UNITED
STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act file number |
811-08777 |
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CREDIT SUISSE HIGH YIELD BOND FUND |
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(Exact name of registrant as specified in charter) |
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c/o Credit Suisse Asset Management, LLC Eleven Madison Avenue New York, New York |
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10010 |
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(Address of principal executive offices) |
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(Zip code) |
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J. Kevin Gao, Esq. Eleven Madison Avenue New York, New York 10010 |
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(Name and address of agent for service) |
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Registrant's telephone number, including area code: |
(212) 325-2000 |
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Date of fiscal year end: |
October 31st |
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Date of reporting period: |
November 1, 2006 to January 31, 2007 |
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Item 1: Schedule of Investments
Credit Suisse High Yield Bond Fund
Schedule of Investments
January 31, 2007 (unaudited)
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Par |
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Ratings† |
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Maturity |
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Rate% |
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Value |
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U.S. CORPORATE BONDS (127.2%) |
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Aerospace & Defense (1.4%) |
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$ |
425 |
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DRS Technologies, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.81) |
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(B, B3) |
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02/01/18 |
|
7.625 |
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$ |
434,563 |
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|
725 |
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DRS Technologies, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $103.44) |
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(B, B3) |
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11/01/13 |
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6.875 |
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721,375 |
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|
350 |
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K&F Acquisition, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $103.88) |
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(B-, Caa1) |
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11/15/14 |
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7.750 |
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361,375 |
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|
1,125 |
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L-3 Communications Corp., Global Senior Subordinated Notes (Callable 01/15/10 @ $102.94) |
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(BB+, Ba3) |
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01/15/15 |
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5.875 |
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1,071,562 |
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|
225 |
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TransDigm, Inc., Global Company Guaranteed Notes (Callable 07/15/09 @ $105.81) |
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(B-, B3) |
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07/15/14 |
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7.750 |
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230,625 |
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|
475 |
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TransDigm, Inc., Rule 144A, Senior Subordinated Notes (Callable 07/15/09 @ $105.81)‡ |
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(B-, B3) |
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07/15/14 |
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7.750 |
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479,750 |
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3,299,250 |
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Agriculture (0.6%) |
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1,325 |
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Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 11/01/07 @ $108.00)‡ |
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(B, Caa1) |
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11/01/10 |
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10.500 |
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1,414,438 |
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Auto Loans (5.5%) |
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2,900 |
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Ford Motor Credit Co., Global Notes§ |
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(B, B1) |
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10/01/13 |
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7.000 |
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2,770,063 |
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|
2,075 |
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Ford Motor Credit Co., Notes |
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(B, B1) |
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06/16/08 |
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6.625 |
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2,074,517 |
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|
325 |
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Ford Motor Credit Co., Senior Notes§ |
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(B, B1) |
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08/10/11 |
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9.875 |
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348,291 |
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2,125 |
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Ford Motor Credit Co., Senior Unsecured Notes§ |
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(B, B1) |
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12/15/16 |
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8.000 |
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2,089,969 |
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2,625 |
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General Motors Acceptance Corp., Global Notes |
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(BB+, Ba1) |
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05/15/09 |
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5.625 |
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2,599,411 |
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|
2,250 |
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General Motors Acceptance Corp., Global Notes§ |
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(BB+, Ba1) |
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12/01/14 |
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6.750 |
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2,286,317 |
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|
1,125 |
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GMAC LLC, Senior Unsubordinated Notes§ |
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(BB+, Ba1) |
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12/15/11 |
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6.000 |
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1,109,607 |
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13,278,175 |
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Automobile Parts & Equipment (4.6%) |
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575 |
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Accuride Corp., Global Company Guaranteed Notes (Callable 02/01/10 @ $104.25)§ |
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(B-, B3) |
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02/01/15 |
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8.500 |
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563,500 |
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1,025 |
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Altra Industrial Motion, Inc., Global Secured Notes (Callable 12/01/08 @ $104.50)# |
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(CCC+, B1) |
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12/01/11 |
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9.000 |
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1,063,437 |
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1,200 |
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American Tire Distributors Holdings, Inc., Global Senior Notes (Callable 04/01/09 @ $105.38) |
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(CCC+, Caa1) |
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04/01/13 |
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10.750 |
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1,164,000 |
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1,900 |
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Goodyear Tire & Rubber Co., Global Senior Notes (Callable 07/01/10 @ $104.50)§ |
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(B-, B2) |
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07/01/15 |
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9.000 |
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2,056,750 |
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|
75 |
