<Page>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: 811- 5468
Exact name of registrant as specified in charter: The High Yield Plus
Fund, Inc.
Address of principal executive offices: Gateway Center 3
100 Mulberry Street
Newark, New Jersey 07102
Name and address of agent for service: Lori Bostrom
Gateway Center 3
100 Mulberry Street
Newark, New Jersey 07102
Registrant's telephone number, including area code: 973-367-1495
Date of fiscal year end: March 31, 2004
Date of reporting period: September 30, 2003
<Page>
Item 1 -- Reports to Stockholders
<Page>
The
High Yield
Plus Fund,
Inc.
SEMI-
ANNUAL
REPORT
September 30, 2003
<Page>
Letter To Shareholders October 27, 2003
Dear Shareholder:
The high yield market returned 13.2% for the fiscal first half ended
September 30th as measured by the Lehman Brothers High Yield Index. High
yield thus significantly outperformed investment grade bonds, which returned
2.4% over the same period, as measured by the Lehman Brothers Aggregate
Index. An accommodating Federal Reserve, clear signs of an improving
economy, corporate balance sheet repair, improved access to capital,
declining default rates, and an attractive yield have boosted the high yield
market this year.
Although the high yield market is now trading inside its 5 and 10 year
historical averages, we remain upbeat about the prospects for high yield as
fundamentals remain strong. Moody's 5.7% issuer default rate for September
is the lowest default rate we have seen since November of 2000. The rating
agency predicts default rates will drop to 3.9% by September of 2004.
Declining default rates, signs of renewed earnings growth, and improved
balance sheets in this low nominal interest rate environment bode well for
high yield going forward.
We have seen record-breaking demand for high yield this calendar year as
evidenced by the fact that $16.5 billion has flowed into high yield mutual
funds year-to-date, nearly five times the $3.4 billion reported for the same
period last year, as measured by AMG Data Services. New issuance struggled
to keep up with demand this year until July, when a supply of new issuance
flooded the market just as demand eased. The forward calendar slowed in
August, however, and with it the number of lower-quality issues that were
choking the market by the end of July.
Lower-quality credits have continued to outperform the higher-quality segment
of the market over the last six months, although the gap is narrowing between
the two as the amount of distressed credits in the market declines.
Distressed bonds, which constituted 12% of the market at the start of the
calendar year, have now shrunk to 1% of the total market. This is evidenced
by the fact that over the fiscal first half, double-B rated bonds returned
9.5%, while single-B rated bonds returned 11.4%, and triple-C rated bonds
returned 23.9%, due mainly to capital appreciation.
TOTAL RETURNS
For Periods Ended March 31, 2003
6 Months 1 Year 2 Years*
High Yield Plus Fund (NAV)(1.) 15.9% 40.9% 11.1%
Lipper CEHY -- Leveraged 19.0 41.5 14.7
* Annualized
1 Represents NAV-based performance calculation as provided by Lipper
Analytical Services, Inc. Past performance is no guarantee of future results.
Returns based on market performance of the Fund's shares would be different.
Fund Performance
The Fund's total returns for periods ended September 30, 2003 are shown on
the table above. For comparison, we have also provided the returns of the
Lipper Closed-End Leveraged High Yield category, an average of 26 closed-end
high yield leveraged funds; we
- --------------------------------------------------------------------------------
-1-
<Page>
would note that the degree of leverage varies substantially amongst the
funds in the group.
The Fund is leveraged and has a $35 million credit line provided by Fleet
National Bank as of September 30, 2003. The Fund had drawn $26 million on
the line at quarter end; this reflects an increase of $5 million since the
Fund's prior fiscal year-end. Borrowings fluctuate depending on investment
outlook and opportunities. As of September 30, 2003, the Fund's shares were
priced at $4.05. This price reflected a premium of 6.0% to the Fund's net
asset value of $3.82 per share. (The average premium of the funds in the
Lipper Leveraged Closed End universe was 4.7% as of September 30, 2003.) The
Fund's monthly dividend rate of $0.035 per share equates to an annualized
yield of 10.4% relative to the stock price. This yield was significantly in
excess of the US 10-Year Treasury rate of 3.9% on September 30, 2003.
Among the industries that added the most value to the Fund on an absolute
basis during the first half of the fiscal year were Utilities, Technology,
Automotive, Telecommunications and Transportation. Utilities and
Telecommunications benefited from improved access to capital, leading to
added liquidity and balance sheet repair. Automotive, Technology and
Transportation each improved in anticipation of a cyclical improvement in the
economy. Many of the sectors that lagged in the period were those
characterized by lower yields and more stable operating metrics such as Food,
Consumer Products, Environmental and Home Construction. The only sector that
provided a negative return in the period was Textiles in which the Fund held
only a 1% position.
Relative to a broad market index such as the Lehman Brothers High Yield
Index, the Fund outperformed in the Technology, Automotive and Pharmaceutical
sectors due mainly to positive security selection within those sectors.
Underperforming industries, however, more than offset the outperformers on a
relative basis during the period. Relative underperformers include Cable,
Utilities and Telecommunications. Despite positive absolute returns in these
sectors, as mentioned above, the Fund, with a primary focus on income
generation, was not aggressively positioned in the more distressed segment of
these industries and therefore lagged as they rallied off of low levels
While spreads have compressed significantly this year, valuation of the high
yield market remains attractive on a relative basis. Low absolute yields
will temper further dramatic capital appreciation, but fundamental and
technical drivers remain positive. We believe that the second half of the
fiscal year should be positive for the high yield market.
Our focus continues to be on seeking out attractive yields in the high yield
market while minimizing credit losses. We expect defaults to continue to
decline going forward, and with this decline, the risk premium associated
with high yield bonds should continue to narrow. The Fund remains positioned
to capture the beneficial effects of an improving economy.
As always, we appreciate your interest in the Fund.
Sincerely yours,
Earl McEvoy
Portfolio Manager
Senior Vice President
Wellington Management Company, LLP
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-2-
<Page>
Portfolio of Investments as of September 30, 2003 (Unaudited)
THE HIGH YIELD PLUS FUND, INC.
- --------------------------------------------------------------------------------
<Table>
<Caption>
Principal
Moody's Interest Maturity Amount Value
Description Rating Rate Date (000) (Note 1)
- ------------------------------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS--138.9%
CORPORATE BONDS--138.9%
- ------------------------------------------------------------------------------------------------------------------------------
Aerospace/Defense--1.9%
Argo-Technology Corp., Gtd. Notes B3 8.625% 10/1/07 $ 600 $ 582,000
Sequa Corp., Sr. Notes B1 9.00 8/1/09 500 547,500
------------
1,129,500
- ------------------------------------------------------------------------------------------------------------------------------
Automotive--6.8%
Accruride Corp., Sr. Sub. Notes, Ser. B Caa1 9.25 2/1/08 1,150 1,147,125
Advanced Accessory Systems LLC, Sr. Notes B2 10.75 6/15/11 135 145,125
Dana Corp.,
Notes Ba3 10.125 3/15/10 75 83,812
Notes Ba3 9.00 8/15/11 475 520,125
Delco Remy International, Inc.,
Sr. Notes B3 10.625 8/1/06 95 90,013
Sr. Notes B3 8.625 12/15/07 174 171,390
Dura Operating Corp., Sr. Sub. Notes, Ser. D B2 9.00 5/1/09 370 344,100
Goodyear Tire & Rubber Co.,
Notes B1 8.50 3/15/07 55 51,700
Notes B1 7.857 8/15/11 510 428,400
Lear Corp., Sr. Sub. Notes, Ser. B Ba1 8.11 5/15/09 365 419,750
Navistar International Corp., Gtd. Notes, Ser. B Ba3 9.375 6/1/06 195 212,794
Tenneco Automotive, Inc.,
Sr. Notes, Ser. B Caa1 11.625 10/15/09 130 128,050
Sr. Notes Caa1 10.25 7/15/13 120 130,200
TRW Automative, Inc., Sr. Sub. Notes B2 11.00 2/15/13 210 244,650
------------
4,117,234
- ------------------------------------------------------------------------------------------------------------------------------
Cable--6.6%
Charter Communications Holdings LLC,
Sr. Notes Ca 10.75 10/1/09 755 617,213
Sr. Notes Ca 9.625 11/15/09 450 347,625
Sr. Notes Ca 11.125 1/15/11 285 232,987
CSC Holdings Corp., Sr. Notes, Ser. B B1 8.125 7/15/09 720 741,600
Insight Midwest L.P., Sr. Notes B2 10.50 11/1/10 1,100 1,149,500
Mediacom Broadband LLC, Gtd. Notes B2 11.00 7/15/13 725 763,062
Rogers Cable, Inc., Sr. Notes (Canada) Baa3 6.25 6/15/13 100 (b) 99,875
</Table>
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See Notes to Financial Statements. 3
<Page>
Portfolio of Investments as of September 30, 2003 (Unaudited)
THE HIGH YIELD PLUS FUND, INC.
