<PAGE>
- - --------------------------------------------------------------------------------
DEAR SHAREHOLDERS:
We are pleased to provide this report for CIGNA High Income Shares, covering
the quarter ended March 31, 1995.
MARKET SURGES AHEAD IN FIRST QUARTER
During the first quarter of 1995, the high-yield bond market turned in a robust
performance, primarily for two reasons: 1) with relatively few new offerings
issued versus last year at this time, new investment monies were applied to ex-
isting issues; and 2) cash continued to flow into open-end mutual funds.
The quarter was also marked by renewed investor confidence, as interest rates
generally declined, and evidence mounted that the economy is slowing and coming
in for a "soft landing."
FUND PERFORMANCE
The Fund shared in and even exceeded the overall success of the market, largely
because it stayed fully invested in bonds, and focused on those with stable and
improving credits. For the quarter, CIGNA High Income Shares returned +5.90%,
versus +4.71% for the CS First Boston High Yield Index.
PORTFOLIO ACTIVITY
Portfolio activity was heavy during this reporting period, with 9 new issues
added and 6 eliminated. Investment in new issues spanned a broad range of in-
dustries, while we stressed credit quality and industry segments benefiting
from the current economic cycle. Borrowing under the Fund's line of credit was
maintained below 33% of assets during this reporting period. On March 31,
borrowings were at approximately 28% of assets.
The portfolio continues to be well-diversified and currently is invested in 71
companies. As of March 31, top industry holdings consisted of industrials and
miscellaneous (22.5%), communications (22.1%), and food and beverages (9.3%).
Average maturity was 8.2 years and average credit quality was B.
OUTLOOK
We expect the economy to reaccelerate during the spring and summer which could
cause the Federal Reserve Bank to raise short-term interest rates by the fall.
While a strong economy is good news for the underlying credit quality of many
high-yield companies, inflation fears could cause the bond market to pause from
its strong rally in the first quarter.
Sincerely,
/s/ R. Bruce Albro
R. Bruce Albro, Chairman
CIGNA High Income Shares
May 4, 1995
1
<PAGE>
- - --------------------------------------------------------------------------------
CIGNA HIGH INCOME SHARES INVESTMENTS IN SECURITIES March 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE
(000) (000)
- - ------------------------------------------------------------------------------
<S> <C> <C>
BONDS AND NOTES - 131.2%
AUTO AND TRUCK - 3.1%
Aftermarket Technology Corp., 12%, 2004 $4,750 $ 4,994
JPS Automotive Products Corp., 11.125%, 2001 2,500 2,437
--------
7,431
--------
CHEMICALS - 9.2%
Agricultural Minerals and Chemicals, Inc., 10.75%, 2003 2,500 2,563
Arcadian Partners, L.P., 10.75%, 2005 4,000 3,930
Harris Chemical North America, Inc., 10.75%, 2003 6,000 5,700
LaRoche Industries, Inc., 13%, 2004 4,000 3,960
Polymer Group, Inc., 12.25%, 2002** 6,500 6,305
--------
22,458
--------
COMMUNICATIONS - 22.1%
Ackerly Communication, Inc., 10.75%, 2003 2,500 2,519
Adelphia Communications Corp., 12.5%, 2002 6,000 5,730
American Media Operations, Inc., 11.625%, 2004 4,700 4,959
Century Communications Corp., 11.875%, 2003 6,500 6,809
Garden State Newspapers, Inc., 12%, 2004 6,000 6,000
Katz Corp., 12.75%, 2002 5,000 5,225
Lamar Advertising Co., 11%, 2003 3,395 3,310
Marcus Cable Co., L.P., 11.875%, 2005 5,500 5,280
Telex Communications, Inc., 12%, 2004 4,750 4,857
USA Mobile Communications, Inc. II, 9.5%, 2004 5,000 4,250
Videotron Group Ltd., 10.625%, 2005 4,750 4,821
--------
53,760
--------
CONTAINERS AND PAPER - 19.6%
Applied Extrusions Technologies, Inc., 11.5%, 2002 6,462 6,591
Calmar Spraying Systems, Inc., 14%, 1999 5,000 5,075
Container Corp. of America, 11.25%, 2004 2,000 2,095
Indah Kiat International Finance Company B.V., 12.5%, 2006 5,000 4,850
Ivex Packaging Corp., 12.5%, 2002 5,500 5,747
S. D. Warren Co., 12%, 2004** 6,000 6,330
Silgan Corp., 11.75%, 2002 6,400 6,688
Stone Container Corp., 10.75%, 2002 6,000 6,180
U.S. Can Co., 13.5%, 2002 3,750 4,134
--------
47,690
--------
</TABLE>
The Notes to Financial Statements are an
integral part of these statements.
