N-Q 1 a12-5494_2nq.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, 2011 to January 31, 2012

 

 


 

Item 1:           Schedule of Investments

 


 

Credit Suisse High Yield Bond Fund

Schedule of Investments

January 31, 2012 (unaudited)

 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS (123.9%)

 

 

 

 

 

 

 

 

 

Aerospace & Defense (0.6%)

 

 

 

 

 

 

 

 

 

$

325

 

AAR Corp., Rule 144A, Senior Unsecured Notes (Callable 01/15/17 @ $103.63)‡

 

(BB, Ba3)

 

01/15/22

 

7.250

 

$

326,625

 

1,000

 

Ducommun, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/15 @ $104.88)‡

 

(B-, B3)

 

07/15/18

 

9.750

 

1,027,500

 

 

 

 

 

 

 

 

 

 

 

1,354,125

 

Auto Parts & Equipment (5.6%)

 

 

 

 

 

 

 

 

 

1,000

 

Affinia Group, Inc., Global Company Guaranteed Notes (Callable11/30/12 @ $100.00)

 

(CCC+, B3)

 

11/30/14

 

9.000

 

1,005,000

 

1,200

 

American Tire Distributors, Inc., Global Senior Secured Notes (Callable 06/01/13 @ $107.31)

 

(B-, B2)

 

06/01/17

 

9.750

 

1,272,000

 

750

 

Lear Corp., Company Guaranteed Notes (Callable 03/15/15 @ 104.06)

 

(BB, Ba2)

 

03/15/20

 

8.125

 

840,937

 

2,150

 

Mark IV USA SCA, Rule 144A, Senior Secured Notes (Callable 12/15/13 @ $106.66)‡€

 

(BB-, Ba3)

 

12/15/17

 

8.875

 

2,870,746

 

850

 

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

 

(CCC+, B3)

 

03/15/18

 

10.625

 

856,375

 

1,950

 

Stanadyne Corp., Series 1, Global Senior Subordinated Notes (Callable 08/15/12 @ $100.00)

 

(CCC, Caa1)

 

08/15/14

 

10.000

 

1,755,000

 

2,100

 

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

 

(BB-, B2)

 

10/15/17

 

9.500

 

2,168,250

 

1,525

 

UCI International, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ $104.31)

 

(CCC+, B3)

 

02/15/19

 

8.625

 

1,549,781

 

 

 

 

 

 

 

 

 

 

 

12,318,089

 

Building & Construction (1.4%)

 

 

 

 

 

 

 

 

 

741

 

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

 

(NR, NR)

 

06/30/15

 

0.000

 

600,210

 

600

 

K Hovnanian Enterprises, Inc., Rule 144A, Senior Secured Notes‡

 

(CC, B3)

 

11/01/21

 

2.000

 

294,000

 

1,900

 

Tutor Perini Corp., Global Company Guaranteed Notes (Callable 11/01/14 @ $103.81)

 

(BB-, Ba3)

 

11/01/18

 

7.625

 

1,857,250

 

1,000

 

William Lyon Homes, Inc., Company Guaranteed Notesø

 

(D, NR)

 

04/01/13

 

10.750

 

270,000

 

 

 

 

 

 

 

 

 

 

 

3,021,460

 

Building Materials (3.9%)

 

 

 

 

 

 

 

 

 

2,550

 

Euramax International, Inc., Global Senior Secured Notes (Callable 04/01/13 @ $107.13)

 

(B-, Caa1)

 

04/01/16

 

9.500

 

2,110,125

 

1,750

 

Headwaters, Inc., Global Secured Notes (Callable 04/01/15 @ $103.81)

 

(B+, B2)

 

04/01/19

 

7.625

 

1,636,250

 

3,000

 

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

 

(B, B3)

 

04/15/15

 

9.750

 

3,150,000

 

525

 

Summit Materials LLC, Rule 144A, Senior Unsecured Notes (Callable 01/31/16 @ $105.25)‡

 

(B, B3)

 

01/31/20

 

10.500

 

536,812

 

1,000

 

Xefin Lux SCA, Rule 144A, Senior Secured Notes (Callable 06/01/14 @ $106.00)‡€

 

(B+, Ba3)

 

06/01/18

 

8.000

 

1,282,869

 

 

 

 

 

 

 

 

 

 

 

8,716,056

 

Chemicals (7.0%)

 

 

 

 

 

 

 

 

 

1,900

 

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

 

(B+, B1)

 

08/15/18

 

7.875

 

1,952,250

 

500

 

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

 

(CCC+, NR)

 

11/15/20

 

9.000

 

480,000

 

400

 

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

 

(B, Ba3)

 

05/15/15

 

9.000

 

415,000

 

1,675

 

Ineos Group Holdings PLC, Rule 144A, Company Guaranteed Notes (Callable 02/15/12 @ $102.83)‡

 

(CCC, Caa1)

 

02/15/16

 

8.500

 

1,515,875

 

2,000

 

Momentive Performance Materials, Inc., Global Secured Notes (Callable 01/15/16 @ $104.50)

 

(CCC, Caa1)

 

01/15/21

 

9.000

 

1,820,000

 

300

 

Nexeo Solutions Finance Corp., Rule 144A, Senior Subordinated Notes (Callable 03/01/14 @ $104.19)‡

 

(B-, B3)

 

03/01/18

 

8.375

 

300,750

 

2,100

 

Omnova Solutions, Inc., Global Company Guaranteed Notes (Callable 11/01/14 @ $103.94)

 

(B-, B2)

 

11/01/18

 

7.875

 

1,942,500

 

2,216

 

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

 

(B+, B2)

 

07/15/17

 

9.500

 

2,318,490

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Chemicals

 

 

 

 

 

 

 

 

 

$

1,800

 

Polymer Group, Inc., Global Senior Secured Notes (Callable 02/01/15 @ $103.88)

 

(B, B1)

 

02/01/19

 

7.750

 

$

1,912,500

 

1,175

 

Reichhold Industries, Inc., Rule 144A, Senior Notes (Callable 08/15/12 @ $100.00)‡

 

(CCC-, Caa2)

 

08/15/14

 

9.000

 

605,125

 

750

 

Styrolution GmbH, Rule 144A, Senior Secured Notes (Callable 05/15/13 @ $105.72)‡€

 

(B+, B2)

 

05/15/16

 

7.625

 

809,974

 

500

 

Taminco Global Chemical Corp., Rule 144A, Secured Notes (Callable 03/31/15 @ $107.31)‡

 

(B-, Caa1)

 

03/31/20

 

9.750

 

512,500

 

950

 

TPC Group LLC, Global Senior Secured Notes (Callable 10/01/13 @ $106.19)

 

(NR, B1)

 

10/01/17

 

8.250

 

1,009,375

 

 

 

 

 

 

 

 

 

 

 

15,594,339

 

Computer Hardware (1.7%)

 

 

 

 

 

 

 

 

 

3,750

 

Spansion LLC, Global Company Guaranteed Notes (Callable 11/15/13 @ $103.94)

 

(BB-, B3)

 

11/15/17

 

7.875

 

3,693,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Consumer Products (2.7%)

 

 

 

 

 

 

 

 

 

2,000

 

NBTY, Inc., Global Company Guaranteed Notes (Callable 10/01/14 @ $104.50)

