Regulatory Filings • Sep 14, 2010
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Download Source FileN-Q 1 a10-13838_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) |
| John G. Popp Eleven Madison Avenue New York, New York 10010 | |
| (Name and address of agent for service) | |
| Registrants
telephone number, including area code: | (212)
325-2000 |
| Date of
fiscal year end: | October 31st |
| Date of
reporting period: | May 1, 2010
to July 31, 2010 |
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*Item 1: Schedule of Investments*
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*Credit Suisse High Yield Bond Fund*
*Schedule of Investments*
July 31, 2010 (unaudited)
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS (116.0%) | |||||
| Aerospace & Defense (1.0%) | |||||
| $ 575 | BE | ||||
| Aerospace, Inc., Senior Unsecured Notes (Callable 07/01/13 @ $104.25) | (BB, | ||||
| Ba3) | 07/01/18 | 8.500 | $ 626,750 | ||
| 550 | Hawker | ||||
| Beechcraft Notes Co., Global Company Guaranteed Notes (Callable 04/01/11 @ | |||||
| $104.25)§ | (CCC-, | ||||
| Caa3) | 04/01/15 | 8.500 | 445,500 | ||
| 825 | Hawker | ||||
| Beechcraft Notes Co., Global Company Guaranteed Notes (Callable 04/01/12 @ | |||||
| $104.88) | (CCC-, | ||||
| Ca) | 04/01/17 | 9.750 | 515,625 | ||
| 1,587,875 | |||||
| Auto Loans (2.5%) | |||||
| 1,960 | Ford | ||||
| Motor Credit Co., LLC, Global Senior Unsecured Notes | (B-, | ||||
| Ba3) | 10/01/13 | 7.000 | 2,041,895 | ||
| 1,875 | Ford | ||||
| Motor Credit Co., LLC, Senior Unsecured Notes | (B-, | ||||
| Ba3) | 12/15/16 | 8.000 | 2,003,878 | ||
| 4,045,773 | |||||
| Auto Parts & Equipment (3.6%) | |||||
| 275 | Accuride | ||||
| Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ | |||||
| $104.75) | (B, | ||||
| B2) | 08/01/18 | 9.500 | 281,875 | ||
| 350 | American | ||||
| Axle & Manufacturing Holdings, Inc., Rule 144A, Senior | |||||
| Secured Notes (Callable 01/15/14 @ $104.63) | (B, | ||||
| B1) | 01/15/17 | 9.250 | 378,875 | ||
| 775 | American | ||||
| Axle & Manufacturing, Inc., Company Guaranteed Notes (Callable | |||||
| 03/01/12 @ $103.94) | (CCC, | ||||
| Caa2) | 03/01/17 | 7.875 | 724,625 | ||
| 1,200 | American | ||||
| Tire Distributors, Inc., Rule 144A, Senior Secured Notes (Callable | |||||
| 06/01/13 @ $107.31) | (CCC+, | ||||
| B2) | 06/01/17 | 9.750 | 1,257,000 | ||
| 875 | ArvinMeritor, Inc., | ||||
| Company Guaranteed Notes (Callable 03/15/14 @ $105.31) | (CCC, | ||||
| Caa1) | 03/15/18 | 10.625 | 958,125 | ||
| 1,325 | Stanadyne | ||||
| Corp., Series 1, Global Senior Subordinated Notes (Callable 08/15/10 @ | |||||
| $103.33) | (CCC, | ||||
| Caa1) | 08/15/14 | 10.000 | 1,252,125 | ||
| 848 | The | ||||
| Goodyear Tire & Rubber Co., Global Company Guaranteed Notes | |||||
| (Callable 07/01/11 @ $103.00) | (B+, | ||||
| B1) | 07/01/15 | 9.000 | 890,400 | ||
| 50 | The | ||||
| Goodyear Tire & Rubber Co., Senior Unsecured Notes (Callable | |||||
| 05/15/12 @ $107.88) | (B+, | ||||
| B1) | 05/15/16 | 10.500 | 56,250 | ||
| 5,799,275 | |||||
| Banks (3.2%) | |||||
| 2,190 | Ally | ||||
| Financial, Inc., Global Company Guaranteed Notes | (B, | ||||
| B3) | 03/02/11 | 7.250 | 2,222,850 | ||
| 744 | Ally | ||||
| Financial, Inc., Global Company Guaranteed Notes | (B, | ||||
| B3) | 04/01/11 | 6.000 | 752,370 | ||
| 119 | Ally | ||||
| Financial, Inc., Global Subordinated Notes | (CCC+, | ||||
| B3) | 12/31/18 | 8.000 | 116,174 | ||
| 1,500 | Ally | ||||
| Financial, Inc., Rule 144A, Company Guaranteed Notes | (B, | ||||
| B3) | 02/12/15 | 8.300 | 1,582,500 | ||
| 525 | Ally | ||||
| Financial, Inc., Rule 144A, Company Guaranteed Notes | (B, | ||||
| B3) | 03/15/20 | 8.000 | 542,718 | ||
| 5,216,612 | |||||
| Beverages (0.4%) | |||||
| 675 | Constellation | ||||
| Brands, Inc., Company Guaranteed Notes | (BB, | ||||
| Ba3) | 09/01/16 | 7.250 | 707,063 | ||
| Building & Construction (1.0%) | |||||
| 741 | Ashton | ||||
| Woods Finance Co., Rule 144A, Company Guaranteed Notes (Callable | |||||
| 02/24/14 @ $105.50)+ | (NR, | ||||
| NR) | 06/30/15 | 0.000 | 429,780 | ||
| 600 | K | ||||
| Hovnanian Enterprises, Inc., Global Company Guaranteed Notes | (CCC-, | ||||
| Caa2) | 01/15/16 | 6.250 | 430,500 | ||
| 1,000 | William | ||||
| Lyon Homes, Inc., Company Guaranteed Notes (Callable 04/01/11 @ $101.79) | (CC, | ||||
| Caa3) | 04/01/13 | 10.750 | 835,000 | ||
| 1,695,280 | |||||
| Building Materials (3.6%) | |||||
| 1,075 | AMH | ||||
| Holdings Inc., Global Senior Discount Notes (Callable 03/01/11 @ $101.88) | (CCC, | ||||
| Caa2) | 03/01/14 | 11.250 | 1,107,250 | ||
| 1,285 | CPG | ||||
| International I, Inc., Global Company Guaranteed Notes (Callable | |||||
| 07/01/11 @ $100.00) | (B-, | ||||
| Caa1) | 07/01/13 | 10.500 | 1,304,275 | ||
| 500 | Dayton | ||||
| Superior Corp., Company Guaranteed Notesø^ | (NR, | ||||
| NR) | 06/15/09 | 13.000 | 0 | ||
| 1,325 | Headwaters, Inc., | ||||
| Global Senior Secured Notes (Callable 11/01/12 @ $105.69) | (B+, | ||||
| B2) | 11/01/14 | 11.375 | 1,351,500 | ||
| 1,125 | International | ||||
| Wire Group, Inc., Rule 144A, Senior Secured Notes (Callable | |||||
| 10/15/12 @ $104.88) | (B, | ||||
| B3) | 04/15/15 | 9.750 | 1,136,250 |
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| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Building Materials | |||||
| $ 114 | Norcraft | ||||
| Capital Corp., Global Senior Discount Notes (Callable 09/01/10 @ $100.00) | (CCC, | ||||
| Caa1) | 09/01/12 | 9.750 | $ 107,302 | ||
| 775 | Norcraft | ||||
| Finance Corp., Global Senior Secured Notes (Callable 12/15/12 @ $105.25) | (B-, | ||||
| B2) | 12/15/15 | 10.500 | 817,625 | ||
| 5,824,202 | |||||
| Chemicals (2.7%) | |||||
| 550 | CF | ||||
| Industries, Inc., Company Guaranteed Notes | (BB+, | ||||
| B1) | 05/01/20 | 7.125 | 588,500 | ||
| 300 | LBI | ||||
| Escrow Corp., Rule 144A, Senior Secured Notes (Callable 05/01/13 @ | |||||
| $106.00) | (BB, | ||||
| Ba3) | 11/01/17 | 8.000 | 316,125 | ||
| 250 | Momentive | ||||
| Performance Materials, Inc., Global Company Guaranteed Notes (Callable | |||||
| 12/01/10 @ $104.88)§ | (CCC-, | ||||
| Caa2) | 12/01/14 | 9.750 | 254,062 | ||
| 701 | Momentive | ||||
| Performance Materials, Inc., Global Company Guaranteed Notes (Callable | |||||
| 12/15/11 @ $106.25)§ | (CCC-, | ||||
| B3) | 06/15/14 | 12.500 | 797,120 | ||
| 350 | Nalco | ||||
| Co., Global Company Guaranteed Notes (Callable 11/15/10 @ $101.48) | (B, | ||||
| B2) | 11/15/13 | 8.875 | 360,062 | ||
| 275 | Nalco | ||||
| Co., Global Company Guaranteed Notes (Callable 11/15/10 @ $101.50) | (B, | ||||
| B2) | 11/15/13 | 9.000 | 367,227 | ||
| 575 | Nalco | ||||
| Finance Holdings, Inc., Global Senior Discount Notes (Callable 02/01/11 | |||||
| @ $101.50) | (B, | ||||
| B2) | 02/01/14 | 9.000 | 592,969 | ||
| 1,175 | Reichhold | ||||
| Industries, Inc., Rule 144A, Senior Notes (Callable 08/15/10 @ | |||||
| $104.50) | (CCC+, | ||||
| Caa2) | 08/15/14 | 9.000 | 1,069,250 | ||
| 4,345,315 | |||||
| Computer Hardware (0.7%) | |||||
| 1,225 | Activant | ||||
| Solutions, Inc., Global Company Guaranteed Notes (Callable 05/01/11 @ | |||||
| $104.75) | (CCC, | ||||
| Caa1) | 05/01/16 | 9.500 | 1,194,375 | ||
| Consumer Products (1.5%) | |||||
| 950 | AAC | ||||
| Group Holding Corp., Rule 144A, Senior Discount Notes (Callable 10/01/10 | |||||
| @ $100.00) | (CCC, | ||||
| NR) | 10/01/12 | 10.250 | 940,500 | ||
| 375 | Prestige | ||||
| Brands, Inc., Rule 144A, Company Guaranteed Notes (Callable | |||||
| 04/01/14 @ $104.13) | (B+, | ||||
