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, 2008 to January 31, 2009 |
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Credit Suisse High Yield Bond Fund
Schedule of Investments
January 31, 2009 (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 (111.3%) |
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Aerospace & Defense (1.2%) |
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$ |
575 |
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BE Aerospace, Inc., Senior Unsecured Notes (Callable 07/01/13 @ $104.25) |
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(BB+, Ba3) |
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07/01/18 |
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8.500 |
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$ |
541,938 |
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625 |
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Hawker Beechcraft Acquisition Co., Global Company Guaranteed 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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159,375 |
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1,275 |
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Hawker Beechcraft Acquisition Co., Global Company Guaranteed 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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235,875 |
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325 |
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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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294,125 |
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1,231,313 |
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Agriculture (0.5%) |
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550 |
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Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 11/01/09 @ $100.00)‡ |
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(B-, B3) |
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11/01/10 |
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11.000 |
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486,750 |
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Auto Loans (6.4%) |
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725 |
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Ford Motor Credit Co. LLC, Global Senior Unsecured Notes |
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(CCC+, Caa1) |
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06/15/10 |
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7.875 |
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599,032 |
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2,900 |
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Ford Motor Credit Co. LLC, Global Senior Unsecured Notes |
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(CCC+, Caa1) |
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10/01/13 |
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7.000 |
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1,806,975 |
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325 |
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Ford Motor Credit Co. LLC, Senior Unsecured Notes |
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(CCC+, Caa1) |
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08/10/11 |
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9.875 |
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241,775 |
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1,225 |
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Ford Motor Credit Co. LLC, Senior Unsecured Notes |
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(CCC+, Caa1) |
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12/15/16 |
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8.000 |
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734,421 |
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2,390 |
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GMAC LLC, Rule 144A, Company Guaranteed Notes‡ |
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(CCC, NR) |
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03/02/11 |
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7.250 |
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1,930,656 |
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744 |
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GMAC LLC, Rule 144A, Company Guaranteed Notes‡ |
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(CCC, NR) |
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04/01/11 |
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6.000 |
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565,142 |
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47 |
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GMAC LLC, Rule 144A, Company Guaranteed Notes‡ |
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(CCC, NR) |
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12/15/11 |
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6.000 |
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34,791 |
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99 |
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GMAC LLC, Rule 144A, Company Guaranteed Notes‡ |
