- Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (N-Q)
September 14 2010 - 10:33AM
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)
|
|
John G. Popp
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:
|
May 1, 2010
to July 31, 2010
|
|
|
|
|
|
|
|
|
Item 1: Schedule
of Investments
Credit Suisse High Yield Bond Fund
Schedule of Investments
July 31, 2010 (unaudited)
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S. CORPORATE BONDS
(116.0%)
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense
(1.0%)
|
|
|
|
|
|
|
|
|
|
$
|
575
|
|
BE
Aerospace, Inc., Senior Unsecured Notes (Callable 07/01/13 @ $104.25)
|
|
(BB,
Ba3)
|
|
07/01/18
|
|
8.500
|
|
$
|
626,750
|
|
550
|
|
Hawker
Beechcraft Notes Co., Global Company Guaranteed Notes (Callable 04/01/11 @
$104.25)§
|
|
(CCC-,
Caa3)
|
|
04/01/15
|
|
8.500
|
|
445,500
|
|
825
|
|
Hawker
Beechcraft Notes Co., Global Company Guaranteed Notes (Callable 04/01/12 @
$104.88)
|
|
(CCC-,
Ca)
|
|
04/01/17
|
|
9.750
|
|
515,625
|
|
|
|
|
|
|
|
|
|
|
|
1,587,875
|
|
Auto Loans
(2.5%)
|
|
|
|
|
|
|
|
|
|
1,960
|
|
Ford
Motor Credit Co., LLC, Global Senior Unsecured Notes
|
|
(B-,
Ba3)
|
|
10/01/13
|
|
7.000
|
|
2,041,895
|
|
1,875
|
|
Ford
Motor Credit Co., LLC, Senior Unsecured Notes
|
|
(B-,
Ba3)
|
|
12/15/16
|
|
8.000
|
|
2,003,878
|
|
|
|
|
|
|
|
|
|
|
|
4,045,773
|
|
Auto Parts & Equipment
(3.6%)
|
|
|
|
|
|
|
|
|
|
275
|
|
Accuride
Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @
$104.75)
|
|
(B,
B2)
|
|
08/01/18
|
|
9.500
|
|
281,875
|
|
350
|
|
American
Axle & Manufacturing Holdings, Inc., Rule 144A, Senior
Secured Notes (Callable 01/15/14 @ $104.63)
|
|
(B,
B1)
|
|
01/15/17
|
|
9.250
|
|
378,875
|
|
775
|
|
American
Axle & Manufacturing, Inc., Company Guaranteed Notes (Callable
03/01/12 @ $103.94)
|
|
(CCC,
Caa2)
|
|
03/01/17
|
|
7.875
|
|
724,625
|
|
1,200
|
|
American
Tire Distributors, Inc., Rule 144A, Senior Secured Notes (Callable
06/01/13 @ $107.31)
|
|
(CCC+,
B2)
|
|
06/01/17
|
|
9.750
|
|
1,257,000
|
|
875
|
|
ArvinMeritor, Inc.,
Company Guaranteed Notes (Callable 03/15/14 @ $105.31)
|
|
(CCC,
Caa1)
|
|
03/15/18
|
|
10.625
|
|
958,125
|
|
1,325
|
|
Stanadyne
Corp., Series 1, Global Senior Subordinated Notes (Callable 08/15/10 @
$103.33)
|
|
(CCC,
Caa1)
|
|
08/15/14
|
|
10.000
|
|
1,252,125
|
|
848
|
|
The
Goodyear Tire & Rubber Co., Global Company Guaranteed Notes
(Callable 07/01/11 @ $103.00)
|
|
(B+,
B1)
|
|
07/01/15
|
|
9.000
|
|
890,400
|
|
50
|
|
The
Goodyear Tire & Rubber Co., Senior Unsecured Notes (Callable
05/15/12 @ $107.88)
|
|
(B+,
B1)
|
|
05/15/16
|
|
10.500
|
|
56,250
|
|
|
|
|
|
|
|
|
|
|
|
5,799,275
|
|
Banks
(3.2%)
|
|
|
|
|
|
|
|
|
|
2,190
|
|
Ally
Financial, Inc., Global Company Guaranteed Notes
|
|
(B,
B3)
|
|
03/02/11
|
|
7.250
|
|
2,222,850
|
|
744
|
|
Ally
Financial, Inc., Global Company Guaranteed Notes
|
|
(B,
B3)
|
|
04/01/11
|
|
6.000
|
|
752,370
|
|
119
|
|
Ally
Financial, Inc., Global Subordinated Notes
|
|
(CCC+,
B3)
|
|
12/31/18
|
|
8.000
|
|
116,174
|
|
1,500
|
|
Ally
Financial, Inc., Rule 144A, Company Guaranteed Notes
|
|
(B,
B3)
|
|
02/12/15
|
|
8.300
|
|
1,582,500
|
|
525
|
|
Ally
Financial, Inc., Rule 144A, Company Guaranteed Notes
|
|
(B,
B3)
|
|
03/15/20
|
|
8.000
|
|
542,718
|
|
|
|
|
|
|
|
|
|
|
|
5,216,612
|
|
Beverages
(0.4%)
|
|
|
|
|
|
|
|
|
|
675
|
|
Constellation
Brands, Inc., Company Guaranteed Notes
|
|
(BB,
Ba3)
|
|
09/01/16
|
|
7.250
|
|
707,063
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Building & Construction
(1.0%)
|
|
|
|
|
|
|
|
|
|
741
|
|
Ashton
Woods Finance Co., Rule 144A, Company Guaranteed Notes (Callable
02/24/14 @ $105.50)+
|
|
(NR,
NR)
|
|
06/30/15
|
|
0.000
|
|
429,780
|
|
600
|
|
K
Hovnanian Enterprises, Inc., Global Company Guaranteed Notes
|
|
(CCC-,
Caa2)
|
|
01/15/16
|
|
6.250
|
|
430,500
|
|
1,000
|
|
William
Lyon Homes, Inc., Company Guaranteed Notes (Callable 04/01/11 @ $101.79)
|
|
(CC,
Caa3)
|
|
04/01/13
|
|
10.750
|
|
835,000
|
|
|
|
|
|
|
|
|
|
|
|
1,695,280
|
|
Building Materials
(3.6%)
|
|
|
|
|
|
|
|
|
|
1,075
|
|
AMH
Holdings Inc., Global Senior Discount Notes (Callable 03/01/11 @ $101.88)
|
|
(CCC,
Caa2)
|
|
03/01/14
|
|
11.250
|
|
1,107,250
|
|
1,285
|
|
CPG
International I, Inc., Global Company Guaranteed Notes (Callable
07/01/11 @ $100.00)
|
|
(B-,
Caa1)
|
|
07/01/13
|
|
10.500
|
|
1,304,275
|
|
500
|
|
Dayton
Superior Corp., Company Guaranteed Notesø^
|
|
(NR,
NR)
|
|
06/15/09
|
|
13.000
|
|
0
|
|
1,325
|
|
Headwaters, Inc.,
Global Senior Secured Notes (Callable 11/01/12 @ $105.69)
|
|
(B+,
B2)
|
|
11/01/14
|
|
11.375
|
|
1,351,500
|
|
1,125
|
|
International
Wire Group, Inc., Rule 144A, Senior Secured Notes (Callable
10/15/12 @ $104.88)
|
|
(B,
B3)
|
|
04/15/15
|
|
9.750
|
|
1,136,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S. CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Building Materials
|
|
|
|
|
|
|
|
|
|
$
|
114
|
|
Norcraft
Capital Corp., Global Senior Discount Notes (Callable 09/01/10 @ $100.00)
|
|
(CCC,
Caa1)
|
|
09/01/12
|
|
9.750
|
|
$
|
107,302
|
|
775
|
|
Norcraft
Finance Corp., Global Senior Secured Notes (Callable 12/15/12 @ $105.25)
|
|
(B-,
B2)
|
|
12/15/15
|
|
10.500
|
|
817,625
|
|
|
|
|
|
|
|
|
|
|
|
5,824,202
|
|
Chemicals
(2.7%)
|
|
|
|
|
|
|
|
|
|
550
|
|
CF
Industries, Inc., Company Guaranteed Notes
|
|
(BB+,
B1)
|
|
05/01/20
|
|
7.125
|
|
588,500
|
|
300
|
|
LBI
Escrow Corp., Rule 144A, Senior Secured Notes (Callable 05/01/13 @
$106.00)
|
|
(BB,
Ba3)
|
|
11/01/17
|
|
8.000
|
|
316,125
|
|
250
|
|
Momentive
Performance Materials, Inc., Global Company Guaranteed Notes (Callable
12/01/10 @ $104.88)§
|
|
(CCC-,
Caa2)
|
|
12/01/14
|
|
9.750
|
|
254,062
|
|
701
|
|
Momentive
Performance Materials, Inc., Global Company Guaranteed Notes (Callable
12/15/11 @ $106.25)§
|
|
(CCC-,
B3)
|
|
06/15/14
|
|
12.500
|
|
797,120
|
|
350
|
|
Nalco
Co., Global Company Guaranteed Notes (Callable 11/15/10 @ $101.48)
|
|
(B,
B2)
|
|
11/15/13
|
|
8.875
|
|
360,062
|
|
275
|
|
Nalco
Co., Global Company Guaranteed Notes (Callable 11/15/10 @ $101.50)
|
|
(B,
B2)
|
|
11/15/13
|
|
9.000
|
|
367,227
|
|
575
|
|
Nalco
Finance Holdings, Inc., Global Senior Discount Notes (Callable 02/01/11
@ $101.50)
|
|
(B,
B2)
|
|
02/01/14
|
|
9.000
|
|
592,969
|
|
1,175
|
|
Reichhold
Industries, Inc., Rule 144A, Senior Notes (Callable 08/15/10 @
$104.50)
|
|
(CCC+,
Caa2)
|
|
08/15/14
|
|
9.000
|
|
1,069,250
|
|
|
|
|
|
|
|
|
|
|
|
4,345,315
|
|
Computer Hardware
(0.7%)
|
|
|
|
|
|
|
|
|
|
1,225
|
|
Activant
Solutions, Inc., Global Company Guaranteed Notes (Callable 05/01/11 @
$104.75)
|
|
(CCC,
Caa1)
|
|
05/01/16
|
|
9.500
|
|
1,194,375
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Products
(1.5%)
|
|
|
|
|
|
|
|
|
|
950
|
|
AAC
