-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, VvEIHdYIJXqyJKCVSdnszVJsIrD0Atc+/ihcoKqTYLyuXPCSsgVfShvHLJ5v1Qkj 3Hkr/vMUF/KT10gsE4N+mQ== 0000950123-10-017639.txt : 20100226 0000950123-10-017639.hdr.sgml : 20100226 20100226102000 ACCESSION NUMBER: 0000950123-10-017639 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20091231 FILED AS OF DATE: 20100226 DATE AS OF CHANGE: 20100226 EFFECTIVENESS DATE: 20100226 FILER: COMPANY DATA: COMPANY CONFORMED NAME: RIVUS BOND FUND CENTRAL INDEX KEY: 0000030125 IRS NUMBER: 231745238 STATE OF INCORPORATION: DE FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-02201 FILM NUMBER: 10636554 BUSINESS ADDRESS: STREET 1: 113 KING STREET CITY: ARMONK STATE: NY ZIP: 10508 BUSINESS PHONE: 9142734545 MAIL ADDRESS: STREET 1: 113 KING STREET CITY: ARMONK STATE: NY ZIP: 10508 FORMER COMPANY: FORMER CONFORMED NAME: 1838 BOND DEBENTURE TRADING FUND DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: DREXEL BOND DEBENTURE TRADING FUND DATE OF NAME CHANGE: 19890511 FORMER COMPANY: FORMER CONFORMED NAME: DREXEL INCOME SECURITIES INC DATE OF NAME CHANGE: 19711102 N-Q 1 p16812nvq.txt N-Q 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 811-02201 Rivus Bond Fund (Exact name of registrant as specified in charter) 113 King Street Armonk, NY 10504 (Address of principal executive offices) (Zip code) Clifford D. Corso 113 King Street Armonk, NY 10504 (Name and address of agent for service) Registrant's telephone number, including area code: 914-273-4545 Date of fiscal year end: March 31 Date of reporting period: December 31, 2009 ITEM 1. SCHEDULE OF INVESTMENTS. The Schedule(s) of Investments is attached herewith. SCHEDULE OF INVESTMENTS (UNAUDITED) DECEMBER 31, 2009
SHARES VALUE -------------- ------------- COMMON STOCK (0.05%) MEDIA (0.05%) World Color Press, Inc.(a) 6,344 $ 58,941 -------------- ------------- TOTAL COMMON STOCK (Cost of $68,750) 58,941 -------------
MOODY'S/ STANDARD & PRINCIPAL POOR'S RATING(b) AMOUNT (000'S) ---------------- -------------- CORPORATE DEBT SECURITIES (86.66%) AUTOMOTIVE (2.72%) Ford Holdings, Inc., Gtd., 9.30%, 03/01/30 Caa1/CCC $ 1,000 920,000 Ford Motor Co., Sr. Unsec. Notes, 8.90%, 01/15/32 Caa1/CCC 500 442,500 Ford Motor Credit Co. LLC, Sr. Unsec. Notes, 7.00%, 10/01/13 B3/B- 1,000 998,494 General Motors Acceptance Corp. LLC, Sr. Unsec. Notes, 7.25%, 03/02/11, 144A Ca/CCC 633 626,670 Goodyear Tire & Rubber Co., Sr. Unsec. Notes, 10.50%, 05/15/16 B1/B+ 250 276,250 ------------- 3,263,914 ------------- CHEMICALS (1.55%) Dow Chemical Co., Sr. Unsec. Notes, 8.55%, 05/15/19 Baa3/BBB- 500 596,572 Grupo Petrotemex SA de CV, Sr. Unsec. Notes, 9.50%, 08/19/14, 144A NA/BB 500 512,500 Nova Chemicals Co., Sr. Unsec. Notes, 6.50%, 01/15/12 B1/B+ 500 502,500 Westlake Chemicals, Gtd., 6.625%, 01/15/16 Ba3/BB 250 239,063 ------------- 1,850,635 ------------- DIVERSIFIED