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(CCC, NR) |
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12/31/13 |
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7.500 |
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58,456 |
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1,007 |
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GMAC LLC, Rule 144A, Company Guaranteed Notes‡ |
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(CCC, NR) |
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12/01/14 |
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6.750 |
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655,169 |
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119 |
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GMAC LLC, Rule 144A, Subordinated Notes‡ |
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(CC, NR) |
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12/31/18 |
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8.000 |
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47,047 |
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6,673,464 |
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Auto Parts & Equipment (3.7%) |
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975 |
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Altra Industrial Motion, Inc., Global Senior Secured Notes (Callable 12/01/09 @ $102.25) |
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(B+, B1) |
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12/01/11 |
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9.000 |
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945,750 |
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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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(CCC-, Caa2) |
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03/01/17 |
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7.875 |
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162,750 |
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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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912,000 |
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750 |
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Lear Corp., Series B, Global Company Guaranteed Notes (Callable 12/01/10 @ $104.25) |
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(CCC, Caa2) |
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12/01/13 |
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8.500 |
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176,250 |
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800 |
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Stanadyne Corp., Series 1, Global Senior Subordinated Notes (Callable 08/15/09 @ $105.00) |
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(B-, B3) |
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08/15/14 |
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10.000 |
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548,000 |
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525 |
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Tenneco, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $104.31) |
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(B-, Caa2) |
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11/15/14 |
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8.625 |
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162,750 |
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848 |
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The Goodyear Tire & Rubber Co., Global Company Guaranteed Notes (Callable 07/01/10 @ $104.50) |
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(BB-, B1) |
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07/01/15 |
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9.000 |
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786,520 |
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193 |
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Visteon Corp., Global Senior Unsecured Notes |
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(CCC-, Caa3) |
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08/01/10 |
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8.250 |
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35,705 |
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498 |
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Visteon Corp., Rule 144A, Senior Unsecured Notes (Callable 12/31/13 @ $105.00)‡ |
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(CCC-, Caa2) |
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12/31/16 |
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12.250 |
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57,270 |
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3,786,995 |
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Automotive (1.0%) |
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1,970 |
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Ford Motor Co., Global Senior Unsecured Notes |
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(CCC-, Ca) |
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07/16/31 |