Group Holding Corp., Rule 144A, Senior Discount Notes (Callable 10/01/10
@ $100.00)
|
|
(CCC,
NR)
|
|
10/01/12
|
|
10.250
|
|
940,500
|
|
375
|
|
Prestige
Brands, Inc., Rule 144A, Company Guaranteed Notes (Callable
04/01/14 @ $104.13)
|
|
(B+,
B3)
|
|
04/01/18
|
|
8.250
|
|
386,250
|
|
1,100
|
|
Spectrum
Brands Holdings, Inc., Rule 144A, Secured Notes (Callable 06/15/14
@ $104.75)
|
|
(B,
B2)
|
|
06/15/18
|
|
9.500
|
|
1,161,875
|
|
|
|
|
|
|
|
|
|
|
|
2,488,625
|
|
Consumer/Commercial/Lease Financing
(3.4%)
|
|
|
|
|
|
|
|
|
|
159
|
|
CIT
Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00)
|
|
(B+,
B3)
|
|
05/01/13
|
|
7.000
|
|
158,486
|
|
239
|
|
CIT
Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00)
|
|
(B+,
B3)
|
|
05/01/14
|
|
7.000
|
|
233,547
|
|
839
|
|
CIT
Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00)
|
|
(B+,
B3)
|
|
05/01/15
|
|
7.000
|
|
812,707
|
|
398
|
|
CIT
Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00)
|
|
(B+,
B3)
|
|
05/01/16
|
|
7.000
|
|
381,281
|
|
557
|
|
CIT
Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00)
|
|
(B+,
B3)
|
|
05/01/17
|
|
7.000
|
|
528,220
|
|
1,300
|
|
International
Lease Finance Corp., Rule 144A, Senior Unsecured Notes
|
|
(BB+,
B1)
|
|
09/15/15
|
|
8.625
|
|
1,326,000
|
|
675
|
|
International
Lease Finance Corp., Rule 144A, Senior Unsecured Notes
|
|
(BB+,
B1)
|
|
03/15/17
|
|
8.750
|
|
690,187
|
|
100
|
|
International
Lease Finance Corp., Series MTN, Senior Unsecured Notes
|
|
(BB+,
B1)
|
|
06/01/14
|
|
5.650
|
|
93,750
|
|
1,300
|
|
Provident
Funding Associates, Rule 144A, Senior Secured Notes (Callable 04/15/14 @
$105.13)
|
|
(B+,
Ba3)
|
|
04/15/17
|
|
10.250
|
|
1,332,500
|
|
|
|
|
|
|
|
|
|
|
|
5,556,678
|
|
Department Stores
(0.4%)
|
|
|
|
|
|
|
|
|
|
600
|
|
The
Neiman Marcus Group, Inc., Global Company Guaranteed Notes (Callable
10/15/10 @ $105.19)§
|
|
(CCC+,
Caa2)
|
|
10/15/15
|
|
10.375
|
|
628,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Capital Goods
(3.3%)
|
|
|
|
|
|
|
|
|
|
450
|
|
Belden, Inc.,
Global Company Guaranteed Notes (Callable 03/15/12 @ $103.50)
|
|
(B+,
Ba2)
|
|
03/15/17
|
|
7.000
|
|
452,250
|
|
625
|
|
Belden, Inc.,
Rule 144A, Company Guaranteed Notes (Callable 06/15/14 @ $104.62)
|
|
(B+,
Ba2)
|
|
06/15/19
|
|
9.250
|
|
679,688
|
|
800
|
|
Coleman
Cable, Inc., Global Company Guaranteed Notes (Callable 02/15/14 @
$104.50)
|
|
(B,
B3)
|
|
02/15/18
|
|
9.000
|
|
804,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S. CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Diversified Capital Goods
|
|
|
|
|
|
|
|
|
|
$
|
925
|
|
Esco
Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/10 @
$100.00)#
|
|
(B,
B2)
|
|
12/15/13
|
|
4.412
|
|
$
|
852,156
|
|
950
|
|
Mueller
Water Products, Inc., Global Company Guaranteed Notes (Callable 06/01/12
@ $103.69)
|
|
(B-,
B3)
|
|
06/01/17
|
|
7.375
|
|
870,437
|
|
425
|
|
Sensus
USA Systems, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @
$101.44)
|
|
(B-,
B3)
|
|
12/15/13
|
|
8.625
|
|
424,469
|
|
600
|
|
Titan
International, Inc., Global Company Guaranteed Notes
|
|
(B-,
B2)
|
|
01/15/12
|
|
8.000
|
|
627,000
|
|
600
|
|
TriMas
Corp., Rule 144A, Senior Secured Notes (Callable 12/15/13 @ $104.88)
|
|
(B-,
Caa1)
|
|
12/15/17
|
|
9.750
|
|
615,750
|
|
|
|
|
|
|
|
|
|
|
|
5,325,750
|
|
Electric - Generation
(6.2%)
|
|
|
|
|
|
|
|
|
|
1,050
|
|
Calpine
Corp., Rule 144A, Senior Secured Notes (Callable 07/31/15 @ $103.94)
|
|
(B+,
B1)
|
|
07/31/20
|
|
7.875
|
|
1,065,750
|
|
1,275
|
|
Dynegy
Holdings, Inc., Global Senior Unsecured Notes§
|
|
(B-,
B3)
|
|
05/01/16
|
|
8.375
|
|
1,026,375
|
|
1,475
|
|
Edison
Mission Energy, Global Senior Unsecured Notes
|
|
(B-,
B3)
|
|
05/15/17
|
|
7.000
|
|
1,010,375
|
|
675
|
|
Edison
Mission Energy, Global Senior Unsecured Notes
|
|
(B-,
B3)
|
|
05/15/19
|
|
7.200
|
|
459,000
|
|
1,175
|
|
Mirant
Americas Generation LLC, Senior Unsecured Notes
|
|
(B-,
B3)
|
|
10/01/21
|
|
8.500
|
|
1,122,125
|
|
447
|
|
Mirant
Mid Atlantic Trust, Series B, Global Pass Thru Certificates
|
|
(BB,
Ba1)
|
|
06/30/17
|
|
9.125
|
|
465,154
|
|
350
|
|
NRG
Energy, Inc., Company Guaranteed Notes (Callable 01/15/12 @ $103.69)
|
|
(BB-,
B1)
|
|
01/15/17
|
|
7.375
|
|
355,250
|
|
550
|
|
NRG
Energy, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.69)
|
|
(BB-,
B1)
|
|
02/01/16
|
|
7.375
|
|
562,375
|
|
625
|
|
NRG
Energy, Inc., Company Guaranteed Notes (Callable 06/15/14 @ $104.25)
|
|
(BB-,
B1)
|
|
06/15/19
|
|
8.500
|
|
659,375
|
|
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
|
|
2,514,375
|
|
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
|
|
793,125
|
|
|
|
|
|
|
|
|
|
|
|
10,033,279
|
|
Electric - Integrated
(1.2%)
|
|
|
|
|
|
|
|
|
|
550
|
|
The
AES Corp., Global Senior Unsecured Notes
|
|
(BB-,
B1)
|
|
04/15/16
|
|
9.750
|
|
620,125
|
|
1,000
|
|
The
AES Corp., Global Senior Unsecured Notes
|
|
(BB-,
B1)
|
|
10/15/17
|
|
8.000
|
|
1,066,250
|
|
175
|
|
The
AES Corp., Senior Unsecured Notes
|
|
(BB-,
B1)
|
|
03/01/14
|
|
7.750
|
|
183,750
|
|
|
|
|
|
|
|
|
|
|
|
1,870,125
|
|
Electronics
(1.1%)
|
|
|
|
|
|
|
|
|
|
1,075
|
|
Freescale
Semiconductor, Inc., Rule 144A, Senior Secured Notes (Callable
03/15/14 @ $105.06)
|
|
(B-,
B2)
|
|
03/15/18
|
|
10.125
|
|
1,150,250
|
|
575
|
|
Sanmina-SCI
Corp., Company Guaranteed Notes (Callable 03/01/11 @ $104.06)
|
|
(CCC+,
B2)
|
|
03/01/16
|
|
8.125
|
|
587,938
|
|
|
|
|
|
|
|
|
|
|
|
1,738,188
|
|
Energy - Exploration & Production
(4.9%)
|
|
|
|
|
|
|
|
|
|
500
|
|
Berry
Petroleum Co., Senior Subordinated Notes (Callable 11/01/11 @ $104.13)
|
|
(B,
B3)
|
|
11/01/16
|
|
8.250
|
|
506,250
|
|
300
|
|
Chesapeake
Energy Corp., Company Guaranteed Notes
|
|
(BB,
Ba3)
|
|
12/15/18
|
|
7.250
|
|
318,750
|
|
1,000
|
|
Comstock
Resources, Inc., Company Guaranteed Notes (Callable 10/15/13 @ $104.19)
|
|
(B,
B2)
|
|
10/15/17
|
|
8.375
|
|
1,035,000
|
|
575
|
|
Denbury
Resources, Inc., Company Guaranteed Notes (Callable 03/01/13 @ $104.88)
|
|
(BB,
B1)
|
|
03/01/16
|
|
9.750
|
|
636,094
|
|
450
|
|
Forest
Oil Corp., Global Company Guaranteed Notes (Callable 06/15/12 @ $103.63)
|
|
(B+,
B1)
|
|
06/15/19
|
|
7.250
|
|
457,875
|
|
525
|
|
Hilcorp
Financial Co., Rule 144A, Senior Unsecured Notes (Callable 06/01/11 @
$104.50)
|
|
(BB-,
B2)
|
|
06/01/16
|
|
9.000
|
|
556,500
|
|
475
|
|
Penn
Virginia Corp., Senior Notes (Callable 06/15/13 @ $105.19)
|
|
(BB-,
B2)
|
|
06/15/16
|
|
10.375
|
|
524,875
|
|
950
|
|
PetroHawk
Energy Corp., Global Company Guaranteed Notes (Callable 06/01/12 @ $103.94)
|
|
(B,
B3)
|
|
06/01/15
|
|
7.875
|
|
988,000
|
|
475
|
|
Pioneer
Natural Resources Co., Senior Unsecured Notes
|
|
(BB+,
Ba1)
|
|
01/15/20
|
|
7.500
|
|
513,722
|
|
625
|
|
Plains
Exploration & Production Co., Company Guaranteed Notes (Callable
