N-Q 1 a07-6954_9nq.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

Eleven Madison Avenue

New York, New York

 

10010

(Address of principal executive offices)

 

(Zip code)

 

J. Kevin Gao, Esq.

Eleven Madison Avenue

New York, New York 10010

(Name and address of agent for service)

 

Registrant's telephone number, including area code:

(212) 325-2000

 

 

Date of fiscal year end:

October 31st

 

 

 

 

Date of reporting period:

November 1, 2006 to January 31, 2007

 

 


 

Item 1:          Schedule of Investments

 


 

Credit Suisse High Yield Bond Fund

Schedule of Investments

January 31, 2007 (unaudited)

 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

U.S. CORPORATE BONDS (127.2%)

 

 

 

 

 

 

 

 

 

Aerospace & Defense (1.4%)

 

 

 

 

 

 

 

 

 

$

425

 

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

 

(B, B3)

 

02/01/18

 

7.625

 

$

434,563

 

725

 

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

 

(B, B3)

 

11/01/13

 

6.875

 

721,375

 

350

 

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

 

(B-, Caa1)

 

11/15/14

 

7.750

 

361,375

 

1,125

 

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

 

(BB+, Ba3)

 

01/15/15

 

5.875

 

1,071,562

 

225

 

TransDigm, Inc., Global Company Guaranteed Notes (Callable 07/15/09 @ $105.81)

 

(B-, B3)

 

07/15/14

 

7.750

 

230,625

 

475

 

TransDigm, Inc., Rule 144A, Senior Subordinated Notes (Callable 07/15/09 @ $105.81)‡

 

(B-, B3)

 

07/15/14

 

7.750

 

479,750

 

 

 

 

 

 

 

 

 

 

 

3,299,250

 

Agriculture (0.6%)

 

 

 

 

 

 

 

 

 

1,325

 

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

 

(B, Caa1)

 

11/01/10

 

10.500

 

1,414,438

 

Auto Loans (5.5%)

 

 

 

 

 

 

 

 

 

2,900

 

Ford Motor Credit Co., Global Notes§

 

(B, B1)

 

10/01/13

 

7.000

 

2,770,063

 

2,075

 

Ford Motor Credit Co., Notes

 

(B, B1)

 

06/16/08

 

6.625

 

2,074,517

 

325

 

Ford Motor Credit Co., Senior Notes§

 

(B, B1)

 

08/10/11

 

9.875

 

348,291

 

2,125

 

Ford Motor Credit Co., Senior Unsecured Notes§

 

(B, B1)

 

12/15/16

 

8.000

 

2,089,969

 

2,625

 

General Motors Acceptance Corp., Global Notes

 

(BB+, Ba1)

 

05/15/09

 

5.625

 

2,599,411

 

2,250

 

General Motors Acceptance Corp., Global Notes§

 

(BB+, Ba1)

 

12/01/14

 

6.750

 

2,286,317

 

1,125

 

GMAC LLC, Senior Unsubordinated Notes§

 

(BB+, Ba1)

 

12/15/11

 

6.000

 

1,109,607

 

 

 

 

 

 

 

 

 

 

 

13,278,175

 

Automobile Parts & Equipment (4.6%)

 

 

 

 

 

 

 

 

 

575

 

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

 

(B-, B3)

 

02/01/15

 

8.500

 

563,500

 

1,025

 

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

 

(CCC+, B1)

 

12/01/11

 

9.000

 

1,063,437

 

1,200

 

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

 

(CCC+, Caa1)

 

04/01/13

 

10.750

 

1,164,000

 

1,900

 

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

 

(B-, B2)

 

07/01/15

 

9.000

 

2,056,750

 

75

 

Goodyear Tire & Rubber Co., Rule 144A, Senior Notes‡#

 

(B-, B2)

 

12/01/09

 

9.140

 

75,938

 

1,075

 

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

 

(CCC+, Caa1)

 

04/01/13

 

11.000

 

1,220,125

 

500

 

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

 

(CCC+, Caa1)

 

11/01/13

 

9.750

 

496,250

 

1,200

 

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

 

(CCC+, Caa1)

 

08/15/14

 

10.000

 

1,248,000

 

800

 

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

 

(B, B3)

 

11/15/14

 

8.625

 

834,000

 

1,275

 

Titan International, Inc., Rule 144A, Senior Notes‡

 

(B, B3)

 

01/15/12

 

8.000

 

1,287,750

 

950

 

Visteon Corp., Global Senior Notes§

 

(CCC+, Caa2)

 

08/01/10

 

8.250

 

954,750

 

 

 

 

 

 

 

 

 

 

 

10,964,500

 

Automotive (2.6%)

 

 

 

 

 

 

 

 

 

1,645

 

Ford Motor Co., Global Notes

 

(CCC+, Caa1)

 

07/16/31

 

7.450

 

1,342,731

 

2,715

 

General Motors Corp., Global Debentures§

 

(B-, Caa1)

 

07/15/33

 

8.375

 

2,569,069

 

2,400

 

General Motors Corp., Global Senior Notes§

 

(B-, Caa1)

 

07/15/13

 

7.125

 

2,334,000

 

 

 

 

 

 

 

 

 

 

 

6,245,800

 

Beverages (0.3%)

 

 

 

 

 

 

 

 

 

600

 

Constellation Brands, Inc., Company Guaranteed Notes§

 

(BB, Ba2)

 

09/01/16

 

7.250

 

616,500

 

Brokerage (0.3%)

 

 

 

 

 

 

 

 

 

775

 

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

 

(BB-, Ba2)

 

06/15/11

 

8.000

 

812,781

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

Building & Construction (2.4%)

 

 

 

 

 

 

 

 

 

$

1,050

 

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

 

(B-, B3)

 

10/01/15

 

9.500

 

$

1,013,250

 

625

 

K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes§

 

(BB, Ba1)

 

01/15/16

 

6.250

 

587,500

 

775

 

KB Home, Senior Subordinated Notes

 

(BB-, Ba2)

 

12/15/08

 

8.625

 

807,630

 

900

 

Standard Pacific Corp., Global Senior Notes§

 

(BB, Ba2)

 

08/15/15

 

7.000

 

868,500

 

1,200

 

Technical Olympic USA, Inc., Global Senior Subordinated Notes§

 

(CCC+, B3)

 

01/15/15

 

7.500

 

963,000

 

700

 

WCI Communities, Inc., Global Company Guaranteed Notes (Callable 03/15/10 @ $103.31)

 

(B-, Caa1)

 

03/15/15

 

6.625

 

640,500

 

1,000

 

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

 

(B, B3)

 

04/01/13

 

10.750

 

990,000

 

 

 

 

 

 

 

 

 

 

 

5,870,380

 

Building Materials (4.8%)

 

 

 

 

 

 

 

 

 

1,000

 

Associated Materials, Inc., Global Senior Discount Notes (Callable 03/01/09 @
$105.63)+

 

(CCC, Caa2)

 

03/01/14

 

0.000

 

737,500

 

1,300

 

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

 

(B+, B3)

 

08/01/14

 

7.750

 

1,235,000

 

1,425

 

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

 

(B-, B3)

 

10/01/12

 

9.875

 

1,467,750

 

500

 

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

 

(CCC, Caa3)

 

06/15/09

 

13.000

 

516,250

 

750

 

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

 

(CCC+, Caa1)

 

09/15/08

 

10.750

 

781,875

 

1,375

 

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

 

(B-, B3)

 

12/15/12

 

7.875

 

1,388,750

 

1,100

 

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

 

(CCC+, B3)

