Regulatory Filings • Sep 18, 2009
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Download Source FileN-Q 1 a09-24220_6nq.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, 2009
to July 31, 2009 |
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Item 1: Schedule of Investments
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*Credit Suisse High Yield Bond Fund*
*Schedule of Investments*
July 31, 2009 (unaudited)
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. | |||||
| CORPORATE BONDS (111.9%) | |||||
| Aerospace & | |||||
| Defense (1.0%) | |||||
| $ 575 | BE Aerospace, Inc., Senior Unsecured Notes | ||||
| (Callable 07/01/13 @ $104.25) | (BB+, Ba3) | 07/01/18 | 8.500 | $ 573,563 | |
| 750 | Hawker Beechcraft Acquisition Co., Global Company | ||||
| Guaranteed Notes (Callable 04/01/11 @ $104.25) | (CCC-, Caa3) | 04/01/15 | 8.500 | 440,625 | |
| 825 | Hawker Beechcraft Acquisition Co., Global Company | ||||
| Guaranteed Notes (Callable 04/01/12 @ $104.88) | (CCC-, Ca) | 04/01/17 | 9.750 | 416,625 | |
| 1,430,813 | |||||
| Agriculture (0.4%) | |||||
| 650 | Southern States Cooperative, Inc., | ||||
| Rule 144A, Senior Notes (Callable 11/01/09 @ $100.00) | (B-, B3) | 11/01/11 | 11.000 | 601,250 | |
| Auto | |||||
| Loans (3.1%) | |||||
| 725 | Ford Motor Credit Co. LLC, Global Senior Unsecured | ||||
| Notes | (CCC+, Caa1) | 06/15/10 | 7.875 | 714,471 | |
| 775 | Ford Motor Credit Co. LLC, Global Senior Unsecured | ||||
| Notes | (CCC+, Caa1) | 08/01/12 | 7.500 | 715,754 | |
| 2,685 | Ford Motor Credit Co. LLC, Global Senior Unsecured | ||||
| Notes | (CCC+, Caa1) | 10/01/13 | 7.000 | 2,403,032 | |
| 325 | Ford Motor Credit Co. LLC, Senior Unsecured Notes | (CCC+, Caa1) | 08/10/11 | 9.875 | 322,170 |
| 100 | Ford Motor Credit Co. LLC, Senior Unsecured Notes | (CCC+, Caa1) | 12/15/16 | 8.000 | 89,752 |
| 4,245,179 | |||||
| Auto | |||||
| Parts & Equipment (3.1%) | |||||
| 975 | Altra Industrial Motion, Inc., Global Senior | ||||
| Secured Notes (Callable 12/01/09 @ $102.25) | (B+, B1) | 12/01/11 | 9.000 | 967,687 | |
| 775 | American Axle & Manufacturing, Inc., | ||||
| Company Guaranteed Notes (Callable 03/01/12 @ $103.94) | (CCC-, Ca) | 03/01/17 | 7.875 | 251,875 | |
| 1,200 | American Tire Distributors, Inc., Global | ||||
| Company Guarnteed Notes (Callable 04/01/10 @ $102.69) | (CCC+, Caa1) | 04/01/13 | 10.750 | 1,008,000 | |
| 800 | Stanadyne Corp., Series 1, Global Senior | ||||
| Subordinated Notes (Callable 08/15/09 @ $105.00) | (CCC, Caa1) | 08/15/14 | 10.000 | 652,000 | |
| 525 | Tenneco, Inc., Global Company Guaranteed | ||||
| Notes (Callable 11/15/09 @ $104.31) | (CCC, Caa2) | 11/15/14 | 8.625 | 454,125 | |
| 848 | The Goodyear Tire & Rubber Co., Global | ||||
| Company Guaranteed Notes (Callable 07/01/10 @ $104.50) | (B+, B1) | 07/01/15 | 9.000 | 864,960 | |
| 50 | The Goodyear Tire & Rubber Co., Senior | ||||
| Unsecured Notes (Callable 05/15/12 @ $107.88) | (B+, B1) | 05/15/16 | 10.500 | 53,875 | |
| 4,252,522 | |||||
| Banks (3.8%) | |||||
| 800 | CIT Group, Inc., Senior Unsecured Notes# | (CC, Ca) | 02/13/12 | 1.170 | 428,261 |
| 1,450 | CIT Group, Inc., Senior Unsecured Notes | (CC, Ca) | 02/13/12 | 5.400 | 795,774 |
| 2,390 | GMAC LLC, Rule 144A, Company Guaranteed | ||||
| Notes | (CCC, Ca) | 03/02/11 | 7.250 | 2,276,475 | |
| 744 | GMAC LLC, Rule 144A, Company Guaranteed | ||||
| Notes | (CCC, Ca) | 04/01/11 | 6.000 | 686,340 | |
| 47 | GMAC LLC, Rule 144A, Company Guaranteed | ||||
| Notes | (CCC, Ca) | 12/15/11 | 6.000 | 42,535 | |
| 99 | GMAC LLC, Rule 144A, Company Guaranteed | ||||
| Notes | (CCC, Ca) | 12/31/13 | 7.500 | 85,140 | |
| 1,007 | GMAC LLC, Rule 144A, Company Guaranteed | ||||
| Notes | (CCC, Ca) | 12/01/14 | 6.750 | 876,090 | |
| 119 | GMAC LLC, Rule 144A, Subordinated Notes | (CC, Ca) | 12/31/18 | 8.000 | 91,630 |
| 5,282,245 | |||||
| Beverages (0.5%) | |||||
| 675 | Constellation Brands, Inc., Company | ||||
| Guaranteed Notes | (BB-, Ba3) | 09/01/16 | 7.250 | 664,875 | |
| Brokerage (0.4%) | |||||
| 475 | E*TRADE Financial Corp., Global Senior Unsecured | ||||
| Notes (Callable 6/15/10 @ $100.00) | (CC, B3) | 06/15/11 | 8.000 | 543,875 | |
| Building & | |||||
| Construction (1.8%) | |||||
| 741 | Ashton Woods Finance Co., Rule 144A, Senior | ||||
| Subordinated Notes (Callable 02/24/14 @ $105.50)+ | (NR, NR) | 06/30/15 | 0.000 | 166,725 | |
| 150 | D.R. Horton, Inc., Company Guaranteed Notes | (BB-, Ba3) | 05/01/13 | 6.875 | 146,250 |
| 625 | K Hovnanian Enterprises, Inc., Global Company | ||||
| Guaranteed Notes | (D, Caa2) | 01/15/16 | 6.250 | 334,375 | |
| 825 | Meritage Homes Corp., Global Company Guaranteed | ||||
| Notes (Callable 03/15/10 @ $103.13) | (B+, B1) | 03/15/15 | 6.250 | 678,563 | |
| 950 | Standard Pacific Corp., Company Guaranteed Notes | (CCC-, Caa1) | 04/01/14 | 6.250 | 707,750 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105538\09-24220-6\task3716305\24220-6-dc-01.htm',USER='105538',CD='Sep 12 19:47 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. | |||||
| CORPORATE BONDS | |||||
| Building & | |||||
| Construction | |||||
| $ 1,000 | William Lyon Homes, Inc., Company Guaranteed | ||||
| Notes (Callable 04/01/10 @ $101.79) | (CC, Caa3) | 04/01/13 | 10.750 | $ 375,000 | |
| 2,408,663 | |||||
| Building | |||||
| Materials (2.3%) | |||||
| 1,000 | AMH Holdings Inc., Global Senior Discount Notes | ||||
| (Callable 03/01/10 @ $103.75) | (CCC-, Caa2) | 03/01/14 | 11.250 | 430,000 | |
| 700 | Building Materials Corp. of America, Global | ||||
| Secured Notes (Callable 08/01/09 @ $103.88) | (B+, B3) | 08/01/14 | 7.750 | 648,375 | |
| 1,035 | CPG International I, Inc., Global Company | ||||
| Guaranteed Notes (Callable 07/01/10 @ $102.63) | (B-, Caa1) | 07/01/13 | 10.500 | 740,025 | |
| 500 | Dayton Superior Corp., Company Guaranteed Notesø | (D, NR) | 06/15/09 | 13.000 | 156,250 |
| 325 | Norcraft Finance Corp., Global Company Guaranteed | ||||
| Notes (Callable 11/01/09 @ $100.00) | (B+, Ba3) | 11/01/11 | 9.000 | 325,813 | |
| 250 | Norcraft Holdings, Global Senior Discount Notes | ||||
| (Callable 09/01/09 @ $102.44) | (CCC+, Caa1) | 09/01/12 | 9.750 | 238,750 | |
| 825 | Nortek, Inc., Global Senior Subordinated | ||||
| Notes (Callable 09/01/09 @ $104.25) | (CC, Caa3) | 09/01/14 | 8.500 | 301,125 | |
| 1,000 | NTK Holdings, Inc., Global Senior Discount | ||||
| Notes (Callable 09/01/09 @ $105.38)+ | (C, Ca) | 03/01/14 | 0.000 | 70,000 | |
| 250 | Ply Gem Industries, Inc., Global Senior | ||||
| Secured Notes (Callable 04/01/11 @ $105.88) | (CCC, Caa1) | 06/15/13 | 11.750 | 190,000 | |
| 3,100,338 | |||||
| Chemicals (3.1%) | |||||
| 300 | Chemtura Corp., Company Guaranteed Notesø | (D, NR) | 06/01/16 | 6.875 | 246,000 |
| 550 | Koppers Holdings, Inc., Global Senior | ||||
| Discount Notes (Callable 11/15/09 @ $104.94)+ | (B-, B2) | 11/15/14 | 0.000 | 511,500 | |
| 675 | Momentive Performance Materials, Inc., Global | ||||
| Company Guaranteed Notes (Callable 12/01/10 @ $104.88) | (C, Caa2) | 12/01/14 | 9.750 | 442,125 | |
| 739 | Momentive Performance Materials, Inc., | ||||
| Rule 144A, Company Guaranteed Notes (Callable 12/15/11 @ $106.25) | (C, B3) | 06/15/14 | 12.500 | 723,975 | |
| 275 | Nalco Co., Global Company Guaranteed Notes | ||||
| (Callable 11/15/09 @ $103.00) | (B, B2) | 11/15/13 | 9.000 | 399,628 | |
| 575 | Nalco Finance Holdings, Inc., Global Senior | ||||
| Discounted Notes (Callable 02/01/10 @ $103.00) | (B, B2) | 02/01/14 | 9.000 | 583,625 | |
| 725 | PolyOne Corp., Senior Unsecured Notes | (B-, B1) | 05/01/12 | 8.875 | 694,188 |
| 1,175 | Reichhold Industries, Inc., Rule 144A, | ||||
| Senior Notes (Callable 08/15/10 @ $104.50) | (CCC+, Caa2) | 08/15/14 | 9.000 | 458,250 | |
| 225 | Terra Capital, Inc., Series B, Global | ||||
| Company Guaranteed Notes (Callable 02/01/12 @ $103.50) | (BB, B1) | 02/01/17 | 7.000 | 211,500 | |
