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:

12/31/08

 

 

 

 

Date of reporting period:

1/1/09 - 3/31/09

 

 



 

Item 1 - Schedule of Investments - March 31, 2009 (Unaudited) (Dollar Amounts in Thousands)

 



 

 

 

 

 

Moody’s

 

 

 

Principal

 

 

 

Rating

 

Value

 

Amount/Units

 

 

 

(Unaudited)

 

(Note 1)

 

 

 

 

 

 

 

 

 

CORPORATE DEBT SECURITIES - 151.83% (d)

 

 

 

 

 

Aerospace and Defense - 2.89%

 

 

 

 

 

650

 

BE Aerospace Inc., Senior Notes,

 

 

 

 

 

 

 

8.50%, 07/01/18

 

Ba3

 

538

 

1,625

 

GenCorp Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

9.50%, 08/15/13

 

B1

 

1,170

 

925

 

Hawker Beechcraft Acquisition Company LLC,

 

 

 

 

 

 

 

Senior Notes, 8.50%, 04/01/15

 

Caa1

 

231

 

350

 

Hawker Beechcraft Acquisition Company LLC,

 

 

 

 

 

 

 

Senior Notes, 8.875%, 04/01/15 (i)

 

Caa1

 

38

 

150

 

Hawker Beechcraft Acquisition Company LLC,

 

 

 

 

 

 

 

Senior Subordinated Notes, 9.75%, 04/01/17

 

Caa2

 

26

 

500

 

L 3 Communications Corporation, Senior Subordinated

 

 

 

 

 

 

 

Notes, 7.625%, 06/15/12

 

Ba3

 

503

 

625

 

Moog, Inc., Senior Notes,

 

 

 

 

 

 

 

7.25%, 06/15/18 (g)

 

Ba3

 

575

 

825

 

TransDigm Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

7.75%, 07/15/14

 

B3

 

769

 

575

 

Vought Aircraft Industries, Senior Notes,

 

 

 

 

 

 

 

8%, 07/15/11

 

Caa1

 

227

 

 

 

 

 

 

 

4,077

 

Automobile - 2.61%

 

 

 

 

 

1,825

 

Allison Transmission, Inc., Senior Notes,

 

 

 

 

 

 

 

11.25%, 11/01/15 (g)

 

Caa2

 

693

 

850

 

Cooper Standard Automotive Inc., Senior Subordinated

 

 

 

 

 

 

 

Notes, 8.375%, 12/15/14

 

Caa3

 

59

 

1,035

 

Goodyear Tire & Rubber Company, Senior Notes,

 

 

 

 

 

 

 

8.625%, 12/01/11

 

B1

 

859

 

525

 

KAR Holdings, Inc., Senior Notes,

 

 

 

 

 

 

 

5.17%, 05/01/14

 

B3

 

247

 

1,700

 

KAR Holdings, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

10%, 05/01/15

 

Caa1

 

722

 

950

 

SPX Corporation, Senior Notes,

 

 

 

 

 

 

 

7.625%, 12/15/14

 

Ba2

 

914

 

475

 

Tenneco Automotive, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

8.625%, 11/15/14

 

Caa2

 

87

 

275

 

United Components, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

9.375%, 06/15/13

 

Caa2

 

107

 

 

 

 

 

 

 

3,688

 

Beverage, Food and Tobacco - 4.83%

 

 

 

 

 

600

 

Altria Group, Inc., Senior Notes,

 

 

 

 

 

 

 

9.25%, 08/06/19

 

Baa1

 

642

 

625

 

Altria Group, Inc., Senior Notes,

 

 

 

 

 

 

 

9.70%, 11/10/18

 

Baa1

 

681

 

575

 

Anheuser-Busch InBev Worldwide, Inc.,

 

 

 

 

 

 

 

Senior Notes, 7.20%, 01/15/14 (g)

 

Baa2

 

603

 

1,050

 

Del Monte Corporation, Senior Subordinated

 

 

 

 

 

 

 

Notes, 8.625%, 12/15/12

 

B2

 

1,053

 

500

 

Dole Food Company, Inc., Senior Notes,

 

 

 

 

 

 

 

7.25%, 06/15/10

 

Caa2

 

456

 

475

 

Dole Food Company, Inc., Senior Notes,

 

 

 

 

 

 

 

13.875%, 03/15/14 (g)

 

B2

 

463

 

1,400

 

Reynolds American, Inc., Senior Notes,

 

 

 

 

 

 

 

7.25%, 06/01/13

 

Baa3

 

1,333

 

650

 

Tyson Foods, Inc., Senior Notes,

 

 

 

 

 

 

 

8.25%, 10/01/11

 

B2

 

657

 

900

 

Tyson Foods, Inc., Senior Notes,

 

 

 

 

 

 

 

10.50%, 03/01/14 (g)

 

Ba3

 

928

 

 

 

 

 

 

 

6,816

 

Broadcasting and Entertainment - 9.45%

 

 

 

 

 

400

 

CBS Corporation, Senior Notes,

 

 

 

 

 

 

 

6.625%, 05/15/11

 

Baa3

 

384

 

550

 

CSC Holdings, Inc., Senior Notes,

 

 

 

 

 

 

 

7.625%, 07/15/18

 

B1

 

496

 

1,275

 

CSC Holdings, Inc., Senior Notes,

 

 

 

 

 

 

 

8.50%, 04/15/14 (g)

 

B1

 

1,262

 

625

 

CSC Holdings, Inc., Senior Notes,

 

 

 

 

 

 

 

8.625%, 02/15/19 (g)

 

B1

 

603

 

775

 

DIRECTV Holdings LLC, Senior Notes,

 

 

 

 

 

 

 

6.375%, 06/15/15

 

Ba3

 

728

 

325

 

DIRECTV Holdings LLC, Senior Notes,

 

 

 

 

 

 

 

7.625%, 05/15/16

 

Ba3

 

318

 

750

 

DIRECTV Holdings LLC, Senior Notes,

 

 

 

 

 

 

 

8.375%, 03/15/13

 

Ba3

 

759

 

350

 

EchoStar DBS Corporation, Senior Notes,

 

 

 

 

 

 

 

6.375%, 10/01/11

 

Ba3

 

339

 

1,178

 

EchoStar DBS Corporation, Senior Notes,

 

 

 

 

 

 

 

6.625%, 10/01/14

 

Ba3

 

1,054

 

375

 

EchoStar DBS Corporation, Senior Notes,

 

 

 

 

 

 

 

7.75%, 05/31/15

 

Ba3

 

345

 

1,050

 

Gaylord Entertainment Company, Senior Notes,

 

 

 

 

 

 

 

6.75%, 11/15/14

 

Caa1

 

646

 

575

 

Gaylord Entertainment Company, Senior Notes,

 

 

 

 

 

 

 

8%, 11/15/13

 

Caa1

 

380

 

475

 

Kabel Deutschland GmbH, Senior Notes,

 

 

 

 

 

 

 

10.625%, 07/01/14

 

B2

 

477

 

378

 

Lamar Advertising Company, Convertible Notes,

 

 

 

 

 

 

 

2.875%, 12/31/10

 

(e)

 

348

 

 



 

825

 

Lamar Media Corporation, Senior Subordinated Notes,

 

 

 

 

 

 

 

6.625%, 08/15/15

 

B2

 

610

 

125

 

Lamar Media Corporation, Senior Subordinated Notes,

 

 

 

 

 

 

 

Series B, 6.625%, 08/15/15

 

B2

 

92

 

50

 

Lamar Media Corporation, Senior Subordinated Notes,

 

 

 

 

 

 

 

Series C, 6.625%, 08/15/15

 

B2

 

37

 

400

 

Lamar Media Corporation, Senior Subordinated Notes,

 

 

 

 

 

 

 

9.75%, 04/01/14 (g)

 

Ba3

 

388

 

1,025

 

Mediacom Broadband LLC, Senior Notes,

 

 

 

 

 

 

 

8.50%, 10/15/15

 

B3

 

923

 

250

 

Rainbow National Services LLC, Senior Notes,

 

 

 

 

 

 

 

8.75%, 09/01/12 (g)

 

B1

 

250

 

300

 

Rogers Cable Inc., Senior Secured Notes,

 

 