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7.450 |
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443,250 |
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|
925 |
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General Motors Corp., Global Senior Unsecured Notes |
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(C, C) |
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01/15/11 |
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7.200 |
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191,938 |
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2,750 |
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General Motors Corp., Senior Unsecured Notes |
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(C, C) |
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07/15/13 |
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7.125 |
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446,875 |
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1,082,063 |
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Beverages (0.6%) |
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675 |
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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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648,000 |
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Brokerage (0.2%) |
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475 |
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E*TRADE Financial Corp., Global Senior Notes (Callable 06/15/09 @ $102.00) |
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(B, B2) |
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06/15/11 |
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8.000 |
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220,875 |
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Building & Construction (1.1%) |
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1,425 |
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Ashton Woods USA/Finance, Global Company Guaranteed Notes (Callable 10/01/10 @ $104.75)ø |
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(D, C) |
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10/01/15 |
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9.500 |
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220,875 |
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|
625 |
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K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes |
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(CCC, Caa1) |
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01/15/16 |
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6.250 |
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184,375 |
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|
900 |
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Standard Pacific Corp., Global Company Guaranteed Notes |
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(B-, B2) |
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08/15/15 |
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7.000 |
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481,500 |
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Par |
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Ratings† |
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Maturity |
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Rate% |
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Value |
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U.S. CORPORATE BONDS |
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Building & Construction |
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$ |
1,000 |
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William Lyon Homes, Inc., Company Guaranteed Notes (Callable 04/15/09 @ $105.38) |
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(CCC-, Caa3) |
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04/01/13 |
|
10.750 |
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$ |
255,000 |
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1,141,750 |
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Building Materials (3.7%) |
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1,000 |
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Associated Materials, Inc., Global Senior Discount Notes (Callable 03/01/09 @ $105.62)+ |
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(CCC, Caa2) |
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03/01/14 |
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0.000 |
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455,000 |
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|
700 |
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Building Materials Corp. of America, Global Secured Notes (Callable 08/01/09 @ $103.88) |
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(B+, B3) |
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08/01/14 |
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7.750 |
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465,500 |
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|
650 |
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Coleman Cable, Inc., Global Company Guaranteed Notes (Callable 10/01/09 @ $102.47) |
