N-Q 1 a10-13838_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)

 

John G. Popp

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, 2010 to July 31, 2010

 

 


 

Item 1:        Schedule of Investments

 

 

 


 

Credit Suisse High Yield Bond Fund

Schedule of Investments

July 31, 2010 (unaudited)

 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS (116.0%)

 

 

 

 

 

 

 

 

 

Aerospace & Defense (1.0%)

 

 

 

 

 

 

 

 

 

$

575

 

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

 

(BB, Ba3)

 

07/01/18

 

8.500

 

$

626,750

 

550

 

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

 

(CCC-, Caa3)

 

04/01/15

 

8.500

 

445,500

 

825

 

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

 

(CCC-, Ca)

 

04/01/17

 

9.750

 

515,625

 

 

 

 

 

 

 

 

 

 

 

1,587,875

 

Auto Loans (2.5%)

 

 

 

 

 

 

 

 

 

1,960

 

Ford Motor Credit Co., LLC, Global Senior Unsecured Notes

 

(B-, Ba3)

 

10/01/13

 

7.000

 

2,041,895

 

1,875

 

Ford Motor Credit Co., LLC, Senior Unsecured Notes

 

(B-, Ba3)

 

12/15/16

 

8.000

 

2,003,878

 

 

 

 

 

 

 

 

 

 

 

4,045,773

 

Auto Parts & Equipment (3.6%)

 

 

 

 

 

 

 

 

 

275

 

Accuride Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ $104.75)‡

 

(B, B2)

 

08/01/18

 

9.500

 

281,875

 

350

 

American Axle & Manufacturing Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 01/15/14 @ $104.63)‡

 

(B, B1)

 

01/15/17

 

9.250

 

378,875

 

775

 

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

 

(CCC, Caa2)

 

03/01/17

 

7.875

 

724,625

 

1,200

 

American Tire Distributors, Inc., Rule 144A, Senior Secured Notes (Callable 06/01/13 @ $107.31)‡

 

(CCC+, B2)

 

06/01/17

 

9.750

 

1,257,000

 

875

 

ArvinMeritor, Inc., Company Guaranteed Notes (Callable 03/15/14 @ $105.31)

 

(CCC, Caa1)

 

03/15/18

 

10.625

 

958,125

 

1,325

 

Stanadyne Corp., Series 1, Global Senior Subordinated Notes (Callable 08/15/10 @ $103.33)

 

(CCC, Caa1)

 

08/15/14

 

10.000

 

1,252,125

 

848

 

The Goodyear Tire & Rubber Co., Global Company Guaranteed Notes (Callable 07/01/11 @ $103.00)

 

(B+, B1)

 

07/01/15

 

9.000

 

890,400

 

50

 

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

 

(B+, B1)

 

05/15/16

 

10.500

 

56,250

 

 

 

 

 

 

 

 

 

 

 

5,799,275

 

Banks (3.2%)

 

 

 

 

 

 

 

 

 

2,190

 

Ally Financial, Inc., Global Company Guaranteed Notes

 

(B, B3)

 

03/02/11

 

7.250

 

2,222,850

 

744

 

Ally Financial, Inc., Global Company Guaranteed Notes

 

(B, B3)

 

04/01/11

 

6.000

 

752,370

 

119

 

Ally Financial, Inc., Global Subordinated Notes

 

(CCC+, B3)

 

12/31/18

 

8.000

 

116,174

 

1,500

 

Ally Financial, Inc., Rule 144A, Company Guaranteed Notes‡

 

(B, B3)

 

02/12/15

 

8.300

 

1,582,500

 

525

 

Ally Financial, Inc., Rule 144A, Company Guaranteed Notes‡

 

(B, B3)

 

03/15/20

 

8.000

 

542,718

 

 

 

 

 

 

 

 

 

 

 

5,216,612

 

Beverages (0.4%)

 

 

 

 

 

 

 

 

 

675

 

Constellation Brands, Inc., Company Guaranteed Notes

 

(BB, Ba3)

 

09/01/16

 

7.250

 

707,063

 

 

 

 

 

 

 

 

 

 

 

 

 

Building & Construction (1.0%)

 

 

 

 

 

 

 

 

 

741

 

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

 

(NR, NR)

 

06/30/15

 

0.000

 

429,780

 

600

 

K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes

 

(CCC-, Caa2)

 

01/15/16

 

6.250

 

430,500

 

1,000

 

William Lyon Homes, Inc., Company Guaranteed Notes (Callable 04/01/11 @ $101.79)

 

(CC, Caa3)

 

04/01/13

 

10.750

 

835,000

 

 

 

 

 

 

 

 

 

 

 

1,695,280

 

Building Materials (3.6%)

 

 

 

 

 

 

 

 

 

1,075

 

AMH Holdings Inc., Global Senior Discount Notes (Callable 03/01/11 @ $101.88)

 

(CCC, Caa2)

 

03/01/14

 

11.250

 

1,107,250

 

1,285

 

CPG International I, Inc., Global Company Guaranteed Notes (Callable 07/01/11 @ $100.00)

 

(B-, Caa1)

 

07/01/13

 

10.500

 

1,304,275

 

500

 

Dayton Superior Corp., Company Guaranteed Notesø^

 

(NR, NR)

 

06/15/09

 

13.000

 

0

 

1,325

 

Headwaters, Inc., Global Senior Secured Notes (Callable 11/01/12 @ $105.69)

 

(B+, B2)

 

11/01/14

 

11.375

 

1,351,500

 

1,125

 

International Wire Group, Inc., Rule 144A, Senior Secured Notes (Callable 10/15/12 @ $104.88)‡

 

(B, B3)

 

04/15/15

 

9.750

 

1,136,250

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Building Materials

 

 

 

 

 

 

 

 

 

$

114

 

Norcraft Capital Corp., Global Senior Discount Notes (Callable 09/01/10 @ $100.00)

 

(CCC, Caa1)

 

09/01/12

 

9.750

 

$

107,302

 

775

 

Norcraft Finance Corp., Global Senior Secured Notes (Callable 12/15/12 @ $105.25)

 

(B-, B2)

 

12/15/15

 

10.500

 

817,625

 

 

 

 

 

 

 

 

 

 

 

5,824,202

 

Chemicals (2.7%)

 

 

 

 

 

 

 

 

 

550

 

CF Industries, Inc., Company Guaranteed Notes

 

(BB+, B1)

 

05/01/20

 

7.125

 

588,500

 

300

 

LBI Escrow Corp., Rule 144A, Senior Secured Notes (Callable 05/01/13 @ $106.00)‡

 

(BB, Ba3)

 

11/01/17

 

8.000

 

316,125

 

250

 

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

 

(CCC-, Caa2)

 

12/01/14

 

9.750

 

254,062

 

701

 

Momentive Performance Materials, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $106.25)§

 

(CCC-, B3)

 

06/15/14

 

12.500

 

797,120

 

350

 

Nalco Co., Global Company Guaranteed Notes (Callable 11/15/10 @ $101.48)

 

(B, B2)

 

11/15/13

 

8.875

 

360,062

 

275

 

Nalco Co., Global Company Guaranteed Notes (Callable 11/15/10 @ $101.50)

 

(B, B2)

 

11/15/13

 

9.000

 

367,227

 

575

 

Nalco Finance Holdings, Inc., Global Senior Discount Notes (Callable 02/01/11 @ $101.50)

 

(B, B2)

 

02/01/14

 

9.000

 

592,969

 

1,175

 

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

 

(CCC+, Caa2)

 

08/15/14

 

9.000

 

1,069,250

 

 

 

 

 

 

 

 

 

 

 

4,345,315

 

Computer Hardware (0.7%)

 

 

 

 

 

 

 

 

 

1,225

 

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

 

(CCC, Caa1)

 

05/01/16

 

9.500

 

1,194,375

 

 

 

 

 

 

 

 

 

 

 

Consumer Products (1.5%)

 

 

 

 

 

 

 

 

 

950

 

AAC Group Holding Corp., Rule 144A, Senior Discount Notes (Callable 10/01/10 @ $100.00)‡

 

