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

 

 

 

 

 

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-5399

 

 

The New America High Income Fund, Inc.

(Exact name of registrant as specified in charter)

 

33 Broad Street, Boston, MA

 

02109

(Address of principal executive offices)

 

(Zip code)

 

Ellen E. Terry, 33 Broad Street, Boston MA 02109

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

(617) 263-6400

 

 

Date of fiscal year end:

12/31

 

 

 

 

Date of reporting period:

7/1/10 - 9/30/10

 

 



 

Item 1 - Schedule of Investments - September 30, 2010 (Unaudited) (Dollar Amounts in Thousands)

 



 

Schedule of Investments - September 30, 2010 (Unaudited) (Dollar Amounts in Thousands)

 

 

 

 

 

Moody’s

 

 

 

Principal

 

 

 

Rating

 

Value

 

Amount/Units

 

 

 

(Unaudited)

 

(Note 1)

 

CORPORATE DEBT SECURITIES - 126.50% (d)

 

 

 

 

 

Aerospace and Defense - 1.22%

 

 

 

 

 

650

 

BE Aerospace Inc., Senior Notes,

 

 

 

 

 

 

 

8.50%, 07/01/18

 

Ba3

 

708

 

200

 

Colt Defense LLC, Senior Notes,

 

 

 

 

 

 

 

8.75%, 11/15/17 (g)

 

B3

 

144

 

375

 

Esterline Technologies, Senior Notes,

 

 

 

 

 

 

 

7%, 08/01/20 (g)

 

Ba3

 

388

 

625

 

Moog, Inc., Senior Notes,

 

 

 

 

 

 

 

7.25%, 06/15/18

 

Ba3

 

634

 

525

 

Sequa Corporation, Senior Notes,

 

 

 

 

 

 

 

11.75%, 12/01/15 (g)

 

Caa2

 

554

 

225

 

Sequa Corporation, Senior Notes,

 

 

 

 

 

 

 

13.50%, 12/01/15 (g)

 

Caa2

 

242

 

200

 

Spirit Aerosystems, Inc., Senior Notes,

 

 

 

 

 

 

 

7.50%, 10/01/17

 

B2

 

205

 

 

 

 

 

 

 

2,875

 

 

 

 

 

 

 

 

 

Automobile - 3.77%

 

 

 

 

 

175

 

Affinia Group, Inc., Senior Notes,

 

 

 

 

 

 

 

10.75%, 08/15/16 (g)

 

B1

 

192

 

150

 

Affinia Group, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

9%, 11/30/14

 

B3

 

155

 

1,335

 

Allison Transmission, Inc., Senior Notes,

 

 

 

 

 

 

 

11.25%, 11/01/15 (g)

 

Caa2

 

1,448

 

800

 

American Axle & Manufacturing, Inc., Senior Notes,

 

 

 

 

 

 

 

7.875%, 03/01/17

 

B3

 

792

 

50

 

American Axle & Manufacturing, Inc., Senior Notes,

 

 

 

 

 

 

 

9.25%, 01/15/17 (g)

 

Ba2

 

55

 

275

 

ArvinMeritor, Inc., Senior Notes,

 

 

 

 

 

 

 

8.125%, 09/15/15

 

Caa1

 

279

 

666

 

Commercial Vehicle Group, Inc.,

 

 

 

 

 

 

 

11%, 02/15/13 (c)

 

(e)

 

673

 

400

 

Conti Gummi Finance B.V., Senior Notes,

 

 

 

 

 

 

 

8.50%, 0715/15 (g) (EUR)

 

B1

 

588

 

175

 

Conti Gummi Finance B.V., Senior Notes,

 

 

 

 

 

 

 

7.50%, 09/15/17 (g) (EUR)

 

(e)

 

238

 

75

 

Conti Gummi Finance B.V., Senior Notes,

 

 

 

 

 

 

 

6.50%, 01/15/16 (g) (EUR)

 

B1

 

101

 

475

 

Ford Motor Company, Senior Notes,

 

 

 

 

 

 

 

7.45%, 07/16/31

 

B2

 

496

 

1,725

 

Goodyear Tire & Rubber Company, Senior Notes,

 

 

 

 

 

 

 

10.50%, 05/15/16

 

B1

 

1,941

 

1,000

 

KAR Holdings, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

10%, 05/01/15

 

Caa1

 

1,040

 

937

 

UCI Holdco, Inc., Senior Notes,

 

 

 

 

 

 

 

9.25%, 12/15/13 (c)

 

Caa1

 

914

 

 

 

 

 

 

 

8,912

 

 

 

 

 

 

 

 

 

Banking - .71%

 

 

 

 

 

1,150

 

Citigroup Capital XXI, Enhanced Trust Securities,

 

 

 

 

 

 

 

8.30%, 12/21/77

 

Ba1

 

1,209

 

495

 

Royal Bank of Scotland Group plc,

 

 

 

 

 

 

 

7.648%, 08/29/49

 

Ba2

 

475

 

 

 

 

 

 

 

1,684

 

 

 

 

 

 

 

 

 

Beverage, Food and Tobacco - 3.47%

 

 

 

 

 

700

 

Alliance One International , Inc., Senior Notes,

 

 

 

 

 

 

 

10%, 07/15/16

 

B2

 

752

 

325

 

CEDC Finance Corporation International, Senior Notes,

 

 

 

 

 

 

 

9.125%, 12/01/16 (g)

 

B1

 

349

 

75

 

Constellation Brands, Inc., Senior Notes,

 

 

 

 

 

 

 

8.375%, 12/15/14

 

Ba3

 

82

 

200

 

Cott Beverages, Inc., Senior Notes,

 

 

 

 

 

 

 

8.375%, 11/15/17 (g)

 

B3

 

212

 

 



 

Schedule of Investments - September 30, 2010 (Unaudited) (Dollar Amounts in Thousands)

 

525

 

Cott Beverages, Inc., Senior Notes,

 

 

 

 

 

 

 

8.125%, 09/01/18 (g)

 

B3

 

554

 

309

 

Dole Food Company, Inc., Senior Notes,

 

 

 

 

 

 

 

13.875%, 03/15/14

 

B2

 

374

 

675

 

JBS Finance II Ltd., Senior Notes,

 

 

 

 

 

 

 

8.25%, 01/29/18 (g)

 

B1

 

672

 

425

 

JBS USA, LLC Senior Notes,

 

 

 

 

 

 

 

11.625%, 05/01/14

 

B1

 

493

 

750

 

Land O’Lakes, 7.45%, 03/15/28

 

 

 

 

 

 

 

7.45%, 03/15/28 (g)

 

Ba2

 

673

 

900

 

Michael Foods, Inc., Senior Notes,

 

 

 

 

 

 

 

9.75%, 07/15/18 (g)

 

Caa1

 

963

 

200

 

Pinnacle Foods Finance LLC, Senior Notes,

 

 

 

 

 

 

 

9.25%, 04/01/15

 

B3

 

208

 

325

 

Pinnacle Foods Finance LLC, Senior Notes,

 

 

 

 

 

 

 

9.25%, 04/01/15 (g)

 

B3

 

338

 

100

 

Pinnacle Foods Finance LLC, Senior Subordinated Notes,

 

 

 

 

 

 

 

10.625%, 04/01/17

 

Caa1

 

107

 

225

 

Reddy Ice Holdings, Inc., Senior Notes,

 

 

 

 

 

 

 

10.50%, 11/01/12

 

Caa2

 

223

 

600

 

Reddy Ice Holdings, Inc., Senior Notes,

 

 

 

 

 

 

 

11.25%, 03/15/15

 

B2

 

613

 

250

 

Smithfield Foods, Inc., Senior Notes,

 

 

 

 

 

 

 

7.75%, 07/01/17

 

Caa1

 

254

 

125

 

Smithfield Foods, Inc., Senior Secured Notes,

 

 

 

 

 

 

 

10%, 07/15/14 (g)

 

B1

 

143

 

375

 

TreeHouse Foods, Inc., Senior Notes,

 

 

 

 

 

 

 

7.75%, 03/01/18

 

Ba2

 

401

 

775

 

US Food Service, Senior Notes,

 

 

 

 

 

 

 

10.75%, 06/30/15 (g)

 

(e)

 

791

 

 

 

 

 

 

 

8,202

 

 

 

 

 

 

 

 

 

Broadcasting and Entertainment - 9.30%

 

 

 

 

 

650

 

AMC Entertainment, Inc., Senior Notes,

 

 

 

 

 

 

 

8.75%, 06/01/19

 

B1

 

686

 

500

 

Belo Corporation, Senior Notes,

 

 

 

 

 

 

 

8%, 11/15/16

 

Ba1

 

534

 

875

 

Cablevision Systems Corporation, Senior Notes,

 

 

 

 

 

 

 

7.75%, 04/15/18

 

B1

 

932

 

350

 

Cablevision Systems Corporation, Senior Notes,

 

 

 

 

 

 

 

8%, 04/15/20

 

B1

 

376

 

325

 

CCH II, LLC, Senior Notes,

 

 

 

 

 

 

 

13.50%, 11/30/16

 

B2

 

386

 

1,200

 

CCO Holdings, LLC, Senior Notes,

 

 

 

 

 

 

 

7.25%, 10/30/17 (g)

 

B2

 

1,218

 

400

 

CCO Holdings, LLC, Senior Notes,

 

 

 

 

 

 

 

8.125%, 04/30/20 (g)

 

B2

 

422

 

450

 

Cinemark, USA, Inc., Senior Notes,

 

 

 

 

 

 

 

8.625%, 06/15/19

 

B3

 

479

 

275

 

CSC Holdings, Inc., Senior Notes,

 

 

 

 

 

 

 

8.50%, 06/15/15

 

Ba3

 

300

 

50

 

Lamar Media Corporation, Senior Subordinated Notes,

 

 

 

 

 

 

 

6.625%, 08/15/15

 

B1

 

51

 

200

 

Lamar Media Corporation, Senior Subordinated Notes,

 

 

 

 

 

 

 

7.875%, 04/15/18

 

B1

 

211

 

400

 

Lamar Media Corporation, Senior Subordinated Notes,

 

 

 

 

 

 

 

9.75%, 04/01/14

 

Ba3

 

459

 

350

 

Lin Television Corporation, Senior Notes,

 

 

 

 

 

 

 

8.375%, 04/15/18 (g)

 

Ba3

 

368

 

575

 

Lions Gate Entertainment, Inc., Senior Notes,

 

 

 

 

 

 

 

10.25%, 11/01/16 (g)

 

B1

 

582

 

400

 

Mediacom Broadband LLC, Senior Notes,

 

 

 

 

 

 

 

8.50%, 10/15/15

 

B3

 

409

 

525

 

Netflix, Inc., Senior Notes,

 

 

 

 

 

 

 

8.50%, 11/15/17

 

Ba2

 

583

 

825

 

Nexstar Broadcasting, Inc., Senior Notes,

 

 

 

 

 

 

 

8.875%, 04/15/17 (g)

 

B3

 

860

 

500

 

Regal Cinemas Corporation, Senior Notes,

 

 

 

 

 

 

 

8.625%, 07/15/19

 

B2

 

524

 

 



 

Schedule of Investments - September 30, 2010 (Unaudited) (Dollar Amounts in Thousands)

 

250

 

Regal Cinemas Corporation, Senior Notes,

 

 

 

 

 

 

 

9.125%, 08/15/18

 

B3

 

263

 

925

 

Sinclair Television Group, Inc., Senior Notes,

 

 

 

 

 

 

 

9.25%, 11/01/17 (g)

 

Ba3

 

992

 

2,000

 

Sirius Satellite Radio, Inc., Senior Notes,

 

 

 

 

 

 

 

8.75%, 04/01/15 (g)

 

Caa1

 

2,125

 

250

 

Sirius XM Radio, Inc., Senior Notes,

 

 

 