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(B+, B2) |
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10/01/12 |
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9.875 |
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438,750 |
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|
750 |
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CPG International I, Inc., Global Company Guaranteed Notes (Callable 07/01/09 @ $105.25) |
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(B, B3) |
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07/01/13 |
|
10.500 |
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423,750 |
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|
500 |
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Dayton Superior Corp., Company Guaranteed Notes |
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(CC, Caa3) |
|
06/15/09 |
|
13.000 |
|
286,250 |
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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) |
|
04/01/15 |
|
3.810 |
|
421,875 |
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|
325 |
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Norcraft Finance Corp., Global Company Guaranteed Notes (Callable 11/01/09 @ $100.00) |
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(B+, B1) |
|
11/01/11 |
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9.000 |
|
287,625 |
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|
250 |
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Norcraft Holdings, Global Senior Discount Notes (Callable 09/01/09 @ $102.44) |
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(B-, B3) |
|
09/01/12 |
|
9.750 |
|
193,750 |
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|
825 |
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Nortek, Inc., Global Senior Subordinated Notes (Callable 09/01/09 @ $104.25) |
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(CCC, Caa1) |
|
09/01/14 |
|
8.500 |
|
173,250 |
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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, Caa2) |
|
03/01/14 |
|
0.000 |
|
120,000 |
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|
525 |
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Ply Gem Industries, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $102.25) |
|
(CCC, Caa2) |
|
02/15/12 |
|
9.000 |
|
147,000 |
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|
750 |
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Ply Gem Industries, Inc., Global Senior Secured Notes (Callable 04/01/11 @ $105.88) |
|
(B-, B2) |
|
06/15/13 |
|
11.750 |
|
420,000 |
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3,832,750 |
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Chemicals (3.4%) |
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650 |
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Chemtura Corp., Company Guaranteed Notes |
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(CCC, B3) |
|
06/01/16 |
|
6.875 |
|
214,500 |
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|
550 |
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Koppers Holdings, Inc., Global Senior Discount Notes (Callable 11/15/09 @ $104.94)+ |
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(B-, B2) |
|
11/15/14 |
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0.000 |
|
457,188 |
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|
1,125 |
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Momentive Performance Materials, Inc., Global Company Guaranteed Notes (Callable 12/01/10 @ $104.88) |
|
(B-, B3) |
|
12/01/14 |
|
9.750 |
|
500,625 |
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|
1,050 |
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Momentive Performance Materials, Inc., Global Company Guaranteed Notes (Callable 12/01/11 @ $105.75) |
|
(CCC, Caa2) |
|
12/01/16 |
|
11.500 |
|
262,500 |
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|
275 |
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Nalco Co., Global Company Guaranteed Notes (Callable 11/15/09 @ $103.00) |
|
(B, B3) |
|
11/15/13 |
|
9.000 |
|
296,026 |
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|
575 |
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Nalco Finance Holdings, Inc., Global Senior Discounted Notes (Callable 02/01/09 @ $104.50)+ |
|
(B, B3) |
|
02/01/14 |
|
0.000 |
|
461,437 |
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|
725 |
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PolyOne Corp., Senior Unsecured Notes |
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(B, B1) |
|
05/01/12 |
|
8.875 |
|
322,625 |
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|
1,175 |
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Reichhold Industries, Inc., Rule 144A, Senior Notes (Callable 08/15/10 @ $104.50)‡ |
|
(B-, B2) |
|
08/15/14 |
|
9.000 |
|
804,875 |
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|
275 |
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Terra Capital, Inc., Series B, Global Company Guaranteed Notes (Callable 02/01/12 @ $103.50) |
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(BB, B1) |
|
02/01/17 |
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7.000 |
|
251,625 |
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3,571,401 |