FINANCIAL SERVICES (18.64%) American Express Co., Sr. Unsec. Notes, 7.00%, 03/19/18 A3/BBB+ 1,000 1,101,272 Bank of America Corp., Sub. Notes, 5.42%, 03/15/17 A3/A- 1,000 987,102 BNP Paribas, Sub. Notes, 5.186%, 06/29/15, 144A(c),(d) A3/A 1,000 824,415 Capital One Capital V, Co. Gty., 10.25%, 08/15/39 Baa2/BB 1,500 1,743,750 Citigroup Capital XXI, Co. Gty., 8.30%, 12/21/37(c),(d) Baa3/B+ 500 481,250 Citigroup Inc., Sr. Unsec. Notes,, 6.01%, 01/15/15 A3/A 1,000 1,021,098 Citigroup, Inc., Unsec. Notes, 8.50%, 05/22/19 A3/A 500 577,376 Cobank, ACB, Sub. Notes, 7.875%, 04/16/18, 144A NR/A 500 541,764 Export-Import Bank of Korea, Sr. Notes, 8.125%, 01/21/14 A2/A 500 580,444 FleetBoston Financial Corp., Sub. Notes, 6.875%, 01/15/28 A3/A- 500 495,598 General Electric Capital Corp., Sr. Unsec. Notes, 6.875%, 01/10/39 Aa2/AA+ 1,000 1,032,685 General Electric Capital Corp., Sr. Unsec. Notes, 6.125%, 02/22/11 Aa2/AA+ 1,000 1,056,698 HSBC America Capital Trust II, Co. Gty., 8.38%, 05/15/27, 144A NR/A- 2,500 2,387,595 HSBC Finance Corp., Sr. Unsec. Notes, 6.75%, 05/15/11 A3/A 1,000 1,056,878 ICICI Bank Ltd., Sr. Unsec. Notes, 5.50%, 03/25/15, 144A Baa2/BBB- 1,000 995,300 JP Morgan Chase Bank NA, Sub. Notes, 6.00%, 10/01/17 Aa2/A+ 1,000 1,070,674 Landesbank Baden-Wurtt NY, Sub. Notes, 6.35%, 04/01/12 Aaa/AA+ 500 535,989 Merrill Lynch & Co. Inc., Notes, 6.875%, 04/25/18 A2/A 1,000 1,077,438 Merrill Lynch & Co. Inc., Sub. Notes, 7.75%, 05/14/38 A3/A- 500 549,369 National Agricultural Cooperative Federation, Sr. Notes, 5.00%, 09/30/14, 144A A2/A 500 518,215 Sanwa Bank Ltd., Sr. Sub. Notes, 7.40%, 06/15/11 Aa3/A 500 539,165 UBS PFD Funding Trust I, Co. Gty., 8.622%, 10/01/10(c),(d) Baa3/BBB- 1,000 930,470 UBS PFD Funding Trust V, Co. Gty., 6.243%, 05/15/16(c),(d) Baa3/BBB- 500 391,250 Wachovia Capital Trust III, Bank Gtd., 5.80%, 03/15/11(c),(d) Ba1/A- 1,000 765,000 Wells Fargo Capital XV, 9.75%, 09/26/13(c),(d) Ba1/A- 1,000 1,070,000 ------------- 22,330,795 -------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THIS SCHEDULE OF INVESTMENTS. 1 SCHEDULE OF INVESTMENTS (UNAUDITED) -- CONTINUED
MOODY'S/ STANDARD & PRINCIPAL POOR'S RATING(b) AMOUNT (000'S) VALUE ---------------- -------------- ------------- ENERGY (10.91%) Anadarko Petroleum Corp., Sr. Unsec. Notes, 5.95%, 09/15/16 Baa3/BBB- $ 700 $ 757,188 Apache Corp., Sr. Unsec. Notes, 7.70%, 03/15/26 A3/A- 500 607,752 Florida Gas Transmission Co., LLC, Sr. Unsec. Notes, 9.19%, 11/01/24, 144A Baa2/BBB 150 178,257 Gaz Capital SA, Notes, 8.125%, 07/31/14, 144A Baa1/BBB 500 530,000 KazMunaiGaz Finance Sub BV, Co. Gty., 11.75%, 01/23/15, 144A Baa2/BB+ 500 602,500 Nabors Industries, Inc., Co. Gty., 9.25%, 01/15/19 Baa1/BBB+ 500 612,358 NiSource Finance Corp., Co. Gty., 10.75%, 03/15/16 Baa3/BBB- 250 308,046 ONEOK Partners LP, Sr. Notes, 8.625%, 03/01/19 Baa2/BBB 375 452,547 Petrobras International