- --------------------------------------------------------------------------------
<Table>
<Caption>
Principal
Moody's Interest Maturity Amount Value
Description Rating Rate Date (000) (Note 1)
- ------------------------------------------------------------------------------------------------------------------------------
Cable (cont'd.)
Shaw Communications, Inc., (Canada)
Sr. Notes Ba2 8.25% 4/11/10 $ 30 (b) $ 33,075
Sr. Notes Ba2 7.25 4/6/11 15 (b) 15,938
------------
4,000,875
- ------------------------------------------------------------------------------------------------------------------------------
Chemicals--5.4%
ARCO Chemical Co., Debs. Ba3 9.375 12/15/05 700 703,500
IMC Global, Inc., Sr. Sub. Notes, Ser. B B1 11.25 6/1/11 835 868,400
Lyondell Chemical Co., Sr. Sub. Notes B2 10.875 5/1/09 655 582,950
Methanex Corp., Sr. Notes (Canada) Ba1 8.75 8/15/12 135 (b) 145,125
Omnova Solutions, Inc., Sr. Sec'd. Notes B2 11.25 6/1/10 200 212,000
PolyOne Corp., Gtd. Notes B2 10.625 5/15/10 200 169,000
Resolution Performance Products, Inc., Sr. Sub. Notes Caa1 13.50 11/15/10 665 595,175
------------
3,276,150
- ------------------------------------------------------------------------------------------------------------------------------
Construction Machinery--1.9%
Case New Holland, Inc., Sr. Notes Ba2 9.25 8/1/11 635 682,625
United Rentals, Inc., Sr. Sub. Notes, Ser. B B2 9.00 4/1/09 400 414,000
Wabtec Corp., Sr. Notes Ba2 6.875 7/31/13 75 75,938
------------
1,172,563
- ------------------------------------------------------------------------------------------------------------------------------
Consumer Goods & Services--4.6%
Flour Corp., Notes Ba3 6.95 3/1/07 280 276,500
Icon Health & Fitness, Inc., Sr. Sub. Notes B3 11.25 4/1/12 500 536,250
Iron Mountain, Inc.,
Sr. Sub. Notes B2 8.25 7/1/11 425 442,000
Sr. Sub. Notes B2 7.75 1/15/15 150 154,875
Playtex Products, Inc., Sr. Sub. Notes B3 9.375 6/1/11 300 288,000
Rayovac Corp., Sr. Sub. Notes B3 8.50 10/1/13 210 216,300
Remington Arms Co., Gtd. Notes B2 10.50 2/1/11 295 302,375
Revlon Consumer Products, Inc., Sr. Sub. Notes Caa1 12.00 12/1/05 335 335,000
Service Corporation International, Inc., Notes B1 7.70 4/15/09 15 15,337
United Industries Corp., Sr. Sub. Notes, Ser. D B3 9.875 4/1/09 185 190,550
------------
2,757,187
- ------------------------------------------------------------------------------------------------------------------------------
Diversified Manufacturing--2.3%
Tyco International Group S.A., (Luxembourg)
Gtd. Notes Ba2 6.375 2/15/06 105 (b) 109,988
Gtd. Notes Ba2 5.80 8/1/06 60 (b) 62,250
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 4
<Page>
Portfolio of Investments as of September 30, 2003 (Unaudited)
THE HIGH YIELD PLUS FUND, INC.
- --------------------------------------------------------------------------------
<Table>
<Caption>
Principal
Moody's Interest Maturity Amount Value
Description Rating Rate Date (000) (Note 1)
- ------------------------------------------------------------------------------------------------------------------------------
Diversified Manufacturing (cont'd.)
Gtd. Notes Ba2 6.125% 1/15/09 $ 215 (b) $ 224,675
Gtd. Notes Ba2 6.75 2/15/11 110 (b) 116,050
Gtd. Notes Ba2 6.375 10/15/11 860 (b) 886,875
------------
1,399,838
- ------------------------------------------------------------------------------------------------------------------------------
Energy & Related Goods & Services--8.6%
Clark R&M, Inc., Sr. Notes Ba3 8.625 8/15/08 750 772,500
Energy Corporation of America, Sr. Sub. Notes, Ser. A Caa3 9.50 5/15/07 925 666,000
Forest Oil Corp., Sr. Notes Ba3 8.00 6/15/08 627 666,188
Frontier Oil Corp., Sr. Notes, Ser. A Ba3 9.125 2/15/06 375 386,250
Giant Industries, Inc., Sr. Sub. Notes B3 11.00 5/15/12 430 423,550
Parker Drilling Co., Sr. Sub. Notes, Ser. D B2 9.75 11/15/06 250 255,625
Pioneer Natural Resources Co., Sr. Notes Ba1 9.625 4/1/10 500 622,500
PREMCOR Refining Group, Inc., Sr. Notes Ba3 9.50 2/1/13 155 170,500
Tesoro Petroleum Corp.,
Sr. Sub. Notes B2 8.00 4/15/08 125 128,125
Sr. Sub. Notes B2 9.625 11/1/08 275 273,625
Sr. Sub. Notes B2 9.625 4/1/12 690 686,550
Tom Brown, Inc., Sr. Notes Ba3 7.25 9/15/13 45 46,575
Westport Resources Corp., Sr. Sub. Notes Ba3 8.25 11/1/11 60 65,550
------------
5,163,538
- ------------------------------------------------------------------------------------------------------------------------------
Environmental--2.4%
Allied Waste North America, Inc.,
Sr. Notes, Ser. B Ba3 7.625 1/1/06 600 627,000
Sr. Notes, Ser. B Ba3 8.50 12/1/08 450 486,000
Waste Management, Inc., Sr. Notes Baa3 7.375 8/1/10 300 350,689
------------
1,463,689
- ------------------------------------------------------------------------------------------------------------------------------
Financial Services--1.0%
CBRE Escrow, Inc., Sr. Notes B1 9.75 5/15/10 80 86,600
Fairfax Final Holdings Ltd., Notes (Canada) Ba2 7.375 3/16/06 485 (b) 485,000
------------
571,600
- ------------------------------------------------------------------------------------------------------------------------------
Food & Lodging--1.9%
Dole Food Co., Sr. Notes B2 8.875 3/15/11 150 159,750
Host Marriot L.P.,
Sr. Sub. Notes, Ser. I Ba3 9.50 1/15/07 715 782,925
Sr. Sub. Notes, Ser. G Ba3 9.25 10/1/07 210 229,163
------------
1,171,838
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 5
<Page>
Portfolio of Investments as of September 30, 2003 (Unaudited)
THE HIGH YIELD PLUS FUND, INC.