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Computer Hardware (0.7%) |
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|
825 |
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Activant Solutions, Inc., Global Company Guaranteed Notes (Callable 05/01/11 @ $104.75) |
|
(CCC+, Caa1) |
|
05/01/16 |
|
9.500 |
|
433,125 |
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|
450 |
|
Affiliated Computer Services, Inc., Senior Unsecured Notes |
|
(BB, Ba2) |
|
06/01/15 |
|
5.200 |
|
336,375 |
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|
|
|
|
|
|
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|
769,500 |
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Consumer Products (2.5%) |
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|
|
|
|
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|
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|
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|
950 |
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AAC Group Holding Corp., Rule 144A, Senior Unsecured Notes (Callable 10/01/09 @ $102.56)‡ |
|
(CCC+, Caa2) |
|
10/01/12 |
|
10.250 |
|
641,250 |
|
||
|
1,625 |
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Amscan Holdings, Inc., Global Senior Subordinated Notes (Callable 05/01/09 @ $104.38) |
|
(CCC+, Caa1) |
|
05/01/14 |
|
8.750 |
|
975,000 |
|
||
|
500 |
|
Jarden Corp., Company Guaranteed Notes (Callable 05/01/12 @ $103.75) |
|
(B, B3) |
|
05/01/17 |
|
7.500 |
|
362,500 |
|
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|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
|
Consumer Products |
|
|
|
|
|
|
|
|
|
||||
|
$ |
640 |
|
Prestige Brands, Inc., Global Senior Subordinated Notes (Callable 04/15/09 @ $102.31) |
|
(B-, B3) |
|
04/15/12 |
|
9.250 |
|
$ |
598,400 |
|
|
|
|
|
|
|
|
|
|
|
|
2,577,150 |
|
||
|
Diversified Capital Goods (2.5%) |
|
|
|
|
|
|
|
|
|
||||
|
925 |
|
Esco Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/09 @ $101.00)#‡ |
|
(B, B2) |
|
12/15/13 |
|
5.871 |
|
605,875 |
|
||
|
100 |
|
Esco Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/10 @ $104.31)‡ |
|
(B, B2) |
|
12/15/13 |
|
8.625 |
|
78,500 |
|
||
|
850 |
|
RBS Global & Rexnord Corp., Global Company Guaranteed Notes (Callable 08/01/10 @ $104.75) |
|
(B-, B3) |
|
08/01/14 |
|
9.500 |
|
735,250 |
|
||
|
425 |
|
Sensus Metering Systems, Inc., Global Senior Subordinated Notes (Callable 12/15/09 @ $102.87) |
|
(B-, B3) |
|
12/15/13 |
|
8.625 |
|
333,625 |
|
||
|
600 |
|
Titan International, Inc., Global Company Guaranteed Notes |
|
(B-, Caa1) |
|
01/15/12 |
|
8.000 |
|
507,000 |
|
||
|
738 |
|
TriMas Corp., Global Company Guaranteed Notes (Callable 06/15/09 @ $101.65) |
|
(B-, Caa1) |
|
06/15/12 |
|
9.875 |
|
372,690 |
|
||
|
|
|
|
|
|
|
|
|
|
|
2,632,940 |
|
||
|
Electric - Generation (10.5%) |
|
|
|
|
|
|
|
|
|
||||
|
350 |
|
Dynegy Holdings, Inc., Global Senior Unsecured Notes |
|
(B, B2) |
|
06/01/15 |
|
7.500 |
|
280,000 |
|
||
|
1,825 |
|
Dynegy Holdings, Inc., Global Senior Unsecured Notes |
|
(B, B2) |
|
05/01/16 |
|
8.375 |
|
1,496,500 |
|
||
|
1,175 |
|
Edison Mission Energy, Global Senior Unsecured Notes |
|
(BB-, B1) |
|
05/15/17 |
|
7.000 |
|
1,098,625 |
|
||
|
300 |
|
Edison Mission Energy, Global Senior Unsecured Notes |
|
(BB-, B1) |
|
05/15/19 |
|
7.200 |
|
273,750 |
|
||
|
438 |
|
Midwest Generation LLC, Series B, Global Pass Thru Certificates |
|
(BB+, Baa3) |
|
01/02/16 |
|
8.560 |
|
427,313 |
|
||
|
1,025 |
|
Mirant Americas Generation LLC, Senior Unsecured Notes |
|
(B-, B3) |
|
10/01/21 |
|
8.500 |
|
876,375 |
|
||
|
25 |
|
Mirant Americas Generation, LLC, Senior Unsecured Notes |
|
(B-, B3) |
|
05/01/11 |
|
8.300 |
|
24,688 |
|
||
|
447 |
|
Mirant Mid Atlantic LLC, Series B, Global Pass Thru Certificates |
|
(BB, Ba1) |
|
06/30/17 |
|
9.125 |
|
366,756 |
|
||
|
350 |
|
NRG Energy, Inc., Company Guaranteed Notes (Callable 01/15/12 @ $103.69) |
|
(B, B1) |
|
01/15/17 |
|
7.375 |
|
329,000 |
|
||
|
550 |
|
NRG Energy, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.69) |
|
(B, B1) |
|
02/01/16 |
|
7.375 |
|
525,250 |
|
||
|
100 |
|
Reliant Energy, Inc., Senior Unsecured Notes |
|
(B+, B1) |
|
06/15/14 |
|
7.625 |
|
82,250 |
|
||
|
175 |
|
Reliant Energy, Inc., Senior Unsecured Notes |
|
(B+, B1) |
|
06/15/17 |
|
7.875 |
|
142,625 |
|
||
|
4,900 |
|
Texas Competitive Electric Holdings Co., LLC, Series A, Global Company Guaranteed Notes (Callable 11/01/11 @ $105.13)+ |
|
(CCC, B3) |
|
11/01/15 |
|
10.250 |
|
3,650,500 |
|
||
|
1,225 |
|
The AES Corp., Global Senior Unsecured Notes |
|
(BB-, B1) |
|
10/15/17 |
|
8.000 |
|
1,157,625 |
|
||
|
175 |
|
The AES Corp., Senior Unsecured Notes |
|
(BB-, B1) |
|
03/01/14 |
|
7.750 |
|
167,563 |
|
||
|
|
|
|
|
|
|
|
|
|
|
10,898,820 |
|
||
|
Electric - Integrated (0.3%) |
|
|
|
|
|
|
|
|
|
||||
|
350 |
|
PNM Resources, Inc., Unsecured Notes |
|
(BB-, Ba2) |
|
05/15/15 |
|
9.250 |
|
316,750 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Electronics (2.5%) |
|
|
|
|
|
|
|
|
|
||||
|
950 |
|
Amkor Technology, Inc., Global Senior Notes (Callable 05/15/09 @ $102.58) |
|
(B+, B1) |
|
05/15/13 |
|
7.750 |
|
554,563 |
|
||
|
111 |
|
Ampex Corp., Senior Secured Notes^ |
|
(NR, NR) |
|
09/30/09 |
|
12.000 |
|
90,089 |
|
||
|
1,325 |
|
Freescale Semiconductor, Inc., Company Guaranteed Notes |