 

(B, B3)

 

10/01/18

 

9.000

 

2,220,000

 

2,375

 

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

 

(BB-, Ba3)

 

04/01/18

 

8.250

 

2,576,875

 

1,100

 

Spectrum Brands Holdings, Inc., Global Senior Secured Notes (Callable 06/15/14 @ $104.75)

 

(B, B1)

 

06/15/18

 

9.500

 

1,252,625

 

 

 

 

 

 

 

 

 

 

 

6,049,500

 

Consumer/Commercial/Lease Financing (2.8%)

 

 

 

 

 

 

 

 

 

822

 

CIT Group, Inc., Rule 144A, Secured Notes‡

 

(B+, B2)

 

05/04/15

 

7.000

 

827,138

 

380

 

CIT Group, Inc., Rule 144A, Secured Notes‡

 

(B+, B2)

 

05/02/16

 

7.000

 

382,375

 

512

 

CIT Group, Inc., Rule 144A, Secured Notes‡

 

(B+, B2)

 

05/02/17

 

7.000

 

513,920

 

850

 

CIT Group, Inc., Secured Notes

 

(B+, B2)

 

05/01/17

 

7.000

 

852,125

 

950

 

International Lease Finance Corp., Senior Unsecured Notes#

 

(BBB-, B1)

 

07/13/12

 

0.927

 

934,448

 

650

 

PFG Finance Corp., Rule 144A, Senior Notes (Callable 02/15/15 @ $105.06)‡

 

(B, B2)

 

02/15/19

 

10.125

 

494,000

 

2,300

 

PFG Finance Corp., Rule 144A, Senior Secured Notes (Callable 04/15/14 @ $105.13)‡

 

(BB, Ba3)

 

04/15/17

 

10.250

 

2,213,750

 

 

 

 

 

 

 

 

 

 

 

6,217,756

 

Discount Stores (1.1%)

 

 

 

 

 

 

 

 

 

2,200

 

Number Merger Sub, Inc., Rule 144A, Senior Notes (Callable 12/15/14 @ $108.25)‡

 

(NR, Caa1)

 

12/15/19

 

11.000

 

2,329,250

 

 

 

 

 

 

 

 

 

 

 

 

 

Diversified Capital Goods (3.0%)

 

 

 

 

 

 

 

 

 

450

 

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

 

(B+, Ba2)

 

03/15/17

 

7.000

 

463,500

 

625

 

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

 

(B+, Ba2)

 

06/15/19

 

9.250

 

671,875

 

800

 

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

 

(B, B3)

 

02/15/18

 

9.000

 

820,000

 

1,500

 

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

 

(CCC, Caa3)

 

12/15/15

 

12.000

 

1,072,500

 

1,000

 

JM Huber Corp., Rule 144A, Senior Unsecured Notes (Callable 11/01/15 @ $104.94)‡

 

(BB-, B2)

 

11/01/19

 

9.875

 

1,045,000

 

950

 

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

 

(BB+, B1)

 

03/15/17

 

7.125

 

985,625

 

800

 

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

 

(B+, B2)

 

09/01/20

 

8.750

 

878,000

 

575

 

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

 

(B-, B2)

 

12/15/17

 

9.750

 

632,500

 

 

 

 

 

 

 

 

 

 

 

6,569,000

 

Electric - Generation (1.1%)

 

 

 

 

 

 

 

 

 

1,475

 

Edison Mission Energy, Global Senior Unsecured Notes

 

(B-, Caa1)

 

05/15/17

 

7.000

 

862,875

 

675

 

Edison Mission Energy, Global Senior Unsecured Notes

 

(B-, Caa1)

 

05/15/19

 

7.200

 

384,750

 

2,925

 

TCEH Finance, Inc., LLC, Series A, Global Company Guaranteed Notes (Callable 11/01/12 @ $102.56)

 

(D, Caa3)

 

11/01/15

 

10.250

 

884,812

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Electric - Generation

 

 

 

 

 

 

 

 

 

$

1,175

 

TCEH Finance, Inc., LLC, Series B, Global Company Guaranteed Notes (Callable 11/01/12 @ $102.56)

 

(D, Caa3)

 

11/01/15

 

10.250

 

$

343,688

 

 

 

 

 

 

 

 

 

 

 

2,476,125

 

Electric - Integrated (1.1%)

 

 

 

 

 

 

 

 

 

550

 

The AES Corp., Global Senior Unsecured Notes

 

(BB-, Ba3)

 

04/15/16

 

9.750

 

649,000

 

675

 

The AES Corp., Global Senior Unsecured Notes

 

(BB-, Ba3)

 

10/15/17

 

8.000

 

761,063

 

900

 

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

 

(BB-, Ba3)

 

07/01/21

 

7.375

 

999,000

 

 

 

 

 

 

 

 

 

 

 

2,409,063

 

Electronics (1.5%)

 

 

 

 

 

 

 

 

 

1,500

 

CPI International, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ $104.00)

 

(CCC+, B3)

 

02/15/18

 

8.000

 

1,297,500

 

928

 

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

 

(B, Ba3)

 

03/15/18

 

10.125

 

1,037,040

 

1,000

 

MEMC Electronic Materials, Inc., Global Company Guaranteed Notes (Callable 04/01/14 @ $105.81)

 

(BB, B1)

 

04/01/19

 

7.750

 

815,000

 

200

 

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

 

(B+, B2)

 

08/01/18

 

9.750

 

224,500

 

 

 

 

 

 

 

 

 

 

 

3,374,040

 

Energy - Exploration & Production (12.1%)

 

 

 

 

 

 

 

 

 

850

 

Comstock Resources, Inc., Company Guaranteed Notes (Callable 04/01/15 @ $103.88)

 

(B, B2)

 

04/01/19

 

7.750

 

790,500

 

2,350

 

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

 

(B, B2)

 

10/15/17

 

8.375

 

2,267,750

 

50

 

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

 

(BB-, B1)

 

03/01/16

 

9.750

 

56,125

 

2,400

 

Energy Partners Ltd., Global Company Guaranteed Notes (Callable 02/15/15 @ $104.13)

 

(B-, Caa1)

 

02/15/18

 

8.250

 

2,364,000

 

950

 

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

 

(B, Caa1)

 

12/15/17

 

9.250

 

1,042,625

 

1,575

 

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

 

(B-, B3)

 

09/15/18

 

7.500

 

1,378,125

 

900

 

Linn Energy Finance Corp., Global Company Guaranteed Notes (Callable 09/15/15 @ $103.88)

 

(B, B2)

 

02/01/21

 

7.750

 

974,250

 

3,500

 

McMoRan Exploration Co., Company Guaranteed Notes (Callable 11/15/12 @ $104.94)

 

(B-, Caa1)

 

11/15/14

 

11.875

 

3,727,500

 

1,250

 

Oasis Petroleum, Inc., Global Company Guaranteed Notes (Callable 02/01/15 @ $103.63)

 

(B, Caa1)

 

02/01/19

 

7.250

 

1,318,750

 

1,075

 

PBF Holding Co. LLC, Rule 144A, Senior Secured Notes (Callable 02/15/16 @ $104.13)‡

 

(BB+, Ba3)

 

02/15/20

 

8.250

 

1,065,594

 

1,525

 

