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: |
May 1, 2008 to July 31, 2008 |
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Credit Suisse High Yield Bond Fund
Schedule of Investments
July 31, 2008 (unaudited)
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Par |
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Ratings† |
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(000) |
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(S&P/Moody’s) |
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Maturity |
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Rate% |
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Value |
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U.S. CORPORATE BONDS (134.0%) |
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Aerospace & Defense (2.4%) |
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$ |
1,450 |
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BE Aerospace, Inc., Senior Unsecured Notes (Callable 07/01/13 @ $104.25) |
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(BB+, Ba3) |
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07/01/18 |
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8.500 |
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$ |
1,500,750 |
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25 |
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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 |
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7.625 |
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444,125 |
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625 |
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Hawker Beechcraft Acquisition Co., Global Company Guaranteed Notes (Callable 04/01/11 @ $104.44) |
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(B-, B3) |
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04/01/15 |
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8.875 |
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620,313 |
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1,275 |
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Hawker Beechcraft Acquisition Co., Series WI, Global Senior Subordinated Notes (Callable 04/01/12 @ $104.88)§ |
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(B-, Caa1) |
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04/01/17 |
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9.750 |
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1,265,437 |
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625 |
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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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612,500 |
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4,443,125 |
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Agriculture (0.7%) |
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1,325 |
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Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 9/08/08 @ $108.00)‡ |
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(B-, Caa1) |
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11/01/10 |
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11.000 |
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1,358,125 |
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Auto Loans (5.7%) |
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1,225 |
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Ford Motor Credit Co. LLC, Global Senior Unsecured Notes |
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(B, B1) |
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06/15/10 |
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7.875 |
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1,043,710 |
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2,900 |
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Ford Motor Credit Co. LLC, Global Senior Unsecured Notes |
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(B, B1) |
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10/01/13 |
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7.000 |
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2,079,584 |
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325 |
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Ford Motor Credit Co. LLC, Senior Unsecured Notes |
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(B, B1) |
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08/10/11 |
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9.875 |
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265,177 |
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1,225 |
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Ford Motor Credit Co. LLC, 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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866,907 |
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1,175 |
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GMAC LLC, Debentures (Callable 9/08/08 @ $100.00) |
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(B-, B3) |
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04/01/11 |
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6.000 |
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753,211 |
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2,625 |
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GMAC LLC, Global Senior Unsecured Notes |
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(B-, B3) |
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05/15/09 |
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5.625 |
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2,390,288 |
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375 |
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GMAC LLC, Senior Unsecured Notes |
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(B-, B3) |
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03/02/11 |
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7.250 |
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257,357 |
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75 |
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GMAC LLC, Senior Unsecured Notes |
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(B-, B3) |
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12/15/11 |
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6.000 |
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47,008 |
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2,455 |
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GMAC LLC, Senior Unsecured Notes |
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(B-, B3) |
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12/01/14 |
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6.750 |
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1,407,795 |
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1,375 |
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Navios Maritime Holdings, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ $104.75) |
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(B+, B3) |
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12/15/14 |
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9.500 |
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1,350,937 |
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10,461,974 |
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Auto Parts & Equipment (3.0%) |
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1,300 |
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Altra Industrial Motion, Inc., Global Senior Secured Notes (Callable 12/01/08 @ $104.50) |
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(B+, B1) |
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12/01/11 |
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9.000 |
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1,319,500 |
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775 |
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American Axle & Manufacturing, Inc., Company Guaranteed Notes (Callable 03/01/12 @ $103.94) |
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(B+, B1) |
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03/01/17 |
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7.875 |
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515,375 |
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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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1,074,000 |
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1,123 |
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Goodyear Tire & Rubber Co., Global Senior Unsecured Notes (Callable 07/01/10 @ $104.50) |
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(BB-, Ba3) |
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07/01/15 |
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9.000 |
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1,137,037 |
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750 |
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Lear Corp., Series B, Global Company Guaranteed Notes (Callable 12/01/10 @ $104.25) |
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(B+, B3) |
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12/01/13 |
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8.500 |
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627,188 |
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525 |
