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

811-2213

 

 

Castle Convertible Fund, Inc.

(Exact name of registrant as specified in charter)

 

111 Fifth Avenue, New York, New York

 

10003

(Address of principal executive offices)

 

(Zip code)

 

Mr. Hal Liebes

Fred Alger Management, Inc.

111 Fifth Avenue

New York, New York 10003

(Name and address of agent for service)

 

Registrant's telephone number, including area code:

212-806-8800

 

 

Date of fiscal year end:

October 31

 

 

 

 

Date of reporting period:

July 31, 2008

 

 

 


 

ITEM 1.  Schedule of Investments.

 

Schedules of Investments

 


 

CASTLE CONVERTIBLE FUND, INC.

Schedule of Investments (Unaudited) July 31, 2008

 

 

 

PRINCIPAL
AMOUNT

 

VALUE

 

CORPORATE CONVERTIBLE BONDS—57.9%

 

 

 

 

 

 

 

 

 

 

 

ALTERNATIVE CARRIERS—.8%

 

 

 

 

 

Level 3 Communications Inc., 3.50%, 6/15/12

 

$

500,000

 

$

430,000

 

 

 

 

 

 

 

BIOTECHNOLOGY—.4%

 

 

 

 

 

Dendreon Corp., 4.75%, 6/15/14(a)

 

250,000

 

182,500

 

 

 

 

 

 

 

BREWERS—1.2%

 

 

 

 

 

Molson Coors Brewing Co., 2.50%, 7/30/13

 

500,000

 

602,500

 

 

 

 

 

 

 

BROADCASTING & CABLE TV—1.2%

 

 

 

 

 

Liberty Media LLC, 3.50%, 1/15/31

 

1,118,735

 

595,726

 

 

 

 

 

 

 

COAL & CONSUMABLE FUELS—1.4%

 

 

 

 

 

USEC Inc., 3.00%, 10/1/14

 

1,000,000

 

702,500

 

 

 

 

 

 

 

COMPUTER STORAGE & PERIPHERALS—1.0%

 

 

 

 

 

NetApp Inc., 1.75%, 6/1/13(a)

 

500,000

 

525,625

 

 

 

 

 

 

 

CONSTRUCTION & ENGINEERING—2.9%

 

 

 

 

 

Quanta Services Inc., 3.75%, 4/30/26(a)

 

1,000,000

 

1,497,500

 

 

 

 

 

 

 

DISTILLERS & VINTNERS—2.4%

 

 

 

 

 

Central European Distribution Corp., 3.00%, 3/15/13

 

1,000,000

 

1,248,750

 

 

 

 

 

 

 

ELECTRICAL COMPONENTS & EQUIPMENT—8.6%

 

 

 

 

 

China Sunergy Co., Ltd., 4.75%, 6/15/13(a)

 

2,000,000

 

1,853,120

 

Energy Conversion Devices Inc., 3.00%, 6/15/13

 

350,000

 

347,813

 

Evergreen Solar Inc., 4.00%, 7/15/13

 

1,750,000

 

1,708,438

 

General Cable Corp., 1.00%, 10/15/12

 

500,000

 

483,125

 

 

 

 

 

4,392,496

 

 

 

 

 

 

 

ELECTRICAL COMPONENTS & EQUIPMENT—1.0%

 

 

 

 

 

JA Solar Holdings Co., Ltd., 4.50%, 5/15/13

 

655,000

 

533,825

 

 

 

 

 

 

 

ELECTRONIC EQUIPMENT MANUFACTURERS—1.7%

 

 

 

 

 

L-1 Identity Solutions Inc., 3.75%, 5/15/27(a)

 

1,000,000

 

856,250

 

 

 

 

 

 

 

ENVIRONMENTAL & FACILITIES SERVICES—2.2%

 

 

 

 

 

Covanta Holding Corp., 1.00%, 2/1/27

 

1,000,000

 

1,103,750

 

 

 

 

 

 

 

FOOD RETAIL—2.5%

 

 

 

 

 

Great Atlantic & Pacific Tea Co., 5.125%, 6/15/11

 

1,500,000

 

1,250,625

 

 

 

 

 

 

 

FOOTWEAR—1.5%

 

 

 

 

 

