- Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (N-Q)
March 18 2010 - 9:15AM
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
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(Address of principal executive offices)
|
|
(Zip code)
|
|
J. Kevin Gao, Esq.
Eleven Madison Avenue
New York, New York 10010
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(Name and address of agent for service)
|
|
Registrants
telephone number, including area code:
|
(212)
325-2000
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|
|
Date of
fiscal year end:
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October 31st
|
|
|
|
|
Date of
reporting period:
|
November 1,
2009 to January 31, 2010
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|
|
|
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|
Item 1: Schedule
of Investments
Credit Suisse High Yield Bond
Fund
Schedule of Investments
January 31, 2010 (unaudited)
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S. CORPORATE BONDS
(111.9%)
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense
(1.0%)
|
|
|
|
|
|
|
|
|
|
$
|
575
|
|
BE Aerospace, Inc., Senior Unsecured Notes
(Callable 07/01/13 @ $104.25)
|
|
(BB, Ba3)
|
|
07/01/18
|
|
8.500
|
|
$
|
603,750
|
|
750
|
|
Hawker Beechcraft Notes Co., Global Company
Guaranteed Notes (Callable 04/01/11 @ $104.25)§
|
|
(CCC-, Caa3)
|
|
04/01/15
|
|
8.500
|
|
519,375
|
|
825
|
|
Hawker Beechcraft Notes Co., Global Company
Guaranteed Notes (Callable 04/01/12 @ $104.88)
|
|
(CCC-, Ca)
|
|
04/01/17
|
|
9.750
|
|
490,875
|
|
|
|
|
|
|
|
|
|
|
|
1,614,000
|
|
Auto Loans
(2.9%)
|
|
|
|
|
|
|
|
|
|
325
|
|
Ford Motor Credit Co. LLC, Senior Unsecured Notes
|
|
(B-, B3)
|
|
08/10/11
|
|
9.875
|
|
340,139
|
|
575
|
|
Ford Motor Credit Co. LLC, Senior Unsecured Notes
|
|
(B-, B3)
|
|
10/01/14
|
|
8.700
|
|
595,369
|
|
775
|
|
Ford Motor Credit Co., LLC, Global Senior
Unsecured Notes
|
|
(B-, B3)
|
|
08/01/12
|
|
7.500
|
|
785,569
|
|
2,685
|
|
Ford Motor Credit Co., LLC, Global Senior Unsecured
Notes
|
|
(B-, B3)
|
|
10/01/13
|
|
7.000
|
|
2,689,052
|
|
100
|
|
Ford Motor Credit Co., LLC, Senior Unsecured Notes
|
|
(B-, B3)
|
|
12/15/16
|
|
8.000
|
|
100,724
|
|
|
|
|
|
|
|
|
|
|
|
4,510,853
|
|
Auto Parts & Equipment
(2.4%)
|
|
|
|
|
|
|
|
|
|
350
|
|
American Axle & Manufacturing
Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 01/15/14
@ $104.63)
|
|
(B-, B2)
|
|
01/15/17
|
|
9.250
|
|
364,000
|
|
775
|
|
American Axle & Manufacturing, Inc.,
Company Guaranteed Notes (Callable 03/01/12 @ $103.94)
|
|
(CCC-, Caa3)
|
|
03/01/17
|
|
7.875
|
|
676,187
|
|
1,200
|
|
American Tire Distributors, Inc., Global
Company Guarnteed Notes (Callable 04/01/10 @ $102.69)
|
|
(CCC+, Caa1)
|
|
04/01/13
|
|
10.750
|
|
1,107,000
|
|
800
|
|
Stanadyne Corp., Series 1, Global Senior
Subordinated Notes (Callable 08/15/10 @ $103.33)
|
|
(CCC, Caa1)
|
|
08/15/14
|
|
10.000
|
|
732,000
|
|
848
|
|
The Goodyear Tire & Rubber Co., Global
Company Guaranteed Notes (Callable 07/01/10 @ $104.50)§
|
|
(B+, B1)
|
|
07/01/15
|
|
9.000
|
|
877,680
|
|
50
|
|
The Goodyear Tire & Rubber Co., Senior
Unsecured Notes (Callable 05/15/12 @ $107.88)
|
|
(B+, B1)
|
|
05/15/16
|
|
10.500
|
|
54,500
|
|
|
|
|
|
|
|
|
|
|
|
3,811,367
|
|
Banks
(3.7%)
|
|
|
|
|
|
|
|
|
|
159
|
|
CIT Group, Inc., Senior Secured Notes
(Callable 03/17/10 @ $103.50)§
|
|
(NR, NR)
|
|
05/01/13
|
|
7.000
|
|
146,539
|
|
239
|
|
CIT Group, Inc., Senior Secured Notes
(Callable 03/17/10 @ $103.50)
|
|
(NR, NR)
|
|
05/01/14
|
|
7.000
|
|
214,732
|
|
239
|
|
CIT Group, Inc., Senior Secured Notes
(Callable 03/17/10 @ $103.50)
|
|
(NR, NR)
|
|
05/01/15
|
|
7.000
|
|
208,759
|
|
398
|
|
CIT Group, Inc., Senior Secured Notes
(Callable 03/17/10 @ $103.50)
|
|
(NR, NR)
|
|
05/01/16
|
|
7.000
|
|
343,452
|
|
557
|
|
CIT Group, Inc., Senior Secured Notes
(Callable 03/17/10 @ $103.50)
|
|
(NR, NR)
|
|
05/01/17
|
|
7.000
|
|
477,349
|
|
2,390
|
|
GMAC, Inc., Global Company Guaranteed Notes
|
|
(B, Ca)
|
|
03/02/11
|
|
7.250
|
|
2,419,875
|
|
47
|
|
GMAC, Inc., Global Company Guaranteed Notes
|
|
(B, Ca)
|
|
12/15/11
|
|
6.000
|
|
46,589
|
|
99
|
|
GMAC, Inc., Global Company Guaranteed Notes
|
|
(B, Ca)
|
|
12/31/13
|
|
7.500
|
|
99,495
|
|
744
|
|
GMAC, Inc., Global Company Guaranteed Notes
(Callable 03/08/10 @ $100.00)
|
|
(B, Ca)
|
|
04/01/11
|
|
6.000
|
|
740,280
|
|
119
|
|
GMAC, Inc., Global Subordinated Notes
|
|
(CCC+, Ca)
|
|
12/31/18
|
|
8.000
|
|
113,645
|
|
1,007
|
|
GMAC, Inc., Series 8, Global Company
Guaranteed Notes
|
|
(B, Ca)
|
|
12/01/14
|
|
6.750
|
|
989,378
|
|
|
|
|
|
|
|
|
|
|
|
5,800,093
|
|
Beverages
(0.5%)
|
|
|
|
|
|
|
|
|
|
100
|
|
CEDC Finance Corp. International, Inc., Rule 144A,
Senior Secured Notes (Callable 12/01/13 @ $104.56)
|
(B+, B1)
|
|
12/01/16
|
|
9.125
|
|
105,500
|
|
675
|
|
Constellation Brands, Inc., Company
Guaranteed Notes
|
|
(BB, Ba3)
|
|
09/01/16
|
|
7.250
|
|
681,750
|
|
|
|
|
|
|
|
|
|
|
|
787,250
|
|
Building & Construction
(1.5%)
|
|
|
|
|
|
|
|
|
|
741
|
|
Ashton Woods Finance Co., Rule 144A, Company
Guaranteed Notes (Callable 02/24/14 @ $105.50)+
|
|
(NR, NR)
|
|
06/30/15
|
|
0.000
|
|
259,350
|
|
600
|
|
K Hovnanian Enterprises, Inc., Global Company
Guaranteed Notes
|
|
(CCC-, Caa2)
|
|
01/15/16
|
|
6.250
|
|
447,000
|
|
950
|
|
Standard Pacific Corp., Company Guaranteed Notes
|
|
(CCC, Caa1)
|
|
04/01/14
|
|
6.250
|
|
845,500
|
|
1,000
|
|
William Lyon Homes, Inc., Company Guaranteed
Notes (Callable 04/01/10 @ $101.79)
|
|
(CC, Caa3)
|
|
04/01/13
|
|
10.750
|
|
785,000
|
|
|
|
|
|
|
|
|
|
|
|
2,336,850
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S. CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Building Materials
(3.1%)
|
|
|
|
|
|
|
|
|
|
$
|
1,000
|
|
AMH Holdings Inc., Global Senior Discount Notes
(Callable 03/01/10 @ $103.75)
|
|
(CCC-, Caa2)
|
|
03/01/14
|
|
11.250
|
|
$
|
1,005,000
|
|
700
|
|
Building Materials Corp. of America, Global
Secured Notes (Callable 08/01/10 @ $102.58)
|
|
(BBB-, Ba3)
|
|
08/01/14
|
|
7.750
|
|
727,125
|
|
1,285
|
|
CPG International I, Inc., Global Company
Guaranteed Notes (Callable 07/01/10 @ $102.63)
|
|
(B-, Caa1)
|
|
07/01/13
|
|
10.500
|
|
1,262,512
|
|
500
|
|
Dayton Superior Corp., Company Guaranteed Notesø
|
|
(NR, NR)
|
|
06/15/09
|
|
13.000
|
|
100,000
|
|
900
|
|
Headwaters, Inc., Rule 144A, Senior
Secured Notes (Callable 11/01/12 @ $105.69)
|
|
(B+, B2)
|
|
11/01/14
|
|
11.375
|
|
949,500
|
|
114
|
|
Norcraft Capital Corp., Global Senior Discount
Notes (Callable 09/01/10 @ $100.00)
|
|
(CCC, Caa1)
|
|
09/01/12
|
|
9.750
|
|
111,150
|
|
775
|
|
Norcraft Finance Corp., Rule 144A, Senior
Secured Notes (Callable 12/15/12 @ $105.25)
|
|
(B-, B2)
|
|
12/15/15
|
|
10.500
|
|
809,875
|
|
|
|
|
|
|
|
|
|
|
|
4,965,162
|
|
Chemicals
(3.6%)
|
|
|
|
|
|
|
|
|
|
775
|
|
Hexion Escrow Corp., Rule 144A, Senior
Secured Notes (Callable 02/01/14 @ $104.44)
|
|
(CCC+, B3)
|
|
02/01/18
|
|
8.875
|
|
750,781
|
|
250
|
|
Momentive Performance Materials, Inc., Global
Company Guaranteed Notes (Callable 12/01/10 @ $104.88)§
|
|
(CCC-, Caa2)
|
|
12/01/14
|
|
9.750
|
|
240,000
|
|
701
|
|
Momentive Performance Materials, Inc.,
Rule 144A, Company Guaranteed Notes (Callable 12/15/11 @ $106.25)
|
|
(CCC-, B3)
|
|
06/15/14
|
|
12.500
|
|
788,625
|
|
275
|
|
Nalco Co., Global Company Guaranteed Notes (Callable
02/01/10 @ $103.00)
|
|
(NR, B2)
|
|
11/15/13
|
|
9.000
|
|
395,615
|
|
350
|
|