 

02/01/14

 

9.500

 

1,177,000

 

325

 

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

 

(B-, B1)

 

11/01/11

 

9.000

 

337,187

 

750

 

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

 

(B-, B3)

 

09/01/12

 

0.000

 

663,750

 

1,100

 

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

 

(CCC+, B3)

 

09/01/14

 

8.500

 

1,097,250

 

1,000

 

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

 

(CCC+, Caa1)

 

03/01/14

 

0.000

 

740,000

 

1,550

 

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

 

(CCC+, Caa1)

 

02/15/12

 

9.000

 

1,402,750

 

 

 

 

 

 

 

 

 

 

 

11,545,062

 

Chemicals (5.4%)

 

 

 

 

 

 

 

 

 

650

 

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

 

(B, B3)

 

06/15/14

 

9.625

 

721,500

 

750

 

CPG International I, Inc., Global Senior Notes (Callable 07/01/09 @ $105.25)

 

(B-, B3)

 

07/01/13

 

10.500

 

785,625

 

876

 

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

 

(B, B3)

 

10/01/14

 

0.000

 

766,500

 

736

 

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

 

(B, B2)

 

07/15/12

 

11.500

 

839,040

 

1,200

 

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

 

(B-, B3)

 

11/15/14

 

0.000

 

981,000

 

375

 

Lyondell Chemical Co., Global Company Guaranteed Notes (Callable 09/15/10 @ $104.00)

 

(B+, B1)

 

09/15/14

 

8.000

 

391,875

 

1,800

 

Lyondell Chemical Co., Global Company Guaranteed Notes (Callable 09/15/11 @ $104.13)

 

(B+, B1)

 

09/15/16

 

8.250

 

1,917,000

 

1,375

 

Millennium America, Inc., Global Company Guaranteed Notes

 

(B+, B1)

 

06/15/08

 

9.250

 

1,436,875

 

2,025

 

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

 

(B-, B3)

 

02/01/14

 

0.000

 

1,690,875

 

925

 

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

 

(B+, B2)

 

05/15/10

 

10.625

 

987,437

 

550

 

PolyOne Corp., Senior Notes§

 

(B+, B2)

 

05/01/12

 

8.875

 

548,625

 

832

 

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

 

(B, B1)

 

06/01/10

 

11.500

 

898,560

 

1,150

 

Terra Capital, Inc., Rule 144A, Senior Notes
(Callable 02/01/12 @ $103.50)‡

 

(BB-, B1)

 

02/01/17

 

7.000

 

1,138,500

 

 

 

 

 

 

 

 

 

 

 

13,103,412

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

Computer Hardware (0.5%)

 

 

 

 

 

 

 

 

 

$

1,325

 

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

 

(CCC+, Caa1)

 

05/01/16

 

9.500

 

$

1,291,875

 

Consumer Products (3.9%)

 

 

 

 

 

 

 

 

 

1,850

 

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

 

(CCC+, B3)

 

10/01/12

 

0.000

 

1,646,500

 

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

 

1,007,500

 

1,575

 

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

 

(CCC+, Caa1)

 

05/01/14

 

8.750

 

1,551,375

 

1,325

 

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

 

(CCC, Caa2)

 

02/01/12

 

8.000

 

1,262,062

 

1,025

 

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

 

(B-, B3)

 

05/01/12

 

9.750

 

1,090,344

 

825

 

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

 

(B-, Caa1)

 

06/01/11

 

9.375

 

860,062

 

1,265

 

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

 

(B-, B3)

 

04/15/12

 

9.250

 

1,296,625

 

750

 

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

 

(CCC-, Caa2)

 

04/01/11

 

9.500

 

717,188

 

 

 

 

 

 

 

 

 

 

 

9,431,656

 

Diversified Capital Goods (2.5%)

 

 

 

 

 

 

 

 

 

1,000

 

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

 

(B, Caa1)

 

10/15/11

 

10.250

 

1,076,250

 

925

 

Esco Corp., Rule 144A, Senior Notes (Callable 12/15/08 @ $102.00)‡#

 

(B, B2)

 

12/15/13

 

9.235

 

950,438

 

625

 

Esco Corp., Rule 144A, Senior Notes (Callable 12/15/10 @ $104.31)‡

 

(B, B2)

 

12/15/13

 

8.625

 

646,875

 

275

 

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

 

(CCC+, B3)

 

08/01/14

 

9.500

 

286,000

 

750

 

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

 

(CCC+, Caa1)

 

08/01/16

 

11.750

 

796,875

 

950

 

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

 

(B-, B3)

 

12/15/13

 

8.625

 

954,750

 

1,350

 

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

 

(CCC+, B3)

 

06/15/12

 

9.875

 

1,360,125

 

 

 

 

 

 

 

 

 

 

 

6,071,313

 

Electric - Generation (3.5%)

 

 

 

 

 

 

 

 

 

1,000

 

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

 

(BB-, Ba3)

 

05/15/15

 

9.000

 

1,075,000

 

375

 

Baldor Electric Co., Senior Notes (Callable 02/15/12 @ $104.31)

 

(B, B3)

 

02/15/17

 

8.625

 

389,063

 

1,800

 

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

 

(D, NR)

 

04/01/10

 

11.099

 

1,845,000

 

1,375

 

Dynegy Holdings, Inc., Global Senior Unsecured Notes

 

(B-, B2)

 

05/01/16

 

8.375

 

1,460,937

 

650

 

Edison Mission Energy, Senior Notes§

 

(BB-, B1)

 

06/15/09

 

7.730

 

672,750

 

675

 

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

 

(B+, Ba2)

 

05/01/34

 

8.750

 

732,375

 

438

 

Midwest Generation LLC, Series B, Global Pass Thru Certificates

 

(BB-, Ba2)

 

01/02/16

 

8.560

 

482,371

 

25

 

NRG Energy, Inc., Company Guaranteed Notes (Callable 01/15/12 @ $103.69)

 

(B-, B1)

 

01/15/17

 

7.375

 

25,063

 

675

 

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

 

(B-, B1)

 

02/01/16

 

7.375

 

677,531

 

1,025

 

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

 

(B, B2)

 

07/15/13

 

9.500

 

1,104,437

 

 

 

 

 

 

 

 

 

 

 

8,464,527

 

Electric - Integrated (0.6%)

 

 

 

 

 

 

 

 

 

800

 

CMS Energy Corp., Global Senior Notes

 

(B+, Ba3)

 

08/01/10

 

7.750

 

841,000

 

500

 

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

 

(B, B1)

 

03/15/14

 

8.625

 

541,629

 

 

 

 

 

 

 

 

 

 

 

1,382,629

 

Electronics (3.2%)

 

 

 

 

 

 

 

 

 

1,400

 

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

 

(CCC+, Caa1)

 

05/15/13

 

7.750

 

1,324,750

 

191

 

Ampex Corp., Secured Notes^

 

(NR, NR)

 

08/15/08

 

12.000

 

191,157

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

$

2,150

 

Freescale Semiconductor, Inc., Rule 144A, Senior Subordinated Notes (Callable 12/15/11 @ $105.06)‡

 

(B, B2)

 

12/15/16

 

10.125

 

$

2,150,000

 

1,000

 

GrafTech Finance, Inc., Global Company Guaranteed Notes (Callable 02/15/07 @ $105.12)

 

(B-, B2)

 

02/15/12

 

10.250

 

1,055,000

 

650

 

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

 

(B, B2)

 

03/01/16

 

8.125

 

622,375

 

1,225

 