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE
(000) (000)
- - ------------------------------------------------------------------
<S> <C> <C>
ENTERTAINMENT - 6.7%
Bally's Grand, Inc., 10.375%, 2003 $6,000 $ 5,625
Harrah's Jazz Co., 14.25%, 2001 5,500 5,885
Plitt Theatres, Inc., 10.875%, 2004 4,910 4,849
--------
16,359
--------
FINANCIAL - 8.9%
Affinity Group, Inc., 11.5%, 2003 5,000 4,900
American Life Holding Co., 11.25%, 2004 5,500 5,473
Comdata Network, Inc., 13.25%, 2002 4,500 4,905
GPA Delaware, Inc., 8.75%, 1998 6,100 4,834
Life Partners Group, Inc., 12.75%, 2002 1,500 1,620
--------
21,732
--------
FOOD AND BEVERAGES - 9.3%
Curtice Burns Foods, Inc., 12.25%, 2005 4,750 4,845
Flagstar Corp., 11.25%, 2004 5,000 4,200
Pathmark Stores, Inc.,
11.625%, 2002 3,750 3,787
12.625%, 2002 2,800 2,940
Seven Up/RC Bottling Co., 11.5%, 1999 3,000 2,595
Star Markets Co., Inc., 13%, 2004 4,000 4,160
--------
22,527
--------
HEALTH CARE - 7.5%
Dade Int'l, Inc., 13%, 2005** 5,000 5,125
General Medical Corp., 10.875%, 2003 4,000 3,930
OrNda HealthCorp., 11.375%, 2004 3,500 3,719
Thrifty Payless, Inc., 12.25%, 2004 5,500 5,555
--------
18,329
--------
INDUSTRIAL AND MISCELLANEOUS - 22.5%
Allied Waste Industries, Inc., 10.75%, 2004 5,875 5,904
Americold Corp.,
11%, 1997 5,850 4,592
11.5%, 2005 1,750 1,601
Energy Ventures, Inc., 10.25%, 2004 5,000 4,925
Foamex L.P. 11.875%, 2004 5,750 5,577
Interlake Corp., 12.125%, 2002 5,025 4,899
K & F Industries, Inc., 13.75%, 2001 6,000 5,970
Mid-American Waste Systems, Inc., 12.25%, 2003 6,000 6,120
Primeco, Inc., 12.75%, 2005 5,000 5,025
Solon Automated Services, Inc., 12.75%, 2001 5,000 4,913
Waters Corp., 12.75%, 2004 5,250 5,381
--------
54,907
--------
</TABLE>
2
<PAGE>
- - -------------------------------------------------------------------------------
CIGNA HIGH INCOME SHARES INVESTMENTS IN SECURITIES March 31, 1995 (Unaudited)
(Continued)
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE
(000) (000)
- - ------------------------------------------------------------------------------
<S> <C> <C>
METALS - 9.0%
Geneva Steel Co., 11.125%, 2001 $2,500 $ 2,269
GS Technologies Operating Co., Inc., 12%, 2004 5,150 5,192
Jorgensen (Earle M.) Co., 10.75%, 2000 3,750 3,628
Kaiser Aluminum & Chemical Corp., 12.75%, 2003 5,500 5,693
UCAR Global Enterprises, Inc., 12%, 2005** 5,000 5,250
--------
22,032
--------
TEXTILES - 5.0%
Dan River, Inc., 10.125%, 2003 5,250 4,974
Synthetic Industries, Inc., 12.75%, 2002 4,500 4,320
Tultex Corp., 10.625%, 2005 3,000 3,000
--------
12,294
--------
TRANSPORTATION - 2.2%
Sea Containers Ltd.,
Series A, 12.5%, 2004 3,500 3,736
Series B, 12.5%, 2004 1,500 1,522
--------
5,258
--------
UTILITIES - 6.1%
Kenetech Corp., 12.75%, 2002 6,365 6,604
Petroleum Heat & Power, Inc., 12.25%, 2005 5,500 5,693
Southeastern Public Service Co., 11.875%, 1998 2,471 2,471
--------
14,768
--------
TOTAL BONDS AND NOTES
(Cost - $318,942,375) 319,545
--------
UNITS - 4.4%
Berry Plastics Corp., 12.25%, 2004
(each $1,000 unit includes one warrant for Class A Common
Stock) 5,500 5,404
Icon Health & Fitness, Inc., 13%, 2002**
(each $1,000 unit includes 0.19753 warrants for Class A
Common Stock and 0.19753 warrants of Class L Common Stock
of IHF Capital, Inc.) 5,000 5,325
--------
TOTAL UNITS
(Cost - $10,542,840) 10,729
--------
</TABLE>
The Notes to Financial Statements are an
integral part of these statements.
