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: |
811-08777 |
|
||||
|
|
||||||
|
CREDIT SUISSE HIGH YIELD BOND FUND |
||||||
|
(Exact name of registrant as specified in charter) |
||||||
|
|
||||||
|
c/o Credit Suisse Asset Management, LLC 466 Lexington Avenue New York, New York |
|
10017 |
||||
|
(Address of principal executive offices) |
|
(Zip code) |
||||
|
|
||||||
|
J. Kevin Gao, Esq. 466 Lexington Avenue New York, New York 10017 |
||||||
|
(Name and address of agent for service) |
||||||
|
|
||||||
|
Registrant’s telephone number, including area code: |
(212) 875-3500 |
|
||||
|
|
||||||
|
Date of fiscal year-end: |
October 31st |
|
||||
|
|
|
|
||||
|
Date of reporting period: |
May 1, 2006 to July 31, 2006 |
|
||||
Credit Suisse High Yield Bond Fund
Schedule of Investments
July 31, 2006 (unaudited)
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
U.S. CORPORATE BONDS (131.2%) |
|
|
|
|
|
|
|
|
|
||||
|
Aerospace & Defense (1.5%) |
|
|
|
|
|
|
|
|
|
||||
|
$ |
650 |
|
DRS Technologies, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.81)§ |
|
(B, B3) |
|
02/01/18 |
|
7.625 |
|
$ |
651,625 |
|
|
725 |
|
DRS Technologies, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $103.44)§ |
|
(B, B3) |
|
11/01/13 |
|
6.875 |
|
705,063 |
|
||
|
350 |
|
K&F Acquisition, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $103.88) |
|
(B-, Caa1) |
|
11/15/14 |
|
7.750 |
|
345,625 |
|
||
|
1,800 |
|
L-3 Communications Corp., Global Senior Subordinated Notes (Callable 01/15/10 @ $102.94) |
|
(BB+, Ba3) |
|
01/15/15 |
|
5.875 |
|
1,696,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,398,813 |
|
||
|
Agriculture (0.6%) |
|
|
|
|
|
|
|
|
|
||||
|
1,400 |
|
Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 11/01/07 @ $108.00)‡ |
|
(B, B3) |
|
11/01/10 |
|
10.500 |
|
1,463,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Auto Loans (5.8%) |
|
|
|
|
|
|
|
|
|
||||
|
1,750 |
|
Ford Motor Credit Co., Global Notes§ |
|
(B+, Ba3) |
|
10/01/13 |
|
7.000 |
|
1,539,142 |
|
||
|
5,525 |
|
Ford Motor Credit Co., Notes |
|
(B+, Ba3) |
|
06/16/08 |
|
6.625 |
|
5,324,559 |
|
||
|
4,200 |
|
General Motors Acceptance Corp., Global Notes§ |
|
(BB, Ba1) |
|
05/15/09 |
|
5.625 |
|
4,018,018 |
|
||
|
2,250 |
|
General Motors Acceptance Corp., Global Notes§ |
|
(BB, Ba1) |
|
12/01/14 |
|
6.750 |
|
2,121,253 |
|
||
|
|
|
|
|
|
|
|
|
|
|
13,002,972 |
|
||
|
Automobile Parts & Equipment (4.3%) |
|
|
|
|
|
|
|
|
|
||||
|
575 |
|
Accuride Corp., Global Company Guaranteed Notes (Callable 02/01/10 @ $104.25) |
|
(B-, B3) |
|
02/01/15 |
|
8.500 |
|
537,625 |
|
||
|
1,025 |
|
Altra Industrial Motion, Inc., Global Secured Notes (Callable 12/01/08 @ $104.50)# |
|
(CCC+, B3) |
|
12/01/11 |
|
9.000 |
|
1,035,250 |
|
||
|
1,200 |
|
American Tire Distributors Holdings, Inc., Senior Notes (Callable 04/01/09 @ $105.38) |
|
(CCC+, Caa2) |
|
04/01/13 |
|
10.750 |
|
1,107,000 |
|
||
|
425 |
|
ArvinMeritor, Inc., Notes§ |
|
(BB, Ba2) |
|
03/01/12 |
|
8.750 |
|
413,312 |
|
||
|
400 |
|
Cooper-Standard Automotive, Inc., Global Company Guaranteed Notes (Callable 12/15/09 @ $104.19) |
|
(B-, Caa1) |
|
12/15/14 |
|
8.375 |
|
302,000 |
|
||
|
1,900 |
|
Goodyear Tire & Rubber Co., Global Senior Notes (Callable 07/01/10 @ $104.50)§ |
|
(B-, B3) |
|
07/01/15 |
|
9.000 |
|
1,838,250 |
|
||
|
1,075 |
|
Insurance Auto Auctions, Inc., Global Company Guaranteed Notes (Callable 04/01/09 @ $105.50) |
|
(CCC+, Caa1) |
|
04/01/13 |
|
11.000 |
|
1,069,625 |
|
||
|
500 |
|
Keystone Automotive Operations, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $104.88) |
|
(B-, Caa1) |
|
11/01/13 |
|
9.750 |
|
478,750 |
|
||
|
1,200 |
|
Stanadyne Corp., Global Senior Subordinated Notes (Callable 08/15/09 @ $105.00) |
|
(CCC+, Caa1) |
|
08/15/14 |
|
10.000 |
|
1,158,000 |
|
||
|
800 |
|
Tenneco Automotive, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $104.31)§ |
|
(B, B3) |
|
11/15/14 |
|
8.625 |
|
798,000 |
|
||
|
1,000 |
|
Visteon Corp., Global Senior Notes |
|
(B-, B3) |
|
08/01/10 |
|
8.250 |
|
925,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
9,662,812 |
|
||
|
Automotive (0.8%) |
|
|
|
|
|
|
|
|
|
||||
|
1,200 |
|
General Motors Corp., Global Debentures§ |
|
(B-, Caa1) |
|
07/15/33 |
|
8.375 |
|
990,000 |
|
||
|
1,075 |
|
General Motors Corp., Global Senior Notes§ |
|
(B-, Caa1) |
|
07/15/13 |
|
7.125 |
|
919,125 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,909,125 |
|
||
|
Beverages (0.3%) |
|
|
|
|
|
|
|
|
|
||||
|
600 |
|
Le-Natures, Inc., Rule 144A, Senior Subordinated Notes (Callable 06/15/08 @ $104.50)‡# |
|
(CCC+, B3) |
|
06/15/13 |
|
10.000 |
|
639,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Brokerage (0.4%) |
|
|
|
|
|
|
|
|
|
||||
|
775 |
|
E*TRADE Financial Corp., Global Senior Notes (Callable 06/15/08 @ $104.00)§ |
|
(B+, Ba2) |
|
06/15/11 |
|
8.000 |
|
800,188 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Building & Construction (2.2%) |
|
|
|
|
|
|
|
|
|
||||
|
625 |
|
K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes |
|
(BB, Ba1) |
|
01/15/16 |
|
6.250 |
|
537,500 |
|
||
|
775 |
|
KB Home, Senior Subordinated Notes |
|
(BB-, Ba2) |
|
12/15/08 |
|
8.625 |
|
807,092 |
|
||
|
900 |
|
Standard Pacific Corp., Global Senior Notes§ |
|
(BB, Ba2) |
|
08/15/15 |
|
7.000 |
|
770,625 |
|
||
|
1,200 |
|
Technical Olympic USA, Inc., Rule 144A, Global Senior Subordinated Notesठ|
|
(B-, B2) |
|
01/15/15 |
|
7.500 |
|
936,000 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
$ |
175 |
|
Technical Olympic USA, Inc., Rule 144A, Senior Notesठ|
|
(B+, Ba3) |
|
04/01/11 |
|
8.250 |
|
$ |
161,437 |
|
|
975 |
|
WCI Communities, Inc., Global Company Guaranteed Notes (Callable 05/01/07 @ $104.56) |
|
(B+, Ba3) |
|
05/01/12 |
|
9.125 |
|
882,375 |
|
||
|
1,000 |
|
William Lyon Homes, Inc., Company Guaranteed Notes (Callable 04/01/08 @ $105.38)§ |
|
(B, B2) |
|
04/01/13 |
|
10.750 |
|
925,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
5,020,029 |
|
||
|
Building Materials (5.0%) |
|
|
|
|
|
|
|
|
|
||||
|
1,000 |
|
Associated Materials, Inc., Global Senior Discount Notes (Callable 03/01/09 @ $105.62)+ |
|
(CCC, Caa3) |
|
03/01/14 |
|
0.000 |
|
575,000 |
|
||
|
1,300 |
|
Building Materials Corp., Global Secured Notes (Callable 08/01/09 @ $103.88) |
|
(B+, B2) |
|
08/01/14 |
|
7.750 |
|
1,228,500 |
|
||
|
750 |
|
Compression Polymers Holding Corp., Rule 144A, Senior Notes (Callable 07/01/09 @ $105.25)‡ |
|
(B-, B2) |
|
07/01/13 |
|
10.500 |
|
772,500 |
|
||
|
500 |
|
Dayton Superior Corp., Company Guaranteed Notes (Callable 06/15/07 @ $102.17) |
|
(CCC, Caa3) |
|
06/15/09 |
|
13.000 |
|
461,250 |
|
||
|
750 |
|
Dayton Superior Corp., Global Secured Notes (Callable 06/15/07 @ $102.81) |
|
(B-, Caa1) |
|
09/15/08 |
|
10.750 |
|
778,125 |
|
||
|
1,375 |
|
Goodman Global Holding Company, Inc., Global Senior Subordinated Notes (Callable 12/15/08 @ $103.94)§ |
|
(B-, B3) |
|
12/15/12 |
|
7.875 |
|
1,282,187 |
|
||
|
1,100 |
|
Interface, Inc., Global Senior Subordinated Notes (Callable 02/01/09 @ $104.75)§ |
|
(CCC, Caa1) |
|
02/01/14 |
|
9.500 |
|
1,133,000 |
|
||
|
325 |
|
Norcraft Companies, Global Senior Subordinated Notes (Callable 11/01/07 @ $104.50) |
|
(B-, B3) |
|
11/01/11 |
|
9.000 |
|
333,125 |
|
||
|
750 |
|
Norcraft Holdings, Global Senior Discount Notes (Callable 09/01/08 @ $104.88)+ |
|
(B-, Caa1) |
|
09/01/12 |
|
0.000 |
|
607,500 |
|
||
|
1,100 |
|
Nortek, Inc., Global Senior Subordinated Notes (Callable 09/01/09 @ $104.25) |
|
(CCC+, Caa1) |
|
09/01/14 |
|
8.500 |
|
1,034,000 |
|
||
|
1,000 |
|
NTK Holdings, Inc., Global Senior Discount Notes (Callable 09/01/09 @ $105.38)+ |
|
(CCC+, Caa2) |
|
03/01/14 |
|
0.000 |
|
705,000 |
|
||
|
1,250 |
|
Ply Gem Industries, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $104.50)§ |
|
(B-, B3) |
|
02/15/12 |
|
9.000 |
|
1,100,000 |
|
||
|
1,000 |
|
RMCC Acquisition Co., Rule 144A, Senior Subordinated Notes (Callable 11/01/08 @ $104.75)‡ |
|
(CCC+, Caa1) |
|
11/01/12 |
|
9.500 |
|
1,045,000 |
|
||
|
475 |
|
Werner Holding Co., Inc., Series A, Company Guaranteed Notes ø |
|
(CC, Caa3) |
|
11/15/07 |
|
10.000 |
|
144,875 |
|
||
|
|
|
|
|
|
|
|
|
|
|
11,200,062 |
|