Iconix Brand Group Inc., 1.875%, 6/30/12

 

1,000,000

 

757,500

 

 

 

 

 

 

 

HEALTH CARE EQUIPMENT—1.9%

 

 

 

 

 

Insulet Corp., 5.375%, 6/15/13(a)

 

1,000,000

 

944,280

 

 

 

 

 

 

 

HEALTH CARE SUPPLIES—1.9%

 

 

 

 

 

Power Medical Interventions Inc., 7.00%, 3/31/10

 

1,200,000

 

972,000

 

 

 

 

 

 

 

INTEGRATED TELECOMMUNICATION SERVICES—.9%

 

 

 

 

 

Virgin Media Inc., 6.50%, 11/15/16(a)

 

500,000

 

455,625

 

 

5


 

 

 

PRINCIPAL
AMOUNT

 

VALUE

 

CORPORATE CONVERTIBLE BONDS—(CONT.)

 

 

 

 

 

 

 

 

 

 

 

INTERNET SOFTWARE & SERVICES—2.2%

 

 

 

 

 

VeriSign Inc., 3.25%, 8/15/37(a)

 

$

1,000,000

 

$

1,130,000

 

 

 

 

 

 

 

INVESTMENT BANKING & BROKERAGE—.9%

 

 

 

 

 

General Cable Corp., 1.00%, 10/15/12(a)

 

500,000

 

483,125

 

 

 

 

 

 

 

OFFICE REITS—.9%

 

 

 

 

 

Boston Properties LP, 2.875%, 2/15/37

 

500,000

 

464,375

 

 

 

 

 

 

 

OIL & GAS EQUIPMENT & SERVICES—.5%

 

 

 

 

 

Bristow Group Inc., 3.00%, 6/15/38

 

250,000

 

250,313

 

 

 

 

 

 

 

OIL & GAS EXPLORATION & PRODUCTION—7.2%

 

 

 

 

 

Carrizo Oil & Gas Inc., 4.375%, 6/1/28

 

1,000,000

 

905,000

 

Chesapeake Energy Corp., 2.25%, 12/15/38

 

250,000

 

239,688

 

Cal Dive International Inc., 3.25%, 12/15/25

 

1,000,000

 

1,200,000

 

Penn Virginia Corp., 4.50%, 11/15/12

 

500,000

 

658,125

 

Pioneer Natural Resources Co., 2.875%, 1/15/38

 

500,000

 

630,000

 

 

 

 

 

3,632,813

 

 

 

 

 

 

 

OIL & GAS REFINING & MARKETING—1.0%

 

 

 

 

 

St. Mary Land & Exploration Co., 3.50%, 4/1/27

 

500,000

 

528,750

 

 

 

 

 

 

 

PHARMACEUTICALS—2.0%

 

 

 

 

 

Wyeth, 2.621%, 1/15/24

 

1,000,000

 

1,003,100

 

 

 

 

 

 

 

RETAIL REITS—1.8%

 

 

 

 

 

Developers Diversified Realty Corp., 3.50%, 8/15/11(a)

 

1,000,000

 

898,750

 

 

 

 

 

 

 

SEMICONDUCTORS—3.4%

 

 

 

 

 

Microchip Technology Inc., 2.125%, 12/15/37(a)

 

1,000,000

 

1,061,250

 

Micron Technology Inc., 1.875%, 6/1/14

 

1,000,000

 

657,500

 

 

 

 

 

1,718,750

 

 

 

 

 

 

 

SPECIALTY CHEMICALS—2.0%

 

 

 

 

 

Flotek Industries Inc., 5.25%, 2/15/28

 

1,000,000

 

1,020,000

 

 

 

 

 

 

 

SPECIALIZED REITS—2.5%

 

 

 

 

 

Rayonier TRS Holdings Inc., 3.75%, 10/15/12(a)

 

1,250,000

 

1,279,688

 

 

 

 

 

 

 

THRIFTS & MORTGAGE FINANCE

 

 

 

 

 

Indymac Bank FSB, 8.50%, 5/29/49(a)

 

20,000

 

4,000

 

 

 

 

 

 

 

TOTAL CORPORATE CONVERTIBLE BONDS
(Cost $31,300,724)

 

 

 

29,465,116

 

 

6


 

 

 

SHARES

 

