-----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, DQYIBWYWHs4TD2MUCaWfT+XbaLtEOnNesM2sHYLCg4ptTM21NsepzkMDvFZW81Ap wrMVu0f4bbX+Ddod01pzFA== 0001104659-08-020563.txt : 20080328 0001104659-08-020563.hdr.sgml : 20080328 20080328105850 ACCESSION NUMBER: 0001104659-08-020563 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20080131 FILED AS OF DATE: 20080328 DATE AS OF CHANGE: 20080328 EFFECTIVENESS DATE: 20080328 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: 08717317 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 a08-6804_12nq.htm QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

 

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, 2007 to January 31, 2008

 

 



 

Item 1:                   Schedule of Investments

 



 

Credit Suisse High Yield Bond Fund

Schedule of Investments

January 31, 2008 (unaudited)

 

Par
(000)

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS (131.3%)

 

 

 

 

 

 

 

 

 

Aerospace & Defense (2.1%)

 

 

 

 

 

 

 

 

 

$

425

 

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

 

(B, B3)

 

02/01/18

 

7.625

 

$

421,813

 

200

 

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

 

(B, B3)

 

11/01/13

 

6.875

 

197,000

 

625

 

Hawker Beechcraft Acquisition Co., LLC, Global Senior Unsecured Notes (Callable 04/01/11 @ $104.44)§

 

(B-, B3)

 

04/01/15

 

8.875

 

614,062

 

325

 

Hawker Beechcraft Acquisition Co., Series WI, Global Senior Unsecured Notes (Callable 04/01/11 @ $104.25)§

 

(B-, B3)

 

04/01/15

 

8.500

 

323,375

 

1,275

 

Hawker Beechcraft Acquisition Co., Series WI, Global Senior Subordinated Notes (Callable 04/01/12 @ $104.88)§

 

(B-, Caa1)

 

04/01/17

 

9.750

 

1,217,625

 

825

 

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

 

(BB+, Ba3)

 

01/15/15

 

5.875

 

806,437

 

625

 

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

 

(B-, B3)

 

07/15/14

 

7.750

 

631,250

 

 

 

 

 

 

 

 

 

 

 

4,211,562

 

Agriculture (0.7%)

 

 

 

 

 

 

 

 

 

1,325

 

Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 11/01/08 @ $104.00)‡

 

(B, Caa1)

 

11/01/10

 

11.000

 

1,374,688

 

Auto Loans (6.7%)

 

 

 

 

 

 

 

 

 

 

1,175

 

Ford Motor Credit Co. LLC, Global Notes

 

(B, B1)

 

06/15/10

 

7.875

 

1,106,696

 

 

2,125

 

Ford Motor Credit Co. LLC, Senior Unsecured Notes

 

(B, B1)

 

12/15/16

 

8.000

 

1,786,823

 

 

2,900

 

Ford Motor Credit Co., Global Notes

 

(B, B1)

 

10/01/13

 

7.000

 

2,433,822

 

 

1,375

 

Ford Motor Credit Co., Notes

 

(B, B1)

 

06/16/08

 

6.625

 

1,372,568

 

 

325

 

Ford Motor Credit Co., Senior Notes

 

(B, B1)

 

08/10/11

 

9.875

 

312,054

 

 

2,625

 

General Motors Acceptance Corp., Global Notes§

 

(BB+, Ba3)

 

05/15/09

 

5.625

 

2,541,761

 

 

2,475

 

General Motors Acceptance Corp., Global Notes§

 

(BB+, Ba3)

 

12/01/14

 

6.750

 

2,042,246

 

 

1,475

 

GMAC LLC, Senior Unsubordinated Notes

 

(BB+, Ba3)

 

12/15/11

 

6.000

 

1,244,782

 

 

725

 

Navios Maritime Holdings, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ $104.75)§

 

(B+, B3)

 

12/15/14

 

9.500

 

699,625

 

 

 

 

 

 

 

 

 

 

13,540,377

 

 

Auto Parts & Equipment (3.1%)

 

 

 

 

 

 

 

 

 

 

450

 

Altra Industrial Motion, Inc., Global Secured Notes (Callable 02/01/08 @ $104.50)

 

(B, B2)

 

12/01/11

 

9.000

 

441,000

 

 

1,025

 

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

 

(B, B2)

 

12/01/11

 

9.000

 

1,004,500

 

 

775

 

American Axle & Manufacturing, Inc., Company Guaranteed Notes (Callable 03/01/12 @ $103.94)

 

(BB, Ba3)

 

03/01/17

 

7.875

 

699,437

 

 

1,200

 

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

 

(CCC+, Caa1)

 

04/01/13

 

10.750

 

1,152,000

 

 

1,298

 

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

 

(B, Ba3)

 

07/01/15

 

9.000

 

1,362,900

 

 

61

 

Goodyear Tire & Rubber Co., Global Senior Notes (Callable 12/01/09 @ $104.31)

 

(B, Ba3)

 

12/01/11

 

8.625

 

63,059

 

 

500

 

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

 

(CCC, Caa2)

 

11/01/13

 

9.750

 

337,500

 

 

725

 

Lear Corp., Series B, Global Company Guaranteed Notes (Callable 12/01/10 @ $104.25)

 

(B-, B3)

 

12/01/13

 

8.500

 

670,625

 

 

575

 

Visteon Corp., Global Senior Notes

 

(CCC+, Caa2)

 

08/01/10

 

8.250

 

472,938

 

 

 

 

 

 

 

 

 

 

 

 

6,203,959

 

 

Automotive (3.4%)

 

 

 

 

 

 

 

 

 

 

1,970

 

Ford Motor Co., Global Notes

 

(CCC+, Caa1)

 

07/16/31

 

7.450

 

1,462,725

 

 

2,790

 

General Motors Corp., Global Debentures§

 

(B-, Caa1)

 

07/15/33

 

8.375

 

2,280,825

 

 

3,500

 

General Motors Corp., Global Senior Notes§

 

(B-, Caa1)

 

07/15/13

 

7.125

 

2,992,500

 

 

 

 

 

 

 

 

 

 

 

 

6,736,050

 

 

Beverages (0.6%)

 

 

 

 

 

 

 

 

 

 

400

 

Constellation Brands, Inc., Company Guaranteed Notes§

 

(BB-, Ba3)

 

12/15/14

 

8.375

 

414,000

 

 



 

Par
(000)

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Beverages

 

 

 

 

 

 

 

 

 

$

850

 

Constellation Brands, Inc., Company Guaranteed Notes

 

(BB-, Ba3)

 

09/01/16

 

7.250

 

$

816,000

 

 

 

 

 

 

 

 

 

 

 

1,230,000

 

Brokerage (0.3%)

 

 

 

 

 

 

 

 

 

775

 

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

 

(B, Ba3)

 

06/15/11

 

8.000

 

670,375

 

Building & Construction (1.2%)

 

 

 

 

 

 

 

 

 

1,425

 

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

 

(B-, Caa2)

 

10/01/15

 

9.500

 

698,250

 

625

 

K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes

 

(B+, B2)

 

01/15/16

 

6.250

 

432,813

 

900

 

Standard Pacific Corp., Global Senior Notes§

 

(BB-, B1)

 

08/15/15

 

7.000

 

625,500

 

300

 

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

 

(B-, Caa3)

 

03/15/15

 

6.625

 

157,500

 

1,000

 

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

 

(B-, Caa2)