Spansion, Inc., Rule 144A, Senior Notes
(Callable 01/15/11 @ $105.62)‡

 

(B, Caa1)

 

01/15/16

 

11.250

 

1,295,437

 

1,000

 

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

 

(CCC+, Caa1)

 

01/15/11

 

10.500

 

1,017,500

 

 

 

 

 

 

 

 

 

 

 

7,656,219

 

Energy - Exploration & Production (2.8%)

 

 

 

 

 

 

 

 

 

600

 

Chaparral Energy, Inc., Rule 144A, Senior Notes (Callable 02/01/12 @ $104.44)‡

 

(CCC+, Caa1)

 

02/01/17

 

8.875

 

601,500

 

1,933

 

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

 

(BB, Ba2)

 

01/15/16

 

6.875

 

1,923,335

 

275

 

Encore Acquisition Co., Company Guaranteed Notes (Callable 12/01/10 @ $103.63)

 

(B, B1)

 

12/01/17

 

7.250

 

262,625

 

200

 

Forest Oil Corp., Global Company Guranteed Notes (Callable 05/01/07 @ $103.88)

 

(B+, B1)

 

05/01/14

 

7.750

 

203,000

 

975

 

Hilcorp Energy I, Rule 144A, Senior Notes
(Callable 06/01/11 @ $104.50)‡

 

(B, B3)

 

06/01/16

 

9.000

 

1,038,375

 

423

 

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

 

(BB-, B1)

 

03/15/12

 

9.600

 

444,679

 

1,275

 

Petrohawk Energy Corp., Global Company Guaranteed Notes (Callable 07/15/10 @ $104.56)

 

(B-, B3)

 

07/15/13

 

9.125

 

1,326,000

 

375

 

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

 

(B, B1)

 

03/15/15

 

6.375

 

365,625

 

600

 

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

 

(B, B1)

 

05/01/12

 

7.250

 

598,500

 

 

 

 

 

 

 

 

 

 

 

6,763,639

 

Environmental (1.6%)

 

 

 

 

 

 

 

 

 

2,325

 

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

 

(B+, B3)

 

04/15/14

 

7.375

 

2,330,813

 

1,375

 

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

 

(CCC, Caa1)

 

04/15/14

 

9.500

 

1,436,875

 

 

 

 

 

 

 

 

 

 

 

3,767,688

 

 

 

 

 

 

 

 

 

 

 

 

 

Food & Drug Retailers (1.7%)

 

 

 

 

 

 

 

 

 

1,800

 

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

 

(CC, Caa3)

 

08/01/11

 

9.750

 

1,692,000

 

250

 

Ingles Markets, Inc., Global Company Guaranteed Notes (Callable 12/01/07 @ $102.90)

 

(B, B3)

 

12/01/11

 

8.875

 

262,188

 

1,000

 

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

 

(B+, B2)

 

01/15/15

 

7.500

 

1,001,250

 

1,175

 

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

 

(B+, B1)

 

06/15/12

 

8.125

 

1,198,500

 

 

 

 

 

 

 

 

 

 

 

4,153,938

 

Food - Wholesale (1.6%)

 

 

 

 

 

 

 

 

 

825

 

Dole Food Co., Debentures#§

 

(Caa1, B3)

 

07/15/13

 

8.750

 

816,750

 

950

 

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

 

(B-, Caa1)

 

08/01/11

 

10.500

 

1,007,000

 

1,000

 

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

 

(B-, B3)

 

12/01/13

 

8.250

 

1,027,500

 

850

 

Swift & Co., Global Senior Subordinated Notes (Callable 10/01/07 @ $103.13)

 

(CCC+, Caa1)

 

01/01/10

 

12.500

 

890,375

 

 

 

 

 

 

 

 

 

 

 

3,741,625

 

Forestry & Paper (4.3%)

 

 

 

 

 

 

 

 

 

800

 

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

 

(B+, B2)

 

10/15/14

 

7.125

 

784,000

 

1,150

 

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

 

(B, B2)

 

03/15/10

 

9.750

 

1,152,875

 

750

 

Georgia-Pacific Corp., Global Senior Notes§

 

(B, B2)

 

01/15/24

 

8.000

 

757,500

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

$

300

 

Georgia-Pacific Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ $103.56)‡§

 

(B, Ba3)

 

01/15/17

 

7.125

 

$

300,000

 

1,225

 

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

 

(B-, B3)

 

08/15/13

 

9.500

 

1,304,625

 

625

 

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

 

(B-, Caa1)

 

03/15/14

 

9.750

 

646,094

 

750

 

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

 

(B-, B2)

 

05/01/12

 

10.000

 

821,250

 

1,025

 

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

 

(CCC+, B3)

 

05/01/13

 

12.000

 

1,122,375

 

2,100

 

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

 

(CCC+, B2)

 

07/01/12

 

8.375

 

2,121,000

 

175

 

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

 

(B+, B2)

 

08/01/14

 

9.125

 

184,625

 

1,125

 

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

 

(B-, B3)

 

08/01/16

 

11.375

 

1,198,125

 

 

 

 

 

 

 

 

 

 

 

10,392,469

 

Gaming (6.5%)

 

 

 

 

 

 

 

 

 

800

 

Aztar Corp., Global Senior Subordinated Notes (Callable 08/15/07 @ $103.00)

 

(B+, Ba3)

 

08/15/11

 

9.000

 

836,000

 

875

 

Buffalo Thunder Development Authority, Rule 144A, Secured Notes (Callable 12/15/10 @ $104.69)‡

 

(B, B2)

 

12/15/14

 

9.375

 

893,594

 

1,550

 

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

 

(CCC+, B3)

 

08/01/13

 

8.000

 

1,548,062

 

725

 

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

 

(B, B2)

 

06/01/13

 

8.875

 

789,344

 

800

 

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

 

(B-, B3)

 

06/01/12

 

8.125

 

820,000

 

750

 

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

 

(B-, B3)

 

11/15/10

 

12.000

 

821,250

 

1,425

 

Jacobs Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/15/10 @ 104.88)

 

(B-, B3)

 

06/15/14

 

9.750

 

1,482,000

 

775

 

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

 

(B+, B1)

 

10/15/10

 

9.500

 

813,750

 

800

 

Majestic Star LLC, Global Senior Unsecured Notes (Callable 10/15/08 @ $104.88)

 

(CCC+, Caa1)

 

01/15/11

 

9.750

 

764,000

 

450

 

MGM Mirage, Inc., Company Guaranteed Notes§

 

(B+, B1)

 

02/01/11

 

8.375

 

475,312

 

1,425

 

MGM Mirage, Inc., Company Guaranteed Notes§

 

(BB, Ba2)

 

01/15/17

 

7.625

 

1,441,031

 

400

 

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

 

(CCC, Caa1)

 

03/15/09

 

11.500

 

415,000

 

1,000

 

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

 

(B-, Caa1)

 

06/01/15

 

8.500

 

995,000

 

800

 

Turning Stone Resort Casino Enterprise, Rule 144A, Senior Notes (Callable 09/15/10 @ $104.56)‡

 

(B+, Ba3)

 

09/15/14

 

9.125

 

827,000

 

303

 

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

 

(BB-, B1)

 

09/15/12

 

8.625

 

322,695

 

1,625

 

Wimar Opco LLC, Rule 144A, Senior Subordinated Notes (Callable 12/15/10 @ $104.81)‡

 

(CCC+, B3)

 

12/15/14

 

9.625

 

1,622,969

 

775

 

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

 

(BB-, B1)

 

12/01/14

 

6.625

 

771,125

 

 