- --------------------------------------------------------------------------------
<Table>
<Caption>
Principal
Moody's Interest Maturity Amount Value
Description Rating Rate Date (000) (Note 1)
- ------------------------------------------------------------------------------------------------------------------------------
Gaming--4.6%
Harrah's Operating Co., Inc., Sr. Sub. Notes Ba1 7.875% 12/15/05 $ 375 $ 405,937
Mandalay Resort Group, Sr. Sub. Notes Ba3 9.375 2/15/10 375 430,313
MGM Mirage, Inc., Sr. Sub. Notes Ba1 8.50 9/15/10 700 787,500
Park Place Entertainment, Inc.,
Sr. Sub. Notes Ba2 8.125 5/15/11 355 382,512
Sr. Sub. Notes Ba2 7.00 4/15/13 135 139,556
Riviera Holdings Corp., Sr. Sec'd. Notes B2 11.00 6/15/10 625 619,531
------------
2,765,349
- ------------------------------------------------------------------------------------------------------------------------------
General Industrial--1.6%
Koppers, Inc., Sr. Sec'd. Notes B2 9.875 10/15/13 120 121,825
Thomas & Betts Corp., Notes Ba1 7.25 6/1/13 30 30,600
UCAR Finance, Inc., Gtd. Notes B3 10.25 2/15/12 125 136,562
WESCO Distribution, Inc., Sr. Sub. Notes, Ser. B B3 9.125 6/1/08 650 646,750
------------
935,737
- ------------------------------------------------------------------------------------------------------------------------------
Health Care--6.4%
Alaris Medical Systems, Inc., Sr. Sec'd. Notes B2 7.25 7/1/11 165 165,825
Apogent Technologies, Inc., Sr. Notes Baa2 6.50 5/15/13 60 61,500
Beverly Enterprises, Inc.,
Sr. Notes B1 9.00 2/15/06 500 507,500
Sr. Notes B1 9.625 4/15/09 485 515,313
ExtendiCare Health Services, Inc., Sr. Sub. Notes B3 9.35 12/15/07 110 113,300
HCA, Inc., Notes Ba1 6.30 10/1/12 700 713,457
Kinnetic Concepts, Inc., Sr. Sub. Notes B3 7.375 5/15/13 60 61,200
NDCHealth Corp., Sr. Sub. Notes B2 10.50 12/1/12 425 461,125
Omnicare, Inc., Sr. Sub. Notes Ba2 6.125 6/1/13 70 68,600
Radiologix, Inc., Sr. Notes B2 10.50 12/15/08 770 748,825
Sybron Dental Specialities, Inc., Sr. Sub. Notes B2 8.125 6/15/12 100 106,500
Universal Hospital Services, Inc., Sr. Sub. Notes B3 10.25 3/1/08 350 364,000
------------
3,887,145
- ------------------------------------------------------------------------------------------------------------------------------
Home Building & Real Estate--3.2%
Beazer Homes USA, Inc., Sr. Sub. Notes Ba2 8.625 5/15/11 100 108,000
Champion Enterprises, Inc., Sr. Sub. Notes B3 7.625 5/15/09 80 67,200
Champion Home Builders Co., Sr. Sub. Notes B2 11.25 4/15/07 60 61,800
D.R. Horton, Inc.,
Sr. Sub. Notes Ba2 9.75 9/15/10 110 123,750
Sr. Sub. Notes Ba2 9.375 3/15/11 500 545,000
Sr. Sub. Notes Ba2 6.875 5/1/13 200 201,000
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 6
<Page>
Portfolio of Investments as of September 30, 2003 (Unaudited)
THE HIGH YIELD PLUS FUND, INC.
- --------------------------------------------------------------------------------
<Table>
<Caption>
Principal
Moody's Interest Maturity Amount Value
Description Rating Rate Date (000) (Note 1)
- ------------------------------------------------------------------------------------------------------------------------------
Home Building & Real Estate (cont'd.)
Standard Pacific Corp.,
Sr. Notes Ba2 8.50% 6/15/07 $ 250 $ 256,875
Sr. Notes, Ser. A Ba2 8.00 2/15/08 575 595,125
------------
1,958,750
- ------------------------------------------------------------------------------------------------------------------------------
Media & Entertainment--14.0%
AdvanStar Communications, Inc., Sr. Sec'd. Notes B3 10.75 8/15/10 210 216,825
CanWest Media, Inc., Sr. Sub. Notes (Canada) B2 10.625 5/15/11 350 (b) 397,250
Corus Entertainment, Inc., Sr. Sub. Notes (Canada) B1 8.75 3/1/12 205 (b) 223,450
Dex Media, Inc., Sr. Sub. Notes B3 9.875 8/15/13 605 683,650
EchoStar DBS Corp., Sr. Notes B1 9.125 1/15/09 607 687,427
Houton Mufflin Co., Sr. Notes B3 9.875 2/1/13 185 196,100
Lamar Media Corp., Sr. Sub. Notes Ba3 7.25 1/1/13 55 57,475
Lin Television Corp., Sr. Sub. Notes B2 6.50 5/13/13 260 252,850
LodgeNet Enterprises Corp., Sr. Sub. Debs. B3 9.50 6/15/13 140 148,400
Moore North American Finance Corp., Sr. Notes B1 7.875 1/15/11 155 164,688
Pegasus Satelite Communications, Inc., Sr. Notes Ca 12.375 8/1/06 225 180,000
PRIMEDIA, Inc., Sr. Notes B1 8.875 5/15/11 410 425,375
Quebecor Media, Inc., Sr. Notes (Canada) B2 11.125 7/15/11 1,050 (b) 1,197,000
RH Donnelly Finance Corp. I, Sr. Sub. Notes B2 10.875 12/15/12 455 536,900
Six Flags, Inc., Sr. Notes B2 9.75 4/15/13 520 488,800
Sinclair Broadcast Group, Inc., Sr. Sub. Notes B2 8.00 3/15/11 190 200,450
Time Warner, Inc., Debs. Baa1 9.125 1/15/13 425 540,053
Vivandi Universal S.A., Sr. Notes (France) B1 9.25 4/15/10 455 (b) 522,681
Von Hoffman Press, Inc.,
Gtd. Notes B3 10.375 5/15/07 550 552,750
Gtd. Notes B2 10.25 3/15/09 345 368,287
World Color Press, Inc., Sr. Sub. Notes Baa2 8.375 11/15/08 375 396,448
------------
8,436,859
- ------------------------------------------------------------------------------------------------------------------------------
Metals--4.3%
AK Steel Corp., Sr. Sub. Notes B1 7.875 2/15/09 1,080 772,200
Arch-Western Finance Corp., Sr. Notes Ba2 6.75 7/1/13 225 231,750
Century Aluminum Co., Sr. Sec'd. First Mtge. Notes Ba3 11.75 4/15/08 495 529,650
Numatics, Inc., Sr. Sub. Notes, Ser. B Caa2 9.625 4/1/08 160 118,400
Peabody Energy Corp., Sr. Sub. Notes, Ser. B Ba3 6.875 3/15/13 100 104,250
Steel Dynamics, Inc., Sr. Notes B2 9.50 3/15/09 65 69,550
United States Steel LLC, Sr. Notes Ba3 10.75 8/1/08 715 761,475
------------
2,587,275
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 7
<Page>
Portfolio of Investments as of September 30, 2003 (Unaudited)
THE HIGH YIELD PLUS FUND, INC.