 

04/01/13

 

10.750

 

570,000

 

 

 

 

 

 

 

 

 

 

 

2,484,063

 

Building Materials (5.0%)

 

 

 

 

 

 

 

 

 

1,000

 

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

 

(CCC, Caa2)

 

03/01/14

 

0.000

 

655,000

 

1,375

 

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

 

(BB-, B2)

 

08/01/14

 

7.750

 

1,024,375

 

1,550

 

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

 

(B, B2)

 

10/01/12

 

9.875

 

1,404,687

 

750

 

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

 

(B-, B3)

 

07/01/13

 

10.500

 

671,250

 

500

 

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

 

(CCC+, Caa1)

 

06/15/09

 

13.000

 

421,250

 

750

 

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

 

(B, B1)

 

09/15/08

 

10.750

 

755,625

 

625

 

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

 

(B+, B1)

 

04/01/15

 

7.104

 

559,375

 

1,125

 

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

 

(B-, B3)

 

12/15/12

 

7.875

 

1,216,800

 

125

 

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

 

(B-, B3)

 

02/01/14

 

9.500

 

128,438

 

325

 

Norcraft Companies, Global Senior Subordinated Notes (Callable 11/01/08 @ $102.25)

 

(B-, B1)

 

11/01/11

 

9.000

 

325,000

 

750

 

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

 

(B-, B3)

 

09/01/12

 

0.000

 

656,250

 

825

 

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

 

(CCC+, B3)

 

09/01/14

 

8.500

 

647,625

 

1,000

 

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

 

(CCC+, Caa1)

 

03/01/14

 

0.000

 

565,000

 

1,425

 

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

 

(CCC+, Caa1)

 

02/15/12

 

9.000

 

1,068,750

 

 

 

 

 

 

 

 

 

 

 

10,099,425

 

Chemicals (4.2%)

 

 

 

 

 

 

 

 

 

1,475

 

Chemtura Corp., Company Guaranteed Notes

 

(BB+, Ba2)

 

06/01/16

 

6.875

 

1,349,625

 

1,200

 

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

 

(B-, B3)

 

11/15/14

 

0.000

 

1,020,000

 

1,125

 

Momentive Performance Materials, Global Company Guaranteed Notes (Callable 12/01/10 @ $104.88)

 

(B-, B3)

 

12/01/14

 

10.000

 

1,023,750

 

1,050

 

Momentive Performance Materials, Global Company Guaranteed Notes (Callable 12/01/11 @ $105.75)§

 

(CCC+, Caa2)

 

12/01/16

 

11.500

 

825,562

 

1,275

 

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

 

(B-, B3)

 

02/01/14

 

0.000

 

1,153,875

 

925

 

PolyOne Corp., Senior Notes

 

(B+, B1)

 

05/01/12

 

8.875

 

929,625

 

950

 

Reichhold Industries, Inc., Rule 144A, Senior Notes (Callable 08/15/10 @ $104.50)‡

 

(BB-, B2)

 

08/15/14

 

9.000

 

940,500

 

 



 

Par
(000)

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Chemicals

 

 

 

 

 

 

 

 

 

$

1,150

 

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

 

(BB-, B1)

 

02/01/17

 

7.000

 

$

1,135,625

 

 

 

 

 

 

 

 

 

 

 

8,378,562

 

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

 

700,219

 

Consumer Products (2.4%)

 

 

 

 

 

 

 

 

 

1,850

 

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

 

(CCC+, Caa1)

 

10/01/12

 

0.000

 

1,544,750

 

1,650

 

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

 

(CCC+, Caa1)

 

05/01/14

 

8.750

 

1,476,750

 

925

 

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

 

(B-, B3)

 

05/01/17

 

7.500

 

795,500

 

940

 

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

 

(B-, B3)

 

04/15/12

 

9.250

 

937,650

 

 

 

 

 

 

 

 

 

 

 

4,754,650

 

Consumer/Commercial/Lease Financing (0.4%)

 

 

 

 

 

 

 

 

 

1,225

 

Residential Capital LLC, Company Guaranteed Notes#

 

(BB+, Ba3)

 

02/22/11

 

7.500

 

771,750

 

Diversified Capital Goods (3.1%)

 

 

 

 

 

 

 

 

 

925

 

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

 

(B, B2)

 

12/15/13

 

8.866

 

837,125

 

100

 

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

 

(B, B2)

 

12/15/13

 

8.625

 

96,000

 

700

 

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

 

(CCC+, B3)

 

08/01/14

 

9.500

 

635,250

 

750

 

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

 

(CCC+, Caa1)

 

08/01/16

 

11.750

 

641,250

 

950

 

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

 

(B-, B3)

 

12/15/13

 

8.625

 

907,250

 

1,200

 

Stanadyne Corp., Series 1 Global Senior Subordinated Notes (Callable 08/15/09 @ $105.00)

 

(CCC+, B3)

 

08/15/14

 

10.000

 

1,086,000

 

1,025

 

Titan International, Inc., Global Company Guaranteed Notes§

 

(B, Caa1)

 

01/15/12

 

8.000

 

966,062

 

1,138

 

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

 

(B-, B3)

 

06/15/12

 

9.875

 

1,041,270

 

 

 

 

 

 

 

 

 

 

 

6,210,207

 

Electric - Generation (5.5%)

 

 

 

 

 

 

 

 

 

2,050

 

AES Corp., Global Senior Unsecured Notes

 

(B, B1)

 

10/15/17

 

8.000

 

2,101,250

 

175

 

AES Corp., Senior Notes

 

(B, B1)

 

03/01/14

 

7.750

 

179,375

 

1,475

 

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

 

(D, NR)

 

04/01/10

 

11.070

 

62,688

 

1,225

 

Dynegy Holdings, Inc., Global Senior Unsecured Notes§

 

(B-, B2)

 

06/01/19

 

7.750

 

1,120,875

 

1,025

 

Dynegy Holdings, Inc., Global Senior Unsecured Notes

 

(B-, B2)

 

06/01/15

 

7.500

 

960,937

 

1,825

 

Dynegy Holdings, Inc., Global Senior Unsecured Notes§

 

(B-, B2)

 

05/01/16

 

8.375

 

1,783,937

 

1,300

 

Edison Mission Energy, Global Senior Unsecured Notes§

 

(BB-, B1)

 

05/15/17

 

7.000

 

1,270,750

 

300

 

Edison Mission Energy, Global Senior Unsecured Notes

 

(BB-, B1)

 

05/15/19

 

7.200

 

294,000

 

438

 

Midwest Generation LLC, Series B, Global Pass Thru Certificates

 

(BB+, Baa3)

 

01/02/16

 

8.560

 

471,688

 

350

 

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

 

(B, B1)

 

01/15/17

 

7.375

 

339,938

 

675

 

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

 

(B, B1)

 

02/01/16

 

7.375

 

653,906

 

900

 

Reliant Energy, Inc., Senior Notes

 

(B-, B3)

 

06/15/14

 

7.625

 

882,000

 

925

 

Reliant Energy, Inc., Senior Notes

 

(B-, B3)

 

06/15/17

 

7.875

 

906,500

 

 

 

 

 

 

 

 

 

 

 

11,027,844

 

Electric - Integrated (2.7%)

 

 

 

 

 

 

 

 

 

625

 

Energy Future Holdings

 

(CCC+, B3)

 

11/01/17

 

10.875

 

