N-Q 1 a05-18975_9nq.htm QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

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FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-5567

 

Colonial Intermediate High Income Fund

(Exact name of registrant as specified in charter)

One Financial Center, Boston, Massachusetts

 

02111

(Address of principal executive offices)

 

(Zip code)

 

 

 

Vincent Pietropaolo, Esq.
Columbia Management Group, Inc.
One Financial Center
Boston, MA 02111

(Name and address of agent for service)

 

Registrant's telephone number, including area code:

1-617-772-3698

 

 

Date of fiscal year end:

11/30/05

 

 

Date of reporting period:

08/31/05

 

 



 

INVESTMENT PORTFOLIO

 

 

August 31, 2005 (Unaudited)

 

Colonial Intermediate High Income Fund

 

 

 

 

 

 

 

Par ($)

 

Value ($)*

 

Corporate Fixed-Income Bonds & Notes – 121.8%

 

 

 

 

 

 

 

BASIC MATERIALS – 10.8%

 

 

 

 

 

 

 

 

 

Chemicals – 5.9%

 

 

 

 

 

 

 

 

 

Agricultural Chemicals – 1.9%

 

 

 

 

 

 

 

 

 

IMC Global, Inc.

 

10.875% 08/01/13

 

 

 

310,000

 

366,575

 

Terra Capital, Inc.

 

12.875% 10/15/08

 

 

 

475,000

 

561,687

 

UAP Holding Corp.

 

 

 

 

 

 

 

 

 

 

 

(a) 07/15/12

 

 

 

 

 

 

 

 

 

(10.750% 01/15/08)

 

 

 

295,000

 

252,225

 

United Agri Products

 

8.250% 12/15/11

 

 

 

321,000

 

340,260

 

 

 

 

 

 

 

 

 

1,520,747

 

Chemicals - Diversified – 3.4%

 

 

 

 

 

 

 

 

 

BCP Crystal US Holdings Corp.

 

9.625% 06/15/14

 

 

 

150,000

 

170,250

 

EquiStar Chemicals LP

 

10.625% 05/01/11

 

 

 

575,000

 

636,813

 

Huntsman International LLC

 

7.375% 01/01/15(b)

 

 

 

260,000

 

263,900

 

Huntsman LLC

 

11.500% 07/15/12

 

 

 

310,000

 

362,700

 

Innophos Investments Holdings, Inc., PIK

 

11.790% 02/15/15(b)(c)

 

 

 

201,075

 

191,021

 

Lyondell Chemical Co.

 

9.625% 05/01/07

 

 

 

240,000

 

254,100

 

Nell AF SARL

 

 

 

 

 

 

 

 

 

 

 

8.375% 08/15/15(b)

 

 

 

180,000

 

183,600

 

 

 

8.375% 08/15/15(b)

 

EUR

 

160,000

 

203,396

 

NOVA Chemicals Corp.

 

6.500% 01/15/12

 

USD

 

405,000

 

398,925

 

 

 

 

 

 

 

 

 

2,664,705

 

Chemicals - Specialty – 0.6%

 

 

 

 

 

 

 

 

 

Rhodia SA

 

8.875% 06/01/11

 

 

 

460,000

 

451,375

 

 

 

 

 

 

 

 

 

451,375

 

 

 

 

 

Chemicals Total

 

4,636,827

 

Forest Products & Paper – 3.5%

 

 

 

 

 

 

 

 

 

Forestry – 0.6%

 

 

 

 

 

 

 

 

 

Millar Western Forest Products Ltd.

 

7.750% 11/15/13

 

 

 

225,000

 

207,000

 

Tembec Industries, Inc.

 

8.500% 02/01/11

 

 

 

320,000

 

244,800

 

 

 

 

 

 

 

 

 

451,800

 

Paper & Related Products – 2.9%

 

 

 

 

 

 

 

 

 

Abitibi-Consolidated, Inc.

 

8.375% 04/01/15

 

 

 

260,000

 

261,950

 

Boise Cascade LLC

 

 

 

 

 

 

 

 

 

 

 

6.474% 10/15/12(c)

 

 

 

275,000

 

278,437

 

 

 

7.125% 10/15/14

 

 

 

190,000

 

186,200

 

Buckeye Technologies, Inc.

 

8.500% 10/01/13

 

 

 

60,000

 

61,950

 

Caraustar Industries, Inc.

 

9.875% 04/01/11

 

 

 

235,000

 

242,638

 

Georgia-Pacific Corp.

 

8.000% 01/15/24

 

 

 

350,000

 

404,250

 

Neenah Paper, Inc.

 

7.375% 11/15/14

 

 

 

130,000

 

127,238

 

Newark Group, Inc.

 

9.750% 03/15/14

 

 

 

370,000

 

342,250

 

NewPage Corp.

 

12.000% 05/01/13(b)

 

 

 

225,000

 

214,875

 

 

1



 

 

 

 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

 

 

BASIC MATERIALS – (continued)

 

 

 

 

 

 

 

 

 

Forest Products & Paper – (continued)

 

 

 

 

 

 

 

 

 

Paper & Related Products – (continued)

 

 

 

 

 

 

 

 

 

Norske Skog Canada Ltd.

 

8.625% 06/15/11

 

 

 

190,000

 

197,600

 

 

 

 

 

 

 

 

 

2,317,388

 

 

 

Forest Products & Paper Total

 

2,769,188

 

Iron / Steel – 1.2%

 

 

 

 

 

 

 

 

 

Metal - Iron – 0.4%

 

 

 

 

 

 

 

 

 

Wise Metals Group LLC

 

10.250% 05/15/12

 

 

 

415,000

 

343,413

 

 

 

 

 

 

 

 

 

343,413

 

Steel - Producers – 0.2%

 

 

 

 

 

 

 

 

 

Steel Dynamics, Inc.

 

 

 

 

 

 

 

 

 

 

 

9.500% 03/15/09

 

 

 

160,000

 

170,800

 

 

 

 

 

 

 

 

 

170,800

 

Steel - Specialty – 0.6%

 

 

 

 

 

 

 

 

 

UCAR Finance, Inc.

 

10.250% 02/15/12

 

 

 

405,000

 

433,350

 

 

 

 

 

 

 

 

 

433,350

 

 

 

 

 

Iron / Steel Total

 

947,563

 

Metals & Mining – 0.2%

 

 

 

 

 

 

 

 

 

Mining Services – 0.2%

 

 

 

 

 

 

 

 

 

Hudson Bay Mining & Smelting Co., Ltd.

 

9.625% 01/15/12(b)

 

 

 

105,000

 

108,150

 

 

 

 

 

 

 

 

 

108,150

 

 

 

 

 

Metals & Mining Total

 

108,150

 

 

 

BASIC MATERIALS TOTAL

 

8,074,732

 

COMMUNICATIONS – 26.9%

 

 

 

 

 

 

 

 

 

Media – 11.2%

 

 

 

 

 

 

 

 

 

Broadcast Services / Programs – 0.3%

 

 

 

 

 

 

 

 

 

Fisher Communications, Inc.

 

8.625% 09/15/14

 

 

 

190,000

 

205,437

 

 

 

 

 

 

 

 

 

205,437

 

Cable TV – 4.3%

 

 

 

 

 

 

 

 

 

Atlantic Broadband Finance LLC

 

9.375% 01/15/14(b)

 

 

 

390,000

 

376,350

 

Charter Communications Holdings II LLC

 

10.250% 09/15/10

 

 

 

290,000

 

300,875

 

Charter Communications Holdings LLC

 

9.920% 04/01/11

 

 

 

1,210,000

 

916,575

 

CSC Holdings, Inc.

 

 

 

 

 

 

 

 

 

 

 

6.750% 04/15/12(b)

 

 

 

185,000

 

176,675

 

 

 

7.625% 04/01/11

 

 

 

300,000

 

300,750

 

EchoStar DBS Corp.

 

6.625% 10/01/14

 

 

 

390,000

 

386,588

 

Insight Midwest LP

 

9.750% 10/01/09

 

 

 

195,000

 

201,825

 

Northland Cable Television, Inc.

 

10.250% 11/15/07

 

 

 

255,000

 

247,350

 

Pegasus Satellite Communications, Inc.

 

11.250% 01/15/10(b)(d)

 

 

 

435,000

 

108,750

 

 

2



 

 

 

 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

 

 

COMMUNICATIONS – (continued)

 

 

 

 

 

 

 

 

 

Media – (continued)

 

 

 

 

 

 

 

 

 

Cable TV – (continued)

 

 

 

 

 

 

 

 

 

Telenet Group Holding NV

 

 

 

 

 

 

 

 

 

 

 

(a) 06/15/14

 

 

 

 

 

 

 

 

 

(11.500% 12/15/08)(b)

 

 

 

525,000

 

415,406

 

 

 

 

 

 

 

 

 

3,431,144

 

Multimedia – 2.3%

 

 

 

 

 

 

 

 

 

Advanstar Communications, Inc.

 

 

 

 

 

 

 

 

 

 

 

(a) 10/15/11

 

 

 

 

 

 

 

 

 

(15.000% 10/15/05)

 

 

 

310,000

 

322,400

 

 

 

12.000% 02/15/11

 

 

 

310,000

 

334,800

 

Haights Cross Communications, Inc.

 

 

 

 

 

 

 

 

 

 

 

(a) 08/15/11

 

 

 

 

 

 

 

 

 

(12.500% 08/01/09)

 

 

 

305,000

 

192,150

 

Haights Cross Operating Co.

 

11.750% 08/15/11

 

 

 

330,000

 

361,350

 

Lamar Media Corp.

 

6.625% 08/15/15(b)

 

 

 

310,000

 

316,200

 

Quebecor Media, Inc.

 

11.125% 07/15/11

 

 

 

290,000

 

319,725

 

 

 

 

 

 

 

 

 

1,846,625

 

Publishing - Newspapers – 0.4%

 

 

 

 

 

 

 

 

 

Hollinger, Inc.