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Goodyear Tire & Rubber Co., Rule 144A, Senior Notes‡# |
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(B-, B2) |
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12/01/09 |
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9.140 |
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75,938 |
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1,075 |
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Insurance Auto Auctions, Inc., Global Company Guaranteed Notes (Callable 04/01/09 @ $105.50) |
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(CCC+, Caa1) |
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04/01/13 |
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11.000 |
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1,220,125 |
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|
500 |
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Keystone Automotive Operations, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $104.88) |
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(CCC+, Caa1) |
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11/01/13 |
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9.750 |
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496,250 |
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1,200 |
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Stanadyne Corp., Global Senior Subordinated Notes (Callable 08/15/09 @ $105.00) |
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(CCC+, Caa1) |
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08/15/14 |
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10.000 |
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1,248,000 |
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|
800 |
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Tenneco Automotive, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $104.31)§ |
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(B, B3) |
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11/15/14 |
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8.625 |
|
834,000 |
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1,275 |
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Titan International, Inc., Rule 144A, Senior Notes‡ |
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(B, B3) |
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01/15/12 |
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8.000 |
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1,287,750 |
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|
950 |
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Visteon Corp., Global Senior Notes§ |
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(CCC+, Caa2) |
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08/01/10 |
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8.250 |
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954,750 |
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10,964,500 |
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Automotive (2.6%) |
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1,645 |
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Ford Motor Co., Global Notes |
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(CCC+, Caa1) |
|
07/16/31 |
|
7.450 |
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1,342,731 |
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|
2,715 |
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General Motors Corp., Global Debentures§ |
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(B-, Caa1) |
|
07/15/33 |
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8.375 |
|
2,569,069 |
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|
2,400 |
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General Motors Corp., Global Senior Notes§ |
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(B-, Caa1) |
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07/15/13 |
|
7.125 |
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2,334,000 |
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6,245,800 |
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Beverages (0.3%) |
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|
600 |
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Constellation Brands, Inc., Company Guaranteed Notes§ |
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(BB, Ba2) |
|
09/01/16 |
|
7.250 |
|
616,500 |
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Brokerage (0.3%) |
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|
775 |
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E*TRADE Financial Corp., Global Senior Notes (Callable 06/15/08 @ $104.00) |
|
(BB-, Ba2) |
|
06/15/11 |
|
8.000 |
|
812,781 |
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|
Par |
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|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
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|
Building & Construction (2.4%) |
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|
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$ |
1,050 |
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Ashton Woods USA/Finance, Global Senior Subordinated Notes (Callable 10/01/10 @ $104.75) |
|
(B-, B3) |
|
10/01/15 |
|
9.500 |
|
$ |
1,013,250 |
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|
625 |
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K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes§ |
|
(BB, Ba1) |
|
01/15/16 |
|
6.250 |
|
587,500 |
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|
775 |
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KB Home, Senior Subordinated Notes |
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(BB-, Ba2) |
|
12/15/08 |
|
8.625 |
|
807,630 |
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|
900 |
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Standard Pacific Corp., Global Senior Notes§ |
|
(BB, Ba2) |
|
08/15/15 |
|
7.000 |
|
868,500 |
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|
1,200 |
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Technical Olympic USA, Inc., Global Senior Subordinated Notes§ |
|
(CCC+, B3) |
|
01/15/15 |
|
7.500 |
|
963,000 |
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|
700 |
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WCI Communities, Inc., Global Company Guaranteed Notes (Callable 03/15/10 @ $103.31) |
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(B-, Caa1) |
|
03/15/15 |
|
6.625 |
|
640,500 |
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|
1,000 |
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William Lyon Homes, Inc., Company Guaranteed Notes (Callable 04/01/08 @ $105.38)#§ |
|
(B, B3) |
|
04/01/13 |
|
10.750 |
|
990,000 |
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|
|
|
|
|
|
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5,870,380 |
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Building Materials (4.8%) |
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|
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|
1,000 |
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Associated
Materials, Inc., Global Senior Discount Notes (Callable 03/01/09 @ |
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(CCC, Caa2) |
|
03/01/14 |
|
0.000 |
|
737,500 |
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|
1,300 |
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Building Materials Corp., Global Secured Notes (Callable 08/01/09 @ $103.88) |
|
(B+, B3) |
|
08/01/14 |
|
7.750 |
|
1,235,000 |
|
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|
1,425 |
|
Coleman Cable, Inc., Global Company Guaranteed Notes (Callable 10/01/08 @ $104.94) |
|
(B-, B3) |
|
10/01/12 |
|
9.875 |
|
1,467,750 |
|
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|
500 |
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Dayton Superior Corp., Company Guaranteed Notes (Callable 06/15/07 @ $102.17) |
|
(CCC, Caa3) |
|
06/15/09 |
|
13.000 |
|
516,250 |
|
||
|
750 |
|
Dayton Superior Corp., Global Secured Notes (Callable 06/15/07 @ $102.81) |
|
(CCC+, Caa1) |
|
09/15/08 |
|
10.750 |
|
781,875 |
|
||
|
1,375 |
|
Goodman Global Holding Company, Inc., Global Senior Subordinated Notes (Callable 12/15/08 @ $103.94) |
|
(B-, B3) |
|
12/15/12 |
|
7.875 |
|
1,388,750 |
|
||
|
1,100 |
|
Interface, Inc., Global Senior Subordinated Notes (Callable 02/01/09 @ $104.75)§ |
|
(CCC+, B3) |
|
02/01/14 |
|
9.500 |
|
1,177,000 |
|
||
|
325 |
|
Norcraft Companies, Global Senior Subordinated Notes (Callable 11/01/07 @ $104.50) |
|
(B-, B1) |
|
11/01/11 |
|
9.000 |
|
337,187 |
|
||
|
750 |
|
Norcraft Holdings, Global Senior Discount Notes (Callable 09/01/08 @ $104.88)+ |
|
(B-, B3) |
|
09/01/12 |
|
0.000 |
|
663,750 |
|
||
|
1,100 |
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Nortek, Inc., Global Senior Subordinated Notes (Callable 09/01/09 @ $104.25) |
|
(CCC+, B3) |
|
09/01/14 |
|
8.500 |
|
1,097,250 |
|
||
|
1,000 |
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NTK Holdings, Inc., Global Senior Discount Notes (Callable 09/01/09 @ $105.38)+§ |
|
(CCC+, Caa1) |
|
03/01/14 |
|
0.000 |
|
740,000 |
|
||
|
1,550 |
|
Ply Gem Industries, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $104.50)§ |
|
(CCC+, Caa1) |
|
02/15/12 |
|
9.000 |
|
1,402,750 |
|
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|
|
|
|
|
|
|
|
|
|
|
11,545,062 |
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Chemicals (5.4%) |
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|
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|
650 |
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BCP Crystal Holdings Corp., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.81) |
|
(B, B3) |
|
06/15/14 |
|
9.625 |
|
721,500 |
|
||
|
750 |
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CPG International I, Inc., Global Senior Notes (Callable 07/01/09 @ $105.25) |
|
(B-, B3) |
|
07/01/13 |
|
10.500 |
|
785,625 |
|