||
|
Chemicals (5.3%) |
|
|
|
|
|
|
|
|
|
||||
|
650 |
|
BCP Crystal Holdings Corp., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.81) |
|
(B, B3) |
|
06/15/14 |
|
9.625 |
|
701,188 |
|
||
|
876 |
|
Crystal US Holdings, Global Senior Discount Notes (Callable 10/01/09 @ $105.25)+ |
|
(B, Caa2) |
|
10/01/14 |
|
0.000 |
|
687,660 |
|
||
|
1,000 |
|
Equistar Chemicals LP/ Equistar Funding Corp., Global Company Guaranteed Notes |
|
(BB-, B1) |
|
09/01/08 |
|
10.125 |
|
1,057,500 |
|
||
|
773 |
|
Huntsman LLC, Global Company Guaranteed Notes (Callable 07/15/08 @ $105.75)# |
|
(B, B2) |
|
07/15/12 |
|
11.500 |
|
865,760 |
|
||
|
1,100 |
|
IMC Global, Inc., Global Senior Notes (Callable 08/01/08 @ $105.44) |
|
(BB, Ba3) |
|
08/01/13 |
|
10.875 |
|
1,221,000 |
|
||
|
1,450 |
|
IMC Global, Inc., Series B, Global Company Guaranteed Notes (Callable 06/01/07 @ $103.75) |
|
(BB, Ba3) |
|
06/01/11 |
|
11.250 |
|
1,542,437 |
|
||
|
1,200 |
|
KI Holdings, Inc., Global Senior Discount Notes (Callable 11/15/09 @ $104.94)+ |
|
(B-, Caa1) |
|
11/15/14 |
|
0.000 |
|
885,000 |
|
||
|
1,375 |
|
Millennium America, Inc., Global Company Guaranteed Notes§ |
|
(BB-, B1) |
|
06/15/08 |
|
9.250 |
|
1,412,812 |
|
||
|
750 |
|
Nalco Co., Global Senior Notes (Callable 11/15/07 @ $103.88) |
|
(B-, B2) |
|
11/15/11 |
|
7.750 |
|
757,500 |
|
||
|
400 |
|
Nalco Finance Holdings, Inc., Global Senior Notes (Callable 02/01/09 @ $104.50)+ |
|
(B-, Caa2) |
|
02/01/14 |
|
0.000 |
|
308,000 |
|
||
|
925 |
|
PolyOne Corp., Global Company Guaranteed Notes (Callable 05/15/07 @ $105.31) |
|
(B+, B3) |
|
05/15/10 |
|
10.625 |
|
999,000 |
|
||
|
550 |
|
PolyOne Corp., Senior Notes |
|
(B+, B3) |
|
05/01/12 |
|
8.875 |
|
552,063 |
|
||
|
832 |
|
Terra Capital, Inc., Global Secured Notes (Callable 06/01/07 @ $105.75) |
|
(B-, B2) |
|
06/01/10 |
|
11.500 |
|
902,720 |
|
||
|
|
|
|
|
|
|
|
|
|
|
11,892,640 |
|
||
|
Consumer Products (4.2%) |
|
|
|
|
|
|
|
|
|
||||
|
1,450 |
|
AAC Group Holding Corp., Global Senior Discount Notes (Callable 10/01/08 @ $105.13)+ |
|
(CCC+, Caa1) |
|
10/01/12 |
|
0.000 |
|
1,145,500 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
$ |
1,000 |
|
ALH Finance LLC/ALH Finance Corp., Global Senior Subordinated Notes (Callable 01/15/09 @ 104.25)§ |
|
(CCC+, B3) |
|
01/15/13 |
|
8.500 |
|
$ |
980,000 |
|
|
1,525 |
|
Amscan Holdings, Inc., Global Senior Subordinated Notes (Callable 05/01/09 @ $104.38)§ |
|
(CCC+, Caa1) |
|
05/01/14 |
|
8.750 |
|
1,364,875 |
|
||
|
1,000 |
|
Del Laboratories, Inc., Global Company Guaranteed Notes (Callable 02/01/08 @ $104.00)§ |
|
(CCC, Caa2) |
|
02/01/12 |
|
8.000 |
|
855,000 |
|
||
|
1,250 |
|
Jarden Corp., Global Company Guaranteed Notes (Callable 05/01/07 @ $104.88) |
|
(B-, B3) |
|
05/01/12 |
|
9.750 |
|
1,306,250 |
|
||
|
1,300 |
|
Playtex Products, Inc., Global Company Guaranteed Notes (Callable 06/01/07 @ $103.13)§ |
|
(CCC+, Caa1) |
|
06/01/11 |
|
9.375 |
|
1,363,375 |
|
||
|
1,250 |
|
Prestige Brands, Inc., Global Senior Subordinated Notes (Callable 04/15/08 @ $104.63) |
|
(B-, B3) |
|
04/15/12 |
|
9.250 |
|
1,237,500 |
|
||
|
750 |
|
Revlon Consumer Products Corp., Global Senior Notes (Callable 04/01/08 @ $104.75)§ |
|
(CCC, Caa2) |
|
04/01/11 |
|
9.500 |
|
637,500 |
|
||
|
425 |
|
Samsonite Corp., Global Senior Subordinated Notes (Callable 06/01/08 @ $104.44) |
|
(B-, B3) |
|
06/01/11 |
|
8.875 |
|
443,062 |
|
||
|
|
|
|
|
|
|
|
|
|
|
9,333,062 |
|
||
|
Diversified Capital Goods (1.9%) |
|
|
|
|
|
|
|
|
|
||||
|
1,000 |
|
Amsted Industries, Inc., Rule 144A, Senior Notes (Callable 10/15/07 @ $105.12)‡ |
|
(B, B3) |
|
10/15/11 |
|
10.250 |
|
1,080,000 |
|
||
|
1,000 |
|
Blount, Inc., Senior Subordinated Notes (Callable 08/01/08 @ $104.44) |
|
(B, B2) |
|
08/01/12 |
|
8.875 |
|
1,015,000 |
|
||
|
1 |
|
JII Holdings LLC, Global Secured Notes (Callable 01/01/07 @ $103.25) |
|
(CCC-, Caa2) |
|
04/01/07 |
|
13.000 |
|
428 |
|
||
|
950 |
|
Sensus Metering Systems, Global Senior Subordinated Notes (Callable 12/15/08 @ $104.31) |
|
(B-, Caa1) |
|
12/15/13 |
|
8.625 |
|
931,000 |
|
||
|
1,350 |
|
TriMas Corp., Global Company Guaranteed Notes (Callable 06/15/07 @ $104.94) |
|
(CCC+, Caa1) |
|
06/15/12 |
|
9.875 |
|
1,252,125 |
|
||
|
|
|
|
|
|
|
|
|
|
|
4,278,553 |
|
||
|
Electric - Generation (3.6%) |
|
|
|
|
|
|
|
|
|
||||
|
1,000 |
|
AES Corp., Rule 144A, Senior Secured Notes (Callable 05/15/08 @ $104.50)‡ |
|
(BB-, Ba3) |
|
05/15/15 |
|
9.000 |
|
1,080,000 |
|
||
|
1,800 |
|
Calpine Generating Company LLC, Global Secured Notes (Callable 04/01/08 @ $103.50)ø# |
|
(D, NR) |
|
04/01/10 |
|
11.096 |
|
1,881,000 |
|
||
|
950 |
|
Dynegy Holdings, Inc., Rule 144A, Senior Unsecured Notes‡ |
|
(B-, B2) |
|
05/01/16 |
|
8.375 |
|
938,125 |
|
||
|
1,300 |
|
Edison Mission Energy, Senior Notes |
|
(B+, B1) |
|
06/15/09 |
|
7.730 |
|
1,326,000 |
|
||
|
675 |
|
Midwest Generation LLC, Global Secured Notes (Callable 05/01/09 @ $104.38) |
|
(B, B1) |
|
05/01/34 |
|
8.750 |
|
721,406 |
|
||
|
625 |
|
NRG Energy, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.69)§ |
|
(B-, B1) |
|
02/01/16 |
|
7.375 |
|
612,500 |
|
||
|
500 |
|
Reliant Energy, Inc., Secured Notes (Callable 12/15/09 @ $103.38) |
|
(B, B2) |
|
12/15/14 |
|
6.750 |
|
470,000 |
|
||
|
1,050 |
|
Reliant Resources, Inc., Global Secured Notes (Callable 07/15/08 @ $104.75) |
|
(B, B2) |
|
07/15/13 |
|
9.500 |
|
1,081,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
8,110,531 |
|
||
|
Electric - Integrated (0.9%) |
|
|
|
|
|
|
|
|
|
||||
|
725 |
|
Allegheny Energy Supply Company LLC, Global Notes |
|
(BB-, Ba3) |
|
03/15/11 |
|
7.800 |
|
763,062 |
|
||
|
800 |
|
CMS Energy Corp., Global Senior Notes |
|
(B+, B1) |
|
08/01/10 |
|
7.750 |
|
823,000 |
|
||
|
500 |
|
Sierra Pacific Resources, Global Senior Notes (Callable 03/15/09 @ $104.31) |
|
(B-, B1) |
|
03/15/14 |
|
8.625 |
|
531,981 |
|
||
|
|
|
|
|
|
|
|
|
|
|
2,118,043 |
|
||
|
Electronics (3.5%) |
|
|
|
|
|
|
|
|
|
||||
|
1,825 |
|
Amkor Technology, Inc., Global Senior Notes (Callable 05/15/08 @ $103.88) |
|
(CCC+, Caa1) |
|
05/15/13 |
|
7.750 |
|
1,619,687 |
|
||
|
240 |
|
Amkor Technology, Inc., Senior Unsecured Notes (Callable 06/01/11 @ $104.63) |
|
(CCC, Caa3) |
|
06/01/16 |
|
9.250 |
|
222,000 |
|
||
|
180 |
|
Ampex Corp., Secured Notes^ |
|
(NR, NR) |
|
08/15/08 |
|
12.000 |
|
180,337 |
|
||
|
1,000 |
|
GrafTech Finance, Inc., Global Company Guaranteed Notes (Callable 02/15/07 @ $105.13) |
|
(B-, B2) |
|
02/15/12 |
|
10.250 |
|
1,051,250 |
|
||
|
825 |
|
Hughes Network Systems LLC, Rule 144A, Senior Notes (Callable 04/15/10 @ $104.75)‡ |
|
(B-, B1) |
|
04/15/14 |
|
9.500 |
|
825,000 |
|
||
|
900 |
|
Magnachip Semiconductor, Global Senior Subordinated Notes (Callable 12/15/09 @ $104.00)§ |
|
(B-, B2) |
|
12/15/14 |
|
8.000 |
|
600,750 |
|
||
|
1,100 |
|
Sanmina-SCI Corp., Senior Subordinated Notes (Callable 03/01/11 @ $104.06) |
|
(B, B1) |
|
03/01/16 |
|
8.125 |
|
1,078,000 |
|
||
|
1,225 |
|
Spansion, Inc., Rule 144A, Senior Notes (Callable 01/15/11 @ $105.63)‡ |
|
(B, Caa1) |
|
01/15/16 |
|
11.250 |
|
1,258,688 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
$ |
1,000 |
|
Viasystems, Inc., Global Senior Subordinated Notes (Callable 01/15/08 @ $105.25) |
|
(CCC+, Caa2) |
|
01/15/11 |
|
10.500 |
|
$ |
995,000 |
|
|
|
|
|
|
|
|
|
|
|
|
7,830,712 |
|
||
|
Energy - Exploration & Production (2.6%) |
|
|
|
|
|
|
|
|
|
||||
|
1,933 |
|
Chesapeake Energy Corp., Senior Notes (Callable 01/15/09 @ $103.44) |
|
(BB, Ba2) |
|
01/15/16 |
|
6.875 |
|
1,875,010 |
|
||
|
1,625 |
|
El Paso Performance-Link, Rule 144A, Notesठ|
|
(B+, B2) |
|
07/15/11 |
|
7.750 |
|
1,643,281 |
|
||
|
950 |
|
El Paso Production Holding Co., Global Company Guaranteed Notes (Callable 06/01/08 @ $103.88) |
|
(B, B3) |
|
06/01/13 |
|
7.750 |
|
970,187 |
|
||
|
423 |
|
Magnum Hunter Resources, Inc., Global Company Guaranteed Notes (Callable 03/15/07 @ $104.80) |
|
(B+, Ba3) |
|
03/15/12 |
|
9.600 |
|
448,909 |
|
||
|
200 |
|
Range Resources Corp., Global Company Guaranteed Notes (Callable 03/15/10 @ $103.19) |
|
(B, B2) |
|
03/15/15 |
|
6.375 |
|
190,500 |
|
||
|
600 |
|
Whiting Petroleum Corp., Global Senior Subordinated Notes (Callable 05/01/08 @ $103.63) |
