N-Q 1 a09-24220_6nq.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, 2009 to July 31, 2009

 

 


 

Item 1:   Schedule of Investments

 


 

Credit Suisse High Yield Bond Fund

Schedule of Investments

July 31, 2009 (unaudited)

 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS (111.9%)

 

 

 

 

 

 

 

 

 

Aerospace & Defense (1.0%)

 

 

 

 

 

 

 

 

 

$

575

 

BE Aerospace, Inc., Senior Unsecured Notes (Callable 07/01/13 @ $104.25)

 

(BB+, Ba3)

 

07/01/18

 

8.500

 

$

573,563

 

750

 

Hawker Beechcraft Acquisition Co., Global Company Guaranteed Notes (Callable 04/01/11 @ $104.25)

 

(CCC-, Caa3)

 

04/01/15

 

8.500

 

440,625

 

825

 

Hawker Beechcraft Acquisition Co., Global Company Guaranteed Notes (Callable 04/01/12 @ $104.88)

 

(CCC-, Ca)

 

04/01/17

 

9.750

 

416,625

 

 

 

 

 

 

 

 

 

1,430,813

 

Agriculture (0.4%)

 

 

 

 

 

 

 

 

 

650

 

Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 11/01/09 @ $100.00)‡

 

(B-, B3)

 

11/01/11

 

11.000

 

601,250

 

 

 

 

 

 

 

 

 

 

 

Auto Loans (3.1%)

 

 

 

 

 

 

 

 

 

725

 

Ford Motor Credit Co. LLC, Global Senior Unsecured Notes

 

(CCC+, Caa1)

 

06/15/10

 

7.875

 

714,471

 

775

 

Ford Motor Credit Co. LLC, Global Senior Unsecured Notes

 

(CCC+, Caa1)

 

08/01/12

 

7.500

 

715,754

 

2,685

 

Ford Motor Credit Co. LLC, Global Senior Unsecured Notes

 

(CCC+, Caa1)

 

10/01/13

 

7.000

 

2,403,032

 

325

 

Ford Motor Credit Co. LLC, Senior Unsecured Notes

 

(CCC+, Caa1)

 

08/10/11

 

9.875

 

322,170

 

100

 

Ford Motor Credit Co. LLC, Senior Unsecured Notes

 

(CCC+, Caa1)

 

12/15/16

 

8.000

 

89,752

 

 

 

 

 

 

 

 

 

 

 

4,245,179

 

Auto Parts & Equipment (3.1%)

 

 

 

 

 

 

 

 

 

975

 

Altra Industrial Motion, Inc., Global Senior Secured Notes (Callable 12/01/09 @ $102.25)

 

(B+, B1)

 

12/01/11

 

9.000

 

967,687

 

775

 

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

 

(CCC-, Ca)

 

03/01/17

 

7.875

 

251,875

 

1,200

 

American Tire Distributors, Inc., Global Company Guarnteed Notes (Callable 04/01/10 @ $102.69)

 

(CCC+, Caa1)

 

04/01/13

 

10.750

 

1,008,000

 

800

 

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

 

(CCC, Caa1)

 

08/15/14

 

10.000

 

652,000

 

525

 

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

 

(CCC, Caa2)

 

11/15/14

 

8.625

 

454,125

 

848

 

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

 

(B+, B1)

 

07/01/15

 

9.000

 

864,960

 

50

 

The Goodyear Tire & Rubber Co., Senior Unsecured Notes (Callable 05/15/12 @ $107.88)

 

(B+, B1)

 

05/15/16

 

10.500

 

53,875

 

 

 

 

 

 

 

 

 

 

 

4,252,522

 

Banks (3.8%)

 

 

 

 

 

 

 

 

 

800

 

CIT Group, Inc., Senior Unsecured Notes#

 

(CC, Ca)

 

02/13/12

 

1.170

 

428,261

 

1,450

 

CIT Group, Inc., Senior Unsecured Notes

 

(CC, Ca)

 

02/13/12

 

5.400

 

795,774

 

2,390

 

GMAC LLC, Rule 144A, Company Guaranteed Notes‡

 

(CCC, Ca)

 

03/02/11

 

7.250

 

2,276,475

 

744

 

GMAC LLC, Rule 144A, Company Guaranteed Notes‡

 

(CCC, Ca)

 

04/01/11

 

6.000

 

686,340

 

47

 

GMAC LLC, Rule 144A, Company Guaranteed Notes‡

 

(CCC, Ca)

 

12/15/11

 

6.000

 

42,535

 

99

 

GMAC LLC, Rule 144A, Company Guaranteed Notes‡

 

(CCC, Ca)

 

12/31/13

 

7.500

 

85,140

 

1,007

 

GMAC LLC, Rule 144A, Company Guaranteed Notes‡

 

(CCC, Ca)

 

12/01/14

 

6.750

 

876,090

 

119

 

GMAC LLC, Rule 144A, Subordinated Notes‡

 

(CC, Ca)

 

12/31/18

 

8.000

 

91,630

 

 

 

 

 

 

 

 

 

 

 

5,282,245

 

Beverages (0.5%)

 

 

 

 

 

 

 

 

 

675

 

Constellation Brands, Inc., Company Guaranteed Notes

 

(BB-, Ba3)

 

09/01/16

 

7.250

 

664,875

 

 

 

 

 

 

 

 

 

 

 

 

 

Brokerage (0.4%)

 

 

 

 

 

 

 

 

 

475

 

E*TRADE Financial Corp., Global Senior Unsecured Notes (Callable 6/15/10 @ $100.00)

 

(CC, B3)

 

06/15/11

 

8.000

 

543,875

 

 

 

 

 

 

 

 

 

 

 

Building & Construction (1.8%)

 

 

 

 

 

 

 

 

 

741

 

Ashton Woods Finance Co., Rule 144A, Senior Subordinated Notes (Callable 02/24/14 @ $105.50)+‡

 

(NR, NR)

 

06/30/15

 

0.000

 

166,725

 

150

 

D.R. Horton, Inc., Company Guaranteed Notes

 

(BB-, Ba3)

 

05/01/13

 

6.875

 

146,250

 

625

 

K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes

 

(D, Caa2)

 

01/15/16

 

6.250

 

334,375

 

825

 

Meritage Homes Corp., Global Company Guaranteed Notes (Callable 03/15/10 @ $103.13)

 

(B+, B1)

 

03/15/15

 

6.250

 

678,563

 

950

 

Standard Pacific Corp., Company Guaranteed Notes

 

(CCC-, Caa1)

 

04/01/14

 

6.250

 

707,750

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Building & Construction

 

 

 

 

 

 

 

 

 

$

1,000

 

William Lyon Homes, Inc., Company Guaranteed Notes (Callable 04/01/10 @ $101.79)

 

(CC, Caa3)

 

04/01/13

 

10.750

 

$

375,000

 

 

 

 

 

 

 

 

 

 

 

2,408,663

 

Building Materials (2.3%)

 

 

 

 

 

 

 

 

 

1,000

 

AMH Holdings Inc., Global Senior Discount Notes (Callable 03/01/10 @ $103.75)

 

(CCC-, Caa2)

 

03/01/14

 

11.250

 

430,000

 

700

 

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

 

(B+, B3)

 

08/01/14

 

7.750

 

648,375

 

1,035

 

CPG International I, Inc., Global Company Guaranteed Notes (Callable 07/01/10 @ $102.63)

 

(B-, Caa1)

 

07/01/13

 

10.500

 

740,025

 

500

 

Dayton Superior Corp., Company Guaranteed Notesø

 

(D, NR)

 

06/15/09

 

13.000

 

156,250

 

325

 

Norcraft Finance Corp., Global Company Guaranteed Notes (Callable 11/01/09 @ $100.00)

 

(B+, Ba3)

 

11/01/11

 

9.000

 

325,813

 

250

 

Norcraft Holdings, Global Senior Discount Notes (Callable 09/01/09 @ $102.44)

 

(CCC+, Caa1)

 

09/01/12

 

9.750

 

238,750

 

825

 

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

 

(CC, Caa3)

 

09/01/14

 

8.500

 

301,125

 

1,000

 

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

 

(C, Ca)

 

03/01/14

 

0.000

 

70,000

 

250

 

Ply Gem Industries, Inc., Global Senior Secured Notes (Callable 04/01/11 @ $105.88)

 

(CCC, Caa1)

 

06/15/13

 

11.750

 

190,000

 

 

 

 

 

 

 

 

 

 

 

3,100,338

 

Chemicals (3.1%)

 

 

 

 

 

 

 

 

 

300

 

Chemtura Corp., Company Guaranteed Notesø

 

(D, NR)

 

06/01/16

 

6.875

 

246,000

 

550

 

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

 

(B-, B2)

 

11/15/14

 

0.000

 

511,500

 

675

 

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

 

(C, Caa2)

 

12/01/14

 

9.750

 

442,125

 

739

 

Momentive Performance Materials, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/11 @ $106.25)‡

 

(C, B3)

 

06/15/14

 

12.500

 

723,975

 

275

 

Nalco Co., Global Company Guaranteed Notes (Callable 11/15/09 @ $103.00)

 

(B, B2)

 

11/15/13

 

9.000

 

