<PAGE>
CIM HIGH YIELD SECURITIES
The total return for CIM High Yield Securities (the "Fund") was 7.76% based
on net asset value (before Fund expenses) and 7.18% (after Fund expenses) for
the first half of 1997. This compares very favorably with the Credit Suisse
First Boston High Yield Index (the "Index") of 5.9%. For the twelve-month period
ended June 30, 1997, the Fund's return was 20.56% based on net asset value
(before Fund expenses) and 19.24% (after Fund expenses) compared with the Index
return of 14.7%. The Fund has also performed well relative to other asset
classes. For the six months ended June 30, 1997 investment grade corporate
securities and ten-year Treasuries returned 3.2% and 2.5%, respectively. The
Fund's performance is generally due to the ongoing focus on cash-pay, single-B
average quality, shorter duration securities in the marketplace, as well as
credit-specific issues. Of course, past performance is not indicative of future
results.
Market conditions continue to be very favorable for high yield securities.
While the supply of high yield issues has grown at an unprecedented pace over
the past year, it has been easily supported by strong demand from mutual funds,
CBOs (high yield structured products), insurance companies and international
investors. As a result, the spreads available from high yield securities to
comparable Treasuries have tightened to approximately 339 basis points, as
measured by the Index, from 417 basis points available one year ago. The current
environment of low inflation, moderate economic growth, favorable Treasury and
equity markets, and an equilibrium of technical factors remains very favorable
for the high yield bond market. Fundamentally, we believe the Fund will continue
to do well. Investors of all types continue to seek high returns in their
portfolios and the high yield market continues to be an attractive candidate
relative to other asset classes. For a discussion of additional considerations
relating to the high yield market, see note 7 in the Notes to Financial
Statements.
Over the long term we continue to be very positive on the high yield
market; default rates remain low, demand is growing from a diversified group of
investors, spreads to Treasuries, while narrower than last year, are still
attractive, and issuer quality has been high relative to comparable issuers in
the past. Even in a scenario of a slower growing economy, companies are in much
better shape financially than in the 1980s because of more conservative
capitalization and a higher proportion of issuance with senior priority.
It is our belief that the high yield market will continue to outperform
other fixed income classes through various investment cycles. The current
environment continues to provide solid underlying support for credit
fundamentals. Our portfolio strategy continues to be oriented toward relatively
stable issuers of high yield securities. We thank you for your continued
support.
Chancellor LGT Asset Management, Inc.
<PAGE>
CIM HIGH YIELD SECURITIES
STATEMENT OF INVESTMENTS
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 122.7%
BROADCAST/RADIO/T.V. -- 11.1%
$ 350,000 Citadel Broadcasting Company, Sr. Sub. Note, 10.250%, 7/1/2007***... $ 350,000
1,000,000 Katz Media Corporation, Sr. Sub. Note, 10.500%, 01/15/2007***....... 988,750
1,000,000 Paxson Communication Corporation, Sr. Sub. Note, 11.625%,
10/01/2002***..................................................... 1,083,750
1,000,000 SFX Broadcasting, Inc., Sr. Sub. Note, 10.750%, 05/15/2006.......... 1,095,000
500,000 Viasystems Inc., Sr. Sub. Note, 9.750%, 6/1/2007***................. 512,500
1,000,000 Young Broadcasting Inc., Sr. Sub. Note, 8.750%, 6/15/2007***........ 970,000
-----------
5,000,000
-----------
CABLE T.V. -- 8.4%
1,000,000 Charter Communications International, Inc., Sr. Note, 11.250%,
03/15/2006........................................................ 1,082,500
1,250,000 Galaxy Telecommunication L.P., Sr. Sub. Note, 12.375%, 10/01/2005... 1,334,375
1,250,000 Intermedia Capital Partners, Sr. Note, 11.250%, 08/01/2006***....... 1,350,000
-----------
3,766,875
-----------
FOOD/DRUG RETAILERS -- 8.4%
1,250,000 Aurora Foods Inc., Sr. Sub. Note, 9.875%, 2/15/2007***.............. 1,290,625
750,000 Grand Union Company, Sr. Note, 12.000%, 09/01/2004.................. 560,625
650,000 North Atlantic Trading, Sr. Note, 11.000%, 6/15/2004***............. 661,375
