Regulatory Filings • Sep 26, 2008
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Download Source FileN-Q 1 a08-22434_11nq.htm N-Q
*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) | |
| Registrants
telephone number, including area code: | (212)
325-2000 |
| Date of
fiscal year end: | October 31st |
| Date of
reporting period: | May 1, 2008
to July 31, 2008 |
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Item 1: Schedule of Investments
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*Credit Suisse High Yield Bond Fund*
*Schedule of Investments*
July 31, 2008 (unaudited)
| (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS (134.0%) | |||||
| Aerospace & Defense (2.4%) | |||||
| $ 1,450 | BE Aerospace, | ||||
| Inc., Senior Unsecured Notes (Callable 07/01/13 @ $104.25) | (BB+, Ba3) | 07/01/18 | 8.500 | $ 1,500,750 | |
| 25 | DRS Technologies, Inc., Company Guaranteed | ||||
| Notes (Callable 02/01/11 @ $103.81) | (B, B3) | 02/01/18 | 7.625 | 444,125 | |
| 625 | Hawker Beechcraft Acquisition Co., Global Company | ||||
| Guaranteed Notes (Callable 04/01/11 @ $104.44) | (B-, B3) | 04/01/15 | 8.875 | 620,313 | |
| 1,275 | Hawker Beechcraft Acquisition Co., Series WI, | ||||
| Global Senior Subordinated Notes (Callable 04/01/12 @ $104.88)§ | (B-, Caa1) | 04/01/17 | 9.750 | 1,265,437 | |
| 625 | TransDigm, Inc., Global Company Guaranteed | ||||
| Notes (Callable 07/15/09 @ $105.81) | (B-, B3) | 07/15/14 | 7.750 | 612,500 | |
| 4,443,125 | |||||
| Agriculture (0.7%) | |||||
| 1,325 | Southern States Cooperative, Inc., | ||||
| Rule 144A, Senior Notes (Callable 9/08/08 @ $108.00) | (B-, Caa1) | 11/01/10 | 11.000 | 1,358,125 | |
| Auto Loans (5.7%) | |||||
| 1,225 | Ford Motor Credit Co. LLC, Global Senior Unsecured | ||||
| Notes | (B, B1) | 06/15/10 | 7.875 | 1,043,710 | |
| 2,900 | Ford Motor Credit Co. LLC, Global Senior Unsecured | ||||
| Notes | (B, B1) | 10/01/13 | 7.000 | 2,079,584 | |
| 325 | Ford Motor Credit Co. LLC, Senior Unsecured Notes | (B, B1) | 08/10/11 | 9.875 | 265,177 |
| 1,225 | Ford Motor Credit Co. LLC, Senior Unsecured Notes | (B, B1) | 12/15/16 | 8.000 | 866,907 |
| 1,175 | GMAC LLC, Debentures (Callable 9/08/08 @ $100.00) | (B-, B3) | 04/01/11 | 6.000 | 753,211 |
| 2,625 | GMAC LLC, Global Senior Unsecured Notes | (B-, B3) | 05/15/09 | 5.625 | 2,390,288 |
| 375 | GMAC LLC, Senior Unsecured Notes | (B-, B3) | 03/02/11 | 7.250 | 257,357 |
| 75 | GMAC LLC, Senior Unsecured Notes | (B-, B3) | 12/15/11 | 6.000 | 47,008 |
| 2,455 | GMAC LLC, Senior Unsecured Notes | (B-, B3) | 12/01/14 | 6.750 | 1,407,795 |
| 1,375 | Navios Maritime Holdings, Inc., Global Company | ||||
| Guaranteed Notes (Callable 12/15/10 @ $104.75) | (B+, B3) | 12/15/14 | 9.500 | 1,350,937 | |
| 10,461,974 | |||||
| Auto Parts & Equipment (3.0%) | |||||
| 1,300 | Altra Industrial Motion, Inc., Global Senior | ||||
| Secured Notes (Callable 12/01/08 @ $104.50) | (B+, B1) | 12/01/11 | 9.000 | 1,319,500 | |
| 775 | American Axle & Manufacturing, Inc., | ||||
| Company Guaranteed Notes (Callable 03/01/12 @ $103.94) | (B+, B1) | 03/01/17 | 7.875 | 515,375 | |
| 1,200 | American Tire Distributors Holdings, Inc., | ||||
| Global Senior Notes (Callable 04/01/09 @ $105.38) | (CCC+, Caa1) | 04/01/13 | 10.750 | 1,074,000 | |
| 1,123 | Goodyear Tire & Rubber Co., Global Senior | ||||
| Unsecured Notes (Callable 07/01/10 @ $104.50) | (BB-, Ba3) | 07/01/15 | 9.000 | 1,137,037 | |
| 750 | Lear Corp., Series B, Global Company | ||||
| Guaranteed Notes (Callable 12/01/10 @ $104.25) | (B+, B3) | 12/01/13 | 8.500 | 627,188 | |
| 525 | Tenneco, Inc., Global Company Guaranteed Notes | ||||
| (Callable 11/15/09 @ $104.31) | (B, B3) | 11/15/14 | 8.625 | 443,625 | |
| 193 | Visteon Corp., Global Senior Unsecured Notes§ | (B-, Caa2) | 08/01/10 | 8.250 | 166,945 |
| 498 | Visteon Corp., Rule 144A, Senior Unsecured | ||||
| Notes (Callable 12/31/13 @ $105.00) | (B-, Caa1) | 12/31/16 | 12.250 | 348,600 | |
| 5,632,270 | |||||
| Automotive (2.2%) | |||||
| 1,970 | Ford Motor Co., Global Senior Unsecured Notes | (CCC+, Caa1) | 07/16/31 | 7.450 | 1,034,250 |
| 925 | General Motors Corp., Global Senior Unsecured Notes | (B-, Caa2) | 01/15/11 | 7.200 | 610,500 |
| 2,750 | General Motors Corp., Senior Unsecured Notes | (B-, Caa2) | 07/15/13 | 7.125 | 1,574,375 |
| 1,765 | General Motors Corp., Senior Unsecured Notes§ | (B-, Caa2) | 07/15/33 | 8.375 | 878,087 |
| 4,097,212 | |||||
| Beverages (0.7%) | |||||
| 400 | Constellation Brands, Inc., Company Guaranteed | ||||
| Notes | (BB-, Ba3) | 12/15/14 | 8.375 | 411,000 | |
| 850 | Constellation Brands, Inc., Company Guaranteed | ||||
| Notes | (BB-, Ba3) | 09/01/16 | 7.250 | 824,500 | |
| 1,235,500 |
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| (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Brokerage (0.4%) | |||||
| $ 775 | E*TRADE Financial Corp., Global Senior Notes | ||||
| (Callable 9/22/08 @ $104.00) | (B, Ba3) | 06/15/11 | 8.000 | $ 685,875 | |
| Building & Construction (1.3%) | |||||
| 1,425 | Ashton Woods USA/Finance, Global Company Guaranteed | ||||
| Notes (Callable 10/01/10 @ $104.75) | (B-, Caa2) | 10/01/15 | 9.500 | 862,125 | |
| 625 | K Hovnanian Enterprises, Inc., Global Company | ||||
| Guaranteed Notes | (CCC+, Caa1) | 01/15/16 | 6.250 | 384,375 | |
| 900 | Standard Pacific Corp., Global Company Guaranteed | ||||
| Notes§ | (B-, B2) | 08/15/15 | 7.000 | 721,125 | |
| 1,000 | William Lyon Homes, Inc., Company Guaranteed | ||||
| Notes (Callable 09/15/08 @ $105.38) | (CCC+, Caa2) | 04/01/13 | 10.750 | 435,000 | |
| 2,402,625 | |||||
| Building Materials (3.9%) | |||||
| 1,000 | Associated Materials, Inc., Global Senior | ||||
| Discount Notes (Callable 03/01/09 @ $105.62)§+ | (CCC, Caa2) | 03/01/14 | 0.000 | 617,500 | |
| 1,375 | Building Materials Corp. of America, Global Secured | ||||
| Notes (Callable 08/01/09 @ $103.88) | (B+, B3) | 08/01/14 | 7.750 | 1,079,375 | |
| 1,150 | Coleman Cable, Inc., Global Company Guaranteed | ||||
| Notes (Callable 10/01/08 @ $104.94) | (B+, B2) | 10/01/12 | 9.875 | 1,060,875 | |
| 750 | CPG International I, Inc., Global Company | ||||
| Guaranteed Notes (Callable 07/01/09 @ $105.25) | (B, B3) | 07/01/13 | 10.500 | 596,250 | |
| 500 | Dayton Superior Corp., Company Guaranteed Notes | ||||
| (Callable 10/14/08 @ $100.00)§ | (CCC+, Caa1) | 06/15/09 | 13.000 | 406,250 | |
| 625 | General Cable Corp., Global Company Guaranteed | ||||
| Notes (Callable 04/01/09 @ $102.00)# | (B+, B1) | 04/01/15 | 5.166 | 553,125 | |
| 325 | Norcraft Cos., Global Company Guaranteed Notes | ||||
| (Callable 9/08/08 @ $104.50) | (B+, B1) | 11/01/11 | 9.000 | 323,375 | |
| 750 | Norcraft Holdings, Global Senior Discount Notes | ||||
| (Callable 09/15/08 @ $98.88)+ | (B-, B3) | 09/01/12 | 0.000 | 686,250 | |
| 825 | Nortek, Inc., Global Senior Subordinated Notes | ||||
| (Callable 09/01/09 @ $104.25) | (CCC, Caa1) | 09/01/14 | 8.500 | 471,281 | |
| 1,000 | NTK Holdings, Inc., Global Senior Discount | ||||
| Notes (Callable 09/01/09 @ $105.38)§+ | (CCC, Caa2) | 03/01/14 | 0.000 | 417,500 | |
| 525 | Ply Gem Industries, Inc., Global Company | ||||
| Guaranteed Notes (Callable 08/11/08 @ $104.50)§ | (CCC+, Caa2) | 02/15/12 | 9.000 | 275,625 | |
| 750 | Ply Gem Industries, Inc., Rule 144A, | ||||
| Senior Secured Notes (Callable 04/01/11 @ $105.88) | (B, B2) | 06/15/13 | 11.750 | 675,000 | |