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|
876 |
|
Crystal US Holdings, Global Senior Discount Notes (Callable 10/01/09 @ $105.25)+ |
|
(B, B3) |
|
10/01/14 |
|
0.000 |
|
766,500 |
|
||
|
736 |
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Huntsman LLC, Global Company Guaranteed Notes (Callable 07/15/08 @ $105.75)# |
|
(B, B2) |
|
07/15/12 |
|
11.500 |
|
839,040 |
|
||
|
1,200 |
|
KI Holdings, Inc., Global Senior Discount Notes (Callable 11/15/09 @ $104.94)+ |
|
(B-, B3) |
|
11/15/14 |
|
0.000 |
|
981,000 |
|
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|
375 |
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Lyondell Chemical Co., Global Company Guaranteed Notes (Callable 09/15/10 @ $104.00) |
|
(B+, B1) |
|
09/15/14 |
|
8.000 |
|
391,875 |
|
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|
1,800 |
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Lyondell Chemical Co., Global Company Guaranteed Notes (Callable 09/15/11 @ $104.13) |
|
(B+, B1) |
|
09/15/16 |
|
8.250 |
|
1,917,000 |
|
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|
1,375 |
|
Millennium America, Inc., Global Company Guaranteed Notes |
|
(B+, B1) |
|
06/15/08 |
|
9.250 |
|
1,436,875 |
|
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|
2,025 |
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Nalco Finance Holdings, Inc., Global Senior Notes (Callable 02/01/09 @ $104.50)+ |
|
(B-, B3) |
|
02/01/14 |
|
0.000 |
|
1,690,875 |
|
||
|
925 |
|
PolyOne Corp., Global Company Guaranteed Notes (Callable 05/15/07 @ $105.31) |
|
(B+, B2) |
|
05/15/10 |
|
10.625 |
|
987,437 |
|
||
|
550 |
|
PolyOne Corp., Senior Notes§ |
|
(B+, B2) |
|
05/01/12 |
|
8.875 |
|
548,625 |
|
||
|
832 |
|
Terra Capital, Inc., Global Secured Notes (Callable 06/01/07 @ $105.75) |
|
(B, B1) |
|
06/01/10 |
|
11.500 |
|
898,560 |
|
||
|
1,150 |
|
Terra
Capital, Inc., Rule 144A, Senior Notes |
|
(BB-, B1) |
|
02/01/17 |
|
7.000 |
|
1,138,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
13,103,412 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
Computer Hardware (0.5%) |
|
|
|
|
|
|
|
|
|
||||
|
$ |
1,325 |
|
Activant Solutions, Inc., Rule 144A, Senior Subordinated Notes (Callable 05/01/11 @ $104.75)‡ |
|
(CCC+, Caa1) |
|
05/01/16 |
|
9.500 |
|
$ |
1,291,875 |
|
|
Consumer Products (3.9%) |
|
|
|
|
|
|
|
|
|
||||
|
1,850 |
|
AAC
Group Holding Corp., Global Senior Discount Notes (Callable 10/01/08 @ |
|
(CCC+, B3) |
|
10/01/12 |
|
0.000 |
|
1,646,500 |
|
||
|
1,000 |
|
ALH Finance LLC/ALH Finance Corp., Global Senior Subordinated Notes (Callable 01/15/09 @ 104.25)§ |
|
(CCC+, B3) |
|
01/15/13 |
|
8.500 |
|
1,007,500 |
|
||
|
1,575 |
|
Amscan Holdings, Inc., Global Senior Subordinated Notes (Callable 05/01/09 @ $104.38) |
|
(CCC+, Caa1) |
|
05/01/14 |
|
8.750 |
|
1,551,375 |
|
||
|
1,325 |
|
Del Laboratories, Inc., Global Company Guaranteed Notes (Callable 02/01/08 @ $104.00) |
|
(CCC, Caa2) |
|
02/01/12 |
|
8.000 |
|
1,262,062 |
|
||
|
1,025 |
|
Jarden Corp., Global Company Guaranteed Notes (Callable 05/01/07 @ $104.88)§ |
|
(B-, B3) |
|
05/01/12 |
|
9.750 |
|
1,090,344 |
|
||
|
825 |
|
Playtex Products, Inc., Global Company Guaranteed Notes (Callable 06/01/07 @ $103.13) |
|
(B-, Caa1) |
|
06/01/11 |
|
9.375 |
|
860,062 |
|
||
|
1,265 |
|
Prestige Brands, Inc., Global Senior Subordinated Notes (Callable 04/15/08 @ $104.63) |
|
(B-, B3) |
|
04/15/12 |
|
9.250 |
|
1,296,625 |
|
||
|
750 |
|
Revlon Consumer Products Corp., Global Senior Notes (Callable 04/01/08 @ $104.75)§ |
|
(CCC-, Caa2) |
|
04/01/11 |
|
9.500 |
|
717,188 |
|
||
|
|
|
|
|
|
|
|
|
|
|
9,431,656 |
|
||
|
Diversified Capital Goods (2.5%) |
|
|
|
|
|
|
|
|
|
||||
|
1,000 |
|
Amsted Industries, Inc., Rule 144A, Senior Notes (Callable 10/15/07 @ $105.12)‡ |
|
(B, Caa1) |
|
10/15/11 |
|
10.250 |
|
1,076,250 |
|
||
|
925 |
|
Esco Corp., Rule 144A, Senior Notes (Callable 12/15/08 @ $102.00)‡# |
|
(B, B2) |
|
12/15/13 |
|
9.235 |
|
950,438 |
|
||
|
625 |
|
Esco Corp., Rule 144A, Senior Notes (Callable 12/15/10 @ $104.31)‡ |
|
(B, B2) |
|
12/15/13 |
|
8.625 |
|
646,875 |
|
||
|
275 |
|
RBS Global & Rexnord Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/10 @ $104.75)‡ |
|
(CCC+, B3) |
|
08/01/14 |
|
9.500 |
|
286,000 |
|
||
|
750 |
|
RBS Global & Rexnord Corp., Rule 144A, Senior Subordinated Notes (Callable 08/01/11 @ $105.88)ठ|
|
(CCC+, Caa1) |
|
08/01/16 |
|
11.750 |
|
796,875 |
|
||
|
950 |
|
Sensus Metering Systems, Global Senior Subordinated Notes (Callable 12/15/08 @ $104.31) |
|
(B-, B3) |
|
12/15/13 |
|
8.625 |
|
954,750 |
|
||
|
1,350 |
|
TriMas Corp., Global Company Guaranteed Notes (Callable 06/15/07 @ $104.94) |
|
(CCC+, B3) |
|
06/15/12 |
|
9.875 |
|
1,360,125 |
|
||
|
|
|
|
|
|
|
|
|
|
|
6,071,313 |
|
||
|
Electric - Generation (3.5%) |
|
|
|
|
|
|
|
|
|
||||
|
1,000 |
|
AES Corp., Rule 144A, Secured Notes (Callable 05/15/08 @ $104.50)‡ |
|
(BB-, Ba3) |
|
05/15/15 |
|
9.000 |
|
1,075,000 |
|
||
|
375 |
|
Baldor Electric Co., Senior Notes (Callable 02/15/12 @ $104.31) |
|
(B, B3) |
|
02/15/17 |
|
8.625 |
|
389,063 |
|
||
|
1,800 |
|
Calpine Generating Company LLC, Global Secured Notes (Callable 04/01/08 @ $103.50)# |
|
(D, NR) |
|
04/01/10 |
|
11.099 |
|
1,845,000 |
|
||
|
1,375 |
|
Dynegy Holdings, Inc., Global Senior Unsecured Notes |
|
(B-, B2) |
|
05/01/16 |
|
8.375 |
|
1,460,937 |
|
||
|
650 |
|
Edison Mission Energy, Senior Notes§ |
|
(BB-, B1) |
|
06/15/09 |
|
7.730 |
|
672,750 |
|
||
|
675 |
|
Midwest Generation LLC, Global Secured Notes (Callable 05/01/09 @ $104.38) |
|
(B+, Ba2) |
|
05/01/34 |
|
8.750 |
|
732,375 |
|
||
|
438 |
|
Midwest Generation LLC, Series B, Global Pass Thru Certificates |
|
(BB-, Ba2) |
|
01/02/16 |
|
8.560 |
|
482,371 |
|
||
|
25 |
|
NRG Energy, Inc., Company Guaranteed Notes (Callable 01/15/12 @ $103.69) |
|
(B-, B1) |
|
01/15/17 |
|
7.375 |
|
25,063 |
|
||
|
675 |
|
NRG Energy, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.69) |
|
(B-, B1) |
|
02/01/16 |
|
7.375 |
|
677,531 |
|
||
|
1,025 |
|
Reliant Energy, Inc., Global Secured Notes (Callable 07/15/08 @ $104.75) |
|
(B, B2) |
|
07/15/13 |
|
9.500 |
|
1,104,437 |
|
||
|
|
|
|
|
|
|
|
|
|
|
8,464,527 |
|
||
|
Electric - Integrated (0.6%) |
|
|
|
|
|
|
|
|
|
||||
|
800 |
|
CMS Energy Corp., Global Senior Notes |
|
(B+, Ba3) |
|
08/01/10 |
|
7.750 |
|
841,000 |
|
||
|
500 |
|
Sierra Pacific Resources, Global Senior Notes (Callable 03/15/09 @ $104.31) |
|
(B, B1) |
|
03/15/14 |
|
8.625 |
|
541,629 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,382,629 |
|
||
|
Electronics (3.2%) |
|
|
|
|
|
|
|
|
|
||||
|
1,400 |
|
Amkor Technology, Inc., Global Senior Notes (Callable 05/15/08 @ $103.88) |
|
(CCC+, Caa1) |
|
05/15/13 |
|
7.750 |
|
1,324,750 |
|
||
|
191 |
|
Ampex Corp., Secured Notes^ |
|
(NR, NR) |
|
08/15/08 |
|
12.000 |
|
191,157 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
$ |
2,150 |
|
Freescale Semiconductor, Inc., Rule 144A, Senior Subordinated Notes (Callable 12/15/11 @ $105.06)‡ |
|
(B, B2) |
|
12/15/16 |
|
10.125 |
|
$ |
2,150,000 |
|
|
1,000 |
|
GrafTech Finance, Inc., Global Company Guaranteed Notes (Callable 02/15/07 @ $105.12) |
|
(B-, B2) |
|
02/15/12 |
|
10.250 |
|
1,055,000 |
|
||
|
650 |
|
Sanmina-SCI Corp., Senior Subordinated Notes (Callable 03/01/11 @ $104.06)§ |
|
(B, B2) |
|
03/01/16 |
|
8.125 |
|
622,375 |
|
||
|
1,225 |
|
Spansion,
Inc., Rule 144A, Senior Notes |
|
(B, Caa1) |
|
01/15/16 |
|
11.250 |
|
1,295,437 |
|
||
|
1,000 |
|
Viasystems, Inc., Global Senior Subordinated Notes (Callable 01/15/08 @ $105.25) |
|
(CCC+, Caa1) |
|
01/15/11 |
|
10.500 |
|
1,017,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
7,656,219 |
|
||
|
Energy - Exploration & Production (2.8%) |
|
|
|
|
|
|
|
|
|
||||
|
600 |
|
Chaparral Energy, Inc., Rule 144A, Senior Notes (Callable 02/01/12 @ $104.44)‡ |
|
(CCC+, Caa1) |
|
02/01/17 |
|
8.875 |
|
601,500 |
|
||
|
1,933 |
|
Chesapeake Energy Corp., Senior Notes (Callable 01/15/09 @ $103.44)§ |
|
(BB, Ba2) |
|
01/15/16 |
|
6.875 |
|
1,923,335 |
|
||
|
275 |
|
Encore Acquisition Co., Company Guaranteed Notes (Callable 12/01/10 @ $103.63) |
|
(B, B1) |
|
12/01/17 |
|
7.250 |
|
262,625 |
|
||
|
200 |
|
Forest Oil Corp., Global Company Guranteed Notes (Callable 05/01/07 @ $103.88) |
|
(B+, B1) |
|
05/01/14 |
|
7.750 |
|
203,000 |
|
||
|
975 |
|
Hilcorp
Energy I, Rule 144A, Senior Notes |
|
(B, B3) |
|
06/01/16 |
|
9.000 |
|
1,038,375 |
|
||
|
423 |
|
Magnum Hunter Resources, Inc., Global Company Guaranteed Notes (Callable 03/15/07 @ $104.80) |
|
(BB-, B1) |
|
03/15/12 |
|
9.600 |
|
444,679 |
|
||
|
1,275 |
|
Petrohawk Energy Corp., Global Company Guaranteed Notes (Callable 07/15/10 @ $104.56) |
|
(B-, B3) |
|
07/15/13 |
|
9.125 |
|
1,326,000 |
|
||
|
375 |
|
Range Resources Corp., Global Company Guaranteed Notes (Callable 03/15/10 @ $103.19) |
|
(B, B1) |
|
03/15/15 |
|
6.375 |
|
365,625 |
|
||
|
600 |
|
Whiting Petroleum Corp., Global Senior Subordinated Notes (Callable 05/01/08 @ $103.63) |
|
(B, B1) |
|
05/01/12 |
|
7.250 |
|
598,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
6,763,639 |
|
||
|
Environmental (1.6%) |
|
|
|
|
|
|
|
|
|
||||
|
2,325 |
|
Allied Waste North America, Inc., Series B, Global Senior Notes (Callable 04/15/09 @ $103.69)§ |
|
(B+, B3) |
|
04/15/14 |
|
7.375 |
|
2,330,813 |
|
||
|
1,375 |
|
Waste Services, Inc., Global Senior Subordinated Notes (Callable 04/15/09 @ $104.75) |
|
(CCC, Caa1) |
|
04/15/14 |
|
9.500 |
|
1,436,875 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,767,688 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Food & Drug Retailers (1.7%) |
|
|
|
|
|
|
|
|
|
||||
|
1,800 |
|
Duane Reade, Inc., Global Senior Subordinated Notes (Callable 08/01/08 @ $104.88) |
|
(CC, Caa3) |
|
08/01/11 |
|
9.750 |
|
1,692,000 |
|
||
|
250 |
|
Ingles Markets, Inc., Global Company Guaranteed Notes (Callable 12/01/07 @ $102.90) |
|
(B, B3) |
|
12/01/11 |
|
8.875 |
|
262,188 |
|
||
|
1,000 |
|
Rite Aid Corp., Global Company Guaranteed Notes (Callable 01/15/10 @ $103.75)§ |
|
(B+, B2) |
|
01/15/15 |
|
7.500 |
|
1,001,250 |
|
||
|
1,175 |
|