Petrohawk Energy Corp., Global Company Guaranteed Notes (Callable 08/15/14 @ $103.63)

 

(BBB+, Baa3)

 

08/15/18

 

7.250

 

1,746,125

 

2,475

 

Pioneer Natural Resources Co., Senior Unsecured Notes

 

(BBB-, Ba1)

 

01/15/20

 

7.500

 

2,987,377

 

800

 

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

 

(B, Caa1)

 

02/01/17

 

8.625

 

826,000

 

1,525

 

Stone Energy Corp., Global Senior Subordinated Notes (Callable 12/15/12 @ $100.00)

 

(CCC+, Caa2)

 

12/15/14

 

6.750

 

1,521,187

 

475

 

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

 

(B+, B3)

 

06/01/17

 

7.125

 

477,375

 

500

 

Swift Energy Co., Rule 144A, Company Guaranteed Notes (Callable 03/01/17 @ $103.94)‡

 

(B+, B3)

 

03/01/22

 

7.875

 

498,750

 

2,500

 

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

 

(BB-, B2)

 

01/15/19

 

7.875

 

2,662,500

 

1,000

 

W&T Offshore, Inc., Global Company Guaranteed Notes (Callable 06/15/15 @ $104.25)

 

(B, Caa1)

 

06/15/19

 

8.500

 

1,068,750

 

 

 

 

 

 

 

 

 

 

 

26,773,283

 

Environmental (2.3%)

 

 

 

 

 

 

 

 

 

1,000

 

ALBA Group PLC & Co. KG, Rule 144A, Senior Notes (Callable 05/15/14 @ $106.00)‡€

 

(B, B3)

 

05/15/18

 

8.000

 

1,316,098

 

1,100

 

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

 

(BB, B2)

 

07/15/14

 

11.000

 

1,204,500

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Environmental

 

 

 

 

 

 

 

 

 

$

900

 

Darling International, Inc., Global Company Guaranteed Notes (Callable 12/15/14 @ $104.25)

 

(BB, Ba3)

 

12/15/18

 

8.500

 

$

1,012,500

 

550

 

EnergySolutions LLC, Global Company Guaranteed Notes (Callable 08/15/14 @ $105.38)

 

(BB-, Caa1)

 

08/15/18

 

10.750

 

530,750

 

1,000

 

WCA Waste Corp., Rule 144A, Company Guaranteed Notes (Callable 06/15/14 @ $105.63)‡

 

(B-, B3)

 

06/15/19

 

7.500

 

1,035,000

 

 

 

 

 

 

 

 

 

 

 

5,098,848

 

Food - Wholesale (2.3%)

 

 

 

 

 

 

 

 

 

2,350

 

Del Monte Corp., Global Company Guaranteed Notes (Callable 02/15/14 @ $103.81)

 

(CCC+, B3)

 

02/15/19

 

7.625

 

2,323,562

 

2,575

 

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

 

(B+, B3)

 

05/15/15

 

11.250

 

2,745,594

 

 

 

 

 

 

 

 

 

 

 

5,069,156

 

Forestry & Paper (1.3%)

 

 

 

 

 

 

 

 

 

628

 

Boise Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/12 @ $100.00)

 

(B+, Caa1)

 

10/15/14

 

7.125

 

633,495

 

500

 

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

 

(BB, Ba2)

 

11/15/17

 

7.250

 

687,251

 

1,000

 

Smurfit Kappa Funding PLC, Global Senior Subordinated Notes (Callable 01/31/13 @ $100.00)

 

(B, B2)

 

04/01/15

 

7.750

 

1,015,625

 

950

 

Stone & Webster, Inc.*

 

(NR, NR)

 

07/01/12

 

0.000

 

24,938

 

300

 

Verso Paper, Inc., Global Secured Notes (Callable 02/01/15 @ $104.38)§

 

(B, B2)

 

02/01/19

 

8.750

 

168,000

 

1,125

 

Verso Paper, Inc., Series B, Global Company Guaranteed Notes (Callable 08/01/12 @ $103.79)§

 

(CCC+, Caa1)

 

08/01/16

 

11.375

 

461,250

 

 

 

 

 

 

 

 

 

 

 

2,990,559

 

Gaming (8.0%)

 

 

 

 

 

 

 

 

 

775

 

Buffalo Thunder Development Authority, Rule 144A, Senior Secured Notes (Callable 12/15/12 @ $100.00)ø‡

(NR, NR)

 

12/15/14

 

9.375

 

271,250

 

1,280

 

CCM Merger, Inc., Rule 144A, Notes‡

 

(CCC+, Caa3)

 

08/01/13

 

8.000

 

1,248,000

 

1,000

 

Chester Downs & Marina LLC, Rule 144A, Senior Secured Notes (Callable 02/01/16 @ $104.63)‡

 

(B+, B3)

 

02/01/20

 

9.250

 

1,025,000

 

973

 

Choctaw Resort Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/12 @ $102.42)‡

 

(CCC+, Caa3)

 

11/15/19

 

7.250

 

712,723

 

1,590

 

Chukchansi Economic Development Authority, Rule 144A, Senior Unsecured Notes‡

 

(NR, Ca)

 

11/15/13

 

8.000

 

1,057,350

 

1,500

 

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

 

(B+, B3)

 

05/15/18

 

8.750

 

1,831,033

 

625

 

Fontainebleau Las Vegas Holdings LLC, Rule 144A, Second Mortgage Notes (Callable 06/15/12 @ $105.13)ø‡

 

(NR, NR)

 

06/15/15

 

10.250

 

2,344

 

1,950

 

Great Canadian Gaming Corp., Rule 144A, Company Guaranteed Notes (Callable 02/15/12 @ $101.81)‡§

 

(BB-, B2)

 

02/15/15

 

7.250

 

1,984,125

 

1,700

 

Greektown Superholdings, Inc., Series B, Global Secured Notes (Callable 01/01/13 @ $106.50)

 

(NR, NR)

 

07/01/15

 

13.000

 

1,827,500

 

3,025

 

Jacobs Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/15/12 @ $100.00)

 

(B-, Caa1)

 

06/15/14

 

9.750

 

2,858,625

 

319

 

Majestic Star Casino LLC, Rule 144A, Senior Notes‡

 

(NR, NR)

 

12/01/16

 

12.500

 

311,398

 

950

 

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

 

(B, Caa1)

 

08/15/17

 

10.750

 

1,028,375

 

1,425

 

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

 

(BB, Ba3)

 

08/15/15

 

8.375

 

1,521,187

 

670

 

Tropicana Finance Corp., Global Senior Subordinated Notes (Callable 12/15/12 @ $100.00)ø^

 

(NR, NR)

 

12/15/14

 

9.625

 

67

 

2,085

 

Tunica-Biloxi Gaming Authority, Rule 144A, Senior Unsecured Notes (Callable 11/15/12 @ $101.60)‡

 

(B+, B3)

 

11/15/15

 

9.000

 

2,032,875

 

 

 

 

 

 

 

 

 

 

 

17,711,852

 

Gas Distribution (1.7%)

 

 

 

 

 

 

 

 

 

1,100

 

Genesis Energy LP, Global Company Guaranteed Notes (Callable 12/15/14 @ $103.94)

 

(NR, B2)

 

12/15/18

 

7.875

 

1,133,000

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Gas Distribution

 