 

 

 

 

 

 

 

 

 

 

 

11.875% 03/01/11(b)(e)

 

 

 

122,000

 

125,660

 

 

 

12.875% 03/01/11(b)

 

 

 

177,000

 

194,700

 

 

 

 

 

 

 

 

 

320,360

 

Publishing - Periodicals – 2.7%

 

 

 

 

 

 

 

 

 

CBD Media Holdings LLC & Finance, Inc.

 

9.250% 07/15/12

 

 

 

235,000

 

242,050

 

Dex Media East LLC

 

12.125% 11/15/12

 

 

 

367,000

 

435,354

 

Dex Media West LLC

 

9.875% 08/15/13

 

 

 

374,000

 

422,620

 

Dex Media, Inc.

 

 

 

 

 

 

 

 

 

 

 

(a) 11/15/13

 

 

 

 

 

 

 

 

 

(9.000% 11/15/08)

 

 

 

250,000

 

202,500

 

PriMedia, Inc.

 

8.875% 05/15/11

 

 

 

500,000

 

523,750

 

WDAC Subsidiary Corp.

 

8.375% 12/01/14(b)

 

 

 

290,000

 

284,200

 

 

 

 

 

 

 

 

 

2,110,474

 

Television – 1.2%

 

 

 

 

 

 

 

 

 

Paxson Communications Corp.

 

 

 

 

 

 

 

 

 

 

 

(a) 01/15/09

 

 

 

 

 

 

 

 

 

(12.250% 01/15/06)

 

 

 

375,000

 

363,750

 

 

 

10.750% 07/15/08

 

 

 

105,000

 

105,000

 

Sinclair Broadcast Group, Inc.

 

8.750% 12/15/11

 

 

 

420,000

 

445,200

 

 

 

 

 

 

 

 

 

913,950

 

 

 

 

 

 

 

Media Total

 

8,827,990

 

 

3



 

 

 

 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

 

 

COMMUNICATIONS – (continued)

 

 

 

 

 

 

 

 

 

Telecommunication Services – 15.7%

 

 

 

 

 

 

 

 

 

Cellular Telecommunications – 5.7%

 

 

 

 

 

 

 

 

 

American Cellular Corp.

 

10.000% 08/01/11

 

 

 

365,000

 

388,725

 

Digicel Ltd.

 

9.250% 09/01/12(b)

 

 

 

340,000

 

355,300

 

Dobson Cellular Systems, Inc.

 

8.375% 11/01/11

 

 

 

95,000

 

100,938

 

Dobson Communications Corp.

 

8.875% 10/01/13

 

 

 

295,000

 

295,737

 

Horizon PCS, Inc.

 

11.375% 07/15/12

 

 

 

190,000

 

220,400

 

iPCS Escrow Co.

 

11.500% 05/01/12

 

 

 

170,000

 

196,350

 

Nextel Communications, Inc.

 

7.375% 08/01/15

 

 

 

315,000

 

339,806

 

Nextel Partners, Inc.

 

8.125% 07/01/11

 

 

 

390,000

 

425,100

 

Rogers Cantel, Inc.

 

9.750% 06/01/16

 

 

 

385,000

 

469,700

 

Rogers Wireless, Inc.

 

8.000% 12/15/12

 

 

 

225,000

 

240,750

 

Rural Cellular Corp.

 

 

 

 

 

 

 

 

 

 

 

8.250% 03/15/12

 

 

 

320,000

 

337,600

 

 

 

9.750% 01/15/10

 

 

 

290,000

 

293,625

 

UbiquiTel Operating Co.

 

9.875% 03/01/11

 

 

 

220,000

 

245,300

 

US Unwired, Inc.

 

10.000% 06/15/12

 

 

 

500,000

 

580,000

 

 

 

 

 

 

 

 

 

4,489,331

 

Satellite Telecommunications – 2.2%

 

 

 

 

 

 

 

 

 

Inmarsat Finance II PLC

 

 

 

 

 

 

 

 

 

 

 

(a) 11/15/12

 

 

 

 

 

 

 

 

 

(10.375% 11/15/08)

 

 

 

425,000

 

354,875

 

Intelsat Bermuda Ltd.

 

8.250% 01/15/13(b)

 

 

 

455,000

 

464,100

 

Intelsat Ltd.

 

6.500% 11/01/13

 

 

 

215,000

 

167,700

 

PanAmSat Corp.

 

9.000% 08/15/14

 

 

 

501,000

 

528,555

 

Zeus Special Subsidiary Ltd.

 

 

 

 

 

 

 

 

 

 

 

(a) 02/01/15

 

 

 

 

 

 

 

 

 

(9.250% 02/01/10)(b)

 

 

 

330,000

 

221,100

 

 

 

 

 

 

 

 

 

1,736,330

 

Telecommunication Equipment – 0.4%

 

 

 

 

 

 

 

 

 

Lucent Technologies, Inc.

 

6.450% 03/15/29

 

 

 

335,000

 

294,381

 

 

 

 

 

 

 

 

 

294,381

 

Telecommunication Services – 1.7%

 

 

 

 

 

 

 

 

 

Axtel SA de CV

 

11.000% 12/15/13

 

 

 

415,000

 

458,575

 

Syniverse Technologies, Inc.

 

7.750% 08/15/13(b)

 

 

 

250,000

 

255,000

 

Time Warner Telecom Holdings, Inc.

 

9.250% 02/15/14

 

 

 

150,000

 

153,000

 

Time Warner Telecom, Inc.

 

 

 

 

 

 

 

 

 

 

 

9.750% 07/15/08

 

 

 

45,000

 

45,450

 

 

 

10.125% 02/01/11

 

 

 

425,000

 

437,750

 

 

 

 

 

 

 

 

 

1,349,775

 

 

4



 

 

 

 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

 

 

COMMUNICATIONS – (continued)

 

 

 

 

 

 

 

 

 

Telecommunication Services – (continued)

 

 

 

 

 

 

 

 

 

Telephone - Integrated – 5.0%

 

 

 

 

 

 

 

 

 

Cincinnati Bell, Inc.

 

7.000% 02/15/15

 

 

 

565,000

 

553,700

 

Citizens Communications Co.

 

9.000% 08/15/31

 

 

 

445,000

 

463,913

 

Qwest Communications International, Inc.

 

7.500% 02/15/14(b)

 

 

 

440,000

 

420,200

 

Qwest Corp.

 

 

 

 

 

 

 

 

 

 

 

7.500% 06/15/23

 

 

 

505,000

 

469,650

 

 

 

8.875% 03/15/12

 

 

 

630,000

 

690,638

 

Qwest Services Corp.

 

13.500% 12/15/10

 

 

 

965,000

 

1,115,781

 

US LEC Corp.

 

11.890% 10/01/09(c)

 

 

 

215,000

 

225,750

 

 

 

 

 

 

 

 

 

3,939,632

 

Wireless Equipment – 0.7%

 

 

 

 

 

 

 

 

 

American Towers, Inc.

 

7.250% 12/01/11

 

 

 

335,000

 

351,750

 

SBA Telecommunications, Inc.

 

 

 

 

 

 

 

 

 

 

 

(a) 12/15/11

 

 

 

 

 

 

 

 

 

(9.750% 12/15/07)

 

 

 

230,000

 

211,600

 

 

 

 

 

 

 

 

 

563,350

 

 

 

Telecommunication Services Total

 

12,372,799

 

 

 

COMMUNICATIONS TOTAL

 

21,200,789

 

CONSUMER CYCLICAL – 24.6%

 

 

 

 

 

 

 

 

 

Airlines – 1.0%

 

 

 

 

 

 

 

 

 

Airlines – 1.0%

 

 

 

 

 

 

 

 

 

Continental Airlines, Inc.

 

7.568% 12/01/06

 

 

 

570,000

 

532,950

 

Northwest Airlines, Inc.

 

9.875% 03/15/07(d)

 

 

 

520,000

 

257,400

 

 

 

 

 

 

 

 

 

790,350

 

 

 

 

 

 

 

Airlines Total

 

790,350

 

Apparel – 1.8%

 

 

 

 

 

 

 

 

 

Apparel Manufacturers – 1.8%

 

 

 

 

 

 

 

 

 

Broder Brothers Co.

 

11.250% 10/15/10

 

 

 

325,000

 

317,688

 

Levi Strauss & Co.

 

9.750% 01/15/15

 

 

 

645,000

 

682,087

 

Phillips-Van Heusen Corp.

 

 

 

 

 

 

 

 

 

 

 

7.250% 02/15/11

 

 

 

300,000

 

313,500

 

 

 

8.125% 05/01/13

 

 

 

60,000

 

64,800

 

 

 

 

 

 

 

 

 

1,378,075

 

 

 

 

 

 

 

Apparel Total

 

1,378,075

 

Auto Manufacturers – 1.6%

 

 

 

 

 

 

 

 

 

Auto - Cars / Light Trucks – 1.2%

 

 

 

 

 

 

 

 

 

Ford Motor Co.

 

7.450% 07/16/31

 

 

 

520,000

 

414,700

 

General Motors Corp.

 

8.375% 07/15/33

 

 

 

620,000

 

520,800

 

 

 

 

 

 

 

 

 

935,500

 

 

5



 

 

 

 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

 

 

CONSUMER CYCLICAL – (continued)

 

 

 

 

 

 

 

 

 

Auto Manufacturers – (continued)

 

 

 

 

 

 

 

 

 

Auto - Medium & Heavy Duty Trucks – 0.4%

 

 

 

 

 

 

 

 

 

Navistar International Corp.

 

7.500% 06/15/11

 

 

 

320,000

 

326,400

 

 

 

 

 

 

 

 

 

326,400

 

 

 

 

 

Auto Manufacturers Total

 

1,261,900

 

Auto Parts & Equipment – 3.0%

 

 

 

 

 

 

 

 

 

Auto / Truck Parts & Equipment - Original – 1.4%

 

 

 

 

 

 

 

 

 

Cooper-Standard Automotive, Inc.

 

8.375% 12/15/14

 

 

 

540,000

 

488,700

 

Delco Remy International, Inc.

 

9.375% 04/15/12

 

 

 

330,000

 

211,200

 

Dura Operating Corp.