Finance Co., Sr. Unsub. Notes, 6.125%, 10/06/16 Baa1/BBB- 500 536,250 Petroleos Mexicanos, Co. Gty., 8.00%, 05/03/19 Baa1/BBB 250 289,375 Petroleum Co. of Trinidad & Tobago, Ltd., Sr. Unsec., 9.75%, 08/14/19, 144A Baa3/BBB 500 559,375 Pride International, Inc., Sr. Unsec. Notes, 8.50%, 06/15/19 Ba1/BBB- 500 577,500 SEACOR Holdings, Inc., Sr. Notes, 7.375%, 10/01/19 Ba1/BBB- 1,000 1,012,343 Shell International Finance BV, Co. Gty., 4.30%, 09/22/19 Aa1/AA 1,000 987,986 Transocean, Inc., Sr. Unsec. Notes, 7.50%, 04/15/31 Baa2/BBB+ 500 570,356 Valero Energy Corp., Sr. Unsec. Notes, 10.50%, 03/15/39 Baa2/BBB 500 642,387 Weatherford International, Inc., Co. Gty., 6.80%, 06/15/37 Baa1/BBB+ 600 594,809 Western Atlas, Inc., Sr. Unsec. Notes, 8.55%, 06/15/24 A2/A 2,539 3,247,457 ------------- 13,066,486 ------------- FOOD AND BEVERAGE (0.12%) Bunge Ltd. Finance Corp., Co. Gty., 8.50%, 06/15/19 Baa2/BBB- 125 142,488 ------------- GAMING, LODGING & LEISURE (0.51%) Wynn Las Vegas LLC, 7.875%, 11/01/17, 144A Ba2/BB+ 125 126,563 Wynn Las Vegas LLC, 6.625%, 12/01/14 Ba3/BB+ 500 483,125 ------------- 609,688 ------------- HEALTHCARE (1.25%) Boston Scientific Corp., Sr. Unsec. Notes, 6.00%, 01/15/20 Ba1/BBB- 500 510,888 Fresenius US Finance II, Inc., Co. Gty, 9.00%, 07/15/15, 144A Ba1/BB 250 275,000 Inverness Medical Innovations, Inc., Sr. Sub. Notes, 9.00%, 05/15/16 B3/B- 150 153,750 Monsanto Co. (Pharmacia Corp.), Sr. Unsec. Notes, 6.50%, 12/01/18 A1/AA 500 562,510 ------------- 1,502,148 ------------- INDUSTRIAL (3.21%) Anixter, Inc., Co. Gty., 10.00%, 03/15/14 Ba2/BB+ 250 276,250 Arrow Electronics, Inc., Sr. Unsec. Notes, 6.00%, 04/01/20 Baa3/BBB- 500 494,682 Belden, Inc., Sr. Sub. Notes, 7.00%, 03/15/17 Ba2/B+ 250 243,438 Holcim US Finance Sarl & Cie SCS, Co. Gty., 6.00%, 12/30/19, 144A Baa2/BBB 1,000 1,040,891 L-3 Communications Corp., Co. Gty., 6.375%, 10/15/15 Ba2/BB+ 1,000 1,003,750 L-3 Communications Corp., Co. Gty., 6.125%, 07/15/13 Ba2/BB+ 250 252,500 Sealed Air Corp., Sr. Notes, 7.875%, 06/15/17, 144A Baa3/BB+ 500 532,581 ------------- 3,844,092 ------------- INSURANCE (7.72%) AIG SunAmerica Global Finance VI, Sr. Sec. Notes, 6.30%, 05/10/11, 144A A1/A+ 1,000 994,687 AIG SunAmerica, Inc., Sr. Unsec. Notes, 8.125%, 04/28/23 A3/A- 750 671,335 American International Group, Inc., 8.175%, 05/15/38(c),(d) Ba2/BBB 1,000 660,000 Hartford Financial Services Group, Inc., Sr. Unsec. Notes, 6.00%, 01/15/19 Baa3/BBB 500 486,889 Liberty Mutual Group, Inc., Co. Gty., 10.75%, 06/15/38, 144A(c),(d) Baa3/BB 1,000 1,060,000 Massachusetts Mutual Life Insurance Co., Notes, 8.875%, 06/01/39, 144A A1/AA- 500 613,224 Metlife Capital Trust X, 9.25%, 04/08/33, 144A(c),(d) Baa2/BBB 500 565,000 MetLife, Inc., Jr. Sub. Notes, 10.75%, 08/01/39 Baa2/BBB 500 615,713 Penn Central Corp., Sub. Notes, 10.875%, 05/01/11(e) WR/NR 1,500 1,555,500