621,875

 

225

 

Mirant Americas Generation, LLC., Senior Unsecured Notes

 

(B-, B3)

 

05/01/11

 

8.300

 

228,375

 

800

 

Mirant Americas Generation, LLC., Senior Unsecured Notes

 

(B-, B3)

 

10/01/21

 

8.500

 

710,000

 

525

 

Texas Competitive Electric Holdings Co. LLC, Series B, Rule 144A, Company Guaranteed Notes (Callable 11/01/11 @ $105.13)‡

 

(CCC, B3)

 

11/01/15

 

10.250

 

518,437

 

 



 

Par
(000)

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Electric - Integrated

 

 

 

 

 

 

 

 

 

$

3,300

 

Texas Competitive Electric Holdings Co., LLC, Series A, Rule 144A, Company Guaranteed Notes (Callable 11/01/11 @ $105.13)‡

 

(CCC, B3)

 

11/01/15

 

10.250

 

$

3,258,750

 

 

 

 

 

 

 

 

 

 

 

5,337,437

 

Electronics (3.7%)

 

 

 

 

 

 

 

 

 

1,575

 

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

 

(B, B1)

 

05/15/13

 

7.750

 

1,415,531

 

195

 

Ampex Corp., Secured Notes^

 

(NR, NR)

 

08/15/08

 

12.000

 

189,101

 

225

 

Freescale Semiconductor, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ $104.44)§

 

(B-, B2)

 

12/15/14

 

8.875

 

183,938

 

2,775

 

Freescale Semiconductor, Inc., Senior Subordinated Notes§

 

(B-, B3)

 

12/15/16

 

10.125

 

1,991,062

 

1,000

 

Sanmina-SCI Corp., Global Company Guaranteed Notes (Callable 03/01/09 @ $103.37)

 

(B-, B3)

 

03/01/13

 

6.750

 

870,000

 

775

 

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

 

(B-, B3)

 

03/01/16

 

8.125

 

680,063

 

1,225

 

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

 

(B, Caa1)

 

01/15/16

 

11.250

 

863,625

 

1,200

 

Viasystems, Inc., Global Senior Unsecured Notes (Callable 03/27/08 @ $105.25)

 

(B-, Caa1)

 

01/15/11

 

10.500

 

1,170,000

 

 

 

 

 

 

 

 

 

 

 

7,363,320

 

Energy - Exploration & Production (4.7%)

 

 

 

 

 

 

 

 

 

1,225

 

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

 

(CCC+, Caa1)

 

02/01/17

 

8.875

 

1,029,000

 

1,983

 

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

 

(BB, Ba3)

 

01/15/16

 

6.875

 

1,973,085

 

1,050

 

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

 

(B, B1)

 

12/01/17

 

7.250

 

1,015,875

 

175

 

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

 

(B+, B1)

 

05/01/14

 

7.750

 

178,500

 

325

 

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

 

(B+, B1)

 

06/15/19

 

7.250

 

326,625

 

975

 

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

 

(B, B3)

 

06/01/16

 

9.000

 

979,875

 

1,275

 

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

 

(B, B3)

 

07/15/13

 

9.125

 

1,322,812

 

1,575

 

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

 

(BB-, B1)

 

06/15/15

 

7.750

 

1,584,844

 

1,100

 

Southwestern Energy Co., Rule 144A, Senior Notes‡

 

(BB+, Ba2)

 

02/01/18

 

7.500

 

1,135,750

 

 

 

 

 

 

 

 

 

 

 

9,546,366

 

Environmental (1.6%)

 

 

 

 

 

 

 

 

 

1,475

 

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

 

(B+, B2)

 

04/15/14

 

7.375

 

1,434,438

 

1,800

 

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

 

(CCC+, Caa1)

 

04/15/14

 

9.500

 

1,683,000

 

 

 

 

 

 

 

 

 

 

 

3,117,438

 

Food & Drug Retailers (1.8%)

 

 

 

 

 

 

 

 

 

1,925

 

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

 

(CC, Caa3)

 

08/01/11

 

9.750

 

1,684,375

 

250

 

Ingles Markets, Inc., Global Senior Subordinated Notes (Callable 3/27/08 @ $102.90)

 

(B, B3)

 

12/01/11

 

8.875

 

254,375

 

400

 

Rite Aid Corp., Global Company Guaranteed Notes (Callable 06/15/11 @ $104.69)

 

(CCC+, Caa1)

 

12/15/15

 

9.375

 

305,000

 

75

 

Stater Brothers Holdings, Inc., Global Company Guaranteed Notes (Callable 04/15/11 @ $103.88)

 

(B+, B2)

 

04/15/15

 

7.750

 

70,875

 

1,225

 

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

 

(B+, B2)

 

06/15/12

 

8.125

 

1,200,500

 

 

 

 

 

 

 

 

 

 

 

3,515,125

 

Food - Wholesale (1.6%)

 

 

 

 

 

 

 

 

 

825

 

Dole Food Co., Debentures§#

 

(B-, Caa1)

 

07/15/13

 

8.750

 

701,250

 

 



 

Par
(000)

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Food - Wholesale

 

 

 

 

 

 

 

 

 

$

175

 

Dole Food Co., Inc., Global Co. Guaranteed Notes (Callable 03/15/08 @ $102.22)

 

(B-, Caa1)

 

03/15/11

 

8.875

 

$

156,625

 

950

 

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

 

(B-, Caa1)

 

08/01/11

 

10.500

 

878,750

 

1,575

 

Smithfield Foods, Inc., Senior Unsecured Notes

 

(BB, Ba3)

 

07/01/17

 

7.750

 

1,496,250

 

 

 

 

 

 

 

 

 

 

 

3,232,875

 

Forestry & Paper (5.1%)

 

 

 

 

 

 

 

 

 

800

 

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

 

(B+, B2)

 

10/15/14

 

7.125

 

766,000

 

1,900

 

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

 

(B, B2)

 

03/15/10

 

9.750

 

1,786,000

 

250

 

Georgia-Pacific Corp., Debentures

 

(B, B2)

 

06/15/15

 

7.700

 

242,500

 

750

 

Georgia-Pacific Corp., Global Senior Notes

 

(B, B2)

 

01/15/24

 

8.000

 

690,000

 

300

 

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

 

(B, Ba3)

 

01/15/17

 

7.125

 

287,250

 

800

 

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

 

(B-, B3)

 

08/15/13

 

9.500

 

758,000

 

625

 

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

 

(B-, B3)

 

03/15/14

 

9.750

 

603,125

 

500

 

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

 

(B-, B2)

 

05/01/12

 

10.000

 

500,000

 

1,025

 

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

 

(CCC+, B3)

 

05/01/13

 

12.000

 

1,019,875

 

2,475

 

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

 

(B-, B3)

 

07/01/12

 

8.375

 

2,406,937

 

1,125

 

Verso Paper Holdings LLC/ Inc., Series B, Global Company Guaranteed Notes (Callable 08/01/11 @ $105.69)

 

(CCC+, B3)

 

08/01/16

 

11.375

 

1,080,000

 

75

 

Verso Paper Holdings LLC/ Inc., Series B, Global Secured Notes (Callable 08/01/10 @ $104.56)

 

(B+, B2)

 

08/01/14

 

9.125

 

73,125

 

 

 

 

 

 

 

 

 

 

 

10,212,812

 

Gaming (6.7%)

 

 

 

 

 

 

