-----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, BiDP81FJTjRqE5xQRr9B66clMzHfVuMlfMuJPwe/P0FWy3C253bdAu9T8sKIRuoz kywfRd1j7jsKXhJnFjctoA== 0001104659-07-070739.txt : 20070924 0001104659-07-070739.hdr.sgml : 20070924 20070924105326 ACCESSION NUMBER: 0001104659-07-070739 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20070731 FILED AS OF DATE: 20070924 DATE AS OF CHANGE: 20070924 EFFECTIVENESS DATE: 20070924 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: 071130733 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 a07-19646_12nq.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:

May 1, 2007 to July 31, 2007

 

 



Item 1:                   Schedule of Investments



Credit Suisse High Yield Bond Fund

Schedule of Investments

July 31, 2007 (unaudited)

 

Par
(000)

 

 

 

Ratings† 
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS (129.5%)

 

 

 

 

 

 

 

 

 

Aerospace & Defense (2.3%)

 

 

 

 

 

 

 

 

 

$

425

 

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

 

(B, B3)

 

02/01/18

 

7.625

 

$

410,125

 

475

 

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

 

(B, B3)

 

11/01/13

 

6.875

 

458,375

 

325

 

Hawker Beechcraft Acquisition Co., Rule 144A, Senior Notes (Callable 04/01/11 @ $104.25)‡

 

(B-, B3)

 

04/01/15

 

8.500

 

325,813

 

625

 

Hawker Beechcraft Acquisition Co., Rule 144A, Senior Notes (Callable 04/01/11 @ $104.44)‡

 

(B-, B3)

 

04/01/15

 

8.875

 

620,313

 

1,275

 

Hawker Beechcraft Acquisition Co., Rule 144A, Senior Subordinated Notes (Callable 04/01/12 @ $104.88)‡

 

(B-, Caa1)

 

04/01/17

 

9.750

 

1,265,437

 

350

 

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

 

(B-, Caa1)

 

11/15/14

 

7.750

 

376,250

 

1,125

 

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

 

(BB+, Ba3)

 

01/15/15

 

5.875

 

1,029,375

 

225

 

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

 

(B-, B3)

 

07/15/14

 

7.750

 

221,625

 

475

 

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

 

(B-, B3)

 

07/15/14

 

7.750

 

467,875

 

 

 

 

 

 

 

 

 

 

 

5,175,188

 

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

 

1,371,375

 

Auto Loans (6.1%)

 

 

 

 

 

 

 

 

 

1,175

 

Ford Motor Credit Co. LLC, Global Notes

 

(B, B1)

 

06/15/10

 

7.875

 

1,124,332

 

2,125

 

Ford Motor Credit Co. LLC, Senior Unsecured Notes

 

(B, B1)

 

12/15/16

 

8.000

 

1,961,558

 

2,900

 

Ford Motor Credit Co., Global Notes

 

(B, B1)

 

10/01/13

 

7.000

 

2,612,819

 

1,375

 

Ford Motor Credit Co., Notes

 

(B, B1)

 

06/16/08

 

6.625

 

1,366,225

 

325

 

Ford Motor Credit Co., Senior Notes

 

(B, B1)

 

08/10/11

 

9.875

 

329,374

 

2,625

 

General Motors Acceptance Corp., Global Notes

 

(BB+, Ba1)

 

05/15/09

 

5.625

 

2,503,365

 

2,475

 

General Motors Acceptance Corp., Global Notes

 

(BB+, Ba1)

 

12/01/14

 

6.750

 

2,227,547

 

1,475

 

GMAC LLC, Senior Unsubordinated Notes

 

(BB+, Ba1)

 

12/15/11

 

6.000

 

1,331,851

 

 

 

 

 

 

 

 

 

 

 

13,457,071

 

Automobile Parts & Equipment (3.0%)

 

 

 

 

 

 

 

 

 

1,025

 

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

 

(CCC+, B2)

 

12/01/11

 

9.000

 

1,050,625

 

450

 

Altra Industrial Motion, Inc., Rule 144A, Secured Notes‡

 

(CCC+, B2)

 

12/01/11

 

9.000

 

461,250

 

1,200

 

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

 

(CCC+, Caa1)

 

04/01/13

 

10.750

 

1,176,000

 

1,298

 

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

 

(B, Ba3)

 

07/01/15

 

9.000

 

1,336,940

 

75

 

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

 

(B, Ba3)

 

12/01/09

 

9.135

 

75,000

 

81

 

Goodyear Tire & Rubber Co., Rule 144A, Senior Notes (Callable 12/01/09 @ $104.31)‡

 

(B, Ba3)

 

12/01/11

 

8.625

 

82,823

 

500

 

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

 

(CCC+, Caa2)

 

11/01/13

 

9.750

 

377,500

 

1,200

 

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

 

(CCC+, Caa1)

 

08/15/14

 

10.000

 

1,218,000

 

950

 

Visteon Corp., Global Senior Notes

 

(CCC+, Caa2)

 

08/01/10

 

8.250

 

845,500

 

 

 

 

 

 

 

 

 

 

 

6,623,638

 

Automotive (2.9%)

 

 

 

 

 

 

 

 

 

1,970

 

Ford Motor Co., Global Notes

 

(CCC+, Caa1)

 

07/16/31

 

7.450

 

1,526,750

 

2,790

 

General Motors Corp., Global Debentures

 

(B-, Caa1)

 

07/15/33

 

8.375

 

2,308,725

 

3,200

 

General Motors Corp., Global Senior Notes

 

(B-, Caa1)

 

07/15/13

 

7.125

 

2,728,000

 

 

 

 

 

 

 

 

 

 

 

6,563,475

 

Beverages (0.4%)

 

 

 

 

 

 

 

 

 

850

 

Constellation Brands, Inc., Company Guaranteed Notes

 

(BB-, Ba3)

 

09/01/16

 

7.250

 

803,250

 

 



 

Par
(000)

 

 

 

Ratings† 
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

Brokerage (0.4%)

 

 

 

 

 

 

 

 

 

$

775

 

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

 

(BB-, Ba2)

 

06/15/11

 

8.000

 

$

794,375

 

Building & Construction (2.3%)

 

 

 

 

 

 

 

 

 

1,425

 

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

 

(B-, Caa1)

 

10/01/15

 

9.500

 

1,189,875

 

625

 

K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes

 

(BB, Ba3)

 

01/15/16

 

6.250

 

478,125

 

725

 

KB Home, Senior Subordinated Notes

 

(BB-, Ba2)

 

12/15/08

 

8.625

 

735,875

 

900

 

Standard Pacific Corp., Global Senior Notes

 

(BB, Ba3)

 

08/15/15

 

7.000

 

724,500

 

1,200

 

Technical Olympic USA, Inc., Global Senior Subordinated Notes

 

(CCC+, Caa2)

 

01/15/15

 

7.500

 

588,000

 

700

 

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

 

(B-, Caa1)

 

03/15/15

 

6.625

 

542,500

 

1,000

 

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

 

(B, B3)

 

04/01/13

 

10.750

 

855,000

 

 

 

 

 

 

 

 

 

 

 

5,113,875

 

Building Materials (5.3%)

 

 

 

 

 

 

 

 

 

1,000

 

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

 

(CCC, Caa2)

 

03/01/14

 

0.000

 

620,000

 

1,375

 

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

 

(BB-, B2)

 

08/01/14

 

7.750

 

1,230,625

 

1,550

 

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

 

(B, B2)

 

10/01/12

 

9.875

 

1,619,750

 

500

 

Dayton Superior Corp., Company Guaranteed Notes (Callable 06/15/08 @ $100.00)

 