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Tenneco, 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 |
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443,625 |
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193 |
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Visteon Corp., Global Senior Unsecured Notes§ |
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(B-, Caa2) |
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08/01/10 |
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8.250 |
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166,945 |
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498 |
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Visteon Corp., Rule 144A, Senior Unsecured Notes (Callable 12/31/13 @ $105.00)‡ |
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(B-, Caa1) |
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12/31/16 |
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12.250 |
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348,600 |
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5,632,270 |
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Automotive (2.2%) |
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1,970 |
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Ford Motor Co., Global Senior Unsecured Notes |
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(CCC+, Caa1) |
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07/16/31 |
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7.450 |
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1,034,250 |
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925 |
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General Motors Corp., Global Senior Unsecured Notes |
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(B-, Caa2) |
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01/15/11 |
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7.200 |
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610,500 |
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2,750 |
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General Motors Corp., Senior Unsecured Notes |
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(B-, Caa2) |
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07/15/13 |
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7.125 |
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1,574,375 |
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1,765 |
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General Motors Corp., Senior Unsecured Notes§ |
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(B-, Caa2) |
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07/15/33 |
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8.375 |
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878,087 |
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4,097,212 |
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Beverages (0.7%) |
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400 |
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Constellation Brands, Inc., Company Guaranteed Notes |
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(BB-, Ba3) |
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12/15/14 |
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8.375 |
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411,000 |
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850 |
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Constellation Brands, Inc., Company Guaranteed Notes |
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(BB-, Ba3) |
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09/01/16 |
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7.250 |
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824,500 |
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1,235,500 |
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Par |
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Ratings† |
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(000) |
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(S&P/Moody’s) |
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Maturity |
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Rate% |
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Value |
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U.S. CORPORATE BONDS |
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Brokerage (0.4%) |
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$ |
775 |
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E*TRADE Financial Corp., Global Senior Notes (Callable 9/22/08 @ $104.00) |
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(B, Ba3) |
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06/15/11 |
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8.000 |
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$ |
685,875 |
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Building & Construction (1.3%) |
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1,425 |
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Ashton Woods USA/Finance, Global Company Guaranteed Notes (Callable 10/01/10 @ $104.75) |
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(B-, Caa2) |
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10/01/15 |
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9.500 |
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862,125 |
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625 |
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K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes |
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(CCC+, Caa1) |
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01/15/16 |
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6.250 |
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384,375 |
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900 |
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Standard Pacific Corp., Global Company Guaranteed Notes§ |
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(B-, B2) |
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08/15/15 |
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7.000 |
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721,125 |
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1,000 |
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William Lyon Homes, Inc., Company Guaranteed Notes (Callable 09/15/08 @ $105.38) |
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(CCC+, Caa2) |
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04/01/13 |
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10.750 |
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435,000 |
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2,402,625 |
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Building Materials (3.9%) |
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1,000 |
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Associated Materials, Inc., Global Senior Discount Notes (Callable 03/01/09 @ $105.62)§+ |
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(CCC, Caa2) |
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03/01/14 |
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0.000 |
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617,500 |
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1,375 |
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Building Materials Corp. of America, Global Secured Notes (Callable 08/01/09 @ $103.88) |
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(B+, B3) |
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08/01/14 |
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7.750 |
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1,079,375 |
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|
1,150 |
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Coleman Cable, Inc., Global Company Guaranteed Notes (Callable 10/01/08 @ $104.94) |
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(B+, B2) |
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10/01/12 |
|
9.875 |
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1,060,875 |
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|
750 |
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CPG International I, Inc., Global Company Guaranteed Notes (Callable 07/01/09 @ $105.25) |
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(B, B3) |
|
07/01/13 |
|
10.500 |
|
596,250 |
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|
500 |
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Dayton Superior Corp., Company Guaranteed Notes (Callable 10/14/08 @ $100.00)§ |
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(CCC+, Caa1) |
|
06/15/09 |
|
13.000 |
|
406,250 |
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|
625 |
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General Cable Corp., Global Company Guaranteed Notes (Callable 04/01/09 @ $102.00)# |
|
(B+, B1) |
|
04/01/15 |
|
5.166 |
|
553,125 |
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|
325 |
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Norcraft Cos., Global Company Guaranteed Notes (Callable 9/08/08 @ $104.50) |
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(B+, B1) |
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11/01/11 |
|
9.000 |
|
323,375 |
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|
750 |
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Norcraft Holdings, Global Senior Discount Notes (Callable 09/15/08 @ $98.88)+ |
|
(B-, B3) |
|
09/01/12 |
|
0.000 |