750,000 Pathmark Stores, Sub. Note, 12.625%, 6/15/2002...................... 772,500
500,000 Randall's Food Markets, Sr. Sub. Note, 9.375%, 7/1/2007***.......... 498,750
-----------
3,783,875
-----------
OTHER RETAILERS -- 8.4%
1,250,000 Brylane Capital Corporation, Series B, Sr. Sub. Note, 10.000%,
09/01/2003........................................................ 1,321,875
750,000 Central Tractor Farm & Country, Sr. Note, 10.625%, 4/1/2007......... 780,000
1,000,000 Hills Stores Company, Sr. Note, 12.500%, 07/01/2003................. 785,000
825,000 Shop Vac Corporation, Sr. Note, 10.625%, 09/01/2003***.............. 878,625
-----------
3,765,500
-----------
TELECOMMUNICATION -- 8.3%
500,000 Comcast Cellular, Sr. Note, 9.500%, 5/1/2007***..................... 507,500
750,000 Fonorola Inc., Sr. Secured Note, 12.500%, 08/15/2002................ 810,000
750,000 Metrocall, Inc., Sr. Sub. Note, 10.375%, 10/01/2007................. 690,000
1,000,000 Paging Network, Sr. Sub. Note, 10.000%, 10/15/2008.................. 965,000
750,000 Talton Holdings Inc., 11.000%, 6/30/2007***......................... 759,375
-----------
3,731,875
-----------
MANUFACTURING -- DIVERSIFIED -- 8.0%
900,000 American Builders and Contractors, Sr. Sub. Note, 10.625%,
5/15/2007***...................................................... 927,000
1,000,000 CMI Industries, Sr. Sub. Note, 9.500%, 10/1/2003.................... 1,003,750
1,000,000 Interlake Corporation, Sr. Sub. Debenture, 12.125%, 03/01/2002...... 1,045,000
600,000 Loomis Fargo & Company, Sr. Sub. Note, 10.000%, 1/15/2004***........ 612,000
-----------
3,587,750
-----------
</TABLE>
See Notes to Financial Statements.
1
<PAGE>
CIM HIGH YIELD SECURITIES
STATEMENT OF INVESTMENTS (CONTINUED)
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- (CONTINUED)
OIL AND GAS -- 6.3%
$1,000,000 Belden & Blake, Sr. Sub. Note, 9.875%, 6/15/2007***................. $ 1,000,000
750,000 Costilla Energy Inc., Sr. Note, 10.250%, 10/01/2006................. 780,000
500,000 DI Industries, Inc., Sr. Note, 8.875%, 7/1/2007..................... 495,000
500,000 United Meridian Corporation, Sr. Sub. Note, 10.375%, 10/15/2005..... 542,500
-----------
2,817,500
-----------
PACKAGING AND CONTAINERS -- 6.3%
875,000 Delta Beverage Group Inc., Sr. Note, 9.750%, 12/15/2003***.......... 915,469
850,000 Printpack Inc., Sr. Sub Note, 10.625%, 08/15/2006***................ 902,063
1,000,000 Stone Container Corp., Sr. Sub. Note, 12.250%, 4/1/2002............. 1,027,500
-----------
2,845,032
-----------
SURFACE TRANSPORT -- 5.5%
750,000 Ameritruck Distribution Corporation, Sr. Sub. Note, 12.250%,
11/15/2005***..................................................... 766,875
750,000 Coach USA Inc., 9.375%, 7/1/2007***................................. 755,625
1,000,000 Trism Inc., Gtd. Sr. Sub. Note, 10.750%, 12/15/2000................. 950,000
-----------
2,472,500
-----------
APPAREL/TEXTILES -- 5.2%
900,000 Dan River Inc., Sr. Sub. Note, 10.125%, 12/15/2003.................. 949,500
500,000 Polysindo International Finance, Note, 11.375%, 06/15/2006.......... 550,000
750,000 Tultex Corporation, Sr. Note, 10.625%, 03/15/2005................... 825,000
-----------
2,324,500
-----------
FINANCE -- 5.0%
600,000 Dollar Financial Group Inc., Sr. Note, 10.875%, 11/15/2006***....... 643,500
1,000,000 Globalstar LP/Capital, 11.375%, 2/15/2004***........................ 1,007,500
600,000 Imperial Credit Industries, Inc., Sr. Note, 9.875%, 1/15/2007....... 598,500
-----------
2,249,500
-----------
HOME FURNISHINGS -- 4.8%
1,000,000 Lifestyle Furnishings Inc., Sr. Sub. Note, 10.875%, 08/01/2006***... 1,096,250
1,000,000 Syratech Corp. Sr. Note, 11.000%, 4/15/2007......................... 1,072,500
-----------
2,168,750
-----------
HEALTHCARE -- 4.3%
600,000 Dade International, Inc., Sr. Sub. Note, 11.125%, 05/01/2006........ 669,000
700,000 Maxxim Medical Inc., Sr. Secured Sub. Note, 10.500%,
08/01/2006***..................................................... 759,500
500,000 Paracelsus Healthcare Corporation, Sr. Sub. Note, 10.000%,
08/15/2006........................................................ 512,500
-----------
1,941,000
-----------
FOOD PRODUCTS -- 4.2%
1,000,000 International Home Foods Inc., Sr. Sub. Note, 10.375%,
11/01/2006***..................................................... 1,037,500
750,000 Van de Kamps Inc., Sr. Sub. Note, 12.000%, 09/15/2005............... 835,312
-----------
1,872,812
-----------
</TABLE>
See Notes to Financial Statements.
