Regulatory Filings • Mar 18, 2010
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Download Source FileN-Q 1 a10-4819_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: | November 1,
2009 to January 31, 2010 |
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Item 1: Schedule of Investments
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*Credit Suisse High Yield Bond Fund*
*Schedule of Investments*
January 31, 2010 (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 | $ 603,750 | |
| 750 | Hawker Beechcraft Notes Co., Global Company | ||||
| Guaranteed Notes (Callable 04/01/11 @ $104.25)§ | (CCC-, Caa3) | 04/01/15 | 8.500 | 519,375 | |
| 825 | Hawker Beechcraft Notes Co., Global Company | ||||
| Guaranteed Notes (Callable 04/01/12 @ $104.88) | (CCC-, Ca) | 04/01/17 | 9.750 | 490,875 | |
| 1,614,000 | |||||
| Auto Loans (2.9%) | |||||
| 325 | Ford Motor Credit Co. LLC, Senior Unsecured Notes | (B-, B3) | 08/10/11 | 9.875 | 340,139 |
| 575 | Ford Motor Credit Co. LLC, Senior Unsecured Notes | (B-, B3) | 10/01/14 | 8.700 | 595,369 |
| 775 | Ford Motor Credit Co., LLC, Global Senior | ||||
| Unsecured Notes | (B-, B3) | 08/01/12 | 7.500 | 785,569 | |
| 2,685 | Ford Motor Credit Co., LLC, Global Senior Unsecured | ||||
| Notes | (B-, B3) | 10/01/13 | 7.000 | 2,689,052 | |
| 100 | Ford Motor Credit Co., LLC, Senior Unsecured Notes | (B-, B3) | 12/15/16 | 8.000 | 100,724 |
| 4,510,853 | |||||
| Auto Parts & Equipment (2.4%) | |||||
| 350 | American Axle & Manufacturing | ||||
| Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 01/15/14 | |||||
| @ $104.63) | (B-, B2) | 01/15/17 | 9.250 | 364,000 | |
| 775 | American Axle & Manufacturing, Inc., | ||||
| Company Guaranteed Notes (Callable 03/01/12 @ $103.94) | (CCC-, Caa3) | 03/01/17 | 7.875 | 676,187 | |
| 1,200 | American Tire Distributors, Inc., Global | ||||
| Company Guarnteed Notes (Callable 04/01/10 @ $102.69) | (CCC+, Caa1) | 04/01/13 | 10.750 | 1,107,000 | |
| 800 | Stanadyne Corp., Series 1, Global Senior | ||||
| Subordinated Notes (Callable 08/15/10 @ $103.33) | (CCC, Caa1) | 08/15/14 | 10.000 | 732,000 | |
| 848 | The Goodyear Tire & Rubber Co., Global | ||||
| Company Guaranteed Notes (Callable 07/01/10 @ $104.50)§ | (B+, B1) | 07/01/15 | 9.000 | 877,680 | |
| 50 | The Goodyear Tire & Rubber Co., Senior | ||||
| Unsecured Notes (Callable 05/15/12 @ $107.88) | (B+, B1) | 05/15/16 | 10.500 | 54,500 | |
| 3,811,367 | |||||
| Banks (3.7%) | |||||
| 159 | CIT Group, Inc., Senior Secured Notes | ||||
| (Callable 03/17/10 @ $103.50)§ | (NR, NR) | 05/01/13 | 7.000 | 146,539 | |
| 239 | CIT Group, Inc., Senior Secured Notes | ||||
| (Callable 03/17/10 @ $103.50) | (NR, NR) | 05/01/14 | 7.000 | 214,732 | |
| 239 | CIT Group, Inc., Senior Secured Notes | ||||
| (Callable 03/17/10 @ $103.50) | (NR, NR) | 05/01/15 | 7.000 | 208,759 | |
| 398 | CIT Group, Inc., Senior Secured Notes | ||||
| (Callable 03/17/10 @ $103.50) | (NR, NR) | 05/01/16 | 7.000 | 343,452 | |
| 557 | CIT Group, Inc., Senior Secured Notes | ||||
| (Callable 03/17/10 @ $103.50) | (NR, NR) | 05/01/17 | 7.000 | 477,349 | |
| 2,390 | GMAC, Inc., Global Company Guaranteed Notes | (B, Ca) | 03/02/11 | 7.250 | 2,419,875 |
| 47 | GMAC, Inc., Global Company Guaranteed Notes | (B, Ca) | 12/15/11 | 6.000 | 46,589 |
| 99 | GMAC, Inc., Global Company Guaranteed Notes | (B, Ca) | 12/31/13 | 7.500 | 99,495 |
| 744 | GMAC, Inc., Global Company Guaranteed Notes | ||||
| (Callable 03/08/10 @ $100.00) | (B, Ca) | 04/01/11 | 6.000 | 740,280 | |
| 119 | GMAC, Inc., Global Subordinated Notes | (CCC+, Ca) | 12/31/18 | 8.000 | 113,645 |
| 1,007 | GMAC, Inc., Series 8, Global Company | ||||
| Guaranteed Notes | (B, Ca) | 12/01/14 | 6.750 | 989,378 | |
| 5,800,093 | |||||
| Beverages (0.5%) | |||||
| 100 | CEDC Finance Corp. International, Inc., Rule 144A, | ||||
| Senior Secured Notes (Callable 12/01/13 @ $104.56) | (B+, B1) | 12/01/16 | 9.125 | 105,500 | |
| 675 | Constellation Brands, Inc., Company | ||||
| Guaranteed Notes | (BB, Ba3) | 09/01/16 | 7.250 | 681,750 | |
| 787,250 | |||||
| Building & Construction (1.5%) | |||||
| 741 | Ashton Woods Finance Co., Rule 144A, Company | ||||
| Guaranteed Notes (Callable 02/24/14 @ $105.50)+ | (NR, NR) | 06/30/15 | 0.000 | 259,350 | |
| 600 | K Hovnanian Enterprises, Inc., Global Company | ||||
| Guaranteed Notes | (CCC-, Caa2) | 01/15/16 | 6.250 | 447,000 | |
| 950 | Standard Pacific Corp., Company Guaranteed Notes | (CCC, Caa1) | 04/01/14 | 6.250 | 845,500 |
| 1,000 | William Lyon Homes, Inc., Company Guaranteed | ||||
| Notes (Callable 04/01/10 @ $101.79) | (CC, Caa3) | 04/01/13 | 10.750 | 785,000 | |
| 2,336,850 |
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| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Building Materials (3.1%) | |||||
| $ 1,000 | AMH Holdings Inc., Global Senior Discount Notes | ||||
| (Callable 03/01/10 @ $103.75) | (CCC-, Caa2) | 03/01/14 | 11.250 | $ 1,005,000 | |
| 700 | Building Materials Corp. of America, Global | ||||
| Secured Notes (Callable 08/01/10 @ $102.58) | (BBB-, Ba3) | 08/01/14 | 7.750 | 727,125 | |
| 1,285 | CPG International I, Inc., Global Company | ||||
| Guaranteed Notes (Callable 07/01/10 @ $102.63) | (B-, Caa1) | 07/01/13 | 10.500 | 1,262,512 | |
| 500 | Dayton Superior Corp., Company Guaranteed Notesø | (NR, NR) | 06/15/09 | 13.000 | 100,000 |
| 900 | Headwaters, Inc., Rule 144A, Senior | ||||
| Secured Notes (Callable 11/01/12 @ $105.69) | (B+, B2) | 11/01/14 | 11.375 | 949,500 | |
| 114 | Norcraft Capital Corp., Global Senior Discount | ||||
| Notes (Callable 09/01/10 @ $100.00) | (CCC, Caa1) | 09/01/12 | 9.750 | 111,150 | |
| 775 | Norcraft Finance Corp., Rule 144A, Senior | ||||
| Secured Notes (Callable 12/15/12 @ $105.25) | (B-, B2) | 12/15/15 | 10.500 | 809,875 | |
| 4,965,162 | |||||
| Chemicals (3.6%) | |||||
| 775 | Hexion Escrow Corp., Rule 144A, Senior | ||||
| Secured Notes (Callable 02/01/14 @ $104.44) | (CCC+, B3) | 02/01/18 | 8.875 | 750,781 | |
| 250 | Momentive Performance Materials, Inc., Global | ||||
| Company Guaranteed Notes (Callable 12/01/10 @ $104.88)§ | (CCC-, Caa2) | 12/01/14 | 9.750 | 240,000 | |
| 701 | Momentive Performance Materials, Inc., | ||||
| Rule 144A, Company Guaranteed Notes (Callable 12/15/11 @ $106.25) | (CCC-, B3) | 06/15/14 | 12.500 | 788,625 | |
| 275 | Nalco Co., Global Company Guaranteed Notes (Callable | ||||
| 02/01/10 @ $103.00) | (NR, B2) | 11/15/13 | 9.000 | 395,615 | |
| 350 | Nalco Co., Global Company Guaranteed Notes | ||||
| (Callable 11/15/10 @ $101.48) | (B, B2) | 11/15/13 | 8.875 | 361,375 | |
| 575 | Nalco Finance Holdings, Inc., Global Senior | ||||
| Discount Notes (Callable 02/04/10 @ $103.00)# | (B, B2) | 02/01/14 | 9.000 | 595,125 | |
| 525 | PolyOne Corp., Senior Unsecured Notes | (B-, B1) | 05/01/12 | 8.875 | 550,121 |
| 1,175 | Reichhold Industries, Inc., Rule 144A, | ||||
| Senior Notes (Callable 08/15/10 @ $104.50) | (CCC+, Caa2) | 08/15/14 | 9.000 | 1,039,875 | |
| 975 | Terra Capital, Inc., Rule 144A, Company | ||||
| Guaranteed Notes (Callable 11/01/14 @ $103.88) | (BB, B1) | 11/01/19 | 7.750 | 1,018,875 | |
| 5,740,392 | |||||
| Computer Hardware (0.5%) | |||||
| 825 | Activant Solutions, Inc., Global Company Guaranteed | ||||
| Notes (Callable 05/01/11 @ $104.75) | (CCC, Caa1) | 05/01/16 | 9.500 | 794,063 | |
| Consumer Products (1.1%) | |||||
| 950 | AAC Group Holding Corp., Rule 144A, Senior | ||||