|
686,250 |
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|
825 |
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Nortek, Inc., Global Senior Subordinated Notes (Callable 09/01/09 @ $104.25) |
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(CCC, Caa1) |
|
09/01/14 |
|
8.500 |
|
471,281 |
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|
1,000 |
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NTK Holdings, Inc., Global Senior Discount Notes (Callable 09/01/09 @ $105.38)§+ |
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(CCC, Caa2) |
|
03/01/14 |
|
0.000 |
|
417,500 |
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|
525 |
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Ply Gem Industries, Inc., Global Company Guaranteed Notes (Callable 08/11/08 @ $104.50)§ |
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(CCC+, Caa2) |
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02/15/12 |
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9.000 |
|
275,625 |
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|
750 |
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Ply Gem Industries, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/11 @ $105.88)‡ |
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(B, B2) |
|
06/15/13 |
|
11.750 |
|
675,000 |
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7,162,406 |
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Chemicals (4.7%) |
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1,475 |
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Chemtura Corp., Company Guaranteed Notes |
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(BB, Ba2) |
|
06/01/16 |
|
6.875 |
|
1,253,750 |
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|
1,200 |
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Koppers Holdings, Inc., Global Senior Discount Notes (Callable 11/15/09 @ $104.94)+ |
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(B-, B2) |
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11/15/14 |
|
0.000 |
|
1,086,000 |
|
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|
1,125 |
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Momentive Performance Materials, Global Company Guaranteed Notes (Callable 12/01/10 @ $104.88) |
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(B, B3) |
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12/01/14 |
|
9.750 |
|
1,001,250 |
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|
1,050 |
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Momentive Performance Materials, Global Company Guaranteed Notes (Callable 12/01/11 @ $105.75)§ |
|
(CCC+, Caa2) |
|
12/01/16 |
|
11.500 |
|
813,750 |
|
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|
275 |
|
Nalco Co., Global Company Guaranteed Notes (Callable 11/15/08 @ $104.50) |
|
(B-, B3) |
|
11/15/13 |
|
9.000 |
|
414,051 |
|
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|
1,275 |
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Nalco Finance Holdings, Inc., Global Senior Discounted Notes (Callable 02/01/09 @ $104.50)§+ |
|
(B-, B3) |
|
02/01/14 |
|
0.000 |
|
1,153,875 |
|
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|
1,125 |
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PolyOne Corp., Senior Unsecured Notes |
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(B+, B1) |
|
05/01/12 |
|
8.875 |
|
1,125,000 |
|
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|
1,175 |
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Reichhold Industries, Inc., Rule 144A, Senior Notes (Callable 08/15/10 @ $104.50)‡ |
|
(B+, B2) |
|
08/15/14 |
|
9.000 |
|
1,166,188 |
|
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|
650 |
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Terra Capital, Inc., Series B, Global Company Guaranteed Notes (Callable 02/01/12 @ $103.50) |
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(BB, B1) |
|
02/01/17 |
|
7.000 |
|
645,125 |
|
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|
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|
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|
8,658,989 |
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Computer Hardware (0.3%) |
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|
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|
|
|
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|
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|
825 |
|
Activant Solutions, Inc., Global Company Guaranteed Notes (Callable 05/01/11 @ $104.75) |
|
(CCC+, Caa1) |
|
05/01/16 |
|
9.500 |
|
631,125 |
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Consumer Products (2.2%) |
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|
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|
950 |
|
AAC Group Holding Corp., Rule 144A, Senior Unsecured Notes (Callable 10/01/08 @ $105.13)‡+ |
|
(CCC+, Caa1) |
|
10/01/12 |
|
0.000 |
|
916,750 |
|
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|
|
Par |
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|
Ratings† |
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|
(000) |
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|
(S&P/Moody’s) |
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Maturity |
|
Rate% |
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Value |
|
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|
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|
|
|
|
|
|
|
|
||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
|||||
|
Consumer Products |
|
|
|
|
|
|
|
|
|
|||||
|
$ |
1,625 |
|
Amscan Holdings, Inc., Global Senior Subordinated Notes (Callable 05/01/09 @ $104.38) |
|
(CCC+, Caa1) |
|
05/01/14 |
|
8.750 |
|
$ |
1,421,875 |
|
|
|
925 |
|
Jarden Corp., Company Guaranteed Notes (Callable 05/01/12 @ $103.75) |
|
(B, B3) |
|
05/01/17 |
|
7.500 |
|
809,375 |
|
|||
|
940 |
|
Prestige Brands, Inc., Global Senior Subordinated Notes (Callable 9/08/08 @ $104.63) |
|
(B-, B3) |
|
04/15/12 |
|
9.250 |
|
949,400 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
4,097,400 |
|
|||
|
Consumer/Commercial/Lease Financing (0.6%) |
|
|
|
|
|
|
|
|
|
|||||
|
350 |
|
DI Finance/DynCorp. International, Rule 144A, Company Guaranteed Notes (Callable 02/15/09 @ $104.75)‡ |
|
(B, B2) |
|
02/15/13 |
|
9.500 |
|
349,563 |
|
|||
|
760 |
|
Residential Capital LLC, Rule 144A, Secured Notes (Callable 05/15/10 @ $104.81)‡ |
|
(CCC-, Caa3) |
|
05/15/15 |
|
9.625 |
|
300,200 |
|
|||
|
450 |
|
Ticketmaster, Rule 144A, Senior Notes (Callable 08/01/12 @ $105.38)‡ |
|
(BB, Ba3) |
|
08/01/16 |
|
10.750 |
|
468,000 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
1,117,763 |
|
|||
|
Diversified Capital Goods (3.4%) |
|
|
|
|
|
|
|
|
|
|||||
|
925 |
|
Esco Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/08 @ $102.00)‡# |
|
(B, B2) |
|
12/15/13 |
|
6.651 |
|
874,125 |
|
|||
|
100 |
|
Esco Corp., Rule 144A, Senior Notes (Callable 12/15/10 @ $104.31)‡ |
|
(B, B2) |
|
12/15/13 |
|
8.625 |
|
100,250 |
|
|||
|
1,300 |
|
RBS Global & Rexnord Corp., Global Company Guaranteed Notes (Callable 08/01/10 @ $104.75) |
|
(B-, B3) |
|
08/01/14 |
|
9.500 |
|
1,248,000 |
|
|||
|
950 |
|
Sensus Metering Systems, Global Senior Subordinated Notes (Callable 12/15/08 @ $104.31) |
|
(B-, B3) |
|
12/15/13 |
|
8.625 |
|
921,500 |
|
|||
|
1,225 |
|
Stanadyne Corp., Series 1, Global Senior Subordinated Notes (Callable 08/15/09 @ $105.00) |
|
(B-, B3) |
|
08/15/14 |
|
10.000 |
|
1,188,250 |
|
|||
|
1,025 |
|
Titan International, Inc., Global Company Guaranteed Notes |
|
(B-, Caa1) |
|
01/15/12 |
|
8.000 |
|
1,004,500 |
|
|||
|
1,138 |
|
TriMas Corp., Global Company Guaranteed Notes (Callable 9/08/08 @ $103.29) |
|
(B-, B3) |
|
06/15/12 |
|
9.875 |
|
1,009,975 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
6,346,600 |
|
|||
|
Diversified Telecommunication Services (1.3%) |
|
|
|
|
|
|
|
|
|
|||||
|
2,325 |
|
Intelsat Corp., Rule 144A, Senior Unsecured Notes (Callable 08/15/09 @ $104.63)‡ |
|
(BB-, B3) |
|
08/15/14 |
|
9.250 |
|
2,307,563 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
Electric - Generation (5.6%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,475 |
|
Calpine Generating Company LLC, Global Senior Secured Notes (Callable 04/01/09 @ $100.00)ø |
|
(D, NR) |
|
04/01/10 |
|
11.070 |
|
81,125 |
|
|||
|
1,325 |
|
Dynegy Holdings, Inc., Global Senior Unsecured Notes |
|
(B, B2) |
|
06/01/15 |
|
7.500 |
|
1,262,062 |
|
|||
|
1,825 |
|
Dynegy Holdings, Inc., Global Senior Unsecured Notes |
|
(B, B2) |
|
05/01/16 |
|
8.375 |
|
1,820,437 |
|
|||
|
1,225 |
|
Dynegy Holdings, Inc., Global Senior Unsecured Notes |
|
(B, B2) |
|
06/01/19 |
|
7.750 |
|
1,133,125 |
|
|||
|
1,175 |
|
Edison Mission Energy, Global Senior Unsecured Notes |
|
(BB-, B1) |
|
05/15/17 |
|
7.000 |
|
1,116,250 |
|
|||
|
300 |
|
Edison Mission Energy, Global Senior Unsecured Notes |
|
(BB-, B1) |
|
05/15/19 |
|
7.200 |
|
283,500 |
|
|||
|
438 |
|
Midwest Generation LLC, Series B, Global Pass Thru Certificates |
|
(BB+, Baa3) |
|
01/02/16 |
|
8.560 |
|
452,514 |
|
|||
|
350 |
|
NRG Energy, Inc., Company Guaranteed Notes (Callable 01/15/12 @ $103.69) |
|
(B, B1) |
|
01/15/17 |
|
7.375 |
|
338,625 |
|
|||
|
675 |
|
NRG Energy, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.69) |
|
(B, B1) |
|
02/01/16 |
|
7.375 |
|
656,438 |
|
|||
|
850 |
|
Reliant Energy, Inc., Senior Unsecured Notes |
|
(BB-, B1) |
|
06/15/14 |
|
7.625 |
|
824,500 |
|
|||
|
175 |
|
Reliant Energy, Inc., Senior Unsecured Notes |
|
(BB-, B1) |
|
06/15/17 |
|
7.875 |
|
169,750 |
|
|||
|
2,050 |
|
The AES Corp., Global Senior Unsecured Notes |