| 7,162,406 | |||||
| Chemicals (4.7%) | |||||
| 1,475 | Chemtura Corp., Company Guaranteed Notes | (BB, Ba2) | 06/01/16 | 6.875 | 1,253,750 |
| 1,200 | Koppers Holdings, Inc., Global Senior Discount | ||||
| Notes (Callable 11/15/09 @ $104.94)+ | (B-, B2) | 11/15/14 | 0.000 | 1,086,000 | |
| 1,125 | Momentive Performance Materials, Global Company | ||||
| Guaranteed Notes (Callable 12/01/10 @ $104.88) | (B, B3) | 12/01/14 | 9.750 | 1,001,250 | |
| 1,050 | Momentive Performance Materials, Global Company | ||||
| Guaranteed Notes (Callable 12/01/11 @ $105.75)§ | (CCC+, Caa2) | 12/01/16 | 11.500 | 813,750 | |
| 275 | Nalco Co., Global Company Guaranteed Notes | ||||
| (Callable 11/15/08 @ $104.50) | (B-, B3) | 11/15/13 | 9.000 | 414,051 | |
| 1,275 | Nalco Finance Holdings, Inc., Global Senior | ||||
| Discounted Notes (Callable 02/01/09 @ $104.50)§+ | (B-, B3) | 02/01/14 | 0.000 | 1,153,875 | |
| 1,125 | PolyOne Corp., Senior Unsecured Notes | (B+, B1) | 05/01/12 | 8.875 | 1,125,000 |
| 1,175 | Reichhold Industries, Inc., Rule 144A, | ||||
| Senior Notes (Callable 08/15/10 @ $104.50) | (B+, B2) | 08/15/14 | 9.000 | 1,166,188 | |
| 650 | Terra Capital, Inc., Series B, Global | ||||
| Company Guaranteed Notes (Callable 02/01/12 @ $103.50) | (BB, B1) | 02/01/17 | 7.000 | 645,125 | |
| 8,658,989 | |||||
| Computer Hardware (0.3%) | |||||
| 825 | Activant Solutions, Inc., Global Company | ||||
| Guaranteed Notes (Callable 05/01/11 @ $104.75) | (CCC+, Caa1) | 05/01/16 | 9.500 | 631,125 | |
| Consumer Products (2.2%) | |||||
| 950 | AAC Group Holding Corp., Rule 144A, Senior | ||||
| Unsecured Notes (Callable 10/01/08 @ $105.13)+ | (CCC+, Caa1) | 10/01/12 | 0.000 | 916,750 |
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| (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Consumer Products | |||||
| $ 1,625 | Amscan | ||||
| Holdings, Inc., Global Senior Subordinated Notes (Callable 05/01/09 @ | |||||
| $104.38) | (CCC+, | ||||
| Caa1) | 05/01/14 | 8.750 | $ 1,421,875 | ||
| 925 | Jarden | ||||
| Corp., Company Guaranteed Notes (Callable 05/01/12 @ $103.75) | (B, | ||||
| B3) | 05/01/17 | 7.500 | 809,375 | ||
| 940 | Prestige | ||||
| Brands, Inc., Global Senior Subordinated Notes (Callable 9/08/08 @ | |||||
| $104.63) | (B-, | ||||
| B3) | 04/15/12 | 9.250 | 949,400 | ||
| 4,097,400 | |||||
| Consumer/Commercial/Lease Financing (0.6%) | |||||
| 350 | DI | ||||
| Finance/DynCorp. International, Rule 144A, Company Guaranteed Notes | |||||
| (Callable 02/15/09 @ $104.75) | (B, | ||||
| B2) | 02/15/13 | 9.500 | 349,563 | ||
| 760 | Residential | ||||
| Capital LLC, Rule 144A, Secured Notes (Callable 05/15/10 @ $104.81) | (CCC-, | ||||
| Caa3) | 05/15/15 | 9.625 | 300,200 | ||
| 450 | Ticketmaster, | ||||
| Rule 144A, Senior Notes (Callable 08/01/12 @ $105.38) | (BB, | ||||
| Ba3) | 08/01/16 | 10.750 | 468,000 | ||
| 1,117,763 | |||||
| Diversified Capital Goods (3.4%) | |||||
| 925 | Esco | ||||
| Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/08 @ | |||||
| $102.00)# | (B, | ||||
| B2) | 12/15/13 | 6.651 | 874,125 | ||
| 100 | Esco | ||||
| Corp., Rule 144A, Senior Notes (Callable 12/15/10 @ $104.31) | (B, | ||||
| B2) | 12/15/13 | 8.625 | 100,250 | ||
| 1,300 | RBS | ||||
| Global & Rexnord Corp., Global Company Guaranteed Notes (Callable | |||||
| 08/01/10 @ $104.75) | (B-, | ||||
| B3) | 08/01/14 | 9.500 | 1,248,000 | ||
| 950 | Sensus | ||||
| Metering Systems, Global Senior Subordinated Notes (Callable 12/15/08 @ | |||||
| $104.31) | (B-, | ||||
| B3) | 12/15/13 | 8.625 | 921,500 | ||
| 1,225 | Stanadyne | ||||
| Corp., Series 1, Global Senior Subordinated Notes (Callable 08/15/09 @ | |||||
| $105.00) | (B-, | ||||
| B3) | 08/15/14 | 10.000 | 1,188,250 | ||
| 1,025 | Titan | ||||
| International, Inc., Global Company Guaranteed Notes | (B-, | ||||
| Caa1) | 01/15/12 | 8.000 | 1,004,500 | ||
| 1,138 | TriMas | ||||
| Corp., Global Company Guaranteed Notes (Callable 9/08/08 @ $103.29) | (B-, | ||||
| B3) | 06/15/12 | 9.875 | 1,009,975 | ||
| 6,346,600 | |||||
| Diversified Telecommunication Services (1.3%) | |||||
| 2,325 | Intelsat | ||||
| Corp., Rule 144A, Senior Unsecured Notes (Callable 08/15/09 @ $104.63) | (BB-, | ||||
| B3) | 08/15/14 | 9.250 | 2,307,563 | ||
| Electric - Generation (5.6%) | |||||
| 1,475 | Calpine | ||||
| Generating Company LLC, Global Senior Secured Notes (Callable 04/01/09 @ $100.00) ø | (D, | ||||
| NR) | 04/01/10 | 11.070 | 81,125 | ||
| 1,325 | Dynegy | ||||
| Holdings, Inc., Global Senior Unsecured Notes | (B, | ||||
| B2) | 06/01/15 | 7.500 | 1,262,062 | ||
| 1,825 | Dynegy | ||||
| Holdings, Inc., Global Senior Unsecured Notes | (B, | ||||
| B2) | 05/01/16 | 8.375 | 1,820,437 | ||
| 1,225 | Dynegy | ||||
| Holdings, Inc., Global Senior Unsecured Notes | (B, | ||||
| B2) | 06/01/19 | 7.750 | 1,133,125 | ||
| 1,175 | Edison | ||||
| Mission Energy, Global Senior Unsecured Notes | (BB-, | ||||
| B1) | 05/15/17 | 7.000 | 1,116,250 | ||
| 300 | Edison | ||||
| Mission Energy, Global Senior Unsecured Notes | (BB-, | ||||
| B1) | 05/15/19 | 7.200 | 283,500 | ||
| 438 | Midwest | ||||
| Generation LLC, Series B, Global Pass Thru Certificates | (BB+, | ||||
| Baa3) | 01/02/16 | 8.560 | 452,514 | ||
| 350 | NRG | ||||
| Energy, Inc., Company Guaranteed Notes (Callable 01/15/12 @ $103.69) | (B, | ||||
| B1) | 01/15/17 | 7.375 | 338,625 | ||
| 675 | NRG | ||||
| Energy, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.69) | (B, | ||||
| B1) | 02/01/16 | 7.375 | 656,438 | ||
| 850 | Reliant | ||||
| Energy, Inc., Senior Unsecured Notes | (BB-, | ||||
| B1) | 06/15/14 | 7.625 | 824,500 | ||
| 175 | Reliant | ||||
| Energy, Inc., Senior Unsecured Notes | (BB-, | ||||
| B1) | 06/15/17 | 7.875 | 169,750 | ||
| 2,050 | The | ||||
| AES Corp., Global Senior Unsecured Notes | (BB-, | ||||
| B1) | 10/15/17 | 8.000 | 2,029,500 | ||
| 175 | The | ||||
| AES Corp., Senior Unsecured Notes | (BB-, | ||||
| B1) | 03/01/14 | 7.750 | 174,563 | ||
| 10,342,389 | |||||
| Electric - Integrated (4.9%) | |||||
| 25 | Mirant | ||||
| Americas Generation, LLC, Senior Unsecured Notes | (B-, | ||||
| B3) | 05/01/11 | 8.300 | 25,625 | ||
| 1,425 | Mirant | ||||
| Americas Generation, LLC, Senior Unsecured Notes | (B-, | ||||
| B3) | 10/01/21 | 8.500 | 1,275,375 | ||
| 447 | Mirant | ||||
| Mid Atlantic LLC, Series B, Global Pass Thru Certificates | (BB, | ||||
| Ba1) | 06/30/17 | 9.125 | 484,163 | ||
| 800 | PNM | ||||
| Resources, Inc., Unsecured Notes | (BB-, | ||||
| Ba2) | 05/15/15 | 9.250 | 818,000 | ||
| 4,725 | Texas | ||||
| Competitive Electric Holdings Co., LLC, Series A, Rule 144A, | |||||
| Company Guaranteed Notes (Callable 11/01/11 @ $105.13) | (CCC, | ||||
| B3) | 11/01/15 | 10.250 | 4,748,625 |
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| (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Electric - Integrated | |||||
| $ 1,650 | Texas Competitive Electric Holdings Co., LLC, | ||||
| Series B, Rule 144A, Company Guaranteed Notes (Callable 11/01/11 @ | |||||
| $105.13) | (CCC, B3) | 11/01/15 | 10.250 | $ 1,658,250 | |
| 9,010,038 | |||||
| Electronics (3.1%) | |||||
| 1,375 | Amkor Technology, Inc., Global Senior Notes | ||||
| (Callable 09/08/08 @ $103.88) | (B+, B1) | 05/15/13 | 7.750 | 1,263,281 | |
| 207 | Ampex Corp., Secured Notes^ø | (NR, NR) | 08/15/08 | 12.000 | 200,446 |