 

 

 

 

 

 

 

 

 

15,638,132

 

Gas Distribution (2.4%)

 

 

 

 

 

 

 

 

 

750

 

El Paso Corp., Senior Notes§

 

(B, B2)

 

05/15/11

 

7.000

 

772,500

 

1,000

 

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

 

(B+, Ba1)

 

08/01/10

 

7.625

 

1,045,000

 

1,625

 

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

 

(B+, B2)

 

07/15/11

 

7.750

 

1,698,125

 

825

 

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

 

(B, B1)

 

03/01/16

 

8.250

 

855,937

 

575

 

Williams Companies, Inc., Global Senior Unsecured Notes

 

(BB-, Ba2)

 

03/15/12

 

8.125

 

621,719

 

650

 

Williams Partners LP, Rule 144A, Bonds‡

 

(BB-, Ba3)

 

02/01/17

 

7.250

 

671,125

 

 

 

 

 

 

 

 

 

 

 

5,664,406

 

Health Services (8.7%)

 

 

 

 

 

 

 

 

 

775

 

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

 

(CCC+, Caa1)

 

01/01/15

 

0.000

 

621,938

 

850

 

CDRV Investors, Inc., Rule 144A, Senior Notes (Callable 12/01/07 @ $102.00)‡#

 

(CCC+, Caa1)

 

12/01/11

 

9.860

 

839,375

 

1,050

 

HCA, Inc., Global Senior Unsecured Notes

 

(B-, Caa1)

 

01/15/15

 

6.375

 

895,125

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

$

4,550

 

HCA, Inc., Global Senior Unsecured Notes§

 

(B-, Caa1)

 

02/15/16

 

6.500

 

$

3,856,125

 

1,850

 

HCA, Inc., Rule 144A, Secured Notes (Callable 11/15/11 @ $104.63)‡

 

(BB-, B2)

 

11/15/16

 

9.250

 

1,970,250

 

1,150

 

HCA, Inc., Senior Unsecured Notes§

 

(B-, Caa1)

 

10/01/12

 

6.300

 

1,058,000

 

1,275

 

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

 

(CCC+, Caa1)

 

06/15/16

 

10.750

 

1,407,281

 

1,025

 

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

 

(B-, B3)

 

06/15/14

 

8.750

 

1,051,906

 

800

 

Senior Housing Properties Trust, Senior Notes

 

(BB+, Ba2)

 

01/15/12

 

8.625

 

872,000

 

750

 

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

 

(B+, B1)

 

02/15/13

 

6.250

 

723,750

 

2,550

 

Tenet Healthcare Corp., Global Senior Notes§

 

(CCC+, Caa1)

 

07/01/14

 

9.875

 

2,597,812

 

500

 

Tenet Healthcare Corp., Global Senior Notes#

 

(CCC+, Caa1)

 

02/01/15

 

9.250

 

501,250

 

640

 

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

 

(BB-, B1)

 

05/15/12

 

7.000

 

659,200

 

875

 

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

 

(B+, B2)

 

11/15/13

 

7.000

 

899,063

 

1,275

 

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

 

(B-, B3)

 

11/01/11

 

10.125

 

1,361,062

 

1,600

 

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

 

(CCC+, Caa1)

 

10/01/14

 

9.000

 

1,646,000

 

 

 

 

 

 

 

 

 

 

 

20,960,137

 

Hotels (0.7%)

 

 

 

 

 

 

 

 

 

500

 

Bluegreen Corp., Series B, Company Guaranteed Notes

 

(B-, B3)

 

04/01/08

 

10.500

 

501,250

 

350

 

Host Hotels & Resorts LP, Rule 144A, Company Guaranteed Notes (Callable 11/01/10 @ $103.44)‡

 

(BB, Ba1)

 

11/01/14

 

6.875

 

353,063

 

950

 

Host Marriott LP, Series Q, Global Company Guaranteed Notes (Callable 06/01/11 @ $103.33)

 

(BB, Ba1)

 

06/01/16

 

6.750

 

947,625

 

 

 

 

 

 

 

 

 

 

 

1,801,938

 

Household & Leisure Products (1.3%)

 

 

 

 

 

 

 

 

 

500

 

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

 

(CCC+, Caa1)

 

01/15/12

 

9.360

 

512,500

 

1,400

 

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

 

(CCC-, Caa3)

 

07/15/12

 

10.000

 

1,333,500

 

525

 

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

 

(B, B2)

 

06/15/14

 

8.250

 

553,875

 

825

 

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

 

(B-, B3)

 

01/15/14

 

7.875

 

849,750

 

 

 

 

 

 

 

 

 

 

 

3,249,625

 

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

 

246,250

 

950

 

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

 

(CCC, Caa1)

 

02/01/10

 

8.875

 

950,000

 

175

 

Six Flags, Inc., Global Senior Notes (Callable 04/15/08 @ $104.88)

 

(CCC, Caa1)

 

04/15/13

 

9.750

 

169,969

 

1,050

 

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

 

(CCC, Caa1)

 

06/01/14

 

9.625

 

1,008,000

 

 

 

 

 

 

 

 

 

 

 

2,374,219

 

Machinery (0.4%)

 

 

 

 

 

 

 

 

 

825

 

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

 

(BB, Ba3)

 

08/01/11

 

9.250

 

878,625

 

Media - Broadcast (3.4%)

 

 

 

 

 

 

 

 

 

1,000

 

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

 

(B-, B1)

 

12/15/12

 

7.750

 

1,022,500

 

600

 

CMP Susquehanna Corp., Rule 144A, Senior Subordinated Notes (Callable 05/15/10 @ 104.94)‡

 

(CCC, B3)

 

05/15/14

 

9.875

 

618,000

 

450

 

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

 

(B-, B2)

 

09/15/14

 

8.625

 

482,625

 

550

 

Gray Television, Inc., Global Company Guaranteed Notes (Callable 12/15/07 @ $103.08)

 

(B-, B1)

 

12/15/11

 

9.250

 

576,812

 

1,275

 

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

 

(CCC-, Caa2)

 

01/15/13

 

11.610

 

1,332,375

 

1,075

 

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

 

(CCC+, B3)

 

01/15/14

 

7.000

 

1,032,000

 

1,000

 

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

 

(CCC, Caa1)

 

08/01/13

 

9.625

 

1,000,000

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

$

600

 

XM Satellite Radio, Inc., Global Company Guaranteed Notes (Callable 05/01/08 @ $102.00)#

 

(CCC, Caa1)

 

05/01/13

 

9.871

 

$

589,500

 

1,650

 

Young Broadcasting, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $104.38)§

 

(CCC-, Caa1)

 

01/15/14

 

8.750

 

1,509,750

 

 

 

 

 

 

 

 

 

 

 

8,163,562

 

Media - Cable (8.1%)

 

 

 

 

 

 

 

 

 

1,575

 

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

 

(CCC+, Caa1)

 

01/15/14

 

9.375

 

1,626,187

 

2,125

 

CCH I Holdings LLC, Global Company Guaranteed Notes (Callable 09/30/07 @ $103.92)#

 

(CCC-, Caa3)

 

05/15/14

 

11.750

 

2,034,687

 

2,650

 

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

 

(CCC-, Caa2)

 

10/01/15

 

11.000

 

2,749,375

 

2,525

 

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

 

(CCC-, Caa1)

 

11/15/13

 

8.750

 

2,613,375

 

1,200

 

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

 

(CCC-, Caa3)

 

04/01/11

 

9.920

 

1,146,000

 

1,850

 

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

 

(B+, B2)