 

 

 

 

 

 

 

 

$

1,100

 

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

 

(NR, B2)

 

12/15/18

 

7.875

 

$

1,122,000

 

600

 

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

 

(BB, Ba3)

 

07/01/16

 

8.250

 

636,000

 

875

 

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

 

(BB, Ba3)

 

02/01/21

 

6.875

 

916,563

 

 

 

 

 

 

 

 

 

 

 

3,807,563

 

Health Facilities (3.7%)

 

 

 

 

 

 

 

 

 

545

 

Bausch & Lomb, Inc., Global Senior Unsecured Notes (Callable 11/01/12 @ $102.47)

 

(B, Caa1)

 

11/01/15

 

9.875

 

573,612

 

500

 

MPT Finance Corp., Global Company Guaranteed Notes (Callable 05/01/16 @ $103.44)

 

(BB, Ba2)

 

05/01/21

 

6.875

 

521,250

 

450

 

Omega Healthcare Investors, Inc., Global Company Guaranteed Notes (Callable 10/15/15 @ $103.38)

 

(BBB-, Ba2)

 

10/15/22

 

6.750

 

479,250

 

625

 

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

 

(CCC+, B3)

 

04/15/17

 

9.875

 

439,063

 

2,500

 

Sabra Capital Corp., Global Company Guaranteed Notes (Callable 11/01/14 @ $104.06)§

 

(BB-, B2)

 

11/01/18

 

8.125

 

2,643,750

 

1,950

 

Symbion, Inc., Global Senior Secured Notes (Callable 06/15/14 @ $104.00)

 

(NR, B2)

 

06/15/16

 

8.000

 

1,842,750

 

900

 

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

 

(BB-, B1)

 

07/01/19

 

8.875

 

1,022,625

 

634

 

VWR Funding, Inc., Series B, Global Company Guaranteed Notes (Callable 07/15/12 @ $105.13)

 

(B-, Caa1)

 

07/15/15

 

10.250

 

659,892

 

 

 

 

 

 

 

 

 

 

 

8,182,192

 

Health Services (2.3%)

 

 

 

 

 

 

 

 

 

650

 

Capsugel FinanceCo SCA, Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ $107.41)‡€

 

(B, Caa1)

 

08/01/19

 

9.875

 

921,080

 

675

 

inVentiv Health, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/14 @ $105.00)‡

 

(CCC+, Caa2)

 

08/15/18

 

10.000

 

614,250

 

650

 

Labco SAS, Senior Secured Notes (Callable 01/15/14 @ $106.38)€

 

(B+, B3)

 

01/15/18

 

8.500

 

693,469

 

425

 

Service Corp. International, Senior Unsecured Notes

 

(BB-, Ba3)

 

11/15/21

 

8.000

 

490,875

 

2,025

 

STHI Holding Corp., Rule 144A, Secured Notes (Callable 03/15/14 @ $106.00)‡

 

(B, B2)

 

03/15/18

 

8.000

 

2,159,156

 

250

 

Universal Hospital Services, Inc., Global Secured Notes (Callable 06/01/12 @ $102.13)

 

(B+, B3)

 

06/01/15

 

8.500

 

258,750

 

 

 

 

 

 

 

 

 

 

 

5,137,580

 

Leisure (2.0%)

 

 

 

 

 

 

 

 

 

1,650

 

Magnum Management Corp., Global Company Guaranteed Notes (Callable 08/01/14 @ $104.56)

 

(B-, B2)

 

08/01/18

 

9.125

 

1,837,687

 

2,000

 

Palace Entertainment Holdings Corp., Rule 144A, Senior Secured Notes (Callable 04/15/14 @ $104.44)‡

 

(B-, B2)

 

04/15/17

 

8.875

 

2,030,000

 

650

 

Seven Seas Cruises S de RL LLC, Rule 144A, Secured Notes (Callable 05/15/15 @ $104.56)‡

 

(B-, B3)

 

05/15/19

 

9.125

 

667,875

 

 

 

 

 

 

 

 

 

 

 

4,535,562

 

Machinery (1.7%)

 

 

 

 

 

 

 

 

 

2,300

 

CPM Holdings, Inc., Global Senior Secured Notes (Callable 09/01/12 @ $105.31)

 

(B+, B2)

 

09/01/14

 

10.625

 

2,478,250

 

1,000

 

Dematic SA, Rule 144A, Senior Secured Notes (Callable 05/01/13 @ $104.38)‡

 

(B, B3)

 

05/01/16

 

8.750

 

1,015,000

 

250

 

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

 

(B, Caa1)

 

11/15/17

 

8.000

 

253,750

 

 

 

 

 

 

 

 

 

 

 

3,747,000

 

Media - Broadcast (1.4%)

 

 

 

 

 

 

 

 

 

2,900

 

Mission Broadcasting, Inc., Global Secured Notes (Callable 04/15/14 @ $104.44)

 

(B, B3)

 

04/15/17

 

8.875

 

3,088,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Cable (5.6%)

 

 

 

 

 

 

 

 

 

1,375

 

Atlantic Broadband Finance LLC, Global Company Guaranteed Notes

 

(B-, B3)

 

01/15/14

 

9.375

 

1,381,875

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Media - Cable

 

 

 

 

 

 

 

 

 

$

75

 

Cablevision Systems Corp., Senior Unsecured Notes

 

(B+, B1)

 

04/15/18

 

7.750

 

$

80,437

 

1,150

 

Cablevision Systems Corp., Senior Unsecured Notes§

 

(B+, B1)

 

04/15/20

 

8.000

 

1,265,000

 

414

 

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

 

(B, B2)

 

11/30/16

 

13.500

 

479,579

 

1,925

 

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

 

(BB-, B1)

 

04/30/20

 

8.125

 

2,139,156

 

1,950

 

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

 

(B-, B3)

 

11/15/17

 

8.625

 

2,086,500

 

525

 

CSC Holdings LLC, Global Senior Unsecured Notes

 

(BB, Ba3)

 

02/15/19

 

8.625

 

615,562

 

1,500

 

DISH DBS Corp., Global Company Guaranteed Notes

 

(BB-, Ba2)

 

09/01/19

 

7.875

 

1,736,250

 

1,425

 

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

 

(B-, B3)

 

07/15/18

 

9.375

 

1,622,719

 

600

 

Kabel Baden-Wurttemberg GmbH & Co. KG, Rule 144A, Senior Secured Notes (Callable 03/15/15 @ $103.75)‡

 

(B+, B1)

 

03/15/19

 

7.500

 

643,500

 

200

 

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

 

(BB-, B1)

 

12/01/17

 

8.125

 

278,828

 

 

 

 

 

 

 

 

 

 

 

12,329,406

 

Media - Diversified (1.1%)

 

 

 

 

 

 

 

 

 

1,800

 

Block Communications, Inc., Rule 144A, Senior Notes (Callable 02/01/16 @ $103.63)‡

 

(B+, Ba3)

 

02/01/20

 

7.250

 

1,840,500

 

600

 

Quebecor Media, Inc., Global Senior Unsecured Notes (Callable 03/15/12 @ $102.58)

 

(B+, B1)

 

03/15/16

 

7.750

 

621,000

 

 

 

 

 

 

 

 

 

 

 

2,461,500

 

Media - Services (1.3%)