<TABLE>
<CAPTION>
MARKET
NUMBER OF VALUE
SHARES (000)
- - ------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK - 0.1%
(Cost - $266,665)
Thrifty Payless Holdings, Inc., Class C* 47,500 $ 208
--------
WARRANTS
BPC Holdings Corp., Exp. 2004* 5,500 76
Foodmaker, Inc., Exp. 1998* 4,500 41
Payless Cashways, Inc., Exp. 1996* 3,000 6
--------
TOTAL WARRANTS
(Cost - $183,750) 123
--------
TOTAL INVESTMENTS IN SECURITIES - 135.7%
(Total Cost - $329,935,630) 330,605
Liabilities, Less Cash and Other Assets - (35.7%) (87,010)
--------
NET ASSETS - 100% (equivalent to $6.84 per share based on
35,618,743 shares outstanding) $243,595
========
</TABLE>
* Non-income producing securities.
** Indicates restricted security; the aggregate fair value of restricted
securities is $28,335,000 (aggregate cost $27,600,840) which is
approximately 11.6% of net assets. Valuations have been furnished by
brokers trading in the securities or a pricing service for all restricted
securities.
PORTFOLIO COMPOSITION (UNAUDITED)
MARCH 31, 1995
<TABLE>
<CAPTION>
MARKET % OF
QUALITY RATINGS* OF VALUE MARKET
LONG TERM BONDS (000) VALUE
- - ---------------------------------------
<S> <C> <C>
Ba/BB $ 39,114 11.8%
B/B 282,457 86.5%
Below B 9,034 2.7%
-------- ------
$330,605 100.0%
======== ======
</TABLE>
*The higher of Moody's or Standard & Poor's Ratings.
3
<PAGE>
- - --------------------------------------------------------------------------------
CIGNA HIGH INCOME SHARES
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
(IN THOUSANDS)
--------------
<S> <C>
ASSETS:
Investments at market value (Cost - $329,935,630) $330,605
Cash on deposit with custodian 6
Interest receivable 10,789
Receivable for investments sold 5,529
Investment for deferred compensation plan
(Cost - $40,554) 44
--------
TOTAL ASSETS 346,973
--------
LIABILITIES:
Loan payable 95,700
Dividend payable April 10, 1995 at $.0675 per share 2,404
Payable for securities purchased 4,231
Accrued interest payable 697
Accrued advisory fees payable 181
Accrued trustees' fees payable 44
Other accrued expenses (including $41,324 due to affiliate) 121
--------
TOTAL LIABILITIES 103,378
--------
NET ASSETS (Equivalent to $6.84 per share based on 35,618,743
shares of beneficial interest outstanding; unlimited number of
shares authorized) $243,595
========
COMPONENTS OF NET ASSETS:
Paid in capital $310,547
Undistributed net investment income 411
Unrealized appreciation of investments 671
Accumulated net realized loss (68,034)
--------
NET ASSETS $243,595
========
</TABLE>
The Notes to Financial Statements are an
integral part of these statements.
