N-Q 1 a11-7054_3nq.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:

November 1, 2010 to January 31, 2011

 

 


 

Item 1:                   Schedule of Investments

 


 

Credit Suisse High Yield Bond Fund

Schedule of Investments

January 31, 2011 (unaudited)

 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS (129.5%)

 

 

 

 

 

 

 

 

 

Aerospace & Defense (0.4%)

 

 

 

 

 

 

 

 

 

$

550

 

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

 

(CCC-, Caa3)

 

04/01/15

 

8.500

 

$

405,625

 

825

 

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

 

(CCC-, Ca)

 

04/01/17

 

9.750

 

484,688

 

 

 

 

 

 

 

 

 

 

 

890,313

 

Auto Loans (0.3%)

 

 

 

 

 

 

 

 

 

550

 

Ford Motor Credit Co. LLC, Senior Unsecured Notes

 

(BB-, Ba2)

 

12/15/16

 

8.000

 

624,589

 

 

 

 

 

 

 

 

 

 

 

 

 

Auto Parts & Equipment (5.1%)

 

 

 

 

 

 

 

 

 

1,000

 

Affinia Group Holdings, Inc., Rule 144A, Senior Subordinated Notes (Callable 11/30/11 @ $101.50)‡

 

(CCC+, B3)

 

11/30/14

 

9.000

 

1,025,000

 

350

 

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

 

(BB-, Ba2)

 

01/15/17

 

9.250

 

399,000

 

775

 

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

 

(B-, B3)

 

03/01/17

 

7.875

 

811,812

 

1,200

 

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

 

(CCC+, B2)

 

06/01/17

 

9.750

 

1,320,000

 

875

 

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

 

(CCC+, Caa1)

 

03/15/18

 

10.625

 

1,001,875

 

2,150

 

Euro Lux SCA, Rule 144A, Senior Secured Notes (Callable 12/15/13 @ $106.66)‡

 

(BB-, Ba3)

 

12/15/17

 

8.875

 

3,168,722

 

1,975

 

Stanadyne Corp., Series 1, Global Senior Subordinated Notes (Callable 08/15/11 @ $101.67)

 

(CCC, Caa1)

 

08/15/14

 

10.000

 

1,994,750

 

950

 

Stoneridge, Inc., Rule 144A, Senior Secured Notes (Callable 10/15/14 @ $104.75)‡

 

(B+, B3)

 

10/15/17

 

9.500

 

1,049,750

 

675

 

Uncle Acquisition 2010 Corp., Rule 144A, Senior Notes (Callable 02/15/15 @ $104.31)‡

 

(CCC+, B3)

 

02/15/19

 

8.625

 

707,063

 

 

 

 

 

 

 

 

 

 

 

11,477,972

 

Banks (0.3%)

 

 

 

 

 

 

 

 

 

634

 

Ally Financial, Inc., Global Company Guaranteed Notes

 

(B, B3)

 

04/01/11

 

6.000

 

637,170

 

119

 

Ally Financial, Inc., Global Subordinated Notes

 

(CCC+, B3)

 

12/31/18

 

8.000

 

130,305

 

 

 

 

 

 

 

 

 

 

 

767,475

 

Beverages (0.9%)

 

 

 

 

 

 

 

 

1,850

 

Beverages & More, Inc., Rule 144A, Senior Secured Notes (Callable 10/01/12 @ $104.81)‡

 

(B-, Caa1)

 

10/01/14

 

9.625

 

1,937,875

 

 

 

 

 

 

 

 

 

 

 

 

 

Building & Construction (1.6%)

 

 

 

 

 

 

 

 

 

741

 

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

 

(NR, NR)

 

06/30/15

 

0.000

 

413,108

 

600

 

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

 

(CCC-, Caa2)

 

01/15/16

 

6.250

 

456,000

 

1,900

 

Tutor Perini Corp., Rule 144A, Company Guaranteed Notes (Callable 11/01/14 @ $103.81)‡

 

(BB-, Ba3)

 

11/01/18

 

7.625

 

1,947,500

 

1,000

 

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

 

(CC, Caa3)

 

04/01/13

 

10.750

 

875,000

 

 

 

 

 

 

 

 

 

 

 

3,691,608

 

Building Materials (4.5%)

 

 

 

 

 

 

 

 

 

1,100

 

Associated Materials LLC, Rule 144A, Senior Secured Notes (Callable 11/01/13 @ $106.84)‡

 

(B, B3)

 

11/01/17

 

9.125

 

1,185,250

 

1,285

 

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

 

(B-, B3)

 

07/01/13

 

10.500

 

1,320,337

 

500

 

Dayton Superior Corp., Company Guaranteed Notesø^

 

(NR, NR)

 

06/15/09

 

13.000

 

0

 

2,325

 

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

 

(B+, B2)

 

11/01/14

 

11.375

 

2,604,000

 

3,000

 

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

 

(B, B3)

 

04/15/15

 

9.750

 

3,165,000

 

114

 

Norcraft Capital Corp., Global Senior Discount Notes

 

(CCC, Caa1)

 

09/01/12

 

9.750

 

114,855

 

775

 

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

 

(B-, B2)

 

12/15/15

 

10.500

 

831,188

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Building Materials

 

 

 

 

 

 

 

 

 

$

1,000

 

USG Corp., Rule 144A, Company Guaranteed Notes (Callable 10/15/14 @ $104.19)‡

 

(BB, B2)

 

10/15/18

 

8.375

 

$

1,042,500

 

 

 

 

 

 

 

 

 

 

 

10,263,130

 

Chemicals (7.0%)

 

 

 

 

 

 

 

 

 

800

 

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

 

(B+, B2)

 

07/15/17

 

9.500

 

881,000

 

1,150

 

Darling International, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/14 @ $104.25)‡

 

(B, B2)

 

12/15/18

 

8.500

 

1,247,750

 

1,350

 

Ferro Corp., Senior Unsecured Notes (Callable 08/15/14 @ $103.94)

 

(B, B2)

 

08/15/18

 

7.875

 

1,446,187

 

500

 

Hexion Nova Scotia Finance ULC, Rule 144A, Secured Notes (Callable 11/15/15 @ $104.50)‡

 

(CCC+, Caa1)

 

11/15/20

 

9.000

 

535,000

 

400

 

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

 

(B, B1)

 

05/15/15

 

9.000

 

440,000

 

1,675

 

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

 

(CCC, Caa2)

 

02/15/16

 

8.500

 

1,716,875

 

269

 

Lyondell Chemical Co., Rule 144A, Senior Secured Notes (Callable 05/01/13 @ $106.00)‡

 

(BB, Ba2)

 

11/01/17

 

8.000

 

300,944

 

701

 

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

 

(CCC, B2)

 

06/15/14

 

12.500

 

786,873

 

2,000

 

Momentive Performance Materials, Inc., Rule 144A, Secured Notes (Callable 01/15/16 @ $104.88)‡

 

(CCC, Caa1)

 

01/15/21

 

9.000

 

2,135,000

 

575

 

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

 

(B, B1)

 

02/01/14

 

9.000

 

588,656

 

2,275

 

Omnova Solutions, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/14 @ $103.94)‡

 

(B-, B2)

 

11/01/18

 

7.875

 

2,343,250

 

1,250

 

Polymer Group, Inc., Rule 144A, Senior Secured Notes (Callable 02/01/15 @ $103.88)‡

 

(B, B1)

 

02/01/19

 

7.750

 

1,290,625

 

1,175

 

Reichhold Industries, Inc., Rule 144A, Senior Notes (Callable 08/15/11 @ $102.25)‡

 

(CCC+, Caa2)

 

08/15/14

 

9.000

 

1,042,812

 

950

 