06/15/11 @ $103.88)
|
|
(BB-,
B1)
|
|
06/15/15
|
|
7.750
|
|
637,500
|
|
425
|
|
Stone
Energy Corp., Company Guaranteed Notes (Callable 02/01/14 @ $104.31)
|
|
(BB-,
Caa1)
|
|
02/01/17
|
|
8.625
|
|
405,344
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S. CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Energy - Exploration & Production
|
|
|
|
|
|
|
|
|
|
$
|
525
|
|
Stone
Energy Corp., Global Senior Subordinated Notes (Callable 12/15/10 @ $102.25)
|
|
(B-,
Caa2)
|
|
12/15/14
|
|
6.750
|
|
$
|
467,250
|
|
475
|
|
Swift
Energy Co., Company Guaranteed Notes (Callable 06/01/12 @ $103.56)
|
|
(BB-,
B3)
|
|
06/01/17
|
|
7.125
|
|
458,375
|
|
450
|
|
Whiting
Petroleum Corp., Global Company Guaranteed Notes
|
|
(BB,
B1)
|
|
02/01/14
|
|
7.000
|
|
470,812
|
|
|
|
|
|
|
|
|
|
|
|
7,976,347
|
|
Environmental
(0.7%)
|
|
|
|
|
|
|
|
|
|
1,100
|
|
Casella
Waste Systems, Inc., Global Senior Secured Notes (Callable 07/15/12 @
$105.50)
|
|
(B+,
B2)
|
|
07/15/14
|
|
11.000
|
|
1,205,875
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Drug Retailers
(0.7%)
|
|
|
|
|
|
|
|
|
|
725
|
|
Rite
Aid Corp., Global Company Guaranteed Notes (Callable 06/15/11 @ $104.69)
|
|
(CCC,
Caa3)
|
|
12/15/15
|
|
9.375
|
|
610,812
|
|
475
|
|
Rite
Aid Corp., Global Senior Secured Notes (Callable 06/12/13 @ $104.88)
|
|
(B+,
B3)
|
|
06/12/16
|
|
9.750
|
|
513,594
|
|
|
|
|
|
|
|
|
|
|
|
1,124,406
|
|
Food - Wholesale
(1.0%)
|
|
|
|
|
|
|
|
|
|
450
|
|
Michael
Foods, Inc., Rule 144A, Senior Notes (Callable 07/15/14 @ 104.88)
|
|
(B-,
Caa1)
|
|
07/15/18
|
|
9.750
|
|
474,750
|
|
1,200
|
|
Southern
States Cooperative, Inc., Rule 144A, Senior Notes (Callable
05/15/13 @ $105.63)
|
|
(B+,
B3)
|
|
05/15/15
|
|
11.250
|
|
1,206,000
|
|
|
|
|
|
|
|
|
|
|
|
1,680,750
|
|
Forestry & Paper
(3.0%)
|
|
|
|
|
|
|
|
|
|
728
|
|
Boise
Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/10 @ $102.38)
|
|
(B+,
Caa1)
|
|
10/15/14
|
|
7.125
|
|
687,960
|
|
750
|
|
Georgia-Pacific
Corp., Global Senior Notes
|
|
(BB,
Ba3)
|
|
01/15/24
|
|
8.000
|
|
821,250
|
|
300
|
|
Georgia-Pacific
LLC Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ $103.56)
|
|
(BB+,
Ba2)
|
|
01/15/17
|
|
7.125
|
|
313,875
|
|
300
|
|
Georgia-Pacific
LLC Rule 144A, Company Guaranteed Notes (Callable 05/01/13 @ $104.13)
|
|
(BB+,
Ba2)
|
|
05/01/16
|
|
8.250
|
|
327,000
|
|
550
|
|
NewPage Corp.,
Global Secured Notes (Callable 05/01/11 @ $100.00)§
|
|
(CCC-,
Caa2)
|
|
05/01/12
|
|
10.000
|
|
313,500
|
|
1,300
|
|
NewPage Corp.,
Global Senior Secured Notes (Callable 03/31/12 @ $105.00)§
|
|
(CCC+,
B2)
|
|
12/31/14
|
|
11.375
|
|
1,210,625
|
|
1,125
|
|
Verso
Paper, Inc., Series B, Global Company Guaranteed Notes (Callable
08/01/11 @ $105.69)§
|
|
(CCC+,
Caa1)
|
|
08/01/16
|
|
11.375
|
|
1,043,437
|
|
75
|
|
Verso
Paper, Inc., Series B, Global Senior Secured Notes (Callable
08/01/10 @ $104.56)§
|
|
(B,
B2)
|
|
08/01/14
|
|
9.125
|
|
75,375
|
|
|
|
|
|
|
|
|
|
|
|
4,793,022
|
|
Gaming
(7.3%)
|
|
|
|
|
|
|
|
|
|
775
|
|
Buffalo
Thunder Development Authority, Rule 144A, Senior Secured Notes (Callable
12/15/10 @ $104.69)ø
|
|
(NR,
NR)
|
|
12/15/14
|
|
9.375
|
|
143,375
|
|
1,225
|
|
CCM
Merger, Inc., Rule 144A, Notes (Callable 08/01/10 @ $102.00)
|
|
(CCC+,
Caa3)
|
|
08/01/13
|
|
8.000
|
|
1,133,125
|
|
280
|
|
Choctaw
Resort Development Enterprise, Rule 144A, Senior Notes (Callable
11/15/11 @ $103.63)
|
|
(B,
B2)
|
|
11/15/19
|
|
7.250
|
|
193,550
|
|
575
|
|
FireKeepers
Development Authority, Rule 144A, Senior Secured Notes (Callable
05/01/12 @ $110.50)
|
|
(B+,
B2)
|
|
05/01/15
|
|
13.875
|
|
675,625
|
|
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
|
|
4,688
|
|
1,700
|
|
Greektown
Superholdings, Inc., Rule 144A, Senior Secured Notes (Callable
01/01/13 @ $106.50)
|
|
(NR,
NR)
|
|
07/01/15
|
|
13.000
|
|
1,870,000
|
|
850
|
|
Harrahs
Operating Co., Inc., Global Senior Secured Notes (Callable 06/01/13 @
$105.63)
|
|
(B,
Caa1)
|
|
06/01/17
|
|
11.250
|
|
922,250
|
|
750
|
|
Inn
of the Mountain Gods Resort & Casino, Global Company Guaranteed
Notesø
|
|
(D,
Ca)
|
|
11/15/10
|
|
12.000
|
|
326,250
|
|
1,525
|
|
Jacobs
Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/15/11
@ $102.44)
|
|
(B-,
Caa1)
|
|
06/15/14
|
|
9.750
|
|
1,406,812
|
|
950
|
|
Majestic
Star Casino Capital Corp., Senior Secured Notesø
|
|
(NR,
NR)
|
|
10/15/10
|
|
9.500
|
|
548,625
|
|
1,275
|
|
Mashantucket
Western Pequot Tribe, Rule 144A, Bonds (Callable 11/15/11 @ $104.25)ø
|
|
(D,
NR)
|
|
11/15/15
|
|
8.500
|
|
223,125
|
|
675
|
|
MGM
Mirage, Inc., Global Company Guaranteed Notes§
|
|
(CCC+,
Caa1)
|
|
04/01/16
|
|
6.875
|
|
555,187
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S. CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Gaming
|
|
|
|
|
|
|
|
|
|
$
|
675
|
|
MGM
Resorts International, Global Senior Secured Notes (Callable 05/15/13 @
$105.56)
|
|
(B,
B1)
|
|
11/15/17
|
|
11.125
|
|
$
|
769,500
|
|
1,200
|
|
MTR
Gaming Group, Inc., Global Secured Notes (Callable 07/15/11 @ $106.31)
|
|
(B,
B2)
|
|
07/15/14
|
|
12.625
|
|
1,263,000
|
|
950
|
|
Peninsula
Gaming LLC, Global Company Guaranteed Notes (Callable 08/15/13 @ $105.38)
|
|
(B,
B3)
|
|
08/15/17
|
|
10.750
|
|
992,750
|
|
670
|
|
Tropicana
Finance Corp., Global Senior Subordinated Notes (Callable 12/15/10 @
$104.81)ø
|
|
(NR,
NR)
|
|
12/15/14
|
|
9.625
|
|
1,307
|
|
775
|
|
Turning
Stone Resort Casino Enterprise, Rule 144A, Senior Unsecured Notes
(Callable 09/15/10 @ $104.56)
|
|
(B+,
B1)
|
|
09/15/14
|
|
9.125
|
|
791,469
|
|
|
|
|
|
|
|
|
|
|
|
11,820,638
|
|
Gas Distribution
(3.0%)
|
|
|
|
|
|
|
|
|
|
525
|
|
Amerigas
Partners LP, Global Senior Unsecured Notes (Callable 05/20/11 @ $102.42)
|
|
(NR,
Ba3)
|
|
05/20/15
|
|
7.250
|
|
544,688
|
|
375
|
|
El
Paso Corp., Senior Unsecured Notes
|
|
(BB-,
Ba3)
|
|
02/15/16
|
|
8.250
|
|
409,688
|
|
400
|
|
El
Paso Corp., Senior Unsecured Notes
|
|
(BB-,
Ba3)
|
|
06/01/18
|
|
7.250
|
|
426,232
|
|
900
|
|
El
Paso Performance-Linked Trust, Rule 144A, Senior Unsecured Notes
|
|
(NR,
Ba3)
|
|
07/15/11
|
|
7.750
|
|
938,487
|
|
425
|
|
Inergy
Finance Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13)
|
|
(B+,
B1)
|
|
03/01/16
|
|
8.250
|
|
448,375
|
|
275
|
|
Inergy
Finance Corp., Global Company Guaranteed Notes (Callable 12/15/10 @ $102.29)
|
|
(B+,
B1)
|
|
12/15/14
|
|
6.875
|
|
277,750
|
|
550
|
|
MarkWest
Energy Finance Corp., Series B, Global Company Guaranteed Notes
(Callable 04/15/13 @ $104.38)
|
|
(BB-,
B1)
|
|
04/15/18
|
|
8.750
|
|
594,687
|
|
625
|
|
Targa
Resources Partners Finance Corp., Global Company Guaranteed Notes (Callable
07/01/12 @ $104.13)
|
|
(B+,
B2)
|
|
07/01/16
|
|
8.250
|
|
656,250
|
|
500
|
|
The
Williams Cos., Inc., Series A, Global Senior Unsecured Notes
