-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, E72MlDi4vw24T2fhj1MTH8LmGiciiHh8VUiAOSGdGt/c3NGCgSCSm+a0Se97NdcE Omi3zXsA6idADrulmgQQFA== 0001104659-06-063628.txt : 20060928 0001104659-06-063628.hdr.sgml : 20060928 20060928111621 ACCESSION NUMBER: 0001104659-06-063628 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20060731 FILED AS OF DATE: 20060928 DATE AS OF CHANGE: 20060928 EFFECTIVENESS DATE: 20060928 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CREDIT SUISSE HIGH YIELD BOND FUND CENTRAL INDEX KEY: 0001061353 IRS NUMBER: 134009166 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-08777 FILM NUMBER: 061112846 BUSINESS ADDRESS: STREET 1: 277 PARK AVENUE CITY: NEW YORK STATE: NY ZIP: 10172 BUSINESS PHONE: 2128926692 MAIL ADDRESS: STREET 1: 277 PARK AVENUE CITY: NEW YORK STATE: NY ZIP: 10172 FORMER COMPANY: FORMER CONFORMED NAME: DLJ HIGH YIELD BOND FUND DATE OF NAME CHANGE: 19980508 N-Q 1 a06-18808_22nq.htm N-Q

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number:

811-08777

 

 

CREDIT SUISSE HIGH YIELD BOND FUND

(Exact name of registrant as specified in charter)

 

c/o Credit Suisse Asset Management, LLC

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)

 

Registrant’s telephone number, including area code:

(212) 875-3500

 

 

Date of fiscal year-end:

October 31st

 

 

 

 

Date of reporting period:

May 1, 2006 to July 31, 2006

 

 




Item 1:                   Schedule of Investments




 

Credit Suisse High Yield Bond Fund

Schedule of Investments

July 31, 2006 (unaudited)

 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS (131.2%)

 

 

 

 

 

 

 

 

 

Aerospace & Defense (1.5%)

 

 

 

 

 

 

 

 

 

$

650

 

DRS Technologies, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.81)§

 

(B, B3)

 

02/01/18

 

7.625

 

$

651,625

 

725

 

DRS Technologies, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $103.44)§

 

(B, B3)

 

11/01/13

 

6.875

 

705,063

 

350

 

K&F Acquisition, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $103.88)

 

(B-, Caa1)

 

11/15/14

 

7.750

 

345,625

 

1,800

 

L-3 Communications Corp., Global Senior Subordinated Notes (Callable 01/15/10 @ $102.94)

 

(BB+, Ba3)

 

01/15/15

 

5.875

 

1,696,500

 

 

 

 

 

 

 

 

 

 

 

3,398,813

 

Agriculture (0.6%)

 

 

 

 

 

 

 

 

 

1,400

 

Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 11/01/07 @ $108.00)‡

 

(B, B3)

 

11/01/10

 

10.500

 

1,463,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Auto Loans (5.8%)

 

 

 

 

 

 

 

 

 

1,750

 

Ford Motor Credit Co., Global Notes§

 

(B+, Ba3)

 

10/01/13

 

7.000

 

1,539,142

 

5,525

 

Ford Motor Credit Co., Notes

 

(B+, Ba3)

 

06/16/08

 

6.625

 

5,324,559

 

4,200

 

General Motors Acceptance Corp., Global Notes§

 

(BB, Ba1)

 

05/15/09

 

5.625

 

4,018,018

 

2,250

 

General Motors Acceptance Corp., Global Notes§

 

(BB, Ba1)

 

12/01/14

 

6.750

 

2,121,253

 

 

 

 

 

 

 

 

 

 

 

13,002,972

 

Automobile Parts & Equipment (4.3%)

 

 

 

 

 

 

 

 

 

575

 

Accuride Corp., Global Company Guaranteed Notes (Callable 02/01/10 @ $104.25)

 

(B-, B3)

 

02/01/15

 

8.500

 

537,625

 

1,025

 

Altra Industrial Motion, Inc., Global Secured Notes (Callable 12/01/08 @ $104.50)#

 

(CCC+, B3)

 

12/01/11

 

9.000

 

1,035,250

 

1,200

 

American Tire Distributors Holdings, Inc., Senior Notes (Callable 04/01/09 @ $105.38)

 

(CCC+, Caa2)

 

04/01/13

 

10.750

 

1,107,000

 

425

 

ArvinMeritor, Inc., Notes§

 

(BB, Ba2)

 

03/01/12

 

8.750

 

413,312

 

400

 

Cooper-Standard Automotive, Inc., Global Company Guaranteed Notes (Callable 12/15/09 @ $104.19)

 

(B-, Caa1)

 

12/15/14

 

8.375

 

302,000

 

1,900

 

Goodyear Tire & Rubber Co., Global Senior Notes (Callable 07/01/10 @ $104.50)§

 

(B-, B3)

 

07/01/15

 

9.000

 

1,838,250

 

1,075

 

Insurance Auto Auctions, Inc., Global Company Guaranteed Notes (Callable 04/01/09 @ $105.50)

 

(CCC+, Caa1)

 

04/01/13

 

11.000

 

1,069,625

 

500

 

Keystone Automotive Operations, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $104.88)

 

(B-, Caa1)

 

11/01/13

 

9.750

 

478,750

 

1,200

 

Stanadyne Corp., Global Senior Subordinated Notes (Callable 08/15/09 @ $105.00)

 

(CCC+, Caa1)

 

08/15/14

 

10.000

 

1,158,000

 

800

 

Tenneco Automotive, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $104.31)§

 

(B, B3)

 

11/15/14

 

8.625

 

798,000

 

1,000

 

Visteon Corp., Global Senior Notes

 

(B-, B3)

 

08/01/10

 

8.250

 

925,000

 

 

 

 

 

 

 

 

 

 

 

9,662,812

 

Automotive (0.8%)

 

 

 

 

 

 

 

 

 

1,200

 

General Motors Corp., Global Debentures§

 

(B-, Caa1)

 

07/15/33

 

8.375

 

990,000

 

1,075

 

General Motors Corp., Global Senior Notes§

 

(B-, Caa1)

 

07/15/13

 

7.125

 

919,125

 

 

 

 

 

 

 

 

 

 

 

1,909,125

 

Beverages (0.3%)

 

 

 

 

 

 

 

 

 

600

 

Le-Natures, Inc., Rule 144A, Senior Subordinated Notes (Callable 06/15/08 @ $104.50)‡#

 

(CCC+, B3)

 

06/15/13

 

10.000

 

639,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Brokerage (0.4%)

 

 

 

 

 

 

 

 

 

775

 

E*TRADE Financial Corp., Global Senior Notes (Callable 06/15/08 @ $104.00)§

 

(B+, Ba2)

 

06/15/11

 

8.000

 

800,188

 

 

 

 

 

 

 

 

 

 

 

 

 

Building & Construction (2.2%)

 

 

 

 

 

 

 

 

 

625

 

K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes

 

(BB, Ba1)

 

01/15/16

 

6.250

 

537,500

 

775

 

KB Home, Senior Subordinated Notes

 

(BB-, Ba2)

 

12/15/08

 

8.625

 

807,092

 

900

 

Standard Pacific Corp., Global Senior Notes§

 

(BB, Ba2)

 

08/15/15

 

7.000

 

770,625

 

1,200

 

Technical Olympic USA, Inc., Rule 144A, Global Senior Subordinated Notes‡§

 

(B-, B2)

 

01/15/15

 

7.500

 

936,000

 

 



 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

$

175

 

Technical Olympic USA, Inc., Rule 144A, Senior Notes‡§

 

(B+, Ba3)

 

04/01/11

 

8.250

 

$

161,437

 

975

 

WCI Communities, Inc., Global Company Guaranteed Notes (Callable 05/01/07 @ $104.56)

 

(B+, Ba3)

 

05/01/12

 

9.125

 

882,375

 

1,000

 

William Lyon Homes, Inc., Company Guaranteed Notes (Callable 04/01/08 @ $105.38)§

 

(B, B2)

 

04/01/13

 

10.750

 

925,000

 

 

 

 

 

 

 

 

 

 

 

5,020,029

 

Building Materials (5.0%)

 

 

 

 

 

 

 

 

 

1,000

 

Associated Materials, Inc., Global Senior Discount Notes (Callable 03/01/09 @ $105.62)+

 

(CCC, Caa3)

 

03/01/14

 

0.000

 

575,000

 

1,300

 

Building Materials Corp., Global Secured Notes (Callable 08/01/09 @ $103.88)

 

(B+, B2)

 

08/01/14

 

7.750

 

1,228,500

 

750

 

Compression Polymers Holding Corp., Rule 144A, Senior Notes (Callable 07/01/09 @ $105.25)‡

 

(B-, B2)

 

07/01/13

 

10.500

 

772,500

 

500

 

Dayton Superior Corp., Company Guaranteed Notes (Callable 06/15/07 @ $102.17)

 

(CCC, Caa3)

 

06/15/09

 

13.000

 

461,250

 

750

 

Dayton Superior Corp., Global Secured Notes (Callable 06/15/07 @ $102.81)

 

(B-, Caa1)

 

09/15/08

 

10.750

 

778,125

 

1,375

 

Goodman Global Holding Company, Inc., Global Senior Subordinated Notes (Callable 12/15/08 @ $103.94)§

 

(B-, B3)

 

12/15/12

 

7.875

 

1,282,187

 

1,100

 

Interface, Inc., Global Senior Subordinated Notes (Callable 02/01/09 @ $104.75)§

 

(CCC, Caa1)

 

02/01/14

 

9.500

 

1,133,000

 

325

 

Norcraft Companies, Global Senior Subordinated Notes (Callable 11/01/07 @ $104.50)

 

(B-, B3)

 

11/01/11

 

9.000

 

333,125

 

750

 

Norcraft Holdings, Global Senior Discount Notes (Callable 09/01/08 @ $104.88)+

 

(B-, Caa1)

 

09/01/12

 

0.000

 

607,500

 

1,100

 

Nortek, Inc., Global Senior Subordinated Notes (Callable 09/01/09 @ $104.25)

 

(CCC+, Caa1)

 

09/01/14

 

8.500

 

1,034,000

 

1,000

 

NTK Holdings, Inc., Global Senior Discount Notes (Callable 09/01/09 @ $105.38)+

 

(CCC+, Caa2)

 

03/01/14

 

0.000

 

705,000

 

1,250

 

Ply Gem Industries, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $104.50)§

 

(B-, B3)

 

02/15/12

 

9.000

 

1,100,000

 

1,000

 

RMCC Acquisition Co., Rule 144A, Senior Subordinated Notes (Callable 11/01/08 @ $104.75)‡

 

(CCC+, Caa1)

 

11/01/12

 

9.500

 