(CCC, NR)

 

10/01/12

 

10.250

 

940,500

 

375

 

Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/14 @ $104.13)‡

 

(B+, B3)

 

04/01/18

 

8.250

 

386,250

 

1,100

 

Spectrum Brands Holdings, Inc., Rule 144A, Secured Notes (Callable 06/15/14 @ $104.75)‡

 

(B, B2)

 

06/15/18

 

9.500

 

1,161,875

 

 

 

 

 

 

 

 

 

 

 

2,488,625

 

Consumer/Commercial/Lease Financing (3.4%)

 

 

 

 

 

 

 

 

 

159

 

CIT Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00)

 

(B+, B3)

 

05/01/13

 

7.000

 

158,486

 

239

 

CIT Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00)

 

(B+, B3)

 

05/01/14

 

7.000

 

233,547

 

839

 

CIT Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00)

 

(B+, B3)

 

05/01/15

 

7.000

 

812,707

 

398

 

CIT Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00)

 

(B+, B3)

 

05/01/16

 

7.000

 

381,281

 

557

 

CIT Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00)

 

(B+, B3)

 

05/01/17

 

7.000

 

528,220

 

1,300

 

International Lease Finance Corp., Rule 144A, Senior Unsecured Notes‡

 

(BB+, B1)

 

09/15/15

 

8.625

 

1,326,000

 

675

 

International Lease Finance Corp., Rule 144A, Senior Unsecured Notes‡

 

(BB+, B1)

 

03/15/17

 

8.750

 

690,187

 

100

 

International Lease Finance Corp., Series MTN, Senior Unsecured Notes

 

(BB+, B1)

 

06/01/14

 

5.650

 

93,750

 

1,300

 

Provident Funding Associates, Rule 144A, Senior Secured Notes (Callable 04/15/14 @ $105.13)‡

 

(B+, Ba3)

 

04/15/17

 

10.250

 

1,332,500

 

 

 

 

 

 

 

 

 

 

 

5,556,678

 

Department Stores (0.4%)

 

 

 

 

 

 

 

 

 

600

 

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

 

(CCC+, Caa2)

 

10/15/15

 

10.375

 

628,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Diversified Capital Goods (3.3%)

 

 

 

 

 

 

 

 

 

450

 

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

 

(B+, Ba2)

 

03/15/17

 

7.000

 

452,250

 

625

 

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

 

(B+, Ba2)

 

06/15/19

 

9.250

 

679,688

 

800

 

Coleman Cable, Inc., Global Company Guaranteed Notes (Callable 02/15/14 @ $104.50)

 

(B, B3)

 

02/15/18

 

9.000

 

804,000

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Diversified Capital Goods

 

 

 

 

 

 

 

 

 

$

925

 

Esco Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/10 @ $100.00)#‡

 

(B, B2)

 

12/15/13

 

4.412

 

$

852,156

 

950

 

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

 

(B-, B3)

 

06/01/17

 

7.375

 

870,437

 

425

 

Sensus USA Systems, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ $101.44)

 

(B-, B3)

 

12/15/13

 

8.625

 

424,469

 

600

 

Titan International, Inc., Global Company Guaranteed Notes

 

(B-, B2)

 

01/15/12

 

8.000

 

627,000

 

600

 

TriMas Corp., Rule 144A, Senior Secured Notes (Callable 12/15/13 @ $104.88)‡

 

(B-, Caa1)

 

12/15/17

 

9.750

 

615,750

 

 

 

 

 

 

 

 

 

 

 

5,325,750

 

Electric - Generation (6.2%)

 

 

 

 

 

 

 

 

 

1,050

 

Calpine Corp., Rule 144A, Senior Secured Notes (Callable 07/31/15 @ $103.94)‡

 

(B+, B1)

 

07/31/20

 

7.875

 

1,065,750

 

1,275

 

Dynegy Holdings, Inc., Global Senior Unsecured Notes§

 

(B-, B3)

 

05/01/16

 

8.375

 

1,026,375

 

1,475

 

Edison Mission Energy, Global Senior Unsecured Notes

 

(B-, B3)

 

05/15/17

 

7.000

 

1,010,375

 

675

 

Edison Mission Energy, Global Senior Unsecured Notes

 

(B-, B3)

 

05/15/19

 

7.200

 

459,000

 

1,175

 

Mirant Americas Generation LLC, Senior Unsecured Notes

 

(B-, B3)

 

10/01/21

 

8.500

 

1,122,125

 

447

 

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

 

(BB, Ba1)

 

06/30/17

 

9.125

 

465,154

 

350

 

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

 

(BB-, B1)

 

01/15/17

 

7.375

 

355,250

 

550

 

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

 

(BB-, B1)

 

02/01/16

 

7.375

 

562,375

 

625

 

NRG Energy, Inc., Company Guaranteed Notes (Callable 06/15/14 @ $104.25)

 

(BB-, B1)

 

06/15/19

 

8.500

 

659,375

 

3,725

 

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

 

(CCC, Caa2)

 

11/01/15

 

10.250

 

2,514,375

 

1,175

 

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

 

(CCC, Caa2)

 

11/01/15

 

10.250

 

793,125

 

 

 

 

 

 

 

 

 

 

 

10,033,279

 

Electric - Integrated (1.2%)

 

 

 

 

 

 

 

 

 

550

 

The AES Corp., Global Senior Unsecured Notes

 

(BB-, B1)

 

04/15/16

 

9.750

 

620,125

 

1,000

 

The AES Corp., Global Senior Unsecured Notes

 

(BB-, B1)

 

10/15/17

 

8.000

 

1,066,250

 

175

 

The AES Corp., Senior Unsecured Notes

 

(BB-, B1)

 

03/01/14

 

7.750

 

183,750

 

 

 

 

 

 

 

 

 

 

 

1,870,125

 

Electronics (1.1%)

 

 

 

 

 

 

 

 

 

1,075

 

Freescale Semiconductor, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/14 @ $105.06)‡

 

(B-, B2)

 

03/15/18

 

10.125

 

1,150,250

 

575

 

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

 

(CCC+, B2)

 

03/01/16

 

8.125

 

587,938

 

 

 

 

 

 

 

 

 

 

 

1,738,188

 

Energy - Exploration & Production (4.9%)

 

 

 

 

 

 

 

 

 

500

 

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

 

(B, B3)

 

11/01/16

 

8.250

 

506,250

 

300

 

Chesapeake Energy Corp., Company Guaranteed Notes

 

(BB, Ba3)

 

12/15/18

 

7.250

 

318,750

 

1,000

 

Comstock Resources, Inc., Company Guaranteed Notes (Callable 10/15/13 @ $104.19)

 

(B, B2)

 

10/15/17

 

8.375

 

1,035,000

 

575

 

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

 

(BB, B1)

 

03/01/16

 

9.750

 

636,094

 

450

 

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

 

(B+, B1)

 

06/15/19

 

7.250

 

457,875

 

525

 

Hilcorp Financial Co., Rule 144A, Senior Unsecured Notes (Callable 06/01/11 @ $104.50)‡

 

(BB-, B2)

 

06/01/16

 

9.000

 

556,500

 

475

 

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

 

(BB-, B2)

 

06/15/16

 

10.375

 

524,875

 

950

 

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

 

(B, B3)

 

06/01/15

 

7.875

 

988,000

 

475

 

Pioneer Natural Resources Co., Senior Unsecured Notes

 

(BB+, Ba1)

 

01/15/20

 

7.500

 

513,722

 

625

 

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

 

(BB-, B1)

 

06/15/15

 

7.750

 

637,500

 

425

 

Stone Energy Corp., Company Guaranteed Notes (Callable 02/01/14 @ $104.31)

 

(BB-, Caa1)

 

02/01/17

 

8.625

 

405,344

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Energy - Exploration & Production

 

 

 

 

 

 

 

 

 

$

525

 

Stone Energy Corp., Global Senior Subordinated Notes (Callable 12/15/10 @ $102.25)

 

(B-, Caa2)

 

12/15/14

 

6.750

 

$

467,250

 

475

 

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

 

(BB-, B3)

 

06/01/17

 