 

 

 

 

9.75%, 09/01/15 (g)

 

B1

 

278

 

2,331

 

Univision Communications, Inc., Senior Notes,

 

 

 

 

 

 

 

9.75%, 03/15/15 (c)(g)

 

Caa2

 

2,226

 

1,075

 

Univision Communications, Inc., Senior Notes,

 

 

 

 

 

 

 

12%, 07/01/14 (g)

 

B2

 

1,172

 

550

 

UPC Germany GMBH, Senior Notes,

 

 

 

 

 

 

 

8.125%, 12/01/17 (g) (EUR)

 

B1

 

583

 

500

 

UPC Holding BV, Senior Notes,

 

 

 

 

 

 

 

8.375%, 08/15/20 (g)

 

(e)

 

683

 

75

 

Videotron Ltee., Senior Notes,

 

 

 

 

 

 

 

9.125%, 04/15/18

 

Ba2

 

84

 

1,275

 

Virgin Media Finance PLC, Senior Notes,

 

 

 

 

 

 

 

9.50%, 08/15/16

 

Ba3

 

1,434

 

275

 

XM Satellite Radio, Inc., Senior Notes,

 

 

 

 

 

 

 

11.25%, 06/15/13 (g)

 

B2

 

303

 

1,350

 

XM Satellite Radio, Inc., Senior Notes,

 

 

 

 

 

 

 

13%, 08/01/14 (g)

 

Caa2

 

1,552

 

650

 

Ziggo Bond Company B.V., Senior Notes,

 

 

 

 

 

 

 

8%, 05/15/18 (g) (EUR)

 

B2

 

930

 

 

 

 

 

 

 

22,005

 

 

 

 

 

 

 

 

 

Building and Real Estate - 3.48%

 

 

 

 

 

250

 

Beazer Homes USA. Inc., Senior Notes,

 

 

 

 

 

 

 

8.125%, 06/15/16

 

Caa2

 

234

 

350

 

Beazer Homes USA. Inc., Senior Notes,

 

 

 

 

 

 

 

9.125%, 06/15/18

 

Caa2

 

327

 

325

 

CB Richard Ellis Services, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

11.625%, 06/15/17

 

Ba3

 

377

 

800

 

Gibraltar Industries, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

8%, 12/01/15

 

B3

 

780

 

150

 

Heidelbergcement Finance, Senior Notes,

 

 

 

 

 

 

 

8%, 01/31/17 (EUR)

 

B1

 

217

 

500

 

Host Marriott, L.P., Senior Notes,

 

 

 

 

 

 

 

6.75%, 06/01/16

 

Ba1

 

517

 

950

 

IcahnEnterprises L.P., Senior Notes,

 

 

 

 

 

 

 

7.75%, 01/15/16

 

Ba3

 

952

 

675

 

Mercer International, Inc., Senior Notes,

 

 

 

 

 

 

 

9.25%, 02/15/13

 

Caa1

 

673

 

850

 

Obrascon Huarte Lain S.A, Senior Notes,

 

 

 

 

 

 

 

7.375%, 04/28/15 (EUR)

 

Ba2

 

1,110

 

575

 

Potlach Corporation, Senior Notes,

 

 

 

 

 

 

 

7.50%, 11/01/19

 

Ba1

 

589

 

725

 

Reliance Intermediate Holdings, L.P., Senior Notes,

 

 

 

 

 

 

 

9.50%, 12/15/19 (g)

 

Ba2

 

758

 

1,000

 

Smurfit-Stone Container Corporation, Escrow Shares,

 

 

 

 

 

 

 

8%, 03/15/17 (a) 

 

(e)

 

36

 

200

 

Standard Pacific Corporation, Senior Notes,

 

 

 

 

 

 

 

8.375%, 05/15/18

 

B3

 

198

 

400

 

Standard Pacific Corporation, Senior Notes,

 

 

 

 

 

 

 

10.75%, 09/15/16

 

B3

 

437

 

525

 

Texas Industries, Senior Notes,

 

 

 

 

 

 

 

9.25%, 08/15/20 (g)

 

B3

 

545

 

475

 

USG Corporation, Senior Notes,

 

 

 

 

 

 

 

9.75%, 08/01/14 (g)

 

B2

 

493

 

 

 

 

 

 

 

8,243

 

 

 

 

 

 

 

 

 

Cargo Transport - 1.50%

 

 

 

 

 

500

 

American Railcar Industries, Inc., Senior

 

 

 

 

 

 

 

Notes, 7.50%, 03/01/14

 

Caa1

 

502

 

700

 

DP World Ltd., Senior Notes,

 

 

 

 

 

 

 

6.85%, 07/02/37 (g)

 

Ba1

 

657

 

600

 

DP World Sukuk Limited, Senior Notes,

 

 

 

 

 

 

 

6.25%, 07/02/17 (g)

 

Ba1

 

589

 

 



 

Schedule of Investments - September 30, 2010 (Unaudited) (Dollar Amounts in Thousands)

 

525

 

Kansas City Southern de Mexico, S.A. de C.V., Senior Notes,

 

 

 

 

 

 

 

8%, 02/01/18 (g)

 

B2

 

566

 

130

 

Kansas City Southern Railway Company, Senior Notes,

 

 

 

 

 

 

 

13%, 12/15/13

 

B2

 

157

 

325

 

Swift Transportation Company, LLC, Snior Notes,

 

 

 

 

 

 

 

8.126%, 05/15/15 (g)

 

Caa3

 

301

 

450

 

United Maritime Group, LLC, Senior Notes,

 

 

 

 

 

 

 

11.75%, 06/15/15

 

B3

 

449

 

350

 

Western Express, Inc., Senior Notes,

 

 

 

 

 

 

 

12.50%, 04/15/15 (g)

 

Caa1

 

336

 

 

 

 

 

 

 

3,557

 

 

 

 

 

 

 

 

 

Chemicals, Plastics and Rubber - 4.34%

 

 

 

 

 

400

 

Celanese US Holdings LLC, Senior Notes,

 

 

 

 

 

 

 

6.625%, 10/15/18 (g)

 

Ba3

 

408

 

225

 

Compass Minerals International, Inc., Senior Notes,

 

 

 

 

 

 

 

8%, 06/01/19

 

Ba2

 

242

 

1,175

 

Hexion Specialty Chemicals, Inc., Senior Notes,

 

 

 

 

 

 

 

8.875%, 02/01/18

 

B3

 

1,146

 

550

 

Huntsman International LLC, Senior Subordinated Notes,

 

 

 

 

 

 

 

8.625%, 03/15/21 (g)

 

B3

 

571

 

175

 

Huntsman International LLC, Senior Subordinated Notes,

 

 

 

 

 

 

 

8.625%, 03/15/20

 

B3

 

182

 

700

 

Kerling, PLC, Senior Notes,

 

 

 

 

 

 

 

10.625%, 01/28/17 (g) (EUR)

 

B3

 

1,007

 

300

 

Koppers Holdings Inc., Senior Notes,

 

 

 

 

 

 

 

7.875%, 12/01/19

 

B1

 

311

 

1,475

 

LBI Escrow Corporation, Senior Notes,

 

 

 

 

 

 

 

8%, 11/01/17 (g)

 

Ba3

 

1,610

 

1,450

 

Lyondell Chemical Company, Senior Notes,

 

 

 

 

 

 

 

11%, 05/01/18

 

B3

 

1,602

 

500

 

Momentive Performance Materials, Inc., Senior Notes,

 

 

 

 

 

 

 

9.75%, 12/01/14

 

Caa1

 

512

 

700

 

Momentive Performance Materials, Inc., Senior Notes,

 

 

 

 

 

 

 

11.50%, 12/01/16

 

Caa2

 

702

 

325

 

PolyOne Corporation, Senior Notes,

 

 

 

 

 

 

 

7.375%, 09/15/20

 

Ba3

 

335

 

275

 

Rhodia S.A., Senior Notes,

 

 

 

 

 

 

 

6.875%, 09/15/20 (g)

 

B1

 

276

 

550

 

Solutia, Inc, Senior Notes,

 

 

 

 

 

 

 

7.875%, 03/15/20

 

B2

 

588

 

550

 

Solutia, Inc, Senior Notes,

 

 

 

 

 

 

 

8.75%, 11/01/17

 

B2

 

598

 

175

 

Westlake Chemical Corporation, Senior Notes,

 

 

 

 

 

 

 

6.625%, 01/15/16

 

Ba2

 

177

 

 

 

 

 

 

 

10,267

 

 

 

 

 

 

 

 

 

Containers, Packaging and Glass - 4.79%

 

 

 

 

 

250

 

Ardagh Glass Finance plc, Senior Notes,

 

 

 

 

 

 

 

8.75%, 02/01/20 (g) (EUR)

 

B3

 

339

 

100

 

Ardagh Glass Group plc, Senior Notes,

 

 

 

 

 

 

 

7.125%, 06/15/17 (g) (EUR)

 

B3

 

126

 

425

 

Ardagh Glass Group plc, Senior Notes,

 

 

 

 

 

 

 

7.375%, 10/15/17 (g) 

 

Ba3

 

427

 

425

 

Ball Corporation, Senior Notes,

 

 

 

 

 

 

 

7.375%, 09/01/19

 

Ba1

 

461

 

850

 

Berry Plastics Corporation, Senior Notes,

 

 

 

 

 

 

 

8.25%, 11/15/15

 

B1

 

873

 

250

 

Berry Plastics Corporation, Senior Notes,

 

 

 

 

 

 

 

8.875%, 09/15/14

 

Caa1

 

241

 

817

 

Boise Cascade, LLC, Senior Subordinated Notes,

 

 

 

 

 

 

 

Notes, 7.125%, 10/15/14

 

Caa1

 

772

 

250

 

Boise Paper Holdings LLC, Senior Notes,

 

 

 

 

 

 

 

8%, 04/01/20

 

B2

 

259

 

375

 

Boise Paper Holdings LLC, Senior Notes,

 

 

 

 

 

 

 

9%, 11/01/17

 

B2

 

402

 

425

 

Bway Holding Company, Senior Notes,

 

 

 

 

 

 

 

10%, 06/15/18 (g)

 

B3

 

460

 

 



 

Schedule of Investments - September 30, 2010 (Unaudited) (Dollar Amounts in Thousands)

 

375

 

Cascades Inc., Senior Notes,

 

 

 

 

 

 

 

7.75%, 12/15/17

 

Ba3

 

392

 

300

 

Cascades, Inc., Senior Notes,

 

 

 

 

 

 

 

7.875%, 01/15/20

 

Ba3

 

314

 

450

 

Cellu Tissue Holdings, Inc., Senior Secured Notes,

 

 

 

 

 

 

 

11.50%, 06/01/14

 

B1

 

526

 

300

 

Clearwater Paper Corporation, Senior Notes,

 

 

 

 

 

 

 

10.625%, 06/15/16

 

Ba3

 

338

 

225

 

Clondalkin Acquisition BV, Senior Notes,

 

 

 

 

 

 

 

2.292%, 12/15/13 (g)

 

B1

 

204

 

300

 

Crown Euro Holdings, S.A., Senior Notes,

 

 

 

 

 

 

 

7.125%, 08/15/18 (g) (EUR)

 

Ba1

 

429

 

150

 

Georgia-Pacific Corporation, Senior Notes,

 

 

 

 

 

 

 

7.70%, 06/15/15

 

Ba3

 

166

 

525

 

Graphic Packaging International, Inc., Senior Notes,

 

 

 

 

 

 

 

7.875%, 10/01/18

 

B3

 

538

 

600

 

Graphic Packaging International, Inc., Senior Notes,

 

 

 

 

 

 

 

9.50%, 06/15/17

 

B3

 

639

 

350

 

Greif Inc., Senior Notes,

 

 

 

 

 

 

 

7.75%, 08/01/19

 

Ba2

 