 

 

 

 

 

6.75%, 03/15/15

 

Baa3

 

294

 

200

 

Time Warner Cable, Inc., Senior Notes,

 

 

 

 

 

 

 

8.25%, 04/01/19

 

Baa2

 

206

 

700

 

Univision Communications, Inc., Senior Notes,

 

 

 

 

 

 

 

7.85%, 07/15/11

 

B2

 

459

 

550

 

Univision Communications, Inc., Senior Notes,

 

 

 

 

 

 

 

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

 

Caa2

 

58

 

250

 

Videotron Ltee., Senior Notes,

 

 

 

 

 

 

 

6.375%, 12/15/15

 

Ba2

 

226

 

1,475

 

Videotron Ltee., Senior Notes,

 

 

 

 

 

 

 

6.875%, 01/15/14

 

Ba2

 

1,398

 

25

 

Videotron Ltee., Senior Notes,

 

 

 

 

 

 

 

9.125%, 04/15/18 (g)

 

Ba2

 

25

 

525

 

XM Satellite Radio, Inc., Senior Notes,

 

 

 

 

 

 

 

13%, 08/01/13 (g)

 

Ca

 

239

 

 

 

 

 

 

 

13,344

 

Building and Real Estate - 4.36%

 

 

 

 

 

500

 

AMH Holdings, Inc., Senior Discount Notes,

 

 

 

 

 

 

 

11.25%, 03/01/14

 

Caa2

 

150

 

425

 

Centex Corporation, Senior Notes,

 

 

 

 

 

 

 

4.55%, 11/01/10

 

Ba3

 

387

 

50

 

Centex Corporation, Senior Notes,

 

 

 

 

 

 

 

7.875%, 02/01/11

 

Ba3

 

47

 

500

 

FelCor Lodging Limited Partnership, Senior Notes,

 

 

 

 

 

 

 

8.50%, 06/01/11

 

B1

 

300

 

750

 

Host Hotels and Resorts L.P., Senior Debentures,

 

 

 

 

 

 

 

2.625%, 04/15/27 (g)

 

(e)

 

530

 

825

 

Host Marriott, L.P., Senior Notes,

 

 

 

 

 

 

 

6.75%, 06/01/16

 

Ba1

 

600

 

750

 

Host Marriott, L.P., Senior Notes,

 

 

 

 

 

 

 

7.125%, 11/01/13

 

Ba1

 

607

 

1,125

 

Icahn Enterprises L.P., Senior Notes,

 

 

 

 

 

 

 

7.125%, 02/15/13

 

Ba3

 

894

 

700

 

K. Hovnanian Enterprises, Senior Notes,

 

 

 

 

 

 

 

11.50%, 05/01/13

 

B1

 

487

 

950

 

Texas Industries, Inc., Senior Notes,

 

 

 

 

 

 

 

7.25%, 07/15/13

 

B2

 

712

 

200

 

Texas Industries, Inc., Senior Notes,

 

 

 

 

 

 

 

7.25%, 07/15/13 (g)

 

B2

 

150

 

607

 

United Rentals (North America), Inc., Convertible Senior

 

 

 

 

 

 

 

Subordinated Notes, 1.875%, 10/15/23

 

Caa1

 

458

 

375

 

U.S. Concrete, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

8.375%, 04/01/14

 

B3

 

146

 

800

 

Ventas Realty, Limited Partnership, Senior Notes,

 

 

 

 

 

 

 

6.50%, 06/01/16

 

Ba1

 

694

 

 

 

 

 

 

 

6,162

 

Cargo Transport - .82%

 

 

 

 

 

850

 

American Railcar Industries, Inc., Senior

 

 

 

 

 

 

 

Notes, 7.50%, 03/01/14

 

B1

 

595

 

200

 

Kansas City Southern Railway Company, Senior Notes,

 

 

 

 

 

 

 

13%, 12/15/13

 

B2

 

205

 

400

 

TFM, S.A. de C.V., Senior Notes,

 

 

 

 

 

 

 

9.375%, 05/01/12

 

B2

 

362

 

 

 

 

 

 

 

1,162

 

Chemicals, Plastics and Rubber - 2.53%

 

 

 

 

 

50

 

Huntsman LLC, Senior Notes,

 

 

 

 

 

 

 

11.625%, 10/15/10

 

Ba1

 

50

 

1,225

 

INVISTA S.A.R.L., Senior Notes

 

 

 

 

 

 

 

9.25%, 05/01/12 (g)

 

Ba3

 

1,102

 

1,300

 

Koppers Holdings Inc., Senior Notes,

 

 

 

 

 

 

 

9.875%, 11/15/14 (b). 9.875%

 

B2

 

1,059

 

500

 

Koppers Inc., Senior Secured Notes,

 

 

 

 

 

 

 

9.875%, 10/15/13

 

Ba3

 

460

 

650

 

Nalco Company, Senior Notes,

 

 

 

 

 

 

 

7.75%, 11/15/11

 

B1

 

640

 

600

 

PolyOne Corporation, Senior Notes,

 

 

 

 

 

 

 

8.875%, 05/01/12

 

B1

 

261

 

 

 

 

 

 

 

3,572

 

Containers, Packaging and Glass - 6.53%

 

 

 

 

 

567

 

Boise Cascade, LLC, Senior Subordinated Notes,

 

 

 

 

 

 

 

Notes, 7.125%, 10/15/14

 

B2

 

232

 

750

 

BWAY Corporation, Senior Subordinated Notes,

 

 

 

 

 

 

 

10%, 10/15/10

 

B3

 

754

 

550

 

Clondalkin Acquisition BV, Senior Notes,

 

 

 

 

 

 

 

3.32%, 12/15/13 (g)

 

Ba3

 

321

 

500

 

Crown Americas, L.L.C., Senior Notes,

 

 

 

 

 

 

 

7.75%, 11/15/15

 

B1

 

500

 

275

 

Domtar Inc., Senior Notes,

 

 

 

 

 

 

 

5.375%, 12/01/13

 

Ba3

 

187

 

 



 

950

 

Domtar Inc., Senior Notes,

 

 

 

 

 

 

 

7.125%, 08/15/15

 

Ba3

 

612

 

100

 

Domtar Inc., Senior Notes,

 

 

 

 

 

 

 

9.50%, 08/01/16

 

Ba3

 

65

 

450

 

Georgia-Pacific Corporation, Senior Notes,

 

 

 

 

 

 

 

7%, 01/15/15 (g)

 

Ba3

 

421

 

150

 

Georgia-Pacific Corporation, Senior Notes,

 

 

 

 

 

 

 

7.70%, 06/15/15

 

B2

 

135

 

1,200

 

Georgia-Pacific Corporation, Senior Notes,

 

 

 

 

 

 

 

8.125%, 05/15/11

 

B2

 

1,194

 

1,075

 

Graham Packaging Company, L.P., Senior Subordinated

 

 

 

 

 

 

 

Notes, 9.875%, 10/15/14

 

Caa1

 

693

 

750

 

Graphic Packaging International, Inc., Senior Notes,

 

 

 

 

 

 

 

8.50%, 08/15/11

 

B3

 

647

 

75

 

Graphic Packaging International, Inc., Senior Notes,

 

 

 

 

 

 

 

9.50%, 8/15/13

 

B3

 

54

 

550

 

International Paper Company, Senior Notes,

 

 

 

 

 

 

 

7.40%, 06/15/14

 

Baa3

 

451

 

675

 

NewPage Corporation, Senior Secured Notes,

 

 

 

 

 

 

 

10%, 05/01/12

 

B2

 

236

 

975

 

Owens-Brockway Glass Container, Inc., Senior Notes,

 

 

 

 

 

 

 

6.75%, 12/01/14

 

Ba3

 

941

 

850

 

Plastipak Holdings, Inc., Senior Notes,

 

 

 

 

 

 

 

8.50% 12/15/15 (g)

 

B3

 

604

 

475

 

Rock-Tenn Company, Senior Notes,

 

 

 

 

 

 

 

8.20%, 08/15/11

 

Ba3

 

476

 

450

 

Rock-Tenn Company, Senior Notes,

 

 

 

 

 

 

 

9.25%, 03/15/16

 

Ba3

 

450

 

425

 