TPC Group LLC, Rule 144A, Senior Secured Notes (Callable 10/01/13 @ $106.19)‡

 

(B+, B1)

 

10/01/17

 

8.250

 

1,012,938

 

 

 

 

 

 

 

 

 

 

 

15,767,910

 

Computer Hardware (2.2%)

 

 

 

 

 

 

 

 

 

1,225

 

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

 

(CCC+, Caa1)

 

05/01/16

 

9.500

 

1,246,438

 

3,750

 

Spansion LLC, Rule 144A, Company Guaranteed Notes (Callable 11/15/13 @ $103.94)‡

 

(B, NR)

 

11/15/17

 

7.875

 

3,773,437

 

 

 

 

 

 

 

 

 

 

 

5,019,875

 

Consumer Products (1.6%)

 

 

 

 

 

 

 

 

 

375

 

Prestige Brands, Inc., Global Company Guaranteed Notes (Callable 04/01/14 @ $104.13)

 

(B, B3)

 

04/01/18

 

8.250

 

391,875

 

2,000

 

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

 

(B, B3)

 

04/01/18

 

8.250

 

2,090,000

 

1,100

 

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

 

(B, B2)

 

06/15/18

 

9.500

 

1,212,750

 

 

 

 

 

 

 

 

 

 

 

3,694,625

 

Consumer/Commercial/Lease Financing (4.5%)

 

 

 

 

 

 

 

 

 

600

 

AWAS Aviation Capital, Ltd., Rule 144A, Senior Secured Notes (Callable 10/18/13 @ $103.50)‡

 

(BBB-, Ba2)

 

10/15/16

 

7.000

 

606,000

 

159

 

CIT Group, Inc., Senior Secured Notes (Callable 01/01/12 @ $100.00)

 

(B+, B3)

 

05/01/13

 

7.000

 

163,065

 

239

 

CIT Group, Inc., Senior Secured Notes (Callable 01/01/12 @ $100.00)

 

(B+, B3)

 

05/01/14

 

7.000

 

244,000

 

839

 

CIT Group, Inc., Senior Secured Notes (Callable 01/01/12 @ $100.00)

 

(B+, B3)

 

05/01/15

 

7.000

 

852,555

 

398

 

CIT Group, Inc., Senior Secured Notes (Callable 01/01/12 @ $100.00)

 

(B+, B3)

 

05/01/16

 

7.000

 

403,183

 

557

 

CIT Group, Inc., Senior Secured Notes (Callable 01/01/12 @ $100.00)

 

(B+, B3)

 

05/01/17

 

7.000

 

563,760

 

1,500

 

FCC Holdings, Inc., Rule 144A, Notes (Callable 12/15/12 @ $106.00)‡

 

(B-, B3)

 

12/15/15

 

12.000

 

1,515,000

 

1,300

 

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

 

(BB+, B1)

 

09/15/15

 

8.625

 

1,452,750

 

675

 

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

 

(BB+, B1)

 

03/15/17

 

8.750

 

757,687

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Consumer/Commercial/Lease Financing

 

 

 

 

 

 

 

 

 

$

1,250

 

iPayment, Inc., Global Company Guaranteed Notes (Callable 05/15/11 @ $102.44)

 

(CCC, Caa1)

 

05/15/14

 

9.750

 

$

1,221,875

 

2,300

 

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

 

(B+, Ba3)

 

04/15/17

 

10.250

 

2,472,500

 

 

 

 

 

 

 

 

 

 

 

10,252,375

 

Department Stores (0.3%)

 

 

 

 

 

 

 

 

 

600

 

The Neiman Marcus Group, Inc., Global Company Guaranteed Notes (Callable 10/15/11 @ $103.46)

 

(CCC+, Caa2)

 

10/15/15

 

10.375

 

637,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Diversified Capital Goods (2.6%)

 

 

 

 

 

 

 

 

 

450

 

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

 

(B+, Ba2)

 

03/15/17

 

7.000

 

459,000

 

625

 

Belden, Inc., Global Notes (Callable 06/15/14 @ $104.63)

 

(B+, Ba2)

 

06/15/19

 

9.250

 

695,313

 

800

 

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

 

(B, B3)

 

02/15/18

 

9.000

 

832,000

 

950

 

Leucadia National Corp., Global Senior Unsecured Notes (Callable 03/15/12 @ $103.56)

 

(BB+, B1)

 

03/15/17

 

7.125

 

992,750

 

950

 

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

 

(CCC+, B3)

 

06/01/17

 

7.375

 

927,437

 

800

 

Mueller Water Products, Inc., Global Company Guaranteed Notes (Callable 09/01/15 @ $104.38)

 

(B+, B1)

 

09/01/20

 

8.750

 

892,000

 

425

 

Sensus USA Systems, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $100.00)

 

(B-, B3)

 

12/15/13

 

8.625

 

433,500

 

600

 

Trimas Corp., Global Senior Secured Notes (Callable 12/15/13 @ $104.88)

 

(B-, NR)

 

12/15/17

 

9.750

 

664,500

 

 

 

 

 

 

 

 

 

 

 

5,896,500

 

Electric - Generation (5.3%)

 

 

 

 

 

 

 

 

 

1,050

 

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

 

(B+, B1)

 

07/31/20

 

7.875

 

1,105,125

 

1,275

 

Dynegy Holdings, Inc., Global Senior Unsecured Notes

 

(B-, Caa2)

 

05/01/16

 

8.375

 

1,013,625

 

1,475

 

Edison Mission Energy, Global Senior Unsecured Notes

 

(B-, B3)

 

05/15/17

 

7.000

 

1,216,875

 

675

 

Edison Mission Energy, Global Senior Unsecured Notes

 

(B-, B3)

 

05/15/19

 

7.200

 

545,063

 

1,175

 

Mirant Americas Generation LLC, Senior Unsecured Notes

 

(BB-, B3)

 

10/01/21

 

8.500

 

1,245,500

 

447

 

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

 

(BB-, Ba1)

 

06/30/17

 

9.125

 

489,700

 

1,325

 

Northern Tier Finance Corp., Rule 144A, Senior Secured Notes (Callable 12/01/13 @ $107.88)‡

 

(BB-, B1)

 

12/01/17

 

10.500

 

1,432,656

 

350

 

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

 

(BB-, B1)

 

01/15/17

 

7.375

 

364,875

 

550

 

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

 

(BB-, B1)

 

02/01/16

 

7.375

 

570,625

 

625

 

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

 

(BB-, B1)

 

06/15/19

 

8.500

 

654,687

 

775

 

NRG Energy, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/15 @ $104.13)‡

 

(BB-, B1)

 

09/01/20

 

8.250

 

799,219

 

2,975

 

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

 

(D, Caa3)

 

11/01/15

 

10.250

 

1,844,500

 

1,175

 

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

 

(D, Caa3)

 

11/01/15

 

10.250

 

725,562

 

 

 

 

 

 

 

 

 

 

 

12,008,012

 

Electric - Integrated (0.8%)

 

 

 

 

 

 

 

 

 

550

 

The AES Corp., Global Senior Unsecured Notes

 

(BB, B1)

 

04/15/16

 

9.750

 

636,625

 

1,000

 

The AES Corp., Global Senior Unsecured Notes

 

(BB, B1)

 

10/15/17

 

8.000

 

1,087,500

 

 

 

 

 

 

 

 

 

 

 

1,724,125

 

Electronics (0.9%)

 

 

 

 

 

 

 

 

 

1,075

 

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

 

(B-, B2)

 

03/15/18

 

10.125

 

1,222,812

 

774

 

New Asat, Ltd., Global Company Guaranteed Notesø

 

(NR, NR)

 

02/01/11

 

9.250

 

774

 

200

 

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

 

