THE HIGH YIELD PLUS FUND, INC.

N-Q 1 dnq.htm THE HIGH YIELD PLUS FUND, INC. THE HIGH YIELD PLUS FUND, INC.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES


Investment Company Act file number:		811-05468

Exact name of registrant as specified in charter:		The High Yield Plus Fund, Inc.

Address of principal executive offices:		Gateway Center 3,
		100 Mulberry Street,
		Newark, New Jersey 07102

Name and address of agent for service:		Deborah A. Docs
		Gateway Center 3,
		100 Mulberry Street,
		Newark, New Jersey 07102

Registrant’s telephone number, including area code:		973-367-7521

Date of fiscal year end:		3/31/2006

Date of reporting period:		12/31/2005

Item 1. Schedule of Investments


Schedule of Investments as of December 31, 2005 (Unaudited)		THE HIGH YIELD PLUS FUND, INC.


Description	Moody’s Ratings	Interest Rate		Maturity Date	Principal Amount (000)		Value
LONG-TERM INVESTMENTS — 140.9%
CORPORATE BONDS — 140.5%

Advertising — 1.3%
RH Donnelley Finance Corp. I, Gtd. Notes 144A	B2	10.875	%	12/15/12	$	455	$	513,013
Vertis, Inc., Gtd. Notes	Caa1	10.875	%	06/15/09		290		285,650

								798,663

Aerospace — 1.7%
Argo-Tech Corp., Gtd. Notes	B3	9.25	%	06/01/11		410		420,250
Moog, Inc., Class A, Sr. Sub. Notes	Ba3	6.25	%	01/15/15		95		93,575
Sequa Corp., Sr. Notes	B1	9.00	%	08/01/09		500		531,250

								1,045,075

Airlines — 2.0%
American Airlines, Inc.,
Pass-Thru Cert.	Baa2	7.858	%	10/01/11		365		384,842
Pass-Thru Cert.	Baa3	7.024	%	10/15/09		130		133,287
Continental Airlines, Inc., Pass-Thru Cert.	Ba2	9.798	%	04/01/21		450		450,191
Delta Air Lines, Inc., Pass-Thru Cert.	Ba2	7.57	%	11/18/10		160		157,647
Northwest Airlines Corp., Pass-Thru Cert.	Ba2	7.575	%	03/01/19		79		79,238

								1,205,205

Automobile Manufacturers — 1.8%
Ford Motor Co., Notes	Ba3	7.45	%	07/16/31		720		489,600
General Motors, Debentures	Ba1	8.375	%	07/15/33		210		138,600
Navistar International,
Gtd. Notes, Ser. B	B1	9.375	%	06/01/06		195		197,925
Sr. Notes	B1	7.50	%	06/15/11		250		238,125

								1,064,250

Automotive Parts — 2.1%
Arvinmeritor, Inc., Notes	Ba2	8.75	%	03/01/12		145		138,838
Dana Corp., Notes	B1	7.00	%	03/01/29		235		168,612
Dura Operating Corp., Gtd. Notes	Caa1	8.625	%	04/15/12		490		404,250
Tenneco Automotive, Inc., Secured Notes	B2	10.25	%	07/15/13		120		131,100
TRW Automotive, Inc., Sr. Sub. Notes	B1	11.00	%	02/15/13		198		222,255
Visteon Corp., Sr. Notes	B3	7.00	%	03/10/14		250		193,125

								1,258,180

Broadcasting — 8.3%
Can West Media, Inc., Gtd. Notes	B2	8.00	%	09/15/12		155		158,294
Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp., Sr. Notes	Ca	10.75	%	10/01/09		1,165		867,925
Corus Entertainment, Inc., Sr. Sub Notes	B1	8.75	%	03/01/12		205		221,912
CSC Holdings, Inc.,
Debentures	B2	7.625	%	07/15/18		340		323,000
Debentures	B2	7.875	%	02/15/18		70		67,550
CSC Holdings, Inc., Sr. Notes	B2	8.125	%	07/15/09		720		727,200
Emmis Communications Corp., Sr. Notes	B3	10.3663	%	06/15/12		455		456,706
Lbi Media, Inc., Gtd. Notes	B3	10.125	%	07/15/12		10		10,613
Liberty Media Corp., Bonds	Ba1	7.875	%	07/15/09		315		331,918
Liberty Media Corp., Debentures	Ba1	8.25	%	02/01/30		215		210,669


Schedule of Investments as of December 31, 2005 (Unaudited)		THE HIGH YIELD PLUS FUND, INC.