| B3) | 04/01/18 | 8.250 | 386,250 | ||
| 1,100 | Spectrum | ||||
| Brands Holdings, Inc., Rule 144A, Secured Notes (Callable 06/15/14 | |||||
| @ $104.75) | (B, | ||||
| B2) | 06/15/18 | 9.500 | 1,161,875 | ||
| 2,488,625 | |||||
| Consumer/Commercial/Lease Financing (3.4%) | |||||
| 159 | CIT | ||||
| Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00) | (B+, | ||||
| B3) | 05/01/13 | 7.000 | 158,486 | ||
| 239 | CIT | ||||
| Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00) | (B+, | ||||
| B3) | 05/01/14 | 7.000 | 233,547 | ||
| 839 | CIT | ||||
| Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00) | (B+, | ||||
| B3) | 05/01/15 | 7.000 | 812,707 | ||
| 398 | CIT | ||||
| Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00) | (B+, | ||||
| B3) | 05/01/16 | 7.000 | 381,281 | ||
| 557 | CIT | ||||
| Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00) | (B+, | ||||
| B3) | 05/01/17 | 7.000 | 528,220 | ||
| 1,300 | International | ||||
| Lease Finance Corp., Rule 144A, Senior Unsecured Notes | (BB+, | ||||
| B1) | 09/15/15 | 8.625 | 1,326,000 | ||
| 675 | International | ||||
| Lease Finance Corp., Rule 144A, Senior Unsecured Notes | (BB+, | ||||
| B1) | 03/15/17 | 8.750 | 690,187 | ||
| 100 | International | ||||
| Lease Finance Corp., Series MTN, Senior Unsecured Notes | (BB+, | ||||
| B1) | 06/01/14 | 5.650 | 93,750 | ||
| 1,300 | Provident | ||||
| Funding Associates, Rule 144A, Senior Secured Notes (Callable 04/15/14 @ | |||||
| $105.13) | (B+, | ||||
| Ba3) | 04/15/17 | 10.250 | 1,332,500 | ||
| 5,556,678 | |||||
| Department Stores (0.4%) | |||||
| 600 | The | ||||
| Neiman Marcus Group, Inc., Global Company Guaranteed Notes (Callable | |||||
| 10/15/10 @ $105.19)§ | (CCC+, | ||||
| Caa2) | 10/15/15 | 10.375 | 628,500 | ||
| Diversified Capital Goods (3.3%) | |||||
| 450 | Belden, Inc., | ||||
| Global Company Guaranteed Notes (Callable 03/15/12 @ $103.50) | (B+, | ||||
| Ba2) | 03/15/17 | 7.000 | 452,250 | ||
| 625 | Belden, Inc., | ||||
| Rule 144A, Company Guaranteed Notes (Callable 06/15/14 @ $104.62) | (B+, | ||||
| Ba2) | 06/15/19 | 9.250 | 679,688 | ||
| 800 | Coleman | ||||
| Cable, Inc., Global Company Guaranteed Notes (Callable 02/15/14 @ | |||||
| $104.50) | (B, | ||||
| B3) | 02/15/18 | 9.000 | 804,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105455\10-13838-6\task4262812\13838-6-bi-01.htm',USER='105455',CD='Sep 3 07:18 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Diversified Capital Goods | |||||
| $ 925 | Esco | ||||
| Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/10 @ | |||||
| $100.00)# | (B, | ||||
| B2) | 12/15/13 | 4.412 | $ 852,156 | ||
| 950 | Mueller | ||||
| Water Products, Inc., Global Company Guaranteed Notes (Callable 06/01/12 | |||||
| @ $103.69) | (B-, | ||||
| B3) | 06/01/17 | 7.375 | 870,437 | ||
| 425 | Sensus | ||||
| USA Systems, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ | |||||
| $101.44) | (B-, | ||||
| B3) | 12/15/13 | 8.625 | 424,469 | ||
| 600 | Titan | ||||
| International, Inc., Global Company Guaranteed Notes | (B-, | ||||
| B2) | 01/15/12 | 8.000 | 627,000 | ||
| 600 | TriMas | ||||
| Corp., Rule 144A, Senior Secured Notes (Callable 12/15/13 @ $104.88) | (B-, | ||||
| Caa1) | 12/15/17 | 9.750 | 615,750 | ||
| 5,325,750 | |||||
| Electric - Generation (6.2%) | |||||
| 1,050 | Calpine | ||||
| Corp., Rule 144A, Senior Secured Notes (Callable 07/31/15 @ $103.94) | (B+, | ||||
| B1) | 07/31/20 | 7.875 | 1,065,750 | ||
| 1,275 | Dynegy | ||||
| Holdings, Inc., Global Senior Unsecured Notes§ | (B-, | ||||
| B3) | 05/01/16 | 8.375 | 1,026,375 | ||
| 1,475 | Edison | ||||
| Mission Energy, Global Senior Unsecured Notes | (B-, | ||||
| B3) | 05/15/17 | 7.000 | 1,010,375 | ||
| 675 | Edison | ||||
| Mission Energy, Global Senior Unsecured Notes | (B-, | ||||
| B3) | 05/15/19 | 7.200 | 459,000 | ||
| 1,175 | Mirant | ||||
| Americas Generation LLC, Senior Unsecured Notes | (B-, | ||||
| B3) | 10/01/21 | 8.500 | 1,122,125 | ||
| 447 | Mirant | ||||
| Mid Atlantic Trust, Series B, Global Pass Thru Certificates | (BB, | ||||
| Ba1) | 06/30/17 | 9.125 | 465,154 | ||
| 350 | NRG | ||||
| Energy, Inc., Company Guaranteed Notes (Callable 01/15/12 @ $103.69) | (BB-, | ||||
| B1) | 01/15/17 | 7.375 | 355,250 | ||
| 550 | NRG | ||||
| Energy, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.69) | (BB-, | ||||
| B1) | 02/01/16 | 7.375 | 562,375 | ||
| 625 | NRG | ||||
| Energy, Inc., Company Guaranteed Notes (Callable 06/15/14 @ $104.25) | (BB-, | ||||
| B1) | 06/15/19 | 8.500 | 659,375 | ||
| 3,725 | Texas | ||||
| Competitive Electric Holdings Co., LLC, Series A, Global Company | |||||
| Guaranteed Notes (Callable 11/01/11 @ $105.13)§ | (CCC, | ||||
| Caa2) | 11/01/15 | 10.250 | 2,514,375 | ||
| 1,175 | Texas | ||||
| Competitive Electric Holdings Co., LLC, Series B, Global Company Guaranteed | |||||
| Notes (Callable 11/01/11 @ $105.13) | (CCC, | ||||
| Caa2) | 11/01/15 | 10.250 | 793,125 | ||
| 10,033,279 | |||||
| Electric - Integrated (1.2%) | |||||
| 550 | The | ||||
| AES Corp., Global Senior Unsecured Notes | (BB-, | ||||
| B1) | 04/15/16 | 9.750 | 620,125 | ||
| 1,000 | The | ||||
| AES Corp., Global Senior Unsecured Notes | (BB-, | ||||
| B1) | 10/15/17 | 8.000 | 1,066,250 | ||
| 175 | The | ||||
| AES Corp., Senior Unsecured Notes | (BB-, | ||||
| B1) | 03/01/14 | 7.750 | 183,750 | ||
| 1,870,125 | |||||
| Electronics (1.1%) | |||||
| 1,075 | Freescale | ||||
| Semiconductor, Inc., Rule 144A, Senior Secured Notes (Callable | |||||
| 03/15/14 @ $105.06) | (B-, | ||||
| B2) | 03/15/18 | 10.125 | 1,150,250 | ||
| 575 | Sanmina-SCI | ||||
| Corp., Company Guaranteed Notes (Callable 03/01/11 @ $104.06) | (CCC+, | ||||
| B2) | 03/01/16 | 8.125 | 587,938 | ||
| 1,738,188 | |||||
| Energy - Exploration & Production (4.9%) | |||||
| 500 | Berry | ||||
| Petroleum Co., Senior Subordinated Notes (Callable 11/01/11 @ $104.13) | (B, | ||||
| B3) | 11/01/16 | 8.250 | 506,250 | ||
| 300 | Chesapeake | ||||
| Energy Corp., Company Guaranteed Notes | (BB, | ||||
| Ba3) | 12/15/18 | 7.250 | 318,750 | ||
| 1,000 | Comstock | ||||
| Resources, Inc., Company Guaranteed Notes (Callable 10/15/13 @ $104.19) | (B, | ||||
| B2) | 10/15/17 | 8.375 | 1,035,000 | ||
| 575 | Denbury | ||||
| Resources, Inc., Company Guaranteed Notes (Callable 03/01/13 @ $104.88) | (BB, | ||||
| B1) | 03/01/16 | 9.750 | 636,094 | ||
| 450 | Forest | ||||
| Oil Corp., Global Company Guaranteed Notes (Callable 06/15/12 @ $103.63) | (B+, | ||||
| B1) | 06/15/19 | 7.250 | 457,875 | ||
| 525 | Hilcorp | ||||
| Financial Co., Rule 144A, Senior Unsecured Notes (Callable 06/01/11 @ | |||||
| $104.50) | (BB-, | ||||
| B2) | 06/01/16 | 9.000 | 556,500 | ||
| 475 | Penn | ||||
| Virginia Corp., Senior Notes (Callable 06/15/13 @ $105.19) | (BB-, | ||||
| B2) | 06/15/16 | 10.375 | 524,875 | ||
| 950 | PetroHawk | ||||
| Energy Corp., Global Company Guaranteed Notes (Callable 06/01/12 @ $103.94) | (B, | ||||
| B3) | 06/01/15 | 7.875 | 988,000 | ||
| 475 | Pioneer | ||||
| Natural Resources Co., Senior Unsecured Notes | (BB+, | ||||
| Ba1) | 01/15/20 | 7.500 | 513,722 | ||
| 625 | Plains | ||||
| Exploration & Production Co., Company Guaranteed Notes (Callable | |||||
| 06/15/11 @ $103.88) | (BB-, | ||||
| B1) | 06/15/15 | 7.750 | 637,500 | ||
| 425 | Stone | ||||
| Energy Corp., Company Guaranteed Notes (Callable 02/01/14 @ $104.31) | (BB-, | ||||
| Caa1) | 02/01/17 | 8.625 | 405,344 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105455\10-13838-6\task4262812\13838-6-bi-01.htm',USER='105455',CD='Sep 3 07:18 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Energy - Exploration & Production | |||||
