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Investment Company Act file number 811-08777 Credit Suisse High Yield Bond Fund
c/o Credit Suisse Asset Management, LLC Registrant's telephone number, including area code: 212-875-3500 Date of fiscal year-end: October 31st Date of reporting period: May 1, 2005 to July 31, 2005 Item 1. Schedule of Investments
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-QQUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
(Exact name of registrant as specified in charter)
466 Lexington Avenue, New York, New York 10017
(Address of principal executive offices) (Zip code)
J. Kevin Gao, Esq.
466 Lexington Avenue, New York, New York 10017
(Name and address of agent for service)
Credit Suisse High Yield Bond Fund
Schedule of Investments
July
31, 2005 (unaudited)
Par
Ratings
(000)
(S&P/Moodys)
Maturity
Rate%
Value
U.S. CORPORATE BONDS (128.3%)
Aerospace (1.6%)
$ 1,000
BE Aerospace,
Inc., Series B, Senior
Subordinated Notes
(B- ,
Caa2)
03/01/08
8.000
$ 1,007,500
2,000
L-3
Communications Corp., Global
Senior Subordinated Notes
(Callable 01/15/10 @ $102.94)
(BB+ ,
Ba3)
01/15/15
5.875
1,965,000
850
Sequa Corp.,
Series B, Senior Notes
(BB- ,
B1)
04/01/08
8.875
924,375
3,896,875
Airlines (0.5%)
1,200
American
Airlines, Inc., Series 01-2, Pass
Thru Certificates §
(B ,
B1)
10/01/06
7.800
1,152,849
Automobile Manufacturing/Vehicle Parts
(5.3%)
1,100
Accuride Corp.,
Global Company Guaranteed
Notes (Callable 02/01/10 @ $104.25)
(B- ,
B3)
02/01/15
8.500
1,146,750
1,000
Autocam Corp.,
Global Senior Subordinated
Notes (Callable 06/15/09 @ $105.44) §
(CCC+ ,
Caa2)
06/15/14
10.875
665,000
500
Cummins, Inc.,
Global Senior Notes
(Callable 12/01/06 @ $104.75)
(BBB- ,
Ba2)
12/01/10
9.500
553,750
1,500
Delphi Corp.,
Global Notes
(CCC- ,
Ca)
06/15/06
6.550
1,479,375
500
Dura Operating
Corp., Series D, Company
Guaranteed Notes
(Callable 10/03/05 @ $103.00) §
(CCC+ ,
Caa1)
05/01/09
9.000
427,500
2,550
General Motors
Acceptance Corp., Global Notes
(BB ,
Baa2)
12/01/14
6.750
2,405,854
1,250
Goodyear Tire
& Rubber Co., Rule 144A, Senior
Notes (Callable 07/01/10 @ $104.50)
(B- ,
B3)
07/01/15
9.000
1,281,250
1,700
Heafner Tire
Group, Inc., Rule 144A, Senior
Notes (Callable 04/01/09 @ $105.38)
(CCC+ ,
Caa2)
04/01/13
10.750
1,666,000
1,200
Metaldyne Corp.,
Global Company Guaranteed
Notes (Callable 06/15/07 @ $105.50) §
(CCC+ ,
Caa2)
06/15/12
11.000
894,000
900
Stanadyne Corp.,
Global Senior Subordinated
Notes (Callable 08/15/09 @ $105.00)
(B- ,
Caa1)
08/15/14
10.000
900,000
800
Tenneco
Automotive, Inc., Global Company
Guaranteed Notes
(Callable 11/15/09 @ $104.31) §
(B- ,
B3)
11/15/14
8.625
840,000
450
Visteon Corp.,
Global Senior Notes
(B- ,
B3)
08/01/10
8.250
437,625
12,697,104
Broadband (0.9%)
750
Level 3
Communications, Inc., Senior Notes
(Callable 05/01/06 @ $100.00) §
(CC ,
Ca)
05/01/08
9.125
620,625
750
Level 3 Financing, Inc., Global Company
Guaranteed
Notes (Callable 10/15/07 @ $105.38)
(CC ,
Caa1)
10/15/11
10.750
630,000
1,500
Primus
Telecommunications Group, Inc., Global
Senior Notes (Callable 01/15/09 @ $104.00)
§
(CCC- ,
Caa1)
01/15/14
8.000
810,000
2,060,625
Broadcast/Outdoor (2.3%)
600
Allbritton
Communications Co., Global
Senior Subordinated Notes
(Callable 12/15/07 @ $103.88)
(B- ,
B3)
12/15/12
7.750
603,750
750
Emmis
Communications Corp., Rule 144A, Senior
Notes (Callable 12/15/05 @ $100.00) #
(B- ,
B3)
06/15/12
9.314
754,687
500
Emmis Operating Co., Global Senior
Subordinated
Notes (Callable 05/15/08 @ $103.44)
(B- ,
B2)
05/15/12
6.875
502,500
Par
Ratings
(000)
(S&P/Moodys)
Maturity
Rate%
Value
U.S. CORPORATE BONDS
Broadcast/Outdoor
$ 1,000
Gray Television,
Inc., Global Company Guaranteed
Notes (Callable 12/15/06 @ $104.62)
(B- ,
Ba3)
12/15/11
9.250
$ 1,097,500
150
Interep National
Radio Sales, Inc., Series B,
Company Guaranteed Notes
(Callable 10/13/05 @ $101.67)
(CC ,
Ca)
07/01/08
10.000
113,625
2,000
Paxson
Communications Corp., Global
Company Guaranteed Notes
(Callable 01/15/06 @ $106.12) +
(CCC- ,
Caa1)
01/15/09
0.000
1,910,000
490
Young
Broadcasting, Inc., Global
Company Guaranteed Notes
(Callable 03/01/06 @ $105.00) §
(CCC ,
Caa1)
03/01/11
10.000
465,500
5,447,562
Building Products (4.2%)
1,300
Building
Materials Corp., Global Secured Notes
(Callable 08/01/09 @ $103.88)
(B+ ,
B2)
08/01/14
7.750
1,241,500
750
Compression
Polymers Holding Corp.,
Rule 144A, Senior Notes
(Callable 07/01/09 @ $105.25) §
(B- ,
B2)
07/01/13
10.500
761,250
600
Dayton Superior
Corp., Company Guaranteed
Notes (Callable 06/15/07 @ $102.17) §
(CCC ,
Caa3)
06/15/09
13.000
546,000
500
Dayton Superior
Corp., Global Secured Notes
(Callable 06/15/06 @ $105.62)
(B- ,
Caa1)
09/15/08
10.750
522,500
1,500
Goodman Global
Holdings Co., Inc., Rule 144A,
Senior Subordinated Notes
(Callable 12/15/08 @ $103.94) §
(B- ,
Caa1)
12/15/12
7.875
1,447,500
1,100
Interface, Inc.,
Global Senior Subordinated Notes
(Callable 02/01/09 @ $104.75)
(CCC ,
Caa3)
02/01/14
9.500
1,133,000
750
Norcraft
Holdings LP, Rule 144A, Senior Discount
Notes (Callable 09/01/08 @ $104.88) +
(B- ,
Caa1)
09/01/12
0.000
536,250
1,000
NTK Holdings,
Inc., Rule 144A, Senior Discount
Notes (Callable 09/01/09 @ $105.38) +§
(CCC+ ,
Caa2)
03/01/14
0.000
575,000
1,000
Ply Gem
Industries, Inc., Global Senior
Subordinated Notes
(Callable 02/15/08 @ $104.50)
(B- ,
B3)
02/15/12
9.000
880,000
1,250
RMCC Acquisition
Co., Rule 144A, Senior
Subordinated Notes
(Callable 11/01/08 @ $104.75)
(CCC+ ,
Caa1)
11/01/12
9.500
1,243,750
250
Texas
Industries, Inc., Rule 144A, Senior Notes
(Callable 07/15/09 @ $103.63)
(BB- ,
Ba3)
07/15/13
7.250
265,000
1,350
Werner Holding
Co., Inc., Series A,
Company Guaranteed Notes
(Callable 11/15/05 @ $100) §
(CCC- ,
Caa2)
11/15/07
10.000
945,000
10,096,750
Cable (8.5%)
3,000
Adelphia
Communications Corp.,
Rule 144A, Secured Notes
(Callable 02/15/08 @ $105.38) ø
(NR ,
NR)
10/01/10
10.875
2,617,500
1,450
Atlantic
Broadband Finance LLC, Rule 144A,
Senior Subordinated Notes
(Callable 01/15/09 @ $104.69) §
(CCC+ ,
Caa1)
01/15/14
9.375
1,392,000
1,825
Cablevision
Systems Corp., Series B, Global
Senior Notes
(B+ ,
B3)
04/15/12
8.000
1,843,250
2,100
CCO Holdings
LLC, Global Senior Notes
(Callable 11/15/08 @ $104.38) §
(CCC- ,
B3)
11/15/13
8.750
2,110,500
3,650
Charter
Communications Holdings LLC,
Senior Discount Notes
(Callable 04/01/06 @ $101.44) +§