| Discount Notes (Callable 10/01/10 @ $100.00) | (CCC, NR) | 10/01/12 | 10.250 | 954,750 | |
| 725 | Amscan Holdings, Inc., Global Senior | ||||
| Subordinated Notes (Callable 05/01/10 @ $102.92) | (CCC+, Caa1) | 05/01/14 | 8.750 | 719,563 | |
| 1,674,313 | |||||
| Diversified Capital Goods (4.0%) | |||||
| 450 | Anixter, Inc., Company Guaranteed Notes | (BB+, Ba2) | 03/15/14 | 10.000 | 498,937 |
| 625 | Belden, Inc., Rule 144A, Company | ||||
| Guaranteed Notes (Callable 06/15/14 @ $104.62) | (B+, Ba2) | 06/15/19 | 9.250 | 668,750 | |
| 550 | Coleman Cable, Inc. Rule 144A (Callable | ||||
| 02/15/14 @ $104.50) | (B, B3) | 02/15/18 | 9.000 | 545,875 | |
| 650 | Coleman Cable, Inc., Global Company | ||||
| Guaranteed Notes (Callable 10/01/10 @ $100.00) | (B, B3) | 10/01/12 | 9.875 | 669,500 | |
| 925 | Esco Corp., Rule 144A, Company Guaranteed | ||||
| Notes (Callable 12/15/10 @ $100.00)# | (B, B2) | 12/15/13 | 4.129 | 860,250 | |
| 100 | Esco Corp., Rule 144A, Company Guaranteed | ||||
| Notes (Callable 12/15/10 @ $104.31) | (B, B2) | 12/15/13 | 8.625 | 100,875 | |
| 875 | Mueller Water Products, Inc., Global Company | ||||
| Guaranteed Notes (Callable 06/01/12 @ $103.69) | (B-, Caa1) | 06/01/17 | 7.375 | 791,875 | |
| 575 | Rexnord LLC., Global Company Guaranteed Notes | ||||
| (Callable 08/01/10 @ $104.75) | (B-, Caa2) | 08/01/14 | 9.500 | 579,312 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105588\10-4819-6\task3990431\4819-6-bi-01.htm',USER='105588',CD='Mar 13 05:25 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Diversified Capital Goods | |||||
| $ 425 | Sensus USA Systems, Inc., Global Company | ||||
| Guaranteed Notes (Callable 12/15/10 @ $101.44) | (B-, B3) | 12/15/13 | 8.625 | $ 438,813 | |
| 600 | Titan International, Inc., Global Company | ||||
| Guaranteed Notes | (B-, B2) | 01/15/12 | 8.000 | 600,000 | |
| 600 | TriMas Corp., Rule 144A, Senior Secured Notes | ||||
| (Callable 12/15/13 @ $104.88) | (B-, Caa1) | 12/15/17 | 9.750 | 601,500 | |
| 6,355,687 | |||||
| Electric - Generation (5.7%) | |||||
| 1,275 | Dynegy Holdings, Inc., Global Senior | ||||
| Unsecured Notes | (B, B3) | 05/01/16 | 8.375 | 1,157,062 | |
| 1,475 | Edison Mission Energy, Global Senior Unsecured | ||||
| Notes | (B, B2) | 05/15/17 | 7.000 | 1,172,625 | |
| 675 | Edison Mission Energy, Global Senior Unsecured | ||||
| Notes | (B, B2) | 05/15/19 | 7.200 | 526,500 | |
| 1,025 | Mirant Americas Generation LLC, Senior Unsecured | ||||
| Notes | (B-, B3) | 10/01/21 | 8.500 | 989,125 | |
| 447 | Mirant Mid Atlantic Trust, Series B, Global | ||||
| Pass Thru Certificates | (BB, Ba1) | 06/30/17 | 9.125 | 462,359 | |
| 350 | NRG Energy, Inc., Company Guaranteed Notes | ||||
| (Callable 01/15/12 @ $103.69) | (BB-, B1) | 01/15/17 | 7.375 | 348,688 | |
| 550 | NRG Energy, Inc., Company Guaranteed Notes | ||||
| (Callable 02/01/11 @ $103.69) | (BB-, B1) | 02/01/16 | 7.375 | 548,625 | |
| 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 | 2,933,437 | |
| 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 | 925,313 | |
| 9,063,734 | |||||
| Electric - Integrated (1.2%) | |||||
| 1,175 | The AES Corp., Global Senior Unsecured Notes | (BB-, B1) | 10/15/17 | 8.000 | 1,189,687 |
| 550 | The AES Corp., Rule 144A, Senior Unsecured | ||||
| Notes | (BB-, B1) | 04/15/16 | 9.750 | 598,125 | |
| 175 | The AES Corp., Senior Unsecured Notes | (BB-, B1) | 03/01/14 | 7.750 | 176,313 |
| 1,964,125 | |||||
| Electronics (1.9%) | |||||
| 450 | Amkor Technology, Inc., Global Senior Notes | ||||
| (Callable 05/15/10 @ $101.29) | (B+, B2) | 05/15/13 | 7.750 | 452,812 | |
| 800 | Freescale Semiconductor, Inc., Company | ||||
| Guaranteed Notes (Callable 12/15/11 @ $105.06) | (CCC, Caa3) | 12/15/16 | 10.125 | 652,000 | |
| 275 | Jabil Circuit, Inc., Global Senior Unsecured | ||||
| Notes | (BB+, Ba1) | 03/15/18 | 8.250 | 300,438 | |
| 575 | Sanmina-SCI Corp., Company Guaranteed Notes | ||||
| (Callable 03/01/11 @ $104.06) | (CCC, B2) | 03/01/16 | 8.125 | 579,312 | |
| 875 | Viasystems, Inc., Rule 144A, Senior | ||||
| Secured Notes (Callable 07/15/12 @ $106.00) | (B+, B3) | 01/15/15 | 12.000 | 940,625 | |
| 2,925,187 | |||||
| Energy - Exploration & Production (6.8%) | |||||
| 500 | Berry Petroleum Co., Senior Subordinated Notes | ||||
| (Callable 11/01/11 @ $104.13) | (B, B3) | 11/01/16 | 8.250 | 501,250 | |
| 150 | Chesapeake Energy Corp., Company Guaranteed Notes | (BB, Ba3) | 07/15/13 | 7.625 | 157,875 |
| 300 | Chesapeake Energy Corp., Company Guaranteed Notes | (BB, Ba3) | 12/15/18 | 7.250 | 300,000 |
| 1,525 | Chesapeake Energy Corp., Global Company Guaranteed | ||||
| Notes (Callable 01/15/11 @ $101.15) | (BB, Ba3) | 01/15/16 | 6.875 | 1,509,750 | |
| 575 | Denbury Resources, Inc., Company Guaranteed | ||||
| Notes (Callable 03/01/13 @ $104.88) | (BB, B1) | 03/01/16 | 9.750 | 608,781 | |
| 1,000 | Encore Acquisition Co., Company Guaranteed Notes | ||||
| (Callable 12/01/10 @ $103.63) | (B, B1) | 12/01/17 | 7.250 | 1,010,000 | |
| 450 | Forest Oil Corp., Global Company Guaranteed Notes | ||||
| (Callable 06/15/12 @ $103.63) | (BB-, B1) | 06/15/19 | 7.250 | 454,500 | |
| 525 | Hilcorp Financial Co., Rule 144A, Senior | ||||
| Unsecured Notes (Callable 06/01/11 @ $104.50) | (BB-, B2) | 06/01/16 | 9.000 | 547,312 | |
| 800 | Mariner Energy, Inc., Company Guaranteed | ||||
| Notes (Callable 05/15/12 @ $104.00) | (B+, B3) | 05/15/17 | 8.000 | 786,000 | |
| 475 | Penn Virginia Corp., Senior Notes (Callable | ||||
| 06/15/13 @ $105.19) | (BB-, B2) | 06/15/16 | 10.375 | 525,469 | |
| 950 | PetroHawk Energy Corp., Global Company Guaranteed | ||||
| Notes (Callable 06/01/12 @ $103.94) | (B, B3) | 06/01/15 | 7.875 | 978,500 | |
| 475 | Pioneer Natural Resources Co., Senior Unsecured | ||||
| Notes | (BB+, Ba1) | 01/15/20 | 7.500 | 484,688 | |
| 625 | Plains Exploration & Production Co., | ||||
| Company Guaranteed Notes (Callable 06/15/11 @ $103.88) | (BB, B1) | 06/15/15 | 7.750 | 640,625 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105588\10-4819-6\task3990431\4819-6-bi-01.htm',USER='105588',CD='Mar 13 05:25 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Energy - Exploration & Production | |||||
| $ 350 | Range Resources Corp., Company Guaranteed Notes | ||||
| (Callable 10/01/12 @ $103.75) | (BB, Ba3) | 10/01/17 | 7.500 | $ 364,875 | |
| 425 | Stone Energy Corp., Company Guaranteed Notes | ||||
| (Callable 02/01/14 @ $104.31) | (BB-, Caa1) | 02/01/17 | 8.625 | 425,000 | |
| 525 | Stone Energy Corp., Global Senior Subordinated | ||||
| Notes (Callable 12/15/10 @ $102.25) | (CCC+, Caa2) | 12/15/14 | 6.750 | 480,375 | |
| 475 | Swift Energy Co, Company Guaranteed Notes | ||||
| (Callable 06/01/12 @ $103.56) | (BB-, B3) | 06/01/17 | 7.125 | 457,188 | |
| 450 | Whiting Petroleum Corp., Global Company Guaranteed | ||||
| Notes | (BB, B1) | 02/01/14 | 7.000 | 456,750 | |
| 10,688,938 | |||||
| Environmental (0.2%) | |||||
| 350 | Casella Waste Systems, Inc., Rule 144A, | ||||
| Senior Secured Notes (Callable 07/15/12 @ $105.50) | (B+, B2) | 07/15/14 | 11.000 | 381,500 | |
| Food & Drug Retailers (0.9%) | |||||
| 350 | Ingles Markets, Inc., Global Senior Unsecured | ||||
| Notes (Callable 05/15/13 @ $104.44) | (BB-, B1) | 05/15/17 | 8.875 | 364,438 | |
| 725 | Rite Aid Corp., Global Company Guaranteed Notes | ||||
| (Callable 06/15/11 @ $104.69) | (CCC, Caa3) | 12/15/15 | 9.375 | 609,000 | |
| 475 | Rite Aid Corp., Global Senior Secured Notes (Callable | ||||
| 06/12/13 @ $104.88) | (B+, B3) | 06/12/16 | 9.750 | 510,625 | |