2
<PAGE>
CIM HIGH YIELD SECURITIES
STATEMENT OF INVESTMENTS (CONTINUED)
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- (CONTINUED)
BUSINESS EQUIPMENT AND SERVICES -- 3.5%
$ 500,000 Unifrax Investment Corporation, Sr. Note, 10.500%, 11/01/2003....... $ 519,375
1,000,000 Unisys Corporation, Sr. Note, 12.000%, 04/15/2003................... 1,095,000
-----------
1,614,375
-----------
COSMETICS/TOILETRIES -- 3.2%
850,000 Chattem Inc., Sr. Sub. Note, 12.750%, 06/15/2004***................. 935,000
500,000 French Fragrances Inc., Sr. Note, 10.375%, 5/15/2007***............. 516,250
-----------
1,451,250
-----------
TRANSPORTATION -- 3.0%
600,000 Ryder TRS Inc., Sr. Sub. Note, 10.000%, 12/01/2006***............... 618,000
750,000 Valuejet Inc., Sr. Note, 10.250%, 4/15/2001......................... 711,562
-----------
1,329,562
-----------
HOTELS AND CASINOS -- 2.8%
750,000 Harrahs Jazz Company, 1st Mortgage Note, 14.250%, 11/15/2001 (In
Default).......................................................... 296,250
1,000,000 Trump Atlantic City Associates, 1st Mortgage Note, 11.250%,
05/01/2006........................................................ 980,000
-----------
1,276,250
-----------
ECOLOGICAL -- 2.4%
1,000,000 Allied Waste North America, Sr. Sub. Note, 10.250%, 12/01/2006***... 1,080,000
-----------
LEISURE -- 2.3%
500,000 Muzak LP Capital, Sr. Note, 10.000%, 10/01/2003..................... 521,250
500,000 Riddell Sports Inc., Sr. Note, 10.500%, 7/15/2007***................ 512,500
-----------
1,033,750
-----------
STEEL -- 2.3%
1,000,000 Florida Steel Corporation, 1st Mortgage Note, 11.500%, 12/15/2000... 1,041,250
-----------
CHEMICALS AND PLASTICS -- 1.8%
750,000 Sterling Chemicals Inc., Sr. Sub. Note, 11.750%, 08/15/2006......... 811,875
-----------
METALS AND MINERALS -- 1.8%
750,000 Kaiser Aluminum & Chemical Corporation, Sr. Sub. Note, 12.750%,
02/01/2003........................................................ 817,500
-----------
RAILROADS -- 1.8%
750,000 Johnstown America Industries, Sr. Sub. Note, 11.750%, 08/15/2005.... 791,250
-----------
FOOD SERVICE -- 1.6%
700,000 CFP Holdings Inc., Sr. Note, 11.625%, 1/15/2004***.................. 727,125
-----------
AEROSPACE -- 1.2%
491,000 K & F Industries, Sr. Secured Note, 11.875%, 12/01/2003............. 517,391
-----------
PUBLISHING -- 0.8%
375,000 Big Flower Press, Sr. Sub. Note, 8.875%, 7/1/2007***................ 369,375
-----------
TOTAL CORPORATE BONDS AND NOTES (Cost $53,880,949).................. 55,188,422
-----------
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
CIM HIGH YIELD SECURITIES
STATEMENT OF INVESTMENTS (CONTINUED)
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<C> <S> <C>
UNITED STATES GOVERNMENT SECURITIES -- 2.5%
UNITED STATES TREASURY BILLS:
$985,000 4.87%++, 07/24/1997................................................. $ 981,962
173,000 4.84%++, 07/17/1997................................................. 172,635
-----------
TOTAL UNITED STATES GOVERNMENT SECURITIES (Cost $1,154,597)......... 1,154,597
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
- -----------
<C> <S> <C>
COMMON STOCK -- 1.3%
30,000 Dr. Pepper Bottling Holdings, Class A**............................. 555,000
1,601 Harvest Foods Inc., (02/20/1992, cost $36)** +...................... 3,202
972 Thermadyne Holdings Corporation, New**.............................. 30,618
-----------
TOTAL COMMON STOCK (Cost $27,331)................................... 588,820
-----------
PREFERRED STOCK -- 1.3% (Cost $500,000)
20,000 K-III Communications Corporation, Sr. Exchangeable Preferred Stock,
11.500%........................................................... 537,500
-----------
WARRANTS -- 0.0%# (Cost $0.00)
1,250 Capital Gaming International Incorporated, Warrants, expire
02/01/1999**...................................................... 25
-----------
TOTAL INVESTMENTS (Cost $55,562,877*).................................. 127.8% 57,469,364
OTHER ASSETS AND LIABILITIES (NET)..................................... (27.8) (12,488,487)
----- -----------
NET ASSETS............................................................. 100.0% $44,980,877
===== ===========
</TABLE>
- ---------------
<TABLE>
<C> <S>
* Aggregate cost for Federal income tax purposes.
** Non-income producing security.
*** Security purchased in a transaction exempt from registration under Rule 144A of the
Securities Act of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
+ Securities for which market quotations are not readily available are valued by or at