| 4,270,791 | |||||
| Computer | |||||
| Hardware (0.8%) | |||||
| 825 | Activant Solutions, Inc., Global Company | ||||
| Guaranteed Notes (Callable 05/01/11 @ $104.75) | (CCC+, Caa1) | 05/01/16 | 9.500 | 675,469 | |
| 325 | Seagate Technology International, Rule 144A, | ||||
| Secured Notes (Callable 05/01/13 @ $105.00) | (BB+, Ba1) | 05/01/14 | 10.000 | 357,500 | |
| 1,032,969 | |||||
| Consumer | |||||
| Products (1.8%) | |||||
| 950 | AAC Group Holding Corp., Rule 144A, Senior | ||||
| Unsecured Notes (Callable 10/01/09 @ $102.56) | (CCC-, Caa2) | 10/01/12 | 10.250 | 802,750 | |
| 825 | Amscan Holdings, Inc., Global Senior | ||||
| Subordinated Notes (Callable 05/01/10 @ $102.92) | (CCC+, Caa1) | 05/01/14 | 8.750 | 742,500 | |
| 250 | Jarden Corp., Company Guaranteed Notes (Callable | ||||
| 05/01/12 @ $103.75) | (B-, B3) | 05/01/17 | 7.500 | 241,250 | |
| 640 | Prestige Brands, Inc., Global Senior | ||||
| Subordinated Notes (Callable 04/15/10 @ $100.00) | (B-, B3) | 04/15/12 | 9.250 | 649,600 | |
| 2,436,100 | |||||
| Diversified | |||||
| Capital Goods (3.6%) | |||||
| 450 | Anixter, Inc., Company Guaranteed Notes | (BB+, Ba2) | 03/15/14 | 10.000 | 468,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105538\09-24220-6\task3716305\24220-6-dc-01.htm',USER='105538',CD='Sep 12 19:47 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. | |||||
| CORPORATE BONDS | |||||
| Diversified | |||||
| Capital Goods | |||||
| $ 625 | Belden, Inc., Rule 144A, Company | ||||
| Guaranteed Notes (Callable 06/15/14 @ $104.62) | (B+, Ba2) | 06/15/19 | 9.250 | $ 625,000 | |
| 650 | Coleman Cable, Inc., Global Company | ||||
| Guaranteed Notes (Callable 10/01/09 @ $102.47) | (B+, B3) | 10/01/12 | 9.875 | 549,250 | |
| 925 | Esco Corp., Rule 144A, Company Guaranteed | ||||
| Notes (Callable 12/15/09 @ $101.00)# | (B, B2) | 12/15/13 | 4.504 | 781,625 | |
| 100 | Esco Corp., Rule 144A, Company Guaranteed | ||||
| Notes (Callable 12/15/10 @ $104.31) | (B, B2) | 12/15/13 | 8.625 | 92,500 | |
| 475 | Mueller Water Products, Inc., Global Company | ||||
| Guaranteed Notes (Callable 06/01/12 @ $103.69) | (CCC+, Caa1) | 06/01/17 | 7.375 | 350,313 | |
| 575 | RBS Global & Rexnord Corp., Global | ||||
| Company Guaranteed Notes (Callable 08/01/10 @ $104.75) | (B-, Caa2) | 08/01/14 | 9.500 | 503,125 | |
| 425 | Sensus Metering Systems, Inc., Global Senior | ||||
| Subordinated Notes (Callable 12/15/09 @ $102.87) | (B-, B3) | 12/15/13 | 8.625 | 410,656 | |
| 600 | Titan International, Inc., Global Company | ||||
| Guaranteed Notes | (B-, Caa1) | 01/15/12 | 8.000 | 555,000 | |
| 738 | TriMas Corp., Global Company Guaranteed Notes | ||||
| (Callable 06/15/10 @ $100.00) | (B-, Caa1) | 06/15/12 | 9.875 | 649,440 | |
| 4,984,909 | |||||
| Electric | |||||
| - Generation (6.6%) | |||||
| 1,275 | Dynegy Holdings, Inc., Global Senior | ||||
| Unsecured Notes | (B, B3) | 05/01/16 | 8.375 | 1,115,625 | |
| 1,475 | Edison Mission Energy, Global Senior Unsecured | ||||
| Notes | (B, B2) | 05/15/17 | 7.000 | 1,181,844 | |
| 675 | Edison Mission Energy, Global Senior Unsecured | ||||
| Notes | (B, B2) | 05/15/19 | 7.200 | 514,687 | |
| 1,025 | Mirant Americas Generation LLC, Senior Unsecured | ||||
| Notes | (B-, B3) | 10/01/21 | 8.500 | 871,250 | |
| 447 | Mirant Mid Atlantic LLC, Series B, Global | ||||
| Pass Thru Certificates | (BB, Ba1) | 06/30/17 | 9.125 | 451,737 | |
| 350 | NRG Energy, Inc., Company Guaranteed Notes | ||||
| (Callable 01/15/12 @ $103.69) | (BB-, B1) | 01/15/17 | 7.375 | 338,625 | |
| 550 | NRG Energy, Inc., Company Guaranteed Notes | ||||
| (Callable 02/01/11 @ $103.69) | (BB-, B1) | 02/01/16 | 7.375 | 533,500 | |
| 175 | RRI Energy, Inc., Senior Unsecured Notes | (B+, B2) | 06/15/17 | 7.875 | 162,312 |
| 100 | RRI Energy, Inc., Senior Unsecured Notes | (B+, B2) | 06/15/14 | 7.625 | 93,500 |
| 3,725 | Texas Competitive Electric Holdings Co., LLC, | ||||
| Series A, Global Company Guaranteed Notes (Callable 11/01/11 @ $105.13) | (CCC, Caa1) | 11/01/15 | 10.250 | 2,942,750 | |
| 1,175 | Texas Competitive Electric Holdings Co., LLC, | ||||
| Series B, Global Company Guaranteed Notes (Callable 11/01/11 @ $105.13) | (CCC, Caa1) | 11/01/15 | 10.250 | 928,250 | |
| 9,134,080 | |||||
| Electric | |||||
| - Integrated (1.4%) | |||||
| 1,175 | The AES Corp., Global Senior Unsecured Notes | (BB-, B1) | 10/15/17 | 8.000 | 1,157,375 |
| 550 | The AES Corp., Rule 144A, Senior Unsecured | ||||
| Notes | (BB-, B1) | 04/15/16 | 9.750 | 577,500 | |
| 175 | The AES Corp., Senior Unsecured Notes | (BB-, B1) | 03/01/14 | 7.750 | 173,250 |
| 1,908,125 | |||||
| Electronics (2.5%) | |||||
| 525 | Amkor Technology, Inc., Global Senior Notes | ||||
| (Callable 05/15/10 @ $101.29) | (B+, B2) | 05/15/13 | 7.750 | 511,875 | |
| 73 | Ampex Corp., Rule 144A, Secured Notes^ | (NR, NR) | 09/30/09 | 12.000 | 70,746 |
| 800 | Freescale Semiconductor, Inc., Company | ||||
| Guaranteed Notes (Callable 12/15/11 @ $105.06) | (CCC, Caa3) | 12/15/16 | 10.125 | 416,000 | |
| 275 | Jabil Circuit, Inc., Global Senior Unsecured | ||||
| Notes | (BB+, Ba1) | 03/15/18 | 8.250 | 270,875 | |
| 1,000 | Sanmina-SCI Corp., Global Company Guaranteed Notes | ||||
| (Callable 03/01/10 @ $101.69) | (CCC, B3) | 03/01/13 | 6.750 | 915,000 | |
| 250 | Sanmina-SCI Corp., Senior Subordinated Notes | ||||
| (Callable 03/01/11 @ $104.06) | (CCC, B3) | 03/01/16 | 8.125 | 222,500 | |
| 1,200 | Viasystems, Inc., Global Senior Unsecured | ||||
| Notes (Callable 01/15/10 @ $100.00) | (B+, Caa1) | 01/15/11 | 10.500 | 1,099,500 | |
| 3,506,496 | |||||
| Energy | |||||
| - Exploration & Production (6.6%) | |||||
| 500 | Berry Petroleum Co., Senior Subordinated Notes | ||||
| (Callable 11/01/11 @ $104.13) | (B, B3) | 11/01/16 | 8.250 | 451,250 | |
| 150 | Chesapeake Energy Corp., Company Guaranteed Notes | (BB, Ba3) | 07/15/13 | 7.625 | 151,125 |
| 300 | Chesapeake Energy Corp., Company Guaranteed Notes | (BB, Ba3) | 12/15/18 | 7.250 | 283,500 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105538\09-24220-6\task3716305\24220-6-dc-01.htm',USER='105538',CD='Sep 12 19:47 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. | |||||
| CORPORATE BONDS | |||||
| Energy | |||||
| - Exploration & Production | |||||
| $ 1,525 | Chesapeake Energy Corp., Global Company Guaranteed | ||||
| Notes (Callable 01/15/10 @ $102.29) | (BB, Ba3) | 01/15/16 | 6.875 | $ 1,441,125 | |
| 450 | Denbury Resources, Inc., Company Guaranteed | ||||
| Notes (Callable 03/01/13 @ $104.88) | (BB, B1) | 03/01/16 | 9.750 | 482,625 | |
| 1,000 | Encore Acquisition Co., Company Guaranteed Notes | ||||
| (Callable 12/01/10 @ $103.63) | (B, B1) | 12/01/17 | 7.250 | 900,000 | |
| 450 | Forest Oil Corp., Global Company Guaranteed Notes | ||||
| (Callable 06/15/12 @ $103.63) | (BB-, B1) | 06/15/19 | 7.250 | 430,312 | |
| 525 | Hilcorp Energy I, Rule 144A, Senior Unsecured | ||||
| Notes (Callable 06/01/11 @ $104.50) | (BB-, B3) | 06/01/16 | 9.000 | 485,625 | |
| 800 | Mariner Energy, Inc., Company Guaranteed | ||||
| Notes (Callable 05/15/12 @ $104.00) | (B+, B3) | 05/15/17 | 8.000 | 700,000 | |
| 475 | Penn Virginia Corp., Senior Notes (Callable | ||||
| 06/15/13 @ 105.19) | (BB-, B2) | 06/15/16 | 10.375 | 508,844 | |
| 950 | PetroHawk Energy Corp., Global Company Guaranteed | ||||
| Notes (Callable 06/01/12 @ $103.94) | (B, B3) | 06/01/15 | 7.875 | 926,250 | |
| 300 | Pioneer Natural Resources Co., Senior Unsecured | ||||
| Notes | (BB+, Ba1) | 03/15/17 | 6.650 | 273,142 | |
| 625 | Plains Exploration & Production Co., | ||||
| Company Guaranteed Notes (Callable 06/15/11 @ $103.88) | (BB, B1) | 06/15/15 | 7.750 | 623,437 | |
| 350 | Range Resources Corp., Company Guaranteed Notes | ||||
| (Callable 10/01/12 @ $103.75) | (BB, Ba3) | 10/01/17 | 7.500 | 349,125 | |
| 550 | Stone Energy Corp., Global Senior Unsecured Notes | ||||