| $ 525 | Stone | ||||
| Energy Corp., Global Senior Subordinated Notes (Callable 12/15/10 @ $102.25) | (B-, | ||||
| Caa2) | 12/15/14 | 6.750 | $ 467,250 | ||
| 475 | Swift | ||||
| Energy Co., Company Guaranteed Notes (Callable 06/01/12 @ $103.56) | (BB-, | ||||
| B3) | 06/01/17 | 7.125 | 458,375 | ||
| 450 | Whiting | ||||
| Petroleum Corp., Global Company Guaranteed Notes | (BB, | ||||
| B1) | 02/01/14 | 7.000 | 470,812 | ||
| 7,976,347 | |||||
| Environmental (0.7%) | |||||
| 1,100 | Casella | ||||
| Waste Systems, Inc., Global Senior Secured Notes (Callable 07/15/12 @ | |||||
| $105.50) | (B+, | ||||
| B2) | 07/15/14 | 11.000 | 1,205,875 | ||
| Food & Drug Retailers (0.7%) | |||||
| 725 | Rite | ||||
| Aid Corp., Global Company Guaranteed Notes (Callable 06/15/11 @ $104.69) | (CCC, | ||||
| Caa3) | 12/15/15 | 9.375 | 610,812 | ||
| 475 | Rite | ||||
| Aid Corp., Global Senior Secured Notes (Callable 06/12/13 @ $104.88) | (B+, | ||||
| B3) | 06/12/16 | 9.750 | 513,594 | ||
| 1,124,406 | |||||
| Food - Wholesale (1.0%) | |||||
| 450 | Michael | ||||
| Foods, Inc., Rule 144A, Senior Notes (Callable 07/15/14 @ 104.88) | (B-, | ||||
| Caa1) | 07/15/18 | 9.750 | 474,750 | ||
| 1,200 | Southern | ||||
| States Cooperative, Inc., Rule 144A, Senior Notes (Callable | |||||
| 05/15/13 @ $105.63) | (B+, | ||||
| B3) | 05/15/15 | 11.250 | 1,206,000 | ||
| 1,680,750 | |||||
| Forestry & Paper (3.0%) | |||||
| 728 | Boise | ||||
| Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/10 @ $102.38) | (B+, | ||||
| Caa1) | 10/15/14 | 7.125 | 687,960 | ||
| 750 | Georgia-Pacific | ||||
| Corp., Global Senior Notes | (BB, | ||||
| Ba3) | 01/15/24 | 8.000 | 821,250 | ||
| 300 | Georgia-Pacific | ||||
| LLC Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ $103.56) | (BB+, | ||||
| Ba2) | 01/15/17 | 7.125 | 313,875 | ||
| 300 | Georgia-Pacific | ||||
| LLC Rule 144A, Company Guaranteed Notes (Callable 05/01/13 @ $104.13) | (BB+, | ||||
| Ba2) | 05/01/16 | 8.250 | 327,000 | ||
| 550 | NewPage Corp., | ||||
| Global Secured Notes (Callable 05/01/11 @ $100.00)§ | (CCC-, | ||||
| Caa2) | 05/01/12 | 10.000 | 313,500 | ||
| 1,300 | NewPage Corp., | ||||
| Global Senior Secured Notes (Callable 03/31/12 @ $105.00)§ | (CCC+, | ||||
| B2) | 12/31/14 | 11.375 | 1,210,625 | ||
| 1,125 | Verso | ||||
| Paper, Inc., Series B, Global Company Guaranteed Notes (Callable | |||||
| 08/01/11 @ $105.69)§ | (CCC+, | ||||
| Caa1) | 08/01/16 | 11.375 | 1,043,437 | ||
| 75 | Verso | ||||
| Paper, Inc., Series B, Global Senior Secured Notes (Callable | |||||
| 08/01/10 @ $104.56)§ | (B, | ||||
| B2) | 08/01/14 | 9.125 | 75,375 | ||
| 4,793,022 | |||||
| Gaming (7.3%) | |||||
| 775 | Buffalo | ||||
| Thunder Development Authority, Rule 144A, Senior Secured Notes (Callable | |||||
| 12/15/10 @ $104.69)ø | (NR, | ||||
| NR) | 12/15/14 | 9.375 | 143,375 | ||
| 1,225 | CCM | ||||
| Merger, Inc., Rule 144A, Notes (Callable 08/01/10 @ $102.00) | (CCC+, | ||||
| Caa3) | 08/01/13 | 8.000 | 1,133,125 | ||
| 280 | Choctaw | ||||
| Resort Development Enterprise, Rule 144A, Senior Notes (Callable | |||||
| 11/15/11 @ $103.63) | (B, | ||||
| B2) | 11/15/19 | 7.250 | 193,550 | ||
| 575 | FireKeepers | ||||
| Development Authority, Rule 144A, Senior Secured Notes (Callable | |||||
| 05/01/12 @ $110.50) | (B+, | ||||
| B2) | 05/01/15 | 13.875 | 675,625 | ||
| 625 | Fontainebleau | ||||
| Las Vegas Holdings LLC, Rule 144A, Second Mortgage Notes (Callable 06/15/11 | |||||
| @ $105.13)ø | (NR, | ||||
| NR) | 06/15/15 | 11.000 | 4,688 | ||
| 1,700 | Greektown | ||||
| Superholdings, Inc., Rule 144A, Senior Secured Notes (Callable | |||||
| 01/01/13 @ $106.50) | (NR, | ||||
| NR) | 07/01/15 | 13.000 | 1,870,000 | ||
| 850 | Harrahs | ||||
| Operating Co., Inc., Global Senior Secured Notes (Callable 06/01/13 @ | |||||
| $105.63) | (B, | ||||
| Caa1) | 06/01/17 | 11.250 | 922,250 | ||
| 750 | Inn | ||||
| of the Mountain Gods Resort & Casino, Global Company Guaranteed | |||||
| Notesø | (D, | ||||
| Ca) | 11/15/10 | 12.000 | 326,250 | ||
| 1,525 | Jacobs | ||||
| Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/15/11 | |||||
| @ $102.44) | (B-, | ||||
| Caa1) | 06/15/14 | 9.750 | 1,406,812 | ||
| 950 | Majestic | ||||
| Star Casino Capital Corp., Senior Secured Notesø | (NR, | ||||
| NR) | 10/15/10 | 9.500 | 548,625 | ||
| 1,275 | Mashantucket | ||||
| Western Pequot Tribe, Rule 144A, Bonds (Callable 11/15/11 @ $104.25)ø | (D, | ||||
| NR) | 11/15/15 | 8.500 | 223,125 | ||
| 675 | MGM | ||||
| Mirage, Inc., Global Company Guaranteed Notes§ | (CCC+, | ||||
| Caa1) | 04/01/16 | 6.875 | 555,187 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105455\10-13838-6\task4262812\13838-6-bi-01.htm',USER='105455',CD='Sep 3 07:18 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Gaming | |||||
| $ 675 | MGM | ||||
| Resorts International, Global Senior Secured Notes (Callable 05/15/13 @ | |||||
| $105.56) | (B, | ||||
| B1) | 11/15/17 | 11.125 | $ 769,500 | ||
| 1,200 | MTR | ||||
| Gaming Group, Inc., Global Secured Notes (Callable 07/15/11 @ $106.31) | (B, | ||||
| B2) | 07/15/14 | 12.625 | 1,263,000 | ||
| 950 | Peninsula | ||||
| Gaming LLC, Global Company Guaranteed Notes (Callable 08/15/13 @ $105.38) | (B, | ||||
| B3) | 08/15/17 | 10.750 | 992,750 | ||
| 670 | Tropicana | ||||
| Finance Corp., Global Senior Subordinated Notes (Callable 12/15/10 @ | |||||
| $104.81)ø | (NR, | ||||
| NR) | 12/15/14 | 9.625 | 1,307 | ||
| 775 | Turning | ||||
| Stone Resort Casino Enterprise, Rule 144A, Senior Unsecured Notes | |||||
| (Callable 09/15/10 @ $104.56) | (B+, | ||||
| B1) | 09/15/14 | 9.125 | 791,469 | ||
| 11,820,638 | |||||
| Gas Distribution (3.0%) | |||||
| 525 | Amerigas | ||||
| Partners LP, Global Senior Unsecured Notes (Callable 05/20/11 @ $102.42) | (NR, | ||||
| Ba3) | 05/20/15 | 7.250 | 544,688 | ||
| 375 | El | ||||
| Paso Corp., Senior Unsecured Notes | (BB-, | ||||
| Ba3) | 02/15/16 | 8.250 | 409,688 | ||
| 400 | El | ||||
| Paso Corp., Senior Unsecured Notes | (BB-, | ||||
| Ba3) | 06/01/18 | 7.250 | 426,232 | ||
| 900 | El | ||||
| Paso Performance-Linked Trust, Rule 144A, Senior Unsecured Notes | (NR, | ||||
| Ba3) | 07/15/11 | 7.750 | 938,487 | ||
| 425 | Inergy | ||||
| Finance Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13) | (B+, | ||||
| B1) | 03/01/16 | 8.250 | 448,375 | ||
| 275 | Inergy | ||||
| Finance Corp., Global Company Guaranteed Notes (Callable 12/15/10 @ $102.29) | (B+, | ||||
| B1) | 12/15/14 | 6.875 | 277,750 | ||
| 550 | MarkWest | ||||
| Energy Finance Corp., Series B, Global Company Guaranteed Notes | |||||
| (Callable 04/15/13 @ $104.38) | (BB-, | ||||
| B1) | 04/15/18 | 8.750 | 594,687 | ||
| 625 | Targa | ||||
| Resources Partners Finance Corp., Global Company Guaranteed Notes (Callable | |||||
| 07/01/12 @ $104.13) | (B+, | ||||
| B2) | 07/01/16 | 8.250 | 656,250 | ||
| 500 | The | ||||
| Williams Cos., Inc., Series A, Global Senior Unsecured Notes | (BB+, | ||||
| Baa3) | 01/15/31 | 7.500 | 568,294 | ||
| 4,864,451 | |||||
| Health Facilities (6.5%) | |||||
| 975 | Alere | ||||
| Inc., Company Guaranteed Notes (Callable 05/15/13 @ $104.50) | (B-, | ||||
| B3) | 05/15/16 | 9.000 | 994,500 | ||
| 545 | Bausch & | ||||
| Lomb, Inc., Global Senior Unsecured Notes (Callable 11/01/11 @ $104.94) | (B, | ||||
| Caa1) | 11/01/15 | 9.875 | 577,700 | ||
| 300 | Biomet, Inc., | ||||
| Global Company Guaranteed Notes (Callable 10/15/12 @ $105.00) | (B-, | ||||