- --------------------------------------------------------------------------------
<Table>
<Caption>
Principal
Moody's Interest Maturity Amount Value
Description Rating Rate Date (000) (Note 1)
- ------------------------------------------------------------------------------------------------------------------------------
Paper & Packaging--11.4%
Abiti-Consolidated, Inc., Debs. (Canada) Ba1 8.55% 8/1/10 $ 525 (b) $ 573,244
AEP Industries, Inc., Sr. Sub. Notes B3 9.875 11/15/07 225 220,500
Anchor Glass Container Corp., Sr. Sec'd. Notes B2 11.00 2/15/13 390 436,800
Bowater, Inc., Sr. Notes (Canada) Ba1 7.95 11/15/11 175 (b) 180,343
Caraustar Industries, Inc., Sr. Sub. Notes B2 9.875 4/1/11 675 661,500
Georgia-Pacific Corp.,
Sr. Notes Ba2 8.875 2/10/10 1,000 1,095,000
Sr. Notes Ba2 9.375 2/1/13 225 251,156
Jefferson Smurfit Corp., Sr. Sub. Notes B2 7.50 6/1/13 155 157,325
MDP Acquisitions PLC, Sr. Sub. Notes (Ireland) Caa2 9.625 10/1/12 135 (b) 147,825
Owens-Brockway Glass Container, Inc., Sr. Sec'd. Notes B1 8.875 2/15/09 815 867,975
Pacifica Papers, Inc., Sr. Notes (Canada) Ba2 10.00 3/15/09 750 (b) 795,000
Silgan Corp., Sr. Sub. Debs. B1 9.00 6/1/09 662 685,170
Stone Container Corp.,
Sr. Notes B2 9.25 2/1/08 450 489,375
Sr. Notes B2 8.375 7/1/12 325 341,250
------------
6,902,463
- ------------------------------------------------------------------------------------------------------------------------------
Pharmaceutical--1.1%
Athena Neurosciences Finance LLC, Gtd. Notes Caa2 7.25 2/21/08 835 676,350
- ------------------------------------------------------------------------------------------------------------------------------
Retail--3.4%
CSK Auto, Inc., Gtd. Notes B2 12.00 6/15/06 390 435,825
GAP, Inc., Notes Ba3 10.55 12/15/08 370 444,925
J.C. Penney, Inc.,
Sr. Notes Ba3 7.60 4/1/07 150 162,000
Sr. Notes Ba3 7.375 8/15/08 100 106,500
Rite Aid Corp.,
Gtd. Notes Caa2 7.125 1/15/07 790 799,875
Gtd. Notes Caa2 11.25 7/1/08 100 112,000
------------
2,061,125
- ------------------------------------------------------------------------------------------------------------------------------
Supermarkets--2.6%
Delhaize America, Inc., Gtd. Notes Ba1 8.125 4/15/11 370 407,000
Great Atlantic & Pacific Tea, Inc., Sr. Notes B3 9.125 12/15/11 810 761,400
Winn-Dixxie Stores, Inc., Sr. Notes Ba2 8.875 4/1/08 415 429,525
------------
1,597,925
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 8
<Page>
Portfolio of Investments as of September 30, 2003 (Unaudited)
THE HIGH YIELD PLUS FUND, INC.
- --------------------------------------------------------------------------------
<Table>
<Caption>
Principal
Moody's Interest Maturity Amount Value
Description Rating Rate Date (000) (Note 1)
- ------------------------------------------------------------------------------------------------------------------------------
Technology--8.8%
Amkor Technologies, Inc.,
Sr. Sub. Notes B3 10.50% 5/1/09 $ 750 $ 798,750
Sr. Sub. Notes B3 7.75 5/15/13 240 241,200
ASAT Finance LLC, Gtd. Notes B3 12.50 11/1/06 33 34,125
Avaya, Inc., Sr. Sec'd. Notes Ba2 11.25 4/1/09 595 688,713
Lucent Technologies, Inc.,
Notes Caa1 7.25 7/15/06 240 231,000
Notes Caa1 5.50 11/15/08 425 361,250
Nortel Networks Ltd., Notes (Canada) Ba3 6.125 2/15/06 645 (b) 648,225
Sanmina-SCI Corp., Sr. Sec'd. Notes Ba2 10.375 1/15/10 440 515,900
SCG Holdings Corp., Sr. Sub. Notes Caa2 12.00 8/1/09 690 719,325
Selectron Corp., Sr. Notes Ba3 9.625 2/15/09 255 281,138
Xerox Corp.,
Gtd. Notes B1 9.75 1/15/09 305 338,550
Gtd. Notes B1 7.625 6/15/13 450 443,813
------------
5,301,989
- ------------------------------------------------------------------------------------------------------------------------------
Telecommunications--13.5%
ACC Escrow Corp., Sr. Notes B2 10.00 8/1/11 200 215,000
Alaska Communications, Inc., Sr. Notes B2 9.875 8/15/11 190 193,800
American Tower Corp., Sr. Notes Caa1 9.375 2/1/09 285 290,700
Crown Castle International Corp.,
Sr. Notes B3 9.375 8/1/11 245 261,537
Sr. Notes B3 10.75 8/1/11 345 382,950
Fairpoint Communications, Inc., Sr. Notes B3 11.875 3/1/10 45 51,300
GCI, Inc., Sr. Notes B2 9.75 8/1/07 1,000 1,012,500
Nextel Communications, Inc.,
Sr. Notes B3 9.375 11/15/09 50 54,250
Sr. Notes B3 9.50 2/1/11 1,475 1,629,875
Nextel Partners, Inc., Sr. Notes Caa1 12.50 11/15/09 425 484,500
Qwest Capital Funding, Inc.,
Sr. Sub. Notes Caa2 7.90 8/15/10 250 227,500
Sr. Sub. Notes Caa2 7.25 2/15/11 700 623,000
Qwest Services Corp., Sr. Notes Caa1 14.00 2/15/14 670 805,675
Rogers Wireless, Inc., Sr. Sec'd. Notes (Canada) Baa3 9.625 5/1/11 450 (b) 517,500
Triton PCS, Inc.,
Sr. Sub. Notes B3 9.375 2/1/11 280 284,900
Sr. Sub. Notes B3 8.75 11/15/11 795 793,012
Western Wireless, Inc., Sr. Notes Caa2 9.25 7/15/13 210 214,200
U.S. West Capital Funding, Inc., Sr. Notes Ca1 6.375 7/15/08 100 88,500
------------
8,130,699
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 9
<Page>
Portfolio of Investments as of September 30, 2003 (Unaudited)
THE HIGH YIELD PLUS FUND, INC.