 

 

 

1,125

 

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

 

(B, B2)

 

12/15/14

 

9.375

 

945,000

 

200

 

Caesars Entertainment, Inc., Global Senior Subordinated Notes

 

(B-, Caa1)

 

03/15/10

 

7.875

 

189,250

 

1,225

 

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

 

(CCC+, B3)

 

08/01/13

 

8.000

 

1,102,500

 

290

 

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

 

(BB, Ba2)

 

11/15/19

 

7.250

 

275,500

 

625

 

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

 

(CCC+, Caa1)

 

06/15/15

 

10.250

 

471,875

 

900

 

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

 

(CCC+, Caa1)

 

06/01/12

 

8.125

 

378,000

 

750

 

Inn of the Mountain Gods, Global Senior Notes (Callable 03/31/08 @ $106.00)§

 

(B, B3)

 

11/15/10

 

12.000

 

750,000

 

1,450

 

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

 

(B-, B3)

 

06/15/14

 

9.750

 

1,283,250

 

525

 

Majestic Star Casino LLC, Company Guaranteed Notes (Callable 10/15/08 @ $102.38)

 

(B+, B2)

 

10/15/10

 

9.500

 

471,187

 

900

 

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

 

(CCC, Caa2)

 

01/15/11

 

9.750

 

544,500

 

1,275

 

Mashantucket Pequot Tribe, Rule 144A, Bonds (Callable 11/15/11 @ $104.25)‡

 

(BB+, Ba1)

 

11/15/15

 

8.500

 

1,217,625

 

250

 

MGM Mirage, Inc., Company Guaranteed Notes

 

(BB, Ba2)

 

04/01/16

 

6.875

 

232,500

 

1,000

 

MGM Mirage, Inc., Company Guaranteed Notes§

 

(BB, Ba2)

 

06/01/16

 

7.500

 

965,000

 

1,425

 

MGM Mirage, Inc., Company Guaranteed Notes

 

(BB, Ba2)

 

01/15/17

 

7.625

 

1,389,375

 

175

 

MGM Mirage, Inc., Global Company Guaranteed Notes

 

(BB, Ba2)

 

04/01/13

 

6.750

 

167,563

 

1,725

 

Tropicana Entertainment LLC., Global Senior Subordinated Notes (Callable 12/15/10 @ $104.81)§

 

(CCC+, Caa3)

 

12/15/14

 

9.625

 

1,052,250

 

1,250

 

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

 

(B, Caa1)

 

06/01/15

 

8.500

 

906,250

 

775

 

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

 

(B+, B1)

 

09/15/14

 

9.125

 

759,500

 

 


 


 

Par
(000)

 

 

Ratings 
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Gaming

 

 

 

 

 

 

 

 

 

$

400

 

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

 

(BBB-, Ba2)

 

12/01/14

 

6.625

 

$

387,500

 

 

 

 

 

 

 

 

 

 

 

13,488,625

 

Gas Distribution (1.9%)

 

 

 

 

 

 

 

 

 

500

 

Amerigas Partners LP, Senior Unsecured

 

(NR, B1)

 

05/20/15

 

7.250

 

496,250

 

1,625

 

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

 

(BB, Ba3)

 

07/15/11

 

7.750

 

1,679,376

 

825

 

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

 

(B+, B1)

 

03/01/16

 

8.250

 

845,625

 

700

 

Williams Partners LP, Global Senior Unsecured Notes§

 

(B+, Ba3)

 

02/01/17

 

7.250

 

728,000

 

 

 

 

 

 

 

 

 

 

 

3,749,251

 

Health Services (9.6%)

 

 

 

 

 

 

 

 

 

1,215

 

Bausch & Lomb, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/11 @ $104.94)‡

 

(B-, Caa1)

 

11/01/15

 

9.875

 

1,236,263

 

1,875

 

HCA, Inc., Global Secured Notes (Callable 11/15/11 @ $104.63)

 

(BB-, B2)

 

11/15/16

 

9.250

 

1,971,094

 

1,300

 

HCA, Inc., Global Senior Unsecured Notes

 

(B-, Caa1)

 

01/15/15

 

6.375

 

1,114,750

 

4,575

 

HCA, Inc., Global Senior Unsecured Notes§

 

(B-, Caa1)

 

02/15/16

 

6.500

 

3,905,906

 

1,050

 

HCA, Inc., Senior Unsecured Notes

 

(B-, Caa1)

 

02/15/13

 

6.250

 

942,375

 

1,275

 

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

 

(CCC+, Caa1)

 

06/15/16

 

10.750

 

1,335,562

 

850

 

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

 

(CCC+, B3)

 

06/15/14

 

8.750

 

854,250

 

800

 

Senior Housing Properties Trust, Senior Notes

 

(BB+, Ba1)

 

01/15/12

 

8.625

 

852,000

 

750

 

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

 

(B+, Ba3)

 

02/15/13

 

6.250

 

705,000

 

2,750

 

Tenet Healthcare Corp., Global Senior Notes

 

(CCC+, Caa1)

 

07/01/14

 

9.875

 

2,640,000

 

500

 

Tenet Healthcare Corp., Global Senior Notes#

 

(CCC+, Caa1)

 

02/01/15

 

9.250

 

462,500

 

500

 

Universal Hospital Services, Inc., Global Secured Notes (Callable 06/01/09 @ $102.00)#

 

(B+, B3)

 

06/01/15

 

8.288

 

477,500

 

325

 

Universal Hospital Services, Inc., Global Secured Notes (Callable 06/01/11 @ $104.25)#

 

(B+, B3)

 

06/01/15

 

8.500

 

329,875

 

1,600

 

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

 

(CCC+, Caa1)

 

10/01/14

 

9.000

 

1,524,000

 

1,025

 

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

 

(CCC+, Caa1)

 

07/15/15

 

10.250

 

963,500

 

 

 

 

 

 

 

 

 

 

 

19,314,575

 

Healthcare Services (1.0%)

 

 

 

 

 

 

 

 

 

1,925

 

Community Health Systems, Inc., Global Company Guaranteed Notes (Callable 07/15/11 @ $104.44)

 

(B-, B3)

 

07/15/15

 

8.875

 

1,946,656

 

Hotels (0.6%)

 

 

 

 

 

 

 

 

 

350

 

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

 

(BB, Ba1)

 

11/01/14

 

6.875

 

345,625

 

975

 

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

 

(BB, Ba1)

 

06/01/16

 

6.750

 

943,313

 

 

 

 

 

 

 

 

 

 

 

1,288,938

 

Household & Leisure Products (1.0%)

 

 

 

 

 

 

 

 

 

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

 

935,000

 

500

 

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

 

(CCC+, Caa1)

 

01/15/12

 

8.258

 

407,500

 

1,400

 

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

 

(CCC-, Caa3)

 

07/15/12

 

10.000

 

679,000

 

 

 

 

 

 

 

 

 

 

 

2,021,500

 

Industrial (0.4%)

 

 

 

 

 

 

 

 

 

1,075

 

WMG Acquisition Corp., Global Senior Subordinated Notes (Callable 04/15/09 @ $103.69)

 

(B, B2)

 

04/15/14

 

7.375

 

843,875

 

Leisure (0.9%)

 

 

 

 

 

 

 

 

 

500

 

Bluegreen Corp., Series B, Company Guaranteed Notes

 

(B-, B3)

 

04/01/08

 

10.500

 

