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UNITED STATES |
OMB APPROVAL |
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OMB
Number: 3235-0578 |
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FORM N-Q |
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QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number |
811-5567 |
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Colonial Intermediate High Income Fund |
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(Exact name of registrant as specified in charter) |
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One Financial Center, Boston, Massachusetts |
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02111 |
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(Address of principal executive offices) |
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(Zip code) |
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Vincent Pietropaolo, Esq. |
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(Name and address of agent for service) |
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Registrant's telephone number, including area code: |
1-617-772-3698 |
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Date of fiscal year end: |
11/30/05 |
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Date of reporting period: |
08/31/05 |
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INVESTMENT PORTFOLIO |
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August 31, 2005 (Unaudited) |
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Colonial Intermediate High Income Fund |
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Par ($) |
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Value ($)* |
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Corporate Fixed-Income Bonds & Notes 121.8% |
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BASIC MATERIALS 10.8% |
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Chemicals 5.9% |
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Agricultural Chemicals 1.9% |
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|
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IMC Global, Inc. |
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10.875% 08/01/13 |
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310,000 |
|
366,575 |
|
Terra Capital, Inc. |
|
12.875% 10/15/08 |
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475,000 |
|
561,687 |
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UAP Holding Corp. |
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(a) 07/15/12 |
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|
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|
|
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(10.750% 01/15/08) |
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295,000 |
|
252,225 |
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United Agri Products |
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8.250% 12/15/11 |
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|
321,000 |
|
340,260 |
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|
|
|
|
|
|
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1,520,747 |
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Chemicals - Diversified 3.4% |
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BCP Crystal US Holdings Corp. |
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9.625% 06/15/14 |
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150,000 |
|
170,250 |
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EquiStar Chemicals LP |
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10.625% 05/01/11 |
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575,000 |
|
636,813 |
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Huntsman International LLC |
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7.375% 01/01/15(b) |
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260,000 |
|
263,900 |
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Huntsman LLC |
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11.500% 07/15/12 |
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310,000 |
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362,700 |
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Innophos Investments Holdings, Inc., PIK |
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11.790% 02/15/15(b)(c) |
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201,075 |
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191,021 |
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Lyondell Chemical Co. |
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9.625% 05/01/07 |
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240,000 |
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254,100 |
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Nell AF SARL |
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8.375% 08/15/15(b) |
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180,000 |
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183,600 |
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8.375% 08/15/15(b) |
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EUR |
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160,000 |
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203,396 |
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NOVA Chemicals Corp. |
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6.500% 01/15/12 |
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USD |
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405,000 |
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398,925 |
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|
|
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|