378

 

425

 

JSG Funding PLC, Subordinated Notes,

 

 

 

 

 

 

 

7.75%, 04/01/15

 

B2

 

430

 

275

 

Plastipak Holdings, Inc., Senior Notes,

 

 

 

 

 

 

 

10.625%, 08/15/19 (g)

 

B3

 

306

 

200

 

Plastipak Holdings, Inc., Senior Notes,

 

 

 

 

 

 

 

10.625%, 08/15/19 (g)

 

(e)

 

223

 

475

 

Reynolds Group Issuer, Inc., Senior Notes,

 

 

 

 

 

 

 

7.75%, 10/15/16 (g)

 

B1

 

487

 

250

 

Reynolds Group Issuer, Inc., Senior Notes,

 

 

 

 

 

 

 

8%, 12/15/16 (g) (EUR)

 

Caa1

 

320

 

375

 

Reynolds Group Issuer, Inc., Senior Notes,

 

 

 

 

 

 

 

8.50%, 05/15/18 (g)

 

Caa1

 

365

 

825

 

Solo Cup Company, Senior Notes,

 

 

 

 

 

 

 

10.50%, 11/01/13

 

B2

 

854

 

50

 

Verso Paper Holdings LLC, Senior Notes,

 

 

 

 

 

 

 

11.50%, 07/01/14

 

Ba2

 

55

 

 

 

 

 

 

 

11,324

 

 

 

 

 

 

 

 

 

Diversified/Conglomerate Manufacturing - 4.13%

 

 

 

 

 

500

 

AGY Holding Corp., Senior Notes,

 

 

 

 

 

 

 

11%, 11/15/14

 

B3

 

427

 

400

 

Altra Holdings, Inc., Senior Notes,

 

 

 

 

 

 

 

8.125%, 12/01/16

 

B1

 

416

 

675

 

AMH Holdings, LLC, Senior Discount Notes,

 

 

 

 

 

 

 

11.25%, 03/01/14

 

Caa2

 

702

 

375

 

Amsted Industries, Inc., Senior Notes,

 

 

 

 

 

 

 

8.125%, 03/15/18 (g)

 

B1

 

392

 

780

 

Cemex Finance LLC, Senior Notes,

 

 

 

 

 

 

 

9.50%, 12/14/16 (g)

 

(e)

 

785

 

450

 

Coleman Cable, Inc., Senior Notes,

 

 

 

 

 

 

 

9%, 02/15/18

 

B3

 

461

 

100

 

CPM Holdings, Inc., Senior Notes,

 

 

 

 

 

 

 

10.625%, 09/01/14 (g)

 

B2

 

108

 

500

 

Goodman Global, Inc., Senior Notes,

 

 

 

 

 

 

 

13.50%, 02/15/16

 

(e)

 

549

 

500

 

Hawk Corporation, Senior Notes,

 

 

 

 

 

 

 

8.75%, 11/01/14

 

B3

 

500

 

75

 

Masco Corporation, Senior Notes,

 

 

 

 

 

 

 

6.125%, 10/03/16

 

Ba2

 

76

 

425

 

Masco Corporation, Senior Notes,

 

 

 

 

 

 

 

7.125%, 03/15/20

 

Ba2

 

434

 

475

 

Oshkosh Corporation, Senior Notes,

 

 

 

 

 

 

 

8.25%, 03/01/17

 

B2

 

509

 

475

 

Oshkosh Corporation, Senior Notes,

 

 

 

 

 

 

 

8.50%, 03/01/20

 

B2

 

514

 

750

 

Pinafore, LLC, Senior Notes,

 

 

 

 

 

 

 

9%, 10/01/18 (g)

 

B1

 

786

 

775

 

Ply Gem Industries, Inc., Senior Notes,

 

 

 

 

 

 

 

11.75%, 06/15/13

 

Caa1

 

827

 

1,425

 

RBS Global, Inc., Senior Notes,

 

 

 

 

 

 

 

8.50%, 05/01/18

 

Caa1

 

1,461

 

 



 

Schedule of Investments - September 30, 2010 (Unaudited) (Dollar Amounts in Thousands)

 

450

 

SPX Corporation, Senior Notes,

 

 

 

 

 

 

 

6.875%, 09/01/17 (g)

 

Ba1

 

477

 

50

 

Terex Corporation, Senior Notes,

 

 

 

 

 

 

 

10.875%, 06/01/16

 

B2

 

57

 

300

 

Terex Corporation, Senior Subordinated Notes,

 

 

 

 

 

 

 

8%, 11/15/17

 

Caa1

 

300

 

 

 

 

 

 

 

9,781

 

 

 

 

 

 

 

 

 

Diversified/Conglomerate Service - 7.59%

 

 

 

 

 

475

 

Anixter Inc., Senior Notes,

 

 

 

 

 

 

 

10%, 03/15/14

 

Ba2

 

511

 

525

 

Avis Budget Car Rental LLC, Senior Notes,

 

 

 

 

 

 

 

7.625%, 05/15/14

 

B3

 

533

 

450

 

Avis Budget Car Rental LLC, Senior Notes,

 

 

 

 

 

 

 

9.625%, 03/15/18

 

B3

 

477

 

675

 

Dycom Investments, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

8.125%, 10/15/15

 

Ba3

 

688

 

300

 

EC Finance plc, Senior Notes,

 

 

 

 

 

 

 

9.75%, 08/01/17 (g) (EUR)

 

B2

 

444

 

525

 

Education Management LLC, Senior Notes,

 

 

 

 

 

 

 

8.75%, 06/01/14

 

B2

 

522

 

81

 

Education Management LLC, Senior Subordinated Notes,

 

 

 

 

 

 

 

10.25%, 06/01/16

 

B3

 

83

 

600

 

Europcar Groupe S.A., Senior Subordinated Notes,

 

 

 

 

 

 

 

4.399%, 05/15/13 (g) (EUR)

 

B3

 

765

 

254

 

Europcar Groupe S.A., Subordinate Notes,

 

 

 

 

 

 

 

8.125%, 05/15/14 (g) (EUR)

 

Caa1

 

346

 

400

 

Garda World Security Corporation, Senior Notes,

 

 

 

 

 

 

 

9.75%, 03/15/17 (g)

 

B3

 

429

 

425

 

GEO Group, Inc., Senior Notes,

 

 

 

 

 

 

 

7.75%, 10/15/17 (g)

 

B1

 

446

 

850

 

Hertz Corporation, Senior Notes,

 

 

 

 

 

 

 

7.50%, 10/15/18 (g)

 

B2

 

847

 

125

 

Hertz Corporation, Senior Notes,

 

 

 

 

 

 

 

8.875%, 01/01/14

 

B2

 

128

 

725

 

Hertz Corporation, Senior Subordinated Notes,

 

 

 

 

 

 

 

10.50%, 01/01/16

 

B3

 

771

 

400

 

Hertz Holdings Netherlands B.V., Senior Notes,

 

 

 

 

 

 

 

8.50%, 07/31/15 (g) (EUR)

 

B1

 

573

 

450

 

Inventive Health Inc., Senior Notes,

 

 

 

 

 

 

 

10%, 08/15/18 (g)

 

Caa1

 

449

 

825

 

iPayment, Inc., Senior Notes,

 

 

 

 

 

 

 

9.75%, 05/15/14

 

Caa1

 

752

 

1,067

 

iPayment, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

12.75%, 07/15/14 (c)(g)

 

(e)

 

923

 

325

 

Kratos Defense and Security Solutions, Inc., Senior Notes,

 

 

 

 

 

 

 

10%, 06/01/17

 

B3

 

343

 

350

 

Maxim Crane Works, L.P., Senior Notes,

 

 

 

 

 

 

 

12.25%, 04/15/15 (g)

 

Caa1

 

319

 

975

 

Mobile Mini, Inc. Senior Notes,

 

 

 

 

 

 

 

6.875%, 05/01/15

 

B2

 

929

 

300

 

Mobile Services Group, Inc. Senior Notes,

 

 

 

 

 

 

 

9.75%, 08/01/14

 

B2

 

314

 

900

 

Multiplan, Inc., Senior Notes,

 

 

 

 

 

 

 

9.875%, 09/01/18 (g)

 

Caa1

 

938

 

525

 

Novasep Holding, Senior Notes,

 

 

 

 

 

 

 

9.75%, 12/15/16 (g)

 

B3

 

414

 

525

 

Open Solutions, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

9.75%, 02/01/15 (g)

 

Caa2

 

378

 

550

 

RSC Equipment, Inc., Senior Notes,

 

 

 

 

 

 

 

10%, 07/15/17 (g)

 

B1

 

606

 

1,250

 

Servicemaster Company, Senior Notes,

 

 

 

 

 

 

 

10.75%, 07/15/15 (g)

 

B3

 

1,334

 

925

 

Sunstate Equipment Co, LLC, Senior Secured Notes,

 

 

 

 

 

 

 

10.50%, 04/01/13 (g) 

 

Caa2

 

837

 

250

 

Travelport LLC, Senior Notes,

 

 

 

 

 

 

 

11.875%, 09/01/16

 

Caa1

 

268

 

1,400

 

United Rentals North America, Inc., Senior Notes,

 

 

 

 

 

 

 

10.875%, 06/15/16

 

B3

 

1,586

 

 

 

 

 

 

 

17,953

 

 



 

Schedule of Investments - September 30, 2010 (Unaudited) (Dollar Amounts in Thousands)

 

Ecological - .44%

 

 

 

 

 

225

 

Casella Waste Systems, Inc., Senior Subordinated

 

 

 

 

 

 

 

Notes, 9.75%, 02/01/13

 

Caa1

 

226

 

800

 

WCA Waste Corporation, Senior Notes,

 

 

 

 

 

 

 

9.25%, 06/15/14

 

B3

 

816

 

 

 

 

 

 

 

1,042

 

 

 

 

 

 

 

 

 

Electronics - 2.40%

 

 

 

 

 

475

 

Advanced Micro Devices, Inc., Senior Notes,

 

 

 

 

 

 

 

7.75%, 08/01/20 (g)

 

Ba3

 

488

 

175

 

Advanced Micro Devices, Inc., Senior Notes,

 

 

 

 

 

 

 

8.125%, 12/15/17

 

Ba3

 

185

 

250

 

Aspect Software, Inc., Senior Notes,

 

 

 

 

 

 

 

10.625%, 05/15/17 (g)

 

Caa1

 

259

 

975

 

CDW Corporation, Senior Notes,

 

 

 

 

 

 

 

11%, 10/12/15 (g)

 

(e)

 

987

 

525

 

Fidelity National Information, Senior Notes,

 

 

 

 

 

 

 

7.625%, 07/15/17 (g)

 

Ba2

 

559

 

325

 

Fidelity National Information, Senior Notes,

 

 

 

 

 

 

 

7.875%, 07/15/20 (g)

 

Ba2

 

349

 

800

 

First Data, Senior Notes,

 

 

 

 

 

 

 

8.875%, 08/15/20 (g)

 

B1

 

830

 

350

 

Freescale Semiconductor, Inc., Senior Notes,

 

 

 

 

 

 

 

10.125%, 03/15/18 (g)

 

B2

 

372

 

575

 

Jabil Circuit, Inc., Senior Notes,

 

 

 

 

 

 

 

7.75%, 07/15/16

 

Ba1

 

628

 

375

 

JDA Software Group, Inc., Senior Notes,

 

 

 

 

 

 

 

8%, 12/15/14 (g)

 

B1

 

396

 

225

 

Seagate Technology International, Inc., Senior Notes,

 

 

 

 

 

 

 

10%, 05/01/14 (g)

 

Baa3

 

264

 

325

 

Sungard Data Systems Inc., Senior Notes,

 

 

 

 

 

 

 

10.625%, 05/15/15

 

Caa1

 

362

 

 

 

 

 

 

 

5,679

 

 