|
(BB-, B1) |
|
10/15/17 |
|
8.000 |
|
2,029,500 |
|
|||
|
175 |
|
The AES Corp., Senior Unsecured Notes |
|
(BB-, B1) |
|
03/01/14 |
|
7.750 |
|
174,563 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
10,342,389 |
|
|||
|
Electric - Integrated (4.9%) |
|
|
|
|
|
|
|
|
|
|||||
|
25 |
|
Mirant Americas Generation, LLC, Senior Unsecured Notes |
|
(B-, B3) |
|
05/01/11 |
|
8.300 |
|
25,625 |
|
|||
|
1,425 |
|
Mirant Americas Generation, LLC, Senior Unsecured Notes |
|
(B-, B3) |
|
10/01/21 |
|
8.500 |
|
1,275,375 |
|
|||
|
447 |
|
Mirant Mid Atlantic LLC, Series B, Global Pass Thru Certificates |
|
(BB, Ba1) |
|
06/30/17 |
|
9.125 |
|
484,163 |
|
|||
|
800 |
|
PNM Resources, Inc., Unsecured Notes |
|
(BB-, Ba2) |
|
05/15/15 |
|
9.250 |
|
818,000 |
|
|||
|
4,725 |
|
Texas Competitive Electric Holdings Co., LLC, Series A, Rule 144A, Company Guaranteed Notes (Callable 11/01/11 @ $105.13)‡ |
|
(CCC, B3) |
|
11/01/15 |
|
10.250 |
|
4,748,625 |
|
|||
|
|
Par |
|
|
Ratings† |
|
|
|
|
|
|
|
|||
|
|
(000) |
|
|
(S&P/Moody’s) |
|
Maturity |
|
Rate% |
|
Value |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
|||||
|
Electric - Integrated |
|
|
|
|
|
|
|
|
|
|||||
|
$ |
1,650 |
|
Texas Competitive Electric Holdings Co., LLC, Series B, Rule 144A, Company Guaranteed Notes (Callable 11/01/11 @ $105.13)‡ |
|
(CCC, B3) |
|
11/01/15 |
|
10.250 |
|
$ |
1,658,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
9,010,038 |
|
|||
|
Electronics (3.1%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,375 |
|
Amkor Technology, Inc., Global Senior Notes (Callable 09/08/08 @ $103.88) |
|
(B+, B1) |
|
05/15/13 |
|
7.750 |
|
1,263,281 |
|
|||
|
207 |
|
Ampex Corp., Secured Notes^ø |
|
(NR, NR) |
|
08/15/08 |
|
12.000 |
|
200,446 |
|
|||
|
225 |
|
Freescale Semiconductor, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ $104.44) |
|
(B-, B2) |
|
12/15/14 |
|
8.875 |
|
191,812 |
|
|||
|
2,325 |
|
Freescale Semiconductor, Inc., Senior Subordinated Notes§ |
|
(B-, B3) |
|
12/15/16 |
|
10.125 |
|
1,836,750 |
|
|||
|
1,000 |
|
Sanmina-SCI Corp., Global Company Guaranteed Notes (Callable 03/01/09 @ $103.38) |
|
(B-, B3) |
|
03/01/13 |
|
6.750 |
|
895,000 |
|
|||
|
250 |
|
Sanmina-SCI Corp., Senior Subordinated Notes (Callable 03/01/11 @ $104.06) |
|
(B-, B3) |
|
03/01/16 |
|
8.125 |
|
223,750 |
|
|||
|
1,200 |
|
Viasystems, Inc., Global Senior Unsecured Notes (Callable 08/11/08 @ $105.25) |
|
(B+, Caa1) |
|
01/15/11 |
|
10.500 |
|
1,191,000 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
5,802,039 |
|
|||
|
Energy - Exploration & Production (5.6%) |
|
|
|
|
|
|
|
|
|
|||||
|
975 |
|
Chaparral Energy, Inc., Global Company Guaranteed Notes (Callable 02/01/12 @ $104.44) |
|
(B-, Caa1) |
|
02/01/17 |
|
8.875 |
|
845,813 |
|
|||
|
575 |
|
Charter Communications Operating LLC, Rule 144A, Senior Secured Notes‡ |
|
(B-, B3) |
|
04/30/12 |
|
8.000 |
|
550,563 |
|
|||
|
150 |
|
Chesapeake Energy Corp., Company Guaranteed Notes |
|
(BB, Ba3) |
|
07/15/13 |
|
7.625 |
|
153,375 |
|
|||
|
525 |
|
Chesapeake Energy Corp., Senior Notes |
|
(BB, Ba3) |
|
12/15/18 |
|
7.250 |
|
517,125 |
|
|||
|
1,450 |
|
Chesapeake Energy Corp., Company Guaranteed Notes (Callable 01/15/09 @ $103.44) |
|
(BB, Ba3) |
|
01/15/16 |
|
6.875 |
|
1,401,062 |
|
|||
|
1,000 |
|
Encore Acquisition Co., Company Guaranteed Notes (Callable 12/01/10 @ $103.63) |
|
(B+, B1) |
|
12/01/17 |
|
7.250 |
|
965,000 |
|
|||
|
975 |
|
Hilcorp Energy I LP, Rule 144A, Senior Unsecured Notes (Callable 06/01/11 @ $104.50)‡ |
|
(BB-, B3) |
|
06/01/16 |
|
9.000 |
|
960,375 |
|
|||
|
800 |
|
Mariner Energy Inc., Company Guaranteed Notes (Callable 05/15/12 @ $104.00) |
|
(B+, B3) |
|
05/15/17 |
|
8.000 |
|
758,000 |
|
|||
|
1,275 |
|
Petrohawk Energy Corp., Global Company Guaranteed Notes (Callable 07/15/10 @ $104.56) |
|
(B, B3) |
|
07/15/13 |
|
9.125 |
|
1,297,312 |
|
|||
|
1,400 |
|
Plains Exploration & Production, Co., Company Guaranteed Notes (Callable 06/15/11 @ $103.88) |
|
(BB, B1) |
|
06/15/15 |
|
7.750 |
|
1,382,500 |
|
|||
|
775 |
|
Southwestern Energy Co., Rule 144A, Senior Unsecured Notes‡ |
|
(BB+, Ba2) |
|
02/01/18 |
|
7.500 |
|
798,250 |
|
|||
|
775 |
|
Swift Energy Co, Company Guaranteed Notes (Callable 06/01/12 @ $103.56) |
|
(BB-, B1) |
|
06/01/17 |
|
7.125 |
|
713,000 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
10,342,375 |
|
|||
|
Environmental (1.6%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,450 |
|
Allied Waste North America, Inc., Global Senior Secured Notes (Callable 03/15/10 @ $103.63) |
|
(BB, B1) |
|
03/15/15 |
|
7.250 |
|
1,439,125 |
|
|||
|
1,500 |
|
Waste Services, Inc., Global Senior Subordinated Notes (Callable 04/15/09 @ $104.75) |
|
(B-, Caa1) |
|
04/15/14 |
|
9.500 |
|
1,515,000 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
2,954,125 |
|
|||
|
Food & Drug Retailers (1.6%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,925 |
|
Duane Reade, Inc., Global Company Guranteed Notes (Callable 9/08/08 @ $104.88)§ |
|
(CCC-, Caa3) |
|
08/01/11 |
|
9.750 |
|
1,703,625 |
|
|||
|
250 |
|
Ingles Markets, Inc., Global Senior Subordinated Notes (Callable 09/15/08 @ $102.90) |
|
(B+, B2) |
|
12/01/11 |
|
8.875 |
|
254,375 |
|
|||
|
75 |
|
Stater Brothers Holdings, Inc., Global Company Guaranteed Notes (Callable 04/15/11 @ $103.88) |
|
(B+, B2) |
|
04/15/15 |
|
7.750 |
|
72,000 |
|
|||
|
925 |
|
Stater Brothers Holdings, Inc., Global Company Guaranteed Notes (Callable 9/08/08 @ $104.06) |
|
(B+, B2) |
|
06/15/12 |
|
8.125 |
|
925,000 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
2,955,000 |
|
|||
|
Food - Wholesale (1.2%) |
|
|
|
|
|
|
|
|
|
|||||
|
825 |
|
Dole Foods Co., Inc., Company Guaranteed Notes§ |
|
(B-, Caa 1) |
|
07/15/13 |
|
8.750 |
|
746,625 |
|
|||
|
|
Par |
|
|
Ratings† |
|
|
|
|
|
|
|
|||
|
|
(000) |
|
|
(S&P/Moody’s) |
|
Maturity |
|
Rate% |
|
Value |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
|||||
|
Food - Wholesale |
|
|
|
|
|
|
|
|
|
|||||
|
$ |
175 |
|
Dole Foods Co., Inc., Global Company Guaranteed Notes (Callable 9/08/08 @ $102.22) |
|
(B-, Caa1) |
|
03/15/11 |
|
8.875 |
|
$ |
160,344 |
|
|
|
1,575 |
|
Smithfield Foods, Inc., Senior Unsecured Notes |
|
(BB-, Ba3) |
|
07/01/17 |
|
7.750 |
|
1,354,500 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
2,261,469 |
|
|||
|
Forestry & Paper (4.6%) |
|
|
|
|
|
|
|
|
|
|||||
|
478 |
|
Boise Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/09 @ $103.56) |
|
(BB-, B2) |
|
10/15/14 |
|
7.125 |
|
332,210 |
|
|||
|
1,600 |
|
Cellu Tissue Holdings, Inc., Global Secured Notes (Callable 08/11/08 @ $103.66) |
|
(B, B2) |
|
03/15/10 |
|
9.750 |
|
1,480,000 |
|
|||
|
250 |
|
Georgia-Pacific Corp., Debentures |
|
(B+, B2) |
|
06/15/15 |
|
7.700 |
|
233,750 |
|
|||
|
750 |
|
Georgia-Pacific Corp., Global Senior Notes |
|
(B+, B2) |
|
01/15/24 |
|
8.000 |
|
693,750 |
|
|||
|
300 |
|
Georgia-Pacific Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ $103.56)‡ |
|
(BB-, Ba3) |
|
01/15/17 |
|
7.125 |
|
278,250 |
|
|||
|
800 |
|
Graphic Packaging International Corp., Global Senior Subordinated Notes (Callable 08/15/08 @ $104.75) |
|
(B-, B3) |
|
08/15/13 |
|
9.500 |
|
748,000 |
|
|||
|
625 |
|
Newark Group, Inc., Global Senior Subordinated Notes (Callable 03/15/09 @ $104.88) |
|
(CCC+, B3) |
|
03/15/14 |
|
9.750 |
|
415,625 |
|
|||
|
500 |
|
NewPage Corp., Global Company Guaranteed Notes (Callable 05/01/09 @ $106.00) |
|
(B-, B2) |
|
05/01/12 |
|
10.000 |
|
481,250 |
|
|||
|
675 |
|
NewPage Corp., Global Company Guaranteed Notes (Callable 05/01/09 @ $106.00)§ |
|
(CCC+, B3) |
|
05/01/13 |
|
12.000 |
|
649,688 |
|
|||
|
2,475 |
|
Smurfit-Stone Container, Global Senior Unsecured Notes (Callable 08/11/08 @ $102.79) |
|
(B-, B3) |
|
07/01/12 |
|
8.375 |
|
2,196,562 |
|
|||
|
1,125 |
|
Verso Paper Holdings LLC, Series B, Global Company Guaranteed Notes (Callable 08/01/11 @ $105.69) |
|
(CCC+, B3) |
|
08/01/16 |
|
11.375 |
|
950,625 |
|
|||
|
75 |
|
Verso Paper Holdings LLC, Series B, Global Senior Secured Notes (Callable 08/01/10 @ $104.56) |
|
(B+, B2) |
|
08/01/14 |
|
9.125 |
|
67,500 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
8,527,210 |
|
|||
|
Gaming (6.9%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,125 |
|
Buffalo Thunder Development Authority, Rule 144A, Secured Notes (Callable 12/15/10 @ $104.69)‡ |
|
(B, B2) |
|
12/15/14 |
|
9.375 |
|
658,125 |
|
|||
|
200 |
|
Caesars Entertainment, Inc., Global Company Guaranteed Notes§ |
|
(B-, Caa2) |
|
03/15/10 |
|
7.875 |
|
177,500 |
|
|||
|
1,975 |
|
Caesars Entertainment, Inc., Global Company Guaranteed Notes§ |
|
(B-, Caa2) |
|
05/15/11 |
|
8.125 |
|
1,491,125 |
|
|||
|
1,225 |
|
CCM Merger, Inc., Rule 144A, Notes (Callable 08/01/09 @ $104.00)‡ |
|
(B-, Caa1) |
|
08/01/13 |
|
8.000 |
|
1,001,438 |
|
|||
|
290 |
|
Choctaw Resort Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/11 @ $103.63)‡ |
|
(BB, Ba2) |
|
11/15/19 |
|
7.250 |
|
232,000 |
|
|||
|
575 |
|
FireKeepers Development Authority, Rule 144A, Senior Secured Notes (Callable 05/01/12 @ $110.50)‡ |
|
(B, B3) |
|
05/01/15 |
|
13.875 |
|
531,875 |
|
|||
|
625 |
|
Fontainebleau Las Vegas, Rule 144A, Second Mortgage Notes (Callable 06/15/11 @ $105.13)ठ|
|
(CCC+, Caa1) |
|
06/15/15 |
|
10.250 |
|
334,375 |
|
|||
|
225 |
|
Herbst Gaming, Inc., Global Company Guaranteed Notes (Callable 9/08/08 @ $104.06)ø |
|
(D, C) |
|
06/01/12 |
|
8.125 |
|
23,625 |
|
|||
|
750 |
|
Inn of the Mountain Gods Resort & Casino, Global Senior Secured Notes (Callable 9/08/08 @ $106.00)§ |
|
(B, B3) |
|
11/15/10 |
|
12.000 |
|
551,250 |
|
|||
|
1,250 |
|
Jacobs Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/15/10 @ $104.88) |