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THIS SCHEDULE OF INVESTMENTS. 2 SCHEDULE OF INVESTMENTS (UNAUDITED) -- CONTINUED
MOODY'S/ STANDARD & PRINCIPAL POOR'S RATING(b) AMOUNT (000'S) VALUE ---------------- -------------- ------------- INSURANCE (CONTINUED) Prudential Financial, Inc., Jr. Sub. Notes, 8.875%, 06/15/18(c),(d) Baa3/BBB+ $ 1,000 $ 1,060,000 Travelers Cos., Inc., Jr. Sub. Notes, 6.25%, 03/15/17(c),(d) A3/BBB 500 455,495 XL Capital Europe PLC, Gtd., 6.50%, 01/15/12 Baa2/BBB+ 500 517,427 ------------- 9,255,270 ------------- MEDIA (8.70%) Comcast Corp., Gtd., 7.05%, 03/15/33 Baa1/BBB+ 2,000 2,183,668 Harcourt General, Inc., Sr. Debs., 8.875%, 06/01/22 WR/BBB+ 2,000 2,291,090 Interpublic Group of Cos., Inc., Sr. Unsec. Notes, 10.00%, 07/15/17 Ba3/B+ 500 555,000 News America Holdings, Inc., Co. Gty., 7.90%, 12/31/95 Baa1/BBB+ 1,400 1,506,438 Time Warner, Inc., Sr. Unsec. Notes, 9.15%, 02/01/23 Baa2/BBB 3,000 3,620,502 Viacom, Inc., Co. Gty., 7.875%, 07/30/30 Baa3/BBB- 250 269,635 World Color Press, Inc., Escrow Notes, --%, 12/01/49 NA/NA 1,000 -- ------------- 10,426,333 ------------- MINING (3.05%) Anglo American Capital, Co. Gty., 9.375%, 04/08/19, 144A Baa1/BBB 500 635,105 Barrick North America Finance LLC, Co. Gty., 6.80%, 09/15/18 Baa1/A- 500 557,828 Freeport-McMoran C&G, Sr. Unsec. Notes, 8.375%, 04/01/17 Ba2/BBB- 500 547,500 Newmont Mining Corp., Co. Gty., 6.25%, 10/01/39 Baa2/BBB+ 500 500,598 Teck Cominco Ltd., Sr. Unsec. Notes, 6.125%, 10/01/35 Ba2/BB+ 1,000 895,000 Vale Overseas Ltd., Co. Gty., 6.25%, 01/23/17 Baa2/BBB+ 500 521,558 ------------- 3,657,589 ------------- PAPER (1.48%) Abitibi-Consolidated, Inc., Sr. Unsec. Notes, 8.85%, 08/01/30(f) WR/NR 500 72,500 Smurfit Capital Funding PLC, Co. Gty., 7.50%, 11/20/25 Ba2/BB 2,000 1,705,000 ------------- 1,777,500 ------------- REAL ESTATE INVESTMENT TRUST (REIT) (6.61%) AvalonBay Communities, Inc., Sr. Unsec. Notes, 6.10%, 03/15/20 Baa1/BBB+ 500 510,579 Duke Realty LP, Sr. Unsec. Notes, 8.25%, 08/15/19 Baa2/BBB 500 522,478 Duke Realty LP, Sr. Unsec. Notes, 6.50%, 01/15/18 Baa2/BBB 500 473,540 Federal Realty Investment Trust, Sr. Unsec. Notes, 6.20%, 01/15/17 Baa1/BBB+ 290 283,991 Federal Realty Investment Trust, Sr. Unsec. Notes, 5.65%, 06/01/16 Baa1/BBB+ 210 202,417 Federal Realty Investment Trust, Sr. Unsec. Notes, 5.40%, 12/01/13 Baa1/BBB+ 750 760,331 First Industrial LP, Sr. Unsec. Notes, 7.50%, 12/01/17 Ba3/BB 200 156,698 Host Marriott LP, Sr. Sec. Notes, 7.00%, 08/15/12 Ba1/BB+ 500 508,125 Liberty Property LP, Sr. Notes, 7.50%, 01/15/18 Baa2/BBB 1,000 958,091 Mack-Cali Realty Corp., Sr. Unsec. Notes, 7.75%, 08/15/19 Baa2/BBB 665 688,112 Nationwide Health Properties, Inc., Sr. Unsec. Notes, 6.00%, 05/20/15 Baa2/BBB- 500 501,266 Prologis, Sr. Unsec. Notes, 5.50%, 04/01/12 Baa2/BBB- 500 506,183 Simon Property Group LP, Sr. Unsec. Notes, 6.125%, 05/30/18 A3/A- 750 761,991 WEA