|
(B-, B2) |
|
05/01/12 |
|
7.250 |
|
598,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
5,726,387 |
|
||
|
Environmental (2.4%) |
|
|
|
|
|
|
|
|
|
||||
|
1,000 |
|
Aleris International, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $104.50) |
|
(B, B3) |
|
11/15/14 |
|
9.000 |
|
1,130,000 |
|
||
|
3,275 |
|
Allied Waste North America, Inc., Series B, Global Senior Notes (Callable 04/15/09 @ $103.69)§ |
|
(B+, Caa1) |
|
04/15/14 |
|
7.375 |
|
3,135,812 |
|
||
|
1,175 |
|
Waste Services, Inc., Global Senior Subordinated Notes (Callable 04/15/09 @ $104.75) |
|
(CCC, Caa2) |
|
04/15/14 |
|
9.500 |
|
1,204,375 |
|
||
|
|
|
|
|
|
|
|
|
|
|
5,470,187 |
|
||
|
Food & Drug Retailers (2.0%) |
|
|
|
|
|
|
|
|
|
||||
|
1,750 |
|
Duane Reade, Inc., Global Senior Subordinated Notes (Callable 08/01/08 @ $104.88) |
|
(CC, Caa3) |
|
08/01/11 |
|
9.750 |
|
1,456,875 |
|
||
|
250 |
|
Ingles Markets, Inc., Global Company Guaranteed Notes (Callable 12/01/06 @ $104.44) |
|
(B, B3) |
|
12/01/11 |
|
8.875 |
|
262,500 |
|
||
|
1,000 |
|
Rite Aid Corp., Global Company Guaranteed Notes (Callable 01/15/10 @ $103.75)§ |
|
(B+, B2) |
|
01/15/15 |
|
7.500 |
|
987,500 |
|
||
|
1,775 |
|
Stater Brothers Holdings, Inc., Global Senior Notes (Callable 06/15/08 @ $104.06)§ |
|
(BB-, B1) |
|
06/15/12 |
|
8.125 |
|
1,770,563 |
|
||
|
|
|
|
|
|
|
|
|
|
|
4,477,438 |
|
||
|
Food - Wholesale (1.3%) |
|
|
|
|
|
|
|
|
|
||||
|
164 |
|
Birds Eye Foods, Inc., Company Guaranteed Notes (Callable 11/01/06 @ $100.00) |
|
(B-, B3) |
|
11/01/08 |
|
11.875 |
|
167,895 |
|
||
|
950 |
|
National Beef Packing Company LLC, Global Senior Notes (Callable 08/01/07 @ $105.25) |
|
(B-, B3) |
|
08/01/11 |
|
10.500 |
|
990,375 |
|
||
|
1,000 |
|
Pinnacle Foods Holding Corp., Global Senior Subordinated Notes (Callable 12/01/08 @ $104.13)§ |
|
(B-, B3) |
|
12/01/13 |
|
8.250 |
|
985,000 |
|
||
|
850 |
|
Swift & Co., Global Senior Subordinated Notes (Callable 10/01/06 @ $106.25)§ |
|
(CCC+, Caa1) |
|
01/01/10 |
|
12.500 |
|
875,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,018,770 |
|
||
|
Forestry & Paper (3.5%) |
|
|
|
|
|
|
|
|
|
||||
|
800 |
|
Boise Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/09 @ $103.56) |
|
(B+, B2) |
|
10/15/14 |
|
7.125 |
|
710,000 |
|
||
|
1,150 |
|
Cellu Tissue Holdings, Global Secured Notes (Callable 03/15/07 @ $107.31) |
|
(B, B2) |
|
03/15/10 |
|
9.750 |
|
1,127,000 |
|
||
|
750 |
|
Georgia-Pacific Corp., Global Senior Notes§ |
|
(B, B2) |
|
01/15/24 |
|
8.000 |
|
714,375 |
|
||
|
625 |
|
Newark Group, Inc., Global Senior Subordinated Notes (Callable 03/15/09 @ $104.88) |
|
(B-, Caa1) |
|
03/15/14 |
|
9.750 |
|
600,000 |
|
||
|
950 |
|
NewPage Corp. (Callable 05/01/09 @ $106.00)§ |
|
(CCC+, Caa2) |
|
05/01/13 |
|
12.000 |
|
995,125 |
|
||
|
750 |
|
NewPage Corp., Global Secured Notes
(Callable 05/01/09 @ |
|
(CCC+, B3) |
|
05/01/12 |
|
10.000 |
|
781,875 |
|
||
|
2,000 |
|
Smurfit-Stone Container, Global Senior Notes (Callable 07/01/07 @ $104.19)§ |
|
(CCC+, B2) |
|
07/01/12 |
|
8.375 |
|
1,912,500 |
|
||
|
150 |
|
Verso Paper Holdings LLC, Rule 144A, Secured Notes (Callable 08/01/10 @ $104.56)‡ |
|
(B+, B1) |
|
08/01/14 |
|
9.125 |
|
150,750 |
|
||
|
925 |
|
Verso Paper Holdings LLC, Rule 144A, Senior Subordinated Notes (Callable 08/01/11 @ 105.69)‡ |
|
(B-, B3) |
|
08/01/16 |
|
11.375 |
|
925,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
7,916,625 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
Gaming (6.2%) |
|
|
|
|
|
|
|
|
|
||||
|
$ |
800 |
|
Aztar Corp., Global Senior Subordinated Notes (Callable 08/15/06 @ $104.50) |
|
(B+, Ba3) |
|
08/15/11 |
|
9.000 |
|
$ |
840,000 |
|
|
1,550 |
|
CCM Merger, Inc., Rule 144A, Notes (Callable 08/01/09 @ $104.00)‡ |
|
(CCC+, B3) |
|
08/01/13 |
|
8.000 |
|
1,491,875 |
|
||
|
250 |
|
Circus & Eldorado, Global First Mortgage Notes (Callable 03/01/07 @ $105.06) |
|
(B, B2) |
|
03/01/12 |
|
10.125 |
|
265,625 |
|
||
|
725 |
|
Hard Rock Hotel, Inc., Global Notes (Callable 06/01/08 @ $104.44) |
|
(B, B3) |
|
06/01/13 |
|
8.875 |
|
781,187 |
|
||
|
800 |
|
Herbst Gaming, Inc., Global Senior Subordinated Notes (Callable 06/01/08 @ $104.06) |
|
(B-, B3) |
|
06/01/12 |
|
8.125 |
|
816,000 |
|
||
|
1,500 |
|
Inn of the Mountain Gods, Global Senior Notes (Callable 11/15/07 @ $106.00)ठ|
|
(B, B3) |
|
11/15/10 |
|
12.000 |
|
1,576,875 |
|
||
|
625 |
|
Isle of Capri Casinos, Inc., Global Senior Subordinated Notes (Callable 03/01/09 @ $103.50)§ |
|
(B, B2) |
|
03/01/14 |
|
7.000 |
|
600,000 |
|
||
|
700 |
|
Jacobs Entertainment, Inc., Rule 144A, Senior Notes (Callable 06/15/10 @ $104.88)‡ |
|
(B-, B3) |
|
06/15/14 |
|
9.750 |
|
700,000 |
|
||
|
775 |
|
Majestic Star Casino LLC, Company Guaranteed Notes (Callable 10/15/07 @ $104.75) |
|
(BB-, B2) |
|
10/15/10 |
|
9.500 |
|
806,000 |
|
||
|
800 |
|
Majestic Star Casino LLC, Rule 144A, Secured Notes (Callable 10/15/08 @ $104.88)‡ |
|
(B-, B3) |
|
01/15/11 |
|
9.750 |
|
792,000 |
|
||
|
450 |
|
MGM Mirage, Inc., Company Guaranteed Notes |
|
(BB, Ba2) |
|
09/15/10 |
|
8.500 |
|
471,937 |
|
||
|
450 |
|
MGM Mirage, Inc., Company Guaranteed Notes§ |
|
(B+, Ba3) |
|
02/01/11 |
|
8.375 |
|
464,625 |
|
||
|
250 |
|
MTR Gaming Group, Inc., Series B, Global Company Guaranteed Notes (Callable 04/01/07 @ $104.88) |
|
(B+, B2) |
|
04/01/10 |
|
9.750 |
|
263,438 |
|
||
|
1,000 |
|
OED Corp., Global Company Guaranteed Notes (Callable 4/15/08 @ $104.38) |
|
(B, B2) |
|
04/15/12 |
|
8.750 |
|
1,006,250 |
|
||
|
300 |
|
Pokagon Gaming Authority, Rule 144A, Senior Notes (Callable 06/15/10 @ 105.19)‡ |
|
(B, B3) |
|
06/15/14 |
|
10.375 |
|
315,000 |
|
||
|
400 |
|
Resorts International Hotel & Casino, Inc., Global Company Guaranteed Notes (Callable 03/15/07 @ $106.00) |
|
(B, B2) |
|
03/15/09 |
|
11.500 |
|
430,000 |
|
||
|
800 |
|
Trump Entertainment Resorts, Inc., Secured Notes (Callable 06/01/10 @ $104.25)§ |
|
(B-, Caa1) |
|
06/01/15 |
|
8.500 |
|
772,000 |
|
||
|
319 |
|
Waterford Gaming LLC, Rule 144A, Senior Notes (Callable 09/15/08 @ $103.55)‡ |
|
(BB-, B1) |
|
09/15/12 |
|
8.625 |
|
338,938 |
|
||
|
250 |
|
Wheeling Island Gaming, Inc., Global Company Guaranteed Notes (Callable 12/15/06 @ $102.53) |
|
(B+, B3) |
|
12/15/09 |
|
10.125 |
|
259,375 |
|
||
|
1,000 |
|
Wynn Las Vegas LLC, Global 1st Mortgage Notes (Callable 12/01/09 @ $103.31) |
|
(BB-, B1) |
|
12/01/14 |
|
6.625 |
|
947,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
13,938,625 |
|
||
|
Gas Distribution (1.6%) |
|
|
|
|
|
|
|
|
|
||||
|
750 |
|
El Paso Corp., Senior Notes§ |
|
(B, B2) |
|
05/15/11 |
|
7.000 |
|
747,188 |
|
||
|
1,000 |
|
El Paso Natural Gas Co., Global Senior Notes (Callable 08/01/07 @ $103.81) |
|
(B+, B1) |
|
08/01/10 |
|
7.625 |
|
1,022,500 |
|
||
|
825 |
|
Inergy LP/Inergy Finance Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13) |
|
(B-, Caa1) |
|
03/01/16 |
|
8.250 |
|
845,625 |
|
||
|
825 |
|
Williams Companies, Inc., Global Senior Unsecured Notes |
|
(BB-, Ba2) |
|
03/15/12 |
|
8.125 |
|
868,312 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,483,625 |
|
||
|
Health Services (7.4%) |
|
|
|
|
|
|
|
|
|
||||
|
500 |
|
AMR/EmCare Holding Co., Global Senior Subordinated Notes (Callable 2/15/10 @ $105.00) |
|
(B-, Caa1) |
|
02/15/15 |
|
10.000 |
|
520,000 |
|
||
|
1,800 |
|
CDRV Investors, Inc., Global Senior Discount Notes (Callable 01/01/10 @ $104.81)+ |
|
(B-, Caa2) |
|
01/01/15 |
|
0.000 |
|
1,282,500 |
|
||
|
1,000 |
|
Concentra Operating Corp., Global Company Guaranteed Notes (Callable 08/15/07 @ $104.75) |
|
(B-, B3) |
|
08/15/10 |
|
9.500 |
|
1,042,500 |
|
||
|
675 |
|
Extendicare Health Services, Inc., Global Senior Subordinated Notes (Callable 05/01/09 @ $103.44) |
|
(B, B2) |
|
05/01/14 |
|
6.875 |
|
705,375 |
|
||
|
750 |
|
Fisher Scientific International, Inc., Global Senior Subordinated Notes (Callable 08/15/09 @ $103.38) |
|
(BB+, Ba2) |
|
08/15/14 |
|
6.750 |
|
749,062 |
|
||
|
1,150 |
|
HCA, Inc., Notes |
|
(BB+, Ba2) |
|
10/01/12 |
|
6.300 |
|
968,875 |
|
||
|
1,275 |
|
Healthsouth Corp., Rule 144A, Senior Notes (Callable 06/15/11 @ $105.38)ठ|
|
(CCC+, B3) |
|
06/15/16 |
|
10.750 |
|
1,224,000 |
|
||