 

04/15/12

 

7.250

 

1,840,750

 

1,625

 

CSC Holdings, Inc., Series B, Senior Notes

 

(B+, B2)

 

04/01/11

 

7.625

 

1,681,875

 

325

 

DirecTV Holdings/Finance, Global Senior Notes (Callable 03/15/08 @ $104.19)

 

(BB-, Ba3)

 

03/15/13

 

8.375

 

341,656

 

1,150

 

EchoStar DBS Corp., Global Company Guaranteed Notes

 

(BB-, Ba3)

 

10/01/14

 

6.625

 

1,129,875

 

825

 

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

 

(B+, B1)

 

02/15/14

 

7.250

 

827,063

 

750

 

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

 

(CCC+, B3)

 

02/15/11

 

12.250

 

784,688

 

104

 

Insight Midwest/Insight Capital Corp., Senior Notes (Callable 10/01/07 @ $100.00)

 

(B, B3)

 

10/01/09

 

9.750

 

106,080

 

1,825

 

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

 

(B, B3)

 

10/15/15

 

8.500

 

1,856,937

 

825

 

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

 

(B, B3)

 

02/15/11

 

7.875

 

832,219

 

 

 

 

 

 

 

 

 

 

 

19,570,767

 

Media - Services (0.3%)

 

 

 

 

 

 

 

 

 

750

 

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

 

(B, B2)

 

12/15/14

 

0.000

 

607,500

 

Metal & Mining - Excluding Steel (2.1%)

 

 

 

 

 

 

 

 

 

225

 

Aleris International, Inc., Rule 144A, Senior Notes (Callable 12/15/10 @ $104.50)‡

 

(B-, B3)

 

12/15/14

 

9.000

 

234,563

 

1,000

 

Aleris International, Inc., Rule 144A, Senior Subordinated Notes (Callable 12/15/11 @ $105.00)‡

 

(B-, Caa1)

 

12/15/16

 

10.000

 

1,040,000

 

1,600

 

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

 

(B-, B3)

 

06/01/12

 

10.000

 

1,740,000

 

1,150

 

PNA Group, Inc., Rule 144A, Senior Notes
(Callable 09/01/11 @ $105.38)‡

 

(B-, B3)

 

09/01/16

 

10.750

 

1,207,500

 

725

 

Southern Copper Corp., Global Senior Notes

 

(BBB-, Baa2)

 

07/27/35

 

7.500

 

775,430

 

 

 

 

 

 

 

 

 

 

 

4,997,493

 

Non-Food & Drug Retailers (5.4%)

 

 

 

 

 

 

 

 

 

1,507

 

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

 

(CCC+, B3)

 

02/15/12

 

10.875

 

1,514,308

 

1,125

 

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

 

(B, B3)

 

06/15/12

 

9.000

 

1,182,656

 

1,200

 

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

 

(B, Caa1)

 

10/15/12

 

12.000

 

1,221,000

 

1,250

 

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

 

(B-, B3)

 

06/01/12

 

8.375

 

1,193,750

 

850

 

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

 

(B+, B1)

 

10/01/12

 

8.000

 

903,125

 

275

 

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

 

(B-, B1)

 

01/15/11

 

8.625

 

291,500

 

925

 

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

 

(CCC+, B3)

 

12/01/10

 

8.500

 

964,313

 

505

 

Michaels Stores, Inc., Rule 144A, Senior Notes (Callable 11/01/10 @ $105.00)‡

 

(CCC, B2)

 

11/01/14

 

10.000

 

541,613

 

1,120

 

Michaels Stores, Inc., Rule 144A, Senior Subordinated Notes (Callable 11/01/11 @ $105.69)‡§

 

(CCC, Caa1)

 

11/01/16

 

11.375

 

1,215,200

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

$

500

 

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

 

(CCC, B3)

 

03/15/12

 

8.625

 

$

496,250

 

1,585

 

Neiman Marcus Group, Inc., Global Company Guaranteed Notes (Callable 10/15/10 @ $105.19)§

 

(B-, B3)

 

10/15/15

 

10.375

 

1,779,162

 

1,000

 

PCA LLC, Global Senior Notesø

 

(NR, NR)

 

08/01/09

 

11.875

 

185,000

 

600

 

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

 

(B-, B3)

 

12/15/13

 

12.000

 

630,000

 

863

 

Susser Holdings LLC, Company Guaranteed Notes (Callable 12/15/09 @ $105.31)

 

(B, B2)

 

12/15/13

 

10.625

 

944,985

 

 

 

 

 

 

 

 

 

 

 

13,062,862

 

Office Equipment (0.3%)

 

 

 

 

 

 

 

 

 

775

 

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

 

(BB+, Baa3)

 

06/15/13

 

7.625

 

809,875

 

Oil Refining & Marketing (0.5%)

 

 

 

 

 

 

 

 

 

450

 

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

 

(B-, B2)

 

05/15/14

 

8.000

 

485,438

 

743

 

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

 

(B-, B2)

 

05/15/12

 

11.000

 

795,010

 

 

 

 

 

 

 

 

 

 

 

1,280,448

 

Packaging (4.0%)

 

 

 

 

 

 

 

 

 

1,355

 

Berry Plastics Holding Corp., Rule 144A, Secured Notes (Callable 09/15/10 @ $104.44)‡

 

(CCC+, B2)

 

09/15/14

 

8.875

 

1,405,813

 

1,625

 

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

 

(CCC, Caa2)

 

12/01/12

 

11.000

 

1,551,875

 

1,225

 

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

 

(CCC+, B3)

 

03/01/16

 

10.250

 

1,133,125

 

650

 

Crown Americas LLC, Global Senior Notes (Callable 11/15/10 @ $103.88)

 

(B, B1)

 

11/15/15

 

7.750

 

676,000

 

50

 

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

 

(CCC+, Caa1)

 

10/15/12

 

8.500

 

51,000

 

1,225

 

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

 

(CCC+, Caa1)

 

10/15/14

 

9.875

 

1,267,875

 

154

 

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

 

(BB-, Ba2)

 

02/15/09

 

8.875

 

158,235

 

850

 

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

 

(B, B3)

 

05/15/13

 

8.250

 

890,375

 

800

 

Pliant Corp., Global Secured Notes (Callable 06/01/07 @ $105.56)§

 

(CCC, Caa1)

 

09/01/09

 

11.125

 

800,000

 

1

 

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

 

(B-, NR)

 

06/15/09

 

11.625

 

646

 

1,825

 

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

 

(CCC-, Caa2)

 

02/15/14

 

8.500

 

1,606,000

 

 

 

 

 

 

 

 

 

 

 

9,540,944

 

Printing & Publishing (4.0%)

 

 

 

 

 

 

 

 

 

1,225

 

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

 

(CCC-, Caa2)

 

05/01/09

 

10.250

 

1,179,062

 

1,350

 

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

 

(CCC+, Caa1)

 

07/15/12

 

9.250

 

1,410,750

 

700

 

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

 

(B, B3)

 

11/15/13

 

0.000

 

638,750

 

1,150

 

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

 

(CCC-, Caa2)

 

08/15/11

 

11.750

 

1,194,562

 

3,000

 

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

 

(B, B3)

 

01/15/13

 

6.875

 

2,887,500

 

250

 

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

 

(B, B3)

 

01/15/16

 

8.875

 

263,125

 

1,150

 

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

 

(CCC, Caa1)

 

06/15/09

 

10.875

 

1,173,000

 

925

 

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

 

(CCC+, Caa1)

 

12/01/14

 

8.375

 