Smurfit Kappa Funding plc, Subordinated Notes,

 

 

 

 

 

 

 

7.75%, 04/01/15

 

B2

 

248

 

 

 

 

 

 

 

9,221

 

Diversified/Conglomerate Manufacturing - 1.54%

 

 

 

 

 

725

 

Bombardier Inc., Senior Notes,

 

 

 

 

 

 

 

6.30%, 05/01/14 (g)

 

Ba2

 

506

 

100

 

Bombardier Inc., Senior Notes,

 

 

 

 

 

 

 

8%, 11/15/14 (g)

 

Ba2

 

74

 

675

 

H & E Equipment Services, Inc., Senior Notes,

 

 

 

 

 

 

 

8.375%, 07/15/16

 

B3

 

425

 

500

 

Hawk Corporation, Senior Notes,

 

 

 

 

 

 

 

8.75%, 11/01/14

 

B3

 

501

 

725

 

RBS Global, Inc., Senior Notes,

 

 

 

 

 

 

 

9.50%, 08/01/14

 

B3

 

584

 

100

 

Trinity Industries, Inc., Senior Notes,

 

 

 

 

 

 

 

6.50%, 03/15/14

 

Baa3

 

81

 

 

 

 

 

 

 

2,171

 

Diversified/Conglomerate Service - 2.87%

 

 

 

 

 

825

 

CCMG Acquisition Corporation, Senior Notes,

 

 

 

 

 

 

 

8.875%, 01/01/14

 

B1

 

495

 

1,350

 

CCMG Acquisition Corporation, Senior Subordinated

 

 

 

 

 

 

 

Notes, 10.50%, 01/01/16

 

B2

 

587

 

500

 

Dex Media West LLC, Senior Subordinated Notes,

 

 

 

 

 

 

 

9.875%, 08/15/13

 

Caa1

 

115

 

1,850

 

First Data Corporation, Senior Notes,

 

 

 

 

 

 

 

9.875%, 09/24/15

 

B3

 

1,080

 

1,239

 

First Data Corporation, Senior Notes,

 

 

 

 

 

 

 

10.55%, 09/24/15 (g)(i)

 

(e)

 

462

 

1,100

 

Mobile Services Group, Inc. Senior Notes,

 

 

 

 

 

 

 

9.75%, 08/01/14

 

B2

 

817

 

925

 

Sunstate Equipment Co, LLC, Senior Secured Notes,

 

 

 

 

 

 

 

10.50%, 04/01/13 (g)

 

Caa3

 

490

 

 

 

 

 

 

 

4,046

 

Ecological - 3.66%

 

 

 

 

 

414

 

Allied Waste Industries, Inc., Senior

 

 

 

 

 

 

 

Subordinated Notes, 4.25%, 04/15/34

 

Ba3

 

377

 

150

 

Allied Waste North America, Inc., Senior Secured

 

 

 

 

 

 

 

Notes, 6.875%, 06/01/17

 

Baa3

 

137

 

1,750

 

Allied Waste North America, Inc., Senior Secured

 

 

 

 

 

 

 

Notes, 7.25%, 03/15/15

 

Baa3

 

1,654

 

1,050

 

Allied Waste North America, Inc., Senior Secured

 

 

 

 

 

 

 

Notes, 7.875%, 04/15/13

 

Baa3

 

1,047

 

1,625

 

Casella Waste Systems, Inc., Senior Subordinated

 

 

 

 

 

 

 

Notes, 9.75%, 02/01/13

 

Caa1

 

1,365

 

800

 

WCA Waste Corporation, Senior Notes,

 

 

 

 

 

 

 

9.25%, 06/15/14

 

B3

 

586

 

 

 

 

 

 

 

5,166

 

Electronics - 5.80%

 

 

 

 

 

750

 

Advanced Micro Devices, Inc., Senior Convertible Notes,

 

 

 

 

 

 

 

5.75%, 08/15/12

 

(e)

 

332

 

475

 

Anixter Inc., Senior Notes,

 

 

 

 

 

 

 

10%, 03/15/14

 

Ba2

 

441

 

800

 

Avago Technologies Finance Pte. Ltd., Senior Notes,

 

 

 

 

 

 

 

10.125%, 12/01/13

 

B1

 

696

 

300

 

Avago Technologies Finance Pte. Ltd., Senior

 

 

 

 

 

 

 

Subordinated Notes, 11.875%, 12/01/15

 

B3

 

231

 

334

 

Celestica Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

7.875%, 07/01/11

 

B3

 

324

 

675

 

Dycom Investments, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

8.125%, 10/15/15

 

Ba3

 

533

 

375

 

General Cable Corporation, Senior Notes,

 

 

 

 

 

 

 

3.834%, 04/01/15

 

B1

 

263

 

825

 

iPayment Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

9.75%, 05/15/14

 

Caa1

 

429

 

 



 

887

 

iPayment Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

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

 

(e)

 

621

 

450

 

Lucent Technologies, Inc., Senior Notes

 

 

 

 

 

 

 

6.45%, 03/15/29

 

B1

 

170

 

1,275

 

Lucent Technologies, Inc., Senior Notes

 

 

 

 

 

 

 

6.50%, 01/15/28

 

B1

 

481

 

175

 

Motorola, Inc., Senior Notes,

 

 

 

 

 

 

 

8%, 11/01/11

 

Baa3

 

163

 

500

 

Seagate Technology HDD Holdings, Inc., Senior Notes,

 

 

 

 

 

 

 

6.375%, 10/01/11

 

Ba2

 

365

 

300

 

SS&C Technologies, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

11.75%, 12/01/13

 

Caa1

 

254

 

350

 

STATS ChipPAC Ltd., Senior Notes,

 

 

 

 

 

 

 

6.75%, 11/15/11

 

Ba1

 

297

 

325

 

STATS ChipPAC Ltd., Senior Notes,

 

 

 

 

 

 

 

7.50%, 07/19/10

 

Ba1

 

299

 

1,950

 

Sungard Data Systems Inc., Senior Notes,

 

 

 

 

 

 

 

9.125%, 08/15/13

 

Caa1

 

1,706

 

325

 

Sunguard Data Systems Inc., Senior Notes,

 

 

 

 

 

 

 

5.128%, 05/15/15 (g)

 

Caa1

 

286

 

450

 

Unisys Corporation, Senior Notes,

 

 

 

 

 

 

 

12.50%, 01/15/16

 

Caa1

 

116

 

249

 

Wesco International, Inc., Senior Convertible Notes

 

 

 

 

 

 

 

1.75%, 11/15/26

 

(e)

 

177

 

 

 

 

 

 

 

8,184

 

Finance - 7.66%

 

 

 

 

 

375

 

B.A.T. International Finance plc, Senior Notes,

 

 

 

 

 

 

 

9.50%, 11/15/18 (g)

 

Baa1

 

430

 

350

 

E*Trade Financial Corporation, Senior Notes,

 

 

 

 

 

 

 

8%, 06/15/11

 

B2

 

151

 

2,343

 

E*Trade Financial Corporation, Senior Notes,

 

 

 

 

 

 

 

12.50%, 11/30/17 (i)

 

(e)

 

1,043

 

1,875

 

Ford Motor Credit Company LLC, Senior Notes,

 

 

 

 

 

 

 

7.875%, 06/15/10

 

Caa1

 

1,556

 

900

 

Ford Motor Credit Company LLC, Senior Notes,

 

 

 

 

 

 

 

9.75%, 09/15/10

 

Caa1

 

729

 

650

 

Fresenius US Financial II Inc., Senior Notes,

 

 

 

 

 

 

 

9%, 07/15/15 (g)

 

Ba1

 

666

 

650

 

Lazard Group, LLC, Senior Notes,

 

 

 

 

 

 

 

7.125%, 05/15/15

 

Ba1

 

541

 

975

 

Mobile Mini, Inc. Senior Notes,

 

 

 

 

 

 

 

6.875%, 05/01/15

 

B2

 

668

 

500

 

Morgan Stanley, Senior Notes,

 

 

 

 

 

 

 

6%, 04/28/15

 

A2

 

472

 

225

 

NiSource Finance Corporation, Senior Notes,

 

 

 

 

 

 

 

7.875%, 11/15/10

 