 

 

 

 

 

 

 

Finance - 13.94%

 

 

 

 

 

475

 

Aircastle Limited, Senior Notes,

 

 

 

 

 

 

 

9.75%, 08/01/18 (g)

 

Ba3

 

494

 

1,825

 

Ally Financial, Inc., Senior Notes,

 

 

 

 

 

 

 

7.50%, 09/15/20 (g)

 

B3

 

1,948

 

1,675

 

Ally Financial, Inc., Senior Notes,

 

 

 

 

 

 

 

8%, 11/01/31

 

B3

 

1,792

 

750

 

Ally Financial, Inc., Senior Notes,

 

 

 

 

 

 

 

8.30%, 02/12/15 (g)

 

B3

 

819

 

675

 

American Capital Ltd., Senior Notes,

 

 

 

 

 

 

 

8.96%, 12/31/13

 

(e)

 

690

 

1,175

 

American General Finance Corporation, Senior Notes,

 

 

 

 

 

 

 

6.90%, 12/15/17

 

B3

 

981

 

7,025

 

CIT Group, Inc., Senior Notes,

 

 

 

 

 

 

 

7%, 05/01/17

 

B3

 

6,884

 

1,200

 

Discover Financial Services, Senior Notes,

 

 

 

 

 

 

 

10.25%, 07/15/19

 

Ba1

 

1,538

 

900

 

E*Trade Financial Corporation, Senior Notes,

 

 

 

 

 

 

 

7.375%, 09/15/13

 

B3

 

877

 

475

 

E*Trade Financial Corporation, Senior Notes,

 

 

 

 

 

 

 

7.875%%, 12/01/15

 

B3

 

458

 

2,198

 

E*Trade Financial Corporation, Senior Notes,

 

 

 

 

 

 

 

12.50%, 11/30/17 (c)

 

(e)

 

2,495

 

1,175

 

Ford Motor Credit Company LLC, Senior Notes,

 

 

 

 

 

 

 

8.125%, 01/15/20

 

Ba3

 

1,363

 

250

 

Ford Motor Credit Company LLC, Senior Notes,

 

 

 

 

 

 

 

8.70%, 10/01/14

 

Ba3

 

281

 

1,225

 

Ford Motor Credit Company LLC, Senior Notes,

 

 

 

 

 

 

 

12%, 05/15/15

 

Ba3

 

1,537

 

650

 

Fresenius US Financial II Inc., Senior Notes,

 

 

 

 

 

 

 

9%, 07/15/15 (g)

 

Ba1

 

741

 

1,975

 

International Lease Finance Corporation, Senior Notes,

 

 

 

 

 

 

 

8.625%, 09/15/15 (g)

 

B1

 

2,128

 

 



 

Schedule of Investments - September 30, 2010 (Unaudited) (Dollar Amounts in Thousands)

 

1,600

 

International Lease Finance Corporation, Senior Notes,

 

 

 

 

 

 

 

8.875%, 09/01/17

 

B1

 

1,732

 

2,375

 

Nuveen Investments, Inc., Senior Notes,

 

 

 

 

 

 

 

5.50%, 09/15/15

 

Caa3

 

1,876

 

1,050

 

Nuveen Investments, Inc., Senior Notes,

 

 

 

 

 

 

 

10.50%, 11/15/15

 

Caa3

 

1,045

 

450

 

Penson Worldwide, Inc., Senior Notes,

 

 

 

 

 

 

 

12.50%, 05/15/17 (g)

 

B1

 

446

 

475

 

PHH Corporation, Senior Notes,

 

 

 

 

 

 

 

9.25%, 03/01/16 (g)

 

Ba2

 

492

 

575

 

Provident Funding Associates, L.P., Senior Notes,

 

 

 

 

 

 

 

10.25%, 04/15/17 (g)

 

Ba3

 

592

 

1,750

 

SLM Corporation, Senior Medium Term Notes,

 

 

 

 

 

 

 

8.45%, 06/15/18

 

Ba1

 

1,769

 

 

 

 

 

 

 

32,978

 

 

 

 

 

 

 

 

 

Farming and Agriculture - .36%

 

 

 

 

 

800

 

CF Industries Inc., Senior Notes,

 

 

 

 

 

 

 

6.875%, 05/01/18

 

B1

 

860

 

 

 

 

 

 

 

 

 

Furnishings, Housewares, Consumer Durable - .37%

 

 

 

 

 

225

 

Mohawk Industries, Inc., Senior Notes,

 

 

 

 

 

 

 

6.875%, 01/15/16

 

Ba2

 

234

 

650

 

Sealy Mattress Company, Senior Subordinated Notes,

 

 

 

 

 

 

 

8.25%, 06/15/14

 

Caa1

 

648

 

 

 

 

 

 

 

882

 

 

 

 

 

 

 

 

 

Groceries - .22%

 

 

 

 

 

500

 

Susser Holdings LLC, Senior Notes,

 

 

 

 

 

 

 

8.50%, 05/15/16

 

B2

 

520

 

 

 

 

 

 

 

 

 

Healthcare, Education and Childcare - 7.24%

 

 

 

 

 

450

 

Accellent, Inc. Senior Notes,

 

 

 

 

 

 

 

8.375%, 02/01/17

 

B1

 

461

 

375

 

Accellent, Inc Senior Subordinated Notes,

 

 

 

 

 

 

 

10.50%, 12/01/13

 

Caa2

 

381

 

1,500

 

Biomet, Inc., Senior Notes,

 

 

 

 

 

 

 

10.375%, 10/15/17

 

B3

 

1,657

 

475

 

Biomet, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

11.625%, 10/15/17

 

Caa1

 

529

 

125

 

BioScrip, Inc., Senior Notes,

 

 

 

 

 

 

 

10.25%, 10/01/15

 

B3

 

128

 

675

 

Boston Scientific Corporation, Senior Notes,

 

 

 

 

 

 

 

7.375%, 01/15/40

 

Ba1

 

772

 

525

 

Capella Healthcare Inc., Senior Notes,

 

 

 

 

 

 

 

9.25%, 07/01/17 (g)

 

B3

 

562

 

925

 

CHS/Community Health Systems, Inc., Senior Notes,

 

 

 

 

 

 

 

8.875%, 07/15/15

 

B3

 

980

 

550

 

HCA, Inc., Senior Notes,

 

 

 

 

 

 

 

8.50%, 04/15/19

 

Ba3

 

610

 

75

 

HCA, Inc., Senior Notes,

 

 

 

 

 

 

 

9.25%, 11/15/16

 

B2

 

81

 

750

 

HCA, Inc., Senior Secured Notes,

 

 

 

 

 

 

 

9.625%, 11/15/16

 

B2

 

818

 

150

 

HCA, Inc., Senior Secured Notes,

 

 

 

 

 

 

 

9.875%, 02/15/17

 

B2

 

165

 

355

 

Healthsouth Corporation, Senior Notes,

 

 

 

 

 

 

 

10.75%, 06/15/16

 

B2

 

391

 

250

 

LifePoint Hospitals, Inc., Senior Notes,

 

 

 

 

 

 

 

6.625%, 10/01/20 (g)

 

Ba1

 

256

 

350

 

Mylan Inc., Senior Notes,

 

 

 

 

 

 

 

7.625%, 07/15/17 (g)

 

B1

 

371

 

425

 

OnCure Holdings, Inc., Senior Notes,

 

 

 

 

 

 

 

11.75%, 05/15/17 (g)

 

B2

 

391

 

525

 

Radiation Therapy Services, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

9.875%, 04/15/17 (g)

 

Caa1

 

518

 

813

 

Symbion, Inc., Senior Notes,

 

 

 

 

 

 

 

11.00%, 08/23/15 (c)

 

Caa2

 

713

 

900

 

Tenet Healthcare Corporation, Senior Notes,

 

 

 

 

 

 

 

8%, 08/01/20 (g)

 

Caa1

 

895

 

 



 

Schedule of Investments - September 30, 2010 (Unaudited) (Dollar Amounts in Thousands)

 

475

 

Tenet Healthcare Corporation, Senior Notes,

 

 

 

 

 

 

 

8.875%, 07/01/19

 

B1

 

525

 

175

 

UHS Escrow Corporation, Senior Notes,

 

 

 

 

 

 

 

7%, 10/01/18 (g)

 

B1

 

181

 

875

 

United Surgical Partners International, Inc., Senior

 

 

 

 

 

 

 

Subordinated Notes, 8.875%, 05/01/17

 

Caa1

 

895

 

450

 

Universal Hospital Services, Inc., Senior Secured

 

 

 

 

 

 

 

Notes, 4.134%, 06/01/15

 

B3

 

389

 

200

 

Universal Hospital Services, Inc., Senior Secured

 

 

 

 

 

 

 

Notes, 8.50%, 06/01/15

 

B3

 

203

 

350

 

US Oncology, Inc., Senior Notes,

 

 

 

 

 

 

 

9.125%, 08/15/17

 

Ba3

 

369

 

838

 

US Oncology, Inc., Senior Subordinated

 

 

 

 

 

 

 

Notes, 6.904%, 03/15/12 (c)

 

Caa1

 

796

 

425

 

Valeant Pharmaceuticals, International, Senior Notes,

 

 

 

 

 

 

 

6.75%, 10/01/17 (g)

 

B1

 

435

 

625

 

Valeant Pharmaceuticals, International, Senior Notes,

 

 

 

 

 

 

 

7%, 10/01/20 (g)

 

B1

 

639

 

750

 

Vanguard Health Holding Company II, LLC, Senior Notes,

 

 

 

 

 

 

 

8%, 02/01/18 (g)

 

B3

 

758

 

1,225

 

Warner Chilcott Company, LLC, Senior Notes,

 

 

 

 

 

 

 

7.75%, 09/15/18 (g)

 

B3

 

1,251

 

 

 

 

 

 

 

17,120

 

 

 

 

 

 

 

 

 

Hotels, Motels, Inns and Gaming - 4.50%

 

 

 

 

 

800

 

Ameristar Casinos, Inc., Senior Notes,

 

 

 

 

 

 

 

9.25%, 06/01/14

 

B2

 

855

 

500

 

Cirsa Funding Luxembourg S.A., Senior Notes,

 

 

 

 

 

 

 

8.75%, 05/15/18 (g) (EUR)

 

B3

 

695

 

250

 

Codere Finance (Luxembourg) S.A., Senior Notes,

 

 

 

 

 

 

 

8.25%, 06/15/15 (g) (EUR)

 

B2

 

341

 

50

 

Gaylord Entertainment Company, Senior Notes,

 

 

 

 

 

 

 

6.75%, 11/15/14

 

Caa2

 

50

 

1,875

 

Harrah’s Escrow Corporation, Senior Notes,

 

 

 

 

 

 

 

11.25%, 06/01/17

 

Caa1

 

2,053

 

500

 

Harrah’s Operating Company, Senior Notes,

 

 

 

 

 

 

 

10%, 12/15/18

 

(e)

 

398

 

525

 

MGM Mirage, Senior Notes,

 

 

 

 

 

 

 

9%, 03/15/20 (g)

 

B1

 

559

 

375

 

MGM Mirage, Senior Notes,

 

 

 

 

 

 

 

10.375%, 05/15/14

 

B1

 

415

 

775

 

MGM Mirage, Senior Notes,

 

 

 

 

 

 

 

11.125%, 11/15/17

 

B1

 

882

 

400

 

MGM Mirage, Senior Notes,

 

 

 

 

 

 

 

13%, 11/15/13

 

B1

 

471

 

475

 

Pinnacle Entertainment, Inc., Senior Subordinated

 

 

 

 

 

 

 

Notes, 8.625%, 08/01/17

 

B1

 

504

 

1,300

 

Pokagon Gaming Authority, Senior Notes,

 

 

 

 

 

 

 

10.375%, 06/15/14 (g)

 

B2

 