1,045,000

 

475

 

Werner Holding Co., Inc., Series A, Company Guaranteed Notes ø

 

(CC, Caa3)

 

11/15/07

 

10.000

 

144,875

 

 

 

 

 

 

 

 

 

 

 

11,200,062

 

Chemicals (5.3%)

 

 

 

 

 

 

 

 

 

650

 

BCP Crystal Holdings Corp., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.81)

 

(B, B3)

 

06/15/14

 

9.625

 

701,188

 

876

 

Crystal US Holdings, Global Senior Discount Notes (Callable 10/01/09 @ $105.25)+

 

(B, Caa2)

 

10/01/14

 

0.000

 

687,660

 

1,000

 

Equistar Chemicals LP/ Equistar Funding Corp., Global Company Guaranteed Notes

 

(BB-, B1)

 

09/01/08

 

10.125

 

1,057,500

 

773

 

Huntsman LLC, Global Company Guaranteed Notes (Callable 07/15/08 @ $105.75)#

 

(B, B2)

 

07/15/12

 

11.500

 

865,760

 

1,100

 

IMC Global, Inc., Global Senior Notes (Callable 08/01/08 @ $105.44)

 

(BB, Ba3)

 

08/01/13

 

10.875

 

1,221,000

 

1,450

 

IMC Global, Inc., Series B, Global Company Guaranteed Notes (Callable 06/01/07 @ $103.75)

 

(BB, Ba3)

 

06/01/11

 

11.250

 

1,542,437

 

1,200

 

KI Holdings, Inc., Global Senior Discount Notes (Callable 11/15/09 @ $104.94)+

 

(B-, Caa1)

 

11/15/14

 

0.000

 

885,000

 

1,375

 

Millennium America, Inc., Global Company Guaranteed Notes§

 

(BB-, B1)

 

06/15/08

 

9.250

 

1,412,812

 

750

 

Nalco Co., Global Senior Notes (Callable 11/15/07 @ $103.88)

 

(B-, B2)

 

11/15/11

 

7.750

 

757,500

 

400

 

Nalco Finance Holdings, Inc., Global Senior Notes (Callable 02/01/09 @ $104.50)+

 

(B-, Caa2)

 

02/01/14

 

0.000

 

308,000

 

925

 

PolyOne Corp., Global Company Guaranteed Notes (Callable 05/15/07 @ $105.31)

 

(B+, B3)

 

05/15/10

 

10.625

 

999,000

 

550

 

PolyOne Corp., Senior Notes

 

(B+, B3)

 

05/01/12

 

8.875

 

552,063

 

832

 

Terra Capital, Inc., Global Secured Notes (Callable 06/01/07 @ $105.75)

 

(B-, B2)

 

06/01/10

 

11.500

 

902,720

 

 

 

 

 

 

 

 

 

 

 

11,892,640

 

Consumer Products (4.2%)

 

 

 

 

 

 

 

 

 

1,450

 

AAC Group Holding Corp., Global Senior Discount Notes (Callable 10/01/08 @ $105.13)+

 

(CCC+, Caa1)

 

10/01/12

 

0.000

 

1,145,500

 

 



 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

$

1,000

 

ALH Finance LLC/ALH Finance Corp., Global Senior Subordinated Notes (Callable 01/15/09 @ 104.25)§

 

(CCC+, B3)

 

01/15/13

 

8.500

 

$

980,000

 

1,525

 

Amscan Holdings, Inc., Global Senior Subordinated Notes (Callable 05/01/09 @ $104.38)§

 

(CCC+, Caa1)

 

05/01/14

 

8.750

 

1,364,875

 

1,000

 

Del Laboratories, Inc., Global Company Guaranteed Notes (Callable 02/01/08 @ $104.00)§

 

(CCC, Caa2)

 

02/01/12

 

8.000

 

855,000

 

1,250

 

Jarden Corp., Global Company Guaranteed Notes (Callable 05/01/07 @ $104.88)

 

(B-, B3)

 

05/01/12

 

9.750

 

1,306,250

 

1,300

 

Playtex Products, Inc., Global Company Guaranteed Notes (Callable 06/01/07 @ $103.13)§

 

(CCC+, Caa1)

 

06/01/11

 

9.375

 

1,363,375

 

1,250

 

Prestige Brands, Inc., Global Senior Subordinated Notes (Callable 04/15/08 @ $104.63)

 

(B-, B3)

 

04/15/12

 

9.250

 

1,237,500

 

750

 

Revlon Consumer Products Corp., Global Senior Notes (Callable 04/01/08 @ $104.75)§

 

(CCC, Caa2)

 

04/01/11

 

9.500

 

637,500

 

425

 

Samsonite Corp., Global Senior Subordinated Notes (Callable 06/01/08 @ $104.44)

 

(B-, B3)

 

06/01/11

 

8.875

 

443,062

 

 

 

 

 

 

 

 

 

 

 

9,333,062

 

Diversified Capital Goods (1.9%)

 

 

 

 

 

 

 

 

 

1,000

 

Amsted Industries, Inc., Rule 144A, Senior Notes (Callable 10/15/07 @ $105.12)‡

 

(B, B3)

 

10/15/11

 

10.250

 

1,080,000

 

1,000

 

Blount, Inc., Senior Subordinated Notes (Callable 08/01/08 @ $104.44)

 

(B, B2)

 

08/01/12

 

8.875

 

1,015,000

 

1

 

JII Holdings LLC, Global Secured Notes (Callable 01/01/07 @ $103.25)

 

(CCC-, Caa2)

 

04/01/07

 

13.000

 

428

 

950

 

Sensus Metering Systems, Global Senior Subordinated Notes (Callable 12/15/08 @ $104.31)

 

(B-, Caa1)

 

12/15/13

 

8.625

 

931,000

 

1,350

 

TriMas Corp., Global Company Guaranteed Notes (Callable 06/15/07 @ $104.94)

 

(CCC+, Caa1)

 

06/15/12

 

9.875

 

1,252,125

 

 

 

 

 

 

 

 

 

 

 

4,278,553

 

Electric - Generation (3.6%)

 

 

 

 

 

 

 

 

 

1,000

 

AES Corp., Rule 144A, Senior Secured Notes (Callable 05/15/08 @ $104.50)‡

 

(BB-, Ba3)

 

05/15/15

 

9.000

 

1,080,000

 

1,800

 

Calpine Generating Company LLC, Global Secured Notes (Callable 04/01/08 @ $103.50)ø#

 

(D, NR)

 

04/01/10

 

11.096

 

1,881,000

 

950

 

Dynegy Holdings, Inc., Rule 144A, Senior Unsecured Notes‡

 

(B-, B2)

 

05/01/16

 

8.375

 

938,125

 

1,300

 

Edison Mission Energy, Senior Notes

 

(B+, B1)

 

06/15/09

 

7.730

 

1,326,000

 

675

 

Midwest Generation LLC, Global Secured Notes (Callable 05/01/09 @ $104.38)

 

(B, B1)

 

05/01/34

 

8.750

 

721,406

 

625

 

NRG Energy, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.69)§

 

(B-, B1)

 

02/01/16

 

7.375

 

612,500

 

500

 

Reliant Energy, Inc., Secured Notes (Callable 12/15/09 @ $103.38)

 

(B, B2)

 

12/15/14

 

6.750

 

470,000

 

1,050

 

Reliant Resources, Inc., Global Secured Notes (Callable 07/15/08 @ $104.75)

 

(B, B2)

 

07/15/13

 

9.500

 

1,081,500

 

 

 

 

 

 

 

 

 

 

 

8,110,531

 

Electric - Integrated (0.9%)

 

 

 

 

 

 

 

 

 

725

 

Allegheny Energy Supply Company LLC, Global Notes

 

(BB-, Ba3)

 

03/15/11

 

7.800

 

763,062

 

800

 

CMS Energy Corp., Global Senior Notes

 

(B+, B1)

 

08/01/10

 

7.750

 

823,000

 

500

 

Sierra Pacific Resources, Global Senior Notes (Callable 03/15/09 @ $104.31)

 

(B-, B1)

 

03/15/14

 

8.625

 

531,981

 

 

 

 

 

 

 

 

 

 

 

2,118,043

 

Electronics (3.5%)

 

 

 

 

 

 

 

 

 

1,825

 

Amkor Technology, Inc., Global Senior Notes (Callable 05/15/08 @ $103.88)

 

(CCC+, Caa1)

 

05/15/13

 

7.750

 

1,619,687

 

240

 

Amkor Technology, Inc., Senior Unsecured Notes (Callable 06/01/11 @ $104.63)

 

(CCC, Caa3)

 

06/01/16

 

9.250

 

222,000

 

180

 

Ampex Corp., Secured Notes^

 

(NR, NR)

 

08/15/08

 

12.000

 

180,337

 

1,000

 

GrafTech Finance, Inc., Global Company Guaranteed Notes (Callable 02/15/07 @ $105.13)

 

(B-, B2)

 

02/15/12

 

10.250

 

1,051,250

 

825

 

Hughes Network Systems LLC, Rule 144A, Senior Notes (Callable 04/15/10 @ $104.75)‡

 

(B-, B1)

 

04/15/14

 

9.500

 

825,000

 

900

 

Magnachip Semiconductor, Global Senior Subordinated Notes (Callable 12/15/09 @ $104.00)§

 

(B-, B2)

 

12/15/14

 

8.000

 

600,750

 

1,100

 

Sanmina-SCI Corp., Senior Subordinated Notes (Callable 03/01/11 @ $104.06)

 

(B, B1)

 

03/01/16

 

8.125

 

1,078,000

 

1,225

 

Spansion, Inc., Rule 144A, Senior Notes (Callable 01/15/11 @ $105.63)‡

 

(B, Caa1)

 

01/15/16

 

11.250

 

1,258,688

 

 



 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

$

1,000

 

Viasystems, Inc., Global Senior Subordinated Notes (Callable 01/15/08 @ $105.25)

 

(CCC+, Caa2)

 

01/15/11

 

10.500

 

$

995,000

 

 

 

 

 

 

 

 

 

 

 

7,830,712

 

Energy - Exploration & Production (2.6%)

 

 

 

 

 

 

 

 

 

1,933

 

Chesapeake Energy Corp., Senior Notes (Callable 01/15/09 @ $103.44)

 

(BB, Ba2)

 

01/15/16

 

6.875

 

1,875,010

 

1,625

 

El Paso Performance-Link, Rule 144A, Notes‡§

 

(B+, B2)

 

07/15/11

 

7.750

 

1,643,281

 

950

 

El Paso Production Holding Co., Global Company Guaranteed Notes (Callable 06/01/08 @ $103.88)

 

(B, B3)

 

06/01/13

 

7.750

 

970,187

 

423

 