Stater Brothers Holdings, Inc., Global Senior Notes (Callable 06/15/08 @ $104.06)§ |
|
(B+, B1) |
|
06/15/12 |
|
8.125 |
|
1,198,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
4,153,938 |
|
||
|
Food - Wholesale (1.6%) |
|
|
|
|
|
|
|
|
|
||||
|
825 |
|
Dole Food Co., Debentures#§ |
|
(Caa1, B3) |
|
07/15/13 |
|
8.750 |
|
816,750 |
|
||
|
950 |
|
National Beef Packing Company LLC, Global Senior Notes (Callable 08/01/07 @ $105.25) |
|
(B-, Caa1) |
|
08/01/11 |
|
10.500 |
|
1,007,000 |
|
||
|
1,000 |
|
Pinnacle Foods Holding Corp., Global Senior Subordinated Notes (Callable 12/01/08 @ $104.13) |
|
(B-, B3) |
|
12/01/13 |
|
8.250 |
|
1,027,500 |
|
||
|
850 |
|
Swift & Co., Global Senior Subordinated Notes (Callable 10/01/07 @ $103.13) |
|
(CCC+, Caa1) |
|
01/01/10 |
|
12.500 |
|
890,375 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,741,625 |
|
||
|
Forestry & Paper (4.3%) |
|
|
|
|
|
|
|
|
|
||||
|
800 |
|
Boise Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/09 @ $103.56)§ |
|
(B+, B2) |
|
10/15/14 |
|
7.125 |
|
784,000 |
|
||
|
1,150 |
|
Cellu Tissue Holdings, Global Secured Notes (Callable 03/15/07 @ $107.31) |
|
(B, B2) |
|
03/15/10 |
|
9.750 |
|
1,152,875 |
|
||
|
750 |
|
Georgia-Pacific Corp., Global Senior Notes§ |
|
(B, B2) |
|
01/15/24 |
|
8.000 |
|
757,500 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
$ |
300 |
|
Georgia-Pacific Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ $103.56)ठ|
|
(B, Ba3) |
|
01/15/17 |
|
7.125 |
|
$ |
300,000 |
|
|
1,225 |
|
Graphic Packaging International Corp., Global Senior Subordinated Notes (Callable 08/15/08 @ $104.75) |
|
(B-, B3) |
|
08/15/13 |
|
9.500 |
|
1,304,625 |
|
||
|
625 |
|
Newark Group, Inc., Global Senior Subordinated Notes (Callable 03/15/09 @ $104.88) |
|
(B-, Caa1) |
|
03/15/14 |
|
9.750 |
|
646,094 |
|
||
|
750 |
|
NewPage Corp., Global Secured Notes (Callable 05/01/09 @ $106.00) |
|
(B-, B2) |
|
05/01/12 |
|
10.000 |
|
821,250 |
|
||
|
1,025 |
|
NewPage Corp., Global Senior Subordinated Notes (Callable 05/01/09 @ $106.00)§ |
|
(CCC+, B3) |
|
05/01/13 |
|
12.000 |
|
1,122,375 |
|
||
|
2,100 |
|
Smurfit-Stone Container, Global Senior Notes (Callable 07/01/07 @ $104.19) |
|
(CCC+, B2) |
|
07/01/12 |
|
8.375 |
|
2,121,000 |
|
||
|
175 |
|
Verso Paper Holdings LLC, Rule 144A, Secured Notes (Callable 08/01/10 @ $104.56)‡ |
|
(B+, B2) |
|
08/01/14 |
|
9.125 |
|
184,625 |
|
||
|
1,125 |
|
Verso Paper Holdings LLC, Rule 144A, Senior Subordinated Notes (Callable 08/01/11 @ 105.69)‡ |
|
(B-, B3) |
|
08/01/16 |
|
11.375 |
|
1,198,125 |
|
||
|
|
|
|
|
|
|
|
|
|
|
10,392,469 |
|
||
|
Gaming (6.5%) |
|
|
|
|
|
|
|
|
|
||||
|
800 |
|
Aztar Corp., Global Senior Subordinated Notes (Callable 08/15/07 @ $103.00) |
|
(B+, Ba3) |
|
08/15/11 |
|
9.000 |
|
836,000 |
|
||
|
875 |
|
Buffalo Thunder Development Authority, Rule 144A, Secured Notes (Callable 12/15/10 @ $104.69)‡ |
|
(B, B2) |
|
12/15/14 |
|
9.375 |
|
893,594 |
|
||
|
1,550 |
|
CCM Merger, Inc., Rule 144A, Notes (Callable 08/01/09 @ $104.00)‡ |
|
(CCC+, B3) |
|
08/01/13 |
|
8.000 |
|
1,548,062 |
|
||
|
725 |
|
Hard Rock Hotel, Inc., Global Notes (Callable 06/01/08 @ $104.44) |
|
(B, B2) |
|
06/01/13 |
|
8.875 |
|
789,344 |
|
||
|
800 |
|
Herbst Gaming, Inc., Global Senior Subordinated Notes (Callable 06/01/08 @ $104.06) |
|
(B-, B3) |
|
06/01/12 |
|
8.125 |
|
820,000 |
|
||
|
750 |
|
Inn of the Mountain Gods, Global Senior Notes (Callable 11/15/07 @ $106.00)§ |
|
(B-, B3) |
|
11/15/10 |
|
12.000 |
|
821,250 |
|
||
|
1,425 |
|
Jacobs Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/15/10 @ 104.88) |
|
(B-, B3) |
|
06/15/14 |
|
9.750 |
|
1,482,000 |
|
||
|
775 |
|
Majestic Star Casino LLC, Company Guaranteed Notes (Callable 10/15/07 @ $104.75) |
|
(B+, B1) |
|
10/15/10 |
|
9.500 |
|
813,750 |
|
||
|
800 |
|
Majestic Star LLC, Global Senior Unsecured Notes (Callable 10/15/08 @ $104.88) |
|
(CCC+, Caa1) |
|
01/15/11 |
|
9.750 |
|
764,000 |
|
||
|
450 |
|
MGM Mirage, Inc., Company Guaranteed Notes§ |
|
(B+, B1) |
|
02/01/11 |
|
8.375 |
|
475,312 |
|
||
|
1,425 |
|
MGM Mirage, Inc., Company Guaranteed Notes§ |
|
(BB, Ba2) |
|
01/15/17 |
|
7.625 |
|
1,441,031 |
|
||
|
400 |
|
Resorts International Hotel & Casino, Inc., Global Company Guaranteed Notes (Callable 03/15/07 @ $106.00) |
|
(CCC, Caa1) |
|
03/15/09 |
|
11.500 |
|
415,000 |
|
||
|
1,000 |
|
Trump Entertainment Resorts, Inc., Secured Notes (Callable 06/01/10 @ $104.25) |
|
(B-, Caa1) |
|
06/01/15 |
|
8.500 |
|
995,000 |
|
||
|
800 |
|
Turning Stone Resort Casino Enterprise, Rule 144A, Senior Notes (Callable 09/15/10 @ $104.56)‡ |
|
(B+, Ba3) |
|
09/15/14 |
|
9.125 |
|
827,000 |
|
||
|
303 |
|
Waterford Gaming LLC, Rule 144A, Senior Notes (Callable 09/15/08 @ $103.55)‡ |
|
(BB-, B1) |
|
09/15/12 |
|
8.625 |
|
322,695 |
|
||
|
1,625 |
|
Wimar Opco LLC, Rule 144A, Senior Subordinated Notes (Callable 12/15/10 @ $104.81)‡ |
|
(CCC+, B3) |
|
12/15/14 |
|
9.625 |
|
1,622,969 |
|
||
|
775 |
|
Wynn Las Vegas LLC, Global First Mortgage Notes (Callable 12/01/09 @ $103.31)§ |
|
(BB-, B1) |
|
12/01/14 |
|
6.625 |
|
771,125 |
|
||
|
|
|
|
|
|
|
|
|
|
|
15,638,132 |
|
||
|
Gas Distribution (2.4%) |
|
|
|
|
|
|
|
|
|
||||
|
750 |
|
El Paso Corp., Senior Notes§ |
|
(B, B2) |
|
05/15/11 |
|
7.000 |
|
772,500 |
|
||
|
1,000 |
|
El Paso Natural Gas Co., Global Senior Notes (Callable 08/01/07 @ $103.81) |
|
(B+, Ba1) |
|
08/01/10 |
|
7.625 |
|
1,045,000 |
|
||
|
1,625 |
|
El Paso Performance-Link, Rule 144A, Notes‡ |
|
(B+, B2) |
|
07/15/11 |
|
7.750 |
|
1,698,125 |
|
||
|
825 |
|
Inergy LP/Inergy Finance Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13) |
|
(B, B1) |
|
03/01/16 |
|
8.250 |
|
855,937 |
|
||
|
575 |
|
Williams Companies, Inc., Global Senior Unsecured Notes |
|
(BB-, Ba2) |
|
03/15/12 |
|
8.125 |
|
621,719 |
|
||
|
650 |
|
Williams Partners LP, Rule 144A, Bonds‡ |
|
(BB-, Ba3) |
|
02/01/17 |
|
7.250 |
|
671,125 |
|
||
|
|
|
|
|
|
|
|
|
|
|
5,664,406 |
|
||
|
Health Services (8.7%) |
|
|
|
|
|
|
|
|
|
||||
|
775 |
|
CDRV Investors, Inc., Global Senior Discount Notes (Callable 01/01/10 @ $104.81)+ |
|
(CCC+, Caa1) |
|
01/01/15 |
|
0.000 |
|
621,938 |
|
||
|
850 |
|
CDRV Investors, Inc., Rule 144A, Senior Notes (Callable 12/01/07 @ $102.00)‡# |
|
(CCC+, Caa1) |
|
12/01/11 |
|
9.860 |
|
839,375 |
|
||
|
1,050 |
|
HCA, Inc., Global Senior Unsecured Notes |
|
(B-, Caa1) |
|
01/15/15 |
|
6.375 |
|
895,125 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
$ |
4,550 |
|
HCA, Inc., Global Senior Unsecured Notes§ |
|
(B-, Caa1) |
|
02/15/16 |
|
6.500 |
|
$ |
3,856,125 |
|
|
1,850 |
|
HCA, Inc., Rule 144A, Secured Notes (Callable 11/15/11 @ $104.63)‡ |
|
(BB-, B2) |
|
11/15/16 |
|
9.250 |
|
1,970,250 |
|
||
|
1,150 |
|
HCA, Inc., Senior Unsecured Notes§ |
|
(B-, Caa1) |
|
10/01/12 |
|
6.300 |
|
1,058,000 |
|
||
|
1,275 |
|
Healthsouth
Corp., Rule 144A, Senior Notes |
|
(CCC+, Caa1) |
|
06/15/16 |
|
10.750 |
|
1,407,281 |
|
||
|
1,025 |
|
Iasis Healthcare/Capital Corp., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.38) |
|
(B-, B3) |
|
06/15/14 |
|
8.750 |
|
1,051,906 |
|
||
|
800 |
|
Senior Housing Properties Trust, Senior Notes |
|
(BB+, Ba2) |
|
01/15/12 |
|
8.625 |
|
872,000 |
|
||
|
750 |
|
Stewart Enterprises, Inc., Global Senior Notes (Callable 02/15/09 @ $103.13) |
|
(B+, B1) |
|
02/15/13 |
|
6.250 |
|
723,750 |
|
||
|
2,550 |
|
Tenet Healthcare Corp., Global Senior Notes§ |
|
(CCC+, Caa1) |
|
07/01/14 |
|
9.875 |
|
2,597,812 |
|
||
|
500 |
|
Tenet Healthcare Corp., Global Senior Notes# |
|
(CCC+, Caa1) |
|
02/01/15 |
|
9.250 |
|
501,250 |
|
||
|
640 |
|
Triad Hospitals, Inc., Senior Notes (Callable 05/15/08 @ $103.50) |
|
(BB-, B1) |
|
05/15/12 |
|
7.000 |
|
659,200 |
|
||
|
875 |
|
Triad Hospitals, Inc., Senior Subordinated Notes (Callable 11/15/08 @ $103.50) |
|
(B+, B2) |
|
11/15/13 |
|
7.000 |
|
899,063 |
|
||
|
1,275 |
|
Universal Hospital Services, Inc., Global Senior Notes (Callable 11/01/07 @ $105.06) |
|
(B-, B3) |
|
11/01/11 |
|
10.125 |
|
1,361,062 |
|
||
|
1,600 |
|
Vanguard Health Holding Co., Global Senior Subordinated Notes (Callable 10/01/09 @ $104.50) |
|
(CCC+, Caa1) |
|
10/01/14 |
|
9.000 |
|
1,646,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
20,960,137 |
|
||
|
Hotels (0.7%) |
|
|
|
|
|
|
|
|
|
||||
|
500 |
|
Bluegreen Corp., Series B, Company Guaranteed Notes |
|
(B-, B3) |
|
04/01/08 |
|
10.500 |
|
501,250 |
|
||
|
350 |
|
Host Hotels & Resorts LP, Rule 144A, Company Guaranteed Notes (Callable 11/01/10 @ $103.44)‡ |
|
(BB, Ba1) |
|
11/01/14 |
|
6.875 |
|
353,063 |
|
||
|
950 |
|
Host Marriott LP, Series Q, Global Company Guaranteed Notes (Callable 06/01/11 @ $103.33) |
|
(BB, Ba1) |
|
06/01/16 |
|
6.750 |
|
947,625 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,801,938 |
|
||
|
Household & Leisure Products (1.3%) |
|
|
|
|
|
|
|
|
|
||||
|
500 |
|
Ames True Temper, Inc., Global Company Guaranteed Notes (Callable 01/15/07 @ $103.00)# |
|
(CCC+, Caa1) |
|
01/15/12 |
|
9.360 |
|
512,500 |
|
||
|
1,400 |
|
Ames True Temper, Inc., Global Senior Subordinated Notes (Callable 07/15/08 @ $105.00) |
|
(CCC-, Caa3) |
|
07/15/12 |
|
10.000 |
|
1,333,500 |
|
||
|
525 |
|
Sealy Mattress Co., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.13) |
|
(B, B2) |
|
06/15/14 |
|
8.250 |
|
553,875 |
|
||
|
825 |
|
Simmons Bedding Co., Global Senior Subordinated Notes (Callable 01/15/09 @ $103.94)§ |
|
(B-, B3) |
|
01/15/14 |
|
7.875 |
|
849,750 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,249,625 |
|
||
|
Leisure (1.0%) |
|
|
|
|
|
|
|
|
|
||||
|
250 |
|
Bally Total Fitness Holding Corp., Global Senior Notes (Callable 07/15/07 @ $105.25) |
|
(CCC-, Caa1) |
|
07/15/11 |
|
10.500 |
|
246,250 |
|
||
|
950 |
|
Six Flags, Inc., Global Senior Notes (Callable 02/01/07 @ $102.96)§ |
|
(CCC, Caa1) |
|
02/01/10 |
|
8.875 |
|
950,000 |
|
||
|
175 |
|
Six Flags, Inc., Global Senior Notes (Callable 04/15/08 @ $104.88) |
|
(CCC, Caa1) |
|
04/15/13 |
|
9.750 |
|
169,969 |
|
||
|
1,050 |
|
Six Flags, Inc., Global Senior Notes (Callable 06/01/09 @ $104.81)§ |
|
(CCC, Caa1) |
|
06/01/14 |
|
9.625 |
|