the direction of the Board of Trustees. Parenthetical disclosure includes the
acquisition date and cost of the security. The total fair value of such securities at
June 30, 1997 is $3,202 which represents 0.01% of total net assets.
++ Rate represents annualized yield at date of purchase.
# Amount represents less than 0.1% of total net assets.
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
CIM HIGH YIELD SECURITIES
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<S> <C> <C>
ASSETS:
Investments, at value (Cost $55,562,877) (Note 1)
See accompanying statement.......................................... $57,469,364
Cash.................................................................. 1,502
Receivable for investment securities sold............................. 1,612,396
Interest receivable................................................... 1,231,780
Prepaid expenses...................................................... 744
-----------
Total Assets..................................................... 60,315,786
LIABILITIES:
Notes payable (including accrued interest of $2,431) (Note 5)......... $12,502,431
Payable for investment securities purchased........................... 2,400,000
Dividends payable..................................................... 342,919
Investment advisory fee payable (Note 2).............................. 18,569
Accrued Trustees' fees and expenses (Note 2).......................... 5,000
Shareholder servicing agent fees payable (Note 2)..................... 3,119
Administration fee payable (Note 2)................................... 3,333
Custodian fees payable (Note 2)....................................... 1,386
Accrued expenses and other payables................................... 58,152
-----------
Total Liabilities................................................ 15,334,909
-----------
NET ASSETS................................................................. $44,980,877
===========
NET ASSETS consist of:
Undistributed net investment income................................... $ 124,553
Accumulated net realized loss on investments sold..................... (6,181,480)
Unrealized appreciation of investments................................ 1,906,487
Shares of beneficial interest, $0.01 per share par value,
issued and outstanding 5,715,311.................................... 57,153
Paid-in capital in excess of par value................................ 49,074,164
-----------
Total Net Assets................................................. $44,980,877
===========
NET ASSET VALUE PER SHARE
($44,980,877 / 5,715,311 shares of beneficial interest outstanding)...... $ 7.87
===========
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
CIM HIGH YIELD SECURITIES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest...................................................... $2,824,825
Dividends..................................................... 28,750
----------
Total Investment Income.................................. 2,853,575
EXPENSES:
Interest expense (Note 5)..................................... $436,111
Investment advisory fee (Note 2).............................. 109,464
Legal and audit fees.......................................... 24,759
Trustees' fees and expenses (Note 2).......................... 16,889
Administration fee (Note 2)................................... 20,000
Shareholder servicing agent fees (Note 2)..................... 11,715
Custodian fees (Note 2)....................................... 8,774
Miscellaneous................................................. 44,587
--------
Total Expenses........................................... 672,299
----------
NET INVESTMENT INCOME.............................................. 2,181,276
----------
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS
(Notes 1 and 3):
Net realized gain on investments sold during the period....... 924,553
Net unrealized depreciation of investments during the
period....................................................... (16,344)
----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS.................... 908,209
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............... $3,089,485
==========
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
CIM HIGH YIELD SECURITIES
STATEMENT OF CASH FLOWS
FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
<TABLE>
<S> <C> <C>
NET INCREASE IN CASH:
Cash flows from operating activities:
Interest and dividends received........................... $ 2,902,438