 

 

 

 

 

 

 

 

 

150

 

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

 

(B, B2)

 

12/15/17

 

9.250

 

165,375

 

1,500

 

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

 

(B, B2)

 

12/15/17

 

9.250

 

1,661,250

 

548

 

SGS International, Inc., Global Company Guaranteed Notes

 

(B, B2)

 

12/15/13

 

12.000

 

552,795

 

400

 

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

 

(BB-, Ba2)

 

06/15/16

 

9.500

 

437,000

 

 

 

 

 

 

 

 

 

 

 

2,816,420

 

Medical Products (0.6%)

 

 

 

 

 

 

 

 

 

1,250

 

Grifols, Inc., Global Company Guaranteed Notes (Callable 02/01/14 @ $106.19)

 

(B, B3)

 

02/01/18

 

8.250

 

1,378,125

 

 

 

 

 

 

 

 

 

 

 

 

 

Metals & Mining - Excluding Steel (3.4%)

 

 

 

 

 

 

 

 

 

1,350

 

Calcipar SA, Rule 144A, Senior Secured Notes (Callable 05/01/15 @ $103.44)‡

 

(BB-, B1)

 

05/01/18

 

6.875

 

1,316,250

 

600

 

FMG Resources August 2006 Pty Ltd., Rule 144A, Senior Notes (Callable 11/01/15 @ $104.13)‡

 

(B+, B1)

 

11/01/19

 

8.250

 

646,500

 

1,630

 

Noranda Aluminium Acquisition Corp., Global Company Guaranteed Notes#

 

(B, B2)

 

05/15/15

 

4.659

 

1,511,883

 

225

 

Old AII, Inc., Global Company Guaranteed Notes (Callable 12/15/12 @ $100.00)ø

 

(NR, NR)

 

12/15/14

 

9.000

 

23

 

1,100

 

Old AII, Inc., Global Company Guaranteed Notes (Callable 12/15/12 @ $103.33)ø

 

(NR, NR)

 

12/15/16

 

10.000

 

110

 

2,700

 

Taseko Mines Ltd., Company Guaranteed Notes (Callable 04/15/15 @ $103.88)

 

(B, B3)

 

04/15/19

 

7.750

 

2,497,500

 

1,900

 

Xinergy Corp., Rule 144A, Senior Secured Notes (Callable 05/15/15 @ $104.63)‡

 

(B-, Caa1)

 

05/15/19

 

9.250

 

1,548,500

 

 

 

 

 

 

 

 

 

 

 

7,520,766

 

Oil Field Equipment & Services (5.4%)

 

 

 

 

 

 

 

 

 

2,350

 

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

 

(B-, Caa3)

 

01/15/15

 

12.250

 

2,197,250

 

2,325

 

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

 

(BB, Ba3)

 

11/15/18

 

7.625

 

2,487,750

 

1,300

 

Helix Energy Solutions Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/13 @ $102.36)‡

 

(B-, B3)

 

01/15/16

 

9.500

 

1,371,500

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Oil Field Equipment & Services

 

 

 

 

 

 

 

 

 

$

300

 

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

 

(BB-, Ba3)

 

09/01/17

 

8.000

 

$

317,250

 

350

 

Hornbeck Offshore Services, Inc., Series B, Global Company Guaranteed Notes (Callable 12/01/12 @ $100.00)

 

(BB-, Ba3)

 

12/01/14

 

6.125

 

352,188

 

1,650

 

Offshore Group Investments, Ltd., Global Senior Secured Notes (Callable 02/01/13 @ $108.63)

 

(B-, B3)

 

08/01/15

 

11.500

 

1,835,625

 

625

 

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

 

(B+, B1)

 

04/01/18

 

9.125

 

665,625

 

2,000

 

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

 

(B, NR)

 

03/15/18

 

9.875

 

2,140,000

 

505

 

Thermon Industries, Inc., Global Secured Notes (Callable 05/01/14 @ $104.75)

 

(B+, B1)

 

05/01/17

 

9.500

 

546,662

 

 

 

 

 

 

 

 

 

 

 

11,913,850

 

Oil Refining & Marketing (2.4%)

 

 

 

 

 

 

 

 

 

2,600

 

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

 

(B+, B1)

 

04/01/17

 

10.875

 

2,925,000

 

1,750

 

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

 

(BB-, B1)

 

12/01/17

 

10.500

 

1,881,250

 

500

 

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

 

(BB+, Ba1)

 

06/01/19

 

9.750

 

568,750

 

 

 

 

 

 

 

 

 

 

 

5,375,000

 

Packaging (5.0%)

 

 

 

 

 

 

 

 

 

850

 

Ardagh Glass Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 06/15/12 @ $103.56)‡€

 

(B-, B3)

 

06/15/17

 

7.125

 

1,020,895

 

700

 

Ardagh Packaging Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 10/15/15 @ $104.63)‡€

 

(B-, B3)

 

10/15/20

 

9.250

 

898,008

 

825

 

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

 

(BB-, Ba3)

 

10/15/17

 

7.375

 

1,106,965

 

525

 

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

 

(B, B1)

 

11/15/15

 

8.250

 

565,687

 

625

 

BWAY Holding Co., Global Company Guaranteed Notes (Callable 06/15/14 @ $105.00)

 

(CCC+, B3)

 

06/15/18

 

10.000

 

684,375

 

2,135

 

Pregis Corp., Global Secured Notes#€

 

(B, B2)

 

04/15/13

 

6.245

 

2,738,925

 

2,475

 

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

 

(B-, Caa1)

 

04/15/19

 

9.000

 

2,475,000

 

700

 

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

 

(BB-, Ba3)

 

10/15/16

 

8.750

 

749,000

 

300

 

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

 

(BB-, Ba3)

 

04/15/19

 

7.125

 

316,500

 

500

 

Sealed Air Corp., Rule 144A, Senior Unsecured Notes (Callable 09/15/16 @ $104.19)‡

 

(BB, B1)

 

09/15/21

 

8.375

 

565,000

 

 

 

 

 

 

 

 

 

 

 

11,120,355

 

Pharmaceuticals (1.2%)

 

 

 

 

 

 

 

 

 

1,000

 

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

 

(B, Caa1)

 

12/15/18

 

10.500

 

981,250

 

171

 

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

 

(NR, NR)

 

03/15/15

 

10.250

 

172,804

 

1,500

 

Warner Chilcott Finance LLC, Global Company Guaranteed Notes (Callable 09/15/14 @ $103.88)

 

(BB, B3)

 

09/15/18

 

7.750

 

1,593,750

 

 

 

 

 

 

 

 

 

 

 

2,747,804

 

Printing & Publishing (0.7%)

 

 

 

 

 

 

 

 

 

1,000

 

Cenveo Corp., Global Company Guaranteed Notes§

 

(CCC+, Caa2)

 

12/01/13

 

7.875

 

820,000

 

875

 

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

 

(CCC, B3)

 

02/15/17

 

9.500

 

735,000

 

 

 

 

 

 

 

 

 

 

 

1,555,000

 

Real Estate Development & Management (0.6%)

 

 

 

 

 

 

 

 

 

1,300

 

Icahn Enterprises LP, Rule 144A, Company Guaranteed Notes#‡

 

(NR, NR)

 

08/15/13

 

4.000

 