Magnum Hunter Resources, Inc., Global Company Guaranteed Notes (Callable 03/15/07 @ $104.80)

 

(B+, Ba3)

 

03/15/12

 

9.600

 

448,909

 

200

 

Range Resources Corp., Global Company Guaranteed Notes (Callable 03/15/10 @ $103.19)

 

(B, B2)

 

03/15/15

 

6.375

 

190,500

 

600

 

Whiting Petroleum Corp., Global Senior Subordinated Notes (Callable 05/01/08 @ $103.63)

 

(B-, B2)

 

05/01/12

 

7.250

 

598,500

 

 

 

 

 

 

 

 

 

 

 

5,726,387

 

Environmental (2.4%)

 

 

 

 

 

 

 

 

 

1,000

 

Aleris International, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $104.50)

 

(B, B3)

 

11/15/14

 

9.000

 

1,130,000

 

3,275

 

Allied Waste North America, Inc., Series B, Global Senior Notes (Callable 04/15/09 @ $103.69)§

 

(B+, Caa1)

 

04/15/14

 

7.375

 

3,135,812

 

1,175

 

Waste Services, Inc., Global Senior Subordinated Notes (Callable 04/15/09 @ $104.75)

 

(CCC, Caa2)

 

04/15/14

 

9.500

 

1,204,375

 

 

 

 

 

 

 

 

 

 

 

5,470,187

 

Food & Drug Retailers (2.0%)

 

 

 

 

 

 

 

 

 

1,750

 

Duane Reade, Inc., Global Senior Subordinated Notes (Callable 08/01/08 @ $104.88)

 

(CC, Caa3)

 

08/01/11

 

9.750

 

1,456,875

 

250

 

Ingles Markets, Inc., Global Company Guaranteed Notes (Callable 12/01/06 @ $104.44)

 

(B, B3)

 

12/01/11

 

8.875

 

262,500

 

1,000

 

Rite Aid Corp., Global Company Guaranteed Notes (Callable 01/15/10 @ $103.75)§

 

(B+, B2)

 

01/15/15

 

7.500

 

987,500

 

1,775

 

Stater Brothers Holdings, Inc., Global Senior Notes (Callable 06/15/08 @ $104.06)§

 

(BB-, B1)

 

06/15/12

 

8.125

 

1,770,563

 

 

 

 

 

 

 

 

 

 

 

4,477,438

 

Food - Wholesale (1.3%)

 

 

 

 

 

 

 

 

 

164

 

Birds Eye Foods, Inc., Company Guaranteed Notes (Callable 11/01/06 @ $100.00)

 

(B-, B3)

 

11/01/08

 

11.875

 

167,895

 

950

 

National Beef Packing Company LLC, Global Senior Notes (Callable 08/01/07 @ $105.25)

 

(B-, B3)

 

08/01/11

 

10.500

 

990,375

 

1,000

 

Pinnacle Foods Holding Corp., Global Senior Subordinated Notes (Callable 12/01/08 @ $104.13)§

 

(B-, B3)

 

12/01/13

 

8.250

 

985,000

 

850

 

Swift & Co., Global Senior Subordinated Notes (Callable 10/01/06 @ $106.25)§

 

(CCC+, Caa1)

 

01/01/10

 

12.500

 

875,500

 

 

 

 

 

 

 

 

 

 

 

3,018,770

 

Forestry & Paper (3.5%)

 

 

 

 

 

 

 

 

 

800

 

Boise Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/09 @ $103.56)

 

(B+, B2)

 

10/15/14

 

7.125

 

710,000

 

1,150

 

Cellu Tissue Holdings, Global Secured Notes (Callable 03/15/07 @ $107.31)

 

(B, B2)

 

03/15/10

 

9.750

 

1,127,000

 

750

 

Georgia-Pacific Corp., Global Senior Notes§

 

(B, B2)

 

01/15/24

 

8.000

 

714,375

 

625

 

Newark Group, Inc., Global Senior Subordinated Notes (Callable 03/15/09 @ $104.88)

 

(B-, Caa1)

 

03/15/14

 

9.750

 

600,000

 

950

 

NewPage Corp. (Callable 05/01/09 @ $106.00)§

 

(CCC+, Caa2)

 

05/01/13

 

12.000

 

995,125

 

750

 

NewPage Corp., Global Secured Notes (Callable 05/01/09 @
$106.00)§

 

(CCC+, B3)

 

05/01/12

 

10.000

 

781,875

 

2,000

 

Smurfit-Stone Container, Global Senior Notes (Callable 07/01/07 @ $104.19)§

 

(CCC+, B2)

 

07/01/12

 

8.375

 

1,912,500

 

150

 

Verso Paper Holdings LLC, Rule 144A, Secured Notes (Callable 08/01/10 @ $104.56)‡

 

(B+, B1)

 

08/01/14

 

9.125

 

150,750

 

925

 

Verso Paper Holdings LLC, Rule 144A, Senior Subordinated Notes (Callable 08/01/11 @ 105.69)‡

 

(B-, B3)

 

08/01/16

 

11.375

 

925,000

 

 

 

 

 

 

 

 

 

 

 

7,916,625

 

 



 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

Gaming (6.2%)

 

 

 

 

 

 

 

 

 

$

800

 

Aztar Corp., Global Senior Subordinated Notes (Callable 08/15/06 @ $104.50)

 

(B+, Ba3)

 

08/15/11

 

9.000

 

$

840,000

 

1,550

 

CCM Merger, Inc., Rule 144A, Notes (Callable 08/01/09 @ $104.00)‡

 

(CCC+, B3)

 

08/01/13

 

8.000

 

1,491,875

 

250

 

Circus & Eldorado, Global First Mortgage Notes (Callable 03/01/07 @ $105.06)

 

(B, B2)

 

03/01/12

 

10.125

 

265,625

 

725

 

Hard Rock Hotel, Inc., Global Notes (Callable 06/01/08 @ $104.44)

 

(B, B3)

 

06/01/13

 

8.875

 

781,187

 

800

 

Herbst Gaming, Inc., Global Senior Subordinated Notes (Callable 06/01/08 @ $104.06)

 

(B-, B3)

 

06/01/12

 

8.125

 

816,000

 

1,500

 

Inn of the Mountain Gods, Global Senior Notes (Callable 11/15/07 @ $106.00)‡§

 

(B, B3)

 

11/15/10

 

12.000

 

1,576,875

 

625

 

Isle of Capri Casinos, Inc., Global Senior Subordinated Notes (Callable 03/01/09 @ $103.50)§

 

(B, B2)

 

03/01/14

 

7.000

 

600,000

 

700

 

Jacobs Entertainment, Inc., Rule 144A, Senior Notes (Callable 06/15/10 @ $104.88)‡

 

(B-, B3)

 

06/15/14

 

9.750

 

700,000

 

775

 

Majestic Star Casino LLC, Company Guaranteed Notes (Callable 10/15/07 @ $104.75)

 

(BB-, B2)

 

10/15/10

 

9.500

 

806,000

 

800

 

Majestic Star Casino LLC, Rule 144A, Secured Notes (Callable 10/15/08 @ $104.88)‡

 

(B-, B3)

 

01/15/11

 

9.750

 

792,000

 

450

 

MGM Mirage, Inc., Company Guaranteed Notes

 

(BB, Ba2)

 

09/15/10

 

8.500

 

471,937

 

450

 

MGM Mirage, Inc., Company Guaranteed Notes§

 

(B+, Ba3)

 

02/01/11

 

8.375

 

464,625

 

250

 

MTR Gaming Group, Inc., Series B, Global Company Guaranteed Notes (Callable 04/01/07 @ $104.88)

 

(B+, B2)

 

04/01/10

 

9.750

 

263,438

 

1,000

 

OED Corp., Global Company Guaranteed Notes (Callable 4/15/08 @ $104.38)

 

(B, B2)

 

04/15/12

 

8.750

 

1,006,250

 

300

 

Pokagon Gaming Authority, Rule 144A, Senior Notes (Callable 06/15/10 @ 105.19)‡

 

(B, B3)

 

06/15/14

 

10.375

 

315,000

 

400

 

Resorts International Hotel & Casino, Inc., Global Company Guaranteed Notes (Callable 03/15/07 @ $106.00)

 

(B, B2)

 

03/15/09

 

11.500

 

430,000

 

800

 

Trump Entertainment Resorts, Inc., Secured Notes (Callable 06/01/10 @ $104.25)§

 

(B-, Caa1)

 

06/01/15

 

8.500

 

772,000

 

319

 

Waterford Gaming LLC, Rule 144A, Senior Notes (Callable 09/15/08 @ $103.55)‡

 

(BB-, B1)

 

09/15/12

 

8.625

 

338,938

 

250

 

Wheeling Island Gaming, Inc., Global Company Guaranteed Notes (Callable 12/15/06 @ $102.53)

 

(B+, B3)

 

12/15/09

 

10.125

 

259,375

 

1,000

 

Wynn Las Vegas LLC, Global 1st Mortgage Notes (Callable 12/01/09 @ $103.31)

 

(BB-, B1)

 

12/01/14

 

6.625

 

947,500

 

 

 

 

 

 

 

 

 

 

 

13,938,625

 

Gas Distribution (1.6%)

 

 

 

 

 

 

 

 

 

750

 

El Paso Corp., Senior Notes§

 

(B, B2)

 

05/15/11

 

7.000

 

747,188

 

1,000

 

El Paso Natural Gas Co., Global Senior Notes (Callable 08/01/07 @ $103.81)

 

(B+, B1)

 

08/01/10

 

7.625

 

1,022,500

 

825

 

Inergy LP/Inergy Finance Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13)

 

(B-, Caa1)

 

03/01/16

 

8.250

 

845,625

 

825

 

Williams Companies, Inc., Global Senior Unsecured Notes

 

(BB-, Ba2)

 

03/15/12

 

8.125

 

868,312

 

 

 

 

 

 

 

 

 

 

 

3,483,625

 

Health Services (7.4%)

 

 

 

 

 

 

 

 

 

500

 

AMR/EmCare Holding Co., Global Senior Subordinated Notes (Callable 2/15/10 @ $105.00)

 

(B-, Caa1)

 

02/15/15

 

10.000

 

520,000

 

1,800

 

CDRV Investors, Inc., Global Senior Discount Notes (Callable 01/01/10 @ $104.81)+

 

(B-, Caa2)

 

01/01/15

 

0.000

 

1,282,500

 

1,000

 

Concentra Operating Corp., Global Company Guaranteed Notes (Callable 08/15/07 @ $104.75)

 

(B-, B3)

 

08/15/10

 

9.500

 

1,042,500

 

675

 

Extendicare Health Services, Inc., Global Senior Subordinated Notes (Callable 05/01/09 @ $103.44)

 

(B, B2)