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2,664,705 |
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Chemicals - Specialty 0.6% |
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Rhodia SA |
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8.875% 06/01/11 |
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460,000 |
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451,375 |
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|
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|
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451,375 |
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Chemicals Total |
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4,636,827 |
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Forest Products & Paper 3.5% |
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Forestry 0.6% |
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Millar Western Forest Products Ltd. |
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7.750% 11/15/13 |
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225,000 |
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207,000 |
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Tembec Industries, Inc. |
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8.500% 02/01/11 |
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320,000 |
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244,800 |
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|
|
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451,800 |
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Paper & Related Products 2.9% |
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Abitibi-Consolidated, Inc. |
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8.375% 04/01/15 |
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260,000 |
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261,950 |
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Boise Cascade LLC |
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6.474% 10/15/12(c) |
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275,000 |
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278,437 |
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7.125% 10/15/14 |
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|
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190,000 |
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186,200 |
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Buckeye Technologies, Inc. |
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8.500% 10/01/13 |
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60,000 |
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61,950 |
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Caraustar Industries, Inc. |
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9.875% 04/01/11 |
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235,000 |
|
242,638 |
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Georgia-Pacific Corp. |
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8.000% 01/15/24 |
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350,000 |
|
404,250 |
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Neenah Paper, Inc. |
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7.375% 11/15/14 |
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130,000 |
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127,238 |
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Newark Group, Inc. |
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9.750% 03/15/14 |
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|
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370,000 |
|
342,250 |
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NewPage Corp. |
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12.000% 05/01/13(b) |
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|
225,000 |
|
214,875 |
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1
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Par ($) |
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Value ($) |
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Corporate Fixed-Income Bonds & Notes (continued) |
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BASIC MATERIALS (continued) |
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Forest Products & Paper (continued) |
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Paper & Related Products (continued) |
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Norske Skog Canada Ltd. |
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8.625% 06/15/11 |
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190,000 |
|
197,600 |
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2,317,388 |
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Forest Products & Paper Total |
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2,769,188 |
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Iron / Steel 1.2% |
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Metal - Iron 0.4% |
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Wise Metals Group LLC |
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10.250% 05/15/12 |
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415,000 |
|
343,413 |
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343,413 |
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Steel - Producers 0.2% |
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Steel Dynamics, Inc. |
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9.500% 03/15/09 |
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160,000 |
|
170,800 |
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|
|
|
