UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act file number |
811-08777 |
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CREDIT SUISSE HIGH YIELD BOND FUND |
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(Exact name of registrant as specified in charter) |
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c/o Credit Suisse Asset Management, LLC Eleven Madison Avenue New York, New York |
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10010 |
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(Address of principal executive offices) |
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(Zip code) |
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J. Kevin Gao, Esq. Eleven Madison Avenue New York, New York 10010 |
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(Name and address of agent for service) |
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Registrant's telephone number, including area code: |
(212) 325-2000 |
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Date of fiscal year end: |
October 31st |
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Date of reporting period: |
November 1, 2007 to January 31, 2008 |
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Credit Suisse High Yield Bond Fund
Schedule of Investments
January 31, 2008 (unaudited)
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Par |
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Ratings† |
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Maturity |
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Rate% |
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Value |
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U.S. CORPORATE BONDS (131.3%) |
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Aerospace & Defense (2.1%) |
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$ |
425 |
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DRS Technologies, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.81)§ |
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(B, B3) |
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02/01/18 |
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7.625 |
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$ |
421,813 |
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200 |
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DRS Technologies, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $103.44)§ |
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(B, B3) |
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11/01/13 |
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6.875 |
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197,000 |
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625 |
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Hawker Beechcraft Acquisition Co., LLC, Global Senior Unsecured Notes (Callable 04/01/11 @ $104.44)§ |
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(B-, B3) |
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04/01/15 |
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8.875 |
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614,062 |
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325 |
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Hawker Beechcraft Acquisition Co., Series WI, Global Senior Unsecured Notes (Callable 04/01/11 @ $104.25)§ |
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(B-, B3) |
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04/01/15 |
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8.500 |
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323,375 |
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1,275 |
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Hawker Beechcraft Acquisition Co., Series WI, Global Senior Subordinated Notes (Callable 04/01/12 @ $104.88)§ |
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(B-, Caa1) |
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04/01/17 |
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9.750 |
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1,217,625 |
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825 |
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L-3 Communications Corp., Global Senior Subordinated Notes (Callable 01/15/10 @ $102.94) |
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(BB+, Ba3) |
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01/15/15 |
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5.875 |
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806,437 |
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625 |
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TransDigm, Inc., Global Company Guaranteed Notes (Callable 07/15/09 @ $105.81) |
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(B-, B3) |
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07/15/14 |
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7.750 |
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631,250 |
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4,211,562 |
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Agriculture (0.7%) |
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1,325 |
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Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 11/01/08 @ $104.00)‡ |
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(B, Caa1) |
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11/01/10 |
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11.000 |
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1,374,688 |
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Auto Loans (6.7%) |
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1,175 |
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Ford Motor Credit Co. LLC, Global Notes |
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(B, B1) |
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06/15/10 |
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7.875 |
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1,106,696 |
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2,125 |
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Ford Motor Credit Co. LLC, Senior Unsecured Notes |
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(B, B1) |
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12/15/16 |
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8.000 |
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1,786,823 |
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2,900 |
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Ford Motor Credit Co., Global Notes |
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(B, B1) |
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10/01/13 |
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7.000 |
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2,433,822 |
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1,375 |
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Ford Motor Credit Co., Notes |
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(B, B1) |
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06/16/08 |
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6.625 |
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1,372,568 |
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325 |
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Ford Motor Credit Co., Senior Notes |
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(B, B1) |
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08/10/11 |
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9.875 |
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312,054 |
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2,625 |
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General Motors Acceptance Corp., Global Notes§ |
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(BB+, Ba3) |
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05/15/09 |
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5.625 |
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2,541,761 |
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2,475 |
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General Motors Acceptance Corp., Global Notes§ |
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(BB+, Ba3) |
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12/01/14 |
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6.750 |
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2,042,246 |
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1,475 |
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GMAC LLC, Senior Unsubordinated Notes |
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(BB+, Ba3) |
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12/15/11 |
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6.000 |
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1,244,782 |
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725 |
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Navios Maritime Holdings, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ $104.75)§ |
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(B+, B3) |
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12/15/14 |
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9.500 |
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699,625 |
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13,540,377 |
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Auto Parts & Equipment (3.1%) |
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450 |
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Altra Industrial Motion, Inc., Global Secured Notes (Callable 02/01/08 @ $104.50) |
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(B, B2) |