Description	Moody’s Ratings	Interest Rate		Maturity Date	Principal Amount (000)		Value
CORPORATE BONDS (Continued)

Broadcasting (cont’d)
Liberty Media Corp.,
Sr. Notes	Ba1	5.70	%	05/15/13	$	140	$	130,447
Sr. Notes	Ba1	7.75	%	07/15/09		65		68,237
Lodgenet Entertainment Corp., Sr. Sub Debenture	B3	9.50	%	06/15/13		170		184,875
Mediacom Broadband LLC, Sr. Notes 144A	B2	8.50	%	10/15/15		165		152,831
Mediacom Broadband LLC, Gtd. Notes	B2	11.00	%	07/15/13		630		677,250
Sinclair Broadcast Group, Inc.,
Gtd. Notes	B2	8.75	%	12/15/11		210		221,025
Gtd. Notes	B2	8.00	%	03/15/12		230		236,900

								5,047,352

Building Materials — 0.5%
Building Materials Corp., Secured Notes	B2	7.75	%	08/01/14		80		77,200
Champion Enterprises, Inc., Gtd. Notes	B3	7.625	%	05/15/09		155		155,388
Texas Industies, Inc., Sr. Notes 144A	Ba3	7.25	%	07/15/13		50		51,875

								284,463

Business Services — 0.1%
Ashtead Holdings Plc, Secured Notes 144A	B2	8.625	%	08/01/15		75		78,938

Cable Television — 2.6%
Cablevision Systems Corp., Sr. Notes	B3	8.00	%	04/15/12		555		518,925
Echostar DBS Corp., Sr. Notes	Ba3	9.125	%	01/15/09		442		462,442
Rogers Cable, Inc., (Canada)
Bonds	Ba3	8.75	%	05/01/32		80		92,000
Secured Notes	Ba3	6.25	%	06/15/13		370		364,912
Secured Notes	Ba3	6.75	%	03/15/15		60		60,900
Shaw Communications, Inc.,
Sr. Notes	Ba2	8.25	%	04/11/10		30		32,213
Sr. Notes	Ba2	7.25	%	04/06/11		15		15,638

								1,547,030

Chemicals — 3.0%
Equistar Chemical Funding,
Sr. Notes	B2	10.625	%	05/01/11		355		390,500
Gtd. Notes	B2	10.125	%	09/01/08		60		65,100
Hercules, Inc., Gtd. Notes	Ba3	6.75	%	10/15/29		185		178,063
Huntsman LLC, Gtd. Notes	Ba3	11.625	%	10/15/10		65		74,019
Macdermid, Inc., Gtd. Notes	Ba3	9.125	%	07/15/11		190		201,162
Methanex Corp., Sr. Notes	Ba1	8.75	%	08/15/12		390		433,875
Millennium America, Inc., Gtd. Notes	B1	9.25	%	06/15/08		210		226,537
Nalco Co., Sr. Notes	B2	7.75	%	11/15/11		210		215,775

								1,785,031

Commercial Services — 1.5%
Quebecor Media, Inc., Sr. Notes (Canada)	B2	11.125	%	07/15/11		825		893,063
Quintiles Transnational Corp., Sr. Sub. Notes	B3	10.00	%	10/01/13		15		16,725

								909,788


Schedule of Investments as of December 31, 2005 (Unaudited)		THE HIGH YIELD PLUS FUND, INC.


Description	Moody’s Ratings	Interest Rate		Maturity Date	Principal Amount (000)		Value
CORPORATE BONDS (Continued)

Computer Hardware — 0.4%
Activant Solutions, Sr. Notes	B2	10.50	%	06/15/11	$	240	$	262,800

Computer Services & Software — 2.7%
Activant Solutions, Inc., Sr. Notes 144A	B2	10.054	%	04/01/10		330		340,313
Ndchealth Corp., Gtd. Notes	B3	10.50	%	12/01/12		695		794,037
Sunguard Data Systems, Inc., 144A,
Sr. Unsec’d. Notes	B3	9.125	%	08/15/13		160		165,600
Sr. Sub. Notes	Caa1	10.25	%	08/15/15		65		65,000
UGS Corp., Gtd. Notes	B3	10.00	%	06/01/12		220		239,800

								1,604,750

Construction — 1.5%
Beazer Homes USA, Inc., Gtd. Notes	Ba1	8.625	%	05/15/11		100		104,500
D.R. Horton, Inc.,
Sr. Notes	Baa3	6.875	%	05/01/13		200		208,709
Sr. Sub. Notes	Ba1	9.375	%	03/15/11		250		263,040
Sr. Sub. Notes	Ba1	9.75	%	09/15/10		110		124,355
Standard-Pacific Corp., Sr. notes	Ba2	6.25	%	04/01/14		230		204,988

								905,592

Consumer Products — 0.4%
Hertz Corp., Sr. Sub. Notes 144A	B3	10.50	%	01/01/16		220		226,600