Baa3

 

222

 

1,675

 

NiSource Finance Corporation, Senior Notes,

 

 

 

 

 

 

 

10.75%, 03/15/16

 

Baa3

 

1,734

 

425

 

Nuveen Investments, Inc., Senior Notes,

 

 

 

 

 

 

 

5%, 09/15/10

 

Caa1

 

249

 

1,725

 

Nuveen Investments, Inc., Senior Notes,

 

 

 

 

 

 

 

5.50%, 09/15/15

 

Caa1

 

362

 

900

 

Nuveen Investments, Inc., Senior Notes,

 

 

 

 

 

 

 

10.50%, 11/15/15 (g)

 

Caa1

 

261

 

1,025

 

Sears Roebuck Acceptance

 

 

 

 

 

 

 

6.75%, 08/15/11

 

Ba3

 

739

 

1,550

 

SLM Corporation, Senior Medium Term Notes,

 

 

 

 

 

 

 

5.45%, 04/25/11

 

Baa2

 

1,001

 

 

 

 

 

 

 

10,824

 

Healthcare, Education and Childcare - 12.61%

 

 

 

 

 

2,025

 

Biomet, Inc., Senior Notes,

 

 

 

 

 

 

 

10%, 10/15/17

 

B3

 

2,020

 

475

 

Biomet, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

11.625%, 10/15/17

 

Caa1

 

420

 

250

 

Boston Scientific Corporation, Senior Notes,

 

 

 

 

 

 

 

6%, 06/15/11

 

Ba1

 

242

 

375

 

Cengage Learning Acquisitions, Inc., Senior Notes,

 

 

 

 

 

 

 

10.50%, 01/15/15 (g)

 

Caa2

 

191

 

700

 

Cengage Learning Acquisitions, Inc., Senior

 

 

 

 

 

 

 

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

 

Caa2

 

262

 

1,725

 

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

 

 

 

 

 

 

 

8.875%, 07/15/15

 

B3

 

1,630

 

375

 

CRC Health Corporation, Senior Subordinated Notes,

 

 

 

 

 

 

 

10.75%, 02/01/16

 

Caa1

 

239

 

300

 

DaVita, Inc., Senior Notes,

 

 

 

 

 

 

 

6.625%, 03/15/13

 

B1

 

290

 

1,250

 

DaVita, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

7.25%, 03/15/15

 

B2

 

1,200

 

525

 

Education Management LLC, Senior Notes,

 

 

 

 

 

 

 

8.75%, 06/01/14

 

B2

 

496

 

550

 

Education Management LLC, Senior Subordinated Notes,

 

 

 

 

 

 

 

10.25%, 06/01/16

 

Caa1

 

516

 

3,000

 

HCA, Inc., Senior Secured Notes,

 

 

 

 

 

 

 

9.25%, 11/15/16

 

B2

 

2,737

 

300

 

HCA, Inc., Senior Secured Notes,

 

 

 

 

 

 

 

9.625%, 11/15/16

 

B2

 

241

 

250

 

HCA, Inc., Senior Secured Notes,

 

 

 

 

 

 

 

9.875%, 02/15/17 (g)

 

B2

 

236

 

2,475

 

Health Management Associates, Inc., Senior Notes,

 

 

 

 

 

 

 

6.125%, 04/15/16

 

(e)

 

2,029

 

355

 

Healthsouth Corporation, Senior Notes,

 

 

 

 

 

 

 

10.75%, 06/15/16

 

Caa1

 

348

 

200

 

Omnicare, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

6.75%, 12/15/13

 

B1

 

182

 

 



 

650

 

Omnicare, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

6.875%, 12/15/15

 

B1

 

587

 

543

 

Symbion, Inc., Senior Notes,

 

 

 

 

 

 

 

11%, 08/23/15 (i)

 

Caa1

 

212

 

300

 

Tenet Healthcare Corporation, Senior Notes,

 

 

 

 

 

 

 

6.50%, 06/01/12

 

Caa1

 

257

 

325

 

Tenet Healthcare Corporation, Senior Notes,

 

 

 

 

 

 

 

9.25%, 02/01/15

 

Caa1

 

254

 

875

 

United Surgical Partners International, Inc., Senior

 

 

 

 

 

 

 

Subordinated Notes, 8.875%, 05/01/17

 

Caa1

 

683

 

450

 

Universal Hospital Services, Inc., Senior Secured

 

 

 

 

 

 

 

Notes, 5.943%, 06/01/15

 

B3

 

325

 

200

 

Universal Hospital Services, Inc., Senior Secured

 

 

 

 

 

 

 

Notes, 8.50%, 06/01/15

 

B3

 

178

 

757

 

US Oncology Holdings, Inc., Senior Notes,

 

 

 

 

 

 

 

6.904%, 03/15/12 (i)

 

Caa1

 

454

 

250

 

US Oncology, Inc., Senior Notes,

 

 

 

 

 

 

 

9%, 08/15/12

 

B2

 

243

 

375

 

US Oncology, Inc., Senior Subordinated

 

 

 

 

 

 

 

Notes, 10.75%, 08/15/14

 

B3

 

345

 

500

 

Vanguard Health Holding Company I, LLC,

 

 

 

 

 

 

 

Senior Notes, 11.25%, 10/01/15 (b)

 

Caa1

 

420

 

650

 

Vanguard Health Holding Company II, LLC, Senior

 

 

 

 

 

 

 

Subordinated Notes, 9%, 10/01/14

 

Caa1

 

574

 

 

 

 

 

 

 

17,811

 

Hotels, Motels, Inns and Gaming - 4.35%

 

 

 

 

 

662

 

Harrah’s Operating Company, Senior Notes,

 

 

 

 

 

 

 

10%, 12/15/15 (g)

 

(e)

 

205

 

600

 

Isle of Capri Casinos, Inc., Senior Notes

 

 

 

 

 

 

 

7%, 03/01/14

 

Caa1

 

354

 

175

 

Little Traverse Bay Bands of Odawa Indians, Senior

 

 

 

 

 

 

 

Notes, 10.25%, 02/15/14 (g)

 

Caa1

 

70

 

600

 

MGM Mirage, Senior Notes,

 

 

 

 

 

 

 

13%, 11/15/13 (g)

 

B1

 

444

 

750

 

Penn National Gaming, Inc., Senior Notes,

 

 

 

 

 

 

 

6.75%, 03/01/15

 

B1

 

641

 

975

 

Pinnacle Entertainment, Inc., Senior Subordinated

 

 

 

 

 

 

 

Notes, 7.50%, 06/15/15

 

B3

 

604

 

450

 

Pinnacle Entertainment, Inc., Senior Subordinated

 

 

 

 

 

 

 

Notes, 8.25%, 03/15/12

 

B3

 

392

 

1,300

 

Pokagon Gaming Authority, Senior Notes,

 

 

 

 

 

 

 

10.375%, 06/15/14 (g)

 

B2

 

1,079

 

1,450

 

Shingle Springs Tribal Gaming Authority, Senior

 

 

 

 

 

 

 

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

 

B3

 

595

 

2,350

 

Wynn Las Vegas LLC, Senior Notes,

 

 

 

 

 

 

 

6.625%, 12/01/14

 

Ba2

 

1,762

 

 

 

 

 

 

 

6,146

 

Insurance - 1.52%

 

 

 

 

 

575

 

Centene Corporation, Senior Notes,

 

 

 

 

 

 

 

7.25%, 04/01/14

 

Ba3

 

502

 

975

 

Hub International Limited, Senior Notes,

 

 

 

 

 

 

 

9%, 12/15/14 (g)

 

B3

 

614

 

1,775

 

Hub International Limited, Senior Subordinated Notes,

 

 

 

 

 

 

 

10.25%, 06/15/15 (g)

 

Caa1

 

834

 

425

 

USI Holdings Corporation, Senior Subordinated Notes,

 

 

 

 

 

 

 

9.75%, 05/15/15 (g)

 

Caa1

 

191

 

 

 

 

 

 

 

2,141

 

Machinery - 1.03%

 

 

 

 

 

1,125

 

Columbus McKinnon Corporation, Senior

 

 

 

 

 

 

 

Subordinated Notes, 8.875%, 11/01/13

 

B1

 

1,041

 