7.125

 

458,375

 

450

 

Whiting Petroleum Corp., Global Company Guaranteed Notes

 

(BB, B1)

 

02/01/14

 

7.000

 

470,812

 

 

 

 

 

 

 

 

 

 

 

7,976,347

 

Environmental (0.7%)

 

 

 

 

 

 

 

 

 

1,100

 

Casella Waste Systems, Inc., Global Senior Secured Notes (Callable 07/15/12 @ $105.50)

 

(B+, B2)

 

07/15/14

 

11.000

 

1,205,875

 

 

 

 

 

 

 

 

 

 

 

 

 

Food & Drug Retailers (0.7%)

 

 

 

 

 

 

 

 

 

725

 

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

 

(CCC, Caa3)

 

12/15/15

 

9.375

 

610,812

 

475

 

Rite Aid Corp., Global Senior Secured Notes (Callable 06/12/13 @ $104.88)

 

(B+, B3)

 

06/12/16

 

9.750

 

513,594

 

 

 

 

 

 

 

 

 

 

 

1,124,406

 

Food - Wholesale (1.0%)

 

 

 

 

 

 

 

 

 

450

 

Michael Foods, Inc., Rule 144A, Senior Notes (Callable 07/15/14 @ 104.88)‡

 

(B-, Caa1)

 

07/15/18

 

9.750

 

474,750

 

1,200

 

Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 05/15/13 @ $105.63)‡

 

(B+, B3)

 

05/15/15

 

11.250

 

1,206,000

 

 

 

 

 

 

 

 

 

 

 

1,680,750

 

Forestry & Paper (3.0%)

 

 

 

 

 

 

 

 

 

728

 

Boise Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/10 @ $102.38)

 

(B+, Caa1)

 

10/15/14

 

7.125

 

687,960

 

750

 

Georgia-Pacific Corp., Global Senior Notes

 

(BB, Ba3)

 

01/15/24

 

8.000

 

821,250

 

300

 

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

 

(BB+, Ba2)

 

01/15/17

 

7.125

 

313,875

 

300

 

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

 

(BB+, Ba2)

 

05/01/16

 

8.250

 

327,000

 

550

 

NewPage Corp., Global Secured Notes (Callable 05/01/11 @ $100.00)§

 

(CCC-, Caa2)

 

05/01/12

 

10.000

 

313,500

 

1,300

 

NewPage Corp., Global Senior Secured Notes (Callable 03/31/12 @ $105.00)§

 

(CCC+, B2)

 

12/31/14

 

11.375

 

1,210,625

 

1,125

 

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

 

(CCC+, Caa1)

 

08/01/16

 

11.375

 

1,043,437

 

75

 

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

 

(B, B2)

 

08/01/14

 

9.125

 

75,375

 

 

 

 

 

 

 

 

 

 

 

4,793,022

 

Gaming (7.3%)

 

 

 

 

 

 

 

 

 

775

 

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

 

(NR, NR)

 

12/15/14

 

9.375

 

143,375

 

1,225

 

CCM Merger, Inc., Rule 144A, Notes (Callable 08/01/10 @ $102.00)‡

 

(CCC+, Caa3)

 

08/01/13

 

8.000

 

1,133,125

 

280

 

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

 

(B, B2)

 

11/15/19

 

7.250

 

193,550

 

575

 

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

 

(B+, B2)

 

05/01/15

 

13.875

 

675,625

 

625

 

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

 

(NR, NR)

 

06/15/15

 

11.000

 

4,688

 

1,700

 

Greektown Superholdings, Inc., Rule 144A, Senior Secured Notes (Callable 01/01/13 @ $106.50)‡

 

(NR, NR)

 

07/01/15

 

13.000

 

1,870,000

 

850

 

Harrah’s Operating Co., Inc., Global Senior Secured Notes (Callable 06/01/13 @ $105.63)

 

(B, Caa1)

 

06/01/17

 

11.250

 

922,250

 

750

 

Inn of the Mountain Gods Resort & Casino, Global Company Guaranteed Notesø

 

(D, Ca)

 

11/15/10

 

12.000

 

326,250

 

1,525

 

Jacobs Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/15/11 @ $102.44)

 

(B-, Caa1)

 

06/15/14

 

9.750

 

1,406,812

 

950

 

Majestic Star Casino Capital Corp., Senior Secured Notesø

 

(NR, NR)

 

10/15/10

 

9.500

 

548,625

 

1,275

 

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

 

(D, NR)

 

11/15/15

 

8.500

 

223,125

 

675

 

MGM Mirage, Inc., Global Company Guaranteed Notes§

 

(CCC+, Caa1)

 

04/01/16

 

6.875

 

555,187

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Gaming

 

 

 

 

 

 

 

 

 

$

675

 

MGM Resorts International, Global Senior Secured Notes (Callable 05/15/13 @ $105.56)

 

(B, B1)

 

11/15/17

 

11.125

 

$

769,500

 

1,200

 

MTR Gaming Group, Inc., Global Secured Notes (Callable 07/15/11 @ $106.31)

 

(B, B2)

 

07/15/14

 

12.625

 

1,263,000

 

950

 

Peninsula Gaming LLC, Global Company Guaranteed Notes (Callable 08/15/13 @ $105.38)

 

(B, B3)

 

08/15/17

 

10.750

 

992,750

 

670

 

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

 

(NR, NR)

 

12/15/14

 

9.625

 

1,307

 

775

 

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

 

(B+, B1)

 

09/15/14

 

9.125

 

791,469

 

 

 

 

 

 

 

 

 

 

 

11,820,638

 

Gas Distribution (3.0%)

 

 

 

 

 

 

 

 

 

525

 

Amerigas Partners LP, Global Senior Unsecured Notes (Callable 05/20/11 @ $102.42)

 

(NR, Ba3)

 

05/20/15

 

7.250

 

544,688

 

375

 

El Paso Corp., Senior Unsecured Notes

 

(BB-, Ba3)

 

02/15/16

 

8.250

 

409,688

 

400

 

El Paso Corp., Senior Unsecured Notes

 

(BB-, Ba3)

 

06/01/18

 

7.250

 

426,232

 

900

 

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

 

(NR, Ba3)

 

07/15/11

 

7.750

 

938,487

 

425

 

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

 

(B+, B1)

 

03/01/16

 

8.250

 

448,375

 

275

 

Inergy Finance Corp., Global Company Guaranteed Notes (Callable 12/15/10 @ $102.29)

 

(B+, B1)

 

12/15/14

 

6.875

 

277,750

 

550

 

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

 

(BB-, B1)

 

04/15/18

 

8.750

 

594,687

 

625

 

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

 

(B+, B2)

 

07/01/16

 

8.250

 

656,250

 

500

 

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

 

(BB+, Baa3)

 

01/15/31

 

7.500

 

568,294

 

 

 

 

 

 

 

 

 

 

 

4,864,451

 

Health Facilities (6.5%)

 

 

 

 

 

 

 

 

 

975

 

Alere Inc., Company Guaranteed Notes (Callable 05/15/13 @ $104.50)

 

(B-, B3)

 

05/15/16

 

9.000

 

994,500

 

545

 

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

 

(B, Caa1)

 

11/01/15

 

9.875

 

577,700

 

300

 

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

 

(B-, B3)

 

10/15/17

 

10.000

 

333,750

 

120

 

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

 

(B-, Caa1)

 

10/15/17

 

11.625

 

135,150

 

650

 

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

 

(B, B3)

 

07/15/15

 

8.875

 

682,500

 

2,350

 

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

 

(BB-, B2)

 

11/15/16

 

9.250

 

2,543,875

 

725

 

HCA, Inc., Global Senior Secured Notes (Callable 08/15/14 @ $103.94)

 

(BB, Ba3)

 

02/15/20

 

7.875

 

790,250

 

675

 

HCA, Inc., Global Senior Unsecured Notes

 

(B-, Caa1)

 

01/15/15

 

6.375

 

663,187

 

525

 

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

 

(BB+, Ba3)

 

01/15/16

 

7.000

 

535,500

 

500

 