Consumer Products & Services — 2.8%
Alliance One International, Inc., Notes 144A	B3	11.00	%	05/15/12		445		391,600
Bombardier Recreational, Sr. Sub. Notes (Canada)	B3	8.375	%	12/15/13		590		590,737
Playtex Products, Inc., Secured Notes	B2	8.00	%	03/01/11		230		244,950
RJ Reynolds Tobacco Holdings Inc., Notes 144A	Ba2	7.30	%	07/15/15		440		448,800

								1,676,087

Containers & Packaging — 3.7%
Crown Americas, Inc., 144A,
Sr. Notes	B1	7.625	%	11/15/13		225		233,438
Sr. Notes	B1	7.75	%	11/15/15		225		232,875
Jefferson Smurfit Corp. US, Gtd. Notes	B2	7.50	%	06/01/13		155		142,600
Owens-Brockway Glass Containers, Inc., Gtd. Notes	B1	8.875	%	02/15/09		815		850,656
Smurfit-Stone Container Enterprises, Inc.,
Sr. Notes	B2	8.375	%	07/01/12		325		314,437
Sr. Notes	B2	9.25	%	02/01/08		450		461,250

								2,235,256

Diversified — 0.7%
Clarke American Corp., Sr. Notes 144A	B2	11.75	%	12/15/13		445		445,000

Electronic Components — 2.4%
Fisher Scientific International, Inc., Sr. Sub. Notes	Ba2	6.75	%	08/15/14		140		145,950
Itron, Inc., Sr. Sub. Notes	B2	7.75	%	05/15/12		465		474,300
L-3 Communications Corp.,
Gtd. Notes	Ba3	7.625	%	06/15/12		75		78,938
Sr. Sub. Notes	Ba3	5.875	%	01/15/15		140		135,800
Sanmina - SCI Corp.,
Gtd. Notes	Ba2	10.375	%	01/15/10		440		486,200


Schedule of Investments as of December 31, 2005 (Unaudited)		THE HIGH YIELD PLUS FUND, INC.


Description	Moody’s Ratings	Interest Rate		Maturity Date	Principal Amount (000)		Value
CORPORATE BONDS (Continued)

Electronic Components (cont’d)
Gtd. Notes	B1	6.75	%	03/01/13	$	105	$	99,881

								1,421,069

Entertainment & Leisure — 7.9%
AMC Entertainment, Inc.,
Gtd. Notes, Series B	B2	8.625	%	08/15/12		220		229,900
Sr. Sub. Notes	B3	8.00	%	03/01/14		240		217,200
Boyd Gaming Corp., Sr. Sub. Notes
	B1	7.75	%	12/15/12		165		172,838
	B1	8.75	%	04/15/12		30		32,175
Herbst Gaming, Inc., Gtd. Notes	B3	7.00	%	11/15/14		235		233,825
MGM Mirage, Inc., Gtd. Notes	Ba2	8.50	%	09/15/10		205		203,719
Mohegan Tribal Gaming, Sr. Notes	Ba2	6.125	%	02/15/13		135		132,638
OED Corp / Diamond Jo LLC, Gtd. Notes	B2	8.75	%	04/15/12		235		229,125
Park Place Entertainment Corp., Sr. Sub. Notes	Ba1	8.125	%	05/15/11		375		413,906
River Rock Entertainment, Sr. Notes	B2	9.75	%	11/01/11		415		447,162
Riviera Holdings Corp., Gtd. Notes	B2	11.00	%	06/15/10		625		672,656
Station Casinos, Inc., Sr. Sub. Notes	Ba3	6.50	%	02/01/14		105		106,050
Time Warner, Inc., Debentures	Baa1	9.125	%	01/15/13		360		426,087
Virgin River Casino Corp/Rbg LLC/B&Bb Inc., Sec. Notes 144A	B3	9.00	%	01/15/12		850		877,625
Wynn Las Vegas LLC Wynn Las Vegas Capital Corp. 1st Mtg., Notes	B2	6.625	%	12/01/14		400		389,000

								4,783,906

Environmental Services — 0.8%
Allied Waste North America, Sr. Notes, Series B	B2	8.50	%	12/01/08		440		462,000

Farming & Agriculture — 1.9%
IMC Global, Inc.,
Gtd. Notes, Series B	Ba3	11.25	%	06/01/11		835		897,625
Notes	B1	7.30	%	01/15/28		100		99,500
Sr. Sec’d. Notes, Series B	Ba3	10.875	%	06/01/08		125		138,437

								1,135,562

Financial - Bank & Trust — 0.5%
Chevy Chase Bank FSB., Sub. Notes	Ba2	6.875	%	12/01/13		190		195,700
Provident Cos., Inc., Sr. Notes	Ba1	7.00	%	07/15/18		105		108,576