 

05/01/14

 

6.875

 

705,375

 

750

 

Fisher Scientific International, Inc., Global Senior Subordinated Notes (Callable 08/15/09 @ $103.38)

 

(BB+, Ba2)

 

08/15/14

 

6.750

 

749,062

 

1,150

 

HCA, Inc., Notes

 

(BB+, Ba2)

 

10/01/12

 

6.300

 

968,875

 

1,275

 

Healthsouth Corp., Rule 144A, Senior Notes (Callable 06/15/11 @ $105.38)‡§

 

(CCC+, B3)

 

06/15/16

 

10.750

 

1,224,000

 

1,025

 

Iasis Healthcare/Capital Corp., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.38)

 

(B-, B3)

 

06/15/14

 

8.750

 

989,125

 

250

 

Medquest, Inc., Series B, Global Company Guaranteed Notes (Callable 08/15/07 @ $105.94)

 

(CCC, Caa1)

 

08/15/12

 

11.875

 

236,250

 

800

 

Senior Housing Properties Trust, Senior Notes

 

(BB+, Ba2)

 

01/15/12

 

8.625

 

844,000

 

 



 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

$

750

 

Stewart Enterprises, Inc. Global Senior Notes (Callable 02/15/09 @ $103.13)§

 

(B+, B1)

 

02/15/13

 

6.250

 

$

673,125

 

2,750

 

Tenet Healthcare Corp., Global Senior Notes§

 

(B, B3)

 

07/01/14

 

9.875

 

2,640,000

 

500

 

Tenet Healthcare Corp., Rule 144A, Senior Notes‡#

 

(B, B3)

 

02/01/15

 

9.500

 

462,500

 

640

 

Triad Hospitals, Inc., Senior Notes (Callable 05/15/08 @ $103.50)

 

(BB-, B2)

 

05/15/12

 

7.000

 

639,200

 

875

 

Triad Hospitals, Inc., Senior Subordinated Notes (Callable 11/15/08 @ $103.50)

 

(B+, B3)

 

11/15/13

 

7.000

 

840,000

 

1,275

 

Universal Hospital Services, Inc., Global Senior Notes (Callable 11/01/07 @ $105.06)

 

(B-, B3)

 

11/01/11

 

10.125

 

1,326,000

 

1,600

 

Vanguard Health Holding Co., Global Senior Subordinated Notes (Callable 10/01/09 @ $104.50)

 

(CCC+, Caa1)

 

10/01/14

 

9.000

 

1,556,000

 

 

 

 

 

 

 

 

 

 

 

16,698,512

 

Hotels (0.9%)

 

 

 

 

 

 

 

 

 

500

 

Bluegreen Corp., Series B, Company Guaranteed Notes

 

(B-, B3)

 

04/01/08

 

10.500

 

500,000

 

950

 

Host Marriott LP, Rule 144A, Senior Notes (Callable 06/01/11 @ $103.38)‡

 

(BB-, Ba2)

 

06/01/16

 

6.750

 

914,375

 

650

 

Host Marriott Corp., Global Senior Notes (Callable 11/01/08 @ 103.56)§

 

(BB, Ba2)

 

11/01/13

 

7.125

 

654,063

 

 

 

 

 

 

 

 

 

 

 

2,068,438

 

Household & Leisure Products (1.8%)

 

 

 

 

 

 

 

 

 

500

 

Ames True Temper, Global Company Guaranteed Notes (Callable 01/15/07 @ $103.00)#

 

(CCC+, Caa1)

 

01/15/12

 

9.507

 

496,250

 

1,400

 

Ames True Temper, Global Senior Subordinated Notes (Callable 07/15/08 @ $105.00)

 

(CCC-, Caa2)

 

07/15/12

 

10.000

 

1,183,000

 

750

 

Remington Arms Company, Inc., Global Company Guaranteed Notes (Callable 02/01/07 @ $105.25)

 

(CCC-, Caa1)

 

02/01/11

 

10.500

 

665,625

 

975

 

Sealy Mattress Co., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.13)§

 

(B-, B3)

 

06/15/14

 

8.250

 

979,875

 

825

 

Simmons Bedding Co., Global Senior Subordinated Notes (Callable 01/15/09 @ $103.94)§

 

(B-, Caa1)

 

01/15/14

 

7.875

 

781,688

 

 

 

 

 

 

 

 

 

 

 

4,106,438

 

Industrial (0.7%)

 

 

 

 

 

 

 

 

 

600

 

Coleman Cable, Inc., Global Company Guaranteed Notes (Callable 10/01/08 @ $104.94)

 

(B-, B3)

 

10/01/12

 

9.875

 

570,000

 

275

 

RBS Global & Rexnord Corp., Rule 144A, Senior Notes (Callable 08/01/10 @ $104.75)‡

 

(CCC+, B3)

 

08/01/14

 

9.500

 

276,375

 

600

 

RBS Global & Rexnord Corp., Rule 144A, Senior Subordinated Notes (Callable 08/01/11 @ 105.88)‡

 

(CCC+, Caa1)

 

08/01/16

 

11.750

 

616,500

 

 

 

 

 

 

 

 

 

 

 

1,462,875

 

Investments & Misc. Financial Sevices (0.8%)

 

 

 

 

 

 

 

 

 

750

 

Cardtronics, Inc., Rule 144A, Senior Subordinated Notes (Callable 08/15/09 @ $104.63)‡

 

(B-, Caa1)

 

08/15/13

 

9.250

 

755,625

 

150

 

Education Management LLC, Rule 144A, Senior Notes (Callable 06/01/10 @ $104.38)‡

 

(CCC+, B3)

 

06/01/14

 

8.750

 

151,125

 

800

 

Education Management LLC, Rule 144A, Senior Subordinated Notes (Callable 06/01/11 @ $105.13)‡

 

(CCC+, Caa1)

 

06/01/16

 

10.250

 

812,000

 

 

 

 

 

 

 

 

 

 

 

1,718,750

 

Leisure (1.0%)

 

 

 

 

 

 

 

 

 

250

 

Bally Total Fitness Holding Corp., Global Senior Notes (Callable 07/15/07 @ $105.25)

 

(CCC-, Caa1)

 

07/15/11

 

10.500

 

260,000

 

950

 

Six Flags, Inc., Global Senior Notes (Callable 02/01/07 @ $102.96)

 

(CCC, Caa1)

 

02/01/10

 

8.875

 

920,313

 

1,050

 

Six Flags, Inc., Global Senior Notes (Callable 06/01/09 @ $104.81)§

 

(CCC, Caa1)

 

06/01/14

 

9.625

 

958,125

 

 

 

 

 

 

 

 

 

 

 

2,138,438

 

Machinery (0.4%)

 

 

 

 

 

 

 

 

 

850

 

Case New Holland, Inc., Global Company Guaranteed Notes (Callable 08/01/07 @ $104.62)

 

(BB-, Ba3)

 

08/01/11

 

9.250

 

899,938

 

 



 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

Media - Broadcast (3.2%)

 

 

 

 

 

 

 

 

 

$

1,000

 

Allbritton Communications Co., Global Senior Subordinated Notes (Callable 12/15/07 @ $103.88)

 

(B-, B3)

 

12/15/12

 

7.750

 

$

995,000

 

450

 

Fisher Communications, Inc., Global Senior Notes (Callable 09/15/09 @ $104.31)

 

(B-, B2)

 

09/15/14

 

8.625

 

461,250

 

1,275

 

ION Media Networks, Inc., Rule 144A, Secured Notes (Callable 01/15/08 @ $102.00)‡#

 

(CCC-, B3)

 

01/15/13

 

11.757

 

1,297,312

 

1,075

 

Nexstar Finance, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $103.50)§

 

(CCC+, B3)

 

01/15/14

 

7.000

 

975,563

 

800

 

Sinclair Broadcast Group, Inc., Series A, Global Company Guaranteed Notes (Callable 03/15/07 @ $104.00)

 

(B, B2)

 

03/15/12

 

8.000

 

812,000

 

1,000

 

Sirius Satellite Radio, Inc., Global Senior Unsecured Notes (Callable 09/01/09 @ $104.81)§

 

(CCC, Caa1)

 

08/01/13

 

9.625

 

940,000

 

600

 

Xm Satellite Radio, Inc., Rule 144A, Senior Notes (Callable 05/01/08 @ $105.44)‡#

 

(CCC, Caa2)

 

05/01/13

 

9.649

 

556,500

 

1,265

 

Young Broadcasting, Inc., Global Company Guaranteed Notes (Callable 03/01/07 @ $102.00)§

 

(CCC-, Caa2)

 

03/01/11

 

10.000

 

1,166,962

 

 

 

 

 

 

 

 

 

 

 

7,204,587

 

Media - Cable (9.3%)

 

 

 

 

 

 

 

 

 

1,450

 

Atlantic Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/09 @ $104.69)§

 

(CCC+, Caa1)

 

01/15/14

 

9.375

 

1,384,750

 

1,815

 

CCH I LLC, Global Secured Notes (Callable 10/01/10 @ $105.50)§

 

(NR, Caa3)

 

10/01/15

 

11.000

 

1,638,038

 

1,750

 

CCO Holdings LLC, Global Senior Notes (Callable 11/15/08 @ $104.38)

 

(CCC-, B3)

 

11/15/13

 

8.750

 

1,745,625

 

2,100

 

Charter Communications Holdings LLC, Senior Notes (Callable 04/01/07 @ $100.00)§

 

(CCC-, Ca)

 

04/01/09

 

8.625

 

1,764,000

 

2,500

 

Charter Communications Holdings LLC, Senior Notes (Callable 09/15/08 @ $105.12)

 

(CCC-, Caa1)

 

09/15/10

 

10.250

 

2,537,500

 

1,850

 

CSC Holdings, Inc., Rule 144A, Senior Notes‡#

 

(B+, B2)

 

04/15/12

 

7.250

 

1,796,812

 

2,225

 

CSC Holdings, Inc., Series B, Senior Notes

 

(B+, B2)

 

04/01/11

 

7.625

 

2,250,031

 

1,750

 

DIVA Systems Corp., Series B, Senior Discount Notes ø^

 

(NR, NR)

 

03/01/08

 

12.625

 

17,500

 

1,150

 

EchoStar DBS Corp., Global Company Guaranteed Notes

 

(BB-, Ba3)

 

10/01/14

 

6.625

 

1,112,625

 

825

 

GCI, Inc., Global Senior Notes (Callable 02/15/09 @ $103.63)§

 

(B+, B2)

 

02/15/14

 

7.250

 

792,000

 

1,400

 

Insight Communications Company, Inc., Senior Discount Notes (Callable 02/15/07 @ $104.08)+

 

(CCC+, Caa1)

 

02/15/11

 

12.250

 