|
1,025 |
|
Iasis Healthcare/Capital Corp., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.38) |
|
(B-, B3) |
|
06/15/14 |
|
8.750 |
|
989,125 |
|
||
|
250 |
|
Medquest, Inc., Series B, Global Company Guaranteed Notes (Callable 08/15/07 @ $105.94) |
|
(CCC, Caa1) |
|
08/15/12 |
|
11.875 |
|
236,250 |
|
||
|
800 |
|
Senior Housing Properties Trust, Senior Notes |
|
(BB+, Ba2) |
|
01/15/12 |
|
8.625 |
|
844,000 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
$ |
750 |
|
Stewart Enterprises, Inc. Global Senior Notes (Callable 02/15/09 @ $103.13)§ |
|
(B+, B1) |
|
02/15/13 |
|
6.250 |
|
$ |
673,125 |
|
|
2,750 |
|
Tenet Healthcare Corp., Global Senior Notes§ |
|
(B, B3) |
|
07/01/14 |
|
9.875 |
|
2,640,000 |
|
||
|
500 |
|
Tenet Healthcare Corp., Rule 144A, Senior Notes‡# |
|
(B, B3) |
|
02/01/15 |
|
9.500 |
|
462,500 |
|
||
|
640 |
|
Triad Hospitals, Inc., Senior Notes (Callable 05/15/08 @ $103.50) |
|
(BB-, B2) |
|
05/15/12 |
|
7.000 |
|
639,200 |
|
||
|
875 |
|
Triad Hospitals, Inc., Senior Subordinated Notes (Callable 11/15/08 @ $103.50) |
|
(B+, B3) |
|
11/15/13 |
|
7.000 |
|
840,000 |
|
||
|
1,275 |
|
Universal Hospital Services, Inc., Global Senior Notes (Callable 11/01/07 @ $105.06) |
|
(B-, B3) |
|
11/01/11 |
|
10.125 |
|
1,326,000 |
|
||
|
1,600 |
|
Vanguard Health Holding Co., Global Senior Subordinated Notes (Callable 10/01/09 @ $104.50) |
|
(CCC+, Caa1) |
|
10/01/14 |
|
9.000 |
|
1,556,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
16,698,512 |
|
||
|
Hotels (0.9%) |
|
|
|
|
|
|
|
|
|
||||
|
500 |
|
Bluegreen Corp., Series B, Company Guaranteed Notes |
|
(B-, B3) |
|
04/01/08 |
|
10.500 |
|
500,000 |
|
||
|
950 |
|
Host Marriott LP, Rule 144A, Senior Notes (Callable 06/01/11 @ $103.38)‡ |
|
(BB-, Ba2) |
|
06/01/16 |
|
6.750 |
|
914,375 |
|
||
|
650 |
|
Host Marriott Corp., Global Senior Notes (Callable 11/01/08 @ 103.56)§ |
|
(BB, Ba2) |
|
11/01/13 |
|
7.125 |
|
654,063 |
|
||
|
|
|
|
|
|
|
|
|
|
|
2,068,438 |
|
||
|
Household & Leisure Products (1.8%) |
|
|
|
|
|
|
|
|
|
||||
|
500 |
|
Ames True Temper, Global Company Guaranteed Notes (Callable 01/15/07 @ $103.00)# |
|
(CCC+, Caa1) |
|
01/15/12 |
|
9.507 |
|
496,250 |
|
||
|
1,400 |
|
Ames True Temper, Global Senior Subordinated Notes (Callable 07/15/08 @ $105.00) |
|
(CCC-, Caa2) |
|
07/15/12 |
|
10.000 |
|
1,183,000 |
|
||
|
750 |
|
Remington Arms Company, Inc., Global Company Guaranteed Notes (Callable 02/01/07 @ $105.25) |
|
(CCC-, Caa1) |
|
02/01/11 |
|
10.500 |
|
665,625 |
|
||
|
975 |
|
Sealy Mattress Co., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.13)§ |
|
(B-, B3) |
|
06/15/14 |
|
8.250 |
|
979,875 |
|
||
|
825 |
|
Simmons Bedding Co., Global Senior Subordinated Notes (Callable 01/15/09 @ $103.94)§ |
|
(B-, Caa1) |
|
01/15/14 |
|
7.875 |
|
781,688 |
|
||
|
|
|
|
|
|
|
|
|
|
|
4,106,438 |
|
||
|
Industrial (0.7%) |
|
|
|
|
|
|
|
|
|
||||
|
600 |
|
Coleman Cable, Inc., Global Company Guaranteed Notes (Callable 10/01/08 @ $104.94) |
|
(B-, B3) |
|
10/01/12 |
|
9.875 |
|
570,000 |
|
||
|
275 |
|
RBS Global & Rexnord Corp., Rule 144A, Senior Notes (Callable 08/01/10 @ $104.75)‡ |
|
(CCC+, B3) |
|
08/01/14 |
|
9.500 |
|
276,375 |
|
||
|
600 |
|
RBS Global & Rexnord Corp., Rule 144A, Senior Subordinated Notes (Callable 08/01/11 @ 105.88)‡ |
|
(CCC+, Caa1) |
|
08/01/16 |
|
11.750 |
|
616,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,462,875 |
|
||
|
Investments & Misc. Financial Sevices (0.8%) |
|
|
|
|
|
|
|
|
|
||||
|
750 |
|
Cardtronics, Inc., Rule 144A, Senior Subordinated Notes (Callable 08/15/09 @ $104.63)‡ |
|
(B-, Caa1) |
|
08/15/13 |
|
9.250 |
|
755,625 |
|
||
|
150 |
|
Education Management LLC, Rule 144A, Senior Notes (Callable 06/01/10 @ $104.38)‡ |
|
(CCC+, B3) |
|
06/01/14 |
|
8.750 |
|
151,125 |
|
||
|
800 |
|
Education Management LLC, Rule 144A, Senior Subordinated Notes (Callable 06/01/11 @ $105.13)‡ |
|
(CCC+, Caa1) |
|
06/01/16 |
|
10.250 |
|
812,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,718,750 |
|
||
|
Leisure (1.0%) |
|
|
|
|
|
|
|
|
|
||||
|
250 |
|
Bally Total Fitness Holding Corp., Global Senior Notes (Callable 07/15/07 @ $105.25) |
|
(CCC-, Caa1) |
|
07/15/11 |
|
10.500 |
|
260,000 |
|
||
|
950 |
|
Six Flags, Inc., Global Senior Notes (Callable 02/01/07 @ $102.96) |
|
(CCC, Caa1) |
|
02/01/10 |
|
8.875 |
|
920,313 |
|
||
|
1,050 |
|
Six Flags, Inc., Global Senior Notes (Callable 06/01/09 @ $104.81)§ |
|
(CCC, Caa1) |
|
06/01/14 |
|
9.625 |
|
958,125 |
|
||
|
|
|
|
|
|
|
|
|
|
|
2,138,438 |
|
||
|
Machinery (0.4%) |
|
|
|
|
|
|
|
|
|
||||
|
850 |
|
Case New Holland, Inc., Global Company Guaranteed Notes (Callable 08/01/07 @ $104.62) |
|
(BB-, Ba3) |
|
08/01/11 |
|
9.250 |
|
899,938 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
Media - Broadcast (3.2%) |
|
|
|
|
|
|
|
|
|
||||
|
$ |
1,000 |
|
Allbritton Communications Co., Global Senior Subordinated Notes (Callable 12/15/07 @ $103.88) |
|
(B-, B3) |
|
12/15/12 |
|
7.750 |
|
$ |
995,000 |
|
|
450 |
|
Fisher Communications, Inc., Global Senior Notes (Callable 09/15/09 @ $104.31) |
|
(B-, B2) |
|
09/15/14 |
|
8.625 |
|
461,250 |
|
||
|
1,275 |
|
ION Media Networks, Inc., Rule 144A, Secured Notes (Callable 01/15/08 @ $102.00)‡# |
|
(CCC-, B3) |
|
01/15/13 |
|
11.757 |
|
1,297,312 |
|
||
|
1,075 |
|
Nexstar Finance, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $103.50)§ |
|
(CCC+, B3) |
|
01/15/14 |
|
7.000 |
|
975,563 |
|
||
|
800 |
|
Sinclair Broadcast Group, Inc., Series A, Global Company Guaranteed Notes (Callable 03/15/07 @ $104.00) |
|
(B, B2) |
|
03/15/12 |
|
8.000 |
|
812,000 |
|
||
|
1,000 |
|
Sirius Satellite Radio, Inc., Global Senior Unsecured Notes (Callable 09/01/09 @ $104.81)§ |
|
(CCC, Caa1) |
|
08/01/13 |
|
9.625 |
|
940,000 |
|
||
|
600 |
|
Xm Satellite Radio, Inc., Rule 144A, Senior Notes (Callable 05/01/08 @ $105.44)‡# |
|
(CCC, Caa2) |
|
05/01/13 |
|
9.649 |
|
556,500 |
|
||
|
1,265 |
|
Young Broadcasting, Inc., Global Company Guaranteed Notes (Callable 03/01/07 @ $102.00)§ |
|
(CCC-, Caa2) |
|
03/01/11 |
|
10.000 |
|
1,166,962 |
|
||
|
|
|
|
|
|
|
|
|
|
|
7,204,587 |
|
||
|
Media - Cable (9.3%) |
|
|
|
|
|
|
|
|
|
||||
|
1,450 |
|
Atlantic Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/09 @ $104.69)§ |
|
(CCC+, Caa1) |
|
01/15/14 |
|
9.375 |
|
1,384,750 |
|
||
|
1,815 |
|
CCH I LLC, Global Secured Notes (Callable 10/01/10 @ $105.50)§ |
|
(NR, Caa3) |
|
10/01/15 |
|
11.000 |
|
1,638,038 |
|
||
|
1,750 |
|
CCO Holdings LLC, Global Senior Notes (Callable 11/15/08 @ $104.38) |
|
(CCC-, B3) |
|
11/15/13 |
|
8.750 |
|
1,745,625 |
|
||
|
2,100 |
|
Charter Communications Holdings LLC, Senior Notes (Callable 04/01/07 @ $100.00)§ |
|
(CCC-, Ca) |
|
04/01/09 |
|
8.625 |
|
1,764,000 |
|
||
|
2,500 |
|
Charter Communications Holdings LLC, Senior Notes (Callable 09/15/08 @ $105.12) |
|
(CCC-, Caa1) |
|
09/15/10 |
|
10.250 |
|
2,537,500 |
|
||
|
1,850 |
|
CSC Holdings, Inc., Rule 144A, Senior Notes‡# |
|
(B+, B2) |
|
04/15/12 |
|
7.250 |
|
1,796,812 |
|
||
|
2,225 |
|
CSC Holdings, Inc., Series B, Senior Notes |
|
(B+, B2) |
|
04/01/11 |
|
7.625 |
|
2,250,031 |
|
||
|
1,750 |
|
DIVA Systems Corp., Series B, Senior Discount Notes ø^ |
|
(NR, NR) |
|
03/01/08 |
|
12.625 |
|
17,500 |
|
||
|
1,150 |
|
EchoStar DBS Corp., Global Company Guaranteed Notes |
|
(BB-, Ba3) |
|
10/01/14 |
|
6.625 |
|
1,112,625 |
|
||
|
825 |
|
GCI, Inc., Global Senior Notes (Callable 02/15/09 @ $103.63)§ |
|
(B+, B2) |
|
02/15/14 |
|
7.250 |
|
792,000 |
|
||
|
1,400 |
|
Insight Communications Company, Inc., Senior Discount Notes (Callable 02/15/07 @ $104.08)+ |
|
(CCC+, Caa1) |
|
02/15/11 |
|
12.250 |
|
1,489,250 |
|
||
|
500 |
|
Insight Midwest/Insight Capital Corp., Global Senior Notes (Callable 11/01/06 @ $103.50) |
|
(B, B2) |
|
11/01/10 |
|
10.500 |
|
522,500 |
|
||
|
200 |
|
Insight Midwest/Insight Capital Corp., Senior Notes (Callable 10/01/06 @ $101.63) |
|
(B, B2) |
|
10/01/09 |
|
9.750 |
|
204,500 |
|
||
|
800 |
|
Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 10/15/07 @ $105.38) |
|
(CCC-, B3) |
|
10/15/11 |
|
10.750 |
|
842,000 |
|
||
|
1,925 |
|
Mediacom Broadband LLC/CRP, Global Senior Notes (Callable 10/15/10 @ $104.25) |