								304,276

Financial Services — 6.1%
Affinia Group, Inc., Gtd. Notes	Caa2	9.00	%	11/30/14		270		213,300
Alamosa Delaware, Inc., Sr. Notes	Caa1	8.50	%	01/31/12		90		97,313
Arch Western Finance LLC, Sr. Notes	Ba3	6.75	%	07/01/13		220		224,125
Athena Neurosciences Finance LLC, Gtd. Notes	B3	7.25	%	02/21/08		450		439,312
CCM Merger, Inc., Notes	B3	8.00	%	08/01/13		455		436,800
E*trade Financial Corp., Sr. Notes 144A	B1	7.375	%	09/15/13		120		121,500
Ford Motor Credit Co., Notes	Ba2	7.00	%	10/01/13		725		619,481
General Motors Acceptance Corp.,
Bonds	Ba1	8.00	%	11/01/31		1,020		977,039
Notes	Ba1	6.875	%	08/28/12		110		99,147
Goodman Global Holding Co., Inc., Sr. Sub. Notes, 144A	Caa1	7.875	%	12/15/12		240		223,200


Schedule of Investments as of December 31, 2005 (Unaudited)		THE HIGH YIELD PLUS FUND, INC.


Description	Moody’s Ratings	Interest Rate		Maturity Date	Principal Amount (000)		Value
CORPORATE BONDS (Continued)

Financial Services (cont’d)
JSG Funding PLC, Sr. Notes	B3	9.625	%	10/01/12	$	195	$	195,000

								3,646,217

Foods — 0.6%
Ameriqual Group LLC and Ameriqual Finance Corp., Sec. Notes 144A	B1	9.00	%	04/01/12		180		186,750
Delhaize America, Inc., Gtd. Notes	Ba1	9.00	%	04/15/31		175		205,733

								392,483

Healthcare Services — 5.6%
Davita, Inc.,
Gtd. Notes	B3	7.25	%	03/15/15		130		131,625
Gtd. Notes	B2	6.625	%	03/15/13		130		132,275
HCA, Inc.,
Notes	Ba2	7.50	%	11/06/33		355		366,543
Sr. Secured	Ba2	6.375	%	01/15/15		830		838,992
Notes	Ba2	5.50	%	12/01/09		50		49,382
Healthsouth Corp.,
Notes	NR	7.625	%	06/01/12		140		142,100
Sr. Notes	NR	8.375	%	10/01/11		990		1,007,325
Triad Hospitals, Inc.,
Senior Notes	B2	7.00	%	05/15/12		450		459,563
Sr. Sub. Notes	B3	7.00	%	11/15/13		230		230,575

								3,358,380

Hotels & Motels — 4.7%
Aztar Corp.	Ba3	9.00	%	08/15/11		200		211,750
Caesars Entertainment, Inc.	Baa3	7.00	%	04/15/13		135		144,419
Host Marriott, LP,
Gtd. Notes	Ba2	9.25	%	10/01/07		210		221,550
Gtd. Notes	Ba2	9.50	%	01/15/07		380		393,300
Majestic Star LLC/CAP II	B3	9.75	%	01/15/11		220		221,650
Mandalay Resort Group, Sr. Sub. Notes	Ba3	9.375	%	02/15/10		375		410,625
MGM Mirage, Inc.	Ba2	6.0	%	10/01/09		510		552,712
Starwood Hotels & Resorts Worldwide, Inc., Gtd. Notes	Ba1	7.875	%	05/01/12		205		226,013
Ventas Realty LP,
Gtd Notes	Ba3	6.75	%	06/01/10		60		61,500
Gtd. Notes	Ba2	7.125	%	06/01/15		185		194,250
Sr. Notes	Ba2	6.625	%	10/15/14		215		219,837

								2,857,606

Industrial Products — 1.7%
Fastentech, Inc., Gtd. Notes	B3	11.50	%	05/01/11		205		200,900
Neff Rental /Neff Finance Corp., Secured Notes	Caa1	11.25	%	06/15/12		365		383,250
United Rentals North America, Inc., Gtd. Notes	B3	6.50	%	02/15/12		465		452,794

								1,036,944

Insurance — 0.8%
Insurance Auto Auctions, Gtd. Notes	Caa1	11.00	%	04/01/13		230		241,706
Unumprovident Corp.,
Debentures	Ba1	7.375	%	06/15/32		15		15,736


Schedule of Investments as of December 31, 2005 (Unaudited)		THE HIGH YIELD PLUS FUND, INC.