1,280,500

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Real Estate Investment Trusts (1.3%)

 

 

 

 

 

 

 

 

 

$

3,050

 

CNL Lifestyle Properties, Inc., Global Company Guaranteed Notes (Callable 04/15/15 @ $103.63)

 

(BB-, Ba3)

 

04/15/19

 

7.250

 

$

2,847,938

 

 

 

 

 

 

 

 

 

 

 

 

 

Restaurants (2.1%)

 

 

 

 

 

 

 

 

 

1,812

 

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

 

(B-, B2)

 

07/15/18

 

11.375

 

2,065,680

 

2,050

 

HOA Finance Corp., Rule 144A, Senior Secured Notes (Callable 04/01/14 @ $105.63)‡

 

(B, B3)

 

04/01/17

 

11.250

 

1,916,750

 

648

 

Sizzling Platter LLC, Rule 144A, Senior Secured Notes (Callable 04/15/14 @ $106.13)‡

 

(B-, Caa1)

 

04/15/16

 

12.250

 

654,480

 

 

 

 

 

 

 

 

 

 

 

4,636,910

 

Software/Services (3.1%)

 

 

 

 

 

 

 

 

 

1,600

 

Epicor Software Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/15 @ $104.31)‡

 

(CCC+, Caa1)

 

05/01/19

 

8.625

 

1,608,000

 

1,125

 

First Data Corp., Rule 144A, Senior Secured Notes (Callable 06/15/15 @ $103.69)‡

 

(B+, B1)

 

06/15/19

 

7.375

 

1,127,813

 

1,671

 

Serena Software, Inc., Global Company Guaranteed Notes (Callable 03/15/12 @ $103.46)

 

(CCC+, Caa1)

 

03/15/16

 

10.375

 

1,725,307

 

600

 

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

 

(CCC+, Caa1)

 

06/01/18

 

11.125

 

666,000

 

1,600

 

SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 11/15/13 @ $105.53)

 

(B, Caa1)

 

11/15/18

 

7.375

 

1,696,000

 

 

 

 

 

 

 

 

 

 

 

6,823,120

 

Specialty Retail (1.9%)

 

 

 

 

 

 

 

 

 

500

 

Academy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ $106.94)‡

 

(CCC+, Caa1)

 

08/01/19

 

9.250

 

499,375

 

1,300

 

Brown Shoe Co., Inc., Global Company Guaranteed Notes (Callable 05/15/14 @ $105.34)

 

(B, B3)

 

05/15/19

 

7.125

 

1,254,500

 

1,250

 

Ontex IV SA, Rule 144A, Senior Secured Notes (Callable 04/15/14 @ $103.25)‡€

 

(B+, B1)

 

04/15/18

 

7.500

 

1,538,133

 

835

 

Toys R Us Property Co. I LLC, Global Company Guaranteed Notes (Callable 07/15/13 @ $105.38)

 

(B+, B3)

 

07/15/17

 

10.750

 

933,113

 

 

 

 

 

 

 

 

 

 

 

4,225,121

 

Steel Producers/Products (1.5%)

 

 

 

 

 

 

 

 

 

1,000

 

AM Castle & Co., Rule 144A, Senior Secured Notes (Callable 12/15/14 @ $106.38)‡

 

(B+, B3)

 

12/15/16

 

12.750

 

1,042,500

 

900

 

JMC Steel Group, Rule 144A, Senior Notes (Callable 03/15/14 @ $106.19)‡

 

(B, B3)

 

03/15/18

 

8.250

 

927,000

 

700

 

Ryerson, Inc., Global Senior Secured Notes (Callable 11/01/12 @ $103.00)

 

(CCC+, Caa1)

 

11/01/15

 

12.000

 

710,500

 

525

 

Tube City IMS Corp., Global Company Guaranteed Notes (Callable 02/01/12 @ $102.44)

 

(B, B3)

 

02/01/15

 

9.750

 

538,125

 

 

 

 

 

 

 

 

 

 

 

3,218,125

 

Support-Services (4.8%)

 

 

 

 

 

 

 

 

 

800

 

Ashtead Capital, Inc., Rule 144A, Secured Notes (Callable 08/15/12 @ $103.00)‡

 

(B+, B2)

 

08/15/16

 

9.000

 

842,000

 

250

 

Audatex North America, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/14 @ $103.38)‡

 

(BB-, Ba2)

 

06/15/18

 

6.750

 

255,625

 

1,700

 

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

 

(CCC+, B3)

 

11/01/18

 

9.125

 

1,576,750

 

1,850

 

CoreLogic, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/16 @ $103.63)‡

 

(B+, Ba3)

 

06/01/21

 

7.250

 

1,863,875

 

500

 

Emdeon, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/31/15 @ $105.50)‡

 

(NR, Caa1)

 

12/31/19

 

11.000

 

542,500

 

1,475

 

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

 

(B, B2)

 

03/15/17

 

9.750

 

1,552,437

 

1,975

 

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

 

(B, Caa2)

 

04/15/15

 

12.250

 

1,846,625

 

625

 

RSC Holdings III LLC, Global Company Guaranteed Notes (Callable 02/01/16 @ $104.13)

 

(B-, Caa1)

 

02/01/21

 

8.250

 

648,438

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Support-Services

 

 

 

 

 

 

 

 

 

$

625

 

The Geo Group, Inc., Global Company Guaranteed Notes (Callable 02/15/16 @ $103.31)

 

(B+, B1)

 

02/15/21

 

6.625

 

$

642,969

 

550

 

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

 

(B+, B1)

 

10/15/17

 

7.750

 

591,250

 

300

 

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

 

(B, B3)

 

06/15/16

 

10.875

 

345,000

 

 

 

 

 

 

 

 

 

 

 

10,707,469

 

Telecom - Integrated/Services (1.1%)

 

 

 

 

 

 

 

 

 

550

 

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

 

(NR, NR)

 

01/15/15

 

6.034

 

0

 

1,100

 

Intelsat Jackson Holdings SA, Rule 144A, Company Guaranteed Notes (Callable 04/01/15 @ $103.63)‡

 

(B, B3)

 

04/01/19

 

7.250

 

1,152,250

 

1,250

 

Intelsat Jackson Holdings SA, Rule 144A, Company Guaranteed Notes (Callable 04/01/16 @ $103.75)‡

 

(B, B3)

 

04/01/21

 

7.500

 

1,315,625

 

 

 

 

 

 

 

 

 

 

 

2,467,875

 

Telecom - Wireless (1.0%)

 

 

 

 

 

 

 

 

 

250

 

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

 

(B+, Ba2)

 

05/15/16

 

7.750

 

266,250

 

800

 

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

 

(BB-, Ba3)

 

10/01/15

 

9.625

 

892,000

 

300

 

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

 

(B-, B3)

 

10/01/16

 

8.625

 

319,500

 

350

 

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

 

(BB-, B3)

 

07/15/17

 

11.750

 

348,250

 

400

 

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

 

(BB-, B3)

 

07/15/17

 

11.750

 

480,474

 

 

 

 

 

 

 

 

 

 

 

2,306,474

 

Telecommunications Equipment (1.8%)

 

 

 

 

 

 

 

 

 

1,950

 

Avaya, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/15 @ $103.50)‡

 

(B, B1)

 

04/01/19

 