|
|
(BB+,
Baa3)
|
|
01/15/31
|
|
7.500
|
|
568,294
|
|
|
|
|
|
|
|
|
|
|
|
4,864,451
|
|
Health Facilities
(6.5%)
|
|
|
|
|
|
|
|
|
|
975
|
|
Alere
Inc., Company Guaranteed Notes (Callable 05/15/13 @ $104.50)
|
|
(B-,
B3)
|
|
05/15/16
|
|
9.000
|
|
994,500
|
|
545
|
|
Bausch &
Lomb, Inc., Global Senior Unsecured Notes (Callable 11/01/11 @ $104.94)
|
|
(B,
Caa1)
|
|
11/01/15
|
|
9.875
|
|
577,700
|
|
300
|
|
Biomet, Inc.,
Global Company Guaranteed Notes (Callable 10/15/12 @ $105.00)
|
|
(B-,
B3)
|
|
10/15/17
|
|
10.000
|
|
333,750
|
|
120
|
|
Biomet, Inc.,
Global Company Guaranteed Notes (Callable 10/15/12 @ $105.81)
|
|
(B-,
Caa1)
|
|
10/15/17
|
|
11.625
|
|
135,150
|
|
650
|
|
Community
Health Systems, Inc., Global Company Guaranteed Notes (Callable 07/15/11
@ $104.44)
|
|
(B,
B3)
|
|
07/15/15
|
|
8.875
|
|
682,500
|
|
2,350
|
|
HCA, Inc.,
Global Secured Notes (Callable 11/15/11 @ $104.63)
|
|
(BB-,
B2)
|
|
11/15/16
|
|
9.250
|
|
2,543,875
|
|
725
|
|
HCA, Inc.,
Global Senior Secured Notes (Callable 08/15/14 @ $103.94)
|
|
(BB,
Ba3)
|
|
02/15/20
|
|
7.875
|
|
790,250
|
|
675
|
|
HCA, Inc.,
Global Senior Unsecured Notes
|
|
(B-,
Caa1)
|
|
01/15/15
|
|
6.375
|
|
663,187
|
|
525
|
|
Omega
Healthcare Investors, Inc., Global Company Guaranteed Notes (Callable
01/15/11 @ $103.50)
|
|
(BB+,
Ba3)
|
|
01/15/16
|
|
7.000
|
|
535,500
|
|
500
|
|
Omega
Healthcare Investors, Inc., Global Company Guaranteed Notes (Callable
04/01/11 @ $101.17)
|
|
(BB+,
Ba3)
|
|
04/01/14
|
|
7.000
|
|
509,375
|
|
625
|
|
Radiation
Therapy Services, Inc., Rule 144A, Senior Subordinated Notes
(Callable 04/15/14 @ $104.94)
|
|
(CCC+,
Caa1)
|
|
04/15/17
|
|
9.875
|
|
623,437
|
|
925
|
|
Tenet
Healthcare Corp., Rule 144A, Senior Secured Notes (Callable 07/01/14 @ $ 104.44)
|
|
(BB-,
B1)
|
|
07/01/19
|
|
8.875
|
|
1,022,125
|
|
175
|
|
Universal
Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/11
@ $100.00)#
|
|
(B+,
B3)
|
|
06/01/15
|
|
4.134
|
|
150,500
|
|
275
|
|
Universal
Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/11
@ $101.00)
|
|
(B+,
B3)
|
|
06/01/15
|
|
8.500
|
|
279,813
|
|
634
|
|
VWR
Funding, Inc., Series B, Global Company Guaranteed Notes (Callable
07/15/11 @ $105.13)
|
|
(B-,
Caa1)
|
|
07/15/15
|
|
10.250
|
|
657,516
|
|
|
|
|
|
|
|
|
|
|
|
10,499,178
|
|
Health Services
(2.4%)
|
|
|
|
|
|
|
|
|
|
550
|
|
PharmaNet
Development Group, Inc., Rule 144A, Senior Secured Notes (Callable
04/15/14 @105.44)
|
|
(B+,
B3)
|
|
04/15/17
|
|
10.875
|
|
550,000
|
|
1,000
|
|
Quintiles
Transnational Corp., Rule 144A, Senior Notes (Callable 12/30/11 @
$102.00)
|
|
(B,
B3)
|
|
12/30/14
|
|
9.500
|
|
1,025,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S. CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Health Services
|
|
|
|
|
|
|
|
|
|
$
|
1,375
|
|
Rural/Metro
Corp., Global Senior Discount Notes (Callable 03/15/11 @ $104.25)
|
|
(B,
Caa1)
|
|
03/15/16
|
|
12.750
|
|
$
|
1,471,250
|
|
400
|
|
Service
Corp. International, Global Senior Unsecured Notes
|
|
(BB-,
B1)
|
|
10/01/18
|
|
7.625
|
|
420,000
|
|
425
|
|
Service
Corp. International, Senior Unsecured Notes
|
|
(BB-,
B1)
|
|
11/15/21
|
|
8.000
|
|
445,187
|
|
|
|
|
|
|
|
|
|
|
|
3,911,437
|
|
Hotels
(0.8%)
|
|
|
|
|
|
|
|
|
|
725
|
|
Felcor
Lodging LP, Global Senior Secured Notes§
|
|
(NR,
B2)
|
|
10/01/14
|
|
10.000
|
|
775,750
|
|
525
|
|
Host
Hotels & Resorts LP, Global Company Guaranteed Notes (Callable
05/15/13 @ $104.50)§
|
|
(BB+,
Ba1)
|
|
05/15/17
|
|
9.000
|
|
578,813
|
|
|
|
|
|
|
|
|
|
|
|
1,354,563
|
|
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
|
|
454,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
lnvestments & Misc. Financial Services
(0.4%)
|
|
|
|
|
|
|
|
|
|
600
|
|
SSI
Co-Issuer LLC, Rule 144A, Senior Unsecured Notes (Callable 06/01/14 @
$105.56)
|
|
(B-,
Caa1)
|
|
06/01/18
|
|
11.125
|
|
633,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Leisure
(0.3%)
|
|
|
|
|
|
|
|
|
|
400
|
|
Magnum
Management Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/14
@ $104.56)
|
|
(B-,
B2)
|
|
08/01/18
|
|
9.125
|
|
409,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery
(1.3%)
|
|
|
|
|
|
|
|
|
|
650
|
|
Baldor
Electric Co., Company Guaranteed Notes (Callable 02/15/12 @ $104.31)
|
|
(B,
B3)
|
|
02/15/17
|
|
8.625
|
|
692,250
|
|
550
|
|
Cleaver-Brooks, Inc.,
Rule 144A, Senior Secured Notes (Callable 05/01/13 @ $106.13)
|
|
(B,
B2)
|
|
05/01/16
|
|
12.250
|
|
545,875
|
|
525
|
|
CPM
Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 09/01/12
@ $105.31)
|
|
(B+,
B2)
|
|
09/01/14
|
|
10.625
|
|
569,625
|
|
250
|
|
Terex
Corp., Senior Subordinated Notes (Callable 11/15/12 @ $104.00)
|
|
(B,
Caa1)
|
|
11/15/17
|
|
8.000
|
|
243,750
|
|
|
|
|
|
|
|
|
|
|
|
2,051,500
|
|
Media - Broadcast
(2.2%)
|
|
|
|
|
|
|
|
|
|
795
|
|
Barrington
Broadcasting Capital Corp., Global Company Guaranteed Notes (Callable
08/15/10 @ $105.25)
|
|
(CCC-,
Caa2)
|
|
08/15/14
|
|
10.500
|
|
779,100
|
|
1,175
|
|
Clear
Channel Communications, Inc., Senior Unsecured Notes
|
|
(CCC-,
Ca)
|
|
09/15/14
|
|
5.500
|
|
699,125
|
|
74
|
|
CMP
Susquehanna Corp., Global Company Guranteed Notes
|
|
(NR,
NR)
|
|
05/15/14
|
|
3.272
|
|
51,800
|
|
550
|
|
Fisher
Communications, Inc., Global Company Guaranteed Notes (Callable 09/15/10
@ $102.88)
|
|
(B-,
B2)
|
|
09/15/14
|
|
8.625
|
|
550,000
|
|
695
|
|
Local
TV Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 06/15/11 @
$104.63)
|
|
(CCC,
Caa2)
|
|
06/15/15
|
|
9.250
|
|
604,280
|
|
925
|
|
Mission
Broadcasting, Inc., Rule 144A, Senior Secured Notes (Callable
04/15/14 @ $104.44)
|
|
(B-,
B3)
|
|
04/15/17
|
|
8.875
|
|
957,375
|
|
1,525
|
|
Young
Broadcasting, Inc., Global Company Guaranteed Notes (Callable 01/15/11 @
$101.46)ø
|
|
(NR,
NR)
|
|
01/15/14
|
|
8.750
|
|
15
|
|
|
|
|
|
|
|
|
|
|
|
3,641,695
|
|
Media - Cable
(7.1%)
|
|
|
|
|
|
|
|
|
|
1,375
|
|
Atlantic
Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/11 @
$101.56)
|
|
(B-,
B3)
|
|
01/15/14
|
|
9.375
|
|
1,395,625
|
|
200
|
|
Cablevision
Systems Corp., Senior Unsecured Notes
|
|
(B+,
B1)
|
|
04/15/18
|
|
7.750
|
|
209,500
|
|
1,150
|
|
Cablevision
Systems Corp., Senior Unsecured Notes
|
|
(B+,
B1)
|
|
04/15/20
|
|
8.000
|
|
1,221,875
|
|
731
|
|
CCH
II Capital Corp., Global Senior Notes (Callable 11/30/12 @ $106.75)§
|
|
(B,
B2)
|
|
11/30/16
|
|
13.500
|
|
871,362
|
|
1,925
|
|
CCO
Holdings Capital Corp., Rule 144A, Company Guaranteed Notes (Callable
04/30/15 @ $104.06)
|
|
(B,
B2)
|
|
04/30/20
|
|
8.125
|
|
2,045,312
|
|
850
|
|
Cequel
Capital Corp., Rule 144A, Senior Unsecured Notes (Callable 11/15/12 @
$106.47)
|
|
(B-,
B3)
|
|
11/15/17
|
|
8.625
|
|
871,250
|
|
675
|
|
CSC
Holdings LLC, Global Senior Unsecured Notes
|
|
(BB,
Ba3)
|
|
02/15/19