950,438

 

 

 

 

 

 

 

 

 

 

 

9,697,187

 

Restaurants (2.0%)

 

 

 

 

 

 

 

 

 

1,325

 

Buffets, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/10 @ $106.25)‡

 

(CCC, Caa1)

 

11/01/14

 

12.500

 

1,374,688

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

$

1,350

 

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

 

(CCC+, B3)

 

10/01/12

 

10.000

 

$

1,442,812

 

1,000

 

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

 

(CCC+, Caa1)

 

06/15/12

 

8.375

 

970,000

 

1,025

 

Sbarro, Inc., Company Guaranteed Notes (Callable 09/15/07 @ $100.00)

 

(CCC, Caa1)

 

09/15/09

 

11.000

 

1,048,913

 

 

 

 

 

 

 

 

 

 

 

4,836,413

 

Software/Services (1.3%)

 

 

 

 

 

 

 

 

 

2,800

 

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

 

(B-, Caa1)

 

08/15/15

 

10.250

 

3,024,000

 

Steel Producers/Products (1.8%)

 

 

 

 

 

 

 

 

 

1,325

 

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

 

(B+, B2)

 

06/15/12

 

7.750

 

1,348,187

 

1,225

 

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

 

(B-, B3)

 

02/01/11

 

9.875

 

1,258,688

 

350

 

International Steel Group, Inc., Global Senior Notes

 

(BBB-, Ba1)

 

04/15/14

 

6.500

 

357,000

 

1,275

 

Rathgibson, Inc., Global Company Guaranteed Notes (Callable 02/15/10 @ $105.63)

 

(B-, B3)

 

02/15/14

 

11.250

 

1,357,875

 

750

 

WCI Steel Escrowø

 

(NR, NR)

 

12/01/04

 

10.000

 

21,450

 

 

 

 

 

 

 

 

 

 

 

4,343,200

 

Support-Services (7.1%)

 

 

 

 

 

 

 

 

 

1,250

 

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

 

(CCC+, Caa1)

 

07/15/11

 

11.375

 

1,287,500

 

450

 

Aramark Corp. Class B, Rule 144A, Senior Notes (Callable 02/01/11 @ $104.25)‡

 

(B-, B3)

 

02/01/15

 

8.500

 

462,938

 

300

 

Aramark Corp. Class B, Senior Notes (Callable 02/01/09 @ $102.00)#

 

(B-, B3)

 

02/01/15

 

8.860

 

307,500

 

400

 

Ashtead Capital, Inc., Rule 144A, Notes (Callable 08/15/11 @ $104.50)‡

 

(B, B3)

 

08/15/16

 

9.000

 

430,000

 

914

 

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

 

(B, B3)

 

02/15/13

 

9.500

 

964,270

 

150

 

Education Management LLC, Global Company Guaranteed Notes (Callable 06/01/10 @ $104.38)

 

(CCC+, B2)

 

06/01/14

 

8.750

 

158,250

 

1,075

 

Education Management LLC, Global Company Guaranteed Notes (Callable 06/01/11 @ $105.13)

 

(CCC+, Caa1)

 

06/01/16

 

10.250

 

1,161,000

 

500

 

Hertz Corp. Class A, Global Company Guaranteed Notes (Callable 01/01/10 @ $104.44)

 

(B, B1)

 

01/01/14

 

8.875

 

533,750

 

600

 

Hertz Corp. Class A, Global Company Guaranteed Notes (Callable 01/01/11 @ $105.25)

 

(B, B2)

 

01/01/16

 

10.500

 

678,000

 

1,000

 

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

 

(CCC+, B3)

 

02/15/13

 

9.250

 

1,025,000

 

750

 

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

 

(B, B3)

 

04/01/13

 

8.625

 

774,375

 

175

 

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

 

(B, B3)

 

01/01/16

 

6.625

 

168,875

 

1,500

 

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

 

(CCC+, Caa1)

 

05/15/13

 

0.000

 

1,515,000

 

750

 

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

 

(CCC+, B3)

 

06/15/12

 

11.125

 

793,125

 

1,050

 

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

 

(B-, B3)

 

08/01/14

 

9.750

 

1,110,375

 

1,125

 

Rental Service Corp., Rule 144A, Bonds (Callable 12/01/10 @ $104.75)‡

 

(B-, Caa1)

 

12/01/14

 

9.500

 

1,181,250

 

1,825

 

TDS Investor Corp., Rule 144A, Senior Subordinated Notes (09/01/11 @ 105.94)‡§

 

(B-, Caa1)

 

09/01/16

 

11.875

 

1,975,562

 

1,675

 

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

 

(B, B3)

 

02/15/14

 

7.000

 

1,654,062

 

900

 

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

 

(B+, B3)

 

10/01/15

 

8.500

 

940,500

 

 

 

 

 

 

 

 

 

 

 

17,121,332

 

Telecom - Fixed Line (1.7%)

 

 

 

 

 

 

 

 

 

2,025

 

Level 3 Communications, Inc., Convertible Notes§

 

(CCC-, Caa3)

 

03/15/10

 

6.000

 

1,913,625

 

800

 

Level 3 Communications, Inc., Global Senior Notes (Callable 03/01/09 @ $100.00)

 

(CCC-, Caa2)

 

03/01/10

 

11.500

 

866,000

 

 


 

 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

$

400

 

Level 3 Financing, Inc., Rule 144A, Senior Notes (Callable 11/01/10 @ $104.63)‡

 

(CCC-, B2)

 

11/01/14

 

9.250

 

$

411,000

 

775

 

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

 

(CCC+, B3)

 

02/15/14

 

9.250

 

834,094

 

 

 

 

 

 

 

 

 

 

 

4,024,719

 

Telecom - Integrated/Services (3.3%)

 

 

 

 

 

 

 

 

 

1,525

 

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

 

(B-, B2)

 

01/15/14

 

8.375

 

1,570,750

 

700

 

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

 

(CCC+, B3)

 

05/01/15

 

12.500

 

764,750

 

850

 

Hughes Network Systems LLC, Global Company Guaranteed Notes (Callable 04/15/10 @ $104.75)

 

(B-, B1)

 

04/15/14

 

9.500

 

903,125

 

125

 

LCI International, Inc., Senior Notes

 

(NR, NR)

 

06/15/07

 

7.250

 

125,937

 

1,250

 

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

 

(B, B2)

 

08/15/14

 

9.000

 

1,353,125

 

375

 

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

 

(B+, Ba3)

 

02/15/11

 

7.250

 

386,719

 

1,900

 

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

 

(B, Ba3)

 

02/15/14

 

7.500

 

1,971,250

 

350

 

Windstream Corp., Global Company Guaranteed Notes

 

(BB-, Ba3)

 

08/01/13

 

8.125

 

378,437

 

375

 

Windstream Corp., Global Company Guaranteed Notes (Callable 08/01/11 @ $104.31)§

 

(BB-, Ba3)

 

08/01/16

 

8.625

 

411,094

 

 

 

 

 

 

 

 

 

 

 

7,865,187

 

Telecom - Wireless (4.4%)

 

 

 

 

 

 

 

 

 

300

 

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

 

(CCC, B2)

 

06/15/13

 

10.125

 

325,125

 

1,000

 

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

 

(CCC, Caa1)

 

01/01/13

 

10.000

 

1,077,500

 

1,275

 

Cricket Communications, Inc., Rule 144A, Senior Notes (Callable 11/01/10 @ $104.69)‡

 

(CCC, Caa2)

 

11/01/14

 

9.375

 

1,345,125

 