| 225 | Freescale Semiconductor, Inc., Global Company | ||||
| Guaranteed Notes (Callable 12/15/10 @ $104.44) | (B-, B2) | 12/15/14 | 8.875 | 191,812 | |
| 2,325 | Freescale Semiconductor, Inc., Senior | ||||
| Subordinated Notes§ | (B-, B3) | 12/15/16 | 10.125 | 1,836,750 | |
| 1,000 | Sanmina-SCI Corp., Global Company Guaranteed Notes | ||||
| (Callable 03/01/09 @ $103.38) | (B-, B3) | 03/01/13 | 6.750 | 895,000 | |
| 250 | Sanmina-SCI Corp., Senior Subordinated Notes | ||||
| (Callable 03/01/11 @ $104.06) | (B-, B3) | 03/01/16 | 8.125 | 223,750 | |
| 1,200 | Viasystems, Inc., Global Senior Unsecured | ||||
| Notes (Callable 08/11/08 @ $105.25) | (B+, Caa1) | 01/15/11 | 10.500 | 1,191,000 | |
| 5,802,039 | |||||
| Energy - Exploration & | |||||
| Production (5.6%) | |||||
| 975 | Chaparral Energy, Inc., Global Company | ||||
| Guaranteed Notes (Callable 02/01/12 @ $104.44) | (B-, Caa1) | 02/01/17 | 8.875 | 845,813 | |
| 575 | Charter Communications Operating LLC, | ||||
| Rule 144A, Senior Secured Notes | (B-, B3) | 04/30/12 | 8.000 | 550,563 | |
| 150 | Chesapeake Energy Corp., Company Guaranteed Notes | (BB, Ba3) | 07/15/13 | 7.625 | 153,375 |
| 525 | Chesapeake Energy Corp., Senior Notes | (BB, Ba3) | 12/15/18 | 7.250 | 517,125 |
| 1,450 | Chesapeake Energy Corp., Company Guaranteed Notes (Callable | ||||
| 01/15/09 @ $103.44) | (BB, Ba3) | 01/15/16 | 6.875 | 1,401,062 | |
| 1,000 | Encore Acquisition Co., Company Guaranteed Notes | ||||
| (Callable 12/01/10 @ $103.63) | (B+, B1) | 12/01/17 | 7.250 | 965,000 | |
| 975 | Hilcorp Energy I LP, Rule 144A, Senior | ||||
| Unsecured Notes (Callable 06/01/11 @ $104.50) | (BB-, B3) | 06/01/16 | 9.000 | 960,375 | |
| 800 | Mariner Energy Inc., Company Guaranteed Notes | ||||
| (Callable 05/15/12 @ $104.00) | (B+, B3) | 05/15/17 | 8.000 | 758,000 | |
| 1,275 | Petrohawk Energy Corp., Global Company Guaranteed | ||||
| Notes (Callable 07/15/10 @ $104.56) | (B, B3) | 07/15/13 | 9.125 | 1,297,312 | |
| 1,400 | Plains Exploration & Production, Co., | ||||
| Company Guaranteed Notes (Callable 06/15/11 @ $103.88) | (BB, B1) | 06/15/15 | 7.750 | 1,382,500 | |
| 775 | Southwestern Energy Co., Rule 144A, Senior | ||||
| Unsecured Notes | (BB+, Ba2) | 02/01/18 | 7.500 | 798,250 | |
| 775 | Swift Energy Co, Company Guaranteed Notes (Callable | ||||
| 06/01/12 @ $103.56) | (BB-, B1) | 06/01/17 | 7.125 | 713,000 | |
| 10,342,375 | |||||
| Environmental (1.6%) | |||||
| 1,450 | Allied Waste North America, Inc., Global | ||||
| Senior Secured Notes (Callable 03/15/10 @ $103.63) | (BB, B1) | 03/15/15 | 7.250 | 1,439,125 | |
| 1,500 | Waste Services, Inc., Global Senior | ||||
| Subordinated Notes (Callable 04/15/09 @ $104.75) | (B-, Caa1) | 04/15/14 | 9.500 | 1,515,000 | |
| 2,954,125 | |||||
| Food & Drug Retailers (1.6%) | |||||
| 1,925 | Duane Reade, Inc., Global Company Guranteed | ||||
| Notes (Callable 9/08/08 @ $104.88)§ | (CCC-, Caa3) | 08/01/11 | 9.750 | 1,703,625 | |
| 250 | Ingles Markets, Inc., Global Senior | ||||
| Subordinated Notes (Callable 09/15/08 @ $102.90) | (B+, B2) | 12/01/11 | 8.875 | 254,375 | |
| 75 | Stater Brothers Holdings, Inc., Global Company | ||||
| Guaranteed Notes (Callable 04/15/11 @ $103.88) | (B+, B2) | 04/15/15 | 7.750 | 72,000 | |
| 925 | Stater Brothers Holdings, Inc., Global Company | ||||
| Guaranteed Notes (Callable 9/08/08 @ $104.06) | (B+, B2) | 06/15/12 | 8.125 | 925,000 | |
| 2,955,000 | |||||
| Food - Wholesale (1.2%) | |||||
| 825 | Dole Foods Co., Inc., Company Guaranteed | ||||
| Notes§ | (B-, Caa 1) | 07/15/13 | 8.750 | 746,625 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105687\08-22434-11\task3136748\22434-11-bi-01.htm',USER='105687',CD='Sep 18 00:59 2008'
| (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Food - Wholesale | |||||
| $ 175 | Dole | ||||
| Foods Co., Inc., Global Company Guaranteed Notes (Callable 9/08/08 @ | |||||
| $102.22) | (B-, | ||||
| Caa1) | 03/15/11 | 8.875 | $ 160,344 | ||
| 1,575 | Smithfield | ||||
| Foods, Inc., Senior Unsecured Notes | (BB-, | ||||
| Ba3) | 07/01/17 | 7.750 | 1,354,500 | ||
| 2,261,469 | |||||
| Forestry & Paper (4.6%) | |||||
| 478 | Boise | ||||
| Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/09 @ $103.56) | (BB-, | ||||
| B2) | 10/15/14 | 7.125 | 332,210 | ||
| 1,600 | Cellu | ||||
| Tissue Holdings, Inc., Global Secured Notes (Callable 08/11/08 @ | |||||
| $103.66) | (B, | ||||
| B2) | 03/15/10 | 9.750 | 1,480,000 | ||
| 250 | Georgia-Pacific | ||||
| Corp., Debentures | (B+, | ||||
| B2) | 06/15/15 | 7.700 | 233,750 | ||
| 750 | Georgia-Pacific | ||||
| Corp., Global Senior Notes | (B+, | ||||
| B2) | 01/15/24 | 8.000 | 693,750 | ||
| 300 | Georgia-Pacific | ||||
| Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ $103.56) | (BB-, | ||||
| Ba3) | 01/15/17 | 7.125 | 278,250 | ||
| 800 | Graphic | ||||
| Packaging International Corp., Global Senior Subordinated Notes (Callable | |||||
| 08/15/08 @ $104.75) | (B-, | ||||
| B3) | 08/15/13 | 9.500 | 748,000 | ||
| 625 | Newark | ||||
| Group, Inc., Global Senior Subordinated Notes (Callable 03/15/09 @ | |||||
| $104.88) | (CCC+, | ||||
| B3) | 03/15/14 | 9.750 | 415,625 | ||
| 500 | NewPage Corp., | ||||
| Global Company Guaranteed Notes (Callable 05/01/09 @ $106.00) | (B-, | ||||
| B2) | 05/01/12 | 10.000 | 481,250 | ||
| 675 | NewPage Corp., | ||||
| Global Company Guaranteed Notes (Callable 05/01/09 @ $106.00)§ | (CCC+, | ||||
| B3) | 05/01/13 | 12.000 | 649,688 | ||
| 2,475 | Smurfit-Stone | ||||
| Container, Global Senior Unsecured Notes (Callable 08/11/08 @ $102.79) | (B-, | ||||
| B3) | 07/01/12 | 8.375 | 2,196,562 | ||
| 1,125 | Verso | ||||
| Paper Holdings LLC, Series B, Global Company Guaranteed Notes (Callable | |||||
| 08/01/11 @ $105.69) | (CCC+, | ||||
| B3) | 08/01/16 | 11.375 | 950,625 | ||
| 75 | Verso | ||||
| Paper Holdings LLC, Series B, Global Senior Secured Notes (Callable | |||||
| 08/01/10 @ $104.56) | (B+, | ||||
| B2) | 08/01/14 | 9.125 | 67,500 | ||
| 8,527,210 | |||||
| Gaming (6.9%) | |||||
| 1,125 | Buffalo | ||||
| Thunder Development Authority, Rule 144A, Secured Notes (Callable | |||||
| 12/15/10 @ $104.69) | (B, | ||||
| B2) | 12/15/14 | 9.375 | 658,125 | ||
| 200 | Caesars | ||||
| Entertainment, Inc., Global Company Guaranteed Notes§ | (B-, | ||||
| Caa2) | 03/15/10 | 7.875 | 177,500 | ||
| 1,975 | Caesars | ||||
| Entertainment, Inc., Global Company Guaranteed Notes§ | (B-, | ||||
| Caa2) | 05/15/11 | 8.125 | 1,491,125 | ||
| 1,225 | CCM | ||||
| Merger, Inc., Rule 144A, Notes (Callable 08/01/09 @ $104.00) | (B-, | ||||
| Caa1) | 08/01/13 | 8.000 | 1,001,438 | ||
| 290 | Choctaw | ||||
| Resort Development Enterprise, Rule 144A, Senior Notes (Callable | |||||
| 11/15/11 @ $103.63) | (BB, | ||||
| Ba2) | 11/15/19 | 7.250 | 232,000 | ||
| 575 | FireKeepers | ||||
| Development Authority, Rule 144A, Senior Secured Notes (Callable | |||||
| 05/01/12 @ $110.50) | (B, | ||||
| B3) | 05/01/15 | 13.875 | 531,875 | ||
| 625 | Fontainebleau | ||||
| Las Vegas, Rule 144A, Second Mortgage Notes (Callable 06/15/11 @ | |||||
| $105.13)§ | (CCC+, | ||||
| Caa1) | 06/15/15 | 10.250 | 334,375 | ||
| 225 | Herbst | ||||
| Gaming, Inc., Global Company Guaranteed Notes (Callable 9/08/08 @ | |||||
| $104.06)ø | (D, | ||||
| C) | 06/01/12 | 8.125 | 23,625 | ||
| 750 | Inn | ||||