(B-, B3)

 

08/01/18

 

9.750

 

227,250

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Electronics

 

 

 

 

 

 

 

 

 

$

50

 

NXP Funding LLC, Series EXCH, Global Senior Secured Notes (Callable 10/15/11 @ $101.97)

 

(B-, B3)

 

10/15/14

 

7.875

 

$

52,313

 

575

 

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

 

(CCC+, B2)

 

03/01/16

 

8.125

 

598,000

 

 

 

 

 

 

 

 

 

 

 

2,101,149

 

Energy - Exploration & Production (9.5%)

 

 

 

 

 

 

 

 

 

500

 

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

 

(B, B3)

 

11/01/16

 

8.250

 

528,750

 

1,000

 

Berry Petroleum Co., Senior Unsecured Notes (Callable 11/01/15 @ $103.38)

 

(BB-, B2)

 

11/01/20

 

6.750

 

1,022,500

 

1,000

 

Carrizo Oil & Gas, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/15/14 @ $104.31)‡

 

(B-, B3)

 

10/15/18

 

8.625

 

1,055,000

 

300

 

Chesapeake Energy Corp., Company Guaranteed Notes

 

(BB, Ba3)

 

12/15/18

 

7.250

 

321,000

 

3,250

 

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

 

(B, B2)

 

10/15/17

 

8.375

 

3,355,625

 

575

 

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

 

(BB, B1)

 

03/01/16

 

9.750

 

652,625

 

1,000

 

Energy XXI Gulf Coast, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/14 @ $104.63)‡

 

(B, Caa1)

 

12/15/17

 

9.250

 

1,067,500

 

1,050

 

EXCO Resources, Inc., Company Guaranteed Notes (Callable 09/15/14 @ $103.75)

 

(B, B3)

 

09/15/18

 

7.500

 

1,055,250

 

450

 

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

 

(BB-, B1)

 

06/15/19

 

7.250

 

469,125

 

525

 

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

 

(BB-, B2)

 

06/01/16

 

9.000

 

556,500

 

900

 

Linn Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 09/15/15 @ $103.88)‡

 

(B, B2)

 

02/01/21

 

7.750

 

945,000

 

1,800

 

McMoRan Exploration Co., Company Guaranteed Notes (Callable 11/15/11 @ $105.94)

 

(B, Caa1)

 

11/15/14

 

11.875

 

1,984,500

 

1,250

 

Oasis Petroleum, Inc., Rule 144A, Senior Notes (Callable 02/01/15 @ $103.63)‡

 

(B-, Caa1)

 

02/01/19

 

7.250

 

1,275,000

 

475

 

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

 

(BB-, B2)

 

06/15/16

 

10.375

 

536,750

 

950

 

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

 

(B+, B3)

 

06/01/15

 

7.875

 

1,011,750

 

475

 

Pioneer Natural Resources Co., Senior Unsecured Notes

 

(BB+, Ba1)

 

01/15/20

 

7.500

 

528,570

 

625

 

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

 

(BB-, B1)

 

06/15/15

 

7.750

 

657,812

 

225

 

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

 

(B, Caa1)

 

02/01/17

 

8.625

 

232,875

 

1,525

 

Stone Energy Corp., Global Senior Subordinated Notes (Callable 12/15/11 @ $101.13)

 

(CCC+, Caa2)

 

12/15/14

 

6.750

 

1,505,937

 

475

 

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

 

(BB-, B3)

 

06/01/17

 

7.125

 

487,469

 

1,750

 

W&T Offshore, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/11 @ $104.13)‡

 

(B+, Caa1)

 

06/15/14

 

8.250

 

1,767,500

 

450

 

Whiting Petroleum Corp., Global Company Guaranteed Notes

 

(BB, Ba3)

 

02/01/14

 

7.000

 

479,250

 

 

 

 

 

 

 

 

 

 

 

21,496,288

 

Environmental (1.1%)

 

 

 

 

 

 

 

 

 

1,100

 

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

 

(BB-, B2)

 

07/15/14

 

11.000

 

1,240,250

 

600

 

Covanta Holding Corp., Senior Unsecured Notes (Callable 12/01/15 @ $103.63)

 

(B, Ba3)

 

12/01/20

 

7.250

 

619,831

 

550

 

EnergySolutions LLC, Rule 144A, Company Guaranteed Notes (Callable 08/15/14 @ $105.38)‡

 

(BB-, B3)

 

08/15/18

 

10.750

 

624,250

 

 

 

 

 

 

 

 

 

 

 

2,484,331

 

Food & Drug Retailers (0.5%)

 

 

 

 

 

 

 

 

 

725

 

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

 

(CCC, Caa3)

 

12/15/15

 

9.375

 

633,469

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Food & Drug Retailers

 

 

 

 

 

 

 

 

 

$

475

 

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

 

(B+, B3)

 

06/12/16

 

9.750

 

$

532,000

 

 

 

 

 

 

 

 

 

 

 

1,165,469

 

Food - Wholesale (1.8%)

 

 

 

 

 

 

 

 

 

1,650

 

NBTY, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/14 @ $104.50)‡

 

(B, B3)

 

10/01/18

 

9.000

 

1,786,125

 

2,075

 

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

 

(B+, B3)

 

05/15/15

 

11.250

 

2,251,375

 

 

 

 

 

 

 

 

 

 

 

4,037,500

 

Forestry & Paper (1.8%)

 

 

 

 

 

 

 

 

 

728

 

Boise Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/11 @ $101.19)

 

(B+, Caa1)

 

10/15/14

 

7.125

 

720,720

 

500

 

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

 

(BB, Ba2)

 

11/15/17

 

7.250

 

724,916

 

1,000

 

Smurfit Kappa Funding PLC, Global Senior Subordinated Notes (Callable 01/31/12 @ $101.29)

 

(B, B2)

 

04/01/15

 

7.750

 

1,022,500

 

300

 

Verso Paper, Inc., Rule 144A, Senior Secured Notes (Callable 02/01/15 @ $104.38)‡

 

(B, B2)

 

02/01/19

 

8.750

 

312,375

 

1,125

 

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

 

(CCC+, Caa1)

 

08/01/16

 

11.375

 

1,217,812

 

 

 

 

 

 

 

 

 

 

 

3,998,323

 

Gaming (10.4%)

 

 

 

 

 

 

 

 

 

775

 

Buffalo Thunder Development Authority, Rule 144A, Senior Secured Notes (Callable 12/15/11 @ $102.34)ø‡

 

(NR, NR)

 

12/15/14

 

9.375

 

251,875

 

2,000

 

CCM Merger, Inc., Rule 144A, Notes (Callable 08/01/11 @ $100.00)‡

 

(CCC+, Caa3)

 

08/01/13

 

8.000

 

2,000,000

 

270

 

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

 

(B, B3)

 

11/15/19

 

7.250

 

198,450

 

1,590

 

Chukchansi Economic Development Authority, Rule 144A, Senior Unsecured Notes (Callable 11/15/11 @ $100.00)‡

 

(B+, B3)

 

11/15/13

 

8.000

 

1,113,000

 

1,500

 

Cirsa Funding Luxembourg SA, Rule 144A, Company Guaranteed Notes (Callable 05/15/14 @ $104.38)‡

 

(NR, NR)

 

05/15/18

 

8.750

 

2,087,346

 

600

 

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

 

(B, B2)

 

06/15/15

 

8.250

 

836,995

 

625

 

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

 

(NR, NR)

 

06/15/15

 

10.250

 

2,344

 

1,950

 

Great Canadian Gaming Corp., Rule 144A, Company Guaranteed Notes (Callable 02/15/11 @ $103.63)‡

 

(BB, B2)

 

02/15/15

 

7.250

 

2,003,625

 