503,125

 

875

 

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

 

(CCC-, Caa2)

 

02/01/10

 

8.875

 

645,313

 

 



 

Par
(000)

 

 

Ratings 
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Leisure

 

 

 

 

 

 

 

 

 

 

 

$

175

 

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

 

(CCC-, Caa2)

 

04/15/13

 

9.750

 

$

119,875

 

900

 

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

 

(CCC-, Caa2)

 

06/01/14

 

9.625

 

605,250

 

 

 

 

 

 

 

 

 

 

 

1,873,563

 

Machinery (0.6%)

 

 

 

 

 

 

 

 

 

875

 

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

 

(B, B3)

 

02/15/17

 

8.625

 

853,125

 

450

 

Terex Corp., Senior Subordinated Notes (Callable 11/15/12 @ $104.00)§

 

(B+, Ba3)

 

11/15/17

 

8.000

 

444,375

 

 

 

 

 

 

 

 

 

 

 

1,297,500

 

Media (0.0%)

 

 

 

 

 

 

 

 

 

35

 

American Media Operations, Inc., Series B, Rlue 144A, Global Company Guaranteed Notes (Callable 03/28/08 @ $100.00)‡

 

(CCC, Caa2)

 

05/01/09

 

10.250

 

26,500

 

Media - Broadcast (3.9%)

 

 

 

 

 

 

 

 

 

700

 

Allbritton Communications Co., Global Senior Subordinated Notes (Callable 03/31/08 @ $103.88)

 

(B-, B1)

 

12/15/12

 

7.750

 

701,750

 

1,325

 

Barrington Broadcasting, Global Company Guaranteed Notes (Callable 08/15/10 @ 105.25)

 

(CCC+, B3)

 

08/15/14

 

10.500

 

1,318,375

 

925

 

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

 

(CCC, Caa1)

 

05/15/14

 

9.875

 

642,875

 

475

 

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

 

(B-, B2)

 

09/15/14

 

8.625

 

482,125

 

1,375

 

ION Media Networks, Inc., Rule 144A, Secured Notes (Callable 03/31/08 @ $102.00)‡#

 

(CCC-, Caa1)

 

01/15/13

 

10.508

 

1,192,813

 

925

 

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

 

(CCC+, Caa1)

 

06/15/15

 

9.250

 

814,000

 

1,625

 

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

 

(CCC+, B3)

 

03/15/15

 

9.750

 

1,222,812

 

600

 

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

 

(CCC, Caa1)

 

05/01/13

 

9.411

 

516,000

 

1,525

 

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

 

(CCC-, Caa2)

 

01/15/14

 

8.750

 

1,044,625

 

 

 

 

 

 

 

 

 

 

 

7,935,375

 

Media - Cable (6.3%)

 

 

 

 

 

 

 

 

 

1,875

 

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

 

(CCC+, Caa1)

 

01/15/14

 

9.375

 

1,696,875

 

1,650

 

CCH I Holdings LLC, Global Company Guaranteed Notes (Callable 03/27/08 @ $100.00)§

 

(CCC, Caa3)

 

04/01/14

 

9.920

 

841,500

 

2,675

 

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

 

(CCC, Caa2)

 

10/01/15

 

11.000

 

1,929,344

 

1,600

 

CCH II LLC, Series B, Global Senior Unsecured Notes (Callable 09/15/08 @ $105.13)

 

(CCC, Caa1)

 

09/15/10

 

10.250

 

1,516,000

 

792

 

Charter Communications Holdings LLC, Senior Discount Notes (Callable 03/27/08 @ $100.00)§#

 

(CCC, Ca)

 

04/01/11

 

9.920

 

498,960

 

1,275

 

CSC Holdings, Inc., Global Senior Unsecured Notes

 

(B+, B2)

 

04/15/12

 

6.750

 

1,214,437

 

1,150

 

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

 

(B+, B2)

 

04/01/11

 

7.625

 

1,144,250

 

1,100

 

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

 

(BB-, Ba3)

 

03/15/13

 

8.375

 

1,142,625

 

1,150

 

EchoStar DBS Corp., Global Company Guaranteed Notes

 

(BB-, Ba3)

 

10/01/14

 

6.625

 

1,125,562

 

775

 

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

 

(B-, B3)

 

10/15/15

 

8.500

 

639,375

 

825

 

Mediacom LLC/Capital Corp., Senior Notes (Callable 2/15/08 @ $100.00)

 

(B-, B3)

 

02/15/11

 

7.875

 

740,438

 

150

 

Mediacom LLC/Capital Corp., Senior Unsecured Notes (Callable 01/15/09 @ $100.00)

 

(B-, B3)

 

01/15/13

 

9.500

 

134,625

 

 

 

 

 

 

 

 

 

 

 

12,623,991

 

Metals & Mining - Excluding Steel (2.8%)

 

 

 

 

 

 

 

 

 

225

 

Aleris International, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ $104.50)

 

(B-, B3)

 

12/15/14

 

9.000

 

176,625

 

1,100

 

Aleris International, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $105.00)

 

(B-, Caa1)

 

12/15/16

 

10.000

 

778,250

 

 



 

Par
(000)

 

 

Ratings 
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Metals & Mining - Excluding Steel

 

 

 

 

 

 

 

 

 

$

850

 

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

 

(B-, B3)

 

06/01/12

 

10.000

 

$

877,625

 

775

 

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

 

(BB, Ba3)

 

04/01/15

 

8.250

 

814,719

 

1,075

 

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

 

(BB, Ba3)

 

04/01/17

 

8.375

 

1,144,875

 

482

 

GrafTech Finance, Inc., Global Company Guaranteed Notes (Callable 03/27/08 @ $103.42)

 

(B, B2)

 

02/15/12

 

10.250

 

501,280

 

1,700

 

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

 

(CCC+, B3)

 

05/15/15

 

8.738

 

1,300,500

 

 

 

 

 

 

 

 

 

 

 

5,593,874

 

Multi-Line Insurance (0.4%)

 

 

 

 

 

 

 

 

 

800

 

MBIA Insurance Corp., Rule 144A, Subordinated Notes (Callable 01/15/13 @ $100.00)‡§#

 

(AA, Aa2)

 

01/15/33

 

14.000

 

748,795

 

Non-Food & Drug Retailers (5.5%)

 

 

 

 

 

 

 

 

 

1,589

 

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

 

(CCC+, Caa1)

 

02/15/12

 

10.875

 

1,580,761

 

900

 

Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 03/15/12 @ $103.81)

 

(B, B3)

 

03/15/17

 

7.625

 

733,500

 

1,350

 

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

 

(B, Caa1)

 

10/15/12

 

12.000

 

1,221,750

 

690

 

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

 

(CCC+, Caa1)

 

06/01/15

 

9.625

 

389,850

 

850

 

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

 

(BB, Ba3)

 

10/01/12

 

8.000

 

886,125

 

505

 

Michaels Stores, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $105.00)§

 

(CCC, B2)

 

11/01/14

 

10.000

 

451,975

 

1,120

 

Michaels Stores, Inc., Global Company Guaranteed Notes (Callable 11/01/11 @ $105.69)§

 

(CCC, Caa1)

 

11/01/16

 

11.375

 

912,800

 

1,585

 

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

 

(B, B3)

 

10/15/15

 

10.375

 

1,585,000

 

1,000

 

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

 

(NR, NR)

 

08/01/09

 

11.875

 