Omega Healthcare Investors, Inc., Global Company Guaranteed Notes (Callable 04/01/11 @ $101.17)

 

(BB+, Ba3)

 

04/01/14

 

7.000

 

509,375

 

625

 

Radiation Therapy Services, Inc., Rule 144A, Senior Subordinated Notes (Callable 04/15/14 @ $104.94)‡

 

(CCC+, Caa1)

 

04/15/17

 

9.875

 

623,437

 

925

 

Tenet Healthcare Corp., Rule 144A, Senior Secured Notes (Callable 07/01/14 @ $ 104.44)‡

 

(BB-, B1)

 

07/01/19

 

8.875

 

1,022,125

 

175

 

Universal Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/11 @ $100.00)#

 

(B+, B3)

 

06/01/15

 

4.134

 

150,500

 

275

 

Universal Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/11 @ $101.00)

 

(B+, B3)

 

06/01/15

 

8.500

 

279,813

 

634

 

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

 

(B-, Caa1)

 

07/15/15

 

10.250

 

657,516

 

 

 

 

 

 

 

 

 

 

 

10,499,178

 

Health Services (2.4%)

 

 

 

 

 

 

 

 

 

550

 

PharmaNet Development Group, Inc., Rule 144A, Senior Secured Notes (Callable 04/15/14 @105.44)‡

 

(B+, B3)

 

04/15/17

 

10.875

 

550,000

 

1,000

 

Quintiles Transnational Corp., Rule 144A, Senior Notes (Callable 12/30/11 @ $102.00)‡

 

(B, B3)

 

12/30/14

 

9.500

 

1,025,000

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Health Services

 

 

 

 

 

 

 

 

 

$

1,375

 

Rural/Metro Corp., Global Senior Discount Notes (Callable 03/15/11 @ $104.25)

 

(B, Caa1)

 

03/15/16

 

12.750

 

$

1,471,250

 

400

 

Service Corp. International, Global Senior Unsecured Notes

 

(BB-, B1)

 

10/01/18

 

7.625

 

420,000

 

425

 

Service Corp. International, Senior Unsecured Notes

 

(BB-, B1)

 

11/15/21

 

8.000

 

445,187

 

 

 

 

 

 

 

 

 

 

 

3,911,437

 

Hotels (0.8%)

 

 

 

 

 

 

 

 

 

725

 

Felcor Lodging LP, Global Senior Secured Notes§

 

(NR, B2)

 

10/01/14

 

10.000

 

775,750

 

525

 

Host Hotels & Resorts LP, Global Company Guaranteed Notes (Callable 05/15/13 @ $104.50)§

 

(BB+, Ba1)

 

05/15/17

 

9.000

 

578,813

 

 

 

 

 

 

 

 

 

 

 

1,354,563

 

Household & Leisure Products (0.3%)

 

 

 

 

 

 

 

 

 

450

 

ALH Finance Corp., Global Company Guaranteed Notes (Callable 01/15/11 @ $100.00)

 

(B-, Caa1)

 

01/15/13

 

8.500

 

454,500

 

 

 

 

 

 

 

 

 

 

 

 

 

lnvestments & Misc. Financial Services (0.4%)

 

 

 

 

 

 

 

 

 

600

 

SSI Co-Issuer LLC, Rule 144A, Senior Unsecured Notes (Callable 06/01/14 @ $105.56)‡

 

(B-, Caa1)

 

06/01/18

 

11.125

 

633,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Leisure (0.3%)

 

 

 

 

 

 

 

 

 

400

 

Magnum Management Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ $104.56)‡

 

(B-, B2)

 

08/01/18

 

9.125

 

409,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Machinery (1.3%)

 

 

 

 

 

 

 

 

 

650

 

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

 

(B, B3)

 

02/15/17

 

8.625

 

692,250

 

550

 

Cleaver-Brooks, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/13 @ $106.13)‡

 

(B, B2)

 

05/01/16

 

12.250

 

545,875

 

525

 

CPM Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 09/01/12 @ $105.31)‡

 

(B+, B2)

 

09/01/14

 

10.625

 

569,625

 

250

 

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

 

(B, Caa1)

 

11/15/17

 

8.000

 

243,750

 

 

 

 

 

 

 

 

 

 

 

2,051,500

 

Media - Broadcast (2.2%)

 

 

 

 

 

 

 

 

 

795

 

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

 

(CCC-, Caa2)

 

08/15/14

 

10.500

 

779,100

 

1,175

 

Clear Channel Communications, Inc., Senior Unsecured Notes

 

(CCC-, Ca)

 

09/15/14

 

5.500

 

699,125

 

74

 

CMP Susquehanna Corp., Global Company Guranteed Notes

 

(NR, NR)

 

05/15/14

 

3.272

 

51,800

 

550

 

Fisher Communications, Inc., Global Company Guaranteed Notes (Callable 09/15/10 @ $102.88)

 

(B-, B2)

 

09/15/14

 

8.625

 

550,000

 

695

 

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

 

(CCC, Caa2)

 

06/15/15

 

9.250

 

604,280

 

925

 

Mission Broadcasting, Inc., Rule 144A, Senior Secured Notes (Callable 04/15/14 @ $104.44)‡

 

(B-, B3)

 

04/15/17

 

8.875

 

957,375

 

1,525

 

Young Broadcasting, Inc., Global Company Guaranteed Notes (Callable 01/15/11 @ $101.46)ø

 

(NR, NR)

 

01/15/14

 

8.750

 

15

 

 

 

 

 

 

 

 

 

 

 

3,641,695

 

Media - Cable (7.1%)

 

 

 

 

 

 

 

 

 

1,375

 

Atlantic Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/11 @ $101.56)

 

(B-, B3)

 

01/15/14

 

9.375

 

1,395,625

 

200

 

Cablevision Systems Corp., Senior Unsecured Notes

 

(B+, B1)

 

04/15/18

 

7.750

 

209,500

 

1,150

 

Cablevision Systems Corp., Senior Unsecured Notes

 

(B+, B1)

 

04/15/20

 

8.000

 

1,221,875

 

731

 

CCH II Capital Corp., Global Senior Notes (Callable 11/30/12 @ $106.75)§

 

(B, B2)

 

11/30/16

 

13.500

 

871,362

 

1,925

 

CCO Holdings Capital Corp., Rule 144A, Company Guaranteed Notes (Callable 04/30/15 @ $104.06)‡

 

(B, B2)

 

04/30/20

 

8.125

 

2,045,312

 

850

 

Cequel Capital Corp., Rule 144A, Senior Unsecured Notes (Callable 11/15/12 @ $106.47)‡

 

(B-, B3)

 

11/15/17

 

8.625

 

871,250

 

675

 

CSC Holdings LLC, Global Senior Unsecured Notes

 

(BB, Ba3)

 

02/15/19

 

8.625

 

740,813

 

1,500

 

DISH DBS Corp., Global Company Guaranteed Notes

 

(BB-, Ba3)

 

09/01/19

 

7.875

 

1,601,250

 

1,425

 

Insight Communications Co., Inc., Rule 144A, Senior Notes (Callable 07/15/13 @ $107.03)‡

 

(B-, B3)

 

07/15/18

 

9.375

 

1,514,062

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Media - Cable

 

 

 

 

 

 

 

 

 

$

175

 

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

 

(B-, B3)

 

10/15/15

 

8.500

 

$

177,188

 

850

 

Mediacom Capital Corp., Global Unsecured Notes (Callable 08/15/14 @ $104.56)

 

(B-, B3)

 

08/15/19

 

9.125

 

867,000

 

 

 

 

 

 

 

 

 

 

 

11,515,237

 

Media - Diversified (1.4%)

 

 

 

 

 

 

 

 

 

2,225

 

Block Communications, Inc., Rule 144A, Senior Notes (Callable 12/15/10 @ $104.13)‡

 

(B, B1)

 

12/15/15

 

8.250

 

2,219,438

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Services (2.0%)

 

 

 

 

 

 

 

 

 

975

 

Clear Channel Worldwide Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/12 @ $106.94)‡

 

(B, B2)

 

12/15/17

 

9.250

 