399,628

 

575

 

Nalco Finance Holdings, Inc., Global Senior Discounted Notes (Callable 02/01/10 @ $103.00)

 

(B, B2)

 

02/01/14

 

9.000

 

583,625

 

725

 

PolyOne Corp., Senior Unsecured Notes

 

(B-, B1)

 

05/01/12

 

8.875

 

694,188

 

1,175

 

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

 

(CCC+, Caa2)

 

08/15/14

 

9.000

 

458,250

 

225

 

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

 

(BB, B1)

 

02/01/17

 

7.000

 

211,500

 

 

 

 

 

 

 

 

 

 

 

4,270,791

 

Computer Hardware (0.8%)

 

 

 

 

 

 

 

 

 

825

 

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

 

(CCC+, Caa1)

 

05/01/16

 

9.500

 

675,469

 

325

 

Seagate Technology International, Rule 144A, Secured Notes (Callable 05/01/13 @ $105.00)‡

 

(BB+, Ba1)

 

05/01/14

 

10.000

 

357,500

 

 

 

 

 

 

 

 

 

 

 

1,032,969

 

Consumer Products (1.8%)

 

 

 

 

 

 

 

 

 

950

 

AAC Group Holding Corp., Rule 144A, Senior Unsecured Notes (Callable 10/01/09 @ $102.56)‡

 

(CCC-, Caa2)

 

10/01/12

 

10.250

 

802,750

 

825

 

Amscan Holdings, Inc., Global Senior Subordinated Notes (Callable 05/01/10 @ $102.92)

 

(CCC+, Caa1)

 

05/01/14

 

8.750

 

742,500

 

250

 

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

 

(B-, B3)

 

05/01/17

 

7.500

 

241,250

 

640

 

Prestige Brands, Inc., Global Senior Subordinated Notes (Callable 04/15/10 @ $100.00)

 

(B-, B3)

 

04/15/12

 

9.250

 

649,600

 

 

 

 

 

 

 

 

 

 

 

2,436,100

 

Diversified Capital Goods (3.6%)

 

 

 

 

 

 

 

 

 

450

 

Anixter, Inc., Company Guaranteed Notes

 

(BB+, Ba2)

 

03/15/14

 

10.000

 

468,000

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Diversified Capital Goods

 

 

 

 

 

 

 

 

 

$

625

 

Belden, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/14 @ $104.62)‡

 

(B+, Ba2)

 

06/15/19

 

9.250

 

$

625,000

 

650

 

Coleman Cable, Inc., Global Company Guaranteed Notes (Callable 10/01/09 @ $102.47)

 

(B+, B3)

 

10/01/12

 

9.875

 

549,250

 

925

 

Esco Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/09 @ $101.00)#‡

 

(B, B2)

 

12/15/13

 

4.504

 

781,625

 

100

 

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

 

(B, B2)

 

12/15/13

 

8.625

 

92,500

 

475

 

Mueller Water Products, Inc., Global Company Guaranteed Notes (Callable 06/01/12 @ $103.69)

 

(CCC+, Caa1)

 

06/01/17

 

7.375

 

350,313

 

575

 

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

 

(B-, Caa2)

 

08/01/14

 

9.500

 

503,125

 

425

 

Sensus Metering Systems, Inc., Global Senior Subordinated Notes (Callable 12/15/09 @ $102.87)

 

(B-, B3)

 

12/15/13

 

8.625

 

410,656

 

600

 

Titan International, Inc., Global Company Guaranteed Notes

 

(B-, Caa1)

 

01/15/12

 

8.000

 

555,000

 

738

 

TriMas Corp., Global Company Guaranteed Notes (Callable 06/15/10 @ $100.00)

 

(B-, Caa1)

 

06/15/12

 

9.875

 

649,440

 

 

 

 

 

 

 

 

 

 

 

4,984,909

 

Electric - Generation (6.6%)

 

 

 

 

 

 

 

 

 

1,275

 

Dynegy Holdings, Inc., Global Senior Unsecured Notes

 

(B, B3)

 

05/01/16

 

8.375

 

1,115,625

 

1,475

 

Edison Mission Energy, Global Senior Unsecured Notes

 

(B, B2)

 

05/15/17

 

7.000

 

1,181,844

 

675

 

Edison Mission Energy, Global Senior Unsecured Notes

 

(B, B2)

 

05/15/19

 

7.200

 

514,687

 

1,025

 

Mirant Americas Generation LLC, Senior Unsecured Notes

 

(B-, B3)

 

10/01/21

 

8.500

 

871,250

 

447

 

Mirant Mid Atlantic LLC, Series B, Global Pass Thru Certificates

 

(BB, Ba1)

 

06/30/17

 

9.125

 

451,737

 

350

 

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

 

(BB-, B1)

 

01/15/17

 

7.375

 

338,625

 

550

 

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

 

(BB-, B1)

 

02/01/16

 

7.375

 

533,500

 

175

 

RRI Energy, Inc., Senior Unsecured Notes

 

(B+, B2)

 

06/15/17

 

7.875

 

162,312

 

100

 

RRI Energy, Inc., Senior Unsecured Notes

 

(B+, B2)

 

06/15/14

 

7.625

 

93,500

 

3,725

 

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

 

(CCC, Caa1)

 

11/01/15

 

10.250

 

2,942,750

 

1,175

 

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

 

(CCC, Caa1)

 

11/01/15

 

10.250

 

928,250

 

 

 

 

 

 

 

 

 

 

 

9,134,080

 

Electric - Integrated (1.4%)

 

 

 

 

 

 

 

 

 

1,175

 

The AES Corp., Global Senior Unsecured Notes

 

(BB-, B1)

 

10/15/17

 

8.000

 

1,157,375

 

550

 

The AES Corp., Rule 144A, Senior Unsecured Notes‡

 

(BB-, B1)

 

04/15/16

 

9.750

 

577,500

 

175

 

The AES Corp., Senior Unsecured Notes

 

(BB-, B1)

 

03/01/14

 

7.750

 

173,250

 

 

 

 

 

 

 

 

 

 

 

1,908,125

 

Electronics (2.5%)

 

 

 

 

 

 

 

 

 

525

 

Amkor Technology, Inc., Global Senior Notes (Callable 05/15/10 @ $101.29)

 

(B+, B2)

 

05/15/13

 

7.750

 

511,875

 

73

 

Ampex Corp., Rule 144A, Secured Notes^‡

 

(NR, NR)

 

09/30/09

 

12.000

 

70,746

 

800

 

Freescale Semiconductor, Inc., Company Guaranteed Notes (Callable 12/15/11 @ $105.06)

 

(CCC, Caa3)

 

12/15/16

 

10.125

 

416,000

 

275

 

Jabil Circuit, Inc., Global Senior Unsecured Notes

 

(BB+, Ba1)

 

03/15/18

 

8.250

 

270,875

 

1,000

 

Sanmina-SCI Corp., Global Company Guaranteed Notes (Callable 03/01/10 @ $101.69)

 

(CCC, B3)

 

03/01/13

 

6.750

 

915,000

 

250

 

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

 

(CCC, B3)

 

03/01/16

 

8.125

 

222,500

 

1,200

 

Viasystems, Inc., Global Senior Unsecured Notes (Callable 01/15/10 @ $100.00)

 

(B+, Caa1)

 

01/15/11

 

10.500

 

1,099,500

 

 

 

 

 

 

 

 

 

 

 

3,506,496

 

Energy - Exploration & Production (6.6%)

 

 

 

 

 

 

 

 

 

500

 

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

 

(B, B3)

 

11/01/16

 

8.250

 

451,250

 

150

 

Chesapeake Energy Corp., Company Guaranteed Notes

 

(BB, Ba3)

 

07/15/13

 

7.625

 

151,125

 

300

 

Chesapeake Energy Corp., Company Guaranteed Notes

 

(BB, Ba3)

 

12/15/18

 

7.250

 

283,500

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Energy - Exploration & Production

 

 

 

 

 

 

 

 

 

$

1,525

 

Chesapeake Energy Corp., Global Company Guaranteed Notes (Callable 01/15/10 @ $102.29)

 

(BB, Ba3)

 

01/15/16

 

6.875

 

$

1,441,125

 

450

 

Denbury Resources, Inc., Company Guaranteed Notes (Callable 03/01/13 @ $104.88)

 

(BB, B1)

 

03/01/16

 

9.750

 

482,625

 

1,000

 

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

 

(B, B1)

 

12/01/17

 

7.250

 

900,000

 

450

 

Forest Oil Corp., Global Company Guaranteed Notes (Callable 06/15/12 @ $103.63)

 

(BB-, B1)

 

06/15/19

 

7.250

 

430,312

 

525

 

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

 

(BB-, B3)

 

06/01/16

 

9.000

 

485,625

 

800

 

Mariner Energy, Inc., Company Guaranteed Notes (Callable 05/15/12 @ $104.00)

 

(B+, B3)

 

05/15/17

 

8.000

 

700,000

 

475

 

Penn Virginia Corp., Senior Notes (Callable 06/15/13 @ 105.19)

 

(BB-, B2)

 

06/15/16

 

10.375

 

508,844

 

950

 

PetroHawk Energy Corp., Global Company Guaranteed Notes (Callable 06/01/12 @ $103.94)