1,008,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
2,374,219 |
|
||
|
Machinery (0.4%) |
|
|
|
|
|
|
|
|
|
||||
|
825 |
|
Case New Holland, Inc., Global Company Guaranteed Notes (Callable 08/01/07 @ $104.62) |
|
(BB, Ba3) |
|
08/01/11 |
|
9.250 |
|
878,625 |
|
||
|
Media - Broadcast (3.4%) |
|
|
|
|
|
|
|
|
|
||||
|
1,000 |
|
Allbritton Communications Co., Global Senior Subordinated Notes (Callable 12/15/07 @ $103.88) |
|
(B-, B1) |
|
12/15/12 |
|
7.750 |
|
1,022,500 |
|
||
|
600 |
|
CMP Susquehanna Corp., Rule 144A, Senior Subordinated Notes (Callable 05/15/10 @ 104.94)‡ |
|
(CCC, B3) |
|
05/15/14 |
|
9.875 |
|
618,000 |
|
||
|
450 |
|
Fisher Communications, Inc., Global Senior Notes (Callable 09/15/09 @ $104.31) |
|
(B-, B2) |
|
09/15/14 |
|
8.625 |
|
482,625 |
|
||
|
550 |
|
Gray Television, Inc., Global Company Guaranteed Notes (Callable 12/15/07 @ $103.08) |
|
(B-, B1) |
|
12/15/11 |
|
9.250 |
|
576,812 |
|
||
|
1,275 |
|
ION Media Networks, Inc., Rule 144A, Secured Notes (Callable 01/15/08 @ $102.00)‡# |
|
(CCC-, Caa2) |
|
01/15/13 |
|
11.610 |
|
1,332,375 |
|
||
|
1,075 |
|
Nexstar Finance, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $103.50)§ |
|
(CCC+, B3) |
|
01/15/14 |
|
7.000 |
|
1,032,000 |
|
||
|
1,000 |
|
Sirius Satellite Radio, Inc., Global Senior Unsecured Notes (Callable 09/01/09 @ $104.81) |
|
(CCC, Caa1) |
|
08/01/13 |
|
9.625 |
|
1,000,000 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
$ |
600 |
|
XM Satellite Radio, Inc., Global Company Guaranteed Notes (Callable 05/01/08 @ $102.00)# |
|
(CCC, Caa1) |
|
05/01/13 |
|
9.871 |
|
$ |
589,500 |
|
|
1,650 |
|
Young Broadcasting, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $104.38)§ |
|
(CCC-, Caa1) |
|
01/15/14 |
|
8.750 |
|
1,509,750 |
|
||
|
|
|
|
|
|
|
|
|
|
|
8,163,562 |
|
||
|
Media - Cable (8.1%) |
|
|
|
|
|
|
|
|
|
||||
|
1,575 |
|
Atlantic Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/09 @ $104.69) |
|
(CCC+, Caa1) |
|
01/15/14 |
|
9.375 |
|
1,626,187 |
|
||
|
2,125 |
|
CCH I Holdings LLC, Global Company Guaranteed Notes (Callable 09/30/07 @ $103.92)# |
|
(CCC-, Caa3) |
|
05/15/14 |
|
11.750 |
|
2,034,687 |
|
||
|
2,650 |
|
CCH I LLC, Global Secured Notes (Callable 10/01/10 @ $105.50) |
|
(CCC-, Caa2) |
|
10/01/15 |
|
11.000 |
|
2,749,375 |
|
||
|
2,525 |
|
CCO Holdings LLC, Global Senior Notes (Callable 11/15/08 @ $104.38) |
|
(CCC-, Caa1) |
|
11/15/13 |
|
8.750 |
|
2,613,375 |
|
||
|
1,200 |
|
Charter Communications Holdings LLC, Senior Discount Notes (Callable 04/01/07 @ $100.00)#§ |
|
(CCC-, Caa3) |
|
04/01/11 |
|
9.920 |
|
1,146,000 |
|
||
|
1,850 |
|
CSC Holdings, Inc., Rule 144A, Senior Notes‡# |
|
(B+, B2) |
|
04/15/12 |
|
7.250 |
|
1,840,750 |
|
||
|
1,625 |
|
CSC Holdings, Inc., Series B, Senior Notes |
|
(B+, B2) |
|
04/01/11 |
|
7.625 |
|
1,681,875 |
|
||
|
325 |
|
DirecTV Holdings/Finance, Global Senior Notes (Callable 03/15/08 @ $104.19) |
|
(BB-, Ba3) |
|
03/15/13 |
|
8.375 |
|
341,656 |
|
||
|
1,150 |
|
EchoStar DBS Corp., Global Company Guaranteed Notes |
|
(BB-, Ba3) |
|
10/01/14 |
|
6.625 |
|
1,129,875 |
|
||
|
825 |
|
GCI, Inc., Global Senior Notes (Callable 02/15/09 @ $103.63)§ |
|
(B+, B1) |
|
02/15/14 |
|
7.250 |
|
827,063 |
|
||
|
750 |
|
Insight Communications Company, Inc., Senior Discount Notes (Callable 02/15/07 @ $104.08) |
|
(CCC+, B3) |
|
02/15/11 |
|
12.250 |
|
784,688 |
|
||
|
104 |
|
Insight Midwest/Insight Capital Corp., Senior Notes (Callable 10/01/07 @ $100.00) |
|
(B, B3) |
|
10/01/09 |
|
9.750 |
|
106,080 |
|
||
|
1,825 |
|
Mediacom Broadband LLC, Global Senior Notes (Callable 10/15/10 @ $104.25) |
|
(B, B3) |
|
10/15/15 |
|
8.500 |
|
1,856,937 |
|
||
|
825 |
|
Mediacom LLC/Capital Corp., Senior Notes (Callable 02/15/07 @ $101.97) |
|
(B, B3) |
|
02/15/11 |
|
7.875 |
|
832,219 |
|
||
|
|
|
|
|
|
|
|
|
|
|
19,570,767 |
|
||
|
Media - Services (0.3%) |
|
|
|
|
|
|
|
|
|
||||
|
750 |
|
WMG Holdings Corp., Global Senior Discount Notes (Callable 12/15/09 @ $104.75)+ |
|
(B, B2) |
|
12/15/14 |
|
0.000 |
|
607,500 |
|
||
|
Metal & Mining - Excluding Steel (2.1%) |
|
|
|
|
|
|
|
|
|
||||
|
225 |
|
Aleris International, Inc., Rule 144A, Senior Notes (Callable 12/15/10 @ $104.50)‡ |
|
(B-, B3) |
|
12/15/14 |
|
9.000 |
|
234,563 |
|
||
|
1,000 |
|
Aleris International, Inc., Rule 144A, Senior Subordinated Notes (Callable 12/15/11 @ $105.00)‡ |
|
(B-, Caa1) |
|
12/15/16 |
|
10.000 |
|
1,040,000 |
|
||
|
1,600 |
|
Alpha Natural Resources LLC, Global Company Guaranteed Notes (Callable 06/01/08 @ $105.00)# |
|
(B-, B3) |
|
06/01/12 |
|
10.000 |
|
1,740,000 |
|
||
|
1,150 |
|
PNA
Group, Inc., Rule 144A, Senior Notes |
|
(B-, B3) |
|
09/01/16 |
|
10.750 |
|
1,207,500 |
|
||
|
725 |
|
Southern Copper Corp., Global Senior Notes |
|
(BBB-, Baa2) |
|
07/27/35 |
|
7.500 |
|
775,430 |
|
||
|
|
|
|
|
|
|
|
|
|
|
4,997,493 |
|
||
|
Non-Food & Drug Retailers (5.4%) |
|
|
|
|
|
|
|
|
|
||||
|
1,507 |
|
Affinity Group, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $105.44) |
|
(CCC+, B3) |
|
02/15/12 |
|
10.875 |
|
1,514,308 |
|
||
|
1,125 |
|
Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 06/15/07 @ $104.50)§ |
|
(B, B3) |
|
06/15/12 |
|
9.000 |
|
1,182,656 |
|
||
|
1,200 |
|
Brookstone Company, Inc., Global Secured Notes (Callable 10/15/09 @ $106.00) |
|
(B, Caa1) |
|
10/15/12 |
|
12.000 |
|
1,221,000 |
|
||
|
1,250 |
|
Finlay Fine Jewelry Corp., Global Senior Notes (Callable 06/01/08 @ $104.19)§ |
|
(B-, B3) |
|
06/01/12 |
|
8.375 |
|
1,193,750 |
|
||
|
850 |
|
GameStop Corp., Global Company Guaranteed Notes (Callable 10/01/09 @ $104.00)§ |
|
(B+, B1) |
|
10/01/12 |
|
8.000 |
|
903,125 |
|
||
|
275 |
|
General Nutrition Center, Global Company Guaranteed Notes (Callable 01/15/08 @ $104.31) |
|
(B-, B1) |
|
01/15/11 |
|
8.625 |
|
291,500 |
|
||
|
925 |
|
General Nutrition Center, Global Senior Subordinated Notes (Callable 12/01/07 @ $104.25) |
|
(CCC+, B3) |
|
12/01/10 |
|
8.500 |
|
964,313 |
|
||
|
505 |
|
Michaels Stores, Inc., Rule 144A, Senior Notes (Callable 11/01/10 @ $105.00)‡ |
|
(CCC, B2) |
|
11/01/14 |
|
10.000 |
|
541,613 |
|
||
|
1,120 |
|
Michaels Stores, Inc., Rule 144A, Senior Subordinated Notes (Callable 11/01/11 @ $105.69)ठ|
|
(CCC, Caa1) |
|
11/01/16 |
|
11.375 |
|
1,215,200 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
$ |
500 |
|
Nebraska Book Company, Inc., Global Senior Subordinated Notes (Callable 03/15/08 @ $104.31) |
|
(CCC, B3) |
|
03/15/12 |
|
8.625 |
|
$ |
496,250 |
|
|
1,585 |
|
Neiman Marcus Group, Inc., Global Company Guaranteed Notes (Callable 10/15/10 @ $105.19)§ |
|
(B-, B3) |
|
10/15/15 |
|
10.375 |
|
1,779,162 |
|
||
|
1,000 |
|
PCA LLC, Global Senior Notesø |
|
(NR, NR) |
|
08/01/09 |
|
11.875 |
|
185,000 |
|
||
|
600 |
|
SGS International, Inc., Rule 144A, Global Senior Subordinated Notes (Callable 12/15/09 @ $106.00)‡ |
|
(B-, B3) |
|
12/15/13 |
|
12.000 |
|
630,000 |
|
||
|
863 |
|
Susser Holdings LLC, Company Guaranteed Notes (Callable 12/15/09 @ $105.31) |
|
(B, B2) |
|
12/15/13 |
|
10.625 |
|
944,985 |
|
||
|
|
|
|
|
|
|
|
|
|
|
13,062,862 |
|
||
|
Office Equipment (0.3%) |
|
|
|
|
|
|
|
|
|
||||
|
775 |
|
Xerox Corp., Senior Notes (Callable 06/15/08 @ $103.81) |
|
(BB+, Baa3) |
|
06/15/13 |
|
7.625 |
|
809,875 |
|
||
|
Oil Refining & Marketing (0.5%) |
|
|
|
|
|
|
|
|
|
||||
|
450 |
|
Giant Industries, Inc., Company Guaranteed Notes (Callable 05/15/09 @ $104.00) |
|
(B-, B2) |
|
05/15/14 |
|
8.000 |
|
485,438 |
|
||
|
743 |
|
Giant Industries, Inc., Global Company Guaranteed Notes (Callable 05/15/07 @ $105.50) |
|
(B-, B2) |
|
05/15/12 |
|
11.000 |
|
795,010 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,280,448 |
|
||
|
Packaging (4.0%) |
|
|
|
|
|
|
|
|
|
||||
|
1,355 |
|
Berry Plastics Holding Corp., Rule 144A, Secured Notes (Callable 09/15/10 @ $104.44)‡ |
|
(CCC+, B2) |
|
09/15/14 |
|
8.875 |
|
1,405,813 |
|
||
|
1,625 |
|
Constar International, Inc., Senior Subordinated Notes (Callable 12/01/07 @ $105.50) |
|
(CCC, Caa2) |
|
12/01/12 |
|
11.000 |
|
1,551,875 |
|
||
|
1,225 |
|
Covalence
Specialty Materials Corp., Rule 144A, Senior Subordinated Notes |
|
(CCC+, B3) |
|
03/01/16 |
|
10.250 |
|
1,133,125 |
|
||
|
650 |
|
Crown Americas LLC, Global Senior Notes (Callable 11/15/10 @ $103.88) |
|
(B, B1) |
|
11/15/15 |
|
7.750 |
|
676,000 |
|
||
|
50 |
|
Graham Packaging Company, Inc., Global Company Guaranteed Notes (Callable 10/15/08 @ $104.25) |
|
(CCC+, Caa1) |
|
10/15/12 |
|
8.500 |
|
51,000 |
|
||
|
1,225 |
|
Graham Packaging Company, Inc., Global Subordinated Notes (Callable 10/15/09 @ $104.94)§ |
|
(CCC+, Caa1) |
|
10/15/14 |
|
9.875 |
|
1,267,875 |
|
||
|
154 |
|
Owens-Brockway Glass Containers, Global Company Guaranteed Notes (Callable 02/15/07 @ $102.22) |
|
(BB-, Ba2) |
|
02/15/09 |
|
8.875 |
|
158,235 |
|
||
|
850 |
|
Owens-Brockway Glass Containers, Inc., Rule 144A, Senior Notes (Callable 05/15/08 @ $104.13)ठ|
|
(B, B3) |
|
05/15/13 |
|
8.250 |
|
890,375 |
|
||
|
800 |
|
Pliant Corp., Global Secured Notes (Callable 06/01/07 @ $105.56)§ |
|
(CCC, Caa1) |
|
09/01/09 |
|
11.125 |
|
800,000 |
|
||
|
1 |
|
Pliant Corp., Global Secured Notes (Callable 06/15/07 @ $111.62)§ |
|
(B-, NR) |
|
06/15/09 |
|
11.625 |
|
646 |
|
||
|
1,825 |
|
Solo Cup Co., Global Senior Subordinated Notes (Callable 02/15/09 @ $104.25) |
|
(CCC-, Caa2) |
|
02/15/14 |
|
8.500 |
|
1,606,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
9,540,944 |
|
||
|
Printing & Publishing (4.0%) |
|
|
|
|
|
|
|
|
|
||||
|
1,225 |
|
American Media Operations, Inc., Series B, Global Company Guaranteed Notes (Callable 05/01/07 @ $100.00) |
|
(CCC-, Caa2) |
|
05/01/09 |
|
10.250 |
|
1,179,062 |
|
||
|
1,350 |
|
CBD Media Holdings/Finance, Global Senior Notes (Callable 07/15/08 @ $104.63) |
|
(CCC+, Caa1) |
|
07/15/12 |
|
9.250 |
|
1,410,750 |
|
||
|
700 |
|
Dex Media, Inc., Global Discount Notes (Callable 11/15/08 @ $104.50)+ |
|
(B, B3) |
|
11/15/13 |
|
0.000 |
|
638,750 |
|
||
|
1,150 |
|
Haights Cross Operating Co., Global Company Guaranteed Notes (Callable 08/15/08 @ $105.88) |
|
(CCC-, Caa2) |
|
08/15/11 |
|
11.750 |
|
1,194,562 |
|
||
|
3,000 |
|
R.H.