1,489,250

 

500

 

Insight Midwest/Insight Capital Corp., Global Senior Notes (Callable 11/01/06 @ $103.50)

 

(B, B2)

 

11/01/10

 

10.500

 

522,500

 

200

 

Insight Midwest/Insight Capital Corp., Senior Notes (Callable 10/01/06 @ $101.63)

 

(B, B2)

 

10/01/09

 

9.750

 

204,500

 

800

 

Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 10/15/07 @ $105.38)

 

(CCC-, B3)

 

10/15/11

 

10.750

 

842,000

 

1,925

 

Mediacom Broadband LLC/CRP, Global Senior Notes (Callable 10/15/10 @ $104.25)

 

(B, B2)

 

10/15/15

 

8.500

 

1,900,937

 

825

 

Mediacom LLC / Capital Corp., Senior Notes (Callable 02/15/07 @ $101.97)

 

(B, B2)

 

02/15/11

 

7.875

 

798,188

 

 

 

 

 

 

 

 

 

 

 

20,796,256

 

Media - Services (0.4%)

 

 

 

 

 

 

 

 

 

1,275

 

WMG Holdings Corp., Global Senior Discount Notes (Callable 12/15/09 @ $104.75)+

 

(B-, B3)

 

12/15/14

 

0.000

 

927,563

 

 

 

 

 

 

 

 

 

 

 

 

 

Metal & Mining - Excluding Steel (1.1%)

 

 

 

 

 

 

 

 

 

1,600

 

Alpha Natural Resources LLC, Global Company Guaranteed Notes (Callable 06/01/08 @ $105.00)#

 

(B-, B3)

 

06/01/12

 

10.000

 

1,708,000

 

725

 

Southern Copper Corp., Global Senior Notes

 

(BBB-, Baa2)

 

07/27/35

 

7.500

 

721,005

 

 

 

 

 

 

 

 

 

 

 

2,429,005

 

Non-Food & Drug Retailers (5.9%)

 

 

 

 

 

 

 

 

 

1,429

 

Affinity Group, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $105.44)

 

(CCC+, Caa1)

 

02/15/12

 

10.875

 

1,407,633

 

1,125

 

Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 06/15/07 @ $104.50)§

 

(B, B3)

 

06/15/12

 

9.000

 

1,139,062

 

1,200

 

Brookstone Company, Inc., Global Secured Notes (Callable 10/15/09 @ $106.00)§

 

(B, B3)

 

10/15/12

 

12.000

 

1,092,000

 

 



 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

$

1,250

 

Finlay Fine Jewelry Corp., Global Senior Notes (Callable 06/01/08 @ $104.19)

 

(B-, B3)

 

06/01/12

 

8.375

 

$

1,103,125

 

275

 

General Nutrition Center, Global Company Guaranteed Notes (Callable 01/15/08 @ $104.31)

 

(B-, B3)

 

01/15/11

 

8.625

 

275,688

 

1,075

 

General Nutrition Center, Global Senior Subordinated Notes (Callable 12/01/07 @ $104.25)

 

(CCC+, Caa1)

 

12/01/10

 

8.500

 

1,040,063

 

1,075

 

GSC Holdings Corp., Global Company Guaranteed Notes (Callable 10/01/09 @ $104.00)§

 

(B+, Ba3)

 

10/01/12

 

8.000

 

1,096,500

 

500

 

Intcomex, Inc., Rule 144A, Secured Notes (Callable 01/15/07 @ $106.00)‡

 

(B-, Caa1)

 

01/15/11

 

11.750

 

500,000

 

500

 

Nebraska Book Company, Inc., Global Senior Subordinated Notes (Callable 03/15/08 @ $104.31)

 

(CCC, Caa1)

 

03/15/12

 

8.625

 

455,000

 

1,585

 

Neiman Marcus Group, Inc., Senior Subordinated Notes (Callable 10/15/10 @ $105.19)

 

(B-, B3)

 

10/15/15

 

10.375

 

1,690,006

 

1,000

 

PCA LLC, Global Senior Notes

 

(C, Ca)

 

08/01/09

 

11.875

 

210,000

 

1,275

 

Rent-Way, Inc., Global Secured Notes

 

(B-, B3)

 

06/15/10

 

11.875

 

1,319,625

 

1,000

 

Stripes Acquisition LLC, Rule 144A, Senior Notes (Callable 12/15/09 @ $105.31)‡

 

(B, B2)

 

12/15/13

 

10.625

 

1,055,000

 

750

 

United Auto Group, Inc., Global Company Guaranteed Notes (Callable 03/15/07 @ $104.81)§

 

(B, B3)

 

03/15/12

 

9.625

 

785,625

 

 

 

 

 

 

 

 

 

 

 

13,169,327

 

Office Equipment (0.6%)

 

 

 

 

 

 

 

 

 

1,350

 

Xerox Corp., Senior Notes (Callable 06/15/08 @ $103.81)

 

(BB+, Ba2)

 

06/15/13

 

7.625

 

1,370,250

 

 

 

 

 

 

 

 

 

 

 

 

 

Oil Refining & Marketing (0.6%)

 

 

 

 

 

 

 

 

 

450

 

Giant Industries, Inc., Company Guaranteed Notes (Callable 05/15/09 @ $104.00)

 

(B-, B3)

 

05/15/14

 

8.000

 

450,000

 

743

 

Giant Industries, Inc., Global Company Guaranteed Notes (Callable 05/15/07 @ $105.50)

 

(B-, B3)

 

05/15/12

 

11.000

 

806,155

 

 

 

 

 

 

 

 

 

 

 

1,256,155

 

Packaging (5.5%)

 

 

 

 

 

 

 

 

 

450

 

Amtrol, Inc., Senior Subordinated Notes§

 

(CCC-, Caa3)

 

12/31/06

 

10.625

 

416,250

 

1,150

 

Berry Plastics Corp., Global Company Guaranteed Notes (Callable 07/15/07 @ $105.38)

 

(B-, B3)

 

07/15/12

 

10.750

 

1,262,125

 

1,650

 

Constar International, Inc., Senior Subordinated Notes (Callable 12/01/07 @ $105.50)§

 

(CCC, Caa3)

 

12/01/12

 

11.000

 

1,262,250

 

1,000

 

Covalence Specialty Materials Corp., Rule 144A, Senior Subordinated Notes (Callable 03/01/11 @ $105.13)‡

 

(CCC+, B3)

 

03/01/16

 

10.250

 

977,500

 

650

 

Crown Americas, Rule 144A, Senior Notes (Callable 11/15/10 @ $103.88)‡

 

(B, B1)

 

11/15/15

 

7.750

 

644,313

 

250

 

Graham Packaging Company, Inc., Global Company Guaranteed Notes (Callable 10/15/08 @ $104.25)

 

(CCC+, Caa1)

 

10/15/12

 

8.500

 

243,750

 

1,325

 

Graham Packaging Company, Inc., Global Subordinated Notes (Callable 10/15/09 @ $104.94)§

 

(CCC+, Caa2)

 

10/15/14

 

9.875

 

1,295,187

 

1,225

 

Graphic Packaging International Corp., Global Senior Subordinated Notes (Callable 08/15/08 @ 104.75)§

 

(B-, B3)

 

08/15/13

 

9.500

 

1,231,125

 

1,000

 

Intertape Polymer US, Inc., Global Senior Subordinated Notes (Callable 08/01/09 @ $104.25)

 

(B-, B3)

 

08/01/14

 

8.500

 

930,000

 

154

 

Owens-Brockway Glass Containers, Global Company Guaranteed Notes (Callable 02/15/07 @ $102.22)

 

(BB-, B1)

 

02/15/09

 

8.875

 

159,583

 

850

 

Owens-Brockway Glass Containers, Inc., Rule 144A, Senior Notes (Callable 05/15/08 @ $104.13)‡

 

(B, B2)

 

05/15/13

 

8.250

 

864,875

 

800

 

Plastipak Holdings, Inc., Rule 144A, Senior Notes (Callable 12/15/10 @ $104.25)‡

 

(B, B2)

 

12/15/15

 

8.500

 

796,000

 

1

 

Pliant Corp., Global Secured Notes (Callable 06/15/07 @ $111.62)ø

 

(D, NR)

 

06/15/09

 

11.625

 

607

 

600

 

SGS International, Inc., Rule 144A, Senior Subordinated Notes (Callable 12/15/09 @ $106.00)‡

 

(B-, Caa1)

 

12/15/13

 

12.000

 

609,000

 

1,925

 

Solo Cup Co., Global Senior Subordinated Notes (Callable 02/15/09 @ $104.25)

 

(B-, Caa1)

 

02/15/14

 

8.500

 

1,674,750

 

 

 

 

 

 

 

 

 

 

 

12,367,315

 

Pharmaceuticals (0.3%)

 

 

 

 

 

 

 

 

 

700

 

Athena Neurosciences Finance LLC, Company Guaranteed Notes

 

(B, B3)

 

02/21/08

 

7.250

 

700,000

 

 



 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

Printing & Publishing (6.4%)

 

 

 

 

 

 

 

 

 

$

1,225

 

American Media Operations, Inc., Series B, Global Company Guaranteed Notes (Callable 05/01/07 @ $100.00)

 

(CCC, Caa1)

 

05/01/09

 

10.250

 

$

1,149,969

 

1,625

 

CBD Media Holdings/Finance, Global Senior Notes (Callable 07/15/08 @ $104.63)

 

(CCC+, Caa2)

 

07/15/12

 

9.250

 

1,604,687

 

1,000

 

Cenveo Corp., Global Senior Subordinated Notes (Callable 12/01/08 @ $103.94)§

 

(B-, B3)

 

12/01/13

 

7.875

 

977,500

 

550

 

Dex Media, Inc., Global Discount Notes (Callable 11/15/08 @ $104.50)+

 

(B, B3)

 

11/15/13

 

0.000

 

456,500

 

1,500

 

Dex Media, Inc., Global Discount Notes (Callable 11/15/08 @ $104.50)+

 

(B, B3)

 

11/15/13

 

0.000

 

1,245,000

 

50

 

Dex Media, Inc., Global Notes (Callable 11/15/08 @ $104.00)

 

(B, B3)

 

11/15/13

 

8.000

 

50,250

 

1,150

 

Haights Cross Operating Co., Global Company Guaranteed Notes (Callable 08/15/08 @ $105.88)

 

(CCC, Caa1)

 

08/15/11

 

11.750

 

1,187,375

 

1,475

 

Houghton Mifflin Co., Global Senior Discount Notes (Callable 10/15/08 @ $105.75)+

 

(CCC+, Caa2)

 

10/15/13

 

0.000

 

1,227,938

 

675

 

Houghton Mifflin Co., Global Senior Subordinated Notes (Callable 02/01/08 @ $104.94)