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12/01/11 |
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9.000 |
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441,000 |
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1,025 |
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Altra Industrial Motion, Inc., Global Secured Notes (Callable 12/01/08 @ $104.50)# |
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(B, B2) |
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12/01/11 |
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9.000 |
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1,004,500 |
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775 |
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American Axle & Manufacturing, Inc., Company Guaranteed Notes (Callable 03/01/12 @ $103.94) |
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(BB, Ba3) |
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03/01/17 |
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7.875 |
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699,437 |
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1,200 |
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American Tire Distributors Holdings, Inc., Global Senior Notes (Callable 04/01/09 @ $105.38)§ |
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(CCC+, Caa1) |
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04/01/13 |
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10.750 |
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1,152,000 |
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1,298 |
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Goodyear Tire & Rubber Co., Global Senior Notes (Callable 07/01/10 @ $104.50)§ |
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(B, Ba3) |
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07/01/15 |
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9.000 |
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1,362,900 |
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61 |
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Goodyear Tire & Rubber Co., Global Senior Notes (Callable 12/01/09 @ $104.31) |
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(B, Ba3) |
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12/01/11 |
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8.625 |
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63,059 |
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500 |
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Keystone Automotive Operations, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $104.88) |
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(CCC, Caa2) |
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11/01/13 |
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9.750 |
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337,500 |
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725 |
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Lear Corp., Series B, Global Company Guaranteed Notes (Callable 12/01/10 @ $104.25) |
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(B-, B3) |
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12/01/13 |
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8.500 |
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670,625 |
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575 |
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Visteon Corp., Global Senior Notes |
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(CCC+, Caa2) |
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08/01/10 |
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8.250 |
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472,938 |
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6,203,959 |
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Automotive (3.4%) |
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1,970 |
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Ford Motor Co., Global Notes |
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(CCC+, Caa1) |
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07/16/31 |
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7.450 |
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1,462,725 |
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2,790 |
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General Motors Corp., Global Debentures§ |
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(B-, Caa1) |
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07/15/33 |
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8.375 |
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2,280,825 |
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3,500 |
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General Motors Corp., Global Senior Notes§ |
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(B-, Caa1) |
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07/15/13 |
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7.125 |
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2,992,500 |
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6,736,050 |
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Beverages (0.6%) |
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400 |
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Constellation Brands, Inc., Company Guaranteed Notes§ |
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(BB-, Ba3) |
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12/15/14 |
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8.375 |
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414,000 |
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Par |
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Ratings† |
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Maturity |
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Rate% |
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Value |
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U.S. CORPORATE BONDS |
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Beverages |
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$ |
850 |
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Constellation Brands, Inc., Company Guaranteed Notes |
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(BB-, Ba3) |
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09/01/16 |
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7.250 |
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$ |
816,000 |
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1,230,000 |
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Brokerage (0.3%) |
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775 |
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E*TRADE Financial Corp., Global Senior Notes (Callable 06/15/08 @ $104.00) |
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(B, Ba3) |
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06/15/11 |
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8.000 |
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670,375 |
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Building & Construction (1.2%) |
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1,425 |
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Ashton Woods USA/Finance, Global Company Guaranteed Notes (Callable 10/01/10 @ $104.75) |
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(B-, Caa2) |
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10/01/15 |
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9.500 |
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698,250 |
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625 |
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K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes |
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(B+, B2) |
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01/15/16 |
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6.250 |
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432,813 |
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900 |
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Standard Pacific Corp., Global Senior Notes§ |
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(BB-, B1) |
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08/15/15 |
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7.000 |
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625,500 |
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|
300 |
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WCI Communities, Inc., Global Company Guaranteed Notes (Callable 03/15/10 @ $103.31)§ |
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(B-, Caa3) |
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03/15/15 |
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6.625 |
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157,500 |
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1,000 |
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William Lyon Homes, Inc., Company Guaranteed Notes (Callable 04/01/08 @ $105.38) |
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(B-, Caa2) |
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04/01/13 |
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10.750 |
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570,000 |
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2,484,063 |
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Building Materials (5.0%) |
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1,000 |
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Associated Materials, Inc., Global Senior Discount Notes (Callable 03/01/09 @ $105.63)+ |
