc., Sr. Sub. Note, 10.875%, 08/01/2006***... 1,096,250 1,000,000 Syratech Corp. Sr. Note, 11.000%, 4/15/2007......................... 1,072,500 ----------- 2,168,750 ----------- HEALTHCARE -- 4.3% 600,000 Dade International, Inc., Sr. Sub. Note, 11.125%, 05/01/2006........ 669,000 700,000 Maxxim Medical Inc., Sr. Secured Sub. Note, 10.500%, 08/01/2006***..................................................... 759,500 500,000 Paracelsus Healthcare Corporation, Sr. Sub. Note, 10.000%, 08/15/2006........................................................ 512,500 ----------- 1,941,000 ----------- FOOD PRODUCTS -- 4.2% 1,000,000 International Home Foods Inc., Sr. Sub. Note, 10.375%, 11/01/2006***..................................................... 1,037,500 750,000 Van de Kamps Inc., Sr. Sub. Note, 12.000%, 09/15/2005............... 835,312 ----------- 1,872,812 -----------
See Notes to Financial Statements. 2 CIM HIGH YIELD SECURITIES STATEMENT OF INVESTMENTS (CONTINUED) JUNE 30, 1997 (UNAUDITED)
PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ----------- CORPORATE BONDS AND NOTES -- (CONTINUED) BUSINESS EQUIPMENT AND SERVICES -- 3.5% $ 500,000 Unifrax Investment Corporation, Sr. Note, 10.500%, 11/01/2003....... $ 519,375 1,000,000 Unisys Corporation, Sr. Note, 12.000%, 04/15/2003................... 1,095,000 ----------- 1,614,375 ----------- COSMETICS/TOILETRIES -- 3.2% 850,000 Chattem Inc., Sr. Sub. Note, 12.750%, 06/15/2004***................. 935,000 500,000 French Fragrances Inc., Sr. Note, 10.375%, 5/15/2007***............. 516,250 ----------- 1,451,250 ----------- TRANSPORTATION -- 3.0% 600,000 Ryder TRS Inc., Sr. Sub. Note, 10.000%, 12/01/2006***............... 618,000 750,000 Valuejet Inc., Sr. Note, 10.250%, 4/15/2001......................... 711,562 ----------- 1,329,562 ----------- HOTELS AND CASINOS -- 2.8% 750,000 Harrahs Jazz Company, 1st Mortgage Note, 14.250%, 11/15/2001 (In Default).......................................................... 296,250 1,000,000 Trump Atlantic City Associates, 1st Mortgage Note, 11.250%, 05/01/2006........................................................ 980,000 ----------- 1,276,250 ----------- ECOLOGICAL -- 2.4% 1,000,000 Allied Waste North America, Sr. Sub. Note, 10.250%, 12/01/2006***... 1,080,000 ----------- LEISURE -- 2.3% 500,000 Muzak LP Capital, Sr. Note, 10.000%, 10/01/2003..................... 521,250 500,000 Riddell Sports Inc., Sr. Note, 10.500%, 7/15/2007***................ 512,500 ----------- 1,033,750 ----------- STEEL -- 2.3% 1,000,000 Florida Steel Corporation, 1st Mortgage Note, 11.500%, 12/15/2000... 1,041,250 ----------- CHEMICALS AND PLASTICS -- 1.8% 750,000 Sterling Chemicals Inc., Sr. Sub. Note, 11.750%, 08/15/2006......... 811,875 ----------- METALS AND MINERALS -- 1.8% 750,000 Kaiser Aluminum & Chemical Corporation, Sr. Sub. Note, 12.750%, 02/01/2003........................................................ 817,500 ----------- RAILROADS -- 1.8% 750,000 Johnstown America Industries, Sr. Sub. Note, 11.750%, 08/15/2005.... 791,250 ----------- FOOD SERVICE -- 1.6% 700,000 CFP Holdings Inc., Sr. Note, 11.625%, 1/15/2004***.................. 727,125 ----------- AEROSPACE -- 1.2% 491,000 K & F Industries, Sr. Secured Note, 11.875%, 12/01/2003............. 517,391 ----------- PUBLISHING -- 0.8% 375,000 Big Flower Press, Sr. Sub. Note, 8.875%, 7/1/2007***................ 369,375 ----------- TOTAL CORPORATE BONDS AND NOTES (Cost $53,880,949).................. 55,188,422 -----------
See Notes to Financial Statements. 3 CIM HIGH YIELD SECURITIES STATEMENT OF INVESTMENTS (CONTINUED) JUNE 30, 1997 (UNAUDITED)
PRINCIPAL VALUE AMOUNT (NOTE 1) - ----------- ----------- UNITED STATES GOVERNMENT SECURITIES -- 2.5% UNITED STATES TREASURY BILLS: $985,000 4.87%++, 07/24/1997................................................. $ 981,962 173,000 4.84%++, 07/17/1997................................................. 172,635 ----------- TOTAL UNITED STATES GOVERNMENT SECURITIES (Cost $1,154,597)......... 1,154,597 -----------
SHARES - ----------- COMMON STOCK -- 1.3% 30,000 Dr. Pepper Bottling Holdings, Class A**............................. 555,000 1,601 Harvest Foods Inc., (02/20/1992, cost $36)** +...................... 3,202 972 Thermadyne Holdings Corporation, New**.............................. 30,618 ----------- TOTAL COMMON STOCK (Cost $27,331)................................... 588,820 ----------- PREFERRED STOCK -- 1.3% (Cost $500,000) 20,000 K-III Communications Corporation, Sr. Exchangeable Preferred Stock, 11.500%........................................................... 537,500 ----------- WARRANTS -- 0.0%# (Cost $0.00) 1,250 Capital Gaming International Incorporated, Warrants, expire 02/01/1999**...................................................... 25 ----------- TOTAL INVESTMENTS (Cost $55,562,877*).................................. 127.8% 57,469,364 OTHER ASSETS AND LIABILITIES (NET)..................................... (27.8) (12,488,487) ----- ----------- NET ASSETS............................................................. 100.0% $44,980,877 ===== ===========