|
(B, B3) |
|
06/15/14 |
|
9.750 |
|
900,000 |
|
|||
|
500 |
|
Majestic Star Casino LLC, Global Company Guaranteed Notes (Callable 10/15/08 @ $104.88) |
|
(CCC-, Caa2) |
|
01/15/11 |
|
9.750 |
|
137,500 |
|
|||
|
950 |
|
Majestic Star Casino LLC, Senior Secured Notes (Callable 9/08/08 @ $104.75)§ |
|
(B-, Caa1) |
|
10/15/10 |
|
9.500 |
|
750,500 |
|
|||
|
1,275 |
|
Mashantucket Pequot Tribe, Rule 144A, Bonds (Callable 11/15/11 @ $104.25)‡ |
|
(BB+, Ba2) |
|
11/15/15 |
|
8.500 |
|
988,125 |
|
|||
|
1,150 |
|
MGM Mirage, Inc., Company Guaranteed Notes |
|
(BB, Ba2) |
|
04/01/16 |
|
6.875 |
|
911,375 |
|
|||
|
1,000 |
|
MGM Mirage, Inc., Company Guaranteed Notes |
|
(BB, Ba2) |
|
06/01/16 |
|
7.500 |
|
802,500 |
|
|||
|
1,700 |
|
MGM Mirage, Inc., Company Guaranteed Notes |
|
(BB, Ba2) |
|
01/15/17 |
|
7.625 |
|
1,368,500 |
|
|||
|
175 |
|
MGM Mirage, Inc., Global Company Guaranteed Notes |
|
(BB, Ba2) |
|
04/01/13 |
|
6.750 |
|
147,000 |
|
|||
|
600 |
|
Peermont Global Proprietary Ltd., Rule 144A, Senior Secured Notes (Callable 04/30/10 @ $105.81)‡ |
|
(NR, NR) |
|
04/30/14 |
|
7.750 |
|
739,558 |
|
|||
|
670 |
|
Tropicana
Entertainment LLC, Global Senior Subordinated Notes (Callable 12/15/10 @ |
|
(D, NR) |
|
12/15/14 |
|
9.625 |
|
184,250 |
|
|||
|
200 |
|
Trump Entertainment Resorts, Inc., Senior Secured Notes (Callable 06/01/10 @ $104.25)§ |
|
(CCC+, Caa1) |
|
06/01/15 |
|
8.500 |
|
99,500 |
|
|||
|
|
Par |
|
|
Ratings† |
|
|
|
|
|
|
|
|||
|
|
(000) |
|
|
(S&P/Moody’s) |
|
Maturity |
|
Rate% |
|
Value |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
|||||
|
Gaming |
|
|
|
|
|
|
|
|
|
|
|
|||
|
$ |
775 |
|
Turning Stone Resort Casino Enterprise, Rule 144A, Senior Notes (Callable 09/15/10 @ $104.56)‡ |
|
(B+, B1) |
|
09/15/14 |
|
9.125 |
|
$ |
740,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
12,770,246 |
|
|||
|
Gas Distribution (3.5%) |
|
|
|
|
|
|
|
|
|
|||||
|
775 |
|
Amerigas Partners LP, Global Senior Unsecured Notes (Callable 05/20/10 @ $103.63) |
|
(NR, Ba3) |
|
05/20/15 |
|
7.250 |
|
720,750 |
|
|||
|
950 |
|
El Paso Corp., Senior Unsecured Notes |
|
(BB-, Ba3) |
|
06/01/18 |
|
7.250 |
|
945,250 |
|
|||
|
1,625 |
|
El Paso Performance-Linked Trust, Rule 144A, Senior Unsecured Notes‡ |
|
(BB, Ba3) |
|
07/15/11 |
|
7.750 |
|
1,652,505 |
|
|||
|
825 |
|
Inergy LP/Inergy Finance Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13) |
|
(B+, B1) |
|
03/01/16 |
|
8.250 |
|
798,187 |
|
|||
|
275 |
|
Inergy LP/Inergy Finance Corp., Global Senior Unsecured Notes (Callable 12/15/09 @ $103.44) |
|
(B+, B1) |
|
12/15/14 |
|
6.875 |
|
248,875 |
|
|||
|
550 |
|
MarkWest Energy Partners LP/ Finance Corp., Rule 144A, Senior Notes (Callable 04/15/13 @ $104.38)‡ |
|
(B+, B2) |
|
04/15/18 |
|
8.750 |
|
550,000 |
|
|||
|
875 |
|
Targa Resources Partners LP, Rule 144A, Senior Notes (Callable 07/01/12 @ $104.13)‡ |
|
(B, B2) |
|
07/01/16 |
|
8.250 |
|
826,875 |
|
|||
|
700 |
|
Williams Partners LP, Global Senior Unsecured Notes |
|
(BBB-, Ba2) |
|
02/01/17 |
|
7.250 |
|
701,750 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
6,444,192 |
|
|||
|
Health Services (9.0%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,315 |
|
Bausch & Lomb, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/11 @ $104.94)‡ |
|
(B, Caa1) |
|
11/01/15 |
|
9.875 |
|
1,351,163 |
|
|||
|
1,875 |
|
HCA, Inc., Global Secured Notes (Callable 11/15/11 @ $104.63) |
|
(BB-, B2) |
|
11/15/16 |
|
9.250 |
|
1,935,937 |
|
|||
|
1,300 |
|
HCA, Inc., Global Senior Unsecured Notes |
|
(B-, Caa1) |
|
01/15/15 |
|
6.375 |
|
1,072,500 |
|
|||
|
1,675 |
|
HCA, Inc., Global Senior Unsecured Notes |
|
(B-, Caa1) |
|
02/15/16 |
|
6.500 |
|
1,402,812 |
|
|||
|
700 |
|
HCA, Inc., Senior Unsecured Notes |
|
(B-, Caa1) |
|
10/01/12 |
|
6.300 |
|
628,250 |
|
|||
|
1,050 |
|
HCA, Inc., Senior Unsecured Notes |
|
(B-, Caa1) |
|
02/15/13 |
|
6.250 |
|
913,500 |
|
|||
|
625 |
|
HCA, Inc., Senior Unsecured Notes |
|
(B-, Caa1) |
|
07/15/13 |
|
6.750 |
|
546,875 |
|
|||
|
1,275 |
|
Healthsouth Corp., Global Company Guaranteed Notes (Callable 06/15/11 @ $105.38) |
|
(CCC+, Caa1) |
|
06/15/16 |
|
10.750 |
|
1,370,625 |
|
|||
|
750 |
|
Stewart Enterprises, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $103.13) |
|
(BB-, Ba3) |
|
02/15/13 |
|
6.250 |
|
725,625 |
|
|||
|
2,750 |
|
Tenet Healthcare Corp., Global Senior Unsecured Notes |
|
(B, Caa1) |
|
07/01/14 |
|
9.875 |
|
2,777,500 |
|
|||
|
500 |
|
Tenet Healthcare Corp., Global Senior Unsecured Notes |
|
(B, Caa1) |
|
02/01/15 |
|
9.250 |
|
499,375 |
|
|||
|
500 |
|
Universal Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/09 @ $102.00)# |
|
(B+, B3) |
|
06/01/15 |
|
6.303 |
|
467,500 |
|
|||
|
325 |
|
Universal Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/11 @ $104.25) |
|
(B+, B3) |
|
06/01/15 |
|
8.500 |
|
326,625 |
|
|||
|
1,600 |
|
Vanguard Health Holding Co., Global Senior Subordinated Notes (Callable 10/01/09 @ $104.50) |
|
(CCC+, Caa1) |
|
10/01/14 |
|
9.000 |
|
1,568,000 |
|
|||
|
1,050 |
|
VWR Funding, Inc., Global Company Guaranteed Notes (Callable 07/15/11 @ $105.13) |
|
(B-, Caa1) |
|
07/15/15 |
|
10.250 |
|
968,625 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
16,554,912 |
|
|||
|
Healthcare - Services (1.6%) |
|
|
|
|
|
|
|
|
|
|||||
|
550 |
|
Biomet, Inc., Global Company Guaranteed Notes (Callable 10/15/12 @ $105.00) |
|
(B-, B3) |
|
10/15/17 |
|
10.000 |
|
594,000 |
|
|||
|
525 |
|
Biomet, Inc., Global Company Guaranteed Notes (Callable 10/15/12 @ $105.81) |
|
(B-, Caa1) |
|
10/15/17 |
|
11.625 |
|
557,156 |
|
|||
|
1,825 |
|
Community Health Systems, Inc., Global Company Guaranteed Notes (Callable 07/15/11 @ $104.44) |
|
(B, B3) |
|
07/15/15 |
|
8.875 |
|
1,847,813 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
2,998,969 |
|
|||
|
Hotels (0.6%) |
|
|
|
|
|
|
|
|
|
|
|
|||
|
350 |
|
Host Hotels & Resorts LP, Global Secured Notes (Callable 11/01/10 @ $ 103.44) |
|
(BB, Ba1) |
|
11/01/14 |
|
6.875 |
|
313,250 |
|
|||
|
975 |
|
Host Marriott LP, Series Q, Global Company Guaranteed Notes (Callable 06/01/11 @ $103.33) |
|
(BB, Ba1) |
|
06/01/16 |
|
6.750 |
|
838,500 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
1,151,750 |
|
|||
|
|
Par |
|
|
Ratings† |
|
|
|
|
|
|
|
|||
|
|
(000) |
|
|
(S&P/Moody’s) |
|
Maturity |
|
Rate% |
|
Value |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
|||||
|
Household & Leisure Products (0.9%) |
|
|
|
|
|
|
|
|
|
|||||
|
$ |
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 |
|
$ |
922,500 |
|
|
|
500 |
|
Ames True Temper, Inc., Global Company Guaranteed Notes (Callable 09/15/08 @ $101.50)# |
|
(CCC+, Caa1) |
|
01/15/12 |
|
6.791 |
|
400,000 |
|
|||
|
675 |
|
Ames True Temper, Inc., Global Company Guaranteed Notes (Callable 09/15/08 @ $105.00)§ |
|
(CCC-, Caa3) |
|
07/15/12 |
|
10.000 |
|
391,500 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
1,714,000 |
|
|||
|
Investments & Misc. Financial Services (0.8%) |
|
|
|
|
|
|
|
|
|
|||||
|
700 |
|
Nuveen Investments, Inc., Rule 144A, Senior Notes (Callable 11/15/11 @ $105.25)‡ |
|
(B-, B3) |
|
11/15/15 |
|
10.500 |
|
633,500 |
|
|||
|
1,075 |
|
WMG Acquisition Corp., Global Senior Subordinated Notes (Callable 04/15/09 @ $103.69) |
|
(B, B3) |
|
04/15/14 |
|
7.375 |
|
854,625 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
1,488,125 |
|
|||
|
Leisure (0.3%) |
|
|
|
|
|
|
|
|
|
|||||
|
122 |
|
Six Flags Operations, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/13 @ $106.12)ठ|
|
(CCC, Caa2) |
|
07/15/16 |
|
12.250 |
|
110,715 |
|
|||
|
900 |
|
Six Flags, Inc., Global Senior Unsecured Notes (Callable 06/01/09 @ $104.81) |
|
(CCC-, Caa3) |
|
06/01/14 |
|
9.625 |
|
456,750 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
567,465 |
|
|||
|
Machinery (0.9%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,175 |
|
Baldor Electric Co., Company Guaranteed Notes (Callable 02/15/12 @ $104.31) |
|
(B, B3) |
|
02/15/17 |
|
8.625 |
|
1,183,813 |
|
|||
|
450 |
|
Terex Corp., Senior Subordinated Notes (Callable 11/15/12 @ $104.00) |
|
(B+, Ba3) |
|
11/15/17 |
|
8.000 |
|
442,125 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
1,625,938 |
|
|||
|
Media - Broadcast (3.3%) |
|
|
|
|
|
|
|
|
|
|||||
|
700 |
|
Allbritton Communications Co., Global Senior Subordinated Notes (Callable 09/15/08 @ $103.88) |
|
(B+, B1) |
|
12/15/12 |
|
7.750 |
|
647,500 |
|
|||
|
1,500 |
|
Barrington Broadcasting, Global Company Guaranteed Notes (Callable 08/15/10 @ $105.25) |
|
(CCC+, Caa1) |
|
08/15/14 |
|
10.500 |
|
1,275,000 |
|
|||
|
1,175 |
|
Clear Channel Communications, Inc., Senior Unsecured Notes |
|
(CCC+, Caa1) |
|
09/15/14 |
|
5.500 |
|
641,095 |
|
|||
|
925 |
|
CMP Susquehanna Corp., Global Company Guaranteed Notes (Callable 05/15/10 @ $104.94) |
|
(CCC, Caa1) |
|
05/15/14 |
|
9.875 |
|
587,375 |
|
|||
|
550 |
|
Fisher Communications, Inc., Global Company Guaranteed Notes (Callable 09/15/09 @ $104.31) |
|
(B, B2) |
|
09/15/14 |
|
8.625 |
|
566,500 |
|
|||
|
925 |
|
Local TV Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 06/15/11 @ $104.63)‡ |
|
(CCC+, Caa1) |
|
06/15/15 |
|
9.250 |
|
707,625 |
|
|||
|
1,425 |
|
Univision Communications, Inc., Rule 144A, Senior Notes (Callable 03/15/11 @ $104.88)§‡ |
|
(CCC, B3) |
|
03/15/15 |
|
9.750 |
|
1,093,687 |
|
|||
|
1,525 |
|
Young Broadcasting, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $104.38) |
|
(CCC-, Caa2) |
|
01/15/14 |
|
8.750 |
|
659,563 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
6,178,345 |
|
|||
|
Media - Cable (7.4%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,875 |
|
Atlantic Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/09 @ $104.69) |