1,345

 

225

 

Sheraton Holding Corporation, Senior Notes,

 

 

 

 

 

 

 

7.375%, 11/15/15

 

Ba1

 

248

 

550

 

Shingle Springs Tribal Gaming Authority, Senior

 

 

 

 

 

 

 

Secured Notes, 9.375%, 06/15/15 (g)

 

Caa2

 

407

 

575

 

Wynn Las Vegas LLC, Senior Notes,

 

 

 

 

 

 

 

7.75%, 08/15/20 (g)

 

Ba3

 

610

 

750

 

Wynn Las Vegas LLC, Senior Notes,

 

 

 

 

 

 

 

7.875%, 11/01/17

 

Ba2

 

806

 

 

 

 

 

 

 

10,639

 

 

 

 

 

 

 

 

 

Insurance - 3.07%

 

 

 

 

 

2,450

 

American International Group, Inc., Senior Notes,

 

 

 

 

 

 

 

8.25%, 08/15/18

 

A3

 

2,842

 

575

 

Centene Corporation, Senior Notes,

 

 

 

 

 

 

 

7.25%, 04/01/14

 

Ba2

 

597

 

750

 

Genworth Financial, Inc., Senior Notes,

 

 

 

 

 

 

 

8.625%, 12/15/16

 

Baa3

 

836

 

875

 

Hub International Limited, Senior Notes,

 

 

 

 

 

 

 

9%, 12/15/14 (g)

 

B3

 

864

 

 



 

Schedule of Investments - September 30, 2010 (Unaudited) (Dollar Amounts in Thousands)

 

1,775

 

Hub International Limited, Senior Subordinated Notes,

 

 

 

 

 

 

 

10.25%, 06/15/15 (g)

 

Caa1

 

1,715

 

425

 

USI Holdings Corporation, Senior Subordinated Notes,

 

 

 

 

 

 

 

9.75%, 05/15/15 (g)

 

Caa1

 

412

 

 

 

 

 

 

 

7,266

 

 

 

 

 

 

 

 

 

Leisure, Amusement and Entertainment - 1.77%

 

 

 

 

 

525

 

Cedar Fair LP, Senior Notes,

 

 

 

 

 

 

 

9.125%, 08/01/18 (g)

 

B2

 

554

 

175

 

Easton Bell Sports Inc., Senior Notes,

 

 

 

 

 

 

 

9.75%, 12/01/16

 

B3

 

190

 

1,275

 

Manchester United Finance plc, Senior Notes,

 

 

 

 

 

 

 

8.375%, 02/01/17 (g)

 

(e)

 

1,249

 

450

 

Speedway Motorsports, Inc., Senior Notes,

 

 

 

 

 

 

 

8.75%, 06/01/16

 

Ba1

 

479

 

775

 

Ticketmaster, Senior Notes,

 

 

 

 

 

 

 

10.75%, 08/01/16

 

B1

 

847

 

575

 

Universal City Development Partners, Ltd., Senior Notes,

 

 

 

 

 

 

 

8.875%, 11/15/15

 

B3

 

594

 

250

 

Universal City Development Partners, Ltd., Senior Notes,

 

 

 

 

 

 

 

10.875%, 11/15/16

 

B3

 

271

 

 

 

 

 

 

 

4,184

 

 

 

 

 

 

 

 

 

Machinery - .54%

 

 

 

 

 

1,175

 

Case New Holland, Inc., Senior Notes,

 

 

 

 

 

 

 

7.875%, 12/01/17 (g)

 

Ba3

 

1,287

 

 

 

 

 

 

 

 

 

Mining, Steel, Iron and Non-Precious Metals - 5.63%

 

 

 

 

 

525

 

AK Steel Corporation, Senior Notes,

 

 

 

 

 

 

 

7.625%, 05/15/20

 

Ba3

 

535

 

525

 

Algoma Acquisition Corporation,

 

 

 

 

 

 

 

9.875%, 06/15/15 (g)

 

Caa2

 

469

 

250

 

Arch Coal, Inc., Senior Notes,

 

 

 

 

 

 

 

8.75%, 08/01/16

 

B1

 

276

 

975

 

Consol Energy, Inc., Senior Notes,

 

 

 

 

 

 

 

8%, 04/01/17 (g)

 

B1

 

1,055

 

400

 

Consol Energy, Inc., Senior Notes,

 

 

 

 

 

 

 

8.25%, 04/01/20 (g)

 

B1

 

436

 

350

 

ESCO Corporation, Senior Notes,

 

 

 

 

 

 

 

4.167%, 12/15/13 (g)

 

B2

 

315

 

500

 

ESCO Corporation, Senior Notes,

 

 

 

 

 

 

 

8.625%, 12/15/13 (g)

 

B2

 

514

 

725

 

Foresight Energy LLC, Senior Notes,

 

 

 

 

 

 

 

9.625%, 08/15/17 (g)

 

Caa1

 

750

 

150

 

International Coal, Senior Notes,

 

 

 

 

 

 

 

9.125%, 04/01/18

 

Caa1

 

159

 

550

 

Metals USA, Inc., Senior Secured Notes,

 

 

 

 

 

 

 

11.125%, 12/01/15

 

B3

 

582

 

450

 

New World Resources N.V., Senior Notes,

 

 

 

 

 

 

 

7.875%, 05/01/18 (g) (EUR)

 

Ba3

 

637

 

575

 

Novelis, Inc., Senior Notes,

 

 

 

 

 

 

 

11.50%, 02/15/15

 

B1

 

655

 

425

 

Patriot Coal Corporation, Senior Notes,

 

 

 

 

 

 

 

8.25%, 04/30/18

 

B3

 

424

 

2,525

 

Ryerson Holding Corporation, Senior Secured Notes,

 

 

 

 

 

 

 

14.50%, 02/01/15 (b)(g)

 

Caa3

 

1,136

 

1,225

 

Ryerson Inc., Senior Secured Notes,

 

 

 

 

 

 

 

12%, 11/01/15

 

Caa1

 

1,262

 

625

 

Severstal Columbus LLC, Senior Notes,

 

 

 

 

 

 

 

10.25%, 02/15/18 (g)

 

B3

 

656

 

900

 

Steel Capital, Senior Notes,

 

 

 

 

 

 

 

9.75%, 07/29/13 (g)

 

Ba3

 

993

 

50

 

Steel Dynamics, Inc., Senior Notes,

 

 

 

 

 

 

 

7.75%, 04/15/16

 

Ba2

 

52

 

475

 

Steel Dynamics, Inc., Senior Notes,

 

 

 

 

 

 

 

7.625%, 03/15/20 (g)

 

Ba2

 

496

 

1,125

 

Tube City IMS Corporation., Senior Subordinated Notes,

 

 

 

 

 

 

 

9.75%, 02/01/15

 

Caa1

 

1,139

 

725

 

Vedanta Resources, Plc, Ssenior Notes,

 

 

 

 

 

 

 

9.50%, 07/18/18 (g)

 

Ba2

 

783

 

 

 

 

 

 

 

13,324

 

 



 

Schedule of Investments - September 30, 2010 (Unaudited) (Dollar Amounts in Thousands)

 

Oil and Gas - 11.92%

 

 

 

 

 

75

 

AmeriGas Partners, L.P., Senior Notes,

 

 

 

 

 

 

 

7.125%, 05/20/16

 

Ba3

 

78

 

105

 

Anadarko Petroleum Corporation, Senior Notes,

 

 

 

 

 

 

 

6.20%, 03/15/40

 

Ba1

 

102

 

545

 

Anadarko Petroleum Corporation, Senior Notes,

 

 

 

 

 

 

 

8.70%, 03/15/19

 

Ba1

 

651

 

930

 

Anadarko Petroleum Corporation, Senior Notes,

 

 

 

 

 

 

 

6.375%, 09/15/17

 

Ba1

 

1,018

 

1,075

 

Antero Resources Corporation, Senior Notes,

 

 

 

 

 

 

 

9.375%, 12/01/17

 

Caa1

 

1,139

 

450

 

Berry Petroleum Company, Senior Notes,

 

 

 

 

 

 

 

10.25%, 06/01/14

 

B2

 

504

 

525

 

Bill Barrett Corporation, Senior Notes,

 

 

 

 

 

 

 

9.875%, 07/15/16

 

B1

 

574

 

750

 

Chesapeake Energy Corp., Senior Notes,

 

 

 

 

 

 

 

6.625%, 08/15/20

 

Ba3

 

784

 

975

 

Chesapeake Energy Corp., Senior Notes,

 

 

 

 

 

 

 

9.50%, 02/15/15

 

Ba3

 

1,127

 

425

 

Cie Gen Geophysique, Senior Notes,

 

 

 

 

 

 

 

7.50%, 05/15/15

 

Ba3

 

432

 

800

 

Complete Production Services, Inc., Senior

 

 

 

 

 

 

 

Notes, 8%, 12/15/16

 

B1

 

824

 

750

 

Concho Resources, Inc., Senior Notes,

 

 

 

 

 

 

 

8.625%, 10/01/17

 

B3

 

793

 

1,375

 

Connacher Oil and Gas Limited, Senior Notes,

 

 

 

 

 

 

 

10.25%, 12/15/15 (g)

 

Caa2

 

1,396

 

400

 

Continental Resources, Senior Notes,

 

 

 

 

 

 

 

7.125%, 04/01/21 (g)

 

B1

 

413

 

772

 

Denbury Resources Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

8.25%, 02/15/20

 

B1

 

841

 

575

 

Denbury Resources Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

9.75%, 03/01/16

 

B1

 

645

 

1,425

 

El Paso Corporation, Senior Notes,

 

 

 

 

 

 

 

12%, 12/12/13

 

Ba3

 

1,742

 

125

 

Encore Acquisition Company, Senior Subordinated

 

 

 

 

 

 

 

Notes, 9.50%, 05/01/16

 

B1

 

140

 

1,325

 

Energy Transfer Equity, L.P., Senior Notes,

 

 

 

 

 

 

 

7.50%, 10/15/20

 

Ba2

 

1,395

 

625

 

Exco Resources, Inc., Senior Notes,

 

 

 

 

 

 

 

7.50%, 09/15/18

 

B3

 

620

 

250

 

Ferrellgas, L.P., Senior Notes,

 

 

 

 

 

 

 

6.75%, 05/01/14

 

Ba3

 

253

 

120

 

Forest Oil Corp., Senior Notes,

 

 

 

 

 

 

 

7.25%, 06/15/19

 

B1

 

123

 

575

 

Global Geophysical Services, Senior Notes,

 

 

 

 

 

 

 

10.50%, 05/01/17 (g)

 

B3

 

584

 

750

 

Hilcorp Energy I, L.P., Senior Notes,

 

 

 

 

 

 

 

7.75%, 11/01/15 (g)

 

B2

 

757

 

625

 

Inergy, L.p., Senior Notes,

 

 

 

 

 

 

 

7%, 10/01/18 (g)

 

Ba3

 

641

 

475

 

Inergy, L.p., Senior Notes,

 

 

 

 

 

 

 

8.75%, 03/01/15

 

Ba3

 

512

 

425

 

Kinder Morgan Finance Company, ULC, Senior Notes,

 

 

 

 

 

 

 

5.70%, 01/05/16

 

Ba1

 

439

 

250

 

NRG Energy, Inc., Senior Notes,

 

 

 

 

 

 

 

7.375%, 02/01/16

 

B1

 

256

 

625

 

NRG Energy, Inc., Senior Notes,

 

 

 

 

 

 

 

7.375%, 01/15/17

 

B1

 

639

 

800

 

NRG Energy, Inc., Senior Notes,

 

 

 

 

 

 

 

8.25%, 09/01/20 (g)

 

B1

 

827

 

700

 

OPTI Canada Inc., Senior Secured Notes,

 

 

 

 

 

 

 

7.875%, 12/15/14

 