| 1,484,063 | |||||
| Food - Wholesale (1.3%) | |||||
| 250 | Chiquita Brands International, Inc., Global | ||||
| Senior Unsecured Notes (Callable 11/01/10 @ $102.50) | (B, Caa2) | 11/01/14 | 7.500 | 246,250 | |
| 650 | Pinnacle Foods Finance Corp., Rule 144A, | ||||
| Senior Unsecured Notes (Callable 04/01/11 @ $104.63) | (CCC+, Caa2) | 04/01/15 | 9.250 | 656,500 | |
| 425 | Smithfield Foods, Inc., Rule 144A, | ||||
| Senior Secured Notes | (B+, Ba3) | 07/15/14 | 10.000 | 464,844 | |
| 650 | Southern States Cooperative, Inc., | ||||
| Rule 144A, Senior Notes | (B+, B3) | 11/01/11 | 11.000 | 651,625 | |
| 2,019,219 | |||||
| Forestry & Paper (3.2%) | |||||
| 478 | Boise Cascade LLC, Global Company Guaranteed Notes | ||||
| (Callable 10/15/10 @ $102.38) | (B+, Caa1) | 10/15/14 | 7.125 | 436,175 | |
| 750 | Georgia-Pacific Corp., Global Senior Notes | (BB, B2) | 01/15/24 | 8.000 | 783,750 |
| 300 | Georgia-Pacific LLC Rule 144A, Company | ||||
| Guaranteed Notes (Callable 01/15/12 @ $103.56) | (BB+, Ba3) | 01/15/17 | 7.125 | 309,000 | |
| 300 | Georgia-Pacific LLC Rule 144A, Company | ||||
| Guaranteed Notes (Callable 05/01/13 @ $104.13) | (BB+, Ba3) | 05/01/16 | 8.250 | 322,500 | |
| 400 | NewPage Corp., Global Company Guaranteed | ||||
| Notes (Callable 05/01/10 @ $103.00) | (CCC-, Caa3) | 05/01/13 | 12.000 | 168,000 | |
| 1,300 | NewPage Corp., Global Senior Secured Notes | ||||
| (Callable 03/31/12 @ $105.00)§ | (CCC+, B2) | 12/31/14 | 11.375 | 1,264,250 | |
| 950 | Smurfit-Stone Container Enterprises, Inc., | ||||
| Global Senior Unsecured Notes (Callable 07/01/10 @ $100.00)ø | (D, NR) | 07/01/12 | 8.375 | 805,125 | |
| 1,125 | Verso Paper, Inc., Series B, Global | ||||
| Company Guaranteed Notes (Callable 08/01/11 @ $105.69)§ | (CCC, Caa1) | 08/01/16 | 11.375 | 970,313 | |
| 75 | Verso Paper, Inc., Series B, Global | ||||
| Senior Secured Notes (Callable 08/01/10 @ $104.56)§ | (B-, B2) | 08/01/14 | 9.125 | 71,156 | |
| 5,130,269 | |||||
| Gaming (7.0%) | |||||
| 775 | Buffalo Thunder Development Authority, | ||||
| Rule 144A, Senior Secured Notes (Callable 12/15/10 @ $104.69)ø | (NR, NR) | 12/15/14 | 9.375 | 135,625 | |
| 1,000 | Caesars Entertainment, Inc., Global Company Guaranteed | ||||
| Notes | (CCC-, Ca) | 05/15/11 | 8.125 | 1,005,000 | |
| 1,225 | CCM Merger, Inc., Rule 144A, Notes | ||||
| (Callable 08/01/10 @ $102.00) | (CCC+, Caa3) | 08/01/13 | 8.000 | 1,010,625 | |
| 280 | Choctaw Resort Development Enterprise, | ||||
| Rule 144A, Senior Notes (Callable 11/15/11 @ $103.63) | (B, B2) | 11/15/19 | 7.250 | 197,400 | |
| 575 | FireKeepers Development Authority, Rule 144A, | ||||
| Senior Secured Notes (Callable 05/01/12 @ $110.50) | (B, B3) | 05/01/15 | 13.875 | 661,250 | |
| 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 | 9,375 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105588\10-4819-6\task3990431\4819-6-bi-01.htm',USER='105588',CD='Mar 13 05:25 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Gaming | |||||
| $ 525 | Harrahs Operating Co., Inc., Global Senior | ||||
| Secured Notes (Callable 06/01/13 @ $105.63) | (B-, Caa1) | 06/01/17 | 11.250 | $ 560,438 | |
| 750 | Inn of the Mountain Gods Resort & Casino, | ||||
| Global Company Guaranteed Notesø | (D, Ca) | 11/15/10 | 12.000 | 373,125 | |
| 1,250 | Jacobs Entertainment, Inc., Global Company | ||||
| Guaranteed Notes (Callable 06/15/10 @ $104.88) | (B-, B3) | 06/15/14 | 9.750 | 1,175,000 | |
| 950 | Majestic Star Casino Capital Corp., Senior Secured | ||||
| Notesø | (NR, NR) | 10/15/10 | 9.500 | 631,750 | |
| 1,275 | Mashantucket Western Pequot Tribe, Rule 144A, | ||||
| Bonds (Callable 11/15/11 @ $104.25)ø | (D, NR) | 11/15/15 | 8.500 | 395,250 | |
| 700 | MGM Mirage, Inc., Company Guaranteed Notes | (CCC+, Caa2) | 01/15/17 | 7.625 | 575,750 |
| 825 | MGM Mirage, Inc., Global Company Guaranteed | ||||
| Notes | (CCC+, Caa2) | 04/01/16 | 6.875 | 684,750 | |
| 675 | MGM Mirage, Inc., Rule 144A, Senior | ||||
| Secured Notes (Callable 05/15/13 @ $105.56) | (B, B1) | 11/15/17 | 11.125 | 762,750 | |
| 1,200 | MTR Gaming Group, Inc., Rule 144A, | ||||
| Senior Secured Notes (Callable 07/15/11 @ $106.31) | (B, B2) | 07/15/14 | 12.625 | 1,185,000 | |
| 950 | Peninsula Gaming LLC, Rule 144A, Senior | ||||
| Unsecured Notes (Callable 08/15/13 @ $105.38) | (B, B3) | 08/15/17 | 10.750 | 973,750 | |
| 670 | Tropicana Finance Corp., Global Senior | ||||
| Subordinated Notes (Callable 12/15/10 @ $104.81)ø | (NR, NR) | 12/15/14 | 9.625 | 4,606 | |
| 775 | Turning Stone Resort Casino Enterprise, | ||||
| Rule 144A, Senior Unsecured Notes (Callable 09/15/10 @ $104.56) | (B+, B1) | 09/15/14 | 9.125 | 759,500 | |
| 11,100,944 | |||||
| Gas Distribution (3.3%) | |||||
| 525 | Amerigas Partners LP, Global Senior Unsecured | ||||
| Notes (Callable 05/20/10 @ $103.63) | (NR, Ba3) | 05/20/15 | 7.250 | 535,500 | |
| 375 | El Paso Corp., Senior Unsecured Notes | (BB-, Ba3) | 02/15/16 | 8.250 | 405,937 |
| 600 | El Paso Corp., Senior Unsecured Notes | (BB-, Ba3) | 06/01/18 | 7.250 | 619,528 |
| 925 | El Paso Performance-Linked Trust, Rule 144A, | ||||
| Senior Unsecured Notes | (NR, Ba3) | 07/15/11 | 7.750 | 967,636 | |
| 425 | Inergy Finance Corp., Global Company Guaranteed | ||||
| Notes (Callable 03/01/11 @ $104.13) | (B+, B1) | 03/01/16 | 8.250 | 436,687 | |
| 275 | Inergy Finance Corp., Global Company Guaranteed | ||||
| Notes (Callable 12/15/10 @ $102.29) | (B+, B1) | 12/15/14 | 6.875 | 275,688 | |
| 550 | MarkWest Energy Finance Corp., Series B, | ||||
| Global Company Guaranteed Notes (Callable 04/15/13 @ $104.38) | (B+, B2) | 04/15/18 | 8.750 | 574,750 | |
| 625 | Targa Resources Partners Finance Corp., Global | ||||
| Company Guaranteed Notes (Callable 07/01/12 @ $104.13) | (B, B2) | 07/01/16 | 8.250 | 637,500 | |
| 675 | The Williams Cos., Inc., Series A, | ||||
| Global Senior Unsecured Notes | (BB+, Baa3) | 01/15/31 | 7.500 | 765,659 | |
| 5,218,885 | |||||
| Health Facilities (7.2%) | |||||
| 275 | Alliance HealthCare Services, Inc., | ||||
| Rule 144A, Senior Notes (Callable 12/01/12 @ $104.00) | (B, B3) | 12/01/16 | 8.000 | 259,875 | |
| 815 | Bausch & Lomb, Inc., Global Senior | ||||
| Unsecured Notes (Callable 11/01/11 @ $104.94) | (B, Caa1) | 11/01/15 | 9.875 | 859,825 | |
| 300 | Biomet, Inc., Global Company Guaranteed Notes | ||||
| (Callable 10/15/12 @ $105.00) | (B-, B3) | 10/15/17 | 10.000 | 327,750 | |
| 120 | Biomet, Inc., Global Company Guaranteed Notes | ||||
| (Callable 10/15/12 @ $105.81) | (B-, Caa1) | 10/15/17 | 11.625 | 132,600 | |
| 650 | Community Health Systems, Inc., Global | ||||
| Company Guaranteed Notes (Callable 07/15/11 @ $104.44) | (B, B3) | 07/15/15 | 8.875 | 673,562 | |
| 2,350 | HCA, Inc., Global Secured Notes (Callable | ||||
| 11/15/11 @ $104.63) | (BB-, B2) | 11/15/16 | 9.250 | 2,485,125 | |
| 675 | HCA, Inc., Global Senior Unsecured Notes | (B-, Caa1) | 01/15/15 | 6.375 | 626,062 |
| 725 | HCA, Inc., Rule 144A, Senior Secured | ||||
| Notes (Callable 08/15/14 @ $103.94) | (BB, Ba3) | 02/15/20 | 7.875 | 746,750 | |
| 425 | Healthsouth Corp., Global Company Guaranteed Notes | ||||
| (Callable 06/15/11 @ $105.38) | (CCC+, Caa1) | 06/15/16 | 10.750 | 462,188 | |
| 450 | Inverness Medical Innovations, Inc., Company | ||||
| Guaranteed Notes (Callable 05/15/13 @ $104.50) | (B-, B3) | 05/15/16 | 9.000 | 461,250 | |
| 525 | Omega Healthcare Investors, Inc., Global | ||||