Operating expenses paid................................... (229,569)
------------
Net cash provided by operating activities...................... $ 2,672,869
Cash flows from investing activities:
Increase in short-term securities, net.................... (204,445)
Purchases of long-term securities......................... (44,260,353)
Proceeds from sales of long-term securities............... 43,943,666
------------
Net cash used in investing activities.......................... (521,132)
-----------
Net cash provided by operating and investing activities........ 2,151,737
Cash flows from financing activities:
Interest payments on notes payable........................ (438,411)
Cash dividends paid*...................................... (1,713,247)
------------
Net cash used in financing activities.......................... (2,151,658)
-----------
Net increase in cash........................................... 79
Cash -- beginning of period.................................... 1,423
-----------
Cash -- end of period.......................................... $ 1,502
===========
RECONCILIATION OF NET DECREASE IN NET ASSETS TO NET CASH
PROVIDED BY OPERATING AND INVESTING ACTIVITIES:
Net increase in net assets resulting from operations........... $ 3,089,485
Interest expense.......................................... $ 436,111
Increase in investments................................... (2,245,959)
Increase in receivables for investment securities sold.... (1,612,396)
Decrease in interest and dividends receivable............. 77,876
Decrease in other assets.................................. 12,481
Increase in payables for investment securities
purchased............................................... 2,400,000
Decrease in accrued expenses and liabilities.............. (5,861)
------------
Total adjustments............................... (937,748)
-----------
Net cash provided by operating and investing activities........ $ 2,151,737
===========
</TABLE>
- ---------------
*Non cash financing activities include reinvestments of dividends of $445,877.
See Notes to Financial Statements.
7
<PAGE>
CIM HIGH YIELD SECURITIES
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
JUNE 30, 1997 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1996
------------- -----------------
<S> <C> <C>
Net investment income......................................... $ 2,181,276 $ 4,354,382
Net realized gain/(loss) on investments sold during the
period...................................................... 924,553 (242,657)
Net unrealized appreciation/(depreciation) of investments
during the period........................................... (16,344) 2,314,525
----------- -----------
Net increase in net assets resulting from operations.......... 3,089,485 6,426,250
Distributions to shareholders from net investment income...... (2,049,437) (4,323,851)
Net increase in net assets from Fund share transactions (Note
4).......................................................... 445,877 756,369
----------- -----------
Net increase in net assets.................................... 1,485,925 2,858,768
NET ASSETS:
Beginning of period........................................... 43,494,952 40,636,184
----------- -----------
End of period (including undistributed/(distributions in
excess of) net investment income of $124,553 and $(7,286),
respectively)............................................... $44,980,877 $43,494,952
=========== ===========
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
CIM HIGH YIELD SECURITIES
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
6/30/97 ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/96 12/31/95 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89 12/31/88*
----------- -------- -------- -------- -------- -------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Operating performance:
Net asset value,
beginning of period... $7.69 $ 7.32 $ 7.11 $ 8.02 $ 7.58 $ 7.10 $ 5.65 $ 7.38 $ 9.41 $ 9.35
----- ------ ------ ------ ------ ------ ------ ------ ------ ------
Net investment
income................ 0.38 0.78 0.77 0.82 0.87 0.83 0.84 0.86 1.13 1.16
Net realized and
unrealized gain/(loss)
on investments........ 0.16 0.36 0.23 (0.89) 0.71 0.46 1.44 (1.72) (1.96) 0.12
----- ------ ------ ------ ------ ------ ------ ------ ------ ------
Net increase/(decrease)
in net assets
resulting from
investment
operations............ 0.54 1.14 1.00 (0.07) 1.58 1.29 2.28 (0.86) (0.83) 1.28
Change in net asset
value from Fund share