 

 

 

 

 

 

 

 

 

 

 

8.625% 04/15/12

 

 

 

385,000

 

359,013

 

 

 

9.000% 05/01/09

 

 

 

95,000

 

76,950

 

 

 

 

 

 

 

 

 

1,135,863

 

Auto / Truck Parts & Equipment - Replacement – 0.7%

 

 

 

 

 

 

 

 

 

Commercial Vehicle Group

 

8.000% 07/01/13(b)

 

 

 

310,000

 

320,075

 

Rexnord Corp.

 

10.125% 12/15/12

 

 

 

200,000

 

218,500

 

 

 

 

 

 

 

 

 

538,575

 

Rubber - Tires – 0.9%

 

 

 

 

 

 

 

 

 

Goodyear Tire & Rubber Co.

 

9.000% 07/01/15(b)

 

 

 

695,000

 

705,425

 

 

 

 

 

 

 

 

 

705,425

 

 

 

Auto Parts & Equipment Total

 

2,379,863

 

Distribution / Wholesale – 0.2%

 

 

 

 

 

 

 

 

 

Distribution / Wholesale – 0.2%

 

 

 

 

 

 

 

 

 

Buhrmann US, Inc.

 

7.875% 03/01/15(b)

 

 

 

180,000

 

181,800

 

 

 

 

 

 

 

 

 

181,800

 

 

 

Distribution / Wholesale Total

 

181,800

 

Entertainment – 2.5%

 

 

 

 

 

 

 

 

 

Gambling (Non - Hotel) – 0.6%

 

 

 

 

 

 

 

 

 

Global Cash Access LLC

 

8.750% 03/15/12

 

 

 

440,000

 

471,900

 

 

 

 

 

 

 

 

 

471,900

 

Music – 0.8%

 

 

 

 

 

 

 

 

 

Steinway Musical Instruments, Inc.

 

8.750% 04/15/11

 

 

 

265,000

 

278,912

 

Warner Music Group

 

7.375% 04/15/14

 

 

 

380,000

 

386,650

 

 

 

 

 

 

 

 

 

665,562

 

Resorts / Theme Parks – 0.6%

 

 

 

 

 

 

 

 

 

Six Flags, Inc.

 

9.625% 06/01/14

 

 

 

430,000

 

434,300

 

 

 

 

 

 

 

 

 

434,300

 

Theaters – 0.5%

 

 

 

 

 

 

 

 

 

LCE Acquisition Corp.

 

9.000% 08/01/14(b)

 

 

 

385,000

 

378,263

 

 

 

 

 

 

 

 

 

378,263

 

 

 

 

 

 

Entertainment Total

1,950,025

 

 

6



 

 

 

 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

 

 

CONSUMER CYCLICAL – (continued)

 

 

 

 

 

 

 

 

 

Home Builders – 1.9%

 

 

 

 

 

 

 

 

 

Building - Residential / Commercial – 1.9%

 

 

 

 

 

 

 

 

 

D.R. Horton, Inc.

 

9.750% 09/15/10

 

 

 

415,000

 

481,400

 

K. Hovnanian Enterprises, Inc.

 

 

 

 

 

 

 

 

 

 

 

7.750% 05/15/13

 

 

 

100,000

 

104,500

 

 

 

8.875% 04/01/12

 

 

 

170,000

 

182,750

 

 

 

10.500% 10/01/07

 

 

 

340,000

 

374,850

 

Standard Pacific Corp.

 

 

 

 

 

 

 

 

 

 

 

7.000% 08/15/15

 

 

 

55,000

 

54,244

 

 

 

9.250% 04/15/12

 

 

 

275,000

 

301,812

 

 

 

 

 

 

 

 

 

1,499,556

 

 

 

 

 

Home Builders Total

 

1,499,556

 

Home Furnishings – 0.5%

 

 

 

 

 

 

 

 

 

Home Furnishings – 0.5%

 

 

 

 

 

 

 

 

 

WII Components, Inc.

 

10.000% 02/15/12

 

 

 

370,000

 

370,925

 

 

 

 

 

 

 

 

 

370,925

 

 

 

 

 

Home Furnishings Total

 

370,925

 

Leisure Time – 1.1%

 

 

 

 

 

 

 

 

 

Leisure & Recreational Products – 0.2%

 

 

 

 

 

 

 

 

 

K2, Inc.

 

7.375% 07/01/14

 

 

 

115,000

 

119,025

 

 

 

 

 

 

 

 

 

119,025

 

Recreational Centers – 0.9%

 

 

 

 

 

 

 

 

 

Equinox Holdings, Inc.

 

9.000% 12/15/09

 

 

 

405,000

 

421,200

 

Town Sports International, Inc.

 

 

 

 

 

 

 

 

 

 

 

(a) 02/01/14

 

 

 

 

 

 

 

 

 

(11.000% 02/01/09)

 

 

 

435,000

 

300,150

 

 

 

 

 

 

 

 

 

721,350

 

 

 

 

 

Leisure Time Total

 

840,375

 

Lodging – 7.5%

 

 

 

 

 

 

 

 

 

Casino Hotels – 7.5%

 

 

 

 

 

 

 

 

 

Caesars Entertainment, Inc.

 

9.375% 02/15/07

 

 

 

435,000

 

461,644

 

Circus & Eldorado/Silver Legacy Capital Corp.

 

10.125% 03/01/12

 

 

 

355,000

 

374,525

 

Eldorado Casino Shreveport/Shreveport Capital Corp.

 

10.000% 08/01/12

 

 

 

719,748

 

712,551

 

Hard Rock Hotel, Inc.

 

8.875% 06/01/13

 

 

 

440,000

 

477,400

 

Inn of the Mountain Gods Resort & Casino

 

12.000% 11/15/10

 

 

 

325,000

 

373,750

 

MGM Mirage

 

 

 

 

 

 

 

 

 

 

 

6.750% 09/01/12

 

 

 

480,000

 

493,200

 

 

 

8.500% 09/15/10

 

 

 

115,000

 

126,500

 

Mohegan Tribal Gaming Authority

 

6.125% 02/15/13

 

 

 

210,000

 

212,625

 

Penn National Gaming, Inc.

 

6.750% 03/01/15

 

 

 

550,000

 

550,000

 

 

7



 

 

 

 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

 

 

CONSUMER CYCLICAL – (continued)

 

 

 

 

 

 

 

 

 

Lodging – (continued)

 

 

 

 

 

 

 

 

 

Casino Hotels – (continued)

 

 

 

 

 

 

 

 

 

Pinnacle Entertainment, Inc.

 

8.750% 10/01/13

 

 

 

790,000

 

837,400

 

River Rock Entertainment

 

9.750% 11/01/11

 

 

 

195,000

 

214,012

 

Seneca Gaming Corp.

 

7.250% 05/01/12

 

 

 

285,000

 

295,687

 

Station Casinos, Inc.

 

6.875% 03/01/16

 

 

 

95,000

 

97,138

 

Virgin River Casino Corp.

 

 

 

 

 

 

 

 

 

 

 

(a) 01/15/13

 

 

 

 

 

 

 

 

 

(12.750% 01/15/09)(b)

 

 

 

160,000

 

113,600

 

 

 

9.000% 01/15/12(b)

 

 

 

133,000

 

139,650

 

Wynn Las Vegas LLC

 

6.625% 12/01/14

 

 

 

450,000

 

437,062

 

 

 

 

 

 

 

 

 

5,916,744

 

 

 

 

 

 

 

Lodging Total

 

5,916,744

 

Retail – 3.2%

 

 

 

 

 

 

 

 

 

Retail - Automobiles – 0.4%

 

 

 

 

 

 

 

 

 

Asbury Automotive Group, Inc.

 

8.000% 03/15/14

 

 

 

320,000

 

318,400

 

 

 

 

 

 

 

 

 

318,400

 

Retail - Drug Stores – 0.8%

 

 

 

 

 

 

 

 

 

Jean Coutu Group, Inc. (PJC)

 

8.500% 08/01/14

 

 

 

240,000

 

245,700

 

Rite Aid Corp.

 

 

 

 

 

 

 

 

 

 

 

7.500% 01/15/15

 

 

 

115,000

 

110,400

 

 

 

9.250% 06/01/13

 

 

 

255,000

 

247,350

 

 

 

 

 

 

 

 

 

603,450

 

Retail - Home Furnishings – 0.4%

 

 

 

 

 

 

 

 

 

Tempur-Pedic, Inc.

 

10.250% 08/15/10

 

 

 

322,000

 

360,640

 

 

 

 

 

 

 

 

 

360,640

 

Retail - Jewelry – 0.3%

 

 

 

 

 

 

 

 

 

Finlay Fine Jewelry Corp.

 

8.375% 06/01/12

 

 

 

255,000

 

237,150

 

 

 

 

 

 

 

 

 

237,150

 

Retail - Propane Distributors – 0.6%

 

 

 

 

 

 

 

 

 

Ferrellgas Partners LP

 

8.750% 06/15/12

 

 

 

300,000

 

310,500

 

Suburban Propane Partners LP

 

6.875% 12/15/13(b)

 

 

 

175,000

 

169,312

 

 

 

 

 

 

 

 

 

479,812

 

Retail - Restaurants – 0.4%

 

 

 

 

 

 

 

 

 

Landry’s Restaurants, Inc.

 

7.500% 12/15/14

 

 

 

295,000

 

287,625

 

 

 

 

 

 

 

 

 

287,625

 

Retail - Video Rental – 0.3%

 

 

 

 

 

 

 

 

 

Movie Gallery, Inc.

 

11.000% 05/01/12(b)

 

 

 

250,000

 

255,000

 

 

 

 

 

 

 

 

 

255,000

 

 

 

 

 

 

 

Retail Total

 

2,542,077

 

 

8



 

 

 

 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

 

 

CONSUMER CYCLICAL – (continued)

 

 

 

 

 

 

 

 

 

Textiles – 0.3%

 

 

 

 

 

 

 

 

 

Textile - Products – 0.3%

 

 

 

 

 

 

 

 

 

INVISTA

 

9.250% 05/01/12(b)

 

 

 

235,000

 

257,325

 

 

 

 

 

 

 

 

 

257,325

 

 

 

Textiles Total

 

257,325

 

 

 

CONSUMER CYCLICAL TOTAL

 

19,369,015

 

CONSUMER NON-CYCLICAL – 18.0%

 

 

 

 

 

 

 

 

 

Agriculture – 0.3%

 

 

 

 

 

 

 

 

 

Tobacco – 0.3%

 

 

 

 

 

 

 

 

 

Alliance One International, Inc.