57,500

 

600

 

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

 

(B-, B3)

 

12/15/13

 

12.000

 

597,750

 

863

 

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

 

(B, B3)

 

12/15/13

 

10.625

 

888,890

 

600

 

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

 

(B, B3)

 

12/15/13

 

10.625

 

618,000

 

100

 

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

 

(CCC+, B3)

 

02/15/15

 

8.500

 

86,000

 

1,225

 

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

 

(CCC+, Caa1)

 

02/15/17

 

9.750

 

1,004,500

 

 

 

 

 

 

 

 

 

 

 

11,014,401

 

Office Equipment (0.5%)

 

 

 

 

 

 

 

 

 

550

 

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

 

(BB, Ba3)

 

09/15/15

 

7.750

 

561,000

 

475

 

IKON Office Solutions, Inc., Rule 144A, Senior Unsecured (Callable 03/27/08 @ 100.00)‡#

 

(BB, Ba3)

 

01/01/12

 

9.926

 

471,438

 

 

 

 

 

 

 

 

 

 

 

1,032,438

 

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

 

837,375

 

Packaging (3.3%)

 

 

 

 

 

 

 

 

 

400

 

Berry Petroleum Co., Senior Subordinated Notes (Callable 11/01/11 @ $104.13)

 

(B, B3)

 

11/01/16

 

8.250

 

408,000

 

850

 

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

 

(CCC+, Caa2)

 

03/01/16

 

10.250

 

641,750

 

955

 

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

 

(B, B3)

 

09/15/14

 

8.875

 

852,338

 

 



 

Par
(000)

 

 

Ratings 
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Packaging

 

 

 

 

 

 

 

 

 

$

1,625

 

Constar International, Inc., Senior Subordinated Notes (Callable 03/27/08 @ $105.50)

 

(CCC, Caa2)

 

12/01/12

 

11.000

 

$

1,100,937

 

325

 

Crown Cork & Seal Co., Inc., Debentures Notes (Callable 04/15/08 @ $101.91)

 

(B, B2)

 

04/15/23

 

8.000

 

306,313

 

50

 

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

 

(CCC+, Caa1)

 

10/15/12

 

8.500

 

44,250

 

1,225

 

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

 

(CCC+, Caa1)

 

10/15/14

 

9.875

 

1,041,250

 

200

 

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

 

(B, B3)

 

05/15/13

 

8.250

 

208,000

 

700

 

Pliant Corp., Global Company Guaranteed Notes (Callable 03/31/08 @ $105.56)§

 

(CCC, Caa1)

 

09/01/09

 

11.125

 

572,250

 

1

 

Pliant Corp., Global Senior Secured Notes (Callable 03/31/08 @ $108.72)

 

(B, NR)

 

06/15/09

 

11.625

 

661

 

1,825

 

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

 

(CCC-, Caa2)

 

02/15/14

 

8.500

 

1,501,062

 

 

 

 

 

 

 

 

 

 

 

6,676,811

 

Printing & Publishing (4.6%)

 

 

 

 

 

 

 

 

 

975

 

American Media Operations, Inc., Series B, Global Company Guaranteed Notes (Callable 03/07/08 @ $100.00)§

 

(CCC-, Caa2)

 

05/01/09

 

10.250

 

728,812

 

700

 

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

 

(B, B2)

 

11/15/13

 

0.000

 

624,750

 

1,500

 

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

 

(B+, B2)

 

11/15/16

 

8.000

 

1,350,000

 

2,425

 

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

 

(B, B3)

 

01/15/13

 

6.875

 

2,049,125

 

750

 

R.H. Donnelley Corp., Rule 144A, Senior Notes (Callable 10/15/12 @ $104.44)‡

 

(B, B3)

 

10/15/17

 

8.875

 

639,375

 

900

 

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

 

(B, B3)

 

01/15/13

 

6.875

 

760,500

 

250

 

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

 

(B, B3)

 

01/15/16

 

8.875

 

215,625

 

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

 

1,088,500

 

1,300

 

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

 

(CCC+, Caa1)

 

01/15/15

 

10.500

 

1,189,500

 

635

 

Valassis Communications, Inc., Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13)§

 

(B-, B3)

 

03/01/15

 

8.250

 

530,225

 

 

 

 

 

 

 

 

 

 

 

9,176,412

 

Restaurants (0.5%)

 

 

 

 

 

 

 

 

 

920

 

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

 

(CCC, Caa3)

 

11/01/14

 

12.500

 

64,400

 

775

 

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

 

(B-, B3)

 

10/01/12

 

10.000

 

732,375

 

425

 

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

 

(CCC+, Caa1)

 

06/15/15

 

10.000

 

269,875

 

 

 

 

 

 

 

 

 

 

 

1,066,650

 

Software (0.8%)

 

 

 

 

 

 

 

 

 

1,875

 

First Data Corp., Rule 144A, Company Guaranteed Notes (Callable 09/30/11 @ $104.94)‡

 

(B-, B3)

 

09/24/15

 

9.875

 

1,661,719

 

Software/Services (2.0%)

 

 

 

 

 

 

 

 

 

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

 

1,150

 

Unisys Corp., Senior Unsubordinated Notes (Callable 01/15/12 @ $106.25)

 

(B+, B2)

 

01/15/16

 

12.500

 

1,137,062

 

 

 

 

 

 

 

 

 

 

 

3,925,937

 

Steel Producers/Products (2.4%)

 

 

 

 

 

 

 

 

 

1,325

 

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

 

(BB-, B1)

 

06/15/12

 

7.750

 

1,325,000

 

 



 

Par
(000)

 

 

Ratings 
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Steel Producers/Products

 

 

 

 

 

 

 

 

 

$

1,150

 

PNA Group, Inc., Global Senior Unsecured Notes (Callable 09/01/11 @ $105.38)

 

(B-, B3)

 

09/01/16

 

10.750

 

$

1,040,750

 

400

 

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

 

(B-, Caa1)

 

02/15/13

 

11.869

 

364,000

 

1,275

 

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

 

(B-, B3)

 

02/15/14

 

11.250

 

1,262,250

 

775

 

Ryerson, Inc., Senior Notes

 

(B+, B2)

 

11/01/15

 

12.000

 

732,375

 

 

 

 

 

 

 

 

 

 

 

4,724,375

 

Support-Services (6.8%)

 

 

 

 

 

 

 

 

 

1,250

 

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

 

(CCC+, Caa1)

 

07/15/11

 

11.375

 

1,134,375

 

300

 

ARAMARK Corp., Global Company Guaranteed Notes#

 

(B-, B3)

 

02/01/15

 

8.411

 

270,000

 

925

 

ARAMARK Corp., Global Company Guaranteed Notes (Callable 02/01/11 @ $104.25)

 

(B-, B3)

 

02/01/15

 

8.500

 

925,000

 

400

 

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

 

(B, B1)

 

08/15/16

 

9.000

 

336,000

 

150

 

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

 

(CCC+, B2)

 

06/01/14

 

8.750

 

145,125

 

1,075

 

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

 

(CCC+, Caa1)

 

06/01/16

 

10.250

 

1,029,312

 

500

 

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

 

(B, B1)

 

01/01/14

 

8.875

 

485,000

 

600

 

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

 

(B, B2)

 

01/01/16

 

10.500

 

579,750

 

750

 

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

 

(B, B3)

 

04/01/13

 

8.625

 

761,250

 