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(CCC, Caa2) |
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03/01/14 |
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0.000 |
|
655,000 |
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|
1,375 |
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Building Materials Corp., Global Company Guaranteed Notes (Callable 08/01/09 @ $103.88) |
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(BB-, B2) |
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08/01/14 |
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7.750 |
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1,024,375 |
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1,550 |
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Coleman Cable, Inc., Global Company Guaranteed Notes (Callable 10/01/08 @ $104.94) |
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(B, B2) |
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10/01/12 |
|
9.875 |
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1,404,687 |
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|
750 |
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CPG International I, Inc., Global Senior Notes (Callable 07/01/09 @ $105.25) |
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(B-, B3) |
|
07/01/13 |
|
10.500 |
|
671,250 |
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|
500 |
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Dayton Superior Corp., Company Guaranteed Notes (Callable 06/15/08 @ $100.00)§ |
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(CCC+, Caa1) |
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06/15/09 |
|
13.000 |
|
421,250 |
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|
750 |
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Dayton Superior Corp., Global Company Guaranteed Notes (Callable 06/15/08 @ $100.00) |
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(B, B1) |
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09/15/08 |
|
10.750 |
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755,625 |
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|
625 |
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General Cable Corp., Global Company Guaranteed Notes (Callable 04/01/09 @ $102.00)# |
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(B+, B1) |
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04/01/15 |
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7.104 |
|
559,375 |
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|
1,125 |
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Goodman Global Holding Company, Inc., Global Senior Subordinated Notes (Callable 12/15/08 @ $103.94) |
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(B-, B3) |
|
12/15/12 |
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7.875 |
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1,216,800 |
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|
125 |
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Interface, Inc., Global Senior Subordinated Notes (Callable 02/01/09 @ $104.75) |
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(B-, B3) |
|
02/01/14 |
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9.500 |
|
128,438 |
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|
325 |
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Norcraft Companies, Global Senior Subordinated Notes (Callable 11/01/08 @ $102.25) |
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(B-, B1) |
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11/01/11 |
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9.000 |
|
325,000 |
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|
750 |
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Norcraft Holdings, Global Senior Discount Notes (Callable 09/01/08 @ $104.88)+ |
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(B-, B3) |
|
09/01/12 |
|
0.000 |
|
656,250 |
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|
825 |
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Nortek, Inc., Global Senior Subordinated Notes (Callable 09/01/09 @ $104.25)§ |
|
(CCC+, B3) |
|
09/01/14 |
|
8.500 |
|
647,625 |
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|
1,000 |
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NTK Holdings, Inc., Global Senior Discount Notes (Callable 09/01/09 @ $105.38)§+ |
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(CCC+, Caa1) |
|
03/01/14 |
|
0.000 |
|
565,000 |
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|
1,425 |
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Ply Gem Industries, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $104.50)§ |
|
(CCC+, Caa1) |
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02/15/12 |
|
9.000 |
|
1,068,750 |
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10,099,425 |
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Chemicals (4.2%) |
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|
1,475 |
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Chemtura Corp., Company Guaranteed Notes |
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(BB+, Ba2) |
|
06/01/16 |
|
6.875 |
|
1,349,625 |
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|
1,200 |
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KI Holdings, Inc., Global Senior Discount Notes (Callable 11/15/09 @ $104.94)+ |
|
(B-, B3) |
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11/15/14 |
|
0.000 |
|
1,020,000 |
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|
1,125 |
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Momentive Performance Materials, Global Company Guaranteed Notes (Callable 12/01/10 @ $104.88) |
|
(B-, B3) |
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12/01/14 |
|
10.000 |
|
1,023,750 |
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|
1,050 |
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Momentive Performance Materials, Global Company Guaranteed Notes (Callable 12/01/11 @ $105.75)§ |
|
(CCC+, Caa2) |
|
12/01/16 |
|
11.500 |
|
825,562 |
|
||
|
1,275 |
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Nalco Finance Holdings, Inc., Global Senior Notes (Callable 02/01/09 @ $104.50)+ |
|
(B-, B3) |
|
02/01/14 |
|
0.000 |
|
1,153,875 |
|
||
|
925 |
|
PolyOne Corp., Senior Notes |
|
(B+, B1) |
|
05/01/12 |
|
8.875 |
|
929,625 |
|
||
|
950 |
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Reichhold Industries, Inc., Rule 144A, Senior Notes (Callable 08/15/10 @ $104.50)‡ |
|
(BB-, B2) |
|
08/15/14 |
|
9.000 |
|
940,500 |
|
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|
Par |
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
|||
|
|
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|
|
|
|
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|
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|
U.S. CORPORATE BONDS |
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|
|
|
|
|
|
|
|
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Chemicals |
|
|
|
|
|
|
|
|
|
||||
|
$ |
1,150 |
|
Terra Capital, Inc., Series B, Global Company Guaranteed Notes (Callable 02/01/12 @ $103.50) |
|
(BB-, B1) |
|
02/01/17 |
|
7.000 |
|
$ |
1,135,625 |
|
|
|
|
|
|
|
|
|
|
|
|
8,378,562 |
|
||
|
Computer Hardware (0.3%) |
|
|
|
|
|
|
|
|
|
||||
|
825 |
|
Activant Solutions, Inc., Global Company Guaranteed Notes (Callable 05/01/11 @ $104.75) |
|
(CCC+, Caa1) |
|
05/01/16 |
|
9.500 |
|
700,219 |
|
||
|
Consumer Products (2.4%) |
|
|
|
|
|
|
|
|
|
||||
|
1,850 |
|
AAC Group Holding Corp., Global Senior Discount Notes (Callable 10/01/08 @ $105.13)§+ |
|
(CCC+, Caa1) |
|
10/01/12 |
|
0.000 |
|
1,544,750 |
|
||
|
1,650 |
|
Amscan Holdings, Inc., Global Senior Subordinated Notes (Callable 05/01/09 @ $104.38) |
|
(CCC+, Caa1) |
|
05/01/14 |
|
8.750 |
|
1,476,750 |
|
||
|
925 |
|
Jarden Corp., Company Guaranteed Notes (Callable 05/01/12 @ $103.75) |
|
(B-, B3) |
|
05/01/17 |
|
7.500 |
|
795,500 |
|
||
|
940 |
|
Prestige Brands, Inc., Global Senior Subordinated Notes (Callable 04/15/08 @ $104.63) |
|
(B-, B3) |
|
04/15/12 |
|
9.250 |
|
937,650 |
|
||
|
|
|
|
|
|
|
|
|
|
|
4,754,650 |
|
||
|
Consumer/Commercial/Lease Financing (0.4%) |
|
|
|
|
|
|
|
|
|
||||
|
1,225 |
|
Residential Capital LLC, Company Guaranteed Notes# |
|
(BB+, Ba3) |
|
02/22/11 |
|
7.500 |
|
771,750 |
|
||
|
Diversified Capital Goods (3.1%) |
|
|
|
|
|
|
|
|
|
||||
|
925 |
|
Esco Corp., Rule 144A, Senior Notes (Callable 12/15/08 @ $102.00)‡# |
|
(B, B2) |
|
12/15/13 |
|
8.866 |
|
837,125 |
|
||
|
100 |
|
Esco Corp., Rule 144A, Senior Notes (Callable 12/15/10 @ $104.31)‡ |
|
(B, B2) |
|
12/15/13 |
|
8.625 |
|
96,000 |
|
||
|
700 |
|
RBS Global & Rexnord Corp., Global Company Guaranteed Notes (Callable 08/01/10 @ $104.75)§ |
|
(CCC+, B3) |
|
08/01/14 |
|
9.500 |
|
635,250 |
|
||
|
750 |
|
RBS Global & Rexnord Corp., Global Company Guaranteed Notes (Callable 08/01/11 @ $105.88)§ |
|
(CCC+, Caa1) |
|
08/01/16 |
|
11.750 |
|
641,250 |
|
||
|
950 |
|
Sensus Metering Systems, Global Senior Subordinated Notes (Callable 12/15/08 @ $104.31) |
|
(B-, B3) |
|
12/15/13 |
|
8.625 |
|
907,250 |
|
||
|
1,200 |
|
Stanadyne Corp., Series 1 Global Senior Subordinated Notes (Callable 08/15/09 @ $105.00) |
|
(CCC+, B3) |
|
08/15/14 |
|
10.000 |
|
1,086,000 |
|
||
|
1,025 |
|
Titan International, Inc., Global Company Guaranteed Notes§ |
|
(B, Caa1) |
|
01/15/12 |
|
8.000 |
|
966,062 |
|
||
|
1,138 |
|
TriMas Corp., Global Company Guaranteed Notes (Callable 06/15/08 @ $103.29) |
|
(B-, B3) |
|
06/15/12 |
|
9.875 |
|
1,041,270 |
|
||
|
|
|
|
|
|
|
|
|
|
|
6,210,207 |
|
||
|
Electric - Generation (5.5%) |
|
|
|
|
|
|
|
|
|
||||
|
2,050 |
|
AES Corp., Global Senior Unsecured Notes |
|
(B, B1) |
|
10/15/17 |
|
8.000 |
|
2,101,250 |
|
||
|
175 |
|
AES Corp., Senior Notes |