transactions.......... -- -- -- -- (0.31) -- -- -- -- --
Distributions:
Dividends from net
investment income..... (0.36) (0.77) (0.79) (0.84) (0.83) (0.81) (0.83) (0.87) (1.15) (1.13)
Distributions from net
realized capital
gains................. -- -- -- -- -- -- -- -- (0.05) (0.09)
----- ------ ------ ------ ------ ------ ------ ------ ------ ------
Total from
distributions......... (0.36) (0.77) (0.79) (0.84) (0.83) (0.81) (0.83) (0.87) (1.20) (1.22)
----- ------ ------ ------ ------ ------ ------ ------ ------ ------
Net asset value, end of
period................ $7.87 $ 7.69 $ 7.32 $ 7.11 $ 8.02 $ 7.58 $ 7.10 $ 5.65 $ 7.38 $ 9.41
===== ====== ====== ====== ====== ====== ====== ====== ====== ======
Market value, end of
period................ $7.94 $8.125 $7.875 $7.125 $7.875 $7.500 $6.625 $4.750 $7.000 $9.500
===== ====== ====== ====== ====== ====== ====== ====== ====== ======
Total investment
return................ 7.18% 14.38% 22.72% 0.99% 16.55%(3) 25.70% 58.61% (20.89)% (15.18)% 11.67%
===== ====== ====== ====== ====== ====== ====== ====== ====== ======
Ratios to average net
assets/supplemental
data:
Net assets, end of
period (in 000s)...... $44,981 $43,495 $40,636 $38,678 $42,901 $30,024 $28,015 $22,283 $29,122 $36,394
Ratio of net investment
income to average net
assets................ 9.96%+ 10.46% 10.32% 10.82% 11.17% 11.00% 12.59% 13.00% 12.78% 12.07%
Ratio of operating
expenses to average
net assets............ 1.08%(2)+ 1.10%(2) 1.14%(2) 0.95%(2) 1.09%(2) 1.65%(2) 2.46% 2.35% 2.28% 2.36%
Portfolio turnover
rate(1)............... 82.7% 172.2% 79.9% 50.6% 114.3% 40.6% 51.2% 34.9% 77.4% 209.6%
</TABLE>
- ---------------
* Chancellor Trust Company became the Fund's investment adviser effective
September 30, 1988. On October 31, 1996 the Fund entered into a new
investment advisory agreement with Chancellor LGT Asset Management due to
the acquisition of Chancellor Capital Management, Inc., the corporate parent
of Chancellor Trust Company, by Liechtenstein Global Trust, AG.
(1) This rate is, in general, the percentage computed by taking the lesser of
the cost of purchases or proceeds from the sales of portfolio securities for
a period and dividing it by the monthly average value of such securities
during the period, excluding short-term securities.
(2) The annualized operating expense ratio excludes interest expense. The
annualized ratios including interest expense were 3.07% , 3.19%, 3.52%,
2.80%, 2.63% and 2.06% for the six months ended June 30, 1997 and for the
years ended December 31, 1996, 1995, 1994, 1993, and 1992, respectively.
(3) The total return for the year ended December 31, 1993, adjusted for the
dilutive effect of the rights offering completed in August of 1993, is
21.07%.
+ Annualized.
See Notes to Financial Statements.
9
<PAGE>
CIM HIGH YIELD SECURITIES
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
JUNE 30, 1997
1. SIGNIFICANT ACCOUNTING POLICIES
CIM High Yield Securities (the "Fund") was organized under the laws of the
Commonwealth of Massachusetts on September 11, 1987 and is registered with the
Securities and Exchange Commission under the Investment Company Act of 1940, as
amended (the "1940 Act"), as a diversified, closed-end management investment
company. The following is a summary of significant accounting policies
consistently followed by the Fund in the preparation of its financial
statements.
Portfolio valuation: Fixed-income securities (other than short-term
obligations, but including listed issues) are valued based on prices obtained by
one or more independent pricing services approved by the Board of Trustees.
Securities (other than fixed-income securities) for which the principal
market is one or more securities exchanges are valued at the last reported sale
price (or if there has been no current sale, at the closing bid price) on the
primary exchange on which such securities are traded. If a securities exchange
is not the principal market for a security, such security will, if market
quotations are readily available, be valued at the closing bid price in the
over-the-counter market (or the last sale price in the case of securities
reported on the Nasdaq national market system for which any sales occurred
during the day). Portfolio securities for which there are no such valuations are
valued at fair value as determined in good faith by or at the direction of the
Board of Trustees. Short-term obligations with maturities of less than 60 days
are valued at amortized cost which approximates market value.