(CCC, Caa2)

 

06/15/09

 

13.000

 

501,250

 

750

 

Dayton Superior Corp., Global Company Guaranteed Notes (Callable 06/15/08 @ $100.00)

 

(CCC+, B2)

 

09/15/08

 

10.750

 

761,250

 

625

 

General Cable Corp., Global Company Guaranteed Notes (Callable 04/01/09 @ $102.00)#

 

(B+, B1)

 

04/01/15

 

7.735

 

612,500

 

1,375

 

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

 

(B-, B3)

 

12/15/12

 

7.875

 

1,381,875

 

1,100

 

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

 

(CCC+, B3)

 

02/01/14

 

9.500

 

1,149,500

 

325

 

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

 

(B-, B1)

 

11/01/11

 

9.000

 

326,625

 

750

 

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

 

(B-, B3)

 

09/01/12

 

0.000

 

648,750

 

1,100

 

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

 

(CCC+, B3)

 

09/01/14

 

8.500

 

951,500

 

1,000

 

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

 

(CCC+, Caa1)

 

03/01/14

 

0.000

 

615,000

 

1,650

 

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

 

(CCC+, Caa1)

 

02/15/12

 

9.000

 

1,324,125

 

 

 

 

 

 

 

 

 

 

 

11,742,750

 

Chemicals (4.5%)

 

 

 

 

 

 

 

 

 

325

 

Chemtura Corp., Company Guaranteed Notes

 

(BB+, Ba2)

 

06/01/16

 

6.875

 

301,437

 

750

 

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

 

(B-, B3)

 

07/01/13

 

10.500

 

731,250

 

1,200

 

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

 

(B-, B3)

 

11/15/14

 

0.000

 

1,017,000

 

1,025

 

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

 

(B+, B1)

 

09/15/14

 

8.000

 

1,101,875

 

1,800

 

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

 

(B+, B1)

 

09/15/16

 

8.250

 

1,980,000

 

1,050

 

Momentive Performance Materials, Inc., Rule 144A, Senior Subordinated Notes (Callable 12/01/11 @ $105.75)‡

 

(CCC+, Caa2)

 

12/01/16

 

11.500

 

1,000,125

 

600

 

Momentive Performance, Rule 144A, Company Guaranteed Notes (Callable 12/01/10 @ $104.88)‡

 

(B-, B3)

 

12/01/14

 

9.750

 

579,000

 

1,275

 

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

 

(B-, B3)

 

02/01/14

 

0.000

 

1,115,625

 

542

 

PolyOne Corp., Global Company Guaranteed Notes (Callable 05/15/08 @ $102.66)

 

(B+, B1)

 

05/15/10

 

10.625

 

570,455

 

450

 

PolyOne Corp., Senior Notes

 

(B+, B1)

 

05/01/12

 

8.875

 

452,250

 

 

 



 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

Chemicals

 

 

 

 

 

 

 

 

 

$

1,150

 

Terra Capital, Inc., Global Company Guaranteed Notes (Callable 02/01/12 @ $103.50)

 

(BB-, B1)

 

02/01/17

 

7.000

 

$

1,092,500

 

 

 

 

 

 

 

 

 

 

 

9,941,517

 

Computer Hardware (0.3%)

 

 

 

 

 

 

 

 

 

825

 

Activant Solutions, Inc., Global Company Guaranteed Notes (Callable 05/01/11 @ $104.75)

 

(CCC+, Caa1)

 

05/01/16

 

9.500

 

744,563

 

Consumer Products (3.8%)

 

 

 

 

 

 

 

 

 

1,850

 

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

 

(CCC+, B3)

 

10/01/12

 

0.000

 

1,600,250

 

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

 

960,000

 

1,575

 

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

 

(CCC+, Caa1)

 

05/01/14

 

8.750

 

1,425,375

 

1,325

 

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

 

(CCC, Caa2)

 

02/01/12

 

8.000

 

1,192,500

 

875

 

Jarden Corp., Company Guaranteed Notes (Callable 05/01/12 @ $103.75)

 

(B-, B3)

 

05/01/17

 

7.500

 

791,875

 

825

 

Playtex Products, Inc., Global Company Guaranteed Notes (Callable 06/01/08 @ $103.12)

 

(B-, Caa1)

 

06/01/11

 

9.375

 

847,687

 

940

 

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

 

(B-, B3)

 

04/15/12

 

9.250

 

940,000

 

750

 

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

 

(CCC-, Caa2)

 

04/01/11

 

9.500

 

645,000

 

 

 

 

 

 

 

 

 

 

 

8,402,687

 

Diversified Capital Goods (2.5%)

 

 

 

 

 

 

 

 

 

925

 

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

 

(B, B2)

 

12/15/13

 

9.235

 

894,938

 

100

 

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

 

(B, B2)

 

12/15/13

 

8.625

 

98,500

 

700

 

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

 

(CCC+, B3)

 

08/01/14

 

9.500

 

679,000

 

750

 

RBS Global & Rexnord Corp., Global Company Guaranteed Notes (Callable 08/01/11 @ $105.88)

 

(CCC+, Caa1)

 

08/01/16

 

11.750

 

753,750

 

950

 

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

 

(B-, B3)

 

12/15/13

 

8.625

 

945,250

 

1,025

 

Titan International, Inc., Global Company Guaranteed Notes

 

(B, B3)

 

01/15/12

 

8.000

 

1,050,625

 

1,138

 

TriMas Corp., Global Company Guaranteed Notes (Callable 06/15/08 @ $103.29)

 

(CCC+, B3)

 

06/15/12

 

9.875

 

1,138,000

 

 

 

 

 

 

 

 

 

 

 

5,560,063

 

Electric - Generation (3.3%)

 

 

 

 

 

 

 

 

 

288

 

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

 

(D, NR)

 

04/01/10

 

11.070

 

80,654

 

1,825

 

Dynegy Holdings, Inc., Global Senior Unsecured Notes

 

(B-, B2)

 

05/01/16

 

8.375

 

1,706,375

 

625

 

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

 

(B-, B2)

 

06/01/15

 

7.500

 

556,250

 

1,225

 

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

 

(B-, B2)

 

06/01/19

 

7.750

 

1,065,750

 

775

 

Edison Mission Energy, Rule 144A, Senior Notes‡

 

(BB-, B1)

 

05/15/17

 

7.000

 

703,312

 

300

 

Edison Mission Energy, Rule 144A, Senior Notes‡

 

(BB-, B1)

 

05/15/19

 

7.200

 

269,250

 

438

 

Midwest Generation LLC, Series B, Global Pass Thru Certificates

 

(BB+, Ba2)

 

01/02/16

 

8.560

 

452,651

 

25

 

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

 

(B, B1)

 

01/15/17

 

7.375

 

24,188

 

675

 

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

 

(B, B1)

 

02/01/16

 

7.375

 

653,062

 

900

 

Reliant Energy, Inc., Senior Notes

 

(B-, B3)

 

06/15/14

 

7.625

 

864,000

 

925

 

Reliant Energy, Inc., Senior Notes

 

(B-, B3)

 

06/15/17

 

7.875

 

883,375

 

 

 

 

 

 

 

 

 

 

 

7,258,867

 

Electric - Integrated (0.4%)

 

 

 

 

 

 

 

 

 

275

 

CMS Energy Corp., Global Senior Notes

 

(BB+, Ba1)

 

08/01/10

 

7.750

 

285,155

 

500

 

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

 

(B, B1)

 

03/15/14

 

8.625

 

525,653

 

 

 

 

 

 

 

 

 

 

 

810,808

 

 



 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

Electronics (3.4%)

 

 

 

 

 

 