Nalco Co., Global Company Guaranteed Notes
(Callable 11/15/10 @ $101.48)
|
|
(B, B2)
|
|
11/15/13
|
|
8.875
|
|
361,375
|
|
575
|
|
Nalco Finance Holdings, Inc., Global Senior
Discount Notes (Callable 02/04/10 @ $103.00)#
|
|
(B, B2)
|
|
02/01/14
|
|
9.000
|
|
595,125
|
|
525
|
|
PolyOne Corp., Senior Unsecured Notes
|
|
(B-, B1)
|
|
05/01/12
|
|
8.875
|
|
550,121
|
|
1,175
|
|
Reichhold Industries, Inc., Rule 144A,
Senior Notes (Callable 08/15/10 @ $104.50)
|
|
(CCC+, Caa2)
|
|
08/15/14
|
|
9.000
|
|
1,039,875
|
|
975
|
|
Terra Capital, Inc., Rule 144A, Company
Guaranteed Notes (Callable 11/01/14 @ $103.88)
|
|
(BB, B1)
|
|
11/01/19
|
|
7.750
|
|
1,018,875
|
|
|
|
|
|
|
|
|
|
|
|
5,740,392
|
|
Computer Hardware
(0.5%)
|
|
|
|
|
|
|
|
|
|
825
|
|
Activant Solutions, Inc., Global Company Guaranteed
Notes (Callable 05/01/11 @ $104.75)
|
|
(CCC, Caa1)
|
|
05/01/16
|
|
9.500
|
|
794,063
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Products
(1.1%)
|
|
|
|
|
|
|
|
|
|
950
|
|
AAC Group Holding Corp., Rule 144A, Senior
Discount Notes (Callable 10/01/10 @ $100.00)
|
|
(CCC, NR)
|
|
10/01/12
|
|
10.250
|
|
954,750
|
|
725
|
|
Amscan Holdings, Inc., Global Senior
Subordinated Notes (Callable 05/01/10 @ $102.92)
|
|
(CCC+, Caa1)
|
|
05/01/14
|
|
8.750
|
|
719,563
|
|
|
|
|
|
|
|
|
|
|
|
1,674,313
|
|
Diversified Capital Goods
(4.0%)
|
|
|
|
|
|
|
|
|
|
450
|
|
Anixter, Inc., Company Guaranteed Notes
|
|
(BB+, Ba2)
|
|
03/15/14
|
|
10.000
|
|
498,937
|
|
625
|
|
Belden, Inc., Rule 144A, Company
Guaranteed Notes (Callable 06/15/14 @ $104.62)
|
|
(B+, Ba2)
|
|
06/15/19
|
|
9.250
|
|
668,750
|
|
550
|
|
Coleman Cable, Inc. Rule 144A (Callable
02/15/14 @ $104.50)
|
|
(B, B3)
|
|
02/15/18
|
|
9.000
|
|
545,875
|
|
650
|
|
Coleman Cable, Inc., Global Company
Guaranteed Notes (Callable 10/01/10 @ $100.00)
|
|
(B, B3)
|
|
10/01/12
|
|
9.875
|
|
669,500
|
|
925
|
|
Esco Corp., Rule 144A, Company Guaranteed
Notes (Callable 12/15/10 @ $100.00)#
|
|
(B, B2)
|
|
12/15/13
|
|
4.129
|
|
860,250
|
|
100
|
|
Esco Corp., Rule 144A, Company Guaranteed
Notes (Callable 12/15/10 @ $104.31)
|
|
(B, B2)
|
|
12/15/13
|
|
8.625
|
|
100,875
|
|
875
|
|
Mueller Water Products, Inc., Global Company
Guaranteed Notes (Callable 06/01/12 @ $103.69)
|
|
(B-, Caa1)
|
|
06/01/17
|
|
7.375
|
|
791,875
|
|
575
|
|
Rexnord LLC., Global Company Guaranteed Notes
(Callable 08/01/10 @ $104.75)
|
|
(B-, Caa2)
|
|
08/01/14
|
|
9.500
|
|
579,312
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S. CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Diversified Capital Goods
|
|
|
|
|
|
|
|
|
|
$
|
425
|
|
Sensus USA Systems, Inc., Global Company
Guaranteed Notes (Callable 12/15/10 @ $101.44)
|
|
(B-, B3)
|
|
12/15/13
|
|
8.625
|
|
$
|
438,813
|
|
600
|
|
Titan International, Inc., Global Company
Guaranteed Notes
|
|
(B-, B2)
|
|
01/15/12
|
|
8.000
|
|
600,000
|
|
600
|
|
TriMas Corp., Rule 144A, Senior Secured Notes
(Callable 12/15/13 @ $104.88)
|
|
(B-, Caa1)
|
|
12/15/17
|
|
9.750
|
|
601,500
|
|
|
|
|
|
|
|
|
|
|
|
6,355,687
|
|
Electric - Generation
(5.7%)
|
|
|
|
|
|
|
|
|
|
1,275
|
|
Dynegy Holdings, Inc., Global Senior
Unsecured Notes
|
|
(B, B3)
|
|
05/01/16
|
|
8.375
|
|
1,157,062
|
|
1,475
|
|
Edison Mission Energy, Global Senior Unsecured
Notes
|
|
(B, B2)
|
|
05/15/17
|
|
7.000
|
|
1,172,625
|
|
675
|
|
Edison Mission Energy, Global Senior Unsecured
Notes
|
|
(B, B2)
|
|
05/15/19
|
|
7.200
|
|
526,500
|
|
1,025
|
|
Mirant Americas Generation LLC, Senior Unsecured
Notes
|
|
(B-, B3)
|
|
10/01/21
|
|
8.500
|
|
989,125
|
|
447
|
|
Mirant Mid Atlantic Trust, Series B, Global
Pass Thru Certificates
|
|
(BB, Ba1)
|
|
06/30/17
|
|
9.125
|
|
462,359
|
|
350
|
|
NRG Energy, Inc., Company Guaranteed Notes
(Callable 01/15/12 @ $103.69)
|
|
(BB-, B1)
|
|
01/15/17
|
|
7.375
|
|
348,688
|
|
550
|
|
NRG Energy, Inc., Company Guaranteed Notes
(Callable 02/01/11 @ $103.69)
|
|
(BB-, B1)
|
|
02/01/16
|
|
7.375
|
|
548,625
|
|
3,725
|
|
Texas Competitive Electric Holdings Co., LLC,
Series A, Global Company Guaranteed Notes (Callable 11/01/11 @ $105.13)§
|
|
(CCC, Caa2)
|
|
11/01/15
|
|
10.250
|
|
2,933,437
|
|
1,175
|
|
Texas Competitive Electric Holdings Co., LLC,
Series B, Global Company Guaranteed Notes (Callable 11/01/11 @ $105.13)
|
|
(CCC, Caa2)
|
|
11/01/15
|
|
10.250
|
|
925,313
|
|
|
|
|
|
|
|
|
|
|
|
9,063,734
|
|
Electric - Integrated
(1.2%)
|
|
|
|
|
|
|
|
|
|
1,175
|
|
The AES Corp., Global Senior Unsecured Notes
|
|
(BB-, B1)
|
|
10/15/17
|
|
8.000
|
|
1,189,687
|
|
550
|
|
The AES Corp., Rule 144A, Senior Unsecured
Notes
|
|
(BB-, B1)
|
|
04/15/16
|
|
9.750
|
|
598,125
|
|
175
|
|
The AES Corp., Senior Unsecured Notes
|
|
(BB-, B1)
|
|
03/01/14
|
|
7.750
|
|
176,313
|
|
|
|
|
|
|
|
|
|
|
|
1,964,125
|
|
Electronics
(1.9%)
|
|
|
|
|
|
|
|
|
|
450
|
|
Amkor Technology, Inc., Global Senior Notes
(Callable 05/15/10 @ $101.29)
|
|
(B+, B2)
|
|
05/15/13
|
|
7.750
|
|
452,812
|
|
800
|
|
Freescale Semiconductor, Inc., Company
Guaranteed Notes (Callable 12/15/11 @ $105.06)
|
|
(CCC, Caa3)
|
|
12/15/16
|
|
10.125
|
|
652,000
|
|
275
|
|
Jabil Circuit, Inc., Global Senior Unsecured
Notes
|
|
(BB+, Ba1)
|
|
03/15/18
|
|
8.250
|
|
300,438
|
|
575
|
|
Sanmina-SCI Corp., Company Guaranteed Notes
(Callable 03/01/11 @ $104.06)
|
|
(CCC, B2)
|
|
03/01/16
|
|
8.125
|
|
579,312
|
|
875
|
|
Viasystems, Inc., Rule 144A, Senior
Secured Notes (Callable 07/15/12 @ $106.00)
|
|
(B+, B3)
|
|
01/15/15
|
|
12.000
|
|
940,625
|
|
|
|
|
|
|
|
|
|
|
|
2,925,187
|
|
Energy - Exploration & Production
(6.8%)
|
|
|
|
|
|
|
|
|
|
500
|
|
Berry Petroleum Co., Senior Subordinated Notes
(Callable 11/01/11 @ $104.13)
|
|
(B, B3)
|
|
11/01/16
|
|
8.250
|
|
501,250
|
|
150
|
|
Chesapeake Energy Corp., Company Guaranteed Notes
|
|
(BB, Ba3)
|
|
07/15/13
|
|
7.625
|
|
157,875
|
|
300
|
|
Chesapeake Energy Corp., Company Guaranteed Notes
|
|
(BB, Ba3)
|
|
12/15/18
|
|
7.250
|
|
300,000
|
|
1,525
|
|
Chesapeake Energy Corp., Global Company Guaranteed
Notes (Callable 01/15/11 @ $101.15)
|
|
(BB, Ba3)
|
|
01/15/16
|
|
6.875
|
|
1,509,750
|
|
575
|
|
Denbury Resources, Inc., Company Guaranteed
Notes (Callable 03/01/13 @ $104.88)
|
|
(BB, B1)
|
|
03/01/16
|
|
9.750
|
|
608,781
|
|
1,000
|
|
Encore Acquisition Co., Company Guaranteed Notes
(Callable 12/01/10 @ $103.63)
|
|
(B, B1)
|
|
12/01/17
|
|
7.250
|
|
1,010,000
|
|
450
|
|
Forest Oil Corp., Global Company Guaranteed Notes
(Callable 06/15/12 @ $103.63)
|
|
(BB-, B1)
|
|
06/15/19
|
|
7.250
|
|
454,500
|
|
525
|
|
Hilcorp Financial Co., Rule 144A, Senior
Unsecured Notes (Callable 06/01/11 @ $104.50)
|
|
(BB-, B2)
|
|
06/01/16
|
|
9.000
|
|
547,312
|
|
800
|
|
Mariner Energy, Inc., Company Guaranteed
Notes (Callable 05/15/12 @ $104.00)
|
|
(B+, B3)
|
|
05/15/17
|
|
8.000
|
|
786,000
|
|
475
|
|
Penn Virginia Corp., Senior Notes (Callable
06/15/13 @ $105.19)
|
|
(BB-, B2)
|
|
06/15/16
|
|
10.375
|
|
525,469
|
|
950
|
|
PetroHawk Energy Corp., Global Company Guaranteed
Notes (Callable 06/01/12 @ $103.94)
|
|
(B, B3)
|
|
06/01/15
|
|
7.875
|
|
978,500
|
|
475
|
|
Pioneer Natural Resources Co., Senior Unsecured
Notes
|
|
(BB+, Ba1)
|
|
01/15/20
|
|
7.500
|
|
484,688
|
|
625
|
|
Plains Exploration & Production Co.,
Company Guaranteed Notes (Callable 06/15/11 @ $103.88)
|
|
(BB, B1)
|
|
06/15/15
|
|
7.750
|
|
640,625
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S. CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Energy - Exploration & Production