| Company Guaranteed Notes (Callable 01/15/11 @ $103.50) | (BB+, Ba3) | 01/15/16 | 7.000 | 528,938 | |
| 425 | Service Corp. International, Senior Unsecured | ||||
| Notes | (BB-, B1) | 11/15/21 | 8.000 | 427,656 | |
| 775 | Tenet Healthcare Corp., Global Senior Unsecured | ||||
| Notes | (CCC+, Caa2) | 02/01/15 | 9.250 | 806,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105588\10-4819-6\task3990431\4819-6-bi-01.htm',USER='105588',CD='Mar 13 05:25 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Health Facilities | |||||
| $ 925 | Tenet Healthcare Corp., Rule 144A, Senior | ||||
| Secured Notes (Callable 07/01/14 @ $ 104.44) | (BB-, B2) | 07/01/19 | 8.875 | $ 989,750 | |
| 275 | Universal Hospital Services, Inc., Global | ||||
| Senior Secured Notes (Callable 06/01/11 @ $101.00) | (B+, B3) | 06/01/15 | 8.500 | 270,188 | |
| 625 | Vanguard Holding Co. II, Inc., Rule 144A, | ||||
| Company Guaranteed Notes (Callable 02/01/14 @ $104.00) | (CCC+, B3) | 02/01/18 | 8.000 | 613,281 | |
| 634 | VWR Funding, Inc., Series B, Global | ||||
| Company Guaranteed Notes (Callable 07/15/11 @ $105.13) | (B-, Caa1) | 07/15/15 | 10.250 | 665,437 | |
| 11,336,237 | |||||
| Health Services (1.4%) | |||||
| 275 | Quintiles Transnational Corp., Rule 144A, | ||||
| Senior Notes (Callable 02/04/10 @ $102.50) | (B, B3) | 12/30/14 | 9.500 | 279,813 | |
| 750 | Rural/Metro Corp., Global Senior Discount Notes | ||||
| (Callable 03/15/10 @ $106.38)+ | (B, Caa1) | 03/15/16 | 0.000 | 776,250 | |
| 400 | Service Corp. International, Global Senior | ||||
| Unsecured Notes | (BB-, B1) | 10/01/18 | 7.625 | 407,000 | |
| 550 | Stewart Enterprises, Inc., Global Company | ||||
| Guaranteed Notes (Callable 02/15/10 @ $101.56) | (BB-, Ba3) | 02/15/13 | 6.250 | 540,375 | |
| 175 | Universal Hospital Services, Inc., Global | ||||
| Senior Secured Notes (Callable 06/01/10 @ $101.00)# | (B+, B3) | 06/01/15 | 3.859 | 150,500 | |
| 2,153,938 | |||||
| Hotels (1.3%) | |||||
| 725 | Felcor Lodging LP, Rule 144A, Senior Secured | ||||
| Notes | (B-, B2) | 10/01/14 | 10.000 | 721,375 | |
| 525 | Host Hotels & Resorts LP, Rule 144A, | ||||
| Senior Unsecured Notes (Callable 05/15/13 @ $104.50)§ | (BB+, Ba1) | 05/15/17 | 9.000 | 564,375 | |
| 725 | Host Hotels & Resorts LP, Series Q, | ||||
| Global Company Guaranteed Notes (Callable 06/01/11 @ $103.33) | (BB+, Ba1) | 06/01/16 | 6.750 | 712,313 | |
| 1,998,063 | |||||
| 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 | 453,938 | |
| lnvestments & Misc. Financial | |||||
| Services (0.4%) | |||||
| 700 | Nuveen Investments, Inc., Global Company | ||||
| Guaranteed Notes (Callable 11/15/11 @105.25) | (CCC, Caa3) | 11/15/15 | 10.500 | 651,000 | |
| Leisure (0.3%) | |||||
| 122 | Six Flags Operations, Inc., Rule 144A, | ||||
| Company Guaranteed Notes (Callable 07/15/13 @ $106.12)ø | (D, NR) | 07/15/16 | 12.250 | 134,200 | |
| 900 | Six Flags, Inc., Global Senior Unsecured | ||||
| Notes (Callable 06/01/10 @ $103.21)ø | (D, NR) | 06/01/14 | 9.625 | 281,250 | |
| 415,450 | |||||
| Machinery (0.9%) | |||||
| 650 | Baldor Electric Co., Company Guaranteed Notes | ||||
| (Callable 02/15/12 @ $104.31) | (B, B3) | 02/15/17 | 8.625 | 664,625 | |
| 525 | CPM Holdings, Inc., Rule 144A, Senior | ||||
| Secured Notes (Callable 09/01/12 @ $105.31) | (B+, B2) | 09/01/14 | 10.625 | 561,750 | |
| 250 | Terex Corp., Senior Subordinated Notes (Callable | ||||
| 11/15/12 @ $104.00) | (B, Caa1) | 11/15/17 | 8.000 | 240,000 | |
| 1,466,375 | |||||
| Media - Broadcast (2.8%) | |||||
| 725 | Allbritton Communications Co., Global Senior | ||||
| Subordinated Notes (Callable 12/15/10 @ $100.00) | (B-, Caa1) | 12/15/12 | 7.750 | 723,187 | |
| 795 | Barrington Broadcasting Capital Corp., Global | ||||
| Company Guaranteed Notes (Callable 08/15/10 @ $105.25) | (CCC-, Caa3) | 08/15/14 | 10.500 | 629,044 | |
| 1,175 | Clear Channel Communications, Inc., Senior | ||||
| Unsecured Notes | (CCC-, Ca) | 09/15/14 | 5.500 | 710,875 | |
| 775 | Clear Channel Worldwide Holdings, Inc., | ||||
| Rule 144A, Company Guaranteed Notes (Callable 12/15/12 @ $106.94) | (B, B2) | 12/15/17 | 9.250 | 802,125 | |
| 200 | Clear Channel Worldwide Holdings, Inc., | ||||
| Rule 144A, Company Guaranteed Notes (Callable 12/15/12 @ $106.94) | (B, B2) | 12/15/17 | 9.250 | 205,500 | |
| 74 | CMP Susquehanna Corp., Global Company Guranteed | ||||
| Notes (Callable 05/15/10 @ $104.94) | (NR, NR) | 05/15/14 | 3.272 | 18,500 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105588\10-4819-6\task3990431\4819-6-bi-01.htm',USER='105588',CD='Mar 13 05:25 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Media - Broadcast | |||||
| $ 550 | Fisher Communications, Inc., Global Company | ||||
| Guaranteed Notes (Callable 09/15/10 @ $102.88) | (B-, B2) | 09/15/14 | 8.625 | $ 534,188 | |
| 662 | Local TV Finance LLC, Rule 144A, Senior | ||||
| Unsecured Notes (Callable 06/15/11 @ $104.63) | (CCC, Caa3) | 06/15/15 | 9.250 | 362,171 | |
| 389 | Umbrella Acquisition, Inc., Rule 144A, | ||||
| Company Guaranteed Notes (Callable 03/15/11 @ $104.88) | (CCC, Caa2) | 03/15/15 | 9.750 | 344,641 | |
| 1,525 | Young Broadcasting, Inc., Global Company | ||||
| Guaranteed Notes (Callable 01/15/11 @ $101.46)ø | (D, NR) | 01/15/14 | 8.750 | 10,675 | |
| 4,340,906 | |||||
| Media - Cable (6.0%) | |||||
| 1,375 | Atlantic Broadband Finance LLC, Global Company | ||||
| Guaranteed Notes (Callable 01/15/11 @ $101.56) | (B-, Caa1) | 01/15/14 | 9.375 | 1,405,937 | |
| 731 | CCH II Capital Corp., Global Senior Notes | ||||
| (Callable 11/30/12 @ $106.75) | (B, B2) | 11/30/16 | 13.500 | 882,323 | |
| 1,200 | Cequel Capital Corp., Rule 144A, Senior | ||||
| Unsecured Notes (Callable 11/15/12 @ $106.47) | (B-, B3) | 11/15/17 | 8.625 | 1,206,000 | |
| 325 | Charter Communications Operating Capital, | ||||
| Rule 144A, Secured Notes | (BB-, B1) | 04/30/12 | 8.000 | 341,250 | |
| 275 | Charter Communications Operating Capital, | ||||
| Rule 144A, Secured Notes | (BB-, B1) | 09/15/14 | 10.875 | 309,375 | |
| 825 | CSC Holdings Inc., Rule 144A, Senior | ||||
| Unsecured Notes | (BB, Ba3) | 04/15/14 | 8.500 | 878,625 | |
| 675 | CSC Holdings, Inc., Rule 144A, Senior | ||||
| Unsecured Notes | (BB, Ba3) | 02/15/19 | 8.625 | 739,125 | |
| 275 | CSC Holdings, Inc., Rule 144A, Senior | ||||
| Unsecured Notes (Callable 06/15/12 @ $104.25) | (BB, Ba3) | 06/15/15 | 8.500 | 292,187 | |
| 700 | DISH DBS Corp., Global Company Guaranteed Notes | (BB-, Ba3) | 10/01/14 | 6.625 | 696,500 |
| 1,650 | DISH DBS Corp., Global Company Guaranteed Notes | (BB-, Ba3) | 09/01/19 | 7.875 | 1,711,875 |
| 175 | Mediacom Broadband Corp., Global Senior Unsecured | ||||
| Notes (Callable 10/15/10 @ $104.25) | (B-, B3) | 10/15/15 | 8.500 | 174,563 | |
| 850 | Mediacom Capital Corp., Rule 144A, Senior | ||||
| Notes (Callable 08/15/14 @ $104.56) | (B-, B3) | 08/15/19 | 9.125 | 854,250 | |
| 9,492,010 | |||||
| Media - Diversified (0.4%) | |||||
| 600 | Block Communications, Inc., Rule 144A, | ||||
| Senior Notes (Callable 12/15/10 @ $104.13) | (B, B1) | 12/15/15 | 8.250 | 597,000 | |
| Media - Services (1.0%) | |||||
| 450 | Nielsen Finance Co., Global Company Guaranteed | ||||
| Notes (Callable 05/01/13 @ $105.75) | (B-, Caa1) | 05/01/16 | 11.500 | 506,250 | |
| 575 | WMG Acquisition Corp., Global Company Guaranteed | ||||
| Notes (Callable 04/15/10 @ $102.46) | (B, B1) | 04/15/14 | 7.375 | 560,625 | |
| 400 | WMG Acquisition Corp., Rule 144A, Senior | ||||