1,026,625

 

450

 

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

 

(B-, Caa1)

 

05/01/16

 

11.500

 

507,375

 

600

 

SGS International, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ $103.00)

 

(B-, B3)

 

12/15/13

 

12.000

 

618,000

 

575

 

WMG Acquisition Corp., Global Company Guaranteed Notes (Callable 04/15/11 @ $101.23)

 

(B, B1)

 

04/15/14

 

7.375

 

569,250

 

400

 

WMG Acquisition Corp., Global Senior Secured Notes (Callable 06/15/13 @ $104.75)

 

(BB, Ba2)

 

06/15/16

 

9.500

 

437,000

 

 

 

 

 

 

 

 

 

 

 

3,158,250

 

Metals & Mining - Excluding Steel (0.8%)

 

 

 

 

 

 

 

 

 

225

 

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

 

(NR, NR)

 

12/15/14

 

9.000

 

653

 

1,100

 

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

 

(NR, NR)

 

12/15/16

 

10.000

 

3,190

 

1,547

 

Noranda Aluminium Acquisition Corp., Global Company Guaranteed Notes#

 

(CCC+, B3)

 

05/15/15

 

5.373

 

1,233,930

 

 

 

 

 

 

 

 

 

 

 

1,237,773

 

Oil Field Equipment & Services (4.3%)

 

 

 

 

 

 

 

 

 

550

 

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

 

(BB, Ba2)

 

09/15/17

 

7.500

 

550,000

 

1,025

 

Calfrac Holdings LP, Rule 144A, Company Guaranteed Notes (Callable 02/15/11 @ $103.88)‡

 

(NR, B2)

 

02/15/15

 

7.750

 

1,019,875

 

1,125

 

Edgen Murray Corp., Rule 144A, Senior Secured Notes (Callable 01/15/13 @ $106.13)‡

 

(B, Caa2)

 

01/15/15

 

12.250

 

947,812

 

550

 

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

 

(B, B3)

 

01/15/16

 

9.500

 

536,250

 

300

 

Hornbeck Offshore Services, Inc., Global Company Guaranteed Notes (Callable 09/01/13 @ $104.00)

 

(B+, Ba3)

 

09/01/17

 

8.000

 

282,375

 

350

 

Hornbeck Offshore Services, Inc., Series B, Global Company Guaranteed Notes (Callable 12/01/10 @ $102.04)

 

(B+, Ba3)

 

12/01/14

 

6.125

 

315,875

 

750

 

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

 

(BB-, B1)

 

12/01/14

 

8.375

 

776,250

 

800

 

McJunkin Red Man Corp., Rule 144A, Senior Secured Notes (Callable 12/15/12 @ $107.13)‡

 

(B, B3)

 

12/15/16

 

9.500

 

792,000

 

500

 

Parker Drilling Co., Rule 144A, Senior Notes (Callable 04/01/14 @ $104.56)‡

 

(B+, B1)

 

04/01/18

 

9.125

 

500,000

 

1,000

 

Pioneer Drilling Co., Rule 144A, Senior Notes (Callable 03/15/14 @ $104.94)‡

 

(B, B3)

 

03/15/18

 

9.875

 

1,010,000

 

200

 

Pride International, Inc., Senior Unsecured Notes

 

(BBB-, Ba1)

 

06/15/19

 

8.500

 

224,500

 

 

 

 

 

 

 

 

 

 

 

6,954,937

 

Oil Refining & Marketing (2.1%)

 

 

 

 

 

 

 

 

 

225

 

Coffeyville Finance, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/12 @ $106.75)‡

 

(BB-, Ba3)

 

04/01/15

 

9.000

 

231,750

 

1,600

 

Coffeyville Finance, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/13 @ $108.16)‡

 

(BB-, B3)

 

04/01/17

 

10.875

 

1,624,000

 

 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Oil Refining & Marketing

 

 

 

 

 

 

 

 

 

$

525

 

Tesoro Corp., Company Guaranteed Notes (Callable 06/01/14 @ $104.88)

 

(BB+, Ba1)

 

06/01/19

 

9.750

 

$

572,250

 

1,050

 

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

 

(NR, B3)

 

06/15/14

 

10.750

 

960,750

 

 

 

 

 

 

 

 

 

 

 

3,388,750

 

Packaging (2.8%)

 

 

 

 

 

 

 

 

 

880

 

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

 

(CCC, Caa1)

 

09/15/14

 

8.875

 

882,200

 

275

 

Berry Plastics Corp., Global Senior Secured Notes (Callable 11/15/12 @ $104.13)

 

(B, B1)

 

11/15/15

 

8.250

 

282,563

 

275

 

BWAY Holding Co., Rule 144A, Company Guaranteed Notes (Callable 06/15/14 @ $105.00)‡

 

(B-, B3)

 

06/15/18

 

10.000

 

292,875

 

725

 

GPC Capital Corp. I, Global Company Guaranteed Notes (Callable 10/15/10 @ $103.29)

 

(CCC+, Caa1)

 

10/15/14

 

9.875

 

755,812

 

1,000

 

GPC Capital Corp. I, Rule 144A, Senior Notes (Callable 01/01/14 @ $104.13)‡

 

(CCC+, Caa1)

 

01/01/17

 

8.250

 

1,005,000

 

500

 

Pregis Corp., Global Senior Secured Notes#

 

(B+, B2)

 

04/15/13

 

5.835

 

602,545

 

700

 

Reynolds Group Issuer LLC, Rule 144A, Senior Secured Notes (Callable 10/15/12 @ $103.88)‡

 

(BB-, B1)

 

10/15/16

 

7.750

 

735,000

 

 

 

 

 

 

 

 

 

 

 

4,555,995

 

Pharmaceuticals (0.3%)

 

 

 

 

 

 

 

 

 

458

 

QHP Royalty Sub LLC, Rule 144A, Senior Secured Notes‡

 

(NR, NR)

 

03/15/15

 

10.250

 

467,286

 

 

 

 

 

 

 

 

 

 

 

 

 

Printing & Publishing (2.2%)

 

 

 

 

 

 

 

 

 

950

 

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

 

(CCC+, Caa2)

 

01/15/15

 

10.500

 

923,875

 

1,000

 

Cenveo Corp., Global Senior Subordinated Notes (Callable 12/01/10 @ $101.31)

 

(B-, Caa1)

 

12/01/13

 

7.875

 

980,000

 

1,800

 

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

 

(NR, NR)

 

02/15/17

 

9.000

 

0

 

1,350

 

The Reader’s Digest Association, Inc., Rule 144A, Senior Secured Notes (Callable 02/15/13 @ $104.00)#‡

 

(B, B1)

 

02/15/17

 

9.500

 

1,363,500

 

351

 

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

 

(BB-, Ba3)

 

03/01/15

 

8.250

 

368,550

 

 

 

 

 

 

 

 

 

 

 

3,635,925

 

Real Estate Development & Management (0.7%)

 

 

 

 

 

 

 

 

 

1,300

 

Icahn Enterprises LP, Rule 144A, Senior Unsecured Notes#‡

 

(NR, NR)

 

08/15/13

 

4.000

 

1,157,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Restaurants (1.0%)

 

 

 

 

 

 

 

 

 

1,000

 

CKE Restaurants, Inc., Rule 144A, Senior Secured Notes (Callable 07/15/14 @ $105.69)‡

 

(B, B2)

 

07/15/18

 

11.375

 

1,022,500

 

525

 

Denny’s Holdings, Inc., Global Company Guaranteed Notes (Callable 10/01/10 @ $100.00)

 

(B-, Caa1)

 

10/01/12

 

10.000

 

532,875

 

 

 

 

 

 

 

 

 

 

 

1,555,375

 

Software/Services (2.7%)

 

 

 

 

 

 

 

 

 

1,000

 

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

 

(B-, Caa1)

 

08/15/15

 

10.250

 

1,055,000

 

525

 

Unisys Corp., Rule 144A, Senior Secured Notes (Callable 10/15/12 @ $106.38)‡

 

(BB-, Ba3)

 

10/15/14

 

12.750

 

601,125

 

