Regulatory Filings • Mar 28, 2007
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*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 | |
| --- | --- |
| CREDIT SUISSE HIGH
YIELD BOND FUND | |
| (Exact name of
registrant as specified in charter) | |
| c/o Credit Suisse Asset
Management, LLC Eleven Madison Avenue New York, New York | 10010 |
| (Address of principal
executive offices) | (Zip code) |
| J. Kevin Gao, Esq. Eleven Madison Avenue New York, New York
10010 | |
| (Name and address of
agent for service) | |
| Registrant's telephone number, including area code: | (212) 325-2000 |
| Date of fiscal year end: | October 31st |
| Date of reporting period: | November 1, 2006 to January 31, 2007 |
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*Item 1: Schedule of Investments*
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*Credit Suisse High Yield Bond Fund*
*Schedule of Investments*
January 31, 2007 (unaudited)
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. | |||||
| CORPORATE BONDS (127.2%) | |||||
| Aerospace | |||||
| & Defense (1.4%) | |||||
| $ 425 | DRS | ||||
| Technologies, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.81) | (B, B3) | 02/01/18 | 7.625 | $ 434,563 | |
| 725 | DRS | ||||
| Technologies, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ | |||||
| $103.44) | (B, B3) | 11/01/13 | 6.875 | 721,375 | |
| 350 | K&F | ||||
| Acquisition, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ | |||||
| $103.88) | (B-, Caa1) | 11/15/14 | 7.750 | 361,375 | |
| 1,125 | L-3 | ||||
| Communications Corp., Global Senior Subordinated Notes (Callable 01/15/10 @ | |||||
| $102.94) | (BB+, Ba3) | 01/15/15 | 5.875 | 1,071,562 | |
| 225 | TransDigm, | ||||
| Inc., Global Company Guaranteed Notes (Callable 07/15/09 @ $105.81) | (B-, B3) | 07/15/14 | 7.750 | 230,625 | |
| 475 | TransDigm, | ||||
| Inc., Rule 144A, Senior Subordinated Notes (Callable 07/15/09 @ $105.81) | (B-, B3) | 07/15/14 | 7.750 | 479,750 | |
| 3,299,250 | |||||
| Agriculture (0.6%) | |||||
| 1,325 | Southern | ||||
| States Cooperative, Inc., Rule 144A, Senior Notes (Callable 11/01/07 @ | |||||
| $108.00) | (B, Caa1) | 11/01/10 | 10.500 | 1,414,438 | |
| Auto Loans (5.5%) | |||||
| 2,900 | Ford | ||||
| Motor Credit Co., Global Notes§ | (B, B1) | 10/01/13 | 7.000 | 2,770,063 | |
| 2,075 | Ford | ||||
| Motor Credit Co., Notes | (B, B1) | 06/16/08 | 6.625 | 2,074,517 | |
| 325 | Ford | ||||
| Motor Credit Co., Senior Notes§ | (B, B1) | 08/10/11 | 9.875 | 348,291 | |
| 2,125 | Ford | ||||
| Motor Credit Co., Senior Unsecured Notes§ | (B, B1) | 12/15/16 | 8.000 | 2,089,969 | |
| 2,625 | General | ||||
| Motors Acceptance Corp., Global Notes | (BB+, Ba1) | 05/15/09 | 5.625 | 2,599,411 | |
| 2,250 | General | ||||
| Motors Acceptance Corp., Global Notes§ | (BB+, Ba1) | 12/01/14 | 6.750 | 2,286,317 | |
| 1,125 | GMAC | ||||
| LLC, Senior Unsubordinated Notes§ | (BB+, Ba1) | 12/15/11 | 6.000 | 1,109,607 | |
| 13,278,175 | |||||
| Automobile Parts & | |||||
| Equipment (4.6%) | |||||
| 575 | Accuride | ||||
| Corp., Global Company Guaranteed Notes (Callable 02/01/10 @ $104.25)§ | (B-, B3) | 02/01/15 | 8.500 | 563,500 | |
| 1,025 | Altra | ||||
| Industrial Motion, Inc., Global Secured Notes (Callable 12/01/08 @ $104.50)# | (CCC+, B1) | 12/01/11 | 9.000 | 1,063,437 | |
| 1,200 | American | ||||
| Tire Distributors Holdings, Inc., Global Senior Notes (Callable 04/01/09 @ | |||||
| $105.38) | (CCC+, Caa1) | 04/01/13 | 10.750 | 1,164,000 | |
| 1,900 | Goodyear | ||||
| Tire & Rubber Co., Global Senior Notes (Callable 07/01/10 @ $104.50)§ | (B-, B2) | 07/01/15 | 9.000 | 2,056,750 | |
| 75 | Goodyear | ||||
| Tire & Rubber Co., Rule 144A, Senior Notes# | (B-, B2) | 12/01/09 | 9.140 | 75,938 | |
| 1,075 | Insurance | ||||
| Auto Auctions, Inc., Global Company Guaranteed Notes (Callable 04/01/09 @ | |||||
| $105.50) | (CCC+, Caa1) | 04/01/13 | 11.000 | 1,220,125 | |
| 500 | Keystone | ||||
| Automotive Operations, Inc., Global Senior Subordinated Notes (Callable | |||||
| 11/01/08 @ $104.88) | (CCC+, Caa1) | 11/01/13 | 9.750 | 496,250 | |
| 1,200 | Stanadyne | ||||
| Corp., Global Senior Subordinated Notes (Callable 08/15/09 @ $105.00) | (CCC+, Caa1) | 08/15/14 | 10.000 | 1,248,000 | |
| 800 | Tenneco | ||||
| Automotive, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ | |||||
| $104.31)§ | (B, B3) | 11/15/14 | 8.625 | 834,000 | |
| 1,275 | Titan | ||||
| International, Inc., Rule 144A, Senior Notes | (B, B3) | 01/15/12 | 8.000 | 1,287,750 | |
| 950 | Visteon | ||||
| Corp., Global Senior Notes§ | (CCC+, Caa2) | 08/01/10 | 8.250 | 954,750 | |
| 10,964,500 | |||||
| Automotive (2.6%) | |||||
| 1,645 | Ford | ||||
| Motor Co., Global Notes | (CCC+, Caa1) | 07/16/31 | 7.450 | 1,342,731 | |
| 2,715 | General | ||||
| Motors Corp., Global Debentures§ | (B-, Caa1) | 07/15/33 | 8.375 | 2,569,069 | |
| 2,400 | General | ||||
| Motors Corp., Global Senior Notes§ | (B-, Caa1) | 07/15/13 | 7.125 | 2,334,000 | |
| 6,245,800 | |||||
| Beverages (0.3%) | |||||
| 600 | Constellation | ||||
| Brands, Inc., Company Guaranteed Notes§ | (BB, Ba2) | 09/01/16 | 7.250 | 616,500 | |
| Brokerage (0.3%) | |||||
| 775 | E*TRADE | ||||
| Financial Corp., Global Senior Notes (Callable 06/15/08 @ $104.00) | (BB-, Ba2) | 06/15/11 | 8.000 | 812,781 |
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| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| Building | |||||
| & Construction (2.4%) | |||||
| $ 1,050 | Ashton | ||||
| Woods USA/Finance, Global Senior Subordinated Notes (Callable 10/01/10 @ | |||||
| $104.75) | (B-, B3) | 10/01/15 | 9.500 | $ 1,013,250 | |
| 625 | K | ||||
| Hovnanian Enterprises, Inc., Global Company Guaranteed Notes§ | (BB, Ba1) | 01/15/16 | 6.250 | 587,500 | |
| 775 | KB | ||||
| Home, Senior Subordinated Notes | (BB-, Ba2) | 12/15/08 | 8.625 | 807,630 | |
| 900 | Standard | ||||
| Pacific Corp., Global Senior Notes§ | (BB, Ba2) | 08/15/15 | 7.000 | 868,500 | |
| 1,200 | Technical | ||||
| Olympic USA, Inc., Global Senior Subordinated Notes§ | (CCC+, B3) | 01/15/15 | 7.500 | 963,000 | |
| 700 | WCI | ||||
| Communities, Inc., Global Company Guaranteed Notes (Callable 03/15/10 @ | |||||
| $103.31) | (B-, Caa1) | 03/15/15 | 6.625 | 640,500 | |
| 1,000 | William | ||||
| Lyon Homes, Inc., Company Guaranteed Notes (Callable 04/01/08 @ $105.38)#§ | (B, B3) | 04/01/13 | 10.750 | 990,000 | |
| 5,870,380 | |||||
| Building Materials (4.8%) | |||||
| 1,000 | Associated | ||||
| Materials, Inc., Global Senior Discount Notes (Callable 03/01/09 @ $105.63)+ | (CCC, Caa2) | 03/01/14 | 0.000 | 737,500 | |
| 1,300 | Building | ||||
| Materials Corp., Global Secured Notes (Callable 08/01/09 @ $103.88) | (B+, B3) | 08/01/14 | 7.750 | 1,235,000 | |
| 1,425 | Coleman | ||||
| Cable, Inc., Global Company Guaranteed Notes (Callable 10/01/08 @ $104.94) | (B-, B3) | 10/01/12 | 9.875 | 1,467,750 | |
| 500 | Dayton | ||||
| Superior Corp., Company Guaranteed Notes (Callable 06/15/07 @ $102.17) | (CCC, Caa3) | 06/15/09 | 13.000 | 516,250 | |
| 750 | Dayton | ||||
| Superior Corp., Global Secured Notes (Callable 06/15/07 @ $102.81) | (CCC+, Caa1) | 09/15/08 | 10.750 | 781,875 | |
| 1,375 | Goodman | ||||
| Global Holding Company, Inc., Global Senior Subordinated Notes (Callable | |||||
| 12/15/08 @ $103.94) | (B-, B3) | 12/15/12 | 7.875 | 1,388,750 | |
| 1,100 | Interface, | ||||
| Inc., Global Senior Subordinated Notes (Callable 02/01/09 @ $104.75)§ | (CCC+, B3) | 02/01/14 | 9.500 | 1,177,000 | |
| 325 | Norcraft | ||||
| Companies, Global Senior Subordinated Notes (Callable 11/01/07 @ $104.50) | (B-, B1) | 11/01/11 | 9.000 | 337,187 | |
| 750 | Norcraft | ||||
| Holdings, Global Senior Discount Notes (Callable 09/01/08 @ $104.88)+ | (B-, B3) | 09/01/12 | 0.000 | 663,750 | |