 

(CCC+, Caa1)

 

02/01/13

 

9.875

 

702,844

 

2,985

 

R.H. Donnelley Corp., Series A-2, Global Senior Discount Notes (Callable 01/15/09 @ $103.44)

 

(B, Caa1)

 

01/15/13

 

6.875

 

2,723,812

 

500

 

R.H. Donnelley Corp., Series A-3, Global Senior Notes (Callable 01/15/11 @ $104.44)

 

(B, Caa1)

 

01/15/16

 

8.875

 

500,625

 

1,100

 

Vertis, Inc., Series B, Global Company Guaranteed Notes (Callable 06/15/07 @ $102.72)§

 

(CCC, Caa2)

 

06/15/09

 

10.875

 

1,095,875

 

1,450

 

WDAC Subsidiary Corp., Rule 144A, Senior Notes (Callable 12/01/09 @ $104.19)‡§

 

(CCC+, Caa1)

 

12/01/14

 

8.375

 

1,450,000

 

 

 

 

 

 

 

 

 

 

 

14,372,375

 

RealEstate Development & Management (0.4%)

 

 

 

 

 

 

 

 

 

1,050

 

Ashton Woods USA/Finance, Global Senior Subordinated Notes (Callable 10/01/10 @ $104.75)‡

 

(B-, B3)

 

10/01/15

 

9.500

 

929,250

 

 

 

 

 

 

 

 

 

 

 

 

 

Restaurants (2.8%)

 

 

 

 

 

 

 

 

 

1,100

 

Buffets, Inc., Global Senior Subordinated Notes (Callable 07/15/07 @ $103.75)

 

(CCC, B3)

 

07/15/10

 

11.250

 

1,166,000

 

1,350

 

Denny’s Corp., Global Company Guaranteed Notes (Callable 10/01/08 @ $105.00)§

 

(CCC+, Caa1)

 

10/01/12

 

10.000

 

1,363,500

 

1,000

 

Friendly Ice Cream Corp., Global Senior Notes (Callable 06/15/08 @ $104.19)§

 

(CCC+, B3)

 

06/15/12

 

8.375

 

840,000

 

1,000

 

O’Charleys, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $104.50)§

 

(B, Ba3)

 

11/01/13

 

9.000

 

1,025,000

 

1,025

 

Sbarro, Inc., Company Guaranteed Notes (Callable 09/15/06 @ $101.83)

 

(CCC+, Caa1)

 

09/15/09

 

11.000

 

1,040,375

 

1,000

 

Uno Restaurant Corp., Rule 144A, Senior Notes (Callable 02/15/08 @ $110.00)‡§

 

(CCC+, B3)

 

02/15/11

 

10.000

 

777,500

 

 

 

 

 

 

 

 

 

 

 

6,212,375

 

Software/Services (1.8%)

 

 

 

 

 

 

 

 

 

1,100

 

Activant Solutions, Inc. Rule 144A, Senior Subordinated Notes (Callable 05/01/11 @ $104.75)‡

 

(CCC+, Caa1)

 

05/01/16

 

9.500

 

1,045,000

 

675

 

SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/09 @ $104.56)§

 

(B-, B3)

 

08/15/13

 

9.125

 

692,719

 

2,250

 

SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/10 @ $105.13)§

 

(B-, Caa1)

 

08/15/15

 

10.250

 

2,292,187

 

 

 

 

 

 

 

 

 

 

 

4,029,906

 

Steel Producers/Products (2.2%)

 

 

 

 

 

 

 

 

 

1,325

 

AK Steel Corp., Global Company Guaranteed Notes (Callable 06/15/07 @ $103.88)

 

(B+, B1)

 

06/15/12

 

7.750

 

1,311,750

 

1,300

 

Edgen Acquisition Corp., Global Secured Notes (Callable 02/01/08 @ $104.94)

 

(B-, B3)

 

02/01/11

 

9.875

 

1,293,500

 

850

 

International Steel Group, Inc., Global Senior Notes§

 

(BBB-, Ba1)

 

04/15/14

 

6.500

 

807,500

 

1,225

 

RathGibson, Inc., Rule 144A, Senior Notes (Callable 02/15/10 @ $105.62)‡

 

(B-, B2)

 

02/15/14

 

11.250

 

1,274,000

 

250

 

WCI Steel Acquisition, Inc., Senior Notes

 

(NR, NR)

 

05/01/16

 

8.000

 

247,500

 

750

 

WCI Steel Escrow ø

 

(NR, NR)

 

12/01/04

 

10.000

 

32,925

 

 

 

 

 

 

 

 

 

 

 

4,967,175

 

 



 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

Storage & Warehousing (0.1%)

 

 

 

 

 

 

 

 

 

$

205

 

Mobile Services Group, Inc., Rule 144A, Senior Notes (Callable 08/01/10 @ $104.88)‡

 

(B-, B3)

 

08/01/14

 

9.750

 

$

208,588

 

 

 

 

 

 

 

 

 

 

 

 

 

Support-Services (5.2%)

 

 

 

 

 

 

 

 

 

1,250

 

Allied Security Escrow, Global Senior Subordinated Notes (Callable 07/15/08 @ $105.69)

 

(CCC+, Caa1)

 

07/15/11

 

11.375

 

1,231,250

 

914

 

DI Finance/Dyncorp Intl., Senior Subordinated Notes (Callable 02/15/09 @ $104.75)

 

(B, B3)

 

02/15/13

 

9.500

 

950,560

 

500

 

Hertz Corp., Rule 144A, Senior Notes (Callable 01/01/10 @
$104.44)‡

 

(B, B1)

 

01/01/14

 

8.875

 

523,750

 

600

 

Hertz Corp., Rule 144A, Senior Subordinated Notes (Callable 01/01/11 @ $105.25)‡

 

(B, B3)

 

01/01/16

 

10.500

 

655,500

 

1,000

 

HydroChem Industrial Services, Inc., Rule 144A, Senior Subordinated Notes (Callable 02/15/09 @ $104.63)‡

 

(CCC+, Caa1)

 

02/15/13

 

9.250

 

982,500

 

750

 

Iron Mountain, Inc., Company Guaranteed Notes (Callable 04/01/07 @ $102.88)

 

(B, B3)

 

04/01/13

 

8.625

 

768,750

 

250

 

Iron Mountain, Inc., Company Guaranteed Notes (Callable 07/01/08 @ $103.31)

 

(B, B3)

 

01/01/16

 

6.625

 

230,000

 

1,500

 

Johnsondiversey Holdings, Inc., Global Discount Notes (Callable 05/15/07 @ $105.34)+

 

(CCC+, Caa1)

 

05/15/13

 

0.000

 

1,282,500

 

475

 

La Petite Academy, Inc., Series B, Company Guaranteed Notes (Callable 09/18/06 @ $100.00)

 

(CC, Ca)

 

05/15/08

 

10.000

 

473,812

 

750

 

Language Line, Inc., Global Senior Notes (Callable 06/15/08 @ 105.56)§

 

(CCC+, Caa1)

 

06/15/12

 

11.125

 

740,625

 

1,000

 

Muzak LLC/Muzak Finance, Global Senior Notes (Callable 02/15/07 @ $102.50)

 

(CCC-, Caa2)

 

02/15/09

 

10.000

 

865,000

 

450

 

Sensata Technologies BV, Rule 144A, Senior Notes (Callable 05/01/10 @ 104.00) (Netherland)‡§

 

(B-, B2)

 

05/01/14

 

8.000

 

434,250

 

440

 

United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 02/15/08 @ $103.25)

 

(B+, B3)

 

02/15/12

 

6.500

 

418,000

 

1,275

 

United Rentals North America, Inc., Global Senior Subordinated Notes (Callable 02/15/09 @ $103.50)§

 

(B, Caa1)

 

02/15/14

 

7.000

 

1,173,000

 

900

 

Williams Scotsman, Inc., Global Company Guaranteed Notes (Callable 10/01/10 @ $104.25)

 

(B+, B3)

 

10/01/15

 

8.500

 

906,750

 

 

 

 

 

 

 

 

 

 

 

11,636,247

 

Telecom - Fixed Line (1.6%)

 

 

 

 

 

 

 

 

 

2,025

 

Level 3 Communications, Inc., Convertible Notes

 

(CCC-, Ca)

 

03/15/10

 

6.00

 

$

1,723,781

 

962

 

Madison River Capital LLC, Senior Notes (Callable 03/01/07 @ $102.21)

 

(B-, B3)

 

03/01/10

 

13.250

 

1,006,897

 

775

 

Time Warner Telecom Holdings, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $104.62)

 

(CCC+, B3)

 

02/15/14

 

9.250

 

800,187

 

 

 

 

 

 

 

 

 

 

 

3,530,865

 

Telecom - Integrated/Services (4.3%)

 

 

 

 

 

 

 

 

 

1,525

 

Cincinnati Bell, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $104.19)§

 

(B-, B3)

 

01/15/14

 

8.375

 

1,502,125

 

1,225

 

Hawaiian Telcom Communications, Inc., Series B, Global Company Guaranteed Notes (Callable 05/01/10 @ $106.25)§

 

(CCC+, Caa1)

 

05/01/15

 

12.500

 

1,298,500

 

125

 

LCI International, Inc., Senior Notes

 

(NR, NR)

 

06/15/07

 

7.250

 

125,938

 

1,250

 

PanAmSat Corp., Global Company Guaranteed Notes (Callable 08/15/09 @ $104.50)

 

(B+, B1)

 

08/15/14

 

9.000

 

1,276,562

 

1,625

 

Qwest Communications International, Inc., Global Company Guaranteed Notes (Callable 02/15/08 @ $103.63)

 

(B, B2)

 

02/15/11

 

7.250

 

1,604,687

 

1,900

 

Qwest Communications International, Inc., Series B, Global Company Guaranteed Notes (Callable 02/15/09 @ $103.75)

 

(B, B2)

 

02/15/14

 

7.500

 

1,871,500

 

1,180

 

Qwest Corp., Global Senior Notes

 

(BB, Ba3)

 

06/15/15

 

7.625

 

1,205,075

 

350

 

Windstream Corp., Rule 144A, Senior Notes‡§

 

(BB-, Ba3)

 

08/01/13

 

8.125

 

365,750

 

375

 

Windstream Corp., Rule 144A, Senior Notes (Callable 08/01/11 @ $104.31)‡

 

(BB-, Ba3)

 

08/01/16

 

8.625

 

391,875

 

 

 

 

 

 

 

 

 

 

 

9,642,012

 

Telecom - Wireless (3.6%)

 

 

 

 

 

 

 

 

 

50

 

American Tower Corp., Class A, Global Senior Notes (Callable 10/15/08 @ $103.56)§

 

(BB-, B1)

 