| Secured Notes (Callable 06/15/13 @ $104.75) | (BB, Ba2) | 06/15/16 | 9.500 | 431,000 | |
| 1,497,875 | |||||
| Metals & Mining - Excluding Steel (1.4%) | |||||
| 225 | Aleris International, Inc., Global Company | ||||
| Guaranteed Notes (Callable 12/15/10 @ $104.50)ø | (D, NR) | 12/15/14 | 9.000 | 2,813 | |
| 1,100 | Aleris International, Inc., Global Company | ||||
| Guaranteed Notes (Callable 12/15/11 @ $105.00)ø | (D, NR) | 12/15/16 | 10.000 | 13,750 | |
| 475 | Freeport-McMoRan Copper & | ||||
| Gold, Inc., Senior Unsecured Notes (Callable 04/01/11 @ $104.13) | (BBB-, Ba2) | 04/01/15 | 8.250 | 514,731 | |
| 1,507 | Noranda Aluminium Acquisition Corp., Global | ||||
| Company Guaranteed Notes (Callable 05/15/10 @ $100.00)# | (D, Caa1) | 05/15/15 | 5.274 | 1,179,613 | |
| 525 | Novelis, Inc., Company Guaranteed Notes | ||||
| (Callable 08/15/12 @ $108.62) | (B-, NR) | 02/15/15 | 11.500 | 570,937 | |
| 2,281,844 | |||||
| Oil Field Equipment & Services (3.1%) | |||||
| 550 | Bristow Group, Inc., Global Company Guaranteed | ||||
| Notes (Callable 09/15/12 @ $103.75) | (BB, Ba2) | 09/15/17 | 7.500 | 556,875 | |
| 1,025 | Calfrac Holdings LP, Rule 144A, Company | ||||
| Guaranteed Notes (Callable 02/15/11 @ $103.88) | (B+, B2) | 02/15/15 | 7.750 | 1,004,500 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105569\10-4819-6\task3991051\4819-6-bi-03.htm',USER='105569',CD='Mar 13 12:51 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Oil Field Equipment & Services | |||||
| $ 750 | Edgen Murray Corp., Rule 144A, Senior Secured | ||||
| Notes (Callable 01/15/13 @ $106.13) | (B, Caa1) | 01/15/15 | 12.250 | $ 720,000 | |
| 550 | Helix Energy Solutions Group, Inc., | ||||
| Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ $104.75) | (B, B3) | 01/15/16 | 9.500 | 566,500 | |
| 300 | Hornbeck Offshore Services, Inc., | ||||
| Rule 144A, Senior Notes (Callable 09/01/13 @ $104.00) | (BB-, Ba3) | 09/01/17 | 8.000 | 304,500 | |
| 350 | Hornbeck Offshore Services, Inc., | ||||
| Series B, Global Company Guaranteed Notes (Callable 12/01/10 @ $102.04) | (BB-, Ba3) | 12/01/14 | 6.125 | 335,125 | |
| 450 | Key Energy Services, Inc., Global Company | ||||
| Guaranteed Notes (Callable 12/01/11 @ $104.19) | (BB-, B1) | 12/01/14 | 8.375 | 452,250 | |
| 650 | McJunkin Red Man Corp., Rule 144A, Senior | ||||
| Secured Notes (Callable 12/15/12 @ $107.13) | (B, B3) | 12/15/16 | 9.500 | 651,625 | |
| 200 | Pride International, Inc., Senior Unsecured | ||||
| Notes | (BBB-, Ba1) | 06/15/19 | 8.500 | 230,000 | |
| 4,821,375 | |||||
| Oil Refining & Marketing (0.4%) | |||||
| 750 | Western Refining, Inc., Rule 144A, | ||||
| Senior Secured Notes (Callable 12/15/11 @ $105.00)# | (BB-, B3) | 06/15/14 | 10.750 | 686,250 | |
| Packaging (2.1%) | |||||
| 880 | Berry Plastics Corp., Global Secured Notes | ||||
| (Callable 09/15/10 @ $104.44) | (CCC, Caa1) | 09/15/14 | 8.875 | 853,600 | |
| 725 | GPC Capital Corp. I, Global Company Guaranteed | ||||
| Notes (Callable 10/15/10 @ $103.29) | (CCC+, Caa1) | 10/15/14 | 9.875 | 749,469 | |
| 1,000 | GPC Capital Corp. I, Rule 144A, Senior Notes | ||||
| (Callable 01/01/14 @ $104.13) | (CCC+, Caa1) | 01/01/17 | 8.250 | 1,020,000 | |
| 500 | Pregis Corp., Senior Secured Notes, Rule 144A# | (B+, B2) | 04/15/13 | 5.684 | 632,428 |
| 3,255,497 | |||||
| Pharmaceuticals (0.4%) | |||||
| 550 | QHP Royalty Sub LLC, Rule 144A, Senior | ||||
| Secured Notes | (NR, NR) | 03/15/15 | 10.250 | 562,310 | |
| Printing & Publishing (2.0%) | |||||
| 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 | 960,000 | |
| 525 | Cenveo Corp., Rule 144A, Senior Secured Notes | ||||
| (Callable 02/01/14 @ $104.44) | (B, B2) | 02/01/18 | 8.875 | 521,330 | |
| 1,800 | The Readers Digest Association, Inc., Global | ||||
| Company Guaranteed Notes (Callable 02/15/12 @ $104.50)ø | (D, NR) | 02/15/17 | 9.000 | 27,180 | |
| 785 | Valassis Communications, Inc., Global Company | ||||
| Guaranteed Notes (Callable 03/01/11 @ $104.13) | (B-, B3) | 03/01/15 | 8.250 | 785,000 | |
| 3,217,385 | |||||
| Railroads (0.4%) | |||||
| 600 | Kansas City Southern Railway, Company Guaranteed | ||||
| Notes (Callable 06/01/12 @ $104.00) | (B+, B2) | 06/01/15 | 8.000 | 620,250 | |
| Restaurants (0.3%) | |||||
| 525 | Dennys Holdings, Inc., Global Company | ||||
| Guaranteed Notes (Callable 10/01/10 @ $100.00) | (B-, Caa1) | 10/01/12 | 10.000 | 538,125 | |
| Software/Services (3.1%) | |||||
| 750 | First Data Corp., Global Company Guaranteed Notes | ||||
| (Callable 09/30/11 @ $104.94) | (B-, Caa1) | 09/24/15 | 9.875 | 673,125 | |
| 1,050 | SunGard Data Systems, Inc., Global Company | ||||
| Guaranteed Notes (Callable 08/15/10 @ $105.13) | (B-, Caa1) | 08/15/15 | 10.250 | 1,094,625 | |
| 525 | Unisys Corp., Rule 144A, Senior Secured Notes | ||||
| (Callable 10/15/12 @ $106.38) | (BB-, Ba3) | 10/15/14 | 12.750 | 611,625 | |
| 1,150 | Unisys Corp., Senior Unsecured Notes (Callable | ||||
| 01/15/12 @ $106.25) | (B, Caa1) | 01/15/16 | 12.500 | 1,219,000 | |
| 1,475 | Vangent, Inc., Global Company Guaranteed | ||||
| Notes (Callable 02/15/11 @ $104.81) | (CCC+, Caa2) | 02/15/15 | 9.625 | 1,371,750 | |
| 4,970,125 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105569\10-4819-6\task3991051\4819-6-bi-03.htm',USER='105569',CD='Mar 13 12:51 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. | |||||
| CORPORATE BONDS | |||||
| Specialty | |||||
| Retail (3.2%) | |||||
| $ 600 | Asbury Automotive Group, Inc., Global Company Guaranteed Notes | ||||
| (Callable 03/15/12 @ $103.81) | (B-, | ||||
| Caa1) | 03/15/17 | 7.625 | $ 576,000 | ||
| 1,350 | Brookstone Co., Inc., Global Senior Secured Notes (Callable | ||||
| 10/15/10 @ $103.00) | (CCC-, | ||||
| Caa3) | 10/15/12 | 12.000 | 958,500 | ||
| 490 | Michaels Stores, Inc., Global Company Guaranteed Notes (Callable | ||||
| 11/01/10 @ $105.00) | (CCC, | ||||
| Caa2) | 11/01/14 | 10.000 | 497,350 | ||
| 645 | Michaels Stores, Inc., Global Company Guaranteed Notes (Callable | ||||
| 11/01/11 @ $105.69)§ | (CCC, | ||||
| Caa3) | 11/01/16 | 11.375 | 674,025 | ||
| 600 | SGS International, Inc., Global Company Guaranteed Notes | ||||
| (Callable 12/15/10 @ $103.00) | (B-, | ||||
| B3) | 12/15/13 | 12.000 | 631,500 | ||
| 520 | Susser Finance Corp., Global Company Guaranteed Notes (Callable | ||||
| 12/15/10 @ $102.66) | (B+, | ||||
| B3) | 12/15/13 | 10.625 | 544,050 | ||
| 600 | The Neiman Marcus Group, Inc., Global Company | ||||
| Guaranteed Notes (Callable 10/15/10 @ $105.19)§ | (CCC+, Caa3) | 10/15/15 | 10.375 | 591,000 | |
| 460 | Yankee Acquisition Corp., Series B, Global Company Guaranteed | ||||
| Notes (Callable 02/15/11 @ $104.25) | (B-, | ||||
| B3) | 02/15/15 | 8.500 | 462,300 | ||
| 4,934,725 | |||||
| Steel | |||||
| Producers/Products (1.8%) | |||||
| 800 | California Steel Industries, Inc., Global Senior Notes (Callable | ||||
| 03/04/10 @ $103.06) | (BB-, | ||||
| B1) | 03/15/14 | 6.125 | 764,000 | ||
| 700 | Ryerson, Inc., Global Senior Secured Notes (Callable 11/01/11 @ | ||||
| $106.00) | (CCC+, | ||||
| Caa1) | 11/01/15 | 12.000 | 729,750 | ||
| 745 | Steel Dynamics, Inc., Global Senior Unsecured Notes (Callable | ||||
| 04/15/12 @ $103.88) | (BB+, | ||||
| Ba2) | 04/15/16 | 7.750 | 765,487 | ||
| 525 | Tube City IMS Corp., Global Company Guaranteed Notes (Callable 02/01/11 | ||||
| @ $104.88) | (B-, | ||||
| Caa1) | 02/01/15 | 9.750 | 522,375 | ||
| 2,781,612 | |||||
| Support-Services (3.8%) | |||||