Description	Moody’s Ratings	Interest Rate		Maturity Date	Principal Amount (000)		Value
CORPORATE BONDS (Continued)

Insurance (cont’d)
Notes	Ba1	6.75	%	12/15/28	$	145	$	142,080
Sr. Notes	Ba1	7.625	%	03/01/11		90		97,066

								496,588

Internet Services — 0.4%
E*trade Financial Corp., Notes	B1	8.00	%	06/15/11		220		228,800

Machinery & Equipment — 1.4%
Case New Holland Inc., Gtd. Notes	Ba3	9.25	%	08/01/11		635		679,450
Manitowoc Co. Inc, (The), Gtd. Notes	B2	10.50	%	08/01/12		142		157,620

								837,070

Manufacturing — 2.4%
Blount, Inc., Sr. Sub. Notes	B3	8.875	%	08/01/12		420		443,100
Invensys PLC, Sr. Notes 144A	B3	9.875	%	03/15/11		420		415,800
J.B. Poindexter & Co., Gtd. Notes	B1	8.75	%	03/15/14		440		371,800
Koppers, Inc., Gtd. Notes	B1	9.875	%	10/15/13		205		222,425

								1,453,125

Media - Cable — 0.6%
CCH I LLC, Secured Notes 144A	Caa3	11.00	%	10/01/15		400		336,000

Medical Supplies & Equipment — 1.3%
CDRV Investors, Inc., Sr. Disc. Notes Zero Coupon (until 1/01/10)	Caa2	9.625	%(d)	01/01/15		1,145		701,312
HCA, Inc. Senior Notes	Ba2	5.75	%	03/15/14		85		82,425

								783,737

Metals & Mining — 1.8%
Hawk Corp., Sr. Notes	B2	8.75	%	11/01/14		220		222,200
Neenah Corp., 144A,
Sec’d. Notes	B2	11.00	%	09/30/10		205		224,475
Sr. Sub Notes	Caa1	13.00	%	09/30/13		225		229,500
Steel Dynamics, Inc.,
Gtd. Notes	Ba2	9.50	%	03/15/09		65		68,413
Senior Notes	Ba2	9.50	%	03/15/09		135		142,087
United States Steel Corp., Sr. Notes	Ba2	10.75	%	08/01/08		200		221,000

								1,107,675

Office Equipment — 2.4%
Ikon Office Solutions, Inc.	Ba2	7.75	%	09/15/15		340		331,500
Xerox Corp.,
Notes	Ba2	7.20	%	04/01/16		280		294,000
Gtd. Notes	Ba2	9.75	%	01/15/09		305		337,406
Sr. Notes	Ba2	7.625	%	06/15/13		475		501,125

								1,464,031

Oil, Gas & Consumable Fuels — 13.4%
Amerada Hess Corp.	Ba1	7.30	%	08/15/31		190		219,884
Aquila, Inc	B2	9.95	%	02/01/11		430		474,075
Chesapeake Energy Corp., Sr. Notes	Ba2	6.875	%	01/15/16		175		179,375
Colorado Interstate Gas Co.	B1	5.95	%	03/15/15		40		38,635


Schedule of Investments as of December 31, 2005 (Unaudited)		THE HIGH YIELD PLUS FUND, INC.


Description	Moody’s Ratings	Interest Rate		Maturity Date	Principal Amount (000)		Value
CORPORATE BONDS (Continued)

Oil, Gas & Consumable Fuels (cont’d)
Delta Petroleum Corp.	B3	7.00	%	04/01/15	$	700	$	645,750
Dynegy Holdings, Inc., Debentures	B2	7.125	%	05/15/18		745		663,050
El Paso Corp.,
Sr. Notes	Caa1	6.75	%	05/15/09		520		516,100
Sr. Notes	Caa1	7.00	%	05/15/11		330		327,525
El Paso Natural Gas Co.	B1	8.625	%	01/15/22		80		90,767
El Paso Production Holding Co., Gtd. Notes	B3	7.75	%	06/01/13		225		233,437
Enterprise Products Operating LP	Baa3	6.875	%	03/01/33		205		217,167
Exco Resources, Inc., Gtd. Notes	B2	7.25	%	01/15/11		230		233,450
Forest Oil Corp., Sr. Notes	Ba3	8.00	%	06/15/08		412		429,510
Giant Industries, Inc.	B3	11.00	%	05/15/12		347		386,037
Massey Energy Co.	B1	6.875	%	12/15/13		170		171,488
Parker Drilling Co., Sr. Notes	B2	9.625	%	10/01/13		430		479,987
Plains E&P Co.	Ba3	8.75	%	07/01/12		45		48,488
Premcor Refining Group, Inc., Gtd. Notes	Baa3	6.75	%	05/01/14		195		204,828
Pride International, Inc., Sr. Notes	Ba2	7.375	%	07/15/14		295		316,387
Range Resources Corp.	B2	6.375	%	03/15/15		80		78,400
Tennessee Gas Pipeline Co., Bonds	B1	8.375	%	06/15/32		160		181,537
Western Oil Sands, Inc.	Ba2	8.375	%	05/01/12		200		224,750
Whiting Petroleum Corp.,
Notes	B2	7.25	%	05/01/13		220		222,750
Notes	B2	7.25	%	05/01/12		180		182,250
Williams Cos, Inc.,
Notes	B1	7.125	%	09/01/11		765		794,644
Debentures	B1	7.50	%	01/15/31		205		212,175
Sr. Notes	B1	7.625	%	07/15/19		70		75,075
Notes	B1	7.75	%	06/15/31		15		15,825
Notes	B1	7.875	%	09/01/21		70		75,775
Notes	B1	8.125	%	03/15/12		130		141,700