725

 

Commercial Vehicle Group, Inc., Senior Notes,

 

 

 

 

 

 

 

8%, 07/01/13

 

Caa2

 

163

 

350

 

Manitowoc Company, Inc., Senior Notes,

 

 

 

 

 

 

 

7.125%, 11/01/13

 

B2

 

245

 

 

 

 

 

 

 

1,449

 

Mining, Steel, Iron and Non-Precious Metals - 10.51%

 

 

 

 

 

750

 

ArcelorMittal USA, Senior Notes,

 

 

 

 

 

 

 

5.375%, 06/01/13

 

Baa2

 

587

 

250

 

ArcelorMittal USA, Senior Notes,

 

 

 

 

 

 

 

6.50%, 04/15/14

 

Baa2

 

198

 

675

 

Arch Western Finance LLC, Senior Notes,

 

 

 

 

 

 

 

6.75%, 07/01/13

 

B1

 

624

 

350

 

ESCO Corporation, Senior Notes,

 

 

 

 

 

 

 

5.195%, 12/15/13 (g)

 

B2

 

217

 

1,225

 

ESCO Corporation, Senior Notes,

 

 

 

 

 

 

 

8.625%, 12/15/13 (g)

 

B2

 

913

 

1,125

 

Foundation PA Coal Company, Senior Notes,

 

 

 

 

 

 

 

7.25%, 08/01/14

 

Ba3

 

1,024

 

4,975

 

Freeport-McMoRan Copper & Gold Inc., Senior Notes,

 

 

 

 

 

 

 

8.375%, 04/01/17

 

Ba2

 

4,614

 

750

 

Gerdau Ameristeel Corporation, Senior Notes,

 

 

 

 

 

 

 

10.375%, 07/15/11

 

Ba1

 

751

 

1,750

 

Gibraltar Industries, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

8%, 12/01/15

 

B3

 

945

 

850

 

International Coal Group, Inc., Senior Notes,

 

 

 

 

 

 

 

10.25%, 07/15/14

 

Caa3

 

548

 

103

 

Metals USA, Inc., Senior Notes,

 

 

 

 

 

 

 

10.883%, 07/01/12 (i)

 

Caa1

 

23

 

550

 

Metals USA, Inc., Senior Secured Notes,

 

 

 

 

 

 

 

11.125%, 12/01/15

 

B3

 

314

 

 



 

850

 

Novelis, Inc., Senior Notes,

 

 

 

 

 

 

 

7.25%, 02/15/15

 

B3

 

336

 

350

 

Peabody Energy Corporation, Junior

 

 

 

 

 

 

 

Subordinated Debentures, 4.75%, 12/15/66

 

Ba3

 

247

 

950

 

Peabody Energy Corporation, Senior Notes,

 

 

 

 

 

 

 

7.375%, 11/01/16

 

Ba1

 

938

 

825

 

Reliance Steel and Aluminum Company, Senior Notes,

 

 

 

 

 

 

 

6.20%, 11/15/16

 

Baa3

 

604

 

925

 

Ryerson, Inc., Senior Notes,

 

 

 

 

 

 

 

12%, 11/01/15 (g)

 

Caa1

 

527

 

575

 

Steel Dynamics, Inc., Senior Notes,

 

 

 

 

 

 

 

6.75%, 04/01/15

 

Ba2

 

388

 

1,150

 

Steel Dynamics, Inc., Senior Notes,

 

 

 

 

 

 

 

7.375%, 11/01/12

 

Ba2

 

903

 

900

 

Tube City IMS Corporation., Senior Subordinated Notes,

 

 

 

 

 

 

 

9.75%, 02/01/15

 

B3

 

135

 

 

 

 

 

 

 

14,836

 

Oil and Gas - 17.94%

 

 

 

 

 

75

 

AmeriGas Partners, L.P., Senior Notes,

 

 

 

 

 

 

 

7.125%, 05/20/16

 

Ba3

 

71

 

1,650

 

AmeriGas Partners, L.P., Senior Notes,

 

 

 

 

 

 

 

7.25%, 05/20/15

 

Ba3

 

1,551

 

875

 

Bristow Group, Inc. Senior Notes,

 

 

 

 

 

 

 

6.125%, 06/15/13

 

Ba2

 

709

 

1,050

 

Bristow Group, Inc. Senior Notes,

 

 

 

 

 

 

 

7.50%, 09/15/17

 

Ba2

 

787

 

100

 

Chesapeake Energy Corp., Senior Notes,

 

 

 

 

 

 

 

6.875%, 01/15/16

 

Ba3

 

84

 

50

 

Chesapeake Energy Corp., Senior Notes,

 

 

 

 

 

 

 

6.375%, 06/15/15

 

Ba3

 

42

 

1,775

 

Chesapeake Energy Corp., Senior Notes,

 

 

 

 

 

 

 

9.50%, 02/15/15

 

Ba3

 

1731

 

200

 

Compagnie Generale De Geophysique-Veritas, Senior

 

 

 

 

 

 

 

Notes, 7.50%, 05/15/15

 

Ba3

 

158

 

1,575

 

Compagnie Generale De Geophysique-Veritas, Senior

 

 

 

 

 

 

 

Notes, 7.75%, 05/15/17

 

Ba3

 

1,199

 

1,700

 

Complete Production Services, Inc., Senior

 

 

 

 

 

 

 

Notes, 8%, 12/15/16

 

B1

 

1,075

 

1,075

 

Compton Petroleum Finance Corporation, Senior

 

 

 

 

 

 

 

Notes, 7.625%, 12/01/13

 

B3

 

344

 

1,550

 

Connacher Oil and Gas Limited, Senior Notes,

 

 

 

 

 

 

 

10.25%, 12/15/15 (g)

 

B3

 

496

 

1,175

 

Copano Energy, LLC, Senior Notes,

 

 

 

 

 

 

 

8.125%, 03/01/16

 

B1

 

993

 

575

 

Denbury Resources Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

9.75%, 03/01/16

 

B1

 

555

 

350

 

El Paso Corporation, Senior Notes,

 

 

 

 

 

 

 

8.25%, 02/15/16

 

Ba3

 

329

 

1,425

 

El Paso Corporation, Senior Notes,

 

 

 

 

 

 

 

12%, 12/12/13

 

Ba3

 

1,510

 

575

 

Encore Acquisition Company, Senior Subordinated

 

 

 

 

 

 

 

Notes, 6.25%, 04/15/14

 

B1

 

446

 

1,075

 

Encore Acquisition Company, Senior Subordinated

 

 

 

 

 

 

 

Notes, 7.25%, 12/01/17

 

B1

 

794

 

525

 

Ferrellgas, L.P., Senior Notes,

 

 

 

 

 

 

 

6.75%, 05/01/14

 

Ba3

 

444

 

1,575

 

Ferrellgas Partners L.P., Senior Notes,

 

 

 

 

 

 

 

8.75%, 06/15/12

 

B2

 

1,329

 

1,475

 

Forest Oil Corp., Senior Notes,

 

 

 

 

 

 

 

7.25%, 06/15/19

 

B1

 

1,184

 

175

 

Forest Oil Corp., Senior Notes,

 

 

 

 

 

 

 

8.50%, 02/15/14 (g)

 

B1

 

165

 

1,575

 

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

 

 

 

 

 

 

 

7.75%, 11/01/15 (g)

 

B3

 

1,158

 

475

 

Inergy, L.p., Senior Notes,

 

 

 

 

 

 

 

8.75%, 03/01/15 (g)

 

B1

 

470

 

250

 

Kinder Morgan Finance Company, ULC, Senior

 

 

 

 

 

 

 

Secured Notes, 5.35%, 01/05/11

 

Ba1

 

239

 

375

 

Knight Inc., Senior Secured Notes,

 

 

 

 

 

 

 

6.50%, 09/01/12

 

Ba1

 

349

 

1,175

 

OPTI Canada Inc., Senior Secured Notes,

 

 

 

 

 

 

 

7.875%, 12/15/14

 

B3

 

511

 

2,350

 

OPTI Canada Inc., Senior Secured Notes,

 

 

 

 

 

 

 

8.25%, 12/15/14

 

B3

 

1,031

 

200

 

PetroHawk Energy Corporation, Senior Notes,

 