Donnelley Corp., Series A-2, Global Senior Discount Notes (Callable 01/15/09
@ |
|
(B, B3) |
|
01/15/13 |
|
6.875 |
|
2,887,500 |
|
||
|
250 |
|
R.H. Donnelley Corp., Series A-3, Global Senior Notes (Callable 01/15/11 @ $104.44) |
|
(B, B3) |
|
01/15/16 |
|
8.875 |
|
263,125 |
|
||
|
1,150 |
|
Vertis, Inc., Series B, Global Company Guaranteed Notes (Callable 06/15/07 @ $102.72) |
|
(CCC, Caa1) |
|
06/15/09 |
|
10.875 |
|
1,173,000 |
|
||
|
925 |
|
WDAC Subsidiary Corp., Rule 144A, Senior Notes (Callable 12/01/09 @ $104.19)ठ|
|
(CCC+, Caa1) |
|
12/01/14 |
|
8.375 |
|
950,438 |
|
||
|
|
|
|
|
|
|
|
|
|
|
9,697,187 |
|
||
|
Restaurants (2.0%) |
|
|
|
|
|
|
|
|
|
||||
|
1,325 |
|
Buffets, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/10 @ $106.25)‡ |
|
(CCC, Caa1) |
|
11/01/14 |
|
12.500 |
|
1,374,688 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
$ |
1,350 |
|
Denny’s Corp., Global Company Guaranteed Notes (Callable 10/01/08 @ $105.00)§ |
|
(CCC+, B3) |
|
10/01/12 |
|
10.000 |
|
$ |
1,442,812 |
|
|
1,000 |
|
Friendly Ice Cream Corp., Global Senior Notes (Callable 06/15/08 @ $104.19)§ |
|
(CCC+, Caa1) |
|
06/15/12 |
|
8.375 |
|
970,000 |
|
||
|
1,025 |
|
Sbarro, Inc., Company Guaranteed Notes (Callable 09/15/07 @ $100.00) |
|
(CCC, Caa1) |
|
09/15/09 |
|
11.000 |
|
1,048,913 |
|
||
|
|
|
|
|
|
|
|
|
|
|
4,836,413 |
|
||
|
Software/Services (1.3%) |
|
|
|
|
|
|
|
|
|
||||
|
2,800 |
|
SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/10 @ $105.13)§ |
|
(B-, Caa1) |
|
08/15/15 |
|
10.250 |
|
3,024,000 |
|
||
|
Steel Producers/Products (1.8%) |
|
|
|
|
|
|
|
|
|
||||
|
1,325 |
|
AK Steel Corp., Global Company Guaranteed Notes (Callable 06/15/07 @ $103.88)§ |
|
(B+, B2) |
|
06/15/12 |
|
7.750 |
|
1,348,187 |
|
||
|
1,225 |
|
Edgen Acquisition Corp., Global Secured Notes (Callable 02/01/08 @ $104.94) |
|
(B-, B3) |
|
02/01/11 |
|
9.875 |
|
1,258,688 |
|
||
|
350 |
|
International Steel Group, Inc., Global Senior Notes |
|
(BBB-, Ba1) |
|
04/15/14 |
|
6.500 |
|
357,000 |
|
||
|
1,275 |
|
Rathgibson, Inc., Global Company Guaranteed Notes (Callable 02/15/10 @ $105.63) |
|
(B-, B3) |
|
02/15/14 |
|
11.250 |
|
1,357,875 |
|
||
|
750 |
|
WCI Steel Escrowø |
|
(NR, NR) |
|
12/01/04 |
|
10.000 |
|
21,450 |
|
||
|
|
|
|
|
|
|
|
|
|
|
4,343,200 |
|
||
|
Support-Services (7.1%) |
|
|
|
|
|
|
|
|
|
||||
|
1,250 |
|
Allied Security Escrow Corp., Global Senior Subordinated Notes (Callable 07/15/08 @ $105.69) |
|
(CCC+, Caa1) |
|
07/15/11 |
|
11.375 |
|
1,287,500 |
|
||
|
450 |
|
Aramark Corp. Class B, Rule 144A, Senior Notes (Callable 02/01/11 @ $104.25)‡ |
|
(B-, B3) |
|
02/01/15 |
|
8.500 |
|
462,938 |
|
||
|
300 |
|
Aramark Corp. Class B, Senior Notes (Callable 02/01/09 @ $102.00)# |
|
(B-, B3) |
|
02/01/15 |
|
8.860 |
|
307,500 |
|
||
|
400 |
|
Ashtead Capital, Inc., Rule 144A, Notes (Callable 08/15/11 @ $104.50)‡ |
|
(B, B3) |
|
08/15/16 |
|
9.000 |
|
430,000 |
|
||
|
914 |
|
DI Finance/Dyncorp International, Global Senior Subordinated Notes (Callable 02/15/09 @ $104.75) |
|
(B, B3) |
|
02/15/13 |
|
9.500 |
|
964,270 |
|
||
|
150 |
|
Education Management LLC, Global Company Guaranteed Notes (Callable 06/01/10 @ $104.38) |
|
(CCC+, B2) |
|
06/01/14 |
|
8.750 |
|
158,250 |
|
||
|
1,075 |
|
Education Management LLC, Global Company Guaranteed Notes (Callable 06/01/11 @ $105.13) |
|
(CCC+, Caa1) |
|
06/01/16 |
|
10.250 |
|
1,161,000 |
|
||
|
500 |
|
Hertz Corp. Class A, Global Company Guaranteed Notes (Callable 01/01/10 @ $104.44) |
|
(B, B1) |
|
01/01/14 |
|
8.875 |
|
533,750 |
|
||
|
600 |
|
Hertz Corp. Class A, Global Company Guaranteed Notes (Callable 01/01/11 @ $105.25) |
|
(B, B2) |
|
01/01/16 |
|
10.500 |
|
678,000 |
|
||
|
1,000 |
|
HydroChem Industrial Services, Inc., Rule 144A, Senior Subordinated Notes (Callable 02/15/09 @ $104.63)‡ |
|
(CCC+, B3) |
|
02/15/13 |
|
9.250 |
|
1,025,000 |
|
||
|
750 |
|
Iron Mountain, Inc., Company Guaranteed Notes (Callable 04/01/07 @ $102.88) |
|
(B, B3) |
|
04/01/13 |
|
8.625 |
|
774,375 |
|
||
|
175 |
|
Iron Mountain, Inc., Company Guaranteed Notes (Callable 07/01/08 @ $103.31) |
|
(B, B3) |
|
01/01/16 |
|
6.625 |
|
168,875 |
|
||
|
1,500 |
|
Johnsondiversey Holdings, Inc., Global Discount Notes (Callable 05/15/07 @ $105.34)+ |
|
(CCC+, Caa1) |
|
05/15/13 |
|
0.000 |
|
1,515,000 |
|
||
|
750 |
|
Language Line, Inc., Global Senior Subordinated Notes (Callable 06/15/08 @ 105.56)§ |
|
(CCC+, B3) |
|
06/15/12 |
|
11.125 |
|
793,125 |
|
||
|
1,050 |
|
Mobile Services Group, Inc., Rule 144A, Senior Notes (Callable 08/01/10 @ $104.88)‡ |
|
(B-, B3) |
|
08/01/14 |
|
9.750 |
|
1,110,375 |
|
||
|
1,125 |
|
Rental Service Corp., Rule 144A, Bonds (Callable 12/01/10 @ $104.75)‡ |
|
(B-, Caa1) |
|
12/01/14 |
|
9.500 |
|
1,181,250 |
|
||
|
1,825 |
|
TDS Investor Corp., Rule 144A, Senior Subordinated Notes (09/01/11 @ 105.94)ठ|
|
(B-, Caa1) |
|
09/01/16 |
|
11.875 |
|
1,975,562 |
|
||
|
1,675 |
|
United Rentals North America, Inc., Global Senior Subordinated Notes (Callable 02/15/09 @ $103.50)§ |
|
(B, B3) |
|
02/15/14 |
|
7.000 |
|
1,654,062 |
|
||
|
900 |
|
Williams Scotsman, Inc., Global Company Guaranteed Notes (Callable 10/01/10 @ $104.25) |
|
(B+, B3) |
|
10/01/15 |
|
8.500 |
|
940,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
17,121,332 |
|
||
|
Telecom - Fixed Line (1.7%) |
|
|
|
|
|
|
|
|
|
||||
|
2,025 |
|
Level 3 Communications, Inc., Convertible Notes§ |
|
(CCC-, Caa3) |
|
03/15/10 |
|
6.000 |
|
1,913,625 |
|
||
|
800 |
|
Level 3 Communications, Inc., Global Senior Notes (Callable 03/01/09 @ $100.00) |
|
(CCC-, Caa2) |
|
03/01/10 |
|
11.500 |
|
866,000 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
$ |
400 |
|
Level 3 Financing, Inc., Rule 144A, Senior Notes (Callable 11/01/10 @ $104.63)‡ |
|
(CCC-, B2) |
|
11/01/14 |
|
9.250 |
|
$ |
411,000 |
|
|
775 |
|
Time Warner Telecom Holdings, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $104.62) |
|
(CCC+, B3) |
|
02/15/14 |
|
9.250 |
|
834,094 |
|
||
|
|
|
|
|
|
|
|
|
|
|
4,024,719 |
|
||
|
Telecom - Integrated/Services (3.3%) |
|
|
|
|
|
|
|
|
|
||||
|
1,525 |
|
Cincinnati Bell, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $104.19) |
|
(B-, B2) |
|
01/15/14 |
|
8.375 |
|
1,570,750 |
|
||
|
700 |
|
Hawaiian Telcom Communications, Inc., Series B, Global Company Guaranteed Notes (Callable 05/01/10 @ $106.25)§ |
|
(CCC+, B3) |
|
05/01/15 |
|
12.500 |
|
764,750 |
|
||
|
850 |
|
Hughes Network Systems LLC, Global Company Guaranteed Notes (Callable 04/15/10 @ $104.75) |
|
(B-, B1) |
|
04/15/14 |
|
9.500 |
|
903,125 |
|
||
|
125 |
|
LCI International, Inc., Senior Notes |
|
(NR, NR) |
|
06/15/07 |
|
7.250 |
|
125,937 |
|
||
|
1,250 |
|
PanAmSat Corp., Global Company Guaranteed Notes (Callable 08/15/09 @ $104.50) |
|
(B, B2) |
|
08/15/14 |
|
9.000 |
|
1,353,125 |
|
||
|
375 |
|
Qwest
Communications International, Inc., Global Company Guaranteed Notes |
|
(B+, Ba3) |
|
02/15/11 |
|
7.250 |
|
386,719 |
|
||
|
1,900 |
|
Qwest Communications International, Inc., Series B, Global Company Guaranteed Notes (Callable 02/15/09 @ $103.75) |
|
(B, Ba3) |
|
02/15/14 |
|
7.500 |
|
1,971,250 |
|
||
|
350 |
|
Windstream Corp., Global Company Guaranteed Notes |
|
(BB-, Ba3) |
|
08/01/13 |
|
8.125 |
|
378,437 |
|
||
|
375 |
|
Windstream Corp., Global Company Guaranteed Notes (Callable 08/01/11 @ $104.31)§ |
|
(BB-, Ba3) |
|
08/01/16 |
|
8.625 |
|
411,094 |
|
||
|
|
|
|
|
|
|
|
|
|
|
7,865,187 |
|
||
|
Telecom - Wireless (4.4%) |
|
|
|
|
|
|
|
|
|
||||
|
300 |
|
Centennial Cellular Communications Corp., Global Company Guaranteed Notes (Callable 06/15/08 @ $105.06) |
|
(CCC, B2) |
|
06/15/13 |
|
10.125 |
|
325,125 |
|
||
|
1,000 |
|
Centennial Communications Corp. Global Senior Notes (Callable 01/01/09 @ $107.50) |
|
(CCC, Caa1) |
|
01/01/13 |
|
10.000 |
|
1,077,500 |
|
||
|
1,275 |
|
Cricket Communications, Inc., Rule 144A, Senior Notes (Callable 11/01/10 @ $104.69)‡ |
|
(CCC, Caa2) |
|
11/01/14 |
|
9.375 |
|
1,345,125 |
|
||
|
1,925 |
|
Dobson Communications Corp., Global Senior Notes (Callable 10/01/08 @ $104.44) |
|
(CCC, Caa2) |
|
10/01/13 |
|
8.875 |
|
1,997,187 |
|
||
|
750 |
|