| (Callable 12/15/09 @ $103.38) | (B, Caa1) | 12/15/14 | 6.750 | 360,250 | |
| 475 | Swift Energy Co, Company Guaranteed Notes | ||||
| (Callable 06/01/12 @ $103.56) | (B+, B3) | 06/01/17 | 7.125 | 358,625 | |
| 450 | Whiting Petroleum Corp., Global Company Guaranteed | ||||
| Notes | (BB-, B1) | 02/01/14 | 7.000 | 443,250 | |
| 9,168,485 | |||||
| Environmental (0.8%) | |||||
| 350 | Casella Waste Systems, Inc. Rule 144A, | ||||
| Senior Secured Notes (Callable 07/15/12 @ $105.50) | (B+, B2) | 07/15/14 | 11.000 | 364,000 | |
| 800 | Waste Services, Inc., Global Senior | ||||
| Subordinated Notes (Callable 04/15/10 @ $103.17) | (B-, Caa1) | 04/15/14 | 9.500 | 790,000 | |
| 1,154,000 | |||||
| Food & | |||||
| Drug Retailers (0.9%) | |||||
| 350 | Ingles Markets, Inc., Rule 144A, Senior | ||||
| Unsecured Notes (Callable 05/15/13 @ $104.44) | (BB-, B1) | 05/15/17 | 8.875 | 355,250 | |
| 450 | Rite Aid Corp., Global Company Guaranteed Notes | ||||
| (Callable 06/15/11 @ $104.68) | (CCC, Caa3) | 12/15/15 | 9.375 | 344,250 | |
| 475 | Rite Aid Corp., Rule 144A, Senior Secured | ||||
| Notes (Callable Notes 06/12/13 @ $104.88) | (B+, B3) | 06/12/16 | 9.750 | 503,500 | |
| 75 | Stater Brothers Holdings, Inc., Global | ||||
| Company Guaranteed Notes (Callable 04/15/11 @ $103.88) | (B+, B2) | 04/15/15 | 7.750 | 72,750 | |
| 25 | Stater Brothers Holdings, Inc., Global | ||||
| Company Guaranteed Notes (Callable 09/08/09 @ $102.03) | (B+, B2) | 06/15/12 | 8.125 | 25,375 | |
| 1,301,125 | |||||
| Food | |||||
| - Wholesale (0.6%) | |||||
| 250 | Chiquita Brands International, Inc., Global | ||||
| Senior Unsecured Notes (Callable 11/01/09 @ $103.75) | (B-, Caa2) | 11/01/14 | 7.500 | 229,375 | |
| 175 | Dole Food Co., Inc., Global Company | ||||
| Guaranteed Notes | (B-, Caa2) | 03/15/11 | 8.875 | 174,563 | |
| 425 | Smithfield Foods, Inc., Rule 144A, | ||||
| Senior Secured Notes | (BB-, Ba3) | 07/15/14 | 10.000 | 445,187 | |
| 25 | Smithfield Foods, Inc., Series B, Global | ||||
| Senior Unsecured Notes | (B, Caa1) | 05/15/13 | 7.750 | 21,375 | |
| 870,500 | |||||
| Forestry & | |||||
| Paper (2.2%) | |||||
| 478 | Boise Cascade LLC, Global Company Guaranteed Notes | ||||
| (Callable 10/15/09 @ $103.56) | (B+, Caa1) | 10/15/14 | 7.125 | 310,700 | |
| 750 | Georgia-Pacific Corp., Global Senior Notes | (B+, B2) | 01/15/24 | 8.000 | 673,125 |
| 300 | Georgia-Pacific Corp., Rule 144A, Company | ||||
| Guaranteed Notes (Callable 01/15/12 @ $103.56) | (BB-, Ba3) | 01/15/17 | 7.125 | 294,000 | |
| 300 | Georgia-Pacific LLC Rule 144A, Company | ||||
| Guaranteed Notes (Callable 05/01/13 @ $104.13) | (BB-, Ba3) | 05/01/16 | 8.250 | 312,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105538\09-24220-6\task3716305\24220-6-dc-01.htm',USER='105538',CD='Sep 12 19:47 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Forestry & Paper | |||||
| $ 625 | Newark Group, Inc., Global Senior Unsecured | ||||
| Notes (Callable 03/15/10 @ $103.25) | (D, C) | 03/15/14 | 9.750 | $ 18,750 | |
| 675 | NewPage Corp., Global Company Guaranteed | ||||
| Notes (Callable 05/01/10 @ $103.00) | (C, Caa3) | 05/01/13 | 12.000 | 199,125 | |
| 250 | PE Paper Escrow GmbH, Rule 144A, Senior | ||||
| Secured Notes (Callable 08/01/12 @ $106.00) | (BB, Ba2) | 08/01/14 | 12.000 | 249,058 | |
| 950 | Smurfit-Stone Container Enterprises, Inc., | ||||
| Global Senior Unsecured Notes (Callable 07/01/10 @ $100.00)ø | (D, NR) | 07/01/12 | 8.375 | 494,000 | |
| 75 | Verso Paper Holdings LLC, Series B, Global | ||||
| Senior Secured Notes (Callable 08/01/10 @ $104.56) | (B-, B2) | 08/01/14 | 9.125 | 40,875 | |
| 1,125 | Verso Paper, Inc., Series B, Global | ||||
| Company Guaranteed Notes (Callable 08/01/11 @ $105.69) | (CCC, Caa1) | 08/01/16 | 11.375 | 388,125 | |
| 2,979,758 | |||||
| Gaming (8.4%) | |||||
| 775 | Buffalo Thunder Development Authority, Rule 144A, Senior Secured Notes (Callable 12/15/10 @ $104.69)ø | (NR, NR) | 12/15/14 | 9.375 | 118,188 |
| 200 | Caesars Entertainment, Inc., Global Company | ||||
| Guaranteed Notes | (CCC-, Ca) | 03/15/10 | 7.875 | 192,000 | |
| 1,000 | Caesars Entertainment, Inc., Global Company | ||||
| Guaranteed Notes | (CCC-, Ca) | 05/15/11 | 8.125 | 915,000 | |
| 1,225 | CCM Merger, Inc., Rule 144A, Notes (Callable | ||||
| 08/01/09 @ $104.00) | (CCC, Caa3) | 08/01/13 | 8.000 | 949,375 | |
| 280 | Choctaw Resort Development Enterprise, | ||||
| Rule 144A, Senior Notes (Callable 11/15/11 @ $103.63) | (B, B1) | 11/15/19 | 7.250 | 163,800 | |
| 575 | FireKeepers Development Authority, Rule 144A, | ||||
| Senior Secured Notes (Callable 05/01/12 @ $110.50) | (B, B3) | 05/01/15 | 13.875 | 577,875 | |
| 625 | Fontainebleau Las Vegas Capital Corp., | ||||
| Rule 144A, Second Mortgage Notes (Callable 06/15/11 @ $105.13)ø | (NR, NR) | 06/15/15 | 11.000 | 21,875 | |
| 800 | Harrahs Escrow Corp., Rule 144A, Senior | ||||
| Secured Notes (Callable 06/01/13 @ $105.62) | (B, Caa1) | 06/01/17 | 11.250 | 814,000 | |
| 225 | Herbst Gaming, Inc., Global Company Guaranteed | ||||
| Notes (Callable 06/01/10 @ $100.00)ø | (D, NR) | 06/01/12 | 8.125 | 163 | |
| 750 | Inn of the Mountain Gods Resort & Casino, | ||||
| Global Company Guaranteed Notes (Callable 11/15/09 @ $100.00)ø | (D, Ca) | 11/15/10 | 12.000 | 307,500 | |
| 1,250 | Jacobs Entertainment, Inc., Global Company | ||||
| Guaranteed Notes (Callable 06/15/10 @ $104.88) | (B-, B3) | 06/15/14 | 9.750 | 1,078,125 | |
| 950 | Majestic Star Casino Capital Corp., Senior Secured | ||||
| Notes (Callable 10/15/09 @ $100.00)ø | (D, Caa3) | 10/15/10 | 9.500 | 593,750 | |
| 1,275 | Mashantucket Western Pequot Tribe, Rule 144A, | ||||
| Bonds (Callable 11/15/11 @ $104.25) | (B+, B3) | 11/15/15 | 8.500 | 631,125 | |
| 825 | MGM Mirage, Inc., Global Company Guaranteed | ||||
| Notes | (CCC+, Caa2) | 04/01/16 | 6.875 | 596,062 | |
| 700 | MGM Mirage, Inc., Company Guaranteed Notes | (CCC+, Caa2) | 01/15/17 | 7.625 | 514,500 |
| 675 | MGM Mirage, Inc., Rule 144A, Senior | ||||
| Secured Notes (Callable 05/15/13 @ $105.56) | (B, B1) | 11/15/17 | 11.125 | 745,875 | |
| 1,200 | MTR Gaming Group, Inc., Rule 144A, | ||||
| Company Guaranteed Notes (Callable 07/15/11 @ $106.31) | (B, B2) | 07/15/14 | 12.625 | 1,173,000 | |
| 600 | Peermont Global Proprietary, Ltd., Rule 144A, | ||||
| Senior Secured Notes (Callable 04/30/10 @ $105.81) | (B, B3) | 04/30/14 | 7.750 | 676,267 | |
| 850 | Peninsula Gaming LLC, Rule 144A, Senior | ||||
| Unsecured Notes (Callable 08/15/13 @ $105.38) | (B, B3) | 08/15/17 | 10.750 | 829,812 | |
| 670 | Tropicana Finance Corp., Global Senior | ||||
| Subordinated Notes (Callable 12/15/10 @ $104.81)ø | (NR, NR) | 12/15/14 | 9.625 | 3,769 | |
| 775 | Turning Stone Resort Casino Enterprise, | ||||
| Rule 144A, Senior Notes (Callable 09/15/10 @ $104.56) | (B+, B1) | 09/15/14 | 9.125 | 689,750 | |
| 11,591,811 | |||||
| Gas Distribution (3.5%) | |||||
| 525 | Amerigas Partners LP, Global Senior Unsecured | ||||
| Notes (Callable 05/20/10 @ $103.63) | (NR, Ba3) | 05/20/15 | 7.250 | 517,125 | |
| 375 | El Paso Corp., Senior Unsecured Notes | (BB-, Ba3) | 02/15/16 | 8.250 | 384,375 |
| 600 | El Paso Corp., Senior Unsecured Notes | (BB-, Ba3) | 06/01/18 | 7.250 | 585,809 |
| 925 | El Paso Performance-Linked Trust, Rule 144A, | ||||
| Senior Unsecured Notes | (BB, Ba3) | 07/15/11 | 7.750 | 916,887 | |
| 425 | Inergy Finance Corp., Global Company Guaranteed | ||||
| Notes (Callable 03/01/11 @ $104.13) | (B+, B1) | 03/01/16 | 8.250 | 423,938 | |
| 275 | Inergy Finance Corp., Global Company Guaranteed | ||||
| Notes (Callable 12/15/09 @ $103.44) | (B+, B1) | 12/15/14 | 6.875 | 261,250 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105571\09-24220-6\task3710404\24220-6-dc-03.htm',USER='105571',CD='Sep 4 18:19 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Gas Distribution | |||||
