N-Q 1 d401910dnq.htm MORGAN STANLEY MID CAP GROWTH FUND Morgan Stanley Mid Cap Growth Fund

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: 811-03639

Morgan Stanley Mid Cap Growth Fund

(Exact name of registrant as specified in charter)

522 Fifth Avenue, New York, New York                10036

    (Address of principal executive offices)              (Zip code)

Arthur Lev

522 Fifth Avenue, New York, New York 10036

(Name and address of agent for service)

Registrant’s telephone number, including area code: 201-830-8894

Date of fiscal year end: September 30, 2012

Date of reporting period: June 30, 2012

Item 1. Schedule of Investments.

The Fund’s schedule of investments as of the close of the reporting period prepared pursuant to Rule 12-12 of Regulation S-X is as follows:


Morgan Stanley Mid Cap Growth Fund

Portfolio of Investments ¡ June 30, 2012 (unaudited)

 

    NUMBER OF
      SHARES
           VALUE  
   Common Stocks (98.0%)   
   Air Transport (1.9%)   
  149,257       Expeditors International of Washington, Inc.    $ 5,783,709   
     

 

 

 
   Alternative Energy (3.1%)   
  101,693       Range Resources Corp.      6,291,746   
  147,929       Ultra Petroleum Corp. (a)      3,412,722   
     

 

 

 
        9,704,468   
     

 

 

 
   Asset Management & Custodian (0.6%)   
  53,305       Greenhill & Co., Inc.      1,900,323   
     

 

 

 
   Beverage: Brewers & Distillers (1.4%)   
  391,565       DE Master Blenders 1753 N.V. (Netherlands) (a)      4,415,130   
     

 

 

 
   Biotechnology (4.5%)   
  63,620       IDEXX Laboratories, Inc. (a)      6,115,790   
  192,730       Illumina, Inc. (a)      7,784,365   
     

 

 

 
        13,900,155   
     

 

 

 
   Cement (1.1%)   
  44,121       Martin Marietta Materials, Inc.      3,477,617   
     

 

 

 
   Chemicals: Diversified (2.6%)   
  154,825       Intrepid Potash, Inc. (a)      3,523,817   
  102,147       Rockwood Holdings, Inc.      4,530,220   
     

 

 

 
        8,054,037   
     

 

 

 
   Commercial Services (8.1%)   
  156,754       Gartner, Inc. (a)      6,748,260   
  197,977       Intertek Group PLC (United Kingdom)      8,320,487   
  42,544       MercadoLibre, Inc. (Brazil)      3,224,835   
  130,960       Weight Watchers International, Inc.      6,752,297   
     

 

 

 
        25,045,879   
     

 

 

 
   Communications Technology (4.0%)   
  233,029       Motorola Solutions, Inc.      11,211,025   
  150,901       Research In Motion Ltd. (Canada) (a)      1,115,159   
     

 

 

 
        12,326,184   
     

 

 

 
   Computer Services, Software & Systems (16.1%)   
  165,169       Akamai Technologies, Inc. (a)      5,244,116   
  60,104       Citrix Systems, Inc. (a)      5,045,130   
  61,450       IHS, Inc., Class A (a)      6,620,008   
  80,739       LinkedIn Corp., Class A (a)      8,580,134   
  91,037       Red Hat, Inc. (a)      5,141,770   
  51,924       Salesforce.com, Inc. (a)      7,179,012   
  29,524       SINA Corp. (China) (a)      1,529,638   
  152,777       Solera Holdings, Inc.      6,384,551   
  501,353       Zynga, Inc., Class A (a)      2,727,360   
  205,470       Zynga, Inc., Class B (a)      1,117,757   
     

 

 

 
        49,569,476   
     

 

 

 
   Computer Technology (3.8%)   
  179,565       Dropbox, Inc. (a)(b)(c)      1,624,902   
  300,879       Yandex N.V., Class A (Russia) (a)      5,731,745   
  206,220       Youku.com, Inc. ADR (China) (a)      4,470,849   
     

 

 

 
        11,827,496   
     

 

 

 
   Consumer Lending (1.7%)   
  38,581       IntercontinentalExchange, Inc. (a)      5,246,244   
     

 

 

 
   Consumer Services: Miscellaneous (1.9%)   
  536,923       Qualicorp SA (Brazil) (a)      4,694,234   
  934,000       Sun Art Retail Group Ltd. (Hong Kong)      1,025,777   
     

 

 

 
        5,720,011   
     

 

 

 