10/15/12

 

7.125

 

50,500

 

 



 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

$

750

 

Centennial Cellular Communications Corp., Global Company Guaranteed Notes (Callable 06/15/08 @ $105.06)

 

(CCC, B3)

 

06/15/13

 

10.125

 

$

795,000

 

975

 

Centennial Communications Corp., Global Senior Notes (Callable 01/01/09 @ $107.50)

 

(CCC, Caa2)

 

01/01/13

 

10.000

 

977,437

 

495

 

Dobson Cellular Systems, Inc., Global Secured Notes (Callable 11/01/08 @ $104.94)

 

(CCC, B2)

 

11/01/12

 

9.875

 

529,650

 

1,275

 

Dobson Communications Corp., Global Senior Notes (Callable 10/01/08 @ $104.44)

 

(CCC, Caa2)

 

10/01/13

 

8.875

 

1,268,625

 

750

 

Horizon PCS, Inc., Global Company Guaranteed Notes (Callable 07/15/08 @ $105.69)

 

(B-, B3)

 

07/15/12

 

11.375

 

845,625

 

800

 

iPCS, Inc., Global Senior Notes (Callable 05/01/08 @ $105.75)

 

(B-, B3)

 

05/01/12

 

11.500

 

900,000

 

500

 

Rural Cellular Corp., Global Senior Notes (Callable 08/01/07 @ $104.94)

 

(CCC, Caa1)

 

02/01/10

 

9.875

 

520,000

 

375

 

Rural Cellular Corp., Global Senior Subordinated Notes (Callable 01/15/07 @ $103.25)§

 

(CCC, Caa2)

 

01/15/10

 

9.750

 

377,813

 

675

 

Rural Cellular Corp., Global Senior Subordinated Notes (Callable 11/01/07 @ $102.00)#§

 

(CCC, Caa2)

 

11/01/12

 

11.239

 

702,000

 

1,100

 

Triton PCS, Inc., Global Company Guaranteed Notes (Callable 06/01/08 @ $104.25)

 

(CCC-, Caa2)

 

06/01/13

 

8.500

 

1,031,250

 

 

 

 

 

 

 

 

 

 

 

7,997,900

 

Textiles & Apparel (1.6%)

 

 

 

 

 

 

 

 

 

1,025

 

Levi Strauss & Co., Global Senior Notes (Callable 01/15/10 @ $104.88)

 

(B-, B3)

 

01/15/15

 

9.750

 

1,055,750

 

1,200

 

Levi Strauss & Co., Global Senior Notes (Callable 12/15/07 @ $106.12)

 

(B-, B3)

 

12/15/12

 

12.250

 

1,350,000

 

400

 

Phillips-Van Heusen Corp., Global Senior Notes (Callable 02/15/08 @ $103.63)

 

(BB, B1)

 

02/15/11

 

7.250

 

399,000

 

950

 

Propex Fabrics, Inc., Global Company Guaranteed Notes (Callable 12/01/08 @ $105.00)

 

(B-, B3)

 

12/01/12

 

10.000

 

850,250

 

 

 

 

 

 

 

 

 

 

 

3,655,000

 

Theaters & Entertainment (1.1%)

 

 

 

 

 

 

 

 

 

1,750

 

AMC Entertainment, Inc., Global Senior Subordinated Notes (Callable 03/01/09 @ $104.00)

 

(CCC+, B3)

 

03/01/14

 

8.000

 

1,627,500

 

1,150

 

Cinemark, Inc., Global Senior Discount Notes (Callable 03/15/09 @ $104.88)+

 

(B-, Caa1)

 

03/15/14

 

0.000

 

908,500

 

 

 

 

 

 

 

 

 

 

 

2,536,000

 

Transportation - Excluding Air/Rail (0.3%)

 

 

 

 

 

 

 

 

 

651

 

H-Lines Finance Holding Corp., Global Senior Discount Notes (Callable 04/01/08 @ $105.50)+

 

(CCC+, Caa2)

 

04/01/13

 

0.000

 

567,998

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL U.S. CORPORATE BONDS (Cost $297,891,781)

 

 

 

 

 

 

 

294,290,737

 

 

 

 

 

 

 

 

 

 

 

 

 

ASSET BACKED SECURITIES (0.4%)

 

 

 

 

 

 

 

 

 

900

 

Park Place Securities, Inc., Rule 144A, Series 2004-WCW2, Class M10‡# (Cost $817,191)

 

(BB+, Ba1)

 

10/25/34

 

8.135

 

847,474

 

 

 

 

 

 

 

 

 

 

 

 

 

MORTGAGE BACKED SECURITIES (0.0%)

 

 

 

 

 

 

 

 

 

25

 

Bank of America Large Loan, Inc., Rule 144A, Series 2006, Class M‡# (Cost $25,000)

 

(BB, Ba2)

 

02/09/21

 

6.995

 

25,078

 

 

 

 

 

 

 

 

 

 

 

 

 

FOREIGN CORPORATE BONDS (12.3%)

 

 

 

 

 

 

 

 

 

Building Materials (0.2%)

 

 

 

 

 

 

 

 

 

1,250

 

Maax Holdings, Inc., Global Senior Discount Notes (Callable 12/15/08 @ $105.63) (Canada)+

 

(CCC, Caa3)

 

12/15/12

 

0.000

 

487,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Chemicals (1.2%)

 

 

 

 

 

 

 

 

 

1,775

 

Ineos Group Holdings PLC, Rule 144A, Notes (Callable 02/15/11 @ $104.25) (United Kingdom)‡

 

(B-, B2)

 

02/15/16

 

8.500

 

1,672,937

 

875

 

Rhodia SA, Global Senior Notes (France)§

 

(CCC+, B3)

 

06/01/10

 

10.250

 

951,563

 

150

 

Rhodia SA, Global Senior Subordinated Notes (Callable 06/01/07 @ 104.44) (France)§

 

(B-, Caa1)

 

06/01/11

 

8.875

 

153,375

 

 

 

 

 

 

 

 

 

 

 

2,777,875

 

Electronics (1.1%)

 

 

 

 

 

 

 

 

 

650

 

Avago Technologies Finance, Rule 144A, Senior Subordinated Notes (Callable 12/01/10 @ $105.94) (Singapore)‡

 

(CCC+, Caa2)

 

12/01/15

 

11.875

 

705,250

 

 



 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

$

950

 

Celestica, Inc., Senior Subordinated Notes (Callable 07/01/08 @ $103.94) (Canada)§

 

(B, B2)

 

07/01/11

 

7.875

 

$

945,250

 

1,000

 

New Asat, Ltd., Global Company Guaranteed Notes (Callable 02/01/08 @ $104.63) (Cayman Islands)

 

(B-, B3)

 

02/01/11

 

9.250

 

795,000

 

 

 

 

 

 

 

 

 

 

 

2,445,500

 

Food & Drug Retailers (0.7%)

 

 

 

 

 

 

 

 

 

1,775

 

Jean Coutu Group PJC, Inc., Global Senior Subordinated Notes (Callable 08/01/09 @ $104.25) (Canada)§

 

(B-, Caa2)

 

08/01/14

 

8.500

 

1,666,281

 

 

 

 

 

 

 

 

 

 

 

 

 

Forestry & Paper (1.9%)

 

 

 

 

 

 

 

 

 

600

 

Abitibi-Consolidated, Inc., Global Notes (Canada)§

 

(B+, B1)

 

06/15/11

 

7.750

 

552,000

 

1,050

 

Abitibi-Consolidated, Inc., Yankee Senior Notes (Canada)§

 

(B+, B1)

 

04/01/15

 

8.375

 

964,687

 

850

 

Bowater Canada Finance Corp., Global Company Guaranteed Notes (Canada)§

 

(B+, B1)

 

11/15/11

 

7.950

 

811,750

 

750

 

JSG Funding PLC, Global Senior Notes (Callable 10/01/07 @ $104.81) (Ireland)

 

(B-, B3)

 

10/01/12

 

9.625

 

780,000

 

1,000

 

JSG Funding PLC, Global Senior Subordinated Notes (Callable 01/31/10 @ $103.88) (Ireland)

 

(B-, Caa1)

 

04/01/15

 

7.750

 

917,500

 

380

 

Tembec Industries, Inc., Yankee Company Guaranteed Notes (Callable 06/30/07 @ $100) (Canada)§

 

(CCC-, Ca)

 

06/30/09

 

8.625

 

206,150

 

 

 

 

 

 

 

 

 

 

 

4,232,087

 

Holding Companies-Diversified (0.5%)

 

 

 

 

 

 

 

 

 

1,200

 

Basell AF SCA, Rule 144A, Company Guaranteed Notes (Callable 08/15/10 @104.19) (Luxembourg)‡

 

(B-, B2)

 

08/15/15

 

8.375

 

1,171,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Industrial (0.0%)

 

 

 

 

 

 

 

 

 

1,021

 

International Utility Structures, Inc., Yankee Senior Subordinated Notes (Callable 08/14/06 @ $100.00) (Canada)ø^

 

(NR, NR)

 

02/01/08

 

10.750

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

Leisure (0.6%)

 

 

 

 

 

 

 

 

 

1,250

 

NCL Corp., Global Senior Notes (Callable 07/15/09 @ $105.31) (Bermuda)#

 

(B+, B2)

 

07/15/14

 

10.625

 

1,225,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Cable (1.2%)

 

 

 

 

 

 

 

 

 

1,050

 

Kabel Deutschland GmbH, Rule 144A, Senior Notes (Callable 07/01/09 @ $105.31) (Germany)‡

 

(B-, B2)

 

07/01/14

 

10.625

 

1,118,250

 

810

 

NTL Cable PLC, Global Senior Notes (Callable 08/15/11 @ $104.56) (United Kingdom)

 

(B-, B2)

 

08/15/16

 

9.125

 

824,175

 

883

 

Telenet Group Holding NV, Rule 144A, Discount Notes (Callable 12/15/08 @ $105.75) (Belgium)‡+

 

(CCC+, Caa1)

 

06/15/14

 

0.000

 

754,965

 

 

 

 

 

 

 

 

 

 

 

2,697,390

 

Media - Diversified (0.1%)

 

 

 

 

 

 

 

 

 

225

 

Quebecor Media, Inc., Global Senior Notes (Callable 03/15/11 @ 103.88) (Canada)

 

(B, B2)

 

03/15/16

 

7.750

 

222,188

 

 

 

 

 

 

 

 

 

 

 

 

 

Oil Field Equipment & Services (0.2%)

 

 

 

 

 

 

 

 

 

500

 

Titan Petrochemicals Group, Ltd., Rule 144A, Company Guaranteed Notes (Bermuda)‡

 

(B+, B1)

 

03/18/12

 

8.500

 

417,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Pharmaceuticals (0.6%)