| $ 550 | MarkWest Energy Finance Corp., Series B, | ||||
| Global Senior Notes (Callable 04/15/13 @ $104.38) | (B+, B2) | 04/15/18 | 8.750 | $ 514,250 | |
| 625 | Targa Resources Partners Finance Corp., Global | ||||
| Company Guaranteed Notes (Callable 07/01/12 @ $104.13) | (Be, B2) | 07/01/16 | 8.250 | 557,812 | |
| 675 | The Williams Cos., Inc., Series A, | ||||
| Global Senior Unsecured Notes | (BB+, Baa3) | 01/15/31 | 7.500 | 676,790 | |
| 4,838,236 | |||||
| Health Services (8.1%) | |||||
| 815 | Bausch & Lomb, Inc., Global Senior | ||||
| Unsecured Notes (Callable 11/01/11 @ $104.94) | (B, Caa1) | 11/01/15 | 9.875 | 817,037 | |
| 50 | Biomet, Inc., Global Company Guaranteed Notes | ||||
| (Callable 10/15/12 @ $105.00) | (B-, B3) | 10/15/17 | 10.000 | 54,375 | |
| 25 | Biomet, Inc., Global Company Guaranteed Notes | ||||
| (Callable 10/15/12 @ $105.81) | (B-, Caa1) | 10/15/17 | 11.625 | 27,250 | |
| 650 | Community Health Systems, Inc., Global | ||||
| Company Guaranteed Notes (Callable 07/15/11 @ $104.44) | (B, B3) | 07/15/15 | 8.875 | 672,750 | |
| 1,300 | HCA, Inc., Global Secured Notes (Callable | ||||
| 11/15/11 @ $104.63) | (BB-, B2) | 11/15/16 | 9.250 | 1,358,500 | |
| 675 | HCA, Inc., Global Senior Unsecured Notes | (B-, Caa1) | 01/15/15 | 6.375 | 600,750 |
| 725 | HCA, Inc., Rule 144A, Senior Secured | ||||
| Notes (Callable 08/15/14 @ $103.94) | (BB, Ba3) | 02/15/20 | 7.875 | 713,219 | |
| 775 | HCA, Inc., Senior Unsecured Notes | (B-, Caa1) | 02/15/13 | 6.250 | 728,500 |
| 625 | HCA, Inc., Senior Unsecured Notes | (B-, Caa1) | 07/15/13 | 6.750 | 587,500 |
| 425 | Healthsouth Corp., Global Company Guaranteed Notes | ||||
| (Callable 06/15/11 @ $105.38) | (CCC+, Caa1) | 06/15/16 | 10.750 | 447,313 | |
| 450 | Inverness Medical Innovations, Inc., Senior | ||||
| Subordinated Notes (Callable 05/15/13 @ $104.50) | (B-, B3) | 05/15/16 | 9.000 | 451,125 | |
| 525 | OMEGA Healthcare Investors, Inc., Global | ||||
| Company Guaranteed Notes (Callable 01/15/11 @ $103.50) | (BB+, Ba3) | 01/15/16 | 7.000 | 486,937 | |
| 250 | Rural/Metro Corp., Global Senior Discount Notes (Callable | ||||
| 03/15/10 @ $106.38)+ | (CCC+, Caa1) | 03/15/16 | 0.000 | 188,750 | |
| 400 | Service Corporation International, Global Senior | ||||
| Unsecured Notes | (BB-, B1) | 10/01/18 | 7.625 | 385,000 | |
| 550 | Stewart Enterprises, Inc., Global Company | ||||
| Guaranteed Notes (Callable 02/15/10 @ $101.56) | (BB-, Ba3) | 02/15/13 | 6.250 | 532,125 | |
| 775 | Tenet Healthcare Corp., Global Senior Unsecured | ||||
| Notes | (CCC+, Caa2) | 02/01/15 | 9.250 | 771,125 | |
| 925 | Tenet Healthcare Corp., Rule 144A, Senior | ||||
| Secured Notes (Callable 07/01/14 @ $104.37) | (BB-, B1) | 07/01/19 | 8.875 | 980,500 | |
| 175 | Universal Hospital Services, Inc., Global | ||||
| Senior Secured Notes (Callable 06/01/10 @ $101.00)# | (B+, B3) | 06/01/15 | 4.635 | 147,875 | |
| 275 | Universal Hospital Services, Inc., Global | ||||
| Senior Secured Notes (Callable 06/01/11 @ $104.25) | (B+, B3) | 06/01/15 | 8.500 | 268,125 | |
| 450 | Vanguard Health Holding Co., Global Senior | ||||
| Subordinated Notes (Callable 10/01/09 @ $104.50) | (CCC+, Caa1) | 10/01/14 | 9.000 | 452,250 | |
| 600 | VWR Funding, Inc., Series B, Global | ||||
| Company Guaranteed Notes (Callable 07/15/11 @ $105.13) | (B-, Caa1) | 07/15/15 | 10.250 | 531,000 | |
| 11,202,006 | |||||
| Hotels (1.3%) | |||||
| 675 | Felcor Lodging LP, Global Company Guaranteed Notes | (B, B2) | 06/01/11 | 9.000 | 594,000 |
| 525 | Host Hotels & Resorts LP, Rule 144A, | ||||
| Senior Unsecured Notes (Callable 05/15/13 @ $104.50) | (BB+, Ba1) | 05/15/17 | 9.000 | 531,563 | |
| 725 | Host Hotels & Resorts LP, Series Q, | ||||
| Global Company Guaranteed Notes (Callable 06/01/11 @ $103.33) | (BB+, Ba1) | 06/01/16 | 6.750 | 676,062 | |
| 1,801,625 | |||||
| Household & Leisure Products (0.3%) | |||||
| 450 | ALH Finance Corp., Global Company Guaranteed Notes | ||||
| (Callable 01/15/10 @ 102.13) | (CCC+, Caa1) | 01/15/13 | 8.500 | 412,875 | |
| lnvestments & Misc. Financial | |||||
| Services (0.4%) | |||||
| 700 | Nuveen Investments, Inc., Rule 144A, | ||||
| Senior Notes (Callable 11/15/11 @ $105.25) | (CCC, Caa3) | 11/15/15 | 10.500 | 500,500 | |
| Leisure (0.1%) | |||||
| 122 | Six Flags Operations, Inc., Rule 144A, | ||||
| Company Guaranteed Notes (Callable 07/15/13 @ $106.12)ø | (D, NR) | 07/15/16 | 12.250 | 96,380 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105571\09-24220-6\task3710404\24220-6-dc-03.htm',USER='105571',CD='Sep 4 18:19 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Leisure | |||||
| $ 900 | Six Flags, Inc., Global Senior Unsecured | ||||
| Notes (Callable 06/01/10 @ $103.21)ø | (D, NR) | 06/01/14 | 9.625 | $ 101,250 | |
| 197,630 | |||||
| Machinery (0.6%) | |||||
| 650 | Baldor Electric Co., Company Guaranteed Notes | ||||
| (Callable 02/15/12 @ $104.31) | (B, B3) | 02/15/17 | 8.625 | 654,875 | |
| 250 | Terex Corp., Senior Subordinated Notes (Callable | ||||
| 11/15/12 @ $104.00) | (B, Caa1) | 11/15/17 | 8.000 | 208,125 | |
| 863,000 | |||||
| Media - Broadcast (1.6%) | |||||
| 725 | Allbritton Communications Co., Global Senior | ||||
| Subordinated Notes (Callable 12/15/09 @ $101.29) | (B-, Caa1) | 12/15/12 | 7.750 | 605,375 | |
| 795 | Barrington Broadcasting Capital Corp., Global | ||||
| Company Guaranteed Notes (Callable 08/15/10 @ $105.25) | (CCC-, Caa3) | 08/15/14 | 10.500 | 276,262 | |
| 1,175 | Clear Channel Communications, Inc., Senior | ||||
| Unsecured Notes | (CC, Ca) | 09/15/14 | 5.500 | 273,188 | |
| 74 | CMP Susquehanna Corp., Global Company Guranteed | ||||
| Notes (Callable 05/15/10 @ $104.94) | (CCC-, Ca) | 05/15/14 | 9.875 | 22,200 | |
| 550 | Fisher Communications, Inc., Global Company | ||||
| Guaranteed Notes (Callable 09/15/09 @ $104.31) | (B-, B2) | 09/15/14 | 8.625 | 503,250 | |
| 630 | Local TV Finance LLC, Rule 144A, Senior | ||||
| Unsecured Notes (Callable 06/15/11 @ $104.63) | (CCC, Caa3) | 06/15/15 | 9.250 | 143,325 | |
| 370 | Univision Communications, Inc., | ||||
| Rule 144A, Company Guaranteed Notes (Callable 03/15/11 @ $104.88) | (CCC, Caa2) | 03/15/15 | 9.750 | 247,900 | |
| 90 | Univision Communications, Inc., | ||||
| Rule 144A, Senior Secured Notes (Callable 07/01/11 @ $106.00) | (B-, B2) | 07/01/14 | 12.000 | 96,300 | |
| 1,525 | Young Broadcasting, Inc., Global Company | ||||
| Guaranteed Notes (Callable 01/15/10 @ $102.92)ø | (D, NR) | 01/15/14 | 8.750 | 1,525 | |
| 2,169,325 | |||||
| Media - Cable (4.2%) | |||||
| 1,375 | Atlantic Broadband Finance LLC, Global Company | ||||
| Guaranteed Notes (Callable 01/15/10 @ $103.13) | (B-, Caa1) | 01/15/14 | 9.375 | 1,203,125 | |
| 1,000 | CCH II Capital Corp., Series B, Global Senior | ||||
| Unsecured Notes (Callable 09/15/09 @ $100.00)ø | (D, NR) | 09/15/10 | 10.250 | 1,070,000 | |
| 792 | Charter Communications Holdings Capital, Senior | ||||
| Unsecured Notesø | (D, NR) | 04/01/11 | 9.920 | 4,039 | |
| 325 | Charter Communications Operating Capital, | ||||
| Rule 144A, Secured Notesø | (D, B1) | 04/30/12 | 10.000 | 325,813 | |
| 825 | CSC Holdings, Inc., Rule 144A, Senior | ||||
| Unsecured Notes | (BB, Ba3) | 04/15/14 | 8.500 | 853,875 | |
| 675 | CSC Holdings, Inc., Rule 144A, Senior | ||||
| Unsecured Notes | (BB, Ba3) | 02/15/19 | 8.625 | 698,625 | |
| 275 | CSC Holdings, Inc., Rule 144A, Senior | ||||
| Unsecured Notes (Callable 06/15/12 @ $104.25) | (BB, Ba3) | 06/15/15 | 8.500 | 284,625 | |
| 200 | EchoStar DBS Corp., Global Company Guaranteed | ||||
| Notes | (BB-, Ba3) | 10/01/13 | 7.000 | 198,500 | |
| 225 | EchoStar DBS Corp., Global Company Guaranteed | ||||
| Notes | (BB-, Ba3) | 10/01/14 | 6.625 | 216,563 | |
| 175 | Mediacom Broadband Corp., Global Senior Unsecured | ||||
| Notes (Callable 10/15/10 @ $104.25) | (B-, B3) | 10/15/15 | 8.500 | 167,125 | |