|
|
|
|
|
|
|
|
|
|
$
|
350
|
|
Range Resources Corp., Company Guaranteed Notes
(Callable 10/01/12 @ $103.75)
|
|
(BB, Ba3)
|
|
10/01/17
|
|
7.500
|
|
$
|
364,875
|
|
425
|
|
Stone Energy Corp., Company Guaranteed Notes
(Callable 02/01/14 @ $104.31)
|
|
(BB-, Caa1)
|
|
02/01/17
|
|
8.625
|
|
425,000
|
|
525
|
|
Stone Energy Corp., Global Senior Subordinated
Notes (Callable 12/15/10 @ $102.25)
|
|
(CCC+, Caa2)
|
|
12/15/14
|
|
6.750
|
|
480,375
|
|
475
|
|
Swift Energy Co, Company Guaranteed Notes
(Callable 06/01/12 @ $103.56)
|
|
(BB-, B3)
|
|
06/01/17
|
|
7.125
|
|
457,188
|
|
450
|
|
Whiting Petroleum Corp., Global Company Guaranteed
Notes
|
|
(BB, B1)
|
|
02/01/14
|
|
7.000
|
|
456,750
|
|
|
|
|
|
|
|
|
|
|
|
10,688,938
|
|
Environmental
(0.2%)
|
|
|
|
|
|
|
|
|
|
350
|
|
Casella Waste Systems, Inc., Rule 144A,
Senior Secured Notes (Callable 07/15/12 @ $105.50)
|
|
(B+, B2)
|
|
07/15/14
|
|
11.000
|
|
381,500
|
|
|
|
|
|
|
|
|
|
|
|
Food & Drug Retailers
(0.9%)
|
|
|
|
|
|
|
|
|
|
350
|
|
Ingles Markets, Inc., Global Senior Unsecured
Notes (Callable 05/15/13 @ $104.44)
|
|
(BB-, B1)
|
|
05/15/17
|
|
8.875
|
|
364,438
|
|
725
|
|
Rite Aid Corp., Global Company Guaranteed Notes
(Callable 06/15/11 @ $104.69)
|
|
(CCC, Caa3)
|
|
12/15/15
|
|
9.375
|
|
609,000
|
|
475
|
|
Rite Aid Corp., Global Senior Secured Notes (Callable
06/12/13 @ $104.88)
|
|
(B+, B3)
|
|
06/12/16
|
|
9.750
|
|
510,625
|
|
|
|
|
|
|
|
|
|
|
|
1,484,063
|
|
Food - Wholesale
(1.3%)
|
|
|
|
|
|
|
|
|
|
250
|
|
Chiquita Brands International, Inc., Global
Senior Unsecured Notes (Callable 11/01/10 @ $102.50)
|
|
(B, Caa2)
|
|
11/01/14
|
|
7.500
|
|
246,250
|
|
650
|
|
Pinnacle Foods Finance Corp., Rule 144A,
Senior Unsecured Notes (Callable 04/01/11 @ $104.63)
|
|
(CCC+, Caa2)
|
|
04/01/15
|
|
9.250
|
|
656,500
|
|
425
|
|
Smithfield Foods, Inc., Rule 144A,
Senior Secured Notes
|
|
(B+, Ba3)
|
|
07/15/14
|
|
10.000
|
|
464,844
|
|
650
|
|
Southern States Cooperative, Inc.,
Rule 144A, Senior Notes
|
|
(B+, B3)
|
|
11/01/11
|
|
11.000
|
|
651,625
|
|
|
|
|
|
|
|
|
|
|
|
2,019,219
|
|
Forestry & Paper
(3.2%)
|
|
|
|
|
|
|
|
|
|
478
|
|
Boise Cascade LLC, Global Company Guaranteed Notes
(Callable 10/15/10 @ $102.38)
|
|
(B+, Caa1)
|
|
10/15/14
|
|
7.125
|
|
436,175
|
|
750
|
|
Georgia-Pacific Corp., Global Senior Notes
|
|
(BB, B2)
|
|
01/15/24
|
|
8.000
|
|
783,750
|
|
300
|
|
Georgia-Pacific LLC Rule 144A, Company
Guaranteed Notes (Callable 01/15/12 @ $103.56)
|
|
(BB+, Ba3)
|
|
01/15/17
|
|
7.125
|
|
309,000
|
|
300
|
|
Georgia-Pacific LLC Rule 144A, Company
Guaranteed Notes (Callable 05/01/13 @ $104.13)
|
|
(BB+, Ba3)
|
|
05/01/16
|
|
8.250
|
|
322,500
|
|
400
|
|
NewPage Corp., Global Company Guaranteed
Notes (Callable 05/01/10 @ $103.00)
|
|
(CCC-, Caa3)
|
|
05/01/13
|
|
12.000
|
|
168,000
|
|
1,300
|
|
NewPage Corp., Global Senior Secured Notes
(Callable 03/31/12 @ $105.00)§
|
|
(CCC+, B2)
|
|
12/31/14
|
|
11.375
|
|
1,264,250
|
|
950
|
|
Smurfit-Stone Container Enterprises, Inc.,
Global Senior Unsecured Notes (Callable 07/01/10 @ $100.00)ø
|
|
(D, NR)
|
|
07/01/12
|
|
8.375
|
|
805,125
|
|
1,125
|
|
Verso Paper, Inc., Series B, Global
Company Guaranteed Notes (Callable 08/01/11 @ $105.69)§
|
|
(CCC, Caa1)
|
|
08/01/16
|
|
11.375
|
|
970,313
|
|
75
|
|
Verso Paper, Inc., Series B, Global
Senior Secured Notes (Callable 08/01/10 @ $104.56)§
|
|
(B-, B2)
|
|
08/01/14
|
|
9.125
|
|
71,156
|
|
|
|
|
|
|
|
|
|
|
|
5,130,269
|
|
Gaming
(7.0%)
|
|
|
|
|
|
|
|
|
|
775
|
|
Buffalo Thunder Development Authority,
Rule 144A, Senior Secured Notes (Callable 12/15/10 @ $104.69)ø
|
(NR, NR)
|
|
12/15/14
|
|
9.375
|
|
135,625
|
|
1,000
|
|
Caesars Entertainment, Inc., Global Company Guaranteed
Notes
|
|
(CCC-, Ca)
|
|
05/15/11
|
|
8.125
|
|
1,005,000
|
|
1,225
|
|
CCM Merger, Inc., Rule 144A, Notes
(Callable 08/01/10 @ $102.00)
|
|
(CCC+, Caa3)
|
|
08/01/13
|
|
8.000
|
|
1,010,625
|
|
280
|
|
Choctaw Resort Development Enterprise,
Rule 144A, Senior Notes (Callable 11/15/11 @ $103.63)
|
|
(B, B2)
|
|
11/15/19
|
|
7.250
|
|
197,400
|
|
575
|
|
FireKeepers Development Authority, Rule 144A,
Senior Secured Notes (Callable 05/01/12 @ $110.50)
|
|
(B, B3)
|
|
05/01/15
|
|
13.875
|
|
661,250
|
|
625
|
|
Fontainebleau Las Vegas Holdings LLC,
Rule 144A, Second Mortgage Notes (Callable 06/15/11 @ $105.13)ø
|
|
(NR, NR)
|
|
06/15/15
|
|
11.000
|
|
9,375
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S. CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Gaming
|
|
|
|
|
|
|
|
|
|
$
|
525
|
|
Harrahs Operating Co., Inc., Global Senior
Secured Notes (Callable 06/01/13 @ $105.63)
|
|
(B-, Caa1)
|
|
06/01/17
|
|
11.250
|
|
$
|
560,438
|
|
750
|
|
Inn of the Mountain Gods Resort & Casino,
Global Company Guaranteed Notesø
|
|
(D, Ca)
|
|
11/15/10
|
|
12.000
|
|
373,125
|
|
1,250
|
|
Jacobs Entertainment, Inc., Global Company
Guaranteed Notes (Callable 06/15/10 @ $104.88)
|
|
(B-, B3)
|
|
06/15/14
|
|
9.750
|
|
1,175,000
|
|
950
|
|
Majestic Star Casino Capital Corp., Senior Secured
Notesø
|
|
(NR, NR)
|
|
10/15/10
|
|
9.500
|
|
631,750
|
|
1,275
|
|
Mashantucket Western Pequot Tribe, Rule 144A,
Bonds (Callable 11/15/11 @ $104.25)ø
|
|
(D, NR)
|
|
11/15/15
|
|
8.500
|
|
395,250
|
|
700
|
|
MGM Mirage, Inc., Company Guaranteed Notes
|
|
(CCC+, Caa2)
|
|
01/15/17
|
|
7.625
|
|
575,750
|
|
825
|
|
MGM Mirage, Inc., Global Company Guaranteed
Notes
|
|
(CCC+, Caa2)
|
|
04/01/16
|
|
6.875
|
|
684,750
|
|
675
|
|
MGM Mirage, Inc., Rule 144A, Senior
Secured Notes (Callable 05/15/13 @ $105.56)
|
|
(B, B1)
|
|
11/15/17
|
|
11.125
|
|
762,750
|
|
1,200
|
|
MTR Gaming Group, Inc., Rule 144A,
Senior Secured Notes (Callable 07/15/11 @ $106.31)
|
|
(B, B2)
|
|
07/15/14
|
|
12.625
|
|
1,185,000
|
|
950
|
|
Peninsula Gaming LLC, Rule 144A, Senior
Unsecured Notes (Callable 08/15/13 @ $105.38)
|
|
(B, B3)
|
|
08/15/17
|
|
10.750
|
|
973,750
|
|
670
|
|
Tropicana Finance Corp., Global Senior
Subordinated Notes (Callable 12/15/10 @ $104.81)ø
|
|
(NR, NR)
|
|
12/15/14
|
|
9.625
|
|
4,606
|
|
775
|
|
Turning Stone Resort Casino Enterprise,
Rule 144A, Senior Unsecured Notes (Callable 09/15/10 @ $104.56)
|
|
(B+, B1)
|
|
09/15/14
|
|
9.125
|
|
759,500
|
|
|
|
|
|
|
|
|
|
|
|
11,100,944
|
|
Gas Distribution
(3.3%)
|
|
|
|
|
|
|
|
|
|
525
|
|
Amerigas Partners LP, Global Senior Unsecured
Notes (Callable 05/20/10 @ $103.63)
|
|
(NR, Ba3)
|
|
05/20/15
|
|
7.250
|
|
535,500
|
|
375
|
|
El Paso Corp., Senior Unsecured Notes
|
|
(BB-, Ba3)
|
|
02/15/16
|
|
8.250
|
|
405,937
|
|
600
|
|
El Paso Corp., Senior Unsecured Notes
|
|
(BB-, Ba3)
|
|
06/01/18
|
|
7.250
|
|
619,528
|
|
925
|
|
El Paso Performance-Linked Trust, Rule 144A,
Senior Unsecured Notes
|
|
(NR, Ba3)
|
|
07/15/11
|
|
7.750
|
|
967,636
|
|
425
|
|
Inergy Finance Corp., Global Company Guaranteed
Notes (Callable 03/01/11 @ $104.13)
|
|
(B+, B1)
|
|
03/01/16
|
|
8.250
|
|
436,687
|
|
275
|
|
Inergy Finance Corp., Global Company Guaranteed
Notes (Callable 12/15/10 @ $102.29)
|
|
(B+, B1)
|
|
12/15/14
|
|
6.875
|
|
275,688
|
|
550
|
|
MarkWest Energy Finance Corp., Series B,
Global Company Guaranteed Notes (Callable 04/15/13 @ $104.38)
|
|
(B+, B2)
|
|
04/15/18
|
|
8.750
|
|
574,750
|
|
625
|
|
Targa Resources Partners Finance Corp., Global
Company Guaranteed Notes (Callable 07/01/12 @ $104.13)
|
|
(B, B2)
|
|
07/01/16
|
|
8.250
|
|
637,500
|
|
675
|
|
The Williams Cos., Inc., Series A,
Global Senior Unsecured Notes
|
|
(BB+, Baa3)
|