(CCC- ,
Ca)
04/01/11
0.000
2,869,812
3,000
Charter
Communications Holdings LLC, Senior
Notes (Callable 04/01/06 @ $101.65)
(CCC- ,
Ca)
04/01/09
8.625
2,415,000
Par
Ratings
(000)
(S&P/Moodys)
Maturity
Rate%
Value
U.S. CORPORATE
BONDS
Cable
$ 900
CSC Holdings, Inc., Rule 144A, Senior
Notes
(BB- , B1)
04/15/12
6.750
$
873,000
85
CSC Holdings, Inc., Senior
Notes
(BB- , B1)
07/15/08
7.250
86,488
750
CSC Holdings, Inc., Series B, Senior
Notes §
(BB- , B1)
04/01/11
7.625
759,375
1,750
DIVA Systems Corp., Series B, Senior
Discount
Notes (Callable 10/03/05 @
$102.10) ø^
(NR , NR)
03/01/08
12.625
4,375
2,000
Insight Communications Company,
Inc.,
Senior Discount
Notes
(Callable 02/15/06 @ $106.12)
+§
(CCC+ , Caa1)
02/15/11
0.000
2,045,000
200
Insight Midwest/Insight Capital, Senior
Notes
(Callable 10/01/05 @ $103.25)
§
(B , B2)
10/01/09
9.750
207,750
500
Insight Midwest/Insight Capital Corp.,
Global Senior
Notes (Callable 11/01/05 @
$105.25)
(B , B2)
11/01/10
10.500
532,500
2,500
Mediacom LLC Capital Corp., Senior
Notes
(Callable 01/15/06 @ $104.75)
§
(B , B3)
01/15/13
9.500
2,568,750
20,325,300
Capital Goods
(1.8%)
1,000
Blount, Inc., Senior Subordinated
Notes
(Callable 08/01/08 @
$104.44)
(B , B3)
08/01/12
8.875
1,095,000
850
Case New Holland, Inc., Global
Company
Guaranteed Notes
(Callable 08/01/07 @
$104.62)
(BB- , Ba3)
08/01/11
9.250
924,375
1,753
JII Holdings LLC, Global Secured
Notes
(Callable 01/01/06 @
$103.25)
(CCC- , Caa2)
04/01/07
13.000
1,533,438
650
Terex Corp., Global Company Guaranteed
Notes
(Callable 01/15/09 @
$103.69)
(B , B3)
01/15/14
7.375
685,750
4,238,563
Chemicals
(5.9%)
650
BCP Crystal Holdings Corp.,
Global
Senior Subordinated
Notes
(Callable 06/15/09 @
$104.81)
(B- , B3)
06/15/14
9.625
737,750
750
Crompton Corp., Global Senior
Notes
(Callable 08/01/08 @
$104.94)
(BB+ , Ba1)
08/01/12
9.875
868,125
876
Crystal US Holdings, Series B,
Global
Senior Discount
Notes
(Callable 10/01/09 @ $105.25)
+
(B- , Caa2)
10/01/14
0.000
635,100
1,000
Equistar Chemicals LP/ Equistar Funding
Corp.,
Global Company Guaranteed
Notes
(BB- , B2)
09/01/08
10.125
1,105,000
227
Huntsman Company LLC, Global
Company
Guaranteed Notes (Callable
10/15/07 @ $105.81)
(BB- , B1)
10/15/10
11.625
267,860
773
Huntsman LLC, Global Company
Guaranteed
Notes (Callable 07/15/08 @
$105.75)
(B , B2)
07/15/12
11.500
904,410
1,450
IMC Global, Inc., Series B,
Global
Company Guaranteed
Notes
(Callable 06/01/06 @
$105.63)
(BB , Ba3)
06/01/11
11.250
1,609,500
1,200
KI Holdings, Inc., Global Senior
Discount Notes
(Callable 11/15/09 @ $104.94)
+
(B- , Caa2)
11/15/14
0.000
762,000
1,000
Lyondell Chemical Co., Global
Company
Guaranteed Notes
(Callable 06/01/08 @
$105.25)
(BB- , B1)
06/01/13
10.500
1,160,000
1,400
Lyondell Chemical Co., Global
Company
Guaranteed Notes
(Callable 12/15/05 @
$104.75)
(BB- , B1)
12/15/08
9.500
1,492,750
800
Millennium America, Inc., Global
Company
Guaranteed Notes
(BB- , B1)
06/15/08
9.250
876,000
750
Nalco Co., Global Senior
Notes
(Callable 11/15/07 @
$103.88)
(B- , B2)
11/15/11
7.750
801,562
750
PolyOne Corp., Global Company
Guaranteed
Notes (Callable 05/15/07 @
$105.31)
(B+ , B3)
05/15/10
10.625
810,000
Par
Ratings
(000)
(S&P/Moodys)
Maturity
Rate%
Value
U.S. CORPORATE
BONDS
Chemicals
$ 1,000
Resolution Performance Products
LLC, Global
Senior Subordinated
Notes
(Callable 11/15/05 @ $106.75)
§
(B- , Caa2)
11/15/10
13.500
$ 1,085,000
832
Terra Capital, Inc., Global
Secured Notes
(Callable 06/01/07 @
$105.75)
(B- , B2)
06/01/10
11.500
963,040
14,078,097
Commercial Services
(0.1%)
250
FTI, Rule 144A, Senior
Notes
(Callable 06/15/09 @ $103.81)
(B+ , Ba2)
06/15/13
7.625
250,000
Competitive Local
Exchange Carrier (CLEC) (0.6%)
250
GCI, Inc., Global Senior
Notes
(Callable 02/15/09 @
$103.62)
(B+ , B2)
02/15/14
7.250
245,000
1,250
Time Warner Telecom Holdings,
Inc., Rule 144A,
Senior Notes (Callable 02/15/09
@ $104.63)
(CCC+ , B2)
02/15/14
9.250
1,278,125
1,523,125
Consumer
Products/Tobacco (5.4%)
850
AAC Group Holding Corp., Rule
144A,
Senior Discount
Notes
(Callable 10/01/08 @ $105.13)
+
(B- , Caa1)
10/01/12
0.000
618,375
500
Ames True Temper, Global Company
Guaranteed
Notes (Callable 01/15/07 @
$103.00) #
(B- , B3)
01/15/12
7.599
486,250
1,400
Ames True Temper, Global Senior
Subordinated
Notes (Callable 07/15/08 @
$105.00) §
(CCC , Caa1)
07/15/12
10.000
1,232,000
1,050
Amscan Holdings, Inc., Global
Senior Subordinated
Notes (Callable 05/01/09 @
$104.38)
(B- , B3)
05/01/14
8.750
976,500
1,000
Associated Materials, Inc.,
Global Senior Discount
Notes (Callable 03/01/09 @
$105.62) +§
(CCC+ , Caa2)
03/01/14
0.000
640,000
1,000
Del Laboratories, Inc., Global
Company Guaranteed
Notes (Callable 02/01/08 @
$104.00) §
(CCC+ , Caa1)
02/01/12
8.000
815,000
3,097
Diamond Brands Operating Corp.,
Company
Guaranteed Notes
(Callable 04/15/06 @ $100.00)
ø^
(NR , NR)
04/15/08
10.125
30,970
1,050
General Binding Corp., Company
Guaranteed
Notes (Callable 06/01/06 @
$100.00)
(B- , Caa1)
06/01/08
9.375
1,065,750
1,500
Johnsondiversey Holdings, Inc.,
Global Discount
Notes (Callable 05/15/07 @
$105.34) +
(B , Caa1)
05/15/13
0.000
1,080,000
1,000
PCA LLC/PCA Finance Corp.,
Global Senior Notes
(CCC , Caa2)
08/01/09
11.875
730,000
1,300
Playtex Products, Inc., Global
Company
Guaranteed Notes
(Callable 06/01/06 @ $104.69)
§
(CCC+ , Caa2)
06/01/11
9.375
1,384,500
600
Prestige Brands, Inc., Global
Senior Subordinated
Notes (Callable 04/15/08 @
$104.63)
(B- , B3)
04/15/12
9.250
615,000
500
Rayovac Corp., Global Senior
Subordinated
Notes (Callable 10/01/08 @
$104.25) §
(B- , B3)
10/01/13
8.500
530,000
750
Remington Arms Company, Inc.,
Global
Company Guaranteed
Notes
(Callable 02/01/07 @
$105.25)
(CCC+ , B3)
02/01/11
10.500
738,750
500
Revlon Consumer Products Corp.,
Global Senior
Notes (Callable 04/01/08 @
$104.75)
(CCC , Caa2)
04/01/11
9.500
486,250
1,250
Sealy Mattress Co., Global
Senior Subordinated
Notes (Callable 06/15/09 @
$104.13)
(B- , B3)
06/15/14
8.250
1,337,500
12,766,845
Containers
(3.7%)
1,100
Berry Plastics Corp., Global
Company Guaranteed
Notes (Callable 07/15/07 @
$105.38)
(B- , B3)
07/15/12
10.750
1,212,750
1,200
Constar International, Inc.,
Senior Subordinated
Notes (Callable 12/01/07 @
$105.50) §
(CCC+ , Caa1)
12/01/12
11.000
972,000
Par
Ratings
(000)
(S&P/Moodys)
Maturity
Rate%
Value
U.S. CORPORATE
BONDS
Containers
$ 650
Graham Packaging Co., Inc., Rule
