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UNITED STATES |
OMB APPROVAL |
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OMB
Number: 3235-0578 |
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FORM N-Q |
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QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act file number |
811-2213 |
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Castle Convertible Fund, Inc. |
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(Exact name of registrant as specified in charter) |
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111 Fifth Avenue, New York, New York |
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10003 |
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(Address of principal executive offices) |
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(Zip code) |
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Mr. Hal Liebes |
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(Name and address of agent for service) |
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Registrant's telephone number, including area code: |
212-806-8800 |
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Date of fiscal year end: |
October 31 |
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Date of reporting period: |
January 31, 2008 |
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ITEM 1. Schedule of Investments.
Schedules of Investments
CASTLE CONVERTIBLE FUND, INC.
Schedule of Investments (Unaudited) January 31, 2008
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CORPORATE CONVERTIBLE BONDS—59.3% |
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PRINCIPAL |
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VALUE |
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AUTOMOTIVE—1.8% |
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Ford Motor Company, 4.25%, 12/15/36 |
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$ |
1,000,000 |
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$ |
1,003,750 |
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BEVERAGES—1.0% |
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Molson Coors Brewing Co., 2.50%, 7/30/13 |
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500,000 |
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570,625 |
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BIOTECHNOLOGY—2.4% |
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Dendreon Corporation, 4.75%, 6/15/14 |
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250,000 |
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204,688 |
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Mannkind Corporation, 3.75%, 12/15/13 |
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475,000 |
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385,937 |
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OSI Pharmaceuticals, Inc., 3.00%, 1/15/38(a) |
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250,000 |
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249,375 |
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Protein Design Labs, 2.00%, 2/15/12(a) |
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500,000 |
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463,750 |
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1,303,750 |
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BUSINESS SERVICES—2.2% |
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Quanta Services Inc., 3.75%, 4/30/26(a) |
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1,000,000 |
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1,187,500 |
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COMMERCIAL BANKS—2.7% |
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Boston Private Financial, 3.00%, 7/15/27(a) |
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1,000,000 |
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957,500 |
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U.S. Bancorp Series B, 3.61%, 2/6/2037(a) |
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500,000 |
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500,200 |
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1,457,700 |
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COMMERCIAL SERVICES & SUPPLIES—.8% |
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Allied Waste Industries Inc. Senior Cv. Sub Note, 4.25%, 4/15/34 |
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500,000 |
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455,625 |
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DIVERSIFIED TELECOMMUNICATION SERVICES—.8% |
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Level 3 Communications, Inc., 3.50%, 6/15/12 |
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500,000 |
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451,875 |
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ELECTRONIC EQUIPMENT & INSTRUMENTS—1.1% |
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Anixter International Inc., 1.00%, 2/15/13(a) |
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500,000 |
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623,750 |
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ENERGY—4.3% |
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Cal Dive International Inc. Sr. Cv., Notes, 3.25%, 12/15/25 |
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1,000,000 |
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1,376,250 |
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Canadian Solar Inc., 6.00%, 12/15/17(a) |
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1,000,000 |
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981,250 |
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2,357,500 |
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ENERGY EQUIPMENT & SERVICES—.6% |
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Transocean Inc., 1.50%, 12/15/37 |
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279,000 |
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294,694 |
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FOOD CHAINS—2.9% |
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Great Atlantic & Pacific Tea, 5.125%, 6/15/11 |
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1,500,000 |
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1,591,875 |
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HEALTH CARE—.9% |
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Apria Healthcare Group Inc Cv. Senior Note, 3.375%, 9/1/33 |
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500,000 |
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503,125 |
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HEALTH CARE EQUIPMENT & SUPPLIES—5.1% |
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Hologic, Inc., 2.00%, 12/15/37 |
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1,000,000 |
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1,070,000 |
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Integra LifeSciences Holdings, 2.75%, 6/1/10(a) |
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150,000 |
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141,750 |
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Medtronic, Inc., 1.50%, 4/15/11 |
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1,500,000 |
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1,582,500 |
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2,794,250 |
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HEALTH CARE PROVIDERS & SERVICES—.7% |
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Manor Care, Inc., 2.125%, 8/1/35 |
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250,000 |
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385,812 |
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CORPORATE CONVERTIBLE BONDS—(CONT.) |
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PRINCIPAL |
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VALUE |
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INSURANCE—2.0% |
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Covanta Holding Corporation, 1.00%, 2/1/27 |
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$ |
1,000,000 |
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$ |
1,071,250 |
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INTERNET SOFTWARE & SERVICES—2.2% |
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VeriSign, Inc., 3.25%, 8/15/37(a) |
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1,000,000 |
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1,201,250 |
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LEISURE & ENTERTAINMENT—2.2% |
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General Cable Corp., .875%, 11/15/13 |
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500,000 |
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676,875 |
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General Cable Corp., 1.00%, 10/15/12(a) |
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500,000 |
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511,875 |
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1,188,750 |
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MEDIA—1.7% |
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Liberty Media Corporation Senior Exch Deb., 3.50%, 1/15/31 |