| 825 | Mediacom Capital Corp., Global Senior Unsecured | ||||
| Notes | (B-, B3) | 02/15/11 | 7.875 | 822,937 | |
| 5,845,227 | |||||
| Media - Services (1.1%) | |||||
| 450 | Nielsen Finance Co., Global Company Guaranteed | ||||
| Notes (Callable 05/01/13 @ $105.75) | (B-, Caa1) | 05/01/16 | 11.500 | 473,625 | |
| 650 | WMG Acquisition Corp., Global Company Guaranteed | ||||
| Notes (Callable 04/15/10 @ $102.46) | (B, B1) | 04/15/14 | 7.375 | 591,500 | |
| 400 | WMG Acquisition Corp., Rule 144A, Senior | ||||
| Secured Notes (Callable 06/15/13 @ $104.75) | (BB, Ba2) | 06/15/16 | 9.500 | 426,000 | |
| 1,491,125 | |||||
| Metals & Mining - Excluding Steel (2.6%) | |||||
| 225 | Aleris International, Inc., Global Company | ||||
| Guaranteed Notes (Callable 12/15/10 @ $104.50)ø | (D, NR) | 12/15/14 | 9.000 | 3,375 | |
| 1,100 | Aleris International, Inc., Global Company | ||||
| Guaranteed Notes (Callable 12/15/11 @ $105.00)ø | (D, NR) | 12/15/16 | 10.000 | 22,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105571\09-24220-6\task3710404\24220-6-dc-03.htm',USER='105571',CD='Sep 4 18:19 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Metals & Mining - Excluding Steel | |||||
| $ 800 | Freeport-McMoRan Copper & | ||||
| Gold, Inc., Senior Unsecured Notes (Callable 04/01/11 @ $104.13) | (BBB-, Ba2) | 04/01/15 | 8.250 | $ 846,957 | |
| 1,762 | Noranda Aluminium Acquisition Corp., Global | ||||
| Company Guaranteed Notes (Callable 05/15/10 @ $100.00)# | (CCC-, Caa2) | 05/15/15 | 5.413 | 951,713 | |
| 450 | Teck Resources, Ltd., Rule 144A, Senior | ||||
| Secured Notes | (BB+, Ba2) | 05/15/14 | 9.750 | 502,875 | |
| 200 | Teck Resources, Ltd., Rule 144A, Senior | ||||
| Secured Notes (Callable 05/15/13 @ $105.13) | (BB+, Ba2) | 05/15/16 | 10.250 | 227,500 | |
| 875 | Teck Resources, Ltd., Rule 144A, Senior Secured | ||||
| Notes (Callable 05/15/14 @ $105.38) | (BB+, Ba2) | 05/15/19 | 10.750 | 1,022,656 | |
| 3,577,076 | |||||
| Non-Food & Drug Retailers (3.2%) | |||||
| 600 | Asbury Automotive Group, Inc., Global Company | ||||
| Guaranteed Notes (Callable 03/15/12 @ $103.81) | (B-, Caa1) | 03/15/17 | 7.625 | 471,000 | |
| 1,350 | Brookstone Company, Inc., Global Secured | ||||
| Notes (Callable 10/15/09 @ $106.00) | (CCC-, Caa3) | 10/15/12 | 12.000 | 600,750 | |
| 505 | Michaels Stores, Inc., Global Company | ||||
| Guaranteed Notes (Callable 11/01/10 @ $105.00) | (CCC, Caa2) | 11/01/14 | 10.000 | 477,225 | |
| 645 | Michaels Stores, Inc., Global Company | ||||
| Guaranteed Notes (Callable 11/01/11 @ $105.69) | (CCC, Caa3) | 11/01/16 | 11.375 | 525,675 | |
| 600 | SGS International, Inc., Global Company | ||||
| Guaranteed Notes (Callable 12/15/09 @ $106.00) | (B-, B3) | 12/15/13 | 12.000 | 423,000 | |
| 520 | Susser Holdings LLC, Global Company Guaranteed | ||||
| Notes (Callable 12/15/09 @ $105.31) | (B+, B3) | 12/15/13 | 10.625 | 527,800 | |
| 1,285 | The Neiman Marcus Group, Inc., Global Company | ||||
| Guaranteed Notes (Callable 10/15/10 @ $105.19) | (CCC+, Caa3) | 10/15/15 | 10.375 | 931,625 | |
| 460 | Yankee Acquisition Corp., Series B, Global | ||||
| Company Guaranteed Notes (Callable 02/15/11 @ $104.25) | (B-, B3) | 02/15/15 | 8.500 | 414,000 | |
| 4,371,075 | |||||
| Oil Field Equipment & Services (1.4%) | |||||
| 550 | Bristow Group, Inc., Global Company | ||||
| Guaranteed Notes (Callable 09/15/12 @ $103.75) | (BB, Ba2) | 09/15/17 | 7.500 | 517,000 | |
| 550 | Helix Energy Solutions Group, Inc., | ||||
| Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ $104.75) | (B+, B3) | 01/15/16 | 9.500 | 508,750 | |
| 350 | Hornbeck Offshore Services, Inc., | ||||
| Series B, Global Company Guaranteed Notes (Callable 12/01/09 @ $103.06) | (BB-, Ba3) | 12/01/14 | 6.125 | 327,250 | |
| 450 | Key Energy Services, Inc., Global Company | ||||
| Guaranteed Notes (Callable 12/01/11 @ $104.19) | (BB-, B1) | 12/01/14 | 8.375 | 399,938 | |
| 200 | Pride International, Inc., Senior Unsecured | ||||
| Notes | (BBB-, Ba1) | 06/15/19 | 8.500 | 215,000 | |
| 1,967,938 | |||||
| Oil Refining & Marketing (0.7%) | |||||
| 1,050 | Western Refining, Inc., Rule 144A, | ||||
| Senior Secured Notes (Callable 12/15/11 @ $105.00)# | (BB-, B3) | 06/15/14 | 10.750 | 971,250 | |
| Packaging (2.3%) | |||||
| 850 | Berry Plastics Holding Corp., Global Company | ||||
| Guaranteed Notes (Callable 03/01/11 @ $105.13) | (CCC, Caa2) | 03/01/16 | 10.250 | 658,750 | |
| 705 | Berry Plastics Holding Corp., Global Senior | ||||
| Secured Notes (Callable 09/15/10 @ $104.44) | (CCC+, Caa1) | 09/15/14 | 8.875 | 620,400 | |
| 325 | Crown Cork & Seal Co., Inc., | ||||
| Debentures (Callable 04/15/10 @ $101.14) | (B+, B2) | 04/15/23 | 8.000 | 303,875 | |
| 725 | Graham Packaging Co, Inc., Global | ||||
| Subordinated Notes (Callable 10/15/09 @ $104.94) | (CCC+, Caa1) | 10/15/14 | 9.875 | 697,812 | |
| 50 | Graham Packaging Company, Inc., Global | ||||
| Company Guaranteed Notes (Callable 10/15/09 @ $102.13) | (CCC+, Caa1) | 10/15/12 | 8.500 | 49,875 | |
| 814 | Pliant Corp., Global Senior Secured Notesø | (D, NR) | 06/15/09 | 11.850 | 606,569 |
| 225 | Solo Cup Co., Rule 144A, Senior Secured Notes | ||||
| (Callable 05/01/11 @ $105.25) | (B+, B2) | 11/01/13 | 10.500 | 237,938 | |
| 3,175,219 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105571\09-24220-6\task3710404\24220-6-dc-03.htm',USER='105571',CD='Sep 4 18:19 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Printing & Publishing (2.0%) | |||||
| $ 1,400 | Cengage Learning Acquisitions, Inc., | ||||
| Rule 144A, Senior Notes (Callable 07/15/11 @ $105.25) | (CCC+, Caa2) | 01/15/15 | 10.500 | $ 1,211,000 | |
| 1,000 | Cenveo Corp., Global Senior Subordinated Notes | ||||
| (Callable 12/01/09 @ $102.63) | (B-, Caa1) | 12/01/13 | 7.875 | 720,000 | |
| 1,675 | Idearc, Inc., Global Company Guaranteed Notes | ||||
| (Callable 11/15/11 @ $104.00)ø | (D, NR) | 11/15/16 | 8.000 | 81,656 | |
| 1,800 | The Readers Digest Association, Inc., Global | ||||
| Company Guaranteed Notes (Callable 02/15/12 @ $104.50) | (CC, Ca) | 02/15/17 | 9.000 | 117,000 | |
| 785 | Valassis Communications, Inc., Global Company | ||||
| Guaranteed Notes (Callable 03/01/11 @ $104.13) | (CCC+, B3) | 03/01/15 | 8.250 | 671,175 | |
| 2,800,831 | |||||
| Railroads (0.4%) | |||||
| 600 | Kansas City Southern Railway, Company Guaranteed | ||||
| Notes (Callable 06/01/12 @ $104.00) | (B+, B2) | 06/01/15 | 8.000 | 585,000 | |
| Restaurants (0.4%) | |||||
| 525 | Dennys Holdings, Inc., Global Company | ||||
| Guaranteed Notes (Callable 10/01/09 @ $102.50) | (B-, Caa1) | 10/01/12 | 10.000 | 527,625 | |
| Software/Services (2.5%) | |||||
| 750 | First Data Corp., Global Company Guaranteed Notes | ||||
| (Callable 09/30/11 @ $104.94) | (B-, Caa1) | 09/24/15 | 9.875 | 636,562 | |
| 1,075 | SunGard Data Systems, Inc., Global Company | ||||
| Guaranteed Notes (Callable 08/15/10 @ $105.13) | (B-, Caa1) | 08/15/15 | 10.250 | 1,107,250 | |
| 1,150 | Unisys Corp., Senior Unsecured Notes (Callable | ||||
| 01/15/12 @ $106.25) | (CC, Caa1) | 01/15/16 | 12.500 | 816,500 | |
| 1,025 | Vangent, Inc., Global Company Guaranteed | ||||
| Notes (Callable 02/15/11 @ $104.81) | (B-, Caa1) | 02/15/15 | 9.625 | 917,375 | |
| 3,477,687 | |||||
| Steel Producers/Products (1.4%) | |||||
| 500 | AK Steel Corp., Global Company Guaranteed Notes | ||||
| (Callable 06/15/10 @ $100.00) | (BB-, Ba3) | 06/15/12 | 7.750 | 502,500 | |
| 325 | Rathgibson, Inc., Global Company Guaranteed | ||||
| Notes (Callable 02/15/10 @ $105.63)ø | (D, NR) | 02/15/14 | 11.250 | 117,000 | |
| 700 | Ryerson, Inc., Global Senior Secured Notes (Callable | ||||
| 11/01/11 @ $106.00) | (B, Caa1) | 11/01/15 | 12.000 | 626,500 | |
| 745 | Steel Dynamics, Inc., Rule 144A, Senior | ||||
| Unsecured Notes (Callable 04/15/12 @ $103.88) | (BB+, Ba2) | 04/15/16 | 8.250 | 741,275 | |