|
(B, B1) |
|
03/01/14 |
|
7.750 |
|
179,375 |
|
||
|
1,475 |
|
Calpine Generating Company LLC, Global Secured Notes (Callable 04/01/08 @ $103.50)#ø |
|
(D, NR) |
|
04/01/10 |
|
11.070 |
|
62,688 |
|
||
|
1,225 |
|
Dynegy Holdings, Inc., Global Senior Unsecured Notes§ |
|
(B-, B2) |
|
06/01/19 |
|
7.750 |
|
1,120,875 |
|
||
|
1,025 |
|
Dynegy Holdings, Inc., Global Senior Unsecured Notes |
|
(B-, B2) |
|
06/01/15 |
|
7.500 |
|
960,937 |
|
||
|
1,825 |
|
Dynegy Holdings, Inc., Global Senior Unsecured Notes§ |
|
(B-, B2) |
|
05/01/16 |
|
8.375 |
|
1,783,937 |
|
||
|
1,300 |
|
Edison Mission Energy, Global Senior Unsecured Notes§ |
|
(BB-, B1) |
|
05/15/17 |
|
7.000 |
|
1,270,750 |
|
||
|
300 |
|
Edison Mission Energy, Global Senior Unsecured Notes |
|
(BB-, B1) |
|
05/15/19 |
|
7.200 |
|
294,000 |
|
||
|
438 |
|
Midwest Generation LLC, Series B, Global Pass Thru Certificates |
|
(BB+, Baa3) |
|
01/02/16 |
|
8.560 |
|
471,688 |
|
||
|
350 |
|
NRG Energy, Inc., Company Guaranteed Notes (Callable 01/15/12 @ $103.69) |
|
(B, B1) |
|
01/15/17 |
|
7.375 |
|
339,938 |
|
||
|
675 |
|
NRG Energy, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.69)§ |
|
(B, B1) |
|
02/01/16 |
|
7.375 |
|
653,906 |
|
||
|
900 |
|
Reliant Energy, Inc., Senior Notes |
|
(B-, B3) |
|
06/15/14 |
|
7.625 |
|
882,000 |
|
||
|
925 |
|
Reliant Energy, Inc., Senior Notes |
|
(B-, B3) |
|
06/15/17 |
|
7.875 |
|
906,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
11,027,844 |
|
||
|
Electric - Integrated (2.7%) |
|
|
|
|
|
|
|
|
|
||||
|
625 |
|
Energy Future Holdings |
|
(CCC+, B3) |
|
11/01/17 |
|
10.875 |
|
621,875 |
|
||
|
225 |
|
Mirant Americas Generation, LLC., Senior Unsecured Notes |
|
(B-, B3) |
|
05/01/11 |
|
8.300 |
|
228,375 |
|
||
|
800 |
|
Mirant Americas Generation, LLC., Senior Unsecured Notes |
|
(B-, B3) |
|
10/01/21 |
|
8.500 |
|
710,000 |
|
||
|
525 |
|
Texas Competitive Electric Holdings Co. LLC, Series B, Rule 144A, Company Guaranteed Notes (Callable 11/01/11 @ $105.13)‡ |
|
(CCC, B3) |
|
11/01/15 |
|
10.250 |
|
518,437 |
|
||
|
Par |
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
|
Electric - Integrated |
|
|
|
|
|
|
|
|
|
||||
|
$ |
3,300 |
|
Texas Competitive Electric Holdings Co., LLC, Series A, Rule 144A, Company Guaranteed Notes (Callable 11/01/11 @ $105.13)‡ |
|
(CCC, B3) |
|
11/01/15 |
|
10.250 |
|
$ |
3,258,750 |
|
|
|
|
|
|
|
|
|
|
|
|
5,337,437 |
|
||
|
Electronics (3.7%) |
|
|
|
|
|
|
|
|
|
||||
|
1,575 |
|
Amkor Technology, Inc., Global Senior Notes (Callable 05/15/08 @ $103.88) |
|
(B, B1) |
|
05/15/13 |
|
7.750 |
|
1,415,531 |
|
||
|
195 |
|
Ampex Corp., Secured Notes^ |
|
(NR, NR) |
|
08/15/08 |
|
12.000 |
|
189,101 |
|
||
|
225 |
|
Freescale Semiconductor, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ $104.44)§ |
|
(B-, B2) |
|
12/15/14 |
|
8.875 |
|
183,938 |
|
||
|
2,775 |
|
Freescale Semiconductor, Inc., Senior Subordinated Notes§ |
|
(B-, B3) |
|
12/15/16 |
|
10.125 |
|
1,991,062 |
|
||
|
1,000 |
|
Sanmina-SCI Corp., Global Company Guaranteed Notes (Callable 03/01/09 @ $103.37) |
|
(B-, B3) |
|
03/01/13 |
|
6.750 |
|
870,000 |
|
||
|
775 |
|
Sanmina-SCI Corp., Senior Subordinated Notes (Callable 03/01/11 @ $104.06) |
|
(B-, B3) |
|
03/01/16 |
|
8.125 |
|
680,063 |
|
||
|
1,225 |
|
Spansion, Inc., Rule 144A, Senior Notes (Callable 01/15/11 @ $105.62)ठ|
|
(B, Caa1) |
|
01/15/16 |
|
11.250 |
|
863,625 |
|
||
|
1,200 |
|
Viasystems, Inc., Global Senior Unsecured Notes (Callable 03/27/08 @ $105.25) |
|
(B-, Caa1) |
|
01/15/11 |
|
10.500 |
|
1,170,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
7,363,320 |
|
||
|
Energy - Exploration & Production (4.7%) |
|
|
|
|
|
|
|
|
|
||||
|
1,225 |
|
Chaparral Energy, Inc., Rule 144A, Senior Notes (Callable 02/01/12 @ $104.44)‡ |
|
(CCC+, Caa1) |
|
02/01/17 |
|
8.875 |
|
1,029,000 |
|
||
|
1,983 |
|
Chesapeake Energy Corp., Senior Notes (Callable 01/15/09 @ $103.44) |
|
(BB, Ba3) |
|
01/15/16 |
|
6.875 |
|
1,973,085 |
|
||
|
1,050 |
|
Encore Acquisition Co., Company Guaranteed Notes (Callable 12/01/10 @ $103.63) |
|
(B, B1) |
|
12/01/17 |
|
7.250 |
|
1,015,875 |
|
||
|
175 |
|
Forest Oil Corp., Global Company Guaranteed Notes (Callable 05/01/08 @ $102.58)§ |
|
(B+, B1) |
|
05/01/14 |
|
7.750 |
|
178,500 |
|
||
|
325 |
|
Forest Oil Corp., Rule 144A, Senior Notes (Callable 06/15/12 @ $103.63)ठ|
|
(B+, B1) |
|
06/15/19 |
|
7.250 |
|
326,625 |
|
||
|
975 |
|
Hilcorp Energy I, Rule 144A, Senior Notes (Callable 06/01/11 @ $104.50)ठ|
|
(B, B3) |
|
06/01/16 |
|
9.000 |
|
979,875 |
|
||
|
1,275 |
|
Petrohawk Energy Corp., Global Company Guaranteed Notes (Callable 07/15/10 @ $104.56) |
|
(B, B3) |
|
07/15/13 |
|
9.125 |
|
1,322,812 |
|
||
|
1,575 |
|
Plains Exploration & Production, Co., Company Guaranteed Notes (Callable 06/15/11 @ $103.88) |
|
(BB-, B1) |
|
06/15/15 |
|
7.750 |
|
1,584,844 |
|
||
|
1,100 |
|
Southwestern Energy Co., Rule 144A, Senior Notes‡ |
|
(BB+, Ba2) |
|
02/01/18 |
|
7.500 |
|
1,135,750 |
|
||
|
|
|
|
|
|
|
|
|
|
|
9,546,366 |
|
||
|
Environmental (1.6%) |
|
|
|
|
|
|
|
|
|
||||
|
1,475 |
|
Allied Waste North America, Inc., Series B, Global Senior Notes (Callable 04/15/09 @ $103.69)§ |
|
(B+, B2) |
|
04/15/14 |
|
7.375 |
|
1,434,438 |
|
||
|
1,800 |
|
Waste Services, Inc., Global Senior Subordinated Notes (Callable 04/15/09 @ $104.75) |
|
(CCC+, Caa1) |
|
04/15/14 |
|
9.500 |
|
1,683,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,117,438 |
|
||
|
Food & Drug Retailers (1.8%) |
|
|
|
|
|
|
|
|
|
||||
|
1,925 |
|
Duane Reade, Inc., Global Senior Subordinated Notes (Callable 08/01/08 @ $104.88)§ |
|
(CC, Caa3) |
|
08/01/11 |
|
9.750 |
|
1,684,375 |
|
||
|
250 |
|
Ingles Markets, Inc., Global Senior Subordinated Notes (Callable 3/27/08 @ $102.90) |
|
(B, B3) |
|
12/01/11 |
|
8.875 |
|
254,375 |
|
||
|
400 |
|
Rite Aid Corp., Global Company Guaranteed Notes (Callable 06/15/11 @ $104.69) |
|
(CCC+, Caa1) |
|
12/15/15 |
|
9.375 |
|
305,000 |
|
||
|
75 |
|
Stater Brothers Holdings, Inc., Global Company Guaranteed Notes (Callable 04/15/11 @ $103.88) |
|
(B+, B2) |
|
04/15/15 |
|
7.750 |
|
70,875 |
|
||
|
1,225 |
|
Stater Brothers Holdings, Inc., Global Senior Notes (Callable 06/15/08 @ $104.06) |
|
(B+, B2) |
|
06/15/12 |
|
8.125 |
|
1,200,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,515,125 |
|
||
|
Food - Wholesale (1.6%) |
|
|
|
|
|
|
|
|
|
||||
|
825 |
|
Dole Food Co., Debentures§# |
|
(B-, Caa1) |
|
07/15/13 |
|
8.750 |
|
701,250 |
|
||
|
Par |
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
|
Food - Wholesale |
|
|
|
|
|
|
|
|
|
||||
|
$ |
175 |
|
Dole Food Co., Inc., Global Co. Guaranteed Notes (Callable 03/15/08 @ $102.22) |
|
(B-, Caa1) |
|
03/15/11 |
|
8.875 |
|
$ |
156,625 |
|
|
950 |
|
National Beef Packing Co. LLC, Global Senior Unsecured Notes (Callable 08/01/08 @ $102.63) |
|
(B-, Caa1) |
|
08/01/11 |
|
10.500 |
|
878,750 |
|
||
|
1,575 |
|
Smithfield Foods, Inc., Senior Unsecured Notes |
|
(BB, Ba3) |
|
07/01/17 |
|
7.750 |
|
1,496,250 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,232,875 |
|
||
|
Forestry & Paper (5.1%) |
|
|
|
|
|
|
|
|
|
||||
|
800 |
|
Boise Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/09 @ $103.56)§ |
|
(B+, B2) |
|
10/15/14 |
|
7.125 |
|
766,000 |
|
||
|
1,900 |
|
Cellu Tissue Holdings, Inc., Global Secured Notes (Callable 03/15/08 @ $103.67) |
|
(B, B2) |
|
03/15/10 |
|
9.750 |
|
1,786,000 |
|
||
|
250 |
|
Georgia-Pacific Corp., Debentures |
|
(B, B2) |
|
06/15/15 |
|
7.700 |
|
242,500 |
|
||
|
750 |
|
Georgia-Pacific Corp., Global Senior Notes |
|
(B, B2) |
|
01/15/24 |
|
8.000 |
|
690,000 |
|
||
|
300 |
|
Georgia-Pacific Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ $103.56)‡ |
|
(B, Ba3) |
|
01/15/17 |
|
7.125 |
|
287,250 |
|
||
|
800 |
|
Graphic Packaging International Corp., Global Senior Subordinated Notes (Callable 08/15/08 @ $104.75) |
|
(B-, B3) |
|
08/15/13 |
|
9.500 |
|
758,000 |
|
||
|
625 |
|
Newark Group, Inc., Global Senior Subordinated Notes (Callable 03/15/09 @ $104.88) |
|
(B-, B3) |
|
03/15/14 |
|
9.750 |
|
603,125 |
|
||
|
500 |
|
NewPage Corp., Global Company Guaranteed Notes (Callable 05/01/09 @ $106.00) |
|
(B-, B2) |
|
05/01/12 |
|
10.000 |
|
500,000 |
|
||
|
1,025 |
|
NewPage Corp., Global Company Guaranteed Notes (Callable 05/01/09 @ $106.00)§ |
|
(CCC+, B3) |
|
05/01/13 |
|
12.000 |
|
1,019,875 |
|
||
|
2,475 |
|
Smurfit-Stone Container, Global Senior Notes (Callable 07/01/08 @ $102.79) |
|
(B-, B3) |
|
07/01/12 |
|
8.375 |
|
2,406,937 |
|
||
|
1,125 |
|
Verso Paper Holdings LLC/ Inc., Series B, Global Company Guaranteed Notes (Callable 08/01/11 @ $105.69) |
|
(CCC+, B3) |
|
08/01/16 |
|
11.375 |
|
1,080,000 |
|
||
|
75 |
|
Verso Paper Holdings LLC/ Inc., Series B, Global Secured Notes (Callable 08/01/10 @ $104.56) |
|
(B+, B2) |
|
08/01/14 |
|
9.125 |
|
73,125 |
|
||
|
|
|
|
|
|
|
|
|
|
|
10,212,812 |
|
||
|
Gaming (6.7%) |
|
|
|
|
|
|
|
|
|
||||
|
1,125 |
|
Buffalo Thunder Development Authority, Rule 144A, Secured Notes (Callable 12/15/10 @ $104.69)‡ |
|
(B, B2) |
|
12/15/14 |
|
9.375 |
|
945,000 |
|
||
|
200 |
|
Caesars Entertainment, Inc., Global Senior Subordinated Notes |
|
(B-, Caa1) |
|
03/15/10 |
|
7.875 |
|
189,250 |
|
||
|
1,225 |
|
CCM Merger, Inc., Rule 144A, Notes (Callable 08/01/09 @ $104.00)‡ |
|
(CCC+, B3) |
|
08/01/13 |
|
8.000 |
|
1,102,500 |
|
||
|
290 |
|
Choctaw Resort Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/11 @ $103.63)‡ |
|
(BB, Ba2) |
|
11/15/19 |
|
7.250 |
|
275,500 |
|
||
|
625 |
|
Fontainebleau Las Vegas, Rule 144A, Second Mortgage Notes (Callable 06/15/11 @ $105.13)‡ |
|
(CCC+, Caa1) |
|
06/15/15 |
|
10.250 |
|
471,875 |
|
||
|
900 |
|
Herbst Gaming, Inc., Global Senior Subordinated Notes (Callable 06/01/08 @ $104.06) |
|
(CCC+, Caa1) |
|
06/01/12 |
|
8.125 |
|
378,000 |
|
||
|
750 |
|