1,700

 

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

 

(NR, NR)

 

07/01/15

 

13.000

 

1,933,750

 

750

 

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

 

(NR, NR)

 

11/15/10

 

12.000

 

423,750

 

3,025

 

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

 

(B-, Caa1)

 

06/15/14

 

9.750

 

3,040,125

 

950

 

Majestic Star Casino Capital Corp., Senior Secured Notesø

 

(NR, NR)

 

10/15/10

 

9.500

 

527,250

 

3,000

 

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

 

(B, B2)

 

07/15/14

 

12.625

 

3,168,750

 

600

 

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

 

(B, B3)

 

04/30/14

 

7.750

 

744,452

 

950

 

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

 

(B, Caa1)

 

08/15/17

 

10.750

 

1,052,125

 

1,425

 

Peninsula Gaming LLC, Global Senior Secured Notes (Callable 08/15/12 @ $104.19)

 

(BB, Ba3)

 

08/15/15

 

8.375

 

1,517,625

 

670

 

Tropicana Finance Corp., Global Senior Subordinated Notes (Callable 12/15/11 @ $102.41)ø

 

(NR, NR)

 

12/15/14

 

9.625

 

754

 

2,585

 

Tunica-Biloxi Gaming Authority, Rule 144A, Senior Unsecured Notes (Callable 11/15/11 @ $103.00)‡

 

(B+, B2)

 

11/15/15

 

9.000

 

2,572,075

 

 

 

 

 

 

 

 

 

 

 

23,474,291

 

Gas Distribution (3.2%)

 

 

 

 

 

 

 

 

 

400

 

El Paso Corp., Senior Unsecured Notes

 

(BB-, Ba3)

 

06/01/18

 

7.250

 

439,173

 

2,900

 

Energy Transfer Equity LP, Company Guaranteed Notes

 

(BB-, Ba2)

 

10/15/20

 

7.500

 

3,113,875

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Gas Distribution

 

 

 

 

 

 

 

 

 

$

1,300

 

Genesis Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/14 @ $103.94)‡

 

(B+, B3)

 

12/15/18

 

7.875

 

$

1,303,250

 

425

 

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

 

(B+, Ba3)

 

03/01/16

 

8.250

 

446,250

 

275

 

Inergy Finance Corp., Global Company Guaranteed Notes (Callable 12/15/11 @ $101.15)

 

(B+, Ba3)

 

12/15/14

 

6.875

 

283,250

 

625

 

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

 

(B+, B1)

 

07/01/16

 

8.250

 

671,875

 

875

 

Targa Resources Partners Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/16 @ $103.44)‡

 

(B+, B1)

 

02/01/21

 

6.875

 

877,187

 

 

 

 

 

 

 

 

 

 

 

7,134,860

 

Health Facilities (3.9%)

 

 

 

 

 

 

 

 

 

545

 

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

 

(B, Caa1)

 

11/01/15

 

9.875

 

591,325

 

650

 

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

 

(B, B3)

 

07/15/15

 

8.875

 

688,187

 

500

 

Hanger Orthopedic Group, Inc., Global Company Guaranteed Notes (Callable 11/15/14 @ $103.56)

 

(B, NR)

 

11/15/18

 

7.125

 

511,875

 

2,350

 

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

 

(BB-, B2)

 

11/15/16

 

9.250

 

2,540,937

 

725

 

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

 

(BB, Ba3)

 

02/15/20

 

7.875

 

796,594

 

525

 

Omega Healthcare Investors, Inc., Global Company Guaranteed Notes (Callable 01/15/12 @ $102.33)

 

(BB+, Ba2)

 

01/15/16

 

7.000

 

541,406

 

450

 

Omega Healthcare Investors, Inc., Rule 144A, Senior Notes (Callable 10/15/15 @ $103.38)‡

 

(BB+, Ba2)

 

10/15/22

 

6.750

 

446,625

 

625

 

Radiation Therapy Services, Inc., Global Company Guaranteed Notes (Callable 04/15/14 @ $104.94)

 

(CCC+, Caa1)

 

04/15/17

 

9.875

 

634,375

 

900

 

Tenet Healthcare Corp., Global Senior Secured Notes (Callable 07/01/14 @ $104.44)

 

(BB-, B1)

 

07/01/19

 

8.875

 

1,035,000

 

175

 

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

 

(B+, B3)

 

06/01/15

 

3.834

 

165,813

 

275

 

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

 

(B+, B3)

 

06/01/15

 

8.500

 

287,719

 

634

 

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

 

(B-, Caa1)

 

07/15/15

 

10.250

 

670,983

 

 

 

 

 

 

 

 

 

 

 

8,910,839

 

Health Services (1.8%)

 

 

 

 

 

 

 

 

 

550

 

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

 

(B+, B3)

 

04/15/17

 

10.875

 

585,750

 

1,000

 

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

 

(B, B3)

 

12/30/14

 

9.500

 

1,027,500

 

400

 

Service Corp. International, Global Senior Unsecured Notes

 

(BB-, B1)

 

10/01/18

 

7.625

 

432,000

 

425

 

Service Corp. International, Senior Unsecured Notes

 

(BB-, B1)

 

11/15/21

 

8.000

 

466,438

 

1,525

 

Warner Chilcott Finance LLC, Rule 144A, Company Guaranteed Notes (Callable 09/15/14 @ $103.88)‡

 

(B+, B3)

 

09/15/18

 

7.750

 

1,593,625

 

 

 

 

 

 

 

 

 

 

 

4,105,313

 

Hotels (0.4%)

 

 

 

 

 

 

 

 

 

725

 

Felcor Lodging LP, Global Senior Secured Notes§

 

(NR, B2)

 

10/01/14

 

10.000

 

824,688

 

 

 

 

 

 

 

 

 

 

 

 

 

lnvestments & Misc. Financial Services (0.3%)

 

 

 

 

 

 

 

 

 

600

 

SSI Co-Issuer LLC, Global Company Guaranteed Notes (Callable 06/01/14 @ $105.56)

 

(B-, Caa1)

 

06/01/18

 

11.125

 

672,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Leisure (0.7%)

 

 

 

 

 

 

 

 

 

400

 

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

 

(B-, B2)

 

08/01/18

 

9.125

 

433,000

 

1,040

 

UCDP Finance, Inc., Global Company Guaranteed Notes (Callable 11/15/12 @ $104.44)

 

(CCC+, B3)

 

11/15/15

 

8.875

 

1,128,400

 

 

 

 

 

 

 

 

 

 

 

1,561,400

 

Machinery (1.1%)

 

 

 

 

 

 

 

 

 

1,200

 

Amtrol, Inc.