 

(B, B3)

 

06/01/15

 

7.875

 

926,250

 

300

 

Pioneer Natural Resources Co., Senior Unsecured Notes

 

(BB+, Ba1)

 

03/15/17

 

6.650

 

273,142

 

625

 

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

 

(BB, B1)

 

06/15/15

 

7.750

 

623,437

 

350

 

Range Resources Corp., Company Guaranteed Notes (Callable 10/01/12 @ $103.75)

 

(BB, Ba3)

 

10/01/17

 

7.500

 

349,125

 

550

 

Stone Energy Corp., Global Senior Unsecured Notes (Callable 12/15/09 @ $103.38)

 

(B, Caa1)

 

12/15/14

 

6.750

 

360,250

 

475

 

Swift Energy Co, Company Guaranteed Notes (Callable 06/01/12 @ $103.56)

 

(B+, B3)

 

06/01/17

 

7.125

 

358,625

 

450

 

Whiting Petroleum Corp., Global Company Guaranteed Notes

 

(BB-, B1)

 

02/01/14

 

7.000

 

443,250

 

 

 

 

 

 

 

 

 

 

 

9,168,485

 

Environmental (0.8%)

 

 

 

 

 

 

 

 

 

350

 

Casella Waste Systems, Inc. Rule 144A, Senior Secured Notes (Callable 07/15/12 @ $105.50)‡

 

(B+, B2)

 

07/15/14

 

11.000

 

364,000

 

800

 

Waste Services, Inc., Global Senior Subordinated Notes (Callable 04/15/10 @ $103.17)

 

(B-, Caa1)

 

04/15/14

 

9.500

 

790,000

 

 

 

 

 

 

 

 

 

 

 

1,154,000

 

Food & Drug Retailers (0.9%)

 

 

 

 

 

 

 

 

 

350

 

Ingles Markets, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/15/13 @ $104.44)‡

 

(BB-, B1)

 

05/15/17

 

8.875

 

355,250

 

450

 

Rite Aid Corp., Global Company Guaranteed Notes (Callable 06/15/11 @ $104.68)

 

(CCC, Caa3)

 

12/15/15

 

9.375

 

344,250

 

475

 

Rite Aid Corp., Rule 144A, Senior Secured Notes (Callable Notes 06/12/13 @ $104.88)‡

 

(B+, B3)

 

06/12/16

 

9.750

 

503,500

 

75

 

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

 

(B+, B2)

 

04/15/15

 

7.750

 

72,750

 

25

 

Stater Brothers Holdings, Inc., Global Company Guaranteed Notes (Callable 09/08/09 @ $102.03)

 

(B+, B2)

 

06/15/12

 

8.125

 

25,375

 

 

 

 

 

 

 

 

 

 

 

1,301,125

 

Food - Wholesale (0.6%)

 

 

 

 

 

 

 

 

 

250

 

Chiquita Brands International, Inc., Global Senior Unsecured Notes (Callable 11/01/09 @ $103.75)

 

(B-, Caa2)

 

11/01/14

 

7.500

 

229,375

 

175

 

Dole Food Co., Inc., Global Company Guaranteed Notes

 

(B-, Caa2)

 

03/15/11

 

8.875

 

174,563

 

425

 

Smithfield Foods, Inc., Rule 144A, Senior Secured Notes‡

 

(BB-, Ba3)

 

07/15/14

 

10.000

 

445,187

 

25

 

Smithfield Foods, Inc., Series B, Global Senior Unsecured Notes

 

(B, Caa1)

 

05/15/13

 

7.750

 

21,375

 

 

 

 

 

 

 

 

 

 

 

870,500

 

Forestry & Paper (2.2%)

 

 

 

 

 

 

 

 

 

478

 

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

 

(B+, Caa1)

 

10/15/14

 

7.125

 

310,700

 

750

 

Georgia-Pacific Corp., Global Senior Notes

 

(B+, B2)

 

01/15/24

 

8.000

 

673,125

 

300

 

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

 

(BB-, Ba3)

 

01/15/17

 

7.125

 

294,000

 

300

 

Georgia-Pacific LLC Rule 144A, Company Guaranteed Notes (Callable 05/01/13 @ $104.13)‡

 

(BB-, Ba3)

 

05/01/16

 

8.250

 

312,000

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Forestry & Paper

 

 

 

 

 

 

 

 

 

$

625

 

Newark Group, Inc., Global Senior Unsecured Notes (Callable 03/15/10 @ $103.25)

 

(D, C)

 

03/15/14

 

9.750

 

$

18,750

 

675

 

NewPage Corp., Global Company Guaranteed Notes (Callable 05/01/10 @ $103.00)

 

(C, Caa3)

 

05/01/13

 

12.000

 

199,125

 

250

 

PE Paper Escrow GmbH, Rule 144A, Senior Secured Notes (Callable 08/01/12 @ $106.00)‡

 

(BB, Ba2)

 

08/01/14

 

12.000

 

249,058

 

950

 

Smurfit-Stone Container Enterprises, Inc., Global Senior Unsecured Notes (Callable 07/01/10 @ $100.00)ø

 

(D, NR)

 

07/01/12

 

8.375

 

494,000

 

75

 

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

 

(B-, B2)

 

08/01/14

 

9.125

 

40,875

 

1,125

 

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

 

(CCC, Caa1)

 

08/01/16

 

11.375

 

388,125

 

 

 

 

 

 

 

 

 

 

 

2,979,758

 

Gaming (8.4%)

 

 

 

 

 

 

 

 

 

775

 

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

 

(NR, NR)

 

12/15/14

 

9.375

 

118,188

 

200

 

Caesars Entertainment, Inc., Global Company Guaranteed Notes

 

(CCC-, Ca)

 

03/15/10

 

7.875

 

192,000

 

1,000

 

Caesars Entertainment, Inc., Global Company Guaranteed Notes

 

(CCC-, Ca)

 

05/15/11

 

8.125

 

915,000

 

1,225

 

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

 

(CCC, Caa3)

 

08/01/13

 

8.000

 

949,375

 

280

 

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

 

(B, B1)

 

11/15/19

 

7.250

 

163,800

 

575

 

FireKeepers Development Authority, Rule 144A, Senior Secured Notes (Callable 05/01/12 @ $110.50)‡

 

(B, B3)

 

05/01/15

 

13.875

 

577,875

 

625

 

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

 

(NR, NR)

 

06/15/15

 

11.000

 

21,875

 

800

 

Harrahs Escrow Corp., Rule 144A, Senior Secured Notes (Callable 06/01/13 @ $105.62)‡

 

(B, Caa1)

 

06/01/17

 

11.250

 

814,000

 

225

 

Herbst Gaming, Inc., Global Company Guaranteed Notes (Callable 06/01/10 @ $100.00)ø

 

(D, NR)

 

06/01/12

 

8.125

 

163

 

750

 

Inn of the Mountain Gods Resort & Casino, Global Company Guaranteed Notes (Callable 11/15/09 @ $100.00)ø

 

(D, Ca)

 

11/15/10

 

12.000

 

307,500

 

1,250

 

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

 

(B-, B3)

 

06/15/14

 

9.750

 

1,078,125

 

950

 

Majestic Star Casino Capital Corp., Senior Secured Notes (Callable 10/15/09 @ $100.00)ø

 

(D, Caa3)

 

10/15/10

 

9.500

 

593,750

 

1,275

 

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

 

(B+, B3)

 

11/15/15

 

8.500

 

631,125

 

825

 

MGM Mirage, Inc., Global Company Guaranteed Notes

 

(CCC+, Caa2)

 

04/01/16

 

6.875

 

596,062

 

700

 

MGM Mirage, Inc., Company Guaranteed Notes

 

(CCC+, Caa2)

 

01/15/17

 

7.625

 

514,500

 

675

 

MGM Mirage, Inc., Rule 144A, Senior Secured Notes (Callable 05/15/13 @ $105.56)‡

 

(B, B1)

 

11/15/17

 

11.125

 

745,875

 

1,200

 

MTR Gaming Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/11 @ $106.31)‡

 

(B, B2)

 

07/15/14

 

12.625

 

1,173,000

 

600

 

Peermont Global Proprietary, Ltd., Rule 144A, Senior Secured Notes (Callable 04/30/10 @ $105.81)‡

 

(B, B3)

 

04/30/14

 

7.750

 

676,267

 

850

 

Peninsula Gaming LLC, Rule 144A, Senior Unsecured Notes (Callable 08/15/13 @ $105.38)‡

 

(B, B3)

 

08/15/17

 

10.750

 

829,812

 

670

 

Tropicana Finance Corp., Global Senior Subordinated Notes (Callable 12/15/10 @ $104.81)ø

 

(NR, NR)

 

12/15/14

 

9.625

 

3,769

 

775

 

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

 

(B+, B1)

 

09/15/14

 

9.125

 

689,750

 

 

 

 

 

 

 

 

 

 

 

11,591,811

 

Gas Distribution (3.5%)

 

 

 

 

 

 

 

 

 

525

 

Amerigas Partners LP, Global Senior Unsecured Notes (Callable 05/20/10 @ $103.63)

 

(NR, Ba3)

 