 

 

 

 

 

 

7.875%, 06/01/15 (g)

 

B3

 

176

 

1,275

 

PetroHawk Energy Corporation, Senior Notes,

 

 

 

 

 

 

 

9.125%, 07/15/13

 

B3

 

1,218

 

400

 

PetroHawk Energy Corporation, Senior Notes,

 

 

 

 

 

 

 

10.50%, 08/01/14 (g)

 

B3

 

398

 

350

 

Plains Exploration & Production Co., Senior

 

 

 

 

 

 

 

Notes, 7%, 03/15/17

 

B1

 

280

 

750

 

Quicksilver Resources, Inc., Senior Notes,

 

 

 

 

 

 

 

7.75%, 08/01/15

 

B2

 

486

 

525

 

Range Resources Corporation, Senior Subordinated

 

 

 

 

 

 

 

Notes, 6.375%, 03/15/15

 

Ba3

 

467

 

150

 

Range Resources Corporation, Senior Subordinated

 

 

 

 

 

 

 

Notes, 7.375%, 07/15/13

 

Ba3

 

143

 

650

 

Range Resources Corporation, Senior Subordinated

 

 

 

 

 

 

 

Notes, 7.50%, 05/15/16

 

Ba3

 

598

 

750

 

SandRidge Energy, Inc., Senior Notes,

 

 

 

 

 

 

 

5.084%, 04/01/14

 

B3

 

469

 

75

 

SandRidge Energy, Inc., Senior Notes,

 

 

 

 

 

 

 

8%, 06/01/18 (g)

 

B3

 

54

 

1,525

 

SandRidge Energy, Inc., Senior Notes,

 

 

 

 

 

 

 

8.063%, 04/01/15

 

B3

 

991

 

300

 

Tennessee Gas Pipeline Company, Senior Notes,

 

 

 

 

 

 

 

8%, 02/01/16 (g)

 

Baa3

 

298

 

 

 

 

 

 

 

25,332

 

 



 

Personal, Food and Miscellaneous Services - 3.63%

 

 

 

 

 

400

 

ARAMARK Corporation, Senior Notes,

 

 

 

 

 

 

 

5%, 06/01/12

 

B3

 

352

 

1,450

 

ARAMARK Corporation, Senior Notes,

 

 

 

 

 

 

 

4.67%, 02/01/15

 

B3

 

1,116

 

800

 

FTI Consulting, Inc., Senior Notes,

 

 

 

 

 

 

 

7.625%, 06/15/13

 

Ba2

 

812

 

750

 

FTI Consulting, Inc., Senior Notes,

 

 

 

 

 

 

 

7.75%, 10/01/16

 

Ba2

 

756

 

1,100

 

Mac-Gray Corporation, Senior Notes,

 

 

 

 

 

 

 

7.625%, 08/15/15

 

B3

 

1,017

 

850

 

O’Charleys, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

9%, 11/01/13

 

Caa1

 

451

 

900

 

West Corporation, Senior Subordinated Notes,

 

 

 

 

 

 

 

9.50%, 10/15/14

 

Caa1

 

623

 

 

 

 

 

 

 

5,127

 

Personal Non-Durable Consumer Products - .96%

 

 

 

 

 

850

 

Bausch & Lomb, Incorporated, Senior Notes,

 

 

 

 

 

 

 

9.875%, 11/01/15 (g)

 

Caa1

 

680

 

50

 

Visant Holding Corp. Senior Notes,

 

 

 

 

 

 

 

10.25%, 12/01/13

 

B3

 

46

 

675

 

Visant Corporation, Senior Subordinated

 

 

 

 

 

 

 

Notes, 7.625%, 10/01/12

 

B1

 

628

 

 

 

 

 

 

 

1,354

 

Personal Transportation - 1.48%

 

 

 

 

 

593

 

AirTran Holdings, Inc., Senior Convertible Notes,

 

 

 

 

 

 

 

7%, 07/01/23

 

Ca

 

449

 

800

 

American Airlines, Inc., Senior Notes,

 

 

 

 

 

 

 

7.858%, 10/01/11

 

Ba1

 

644

 

725

 

Delta Airlines, Inc., Senior Notes,

 

 

 

 

 

 

 

7.57%, 11/18/10

 

(e)

 

638

 

400

 

JetBlue Airways Corporation, Senior Convertible

 

 

 

 

 

 

 

Debentures, 3.75%, 3/15/35

 

Ca

 

352

 

 

 

 

 

 

 

2,083

 

Printing and Publishing - 2.68%

 

 

 

 

 

151

 

Affinity Group Holding, Inc., Senior Notes,

 

 

 

 

 

 

 

10.875%, 02/15/12

 

Caa3

 

67

 

850

 

Affinity Group Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

9%, 02/15/12

 

Caa1

 

468

 

1,100

 

Deluxe Corporation, Senior Notes,

 

 

 

 

 

 

 

7.375%, 06/01/15

 

Ba2

 

814

 

925

 

Local Insight Regatta Holdings, Inc., Senior Subordinated

 

 

 

 

 

 

 

Notes, 11%, 12/01/17

 

Caa3

 

213

 

425

 

Nielsen Finance LLC, Senior Notes,

 

 

 

 

 

 

 

10%, 08/01/14

 

Caa1

 

368

 

400

 

Nielsen Finance LLC, Senior Notes,

 

 

 

 

 

 

 

11.625%, 02/01/14 (g)

 

Caa1

 

362

 

1,050

 

Nielsen Finance LLC, Senior Subordinated Discount

 

 

 

 

 

 

 

Notes, 12.50%, 08/01/16 (b)

 

Caa1

 

446

 

1,100

 

R.H. Donnelley Finance Corporation III, Senior Notes,

 

 

 

 

 

 

 

6.875%, 01/15/13

 

Caa3

 

61

 

450

 

Time Warner, Inc., Senior Notes,

 

 

 

 

 

 

 

1.461%, 11/13/09

 

Baa2

 

441

 

1,250

 

Valassis Communications, Inc., Senior Notes,

 

 

 

 

 

 

 

8.25%, 03/01/15

 

B3

 

544

 

 

 

 

 

 

 

3,784

 

Retail Stores - 6.05%

 

 

 

 

 

1,675

 

Ace Hardware Corporation, Senior Notes,

 

 

 

 

 

 

 

9.125%, 06/01/16 (g)

 

Ba2

 

1,378

 

1,000

 

Alimentation Couche-Tard, Inc., Senior Subordinated

 

 

 

 

 

 

 

Notes, 7.50%, 12/15/13

 

Ba2

 

985

 

525

 

Brown Shoe Company, Inc., Senior Notes,

 

 

 

 

 

 

 

8.75%, 05/01/12

 

B3

 

423

 

300

 

Dollarama Group, L.P., Senior Subordinated Notes,

 

 

 

 

 

 

 

8.875%, 08/15/12

 

B2

 

257

 

1,125

 

GameStop Corp., Senior Notes,

 

 

 

 

 

 

 

8%, 10/01/12

 

Ba1

 

1,131

 

1,150

 

Leslie’s Poolmart, Inc., Senior Notes,

 

 

 

 

 

 

 

7.75%, 02/01/13

 

B2

 

966

 

550

 

May Department Stores Company, Senior Notes,

 

 

 

 

 

 

 

10.625%, 11/01/10

 

Baa3

 

534

 

1,300

 

Nebraska Book Company, Inc., Senior Subordinated

 

 

 

 

 

 

 

Notes, 8.625%, 03/15/12

 

Caa1

 

721

 

1,100

 

Neiman Marcus Group, Inc., Senior Notes,

 

 

 

 

 

 

 

9%, 10/15/15 (i)

 

Caa2

 

344

 

450

 

Neiman Marcus Group, Inc., Senior Subordinated

 

 

 

 

 

 

 

Notes, 10.375%, 10/15/15

 

Caa3

 

142

 

1,000

 

Pantry, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

7.75%, 02/15/14

 

Caa1

 

770

 

800

 

Sally Holdings, LLC, Senior Notes,

 

 

 

 

 

 

 

9.25%, 11/15/14

 

B3

 

762

 

150

 

Sally Holdings, LLC, Senior Notes,

 

 

 

 

 

 