 

(NR, NR)

 

06/05/14

 

8.250

 

840,000

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Machinery

 

 

 

 

 

 

 

 

 

$

650

 

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

 

(A, B3)

 

02/15/17

 

8.625

 

$

728,000

 

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

 

260,000

 

 

 

 

 

 

 

 

 

 

 

2,397,625

 

Media - Broadcast (2.5%)

 

 

 

 

 

 

 

 

 

795

 

Barrington Broadcasting Capital Corp., Global Company Guaranteed Notes (Callable 08/15/11 @ $102.63)

 

(CCC-, Caa2)

 

08/15/14

 

10.500

 

795,994

 

200

 

Clear Channel Worldwide Holdings, Inc., Global Company Guaranteed Notes (Callable 12/15/12 @ $106.94)

 

(B, B2)

 

12/15/17

 

9.250

 

222,000

 

775

 

Clear Channel Worldwide Holdings, Inc., Series B, Global Company Guaranteed Notes (Callable 12/15/12 @ $106.94)

 

(B, B2)

 

12/15/17

 

9.250

 

862,187

 

74

 

CMP Susquehanna Corp., Global Company Guaranteed Notes

 

(NR, NR)

 

05/15/14

 

3.272

 

51,800

 

550

 

Fisher Communications, Inc., Global Company Guaranteed Notes (Callable 09/15/11 @ $101.44)

 

(NR, B2)

 

09/15/14

 

8.625

 

565,125

 

1,650

 

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

 

(B, B3)

 

04/15/17

 

8.875

 

1,786,125

 

750

 

Nexstar Broadcasting, Inc., Global Company Guaranteed Notes (Callable 01/15/12 @ $100.00)

 

(CCC+, Caa2)

 

01/15/14

 

7.000

 

736,875

 

700

 

Sinclair Television Group, Inc., Rule 144A, Senior Notes (Callable 10/15/14 @ $104.19)‡

 

(B-, B2)

 

10/15/18

 

8.375

 

728,000

 

1,525

 

Young Broadcasting, Inc., Global Company Guaranteed Notes (Callable 01/15/12 @ $100.00)ø^

 

(NR, NR)

 

01/15/14

 

8.750

 

0

 

 

 

 

 

 

 

 

 

 

 

5,748,106

 

Media - Cable (6.3%)

 

 

 

 

 

 

 

 

 

1,375

 

Atlantic Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/12 @ $100.00)

 

(B-, B3)

 

01/15/14

 

9.375

 

1,405,937

 

200

 

Cablevision Systems Corp., Senior Unsecured Notes

 

(B+, B1)

 

04/15/18

 

7.750

 

213,500

 

1,150

 

Cablevision Systems Corp., Senior Unsecured Notes

 

(B+, B1)

 

04/15/20

 

8.000

 

1,253,500

 

731

 

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

 

(B, B2)

 

11/30/16

 

13.500

 

887,803

 

1,925

 

CCO Holdings Capital Corp., Global Company Guaranteed Notes (Callable 04/30/15 @ $104.06)

 

(B+, B2)

 

04/30/20

 

8.125

 

2,059,750

 

2,000

 

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

 

(B-, B3)

 

11/15/17

 

8.625

 

2,102,500

 

675

 

CSC Holdings LLC, Global Senior Unsecured Notes

 

(BB, Ba3)

 

02/15/19

 

8.625

 

777,938

 

1,500

 

DISH DBS Corp., Global Company Guaranteed Notes

 

(BB-, Ba3)

 

09/01/19

 

7.875

 

1,595,625

 

1,425

 

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

 

(B-, B3)

 

07/15/18

 

9.375

 

1,563,937

 

175

 

Mediacom Broadband Corp., Global Senior Unsecured Notes (Callable 10/15/11 @ $102.83)

 

(B-, B3)

 

10/15/15

 

8.500

 

180,250

 

650

 

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

 

(B-, B3)

 

08/15/19

 

9.125

 

674,375

 

200

 

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

 

(BB-, B1)

 

12/01/17

 

8.125

 

297,507

 

150

 

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

 

(B+, Ba3)

 

08/15/16

 

9.125

 

160,500

 

1,000

 

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

 

(B+, Ba3)

 

10/15/19

 

8.375

 

1,112,500

 

 

 

 

 

 

 

 

 

 

 

14,285,622

 

Media - Diversified (1.3%)

 

 

 

 

 

 

 

 

 

2,225

 

Block Communications, Inc., Rule 144A, Senior Notes (Callable 12/15/11 @ $102.75)‡

 

(B, B1)

 

12/15/15

 

8.250

 

2,280,625

 

600

 

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

 

(B+, B1)

 

03/15/16

 

7.750

 

625,500

 

 

 

 

 

 

 

 

 

 

 

2,906,125

 

Media - Services (2.2%)

 

 

 

 

 

 

 

 

 

1,000

 

ConvaTec Healthcare E SA, Rule 144A, Senior Unsecured Notes (Callable 12/15/14 @ $105.25)‡§

 

(B, Caa1)

 

12/15/18

 

10.500

 

1,068,750

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Media - Services

 

 

 

 

 

 

 

 

 

$

450

 

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

 

(B, Caa1)

 

05/01/16

 

11.500

 

$

527,062

 

600

 

SGS International, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $100.00)

 

(B, B3)

 

12/15/13

 

12.000

 

623,250

 

2,375

 

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

 

(B-, B1)

 

04/15/14

 

7.375

 

2,363,125

 

400

 

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

 

(BB-, Ba2)

 

06/15/16

 

9.500

 

429,500

 

 

 

 

 

 

 

 

 

 

 

5,011,687

 

Metals & Mining - Excluding Steel (0.9%)

 

 

 

 

 

 

 

 

 

500

 

FMG Resources August 2006 Pty, Ltd., Rule 144A, Senior Notes (Callable 11/01/12 @ $105.25)‡

 

(B, B1)

 

11/01/15

 

7.000

 

518,750

 

1,589

 

Noranda Aluminium Acquisition Corp., Global Company Guaranteed Notes#

 

(CCC+, B3)

 

05/15/15

 

5.193

 

1,501,427

 

225

 

Old AII, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $102.25)ø

 

(NR, NR)

 

12/15/14

 

9.000

 

1,125

 

1,100

 

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

 

(NR, NR)

 

12/15/16

 

10.000

 

2,860

 

 

 

 

 

 

 

 

 

 

 

2,024,162

 

Oil Field Equipment & Services (5.9%)

 

 

 

 

 

 

 

 

 

500

 

Abengoa Finance SAU, Rule 144A, Company Guaranteed Notes‡

 

(B+, Ba3)

 

11/01/17

 

8.875

 

490,625

 

550

 

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

 

(BB, Ba2)

 

09/15/17

 

7.500

 

583,000

 

475

 

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

 

(BB-, Ba3)

 

05/15/15

 

7.500

 

491,625

 

625

 

Edgen Murray Corp., Global Senior Secured Notes (Callable 01/15/13 @ $106.13)

 

(B-, Caa2)

 

01/15/15

 

12.250

 

568,750

 

2,325

 

Frac Tech Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/14 @ $103.56)‡

 

(B+, B2)

 

11/15/18

 

7.125

 

2,386,031

 

550

 

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

 

(CCC+, B3)

 

01/15/16

 

9.500

 

576,125

 

300

 

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

 

(B+, Ba3)

 

09/01/17

 

8.000

 

309,375

 

350

 

Hornbeck Offshore Services, Inc., Series B, Global Company Guaranteed Notes (Callable 12/01/11 @ $101.02)

 

(B+, Ba3)

 

12/01/14

 

6.125

 

348,250

 

750

 

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

 

(BB-, B1)

 

12/01/14

 

8.375

 

802,500

 

200

 

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

 

(B-, B3)

 

12/15/16

 

9.500

 

199,250

 

950

 

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

 

(B-, B3)

 

08/01/15

 

11.500

 

1,061,625

 

500

 

Parker Drilling Co., Global Company Guaranteed Notes (Callable 04/01/14 @ $104.56)

 

(B+, B1)

 

04/01/18

 

9.125

 

530,000

 

2,000

 

Pioneer Drilling Co., Global Company Guaranteed Notes (Callable 03/15/14 @ $104.94)

 

(B, NR)

 

03/15/18

 

9.875

 

2,172,500

 

200

 

Pride International, Inc., Senior Unsecured Notes

 

(BBB-, Ba1)

 

06/15/19

 

8.500

 

238,000

 

2,500

 

Trinidad Drilling, Ltd., Rule 144A, Senior Unsecured Notes (Callable 01/15/15 @ $103.94)‡

 

(BB-, B2)

 

01/15/19

 

7.875

 

2,600,000

 

 

 

 

 

 

 

 

 

 

 

13,357,656

 

Oil Refining & Marketing (2.2%)