 

 

 

 

 

 

 

 

 

500

 

Biovail Corp., Yankee Senior Subordinated Notes (Callable 04/01/07 @ $101.97) (Canada)

 

(BB-, B2)

 

04/01/10

 

7.875

 

510,000

 

800

 

Elan Finance PLC, Global Company Guaranteed Notes (Callable 11/15/08 @ $103.88) (Ireland)

 

(B, B3)

 

11/15/11

 

7.750

 

772,000

 

 

 

 

 

 

 

 

 

 

 

1,282,000

 

Support-Services (0.4%)

 

 

 

 

 

 

 

 

 

1,000

 

Ashtead Holdings PLC, Rule 144A, Secured Notes (Callable 08/01/10 @ $104.31) (United Kingdom)‡

 

(B, B2)

 

08/01/15

 

8.625

 

992,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Integrated/Services (1.9%)

 

 

 

 

 

 

 

 

 

650

 

Global Crossing UK Finance, Company Guaranteed Notes (Callable 12/15/09 @ $105.38) (United Kingdom)

 

(B-, Caa1)

 

12/15/14

 

10.750

 

692,250

 

1,525

 

Intelsat, Ltd., Global Notes (Bermuda)§

 

(B, Caa1)

 

04/15/12

 

7.625

 

1,279,094

 

650

 

Nordic Telephone Co. Holdings, Rule 144A, Senior Notes (Callable 05/01/11 @ $104.44) (Denmark)‡

 

(B, B2)

 

05/01/16

 

8.875

 

672,750

 

 



 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

$

1,550

 

Intelsat, Ltd., Rule 144A, Senior Notes (Callable 06/15/11 @ $105.62) (Bermuda)‡

 

(B, Caa1)

 

06/15/16

 

11.250

 

$

1,573,250

 

 

 

 

 

 

 

 

 

 

 

4,217,344

 

Telecom - 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

 

806,250

 

500

 

Rogers Wireless Communications, Inc., Global Secured Notes (Canada)

 

(BB, Ba2)

 

03/15/15

 

7.500

 

515,000

 

 

 

 

 

 

 

 

 

 

 

1,321,250

 

Telecommunication Equipment (0.2%)

 

 

 

 

 

 

 

 

 

425

 

Nortel Networks, Ltd., Rule 144A, Company Guaranteed Notes (Canada)‡#

 

(B-, B3)

 

07/15/11

 

9.730

 

429,250

 

 

 

 

 

 

 

 

 

 

 

 

 

Transportation - Excluding Air/Rail (0.9%)

 

 

 

 

 

 

 

 

 

445

 

Sea Containers, Ltd., Series B, Yankee Senior Notes (Bermuda)

 

(CCC-, B3)

 

02/15/08

 

7.875

 

421,638

 

1,750

 

Ship Finance International, Ltd., Global Senior Notes (Callable 12/15/08 @ $104.25) (Bermuda)

 

(B, B1)

 

12/15/13

 

8.500

 

1,653,750

 

 

 

 

 

 

 

 

 

 

 

2,075,388

 

TOTAL FOREIGN CORPORATE BONDS (Cost $29,284,728)

 

 

 

 

 

 

 

27,660,553

 

 

 

 

 

 

 

 

 

 

 

Number of
Shares

 

 

 

 

 

 

 

 

 

Value

 

COMMON STOCKS (1.5%)

 

 

 

 

 

 

 

 

 

Automobile Parts & Equipment (0.0%)

 

 

 

 

 

 

 

 

 

774,557

 

Cambridge Industries Liquidating Trust*^

 

 

 

 

 

 

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

Chemicals (0.0%)

 

 

 

 

 

 

 

 

 

4,893

 

Huntsman Corp.*

 

 

 

 

 

 

 

78,043

 

 

 

 

 

 

 

 

 

 

 

 

 

Electric - Integrated (0.7%)

 

 

 

 

 

 

 

 

 

58,527

 

Mirant Corp.*

 

 

 

 

 

 

 

1,555,062

 

 

 

 

 

 

 

 

 

 

 

 

 

Food - Wholesale (0.4%)

 

 

 

 

 

 

 

 

 

845

 

Crunch Equity Holding LLC, Class A*

 

 

 

 

 

 

 

802,720

 

 

 

 

 

 

 

 

 

 

 

 

 

Steel Producers/Products (0.1%)

 

 

 

 

 

 

 

 

 

7,564

 

WCI Steel Acquisition, Inc.*

 

 

 

 

 

 

 

215,574

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Wireless (0.3%)

 

 

 

 

 

 

 

 

 

99,764

 

Dobson Communications Corp., Class A*

 

 

 

 

 

 

 

669,417

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL COMMON STOCKS (Cost $3,701,341)

 

 

 

 

 

 

 

3,320,816

 

 

 

 

 

 

 

 

 

 

 

 

 

WARRANTS (0.0%)

 

 

 

 

 

 

 

 

 

Electronics (0.0%)

 

 

 

 

 

 

 

 

 

5,000

 

Asat Finance LLC, Rule 144A, strike price $18.60, expires 11/01/06*‡

 

 

 

 

 

 

 

625

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Cable (0.0%)

 

 

 

 

 

 

 

 

 

5,980

 

Ono Finance PLC, expires 05/31/09*

 

 

 

 

 

 

 

60

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Diversified (0.0%)

 

 

 

 

 

 

 

 

 

204,293

 

Viasystems, Inc., strike price $25.31, expires 01/31/10*^

 

 

 

 

 

 

 

2,043

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Fixed Line (0.0%)

 

 

 

 

 

 

 

 

 

6,750

 

GT Group Telecom, Inc., Rule 144A, strike price $0.00, expires 02/01/10*^‡

 

 

 

 

 

 

 

0

 

3,000

 

Versatel Telecom International NV, strike price $2.81, expires 05/15/08*

 

 

 

 

 

 

 

6,154

 

 

 

 

 

 

 

 

 

 

 

6,154

 

TOTAL WARRANTS (Cost $3,937,613)

 

 

 

 

 

 

 

8,882

 

 



 

Number of
Shares

 

 

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS (13.4%)

 

 

 

 

 

 

 

 

 

15,000,000

 

American Beacon Money Market Fund §§

 

 

 

 

 

 

 

$

15,000,000

 

15,000,000

 

Reserve Funds Primary Fund Class 8 §§

 

 

 

 

 

 

 

15,000,000

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL SHORT-TERM INVESTMENTS (Cost $30,000,000)

 

 

 

 

 

 

 

30,000,000

 

 

Par
(000)

 

 

 

 

 

 

 

 

 

 

 

REPURCHASE AGREEMENTS (18.8%)

 

 

 

$

1,133

 

Bear Stearns & Co., 5.22%, Dated 07/31/06, due 08/01/06, proceeds at maturity $1,133,240 (fully collateralized by U.S. Treasury Strips, due 02/15/26, Market Value of collateral is $1,167,508) §§

 

1,133,076

 

6,387

 

Bear Stearns & Co., 3.9843%, Dated 07/31/06, due 08/01/06, proceeds at maturity $6,387,580 (fully collateralized by U.S. Treasury Strips, due 02/15/26, Market Value of collateral is $6,573,180) §§

 

6,386,873

 

34,722

 

Bear Stearns & Co., 5.3125%, Dated 07/31/06, due 08/01/06, proceeds at maturity $34,727,320 (fully collateralized by U.S. Treasury Strips, due 02/15/26, U.S Treasury Strips, due 11/15/18, U.S. Treasury Bonds, due 08/15/23, Market Value of collateral is $35,729,713) §§

 

34,722,196

 

 

 

 

 

 

 

TOTAL REPURCHASE AGREEMENTS (Cost $42,242,145)

 

42,242,145

 

 

 

 

 

 

 

TOTAL INVESTMENTS AT VALUE (177.6%) (Cost $407,899,799)

 

398,395,685

 

 

 

 

 

LIABILITIES IN EXCESS OF OTHER ASSETS (-77.6%)

 

(174,060,764

)

 

 

 

 

NET ASSETS (100.0%)

 

$

224,334,921

 

 

INVESTMENT ABBREVIATIONS
NR=Not Rated

 


 

Credit ratings given by the Standard & Poor’s Division of The McGraw-Hill Companies, Inc. (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”) 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, 2006, these securities amounted to $49,355,448 or 22.0% of net assets.

+

 

Step Bond — The interest stated is as of July 31, 2006 and will reset at a future date.

ø

 

Bond in default.

*

 

Non-income producing security.

^

 

Not readily marketable; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Trustees.

§

 

Security or portion thereof is out on loan.

#

 

Variable rate obligations – The interest rate shown is the rate as of July 31, 2006.

§§

 

Represents security purchased with cash collateral received for securities on loan.

 

Security Valuation — The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (“Valuation Time”). If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Investments in mutual funds are valued at the mutual fund’s closing net asset value per share on the day of valuation. Securities and other assets for which market quotations are not readily available, or whose values have been materially affected by events occurring before the Fund’s Valuation Time but after the close of the securities’ primary markets, are valued at fair value as determined in good faith by, or under direction of, the Board of Trustees under procedures established by the Board of Trustees.

 

Federal Income Tax Cost - At July 31, 2006, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized depreciation from investments were $407,899,799, $6,256,663, $(15,760,777) and $(9,504,114), respectively.

 



 

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders. This information is also available on the Fund’s website at http://www.credit-suisse.com/us as well as on the website of the Securities and Exchange Commission – http://www.sec.gov.

 



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

1.             The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.




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.

CREDIT SUISSE HIGH YIELD BOND FUND

/s/ Steven Plump

 

Name:

Steven Plump

Title:

Chief Executive Officer

Date:

September 28, 2006

 

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 28, 2006

 

 

 

/s/ Michael A. Pignataro

 

Name:

Michael A. Pignataro

Title:

Chief Financial Officer

Date:

September 28, 2006

 



EX-99.CERT 2 a06-18808_22ex99dcert.htm EX-99.CERT

Exhibit 99.CERT

I, Steven Plump, certify that:

1.             I have reviewed this report on Form N-Q of Credit Suisse High Yield Bond Fund;

2.             Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.             Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4.             The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a)           Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)           Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c)           Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

(d)           Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.             The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a)           All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b)           Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:       September 28, 2006

/s/ Steven Plump

 

Name:

Steven Plump

Title:

Chief Executive Officer




I, Michael A. Pignataro, certify that:

1.             I have reviewed this report on Form N-Q of Credit Suisse High Yield Bond Fund;

2.             Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.             Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4.             The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a)           Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)           Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c)           Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

(d)           Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.             The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a)           All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b)           Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:       September 28, 2006

/s/ Michael A. Pignataro

 

Name:

Michael A. Pignataro

Title:

Chief Financial Officer

End of Filing



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