|
(B, B2) |
|
10/15/15 |
|
8.500 |
|
1,900,937 |
|
||
|
825 |
|
Mediacom LLC / Capital Corp., Senior Notes (Callable 02/15/07 @ $101.97) |
|
(B, B2) |
|
02/15/11 |
|
7.875 |
|
798,188 |
|
||
|
|
|
|
|
|
|
|
|
|
|
20,796,256 |
|
||
|
Media - Services (0.4%) |
|
|
|
|
|
|
|
|
|
||||
|
1,275 |
|
WMG Holdings Corp., Global Senior Discount Notes (Callable 12/15/09 @ $104.75)+ |
|
(B-, B3) |
|
12/15/14 |
|
0.000 |
|
927,563 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Metal & Mining - Excluding Steel (1.1%) |
|
|
|
|
|
|
|
|
|
||||
|
1,600 |
|
Alpha Natural Resources LLC, Global Company Guaranteed Notes (Callable 06/01/08 @ $105.00)# |
|
(B-, B3) |
|
06/01/12 |
|
10.000 |
|
1,708,000 |
|
||
|
725 |
|
Southern Copper Corp., Global Senior Notes |
|
(BBB-, Baa2) |
|
07/27/35 |
|
7.500 |
|
721,005 |
|
||
|
|
|
|
|
|
|
|
|
|
|
2,429,005 |
|
||
|
Non-Food & Drug Retailers (5.9%) |
|
|
|
|
|
|
|
|
|
||||
|
1,429 |
|
Affinity Group, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $105.44) |
|
(CCC+, Caa1) |
|
02/15/12 |
|
10.875 |
|
1,407,633 |
|
||
|
1,125 |
|
Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 06/15/07 @ $104.50)§ |
|
(B, B3) |
|
06/15/12 |
|
9.000 |
|
1,139,062 |
|
||
|
1,200 |
|
Brookstone Company, Inc., Global Secured Notes (Callable 10/15/09 @ $106.00)§ |
|
(B, B3) |
|
10/15/12 |
|
12.000 |
|
1,092,000 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
$ |
1,250 |
|
Finlay Fine Jewelry Corp., Global Senior Notes (Callable 06/01/08 @ $104.19) |
|
(B-, B3) |
|
06/01/12 |
|
8.375 |
|
$ |
1,103,125 |
|
|
275 |
|
General Nutrition Center, Global Company Guaranteed Notes (Callable 01/15/08 @ $104.31) |
|
(B-, B3) |
|
01/15/11 |
|
8.625 |
|
275,688 |
|
||
|
1,075 |
|
General Nutrition Center, Global Senior Subordinated Notes (Callable 12/01/07 @ $104.25) |
|
(CCC+, Caa1) |
|
12/01/10 |
|
8.500 |
|
1,040,063 |
|
||
|
1,075 |
|
GSC Holdings Corp., Global Company Guaranteed Notes (Callable 10/01/09 @ $104.00)§ |
|
(B+, Ba3) |
|
10/01/12 |
|
8.000 |
|
1,096,500 |
|
||
|
500 |
|
Intcomex, Inc., Rule 144A, Secured Notes (Callable 01/15/07 @ $106.00)‡ |
|
(B-, Caa1) |
|
01/15/11 |
|
11.750 |
|
500,000 |
|
||
|
500 |
|
Nebraska Book Company, Inc., Global Senior Subordinated Notes (Callable 03/15/08 @ $104.31) |
|
(CCC, Caa1) |
|
03/15/12 |
|
8.625 |
|
455,000 |
|
||
|
1,585 |
|
Neiman Marcus Group, Inc., Senior Subordinated Notes (Callable 10/15/10 @ $105.19) |
|
(B-, B3) |
|
10/15/15 |
|
10.375 |
|
1,690,006 |
|
||
|
1,000 |
|
PCA LLC, Global Senior Notes |
|
(C, Ca) |
|
08/01/09 |
|
11.875 |
|
210,000 |
|
||
|
1,275 |
|
Rent-Way, Inc., Global Secured Notes |
|
(B-, B3) |
|
06/15/10 |
|
11.875 |
|
1,319,625 |
|
||
|
1,000 |
|
Stripes Acquisition LLC, Rule 144A, Senior Notes (Callable 12/15/09 @ $105.31)‡ |
|
(B, B2) |
|
12/15/13 |
|
10.625 |
|
1,055,000 |
|
||
|
750 |
|
United Auto Group, Inc., Global Company Guaranteed Notes (Callable 03/15/07 @ $104.81)§ |
|
(B, B3) |
|
03/15/12 |
|
9.625 |
|
785,625 |
|
||
|
|
|
|
|
|
|
|
|
|
|
13,169,327 |
|
||
|
Office Equipment (0.6%) |
|
|
|
|
|
|
|
|
|
||||
|
1,350 |
|
Xerox Corp., Senior Notes (Callable 06/15/08 @ $103.81) |
|
(BB+, Ba2) |
|
06/15/13 |
|
7.625 |
|
1,370,250 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Oil Refining & Marketing (0.6%) |
|
|
|
|
|
|
|
|
|
||||
|
450 |
|
Giant Industries, Inc., Company Guaranteed Notes (Callable 05/15/09 @ $104.00) |
|
(B-, B3) |
|
05/15/14 |
|
8.000 |
|
450,000 |
|
||
|
743 |
|
Giant Industries, Inc., Global Company Guaranteed Notes (Callable 05/15/07 @ $105.50) |
|
(B-, B3) |
|
05/15/12 |
|
11.000 |
|
806,155 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,256,155 |
|
||
|
Packaging (5.5%) |
|
|
|
|
|
|
|
|
|
||||
|
450 |
|
Amtrol, Inc., Senior Subordinated Notes§ |
|
(CCC-, Caa3) |
|
12/31/06 |
|
10.625 |
|
416,250 |
|
||
|
1,150 |
|
Berry Plastics Corp., Global Company Guaranteed Notes (Callable 07/15/07 @ $105.38) |
|
(B-, B3) |
|
07/15/12 |
|
10.750 |
|
1,262,125 |
|
||
|
1,650 |
|
Constar International, Inc., Senior Subordinated Notes (Callable 12/01/07 @ $105.50)§ |
|
(CCC, Caa3) |
|
12/01/12 |
|
11.000 |
|
1,262,250 |
|
||
|
1,000 |
|
Covalence Specialty Materials Corp., Rule 144A, Senior Subordinated Notes (Callable 03/01/11 @ $105.13)‡ |
|
(CCC+, B3) |
|
03/01/16 |
|
10.250 |
|
977,500 |
|
||
|
650 |
|
Crown Americas, Rule 144A, Senior Notes (Callable 11/15/10 @ $103.88)‡ |
|
(B, B1) |
|
11/15/15 |
|
7.750 |
|
644,313 |
|
||
|
250 |
|
Graham Packaging Company, Inc., Global Company Guaranteed Notes (Callable 10/15/08 @ $104.25) |
|
(CCC+, Caa1) |
|
10/15/12 |
|
8.500 |
|
243,750 |
|
||
|
1,325 |
|
Graham Packaging Company, Inc., Global Subordinated Notes (Callable 10/15/09 @ $104.94)§ |
|
(CCC+, Caa2) |
|
10/15/14 |
|
9.875 |
|
1,295,187 |
|
||
|
1,225 |
|
Graphic Packaging International Corp., Global Senior Subordinated Notes (Callable 08/15/08 @ 104.75)§ |
|
(B-, B3) |
|
08/15/13 |
|
9.500 |
|
1,231,125 |
|
||
|
1,000 |
|
Intertape Polymer US, Inc., Global Senior Subordinated Notes (Callable 08/01/09 @ $104.25) |
|
(B-, B3) |
|
08/01/14 |
|
8.500 |
|
930,000 |
|
||
|
154 |
|
Owens-Brockway Glass Containers, Global Company Guaranteed Notes (Callable 02/15/07 @ $102.22) |
|
(BB-, B1) |
|
02/15/09 |
|
8.875 |
|
159,583 |
|
||
|
850 |
|
Owens-Brockway Glass Containers, Inc., Rule 144A, Senior Notes (Callable 05/15/08 @ $104.13)‡ |
|
(B, B2) |
|
05/15/13 |
|
8.250 |
|
864,875 |
|
||
|
800 |
|
Plastipak Holdings, Inc., Rule 144A, Senior Notes (Callable 12/15/10 @ $104.25)‡ |
|
(B, B2) |
|
12/15/15 |
|
8.500 |
|
796,000 |
|
||
|
1 |
|
Pliant Corp., Global Secured Notes (Callable 06/15/07 @ $111.62)ø |
|
(D, NR) |
|
06/15/09 |
|
11.625 |
|
607 |
|
||
|
600 |
|
SGS International, Inc., Rule 144A, Senior Subordinated Notes (Callable 12/15/09 @ $106.00)‡ |
|
(B-, Caa1) |
|
12/15/13 |
|
12.000 |
|
609,000 |
|
||
|
1,925 |
|
Solo Cup Co., Global Senior Subordinated Notes (Callable 02/15/09 @ $104.25) |
|
(B-, Caa1) |
|
02/15/14 |
|
8.500 |
|
1,674,750 |
|
||
|
|
|
|
|
|
|
|
|
|
|
12,367,315 |
|
||
|
Pharmaceuticals (0.3%) |
|
|
|
|
|
|
|
|
|
||||
|
700 |
|
Athena Neurosciences Finance LLC, Company Guaranteed Notes |
|
(B, B3) |
|
02/21/08 |
|
7.250 |
|
700,000 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
Printing & Publishing (6.4%) |
|
|
|
|
|
|
|
|
|
||||
|
$ |
1,225 |
|
American Media Operations, Inc., Series B, Global Company Guaranteed Notes (Callable 05/01/07 @ $100.00) |
|
(CCC, Caa1) |
|
05/01/09 |
|
10.250 |
|
$ |
1,149,969 |
|
|
1,625 |
|
CBD Media Holdings/Finance, Global Senior Notes (Callable 07/15/08 @ $104.63) |
|
(CCC+, Caa2) |
|
07/15/12 |
|
9.250 |
|
1,604,687 |
|
||
|
1,000 |
|
Cenveo Corp., Global Senior Subordinated Notes (Callable 12/01/08 @ $103.94)§ |
|
(B-, B3) |
|
12/01/13 |
|
7.875 |
|
977,500 |
|
||
|
550 |
|
Dex Media, Inc., Global Discount Notes (Callable 11/15/08 @ $104.50)+ |
|
(B, B3) |
|
11/15/13 |
|
0.000 |
|
456,500 |
|
||
|
1,500 |
|
Dex Media, Inc., Global Discount Notes (Callable 11/15/08 @ $104.50)+ |
|
(B, B3) |
|
11/15/13 |
|
0.000 |
|
1,245,000 |
|
||
|
50 |
|
Dex Media, Inc., Global Notes (Callable 11/15/08 @ $104.00) |
|
(B, B3) |
|
11/15/13 |
|
8.000 |
|
50,250 |
|
||
|
1,150 |
|
Haights Cross Operating Co., Global Company Guaranteed Notes (Callable 08/15/08 @ $105.88) |
|
(CCC, Caa1) |
|
08/15/11 |
|
11.750 |
|
1,187,375 |
|
||
|
1,475 |
|
Houghton Mifflin Co., Global Senior Discount Notes (Callable 10/15/08 @ $105.75)+ |
|
(CCC+, Caa2) |
|
10/15/13 |
|
0.000 |
|
1,227,938 |
|
||
|
675 |
|
Houghton Mifflin Co., Global Senior Subordinated Notes (Callable 02/01/08 @ $104.94) |
|
(CCC+, Caa1) |
|
02/01/13 |
|
9.875 |
|
702,844 |
|
||
|
2,985 |
|
R.H. Donnelley Corp., Series A-2, Global Senior Discount Notes (Callable 01/15/09 @ $103.44) |
|
(B, Caa1) |
|
01/15/13 |
|
6.875 |
|
2,723,812 |
|
||
|
500 |
|
R.H. Donnelley Corp., Series A-3, Global Senior Notes (Callable 01/15/11 @ $104.44) |
|
(B, Caa1) |
|
01/15/16 |
|
8.875 |
|
500,625 |
|
||
|
1,100 |
|
Vertis, Inc., Series B, Global Company Guaranteed Notes (Callable 06/15/07 @ $102.72)§ |
|
(CCC, Caa2) |
|
06/15/09 |
|
10.875 |
|
1,095,875 |
|
||
|
1,450 |
|
WDAC Subsidiary Corp., Rule 144A, Senior Notes (Callable 12/01/09 @ $104.19)ठ|