144A,
Senior Subordinated
Notes
(Callable 10/15/09 @ $104.94)
§
(CCC+ , Caa2)
10/15/14
9.875
$ 672,750
750
Graphic Packaging International
Corp.,
Global Senior Subordinated
Notes
(Callable 08/15/08 @
$104.75)
(B- , B3)
08/15/13
9.500
772,500
1,000
Intertape Polymer US, Inc.,
Global
Senior Subordinated
Notes
(Callable 08/01/09 @
$104.25)
(B- , B3)
08/01/14
8.500
985,160
1,000
Owens-Brockway Glass Containers,
Global
Company Guaranteed
Notes
(Callable 02/15/06 @
$104.44)
(BB- , B1)
02/15/09
8.875
1,062,500
750
Owens-Brockway Glass Containers,
Global
Company Guaranteed
Notes
(Callable 05/15/08 @
$104.12)
(B , B2)
05/15/13
8.250
814,688
500
Pliant Corp., Company Guaranteed
Notes
(Callable 06/01/06 @ $106.50)
§
(CCC+ , Caa2)
06/01/10
13.000
407,500
425
Pliant Corp., Rule 144A, Secured
Notes
(Callable 06/15/07 @ $111.62)
(B- , B3)
06/15/09
11.625
462,721
500
Tekni-Plex, Inc., Series B,
Company Guaranteed
Notes (Callable 06/15/06 @
$106.38) §
(CCC- , Ca)
06/15/10
12.750
370,000
1,000
U.S. Can Corp., Global Company
Guaranteed
Notes (Callable 07/15/07 @
$105.44) §
(CCC+ , Caa2)
07/15/10
10.875
1,070,000
8,802,569
Diversified
Telecommunications (2.1%)
1,000
Hawaiian Telcom Communications,
Inc.,
Rule 144A, Notes
(Callable 05/01/09 @ $104.88)
§
(B- , B3)
05/01/13
9.750
1,085,000
900
Qwest Corp., Global Senior
Notes
(BB- , Ba3)
09/01/11
7.875
942,750
900
Qwest Corp., Notes
(BB- , Ba3)
11/15/08
5.625
892,125
1,339
Qwest Corp., Rule 144A, Senior
Notes §
(BB- , Ba3)
06/15/15
7.625
1,389,213
550
Qwest Services Corp., Global
Secured Notes
(Callable 12/15/06 @ $106.75)
#
(B , Caa1)
12/15/10
13.500
635,250
4,944,338
Electronics/Information/Data Technology
(0.1%)
170
Ampex Corp., Secured Notes
^
(NR , NR)
08/15/08
12.000
170,129
Energy - Other
(4.7%)
1,550
Dynegy Holdings, Inc., Rule
144A, Secured
Notes (Callable 07/15/08 @
$105.06)
(B- , B3)
07/15/13
10.125
1,774,750
250
Dynegy Holdings, Inc., Senior
Notes §
(CCC+ , Caa2)
04/01/11
6.875
251,875
450
El Paso CGP Co.,
Notes
(B- , Caa1)
02/01/09
6.375
445,500
650
El Paso CGP Co.,
Notes
(B- , Caa1)
06/15/10
7.750
671,125
750
El Paso Corp., Senior
Notes
(B- , Caa1)
05/15/11
7.000
765,000
1,000
El Paso Natural Gas, Series A,
Global Senior
Notes (Callable 08/01/07 @
$103.81)
(B , B1)
08/01/10
7.625
1,057,707
2,800
El Paso Production Holding Co.,
Global
Company Guaranteed
Notes
(Callable 06/01/08 @
$103.88)
(B , B3)
06/01/13
7.750
2,985,500
450
Giant Industries, Inc., Company
Guaranteed
Notes (Callable 05/15/09 @
$104.00)
(B- , B3)
05/15/14
8.000
474,750
743
Giant Industries, Inc., Global
Company
Guaranteed Notes
(Callable 05/15/07 @
$105.50)
(B- , B3)
05/15/12
11.000
843,305
500
Reliant Energy, Inc., Secured
Notes
(Callable 12/15/09 @
$103.38)
(B+ , B1)
12/15/14
6.750
495,000
1,050
Reliant Resources, Inc., Global
Secured
Notes (Callable 07/15/08 @
$104.75)
(B+ , B1)
07/15/13
9.500
1,173,375
Par
Ratings
(000)
(S&P/Moodys)
Maturity
Rate%
Value
U.S. CORPORATE
BONDS
Energy -
Other
$ 250
Williams Companies, Inc., Global
Notes
(B+ , B1)
03/15/12
8.125
$
288,750
11,226,637
Environmental
Services (1.9%)
600
Allied Waste North America,
Inc., Rule 144A,
Senior Notes (Callable 03/15/10
@ $103.63)
(BB- , B2)
03/15/15
7.250
594,000
3,200
Allied Waste North America,
Inc., Series B,
Global Senior Notes
(Callable 04/15/09 @ $103.69)
§
(B+ , Caa1)
04/15/14
7.375
3,008,000
1,000
Waste Services, Inc., Rule 144A,
Senior
Subordinated Notes
(Callable 04/15/09 @ $104.75)
§
(CCC , Ca)
04/15/14
9.500
1,005,000
4,607,000
Finance - Other
(2.1%)
500
Corrections Corporation of
America, Senior Notes,
(Callable 05/01/07 @
$103.75)
(BB- , B1)
05/01/11
7.500
521,250
1,150
E*TRADE Financial Corp., Global
Senior Notes
(Callable 06/15/08 @
$104.00)
(B+ , B1)
06/15/11
8.000
1,227,625
1,250
IAAI Finance Corp., Rule 144A,
Senior Unsecured
Notes (Callable 04/01/09 @
$105.50)
(CCC+ , Caa1)
04/01/13
11.000
1,293,956
800
Senior Housing Properties Trust,
Senior Notes
(BB+ , Ba2)
01/15/12
8.625
902,000
1,000
Trustreet Properties, Inc., Rule
144A, Senior
Notes (Callable 04/01/10 @
$103.75)
(B+ , B1)
04/01/15
7.500
1,032,500
4,977,331
Food
Processors/Beverage/Bottling (1.9%)
900
Bear Creek Corp., Rule 144A,
Senior Notes
(Callable 03/01/09 @ $104.50)
(B- , B3)
03/01/13
9.000
895,500
177
Birds Eye Foods, Inc., Company
Guaranteed Notes
(Callable 11/01/05 @
$101.98)
(B- , B3)
11/01/08
11.875
183,195
500
Land O Lakes, Inc., Global
Senior Notes
(Callable 11/15/06 @
$104.38)
(B- , B3)
11/15/11
8.750
527,500
600
Le-Natures, Inc., Rule 144A,
Senior Subordinated
Notes (Callable 06/15/08 @
$104.50) #
(CCC+ , Caa1)
06/15/13
10.000
633,000
500
Pinnacle Foods Holding Corp.,
Global
Senior Subordinated
Notes
(Callable 12/01/08 @ $104.13)
§
(B- , B3)
12/01/13
8.250
457,500
850
Swift & Co., Global Senior
Subordinated Notes
(Callable 10/01/06 @
$106.25)
(B , B2)
01/01/10
12.500
954,125
800
Wornick Co., Global Secured
Notes
(Callable 07/15/08 @
$105.44)
(B+ , B2)
07/15/11
10.875
828,000
4,478,820
Gaming
(10.3%)
1,000
155 East Tropicana LLC, Rule
144A, Secured
Notes (Callable 04/01/09 @
$104.38) §
(B- , B3)
04/01/12
8.750
990,000
1,350
Ameristar Casinos, Inc., Global
Company
Guaranteed Notes (Callable
02/15/06 @ $105.38)
(B+ , B2)
02/15/09
10.750
1,468,125
1,500
Argosy Gaming Co., Global Senior
Subordinated
Notes (Callable 01/15/09 @
$103.50)
(B+ , B1)
01/15/14
7.000
1,659,375
1,350
Aztar Corp., Global Senior
Subordinated Notes
(Callable 08/15/06 @ $104.50)
§
(B+ , Ba3)
08/15/11
9.000
1,464,750
1,200
Boyd Gaming Corp., Global
Company Guaranteed
Notes (Callable 08/01/05 @
$104.63)
(BB- , Ba3)
08/01/09
9.250
1,261,500
2,050
Chukchansi Economic Development
Authority,
Rule 144A, Senior
Notes
(Callable 10/01/06 @ $113.00)
(NR , NR)
06/15/09
14.500
2,516,375
1,350
Circus Circus & Eldorado,
Global First Mortgage
(Callable 03/01/07 @
$105.06)
(B+ , B1)
03/01/12
10.125
1,437,750
Par
Ratings
(000)
(S&P/Moodys)
Maturity
Rate%
Value
U.S. CORPORATE
BONDS
Gaming
$ 2,100
Hard Rock Hotel, Inc., Global
Notes
(Callable 06/01/08 @
$104.44)
(B , B3)
06/01/13
8.875
$ 2,294,250
1,000
Herbst Gaming, Inc., Global
Senior Subordinated
Notes (Callable 06/01/08 @
$104.06) §
(B- , B3)
06/01/12
8.125
1,067,500
1,250
Inn of The Mountain Gods, Global
Senior Notes
(Callable 11/15/07 @
$106.00)
(B , B3)
11/15/10
12.000
1,448,438
900
Isle of Capri Casinos, Inc.,
Global Senior
Subordinated Notes