Inn of the Mountain Gods, Global Senior Notes (Callable 03/31/08 @ $106.00)§ |
|
(B, B3) |
|
11/15/10 |
|
12.000 |
|
750,000 |
|
||
|
1,450 |
|
Jacobs Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/15/10 @ $104.88) |
|
(B-, B3) |
|
06/15/14 |
|
9.750 |
|
1,283,250 |
|
||
|
525 |
|
Majestic Star Casino LLC, Company Guaranteed Notes (Callable 10/15/08 @ $102.38) |
|
(B+, B2) |
|
10/15/10 |
|
9.500 |
|
471,187 |
|
||
|
900 |
|
Majestic Star Casino LLC, Global Senior Unsecured Notes (Callable 10/15/08 @ $104.88)§ |
|
(CCC, Caa2) |
|
01/15/11 |
|
9.750 |
|
544,500 |
|
||
|
1,275 |
|
Mashantucket Pequot Tribe, Rule 144A, Bonds (Callable 11/15/11 @ $104.25)‡ |
|
(BB+, Ba1) |
|
11/15/15 |
|
8.500 |
|
1,217,625 |
|
||
|
250 |
|
MGM Mirage, Inc., Company Guaranteed Notes |
|
(BB, Ba2) |
|
04/01/16 |
|
6.875 |
|
232,500 |
|
||
|
1,000 |
|
MGM Mirage, Inc., Company Guaranteed Notes§ |
|
(BB, Ba2) |
|
06/01/16 |
|
7.500 |
|
965,000 |
|
||
|
1,425 |
|
MGM Mirage, Inc., Company Guaranteed Notes |
|
(BB, Ba2) |
|
01/15/17 |
|
7.625 |
|
1,389,375 |
|
||
|
175 |
|
MGM Mirage, Inc., Global Company Guaranteed Notes |
|
(BB, Ba2) |
|
04/01/13 |
|
6.750 |
|
167,563 |
|
||
|
1,725 |
|
Tropicana Entertainment LLC., Global Senior Subordinated Notes (Callable 12/15/10 @ $104.81)§ |
|
(CCC+, Caa3) |
|
12/15/14 |
|
9.625 |
|
1,052,250 |
|
||
|
1,250 |
|
Trump Entertainment Resorts, Inc., Secured Notes (Callable 06/01/10 @ $104.25) |
|
(B, Caa1) |
|
06/01/15 |
|
8.500 |
|
906,250 |
|
||
|
775 |
|
Turning Stone Resort Casino Enterprise, Rule 144A, Senior Notes (Callable 09/15/10 @ $104.56)‡ |
|
(B+, B1) |
|
09/15/14 |
|
9.125 |
|
759,500 |
|
||
|
Par |
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
|||||
|
Gaming |
|
|
|
|
|
|
|
|
|
|||||
|
$ |
400 |
|
Wynn Las Vegas LLC, Global First Mortgage Notes (Callable 12/01/09 @ $103.31)§ |
|
(BBB-, Ba2) |
|
12/01/14 |
|
6.625 |
|
$ |
387,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
13,488,625 |
|
|||
|
Gas Distribution (1.9%) |
|
|
|
|
|
|
|
|
|
|||||
|
500 |
|
Amerigas Partners LP, Senior Unsecured |
|
(NR, B1) |
|
05/20/15 |
|
7.250 |
|
496,250 |
|
|||
|
1,625 |
|
El Paso Performance-Link, Rule 144A, Notes‡ |
|
(BB, Ba3) |
|
07/15/11 |
|
7.750 |
|
1,679,376 |
|
|||
|
825 |
|
Inergy LP/Inergy Finance Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13) |
|
(B+, B1) |
|
03/01/16 |
|
8.250 |
|
845,625 |
|
|||
|
700 |
|
Williams Partners LP, Global Senior Unsecured Notes§ |
|
(B+, Ba3) |
|
02/01/17 |
|
7.250 |
|
728,000 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
3,749,251 |
|
|||
|
Health Services (9.6%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,215 |
|
Bausch & Lomb, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/11 @ $104.94)‡ |
|
(B-, Caa1) |
|
11/01/15 |
|
9.875 |
|
1,236,263 |
|
|||
|
1,875 |
|
HCA, Inc., Global Secured Notes (Callable 11/15/11 @ $104.63) |
|
(BB-, B2) |
|
11/15/16 |
|
9.250 |
|
1,971,094 |
|
|||
|
1,300 |
|
HCA, Inc., Global Senior Unsecured Notes |
|
(B-, Caa1) |
|
01/15/15 |
|
6.375 |
|
1,114,750 |
|
|||
|
4,575 |
|
HCA, Inc., Global Senior Unsecured Notes§ |
|
(B-, Caa1) |
|
02/15/16 |
|
6.500 |
|
3,905,906 |
|
|||
|
1,050 |
|
HCA, Inc., Senior Unsecured Notes |
|
(B-, Caa1) |
|
02/15/13 |
|
6.250 |
|
942,375 |
|
|||
|
1,275 |
|
Healthsouth Corp., Global Company Guaranteed Notes (Callable 06/15/11 @ $105.38)§ |
|
(CCC+, Caa1) |
|
06/15/16 |
|
10.750 |
|
1,335,562 |
|
|||
|
850 |
|
Iasis Healthcare/Capital Corp., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.38)§ |
|
(CCC+, B3) |
|
06/15/14 |
|
8.750 |
|
854,250 |
|
|||
|
800 |
|
Senior Housing Properties Trust, Senior Notes |
|
(BB+, Ba1) |
|
01/15/12 |
|
8.625 |
|
852,000 |
|
|||
|
750 |
|
Stewart Enterprises, Inc., Global Senior Notes (Callable 02/15/09 @ $103.13) |
|
(B+, Ba3) |
|
02/15/13 |
|
6.250 |
|
705,000 |
|
|||
|
2,750 |
|
Tenet Healthcare Corp., Global Senior Notes |
|
(CCC+, Caa1) |
|
07/01/14 |
|
9.875 |
|
2,640,000 |
|
|||
|
500 |
|
Tenet Healthcare Corp., Global Senior Notes# |
|
(CCC+, Caa1) |
|
02/01/15 |
|
9.250 |
|
462,500 |
|
|||
|
500 |
|
Universal Hospital Services, Inc., Global Secured Notes (Callable 06/01/09 @ $102.00)# |
|
(B+, B3) |
|
06/01/15 |
|
8.288 |
|
477,500 |
|
|||
|
325 |
|
Universal Hospital Services, Inc., Global Secured Notes (Callable 06/01/11 @ $104.25)# |
|
(B+, B3) |
|
06/01/15 |
|
8.500 |
|
329,875 |
|
|||
|
1,600 |
|
Vanguard Health Holding Co., Global Senior Subordinated Notes (Callable 10/01/09 @ $104.50)§ |
|
(CCC+, Caa1) |
|
10/01/14 |
|
9.000 |
|
1,524,000 |
|
|||
|
1,025 |
|
Varietal Distribution, Rule 144A, Senior Notes (Callable 07/15/11 @ $105.13)‡ |
|
(CCC+, Caa1) |
|
07/15/15 |
|
10.250 |
|
963,500 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
19,314,575 |
|
|||
|
Healthcare Services (1.0%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,925 |
|
Community Health Systems, Inc., Global Company Guaranteed Notes (Callable 07/15/11 @ $104.44) |
|
(B-, B3) |
|
07/15/15 |
|
8.875 |
|
1,946,656 |
|
|||
|
Hotels (0.6%) |
|
|
|
|
|
|
|
|
|
|||||
|
350 |
|
Host Hotels & Resorts LP, Global Secured Notes (Callable 11/01/10 @ $103.44)§ |
|
(BB, Ba1) |
|
11/01/14 |
|
6.875 |
|
345,625 |
|
|||
|
975 |
|
Host Marriott LP, Series Q, Global Company Guaranteed Notes (Callable 06/01/11 @ $103.33) |
|
(BB, Ba1) |
|
06/01/16 |
|
6.750 |
|
943,313 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
1,288,938 |
|
|||
|
Household & Leisure Products (1.0%) |
|
|
|
|
|
|
|
|
|
|||||
|
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 |
|
935,000 |
|
|||
|
500 |
|
Ames True Temper, Inc., Global Company Guaranteed Notes (Callable 01/15/08 @ $101.50)# |
|
(CCC+, Caa1) |
|
01/15/12 |
|
8.258 |
|
407,500 |
|
|||
|
1,400 |
|
Ames True Temper, Inc., Global Senior Subordinated Notes (Callable 07/15/08 @ $105.00)§ |
|
(CCC-, Caa3) |
|
07/15/12 |
|
10.000 |
|
679,000 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
2,021,500 |
|
|||
|
Industrial (0.4%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,075 |
|
WMG Acquisition Corp., Global Senior Subordinated Notes (Callable 04/15/09 @ $103.69) |
|
(B, B2) |
|
04/15/14 |
|
7.375 |
|
843,875 |
|
|||
|
Leisure (0.9%) |
|
|
|
|
|
|
|
|
|
|||||
|
500 |
|
Bluegreen Corp., Series B, Company Guaranteed Notes |
|
(B-, B3) |
|
04/01/08 |
|
10.500 |
|
503,125 |
|
|||
|
875 |
|
Six Flags, Inc., Global Senior Notes (Callable 02/01/08 @ $101.48)§ |
|
(CCC-, Caa2) |
|
02/01/10 |
|
8.875 |
|
645,313 |
|
|||
|
Par |
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
|||||
|
Leisure |
|
|
|
|
|
|
|
|
|
|
|
|||
|
$ |
175 |
|
Six Flags, Inc., Global Senior Notes (Callable 04/15/08 @ $104.88)§ |
|
(CCC-, Caa2) |
|
04/15/13 |
|
9.750 |
|
$ |
119,875 |
|
|
|
900 |
|
Six Flags, Inc., Global Senior Notes (Callable 06/01/09 @ $104.81) |
|
(CCC-, Caa2) |
|
06/01/14 |
|
9.625 |
|
605,250 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
1,873,563 |
|
|||
|
Machinery (0.6%) |
|
|
|
|
|
|
|
|
|
|||||
|
875 |
|
Baldor Electric Co., Company Guaranteed Notes (Callable 02/15/12 @ $104.31) |
|
(B, B3) |
|
02/15/17 |
|
8.625 |
|
853,125 |
|
|||
|
450 |
|
Terex Corp., Senior Subordinated Notes (Callable 11/15/12 @ $104.00)§ |
|
(B+, Ba3) |
|
11/15/17 |
|
8.000 |
|
444,375 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
1,297,500 |
|
|||
|
Media (0.0%) |
|
|
|
|
|
|
|
|
|
|||||
|
35 |
|
American Media Operations, Inc., Series B, Rlue 144A, Global Company Guaranteed Notes (Callable 03/28/08 @ $100.00)‡ |
|
(CCC, Caa2) |
|
05/01/09 |
|
10.250 |
|
26,500 |
|
|||
|
Media - Broadcast (3.9%) |
|
|
|
|
|
|
|
|
|
|||||
|
700 |
|
Allbritton Communications Co., Global Senior Subordinated Notes (Callable 03/31/08 @ $103.88) |
|
(B-, B1) |
|
12/15/12 |
|
7.750 |
|
701,750 |
|
|||
|
1,325 |
|
Barrington Broadcasting, Global Company Guaranteed Notes (Callable 08/15/10 @ 105.25) |
|
(CCC+, B3) |
|
08/15/14 |
|
10.500 |
|
1,318,375 |
|
|||
|
925 |
|
CMP Susquehanna Corp., Global Company Guaranteed Notes (Callable 05/15/10 @ $104.94)§ |
|
(CCC, Caa1) |
|
05/15/14 |
|
9.875 |
|
642,875 |
|
|||
|
475 |
|
Fisher Communications, Inc., Global Senior Notes (Callable 09/15/09 @ $104.31) |
|
(B-, B2) |
|
09/15/14 |
|
8.625 |
|
482,125 |
|
|||
|
1,375 |
|
ION Media Networks, Inc., Rule 144A, Secured Notes (Callable 03/31/08 @ $102.00)‡# |
|
(CCC-, Caa1) |
|
01/15/13 |
|
10.508 |
|
1,192,813 |
|
|||
|
925 |
|
Local TV Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 06/15/11 @ $104.63)‡ |
|
(CCC+, Caa1) |
|
06/15/15 |
|
9.250 |
|
814,000 |
|
|||
|
1,625 |
|
Univision Communications, Inc., Rule 144A, Senior Notes (Callable 03/15/11 @ $104.88)‡ |
|
(CCC+, B3) |
|
03/15/15 |
|
9.750 |
|
1,222,812 |
|
|||
|
600 |
|
XM Satellite Radio, Inc., Global Company Guaranteed Notes (Callable 05/01/08 @ $102.00)# |
|
(CCC, Caa1) |
|
05/01/13 |
|
9.411 |
|
516,000 |
|
|||
|
1,525 |
|
Young Broadcasting, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $104.38) |
|
(CCC-, Caa2) |
|
01/15/14 |
|
8.750 |
|
1,044,625 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
7,935,375 |
|
|||
|
Media - Cable (6.3%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,875 |
|
Atlantic Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/09 @ $104.69) |
|
(CCC+, Caa1) |
|
01/15/14 |
|
9.375 |
|
1,696,875 |
|
|||
|
1,650 |
|
CCH I Holdings LLC, Global Company Guaranteed Notes (Callable 03/27/08 @ $100.00)§ |
|
(CCC, Caa3) |
|
04/01/14 |
|
9.920 |
|
841,500 |
|
|||
|
2,675 |
|
CCH I LLC, Global Secured Notes (Callable 10/01/10 @ $105.50)§ |
|
(CCC, Caa2) |
|
10/01/15 |
|
11.000 |
|
1,929,344 |
|
|||
|
1,600 |
|
CCH II LLC, Series B, Global Senior Unsecured Notes (Callable 09/15/08 @ $105.13) |
|
(CCC, Caa1) |
|
09/15/10 |
|
10.250 |
|
1,516,000 |
|
|||
|
792 |
|
Charter Communications Holdings LLC, Senior Discount Notes (Callable 03/27/08 @ $100.00)§# |
|
(CCC, Ca) |
|
04/01/11 |
|