 

11.000% 05/15/12(b)

 

 

 

245,000

 

245,000

 

 

 

 

 

 

 

 

 

245,000

 

 

 

 

 

Agriculture Total

 

245,000

 

Beverages – 0.3%

 

 

 

 

 

 

 

 

 

Beverages - Wine / Spirits – 0.3%

 

 

 

 

 

 

 

 

 

Constellation Brands, Inc.

 

8.125% 01/15/12

 

 

 

245,000

 

260,619

 

 

 

 

 

 

 

 

 

260,619

 

 

 

 

 

 

 

Beverages Total

 

260,619

 

Biotechnology – 0.4%

 

 

 

 

 

 

 

 

 

Medical - Biomedical / Gene – 0.4%

 

 

 

 

 

 

 

 

 

Bio-Rad Laboratories, Inc.

 

7.500% 08/15/13

 

 

 

340,000

 

360,400

 

 

 

 

 

 

 

 

 

360,400

 

 

 

 

 

Biotechnology Total

 

360,400

 

Commercial Services – 5.3%

 

 

 

 

 

 

 

 

 

Commercial Services – 0.9%

 

 

 

 

 

 

 

 

 

Iron Mountain, Inc.

 

7.750% 01/15/15

 

 

 

350,000

 

358,750

 

Language Line Holdings, Inc.

 

11.125% 06/15/12

 

 

 

260,000

 

245,700

 

Mac-Gray Corp.

 

7.625% 08/15/15(b)

 

 

 

90,000

 

92,925

 

 

 

 

 

 

 

 

 

697,375

 

Commercial Services - Finance – 0.6%

 

 

 

 

 

 

 

 

 

Dollar Financial Group, Inc.

 

9.750% 11/15/11

 

 

 

490,000

 

510,825

 

 

 

 

 

 

 

 

 

510,825

 

Consulting Services – 0.3%

 

 

 

 

 

 

 

 

 

FTI Consulting

 

7.625% 06/15/13(b)

 

 

 

200,000

 

204,000

 

 

 

 

 

 

 

 

 

204,000

 

Funeral Services & Related Items – 0.5%

 

 

 

 

 

 

 

 

 

Service Corp. International

 

7.700% 04/15/09

 

 

 

405,000

 

425,250

 

 

 

 

 

 

 

 

 

425,250

 

Printing - Commercial – 0.7%

 

 

 

 

 

 

 

 

 

Sheridan Group

 

10.250% 08/15/11

 

 

 

250,000

 

262,500

 

Vertis, Inc.

 

13.500% 12/07/09(b)

 

 

 

320,000

 

281,600

 

 

 

 

 

 

 

 

 

544,100

 

 

9



 

 

 

 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

 

 

CONSUMER NON-CYCLICAL – (continued)

 

 

 

 

 

 

 

Commercial Services – (continued)

 

 

 

 

 

 

 

 

 

Private Corrections – 1.0%

 

 

 

 

 

 

 

 

 

Corrections Corp. of America

 

6.250% 03/15/13

 

 

 

360,000

 

355,500

 

GEO Group, Inc.

 

8.250% 07/15/13

 

 

 

405,000

 

398,925

 

 

 

 

 

 

 

 

 

754,425

 

Rental Auto / Equipment – 1.3%

 

 

 

 

 

 

 

 

 

Ashtead Holdings PLC

 

8.625% 08/01/15(b)

 

 

 

230,000

 

240,350

 

NationsRent, Inc.

 

 

 

 

 

 

 

 

 

 

 

9.500% 10/15/10

 

 

 

275,000

 

301,125

 

 

 

9.500% 05/01/15

 

 

 

250,000

 

260,000

 

Williams Scotsman, Inc.

 

9.875% 06/01/07

 

 

 

230,000

 

228,850

 

 

 

 

 

 

 

 

 

1,030,325

 

 

 

 

 

Commercial Services Total

 

4,166,300

 

Cosmetics / Personal Care – 1.2%

 

 

 

 

 

 

 

 

 

Cosmetics & Toiletries – 1.2%

 

 

 

 

 

 

 

 

 

DEL Laboratories, Inc.

 

8.000% 02/01/12

 

 

 

405,000

 

345,262

 

Elizabeth Arden, Inc.

 

7.750% 01/15/14

 

 

 

245,000

 

257,863

 

Revlon Consumer Products Corp.

 

 

 

 

 

 

 

 

 

 

 

8.625% 02/01/08

 

 

 

110,000

 

107,250

 

 

 

9.500% 04/01/11

 

 

 

265,000

 

255,063

 

 

 

 

 

 

 

 

 

965,438

 

 

 

Cosmetics / Personal Care Total

 

965,438

 

Food – 2.4%

 

 

 

 

 

 

 

 

 

Food - Confectionery – 0.4%

 

 

 

 

 

 

 

 

 

Merisant Co.

 

10.250% 07/15/13(b)

 

 

 

215,000

 

148,350

 

Tabletop Holdings, Inc.

 

 

 

 

 

 

 

 

 

 

 

(a) 05/15/14

 

 

 

 

 

 

 

 

 

(12.250% 11/15/08)(b)

 

 

 

755,000

 

120,800

 

 

 

 

 

 

 

 

 

269,150

 

Food - Miscellaneous / Diversified – 1.3%

 

 

 

 

 

 

 

 

 

Dole Food Co., Inc.

 

8.625% 05/01/09

 

 

 

372,000

 

396,180

 

Pinnacle Foods Holding Corp.

 

8.250% 12/01/13

 

 

 

470,000

 

453,550

 

Reddy Ice Holdings, Inc.

 

 

 

 

 

 

 

 

 

 

 

(a) 11/01/12

 

 

 

 

 

 

 

 

 

(10.500% 11/01/08)(b)

 

 

 

230,000

 

177,100

 

 

 

 

 

 

 

 

 

1,026,830

 

Food - Retail – 0.7%

 

 

 

 

 

 

 

 

 

Stater Brothers Holdings, Inc.

 

8.125% 06/15/12

 

 

 

555,000

 

567,488

 

 

 

 

 

 

 

 

 

567,488

 

 

 

 

 

 

 

Food Total

 

1,863,468

 

 

10



 

 

 

 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

 

 

CONSUMER NON-CYCLICAL – (continued)

 

 

 

 

 

 

 

Healthcare Services – 4.5%

 

 

 

 

 

 

 

 

 

Dialysis Centers – 0.3%

 

 

 

 

 

 

 

 

 

DaVita, Inc.

 

7.250% 03/15/15(b)

 

 

 

270,000

 

275,400

 

 

 

 

 

 

 

 

 

275,400

 

Medical - HMO – 0.5%

 

 

 

 

 

 

 

 

 

Coventry Health Care, Inc.

 

8.125% 02/15/12

 

 

 

340,000

 

365,500

 

 

 

 

 

 

 

 

 

365,500

 

Medical - Hospitals – 0.9%

 

 

 

 

 

 

 

 

 

Tenet Healthcare Corp.

 

9.875% 07/01/14

 

 

 

630,000

 

674,100

 

 

 

 

 

 

 

 

 

674,100

 

Medical - Outpatient / Home Medical – 0.3%

 

 

 

 

 

 

 

 

 

Select Medical Corp.

 

7.625% 02/01/15

 

 

 

210,000

 

204,225

 

 

 

 

 

 

 

 

 

204,225

 

MRI / Medical Diagnostic Imaging – 1.8%

 

 

 

 

 

 

 

 

 

InSight Health Services Corp.

 

9.875% 11/01/11

 

 

 

520,000

 

460,200

 

MedQuest, Inc.

 

11.875% 08/15/12

 

 

 

450,000

 

475,875

 

MQ Associates, Inc.

 

 

 

 

 

 

 

 

 

 

 

(a) 08/15/12

 

 

 

 

 

 

 

 

 

(12.250% 08/15/08)

 

 

 

805,000

 

483,000

 

 

 

 

 

 

 

 

 

1,419,075

 

Physician Practice Management – 0.7%

 

 

 

 

 

 

 

 

 

US Oncology Holdings, Inc.

 

8.620% 03/15/15(b)(c)

 

 

 

145,000

 

143,912

 

US Oncology, Inc.

 

9.000% 08/15/12

 

 

 

390,000

 

429,000

 

 

 

 

 

 

 

 

 

572,912

 

 

 

 

 

Healthcare Services Total

 

3,511,212

 

Household Products / Wares – 1.8%

 

 

 

 

 

 

 

 

 

Consumer Products - Miscellaneous – 1.4%

 

 

 

 

 

 

 

 

 

Amscan Holdings, Inc.

 

8.750% 05/01/14

 

 

 

495,000

 

471,487

 

Jostens IH Corp.

 

7.625% 10/01/12

 

 

 

280,000

 

287,700

 

Playtex Products, Inc.

 

9.375% 06/01/11

 

 

 

340,000

 

359,550

 

 

 

 

 

 

 

 

 

1,118,737

 

Office Supplies & Forms – 0.4%

 

 

 

 

 

 

 

 

 

ACCO Brands Corp.

 

7.625% 08/15/15(b)

 

 

 

270,000

 

271,013

 

 

 

 

 

 

 

 

 

271,013

 

 

 

Household Products / Wares Total

 

1,389,750

 

Pharmaceuticals – 1.8%

 

 

 

 

 

 

 

 

 

Medical - Drugs – 0.9%

 

 

 

 

 

 

 

 

 

Elan Finance PLC

 

7.750% 11/15/11(b)

 

 

 

495,000

 

436,837

 

Warner Chilcott Corp.