Horizon PCS, Inc., Global Company Guaranteed Notes (Callable 07/15/08 @ $105.69) |
|
(B-, B3) |
|
07/15/12 |
|
11.375 |
|
836,250 |
|
||
|
800 |
|
iPCS, Inc., Global Senior Notes (Callable 05/01/08 @ $105.75) |
|
(B-, B3) |
|
05/01/12 |
|
11.500 |
|
888,000 |
|
||
|
1,175 |
|
Metro PCS Wireless, Inc., Rule 144A, Senior Notes (Callable 11/01/10 @ $104.63)‡ |
|
(CCC, Caa2) |
|
11/01/14 |
|
9.250 |
|
1,227,875 |
|
||
|
225 |
|
Rural Cellular Corp., Global Senior Notes (Callable 08/01/07 @ $104.94) |
|
(CCC, B3) |
|
02/01/10 |
|
9.875 |
|
239,625 |
|
||
|
1,125 |
|
Rural Cellular Corp., Global Senior Subordinated Notes (Callable 01/15/07 @ $103.25) |
|
(CCC, Caa2) |
|
01/15/10 |
|
9.750 |
|
1,161,563 |
|
||
|
1,375 |
|
Triton PCS, Inc., Global Company Guaranteed Notes (Callable 06/01/08 @ $104.25) |
|
(CCC-, Caa2) |
|
06/01/13 |
|
8.500 |
|
1,409,375 |
|
||
|
|
|
|
|
|
|
|
|
|
|
10,507,625 |
|
||
|
Textiles & Apparel (1.0%) |
|
|
|
|
|
|
|
|
|
||||
|
1,025 |
|
Levi
Strauss & Co., Global Senior Notes |
|
(B-, B3) |
|
01/15/15 |
|
9.750 |
|
1,112,125 |
|
||
|
475 |
|
Levi Strauss & Co., Global Senior Notes (Callable 12/15/07 @ $106.13) |
|
(B-, B3) |
|
12/15/12 |
|
12.250 |
|
527,844 |
|
||
|
950 |
|
Propex Fabrics, Inc., Global Company Guaranteed Notes (Callable 12/01/08 @ $105.00) |
|
(CCC, Caa1) |
|
12/01/12 |
|
10.000 |
|
843,125 |
|
||
|
|
|
|
|
|
|
|
|
|
|
2,483,094 |
|
||
|
Theaters & Entertainment (1.2%) |
|
|
|
|
|
|
|
|
|
||||
|
1,800 |
|
AMC Entertainment, Inc., Global Senior Subordinated Notes (Callable 03/01/09 @ $104.00) |
|
(CCC+, B3) |
|
03/01/14 |
|
8.000 |
|
1,815,750 |
|
||
|
1,200 |
|
Cinemark,
Inc., Global Senior Discount Notes |
|
(CCC+, B3) |
|
03/15/14 |
|
0.000 |
|
1,065,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
2,880,750 |
|
||
|
Transportation - Excluding Air/Rail (0.2%) |
|
|
|
|
|
|
|
|
|
||||
|
651 |
|
H-Lines
Finance Holding Corp., Global Senior Discount Notes (Callable 04/01/08 @ |
|
(CCC+, Caa1) |
|
04/01/13 |
|
0.000 |
|
607,058 |
|
||
|
TOTAL U.S. CORPORATE BONDS (Cost $296,020,060) |
|
|
|
|
|
306,258,974 |
|
||||||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
FOREIGN CORPORATE BONDS (13.1%) |
|
|
|
|
|
|
|
|
|
||||
|
Building Materials (0.3%) |
|
|
|
|
|
|
|
|
|
||||
|
$ |
1,000 |
|
Maax Corp., Global Senior Subordinated Notes (Callable 06/15/08 @ $104.88) (Canada) |
|
(CC, Caa3) |
|
06/15/12 |
|
9.750 |
|
$ |
735,000 |
|
|
Chemicals (1.6%) |
|
|
|
|
|
|
|
|
|
||||
|
1,200 |
|
Basell AF SCA, Rule 144A, Company Guaranteed Notes (Callable 08/15/10 @ $104.19) (Luxembourg)‡ |
|
(B-, B2) |
|
08/15/15 |
|
8.375 |
|
1,245,000 |
|
||
|
1,575 |
|
Ineos Group Holdings PLC, Rule 144A, Notes (Callable 02/15/11 @ $104.25) (United Kingdom)‡ |
|
(B-, B2) |
|
02/15/16 |
|
8.500 |
|
1,515,937 |
|
||
|
825 |
|
Rhodia SA, Global Senior Notes (France) |
|
(B-, B2) |
|
06/01/10 |
|
10.250 |
|
944,625 |
|
||
|
150 |
|
Rhodia SA, Global Senior Subordinated Notes (Callable 06/01/07 @ 104.44) (France)§ |
|
(B-, B3) |
|
06/01/11 |
|
8.875 |
|
158,250 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,863,812 |
|
||
|
Electronics (1.5%) |
|
|
|
|
|
|
|
|
|
||||
|
450 |
|
Avago Technologies Finance, Rule 144A, Senior Notes (Callable 12/01/09 @ $105.06) (Singapore)‡ |
|
(B, B2) |
|
12/01/13 |
|
10.125 |
|
479,250 |
|
||
|
600 |
|
Avago Technologies Finance, Rule 144A, Senior Subordinated Notes (Callable 12/01/10 @ $105.94) (Singapore)‡ |
|
(CCC+, Caa1) |
|
12/01/15 |
|
11.875 |
|
660,000 |
|
||
|
950 |
|
Celestica, Inc., Senior Subordinated Notes (Callable 07/01/08 @ $103.94) (Canada) |
|
(B, B2) |
|
07/01/11 |
|
7.875 |
|
933,375 |
|
||
|
1,000 |
|
New Asat, Ltd., Global Company Guaranteed Notes (Callable 02/01/08 @ $104.63) (Cayman Islands) |
|
(CCC, B3) |
|
02/01/11 |
|
9.250 |
|
927,500 |
|
||
|
625 |
|
NXP BV/NXP Funding LLC, Rule 144A, Senior Notes (Callable 10/15/11 @ $104.75) (Netherlands)‡ |
|
(B+, B2) |
|
10/15/15 |
|
9.500 |
|
649,219 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,649,344 |
|
||
|
Food & Drug Retailers (0.4%) |
|
|
|
|
|
|
|
|
|
||||
|
925 |
|
Jean Coutu Group PJC, Inc., Global Senior Subordinated Notes (Callable 08/01/09 @ $104.25) (Canada)§ |
|
(B-, Caa2) |
|
08/01/14 |
|
8.500 |
|
966,625 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Forestry & Paper (1.9%) |
|
|
|
|
|
|
|
|
|
||||
|
600 |
|
Abitibi-Consolidated, Inc., Global Notes (Canada) |
|
(B+, B2) |
|
06/15/11 |
|
7.750 |
|
586,500 |
|
||
|
1,050 |
|
Abitibi-Consolidated, Inc., Yankee Senior Notes (Canada)§ |
|
(B+, B2) |
|
04/01/15 |
|
8.375 |
|
1,026,375 |
|
||
|
850 |
|
Bowater Canada Finance Corp., Global Company Guaranteed Notes (Canada) |
|
(B+, B2) |
|
11/15/11 |
|
7.950 |
|
856,375 |
|
||
|
750 |
|
Smurfit Kappa Funding, Global Senior Notes (Callable 10/01/07 @ $104.81) (Ireland) |
|
(B-, B3) |
|
10/01/12 |
|
9.625 |
|
800,625 |
|
||
|
1,000 |
|
Smurfit Kappa Funding, Global Senior Subordinated Notes (Callable 01/31/10 @ $103.88) (Ireland) |
|
(B-, Caa1) |
|
04/01/15 |
|
7.750 |
|
1,012,500 |
|
||
|
380 |
|
Tembec Industries, Inc., Yankee Company Guaranteed Notes (Callable 06/30/07 @ $100.00) (Canada) |
|
(CCC-, Ca) |
|
06/30/09 |
|
8.625 |
|
319,200 |
|
||
|
|
|
|
|
|
|
|
|
|
|
4,601,575 |
|
||
|
Leisure (0.5%) |
|
|
|
|
|
|
|
|
|
|
|||
|
1,175 |
|
NCL Corp., Global Senior Notes (Callable 07/15/09 @ $105.31) (Bermuda)# |
|
(B, B3) |
|
07/15/14 |
|
10.625 |
|
1,201,438 |
|
||
|
Media - Cable (1.3%) |
|
|
|
|
|
|
|
|
|
||||
|
1,050 |
|
Kabel Deutschland GmbH, Global Company Guaranteed Notes (07/01/09 @ $105.31) (Germany)§ |
|
(B-, B2) |
|
07/01/14 |
|
10.625 |
|
1,177,312 |
|
||
|
150 |
|
NTL Cable PLC, Global Senior Notes (Callable 08/15/11 @ $104.56) (United Kingdom)§ |
|
(B-, B2) |
|
08/15/16 |
|
9.125 |
|
159,375 |
|
||
|
883 |
|
Telenet Group Holding NV, Rule 144A, Discount Notes (Callable 12/15/08 @ $105.75) (Belgium)‡+ |
|
(CCC+, Caa1) |
|
06/15/14 |
|
0.000 |
|
803,530 |
|
||
|
675 |
|
Unity Media GmbH, Rule 144A, Senior Notes (Callable 02/15/10 @ $105.06) (Germany)‡ |
|
(CCC+, Caa1) |
|
02/15/15 |
|
10.125 |
|
918,793 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,059,010 |
|
||
|
Metal & Mining - Excluding Steel (0.0%) |
|
|
|
|
|
|
|
|
|
||||
|
1,021 |
|
International Utility Structures, Inc., Yankee Senior Subordinated Notes (Canada)^ø |
|
(NR, NR) |
|
02/01/08 |
|
10.750 |
|
0 |
|
||
|
Pharmaceuticals (0.5%) |
|
|
|
|
|
|
|
|
|
||||
|
500 |
|
Biovail Corp., Yankee Senior Subordinated Notes (Callable 04/01/07 @ $101.97) (Canada) |
|
(BB-, B1) |
|
04/01/10 |
|
7.875 |
|
513,125 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
$ |
775 |
|
Elan
Finance PLC, Rule 144A, Senior Unsecured Notes (Callable 12/01/10 @ $104.44) |
|
(B, B3) |
|
12/01/13 |
|
8.875 |
|
$ |
771,125 |
|
|
|
|
|
|
|
|
|
|
|
|
1,284,250 |
|
||
|
Printing & Publishing (0.4%) |
|
|
|
|
|
|
|
|
|
||||
|
800 |
|
Quebecor World, Inc., Rule 144A, Senior Notes (Callable 01/15/11 @ $104.88) (Canada)‡ |
|
(B+, B2) |
|
01/15/15 |
|
9.750 |
|
839,000 |
|
||
|
Support-Services (0.7%) |
|
|
|
|
|
|
|
|
|
||||
|
1,000 |
|
Ashtead Holdings PLC, Rule 144A, Secured Notes (Callable 08/01/10 @ $104.31) (United Kingdom)‡ |
|
(B, B3) |
|
08/01/15 |
|
8.625 |
|
1,045,000 |
|
||
|
525 |
|
Carlson
Wagonlit BV, Rule 144A Senior Notes (Callable 11/01/07 @ $104.00) |
|
(B-, B2) |
|
05/01/15 |
|
9.306 |
|
720,586 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,765,586 |
|
||
|
Telecom - Integrated/Services (2.8%) |
|
|
|
|
|
|
|
|
|
||||
|
1,300 |
|
Global Crossing UK Finance, Global Company Guaranteed Notes (Callable 12/15/09 @ $105.38) (United Kingdom) |
|
(B-, B3) |
|
12/15/14 |
|
10.750 |
|
1,413,750 |
|
||
|
550 |
|
Hellas
II, Rule 144A, Subordinated Notes (Callable 01/15/08 @ $102.00) |
|
(CCC+, Caa1) |
|
01/15/15 |
|
11.115 |
|
565,125 |
|
||
|
1,525 |
|
Intelsat, Ltd. Global Notes (Bermuda) |
|
(B, Caa1) |
|
04/15/12 |
|
7.625 |
|
1,477,344 |
|
||
|
2,200 |
|
Intelsat, Ltd., Rule 144A, Senior Notes (Callable 06/15/11 @ $105.62) (Bermuda)‡ |
|
(B, Caa1) |
|
06/15/16 |
|
11.250 |
|
2,497,000 |
|
||
|
75 |
|
Intelsat, Ltd., Rule 144A, Senior Unsecured Notes (Callable 01/15/08 @ $102.00) (Bermuda)‡# |