- --------------------------------------------------------------------------------
<Table>
<Caption>
Principal
Moody's Interest Maturity Amount Value
Description Rating Rate Date (000) (Note 1)
- ------------------------------------------------------------------------------------------------------------------------------
Textile--0.8%
Levi Strauss & Co., Sr. Notes Ca 11.625% 1/15/08 $ 470 $ 385,400
Oxford Industries, Inc., Sr. Notes B2 8.875 6/1/11 80 85,200
------------
470,600
- ------------------------------------------------------------------------------------------------------------------------------
Transportation--4.5%
American Air Lines, Inc., Pass-Thru Certificates,
Ser. 1999-1, Class A-2 Baa3 7.024 10/15/09 130 126,992
Ser. 2001-01, Class A-2 Ba1 6.817 5/23/11 265 227,378
Continental Air Lines, Inc., Pass-Thru Certificates,
Ser. 2001-1, Class A-2 Baa3 6.503 6/15/11 465 455,997
Delta Air Lines, Inc.,
Notes B3 7.90 12/15/09 1,260 935,550
Debs. B3 10.375 2/1/11 45 34,313
Kansas City Southern Railway Co., Gtd. Notes Ba3 9.50 10/1/08 825 909,562
------------
2,689,792
- ------------------------------------------------------------------------------------------------------------------------------
Utilities--15.3%
AES Corp., Sr. Sec'd. Notes Ba3 8.875 2/15/11 825 820,875
Avista Corp., Sr. Notes Ba1 9.75 6/1/08 380 442,700
Calpine Corp., Sr. Notes B1 8.50 2/15/11 1,485 1,046,925
Calpine Canada Energy Finance LLC, Gtd. Notes (Canada) B1 8.50 5/1/08 45 (b) 32,400
CenterPoint Energy, Inc., Bonds Ba1 6.85 6/1/15 595 581,414
CMS Energy Corp.,
Sr. Notes B3 9.875 10/15/07 700 749,000
Sr. Notes B3 8.90 7/15/08 160 165,600
Sr. Notes B3 8.50 4/15/11 165 167,888
Dynegy Holdings, Inc., Sr. Sec'd. Notes B3 10.125 7/15/13 510 538,050
El Paso Energy Corp.,
Sr. Notes Caa1 6.75 5/15/09 870 726,450
Sr. Notes Caa1 7.00 5/15/11 605 499,125
Illinois Power Co., First Mtge. Bonds B3 11.50 12/15/10 155 186,000
Nevada Power Co.,
Notes, Ser. E Ba2 10.875 10/15/09 115 124,344
Second Mtge. Bonds Ba2 9.00 8/15/13 275 283,937
Reliant Resources, Inc., Sr. Sec'd. Notes B1 9.25 7/15/10 395 357,475
Semco Energy, Inc.,
Sr. Notes Ba2 7.125 5/15/08 20 20,100
Sr. Notes Ba2 7.750 5/15/13 35 35,262
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 10
<Page>
Portfolio of Investments as of September 30, 2003 (Unaudited)
THE HIGH YIELD PLUS FUND, INC.
- --------------------------------------------------------------------------------
<Table>
<Caption>
Principal
Moody's Interest Maturity Amount Value
Description Rating Rate Date (000) (Note 1)
- ------------------------------------------------------------------------------------------------------------------------------
Utilities (cont'd.)
The Williams Companies, Inc.,
Notes B3 7.125% 9/1/11 $ 980 $ 967,750
Notes B3 8.125 3/15/12 25 26,000
TNP Enterprises, Inc., Sr. Sub. Notes, Ser. B Ba3 10.25 4/1/10 500 515,000
Western Resources, Inc.,
Sr. Notes Ba2 9.75 5/1/07 200 224,500
Sr. Notes Ba2 7.125 8/1/09 705 720,863
------------
9,231,658
------------
Total long-term corporate bonds 83,857,728
------------------------------------------------------------------------------------------------------------------------------
COMMON STOCK Shares
---------
World Kitchen, Inc.(a) 6,031 (c) 0
------------
Total long-term investments (cost $80,162,156) 83,857,728
------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT--1.3%
Principal
Amount
REPURCHASE AGREEMENT (000)
---------
ABN AMRO, Incorporated, dated 9/30/03, due 10/1/03 in the
amount of $800,024 (cost $800,000; collateralized by
$1,611,645 Federal Mortgage Association, 6.50%, due
5/1/17, value of collateral including accrued interest
is $816,000) -- 1.08 10/1/03 $ 800 800,000
- ------------------------------------------------------------------------------------------------------------------------------
Total Investments--140.2%
(cost $80,962,156; Note 4) 84,657,728
Liabilities in excess of other assets--(40.2%) (24,265,931)
------------
Net Assets--100% $ 60,391,797
------------
------------
</Table>
- ---------------
(a)--Non-income producing securities.
(b)--US$ denominated foreign bonds.
(c)--Fair-valued security--value is determined by the Valuation Committee in
consultation with the investment adviser.
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 11
<Page>
Statement of Assets and Liabilities (Unaudited) THE HIGH YIELD PLUS FUND, INC.
- --------------------------------------------------------------------------------
<Table>
<Caption>
September 30, 2003
Assets
- --------------------------------------------------------------------------------------------------------------------------------
Investments, at value (cost $80,962,156)................................................................... $ 84,657,728
Cash....................................................................................................... 321,640
Interest receivable........................................................................................ 2,130,139
Receivable for investments sold............................................................................ 1,435,613
Other assets............................................................................................... 45,886
------------------
Total assets............................................................................................ 88,591,006
------------------
Liabilities
Loan payable (Note 5)...................................................................................... 26,000,000
Payable for investments purchased.......................................................................... 1,400,071
Dividends payable.......................................................................................... 554,043
Accrued expenses........................................................................................... 161,700
Deferred directors' fees payable........................................................................... 31,705
Advisory fee payable....................................................................................... 24,729
Loan interest payable (Note 5)............................................................................. 17,069
Administration fee payable................................................................................. 9,892
------------------
Total liabilities....................................................................................... 28,199,209
------------------
Net Assets................................................................................................. $ 60,391,797
------------------
------------------
Net assets were comprised of:
Common stock, at par.................................................................................... $ 158,298
Paid-in capital in excess of par........................................................................ 130,911,213
------------------
131,069,511
Overdistribution of net investment income............................................................... (412,294)
Accumulated net realized loss on investment transactions................................................ (73,960,992)
Net unrealized appreciation on investments and foreign currencies....................................... 3,695,572
------------------
Net assets, September 30, 2003.......................................................................... $ 60,391,797
------------------
------------------
Net asset value per share ($60,391,797 / 15,829,787 shares of common stock issued and outstanding)......... $3.82
------------------
------------------
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 12
<Page>
THE HIGH YIELD PLUS FUND, INC.
Statement of Operations (Unaudited)
- ------------------------------------------------------------
<Table>
<Caption>
Six Months
Ended
September 30,
2003
Net Investment Income
Income
Interest................................... $ 4,025,894
-------------
Expenses
Investment advisory fee.................... 147,568
Administration fee......................... 59,027
Legal fees and expenses.................... 57,000
Custodian's fees and expenses.............. 53,000
Reports to shareholders.................... 32,000
Listing fee................................ 21,000
Transfer agent's fees and expenses......... 18,000
Audit fee.................................. 15,000
Directors' fees and expenses............... 15,000
Insurance expense.......................... 8,000
Miscellaneous.............................. 1,472
-------------
Total operating expenses................ 427,067
Loan interest expense (Note 5)............. 261,027
-------------
Total expenses.......................... 688,094
-------------
Net investment income......................... 3,337,800
-------------
Realized and Unrealized Gain
(Loss) on Investments
Net realized loss on investment
transactions............................... (2,946,657)
Net change in unrealized appreciation
(depreciation) on investments.............. 8,136,103
-------------
Net gain on investments....................... 5,189,446
-------------
Net Increase in Net Assets
Resulting from Operations..................... $ 8,527,246
-------------
-------------
</Table>
THE HIGH YIELD PLUS FUND, INC.
Statement of Cash Flows (Unaudited)
- ------------------------------------------------------------
<Table>
<Caption>
Six Months
Ended
September
30,
2003
Increase (Decrease) in Cash
Cash flows from operating activities:
Interest and dividends received.............. $ 3,607,927
Operating expenses paid...................... (437,629)
Loan interest and commitment fees paid....... (309,481)
Purchases of long-term portfolio
investments............................... (20,674,207)
Proceeds from acquiring of short-term
portfolio investments..................... (11,000)
Proceeds from acquiring of long-term
portfolio investments..................... 16,040,434
Decrease in other assets..................... 7,750
------------
Net cash used in operating activities........ (1,776,206)
------------
Cash flows from financing activities:
Net increase in loan payable................. 5,000,000
Cash dividends paid (excluding reinvestment
of dividends of $293,098)................. (2,902,953)
------------
Net cash provided by financing activities.... 2,097,047
------------
Net increase in cash......................... 320,841
Cash at beginning of period.................. 799
------------
Cash at end of period........................ $ 321,640
------------
------------
Reconciliation of Net Decrease in Net Assets
to Net Cash Provided from Operating Activities
Net increase in net assets resulting from
operations................................... $ 8,527,246
------------
Increase in investments......................... (5,066,563)
Net realized loss on investment transactions.... 2,946,657
Net increase in unrealized appreciation on
investments.................................. (8,136,103)
Increase in receivable for investments sold..... (1,255,238)
Increase in interest receivable................. (141,010)
Decrease in other assets........................ 7,750
Increase in payable for investments purchased... 1,400,071
Decrease in accrued expenses and other
liabilities.................................. (59,016)
------------
Total adjustments............................ (10,303,452)
------------
Net cash flows provided from operating
activities................................ $(1,776,206)
------------
------------
</Table>
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 13
<Page>
THE HIGH YIELD PLUS FUND, INC.