 

8.750% 02/01/15(b)

 

 

 

270,000

 

267,300

 

 

 

 

 

 

 

 

 

704,137

 

 

11



 

 

 

 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

 

 

CONSUMER NON-CYCLICAL – (continued)

 

 

 

 

 

 

 

Pharmaceuticals – (continued)

 

 

 

 

 

 

 

 

 

Medical - Generic Drugs – 0.4%

 

 

 

 

 

 

 

 

 

Mylan Laboratories, Inc.

 

6.375% 08/15/15(b)

 

 

 

345,000

 

345,863

 

 

 

 

 

 

 

 

 

345,863

 

Medical - Wholesale Drug Distribution – 0.5%

 

 

 

 

 

 

 

 

 

Nycomed A/S, PIK

 

11.750% 09/15/13(b)

 

EUR

 

305,000

 

379,733

 

 

 

 

 

 

 

 

 

379,733

 

 

 

 

 

Pharmaceuticals Total

 

1,429,733

 

 

 

CONSUMER NON-CYCLICAL TOTAL

 

14,191,920

 

ENERGY – 8.5%

 

 

 

 

 

 

 

 

 

Coal – 0.5%

 

 

 

 

 

 

 

 

 

Coal – 0.5%

 

 

 

 

 

 

 

 

 

Arch Western Finance LLC

 

6.750% 07/01/13

 

USD

 

375,000

 

383,438

 

 

 

 

 

 

 

 

 

383,438

 

 

 

 

 

 

 

Coal Total

 

383,438

 

Oil & Gas – 3.9%

 

 

 

 

 

 

 

 

 

Oil & Gas Drilling – 0.3%

 

 

 

 

 

 

 

 

 

Pride International, Inc.

 

7.375% 07/15/14

 

 

 

220,000

 

237,600

 

 

 

 

 

 

 

 

 

237,600

 

Oil Companies - Exploration & Production – 3.3%

 

 

 

 

 

 

 

 

 

Chesapeake Energy Corp.

 

 

 

 

 

 

 

 

 

 

 

6.375% 06/15/15

 

 

 

145,000

 

147,538

 

 

 

7.500% 06/15/14

 

 

 

230,000

 

248,400

 

Compton Petroleum Corp.

 

9.900% 05/15/09

 

 

 

475,000

 

514,187

 

Delta Petroleum Corp.

 

7.000% 04/01/15(b)

 

 

 

200,000

 

192,500

 

Energy Partners Ltd.

 

8.750% 08/01/10

 

 

 

205,000

 

217,300

 

Forest Oil Corp.

 

8.000% 12/15/11

 

 

 

220,000

 

242,000

 

Magnum Hunter Resources, Inc.

 

9.600% 03/15/12

 

 

 

283,000

 

314,130

 

Pogo Producing Co.

 

6.625% 03/15/15(b)

 

 

 

225,000

 

231,750

 

Whiting Petroleum Corp.

 

7.250% 05/01/12

 

 

 

445,000

 

449,450

 

 

 

 

 

 

 

 

 

2,557,255

 

Oil Refining & Marketing – 0.3%

 

 

 

 

 

 

 

 

 

Premcor Refining Group, Inc.

 

7.500% 06/15/15

 

 

 

235,000

 

254,094

 

 

 

 

 

 

 

 

 

254,094

 

 

 

 

 

 

 

Oil & Gas Total

 

3,048,949

 

Oil & Gas Services – 0.3%

 

 

 

 

 

 

 

 

 

Oil - Field Services – 0.3%

 

 

 

 

 

 

 

 

 

Newpark Resources, Inc.

 

8.625% 12/15/07

 

 

 

270,000

 

268,650

 

 

 

 

 

 

 

 

 

268,650

 

 

 

 

 

Oil & Gas Services Total

 

268,650

 

 

12



 

 

 

 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

 

 

ENERGY – (continued)

 

 

 

 

 

 

 

 

 

Pipelines – 3.8%

 

 

 

 

 

 

 

 

 

Pipelines – 3.8%

 

 

 

 

 

 

 

 

 

Coastal Corp.

 

7.625% 09/01/08

 

 

 

215,000

 

218,762

 

Dynegy Holdings, Inc.

 

 

 

 

 

 

 

 

 

 

 

6.875% 04/01/11

 

 

 

300,000

 

298,500

 

 

 

9.875% 07/15/10(b)

 

 

 

360,000

 

392,400

 

Northwest Pipeline Corp.

 

8.125% 03/01/10

 

 

 

130,000

 

139,750

 

Sonat, Inc.

 

7.625% 07/15/11

 

 

 

1,350,000

 

1,373,625

 

Southern Natural Gas Co.

 

8.875% 03/15/10

 

 

 

250,000

 

271,875

 

Williams Companies, Inc.

 

8.125% 03/15/12

 

 

 

310,000

 

345,650

 

 

 

 

 

 

 

 

 

3,040,562

 

 

 

 

 

 

 

Pipelines Total

 

3,040,562

 

 

 

 

 

ENERGY TOTAL

 

6,741,599

 

FINANCIALS – 4.5%

 

 

 

 

 

 

 

 

 

Diversified Financial Services – 3.7%

 

 

 

 

 

 

 

 

 

Finance - Auto Loans – 0.9%

 

 

 

 

 

 

 

 

 

Ford Motor Credit Co.

 

7.375% 02/01/11

 

 

 

40,000

 

39,327

 

General Motors Acceptance Corp.

 

 

 

 

 

 

 

 

 

 

 

6.875% 09/15/11

 

 

 

250,000

 

236,645

 

 

 

6.875% 08/28/12

 

 

 

460,000

 

430,919

 

 

 

 

 

 

 

 

 

706,891

 

Finance - Investment Banker / Broker – 1.5%

 

 

 

 

 

 

 

 

 

E*Trade Financial Corp.

 

8.000% 06/15/11

 

 

 

275,000

 

288,063

 

LaBranche & Co., Inc.

 

11.000% 05/15/12

 

 

 

775,000

 

858,312

 

 

 

 

 

 

 

 

 

1,146,375

 

Special Purpose Entity – 1.3%

 

 

 

 

 

 

 

 

 

Dow Jones CDX High Yield Index

 

8.250% 06/29/10(b)

 

 

 

990,000

 

1,005,469

 

 

 

 

 

 

 

 

 

1,005,469

 

 

 

Diversified Financial Services Total

 

2,858,735

 

Real Estate Investment Trusts – 0.4%

 

 

 

 

 

 

 

 

 

REITs - Hotels – 0.1%

 

 

 

 

 

 

 

 

 

La Quinta Properties, Inc.

 

7.000% 08/15/12

 

 

 

110,000

 

114,125

 

 

 

 

 

 

 

 

 

114,125

 

REITs - Mortgage – 0.3%

 

 

 

 

 

 

 

 

 

Thornburg Mortgage, Inc.

 

8.000% 05/15/13

 

 

 

225,000

 

229,781

 

 

 

 

 

 

 

 

 

229,781

 

 

 

Real Estate Investment Trusts Total

 

343,906

 

 

13



 

 

 

 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

 

 

FINANCIALS – (continued)

 

 

 

 

 

 

 

 

 

Savings & Loans – 0.4%

 

 

 

 

 

 

 

 

 

Savings & Loans / Thrifts - Western US – 0.4%

 

 

 

 

 

 

 

 

 

Western Financial Bank

 

9.625% 05/15/12

 

 

 

255,000

 

288,150

 

 

 

 

 

 

 

 

 

288,150

 

 

 

 

 

Savings & Loans Total

 

288,150

 

 

 

 

 

FINANCIALS TOTAL

 

3,846,091

 

INDUSTRIALS – 20.9%

 

 

 

 

 

 

 

 

 

Aerospace & Defense – 2.5%

 

 

 

 

 

 

 

 

 

Aerospace / Defense - Equipment – 2.0%

 

 

 

 

 

 

 

 

 

Argo-Tech Corp.

 

9.250% 06/01/11

 

 

 

285,000

 

311,719

 

BE Aerospace, Inc.

 

8.875% 05/01/11

 

 

 

375,000

 

395,625

 

Sequa Corp.

 

 

 

 

 

 

 

 

 

 

 

8.875% 04/01/08

 

 

 

185,000

 

197,487

 

 

 

9.000% 08/01/09

 

 

 

160,000

 

176,000

 

Standard Aero Holdings, Inc.

 

8.250% 09/01/14

 

 

 

265,000

 

266,325

 

TransDigm, Inc.

 

8.375% 07/15/11

 

 

 

250,000

 

264,375

 

 

 

 

 

 

 

 

 

1,611,531

 

Electronics - Military – 0.5%

 

 

 

 

 

 

 

 

 

L-3 Communications Corp.

 

6.375% 10/15/15(b)

 

 

 

360,000

 

366,300

 

 

 

 

 

 

 

 

 

366,300

 

 

 

 

 

Aerospace & Defense Total

 

1,977,831

 

Building Materials – 1.2%

 

 

 

 

 

 

 

 

 

Building & Construction Products - Miscellaneous – 0.7%

 

 

 

 

 

 

 

 

 

Associated Materials, Inc.

 

 

 

 

 

 

 

 

 

 

 

(a) 03/01/14

 

 

 

 

 

 

 

 

 

(11.250% 03/01/09)

 

 

 

290,000

 

169,650

 

Nortek, Inc.

 

8.500% 09/01/14

 

 

 

200,000

 

193,000

 

NTK Holdings, Inc.

 

 

 

 

 

 

 

 

 

 

 

(a) 03/01/14

 

 

 

 

 

 

 

 

 

(10.750% 09/01/09)(b)

 

 

 

295,000

 

171,100

 

 

 

 

 

 

 

 

 

533,750

 

Building Products - Cement / Aggregation – 0.5%

 

 

 

 

 

 

 

 

 

RMCC Acquisition Co.

 

9.500% 11/01/12(b)

 

 

 

370,000

 

373,700

 

 

 

 

 

 

 

 

 

373,700

 

 

 

 

 

Building Materials Total

 

907,450

 

Electrical Components & Equipment – 0.4%

 

 

 

 

 

 

 

 

 

Wire & Cable Products – 0.4%

 

 

 

 

 

 

 

 

 

Coleman Cable, Inc.