Finance, LLC, Co. Gty., 6.75%, 09/02/19, 144A A2/A- 500 536,871 WEA Finance, LLC, Sr. Notes, 7.125%, 04/15/18, 144A A2/A- 500 546,669 ------------- 7,917,342 ------------- RETAIL & RESTAURANT (1.24%) Autonation, Inc., Co. Gty., 7.00%, 04/15/14 Ba2/BB+ 250 258,125 Darden Restaurants, Inc., Sr. Unsec. Notes, 7.125%, 02/01/16 Baa3/BBB 500 545,850 Levi Strauss & Co., Sr. Unsec. Notes, 8.875%, 04/01/16 B2/B+ 500 523,125 Limited Brands, Inc., Sr. Notes, 8.50%, 06/15/19, 144A Ba2/BB 150 163,125 ------------- 1,490,225 ------------- TELECOMMUNICATIONS (8.67%) Deutsche Telekom International Finance BV, Gtd., 8.75%, 06/15/30 Baa1/BBB+ 2,000 2,572,220 Frontier Communications Corp., Sr. Unsec. Notes, 8.125%, 10/01/18 Ba2/BB 500 506,250 GTE Corp., Co. Gty., 6.94%, 04/15/28 Baa1/A 1,500 1,538,842
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THIS SCHEDULE OF INVESTMENTS. 3 SCHEDULE OF INVESTMENTS (UNAUDITED) -- CONTINUED
MOODY'S/ STANDARD & PRINCIPAL POOR'S RATING(b) AMOUNT (000'S) VALUE ---------------- -------------- ------------- TELECOMMUNICATIONS (CONTINUED) NII Capital Corp., Co. Gty., 10.00%, 08/15/16, 144A B1/BB- $ 500 $ 523,750 Qwest Corp., Sr. Unsec. Notes, 7.25%, 10/15/35 Ba1/BBB- 500 440,000 Qwest Corp., Sr. Unsec. Notes, 7.20%, 11/10/26 Ba1/BBB- 1,000 905,000 Sprint Capital Corp, 8.75%, 03/15/32 Ba3/BB 1,000 942,500 Valor Telecommunications Enterprises Finance Corp., Co. Gty., 7.75%, 02/15/15 Baa3/BBB- 1,000 1,030,000 Verizon Global Funding Corp., Sr. Unsec. Notes, 7.75%, 12/01/30 A3/A 1,646 1,933,685 ------------- 10,392,247 ------------- TRANSPORTATION (3.91%) BNSF Funding Trust I, Co. Gty., 6.613%, 01/15/26(c),(d) Baa3/BBB- 250 240,000 Erac USA Finance, Co., Co. Gty., 7.00%, 10/15/37, 144A Baa2/BBB 1,500 1,468,212 Federal Express Corp., Sr. Unsec. Notes, 9.65%, 06/15/12 Baa2/BBB 1,750 2,024,790 GATX Corp., Notes, 4.75%, 10/01/12 Baa1/BBB+ 500 510,569 Stena AB, Sr. Unsec. Notes, 7.00%, 12/01/16 Ba2/BB+ 500 441,250 ------------- 4,684,821 ------------- UTILITIES (6.37%) Avista Corp., 5.125%, 04/01/22 Baa1/BBB+ 500 490,258 Avista Corp., 5.95%, 06/01/18 Baa1/BBB+ 500 523,747 Dominion Resources, Inc., Sr. Unsub., Series 07-A, 6.00%, 11/30/17 Baa2/A- 500 537,574 FPL Group Capital, Inc., Co. Gty., Series D, 7.30%, 09/01/17(c),(d) A3/BBB+ 500 490,000 Hydro-Quebec, Gtd., 8.25%, 04/15/26 Aa2/A+ 1,550 1,910,597 MidAmerican Funding LLC, Sr. Sec. Bonds, 6.927%, 03/01/29 A3/BBB+ 500 542,339 NSTAR, Unsec. Notes, 8.00%, 02/15/10 A2/A 500 503,983 Ohio Power Co., Sr. Unsec. Notes, 5.375%, 10/01/21 Baa1/BBB 1,000 1,002,675 Ohio Power Co., Sr. Unsec. Notes, 6.00%, 06/01/16 Baa1/BBB 500 530,085 Old Dominion Electric Coop., Sec. Bonds, 6.25%, 06/01/11 A3/AAA 500 526,761 Toledo Edison Co., 7.25%, 05/01/20 Baa1/BBB+ 500 570,567 ------------- 7,628,586 ------------- TOTAL CORPORATE DEBT SECURITIES (Cost of $98,126,012) 103,840,159 ------------- RESIDENTIAL