1,925

 

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

 

(CCC, Caa2)

 

10/01/13

 

8.875

 

1,997,187

 

750

 

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

 

(B-, B3)

 

07/15/12

 

11.375

 

836,250

 

800

 

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

 

(B-, B3)

 

05/01/12

 

11.500

 

888,000

 

1,175

 

Metro PCS Wireless, Inc., Rule 144A, Senior Notes (Callable 11/01/10 @ $104.63)‡

 

(CCC, Caa2)

 

11/01/14

 

9.250

 

1,227,875

 

225

 

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

 

(CCC, B3)

 

02/01/10

 

9.875

 

239,625

 

1,125

 

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

 

(CCC, Caa2)

 

01/15/10

 

9.750

 

1,161,563

 

1,375

 

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

 

(CCC-, Caa2)

 

06/01/13

 

8.500

 

1,409,375

 

 

 

 

 

 

 

 

 

 

 

10,507,625

 

Textiles & Apparel (1.0%)

 

 

 

 

 

 

 

 

 

1,025

 

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

 

(B-, B3)

 

01/15/15

 

9.750

 

1,112,125

 

475

 

Levi Strauss & Co., Global Senior Notes (Callable 12/15/07 @ $106.13)

 

(B-, B3)

 

12/15/12

 

12.250

 

527,844

 

950

 

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

 

(CCC, Caa1)

 

12/01/12

 

10.000

 

843,125

 

 

 

 

 

 

 

 

 

 

 

2,483,094

 

Theaters & Entertainment (1.2%)

 

 

 

 

 

 

 

 

 

1,800

 

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

 

(CCC+, B3)

 

03/01/14

 

8.000

 

1,815,750

 

1,200

 

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

 

(CCC+, B3)

 

03/15/14

 

0.000

 

1,065,000

 

 

 

 

 

 

 

 

 

 

 

2,880,750

 

Transportation - Excluding Air/Rail (0.2%)

 

 

 

 

 

 

 

 

 

651

 

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

 

(CCC+, Caa1)

 

04/01/13

 

0.000

 

607,058

 

TOTAL U.S. CORPORATE BONDS (Cost $296,020,060)

 

 

 

 

 

306,258,974

 

 


 

 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

FOREIGN CORPORATE BONDS (13.1%)

 

 

 

 

 

 

 

 

 

Building Materials (0.3%)

 

 

 

 

 

 

 

 

 

$

1,000

 

Maax Corp., Global Senior Subordinated Notes (Callable 06/15/08 @ $104.88) (Canada)

 

(CC, Caa3)

 

06/15/12

 

9.750

 

$

735,000

 

Chemicals (1.6%)

 

 

 

 

 

 

 

 

 

1,200

 

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

 

(B-, B2)

 

08/15/15

 

8.375

 

1,245,000

 

1,575

 

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

 

(B-, B2)

 

02/15/16

 

8.500

 

1,515,937

 

825

 

Rhodia SA, Global Senior Notes (France)

 

(B-, B2)

 

06/01/10

 

10.250

 

944,625

 

150

 

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

 

(B-, B3)

 

06/01/11

 

8.875

 

158,250

 

 

 

 

 

 

 

 

 

 

 

3,863,812

 

Electronics (1.5%)

 

 

 

 

 

 

 

 

 

450

 

Avago Technologies Finance, Rule 144A, Senior Notes (Callable 12/01/09 @ $105.06) (Singapore)‡

 

(B, B2)

 

12/01/13

 

10.125

 

479,250

 

600

 

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

 

(CCC+, Caa1)

 

12/01/15

 

11.875

 

660,000

 

950

 

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

 

(B, B2)

 

07/01/11

 

7.875

 

933,375

 

1,000

 

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

 

(CCC, B3)

 

02/01/11

 

9.250

 

927,500

 

625

 

NXP BV/NXP Funding LLC, Rule 144A, Senior Notes (Callable 10/15/11 @ $104.75) (Netherlands)‡

 

(B+, B2)

 

10/15/15

 

9.500

 

649,219

 

 

 

 

 

 

 

 

 

 

 

3,649,344

 

Food & Drug Retailers (0.4%)

 

 

 

 

 

 

 

 

 

925

 

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

 

(B-, Caa2)

 

08/01/14

 

8.500

 

966,625

 

 

 

 

 

 

 

 

 

 

 

 

 

Forestry & Paper (1.9%)

 

 

 

 

 

 

 

 

 

600

 

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

 

(B+, B2)

 

06/15/11

 

7.750

 

586,500

 

1,050

 

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

 

(B+, B2)

 

04/01/15

 

8.375

 

1,026,375

 

850

 

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

 

(B+, B2)

 

11/15/11

 

7.950

 

856,375

 

750

 

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

 

(B-, B3)

 

10/01/12

 

9.625

 

800,625

 

1,000

 

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

 

(B-, Caa1)

 

04/01/15

 

7.750

 

1,012,500

 

380

 

Tembec Industries, Inc., Yankee Company Guaranteed Notes (Callable 06/30/07 @ $100.00) (Canada)

 

(CCC-, Ca)

 

06/30/09

 

8.625

 

319,200

 

 

 

 

 

 

 

 

 

 

 

4,601,575

 

Leisure (0.5%)

 

 

 

 

 

 

 

 

 

 

1,175

 

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

 

(B, B3)

 

07/15/14

 

10.625

 

1,201,438

 

Media - Cable (1.3%)

 

 

 

 

 

 

 

 

 

1,050

 

Kabel Deutschland GmbH, Global Company Guaranteed Notes (07/01/09 @ $105.31) (Germany)§

 

(B-, B2)

 

07/01/14

 

10.625

 

1,177,312

 

150

 

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

 

(B-, B2)

 

08/15/16

 

9.125

 

159,375

 

883

 

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

 

(CCC+, Caa1)

 

06/15/14

 

0.000

 

803,530

 

675

 

Unity Media GmbH, Rule 144A, Senior Notes (Callable 02/15/10 @ $105.06) (Germany)‡

 

(CCC+, Caa1)

 

02/15/15

 

10.125

 

918,793

 

 

 

 

 

 

 

 

 

 

 

3,059,010

 

Metal & Mining - Excluding Steel (0.0%)

 

 

 

 

 

 

 

 

 

1,021

 

International Utility Structures, Inc., Yankee Senior Subordinated Notes (Canada)^ø

 

(NR, NR)

 

02/01/08

 

10.750

 

0

 

Pharmaceuticals (0.5%)

 

 

 

 

 

 

 

 

 

500

 

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

 

(BB-, B1)

 

04/01/10

 

7.875

 

513,125

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

$

775

 

Elan Finance PLC, Rule 144A, Senior Unsecured Notes (Callable 12/01/10 @ $104.44)
(Ireland)‡

 

(B, B3)

 

12/01/13

 

8.875

 

$

771,125

 

 

 

 

 

 

 

 

 

 

 

1,284,250

 

Printing & Publishing (0.4%)

 

 

 

 

 

 

 

 

 

800

 

Quebecor World, Inc., Rule 144A, Senior Notes (Callable 01/15/11 @ $104.88) (Canada)‡

 

(B+, B2)

 

01/15/15

 

9.750

 

839,000

 

Support-Services (0.7%)

 

 

 

 

 

 

 

 

 

1,000

 

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

 

(B, B3)

 

08/01/15

 

8.625

 

1,045,000

 

525

 

Carlson Wagonlit BV, Rule 144A Senior Notes (Callable 11/01/07 @ $104.00)
(Netherlands)‡#

 

(B-, B2)