| of the Mountain Gods Resort & Casino, Global Senior Secured Notes | |||||
| (Callable 9/08/08 @ $106.00)§ | (B, | ||||
| B3) | 11/15/10 | 12.000 | 551,250 | ||
| 1,250 | Jacobs | ||||
| Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/15/10 | |||||
| @ $104.88) | (B, | ||||
| B3) | 06/15/14 | 9.750 | 900,000 | ||
| 500 | Majestic | ||||
| Star Casino LLC, Global Company Guaranteed Notes (Callable 10/15/08 @ | |||||
| $104.88) | (CCC-, | ||||
| Caa2) | 01/15/11 | 9.750 | 137,500 | ||
| 950 | Majestic | ||||
| Star Casino LLC, Senior Secured Notes (Callable 9/08/08 @ $104.75)§ | (B-, | ||||
| Caa1) | 10/15/10 | 9.500 | 750,500 | ||
| 1,275 | Mashantucket | ||||
| Pequot Tribe, Rule 144A, Bonds (Callable 11/15/11 @ $104.25) | (BB+, | ||||
| Ba2) | 11/15/15 | 8.500 | 988,125 | ||
| 1,150 | MGM | ||||
| Mirage, Inc., Company Guaranteed Notes | (BB, | ||||
| Ba2) | 04/01/16 | 6.875 | 911,375 | ||
| 1,000 | MGM | ||||
| Mirage, Inc., Company Guaranteed Notes | (BB, | ||||
| Ba2) | 06/01/16 | 7.500 | 802,500 | ||
| 1,700 | MGM | ||||
| Mirage, Inc., Company Guaranteed Notes | (BB, | ||||
| Ba2) | 01/15/17 | 7.625 | 1,368,500 | ||
| 175 | MGM | ||||
| Mirage, Inc., Global Company Guaranteed Notes | (BB, | ||||
| Ba2) | 04/01/13 | 6.750 | 147,000 | ||
| 600 | Peermont | ||||
| Global Proprietary Ltd., Rule 144A, Senior Secured Notes (Callable 04/30/10 | |||||
| @ $105.81) | (NR, | ||||
| NR) | 04/30/14 | 7.750 | 739,558 | ||
| 670 | Tropicana | ||||
| Entertainment LLC, Global Senior Subordinated Notes (Callable 12/15/10 @ $104.81)ø§ | (D, | ||||
| NR) | 12/15/14 | 9.625 | 184,250 | ||
| 200 | Trump Entertainment Resorts, Inc., Senior Secured Notes (Callable | ||||
| 06/01/10 @ $104.25)§ | (CCC+, | ||||
| Caa1) | 06/01/15 | 8.500 | 99,500 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105687\08-22434-11\task3136748\22434-11-bi-01.htm',USER='105687',CD='Sep 18 00:59 2008'
| (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Gaming | |||||
| $ 775 | Turning | ||||
| Stone Resort Casino Enterprise, Rule 144A, Senior Notes (Callable | |||||
| 09/15/10 @ $104.56) | (B+, | ||||
| B1) | 09/15/14 | 9.125 | $ 740,125 | ||
| 12,770,246 | |||||
| Gas Distribution (3.5%) | |||||
| 775 | Amerigas | ||||
| Partners LP, Global Senior Unsecured Notes (Callable 05/20/10 @ $103.63) | (NR, | ||||
| Ba3) | 05/20/15 | 7.250 | 720,750 | ||
| 950 | El | ||||
| Paso Corp., Senior Unsecured Notes | (BB-, | ||||
| Ba3) | 06/01/18 | 7.250 | 945,250 | ||
| 1,625 | El | ||||
| Paso Performance-Linked Trust, Rule 144A, Senior Unsecured Notes | (BB, | ||||
| Ba3) | 07/15/11 | 7.750 | 1,652,505 | ||
| 825 | Inergy | ||||
| LP/Inergy Finance Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ | |||||
| $104.13) | (B+, | ||||
| B1) | 03/01/16 | 8.250 | 798,187 | ||
| 275 | Inergy | ||||
| LP/Inergy Finance Corp., Global Senior Unsecured Notes (Callable 12/15/09 @ | |||||
| $103.44) | (B+, | ||||
| B1) | 12/15/14 | 6.875 | 248,875 | ||
| 550 | MarkWest | ||||
| Energy Partners LP/ Finance Corp., Rule 144A, Senior Notes (Callable | |||||
| 04/15/13 @ $104.38) | (B+, | ||||
| B2) | 04/15/18 | 8.750 | 550,000 | ||
| 875 | Targa | ||||
| Resources Partners LP, Rule 144A, Senior Notes (Callable 07/01/12 @ $104.13) | (B, | ||||
| B2) | 07/01/16 | 8.250 | 826,875 | ||
| 700 | Williams | ||||
| Partners LP, Global Senior Unsecured Notes | (BBB-, | ||||
| Ba2) | 02/01/17 | 7.250 | 701,750 | ||
| 6,444,192 | |||||
| Health Services (9.0%) | |||||
| 1,315 | Bausch & | ||||
| Lomb, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/11 @ | |||||
| $104.94) | (B, | ||||
| Caa1) | 11/01/15 | 9.875 | 1,351,163 | ||
| 1,875 | HCA, Inc., | ||||
| Global Secured Notes (Callable 11/15/11 @ $104.63) | (BB-, | ||||
| B2) | 11/15/16 | 9.250 | 1,935,937 | ||
| 1,300 | HCA, Inc., | ||||
| Global Senior Unsecured Notes | (B-, | ||||
| Caa1) | 01/15/15 | 6.375 | 1,072,500 | ||
| 1,675 | HCA, Inc., | ||||
| Global Senior Unsecured Notes | (B-, | ||||
| Caa1) | 02/15/16 | 6.500 | 1,402,812 | ||
| 700 | HCA, Inc., | ||||
| Senior Unsecured Notes | (B-, | ||||
| Caa1) | 10/01/12 | 6.300 | 628,250 | ||
| 1,050 | HCA, Inc., | ||||
| Senior Unsecured Notes | (B-, | ||||
| Caa1) | 02/15/13 | 6.250 | 913,500 | ||
| 625 | HCA, Inc., | ||||
| Senior Unsecured Notes | (B-, | ||||
| Caa1) | 07/15/13 | 6.750 | 546,875 | ||
| 1,275 | Healthsouth | ||||
| Corp., Global Company Guaranteed Notes (Callable 06/15/11 @ $105.38) | (CCC+, | ||||
| Caa1) | 06/15/16 | 10.750 | 1,370,625 | ||
| 750 | Stewart | ||||
| Enterprises, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ | |||||
| $103.13) | (BB-, | ||||
| Ba3) | 02/15/13 | 6.250 | 725,625 | ||
| 2,750 | Tenet | ||||
| Healthcare Corp., Global Senior Unsecured Notes | (B, | ||||
| Caa1) | 07/01/14 | 9.875 | 2,777,500 | ||
| 500 | Tenet | ||||
| Healthcare Corp., Global Senior Unsecured Notes | (B, | ||||
| Caa1) | 02/01/15 | 9.250 | 499,375 | ||
| 500 | Universal | ||||
| Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/09 | |||||
| @ $102.00)# | (B+, | ||||
| B3) | 06/01/15 | 6.303 | 467,500 | ||
| 325 | Universal | ||||
| Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/11 | |||||
| @ $104.25) | (B+, | ||||
| B3) | 06/01/15 | 8.500 | 326,625 | ||
| 1,600 | Vanguard | ||||
| Health Holding Co., Global Senior Subordinated Notes (Callable 10/01/09 @ | |||||
| $104.50) | (CCC+, | ||||
| Caa1) | 10/01/14 | 9.000 | 1,568,000 | ||
| 1,050 | VWR | ||||
| Funding, Inc., Global Company Guaranteed Notes (Callable 07/15/11 @ | |||||
| $105.13) | (B-, | ||||
| Caa1) | 07/15/15 | 10.250 | 968,625 | ||
| 16,554,912 | |||||
| Healthcare - Services (1.6%) | |||||
| 550 | Biomet, Inc., | ||||
| Global Company Guaranteed Notes (Callable 10/15/12 @ $105.00) | (B-, | ||||
| B3) | 10/15/17 | 10.000 | 594,000 | ||
| 525 | Biomet, Inc., | ||||
| Global Company Guaranteed Notes (Callable 10/15/12 @ $105.81) | (B-, | ||||
| Caa1) | 10/15/17 | 11.625 | 557,156 | ||
| 1,825 | Community | ||||
| Health Systems, Inc., Global Company Guaranteed Notes (Callable 07/15/11 | |||||
| @ $104.44) | (B, | ||||
| B3) | 07/15/15 | 8.875 | 1,847,813 | ||
| 2,998,969 | |||||
| Hotels (0.6%) | |||||
| 350 | Host | ||||
| Hotels & Resorts LP, Global Secured Notes (Callable 11/01/10 @ $ 103.44) | (BB, | ||||
| Ba1) | 11/01/14 | 6.875 | 313,250 | ||
| 975 | Host | ||||
| Marriott LP, Series Q, Global Company Guaranteed Notes (Callable | |||||
| 06/01/11 @ $103.33) | (BB, | ||||
| Ba1) | 06/01/16 | 6.750 | 838,500 | ||
| 1,151,750 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105687\08-22434-11\task3136748\22434-11-bi-01.htm',USER='105687',CD='Sep 18 00:59 2008'
| (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Household & Leisure Products (0.9%) | |||||
| $ 1,000 | ALH | ||||
| Finance LLC/ALH Finance Corp., Global Senior Subordinated Notes (Callable | |||||
| 01/15/09 @ 104.25) | (CCC+, | ||||
| B3) | 01/15/13 | 8.500 | $ 922,500 | ||
| 500 | Ames | ||||
| True Temper, Inc., Global Company Guaranteed Notes (Callable 09/15/08 @ | |||||
| $101.50)# | (CCC+, | ||||
| Caa1) | 01/15/12 | 6.791 | 400,000 | ||
| 675 | Ames | ||||
| True Temper, Inc., Global Company Guaranteed Notes (Callable 09/15/08 @ | |||||
| $105.00)§ | (CCC-, | ||||
| Caa3) | 07/15/12 | 10.000 | 391,500 | ||
| 1,714,000 | |||||
| Investments & Misc. Financial Services (0.8%) | |||||
| 700 | Nuveen | ||||