Statement of Changes in Net Assets (Unaudited)
- ------------------------------------------------------------
<Table>
<Caption>
Six Months Year
Ended Ended
September 30, March 31,
2003 2003
------------ ------------
Increase (Decrease) in
Net Assets
Operations
Net investment income....... $ 3,337,800 $ 6,311,561
Net realized loss on
investment
transactions............. (2,946,657) (11,741,163)
Net change in unrealized
appreciation
(depreciation) on
investments.............. 8,136,103 4,974,881
------------ ------------
Net increase (decrease) in
net assets resulting from
operations............... 8,527,246 (454,721)
Dividends from net
investment income (Note 1). (3,238,176) (6,439,615)
Value of Fund shares issued
to shareholders in
reinvestment of dividends
(Note 6)................. 293,098 364,950
------------ ------------
Total increase (decrease)...... 5,582,168 (6,529,386)
Net Assets
Beginning of period............ 54,809,629 61,339,015
------------ ------------
End of period.................. $ 60,391,797 $ 54,809,629
------------ ------------
------------ ------------
</Table>
THE HIGH YIELD PLUS FUND, INC.
Notes to Financial Statements (Unaudited)
- ------------------------------------------------------------
The High Yield Plus Fund, Inc. (the 'Fund') was organized in Maryland on
February 3, 1988, as a diversified, closed-end management investment company.
The Fund's primary objective is to provide a high level of current income to
shareholders. The Fund seeks to achieve this objective through investment of at
least 80% of its investable assets in publicly or privately offered high yield
debt securities rated in the medium to lower categories by recognized rating
services or nonrated securities of comparable quality. As a secondary investment
objective, the Fund will seek capital appreciation, but only when consistent
with its primary objective. The ability of issuers of debt securities held by
the Fund to meet their obligations may be affected by economic developments in a
specific industry or region.
- ------------------------------------------------------------
Note 1. Accounting Policies
The following is a summary of significant accounting policies followed by the
Fund in the preparation of its financial statements.
Securities Valuation: Securities for which market quotations are readily
available--including securities listed on national securities exchanges and
those traded over-the-counter--are valued at the last quoted sales price on the
valuation date on which the security is traded. If such securities were not
traded on the valuation date, but market quotations are readily available, they
are valued at the most recently quoted bid price provided by an independent
pricing service or by principal market makers. Securities for which market
quotations are not readily available or for which the pricing agent or market
maker does not provide a valuation or methodology, or provides a valuation or
methodology that, in the judgment of the adviser, does not represent fair value,
are valued by a Valuation Committee appointed by the Board of Directors, in
consultation with the advisor.
Short-term securities which mature in more than 60 days are valued at current
market quotations. Short-term securities which mature in 60 days or less are
valued at amortized cost, which approximates market value.
Repurchase Agreements: In connection with transactions in repurchase agreements
with United States financial institutions, it is the Fund's policy that its
custodian or designated subcustodians under triparty repurchase agreements, as
the case may be, take possession of the underlying collateral securities, the
value of which exceeds the principal amount of the repurchase transaction,
including accrued interest. To the extent that any repurchase transaction
exceeds one business day, the value of the collateral is marked-to-market on a
daily basis to ensure the adequacy of the collateral. If the seller defaults and
the value of the collateral declines or if bankruptcy proceedings are commenced
with respect to the seller of
- --------------------------------------------------------------------------------
14
<Page>
Notes to Financial Statements (Unaudited) THE HIGH YIELD PLUS FUND, INC.
- --------------------------------------------------------------------------------
the security, realization of the collateral by the Fund may be delayed or
limited.
Foreign Currency Translation: The books and records of the Fund are maintained
in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on
the following basis:
(i) market value of investment securities, other assets and liabilities--at the
current daily rate of exchange.
(ii) purchases and sales of investment securities, income and expenses--at the
rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Fund are presented at the foreign exchange rates
and market values at the close of the fiscal period, the Fund does not isolate
that portion of the results of operations arising as a result of changes in the
foreign exchange rates from the fluctuations arising from changes in the market
prices of long-term securities held at the end of the fiscal period. Similarly,
the Fund does not isolate the effect of changes in foreign exchange rates from
the fluctuations arising from changes in the market prices of long-term
portfolio securities sold during the fiscal period. Accordingly, realized
foreign currency gains or losses are included in the reported net realized gains
or losses on investment transactions.
Net realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the holding of foreign currencies,
currency gains or losses realized between the trade date and settlement date on
securities transactions, and the difference between the amounts of dividends,
interest and foreign withholding taxes recorded on the Fund's books and the U.S.
dollar equivalent amounts actually received or paid. Net unrealized currency
gains or losses from valuing foreign currency denominated assets and liabilities
(other than investments) at period end exchange rates are reflected as a
component of net unrealized appreciation (depreciation) on investments and
foreign currencies.
Foreign security and currency transactions may involve certain considerations
and risks not typically associated with those of domestic origin as a result of,
among other factors, the possibility of political and economic instability and
the level of governmental supervision and regulation of foreign securities
markets.
Cash Flow Information: The Fund invests in securities and pays dividends from
net investment income and distributions from 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 cash receipts and cash payments is presented in the Statement of
Cash Flows. Accounting practices that do not affect reporting activities on a
cash basis include carrying investments at value and amortizing discounts and
premiums on debt obligations. Cash, as used in the Statement of Cash Flows, is
the amount reported as 'Cash' or 'Payable to Custodian' in the Statement of
Assets and Liabilities.
Securities Transactions and Net Investment Income: Securities transactions are
recorded on the trade date. Realized gains or losses on sales of securities are
calculated on the identified cost basis. Dividend income is recorded on the
ex-dividend date; interest income including amortization of premium and
accretion of discount on debt securities, as required is recorded on the accrual
basis. Expenses are recorded on the accrual basis, which may require the use of
certain estimates by management.
Dividends and Distributions: The Fund expects to pay dividends of net investment
income monthly and distributions of net realized capital and currency gains, if
any, annually. Dividends and distributions to shareholders, which are determined
in accordance with federal income tax regulations and which may differ from
generally accepted accounting principles, are recorded on the ex-dividend date.
Permanent book/tax differences relating to income and gains are reclassified to
paid-in capital when they arise.
Federal Income Taxes: It is the Fund's policy to continue to meet the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute all of its taxable net income and capital gains, if
any, to its shareholders. Therefore, no federal income tax provision is
required.
- ------------------------------------------------------------
Note 2. Agreements
The Fund has agreements with, among others, Wellington Management Company, LLP
(the 'Investment Adviser') and Prudential Investments LLC (the 'Administrator').
The Investment Adviser makes investment decisions on behalf of the Fund; the
Administrator provides occupancy and certain clerical and accounting services to
the Fund. The Fund bears all other costs and expenses.
The investment advisory agreement provides for the Investment Adviser to receive
a fee, computed weekly and payable monthly at an annual rate of .50% of the
Fund's average weekly net assets. The administration agreement provides for the
Administrator to receive a fee, computed weekly and payable monthly at an annual
rate of .20% of the Fund's average weekly net assets.