| 1,987,275 | |||||
| Support-Services (4.8%) | |||||
| 300 | ARAMARK Corp., Global Company Guaranteed Notes | ||||
| (Callable 02/01/10 @ $101.00)# | (B, B3) | 02/01/15 | 4.528 | 262,500 | |
| 150 | ARAMARK Corp., Global Senior Unsecured Notes | ||||
| (Callable 02/01/11 @ $104.25) | (B, B3) | 02/01/15 | 8.500 | 151,875 | |
| 800 | Ashtead Capital, Inc., Rule 144A, | ||||
| Secured Notes (Callable 08/15/11 @ $104.50) | (B, B2) | 08/15/16 | 9.000 | 692,000 | |
| 525 | Dyncorp International, Series B, Global | ||||
| Senior Subordinated Notes (Callable 02/15/10 @ $102.38) | (B+, B1) | 02/15/13 | 9.500 | 528,937 | |
| 600 | Hertz Corp., Global Company Guaranteed Notes | ||||
| (Callable 01/01/11 @ $105.25) | (CCC+, B3) | 01/01/16 | 10.500 | 576,000 | |
| 200 | Iron Mountain, Inc., Company Guaranteed Notes | (B+, B2) | 04/01/13 | 8.625 | 201,000 |
| 850 | JohnsonDiversey Holdings, Inc., | ||||
| Series B, Global Discount Notes (Callable 05/15/10 @ $100.00) | (CCC+, Caa1) | 05/15/13 | 10.670 | 769,250 | |
| 1,050 | Mobile Services Group, Inc., Global Company | ||||
| Guaranteed Notes (Callable 08/01/10 @ $104.88) | (B+, B2) | 08/01/14 | 9.750 | 1,026,375 | |
| 550 | Rental Service Corp., Global Company Guaranteed | ||||
| Notes (Callable 12/01/10 @ $104.75) | (B-, Caa2) | 12/01/14 | 9.500 | 474,375 | |
| 475 | Sothebys, | ||||
| Global Company Guaranteed Notes | (B, Ba3) | 06/15/15 | 7.750 | 372,875 | |
| 1,150 | Travelport LLC, Global Company Guaranteed Notes | ||||
| (Callable 09/01/11 @ $105.94) | (CC, Caa1) | 09/01/16 | 11.875 | 822,250 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105735\09-24220-6\task3719085\24220-6-dc-05.htm',USER='105735',CD='Sep 16 22:42 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Support-Services | |||||
| $ 700 | United Rentals North America, Inc., | ||||
| Rule 144A, Company Guaranteed Notes (Callable 06/15/13 @ $105.44) | (B, B2) | 06/15/16 | 10.875 | $ 703,500 | |
| 6,580,937 | |||||
| Telecom - Integrated/Services (6.8%) | |||||
| 250 | Cincinnati Bell, Inc., Global Company | ||||
| Guaranteed Notes (Callable 02/15/10 @ $103.50) | (B+, Ba3) | 02/15/15 | 7.000 | 238,125 | |
| 400 | Cincinnati Bell, Inc., Global Senior | ||||
| Subordinated Notes (Callable 01/15/10 @ $102.79) | (B-, B2) | 01/15/14 | 8.375 | 398,000 | |
| 1,175 | Frontier Communications Corp., Global Senior | ||||
| Unsecured Notes | (BB, Ba2) | 03/15/15 | 6.625 | 1,110,375 | |
| 200 | Frontier Communications Corp., Senior Unsecured | ||||
| Notes | (BB, Ba2) | 05/01/14 | 8.250 | 203,500 | |
| 700 | Hughes Network Systems LLC, Global Company | ||||
| Guaranteed Notes (Callable 04/15/10 @ $104.75) | (B, B1) | 04/15/14 | 9.500 | 703,500 | |
| 2,075 | Intelsat Corp., Global Senior Unsecured Notes | ||||
| (Callable 08/15/09 @ $104.63) | (BB-, B3) | 08/15/14 | 9.250 | 2,111,312 | |
| 25 | Intelsat Subsidiary Holding Co., Ltd., Global | ||||
| Company Guaranteed Notes (Callable 01/15/10 @ $104.44) | (BB-, B3) | 01/15/15 | 8.875 | 25,375 | |
| 1,375 | Level 3 Financing, Inc., Global Company | ||||
| Guaranteed Notes (Callable 02/15/10 @ $101.00)# | (CCC, Caa1) | 02/15/15 | 5.474 | 1,024,375 | |
| 1,050 | Paetec Holding Corp., Series WI, Global | ||||
| Company Guaranteed Notes (Callable 07/15/11 @ $104.75) | (CCC+, Caa1) | 07/15/15 | 9.500 | 913,500 | |
| 1,250 | Qwest Communications International, Inc., | ||||
| Series B, Global Company Guaranteed Notes (Callable 02/15/10 @ $102.50) | (B+, Ba3) | 02/15/14 | 7.500 | 1,228,125 | |
| 275 | Qwest | ||||
| Corp., Global Senior Unsecured Notes | (BBB-, Ba1) | 06/15/15 | 7.625 | 275,688 | |
| 225 | Qwest | ||||
| Corp., Rule 144A, Senior Unsecured Notes | (BBB-, Ba1) | 05/01/16 | 8.375 | 231,750 | |
| 350 | Windstream | ||||
| Corp., Global Company Guaranteed Notes | (BB, Ba3) | 08/01/13 | 8.125 | 355,250 | |
| 550 | Windstream Corp., Global Company Guaranteed Notes | ||||
| (Callable 08/01/11 @ $104.31) | (BB, Ba3) | 08/01/16 | 8.625 | 561,000 | |
| 9,379,875 | |||||
| Telecom - Wireless (4.4%) | |||||
| 675 | Cricket Communications, Inc., Global Company | ||||
| Guaranteed Notes (Callable 11/01/10 @ $104.69) | (B-, B3) | 11/01/14 | 9.375 | 688,500 | |
| 250 | Cricket Communications, Inc., Rule 144A, | ||||
| Senior Secured Notes (Callable 05/15/12 @ $105.81) | (B+, Ba2) | 05/15/16 | 7.750 | 250,000 | |
| 225 | Crown Castle International Corp., Senior Unsecured | ||||
| Notes (Callable 01/15/13 @ $105.62) | (B+, B2) | 01/15/15 | 9.000 | 238,781 | |
| 200 | DigitalGlobe, Inc., Rule 144A, Company | ||||
| Guaranteed Notes (Callable 05/01/12 @ $105.25) | (BB, Ba3) | 05/01/14 | 10.500 | 209,500 | |
| 975 | MetroPCS Wireless, Inc., Global Company | ||||
| Guaranteed Notes (Callable 11/01/10 @ $104.63) | (B, B3) | 11/01/14 | 9.250 | 1,014,000 | |
| 2,648 | Nextel Communications, Inc., Series F, | ||||
| Company Guaranteed Notes (Callable 03/15/10 @ $101.49) | (BB, Ba2) | 03/15/14 | 5.950 | 2,303,760 | |
| 1,525 | Sprint | ||||
| Nextel Corp., Senior Unsecured Notes | (BB, Ba2) | 12/01/16 | 6.000 | 1,340,094 | |
| 6,044,635 | |||||
| Textiles & Apparel (0.4%) | |||||
| 550 | Levi Strauss & Co., Global Senior Notes (Callable | ||||
| 01/15/10 @ $104.88) | (B+, B2) | 01/15/15 | 9.750 | 561,000 | |
| Theaters & Entertainment (1.3%) | |||||
| 1,125 | AMC Entertainment, Inc., Global Senior | ||||
| Subordinated Notes (Callable 03/01/10 @ $102.67) | (CCC+, Caa1) | 03/01/14 | 8.000 | 1,043,438 | |
| 750 | AMC Entertainment, Inc., Rule 144A, | ||||
| Senior Notes (Callable 06/01/14 @ $104.38) | (B-, B1) | 06/01/19 | 8.750 | 742,500 | |
| 1,785,938 | |||||
| Tobacco (0.4%) | |||||
| 500 | Alliance One International, Inc., | ||||
| Rule 144A, Senior Unsecured Notes (Callable 07/15/13 @ $105.00) | (B+, B2) | 07/15/16 | 10.000 | 495,000 | |
| TOTAL U.S. CORPORATE BONDS (Cost | |||||
| $182,008,508) | 154,478,819 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105735\09-24220-6\task3719085\24220-6-dc-05.htm',USER='105735',CD='Sep 16 22:42 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| FOREIGN CORPORATE BONDS (9.5%) | |||||
| Aerospace & Defense (0.3%) | |||||
| 400 | Bombardier, Inc., Rule 144A, Senior | ||||
| Unsecured Notes (Canada) | (BB+, Ba2) | 05/01/14 | 6.300 | $ 372,000 | |
| Chemicals (1.0%) | |||||
| 1,150 | Cognis GmbH, Rule 144A, Senior Secured Notes | ||||
| (Callable 08/15/09 @ $100.00) (Germany)# | (B-, B2) | 09/15/13 | 2.629 | 937,250 | |
| 1,175 | Ineos Group Holdings PLC, Rule 144A, Secured | ||||
| Notes (Callable 02/15/11 @ $104.25) (United Kingdom) | (CCC-, Caa3) | 02/15/16 | 8.500 | 487,625 | |
| 1,424,875 | |||||
| Electronics (0.7%) | |||||
| 750 | Avago Technologies Finance, Global Company | ||||
| Guaranteed Notes (Callable 12/01/10 @ $105.94) (Singapore) | (B, B3) | 12/01/15 | 11.875 | 783,750 | |
| 1,000 | New Asat, Ltd., Global Company Guaranteed Notes | ||||
| (Callable 02/01/10 @ $100.00) (Cayman Islands)ø | (D, NR) | 02/01/11 | 9.250 | 1,250 | |
| 153 | NXP Funding LLC, Rule 144A, Senior Secured | ||||
| Notes (Netherlands) (EUR) | (B-, NR) | 07/15/13 | 10.000 | 154,010 | |
| 50 | NXP Funding LLC, Series EXCH, Global Senior | ||||
| Secured Notes (Callable 10/15/10 @ $103.94) (Netherlands) | (CC, C) | 10/15/14 | 7.875 | 35,000 | |
| 974,010 | |||||
| Energy - Exploration & Production (0.4%) | |||||
| 875 | OPTI Canada, Inc., Global Senior Secured | ||||
| Notes (Callable 12/15/10 @ $104.13) (Canada) | (B, Caa1) | 12/15/14 | 8.250 | 581,875 | |
| Forestry & Paper (0.8%) | |||||
| 2,325 | Abitibi-Consolidated Co. of Canada, Global Company | ||||
| Guaranteed Notes (Canada)ø | (D, NR) | 06/15/11 | 7.750 | 249,937 | |
| 1,000 | Smurfit Kappa Funding PLC, Global Senior | ||||
| Subordinated Notes (Callable 01/31/10 @ $103.88) (Ireland) | (B, B2) | 04/01/15 | 7.750 | 820,000 | |
| 1,069,937 | |||||
| Gaming (0.5%) | |||||
| 600 | Codere Finance Luxembourg SA, Rule 144A, | ||||