200

 

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

 

(B, B3)

 

01/01/16

 

6.625

 

191,500

 

1,500

 

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

 

(CCC+, Caa1)

 

05/15/13

 

10.670

 

1,477,500

 

775

 

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

 

(CCC, B3)

 

05/01/14

 

8.750

 

693,625

 

675

 

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

 

(CCC, Caa1)

 

05/01/15

 

10.000

 

567,000

 

1,050

 

Mobile Services Group, Inc., Global Company Guaranteed Notes (Callable 08/01/10 @ $104.88)

 

(B-, B3)

 

08/01/14

 

9.750

 

897,750

 

1,110

 

Neff Corp., Global Company Guaranteed Notes (Callable 06/01/11 @ $105.00)§

 

(B-, Caa2)

 

06/01/15

 

10.000

 

532,800

 

1,125

 

Rental Service Corp., Global Company Guaranteed Notes (Callable 12/01/10 @ $104.75)

 

(B-, Caa1)

 

12/01/14

 

9.500

 

959,062

 

1,875

 

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

 

(CCC+, Caa1)

 

09/01/16

 

11.875

 

1,790,625

 

425

 

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

 

(B+, B1)

 

02/15/12

 

6.500

 

393,125

 

725

 

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

 

(B, B3)

 

02/15/14

 

7.000

 

585,438

 

 

 

 

 

 

 

 

 

 

 

13,754,237

 

Telecom - Fixed Line (1.5%)

 

 

 

 

 

 

 

 

 

2,225

 

Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $102.00)#

 

(CCC+, Caa1)

 

02/15/15

 

9.150

 

1,668,750

 

450

 

Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 03/15/10 @ $106.13)§

 

(CCC+, Caa1)

 

03/15/13

 

12.250

 

439,313

 

50

 

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

 

(CCC+, Caa1)

 

11/01/14

 

9.250

 

43,250

 

775

 

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

 

(CCC+, B3)

 

02/15/14

 

9.250

 

778,875

 

 

 

 

 

 

 

 

 

 

 

2,930,188

 

Telecom - Integrated/Services (3.9%)

 

 

 

 

 

 

 

 

 

1,550

 

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

 

(B-, B2)

 

01/15/14

 

8.375

 

1,488,000

 

 



 

Par
(000)

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Telecom - Integrated/Services

 

 

 

 

 

 

 

 

 

$

700

 

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

 

(CCC, Caa1)

 

05/01/15

 

12.500

 

$

626,500

 

1,100

 

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

 

(B-, B1)

 

04/15/14

 

9.500

 

1,094,500

 

900

 

Paetec Holding Corp.,Series WI, Global Company Guaranteed Notes (Callable 07/15/11 @ $104.75)

 

(CCC+, Caa1)

 

07/15/15

 

9.500

 

843,750

 

2,250

 

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

 

(BB, Ba3)

 

02/15/14

 

7.500

 

2,238,750

 

350

 

Windstream Corp., Global Company Guaranteed Notes

 

(BB-, Ba3)

 

08/01/13

 

8.125

 

360,500

 

125

 

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

 

(BB-, Ba3)

 

03/15/19

 

7.000

 

117,812

 

1,100

 

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

 

(BB-, Ba3)

 

08/01/16

 

8.625

 

1,144,000

 

 

 

 

 

 

 

 

 

 

 

7,913,812

 

Telecom - Wireless (1.5%)

 

 

 

 

 

 

 

 

 

675

 

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

 

(CCC+, B2)

 

06/15/13

 

10.125

 

693,563

 

1,025

 

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

 

(CCC, Caa1)

 

11/01/14

 

9.375

 

937,875

 

675

 

Rural Cellular Corp., Global Senior Subordinated Notes (Callable 06/01/08 @ $102.00)#

 

(CCC, Caa2)

 

06/01/13

 

8.124

 

685,125

 

650

 

SunCom Wireless Holdings, Inc., Global Company Guaranteed Notes (Callable 06/01/08 @ $104.25)

 

(CCC, Caa2)

 

06/01/13

 

8.500

 

672,750

 

 

 

 

 

 

 

 

 

 

 

2,989,313

 

Textiles & Apparel (0.6%)

 

 

 

 

 

 

 

 

 

1,300

 

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

 

(B+, B2)

 

01/15/15

 

9.750

 

1,270,750

 

Theaters & Entertainment (0.7%)

 

 

 

 

 

 

 

 

 

1,675

 

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

 

(CCC+, B2)

 

03/01/14

 

8.000

 

1,478,188

 

TOTAL U.S. CORPORATE BONDS (Cost $290,611,678)

 

 

 

 

 

 

 

263,924,728

 

 

 

 

 

 

 

 

 

 

 

FOREIGN CORPORATE BONDS (13.6%)

 

 

 

 

 

 

 

 

 

Building Materials (0.1%)

 

 

 

 

 

 

 

 

 

1,000

 

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

 

(NR, Ca)

 

06/15/12

 

9.750

 

270,000

 

Chemicals (1.2%)

 

 

 

 

 

 

 

 

 

1,850

 

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

 

(B-, B3)

 

08/15/15

 

8.375

 

1,406,000

 

1,350

 

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

 

(B-, B3)

 

02/15/16

 

8.500

 

1,059,750

 

 

 

 

 

 

 

 

 

 

 

2,465,750

 

Electronics (2.1%)

 

 

 

 

 

 

 

 

 

450

 

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

 

(BB-, B2)

 

12/01/13

 

10.125

 

470,250

 

775

 

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

 

(B, Caa1)

 

12/01/15

 

11.875

 

813,750

 

1,000

 

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

 

(CCC-, Caa1)

 

02/01/11

 

9.250

 

800,000

 

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

 

1,796,312

 

350

 

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

 

(BB, Ba3)

 

10/15/14

 

7.875

 

322,438

 

 

 

 

 

 

 

 

 

 

 

4,202,750

 

Energy - Exploration & Production (0.4%)

 

 

 

 

 

 

 

 

 

875

 

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

 

(BB+, B1)

 

12/15/14

 

8.250

 

861,875

 

 



 

Par
(000)

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

FOREIGN CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Forestry & Paper (1.2%)

 

 

 

 

 

 

 

 

 

$

600

 

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

 

(B, B3)

 

06/15/11

 

7.750

 

$

460,500

 

500

 

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

 

(B, B3)

 

04/01/15

 

8.375

 

356,250

 

850

 

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

 

(B, B3)

 

11/15/11

 

7.950

 

665,125

 

1,000

 

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

 

(B, B2)

 

04/01/15

 

7.750

 

925,000

 

 

 

 

 

 

 

 

 

 

 

2,406,875

 

Leisure (0.6%)

 

 

 

 

 

 

 

 

 

1,175

 

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

 

(CCC+, B3)

 

07/15/14

 

10.625

 

1,192,625

 

Media - Cable (1.0%)

 

 

 

 

 

 

 

 

 

150

 

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

 

(B-, B2)

 

08/15/16

 

9.125

 

136,500

 

675

 

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

 

(B-, Caa2)

 

02/15/15

 

10.125

 

976,918

 

500

 

Virgin Media Finance PLC, Global Company Guaranteed Notes (Callable 04/15/09 @ $104.88) (United Kingdom)

 

(B-, B2)

 

04/15/14

 

9.750

 

867,265

 

 

 

 

 

 

 

 

 

 

 

1,980,683

 