| Investments, Inc., Rule 144A, Senior Notes (Callable 11/15/11 @ | |||||
| $105.25) | (B-, | ||||
| B3) | 11/15/15 | 10.500 | 633,500 | ||
| 1,075 | WMG | ||||
| Acquisition Corp., Global Senior Subordinated Notes (Callable 04/15/09 @ | |||||
| $103.69) | (B, | ||||
| B3) | 04/15/14 | 7.375 | 854,625 | ||
| 1,488,125 | |||||
| Leisure (0.3%) | |||||
| 122 | Six | ||||
| Flags Operations, Inc., Rule 144A, Company Guaranteed Notes (Callable | |||||
| 07/15/13 @ $106.12)§ | (CCC, | ||||
| Caa2) | 07/15/16 | 12.250 | 110,715 | ||
| 900 | Six | ||||
| Flags, Inc., Global Senior Unsecured Notes (Callable 06/01/09 @ $104.81) | (CCC-, | ||||
| Caa3) | 06/01/14 | 9.625 | 456,750 | ||
| 567,465 | |||||
| Machinery (0.9%) | |||||
| 1,175 | Baldor | ||||
| Electric Co., Company Guaranteed Notes (Callable 02/15/12 @ $104.31) | (B, | ||||
| B3) | 02/15/17 | 8.625 | 1,183,813 | ||
| 450 | Terex | ||||
| Corp., Senior Subordinated Notes (Callable 11/15/12 @ $104.00) | (B+, | ||||
| Ba3) | 11/15/17 | 8.000 | 442,125 | ||
| 1,625,938 | |||||
| Media - Broadcast (3.3%) | |||||
| 700 | Allbritton | ||||
| Communications Co., Global Senior Subordinated Notes (Callable 09/15/08 @ | |||||
| $103.88) | (B+, | ||||
| B1) | 12/15/12 | 7.750 | 647,500 | ||
| 1,500 | Barrington | ||||
| Broadcasting, Global Company Guaranteed Notes (Callable 08/15/10 @ $105.25) | (CCC+, | ||||
| Caa1) | 08/15/14 | 10.500 | 1,275,000 | ||
| 1,175 | Clear | ||||
| Channel Communications, Inc., Senior Unsecured Notes | (CCC+, | ||||
| Caa1) | 09/15/14 | 5.500 | 641,095 | ||
| 925 | CMP | ||||
| Susquehanna Corp., Global Company Guaranteed Notes (Callable 05/15/10 @ | |||||
| $104.94) | (CCC, | ||||
| Caa1) | 05/15/14 | 9.875 | 587,375 | ||
| 550 | Fisher | ||||
| Communications, Inc., Global Company Guaranteed Notes (Callable 09/15/09 | |||||
| @ $104.31) | (B, | ||||
| B2) | 09/15/14 | 8.625 | 566,500 | ||
| 925 | Local | ||||
| TV Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 06/15/11 @ | |||||
| $104.63) | (CCC+, | ||||
| Caa1) | 06/15/15 | 9.250 | 707,625 | ||
| 1,425 | Univision | ||||
| Communications, Inc., Rule 144A, Senior Notes (Callable 03/15/11 @ | |||||
| $104.88)§ | (CCC, | ||||
| B3) | 03/15/15 | 9.750 | 1,093,687 | ||
| 1,525 | Young | ||||
| Broadcasting, Inc., Global Senior Subordinated Notes (Callable 01/15/09 | |||||
| @ $104.38) | (CCC-, | ||||
| Caa2) | 01/15/14 | 8.750 | 659,563 | ||
| 6,178,345 | |||||
| Media - Cable (7.4%) | |||||
| 1,875 | Atlantic | ||||
| Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/09 @ | |||||
| $104.69) | (CCC+, | ||||
| Caa1) | 01/15/14 | 9.375 | 1,671,094 | ||
| 2,625 | CCH | ||||
| I LLC, Global Secured Notes (Callable 10/01/10 @ $105.50)§ | (CCC, | ||||
| Caa3) | 10/01/15 | 11.000 | 2,001,562 | ||
| 1,800 | CCH | ||||
| II LLC, Series B, Global Company Guaranteed Notes (Callable 09/15/08 @ | |||||
| $105.13) | (CCC, | ||||
| Caa2) | 09/15/10 | 10.250 | 1,719,000 | ||
| 792 | Charter | ||||
| Communications Holdings LLC, Senior Unsecured Notes (Callable 9/08/08 @ | |||||
| $100.00)§ | (CCC, | ||||
| Ca) | 04/01/11 | 9.920 | 546,480 | ||
| 1,275 | CSC | ||||
| Holdings, Inc., Global Senior Unsecured Notes | (BB, | ||||
| B1) | 04/15/12 | 6.750 | 1,220,812 | ||
| 275 | CSC | ||||
| Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 06/15/12 | |||||
| @ $104.25) | (BB, | ||||
| B1) | 06/15/15 | 8.500 | 272,250 | ||
| 1,150 | CSC | ||||
| Holdings, Inc., Series B, Senior Unsecured Notes | (BB, | ||||
| B1) | 04/01/11 | 7.625 | 1,142,812 | ||
| 1,050 | DirecTV | ||||
| Holdings LLC/DirecTV Financing Co., Global Company Guaranteed Notes (Callable | |||||
| 9/08/08 @ $104.19) | (BB, | ||||
| Ba3) | 03/15/13 | 8.375 | 1,089,375 | ||
| 425 | DirecTV | ||||
| Holdings LLC/DirecTV Financing Co., Rule 144A, Company Guaranteed Notes | |||||
| (Callable 05/15/12 $103.81) | (BB, | ||||
| Ba3) | 05/15/16 | 7.625 | 423,938 | ||
| 200 | EchoStar | ||||
| DBS Corp., Global Company Guaranteed Notes | (BB-, | ||||
| Ba3) | 10/01/13 | 7.000 | 191,000 | ||
| 1,150 | EchoStar | ||||
| DBS Corp., Global Company Guaranteed Notes | (BB-, | ||||
| Ba3) | 10/01/14 | 6.625 | 1,058,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105687\08-22434-11\task3136748\22434-11-bi-01.htm',USER='105687',CD='Sep 18 00:59 2008'
| (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Media - Cable | |||||
| $ 925 | EchoStar DBS Corp., Global Company Guaranteed Notes | (BB-, Ba3) | 05/31/15 | 7.750 | $ 892,625 |
| 775 | Mediacom Broadband LLC, Global Senior Unsecured | ||||
| Notes (Callable 10/15/10 @ $104.25) | (B-, B3) | 10/15/15 | 8.500 | 695,563 | |
| 825 | Mediacom LLC, Senior Notes (Callable 8/11/08 @ | ||||
| $100.00) | (B-, B3) | 02/15/11 | 7.875 | 771,375 | |
| 13,695,886 | |||||
| Metals & Mining - | |||||
| Excluding Steel (2.4%) | |||||
| 225 | Aleris International, Inc., Global Company | ||||
| Guaranteed Notes (Callable 12/15/10 @ $104.50) | (B-, B3) | 12/15/14 | 9.000 | 173,250 | |
| 1,100 | Aleris International, Inc., Global Company | ||||
| Guaranteed Notes (Callable 12/15/11 @ $105.00) | (B-, Caa1) | 12/15/16 | 10.000 | 764,500 | |
| 800 | Freeport-McMoRan Copper & Gold, Inc., | ||||
| Senior Unsecured Notes (Callable 04/01/11 @ $104.13) | (BBB-, Ba2) | 04/01/15 | 8.250 | 835,064 | |
| 1,075 | Freeport-McMoRan Copper & Gold, Inc., | ||||
| Senior Unsecured Notes (Callable 04/01/12 @ $104.19) | (BBB-, Ba2) | 04/01/17 | 8.375 | 1,127,799 | |
| 1,700 | Noranda Aluminium Acquisition Corp., Global Company | ||||
| Guaranteed Notes (Callable 8/08/08 @ $102.00)# | (B-, B3) | 05/15/15 | 6.828 | 1,479,000 | |
| 4,379,613 | |||||
| Non-Food & Drug Retailers (5.2%) | |||||
| 1,675 | Affinity Group, Inc., Global Senior Unsecured | ||||
| Notes (Callable 09/15/08 @ $105.44) | (CCC, Caa2) | 02/15/12 | 10.875 | 1,507,580 | |
| 900 | Asbury Automotive Group, Inc., Global Company | ||||
| Guaranteed Notes (Callable 03/15/12 @ $103.81) | (B, B3) | 03/15/17 | 7.625 | 669,375 | |
| 1,350 | Brookstone Company, Inc., Global Secured Notes | ||||
| (Callable 10/15/09 @ $106.00)§ | (B, Caa1) | 10/15/12 | 12.000 | 1,248,750 | |
| 850 | GameStop Corp., Global Company Guaranteed Notes | ||||
| (Callable 10/01/09 @ $104.00) | (BB, Ba1) | 10/01/12 | 8.000 | 879,750 | |
| 505 | Michaels Stores, Inc., Global Company | ||||
| Guaranteed Notes (Callable 11/01/10 @ $105.00)§ | (CCC, B2) | 11/01/14 | 10.000 | 407,788 | |
| 645 | Michaels Stores, Inc., Global Company | ||||
| Guaranteed Notes (Callable 11/01/11 @ $105.69)§ | (CCC, Caa1) | 11/01/16 | 11.375 | 457,950 | |
| 1,585 | Neiman Marcus Group, Inc., Global Company | ||||
| Guaranteed Notes (Callable 10/15/10 @ $105.19)§ | (B, B3) | 10/15/15 | 10.375 | 1,561,225 | |
| 1,000 | PCA LLC/PCA Finance Corp., Global Company | ||||
| Guaranteed Notesø | (D, NR) | 08/01/09 | 11.875 | 40,000 | |
| 600 | SGS International, Inc., Rule 144A, | ||||
| Global Senior Subordinated Notes (Callable 12/15/09 @ $106.00) | (B-, B3) | 12/15/13 | 12.000 | 517,500 | |
| 1,463 | Susser Holdings LLC, Global Company Guaranteed | ||||
| Notes (Callable 12/15/09 @ $105.31) | (B+, B3) | 12/15/13 | 10.625 | 1,448,370 | |
| 100 | Yankee Acquisition Corp., Series B, Global | ||||
| Company Guaranteed Notes (Callable 02/15/11 @ $104.25)§ | (B-, B3) | 02/15/15 | 8.500 | 74,000 | |
| 1,225 | Yankee Acquisition Corp., Series B, Global | ||||