VALUE

 

CONVERTIBLE PREFERRED SECURITIES—12.0%

 

 

 

 

 

 

 

 

 

 

 

INVESTMENT BANKING & BROKERAGE—1.3%

 

 

 

 

 

Lehman Brothers Holdings Inc., 7.25%, 12/31/49

 

1,000

 

$

650,000

 

 

 

 

 

 

 

OFFICE REITS—2.2%

 

 

 

 

 

Digital Realty Trust Inc., 5.50%, 12/31/49

 

40,000

 

1,127,500

 

 

 

 

 

 

 

OFFICE SERVICES & SUPPLIES—1.7%

 

 

 

 

 

Avery Dennison Corp., 7.875%, 11/15/10

 

20,000

 

880,000

 

 

 

 

 

 

 

OIL & GAS EXPLORATION & PRODUCTION—2.8%

 

 

 

 

 

Chesapeake Energy Corp., 5.00%, 12/31/49

 

10,000

 

1,422,500

 

 

 

 

 

 

 

OTHER DIVERSIFIED FINANCIAL SERVICES—1.8%

 

 

 

 

 

Bank of America Corp., 7.25%, 12/31/49

 

1,000

 

933,000

 

 

 

 

 

 

 

WIRELESS TELECOMMUNICATION SERVICES—2.2%

 

 

 

 

 

Crown Castle International Corp., 6.25%, 8/15/12

 

20,000

 

1,110,000

 

 

 

 

 

 

 

TOTAL CONVERTIBLE PREFERRED SECURITIES
(Cost $6,241,000)

 

 

 

6,123,000

 

 

 

 

 

 

 

MANDATORY CONVERTIBLE SECURITIES—11.7%

 

 

 

 

 

 

 

 

 

 

 

AGRICULTURAL PRODUCTS—2.3%

 

 

 

 

 

Archer-Daniels-Midland Co., 6.25%, 6/1/11(b)

 

30,000

 

1,170,000

 

 

 

 

 

 

 

DIVERSIFIED METALS & MINING—2.8%

 

 

 

 

 

Freeport-McMoRan Copper & Gold Inc., 6.75%, 5/1/10(b)

 

10,000

 

1,403,750

 

 

 

 

 

 

 

ELECTRIC UTILITIES—.6%

 

 

 

 

 

Entergy Corp., 7.625%, 2/17/09(b)

 

5,000

 

312,500

 

 

 

 

 

 

 

HOUSEHOLD APPLIANCES—.8%

 

 

 

 

 

Stanley Works, /The, 4.436%, 5/17/12(b)

 

500

 

395,125

 

 

 

 

 

 

 

INVESTMENT BANKING & BROKERAGE—1.3%

 

 

 

 

 

Lehman Brothers Holdings Inc., 8.75%, 7/1/11(b)

 

1,000

 

642,708

 

 

 

 

 

 

 

PRECIOUS METALS & MINERALS—.9%

 

 

 

 

 

Hecla Mining Co., 6.50%, 1/1/11(b)

 

5,000

 

462,750

 

 

 

 

 

 

 

PROPERTY & CASUALTY INSURANCE—1.2%

 

 

 

 

 

Alleghany Corp., 5.75%, 6/15/09(b)

 

2,000

 

591,219

 

 

 

 

 

 

 

REINSURANCE—1.1%

 

 

 

 

 

IPC Holdings Ltd., 7.25%, 11/15/08(b)

 

20,000

 

581,188

 

 

 

 

 

 

 

U.S. GOVERNMENT & AGENCY—.7%

 

 

 

 

 

Federal National Mortgage Association, 8.75%, 5/13/11(b)

 

15,000

 

369,300

 

 

 

 

 

 

 

TOTAL MANDATORY CONVERTIBLE SECURITIES
(Cost $6,121,700)

 

 

 

5,928,540

 

 

7


 

 

 

SHARES

 

VALUE

 

PREFERRED SECURITIES—6.3%

 

 

 

 

 

 

 

 

 

 

 

DIVERSIFIED BANKS—.5%

 

 

 

 

 

HSBC Holdings PLC.

 

10,000

 

$

258,000

 

 

 

 

 

 

 

ELECTRIC UTILITIES—.5%

 

 

 

 

 

PPL Capital Funding Inc.