Securities transactions and investment income: Securities transactions are
recorded as of the trade date. Realized gains and losses from securities
transactions are recorded on the identified cost basis. Dividend income is
recorded on the ex-dividend date. Interest income, including, where applicable,
amortization of premium and accretion of discount on investments, is recorded on
the accrual basis. Short-term investments that have a maturity of 60 days or
less are valued at amortized cost.
Dividends and distributions to shareholders: The Fund distributes monthly
to shareholders substantially all of its net investment income. Capital gains,
if any, net of capital losses, are distributed annually. Income distributions
and capital gain distributions are determined in accordance with income tax
regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing treatments of income and gains
on various investment securities held by the Fund, timing differences and
differing characterization of distributions made by the Fund.
Federal income taxes: It is the Fund's policy to comply with the
requirements of the Internal Revenue Service applicable to regulated investment
companies and to distribute substantially all of its taxable income to its
shareholders. Therefore, no Federal income tax should be payable by the Fund.
Cash flow information: Cash, as used in the Statement of Cash Flows, is the
amount reported in the Statement of Assets and Liabilities. The Fund invests in
securities and distributes dividends from net investment income and net realized
gains (which are either paid in cash or reinvested at the discretion of
shareholders). These activities are reported in the Statement of Changes in Net
Assets. Information on cash payments is presented in the Statement of Cash
Flows. Accounting practices that do not affect
10
<PAGE>
CIM HIGH YIELD SECURITIES
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
reporting activities on a cash basis include unrealized gain or loss on
investment securities and accretion income recognized on investment securities.
Use of estimates: The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of income and expenses during
the reported period. Actual results could differ from those estimates.
2. INVESTMENT ADVISORY FEE, ADMINISTRATION FEE AND OTHER RELATED PARTY
TRANSACTIONS
The Fund has entered into an investment advisory agreement (the "Advisory
Agreement") with Chancellor LGT Asset Management, Inc. (the "Adviser"). The
Advisory Agreement provides that the Fund will pay the Adviser a fee, computed
and payable monthly, at the annual rate of .50% of the Fund's average weekly net
assets.
The Fund has also entered into an Administration and Support Agreement with
First Data Investor Services Group, Inc., a wholly-owned subsidiary of First
Data Corporation, to provide all administrative services to the Fund other than
those related to the investment decisions. First Data Investor Services Group,
Inc. is paid a fee computed and payable monthly at an annual rate of .09% of the
Fund's average weekly net assets, but no less than $40,000 per annum.
The Fund pays each Trustee not affiliated with the Adviser $6,000 per year
plus $1,000 per meeting and committee meeting attended, and reimburses each such
Trustee for travel and out-of-pocket expenses relating to their attendance at
such meetings. The Fund pays the actual out-of-pocket expenses of the Trustees
affiliated with the Adviser relating to their attendance at such meetings.
Boston Safe Deposit & Trust Company, an indirect wholly-owned subsidiary of
Mellon Bank Corporation, serves as the Fund's custodian. First Data Investor
Services Group, Inc. serves as the Fund's shareholder servicing agent (transfer
agent).
3. PURCHASE AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of investment securities,
excluding short-term investments, during the six months ended June 30, 1997,
amounted to $46,660,353 and $45,556,062, respectively.
At June 30, 1997, aggregate gross unrealized appreciation for all
securities (other than restricted securities), in which there is an excess of
value over tax costs amounted to $2,845,406, and the aggregate gross unrealized
depreciation for all securities (other than restricted securities) in which
there is an excess of tax cost over value amounted to $938,919.