05/20/15

 

7.250

 

517,125

 

375

 

El Paso Corp., Senior Unsecured Notes

 

(BB-, Ba3)

 

02/15/16

 

8.250

 

384,375

 

600

 

El Paso Corp., Senior Unsecured Notes

 

(BB-, Ba3)

 

06/01/18

 

7.250

 

585,809

 

925

 

El Paso Performance-Linked Trust, Rule 144A, Senior Unsecured Notes‡

 

(BB, Ba3)

 

07/15/11

 

7.750

 

916,887

 

425

 

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

 

(B+, B1)

 

03/01/16

 

8.250

 

423,938

 

275

 

Inergy Finance Corp., Global Company Guaranteed Notes (Callable 12/15/09 @ $103.44)

 

(B+, B1)

 

12/15/14

 

6.875

 

261,250

 

 


 

Par
(000)

 

 

 

Ratings† (S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Gas Distribution

 

 

 

 

 

 

 

 

 

$

550

 

MarkWest Energy Finance Corp., Series B, Global Senior Notes (Callable 04/15/13 @ $104.38)

 

(B+, B2)

 

04/15/18

 

8.750

 

$

514,250

 

625

 

Targa Resources Partners Finance Corp., Global Company Guaranteed Notes (Callable 07/01/12 @ $104.13)

 

(Be, B2)

 

07/01/16

 

8.250

 

557,812

 

675

 

The Williams Cos., Inc., Series A, Global Senior Unsecured Notes

 

(BB+, Baa3)

 

01/15/31

 

7.500

 

676,790

 

 

 

 

 

 

 

 

 

 

 

4,838,236

 

Health Services (8.1%)

 

 

 

 

 

 

 

 

 

815

 

Bausch & Lomb, Inc., Global Senior Unsecured Notes (Callable 11/01/11 @ $104.94)

 

(B, Caa1)

 

11/01/15

 

9.875

 

817,037

 

50

 

Biomet, Inc., Global Company Guaranteed Notes (Callable 10/15/12 @ $105.00)

 

(B-, B3)

 

10/15/17

 

10.000

 

54,375

 

25

 

Biomet, Inc., Global Company Guaranteed Notes (Callable 10/15/12 @ $105.81)

 

(B-, Caa1)

 

10/15/17

 

11.625

 

27,250

 

650

 

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

 

(B, B3)

 

07/15/15

 

8.875

 

672,750

 

1,300

 

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

 

(BB-, B2)

 

11/15/16

 

9.250

 

1,358,500

 

675

 

HCA, Inc., Global Senior Unsecured Notes

 

(B-, Caa1)

 

01/15/15

 

6.375

 

600,750

 

725

 

HCA, Inc., Rule 144A, Senior Secured Notes (Callable 08/15/14 @ $103.94)‡

 

(BB, Ba3)

 

02/15/20

 

7.875

 

713,219

 

775

 

HCA, Inc., Senior Unsecured Notes

 

(B-, Caa1)

 

02/15/13

 

6.250

 

728,500

 

625

 

HCA, Inc., Senior Unsecured Notes

 

(B-, Caa1)

 

07/15/13

 

6.750

 

587,500

 

425

 

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

 

(CCC+, Caa1)

 

06/15/16

 

10.750

 

447,313

 

450

 

Inverness Medical Innovations, Inc., Senior Subordinated Notes (Callable 05/15/13 @ $104.50)

 

(B-, B3)

 

05/15/16

 

9.000

 

451,125

 

525

 

OMEGA Healthcare Investors, Inc., Global Company Guaranteed Notes (Callable 01/15/11 @ $103.50)

 

(BB+, Ba3)

 

01/15/16

 

7.000

 

486,937

 

250

 

Rural/Metro Corp., Global Senior Discount Notes (Callable 03/15/10 @ $106.38)+

 

(CCC+, Caa1)

 

03/15/16

 

0.000

 

188,750

 

400

 

Service Corporation International, Global Senior Unsecured Notes

 

(BB-, B1)

 

10/01/18

 

7.625

 

385,000

 

550

 

Stewart Enterprises, Inc., Global Company Guaranteed Notes (Callable 02/15/10 @ $101.56)

 

(BB-, Ba3)

 

02/15/13

 

6.250

 

532,125

 

775

 

Tenet Healthcare Corp., Global Senior Unsecured Notes

 

(CCC+, Caa2)

 

02/01/15

 

9.250

 

771,125

 

925

 

Tenet Healthcare Corp., Rule 144A, Senior Secured Notes (Callable 07/01/14 @ $104.37)‡

 

(BB-, B1)

 

07/01/19

 

8.875

 

980,500

 

175

 

Universal Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/10 @ $101.00)#

 

(B+, B3)

 

06/01/15

 

4.635

 

147,875

 

275

 

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

 

(B+, B3)

 

06/01/15

 

8.500

 

268,125

 

450

 

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

 

(CCC+, Caa1)

 

10/01/14

 

9.000

 

452,250

 

600

 

VWR Funding, Inc., Series B, Global Company Guaranteed Notes (Callable 07/15/11 @ $105.13)

 

(B-, Caa1)

 

07/15/15

 

10.250

 

531,000

 

 

 

 

 

 

 

 

 

 

 

11,202,006

 

Hotels (1.3%)

 

 

 

 

 

 

 

 

 

675

 

Felcor Lodging LP, Global Company Guaranteed Notes

 

(B, B2)

 

06/01/11

 

9.000

 

594,000

 

525

 

Host Hotels & Resorts LP, Rule 144A, Senior Unsecured Notes (Callable 05/15/13 @ $104.50)‡

 

(BB+, Ba1)

 

05/15/17

 

9.000

 

531,563

 

725

 

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

 

(BB+, Ba1)

 

06/01/16

 

6.750

 

676,062

 

 

 

 

 

 

 

 

 

 

 

1,801,625

 

Household & Leisure Products (0.3%)

 

 

 

 

 

 

 

 

 

450

 

ALH Finance Corp., Global Company Guaranteed Notes (Callable 01/15/10 @ 102.13)

 

(CCC+, Caa1)

 

01/15/13

 

8.500

 

412,875

 

 

 

 

 

 

 

 

 

 

 

 

 

lnvestments & Misc. Financial Services (0.4%)

 

 

 

 

 

 

 

 

 

700

 

Nuveen Investments, Inc., Rule 144A, Senior Notes (Callable 11/15/11 @ $105.25)‡

 

(CCC, Caa3)

 

11/15/15

 

10.500

 

500,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Leisure (0.1%)

 

 

 

 

 

 

 

 

 

122

 

Six Flags Operations, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/13 @ $106.12)ø‡

 

(D, NR)

 

07/15/16

 

12.250

 

96,380

 

 


 

Par
(000)

 

 

 

Ratings† (S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Leisure

 

 

 

 

 

 

 

 

 

$

900

 

Six Flags, Inc., Global Senior Unsecured Notes (Callable 06/01/10 @ $103.21)ø

 

(D, NR)

 

06/01/14

 

9.625

 

$

101,250

 

 

 

 

 

 

 

 

 

 

 

197,630

 

Machinery (0.6%)

 

 

 

 

 

 

 

 

 

650

 

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

 

(B, B3)

 

02/15/17

 

8.625

 

654,875

 

250

 

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

 

(B, Caa1)

 

11/15/17

 

8.000

 

208,125

 

 

 

 

 

 

 

 

 

 

 

863,000

 

Media - Broadcast (1.6%)

 

 

 

 

 

 

 

 

 

725

 

Allbritton Communications Co., Global Senior Subordinated Notes (Callable 12/15/09 @ $101.29)

 

(B-, Caa1)

 

12/15/12

 

7.750

 

605,375

 

795

 

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

 

(CCC-, Caa3)

 

08/15/14

 

10.500

 

276,262

 

1,175

 

Clear Channel Communications, Inc., Senior Unsecured Notes

 

(CC, Ca)

 

09/15/14

 

5.500

 

273,188

 

74

 

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

 

(CCC-, Ca)

 

05/15/14

 

9.875

 

22,200

 

550

 

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

 

(B-, B2)

 

09/15/14

 

8.625

 

503,250

 

630

 

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

 

(CCC, Caa3)

 

06/15/15

 

9.250

 

143,325

 

370

 

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

 

(CCC, Caa2)

 

03/15/15

 

9.750

 

247,900

 

90

 

Univision Communications, Inc., Rule 144A, Senior Secured Notes (Callable 07/01/11 @ $106.00)‡

 

(B-, B2)

 

07/01/14

 

12.000

 

96,300

 

1,525

 

Young Broadcasting, Inc., Global Company Guaranteed Notes (Callable 01/15/10 @ $102.92)ø

 

(D, NR)

 

01/15/14

 

8.750

 

1,525

 

 

 

 

 

 

 

 

 

 

 

2,169,325

 

Media - Cable (4.2%)

 

 

 

 

 

 

 

 

 

1,375

 

Atlantic Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/10 @ $103.13)

 

(B-, Caa1)

 

01/15/14

 

9.375

 

1,203,125

 

1,000

 

CCH II Capital Corp., Series B, Global Senior Unsecured Notes (Callable 09/15/09 @ $100.00)ø

 

(D, NR)