| Company Guaranteed Notes (Callable 02/15/12 @ $104.88)§ | (CCC+, Caa1) | 02/15/17 | 9.750 | 710,500 | |
| 9,522,788 | |||||
| Office Equipment (0.5%) | |||||
| 825 | IKON Office Solutions, Inc., Global Senior | ||||
| Unsecured Notes (Callable 09/15/10 @ $103.88) | (BB-, Ba3) | 09/15/15 | 7.750 | 829,125 | |
| Oil Field Equipment & | |||||
| Services (0.7%) | |||||
| 825 | Bristow Group, Inc., Global Company Guaranteed | ||||
| Notes (Callable 09/15/12 @ $103.75) | (BB, Ba2) | 09/15/17 | 7.500 | 816,750 | |
| 450 | Key Energy Services, Inc., Rule 144A, | ||||
| Company Guaranteed Notes (Callable 12/01/11 @ $104.19) | (BB-, B1) | 12/01/14 | 8.375 | 454,500 | |
| 1,271,250 | |||||
| Packaging (3.0%) | |||||
| 705 | Berry Petroleum Co., Senior Subordinated Notes | ||||
| (Callable 11/01/11 @ $104.13) | (B+, B3) | 11/01/16 | 8.250 | 697,950 | |
| 850 | Berry Plastics Holding Corp., Global Company | ||||
| Guaranteed Notes (Callable 03/01/11 @ $105.13)§ | (CCC, Caa2) | 03/01/16 | 10.250 | 556,750 | |
| 955 | Berry Plastics Holding Corp., Global Senior Secured | ||||
| Notes (Callable 09/15/10 @ $104.44) | (CCC+, Caa1) | 09/15/14 | 8.875 | 768,775 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105687\08-22434-11\task3136748\22434-11-bi-03.htm',USER='105687',CD='Sep 18 01:01 2008'
| (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Packaging | |||||
| $ 725 | Constar International, Inc., Company | ||||
| Guaranteed Notes (Callable 9/08/08 @ $105.50) | (CCC, Caa2) | 12/01/12 | 11.000 | $ 360,687 | |
| 325 | Crown Cork & Seal Co., Inc., Debentures | ||||
| (Callable 08/11/08 @ $101.91) | (B, B2) | 04/15/23 | 8.000 | 290,875 | |
| 50 | Graham Packaging Company, Inc., Global Company | ||||
| Guaranteed Notes (Callable 10/15/08 @ $104.25) | (CCC+, Caa1) | 10/15/12 | 8.500 | 46,750 | |
| 1,225 | Graham Packaging Company, Inc., Global | ||||
| Subordinated Notes (Callable 10/15/09 @ $104.94) | (CCC+, Caa1) | 10/15/14 | 9.875 | 1,053,500 | |
| 200 | Owens Brockway Glass Container, Inc., Global | ||||
| Company Guaranteed Notes (Callable 9/08/08 @ $104.12) | (BB, Ba3) | 05/15/13 | 8.250 | 206,000 | |
| 769 | Pliant Corp., Global Senior Secured Notes (Callable | ||||
| 09/15/08 @ $105.81) | (B, NR) | 06/15/09 | 11.625 | 749,429 | |
| 1,000 | Solo Cup Co., Global Company Guaranteed Notes | ||||
| (Callable 02/15/09 @ $104.25)§ | (CCC, Caa2) | 02/15/14 | 8.500 | 860,000 | |
| 5,590,716 | |||||
| Printing & Publishing (3.2%) | |||||
| 1,000 | Cenveo Corp., Global Senior Subordinated Notes | ||||
| (Callable 12/01/08 @ $103.94) | (B, B3) | 12/01/13 | 7.875 | 842,500 | |
| 1,675 | Idearc, Inc., Global Company Guaranteed Notes | ||||
| (Callable 11/15/11 @ $104.00) | (B-, B3) | 11/15/16 | 8.000 | 770,500 | |
| 2,975 | R.H. Donnelley Corp., Global Senior Unsecured Notes | ||||
| (Callable 01/15/09 @ $103.44) | (B-, B3) | 01/15/13 | 6.875 | 1,487,500 | |
| 375 | R.H. Donnelley Corp., Series A-2, Global | ||||
| Senior Discount Notes (Callable 01/15/09 @ $103.44) | (B-, B3) | 01/15/13 | 6.875 | 187,500 | |
| 1,400 | The Readers Digest Association, Inc., Global | ||||
| Company Guaranteed Notes (Callable 02/15/12 @ $104.50) | (CCC, Caa1) | 02/15/17 | 9.000 | 798,000 | |
| 1,300 | TL Acquisitions, Inc., Rule 144A, Senior | ||||
| Notes (Callable 07/15/11 @ $105.25) | (CCC+, Caa1) | 01/15/15 | 10.500 | 1,150,500 | |
| 785 | Valassis Communications, Inc., Global Company | ||||
| Guaranteed Notes (Callable 03/01/11 @ $104.13) | (B-, B3) | 03/01/15 | 8.250 | 663,325 | |
| 5,899,825 | |||||
| Railroads (0.4%) | |||||
| 750 | Kansas City Southern Railway, Company Guaranteed | ||||
| Notes (Callable 06/01/12 @ $104.00) | (BB-, B2) | 06/01/15 | 8.000 | 761,250 | |
| Restaurants (0.4%) | |||||
| 775 | Dennys Holdings, Inc., Global Company | ||||
| Guaranteed Notes (Callable 10/01/08 @ $105.00) | (B, B3) | 10/01/12 | 10.000 | 751,750 | |
| Software/Services (2.3%) | |||||
| 1,725 | First Data Corp., Rule 144A, Company | ||||
| Guaranteed Notes (Callable 09/30/11 @ $104.94) | (B, B3) | 09/24/15 | 9.875 | 1,528,781 | |
| 1,625 | SunGard Data Systems, Inc., Global Company | ||||
| Guaranteed Notes (Callable 08/15/10 @ $105.13) | (B-, Caa1) | 08/15/15 | 10.250 | 1,657,500 | |
| 1,150 | Unisys Corp., Senior Unsubordinated Notes (Callable | ||||
| 01/15/12 @ $106.25) | (B+, B2) | 01/15/16 | 12.500 | 1,138,500 | |
| 4,324,781 | |||||
| Steel Producers/Products (2.1%) | |||||
| 1,075 | AK Steel Corp., Global Company Guaranteed Notes | ||||
| (Callable 9/08/08 @ $102.58) | (BB-, B1) | 06/15/12 | 7.750 | 1,107,250 | |
| 400 | PNA Intermediate Holding Corp., Global Senior | ||||
| Unsecured Notes (Callable 9/08/08 @ $102.00)# | (NR, Caa1) | 02/15/13 | 9.676 | 404,000 | |
| 1,275 | Rathgibson, Inc., Global Company Guaranteed | ||||
| Notes (Callable 02/15/10 @ $105.62) | (B, B3) | 02/15/14 | 11.250 | 1,217,625 | |
| 1,200 | Ryerson, Inc., Rule 144A, Senior Secured | ||||
| Notes (Callable 11/01/11 @ $106.00) | (B+, B2) | 11/01/15 | 12.000 | 1,176,000 | |
| 3,904,875 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105687\08-22434-11\task3136748\22434-11-bi-03.htm',USER='105687',CD='Sep 18 01:01 2008'
| (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Support-Services (5.8%) | |||||
| $ 550 | Allied Security Escrow Corp., Global Company | ||||
| Guaranteed Notes (Callable 9/11/08 @ $105.69) | (CCC+, Caa1) | 07/15/11 | 11.375 | $ 552,750 | |
| 300 | ARAMARK Corp., Global Company Guaranteed Notes | ||||
| (Callable 02/01/09 @ $102.00)# | (B, B3) | 02/01/15 | 6.373 | 277,500 | |
| 925 | ARAMARK Corp., Global Senior Unsecured Notes | ||||
| (Callable 02/01/11 @ $104.25) | (B, B3) | 02/01/15 | 8.500 | 926,156 | |
| 150 | Education Management LLC, Global Company Guaranteed | ||||
| Notes (Callable 06/01/10 @ $104.38) | (CCC+, B2) | 06/01/14 | 8.750 | 135,750 | |
| 1,075 | Education Management LLC, Global Company Guaranteed | ||||
| Notes (Callable 06/01/11 @ $105.13) | (CCC+, Caa1) | 06/01/16 | 10.250 | 937,937 | |
| 650 | Hertz Corp., Global Company Guaranteed Notes | ||||
| (Callable 01/01/10 @ $104.44) | (BB-, B1) | 01/01/14 | 8.875 | 599,625 | |
| 600 | Hertz Corp., Global Company Guaranteed Notes | ||||
| (Callable 01/01/11 @ $105.25) | (B, B2) | 01/01/16 | 10.500 | 525,000 | |
| 350 | Iron Mountain, Inc., Company Guaranteed Notes | ||||
| (Callable 06/15/13 @ $104.00) | (B+, B2) | 06/15/20 | 8.000 | 342,125 | |
| 200 | Iron Mountain, Inc., Company Guaranteed Notes | ||||
| (Callable 8/19/08 @ $103.31) | (B+, B2) | 01/01/16 | 6.625 | 188,000 | |
| 750 | Iron Mountain, Inc., Company Guaranteed Notes | ||||
| (Callable 09/15/08 @ $101.44) | (B+, B2) | 04/01/13 | 8.625 | 756,563 | |
| 1,500 | JohnsonDiversey Holdings, Inc., Series B, | ||||
| Global Discount Notes (Callable 08/11/08 @ $103.56) | (CCC+, Caa1) | 05/15/13 | 10.670 | 1,507,500 | |
| 1,050 | Mobile Services Group, Inc., Global Company | ||||
| Guaranteed Notes (Callable 08/01/10 @ $104.88) | (B+, B2) | 08/01/14 | 9.750 | 1,013,250 | |
| 205 | Neff Corp., Global Company Guaranteed Notes | ||||
| (Callable 06/01/11 @ $105.00)§ | (CCC+, Caa2) | 06/01/15 | 10.000 | 76,875 | |
| 1,100 | Rental Service Corp., Global Company Guaranteed | ||||
| Notes (Callable 12/01/10 @ $104.75) | (B-, Caa1) | 12/01/14 | 9.500 | 907,500 | |
| 1,675 | Travelport LLC, Global Company Guaranteed Notes | ||||