								8,080,821

Paper & Forest Products — 2.8%
Abitibi-Consolidated, Inc., Notes (Canada)	B1	8.55	%	08/01/10		197		199,462
Bowater Canada Finance, Gtd. Notes (Canada)	B1	7.95	%	11/15/11		175		169,750
Bowater, Inc., Notes	B1	6.50	%	06/15/13		280		250,600
Catalyst Paper Corp.	Ba3	8.625	%	06/15/11		220		210,100
Georgia-Pacific Corp.,
Notes	B2	8.00	%	01/15/24		395		377,225
Notes	B2	8.125	%	05/15/11		100		100,125
Neenah Paper, Inc.	B1	7.375	%	11/15/14		100		90,250
Tembec Industries, Inc., Gtd. Notes	Ca	8.50	%	02/01/11		470		260,850

								1,658,362

Pharmaceuticals — 2.6%
Amerisourcebergen Corp.,
Notes	Ba2	5.625	%	09/15/12		190		190,000
Gtd. Notes	Ba2	5.875	%	09/15/15		215		216,881
Biovail Corp., Sr. Sub. Notes	B2	7.875	%	04/01/10		660		683,925


Schedule of Investments as of December 31, 2005 (Unaudited)		THE HIGH YIELD PLUS FUND, INC.


Description	Moody’s Ratings	Interest Rate		Maturity Date	Principal Amount (000)		Value
CORPORATE BONDS (Continued)

Pharmaceuticals (cont’d)
Mylan Laboratories, Inc.	Ba1	5.75	%	08/15/10	$	65	$	65,081
Mylan Laboratories, Inc., Sr. Notes 144A	Ba1	6.375	%	08/15/15		315		315,394
Omnicare, Inc.	Ba3	6.125	%	06/01/13		70		68,775

								1,540,056

Printing & Publishing — 1.8%
Dex Media East LLC, Gtd. Notes	B1	12.125	%	11/15/12		380		444,600
Dex Media West Finance, Sr. Sub. Notes	B2	9.875	%	08/15/13		590		654,900

								1,099,500

Real Estate — 0.1%
CB Richard Ellis Service, Sr. Notes	Ba3	9.75	%	05/15/10		42		45,780

Real Estate Investment Trust - Hotels — 0.2%
Host Marriott LP, Sr. Notes	Ba2	7.125	%	11/01/13		100		104,000

Restaurants — 0.3%
Mortons Restaurant Group, Secured Notes	B2	7.50	%	07/01/10		215		212,850

Retail & Merchandising — 6.2%
Adesa Inc., Sr. Sub. Notes	B1	7.625	%	06/15/12		310		308,450
GSC Holdings Corp., Gtd. Notes 144A	Ba3	8.00	%	10/01/12		230		216,200
Lazydays Rv Center, Inc., Sr. Notes	B3	11.75	%	05/15/12		648		656,100
Movie Gallery, Sr. Unsec’d. Notes	B3	11.00	%	05/01/12		300		234,000
Pathmark Stores, Co., Gtd. Notes	Caa2	8.75	%	02/01/12		445		415,519
Radiologix, Inc. Co., Gtd. Notes	B2	10.50	%	12/15/08		770		754,600
Real Mex Restaurants, Inc., Gtd. Notes	B2	10.00	%	04/01/10		420		447,300
Rite Aid Corp., Co., Gtd. Notes	B2	7.50	%	01/15/15		120		113,400
Rite Aid Corp., Secured Notes	B2	8.125	%	05/01/10		555		564,712

								3,710,281

Semiconductors — 2.5%
Amkor Technology, Inc., Sr. Notes	Caa1	7.125	%	03/15/11		435		382,800
MagnaChip Semiconductor, Secured Notes	Ba3	6.875	%	12/15/11		50		49,125
MagnaChip Semiconductor, Sr. Sub. Notes	B2	8.00	%	12/15/14		845		806,975
Mirant North America LLC, Sr. Notes	B1	7.375	%	12/31/13		240		242,700