|
01/15/31
|
|
7.500
|
|
765,659
|
|
|
|
|
|
|
|
|
|
|
|
5,218,885
|
|
Health Facilities
(7.2%)
|
|
|
|
|
|
|
|
|
|
275
|
|
Alliance HealthCare Services, Inc.,
Rule 144A, Senior Notes (Callable 12/01/12 @ $104.00)
|
|
(B, B3)
|
|
12/01/16
|
|
8.000
|
|
259,875
|
|
815
|
|
Bausch & Lomb, Inc., Global Senior
Unsecured Notes (Callable 11/01/11 @ $104.94)
|
|
(B, Caa1)
|
|
11/01/15
|
|
9.875
|
|
859,825
|
|
300
|
|
Biomet, Inc., Global Company Guaranteed Notes
(Callable 10/15/12 @ $105.00)
|
|
(B-, B3)
|
|
10/15/17
|
|
10.000
|
|
327,750
|
|
120
|
|
Biomet, Inc., Global Company Guaranteed Notes
(Callable 10/15/12 @ $105.81)
|
|
(B-, Caa1)
|
|
10/15/17
|
|
11.625
|
|
132,600
|
|
650
|
|
Community Health Systems, Inc., Global
Company Guaranteed Notes (Callable 07/15/11 @ $104.44)
|
|
(B, B3)
|
|
07/15/15
|
|
8.875
|
|
673,562
|
|
2,350
|
|
HCA, Inc., Global Secured Notes (Callable
11/15/11 @ $104.63)
|
|
(BB-, B2)
|
|
11/15/16
|
|
9.250
|
|
2,485,125
|
|
675
|
|
HCA, Inc., Global Senior Unsecured Notes
|
|
(B-, Caa1)
|
|
01/15/15
|
|
6.375
|
|
626,062
|
|
725
|
|
HCA, Inc., Rule 144A, Senior Secured
Notes (Callable 08/15/14 @ $103.94)
|
|
(BB, Ba3)
|
|
02/15/20
|
|
7.875
|
|
746,750
|
|
425
|
|
Healthsouth Corp., Global Company Guaranteed Notes
(Callable 06/15/11 @ $105.38)
|
|
(CCC+, Caa1)
|
|
06/15/16
|
|
10.750
|
|
462,188
|
|
450
|
|
Inverness Medical Innovations, Inc., Company
Guaranteed Notes (Callable 05/15/13 @ $104.50)
|
|
(B-, B3)
|
|
05/15/16
|
|
9.000
|
|
461,250
|
|
525
|
|
Omega Healthcare Investors, Inc., Global
Company Guaranteed Notes (Callable 01/15/11 @ $103.50)
|
|
(BB+, Ba3)
|
|
01/15/16
|
|
7.000
|
|
528,938
|
|
425
|
|
Service Corp. International, Senior Unsecured
Notes
|
|
(BB-, B1)
|
|
11/15/21
|
|
8.000
|
|
427,656
|
|
775
|
|
Tenet Healthcare Corp., Global Senior Unsecured
Notes
|
|
(CCC+, Caa2)
|
|
02/01/15
|
|
9.250
|
|
806,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S. CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Health Facilities
|
|
|
|
|
|
|
|
|
|
$
|
925
|
|
Tenet Healthcare Corp., Rule 144A, Senior
Secured Notes (Callable 07/01/14 @ $ 104.44)
|
|
(BB-, B2)
|
|
07/01/19
|
|
8.875
|
|
$
|
989,750
|
|
275
|
|
Universal Hospital Services, Inc., Global
Senior Secured Notes (Callable 06/01/11 @ $101.00)
|
|
(B+, B3)
|
|
06/01/15
|
|
8.500
|
|
270,188
|
|
625
|
|
Vanguard Holding Co. II, Inc., Rule 144A,
Company Guaranteed Notes (Callable 02/01/14 @ $104.00)
|
|
(CCC+, B3)
|
|
02/01/18
|
|
8.000
|
|
613,281
|
|
634
|
|
VWR Funding, Inc., Series B, Global
Company Guaranteed Notes (Callable 07/15/11 @ $105.13)
|
|
(B-, Caa1)
|
|
07/15/15
|
|
10.250
|
|
665,437
|
|
|
|
|
|
|
|
|
|
|
|
11,336,237
|
|
Health Services
(1.4%)
|
|
|
|
|
|
|
|
|
|
275
|
|
Quintiles Transnational Corp., Rule 144A,
Senior Notes (Callable 02/04/10 @ $102.50)
|
|
(B, B3)
|
|
12/30/14
|
|
9.500
|
|
279,813
|
|
750
|
|
Rural/Metro Corp., Global Senior Discount Notes
(Callable 03/15/10 @ $106.38)+
|
|
(B, Caa1)
|
|
03/15/16
|
|
0.000
|
|
776,250
|
|
400
|
|
Service Corp. International, Global Senior
Unsecured Notes
|
|
(BB-, B1)
|
|
10/01/18
|
|
7.625
|
|
407,000
|
|
550
|
|
Stewart Enterprises, Inc., Global Company
Guaranteed Notes (Callable 02/15/10 @ $101.56)
|
|
(BB-, Ba3)
|
|
02/15/13
|
|
6.250
|
|
540,375
|
|
175
|
|
Universal Hospital Services, Inc., Global
Senior Secured Notes (Callable 06/01/10 @ $101.00)#
|
|
(B+, B3)
|
|
06/01/15
|
|
3.859
|
|
150,500
|
|
|
|
|
|
|
|
|
|
|
|
2,153,938
|
|
Hotels
(1.3%)
|
|
|
|
|
|
|
|
|
|
725
|
|
Felcor Lodging LP, Rule 144A, Senior Secured
Notes
|
|
(B-, B2)
|
|
10/01/14
|
|
10.000
|
|
721,375
|
|
525
|
|
Host Hotels & Resorts LP, Rule 144A,
Senior Unsecured Notes (Callable 05/15/13 @ $104.50)§
|
|
(BB+, Ba1)
|
|
05/15/17
|
|
9.000
|
|
564,375
|
|
725
|
|
Host Hotels & Resorts LP, Series Q,
Global Company Guaranteed Notes (Callable 06/01/11 @ $103.33)
|
|
(BB+, Ba1)
|
|
06/01/16
|
|
6.750
|
|
712,313
|
|
|
|
|
|
|
|
|
|
|
|
1,998,063
|
|
Household & Leisure Products
(0.3%)
|
|
|
|
|
|
|
|
|
|
450
|
|
ALH Finance Corp., Global Company Guaranteed Notes
(Callable 01/15/11 @ $100.00)
|
|
(B-, Caa1)
|
|
01/15/13
|
|
8.500
|
|
453,938
|
|
|
|
|
|
|
|
|
|
|
|
lnvestments & Misc. Financial
Services
(0.4%)
|
|
|
|
|
|
|
|
|
|
700
|
|
Nuveen Investments, Inc., Global Company
Guaranteed Notes (Callable 11/15/11 @105.25)
|
|
(CCC, Caa3)
|
|
11/15/15
|
|
10.500
|
|
651,000
|
|
|
|
|
|
|
|
|
|
|
|
Leisure
(0.3%)
|
|
|
|
|
|
|
|
|
|
122
|
|
Six Flags Operations, Inc., Rule 144A,
Company Guaranteed Notes (Callable 07/15/13 @ $106.12)ø
|
|
(D, NR)
|
|
07/15/16
|
|
12.250
|
|
134,200
|
|
900
|
|
Six Flags, Inc., Global Senior Unsecured
Notes (Callable 06/01/10 @ $103.21)ø
|
|
(D, NR)
|
|
06/01/14
|
|
9.625
|
|
281,250
|
|
|
|
|
|
|
|
|
|
|
|
415,450
|
|
Machinery
(0.9%)
|
|
|
|
|
|
|
|
|
|
650
|
|
Baldor Electric Co., Company Guaranteed Notes
(Callable 02/15/12 @ $104.31)
|
|
(B, B3)
|
|
02/15/17
|
|
8.625
|
|
664,625
|
|
525
|
|
CPM Holdings, Inc., Rule 144A, Senior
Secured Notes (Callable 09/01/12 @ $105.31)
|
|
(B+, B2)
|
|
09/01/14
|
|
10.625
|
|
561,750
|
|
250
|
|
Terex Corp., Senior Subordinated Notes (Callable
11/15/12 @ $104.00)
|
|
(B, Caa1)
|
|
11/15/17
|
|
8.000
|
|
240,000
|
|
|
|
|
|
|
|
|
|
|
|
1,466,375
|
|
Media - Broadcast
(2.8%)
|
|
|
|
|
|
|
|
|
|
725
|
|
Allbritton Communications Co., Global Senior
Subordinated Notes (Callable 12/15/10 @ $100.00)
|
|
(B-, Caa1)
|
|
12/15/12
|
|
7.750
|
|
723,187
|
|
795
|
|
Barrington Broadcasting Capital Corp., Global
Company Guaranteed Notes (Callable 08/15/10 @ $105.25)
|
|
(CCC-, Caa3)
|
|
08/15/14
|
|
10.500
|
|
629,044
|
|
1,175
|
|
Clear Channel Communications, Inc., Senior
Unsecured Notes
|
|
(CCC-, Ca)
|
|
09/15/14
|
|
5.500
|
|
710,875
|
|
775
|
|
Clear Channel Worldwide Holdings, Inc.,
Rule 144A, Company Guaranteed Notes (Callable 12/15/12 @ $106.94)
|
|
(B, B2)
|
|
12/15/17
|
|
9.250
|
|
802,125
|
|
200
|
|
Clear Channel Worldwide Holdings, Inc.,
Rule 144A, Company Guaranteed Notes (Callable 12/15/12 @ $106.94)
|
|
(B, B2)
|
|
12/15/17
|
|
9.250
|
|
205,500
|
|
74
|
|
CMP Susquehanna Corp., Global Company Guranteed
Notes (Callable 05/15/10 @ $104.94)
|
|
(NR, NR)
|
|
05/15/14
|
|
3.272
|
|
18,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S. CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Media - Broadcast
|
|
|
|
|
|
|
|
|
|
$
|
550
|
|
Fisher Communications, Inc., Global Company
Guaranteed Notes (Callable 09/15/10 @ $102.88)
|
|
(B-, B2)
|
|
09/15/14
|
|
8.625
|
|
$
|
534,188
|
|
662
|
|
Local TV Finance LLC, Rule 144A, Senior
Unsecured Notes (Callable 06/15/11 @ $104.63)
|
|
(CCC, Caa3)
|
|
06/15/15
|
|
9.250
|
|
362,171
|
|
389
|
|
Umbrella Acquisition, Inc., Rule 144A,
Company Guaranteed Notes (Callable 03/15/11 @ $104.88)
|
|
(CCC, Caa2)
|
|
03/15/15
|
|
9.750
|
|
344,641
|
|
1,525
|
|
Young Broadcasting, Inc., Global Company
Guaranteed Notes (Callable 01/15/11 @ $101.46)ø
|
|
(D, NR)
|
|
01/15/14
|
|
8.750
|
|
10,675
|
|
|
|
|
|
|
|
|
|
|
|
4,340,906
|
|
Media - Cable
(6.0%)
|
|
|
|
|
|
|
|
|
|
1,375
|
|
Atlantic Broadband Finance LLC, Global Company
Guaranteed Notes (Callable 01/15/11 @ $101.56)
|
|
(B-, Caa1)
|
|
01/15/14
|
|
9.375
|
|
1,405,937
|
|
731
|
|
CCH II Capital Corp., Global Senior Notes
(Callable 11/30/12 @ $106.75)
|
|
(B, B2)
|
|
11/30/16
|
|
13.500
|
|
882,323
|
|
1,200
|
|
Cequel Capital Corp., Rule 144A, Senior
Unsecured Notes (Callable 11/15/12 @ $106.47)
|
|
(B-, B3)