(Callable 03/01/09 @
$103.50)
(B , B2)
03/01/14
7.000
911,250
1,500
Majestic Star Casino LLC,
Company Guaranteed
Notes (Callable 10/15/07 @
$104.75)
(B , B2)
10/15/10
9.500
1,546,875
200
MGM Mirage, Company Guaranteed
Notes
(BB , Ba2)
10/01/09
6.000
201,500
500
MGM Mirage, Company Guaranteed
Notes
(BB , Ba2)
09/15/10
8.500
553,750
450
MGM Mirage, Company Guaranteed
Notes §
(B+ , Ba3)
02/01/11
8.375
495,562
1,000
MGM Mirage, Global Senior
Notes
(BB , Ba2)
09/01/12
6.750
1,040,000
250
MTR Gaming Group, Inc., Series
B, Global
Company Guaranteed
Notes
(Callable 04/01/07 @
$104.88)
(B+ , B2)
04/01/10
9.750
272,813
1,000
OED Corp., Global Company
Guaranteed Notes
(Callable 04/15/08 @ $104.38)
§
(B , B2)
04/15/12
8.750
973,750
750
Riviera Holdings Corp., Global
Company Guaranteed
Notes (Callable 06/15/06 @
$105.50)
(B , B2)
06/15/10
11.000
826,875
450
Station Casinos, Inc., Rule
144A, Senior
Subordinated Notes
(Callable 03/01/09 @ $102.58)
(B+ , NR)
03/01/16
6.875
465,750
350
Waterford Gaming LLC, Rule 144A,
Senior Notes
(Callable 09/15/08 @ $103.55)
(B+ , B1)
09/15/12
8.625
374,500
250
Wheeling Island Gaming, Inc.,
Global Company
Guaranteed Notes (Callable
12/15/05 @ $105.06)
(B+ ,
B3)
12/15/09
10.125
266,250
452
Windsor Woodmont Black Hawk,
Series B, First
Mortgage Notes ø^
(NR , NR)
03/15/05
13.000
34,740
1,000
Wynn Las Vegas LLC, Global First
Mortgage
Notes (Callable 12/01/09 @
$103.31)
(B+ , B2)
12/01/14
6.625
978,750
24,550,428
Healthcare
Facilities/Supplies (5.6%)
500
AMR/EmCare Holding Co., Rule
144A,
Senior Subordinated
Notes
(Callable 02/15/10 @ $105.00)
(B- , Caa1)
02/15/15
10.000
537,500
1,800
CDRV Investors, Inc., Global
Senior Discount
Notes (Callable 01/01/10 @
$104.81) +
(B- , Caa2)
01/01/15
0.000
927,000
1,000
Concentra Operating Corp.,
Global Company
Guaranteed Notes
(Callable 08/15/07 @
$104.75)
(B- , B3)
08/15/10
9.500
1,070,000
250
DaVita, Inc., Rule 144A, Senior
Subordinated
Notes (Callable 03/15/10 @
$103.63) §
(B , B3)
03/15/15
7.250
260,000
1,000
Extendicare Health Services,
Inc., Senior
Subordinated Notes
(Callable 05/01/09 @
$103.44)
(B- , B2)
05/01/14
6.875
1,000,000
500
Fisher Scientific International,
Inc., Rule 144A,
Senior Subordinated
Notes
(Callable 07/01/10 @ $103.06)
(BB+ , Ba3)
07/01/15
6.125
505,000
500
Hanger Orthopedic Group, Inc.,
Company
Guaranteed Global
Notes
(Callable 02/15/06 @ $105.19)
§
(CCC+ , B3)
02/15/09
10.375
507,500
717
Magellan Health Services, Inc.,
Series A, Senior
Notes (Callable 11/15/05 @
$104.69)
(B+ , B3)
11/15/08
9.375
763,002
1,000
Medquest, Inc., Series B, Global
Company
Guaranteed Notes
(Callable 08/15/07 @
$105.94)
(CCC+ , Caa1)
08/15/12
11.875
980,000
Par
Ratings
(000)
(S&P/Moodys)
Maturity
Rate%
Value
U.S. CORPORATE BONDS
Healthcare Facilities/Supplies
$ 1,500
MQ Associates,
Inc., Global Senior Discount
Notes (Callable 08/15/08 @ $109.00) +
(CCC+ ,
Caa2)
08/15/12
0.000
$
810,000
750
Tenet Healthcare
Corp., Global Senior Notes
(B ,
B3)
07/01/14
9.875
806,250
500
Tenet Healthcare
Corp., Rule 144A, Senior
Notes
(B ,
B3)
02/01/15
9.250
517,500
1,740
Triad Hospitals,
Inc., Senior Notes
(Callable 05/15/08 @ $103.50)
(B+ ,
B2)
05/15/12
7.000
1,827,000
1,000
Triad Hospitals,
Inc., Senior Subordinated Notes
(Callable 11/15/08 @ $103.50)
(B ,
B3)
11/15/13
7.000
1,035,000
750
Universal
Hospital Services, Inc., Global Senior
Notes (Callable 11/01/07 @ $105.06)
(B- ,
B3)
11/01/11
10.125
776,250
1,000
Vanguard Health
Holding Company LLC, Global
Senior Subordinated Notes
(Callable 10/01/09 @ $104.50)
(CCC+ ,
Caa1)
10/01/14
9.000
1,092,500
13,414,502
Home Builders (2.8%)
650
D. R. Horton,
Inc., Company Guaranteed Notes
(BB+ ,
Ba1)
01/15/16
5.625
647,715
900
KB Home, Senior
Notes
(BB+ ,
Ba1)
06/15/15
6.250
925,431
1,775
KB Home, Senior
Subordinated Notes
(BB- ,
Ba2)
12/15/08
8.625
1,943,013
350
Technical
Olympic USA, Inc., Global Senior
Subordinated Notes
(B- ,
B2)
01/15/15
7.500
323,750
700
Toll Corp.,
Senior Subordinated Notes
(Callable 12/01/06 @ $104.12)
(BB+ ,
Ba2)
12/01/11
8.250
757,750
1,000
WCI Communities,
Inc., Global Company
Guaranteed Notes
(Callable 05/01/07 @ $104.56)
(B+ ,
Ba3)
05/01/12
9.125
1,062,500
1,000
William Lyon
Homes, Inc., Company Guaranteed
Notes (Callable 04/01/08 @ $105.38)
(B ,
B2)
04/01/13
10.750
1,112,500
6,772,659
Industrial - Other (1.5%)
1,000
Altra Industrial
Motion, Inc., Rule 144A, Secured
Notes (Callable 12/01/08 @ $104.50)
(CCC+ ,
B3)
12/01/11
9.000
950,000
1,000
Amsted
Industries, Inc., Rule 144A, Senior Notes
(Callable 10/15/07 @ $105.12)
(B ,
B3)
10/15/11
10.250
1,085,000
450
Amtrol, Inc.,
Senior Subordinated Notes §
(CCC- ,
Caa3)
12/31/06
10.625
405,000
200
Coleman Cable,
Inc., Rule 144A, Senior Notes
(Callable 10/01/08 @ $104.94)
(B- ,
B3)
10/01/12
9.875
179,000
1,000
Polypore, Inc.,
Global Senior Subordinated Notes
(Callable 05/15/08 @ $104.38)
(CCC+ ,
Caa1)
05/15/12
8.750
972,500
3,591,500
Leisure (3.1%)
1,300
Affinity Group,
Inc., Global Senior Subordinated
Notes (Callable 02/15/08 @ $105.44)
(B- ,
Caa1)
02/15/12
10.875
1,274,000
2,000
AMC
Entertainment, Inc., Global Senior
Subordinated Notes
(Callable 03/01/09 @ $104.00) §
(CCC+ ,
B3)
03/01/14
8.000
1,850,000
250
Bally Total
Fitness Holding Corp., Global Senior
Notes (Callable 07/15/07 @ $105.25)
(CCC- ,
Caa1)
07/15/11
10.500
255,000
561
Bluegreen Corp.,
Series B, Company Guaranteed
Notes (Callable 04/01/06 @ $100.00)
(B- ,
B3)
04/01/08
10.500
569,415
1,150
Cinemark, Inc.,
Senior Discount Notes
(Callable 03/15/09 @ $104.88) +
(B- ,
Caa1)
03/15/14
0.000
799,250
1,000
Icon Health
& Fitness, Inc., Global Company
Guaranteed Notes
(Callable 04/01/07 @ $105.62)
(CCC- ,
Caa3)
04/01/12
11.250
785,000
950
Six Flags, Inc.,
Global Senior Notes
(Callable 02/01/06 @ $104.44) §
(CCC ,
Caa1)
02/01/10
8.875
942,875
Par
Ratings
(000)
(S&P/Moodys)
Maturity
Rate%
Value
U.S. CORPORATE
BONDS
Leisure
$ 1,050
Six Flags, Inc., Global Senior
Notes
(Callable 06/01/09 @ $104.81)
§
(CCC , Caa1)
06/01/14
9.625
$ 1,025,062
7,500,602
Lodging (0.6%)
500
Host Marriott LP, Global Senior
Notes
(Callable 11/01/08 @ 103.56)
§
(B+ , Ba3)
11/01/13
7.125
524,375
890
John Q. Hammons Hotels, Series
B, Global Notes,
First Mortgage (Callable
05/15/07 @ $104.44)
(B , B2)
05/15/12
8.875
980,113
1,504,488
Metals & Mining
(3.9%)
1,000
AK Steel Corp., Global Company
Guaranteed Notes
(Callable 06/15/07 @ $103.88)