| 1,100 | Nortek, | ||||
| Inc., Global Senior Subordinated Notes (Callable 09/01/09 @ $104.25) | (CCC+, B3) | 09/01/14 | 8.500 | 1,097,250 | |
| 1,000 | NTK | ||||
| Holdings, Inc., Global Senior Discount Notes (Callable 09/01/09 @ $105.38)+§ | (CCC+, Caa1) | 03/01/14 | 0.000 | 740,000 | |
| 1,550 | Ply | ||||
| Gem Industries, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ | |||||
| $104.50)§ | (CCC+, Caa1) | 02/15/12 | 9.000 | 1,402,750 | |
| 11,545,062 | |||||
| Chemicals (5.4%) | |||||
| 650 | BCP | ||||
| Crystal Holdings Corp., Global Senior Subordinated Notes (Callable 06/15/09 @ | |||||
| $104.81) | (B, B3) | 06/15/14 | 9.625 | 721,500 | |
| 750 | CPG | ||||
| International I, Inc., Global Senior Notes (Callable 07/01/09 @ $105.25) | (B-, B3) | 07/01/13 | 10.500 | 785,625 | |
| 876 | Crystal | ||||
| US Holdings, Global Senior Discount Notes (Callable 10/01/09 @ $105.25)+ | (B, B3) | 10/01/14 | 0.000 | 766,500 | |
| 736 | Huntsman | ||||
| LLC, Global Company Guaranteed Notes (Callable 07/15/08 @ $105.75)# | (B, B2) | 07/15/12 | 11.500 | 839,040 | |
| 1,200 | KI | ||||
| Holdings, Inc., Global Senior Discount Notes (Callable 11/15/09 @ $104.94)+ | (B-, B3) | 11/15/14 | 0.000 | 981,000 | |
| 375 | Lyondell | ||||
| Chemical Co., Global Company Guaranteed Notes (Callable 09/15/10 @ $104.00) | (B+, B1) | 09/15/14 | 8.000 | 391,875 | |
| 1,800 | Lyondell | ||||
| Chemical Co., Global Company Guaranteed Notes (Callable 09/15/11 @ $104.13) | (B+, B1) | 09/15/16 | 8.250 | 1,917,000 | |
| 1,375 | Millennium | ||||
| America, Inc., Global Company Guaranteed Notes | (B+, B1) | 06/15/08 | 9.250 | 1,436,875 | |
| 2,025 | Nalco | ||||
| Finance Holdings, Inc., Global Senior Notes (Callable 02/01/09 @ $104.50)+ | (B-, B3) | 02/01/14 | 0.000 | 1,690,875 | |
| 925 | PolyOne | ||||
| Corp., Global Company Guaranteed Notes (Callable 05/15/07 @ $105.31) | (B+, B2) | 05/15/10 | 10.625 | 987,437 | |
| 550 | PolyOne | ||||
| Corp., Senior Notes§ | (B+, B2) | 05/01/12 | 8.875 | 548,625 | |
| 832 | Terra | ||||
| Capital, Inc., Global Secured Notes (Callable 06/01/07 @ $105.75) | (B, B1) | 06/01/10 | 11.500 | 898,560 | |
| 1,150 | Terra | ||||
| Capital, Inc., Rule 144A, Senior Notes (Callable 02/01/12 @ $103.50) | (BB-, B1) | 02/01/17 | 7.000 | 1,138,500 | |
| 13,103,412 |
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| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| Computer | |||||
| Hardware (0.5%) | |||||
| $ 1,325 | Activant | ||||
| Solutions, Inc., Rule 144A, Senior Subordinated Notes (Callable 05/01/11 @ | |||||
| $104.75) | (CCC+, Caa1) | 05/01/16 | 9.500 | $ 1,291,875 | |
| Consumer Products (3.9%) | |||||
| 1,850 | AAC | ||||
| Group Holding Corp., Global Senior Discount Notes (Callable 10/01/08 @ $105.13)+ | (CCC+, B3) | 10/01/12 | 0.000 | 1,646,500 | |
| 1,000 | ALH | ||||
| Finance LLC/ALH Finance Corp., Global Senior Subordinated Notes (Callable | |||||
| 01/15/09 @ 104.25)§ | (CCC+, B3) | 01/15/13 | 8.500 | 1,007,500 | |
| 1,575 | Amscan | ||||
| Holdings, Inc., Global Senior Subordinated Notes (Callable 05/01/09 @ | |||||
| $104.38) | (CCC+, Caa1) | 05/01/14 | 8.750 | 1,551,375 | |
| 1,325 | Del | ||||
| Laboratories, Inc., Global Company Guaranteed Notes (Callable 02/01/08 @ | |||||
| $104.00) | (CCC, Caa2) | 02/01/12 | 8.000 | 1,262,062 | |
| 1,025 | Jarden | ||||
| Corp., Global Company Guaranteed Notes (Callable 05/01/07 @ $104.88)§ | (B-, B3) | 05/01/12 | 9.750 | 1,090,344 | |
| 825 | Playtex | ||||
| Products, Inc., Global Company Guaranteed Notes (Callable 06/01/07 @ $103.13) | (B-, Caa1) | 06/01/11 | 9.375 | 860,062 | |
| 1,265 | Prestige | ||||
| Brands, Inc., Global Senior Subordinated Notes (Callable 04/15/08 @ $104.63) | (B-, B3) | 04/15/12 | 9.250 | 1,296,625 | |
| 750 | Revlon | ||||
| Consumer Products Corp., Global Senior Notes (Callable 04/01/08 @ $104.75)§ | (CCC-, Caa2) | 04/01/11 | 9.500 | 717,188 | |
| 9,431,656 | |||||
| Diversified Capital | |||||
| Goods (2.5%) | |||||
| 1,000 | Amsted | ||||
| Industries, Inc., Rule 144A, Senior Notes (Callable 10/15/07 @ $105.12) | (B, Caa1) | 10/15/11 | 10.250 | 1,076,250 | |
| 925 | Esco | ||||
| Corp., Rule 144A, Senior Notes (Callable 12/15/08 @ $102.00)# | (B, B2) | 12/15/13 | 9.235 | 950,438 | |
| 625 | Esco | ||||
| Corp., Rule 144A, Senior Notes (Callable 12/15/10 @ $104.31) | (B, B2) | 12/15/13 | 8.625 | 646,875 | |
| 275 | RBS | ||||
| Global & Rexnord Corp., Rule 144A, Company Guaranteed Notes (Callable | |||||
| 08/01/10 @ $104.75) | (CCC+, B3) | 08/01/14 | 9.500 | 286,000 | |
| 750 | RBS | ||||
| Global & Rexnord Corp., Rule 144A, Senior Subordinated Notes (Callable | |||||
| 08/01/11 @ $105.88)§ | (CCC+, Caa1) | 08/01/16 | 11.750 | 796,875 | |
| 950 | Sensus | ||||
| Metering Systems, Global Senior Subordinated Notes (Callable 12/15/08 @ | |||||
| $104.31) | (B-, B3) | 12/15/13 | 8.625 | 954,750 | |
| 1,350 | TriMas | ||||
| Corp., Global Company Guaranteed Notes (Callable 06/15/07 @ $104.94) | (CCC+, B3) | 06/15/12 | 9.875 | 1,360,125 | |
| 6,071,313 | |||||
| Electric - Generation (3.5%) | |||||
| 1,000 | AES | ||||
| Corp., Rule 144A, Secured Notes (Callable 05/15/08 @ $104.50) | (BB-, Ba3) | 05/15/15 | 9.000 | 1,075,000 | |
| 375 | Baldor | ||||
| Electric Co., Senior Notes (Callable 02/15/12 @ $104.31) | (B, B3) | 02/15/17 | 8.625 | 389,063 | |
| 1,800 | Calpine | ||||
| Generating Company LLC, Global Secured Notes (Callable 04/01/08 @ $103.50)# | (D, NR) | 04/01/10 | 11.099 | 1,845,000 | |
| 1,375 | Dynegy | ||||
| Holdings, Inc., Global Senior Unsecured Notes | (B-, B2) | 05/01/16 | 8.375 | 1,460,937 | |
| 650 | Edison | ||||
| Mission Energy, Senior Notes§ | (BB-, B1) | 06/15/09 | 7.730 | 672,750 | |
| 675 | Midwest | ||||
| Generation LLC, Global Secured Notes (Callable 05/01/09 @ $104.38) | (B+, Ba2) | 05/01/34 | 8.750 | 732,375 | |
| 438 | Midwest | ||||
| Generation LLC, Series B, Global Pass Thru Certificates | (BB-, Ba2) | 01/02/16 | 8.560 | 482,371 | |
| 25 | NRG | ||||
| Energy, Inc., Company Guaranteed Notes (Callable 01/15/12 @ $103.69) | (B-, B1) | 01/15/17 | 7.375 | 25,063 | |
| 675 | NRG | ||||
| Energy, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.69) | (B-, B1) | 02/01/16 | 7.375 | 677,531 | |
| 1,025 | Reliant | ||||
| Energy, Inc., Global Secured Notes (Callable 07/15/08 @ $104.75) | (B, B2) | 07/15/13 | 9.500 | 1,104,437 | |
| 8,464,527 | |||||
| Electric - Integrated (0.6%) | |||||
| 800 | CMS | ||||
| Energy Corp., Global Senior Notes | (B+, Ba3) | 08/01/10 | 7.750 | 841,000 | |
| 500 | Sierra | ||||
| Pacific Resources, Global Senior Notes (Callable 03/15/09 @ $104.31) | (B, B1) | 03/15/14 | 8.625 | 541,629 | |
| 1,382,629 | |||||
| Electronics (3.2%) | |||||
| 1,400 | Amkor | ||||
| Technology, Inc., Global Senior Notes (Callable 05/15/08 @ $103.88) | (CCC+, Caa1) | 05/15/13 | 7.750 | 1,324,750 | |
| 191 | Ampex | ||||
| Corp., Secured Notes^ | (NR, NR) | 08/15/08 | 12.000 | 191,157 |
SEQ.=1,FOLIO='',FILE='C:\JMS\mchin\07-6954-9\task1909605\6954-9-bg-01.htm',USER='105388',CD='Mar 24 09:10 2007'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| $ 2,150 | Freescale | ||||
| Semiconductor, Inc., Rule 144A, Senior Subordinated Notes (Callable 12/15/11 | |||||
| @ $105.06) | (B, B2) | 12/15/16 | 10.125 | $ 2,150,000 | |
| 1,000 | GrafTech | ||||
| Finance, Inc., Global Company Guaranteed Notes (Callable 02/15/07 @ $105.12) | (B-, B2) | 02/15/12 | 10.250 | 1,055,000 | |
| 650 | Sanmina-SCI | ||||
| Corp., Senior Subordinated Notes (Callable 03/01/11 @ $104.06)§ | (B, B2) | 03/01/16 | 8.125 | 622,375 | |
| 1,225 | Spansion, | ||||
| Inc., Rule 144A, Senior Notes (Callable 01/15/11 @ $105.62) | (B, Caa1) | 01/15/16 | 11.250 | 1,295,437 | |
| 1,000 | Viasystems, | ||||