Caa3

 

525

 

425

 

OPTI Canada Inc., Senior Secured Notes,

 

 

 

 

 

 

 

8.25%, 12/15/14

 

Caa3

 

319

 

300

 

Penn Virginia Corporation, Senior Notes,

 

 

 

 

 

 

 

10.375%, 06/15/16

 

B2

 

327

 

 



 

Schedule of Investments - September 30, 2010 (Unaudited) (Dollar Amounts in Thousands)

 

325

 

Penn Virginia Resources Partners, L.P., Senior Notes,

 

 

 

 

 

 

 

8.25%, 04/15/18

 

B2

 

335

 

400

 

PetroHawk Energy Corporation, Senior Notes,

 

 

 

 

 

 

 

10.50%, 08/01/14

 

B3

 

450

 

600

 

Plains Exploration and Production Company, Senior Notes,

 

 

 

 

 

 

 

10%, 03/01/16

 

B1

 

681

 

710

 

Pride International, Senior Notes,

 

 

 

 

 

 

 

8.50%, 06/15/19

 

Ba1

 

824

 

275

 

QEP Resources, Inc., Senior Notes,

 

 

 

 

 

 

 

6.875%, 03/01/21

 

Ba1

 

297

 

650

 

Quicksilver Resources, Inc., Senior Notes,

 

 

 

 

 

 

 

11.75%, 01/01/16

 

B2

 

760

 

825

 

Range Resources Corporaiton, Senior Subordinated Notes,

 

 

 

 

 

 

 

6.75%, 08/01/20

 

Ba3

 

852

 

375

 

RDS Ultra-Deep Water, Ltd., Senior Notes,

 

 

 

 

 

 

 

11.875%, 03/15/17 (g)

 

B3

 

392

 

400

 

Suburban Propane Partners, L.P., Senior Notes,

 

 

 

 

 

 

 

7.375%, 03/15/20

 

Ba3

 

425

 

650

 

Swift Energy Company, Senior Notes,

 

 

 

 

 

 

 

8.875%, 01/15/20

 

B3

 

678

 

750

 

Tesoro Corporation, Senior Notes,

 

 

 

 

 

 

 

6.50%, 06/01/17

 

Ba1

 

735

 

25

 

Tesoro Corporation, Senior Notes,

 

 

 

 

 

 

 

9.75%, 06/01/19

 

Ba1

 

27

 

325

 

Whiting Petroleum Corporation, Senior Subordinated Notes,

 

 

 

 

 

 

 

6.50% 10/01/18

 

Ba3

 

332

 

 

 

 

 

 

 

28,208

 

 

 

 

 

 

 

 

 

Personal, Food and Miscellaneous Services - 2.80%

 

 

 

 

 

400

 

Central Garden & Pet Company, Senior Subordinated

 

 

 

 

 

 

 

Notes, 8.25%, 03/01/18

 

B2

 

408

 

475

 

FTI Consulting, Inc., Senior Notes,

 

 

 

 

 

 

 

6.75%, 10/01/20 (g)

 

Ba2

 

480

 

250

 

FTI Consulting, Inc., Senior Notes,

 

 

 

 

 

 

 

7.75%, 10/01/16

 

Ba2

 

261

 

50

 

Grohe Holding GmbH, Senior Bonds,

 

 

 

 

 

 

 

8.625%, 10/01/14 (g) (EUR)

 

Caa1

 

69

 

203

 

Grohe Holding GmbH, Senior Secured Bonds,

 

 

 

 

 

 

 

3.71%, 01/15/14 (EUR)

 

B3

 

255

 

1,100

 

Mac-Gray Corporation, Senior Notes,

 

 

 

 

 

 

 

7.625%, 08/15/15

 

B3

 

1,059

 

850

 

O’Charleys, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

9%, 11/01/13

 

B3

 

858

 

600

 

OSI Restaurant Partners, Inc., Senior Notes,

 

 

 

 

 

 

 

10%, 06/15/15

 

Caa3

 

606

 

1,000

 

Wendy’s International Holdings, LLC, Senior Notes,

 

 

 

 

 

 

 

10%, 07/15/16

 

B3

 

1,061

 

400

 

West Corporation, Senior Subordinated Notes,

 

 

 

 

 

 

 

8.625%, 10/01/18 (g)

 

B3

 

402

 

900

 

West Corporation, Senior Subordinated Notes,

 

 

 

 

 

 

 

9.50%, 10/15/14

 

Caa1

 

942

 

200

 

West Corporation, Senior Subordinated Notes,

 

 

 

 

 

 

 

11%, 10/15/16

 

Caa1

 

212

 

 

 

 

 

 

 

6,613

 

 

 

 

 

 

 

 

 

Personal Non-Durable Consumer Products - .63%

 

 

 

 

 

200

 

Acco Brands Corporation, Senior Notes,

 

 

 

 

 

 

 

10.625%, 03/15/15

 

B1

 

223

 

675

 

Bausch & Lomb, Incorporated, Senior Notes,

 

 

 

 

 

 

 

9.875%, 11/01/15

 

Caa1

 

717

 

250

 

Jarden Corporation, Senior Notes,

 

 

 

 

 

 

 

8%, 05/01/16

 

Ba3

 

267

 

275

 

Scotts Miracle-Gro Company, Senior Notes,

 

 

 

 

 

 

 

7.25%, 01/15/18

 

B1

 

289

 

 

 

 

 

 

 

1,496

 

 

 

 

 

 

 

 

 

Personal Transportation - 1.72%

 

 

 

 

 

1,275

 

Continental Airlines, Inc., Senior Notes,

 

 

 

 

 

 

 

6.75%, 09/15/15 (g)

 

Ba2

 

1,294

 

 



 

Schedule of Investments - September 30, 2010 (Unaudited) (Dollar Amounts in Thousands)

 

200

 

Continental Airlines, Inc., Senior Notes,

 

 

 

 

 

 

 

7.25%, 05/10/21

 

Baa2

 

221

 

150

 

Continental Airlines, Inc., Senior Notes,

 

 

 

 

 

 

 

9.25%, 05/10/17

 

Ba2

 

163

 

584

 

Delta Airlines, Inc., Senior Notes,

 

 

 

 

 

 

 

9.50%, 09/15/14 (g)

 

Ba2

 

634

 

1,275

 

Delta Airlines, Inc., Senior Notes,

 

 

 

 

 

 

 

12.25%, 03/15/15 (g)

 

B2

 

1,412

 

185

 

Northwest Airlines

 

 

 

 

 

 

 

7.575%, 09/01/20

 

(e)

 

185

 

150

 

United Airlines, Inc., Senior Notes,

 

 

 

 

 

 

 

12%, 11/01/13 (g)

 

B3

 

166

 

 

 

 

 

 

 

4,075

 

 

 

 

 

 

 

 

 

Printing and Publishing - 2.58%

 

 

 

 

 

400

 

Bankrate, Inc., Senior Notes,

 

 

 

 

 

 

 

11.75%, 07/15/15 (g)

 

B2

 

426

 

825

 

Cengage Learning Acquisitions, Inc., Senior Subordinated

 

 

 

 

 

 

 

Notes, 13.25%, 07/15/15 (g)

 

Caa2

 

815

 

875

 

Cequel Communications Holdings I, LLC, Senior Notes,

 

 

 

 

 

 

 

8.625%, 11/15/17 (g)

 

B3

 

923

 

1,100

 

Deluxe Corporation, Senior Notes,

 

 

 

 

 

 

 

7.375%, 06/01/15

 

Ba1

 

1,134

 

475

 

Interpublic Group of Companies, Inc., Senior Notes,

 

 

 

 

 

 

 

10%, 07/15/17

 

Ba2

 

555

 

575

 

McClatchy Company, Senior Notes,

 

 

 

 

 

 

 

11.50%, 02/15/17

 

B1

 

611

 

350

 

Nielsen Finance LLC, Senior Notes,

 

 

 

 

 

 

 

11.50%, 05/01/16

 

Caa1

 

398

 

1,100

 

Nielsen Finance LLC, Senior Notes,

 

 

 

 

 

 

 

11.625%, 02/01/14

 

Caa1

 

1,251

 

 

 

 

 

 

 

6,113

 

 

 

 

 

 

 

 

 

Retail Stores - 6.01%

 

 

 

 

 

1,425

 

Ace Hardware Corporation, Senior Notes,

 

 

 

 

 

 

 

9.125%, 06/01/16 (g)

 

Ba2

 

1,518

 

150

 

Burlington Coat Factory Warehouse, Corp, Senior Notes,

 

 

 

 

 

 

 

11.125%, 04/15/14

 

Caa1

 

157

 

739

 

Dollar General Corporation, Senior Subordinated Debentures,

 

 

 

 

 

 

 

11.875%, 07/15/17

 

B3

 

861

 

75

 

Federated Retail Holdings, Inc., Senior Notes,

 

 

 

 

 

 

 

5.90%, 12/01/16

 

Ba1

 

79

 

700

 

HSN, Inc., Senior Notes,

 

 

 

 

 

 

 

11.25%, 08/01/16

 

Ba2

 

798

 

1,350

 

Limited Brands, Inc., Senior Notes,

 

 

 

 

 

 

 

7%, 05/01/20

 

Ba1

 

1,458

 

250

 

Limited Brands, Inc., Senior Notes,

 

 

 

 

 

 

 

8.50%, 06/15/19

 

Ba1

 

291

 

575

 

Michaels Stores, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

11.375%, 11/01/16

 

Caa2

 

627

 

1,025

 

Michaels Stores, Inc., Subordinated Notes,

 

 

 

 

 

 

 

13%, 11/01/16 (b)

 

Caa2

 

999

 

1,182

 

Neiman Marcus Group, Inc., Senior Notes,

 

 

 

 

 

 

 

9%, 10/15/15

 

Caa1

 

1,230

 

850

 

Neiman Marcus Group, Inc., Senior Subordinated

 

 

 

 

 

 

 

Notes, 10.375%, 10/15/15

 

Caa2

 

892

 

100

 

Penney (J.C.) Corporation, Inc., Senior Notes,

 

 

 

 

 

 

 

7.125%, 11/15/23

 

Ba1

 

108

 

400

 

Penney (J.C.) Corporation, Inc., Senior Notes,

 

 

 

 

 

 

 

7.40%, 04/01/37

 

Ba1

 

404

 

50

 

Penney (J.C.) Corporation, Inc., Senior Notes,

 

 

 

 

 

 

 

7.95%, 04/01/17

 

Ba1

 

56

 

500

 

QVC, Inc., Senior Notes,

 

 

 

 

 

 

 

7.125%, 04/15/17 (g)

 

Ba2

 

515

 

1,050

 

QVC, Inc., Senior Notes,

 

 

 

 

 

 

 

7.50%, 10/01/19 (g)

 

Ba2

 

1,089

 

475

 

Rite Aid Corporation, Senior Notes,

 

 

 

 

 

 

 

8%, 08/15/20 (g)

 

B3

 

481

 

675

 

Rite Aid Corporation, Senior Notes,

 

 

 

 

 

 

 

8.625%, 03/01/15

 

Caa3

 

584

 

 



 

Schedule of Investments - September 30, 2010 (Unaudited) (Dollar Amounts in Thousands)

 

225

 

Rite Aid Corporation, Senior Notes,

 

 

 

 

 

 

 

9.75%, 06/12/16

 

B3

 

240

 

600

 

Rite Aid Corporation, Senior Notes,

 

 

 

 

 

 

 

10.25%, 10/15/19

 

Caa2

 

628

 

125

 

Rite Aid Corporation, Senior Notes,

 

 

 

 

 

 

 

10.375%, 07/15/16

 

Caa2

 

130

 

525

 

Toys ‘R’ Us Delaware, Inc., Senior Notes,

 

 

 

 

 

 

 

7.375%, 09/01/16 (g)

 

B1

 

541

 