9.920 |
|
498,960 |
|
|||
|
1,275 |
|
CSC Holdings, Inc., Global Senior Unsecured Notes |
|
(B+, B2) |
|
04/15/12 |
|
6.750 |
|
1,214,437 |
|
|||
|
1,150 |
|
CSC Holdings, Inc., Series B, Senior Unsecured Notes§ |
|
(B+, B2) |
|
04/01/11 |
|
7.625 |
|
1,144,250 |
|
|||
|
1,100 |
|
DirecTV Holdings/Finance, Global Senior Notes (Callable 03/15/08 @ $104.19) |
|
(BB-, Ba3) |
|
03/15/13 |
|
8.375 |
|
1,142,625 |
|
|||
|
1,150 |
|
EchoStar DBS Corp., Global Company Guaranteed Notes |
|
(BB-, Ba3) |
|
10/01/14 |
|
6.625 |
|
1,125,562 |
|
|||
|
775 |
|
Mediacom Broadband LLC, Global Senior Notes (Callable 10/15/10 @ $104.25)§ |
|
(B-, B3) |
|
10/15/15 |
|
8.500 |
|
639,375 |
|
|||
|
825 |
|
Mediacom LLC/Capital Corp., Senior Notes (Callable 2/15/08 @ $100.00) |
|
(B-, B3) |
|
02/15/11 |
|
7.875 |
|
740,438 |
|
|||
|
150 |
|
Mediacom LLC/Capital Corp., Senior Unsecured Notes (Callable 01/15/09 @ $100.00) |
|
(B-, B3) |
|
01/15/13 |
|
9.500 |
|
134,625 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
12,623,991 |
|
|||
|
Metals & Mining - Excluding Steel (2.8%) |
|
|
|
|
|
|
|
|
|
|||||
|
225 |
|
Aleris International, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ $104.50) |
|
(B-, B3) |
|
12/15/14 |
|
9.000 |
|
176,625 |
|
|||
|
1,100 |
|
Aleris International, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $105.00) |
|
(B-, Caa1) |
|
12/15/16 |
|
10.000 |
|
778,250 |
|
|||
|
Par |
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
|||||
|
Metals & Mining - Excluding Steel |
|
|
|
|
|
|
|
|
|
|||||
|
$ |
850 |
|
Alpha Natural Resources LLC, Global Company Guaranteed Notes (Callable 06/01/08 @ $105.00)# |
|
(B-, B3) |
|
06/01/12 |
|
10.000 |
|
$ |
877,625 |
|
|
|
775 |
|
Freeport - McMoRan Copper & Gold, Inc., Senior Unsecured Notes (Callable 04/01/11 @ $104.13) |
|
(BB, Ba3) |
|
04/01/15 |
|
8.250 |
|
814,719 |
|
|||
|
1,075 |
|
Freeport - McMoRan Copper & Gold, Inc., Senior Unsecured Notes (Callable 04/01/12 @ $104.19)§ |
|
(BB, Ba3) |
|
04/01/17 |
|
8.375 |
|
1,144,875 |
|
|||
|
482 |
|
GrafTech Finance, Inc., Global Company Guaranteed Notes (Callable 03/27/08 @ $103.42) |
|
(B, B2) |
|
02/15/12 |
|
10.250 |
|
501,280 |
|
|||
|
1,700 |
|
Noranda Aluminum Acquisition, Rule 144A, Senior Unsecured Notes (Callable 05/15/08 @ $102.00)‡# |
|
(CCC+, B3) |
|
05/15/15 |
|
8.738 |
|
1,300,500 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
5,593,874 |
|
|||
|
Multi-Line Insurance (0.4%) |
|
|
|
|
|
|
|
|
|
|||||
|
800 |
|
MBIA Insurance Corp., Rule 144A, Subordinated Notes (Callable 01/15/13 @ $100.00)‡§# |
|
(AA, Aa2) |
|
01/15/33 |
|
14.000 |
|
748,795 |
|
|||
|
Non-Food & Drug Retailers (5.5%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,589 |
|
Affinity Group, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $105.44) |
|
(CCC+, Caa1) |
|
02/15/12 |
|
10.875 |
|
1,580,761 |
|
|||
|
900 |
|
Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 03/15/12 @ $103.81) |
|
(B, B3) |
|
03/15/17 |
|
7.625 |
|
733,500 |
|
|||
|
1,350 |
|
Brookstone Company, Inc., Global Secured Notes (Callable 10/15/09 @ $106.00)§ |
|
(B, Caa1) |
|
10/15/12 |
|
12.000 |
|
1,221,750 |
|
|||
|
690 |
|
Claire’s Stores, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/11 @ $104.81)‡§ |
|
(CCC+, Caa1) |
|
06/01/15 |
|
9.625 |
|
389,850 |
|
|||
|
850 |
|
GameStop Corp., Global Company Guaranteed Notes (Callable 10/01/09 @ $104.00) |
|
(BB, Ba3) |
|
10/01/12 |
|
8.000 |
|
886,125 |
|
|||
|
505 |
|
Michaels Stores, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $105.00)§ |
|
(CCC, B2) |
|
11/01/14 |
|
10.000 |
|
451,975 |
|
|||
|
1,120 |
|
Michaels Stores, Inc., Global Company Guaranteed Notes (Callable 11/01/11 @ $105.69)§ |
|
(CCC, Caa1) |
|
11/01/16 |
|
11.375 |
|
912,800 |
|
|||
|
1,585 |
|
Neiman Marcus Group, Inc., Global Company Guaranteed Notes (Callable 10/15/10 @ $105.19)§ |
|
(B, B3) |
|
10/15/15 |
|
10.375 |
|
1,585,000 |
|
|||
|
1,000 |
|
PCA LLC/PCA Finance Corp., Global Company Guaranteed Notesø |
|
(NR, NR) |
|
08/01/09 |
|
11.875 |
|
57,500 |
|
|||
|
600 |
|
SGS International, Inc., Rule 144A, Global Senior Subordinated Notes (Callable 12/15/09 @ $106.00)‡ |
|
(B-, B3) |
|
12/15/13 |
|
12.000 |
|
597,750 |
|
|||
|
863 |
|
Susser Holdings LLC, Global Company Guaranteed Notes (Callable 12/15/09 @ $105.31) |
|
(B, B3) |
|
12/15/13 |
|
10.625 |
|
888,890 |
|
|||
|
600 |
|
Susser Holdings LLC, Rule 144A, Senior Notes (Callable 12/15/09 @ $105.31)‡ |
|
(B, B3) |
|
12/15/13 |
|
10.625 |
|
618,000 |
|
|||
|
100 |
|
Yankee Acquisition Corp., Series B, Global Company Guaranteed Notes (Callable 02/15/11 @ $104.25) |
|
(CCC+, B3) |
|
02/15/15 |
|
8.500 |
|
86,000 |
|
|||
|
1,225 |
|
Yankee Acquisition Corp., Series B, Global Company Guaranteed Notes (Callable 02/15/12 @ $104.88)§ |
|
(CCC+, Caa1) |
|
02/15/17 |
|
9.750 |
|
1,004,500 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
11,014,401 |
|
|||
|
Office Equipment (0.5%) |
|
|
|
|
|
|
|
|
|
|||||
|
550 |
|
IKON Office Solutions, Inc., Global Senior Notes (Callable 09/15/10 @ $103.88) |
|
(BB, Ba3) |
|
09/15/15 |
|
7.750 |
|
561,000 |
|
|||
|
475 |
|
IKON Office Solutions, Inc., Rule 144A, Senior Unsecured (Callable 03/27/08 @ 100.00)‡# |
|
(BB, Ba3) |
|
01/01/12 |
|
9.926 |
|
471,438 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
1,032,438 |
|
|||
|
Oil Field Equipment & Services (0.4%) |
|
|
|
|
|
|
|
|
|
|||||
|
825 |
|
Bristow Group, Inc., Rule 144A, Senior Notes (Callable 09/15/12 @ $103.75)‡ |
|
(BB, Ba2) |
|
09/15/17 |
|
7.500 |
|
837,375 |
|
|||
|
Packaging (3.3%) |
|
|
|
|
|
|
|
|
|
|||||
|
400 |
|
Berry Petroleum Co., Senior Subordinated Notes (Callable 11/01/11 @ $104.13) |
|
(B, B3) |
|
11/01/16 |
|
8.250 |
|
408,000 |
|
|||
|
850 |
|
Berry Plastics Holding Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $105.13) |
|
(CCC+, Caa2) |
|
03/01/16 |
|
10.250 |
|
641,750 |
|
|||
|
955 |
|
Berry Plastics Holding Corp., Global Secured Notes (Callable 09/15/10 @ $104.44) |
|
(B, B3) |
|
09/15/14 |
|
8.875 |
|
852,338 |
|
|||
|
Par |
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
|||||
|
Packaging |
|
|
|
|
|
|
|
|
|
|||||
|
$ |
1,625 |
|
Constar International, Inc., Senior Subordinated Notes (Callable 03/27/08 @ $105.50) |
|
(CCC, Caa2) |
|
12/01/12 |
|
11.000 |
|
$ |
1,100,937 |
|
|
|
325 |
|
Crown Cork & Seal Co., Inc., Debentures Notes (Callable 04/15/08 @ $101.91) |
|
(B, B2) |
|
04/15/23 |
|
8.000 |
|
306,313 |
|
|||
|
50 |
|
Graham Packaging Company, Inc., Global Company Guaranteed Notes (Callable 10/15/08 @ $104.25) |
|
(CCC+, Caa1) |
|
10/15/12 |
|
8.500 |
|
44,250 |
|
|||
|
1,225 |
|
Graham Packaging Company, Inc., Global Subordinated Notes (Callable 10/15/09 @ $104.94) |
|
(CCC+, Caa1) |
|
10/15/14 |
|
9.875 |
|
1,041,250 |
|
|||
|
200 |
|
Owens-Brockway Glass Containers, Inc., Rule 144A, Senior Notes (Callable 05/15/08 @ $104.13)‡ |
|
(B, B3) |
|
05/15/13 |
|
8.250 |
|
208,000 |
|
|||
|
700 |
|
Pliant Corp., Global Company Guaranteed Notes (Callable 03/31/08 @ $105.56)§ |
|
(CCC, Caa1) |
|
09/01/09 |
|
11.125 |
|
572,250 |
|
|||
|
1 |
|
Pliant Corp., Global Senior Secured Notes (Callable 03/31/08 @ $108.72) |
|
(B, NR) |
|
06/15/09 |
|
11.625 |
|
661 |
|
|||
|
1,825 |
|
Solo Cup Co., Global Senior Subordinated Notes (Callable 02/15/09 @ $104.25)§ |
|
(CCC-, Caa2) |
|
02/15/14 |
|
8.500 |
|
1,501,062 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
6,676,811 |
|
|||
|
Printing & Publishing (4.6%) |
|
|
|
|
|
|
|
|
|
|||||
|
975 |
|
American Media Operations, Inc., Series B, Global Company Guaranteed Notes (Callable 03/07/08 @ $100.00)§ |
|
(CCC-, Caa2) |
|
05/01/09 |
|
10.250 |
|
728,812 |
|
|||
|
700 |
|
Dex Media, Inc., Global Discount Notes (Callable 11/15/08 @ $104.50)+ |
|
(B, B2) |
|
11/15/13 |
|
0.000 |
|
624,750 |
|
|||
|
1,500 |
|
Idearc, Inc., Global Company Guaranteed Notes (Callable 11/15/11 @ $104.00)§ |
|
(B+, B2) |
|
11/15/16 |
|
8.000 |
|
1,350,000 |
|
|||
|
2,425 |
|
R.H. Donnelley Corp., Global Senior Unsecured Notes (Callable 01/15/09 @ $103.44) |
|
(B, B3) |
|
01/15/13 |
|
6.875 |
|
2,049,125 |
|
|||
|
750 |
|
R.H. Donnelley Corp., Rule 144A, Senior Notes (Callable 10/15/12 @ $104.44)‡ |
|
(B, B3) |
|
10/15/17 |
|
8.875 |
|
639,375 |
|
|||
|
900 |
|
R.H. Donnelley Corp., Series A-2, Global Senior Discount Notes (Callable 01/15/09 @ $103.44) |
|
(B, B3) |
|
01/15/13 |
|
6.875 |
|
760,500 |
|
|||
|
250 |
|
R.H. Donnelley Corp., Series A-3, Global Senior Notes (Callable 01/15/11 @ $104.44) |
|
(B, B3) |
|
01/15/16 |
|
8.875 |
|
215,625 |
|
|||
|
1,400 |
|
Reader’s Digest Association, Inc., Rule 144A, Senior Subordinated Notes (Callable 02/15/12 @ $104.50)‡§ |
|
(CCC+, Caa1) |
|
02/15/17 |
|
9.000 |
|
1,088,500 |
|
|||
|
1,300 |
|
TL Acquisitions, Inc., Rule 144A, Senior Notes (Callable 07/15/11 @ $105.25)‡ |
|
(CCC+, Caa1) |
|
01/15/15 |
|
10.500 |
|
1,189,500 |
|
|||
|
635 |
|
Valassis Communications, Inc., Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13)§ |
|
(B-, B3) |
|
03/01/15 |
|
8.250 |
|
530,225 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
9,176,412 |
|
|||
|
Restaurants (0.5%) |
|
|
|
|
|
|
|
|
|
|||||
|
920 |
|
Buffets, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $106.25) ø |
|
(CCC, Caa3) |
|
11/01/14 |
|
12.500 |
|
64,400 |
|
|||
|
775 |
|
Denny’s Corp., Global Company Guaranteed Notes (Callable 10/01/08 @ $105.00) |
|
(B-, B3) |
|
10/01/12 |
|
10.000 |
|
732,375 |
|
|||
|
425 |
|
OSI Restaurant Partners, Inc., Rule 144A, Senior Notes (Callable 06/15/11 @ $105.00)‡§# |
|
(CCC+, Caa1) |
|
06/15/15 |
|
10.000 |
|
269,875 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
1,066,650 |
|
|||
|
Software (0.8%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,875 |
|
First Data Corp., Rule 144A, Company Guaranteed Notes (Callable 09/30/11 @ $104.94)‡ |
|
(B-, B3) |
|
09/24/15 |
|
9.875 |
|