|
(CCC+, Caa1) |
|
01/15/14 |
|
9.375 |
|
1,671,094 |
|
|||
|
2,625 |
|
CCH I LLC, Global Secured Notes (Callable 10/01/10 @ $105.50)§ |
|
(CCC, Caa3) |
|
10/01/15 |
|
11.000 |
|
2,001,562 |
|
|||
|
1,800 |
|
CCH II LLC, Series B, Global Company Guaranteed Notes (Callable 09/15/08 @ $105.13) |
|
(CCC, Caa2) |
|
09/15/10 |
|
10.250 |
|
1,719,000 |
|
|||
|
792 |
|
Charter Communications Holdings LLC, Senior Unsecured Notes (Callable 9/08/08 @ $100.00)§ |
|
(CCC, Ca) |
|
04/01/11 |
|
9.920 |
|
546,480 |
|
|||
|
1,275 |
|
CSC Holdings, Inc., Global Senior Unsecured Notes |
|
(BB, B1) |
|
04/15/12 |
|
6.750 |
|
1,220,812 |
|
|||
|
275 |
|
CSC Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 06/15/12 @ $104.25)‡ |
|
(BB, B1) |
|
06/15/15 |
|
8.500 |
|
272,250 |
|
|||
|
1,150 |
|
CSC Holdings, Inc., Series B, Senior Unsecured Notes |
|
(BB, B1) |
|
04/01/11 |
|
7.625 |
|
1,142,812 |
|
|||
|
1,050 |
|
DirecTV Holdings LLC/DirecTV Financing Co., Global Company Guaranteed Notes (Callable 9/08/08 @ $104.19) |
|
(BB, Ba3) |
|
03/15/13 |
|
8.375 |
|
1,089,375 |
|
|||
|
425 |
|
DirecTV Holdings LLC/DirecTV Financing Co., Rule 144A, Company Guaranteed Notes (Callable 05/15/12 $103.81)‡ |
|
(BB, Ba3) |
|
05/15/16 |
|
7.625 |
|
423,938 |
|
|||
|
200 |
|
EchoStar DBS Corp., Global Company Guaranteed Notes |
|
(BB-, Ba3) |
|
10/01/13 |
|
7.000 |
|
191,000 |
|
|||
|
1,150 |
|
EchoStar DBS Corp., Global Company Guaranteed Notes |
|
(BB-, Ba3) |
|
10/01/14 |
|
6.625 |
|
1,058,000 |
|
|||
|
|
Par |
|
|
Ratings† |
|
|
|
|
|
|
|
|||
|
|
(000) |
|
|
(S&P/Moody’s) |
|
Maturity |
|
Rate% |
|
Value |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
|||||
|
Media - Cable |
|
|
|
|
|
|
|
|
|
|||||
|
$ |
925 |
|
EchoStar DBS Corp., Global Company Guaranteed Notes |
|
(BB-, Ba3) |
|
05/31/15 |
|
7.750 |
|
$ |
892,625 |
|
|
|
775 |
|
Mediacom Broadband LLC, Global Senior Unsecured Notes (Callable 10/15/10 @ $104.25) |
|
(B-, B3) |
|
10/15/15 |
|
8.500 |
|
695,563 |
|
|||
|
825 |
|
Mediacom LLC, Senior Notes (Callable 8/11/08 @ $100.00) |
|
(B-, B3) |
|
02/15/11 |
|
7.875 |
|
771,375 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
13,695,886 |
|
|||
|
Metals & Mining - Excluding Steel (2.4%) |
|
|
|
|
|
|
|
|
|
|||||
|
225 |
|
Aleris International, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ $104.50) |
|
(B-, B3) |
|
12/15/14 |
|
9.000 |
|
173,250 |
|
|||
|
1,100 |
|
Aleris International, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $105.00) |
|
(B-, Caa1) |
|
12/15/16 |
|
10.000 |
|
764,500 |
|
|||
|
800 |
|
Freeport-McMoRan Copper & Gold, Inc., Senior Unsecured Notes (Callable 04/01/11 @ $104.13) |
|
(BBB-, Ba2) |
|
04/01/15 |
|
8.250 |
|
835,064 |
|
|||
|
1,075 |
|
Freeport-McMoRan Copper & Gold, Inc., Senior Unsecured Notes (Callable 04/01/12 @ $104.19) |
|
(BBB-, Ba2) |
|
04/01/17 |
|
8.375 |
|
1,127,799 |
|
|||
|
1,700 |
|
Noranda Aluminium Acquisition Corp., Global Company Guaranteed Notes (Callable 8/08/08 @ $102.00)# |
|
(B-, B3) |
|
05/15/15 |
|
6.828 |
|
1,479,000 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
4,379,613 |
|
|||
|
Non-Food & Drug Retailers (5.2%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,675 |
|
Affinity Group, Inc., Global Senior Unsecured Notes (Callable 09/15/08 @ $105.44) |
|
(CCC, Caa2) |
|
02/15/12 |
|
10.875 |
|
1,507,580 |
|
|||
|
900 |
|
Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 03/15/12 @ $103.81) |
|
(B, B3) |
|
03/15/17 |
|
7.625 |
|
669,375 |
|
|||
|
1,350 |
|
Brookstone Company, Inc., Global Secured Notes (Callable 10/15/09 @ $106.00)§ |
|
(B, Caa1) |
|
10/15/12 |
|
12.000 |
|
1,248,750 |
|
|||
|
850 |
|
GameStop Corp., Global Company Guaranteed Notes (Callable 10/01/09 @ $104.00) |
|
(BB, Ba1) |
|
10/01/12 |
|
8.000 |
|
879,750 |
|
|||
|
505 |
|
Michaels Stores, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $105.00)§ |
|
(CCC, B2) |
|
11/01/14 |
|
10.000 |
|
407,788 |
|
|||
|
645 |
|
Michaels Stores, Inc., Global Company Guaranteed Notes (Callable 11/01/11 @ $105.69)§ |
|
(CCC, Caa1) |
|
11/01/16 |
|
11.375 |
|
457,950 |
|
|||
|
1,585 |
|
Neiman Marcus Group, Inc., Global Company Guaranteed Notes (Callable 10/15/10 @ $105.19)§ |
|
(B, B3) |
|
10/15/15 |
|
10.375 |
|
1,561,225 |
|
|||
|
1,000 |
|
PCA LLC/PCA Finance Corp., Global Company Guaranteed Notesø |
|
(D, NR) |
|
08/01/09 |
|
11.875 |
|
40,000 |
|
|||
|
600 |
|
SGS International, Inc., Rule 144A, Global Senior Subordinated Notes (Callable 12/15/09 @ $106.00)‡ |
|
(B-, B3) |
|
12/15/13 |
|
12.000 |
|
517,500 |
|
|||
|
1,463 |
|
Susser Holdings LLC, Global Company Guaranteed Notes (Callable 12/15/09 @ $105.31) |
|
(B+, B3) |
|
12/15/13 |
|
10.625 |
|
1,448,370 |
|
|||
|
100 |
|
Yankee Acquisition Corp., Series B, Global Company Guaranteed Notes (Callable 02/15/11 @ $104.25)§ |
|
(B-, B3) |
|
02/15/15 |
|
8.500 |
|
74,000 |
|
|||
|
1,225 |
|
Yankee Acquisition Corp., Series B, Global Company Guaranteed Notes (Callable 02/15/12 @ $104.88)§ |
|
(CCC+, Caa1) |
|
02/15/17 |
|
9.750 |
|
710,500 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
9,522,788 |
|
|||
|
Office Equipment (0.5%) |
|
|
|
|
|
|
|
|
|
|||||
|
825 |
|
IKON Office Solutions, Inc., Global Senior Unsecured Notes (Callable 09/15/10 @ $103.88) |
|
(BB-, Ba3) |
|
09/15/15 |
|
7.750 |
|
829,125 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
Oil Field Equipment & Services (0.7%) |
|
|
|
|
|
|
|
|
|
|||||
|
825 |
|
Bristow Group, Inc., Global Company Guaranteed Notes (Callable 09/15/12 @ $103.75) |
|
(BB, Ba2) |
|
09/15/17 |
|
7.500 |
|
816,750 |
|
|||
|
450 |
|
Key Energy Services, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/01/11 @ $104.19)‡ |
|
(BB-, B1) |
|
12/01/14 |
|
8.375 |
|
454,500 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
1,271,250 |
|
|||
|
Packaging (3.0%) |
|
|
|
|
|
|
|
|
|
|||||
|
705 |
|
Berry Petroleum Co., Senior Subordinated Notes (Callable 11/01/11 @ $104.13) |
|
(B+, B3) |
|
11/01/16 |
|
8.250 |
|
697,950 |
|
|||
|
850 |
|
Berry Plastics Holding Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $105.13)§ |
|
(CCC, Caa2) |
|
03/01/16 |
|
10.250 |
|
556,750 |
|
|||
|
955 |
|
Berry Plastics Holding Corp., Global Senior Secured Notes (Callable 09/15/10 @ $104.44) |
|
(CCC+, Caa1) |
|
09/15/14 |
|
8.875 |
|
768,775 |
|
|||
|
|
Par |
|
|
Ratings† |
|
|
|
|
|
|
|
|||
|
|
(000) |
|
|
(S&P/Moody’s) |
|
Maturity |
|
Rate% |
|
Value |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
|||||
|
Packaging |
|
|
|
|
|
|
|
|
|
|
|
|||
|
$ |
725 |
|
Constar International, Inc., Company Guaranteed Notes (Callable 9/08/08 @ $105.50) |
|
(CCC, Caa2) |
|
12/01/12 |
|
11.000 |
|
$ |
360,687 |
|
|
|
325 |
|
Crown Cork & Seal Co., Inc., Debentures (Callable 08/11/08 @ $101.91) |
|
(B, B2) |
|
04/15/23 |
|
8.000 |
|
290,875 |
|
|||
|
50 |
|
Graham Packaging Company, Inc., Global Company Guaranteed Notes (Callable 10/15/08 @ $104.25) |
|
(CCC+, Caa1) |
|
10/15/12 |
|
8.500 |
|
46,750 |
|
|||
|
1,225 |
|
Graham Packaging Company, Inc., Global Subordinated Notes (Callable 10/15/09 @ $104.94) |
|
(CCC+, Caa1) |
|
10/15/14 |
|
9.875 |
|
1,053,500 |
|
|||
|
200 |
|
Owens Brockway Glass Container, Inc., Global Company Guaranteed Notes (Callable 9/08/08 @ $104.12) |
|
(BB, Ba3) |
|
05/15/13 |
|
8.250 |
|
206,000 |
|
|||
|
769 |
|
Pliant Corp., Global Senior Secured Notes (Callable 09/15/08 @ $105.81) |
|
(B, NR) |
|
06/15/09 |
|
11.625 |
|
749,429 |
|
|||
|
1,000 |
|
Solo Cup Co., Global Company Guaranteed Notes (Callable 02/15/09 @ $104.25)§ |
|
(CCC, Caa2) |
|
02/15/14 |
|
8.500 |
|
860,000 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
5,590,716 |
|
|||
|
Printing & Publishing (3.2%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,000 |
|
Cenveo Corp., Global Senior Subordinated Notes (Callable 12/01/08 @ $103.94) |
|
(B, B3) |
|
12/01/13 |
|
7.875 |
|
842,500 |
|
|||
|
1,675 |
|
Idearc, Inc., Global Company Guaranteed Notes (Callable 11/15/11 @ $104.00) |
|
(B-, B3) |
|
11/15/16 |
|
8.000 |
|
770,500 |
|
|||
|
2,975 |
|
R.H. Donnelley Corp., Global Senior Unsecured Notes (Callable 01/15/09 @ $103.44) |
|
(B-, B3) |
|
01/15/13 |
|
6.875 |
|
1,487,500 |
|
|||
|
375 |
|
R.H. Donnelley Corp., Series A-2, Global Senior Discount Notes (Callable 01/15/09 @ $103.44) |
|
(B-, B3) |
|
01/15/13 |
|
6.875 |
|
187,500 |
|
|||
|
1,400 |
|
The Reader’s Digest Association, Inc., Global Company Guaranteed Notes (Callable 02/15/12 @ $104.50) |
|
(CCC, Caa1) |
|
02/15/17 |
|
9.000 |
|
798,000 |
|
|||
|
1,300 |
|
TL Acquisitions, Inc., Rule 144A, Senior Notes (Callable 07/15/11 @ $105.25)‡ |
|
(CCC+, Caa1) |
|
01/15/15 |
|
10.500 |
|
1,150,500 |
|
|||
|
785 |
|
Valassis Communications, Inc., Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13) |
|
(B-, B3) |
|
03/01/15 |
|
8.250 |
|
663,325 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
5,899,825 |
|
|||
|
Railroads (0.4%) |
|
|
|
|
|
|
|
|
|
|||||
|
750 |
|
Kansas City Southern Railway, Company Guaranteed Notes (Callable 06/01/12 @ $104.00) |
|
(BB-, B2) |
|
06/01/15 |
|
8.000 |
|
761,250 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
Restaurants (0.4%) |
|
|
|
|
|
|
|
|
|
|||||
|
775 |
|
Denny’s Holdings, Inc., Global Company Guaranteed Notes (Callable 10/01/08 @ $105.00) |
|
(B, B3) |
|
10/01/12 |
|
10.000 |
|
751,750 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
Software/Services (2.3%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,725 |
|
First Data Corp., Rule 144A, Company Guaranteed Notes (Callable 09/30/11 @ $104.94)‡ |
|
(B, B3) |
|
09/24/15 |
|
9.875 |
|
1,528,781 |
|
|||
|
1,625 |
|
SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/10 @ $105.13) |