1,150

 

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

 

(B, Caa1)

 

01/15/16

 

12.500

 

1,262,125

 

1,575

 

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

 

(CCC+, Caa2)

 

02/15/15

 

9.625

 

1,512,000

 

 

 

 

 

 

 

 

 

 

 

4,430,250

 

Specialty Retail (1.9%)

 

 

 

 

 

 

 

 

 

600

 

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

 

(B-, Caa1)

 

03/15/17

 

7.625

 

574,500

 

1,350

 

Brookstone Co., Inc., Global Senior Secured Notes (Callable 10/15/10 @ $103.00)

 

(C, Caa3)

 

10/15/12

 

12.000

 

1,140,750

 

325

 

Penske Automotive Group, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $103.88)

 

(B-, Caa1)

 

12/15/16

 

7.750

 

314,438

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Specialty Retail

 

 

 

 

 

 

 

 

 

$

500

 

Susser Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 05/15/13 @ $104.25)‡

 

(B+, B2)

 

05/15/16

 

8.500

 

$

520,000

 

460

 

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

 

(B-, B3)

 

02/15/15

 

8.500

 

476,100

 

 

 

 

 

 

 

 

 

 

 

3,025,788

 

Steel Producers/Products (1.3%)

 

 

 

 

 

 

 

 

 

800

 

California Steel Industries, Inc., Global Senior Notes (Callable 03/15/11 @ $101.02)

 

(BB-, B1)

 

03/15/14

 

6.125

 

776,000

 

700

 

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

 

(CCC+, Caa1)

 

11/01/15

 

12.000

 

736,750

 

525

 

Tube City IMS Corp., Global Company Guaranteed Notes (Callable 02/01/11 @ $104.88)

 

(B-, Caa1)

 

02/01/15

 

9.750

 

528,281

 

 

 

 

 

 

 

 

 

 

 

2,041,031

 

Support-Services (4.0%)

 

 

 

 

 

 

 

 

 

800

 

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

 

(B+, B2)

 

08/15/16

 

9.000

 

812,000

 

275

 

DynCorp International, Inc., Rule 144A, Senior Unsecured Notes (Callable 07/01/14 @ 105.19)‡

 

(B, B1)

 

07/01/17

 

10.375

 

285,656

 

475

 

Interactive Data Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ $105.13)‡

 

(B-, Caa1)

 

08/01/18

 

10.250

 

491,625

 

200

 

JohnsonDiversey Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/14 @ $104.13)‡

 

(B-, B3)

 

11/15/19

 

8.250

 

211,000

 

975

 

Maxim Crane Works LP, Rule 144A, Senior Secured Notes (Callable 04/15/12 @ $109.19)‡

 

(B, Caa1)

 

04/15/15

 

12.250

 

916,500

 

475

 

Sotheby’s, Global Company Guaranteed Notes

 

(B, B1)

 

06/15/15

 

7.750

 

486,875

 

550

 

The Geo Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/13 @ $103.88)‡

 

(BB-, B1)

 

10/15/17

 

7.750

 

570,625

 

600

 

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

 

(CCC+, B3)

 

01/01/16

 

10.500

 

640,500

 

1,150

 

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

 

(CCC, Caa1)

 

09/01/16

 

11.875

 

1,242,000

 

475

 

United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 02/15/11 @ $101.17)

 

(CCC+, Caa1)

 

02/15/14

 

7.000

 

473,813

 

300

 

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

 

(B, B3)

 

06/15/16

 

10.875

 

333,000

 

 

 

 

 

 

 

 

 

 

 

6,463,594

 

Telecom - Integrated/Services (5.1%)

 

 

 

 

 

 

 

 

 

525

 

Frontier Communications Corp., Senior Unsecured Notes

 

(BB, Ba2)

 

10/01/18

 

8.125

 

559,125

 

575

 

Frontier Communications Corp., Rule 144A, Senior Unsecured Notes‡

 

(BB, Ba2)

 

04/15/20

 

8.500

 

616,688

 

700

 

HNS Finance Corp., Global Company Guaranteed Notes (Callable 04/15/11 @ $102.38)

 

(B, B1)

 

04/15/14

 

9.500

 

731,500

 

2,075

 

Intelsat Corp., Global Senior Unsecured Notes (Callable 08/15/10 @ $103.13)

 

(BB-, B3)

 

08/15/14

 

9.250

 

2,152,812

 

950

 

Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 02/01/14 @ $105.00)

 

(CCC, Caa1)

 

02/01/18

 

10.000

 

870,437

 

175

 

Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 02/15/11 @ $100.00)#

 

(CCC, Caa1)

 

02/15/15

 

4.140

 

141,313

 

850

 

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

 

(CCC+, Caa1)

 

07/15/15

 

9.500

 

854,250

 

525

 

Qwest Communications International, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/12 @ $104.00)‡

 

(B+, Ba3)

 

10/01/15

 

8.000

 

561,750

 

1,250

 

Qwest Communications International, Inc., Series B, Global Company Guaranteed Notes (Callable 02/15/11 @ $101.25)

 

(B+, Ba3)

 

02/15/14

 

7.500

 

1,287,500

 

450

 

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

 

(B+, Ba3)

 

08/01/16

 

8.625

 

471,375

 

 

 

 

 

 

 

 

 

 

 

8,246,750

 

Telecom - Wireless (3.9%)

 

 

 

 

 

 

 

 

 

650

 

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

 

(B-, B3)

 

11/01/14

 

9.375

 

675,188

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Telecom - Wireless

 

 

 

 

 

 

 

 

 

$

250

 

Cricket Communications, Inc., Global Senior Secured Notes (Callable 05/15/12 @ $105.81)

 

(B+, Ba2)

 

05/15/16

 

7.750

 

$

260,000

 

1,300

 

GeoEye, Inc., Rule 144A, Senior Secured Notes (Callable 10/01/13 @ $104.81)‡

 

(B, B1)

 

10/01/15

 

9.625

 

1,371,500

 

2,648

 

Nextel Communications, Inc., Series F, Company Guaranteed Notes (Callable 03/15/11 @ $101.74)

 

(BB-, Ba2)

 

03/15/14

 

5.950

 

2,561,940

 

1,525

 

Sprint Nextel Corp., Senior Unsecured Notes

 

(BB-, Ba3)

 

12/01/16

 

6.000

 

1,444,937

 

 

 

 

 

 

 

 

 

 

 

6,313,565

 

Telecommunications (0.5%)

 

 

 

 

 

 

 

 

 

850

 

Avaya, Inc., Global Company Guaranteed Notes (Callable 11/01/11 @ $104.88)

 

(CCC+, Caa2)

 

11/01/15

 

9.750

 

828,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Theaters & Entertainment (1.3%)

 

 

 

 

 

 

 

 

 

1,300

 

AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 03/01/11 @ $101.33)

 

(CCC+, Caa1)

 

03/01/14

 

8.000

 

1,306,500

 

750

 

AMC Entertainment, Inc., Global Senior Unsecured Notes (Callable 06/01/14 @ $104.38)

 

(B-, B1)

 

06/01/19

 

8.750

 

791,250

 

 

 

 

 

 

 

 

 

 

 

2,097,750

 

TOTAL U.S. CORPORATE BONDS (Cost $190,772,914)

 

 

 

 

 

 

 

187,771,471

 

 

 

 

 

 

 

 

 

 

 

FOREIGN CORPORATE BONDS (11.9%)

 

 

 

 

 

 

 

 

 

Chemicals (2.3%)

 

 

 

 

 

 

 

 

 

1,150

 

Cognis GmbH, Rule 144A, Senior Secured Notes (Germany)#‡

 

(B, B2)

 

09/15/13

 

2.537

 

1,144,250

 

800

 

Cy SCA, Rule 144A, Senior Secured Notes (Callable 07/15/13 @ $107.13) (Luxembourg)‡

 

(B+, B2)

 

07/15/17

 

9.500

 

817,664

 

400

 

Ineos Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/15/13 @ $104.50) (United Kingdom)‡

 

(B, B2)

 

05/15/15

 

9.000

 

410,000

 

1,675

 