|
|
8.625
|
|
740,813
|
|
1,500
|
|
DISH
DBS Corp., Global Company Guaranteed Notes
|
|
(BB-,
Ba3)
|
|
09/01/19
|
|
7.875
|
|
1,601,250
|
|
1,425
|
|
Insight
Communications Co., Inc., Rule 144A, Senior Notes (Callable
07/15/13 @ $107.03)
|
|
(B-,
B3)
|
|
07/15/18
|
|
9.375
|
|
1,514,062
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S. CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Media - Cable
|
|
|
|
|
|
|
|
|
|
$
|
175
|
|
Mediacom
Broadband Corp., Global Senior Unsecured Notes (Callable 10/15/10 @ $104.25)
|
|
(B-,
B3)
|
|
10/15/15
|
|
8.500
|
|
$
|
177,188
|
|
850
|
|
Mediacom
Capital Corp., Global Unsecured Notes (Callable 08/15/14 @ $104.56)
|
|
(B-,
B3)
|
|
08/15/19
|
|
9.125
|
|
867,000
|
|
|
|
|
|
|
|
|
|
|
|
11,515,237
|
|
Media - Diversified
(1.4%)
|
|
|
|
|
|
|
|
|
|
2,225
|
|
Block
Communications, Inc., Rule 144A, Senior Notes (Callable 12/15/10 @
$104.13)
|
|
(B,
B1)
|
|
12/15/15
|
|
8.250
|
|
2,219,438
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media - Services
(2.0%)
|
|
|
|
|
|
|
|
|
|
975
|
|
Clear
Channel Worldwide Holdings, Inc., Rule 144A, Company Guaranteed
Notes (Callable 12/15/12 @ $106.94)
|
|
(B,
B2)
|
|
12/15/17
|
|
9.250
|
|
1,026,625
|
|
450
|
|
Nielsen
Finance Co., Global Company Guaranteed Notes (Callable 05/01/13 @ $105.75)
|
|
(B-,
Caa1)
|
|
05/01/16
|
|
11.500
|
|
507,375
|
|
600
|
|
SGS
International, Inc., Global Company Guaranteed Notes (Callable 12/15/10
@ $103.00)
|
|
(B-,
B3)
|
|
12/15/13
|
|
12.000
|
|
618,000
|
|
575
|
|
WMG
Acquisition Corp., Global Company Guaranteed Notes (Callable 04/15/11 @
$101.23)
|
|
(B,
B1)
|
|
04/15/14
|
|
7.375
|
|
569,250
|
|
400
|
|
WMG
Acquisition Corp., Global Senior Secured Notes (Callable 06/15/13 @ $104.75)
|
|
(BB,
Ba2)
|
|
06/15/16
|
|
9.500
|
|
437,000
|
|
|
|
|
|
|
|
|
|
|
|
3,158,250
|
|
Metals & Mining - Excluding Steel
(0.8%)
|
|
|
|
|
|
|
|
|
|
225
|
|
Aleris
International, Inc., Global Company Guaranteed Notes (Callable 12/15/10
@ $104.50)ø
|
|
(NR,
NR)
|
|
12/15/14
|
|
9.000
|
|
653
|
|
1,100
|
|
Aleris
International, Inc., Global Company Guaranteed Notes (Callable 12/15/11
@ $105.00)ø
|
|
(NR,
NR)
|
|
12/15/16
|
|
10.000
|
|
3,190
|
|
1,547
|
|
Noranda
Aluminium Acquisition Corp., Global Company Guaranteed Notes#
|
|
(CCC+,
B3)
|
|
05/15/15
|
|
5.373
|
|
1,233,930
|
|
|
|
|
|
|
|
|
|
|
|
1,237,773
|
|
Oil Field Equipment & Services
(4.3%)
|
|
|
|
|
|
|
|
|
|
550
|
|
Bristow
Group, Inc., Global Company Guaranteed Notes (Callable 09/15/12 @
$103.75)
|
|
(BB,
Ba2)
|
|
09/15/17
|
|
7.500
|
|
550,000
|
|
1,025
|
|
Calfrac
Holdings LP, Rule 144A, Company Guaranteed Notes (Callable 02/15/11 @
$103.88)
|
|
(NR,
B2)
|
|
02/15/15
|
|
7.750
|
|
1,019,875
|
|
1,125
|
|
Edgen
Murray Corp., Rule 144A, Senior Secured Notes (Callable 01/15/13 @
$106.13)
|
|
(B,
Caa2)
|
|
01/15/15
|
|
12.250
|
|
947,812
|
|
550
|
|
Helix
Energy Solutions Group, Inc., Rule 144A, Company Guaranteed Notes
(Callable 01/15/12 @ $104.75)
|
|
(B,
B3)
|
|
01/15/16
|
|
9.500
|
|
536,250
|
|
300
|
|
Hornbeck
Offshore Services, Inc., Global Company Guaranteed Notes (Callable
09/01/13 @ $104.00)
|
|
(B+,
Ba3)
|
|
09/01/17
|
|
8.000
|
|
282,375
|
|
350
|
|
Hornbeck
Offshore Services, Inc., Series B, Global Company Guaranteed Notes
(Callable 12/01/10 @ $102.04)
|
|
(B+,
Ba3)
|
|
12/01/14
|
|
6.125
|
|
315,875
|
|
750
|
|
Key
Energy Services, Inc., Global Company Guaranteed Notes (Callable
12/01/11 @ $104.19)
|
|
(BB-,
B1)
|
|
12/01/14
|
|
8.375
|
|
776,250
|
|
800
|
|
McJunkin
Red Man Corp., Rule 144A, Senior Secured Notes (Callable 12/15/12 @
$107.13)
|
|
(B,
B3)
|
|
12/15/16
|
|
9.500
|
|
792,000
|
|
500
|
|
Parker
Drilling Co., Rule 144A, Senior Notes (Callable 04/01/14 @ $104.56)
|
|
(B+,
B1)
|
|
04/01/18
|
|
9.125
|
|
500,000
|
|
1,000
|
|
Pioneer
Drilling Co., Rule 144A, Senior Notes (Callable 03/15/14 @ $104.94)
|
|
(B,
B3)
|
|
03/15/18
|
|
9.875
|
|
1,010,000
|
|
200
|
|
Pride
International, Inc., Senior Unsecured Notes
|
|
(BBB-,
Ba1)
|
|
06/15/19
|
|
8.500
|
|
224,500
|
|
|
|
|
|
|
|
|
|
|
|
6,954,937
|
|
Oil Refining & Marketing
(2.1%)
|
|
|
|
|
|
|
|
|
|
225
|
|
Coffeyville
Finance, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/12 @
$106.75)
|
|
(BB-,
Ba3)
|
|
04/01/15
|
|
9.000
|
|
231,750
|
|
1,600
|
|
Coffeyville
Finance, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/13 @
$108.16)
|
|
(BB-,
B3)
|
|
04/01/17
|
|
10.875
|
|
1,624,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S. CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Oil Refining & Marketing
|
|
|
|
|
|
|
|
|
|
$
|
525
|
|
Tesoro
Corp., Company Guaranteed Notes (Callable 06/01/14 @ $104.88)
|
|
(BB+,
Ba1)
|
|
06/01/19
|
|
9.750
|
|
$
|
572,250
|
|
1,050
|
|
Western
Refining, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/11
@ $105.00)#
|
|
(NR,
B3)
|
|
06/15/14
|
|
10.750
|
|
960,750
|
|
|
|
|
|
|
|
|
|
|
|
3,388,750
|
|
Packaging
(2.8%)
|
|
|
|
|
|
|
|
|
|
880
|
|
Berry
Plastics Corp., Global Secured Notes (Callable 09/15/10 @ $104.44)
|
|
(CCC,
Caa1)
|
|
09/15/14
|
|
8.875
|
|
882,200
|
|
275
|
|
Berry
Plastics Corp., Global Senior Secured Notes (Callable 11/15/12 @ $104.13)
|
|
(B,
B1)
|
|
11/15/15
|
|
8.250
|
|
282,563
|
|
275
|
|
BWAY
Holding Co., Rule 144A, Company Guaranteed Notes (Callable 06/15/14 @
$105.00)
|
|
(B-,
B3)
|
|
06/15/18
|
|
10.000
|
|
292,875
|
|
725
|
|
GPC
Capital Corp. I, Global Company Guaranteed Notes (Callable 10/15/10 @
$103.29)
|
|
(CCC+,
Caa1)
|
|
10/15/14
|
|
9.875
|
|
755,812
|
|
1,000
|
|
GPC
Capital Corp. I, Rule 144A, Senior Notes (Callable 01/01/14 @ $104.13)
|
|
(CCC+,
Caa1)
|
|
01/01/17
|
|
8.250
|
|
1,005,000
|
|
500
|
|
Pregis
Corp., Global Senior Secured Notes#
|
|
(B+,
B2)
|
|
04/15/13
|
|
5.835
|
|
602,545
|
|
700
|
|
Reynolds
Group Issuer LLC, Rule 144A, Senior Secured Notes (Callable 10/15/12 @
$103.88)
|
|
(BB-,
B1)
|
|
10/15/16
|
|
7.750
|
|
735,000
|
|
|
|
|
|
|
|
|
|
|
|
4,555,995
|
|
Pharmaceuticals
(0.3%)
|
|
|
|
|
|
|
|
|
|
458
|
|
QHP
Royalty Sub LLC, Rule 144A, Senior Secured Notes
|
|
(NR,
NR)
|
|
03/15/15
|
|
10.250
|
|
467,286
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Printing & Publishing
(2.2%)
|
|
|
|
|
|
|
|
|
|
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
|
|
980,000
|
|
1,800
|
|
The
Readers Digest Association, Inc., Global Company Guaranteed Notes
(Callable 02/15/12 @ $104.50)ø^
|
|
(NR,
NR)
|
|
02/15/17
|
|
9.000
|
|
0
|
|
1,350
|
|
The
Readers Digest Association, Inc., Rule 144A, Senior Secured Notes
(Callable 02/15/13 @ $104.00)#
|
|
(B,
B1)
|
|
02/15/17
|
|
9.500
|
|
1,363,500
|
|
351
|
|
Valassis
Communications, Inc., Global Company Guaranteed Notes (Callable 03/01/11
@ $104.13)
|
|
(BB-,
Ba3)
|
|
03/01/15
|
|
8.250
|
|
368,550
|
|
|
|
|
|
|
|
|
|
|
|
3,635,925