Morgan Stanley Mid Cap Growth Fund

Portfolio of Investments ¡ June 30, 2012 (unaudited) continued

 

 

   Diversified Materials & Processing (0.2%)   
  4,178       Schindler Holding AG (Switzerland)    $ 467,225   
     

 

 

 
   Diversified Media (3.2%)   
  51,063       Factset Research Systems, Inc.      4,745,795   
  114,815       McGraw-Hill Cos., Inc. (The)      5,166,675   
     

 

 

 
        9,912,470   
     

 

 

 
   Diversified Retail (5.8%)   
  112,978       Dollar Tree, Inc. (a)      6,078,216   
  109,982       Fastenal Co.      4,433,375   
  328,800       Groupon, Inc. (a)      3,495,144   
  372,752       Groupon, Inc., Series A (a)      3,962,354   
     

 

 

 
        17,969,089   
     

 

 

 
   Education Services (1.5%)   
  189,654       New Oriental Education & Technology Group, Inc. ADR (China) (a)      4,646,523   
     

 

 

 
   Electronic Components (1.4%)   
  159,295       Sensata Technologies Holding N.V. (a)      4,265,920   
     

 

 

 
   Financial Data & Systems (6.0%)   
  251,725       MSCI, Inc., Class A (a)      8,563,684   
  203,107       Verisk Analytics, Inc., Class A (a)      10,005,051   
     

 

 

 
        18,568,735   
     

 

 

 
   Foods (0.7%)   
  78,313       Hillshire Brands Co.      2,270,294   
     

 

 

 
   Health Care Services (4.1%)   
  71,075       athenahealth, Inc. (a)      5,627,008   
  75,566       Stericycle, Inc. (a)      6,927,135   
     

 

 

 
        12,554,143   
     

 

 

 
   Insurance: Property-Casualty (1.9%)   
  275,966       Progressive Corp. (The)      5,748,372   
     

 

 

 
   Media (0.6%)   
  1,792       Legend Pictures LLC Ltd. (a)(b)(c)      1,915,881   
     

 

 

 
   Medical & Dental Instruments & Supplies (1.5%)   
  60,985       Techne Corp.      4,525,087   
     

 

 

 
   Medical Equipment (3.7%)   
  20,493       Intuitive Surgical, Inc. (a)      11,348,819   
     

 

 

 
   Metals & Minerals: Diversified (1.2%)   
  1,154,571       Lynas Corp., Ltd. (Australia) (a)      1,020,837   
  129,294       Molycorp, Inc. (a)      2,786,286   
     

 

 

 
        3,807,123   
     

 

 

 
   Pharmaceuticals (3.7%)   
  170,002       Ironwood Pharmaceuticals, Inc. (a)      2,342,628   
  60,184       Mead Johnson Nutrition Co.      4,845,414   
  92,564       Valeant Pharmaceuticals International, Inc. (Canada) (a)      4,145,941   
     

 

 

 
        11,333,983   
     

 

 

 
   Publishing (1.4%)   
  76,583       Morningstar, Inc.      4,429,561   
     

 

 

 
   Recreational Vehicles & Boats (3.6%)   
  396,674       Edenred (France)      11,255,904   
     

 

 

 
   Restaurants (1.5%)   
  136,951       Dunkin’ Brands Group, Inc.      4,702,897   
     

 

 

 
   Scientific Instruments: Pollution Control (1.3%)   
  226,549       Covanta Holding Corp.      3,885,315   
     

 

 

 
   Semiconductors & Components (0.5%)   
  106,539       First Solar, Inc. (a)      1,604,477   
     

 

 

 
   Utilities: Electrical (3.4%)   
  308,869       Brookfield Infrastructure Partners LP (Canada)      10,368,732   
     

 

 

 
   Total Common Stocks (Cost $270,258,707)      302,551,279   
     

 

 

 


Morgan Stanley Mid Cap Growth Fund

Portfolio of Investments ¡ June 30, 2012 (unaudited) continued

 

 

   Convertible Preferred Stocks (1.2%)     
  

Alternative Energy (0.7%)

  

 
  618,623      

Better Place, Inc. (a)(b)(c)

  

  $ 2,047,642   
       

 

 

 
  

Computer Services, Software & Systems (0.2%)

  

 
  41,492      

Workday, Inc. (a)(b)(c)

  

    550,184   
       

 

 

 
  

Computer Technology (0.1%)

  

 
  17,586      

Dropbox, Inc., Series A (a)(b)(c)

  

    159,137   
       

 