§
(B+ , B1)
06/15/12
7.750
935,000
1,000
Aleris International, Inc.,
Global Company
Guaranteed Notes
(Callable 11/15/09 @
$104.50)
(B- , NR)
11/15/14
9.000
1,052,500
1,600
Alpha Natural Resources LLC,
Global Company
Guaranteed Notes
(Callable 06/01/08 @ $105.00)
#
(B- , B3)
06/01/12
10.000
1,784,000
1,000
Edgen Acquisition Corp., Rule
144A, Secured
Notes (Callable 02/01/08 @
$104.94)
(B- , B3)
02/01/11
9.875
995,000
750
International Steel Group, Inc.,
Global Senior
Notes
(BB , Ba2)
04/15/14
6.500
750,000
600
Metallurg, Inc., Series B,
Company Guaranteed
Notes (Callable 12/01/05 @
$100.00)
(CCC , Caa2)
12/01/07
11.000
591,000
725
Southern Peru Copper Corp., Rule
144A, Notes
(BBB- , Ba1)
07/27/35
7.500
719,967
1,000
UCAR Finance, Inc., Global
Company Guaranteed
Notes (Callable 02/15/07 @
$105.12)
(B- , B2)
02/15/12
10.250
1,077,500
750
WCI Steel, Inc., Series B,
Senior Secured Notes ø
(NR , NR)
12/01/49
10.000
498,750
1,000
Wise Metals Group LLC, Global
Secured Notes
(Callable 05/15/08 @ $105.13)
§
(CCC+ , B2)
05/15/12
10.250
935,000
9,338,717
Paper & Forest
Products (3.7%)
1,000
Appleton Papers, Inc., Series B,
Senior
Subordinated Notes
(Callable 06/15/09 @ $104.88)
§
(B+ , B3)
06/15/14
9.750
965,000
1,000
Caraustar Industries, Inc.,
Global Company
Guaranteed Notes
(Callable 04/01/06 @ $105.25)
§
(B- , Caa1)
04/01/11
9.875
1,022,500
1,000
Cellu Tissue Holdings, Secured
Notes
(Callable 03/15/07 @
$107.31)
(B , B2)
03/15/10
9.750
1,020,000
1,200
Georgia-Pacific Corp., Global
Company Guaranteed
Notes
(BB+ , Ba2)
02/01/10
8.875
1,356,000
1,300
Georgia-Pacific Corp., Global
Company Guaranteed
Notes (Callable 02/01/08 @
$104.69)
(BB+ , Ba2)
02/01/13
9.375
1,475,500
750
Georgia-Pacific Corp., Global
Senior Notes
(BB+ , Ba3)
01/15/24
8.000
858,750
2,250
Newark Group, Inc., Global
Senior Subordinated
Notes (Callable 03/15/09 @
$104.88)
(B- , Caa1)
03/15/14
9.750
2,081,250
8,779,000
Publishing
(3.9%)
1,250
CBD Media Holdings, Global
Senior Notes
(Callable 07/15/08 @
$104.63)
(CCC+ , Caa2)
07/15/12
9.250
1,297,812
800
Dex Media West LLC, Global
Senior Notes
(Callable 11/15/08 @ $102.94)
§
(B , B1)
11/15/11
5.875
796,000
500
Dex Media, Inc., Global Discount
Notes
(Callable 11/15/08 @ $104.50)
+
(B , B3)
11/15/13
0.000
412,500
1,500
Dex Media, Inc., Global Discount
Notes
(Callable 11/15/08 @ $104.50)
+
(B , B3)
11/15/13
0.000
1,237,500
Par
Ratings
(000)
(S&P/Moodys)
Maturity
Rate%
Value
U.S. CORPORATE
BONDS
Publishing
$ 400
Dex Media, Inc., Global
Notes
(Callable 11/15/08 @
$104.00)
(B , B3)
11/15/13
8.000
$ 430,000
1,200
Haights Cross Operating Co.,
Global
Company Guaranteed
Notes
(Callable 08/15/08 @
$105.88)
(CCC , Caa1)
08/15/11
11.750
1,321,500
1,000
Houghton Mifflin Co., Global
Senior Discount
Notes (Callable 10/15/08 @
$105.75) +§
(B- , Caa2)
10/15/13
11.500
790,000
350
Houghton Mifflin Co., Global
Senior Notes
(Callable 02/01/07 @
$104.12)
(B- , B3)
02/01/11
8.250
369,688
500
Morris Publishing Group LLC,
Global Company
Guaranteed Notes (Callable
08/01/08 @
$103.50)
(B+ , Ba3)
08/01/13
7.000
498,125
500
PRIMEDIA, Inc., Global Senior
Notes
(Callable 05/15/08 @
$104.00)
(B , B2)
05/15/13
8.000
511,250
1,000
Sheridan Acquisition Corp.,
Global Secured Notes
(Callable 08/15/07 @
$105.12)
(B , B1)
08/15/11
10.250
1,051,250
500
WDAC Subsidiary Corp., Rule
144A, Senior Notes
(Callable 12/01/09 @ $104.19)
§
(CCC+ , Caa1)
12/01/14
8.375
491,250
9,206,875
Restaurants
(2.6%)
600
Buffets, Inc., Global Senior
Subordinated Notes
(Callable 07/15/06 @
$105.62)
(CCC , B3)
07/15/10
11.250
609,000
1,350
Dennys Corp., Global Company
Guaranteed Notes
(Callable 10/01/08 @ $105.00)
§
(CCC+ , Caa1)
10/01/12
10.000
1,451,250
750
El Pollo Loco, Inc., Global
Secured Notes
(Callable 12/15/06 @
$104.63)
(B- , B2)
12/15/09
9.250
800,625
250
Friendly Ice Cream Corp., Global
Senior Notes
(Callable 06/15/08 @
$104.19)
(B- , B2)
06/15/12
8.375
246,250
1,000
OCharleys, Inc., Global Senior
Subordinated
Notes (Callable 11/01/08 @
$104.50) §
(B , Ba3)
11/01/13
9.000
1,087,500
1,044
RomaCorp, Inc., Senior Notes
^
(NR , NR)
12/31/08
10.500
522,044
550
Sbarro, Inc., Company Guaranteed
Senior Notes
(Callable 09/15/05 @
$103.67)
(CCC+ , Caa2)
09/15/09
11.000
559,625
1,000
Uno Restaurant Corp., Rule 144A,
Senior Notes
(Callable 02/15/08 @ $110.00)
§
(B- , B3)
02/15/11
10.000
970,000
6,246,294
Retail-Food &
Drug (3.2%)
625
Delhaize America, Inc., Global
Company
Guaranteed Notes
(BB+ , Ba1)
04/15/11
8.125
700,154
1,750
Duane Reade, Inc., Global Senior
Subordinated
Notes (Callable 08/01/08 @
$104.88)
(CCC- , Caa3)
08/01/11
9.750
1,373,750
600
General Nutrition Center, Global
Company
Guaranteed Notes (Callable
01/15/08 @ $104.31)
(B- , B3)
01/15/11
8.625
573,000
1,010
Great Atlantic & Pacific Tea
Co., Inc., Senior
Notes (Callable 12/15/06 @
$104.56)
(B- , Caa1)
12/15/11
9.125
1,111,000
1,000
Gregg Appliances, Inc., Rule
144A, Senior Notes
(Callable 02/01/09 @ $104.50)
(B , B2)
02/01/13
9.000
972,500
1,000
Pathmark Stores, Inc., Global
Company
Guaranteed Notes
(Callable 02/01/07 @
$104.38)
(CCC+ , Caa1)
02/01/12
8.750
998,750
1,000
Rite Aid Corp., Global Company
Guaranteed
Notes (Callable 01/15/10 @
$103.75)
(B+ , B2)
01/15/15
7.500
977,500
500
Roundys, Inc., Series B, Global
Company
Guaranteed Notes
(Callable 06/15/07 @ $104.44)
§
(B , B2)
06/15/12
8.875
532,500
450
Stater Brothers Holdings, Inc.,
Global Senior Notes
(Callable 06/15/08 @
$104.06)
(BB- , B1)
06/15/12
8.125
456,750
7,695,904
Par
Ratings
(000)
(S&P/Moodys)
Maturity
Rate%
Value
U.S. CORPORATE BONDS
Retail Stores (2.8%)
$ 700
Asbury
Automotive Group, Inc., Global
Company Guaranteed Notes
(Callable 06/15/07 @ $104.50) §
(B ,
B3)
06/15/12
9.000
$
731,500
1,000
CSK Auto, Inc.,
Global Company Guaranteed
Notes (Callable 01/15/09 @ $103.50)
(B- ,
B2)
01/15/14
7.000
967,500
500
Finlay Fine
Jewelry Corp., Global Senior Notes
(Callable 06/01/08 @ $104.19)
(B+ ,
B2)
06/01/12
8.375
470,000
1,100
JC Penney
Company, Inc., Series MTNA, Notes
(BB+ ,
Ba1)
10/15/15
6.875
1,196,871
500
Keystone
Automotive Operations, Inc.,
Global Senior Subordinated Notes
(Callable 11/01/08 @ $104.88)
(B- ,
B3)
11/01/13
9.750
512,500
500
Nebraska Book
Company, Inc., Global
Senior Subordinated Notes
(Callable 03/15/08 @ $104.31)
(CCC+ ,
Caa1)
03/15/12
8.625
478,750
1,400
Southern States
Cooperative, Inc., Rule 144A,
Senior Notes (Callable 11/01/07 @ $108.00)