| Senior Secured Notes (Callable 06/15/10 @ $104.13) (Luxembourg) (EUR) | (B, B2) | 06/15/15 | 8.250 | 637,987 | |
| Media - Cable (1.1%) | |||||
| 325 | Unitymedia GmbH, Rule 144A, Senior Secured | ||||
| Notes (Callable 02/15/10 @ $105.06) (Germany) (EUR) | (B+, B2) | 02/15/15 | 10.125 | 488,415 | |
| 500 | Virgin Media Finance PLC, Global Company | ||||
| Guaranteed Notes (Callable 04/15/10 @ $103.25) (United Kingdom) (GBP) | (B, B2) | 04/15/14 | 9.750 | 837,214 | |
| 150 | Virgin Media Finance PLC, Global Company Guaranteed | ||||
| Notes (Callable 08/15/11 @ $104.56) (United Kingdom) | (B, B2) | 08/15/16 | 9.125 | 152,250 | |
| 1,477,879 | |||||
| Media - Diversified (0.4%) | |||||
| 600 | Quebecor Media, Inc., Global Senior Unsecured | ||||
| Notes (Callable 03/15/11 @ $103.88) (Canada) | (B, B2) | 03/15/16 | 7.750 | 573,000 | |
| Oil Field Equipment & Services (0.3%) | |||||
| 475 | Cie Generale de Geophysique-Veritas, Global | ||||
| Company Guaranteed Notes (Callable 05/15/10 @ $103.75) (France) | (BB, Ba3) | 05/15/15 | 7.500 | 458,375 | |
| Packaging (0.3%) | |||||
| 275 | Impress Holdings BV, Rule 144A, Company | ||||
| Guaranteed Notes (Callable 09/15/09 @ $109.25) (Netherlands)(EUR) | (B-, B3) | 09/15/14 | 9.250 | 390,856 | |
| Pharmaceuticals (0.3%) | |||||
| 350 | Elan Finance Corp., Global Company Guaranteed | ||||
| Notes (Callable 12/01/10 @ $104.44) (Ireland) | (B, B3) | 12/01/13 | 8.875 | 344,750 | |
| Telecom - Integrated/Services (1.5%) | |||||
| 1,507 | Global Crossing UK Finance, Global Company | ||||
| Guaranteed Notes (Callable 12/15/09 @ $105.38) (United Kingdom) | (B-, B3) | 12/15/14 | 10.750 | 1,296,020 | |
| 550 | Hellas Telecommunications II SCA, Rule 144A, | ||||
| Subordinated Notes (Callable 01/15/10 @ $100.00) (Luxembourg)# | (CC, Caa3) | 01/15/15 | 6.259 | 154,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105735\09-24220-6\task3719085\24220-6-dc-05.htm',USER='105735',CD='Sep 16 22:42 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| FOREIGN CORPORATE BONDS | |||||
| Telecom - Integrated/Services | |||||
| 650 | Nordic Telephone Co. Holdings, Rule 144A, | ||||
| Senior Secured Notes (Callable 05/01/11 @ $104.44) (Denmark) | (BB-, B1) | 05/01/16 | 8.875 | $ 663,000 | |
| 2,113,020 | |||||
| Telecom - Wireless (0.4%) | |||||
| 400 | Wind Acquisition Finance SA, Rule 144A, | ||||
| Senior Notes (Callable 7/15/13 @ $105.88) (Luxembourg) (EUR) | (BB-, B2) | 07/15/17 | 11.750 | 584,512 | |
| Telecommunications Equipment (0.1%) | |||||
| 425 | Nortel Networks, Ltd., Global Company Guaranteed | ||||
| Notes (Callable 07/15/11 @ $105.38) (Canada)ø | (NR, NR) | 07/15/16 | 10.750 | 188,063 | |
| Textiles & Apparel (0.0%) | |||||
| 75 | IT Holding Finance SA, Rule 144A, Company | ||||
| Guaranteed Notes (Luxembourg) (EUR)ø | (NR, NR) | 11/15/12 | 9.875 | 35,621 | |
| Transportation - Excluding Air/Rail (1.4%) | |||||
| 1,375 | Navios Maritime Holdings, Inc., Global | ||||
| Company Guaranteed Notes (Callable 12/15/10 @ $104.75) (Marshall Islands) | (B+, B3) | 12/15/14 | 9.500 | 1,175,625 | |
| 825 | Ship Finance International, Ltd., Global Company | ||||
| Guaranteed Notes (Callable 12/15/09 @ $102.83) (Bermuda) | (B+, B1) | 12/15/13 | 8.500 | 775,500 | |
| 1,951,125 | |||||
| TOTAL FOREIGN CORPORATE BONDS (Cost | |||||
| $17,233,995) | 13,177,885 | ||||
| BANK LOANS (1.0%) | |||||
| Energy - Exploration & Production (0.4%) | |||||
| 625 | ATP | ||||
| Oil & Gas | (NR, NR) | 07/15/14 | 5.750 | 487,500 | |
| Gaming (0.3%) | |||||
| 496 | CCM | ||||
| Merger, Inc. | (NR, NR) | 07/21/12 | 1.000 | 455,009 | |
| Pharmaceuticals (0.3%) | |||||
| 525 | Nycomed | ||||
| Holdings Aps | (NR, NR) | 12/29/13 | 7.350 | 477,750 | |
| TOTAL BANK LOANS (Cost | |||||
| $1,195,595) | 1,420,259 | ||||
| Number | |||||
| of Shares | |||||
| COMMON STOCKS (0.1%) | |||||
| Chemicals (0.0%) | |||||
| 4,893 | Huntsman | ||||
| Corp. | 30,043 | ||||
| Containers & Packaging (0.1%) | |||||
| 7,250 | Constar | ||||
| International, Inc.* | 87,000 | ||||
| TOTAL COMMON STOCKS (Cost | |||||
| $687,887) | 117,043 | ||||
| PREFERRED STOCKS (0.2%) | |||||
| Diversified Financials (0.2%) | |||||
| 473 | Preferred Blocker, Inc., Rule 144A (Callable | ||||
| 12/31/11 @ $1,000)* | 217,831 | ||||
| Media - Broadcast (0.0%) | |||||
| 17,257 | CMP | ||||
| Susquehanna Radio Holdings Corp. Series A* | 0 | ||||
| TOTAL PREFERRED STOCKS (Cost | |||||
| $99,450) | 217,831 | ||||
| WARRANTS (0.0%) | |||||
| Diversified Financial Services (0.0%) | |||||
| 19,721 | CNB | ||||
| Capital Trust I, Rule 144A, expires 03/23/19* | 0 | ||||
| Electrical Equipment (0.0%) | |||||
| 204,293 | Viasystems, Inc., | ||||
| strike price $25.31, expires 01/31/10* ^ | 2,043 | ||||
| TOTAL WARRANTS (Cost | |||||
| $3,772,613) | 2,043 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105735\09-24220-6\task3719085\24220-6-dc-05.htm',USER='105735',CD='Sep 16 22:42 2009'
| Par (000) | Maturity | Rate% | Value | ||
|---|---|---|---|---|---|
| SHORT-TERM INVESTMENT (3.7%) | |||||
| $ 5,151 | State Street Bank and Trust Co. Euro Time | ||||
| Deposit (Cost $5,151,000) | 08/03/09 | 0.010 | $ 5,151,000 | ||
| TOTAL | |||||
| INVESTMENTS AT VALUE (126.4%) (Cost $210,149,048) | 174,564,880 | ||||
| LIABILITIES | |||||
| IN EXCESS OF OTHER ASSETS (-26.4 %) | (36,485,810 | ) | |||
| NET | |||||
| ASSETS (100.0%) | $ 138,079,070 |
| Forward Foreign Currency to be Purchased (Local) | Forward Foreign Currency to be Sold (Local) | Expiration Date | Value on Settlement Date | Current Value | Unrealized Appreciation/ (Depreciation) | |||||
|---|---|---|---|---|---|---|---|---|---|---|
| Open Forward | ||||||||||
| Foreign Currency Contracts | ||||||||||
| USD | 3,135,329 | EUR | 2,247,000 | 10/16/09 | (3,185,828 | ) | (3,135,329 | ) | $ (50,499 | ) |
| USD | 469,904 | EUR | 330,000 | 10/16/09 | (467,848 | ) | (469,904 | ) | 2,026 | |
| USD | 814,362 | GBP | 500,250 | 10/16/09 | (829,191 | ) | (814,362 | ) | (14,829 | ) |
| Total | $ (63,302 | ) |
*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, 2009, these securities amounted to a value of $40,401,706 or
29.3% of net assets. |
| + | Step Bond The interest rate is as of July 31, 2009 and will
reset at a future date. |
| ø | Bond is currently in default. |
| * | Non-income producing security. |
| # | Variable rate obligations The interest rate is the rate as of
July 31, 2009. |
| ^ | 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. |
Currency Abbreviations:
EUR = Euro Currency
GBP = British Pound
USD = United States Dollar
Security Valuation The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the Exchange) on each day the Exchange is open for business. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (the Valuation Time). If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Investments in mutual funds are valued at the mutual funds closing net asset value per share on the day of valuation. Securities and other assets for which market quotations are not readily available, or whose values have been materially affected by events occurring before the Funds Valuation Time but after the close of the securities primary markets, are valued at fair value as determined in good faith by, or under the direction of, the Board of Trustees under procedures established by the Board of Trustees. At July 31, 2009, the Fund held 0.05% 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 $3,843,368 and fair value of $72,789. The Funds estimate of fair value assumes a willing buyer and a willing seller neither acting under the compulsion to buy or sell. Although these securities may be resold in privately negotiated transactions, the prices realized on such sales could differ from the prices originally paid by the Fund or the current carrying values, and the difference could be material.