 

 

 

 

 

 

 

 

 

203

 

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

 

(BB-, Ba3)

 

04/01/15

 

9.000

 

222,285

 

2,600

 

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

 

(BB-, B3)

 

04/01/17

 

10.875

 

2,905,500

 

525

 

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

 

(BB+, Ba1)

 

06/01/19

 

9.750

 

593,250

 

1,050

 

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

 

(NR, B3)

 

06/15/14

 

10.750

 

1,160,250

 

 

 

 

 

 

 

 

 

 

 

4,881,285

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Packaging (6.6%)

 

 

 

 

 

 

 

 

 

$

2,425

 

Ardagh Packaging Finance PLC, Rule 144A, Senior Secured Notes (Callable 10/15/14 @ $103.69)‡

 

(BB-, Ba3)

 

10/15/17

 

7.375

 

$

3,407,790

 

525

 

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

 

(B, B1)

 

11/15/15

 

8.250

 

569,625

 

275

 

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

 

(CCC+, B3)

 

06/15/18

 

10.000

 

301,125

 

1,000

 

Crown Americas Capital Corp. III, Rule 144A, Senior Notes (Callable 02/01/16 @ $103.13)‡

 

(BB-, Ba3)

 

02/01/21

 

6.250

 

1,012,500

 

1,000

 

GPC Capital Corp. I, Global Company Guaranteed Notes (Callable 01/01/14 @ $104.13)

 

(B-, Caa1)

 

01/01/17

 

8.250

 

1,055,000

 

725

 

GPC Capital Corp. I, Global Company Guaranteed Notes (Callable 10/15/11 @ $101.65)

 

(B-, Caa1)

 

10/15/14

 

9.875

 

754,000

 

1,300

 

Packaging Dynamics Corp., Rule 144A, Senior Secured Notes (Callable 02/01/13 @ $104.38)‡

 

(B, B3)

 

02/01/16

 

8.750

 

1,330,875

 

1,135

 

Pregis Corp., Global Secured Notes#

 

(B, B2)

 

04/15/13

 

5.998

 

1,509,402

 

1,000

 

Pregis Corp., Global Secured Notes#

 

(B, B2)

 

04/15/13

 

5.998

 

1,329,869

 

2,475

 

Reynolds Group Issuer LLC, Rule 144A, Senior Notes (Callable 10/15/14 @ $104.50)‡

 

(B-, Caa1)

 

04/15/19

 

9.000

 

2,611,125

 

700

 

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

 

(BB, Ba3)

 

10/15/16

 

7.750

 

742,000

 

300

 

Reynolds Group Issuer LLC, Rule 144A, Senior Secured Notes (Callable 10/15/14 @ $103.56)‡

 

(BB, Ba3)

 

04/15/19

 

7.125

 

311,250

 

 

 

 

 

 

 

 

 

 

 

14,934,561

 

Pharmaceuticals (0.7%)

 

 

 

 

 

 

 

 

 

1,250

 

Giant Funding Corp., Rule 144A, Secured Notes (Callable 02/01/14 @ $106.19)‡

 

(B, B3)

 

02/01/18

 

8.250

 

1,301,563

 

374

 

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

 

(NR, NR)

 

03/15/15

 

10.250

 

377,952

 

 

 

 

 

 

 

 

 

 

 

1,679,515

 

Printing & Publishing (2.0%)

 

 

 

 

 

 

 

 

 

950

 

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

 

(CCC+, Caa2)

 

01/15/15

 

10.500

 

992,750

 

1,000

 

Cenveo Corp., Global Senior Subordinated Notes (Callable 12/01/11 @ $100.00)§

 

(CCC+, Caa2)

 

12/01/13

 

7.875

 

960,000

 

1,212

 

Sun Media Corp., Global Company Guaranteed Notes (Callable 02/15/11 @ $100.00)

 

(BB-, Ba2)

 

02/15/13

 

7.625

 

1,216,545

 

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

 

1,373,625

 

 

 

 

 

 

 

 

 

 

 

4,542,920

 

Real Estate Development & Management (0.5%)

 

 

 

 

 

 

 

 

 

1,300

 

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

 

(NR, NR)

 

08/15/13

 

4.000

 

1,248,000

 

 

 

 

 

 

 

 

 

 

 

Real Estate Investment Trusts (1.2%)

 

 

 

 

 

 

 

 

 

2,500

 

Sabra Capital Corp., Rule 144A, Company Guaranteed Notes (Callable 11/01/14 @ $104.06)‡

 

(B, B2)

 

11/01/18

 

8.125

 

2,606,250

 

 

 

 

 

 

 

 

 

 

 

Restaurants (2.4%)

 

 

 

 

 

 

 

 

 

2,000

 

CKE Restaurants, Inc., Global Senior Secured Notes (Callable 07/15/14 @ $105.69)§

 

(B, B2)

 

07/15/18

 

11.375

 

2,260,000

 

3,100

 

Real Mex Restaurants, Inc., Global Senior Secured Notes (Callable 07/01/11 @ $102.00)

 

(B-, B3)

 

01/01/13

 

14.000

 

3,239,500

 

 

 

 

 

 

 

 

 

 

 

5,499,500

 

Software/Services (3.9%)

 

 

 

 

 

 

 

 

 

2,000

 

Serena Software, Inc., Global Company Guaranteed Notes (Callable 03/15/11 @ $105.19)

 

(CCC+, Caa1)

 

03/15/16

 

10.375

 

2,062,500

 

1,000

 

SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/11 @ $103.42)

 

(B-, Caa1)

 

08/15/15

 

10.250

 

1,056,250

 

1,000

 

SunGard Data Systems, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/13 @ $105.53)‡

 

(B, Caa1)

 

11/15/18

 

7.375

 

1,025,000

 

525

 

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

 

(BB, Ba1)

 

10/15/14

 

12.750

 

632,625

 

1,150

 

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

 

(B+, B2)

 

01/15/16

 

12.500

 

1,285,125

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Software/Services

 

 

 

 

 

 

 

 

 

$

2,870

 

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

 

(CCC+, Caa2)

 

02/15/15

 

9.625

 

$

2,719,325

 

 

 

 

 

 

 

 

 

 

 

8,780,825

 

Specialty Retail (0.6%)

 

 

 

 

 

 

 

 

 

600

 

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

 

(B-, Caa1)

 

03/15/17

 

7.625

 

612,000

 

325

 

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

 

(B-, Caa1)

 

12/15/16

 

7.750

 

333,938

 

460

 

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

 

(B-, B3)

 

02/15/15

 

8.500

 

483,000

 

 

 

 

 

 

 

 

 

 

 

1,428,938

 

Steel Producers/Products (0.9%)

 

 

 

 

 

 

 

 

 

800

 

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

 

(BB-, B1)

 

03/15/14

 

6.125

 

792,000

 

700

 

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

 

(CCC+, Caa1)

 

11/01/15

 

12.000

 

745,500

 

525

 

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

 

(B-, Caa1)

 

02/01/15

 

9.750

 

548,625

 

 

 

 

 

 

 

 

 

 

 

2,086,125

 

Support-Services (3.9%)

 

 

 

 

 

 

 

 

 

800

 

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

 

(B+, B2)

 

08/15/16

 

9.000

 

854,000

 

1,500

 

Brickman Group Holdings, Inc., Rule 144A, Senior Notes (Callable 11/01/13 @ $106.84)‡

 

(CCC+, B3)

 

11/01/18

 

9.125

 

1,584,375

 

275

 

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

 

(B, B1)

 

07/01/17

 

10.375

 

285,313

 

1,225

 

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

 

(B, B3)

 

03/15/17

 

9.750

 

1,319,937

 

1,975

 

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

 