 

 

 

$

1,675

 

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

 

(B, B1)

 

05/15/13

 

7.750

 

$

1,534,719

 

203

 

Ampex Corp., Secured Notes^

 

(NR, NR)

 

08/15/08

 

12.000

 

202,625

 

300

 

Freescale Semiconductor, Inc., Rule 144A, Senior Notes (Callable 12/15/10 @ $104.44)‡

 

(B, B1)

 

12/15/14

 

8.875

 

275,250

 

2,775

 

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

 

(B, B2)

 

12/15/16

 

10.125

 

2,455,875

 

602

 

GrafTech Finance, Inc., Global Company Guaranteed Notes (Callable 02/15/08 @ $103.42)

 

(B, B2)

 

02/15/12

 

10.250

 

632,100

 

1,225

 

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

 

(B, Caa1)

 

01/15/16

 

11.250

 

1,157,625

 

1,200

 

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

 

(B-, Caa1)

 

01/15/11

 

10.500

 

1,206,000

 

 

 

 

 

 

 

 

 

 

 

7,464,194

 

Energy - Exploration & Production (3.6%)

 

 

 

 

 

 

 

 

 

1,225

 

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

 

(CCC+, Caa1)

 

02/01/17

 

8.875

 

1,120,875

 

1,983

 

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

 

(BB, Ba2)

 

01/15/16

 

6.875

 

1,898,722

 

1,050

 

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

 

(B, B1)

 

12/01/17

 

7.250

 

950,250

 

200

 

Forest Oil Corp., Global Company Guaranteed Notes (Callable 05/01/08 @ $102.58)

 

(B+, B1)

 

05/01/14

 

7.750

 

198,500

 

325

 

Forest Oil Corp., Rule 144A, Senior Notes (Callable 06/15/12 @ $103.63)‡

 

(B+, B1)

 

06/15/19

 

7.250

 

304,688

 

975

 

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

 

(B, B3)

 

06/01/16

 

9.000

 

975,000

 

1,275

 

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

 

(B-, B3)

 

07/15/13

 

9.125

 

1,319,625

 

1,250

 

Plains Exploration & Production, Co., Company Guaranteed Notes (Callable 06/15/11 @ $103.88)

 

(BB-, B1)

 

06/15/15

 

7.750

 

1,175,000

 

 

 

 

 

 

 

 

 

 

 

7,942,660

 

Environmental (1.8%)

 

 

 

 

 

 

 

 

 

2,325

 

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

 

(B+, B2)

 

04/15/14

 

7.375

 

2,202,938

 

1,800

 

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

 

(CCC+, Caa1)

 

04/15/14

 

9.500

 

1,836,000

 

 

 

 

 

 

 

 

 

 

 

4,038,938

 

Food & Drug Retailers (1.6%)

 

 

 

 

 

 

 

 

 

1,925

 

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

 

(CC, Caa3)

 

08/01/11

 

9.750

 

1,828,750

 

250

 

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

 

(B, B3)

 

12/01/11

 

8.875

 

256,250

 

400

 

Rite Aid Corp., Rule 144A, Company Guaranteed Notes (Callable 06/15/11 @ $104.69)‡

 

(CCC+, Caa1)

 

12/15/15

 

9.375

 

358,000

 

75

 

Stater Brothers Holdings Inc., Rule 144A, Senior Notes (Callable 04/15/11 @ $103.88)‡

 

(B+, B2)

 

04/15/15

 

7.750

 

70,125

 

1,175

 

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

 

(B+, B2)

 

06/15/12

 

8.125

 

1,139,750

 

 

 

 

 

 

 

 

 

 

 

3,652,875

 

Food - Wholesale (1.2%)

 

 

 

 

 

 

 

 

 

825

 

Dole Food Co., Debentures#

 

(B-, Caa1)

 

07/15/13

 

8.750

 

738,375

 

950

 

National Beef Packing Company LLC, Global Senior Unsecured Notes (Callable 08/01/08 @ $102.63)

 

(B-, Caa1)

 

08/01/11

 

10.500

 

954,750

 

1,075

 

Smithfield Foods, Inc., Senior Unsecured Notes

 

(BB, Ba3)

 

07/01/17

 

7.750

 

1,042,750

 

 

 

 

 

 

 

 

 

 

 

2,735,875

 

Forestry & Paper (5.0%)

 

 

 

 

 

 

 

 

 

800

 

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

 

(B+, B2)

 

10/15/14

 

7.125

 

740,000

 

1,900

 

Cellu Tissue Holdings, Inc., Global Secured Notes (Callable 03/15/08 @ $103.67)

 

(B, B2)

 

03/15/10

 

9.750

 

1,795,500

 

 

 



 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

Forestry & Paper

 

 

 

 

 

 

 

 

 

$

250

 

Georgia-Pacific Corp., Debentures

 

(B, B2)

 

06/15/15

 

7.700

 

$

238,125

 

750

 

Georgia-Pacific Corp., Global Senior Notes

 

(B, B2)

 

01/15/24

 

8.000

 

688,125

 

300

 

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

 

(B, Ba3)

 

01/15/17

 

7.125

 

277,500

 

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

 

625

 

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

 

(B-, B3)

 

03/15/14

 

9.750

 

628,125

 

750

 

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

 

(B, B2)

 

05/01/12

 

10.000

 

768,750

 

1,025

 

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

 

(CCC+, B3)

 

05/01/13

 

12.000

 

1,072,406

 

2,625

 

Smurfit-Stone Container, Global Senior Notes (Callable 07/01/08 @ $102.79)

 

(CCC+, B3)

 

07/01/12

 

8.375

 

2,460,937

 

175

 

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

 

(B+, B2)

 

08/01/14

 

9.125

 

176,313

 

1,125

 

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

 

(CCC+, B3)

 

08/01/16

 

11.375

 

1,153,125

 

 

 

 

 

 

 

 

 

 

 

11,230,031

 

Gaming (6.9%)

 

 

 

 

 

 

 

 

 

1,125

 

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

 

(B, B2)

 

12/15/14

 

9.375

 

1,051,875

 

1,550

 

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

 

(CCC+, B3)

 

08/01/13

 

8.000

 

1,534,500

 

300

 

Choctaw Resort Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/11 @ $103.63)‡

 

(BB, Ba2)

 

11/15/19

 

7.250

 

291,000

 

625

 

Fontainebleau Las Vegas, Rule 144A, Second Mortgage Notes (Callable 06/15/11 @ $105.13)‡

 

(CCC+, Caa1)

 

06/15/15

 

10.250

 

542,187

 

900

 

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

 

(B-, B3)

 

06/01/12

 

8.125

 

812,250

 

750

 

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

 

(B-, B3)

 

11/15/10

 

12.000

 

798,750

 

1,825

 

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

 

(B-, B3)

 

06/15/14

 

9.750

 

1,843,250

 

675

 

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

 

(B+, B1)

 

10/15/10

 

9.500

 

685,125

 

900

 

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

 

(CCC+, Caa1)

 

01/15/11

 

9.750

 

850,500

 

1,000

 

MGM Mirage, Inc., Company Guaranteed Notes

 

(BB, Ba2)

 

06/01/16

 

7.500

 

935,000

 

1,425

 

MGM Mirage, Inc., Company Guaranteed Notes

 

(BB, Ba2)

 

01/15/17

 

7.625

 

1,332,375

 

175

 

MGM Mirage, Inc., Global Company Guaranteed Notes

 

(BB, Ba2)

 

04/01/13

 

6.750

 

162,313

 

1,000

 

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

 

(B, Caa1)

 

06/01/15

 

8.500

 

847,500

 

800

 

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

 