|
(CCC+, Caa1) |
|
12/01/14 |
|
8.375 |
|
1,450,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
14,372,375 |
|
||
|
RealEstate Development & Management (0.4%) |
|
|
|
|
|
|
|
|
|
||||
|
1,050 |
|
Ashton Woods USA/Finance, Global Senior Subordinated Notes (Callable 10/01/10 @ $104.75)‡ |
|
(B-, B3) |
|
10/01/15 |
|
9.500 |
|
929,250 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Restaurants (2.8%) |
|
|
|
|
|
|
|
|
|
||||
|
1,100 |
|
Buffets, Inc., Global Senior Subordinated Notes (Callable 07/15/07 @ $103.75) |
|
(CCC, B3) |
|
07/15/10 |
|
11.250 |
|
1,166,000 |
|
||
|
1,350 |
|
Denny’s Corp., Global Company Guaranteed Notes (Callable 10/01/08 @ $105.00)§ |
|
(CCC+, Caa1) |
|
10/01/12 |
|
10.000 |
|
1,363,500 |
|
||
|
1,000 |
|
Friendly Ice Cream Corp., Global Senior Notes (Callable 06/15/08 @ $104.19)§ |
|
(CCC+, B3) |
|
06/15/12 |
|
8.375 |
|
840,000 |
|
||
|
1,000 |
|
O’Charleys, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $104.50)§ |
|
(B, Ba3) |
|
11/01/13 |
|
9.000 |
|
1,025,000 |
|
||
|
1,025 |
|
Sbarro, Inc., Company Guaranteed Notes (Callable 09/15/06 @ $101.83) |
|
(CCC+, Caa1) |
|
09/15/09 |
|
11.000 |
|
1,040,375 |
|
||
|
1,000 |
|
Uno Restaurant Corp., Rule 144A, Senior Notes (Callable 02/15/08 @ $110.00)ठ|
|
(CCC+, B3) |
|
02/15/11 |
|
10.000 |
|
777,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
6,212,375 |
|
||
|
Software/Services (1.8%) |
|
|
|
|
|
|
|
|
|
||||
|
1,100 |
|
Activant Solutions, Inc. Rule 144A, Senior Subordinated Notes (Callable 05/01/11 @ $104.75)‡ |
|
(CCC+, Caa1) |
|
05/01/16 |
|
9.500 |
|
1,045,000 |
|
||
|
675 |
|
SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/09 @ $104.56)§ |
|
(B-, B3) |
|
08/15/13 |
|
9.125 |
|
692,719 |
|
||
|
2,250 |
|
SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/10 @ $105.13)§ |
|
(B-, Caa1) |
|
08/15/15 |
|
10.250 |
|
2,292,187 |
|
||
|
|
|
|
|
|
|
|
|
|
|
4,029,906 |
|
||
|
Steel Producers/Products (2.2%) |
|
|
|
|
|
|
|
|
|
||||
|
1,325 |
|
AK Steel Corp., Global Company Guaranteed Notes (Callable 06/15/07 @ $103.88) |
|
(B+, B1) |
|
06/15/12 |
|
7.750 |
|
1,311,750 |
|
||
|
1,300 |
|
Edgen Acquisition Corp., Global Secured Notes (Callable 02/01/08 @ $104.94) |
|
(B-, B3) |
|
02/01/11 |
|
9.875 |
|
1,293,500 |
|
||
|
850 |
|
International Steel Group, Inc., Global Senior Notes§ |
|
(BBB-, Ba1) |
|
04/15/14 |
|
6.500 |
|
807,500 |
|
||
|
1,225 |
|
RathGibson, Inc., Rule 144A, Senior Notes (Callable 02/15/10 @ $105.62)‡ |
|
(B-, B2) |
|
02/15/14 |
|
11.250 |
|
1,274,000 |
|
||
|
250 |
|
WCI Steel Acquisition, Inc., Senior Notes |
|
(NR, NR) |
|
05/01/16 |
|
8.000 |
|
247,500 |
|
||
|
750 |
|
WCI Steel Escrow ø |
|
(NR, NR) |
|
12/01/04 |
|
10.000 |
|
32,925 |
|
||
|
|
|
|
|
|
|
|
|
|
|
4,967,175 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
Storage & Warehousing (0.1%) |
|
|
|
|
|
|
|
|
|
||||
|
$ |
205 |
|
Mobile Services Group, Inc., Rule 144A, Senior Notes (Callable 08/01/10 @ $104.88)‡ |
|
(B-, B3) |
|
08/01/14 |
|
9.750 |
|
$ |
208,588 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Support-Services (5.2%) |
|
|
|
|
|
|
|
|
|
||||
|
1,250 |
|
Allied Security Escrow, Global Senior Subordinated Notes (Callable 07/15/08 @ $105.69) |
|
(CCC+, Caa1) |
|
07/15/11 |
|
11.375 |
|
1,231,250 |
|
||
|
914 |
|
DI Finance/Dyncorp Intl., Senior Subordinated Notes (Callable 02/15/09 @ $104.75) |
|
(B, B3) |
|
02/15/13 |
|
9.500 |
|
950,560 |
|
||
|
500 |
|
Hertz Corp., Rule 144A, Senior Notes
(Callable 01/01/10 @ |
|
(B, B1) |
|
01/01/14 |
|
8.875 |
|
523,750 |
|
||
|
600 |
|
Hertz Corp., Rule 144A, Senior Subordinated Notes (Callable 01/01/11 @ $105.25)‡ |
|
(B, B3) |
|
01/01/16 |
|
10.500 |
|
655,500 |
|
||
|
1,000 |
|
HydroChem Industrial Services, Inc., Rule 144A, Senior Subordinated Notes (Callable 02/15/09 @ $104.63)‡ |
|
(CCC+, Caa1) |
|
02/15/13 |
|
9.250 |
|
982,500 |
|
||
|
750 |
|
Iron Mountain, Inc., Company Guaranteed Notes (Callable 04/01/07 @ $102.88) |
|
(B, B3) |
|
04/01/13 |
|
8.625 |
|
768,750 |
|
||
|
250 |
|
Iron Mountain, Inc., Company Guaranteed Notes (Callable 07/01/08 @ $103.31) |
|
(B, B3) |
|
01/01/16 |
|
6.625 |
|
230,000 |
|
||
|
1,500 |
|
Johnsondiversey Holdings, Inc., Global Discount Notes (Callable 05/15/07 @ $105.34)+ |
|
(CCC+, Caa1) |
|
05/15/13 |
|
0.000 |
|
1,282,500 |
|
||
|
475 |
|
La Petite Academy, Inc., Series B, Company Guaranteed Notes (Callable 09/18/06 @ $100.00) |
|
(CC, Ca) |
|
05/15/08 |
|
10.000 |
|
473,812 |
|
||
|
750 |
|
Language Line, Inc., Global Senior Notes (Callable 06/15/08 @ 105.56)§ |
|
(CCC+, Caa1) |
|
06/15/12 |
|
11.125 |
|
740,625 |
|
||
|
1,000 |
|
Muzak LLC/Muzak Finance, Global Senior Notes (Callable 02/15/07 @ $102.50) |
|
(CCC-, Caa2) |
|
02/15/09 |
|
10.000 |
|
865,000 |
|
||
|
450 |
|
Sensata Technologies BV, Rule 144A, Senior Notes (Callable 05/01/10 @ 104.00) (Netherland)ठ|
|
(B-, B2) |
|
05/01/14 |
|
8.000 |
|
434,250 |
|
||
|
440 |
|
United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 02/15/08 @ $103.25) |
|
(B+, B3) |
|
02/15/12 |
|
6.500 |
|
418,000 |
|
||
|
1,275 |
|
United Rentals North America, Inc., Global Senior Subordinated Notes (Callable 02/15/09 @ $103.50)§ |
|
(B, Caa1) |
|
02/15/14 |
|
7.000 |
|
1,173,000 |
|
||
|
900 |
|
Williams Scotsman, Inc., Global Company Guaranteed Notes (Callable 10/01/10 @ $104.25) |
|
(B+, B3) |
|
10/01/15 |
|
8.500 |
|
906,750 |
|
||
|
|
|
|
|
|
|
|
|
|
|
11,636,247 |
|
||
|
Telecom - Fixed Line (1.6%) |
|
|
|
|
|
|
|
|
|
||||
|
2,025 |
|
Level 3 Communications, Inc., Convertible Notes |
|
(CCC-, Ca) |
|
03/15/10 |
|
6.00 |
|
$ |
1,723,781 |
|
|
|
962 |
|
Madison River Capital LLC, Senior Notes (Callable 03/01/07 @ $102.21) |
|
(B-, B3) |
|
03/01/10 |
|
13.250 |
|
1,006,897 |
|
||
|
775 |
|
Time Warner Telecom Holdings, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $104.62) |
|
(CCC+, B3) |
|
02/15/14 |
|
9.250 |
|
800,187 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,530,865 |
|
||
|
Telecom - Integrated/Services (4.3%) |
|
|
|
|
|
|
|
|
|
||||
|
1,525 |
|
Cincinnati Bell, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $104.19)§ |
|
(B-, B3) |
|
01/15/14 |
|
8.375 |
|
1,502,125 |
|
||
|
1,225 |
|
Hawaiian Telcom Communications, Inc., Series B, Global Company Guaranteed Notes (Callable 05/01/10 @ $106.25)§ |
|
(CCC+, Caa1) |
|
05/01/15 |
|
12.500 |
|
1,298,500 |
|
||
|
125 |
|
LCI International, Inc., Senior Notes |
|
(NR, NR) |
|
06/15/07 |
|
7.250 |
|
125,938 |
|
||
|
1,250 |
|
PanAmSat Corp., Global Company Guaranteed Notes (Callable 08/15/09 @ $104.50) |
|
(B+, B1) |
|
08/15/14 |
|
9.000 |
|
1,276,562 |
|
||
|
1,625 |
|
Qwest Communications International, Inc., Global Company Guaranteed Notes (Callable 02/15/08 @ $103.63) |
|
(B, B2) |
|
02/15/11 |
|
7.250 |
|
1,604,687 |
|
||
|
1,900 |
|
Qwest Communications International, Inc., Series B, Global Company Guaranteed Notes (Callable 02/15/09 @ $103.75) |
|
(B, B2) |
|
02/15/14 |
|
7.500 |
|
1,871,500 |
|
||
|
1,180 |
|
Qwest Corp., Global Senior Notes |
|
(BB, Ba3) |
|
06/15/15 |
|
7.625 |
|
1,205,075 |
|
||
|
350 |
|
Windstream Corp., Rule 144A, Senior Notesठ|
|
(BB-, Ba3) |
|
08/01/13 |
|
8.125 |
|
365,750 |
|
||
|
375 |
|
Windstream Corp., Rule 144A, Senior Notes (Callable 08/01/11 @ $104.31)‡ |
|
(BB-, Ba3) |
|
08/01/16 |
|
8.625 |
|
391,875 |
|
||
|
|
|
|
|
|
|
|
|
|
|
9,642,012 |
|
||
|
Telecom - Wireless (3.6%) |
|
|
|
|
|
|
|
|
|
||||
|
50 |
|
American Tower Corp., Class A, Global Senior Notes (Callable 10/15/08 @ $103.56)§ |
|
(BB-, B1) |
|
10/15/12 |
|
7.125 |
|
50,500 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
$ |
750 |
|
Centennial Cellular Communications Corp., Global Company Guaranteed Notes (Callable 06/15/08 @ $105.06) |
|
(CCC, B3) |
|
06/15/13 |
|
10.125 |
|
$ |
795,000 |
|
|
975 |
|
Centennial Communications Corp., Global Senior Notes (Callable 01/01/09 @ $107.50) |
|
(CCC, Caa2) |
|
01/01/13 |
|
10.000 |
|
977,437 |
|
||
|
495 |
|
Dobson Cellular Systems, Inc., Global Secured Notes (Callable 11/01/08 @ $104.94) |
|
(CCC, B2) |
|
11/01/12 |
|
9.875 |
|
529,650 |
|
||
|
1,275 |
|
Dobson Communications Corp., Global Senior Notes (Callable 10/01/08 @ $104.44) |