(B ,
B3)
11/01/10
10.500
1,400,000
750
United Auto
Group, Inc., Global Company
Guaranteed Notes
(Callable 03/15/07 @ $104.81)
(B ,
B3)
03/15/12
9.625
811,875
6,568,996
Satellite (0.9%)
1,000
Echostar DBS
Corp., Global Company
Guaranteed Notes
(BB- ,
Ba3)
10/01/14
6.625
997,500
1,000
PanAmSat Corp.,
Global Company Guaranteed
Notes (Callable 08/15/09 @ $104.50)
(B+ ,
B1)
08/15/14
9.000
1,110,000
2,107,500
Secondary Oil & Gas Producers
(1.8%)
700
Chesapeake
Energy Corp., Rule 144A, Senior
Notes (Callable 07/15/10 @ $103.13)
(BB- ,
Ba3)
01/15/18
6.250
694,750
1,093
Chesapeake
Energy Corp., Senior Notes
(Callable 01/15/09 @ $103.44) §
(BB- ,
Ba3)
01/15/16
6.875
1,139,452
1,150
Kerr-McGee
Corp., Company Guaranteed Notes
(BB+ ,
Ba3)
09/15/11
6.875
1,237,836
423
Magnum Hunter
Resources, Inc., Global
Company Guaranteed Notes
(Callable 03/15/07 @ $104.80)
(B+ ,
B2)
03/15/12
9.600
471,645
200
Range Resources
Corp., Global Company
Guaranteed Notes
(Callable 03/15/10 @ $103.19)
(B ,
B3)
03/15/15
6.375
202,000
600
Whiting
Petroleum Corp., Global
Senior Subordinated Notes
(Callable 05/01/08 @ $103.63)
(B- ,
B2)
05/01/12
7.250
613,500
4,359,183
Services-Other (7.3%)
1,500
Advanstar
Communications, Inc., Global Secured
Notes (Callable 02/15/08 @ $105.38)
(B- ,
B3)
08/15/10
10.750
1,710,000
1,250
Allied Security Escrow, Global Senior
Subordinated
Notes (Callable 07/15/08 @ $105.69)
(B- ,
Caa1)
07/15/11
11.375
1,243,750
1,150
American Color
Graphics, Global Notes
(Callable 06/15/07 @ $105.00) §
(CCC ,
Caa3)
06/15/10
10.000
822,250
400
Diamond Triumph
Auto Glass, Inc., Company
Guaranteed Notes
(Callable 04/01/06 @ $100.00)
(B- ,
Caa1)
04/01/08
9.250
291,000
1,000
DynCorp
International, Rule 144A, Senior
Subordinated Notes
(Callable 02/15/09 @ $104.75)
(B- ,
Caa1)
02/15/13
9.500
997,500
1,000
HydroChem
Industrial Services, Inc., Rule 144A,
Senior Subordinated Notes
(Callable 02/15/09 @ $104.63)
(B- ,
Caa1)
02/15/13
9.250
945,000
Par
Ratings
(000)
(S&P/Moodys)
Maturity
Rate%
Value
U.S. CORPORATE BONDS
Services-Other
$ 1,000
Integrated Alarm
Services Group, Inc.,
Rule 144A, Secured Notes
(Callable 11/15/08 @ $106.00)
(B- ,
B3)
11/15/11
12.000
$ 1,035,000
750
Iron Mountain,
Inc., Company Guaranteed Notes
(Callable 04/01/06 @ $104.31)
(B ,
Caa1)
04/01/13
8.625
791,250
980
La Petite
Academy, Inc., Series B, Company
Guaranteed Notes
(Callable 05/15/05 @ $101.67) §
(CC ,
Ca)
05/15/08
10.000
940,187
750
Language Line,
Inc., Global Senior Notes
(Callable 06/15/08 @ $105.56)
(CCC+ ,
Caa1)
06/15/12
11.125
716,250
1,000
Mortons
Restaurant Group, Inc., Global Secured
Notes (Callable 07/01/07 @ $105.30) §
(B- ,
B2)
07/01/10
7.500
1,000,000
1,000
Muzak LLC/Muzak
Finance Corp., Global Senior
Notes (Callable 02/15/06 @ $105.00)
(CCC- ,
Caa2)
02/15/09
10.000
898,750
1,000
National Beef
Packing Company LLC, Global
Senior Notes (Callable 08/01/07 @
$105.25)
(B- ,
B3)
08/01/11
10.500
1,070,000
500
Rent-A-Center,
Inc., Series B, Global Company
Guaranteed Notes
(Callable 05/01/06 @ $103.75)
(BB- ,
B1)
05/01/10
7.500
513,750
500
SunGard Data
Systems, Inc., Rule 144A,
Senior Subordinated Notes
(Callable 08/15/10 @ $105.13)
(B- ,
Caa1)
08/15/15
10.250
520,625
440
United Rentals
North America, Inc., Global
Company Guaranteed Notes
(Callable 02/15/08 @ $103.25)
(BB- ,
B2)
02/15/12
6.500
430,100
1,000
United Rentals
North America, Inc., Global
Senior Subordinated Notes
(Callable 02/15/09 @ $103.50) §
(B+ ,
B3)
02/15/14
7.000
947,500
2,000
United Rentals
North America, Inc., Global
Senior Subordinated Notes
(Callable 11/15/08 @ $103.88) §
(B+ ,
B3)
11/15/13
7.750
1,960,000
975
WMG Holdings Corp., Rule 144A, Senior
Discount
Notes (Callable 12/15/09 @ $104.75) +
(B- ,
Caa2)
12/15/14
0.000
692,250
17,525,162
Technology (3.6%)
1,000
Advanced Micro Devices, Inc., Global Senior
Notes
(Callable 11/01/08 @ $103.88) §
(B- ,
B3)
11/01/12
7.750
1,017,500
1,400
Amkor
Technology, Inc., Global Senior Notes
(Callable 05/15/08 @ $103.88) §
(B- ,
B3)
05/15/13
7.750
1,197,000
1,000
Itron, Inc.,
Global Senior Subordinated Notes
(Callable 05/15/08 @ $103.88)
(B ,
B2)
05/15/12
7.750
1,042,500
950
Lucent
Technologies, Inc., Notes
(B ,
B1)
07/15/06
7.250
977,312
800
Lucent
Technologies, Inc., Notes §
(B ,
B1)
11/15/08
5.500
806,000
1,000
Sanmina-SCI
Corp., Global Company Guaranteed
Notes (Callable 01/15/07 @ $105.19)
(BB- ,
Ba2)
01/15/10
10.375
1,115,000
1,000
Viasystems,
Inc., Global Senior Subordinated
Notes (Callable 01/15/08 @ $105.25)
(CCC+ ,
Caa2)
01/15/11
10.500
985,000
1,350
Xerox Corp.,
Senior Notes
(Callable 06/15/08 @ $103.81)
(BB- ,
Ba2)
06/15/13
7.625
1,447,875
8,588,187
Textile/Apparel/Shoe Manufacturing (2.8%)
2,797
BGF Industries,
Inc., Series B, Senior
Subordinated Notes
(Callable 01/15/06 @ $101.75)
(CCC- ,
Ca)
01/15/09
10.250
2,797,000
1,000
Levi Strauss
& Co., Global Senior Notes
(Callable 01/15/10 @ $104.88)
(B- ,
Caa3)
01/15/15
9.750
1,055,000
1,200
Levi Strauss
& Co., Global Senior Notes
(Callable 12/15/07 @ $106.12)
(B- ,
Caa3)
12/15/12
12.250
1,353,000
Par
Ratings
(000)
(S&P/Moodys)
Maturity
Rate%
Value
U.S. CORPORATE BONDS
Textile/Apparel/Shoe Manufacturing
$ 400
Phillips-Van
Heusen Corp., Global Senior Notes
(Callable 02/15/09 @ $103.62)
(BB ,
B2)
02/15/11
7.250
$
423,000
950
Propex Fabrics,
Inc., Global Company Guaranteed
Notes (Callable 12/01/08 @ $105.00)
(B- ,
Caa1)
12/01/12
10.000
921,500
6,549,500
Tower (0.8%)
1,000
American Tower
Corp., Global Senior Notes
(Callable 10/15/08 @ $103.56)
(BB- ,
B3)
10/15/12
7.125
1,060,000
1,018
SBA
Telecommunications, Inc., Global
Senior Discount Notes
(Callable 12/15/07 @ $104.88) +
(B- ,
B3)
12/15/11
0.000
939,105
1,999,105
Transportation/Other (0.3%)
1,000
H-Lines Finance
Holding Corp., Rule 144A,
Senior Discount Notes
(Callable 04/01/08 @ $105.50) +
(NR ,
Caa2)
04/01/13
0.000
810,000
Utilities (6.4%)
1,000
AES Corp., Rule
144A, Secured Notes
(Callable 05/15/08 @ $104.50)
(B+ ,
Ba3)
05/15/15
9.000
1,120,000
1,000
Allegheny Energy
Supply Company LLC, Global
Notes §
(B ,
Ba3)
03/15/11
7.800
1,097,500
1,100
Aquila, Inc.,
Senior Notes
(B- ,
B2)
11/15/09
7.625
1,149,500
2,250
Calpine Corp.,
Rule 144A, Secured Notes
(Callable 07/15/08 @ $104.38) §
(B- ,
NR)
07/15/13
8.750
1,687,500
1,000
Calpine Corp.,
Senior Notes §
(CCC ,
Caa3)
02/15/11
8.500
700,000
2,500
Calpine
Generating Company LLC, Global Secured