 

 
  

Technology: Miscellaneous (0.2%)

  

 
  28,639      

Peixe Urbano, Inc. (Brazil) (a)(b)(c)

  

    801,892   
       

 

 

 
   Total Convertible Preferred Stocks (Cost $3,198,700)        3,558,855   
       

 

 

 

NUMBER OF
    SHARES (000)    

                   
   Short-Term Investment (0.2%)     
   Investment Company     
  745       Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class
    (Cost $745,197)(d)
       745,197   
       

 

 

 
   Total Investments (Cost $274,202,604) (e)(f)      99.4     306,855,331   
   Other Assets in Excess of Liabilities      0.6        1,997,397   
     

 

 

   

 

 

 
   Net Assets      100.0   $   308,852,728   
     

 

 

   

 

 

 
                                                                                               
ADR      American Depositary Receipt.
(a)      Non-income producing security.
(b)      Illiquid security. Resale is restricted to qualified institutional investors.
(c)      At June 30, 2012, the Fund held fair valued securities valued at $7,099,638, representing 2.3% of net assets. These securities have been fair valued as determined in good faith under procedures established by and under the general supervision of the Fund’s Trustees.
(d)      The Fund invests in the Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (the “Liquidity Funds”), an open-end management investment company managed by the Adviser. Advisory fees paid by the Fund are reduced by an amount equal to the advisory and administrative service fees paid by the Liquidity Funds with respect to assets invested by the Fund in the Liquidity Funds.
(e)      The fair value and percentage of net assets, $22,090,230 and 7.2%, respectively, represent the securities that have been fair valued under the fair valuation policy for international investments as described in the Notes to the Portfolio of Investments.
(f)      The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes.


Morgan Stanley Mid Cap Growth Fund

Notes to Portfolio of Investments ¡ June 30, 2012 (unaudited)

Valuation of Investments - (1) An equity portfolio security listed or traded on the New York Stock Exchange (“NYSE”) or American Stock Exchange or other domestic exchange is valued at its latest sales price (or at the exchange official closing price if such exchange reports an official closing price) prior to the time when assets are valued; if there were no sales that day, the security is valued at the mean between the last reported bid and asked price; (2) an equity portfolio security listed or traded on the Nasdaq is valued at the Nasdaq Official Closing Price; if there were no sales that day, the security is valued at the mean between the last reported bid and asked price; (3) all other domestic securities for which over-the-counter market quotations are readily available are valued at the mean between the last reported bid and asked prices. In cases where a security is traded on more than one domestic exchange, the security is valued on the exchange designated as the primary market; (4) for equity securities traded on foreign exchanges, the latest reported sales price (or at the exchange official closing price if such exchange reports an official closing price) or the mean between the last reported bid and asked prices may be used if there were no sales on a particular day or the latest bid price may be used if only bid prices are available; (5) when market quotations are not readily available, including circumstances under which Morgan Stanley Investment Management Inc. (the “Adviser”), a wholly owned subsidiary of Morgan Stanley, determines that the latest sale price, the bid price or the mean between the last reported bid and ask price do not reflect a security’s fair value, portfolio securities are valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Fund’s Trustees. Occasionally, developments affecting the closing prices of securities and other assets may occur between the times at which valuations of such securities are determined (that is, close of the foreign market on which the securities trade) and the close of business on the NYSE. If developments occur during such periods that are expected to materially affect the value of such securities, such valuations may be adjusted to reflect the estimated fair value of such securities as of the close of the NYSE, as determined in good faith by the Fund’s Trustees or by the Adviser using a pricing service and/or procedures approved by the Trustees of the Fund; (6) Certain portfolio securities may be valued by an outside pricing service approved by the Fund’s Trustees. The prices provided by a pricing service take into account broker-dealer market price quotations for trading in similar groups of securities, security quality, maturity, coupon and other security characteristics as well as any developments related to the specific securities; (7) investments in mutual funds, including the Morgan Stanley Institutional Liquidity Funds, are valued at the net asset value as of the close of each business day; and (8) short-term debt securities having a maturity date of more than sixty days at time of purchase are valued on a mark-to-market basis until sixty days prior to maturity and thereafter at amortized cost based on their value on the 61st day. Short-term debt securities having a maturity date of sixty days or less at the time of purchase are valued at amortized cost, which approximates fair value.

Under procedures approved by the Board of Trustees (the Trustees”), the Fund’s Adviser has formed a Valuation Committee. The Valuation Committee provides administration and oversight of the Fund’s valuation policies and procedures, which are reviewed at least annually by the Trustees. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers, and other market sources to determine fair value.