 

09/15/10

 

10.250

 

1,070,000

 

792

 

Charter Communications Holdings Capital, Senior Unsecured Notesø

 

(D, NR)

 

04/01/11

 

9.920

 

4,039

 

325

 

Charter Communications Operating Capital, Rule 144A, Secured Notesø‡

 

(D, B1)

 

04/30/12

 

10.000

 

325,813

 

825

 

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

 

(BB, Ba3)

 

04/15/14

 

8.500

 

853,875

 

675

 

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

 

(BB, Ba3)

 

02/15/19

 

8.625

 

698,625

 

275

 

CSC Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 06/15/12 @ $104.25)‡

 

(BB, Ba3)

 

06/15/15

 

8.500

 

284,625

 

200

 

EchoStar DBS Corp., Global Company Guaranteed Notes

 

(BB-, Ba3)

 

10/01/13

 

7.000

 

198,500

 

225

 

EchoStar DBS Corp., Global Company Guaranteed Notes

 

(BB-, Ba3)

 

10/01/14

 

6.625

 

216,563

 

175

 

Mediacom Broadband Corp., Global Senior Unsecured Notes (Callable 10/15/10 @ $104.25)

 

(B-, B3)

 

10/15/15

 

8.500

 

167,125

 

825

 

Mediacom Capital Corp., Global Senior Unsecured Notes

 

(B-, B3)

 

02/15/11

 

7.875

 

822,937

 

 

 

 

 

 

 

 

 

 

 

5,845,227

 

Media - Services (1.1%)

 

 

 

 

 

 

 

 

 

450

 

Nielsen Finance Co., Global Company Guaranteed Notes (Callable 05/01/13 @ $105.75)

 

(B-, Caa1)

 

05/01/16

 

11.500

 

473,625

 

650

 

WMG Acquisition Corp., Global Company Guaranteed Notes (Callable 04/15/10 @ $102.46)

 

(B, B1)

 

04/15/14

 

7.375

 

591,500

 

400

 

WMG Acquisition Corp., Rule 144A, Senior Secured Notes (Callable 06/15/13 @ $104.75)‡

 

(BB, Ba2)

 

06/15/16

 

9.500

 

426,000

 

 

 

 

 

 

 

 

 

 

 

1,491,125

 

Metals & Mining - Excluding Steel (2.6%)

 

 

 

 

 

 

 

 

 

225

 

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

 

(D, NR)

 

12/15/14

 

9.000

 

3,375

 

1,100

 

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

 

(D, NR)

 

12/15/16

 

10.000

 

22,000

 

 


 

Par
(000)

 

 

 

Ratings† (S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Metals & Mining - Excluding Steel

 

 

 

 

 

 

 

 

 

$

800

 

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

 

(BBB-, Ba2)

 

04/01/15

 

8.250

 

$

846,957

 

1,762

 

Noranda Aluminium Acquisition Corp., Global Company Guaranteed Notes (Callable 05/15/10 @ $100.00)#

 

(CCC-, Caa2)

 

05/15/15

 

5.413

 

951,713

 

450

 

Teck Resources, Ltd., Rule 144A, Senior Secured Notes‡

 

(BB+, Ba2)

 

05/15/14

 

9.750

 

502,875

 

200

 

Teck Resources, Ltd., Rule 144A, Senior Secured Notes (Callable 05/15/13 @ $105.13)‡

 

(BB+, Ba2)

 

05/15/16

 

10.250

 

227,500

 

875

 

Teck Resources, Ltd., Rule 144A, Senior Secured Notes (Callable 05/15/14 @ $105.38)‡

 

(BB+, Ba2)

 

05/15/19

 

10.750

 

1,022,656

 

 

 

 

 

 

 

 

 

 

 

3,577,076

 

Non-Food & Drug Retailers (3.2%)

 

 

 

 

 

 

 

 

 

600

 

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

 

(B-, Caa1)

 

03/15/17

 

7.625

 

471,000

 

1,350

 

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

 

(CCC-, Caa3)

 

10/15/12

 

12.000

 

600,750

 

505

 

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

 

(CCC, Caa2)

 

11/01/14

 

10.000

 

477,225

 

645

 

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

 

(CCC, Caa3)

 

11/01/16

 

11.375

 

525,675

 

600

 

SGS International, Inc., Global Company Guaranteed Notes (Callable 12/15/09 @ $106.00)

 

(B-, B3)

 

12/15/13

 

12.000

 

423,000

 

520

 

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

 

(B+, B3)

 

12/15/13

 

10.625

 

527,800

 

1,285

 

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

 

(CCC+, Caa3)

 

10/15/15

 

10.375

 

931,625

 

460

 

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

 

(B-, B3)

 

02/15/15

 

8.500

 

414,000

 

 

 

 

 

 

 

 

 

 

 

4,371,075

 

Oil Field Equipment & Services (1.4%)

 

 

 

 

 

 

 

 

 

550

 

Bristow Group, Inc., Global Company Guaranteed Notes (Callable 09/15/12 @ $103.75)

 

(BB, Ba2)

 

09/15/17

 

7.500

 

517,000

 

550

 

Helix Energy Solutions Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ $104.75)‡

 

(B+, B3)

 

01/15/16

 

9.500

 

508,750

 

350

 

Hornbeck Offshore Services, Inc., Series B, Global Company Guaranteed Notes (Callable 12/01/09 @ $103.06)

 

(BB-, Ba3)

 

12/01/14

 

6.125

 

327,250

 

450

 

Key Energy Services, Inc., Global Company Guaranteed Notes (Callable 12/01/11 @ $104.19)

 

(BB-, B1)

 

12/01/14

 

8.375

 

399,938

 

200

 

Pride International, Inc., Senior Unsecured Notes

 

(BBB-, Ba1)

 

06/15/19

 

8.500

 

215,000

 

 

 

 

 

 

 

 

 

 

 

1,967,938

 

Oil Refining & Marketing (0.7%)

 

 

 

 

 

 

 

 

 

1,050

 

Western Refining, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/11 @ $105.00)#‡

 

(BB-, B3)

 

06/15/14

 

10.750

 

971,250

 

 

 

 

 

 

 

 

 

 

 

 

 

Packaging (2.3%)

 

 

 

 

 

 

 

 

 

850

 

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

 

(CCC, Caa2)

 

03/01/16

 

10.250

 

658,750

 

705

 

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

 

(CCC+, Caa1)

 

09/15/14

 

8.875

 

620,400

 

325

 

Crown Cork & Seal Co., Inc., Debentures (Callable 04/15/10 @ $101.14)

 

(B+, B2)

 

04/15/23

 

8.000

 

303,875

 

725

 

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

 

(CCC+, Caa1)

 

10/15/14

 

9.875

 

697,812

 

50

 

Graham Packaging Company, Inc., Global Company Guaranteed Notes (Callable 10/15/09 @ $102.13)

 

(CCC+, Caa1)

 

10/15/12

 

8.500

 

49,875

 

814

 

Pliant Corp., Global Senior Secured Notesø

 

(D, NR)

 

06/15/09

 

11.850

 

606,569

 

225

 

Solo Cup Co., Rule 144A, Senior Secured Notes (Callable 05/01/11 @ $105.25)‡

 

(B+, B2)

 

11/01/13

 

10.500

 

237,938

 

 

 

 

 

 

 

 

 

 

 

3,175,219

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Printing & Publishing (2.0%)

 

 

 

 

 

 

 

 

 

$

1,400

 

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

 

(CCC+, Caa2)

 

01/15/15

 

10.500

 

$

1,211,000

 

1,000

 

Cenveo Corp., Global Senior Subordinated Notes (Callable 12/01/09 @ $102.63)

 

(B-, Caa1)

 

12/01/13

 

7.875

 

720,000

 

1,675

 

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

 

(D, NR)

 

11/15/16

 

8.000

 

81,656

 

1,800

 

The Reader’s Digest Association, Inc., Global Company Guaranteed Notes (Callable 02/15/12 @ $104.50)

 

(CC, Ca)

 

02/15/17

 

9.000

 

117,000

 

785

 

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

 

(CCC+, B3)

 

03/01/15

 

8.250

 

671,175

 

 

 

 

 

 

 

 

 

 

 

2,800,831

 

Railroads (0.4%)

 

 

 

 

 

 

 

 

 

600

 

Kansas City Southern Railway, Company Guaranteed Notes (Callable 06/01/12 @ $104.00)

 

(B+, B2)

 

06/01/15

 

8.000

 

585,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Restaurants (0.4%)

 

 

 

 

 

 

 

 

 

525

 

Denny’s Holdings, Inc., Global Company Guaranteed Notes (Callable 10/01/09 @ $102.50)

 

(B-, Caa1)

 

10/01/12

 

10.000

 

527,625

 

 

 

 

 

 

 

 

 

 

 

 

 

Software/Services (2.5%)

 

 

 

 

 

 

 

 

 

750

 

First Data Corp., Global Company Guaranteed Notes (Callable 09/30/11 @ $104.94)

 

(B-, Caa1)

 

09/24/15

 

9.875

 

636,562

 

1,075

 

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

 

(B-, Caa1)

 

08/15/15

 

10.250

 

1,107,250

 

1,150

 

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

 