Media - Diversified (0.3%)

 

 

 

 

 

 

 

 

 

725

 

Quebecor Media, Inc., Rule 144A, Notes (Canada)‡

 

(B, B2)

 

03/15/16

 

7.750

 

676,063

 

Oil Refining & Marketing (0.6%)

 

 

 

 

 

 

 

 

 

875

 

Petroplus Finance, Ltd., Rule 144A, Company Guaranteed Notes (Callable 05/01/11 @ $103.38) (Bermuda)‡

 

(BB-, B1)

 

05/01/14

 

6.750

 

805,000

 

400

 

Petroplus Finance, Ltd., Rule 144A, Company Guaranteed Notes (Callable 05/01/12 @ $103.50) (Bermuda)‡

 

(BB-, B1)

 

05/01/17

 

7.000

 

365,000

 

 

 

 

 

 

 

 

 

 

 

1,170,000

 

Pharmaceuticals (0.4%)

 

 

 

 

 

 

 

 

 

775

 

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

 

(B, B3)

 

12/01/13

 

8.875

 

744,000

 

150

 

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

 

(B, B3)

 

11/15/11

 

7.750

 

141,750

 

 

 

 

 

 

 

 

 

 

 

885,750

 

Support-Services (0.7%)

 

 

 

 

 

 

 

 

 

1,000

 

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

 

(B, B1)

 

08/01/15

 

8.625

 

825,000

 

525

 

Carlson Wagonlit BV, Rule 144A, Senior Notes (Callable 11/01/08 @ $102.00) (Netherlands)‡#

 

(B-, B2)

 

05/01/15

 

10.357

 

664,604

 

 

 

 

 

 

 

 

 

 

 

1,489,604

 

Telecom - Integrated/Services (3.1%)

 

 

 

 

 

 

 

 

 

1,550

 

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

 

(B-, B3)

 

12/15/14

 

10.750

 

1,588,750

 

550

 

Hellas II, Rule 144A, Subordinated Notes (Callable 03/24/08 @ $102.00) (Luxembourg)‡#

 

(CCC+, Caa1)

 

01/15/15

 

10.008

 

448,250

 

900

 

Intelsat Bermuda, Ltd., Global Company Guaranteed (Callable 02/7/08 @ $102.00) (Bermuda)#

 

(B, Caa1)

 

01/15/15

 

7.581

 

904,500

 

450

 

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

 

(B-, Caa3)

 

11/01/13

 

6.500

 

299,250

 

2,200

 

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

 

(B-, Caa2)

 

06/15/16

 

11.250

 

2,211,000

 

650

 

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

 

(B, B2)

 

05/01/16

 

8.875

 

663,000

 

 

 

 

 

 

 

 

 

 

 

6,114,750

 

Telecom - Wireless (0.5%)

 

 

 

 

 

 

 

 

 

1,175

 

MetroPCS Wireless, Inc., Global Senior Unsecured Notes (Callable 11/01/10 @ $104.63)

 

(CCC, Caa1)

 

11/01/14

 

9.250

 

1,086,875

 

 



 

Par
(000)

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

FOREIGN CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Telecommunication Equipment (0.4%)

 

 

 

 

 

 

 

 

 

$

850

 

Nortel Networks, Ltd., Global Company Guaranteed Notes (Canada)#

 

(B-, B3)

 

07/15/11

 

8.508

 

$

794,750

 

Textiles & Apparel (0.1%)

 

 

 

 

 

 

 

 

 

75

 

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

 

(CCC, B3)

 

11/15/12

 

9.875

 

83,284

 

Transportation - Excluding Air/Rail (0.9%)

 

 

 

 

 

 

 

 

 

1,725

 

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

 

(B+, B1)

 

12/15/13

 

8.500

 

1,737,937

 

TOTAL FOREIGN CORPORATE BONDS (Cost $30,399,802)

 

 

 

 

 

 

 

27,419,571

 

 

 

 

 

 

 

 

 

 

 

Number of
Shares

 

 

 

 

 

 

 

 

 

 

COMMON STOCKS (0.4%)

 

 

 

Automobile Parts & Equipment (0.0%)

 

 

 

774,557

 

Cambridge Industries Liquidating Trust*^

 

0

 

Chemicals (0.1%)

 

 

 

4,893

 

Huntsman Corp.

 

118,606

 

Electric - Integrated (0.2%)

 

 

 

14,950

 

Mirant Corp.*

 

550,758

 

Steel Producers/Products (0.1%)

 

 

 

8,414

 

WCI Steel Acquisition, Inc.*

 

193,522

 

TOTAL COMMON STOCKS (Cost $531,967)

 

862,886

 

 

 

 

 

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%)

 

 

 

3,000

 

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

 

535

 

TOTAL WARRANTS (Cost $3,772,613)

 

2,578

 

 

 

 

 

SHORT-TERM INVESTMENTS (42.1%)

 

 

 

83,076,495

 

State Street Navigator Prime Portfolio§§

 

83,076,495

 

 

 

 

 

 

 

Par
(000)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

1,557

 

State Street Bank and Trust Co. Euro Time Deposit

 

 

 

02/01/08

 

1.850

 

1,557,000

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL SHORT-TERM INVESTMENTS (Cost $84,633,495)

 

 

 

 

 

 

 

84,633,495

 

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS AT VALUE (187.4%) (Cost $409,949,555)

 

 

 

 

 

 

 

376,843,258

 

 

 

 

 

 

 

 

 

 

 

LIABILITIES IN EXCESS OF OTHER ASSETS (-87.4%)

 

 

 

 

 

 

 

(175,769,412

)

 

 

 

 

 

 

 

 

 

 

NET ASSETS (100.0%)

 

 

 

 

 

 

 

$

201,073,846

 

 

OPEN FORWARD FOREIGN CURRENCY CONTRACTS

 

Forward Foreign
Currency Contract

 

Expiration
Date

 

Foreign Currency To Be
Purchased/(Sold)

 

Contract
Amount

 

Contract
Value

 

Unrealized
Gain (Loss)

 

European Economic Unit

 

4/10/08

 

 (1,305,000

)

$

(1,920,438

)

$

(1,928,035

)

$

(7,597

)

 



 

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, 2008, these securities amounted to a value of $39,477,810 or 19.6% of net assets.

+

 

Step Bond — The interest rate stated is as of January 31, 2008 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 January 31, 2008.

§

 

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 January 31, 2008, 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 $149,578 and fair value of $191,144. 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, 2008, 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 $409,949,555, $1,966,073, $(35,072,370) and $(33,106,297), 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/Lawrence D. Haber

 

Name:

Lawrence D. Haber

Title:

Chief Executive Officer

Date:

March 28, 2008

 

 

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/Lawrence D. Haber

 

Name:

Lawrence D. Haber

Title:

Chief Executive Officer

Date:

March 28, 2008

 

/s/Michael A. Pignataro

 

Name:

Michael A. Pignataro

Title:

Chief Financial Officer

Date:

March 28, 2008

 


EX-99.CERT 2 a08-6804_12ex99dcert.htm EX-99.CERT

Exhibit 99.CERT

 

I, Lawrence D. Haber, 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:       March 28, 2008

 

 

/s/Lawrence D. Haber

 

Name:

Lawrence D. Haber

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:       March 28, 2008

 

 

/s/Michael A. Pignataro

 

Name:

Michael A. Pignataro

 

Title:

Chief Financial Officer

 


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