(B+, B1)

 

09/15/14

 

9.125

 

812,000

 

281

 

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

 

(BB-, B1)

 

09/15/12

 

8.625

 

288,025

 

2,100

 

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

 

(CCC+, B3)

 

12/15/14

 

9.625

 

1,774,500

 

775

 

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

 

(BB+, B1)

 

12/01/14

 

6.625

 

722,687

 

 

 

 

 

 

 

 

 

 

 

15,283,837

 

Gas Distribution (1.7%)

 

 

 

 

 

 

 

 

 

1,625

 

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

 

(BB, Ba3)

 

07/15/11

 

7.750

 

1,677,813

 

825

 

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

 

(B, B1)

 

03/01/16

 

8.250

 

829,125

 

575

 

Williams Companies, Inc., Global Senior Unsecured Notes

 

(BB, Ba2)

 

03/15/12

 

8.125

 

598,000

 

650

 

Williams Partners LP, Global Company Guaranteed Notes

 

(BB+, Ba3)

 

02/01/17

 

7.250

 

633,750

 

 

 

 

 

 

 

 

 

 

 

3,738,688

 

Health Services (8.3%)

 

 

 

 

 

 

 

 

 

850

 

Community Health Systems, Inc., Rule 144A, Senior Notes (Callable 07/15/11 @ $104.44)‡

 

(B-, B3)

 

07/15/15

 

8.875

 

829,812

 

1,300

 

HCA, Inc., Global Senior Unsecured Notes

 

(B-, Caa1)

 

01/15/15

 

6.375

 

1,010,750

 

4,650

 

HCA, Inc., Global Senior Unsecured Notes

 

(B-, Caa1)

 

02/15/16

 

6.500

 

3,603,750

 

1,875

 

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

 

(BB-, B2)

 

11/15/16

 

9.250

 

1,865,625

 

1,050

 

HCA, Inc., Senior Unsecured Notes

 

(B-, Caa1)

 

02/15/13

 

6.250

 

871,500

 

 

 



 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

Health Services

 

 

 

 

 

 

 

 

 

$

1,275

 

Healthsouth Corp., Global Company Guaranteed Notes (Callable 06/15/11 @ $105.38)

 

(CCC+, Caa1)

 

06/15/16

 

10.750

 

$

1,294,125

 

1,025

 

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

 

(CCC+, B3)

 

06/15/14

 

8.750

 

989,125

 

800

 

Senior Housing Properties Trust, Senior Notes

 

(BB+, Ba2)

 

01/15/12

 

8.625

 

840,000

 

200

 

Service Corporation International, Rule 144A, Senior Notes‡

 

(BB-, B1)

 

04/01/15

 

6.750

 

185,000

 

750

 

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

 

(BB-, Ba3)

 

02/15/13

 

6.250

 

697,500

 

2,750

 

Tenet Healthcare Corp., Global Senior Notes

 

(CCC+, Caa1)

 

07/01/14

 

9.875

 

2,461,250

 

500

 

Tenet Healthcare Corp., Global Senior Notes#

 

(CCC+, Caa1)

 

02/01/15

 

9.250

 

430,000

 

500

 

Universal Hospital Services, Inc., Rule 144A, Secured Notes (Callable 06/01/09 @ $102.00)‡#

 

(B+, B3)

 

06/01/15

 

8.759

 

468,750

 

475

 

Universal Hospital Services, Inc., Rule 144A, Secured Notes (Callable 06/01/11 @ $104.25)‡

 

(B+, B3)

 

06/01/15

 

8.500

 

431,063

 

1,600

 

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

 

(CCC+, Caa1)

 

10/01/14

 

9.000

 

1,496,000

 

1,025

 

Varietal Distribution, Rule 144A, Senior Notes (Callable 07/15/11 @ $105.13)‡

 

(CCC+, Caa1)

 

07/15/15

 

10.250

 

966,062

 

 

 

 

 

 

 

 

 

 

 

18,440,312

 

Hotels (0.8%)

 

 

 

 

 

 

 

 

 

500

 

Bluegreen Corp., Series B, Company Guaranteed Notes

 

(B-, B3)

 

04/01/08

 

10.500

 

502,500

 

350

 

Host Hotels & Resorts LP, Global Secured Notes (Callable 11/01/10 @ $103.44)

 

(BB, Ba1)

 

11/01/14

 

6.875

 

339,500

 

975

 

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

 

(BB, Ba1)

 

06/01/16

 

6.750

 

936,000

 

 

 

 

 

 

 

 

 

 

 

1,778,000

 

Household & Leisure Products (1.2%)

 

 

 

 

 

 

 

 

 

500

 

Ames True Temper, Inc., Global Company Guaranteed Notes (Callable 01/15/08 @ $101.50)#

 

(CCC+, Caa1)

 

01/15/12

 

9.360

 

497,500

 

1,400

 

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

 

(CCC-, Caa3)

 

07/15/12

 

10.000

 

1,211,000

 

525

 

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

 

(B, B2)

 

06/15/14

 

8.250

 

519,750

 

400

 

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

 

(CCC+, B2)

 

01/15/14

 

7.875

 

376,000

 

 

 

 

 

 

 

 

 

 

 

2,604,250

 

Leisure (0.9%)

 

 

 

 

 

 

 

 

 

250

 

Bally Total Fitness Holding Corp., Global Company Guaranteed Notes (Callable 07/15/08 @ $102.63)

 

(D, NR)

 

07/15/11

 

10.500

 

262,500

 

950

 

Six Flags, Inc., Global Senior Notes (Callable 02/01/08 @ $101.48)

 

(CCC, Caa1)

 

02/01/10

 

8.875

 

843,125

 

175

 

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

 

(CCC, Caa1)

 

04/15/13

 

9.750

 

144,375

 

1,050

 

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

 

(CCC, Caa1)

 

06/01/14

 

9.625

 

853,125

 

 

 

 

 

 

 

 

 

 

 

2,103,125

 

Machinery (0.8%)

 

 

 

 

 

 

 

 

 

875

 

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

 

(B, B3)

 

02/15/17

 

8.625

 

901,250

 

825

 

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

 

(BB+, Ba3)

 

08/01/11

 

9.250

 

867,075

 

 

 

 

 

 

 

 

 

 

 

1,768,325

 

Media - Broadcast (4.3%)

 

 

 

 

 

 

 

 

 

1,000

 

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

 

(B-, B1)

 

12/15/12

 

7.750

 

980,000

 

850

 

Barrington Broadcasting, Rule 144A, Senior Subordinated Notes (Callable 08/15/10 @ $105.25)‡

 

(CCC+, B3)

 

08/15/14

 

10.500

 

862,750

 

925

 

CMP Susquehanna Corp., Global Company Guaranteed Notes (Callable 05/15/10 @ $104.94)

 

(CCC, Caa1)

 

05/15/14

 

9.875

 

864,875

 

450

 

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

 

(B-, B2)

 

09/15/14

 

8.625

 

468,000

 

1,375

 

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

 

(CCC-, Caa2)

 

01/15/13

 

11.610

 

1,392,187

 

925

 

Local TV Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 06/15/11 @ $104.63)‡

 

(CCC+, Caa1)

 

06/15/15

 

9.250

 

883,375

 

 



 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Broadcast

 

 

 

 

 

 

 

 

 

$

750

 

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

 

(CCC, Caa2)

 

08/01/13

 

9.625

 

$

720,000

 

1,625

 

Univision Communications, Inc., Rule 144A, Senior Notes (Callable 03/15/11@ $104.88)‡

 

(CCC+, B3)

 

03/15/15

 

9.750

 

1,486,875

 

600

 

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

 