| B3) | 10/15/17 | 10.000 | 333,750 | ||
| 120 | Biomet, Inc., | ||||
| Global Company Guaranteed Notes (Callable 10/15/12 @ $105.81) | (B-, | ||||
| Caa1) | 10/15/17 | 11.625 | 135,150 | ||
| 650 | Community | ||||
| Health Systems, Inc., Global Company Guaranteed Notes (Callable 07/15/11 | |||||
| @ $104.44) | (B, | ||||
| B3) | 07/15/15 | 8.875 | 682,500 | ||
| 2,350 | HCA, Inc., | ||||
| Global Secured Notes (Callable 11/15/11 @ $104.63) | (BB-, | ||||
| B2) | 11/15/16 | 9.250 | 2,543,875 | ||
| 725 | HCA, Inc., | ||||
| Global Senior Secured Notes (Callable 08/15/14 @ $103.94) | (BB, | ||||
| Ba3) | 02/15/20 | 7.875 | 790,250 | ||
| 675 | HCA, Inc., | ||||
| Global Senior Unsecured Notes | (B-, | ||||
| Caa1) | 01/15/15 | 6.375 | 663,187 | ||
| 525 | Omega | ||||
| Healthcare Investors, Inc., Global Company Guaranteed Notes (Callable | |||||
| 01/15/11 @ $103.50) | (BB+, | ||||
| Ba3) | 01/15/16 | 7.000 | 535,500 | ||
| 500 | Omega | ||||
| Healthcare Investors, Inc., Global Company Guaranteed Notes (Callable | |||||
| 04/01/11 @ $101.17) | (BB+, | ||||
| Ba3) | 04/01/14 | 7.000 | 509,375 | ||
| 625 | Radiation | ||||
| Therapy Services, Inc., Rule 144A, Senior Subordinated Notes | |||||
| (Callable 04/15/14 @ $104.94) | (CCC+, | ||||
| Caa1) | 04/15/17 | 9.875 | 623,437 | ||
| 925 | Tenet | ||||
| Healthcare Corp., Rule 144A, Senior Secured Notes (Callable 07/01/14 @ $ 104.44) | (BB-, | ||||
| B1) | 07/01/19 | 8.875 | 1,022,125 | ||
| 175 | Universal | ||||
| Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/11 | |||||
| @ $100.00)# | (B+, | ||||
| B3) | 06/01/15 | 4.134 | 150,500 | ||
| 275 | Universal | ||||
| Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/11 | |||||
| @ $101.00) | (B+, | ||||
| B3) | 06/01/15 | 8.500 | 279,813 | ||
| 634 | VWR | ||||
| Funding, Inc., Series B, Global Company Guaranteed Notes (Callable | |||||
| 07/15/11 @ $105.13) | (B-, | ||||
| Caa1) | 07/15/15 | 10.250 | 657,516 | ||
| 10,499,178 | |||||
| Health Services (2.4%) | |||||
| 550 | PharmaNet | ||||
| Development Group, Inc., Rule 144A, Senior Secured Notes (Callable | |||||
| 04/15/14 @105.44) | (B+, | ||||
| B3) | 04/15/17 | 10.875 | 550,000 | ||
| 1,000 | Quintiles | ||||
| Transnational Corp., Rule 144A, Senior Notes (Callable 12/30/11 @ | |||||
| $102.00) | (B, | ||||
| B3) | 12/30/14 | 9.500 | 1,025,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105455\10-13838-6\task4262812\13838-6-bi-01.htm',USER='105455',CD='Sep 3 07:18 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Health Services | |||||
| $ 1,375 | Rural/Metro | ||||
| Corp., Global Senior Discount Notes (Callable 03/15/11 @ $104.25) | (B, | ||||
| Caa1) | 03/15/16 | 12.750 | $ 1,471,250 | ||
| 400 | Service | ||||
| Corp. International, Global Senior Unsecured Notes | (BB-, | ||||
| B1) | 10/01/18 | 7.625 | 420,000 | ||
| 425 | Service | ||||
| Corp. International, Senior Unsecured Notes | (BB-, | ||||
| B1) | 11/15/21 | 8.000 | 445,187 | ||
| 3,911,437 | |||||
| Hotels (0.8%) | |||||
| 725 | Felcor | ||||
| Lodging LP, Global Senior Secured Notes§ | (NR, | ||||
| B2) | 10/01/14 | 10.000 | 775,750 | ||
| 525 | Host | ||||
| Hotels & Resorts LP, Global Company Guaranteed Notes (Callable | |||||
| 05/15/13 @ $104.50)§ | (BB+, | ||||
| Ba1) | 05/15/17 | 9.000 | 578,813 | ||
| 1,354,563 | |||||
| Household & Leisure Products (0.3%) | |||||
| 450 | ALH | ||||
| Finance Corp., Global Company Guaranteed Notes (Callable 01/15/11 @ $100.00) | (B-, | ||||
| Caa1) | 01/15/13 | 8.500 | 454,500 | ||
| lnvestments & Misc. Financial Services (0.4%) | |||||
| 600 | SSI | ||||
| Co-Issuer LLC, Rule 144A, Senior Unsecured Notes (Callable 06/01/14 @ | |||||
| $105.56) | (B-, | ||||
| Caa1) | 06/01/18 | 11.125 | 633,750 | ||
| Leisure (0.3%) | |||||
| 400 | Magnum | ||||
| Management Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/14 | |||||
| @ $104.56) | (B-, | ||||
| B2) | 08/01/18 | 9.125 | 409,000 | ||
| Machinery (1.3%) | |||||
| 650 | Baldor | ||||
| Electric Co., Company Guaranteed Notes (Callable 02/15/12 @ $104.31) | (B, | ||||
| B3) | 02/15/17 | 8.625 | 692,250 | ||
| 550 | Cleaver-Brooks, Inc., | ||||
| Rule 144A, Senior Secured Notes (Callable 05/01/13 @ $106.13) | (B, | ||||
| B2) | 05/01/16 | 12.250 | 545,875 | ||
| 525 | CPM | ||||
| Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 09/01/12 | |||||
| @ $105.31) | (B+, | ||||
| B2) | 09/01/14 | 10.625 | 569,625 | ||
| 250 | Terex | ||||
| Corp., Senior Subordinated Notes (Callable 11/15/12 @ $104.00) | (B, | ||||
| Caa1) | 11/15/17 | 8.000 | 243,750 | ||
| 2,051,500 | |||||
| Media - Broadcast (2.2%) | |||||
| 795 | Barrington | ||||
| Broadcasting Capital Corp., Global Company Guaranteed Notes (Callable | |||||
| 08/15/10 @ $105.25) | (CCC-, | ||||
| Caa2) | 08/15/14 | 10.500 | 779,100 | ||
| 1,175 | Clear | ||||
| Channel Communications, Inc., Senior Unsecured Notes | (CCC-, | ||||
| Ca) | 09/15/14 | 5.500 | 699,125 | ||
| 74 | CMP | ||||
| Susquehanna Corp., Global Company Guranteed Notes | (NR, | ||||
| NR) | 05/15/14 | 3.272 | 51,800 | ||
| 550 | Fisher | ||||
| Communications, Inc., Global Company Guaranteed Notes (Callable 09/15/10 | |||||
| @ $102.88) | (B-, | ||||
| B2) | 09/15/14 | 8.625 | 550,000 | ||
| 695 | Local | ||||
| TV Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 06/15/11 @ | |||||
| $104.63) | (CCC, | ||||
| Caa2) | 06/15/15 | 9.250 | 604,280 | ||
| 925 | Mission | ||||
| Broadcasting, Inc., Rule 144A, Senior Secured Notes (Callable | |||||
| 04/15/14 @ $104.44) | (B-, | ||||
| B3) | 04/15/17 | 8.875 | 957,375 | ||
| 1,525 | Young | ||||
| Broadcasting, Inc., Global Company Guaranteed Notes (Callable 01/15/11 @ | |||||
| $101.46)ø | (NR, | ||||
| NR) | 01/15/14 | 8.750 | 15 | ||
| 3,641,695 | |||||
| Media - Cable (7.1%) | |||||
| 1,375 | Atlantic | ||||
| Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/11 @ | |||||
| $101.56) | (B-, | ||||
| B3) | 01/15/14 | 9.375 | 1,395,625 | ||
| 200 | Cablevision | ||||
| Systems Corp., Senior Unsecured Notes | (B+, | ||||
| B1) | 04/15/18 | 7.750 | 209,500 | ||
| 1,150 | Cablevision | ||||
| Systems Corp., Senior Unsecured Notes | (B+, | ||||
| B1) | 04/15/20 | 8.000 | 1,221,875 | ||
| 731 | CCH | ||||
| II Capital Corp., Global Senior Notes (Callable 11/30/12 @ $106.75)§ | (B, | ||||
| B2) | 11/30/16 | 13.500 | 871,362 | ||
| 1,925 | CCO | ||||
| Holdings Capital Corp., Rule 144A, Company Guaranteed Notes (Callable | |||||
| 04/30/15 @ $104.06) | (B, | ||||
| B2) | 04/30/20 | 8.125 | 2,045,312 | ||
| 850 | Cequel | ||||
| Capital Corp., Rule 144A, Senior Unsecured Notes (Callable 11/15/12 @ | |||||
| $106.47) | (B-, | ||||
| B3) | 11/15/17 | 8.625 | 871,250 | ||
| 675 | CSC | ||||
| Holdings LLC, Global Senior Unsecured Notes | (BB, | ||||
| Ba3) | 02/15/19 | 8.625 | 740,813 | ||
| 1,500 | DISH | ||||
| DBS Corp., Global Company Guaranteed Notes | (BB-, | ||||
| Ba3) | 09/01/19 | 7.875 | 1,601,250 | ||
| 1,425 | Insight | ||||
| Communications Co., Inc., Rule 144A, Senior Notes (Callable | |||||
| 07/15/13 @ $107.03) | (B-, | ||||
| B3) | 07/15/18 | 9.375 | 1,514,062 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105455\10-13838-6\task4262958\13838-6-bi-03.htm',USER='105455',CD='Sep 3 10:39 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Media - Cable | |||||
| $ 175 | Mediacom | ||||
| Broadband Corp., Global Senior Unsecured Notes (Callable 10/15/10 @ $104.25) | (B-, | ||||
| B3) | 10/15/15 | 8.500 | $ 177,188 | ||
| 850 | Mediacom | ||||
| Capital Corp., Global Unsecured Notes (Callable 08/15/14 @ $104.56) | (B-, | ||||