STATEMENT OF OPERATIONS
FOR THE THREE MONTHS ENDED MARCH 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
(IN THOUSANDS)
--------------
<S> <C> <C>
INVESTMENT INCOME
INCOME:
Interest $ 9,853
EXPENSES:
Interest expense $1,737
Investment advisory fee 533
Shareholder reports 33
Administrative services 46
Auditing and legal fees 20
Custodian fees and expenses 21
Transfer agent fees and expenses 12
Trustees' fees 6
Other 21 2,429
------ -------
NET INVESTMENT INCOME 7,424
-------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized loss from investments (442)
Unrealized appreciation on investments 9,056
-------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 8,614
-------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $16,038
=======
</TABLE>
4
<PAGE>
- - --------------------------------------------------------------------------------
CIGNA HIGH INCOME SHARES
STATEMENT OF CHANGES IN NET ASSETS (Unaudited)
<TABLE>
<CAPTION>
THREE MONTHS YEAR ENDED
ENDED DECEMBER 31,
MARCH 31, 1995 1994
-------------- ------------
(IN THOUSANDS)
---------------------------
<S> <C> <C>
OPERATIONS:
Net investment income $ 7,424 $ 26,530
Net realized loss from investments (442) (1,621)
Unrealized appreciation (depreciation) on
investments 9,056 (26,147)
-------- --------
Net increase (decrease) in net assets from
operations 16,038 (1,238)
-------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income ($.2025 per share and
$.8802 per share, respectively) (7,200) (27,039)
In excess of net investment income ($.0198 per
share) -- (607)
-------- --------
Total distributions to shareholders (7,200) (27,646)
-------- --------
CAPITAL SHARE TRANSACTIONS:
Proceeds from 8,748,477 capital shares issued
pursuant to rights offering (excluding related
expenses of $334,529) -- 61,430
Net increase from 193,689 and 733,209 capital
shares issued to shareholders in reinvestment of
distributions, respectively 1,303 5,419
-------- --------
Net increase from capital share transactions 1,303 66,849
-------- --------
Net increase in net assets 10,141 37,965
NET ASSETS:
Beginning of period 233,454 195,489
-------- --------
End of period (Including undistributed net
investment income of $410,573 and $187,175,
respectively) $243,595 $233,454
======== ========
</TABLE>
The Notes to Financial Statements are an
integral part of these statements.
STATEMENT OF CASH FLOWS
FOR THE THREE MONTHS ENDED MARCH 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
(IN THOUSANDS)
--------------
<S> <C>
CASH FLOWS FROM INVESTING AND OPERATING ACTIVITIES:
Purchases of portfolio securities $(46,462)
Proceeds from sales of portfolio securities 42,670
Investment income received 7,646
Investment and administrative expenses paid (672)
Interest paid (2,027)
--------
Cash flows provided by investing and operating activities 1,155
--------
CASH FLOWS FROM SHAREHOLDER AND OTHER FINANCING ACTIVITIES:
Distributions to shareholders (net of reinvestment of
$1,302,984) (6,150)
Funds to increase borrowing 5,000
--------
Cash flows used by shareholder and other financing activities (1,150)
--------
Net Increase in Cash 5
Cash, beginning of period 1
--------
Cash, end of period $ 6
========
RECONCILIATION OF NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS TO NET INCREASE IN CASH PROVIDED BY INVESTING AND
OPERATING ACTIVITIES:
Net increase in net assets resulting from operations $ 16,038
Increase in value of investments (11,552)
Change in receivables and liabilities exclusive of loan and
dividend payable (3,331)
--------
Net Cash Provided by Investing and Operating Activities $ 1,155
========
</TABLE>
5
<PAGE>
- - -------------------------------------------------------------------------------
CIGNA HIGH INCOME SHARES NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES. CIGNA High Income Shares (the "Fund") is
registered under the Investment Company Act of 1940, as amended, as a diversi-
fied, closed-end management investment company. The Fund invests in securities
and distributes dividends from net investment income and net realized gains
which are paid in cash or are reinvested at the discretion of shareholders.