MORTGAGE-BACKED SECURITIES (4.83%) FHLMC Pool # A15675, 6.00%, 11/01/33 Aaa/AAA 805 859,843 FHLMC Pool # B11892, 4.50%, 01/01/19 Aaa/AAA 926 964,250 FNMA Pool # 754791, 6.50%, 12/01/33 Aaa/AAA 1,004 1,083,488 FNMA Pool # 763852, 5.50%, 02/01/34 Aaa/AAA 1,683 1,768,654 FNMA Pool # 889554, 6.00%, 04/01/38 Aaa/AAA 735 778,870 GNSF Pool # 417239, 7.00%, 02/15/26 Aaa/AAA 39 42,808 GNSF Pool # 780374, 7.50%, 12/15/23 Aaa/AAA 19 21,934 Wells Fargo Mortgage Backed Securities Trust, Series 2007-10, Class 1A19, 6.00%, 07/25/37 B2/NR 320 268,811 ------------- TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost of $5,478,125) 5,788,658 ------------- COMMERCIAL MORTGAGE-BACKED SECURITIES (5.89%) American Tower Trust, Series 2007-1A, Class AFX, 5.42%, 04/15/37, 144A Aaa/AAA 700 719,250 Banc of America Commercial Mortgage, Inc., Series 2006-2, Class AM, 5.773%, 05/10/45(c) NA/A 760 606,075 CW Capital Cobalt, Ltd., Series 2007-C2, Class A3, 5.484%, 04/15/47(c) Aaa/NA 500 406,687 Developers Diversified Realty Corp. 09-Ddr1C, 6.223%, 10/14/22 A2/A 500 499,882 JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006- CB16, Class A4, 5.552%, 05/12/45 Aaa/AAA 1,000 950,517 JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007- CB20, Class A4, 5.794%, 02/12/51(c) Aaa/A+ 880 767,653 LB-UBS Commercial Mortgage Trust, Series 2007-C1, Class A4, 5.424%, 02/15/40 NA/A+ 970 803,286
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THIS SCHEDULE OF INVESTMENTS. 4 SCHEDULE OF INVESTMENTS (UNAUDITED) -- CONTINUED
MOODY'S/ STANDARD & PRINCIPAL POOR'S RATING(b) AMOUNT (000'S) VALUE ---------------- -------------- ------------- COMMERCIAL MORTGAGE-BACKED SECURITIES (CONTINUED) LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.43%, 02/15/40 NA/A+ $ 1,375 $ 1,187,710 Morgan Stanley Capital I, Series 2007-IQ16, Class A4, 5.809%, 12/12/49 NR/A+ 750 639,036 Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A3, 5.679%, 10/15/48 Aaa/AAA 500 472,984 ------------- TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost of $6,225,464) 7,053,080 ------------- ASSET BACKED SECURITIES (0.70%) CPS Auto Trust, Series 2007-C, Class A3, 5.43%, 05/15/12, 144A Aa3/AAA 372 377,765 Option One Mortgage Loan Trust, Series 2007-FXD2, Class 2A1, 5.90%, 03/25/38 Aa3/AAA 381 371,383 Sierra Receivables Funding Co., Series 2009-1A, Class A1, 9.79%, 12/22/25, 144A Aaa/AAA 88 90,933 ------------- TOTAL ASSET BACKED SECURITIES (Cost of $840,318) 840,081 -------------
SHARES -------------- PREFERRED STOCK (0.07%) GMAC, Inc., 144A Ca/C 134 88,323 ------------- TOTAL PREFERRED STOCK (Cost of $42,177) 88,323 ------------- WARRANTS (0.02%) World Color Press, Inc. Strike price @ 13.00, 07/20/14 (a) 3,595 15,818 World Color Press, Inc. Strike price @ 16.30, 07/20/14 (a) 3,595 7,370 ------------- TOTAL WARRANTS (Cost of $9,922) 23,188 ------------- TOTAL INVESTMENTS (98.22%) (Cost $110,790,768) * 117,692,430 ------------- OTHER ASSETS AND LIABILITIES (1.78%) 2,136,385 ------------- NET ASSETS (100.00%) $ 119,828,815 =============