|
(C, Caa3) |
|
12/15/16 |
|
10.125 |
|
238,500 |
|
||
|
275 |
|
Jabil Circuit, Inc., Global Senior Unsecured Notes |
|
(BB-, Ba1) |
|
03/15/18 |
|
8.250 |
|
211,750 |
|
||
|
1,000 |
|
Sanmina-SCI Corp., Global Company Guaranteed Notes (Callable 03/01/09 @ $103.38) |
|
(B-, B3) |
|
03/01/13 |
|
6.750 |
|
495,000 |
|
||
|
250 |
|
Sanmina-SCI Corp., Senior Subordinated Notes (Callable 03/01/11 @ $104.06) |
|
(B-, B3) |
|
03/01/16 |
|
8.125 |
|
108,750 |
|
||
|
1,200 |
|
Viasystems, Inc., Global Senior Unsecured Notes (Callable 01/15/10 @ $100.00) |
|
(B+, Caa1) |
|
01/15/11 |
|
10.500 |
|
882,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
2,580,652 |
|
||
|
Energy - Exploration & Production (5.8%) |
|
|
|
|
|
|
|
|
|
||||
|
725 |
|
Berry Petroleum Co., Senior Subordinated Notes (Callable 11/01/11 @ $104.13) |
|
(B+, B3) |
|
11/01/16 |
|
8.250 |
|
382,438 |
|
||
|
150 |
|
Chesapeake Energy Corp., Company Guaranteed Notes |
|
(BB, Ba3) |
|
07/15/13 |
|
7.625 |
|
138,750 |
|
||
|
300 |
|
Chesapeake Energy Corp., Company Guaranteed Notes |
|
(BB, Ba3) |
|
12/15/18 |
|
7.250 |
|
252,750 |
|
||
|
1,050 |
|
Chesapeake Energy Corp., Global Company Guaranteed Notes (Callable 01/15/10 @ $102.29) |
|
(BB, Ba3) |
|
01/15/16 |
|
6.875 |
|
905,625 |
|
||
|
1,000 |
|
Encore Acquisition Co., Company Guaranteed Notes (Callable 12/01/10 @ $103.63) |
|
(B, B1) |
|
12/01/17 |
|
7.250 |
|
810,000 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
|
Energy - Exploration & Production |
|
|
|
|
|
|
|
|
|
||||
|
$ |
450 |
|
Forest Oil Corp., Rule 144A, Company Guaranteed Notes (Callable 06/15/12 @ $103.63)‡ |
|
(B+, B1) |
|
06/15/19 |
|
7.250 |
|
$ |
376,875 |
|
|
525 |
|
Hilcorp Energy I, Rule 144A, Senior Unsecured Notes (Callable 06/01/11 @ $104.50)‡ |
|
(BB-, B3) |
|
06/01/16 |
|
9.000 |
|
430,500 |
|
||
|
800 |
|
Mariner Energy, Inc., Company Guaranteed Notes (Callable 05/15/12 @ $104.00) |
|
(B+, B3) |
|
05/15/17 |
|
8.000 |
|
516,000 |
|
||
|
950 |
|
PetroHawk Energy Corp., Rule 144A, Company Guaranteed Notes (Callable 06/01/12 @ $103.94)‡ |
|
(B, B3) |
|
06/01/15 |
|
7.875 |
|
800,375 |
|
||
|
625 |
|
Plains Exploration & Production Co., Company Guaranteed Notes (Callable 06/15/11 @ $103.88) |
|
(BB, B1) |
|
06/15/15 |
|
7.750 |
|
569,531 |
|
||
|
500 |
|
Range Resources Corp., Company Guaranteed Notes (Callable 10/01/12 @ $103.75) |
|
(BB, Ba3) |
|
10/01/17 |
|
7.500 |
|
466,250 |
|
||
|
475 |
|
Swift Energy Co, Company Guaranteed Notes (Callable 06/01/12 @ $103.56) |
|
(B-, B1) |
|
06/01/17 |
|
7.125 |
|
320,625 |
|
||
|
|
|
|
|
|
|
|
|
|
|
5,969,719 |
|
||
|
Environmental (0.6%) |
|
|
|
|
|
|
|
|
|
||||
|
800 |
|
Waste Services, Inc., Global Senior Subordinated Notes (Callable 04/15/09 @ $104.75) |
|
(B-, Caa1) |
|
04/15/14 |
|
9.500 |
|
620,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Food & Drug Retailers (0.8%) |
|
|
|
|
|
|
|
|
|
||||
|
925 |
|
Duane Reade, Inc., Global Company Guaranteed Notes (Callable 08/01/09 @ $102.44) |
|
(CCC-, Caa3) |
|
08/01/11 |
|
9.750 |
|
504,125 |
|
||
|
75 |
|
Stater Brothers Holdings, Inc., Global Company Guaranteed Notes (Callable 04/15/11 @ $103.88) |
|
(B+, B2) |
|
04/15/15 |
|
7.750 |
|
69,000 |
|
||
|
300 |
|
Stater Brothers Holdings, Inc., Global Company Guaranteed Notes (Callable 06/15/09 @ $102.03) |
|
(B+, B2) |
|
06/15/12 |
|
8.125 |
|
298,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
871,625 |
|
||
|
Food - Wholesale (0.9%) |
|
|
|
|
|
|
|
|
|
||||
|
250 |
|
Dole Food Co., Inc., Global Company Guaranteed Notes |
|
(B-, Caa2) |
|
05/01/09 |
|
8.625 |
|
236,875 |
|
||
|
175 |
|
Dole Food Co., Inc., Global Company Guaranteed Notes (Callable 03/15/09 @ $100.00) |
|
(B-, Caa2) |
|
03/15/11 |
|
8.875 |
|
132,125 |
|
||
|
800 |
|
Smithfield Foods, Inc., Senior Unsecured Notes |
|
(B, B3) |
|
07/01/17 |
|
7.750 |
|
546,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
915,000 |
|
||
|
Forestry & Paper (3.1%) |
|
|
|
|
|
|
|
|
|
||||
|
478 |
|
Boise Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/09 @ $103.56) |
|
(BB-, B2) |
|
10/15/14 |
|
7.125 |
|
250,950 |
|
||
|
1,300 |
|
Cellu Tissue Holdings, Inc., Global Secured Notes (Callable 03/15/09 @ $100.00) |
|
(B, B2) |
|
03/15/10 |
|
9.750 |
|
1,049,750 |
|
||
|
750 |
|
Georgia-Pacific Corp., Global Senior Notes |
|
(B+, B2) |
|
01/15/24 |
|
8.000 |
|
551,250 |
|
||
|
300 |
|
Georgia-Pacific Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ $103.56)‡ |
|
(BB-, Ba3) |
|
01/15/17 |
|
7.125 |
|
275,250 |
|
||
|
475 |
|
Graphic Packaging International Corp., Global Senior Subordinated Notes (Callable 08/15/09 @ $103.17) |
|
(B-, B3) |
|
08/15/13 |
|
9.500 |
|
363,375 |
|
||
|
625 |
|
Newark Group, Inc., Global Senior Subordinated Notes (Callable 03/15/09 @ $104.88) |
|
(CCC-, Ca) |
|
03/15/14 |
|
9.750 |
|
54,688 |
|
||
|
675 |
|
NewPage Corp., Global Company Guaranteed Notes (Callable 05/01/09 @ $106.00) |
|
(CCC+, B3) |
|
05/01/13 |
|
12.000 |
|
165,375 |
|
||
|
950 |
|
Smurfit-Stone Container Enterprises, Inc., Global Senior Unsecured Notes (Callable 07/01/09 @ $101.40)ø |
|
(D, NR) |
|
07/01/12 |
|
8.375 |
|
104,500 |
|
||
|
75 |
|
Verso Paper Holdings LLC, Series B, Global Senior Secured Notes (Callable 08/01/10 @ $104.56) |
|
(B+, B2) |
|
08/01/14 |
|
9.125 |
|
31,125 |
|
||
|
1,125 |
|
Verso Paper, Inc., Series B, Global Company Guaranteed Notes (Callable 08/01/11 @ $105.69) |