(CCC, Caa1)

 

05/01/13

 

9.856

 

570,000

 

1,525

 

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

 

(CCC-, Caa1)

 

01/15/14

 

8.750

 

1,296,250

 

 

 

 

 

 

 

 

 

 

 

9,524,312

 

Media - Cable (8.0%)

 

 

 

 

 

 

 

 

 

1,700

 

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

 

(CCC+, Caa1)

 

01/15/14

 

9.375

 

1,691,500

 

2,575

 

CCH I Holdings LLC, Global Company Guaranteed Notes (Callable 09/30/07 @ $100.00)

 

(CCC, Caa3)

 

04/01/14

 

9.920

 

2,291,750

 

2,675

 

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

 

(CCC, Caa2)

 

10/01/15

 

11.000

 

2,688,375

 

2,225

 

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

 

(CCC, Caa1)

 

11/15/13

 

8.750

 

2,213,875

 

792

 

Charter Communications Holdings LLC, Senior Discount Notes#

 

(CCC, Caa3)

 

04/01/11

 

9.920

 

776,160

 

1,850

 

CSC Holdings, Inc., Global Senior Unsecured Notes

 

(B+, B2)

 

04/15/12

 

6.750

 

1,688,125

 

1,250

 

CSC Holdings, Inc., Series B, Senior Unsecured Notes

 

(B+, B2)

 

04/01/11

 

7.625

 

1,203,125

 

725

 

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

 

(BB-, Ba3)

 

03/15/13

 

8.375

 

737,687

 

1,150

 

EchoStar DBS Corp., Global Company Guaranteed Notes

 

(BB-, Ba3)

 

10/01/14

 

6.625

 

1,072,375

 

750

 

Insight Communications Company, Inc., Senior Discount Notes (Callable 02/15/08 @ $102.04)+

 

(CCC+, B3)

 

02/15/11

 

12.250

 

778,125

 

104

 

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

 

(B, B3)

 

10/01/09

 

9.750

 

104,000

 

1,925

 

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

 

(B, B3)

 

10/15/15

 

8.500

 

1,848,000

 

825

 

Mediacom LLC/Capital Corp., Senior Notes (Callable 02/15/08 @ $100.00)

 

(B, B3)

 

02/15/11

 

7.875

 

804,375

 

 

 

 

 

 

 

 

 

 

 

17,897,472

 

Media - Services (0.2%)

 

 

 

 

 

 

 

 

 

750

 

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

 

(B, B2)

 

12/15/14

 

0.000

 

551,250

 

Metals & Mining - Excluding Steel (3.1%)

 

 

 

 

 

 

 

 

 

225

 

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

 

(B-, B3)

 

12/15/14

 

9.000

 

211,500

 

1,100

 

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

 

(B-, Caa1)

 

12/15/16

 

10.000

 

990,000

 

1,600

 

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

 

(B-, B3)

 

06/01/12

 

10.000

 

1,640,000

 

1,275

 

Freeport - McMoRan Copper & Gold, Inc., Senior Unsecured Notes (Callable 04/01/11 @ $104.13)

 

(BB, Ba3)

 

04/01/15

 

8.250

 

1,338,750

 

1,075

 

Freeport - McMoRan Copper & Gold, Inc., Senior Unsecured Notes (Callable 04/01/12 @ $104.19)

 

(BB, Ba3)

 

04/01/17

 

8.375

 

1,131,438

 

1,700

 

Noranda Aluminum Acquisition, Rule 144A, Senior Unsecured Notes (Callable 05/15/08 @ $102.00)‡#

 

(CCC+, B3)

 

05/15/15

 

9.360

 

1,623,500

 

 

 

 

 

 

 

 

 

 

 

6,935,188

 

Non-Food & Drug Retailers (6.0%)

 

 

 

 

 

 

 

 

 

1,589

 

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

 

(CCC+, Caa1)

 

02/15/12

 

10.875

 

1,710,655

 

900

 

Asbury Automotive Group, Inc., Rule 144A, Senior Subordinated Notes (Callable 03/15/12 @ $103.81)‡

 

(B, B3)

 

03/15/17

 

7.625

 

832,500

 

1,350

 

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

 

(B, Caa1)

 

10/15/12

 

12.000

 

1,329,750

 

1,365

 

Claire’s Stores, Inc., Rule 144A, Senior Notes (Callable 06/01/11 @ $104.81)‡

 

(CCC+, Caa1)

 

06/01/15

 

9.625

 

1,126,125

 

1,075

 

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

 

(B-, Caa1)

 

06/01/12

 

8.375

 

838,500

 

850

 

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

 

(BB-, Ba3)

 

10/01/12

 

8.000

 

863,813

 

505

 

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

 

(CCC, B2)

 

11/01/14

 

10.000

 

492,375

 

 



 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-Food & Drug Retailers

 

 

 

 

 

 

 

 

 

$

1,120

 

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

 

(CCC, Caa1)

 

11/01/16

 

11.375

 

$

1,086,400

 

500

 

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

 

(CCC, B3)

 

03/15/12

 

8.625

 

487,500

 

1,585

 

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

 

(B-, B3)

 

10/15/15

 

10.375

 

1,676,137

 

1,000

 

PCA LLC/PCA Finance Corp., Global Company Guaranteed Notesø

 

(NR, NR)

 

08/01/09

 

11.875

 

52,500

 

600

 

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

 

(B-, B3)

 

12/15/13

 

12.000

 

645,000

 

863

 

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

 

(B+, B2)

 

12/15/13

 

10.625

 

919,095

 

100

 

Yankee Acquisition Corp., Series B, Global Company Guaranteed Notes (Callable 02/15/11 @ $104.25)

 

(CCC+, B3)

 

02/15/15

 

8.500

 

92,500

 

1,225

 

Yankee Acquisition Corp., Series B, Global Company Guaranteed Notes (Callable 02/15/12 @ $104.88)§

 

(CCC+, Caa1)

 

02/15/17

 

9.750

 

1,096,375

 

 

 

 

 

 

 

 

 

 

 

13,249,225

 

Office Equipment (0.1%)

 

 

 

 

 

 

 

 

 

300

 

IKON Office Solutions, Inc., Global Senior Notes (Callable 09/15/10 @ $103.88)

 

(BB, Ba3)

 

09/15/15

 

7.750

 

295,500

 

Oil Field Equipment & Services (0.4%)

 

 

 

 

 

 

 

 

 

825

 

Bristow Group, Inc., Rule 144A, Senior Notes (Callable 09/15/12 @ $103.75)‡

 

(BB, Ba2)

 

09/15/17

 

7.500

 

820,875

 

Packaging (4.3%)

 

 

 

 

 

 

 

 

 

1,425

 

Berry Plastics Holding Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $105.13)

 

(CCC+, Caa2)

 

03/01/16

 

10.250

 

1,353,750

 

1,355

 

Berry Plastics Holding Corp., Global Secured Notes (Callable 09/15/10 @ $104.44)

 

(B, B3)

 

09/15/14

 

8.875

 

1,307,575

 

1,625

 

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

 

(CCC, Caa2)

 

12/01/12

 

11.000

 

1,338,594

 

650

 

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

 

(B, B1)

 

11/15/15

 

7.750

 

643,500

 

50

 

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

 

(CCC+, Caa1)

 

10/15/12

 

8.500

 

47,000

 

1,225

 

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

 

(CCC+, Caa1)

 

10/15/14

 

9.875

 

1,157,625

 

154

 

Owens-Brockway Glass Containers, Global Company Guaranteed Notes (Callable 02/15/08 @ $100.00)

 

(BB, Ba2)

 

02/15/09

 

8.875

 