(a) Non-income producing security. (b) Ratings for debt securities are unaudited. All ratings are as of December 31, 2009 and may have changed subsequently. (c) Variable rate security. Rate disclosed is as of December 31, 2009. (d) Date shown is next call date. (e) Security was valued using fair value procedures as of December 31, 2009. (f) Security is in default. 144A Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. At December 31, 2009, these securities amounted to 15.55% of net assets. * Aggregate cost for Federal income tax purposes $110,790,768. Gross unrealized appreciation $ 9,442,065 Gross unrealized depreciation (2,540,403) ----------- Net unrealized appreciation $ 6,901,662 ===========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THIS SCHEDULE OF INVESTMENTS. 5 SCHEDULE OF INVESTMENTS (UNAUDITED) -- CONTINUED LEGEND Co. Gty. - Company Guaranty Debs. - Debentures FHLMC - Federal Home Loan Mortgage Corp. FNMA - Federal National Mortgage Association GNSF - Government National Mortgage Association (Single Family) Gtd. - Guaranteed NA - Not Available NR - Not Rated Sec. - Secured Sr. - Senior Sub. - Subordinated Unsec. - Unsecured Unsub. - Unsubordinated WR - Withdrawn Rating THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THIS SCHEDULE OF INVESTMENTS. 6 RIVUS BOND FUND NOTES TO THE QUARTERLY PORTFOLIO OF INVESTMENTS DECEMBER 31, 2009 (UNAUDITED) A. SECURITY VALUATION - In valuing the Fund's net assets, all securities for which representative market quotations are available will be valued at the last quoted sales price on the security's principal exchange on the day of valuation. If there are no sales of the relevant security on such day, the security will be valued at the bid price at the time of computation. Prices for securities traded in the over-the-counter market, including listed debt and preferred securities, whose primary market is believed to be over-the-counter, normally are supplied by independent pricing services. Securities for which market quotations are not readily available will be valued at their respective fair values as determined in good faith by, or under procedures established by the Board of Trustees. At December 31, 2009, Penn Central Corp. was valued using fair value procedures and represented 1.30% of net assets. FAIR VALUE MEASUREMENTS - The inputs and valuations techniques used to measure fair value of the Fund's net assets are summarized into three levels as described in the hierarchy below: - Level 1 - quoted prices in active markets for identical securities - Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) - Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Summary of inputs used to value the Fund's net assets as of December 31, 2009 is as follows:
LEVEL 2 LEVEL 3 TOTAL MARKET LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 12/31/09 PRICE INPUTS INPUTS ------------ -------- ------------ ------------ COMMON STOCK * $ 58,941 $ 58,941 $ -- $ -- CORPORATE DEBT SECURITIES 103,840,159 -- 102,284,659 1,555,500 RESIDENTIAL MORTGAGE-BACKED SECURITIES 5,788,658 -- 5,788,658 -- COMMERCIAL MORTGAGE-BACKED SECURITIES 7,053,080 -- 7,053,080 -- ASSET BACKED SECURITIES 840,081 -- 840,081 -- PREFERRED STOCK 88,323 88,323 -- -- WARRANTS 23,188 -- 23,188 -- ------------ -------- ------------ ---------- TOTAL INVESTMENTS $117,692,430 $147,264 $115,989,666 $1,555,500 ------------ -------- ------------ ----------
* See Schedule of Investments for industry breakout. Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determined fair value:
CORPORATE DEBT SECURITIES (MARKET VALUE) -------------- BALANCE AS OF MARCH 31, 2009 $1,288,500 Accrued discounts/premiums (9,384) Realized gain (loss) -- Change in unrealized appreciation (depreciation) 276,384 Net purchases (sales) -- Transfer in and/or out of Level 3 -- ---------- BALANCE AS OF DECEMBER 31, 2009 $1,555,500 ==========
7 ITEM 2. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) 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. EXHIBITS. Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 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) Rivus Bond Fund By (Signature and Title)* /s/ Clifford D. Corso ---------------------------------------- Clifford D. Corso, President (principal executive officer) Date 2/25/10 ------------------- 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/ Clifford D. Corso ---------------------------------------- Clifford D. Corso, President (principal executive officer) Date 2/25/10 ------------------- By (Signature and Title)* /s/ Marc D. Morris ---------------------------------------- Marc D. Morris, Treasurer (principal financial officer) Date 2/25/10 ------------------- * Print the name and title of each signing officer under his or her signature. EX-99.CERT 2 p16812exv99wcert.txt EX-99.CERT EXHIBIT 99.CERT CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, Clifford D. Corso, certify that: 1. I have reviewed this report on Form N-Q of Rivus Bond Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: 2/25/10 /s/ Clifford D. Corso ----------------------- --------------------------------------- Clifford D. Corso, President (principal executive officer) EXHIBIT 99.CERT CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, Marc D. Morris, certify that: 1. I have reviewed this report on Form N-Q of Rivus Bond Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: 2/25/10 /s/ Marc D. Morris ----------------------- --------------------------------------- Marc D. Morris, Treasurer (principal financial officer) -----END PRIVACY-ENHANCED MESSAGE-----