| 800 | Ashtead Capital, Inc., Rule 144A, Secured Notes (Callable | ||||
| 08/15/11 @ $104.50) | (B+, | ||||
| B2) | 08/15/16 | 9.000 | 812,000 | ||
| 525 | DynCorp International, Series B, Global Senior Subordinated | ||||
| Notes (Callable 02/15/10 @ $102.38) | (B+, | ||||
| B1) | 02/15/13 | 9.500 | 534,187 | ||
| 500 | Iron Mountain, Inc., Senior Subordinated Notes (Callable | ||||
| 08/15/14 @ $104.19) | (B+, | ||||
| B2) | 08/15/21 | 8.375 | 521,250 | ||
| 250 | JohnsonDiversey Holdings, Inc., Rule 144A, Senior Unsecured | ||||
| Notes (Callable 11/15/14 @ $104.13) | (B-, | ||||
| B3) | 11/15/19 | 8.250 | 260,625 | ||
| 750 | Mobile Mini, Inc., Global Company Guaranteed Notes (Callable | ||||
| 08/01/10 @ $104.88) | (B+, | ||||
| B2) | 08/01/14 | 9.750 | 783,750 | ||
| 475 | Sothebys, Global Company Guaranteed Notes | (B, | |||
| B1) | 06/15/15 | 7.750 | 470,250 | ||
| 600 | The Hertz Corp., Global Company Guaranteed Notes (Callable 01/01/11 @ | ||||
| $105.25) | (CCC+, | ||||
| B3) | 01/01/16 | 10.500 | 631,500 | ||
| 1,150 | Travelport LLC, Global Company Guaranteed Notes (Callable 09/01/11 @ | ||||
| $105.94)§ | (CCC, | ||||
| Caa1) | 09/01/16 | 11.875 | 1,267,875 | ||
| 475 | United Rentals North America, Inc., Global Company Guaranteed | ||||
| Notes (Callable 02/15/10 @ $102.33) | (CCC+, | ||||
| Caa1) | 02/15/14 | 7.000 | 444,719 | ||
| 300 | United Rentals North America, Inc., Global Company Guaranteed | ||||
| Notes (Callable 06/15/13 @ $105.44) | (B, | ||||
| B3) | 06/15/16 | 10.875 | 328,875 | ||
| 6,055,031 | |||||
| Telecom | |||||
| - Integrated/Services (5.9%) | |||||
| 400 | Cincinnati Bell, Inc., Global Company Guaranteed Notes (Callable | ||||
| 01/15/11 @ $101.40) | (B-, | ||||
| B2) | 01/15/14 | 8.375 | 405,000 | ||
| 250 | Cincinnati Bell, Inc., Global Company Guaranteed Notes (Callable | ||||
| 02/15/10 @ $103.50) | (B+, | ||||
| Ba3) | 02/15/15 | 7.000 | 244,375 | ||
| 525 | Frontier Communications Corp., Senior Unsecured Notes | (BB, | |||
| Ba2) | 10/01/18 | 8.125 | 531,563 | ||
| 700 | HNS Finance Corp., Global Company Guaranteed Notes (Callable 04/15/10 | ||||
| @ $104.75) | (B, | ||||
| B1) | 04/15/14 | 9.500 | 719,250 | ||
| 2,075 | Intelsat Corp., Global Senior Unsecured Notes (Callable 08/15/10 @ | ||||
| $103.13) | (BB-, | ||||
| B3) | 08/15/14 | 9.250 | 2,126,875 | ||
| 1,375 | Level 3 Financing, Inc., Global Company Guaranteed Notes | ||||
| (Callable 02/15/10 @ $101.00)# | (CCC, | ||||
| Caa1) | 02/15/15 | 4.601 | 1,096,562 | ||
| 325 | Level 3 Financing, Inc., Rule 144A, Company Guaranteed | ||||
| Notes (Callable 02/01/14 @ $105.00) | (CCC, | ||||
| Caa1) | 02/01/18 | 10.000 | 305,500 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105569\10-4819-6\task3991051\4819-6-bi-03.htm',USER='105569',CD='Mar 13 12:51 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Telecom - Integrated/Services | |||||
| $ 1,050 | Paetec Holding Corp., Global Company Guaranteed | ||||
| Notes (Callable 07/15/11 @ $104.75) | (CCC+, Caa1) | 07/15/15 | 9.500 | $ 1,021,125 | |
| 525 | Qwest Communications International, Inc., | ||||
| Rule 144A, Company Guaranteed Notes (Callable 10/01/12 @ $104.00) | (B+, Ba3) | 10/01/15 | 8.000 | 546,000 | |
| 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 | 1,264,062 | |
| 550 | Windstream Corp., Global Company Guaranteed Notes | ||||
| (Callable 08/01/11 @ $104.31) | (BB-, Ba3) | 08/01/16 | 8.625 | 567,188 | |
| 550 | Windstream Corp., Rule 144A, Company | ||||
| Guaranteed Notes | (BB-, Ba3) | 11/01/17 | 7.875 | 545,875 | |
| 9,373,375 | |||||
| Telecom - Wireless (4.0%) | |||||
| 650 | Cricket Communications, Inc., Global Company | ||||
| Guaranteed Notes (Callable 11/01/10 @ $104.69)§ | (B-, B3) | 11/01/14 | 9.375 | 650,000 | |
| 250 | Cricket Communications, Inc., Global Senior | ||||
| Secured Notes (Callable 05/15/12 @ $105.81) | (B+, Ba2) | 05/15/16 | 7.750 | 252,812 | |
| 1,000 | GeoEye, Inc., Rule 144A, Senior Secured | ||||
| Notes (Callable 10/01/13 @ $104.81) | (B, B1) | 10/01/15 | 9.625 | 1,025,000 | |
| 675 | MetroPCS Wireless, Inc., Global Company | ||||
| Guaranteed Notes (Callable 11/01/10 @ $104.63) | (B, B3) | 11/01/14 | 9.250 | 682,594 | |
| 2,648 | Nextel Communications, Inc., Series F, | ||||
| Company Guaranteed Notes (Callable 03/15/10 @ $101.49) | (BB, Ba2) | 03/15/14 | 5.950 | 2,356,720 | |
| 1,525 | Sprint Nextel Corp., Senior Unsecured Notes | (BB, Ba3) | 12/01/16 | 6.000 | 1,334,375 |
| 6,301,501 | |||||
| Textiles & Apparel (0.4%) | |||||
| 550 | Levi Strauss & Co., Global Senior Notes | ||||
| (Callable 01/15/11 @ $103.25) | (B+, B2) | 01/15/15 | 9.750 | 577,500 | |
| Theaters & Entertainment (1.2%) | |||||
| 1,125 | AMC Entertainment, Inc., Global Company | ||||
| Guaranteed Notes (Callable 03/01/10 @ $102.67) | (CCC+, Caa1) | 03/01/14 | 8.000 | 1,108,125 | |
| 750 | AMC Entertainment, Inc., Global Senior | ||||
| Unsecured Notes (Callable 06/01/14 @ $104.38) | (B-, B1) | 06/01/19 | 8.750 | 780,000 | |
| 1,888,125 | |||||
| Tobacco (0.3%) | |||||
| 500 | Alliance One International, Inc., | ||||
| Rule 144A, Senior Unsecured Notes (Callable 07/15/13 @ $105.00) | (B+, B2) | 07/15/16 | 10.000 | 532,500 | |
| Transportation - Excluding Air/Rail (0.3%) | |||||
| 525 | Teekay Corp., Senior Unsecured Notes | (BB, B1) | 01/15/20 | 8.500 | 535,500 |
| TOTAL U.S. CORPORATE BONDS (Cost $183,004,894) | 176,702,716 | ||||
| FOREIGN CORPORATE BONDS (11.5%) | |||||
| Aerospace & Defense (0.3%) | |||||
| 400 | Bombardier, Inc., Rule 144A, Senior | ||||
| Unsecured Notes (Canada) | (BB+, Ba2) | 05/01/14 | 6.300 | 404,000 | |
| Chemicals (1.2%) | |||||
| 1,150 | Cognis GMBH, Rule 144A, Senior Secured Notes | ||||
| (Germany)# | (B-, B2) | 09/15/13 | 2.254 | 1,092,500 | |
| 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 | 793,125 | |
| 1,885,625 | |||||
| Computer Hardware (0.2%) | |||||
| 325 | Seagate Technology International, Rule 144A, | ||||
| Secured Notes (Callable 05/01/13 @ $105.00) (Cayman Islands) | (BB+, Ba1) | 05/01/14 | 10.000 | 373,750 | |
| Electronics (0.5%) | |||||
| 650 | Avago Technologies Finance, Global Company | ||||
| Guaranteed Notes (Callable 12/01/10 @ $105.94) (Singapore) | (B+, Ba3) | 12/01/15 | 11.875 | 723,125 | |
| 1,000 | New Asat, Ltd., Global Company Guaranteed Notes | ||||
| (Callable 02/01/10 @ $100.00) (Cayman Islands)ø | (NR, NR) | 02/01/11 | 9.250 | 1,250 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105569\10-4819-6\task3991051\4819-6-bi-03.htm',USER='105569',CD='Mar 13 12:51 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| FOREIGN CORPORATE BONDS | |||||
| Electronics | |||||
| $ 50 | NXP Funding LLC, Series EXCH, Global Senior | ||||
| Secured Notes (Callable 10/15/10 @ $103.94) (Netherlands) | (CC, C) | 10/15/14 | 7.875 | $ 44,750 | |
| 769,125 | |||||
| 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 | 774,375 | |
| Environmental (0.4%) | |||||
| 650 | Waste Services, Inc., Global Senior | ||||
| Subordinated Notes (Callable 04/15/10 @ $103.17) (Canada) | (B-, Caa1) | 04/15/14 | 9.500 | 676,000 | |
| Forestry & Paper (1.4%) | |||||
| 2,325 | Abitibi-Consolidated Co. of Canada, Global Company | ||||
| Guaranteed Notes (Canada)ø | (NR, NR) | 06/15/11 | 7.750 | 511,500 | |
| 500 | Smurfit Kappa Acquisitions, Rule 144A, Senior | ||||
| Secured Notes (Callable 11/15/13 @ $103.63) (Ireland) | (BB, Ba2) | 11/15/17 | 7.250 | 691,500 | |
| 1,000 | Smurfit Kappa Funding PLC, Global Senior Subordinated | ||||