These activities are reported in the Statement of Changes in Net Assets, and
additional information on the Fund's financial transactions which have been
settled through the receipt and disbursement of cash is presented in the
Statement of Cash Flows. The cash amount shown in the Statement of Cash Flows
is the amount reported as cash in the Statement of Assets and Liabilities.
This cash amount represents cash on hand in the custodian bank account. The
following is a summary of significant accounting policies consistently fol-
lowed by the Fund in the preparation of financial statements.
A. SECURITY VALUATION -- Debt securities traded in the over-the-counter mar-
ket, including listed securities whose primary markets are believed to be
over-the-counter, are valued on the basis of valuations furnished by brokers
trading in the securities or a pricing service, which determines valuations
for normal, institutional-size trading units of such securities using market
information, transactions for comparable securities and various relationships
between securities which are generally recognized by institutional traders.
Short-term investments with remaining maturities of up to and including 60
days are valued at amortized cost, which approximates market. Short-term in-
vestments that mature in more than 60 days are valued at current market quota-
tions. Other securities and assets of the Fund are appraised at fair value as
determined in good faith by, or under the authority of, the Fund's Board of
Trustees.
B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME -- Security transac-
tions are accounted for on the trade date (date the order to buy or sell is
executed). Dividend income is recorded on the ex-dividend date, and interest
income is recorded on the accrual basis. The Fund does not amortize premiums
or discounts for book purposes, except for original issue discounts which are
amortized over the life of the respective securities. Securities gains and
losses are determined on the basis of identified cost. The cost for Federal
income tax purposes is substantially the same.
C. FEDERAL TAXES -- It is the Fund's policy to continue to comply with the re-
quirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute all of its taxable income and capital gains to its
shareholders. Therefore, no Federal income or excise taxes on realized income
have been accrued.
D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions
are recorded by the Fund on the ex-dividend date. Payments in excess of finan-
cial accounting income due to differences between financial and tax account-
ing, to meet the minimum distribution requirements for tax basis income, are
deducted from paid in capital when such differences are determined to be per-
manent.
2. BANK LOANS. The Fund has a revolving credit agreement with unrelated third
party lenders which will generally enable the Fund to borrow up to the lesser
of (A) $101,300,000 or (B) one-third of the Fund's Eligible Assets. The agree-
ment matures on May 1, 1997. Prior to maturity, principal is repayable in
whole or in part at the option of the Fund. In connection with the agreement,
the Fund has granted the lenders a first lien on all of its investment securi-
ties and cash, which will be enforceable in an amount of up to one-third of
the aggregate value of the investment securities and cash of the Fund.
Borrowings under this agreement bear interest at a variable rate tied to one
of several short-term rates that the Fund may select from time to time. The
average
6
<PAGE>
- - -------------------------------------------------------------------------------
CIGNA HIGH INCOME SHARES NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
borrowings outstanding during the three months ended March 31, 1995 were
$92,900,000 at an average interest rate of approximately 7.20%. As of March
31, 1995, the Fund was paying interest at an average annual rate of 7.45% on
its outstanding borrowings.
3. DIVIDENDS. The Board of Trustees of the Fund declared a dividend from un-
distributed net investment income of $.0675 per share, payable May 10, 1995 to
shareholders of record on April 28, 1995.
4. INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES. Investment
advisory fees were paid or accrued to CIGNA Investments, Inc. (CII), certain
officers and directors of which are affiliated with the Fund. Such advisory
fees are based on an annual rate of 0.75% of the first $200 million of the
Fund's average weekly total asset value and 0.5% thereafter.
The Fund reimburses CII for a portion of the compensation and related expenses
of the Fund's Treasurer and Secretary and certain persons who assist in carry-
ing out the responsibilities of those offices. For the three months ended
March 31, 1995, the Fund paid or accrued $46,092.
5. TRUSTEES' FEES. Trustees' fees represent remuneration paid or accrued to
trustees who are not employees of CIGNA Corporation or any of its affiliates.
Trustees may elect to defer receipt of all or a portion of their fees which
are invested in mutual fund shares in accordance with a deferred compensation
plan.