| Inc., Global Senior Subordinated Notes (Callable 01/15/08 @ $105.25) | (CCC+, Caa1) | 01/15/11 | 10.500 | 1,017,500 | |
| 7,656,219 | |||||
| Energy - Exploration | |||||
| & Production (2.8%) | |||||
| 600 | Chaparral | ||||
| Energy, Inc., Rule 144A, Senior Notes (Callable 02/01/12 @ $104.44) | (CCC+, Caa1) | 02/01/17 | 8.875 | 601,500 | |
| 1,933 | Chesapeake | ||||
| Energy Corp., Senior Notes (Callable 01/15/09 @ $103.44)§ | (BB, Ba2) | 01/15/16 | 6.875 | 1,923,335 | |
| 275 | Encore | ||||
| Acquisition Co., Company Guaranteed Notes (Callable 12/01/10 @ $103.63) | (B, B1) | 12/01/17 | 7.250 | 262,625 | |
| 200 | Forest | ||||
| Oil Corp., Global Company Guranteed Notes (Callable 05/01/07 @ $103.88) | (B+, B1) | 05/01/14 | 7.750 | 203,000 | |
| 975 | Hilcorp | ||||
| Energy I, Rule 144A, Senior Notes (Callable 06/01/11 @ $104.50) | (B, B3) | 06/01/16 | 9.000 | 1,038,375 | |
| 423 | Magnum | ||||
| Hunter Resources, Inc., Global Company Guaranteed Notes (Callable 03/15/07 @ | |||||
| $104.80) | (BB-, B1) | 03/15/12 | 9.600 | 444,679 | |
| 1,275 | Petrohawk | ||||
| Energy Corp., Global Company Guaranteed Notes (Callable 07/15/10 @ $104.56) | (B-, B3) | 07/15/13 | 9.125 | 1,326,000 | |
| 375 | Range | ||||
| Resources Corp., Global Company Guaranteed Notes (Callable 03/15/10 @ | |||||
| $103.19) | (B, B1) | 03/15/15 | 6.375 | 365,625 | |
| 600 | Whiting | ||||
| Petroleum Corp., Global Senior Subordinated Notes (Callable 05/01/08 @ | |||||
| $103.63) | (B, B1) | 05/01/12 | 7.250 | 598,500 | |
| 6,763,639 | |||||
| Environmental (1.6%) | |||||
| 2,325 | Allied | ||||
| Waste North America, Inc., Series B, Global Senior Notes (Callable 04/15/09 @ | |||||
| $103.69)§ | (B+, B3) | 04/15/14 | 7.375 | 2,330,813 | |
| 1,375 | Waste | ||||
| Services, Inc., Global Senior Subordinated Notes (Callable 04/15/09 @ | |||||
| $104.75) | (CCC, Caa1) | 04/15/14 | 9.500 | 1,436,875 | |
| 3,767,688 | |||||
| Food & Drug | |||||
| Retailers (1.7%) | |||||
| 1,800 | Duane | ||||
| Reade, Inc., Global Senior Subordinated Notes (Callable 08/01/08 @ $104.88) | (CC, Caa3) | 08/01/11 | 9.750 | 1,692,000 | |
| 250 | Ingles | ||||
| Markets, Inc., Global Company Guaranteed Notes (Callable 12/01/07 @ $102.90) | (B, B3) | 12/01/11 | 8.875 | 262,188 | |
| 1,000 | Rite | ||||
| Aid Corp., Global Company Guaranteed Notes (Callable 01/15/10 @ $103.75)§ | (B+, B2) | 01/15/15 | 7.500 | 1,001,250 | |
| 1,175 | Stater | ||||
| Brothers Holdings, Inc., Global Senior Notes (Callable 06/15/08 @ $104.06)§ | (B+, B1) | 06/15/12 | 8.125 | 1,198,500 | |
| 4,153,938 | |||||
| Food - Wholesale (1.6%) | |||||
| 825 | Dole | ||||
| Food Co., Debentures#§ | (Caa1, B3) | 07/15/13 | 8.750 | 816,750 | |
| 950 | National | ||||
| Beef Packing Company LLC, Global Senior Notes (Callable 08/01/07 @ $105.25) | (B-, Caa1) | 08/01/11 | 10.500 | 1,007,000 | |
| 1,000 | Pinnacle | ||||
| Foods Holding Corp., Global Senior Subordinated Notes (Callable 12/01/08 @ | |||||
| $104.13) | (B-, B3) | 12/01/13 | 8.250 | 1,027,500 | |
| 850 | Swift | ||||
| & Co., Global Senior Subordinated Notes (Callable 10/01/07 @ $103.13) | (CCC+, Caa1) | 01/01/10 | 12.500 | 890,375 | |
| 3,741,625 | |||||
| Forestry & Paper (4.3%) | |||||
| 800 | Boise | ||||
| Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/09 @ $103.56)§ | (B+, B2) | 10/15/14 | 7.125 | 784,000 | |
| 1,150 | Cellu | ||||
| Tissue Holdings, Global Secured Notes (Callable 03/15/07 @ $107.31) | (B, B2) | 03/15/10 | 9.750 | 1,152,875 | |
| 750 | Georgia-Pacific | ||||
| Corp., Global Senior Notes§ | (B, B2) | 01/15/24 | 8.000 | 757,500 |
SEQ.=1,FOLIO='',FILE='C:\JMS\mchin\07-6954-9\task1909605\6954-9-bg-01.htm',USER='105388',CD='Mar 24 09:10 2007'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| $ 300 | Georgia-Pacific | ||||
| Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ $103.56)§ | (B, Ba3) | 01/15/17 | 7.125 | $ 300,000 | |
| 1,225 | Graphic | ||||
| Packaging International Corp., Global Senior Subordinated Notes (Callable | |||||
| 08/15/08 @ $104.75) | (B-, B3) | 08/15/13 | 9.500 | 1,304,625 | |
| 625 | Newark | ||||
| Group, Inc., Global Senior Subordinated Notes (Callable 03/15/09 @ $104.88) | (B-, Caa1) | 03/15/14 | 9.750 | 646,094 | |
| 750 | NewPage | ||||
| Corp., Global Secured Notes (Callable 05/01/09 @ $106.00) | (B-, B2) | 05/01/12 | 10.000 | 821,250 | |
| 1,025 | NewPage | ||||
| Corp., Global Senior Subordinated Notes (Callable 05/01/09 @ $106.00)§ | (CCC+, B3) | 05/01/13 | 12.000 | 1,122,375 | |
| 2,100 | Smurfit-Stone | ||||
| Container, Global Senior Notes (Callable 07/01/07 @ $104.19) | (CCC+, B2) | 07/01/12 | 8.375 | 2,121,000 | |
| 175 | Verso | ||||
| Paper Holdings LLC, Rule 144A, Secured Notes (Callable 08/01/10 @ $104.56) | (B+, B2) | 08/01/14 | 9.125 | 184,625 | |
| 1,125 | Verso | ||||
| Paper Holdings LLC, Rule 144A, Senior Subordinated Notes (Callable 08/01/11 @ | |||||
| 105.69) | (B-, B3) | 08/01/16 | 11.375 | 1,198,125 | |
| 10,392,469 | |||||
| Gaming (6.5%) | |||||
| 800 | Aztar | ||||
| Corp., Global Senior Subordinated Notes (Callable 08/15/07 @ $103.00) | (B+, Ba3) | 08/15/11 | 9.000 | 836,000 | |
| 875 | Buffalo | ||||
| Thunder Development Authority, Rule 144A, Secured Notes (Callable 12/15/10 @ | |||||
| $104.69) | (B, B2) | 12/15/14 | 9.375 | 893,594 | |
| 1,550 | CCM | ||||
| Merger, Inc., Rule 144A, Notes (Callable 08/01/09 @ $104.00) | (CCC+, B3) | 08/01/13 | 8.000 | 1,548,062 | |
| 725 | Hard | ||||
| Rock Hotel, Inc., Global Notes (Callable 06/01/08 @ $104.44) | (B, B2) | 06/01/13 | 8.875 | 789,344 | |
| 800 | Herbst | ||||
| Gaming, Inc., Global Senior Subordinated Notes (Callable 06/01/08 @ $104.06) | (B-, B3) | 06/01/12 | 8.125 | 820,000 | |
| 750 | Inn | ||||
| of the Mountain Gods, Global Senior Notes (Callable 11/15/07 @ $106.00)§ | (B-, B3) | 11/15/10 | 12.000 | 821,250 | |
| 1,425 | Jacobs | ||||
| Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/15/10 @ | |||||
| 104.88) | (B-, B3) | 06/15/14 | 9.750 | 1,482,000 | |
| 775 | Majestic | ||||
| Star Casino LLC, Company Guaranteed Notes (Callable 10/15/07 @ $104.75) | (B+, B1) | 10/15/10 | 9.500 | 813,750 | |
| 800 | Majestic | ||||
| Star LLC, Global Senior Unsecured Notes (Callable 10/15/08 @ $104.88) | (CCC+, Caa1) | 01/15/11 | 9.750 | 764,000 | |
| 450 | MGM | ||||
| Mirage, Inc., Company Guaranteed Notes§ | (B+, B1) | 02/01/11 | 8.375 | 475,312 | |
| 1,425 | MGM | ||||
| Mirage, Inc., Company Guaranteed Notes§ | (BB, Ba2) | 01/15/17 | 7.625 | 1,441,031 | |
| 400 | Resorts | ||||
| International Hotel & Casino, Inc., Global Company Guaranteed Notes | |||||
| (Callable 03/15/07 @ $106.00) | (CCC, Caa1) | 03/15/09 | 11.500 | 415,000 | |
| 1,000 | Trump | ||||
| Entertainment Resorts, Inc., Secured Notes (Callable 06/01/10 @ $104.25) | (B-, Caa1) | 06/01/15 | 8.500 | 995,000 | |
| 800 | Turning | ||||
| Stone Resort Casino Enterprise, Rule 144A, Senior Notes (Callable 09/15/10 @ | |||||
| $104.56) | (B+, Ba3) | 09/15/14 | 9.125 | 827,000 | |
| 303 | Waterford | ||||
| Gaming LLC, Rule 144A, Senior Notes (Callable 09/15/08 @ $103.55) | (BB-, B1) | 09/15/12 | 8.625 | 322,695 | |
| 1,625 | Wimar | ||||
| Opco LLC, Rule 144A, Senior Subordinated Notes (Callable 12/15/10 @ $104.81) | (CCC+, B3) | 12/15/14 | 9.625 | 1,622,969 | |
| 775 | Wynn | ||||
| Las Vegas LLC, Global First Mortgage Notes (Callable 12/01/09 @ $103.31)§ | (BB-, B1) | 12/01/14 | 6.625 | 771,125 | |
| 15,638,132 | |||||
| Gas Distribution (2.4%) | |||||
| 750 | El | ||||
| Paso Corp., Senior Notes§ | (B, B2) | 05/15/11 | 7.000 | 772,500 | |
| 1,000 | El | ||||
| Paso Natural Gas Co., Global Senior Notes (Callable 08/01/07 @ $103.81) | (B+, Ba1) | 08/01/10 | 7.625 | 1,045,000 | |
| 1,625 | El | ||||