7.000

 

1,911,000

 

1,990

 

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

 

(BB-, B1)

 

12/01/16

 

9.500

 

2,059,650

 

 

 

 

 

 

 

 

 

 

 

3,970,650

 

Textiles & Apparel (0.0%)

 

 

 

 

 

 

 

 

 

75

 

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

 

(NR, NR)

 

11/15/12

 

9.875

 

1,964

 

 

 

 

 

 

 

 

 

 

 

 

 

Theaters & Entertainment (3.4%)

 

 

 

 

 

 

 

 

 

3,365

 

AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 03/01/12 @ $100.00)§

 

(CCC+, Caa1)

 

03/01/14

 

8.000

 

3,373,412

 

750

 

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

 

(B-, B2)

 

06/01/19

 

8.750

 

795,000

 

600

 

National CineMedia LLC, Senior Unsecured Notes (Callable 07/15/16 @ $103.94)

 

(B, B2)

 

07/15/21

 

7.875

 

605,250

 

2,500

 

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

 

(B-, B3)

 

08/15/18

 

9.125

 

2,750,000

 

 

 

 

 

 

 

 

 

 

 

7,523,662

 

Tobacco (0.9%)

 

 

 

 

 

 

 

 

 

1,850

 

Vector Group, Ltd., Global Senior Secured Notes (Callable 08/15/12 @ $103.67)

 

(NR, B1)

 

08/15/15

 

11.000

 

1,930,938

 

 

 

 

 

 

 

 

 

 

 

 

 

Transportation - Excluding Air/Rail (1.4%)

 

 

 

 

 

 

 

 

 

650

 

Navios Maritime Holdings Finance II US, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ $104.06)

 

(B+, B3)

 

02/15/19

 

8.125

 

515,125

 

2,130

 

Ship Finance International, Ltd., Global Company Guaranteed Notes

 

(B+, B3)

 

12/15/13

 

8.500

 

2,050,125

 

500

 

Teekay Corp., Global Senior Unsecured Notes

 

(BB-, B2)

 

01/15/20

 

8.500

 

502,500

 

 

 

 

 

 

 

 

 

 

 

3,067,750

 

TOTAL CORPORATE BONDS (Cost $278,778,698)

 

 

 

 

 

 

 

274,491,370

 

 

 

 

 

 

 

 

 

 

 

ASSET BACKED SECURITIES (1.2%)

 

 

 

 

 

 

 

 

 

Collateralized Debt Obligation (0.7%)

 

 

 

 

 

 

 

 

 

2,000

 

Gale Force CLO Ltd., Rule 144A‡#

 

(BBB+, Baa2)

 

11/15/17

 

2.307

 

1,545,076

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

ASSET BACKED SECURITIES

 

 

 

 

 

 

 

 

 

lnvestments & Misc. Financial Services (0.5%)

 

 

 

 

 

 

 

 

 

$

1,500

 

Commercial Industrial Finance Corp., Rule 144A‡#

 

(BBB, NR)

 

01/19/23

 

3.893

 

$

1,196,220

 

TOTAL ASSET BACKED SECURITIES (Cost $2,660,215)

 

 

 

 

 

 

 

2,741,296

 

 

 

 

 

 

 

 

 

 

 

BANK LOANS (10.8%)

 

 

 

 

 

 

 

 

 

Aerospace & Defense (1.3%)

 

 

 

 

 

 

 

 

 

2,191

 

London Acquisition Holdings B.V.#€

 

(B, B1)

 

05/12/14

 

0.000

 

2,839,058

 

 

 

 

 

 

 

 

 

 

 

 

 

Auto Parts & Equipment (0.7%)

 

 

 

 

 

 

 

 

 

1,500

 

Milacron LLC#

 

(B, B1)

 

05/15/17

 

6.265

 

1,500,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Chemicals (0.8%)

 

 

 

 

 

 

 

 

 

1,764

 

PQ Corp.#

 

(B+, B3)

 

07/30/14

 

3.500

 

1,709,738

 

 

 

 

 

 

 

 

 

 

 

 

 

Environmental (0.4%)

 

 

 

 

 

 

 

 

 

882

 

EnviroSolutions Real Property Holdings, Inc.#

 

(CCC-, Caa1)

 

07/29/14

 

8.000

 

867,649

 

 

 

 

 

 

 

 

 

 

 

 

 

Health Services (0.7%)

 

 

 

 

 

 

 

 

 

1,489

 

Onex Carestream Finance LP#

 

(BB-, B1)

 

02/25/17

 

5.000

 

1,408,150

 

156

 

WC Luxco Sarl#

 

(BBB-, Ba3)

 

03/15/18

 

4.250

 

156,550

 

 

 

 

 

 

 

 

 

 

 

1,564,700

 

lnvestments & Misc. Financial Services (1.1%)

 

 

 

 

 

 

 

 

 

2,500

 

BNY Convergex Group LLC#

 

(B-, B2)

 

12/18/17

 

8.750

 

2,432,025

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Diversified (0.7%)

 

 

 

 

 

 

 

 

 

1,088

 

Flint Group Holdings Sarl#

 

(B-, B2)

 

12/31/14

 

7.285

 

848,814

 

859

 

Flint Group Holdings Sarl#

 

(B-, B2)

 

06/30/16

 

6.500

 

646,601

 

 

 

 

 

 

 

 

 

 

 

1,495,415

 

Metals & Mining - Excluding Steel (0.9%)

 

 

 

 

 

 

 

 

 

1,974

 

Global Brass & Copper, Inc.#

 

(B, B2)

 

08/18/15

 

10.250

 

2,003,417

 

 

 

 

 

 

 

 

 

 

 

 

 

Oil Field Equipment & Services (0.5%)

 

 

 

 

 

 

 

 

 

1,200

 

Amtrol, Inc.#

 

(NR, NR)

 

12/05/14

 

4.894

 

1,098,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Packaging (0.4%)

 

 

 

 

 

 

 

 

 

972

 

Hilex Poly Co. LLC#

 

(B+, B3)

 

11/19/15

 

11.250

 

981,720

 

 

 

 

 

 

 

 

 

 

 

 

 

Pharmaceuticals (0.2%)

 

 

 

 

 

 

 

 

 

341

 

Warner Chilcott Corp.#

 

(BBB-, Ba3)

 

03/15/18

 

4.250

 

341,563

 

 

 

 

 

 

 

 

 

 

 

 

 

Printing & Publishing (0.2%)

 

 

 

 

 

 

 

 

 

1,750

 

Yell Group PLC#

 

(B-, B2)

 

07/31/14

 

4.015

 

537,495

 

 

 

 

 

 

 

 

 

 

 

 

 

Real Estate Investment Trusts (1.3%)

 

 

 

 

 

 

 

 

 

1,500

 

iStar Financial, Inc.#

 

(BB-, B2)

 

06/30/14

 

7.000

 

1,478,437

 

1,500

 

Spirit Finance Corp.#

 

(CCC+, Ca)

 

08/01/13

 

3.265

 

1,418,445

 

 

 

 

 

 

 

 

 

 

 

2,896,882

 

Software/Services (1.5%)

 

 

 

 

 

 

 

 

 

1,500

 

Flexera Software LLC#

 

(CCC+, Caa2)

 

09/30/18

 

11.000

 

1,395,000

 