(CC, Caa1)

 

01/15/16

 

12.500

 

816,500

 

1,025

 

Vangent, Inc., Global Company Guaranteed Notes (Callable 02/15/11 @ $104.81)

 

(B-, Caa1)

 

02/15/15

 

9.625

 

917,375

 

 

 

 

 

 

 

 

 

 

 

3,477,687

 

Steel Producers/Products (1.4%)

 

 

 

 

 

 

 

 

 

500

 

AK Steel Corp., Global Company Guaranteed Notes (Callable 06/15/10 @ $100.00)

 

(BB-, Ba3)

 

06/15/12

 

7.750

 

502,500

 

325

 

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

 

(D, NR)

 

02/15/14

 

11.250

 

117,000

 

700

 

Ryerson, Inc., Global Senior Secured Notes (Callable 11/01/11 @ $106.00)

 

(B, Caa1)

 

11/01/15

 

12.000

 

626,500

 

745

 

Steel Dynamics, Inc., Rule 144A, Senior Unsecured Notes (Callable 04/15/12 @ $103.88)‡

 

(BB+, Ba2)

 

04/15/16

 

8.250

 

741,275

 

 

 

 

 

 

 

 

 

 

 

1,987,275

 

Support-Services (4.8%)

 

 

 

 

 

 

 

 

 

300

 

ARAMARK Corp., Global Company Guaranteed Notes (Callable 02/01/10 @ $101.00)#

 

(B, B3)

 

02/01/15

 

4.528

 

262,500

 

150

 

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

 

(B, B3)

 

02/01/15

 

8.500

 

151,875

 

800

 

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

 

(B, B2)

 

08/15/16

 

9.000

 

692,000

 

525

 

Dyncorp International, Series B, Global Senior Subordinated Notes (Callable 02/15/10 @ $102.38)

 

(B+, B1)

 

02/15/13

 

9.500

 

528,937

 

600

 

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

 

(CCC+, B3)

 

01/01/16

 

10.500

 

576,000

 

200

 

Iron Mountain, Inc., Company Guaranteed Notes

 

(B+, B2)

 

04/01/13

 

8.625

 

201,000

 

850

 

JohnsonDiversey Holdings, Inc., Series B, Global Discount Notes (Callable 05/15/10 @ $100.00)

 

(CCC+, Caa1)

 

05/15/13

 

10.670

 

769,250

 

1,050

 

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

 

(B+, B2)

 

08/01/14

 

9.750

 

1,026,375

 

550

 

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

 

(B-, Caa2)

 

12/01/14

 

9.500

 

474,375

 

475

 

Sotheby’s, Global Company Guaranteed Notes

 

(B, Ba3)

 

06/15/15

 

7.750

 

372,875

 

1,150

 

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

 

(CC, Caa1)

 

09/01/16

 

11.875

 

822,250

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Support-Services

 

 

 

 

 

 

 

 

 

$

700

 

United Rentals North America, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/13 @ $105.44)‡

 

(B, B2)

 

06/15/16

 

10.875

 

$

703,500

 

 

 

 

 

 

 

 

 

 

 

6,580,937

 

Telecom - Integrated/Services (6.8%)

 

 

 

 

 

 

 

 

 

250

 

Cincinnati Bell, Inc., Global Company Guaranteed Notes (Callable 02/15/10 @ $103.50)

 

(B+, Ba3)

 

02/15/15

 

7.000

 

238,125

 

400

 

Cincinnati Bell, Inc., Global Senior Subordinated Notes (Callable 01/15/10 @ $102.79)

 

(B-, B2)

 

01/15/14

 

8.375

 

398,000

 

1,175

 

Frontier Communications Corp., Global Senior Unsecured Notes

 

(BB, Ba2)

 

03/15/15

 

6.625

 

1,110,375

 

200

 

Frontier Communications Corp., Senior Unsecured Notes

 

(BB, Ba2)

 

05/01/14

 

8.250

 

203,500

 

700

 

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

 

(B, B1)

 

04/15/14

 

9.500

 

703,500

 

2,075

 

Intelsat Corp., Global Senior Unsecured Notes (Callable 08/15/09 @ $104.63)

 

(BB-, B3)

 

08/15/14

 

9.250

 

2,111,312

 

25

 

Intelsat Subsidiary Holding Co., Ltd., Global Company Guaranteed Notes (Callable 01/15/10 @ $104.44)

 

(BB-, B3)

 

01/15/15

 

8.875

 

25,375

 

1,375

 

Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 02/15/10 @ $101.00)#

 

(CCC, Caa1)

 

02/15/15

 

5.474

 

1,024,375

 

1,050

 

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

 

(CCC+, Caa1)

 

07/15/15

 

9.500

 

913,500

 

1,250

 

Qwest Communications International, Inc., Series B, Global Company Guaranteed Notes (Callable 02/15/10 @ $102.50)

 

(B+, Ba3)

 

02/15/14

 

7.500

 

1,228,125

 

275

 

Qwest Corp., Global Senior Unsecured Notes

 

(BBB-, Ba1)

 

06/15/15

 

7.625

 

275,688

 

225

 

Qwest Corp., Rule 144A, Senior Unsecured Notes‡

 

(BBB-, Ba1)

 

05/01/16

 

8.375

 

231,750

 

350

 

Windstream Corp., Global Company Guaranteed Notes

 

(BB, Ba3)

 

08/01/13

 

8.125

 

355,250

 

550

 

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

 

(BB, Ba3)

 

08/01/16

 

8.625

 

561,000

 

 

 

 

 

 

 

 

 

 

 

9,379,875

 

Telecom - Wireless (4.4%)

 

 

 

 

 

 

 

 

 

675

 

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

 

(B-, B3)

 

11/01/14

 

9.375

 

688,500

 

250

 

Cricket Communications, Inc., Rule 144A, Senior Secured Notes (Callable 05/15/12 @ $105.81)‡

 

(B+, Ba2)

 

05/15/16

 

7.750

 

250,000

 

225

 

Crown Castle International Corp., Senior Unsecured Notes (Callable 01/15/13 @ $105.62)

 

(B+, B2)

 

01/15/15

 

9.000

 

238,781

 

200

 

DigitalGlobe, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/01/12 @ $105.25)‡

 

(BB, Ba3)

 

05/01/14

 

10.500

 

209,500

 

975

 

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

 

(B, B3)

 

11/01/14

 

9.250

 

1,014,000

 

2,648

 

Nextel Communications, Inc., Series F, Company Guaranteed Notes (Callable 03/15/10 @ $101.49)

 

(BB, Ba2)

 

03/15/14

 

5.950

 

2,303,760

 

1,525

 

Sprint Nextel Corp., Senior Unsecured Notes

 

(BB, Ba2)

 

12/01/16

 

6.000

 

1,340,094

 

 

 

 

 

 

 

 

 

 

 

6,044,635

 

Textiles & Apparel (0.4%)

 

 

 

 

 

 

 

 

 

550

 

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

 

(B+, B2)

 

01/15/15

 

9.750

 

561,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Theaters & Entertainment (1.3%)

 

 

 

 

 

 

 

 

 

1,125

 

AMC Entertainment, Inc., Global Senior Subordinated Notes (Callable 03/01/10 @ $102.67)

 

(CCC+, Caa1)

 

03/01/14

 

8.000

 

1,043,438

 

750

 

AMC Entertainment, Inc., Rule 144A, Senior Notes (Callable 06/01/14 @ $104.38)‡

 

(B-, B1)

 

06/01/19

 

8.750

 

742,500

 

 

 

 

 

 

 

 

 

 

 

1,785,938

 

Tobacco (0.4%)

 

 

 

 

 

 

 

 

 

500

 

Alliance One International, Inc., Rule 144A, Senior Unsecured Notes (Callable 07/15/13 @ $105.00)‡

 

(B+, B2)

 

07/15/16

 

10.000

 

495,000

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL U.S. CORPORATE BONDS (Cost $182,008,508)

 

 

 

 

 

 

 

154,478,819

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

FOREIGN CORPORATE BONDS (9.5%)

 

 

 

 

 

 

 

 

 

Aerospace & Defense (0.3%)

 

 

 

 

 

 

 

 

 

400

 

Bombardier, Inc., Rule 144A, Senior Unsecured Notes (Canada)‡

 

(BB+, Ba2)

 

05/01/14

 

6.300

 

$

372,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Chemicals (1.0%)

 

 

 

 

 

 

 

 

 

1,150

 

Cognis GmbH, Rule 144A, Senior Secured Notes (Callable 08/15/09 @ $100.00) (Germany)#‡

 

(B-, B2)

 

09/15/13

 

2.629

 

937,250

 

1,175

 

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

 

(CCC-, Caa3)

 

02/15/16

 

8.500

 

487,625

 

 

 

 

 

 

 

 

 

 

 

1,424,875

 

Electronics (0.7%)

 

 

 

 

 

 

 

 

 

750

 

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

 

(B, B3)

 

12/01/15

 

11.875

 

783,750

 

1,000

 

New Asat, Ltd., Global Company Guaranteed Notes (Callable 02/01/10 @ $100.00) (Cayman Islands)ø

 

(D, NR)

 

02/01/11

 

9.250

 

1,250

 

