- Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (N-Q)
March 23 2009 - 12:18PM
Edgar (US Regulatory)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment
Company Act file number
|
811-08777
|
|
|
CREDIT
SUISSE HIGH YIELD BOND FUND
|
(Exact name of registrant as specified in charter)
|
|
c/o Credit Suisse Asset Management, LLC
Eleven Madison Avenue
New York, New York
|
|
10010
|
(Address of principal executive offices)
|
|
(Zip code)
|
|
J. Kevin Gao, Esq.
Eleven Madison Avenue
New York, New York 10010
|
(Name and address of agent for service)
|
|
Registrants
telephone number, including area code:
|
(212)
325-2000
|
|
|
Date of
fiscal year end:
|
October 31st
|
|
|
|
|
Date of
reporting period:
|
November 1,
2008 to January 31, 2009
|
|
|
|
|
|
|
|
|
Item 1:
Schedule of
Investments
Credit Suisse High Yield Bond
Fund
Schedule of Investments
January 31,
2009 (unaudited)
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S.
CORPORATE BONDS
(111.3%)
|
|
|
|
|
|
|
|
|
|
Aerospace &
Defense
(1.2%)
|
|
|
|
|
|
|
|
|
|
$
|
575
|
|
BE Aerospace, Inc.,
Senior Unsecured Notes (Callable 07/01/13 @ $104.25)
|
|
(BB+,
Ba3)
|
|
07/01/18
|
|
8.500
|
|
$
|
541,938
|
|
625
|
|
Hawker Beechcraft
Acquisition Co., Global Company Guaranteed Notes (Callable 04/01/11 @
$104.44)
|
|
(B-,
B3)
|
|
04/01/15
|
|
8.875
|
|
159,375
|
|
1,275
|
|
Hawker Beechcraft
Acquisition Co., Global Company Guaranteed Notes (Callable 04/01/12 @
$104.88)
|
|
(B-,
Caa1)
|
|
04/01/17
|
|
9.750
|
|
235,875
|
|
325
|
|
TransDigm, Inc.,
Global Company Guaranteed Notes (Callable 07/15/09 @ $105.81)
|
|
(B-,
B3)
|
|
07/15/14
|
|
7.750
|
|
294,125
|
|
|
|
|
|
|
|
|
|
|
|
1,231,313
|
|
Agriculture
(0.5%)
|
|
|
|
|
|
|
|
|
|
550
|
|
Southern States
Cooperative, Inc., Rule 144A, Senior Notes (Callable 11/01/09 @
$100.00)
|
|
(B-,
B3)
|
|
11/01/10
|
|
11.000
|
|
486,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Auto
Loans
(6.4%)
|
|
|
|
|
|
|
|
|
|
725
|
|
Ford Motor Credit Co.
LLC, Global Senior Unsecured Notes
|
|
(CCC+,
Caa1)
|
|
06/15/10
|
|
7.875
|
|
599,032
|
|
2,900
|
|
Ford Motor Credit Co.
LLC, Global Senior Unsecured Notes
|
|
(CCC+,
Caa1)
|
|
10/01/13
|
|
7.000
|
|
1,806,975
|
|
325
|
|
Ford Motor Credit Co.
LLC, Senior Unsecured Notes
|
|
(CCC+,
Caa1)
|
|
08/10/11
|
|
9.875
|
|
241,775
|
|
1,225
|
|
Ford Motor Credit Co.
LLC, Senior Unsecured Notes
|
|
(CCC+,
Caa1)
|
|
12/15/16
|
|
8.000
|
|
734,421
|
|
2,390
|
|
GMAC LLC,
Rule 144A, Company Guaranteed Notes
|
|
(CCC,
NR)
|
|
03/02/11
|
|
7.250
|
|
1,930,656
|
|
744
|
|
GMAC LLC,
Rule 144A, Company Guaranteed Notes
|
|
(CCC,
NR)
|
|
04/01/11
|
|
6.000
|
|
565,142
|
|
47
|
|
GMAC LLC,
Rule 144A, Company Guaranteed Notes
|
|
(CCC,
NR)
|
|
12/15/11
|
|
6.000
|
|
34,791
|
|
99
|
|
GMAC LLC,
Rule 144A, Company Guaranteed Notes
|
|
(CCC,
NR)
|
|
12/31/13
|
|
7.500
|
|
58,456
|
|
1,007
|
|
GMAC LLC,
Rule 144A, Company Guaranteed Notes
|
|
(CCC,
NR)
|
|
12/01/14
|
|
6.750
|
|
655,169
|
|
119
|
|
GMAC LLC,
Rule 144A, Subordinated Notes
|
|
(CC,
NR)
|
|
12/31/18
|
|
8.000
|
|
47,047
|
|
|
|
|
|
|
|
|
|
|
|
6,673,464
|
|
Auto
Parts & Equipment
(3.7%)
|
|
|
|
|
|
|
|
|
|
975
|
|
Altra Industrial
Motion, Inc., Global Senior Secured Notes (Callable 12/01/09 @ $102.25)
|
|
(B+,
B1)
|
|
12/01/11
|
|
9.000
|
|
945,750
|
|
775
|
|
American
Axle & Manufacturing, Inc., Company Guaranteed Notes (Callable
03/01/12 @ $103.94)
|
|
(CCC-,
Caa2)
|
|
03/01/17
|
|
7.875
|
|
162,750
|
|
1,200
|
|
American Tire Distributors
Holdings, Inc., Global Senior Notes (Callable 04/01/09 @ $105.38)
|
|
(CCC+,
Caa1)
|
|
04/01/13
|
|
10.750
|
|
912,000
|
|
750
|
|
Lear Corp.,
Series B, Global Company Guaranteed Notes (Callable 12/01/10 @ $104.25)
|
|
(CCC,
Caa2)
|
|
12/01/13
|
|
8.500
|
|
176,250
|
|
800
|
|
Stanadyne Corp.,
Series 1, Global Senior Subordinated Notes (Callable 08/15/09 @ $105.00)
|
|
(B-,
B3)
|
|
08/15/14
|
|
10.000
|
|
548,000
|
|
525
|
|
Tenneco, Inc.,
Global Company Guaranteed Notes (Callable 11/15/09 @ $104.31)
|
|
(B-,
Caa2)
|
|
11/15/14
|
|
8.625
|
|
162,750
|
|
848
|
|
The Goodyear
Tire & Rubber Co., Global Company Guaranteed Notes (Callable
07/01/10 @ $104.50)
|
|
(BB-,
B1)
|
|
07/01/15
|
|
9.000
|
|
786,520
|
|
193
|
|
Visteon Corp., Global
Senior Unsecured Notes
|
|
(CCC-,
Caa3)
|
|
08/01/10
|
|
8.250
|
|
35,705
|
|
498
|
|
Visteon Corp.,
Rule 144A, Senior Unsecured Notes (Callable 12/31/13 @ $105.00)
|
|
(CCC-,
Caa2)
|
|
12/31/16
|
|
12.250
|
|
57,270
|
|
|
|
|
|
|
|
|
|
|
|
3,786,995
|
|
Automotive
(1.0%)
|
|
|
|
|
|
|
|
|
|
1,970
|
|
Ford Motor Co.,
Global Senior Unsecured Notes
|
|
(CCC-,
Ca)
|
|
07/16/31
|
|
7.450
|
|
443,250
|
|
925
|
|
General Motors Corp.,
Global Senior Unsecured Notes
|
|
(C,
C)
|
|
01/15/11
|
|
7.200
|
|
191,938
|
|
2,750
|
|
General Motors Corp.,
Senior Unsecured Notes
|
|
(C,
C)
|
|
07/15/13
|
|
7.125
|
|
446,875
|
|
|
|
|
|
|
|
|
|
|
|
1,082,063
|
|
Beverages
(0.6%)
|
|
|
|
|
|
|
|
|
|
675
|
|
Constellation
Brands, Inc., Company Guaranteed Notes
|
|
(BB-,
Ba3)
|
|
09/01/16
|
|
7.250
|
|
648,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Brokerage
(0.2%)
|
|
|
|
|
|
|
|
|
|
475
|
|
E*TRADE Financial
Corp., Global Senior Notes (Callable 06/15/09 @ $102.00)
|
|
(B,
B2)
|
|
06/15/11
|
|
8.000
|
|
220,875
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Building &
Construction
(1.1%)
|
|
|
|
|
|
|
|
|
|
1,425
|
|
Ashton Woods
USA/Finance, Global Company Guaranteed Notes (Callable 10/01/10 @ $104.75)ø
|
|
(D,
C)
|
|
10/01/15
|
|
9.500
|
|
220,875
|
|
625
|
|
K Hovnanian
Enterprises, Inc., Global Company Guaranteed Notes
|
|
(CCC,
Caa1)
|
|
01/15/16
|
|
6.250
|
|
184,375
|
|
900
|
|
Standard Pacific
Corp., Global Company Guaranteed Notes
|
|
(B-,
B2)
|
|
08/15/15
|
|
7.000
|
|
481,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S.
CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Building &
Construction
|
|
|
|
|
|
|
|
|
|
$
|
1,000
|
|
William Lyon Homes, Inc.,
Company Guaranteed Notes (Callable 04/15/09 @ $105.38)
|
|
(CCC-,
Caa3)
|
|
04/01/13
|
|
10.750
|
|
$
|
255,000
|
|
|
|
|
|
|
|
|
|
|
|
1,141,750
|
|
Building
Materials
(3.7%)
|
|
|
|
|
|
|
|
|
|
1,000
|
|
Associated
Materials, Inc., Global Senior Discount Notes (Callable 03/01/09 @ $105.62)+
|
|
(CCC,
Caa2)
|
|
03/01/14
|
|
0.000
|
|
455,000
|
|
700
|
|
Building Materials
Corp. of America, Global Secured Notes (Callable 08/01/09 @ $103.88)
|
|
(B+,
B3)
|
|
08/01/14
|
|
7.750
|
|
465,500
|
|
650
|
|
Coleman
Cable, Inc., Global Company Guaranteed Notes (Callable 10/01/09 @
$102.47)
|
|
(B+,
B2)
|
|
10/01/12
|
|
9.875
|
|
438,750
|
|
750
|
|
CPG International
I, Inc., Global Company Guaranteed Notes (Callable 07/01/09 @ $105.25)
|
|
(B,
B3)
|
|
07/01/13
|
|
10.500
|
|
423,750
|
|
500
|
|
Dayton Superior
Corp., Company Guaranteed Notes
|
|
(CC,
Caa3)
|
|
06/15/09
|
|
13.000
|
|
286,250
|
|
625
|
|
General Cable Corp.,
Global Company Guaranteed Notes (Callable 04/01/09 @ $102.00)#
|
|
(B+,
B1)
|
|
04/01/15
|
|
3.810
|
|
421,875
|
|
325
|
|
Norcraft Finance
Corp., Global Company Guaranteed Notes (Callable 11/01/09 @ $100.00)
|
|
(B+,
B1)
|
|
11/01/11
|
|
9.000
|
|
287,625
|
|
250
|
|
Norcraft Holdings,
Global Senior Discount Notes (Callable 09/01/09 @ $102.44)
|
|
(B-,
B3)
|
|
09/01/12
|
|
9.750
|
|
193,750
|
|
825
|
|
Nortek, Inc.,
Global Senior Subordinated Notes (Callable 09/01/09 @ $104.25)
|
|
(CCC,
Caa1)
|
|
09/01/14
|
|
8.500
|
|
173,250
|
|
1,000
|
|
NTK
Holdings, Inc., Global Senior Discount Notes (Callable 09/01/09 @
$105.38)+
|
|
(CCC,
Caa2)
|
|
03/01/14
|
|
0.000
|
|
120,000
|
|
525
|
|
Ply Gem
Industries, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @
$102.25)
|
|
(CCC,
Caa2)
|
|
02/15/12
|
|
9.000
|
|
147,000
|
|
750
|
|
Ply Gem
Industries, Inc., Global Senior Secured Notes (Callable 04/01/11 @
$105.88)
|
|
(B-,
B2)
|
|
06/15/13
|
|
11.750
|
|
420,000
|
|
|
|
|
|
|
|
|
|
|
|
3,832,750
|
|
Chemicals
(3.4%)
|
|
|
|
|
|
|
|
|
|
650
|
|
Chemtura Corp.,
Company Guaranteed Notes
|
|
(CCC,
B3)
|
|
06/01/16
|
|
6.875
|
|
214,500
|
|
550
|
|
Koppers
Holdings, Inc., Global Senior Discount Notes (Callable 11/15/09 @
$104.94)+
|
|
(B-,
B2)
|
|
11/15/14
|
|
0.000
|
|
457,188
|
|
1,125
|
|
Momentive Performance
Materials, Inc., Global Company Guaranteed Notes (Callable 12/01/10 @
$104.88)
|
|
(B-,
B3)
|
|
12/01/14
|
|
9.750
|
|
500,625
|
|
1,050
|
|
Momentive Performance
Materials, Inc., Global Company Guaranteed Notes (Callable 12/01/11 @
$105.75)
|
|
(CCC,
Caa2)
|
|
12/01/16
|
|
11.500
|
|
262,500
|
|
275
|
|
Nalco Co., Global
Company Guaranteed Notes (Callable 11/15/09 @ $103.00)
|
|
(B,
B3)
|
|
11/15/13
|
|
9.000
|
|
296,026
|
|
575
|
|
Nalco Finance
Holdings, Inc., Global Senior Discounted Notes (Callable 02/01/09 @
$104.50)+
|
|
(B,
B3)
|
|
02/01/14
|
|
0.000
|
|
461,437
|
|
725
|
|
PolyOne Corp., Senior
Unsecured Notes
|
|
(B,
B1)
|
|
05/01/12
|
|
8.875
|
|
322,625
|
|
1,175
|
|
Reichhold
Industries, Inc., Rule 144A, Senior Notes (Callable 08/15/10 @
$104.50)
|
|
(B-,
B2)
|
|
08/15/14
|
|
9.000
|
|
804,875
|
|
275
|
|
Terra
Capital, Inc., Series B, Global Company Guaranteed Notes (Callable
02/01/12 @ $103.50)
|
|
(BB,
B1)
|
|
02/01/17
|
|
7.000
|
|
251,625
|
|
|
|
|
|
|
|
|
|
|
|
3,571,401
|
|
Computer
Hardware
(0.7%)
|
|
|
|
|
|
|
|
|
|
825
|
|
Activant
Solutions, Inc., Global Company Guaranteed Notes (Callable 05/01/11 @
$104.75)
|
|
(CCC+,
Caa1)
|
|
05/01/16
|
|
9.500
|
|
433,125
|
|
450
|
|
Affiliated Computer
Services, Inc., Senior Unsecured Notes
|
|
(BB,
Ba2)
|
|
06/01/15
|
|
5.200
|
|
336,375
|
|
|
|
|
|
|
|
|
|
|
|
769,500
|
|
Consumer
Products
(2.5%)
|
|
|
|
|
|
|
|
|
|
950
|
|
AAC Group Holding
Corp., Rule 144A, Senior Unsecured Notes (Callable 10/01/09 @ $102.56)
|
|
(CCC+,
Caa2)
|
|
10/01/12
|
|
10.250
|
|
641,250
|
|
1,625
|
|
Amscan
Holdings, Inc., Global Senior Subordinated Notes (Callable 05/01/09 @
$104.38)
|
|
(CCC+,
Caa1)
|
|
05/01/14
|
|
8.750
|
|
975,000
|
|
500
|
|
Jarden Corp., Company
Guaranteed Notes (Callable 05/01/12 @ $103.75)
|
|
(B,
B3)
|
|
05/01/17
|
|
7.500
|
|
362,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S.
CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Consumer
Products
|
|
|
|
|
|
|
|
|
|
$
|
640
|
|
Prestige
Brands, Inc., Global Senior Subordinated Notes (Callable 04/15/09 @
$102.31)
|
|
(B-,
B3)
|
|
04/15/12
|
|
9.250
|
|
$
|
598,400
|
|
|
|
|
|
|
|
|
|
|
|
2,577,150
|
|
Diversified
Capital Goods
(2.5%)
|
|
|
|
|
|
|
|
|
|
925
|
|
Esco Corp.,
Rule 144A, Company Guaranteed Notes (Callable 12/15/09 @ $101.00)#
|
|
(B,
B2)
|
|
12/15/13
|
|
5.871
|
|
605,875
|
|
100
|
|
Esco Corp.,
Rule 144A, Company Guaranteed Notes (Callable 12/15/10 @ $104.31)
|
|
(B,
B2)
|
|
12/15/13
|
|
8.625
|
|
78,500
|
|
850
|
|
RBS Global &
Rexnord Corp., Global Company Guaranteed Notes (Callable 08/01/10 @ $104.75)
|
|
(B-,
B3)
|
|
08/01/14
|
|
9.500
|
|
735,250
|
|
425
|
|
Sensus Metering
Systems, Inc., Global Senior Subordinated Notes (Callable 12/15/09 @
$102.87)
|
|
(B-,
B3)
|
|
12/15/13
|
|
8.625
|
|
333,625
|
|
600
|
|
Titan
International, Inc., Global Company Guaranteed Notes
|
|
(B-,
Caa1)
|
|
01/15/12
|
|
8.000
|
|
507,000
|
|
738
|
|
TriMas Corp., Global
Company Guaranteed Notes (Callable 06/15/09 @ $101.65)
|
|
(B-,
Caa1)
|
|
06/15/12
|
|
9.875
|
|
372,690
|
|
|
|
|
|
|
|
|
|
|
|
2,632,940
|
|
Electric
- Generation
(10.5%)
|
|
|
|
|
|
|
|
|
|
350
|
|
Dynegy
Holdings, Inc., Global Senior Unsecured Notes
|
|
(B,
B2)
|
|
06/01/15
|
|
7.500
|
|
280,000
|
|
1,825
|
|
Dynegy
Holdings, Inc., Global Senior Unsecured Notes
|
|
(B,
B2)
|
|
05/01/16
|
|
8.375
|
|
1,496,500
|
|
1,175
|
|
Edison Mission
Energy, Global Senior Unsecured Notes
|
|
(BB-,
B1)
|
|
05/15/17
|
|
7.000
|
|
1,098,625
|
|
300
|
|
Edison Mission
Energy, Global Senior Unsecured Notes
|
|
(BB-,
B1)
|
|
05/15/19
|
|
7.200
|
|
273,750
|
|
438
|
|
Midwest Generation
LLC, Series B, Global Pass Thru Certificates
|
|
(BB+,
Baa3)
|
|
01/02/16
|
|
8.560
|
|
427,313
|
|
1,025
|
|
Mirant Americas
Generation LLC, Senior Unsecured Notes
|
|
(B-,
B3)
|
|
10/01/21
|
|
8.500
|
|
876,375
|
|
25
|
|
Mirant Americas
Generation, LLC, Senior Unsecured Notes
|
|
(B-,
B3)
|
|
05/01/11
|
|
8.300
|
|
24,688
|
|
447
|
|
Mirant Mid Atlantic
LLC, Series B, Global Pass Thru Certificates
|
|
(BB,
Ba1)
|
|
06/30/17
|
|
9.125
|
|
366,756
|
|
350
|
|
NRG
Energy, Inc., Company Guaranteed Notes (Callable 01/15/12 @ $103.69)
|
|
(B,
B1)
|
|
01/15/17
|
|
7.375
|
|
329,000
|
|
550
|
|
NRG Energy, Inc.,
Company Guaranteed Notes (Callable 02/01/11 @ $103.69)
|
|
(B,
B1)
|
|
02/01/16
|
|
7.375
|
|
525,250
|
|
100
|
|
Reliant
Energy, Inc., Senior Unsecured Notes
|
|
(B+,
B1)
|
|
06/15/14
|
|
7.625
|
|
82,250
|
|
175
|
|
Reliant
Energy, Inc., Senior Unsecured Notes
|
|
(B+,
B1)
|
|
06/15/17
|
|
7.875
|
|
142,625
|
|
4,900
|
|