| B3) | 08/15/19 | 9.125 | 867,000 | ||
| 11,515,237 | |||||
| Media - Diversified (1.4%) | |||||
| 2,225 | Block | ||||
| Communications, Inc., Rule 144A, Senior Notes (Callable 12/15/10 @ | |||||
| $104.13) | (B, | ||||
| B1) | 12/15/15 | 8.250 | 2,219,438 | ||
| Media - Services (2.0%) | |||||
| 975 | Clear | ||||
| Channel Worldwide Holdings, Inc., Rule 144A, Company Guaranteed | |||||
| Notes (Callable 12/15/12 @ $106.94) | (B, | ||||
| B2) | 12/15/17 | 9.250 | 1,026,625 | ||
| 450 | Nielsen | ||||
| Finance Co., Global Company Guaranteed Notes (Callable 05/01/13 @ $105.75) | (B-, | ||||
| Caa1) | 05/01/16 | 11.500 | 507,375 | ||
| 600 | SGS | ||||
| International, Inc., Global Company Guaranteed Notes (Callable 12/15/10 | |||||
| @ $103.00) | (B-, | ||||
| B3) | 12/15/13 | 12.000 | 618,000 | ||
| 575 | WMG | ||||
| Acquisition Corp., Global Company Guaranteed Notes (Callable 04/15/11 @ | |||||
| $101.23) | (B, | ||||
| B1) | 04/15/14 | 7.375 | 569,250 | ||
| 400 | WMG | ||||
| Acquisition Corp., Global Senior Secured Notes (Callable 06/15/13 @ $104.75) | (BB, | ||||
| Ba2) | 06/15/16 | 9.500 | 437,000 | ||
| 3,158,250 | |||||
| Metals & Mining - Excluding Steel (0.8%) | |||||
| 225 | Aleris | ||||
| International, Inc., Global Company Guaranteed Notes (Callable 12/15/10 | |||||
| @ $104.50)ø | (NR, | ||||
| NR) | 12/15/14 | 9.000 | 653 | ||
| 1,100 | Aleris | ||||
| International, Inc., Global Company Guaranteed Notes (Callable 12/15/11 | |||||
| @ $105.00)ø | (NR, | ||||
| NR) | 12/15/16 | 10.000 | 3,190 | ||
| 1,547 | Noranda | ||||
| Aluminium Acquisition Corp., Global Company Guaranteed Notes# | (CCC+, | ||||
| B3) | 05/15/15 | 5.373 | 1,233,930 | ||
| 1,237,773 | |||||
| Oil Field Equipment & Services (4.3%) | |||||
| 550 | Bristow | ||||
| Group, Inc., Global Company Guaranteed Notes (Callable 09/15/12 @ | |||||
| $103.75) | (BB, | ||||
| Ba2) | 09/15/17 | 7.500 | 550,000 | ||
| 1,025 | Calfrac | ||||
| Holdings LP, Rule 144A, Company Guaranteed Notes (Callable 02/15/11 @ | |||||
| $103.88) | (NR, | ||||
| B2) | 02/15/15 | 7.750 | 1,019,875 | ||
| 1,125 | Edgen | ||||
| Murray Corp., Rule 144A, Senior Secured Notes (Callable 01/15/13 @ | |||||
| $106.13) | (B, | ||||
| Caa2) | 01/15/15 | 12.250 | 947,812 | ||
| 550 | Helix | ||||
| Energy Solutions Group, Inc., Rule 144A, Company Guaranteed Notes | |||||
| (Callable 01/15/12 @ $104.75) | (B, | ||||
| B3) | 01/15/16 | 9.500 | 536,250 | ||
| 300 | Hornbeck | ||||
| Offshore Services, Inc., Global Company Guaranteed Notes (Callable | |||||
| 09/01/13 @ $104.00) | (B+, | ||||
| Ba3) | 09/01/17 | 8.000 | 282,375 | ||
| 350 | Hornbeck | ||||
| Offshore Services, Inc., Series B, Global Company Guaranteed Notes | |||||
| (Callable 12/01/10 @ $102.04) | (B+, | ||||
| Ba3) | 12/01/14 | 6.125 | 315,875 | ||
| 750 | Key | ||||
| Energy Services, Inc., Global Company Guaranteed Notes (Callable | |||||
| 12/01/11 @ $104.19) | (BB-, | ||||
| B1) | 12/01/14 | 8.375 | 776,250 | ||
| 800 | McJunkin | ||||
| Red Man Corp., Rule 144A, Senior Secured Notes (Callable 12/15/12 @ | |||||
| $107.13) | (B, | ||||
| B3) | 12/15/16 | 9.500 | 792,000 | ||
| 500 | Parker | ||||
| Drilling Co., Rule 144A, Senior Notes (Callable 04/01/14 @ $104.56) | (B+, | ||||
| B1) | 04/01/18 | 9.125 | 500,000 | ||
| 1,000 | Pioneer | ||||
| Drilling Co., Rule 144A, Senior Notes (Callable 03/15/14 @ $104.94) | (B, | ||||
| B3) | 03/15/18 | 9.875 | 1,010,000 | ||
| 200 | Pride | ||||
| International, Inc., Senior Unsecured Notes | (BBB-, | ||||
| Ba1) | 06/15/19 | 8.500 | 224,500 | ||
| 6,954,937 | |||||
| Oil Refining & Marketing (2.1%) | |||||
| 225 | Coffeyville | ||||
| Finance, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/12 @ | |||||
| $106.75) | (BB-, | ||||
| Ba3) | 04/01/15 | 9.000 | 231,750 | ||
| 1,600 | Coffeyville | ||||
| Finance, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/13 @ | |||||
| $108.16) | (BB-, | ||||
| B3) | 04/01/17 | 10.875 | 1,624,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105455\10-13838-6\task4262958\13838-6-bi-03.htm',USER='105455',CD='Sep 3 10:39 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Oil Refining & Marketing | |||||
| $ 525 | Tesoro | ||||
| Corp., Company Guaranteed Notes (Callable 06/01/14 @ $104.88) | (BB+, | ||||
| Ba1) | 06/01/19 | 9.750 | $ 572,250 | ||
| 1,050 | Western | ||||
| Refining, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/11 | |||||
| @ $105.00)# | (NR, | ||||
| B3) | 06/15/14 | 10.750 | 960,750 | ||
| 3,388,750 | |||||
| Packaging (2.8%) | |||||
| 880 | Berry | ||||
| Plastics Corp., Global Secured Notes (Callable 09/15/10 @ $104.44) | (CCC, | ||||
| Caa1) | 09/15/14 | 8.875 | 882,200 | ||
| 275 | Berry | ||||
| Plastics Corp., Global Senior Secured Notes (Callable 11/15/12 @ $104.13) | (B, | ||||
| B1) | 11/15/15 | 8.250 | 282,563 | ||
| 275 | BWAY | ||||
| Holding Co., Rule 144A, Company Guaranteed Notes (Callable 06/15/14 @ | |||||
| $105.00) | (B-, | ||||
| B3) | 06/15/18 | 10.000 | 292,875 | ||
| 725 | GPC | ||||
| Capital Corp. I, Global Company Guaranteed Notes (Callable 10/15/10 @ | |||||
| $103.29) | (CCC+, | ||||
| Caa1) | 10/15/14 | 9.875 | 755,812 | ||
| 1,000 | GPC | ||||
| Capital Corp. I, Rule 144A, Senior Notes (Callable 01/01/14 @ $104.13) | (CCC+, | ||||
| Caa1) | 01/01/17 | 8.250 | 1,005,000 | ||
| 500 | Pregis | ||||
| Corp., Global Senior Secured Notes# | (B+, | ||||
| B2) | 04/15/13 | 5.835 | 602,545 | ||
| 700 | Reynolds | ||||
| Group Issuer LLC, Rule 144A, Senior Secured Notes (Callable 10/15/12 @ | |||||
| $103.88) | (BB-, | ||||
| B1) | 10/15/16 | 7.750 | 735,000 | ||
| 4,555,995 | |||||
| Pharmaceuticals (0.3%) | |||||
| 458 | QHP | ||||
| Royalty Sub LLC, Rule 144A, Senior Secured Notes | (NR, | ||||
| NR) | 03/15/15 | 10.250 | 467,286 | ||
| Printing & Publishing (2.2%) | |||||
| 950 | Cengage | ||||
| Learning Acquisitions, Inc., Rule 144A, Senior Notes (Callable | |||||
| 07/15/11 @ $105.25) | (CCC+, | ||||
| Caa2) | 01/15/15 | 10.500 | 923,875 | ||
| 1,000 | Cenveo | ||||
| Corp., Global Senior Subordinated Notes (Callable 12/01/10 @ $101.31) | (B-, | ||||
| Caa1) | 12/01/13 | 7.875 | 980,000 | ||
| 1,800 | The | ||||
| Readers Digest Association, Inc., Global Company Guaranteed Notes | |||||
| (Callable 02/15/12 @ $104.50)ø^ | (NR, | ||||
| NR) | 02/15/17 | 9.000 | 0 | ||
| 1,350 | The | ||||
| Readers Digest Association, Inc., Rule 144A, Senior Secured Notes | |||||
| (Callable 02/15/13 @ $104.00)# | (B, | ||||
| B1) | 02/15/17 | 9.500 | 1,363,500 | ||
| 351 | Valassis | ||||
| Communications, Inc., Global Company Guaranteed Notes (Callable 03/01/11 | |||||
| @ $104.13) | (BB-, | ||||
| Ba3) | 03/01/15 | 8.250 | 368,550 | ||
| 3,635,925 | |||||
| Real Estate Development & Management (0.7%) | |||||
| 1,300 | Icahn | ||||
| Enterprises LP, Rule 144A, Senior Unsecured Notes# | (NR, | ||||
| NR) | 08/15/13 | 4.000 | 1,157,000 | ||
| Restaurants (1.0%) | |||||
| 1,000 | CKE | ||||
| Restaurants, Inc., Rule 144A, Senior Secured Notes (Callable | |||||
| 07/15/14 @ $105.69) | (B, | ||||
| B2) | 07/15/18 | 11.375 | 1,022,500 | ||
| 525 | Dennys | ||||
| Holdings, Inc., Global Company Guaranteed Notes (Callable 10/01/10 @ | |||||
| $100.00) | (B-, | ||||
| Caa1) | 10/01/12 | 10.000 | 532,875 | ||
| 1,555,375 | |||||
| Software/Services (2.7%) | |||||
| 1,000 | SunGard | ||||
| Data Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/10 @ | |||||
| $105.13) | (B-, | ||||
| Caa1) | 08/15/15 | 10.250 | 1,055,000 | ||
| 525 | Unisys | ||||