- --------------------------------------------------------------------------------
15
<Page>
Notes to Financial Statements (Unaudited) THE HIGH YIELD PLUS FUND, INC.
- --------------------------------------------------------------------------------
Note 3. Portfolio Securities
Purchases and sales of investment securities, other than short-term investments
for the six months ended September 30, 2003, aggregated $22,513,125 and
$17,295,672, respectively.
- ------------------------------------------------------------
Note 4. Tax Information
For federal income tax purposes, the Fund had a capital loss carryforward as of
March 31, 2003 was approximately $69,744,000, of which $1,806,000 expires in
2004, $500,000 expires in 2007, $8,206,000 expires in 2008, $8,395,000 expires
in 2009, $24,697,000 expires in 2010 and $26,140,000 expires in 2011.
Accordingly, no capital gains distribution is expected to be paid to
shareholders until net gains have been realized in excess of such carryforward.
The capital loss carryforward differs from the amount on the Statement of Assets
and Liabilities primarily due to the Fund electing to treat post-October capital
losses of approximately $751,000 as having occurred in the current fiscal year
and differences in the treatment of discount and premium amortization for book
and tax purposes.
The United States federal income tax basis of the Fund's investments and the net
unrealized appreciation as of September 30, 2003 was as follows:
Tax Basis of Net Unrealized
Investments Appreciation Depreciation Appreciation
- --------------- ------------ ------------- --------------
$81,401,003 $6,148,137 $ 2,891,412 $3,256,725
The difference between book basis and tax basis was primarily attributable to
deferred losses on wash sales and differences in the treatment of premium
amortization for book and tax purposes.
- ------------------------------------------------------------
Note 5. Borrowings
The Fund has a credit agreement with an unaffiliated lender. The maximum
commitment under this agreement is $35,000,000. Interest on any such borrowings
is based on market rates and is payable quarterly and at maturity. The Fund may
utilize these borrowings (leverage) in order to increase the potential for gain
on amounts invested. There can be no guarantee that these gains will be
realized. There are increased risks associated with the use of leverage. The
average daily balance outstanding during the six months ended September 30, 2003
was $24,486,339 at a weighted average interest rate of 3.02%. The maximum face
amount of borrowings outstanding at any month-end during the six months ended
September 30, 2003 was $27,000,000. The current borrowings of $26,000,000 (at a
weighted average interest rate of 2.00%) will mature on March 30, 2004.
The Fund pays commitment fees at an annual rate of .10 of 1% on any unused
portion of the credit facility. Commitment fees are included in 'Loan Interest'
as reported on the Statement of Assets and Liabilities and on the Statement of
Operations.
- ------------------------------------------------------------
Note 6. Capital
There are 100 million shares of common stock authorized at $.01 par value per
share. During the six months ended September 30, 2003 and the fiscal year ended
March 31, 2003, the Fund issued 78,473 and 99,359 shares in connection with
reinvestment of dividends, respectively.
- ------------------------------------------------------------
Note 7. Dividends
On November 18, 2003, the Board of Directors of the Fund declared dividends of
$0.0350 per share payable on January 9, 2004, February 9, 2004 and March 8, 2004
to stockholders of record on December 31, 2003, January 30, 2004 and February
27, 2004, respectively.
- --------------------------------------------------------------------------------
16
<Page>
Financial Highlights (Unaudited) THE HIGH YIELD PLUS FUND, INC.
- --------------------------------------------------------------------------------
<Table>
<Caption>
Six Months
Ended Year Ended March 31,
September 30, -----------------------------------------------
2003 2003 2002 2001 2000
------------- -------- -------- -------- --------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period...................... $ 3.48 $ 3.92 $ 5.02 $ 6.42 $ 7.36
------ -------- -------- -------- --------
Income from investment operations
Net investment income..................................... .22 .42 .62 .81 .89
Net realized and unrealized gain (loss) on investments.... .33 (.45) (1.00) (1.34) (.94)
------ -------- -------- -------- --------
Total from investment operations....................... .55 (.03) (.38) (.53) (.05)
------ -------- -------- -------- --------
Less dividends and distributions
Dividends from net investment income...................... (.21) (.41) (.72) (.86) (.89)
Distributions in excess of net investment income.......... -- -- -- (.01) --
------ -------- -------- -------- --------
Total dividends and distributions...................... (.21) (.41) (.72) (.87) (.89)
------ -------- -------- -------- --------
Capital charge in respect to issuance of shares........... -- -- -- -- --
------ -------- -------- -------- --------
Net asset value, end of period(a)......................... $ 3.82 $ 3.48 $ 3.92 $ 5.02 $ 6.42
------ -------- -------- -------- --------
------ -------- -------- -------- --------
Market price per share, end of period(a).................. $ 4.05 $ 3.63 $ 4.38 $ 6.20 $ 6.1875
------ -------- -------- -------- --------
------ -------- -------- -------- --------
TOTAL INVESTMENT RETURN(b):............................... 17.76% (6.41)% (19.20)% 15.49% (2.96)%
------ -------- -------- -------- --------
------ -------- -------- -------- --------
RATIO/SUPPLEMENTAL DATA:
Net assets, end of period (000 omitted)................... $60,392 $ 54,810 $ 61,339 $ 77,593 $ 98,212
Average net assets (000 omitted).......................... $58,702 $ 53,407 $ 67,722 $ 88,620 $107,803
Ratio to average net assets:
Expenses, before loan interest and commitment fees..... 1.45%(c) 1.53% 1.33% 1.26% 1.08%
Total expenses......................................... 2.34%(c) 2.72% 3.19% 3.92% 3.47%
Net investment income.................................. 11.37%(c) 11.82% 14.15% 14.00% 12.60%
Portfolio turnover rate................................... 21%(d) 87% 76% 68% 83%
Total debt outstanding at end of period (000 omitted)..... $26,000 $ 21,000 $ 22,000 $ 28,000 $ 42,000
Asset coverage per $1,000 of debt outstanding............. $ 3,323 $ 3,610 $ 3,788 $ 3,771 $ 3,338
<Caption>
1999
--------
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period...................... $ 9.21
--------
Income from investment operations
Net investment income..................................... .88
Net realized and unrealized gain (loss) on investments.... (1.59)
--------
Total from investment operations....................... (.71)
--------
Less dividends and distributions
Dividends from net investment income...................... (.88)
Distributions in excess of net investment income.......... --
--------
Total dividends and distributions...................... (.88)
--------
Capital charge in respect to issuance of shares........... (.26)
--------
Net asset value, end of period(a)......................... $ 7.36
--------
--------
Market price per share, end of period(a).................. $ 7.1875
--------
--------
TOTAL INVESTMENT RETURN(b):............................... (12.36)%
--------
--------
RATIO/SUPPLEMENTAL DATA:
Net assets, end of period (000 omitted)................... $111,993
Average net assets (000 omitted).......................... $ 94,437
Ratio to average net assets:
Expenses, before loan interest and commitment fees..... 1.11%
Total expenses......................................... 3.14%
Net investment income.................................. 11.60%
Portfolio turnover rate................................... 94%
Total debt outstanding at end of period (000 omitted)..... $ 35,000
Asset coverage per $1,000 of debt outstanding............. $ 4,204
</Table>
- ---------------
(a) NAV and market value are published in The Wall Street Journal each Monday.
(b) Total investment return is calculated assuming a purchase of common stock at
the current market value on the first day and a sale at the current market
value on the last day of each year reported. Dividends and distributions are
assumed for purposes of this calculation to be reinvested at prices obtained
under the dividend reinvestment plan. This calculation does not reflect
brokerage commissions. Total returns for periods less than one year are not
annualized.
(c) Annualized.