 

9.875% 10/01/12(b)

 

 

 

350,000

 

315,000

 

 

 

 

 

 

 

 

 

315,000

 

 

 

Electrical Components & Equipment Total

 

315,000

 

 

14



 

 

 

 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

 

 

INDUSTRIALS – (continued)

 

 

 

 

 

 

 

 

 

Electronics – 0.8%

 

 

 

 

 

 

 

 

 

Electronic Components - Miscellaneous – 0.8%

 

 

 

 

 

 

 

 

 

Flextronics International Ltd.

 

6.250% 11/15/14

 

 

 

235,000

 

232,650

 

Sanmina-SCI Corp.

 

6.750% 03/01/13

 

 

 

420,000

 

401,100

 

 

 

 

 

 

 

 

 

633,750

 

 

 

 

 

Electronics Total

 

633,750

 

Engineering & Construction – 0.6%

 

 

 

 

 

 

 

 

 

Building & Construction - Miscellaneous – 0.6%

 

 

 

 

 

 

 

 

 

J. Ray McDermott SA

 

11.500% 12/15/13(b)

 

 

 

445,000

 

507,300

 

 

 

 

 

 

 

 

 

507,300

 

 

 

Engineering & Construction Total

 

507,300

 

Environmental Control – 1.6%

 

 

 

 

 

 

 

 

 

Non - Hazardous Waste Disposal – 1.4%

 

 

 

 

 

 

 

 

 

Allied Waste North America, Inc.

 

 

 

 

 

 

 

 

 

 

 

7.250% 03/15/15(b)

 

 

 

225,000

 

222,188

 

 

 

7.875% 04/15/13

 

 

 

335,000

 

345,050

 

 

 

8.500% 12/01/08

 

 

 

255,000

 

269,025

 

Waste Services, Inc.

 

9.500% 04/15/14(b)

 

 

 

305,000

 

304,237

 

 

 

 

 

 

 

 

 

1,140,500

 

Recycling – 0.2%

 

 

 

 

 

 

 

 

 

Aleris International, Inc.

 

9.000% 11/15/14

 

 

 

120,000

 

127,800

 

 

 

 

 

 

 

 

 

127,800

 

 

 

Environmental Control Total

 

1,268,300

 

Hand / Machine Tools – 0.2%

 

 

 

 

 

 

 

 

 

Machine Tools & Related Products – 0.2%

 

 

 

 

 

 

 

 

 

Newcor, Inc.

 

 

 

 

 

 

 

 

 

 

 

6.000% 01/31/13

 

 

 

 

 

 

 

 

 

(7.500% 01/31/08)(f)(g)

 

 

 

215,562

 

137,960

 

 

 

 

 

 

 

 

 

137,960

 

 

 

 

 

Hand / Machine Tools Total

 

137,960

 

Machinery - Diversified – 1.3%

 

 

 

 

 

 

 

 

 

Machinery - General Industry – 0.5%

 

 

 

 

 

 

 

 

 

Douglas Dynamics LLC

 

7.750% 01/15/12(b)

 

 

 

370,000

 

373,700

 

 

 

 

 

 

 

 

 

373,700

 

Machinery - Material Handling – 0.8%

 

 

 

 

 

 

 

 

 

Columbus McKinnon Corp.

 

 

 

 

 

 

 

 

 

 

 

8.500% 04/01/08

 

 

 

225,000

 

223,875

 

 

 

8.875% 11/01/13(b)(h)

 

 

 

445,000

 

451,119

 

 

 

 

 

 

 

 

 

674,994

 

 

 

Machinery - Diversified Total

 

1,048,694

 

 

15



 

 

 

 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

 

 

INDUSTRIALS – (continued)

 

 

 

 

 

 

 

 

 

Metal Fabricate / Hardware – 1.9%

 

 

 

 

 

 

 

 

 

Metal Processors & Fabrication – 1.4%

 

 

 

 

 

 

 

 

 

Altra Industrial Motion, Inc.

 

9.000% 12/01/11(b)

 

 

 

250,000

 

245,000

 

Mueller Group, Inc.

 

10.000% 05/01/12

 

 

 

225,000

 

239,062

 

Mueller Holdings, Inc.

 

 

 

 

 

 

 

 

 

 

 

(a) 04/15/14

 

 

 

 

 

 

 

 

 

(14.750% 04/15/09)

 

 

 

295,000

 

219,775

 

TriMas Corp.

 

9.875% 06/15/12

 

 

 

445,000

 

380,475

 

 

 

 

 

 

 

 

 

1,084,312

 

Metal Products - Fasteners – 0.5%

 

 

 

 

 

 

 

 

 

FastenTech, Inc.

 

11.500% 05/01/11

 

 

 

400,000

 

424,000

 

 

 

 

 

 

 

 

 

424,000

 

 

 

Metal Fabricate / Hardware Total

 

1,508,312

 

Miscellaneous Manufacturing – 2.4%

 

 

 

 

 

 

 

 

 

Diversified Manufacturing Operators – 1.8%

 

 

 

 

 

 

 

 

 

Bombardier, Inc.

 

6.300% 05/01/14(b)

 

 

 

640,000

 

582,400

 

J.B. Poindexter & Co.

 

8.750% 03/15/14

 

 

 

350,000

 

332,500

 

Koppers Industries, Inc.

 

9.875% 10/15/13

 

 

 

310,000

 

344,100

 

Trinity Industries, Inc.

 

6.500% 03/15/14

 

 

 

165,000

 

161,700

 

 

 

 

 

 

 

 

 

1,420,700

 

Filtration / Separate Products – 0.2%

 

 

 

 

 

 

 

 

 

Polypore International, Inc.

 

 

 

 

 

 

 

 

 

 

 

(a) 10/01/12

 

 

 

 

 

 

 

 

 

(10.500% 10/01/08)

 

 

 

255,000

 

151,725

 

 

 

 

 

 

 

 

 

151,725

 

Miscellaneous Manufacturing – 0.4%

 

 

 

 

 

 

 

 

 

Samsonite Corp.

 

8.875% 06/01/11

 

 

 

295,000

 

315,650

 

 

 

 

 

 

 

 

 

315,650

 

 

 

Miscellaneous Manufacturing Total

 

1,888,075

 

Packaging & Containers – 3.8%

 

 

 

 

 

 

 

 

 

Containers - Metal / Glass – 1.6%

 

 

 

 

 

 

 

 

 

Crown European Holdings SA

 

10.875% 03/01/13

 

 

 

255,000

 

300,900

 

Owens-Brockway Glass Container, Inc.

 

 

 

 

 

 

 

 

 

 

 

6.750% 12/01/14

 

 

 

200,000

 

199,500

 

 

 

8.250% 05/15/13

 

 

 

600,000

 

642,000

 

Owens-Illinois, Inc.

 

7.500% 05/15/10

 

 

 

130,000

 

134,550

 

 

 

 

 

 

 

 

 

1,276,950

 

Containers - Paper / Plastic – 2.2%

 

 

 

 

 

 

 

 

 

Consolidated Container Co. LLC

 

 

 

 

 

 

 

 

 

 

 

(a) 06/15/09

 

 

 

 

 

 

 

 

 

(10.750% 06/15/07)

 

 

 

280,000

 

229,600

 

 

16



 

 

 

 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

 

 

INDUSTRIALS – (continued)

 

 

 

 

 

 

 

 

 

Packaging & Containers – (continued)

 

 

 

 

 

 

 

 

 

Containers - Paper / Plastic – (continued)

 

 

 

 

 

 

 

 

 

Jefferson Smurfit Corp.

 

 

 

 

 

 

 

 

 

 

 

8.250% 10/01/12

 

 

 

450,000

 

446,625

 

 

 

PIK,

 

 

 

 

 

 

 

 

 

11.500% 10/01/15(b)

 

EUR

 

348,573

 

408,202

 

MDP Acquisitions PLC

 

9.625% 10/01/12

 

USD

 

365,000

 

372,300

 

Portola Packaging, Inc.

 

8.250% 02/01/12

 

 

 

295,000

 

228,625

 

 

 

 

 

 

 

 

 

1,685,352

 

 

 

Packaging & Containers Total

 

2,962,302

 

Transportation – 4.2%

 

 

 

 

 

 

 

 

 

Transportation - Marine – 2.0%

 

 

 

 

 

 

 

 

 

Ship Finance International Ltd.

 

8.500% 12/15/13

 

 

 

720,000

 

702,000

 

Stena AB

 

 

 

 

 

 

 

 

 

 

 

7.500% 11/01/13

 

 

 

500,000

 

500,000

 

 

 

9.625% 12/01/12

 

 

 

355,000

 

390,500

 

 

 

 

 

 

 

 

 

1,592,500

 

Transportation - Railroad – 0.7%

 

 

 

 

 

 

 

 

 

TFM SA de CV

 

 

 

 

 

 

 

 

 

 

 

9.375% 05/01/12(b)

 

 

 

375,000

 

404,062

 

 

 

12.500% 06/15/12

 

 

 

100,000

 

117,000

 

 

 

 

 

 

 

 

 

521,062

 

Transportation - Services – 1.0%

 

 

 

 

 

 

 

 

 

CHC Helicopter Corp.

 

 

 

 

 

 

 

 

 

 

 

7.375% 05/01/14

 

 

 

200,000

 

206,000

 

 

 

7.375% 05/01/14(b)

 

 

 

250,000

 

257,500

 

Petroleum Helicopters, Inc.

 

9.375% 05/01/09

 

 

 

320,000

 

339,200

 

 

 

 

 

 

 

 

 

802,700

 

Transportation - Trucks – 0.5%

 

 

 

 

 

 

 

 

 

QDI LLC

 

9.000% 11/15/10

 

 

 

400,000

 

368,000

 

 

 

 

 

 

 

 

 

368,000

 

 

 

 

 

Transportation Total

 

3,284,262

 

 

 

 

 

INDUSTRIALS TOTAL

 

16,439,236

 

TECHNOLOGY – 0.3%

 

 

 

 

 

 

 

 

 

Semiconductors – 0.3%

 

 

 

 

 

 

 

 

 

Electronic Components - Semiconductors – 0.3%

 

 

 

 

 

 

 

 

 

Amkor Technology, Inc.