(B, Caa1)

 

04/15/15

 

12.250

 

2,009,562

 

625

 

RSC Holdings III LLC, Rule 144A, Senior Unsecured Notes (Callable 02/01/16 @ $104.13)‡

 

(B-, Caa1)

 

02/01/21

 

8.250

 

642,188

 

550

 

The Geo Group, Inc., Global Company Guaranteed Notes (Callable 10/15/13 @ $103.88)

 

(B+, B1)

 

10/15/17

 

7.750

 

580,250

 

1,150

 

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

 

(CCC, Caa1)

 

09/01/16

 

11.875

 

1,112,625

 

300

 

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

 

(B, B2)

 

06/15/16

 

10.875

 

347,250

 

 

 

 

 

 

 

 

 

 

 

8,735,500

 

Telecom - Integrated/Services (2.1%)

 

 

 

 

 

 

 

 

 

575

 

Frontier Communications Corp., Global Senior Unsecured Notes

 

(BB, Ba2)

 

04/15/20

 

8.500

 

651,187

 

525

 

Frontier Communications Corp., Senior Unsecured Notes

 

(BB, Ba2)

 

10/01/18

 

8.125

 

593,906

 

550

 

Hellas Telecommunications II SCA, Rule 144A, Subordinated Notesø#‡

 

(NR, NR)

 

01/15/15

 

6.034

 

4,125

 

700

 

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

 

(B, B1)

 

04/15/14

 

9.500

 

726,250

 

25

 

Intelsat Subsidiary Holding Co., Ltd., Global Company Guaranteed Notes (Callable 01/15/12 @ $101.48)

 

(B+, B3)

 

01/15/15

 

8.875

 

25,938

 

950

 

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

 

(CCC, Caa1)

 

02/01/18

 

10.000

 

954,750

 

175

 

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

 

(CCC, Caa1)

 

02/15/15

 

4.344

 

157,938

 

850

 

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

 

(CCC+, Caa1)

 

07/15/15

 

9.500

 

894,625

 

175

 

Qwest Communications International, Inc., Global Company Guaranteed Notes (Callable 10/01/12 @ $104.00)

 

(B+, Ba2)

 

10/01/15

 

8.000

 

190,312

 

450

 

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

 

(B+, Ba3)

 

08/01/16

 

8.625

 

479,250

 

 

 

 

 

 

 

 

 

 

 

4,678,281

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Telecom - Wireless (2.0%)

 

 

 

 

 

 

 

 

 

$

1,200

 

Brightstar Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/14 @ $104.75)‡

 

(BB-, B1)

 

12/01/16

 

9.500

 

$

1,254,000

 

250

 

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

 

(B+, Ba2)

 

05/15/16

 

7.750

 

264,375

 

1,050

 

GeoEye, Inc., Global Senior Secured Notes (Callable 10/01/13 @ $104.81)

 

(BB-, Ba3)

 

10/01/15

 

9.625

 

1,191,750

 

300

 

GeoEye, Inc., Senior Secured Notes (Callable 10/01/13 @ $104.31)

 

(B-, B3)

 

10/01/16

 

8.625

 

318,750

 

375

 

Sprint Nextel Corp., Senior Unsecured Notes

 

(BB-, Ba3)

 

12/01/16

 

6.000

 

370,313

 

750

 

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

 

(B+, B2)

 

07/15/17

 

11.750

 

1,028,722

 

 

 

 

 

 

 

 

 

 

 

4,427,910

 

Telecommunications Equipment (1.3%)

 

 

 

 

 

 

 

 

 

1,850

 

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

 

(CCC+, Caa2)

 

11/01/15

 

9.750

 

1,924,000

 

950

 

CommScope, Inc., Rule 144A, Senior Notes (Callable 01/15/15 @ $104.13)‡

 

(B, B3)

 

01/15/19

 

8.250

 

990,375

 

 

 

 

 

 

 

 

 

 

 

2,914,375

 

Textiles & Apparel (0.0%)

 

 

 

 

 

 

 

 

 

75

 

IT Holding Finance SA, Rule 144A, Company Guaranteed Notesø‡

 

(NR, NR)

 

11/15/12

 

9.875

 

2,581

 

 

 

 

 

 

 

 

 

 

 

 

 

Theaters & Entertainment (2.4%)

 

 

 

 

 

 

 

 

 

3,390

 

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

 

(CCC+, Caa1)

 

03/01/14

 

8.000

 

3,449,325

 

750

 

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

 

(B-, B1)

 

06/01/19

 

8.750

 

808,125

 

500

 

NAI Entertainment Holdings LLC, Rule 144A, Senior Secured Notes (Callable 12/15/13 @ $106.19)‡

 

(BB, B1)

 

12/15/17

 

8.250

 

535,000

 

575

 

Regal Entertainment Group, Company Guaranteed Notes (Callable 08/15/14 @ $104.56)

 

(B-, B3)

 

08/15/18

 

9.125

 

615,969

 

 

 

 

 

 

 

 

 

 

 

5,408,419

 

Tobacco (0.8%)

 

 

 

 

 

 

 

 

 

1,850

 

Vector Group, Ltd., Global Senior Secured Notes (Callable 08/15/11 @ $105.50)

 

(B+, B1)

 

08/15/15

 

11.000

 

1,921,688

 

 

 

 

 

 

 

 

 

 

 

 

 

Transportation - Excluding Air/Rail (2.1%)

 

 

 

 

 

 

 

 

 

650

 

Navios Maritime Finance II US, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/15 @ $104.06)‡

 

(B+, B3)

 

02/15/19

 

8.125

 

637,000

 

3,530

 

Ship Finance International, Ltd., Global Company Guaranteed Notes (Callable 12/15/11 @ $100.00)

 

(B+, B1)

 

12/15/13

 

8.500

 

3,600,600

 

525

 

Teekay Corp., Global Senior Unsecured Notes

 

(BB, B1)

 

01/15/20

 

8.500

 

568,313

 

 

 

 

 

 

 

 

 

 

 

4,805,913

 

TOTAL CORPORATE BONDS (Cost $284,687,426)

 

 

 

 

 

 

 

292,933,904

 

 

 

 

 

 

 

 

 

 

 

BANK LOANS (6.4%)

 

 

 

 

 

 

 

 

 

Banks (0.4%)

 

 

 

 

 

 

 

 

 

952

 

OCWEN Financial Corp.

 

(NR, NR)

 

07/31/15

 

9.000

 

954,762

 

 

 

 

 

 

 

 

 

 

 

 

 

Building Materials (0.5%)

 

 

 

 

 

 

 

 

 

1,000

 

Goodman Global, Inc.

 

(NR, NR)

 

10/28/16

 

9.000

 

1,007,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Food - Wholesale (0.9%)

 

 

 

 

 

 

 

 

 

2,000

 

Great Atlantic & Pacific Tea Co., Inc.

 

(NR, NR)

 

06/15/12

 

8.750

 

2,026,260

 

 

 

 

 

 

 

 

 

 

 

 

 

Gaming (0.2%)

 

 

 

 

 

 

 

 

 

474

 

CCM Merger, Inc.

 

(NR, NR)

 

07/21/12

 

7.250

 

474,596

 

 

 

 

 

 

 

 

 

 

 

 

 

Metals & Mining - Excluding Steel (0.9%)

 

 

 

 

 

 

 

 

 

1,995

 

Global Brass and Copper, Inc.