- --------------- * 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, 1997 is $3,202 which represents 0.01% of total net assets. ++ Rate represents annualized yield at date of purchase. # Amount represents less than 0.1% of total net assets.
See Notes to Financial Statements. 4 CIM HIGH YIELD SECURITIES STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1997 (UNAUDITED) ASSETS: Investments, at value (Cost $55,562,877) (Note 1) See accompanying statement.......................................... $57,469,364 Cash.................................................................. 1,502 Receivable for investment securities sold............................. 1,612,396 Interest receivable................................................... 1,231,780 Prepaid expenses...................................................... 744 ----------- Total Assets..................................................... 60,315,786 LIABILITIES: Notes payable (including accrued interest of $2,431) (Note 5)......... $12,502,431 Payable for investment securities purchased........................... 2,400,000 Dividends payable..................................................... 342,919 Investment advisory fee payable (Note 2).............................. 18,569 Accrued Trustees' fees and expenses (Note 2).......................... 5,000 Shareholder servicing agent fees payable (Note 2)..................... 3,119 Administration fee payable (Note 2)................................... 3,333 Custodian fees payable (Note 2)....................................... 1,386 Accrued expenses and other payables................................... 58,152 ----------- Total Liabilities................................................ 15,334,909 ----------- NET ASSETS................................................................. $44,980,877 =========== NET ASSETS consist of: Undistributed net investment income................................... $ 124,553 Accumulated net realized loss on investments sold..................... (6,181,480) Unrealized appreciation of investments................................ 1,906,487 Shares of beneficial interest, $0.01 per share par value, issued and outstanding 5,715,311.................................... 57,153 Paid-in capital in excess of par value................................ 49,074,164 ----------- Total Net Assets................................................. $44,980,877 =========== NET ASSET VALUE PER SHARE ($44,980,877 / 5,715,311 shares of beneficial interest outstanding)...... $ 7.87 ===========
See Notes to Financial Statements. 5 CIM HIGH YIELD SECURITIES STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED) INVESTMENT INCOME: Interest...................................................... $2,824,825 Dividends..................................................... 28,750 ---------- Total Investment Income.................................. 2,853,575 EXPENSES: Interest expense (Note 5)..................................... $436,111 Investment advisory fee (Note 2).............................. 109,464 Legal and audit fees.......................................... 24,759 Trustees' fees and expenses (Note 2).......................... 16,889 Administration fee (Note 2)................................... 20,000 Shareholder servicing agent fees (Note 2)..................... 11,715 Custodian fees (Note 2)....................................... 8,774 Miscellaneous................................................. 44,587 -------- Total Expenses........................................... 672,299 ---------- NET INVESTMENT INCOME.............................................. 2,181,276 ---------- REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS (Notes 1 and 3): Net realized gain on investments sold during the period....... 924,553 Net unrealized depreciation of investments during the period....................................................... (16,344) ---------- NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS.................... 908,209 ---------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............... $3,089,485 ==========
See Notes to Financial Statements. 6 CIM HIGH YIELD SECURITIES STATEMENT OF CASH FLOWS FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED) NET INCREASE IN CASH: Cash flows from operating activities: Interest and dividends received........................... $ 2,902,438 Operating expenses paid................................... (229,569) ------------ Net cash provided by operating activities...................... $ 2,672,869 Cash flows from investing activities: Increase in short-term securities, net.................... (204,445) Purchases of long-term securities......................... (44,260,353) Proceeds from sales of long-term securities............... 43,943,666 ------------ Net cash used in investing activities.......................... (521,132) ----------- Net cash provided by operating and investing activities........ 2,151,737 Cash flows from financing activities: Interest payments on notes payable........................ (438,411) Cash dividends paid*...................................... (1,713,247) ------------ Net cash used in financing activities.......................... (2,151,658) ----------- Net increase in cash........................................... 79 Cash -- beginning of period.................................... 1,423 ----------- Cash -- end of period.......................................... $ 1,502 =========== RECONCILIATION OF NET DECREASE IN NET ASSETS TO NET CASH PROVIDED BY OPERATING AND INVESTING ACTIVITIES: Net increase in net assets resulting from operations........... $ 3,089,485 Interest expense.......................................... $ 436,111 Increase in investments................................... (2,245,959) Increase in receivables for investment securities sold.... (1,612,396) Decrease in interest and dividends receivable............. 77,876 Decrease in other assets.................................. 12,481 Increase in payables for investment securities purchased............................................... 2,400,000 Decrease in accrued expenses and liabilities.............. (5,861) ------------ Total adjustments............................... (937,748) ----------- Net cash provided by operating and investing activities........ $ 2,151,737 ===========
- --------------- *Non cash financing activities include reinvestments of dividends of $445,877. See Notes to Financial Statements. 7 CIM HIGH YIELD SECURITIES STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED JUNE 30, 1997 YEAR ENDED (UNAUDITED) DECEMBER 31, 1996 ------------- ----------------- Net investment income......................................... $ 2,181,276 $ 4,354,382 Net realized gain/(loss) on investments sold during the period...................................................... 924,553 (242,657) Net unrealized appreciation/(depreciation) of investments during the period........................................... (16,344) 2,314,525 ----------- ----------- Net increase in net assets resulting from operations.......... 3,089,485 6,426,250 Distributions to shareholders from net investment income...... (2,049,437) (4,323,851) Net increase in net assets from Fund share transactions (Note 4).......................................................... 445,877 756,369 ----------- ----------- Net increase in net assets.................................... 1,485,925 2,858,768 NET ASSETS: Beginning of period........................................... 43,494,952 40,636,184 ----------- ----------- End of period (including undistributed/(distributions in excess of) net investment income of $124,553 and $(7,286), respectively)............................................... $44,980,877 $43,494,952 =========== ===========
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 YEAR YEAR 6/30/97 ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED (UNAUDITED) 12/31/96 12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89 12/31/88* ----------- -------- -------- -------- -------- -------- -------- -------- -------- --------- Operating performance: Net asset value, beginning of period... $7.69 $ 7.32 $ 7.11 $ 8.02 $ 7.58 $ 7.10 $ 5.65 $ 7.38 $ 9.41 $ 9.35 ----- ------ ------ ------ ------ ------ ------ ------ ------ ------ Net investment income................ 0.38 0.78 0.77 0.82 0.87 0.83 0.84 0.86 1.13 1.16 Net realized and unrealized gain/(loss) on investments........ 0.16 0.36 0.23 (0.89) 0.71 0.46 1.44 (1.72) (1.96) 0.12 ----- ------ ------ ------ ------ ------ ------ ------ ------ ------ Net increase/(decrease) in net assets resulting from investment operations............ 0.54 1.14 1.00 (0.07) 1.58 1.29 2.28 (0.86) (0.83) 1.28 Change in net asset value from Fund share transactions.......... -- -- -- -- (0.31) -- -- -- -- -- Distributions: Dividends from net investment income..... (0.36) (0.77) (0.79) (0.84) (0.83) (0.81) (0.83) (0.87) (1.15) (1.13) Distributions from net realized capital gains................. -- -- -- -- -- -- -- -- (0.05) (0.09) ----- ------ ------ ------ ------ ------ ------ ------ ------ ------ Total from distributions......... (0.36) (0.77) (0.79) (0.84) (0.83) (0.81) (0.83) (0.87) (1.20) (1.22) ----- ------ ------ ------ ------ ------ ------ ------ ------ ------ Net asset value, end of period................ $7.87 $ 7.69 $ 7.32 $ 7.11 $ 8.02 $ 7.58 $ 7.10 $ 5.65 $ 7.38 $ 9.41 ===== ====== ====== ====== ====== ====== ====== ====== ====== ====== Market value, end of period................ $7.94 $8.125 $7.875 $7.125 $7.875 $7.500 $6.625 $4.750 $7.000 $9.500 ===== ====== ====== ====== ====== ====== ====== ====== ====== ====== Total investment return................ 7.18% 14.38% 22.72% 0.99% 16.55%(3) 25.70% 58.61% (20.89)% (15.18)% 11.67% ===== ====== ====== ====== ====== ====== ====== ====== ====== ====== Ratios to average net assets/supplemental data: Net assets, end of period (in 000s)...... $44,981 $43,495 $40,636 $38,678 $42,901 $30,024 $28,015 $22,283 $29,122 $36,394 Ratio of net investment income to average net assets................ 9.96%+ 10.46% 10.32% 10.82% 11.17% 11.00% 12.59% 13.00% 12.78% 12.07% Ratio of operating expenses to average net assets............ 1.08%(2)+ 1.10%(2) 1.14%(2) 0.95%(2) 1.09%(2) 1.65%(2) 2.46% 2.35% 2.28% 2.36% Portfolio turnover rate(1)............... 82.7% 172.2% 79.9% 50.6% 114.3% 40.6% 51.2% 34.9% 77.4% 209.6%