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

 

(CCC, Caa3)

 

02/15/16

 

8.500

 

1,394,437

 

 

 

 

 

 

 

 

 

 

 

3,766,351

 

Electronics (0.2%)

 

 

 

 

 

 

 

 

 

785

 

New Asat, Ltd., Global Company Guaranteed Notes (Cayman Islands)ø

 

(NR, NR)

 

02/01/11

 

9.250

 

5,890

 

200

 

NXP Funding LLC Rule 144A, Senior Secured Notes (Callable 08/01/14 @ $104.88) (Netherlands)‡

 

(CCC+, Caa1)

 

08/01/18

 

9.750

 

211,500

 

50

 

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

 

(CCC+, Caa1)

 

10/15/14

 

7.875

 

50,625

 

 

 

 

 

 

 

 

 

 

 

268,015

 

Energy - Exploration & Production (0.5%)

 

 

 

 

 

 

 

 

 

875

 

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

 

(B, Caa3)

 

12/15/14

 

8.250

 

764,531

 

 

 

 

 

 

 

 

 

 

 

 

 

Forestry & Paper (1.2%)

 

 

 

 

 

 

 

 

 

2,325

 

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

 

(NR, NR)

 

06/15/11

 

7.750

 

293,531

 

500

 

Smurfit Kappa Acquisitions, Rule 144A, Senior Secured Notes (Callable 11/15/13 @ $103.63) (Ireland)‡

 

(BB, Ba2)

 

11/15/17

 

7.250

 

670,942

 

1,000

 

Smurfit Kappa Funding PLC, Global Senior Subordinated Notes (Callable 01/31/11 @ $102.58) (Ireland)

 

(B, B2)

 

04/01/15

 

7.750

 

1,015,000

 

 

 

 

 

 

 

 

 

 

 

1,979,473

 

Gaming (0.9%)

 

 

 

 

 

 

 

 

 

600

 

Codere Finance Luxembourg SA, Rule 144A, Senior Secured Notes (Callable 06/15/11 @ $102.75) (Luxembourg)‡

 

(B, B2)

 

06/15/15

 

8.250

 

756,275

 

600

 

Peermont Global Proprietary, Ltd., Rule 144A, Senior Secured Notes (Callable 04/30/11 @ $103.88) (South Africa)‡

 

(B, B3)

 

04/30/14

 

7.750

 

685,924

 

 

 

 

 

 

 

 

 

 

 

1,442,199

 

Media - Cable (0.9%)

 

 

 

 

 

 

 

 

 

200

 

Unitymedia NRW GmbH, Rule 144A, Senior Secured Notes (Callable 12/01/12 @ $108.22) (Germany)‡

 

(BB-, B1)

 

12/01/17

 

8.125

 

270,331

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

FOREIGN CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Media - Cable

 

 

 

 

 

 

 

 

 

$

150

 

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

 

(B+, B1)

 

08/15/16

 

9.125

 

$

162,000

 

1,000

 

Virgin Media Finance PLC, Global Company Guaranteed Notes (Callable 10/15/14 @ $104.19) (United Kingdom)

 

(B+, Ba3)

 

10/15/19

 

8.375

 

1,090,000

 

 

 

 

 

 

 

 

 

 

 

1,522,331

 

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

 

612,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Oil Field Equipment & Services (0.9%)

 

 

 

 

 

 

 

 

 

475

 

Cie Generale de Geophysique-Veritas, Global Company Guaranteed Notes (Callable 05/15/11 @ $102.50) (France)

 

(BB-, Ba3)

 

05/15/15

 

7.500

 

467,875

 

950

 

Offshore Group Investments, Ltd., Rule 144A, Senior Secured Notes (Callable 02/01/13 @ $108.63) (Cayman Islands)‡

 

(B-, B3)

 

08/01/15

 

11.500

 

950,000

 

 

 

 

 

 

 

 

 

 

 

1,417,875

 

Packaging (0.2%)

 

 

 

 

 

 

 

 

 

275

 

Impress Holdings BV, Rule 144A, Company Guaranteed Notes (Callable 09/15/10 @ $104.63) (Netherlands)‡

 

(B-, B3)

 

09/15/14

 

9.250

 

377,975

 

 

 

 

 

 

 

 

 

 

 

 

 

Pharmaceuticals (0.4%)

 

 

 

 

 

 

 

 

 

625

 

Patheon, Inc., Rule 144A, Senior Secured Notes (Callable 04/15/13 @ $106.47) (Canada)‡

 

(B+, B1)

 

04/15/17

 

8.625

 

627,344

 

 

 

 

 

 

 

 

 

 

 

 

 

Support-Services (0.3%)

 

 

 

 

 

 

 

 

 

425

 

Garda World Security Corp., Rule 144A, Senior Unsecured Notes (Callable 03/15/14 @ $104.88) (Canada)‡

 

(B, B3)

 

03/15/17

 

9.750

 

450,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Integrated/Services (1.2%)

 

 

 

 

 

 

 

 

 

1,507

 

Global Crossing UK Finance PLC, Global Senior Secured Notes (Callable 12/15/10 @ $103.58) (United Kingdom)

 

(B-, B3)

 

12/15/14

 

10.750

 

1,563,512

 

550

 

Hellas Telecommunications II SCA, Rule 144A, Subordinated Notes (Luxembourg)ø#‡

 

(NR, NR)

 

01/15/15

 

6.034

 

13,750

 

350

 

Intelsat Jackson Holdings Ltd. Rule 144A (Bermuda)‡

 

(B+, B3)

 

11/01/19

 

8.500

 

371,875

 

25

 

Intelsat Subsidiary Holding Co., Ltd., Global Company Guaranteed Notes (Callable 01/15/11 @ $102.96) (Bermuda)

 

(B+, B3)

 

01/15/15

 

8.875

 

26,063

 

 

 

 

 

 

 

 

 

 

 

1,975,200

 

Telecom - Wireless (0.6%)

 

 

 

 

 

 

 

 

 

750

 

Wind Acquisition Finance SA, Rule 144A, Secured Notes (Callable 07/15/13 @ $105.88) (Luxembourg)‡

 

(B+, B2)

 

07/15/17

 

11.750

 

920,801

 

 

 

 

 

 

 

 

 

 

 

 

 

Textiles & Apparel (0.0%)

 

 

 

 

 

 

 

 

 

75

 

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

 

(NR, NR)

 

11/15/12

 

9.875

 

15,633

 

 

 

 

 

 

 

 

 

 

 

 

 

Transportation - Excluding Air/Rail (1.9%)

 

 

 

 

 

 

 

 

 

1,250

 

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

 

(B+, B3)

 

12/15/14

 

9.500

 

1,231,250

 

1,325

 

Ship Finance International, Ltd., Global Company Guaranteed Notes (Callable 12/15/10 @ $102.83) (Bermuda)

 

(B+, B1)

 

12/15/13

 

8.500

 

1,321,687

 

525

 

Teekay Corp., Global Senior Unsecured Notes (Canada)

 

(BB, B1)

 

01/15/20

 

8.500

 

553,875

 

 

 

 

 

 

 

 

 

 

 

3,106,812

 

TOTAL FOREIGN CORPORATE BONDS (Cost $21,337,767)

 

 

 

 

 

 

 

19,247,040

 

 

 

 

 

 

 

 

 

 

 

BANK LOANS (1.1%)

 

 

 

 

 

 

 

 

 

Gaming (0.3%)

 

 

 

 

 

 

 

 

 

481

 

CCM Merger, Inc.

 

(NR, NR)

 

07/21/12

 

8.500

 

472,434

 

 


 

Par 
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

BANK LOANS

 

 

 

 

 

 

 

 

 

Pharmaceuticals (0.2%)

 

 

 

 

 

 

 

 

 

$

378

 

Nycomed Holdings Aps

 

(NR, NR)

 

12/29/13

 

3.389

 

$

355,944

 

 

 

 

 

 

 

 

 

 

 

Telecommunications (0.6%)

 

 

 

 

 

 

 

 

 

1,064

 

AVAYA, Inc.