11
<PAGE>
CIM HIGH YIELD SECURITIES
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
4. FUND SHARES
The Fund has one class of shares of beneficial interest, par value $0.01
per share, of which an unlimited number of shares are authorized. Transactions
in shares of beneficial interest were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1997 DECEMBER 31, 1996
------------------ -------------------
SHARES AMOUNT SHARES AMOUNT
------- -------- -------- --------
<S> <C> <C> <C> <C>
Issued as reinvestment of dividends................... 57,742 $445,877 102,537 $756,369
------ -------- ------- --------
Net increase.......................................... 57,742 $445,877 102,537 $756,369
====== ======== ======= ========
</TABLE>
5. NOTES PAYABLE
The Fund currently has a $12.5 million ("commitment amount") line of credit
provided by BankBoston, N.A. (formerly known as The First National Bank of
Boston) (the "Bank") under an Amended Credit Agreement (the "Agreement") dated
September 18, 1992, primarily to leverage its investment portfolio. Under this
Agreement the Fund may borrow up to the lesser of $12.5 million or 25% of its
gross assets. Interest is payable at either the Bank's Base Rate or its
applicable Money Market Rate, as selected by the Fund from time to time in its
loan requests. The Fund is charged a commitment fee of one quarter of one
percent per annum of the average daily unused commitment amount. The Agreement
requires, among other provisions, that the percentage obtained by dividing total
indebtedness for money borrowed by total assets of the Fund shall not exceed
30%. At June 30, 1997, the Fund had borrowings of $12,500,000 outstanding under
this Agreement. During the six months ended June 30, 1997, the Fund had an
average outstanding daily balance of $12,500,000 with interest rates ranging
from 6.1825% to 7.0625% and average debt per share of $2.20. For the six months
ended June 30, 1997, interest expense totaled $436,111 under this Agreement.
6. CAPITAL LOSS CARRYFORWARD
Capital loss carryforwards are available to offset future realized capital
gains. To the extent that these carryforwards are used to offset future capital
gains, it is probable that the amount which is offset will not be distributed to
shareholders.
At December 31, 1996, the Fund had available for Federal tax purposes
unused capital loss carryforwards of $984,970, $3,316,747, $1,552,171, $330,065,
$679,423 and $242,657 expiring in 1998, 1999, 2000, 2002, 2003, and 2004,
respectively.
7. CONCENTRATION OF RISK
The Fund invests in securities offering high current income which generally
will be in the lower rating categories of recognized ratings agencies (so-called
"junk bonds"). These securities generally involve more credit risk and
volatility than securities in the higher rating categories. In addition, the
trading market for high yield securities may be relatively less liquid than the
market for higher-rated securities. The Fund's use of leverage also increases
exposure to capital risk.
12
<PAGE>
CIM HIGH YIELD SECURITIES
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
8. QUARTERLY RESULTS OF OPERATIONS (UNAUDITED)
<TABLE>
<CAPTION>
NET INCREASE/
NET REALIZED AND (DECREASE)
NET UNREALIZED IN NET ASSETS
INVESTMENT INVESTMENT GAIN/(LOSS) RESULTING FROM
INCOME INCOME ON INVESTMENTS OPERATIONS
--------------- --------------- ----------------- ----------------
TOTAL PER TOTAL PER TOTAL PER TOTAL PER
(000) SHARE (000) SHARE (000) SHARE (000) SHARE
------ ----- ------ ----- ------- ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1997 -- QUARTER ENDED
March 31, 1997........... $1,389 $0.24 $1,059 $0.19 $ (236) $(0.04) $ 822 $ 0.14
June 30, 1997............ 1,465 0.26 1,122 0.20 1,144 0.20 2,267 0.40
1996 -- QUARTER ENDED
March 31, 1996........... 1,419 0.25 1,100 0.20 1,406 0.25 2,506 0.45
June 30, 1996............ 1,368 0.24 1,035 0.18 (1,616) (0.29) (581) (0.11)
September 30, 1996....... 1,433 0.26 1,098 0.20 1,648 0.29 2,746 0.49
December 31, 1996........ 1,462 0.26 1,121 0.20 634 0.11 1,755 0.31
1995 -- QUARTER ENDED
March 31, 1995........... 1,435 0.26 1,092 0.20 1,203 0.22 2,295 0.42
June 30, 1995............ 1,422 0.26 1,028 0.19 1,073 0.19 2,101 0.38
September 30, 1995....... 1,410 0.26 1,072 0.20 (254) (0.04) 818 0.16
December 31, 1995........ 1,379 0.25 1,019 0.18 (843) (0.14) 176 0.04
</TABLE>
13
<PAGE>
CIM
- --------------------------------------------------------------------------------
HIGH YIELD SECURITIES
SEMI-ANNUAL REPORT
JUNE 30, 1997
This report is sent to
shareholders of CIM High Yield
Securities for their information.
It is not a Prospectus,
circular or representation
intended for use in the
purchase or sale of shares
of the Fund or of any securities
mentioned in the report.