| Paso Performance-Link, Rule 144A, Notes | (B+, B2) | 07/15/11 | 7.750 | 1,698,125 | |
| 825 | Inergy | ||||
| LP/Inergy Finance Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ | |||||
| $104.13) | (B, B1) | 03/01/16 | 8.250 | 855,937 | |
| 575 | Williams | ||||
| Companies, Inc., Global Senior Unsecured Notes | (BB-, Ba2) | 03/15/12 | 8.125 | 621,719 | |
| 650 | Williams | ||||
| Partners LP, Rule 144A, Bonds | (BB-, Ba3) | 02/01/17 | 7.250 | 671,125 | |
| 5,664,406 | |||||
| Health Services (8.7%) | |||||
| 775 | CDRV | ||||
| Investors, Inc., Global Senior Discount Notes (Callable 01/01/10 @ $104.81)+ | (CCC+, Caa1) | 01/01/15 | 0.000 | 621,938 | |
| 850 | CDRV | ||||
| Investors, Inc., Rule 144A, Senior Notes (Callable 12/01/07 @ $102.00)# | (CCC+, Caa1) | 12/01/11 | 9.860 | 839,375 | |
| 1,050 | HCA, | ||||
| Inc., Global Senior Unsecured Notes | (B-, Caa1) | 01/15/15 | 6.375 | 895,125 |
SEQ.=1,FOLIO='',FILE='C:\JMS\mchin\07-6954-9\task1909605\6954-9-bg-01.htm',USER='105388',CD='Mar 24 09:10 2007'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| $ 4,550 | HCA, | ||||
| Inc., Global Senior Unsecured Notes§ | (B-, Caa1) | 02/15/16 | 6.500 | $ 3,856,125 | |
| 1,850 | HCA, | ||||
| Inc., Rule 144A, Secured Notes (Callable 11/15/11 @ $104.63) | (BB-, B2) | 11/15/16 | 9.250 | 1,970,250 | |
| 1,150 | HCA, | ||||
| Inc., Senior Unsecured Notes§ | (B-, Caa1) | 10/01/12 | 6.300 | 1,058,000 | |
| 1,275 | Healthsouth | ||||
| Corp., Rule 144A, Senior Notes (Callable 06/15/11 @ $105.38) | (CCC+, Caa1) | 06/15/16 | 10.750 | 1,407,281 | |
| 1,025 | Iasis | ||||
| Healthcare/Capital Corp., Global Senior Subordinated Notes (Callable 06/15/09 | |||||
| @ $104.38) | (B-, B3) | 06/15/14 | 8.750 | 1,051,906 | |
| 800 | Senior | ||||
| Housing Properties Trust, Senior Notes | (BB+, Ba2) | 01/15/12 | 8.625 | 872,000 | |
| 750 | Stewart | ||||
| Enterprises, Inc., Global Senior Notes (Callable 02/15/09 @ $103.13) | (B+, B1) | 02/15/13 | 6.250 | 723,750 | |
| 2,550 | Tenet | ||||
| Healthcare Corp., Global Senior Notes§ | (CCC+, Caa1) | 07/01/14 | 9.875 | 2,597,812 | |
| 500 | Tenet | ||||
| Healthcare Corp., Global Senior Notes# | (CCC+, Caa1) | 02/01/15 | 9.250 | 501,250 | |
| 640 | Triad | ||||
| Hospitals, Inc., Senior Notes (Callable 05/15/08 @ $103.50) | (BB-, B1) | 05/15/12 | 7.000 | 659,200 | |
| 875 | Triad | ||||
| Hospitals, Inc., Senior Subordinated Notes (Callable 11/15/08 @ $103.50) | (B+, B2) | 11/15/13 | 7.000 | 899,063 | |
| 1,275 | Universal | ||||
| Hospital Services, Inc., Global Senior Notes (Callable 11/01/07 @ $105.06) | (B-, B3) | 11/01/11 | 10.125 | 1,361,062 | |
| 1,600 | Vanguard | ||||
| Health Holding Co., Global Senior Subordinated Notes (Callable 10/01/09 @ | |||||
| $104.50) | (CCC+, Caa1) | 10/01/14 | 9.000 | 1,646,000 | |
| 20,960,137 | |||||
| Hotels (0.7%) | |||||
| 500 | Bluegreen | ||||
| Corp., Series B, Company Guaranteed Notes | (B-, B3) | 04/01/08 | 10.500 | 501,250 | |
| 350 | Host | ||||
| Hotels & Resorts LP, Rule 144A, Company Guaranteed Notes (Callable | |||||
| 11/01/10 @ $103.44) | (BB, Ba1) | 11/01/14 | 6.875 | 353,063 | |
| 950 | Host | ||||
| Marriott LP, Series Q, Global Company Guaranteed Notes (Callable 06/01/11 @ | |||||
| $103.33) | (BB, Ba1) | 06/01/16 | 6.750 | 947,625 | |
| 1,801,938 | |||||
| Household & Leisure | |||||
| Products (1.3%) | |||||
| 500 | Ames | ||||
| True Temper, Inc., Global Company Guaranteed Notes (Callable 01/15/07 @ | |||||
| $103.00)# | (CCC+, Caa1) | 01/15/12 | 9.360 | 512,500 | |
| 1,400 | Ames | ||||
| True Temper, Inc., Global Senior Subordinated Notes (Callable 07/15/08 @ | |||||
| $105.00) | (CCC-, Caa3) | 07/15/12 | 10.000 | 1,333,500 | |
| 525 | Sealy | ||||
| Mattress Co., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.13) | (B, B2) | 06/15/14 | 8.250 | 553,875 | |
| 825 | Simmons | ||||
| Bedding Co., Global Senior Subordinated Notes (Callable 01/15/09 @ $103.94)§ | (B-, B3) | 01/15/14 | 7.875 | 849,750 | |
| 3,249,625 | |||||
| Leisure (1.0%) | |||||
| 250 | Bally | ||||
| Total Fitness Holding Corp., Global Senior Notes (Callable 07/15/07 @ | |||||
| $105.25) | (CCC-, Caa1) | 07/15/11 | 10.500 | 246,250 | |
| 950 | Six | ||||
| Flags, Inc., Global Senior Notes (Callable 02/01/07 @ $102.96)§ | (CCC, Caa1) | 02/01/10 | 8.875 | 950,000 | |
| 175 | Six | ||||
| Flags, Inc., Global Senior Notes (Callable 04/15/08 @ $104.88) | (CCC, Caa1) | 04/15/13 | 9.750 | 169,969 | |
| 1,050 | Six | ||||
| Flags, Inc., Global Senior Notes (Callable 06/01/09 @ $104.81)§ | (CCC, Caa1) | 06/01/14 | 9.625 | 1,008,000 | |
| 2,374,219 | |||||
| Machinery (0.4%) | |||||
| 825 | Case | ||||
| New Holland, Inc., Global Company Guaranteed Notes (Callable 08/01/07 @ | |||||
| $104.62) | (BB, Ba3) | 08/01/11 | 9.250 | 878,625 | |
| Media - Broadcast (3.4%) | |||||
| 1,000 | Allbritton | ||||
| Communications Co., Global Senior Subordinated Notes (Callable 12/15/07 @ | |||||
| $103.88) | (B-, B1) | 12/15/12 | 7.750 | 1,022,500 | |
| 600 | CMP | ||||
| Susquehanna Corp., Rule 144A, Senior Subordinated Notes (Callable 05/15/10 @ | |||||
| 104.94) | (CCC, B3) | 05/15/14 | 9.875 | 618,000 | |
| 450 | Fisher | ||||
| Communications, Inc., Global Senior Notes (Callable 09/15/09 @ $104.31) | (B-, B2) | 09/15/14 | 8.625 | 482,625 | |
| 550 | Gray | ||||
| Television, Inc., Global Company Guaranteed Notes (Callable 12/15/07 @ $103.08) | (B-, B1) | 12/15/11 | 9.250 | 576,812 | |
| 1,275 | ION | ||||
| Media Networks, Inc., Rule 144A, Secured Notes (Callable 01/15/08 @ | |||||
| $102.00)# | (CCC-, Caa2) | 01/15/13 | 11.610 | 1,332,375 | |
| 1,075 | Nexstar | ||||
| Finance, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ | |||||
| $103.50)§ | (CCC+, B3) | 01/15/14 | 7.000 | 1,032,000 | |
| 1,000 | Sirius | ||||
| Satellite Radio, Inc., Global Senior Unsecured Notes (Callable 09/01/09 @ | |||||
| $104.81) | (CCC, Caa1) | 08/01/13 | 9.625 | 1,000,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\mchin\07-6954-9\task1909605\6954-9-bg-01.htm',USER='105388',CD='Mar 24 09:10 2007'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| $ 600 | XM | ||||
| Satellite Radio, Inc., Global Company Guaranteed Notes (Callable 05/01/08 @ | |||||
| $102.00)# | (CCC, Caa1) | 05/01/13 | 9.871 | $ 589,500 | |
| 1,650 | Young | ||||
| Broadcasting, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ | |||||
| $104.38)§ | (CCC-, Caa1) | 01/15/14 | 8.750 | 1,509,750 | |
| 8,163,562 | |||||
| Media - Cable (8.1%) | |||||
| 1,575 | Atlantic | ||||
| Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/09 @ | |||||
| $104.69) | (CCC+, Caa1) | 01/15/14 | 9.375 | 1,626,187 | |
| 2,125 | CCH | ||||
| I Holdings LLC, Global Company Guaranteed Notes (Callable 09/30/07 @ | |||||
| $103.92)# | (CCC-, Caa3) | 05/15/14 | 11.750 | 2,034,687 | |
| 2,650 | CCH | ||||
| I LLC, Global Secured Notes (Callable 10/01/10 @ $105.50) | (CCC-, Caa2) | 10/01/15 | 11.000 | 2,749,375 | |
| 2,525 | CCO | ||||
| Holdings LLC, Global Senior Notes (Callable 11/15/08 @ $104.38) | (CCC-, Caa1) | 11/15/13 | 8.750 | 2,613,375 | |
| 1,200 | Charter | ||||
| Communications Holdings LLC, Senior Discount Notes (Callable 04/01/07 @ | |||||
| $100.00)#§ | (CCC-, Caa3) | 04/01/11 | 9.920 | 1,146,000 | |
| 1,850 | CSC | ||||
| Holdings, Inc., Rule 144A, Senior Notes# | (B+, B2) | 04/15/12 | 7.250 | 1,840,750 | |
| 1,625 | CSC | ||||
| Holdings, Inc., Series B, Senior Notes | (B+, B2) | 04/01/11 | 7.625 | 1,681,875 | |
| 325 | DirecTV | ||||
| Holdings/Finance, Global Senior Notes (Callable 03/15/08 @ $104.19) | (BB-, Ba3) | 03/15/13 | 8.375 | 341,656 | |
| 1,150 | EchoStar | ||||
| DBS Corp., Global Company Guaranteed Notes | (BB-, Ba3) | 10/01/14 | 6.625 | 1,129,875 | |
| 825 | GCI, | ||||
| Inc., Global Senior Notes (Callable 02/15/09 @ $103.63)§ | (B+, B1) | 02/15/14 | 7.250 | 827,063 | |