| Corp., Rule 144A, Senior Secured Notes (Callable 10/15/12 @ $106.38) | (BB-, | ||||
| Ba3) | 10/15/14 | 12.750 | 601,125 | ||
| 1,150 | Unisys | ||||
| Corp., Senior Unsecured Notes (Callable 01/15/12 @ $106.25) | (B, | ||||
| Caa1) | 01/15/16 | 12.500 | 1,262,125 | ||
| 1,575 | Vangent, Inc., | ||||
| Global Company Guaranteed Notes (Callable 02/15/11 @ $104.81) | (CCC+, | ||||
| Caa2) | 02/15/15 | 9.625 | 1,512,000 | ||
| 4,430,250 | |||||
| Specialty Retail (1.9%) | |||||
| 600 | Asbury | ||||
| Automotive Group, Inc., Global Company Guaranteed Notes (Callable | |||||
| 03/15/12 @ $103.81) | (B-, | ||||
| Caa1) | 03/15/17 | 7.625 | 574,500 | ||
| 1,350 | Brookstone | ||||
| Co., Inc., Global Senior Secured Notes (Callable 10/15/10 @ $103.00) | (C, | ||||
| Caa3) | 10/15/12 | 12.000 | 1,140,750 | ||
| 325 | Penske | ||||
| Automotive Group, Inc., Global Company Guaranteed Notes (Callable | |||||
| 12/15/11 @ $103.88) | (B-, | ||||
| Caa1) | 12/15/16 | 7.750 | 314,438 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105455\10-13838-6\task4262958\13838-6-bi-03.htm',USER='105455',CD='Sep 3 10:39 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Specialty Retail | |||||
| $ 500 | Susser | ||||
| Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 05/15/13 @ | |||||
| $104.25) | (B+, | ||||
| B2) | 05/15/16 | 8.500 | $ 520,000 | ||
| 460 | Yankee | ||||
| Acquisition Corp., Series B, Global Company Guaranteed Notes (Callable | |||||
| 02/15/11 @ $104.25) | (B-, | ||||
| B3) | 02/15/15 | 8.500 | 476,100 | ||
| 3,025,788 | |||||
| Steel Producers/Products (1.3%) | |||||
| 800 | California | ||||
| Steel Industries, Inc., Global Senior Notes (Callable 03/15/11 @ | |||||
| $101.02) | (BB-, | ||||
| B1) | 03/15/14 | 6.125 | 776,000 | ||
| 700 | Ryerson, Inc., | ||||
| Global Senior Secured Notes (Callable 11/01/11 @ $106.00) | (CCC+, | ||||
| Caa1) | 11/01/15 | 12.000 | 736,750 | ||
| 525 | Tube | ||||
| City IMS Corp., Global Company Guaranteed Notes (Callable 02/01/11 @ $104.88) | (B-, | ||||
| Caa1) | 02/01/15 | 9.750 | 528,281 | ||
| 2,041,031 | |||||
| Support-Services (4.0%) | |||||
| 800 | Ashtead | ||||
| Capital, Inc., Rule 144A, Secured Notes (Callable 08/15/11 @ | |||||
| $104.50) | (B+, | ||||
| B2) | 08/15/16 | 9.000 | 812,000 | ||
| 275 | DynCorp | ||||
| International, Inc., Rule 144A, Senior Unsecured Notes (Callable | |||||
| 07/01/14 @ 105.19) | (B, | ||||
| B1) | 07/01/17 | 10.375 | 285,656 | ||
| 475 | Interactive | ||||
| Data Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ | |||||
| $105.13) | (B-, | ||||
| Caa1) | 08/01/18 | 10.250 | 491,625 | ||
| 200 | JohnsonDiversey | ||||
| Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable | |||||
| 11/15/14 @ $104.13) | (B-, | ||||
| B3) | 11/15/19 | 8.250 | 211,000 | ||
| 975 | Maxim | ||||
| Crane Works LP, Rule 144A, Senior Secured Notes (Callable 04/15/12 @ | |||||
| $109.19) | (B, | ||||
| Caa1) | 04/15/15 | 12.250 | 916,500 | ||
| 475 | Sothebys, | ||||
| Global Company Guaranteed Notes | (B, | ||||
| B1) | 06/15/15 | 7.750 | 486,875 | ||
| 550 | The | ||||
| Geo Group, Inc., Rule 144A, Company Guaranteed Notes (Callable | |||||
| 10/15/13 @ $103.88) | (BB-, | ||||
| B1) | 10/15/17 | 7.750 | 570,625 | ||
| 600 | The | ||||
| Hertz Corp., Global Company Guaranteed Notes (Callable 01/01/11 @ $105.25)§ | (CCC+, | ||||
| B3) | 01/01/16 | 10.500 | 640,500 | ||
| 1,150 | Travelport | ||||
| LLC, Global Company Guaranteed Notes (Callable 09/01/11 @ $105.94)§ | (CCC, | ||||
| Caa1) | 09/01/16 | 11.875 | 1,242,000 | ||
| 475 | United | ||||
| Rentals North America, Inc., Global Company Guaranteed Notes (Callable | |||||
| 02/15/11 @ $101.17) | (CCC+, | ||||
| Caa1) | 02/15/14 | 7.000 | 473,813 | ||
| 300 | United | ||||
| Rentals North America, Inc., Global Company Guaranteed Notes (Callable | |||||
| 06/15/13 @ $105.44) | (B, | ||||
| B3) | 06/15/16 | 10.875 | 333,000 | ||
| 6,463,594 | |||||
| Telecom - Integrated/Services (5.1%) | |||||
| 525 | Frontier | ||||
| Communications Corp., Senior Unsecured Notes | (BB, | ||||
| Ba2) | 10/01/18 | 8.125 | 559,125 | ||
| 575 | Frontier | ||||
| Communications Corp., Rule 144A, Senior Unsecured Notes | (BB, | ||||
| Ba2) | 04/15/20 | 8.500 | 616,688 | ||
| 700 | HNS | ||||
| Finance Corp., Global Company Guaranteed Notes (Callable 04/15/11 @ $102.38) | (B, | ||||
| B1) | 04/15/14 | 9.500 | 731,500 | ||
| 2,075 | Intelsat | ||||
| Corp., Global Senior Unsecured Notes (Callable 08/15/10 @ $103.13) | (BB-, | ||||
| B3) | 08/15/14 | 9.250 | 2,152,812 | ||
| 950 | Level | ||||
| 3 Financing, Inc., Global Company Guaranteed Notes (Callable 02/01/14 @ | |||||
| $105.00) | (CCC, | ||||
| Caa1) | 02/01/18 | 10.000 | 870,437 | ||
| 175 | Level | ||||
| 3 Financing, Inc., Global Company Guaranteed Notes (Callable 02/15/11 @ | |||||
| $100.00)# | (CCC, | ||||
| Caa1) | 02/15/15 | 4.140 | 141,313 | ||
| 850 | Paetec | ||||
| Holding Corp., Global Company Guaranteed Notes (Callable 07/15/11 @ $104.75) | (CCC+, | ||||
| Caa1) | 07/15/15 | 9.500 | 854,250 | ||
| 525 | Qwest | ||||
| Communications International, Inc., Rule 144A, Company Guaranteed | |||||
| Notes (Callable 10/01/12 @ $104.00) | (B+, | ||||
| Ba3) | 10/01/15 | 8.000 | 561,750 | ||
| 1,250 | Qwest | ||||
| Communications International, Inc., Series B, Global Company | |||||
| Guaranteed Notes (Callable 02/15/11 @ $101.25) | (B+, | ||||
| Ba3) | 02/15/14 | 7.500 | 1,287,500 | ||
| 450 | Windstream | ||||
| Corp., Global Company Guaranteed Notes (Callable 08/01/11 @ $104.31) | (B+, | ||||
| Ba3) | 08/01/16 | 8.625 | 471,375 | ||
| 8,246,750 | |||||
| Telecom - Wireless (3.9%) | |||||
| 650 | Cricket | ||||
| Communications, Inc., Global Company Guaranteed Notes (Callable 11/01/10 | |||||
| @ $104.69)§ | (B-, | ||||
| B3) | 11/01/14 | 9.375 | 675,188 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105455\10-13838-6\task4262958\13838-6-bi-03.htm',USER='105455',CD='Sep 3 10:39 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Telecom - Wireless | |||||
| $ 250 | Cricket | ||||
| Communications, Inc., Global Senior Secured Notes (Callable 05/15/12 @ | |||||
| $105.81) | (B+, | ||||
| Ba2) | 05/15/16 | 7.750 | $ 260,000 | ||
| 1,300 | GeoEye, Inc., | ||||
| Rule 144A, Senior Secured Notes (Callable 10/01/13 @ $104.81) | (B, | ||||
| B1) | 10/01/15 | 9.625 | 1,371,500 | ||
| 2,648 | Nextel | ||||
| Communications, Inc., Series F, Company Guaranteed Notes (Callable | |||||
| 03/15/11 @ $101.74) | (BB-, | ||||
| Ba2) | 03/15/14 | 5.950 | 2,561,940 | ||
| 1,525 | Sprint | ||||
| Nextel Corp., Senior Unsecured Notes | (BB-, | ||||
| Ba3) | 12/01/16 | 6.000 | 1,444,937 | ||
| 6,313,565 | |||||
| Telecommunications (0.5%) | |||||
| 850 | Avaya, Inc., | ||||
| Global Company Guaranteed Notes (Callable 11/01/11 @ $104.88) | (CCC+, | ||||
| Caa2) | 11/01/15 | 9.750 | 828,750 | ||
| Theaters & Entertainment (1.3%) | |||||
| 1,300 | AMC | ||||
| Entertainment, Inc., Global Company Guaranteed Notes (Callable 03/01/11 | |||||
| @ $101.33) | (CCC+, | ||||
| Caa1) | 03/01/14 | 8.000 | 1,306,500 | ||
| 750 | AMC | ||||
| Entertainment, Inc., Global Senior Unsecured Notes (Callable 06/01/14 @ | |||||
| $104.38) | (B-, | ||||
| B1) | 06/01/19 | 8.750 | 791,250 | ||
| 2,097,750 | |||||
| TOTAL U.S. CORPORATE BONDS (Cost $190,772,914) | 187,771,471 | ||||
| FOREIGN CORPORATE BONDS (11.9%) | |||||
| Chemicals (2.3%) | |||||
| 1,150 | Cognis | ||||
| GmbH, Rule 144A, Senior Secured Notes (Germany)# | (B, | ||||
| B2) | 09/15/13 | 2.537 | 1,144,250 | ||
| 800 | Cy | ||||
| SCA, Rule 144A, Senior Secured Notes (Callable 07/15/13 @ $107.13) | |||||