2,000

 

SafeNet, Inc.#

 

(B-, Caa1)

 

04/12/15

 

6.270

 

1,909,000

 

 

 

 

 

 

 

 

 

 

 

3,304,000

 

Telecommunications Equipment (0.1%)

 

 

 

 

 

 

 

 

 

348

 

Avaya, Inc.#

 

(B, B1)

 

10/24/14

 

3.256

 

339,354

 

TOTAL BANK LOANS (Cost $24,246,622)

 

 

 

 

 

 

 

23,911,016

 

 

Number of
Shares

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

COMMON STOCKS (0.5%)

 

 

 

 

 

 

 

 

 

Building Materials (0.0%)

 

 

 

 

 

 

 

 

 

619

 

Dayton Superior Corp.*^

 

 

 

 

 

 

 

0

 

 


 

Number of
Shares

 

 

 

Value

 

 

 

 

 

COMMON STOCKS

 

 

 

Building Materials

 

 

 

437

 

Nortek, Inc.*

 

$

11,799

 

 

 

 

 

11,799

 

Chemicals (0.0%)

 

 

 

4,893

 

Huntsman Corp.

 

62,288

 

 

 

 

 

 

 

Forestry & Paper (0.1%)

 

 

 

11,000

 

AbitibiBowater, Inc.*§

 

159,390

 

 

 

 

 

 

 

Gaming (0.1%)

 

 

 

55,100

 

Majestic Holdco, LLC*

 

132,240

 

 

 

 

 

 

 

Leisure (0.3%)

 

 

 

18,392

 

Six Flags Entertainment Corp.§

 

806,122

 

 

 

 

 

 

 

Printing & Publishing (0.0%)

 

 

 

1,322

 

SuperMedia, Inc.*§

 

3,807

 

 

 

 

 

 

 

TOTAL COMMON STOCKS (Cost $2,364,215)

 

1,175,646

 

 

 

 

 

PREFERRED STOCK (0.0%)

 

 

 

Building Materials (0.0%)

 

 

 

688

 

Dayton Superior Corp.*^ (Cost $250,835)

 

0

 

 

 

 

 

 

 

WARRANTS (0.1%)

 

 

 

Building Materials (0.0%)

 

 

 

1,152

 

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

 

2,085

 

 

 

 

 

 

 

Media - Broadcast (0.1%)

 

 

 

19,721

 

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

 

153,430

 

 

 

 

 

 

 

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)

 

155,515

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS (8.1%)

 

 

 

9,535,624

 

State Street Navigator Prime Portfolio, 0.32%§§

 

9,535,624

 

 

Par
(000)

 

 

 

 

 

Maturity

 

Rate%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

8,372

 

State Street Bank and Trust Co. Euro Time Deposit

 

 

 

02/01/12

 

0.010

 

8,372,000

 

TOTAL SHORT-TERM INVESTMENTS (Cost $17,907,624)

 

 

 

 

 

17,907,624

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS AT VALUE (144.6%) (Cost $326,209,361)

 

 

 

 

 

320,382,467

 

 

 

 

 

 

 

 

 

LIABILITIES IN EXCESS OF OTHER ASSETS (-44.6%)

 

 

 

 

 

(98,791,121

)

 

 

 

 

 

 

 

 

NET ASSETS (100.0%)

 

 

 

 

 

$

221,591,346

 

 

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, 2012, these securities amounted to a value of $115,978,529 or 52.3% of net assets.

€

This security is denominated in Euro.

^

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, 2012.

+

Step Bond — The interest rate is as of January 31, 2012 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 one-day yield at January 31, 2012.

 


 

Forward Foreign Currency
to be Purchased (Local)

 

Forward Foreign Currency
to be Sold (Local)

 

Expiration
Date

 

Counterparty

 

Value on
Settlement Date

 

Current
Value

 

Unrealized
Appreciation/
(Depreciation)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Open Forward Foreign Currency Contracts

 

 

 

 

 

 

 

 

 

 

 

USD

19,702,825

 

EUR

15,500,000

 

4/13/12

 

Morgan Stanley

 

(19,702,825

)

(20,294,660

)

$

(591,835

)

USD

650,350

 

EUR

500,000

 

4/20/12

 

Morgan Stanley

 

(650,350

)

(654,690

)

(4,340

)

 

 

 

 

 

 

 

 

 

 

 

 

(596,175

)

 

Currency Abbreviations:

EUR = Euro

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. 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. Investments in open-end investment companies are valued at their net asset value each business day and are generally categorized as Level 1. 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. Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and are generally categorized as Level 2. 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, 2012, the Fund held 0.07% 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 $1,700,782 and fair value of $153,497. 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, 2012 in valuing the Fund’s investments carried at value:

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Investments in Securities

 

 

 

 

 

 

 

 

 

Corporate Bonds

 

$

—

 

$

274,491,303

 

$

67

 

$

274,491,370

 

Asset Backed Securities

 

—

 

2,741,296

 

—

 

2,741,296

 

Bank Loans

 

—

 

23,911,016

 

—

 

23,911,016

 

Common Stocks

 

1,043,406

 

132,240

 

—

 

1,175,646

 

Preferred Stock

 

—

 

—

 

—

 

—

 

Warrants

 

2,085

 

—

 

153,430

 

155,515

 

Short-Term Investments

 

9,535,624

 

8,372,000

 

—

 

17,907,624

 

Other Financial Instruments *

 

 

 

 

 

 

 

 

 

Forward Foreign Currency Contracts

 

—

 

(596,175

)

—

 

(596,175

)

 

 

$

10,581,115

 

$

309,051,680

 

$

153,497

 

$

319,786,292

 

 

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

 

The following is a reconciliation of investments as of January 31, 2012 in which significant unobservable inputs (Level 3) were used in determining value. Transfers in or out of Level 3 represent the beginning value of any security or instrument where a change in the level has occurred from the beginning to the end of the period.

 

 

 

Investments

 

Balance as of October 31, 2011

 

$

118,590

 

Accrued discounts/premiums

 

0

 

Purchases

 

0

 

Sales

 

0

 

Realized Gain/(Loss)

 

0

 

Change in Unrealized Appreciation/(Depreciation)

 

34,907

 

Transfers Into Level 3

 

0

 

Transfers Out of Level 3

 

0

 

Balance as of January 31, 2012

 

$

153,497

 

 

 

 

 

Net change in unrealized Appreciation/(Depreciation) from investments still held as of January 31, 2012

 

$

34,907

 

 

As of January 31, 2012, the amounts shown by the Fund as being Level 3 securities that were measured at fair value amounted to 0.07% of net assets.

 

The Fund adopted FASB amendments to authoritative guidance which require the Fund to disclose details of significant transfers in and out of Level 1 and Level 2 measurements and Level 2 and Level 3 measurements and the reasons for the transfers. For the quarter ended January 31, 2012, there were no significant transfers in and out of Level 1, Level 2 and Level 3.

 

Federal Income Tax Cost - At January 31, 2012, 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 $326,209,361, $12,712,665, $(18,539,559) and $(5,826,894), 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 26, 2012

 

 

 

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 26, 2012

 

 

 

 

/s/Michael A. Pignataro

 

Name:

Michael A. Pignataro

 

Title:

Chief Financial Officer

 

Date:

March 26, 2012