| 750 | Insight | ||||
| Communications Company, Inc., Senior Discount Notes (Callable 02/15/07 @ | |||||
| $104.08) | (CCC+, B3) | 02/15/11 | 12.250 | 784,688 | |
| 104 | Insight | ||||
| Midwest/Insight Capital Corp., Senior Notes (Callable 10/01/07 @ $100.00) | (B, B3) | 10/01/09 | 9.750 | 106,080 | |
| 1,825 | Mediacom | ||||
| Broadband LLC, Global Senior Notes (Callable 10/15/10 @ $104.25) | (B, B3) | 10/15/15 | 8.500 | 1,856,937 | |
| 825 | Mediacom | ||||
| LLC/Capital Corp., Senior Notes (Callable 02/15/07 @ $101.97) | (B, B3) | 02/15/11 | 7.875 | 832,219 | |
| 19,570,767 | |||||
| Media - Services (0.3%) | |||||
| 750 | WMG | ||||
| Holdings Corp., Global Senior Discount Notes (Callable 12/15/09 @ $104.75)+ | (B, B2) | 12/15/14 | 0.000 | 607,500 | |
| Metal & Mining - | |||||
| Excluding Steel (2.1%) | |||||
| 225 | Aleris | ||||
| International, Inc., Rule 144A, Senior Notes (Callable 12/15/10 @ $104.50) | (B-, B3) | 12/15/14 | 9.000 | 234,563 | |
| 1,000 | Aleris | ||||
| International, Inc., Rule 144A, Senior Subordinated Notes (Callable 12/15/11 | |||||
| @ $105.00) | (B-, Caa1) | 12/15/16 | 10.000 | 1,040,000 | |
| 1,600 | Alpha | ||||
| Natural Resources LLC, Global Company Guaranteed Notes (Callable 06/01/08 @ | |||||
| $105.00)# | (B-, B3) | 06/01/12 | 10.000 | 1,740,000 | |
| 1,150 | PNA | ||||
| Group, Inc., Rule 144A, Senior Notes (Callable 09/01/11 @ $105.38) | (B-, B3) | 09/01/16 | 10.750 | 1,207,500 | |
| 725 | Southern | ||||
| Copper Corp., Global Senior Notes | (BBB-, Baa2) | 07/27/35 | 7.500 | 775,430 | |
| 4,997,493 | |||||
| Non-Food & Drug | |||||
| Retailers (5.4%) | |||||
| 1,507 | Affinity | ||||
| Group, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $105.44) | (CCC+, B3) | 02/15/12 | 10.875 | 1,514,308 | |
| 1,125 | Asbury | ||||
| Automotive Group, Inc., Global Company Guaranteed Notes (Callable 06/15/07 @ | |||||
| $104.50)§ | (B, B3) | 06/15/12 | 9.000 | 1,182,656 | |
| 1,200 | Brookstone | ||||
| Company, Inc., Global Secured Notes (Callable 10/15/09 @ $106.00) | (B, Caa1) | 10/15/12 | 12.000 | 1,221,000 | |
| 1,250 | Finlay | ||||
| Fine Jewelry Corp., Global Senior Notes (Callable 06/01/08 @ $104.19)§ | (B-, B3) | 06/01/12 | 8.375 | 1,193,750 | |
| 850 | GameStop | ||||
| Corp., Global Company Guaranteed Notes (Callable 10/01/09 @ $104.00)§ | (B+, B1) | 10/01/12 | 8.000 | 903,125 | |
| 275 | General | ||||
| Nutrition Center, Global Company Guaranteed Notes (Callable 01/15/08 @ | |||||
| $104.31) | (B-, B1) | 01/15/11 | 8.625 | 291,500 | |
| 925 | General | ||||
| Nutrition Center, Global Senior Subordinated Notes (Callable 12/01/07 @ | |||||
| $104.25) | (CCC+, B3) | 12/01/10 | 8.500 | 964,313 | |
| 505 | Michaels | ||||
| Stores, Inc., Rule 144A, Senior Notes (Callable 11/01/10 @ $105.00) | (CCC, B2) | 11/01/14 | 10.000 | 541,613 | |
| 1,120 | Michaels | ||||
| Stores, Inc., Rule 144A, Senior Subordinated Notes (Callable 11/01/11 @ | |||||
| $105.69)§ | (CCC, Caa1) | 11/01/16 | 11.375 | 1,215,200 |
SEQ.=1,FOLIO='',FILE='C:\JMS\mchin\07-6954-9\task1909605\6954-9-bg-01.htm',USER='105388',CD='Mar 24 09:10 2007'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| $ 500 | Nebraska | ||||
| Book Company, Inc., Global Senior Subordinated Notes (Callable 03/15/08 @ | |||||
| $104.31) | (CCC, B3) | 03/15/12 | 8.625 | $ 496,250 | |
| 1,585 | Neiman | ||||
| Marcus Group, Inc., Global Company Guaranteed Notes (Callable 10/15/10 @ | |||||
| $105.19)§ | (B-, B3) | 10/15/15 | 10.375 | 1,779,162 | |
| 1,000 | PCA | ||||
| LLC, Global Senior Notesø | (NR, NR) | 08/01/09 | 11.875 | 185,000 | |
| 600 | SGS | ||||
| International, Inc., Rule 144A, Global Senior Subordinated Notes (Callable | |||||
| 12/15/09 @ $106.00) | (B-, B3) | 12/15/13 | 12.000 | 630,000 | |
| 863 | Susser | ||||
| Holdings LLC, Company Guaranteed Notes (Callable 12/15/09 @ $105.31) | (B, B2) | 12/15/13 | 10.625 | 944,985 | |
| 13,062,862 | |||||
| Office Equipment (0.3%) | |||||
| 775 | Xerox | ||||
| Corp., Senior Notes (Callable 06/15/08 @ $103.81) | (BB+, Baa3) | 06/15/13 | 7.625 | 809,875 | |
| Oil Refining & | |||||
| Marketing (0.5%) | |||||
| 450 | Giant | ||||
| Industries, Inc., Company Guaranteed Notes (Callable 05/15/09 @ $104.00) | (B-, B2) | 05/15/14 | 8.000 | 485,438 | |
| 743 | Giant | ||||
| Industries, Inc., Global Company Guaranteed Notes (Callable 05/15/07 @ | |||||
| $105.50) | (B-, B2) | 05/15/12 | 11.000 | 795,010 | |
| 1,280,448 | |||||
| Packaging (4.0%) | |||||
| 1,355 | Berry | ||||
| Plastics Holding Corp., Rule 144A, Secured Notes (Callable 09/15/10 @ | |||||
| $104.44) | (CCC+, B2) | 09/15/14 | 8.875 | 1,405,813 | |
| 1,625 | Constar | ||||
| International, Inc., Senior Subordinated Notes (Callable 12/01/07 @ $105.50) | (CCC, Caa2) | 12/01/12 | 11.000 | 1,551,875 | |
| 1,225 | Covalence | ||||
| Specialty Materials Corp., Rule 144A, Senior Subordinated Notes (Callable 03/01/11 @ $105.13) | (CCC+, B3) | 03/01/16 | 10.250 | 1,133,125 | |
| 650 | Crown | ||||
| Americas LLC, Global Senior Notes (Callable 11/15/10 @ $103.88) | (B, B1) | 11/15/15 | 7.750 | 676,000 | |
| 50 | Graham | ||||
| Packaging Company, Inc., Global Company Guaranteed Notes (Callable 10/15/08 @ | |||||
| $104.25) | (CCC+, Caa1) | 10/15/12 | 8.500 | 51,000 | |
| 1,225 | Graham | ||||
| Packaging Company, Inc., Global Subordinated Notes (Callable 10/15/09 @ | |||||
| $104.94)§ | (CCC+, Caa1) | 10/15/14 | 9.875 | 1,267,875 | |
| 154 | Owens-Brockway | ||||
| Glass Containers, Global Company Guaranteed Notes (Callable 02/15/07 @ | |||||
| $102.22) | (BB-, Ba2) | 02/15/09 | 8.875 | 158,235 | |
| 850 | Owens-Brockway | ||||
| Glass Containers, Inc., Rule 144A, Senior Notes (Callable 05/15/08 @ | |||||
| $104.13)§ | (B, B3) | 05/15/13 | 8.250 | 890,375 | |
| 800 | Pliant | ||||
| Corp., Global Secured Notes (Callable 06/01/07 @ $105.56)§ | (CCC, Caa1) | 09/01/09 | 11.125 | 800,000 | |
| 1 | Pliant | ||||
| Corp., Global Secured Notes (Callable 06/15/07 @ $111.62)§ | (B-, NR) | 06/15/09 | 11.625 | 646 | |
| 1,825 | Solo | ||||
| Cup Co., Global Senior Subordinated Notes (Callable 02/15/09 @ $104.25) | (CCC-, Caa2) | 02/15/14 | 8.500 | 1,606,000 | |
| 9,540,944 | |||||
| Printing & | |||||
| Publishing (4.0%) | |||||
| 1,225 | American | ||||
| Media Operations, Inc., Series B, Global Company Guaranteed Notes (Callable | |||||
| 05/01/07 @ $100.00) | (CCC-, Caa2) | 05/01/09 | 10.250 | 1,179,062 | |
| 1,350 | CBD | ||||
| Media Holdings/Finance, Global Senior Notes (Callable 07/15/08 @ $104.63) | (CCC+, Caa1) | 07/15/12 | 9.250 | 1,410,750 | |
| 700 | Dex | ||||
| Media, Inc., Global Discount Notes (Callable 11/15/08 @ $104.50)+ | (B, B3) | 11/15/13 | 0.000 | 638,750 | |
| 1,150 | Haights | ||||
| Cross Operating Co., Global Company Guaranteed Notes (Callable 08/15/08 @ | |||||
| $105.88) | (CCC-, Caa2) | 08/15/11 | 11.750 | 1,194,562 | |
| 3,000 | R.H. | ||||
| Donnelley Corp., Series A-2, Global Senior Discount Notes (Callable 01/15/09 | |||||
| @ $103.44)§ | (B, B3) | 01/15/13 | 6.875 | 2,887,500 | |
| 250 | R.H. | ||||
| Donnelley Corp., Series A-3, Global Senior Notes (Callable 01/15/11 @ | |||||
| $104.44) | (B, B3) | 01/15/16 | 8.875 | 263,125 | |
| 1,150 | Vertis, | ||||
| Inc., Series B, Global Company Guaranteed Notes (Callable 06/15/07 @ $102.72) | (CCC, Caa1) | 06/15/09 | 10.875 | 1,173,000 | |
| 925 | WDAC | ||||
| Subsidiary Corp., Rule 144A, Senior Notes (Callable 12/01/09 @ $104.19)§ | (CCC+, Caa1) | 12/01/14 | 8.375 | 950,438 | |
| 9,697,187 | |||||
| Restaurants (2.0%) | |||||
| 1,325 | Buffets, | ||||
| Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/10 @ $106.25) | (CCC, Caa1) | 11/01/14 | 12.500 | 1,374,688 |