| (Luxembourg) | (B+, | ||||
| B2) | 07/15/17 | 9.500 | 817,664 | ||
| 400 | Ineos | ||||
| Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/15/13 @ $104.50) | |||||
| (United Kingdom) | (B, | ||||
| B2) | 05/15/15 | 9.000 | 410,000 | ||
| 1,675 | Ineos | ||||
| Group Holdings PLC, Rule 144A, Secured Notes (Callable 02/15/11 @ | |||||
| $104.25) (United Kingdom)§ | (CCC, | ||||
| Caa3) | 02/15/16 | 8.500 | 1,394,437 | ||
| 3,766,351 | |||||
| Electronics (0.2%) | |||||
| 785 | New | ||||
| Asat, Ltd., Global Company Guaranteed Notes (Cayman Islands)ø | (NR, | ||||
| NR) | 02/01/11 | 9.250 | 5,890 | ||
| 200 | NXP | ||||
| Funding LLC Rule 144A, Senior Secured Notes (Callable 08/01/14 @ | |||||
| $104.88) (Netherlands) | (CCC+, | ||||
| Caa1) | 08/01/18 | 9.750 | 211,500 | ||
| 50 | NXP | ||||
| Funding LLC, Series EXCH, Global Senior Secured Notes (Callable 10/15/10 | |||||
| @ $103.94) (Netherlands) | (CCC+, | ||||
| Caa1) | 10/15/14 | 7.875 | 50,625 | ||
| 268,015 | |||||
| Energy - Exploration & Production (0.5%) | |||||
| 875 | OPTI | ||||
| Canada, Inc., Global Senior Secured Notes (Callable 12/15/10 @ $104.13) | |||||
| (Canada) | (B, | ||||
| Caa3) | 12/15/14 | 8.250 | 764,531 | ||
| Forestry & Paper (1.2%) | |||||
| 2,325 | Abitibi-Consolidated | ||||
| Co. of Canada, Global Company Guaranteed Notes (Canada)ø | (NR, | ||||
| NR) | 06/15/11 | 7.750 | 293,531 | ||
| 500 | Smurfit | ||||
| Kappa Acquisitions, Rule 144A, Senior Secured Notes (Callable 11/15/13 @ | |||||
| $103.63) (Ireland) | (BB, | ||||
| Ba2) | 11/15/17 | 7.250 | 670,942 | ||
| 1,000 | Smurfit | ||||
| Kappa Funding PLC, Global Senior Subordinated Notes (Callable 01/31/11 @ | |||||
| $102.58) (Ireland) | (B, | ||||
| B2) | 04/01/15 | 7.750 | 1,015,000 | ||
| 1,979,473 | |||||
| Gaming (0.9%) | |||||
| 600 | Codere | ||||
| Finance Luxembourg SA, Rule 144A, Senior Secured Notes (Callable | |||||
| 06/15/11 @ $102.75) (Luxembourg) | (B, | ||||
| B2) | 06/15/15 | 8.250 | 756,275 | ||
| 600 | Peermont | ||||
| Global Proprietary, Ltd., Rule 144A, Senior Secured Notes (Callable | |||||
| 04/30/11 @ $103.88) (South Africa) | (B, | ||||
| B3) | 04/30/14 | 7.750 | 685,924 | ||
| 1,442,199 | |||||
| Media - Cable (0.9%) | |||||
| 200 | Unitymedia | ||||
| NRW GmbH, Rule 144A, Senior Secured Notes (Callable 12/01/12 @ $108.22) | |||||
| (Germany) | (BB-, | ||||
| B1) | 12/01/17 | 8.125 | 270,331 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105455\10-13838-6\task4262958\13838-6-bi-03.htm',USER='105455',CD='Sep 3 10:39 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| FOREIGN CORPORATE BONDS | |||||
| Media - Cable | |||||
| $ 150 | Virgin | ||||
| Media Finance PLC, Global Company Guaranteed Notes (Callable 08/15/11 @ | |||||
| $104.56) (United Kingdom) | (B+, | ||||
| B1) | 08/15/16 | 9.125 | $ 162,000 | ||
| 1,000 | Virgin | ||||
| Media Finance PLC, Global Company Guaranteed Notes (Callable 10/15/14 @ | |||||
| $104.19) (United Kingdom) | (B+, | ||||
| Ba3) | 10/15/19 | 8.375 | 1,090,000 | ||
| 1,522,331 | |||||
| Media - Diversified (0.4%) | |||||
| 600 | Quebecor | ||||
| Media, Inc., Global Senior Unsecured Notes (Callable 03/15/11 @ $103.88) | |||||
| (Canada) | (B, | ||||
| B2) | 03/15/16 | 7.750 | 612,000 | ||
| Oil Field Equipment & Services (0.9%) | |||||
| 475 | Cie | ||||
| Generale de Geophysique-Veritas, Global Company Guaranteed Notes (Callable | |||||
| 05/15/11 @ $102.50) (France) | (BB-, | ||||
| Ba3) | 05/15/15 | 7.500 | 467,875 | ||
| 950 | Offshore | ||||
| Group Investments, Ltd., Rule 144A, Senior Secured Notes (Callable | |||||
| 02/01/13 @ $108.63) (Cayman Islands) | (B-, | ||||
| B3) | 08/01/15 | 11.500 | 950,000 | ||
| 1,417,875 | |||||
| Packaging (0.2%) | |||||
| 275 | Impress | ||||
| Holdings BV, Rule 144A, Company Guaranteed Notes (Callable 09/15/10 @ | |||||
| $104.63) (Netherlands) | (B-, | ||||
| B3) | 09/15/14 | 9.250 | 377,975 | ||
| Pharmaceuticals (0.4%) | |||||
| 625 | Patheon, Inc., | ||||
| Rule 144A, Senior Secured Notes (Callable 04/15/13 @ $106.47) (Canada) | (B+, | ||||
| B1) | 04/15/17 | 8.625 | 627,344 | ||
| Support-Services (0.3%) | |||||
| 425 | Garda | ||||
| World Security Corp., Rule 144A, Senior Unsecured Notes (Callable | |||||
| 03/15/14 @ $104.88) (Canada) | (B, | ||||
| B3) | 03/15/17 | 9.750 | 450,500 | ||
| Telecom - Integrated/Services (1.2%) | |||||
| 1,507 | Global | ||||
| Crossing UK Finance PLC, Global Senior Secured Notes (Callable 12/15/10 @ | |||||
| $103.58) (United Kingdom) | (B-, | ||||
| B3) | 12/15/14 | 10.750 | 1,563,512 | ||
| 550 | Hellas | ||||
| Telecommunications II SCA, Rule 144A, Subordinated Notes (Luxembourg)ø# | (NR, | ||||
| NR) | 01/15/15 | 6.034 | 13,750 | ||
| 350 | Intelsat | ||||
| Jackson Holdings Ltd. Rule 144A (Bermuda) | (B+, | ||||
| B3) | 11/01/19 | 8.500 | 371,875 | ||
| 25 | Intelsat | ||||
| Subsidiary Holding Co., Ltd., Global Company Guaranteed Notes (Callable | |||||
| 01/15/11 @ $102.96) (Bermuda) | (B+, | ||||
| B3) | 01/15/15 | 8.875 | 26,063 | ||
| 1,975,200 | |||||
| Telecom - Wireless (0.6%) | |||||
| 750 | Wind | ||||
| Acquisition Finance SA, Rule 144A, Secured Notes (Callable 07/15/13 @ | |||||
| $105.88) (Luxembourg) | (B+, | ||||
| B2) | 07/15/17 | 11.750 | 920,801 | ||
| Textiles & Apparel (0.0%) | |||||
| 75 | IT | ||||
| Holding Finance SA, Rule 144A, Company Guaranteed Notes (Luxembourg)ø | (NR, | ||||
| NR) | 11/15/12 | 9.875 | 15,633 | ||
| Transportation - Excluding Air/Rail (1.9%) | |||||
| 1,250 | Navios | ||||
| Maritime Holdings, Inc., Global Company Guaranteed Notes (Callable | |||||
| 12/15/10 @ $104.75) (Marshall Islands) | (B+, | ||||
| B3) | 12/15/14 | 9.500 | 1,231,250 | ||
| 1,325 | Ship | ||||
| Finance International, Ltd., Global Company Guaranteed Notes (Callable | |||||
| 12/15/10 @ $102.83) (Bermuda) | (B+, | ||||
| B1) | 12/15/13 | 8.500 | 1,321,687 | ||
| 525 | Teekay | ||||
| Corp., Global Senior Unsecured Notes (Canada) | (BB, | ||||
| B1) | 01/15/20 | 8.500 | 553,875 | ||
| 3,106,812 | |||||
| TOTAL FOREIGN CORPORATE BONDS (Cost | |||||
| $21,337,767) | 19,247,040 | ||||
| BANK LOANS (1.1%) | |||||
| Gaming (0.3%) | |||||
| 481 | CCM | ||||
| Merger, Inc. | (NR, | ||||
| NR) | 07/21/12 | 8.500 | 472,434 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105924\10-13838-6\task4266227\13838-6-bi-05.htm',USER='105924',CD='Sep 9 03:50 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| BANK LOANS | |||||
| Pharmaceuticals (0.2%) | |||||
| $ 378 | Nycomed | ||||
| Holdings Aps | (NR, | ||||
| NR) | 12/29/13 | 3.389 | $ 355,944 | ||
| Telecommunications (0.6%) | |||||
| 1,064 | AVAYA, Inc. | (NR, | |||
| NR) | 10/24/14 | 3.058 | 944,022 | ||
| TOTAL BANK LOANS (Cost $1,413,020) | 1,772,400 |
| Number of Shares | ||
|---|---|---|
| COMMON STOCKS (1.2%) | ||
| Banks (0.3%) | ||
| 13,710 | CIT | |
| Group, Inc.* | 498,495 | |
| Building Materials (0.0%) | ||
| 437 | Nortek, Inc.* | 17,480 |
| Chemicals (0.1%) | ||
| 4,893 | Huntsman | |
| Corp. | 51,230 | |
| Forestry & Paper (0.4%) | ||
| 29,520 | Smurfit-Stone | |
| Container Corp.* | 615,492 | |
| Leisure (0.4%) | ||
| 20,556 | Six | |
| Flags Entertainment Corp.*§ | 667,453 | |
| Printing & Publishing (0.0%) | ||
| 1,322 | SuperMedia, Inc.*§ | 27,881 |
| TOTAL COMMON STOCKS (Cost $4,206,213) | 1,878,031 | |
| PREFERRED STOCKS (0.3%) | ||
| Banks (0.3%) | ||
| 473 | Ally | |
| Financial, Inc., Rule 144A (Callable 12/31/11 @ $1,000) | 388,466 | |
| Media - Broadcast (0.0%) | ||
| 17,257 | CMP | |