 

9.250% 02/15/08

 

 

 

265,000

 

247,775

 

 

 

 

 

 

 

 

 

247,775

 

 

 

 

 

Semiconductors Total

 

247,775

 

 

 

 

 

TECHNOLOGY TOTAL

 

247,775

 

 

17



 

 

 

 

 

 

 

Par ($)

 

Value ($)

 

Corporate Fixed-Income Bonds & Notes – (continued)

 

 

 

 

 

 

 

UTILITIES – 7.3%

 

 

 

 

 

 

 

 

 

Electric – 7.3%

 

 

 

 

 

 

 

 

 

Electric - Generation – 1.8%

 

 

 

 

 

 

 

 

 

AES Corp.

 

 

 

 

 

 

 

 

 

 

 

9.000% 05/15/15(b)

 

 

 

110,000

 

121,550

 

 

 

9.500% 06/01/09

 

 

 

455,000

 

500,500

 

Edison Mission Energy

 

9.875% 04/15/11

 

 

 

480,000

 

566,400

 

Texas Genco LLC

 

6.875% 12/15/14(b)

 

 

 

245,000

 

254,800

 

 

 

 

 

 

 

 

 

1,443,250

 

Electric - Integrated – 2.3%

 

 

 

 

 

 

 

 

 

CMS Energy Corp.

 

8.900% 07/15/08

 

 

 

385,000

 

416,281

 

Nevada Power Co.

 

 

 

 

 

 

 

 

 

 

 

9.000% 08/15/13

 

 

 

120,000

 

134,400

 

 

 

10.875% 10/15/09

 

 

 

221,000

 

244,758

 

PSEG Energy Holdings LLC

 

10.000% 10/01/09

 

 

 

350,000

 

391,562

 

Sierra Pacific Resources

 

6.750% 08/15/17(b)

 

 

 

355,000

 

357,219

 

TECO Energy, Inc.

 

7.000% 05/01/12

 

 

 

230,000

 

247,250

 

 

 

 

 

 

 

 

 

1,791,470

 

Independent Power Producer – 3.2%

 

 

 

 

 

 

 

 

 

Caithness Coso Funding Corp.

 

9.050% 12/15/09

 

 

 

412,057

 

456,287

 

Calpine Generating Co. LLC

 

 

 

 

 

 

 

 

 

 

 

9.260% 04/01/10(c)

 

 

 

255,000

 

258,825

 

 

 

12.390% 04/01/11(c)

 

 

 

610,000

 

576,450

 

MSW Energy Holdings LLC

 

 

 

 

 

 

 

 

 

 

 

7.375% 09/01/10

 

 

 

170,000

 

177,225

 

 

 

8.500% 09/01/10

 

 

 

375,000

 

405,000

 

Orion Power Holdings, Inc.

 

12.000% 05/01/10

 

 

 

515,000

 

624,437

 

 

 

 

 

 

 

 

 

2,498,224

 

 

 

 

 

 

 

Electric Total

 

5,732,944

 

 

 

 

 

UTILITIES TOTAL

 

5,732,944

 

 

 

Total Corporate Fixed-Income Bonds & Notes
(cost of $96,075,045)

 

95,875,797

 

 

18



 

 

 

 

 

 

 

Shares

 

Value ($)

 

Preferred Stocks – 2.5%

 

 

 

 

 

 

 

 

 

COMMUNICATIONS – 1.4%

 

 

 

 

 

 

 

 

 

Media – 1.4%

 

 

 

 

 

 

 

 

 

Publishing - Periodicals – 0.1%

 

 

 

 

 

 

 

 

 

PriMedia, Inc.

 

8.625% 04/01/10

 

 

 

680

 

68,340

 

 

 

 

 

 

 

 

 

68,340

 

Radio – 1.3%

 

 

 

 

 

 

 

 

 

Spanish Broadcasting System, Inc., PIK

 

10.750%

 

 

 

974

 

1,061,660

 

 

 

 

 

 

 

 

 

1,061,660

 

 

 

 

 

 

 

Media Total

 

1,130,000

 

 

 

COMMUNICATIONS TOTAL

 

1,130,000

 

CONSUMER CYCLICAL – 0.2%

 

 

 

 

 

 

 

 

 

Lodging – 0.2%

 

 

 

 

 

 

 

 

 

Hotels & Motels – 0.2%

 

 

 

 

 

 

 

 

 

La Quinta Corp.

 

9.000%

 

 

 

4,760

 

122,998

 

 

 

 

 

 

 

 

 

122,998

 

 

 

 

 

Lodging Total

 

122,998

 

 

 

CONSUMER CYCLICAL TOTAL

 

122,998

 

FINANCIALS – 0.9%

 

 

 

 

 

 

 

 

 

Real Estate Investment Trusts – 0.9%

 

 

 

 

 

 

 

 

 

REITs - Diversified – 0.9%

 

 

 

 

 

 

 

 

 

iStar Financial, Inc.

 

 

 

 

 

 

 

 

 

 

 

7.800%

 

 

 

13,000

 

330,282

 

 

 

7.875%

 

 

 

15,007

 

392,058

 

 

 

 

 

 

 

 

 

722,340

 

 

 

Real Estate Investment Trusts Total

 

722,340

 

 

 

FINANCIALS TOTAL

 

722,340

 

 

 

Total Preferred Stocks
(cost of $1,818,397)

 

 

 

 

 

1,975,338

 

Convertible Bonds – 1.7%

 

 

 

 

 

 

 

 

 

COMMUNICATIONS – 0.8%

 

 

 

 

 

 

 

 

 

Telecommunication Services – 0.8%

 

 

 

 

 

 

 

 

 

Telecommunication Equipment – 0.8%

 

 

 

 

 

 

 

 

 

Nortel Networks Corp.

 

4.250% 09/01/08

 

 

 

645,000

 

611,918

 

 

 

 

 

 

 

 

 

611,918

 

 

 

Telecommunication Services Total

 

611,918

 

 

 

COMMUNICATIONS TOTAL

 

611,918

 

 

19



 

 

 

 

 

 

 

Par ($)

 

Value ($)

 

Convertible Bonds – (continued)

 

 

 

 

 

 

 

 

 

FINANCIALS – 0.7%

 

 

 

 

 

 

 

 

 

Real Estate Investment Trusts – 0.7%

 

 

 

 

 

 

 

 

 

REITs - Diversified – 0.7%

 

 

 

 

 

 

 

 

 

Sovereign Real Estate Investment Corp.

 

12.000% 08/29/49(b)

 

 

 

365,000

 

529,250

 

 

 

 

 

 

 

 

 

529,250

 

 

 

Real Estate Investment Trusts Total

 

529,250

 

 

 

FINANCIALS TOTAL

 

529,250

 

UTILITIES – 0.2%

 

 

 

 

 

 

 

 

 

Electric – 0.2%

 

 

 

 

 

 

 

 

 

Independent Power Producer – 0.2%

 

 

 

 

 

 

 

 

 

Mirant Corp.

 

2.500% 06/15/21(d)

 

 

 

190,000

 

171,477

 

 

 

 

 

 

 

 

 

171,477

 

 

 

 

 

 

 

Electric Total

 

171,477

 

 

 

 

 

UTILITIES TOTAL

 

171,477

 

 

 

Convertible Bonds Total
(cost of $1,260,938)

 

 

 

 

 

1,312,645

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares

 

 

 

Common Stocks – 1.5%

 

 

 

 

 

 

 

 

 

CONSUMER DISCRETIONARY – 0.1%

 

 

 

 

 

 

 

 

 

Hotels, Restaurants & Leisure – 0.1%

 

 

 

 

 

 

 

 

 

 

 

Shreveport Gaming Holdings, Inc. (f)(i)

 

 

 

4,862

 

70,596

 

 

 

Hotels, Restaurants & Leisure Total

 

70,596

 

 

 

CONSUMER DISCRETIONARY TOTAL

 

70,596

 

INDUSTRIALS – 0.1%

 

 

 

 

 

 

 

 

 

Commercial Services & Supplies – 0.1%

 

 

 

 

 

 

 

 

 

 

 

Allied Waste Industries, Inc. (i)

 

 

 

7,250

 

57,855

 

 

 

Fairlane Management Corp. (f)(i)(j)

 

 

 

8,000

 

 

 

 

Commercial Services & Supplies Total

 

57,855

 

 

 

INDUSTRIALS TOTAL

 

57,855

 

MATERIALS – 0.2%

 

 

 

 

 

 

 

 

 

Chemicals – 0.2%

 

 

 

 

 

 

 

 

 

 

 

Lyondell Chemical Co.

 

 

 

5,000

 

129,000

 

 

 

 

 

 

Chemicals Total

 

129,000

 

 

 

 

 

MATERIALS TOTAL

 

129,000

 

TELECOMMUNICATION SERVICES – 1.0%

 

 

 

 

 

 

 

 

 

Diversified Telecommunication Services – 0.5%

 

 

 

 

 

 

 

 

 

 

 

NTL, Inc. (i)

 

 

 

2,942

 

187,935

 

 

 

Sprint Nextel Corp.