153

 

NXP Funding LLC, Rule 144A, Senior Secured Notes (Netherlands) (EUR)‡

 

(B-, NR)

 

07/15/13

 

10.000

 

154,010

 

50

 

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

 

(CC, C)

 

10/15/14

 

7.875

 

35,000

 

 

 

 

 

 

 

 

 

 

 

974,010

 

Energy - Exploration & Production (0.4%)

 

 

 

 

 

 

 

 

 

875

 

OPTI Canada, Inc., Global Senior Secured Notes (Callable 12/15/10 @ $104.13) (Canada)

 

(B, Caa1)

 

12/15/14

 

8.250

 

581,875

 

 

 

 

 

 

 

 

 

 

 

 

 

Forestry & Paper (0.8%)

 

 

 

 

 

 

 

 

 

2,325

 

Abitibi-Consolidated Co. of Canada, Global Company Guaranteed Notes (Canada)ø

 

(D, NR)

 

06/15/11

 

7.750

 

249,937

 

1,000

 

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

 

(B, B2)

 

04/01/15

 

7.750

 

820,000

 

 

 

 

 

 

 

 

 

 

 

1,069,937

 

Gaming (0.5%)

 

 

 

 

 

 

 

 

 

600

 

Codere Finance Luxembourg SA, Rule 144A, Senior Secured Notes (Callable 06/15/10 @ $104.13) (Luxembourg) (EUR)‡

 

(B, B2)

 

06/15/15

 

8.250

 

637,987

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Cable (1.1%)

 

 

 

 

 

 

 

 

 

325

 

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

 

(B+, B2)

 

02/15/15

 

10.125

 

488,415

 

500

 

Virgin Media Finance PLC, Global Company Guaranteed Notes (Callable 04/15/10 @ $103.25) (United Kingdom) (GBP)

 

(B, B2)

 

04/15/14

 

9.750

 

837,214

 

150

 

Virgin Media Finance PLC, Global Company Guaranteed Notes (Callable 08/15/11 @ $104.56) (United Kingdom)

 

(B, B2)

 

08/15/16

 

9.125

 

152,250

 

 

 

 

 

 

 

 

 

 

 

1,477,879

 

Media - Diversified (0.4%)

 

 

 

 

 

 

 

 

 

600

 

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

 

(B, B2)

 

03/15/16

 

7.750

 

573,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Oil Field Equipment & Services (0.3%)

 

 

 

 

 

 

 

 

 

475

 

Cie Generale de Geophysique-Veritas, Global Company Guaranteed Notes (Callable 05/15/10 @ $103.75) (France)

 

(BB, Ba3)

 

05/15/15

 

7.500

 

458,375

 

 

 

 

 

 

 

 

 

 

 

 

 

Packaging (0.3%)

 

 

 

 

 

 

 

 

 

275

 

Impress Holdings BV, Rule 144A, Company Guaranteed Notes (Callable 09/15/09 @ $109.25) (Netherlands)(EUR)‡

 

(B-, B3)

 

09/15/14

 

9.250

 

390,856

 

 

 

 

 

 

 

 

 

 

 

 

 

Pharmaceuticals (0.3%)

 

 

 

 

 

 

 

 

 

350

 

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

 

(B, B3)

 

12/01/13

 

8.875

 

344,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Integrated/Services (1.5%)

 

 

 

 

 

 

 

 

 

1,507

 

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

 

(B-, B3)

 

12/15/14

 

10.750

 

1,296,020

 

550

 

Hellas Telecommunications II SCA, Rule 144A, Subordinated Notes (Callable 01/15/10 @ $100.00) (Luxembourg)#‡

 

(CC, Caa3)

 

01/15/15

 

6.259

 

154,000

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

FOREIGN CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Telecom - Integrated/Services

 

 

 

 

 

 

 

 

 

650

 

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

 

(BB-, B1)

 

05/01/16

 

8.875

 

$

663,000

 

 

 

 

 

 

 

 

 

 

 

2,113,020

 

Telecom - Wireless (0.4%)

 

 

 

 

 

 

 

 

 

400

 

Wind Acquisition Finance SA, Rule 144A, Senior Notes (Callable 7/15/13 @ $105.88) (Luxembourg) (EUR)‡

 

(BB-, B2)

 

07/15/17

 

11.750

 

584,512

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecommunications Equipment (0.1%)

 

 

 

 

 

 

 

 

 

425

 

Nortel Networks, Ltd., Global Company Guaranteed Notes (Callable 07/15/11 @ $105.38) (Canada)ø

 

(NR, NR)

 

07/15/16

 

10.750

 

188,063

 

 

 

 

 

 

 

 

 

 

 

 

 

Textiles & Apparel (0.0%)

 

 

 

 

 

 

 

 

 

75

 

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

 

(NR, NR)

 

11/15/12

 

9.875

 

35,621

 

 

 

 

 

 

 

 

 

 

 

 

 

Transportation - Excluding Air/Rail (1.4%)

 

 

 

 

 

 

 

 

 

1,375

 

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

 

(B+, B3)

 

12/15/14

 

9.500

 

1,175,625

 

825

 

Ship Finance International, Ltd., Global Company Guaranteed Notes (Callable 12/15/09 @ $102.83) (Bermuda)

 

(B+, B1)

 

12/15/13

 

8.500

 

775,500

 

 

 

 

 

 

 

 

 

 

 

1,951,125

 

TOTAL FOREIGN CORPORATE BONDS (Cost $17,233,995)

 

 

 

 

 

 

 

13,177,885

 

 

 

 

 

 

 

 

 

 

 

 

 

BANK LOANS (1.0%)

 

 

 

 

 

 

 

 

 

Energy - Exploration & Production (0.4%)

 

 

 

 

 

 

 

 

 

625

 

ATP Oil & Gas

 

(NR, NR)

 

07/15/14

 

5.750

 

487,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Gaming (0.3%)

 

 

 

 

 

 

 

 

 

496

 

CCM Merger, Inc.

 

(NR, NR)

 

07/21/12

 

1.000

 

455,009

 

 

 

 

 

 

 

 

 

 

 

 

 

Pharmaceuticals (0.3%)

 

 

 

 

 

 

 

 

 

525

 

Nycomed Holdings Aps

 

(NR, NR)

 

12/29/13

 

7.350

 

477,750

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL BANK LOANS (Cost $1,195,595)

 

 

 

 

 

 

 

1,420,259

 

 

 

 

 

 

 

 

 

 

 

 

 

Number of
Shares

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

COMMON STOCKS (0.1%)

 

 

 

 

 

 

 

 

 

Chemicals (0.0%)

 

 

 

 

 

 

 

 

 

4,893

 

Huntsman Corp.

 

 

 

 

 

 

 

30,043

 

 

 

 

 

 

 

 

 

 

 

 

 

Containers & Packaging (0.1%)

 

 

 

 

 

 

 

 

 

7,250

 

Constar International, Inc.*

 

 

 

 

 

 

 

87,000

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL COMMON STOCKS (Cost $687,887)

 

 

 

 

 

 

 

117,043

 

 

 

 

 

 

 

 

 

 

 

 

 

PREFERRED STOCKS (0.2%)

 

 

 

 

 

 

 

 

 

Diversified Financials (0.2%)

 

 

 

 

 

 

 

 

 

473

 

Preferred Blocker, Inc., Rule 144A (Callable 12/31/11 @ $1,000)*‡

 

 

 

 

 

 

 

217,831

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Broadcast (0.0%)

 

 

 

 

 

 

 

 

 

17,257

 

CMP Susquehanna Radio Holdings Corp. Series A*

 

 

 

 

 

 

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL PREFERRED STOCKS (Cost $99,450)

 

 

 

 

 

 

 

217,831

 

 

 

 

 

 

 

 

 

 

 

 

 

WARRANTS (0.0%)

 

 

 

 

 

 

 

 

 

Diversified Financial Services (0.0%)

 

 

 

 

 

 

 

 

 

19,721

 

CNB Capital Trust I, Rule 144A, expires 03/23/19*‡

 

 

 

 

 

 

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

Electrical Equipment (0.0%)

 

 

 

 

 

 

 

 

 

204,293

 

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

 

 

 

 

 

 

 

2,043

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL WARRANTS (Cost $3,772,613)

 

 

 

 

 

 

 

2,043

 

 


 

Par
(000)

 

 

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENT (3.7%)

 

 

 

 

 

 

 

$

5,151

 

State Street Bank and Trust Co. Euro Time Deposit (Cost $5,151,000)

 

08/03/09

 

0.010

 

$

5,151,000

 

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS AT VALUE (126.4%) (Cost $210,149,048)

 

 

 

 

 

174,564,880

 

 

 

 

 

 

 

 

 

LIABILITIES IN EXCESS OF OTHER ASSETS (-26.4%)

 

 

 

 

 

(36,485,810

)

 

 

 

 

 

 

 

 

NET ASSETS (100.0%)

 

 

 

 

 

$

138,079,070

 

 

Forward Foreign Currency
to be Purchased (Local)

 

Forward Foreign Currency
to be Sold (Local)

 

Expiration
Date

 

Value on
Settlement Date

 

Current
Value

 

Unrealized
Appreciation/
(Depreciation)

 

 

 

 

 

 

 

 

 

 

 

Open Forward Foreign Currency Contracts

 

 

 

 

 

 

 

 

 

USD

3,135,329

 

EUR

2,247,000

 

10/16/09

 

(3,185,828

)

(3,135,329

)

$

(50,499

)

USD

469,904

 

EUR

330,000

 

10/16/09

 

(467,848

)

(469,904

)

2,026

 

USD

814,362

 

GBP

500,250

 

10/16/09

 

(829,191

)

(814,362

)

(14,829

)

Total

 

 

 

 

 

 

 

 

 

 

 

$

(63,302

)

 

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, 2009, these securities amounted to a value of $40,401,706 or 29.3% of net assets.