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|
|
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170,800 |
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Steel - Specialty 0.6% |
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|
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UCAR Finance, Inc. |
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10.250% 02/15/12 |
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|
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405,000 |
|
433,350 |
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|
|
|
|
|
|
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|
433,350 |
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Iron / Steel Total |
|
947,563 |
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Metals & Mining 0.2% |
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Mining Services 0.2% |
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Hudson Bay Mining & Smelting Co., Ltd. |
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9.625% 01/15/12(b) |
|
|
|
105,000 |
|
108,150 |
|
|
|
|
|
|
|
|
|
108,150 |
|
|
|
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Metals & Mining Total |
|
108,150 |
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BASIC MATERIALS TOTAL |
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8,074,732 |
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COMMUNICATIONS 26.9% |
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Media 11.2% |
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Broadcast Services / Programs 0.3% |
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|
|
|
|
|
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Fisher Communications, Inc. |
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8.625% 09/15/14 |
|
|
|
190,000 |
|
205,437 |
|
|
|
|
|
|
|
|
|
205,437 |
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Cable TV 4.3% |
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|
|
|
|
|
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Atlantic Broadband Finance LLC |
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9.375% 01/15/14(b) |
|
|
|
390,000 |
|
376,350 |
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Charter Communications Holdings II LLC |
|
10.250% 09/15/10 |
|
|
|
290,000 |
|
300,875 |
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Charter Communications Holdings LLC |
|
9.920% 04/01/11 |
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|
|
1,210,000 |
|
916,575 |
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CSC Holdings, Inc. |
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|
|
|
|
|
|
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|
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6.750% 04/15/12(b) |
|
|
|
185,000 |
|
176,675 |
|
|
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7.625% 04/01/11 |
|
|
|
300,000 |
|
300,750 |
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EchoStar DBS Corp. |
|
6.625% 10/01/14 |
|
|
|
390,000 |
|
386,588 |
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Insight Midwest LP |
|
9.750% 10/01/09 |
|
|
|
195,000 |
|
201,825 |
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Northland Cable Television, Inc. |
|
10.250% 11/15/07 |
|
|
|
255,000 |
|
247,350 |
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Pegasus Satellite Communications, Inc. |
|
11.250% 01/15/10(b)(d) |
|
|
|
435,000 |
|
108,750 |
|
2
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Par ($) |
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Value ($) |
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Corporate Fixed-Income Bonds & Notes (continued) |
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COMMUNICATIONS (continued) |
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Media (continued) |
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Cable TV (continued) |
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Telenet Group Holding NV |
|
|
|
|
|
|
|
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|
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(a) 06/15/14 |
|
|
|
|
|
|
|
|
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(11.500% 12/15/08)(b) |
|
|
|
525,000 |
|
415,406 |
|
|
|
|
|
|
|
|
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3,431,144 |
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Multimedia 2.3% |
|
|
|
|
|
|
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Advanstar Communications, Inc. |
|
|
|
|
|
|
|
|
|
|
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(a) 10/15/11 |
|
|
|
|
|
|
|
|
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(15.000% 10/15/05) |
|
|
|
310,000 |
|
322,400 |
|
|
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12.000% 02/15/11 |
|
|
|
310,000 |
|
334,800 |
|
Haights Cross Communications, Inc. |
|
|
|
|
|
|
|
|
|
|
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(a) 08/15/11 |
|
|
|
|
|
|
|
|
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(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% |
|
|
|
|
|
|
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Hollinger, Inc. |
|
|
|
|
|
|
|
|
|
|
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11.875% 03/01/11(b)(e) |
|
|
|
122,000 |
|
125,660 |
|
|
|
12.875% 03/01/11(b) |
|
|
|
177,000 |
|
194,700 |
|
|
|
|
|
|
|
|
|
320,360 |
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Publishing - Periodicals 2.7% |
|
|
|
|
|
|
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CBD Media Holdings LLC & Finance, Inc. |
|
9.250% 07/15/12 |
|
|
|
235,000 |
|
242,050 |
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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. |
|
|
|
|
|
|
|
|
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|