 

10,000

 

244,500

 

 

 

 

 

 

 

INDEPENDENT POWER PRODUCERS & ENERGY TRADERS—1.9%

 

 

 

 

 

Constellation Energy Group Inc.

 

40,000

 

998,800

 

 

 

 

 

 

 

INVESTMENT BANKING & BROKERAGE—1.2%

 

 

 

 

 

Merrill Lynch & Co., Inc.

 

30,000

 

616,500

 

 

 

 

 

 

 

OTHER DIVERSIFIED FINANCIAL SERVICES—2.2%

 

 

 

 

 

Bank of America Corp.

 

10,000

 

242,500

 

Barclays Bank PLC

 

20,000

 

478,000

 

Citigroup Inc.

 

20,000

 

411,000

 

 

 

 

 

1,131,500

 

 

 

 

 

 

 

TOTAL PREFERRED SECURITIES
(Cost $3,500,000)

 

 

 

3,249,300

 

 

 

 

 

 

 

COMMON STOCKS—8.8%

 

 

 

 

 

 

 

 

 

 

 

ELECTRIC UTILITIES—1.9%

 

 

 

 

 

Entergy Corp.

 

9,000

 

962,280

 

 

 

 

 

 

 

INDUSTRIAL CONGLOMERATES—.5%

 

 

 

 

 

General Electric Co.

 

10,000

 

282,900

 

 

 

 

 

 

 

INTEGRATED OIL & GAS—3.7%

 

 

 

 

 

ConocoPhillips

 

10,000

 

816,200

 

Royal Dutch Shell PLC#

 

15,000

 

1,061,850

 

 

 

 

 

1,878,050

 

 

 

 

 

 

 

OIL & GAS STORAGE & TRANSPORTATION—.7%

 

 

 

 

 

Inergy LP

 

15,000

 

381,150

 

 

 

 

 

 

 

OTHER DIVERSIFIED FINANCIAL SERVICES—.8%

 

 

 

 

 

JPMorgan Chase & Co.

 

10,000

 

406,300

 

 

 

 

 

 

 

PACKAGED FOODS & MEATS

 

 

 

 

 

General Mills Inc.

 

1

 

64

 

 

 

 

 

 

 

PHARMACEUTICALS—1.2%

 

 

 

 

 

GlaxoSmithKline PLC#

 

13,000

 

605,280

 

 

 

 

 

 

 

TOTAL COMMON STOCKS
(Cost $3,138,260)

 

 

 

4,516,024

 

 

8


 

 

 

PRINCIPAL
AMOUNT

 

VALUE

 

SHORT-TERM INVESTMENTS—2.8%

 

 

 

 

 

 

 

 

 

 

 

TIME DEPOSITS

 

 

 

 

 

JPMorgan Chase London, 1.68%, 8/1/08

 

$

1,427,809

 

$

1,427,809

 

 

 

 

 

 

 

TOTAL TIME DEPOSITS
(Cost $1,427,809)

 

 

 

1,427,809

 

 

 

 

 

 

 

Total Investments
(Cost $51,729,493)(c)

 

99.5

%

50,709,789

 

Other Assets in Excess of Liablities

 

0.5

 

276,254

 

 

 

 

 

 

 

NET ASSETS

 

100.0

%

$

50,986,043

 

 

 

 

 

 

 

Net Asset Value Per Share

 

 

 

$

22.80

 

 

 

 

 

 

 

Shares Outstanding

 

 

 

2,236,000

 

 

*

 

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 21.9% 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 July 31, 2008, the net unrealized depreciation on investments, based on cost for federal income tax purposes of $51,729,493 amounted to $1,019,704 which consisted of aggregate gross unrealized appreciation of $4,177,473 and aggregate gross unrealized deppreciation of $5,197,177.

 

See Notes to Financial Statements

 

9


 

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.

 

 

By 

/s/Daniel C. Chung

 

 

Daniel C. Chung

 

President

 

Date: September 18, 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.

 

 

By 

/s/Daniel C. Chung

 

 

Daniel C. Chung

 

President

 

Date: September 18, 2008

 

 

By 

/s/ Michael D. Martins

 

 

Michael D. Martins

 

Treasurer

 

Date: September 18, 2008

 

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