|
(B-, Caa1) |
|
08/15/15 |
|
10.250 |
|
1,657,500 |
|
|||
|
1,150 |
|
Unisys Corp., Senior Unsubordinated Notes (Callable 01/15/12 @ $106.25) |
|
(B+, B2) |
|
01/15/16 |
|
12.500 |
|
1,138,500 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
4,324,781 |
|
|||
|
Steel Producers/Products (2.1%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,075 |
|
AK Steel Corp., Global Company Guaranteed Notes (Callable 9/08/08 @ $102.58) |
|
(BB-, B1) |
|
06/15/12 |
|
7.750 |
|
1,107,250 |
|
|||
|
400 |
|
PNA Intermediate Holding Corp., Global Senior Unsecured Notes (Callable 9/08/08 @ $102.00)# |
|
(NR, Caa1) |
|
02/15/13 |
|
9.676 |
|
404,000 |
|
|||
|
1,275 |
|
Rathgibson, Inc., Global Company Guaranteed Notes (Callable 02/15/10 @ $105.62) |
|
(B, B3) |
|
02/15/14 |
|
11.250 |
|
1,217,625 |
|
|||
|
1,200 |
|
Ryerson, Inc., Rule 144A, Senior Secured Notes (Callable 11/01/11 @ $106.00)‡ |
|
(B+, B2) |
|
11/01/15 |
|
12.000 |
|
1,176,000 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
3,904,875 |
|
|||
|
|
Par |
|
|
Ratings† |
|
|
|
|
|
|
|
||||
|
|
(000) |
|
|
(S&P/Moody’s) |
|
Maturity |
|
Rate% |
|
Value |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||||
|
Support-Services (5.8%) |
|
|
|
|
|
|
|
|
|
||||||
|
$ |
550 |
|
Allied Security Escrow Corp., Global Company Guaranteed Notes (Callable 9/11/08 @ $105.69) |
|
(CCC+, Caa1) |
|
07/15/11 |
|
11.375 |
|
$ |
552,750 |
|
||
|
300 |
|
ARAMARK Corp., Global Company Guaranteed Notes (Callable 02/01/09 @ $102.00)# |
|
(B, B3) |
|
02/01/15 |
|
6.373 |
|
277,500 |
|
||||
|
925 |
|
ARAMARK Corp., Global Senior Unsecured Notes (Callable 02/01/11 @ $104.25) |
|
(B, B3) |
|
02/01/15 |
|
8.500 |
|
926,156 |
|
||||
|
150 |
|
Education Management LLC, Global Company Guaranteed Notes (Callable 06/01/10 @ $104.38) |
|
(CCC+, B2) |
|
06/01/14 |
|
8.750 |
|
135,750 |
|
||||
|
1,075 |
|
Education Management LLC, Global Company Guaranteed Notes (Callable 06/01/11 @ $105.13) |
|
(CCC+, Caa1) |
|
06/01/16 |
|
10.250 |
|
937,937 |
|
||||
|
650 |
|
Hertz Corp., Global Company Guaranteed Notes (Callable 01/01/10 @ $104.44) |
|
(BB-, B1) |
|
01/01/14 |
|
8.875 |
|
599,625 |
|
||||
|
600 |
|
Hertz Corp., Global Company Guaranteed Notes (Callable 01/01/11 @ $105.25) |
|
(B, B2) |
|
01/01/16 |
|
10.500 |
|
525,000 |
|
||||
|
350 |
|
Iron Mountain, Inc., Company Guaranteed Notes (Callable 06/15/13 @ $104.00) |
|
(B+, B2) |
|
06/15/20 |
|
8.000 |
|
342,125 |
|
||||
|
200 |
|
Iron Mountain, Inc., Company Guaranteed Notes (Callable 8/19/08 @ $103.31) |
|
(B+, B2) |
|
01/01/16 |
|
6.625 |
|
188,000 |
|
||||
|
750 |
|
Iron Mountain, Inc., Company Guaranteed Notes (Callable 09/15/08 @ $101.44) |
|
(B+, B2) |
|
04/01/13 |
|
8.625 |
|
756,563 |
|
||||
|
1,500 |
|
JohnsonDiversey Holdings, Inc., Series B, Global Discount Notes (Callable 08/11/08 @ $103.56) |
|
(CCC+, Caa1) |
|
05/15/13 |
|
10.670 |
|
1,507,500 |
|
||||
|
1,050 |
|
Mobile Services Group, Inc., Global Company Guaranteed Notes (Callable 08/01/10 @ $104.88) |
|
(B+, B2) |
|
08/01/14 |
|
9.750 |
|
1,013,250 |
|
||||
|
205 |
|
Neff Corp., Global Company Guaranteed Notes (Callable 06/01/11 @ $105.00)§ |
|
(CCC+, Caa2) |
|
06/01/15 |
|
10.000 |
|
76,875 |
|
||||
|
1,100 |
|
Rental Service Corp., Global Company Guaranteed Notes (Callable 12/01/10 @ $104.75) |
|
(B-, Caa1) |
|
12/01/14 |
|
9.500 |
|
907,500 |
|
||||
|
1,675 |
|
Travelport LLC, Global Company Guaranteed Notes (Callable 09/01/11 @ $105.94)§ |
|
(CCC+, Caa1) |
|
09/01/16 |
|
11.875 |
|
1,319,062 |
|
||||
|
125 |
|
United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 08/11/08 @ $103.25) |
|
(BB-, B1) |
|
02/15/12 |
|
6.500 |
|
113,438 |
|
||||
|
725 |
|
United Rentals North America, Inc., Global Senior Subordinated Notes (Callable 02/15/09 @ $103.50) |
|
(B, B2) |
|
02/15/14 |
|
7.000 |
|
563,688 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
10,742,719 |
|
||||
|
Telecom - Fixed Line (1.6%) |
|
|
|
|
|
|
|
|
|
||||||
|
1,800 |
|
Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $102.00)# |
|
(CCC+, Caa1) |
|
02/15/15 |
|
6.704 |
|
1,512,000 |
|
||||
|
725 |
|
Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 03/15/10 @ $106.13) |
|
(CCC+, Caa1) |
|
03/15/13 |
|
12.250 |
|
732,250 |
|
||||
|
775 |
|
Time Warner Telecom Holdings, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $104.62) |
|
(CCC+, B3) |
|
02/15/14 |
|
9.250 |
|
790,500 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
3,034,750 |
|
||||
|
Telecom - Integrated/Services (5.0%) |
|
|
|
|
|
|
|
|
|
||||||
|
1,550 |
|
Cincinnati Bell, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $104.19) |
|
(B-, B2) |
|
01/15/14 |
|
8.375 |
|
1,484,125 |
|
||||
|
925 |
|
Citizens Communications Co., Senior Unsecured Notes |
|
(BB, Ba2) |
|
01/15/13 |
|
6.250 |
|
883,375 |
|
||||
|
700 |
|
Hawaiian Telcom Communications, Inc., Series B, Global Company Guaranteed Notes (Callable 05/01/10 @ $106.25)§ |
|
(CCC, Caa3) |
|
05/01/15 |
|
12.500 |
|
150,500 |
|
||||
|
1,100 |
|
Hughes Network Systems LLC, Global Company Guaranteed Notes (Callable 04/15/10 @ $104.75) |
|
(B, B1) |
|
04/15/14 |
|
9.500 |
|
1,117,875 |
|
||||
|
525 |
|
Intelsat Subsidiary Holding Co., Ltd., Rule 144A, Senior Unsecured Notes (Callable 01/15/10 @ $104.44)‡ |
|
(BB-, B3) |
|
01/15/15 |
|
8.875 |
|
519,750 |
|
||||
|
1,525 |
|
Paetec Holding Corp., Series WI, Global Company Guaranteed Notes (Callable 07/15/11 @ $104.75) |
|
(CCC+, Caa1) |
|
07/15/15 |
|
9.500 |
|
1,397,281 |
|
||||
|
2,250 |
|
Qwest Communications International, Inc., Series B, Global Company Guaranteed Notes (Callable 02/15/09 @ $103.75) |
|
(B+, Ba3) |
|
02/15/14 |
|
7.500 |
|
2,086,875 |
|
||||
|
350 |
|
Windstream Corp., Global Company Guaranteed Notes |
|
(BB, Ba3) |
|
08/01/13 |
|
8.125 |
|
355,250 |
|
||||
|
125 |
|
Windstream Corp., Global Company Guaranteed Notes (Callable 03/15/12 @ $103.50) |
|
(BB, Ba3) |
|
03/15/19 |
|
7.000 |
|
115,000 |
|
||||
|
|
Par |
|
|
Ratings† |
|
|
|
|
|
|
|
|||||
|
|
(000) |
|
|
(S&P/Moody’s) |
|
Maturity |
|
Rate% |
|
Value |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
|||||||
|
Telecom - Integrated/Services |
|
|
|
|
|
|
|
|
|
|||||||
|
$ |
1,100 |
|
Windstream Corp., Global Company Guaranteed Notes (Callable 08/01/11 @ $104.31) |
|
(BB, Ba3) |
|
08/01/16 |
|
8.625 |
|
$ |
1,119,250 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
9,229,281 |
|
|||||
|
Telecom - Wireless (3.7%) |
|
|
|
|
|
|
|
|
|
|||||||
|
675 |
|
Centennial Cellular Communications Corp., Global Company Guaranteed Notes (Callable 9/08/08 @ $105.06) |
|
(B, B2) |
|
06/15/13 |
|
10.125 |
|
705,375 |
|
|||||
|
1,025 |
|
Cricket Communications, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $104.69) |
|
(B-, B3) |
|
11/01/14 |
|
9.375 |
|
1,009,625 |
|
|||||
|
875 |
|
MetroPCS Wireless, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $104.63) |
|
(B, Caa1) |
|
11/01/14 |
|
9.250 |
|
853,125 |
|
|||||
|
1,800 |
|
Nextel Communications, Inc., Series F, Company Guaranteed Notes (Callable 03/15/09 @ $102.98) |
|
(BB, Baa3) |
|
03/15/14 |
|
5.950 |
|
1,369,525 |
|
|||||
|
3,425 |
|
Sprint Nextel Corp., Senior Unsecured Notes |
|
(BB, Baa3) |
|
12/01/16 |
|
6.000 |
|
2,890,059 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
6,827,709 |
|
|||||
|
Textiles & Apparel (0.7%) |
|
|
|
|
|
|
|
|
|
|||||||
|
1,300 |
|
Levi Strauss & Co., Global Senior Notes (Callable 01/15/10 @ $104.88) |
|
(B+, B2) |
|
01/15/15 |
|
9.750 |
|
1,231,750 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Theaters & Entertainment (0.8%) |
|
|
|
|
|
|
|
|
|
|||||||
|
1,675 |
|
AMC Entertainment, Inc., Global Senior Subordinated Notes (Callable 03/01/09 @ $104.00) |
|
(CCC+, B2) |
|
03/01/14 |
|
8.000 |
|
1,501,219 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
TOTAL U.S. CORPORATE BONDS (Cost $278,757,962) |
|
|
|
|
|
|
|
247,826,426 |
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
FOREIGN CORPORATE BONDS (11.5%) |
|
|
|
|
|
|
|
|
|
|||||||
|
Building Materials (0.0%) |
|
|
|
|
|
|
|
|
|
|||||||
|
1,000 |
|
Maax Corp., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.88) (Canada)ø |
|
(D, NR) |
|
06/15/12 |
|
9.750 |
|
30,000 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Chemicals (1.0%) |
|
|
|
|
|
|
|
|
|
|||||||
|
1,725 |
|
Basell AF SCA, Rule 144A, Company Guaranteed Notes (Callable 08/15/10 @ $104.19) (Luxembourg)‡ |
|
(B-, B3) |
|
08/15/15 |
|
8.375 |
|
1,069,500 |
|
|||||
|
1,125 |
|
Ineos Group Holdings PLC, Rule 144A, Company Guaranteed Notes (Callable 02/15/11 @ $104.25) (United Kingdom)‡ |
|
(B-, B3) |
|
02/15/16 |
|
8.500 |
|
759,375 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
1,828,875 |
|
|||||
|
Electronics (2.1%) |
|
|
|
|
|
|
|
|
|
|||||||
|
1,150 |
|
Avago Technologies Finance, Global Company Guaranteed Notes (Callable 12/01/10 @ $105.94) (Singapore) |
|
(B, B3) |
|
12/01/15 |
|
11.875 |
|
1,230,500 |
|
|||||
|
625 |
|
Celestica, Inc., Senior Subordinated Notes (Callable 07/01/09 @ $103.81) (Canada) |
|
(B, B3) |
|
07/01/13 |
|
7.625 |
|
600,000 |
|
|||||
|
225 |
|
Celestica, Inc., Senior Subordinated Notes (Callable 09/08/08 @ $103.94) (Canada) |
|
(B, B3) |
|
07/01/11 |
|
7.875 |
|
227,250 |
|
|||||
|
1,000 |
|
New Asat, Ltd., Global Company Guaranteed Notes (Callable 02/01/09 @ $102.31) (Cayman Islands) |
|
(CCC-, Caa1) |
|
02/01/11 |
|
9.250 |
|
640,000 |
|
|||||
|
400 |
|
NXP BV/NXP Funding LLC, Global Company Guaranteed Notes (Callable 10/15/11 @ $104.75) (Netherlands)§ |
|
(B, Caa1) |
|
10/15/15 |
|
9.500 |
|
278,000 |
|
|||||
|
50 |
|
NXP BV/NXP Funding LLC, Global Senior Secured Notes (Callable 10/15/10 @ $103.94) (Netherlands) |
|