6. PURCHASES AND SALES OF SECURITIES. Purchases and sales of securities (ex-
cluding short-term obligations) for the three months ended March 31, 1995 were
$45,149,250 and $42,215,969, respectively.
7. CAPITAL LOSS CARRYOVER. At December 31, 1994, the Fund had a capital loss
carryover for Federal income tax purposes of $64,143,574 of which $30,367,908,
$30,071,289, and $3,704,377 expire in 1998, 1999 and 2000, respectively. To
the extent that these losses are used to offset any future capital gains real-
ized during the carryover period, no capital gains tax liability will be in-
curred by the Fund for gains realized and not distributed. It is unlikely that
the gains so offset would be distributed to shareholders because such distri-
butions may be taxable to the Fund's shareholders as ordinary income.
At March 31, 1995, unrealized appreciation for Federal income tax purposes ag-
gregated $669,163 of which $6,211,803 related to appreciated securities and
$5,542,640 related to depreciated securities.
8. RIGHTS OFFERING. On June 24, 1994, the Fund received primary and over-sub-
scription requests totaling approximately 125% of the 8,748,477 shares offered
in a Rights Offering. The terms of the Rights Offering stated that the Sub-
scription Price per share would be the net asset value per share at the close
of business on June 24, 1994. On that day, the Fund's net asset value per
share, and therefore the Subscription Price, was $7.06.
Not all holders of record fully exercised their rights in the primary sub-
scription, and shares were available pursuant to the over-subscription privi-
lege. However, requests for such over-subscription shares exceeded the shares
available. Accordingly, after all primary subscription requests had been sat-
isfied, the remaining shares were allocated among the over-subscribers in pro-
portion to the total number of shares owned by these holders on May 25, 1994,
the Record Date.
7
<PAGE>
- - -------------------------------------------------------------------------------
CIGNA HIGH INCOME SHARES NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
9. FINANCIAL HIGHLIGHTS. The following table includes data, ratios and supple-
mental data for a share outstanding throughout each period and other perfor-
mance information:
- - -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
3 MOS.
ENDED
MAR. 31, YEAR ENDED DECEMBER 31,
1995 1994 1993 1992 1991 1990
- - ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PER-
FORMANCE:
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 6.59 $ 7.54 $ 6.99 $ 6.62 $ 4.73 $ 7.41
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income
(1) 0.21 0.86 0.97 0.98 0.94 1.04
Net realized and
unrealized gains (loss-
es) 0.24 (0.91) 0.58 0.40 1.91 (2.66)
-------- -------- -------- -------- -------- --------
TOTAL FROM INVESTMENT
OPERATIONS 0.45 (0.05) 1.55 1.38 2.85 (1.62)
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Distributions from net
investment income (0.20) (0.88) (0.97) (0.98) (0.94) (1.04)
Distributions in excess
of net investment in-
come -- (0.02) (0.03) (0.03) (0.02) (0.02)(3)
-------- -------- -------- -------- -------- --------
TOTAL DISTRIBUTIONS (0.20) (0.90) (1.00) (1.01) (0.96) (1.06)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF
PERIOD $ 6.84 $ 6.59 $ 7.54 $ 6.99 $ 6.62 $ 4.73
======== ======== ======== ======== ======== ========
MARKET VALUE, END OF PE-
RIOD $ 7.25 $ 7.00 $ 8.38 $ 7.88 $ 7.25 $ 4.00
======== ======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN:
Per share market value 6.68% (6.43)% 19.62% 24.36% 111.31% (38.06)%
Per share net asset
value (2) 6.95% (0.76)% 23.25% 21.65% 64.13% (23.76)%
RATIOS AND SUPPLEMENTAL
DATA:
Net assets, end of pe-
riod (000 omitted) $243,595 $233,454 $195,489 $176,974 $163,173 $127,414
Ratio of operating ex-
penses to average net
assets 1.15%* 1.17% 1.21% 1.20% 1.26% 1.34%
Ratio of interest ex-
pense to average net
assets 2.94%* 2.10% 1.66% 1.91% 2.79% 4.00%
Ratio of net investment
income to average net
assets 12.56%* 12.33% 12.98% 13.81% 15.49% 16.98%
Portfolio turnover 13% 72% 48% 45% 35% 14%
</TABLE>
(1) Net investment income per share has been calculated in accordance with SEC
requirements with the exception that end of year accumulated
undistributed/(overdistributed) net investment income has not been
adjusted to reflect current year permanent differences between financial
and tax accounting.