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1,122,712 |
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945,885 |
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METALS—1.7% |
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USEC INC., 3.00%, 10/1/14 |
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1,000,000 |
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903,750 |
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OIL & GAS—2.8% |
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Penn Virginia Corp., 4.50%, 11/15/12 |
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500,000 |
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526,250 |
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Pioneer Natural Resource, 2.875%, 1/15/38 |
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1,000,000 |
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1,025,000 |
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1,551,250 |
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PHARMACEUTICALS—1.9% |
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Wyeth, 3.581%, 1/15/24 |
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1,000,000 |
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1,052,610 |
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REAL ESTATE—4.1% |
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Boston Properties LP., 2.875%, 2/15/37 |
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500,000 |
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475,625 |
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Developers Diversified Realty Corporation, 3.50%, 8/15/11(a) |
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1,000,000 |
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900,000 |
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Macerich Co., 3.25%, 3/15/12 |
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1,000,000 |
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856,250 |
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2,231,875 |
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SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT—4.2% |
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Advanced Micro Devices, Inc., 5.75%, 8/15/12(a) |
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500,000 |
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409,375 |
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Microchip Technology, 2.125%, 12/15/37(a) |
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1,000,000 |
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1,070,000 |
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Micron Technology, Inc., 1.875%, 6/1/14 |
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1,000,000 |
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798,750 |
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2,278,125 |
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SOFTWARE—4.0% |
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Epicor Software Corporation, 2.375%, 5/15/27(a) |
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1,000,000 |
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883,750 |
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L-1 Identity Solutions Inc., 3.75%, 5/15/27(a) |
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1,500,000 |
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1,312,500 |
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2,196,250 |
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TEXTILES & APPAREL—3.5% |
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Iconix Brand Group, Inc., 1.875%, 6/30/12 |
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1,900,000 |
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1,892,875 |
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THRIFTS & MORTGAGE FINANCE—1.7% |
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Countrywide Financial, 1.758%, 4/15/37 |
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1,000,000 |
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917,400 |
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TOTAL CORPORATE CONVERTIBLE
BONDS |
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32,413,101 |
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CORPORATE BONDS—4.7% |
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PRINCIPAL |
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VALUE |
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AEROSPACE & DEFENSE—2.3% |
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L-3 Communications Holdings, 3.00%, 8/1/35 |
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$ |
1,000,000 |
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$ |
1,263,750 |
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MISCELLANEOUS—2.4% |
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Rayonier TRS Holdings Inc., 3.75%, 10/15/12(a) |
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1,250,000 |
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1,279,687 |
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TOTAL CORPORATE BONDS |
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2,543,437 |
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CONVERTIBLE PREFERRED SECURITIES—14.9% |
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SHARES |
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COMMERCIAL SERVICES & SUPPLIES—1.8% |
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Avery Dennison, 7.875%, Pfd. |
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20,000 |
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1,003,600 |
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DIVERSIFIED FINANCIAL SERVICES—1.8% |
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Citigroup Funding, Inc. Variable Rate |
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40,000 |
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952,400 |
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DRUG DISTRIBUTION—.9% |
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Hecla Mining Co. |
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5,000 |
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492,500 |
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ELECTRIC UTILITIES—.6% |
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Entergy Corporation, 7.625%, 2/17/09 |
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5,000 |
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322,500 |
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HOUSEHOLD DURABLES—.8% |
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Stanley Works (The) |
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500 |
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454,313 |
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INSURANCE—1.3% |
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Alleghany Corporation, 5.75%, 6/15/09 |
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2,000 |
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691,750 |
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MEDIA—.4% |
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Comcast Corporation, 7.00%, 9/15/55 |
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10,000 |
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242,800 |
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METALS & MINING—2.4% |
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Freeport-McMoRan Copper & Gold, 6.75% |
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10,000 |
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1,318,750 |
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OIL & GAS—2.1% |
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Chesapeake Energy Corporation, 5.00% |
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10,000 |
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1,123,750 |
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REAL ESTATE—.7% |
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HRPT Properties Trust, 6.50%, Series D |
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20,000 |
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397,500 |
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WIRELESS TELECOMMUNICATION SERVICES—2.1% |
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Crown Castle International Corp. |
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20,000 |
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1,130,000 |
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TOTAL CONVERTIBLE PREFERRED
SECURITIES |
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8,129,863 |
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MANDATORY CONVERTIBLE PREFERRED SECURITIES—.9% |
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INSURANCE |
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IPC Holdings, Ltd., 7.25%, 11/15/08(b) |
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20,000 |
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492,500 |
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TOTAL MANDATORY PREFERRED
SECURITIES |
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492,500 |
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PREFERRED SECURITIES—9.2% |
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SHARES |