- --------------- * Chancellor Trust Company became the Fund's investment adviser effective September 30, 1988. On October 31, 1996 the Fund entered into a new investment advisory agreement with Chancellor LGT Asset Management due to the acquisition of Chancellor Capital Management, Inc., the corporate parent of Chancellor Trust Company, by Liechtenstein Global Trust, AG. (1) 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 period, excluding short-term securities. (2) The annualized operating expense ratio excludes interest expense. The annualized ratios including interest expense were 3.07% , 3.19%, 3.52%, 2.80%, 2.63% and 2.06% for the six months ended June 30, 1997 and for the years ended December 31, 1996, 1995, 1994, 1993, and 1992, respectively. (3) 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) JUNE 30, 1997 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 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, including, where applicable, amortization of premium and accretion of discount on investments, 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. Cash flow information: Cash, as used in the Statement of Cash Flows, is the amount reported in the Statement of Assets and Liabilities. The Fund invests in securities and distributes dividends from net investment income and net realized gains (which are either paid in cash or reinvested at the discretion of shareholders). These activities are reported in the Statement of Changes in Net Assets. Information on cash payments is presented in the Statement of Cash Flows. Accounting practices that do not affect 10 CIM HIGH YIELD SECURITIES NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) reporting activities on a cash basis include unrealized gain or loss on investment securities and accretion income recognized on investment securities. Use of estimates: 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. 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 LGT Asset Management, Inc. (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. 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, 1997, amounted to $46,660,353 and $45,556,062, respectively. At June 30, 1997, aggregate gross unrealized appreciation for all securities (other than restricted securities), in which there is an excess of value over tax costs amounted to $2,845,406, 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 $938,919. 11 CIM HIGH YIELD SECURITIES NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) 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, 1997 DECEMBER 31, 1996 ------------------ ------------------- SHARES AMOUNT SHARES AMOUNT ------- -------- -------- -------- Issued as reinvestment of dividends................... 57,742 $445,877 102,537 $756,369 ------ -------- ------- -------- Net increase.......................................... 57,742 $445,877 102,537 $756,369 ====== ======== ======= ========
5. NOTES PAYABLE The Fund currently has a $12.5 million ("commitment amount") line of credit provided by BankBoston, N.A. (formerly known as 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. 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, 1997, the Fund had borrowings of $12,500,000 outstanding under this Agreement. During the six months ended June 30, 1997, the Fund had an average outstanding daily balance of $12,500,000 with interest rates ranging from 6.1825% to 7.0625% and average debt per share of $2.20. For the six months ended June 30, 1997, interest expense totaled $436,111 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, 1996, the Fund had available for Federal tax purposes unused capital loss carryforwards of $984,970, $3,316,747, $1,552,171, $330,065, $679,423 and $242,657 expiring in 1998, 1999, 2000, 2002, 2003, and 2004, 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 (so-called "junk bonds"). These securities generally involve more credit risk and volatility 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. 12 CIM HIGH YIELD SECURITIES NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) 8. QUARTERLY RESULTS OF OPERATIONS (UNAUDITED)
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 ------ ----- ------ ----- ------- ------ ------ ------ 1997 -- QUARTER ENDED March 31, 1997........... $1,389 $0.24 $1,059 $0.19 $ (236) $(0.04) $ 822 $ 0.14 June 30, 1997............ 1,465 0.26 1,122 0.20 1,144 0.20 2,267 0.40 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) September 30, 1996....... 1,433 0.26 1,098 0.20 1,648 0.29 2,746 0.49 December 31, 1996........ 1,462 0.26 1,121 0.20 634 0.11 1,755 0.31 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
13 CIM - -------------------------------------------------------------------------------- HIGH YIELD SECURITIES SEMI-ANNUAL REPORT JUNE 30, 1997 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-----