|
|
Real Estate Development & Management
(0.7%)
|
|
|
|
|
|
|
|
|
|
1,300
|
|
Icahn
Enterprises LP, Rule 144A, Senior Unsecured Notes#
|
|
(NR,
NR)
|
|
08/15/13
|
|
4.000
|
|
1,157,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Restaurants
(1.0%)
|
|
|
|
|
|
|
|
|
|
1,000
|
|
CKE
Restaurants, Inc., Rule 144A, Senior Secured Notes (Callable
07/15/14 @ $105.69)
|
|
(B,
B2)
|
|
07/15/18
|
|
11.375
|
|
1,022,500
|
|
525
|
|
Dennys
Holdings, Inc., Global Company Guaranteed Notes (Callable 10/01/10 @
$100.00)
|
|
(B-,
Caa1)
|
|
10/01/12
|
|
10.000
|
|
532,875
|
|
|
|
|
|
|
|
|
|
|
|
1,555,375
|
|
Software/Services
(2.7%)
|
|
|
|
|
|
|
|
|
|
1,000
|
|
SunGard
Data Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/10 @
$105.13)
|
|
(B-,
Caa1)
|
|
08/15/15
|
|
10.250
|
|
1,055,000
|
|
525
|
|
Unisys
Corp., Rule 144A, Senior Secured Notes (Callable 10/15/12 @ $106.38)
|
|
(BB-,
Ba3)
|
|
10/15/14
|
|
12.750
|
|
601,125
|
|
1,150
|
|
Unisys
Corp., Senior Unsecured Notes (Callable 01/15/12 @ $106.25)
|
|
(B,
Caa1)
|
|
01/15/16
|
|
12.500
|
|
1,262,125
|
|
1,575
|
|
Vangent, Inc.,
Global Company Guaranteed Notes (Callable 02/15/11 @ $104.81)
|
|
(CCC+,
Caa2)
|
|
02/15/15
|
|
9.625
|
|
1,512,000
|
|
|
|
|
|
|
|
|
|
|
|
4,430,250
|
|
Specialty Retail
(1.9%)
|
|
|
|
|
|
|
|
|
|
600
|
|
Asbury
Automotive Group, Inc., Global Company Guaranteed Notes (Callable
03/15/12 @ $103.81)
|
|
(B-,
Caa1)
|
|
03/15/17
|
|
7.625
|
|
574,500
|
|
1,350
|
|
Brookstone
Co., Inc., Global Senior Secured Notes (Callable 10/15/10 @ $103.00)
|
|
(C,
Caa3)
|
|
10/15/12
|
|
12.000
|
|
1,140,750
|
|
325
|
|
Penske
Automotive Group, Inc., Global Company Guaranteed Notes (Callable
12/15/11 @ $103.88)
|
|
(B-,
Caa1)
|
|
12/15/16
|
|
7.750
|
|
314,438
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S. CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Specialty Retail
|
|
|
|
|
|
|
|
|
|
$
|
500
|
|
Susser
Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 05/15/13 @
$104.25)
|
|
(B+,
B2)
|
|
05/15/16
|
|
8.500
|
|
$
|
520,000
|
|
460
|
|
Yankee
Acquisition Corp., Series B, Global Company Guaranteed Notes (Callable
02/15/11 @ $104.25)
|
|
(B-,
B3)
|
|
02/15/15
|
|
8.500
|
|
476,100
|
|
|
|
|
|
|
|
|
|
|
|
3,025,788
|
|
Steel Producers/Products
(1.3%)
|
|
|
|
|
|
|
|
|
|
800
|
|
California
Steel Industries, Inc., Global Senior Notes (Callable 03/15/11 @
$101.02)
|
|
(BB-,
B1)
|
|
03/15/14
|
|
6.125
|
|
776,000
|
|
700
|
|
Ryerson, Inc.,
Global Senior Secured Notes (Callable 11/01/11 @ $106.00)
|
|
(CCC+,
Caa1)
|
|
11/01/15
|
|
12.000
|
|
736,750
|
|
525
|
|
Tube
City IMS Corp., Global Company Guaranteed Notes (Callable 02/01/11 @ $104.88)
|
|
(B-,
Caa1)
|
|
02/01/15
|
|
9.750
|
|
528,281
|
|
|
|
|
|
|
|
|
|
|
|
2,041,031
|
|
Support-Services
(4.0%)
|
|
|
|
|
|
|
|
|
|
800
|
|
Ashtead
Capital, Inc., Rule 144A, Secured Notes (Callable 08/15/11 @
$104.50)
|
|
(B+,
B2)
|
|
08/15/16
|
|
9.000
|
|
812,000
|
|
275
|
|
DynCorp
International, Inc., Rule 144A, Senior Unsecured Notes (Callable
07/01/14 @ 105.19)
|
|
(B,
B1)
|
|
07/01/17
|
|
10.375
|
|
285,656
|
|
475
|
|
Interactive
Data Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @
$105.13)
|
|
(B-,
Caa1)
|
|
08/01/18
|
|
10.250
|
|
491,625
|
|
200
|
|
JohnsonDiversey
Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable
11/15/14 @ $104.13)
|
|
(B-,
B3)
|
|
11/15/19
|
|
8.250
|
|
211,000
|
|
975
|
|
Maxim
Crane Works LP, Rule 144A, Senior Secured Notes (Callable 04/15/12 @
$109.19)
|
|
(B,
Caa1)
|
|
04/15/15
|
|
12.250
|
|
916,500
|
|
475
|
|
Sothebys,
Global Company Guaranteed Notes
|
|
(B,
B1)
|
|
06/15/15
|
|
7.750
|
|
486,875
|
|
550
|
|
The
Geo Group, Inc., Rule 144A, Company Guaranteed Notes (Callable
10/15/13 @ $103.88)
|
|
(BB-,
B1)
|
|
10/15/17
|
|
7.750
|
|
570,625
|
|
600
|
|
The
Hertz Corp., Global Company Guaranteed Notes (Callable 01/01/11 @ $105.25)§
|
|
(CCC+,
B3)
|
|
01/01/16
|
|
10.500
|
|
640,500
|
|
1,150
|
|
Travelport
LLC, Global Company Guaranteed Notes (Callable 09/01/11 @ $105.94)§
|
|
(CCC,
Caa1)
|
|
09/01/16
|
|
11.875
|
|
1,242,000
|
|
475
|
|
United
Rentals North America, Inc., Global Company Guaranteed Notes (Callable
02/15/11 @ $101.17)
|
|
(CCC+,
Caa1)
|
|
02/15/14
|
|
7.000
|
|
473,813
|
|
300
|
|
United
Rentals North America, Inc., Global Company Guaranteed Notes (Callable
06/15/13 @ $105.44)
|
|
(B,
B3)
|
|
06/15/16
|
|
10.875
|
|
333,000
|
|
|
|
|
|
|
|
|
|
|
|
6,463,594
|
|
Telecom - Integrated/Services
(5.1%)
|
|
|
|
|
|
|
|
|
|
525
|
|
Frontier
Communications Corp., Senior Unsecured Notes
|
|
(BB,
Ba2)
|
|
10/01/18
|
|
8.125
|
|
559,125
|
|
575
|
|
Frontier
Communications Corp., Rule 144A, Senior Unsecured Notes
|
|
(BB,
Ba2)
|
|
04/15/20
|
|
8.500
|
|
616,688
|
|
700
|
|
HNS
Finance Corp., Global Company Guaranteed Notes (Callable 04/15/11 @ $102.38)
|
|
(B,
B1)
|
|
04/15/14
|
|
9.500
|
|
731,500
|
|
2,075
|
|
Intelsat
Corp., Global Senior Unsecured Notes (Callable 08/15/10 @ $103.13)
|
|
(BB-,
B3)
|
|
08/15/14
|
|
9.250
|
|
2,152,812
|
|
950
|
|
Level
3 Financing, Inc., Global Company Guaranteed Notes (Callable 02/01/14 @
$105.00)
|
|
(CCC,
Caa1)
|
|
02/01/18
|
|
10.000
|
|
870,437
|
|
175
|
|
Level
3 Financing, Inc., Global Company Guaranteed Notes (Callable 02/15/11 @
$100.00)#
|
|
(CCC,
Caa1)
|
|
02/15/15
|
|
4.140
|
|
141,313
|
|
850
|
|
Paetec
Holding Corp., Global Company Guaranteed Notes (Callable 07/15/11 @ $104.75)
|
|
(CCC+,
Caa1)
|
|
07/15/15
|
|
9.500
|
|
854,250
|
|
525
|
|
Qwest
Communications International, Inc., Rule 144A, Company Guaranteed
Notes (Callable 10/01/12 @ $104.00)
|
|
(B+,
Ba3)
|
|
10/01/15
|
|
8.000
|
|
561,750
|
|
1,250
|
|
Qwest
Communications International, Inc., Series B, Global Company
Guaranteed Notes (Callable 02/15/11 @ $101.25)
|
|
(B+,
Ba3)
|
|
02/15/14
|
|
7.500
|
|
1,287,500
|
|
450
|
|
Windstream
Corp., Global Company Guaranteed Notes (Callable 08/01/11 @ $104.31)
|
|
(B+,
Ba3)
|
|
08/01/16
|
|
8.625
|
|
471,375
|
|
|
|
|
|
|
|
|
|
|
|
8,246,750
|
|
Telecom - Wireless
(3.9%)
|
|
|
|
|
|
|
|
|
|
650
|
|
Cricket
Communications, Inc., Global Company Guaranteed Notes (Callable 11/01/10
@ $104.69)§
|
|
(B-,
B3)
|
|
11/01/14
|
|
9.375
|
|
675,188
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
U.S. CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Telecom - Wireless
|
|
|
|
|
|
|
|
|
|
$
|
250
|
|
Cricket
Communications, Inc., Global Senior Secured Notes (Callable 05/15/12 @
$105.81)
|
|
(B+,
Ba2)
|
|
05/15/16
|
|
7.750
|
|
$
|
260,000
|
|
1,300
|
|
GeoEye, Inc.,
Rule 144A, Senior Secured Notes (Callable 10/01/13 @ $104.81)
|
|
(B,
B1)
|
|
10/01/15
|
|
9.625
|
|
1,371,500
|
|
2,648
|
|
Nextel
Communications, Inc., Series F, Company Guaranteed Notes (Callable
03/15/11 @ $101.74)
|
|
(BB-,
Ba2)
|
|
03/15/14