1,661,719 |
|
|||
|
Software/Services (2.0%) |
|
|
|
|
|
|
|
|
|
|||||
|
2,775 |
|
SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/10 @ $105.13)§ |
|
(B-, Caa1) |
|
08/15/15 |
|
10.250 |
|
2,788,875 |
|
|||
|
1,150 |
|
Unisys Corp., Senior Unsubordinated Notes (Callable 01/15/12 @ $106.25) |
|
(B+, B2) |
|
01/15/16 |
|
12.500 |
|
1,137,062 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
3,925,937 |
|
|||
|
Steel Producers/Products (2.4%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,325 |
|
AK Steel Corp., Global Company Guaranteed Notes (Callable 06/15/08 @ $102.58) |
|
(BB-, B1) |
|
06/15/12 |
|
7.750 |
|
1,325,000 |
|
|||
|
Par |
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
|||||
|
Steel Producers/Products |
|
|
|
|
|
|
|
|
|
|||||
|
$ |
1,150 |
|
PNA Group, Inc., Global Senior Unsecured Notes (Callable 09/01/11 @ $105.38) |
|
(B-, B3) |
|
09/01/16 |
|
10.750 |
|
$ |
1,040,750 |
|
|
|
400 |
|
PNA Intermediate Holding Corp., Rule 144A, Senior Notes (Callable 02/15/08 @ $102.00)‡# |
|
(B-, Caa1) |
|
02/15/13 |
|
11.869 |
|
364,000 |
|
|||
|
1,275 |
|
Rathgibson, Inc., Global Company Guaranteed Notes (Callable 02/15/10 @ $105.62) |
|
(B-, B3) |
|
02/15/14 |
|
11.250 |
|
1,262,250 |
|
|||
|
775 |
|
Ryerson, Inc., Senior Notes |
|
(B+, B2) |
|
11/01/15 |
|
12.000 |
|
732,375 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
4,724,375 |
|
|||
|
Support-Services (6.8%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,250 |
|
Allied Security Escrow Corp., Global Senior Subordinated Notes (Callable 07/15/08 @ $105.69) |
|
(CCC+, Caa1) |
|
07/15/11 |
|
11.375 |
|
1,134,375 |
|
|||
|
300 |
|
ARAMARK Corp., Global Company Guaranteed Notes# |
|
(B-, B3) |
|
02/01/15 |
|
8.411 |
|
270,000 |
|
|||
|
925 |
|
ARAMARK Corp., Global Company Guaranteed Notes (Callable 02/01/11 @ $104.25) |
|
(B-, B3) |
|
02/01/15 |
|
8.500 |
|
925,000 |
|
|||
|
400 |
|
Ashtead Capital, Inc., Rule 144A, Notes (Callable 08/15/11 @ $104.50)ठ|
|
(B, B1) |
|
08/15/16 |
|
9.000 |
|
336,000 |
|
|||
|
150 |
|
Education Management LLC, Global Company Guaranteed Notes (Callable 06/01/10 @ $104.38) |
|
(CCC+, B2) |
|
06/01/14 |
|
8.750 |
|
145,125 |
|
|||
|
1,075 |
|
Education Management LLC, Global Company Guaranteed Notes (Callable 06/01/11 @ $105.13) |
|
(CCC+, Caa1) |
|
06/01/16 |
|
10.250 |
|
1,029,312 |
|
|||
|
500 |
|
Hertz Corp., Global Company Guaranteed Notes (Callable 01/01/10 @ $104.44) |
|
(B, B1) |
|
01/01/14 |
|
8.875 |
|
485,000 |
|
|||
|
600 |
|
Hertz Corp., Global Company Guaranteed Notes (Callable 01/01/11 @ $105.25)§ |
|
(B, B2) |
|
01/01/16 |
|
10.500 |
|
579,750 |
|
|||
|
750 |
|
Iron Mountain, Inc., Company Guaranteed Notes (Callable 04/01/08 @ $101.44) |
|
(B, B3) |
|
04/01/13 |
|
8.625 |
|
761,250 |
|
|||
|
200 |
|
Iron Mountain, Inc., Company Guaranteed Notes (Callable 07/01/08 @ $103.31) |
|
(B, B3) |
|
01/01/16 |
|
6.625 |
|
191,500 |
|
|||
|
1,500 |
|
Johnsondiversey Holdings, Inc., Global Discount Notes (Callable 05/15/08 @ $103.56) |
|
(CCC+, Caa1) |
|
05/15/13 |
|
10.670 |
|
1,477,500 |
|
|||
|
775 |
|
Kar Holdings, Inc., Rule 144A, Senior Notes (Callable 05/01/10 @ $104.38)‡ |
|
(CCC, B3) |
|
05/01/14 |
|
8.750 |
|
693,625 |
|
|||
|
675 |
|
Kar Holdings, Inc., Rule 144A, Senior Subordinated Notes (Callable 04/01/11 @ $105.00)‡ |
|
(CCC, Caa1) |
|
05/01/15 |
|
10.000 |
|
567,000 |
|
|||
|
1,050 |
|
Mobile Services Group, Inc., Global Company Guaranteed Notes (Callable 08/01/10 @ $104.88) |
|
(B-, B3) |
|
08/01/14 |
|
9.750 |
|
897,750 |
|
|||
|
1,110 |
|
Neff Corp., Global Company Guaranteed Notes (Callable 06/01/11 @ $105.00)§ |
|
(B-, Caa2) |
|
06/01/15 |
|
10.000 |
|
532,800 |
|
|||
|
1,125 |
|
Rental Service Corp., Global Company Guaranteed Notes (Callable 12/01/10 @ $104.75) |
|
(B-, Caa1) |
|
12/01/14 |
|
9.500 |
|
959,062 |
|
|||
|
1,875 |
|
Travelport LLC, Global Company Guaranteed Notes (Callable 09/01/11 @ $105.94)§ |
|
(CCC+, Caa1) |
|
09/01/16 |
|
11.875 |
|
1,790,625 |
|
|||
|
425 |
|
United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 02//15/08 @ $103.25) |
|
(B+, B1) |
|
02/15/12 |
|
6.500 |
|
393,125 |
|
|||
|
725 |
|
United Rentals North America, Inc., Global Senior Subordinated Notes (Callable 02/15/09 @ $103.50)§ |
|
(B, B3) |
|
02/15/14 |
|
7.000 |
|
585,438 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
13,754,237 |
|
|||
|
Telecom - Fixed Line (1.5%) |
|
|
|
|
|
|
|
|
|
|||||
|
2,225 |
|
Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $102.00)# |
|
(CCC+, Caa1) |
|
02/15/15 |
|
9.150 |
|
1,668,750 |
|
|||
|
450 |
|
Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 03/15/10 @ $106.13)§ |
|
(CCC+, Caa1) |
|
03/15/13 |
|
12.250 |
|
439,313 |
|
|||
|
50 |
|
Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $104.63) |
|
(CCC+, Caa1) |
|
11/01/14 |
|
9.250 |
|
43,250 |
|
|||
|
775 |
|
Time Warner Telecom Holdings, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $104.62)§ |
|
(CCC+, B3) |
|
02/15/14 |
|
9.250 |
|
778,875 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
2,930,188 |
|
|||
|
Telecom - Integrated/Services (3.9%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,550 |
|
Cincinnati Bell, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $104.19) |
|
(B-, B2) |
|
01/15/14 |
|
8.375 |
|
1,488,000 |
|
|||
|
Par |
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
|||||
|
Telecom - Integrated/Services |
|
|
|
|
|
|
|
|
|
|||||
|
$ |
700 |
|
Hawaiian Telcom Communications, Inc., Series B, Global Company Guaranteed Notes (Callable 05/01/10 @ $106.25)§ |
|
(CCC, Caa1) |
|
05/01/15 |
|
12.500 |
|
$ |
626,500 |
|
|
|
1,100 |
|
Hughes Network Systems LLC, Global Company Guaranteed Notes (Callable 04/15/10 @ $104.75) |
|
(B-, B1) |
|
04/15/14 |
|
9.500 |
|
1,094,500 |
|
|||
|
900 |
|
Paetec Holding Corp.,Series WI, Global Company Guaranteed Notes (Callable 07/15/11 @ $104.75) |
|
(CCC+, Caa1) |
|
07/15/15 |
|
9.500 |
|
843,750 |
|
|||
|
2,250 |
|
Qwest Communications International, Inc., Series B, Global Company Guaranteed Notes (Callable 02/15/09 @ $103.75)§ |
|
(BB, Ba3) |
|
02/15/14 |
|
7.500 |
|
2,238,750 |
|
|||
|
350 |
|
Windstream Corp., Global Company Guaranteed Notes |
|
(BB-, Ba3) |
|
08/01/13 |
|
8.125 |
|
360,500 |
|
|||
|
125 |
|
Windstream Corp., Global Company Guaranteed Notes (Callable 03/15/12 @ $103.50) |
|
(BB-, Ba3) |
|
03/15/19 |
|
7.000 |
|
117,812 |
|
|||
|
1,100 |
|
Windstream Corp., Global Company Guaranteed Notes (Callable 08/01/11 @ $104.31) |
|
(BB-, Ba3) |
|
08/01/16 |
|
8.625 |
|
1,144,000 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
7,913,812 |
|
|||
|
Telecom - Wireless (1.5%) |
|
|
|
|
|
|
|
|
|
|||||
|
675 |
|
Centennial Cellular Communications Corp., Global Company Guaranteed Notes (Callable 06/15/08 @ $105.06) |
|
(CCC+, B2) |
|
06/15/13 |
|
10.125 |
|
693,563 |
|
|||
|
1,025 |
|
Cricket Communications, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $104.69) |
|
(CCC, Caa1) |
|
11/01/14 |
|
9.375 |
|
937,875 |
|
|||
|
675 |
|
Rural Cellular Corp., Global Senior Subordinated Notes (Callable 06/01/08 @ $102.00)# |
|
(CCC, Caa2) |
|
06/01/13 |
|
8.124 |
|
685,125 |
|
|||
|
650 |
|
SunCom Wireless Holdings, Inc., Global Company Guaranteed Notes (Callable 06/01/08 @ $104.25) |
|
(CCC, Caa2) |
|
06/01/13 |
|
8.500 |
|
672,750 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
2,989,313 |
|
|||
|
Textiles & Apparel (0.6%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,300 |
|
Levi Strauss & Co., Global Senior Notes (Callable 01/15/10 @ $104.88) |
|
(B+, B2) |
|
01/15/15 |
|
9.750 |
|
1,270,750 |
|
|||
|
Theaters & Entertainment (0.7%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,675 |
|
AMC Entertainment, Inc., Global Senior Subordinated Notes (Callable 03/01/09 @ $104.00) |
|
(CCC+, B2) |
|
03/01/14 |
|
8.000 |
|
1,478,188 |
|
|||
|
TOTAL U.S. CORPORATE BONDS (Cost $290,611,678) |
|
|
|
|
|
|
|
263,924,728 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
FOREIGN CORPORATE BONDS (13.6%) |
|
|
|
|
|
|
|
|
|
|||||
|
Building Materials (0.1%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,000 |
|
Maax Corp., Global Senior Subordinated Notes (Callable 06/15/08 @ $104.88) (Canada)§ |
|
(NR, Ca) |
|
06/15/12 |
|
9.750 |
|
270,000 |
|
|||
|
Chemicals (1.2%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,850 |
|
Basell AF SCA, Rule 144A, Company Guaranteed Notes (Callable 08/15/10 @ $104.19) (Luxembourg)‡ |
|
(B-, B3) |
|
08/15/15 |
|
8.375 |
|
1,406,000 |
|
|||
|
1,350 |
|
Ineos Group Holdings PLC, Rule 144A, Company Guaranteed Notes (Callable 02/15/11 @ $104.25) (United Kingdom)‡ |
|
(B-, B3) |
|
02/15/16 |
|
8.500 |
|
1,059,750 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
2,465,750 |
|
|||
|
Electronics (2.1%) |
|
|
|
|
|
|
|
|
|
|||||
|
450 |
|
Avago Technologies Finance, Global Company Guaranteed Notes (Callable 12/01/09 @ $105.06) (Singapore)§# |
|
(BB-, B2) |
|
12/01/13 |
|
10.125 |
|
470,250 |
|
|||
|
775 |
|
Avago Technologies Finance, Global Company Guaranteed Notes (Callable 12/01/10 @ $105.94) (Singapore) |
|
(B, Caa1) |
|
12/01/15 |
|
11.875 |
|
813,750 |
|
|||
|
1,000 |
|
New Asat, Ltd., Global Company Guaranteed Notes (Callable 02/01/08 @ $104.63) (Cayman Islands) |
|
(CCC-, Caa1) |
|
02/01/11 |
|
9.250 |
|
800,000 |
|
|||
|
2,050 |
|
NXP BV/NXP Funding LLC, Global Company Guaranteed Notes (Callable 10/15/11 @ $104.75) (Netherlands)§ |
|
(B-, B3) |
|
10/15/15 |
|
9.500 |
|
1,796,312 |
|
|||
|
350 |
|
NXP BV/NXP Funding LLC, Global Secured Notes (Callable 10/15/10 @ $103.94) (Netherlands)§ |
|
(BB, Ba3) |
|
10/15/14 |
|
7.875 |
|
322,438 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
4,202,750 |
|
|||
|
Energy - Exploration & Production (0.4%) |
|
|
|
|
|
|
|
|
|
|||||
|
875 |
|
OPTI Canada, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/10 @ $104.13) (Canada)‡ |