500

 

Toys ‘R’ Us Property Company II, LLC, Senior Notes,

 

 

 

 

 

 

 

8.50%, 12/01/17 (g)

 

Ba1

 

531

 

 

 

 

 

 

 

14,217

 

 

 

 

 

 

 

 

 

Telecommunications - 13.55%

 

 

 

 

 

875

 

Broadview Networks Holdings, Inc., Senior Secured

 

 

 

 

 

 

 

Notes, 11.375%, 09/01/12

 

B3

 

857

 

400

 

Cincinnati Bell Inc., Senior Notes,

 

 

 

 

 

 

 

7%, 02/15/15

 

B2

 

399

 

2,425

 

Clearwire Communications LLC, Senior Secured Notes,

 

 

 

 

 

 

 

12%, 12/01/15 (g)

 

Caa1

 

2,619

 

100

 

Cricket Communications, Inc., Senior Notes,

 

 

 

 

 

 

 

7.75%, 05/15/16

 

Ba2

 

107

 

675

 

Cricket Communications, Inc., Senior Notes,

 

 

 

 

 

 

 

9.375%, 11/01/14

 

B3

 

700

 

1,000

 

Cricket Communications, Inc., Senior Notes,

 

 

 

 

 

 

 

10%, 07/15/15

 

B3

 

1,072

 

500

 

Crown Castle International Corporation, Senior Notes,

 

 

 

 

 

 

 

9%, 01/15/15

 

B1

 

550

 

700

 

Digicel Limited, Senior Notes,

 

 

 

 

 

 

 

8.25%, 09/01/17 (g) 

 

B1

 

733

 

350

 

Digicel Limited, Senior Notes,

 

 

 

 

 

 

 

8.875%, 01/15/15 (g)

 

Caa1

 

356

 

900

 

Digicel Limited, Senior Notes,

 

 

 

 

 

 

 

10.50%, 04/15/18 (g)

 

Caa1

 

985

 

475

 

Equinix, Inc., Senior Notes,

 

 

 

 

 

 

 

8.125%, 03/01/18

 

Ba2

 

505

 

225

 

Geoeye, Inc., Senior Notes,

 

 

 

 

 

 

 

9.625%, 10/01/15

 

B1

 

246

 

425

 

Hughes Network Systems, LLC, Senior Notes,

 

 

 

 

 

 

 

9.50%, 04/15/14

 

B1

 

442

 

300

 

Hughes Network Systems, LLC, Senior Notes,

 

 

 

 

 

 

 

9.50%, 04/15/14

 

B1

 

312

 

500

 

Intelsat Corporation, Senior Notes,

 

 

 

 

 

 

 

9.25%, 06/15/16

 

B3

 

534

 

800

 

Intelsat Jackson Holdings Ltd., Senior Notes,

 

 

 

 

 

 

 

7.25%, 10/15/20 (g)

 

B3

 

804

 

500

 

Intelsat Ltd., Senior Notes,

 

 

 

 

 

 

 

11.25%, 06/15/16

 

Caa2

 

542

 

2,750

 

Intelsat Subsidiary Holding Company, Ltd., Senior Notes,

 

 

 

 

 

 

 

11.25%, 02/04/17

 

Caa3

 

2,956

 

538

 

iPCS, Inc., Senior Secured Notes,

 

 

 

 

 

 

 

3.733%, 05/01/14 (c)

 

Ba3

 

509

 

500

 

Level 3 Financing, Inc., Senior Notes,

 

 

 

 

 

 

 

9.25%, 11/01/14

 

Caa1

 

470

 

1,050

 

MetroPCS Wireless, Inc., Senior Notes,

 

 

 

 

 

 

 

7.875%, 09/01/18

 

B2

 

1,084

 

550

 

MetroPCS Wireless, Inc., Senior Notes,

 

 

 

 

 

 

 

9.25%, 11/01/14

 

B2

 

575

 

50

 

MetroPCS Wireless, Inc., Senior Notes,

 

 

 

 

 

 

 

9.25%, 11/01/14

 

B2

 

52

 

200

 

New Communications Holdings Inc., Senior Notes,

 

 

 

 

 

 

 

8.25%, 04/15/17

 

Ba2

 

218

 

1,075

 

Nextel Communications, Senior Notes,

 

 

 

 

 

 

 

7.375%, 08/01/15

 

Ba2

 

1,080

 

375

 

NII Capital Corporation, Senior Notes,

 

 

 

 

 

 

 

8.875%, 12/15/19

 

B1

 

416

 

1,300

 

NII Capital Corporation, Senior Notes,

 

 

 

 

 

 

 

10%, 08/15/16

 

B1

 

1,479

 

675

 

Paetec Holding Corporation, Senior Notes,

 

 

 

 

 

 

 

8.875%, 06/30/17

 

B1

 

702

 

 



 

Schedule of Investments - September 30, 2010 (Unaudited) (Dollar Amounts in Thousands)

 

425

 

Sable International Finance Limited, Senior Notes,

 

 

 

 

 

 

 

7.75%, 02/15/17 (g)

 

Ba2

 

445

 

250

 

SBA Telecommunications, Inc., Senior Notes,

 

 

 

 

 

 

 

8%, 08/15/16

 

Ba3

 

267

 

525

 

SBA Telecommunications, Inc., Senior Notes,

 

 

 

 

 

 

 

8.25%, 08/15/19

 

Ba3

 

576

 

175

 

Sprint Capital Corporation, Senior Notes,

 

 

 

 

 

 

 

6.875%, 11/15/28

 

Ba3

 

161

 

1,050

 

Sprint Capital Corporation, Senior Notes,

 

 

 

 

 

 

 

8.75%, 03/15/32

 

Ba3

 

1,104

 

2,900

 

Sprint Nextel Corporation, Senior Notes,

 

 

 

 

 

 

 

8.375%, 08/15/17

 

Ba3

 

3,139

 

1,550

 

Telesat Canada, Senior Notes,

 

 

 

 

 

 

 

11%, 11/01/15

 

Caa1

 

1,752

 

475

 

Telesat Canada, Senior Subordinated Notes,

 

 

 

 

 

 

 

12.50%, 11/01/17

 

Caa1

 

558

 

400

 

Terremark Worldwide, Inc., Senior Notes,

 

 

 

 

 

 

 

12%, 06/15/17

 

B1

 

458

 

475

 

Trilogy International Partners, LLC, Senior Notes,

 

 

 

 

 

 

 

10.25%, 08/15/16 (g)

 

Caa1

 

442

 

275

 

ViaSat, Inc., Senior Notes,

 

 

 

 

 

 

 

8.875%, 09/15/16

 

B1

 

296

 

1,200

 

Wind Acquistion Finance S.A., Senior Notes,

 

 

 

 

 

 

 

11.75%, 07/15/17 (g)

 

B2

 

1,344

 

107

 

Wind Acquistion Holdings Finance S.A., Senior Notes,

 

 

 

 

 

 

 

12.25%, 07/15/17 (c)(g)

 

B3

 

115

 

100

 

Windstream Corporation, Senior Notes,

 

 

 

 

 

 

 

8.625%, 08/01/16

 

Ba3

 

106

 

 

 

 

 

 

 

32,067

 

 

 

 

 

 

 

 

 

Textiles and Leather - .34%

 

 

 

 

 

100

 

Hanesbrands, Inc., Senior Notes,

 

 

 

 

 

 

 

4.121%, 12/15/14

 

B1

 

96

 

500

 

Levi Strauss & Co., Senior Notes,

 

 

 

 

 

 

 

7.625%, 05/15/20

 

B2

 

518

 

175

 

Levi Strauss & Co., Senior Notes,

 

 

 

 

 

 

 

8.875%, 04/01/16

 

B2

 

185

 

 

 

 

 

 

 

799

 

 

 

 

 

 

 

 

 

Utilities - 2.17%

 

 

 

 

 

25

 

AES Corporation, Senior Notes,

 

 

 

 

 

 

 

8%, 10/15/17

 

B1

 

27

 

1,300

 

AES Corporation, Senior Notes,

 

 

 

 

 

 

 

9.75%, 04/15/16

 

B1

 

1,488

 

1,875

 

Energy Future, Senior Notes,

 

 

 

 

 

 

 

10%, 12/01/20

 

Caa3

 

1,875

 

400

 

North American Energy Alliance, LLC, Senior Notes,

 

 

 

 

 

 

 

10.875%, 06/01/16 (g)

 

Ba3

 

437

 

1,000

 

PNM Resources, Inc., Senior Notes,

 

 

 

 

 

 

 

9.25%, 05/15/15

 

Ba2

 

1,083

 

250

 

RRI Energy, Inc., Senior Notes,

 

 

 

 

 

 

 

7.875%, 06/15/17

 

B3

 

229

 

 

 

 

 

 

 

5,139

 

 

 

 

 

 

 

 

 

 

 

Total Corporate Debt Securities
(Total cost of $279,820)

 

 

 

299,311

 

 

 

 

 

 

 

 

 

CONVERTIBLE DEBT SECURITIES - .20% (d)

 

 

 

 

 

Diversified/Conglomerate Manufacturing - .20%

 

 

 

 

 

475

 

General Cable Corporation, Subordinated Notes,

 

 

 

 

 

 

 

4.50%, 11/15/29

 

B2

 

479

 

 

 

 

 

 

 

 

 

 

 

Total Convertible Debt Securities
(Total cost of $490)

 

 

 

479

 

 

 

 

 

 

 

 

 

BANK DEBT SECURITIES - .76% (d)

 

 

 

 

 

Electronics - .28%

 

 

 

 

 

722

 

Infor Global Solutions Holdings, Ltd.,

 

 

 

 

 

 

 

4.01%, 07/28/12 (h)

 

B1

 

670

 

 



 

Schedule of Investments - September 30, 2010 (Unaudited) (Dollar Amounts in Thousands)

 

Hotels, Motels, Inns and Gaming - .28%

 

 

 

 

 

686

 

Pokagon Gaming Authority,

 

 

 

 

 

 

 

9%, 08/15/12 (h)

 

(e)

 

655

 

 

 

 

 

 

 

 

 

Oil and Gas - .20%

 

 

 

 

 

500

 

Dresser, Inc.,

 

 

 

 

 

 

 

6.112%, 05/04/15 (h)

 

B3

 

482

 

 

 

 

 

 

 

 

 

 

 

Total Bank Debt Securities
(Total cost of $1,881)

 

 

 

1,807

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

PREFERRED STOCK - 2.63% (d)

 

 

 

 

 

Automotive - .18%

 

 

 

 

 

4,150

 

Dana Holding Corporation, 4%, Convertible (g)

 

(e)

 

432

 

 

 

 

 

 

 

 

 

Building and Real Estate - 0.00%

 

 

 

 

 

1,975

 

Smurfit-Stone Container Corporation, Escrow Shares (a)(i)

 

(e)

 

 

 

 

 

 

 

 

 

 

Broadcasting and Entertainment - .14%

 

 

 

 

 

495

 

Spanish Broadcasting System, Inc.,

 

 

 

 

 

 

 

10.75% (a)

 

C

 

332

 

 

 

 

 

 

 

 

 

Electronics - 1.16%

 

 

 

 

 

3,400

 

Lucent Technologies Capital Trust I,

 

 

 

 

 

 

 

Convertible, 7.75%

 

B3

 

2,738

 

 

 

 

 

 

 

 

 

Finance - 1.13%

 

 

 

 

 

2,975

 

Ally Financial, Inc., 7% (g)

 

Caa2

 

2,678

 

 

 

 

 

 

 

 

 

Telecommunications - .02%

 

 

 

 

 

600

 

Crown Castle International Corporation,

 

 

 

 

 

 

 

Convertible, 6.25%

 

(e)

 

37

 

 

 

 

 

 

 

 

 

 

 

Total Preferred Stock
(Total cost of $5,479)

 

 

 

6,217

 

 

 

 

 

 

 

 

 

COMMON STOCK - .46% (d)

 

 

 

 

 

44,075

 

B&G Foods, Inc.,

 

 

 

481

 

32,725

 

Smurfit-Stone Container Corporation (f)

 

 

 

603

 

 

 

 

 

 

 

 

 

 

 

Total Common Stock and Warrants
(Total cost of $1,126)

 

 

 

1,084

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS - 2.43% (d)

 

 

 

 

 

5,740

 

Societe Generale North America,

 

 

 

 

 

 

 

Commercial Paper, Due 010/01/10,

 

 

 

 

 

 

 

Discount of .22%

 

P-1

 

5,740

 

 

 

Total Short-Term Investments
(Total cost of $5,740)

 

 

 

5,740

 

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS
(Total cost of $294,536)

 

 

 

$

314,638

 

 


(a)

Denotes income is not being accrued and/or issuer is in bankruptcy proceedings.