 

10.50%, 11/15/16

 

Caa1

 

133

 

 

 

 

 

 

 

8,546

 

 



 

Telecommunications - 20.19%

 

 

 

 

 

875

 

Broadview Networks Holdings, Inc., Senior Secured

 

 

 

 

 

 

 

Notes, 11.375%, 09/01/12

 

B3

 

512

 

1,000

 

Centennial Communications Corp., Senior Notes,

 

 

 

 

 

 

 

7.209%, 01/01/13

 

Caa1

 

996

 

650

 

Cincinnati Bell Inc., Senior Notes,

 

 

 

 

 

 

 

7%, 02/15/15

 

Ba3

 

592

 

1,825

 

Cricket Communications, Inc., Senior Notes,

 

 

 

 

 

 

 

9.375%, 11/01/14

 

B3

 

1,729

 

575

 

Cricket Communications, Inc., Senior Notes,

 

 

 

 

 

 

 

10%, 07/15/15 (g)

 

B3

 

551

 

1,275

 

Crown Castle International Corporation, Senior Notes,

 

 

 

 

 

 

 

9%, 01/15/15

 

B1

 

1,278

 

1,850

 

Digicel Group Limited, Senior Notes,

 

 

 

 

 

 

 

8.875%, 01/15/15 (g)

 

Caa1

 

1,193

 

1,475

 

Digicel Limited, Senior Notes,

 

 

 

 

 

 

 

9.25%, 09/01/12 (g)

 

B1

 

1,327

 

325

 

Frontier Communications Corporation, Senior Notes,

 

 

 

 

 

 

 

6.25%, 01/15/13

 

Ba2

 

297

 

725

 

Frontier Communications Corporation, Senior Notes,

 

 

 

 

 

 

 

7.125%, 03/15/19

 

Ba2

 

573

 

1,025

 

GC Impsat Holdings I, Plc, Senior Notes,

 

 

 

 

 

 

 

9.875%, 02/15/17 (g)

 

B2

 

716

 

900

 

GCI, Inc., Senior Notes,

 

 

 

 

 

 

 

7.25%, 02/15/14

 

B3

 

787

 

1,050

 

Intelsat Corporation, Senior Notes,

 

 

 

 

 

 

 

9.25%, 06/15/16 (g)

 

B3

 

976

 

500

 

Intelsat Ltd., Senior Notes,

 

 

 

 

 

 

 

11.25%, 06/15/16

 

Caa2

 

483

 

375

 

Intelsat Subsidiary Holding Company, Ltd., Senior

 

 

 

 

 

 

 

Notes, 8.875%, 01/15/15 (g)

 

B3

 

350

 

800

 

iPCS, Inc., Senior Secured Notes,

 

 

 

 

 

 

 

3.295%, 05/01/13

 

B1

 

600

 

950

 

iPCS, Inc., Senior Secured Notes,

 

 

 

 

 

 

 

4.42%, 05/01/14

 

Caa1

 

570

 

192

 

Level 3 Communications, Inc., Subordinated

 

 

 

 

 

 

 

Notes, 6%, 09/15/09

 

Caa3

 

185

 

183

 

Level 3 Communications, Inc., Subordinated

 

 

 

 

 

 

 

Notes, 6%, 03/15/10

 

Caa3

 

156

 

625

 

Level 3 Financing, Inc., Senior

 

 

 

 

 

 

 

Notes, 12.25%, 03/15/13

 

Caa1

 

469

 

2,400

 

MetroPCS Wireless, Inc., Senior Notes,

 

 

 

 

 

 

 

9.25%, 11/01/14

 

B3

 

2,340

 

75

 

MetroPCS Wireless, Inc., Senior Notes,

 

 

 

 

 

 

 

9.25%, 11/01/14 (g)

 

B3

 

73

 

75

 

Millicom International Cellular S.A., Senior Notes,

 

 

 

 

 

 

 

10%, 12/01/13

 

B1

 

74

 

309

 

Nextel Communications, Convertible Senior Notes,

 

 

 

 

 

 

 

5.25%, 01/15/10

 

Ba2

 

299

 

1,650

 

Nordic Telephone Company Holdings ApS., Senior

 

 

 

 

 

 

 

Notes, 8.875%, 05/01/16 (g)

 

B1

 

1,526

 

300

 

Orascom Telecom Finance S.C.A., Senior Notes,

 

 

 

 

 

 

 

7.875%, 02/08/14 (g)

 

B2

 

192

 

275

 

Paetec Holding Corporation, Senior Notes,

 

 

 

 

 

 

 

9.50%, 07/15/15

 

Caa1

 

189

 

550

 

Qwest Corporation, Senior Notes,

 

 

 

 

 

 

 

7.875%, 09/01/11

 

Ba1

 

542

 

375

 

Qwest Corporation, Senior Notes,

 

 

 

 

 

 

 

8.875%, 03/15/12

 

Ba1

 

372

 

175

 

Sprint Capital Corporation, Senior Notes,

 

 

 

 

 

 

 

6.875%, 11/15/28

 

Ba2

 

107

 

2,025

 

Sprint Capital Corporation, Senior Notes,

 

 

 

 

 

 

 

7.625%, 01/30/11

 

Ba2

 

1,868

 

700

 

Sprint Capital Corporation, Senior Notes,

 

 

 

 

 

 

 

8.375%, 03/15/12

 

Ba2

 

628

 

100

 

Sprint Capital Corporation, Senior Notes,

 

 

 

 

 

 

 

8.75%, 03/15/32

 

Ba2

 

68

 

2,275

 

Sprint Nextel Corporation, Senior Notes,

 

 

 

 

 

 

 

6%, 12/01/16

 

Ba2

 

1,615

 

1,250

 

Telesat Canada, Senior Notes,

 

 

 

 

 

 

 

11%, 11/01/15 (g)

 

Caa1

 

1,062

 

500

 

Valor Telecommunications Enterprise, LLC, Senior

 

 

 

 

 

 

 

Notes, 7.75%, 02/15/15

 

Baa3

 

488

 

1,550

 

Wind Acquistion Finance S.A., Senior Notes,

 

 

 

 

 

 

 

10.75%, 12/01/15 (g)

 

B2

 

1,519

 

1,125

 

Windstream Corporation, Senior Notes,

 

 

 

 

 

 

 

8.125%, 08/01/13

 

Ba3

 

1,111

 

100

 

Windstream Corporation, Senior Notes,

 

 

 

 

 

 

 

8.625%, 08/01/16

 

Ba3

 

98

 

 

 

 

 

 

 

28,511

 

Textiles and Leather -.26%

 

 

 

 

 

500

 

AGY Holding Corp., Senior Secured Notes,

 

 

 

 

 

 

 

11%, 11/15/14

 

B2

 

295

 

100

 

Interface, Inc., Senior Subordinated Notes,

 

 

 

 

 

 

 

9.50%, 02/01/14

 

B3

 

71

 

 

 

 

 

 

 

366

 

Utilities - 13.07%

 

 

 

 

 

50

 

AES Corporation, Senior Notes,

 

 

 

 

 

 

 

7.75%, 03/01/14

 

B1

 

45

 

1,375

 

AES Corporation, Senior Notes,

 

 

 

 

 

 

 

9.375%, 09/15/10

 

B1

 

1,354

 

125

 

AES Corporation, Senior Notes,

 

 

 

 

 

 

 

9.50%, 06/01/09

 

B1

 

125

 

 



 

2,375

 

AES Corporation, Senior Notes,

 

 

 

 

 

 

 

9.75%, 04/15/16 (g)

 

B1

 

2,232

 

850

 

Dynegy Holdings Inc., Senior Notes

 

 

 

 

 

 

 

7.50%. 06/01/15

 

B2

 

580

 

3,300

 

Dynegy Holdings Inc., Senior Notes

 

 

 

 

 

 

 

7.75%, 06/01/19

 

B2

 

2,145

 

2,750

 

Energy Future Holding Corporation, Senior Notes,

 

 

 

 

 

 

 

10.875%, 11/01/17

 

Caa1

 

1,760

 

4,050

 

Energy Future Holding Corporation, Senior Notes,

 

 

 

 

 

 

 

11.25%, 11/01/17 (i)

 

Caa1

 