(B, B3) |
|
10/15/14 |
|
7.875 |
|
41,875 |
|
|||||
|
900 |
|
NXP BV/NXP Funding LLC, Global Company Guaranteed Notes (Callable 10/15/11 @ $104.31) (Netherlands) |
|
(CCC+, Caa2) |
|
10/15/15 |
|
8.625 |
|
926,788 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
3,944,413 |
|
|||||
|
Energy - Exploration & Production (0.5%) |
|
|
|
|
|
|
|
|
|
|||||||
|
875 |
|
OPTI Canada, Inc., Global Senior Secured Notes (Callable 12/15/10 @ $104.13) (Canada) |
|
(BB+, B1) |
|
12/15/14 |
|
8.250 |
|
885,938 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Forestry & Paper (1.1%) |
|
|
|
|
|
|
|
|||||||||
|
2,325 |
|
Abitibi-Consolidated, Inc., Global Company Guaranteed Notes (Canada)§ |
|
(CCC+, Caa2) |
|
06/15/11 |
|
7.750 |
|
1,092,750 |
|
|||||
|
1,000 |
|
Smurfit Kappa Funding PLC, Global Senior Subordinated Notes (Callable 01/31/10 @ $103.88) (Ireland) |
|
(B+, B2) |
|
04/01/15 |
|
7.750 |
|
905,000 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
1,997,750 |
|
|||||
|
|
Par |
|
|
Ratings† |
|
|
|
|
|
|
|
||||
|
|
(000) |
|
|
(S&P/Moody’s) |
|
Maturity |
|
Rate% |
|
Value |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
FOREIGN CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||||
|
Gaming (0.4%) |
|
|
|
|
|
|
|
|
|
||||||
|
$ |
600 |
|
Codere Finance Luxembourg, Rule 144A, Senior Secured Notes (Callable 06/15/10 @ $104.13) (Luxembourg)‡ |
|
(BB-, B2) |
|
06/15/15 |
|
8.250 |
|
$ |
791,047 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Media - Cable (1.1%) |
|
|
|
|
|
|
|
|
|
||||||
|
150 |
|
NTL Cable PLC, Global Senior Notes (Callable 08/15/11 @ $104.56) (United Kingdom) |
|
(B-, B2) |
|
08/15/16 |
|
9.125 |
|
139,500 |
|
||||
|
675 |
|
Unitymedia GmbH, Rule 144A, Senior Secured Notes (Callable 02/15/10 @ $105.06) (Germany)‡ |
|
(B-, Caa2) |
|
02/15/15 |
|
10.125 |
|
1,022,890 |
|
||||
|
500 |
|
Virgin Media Finance PLC, Global Company Guaranteed Notes (Callable 04/15/09 @ $104.88) (United Kingdom) |
|
(B-, B2) |
|
04/15/14 |
|
9.750 |
|
891,405 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
2,053,795 |
|
||||
|
Media - Diversified (0.6%) |
|
|
|
|
|
|
|
|
|
||||||
|
1,175 |
|
Quebecor Media, Inc., Global Senior Unsecured Notes (Callable 03/15/11 @ $103.88) (Canada) |
|
(B, B2) |
|
03/15/16 |
|
7.750 |
|
1,089,813 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Oil Refining & Marketing (0.5%) |
|
|
|
|
|
|
|
|
|
||||||
|
875 |
|
Petroplus Finance, Ltd., Rule 144A, Company Guaranteed Notes (Callable 05/01/11 @ $103.38) (Bermuda)‡ |
|
(BB-, B1) |
|
05/01/14 |
|
6.750 |
|
770,000 |
|
||||
|
100 |
|
Petroplus Finance, Ltd., Rule 144A, Company Guaranteed Notes (Callable 05/01/12 @ $103.50) (Bermuda)‡ |
|
(BB-, B1) |
|
05/01/17 |
|
7.000 |
|
87,000 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
857,000 |
|
||||
|
Packaging (0.2%) |
|
|
|
|
|
|
|
|
|
||||||
|
275 |
|
Impress Holdings BV, Rule 144A, Company Guaranteed Notes (Callable 09/15/09 @ $109.25) (Netherlands)‡ |
|
(B-, B3) |
|
09/15/14 |
|
9.250 |
|
371,144 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Pharmaceuticals (0.5%) |
|
|
|
|
|
|
|
|
|
||||||
|
150 |
|
Elan Finance PLC, Global Company Guaranteed Notes (Callable 11/15/08 @ $103.88) (Ireland) |
|
(B, B3) |
|
11/15/11 |
|
7.750 |
|
144,375 |
|
||||
|
775 |
|
Elan Finance PLC, Global Company Guaranteed Notes (Callable 12/01/10 @ $104.44) (Ireland) |
|
(B, B3) |
|
12/01/13 |
|
8.875 |
|
759,500 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
903,875 |
|
||||
|
Support-Services (0.8%) |
|
|
|
|
|
|
|
|
|
||||||
|
1,000 |
|
Ashtead Holdings PLC, Rule 144A, Secured Notes (Callable 08/01/10 @ $104.31) (United Kingdom)ठ|
|
(B, B1) |
|
08/01/15 |
|
8.625 |
|
880,000 |
|
||||
|
525 |
|
Carlson Wagonlit BV, Rule 144A, Company Guaranteed Notes (Callable 09/12/08 @ $104.00) (Netherlands)‡# |
|
(B-, B2) |
|
05/01/15 |
|
10.607 |
|
614,348 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
1,494,348 |
|
||||
|
Telecom - Integrated/Services (1.4%) |
|
|
|
|
|
|
|
|
|
||||||
|
1,550 |
|
Global Crossing UK Finance, Global Company Guaranteed Notes (Callable 12/15/09 @ $105.38) (United Kingdom) |
|
(B-, B3) |
|
12/15/14 |
|
10.750 |
|
1,519,000 |
|
||||
|
550 |
|
Hellas II, Rule 144A, Company Guaranteed Notes (Callable 09/15/08 @ $102.00) (Luxembourg)‡# |
|
(CCC+, Caa1) |
|
01/15/15 |
|
8.541 |
|
404,250 |
|
||||
|
650 |
|
Nordic Telephone Co. Holdings, Rule 144A, Senior Secured Notes (Callable 05/01/11 @ $104.44) (Denmark)‡ |
|
(B+, B2) |
|
05/01/16 |
|
8.875 |
|
630,500 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
2,553,750 |
|
||||
|
Telecommunications Equipment (0.5%) |
|
|
|
|
|
|
|
|
|
||||||
|
875 |
|
Nortel Networks Ltd., Rule 144A, Company Guaranteed Notes (Callable 07/15/11 @ $105.38) (Canada)‡ |
|
(B-, B3) |
|
07/15/16 |
|
10.750 |
|
861,875 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Textiles & Apparel (0.0%) |
|
|
|
|
|
|
|
|
|
||||||
|
75 |
|
IT Holding Finance SA, Rule 144A, Company Guaranteed Notes (Luxembourg)‡ |
|
(CCC, B3) |
|
11/15/12 |
|
9.875 |
|
74,307 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Transportation - Excluding Air/Rail (0.8%) |
|
|
|
|
|
|
|
|
|
||||||
|
1,450 |
|
Ship Finance International, Ltd., Global Company Guaranteed Notes (Callable 12/15/08 @ $104.25) (Bermuda) |
|
(B+, B1) |
|
12/15/13 |
|
8.500 |
|
1,475,375 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
TOTAL FOREIGN CORPORATE BONDS (Cost $25,013,807) |
|
|
|
|
|
|
|
21,213,305 |
|
||||||
|
Number of |
|
|
|
|
|
|||||||||||
|
Shares |
|
|
|
Value |
|
|||||||||||
|
|
|
|
|
|||||||||||||
|
COMMON STOCKS (0.0%) |
|
|
|
|||||||||||||
|
Automobile Parts & Equipment (0.0%) |
|
|
|
|||||||||||||
|
774,557 |
|
Cambridge Industries Liquidating Trust^* |
|
$ |
0 |
|
||||||||||
|
|
|
|
|
|||||||||||||
|
Chemicals (0.0%) |
|
|
|
|||||||||||||
|
4,893 |
|
Huntsman Corp. |
|
66,055 |
|
|||||||||||
|
|
|
|
|
|||||||||||||
|
TOTAL COMMON STOCKS (Cost $34,459) |
|
66,055 |
|
|||||||||||||
|
|
|
|
|
|||||||||||||
|
WARRANTS (0.0%) |
|
|
|
|||||||||||||
|
Electronics (0.0%) |
|
|
|
|||||||||||||
|
204,293 |
|
Viasystems, Inc., strike price $25.31, expires 01/31/10^ (Cost $3,772,613) |
|
2,043 |
|
|||||||||||
|
|
|
|
|
|||||||||||||
|
SHORT-TERM INVESTMENTS (17.0%) |
|
|
|
|||||||||||||
|
29,053,313 |
|
State Street Navigator Prime Portfolio§§ |
|
29,053,313 |
|
|||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
Par |
|
|
|
|
|
|
|
|
|
||||||
|
|
(000) |
|
|
|
Maturity |
|
Rate% |
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
$ |
2,353 |
|
State Street Bank and Trust Co. Euro Time Deposit |
|
08/01/08 |
|
0.850 |
|
2,353,000 |
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost $31,406,313) |
|
|
|
|
|
31,406,313 |
|
|||||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
TOTAL INVESTMENTS AT VALUE (162.5%) (Cost $338,985,154) |
|
|
|
|
|
300,514,142 |
|
|||||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
LIABILITIES IN EXCESS OF OTHER ASSETS (-62.5 %) |
|
|
|
|
|
(115,609,622 |
) |
|||||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
NET ASSETS (100.0%) |
|
|
|
|
|
$ |
184,904,520 |
|
||||||||
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
|
Forward Foreign |
|
Expiration |
|
Foreign Currency To |
|
Contract |
|
Contract |
|
Unrealized |
|
||||
|
Currency Contract |
|
Date |
|
Be Purchased/(Sold) |
|
Amount |
|
Value |
|
Gain (Loss) |
|
||||
|
European Economic Unit |
|
10/10/08 |
|
€ |
(3,216,000 |
) |
$ |
(5,037,157 |
) |
$ |
(4,998,634 |
) |
$ |
38,523 |
|
|
British Pound |
|
10/10/08 |
|
£ |
(450,500 |
) |
(886,381 |
) |
(887,605 |
) |
(1,224 |
) |
|||
|
|
|
|
|
|
|
$ |
(5,923,538 |
) |
$ |
(5,886,239 |
) |
$ |
37,299 |
|
|
INVESTMENT ABBREVIATION
NR= Not Rated
|
† |
|
Credit ratings given by the Standard & Poor’s Division of The McGraw-Hill Companies, Inc. (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”) are unaudited. |
|
‡ |
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2008, these securities amounted to a value of $44,389,823 or 24.0% of net assets. |
|
# |
|
Variable rate obligations — The interest rate is the rate as of July 31, 2008. |
|
+ |
|
Step Bond — The interest rate is as of July 31, 2008 and will reset at a future date. |
|
ø |
|
Bond is currently in default. |
|
^ |
|
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. |
|
* |
|
Non-income producing security. |
|
§ |
|
Security or portion thereof is out on loan. |
|
§§ |
|
Represents security purchased with cash collateral received for securities on loan. |
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 July 31, 2008, the Fund held 0.1% 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 $3,975,946 and fair value of $202,489. 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 July 31, 2008, 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 $338,985,154, $1,407,867, $(39,878,879) and $(38,471,012), 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.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
|
|
CREDIT SUISSE HIGH YIELD BOND FUND |
||
|
|
|
|
|
|
|
/s/George R. Hornig |
|
|
|
|
Name: |
George R. Hornig |
|
|
|
Title: |
Chief Executive Officer |
|
|
|
Date: |
September 26, 2008 |
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
|
/s/George R. Hornig |
|
|
|
|
Name: |
George R. Hornig |
|
|
|
Title: |
Chief Executive Officer |
|
|
|
Date: |
September 26, 2008 |
|
|
|
/s/Michael A. Pignataro |
|
|
|
|
Name: |
Michael A. Pignataro |
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Title: |
Chief Financial Officer |
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Date: |
September 26, 2008 |
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