								1,481,600

Telecommunications — 17.4%
Alamosa Delaware, Inc., Gtd. Notes	Caa1	11.00	%	07/31/10		420		473,550
American Cellular Corp., Sr. Notes	B3	10.00	%	08/01/11		845		916,825
Centennial Cellular Operating Co., Gtd. Notes	B3	10.125	%	06/15/13		430		467,625
Centennial Communications Corp., Sr. Notes	B3	8.125	%	02/01/14		235		238,525
Citizens Communications Co., Notes	Ba3	9.25	%	05/15/11		840		926,100
Dobson Cellular Systems, Secured Notes	B1	8.375	%	11/01/11		230		244,088
Dobson Communications Corp., Sr. Notes	Caa2	8.85	%	10/15/12		230		228,850
GCI, Inc., Sr. Notes	B2	7.25	%	02/15/14		695		688,050
Insight Midwest, Sr. Notes	B2	10.50	%	11/01/10		810		851,512
Intelsat Bermuda Ltd., Sr. Notes 144A
	B2	8.625	%	01/15/15		205		207,050


Schedule of Investments as of December 31, 2005 (Unaudited)		THE HIGH YIELD PLUS FUND, INC.


Description	Moody’s Ratings	Interest Rate		Maturity Date	Principal Amount (000)		Value
CORPORATE BONDS (Continued)

Telecommunications (cont’d)
Intelsat Ltd.,	B2	8.25	%	01/15/13	$	380	$	383,800
Notes	Caa1	7.625	%	04/15/12		240		193,800
Sr. Notes	Caa1	5.25	%	11/01/08		105		95,681
Lucent Technologies, Debentures	B1	6.45	%	03/15/29		150		128,625
MCI, Inc.,
Sr. Notes	B3	7.688	%	05/01/09		240		247,800
Sr. Notes	B3	8.735	%	05/01/14		300		331,875
Nextel Communications, Inc., Sr. Notes	Baa2	9.50	%	02/01/11		850		893,418
Panamsat Corp., Gtd. Notes	B1	9.00	%	08/15/14		67		70,183
Qwest Capital Funding Corp., Gtd. Notes	B3	7.25	%	02/15/11		310		313,875
Qwest Capital Funding, Inc., Gtd. Notes	B3	7.75	%	02/15/31		265		254,400
Qwest Communications International, Inc., Gtd. Notes	B3	7.25	%	02/15/11		680		693,600
Qwest Corp.	Ba3	6.875	%	09/15/33		260		244,400
Rogers Wireless, Inc.,
Secured Notes	Ba3	7.50	%	03/15/15		335		361,800
Secured Notes (Canada)	Ba3	9.625	%	05/01/11		450		517,500
Syniverse Tech, Sr. Sub. Notes 144A	B2	7.75	%	08/15/13		250		251,875
UbiquiTel Operating Co., Sr. Notes	Caa1	9.875	%	03/01/11		210		232,575

								10,457,382

Transportation — 0.7%
Kansas City Southern Railway	B2	9.50	%	10/01/08		410		443,825

Utilities — 12.1%
AES Corp., 144A,
Secured Notes	Ba3	8.75	%	05/15/13		84		91,455
Secured Notes	Ba3	9.00	%	05/15/15		491		537,645
AES Corp.,
Sr. Notes	B1	8.875	%	02/15/11		625		675,781
Sr. Notes	B1	9.375	%	09/15/10		35		38,238
Avista Corp., Sr. Notes	Ba1	9.75	%	06/01/08		380		414,773
Chesapeake Energy Corp., Gtd. Notes	Ba2	7.75	%	01/15/15		265		280,900
CMS Energy Corp.,
Sr. Notes	B1	9.875	%	10/15/07		485		518,950
Sr. Notes	B1	8.50	%	04/15/11		120		130,650
DPL, Inc., Sr. Notes	Ba1	6.875	%	09/01/11		159		167,546
Edison Mission Energy, Sr. Notes	B1	9.875	%	04/15/11		300		349,875
Massey Energy Co., Sr. Notes	Ba3	6.625	%	11/15/10		95		96,544
Midwest Generation LLC, Secured Notes	B1	8.75	%	05/01/34		364		400,855
Nevada Power Co.,
2nd Mortgage	Ba1	9.00	%	08/15/13		175		192,720
General Finance Mortgage	Ba1	5.875	%	01/15/15		90		89,309
Notes	Ba1	10.875	%	10/15/09		67		73,198
NRG Energy, Inc., Gtd. Notes	NR	8.00	%	12/15/13		217		241,955
Peabody Energy Corp., Gtd. Notes	Ba3	6.875	%	03/15/13		100		104,000
Reliant Energy, Inc., Secured Notes	B1	6.75	%	12/15/14		400		349,000
Southern Natural Gas, Notes	B1	7.35	%	02/15/31		90		92,331
Teco Energy Inc.,
Sr. Notes	Ba2	7.20	%	05/01/11		295		311,225
Sr. Notes	Ba2	6.75	%	05/01/15		40		41,400
Sr. Notes	Ba2	7.00	%	05/01/12		25		26,250


Schedule of Investments as of December 31, 2005 (Unaudited)		THE HIGH YIELD PLUS FUND, INC.