|
(CCC+, B3) |
|
08/01/16 |
|
11.375 |
|
320,625 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,166,888 |
|
||
|
Gaming (5.4%) |
|
|
|
|
|
|
|
|
|
||||
|
1,125 |
|
Buffalo Thunder Development Authority, Rule 144A, Senior Secured Notes (Callable 12/15/10 @ $104.69)‡ |
|
(CCC, Caa3) |
|
12/15/14 |
|
9.375 |
|
106,875 |
|
||
|
200 |
|
Caesars Entertainment, Inc., Global Company Guaranteed Notes |
|
(CC, Caa3) |
|
03/15/10 |
|
7.875 |
|
113,000 |
|
||
|
1,975 |
|
Caesars Entertainment, Inc., Global Company Guaranteed Notes |
|
(CC, Caa3) |
|
05/15/11 |
|
8.125 |
|
780,125 |
|
||
|
1,225 |
|
CCM Merger, Inc., Rule 144A, Notes (Callable 08/01/09 @ $104.00)‡ |
|
(CCC, Caa3) |
|
08/01/13 |
|
8.000 |
|
520,625 |
|
||
|
280 |
|
Choctaw Resort Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/11 @ $103.63)‡ |
|
(B+, B1) |
|
11/15/19 |
|
7.250 |
|
91,000 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
|
Gaming |
|
|
|
|
|
|
|
|
|
||||
|
$ |
575 |
|
FireKeepers Development Authority, Rule 144A, Senior Secured Notes (Callable 05/01/12 @ $110.50)‡ |
|
(B, B3) |
|
05/01/15 |
|
13.875 |
|
$ |
388,125 |
|
|
625 |
|
Fontainebleau Las Vegas Capital Corp., Rule 144A, Second Mortgage Notes (Callable 06/15/11 @ $105.13)‡ |
|
(CCC, Caa3) |
|
06/15/15 |
|
10.250 |
|
71,875 |
|
||
|
225 |
|
Herbst Gaming, Inc., Global Company Guaranteed Notes (Callable 06/01/09 @ $102.03)ø |
|
(D, NR) |
|
06/01/12 |
|
8.125 |
|
1,687 |
|
||
|
750 |
|
Inn of the Mountain Gods Resort & Casino, Global Company Guaranteed Notes (Callable 11/15/09 @ $100.00) |
|
(CCC, Caa2) |
|
11/15/10 |
|
12.000 |
|
153,750 |
|
||
|
1,250 |
|
Jacobs Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/15/10 @ $104.88) |
|
(B-, B3) |
|
06/15/14 |
|
9.750 |
|
675,000 |
|
||
|
950 |
|
Majestic Star Casino Capital Corp., Senior Secured Notes (Callable 10/15/09 @ $100.00)ø |
|
(D, Caa3) |
|
10/15/10 |
|
9.500 |
|
289,750 |
|
||
|
1,275 |
|
Mashantucket Western Pequot Tribe, Rule 144A, Bonds (Callable 11/15/11 @ $104.25)‡ |
|
(BB-, B2) |
|
11/15/15 |
|
8.500 |
|
446,250 |
|
||
|
1,150 |
|
MGM Mirage, Inc., Company Guaranteed Notes |
|
(BB-, Ba3) |
|
04/01/16 |
|
6.875 |
|
649,750 |
|
||
|
700 |
|
MGM Mirage, Inc., Company Guaranteed Notes |
|
(BB-, Ba3) |
|
01/15/17 |
|
7.625 |
|
388,500 |
|
||
|
600 |
|
Peermont Global Proprietary Ltd., Rule 144A, Senior Secured Notes (Callable 04/30/10 @ $105.81)‡ |
|
(B, B3) |
|
04/30/14 |
|
7.750 |
|
430,584 |
|
||
|
670 |
|
Tropicana Finance Corp., Global Senior Subordinated Notes (Callable 12/15/10 @ $104.81)ø |
|
(NR, NR) |
|
12/15/14 |
|
9.625 |
|
11,725 |
|
||
|
775 |
|
Turning Stone Resort Casino Enterprise, Rule 144A, Senior Notes (Callable 09/15/10 @ $104.56)‡ |
|
(B+, B1) |
|
09/15/14 |
|
9.125 |
|
519,250 |
|
||
|
|
|
|
|
|
|
|
|
|
|
5,637,871 |
|
||
|
Gas Distribution (3.7%) |
|
|
|
|
|
|
|
|
|
||||
|
525 |
|
Amerigas Partners LP, Global Senior Unsecured Notes (Callable 05/20/10 @ $103.63) |
|
(NR, Ba3) |
|
05/20/15 |
|
7.250 |
|
488,250 |
|
||
|
450 |
|
El Paso Corp., Senior Unsecured Notes |
|
(BB-, Ba3) |
|
06/01/18 |
|
7.250 |
|
414,000 |
|
||
|
925 |
|
El Paso Performance-Linked Trust, Rule 144A, Senior Unsecured Notes‡ |
|
(BB, Ba3) |
|
07/15/11 |
|
7.750 |
|
890,312 |
|
||
|
425 |
|
Inergy Finance Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13) |
|
(B+, B1) |
|
03/01/16 |
|
8.250 |
|
386,750 |
|
||
|
275 |
|
Inergy Finance Corp., Global Senior Unsecured Notes (Callable 12/15/09 @ $103.44) |
|
(B+, B1) |
|
12/15/14 |
|
6.875 |
|
239,250 |
|
||
|
550 |
|
MarkWest Energy Finance Corp., Series B, Global Senior Notes (Callable 04/15/13 @ $104.38) |
|
(B+, B2) |
|
04/15/18 |
|
8.750 |
|
397,375 |
|
||
|
625 |
|
Targa Resources Partners LP, Rule 144A, Senior Notes (Callable 07/01/12 @ $104.13)‡ |
|
(B, B2) |
|
07/01/16 |
|
8.250 |
|
453,125 |
|
||
|
675 |
|
Williams Cos., Inc., Series A, Global Senior Unsecured Notes |
|
(BB+, Baa3) |
|
01/15/31 |
|
7.500 |
|
555,188 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,824,250 |
|
||
|
Health Services (7.1%) |
|
|
|
|
|
|
|
|
|
||||
|
490 |
|
Bausch & Lomb, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/11 @ $104.94)‡ |
|
(B, Caa1) |
|
11/01/15 |
|
9.875 |
|
432,425 |
|
||
|
50 |
|
Biomet, Inc., Global Company Guaranteed Notes (Callable 10/15/12 @ $105.00) |
|
(B-, B3) |
|
10/15/17 |
|
10.000 |
|
51,000 |
|
||
|
25 |
|
Biomet, Inc., Global Company Guaranteed Notes (Callable 10/15/12 @ $105.81) |
|
(B-, Caa1) |
|
10/15/17 |
|
11.625 |
|
23,375 |
|
||
|
650 |
|
Community Health Systems, Inc., Global Company Guaranteed Notes (Callable 07/15/11 @ $104.44) |
|
(B, B3) |
|
07/15/15 |
|
8.875 |
|
628,875 |
|
||
|
900 |
|
HCA, Inc., Global Secured Notes (Callable 11/15/11 @ $104.63) |
|
(BB-, B2) |
|
11/15/16 |
|
9.250 |
|
861,750 |
|
||
|
1,300 |
|
HCA, Inc., Global Senior Unsecured Notes |
|
(B-, Caa1) |
|
01/15/15 |
|
6.375 |
|
916,500 |
|
||
|
425 |
|
HCA, Inc., Global Senior Unsecured Notes |
|
(B-, Caa1) |
|
02/15/16 |
|
6.500 |
|
299,625 |
|
||
|
1,050 |
|
HCA, Inc., Senior Unsecured Notes |
|
(B-, Caa1) |
|
02/15/13 |
|
6.250 |
|
763,875 |
|
||
|
625 |
|
HCA, Inc., Senior Unsecured Notes |
|
(B-, Caa1) |
|
07/15/13 |
|
6.750 |
|
454,687 |
|
||
|
175 |
|
Healthsouth Corp., Global Company Guaranteed Notes (Callable 06/15/11 @ $105.38) |
|