| Notes (Callable 03/04/10 @ $103.88) (Ireland) | (B, B2) | 04/01/15 | 7.750 | 980,000 | |
| 2,183,000 | |||||
| Gaming (1.0%) | |||||
| 600 | Codere Finance Luxembourg SA, Rule 144A, | ||||
| Senior Secured Notes (Callable 06/15/10 @ $104.13) (Luxembourg) | (B, B2) | 06/15/15 | 8.250 | 759,956 | |
| 600 | Peermont Global Proprietary, Ltd., Rule 144A, | ||||
| Senior Secured Notes (Callable 04/30/10 @ $105.81) (South Africa) | (B, B3) | 04/30/14 | 7.750 | 752,658 | |
| 1,512,614 | |||||
| Media - Cable (0.9%) | |||||
| 325 | Unitymedia GmbH, Rule 144A, Senior Secured | ||||
| Notes (Callable 02/15/10 @ $105.06) (Germany) | (B+, B2) | 02/15/15 | 10.125 | 477,708 | |
| 200 | UPC Germany GmbH, Rule 144A, Senior Secured | ||||
| Notes (Callable 12/01/12 @ $108.22) (Germany) | (BB-, B1) | 12/01/17 | 8.125 | 284,940 | |
| 86 | Virgin Media Finance PLC, Global Company | ||||
| Guaranteed Notes (Callable 04/15/10 @ $103.25) (United Kingdom) | (B, B2) | 04/15/14 | 9.750 | 143,730 | |
| 150 | Virgin Media Finance PLC, Global Company | ||||
| Guaranteed Notes (Callable 08/15/11 @ $104.56) (United Kingdom) | (B, B2) | 08/15/16 | 9.125 | 156,750 | |
| 300 | Virgin Media Finance PLC, Global Company | ||||
| Guaranteed Notes (Callable 10/15/14 @ $104.19) (United Kingdom) | (B, B2) | 10/15/19 | 8.375 | 309,000 | |
| 1,372,128 | |||||
| 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 | 603,000 | |
| Metals & Mining - Excluding Steel (1.1%) | |||||
| 200 | Teck Resources, Ltd., Global Senior Secured Notes | ||||
| (Callable 05/15/13 @ $105.13) (Canada) | (BB+, Ba2) | 05/15/16 | 10.250 | 229,500 | |
| 875 | Teck Resources, Ltd., Global Senior Secured Notes | ||||
| (Callable 05/15/14 @ $105.38) (Canada) | (BB+, Ba2) | 05/15/19 | 10.750 | 1,034,688 | |
| 450 | Teck Resources, Ltd., Global Senior Secured Notes | ||||
| (Canada) | (BB+, Ba2) | 05/15/14 | 9.750 | 516,375 | |
| 1,780,563 | |||||
| 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 | 473,813 | |
| Packaging (0.2%) | |||||
| 275 | Impress Holdings BV, Rule 144A, Company | ||||
| Guaranteed Notes (Callable 09/15/10 @ $104.63) (Netherlands) | (NR, NR) | 09/15/14 | 9.250 | 398,481 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105569\10-4819-6\task3991051\4819-6-bi-03.htm',USER='105569',CD='Mar 13 12:51 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| FOREIGN CORPORATE BONDS | |||||
| 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 | $ 1,554,094 | |
| 550 | Hellas Telecommunications II SCA, Rule 144A, | ||||
| Subordinated Notes (Luxembourg)#ø | (NR, C) | 01/15/15 | 6.034 | 19,250 | |
| 350 | Intelsat Jackson Holdings Ltd. Rule 144A | ||||
| (Bermuda) | (B+, B3) | 11/01/19 | 8.500 | 359,625 | |
| 25 | Intelsat Subsidiary Holding Co., Ltd., Global | ||||
| Company Guaranteed Notes (Callable 01/15/11 @ $102.96) (Bermuda) | (B+, B3) | 01/15/15 | 8.875 | 25,750 | |
| 1,958,719 | |||||
| Telecom - Wireless (0.4%) | |||||
| 400 | Wind Acquisition Finance SA, Rule 144A, | ||||
| Company Guaranteed Notes (Callable 07/15/13 @ $105.88) (Luxembourg) | (B+, B2) | 07/15/17 | 11.750 | 599,069 | |
| Textiles & Apparel (0.0%) | |||||
| 75 | IT Holding Finance SA, Rule 144A, Company | ||||
| Guaranteed Notes (Luxembourg)ø | (NR, NR) | 11/15/12 | 9.875 | 18,764 | |
| Transportation - Excluding Air/Rail (1.5%) | |||||
| 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 | 1,248,437 | |
| 1,075 | Ship Finance International, Ltd., Global Company | ||||
| Guaranteed Notes (Callable 12/15/10 @ $102.83) (Bermuda) | (B+, B1) | 12/15/13 | 8.500 | 1,054,844 | |
| 2,303,281 | |||||
| TOTAL FOREIGN CORPORATE BONDS (Cost $19,873,055) | 18,086,307 | ||||
| BANK LOANS (1.8%) | |||||
| Electronics (0.6%) | |||||
| 1,069 | AVAYA, Inc. | (NR, NR) | 10/24/14 | 2.750 | 957,496 |
| Energy - Exploration & Production (0.7%) | |||||
| 1,159 | ATP Oil & Gas | (NR, NR) | 07/15/14 | 5.750 | 1,161,817 |
| Gaming (0.3%) | |||||
| 489 | CCM Merger, Inc. | (NR, NR) | 07/21/12 | 8.500 | 481,938 |
| Pharmaceuticals (0.2%) | |||||
| 434 | Nycomed Holdings Aps | (NR, NR) | 12/29/13 | 7.350 | 403,197 |
| TOTAL BANK LOANS (Cost $2,484,207) | 3,004,448 | ||||
| Number of Shares | |||||
| COMMON | |||||
| STOCKS (0.4%) | |||||
| Banks (0.3%) | |||||
| 13,710 | CIT | ||||
| Group, Inc.* | 436,252 | ||||
| Building Products (0.0%) | |||||
| 437 | Nortek, Inc.* | 17,043 | |||
| Chemicals (0.1%) | |||||
| 4,893 | Huntsman | ||||
| Corp. | 59,646 | ||||
| Printing & | |||||
| Publishing (0.0%) | |||||
| 1,321 | SuperMedia, Inc.*§ | 47,965 | |||
| TOTAL | |||||
| COMMON STOCKS (Cost $1,849,547) | 560,906 | ||||
| PREFERRED | |||||
| STOCKS (0.2%) | |||||
| Banks (0.2%) | |||||
| 473 | GMAC, Inc., | ||||
| Rule 144A (Callable 12/31/11 @ $1,000) | 338,077 | ||||
| Media | |||||
| - Broadcast (0.0%) | |||||
| 17,257 | CMP | ||||
| Susquehanna Radio Holdings Corp., Rule 144A, Series A* | 17 | ||||
| TOTAL PREFERRED STOCKS (Cost | |||||
| $98,995) | 338,094 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105569\10-4819-6\task3991051\4819-6-bi-03.htm',USER='105569',CD='Mar 13 12:51 2010'
| Number of Shares | Value | ||
|---|---|---|---|
| WARRANTS (0.0%) | |||
| Building Products (0.0%) | |||
| 1,152 | Nortek, Inc., | ||
| strike price $1.00, expires 12/07/14*^ | $ 1,152 | ||
| Diversified | |||
| Financial Services (0.0%) | |||
| 19,721 | CNB | ||
| Capital Trust I, Rule 144A, strike price $0.00, expires 03/23/19* | 20 | ||
| Media | |||
| - Cable (0.0%) | |||
| 1,776 | Charter | ||
| Communications, Inc., strike price $5.00, expires 11/30/14* | 12,476 | ||
| TOTAL | |||
| WARRANTS (Cost $10,032) | 13,648 | ||
| SHORT-TERM | |||
| INVESTMENT (5.8%) | |||
| 9,201,582 | State | ||
| Street Navigator Prime Portfolio§§ (Cost $9,201,582) | 9,201,582 | ||
| TOTAL | |||
| INVESTMENTS AT VALUE (131.6%) (Cost | |||
| $216,522,312) | 207,907,701 | ||
| LIABILITIES | |||
| IN EXCESS OF OTHER ASSETS (-31.6%) | (49,957,126 | ) | |
| NET | |||
| ASSETS (100.0%) | $ 157,950,575 |
| Forward
Foreign Currency to be Purchased (Local) | | Forward Foreign Currency to be Sold (Local) | | Expiration Date | Value on Settlement Date | | Current Value | | Unrealized Appreciation |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Open Forward Foreign Currency Contracts | | | | | | | | | |
| USD | 5,461,840 | EUR | 3,768,000 | 04/15/10 | $ (5,461,840 | ) | $ (5,236,367 | ) | $ 225,473 |
| USD | 146,923 | GBP | 90,000 | 04/15/10 | (146,923 | ) | (144,141 | ) | 2,782 |
| Total | | | | | | | | | $ 228,255 |
*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 January 31, 2010, these
securities amounted to a value of $53,578,874 or 33.9% of net assets. |
| # | Variable
rate obligations The interest rate is the rate as of January 31, 2010. |
| + | Step
Bond The interest rate is as of January 31, 2010 and will reset at a
future date. |
| ø | Bond
is currently in default. |
| * | Non-income
producing security. |
| ^ | Not
readily marketable security; security is valued at fair value as determined
in good faith by, or under the direction of, the Board of Trustees. |
| § | Security
or portion thereof is out on loan. |
| §§ | Represents
security purchased with cash collateral received for securities on loan. |
| 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 January 31, 2010, the Fund held less than 0.01% 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 $1,152 and fair value of $1,152. 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.