|
|
11/15/17
|
|
8.625
|
|
1,206,000
|
|
325
|
|
Charter Communications Operating Capital,
Rule 144A, Secured Notes
|
|
(BB-, B1)
|
|
04/30/12
|
|
8.000
|
|
341,250
|
|
275
|
|
Charter Communications Operating Capital,
Rule 144A, Secured Notes
|
|
(BB-, B1)
|
|
09/15/14
|
|
10.875
|
|
309,375
|
|
825
|
|
CSC Holdings Inc., Rule 144A, Senior
Unsecured Notes
|
|
(BB, Ba3)
|
|
04/15/14
|
|
8.500
|
|
878,625
|
|
675
|
|
CSC Holdings, Inc., Rule 144A, Senior
Unsecured Notes
|
|
(BB, Ba3)
|
|
02/15/19
|
|
8.625
|
|
739,125
|
|
275
|
|
CSC Holdings, Inc., Rule 144A, Senior
Unsecured Notes (Callable 06/15/12 @ $104.25)
|
|
(BB, Ba3)
|
|
06/15/15
|
|
8.500
|
|
292,187
|
|
700
|
|
DISH DBS Corp., Global Company Guaranteed Notes
|
|
(BB-, Ba3)
|
|
10/01/14
|
|
6.625
|
|
696,500
|
|
1,650
|
|
DISH DBS Corp., Global Company Guaranteed Notes
|
|
(BB-, Ba3)
|
|
09/01/19
|
|
7.875
|
|
1,711,875
|
|
175
|
|
Mediacom Broadband Corp., Global Senior Unsecured
Notes (Callable 10/15/10 @ $104.25)
|
|
(B-, B3)
|
|
10/15/15
|
|
8.500
|
|
174,563
|
|
850
|
|
Mediacom Capital Corp., Rule 144A, Senior
Notes (Callable 08/15/14 @ $104.56)
|
|
(B-, B3)
|
|
08/15/19
|
|
9.125
|
|
854,250
|
|
|
|
|
|
|
|
|
|
|
|
9,492,010
|
|
Media - Diversified
(0.4%)
|
|
|
|
|
|
|
|
|
|
600
|
|
Block Communications, Inc., Rule 144A,
Senior Notes (Callable 12/15/10 @ $104.13)
|
|
(B, B1)
|
|
12/15/15
|
|
8.250
|
|
597,000
|
|
|
|
|
|
|
|
|
|
|
|
Media - Services
(1.0%)
|
|
|
|
|
|
|
|
|
|
450
|
|
Nielsen Finance Co., Global Company Guaranteed
Notes (Callable 05/01/13 @ $105.75)
|
|
(B-, Caa1)
|
|
05/01/16
|
|
11.500
|
|
506,250
|
|
575
|
|
WMG Acquisition Corp., Global Company Guaranteed
Notes (Callable 04/15/10 @ $102.46)
|
|
(B, B1)
|
|
04/15/14
|
|
7.375
|
|
560,625
|
|
400
|
|
WMG Acquisition Corp., Rule 144A, Senior
Secured Notes (Callable 06/15/13 @ $104.75)
|
|
(BB, Ba2)
|
|
06/15/16
|
|
9.500
|
|
431,000
|
|
|
|
|
|
|
|
|
|
|
|
1,497,875
|
|
Metals & Mining - Excluding Steel
(1.4%)
|
|
|
|
|
|
|
|
|
|
225
|
|
Aleris International, Inc., Global Company
Guaranteed Notes (Callable 12/15/10 @ $104.50)ø
|
|
(D, NR)
|
|
12/15/14
|
|
9.000
|
|
2,813
|
|
1,100
|
|
Aleris International, Inc., Global Company
Guaranteed Notes (Callable 12/15/11 @ $105.00)ø
|
|
(D, NR)
|
|
12/15/16
|
|
10.000
|
|
13,750
|
|
475
|
|
Freeport-McMoRan Copper &
Gold, Inc., Senior Unsecured Notes (Callable 04/01/11 @ $104.13)
|
|
(BBB-, Ba2)
|
|
04/01/15
|
|
8.250
|
|
514,731
|
|
1,507
|
|
Noranda Aluminium Acquisition Corp., Global
Company Guaranteed Notes (Callable 05/15/10 @ $100.00)#
|
|
(D, Caa1)
|
|
05/15/15
|
|
5.274
|
|
1,179,613
|
|
525
|
|
Novelis, Inc., Company Guaranteed Notes
(Callable 08/15/12 @ $108.62)
|
|
(B-, NR)
|
|
02/15/15
|
|
11.500
|
|
570,937
|
|
|
|
|
|
|
|
|
|
|
|
2,281,844
|
|
Oil Field Equipment & Services
(3.1%)
|
|
|
|
|
|
|
|
|
|
550
|
|
Bristow Group, Inc., Global Company Guaranteed
Notes (Callable 09/15/12 @ $103.75)
|
|
(BB, Ba2)
|
|
09/15/17
|
|
7.500
|
|
556,875
|
|
1,025
|
|
Calfrac Holdings LP, Rule 144A, Company
Guaranteed Notes (Callable 02/15/11 @ $103.88)
|
|
(B+, B2)
|
|
02/15/15
|
|
7.750
|
|
1,004,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S. CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Oil Field Equipment & Services
|
|
|
|
|
|
|
|
|
|
$
|
750
|
|
Edgen Murray Corp., Rule 144A, Senior Secured
Notes (Callable 01/15/13 @ $106.13)
|
|
(B, Caa1)
|
|
01/15/15
|
|
12.250
|
|
$
|
720,000
|
|
550
|
|
Helix Energy Solutions Group, Inc.,
Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ $104.75)
|
|
(B, B3)
|
|
01/15/16
|
|
9.500
|
|
566,500
|
|
300
|
|
Hornbeck Offshore Services, Inc.,
Rule 144A, Senior Notes (Callable 09/01/13 @ $104.00)
|
|
(BB-, Ba3)
|
|
09/01/17
|
|
8.000
|
|
304,500
|
|
350
|
|
Hornbeck Offshore Services, Inc.,
Series B, Global Company Guaranteed Notes (Callable 12/01/10 @ $102.04)
|
|
(BB-, Ba3)
|
|
12/01/14
|
|
6.125
|
|
335,125
|
|
450
|
|
Key Energy Services, Inc., Global Company
Guaranteed Notes (Callable 12/01/11 @ $104.19)
|
|
(BB-, B1)
|
|
12/01/14
|
|
8.375
|
|
452,250
|
|
650
|
|
McJunkin Red Man Corp., Rule 144A, Senior
Secured Notes (Callable 12/15/12 @ $107.13)
|
|
(B, B3)
|
|
12/15/16
|
|
9.500
|
|
651,625
|
|
200
|
|
Pride International, Inc., Senior Unsecured
Notes
|
|
(BBB-, Ba1)
|
|
06/15/19
|
|
8.500
|
|
230,000
|
|
|
|
|
|
|
|
|
|
|
|
4,821,375
|
|
Oil Refining & Marketing
(0.4%)
|
|
|
|
|
|
|
|
|
|
750
|
|
Western Refining, Inc., Rule 144A,
Senior Secured Notes (Callable 12/15/11 @ $105.00)#
|
|
(BB-, B3)
|
|
06/15/14
|
|
10.750
|
|
686,250
|
|
|
|
|
|
|
|
|
|
|
|
Packaging
(2.1%)
|
|
|
|
|
|
|
|
|
|
880
|
|
Berry Plastics Corp., Global Secured Notes
(Callable 09/15/10 @ $104.44)
|
|
(CCC, Caa1)
|
|
09/15/14
|
|
8.875
|
|
853,600
|
|
725
|
|
GPC Capital Corp. I, Global Company Guaranteed
Notes (Callable 10/15/10 @ $103.29)
|
|
(CCC+, Caa1)
|
|
10/15/14
|
|
9.875
|
|
749,469
|
|
1,000
|
|
GPC Capital Corp. I, Rule 144A, Senior Notes
(Callable 01/01/14 @ $104.13)
|
|
(CCC+, Caa1)
|
|
01/01/17
|
|
8.250
|
|
1,020,000
|
|
500
|
|
Pregis Corp., Senior Secured Notes, Rule 144A#
|
|
(B+, B2)
|
|
04/15/13
|
|
5.684
|
|
632,428
|
|
|
|
|
|
|
|
|
|
|
|
3,255,497
|
|
Pharmaceuticals
(0.4%)
|
|
|
|
|
|
|
|
|
|
550
|
|
QHP Royalty Sub LLC, Rule 144A, Senior
Secured Notes
|
|
(NR, NR)
|
|
03/15/15
|
|
10.250
|
|
562,310
|
|
|
|
|
|
|
|
|
|
|
|
Printing & Publishing
(2.0%)
|
|
|
|
|
|
|
|
|
|
950
|
|
Cengage Learning Acquisitions, Inc.,
Rule 144A, Senior Notes (Callable 07/15/11 @ $105.25)
|
|
(CCC+, Caa2)
|
|
01/15/15
|
|
10.500
|
|
923,875
|
|
1,000
|
|
Cenveo Corp., Global Senior Subordinated Notes
(Callable 12/01/10 @ $101.31)
|
|
(B-, Caa1)
|
|
12/01/13
|
|
7.875
|
|
960,000
|
|
525
|
|
Cenveo Corp., Rule 144A, Senior Secured Notes
(Callable 02/01/14 @ $104.44)
|
|
(B, B2)
|
|
02/01/18
|
|
8.875
|
|
521,330
|
|
1,800
|
|
The Readers Digest Association, Inc., Global
Company Guaranteed Notes (Callable 02/15/12 @ $104.50)ø
|
|
(D, NR)
|
|
02/15/17
|
|
9.000
|
|
27,180
|
|
785
|
|
Valassis Communications, Inc., Global Company
Guaranteed Notes (Callable 03/01/11 @ $104.13)
|
|
(B-, B3)
|
|
03/01/15
|
|
8.250
|
|
785,000
|
|
|
|
|
|
|
|
|
|
|
|
3,217,385
|
|
Railroads
(0.4%)
|
|
|
|
|
|
|
|
|
|
600
|
|
Kansas City Southern Railway, Company Guaranteed
Notes (Callable 06/01/12 @ $104.00)
|
|
(B+, B2)
|
|
06/01/15
|
|
8.000
|
|
620,250
|
|
|
|
|
|
|
|
|
|
|
|
Restaurants
(0.3%)
|
|
|
|
|
|
|
|
|
|
525
|
|
Dennys Holdings, Inc., Global Company
Guaranteed Notes (Callable 10/01/10 @ $100.00)
|
|
(B-, Caa1)
|
|
10/01/12
|
|
10.000
|
|
538,125
|
|
|
|
|
|
|
|
|
|
|
|
Software/Services
(3.1%)
|
|
|
|
|
|
|
|
|
|
750
|
|
First Data Corp., Global Company Guaranteed Notes
(Callable 09/30/11 @ $104.94)
|
|
(B-, Caa1)
|
|
09/24/15
|
|
9.875
|
|
673,125
|
|
1,050
|
|
SunGard Data Systems, Inc., Global Company
Guaranteed Notes (Callable 08/15/10 @ $105.13)
|
|
(B-, Caa1)
|
|
08/15/15
|
|
10.250
|
|
1,094,625
|
|
525
|
|
Unisys Corp., Rule 144A, Senior Secured Notes
(Callable 10/15/12 @ $106.38)
|
|
(BB-, Ba3)
|
|
10/15/14
|
|
12.750
|
|
611,625
|
|
1,150
|
|
Unisys Corp., Senior Unsecured Notes (Callable
01/15/12 @ $106.25)
|
|
(B, Caa1)
|
|
01/15/16
|
|
12.500
|
|
1,219,000
|
|
1,475
|
|
Vangent, Inc., Global Company Guaranteed
Notes (Callable 02/15/11 @ $104.81)
|
|
(CCC+, Caa2)
|
|
02/15/15
|
|
9.625
|
|
1,371,750
|
|
|
|
|
|
|
|
|
|
|
|
4,970,125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S.
CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Specialty
Retail
(3.2%)
|
|
|
|
|
|
|
|
|
|
$
|
600
|
|
Asbury Automotive Group, Inc., Global Company Guaranteed Notes
(Callable 03/15/12 @ $103.81)
|
|
(B-,
Caa1)
|
|
03/15/17
|
|
7.625
|
|
$
|
576,000
|
|
1,350
|
|
Brookstone Co., Inc., Global Senior Secured Notes (Callable
10/15/10 @ $103.00)
|
|
(CCC-,
Caa3)
|
|
10/15/12
|
|
12.000
|
|
958,500
|
|
490
|
|
Michaels Stores, Inc., Global Company Guaranteed Notes (Callable
11/01/10 @ $105.00)
|
|
(CCC,
Caa2)
|
|
11/01/14
|
|
10.000
|
|
497,350
|
|
645
|
|
Michaels Stores, Inc., Global Company Guaranteed Notes (Callable
11/01/11 @ $105.69)§
|
|
(CCC,
Caa3)
|
|
11/01/16
|
|
11.375
|
|
674,025
|
|
600
|
|
SGS International, Inc., Global Company Guaranteed Notes
(Callable 12/15/10 @ $103.00)
|
|
(B-,
B3)
|
|
12/15/13
|
|
12.000
|
|
631,500
|
|
520
|
|
Susser Finance Corp., Global Company Guaranteed Notes (Callable
12/15/10 @ $102.66)
|
|
(B+,
B3)
|
|
12/15/13
|
|
10.625
|
|
544,050
|
|
600
|
|
The Neiman Marcus Group, Inc., Global Company
Guaranteed Notes (Callable 10/15/10 @ $105.19)§
|
|
(CCC+, Caa3)
|
|
10/15/15
|
|
10.375
|
|
591,000
|
|
460
|
|
Yankee Acquisition Corp., Series B, Global Company Guaranteed
Notes (Callable 02/15/11 @ $104.25)
|
|
(B-,
B3)
|
|
02/15/15
|
|
8.500
|
|
462,300
|
|
|
|
|
|
|
|
|
|
|
|
4,934,725
|
|
Steel
Producers/Products
(1.8%)
|
|
|
|
|
|
|
|
|
|
800
|
|
California Steel Industries, Inc., Global Senior Notes (Callable
03/04/10 @ $103.06)
|
|
(BB-,
B1)
|
|
03/15/14
|
|
6.125
|
|
764,000
|
|
700
|
|
Ryerson, Inc., Global Senior Secured Notes (Callable 11/01/11 @
$106.00)
|
|
(CCC+,
Caa1)
|
|
11/01/15
|
|
12.000
|
|
729,750
|
|
745
|
|
Steel Dynamics, Inc., Global Senior Unsecured Notes (Callable
04/15/12 @ $103.88)
|
|
(BB+,
Ba2)
|
|
04/15/16
|
|
7.750
|
|
765,487
|
|
525
|
|
Tube City IMS Corp., Global Company Guaranteed Notes (Callable 02/01/11
@ $104.88)
|
|
(B-,
Caa1)
|
|
02/01/15
|
|
9.750
|
|
522,375
|
|
|
|
|
|
|
|
|
|
|
|
2,781,612
|
|
Support-Services
(3.8%)
|
|
|
|
|
|
|
|
|
|
800
|
|
Ashtead Capital, Inc., Rule 144A, Secured Notes (Callable
08/15/11 @ $104.50)
|
|
(B+,
B2)
|
|
08/15/16
|
|
9.000
|
|
812,000
|
|
525
|
|
DynCorp International, Series B, Global Senior Subordinated
Notes (Callable 02/15/10 @ $102.38)
|
|
(B+,
B1)
|
|
02/15/13
|
|
9.500
|
|
534,187
|
|
500
|
|
Iron Mountain, Inc., Senior Subordinated Notes (Callable
08/15/14 @ $104.19)
|
|
(B+,
B2)
|
|
08/15/21
|
|
8.375
|
|
521,250
|
|
250
|
|
JohnsonDiversey Holdings, Inc., Rule 144A, Senior Unsecured
Notes (Callable 11/15/14 @ $104.13)
|
|
(B-,
B3)
|
|
11/15/19
|
|
8.250
|
|
260,625
|
|
750
|
|
Mobile Mini, Inc., Global Company Guaranteed Notes (Callable
08/01/10 @ $104.88)
|
|
(B+,
B2)
|
|
08/01/14
|
|
9.750
|
|
783,750
|
|
475
|
|
Sothebys, Global Company Guaranteed Notes
|
|
(B,
B1)
|
|
06/15/15
|
|
7.750
|
|
470,250
|
|
600
|
|
The Hertz Corp., Global Company Guaranteed Notes (Callable 01/01/11 @
$105.25)
|
|
(CCC+,
B3)
|
|
01/01/16
|
|
10.500
|
|
631,500
|
|
1,150
|
|
Travelport LLC, Global Company Guaranteed Notes (Callable 09/01/11 @
$105.94)§
|
|
(CCC,
Caa1)
|
|
09/01/16
|
|
11.875
|
|
1,267,875
|
|
475
|
|
United Rentals North America, Inc., Global Company Guaranteed
Notes (Callable 02/15/10 @ $102.33)
|
|
(CCC+,
Caa1)
|
|
02/15/14
|
|
7.000
|
|
444,719
|
|
300
|
|
United Rentals North America, Inc., Global Company Guaranteed
Notes (Callable 06/15/13 @ $105.44)
|
|
(B,
B3)
|
|
06/15/16
|
|
10.875
|
|
328,875
|
|
|
|
|
|
|
|
|
|
|
|
6,055,031
|
|
Telecom
- Integrated/Services
(5.9%)
|
|
|
|
|
|
|
|
|
|
400
|
|
Cincinnati Bell, Inc., Global Company Guaranteed Notes (Callable
01/15/11 @ $101.40)
|
|
(B-,
B2)
|
|
01/15/14
|
|
8.375
|
|
405,000
|
|
250
|
|
Cincinnati Bell, Inc., Global Company Guaranteed Notes (Callable
02/15/10 @ $103.50)
|
|
(B+,
Ba3)
|
|
02/15/15
|
|
7.000
|
|
244,375
|
|
525
|
|
Frontier Communications Corp., Senior Unsecured Notes
|
|
(BB,
Ba2)
|
|
10/01/18
|
|
8.125
|
|
531,563
|
|
700
|
|
HNS Finance Corp., Global Company Guaranteed Notes (Callable 04/15/10
@ $104.75)
|
|
(B,
B1)
|
|
04/15/14
|
|
9.500
|
|
719,250
|
|
2,075
|
|
Intelsat Corp., Global Senior Unsecured Notes (Callable 08/15/10 @
$103.13)
|
|
(BB-,
B3)
|
|
08/15/14
|
|
9.250
|
|
2,126,875
|
|
1,375
|
|
Level 3 Financing, Inc., Global Company Guaranteed Notes
(Callable 02/15/10 @ $101.00)#
|
|
(CCC,
Caa1)
|
|
02/15/15
|
|
4.601
|
|
1,096,562
|
|
325
|
|
Level 3 Financing, Inc., Rule 144A, Company Guaranteed
Notes (Callable 02/01/14 @ $105.00)
|
|
(CCC,
Caa1)
|
|
02/01/18
|
|
10.000
|
|
305,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S. CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Telecom - Integrated/Services
|
|
|
|
|
|
|
|
|
|
$
|
1,050
|
|
Paetec Holding Corp., Global Company Guaranteed
Notes (Callable 07/15/11 @ $104.75)
|
|
(CCC+, Caa1)
|
|
07/15/15
|
|
9.500
|
|
$
|
1,021,125
|
|
525
|
|
Qwest Communications International, Inc.,
Rule 144A, Company Guaranteed Notes (Callable 10/01/12 @ $104.00)
|
|
(B+, Ba3)
|
|
10/01/15
|
|
8.000
|
|
546,000
|
|
1,250
|
|
Qwest Communications International, Inc.,
Series B, Global Company Guaranteed Notes (Callable 02/15/10 @ $102.50)
|
|
(B+, Ba3)
|
|
02/15/14
|
|
7.500
|
|
1,264,062
|
|
550
|
|
Windstream Corp., Global Company Guaranteed Notes
(Callable 08/01/11 @ $104.31)
|
|
(BB-, Ba3)
|
|
08/01/16
|
|
8.625
|
|
567,188
|
|
550
|
|
Windstream Corp., Rule 144A, Company
Guaranteed Notes
|
|
(BB-, Ba3)
|
|
11/01/17
|
|
7.875
|
|
545,875
|
|
|
|
|
|
|
|
|
|
|
|
9,373,375
|
|
Telecom - Wireless
(4.0%)
|
|
|
|
|
|
|
|
|
|
650
|
|
Cricket Communications, Inc., Global Company
Guaranteed Notes (Callable 11/01/10 @ $104.69)§
|
|
(B-, B3)
|
|
11/01/14
|
|
9.375
|
|
650,000
|
|
250
|
|
Cricket Communications, Inc., Global Senior
Secured Notes (Callable 05/15/12 @ $105.81)
|
|
(B+, Ba2)
|
|
05/15/16
|
|
7.750
|
|
252,812
|
|
1,000
|
|
GeoEye, Inc., Rule 144A, Senior Secured
Notes (Callable 10/01/13 @ $104.81)
|
|
(B, B1)
|
|
10/01/15
|
|
9.625
|
|
1,025,000
|
|
675
|
|
MetroPCS Wireless, Inc., Global Company
Guaranteed Notes (Callable 11/01/10 @ $104.63)
|
|
(B, B3)
|
|
11/01/14
|
|
9.250
|
|
682,594
|
|
2,648
|
|
Nextel Communications, Inc., Series F,
Company Guaranteed Notes (Callable 03/15/10 @ $101.49)
|
|
(BB, Ba2)
|
|
03/15/14
|
|
5.950
|
|
2,356,720
|
|
1,525
|
|
Sprint Nextel Corp., Senior Unsecured Notes
|
|
(BB, Ba3)
|
|
12/01/16
|
|
6.000
|
|
1,334,375
|
|
|
|
|
|
|
|
|
|
|
|
6,301,501
|
|
Textiles & Apparel
(0.4%)
|
|
|
|
|
|
|
|
|
|
550
|
|
Levi Strauss & Co., Global Senior Notes
(Callable 01/15/11 @ $103.25)
|
|
(B+, B2)
|
|
01/15/15
|
|
9.750
|
|
577,500
|
|
|
|
|
|
|
|
|
|
|
|
Theaters & Entertainment
(1.2%)
|
|
|
|
|
|
|
|
|
|
1,125
|
|
AMC Entertainment, Inc., Global Company
Guaranteed Notes (Callable 03/01/10 @ $102.67)
|
|
(CCC+, Caa1)
|
|
03/01/14
|
|
8.000
|
|
1,108,125
|
|
750
|
|
AMC Entertainment, Inc., Global Senior
Unsecured Notes (Callable 06/01/14 @ $104.38)
|
|
(B-, B1)
|
|
06/01/19
|
|
8.750
|
|
780,000
|
|
|
|
|
|
|
|
|
|
|
|
1,888,125
|
|
Tobacco
(0.3%)
|
|
|
|
|
|
|
|
|
|
500
|
|
Alliance One International, Inc.,
Rule 144A, Senior Unsecured Notes (Callable 07/15/13 @ $105.00)
|
|
(B+, B2)
|
|
07/15/16
|
|
10.000
|
|
532,500
|
|
|
|
|
|
|
|
|
|
|
|
Transportation - Excluding Air/Rail
(0.3%)
|
|
|
|
|
|
|
|
|
|
525
|
|
Teekay Corp., Senior Unsecured Notes
|
|
(BB, B1)
|
|
01/15/20
|
|
8.500
|
|
535,500
|
|
TOTAL U.S. CORPORATE BONDS
(Cost $183,004,894)
|
|
|
|
|
|
|
|
176,702,716
|
|
|
|
|
|
|
|
|
|
|
|
FOREIGN CORPORATE BONDS
(11.5%)
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense
(0.3%)
|
|
|
|
|
|
|
|
|
|
400
|
|
Bombardier, Inc., Rule 144A, Senior
Unsecured Notes (Canada)
|
|
(BB+, Ba2)
|
|
05/01/14
|
|
6.300
|
|
404,000
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals
(1.2%)
|
|
|
|
|
|
|
|
|
|
1,150
|
|
Cognis GMBH, Rule 144A, Senior Secured Notes
(Germany)#
|
|
(B-, B2)
|
|
09/15/13
|
|
2.254
|
|
1,092,500
|
|
1,175
|
|
Ineos Group Holdings PLC, Rule 144A, Secured
Notes (Callable 02/15/11 @ $104.25) (United Kingdom)
|
|
(CCC-, Caa3)
|
|
02/15/16
|
|
8.500
|
|
793,125
|
|
|
|
|
|
|
|
|
|
|
|
1,885,625
|
|
Computer Hardware
(0.2%)
|
|
|
|
|
|
|
|
|
|
325
|
|
Seagate Technology International, Rule 144A,
Secured Notes (Callable 05/01/13 @ $105.00) (Cayman Islands)
|
|
(BB+, Ba1)
|
|
05/01/14
|
|
10.000
|
|
373,750
|
|
|
|
|
|
|
|
|
|
|
|
Electronics
(0.5%)
|
|
|
|
|
|
|
|
|
|
650
|
|
Avago Technologies Finance, Global Company
Guaranteed Notes (Callable 12/01/10 @ $105.94) (Singapore)
|
|
(B+, Ba3)
|
|
12/01/15
|
|
11.875
|
|
723,125
|
|
1,000
|
|
New Asat, Ltd., Global Company Guaranteed Notes
(Callable 02/01/10 @ $100.00) (Cayman Islands)ø
|
|
(NR, NR)
|
|
02/01/11
|
|
9.250
|
|
1,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
FOREIGN CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Electronics
|
|
|
|
|
|
|
|
|
|
$
|
50
|
|
NXP Funding LLC, Series EXCH, Global Senior
Secured Notes (Callable 10/15/10 @ $103.94) (Netherlands)
|
|
(CC, C)
|
|
10/15/14
|
|
7.875
|
|
$
|
44,750
|
|
|
|
|
|
|
|
|
|
|
|
769,125
|
|
Energy - Exploration & Production
(0.5%)
|
|
|
|
|
|
|
|
|
|
875
|
|
OPTI Canada, Inc., Global Senior Secured
Notes (Callable 12/15/10 @ $104.13) (Canada)
|
|
(B, Caa3)
|
|
12/15/14
|
|
8.250
|
|
774,375
|
|
|
|
|
|
|
|
|
|
|
|
Environmental
(0.4%)
|
|
|
|
|
|
|
|
|
|
650