| (Callable 09/01/11 @ $105.94)§ | (CCC+, Caa1) | 09/01/16 | 11.875 | 1,319,062 | |
| 125 | United Rentals North America, Inc., Global | ||||
| Company Guaranteed Notes (Callable 08/11/08 @ $103.25) | (BB-, B1) | 02/15/12 | 6.500 | 113,438 | |
| 725 | United Rentals North America, Inc., Global | ||||
| Senior Subordinated Notes (Callable 02/15/09 @ $103.50) | (B, B2) | 02/15/14 | 7.000 | 563,688 | |
| 10,742,719 | |||||
| Telecom - Fixed Line (1.6%) | |||||
| 1,800 | Level 3 Financing, Inc., Global Company | ||||
| Guaranteed Notes (Callable 02/15/09 @ $102.00)# | (CCC+, Caa1) | 02/15/15 | 6.704 | 1,512,000 | |
| 725 | Level 3 Financing, Inc., Global Company | ||||
| Guaranteed Notes (Callable 03/15/10 @ $106.13) | (CCC+, Caa1) | 03/15/13 | 12.250 | 732,250 | |
| 775 | Time Warner Telecom Holdings, Inc., Global | ||||
| Company Guaranteed Notes (Callable 02/15/09 @ $104.62) | (CCC+, B3) | 02/15/14 | 9.250 | 790,500 | |
| 3,034,750 | |||||
| Telecom - Integrated/Services (5.0%) | |||||
| 1,550 | Cincinnati Bell, Inc., Global Senior | ||||
| Subordinated Notes (Callable 01/15/09 @ $104.19) | (B-, B2) | 01/15/14 | 8.375 | 1,484,125 | |
| 925 | Citizens Communications Co., Senior Unsecured Notes | (BB, Ba2) | 01/15/13 | 6.250 | 883,375 |
| 700 | Hawaiian Telcom Communications, Inc., | ||||
| Series B, Global Company Guaranteed Notes (Callable 05/01/10 @ $106.25)§ | (CCC, Caa3) | 05/01/15 | 12.500 | 150,500 | |
| 1,100 | Hughes Network Systems LLC, Global Company | ||||
| Guaranteed Notes (Callable 04/15/10 @ $104.75) | (B, B1) | 04/15/14 | 9.500 | 1,117,875 | |
| 525 | Intelsat Subsidiary Holding Co., Ltd., | ||||
| Rule 144A, Senior Unsecured Notes (Callable 01/15/10 @ $104.44) | (BB-, B3) | 01/15/15 | 8.875 | 519,750 | |
| 1,525 | Paetec Holding Corp., Series WI, Global | ||||
| Company Guaranteed Notes (Callable 07/15/11 @ $104.75) | (CCC+, Caa1) | 07/15/15 | 9.500 | 1,397,281 | |
| 2,250 | Qwest Communications International, Inc., | ||||
| Series B, Global Company Guaranteed Notes (Callable 02/15/09 @ $103.75) | (B+, Ba3) | 02/15/14 | 7.500 | 2,086,875 | |
| 350 | Windstream Corp., Global Company Guaranteed Notes | (BB, Ba3) | 08/01/13 | 8.125 | 355,250 |
| 125 | Windstream Corp., Global Company Guaranteed Notes | ||||
| (Callable 03/15/12 @ $103.50) | (BB, Ba3) | 03/15/19 | 7.000 | 115,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105687\08-22434-11\task3136748\22434-11-bi-03.htm',USER='105687',CD='Sep 18 01:01 2008'
| (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Telecom - Integrated/Services | |||||
| $ 1,100 | Windstream Corp., Global | ||||
| Company Guaranteed Notes (Callable 08/01/11 @ $104.31) | (BB, Ba3) | 08/01/16 | 8.625 | $ 1,119,250 | |
| 9,229,281 | |||||
| Telecom - Wireless (3.7%) | |||||
| 675 | Centennial Cellular | ||||
| Communications Corp., Global Company Guaranteed Notes (Callable 9/08/08 @ | |||||
| $105.06) | (B, B2) | 06/15/13 | 10.125 | 705,375 | |
| 1,025 | Cricket Communications, Inc., | ||||
| Global Company Guaranteed Notes (Callable 11/01/10 @ $104.69) | (B-, B3) | 11/01/14 | 9.375 | 1,009,625 | |
| 875 | MetroPCS Wireless, Inc., Global | ||||
| Company Guaranteed Notes (Callable 11/01/10 @ $104.63) | (B, Caa1) | 11/01/14 | 9.250 | 853,125 | |
| 1,800 | Nextel Communications, Inc., | ||||
| Series F, Company Guaranteed Notes (Callable 03/15/09 @ $102.98) | (BB, Baa3) | 03/15/14 | 5.950 | 1,369,525 | |
| 3,425 | Sprint Nextel Corp., Senior | ||||
| Unsecured Notes | (BB, Baa3) | 12/01/16 | 6.000 | 2,890,059 | |
| 6,827,709 | |||||
| Textiles & Apparel (0.7%) | |||||
| 1,300 | Levi Strauss & Co., Global | ||||
| Senior Notes (Callable 01/15/10 @ $104.88) | (B+, B2) | 01/15/15 | 9.750 | 1,231,750 | |
| Theaters & Entertainment (0.8%) | |||||
| 1,675 | AMC Entertainment, Inc., Global | ||||
| Senior Subordinated Notes (Callable 03/01/09 @ $104.00) | (CCC+, B2) | 03/01/14 | 8.000 | 1,501,219 | |
| TOTAL U.S. CORPORATE BONDS (Cost $278,757,962) | 247,826,426 | ||||
| FOREIGN CORPORATE BONDS (11.5%) | |||||
| Building Materials (0.0%) | |||||
| 1,000 | Maax Corp., Global Senior | ||||
| Subordinated Notes (Callable 06/15/09 @ $104.88) (Canada)ø | (D, NR) | 06/15/12 | 9.750 | 30,000 | |
| Chemicals (1.0%) | |||||
| 1,725 | Basell AF SCA, Rule 144A, | ||||
| Company Guaranteed Notes (Callable 08/15/10 @ $104.19) (Luxembourg) | (B-, B3) | 08/15/15 | 8.375 | 1,069,500 | |
| 1,125 | Ineos Group Holdings PLC, Rule | ||||
| 144A, Company Guaranteed Notes (Callable 02/15/11 @ $104.25) (United | |||||
| Kingdom) | (B-, B3) | 02/15/16 | 8.500 | 759,375 | |
| 1,828,875 | |||||
| Electronics (2.1%) | |||||
| 1,150 | Avago Technologies Finance, | ||||
| Global Company Guaranteed Notes (Callable 12/01/10 @ $105.94) (Singapore) | (B, B3) | 12/01/15 | 11.875 | 1,230,500 | |
| 625 | Celestica, Inc., Senior | ||||
| Subordinated Notes (Callable 07/01/09 @ $103.81) (Canada) | (B, B3) | 07/01/13 | 7.625 | 600,000 | |
| 225 | Celestica, Inc., Senior | ||||
| Subordinated Notes (Callable 09/08/08 @ $103.94) (Canada) | (B, B3) | 07/01/11 | 7.875 | 227,250 | |
| 1,000 | New Asat, Ltd., Global Company | ||||
| Guaranteed Notes (Callable 02/01/09 @ $102.31) (Cayman Islands) | (CCC-, Caa1) | 02/01/11 | 9.250 | 640,000 | |
| 400 | NXP BV/NXP Funding LLC, Global | ||||
| Company Guaranteed Notes (Callable 10/15/11 @ $104.75) (Netherlands)§ | (B, Caa1) | 10/15/15 | 9.500 | 278,000 | |
| 50 | NXP BV/NXP Funding LLC, Global Senior | ||||
| Secured Notes (Callable 10/15/10 @ $103.94) (Netherlands) | (B, B3) | 10/15/14 | 7.875 | 41,875 | |
| 900 | NXP BV/NXP Funding LLC, Global | ||||
| Company Guaranteed Notes (Callable 10/15/11 @ $104.31) (Netherlands) | (CCC+, Caa2) | 10/15/15 | 8.625 | 926,788 | |
| 3,944,413 | |||||
| Energy - Exploration & Production (0.5%) | |||||
| 875 | OPTI Canada, Inc., Global | ||||
| Senior Secured Notes (Callable 12/15/10 @ $104.13) (Canada) | (BB+, B1) | 12/15/14 | 8.250 | 885,938 | |
| Forestry & Paper (1.1%) | |||||
| 2,325 | Abitibi-Consolidated, Inc., | ||||
| Global Company Guaranteed Notes (Canada)§ | (CCC+, Caa2) | 06/15/11 | 7.750 | 1,092,750 | |
| 1,000 | Smurfit Kappa Funding PLC, | ||||
| Global Senior Subordinated Notes (Callable 01/31/10 @ $103.88) (Ireland) | (B+, B2) | 04/01/15 | 7.750 | 905,000 | |
| 1,997,750 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105687\08-22434-11\task3136748\22434-11-bi-03.htm',USER='105687',CD='Sep 18 01:01 2008'
| (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| FOREIGN CORPORATE | |||||
| BONDS | |||||
| Gaming (0.4%) | |||||
| $ 600 | Codere Finance | ||||
| Luxembourg, Rule 144A, Senior Secured Notes (Callable 06/15/10 @ $104.13) | |||||
| (Luxembourg) | (BB-, B2) | 06/15/15 | 8.250 | $ 791,047 | |
| Media - Cable (1.1%) | |||||
| 150 | NTL Cable PLC, | ||||
| Global Senior Notes (Callable 08/15/11 @ $104.56) (United Kingdom) | (B-, B2) | 08/15/16 | 9.125 | 139,500 | |
| 675 | Unitymedia | ||||
| GmbH, Rule 144A, Senior Secured Notes (Callable 02/15/10 @ $105.06) | |||||
| (Germany) | (B-, Caa2) | 02/15/15 | 10.125 | 1,022,890 | |
| 500 | Virgin Media | ||||
| Finance PLC, Global Company Guaranteed Notes (Callable 04/15/09 @ $104.88) | |||||
| (United Kingdom) | (B-, B2) | 04/15/14 | 9.750 | 891,405 | |
| 2,053,795 | |||||
| Media - Diversified (0.6%) | |||||
| 1,175 | Quebecor | ||||
| Media, Inc., Global Senior Unsecured Notes (Callable 03/15/11 @ $103.88) | |||||