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
SEQ.=1,FOLIO='',FILE='C:\JMS\105569\10-4819-6\task3991051\4819-6-bi-05.htm',USER='105569',CD='Mar 13 12:52 2010'
assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entitys own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
| · | Level 1 quoted prices in
active markets for identical investments |
| --- | --- |
| · | Level 2 other significant
observable inputs (including quoted prices for similar investments, interest
rates, prepayment speeds, credit risk, etc.) |
| · | Level 3 significant
unobservable inputs (including the Funds own assumptions in determining the
fair value of investments) |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of January 31, 2010 in valuing the Funds investments carried at value:
| Level 1 | Level 2 | Level 3 | Grand Total | |
|---|---|---|---|---|
| Investments In Securities | ||||
| U.S. Corporate Bonds | ||||
| Aerospace & Defense | $ | $ 1,614,000 | $ | $ 1,614,000 |
| Auto Loans | | 4,510,853 | | 4,510,853 |
| Auto Parts & Equipment | | 3,811,367 | | 3,811,367 |
| Banks | | 5,800,093 | | 5,800,093 |
| Beverages | | 787,250 | | 787,250 |
| Building & Construction | | 2,336,850 | | 2,336,850 |
| Building Materials | | 4,965,162 | | 4,965,162 |
| Chemicals | | 5,740,392 | | 5,740,392 |
| Computer Hardware | | 794,063 | | 794,063 |
| Consumer Products | | 1,674,313 | | 1,674,313 |
| Diversified Capital Goods | | 6,355,687 | | 6,355,687 |
| Electric - Generation | | 9,063,734 | | 9,063,734 |
| Electric - Integrated | | 1,964,125 | | 1,964,125 |
| Electronics | | 2,925,187 | | 2,925,187 |
| Energy - Exploration & Production | | 10,688,938 | | 10,688,938 |
| Environmental | | 381,500 | | 381,500 |
| Food & Drug Retailers | | 1,484,063 | | 1,484,063 |
| Food - Wholesale | | 2,019,219 | | 2,019,219 |
| Forestry & Paper | | 5,130,269 | | 5,130,269 |
| Gaming | | 11,100,944 | | 11,100,944 |
| Gas Distribution | | 5,218,885 | | 5,218,885 |
| Health Facilities | | 11,336,237 | | 11,336,237 |
| Health Services | | 2,153,938 | | 2,153,938 |
| Hotels | | 1,998,063 | | 1,998,063 |
| Household & Leisure Products | | 453,938 | | 453,938 |
| Investments & Misc. Financial Services | | 651,000 | | 651,000 |
| Leisure | | 415,450 | | 415,450 |
| Machinery | | 1,466,375 | | 1,466,375 |
| Media - Broadcast | | 4,340,906 | | 4,340,906 |
| Media - Cable | | 9,492,010 | | 9,492,010 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105569\10-4819-6\task3991051\4819-6-bi-05.htm',USER='105569',CD='Mar 13 12:52 2010'
| Media - Diversified | | 597,000 | | 597,000 |
|---|---|---|---|---|
| Media - Services | | 1,497,875 | | 1,497,875 |
| Metals & Mining - Excluding Steel | | 2,281,844 | | 2,281,844 |
| Oil Field Equipment & Services | | 4,821,375 | | 4,821,375 |
| Oil Refining & Marketing | | 686,250 | | 686,250 |
| Packaging | | 3,255,497 | | 3,255,497 |
| Pharmaceuticals | | 562,310 | | 562,310 |
| Printing & Publishing | | 3,217,385 | | 3,217,385 |
| Railroads | | 620,250 | | 620,250 |
| Restaurants | | 538,125 | | 538,125 |
| Software/Services | | 4,970,125 | | 4,970,125 |
| Specialty Retail | | 4,934,725 | | 4,934,725 |
| Steel Producers/Products | | 2,781,612 | | 2,781,612 |
| Support-Services | | 6,055,031 | | 6,055,031 |
| Telecom - Integrated/Services | | 9,373,375 | | 9,373,375 |
| Telecom - Wireless | | 6,301,501 | | 6,301,501 |
| Textiles & Apparel | | 577,500 | | 577,500 |
| Theaters & Entertainment | | 1,888,125 | | 1,888,125 |
| Tobacco | | 532,500 | | 532,500 |
| Transportation - Excluding Air/Rail | | 535,500 | | 535,500 |
| Foreign Corporate Bonds | ||||
| Aerospace & Defense | | 404,000 | | 404,000 |
| Chemicals | | 1,885,625 | | 1,885,625 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105569\10-4819-6\task3991051\4819-6-bi-05.htm',USER='105569',CD='Mar 13 12:52 2010'
| Computer Hardware | | 373,750 | | 373,750 |
|---|---|---|---|---|
| Electronics | | 769,125 | | 769,125 |
| Energy - Exploration & Production | | 774,375 | | 774,375 |
| Environmental | | 676,000 | | 676,000 |
| Forestry & Paper | | 2,183,000 | | 2,183,000 |
| Gaming | | 1,512,614 | | 1,512,614 |
| Media - Cable | | 1,372,128 | | 1,372,128 |
| Media - Diversified | | 603,000 | | 603,000 |
| Metals & Mining - Excluding Steel | | 1,780,563 | | 1,780,563 |
| Oil Field Equipment & Services | | 473,813 | | 473,813 |
| Packaging | | 398,481 | | 398,481 |
| Telecom - Integrated/Services | | 1,958,719 | | 1,958,719 |
| Telecom - Wireless | | 599,069 | | 599,069 |
| Textiles & Apparel | | 18,764 | | 18,764 |
| Transportation - Excluding Air/Rail | | 2,303,281 | | 2,303,281 |
| Bank Loans | ||||
| Electronics | | 957,496 | | 957,496 |
| Energy - Exploration & Production | | 1,161,817 | | 1,161,817 |
| Gaming | | 481,938 | | 481,938 |
| Pharmaceuticals | | 403,197 | | 403,197 |
| Common Stocks | ||||
| Banks | 436,252 | | | 436,252 |
| Building Products | 17,043 | | | 17,043 |
| Chemicals | 59,646 | | | 59,646 |
| Printing & Publishing | 47,965 | | | 47,965 |
| Preferred Stocks | ||||
| Banks | | 338,077 | | 338,077 |
| Media - Broadcast | 17 | | 17 | |
| Warrants | ||||
| Building Products | | | 1,152 | 1,152 |
| Diversified Financial Services | | 20 | | 20 |
| Media - Cable | 12,476 | | | 12,476 |
| Short-Term Investments | 9,201,582 | | | 9,201,582 |
| Other Financial Instruments | ||||
| Forward Foreign Currency Contracts | | 228,255 | | 228,255 |
| $ 9,774,964 | $ 198,359,840 | $ 1,152 | $ 208,135,956 |
*Other financial instruments include futures, forwards and swap contracts.
As of January 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.
Federal Income Tax Cost At January 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 $216,522,312, $11,522,905, $(20,137,516) and $(8,614,611) 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\105569\10-4819-6\task3991051\4819-6-bi-05.htm',USER='105569',CD='Mar 13 12:52 2010'
*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\pgeetha\10-4819-6\task3995804\4819-6-ga.htm',USER='105264',CD='Mar 16 23:44 2010'
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: | March 18, 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: | March 18, 2010 |
| /s/Michael A. Pignataro | |
|---|---|
| Name: | Michael A. Pignataro |
| Title: | Chief Financial Officer |
| Date: | March 18, 2010 |
SEQ.=1,FOLIO='',FILE='C:\JMS\pgeetha\10-4819-6\task3995804\4819-6-jc.htm',USER='105264',CD='Mar 17 00:50 2010'
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