|
|
Waste Services, Inc., Global Senior
Subordinated Notes (Callable 04/15/10 @ $103.17) (Canada)
|
|
(B-, Caa1)
|
|
04/15/14
|
|
9.500
|
|
676,000
|
|
|
|
|
|
|
|
|
|
|
|
Forestry & Paper
(1.4%)
|
|
|
|
|
|
|
|
|
|
2,325
|
|
Abitibi-Consolidated Co. of Canada, Global Company
Guaranteed Notes (Canada)ø
|
|
(NR, NR)
|
|
06/15/11
|
|
7.750
|
|
511,500
|
|
500
|
|
Smurfit Kappa Acquisitions, Rule 144A, Senior
Secured Notes (Callable 11/15/13 @ $103.63) (Ireland)
|
|
(BB, Ba2)
|
|
11/15/17
|
|
7.250
|
|
691,500
|
|
1,000
|
|
Smurfit Kappa Funding PLC, Global Senior Subordinated
Notes (Callable 03/04/10 @ $103.88) (Ireland)
|
|
(B, B2)
|
|
04/01/15
|
|
7.750
|
|
980,000
|
|
|
|
|
|
|
|
|
|
|
|
2,183,000
|
|
Gaming
(1.0%)
|
|
|
|
|
|
|
|
|
|
600
|
|
Codere Finance Luxembourg SA, Rule 144A,
Senior Secured Notes (Callable 06/15/10 @ $104.13) (Luxembourg)
|
|
(B, B2)
|
|
06/15/15
|
|
8.250
|
|
759,956
|
|
600
|
|
Peermont Global Proprietary, Ltd., Rule 144A,
Senior Secured Notes (Callable 04/30/10 @ $105.81) (South Africa)
|
|
(B, B3)
|
|
04/30/14
|
|
7.750
|
|
752,658
|
|
|
|
|
|
|
|
|
|
|
|
1,512,614
|
|
Media - Cable
(0.9%)
|
|
|
|
|
|
|
|
|
|
325
|
|
Unitymedia GmbH, Rule 144A, Senior Secured
Notes (Callable 02/15/10 @ $105.06) (Germany)
|
|
(B+, B2)
|
|
02/15/15
|
|
10.125
|
|
477,708
|
|
200
|
|
UPC Germany GmbH, Rule 144A, Senior Secured
Notes (Callable 12/01/12 @ $108.22) (Germany)
|
|
(BB-, B1)
|
|
12/01/17
|
|
8.125
|
|
284,940
|
|
86
|
|
Virgin Media Finance PLC, Global Company
Guaranteed Notes (Callable 04/15/10 @ $103.25) (United Kingdom)
|
|
(B, B2)
|
|
04/15/14
|
|
9.750
|
|
143,730
|
|
150
|
|
Virgin Media Finance PLC, Global Company
Guaranteed Notes (Callable 08/15/11 @ $104.56) (United Kingdom)
|
|
(B, B2)
|
|
08/15/16
|
|
9.125
|
|
156,750
|
|
300
|
|
Virgin Media Finance PLC, Global Company
Guaranteed Notes (Callable 10/15/14 @ $104.19) (United Kingdom)
|
|
(B, B2)
|
|
10/15/19
|
|
8.375
|
|
309,000
|
|
|
|
|
|
|
|
|
|
|
|
1,372,128
|
|
Media - Diversified
(0.4%)
|
|
|
|
|
|
|
|
|
|
600
|
|
Quebecor Media, Inc., Global Senior Unsecured
Notes (Callable 03/15/11 @ $103.88) (Canada)
|
|
(B, B2)
|
|
03/15/16
|
|
7.750
|
|
603,000
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining - Excluding Steel
(1.1%)
|
|
|
|
|
|
|
|
|
|
200
|
|
Teck Resources, Ltd., Global Senior Secured Notes
(Callable 05/15/13 @ $105.13) (Canada)
|
|
(BB+, Ba2)
|
|
05/15/16
|
|
10.250
|
|
229,500
|
|
875
|
|
Teck Resources, Ltd., Global Senior Secured Notes
(Callable 05/15/14 @ $105.38) (Canada)
|
|
(BB+, Ba2)
|
|
05/15/19
|
|
10.750
|
|
1,034,688
|
|
450
|
|
Teck Resources, Ltd., Global Senior Secured Notes
(Canada)
|
|
(BB+, Ba2)
|
|
05/15/14
|
|
9.750
|
|
516,375
|
|
|
|
|
|
|
|
|
|
|
|
1,780,563
|
|
Oil Field Equipment & Services
(0.3%)
|
|
|
|
|
|
|
|
|
|
475
|
|
Cie Generale de Geophysique-Veritas, Global
Company Guaranteed Notes (Callable 05/15/10 @ $103.75) (France)
|
|
(BB, Ba3)
|
|
05/15/15
|
|
7.500
|
|
473,813
|
|
|
|
|
|
|
|
|
|
|
|
Packaging
(0.2%)
|
|
|
|
|
|
|
|
|
|
275
|
|
Impress Holdings BV, Rule 144A, Company
Guaranteed Notes (Callable 09/15/10 @ $104.63) (Netherlands)
|
|
(NR, NR)
|
|
09/15/14
|
|
9.250
|
|
398,481
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
FOREIGN CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Telecom - Integrated/Services
(1.2%)
|
|
|
|
|
|
|
|
|
|
$
|
1,507
|
|
Global Crossing UK Finance PLC, Global Senior
Secured Notes (Callable 12/15/10 @ $103.58) (United Kingdom)
|
|
(B-, B3)
|
|
12/15/14
|
|
10.750
|
|
$
|
1,554,094
|
|
550
|
|
Hellas Telecommunications II SCA, Rule 144A,
Subordinated Notes (Luxembourg)#ø
|
|
(NR, C)
|
|
01/15/15
|
|
6.034
|
|
19,250
|
|
350
|
|
Intelsat Jackson Holdings Ltd. Rule 144A
(Bermuda)
|
|
(B+, B3)
|
|
11/01/19
|
|
8.500
|
|
359,625
|
|
25
|
|
Intelsat Subsidiary Holding Co., Ltd., Global
Company Guaranteed Notes (Callable 01/15/11 @ $102.96) (Bermuda)
|
|
(B+, B3)
|
|
01/15/15
|
|
8.875
|
|
25,750
|
|
|
|
|
|
|
|
|
|
|
|
1,958,719
|
|
Telecom - Wireless
(0.4%)
|
|
|
|
|
|
|
|
|
|
400
|
|
Wind Acquisition Finance SA, Rule 144A,
Company Guaranteed Notes (Callable 07/15/13 @ $105.88) (Luxembourg)
|
|
(B+, B2)
|
|
07/15/17
|
|
11.750
|
|
599,069
|
|
|
|
|
|
|
|
|
|
|
|
Textiles & Apparel
(0.0%)
|
|
|
|
|
|
|
|
|
|
75
|
|
IT Holding Finance SA, Rule 144A, Company
Guaranteed Notes (Luxembourg)ø
|
|
(NR, NR)
|
|
11/15/12
|
|
9.875
|
|
18,764
|
|
|
|
|
|
|
|
|
|
|
|
Transportation - Excluding Air/Rail
(1.5%)
|
|
|
|
|
|
|
|
|
|
1,250
|
|
Navios Maritime Holdings, Inc., Global
Company Guaranteed Notes (Callable 12/15/10 @ $104.75) (Marshall Islands)
|
|
(B+, B3)
|
|
12/15/14
|
|
9.500
|
|
1,248,437
|
|
1,075
|
|
Ship Finance International, Ltd., Global Company
Guaranteed Notes (Callable 12/15/10 @ $102.83) (Bermuda)
|
|
(B+, B1)
|
|
12/15/13
|
|
8.500
|
|
1,054,844
|
|
|
|
|
|
|
|
|
|
|
|
2,303,281
|
|
TOTAL FOREIGN CORPORATE BONDS
(Cost $19,873,055)
|
|
|
|
|
|
|
|
18,086,307
|
|
|
|
|
|
|
|
|
|
|
|
BANK LOANS
(1.8%)
|
|
|
|
|
|
|
|
|
|
Electronics
(0.6%)
|
|
|
|
|
|
|
|
|
|
1,069
|
|
AVAYA, Inc.
|
|
(NR, NR)
|
|
10/24/14
|
|
2.750
|
|
957,496
|
|
|
|
|
|
|
|
|
|
|
|
Energy - Exploration & Production
(0.7%)
|
|
|
|
|
|
|
|
|
|
1,159
|
|
ATP Oil & Gas
|
|
(NR, NR)
|
|
07/15/14
|
|
5.750
|
|
1,161,817
|
|
|
|
|
|
|
|
|
|
|
|
Gaming
(0.3%)
|
|
|
|
|
|
|
|
|
|
489
|
|
CCM Merger, Inc.
|
|
(NR, NR)
|
|
07/21/12
|
|
8.500
|
|
481,938
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals
(0.2%)
|
|
|
|
|
|
|
|
|
|
434
|
|
Nycomed Holdings Aps
|
|
(NR, NR)
|
|
12/29/13
|
|
7.350
|
|
403,197
|
|
TOTAL BANK LOANS
(Cost $2,484,207)
|
|
|
|
|
|
|
|
3,004,448
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
Shares
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
COMMON
STOCKS
(0.4%)
|
|
|
|
|
|
|
|
|
|
Banks
(0.3%)
|
|
|
|
|
|
|
|
|
|
13,710
|
|
CIT
Group, Inc.*
|
|
|
|
|
|
|
|
436,252
|
|
Building Products
(0.0%)
|
|
|
|
|
|
|
|
|
|
437
|
|
Nortek, Inc.*
|
|
|
|
|
|
|
|
17,043
|
|
Chemicals
(0.1%)
|
|
|
|
|
|
|
|
|
|
4,893
|
|
Huntsman
Corp.
|
|
|
|
|
|
|
|
59,646
|
|
Printing &
Publishing
(0.0%)
|
|
|
|
|
|
|
|
|
|
1,321
|
|
SuperMedia, Inc.*§
|
|
|
|
|
|
|
|
47,965
|
|
TOTAL
COMMON STOCKS
(Cost $1,849,547)
|
|
|
|
|
|
|
|
560,906
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PREFERRED
STOCKS
(0.2%)
|
|
|
|
|
|
|
|
|
|
Banks
(0.2%)
|
|
|
|
|
|
|
|
|
|
473
|
|
GMAC, Inc.,
Rule 144A (Callable 12/31/11 @ $1,000)
|
|
|
|
|
|
338,077
|
|
Media
- Broadcast
(0.0%)
|
|
|
|
|
|
|
|
|
|
17,257
|
|
CMP
Susquehanna Radio Holdings Corp., Rule 144A, Series A*
|
|
|
|
|
|
17
|
|
TOTAL PREFERRED STOCKS
(Cost
$98,995)
|
|
|
|
|
|
|
|
338,094
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
Shares
|
|
|
|
|
|
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WARRANTS
(0.0%)
|
|
|
|
|
|
|
|
|
|
Building Products
(0.0%)
|
|
|
|
|
|
|
|
|
|
1,152
|
|
Nortek, Inc.,
strike price $1.00, expires 12/07/14*^
|
|
|
|
|
|
|
|
$
|
1,152
|
|
Diversified
Financial Services
(0.0%)
|
|
|
|
|
|
|
|
|
|
19,721
|
|
CNB
Capital Trust I, Rule 144A, strike price $0.00, expires 03/23/19*
|
|
|
|
|
|
20
|
|
Media
- Cable
(0.0%)
|
|
|
|
|
|
|
|
|
|
1,776
|
|
Charter
Communications, Inc., strike price $5.00, expires 11/30/14*
|
|
|
|
|
|
12,476
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL
WARRANTS
(Cost $10,032)
|
|
|
|
|
|
|
|
13,648
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM
INVESTMENT
(5.8%)
|
|
|
|
|
|
|
|
|
|
9,201,582
|
|
State
Street Navigator Prime Portfolio§§ (Cost $9,201,582)
|
|
|
|
|
|
9,201,582
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL
INVESTMENTS AT VALUE
(131.6%) (Cost
$216,522,312)
|
|
|
|
|
|
207,907,701
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES
IN EXCESS OF OTHER ASSETS
(-31.6%)
|
|
|
|
|
|
|
|
(49,957,126
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
NET
ASSETS
(100.0%)
|
|
|
|
|
|
|
|
$
|
157,950,575
|
|
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
|
|
USD
|
|
5,461,840
|
|
EUR
|
|
3,768,000
|
|
04/15/10
|
|
$
|
(5,461,840
|
)
|
$
|
(5,236,367
|
)
|
$
|
225,473
|
|
USD
|
|
146,923
|
|
GBP
|
|
90,000
|
|
04/15/10
|
|
(146,923
|
)
|
(144,141
|
)
|
2,782
|
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
228,255
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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, 2010, these
securities amounted to a value of $53,578,874 or 33.9% of net assets.
|
#
|
Variable
rate obligations The interest rate is the rate as of January 31, 2010.
|
+
|
Step
Bond The interest rate is as of January 31, 2010 and will reset at a
future date.
|
ø
|
Bond
is currently in default.
|
*
|
Non-income
producing security.
|
^
|
Not
readily marketable security; security is valued at fair value as determined
in good faith by, or under the direction of, the Board of Trustees.
|
§
|
Security
or portion thereof is out on loan.
|
§§
|
Represents
security purchased with cash collateral received for securities on loan.
|
|
|
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 (the Valuation Time). If no sales are
reported, equity investments are generally valued at the most recent bid
quotation as of the Valuation Time or at the lowest asked quotation in the case
of a short sale of securities. 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 the
direction of, the Board of Trustees under procedures established by the Board
of Trustees.