|
(CCC, Caa2) |
|
10/01/13 |
|
8.875 |
|
1,268,625 |
|
||
|
750 |
|
Horizon PCS, Inc., Global Company Guaranteed Notes (Callable 07/15/08 @ $105.69) |
|
(B-, B3) |
|
07/15/12 |
|
11.375 |
|
845,625 |
|
||
|
800 |
|
iPCS, Inc., Global Senior Notes (Callable 05/01/08 @ $105.75) |
|
(B-, B3) |
|
05/01/12 |
|
11.500 |
|
900,000 |
|
||
|
500 |
|
Rural Cellular Corp., Global Senior Notes (Callable 08/01/07 @ $104.94) |
|
(CCC, Caa1) |
|
02/01/10 |
|
9.875 |
|
520,000 |
|
||
|
375 |
|
Rural Cellular Corp., Global Senior Subordinated Notes (Callable 01/15/07 @ $103.25)§ |
|
(CCC, Caa2) |
|
01/15/10 |
|
9.750 |
|
377,813 |
|
||
|
675 |
|
Rural Cellular Corp., Global Senior Subordinated Notes (Callable 11/01/07 @ $102.00)#§ |
|
(CCC, Caa2) |
|
11/01/12 |
|
11.239 |
|
702,000 |
|
||
|
1,100 |
|
Triton PCS, Inc., Global Company Guaranteed Notes (Callable 06/01/08 @ $104.25) |
|
(CCC-, Caa2) |
|
06/01/13 |
|
8.500 |
|
1,031,250 |
|
||
|
|
|
|
|
|
|
|
|
|
|
7,997,900 |
|
||
|
Textiles & Apparel (1.6%) |
|
|
|
|
|
|
|
|
|
||||
|
1,025 |
|
Levi Strauss & Co., Global Senior Notes (Callable 01/15/10 @ $104.88) |
|
(B-, B3) |
|
01/15/15 |
|
9.750 |
|
1,055,750 |
|
||
|
1,200 |
|
Levi Strauss & Co., Global Senior Notes (Callable 12/15/07 @ $106.12) |
|
(B-, B3) |
|
12/15/12 |
|
12.250 |
|
1,350,000 |
|
||
|
400 |
|
Phillips-Van Heusen Corp., Global Senior Notes (Callable 02/15/08 @ $103.63) |
|
(BB, B1) |
|
02/15/11 |
|
7.250 |
|
399,000 |
|
||
|
950 |
|
Propex Fabrics, Inc., Global Company Guaranteed Notes (Callable 12/01/08 @ $105.00) |
|
(B-, B3) |
|
12/01/12 |
|
10.000 |
|
850,250 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,655,000 |
|
||
|
Theaters & Entertainment (1.1%) |
|
|
|
|
|
|
|
|
|
||||
|
1,750 |
|
AMC Entertainment, Inc., Global Senior Subordinated Notes (Callable 03/01/09 @ $104.00) |
|
(CCC+, B3) |
|
03/01/14 |
|
8.000 |
|
1,627,500 |
|
||
|
1,150 |
|
Cinemark, Inc., Global Senior Discount Notes (Callable 03/15/09 @ $104.88)+ |
|
(B-, Caa1) |
|
03/15/14 |
|
0.000 |
|
908,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
2,536,000 |
|
||
|
Transportation - Excluding Air/Rail (0.3%) |
|
|
|
|
|
|
|
|
|
||||
|
651 |
|
H-Lines Finance Holding Corp., Global Senior Discount Notes (Callable 04/01/08 @ $105.50)+ |
|
(CCC+, Caa2) |
|
04/01/13 |
|
0.000 |
|
567,998 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
TOTAL U.S. CORPORATE BONDS (Cost $297,891,781) |
|
|
|
|
|
|
|
294,290,737 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
ASSET BACKED SECURITIES (0.4%) |
|
|
|
|
|
|
|
|
|
||||
|
900 |
|
Park Place Securities, Inc., Rule 144A, Series 2004-WCW2, Class M10‡# (Cost $817,191) |
|
(BB+, Ba1) |
|
10/25/34 |
|
8.135 |
|
847,474 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
MORTGAGE BACKED SECURITIES (0.0%) |
|
|
|
|
|
|
|
|
|
||||
|
25 |
|
Bank of America Large Loan, Inc., Rule 144A, Series 2006, Class M‡# (Cost $25,000) |
|
(BB, Ba2) |
|
02/09/21 |
|
6.995 |
|
25,078 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
FOREIGN CORPORATE BONDS (12.3%) |
|
|
|
|
|
|
|
|
|
||||
|
Building Materials (0.2%) |
|
|
|
|
|
|
|
|
|
||||
|
1,250 |
|
Maax Holdings, Inc., Global Senior Discount Notes (Callable 12/15/08 @ $105.63) (Canada)+ |
|
(CCC, Caa3) |
|
12/15/12 |
|
0.000 |
|
487,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Chemicals (1.2%) |
|
|
|
|
|
|
|
|
|
||||
|
1,775 |
|
Ineos Group Holdings PLC, Rule 144A, Notes (Callable 02/15/11 @ $104.25) (United Kingdom)‡ |
|
(B-, B2) |
|
02/15/16 |
|
8.500 |
|
1,672,937 |
|
||
|
875 |
|
Rhodia SA, Global Senior Notes (France)§ |
|
(CCC+, B3) |
|
06/01/10 |
|
10.250 |
|
951,563 |
|
||
|
150 |
|
Rhodia SA, Global Senior Subordinated Notes (Callable 06/01/07 @ 104.44) (France)§ |
|
(B-, Caa1) |
|
06/01/11 |
|
8.875 |
|
153,375 |
|
||
|
|
|
|
|
|
|
|
|
|
|
2,777,875 |
|
||
|
Electronics (1.1%) |
|
|
|
|
|
|
|
|
|
||||
|
650 |
|
Avago Technologies Finance, Rule 144A, Senior Subordinated Notes (Callable 12/01/10 @ $105.94) (Singapore)‡ |
|
(CCC+, Caa2) |
|
12/01/15 |
|
11.875 |
|
705,250 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
$ |
950 |
|
Celestica, Inc., Senior Subordinated Notes (Callable 07/01/08 @ $103.94) (Canada)§ |
|
(B, B2) |
|
07/01/11 |
|
7.875 |
|
$ |
945,250 |
|
|
1,000 |
|
New Asat, Ltd., Global Company Guaranteed Notes (Callable 02/01/08 @ $104.63) (Cayman Islands) |
|
(B-, B3) |
|
02/01/11 |
|
9.250 |
|
795,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
2,445,500 |
|
||
|
Food & Drug Retailers (0.7%) |
|
|
|
|
|
|
|
|
|
||||
|
1,775 |
|
Jean Coutu Group PJC, Inc., Global Senior Subordinated Notes (Callable 08/01/09 @ $104.25) (Canada)§ |
|
(B-, Caa2) |
|
08/01/14 |
|
8.500 |
|
1,666,281 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Forestry & Paper (1.9%) |
|
|
|
|
|
|
|
|
|
||||
|
600 |
|
Abitibi-Consolidated, Inc., Global Notes (Canada)§ |
|
(B+, B1) |
|
06/15/11 |
|
7.750 |
|
552,000 |
|
||
|
1,050 |
|
Abitibi-Consolidated, Inc., Yankee Senior Notes (Canada)§ |
|
(B+, B1) |
|
04/01/15 |
|
8.375 |
|
964,687 |
|
||
|
850 |
|
Bowater Canada Finance Corp., Global Company Guaranteed Notes (Canada)§ |
|
(B+, B1) |
|
11/15/11 |
|
7.950 |
|
811,750 |
|
||
|
750 |
|
JSG Funding PLC, Global Senior Notes (Callable 10/01/07 @ $104.81) (Ireland) |
|
(B-, B3) |
|
10/01/12 |
|
9.625 |
|
780,000 |
|
||
|
1,000 |
|
JSG Funding PLC, Global Senior Subordinated Notes (Callable 01/31/10 @ $103.88) (Ireland) |
|
(B-, Caa1) |
|
04/01/15 |
|
7.750 |
|
917,500 |
|
||
|
380 |
|
Tembec Industries, Inc., Yankee Company Guaranteed Notes (Callable 06/30/07 @ $100) (Canada)§ |
|
(CCC-, Ca) |
|
06/30/09 |
|
8.625 |
|
206,150 |
|
||
|
|
|
|
|
|
|
|
|
|
|
4,232,087 |
|
||
|
Holding Companies-Diversified (0.5%) |
|
|
|
|
|
|
|
|
|
||||
|
1,200 |
|
Basell AF SCA, Rule 144A, Company Guaranteed Notes (Callable 08/15/10 @104.19) (Luxembourg)‡ |
|
(B-, B2) |
|
08/15/15 |
|
8.375 |
|
1,171,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Industrial (0.0%) |
|
|
|
|
|
|
|
|
|
||||
|
1,021 |
|
International Utility Structures, Inc., Yankee Senior Subordinated Notes (Callable 08/14/06 @ $100.00) (Canada)ø^ |
|
(NR, NR) |
|
02/01/08 |
|
10.750 |
|
0 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Leisure (0.6%) |
|
|
|
|
|
|
|
|
|
||||
|
1,250 |
|
NCL Corp., Global Senior Notes (Callable 07/15/09 @ $105.31) (Bermuda)# |
|
(B+, B2) |
|
07/15/14 |
|
10.625 |
|
1,225,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Media - Cable (1.2%) |
|
|
|
|
|
|
|
|
|
||||
|
1,050 |
|
Kabel Deutschland GmbH, Rule 144A, Senior Notes (Callable 07/01/09 @ $105.31) (Germany)‡ |
|
(B-, B2) |
|
07/01/14 |
|
10.625 |
|
1,118,250 |
|
||
|
810 |
|
NTL Cable PLC, Global Senior Notes (Callable 08/15/11 @ $104.56) (United Kingdom) |
|
(B-, B2) |
|
08/15/16 |
|
9.125 |
|
824,175 |
|
||
|
883 |
|
Telenet Group Holding NV, Rule 144A, Discount Notes (Callable 12/15/08 @ $105.75) (Belgium)‡+ |
|
(CCC+, Caa1) |
|
06/15/14 |
|
0.000 |
|
754,965 |
|
||
|
|
|
|
|
|
|
|
|
|
|
2,697,390 |
|
||
|
Media - Diversified (0.1%) |
|
|
|
|
|
|
|
|
|
||||
|
225 |
|
Quebecor Media, Inc., Global Senior Notes (Callable 03/15/11 @ 103.88) (Canada) |
|
(B, B2) |
|
03/15/16 |
|
7.750 |
|
222,188 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Oil Field Equipment & Services (0.2%) |
|
|
|
|
|
|
|
|
|
||||
|
500 |
|
Titan Petrochemicals Group, Ltd., Rule 144A, Company Guaranteed Notes (Bermuda)‡ |
|
(B+, B1) |
|
03/18/12 |
|
8.500 |
|
417,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Pharmaceuticals (0.6%) |
|
|
|
|
|
|
|
|
|
||||
|
500 |
|
Biovail Corp., Yankee Senior Subordinated Notes (Callable 04/01/07 @ $101.97) (Canada) |
|
(BB-, B2) |
|
04/01/10 |
|
7.875 |
|
510,000 |
|
||
|
800 |
|
Elan Finance PLC, Global Company Guaranteed Notes (Callable 11/15/08 @ $103.88) (Ireland) |
|
(B, B3) |
|
11/15/11 |
|
7.750 |
|
772,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,282,000 |
|
||
|
Support-Services (0.4%) |
|
|
|
|
|
|
|
|
|
||||
|
1,000 |
|
Ashtead Holdings PLC, Rule 144A, Secured Notes (Callable 08/01/10 @ $104.31) (United Kingdom)‡ |
|
(B, B2) |
|
08/01/15 |
|
8.625 |
|
992,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Telecom - Integrated/Services (1.9%) |
|
|
|
|