The Fund has procedures to determine the fair value of securities and other financial instruments for which market prices are not readily available. Under these procedures, the Valuation Committee convenes on a regular and adhoc basis to review such securities and considers a number of factors, including valuation methodologies and significant unobservable valuation inputs, when arriving at fair value. The Valuation Committee may employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may also be used in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of valuation methodologies, key inputs and assumptions, transactional back-testing or disposition analysis, and reviews of any related market activity.


Fair Valuation Measurements

Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value as the value that the Fund would receive to sell an investment or pay to transfer a liability in a timely transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. ASC 820 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in valuing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs); and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in valuing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Fund’s investments. The inputs are summarized in the three broad levels listed below.

• Level 1 – unadjusted quoted prices in active markets for identical investments

• 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 the fair value of investments. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer’s financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to each security.

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2012.

 

Investment Type   

Level 1
Unadjusted

quoted

prices

    

Level 2

Other

significant
observable
inputs

     Level 3
Significant
unobservable
inputs
     Total  

Assets

Common Stocks

           

Air Transport

   $ 5,783,709       $ —               $ —               $ 5,783,709   

Alternative Energy

     9,704,468         —                 —                 9,704,468   

Asset Management & Custodian

     1,900,323         —                 —                 1,900,323   

Beverage: Brewers & Distillers

     4,415,130         —                 —                 4,415,130   

Biotechnology

     13,900,155         —                 —                 13,900,155   

Cement

     3,477,617         —                 —                 3,477,617   

Chemicals: Diversified

     8,054,037         —                 —                 8,054,037   

Commercial Services

     16,725,392         8,320,487         —                 25,045,879   

Communications Technology

     12,326,184         —                 —                 12,326,184   

Computer Services, Software & Systems

     48,451,719         1,117,757         —                 49,569,476   

Computer Technology

     10,202,594         —                 1,624,902         11,827,496   

Consumer Lending

     5,246,244         —                 —                 5,246,244   

Consumer Services: Miscellaneous

     4,694,234         1,025,777         —                 5,720,011   

Diversified Materials & Processing

     —                 467,225         —                 467,225   

Diversified Media

     9,912,470         —                 —                 9,912,470   

Diversified Retail

     14,006,735         3,962,354         —                 17,969,089   

Education Services

     4,646,523         —                 —                 4,646,523   

Electronic Components

     4,265,920         —                 —                 4,265,920   

Financial Data & Systems

     18,568,735         —                 —                 18,568,735   

Foods

     2,270,294         —                 —                 2,270,294   

Health Care Services

     12,554,143         —                 —                 12,554,143   

Insurance: Property-Casualty

     5,748,372         —                 —                 5,748,372   

Media

     —               —                 1,915,881         1,915,881   

Medical & Dental Instruments & Supplies

     4,525,087         —                 —                 4,525,087   

Medical Equipment

     11,348,819         —                 —                 11,348,819   

Metals & Minerals: Diversified

     2,786,286         1,020,837         —                 3,807,123   

Pharmaceuticals

     11,333,983         —                 —                 11,333,983   

Publishing

     4,429,561         —                 —                 4,429,561   

Recreational Vehicles & Boats

     —                 11,255,904         —                 11,255,904   

Restaurants

     4,702,897         —                 —                 4,702,897   

Scientific Instruments: Pollution Control

     3,885,315         —                 —                 3,885,315   

Semiconductors & Components

     1,604,477         —                 —                 1,604,477   

Utilities: Electrical

     10,368,732         —                 —                 10,368,732   

Total Common Stocks

     271,840,155         27,170,341         3,540,783         302,551,279   

Convertible Preferred Stocks

     —                 —                 3,558,855         3,558,855   

Short-Term Investment - Investment Company

     745,197         —                 —                 745,197   

Total Assets

   $   272,585,352       $   27,170,341       $   7,099,638       $   306,855,331   

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. The Fund recognizes transfers between the levels as of the end of the period. As of June 30, 2012, securities with a total value of $467,225 transferred from Level 1 to Level 2. At June 30, 2012, the fair market value of certain securities were adjusted due to developments which occurred between the time of the close of the foreign markets on which they trade and the close of business on the NYSE which resulted in their Level 2 classification.


Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:

 

     Common Stocks      Convertible
Preferred Stocks
    Preferred Stock  
  

 

 

 

Beginning Balance

   $ —               $ 7,510,589      $ 2,882,562   

Purchases

     3,540,783         1,652,143        —           

Sales

     —                 —                —           

Amortization of discount

     —                 —                —           

Transfers in

     —                 —                —           

Transfers out

     —                 —                —           

Corporate Action

     —                 (2,943,809     (2,882,562

Change in unrealized appreciation (depreciation)

     —                 (2,660,068     —           

Realized gains (losses)

     —                 —                —           
  

 

 

 

Ending Balance

   $ 3,540,783       $ 3,558,855      $ —           
  

 

 

 

Net change in unrealized appreciation/depreciation from investments still held as of June 30, 2012

   $ —               $ 360,155      $ —           
  

 

 

 


The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 as of June 30, 2012.

 

    Fair Value at
June 30, 2012
    Valuation Technique(s)   Unobservable Input   Range     Weighted
Average
    Impact to Valuation
from an Increase in
Input
 

 

 

Common Stocks

             

Computer Technology

  $ 1,624,902      Market Transaction   Purchase Price of Preferred                       
       

 

 

   

Media

  $ 1,915,881      Market Transaction   Purchase Price of Preferred                       
       

 

 

   
    Discounted cash flow   Weighted average cost of
capital
    15     18     17   Decrease
      Perpetual growth rate     2.0     3.0     2.5   Increase
       

 

 

   
    Market Comparable
Companies
  Enterprise Value / EBITDA     10.6x        11.5x        11.1x      Increase
      Discount for lack of
marketability
    15     15     15   Decrease
       

 

 

   
      Equity Value / Net Income     12.2x        17.3x        14.7x      Increase
      Discount for lack of
marketability
    15     15     15   Decrease
     

 

   
    Merger & Acquisition
Transactions
  Enterprise Value / EBITDA     13.7x        16.3x        15.0x      Increase
      Discount for lack of control     35     35     35   Decrease
     

 

   
      Equity Value / Net Income     22.2x        25.0x        23.6x      Increase
      Discount for lack of control     35     35     35   Decrease
     

 

   

Convertible Preferred Stocks

             

Alternative Energy

  $ 2,047,642      Market Transaction   Purchase Price of Preferred                       
       

 

 

   
    Discounted cash flow   Weighted average cost of
capital
    22.5     27.5     24.2   Decrease
      Perpetual growth rate     2.5     3.5     3.0   Increase
       

 

 

   
    Market Comparable
Companies
  Enterprise Value / Revenue     2.6x        3.4x        3.1x      Increase
      Discount for lack of
marketability
    15     15     15   Decrease

Computer Services, Software & Systems

  $ 550,184      Market Transaction   Purchase Price of Preferred                       
       

 

 

   
    Discounted cash flow   Weighted average cost of
capital
    13     18     15   Decrease
      Perpetual growth rate     2.0     3.0     2.5   Increase
       

 

 

   
    Market Comparable
Companies
  Enterprise Value / Revenue     6.7x        15.7x        9.6x      Increase
      Discount for lack of
marketability
    N/A        N/A        N/A      Decrease
    Merger & Acquisition
Transactions
  Enterprise Value / Revenue     8.7x        10.8x        9.4x      Increase
      Discount for lack of control     25     25     25   Decrease
     

 

   

Computer Technology

  $ 159,137      Market Transaction   Purchase Price of Preferred                       
       

 

 

   

Technology: Miscellaneous

  $ 801,892      Market Transaction   Purchase Price of Preferred                       
       

 

 

   
    Discounted cash flow   Weighted average cost of
capital
    26     30     28   Decrease
      Perpetual growth rate     5.0     6.0     5.5   Increase
       

 

 

   
    Merger & Acquisition
Transactions
  Enterprise Value / Revenue     1.8x        2.9x        2.7x      Increase
      Discount for lack of control     30     30     30   Decrease
     

 

   


Item 2. Controls and Procedures.

(a) The Fund’s principal executive officer and principal financial officer have concluded that the Fund’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Fund in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

(b) There were no changes in the Fund’s internal control over financial reporting that occurred during the registrant’s fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

Item 3. Exhibits.

(a) A separate certification for each principal executive officer and principal financial officer of the registrant 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.

Morgan Stanley Mid Cap Growth Fund

/s/ Arthur Lev

Arthur Lev

Principal Executive Officer

August 15, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

/s/ Arthur Lev

Arthur Lev

Principal Executive Officer

August 15, 2012

/s/ Francis Smith

Francis Smith

Principal Financial Officer

August 15, 2012