156,695

 

1,000

 

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

 

(B, NR)

 

05/15/13

 

8.250

 

1,010,000

 

1,200

 

Pliant Corp., Global Company Guaranteed Notes (Callable 06/01/08 @ $102.78)

 

(CCC, Caa1)

 

09/01/09

 

11.125

 

1,110,000

 

1

 

Pliant Corp., Global Secured Notes (Callable 12/15/07 @ $108.72)

 

(B, B2)

 

06/15/09

 

11.625

 

655

 

1,825

 

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

 

(CCC-, Caa2)

 

02/15/14

 

8.500

 

1,487,375

 

 

 

 

 

 

 

 

 

 

 

9,612,769

 

Printing & Publishing (5.7%)

 

 

 

 

 

 

 

 

 

1,225

 

American Media Operations, Inc., Series B, Global Company Guaranteed Notes

 

(CCC-, Caa2)

 

05/01/09

 

10.250

 

1,117,812

 

1,350

 

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

 

(CCC+, Caa1)

 

07/15/12

 

9.250

 

1,370,250

 

700

 

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

 

(B, B3)

 

11/15/13

 

0.000

 

633,500

 

1,150

 

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

 

(CCC-, Caa2)

 

08/15/11

 

11.750

 

1,201,750

 

850

 

Idearc, Inc., Global Company Guaranteed Notes (Callable 11/15/11 @ $104.00)

 

(BB, B2)

 

11/15/16

 

8.000

 

809,625

 

2,425

 

R.H. Donnelley Corp., Global Senior Unsecured Notes (Callable 01/15/09 @ $103.44)

 

(B, B3)

 

01/15/13

 

6.875

 

2,194,625

 

1,350

 

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

 

(B, B3)

 

01/15/13

 

6.875

 

1,221,750

 

250

 

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

 

(B, B3)

 

01/15/16

 

8.875

 

244,375

 

1,400

 

Reader’s Digest Association, Inc., Rule 144A, Senior Subordinated Notes (Callable 02/15/12 @ $104.50)‡

 

(CCC+, Caa1)

 

02/15/17

 

9.000

 

1,204,000

 

 



 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

Printing & Publishing

 

 

 

 

 

 

 

 

 

$

975

 

TL Acquisitions, Inc., Rule 144A, Senior Notes (Callable 07/15/11 @ $105.25)‡

 

(CCC+, Caa1)

 

01/15/15

 

10.500

 

$

901,875

 

1,225

 

Valassis Communications, Inc., Rule 144A, Senior Notes (Callable 03/01/11 @ $104.13)‡

 

(B-, B3)

 

03/01/15

 

8.250

 

1,047,375

 

675

 

Vertis, Inc., Series B, Global Company Guaranteed Notes (Callable 06/15/08 @ $102.72)

 

(CCC, Caa1)

 

06/15/09

 

10.875

 

637,875

 

 

 

 

 

 

 

 

 

 

 

12,584,812

 

Restaurants (1.5%)

 

 

 

 

 

 

 

 

 

1,325

 

Buffets, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $106.25)

 

(CCC, Caa1)

 

11/01/14

 

12.500

 

1,079,875

 

775

 

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

 

(CCC+, B3)

 

10/01/12

 

10.000

 

790,500

 

1,000

 

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

 

(CCC+, Caa1)

 

06/15/12

 

8.375

 

1,061,250

 

425

 

OSI Restaurant Partners, Inc., Rule 144A, Senior Notes (Callable 06/15/11 @ $105.00)‡#

 

(CCC+, Caa1)

 

06/15/15

 

10.000

 

371,875

 

 

 

 

 

 

 

 

 

 

 

3,303,500

 

Software/Services (1.2%)

 

 

 

 

 

 

 

 

 

2,775

 

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

 

(B-, Caa1)

 

08/15/15

 

10.250

 

2,788,875

 

Steel Producers/Products (1.9%)

 

 

 

 

 

 

 

 

 

1,325

 

AK Steel Corp., Global Company Guaranteed Notes (Callable 06/15/08 @ $102.58)

 

(B+, B2)

 

06/15/12

 

7.750

 

1,318,375

 

1,150

 

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

 

(B-, B3)

 

09/01/16

 

10.750

 

1,236,250

 

400

 

PNA Intermediate Holding Corp., Rule 144A, Senior Notes (Callable 02/15/08 @ $102.00)‡#

 

(B-, Caa1)

 

02/15/13

 

12.360

 

408,000

 

1,275

 

Rathgibson, Inc., Global Company Guaranteed Notes (Callable 02/15/10 @ $105.62)

 

(B-, B3)

 

02/15/14

 

11.250

 

1,319,625

 

 

 

 

 

 

 

 

 

 

 

4,282,250

 

Support-Services (7.3%)

 

 

 

 

 

 

 

 

 

1,250

 

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

 

(CCC+, Caa1)

 

07/15/11

 

11.375

 

1,243,750

 

450

 

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

 

(B-, B3)

 

02/01/15

 

8.500

 

426,375

 

300

 

ARAMARK Corp., Rule 144A, Senior Notes (Callable 02/01/09 @ $102.00)#‡

 

(B-, B3)

 

02/01/15

 

8.856

 

280,500

 

400

 

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

 

(B, B3)

 

08/15/16

 

9.000

 

404,000

 

150

 

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

 

(CCC+, B2)

 

06/01/14

 

8.750

 

150,000

 

1,075

 

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

 

(CCC+, Caa1)

 

06/01/16

 

10.250

 

1,075,000

 

500

 

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

 

(B, B1)

 

01/01/14

 

8.875

 

502,500

 

600

 

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

 

(B, B2)

 

01/01/16

 

10.500

 

624,000

 

750

 

Iron Mountain, Inc., Company Guaranteed Notes (Callable 04/01/08 @ $101.44)

 

(B, B3)

 

04/01/13

 

8.625

 

738,750

 

200

 

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

 

(B, B3)

 

01/01/16

 

6.625

 

175,000

 

1,500

 

Johnsondiversey Holdings, Inc., Global Discount Notes (Callable 05/15/08 @ $103.56)+

 

(CCC+, Caa1)

 

05/15/13

 

10.670

 

1,537,500

 

775

 

Kar Holdings, Inc., Rule 144A, Senior Notes (Callable 05/01/10 @ $104.38)‡

 

(CCC, B3)

 

05/01/14

 

8.750

 

701,375

 

675

 

Kar Holdings, Inc., Rule 144A, Senior Subordinated Notes (Callable 04/01/11 @ $105.00)‡

 

(CCC, Caa1)

 

05/01/15

 

10.000

 

597,375

 

1,050

 

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

 

(B-, B3)

 

08/01/14

 

9.750

 

1,107,750

 

1,350

 

Neff Corp., Rule 144A, Senior Notes (Callable 06/01/11 @ $105.00)‡

 

(B-, Caa2)

 

06/01/15

 

10.000

 

1,248,750

 

1,125

 

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

 

(B-, Caa1)

 

12/01/14

 

9.500

 

1,102,500

 

1,875

 

Travelport LLC, Global Company Guaranteed Notes (Callable 09/01/11 @ $105.94)

 

(CCC+, Caa1)

 

09/01/16

 

11.875

 

1,903,125

 

 



 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

Support-Services

 

 

 

 

 

 

 

 

 

$

1,375

 

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

 

(B, B3)

 

02/15/14

 

7.000

 

$

1,405,937

 

900

 

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

 

(B+, B2)

 

10/01/15

 

8.500

 

972,000

 

 

 

 

 

 

 

 

 

 

 

16,196,187

 

Telecom - Fixed Line (1.6%)

 

 

 