+

 

Step Bond — The interest rate is as of July 31, 2009 and will reset at a future date.

ø

 

Bond is currently in default.

*

 

Non-income producing security.

#

 

Variable rate obligations — The interest rate is the rate as of July 31, 2009.

^

 

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.

 

Currency Abbreviations:

EUR = Euro Currency

GBP = British Pound

USD = United States Dollar

 

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 (the “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, 2009, the Fund held 0.05% of its net assets in securities valued at fair value as determined in good faith under procedures established by the Board of Trustees with an aggregate cost of $3,843,368 and fair value of $72,789. 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.

 

The Fund adopted Financial Accounting Standards Board (“FASB”) Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”), effective November 1, 2008. In accordance with FAS 157, fair value is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. FAS 157 established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.

 


 

·

Level 1 – quoted prices in active markets for identical investments

·

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

·

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used as of July 31, 2009 in valuing the Fund’s investments carried at value:

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Investments in Securities

 

 

 

 

 

 

 

 

 

U.S. Corporate Bonds

 

 

 

 

 

 

 

 

 

Aerospace & Defense

 

$

—

 

$

1,430,813

 

$

—

 

$

1,430,813

 

Agriculture

 

—

 

601,250

 

—

 

601,250

 

Auto Loans

 

—

 

4,245,179

 

—

 

4,245,179

 

Auto Parts & Equipment

 

—

 

4,252,522

 

—

 

4,252,522

 

Banks

 

—

 

5,282,245

 

—

 

5,282,245

 

Beverages

 

—

 

664,875

 

—

 

664,875

 

Brokerage

 

—

 

543,875

 

—

 

543,875

 

Building & Construction

 

—

 

2,408,663

 

—

 

2,408,663

 

Building Materials

 

—

 

3,100,338

 

—

 

3,100,338

 

Chemicals

 

—

 

4,270,791

 

—

 

4,270,791

 

Computer Hardware

 

—

 

1,032,969

 

—

 

1,032,969

 

Consumer Products

 

—

 

2,436,100

 

—

 

2,436,100

 

Diversified Capital Goods

 

—

 

4,984,909

 

—

 

4,984,909

 

Electric - Generation

 

—

 

9,134,080

 

—

 

9,134,080

 

Electric - Integrated

 

—

 

1,908,125

 

—

 

1,908,125

 

Electronics

 

—

 

3,435,750

 

70,746

 

3,506,496

 

Energy - Exploration & Production

 

—

 

9,168,485

 

—

 

9,168,485

 

Environmental

 

—

 

1,154,000

 

—

 

1,154,000

 

Food & Drug Retailers

 

—

 

1,301,125

 

—

 

1,301,125

 

Food - Wholesale

 

—

 

870,500

 

—

 

870,500

 

Forestry & Paper

 

—

 

2,979,758

 

—

 

2,979,758

 

Gaming

 

—

 

11,591,811

 

—

 

11,591,811

 

Gas Distribution

 

—

 

4,838,236

 

—

 

4,838,236

 

Health Services

 

—

 

11,202,006

 

—

 

11,202,006

 

Hotels

 

—

 

1,801,625

 

—

 

1,801,625

 

Household & Leisure Products

 

—

 

412,875

 

—

 

412,875

 

Investments & Misc. Financial Services

 

—

 

500,500

 

—

 

500,500

 

Leisure

 

—

 

197,630

 

—

 

197,630

 

Machinery

 

—

 

863,000

 

—

 

863,000

 

Media - Broadcast

 

—

 

2,169,325

 

—

 

2,169,325

 

Media - Cable

 

—

 

5,845,227

 

—

 

5,845,227

 

Media - Services

 

—

 

1,491,125

 

—

 

1,491,125

 

Metals & Mining - Excluding Steel

 

—

 

3,577,076

 

—

 

3,577,076

 

Non-Food & Drug Retailers

 

—

 

4,371,075

 

—

 

4,371,075

 

Oil Field Equipment & Services

 

—

 

1,967,938

 

—

 

1,967,938

 

Oil Refining & Marketing

 

—

 

971,250

 

—

 

971,250

 

Packaging

 

—

 

3,175,219

 

—

 

3,175,219

 

Printing & Publishing

 

—

 

2,800,831

 

—

 

2,800,831

 

Railroads

 

—

 

585,000

 

—

 

585,000

 

Restaurants

 

—

 

527,625

 

—

 

527,625

 

Software/Services

 

—

 

3,477,687

 

—

 

3,477,687

 

 


 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Steel Producers/Products

 

—

 

1,987,275

 

—

 

1,987,275

 

Support-Services

 

—

 

6,580,937

 

—

 

6,580,937

 

Telecom - Integrated/Services

 

—

 

9,379,875

 

—

 

9,379,875

 

Telecom - Wireless

 

—

 

6,044,635

 

—

 

6,044,635

 

Textiles & Apparel

 

—

 

561,000

 

—

 

561,000

 

Theaters & Entertainment

 

—

 

1,785,938

 

—

 

1,785,938

 

Tobacco

 

—

 

495,000

 

—

 

495,000

 

Foreign Corporate Bonds

 

 

 

 

 

 

 

 

 

Aerospace & Defense

 

—

 

372,000

 

—

 

372,000

 

Chemicals

 

—

 

1,424,875

 

—

 

1,424,875

 

Electronics

 

—

 

974,010

 

—

 

974,010

 

Energy - Exploration & Production

 

—

 

581,875

 

—

 

581,875

 

Forestry & Paper

 

—

 

1,069,937

 

—

 

1,069,937

 

Gaming

 

—

 

637,987

 

—

 

637,987

 

Media - Cable

 

—

 

1,477,879

 

—

 

1,477,879

 

Media - Diversified

 

—

 

573,000

 

—

 

573,000

 

Oil Field Equipment & Services

 

—

 

458,375

 

—

 

458,375

 

Packaging

 

—

 

390,856

 

—

 

390,856

 

Pharmaceuticals

 

—

 

344,750

 

—

 

344,750

 

Telecom - Integrated/Services

 

—

 

2,113,020

 

—

 

2,113,020

 

Telecom - Wireless

 

—

 

584,512

 

—

 

584,512

 

Telecommunications Equipment

 

—

 

188,063

 

—

 

188,063

 

Textiles & Apparel

 

—

 

35,621

 

—

 

35,621

 

Transportation - Excluding Air/Rail

 

—

 

1,951,125

 

—

 

1,951,125

 

Bank Loans

 

 

 

 

 

 

 

 

 

Energy - Exploration & Production

 

—

 

487,500

 

—

 

487,500

 

Gaming

 

—

 

455,009

 

—

 

455,009

 

Pharmaceuticals

 

—

 

477,750

 

—

 

477,750

 

Common Stocks

 

 

 

 

 

 

 

 

 

Chemicals

 

30,043

 

—

 

—

 

30,043

 

Containers & Packaging

 

87,000

 

—

 

—

 

87,000

 

Preferred Stocks

 

 

 

 

 

 

 

 

 

Diversified Financials

 

217,831

 

—

 

—

 

217,831

 

Media - Broadcast

 

—

 

—

 

—

 

—

 

Warrants

 

 

 

 

 

 

 

 

 

Diversified Financial Services

 

—

 

—

 

—

 

—

 

Electrical Equipment

 

—

 

—

 

2,043

 

2,043

 

Short-Term Investment

 

—

 

5,151,000

 

—

 

5,151,000

 

Other Financial Instruments *

 

 

 

 

 

 

 

 

 

Forward Foreign Currency Contracts

 

(63,302

)

—

 

—

 

(63,302

)

 

 

$

271,572

 

$

174,157,217

 

$

72,789

 

$

174,501,578

 

 

*Other financial instruments include futures, forwards and swap contracts.

 

As of July 31, 2009, the amounts shown by the Fund as being Level 3 securities that were measured at fair value amounted to 0.05% of net assets.

 

Federal Income Tax Cost – At July 31, 2009, 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 $210,149,048, $6,170,922, $(41,755,090) and $(35,584,168) respectively.

 

Other information regarding the Fund is available in the 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/George R. Hornig

 

Name:

George R. Hornig

 

Title:

Chief Executive Officer

 

Date:

September 18, 2009

 

 

 

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/George R. Hornig

 

Name:

George R. Hornig

 

Title:

Chief Executive Officer

 

Date:

September 18, 2009

 

 

/s/Michael A. Pignataro

 

Name:

Michael A. Pignataro

 

Title:

Chief Financial Officer

 

Date:

September 18, 2009