 

 

(b)

Securities are step interest bonds.  Interest on these bonds accrues based on the effective interest method which results in a constant rate of interest being recognized.

 

 

(c)

Pay-In-Kind Security

 

 

(d)

Percentages indicated are based on total net assets to common shareholders of $236,598.

 

 

(e)

Not rated.

 

 

(f)

Non-income producing.

 



 

(g)

Securities are exempt from registration under Rule 144A of the Securities Act of 1933.  Such securities may be resold, normally to qualified institutional buyers in transactions exempt from registration.  Unless otherwise noted, 144A Securities are deemed to be liquid.  See Note 1of the Note to Schedule of Investments for valuation policy.  Total market value of Rule 144A securities amounted to $111,733 as of September 30, 2010.

 

 

(h)

Restricted as to public resale. The total value of restricted securities owned at September 30, 2010 was $1,807 or .76% of total net assets to common shareholders.

 

 

(i)

Security is valued at fair value using methods determined by the Board of Directors. The total value of these securities at September 30, 2010 was $0.

 

 

(EUR) Euro

 



 

Forward Currency Exchange Contracts - (Unaudited) (Dollar Amounts in Thousands)

As of September 30, 2010, the Fund had forward currency exchange contracts outstanding as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized

 

 

 

Settlement

 

 

 

 

 

 

 

 

 

Appreciation

 

Counterparty

 

Date

 

Receive

 

Deliver

 

(Depreciation)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

State Street Bank

 

12/9/10

 

USD

 

9,695

 

EUR

 

7,529

 

$

(563

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

State Street Bank

 

12/9/10

 

USD

 

212

 

EUR

 

158

 

(4

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

State Street Bank

 

12/9/10

 

USD

 

369

 

EUR

 

274

 

(5

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

State Street Bank

 

12/9/10

 

USD

 

81

 

EUR

 

60

 

(1

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

State Street Bank

 

12/9/10

 

USD

 

72

 

EUR

 

53

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

State Street Bank

 

12/9/10

 

USD

 

162

 

EUR

 

119

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

State Street Bank

 

12/9/10

 

EUR

 

376

 

USD

 

512

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net unrealized gain (loss) on open forward currency exchange contracts

 

 

 

 

 

$

(573

)

 



 

The New America High Income Fund, Inc.

 

Note 1 to Schedule of Investments
September 30, 2010 (Unaudited)

 

(1) Significant Accounting and Other Policies

 

The New America High Income Fund, Inc. (the Fund) was organized as a corporation in the state of Maryland on November 19, 1987 and is registered with the Securities and Exchange Commission as a diversified, closed-end investment company under the Investment Company Act of 1940. The Fund commenced operations on February 26, 1988. The investment objective of the Fund is to provide high current income while seeking to preserve stockholders’ capital through investment in a professionally managed, diversified portfolio of “high yield” fixed-income securities.

 

The Fund invests primarily in fixed maturity corporate debt securities that are rated less than investment grade. Risk of loss upon default by the issuer is significantly greater with respect to such securities compared to investment grade securities because these securities are generally unsecured and are often subordinated to other creditors of the issuer and because these issuers usually have high levels of indebtedness and are more sensitive to adverse economic conditions, such as a recession, than are investment grade issuers. In some cases, the collection of principal and timely receipt of interest is dependent upon the issuer attaining improved operating results, selling assets or obtaining additional financing.

 

The Fund may focus its investments in certain industries, subjecting it to greater risk than a Fund that is more diversified. See the schedule of investments for information on individual securities as well as industry diversification and credit quality ratings.

 

The Fund’s financial statements have been prepared in conformity with accounting principles generally accepted in the United States for investment companies that require the management of the Fund to, among other things, make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting periods. Actual results could differ from those estimates.

 

The following is a summary of significant accounting policies consistently followed by the Fund, which are in conformity with those generally accepted in the investment company industry.

 

(a)  Valuation of Investments—Investments for which market quotations are readily available are stated at market value, which is determined by using the most recently quoted bid price provided by an independent pricing service or principal market maker. Independent pricing services provide market quotations based primarily on quotations from dealers and brokers, market transactions, accessing data from quotations services, offering sheets obtained from dealers and various relationships between securities. Investments whose primary market is on an exchange are valued at the last sale price on the day of valuation. Short-term investments with original maturities of 60 days or less are stated at amortized cost, which approximates market value. Following procedures approved by the Board of Directors, investments for which market quotations are not readily available (primarily fixed-income corporate bonds and notes) are stated at fair value on the basis of subjective valuations furnished by securities dealers and brokers. Other investments, for which market quotations are not readily available with a cost and a value of $0, are valued in good faith at fair market value using methods determined by the Board of Directors. Fair value measurement is further discussed in section (e) of this footnote.

 

(b)  Foreign Currency—Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U. S. dollar amounts on the respective dates of such transactions.

 

26



 

Note 1 to Schedule of Investments — Continued
September 30, 2010 (Unaudited)

 

(c)  Foreign Currency Forward Exchange Contracts—The Fund may enter into foreign currency forward exchange contracts primarily to hedge against foreign currency exchange rate risks on its non-U.S. dollar denominated investment securities. When entering into a forward currency contract, the Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed upon price on an agreed future date. The Fund’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the statement of assets and liabilities. Realized and unrealized gains and losses are included in the statement of operations. These instruments involve market risk, credit risk or both kinds of risks, in excess of the amount recognized in the statement of assets and liabilities. Risks arise from the possible inability of counterparties to meet the terms of their contracts and from movement in currency and securities values and interest rates.

 

(d)  Securities Transactions and Net Investment Income—Securities transactions are recorded on trade date. Realized gains or losses on sales of securities are calculated on the identified cost basis. Interest income is accrued on a daily basis. Discount on short-term investments is amortized to investment income. Premiums or discounts on corporate debt securities are amortized based on the interest method for financial reporting purposes. All income on original issue discount and step interest bonds is accrued based on the effective interest method. The Fund does not amortize market premiums or discounts for tax purposes. Dividend payments received in the form of additional securities are recorded on the ex-dividend date in an amount equal to the value of the security on such date.

 

(e)  Fair Value Measurement—The Fund applies ASC 820 “Fair Value Measurements and Disclosures” formerly known as SFAS No. 157 “Fair Value Measurements”. This standard establishes the definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements.

 

The three levels of the fair value hierarchy under ASC 820 are described below:

 

Level 1—Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

 

Level 2—Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

Level 3—Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about

 

27



 

Note 1 to Schedule of Investments — Continued
September 30, 2010 (Unaudited)

 

the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in level 3.

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

A description of the valuation techniques applied to the Fund’s major asset and liability categories is as follows.

 

Debt securities (corporate, convertible & bank debt). The fair value of debt securities is provided by independent pricing services using quotations from dealers and brokers, market transactions, data from quotations services, offering sheets and various relationships between securities. While most corporate bonds are categorized in level 2 of the fair value hierarchy, there may be instances where less observable inputs necessitate a level 3 categorization.

 

Equity securities (preferred and common stock). Equity securities for which the primary market is on an exchange will be valued at the last sale price on the day of valuation and are categorized in level 1 of the fair value hierarchy. Other equity securities traded in inactive markets or valued by independent pricing services using methods similar to debt securities are categorized in level 2. The fair value of equity securities in which observable inputs are unavailable are categorized in level 3.

 

Short-term investments. Short-term investments are valued using amortized cost, which approximates fair value. To the extent the inputs are observable and timely the values would be categorized in level 2 of the fair value hierarchy.

 

Forwards are valued at the unrealized gain or loss on the contract as measured by the difference between the forward exchange rates at the date of entry into the contract and the forward rates at the reporting date. Forwards are categorized in level 2 of the fair value hierarchy.

 

The following is a summary of the inputs used as of September 30, 2010 in valuing the Fund’s investments:

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total Value

 

 

 

Quoted
Prices
(000’s)

 

Significant
Observable
Inputs
(000’s)

 

Significant
Unobservable
Inputs
(000’s)

 

(000’s)

 

Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Debt Securities*

 

$

 

$

301,597

 

$

 

$

301,597

 

 

 

 

 

 

 

 

 

 

 

Preferred Stock

 

 

 

 

 

 

 

 

 

Automotive

 

 

432

 

 

432

 

Broadcasting and Entertainment

 

 

332

 

 

332

 

Building and Real Estate

 

 

 

 

 

Electronics

 

 

2,738

 

 

2,738

 

Finance

 

 

2,678

 

 

2,678

 

Telecommunications

 

 

37

 

 

37

 

 

 

 

 

 

 

 

 

 

 

Common Stock

 

 

 

 

 

 

 

 

 

B&G Foods, Inc.

 

481

 

 

 

481

 

Smurfit - Stone Container Corporation

 

603

 

 

 

603

 

 

28



 

Note 1 to Schedule of Investments — Continued
September 30, 2010 (Unaudited)

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total Value

 

 

 

Quoted
Prices
(000’s)

 

Significant
Observable
Inputs
(000’s)

 

Significant
Unobservable
Inputs
(000’s)

 

(000’s)

 

Short-Term Investment

 

$

 

$

5,740

 

$

 

$

5,740

 

 

 

 

 

 

 

 

 

 

 

Total Investments

 

$

1,084

 

$

313,554

 

$

 

$

314,638

 

Forward Currency Exchange Contracts

 

$

 

$

(573

)

$

 

$

(573

)

 


*  Debt Securities — All are level 2. Type of debt and industries are shown on the Schedule of Investments.

 

The following is a reconciliation of Fund investments using Level 3 inputs for the period:

 

 

 

Equity
Securities

 

Balance, December 31, 2009

 

$

230,000

 

Net purchases (sales)

 

(111,000

)

Change in unrealized appreciation (depreciation)

 

2,397,000

 

Realized gain (loss)

 

(2,184,000

)

Transfers out of Level 3 to Level 2

 

(332,000

)

Balance, September 30, 2010

 

$

 

 

Transfers between levels are recognized at the end of the reporting period. During the nine months ended September 30, 2010, the Fund recognized no significant transfers to/from Level 1 or Level 2.

 

29



 

Item 2.

 

(a)   The registrant’s President and Treasurer have concluded that the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) are effective, based on their evaluation of these disclosure controls and procedures required by Rule 30a-3(b) as of a date within 90 days of the filing date of this report.

 

(b)   There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3.

 

Certifications as required by Rule 30a-2(a) under the Act are attached hereto.

 



 

SIGNATURES

 

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

 

(Registrant)

The New America High Income Fund, Inc

 

 

 

 

By (Signature and Title)

/s/ Robert F. Birch

 

 

Robert F. Birch

 

President

 

Date

November 23, 2010

 

 

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/ Robert F. Birch

 

 

Robert F. Birch

 

President

 

Date

November 23, 2010

 

 

 

By (Signature and Title)

/s/ Ellen E. Terry

 

 

Ellen E. Terry

 

Treasurer

 

Date

November 23, 2010