(d) Not annualized.
Contained above is selected data for a share of common stock outstanding, total
investment return, ratios to average net assets and other supplemental data for
the year indicated. This information has been determined based upon information
provided in the financial statements and market price data for the Fund's
shares.
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 17
<Page>
Supplemental Proxy Information (Unaudited) THE HIGH YIELD PLUS FUND, INC.
- --------------------------------------------------------------------------------
The annual meeting of shareholders of The High Yield Plus Fund, Inc. was held on
July 28, 2003 at the offices of Prudential Investments LLC, 100 Mulberry Street,
Newark, New Jersey. The meeting was held for the following purpose:
<Table>
<Caption>
(1) To elect the following directors to serve as follows:
Directors Class Term Expiring
------------------------------- ------ -------- ---------
Thomas T. Mooney III 3 years 2006
Clay T. Whitehead III 3 years 2006
Directors whose term of office continued beyond this meeting are Eugene C. Dorsey, Robert E. La Blanc and Douglas H.
McCorkindale.
</Table>
The results of the proxy solicitation on the above matter were as follows:
<Table>
<Caption>
Directors Votes for Votes against Votes withheld Abstentions
---------------------------- ----------- -------------- --------------- ------------
Thomas T. Mooey 13,369,723 -- 334,672 --
(1) Clay T. Whitehead 13,448,764 -- 255,631 --
</Table>
- --------------------------------------------------------------------------------
18
<Page>
Other Information (Unaudited) THE HIGH YIELD PLUS FUND, INC.
- --------------------------------------------------------------------------------
Dividend Reinvestment Plan. Shareholders may elect to have all distributions of
dividends and capital gains automatically reinvested in Fund shares ('Shares')
pursuant to the Fund's Dividend Reinvestment Plan (the 'Plan'). Shareholders who
do not participate in the Plan will receive all distributions in cash paid by
check in United States dollars mailed directly to the shareholders of record (or
if the shares are held in street or other nominee name, then to the nominee) by
the custodian, as dividend disbursing agent. Shareholders who wish to
participate in the Plan should contact the Fund at (800) 451-6788.
Equiserve Trust Company, N.A. (the 'Plan Agent') serves as agent for the
shareholders in administering the Plan. After the Fund declares a dividend or
capital gains distribution, if (1) the market price is lower than net asset
value, the participants in the Plan will receive the equivalent in Shares valued
at the market price determined as of the time of purchase (generally, following
the payment date of the dividend or distribution); or if (2) the market price of
Shares on the payment date of the dividend or distribution is equal to or
exceeds their net asset value, participants will be issued Shares at the higher
of net asset value or 95% of the market price. If net asset value exceeds the
market price of Shares on the valuation date or the Fund declares a dividend or
other distribution payable only in cash, the Plan Agent will, as agent for the
participants, receive the cash payment and use it to buy Shares in the open
market. If, before the Plan Agent has completed its purchases, the market price
exceeds the net asset value per share, the average per share purchase price paid
by the Plan Agent may exceed the net asset value per share, resulting in the
acquisition of fewer shares than if the dividend or distribution had been paid
in shares issued by the Fund. The Fund will not issue Shares under the Plan
below net asset value.
There is no charge to participants for reinvesting dividends or capital gain
distributions, except for certain brokerage commissions, as described below. The
Plan Agent's fees for the handling of the reinvestment of dividends and
distributions will be paid by the Fund. There will be no brokerage commissions
charged with respect to Shares issued directly by the Fund. However, each
participant will pay a pro rata share of brokerage commissions incurred with
respect to the Plan Agent's open market purchases in connection with the
reinvestment of dividends and distributions. The automatic reinvestment of
dividends and distributions will not relieve participants of any federal income
tax that may be payable on such dividends or distributions.
The Fund reserves the right to amend or terminate the Plan upon 90 days' written
notice to shareholders of the Fund.
Participants in the Plan may withdraw from the Plan upon written notice to the
Plan Agent and will receive certificates for whole Shares and cash for
fractional Shares.
All correspondence concerning the Plan should be directed to the Plan Agent,
Equiserve Trust Company, N.A., P.O. Box 43011, Providence, RI 02940-3011.
- --------------------------------------------------------------------------------
19
<Page>
Directors
Eugene C. Dorsey
Robert E. La Blanc
Douglas H. McCorkindale
Thomas T. Mooney
Clay T. Whitehead
Investment Adviser
Wellington Management Company, LLP
75 State Street
Boston, MA 02109
Administrator
Prudential Investments LLC
Gateway Center Three
100 Mulberry Street
Newark, NJ 07102-4077
Custodian
The Bank of New York
One Wall Street
New York, NY 10286
Transfer Agent
Equiserve Trust Company, N.A.
P.O. Box 43011
Providence, RI 02940-3011
Independent Accountants
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, NY 10036
Legal Counsel
Kirkpatrick & Lockhart LLP
1800 Massachusetts Avenue, N.W.
Washington, D.C. 20036
Notice is hereby given in accordance with Section 23(c) of the Investment
Company Act of 1940 that the Fund may purchase, from time to time, shares of
its common stock at market prices.
The accompanying financial statements as of September 30, 2003 were not
audited and, accordingly, no opinion is expressed on them.
The views expressed in this report and the information about the Fund's
portfolio holdings are for the period covered by this report and are subject
to change thereafter.
This report is for stockholder information. This is not a prospectus intended
for use in the purchase or sale of Fund shares.
The High Yield Plus Fund, Inc.
Gateway Center Three
100 Mulberry Street
Newark, NJ 07102-4077
For information call toll-free (800) 451-6788
CUSIP 429906100
HYPS
<Page>
Item 2 -- Code of Ethics -- Not required as this is not an annual filing.
Item 3 -- Audit Committee Financial Expert -- Not required in this filing.
Item 4 -- Principal Accountant Fees and Services -- Not required in this
filing
Item 5 -- Reserved
Item 6 -- Reserved
Item 7 -- Disclosure of Proxy Voting Policies and Procedures for Closed-
End Management Investment Companies -- Not required in this filing
Item 8 -- Reserved
Item 9 -- Controls and Procedures
(a) It is the conclusion of the registrant's principal executive
officer and principal financial officer that the effectiveness of
the registrant's current disclosure controls and procedures (such
disclosure controls and procedures having been evaluated within 90
days of the date of this filing) provide reasonable assurance that
the information required to be disclosed by the registrant has been
recorded, processed, summarized and reported within the time period
specified in the Commission's rules and forms and that the
information required to be disclosed by the registrant has been
accumulated and communicated to the registrant's principal
executive officer and principal financial officer in order to allow
timely decisions regarding required disclosure.
(b) There have been no significant changes in the registrant's
internal controls or in other factors that could significantly
affect these controls subsequent to the date of their evaluation,
including any corrective actions with regard to significant
deficiencies and material weaknesses.
Item 10 -- Exhibits
(a) Code of Ethics -- Not applicable with semi-annual filing
(b) Certifications pursuant to Sections 302 and 906 of the
Sarbanes-Oxley Act -- Attached hereto
<Page>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this
report to be signed on its behalf by the undersigned, thereunto duly
authorized.
(Registrant) The High Yield Plus Fund, Inc.
By (Signature and Title)* /s/Arthur J. Brown
------------------
Arthur J. Brown
Secretary
Date November 26, 2003
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed below by
the following persons on behalf of the registrant and in the capacities
and on the dates indicated.
By (Signature and Title)* /s/Thomas Mooney
------------------
Thomas Mooney
President and Principal Executive Officer
Date November 26, 2003
By (Signature and Title)* /s/Grace C. Torres
------------------
Grace C. Torres
Treasurer and Principal Financial Officer
Date November 26, 2003
* Print the name and title of each signing officer under his or her
signature.