|
|
|
|
|
||||
|
650 |
|
Global Crossing UK Finance, Company Guaranteed Notes (Callable 12/15/09 @ $105.38) (United Kingdom) |
|
(B-, Caa1) |
|
12/15/14 |
|
10.750 |
|
692,250 |
|
||
|
1,525 |
|
Intelsat, Ltd., Global Notes (Bermuda)§ |
|
(B, Caa1) |
|
04/15/12 |
|
7.625 |
|
1,279,094 |
|
||
|
650 |
|
Nordic Telephone Co. Holdings, Rule 144A, Senior Notes (Callable 05/01/11 @ $104.44) (Denmark)‡ |
|
(B, B2) |
|
05/01/16 |
|
8.875 |
|
672,750 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
$ |
1,550 |
|
Intelsat, Ltd., Rule 144A, Senior Notes (Callable 06/15/11 @ $105.62) (Bermuda)‡ |
|
(B, Caa1) |
|
06/15/16 |
|
11.250 |
|
$ |
1,573,250 |
|
|
|
|
|
|
|
|
|
|
|
|
4,217,344 |
|
||
|
Telecom - Wireless (0.6%) |
|
|
|
|
|
|
|
|
|
||||
|
750 |
|
Millicom International Cellular SA, Global Senior Notes (Callable 12/01/08 @ $105.00) (Luxembourg)# |
|
(B-, B3) |
|
12/01/13 |
|
10.000 |
|
806,250 |
|
||
|
500 |
|
Rogers Wireless Communications, Inc., Global Secured Notes (Canada) |
|
(BB, Ba2) |
|
03/15/15 |
|
7.500 |
|
515,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,321,250 |
|
||
|
Telecommunication Equipment (0.2%) |
|
|
|
|
|
|
|
|
|
||||
|
425 |
|
Nortel Networks, Ltd., Rule 144A, Company Guaranteed Notes (Canada)‡# |
|
(B-, B3) |
|
07/15/11 |
|
9.730 |
|
429,250 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Transportation - Excluding Air/Rail (0.9%) |
|
|
|
|
|
|
|
|
|
||||
|
445 |
|
Sea Containers, Ltd., Series B, Yankee Senior Notes (Bermuda) |
|
(CCC-, B3) |
|
02/15/08 |
|
7.875 |
|
421,638 |
|
||
|
1,750 |
|
Ship Finance International, Ltd., Global Senior Notes (Callable 12/15/08 @ $104.25) (Bermuda) |
|
(B, B1) |
|
12/15/13 |
|
8.500 |
|
1,653,750 |
|
||
|
|
|
|
|
|
|
|
|
|
|
2,075,388 |
|
||
|
TOTAL FOREIGN CORPORATE BONDS (Cost $29,284,728) |
|
|
|
|
|
|
|
27,660,553 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
|
Number
of |
|
|
|
|
|
|
|
|
|
Value |
|
||
|
COMMON STOCKS (1.5%) |
|
|
|
|
|
|
|
|
|
||||
|
Automobile Parts & Equipment (0.0%) |
|
|
|
|
|
|
|
|
|
||||
|
774,557 |
|
Cambridge Industries Liquidating Trust*^ |
|
|
|
|
|
|
|
0 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Chemicals (0.0%) |
|
|
|
|
|
|
|
|
|
||||
|
4,893 |
|
Huntsman Corp.* |
|
|
|
|
|
|
|
78,043 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Electric - Integrated (0.7%) |
|
|
|
|
|
|
|
|
|
||||
|
58,527 |
|
Mirant Corp.* |
|
|
|
|
|
|
|
1,555,062 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Food - Wholesale (0.4%) |
|
|
|
|
|
|
|
|
|
||||
|
845 |
|
Crunch Equity Holding LLC, Class A* |
|
|
|
|
|
|
|
802,720 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Steel Producers/Products (0.1%) |
|
|
|
|
|
|
|
|
|
||||
|
7,564 |
|
WCI Steel Acquisition, Inc.* |
|
|
|
|
|
|
|
215,574 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Telecom - Wireless (0.3%) |
|
|
|
|
|
|
|
|
|
||||
|
99,764 |
|
Dobson Communications Corp., Class A* |
|
|
|
|
|
|
|
669,417 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
TOTAL COMMON STOCKS (Cost $3,701,341) |
|
|
|
|
|
|
|
3,320,816 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
WARRANTS (0.0%) |
|
|
|
|
|
|
|
|
|
||||
|
Electronics (0.0%) |
|
|
|
|
|
|
|
|
|
||||
|
5,000 |
|
Asat Finance LLC, Rule 144A, strike price $18.60, expires 11/01/06*‡ |
|
|
|
|
|
|
|
625 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Media - Cable (0.0%) |
|
|
|
|
|
|
|
|
|
||||
|
5,980 |
|
Ono Finance PLC, expires 05/31/09* |
|
|
|
|
|
|
|
60 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Media - Diversified (0.0%) |
|
|
|
|
|
|
|
|
|
||||
|
204,293 |
|
Viasystems, Inc., strike price $25.31, expires 01/31/10*^ |
|
|
|
|
|
|
|
2,043 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Telecom - Fixed Line (0.0%) |
|
|
|
|
|
|
|
|
|
||||
|
6,750 |
|
GT Group Telecom, Inc., Rule 144A, strike price $0.00, expires 02/01/10*^‡ |
|
|
|
|
|
|
|
0 |
|
||
|
3,000 |
|
Versatel Telecom International NV, strike price $2.81, expires 05/15/08* |
|
|
|
|
|
|
|
6,154 |
|
||
|
|
|
|
|
|
|
|
|
|
|
6,154 |
|
||
|
TOTAL WARRANTS (Cost $3,937,613) |
|
|
|
|
|
|
|
8,882 |
|
||||
|
Number
of |
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS (13.4%) |
|
|
|
|
|
|
|
|
|
|||
|
15,000,000 |
|
American Beacon Money Market Fund §§ |
|
|
|
|
|
|
|
$ |
15,000,000 |
|
|
15,000,000 |
|
Reserve Funds Primary Fund Class 8 §§ |
|
|
|
|
|
|
|
15,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM INVESTMENTS (Cost $30,000,000) |
|
|
|
|
|
|
|
30,000,000 |
|
|||
|
Par |
|
|
|
|
|
|
|
|
|
|
|
||
|
REPURCHASE AGREEMENTS (18.8%) |
|
|
|
||||||||||
|
$ |
1,133 |
|
Bear Stearns & Co., 5.22%, Dated 07/31/06, due 08/01/06, proceeds at maturity $1,133,240 (fully collateralized by U.S. Treasury Strips, due 02/15/26, Market Value of collateral is $1,167,508) §§ |
|
1,133,076 |
|
|||||||
|
6,387 |
|
Bear Stearns & Co., 3.9843%, Dated 07/31/06, due 08/01/06, proceeds at maturity $6,387,580 (fully collateralized by U.S. Treasury Strips, due 02/15/26, Market Value of collateral is $6,573,180) §§ |
|
6,386,873 |
|
||||||||
|
34,722 |
|
Bear Stearns & Co., 5.3125%, Dated 07/31/06, due 08/01/06, proceeds at maturity $34,727,320 (fully collateralized by U.S. Treasury Strips, due 02/15/26, U.S Treasury Strips, due 11/15/18, U.S. Treasury Bonds, due 08/15/23, Market Value of collateral is $35,729,713) §§ |
|
34,722,196 |
|
||||||||
|
|
|
|
|
|
|
||||||||
|
TOTAL REPURCHASE AGREEMENTS (Cost $42,242,145) |
|
42,242,145 |
|
||||||||||
|
|
|
|
|
|
|
||||||||
|
TOTAL INVESTMENTS AT VALUE (177.6%) (Cost $407,899,799) |
|
398,395,685 |
|
||||||||||
|
|
|
|
|
||||||||||
|
LIABILITIES IN EXCESS OF OTHER ASSETS (-77.6%) |
|
(174,060,764 |
) |
||||||||||
|
|
|
|
|
||||||||||
|
NET ASSETS (100.0%) |
|
$ |
224,334,921 |
|
|||||||||
INVESTMENT ABBREVIATIONS
NR=Not Rated
|
|
Credit ratings given by the Standard & Poor’s Division of The McGraw-Hill Companies, Inc. (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”) 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, 2006, these securities amounted to $49,355,448 or 22.0% of net assets. |
|
+ |
|
Step Bond — The interest stated is as of July 31, 2006 and will reset at a future date. |
|
ø |
|
Bond in default. |
|
* |
|
Non-income producing security. |
|
^ |
|
Not readily marketable; 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. |
|
# |
|
Variable rate obligations – The interest rate shown is the rate as of July 31, 2006. |
|
§§ |
|
Represents security purchased with cash collateral received for securities on loan. |
Security Valuation — The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (“Valuation Time”). If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Investments in mutual funds are valued at the mutual fund’s 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 Fund’s Valuation Time but after the close of the securities’ primary markets, are valued at fair value as determined in good faith by, or under direction of, the Board of Trustees under procedures established by the Board of Trustees.
Federal Income Tax Cost - At July 31, 2006, 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 $407,899,799, $6,256,663, $(15,760,777) and $(9,504,114), respectively.
Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders. This information is also available on the Fund’s website at http://www.credit-suisse.com/us as well as on the website of the Securities and Exchange Commission – http://www.sec.gov.
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 registrant’s 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 registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
1. The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.
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.
|
/s/ Steven Plump |
|
|
|
Name: |
Steven Plump |
|
|
Title: |
Chief Executive Officer |
|
|
Date: |
September 28, 2006 |
|
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/ Steven Plump |
|
|||
|
Name: |
Steven Plump |
|||
|
Title: |
Chief Executive Officer |
|||
|
Date: |
September 28, 2006 |
|||
|
|
|
|
||
|
/s/ Michael A. Pignataro |
|
|||
|
Name: |
Michael A. Pignataro |
|||
|
Title: |
Chief Financial Officer |
|||
|
Date: |
September 28, 2006 |
|||