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(a) 11/15/13 |
|
|
|
|
|
|
|
|
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(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% |
|
|
|
|
|
|
|
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Paxson Communications Corp. |
|
|
|
|
|
|
|
|
|
|
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(a) 01/15/09 |
|
|
|
|
|
|
|
|
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(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 |
|
|
|
|
|
|
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Media Total |
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8,827,990 |
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3
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Par ($) |
|
Value ($) |
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Corporate Fixed-Income Bonds & Notes (continued) |
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COMMUNICATIONS (continued) |
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Telecommunication Services 15.7% |
|
|
|
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Cellular Telecommunications 5.7% |
|
|
|
|
|
|
|
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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% |
|
|
|
|
|
|
|
|
|
Landrys 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 |
|
95,875,797 |
|
18
|
|
|
|
|
|
Shares |
|
Value ($) |
|
Preferred Stocks 2.5% |
|
|
|
|
|
|
|
|
|
COMMUNICATIONS 1.4% |
|
|
|
|
|
|
|
|
|
Media 1.4% |
|
|
|
|
|
|
|
|
|
Publishing - Periodicals 0.1% |
|
|
|
|
|
|
|
|
|
PriMedia, Inc. |
|
8.625% 04/01/10 |
|
|
|
680 |
|
68,340 |
|
|
|
|
|
|
|
|
|
68,340 |
|
Radio 1.3% |
|
|
|
|
|
|
|
|
|
Spanish Broadcasting System, Inc., PIK |
|
10.750% |
|
|
|
974 |
|
1,061,660 |
|
|
|
|
|
|
|
|
|
1,061,660 |
|
|
|
|
|
|
|
Media Total |
|
1,130,000 |
|
|
|
COMMUNICATIONS TOTAL |
|
1,130,000 |
|
||||
CONSUMER CYCLICAL 0.2% |
|
|
|
|
|
|
|
|
|
Lodging 0.2% |
|
|
|
|
|
|
|
|
|
Hotels & Motels 0.2% |
|
|
|
|
|
|
|
|
|
La Quinta Corp. |
|
9.000% |
|
|
|
4,760 |
|
122,998 |
|
|
|
|
|
|
|
|
|
122,998 |
|
|
|
|
|
Lodging Total |
|
122,998 |
|
||
|
|
CONSUMER CYCLICAL TOTAL |
|
122,998 |
|
||||
FINANCIALS 0.9% |
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts 0.9% |
|
|
|
|
|
|
|
|
|
REITs - Diversified 0.9% |
|
|
|
|
|
|
|
|
|
iStar Financial, Inc. |
|
|
|
|
|
|
|
|
|
|
|
7.800% |
|
|
|
13,000 |
|
330,282 |
|
|
|
7.875% |
|
|
|
15,007 |
|
392,058 |
|
|
|
|
|
|
|
|
|
722,340 |
|
|
|
Real Estate Investment Trusts Total |
|
722,340 |
|
||||
|
|
FINANCIALS TOTAL |
|
722,340 |
|
||||
|
|
Total Preferred Stocks |
|
|
|
|
|
1,975,338 |
|
Convertible Bonds 1.7% |
|
|
|
|
|
|
|
|
|
COMMUNICATIONS 0.8% |
|
|
|
|
|
|
|
|
|
Telecommunication Services 0.8% |
|
|
|
|
|
|
|
|
|
Telecommunication Equipment 0.8% |
|
|
|
|
|
|
|
|
|
Nortel Networks Corp. |
|
4.250% 09/01/08 |
|
|
|
645,000 |
|
611,918 |
|
|
|
|
|
|
|
|
|
611,918 |
|
|
|
Telecommunication Services Total |
|
611,918 |
|
||||
|
|
COMMUNICATIONS TOTAL |
|
611,918 |
|
19
|
|
|
|
|
|
Par ($) |
|
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 |
|
|
|
|
|
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 |
|
|
|
|
|
1,149,457 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par ($) |
|
|
|
Municipal Bond (Taxable) 0.8% |
|
|
|
|
|
|
|
|
|
CALIFORNIA 0.8% |
|
|
|
|
|
|
|
|
|
CA Cabazon Band Mission Indians |
|
13.000% 10/01/11(e) |
|
|
|
575,000 |
|
594,441 |
|
|
|
|
|
CALIFORNIA TOTAL |
|
594,441 |
|
||
|
|
Total
Municipal Bond (Taxable) |
|
|
|
594,441 |
|
||
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
Units |
|
|
|
Warrants 0.1% |
|
|
|
|
|
|
|
|
|
COMMUNICATIONS 0.0% |
|
|
|
|
|
|
|
|
|
Media 0.0% |
|
|
|
|
|
|
|
|
|
Broadcast Services / Programs 0.0% |
|
|
|
|
|
|
|
|
|
XM Satellite Radio Holdings, Inc. |
|
Expires 03/15/10(b)(i) |
|
|
|
600 |
|
36,000 |
|
|
|
|
|
|
|
|
|
36,000 |
|
|
|
|
|
|
|
Media Total |
|
36,000 |
|
Telecommunication Services 0.0% |
|
|
|
|
|
|
|
|
|
Cellular Telecommunications 0.0% |
|
|
|
|
|
|
|
|
|
UbiquiTel, Inc. |
|
Expires 04/15/10(b)(e)(i) |
|
|
|
525 |
|
5 |
|
|
|
|
|
|
|
|
|
5 |
|
Telecommunication Services 0.0% |
|
|
|
|
|
|
|
|
|
Jazztel PLC |
|
Expires 07/15/10(b)(f)(i)(j) |
|
|
|
350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services Total |
|
5 |
|
||||
|
|
COMMUNICATIONS TOTAL |
|
36,005 |
|
||||
INDUSTRIALS 0.1% |
|
|
|
|
|
|
|
|
|
Metal Fabricate / Hardware 0.1% |
|
|
|
|
|
|
|
|
|
Metal Processors & Fabrication 0.1% |
|
|
|
|
|
|
|
|
|
Mueller Holdings, Inc. |
|
Expires 04/15/14(b)(i) |
|
|
|
190 |
|
68,400 |
|
|
|
|
|
|
|
|
|
68,400 |
|
|
|
Metal Fabricate / Hardware Total |
|
68,400 |
|
21
|
|
|
|
|
|
Units |
|
Value ($) |
|
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 |
|
|
|
|
|
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 |
|
|
|
|
|
5,449,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
Investments
135.3% |
|
|
|
|
|
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 Funds 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 Funds 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 Funds 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 registrants principal executive officer and principal financial officer, based on their evaluation of the registrants 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 registrants 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 registrants internal control over financial reporting that occurred during the registrants last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants 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 |
|||
|
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Date |
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October 27, 2005 |
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