 

(NR, NR)

 

08/13/15

 

10.250

 

2,064,578

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

BANK LOANS

 

 

 

 

 

 

 

 

 

Packaging (0.9%)

 

 

 

 

 

 

 

 

 

$

2,000

 

Hilex Poly Co. LLC

 

(NR, NR)

 

11/16/15

 

11.250

 

$

2,000,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Pharmaceuticals (0.1%)

 

 

 

 

 

 

 

 

 

308

 

Nycomed Holdings Aps

 

(NR, NR)

 

12/29/13

 

3.250

 

300,030

 

 

 

 

 

 

 

 

 

 

 

 

 

Software/Services (0.9%)

 

 

 

 

 

 

 

 

 

2,000

 

SafeNet, Inc.

 

(NR, NR)

 

04/15/12

 

6.000

 

1,976,660

 

 

 

 

 

 

 

 

 

 

 

 

 

Support-Services (1.1%)

 

 

 

 

 

 

 

 

 

2,500

 

BNY Convergex Group LLC

 

(NR, NR)

 

11/29/17

 

7.000

 

2,517,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecommunications Equipment (0.5%)

 

 

 

 

 

 

 

 

 

1,058

 

Avaya, Inc.

 

(NR, NR)

 

10/24/14

 

2.750

 

1,037,532

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL BANK LOANS (Cost $13,556,009)

 

 

 

 

 

 

 

14,359,668

 

 

Number of
Shares

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

COMMON STOCKS (1.5%)

 

 

 

 

 

 

 

 

 

Banks (0.3%)

 

 

 

 

 

 

 

 

 

13,710

 

CIT Group, Inc.*

 

 

 

 

 

 

 

653,830

 

 

 

 

 

 

 

 

 

 

 

 

 

Building Materials (0.0%)

 

 

 

 

 

 

 

 

 

437

 

Nortek, Inc.*

 

 

 

 

 

 

 

16,715

 

 

 

 

 

 

 

 

 

 

 

 

 

Chemicals (0.0%)

 

 

 

 

 

 

 

 

 

4,893

 

Huntsman Corp.

 

 

 

 

 

 

 

85,187

 

 

 

 

 

 

 

 

 

 

 

 

 

Forestry & Paper (0.7%)

 

 

 

 

 

 

 

 

 

 

18,237

 

AbitibiBowater, Inc.*

 

 

 

 

 

 

 

492,764

 

29,519

 

Smurfit-Stone Container Corp.*

 

 

 

 

 

 

 

1,102,534

 

 

 

 

 

 

 

 

 

 

 

1,595,298

 

Leisure (0.5%)

 

 

 

 

 

 

 

 

 

17,809

 

Six Flags Entertainment Corp.*

 

 

 

 

 

 

 

1,056,786

 

 

 

 

 

 

 

 

 

 

 

 

 

Printing & Publishing (0.0%)

 

 

 

 

 

 

 

 

 

1,322

 

SuperMedia, Inc.*§

 

 

 

 

 

 

 

9,400

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL COMMON STOCKS (Cost $3,709,010)

 

 

 

 

 

 

3,417,216

 

 

 

 

 

 

 

 

 

 

PREFERRED STOCKS (0.2%)

 

 

 

 

 

 

 

 

 

Banks (0.2%)

 

 

 

 

 

 

 

 

 

473

 

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

 

 

 

 

 

 

 

454,553

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Broadcast (0.0%)

 

 

 

 

 

 

 

 

 

17,257

 

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

 

 

 

 

 

 

 

17

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL PREFERRED STOCKS (Cost $97,183)

 

 

 

 

 

 

 

454,570

 

 

 

 

 

 

 

 

 

 

 

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*‡^

 

 

 

 

 

 

 

20

 

 

 

 

 

 

 

 

 

 

 

 

 

Printing & Publishing (0.0%)

 

 

 

 

 

 

 

 

 

5,735

 

The Readers Digest Association, Inc., strike price $0.00, expires 02/19/14*^

 

 

 

 

 

 

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL WARRANTS (Cost $1,152)

 

 

 

 

 

 

 

1,172

 

 


 

Number of
Shares

 

 

 

 

 

 

 

 

Value

 

 

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS (6.8%)

 

 

 

 

 

 

 

 

 

10,207,169

 

State Street Navigator Prime Portfolio, 0.2957% §§

 

 

 

 

 

 

 

$

10,207,169

 

 

Par
(000)

 

 

 

 

 

Maturity

 

Rate%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

5,295

 

State Street Bank and Trust Co. Euro Time Deposit

 

 

 

02/01/11

 

0.010

 

5,295,000

 

 

 

 

 

 

 

 

 

 

 

TOTAL SHORT-TERM INVESTMENTS (Cost $15,502,169)

 

 

 

 

 

15,502,169

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS AT VALUE (144.4%) (Cost $317,552,949)

 

 

 

 

 

326,668,699

 

 

 

 

 

 

 

 

 

LIABILITIES IN EXCESS OF OTHER ASSETS (-44.4%)

 

 

 

 

 

(100,513,928

)

 

 

 

 

 

 

 

 

NET ASSETS (100.0%)

 

 

 

 

 

$

226,154,771

 

 

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 January 31, 2011, these securities amounted to a value of $134,744,246 or 59.6% 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 January 31, 2011.

+

Step Bond — The interest rate is as of January 31, 2011 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. The rate shown is the annualized seven-day yield at January 31, 2011.

 

Forward Foreign
Currency to be
Purchased (Local)

 

Forward Foreign
Currency to be
Sold (Local)

 

Expiration
Date

 

Counterparty

 

Value on
Settlement
Date

 

Current
Value

 

Unrealized
Depreciation

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Open Forward Foreign Currency Contract

 

 

 

 

 

 

 

USD

14,309,957

 

EUR

10,755,000

 

04/14/11

 

Morgan Stanley

 

$

(14,309,957

)

$

(14,731,883

)

$

(421,926

)

 

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. Debt securities are generally categorized as Level 2. 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. Equity investments are generally categorized as Level 1. Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and are generally categorized as Level 2. Investments in open-end investment companies are valued at their net asset value each business day and are generally categorized as Level 1. 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 and are generally categorized as Level 3. At January 31, 2011, the Fund held less than 0.01% 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 $1,837,586 and fair value of $1,189. 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.

 

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. In accordance with the Fund’s valuation procedures, factors used in determining value may include, but are not limited to, the type of the security, the size of the holding, the initial cost of the security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies, quotations or evaluated prices from broker-dealers and/or pricing services, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or issuer’s financial statements, an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold and with respect to debt securities, the maturity, coupon, creditworthiness, currency denomination, and the movement of the market in which the security is normally traded. 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 January 31, 2011 in valuing the Fund’s investments carried at value:

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Investments in Securities

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

$

—

 

$

292,933,904

 

$

—

 

$

292,933,904

 

Bank Loans

 

—

 

14,359,668

 

—

 

14,359,668

 

Common Stocks

 

3,417,216

 

—

 

—

 

3,417,216

 

Preferred Stocks

 

454,553

 

—

 

17

 

454,570

 

Warrants

 

—

 

—

 

1,172

 

1,172

 

Short-Term Investments

 

10,207,169

 

5,295,000

 

—

 

15,502,169

 

Other Financial Instruments *

 

 

 

 

 

 

 

 

 

Forward Foreign Currency Contract

 

—

 

(421,926

)

—

 

(421,926

)

 

 

$

14,078,938

 

$

312,166,646

 

$

1,189

 

$

326,246,773

 

 

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

 

As of January 31, 2011, 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 January 31, 2011, there were no significant transfers in and out of Level 1 and Level 2.

 

Federal Income Tax Cost — At January 31, 2011, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized appreciation from investments were $317,552,949, $20,857,799, $(11,742,049) and $9,115,750, 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:

March 18, 2011

 

 

 

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:

March 18, 2011

 

 

 

/s/Michael A. Pignataro

 

Name:

Michael A. Pignataro

 

Title:

Chief Financial Officer

 

Date:

March 18, 2011