(2) Total investment return based on per share net asset value reflects the
effects of changes in net asset value on the performance of the Fund
during each period, and assumes distributions were reinvested at net asset
value. These percentages do not correspond with the performance of a
shareholder's investment in the Fund based on market value since the
relationship between the market price of the stock and net asset value
varied during each period.
(3) Restated for consistency with current accounting standards. Originally
reported as a distribution from paid-in capital.
* Annualized.
8
<PAGE>
- - --------------------------------------------------------------------------------
CIGNA HIGH INCOME SHARES NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
10. QUARTERLY RESULTS (UNAUDITED). The following is a summary of quarterly
results of operations:
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET REALIZED AND
UNREALIZED GAIN (LOSS)
PERIOD INVESTMENT INCOME NET INVESTMENT INCOME ON INVESTMENTS NET ASSETS
ENDED TOTAL PER SHARE TOTAL PER SHARE TOTAL PER SHARE INCREASE (DECR.) PER SHARE
- - -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
March 31, 1993 $ 7,643 $ .20 $ 6,254 $ .25 $ 9,627 $ .39 $11,770 $ .41
June 30, 1993 7,514 .20 6,171 .24 3,805 .15 5,354 .17
September 30, 1993 7,604 .29 6,214 .24 (1,773) (.05) (206) (.05)
December 31, 1993 7,600 .29 6,215 .24 2,846 .10 1,597 .02
March 31, 1994 7,437 .28 6,046 .23 (6,381) (.26) (4,533) (.24)
June 30, 1994 7,366 .28 5,868 .23 (6,952) (.24) (7,825) (.24)
September 30, 1994 9,401 .27 7,444 .20 (3,486) (.07) 58,762 (.09)
December 31, 1994 9,361 .26 7,164 .20 (5,949) (.25) (8,439) (2.8)
March 31, 1995 9,853 .28 7,424 .21 8,614 .24 10,141 .25
</TABLE>
9
<PAGE>
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CIGNA HIGH INCOME SHARES
TRUSTEES
OFFICERS
R. Bruce Albro
Senior Managing Director Paul J. McDonald R. Bruce Albro
CIGNA Investments, Inc. Executive Vice President, Chairman of the
Finance and Chief Financial Board and President
Officer, Friendly Ice Cream
Corporation Alfred A. Bingham III
Vice President and
Hugh R. Beath Arthur C. Reeds III Treasurer
Managing Director, President, CIGNA
AdMedia Corporate Advisors, Management and CIGNA Lawrence S. Harris
Inc. Investment Vice President
Investments, Inc.
Russell H. Jones Alan C. Petersen
Vice President, Vice President
Kaman Corporation
Jeffrey S. Winer
Vice President and
Secretary
- - -------------------------------------------------------------------------------
CIGNA High Income Shares is a closed-end, diversified management investment
company that invests primarily in high yield fixed-income securities. The in-
vestment adviser is CIGNA Investments, Inc., Hartford, Connecticut 06152.
Shareholders may elect to have dividends automatically reinvested in addi-
tional shares of CIGNA High Income Shares by participating in the Automatic
Dividend Investment Plan. For a brochure describing this Plan or general in-
quiries about your account, contact State Street Bank and Trust Company, Stock
Transfer Department, P.O. Box 8200, Boston, Massachusetts, 02266-8200, or call
toll-free 1-800-426-5523.
<PAGE>
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[LOGO OF CIGNA APPEARS HERE] BULK RATE
U.S. POSTAGE
CIGNA High Income Shares PAID
1380 Main Street SO. HACKENSACK, NJ
Springfield, MA 01103 PERMIT 750
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Printed on recycled paper
[LOGO OF CIGNA APPEARS HERE]
CIGNA High Income Shares
First Quarter Report
March 31,1995