| (Canada) | (B, B2) | 03/15/16 | 7.750 | 1,089,813 | |
| Oil Refining & | |||||
| Marketing (0.5%) | |||||
| 875 | Petroplus | ||||
| Finance, Ltd., Rule 144A, Company Guaranteed Notes (Callable 05/01/11 @ | |||||
| $103.38) (Bermuda) | (BB-, B1) | 05/01/14 | 6.750 | 770,000 | |
| 100 | Petroplus | ||||
| Finance, Ltd., Rule 144A, Company Guaranteed Notes (Callable 05/01/12 @ | |||||
| $103.50) (Bermuda) | (BB-, B1) | 05/01/17 | 7.000 | 87,000 | |
| 857,000 | |||||
| Packaging (0.2%) | |||||
| 275 | Impress | ||||
| Holdings BV, Rule 144A, Company Guaranteed Notes (Callable 09/15/09 @ | |||||
| $109.25) (Netherlands) | (B-, B3) | 09/15/14 | 9.250 | 371,144 | |
| Pharmaceuticals (0.5%) | |||||
| 150 | Elan Finance | ||||
| PLC, Global Company Guaranteed Notes (Callable 11/15/08 @ $103.88) (Ireland) | (B, B3) | 11/15/11 | 7.750 | 144,375 | |
| 775 | Elan Finance | ||||
| PLC, Global Company Guaranteed Notes (Callable 12/01/10 @ $104.44) (Ireland) | (B, B3) | 12/01/13 | 8.875 | 759,500 | |
| 903,875 | |||||
| Support-Services (0.8%) | |||||
| 1,000 | Ashtead | ||||
| Holdings PLC, Rule 144A, Secured Notes (Callable 08/01/10 @ $104.31) (United | |||||
| Kingdom)§ | (B, B1) | 08/01/15 | 8.625 | 880,000 | |
| 525 | Carlson | ||||
| Wagonlit BV, Rule 144A, Company Guaranteed Notes (Callable 09/12/08 @ | |||||
| $104.00) (Netherlands)# | (B-, B2) | 05/01/15 | 10.607 | 614,348 | |
| 1,494,348 | |||||
| Telecom - | |||||
| Integrated/Services (1.4%) | |||||
| 1,550 | Global | ||||
| Crossing UK Finance, Global Company Guaranteed Notes (Callable 12/15/09 @ | |||||
| $105.38) (United Kingdom) | (B-, B3) | 12/15/14 | 10.750 | 1,519,000 | |
| 550 | Hellas II, | ||||
| Rule 144A, Company Guaranteed Notes (Callable 09/15/08 @ $102.00) | |||||
| (Luxembourg)# | (CCC+, Caa1) | 01/15/15 | 8.541 | 404,250 | |
| 650 | Nordic | ||||
| Telephone Co. Holdings, Rule 144A, Senior Secured Notes (Callable 05/01/11 @ | |||||
| $104.44) (Denmark) | (B+, B2) | 05/01/16 | 8.875 | 630,500 | |
| 2,553,750 | |||||
| Telecommunications | |||||
| Equipment (0.5%) | |||||
| 875 | Nortel | ||||
| Networks Ltd., Rule 144A, Company Guaranteed Notes (Callable 07/15/11 @ | |||||
| $105.38) (Canada) | (B-, B3) | 07/15/16 | 10.750 | 861,875 | |
| Textiles & | |||||
| Apparel (0.0%) | |||||
| 75 | IT Holding | ||||
| Finance SA, Rule 144A, Company Guaranteed Notes (Luxembourg) | (CCC, B3) | 11/15/12 | 9.875 | 74,307 | |
| Transportation - | |||||
| Excluding Air/Rail (0.8%) | |||||
| 1,450 | Ship Finance | ||||
| International, Ltd., Global Company Guaranteed Notes (Callable 12/15/08 @ | |||||
| $104.25) (Bermuda) | (B+, B1) | 12/15/13 | 8.500 | 1,475,375 | |
| TOTAL FOREIGN | |||||
| CORPORATE BONDS (Cost $25,013,807) | 21,213,305 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105687\08-22434-11\task3136748\22434-11-bi-03.htm',USER='105687',CD='Sep 18 01:01 2008'
| Number of | |||||
|---|---|---|---|---|---|
| Shares | Value | ||||
| COMMON STOCKS (0.0%) | |||||
| Automobile Parts & Equipment (0.0%) | |||||
| 774,557 | Cambridge Industries Liquidating Trust^* | $ 0 | |||
| Chemicals (0.0%) | |||||
| 4,893 | Huntsman Corp. | 66,055 | |||
| TOTAL COMMON STOCKS (Cost | |||||
| $34,459) | 66,055 | ||||
| WARRANTS (0.0%) | |||||
| Electronics (0.0%) | |||||
| 204,293 | Viasystems, Inc., strike price $25.31, | ||||
| expires 01/31/10^ (Cost $3,772,613) | 2,043 | ||||
| SHORT-TERM INVESTMENTS (17.0%) | |||||
| 29,053,313 | State Street Navigator Prime Portfolio§§ | 29,053,313 | |||
| Par | |||||
| (000) | Maturity | Rate% | |||
| $ 2,353 | State Street Bank and Trust Co. Euro Time | ||||
| Deposit | 08/01/08 | 0.850 | 2,353,000 | ||
| TOTAL SHORT-TERM INVESTMENTS (Cost | |||||
| $31,406,313) | 31,406,313 | ||||
| TOTAL INVESTMENTS AT VALUE (162.5%) (Cost $338,985,154) | 300,514,142 | ||||
| LIABILITIES IN EXCESS OF OTHER ASSETS | |||||
| (-62.5 %) | (115,609,622 | ) | |||
| NET ASSETS (100.0%) | $ 184,904,520 |
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
| Forward Foreign — Currency Contract | Expiration — Date | Foreign Currency To — Be Purchased/(Sold) | Contract — Amount | Contract — Value | Unrealized — Gain (Loss) | |||||
|---|---|---|---|---|---|---|---|---|---|---|
| European Economic Unit | 10/10/08 | | (3,216,000 | ) | $ (5,037,157 | ) | $ (4,998,634 | ) | $ 38,523 | |
| British Pound | 10/10/08 | £ | (450,500 | ) | (886,381 | ) | (887,605 | ) | (1,224 | ) |
| $ (5,923,538 | ) | $ (5,886,239 | ) | $ 37,299 |
*INVESTMENT ABBREVIATION*
NR= Not Rated
| | Credit
ratings given by the Standard & 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, 2008, these
securities amounted to a value of $44,389,823 or 24.0% of net assets. |
| # | Variable
rate obligations The interest rate is the rate as of July 31, 2008. |
| + | Step
Bond The interest rate is as of July 31, 2008 and will reset at a
future date. |
| ø | Bond
is currently in default. |
| ^ | Not
readily marketable security; security is valued at fair value as determined
in good faith by, or under the direction of, the Board of Trustees. |
| * | Non-income
producing security. |
| § | Security
or portion thereof is out on loan. |
| §§ | Represents
security purchased with cash collateral received for securities on loan. |
SECURITY VALUATION The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the Exchange) on each day the Exchange is open for business. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (Valuation Time). If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Investments in mutual funds are valued at the mutual 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 July 31, 2008, the Fund held 0.1% of its net assets in securities valued at fair value as determined in good faith under procedures established by the Board of Trustees with an aggregate cost of $3,975,946 and fair value of $202,489. The 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.
SEQ.=1,FOLIO='',FILE='C:\JMS\105687\08-22434-11\task3136748\22434-11-bi-03.htm',USER='105687',CD='Sep 18 01:01 2008'
Federal Income Tax Cost - At July 31, 2008, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized depreciation from investments were $338,985,154, $1,407,867, $(39,878,879) and $(38,471,012), respectively.
Other information regarding the Fund is available in the 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\105687\08-22434-11\task3136748\22434-11-bi-03.htm',USER='105687',CD='Sep 18 01:01 2008'
*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
SEQ.=1,FOLIO='',FILE='C:\JMS\105575\08-22434-11\task3135763\22434-11-ga.htm',USER='105575',CD='Sep 17 08:58 2008'
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| CREDIT
SUISSE HIGH YIELD BOND FUND | |
| --- | --- |
| /s/George R. Hornig | |
| Name: | George R. Hornig |
| Title: | Chief Executive Officer |
| Date: | September 26, 2008 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| /s/George R. Hornig | |
|---|---|
| Name: | George R. Hornig |
| Title: | Chief Executive Officer |
| Date: | September 26, 2008 |
| /s/Michael A. Pignataro | |
|---|---|
| Name: | Michael A. Pignataro |
| Title: | Chief Financial Officer |
| Date: | September 26, 2008 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105575\08-22434-11\task3135763\22434-11-jc.htm',USER='105575',CD='Sep 17 08:59 2008'
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