 

 

 

 

 

 

650

 

Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $104.63)

 

(CCC+, B3)

 

11/01/14

 

9.250

 

624,000

 

2,225

 

Level 3 Financing, Inc., Rule 144A, Senior Notes (Callable 02/15/09 @ $102.00)‡#

 

(CCC+, B3)

 

02/15/15

 

9.150

 

2,113,750

 

775

 

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

 

(CCC+, B3)

 

02/15/14

 

9.250

 

796,313

 

 

 

 

 

 

 

 

 

 

 

3,534,063

 

Telecom - Integrated/Services (3.2%)

 

 

 

 

 

 

 

 

 

1,050

 

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

 

(B-, B2)

 

01/15/14

 

8.375

 

1,002,750

 

700

 

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

 

(CCC, Caa1)

 

05/01/15

 

12.500

 

738,500

 

850

 

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

 

(B-, B1)

 

04/15/14

 

9.500

 

850,000

 

475

 

PAETEC Holding Corp., Rule 144A, Senior Notes (Callable 07/15/11 @ $104.75)‡

 

(CCC+, Caa1)

 

07/15/15

 

9.500

 

456,000

 

350

 

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

 

(B+, Ba3)

 

02/15/11

 

7.250

 

341,250

 

2,275

 

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

 

(B, Ba3)

 

02/15/14

 

7.500

 

2,195,375

 

350

 

Windstream Corp., Global Company Guaranteed Notes

 

(BB-, Ba3)

 

08/01/13

 

8.125

 

355,687

 

125

 

Windstream Corp., Global Company Guaranteed Notes (Callable 03/15/12 @ $103.50)

 

(BB-, Ba3)

 

03/15/19

 

7.000

 

113,125

 

1,000

 

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

 

(BB-, Ba3)

 

08/01/16

 

8.625

 

1,017,500

 

 

 

 

 

 

 

 

 

 

 

7,070,187

 

Telecom - Wireless (3.1%)

 

 

 

 

 

 

 

 

 

675

 

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

 

(CCC+, B2)

 

06/15/13

 

10.125

 

711,281

 

1,525

 

Cricket Communications, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $104.69)

 

(CCC, Caa1)

 

11/01/14

 

9.375

 

1,511,656

 

1,400

 

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

 

(B-, B1)

 

11/01/12

 

9.875

 

1,503,250

 

1,175

 

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

 

(CCC, Caa1)

 

11/01/14

 

9.250

 

1,157,375

 

225

 

Rural Cellular Corp., Global Senior Unsecured Notes (Callable 01/15/08 @ $101.63)

 

(CCC, B3)

 

02/01/10

 

9.875

 

234,563

 

850

 

Rural Cellular Corp., Rule 144A, Senior Subordinated Notes (Callable 06/01/08 @ $102.00)‡#

 

(CCC, Caa2)

 

06/01/13

 

8.360

 

858,500

 

975

 

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

 

(CCC-, Caa2)

 

06/01/13

 

8.500

 

984,750

 

 

 

 

 

 

 

 

 

 

 

6,961,375

 

Textiles & Apparel (1.0%)

 

 

 

 

 

 

 

 

 

1,025

 

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

 

(B, B2)

 

01/15/15

 

9.750

 

1,040,375

 

475

 

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

 

(B, B2)

 

12/15/12

 

12.250

 

508,250

 

950

 

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

 

(CCC, Caa1)

 

12/01/12

 

10.000

 

812,250

 

 

 

 

 

 

 

 

 

 

 

2,360,875

 

Theaters & Entertainment (1.0%)

 

 

 

 

 

 

 

 

 

1,225

 

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

 

(CCC+, B2)

 

03/01/14

 

8.000

 

1,123,938

 

 



 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

Theaters & Entertainment

 

 

 

 

 

 

 

 

 

$

1,200

 

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

 

(CCC+, B3)

 

03/15/14

 

0.000

 

$

1,086,000

 

 

 

 

 

 

 

 

 

 

 

2,209,938

 

Transportation - Excluding Air/Rail (0.3%)

 

 

 

 

 

 

 

 

 

651

 

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

 

(CCC+, Caa1)

 

04/01/13

 

0.000

 

649,373

 

TOTAL U.S. CORPORATE BONDS (Cost $299,937,559)

 

 

 

 

 

 

 

287,972,638

 

 

 

 

 

 

 

 

 

 

 

FOREIGN CORPORATE BONDS (12.2%)

 

 

 

 

 

 

 

 

 

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

 

570,000

 

Chemicals (1.0%)

 

 

 

 

 

 

 

 

 

1,175

 

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

 

(B, B2)

 

08/15/15

 

8.375

 

1,051,625

 

1,350

 

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

 

(B-, B2)

 

02/15/16

 

8.500

 

1,242,000

 

 

 

 

 

 

 

 

 

 

 

2,293,625

 

Electronics (1.9%)

 

 

 

 

 

 

 

 

 

450

 

Avago Technologies Finance, Global Company Guaranteed Notes (Callable 12/01/09 @ $105.06) (Singapore)#

 

(B, B2)

 

12/01/13

 

10.125

 

468,000

 

600

 

Avago Technologies Finance, Global Company Guaranteed Notes (Callable 12/01/10 @ $105.94) (Singapore)

 

(CCC+, Caa1)

 

12/01/15

 

11.875

 

660,000

 

425

 

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

 

(CCC+, Caa1)

 

12/15/14

 

8.000

 

259,250

 

1,000

 

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

 

(CCC, Caa1)

 

02/01/11

 

9.250

 

825,000

 

2,050

 

NXP BV/NXP Funding LLC, Global Company Guaranteed Notes (Callable 10/15/11 @ $104.75) (Netherlands)

 

(B, B3)

 

10/15/15

 

9.500

 

1,783,500

 

275

 

NXP BV/NXP Funding LLC, Global Secured Notes (Callable 10/15/10 @ $103.94) (Netherlands)

 

(BB, Ba3)

 

10/15/14

 

7.875

 

255,406

 

 

 

 

 

 

 

 

 

 

 

4,251,156

 

Energy - Exploration & Production (0.2%)

 

 

 

 

 

 

 

 

 

550

 

OPTI Canada, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/10 @ $104.13) (Canada)‡

 

(BB+, B1)

 

12/15/14

 

8.250

 

552,750

 

Forestry & Paper (1.5%)

 

 

 

 

 

 

 

 

 

600

 

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

 

(B, B3)

 

06/15/11

 

7.750

 

531,000

 

1,050

 

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

 

(B, B3)

 

04/01/15

 

8.375

 

861,000

 

850

 

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

 

(B, B3)

 

11/15/11

 

7.950

 

743,750

 

70

 

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

 

(B, B2)

 

10/01/12

 

9.625

 

73,500

 

1,000

 

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

 

(B, B2)

 

04/01/15

 

7.750

 

960,000

 

380

 

Tembec Industries, Inc., Yankee Company Guaranteed Notes (Callable 09/28/07 @ 100.00) (Canada)

 

(CCC-, Ca)

 

06/30/09

 

8.625

 

191,900

 

 

 

 

 

 

 

 

 

 

 

3,361,150

 

Health Services (0.3%)

 

 

 

 

 

 

 

 

 

645

 

FMC Finance III SA, Rule 144A, Senior Notes (Luxembourg)‡

 

(BB-, Ba3)

 

07/15/17

 

6.875

 

624,038

 

Leisure (0.5%)

 

 

 

 

 

 

 

 

 

1,175

 

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

 

(B, B3)

 

07/15/14

 

10.625

 

1,110,375

 

Media - Cable (0.9%)

 

 

 

 

 

 

 

 