1,721

 

925

 

Mirant Americas Generation, LLC, Senior Notes,

 

 

 

 

 

 

 

8.30%, 05/01/11

 

B3

 

900

 

1,500

 

NRG Energy, Inc., Senior Notes,

 

 

 

 

 

 

 

7.375%, 02/01/16

 

B1

 

1,395

 

750

 

NRG Energy, Inc., Senior Notes,

 

 

 

 

 

 

 

7.375%, 01/15/17

 

B1

 

692

 

975

 

PNM Resources, Inc., Senior Notes,

 

 

 

 

 

 

 

9.25%, 05/15/15

 

Ba2

 

868

 

650

 

Reliant Energy, Inc., Senior Notes,

 

 

 

 

 

 

 

6.75%, 12/15/14

 

Ba3

 

598

 

1,050

 

Reliant Energy, Inc., Senior Notes,

 

 

 

 

 

 

 

7.625%, 06/15/14

 

B1

 

840

 

2,150

 

Reliant Energy, Inc., Senior Notes,

 

 

 

 

 

 

 

7.875%, 06/15/17

 

B1

 

1,709

 

225

 

Sierra Pacific Resources, Senior Notes,

 

 

 

 

 

 

 

7.803%, 06/15/12

 

Ba3

 

210

 

500

 

Sierra Pacific Resources, Senior Notes,

 

 

 

 

 

 

 

8.625%, 03/15/14

 

Ba3

 

469

 

675

 

Texas Competitive Electric Holdings, Senior Notes,

 

 

 

 

 

 

 

10.50%, 11/01/16 (i)

 

Caa1

 

253

 

175

 

Williams Companies, Inc., Senior Notes,

 

 

 

 

 

 

 

7.625%, 07/15/19

 

Baa3

 

165

 

400

 

Williams Companies, Inc., Senior Notes,

 

 

 

 

 

 

 

8.75%, 01/15/20 (g)

 

Baa3

 

400

 

 

 

 

 

 

 

18,461

 

 

 

Total Corporate Debt Securities
(Total cost of $269,296)

 

 

 

214,380

 

 

 

 

 

 

 

 

 

BANK DEBT SECURITIES - 1.88% (d)

 

 

 

 

 

Electronics - 1.05%

 

 

 

 

 

733

 

Infor Global Solutions Holdings, Ltd.,

 

 

 

 

 

 

 

5.21%, 07/28/12 (h)

 

B3

 

436

 

500

 

Infor Global Solutions, Holdings, Ltd.,

 

 

 

 

 

 

 

7.709%, 03/02/14 (h)

 

Caa2

 

103

 

1,975

 

Palm Inc.

 

 

 

 

 

 

 

4.024%, 04/24/14 (h)

 

Ba3

 

948

 

 

 

 

 

 

 

1,487

 

Leisure, Amusement and Entertainment - .35%

 

 

 

 

 

985

 

Town Sports International LLC,

 

 

 

 

 

 

 

2.375%, 02/27/14 (h)

 

Ba2

 

492

 

 

 

 

 

 

 

Oil and Gas - .26%

 

 

 

 

 

500

 

Dresser, Inc.,

 

 

 

 

 

 

 

6.988%, 05/04/15 (h)

 

B3

 

368

 

 

 

 

 

 

 

Telecommunications - .21%

 

 

 

 

 

750

 

Trilogy International Partners LLC,

 

 

 

 

 

 

 

4.959%, 06/29/12 (h)

 

B2

 

300

 

 

 

 

 

 

 

 

 

Utilities - .01%

 

 

 

 

 

 

 

16

 

NRG Energy, Inc.,

 

 

 

 

 

 

 

2.737%, 02/01/13 (h)

 

B2

 

14

 

 

 

 

 

 

 

 

 

 

 

Total Bank Debt Securities
(Total cost of $5,222)

 

 

 

2,661

 

 

Shares

 

 

 

 

 

 

 

PREFERRED STOCK - .71% (d)

 

 

 

 

 

Banking - .30%

 

 

 

 

 

1,000

 

Bank of America Corporation, Series L,

 

 

 

 

 

 

 

Convertible, Preferred Stock, 7.25%

 

B3

 

424

 

 

 

 

 

 

 

Broadcasting and Entertainment - .09%

 

 

 

 

 

495

 

Spanish Broadcasting System, Inc., Series B,

 

 

 

 

 

 

 

Preferred Stock, 10.75% (c)(i)

 

C

 

125

 

 

 

 

 

 

 

Electronics - .32%

 

 

 

 

 

1,600

 

Lucent Technologies Capital Trust I,

 

 

 

 

 

 

 

Convertible Preferred Stock, 7.75%

 

B3

 

458

 

 

 

 

 

 

 

 

 

 

 

Total Preferred Stock
(Total cost of $2,694)

 

 

 

1,007

 

 

 

 

 

 

 

COMMON STOCK and WARRANTS - .48% (d)

 

 

 

 

 

59,775

 

B&G Foods, Inc., Enhanced Income

 

 

 

 

 

 

 

Securities

 

 

 

657

 

10,052

 

WKI Holding Company, Inc.,

 

 

 

 

 

 

 

Common Stock (c)(f)(h)

 

 

 

25

 

 

 

 

 

 

 

 

 

 

 

Total Common Stock and Warrants
(Total cost of $3,261)

 

 

 

682

 

 



 

Principal

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS - 4.24% (d)

 

 

 

 

 

5,991

 

Kredietbank North American Finance Corp.,

 

 

 

 

 

 

 

Commercial Paper, Due 04/01/09,

 

 

 

 

 

 

 

Discount of .19%

 

P-1

 

5,991

 

 

 

 

 

 

 

 

 

 

 

Total Short-Term Investments
(Total cost of $5,991)

 

 

 

5,991

 

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS
(Total cost of $286,464)

 

 

 

$

224,721

 

 


(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)

Security is valued at fair value using methods determined by the Board of Directors. The total value of these securities at March 31, 2009 was $150.

 

 

(d)

Percentages indicated are based on total net assets to common shareholders of $141,201.

 

 

(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 vaulation policy. Total market value of Rule 144A securities amounted to $37,141 as of March 31, 2009.

 

 

(h)

Restricted as to public resale. At the date of acquisition, these securities were valued at cost. The total value of restricted securities owned at March 31, 2009 was $2,686 or 1.90% of total net assets to common shareholders.

 

 

(i)

Pay-In-Kind Security

 



 

The New America High Income Fund, Inc.

 

Note 1 to Schedule of Investments
March 31, 2009
(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. 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 of approximately $2,826,000 and a value of $150,000, are valued in good faith at fair market value using methods determined by the Board of Directors.

 

(b)  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

 



 

The New America High Income Fund, Inc.

 

Note 1 to Schedule of Investments — Continued
March 31, 2009
(Unaudited)

 

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.

 

(c)  Fair Value Measurement—In September 2006, the Financial Accounting Standards Board issued Statement on Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”). This standard establishes the definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. FAS 157 was effective for the Fund’s fiscal year beginning January 1, 2008.

 

The three levels of the fair value hierarchy under FAS 157 are described below:

 

Level 1—quoted prices in active markets for identical securities

 

Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining fair value of investments)

 

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

 

The following is a summary of the inputs used as of March 31, 2009 in valuing the Fund’s investments:

 

Valuation Inputs

 

Investments in
Securities

 

Interest
Rate Swap

 

Level 1—Quoted Prices

 

$

657,000

 

$

 

Level 2—Other Significant Observable Inputs

 

223,914,000

 

(1,629,000

)

Level 3—Significant Unobservable Inputs

 

150,000

 

 

Total

 

$

224,721,000

 

$

(1,629,000

)

 

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

 

Balance, December 31, 2008

 

$

50,000

 

Net purchases (sales)

 

 

Change in unrealized appreciation (depreciation)

 

(24,000

)

Realized gain (loss)

 

 

Transfers in and/or out of Level 3

 

124,000

 

Balance, March 31, 2009

 

$

150,000

 

 



 

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

May 20, 2009

 

 

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

May 20, 2009

 

 

 

By (Signature and Title)

/s/ Ellen E. Terry

 

 

Ellen E. Terry

 

Treasurer

 

Date

May 20, 2009