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VALUE |
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DIVERSIFIED FINANCIAL SERVICES—1.4% |
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Citigroup Inc., 8.125%, Pfd. |
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20,000 |
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$ |
524,400 |
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Freddie Mac, 8.375%, Pfd. |
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10,000 |
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268,500 |
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792,900 |
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ELECTRONIC EQUIPMENT & INSTRUMENTS—.4% |
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PPL Capital Funding Inc. |
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10,000 |
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247,500 |
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FINANCE—.9% |
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Santander Finance Pfd |
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20,000 |
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467,000 |
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FINANCIAL SERVICES—4.2% |
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Bank of America, 7.25%, Pfd. |
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1,000 |
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1,114,500 |
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Federal National Mortgage Assn. |
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10,000 |
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264,200 |
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Federal National Mortgage Assn. 7.625%, Pfd. |
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35,000 |
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911,750 |
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2,290,450 |
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INSURANCE—2.0% |
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AEGON NV, 7.25%, Pfd. |
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25,000 |
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627,500 |
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ING Groep NV, 7.375%, Pfd. |
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18,000 |
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461,520 |
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1,089,020 |
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SAVINGS & LOANS—.3% |
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Indymac Bank FSB Pfd.(a) |
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20,000 |
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161,250 |
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TOTAL PREFERRED SECURITIES |
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5,048,120 |
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COMMON STOCKS—9.7% |
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CAPITAL MARKETS—.9% |
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J.P. Morgan Chase & Co. |
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10,000 |
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475,500 |
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DIVERSIFIED TELECOMMUNICATION SERVICES—.9% |
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Level 3 Communications, Inc.* |
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143,637 |
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494,111 |
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ELECTRIC UTILITIES—1.8% |
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Entergy Corporation |
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9,000 |
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973,620 |
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FOOD PRODUCTS |
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General Mills Inc. |
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1 |
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51 |
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OIL & GAS—3.4% |
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ConocoPhillips |
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10,000 |
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803,200 |
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Royal Dutch Shell, PLC* |
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15,000 |
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1,071,150 |
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1,874,350 |
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PHARMACEUTICALS—1.9% |
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GlaxoSmithKline PLC Sponsored ADR# |
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13,000 |
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615,940 |
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Schering-Plough Corporation |
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22,451 |
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439,366 |
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1,055,306 |
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COMMON STOCKS—(CONT.) |
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SHARES |
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VALUE |
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RETAIL—.8% |
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Inergy, L.P. |
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15,000 |
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$ |
431,250 |
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TOTAL COMMON STOCKS |
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5,304,188 |
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SHORT-TERM INVESTMENTS—.4% |
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PRINCIPAL |
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U.S. AGENCY OBLIGATIONS |
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Federal Home Loan Banks,
1.60%, 2/1/08 |
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$ |
202,000 |
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202,000 |
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Total Investments |
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99.1 |
% |
54,133,209 |
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Other Assets in Excess of Liabilities |
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0.9 |
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489,347 |
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NET ASSETS |
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100.0 |
% |
$ |
54,622,556 |
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Net Asset Value Per Share |
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$ |
24.43 |
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Share of Beneficial Interest Outstanding |
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2,236,000 |
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* Non-income producing securities.
# American Depositary Receipts.
(a) Pursuant to Securities and Exchange Commission Rule 144A, these securities may be sold prior to their maturity only to qualified buyers. These securities are deemed to be liquid and represent 23.5% of net assets of the Fund.
(b) These securities are required to be converted on the date listed; they generally may be converted prior to this date at the option of the holder.
(c) At January 31, 2008, the net unrealized appreciation on investments, based on cost for federal income tax purposes of $52,826,247 amounted to $1,306,962 which consisted of aggregate gross unrealized appreciation of $4,089,580 and aggregate gross unrealized depreciation of $2,782,618.
ITEM 2. Controls and Procedures.
(a) Based on their evaluation of Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) as of a date within 90 days of the filing of this document, Registrant’s principal executive officer and principal financial officer found Registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by Registrant in the reports it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to Registrant’s management, including its principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.
(b) No changes in the registrant’s internal control over financial reporting occurred during the registrant’s last fiscal quarter that materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 3. Exhibits.
Certifications of principal executive officer and principal financial officer as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached as Exhibit 99.CERT
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Castle Convertible Fund, Inc.
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By |
/s/Daniel C. Chung |
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Daniel C. Chung
President
Date: March 25, 2008
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.
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By |
/s/Daniel C. Chung |
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Daniel C. Chung
President
Date: March 25, 2008
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By |
/s/ Michael D. Martins |
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Michael D. Martins
Treasurer
Date: March 25, 2008