| Susquehanna Radio Holdings Corp., Rule 144A, Series A* | 2 | |
| TOTAL PREFERRED STOCKS (Cost $98,096) | 388,468 | |
| WARRANTS (0.0%) | ||
| Building Materials (0.0%) | ||
| 1,152 | Nortek, Inc., | |
| strike price $1.00, expires 12/07/14*^ | 1,152 | |
| Media - Broadcast (0.0%) | ||
| 19,721 | CNB | |
| Capital Trust I, Rule 144A, strike price $0.00, expires 03/23/19* | 2 | |
| Printing & Publishing (0.0%) | ||
| 5,735 | The | |
| Readers Digest Association, Inc., strike price $0.00, expires 02/15/17*^ | 0 | |
| TOTAL WARRANTS (Cost $1,152) | 1,154 | |
| SHORT-TERM INVESTMENTS (6.5%) | ||
| 10,300,244 | State | |
| Street Navigator Prime Portfolio§§ | 10,300,244 |
| Par (000) — $ 274 | 274,000 | |
|---|---|---|
| TOTAL SHORT-TERM INVESTMENTS (Cost $10,574,244) | 10,574,244 | |
| TOTAL INVESTMENTS AT VALUE (137.0%) (Cost | ||
| $228,403,406) | 221,632,808 | |
| LIABILITIES IN EXCESS OF OTHER ASSETS (-37.0%) | (59,811,469 | ) |
| NET ASSETS (100.0%) | $ 161,821,339 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105924\10-13838-6\task4266227\13838-6-bi-05.htm',USER='105924',CD='Sep 9 03:50 2010'
| Forward
Foreign Currency to be Purchased (Local) | | Forward
Foreign Currency to be Sold (Local) | | Expiration Date | Value
on Settlement Date | | Current Value | | Unrealized Depreciation | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Open
Forward Foreign Currency Contract | | | | | | | | | | |
| USD | 4,104,683 | EUR | 3,225,000 | 10/15/10 | $ (4,104,683 | ) | $ (4,200,971 | ) | $ (96,288 | ) |
*INVESTMENT ABBREVIATIONS*
MTN = Medium Term Note
NR = Not Rated
| | Credit ratings given by
the Standard & Poors Division of The McGraw-Hill
Companies, Inc. (S&P) and Moodys Investors Service, Inc.
(Moodys) are unaudited. |
| --- | --- |
| | Security exempt from
registration under Rule 144A of the Securities Act of 1933. These
securities may be resold in transactions exempt from registration, normally
to qualified institutional buyers. At July 31, 2010, these securities
amounted to a value of $72,689,615 or 44.9% of net assets. |
| ^ | Not readily marketable
security; security is valued at fair value as determined in good faith by, or
under the direction of, the Board of Trustees. |
| # | Variable rate obligations
The interest rate is the rate as of July 31, 2010. |
| + | Step Bond The interest
rate is as of July 31, 2010 and will reset at a future date. |
| ø | Bond is currently in
default. |
| * | Non-income producing
security. |
| § | Security or portion
thereof is out on loan. |
| §§ | Represents security purchased
with cash collateral received for securities on loan. |
| Currency Abbreviations: |
|---|
| EUR - Euro Currency |
| USD - United States Dollar |
Security Valuation The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the Exchange) on each day the Exchange is open for business. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (the Valuation Time). If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Investments in mutual funds are valued at the mutual funds closing net asset value per share on the day of valuation. Securities and other assets for which market quotations are not readily available, or whose values have been materially affected by events occurring before the Funds Valuation Time but after the close of the securities primary markets, are valued at fair value as determined in good faith by, or under the direction of, the Board of Trustees under procedures established by the Board of Trustees. The Fund may utilize a service provided by an independent third party which has been approved by the Board of Trustees to fair value certain securities. When fair-value pricing is employed, the prices of securities used by a fund to
calculate its net asset value may differ from quoted or published prices for the same securities.
In accordance with the authoritative guidance on fair value measurements and disclosures under accounting principles generally accepted in the United States of America (GAAP), the Fund discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. GAAP established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are
SEQ.=1,FOLIO='',FILE='C:\JMS\105924\10-13838-6\task4266227\13838-6-bi-05.htm',USER='105924',CD='Sep 9 03:50 2010'
inputs that reflect the reporting entitys own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
| · | Level 1 quoted prices in
active markets for identical investments |
| --- | --- |
| · | Level 2 other
significant observable inputs (including quoted prices for similar
investments, interest rates, prepayment speeds, credit risk, etc.) |
| · | Level
3 significant unobservable inputs (including the Funds own assumptions in
determining the fair value of investments) |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of July 31, 2010 in valuing the Funds investments carried at value:
| Level 1 | Level 2 | Level 3 | Total | |||
|---|---|---|---|---|---|---|
| Investments in Securities | ||||||
| U.S. Corporate Bonds | $ | $ 187,771,471 | $ | $ 187,771,471 | ||
| Foreign Corporate Bonds | | 19,247,040 | | 19,247,040 | ||
| Bank Loans | | 1,772,400 | | 1,772,400 | ||
| Common Stocks | 1,878,031 | | | 1,878,031 | ||
| Preferred Stocks | 388,466 | 2 | | 388,468 | ||
| Warrants | | 2 | 1,152 | 1,154 | ||
| Short-Term Investments | 10,300,244 | 274,000 | | 10,574,244 | ||
| Other Financial Instruments * | ||||||
| Forward Foreign Currency Contracts | | (96,288 | ) | | (96,288 | ) |
| $ 12,566,741 | $ 208,968,627 | $ 1,152 | $ 221,536,520 |
*Other financial instruments include futures, forwards and swap contracts.
As of July 31, 2010, the amounts shown by the Fund as being Level 3 securities that were measured at fair value amounted to less than 0.01% of net assets.
Effective January 1, 2010, the Fund adopted FASB amendments to authoritative guidance which requires the Fund to disclose details of significant transfers in and out of Level 1 and Level 2 measurements and the reasons for the transfers. For the quarter ended July 31, 2010, there were no significant transfers in and out of Level 1 and Level 2.
Federal Income Tax Cost At July 31, 2010, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized depreciation from investments were $228,403,406, $12,832,732, $(19,603,330) and $(6,770,598), respectively.
Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Funds website at www.credit-suisse.com/us as well as on the website of the Securities and Exchange Commission at www.sec.gov.
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*Item 2: Controls and Procedures*
(a) As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the Act)), were effective based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities and Exchange Act of 1934.
(b) There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting.
*Item 3: Exhibits*
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*SIGNATURES*
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| CREDIT SUISSE HIGH YIELD
BOND FUND | |
| --- | --- |
| /s/John G. Popp | |
| Name: | John G. Popp |
| Title: | Chief Executive Officer |
| Date: | September 14, 2010 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| /s/John G. Popp | |
|---|---|
| Name: | John G. Popp |
| Title: | Chief Executive Officer |
| Date: | September 14, 2010 |
| /s/Michael A. Pignataro | |
| Name: | Michael A. Pignataro |
| Title: | Chief Financial Officer |
| Date: | September 14, 2010 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105592\10-13838-6\task4269474\13838-6-jc.htm',USER='105592',CD='Sep 13 23:18 2010'
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