|
(B, Caa1) |
|
01/15/15 |
|
8.872 |
|
76,687 |
|
||
|
650 |
|
Nordic Telephone Company Holdings, Rule 144A, Senior Notes (Callable 05/01/11 @ $104.44) (Denmark)ठ|
|
(B, B2) |
|
05/01/16 |
|
8.875 |
|
702,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
6,731,906 |
|
||
|
Telecom - Wireless (0.2%) |
|
|
|
|
|
|
|
|
|
||||
|
500 |
|
Rogers Wireless Communications, Inc., Global Secured Notes (Canada) |
|
(BB+, Ba1) |
|
03/15/15 |
|
7.500 |
|
540,000 |
|
||
|
Telecommunication Equipment (0.2%) |
|
|
|
|
|
|
|
|
|
||||
|
425 |
|
Nortel
Networks, Ltd., Rule 144A, Company Guaranteed Notes |
|
(B-, B3) |
|
07/15/11 |
|
9.610 |
|
453,688 |
|
||
|
Textiles & Apparel (0.1%) |
|
|
|
|
|
|
|
|
|
||||
|
75 |
|
IT Holding Finance SA, Rule 144A, Senior Notes (Luxembourg)‡ |
|
(CCC+, Caa1) |
|
11/15/12 |
|
9.875 |
|
102,332 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Transportation - Excluding Air/Rail (0.7%) |
|
|
|
|
|
|
|
|
|
||||
|
1,725 |
|
Ship Finance International, Ltd., Global Senior Notes (Callable 12/15/08 @ $104.25) (Bermuda) |
|
(B+, B1) |
|
12/15/13 |
|
8.500 |
|
1,746,562 |
|
||
|
TOTAL FOREIGN CORPORATE BONDS (Cost $30,902,284) |
|
|
|
|
|
31,540,128 |
|
||||||
|
Number of |
|
|
|
|
|
|
COMMON STOCKS (1.3%) |
|
|
|
||
|
Automobile Parts & Equipment (0.0%) |
|
|
|
||
|
774,557 |
|
Cambridge Industries Liquidating Trust^ |
|
0 |
|
|
Chemicals (0.0%) |
|
|
|
||
|
4,893 |
|
Huntsman Corp.* |
|
102,313 |
|
|
Electric - Integrated (0.4%) |
|
|
|
||
|
28,600 |
|
Mirant Corp.* |
|
977,548 |
|
|
Food - Wholesale (0.4%) |
|
|
|
||
|
845 |
|
Crunch Equity Holding LLC Class A* |
|
844,968 |
|
|
Steel Producers/Products (0.1%) |
|
|
|
||
|
8,208 |
|
WCI Steel Acquisition, Inc.* |
|
213,408 |
|
|
Telecom - Wireless (0.4%) |
|
|
|
||
|
99,764 |
|
Dobson Communications Corp. Class A* |
|
966,713 |
|
|
TOTAL COMMON STOCKS (Cost $2,955,282) |
|
3,104,950 |
|
||
|
Number of |
|
|
|
Value |
|
|
|
|
|
|
|
|
|
|
|
WARRANTS (0.0%) |
|
|
|
|||
|
Media - Diversified (0.0%) |
|
|
|
|||
|
204,293 |
|
Viasystems, Inc., strike price $25.31, expires 01/31/10*^ |
|
$ |
2,043 |
|
|
Telecom - Fixed Line (0.0%) |
|
|
|
|||
|
6,750 |
|
GT Group Telecom, Inc., Rule 144A, strike price $0.00, expires 02/01/10*^‡ |
|
0 |
|
|
|
3,000 |
|
Versatel Telecom International NV, strike price $2.81, expires 05/15/08* |
|
1,256 |
|
|
|
|
|
|
|
1,256 |
|
|
|
TOTAL WARRANTS (Cost $3,772,613) |
|
3,299 |
|
|||
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS (12.5%) |
|
|
|
|||
|
15,000,000 |
|
American Beacon Money Market Fund §§ |
|
15,000,000 |
|
|
|
15,000,000 |
|
Reserve Funds Primary Fund Class 8 §§ |
|
15,000,000 |
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM INVESTMENTS (Cost $30,000,000) |
|
30,000,000 |
|
|||
|
Par |
|
|
|
|
|
||
|
|
|
|
|
|
|
||
|
REPURCHASE AGREEMENTS (14.4%) |
|
|
|
||||
|
$ |
5,803 |
|
Bear Stearns & Co., 3.9843%, Dated 01/31/07, due 02/01/07, proceeds at maturity $5,803,377, (fully collateralized by U.S. Treasury Strips, due 05/15/18, Market Value of collateral is $5,974,370) §§ |
|
5,802,734 |
|
|
|
6,251 |
|
Bear Stearns & Co., 5.2200%, Dated 01/31/07, due 02/01/07, proceeds at maturity $6,251,885, (fully collateralized by U.S. Treasury Strips, due 05/15/18, Market Value of collateral is $5,426,211 and by U.S. Treasury Strips, due 08/15/23, Market Value of collateral is $1,007,442) §§ |
|
6,250,978 |
|
||
|
22,751 |
|
Bear Stearns & Co., 5.3125%, Dated 01/31/07, due 02/01/07, proceeds at maturity $22,754,398, (fully collateralized by U.S. Treasury Strips, due 08/15/23, Market Value of collateral is $10,503,069 and by U.S. Treasury Strips, due 08/15/21, Market Value of collateral is $12,909,761) §§ |
|
22,751,041 |
|
||
|
|
|
|
|
|
|
||
|
TOTAL REPURCHASE AGREEMENTS (Cost $34,804,753) |
|
34,804,753 |
|
||||
|
|
|
|
|
|
|
||
|
TOTAL INVESTMENTS AT VALUE (168.5%) (Cost $398,454,989) |
|
405,712,104 |
|
||||
|
|
|
|
|
||||
|
LIABILITIES IN EXCESS OF OTHER ASSETS (-68.5%) |
|
(164,983,891 |
) |
||||
|
|
|
|
|
|
|
||
|
NET ASSETS (100.0%) |
|
$ |
240,728,213 |
|
|||
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
|
Forward Foreign |
|
Expiration |
|
Foreign Currency To Be |
|
Contract |
|
Contract |
|
Unrealized |
|
|||||
|
Currency Contract |
|
Date |
|
Purchased/(Sold) |
|
Amount |
|
Value |
|
Gain (Loss) |
|
|||||
|
European Economic Unit |
|
3/28/07 |
|
€ |
812,000 |
|
$ |
1,055,438 |
|
$ |
1,058,165 |
|
$ |
2,728 |
|
|
|
European Economic Unit |
|
3/28/07 |
|
€ |
(2,160,000 |
) |
(2,858,566 |
) |
(2,814,824 |
) |
43,741 |
|
||||
|
British Pound |
|
3/28/07 |
|
£ |
(532,000 |
) |
(1,044,226 |
) |
(1,043,086 |
) |
1,140 |
|
||||
|
|
|
|
|
|
|
$ |
(2,847,354 |
) |
$ |
(2,799,745 |
) |
$ |
47,609 |
|
||
INVESTMENT ABBREVIATIONS
NR=Not Rated
|
† |
|
Credit ratings given by the Standard & Poor’s Division of The McGraw-Hill Companies, Inc. (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”) are unaudited. |
|
‡ |
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2007, these securities amounted to a value of $67,069,127 or 27.9% of net assets. |
|
+ |
|
Step Bond — The interest rate stated is as of January 31, 2007 and will reset at a future date. |
|
ø |
|
Bond is currently in default. |
|
* |
|
Non-income producing security. |
|
^ |
|
Not readily marketable security; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Trustees. |
|
§ |
|
Security or portion thereof is out on loan. |
|
§§ |
|
Represents security purchased with cash collateral received for securities on loan. |
|
# |
|
Variable rate obligations — The interest rate shown is the rate as of January 31, 2007. |
Security Valuation — The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in
60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (“Valuation Time”). If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Investments in mutual funds are valued at the mutual fund’s closing net asset value per share on the day of valuation. Securities and other assets for which market quotations are not readily available, or whose values have been materially affected by events occurring before the Fund’s Valuation Time but after the close of the securities’ primary markets, are valued at fair value as determined in good faith by, or under the direction of, the Board of Trustees under procedures established by the Board of Trustees. At January 31, 2007, the Fund held 0.08% of its net assets in securities valued at fair value as determined in good faith under procedures established by the Board of Trustees with an aggregate cost of $3,867,838 and fair value of $193,200. The Fund’s estimate of fair value assumes a willing buyer and a willing seller neither acting under the compulsion to buy or sell. Although these securities may be resold in privately negotiated transactions, the prices realized on such sales could differ from the prices originally paid by the Fund or the current carrying values, and the difference could be material.
Federal Income Tax Cost - At January 31, 2007, 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 $398,454,989, $14,553,355, $(7,296,240) and $7,257,115, respectively.
Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders. This information is also available on the Fund’s website at www.credit-suisse.com/us as well as on the website of the Securities and Exchange Commission at www.sec.gov.
Item 2: Controls and Procedures
(a) As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)), were effective based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities and Exchange Act of 1934.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
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/Keith M. Schappert |
|
|||
|
Name: |
Keith M. Schappert |
|||
|
Title: |
Chief Executive Officer |
|||
|
Date: |
March 28, 2007 |
|||
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/Keith M. Schappert |
|
||
|
Name: |
Keith M. Schappert |
||
|
Title: |
Chief Executive Officer |
||
|
Date: |
March 28, 2007 |
||
|
|
|
||
|
/s/Michael A. Pignataro |
|
||
|
Name: |
Michael A. Pignataro |
||
|
Title: |
Chief Financial Officer |
||
|
Date: |
March 28, 2007 |
||