|
|
5.950
|
|
2,561,940
|
|
1,525
|
|
Sprint
Nextel Corp., Senior Unsecured Notes
|
|
(BB-,
Ba3)
|
|
12/01/16
|
|
6.000
|
|
1,444,937
|
|
|
|
|
|
|
|
|
|
|
|
6,313,565
|
|
Telecommunications
(0.5%)
|
|
|
|
|
|
|
|
|
|
850
|
|
Avaya, Inc.,
Global Company Guaranteed Notes (Callable 11/01/11 @ $104.88)
|
|
(CCC+,
Caa2)
|
|
11/01/15
|
|
9.750
|
|
828,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Theaters & Entertainment
(1.3%)
|
|
|
|
|
|
|
|
|
|
1,300
|
|
AMC
Entertainment, Inc., Global Company Guaranteed Notes (Callable 03/01/11
@ $101.33)
|
|
(CCC+,
Caa1)
|
|
03/01/14
|
|
8.000
|
|
1,306,500
|
|
750
|
|
AMC
Entertainment, Inc., Global Senior Unsecured Notes (Callable 06/01/14 @
$104.38)
|
|
(B-,
B1)
|
|
06/01/19
|
|
8.750
|
|
791,250
|
|
|
|
|
|
|
|
|
|
|
|
2,097,750
|
|
TOTAL U.S. CORPORATE BONDS
(Cost $190,772,914)
|
|
|
|
|
|
|
|
187,771,471
|
|
|
|
|
|
|
|
|
|
|
|
FOREIGN CORPORATE BONDS
(11.9%)
|
|
|
|
|
|
|
|
|
|
Chemicals
(2.3%)
|
|
|
|
|
|
|
|
|
|
1,150
|
|
Cognis
GmbH, Rule 144A, Senior Secured Notes (Germany)#
|
|
(B,
B2)
|
|
09/15/13
|
|
2.537
|
|
1,144,250
|
|
800
|
|
Cy
SCA, Rule 144A, Senior Secured Notes (Callable 07/15/13 @ $107.13)
(Luxembourg)
|
|
(B+,
B2)
|
|
07/15/17
|
|
9.500
|
|
817,664
|
|
400
|
|
Ineos
Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/15/13 @ $104.50)
(United Kingdom)
|
|
(B,
B2)
|
|
05/15/15
|
|
9.000
|
|
410,000
|
|
1,675
|
|
Ineos
Group Holdings PLC, Rule 144A, Secured Notes (Callable 02/15/11 @
$104.25) (United Kingdom)§
|
|
(CCC,
Caa3)
|
|
02/15/16
|
|
8.500
|
|
1,394,437
|
|
|
|
|
|
|
|
|
|
|
|
3,766,351
|
|
Electronics
(0.2%)
|
|
|
|
|
|
|
|
|
|
785
|
|
New
Asat, Ltd., Global Company Guaranteed Notes (Cayman Islands)ø
|
|
(NR,
NR)
|
|
02/01/11
|
|
9.250
|
|
5,890
|
|
200
|
|
NXP
Funding LLC Rule 144A, Senior Secured Notes (Callable 08/01/14 @
$104.88) (Netherlands)
|
|
(CCC+,
Caa1)
|
|
08/01/18
|
|
9.750
|
|
211,500
|
|
50
|
|
NXP
Funding LLC, Series EXCH, Global Senior Secured Notes (Callable 10/15/10
@ $103.94) (Netherlands)
|
|
(CCC+,
Caa1)
|
|
10/15/14
|
|
7.875
|
|
50,625
|
|
|
|
|
|
|
|
|
|
|
|
268,015
|
|
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
|
|
764,531
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forestry & Paper
(1.2%)
|
|
|
|
|
|
|
|
|
|
2,325
|
|
Abitibi-Consolidated
Co. of Canada, Global Company Guaranteed Notes (Canada)ø
|
|
(NR,
NR)
|
|
06/15/11
|
|
7.750
|
|
293,531
|
|
500
|
|
Smurfit
Kappa Acquisitions, Rule 144A, Senior Secured Notes (Callable 11/15/13 @
$103.63) (Ireland)
|
|
(BB,
Ba2)
|
|
11/15/17
|
|
7.250
|
|
670,942
|
|
1,000
|
|
Smurfit
Kappa Funding PLC, Global Senior Subordinated Notes (Callable 01/31/11 @
$102.58) (Ireland)
|
|
(B,
B2)
|
|
04/01/15
|
|
7.750
|
|
1,015,000
|
|
|
|
|
|
|
|
|
|
|
|
1,979,473
|
|
Gaming
(0.9%)
|
|
|
|
|
|
|
|
|
|
600
|
|
Codere
Finance Luxembourg SA, Rule 144A, Senior Secured Notes (Callable
06/15/11 @ $102.75) (Luxembourg)
|
|
(B,
B2)
|
|
06/15/15
|
|
8.250
|
|
756,275
|
|
600
|
|
Peermont
Global Proprietary, Ltd., Rule 144A, Senior Secured Notes (Callable
04/30/11 @ $103.88) (South Africa)
|
|
(B,
B3)
|
|
04/30/14
|
|
7.750
|
|
685,924
|
|
|
|
|
|
|
|
|
|
|
|
1,442,199
|
|
Media - Cable
(0.9%)
|
|
|
|
|
|
|
|
|
|
200
|
|
Unitymedia
NRW GmbH, Rule 144A, Senior Secured Notes (Callable 12/01/12 @ $108.22)
(Germany)
|
|
(BB-,
B1)
|
|
12/01/17
|
|
8.125
|
|
270,331
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
FOREIGN CORPORATE BONDS
|
|
|
|
|
|
|
|
|
|
Media - Cable
|
|
|
|
|
|
|
|
|
|
$
|
150
|
|
Virgin
Media Finance PLC, Global Company Guaranteed Notes (Callable 08/15/11 @
$104.56) (United Kingdom)
|
|
(B+,
B1)
|
|
08/15/16
|
|
9.125
|
|
$
|
162,000
|
|
1,000
|
|
Virgin
Media Finance PLC, Global Company Guaranteed Notes (Callable 10/15/14 @
$104.19) (United Kingdom)
|
|
(B+,
Ba3)
|
|
10/15/19
|
|
8.375
|
|
1,090,000
|
|
|
|
|
|
|
|
|
|
|
|
1,522,331
|
|
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
|
|
612,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil Field Equipment & Services
(0.9%)
|
|
|
|
|
|
|
|
|
|
475
|
|
Cie
Generale de Geophysique-Veritas, Global Company Guaranteed Notes (Callable
05/15/11 @ $102.50) (France)
|
|
(BB-,
Ba3)
|
|
05/15/15
|
|
7.500
|
|
467,875
|
|
950
|
|
Offshore
Group Investments, Ltd., Rule 144A, Senior Secured Notes (Callable
02/01/13 @ $108.63) (Cayman Islands)
|
|
(B-,
B3)
|
|
08/01/15
|
|
11.500
|
|
950,000
|
|
|
|
|
|
|
|
|
|
|
|
1,417,875
|
|
Packaging
(0.2%)
|
|
|
|
|
|
|
|
|
|
275
|
|
Impress
Holdings BV, Rule 144A, Company Guaranteed Notes (Callable 09/15/10 @
$104.63) (Netherlands)
|
|
(B-,
B3)
|
|
09/15/14
|
|
9.250
|
|
377,975
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals
(0.4%)
|
|
|
|
|
|
|
|
|
|
625
|
|
Patheon, Inc.,
Rule 144A, Senior Secured Notes (Callable 04/15/13 @ $106.47) (Canada)
|
|
(B+,
B1)
|
|
04/15/17
|
|
8.625
|
|
627,344
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Support-Services
(0.3%)
|
|
|
|
|
|
|
|
|
|
425
|
|
Garda
World Security Corp., Rule 144A, Senior Unsecured Notes (Callable
03/15/14 @ $104.88) (Canada)
|
|
(B,
B3)
|
|
03/15/17
|
|
9.750
|
|
450,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
|
1,563,512
|
|
550
|
|
Hellas
Telecommunications II SCA, Rule 144A, Subordinated Notes (Luxembourg)ø#
|
|
(NR,
NR)
|
|
01/15/15
|
|
6.034
|
|
13,750
|
|
350
|
|
Intelsat
Jackson Holdings Ltd. Rule 144A (Bermuda)
|
|
(B+,
B3)
|
|
11/01/19
|
|
8.500
|
|
371,875
|
|
25
|
|
Intelsat
Subsidiary Holding Co., Ltd., Global Company Guaranteed Notes (Callable
01/15/11 @ $102.96) (Bermuda)
|
|
(B+,
B3)
|
|
01/15/15
|
|
8.875
|
|
26,063
|
|
|
|
|
|
|
|
|
|
|
|
1,975,200
|
|
Telecom - Wireless
(0.6%)
|
|
|
|
|
|
|
|
|
|
750
|
|
Wind
Acquisition Finance SA, Rule 144A, Secured Notes (Callable 07/15/13 @
$105.88) (Luxembourg)
|
|
(B+,
B2)
|
|
07/15/17
|
|
11.750
|
|
920,801
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Textiles & Apparel
(0.0%)
|
|
|
|
|
|
|
|
|
|
75
|
|
IT
Holding Finance SA, Rule 144A, Company Guaranteed Notes (Luxembourg)ø
|
|
(NR,
NR)
|
|
11/15/12
|
|
9.875
|
|
15,633
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transportation - Excluding Air/Rail
(1.9%)
|
|
|
|
|
|
|
|
|
|
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
|
|
1,231,250
|
|
1,325
|
|
Ship
Finance International, Ltd., Global Company Guaranteed Notes (Callable
12/15/10 @ $102.83) (Bermuda)
|
|
(B+,
B1)
|
|
12/15/13
|
|
8.500
|
|
1,321,687
|
|
525
|
|
Teekay
Corp., Global Senior Unsecured Notes (Canada)
|
|
(BB,
B1)
|
|
01/15/20
|
|
8.500
|
|
553,875
|
|
|
|
|
|
|
|
|
|
|
|
3,106,812
|
|
TOTAL FOREIGN CORPORATE BONDS
(Cost
$21,337,767)
|
|
|
|
|
|
|
|
19,247,040
|
|
|
|
|
|
|
|
|
|
|
|
BANK LOANS
(1.1%)
|
|
|
|
|
|
|
|
|
|
Gaming
(0.3%)
|
|
|
|
|
|
|
|
|
|
481
|
|
CCM
Merger, Inc.