Notes (Callable 04/01/08 @ $103.50) #
(B- ,
B3)
04/01/12
9.090
2,543,750
1,000
CMS Energy
Corp., Global Senior Notes
(B+ ,
B1)
07/15/08
8.900
1,095,000
1,000
CMS Energy
Corp., Global Senior Notes
(B+ ,
B1)
08/01/10
7.750
1,085,000
350
Edison Mission
Energy, Global Senior Notes
(B+ ,
B1)
08/15/08
10.000
392,000
1,300
Edison Mission
Energy, Senior Notes
(B+ ,
B1)
06/15/09
7.730
1,378,000
1,000
Midwest
Generation LLC, Global Secured Notes
(Callable 05/01/09 @ $104.38)
(B ,
B1)
05/01/34
8.750
1,125,000
1,100
Mirant Corp.,
Rule 144A, Senior Notes ø
(NR ,
NR)
07/15/49
7.400
1,039,500
225
NRG Energy,
Inc., Rule 144A, Secured Notes
(Callable 12/15/08 @ $104.00)
(B ,
B1)
12/15/13
8.000
241,875
500
Sierra Pacific
Resources, Global Senior Notes
(Callable 03/15/09 @ $104.31)
(B- ,
B2)
03/15/14
8.625
556,250
15,210,875
Wireless (6.8%)
450
AirGate PCS,
Inc., Rule 144A, Secured Notes
(Callable 01/01/06 @ $104.69) §
(CCC ,
Caa1)
09/01/09
9.375
477,456
600
AirGate PCS,
Inc., Secured Note
(Callable 01/01/06 @ $104.69) §
(CCC ,
Caa1)
09/01/09
9.375
636,750
800
American
Cellular Corp., Series B, Global Senior
Notes (Callable 08/01/07 @ $105.00)
(B- ,
Caa1)
08/01/11
10.000
842,000
650
Centennial
Communications Corp., Global
Company Guaranteed Notes
(Callable 06/15/08 @ $105.06)
(CCC ,
B3)
06/15/13
10.125
735,312
1,950
Centennial
Communications Corp., Global Senior
Notes (Callable 02/01/09 @ $104.06) #
(CCC ,
B3)
02/01/14
8.125
2,101,125
170
Dobson Cellular
Systems, Global Secured Notes
(Callable 11/01/08 @ $104.94)
(CCC ,
B3)
11/01/12
9.875
188,913
1,150
Dobson
Communications Corp., Global Senior
Notes (Callable 10/01/08 @ $104.44)
(CCC ,
Ca)
10/01/13
8.875
1,152,875
750
Horizon PCS,
Inc., Global Company Guaranteed
Notes (Callable 07/15/08 @ $105.69)
(CCC ,
B3)
07/15/12
11.375
855,000
Par
Ratings
(000)
(S&P/Moodys)
Maturity
Rate%
Value
U.S. CORPORATE
BONDS
Wireless
$ 850
IPCS, Inc., Global Senior
Notes
(Callable 05/01/08 @ $105.75)
§
(CCC , B3)
05/01/12
11.500
$
969,000
500
Nextel Communications, Inc.,
Senior Notes
(Callable 08/01/08 @
$103.69)
(A- , Baa2)
08/01/15
7.375
541,250
1,100
Nextel Partners, Inc., Global
Senior Notes
(Callable 07/01/07 @ $104.06)
§
(BB- , Ba3)
07/01/11
8.125
1,205,875
1,250
Rural Cellular Corp., Global
Senior Subordinated
Notes (Callable 01/15/06 @
$104.88) §
(CCC , Caa2)
01/15/10
9.750
1,251,563
2,000
Triton PCS, Inc., Global Company
Guaranteed
Notes (Callable 06/01/08 @
$104.25) §
(CCC- , Caa1)
06/01/13
8.500
1,850,000
2,000
Ubiquitel Operating Co., Global
Senior Notes
(Callable 03/01/07 @
$107.41)
(CCC , Caa1)
03/01/11
9.875
2,242,500
1,000
Western Wireless Corp., Global
Senior Notes
(Callable 07/15/08 @
$104.62)
(A , A2)
07/15/13
9.250
1,145,000
16,194,619
TOTAL U.S.
CORPORATE BONDS (Cost $302,248,457)
306,254,615
FOREIGN CORPORATE
BONDS (11.3%)
Automobile
Manufacturing/Vehicle Parts (0.4%)
800
Bombardier Recreational
Products, Global
Senior Subordinated
Notes
(Callable 12/15/08 @ $104.19)
(Canada)
(B , B3)
12/15/13
8.375
868,000
Broadband
(0.7%)
1,000
Call-Net Enterprises, Inc.,
Yankee Company
Guaranteed Notes
(Callable 01/01/06 @ $105.31)
(Canada)
(BB , B3)
12/31/08
10.625
1,081,250
650
Global Crossing Finance, Rule
144A, Company
Guaranteed Global
Notes
(Callable 12/15/06 @
105.38)
(United Kingdom)
(B- , Caa1)
12/15/14
10.750
601,250
1,682,500
Building Products
(0.3%)
1,250
Maax Holdings, Inc., Rule 144A,
Senior
Discount Notes (Callable
12/15/08 @ $105.62)
(Canada) +
(CCC+ , Caa1)
12/15/12
0.000
631,250
Cable
(0.9%)
1,000
Kabel Deutschland GmbH, Rule
144A, Senior
Notes (Callable 07/01/09 @
$105.31)
(Germany)
(B- , B2)
07/01/14
10.625
1,110,000
1,350
Telenet Group Holding NV, Rule
144A, Senior
Notes (Callable 12/15/08 @
$105.75)
(Belgium) +
(CCC+ , Caa2)
06/15/14
11.500
1,093,500
2,203,500
Chemicals
(1.0%)
1,000
Acetex Corp., Global Senior
Notes
(Callable 08/19/05 @ $105.44)
(Canada)
(NR , NR)
08/01/09
10.875
1,060,000
1,250
Rhodia SA, Global Senior Notes
(France)
(CCC+ , B3)
06/01/10
10.250
1,353,125
2,413,125
Containers
(0.6%)
1,250
Crown European Holdings SA,
Global Secured
Notes (Callable 03/01/07 @
$104.75) (France)
(B+ , B1)
03/01/11
9.500
1,381,250
Par
Ratings
(000)
(S&P/Moodys)
Maturity
Rate%
Value
FOREIGN CORPORATE BONDS
Electronics/Information/Data Technology
(0.1%)
$ 250
Celestica, Inc.,
Senior Subordinated Notes
(Callable 07/01/08 @ $103.94) (Canada) §
(B ,
B2)
07/01/11
7.875
$
258,750
Food Processors/Beverage/Bottling
(0.5%)
1,000
Burns Philp Capital Property, Ltd., Global
Company
Guaranteed Notes (Callable 07/15/07 @ $104.88)
(Australia)
(B ,
B3)
07/15/12
9.750
1,095,000
Gaming (0.3%)
750
Kerzner
International, Ltd., Global Company
Guaranteed Notes (Callable 08/15/06 @ $104.44)
(Bahamas)
(B ,
B2)
08/15/11
8.875
806,250
Industrial - Other (0.0%)
1,021
International
Utility Structures, Inc., Yankee
Senior Subordinated Notes
(Callable 02/01/06 @ $100.00)
(Canada) ø^
(NR ,
NR)
02/01/08
10.750
10,205
Leisure (0.4%)
1,000
NCL Corporation,
Ltd., Rule 144A, Senior Notes
(Callable 07/15/09 @ $105.31) (Bermuda) #
(B+ ,
B2)
07/15/14
11.625
1,070,000
Metals & Mining (0.8%)
1,000
Gerdau
Ameristeel Corp., Global Senior Notes
(Callable 07/15/07 @ $105.38) (Canada)
(BB- ,
Ba3)
07/15/11
10.375
1,110,000
650
Ispat Inland
ULC, Global Secured Notes
(Callable 04/01/09 @ $104.88) (Canada)
(BBB+ ,
Ba1)
04/01/14
9.750
770,250
1,880,250
Paper & Forest Products (1.8%)
600
Abitibi-Consolidated, Inc., Global Notes
(Canada)
(BB- ,
Ba3)
06/15/11
7.750
615,000
400
Abitibi-Consolidated, Inc., Yankee Senior Notes
(Canada) §
(BB- ,
Ba3)
04/01/15
8.375
418,000
750
Fraser Papers,
Inc., Rule 144A, Senior Notes
(Callable 03/15/10 @ $104.38) (Canada)
(B ,
B3)
03/15/15
8.750
675,000
750
JSG Funding PLC,
Global Senior Notes
(Callable 10/01/07 @ $104.81) (Ireland)
(B- ,
B3)
10/01/12
9.625
761,250
1,000
JSG Funding PLC,
Global Senior Subordinated
Notes (Callable 01/31/10 @ $103.88)
(Ireland) §
(NR ,
Caa1)
04/01/15
7.750
855,000
1,200
Tembec
Industries, Inc., Yankee Company
Guaranteed Notes (Callable 10/03/05 @ $102.88)
(Canada) §
(B ,
B3)
06/30/09
8.625
1,023,000
4,347,250
Retail-Food & Drug (0.4%)
1,000
Jean Coutu Group
(PJC), Inc., Global Senior
Subordinated Notes (Callable 08/01/09 @ $104.25)
(Canada)
(B ,
B3)
08/01/14
8.500
996,250
Satellite (1.0%)
1,000
Intelsat
Bermuda, Ltd., Rule 144A, Senior Notes
(Callable 07/15/06 @ $102.00) (Bermuda) #