 

150

 

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

 

(B-, B2)

 

08/15/16

 

9.125

 

152,250

 

883

 

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

 

(CCC+, B3)

 

06/15/14

 

0.000

 

852,095

 

 



 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Cable

 

 

 

 

 

 

 

 

 

$

675

 

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

 

(CCC+, Caa2)

 

02/15/15

 

10.125

 

$

942,454

 

 

 

 

 

 

 

 

 

 

 

1,946,799

 

Metals & 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 (0.3%)

 

 

 

 

 

 

 

 

 

775

 

Elan Finance PLC, Global Company Guaranteed Notes (Callable 12/01/10 @ $104.44) (Ireland)

 

(B, B3)

 

12/01/13

 

8.875

 

767,250

 

Printing & Publishing (0.3%)

 

 

 

 

 

 

 

 

 

800

 

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

 

(B+, B2)

 

01/15/15

 

9.750

 

772,000

 

Support-Services (0.8%)

 

 

 

 

 

 

 

 

 

1,000

 

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

 

(B, B3)

 

08/01/15

 

8.625

 

995,000

 

525

 

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

 

(B-, B2)

 

05/01/15

 

9.763

 

741,104

 

 

 

 

 

 

 

 

 

 

 

1,736,104

 

Telecom - Integrated/Services (3.1%)

 

 

 

 

 

 

 

 

 

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

 

1,365,000

 

550

 

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

 

(CCC+, Caa1)

 

01/15/15

 

11.110

 

547,250

 

1,300

 

Intelsat Bermuda, Ltd., Global Company Guaranteed (Callable 01/15/08 @ $102.00) (Bermuda)#

 

(B, Caa1)

 

01/15/15

 

8.886

 

1,313,000

 

850

 

Intelsat Bermuda, Ltd., Global Senior Unsecured Notes (Bermuda)

 

(B-, Caa1)

 

11/01/13

 

6.500

 

630,062

 

2,200

 

Intelsat, Ltd., Global Senior Unsecured Notes (Callable 06/15/11 @ $105.62) (Bermuda)

 

(B-, Caa1)

 

06/15/16

 

11.250

 

2,310,000

 

650

 

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

 

(B, B2)

 

05/01/16

 

8.875

 

646,750

 

 

 

 

 

 

 

 

 

 

 

6,812,062

 

Telecommunication Equipment (0.2%)

 

 

 

 

 

 

 

 

 

425

 

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

 

(B-, B3)

 

07/15/11

 

9.610

 

432,438

 

Textiles & Apparel (0.1%)

 

 

 

 

 

 

 

 

 

75

 

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

 

(CCC, B3)

 

11/15/12

 

9.875

 

105,230

 

Transportation - Excluding Air/Rail (0.8%)

 

 

 

 

 

 

 

 

 

1,725

 

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

 

(B+, B1)

 

12/15/13

 

8.500

 

1,763,812

 

TOTAL FOREIGN CORPORATE BONDS (Cost $29,017,254)

 

 

 

 

 

 

 

27,098,789

 

 

Number of
Shares

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

COMMON STOCKS (1.2%)

 

 

 

 

 

 

 

 

 

Automobile Parts & Equipment (0.0%)

 

 

 

 

 

 

 

 

 

774,557

 

Cambridge Industries Liquidating Trust^

 

 

 

 

 

 

 

0

 

Chemicals (0.1%)

 

 

 

 

 

 

 

 

 

4,893

 

Huntsman Corp.*

 

 

 

 

 

 

 

124,576

 

Electric - Integrated (0.4%)

 

 

 

 

 

 

 

 

 

23,775

 

Mirant Corp.*

 

 

 

 

 

 

 

899,408

 

Steel Producers/Products (0.1%)

 

 

 

 

 

 

 

 

 

8,414

 

WCI Steel Acquisition, Inc.*

 

 

 

 

 

 

 

298,697

 

Telecom - Wireless (0.6%)

 

 

 

 

 

 

 

 

 

99,764

 

Dobson Communications Corp. Class A*

 

 

 

 

 

 

 

1,242,062

 

TOTAL COMMON STOCKS (Cost $1,413,436)

 

 

 

 

 

 

 

2,564,743

 

 



 

WARRANTS (0.0%)

 

 

 

 

 

 

 

 

 

Electronics (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

 

 

 

 

 

 

 

56

 

 

 

 

 

 

 

 

 

 

 

56

 

TOTAL WARRANTS (Cost $3,772,613)

 

 

 

 

 

 

 

2,099

 

 

Par
(000)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

REPURCHASE AGREEMENTS (2.7%)

 

 

 

 

 

 

 

 

 

$

3,228

 

Bear Stearns & Co., 5.12%, Dated 07/31/07, due 08/01/07, proceeds at maturity $3,228,536 (fully collateralized by U.S. Treasury Bonds, due 01/15/25, Market Value of collateral is $3,323,183)§§

 

 

 

 

 

 

 

3,228,077

 

2,765

 

Bear Stearns & Co., 5.38%, Dated 07/31/07, due 08/01/07, proceeds at maturity $2,764,945 (fully collateralized by U.S. Treasury Bonds, due 01/15/25, Market Value of collateral is $2,842,196)§§

 

 

 

 

 

 

 

2,764,532

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL REPURCHASE AGREEMENTS (Cost $5,992,609)

 

 

 

 

 

 

 

5,992,609

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS AT VALUE (145.6%) (Cost $340,133,471)

 

 

 

 

 

 

 

323,630,878

 

 

 

 

 

 

 

 

 

 

 

 

 

LIABILITIES IN EXCESS OF OTHER ASSETS (-45.6%)

 

 

 

 

 

 

 

(101,392,437

)

 

 

 

 

 

 

 

 

 

 

 

 

NET ASSETS (100.0%)

 

 

 

 

 

 

 

$

222,238,441

 

 

OPEN FORWARD FOREIGN CURRENCY CONTRACTS

Forward Foreign
Currency Contracts 

 

Expiration 
Date

 

Foreign Currency
To Be Purchased

 

Contract
Amount

 

Contract
Value

 

Unrealized
Gain

 

 

 

 

 

 

 

 

 

 

 

 

 

Euro

 

9/28/07

 

€

1,370,000

 

$

1,850,486

 

$

1,882,024

 

$

31,538

 

British Pound

 

9/28/07

 

£

530,000

 

1,058,028

 

1,078,274

 

20,246

 

 

 

 

 

 

 

$

2,908,514

 

$

2,960,298

 

$

51,784

 

 

INVESTMENT ABBREVIATION

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, 2007, these securities amounted to a value of $69,471,420 or 31.3% of net assets.

+

Step Bond — The interest rate stated is as of July 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.

#

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

§

Security or portion thereof is out on loan.

§§

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 the direction of, the Board of Trustees under procedures established by the Board of Trustees. At July 31, 2007, the Fund held 0.09% 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 $602,888 and fair value of $202,626. 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 July 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 depreciation from investments were $340,133,471, $4,734,315, $(21,236,908) and $(16,502,593), 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:

 

September 24, 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:

 

September 24, 2007

 

/s/Michael A. Pignataro

 

Name:

 

Michael A. Pignataro

Title:

 

Chief Financial Officer

Date:

 

September 24, 2007

 


 EX-99.CERT 2 a07-19646_12ex99dcert.htm EX-99.CERT

Exhibit 99.CERT

I, Keith M. Schappert, 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 24, 2007

/s/Keith M. Schappert

 

Name:

 

Keith M. Schappert

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 24, 2007

/s/Michael A. Pignataro

 

Name:

 

Michael A. Pignataro

Title:

 

Chief Financial Officer

 


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