|
(BB+, B1) |
|
12/15/14 |
|
8.250 |
|
861,875 |
|
|||
|
Par |
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
FOREIGN CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
|||||
|
Forestry & Paper (1.2%) |
|
|
|
|
|
|
|
|
|
|||||
|
$ |
600 |
|
Abitibi-Consolidated, Inc., Global Notes (Canada)§ |
|
(B, B3) |
|
06/15/11 |
|
7.750 |
|
$ |
460,500 |
|
|
|
500 |
|
Abitibi-Consolidated, Inc., Yankee Senior Notes (Canada)§ |
|
(B, B3) |
|
04/01/15 |
|
8.375 |
|
356,250 |
|
|||
|
850 |
|
Bowater Canada Finance Corp., Global Company Guaranteed Notes (Canada) |
|
(B, B3) |
|
11/15/11 |
|
7.950 |
|
665,125 |
|
|||
|
1,000 |
|
Smurfit Kappa Funding PLC, Global Senior Subordinated Notes (Callable 01/31/10 @ $103.88) (Ireland) |
|
(B, B2) |
|
04/01/15 |
|
7.750 |
|
925,000 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
2,406,875 |
|
|||
|
Leisure (0.6%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,175 |
|
NCL Corp., Global Senior Notes (Callable 07/15/09 @ $105.31) (Bermuda)# |
|
(CCC+, B3) |
|
07/15/14 |
|
10.625 |
|
1,192,625 |
|
|||
|
Media - Cable (1.0%) |
|
|
|
|
|
|
|
|
|
|||||
|
150 |
|
NTL Cable PLC, Global Senior Notes (Callable 08/15/11 @ $104.56) (United Kingdom) |
|
(B-, B2) |
|
08/15/16 |
|
9.125 |
|
136,500 |
|
|||
|
675 |
|
Unity Media GmbH, Rule 144A, Senior Secured Notes (Callable 02/15/10 @ $105.06) (Germany)‡ |
|
(B-, Caa2) |
|
02/15/15 |
|
10.125 |
|
976,918 |
|
|||
|
500 |
|
Virgin Media Finance PLC, Global Company Guaranteed Notes (Callable 04/15/09 @ $104.88) (United Kingdom) |
|
(B-, B2) |
|
04/15/14 |
|
9.750 |
|
867,265 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
1,980,683 |
|
|||
|
Media - Diversified (0.3%) |
|
|
|
|
|
|
|
|
|
|||||
|
725 |
|
Quebecor Media, Inc., Rule 144A, Notes (Canada)‡ |
|
(B, B2) |
|
03/15/16 |
|
7.750 |
|
676,063 |
|
|||
|
Oil Refining & Marketing (0.6%) |
|
|
|
|
|
|
|
|
|
|||||
|
875 |
|
Petroplus Finance, Ltd., Rule 144A, Company Guaranteed Notes (Callable 05/01/11 @ $103.38) (Bermuda)‡ |
|
(BB-, B1) |
|
05/01/14 |
|
6.750 |
|
805,000 |
|
|||
|
400 |
|
Petroplus Finance, Ltd., Rule 144A, Company Guaranteed Notes (Callable 05/01/12 @ $103.50) (Bermuda)‡ |
|
(BB-, B1) |
|
05/01/17 |
|
7.000 |
|
365,000 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
1,170,000 |
|
|||
|
Pharmaceuticals (0.4%) |
|
|
|
|
|
|
|
|
|
|||||
|
775 |
|
Elan Finance PLC, Global Company Guaranteed Notes (Callable 12/01/10 @ $104.44) (Ireland) |
|
(B, B3) |
|
12/01/13 |
|
8.875 |
|
744,000 |
|
|||
|
150 |
|
Elan Finance PLC, Global Company Guaranteed Notes (Callable 11/15/08 @ $103.88) (Ireland) |
|
(B, B3) |
|
11/15/11 |
|
7.750 |
|
141,750 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
885,750 |
|
|||
|
Support-Services (0.7%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,000 |
|
Ashtead Holdings PLC, Rule 144A, Secured Notes (Callable 08/01/10 @ $104.31) (United Kingdom)‡ |
|
(B, B1) |
|
08/01/15 |
|
8.625 |
|
825,000 |
|
|||
|
525 |
|
Carlson Wagonlit BV, Rule 144A, Senior Notes (Callable 11/01/08 @ $102.00) (Netherlands)‡# |
|
(B-, B2) |
|
05/01/15 |
|
10.357 |
|
664,604 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
1,489,604 |
|
|||
|
Telecom - Integrated/Services (3.1%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,550 |
|
Global Crossing UK Finance, Global Company Guaranteed Notes (Callable 12/15/09 @ $105.38) (United Kingdom) |
|
(B-, B3) |
|
12/15/14 |
|
10.750 |
|
1,588,750 |
|
|||
|
550 |
|
Hellas II, Rule 144A, Subordinated Notes (Callable 03/24/08 @ $102.00) (Luxembourg)‡# |
|
(CCC+, Caa1) |
|
01/15/15 |
|
10.008 |
|
448,250 |
|
|||
|
900 |
|
Intelsat Bermuda, Ltd., Global Company Guaranteed (Callable 02/7/08 @ $102.00) (Bermuda)# |
|
(B, Caa1) |
|
01/15/15 |
|
7.581 |
|
904,500 |
|
|||
|
450 |
|
Intelsat Bermuda, Ltd., Global Senior Unsecured Notes (Bermuda) |
|
(B-, Caa3) |
|
11/01/13 |
|
6.500 |
|
299,250 |
|
|||
|
2,200 |
|
Intelsat, Ltd., Global Company Guaranteed Notes (Callable 06/15/11 @ $105.62) (Bermuda) |
|
(B-, Caa2) |
|
06/15/16 |
|
11.250 |
|
2,211,000 |
|
|||
|
650 |
|
Nordic Telephone Co. Holdings, Rule 144A, Senior Notes (Callable 05/01/11 @ $104.44) (Denmark)‡ |
|
(B, B2) |
|
05/01/16 |
|
8.875 |
|
663,000 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
6,114,750 |
|
|||
|
Telecom - Wireless (0.5%) |
|
|
|
|
|
|
|
|
|
|||||
|
1,175 |
|
MetroPCS Wireless, Inc., Global Senior Unsecured Notes (Callable 11/01/10 @ $104.63) |
|
(CCC, Caa1) |
|
11/01/14 |
|
9.250 |
|
1,086,875 |
|
|||
|
Par |
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
|||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
FOREIGN CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||||||||||
|
Telecommunication Equipment (0.4%) |
|
|
|
|
|
|
|
|
|
||||||||||||
|
$ |
850 |
|
Nortel Networks, Ltd., Global Company Guaranteed Notes (Canada)# |
|
(B-, B3) |
|
07/15/11 |
|
8.508 |
|
$ |
794,750 |
|
||||||||
|
Textiles & Apparel (0.1%) |
|
|
|
|
|
|
|
|
|
||||||||||||
|
75 |
|
IT Holding Finance SA, Rule 144A, Company Guaranteed Notes (Luxembourg)‡ |
|
(CCC, B3) |
|
11/15/12 |
|
9.875 |
|
83,284 |
|
||||||||||
|
Transportation - Excluding Air/Rail (0.9%) |
|
|
|
|
|
|
|
|
|
||||||||||||
|
1,725 |
|
Ship Finance International, Ltd., Global Company Guaranteed Notes (Callable 12/15/08 @ $104.25) (Bermuda) |
|
(B+, B1) |
|
12/15/13 |
|
8.500 |
|
1,737,937 |
|
||||||||||
|
TOTAL FOREIGN CORPORATE BONDS (Cost $30,399,802) |
|
|
|
|
|
|
|
27,419,571 |
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Number of |
|
|
|
|
|||||||||||||||||
|
|
|
|
|
|
|
||||||||||||||||
|
COMMON STOCKS (0.4%) |
|
|
|
||||||||||||||||||
|
Automobile Parts & Equipment (0.0%) |
|
|
|
||||||||||||||||||
|
774,557 |
|
Cambridge Industries Liquidating Trust*^ |
|
0 |
|
||||||||||||||||
|
Chemicals (0.1%) |
|
|
|
||||||||||||||||||
|
4,893 |
|
Huntsman Corp. |
|
118,606 |
|
||||||||||||||||
|
Electric - Integrated (0.2%) |
|
|
|
||||||||||||||||||
|
14,950 |
|
Mirant Corp.* |
|
550,758 |
|
||||||||||||||||
|
Steel Producers/Products (0.1%) |
|
|
|
||||||||||||||||||
|
8,414 |
|
WCI Steel Acquisition, Inc.* |
|
193,522 |
|
||||||||||||||||
|
TOTAL COMMON STOCKS (Cost $531,967) |
|
862,886 |
|
||||||||||||||||||
|
|
|
|
|
||||||||||||||||||
|
WARRANTS (0.0%) |
|
|
|
||||||||||||||||||
|
Electronics (0.0%) |
|
|
|
||||||||||||||||||
|
204,293 |
|
Viasystems, Inc., strike price $25.31, expires 01/31/10*^ |
|
2,043 |
|
||||||||||||||||
|
Telecom - Fixed Line (0.0%) |
|
|
|
||||||||||||||||||
|
3,000 |
|
Versatel Telecom International NV, strike price $2.81, expires 05/15/08* |
|
535 |
|
||||||||||||||||
|
TOTAL WARRANTS (Cost $3,772,613) |
|
2,578 |
|
||||||||||||||||||
|
|
|
|
|
||||||||||||||||||
|
SHORT-TERM INVESTMENTS (42.1%) |
|
|
|
||||||||||||||||||
|
83,076,495 |
|
State Street Navigator Prime Portfolio§§ |
|
83,076,495 |
|
||||||||||||||||
|
|
|
|
|
|
|
||||||||||||||||
|
Par |
|
|
|
|
|
|
|
|
|||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
$ |
1,557 |
|
State Street Bank and Trust Co. Euro Time Deposit |
|
|
|
02/01/08 |
|
1.850 |
|
1,557,000 |
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost $84,633,495) |
|
|
|
|
|
|
|
84,633,495 |
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
TOTAL INVESTMENTS AT VALUE (187.4%) (Cost $409,949,555) |
|
|
|
|
|
|
|
376,843,258 |
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
LIABILITIES IN EXCESS OF OTHER ASSETS (-87.4%) |
|
|
|
|
|
|
|
(175,769,412 |
) |
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
NET ASSETS (100.0%) |
|
|
|
|
|
|
|
$ |
201,073,846 |
|
|||||||||||
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
|
Forward Foreign |
|
Expiration |
|
Foreign Currency To Be |
|
Contract |
|
Contract |
|
Unrealized |
|
||||
|
European Economic Unit |
|
4/10/08 |
|
€ |
(1,305,000 |
) |
$ |
(1,920,438 |
) |
$ |
(1,928,035 |
) |
$ |
(7,597 |
) |
|
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 January 31, 2008, these securities amounted to a value of $39,477,810 or 19.6% of net assets. |
|
+ |
|
Step Bond — The interest rate stated is as of January 31, 2008 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. |
|
# |
|
Variable rate obligations — The interest rate shown is the rate as of January 31, 2008. |
|
§ |
|
Security or portion thereof is out on loan. |
|
§§ |
|
Represents security purchased with cash collateral received for securities on loan. |
SECURITY VALUATION — The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (“Valuation Time”). If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Investments in mutual funds are valued at the mutual 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 the direction of, the Board of Trustees under procedures established by the Board of Trustees. At January 31, 2008, the Fund held 0.09% 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 $149,578 and fair value of $191,144. The Fund’s 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.
Federal Income Tax Cost - At January 31, 2008, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized depreciation from investments were $409,949,555, $1,966,073, $(35,072,370) and $(33,106,297), 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 www.credit-suisse.com/us as well as on the website of the Securities and Exchange Commission at 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.
Item 3: Exhibits
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/Lawrence D. Haber |
|
|
|
Name: |
Lawrence D. Haber |
|
|
Title: |
Chief Executive Officer |
|
|
Date: |
March 28, 2008 |
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
/s/Lawrence D. Haber |
|
|
|
Name: |
Lawrence D. Haber |
|
|
Title: |
Chief Executive Officer |
|
|
Date: |
March 28, 2008 |
|
|
/s/Michael A. Pignataro |
|
|
|
Name: |
Michael A. Pignataro |
|
|
Title: |
Chief Financial Officer |
|
|
Date: |
March 28, 2008 |
|