 

05/01/15

 

9.306

 

720,586

 

 

 

 

 

 

 

 

 

 

 

1,765,586

 

Telecom - Integrated/Services (2.8%)

 

 

 

 

 

 

 

 

 

1,300

 

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

 

(B-, B3)

 

12/15/14

 

10.750

 

1,413,750

 

550

 

Hellas II, Rule 144A, Subordinated Notes (Callable 01/15/08 @ $102.00)
(Luxembourg)‡#

 

(CCC+, Caa1)

 

01/15/15

 

11.115

 

565,125

 

1,525

 

Intelsat, Ltd. Global Notes (Bermuda)

 

(B, Caa1)

 

04/15/12

 

7.625

 

1,477,344

 

2,200

 

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

 

(B, Caa1)

 

06/15/16

 

11.250

 

2,497,000

 

75

 

Intelsat, Ltd., Rule 144A, Senior Unsecured Notes (Callable 01/15/08 @ $102.00) (Bermuda)‡#

 

(B, Caa1)

 

01/15/15

 

8.872

 

76,687

 

650

 

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

 

(B, B2)

 

05/01/16

 

8.875

 

702,000

 

 

 

 

 

 

 

 

 

 

 

6,731,906

 

Telecom - Wireless (0.2%)

 

 

 

 

 

 

 

 

 

500

 

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

 

(BB+, Ba1)

 

03/15/15

 

7.500

 

540,000

 

Telecommunication Equipment (0.2%)

 

 

 

 

 

 

 

 

 

425

 

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

 

(B-, B3)

 

07/15/11

 

9.610

 

453,688

 

Textiles & Apparel (0.1%)

 

 

 

 

 

 

 

 

 

75

 

IT Holding Finance SA, Rule 144A, Senior Notes (Luxembourg)‡

 

(CCC+, Caa1)

 

11/15/12

 

9.875

 

102,332

 

 

 

 

 

 

 

 

 

 

 

 

 

Transportation - Excluding Air/Rail (0.7%)

 

 

 

 

 

 

 

 

 

1,725

 

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

 

(B+, B1)

 

12/15/13

 

8.500

 

1,746,562

 

TOTAL FOREIGN CORPORATE BONDS (Cost $30,902,284)

 

 

 

 

 

31,540,128

 

 

Number of
Shares

 

 

 

 

 

COMMON STOCKS (1.3%)

 

 

 

Automobile Parts & Equipment (0.0%)

 

 

 

774,557

 

Cambridge Industries Liquidating Trust^

 

0

 

Chemicals (0.0%)

 

 

 

4,893

 

Huntsman Corp.*

 

102,313

 

Electric - Integrated (0.4%)

 

 

 

28,600

 

Mirant Corp.*

 

977,548

 

Food - Wholesale (0.4%)

 

 

 

845

 

Crunch Equity Holding LLC Class A*

 

844,968

 

Steel Producers/Products (0.1%)

 

 

 

8,208

 

WCI Steel Acquisition, Inc.*

 

213,408

 

Telecom - Wireless (0.4%)

 

 

 

99,764

 

Dobson Communications Corp. Class A*

 

966,713

 

TOTAL COMMON STOCKS (Cost $2,955,282)

 

3,104,950

 

 


 

Number of
Shares

 

 

 

Value

 

 

 

 

 

 

 

WARRANTS (0.0%)

 

 

 

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*

 

1,256

 

 

 

 

 

1,256

 

TOTAL WARRANTS (Cost $3,772,613)

 

3,299

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS (12.5%)

 

 

 

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 (14.4%)

 

 

 

$

5,803

 

Bear Stearns & Co., 3.9843%, Dated 01/31/07, due 02/01/07, proceeds at maturity $5,803,377, (fully collateralized by U.S. Treasury Strips, due 05/15/18, Market Value of collateral is $5,974,370) §§

 

5,802,734

 

6,251

 

Bear Stearns & Co., 5.2200%, Dated 01/31/07, due 02/01/07, proceeds at maturity $6,251,885, (fully collateralized by U.S. Treasury Strips, due 05/15/18, Market Value of collateral is $5,426,211 and by U.S. Treasury Strips, due 08/15/23, Market Value of collateral is $1,007,442) §§

 

6,250,978

 

22,751

 

Bear Stearns & Co., 5.3125%, Dated 01/31/07, due 02/01/07, proceeds at maturity $22,754,398, (fully collateralized by U.S. Treasury Strips, due 08/15/23, Market Value of collateral is $10,503,069 and by U.S. Treasury Strips, due 08/15/21, Market Value of collateral is $12,909,761) §§

 

22,751,041

 

 

 

 

 

 

 

TOTAL REPURCHASE AGREEMENTS (Cost $34,804,753)

 

34,804,753

 

 

 

 

 

 

 

TOTAL INVESTMENTS AT VALUE (168.5%) (Cost $398,454,989)

 

405,712,104

 

 

 

 

 

LIABILITIES IN EXCESS OF OTHER ASSETS (-68.5%)

 

(164,983,891

)

 

 

 

 

 

 

NET ASSETS (100.0%)

 

$

240,728,213

 

 

OPEN FORWARD FOREIGN CURRENCY CONTRACTS

 

Forward Foreign

 

Expiration

 

Foreign Currency To Be

 

Contract

 

Contract

 

Unrealized

 

Currency Contract

 

Date

 

Purchased/(Sold)

 

Amount

 

Value

 

Gain (Loss)

 

European Economic Unit

 

3/28/07

 

€

812,000

 

$

1,055,438

 

$

1,058,165

 

$

2,728

 

European Economic Unit

 

3/28/07

 

€

(2,160,000

)

(2,858,566

)

(2,814,824

)

43,741

 

British Pound

 

3/28/07

 

£

(532,000

)

(1,044,226

)

(1,043,086

)

1,140

 

 

 

 

 

 

 

$

(2,847,354

)

$

(2,799,745

)

$

47,609

 

 

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 January 31, 2007, these securities amounted to a value of $67,069,127 or 27.9% of net assets.

+

 

Step Bond — The interest rate stated is as of January 31, 2007 and will reset at a future date.

ø

 

Bond is currently in default.

*

 

Non-income producing security.

^

 

Not readily marketable security; 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.

§§

 

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

#

 

Variable rate obligations — The interest rate shown is the rate as of January 31, 2007.

 

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 the direction of, the Board of Trustees under procedures established by the Board of Trustees. At January 31, 2007, the Fund held 0.08% of its net assets in securities valued at fair value as determined in good faith under procedures established by the Board of Trustees with an aggregate cost of $3,867,838 and fair value of $193,200. The Fund’s estimate of fair value assumes a willing buyer and a willing seller neither acting under the compulsion to buy or sell. Although these securities may be resold in privately negotiated transactions, the prices realized on such sales could differ from the prices originally paid by the Fund or the current carrying values, and the difference could be material.

 

Federal Income Tax Cost - At January 31, 2007, 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 appreciation from investments were $398,454,989, $14,553,355, $(7,296,240) and $7,257,115, 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 www.credit-suisse.com/us as well as on the website of the Securities and Exchange Commission at 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/Keith M. Schappert

 

Name:

Keith M. Schappert

Title:

Chief Executive Officer

Date:

March 28, 2007

 

 

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/Keith M. Schappert

 

Name:

Keith M. Schappert

Title:

Chief Executive Officer

Date:

March 28, 2007

 

 

/s/Michael A. Pignataro

 

Name:

Michael A. Pignataro

Title:

Chief Financial Officer

Date:

March 28, 2007