At
January 31, 2010, the Fund held less than 0.01% of its net assets in securities
valued at fair value as determined in good faith under procedures established
by the Board of Trustees with an aggregate cost of $1,152 and fair value of
$1,152. 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.
In
accordance with the authoritative guidance on fair value measurements and
disclosures under accounting principles generally accepted in the United States
of America (GAAP), the Fund discloses the fair value of its investments in a
hierarchy that prioritizes the inputs to valuation techniques used to measure
the fair value. In accordance with GAAP, fair value is defined as the price
that the Fund would receive upon selling an investment in a timely transaction
to an independent buyer in the principal or most advantageous market of the
investment. GAAP established a three-tier hierarchy to maximize the use of
observable market data and minimize the use of unobservable inputs and to establish
classification of fair value measurements for disclosure purposes. Inputs refer
broadly to the assumptions that market participants would use in pricing the
asset or liability, including assumptions about risk, for example, the risk
inherent in a particular valuation technique used to measure fair value
including such a pricing model and/or the risk inherent in the inputs to the
valuation technique. Inputs may be observable or unobservable. Observable
inputs are inputs that reflect the
assumptions market
participants would use in pricing the asset or liability developed based on
market data obtained from sources independent of the reporting entity.
Unobservable inputs are inputs that reflect the reporting 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, 2010 in
valuing the Funds investments carried at value:
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Grand Total
|
|
Investments In Securities
|
|
|
|
|
|
|
|
|
|
U.S. Corporate Bonds
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense
|
|
$
|
|
|
$
|
1,614,000
|
|
$
|
|
|
$
|
1,614,000
|
|
Auto Loans
|
|
|
|
4,510,853
|
|
|
|
4,510,853
|
|
Auto Parts & Equipment
|
|
|
|
3,811,367
|
|
|
|
3,811,367
|
|
Banks
|
|
|
|
5,800,093
|
|
|
|
5,800,093
|
|
Beverages
|
|
|
|
787,250
|
|
|
|
787,250
|
|
Building & Construction
|
|
|
|
2,336,850
|
|
|
|
2,336,850
|
|
Building Materials
|
|
|
|
4,965,162
|
|
|
|
4,965,162
|
|
Chemicals
|
|
|
|
5,740,392
|
|
|
|
5,740,392
|
|
Computer Hardware
|
|
|
|
794,063
|
|
|
|
794,063
|
|
Consumer Products
|
|
|
|
1,674,313
|
|
|
|
1,674,313
|
|
Diversified Capital Goods
|
|
|
|
6,355,687
|
|
|
|
6,355,687
|
|
Electric - Generation
|
|
|
|
9,063,734
|
|
|
|
9,063,734
|
|
Electric - Integrated
|
|
|
|
1,964,125
|
|
|
|
1,964,125
|
|
Electronics
|
|
|
|
2,925,187
|
|
|
|
2,925,187
|
|
Energy - Exploration & Production
|
|
|
|
10,688,938
|
|
|
|
10,688,938
|
|
Environmental
|
|
|
|
381,500
|
|
|
|
381,500
|
|
Food & Drug Retailers
|
|
|
|
1,484,063
|
|
|
|
1,484,063
|
|
Food - Wholesale
|
|
|
|
2,019,219
|
|
|
|
2,019,219
|
|
Forestry & Paper
|
|
|
|
5,130,269
|
|
|
|
5,130,269
|
|
Gaming
|
|
|
|
11,100,944
|
|
|
|
11,100,944
|
|
Gas Distribution
|
|
|
|
5,218,885
|
|
|
|
5,218,885
|
|
Health Facilities
|
|
|
|
11,336,237
|
|
|
|
11,336,237
|
|
Health Services
|
|
|
|
2,153,938
|
|
|
|
2,153,938
|
|
Hotels
|
|
|
|
1,998,063
|
|
|
|
1,998,063
|
|
Household & Leisure Products
|
|
|
|
453,938
|
|
|
|
453,938
|
|
Investments & Misc. Financial Services
|
|
|
|
651,000
|
|
|
|
651,000
|
|
Leisure
|
|
|
|
415,450
|
|
|
|
415,450
|
|
Machinery
|
|
|
|
1,466,375
|
|
|
|
1,466,375
|
|
Media - Broadcast
|
|
|
|
4,340,906
|
|
|
|
4,340,906
|
|
Media - Cable
|
|
|
|
9,492,010
|
|
|
|
9,492,010
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media - Diversified
|
|
|
|
597,000
|
|
|
|
597,000
|
|
Media - Services
|
|
|
|
1,497,875
|
|
|
|
1,497,875
|
|
Metals & Mining - Excluding Steel
|
|
|
|
2,281,844
|
|
|
|
2,281,844
|
|
Oil Field Equipment & Services
|
|
|
|
4,821,375
|
|
|
|
4,821,375
|
|
Oil Refining & Marketing
|
|
|
|
686,250
|
|
|
|
686,250
|
|
Packaging
|
|
|
|
3,255,497
|
|
|
|
3,255,497
|
|
Pharmaceuticals
|
|
|
|
562,310
|
|
|
|
562,310
|
|
Printing & Publishing
|
|
|
|
3,217,385
|
|
|
|
3,217,385
|
|
Railroads
|
|
|
|
620,250
|
|
|
|
620,250
|
|
Restaurants
|
|
|
|
538,125
|
|
|
|
538,125
|
|
Software/Services
|
|
|
|
4,970,125
|
|
|
|
4,970,125
|
|
Specialty Retail
|
|
|
|
4,934,725
|
|
|
|
4,934,725
|
|
Steel Producers/Products
|
|
|
|
2,781,612
|
|
|
|
2,781,612
|
|
Support-Services
|
|
|
|
6,055,031
|
|
|
|
6,055,031
|
|
Telecom - Integrated/Services
|
|
|
|
9,373,375
|
|
|
|
9,373,375
|
|
Telecom - Wireless
|
|
|
|
6,301,501
|
|
|
|
6,301,501
|
|
Textiles & Apparel
|
|
|
|
577,500
|
|
|
|
577,500
|
|
Theaters & Entertainment
|
|
|
|
1,888,125
|
|
|
|
1,888,125
|
|
Tobacco
|
|
|
|
532,500
|
|
|
|
532,500
|
|
Transportation - Excluding Air/Rail
|
|
|
|
535,500
|
|
|
|
535,500
|
|
Foreign Corporate Bonds
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense
|
|
|
|
404,000
|
|
|
|
404,000
|
|
Chemicals
|
|
|
|
1,885,625
|
|
|
|
1,885,625
|
|
Computer Hardware
|
|
|
|
373,750
|
|
|
|
373,750
|
|
Electronics
|
|
|
|
769,125
|
|
|
|
769,125
|
|
Energy - Exploration & Production
|
|
|
|
774,375
|
|
|
|
774,375
|
|
Environmental
|
|
|
|
676,000
|
|
|
|
676,000
|
|
Forestry & Paper
|
|
|
|
2,183,000
|
|
|
|
2,183,000
|
|
Gaming
|
|
|
|
1,512,614
|
|
|
|
1,512,614
|
|
Media - Cable
|
|
|
|
1,372,128
|
|
|
|
1,372,128
|
|
Media - Diversified
|
|
|
|
603,000
|
|
|
|
603,000
|
|
Metals & Mining - Excluding Steel
|
|
|
|
1,780,563
|
|
|
|
1,780,563
|
|
Oil Field Equipment & Services
|
|
|
|
473,813
|
|
|
|
473,813
|
|
Packaging
|
|
|
|
398,481
|
|
|
|
398,481
|
|
Telecom - Integrated/Services
|
|
|
|
1,958,719
|
|
|
|
1,958,719
|
|
Telecom - Wireless
|
|
|
|
599,069
|
|
|
|
599,069
|
|
Textiles & Apparel
|
|
|
|
18,764
|
|
|
|
18,764
|
|
Transportation - Excluding Air/Rail
|
|
|
|
2,303,281
|
|
|
|
2,303,281
|
|
Bank Loans
|
|
|
|
|
|
|
|
|
|
Electronics
|
|
|
|
957,496
|
|
|
|
957,496
|
|
Energy - Exploration & Production
|
|
|
|
1,161,817
|
|
|
|
1,161,817
|
|
Gaming
|
|
|
|
481,938
|
|
|
|
481,938
|
|
Pharmaceuticals
|
|
|
|
403,197
|
|
|
|
403,197
|
|
Common Stocks
|
|
|
|
|
|
|
|
|
|
Banks
|
|
436,252
|
|
|
|
|
|
436,252
|
|
Building Products
|
|
17,043
|
|
|
|
|
|
17,043
|
|
Chemicals
|
|
59,646
|
|
|
|
|
|
59,646
|
|
Printing & Publishing
|
|
47,965
|
|
|
|
|
|
47,965
|
|
Preferred Stocks
|
|
|
|
|
|
|
|
|
|
Banks
|
|
|
|
338,077
|
|
|
|
338,077
|
|
Media - Broadcast
|
|
|
|
17
|
|
|
|
17
|
|
Warrants
|
|
|
|
|
|
|
|
|
|
Building Products
|
|
|
|
|
|
1,152
|
|
1,152
|
|
Diversified Financial Services
|
|
|
|
20
|
|
|
|
20
|
|
Media - Cable
|
|
12,476
|
|
|
|
|
|
12,476
|
|
Short-Term Investments
|
|
9,201,582
|
|
|
|
|
|
9,201,582
|
|
Other Financial Instruments
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Contracts
|
|
|
|
228,255
|
|
|
|
228,255
|
|
|
|
$
|
9,774,964
|
|
$
|
198,359,840
|
|
$
|
1,152
|
|
$
|
208,135,956
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*Other
financial instruments include futures, forwards and swap contracts.
As of January 31, 2010, the amounts shown by the Fund as being Level 3
securities that were measured at fair value amounted to less than 0.01% of net
assets.
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
$216,522,312, $11,522,905, $(20,137,516) and $(8,614,611) respectively.
Other
information regarding the Fund is available in the 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/John G. Popp
|
|
Name:
|
John G. Popp
|
|
Title:
|
Chief Executive Officer
|
|
Date:
|
March 18, 2010
|
|
Pursuant to the
requirements of the Securities Exchange Act of 1934 and the Investment Company
Act of 1940, this report has been signed below by the following persons on
behalf of the registrant and in the capacities and on the dates indicated.
/s/John G. Popp
|
|
Name:
|
John G. Popp
|
|
Title:
|
Chief Executive Officer
|
|
Date:
|
March 18, 2010
|
|
/s/Michael A. Pignataro
|
|
Name:
|
Michael A. Pignataro
|
|
Title:
|
Chief Financial Officer
|
|
Date:
|
March 18, 2010
|
|
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