SEQ.=1,FOLIO='',FILE='C:\JMS\mchin\07-6954-9\task1909605\6954-9-bg-01.htm',USER='105388',CD='Mar 24 09:10 2007'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| $ 1,350 | Dennys | ||||
| Corp., Global Company Guaranteed Notes (Callable 10/01/08 @ $105.00)§ | (CCC+, B3) | 10/01/12 | 10.000 | $ 1,442,812 | |
| 1,000 | Friendly | ||||
| Ice Cream Corp., Global Senior Notes (Callable 06/15/08 @ $104.19)§ | (CCC+, Caa1) | 06/15/12 | 8.375 | 970,000 | |
| 1,025 | Sbarro, | ||||
| Inc., Company Guaranteed Notes (Callable 09/15/07 @ $100.00) | (CCC, Caa1) | 09/15/09 | 11.000 | 1,048,913 | |
| 4,836,413 | |||||
| Software/Services (1.3%) | |||||
| 2,800 | SunGard | ||||
| Data Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/10 @ | |||||
| $105.13)§ | (B-, Caa1) | 08/15/15 | 10.250 | 3,024,000 | |
| Steel | |||||
| Producers/Products (1.8%) | |||||
| 1,325 | AK | ||||
| Steel Corp., Global Company Guaranteed Notes (Callable 06/15/07 @ $103.88)§ | (B+, B2) | 06/15/12 | 7.750 | 1,348,187 | |
| 1,225 | Edgen | ||||
| Acquisition Corp., Global Secured Notes (Callable 02/01/08 @ $104.94) | (B-, B3) | 02/01/11 | 9.875 | 1,258,688 | |
| 350 | International | ||||
| Steel Group, Inc., Global Senior Notes | (BBB-, Ba1) | 04/15/14 | 6.500 | 357,000 | |
| 1,275 | Rathgibson, | ||||
| Inc., Global Company Guaranteed Notes (Callable 02/15/10 @ $105.63) | (B-, B3) | 02/15/14 | 11.250 | 1,357,875 | |
| 750 | WCI | ||||
| Steel Escrowø | (NR, NR) | 12/01/04 | 10.000 | 21,450 | |
| 4,343,200 | |||||
| Support-Services (7.1%) | |||||
| 1,250 | Allied | ||||
| Security Escrow Corp., Global Senior Subordinated Notes (Callable 07/15/08 @ | |||||
| $105.69) | (CCC+, Caa1) | 07/15/11 | 11.375 | 1,287,500 | |
| 450 | Aramark | ||||
| Corp. Class B, Rule 144A, Senior Notes (Callable 02/01/11 @ $104.25) | (B-, B3) | 02/01/15 | 8.500 | 462,938 | |
| 300 | Aramark | ||||
| Corp. Class B, Senior Notes (Callable 02/01/09 @ $102.00)# | (B-, B3) | 02/01/15 | 8.860 | 307,500 | |
| 400 | Ashtead | ||||
| Capital, Inc., Rule 144A, Notes (Callable 08/15/11 @ $104.50) | (B, B3) | 08/15/16 | 9.000 | 430,000 | |
| 914 | DI | ||||
| Finance/Dyncorp International, Global Senior Subordinated Notes (Callable | |||||
| 02/15/09 @ $104.75) | (B, B3) | 02/15/13 | 9.500 | 964,270 | |
| 150 | Education | ||||
| Management LLC, Global Company Guaranteed Notes (Callable 06/01/10 @ $104.38) | (CCC+, B2) | 06/01/14 | 8.750 | 158,250 | |
| 1,075 | Education | ||||
| Management LLC, Global Company Guaranteed Notes (Callable 06/01/11 @ $105.13) | (CCC+, Caa1) | 06/01/16 | 10.250 | 1,161,000 | |
| 500 | Hertz | ||||
| Corp. Class A, Global Company Guaranteed Notes (Callable 01/01/10 @ $104.44) | (B, B1) | 01/01/14 | 8.875 | 533,750 | |
| 600 | Hertz | ||||
| Corp. Class A, Global Company Guaranteed Notes (Callable 01/01/11 @ $105.25) | (B, B2) | 01/01/16 | 10.500 | 678,000 | |
| 1,000 | HydroChem | ||||
| Industrial Services, Inc., Rule 144A, Senior Subordinated Notes (Callable | |||||
| 02/15/09 @ $104.63) | (CCC+, B3) | 02/15/13 | 9.250 | 1,025,000 | |
| 750 | Iron | ||||
| Mountain, Inc., Company Guaranteed Notes (Callable 04/01/07 @ $102.88) | (B, B3) | 04/01/13 | 8.625 | 774,375 | |
| 175 | Iron | ||||
| Mountain, Inc., Company Guaranteed Notes (Callable 07/01/08 @ $103.31) | (B, B3) | 01/01/16 | 6.625 | 168,875 | |
| 1,500 | Johnsondiversey | ||||
| Holdings, Inc., Global Discount Notes (Callable 05/15/07 @ $105.34)+ | (CCC+, Caa1) | 05/15/13 | 0.000 | 1,515,000 | |
| 750 | Language | ||||
| Line, Inc., Global Senior Subordinated Notes (Callable 06/15/08 @ 105.56)§ | (CCC+, B3) | 06/15/12 | 11.125 | 793,125 | |
| 1,050 | Mobile | ||||
| Services Group, Inc., Rule 144A, Senior Notes (Callable 08/01/10 @ $104.88) | (B-, B3) | 08/01/14 | 9.750 | 1,110,375 | |
| 1,125 | Rental | ||||
| Service Corp., Rule 144A, Bonds (Callable 12/01/10 @ $104.75) | (B-, Caa1) | 12/01/14 | 9.500 | 1,181,250 | |
| 1,825 | TDS | ||||
| Investor Corp., Rule 144A, Senior Subordinated Notes (09/01/11 @ 105.94)§ | (B-, Caa1) | 09/01/16 | 11.875 | 1,975,562 | |
| 1,675 | United | ||||
| Rentals North America, Inc., Global Senior Subordinated Notes (Callable | |||||
| 02/15/09 @ $103.50)§ | (B, B3) | 02/15/14 | 7.000 | 1,654,062 | |
| 900 | Williams | ||||
| Scotsman, Inc., Global Company Guaranteed Notes (Callable 10/01/10 @ $104.25) | (B+, B3) | 10/01/15 | 8.500 | 940,500 | |
| 17,121,332 | |||||
| Telecom - Fixed Line (1.7%) | |||||
| 2,025 | Level | ||||
| 3 Communications, Inc., Convertible Notes§ | (CCC-, Caa3) | 03/15/10 | 6.000 | 1,913,625 | |
| 800 | Level | ||||
| 3 Communications, Inc., Global Senior Notes (Callable 03/01/09 @ $100.00) | (CCC-, Caa2) | 03/01/10 | 11.500 | 866,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\mchin\07-6954-9\task1909605\6954-9-bg-01.htm',USER='105388',CD='Mar 24 09:10 2007'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| $ 400 | Level | ||||
| 3 Financing, Inc., Rule 144A, Senior Notes (Callable 11/01/10 @ $104.63) | (CCC-, B2) | 11/01/14 | 9.250 | $ 411,000 | |
| 775 | Time | ||||
| Warner Telecom Holdings, Inc., Global Company Guaranteed Notes (Callable | |||||
| 02/15/09 @ $104.62) | (CCC+, B3) | 02/15/14 | 9.250 | 834,094 | |
| 4,024,719 | |||||
| Telecom - | |||||
| Integrated/Services (3.3%) | |||||
| 1,525 | Cincinnati | ||||
| Bell, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $104.19) | (B-, B2) | 01/15/14 | 8.375 | 1,570,750 | |
| 700 | Hawaiian | ||||
| Telcom Communications, Inc., Series B, Global Company Guaranteed Notes | |||||
| (Callable 05/01/10 @ $106.25)§ | (CCC+, B3) | 05/01/15 | 12.500 | 764,750 | |
| 850 | Hughes | ||||
| Network Systems LLC, Global Company Guaranteed Notes (Callable 04/15/10 @ | |||||
| $104.75) | (B-, B1) | 04/15/14 | 9.500 | 903,125 | |
| 125 | LCI | ||||
| International, Inc., Senior Notes | (NR, NR) | 06/15/07 | 7.250 | 125,937 | |
| 1,250 | PanAmSat | ||||
| Corp., Global Company Guaranteed Notes (Callable 08/15/09 @ $104.50) | (B, B2) | 08/15/14 | 9.000 | 1,353,125 | |
| 375 | Qwest | ||||
| Communications International, Inc., Global Company Guaranteed Notes (Callable 02/15/08 @ $103.63)§ | (B+, Ba3) | 02/15/11 | 7.250 | 386,719 | |
| 1,900 | Qwest | ||||
| Communications International, Inc., Series B, Global Company Guaranteed Notes | |||||
| (Callable 02/15/09 @ $103.75) | (B, Ba3) | 02/15/14 | 7.500 | 1,971,250 | |
| 350 | Windstream | ||||
| Corp., Global Company Guaranteed Notes | (BB-, Ba3) | 08/01/13 | 8.125 | 378,437 | |
| 375 | Windstream | ||||
| Corp., Global Company Guaranteed Notes (Callable 08/01/11 @ $104.31)§ | (BB-, Ba3) | 08/01/16 | 8.625 | 411,094 | |
| 7,865,187 | |||||
| Telecom - Wireless (4.4%) | |||||
| 300 | Centennial | ||||
| Cellular Communications Corp., Global Company Guaranteed Notes (Callable | |||||
| 06/15/08 @ $105.06) | (CCC, B2) | 06/15/13 | 10.125 | 325,125 | |
| 1,000 | Centennial | ||||
| Communications Corp. Global Senior Notes (Callable 01/01/09 @ $107.50) | (CCC, Caa1) | 01/01/13 | 10.000 | 1,077,500 | |
| 1,275 | Cricket | ||||
| Communications, Inc., Rule 144A, Senior Notes (Callable 11/01/10 @ $104.69) | (CCC, Caa2) | 11/01/14 | 9.375 | 1,345,125 | |
| 1,925 | Dobson | ||||
| Communications Corp., Global Senior Notes (Callable 10/01/08 @ $104.44) | (CCC, Caa2) | 10/01/13 | 8.875 | 1,997,187 | |
| 750 | Horizon | ||||
| PCS, Inc., Global Company Guaranteed Notes (Callable 07/15/08 @ $105.69) | (B-, B3) | 07/15/12 | 11.375 | 836,250 | |
| 800 | iPCS, | ||||
| Inc., Global Senior Notes (Callable 05/01/08 @ $105.75) | (B-, B3) | 05/01/12 | 11.500 | 888,000 | |
| 1,175 | Metro | ||||
| PCS Wireless, Inc., Rule 144A, Senior Notes (Callable 11/01/10 @ $104.63) | (CCC, Caa2) | 11/01/14 | 9.250 | 1,227,875 | |
| 225 | Rural | ||||
| Cellular Corp., Global Senior Notes (Callable 08/01/07 @ $104.94) | (CCC, B3) | 02/01/10 | 9.875 | 239,625 | |