Texas Competitive
Electric Holdings Co., LLC, Series A, Global Company Guaranteed Notes
(Callable 11/01/11 @ $105.13)+
|
|
(CCC,
B3)
|
|
11/01/15
|
|
10.250
|
|
3,650,500
|
|
1,225
|
|
The AES Corp., Global
Senior Unsecured Notes
|
|
(BB-,
B1)
|
|
10/15/17
|
|
8.000
|
|
1,157,625
|
|
175
|
|
The AES Corp., Senior
Unsecured Notes
|
|
(BB-,
B1)
|
|
03/01/14
|
|
7.750
|
|
167,563
|
|
|
|
|
|
|
|
|
|
|
|
10,898,820
|
|
Electric
- Integrated
(0.3%)
|
|
|
|
|
|
|
|
|
|
350
|
|
PNM
Resources, Inc., Unsecured Notes
|
|
(BB-,
Ba2)
|
|
05/15/15
|
|
9.250
|
|
316,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronics
(2.5%)
|
|
|
|
|
|
|
|
|
|
950
|
|
Amkor
Technology, Inc., Global Senior Notes (Callable 05/15/09 @ $102.58)
|
|
(B+,
B1)
|
|
05/15/13
|
|
7.750
|
|
554,563
|
|
111
|
|
Ampex Corp., Senior
Secured Notes^
|
|
(NR,
NR)
|
|
09/30/09
|
|
12.000
|
|
90,089
|
|
1,325
|
|
Freescale Semiconductor, Inc.,
Company Guaranteed Notes
|
|
(C,
Caa3)
|
|
12/15/16
|
|
10.125
|
|
238,500
|
|
275
|
|
Jabil
Circuit, Inc., Global Senior Unsecured Notes
|
|
(BB-,
Ba1)
|
|
03/15/18
|
|
8.250
|
|
211,750
|
|
1,000
|
|
Sanmina-SCI Corp.,
Global Company Guaranteed Notes (Callable 03/01/09 @ $103.38)
|
|
(B-,
B3)
|
|
03/01/13
|
|
6.750
|
|
495,000
|
|
250
|
|
Sanmina-SCI Corp.,
Senior Subordinated Notes (Callable 03/01/11 @ $104.06)
|
|
(B-,
B3)
|
|
03/01/16
|
|
8.125
|
|
108,750
|
|
1,200
|
|
Viasystems, Inc.,
Global Senior Unsecured Notes (Callable 01/15/10 @ $100.00)
|
|
(B+,
Caa1)
|
|
01/15/11
|
|
10.500
|
|
882,000
|
|
|
|
|
|
|
|
|
|
|
|
2,580,652
|
|
Energy
- Exploration & Production
(5.8%)
|
|
|
|
|
|
|
|
|
|
725
|
|
Berry Petroleum Co.,
Senior Subordinated Notes (Callable 11/01/11 @ $104.13)
|
|
(B+,
B3)
|
|
11/01/16
|
|
8.250
|
|
382,438
|
|
150
|
|
Chesapeake Energy
Corp., Company Guaranteed Notes
|
|
(BB,
Ba3)
|
|
07/15/13
|
|
7.625
|
|
138,750
|
|
300
|
|
Chesapeake Energy
Corp., Company Guaranteed Notes
|
|
(BB,
Ba3)
|
|
12/15/18
|
|
7.250
|
|
252,750
|
|
1,050
|
|
Chesapeake Energy
Corp., Global Company Guaranteed Notes (Callable 01/15/10 @ $102.29)
|
|
(BB,
Ba3)
|
|
01/15/16
|
|
6.875
|
|
905,625
|
|
1,000
|
|
Encore Acquisition
Co., Company Guaranteed Notes (Callable 12/01/10 @ $103.63)
|
|
(B,
B1)
|
|
12/01/17
|
|
7.250
|
|
810,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S.
CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Energy
- Exploration & Production
|
|
|
|
|
|
|
|
|
|
$
|
450
|
|
Forest Oil Corp.,
Rule 144A, Company Guaranteed Notes (Callable 06/15/12 @ $103.63)
|
|
(B+,
B1)
|
|
06/15/19
|
|
7.250
|
|
$
|
376,875
|
|
525
|
|
Hilcorp Energy I,
Rule 144A, Senior Unsecured Notes (Callable 06/01/11 @ $104.50)
|
|
(BB-,
B3)
|
|
06/01/16
|
|
9.000
|
|
430,500
|
|
800
|
|
Mariner
Energy, Inc., Company Guaranteed Notes (Callable 05/15/12 @ $104.00)
|
|
(B+,
B3)
|
|
05/15/17
|
|
8.000
|
|
516,000
|
|
950
|
|
PetroHawk Energy
Corp., Rule 144A, Company Guaranteed Notes (Callable 06/01/12 @
$103.94)
|
|
(B,
B3)
|
|
06/01/15
|
|
7.875
|
|
800,375
|
|
625
|
|
Plains
Exploration & Production Co., Company Guaranteed Notes (Callable
06/15/11 @ $103.88)
|
|
(BB,
B1)
|
|
06/15/15
|
|
7.750
|
|
569,531
|
|
500
|
|
Range Resources
Corp., Company Guaranteed Notes (Callable 10/01/12 @ $103.75)
|
|
(BB,
Ba3)
|
|
10/01/17
|
|
7.500
|
|
466,250
|
|
475
|
|
Swift Energy Co,
Company Guaranteed Notes (Callable 06/01/12 @ $103.56)
|
|
(B-,
B1)
|
|
06/01/17
|
|
7.125
|
|
320,625
|
|
|
|
|
|
|
|
|
|
|
|
5,969,719
|
|
Environmental
(0.6%)
|
|
|
|
|
|
|
|
|
|
800
|
|
Waste
Services, Inc., Global Senior Subordinated Notes (Callable 04/15/09 @
$104.75)
|
|
(B-,
Caa1)
|
|
04/15/14
|
|
9.500
|
|
620,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food &
Drug Retailers
(0.8%)
|
|
|
|
|
|
|
|
|
|
925
|
|
Duane
Reade, Inc., Global Company Guaranteed Notes (Callable 08/01/09 @
$102.44)
|
|
(CCC-,
Caa3)
|
|
08/01/11
|
|
9.750
|
|
504,125
|
|
75
|
|
Stater Brothers
Holdings, Inc., Global Company Guaranteed Notes (Callable 04/15/11 @
$103.88)
|
|
(B+,
B2)
|
|
04/15/15
|
|
7.750
|
|
69,000
|
|
300
|
|
Stater Brothers
Holdings, Inc., Global Company Guaranteed Notes (Callable 06/15/09 @
$102.03)
|
|
(B+,
B2)
|
|
06/15/12
|
|
8.125
|
|
298,500
|
|
|
|
|
|
|
|
|
|
|
|
871,625
|
|
Food
- Wholesale
(0.9%)
|
|
|
|
|
|
|
|
|
|
250
|
|
Dole Food
Co., Inc., Global Company Guaranteed Notes
|
|
(B-,
Caa2)
|
|
05/01/09
|
|
8.625
|
|
236,875
|
|
175
|
|
Dole Food
Co., Inc., Global Company Guaranteed Notes (Callable 03/15/09 @ $100.00)
|
|
(B-,
Caa2)
|
|
03/15/11
|
|
8.875
|
|
132,125
|
|
800
|
|
Smithfield
Foods, Inc., Senior Unsecured Notes
|
|
(B,
B3)
|
|
07/01/17
|
|
7.750
|
|
546,000
|
|
|
|
|
|
|
|
|
|
|
|
915,000
|
|
Forestry &
Paper
(3.1%)
|
|
|
|
|
|
|
|
|
|
478
|
|
Boise Cascade LLC,
Global Company Guaranteed Notes (Callable 10/15/09 @ $103.56)
|
|
(BB-,
B2)
|
|
10/15/14
|
|
7.125
|
|
250,950
|
|
1,300
|
|
Cellu Tissue
Holdings, Inc., Global Secured Notes (Callable 03/15/09 @ $100.00)
|
|
(B,
B2)
|
|
03/15/10
|
|
9.750
|
|
1,049,750
|
|
750
|
|
Georgia-Pacific
Corp., Global Senior Notes
|
|
(B+,
B2)
|
|
01/15/24
|
|
8.000
|
|
551,250
|
|
300
|
|
Georgia-Pacific
Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @
$103.56)
|
|
(BB-,
Ba3)
|
|
01/15/17
|
|
7.125
|
|
275,250
|
|
475
|
|
Graphic Packaging
International Corp., Global Senior Subordinated Notes (Callable 08/15/09 @
$103.17)
|
|
(B-,
B3)
|
|
08/15/13
|
|
9.500
|
|
363,375
|
|
625
|
|
Newark
Group, Inc., Global Senior Subordinated Notes (Callable 03/15/09 @
$104.88)
|
|
(CCC-,
Ca)
|
|
03/15/14
|
|
9.750
|
|
54,688
|
|
675
|
|
NewPage Corp.,
Global Company Guaranteed Notes (Callable 05/01/09 @ $106.00)
|
|
(CCC+,
B3)
|
|
05/01/13
|
|
12.000
|
|
165,375
|
|
950
|
|
Smurfit-Stone
Container Enterprises, Inc., Global Senior Unsecured Notes (Callable
07/01/09 @ $101.40)ø
|
|
(D,
NR)
|
|
07/01/12
|
|
8.375
|
|
104,500
|
|
75
|
|
Verso Paper Holdings
LLC, Series B, Global Senior Secured Notes (Callable 08/01/10 @ $104.56)
|
|
(B+,
B2)
|
|
08/01/14
|
|
9.125
|
|
31,125
|
|
1,125
|
|
Verso
Paper, Inc., Series B, Global Company Guaranteed Notes (Callable
08/01/11 @ $105.69)
|
|
(CCC+,
B3)
|
|
08/01/16
|
|
11.375
|
|
320,625
|
|
|
|
|
|
|
|
|
|
|
|
3,166,888
|
|
Gaming
(5.4%)
|
|
|
|
|
|
|
|
|
|
1,125
|
|
Buffalo Thunder
Development Authority, Rule 144A, Senior Secured Notes (Callable
12/15/10 @ $104.69)
|
|
(CCC,
Caa3)
|
|
12/15/14
|
|
9.375
|
|
106,875
|
|
200
|
|
Caesars
Entertainment, Inc., Global Company Guaranteed Notes
|
|
(CC,
Caa3)
|
|
03/15/10
|
|
7.875
|
|
113,000
|
|
1,975
|
|
Caesars
Entertainment, Inc., Global Company Guaranteed Notes
|
|
(CC,
Caa3)
|
|
05/15/11
|
|
8.125
|
|
780,125
|
|
1,225
|
|
CCM
Merger, Inc., Rule 144A, Notes (Callable 08/01/09 @ $104.00)
|
|
(CCC,
Caa3)
|
|
08/01/13
|
|
8.000
|
|
520,625
|
|
280
|
|
Choctaw Resort
Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/11 @
$103.63)
|
|
(B+,
B1)
|
|
11/15/19
|
|
7.250
|
|
91,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S.
CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Gaming
|
|
|
|
|
|
|
|
|
|
$
|
575
|
|
FireKeepers
Development Authority, Rule 144A, Senior Secured Notes (Callable
05/01/12 @ $110.50)
|
|
(B,
B3)
|
|
05/01/15
|
|
13.875
|
|
$
|
388,125
|
|
625
|
|
Fontainebleau Las
Vegas Capital Corp., Rule 144A, Second Mortgage Notes (Callable 06/15/11
@ $105.13)
|
|
(CCC,
Caa3)
|
|
06/15/15
|
|
10.250
|
|
71,875
|
|
225
|
|
Herbst
Gaming, Inc., Global Company Guaranteed Notes (Callable 06/01/09 @
$102.03)ø
|
|
(D,
NR)
|
|
06/01/12
|
|
8.125
|
|
1,687
|
|
750
|
|
Inn of the Mountain
Gods Resort & Casino, Global Company Guaranteed Notes (Callable
11/15/09 @ $100.00)
|
|
(CCC,
Caa2)
|
|
11/15/10
|
|
12.000
|
|
153,750
|
|
1,250
|
|
Jacobs
Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/15/10
@ $104.88)
|
|
(B-,
B3)
|
|
06/15/14
|
|
9.750
|
|
675,000
|
|
950
|
|
Majestic Star Casino
Capital Corp., Senior Secured Notes (Callable 10/15/09 @ $100.00)ø
|
|
(D,
Caa3)
|
|
10/15/10
|
|
9.500
|
|
289,750
|
|
1,275
|
|
Mashantucket Western
Pequot Tribe, Rule 144A, Bonds (Callable 11/15/11 @ $104.25)
|
|
(BB-,
B2)
|
|
11/15/15
|
|
8.500
|
|
446,250
|
|
1,150
|
|
MGM
Mirage, Inc., Company Guaranteed Notes
|
|
(BB-,
Ba3)
|
|
04/01/16
|
|
6.875
|
|
649,750
|
|
700
|
|
MGM
Mirage, Inc., Company Guaranteed Notes
|
|
(BB-,
Ba3)
|
|
01/15/17
|
|
7.625
|
|
388,500
|
|
600
|
|
Peermont Global
Proprietary Ltd., Rule 144A, Senior Secured Notes (Callable 04/30/10 @
$105.81)
|
|
(B,
B3)
|
|
04/30/14
|
|
7.750
|
|
430,584
|
|
670
|
|
Tropicana Finance
Corp., Global Senior Subordinated Notes (Callable 12/15/10 @ $104.81)ø
|
|
(NR,
NR)
|
|
12/15/14
|
|
9.625
|
|
11,725
|
|
775
|
|
Turning Stone Resort
Casino Enterprise, Rule 144A, Senior Notes (Callable 09/15/10 @
$104.56)
|
|
(B+,
B1)
|
|
09/15/14
|
|
9.125
|
|
519,250
|
|
|
|
|
|
|
|
|
|
|
|
5,637,871
|
|
Gas
Distribution
(3.7%)
|
|
|
|
|
|
|
|
|
|
525
|
|
Amerigas Partners LP,
Global Senior Unsecured Notes (Callable 05/20/10 @ $103.63)
|
|
(NR,
Ba3)
|
|
05/20/15
|
|
7.250
|
|
488,250
|
|
450
|
|
El Paso Corp., Senior
Unsecured Notes
|
|
(BB-,
Ba3)
|
|
06/01/18
|
|
7.250
|
|
414,000
|
|
925
|
|
El Paso
Performance-Linked Trust, Rule 144A, Senior Unsecured Notes
|
|
(BB,
Ba3)
|
|
07/15/11
|
|
7.750
|
|
890,312
|
|
425
|
|
Inergy Finance Corp.,
Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13)
|
|
(B+,
B1)
|
|
03/01/16
|
|
8.250
|
|
386,750
|
|
275
|
|
Inergy Finance Corp.,
Global Senior Unsecured Notes (Callable 12/15/09 @ $103.44)
|
|
(B+,
B1)
|
|
12/15/14
|
|
6.875
|
|
239,250
|
|
550
|
|
MarkWest Energy
Finance Corp., Series B, Global Senior Notes (Callable 04/15/13 @
$104.38)
|
|
(B+,
B2)
|
|
04/15/18
|
|
8.750
|
|
397,375
|
|
625
|
|
Targa Resources
Partners LP, Rule 144A, Senior Notes (Callable 07/01/12 @ $104.13)
|
|
(B,
B2)
|
|
07/01/16
|
|
8.250
|
|
453,125
|
|
675
|
|
Williams
Cos., Inc., Series A, Global Senior Unsecured Notes
|
|
(BB+,
Baa3)
|
|
01/15/31
|
|
7.500
|
|
555,188
|
|
|
|
|
|
|
|
|
|
|
|
3,824,250
|
|
Health
Services
(7.1%)
|
|
|
|
|
|
|
|
|
|
490
|
|
Bausch &
Lomb, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/11 @
$104.94)
|
|
(B,
Caa1)
|
|
11/01/15
|
|
9.875
|
|
432,425
|
|
50
|
|
Biomet, Inc.,
Global Company Guaranteed Notes (Callable 10/15/12 @ $105.00)
|
|
(B-,
B3)
|
|
10/15/17
|
|
10.000
|
|
51,000
|
|
25
|
|
Biomet, Inc.,
Global Company Guaranteed Notes (Callable 10/15/12 @ $105.81)
|
|
(B-,
Caa1)
|
|
10/15/17
|
|
11.625
|
|
23,375
|
|
650
|
|
Community Health
Systems, Inc., Global Company Guaranteed Notes (Callable 07/15/11 @
$104.44)
|
|
(B,
B3)
|
|
07/15/15
|
|
8.875
|
|
628,875
|
|
900
|
|
HCA, Inc.,
Global Secured Notes (Callable 11/15/11 @ $104.63)
|
|
(BB-,
B2)
|
|
11/15/16
|
|
9.250
|
|
861,750
|
|
1,300
|
|
HCA, Inc.,
Global Senior Unsecured Notes
|
|
(B-,
Caa1)
|
|
01/15/15
|
|
6.375
|
|
916,500
|
|
425
|
|
HCA, Inc.,
Global Senior Unsecured Notes
|
|
(B-,
Caa1)
|
|
02/15/16
|
|
6.500
|
|
299,625
|
|
1,050
|
|
HCA, Inc.,
Senior Unsecured Notes
|
|
(B-,
Caa1)
|
|
02/15/13
|
|
6.250
|
|
763,875
|
|
625
|
|
HCA, Inc.,
Senior Unsecured Notes
|
|
(B-,
Caa1)
|
|
07/15/13
|
|
6.750
|
|
454,687
|
|
175
|
|
Healthsouth Corp.,
Global Company Guaranteed Notes (Callable 06/15/11 @ $105.38)
|
|
(CCC+,
Caa1)
|
|
06/15/16
|
|
10.750
|
|
173,688
|
|
525
|
|
OMEGA Healthcare
Investors, Inc., Global Company Guaranteed Notes (Callable 01/15/11 @
$103.50)
|
|
(BB+,
Ba3)
|
|
01/15/16
|
|
7.000
|
|
469,875
|
|
250
|
|
Stewart
Enterprises, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @
$103.13)
|
|
(BB-,
Ba3)
|
|
02/15/13
|
|
6.250
|
|
215,000
|
|
1,050
|
|
Tenet Healthcare
Corp., Global Senior Unsecured Notes
|
|
(B,
Caa1)
|
|
07/01/14
|
|
9.875
|
|
850,500
|
|
175
|
|
Universal Hospital
Services, Inc., Global Senior Secured Notes (Callable 06/01/09 @
$102.00)#
|
|
(B+,
B3)
|
|
06/01/15
|
|
5.943
|
|
118,125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S.
CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Health
Services
|
|
|
|
|
|
|
|
|
|
$
|
275
|
|
Universal Hospital
Services, Inc., Global Senior Secured Notes (Callable 06/01/11 @
$104.25)
|
|
(B+,
B3)
|
|
06/01/15
|
|
8.500
|
|
$
|
233,750
|
|
450
|
|
Vanguard Health
Holding Co., Global Senior Subordinated Notes (Callable 10/01/09 @ $104.50)
|
|
(CCC+,
Caa1)
|
|
10/01/14
|
|
9.000
|
|
402,750
|
|
600
|
|
VWR
Funding, Inc., Series B, Global Company Guaranteed Notes (Callable
07/15/11 @ $105.13)
|
|
(B-,
Caa1)
|
|
07/15/15
|
|
10.250
|
|
447,000
|
|
|
|
|
|
|
|
|
|
|
|
7,342,800
|
|
Household &
Leisure Products
(0.7%)
|
|
|
|
|
|
|
|
|
|
450
|
|
ALH Finance LLC/ALH
Finance Corp., Global Senior Subordinated Notes (Callable 01/15/10 @ 102.13)
|
|
(CCC+,
B3)
|
|
01/15/13
|
|
8.500
|
|
375,750
|
|
500
|
|
Ames True
Temper, Inc., Global Company Guaranteed Notes#
|
|
(CCC+,
Caa1)
|
|
01/15/12
|
|
5.094
|
|
315,000
|
|
|
|
|
|
|
|
|
|
|
|
690,750
|
|
lnvestments &
Misc. Financial Services
(0.2%)
|
|
|
|
|
|
|
|
|
|
700
|
|
Nuveen
Investments, Inc., Rule 144A, Senior Notes (Callable 11/15/11 @
$105.25)
|
|
(CCC+,
Caa1)
|
|
11/15/15
|
|
10.500
|
|
196,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Leisure
(0.3%)
|
|
|
|
|
|
|
|
|
|
122
|
|
Six Flags
Operations, Inc., Rule 144A, Company Guaranteed Notes (Callable
07/15/13 @ $106.12)
|
|
(CCC,
Caa2)
|
|
07/15/16
|
|
12.250
|
|
72,590
|
|
900
|
|
Six Flags, Inc.,
Global Senior Unsecured Notes (Callable 06/01/09 @ $104.81)
|
|
(CCC-,
Caa3)
|
|
06/01/14
|
|
9.625
|
|
184,500
|
|
|
|
|
|
|
|
|
|
|
|
257,090
|
|
Machinery
(0.7%)
|
|
|
|
|
|
|
|
|
|
650
|
|
Baldor Electric Co.,
Company Guaranteed Notes (Callable 02/15/12 @ $104.31)
|
|
(B,
B3)
|
|
02/15/17
|
|
8.625
|
|
549,250
|
|
250
|
|
Terex Corp., Senior
Subordinated Notes (Callable 11/15/12 @ $104.00)
|
|
(B+,
Ba3)
|
|
11/15/17
|
|
8.000
|
|
208,750
|
|
|
|
|
|
|
|
|
|
|
|
758,000
|
|
Media
- Broadcast
(1.5%)
|
|
|
|
|
|
|
|
|
|
725
|
|
Allbritton
Communications Co., Global Senior Subordinated Notes (Callable 12/15/09 @
$101.29)
|
|
(B,
Caa1)
|
|
12/15/12
|
|
7.750
|
|
362,500
|
|
1,500
|
|
Barrington
Broadcasting Capital Corp., Global Company Guaranteed Notes (Callable
08/15/10 @ $105.25)
|
|
(CCC-,
Caa3)
|
|
08/15/14
|
|
10.500
|
|
356,250
|
|
1,175
|
|
Clear Channel
Communications, Inc., Senior Unsecured Notes
|
|
(CCC+,
Caa1)
|
|
09/15/14
|
|
5.500
|
|
164,500
|
|
925
|
|
CMP Susquehanna
Corp., Global Company Guaranteed Notes (Callable 05/15/10 @ $104.94)
|
|
(CCC,
Ca)
|
|
05/15/14
|
|
9.875
|
|
34,687
|
|
550
|
|
Fisher
Communications, Inc., Global Company Guaranteed Notes (Callable 09/15/09
@ $104.31)
|
|
(B,
B2)
|
|
09/15/14
|
|
8.625
|
|
442,750
|
|
600
|
|
Local TV Finance LLC,
Rule 144A, Senior Unsecured Notes (Callable 06/15/11 @ $104.63)
|
|
(CCC+,
Caa3)
|
|
06/15/15
|
|
9.250
|
|
75,750
|
|
370
|
|
Univision
Communications, Inc., Rule 144A, Company Guaranteed Notes (Callable
03/15/11 @ $104.88)
|
|
(CCC,
Caa2)
|
|
03/15/15
|
|
9.750
|
|
62,900
|
|
1,525
|
|
Young Broadcasting, Inc., Global
Company Guaranteed Notes (Callable 01/15/10 @ $102.92)ø
|
|
(D,
C)
|
|
01/15/14
|
|
8.750
|
|
11,438
|
|
|
|
|
|
|
|
|
|
|
|
1,510,775
|
|
Media
- Cable
(5.5%)
|
|
|
|
|
|
|
|
|
|
1,875
|
|
Atlantic Broadband
Finance LLC, Global Company Guaranteed Notes (Callable 01/15/10 @ $103.13)
|
|
(CCC+,
Caa1)
|
|
01/15/14
|
|
9.375
|
|
1,443,750
|
|
1,800
|
|
CCH II Capital Corp.,
Series B, Global Senior Unsecured Notes (Callable 09/15/09 @ $100.00)
|
|
(C,
Caa2)
|
|
09/15/10
|
|
10.250
|
|
1,071,000
|
|
792
|
|
Charter
Communications Holdings Capital, Senior Unsecured Notes
|
|
(C,
Ca)
|
|
04/01/11
|
|
9.920
|
|
18,810
|
|
325
|
|
Charter
Communications Operating Capital, Rule 144A, Secured Notes
|
|
(C,
B3)
|
|
04/30/12
|
|
8.000
|
|
277,875
|
|
825
|
|
CSC Holdings Inc.,
Rule 144A, Senior Notes
|
|
(BB,
B1)
|
|
04/15/14
|
|
8.500
|
|
814,687
|
|
450
|
|
CSC
Holdings, Inc., Global Senior Unsecured Notes
|
|
(BB,
B1)
|
|
04/15/12
|
|
6.750
|
|
435,375
|
|
275
|
|
CSC
Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable
06/15/12 @ $104.25)
|
|
(BB,
B1)
|
|
06/15/15
|
|
8.500
|
|
266,062
|
|
200
|
|
EchoStar DBS Corp.,
Global Company Guaranteed Notes
|
|
(BB-,
Ba3)
|
|
10/01/13
|
|
7.000
|
|
191,000
|
|
225
|
|
EchoStar DBS Corp.,
Global Company Guaranteed Notes
|
|
(BB-,
Ba3)
|
|
10/01/14
|
|
6.625
|
|
205,313
|
|
175
|
|
Mediacom Broadband
Corp., Global Senior Unsecured Notes (Callable 10/15/10 @ $104.25)
|
|
(B-,
B3)
|
|
10/15/15
|
|
8.500
|
|
151,375
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S.
CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Media
- Cable
|
|
|
|
|
|
|
|
|
|
$
|
825
|
|
Mediacom Capital
Corp., Global Senior Unsecured Notes
|
|
(B-,
B3)
|
|
02/15/11
|
|
7.875
|
|
$
|
779,625
|
|
|
|
|
|
|
|
|
|
|
|
5,654,872
|
|
Media
- Services
(0.4%)
|
|
|
|
|
|
|
|
|
|
650
|
|
WMG Acquisition
Corp., Global Senior Subordinated Notes (Callable 04/15/09 @ $103.69)
|
|
(B,
B3)
|
|
04/15/14
|
|
7.375
|
|
416,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals &
Mining - Excluding Steel
(1.5%)
|
|
|
|
|
|
|
|
|
|
225
|
|
Aleris
International, Inc., Global Company Guaranteed Notes (Callable 12/15/10
@ $104.50)
|
|
(CC,
Ca)
|
|
12/15/14
|
|
9.000
|
|
14,625
|
|
1,100
|
|
Aleris
International, Inc., Global Company Guaranteed Notes (Callable 12/15/11
@ $105.00)
|
|
(CC,
Ca)
|
|
12/15/16
|
|
10.000
|
|
184,250
|
|
800
|
|
Freeport-McMoRan
Copper & Gold, Inc., Senior Unsecured Notes (Callable 04/01/11
@ $104.13)
|
|
(BBB-,
Ba2)
|
|
04/01/15
|
|
8.250
|
|
681,778
|
|
1,700
|
|
Noranda Aluminium
Acquisition Corp., Global Company Guaranteed Notes (Callable 05/15/09 @
$101.00)#
|
|
(CCC,
B3)
|
|
05/15/15
|
|
6.595
|
|
654,500
|
|
|
|
|
|
|
|
|
|
|
|
1,535,153
|
|
Non-Food &
Drug Retailers
(3.4%)
|
|
|
|
|
|
|
|
|
|
600
|
|
Asbury Automotive
Group, Inc., Global Company Guaranteed Notes (Callable 03/15/12 @
$103.81)
|
|
(B-,
B3)
|
|
03/15/17
|
|
7.625
|
|
279,000
|
|
1,350
|
|
Brookstone
Company, Inc., Global Secured Notes (Callable 10/15/09 @ $106.00)
|
|
(B,
Caa1)
|
|
10/15/12
|
|
12.000
|
|
897,750
|
|
505
|
|
Michaels
Stores, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @
$105.00)
|
|
(CCC,
Caa1)
|
|
11/01/14
|
|
10.000
|
|
229,775
|
|
645
|
|
Michaels
Stores, Inc., Global Company Guaranteed Notes (Callable 11/01/11 @
$105.69)
|
|
(CCC,
Caa2)
|
|
11/01/16
|
|
11.375
|
|
203,175
|
|
600
|
|
SGS
International, Inc., Rule 144A, Global Senior Subordinated Notes
(Callable 12/15/09 @ $106.00)
|
|
(B-,
B3)
|
|
12/15/13
|
|
12.000
|
|
304,500
|
|
520
|
|
Susser Holdings LLC,
Global Company Guaranteed Notes (Callable 12/15/09 @ $105.31)
|
|
(B+,
B3)
|
|
12/15/13
|
|
10.625
|
|
486,200
|
|
1,285
|
|
The Neiman Marcus
Group, Inc., Global Company Guaranteed Notes (Callable 10/15/10 @
$105.19)
|
|
(B-,
B3)
|
|
10/15/15
|
|
10.375
|
|
591,100
|
|
1,110
|
|
Yankee Acquisition
Corp., Series B, Global Company Guaranteed Notes (Callable 02/15/11 @
$104.25)
|
|
(B-,
B3)
|
|
02/15/15
|
|
8.500
|
|
538,350
|
|
|
|
|
|
|
|
|
|
|
|
3,529,850
|
|
Oil
Field Equipment & Services
(0.7%)
|
|
|
|
|
|
|
|
|
|
550
|
|
Bristow
Group, Inc., Global Company Guaranteed Notes (Callable 09/15/12 @
$103.75)
|
|
(BB,
Ba2)
|
|
09/15/17
|
|
7.500
|
|
404,250
|
|
450
|
|
Key Energy
Services, Inc., Global Company Guaranteed Notes (Callable 12/01/11 @
$104.19)
|
|
(BB,
B1)
|
|
12/01/14
|
|
8.375
|
|
326,250
|
|
|
|
|
|
|
|
|
|
|
|
730,500
|
|
Packaging
(2.2%)
|
|
|
|
|
|
|
|
|
|
850
|
|
Berry Plastics
Holding Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $105.13)
|
|
(CCC,
Caa2)
|
|
03/01/16
|
|
10.250
|
|
327,250
|
|
705
|
|
Berry Plastics
Holding Corp., Global Senior Secured Notes (Callable 09/15/10 @ $104.44)
|
|
(CCC+,
Caa1)
|
|
09/15/14
|
|
8.875
|
|
348,975
|
|
725
|
|
Constar International, Inc., Company
Guaranteed Notes (Callable 12/01/09 @ $101.83)ø
|
|
(D,
NR)
|
|
12/01/12
|
|
11.000
|
|
25,375
|
|
325
|
|
Crown Cork &
Seal Co., Inc., Debentures (Callable 04/15/09 @ $101.53)
|
|
(B,
B2)
|
|
04/15/23
|
|
8.000
|
|
290,875
|
|
50
|
|
Graham Packaging
Company, Inc., Global Company Guaranteed Notes (Callable 10/15/09 @
$102.13)
|
|
(CCC+,
Caa1)
|
|
10/15/12
|
|
8.500
|
|
38,500
|
|
725
|
|
Graham Packaging
Company, Inc., Global Subordinated Notes (Callable 10/15/09 @ $104.94)
|
|
(CCC+,
Caa1)
|
|
10/15/14
|
|
9.875
|
|
464,000
|
|
814
|
|
Pliant Corp., Global
Senior Secured Notes (Callable 06/15/09 @ $100.00)ø
|
|
(CCC-,
NR)
|
|
06/15/09
|
|
11.625
|
|
427,448
|
|
600
|
|
Solo Cup Co., Global
Company Guaranteed Notes (Callable 02/15/09 @ $104.25)
|
|
(CCC,
Caa2)
|
|
02/15/14
|
|
8.500
|
|
405,000
|
|
|
|
|
|
|
|
|
|
|
|
2,327,423
|
|
Printing &
Publishing
(2.0%)
|
|
|
|
|
|
|
|
|
|
1,000
|
|
Cenveo Corp., Global
Senior Subordinated Notes (Callable 12/01/09 @ $102.63)
|
|
(B,
B3)
|
|
12/01/13
|
|
7.875
|
|
640,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S.
CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Printing &
Publishing
|
|
|
|
|
|
|
|
|
|
$
|
1,675
|
|
Idearc, Inc.,
Global Company Guaranteed Notes (Callable 11/15/11 @ $104.00)
|
|
(CC,
Ca)
|
|
11/15/16
|
|
8.000
|
|
$
|
60,719
|
|
1,025
|
|
R.H.
Donnelley, Inc., Rule 144A, Company Guaranteed Notes (Callable
05/15/12 @ $105.88)
|
|
(B+,
B1)
|
|
05/15/15
|
|
11.750
|
|
307,500
|
|
1,800
|
|
The Readers Digest
Association, Inc., Global Company Guaranteed Notes (Callable 02/15/12 @
$104.50)
|
|
(CC,
Ca)
|
|
02/15/17
|
|
9.000
|
|
173,250
|
|
1,400
|
|
TL
Acquisitions, Inc., Rule 144A, Senior Notes (Callable 07/15/11 @
$105.25)
|
|
(CCC+,
Caa1)
|
|
01/15/15
|
|
10.500
|
|
707,000
|
|
785
|
|
Valassis
Communications, Inc., Global Company Guaranteed Notes (Callable 03/01/11
@ $104.13)
|
|
(CCC+,
B3)
|
|
03/01/15
|
|
8.250
|
|
202,137
|
|
|
|
|
|
|
|
|
|
|
|
2,090,606
|
|
Railroads
(0.5%)
|
|
|
|
|
|
|
|
|
|
600
|
|
Kansas City Southern
Railway, Company Guaranteed Notes (Callable 06/01/12 @ $104.00)
|
|
(BB-,
B2)
|
|
06/01/15
|
|
8.000
|
|
543,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Restaurants
(0.4%)
|
|
|
|
|
|
|
|
|
|
525
|
|
Dennys
Holdings, Inc., Global Company Guaranteed Notes (Callable 10/01/09 @
$102.50)
|
|
(B-,
B3)
|
|
10/01/12
|
|
10.000
|
|
427,875
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Software/Services
(1.7%)
|
|
|
|
|
|
|
|
|
|
750
|
|
First Data Corp.,
Global Company Guaranteed Notes (Callable 09/30/11 @ $104.94)
|
|
(B,
B3)
|
|
09/24/15
|
|
9.875
|
|
423,750
|
|
1,275
|
|
SunGard Data
Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/10 @
$105.13)
|
|
(B-,
Caa1)
|
|
08/15/15
|
|
10.250
|
|
873,375
|
|
1,150
|
|
Unisys Corp., Senior
Unsubordinated Notes (Callable 01/15/12 @ $106.25)
|
|
(B+,
Caa1)
|
|
01/15/16
|
|
12.500
|
|
465,750
|
|
|
|
|
|
|
|
|
|
|
|
1,762,875
|
|
Steel
Producers/Products
(1.7%)
|
|
|
|
|
|
|
|
|
|
500
|
|
AK Steel Corp.,
Global Company Guaranteed Notes (Callable 06/15/09 @ $101.29)
|
|
(BB-,
Ba3)
|
|
06/15/12
|
|
7.750
|
|
417,500
|
|
1,275
|
|
Rathgibson, Inc.,
Global Company Guaranteed Notes (Callable 02/15/10 @ $105.62)
|
|
(B,
B3)
|
|
02/15/14
|
|
11.250
|
|
286,875
|
|
700
|
|
Ryerson, Inc.,
Rule 144A, Senior Secured Notes (Callable 11/01/11 @ $106.00)
|
|
(B,
Caa1)
|
|
11/01/15
|
|
12.000
|
|
441,000
|
|
745
|
|
Steel
Dynamics, Inc., Rule 144A, Senior Notes (Callable 04/15/12 @
$103.88)
|
|
(BB+,
Ba2)
|
|
04/15/16
|
|
7.750
|
|
599,725
|
|
|
|
|
|
|
|
|
|
|
|
1,745,100
|
|
Support-Services
(5.9%)
|
|
|
|
|
|
|
|
|
|
300
|
|
ARAMARK Corp., Global
Company Guaranteed Notes (Callable 02/01/09 @ $102.00)#
|
|
(B,
B3)
|
|
02/01/15
|
|
6.693
|
|
244,500
|
|
250
|
|
ARAMARK Corp., Global
Senior Unsecured Notes (Callable 02/01/11 @ $104.25)
|
|
(B,
B3)
|
|
02/01/15
|
|
8.500
|
|
244,375
|
|
800
|
|
Ashtead
Capital, Inc., Rule 144A, Secured Notes (Callable 08/15/11 @
$104.50)
|
|
(B,
B1)
|
|
08/15/16
|
|
9.000
|
|
484,000
|
|
350
|
|
DynCorp.
International, Rule 144A, Company Guaranteed Notes (Callable 02/15/09 @
$104.75)
|
|
(B,
B2)
|
|
02/15/13
|
|
9.500
|
|
307,125
|
|
150
|
|
Education Management
LLC, Global Company Guaranteed Notes (Callable 06/01/10 @ $104.38)
|
|
(CCC+,
B2)
|
|
06/01/14
|
|
8.750
|
|
128,625
|
|
700
|
|
Education Management
LLC, Global Company Guaranteed Notes (Callable 06/01/11 @ $105.13)
|
|
(CCC+,
Caa1)
|
|
06/01/16
|
|
10.250
|
|
584,500
|
|
600
|
|
Hertz Corp., Global
Company Guaranteed Notes (Callable 01/01/11 @ $105.25)
|
|
(B,
B2)
|
|
01/01/16
|
|
10.500
|
|
315,750
|
|
450
|
|
Iron
Mountain, Inc., Company Guaranteed Notes (Callable 04/01/09 @ $100.00)
|
|
(B+,
B2)
|
|
04/01/13
|
|
8.625
|
|
450,563
|
|
850
|
|
JohnsonDiversey
Holdings, Inc., Series B, Global Discount Notes (Callable 05/15/09
@ $101.78)
|
|
(CCC+,
Caa1)
|
|
05/15/13
|
|
10.670
|
|
637,500
|
|
1,050
|
|
Mobile Services
Group, Inc., Global Company Guaranteed Notes (Callable 08/01/10 @
$104.88)
|
|
(B+,
B2)
|
|
08/01/14
|
|
9.750
|
|
782,250
|
|
725
|
|
Rental Service Corp.,
Global Company Guaranteed Notes (Callable 12/01/10 @ $104.75)
|
|
(B-,
Caa1)
|
|
12/01/14
|
|
9.500
|
|
462,187
|
|
475
|
|
Sothebys,
Rule 144A, Senior Notes
|
|
(BBB-,
Ba3)
|
|
06/15/15
|
|
7.750
|
|
263,625
|
|
925
|
|
Ticketmaster
Entertainment,Inc., Rule 144A, Senior Notes (Callable 08/01/12 @
$105.38)
|
|
(BB,
Ba3)
|
|
08/01/16
|
|
10.750
|
|
559,625
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S.
CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Support-Services
|
|
|
|
|
|
|
|
|
|
$
|
1,150
|
|
Travelport LLC, Global Company Guaranteed
Notes (Callable 09/01/11 @ $105.94)
|
|
(CCC+, Caa1)
|
|
09/01/16
|
|
11.875
|
|
$
|
345,000
|
|
100
|
|
United Rentals North America, Inc.,
Global Company Guaranteed Notes (Callable 02/15/09 @ $101.63)
|
|
(BB-, B2)
|
|
02/15/12
|
|
6.500
|
|
82,500
|
|
425
|
|
United Rentals North America, Inc.,
Global Senior Subordinated Notes (Callable 02/15/09 @ $103.50)
|
|
(B, Caa1)
|
|
02/15/14
|
|
7.000
|
|
269,875
|
|
|
|
|
|
|
|
|
|
|
|
6,162,000
|
|
Telecom
- Integrated/Services
(8.2%)
|
|
|
|
|
|
|
|
|
|
825
|
|
Cincinnati Bell, Inc., Global Senior
Subordinated Notes (Callable 01/15/10 @ $102.79)
|
|
(B-, B2)
|
|
01/15/14
|
|
8.375
|
|
742,500
|
|
1,175
|
|
Frontier Communications Corp., Global
Senior Unsecured Notes
|
|
(BB, Ba2)
|
|
03/15/15
|
|
6.625
|
|
1,051,625
|
|
700
|
|
Hughes Network Systems LLC, Global Company
Guaranteed Notes (Callable 04/15/10 @ $104.75)
|
|
(B, B1)
|
|
04/15/14
|
|
9.500
|
|
584,500
|
|
1,875
|
|
Intelsat Corp., Rule 144A, Senior
Unsecured Notes (Callable 08/15/09 @ $104.63)
|
|
(BB-, B3)
|
|
08/15/14
|
|
9.250
|
|
1,762,500
|
|
25
|
|
Intelsat Subsidiary Holding Co., Ltd.,
Rule 144A, Senior Unsecured Notes (Callable 01/15/10 @ $104.44)
|
|
(BB-, B3)
|
|
01/15/15
|
|
8.875
|
|
23,125
|
|
1,800
|
|
Level 3 Financing, Inc., Global
Company Guaranteed Notes (Callable 02/15/09 @ $102.00)#
|
|
(CCC+, Caa1)
|
|
02/15/15
|
|
6.845
|
|
936,000
|
|
1,050
|
|
Paetec Holding Corp., Series WI,
Global Company Guaranteed Notes (Callable 07/15/11 @ $104.75)
|
|
(CCC+, Caa1)
|
|
07/15/15
|
|
9.500
|
|
687,750
|
|
1,250
|
|
Qwest Communications
International, Inc., Series B, Global Company Guaranteed Notes
(Callable 02/15/09 @ $103.75)
|
|
(B+, Ba3)
|
|
02/15/14
|
|
7.500
|
|
1,075,000
|
|
275
|
|
Qwest Corp., Global Senior Unsecured Notes
|
|
(BBB-, Ba1)
|
|
06/15/15
|
|
7.625
|
|
250,250
|
|
475
|
|
Time Warner Telecom Holdings, Inc.,
Global Company Guaranteed Notes (Callable 02/15/09 @ $104.62)
|
|
(CCC+, B3)
|
|
02/15/14
|
|
9.250
|
|
437,000
|
|
350
|
|
Windstream Corp., Global Company Guaranteed
Notes
|
|
(BB, Ba3)
|
|
08/01/13
|
|
8.125
|
|
346,500
|
|
125
|
|
Windstream Corp., Global Company Guaranteed
Notes (Callable 03/15/12 @ $103.50)
|
|
(BB, Ba3)
|
|
03/15/19
|
|
7.000
|
|
111,250
|
|
550
|
|
Windstream Corp., Global Company Guaranteed
Notes (Callable 08/01/11 @ $104.31)
|
|
(BB, Ba3)
|
|
08/01/16
|
|
8.625
|
|
544,500
|
|
|
|
|
|
|
|
|
|
|
|
8,552,500
|
|
Telecom
- Wireless
(3.9%)
|
|
|
|
|
|
|
|
|
|
75
|
|
Cricket Communications, Inc., Global
Company Guaranteed Notes (Callable 11/01/10 @ $104.69)
|
|
(B-, B3)
|
|
11/01/14
|
|
9.375
|
|
68,625
|
|
225
|
|
Crown Castle International Corp., Senior
Unsecured Notes (Callable 01/15/13 @ $105.62)
|
|
(B, B1)
|
|
01/15/15
|
|
9.000
|
|
218,813
|
|
975
|
|
MetroPCS Wireless, Inc., Global
Company Guaranteed Notes (Callable 11/01/10 @ $104.63)
|
|
(B, B3)
|
|
11/01/14
|
|
9.250
|
|
907,969
|
|
2,648
|
|
Nextel Communications, Inc.,
Series F, Company Guaranteed Notes (Callable 03/15/09 @ $102.98)
|
|
(BB, Ba2)
|
|
03/15/14
|
|
5.950
|
|
1,245,701
|
|
2,425
|
|
Sprint Nextel Corp., Senior Unsecured Notes
|
|
(BB, Ba2)
|
|
12/01/16
|
|
6.000
|
|
1,627,029
|
|
|
|
|
|
|
|
|
|
|
|
4,068,137
|
|
Textiles &
Apparel
(0.5%)
|
|
|
|
|
|
|
|
|
|
575
|
|
Levi Strauss & Co., Global Senior
Notes (Callable 01/15/10 @ $104.88)
|
|
(B+, B2)
|
|
01/15/15
|
|
9.750
|
|
476,531
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Theaters &
Entertainment
(1.2%)
|
|
|
|
|
|
|
|
|
|
1,675
|
|
AMC Entertainment, Inc., Global Senior
Subordinated Notes (Callable 03/01/09 @ $104.00)
|
|
(CCC+, B2)
|
|
03/01/14
|
|
8.000
|
|
1,264,625
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL
U.S. CORPORATE BONDS
(Cost $187,993,422)
|
|
|
|
|
|
|
115,498,988
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FOREIGN
CORPORATE BONDS
(9.4%)
|
|
|
|
|
|
|
|
|
|
Chemicals
(0.8%)
|
|
|
|
|
|
|
|
|
|
1,150
|
|
Cognis GMBH, Rule 144A, Senior Secured
Notes#
|
|
(B, B1)
|
|
09/15/13
|
|
3.996
|
|
684,250
|
|
2,075
|
|
Ineos Group Holdings PLC, Rule 144A,
Secured Notes (Callable 02/15/11 @ $104.25) (United Kingdom)
|
|
(CC, Ca)
|
|
02/15/16
|
|
8.500
|
|
114,125
|
|
|
|
|
|
|
|
|
|
|
|
798,375
|
|
Electronics
(1.0%)
|
|
|
|
|
|
|
|
|
|
750
|
|
Avago Technologies Finance, Global Company
Guaranteed Notes (Callable 12/01/10 @ $105.94) (Singapore)
|
|
(B, B3)
|
|
12/01/15
|
|
11.875
|
|
562,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FOREIGN
CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Electronics
|
|
|
|
|
|
|
|
|
|
|
|
$
|
325
|
|
Celestica, Inc., Senior Subordinated
Notes (Callable 07/01/09 @ $103.81) (Canada)
|
|
(B, B3)
|
|
07/01/13
|
|
7.625
|
|
$
|
281,125
|
|
1,000
|
|
New Asat, Ltd., Global Company Guaranteed
Notes (Callable 02/01/09 @ $102.31) (Cayman Islands)ø
|
|
(D, Ca)
|
|
02/01/11
|
|
9.250
|
|
102,500
|
|
900
|
|
NXP BV/NXP Funding LLC, Global Company
Guaranteed Notes (Callable 10/15/11 @ $104.31) (Netherlands)
|
|
(CCC-, Caa3)
|
|
10/15/15
|
|
8.625
|
|
126,869
|
|
50
|
|
NXP BV/NXP Funding LLC, Global Senior
Secured Notes (Callable 10/15/10 @ $103.94) (Netherlands)
|
|
(CCC, Caa1)
|
|
10/15/14
|
|
7.875
|
|
14,250
|
|
|
|
|
|
|
|
|
|
|
|
1,087,244
|
|
Energy
- Exploration & Production
(0.4%)
|
|
|
|
|
|
|
|
|
|
875
|
|
OPTI Canada, Inc., Global Senior
Secured Notes (Callable 12/15/10 @ $104.13) (Canada)
|
|
(BB, B2)
|
|
12/15/14
|
|
8.250
|
|
406,875
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forestry &
Paper
(0.9%)
|
|
|
|
|
|
|
|
|
|
2,325
|
|
Abitibi-Consolidated Co. of Canada, Global
Company Guaranteed Notes (Canada)
|
|
(CC, Ca)
|
|
06/15/11
|
|
7.750
|
|
348,750
|
|
1,000
|
|
Smurfit Kappa Funding PLC, Global Senior
Subordinated Notes (Callable 01/31/10 @ $103.88) (Ireland)
|
|
(B+, B2)
|
|
04/01/15
|
|
7.750
|
|
585,000
|
|
|
|
|
|
|
|
|
|
|
|
933,750
|
|
Gaming
(0.4%)
|
|
|
|
|
|
|
|
|
|
600
|
|
Codere Finance Luxembourg SA,
Rule 144A, Senior Secured Notes (Callable 06/15/10 @ $104.13)
(Luxembourg)
|
|
(B+, B2)
|
|
06/15/15
|
|
8.250
|
|
372,916
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
|
126,750
|
|
325
|
|
Unitymedia GmbH, Rule 144A, Senior
Secured Notes (Callable 02/15/10 @ $105.06) (Germany)
|
|
(B, Caa1)
|
|
02/15/15
|
|
10.125
|
|
379,003
|
|
500
|
|
Virgin Media Finance PLC, Global Company
Guaranteed Notes (Callable 04/15/09 @ $104.88) (United Kingdom)
|
|
(B-, B2)
|
|
04/15/14
|
|
9.750
|
|
591,097
|
|
|
|
|
|
|
|
|
|
|
|
1,096,850
|
|
Media -
Diversified
(0.5%)
|
|
|
|
|
|
|
|
|
|
600
|
|
Quebecor Media, Inc., Global Senior
Unsecured Notes (Callable 03/15/11 @ $103.88) (Canada)
|
|
(B, B2)
|
|
03/15/16
|
|
7.750
|
|
474,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil
Refining & Marketing
(0.3%)
|
|
|
|
|
|
|
|
|
|
375
|
|
Petroplus Finance, Ltd., Rule 144A,
Company Guaranteed Notes (Callable 05/01/11 @ $103.38) (Bermuda)
|
|
(BB-, B1)
|
|
05/01/14
|
|
6.750
|
|
281,250
|
|
25
|
|
Petroplus Finance, Ltd., Rule 144A,
Company Guaranteed Notes (Callable 05/01/12 @ $103.50) (Bermuda)
|
|
(BB-, B1)
|
|
05/01/17
|
|
7.000
|
|
18,250
|
|
|
|
|
|
|
|
|
|
|
|
299,500
|
|
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
|
|
229,068
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals
(0.6%)
|
|
|
|
|
|
|
|
|
|
150
|
|
Elan Finance Corp., Global Company
Guaranteed Notes (Callable 11/15/09 @ $101.94) (Ireland)
|
|
(B, B3)
|
|
11/15/11
|
|
7.750
|
|
119,250
|
|
775
|
|
Elan Finance Corp., Global Company
Guaranteed Notes (Callable 12/01/10 @ $104.44) (Ireland)
|
|
(B, B3)
|
|
12/01/13
|
|
8.875
|
|
561,875
|
|
|
|
|
|
|
|
|
|
|
|
681,125
|
|
Support-Services
(0.2%)
|
|
|
|
|
|
|
|
|
|
525
|
|
Carlson Wagonlit BV, Rule 144A,
Company Guaranteed Notes (Callable 11/01/09 @ $101.00) (Netherlands)#
|
|
(B-, B3)
|
|
05/01/15
|
|
10.544
|
|
191,744
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecom
- Integrated/Services
(1.6%)
|
|
|
|
|
|
|
|
|
|
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
|
|
1,011,375
|
|
550
|
|
Hellas Telecommunications II SCA,
Rule 144A, Subordinated Notes (Callable 01/15/10 @ $100.00)
(Luxembourg)#
|
|
(CCC, Caa2)
|
|
01/15/15
|
|
6.844
|
|
96,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FOREIGN
CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Telecom
- Integrated/Services
|
|
|
|
|
|
|
|
|
|
$
|
650
|
|
Nordic Telephone Co. Holdings,
Rule 144A, Senior Secured Notes (Callable 05/01/11 @ $104.44) (Denmark)
|
|
(B+, B1)
|
|
05/01/16
|
|
8.875
|
|
$
|
529,750
|
|
|
|
|
|
|
|
|
|
|
|
1,637,375
|
|
Telecommunications
Equipment
(0.1%)
|
|
|
|
|
|
|
|
|
|
875
|
|
Nortel Networks, Ltd., Rule 144A,
Company Guaranteed Notes (Callable 07/15/11 @ $105.38) (Canada)ø
|
|
(D, NR)
|
|
07/15/16
|
|