Description	Moody’s Ratings	Interest Rate		Maturity Date	Principal Amount (000)		Value
CORPORATE BONDS (Continued)

Utilities (cont’d)
Texas Genco LLC, Sr. Notes	B1	6.875	%	12/15/14	$	290	$	313,925
The AES Corp., Sr. Notes	B1	9.50	%	06/01/09		20		21,600
TXU Corp.,
Notes	Ba1	6.55	%	11/15/34		235		222,051
Sr. Notes	Ba1	5.55	%	11/15/14		235		223,211
Sr. Notes	Ba1	6.50	%	11/15/24		465		441,458

UCAR Finance, Inc., Gtd. Notes	B2	10.25	%	02/15/12		400		422,500
Westar Energy, Inc., Notes	Ba1	7.125	%	08/01/09		410		430,940

								7,300,285

Total Corporate Bonds								84,620,271

CONVERTIBLE BOND — 0.3%
Hercules, Inc.	B+(c)	6.50	%	06/30/29		230		172,500


					Shares		Value
COMMON STOCKS — 0.1%
World Kitchen, Inc.(b)						6,031		51,263

Total Common Stocks								51,263

TOTAL LONG-TERM INVESTMENTS (cost $86,000,541)								84,844,034


					Principal Amount (000)		Value
SHORT-TERM INVESTMENT — 3.5%
REPURCHASE AGREEMENTS — 3.5%
The Bank of New York Triparty Agreement, 4.35%, dated 12/30/05, due 1/3/06 in the amount of $2,101,015 (cost $2,100,000; collateralized by $2,133,136 Federal National Mortgage Association Bond, 5%, due 11/01/35, value of collateral including accrued interest is $2,142,001)					$	2,100		2,100,000

TOTAL SHORT-TERM INVESTMENTS (cost $2,100,000)								2,100,000

TOTAL INVESTMENTS — 144.4% (cost $88,100,541)(a)								86,944,034
LIABILITIES IN EXCESS OF OTHER ASSETS — (44.4)%								(26,723,456	)

NET ASSETS — 100.0%							$	60,220,578


The following abbreviations are used in portfolio descriptions:

	144A	Security was 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. Unless otherwise noted 144A securities are deemed to be liquid.
	NR	Not Rated by Moodys or Standard & Poor’s

(a)	The United States federal income tax basis of the Fund’s investment and the net unrealized depreciation as of December 31, 2005 were as follows:

		Tax Basis of Investments	Appreciation	Depreciation	Net Unrealized Depreciation
		88,831,375	1,824,341	3,711,682	1,887,341

	The difference between the book basis and the tax basis was primarily attributable to deferred losses on wash sales.

(b)	Non-income producing security.

(c)	Standard & Poor’s rating.

(d)	The rate shown reflects the coupon after the step-up date.

Notes to the Schedule of Investments

Securities Valuation: Securities for which market quotations are readily available—including securities listed on national securities exchanges and those traded over-the-counter—are valued at the last quoted sales price on the valuation date on which the security is traded. If such securities were not traded on the valuation date, but market quotations are readily available, they are valued at the most recently quoted bid price provided by an independent pricing service or by principal market makers. Securities for which market quotations are not readily available or for which the pricing agent or market makers does not provide a valuation or methodology, or provides a valuation or methodology that, in the judgment of the advisor, does not represent fair value, are valued by a Valuation Committee appointed by the Board of Directors, in consultation with the advisor. When determining the fair valuation of securities some of the factors influencing the valuation include, the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment advisor regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.

Short-term securities which mature in more than 60 days are valued at current market quotations. Short-term securities which mature in 60 days or less are valued at amortized cost.

Market values of investments traded in a foreign currency are translated into U.S. dollars at the current rates of exchange.

Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is the Fund’s policy that its custodian or designated subcustodians under triparty repurchase agreements, as the case may be, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market on a daily basis to ensure the adequacy of the collateral. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited.

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).

Item 2. Controls and Procedures

(a)

It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b)

There have been no significant changes in the registrant’s internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

Item 3. Exhibits

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 – Attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) The High Yield Plus Fund, Inc.


By (Signature and Title)*		/s/ Deborah A. Docs
		Deborah A. Docs
		Secretary of the Fund

Date	February 24, 2006

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/ Judy A. Rice
		Judy A. Rice
		President and Principal Executive Officer

Date	February 24, 2006


By (Signature and Title)*		/s/ Grace C. Torres
		Grace C. Torres
		Treasurer and Principal Financial Officer

Date	February 24, 2006

*	Print the name and title of each signing officer under his or her signature.