| 1,125 | Rural | ||||
| Cellular Corp., Global Senior Subordinated Notes (Callable 01/15/07 @ | |||||
| $103.25) | (CCC, Caa2) | 01/15/10 | 9.750 | 1,161,563 | |
| 1,375 | Triton | ||||
| PCS, Inc., Global Company Guaranteed Notes (Callable 06/01/08 @ $104.25) | (CCC-, Caa2) | 06/01/13 | 8.500 | 1,409,375 | |
| 10,507,625 | |||||
| Textiles & Apparel (1.0%) | |||||
| 1,025 | Levi | ||||
| Strauss & Co., Global Senior Notes (Callable 01/15/10 @ $104.88)§ | (B-, B3) | 01/15/15 | 9.750 | 1,112,125 | |
| 475 | Levi | ||||
| Strauss & Co., Global Senior Notes (Callable 12/15/07 @ $106.13) | (B-, B3) | 12/15/12 | 12.250 | 527,844 | |
| 950 | Propex | ||||
| Fabrics, Inc., Global Company Guaranteed Notes (Callable 12/01/08 @ $105.00) | (CCC, Caa1) | 12/01/12 | 10.000 | 843,125 | |
| 2,483,094 | |||||
| Theaters & | |||||
| Entertainment (1.2%) | |||||
| 1,800 | AMC | ||||
| Entertainment, Inc., Global Senior Subordinated Notes (Callable 03/01/09 @ | |||||
| $104.00) | (CCC+, B3) | 03/01/14 | 8.000 | 1,815,750 | |
| 1,200 | Cinemark, | ||||
| Inc., Global Senior Discount Notes (Callable 03/15/09 @ $104.88)+ | (CCC+, B3) | 03/15/14 | 0.000 | 1,065,000 | |
| 2,880,750 | |||||
| Transportation - | |||||
| Excluding Air/Rail (0.2%) | |||||
| 651 | H-Lines | ||||
| Finance Holding Corp., Global Senior Discount Notes (Callable 04/01/08 @ $105.50)+ | (CCC+, Caa1) | 04/01/13 | 0.000 | 607,058 | |
| TOTAL U.S. CORPORATE | |||||
| BONDS (Cost $296,020,060) | 306,258,974 |
SEQ.=1,FOLIO='',FILE='C:\JMS\mchin\07-6954-9\task1909605\6954-9-bg-01.htm',USER='105388',CD='Mar 24 09:10 2007'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| FOREIGN | |||||
| CORPORATE BONDS (13.1%) | |||||
| Building | |||||
| Materials (0.3%) | |||||
| $ 1,000 | Maax | ||||
| Corp., Global Senior Subordinated Notes (Callable 06/15/08 @ $104.88) | |||||
| (Canada) | (CC, Caa3) | 06/15/12 | 9.750 | $ 735,000 | |
| Chemicals (1.6%) | |||||
| 1,200 | Basell | ||||
| AF SCA, Rule 144A, Company Guaranteed Notes (Callable 08/15/10 @ $104.19) | |||||
| (Luxembourg) | (B-, B2) | 08/15/15 | 8.375 | 1,245,000 | |
| 1,575 | Ineos | ||||
| Group Holdings PLC, Rule 144A, Notes (Callable 02/15/11 @ $104.25) (United | |||||
| Kingdom) | (B-, B2) | 02/15/16 | 8.500 | 1,515,937 | |
| 825 | Rhodia | ||||
| SA, Global Senior Notes (France) | (B-, B2) | 06/01/10 | 10.250 | 944,625 | |
| 150 | Rhodia | ||||
| SA, Global Senior Subordinated Notes (Callable 06/01/07 @ 104.44) (France)§ | (B-, B3) | 06/01/11 | 8.875 | 158,250 | |
| 3,863,812 | |||||
| Electronics (1.5%) | |||||
| 450 | Avago | ||||
| Technologies Finance, Rule 144A, Senior Notes (Callable 12/01/09 @ $105.06) | |||||
| (Singapore) | (B, B2) | 12/01/13 | 10.125 | 479,250 | |
| 600 | Avago | ||||
| Technologies Finance, Rule 144A, Senior Subordinated Notes (Callable 12/01/10 | |||||
| @ $105.94) (Singapore) | (CCC+, Caa1) | 12/01/15 | 11.875 | 660,000 | |
| 950 | Celestica, | ||||
| Inc., Senior Subordinated Notes (Callable 07/01/08 @ $103.94) (Canada) | (B, B2) | 07/01/11 | 7.875 | 933,375 | |
| 1,000 | New | ||||
| Asat, Ltd., Global Company Guaranteed Notes (Callable 02/01/08 @ $104.63) | |||||
| (Cayman Islands) | (CCC, B3) | 02/01/11 | 9.250 | 927,500 | |
| 625 | NXP | ||||
| BV/NXP Funding LLC, Rule 144A, Senior Notes (Callable 10/15/11 @ $104.75) | |||||
| (Netherlands) | (B+, B2) | 10/15/15 | 9.500 | 649,219 | |
| 3,649,344 | |||||
| Food & Drug | |||||
| Retailers (0.4%) | |||||
| 925 | Jean | ||||
| Coutu Group PJC, Inc., Global Senior Subordinated Notes (Callable 08/01/09 @ | |||||
| $104.25) (Canada)§ | (B-, Caa2) | 08/01/14 | 8.500 | 966,625 | |
| Forestry & Paper (1.9%) | |||||
| 600 | Abitibi-Consolidated, | ||||
| Inc., Global Notes (Canada) | (B+, B2) | 06/15/11 | 7.750 | 586,500 | |
| 1,050 | Abitibi-Consolidated, | ||||
| Inc., Yankee Senior Notes (Canada)§ | (B+, B2) | 04/01/15 | 8.375 | 1,026,375 | |
| 850 | Bowater | ||||
| Canada Finance Corp., Global Company Guaranteed Notes (Canada) | (B+, B2) | 11/15/11 | 7.950 | 856,375 | |
| 750 | Smurfit | ||||
| Kappa Funding, Global Senior Notes (Callable 10/01/07 @ $104.81) (Ireland) | (B-, B3) | 10/01/12 | 9.625 | 800,625 | |
| 1,000 | Smurfit | ||||
| Kappa Funding, Global Senior Subordinated Notes (Callable 01/31/10 @ $103.88) | |||||
| (Ireland) | (B-, Caa1) | 04/01/15 | 7.750 | 1,012,500 | |
| 380 | Tembec | ||||
| Industries, Inc., Yankee Company Guaranteed Notes (Callable 06/30/07 @ | |||||
| $100.00) (Canada) | (CCC-, Ca) | 06/30/09 | 8.625 | 319,200 | |
| 4,601,575 | |||||
| Leisure (0.5%) | |||||
| 1,175 | NCL | ||||
| Corp., Global Senior Notes (Callable 07/15/09 @ $105.31) (Bermuda)# | (B, B3) | 07/15/14 | 10.625 | 1,201,438 | |
| Media - Cable (1.3%) | |||||
| 1,050 | Kabel | ||||
| Deutschland GmbH, Global Company Guaranteed Notes (07/01/09 @ $105.31) | |||||
| (Germany)§ | (B-, B2) | 07/01/14 | 10.625 | 1,177,312 | |
| 150 | NTL | ||||
| Cable PLC, Global Senior Notes (Callable 08/15/11 @ $104.56) (United | |||||
| Kingdom)§ | (B-, B2) | 08/15/16 | 9.125 | 159,375 | |
| 883 | Telenet | ||||
| Group Holding NV, Rule 144A, Discount Notes (Callable 12/15/08 @ $105.75) | |||||
| (Belgium)+ | (CCC+, Caa1) | 06/15/14 | 0.000 | 803,530 | |
| 675 | Unity | ||||
| Media GmbH, Rule 144A, Senior Notes (Callable 02/15/10 @ $105.06) (Germany) | (CCC+, Caa1) | 02/15/15 | 10.125 | 918,793 | |
| 3,059,010 | |||||
| Metal & Mining - | |||||
| Excluding Steel (0.0%) | |||||
| 1,021 | International | ||||
| Utility Structures, Inc., Yankee Senior Subordinated Notes (Canada)^ø | (NR, NR) | 02/01/08 | 10.750 | 0 | |
| Pharmaceuticals (0.5%) | |||||
| 500 | Biovail | ||||
| Corp., Yankee Senior Subordinated Notes (Callable 04/01/07 @ $101.97) | |||||
| (Canada) | (BB-, B1) | 04/01/10 | 7.875 | 513,125 |
SEQ.=1,FOLIO='',FILE='C:\JMS\mchin\07-6954-9\task1909605\6954-9-bg-01.htm',USER='105388',CD='Mar 24 09:10 2007'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| $ 775 | Elan | ||||
| Finance PLC, Rule 144A, Senior Unsecured Notes (Callable 12/01/10 @ $104.44) (Ireland) | (B, B3) | 12/01/13 | 8.875 | $ 771,125 | |
| 1,284,250 | |||||
| Printing & | |||||
| Publishing (0.4%) | |||||
| 800 | Quebecor | ||||
| World, Inc., Rule 144A, Senior Notes (Callable 01/15/11 @ $104.88) (Canada) | (B+, B2) | 01/15/15 | 9.750 | 839,000 | |
| Support-Services (0.7%) | |||||
| 1,000 | Ashtead | ||||
| Holdings PLC, Rule 144A, Secured Notes (Callable 08/01/10 @ $104.31) (United | |||||
| Kingdom) | (B, B3) | 08/01/15 | 8.625 | 1,045,000 | |
| 525 | Carlson | ||||
| Wagonlit BV, Rule 144A Senior Notes (Callable 11/01/07 @ $104.00) (Netherlands)# | (B-, B2) | 05/01/15 | 9.306 | 720,586 | |
| 1,765,586 | |||||
| Telecom - | |||||
| Integrated/Services (2.8%) | |||||
| 1,300 | Global | ||||
| Crossing UK Finance, Global Company Guaranteed Notes (Callable 12/15/09 @ | |||||
| $105.38) (United Kingdom) | (B-, B3) | 12/15/14 | 10.750 | 1,413,750 | |
| 550 | Hellas | ||||
| II, Rule 144A, Subordinated Notes (Callable 01/15/08 @ $102.00) (Luxembourg)# | (CCC+, Caa1) | 01/15/15 | 11.115 | 565,125 | |
| 1,525 | Intelsat, | ||||
| Ltd. Global Notes (Bermuda) | (B, Caa1) | 04/15/12 | 7.625 | 1,477,344 | |
| 2,200 | Intelsat, | ||||
| Ltd., Rule 144A, Senior Notes (Callable 06/15/11 @ $105.62) (Bermuda) | (B, Caa1) | 06/15/16 | 11.250 | 2,497,000 | |
| 75 | Intelsat, | ||||
| Ltd., Rule 144A, Senior Unsecured Notes (Callable 01/15/08 @ $102.00) | |||||
| (Bermuda)# | (B, Caa1) | 01/15/15 | 8.872 | 76,687 | |
| 650 | Nordic | ||||
| Telephone Company Holdings, Rule 144A, Senior Notes (Callable 05/01/11 @ | |||||
| $104.44) (Denmark)§ | (B, B2) | 05/01/16 | 8.875 | 702,000 | |
| 6,731,906 | |||||
| Telecom - Wireless (0.2%) | |||||
| 500 | Rogers | ||||