10.750
|
|
146,563
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Textiles &
Apparel
(0.0%)
|
|
|
|
|
|
|
|
|
|
75
|
|
IT Holding Finance SA, Rule 144A,
Company Guaranteed Notes (Luxembourg)
|
|
(C, C)
|
|
11/15/12
|
|
9.875
|
|
18,261
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transportation
- Excluding Air/Rail
(1.3%)
|
|
|
|
|
|
|
|
|
|
1,375
|
|
Navios Maritime Holdings, Inc., Global
Company Guaranteed Notes (Callable 12/15/10 @ $104.75)
|
|
(B+, B3)
|
|
12/15/14
|
|
9.500
|
|
811,250
|
|
750
|
|
Ship Finance International, Ltd., Global
Company Guaranteed Notes (Callable 12/15/09 @ $102.83) (Bermuda)
|
|
(B+, B1)
|
|
12/15/13
|
|
8.500
|
|
589,688
|
|
|
|
|
|
|
|
|
|
|
|
1,400,938
|
|
TOTAL
FOREIGN CORPORATE BONDS
(Cost $19,996,653)
|
|
|
|
|
|
9,774,584
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
Shares
|
|
|
|
|
|
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
COMMON
STOCKS
(0.0%)
|
|
|
|
|
|
|
|
|
|
Chemicals
(0.0%)
|
|
|
|
|
|
|
|
|
|
4,893
|
|
Huntsman
Corp. (Cost $34,459)
|
|
|
|
|
|
|
|
13,015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PREFERRED
STOCK
(0.3%)
|
|
|
|
|
|
|
|
|
|
Auto
Loans
(0.3%)
|
|
|
|
|
|
|
|
|
|
1,050
|
|
Preferred Blocker, Inc.,
Rule 144A (Callable 12/31/11 @ $1,000)* (Cost $243,718)
|
|
|
|
|
|
|
|
262,106
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WARRANTS
(0.0%)
|
|
|
|
|
|
|
|
|
|
Electrical
Equipment
(0.0%)
|
|
|
|
|
|
|
|
|
|
204,293
|
|
Viasystems, Inc., strike price $25.31,
expires 01/31/10*^ (Cost $3,772,613)
|
|
|
|
|
|
|
|
2,043
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM
INVESTMENT
(2.0%)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,025
|
|
State Street Bank and Trust Co. Euro Time
Deposit (Cost $2,025,000)
|
|
|
|
02/02/09
|
|
0.010
|
|
2,025,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL
INVESTMENTS AT VALUE
(123.0%) (Cost
$214,065,865)
|
|
|
|
|
|
127,575,736
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES
IN EXCESS OF OTHER ASSETS
(-23.0%)
|
|
|
|
|
|
|
|
(23,834,212
|
)
|
|
|
|
|
|
|
|
|
|
|
NET
ASSETS
(100.0%)
|
|
|
|
|
|
|
|
$
|
103,741,524
|
|
Forward Foreign Currency
to be Purchased (Local)
|
|
Forward Foreign Currency
to be Sold (Local)
|
|
Expiration
Date
|
|
Value on
Settlement Date
|
|
Current
Value
|
|
Unrealized
Appreciation
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Open Forward Foreign Currency Contracts
with Unrealized Appreciation
|
|
|
|
|
|
|
GBP
|
|
100,000
|
|
USD
|
|
139,054
|
|
4/16/09
|
|
$
|
139,054
|
|
$
|
144,070
|
|
$
|
5,016
|
|
USD
|
|
744,065
|
|
GBP
|
|
500,000
|
|
4/16/09
|
|
(744,065
|
)
|
(720,352
|
)
|
23,713
|
|
USD
|
|
2,281,280
|
|
EUR
|
|
1,698,000
|
|
4/16/09
|
|
(2,281,280
|
)
|
(2,174,149
|
)
|
107,131
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
135,860
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INVESTMENT ABBREVIATION
NR = Not Rated
|
Credit ratings given by the
Standard & Poors Division of The McGraw-Hill Companies, Inc.
(S&P) and Moodys Investors Service, Inc. (Moodys) 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, 2009, these
securities amounted to a value of $23,048,352 or 22.2% of net assets.
|
+
|
Step
Bond The interest rate is as of January 31, 2009 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.
|
#
|
Variable
rate obligations The interest rate is the rate as of January 31, 2009.
|
Currency
Abbreviations:
|
EUR = Euro Currency
|
GBP = British Pound
|
USD = United States Dollar
|
Security Valuation The net asset value of the Fund is determined daily
as of the close of regular trading on the New York Stock Exchange, Inc. (the
Exchange) on each day the Exchange is open for business. Debt securities with a remaining maturity
greater than 60 days are valued in accordance with the price supplied by a
pricing service, which may use a matrix, formula or other objective method that
takes into consideration market indices, yield curves and other specific
adjustments. Debt obligations that will mature in 60 days or less are valued on
the basis of amortized cost, which approximates market value, unless it is
determined that using this method would not represent fair value. Equity
investments are valued at market value, which is generally determined using the
closing price on the exchange or market on which the security is primarily
traded at the time of valuation (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 funds
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 Funds Valuation
Time but after the close of the securities primary markets, are valued at fair
value as determined in good faith by, or under direction of, the Board of
Trustees under procedures established by the Board of Trustees. At January 31,
2009 the Fund held 0.09% 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 $3,873,050 and fair value of $92,132. The
Funds 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.
The
Fund adopted Financial Accounting Standards Board Statement of Financial
Accounting Standards No. 157, Fair Value Measurements (FAS 157),
effective November 1, 2008. In accordance with FAS 157, fair value is
defined as the price that the Fund would receive upon selling an investment in
a timely transaction to an independent buyer in the principal or most
advantageous market of the investment. FAS 157 established a three-tier
hierarchy to maximize the use of observable market data and minimize the use of
unobservable inputs and to establish classification of fair value measurements
for disclosure purposes. Inputs refer broadly to the assumptions that market
participants would use in pricing the asset or liability, including assumptions
about risk, for example, the risk inherent in a particular valuation technique
used to measure fair value including such a pricing model and/or the risk
inherent in the inputs to the valuation technique. Inputs may be observable or
unobservable. Observable inputs are inputs that reflect the assumptions market
participants would use in pricing the asset or liability developed based on
market data obtained from sources independent of the reporting entity.
Unobservable inputs are inputs that reflect the reporting entitys own
assumptions about the assumptions market participants would use in pricing the
asset or liability developed based on the best information available in the
circumstances. The three-tier hierarchy of inputs is summarized in the three
broad Levels listed below.
·
Level 1 quoted prices in active markets for
identical investments
·
Level 2 other significant observable inputs
(including quoted prices for similar investments, interest rates, prepayment
speeds, credit risk, etc.)
·
Level 3 significant unobservable inputs
(including the Funds own assumptions in determining the fair value of
investments)
The inputs or methodology used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
The following is a summary of the inputs used as of January 31,
2009 in valuing the Funds investments carried at value:
Valuation Inputs
|
|
Investments in
Securities
|
|
Other Financial
Instruments*
|
|
Level 1 - Quoted Prices
|
|
$
|
275,122
|
|
$
|
135,860
|
|
Level 2 - Other Significant Observable
Inputs
|
|
127,208,482
|
|
|
|
Level 3 - Significant Unobservable Inputs
|
|
92,132
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
127,575,736
|
|
$
|
135,860
|
|
*Other
financial instruments include futures, forwards and swap contracts.
Federal
Income Tax Cost At January 31, 2009, 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
$214,065,865, $164,968, $(86,655,097) and $(86,490,129), respectively.
Other
information regarding the Fund is available in the Funds most recent Report to
Shareholders. This information is also available on the Funds 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 registrants 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 registrants internal control over financial reporting
(as defined in Rule 30a-3(d) under the Act) that occurred during the
registrants last fiscal quarter that have materially affected, or are
reasonably likely to materially affect, the registrants internal control over
financial reporting.
Item
3:
Exhibits
1.
The certifications of the registrant as
required by Rule 30a-2(a) under the Act are exhibits to this report.
SIGNATURES
Pursuant
to the requirements of the Securities Exchange Act of 1934 and the Investment
Company Act of 1940, the registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.
CREDIT
SUISSE HIGH YIELD BOND FUND
|
|
/s/George R. Hornig
|
|
Name: George R. Hornig
|
Title: Chief Executive Officer
|
Date: March 23, 2009
|
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: March 23, 2009
|
/s/Michael
A. Pignataro
|
|
Name: Michael A. Pignataro
|
Title: Chief Financial Officer
|
Date: March 23, 2009
|
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