(B+ ,
B2)
01/15/12
9.695
1,025,000
1,700
New Asat, Ltd., Global Company Guaranteed Notes
(Callable 02/01/08 @ $104.63)
(Cayman Islands)
(B- ,
B3)
02/01/11
9.250
1,436,500
2,461,500
Par
Ratings
(000)
(S&P/Moodys)
Maturity
Rate%
Value
FOREIGN CORPORATE
BONDS
Technology
(0.7%)
$ 750
Danka Business Systems PLC,
Global Senior
Notes (Callable 06/15/07 @
$105.50)
(United Kingdom)
(B , B3)
06/15/10
11.000
$
596,250
1,000
Flextronics International, Ltd.,
Global
Senior Subordinated
Notes
(Callable 11/15/09 @ $103.13)
(Singapore)
(BB- , Ba2)
11/15/14
6.250
995,000
1,591,250
Transportation/Other (0.8%)
445
Sea Containers, Ltd., Series B,
Yankee Senior
Notes (Bermuda)
(B , B3)
02/15/08
7.875
440,550
1,100
Ship Finance International,
Ltd., Global Senior
Notes (Callable 12/15/08 @
$104.25)
(Bermuda)
(B , B1)
12/15/13
8.500
1,058,750
500
Titan Petrochemicals Group,
Ltd., Rule 144A,
Company Guaranteed Notes
(Bermuda)
(B+ , B1)
03/18/12
8.500
472,500
1,971,800
Wireless
(0.6%)
750
Millicom International Cellular
SA, Global Senior
Notes (Callable 12/01/08 @
$105.00)
(Luxembourg) #
(B- , B3)
12/01/13
10.000
780,000
500
Rogers Wireless Communications,
Inc., Global
Secured Notes
(Canada)
(BB , Ba3)
03/15/15
7.500
548,750
1,328,750
TOTAL FOREIGN
CORPORATE BONDS (Cost $27,296,965)
26,996,880
Number of
Shares
COMMON STOCKS
(1.1%)
Automobile
Manufacturing/Vehicle Parts (0.0%)
774,557
Cambridge Industries Liquidating
Trust ^*
7,746
Chemicals
(0.1%)
4,893
Huntsman Corp. *
113,958
Diversified
Telecommunications (0.3%)
233,772
Versatel Telecom International
NV *
621,853
Food
Processors/Beverage/Bottling (0.4%)
1,291
Archibald Candy Corp.
^*
0
845
Crunch Equity Holdings, Class A
*
1,035,086
1,035,086
Wireless
(0.3%)
99,764
Dobson Communications Corp.,
Class A *
703,336
TOTAL COMMON STOCKS
(Cost $2,949,016)
2,481,979
WARRANTS
(0.0%)
Broadband
(0.0%)
6,750
GT Group Telecom, Inc., Rule
144A, strike
price $0.00, expires 02/01/10
^*
0
5,980
Ono Finance PLC, expires
05/31/09 *
60
60
Number
of
Shares
Value
WARRANTS
Diversified
Telecommunications (0.0%)
3,000
Versatel Telecom International
NV, strike price $2.81,
expires 05/15/08 *
$
62,982
Gaming
(0.0%)
106
Windsor Woodmont Black Hawk,
strike price $0.01,
expires 03/15/10 ^*
0
Restaurants
(0.0%)
336
New World Restaurant Group,
Inc., strike price $13.00,
expires 06/20/06 *
3
Technology
(0.0%)
5,000
Asat Finance LLC, Rule 144A,
strike price $18.60,
expires 11/01/06 *
625
204,293
Viasystems, Inc., strike price
$25.31, expires 01/31/10 ^*
2,043
2,668
TOTAL WARRANTS
(Cost $3,938,143)
65,713
REPURCHASE
AGREEMENTS (21.8%)
2,341,527
Bear Stearns & Co., 2.48%,
Dated
07/31/05, due 08/01/05,
proceeds at maturity $2,342,012,
(fully collateralized by
U.S.
Treasury Strips, due 08/15/20,
FNMA, due 10/25/31,
Market
Value of collateral
is $2,410,022), §§
2,341,527
42,761,944
Bear Stearns & Co., 3.31%,
Dated
07/31/05, due 08/01/05,
proceeds at maturity $42,773,748,
(fully collateralized by
FNMA,
due 10/25/31,
FHLMC, due 06/15/31,
GNMA,
due 03/20/32,
FHLMC,
due 02/15/32,
FNMA,
due 08/25/32,
FNMA,
due01/01/33,
Market
Value of collareral
is $43,840,057), §§
42,761,944
7,004,120
Bear Stearns & Co.,
3.25%,
Dated
07/31/05, due 08/01/05,
proceeds at maturity $7,006,017,
(fully collateralized by
U.S.
Treasury Strips, due 08/15/20,
FHLMC,
due 05/15/28,
FNMA, due 11/25/30,
FNMA,
due 12/25/31,
FNMA,
due 11/25/31,
FNMA,
due 01/18/32,
FNMA,
due 10/25/31,
Market
Value of collateral
is $7,171,134), §§
7,004,120
TOTAL REPURCHASE
AGREEMENTS (Cost $52,107,591)
52,107,591
SHORT-TERM
INVESTMENTS (12.6%)
15,000,000
Dreyfus Cash Management, Class
A, Institutional
Shares §§
15,000,000
15,000,000
Dreyfus Cash Management Plus,
Inc., Institutional
Shares §§
15,000,000
TOTAL SHORT-TERM
INVESTMENTS (Cost $30,000,000)
30,000,000
TOTAL INVESTMENTS
AT VALUE (175.1%) (Cost $418,540,172)
417,906,778
LIABILITIES IN
EXCESS OF OTHER ASSETS (-75.1%)
(179,230,277)
NET ASSETS
(100.0%)
$ 238,676,501
INVESTMENT
ABBREVIATIONS
MTNA = Medium Term Notes Series
A
NR = Not Rated
| Credit ratings given by The Standard & Poors Division of The McGraw-Hill Companies, Inc. (S&P) and Moodys | |
Investors Service, Inc. (Moodys) are unaudited. | ||
| Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in | |
transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2005, these securities | ||
amounted to $57,268,001 or 23.99% of net assets. | ||
+ | Step Bond The interest stated is as of July 31, 2005 and will reset at a future date. | |
ø | Bond in default. | |
^ | Not readily marketable; security is valued at fair value as determined in good faith by, or under the direction of, the | |
Board of Trustees. | ||
# | Variable rate obligations The interest rate shown is the rate as of July 31, 2005. | |
* | Non-income producing security. | |
§ | Security or portion thereof is out on loan. | |
§§ | Represents security purchased with cash collateral received for securities on loan. |
Portfolio valuation: Fixed-income securities (other than
short-term obligations, but including listed issues) are valued
based Federal
Income Tax Cost - At July 31, 2005, the identified cost for federal income
tax purposes, as well as the gross unreal- Other
information regarding the Fund is available in the Funds most recent
Report to Shareholders. This information is also |
Item 2. Controls and Procedures.
(a) As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")), were effective based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities and Exchange Act of 1934.
(b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 3. Exhibits.
The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.
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.
Credit Suisse High Yield Bond Fund
/s/ Steven Plump
Name: Steven Plump
Title: Chief Executive Officer
Date: September 29, 2005
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.
/s/ Steven Plump
Name: Steven Plump
Title: Chief Executive Officer
Date: September 29, 2005
/s/ Michael A. Pignataro
Name: Michael A. Pignataro
Title: Chief Financial Officer
Date: September 29, 2005
I, Steven Plump, certify that:
Date: September 29, 2005
/s/ Steven Plump
Name: Steven Plump
Title: Chief Executive Officer
I, Michael A. Pignataro, certify that:
Date: September 29, 2005
/s/ Michael A. Pignataro
Name: Michael A. Pignataro
Title: Chief Financial Officer