The Fund adopted Financial Accounting Standards Board (FASB) Statement of Financial Accounting Standards No. 157, Fair Value Measurements (FAS 157), effective November 1, 2008. In accordance with FAS 157, fair value is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. FAS 157 established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entitys own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
SEQ.=1,FOLIO='',FILE='C:\JMS\105590\09-24220-6\task3719086\24220-6-dc-07.htm',USER='105590',CD='Sep 16 22:41 2009'
| · | Level 1 quoted prices in active markets for identical investments |
|---|---|
| · | Level 2 other significant observable inputs (including quoted prices |
| for similar investments, interest rates, prepayment speeds, credit risk, | |
| etc.) | |
| · | Level 3 significant unobservable inputs (including the Funds own |
| assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of July 31, 2009 in valuing the Funds investments carried at value:
| Level 1 | Level 2 | Level 3 | Total | |
|---|---|---|---|---|
| Investments | ||||
| in Securities | ||||
| U.S. | ||||
| Corporate Bonds | ||||
| Aerospace & | ||||
| Defense | $ | $ 1,430,813 | $ | $ 1,430,813 |
| Agriculture | | 601,250 | | 601,250 |
| Auto | ||||
| Loans | | 4,245,179 | | 4,245,179 |
| Auto | ||||
| Parts & Equipment | | 4,252,522 | | 4,252,522 |
| Banks | | 5,282,245 | | 5,282,245 |
| Beverages | | 664,875 | | 664,875 |
| Brokerage | | 543,875 | | 543,875 |
| Building & | ||||
| Construction | | 2,408,663 | | 2,408,663 |
| Building | ||||
| Materials | | 3,100,338 | | 3,100,338 |
| Chemicals | | 4,270,791 | | 4,270,791 |
| Computer | ||||
| Hardware | | 1,032,969 | | 1,032,969 |
| Consumer | ||||
| Products | | 2,436,100 | | 2,436,100 |
| Diversified | ||||
| Capital Goods | | 4,984,909 | | 4,984,909 |
| Electric | ||||
| - Generation | | 9,134,080 | | 9,134,080 |
| Electric | ||||
| - Integrated | | 1,908,125 | | 1,908,125 |
| Electronics | | 3,435,750 | 70,746 | 3,506,496 |
| Energy | ||||
| - Exploration & Production | | 9,168,485 | | 9,168,485 |
| Environmental | | 1,154,000 | | 1,154,000 |
| Food & | ||||
| Drug Retailers | | 1,301,125 | | 1,301,125 |
| Food | ||||
| - Wholesale | | 870,500 | | 870,500 |
| Forestry & | ||||
| Paper | | 2,979,758 | | 2,979,758 |
| Gaming | | 11,591,811 | | 11,591,811 |
| Gas | ||||
| Distribution | | 4,838,236 | | 4,838,236 |
| Health | ||||
| Services | | 11,202,006 | | 11,202,006 |
| Hotels | | 1,801,625 | | 1,801,625 |
| Household & | ||||
| Leisure Products | | 412,875 | | 412,875 |
| Investments & | ||||
| Misc. Financial Services | | 500,500 | | 500,500 |
| Leisure | | 197,630 | | 197,630 |
| Machinery | | 863,000 | | 863,000 |
| Media | ||||
| - Broadcast | | 2,169,325 | | 2,169,325 |
| Media | ||||
| - Cable | | 5,845,227 | | 5,845,227 |
| Media | ||||
| - Services | | 1,491,125 | | 1,491,125 |
| Metals & | ||||
| Mining - Excluding Steel | | 3,577,076 | | 3,577,076 |
| Non-Food & | ||||
| Drug Retailers | | 4,371,075 | | 4,371,075 |
| Oil | ||||
| Field Equipment & Services | | 1,967,938 | | 1,967,938 |
| Oil | ||||
| Refining & Marketing | | 971,250 | | 971,250 |
| Packaging | | 3,175,219 | | 3,175,219 |
| Printing & | ||||
| Publishing | | 2,800,831 | | 2,800,831 |
| Railroads | | 585,000 | | 585,000 |
| Restaurants | | 527,625 | | 527,625 |
| Software/Services | | 3,477,687 | | 3,477,687 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105590\09-24220-6\task3719086\24220-6-dc-07.htm',USER='105590',CD='Sep 16 22:41 2009'
| Steel
Producers/Products | Level 1 — | | Level 2 — 1,987,275 | Level 3 — | Total — 1,987,275 | |
| --- | --- | --- | --- | --- | --- | --- |
| Support-Services | | | 6,580,937 | | 6,580,937 | |
| Telecom
- Integrated/Services | | | 9,379,875 | | 9,379,875 | |
| Telecom
- Wireless | | | 6,044,635 | | 6,044,635 | |
| Textiles &
Apparel | | | 561,000 | | 561,000 | |
| Theaters &
Entertainment | | | 1,785,938 | | 1,785,938 | |
| Tobacco | | | 495,000 | | 495,000 | |
| Foreign
Corporate Bonds | | | | | | |
| Aerospace &
Defense | | | 372,000 | | 372,000 | |
| Chemicals | | | 1,424,875 | | 1,424,875 | |
| Electronics | | | 974,010 | | 974,010 | |
| Energy
- Exploration & Production | | | 581,875 | | 581,875 | |
| Forestry &
Paper | | | 1,069,937 | | 1,069,937 | |
| Gaming | | | 637,987 | | 637,987 | |
| Media
- Cable | | | 1,477,879 | | 1,477,879 | |
| Media
- Diversified | | | 573,000 | | 573,000 | |
| Oil
Field Equipment & Services | | | 458,375 | | 458,375 | |
| Packaging | | | 390,856 | | 390,856 | |
| Pharmaceuticals | | | 344,750 | | 344,750 | |
| Telecom
- Integrated/Services | | | 2,113,020 | | 2,113,020 | |
| Telecom
- Wireless | | | 584,512 | | 584,512 | |
| Telecommunications
Equipment | | | 188,063 | | 188,063 | |
| Textiles &
Apparel | | | 35,621 | | 35,621 | |
| Transportation
- Excluding Air/Rail | | | 1,951,125 | | 1,951,125 | |
| Bank
Loans | | | | | | |
| Energy
- Exploration & Production | | | 487,500 | | 487,500 | |
| Gaming | | | 455,009 | | 455,009 | |
| Pharmaceuticals | | | 477,750 | | 477,750 | |
| Common
Stocks | | | | | | |
| Chemicals | 30,043 | | | | 30,043 | |
| Containers &
Packaging | 87,000 | | | | 87,000 | |
| Preferred
Stocks | | | | | | |
| Diversified
Financials | 217,831 | | | | 217,831 | |
| Media
- Broadcast | | | | | | |
| Warrants | | | | | | |
| Diversified
Financial Services | | | | | | |
| Electrical
Equipment | | | | 2,043 | 2,043 | |
| Short-Term
Investment | | | 5,151,000 | | 5,151,000 | |
| Other
Financial Instruments * | | | | | | |
| Forward
Foreign Currency Contracts | (63,302 | ) | | | (63,302 | ) |
| | $ 271,572 | | $ 174,157,217 | $ 72,789 | $ 174,501,578 | |
*Other financial instruments include futures, forwards and swap contracts.
As of July 31, 2009, the amounts shown by the Fund as being Level 3 securities that were measured at fair value amounted to 0.05% of net assets.
Federal Income Tax Cost At July 31, 2009, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized depreciation from investments were $210,149,048, $6,170,922, $(41,755,090) and $(35,584,168) respectively.
Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Funds website at www.credit-suisse.com/us as well as on the website of the Securities and Exchange Commission at www.sec.gov.
SEQ.=1,FOLIO='',FILE='C:\JMS\105590\09-24220-6\task3719086\24220-6-dc-07.htm',USER='105590',CD='Sep 16 22:41 2009'
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\105948\09-24220-6\task3719246\24220-6-ga.htm',USER='105948',CD='Sep 17 01:08 2009'
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 18, 2009 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| /s/George R. Hornig | |
|---|---|
| Name: | George R. Hornig |
| Title: | Chief Executive Officer |
| Date: | September 18, 2009 |
| /s/Michael A. Pignataro | |
|---|---|
| Name: | Michael A. Pignataro |
| Title: | Chief Financial Officer |
| Date: | September 18, 2009 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105590\09-24220-6\task3719052\24220-6-jc.htm',USER='105590',CD='Sep 16 22:16 2009'
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