 

(NR, NR)

 

10/24/14

 

3.058

 

944,022

 

 

 

 

 

 

 

 

 

 

 

TOTAL BANK LOANS (Cost $1,413,020)

 

 

 

 

 

 

 

1,772,400

 

 

Number of
Shares

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

COMMON STOCKS (1.2%)

 

 

 

 

 

 

 

 

 

Banks (0.3%)

 

 

 

 

 

 

 

 

 

13,710

 

CIT Group, Inc.*

 

 

 

 

 

 

 

498,495

 

 

 

 

 

 

 

 

 

 

 

Building Materials (0.0%)

 

 

 

 

 

 

 

 

 

437

 

Nortek, Inc.*

 

 

 

 

 

 

 

17,480

 

 

 

 

 

 

 

 

 

 

 

Chemicals (0.1%)

 

 

 

 

 

 

 

 

 

4,893

 

Huntsman Corp.

 

 

 

 

 

 

 

51,230

 

 

 

 

 

 

 

 

 

 

 

Forestry & Paper (0.4%)

 

 

 

 

 

 

 

 

 

29,520

 

Smurfit-Stone Container Corp.*

 

 

 

 

 

 

 

615,492

 

 

 

 

 

 

 

 

 

 

 

Leisure (0.4%)

 

 

 

 

 

 

 

 

 

20,556

 

Six Flags Entertainment Corp.*§

 

 

 

 

 

 

 

667,453

 

 

 

 

 

 

 

 

 

 

 

Printing & Publishing (0.0%)

 

 

 

 

 

 

 

 

 

1,322

 

SuperMedia, Inc.*§

 

 

 

 

 

 

 

27,881

 

 

 

 

 

 

 

 

 

 

 

TOTAL COMMON STOCKS (Cost $4,206,213)

 

 

 

 

 

 

 

1,878,031

 

 

 

 

 

 

 

 

 

 

 

PREFERRED STOCKS (0.3%)

 

 

 

 

 

 

 

 

 

Banks (0.3%)

 

 

 

 

 

 

 

 

 

473

 

Ally Financial, Inc., Rule 144A (Callable 12/31/11 @ $1,000)‡

 

 

 

 

 

 

 

388,466

 

 

 

 

 

 

 

 

 

 

 

Media - Broadcast (0.0%)

 

 

 

 

 

 

 

 

 

17,257

 

CMP Susquehanna Radio Holdings Corp., Rule 144A, Series A*‡

 

 

 

 

 

 

 

2

 

 

 

 

 

 

 

 

 

 

 

TOTAL PREFERRED STOCKS (Cost $98,096)

 

 

 

 

 

 

 

388,468

 

 

 

 

 

 

 

 

 

 

 

WARRANTS (0.0%)

 

 

 

 

 

 

 

 

 

Building Materials (0.0%)

 

 

 

 

 

 

 

 

 

1,152

 

Nortek, Inc., strike price $1.00, expires 12/07/14*^

 

 

 

 

 

 

 

1,152

 

 

 

 

 

 

 

 

 

 

 

Media - Broadcast (0.0%)

 

 

 

 

 

 

 

 

 

19,721

 

CNB Capital Trust I, Rule 144A, strike price $0.00, expires 03/23/19*‡

 

 

 

 

 

 

 

2

 

 

 

 

 

 

 

 

 

 

 

Printing & Publishing (0.0%)

 

 

 

 

 

 

 

 

 

5,735

 

The Readers Digest Association, Inc., strike price $0.00, expires 02/15/17*^

 

 

 

 

 

 

 

0

 

 

 

 

 

 

 

 

 

 

 

TOTAL WARRANTS (Cost $1,152)

 

 

 

 

 

 

 

1,154

 

 

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS (6.5%)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

10,300,244

 

State Street Navigator Prime Portfolio§§

 

 

 

 

 

 

 

10,300,244

 

 

Par
(000)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

274

 

State Street Bank and Trust Co. Euro Time Deposit

 

 

 

08/02/10

 

0.010

 

274,000

 

 

 

 

 

 

 

 

 

 

 

TOTAL SHORT-TERM INVESTMENTS (Cost $10,574,244)

 

 

 

 

 

 

 

10,574,244

 

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS AT VALUE (137.0%) (Cost $228,403,406)

 

 

 

 

 

221,632,808

 

 

 

 

 

 

 

 

 

 

 

LIABILITIES IN EXCESS OF OTHER ASSETS (-37.0%)

 

 

 

 

 

 

 

(59,811,469

)

 

 

 

 

 

 

 

 

 

 

NET ASSETS (100.0%)

 

 

 

 

 

 

 

$

161,821,339

 

 


 

Forward Foreign Currency
to be Purchased (Local)

 

Forward Foreign Currency
to be Sold (Local)

 

Expiration
Date

 

Value on
Settlement Date

 

Current
Value

 

Unrealized
Depreciation

 

 

 

 

 

 

 

 

 

Open Forward Foreign Currency Contract

 

 

 

 

 

 

 

USD

 

4,104,683

 

EUR

 

3,225,000

 

10/15/10

 

$

(4,104,683

)

$

(4,200,971

)

$

(96,288

)

 

INVESTMENT ABBREVIATIONS

MTN = Medium Term Note

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, 2010, these securities amounted to a value of $72,689,615 or 44.9% of net assets.

^

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 is the rate as of July 31, 2010.

+

Step Bond — The interest rate is as of July 31, 2010 and will reset at a future date.

ø

Bond is currently in default.

*

Non-income producing security.

§

Security or portion thereof is out on loan.

§§

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

 

Currency Abbreviations:

 

EUR - Euro Currency

 

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. The Fund may utilize a service provided by an independent third party which has been approved by the Board of Trustees to fair value certain securities. When fair-value pricing is employed, the prices of securities used by a fund to

calculate its net asset value may differ from quoted or published prices for the same securities.

 

In accordance with the authoritative guidance on fair value measurements and disclosures under accounting principles generally accepted in the United States of America (“GAAP”), the Fund discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, 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. GAAP 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, 2010 in valuing the Fund’s investments carried at value:

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Investments in Securities

 

 

 

 

 

 

 

 

 

U.S. Corporate Bonds

 

$

—

 

$

187,771,471

 

$

—

 

$

187,771,471

 

Foreign Corporate Bonds

 

—

 

19,247,040

 

—

 

19,247,040

 

Bank Loans

 

—

 

1,772,400

 

—

 

1,772,400

 

Common Stocks

 

1,878,031

 

—

 

—

 

1,878,031

 

Preferred Stocks

 

388,466

 

2

 

—

 

388,468

 

Warrants

 

—

 

2

 

1,152

 

1,154

 

Short-Term Investments

 

10,300,244

 

274,000

 

—

 

10,574,244

 

Other Financial Instruments *

 

 

 

 

 

 

 

 

 

Forward Foreign Currency Contracts

 

—

 

(96,288

)

—

 

(96,288

)

 

 

$

12,566,741

 

$

208,968,627

 

$

1,152

 

$

221,536,520

 

 

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

 

As of July 31, 2010, the amounts shown by the Fund as being Level 3 securities that were measured at fair value amounted to less than 0.01% of net assets.

 

Effective January 1, 2010, the Fund adopted FASB amendments to authoritative guidance which requires the Fund to disclose details of significant transfers in and out of Level 1 and Level 2 measurements and the reasons for the transfers. For the quarter ended July 31, 2010, there were no significant transfers in and out of Level 1 and Level 2.

 

Federal Income Tax Cost — At July 31, 2010, 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 $228,403,406, $12,832,732, $(19,603,330) and $(6,770,598), 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/John G. Popp

 

 

Name:

John G. Popp

 

 

Title:

Chief Executive Officer

 

 

Date:

September 14, 2010

 

 

 

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/John G. Popp

 

 

Name:

John G. Popp

 

 

Title:

Chief Executive Officer

 

 

Date:

September 14, 2010

 

 

 

 

 

 

/s/Michael A. Pignataro

 

 

Name:

Michael A. Pignataro

 

 

Title:

Chief Financial Officer

 

 

Date:

September 14, 2010