 

 

 

7,853

 

203,640

 

 

 

Diversified Telecommunication Services Total

 

391,575

 

 

20



 

 

 

 

 

 

 

Shares

 

Value ($)

 

Common Stocks – (continued)

 

 

 

 

 

 

 

 

 

TELECOMMUNICATION SERVICES – (continued)

 

 

 

 

 

 

 

Wireless Telecommunication Services – 0.5%

 

 

 

 

 

 

 

 

 

 

 

Alamosa Holdings, Inc. (i)

 

 

 

11,653

 

201,597

 

 

 

SBA Communications Corp., Class A (i)

 

 

 

16,090

 

242,154

 

 

 

Wireless Telecommunication Services Total

 

443,751

 

 

 

TELECOMMUNICATION SERVICES TOTAL

 

835,326

 

UTILITIES – 0.1%

 

 

 

 

 

 

 

 

 

Independent Power Producers – 0.1%

 

 

 

 

 

 

 

 

 

 

 

Dynegy, Inc., Class A (i)

 

 

 

13,000

 

56,680

 

 

 

Independent Power Producers Total

 

56,680

 

 

 

 

UTILITIES TOTAL

 

56,680

 

 

 

Total Common Stocks
(cost of $1,058,989)

 

 

 

 

 

1,149,457

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Par ($)

 

 

 

Municipal Bond (Taxable) – 0.8%

 

 

 

 

 

 

 

 

 

CALIFORNIA – 0.8%

 

 

 

 

 

 

 

 

 

CA Cabazon Band Mission Indians

 

13.000% 10/01/11(e)

 

 

 

575,000

 

594,441

 

 

 

 

 

CALIFORNIA TOTAL

 

594,441

 

 

 

Total Municipal Bond (Taxable)
(cost of $575,000)

 

 

 

594,441

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Units

 

 

 

Warrants – 0.1%

 

 

 

 

 

 

 

 

 

COMMUNICATIONS – 0.0%

 

 

 

 

 

 

 

 

 

Media – 0.0%

 

 

 

 

 

 

 

 

 

Broadcast Services / Programs – 0.0%

 

 

 

 

 

 

 

 

 

XM Satellite Radio Holdings, Inc.

 

Expires 03/15/10(b)(i)

 

 

 

600

 

36,000

 

 

 

 

 

 

 

 

 

36,000

 

 

 

 

 

 

 

Media Total

 

36,000

 

Telecommunication Services – 0.0%

 

 

 

 

 

 

 

 

 

Cellular Telecommunications – 0.0%

 

 

 

 

 

 

 

 

 

UbiquiTel, Inc.

 

Expires 04/15/10(b)(e)(i)

 

 

 

525

 

5

 

 

 

 

 

 

 

 

 

5

 

Telecommunication Services – 0.0%

 

 

 

 

 

 

 

 

 

Jazztel PLC

 

Expires 07/15/10(b)(f)(i)(j)

 

 

 

350

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecommunication Services Total

 

5

 

 

 

COMMUNICATIONS TOTAL

 

36,005

 

INDUSTRIALS – 0.1%

 

 

 

 

 

 

 

 

 

Metal Fabricate / Hardware – 0.1%

 

 

 

 

 

 

 

 

 

Metal Processors & Fabrication – 0.1%

 

 

 

 

 

 

 

 

 

Mueller Holdings, Inc.

 

Expires 04/15/14(b)(i)

 

 

 

190

 

68,400

 

 

 

 

 

 

 

 

 

68,400

 

 

 

Metal Fabricate / Hardware Total

 

68,400

 

 

21



 

 

 

 

 

 

 

Units

 

Value ($)

 

Warrants – (continued)

 

 

 

 

 

 

 

 

 

INDUSTRIALS – (continued)

 

 

 

 

 

 

 

 

 

Transportation – 0.0%

 

 

 

 

 

 

 

 

 

Transportation - Trucks – 0.0%

 

 

 

 

 

 

 

 

 

QDI LLC

 

Expires 01/15/07(b)(e)(f)(i)

 

 

 

2,041

 

6,613

 

 

 

 

 

 

 

 

 

6,613

 

 

 

 

 

Transportation Total

 

6,613

 

 

 

 

 

INDUSTRIALS TOTAL

 

75,013

 

 

 

Total Warrants
(cost of $97,124)

 

 

 

 

 

111,018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Par ($)

 

 

 

Short-Term Obligation – 6.9%

 

 

 

 

 

 

 

 

 

 

 

Repurchase agreement with State Street Bank & Trust Co., dated 08/31/05, due 09/01/05 at 3.430%, collateralized by a U.S. Treasury Bond maturing 11/15/12, market value of $5,562,388 (repurchase proceeds $5,449,519)

 

 

 

5,449,000

 

5,449,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Short-Term Obligation
(cost of $5,449,000)

 

 

 

 

 

5,449,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investments – 135.3%
(cost of $106,334,493)(k)(l)

 

 

 

 

 

106,467,696

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Assets & Liabilities, Net – (35.3)%

 

 

 

 

 

(27,751,745

)

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets – 100.0%

 

 

 

 

 

78,715,951

 

 


 

 

Notes to Investment Portfolio:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

*

Security Valuation: 

 

 

 

 

 

 

 

 

 

Debt securities generally are valued by pricing services approved by the Fund’s Board of Trustees, based upon market transactions for normal, institutional-size trading units of similar securities.  The services may use various pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as broker quotes.  Debt securities for which quotations are readily available are valued at an over-the-counter or exchange bid quotation.  Certain debt securities, which tend to be more thinly traded and of lesser quality, are priced based on fundamental analysis of the financial condition of the issuer and the estimated value of any collateral.  Valuations developed through pricing techniques may vary from the actual amounts realized upon sale of the securities, and the potential variation may be greater for those securities valued using fundamental analysis.

 

 

 

 

 

 

 

 

 

Equity securities, exchange traded funds and securities of certain investment companies are valued at the last sale price on the principal exchange on which they trade, except for securities traded on the NASDAQ, which are valued at the NASDAQ official close price.  Unlisted securities or listed securities for which there were no sales during the day are valued at the closing bid price on such exchanges or over-the-counter markets.

 

 

 

 

 

 

 

 

 

Short-term debt obligations maturing within 60 days are valued at amortized cost, which approximates market value.

 

 

 

 

 

 

 

 

 

Forward currency exchange contracts are valued at the prevailing forward exchange rate of the underlying currencies.

 

 

 

 

 

 

 

 

 

Foreign securities are generally valued at the last sale price on the foreign exchange or market on which they trade.  If any foreign share prices are not readily available as a result of limited share activity, the securities are valued at the last sale price of the local shares in the principal market in which such securities are normally traded.

 

 

22



 

 

 

Generally, trading in foreign securities is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”).  The values of such securities used in computing the net asset value of the Fund’s shares are determined as of such times.  Foreign currency exchange rates are generally determined at 2:00 p.m. Eastern (U.S.) time.  Events affecting the values of such foreign securities and such exchange rates may occur between the times at which they are determined and the close of the customary trading session of the NYSE, which would not be reflected in the computation of the Fund’s net asset value.  If events materially affecting the values of such foreign securities occur and it is determined that market quotations are not reliable, then these foreign securities will be valued at their fair value using procedures approved by the Board of Trustees.

 

 

 

 

 

Investments for which market quotations are not readily available, or have quotations which management believes are not appropriate, are valued at fair value under procedures approved by the Board of Trustees. If a security is valued at a “fair value”, such value is likely to be different from the last quoted market price for the security.

 

 

 

 

(a)

Step bond. This security is currently not paying coupon. Shown parenthetically is the next interest rate to be paid and the date the Fund will begin accruing at this rate.

 

 

 

 

(b)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2005, these securities, which did not include any illiquid securities, except for the following, amounted to $19,206,980, which represents 24.4% of net assets.

 

 

 

Acquisition

 

 

 

 

 

 

 

Security

 

Date

 

Par/Unit

 

Cost

 

Value

 

Hollinger, Inc

 

09/30/04

 

$

122,000

 

$

122,000

 

$

125,660

 

QDI LLC

 

06/01/02

 

2,041

 

 

6,613

 

 

 

 

 

 

 

 

 

132,273

 

 

 

(c)

The interest rate shown on floating rate or variable rate securities reflects the rate at August 31, 2005.

 

 

 

 

(d)

The issuer has filed for bankruptcy protection under Chapter 11, and is in default of certain debt covenants. Income is not being accrued. At August 31, 2005, the value of these securities amounted to $537,627, which represents 0.7% of net assets.

 

 

 

 

(e)

Illiquid security.

 

 

 

 

(f)

Represents fair value as determined in good faith under procedures approved by the Board of Trustees.

 

 

 

 

(g)

Step bond. Shown parenthetically is the next interest rate to be paid and the date the Fund will begin accruing at this rate.

 

 

 

 

(h)

Security purchased on a delayed delivery basis.

 

 

 

 

(i)

Non-income producing security.

 

 

 

 

(j)

Security has no value.

 

 

 

 

(k)

Cost for federal income tax purposes is $106,474,990.

 

 

 

 

(l)

Unrealized appreciation and depreciation at August 31, 2005 based on cost of investments for federal income tax purposes was:

 

Unrealized

 

Unrealized

 

Net Unrealized

 

Appreciation

 

Depreciation

 

Depreciation

 

$

3,965,729

 

$

(3,973,023

)

$

(7,294

)

 

 

 

At August 31, 2005, the Trust had entered into the following forward currency exchange contracts:

 

Forward Currency

 

 

 

Aggregate

 

Settlement

 

Unrealized

 

Contracts to Sell

 

Value

 

Face Value

 

Date

 

Depreciation

 

EUR

 

$

632,941

 

$

619,822

 

09/20/05

 

$

(13,119

)

EUR

 

197,408

 

198,480

 

09/20/05

 

1,072

 

EUR

 

103,672

 

102,343

 

09/27/05

 

(1,329

)

 

 

 

 

 

 

 

 

$

(13,376

)

 

Acronym

 

Name

EUR

 

Euro

PIK

 

Payment-In-Kind

REIT

 

Real Estate Investment Trust

USD

 

United States Dollar

 

23



 

Item 2. Controls and Procedures.

 

(a)          The registrant’s principal executive officer and principal financial officer, based on their evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-Q is accumulated and communicated to the registrant’s management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure.

 

(b)         There were no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

 

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.

 



 

SIGNATURES

 

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

 

(registrant)

 

Colonial Intermediate High Income Fund

 

 

 

 

 

By (Signature and Title)

 

/s/ Christopher L. Wilson

 

 

Christopher L. Wilson, President

 

 

 

 

Date

 

October 27, 2005

 

 

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/ Christopher L. Wilson

 

 

Christopher L. Wilson, President

 

 

 

 

Date

 

October 27, 2005

 

 

 

 

 

By (Signature and Title)

 

/s/ J. Kevin Connaughton

 

 

J. Kevin Connaughton, Treasurer

 

 

 

 

Date

 

October 27, 2005