|
|
(NR,
NR)
|
|
07/21/12
|
|
8.500
|
|
472,434
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par
(000)
|
|
|
|
Ratings
(S&P/Moodys)
|
|
Maturity
|
|
Rate%
|
|
Value
|
|
|
|
|
|
|
|
|
|
|
|
BANK LOANS
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals
(0.2%)
|
|
|
|
|
|
|
|
|
|
$
|
378
|
|
Nycomed
Holdings Aps
|
|
(NR,
NR)
|
|
12/29/13
|
|
3.389
|
|
$
|
355,944
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunications
(0.6%)
|
|
|
|
|
|
|
|
|
|
1,064
|
|
AVAYA, Inc.
|
|
(NR,
NR)
|
|
10/24/14
|
|
3.058
|
|
944,022
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL BANK LOANS
(Cost $1,413,020)
|
|
|
|
|
|
|
|
1,772,400
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
Shares
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
COMMON STOCKS
(1.2%)
|
|
|
|
|
|
|
|
|
|
Banks
(0.3%)
|
|
|
|
|
|
|
|
|
|
13,710
|
|
CIT
Group, Inc.*
|
|
|
|
|
|
|
|
498,495
|
|
|
|
|
|
|
|
|
|
|
|
Building Materials
(0.0%)
|
|
|
|
|
|
|
|
|
|
437
|
|
Nortek, Inc.*
|
|
|
|
|
|
|
|
17,480
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals
(0.1%)
|
|
|
|
|
|
|
|
|
|
4,893
|
|
Huntsman
Corp.
|
|
|
|
|
|
|
|
51,230
|
|
|
|
|
|
|
|
|
|
|
|
Forestry & Paper
(0.4%)
|
|
|
|
|
|
|
|
|
|
29,520
|
|
Smurfit-Stone
Container Corp.*
|
|
|
|
|
|
|
|
615,492
|
|
|
|
|
|
|
|
|
|
|
|
Leisure
(0.4%)
|
|
|
|
|
|
|
|
|
|
20,556
|
|
Six
Flags Entertainment Corp.*§
|
|
|
|
|
|
|
|
667,453
|
|
|
|
|
|
|
|
|
|
|
|
Printing & Publishing
(0.0%)
|
|
|
|
|
|
|
|
|
|
1,322
|
|
SuperMedia, Inc.*§
|
|
|
|
|
|
|
|
27,881
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS
(Cost $4,206,213)
|
|
|
|
|
|
|
|
1,878,031
|
|
|
|
|
|
|
|
|
|
|
|
PREFERRED STOCKS
(0.3%)
|
|
|
|
|
|
|
|
|
|
Banks
(0.3%)
|
|
|
|
|
|
|
|
|
|
473
|
|
Ally
Financial, Inc., Rule 144A (Callable 12/31/11 @ $1,000)
|
|
|
|
|
|
|
|
388,466
|
|
|
|
|
|
|
|
|
|
|
|
Media - Broadcast
(0.0%)
|
|
|
|
|
|
|
|
|
|
17,257
|
|
CMP
Susquehanna Radio Holdings Corp., Rule 144A, Series A*
|
|
|
|
|
|
|
|
2
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PREFERRED STOCKS
(Cost $98,096)
|
|
|
|
|
|
|
|
388,468
|
|
|
|
|
|
|
|
|
|
|
|
WARRANTS
(0.0%)
|
|
|
|
|
|
|
|
|
|
Building Materials
(0.0%)
|
|
|
|
|
|
|
|
|
|
1,152
|
|
Nortek, Inc.,
strike price $1.00, expires 12/07/14*^
|
|
|
|
|
|
|
|
1,152
|
|
|
|
|
|
|
|
|
|
|
|
Media - Broadcast
(0.0%)
|
|
|
|
|
|
|
|
|
|
19,721
|
|
CNB
Capital Trust I, Rule 144A, strike price $0.00, expires 03/23/19*
|
|
|
|
|
|
|
|
2
|
|
|
|
|
|
|
|
|
|
|
|
Printing & Publishing
(0.0%)
|
|
|
|
|
|
|
|
|
|
5,735
|
|
The
Readers Digest Association, Inc., strike price $0.00, expires 02/15/17*^
|
|
|
|
|
|
|
|
0
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL WARRANTS
(Cost $1,152)
|
|
|
|
|
|
|
|
1,154
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS
(6.5%)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,300,244
|
|
State
Street Navigator Prime Portfolio§§
|
|
|
|
|
|
|
|
10,300,244
|
|
Par
(000)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
274
|
|
State
Street Bank and Trust Co. Euro Time Deposit
|
|
|
|
08/02/10
|
|
0.010
|
|
274,000
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $10,574,244)
|
|
|
|
|
|
|
|
10,574,244
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS AT VALUE
(137.0%) (Cost
$228,403,406)
|
|
|
|
|
|
221,632,808
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES IN EXCESS OF OTHER ASSETS
(-37.0%)
|
|
|
|
|
|
|
|
(59,811,469
|
)
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS
(100.0%)
|
|
|
|
|
|
|
|
$
|
161,821,339
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward
Foreign Currency
to be Purchased (Local)
|
|
Forward
Foreign Currency
to be Sold (Local)
|
|
Expiration
Date
|
|
Value
on
Settlement Date
|
|
Current
Value
|
|
Unrealized
Depreciation
|
|
|
|
|
|
|
|
|
|
Open
Forward Foreign Currency Contract
|
|
|
|
|
|
|
|
USD
|
|
4,104,683
|
|
EUR
|
|
3,225,000
|
|
10/15/10
|
|
$
|
(4,104,683
|
)
|
$
|
(4,200,971
|
)
|
$
|
(96,288
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INVESTMENT
ABBREVIATIONS
MTN
= Medium Term Note
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 July 31, 2010, these securities
amounted to a value of $72,689,615 or 44.9% of net assets.
|
^
|
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 July 31, 2010.
|
+
|
Step Bond The interest
rate is as of July 31, 2010 and will reset at a future date.
|
ø
|
Bond is currently in
default.
|
*
|
Non-income producing
security.
|
§
|
Security or portion
thereof is out on loan.
|
§§
|
Represents security purchased
with cash collateral received for securities on loan.
|
Currency Abbreviations:
|
|
EUR - Euro Currency
|
|
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. The Fund may utilize a service provided
by an independent third party which has been approved by the Board of Trustees
to fair value certain securities. When fair-value pricing is employed, the
prices of securities used by a fund to
calculate
its net asset
value may differ from quoted or published prices for the same securities.
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 July 31, 2010 in valuing
the Funds investments carried at value:
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
|
|
|
|
U.S. Corporate Bonds
|
|
$
|
|
|
$
|
187,771,471
|
|
$
|
|
|
$
|
187,771,471
|
|
Foreign Corporate Bonds
|
|
|
|
19,247,040
|
|
|
|
19,247,040
|
|
Bank Loans
|
|
|
|
1,772,400
|
|
|
|
1,772,400
|
|
Common Stocks
|
|
1,878,031
|
|
|
|
|
|
1,878,031
|
|
Preferred Stocks
|
|
388,466
|
|
2
|
|
|
|
388,468
|
|
Warrants
|
|
|
|
2
|
|
1,152
|
|
1,154
|
|
Short-Term Investments
|
|
10,300,244
|
|
274,000
|
|
|
|
10,574,244
|
|
Other Financial Instruments *
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Contracts
|
|
|
|
(96,288
|
)
|
|
|
(96,288
|
)
|
|
|
$
|
12,566,741
|
|
$
|
208,968,627
|
|
$
|
1,152
|
|
$
|
221,536,520
|
|
*Other financial instruments
include futures, forwards and swap contracts.
As of July 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.
Effective January 1,
2010, the Fund adopted FASB amendments to authoritative guidance which requires
the Fund to disclose details of significant transfers in and out of Level 1 and
Level 2 measurements and the reasons for the transfers. For the quarter ended July 31,
2010, there were no significant transfers in and out of Level 1 and Level 2.
Federal Income Tax Cost At
July 31, 2010, 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 $228,403,406, $12,832,732,
$(19,603,330) and $(6,770,598), 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:
|
September 14, 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:
|
September 14, 2010
|
|
|
|
|
|
|
/s/Michael A. Pignataro
|
|
|
Name:
|
Michael A. Pignataro
|
|
|
Title:
|
Chief Financial Officer
|
|
|
Date:
|
September 14, 2010
|
|
Credit Suisse High Yield (AMEX:DHY)
Historical Stock Chart
From Jun 2024 to Jul 2024
Credit Suisse High Yield (AMEX:DHY)
Historical Stock Chart
From Jul 2023 to Jul 2024