| Wireless Communications, Inc., Global Secured Notes (Canada) | (BB+, Ba1) | 03/15/15 | 7.500 | 540,000 | |
| Telecommunication | |||||
| Equipment (0.2%) | |||||
| 425 | Nortel | ||||
| Networks, Ltd., Rule 144A, Company Guaranteed Notes (Canada)# | (B-, B3) | 07/15/11 | 9.610 | 453,688 | |
| Textiles & Apparel (0.1%) | |||||
| 75 | IT | ||||
| Holding Finance SA, Rule 144A, Senior Notes (Luxembourg) | (CCC+, Caa1) | 11/15/12 | 9.875 | 102,332 | |
| Transportation - | |||||
| Excluding Air/Rail (0.7%) | |||||
| 1,725 | Ship | ||||
| Finance International, Ltd., Global Senior Notes (Callable 12/15/08 @ | |||||
| $104.25) (Bermuda) | (B+, B1) | 12/15/13 | 8.500 | 1,746,562 | |
| TOTAL | |||||
| FOREIGN CORPORATE BONDS (Cost $30,902,284) | 31,540,128 |
| Number of Shares | ||
|---|---|---|
| COMMON | ||
| STOCKS (1.3%) | ||
| Automobile | ||
| Parts & Equipment (0.0%) | ||
| 774,557 | Cambridge | |
| Industries Liquidating Trust^ | 0 | |
| Chemicals (0.0%) | ||
| 4,893 | Huntsman | |
| Corp.* | 102,313 | |
| Electric | ||
| - Integrated (0.4%) | ||
| 28,600 | Mirant | |
| Corp.* | 977,548 | |
| Food | ||
| - Wholesale (0.4%) | ||
| 845 | Crunch | |
| Equity Holding LLC Class A* | 844,968 | |
| Steel | ||
| Producers/Products (0.1%) | ||
| 8,208 | WCI | |
| Steel Acquisition, Inc.* | 213,408 | |
| Telecom | ||
| - Wireless (0.4%) | ||
| 99,764 | Dobson | |
| Communications Corp. Class A* | 966,713 | |
| TOTAL | ||
| COMMON STOCKS (Cost $2,955,282) | 3,104,950 |
SEQ.=1,FOLIO='',FILE='C:\JMS\mchin\07-6954-9\task1909605\6954-9-bg-01.htm',USER='105388',CD='Mar 24 09:10 2007'
| Number of Shares | Value | |
|---|---|---|
| WARRANTS (0.0%) | ||
| Media | ||
| - Diversified (0.0%) | ||
| 204,293 | Viasystems, | |
| Inc., strike price $25.31, expires 01/31/10*^ | $ 2,043 | |
| Telecom | ||
| - Fixed Line (0.0%) | ||
| 6,750 | GT | |
| Group Telecom, Inc., Rule 144A, strike price $0.00, expires 02/01/10*^ | 0 | |
| 3,000 | Versatel | |
| Telecom International NV, strike price $2.81, expires 05/15/08* | 1,256 | |
| 1,256 | ||
| TOTAL | ||
| WARRANTS (Cost $3,772,613) | 3,299 | |
| SHORT-TERM | ||
| INVESTMENTS (12.5%) | ||
| 15,000,000 | American | |
| Beacon Money Market Fund §§ | 15,000,000 | |
| 15,000,000 | Reserve | |
| Funds Primary Fund Class 8 §§ | 15,000,000 | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $30,000,000) | 30,000,000 |
| Par (000) | |||
|---|---|---|---|
| REPURCHASE | |||
| AGREEMENTS (14.4%) | |||
| $ 5,803 | Bear | ||
| Stearns & Co., 3.9843%, Dated 01/31/07, due 02/01/07, proceeds at | |||
| maturity $5,803,377, (fully collateralized by U.S. Treasury Strips, due | |||
| 05/15/18, Market Value of collateral is $5,974,370) §§ | 5,802,734 | ||
| 6,251 | Bear | ||
| Stearns & Co., 5.2200%, Dated 01/31/07, due 02/01/07, proceeds at | |||
| maturity $6,251,885, (fully collateralized by U.S. Treasury Strips, due | |||
| 05/15/18, Market Value of collateral is $5,426,211 and by U.S. Treasury | |||
| Strips, due 08/15/23, Market Value of collateral is $1,007,442) §§ | 6,250,978 | ||
| 22,751 | Bear | ||
| Stearns & Co., 5.3125%, Dated 01/31/07, due 02/01/07, proceeds at maturity | |||
| $22,754,398, (fully collateralized by U.S. Treasury Strips, due 08/15/23, | |||
| Market Value of collateral is $10,503,069 and by U.S. Treasury Strips, due | |||
| 08/15/21, Market Value of collateral is $12,909,761) §§ | 22,751,041 | ||
| TOTAL REPURCHASE AGREEMENTS (Cost $34,804,753) | 34,804,753 | ||
| TOTAL INVESTMENTS AT | |||
| VALUE (168.5%) (Cost | |||
| $398,454,989) | 405,712,104 | ||
| LIABILITIES IN EXCESS | |||
| OF OTHER ASSETS (-68.5%) | (164,983,891 | ) | |
| NET | |||
| ASSETS (100.0%) | $ 240,728,213 |
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
| Forward Foreign | Expiration | Foreign Currency To Be | Contract | Contract | Unrealized | ||||
|---|---|---|---|---|---|---|---|---|---|
| Currency Contract | Date | Purchased/(Sold) | Amount | Value | Gain (Loss) | ||||
| European | |||||||||
| Economic Unit | 3/28/07 | | 812,000 | $ 1,055,438 | $ 1,058,165 | $ 2,728 | |||
| European | |||||||||
| Economic Unit | 3/28/07 | | (2,160,000 | ) | (2,858,566 | ) | (2,814,824 | ) | 43,741 |
| British | |||||||||
| Pound | 3/28/07 | £ | (532,000 | ) | (1,044,226 | ) | (1,043,086 | ) | 1,140 |
| $ (2,847,354 | ) | $ (2,799,745 | ) | $ 47,609 |
*INVESTMENT ABBREVIATIONS*
NR=Not Rated
| | Credit ratings given by the Standard &
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, 2007, these securities amounted to a
value of $67,069,127 or 27.9% of net assets. |
| + | Step Bond The
interest rate stated is as of January 31, 2007 and will reset at a future
date. |
| ø | Bond is currently in
default. |
| * | Non-income producing
security. |
| ^ | Not readily marketable
security; security is valued at fair value as determined in good faith by, or
under the direction of, the Board of Trustees. |
| § | Security or portion
thereof is out on loan. |
| §§ | Represents security
purchased with cash collateral received for securities on loan. |
| # | Variable rate
obligations The interest rate shown is the rate as of January 31, 2007. |
Security Valuation The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the Exchange) on each day the Exchange is open for business. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in
SEQ.=1,FOLIO='',FILE='C:\JMS\mchin\07-6954-9\task1909605\6954-9-bg-01.htm',USER='105388',CD='Mar 24 09:10 2007'
60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (Valuation Time). If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Investments in mutual funds are valued at the mutual funds closing net asset value per share on the day of valuation. Securities and other assets for which market quotations are not readily available, or whose values have been materially affected by events occurring before the Funds Valuation Time but after the close of the securities primary markets, are valued at fair value as determined in good faith by, or under the direction of, the Board of Trustees under procedures established by the Board of Trustees. At January 31, 2007, the Fund held 0.08% of its net assets in securities valued at fair value as determined in good faith under procedures established by the Board of Trustees with an aggregate cost of $3,867,838 and fair value of $193,200. The 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.
Federal Income Tax Cost - At January 31, 2007, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized appreciation from investments were $398,454,989, $14,553,355, $(7,296,240) and $7,257,115, respectively.
Other information regarding the Fund is available in the Funds most recent Report to Shareholders. This information is also available on the Funds website at www.credit-suisse.com/us as well as on the website of the Securities and Exchange Commission at www.sec.gov.
SEQ.=1,FOLIO='',FILE='C:\JMS\mchin\07-6954-9\task1909605\6954-9-bg-01.htm',USER='105388',CD='Mar 24 09:10 2007'
*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*
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*SIGNATURES*
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| CREDIT SUISSE HIGH YIELD
BOND FUND | |
| --- | --- |
| /s/Keith M. Schappert | |
| Name: | Keith M. Schappert |
| Title: | Chief Executive Officer |
| Date: | March 28, 2007 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| /s/Keith M. Schappert | |
|---|---|
| Name: | Keith M. Schappert |
| Title: | Chief Executive Officer |
| Date: | March 28, 2007 |
| /s/Michael A. Pignataro | |
| Name: | Michael A. Pignataro |
| Title: | Chief Financial Officer |
| Date: | March 28, 2007 |
SEQ.=1,FOLIO='',FILE='C:\JMS\pselva\07-6954-9\task1916357\6954-9-jc.htm',USER='105344',CD='Mar 27 05:16 2007'
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