(CCC+, Caa1) |
|
06/15/16 |
|
10.750 |
|
173,688 |
|
||
|
525 |
|
OMEGA Healthcare Investors, Inc., Global Company Guaranteed Notes (Callable 01/15/11 @ $103.50) |
|
(BB+, Ba3) |
|
01/15/16 |
|
7.000 |
|
469,875 |
|
||
|
250 |
|
Stewart Enterprises, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $103.13) |
|
(BB-, Ba3) |
|
02/15/13 |
|
6.250 |
|
215,000 |
|
||
|
1,050 |
|
Tenet Healthcare Corp., Global Senior Unsecured Notes |
|
(B, Caa1) |
|
07/01/14 |
|
9.875 |
|
850,500 |
|
||
|
175 |
|
Universal Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/09 @ $102.00)# |
|
(B+, B3) |
|
06/01/15 |
|
5.943 |
|
118,125 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
|
Health Services |
|
|
|
|
|
|
|
|
|
||||
|
$ |
275 |
|
Universal Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/11 @ $104.25) |
|
(B+, B3) |
|
06/01/15 |
|
8.500 |
|
$ |
233,750 |
|
|
450 |
|
Vanguard Health Holding Co., Global Senior Subordinated Notes (Callable 10/01/09 @ $104.50) |
|
(CCC+, Caa1) |
|
10/01/14 |
|
9.000 |
|
402,750 |
|
||
|
600 |
|
VWR Funding, Inc., Series B, Global Company Guaranteed Notes (Callable 07/15/11 @ $105.13) |
|
(B-, Caa1) |
|
07/15/15 |
|
10.250 |
|
447,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
7,342,800 |
|
||
|
Household & Leisure Products (0.7%) |
|
|
|
|
|
|
|
|
|
||||
|
450 |
|
ALH Finance LLC/ALH Finance Corp., Global Senior Subordinated Notes (Callable 01/15/10 @ 102.13) |
|
(CCC+, B3) |
|
01/15/13 |
|
8.500 |
|
375,750 |
|
||
|
500 |
|
Ames True Temper, Inc., Global Company Guaranteed Notes# |
|
(CCC+, Caa1) |
|
01/15/12 |
|
5.094 |
|
315,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
690,750 |
|
||
|
lnvestments & Misc. Financial Services (0.2%) |
|
|
|
|
|
|
|
|
|
||||
|
700 |
|
Nuveen Investments, Inc., Rule 144A, Senior Notes (Callable 11/15/11 @ $105.25)‡ |
|
(CCC+, Caa1) |
|
11/15/15 |
|
10.500 |
|
196,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Leisure (0.3%) |
|
|
|
|
|
|
|
|
|
||||
|
122 |
|
Six Flags Operations, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/13 @ $106.12)‡ |
|
(CCC, Caa2) |
|
07/15/16 |
|
12.250 |
|
72,590 |
|
||
|
900 |
|
Six Flags, Inc., Global Senior Unsecured Notes (Callable 06/01/09 @ $104.81) |
|
(CCC-, Caa3) |
|
06/01/14 |
|
9.625 |
|
184,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
257,090 |
|
||
|
Machinery (0.7%) |
|
|
|
|
|
|
|
|
|
||||
|
650 |
|
Baldor Electric Co., Company Guaranteed Notes (Callable 02/15/12 @ $104.31) |
|
(B, B3) |
|
02/15/17 |
|
8.625 |
|
549,250 |
|
||
|
250 |
|
Terex Corp., Senior Subordinated Notes (Callable 11/15/12 @ $104.00) |
|
(B+, Ba3) |
|
11/15/17 |
|
8.000 |
|
208,750 |
|
||
|
|
|
|
|
|
|
|
|
|
|
758,000 |
|
||
|
Media - Broadcast (1.5%) |
|
|
|
|
|
|
|
|
|
||||
|
725 |
|
Allbritton Communications Co., Global Senior Subordinated Notes (Callable 12/15/09 @ $101.29) |
|
(B, Caa1) |
|
12/15/12 |
|
7.750 |
|
362,500 |
|
||
|
1,500 |
|
Barrington Broadcasting Capital Corp., Global Company Guaranteed Notes (Callable 08/15/10 @ $105.25) |
|
(CCC-, Caa3) |
|
08/15/14 |
|
10.500 |
|
356,250 |
|
||
|
1,175 |
|
Clear Channel Communications, Inc., Senior Unsecured Notes |
|
(CCC+, Caa1) |
|
09/15/14 |
|
5.500 |
|
164,500 |
|
||
|
925 |
|
CMP Susquehanna Corp., Global Company Guaranteed Notes (Callable 05/15/10 @ $104.94) |
|
(CCC, Ca) |
|
05/15/14 |
|
9.875 |
|
34,687 |
|
||
|
550 |
|
Fisher Communications, Inc., Global Company Guaranteed Notes (Callable 09/15/09 @ $104.31) |
|
(B, B2) |
|
09/15/14 |
|
8.625 |
|
442,750 |
|
||
|
600 |
|
Local TV Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 06/15/11 @ $104.63)‡ |
|
(CCC+, Caa3) |
|
06/15/15 |
|
9.250 |
|
75,750 |
|
||
|
370 |
|
Univision Communications, Inc., Rule 144A, Company Guaranteed Notes (Callable 03/15/11 @ $104.88)‡ |
|
(CCC, Caa2) |
|
03/15/15 |
|
9.750 |
|
62,900 |
|
||
|
1,525 |
|
Young Broadcasting, Inc., Global Company Guaranteed Notes (Callable 01/15/10 @ $102.92)ø |
|
(D, C) |
|
01/15/14 |
|
8.750 |
|
11,438 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,510,775 |
|
||
|
Media - Cable (5.5%) |
|
|
|
|
|
|
|
|
|
||||
|
1,875 |
|
Atlantic Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/10 @ $103.13) |
|
(CCC+, Caa1) |
|
01/15/14 |
|
9.375 |
|
1,443,750 |
|
||
|
1,800 |
|
CCH II Capital Corp., Series B, Global Senior Unsecured Notes (Callable 09/15/09 @ $100.00) |
|
(C, Caa2) |
|
09/15/10 |
|
10.250 |
|
1,071,000 |
|
||
|
792 |
|
Charter Communications Holdings Capital, Senior Unsecured Notes |
|
(C, Ca) |
|
04/01/11 |
|
9.920 |
|
18,810 |
|
||
|
325 |
|
Charter Communications Operating Capital, Rule 144A, Secured Notes‡ |
|
(C, B3) |
|
04/30/12 |
|
8.000 |
|
277,875 |
|
||
|
825 |
|
CSC Holdings Inc., Rule 144A, Senior Notes‡ |
|
(BB, B1) |
|
04/15/14 |
|
8.500 |
|
814,687 |
|
||
|
450 |
|
CSC Holdings, Inc., Global Senior Unsecured Notes |
|
(BB, B1) |
|
04/15/12 |
|
6.750 |
|
435,375 |
|
||
|
275 |
|
CSC Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 06/15/12 @ $104.25)‡ |
|
(BB, B1) |
|
06/15/15 |
|
8.500 |
|
266,062 |
|
||
|
200 |
|
EchoStar DBS Corp., Global Company Guaranteed Notes |
|
(BB-, Ba3) |
|
10/01/13 |
|
7.000 |
|
191,000 |
|
||
|
225 |
|
EchoStar DBS Corp., Global Company Guaranteed Notes |
|
(BB-, Ba3) |
|
10/01/14 |
|
6.625 |
|
205,313 |
|
||
|
175 |
|
Mediacom Broadband Corp., Global Senior Unsecured Notes (Callable 10/15/10 @ $104.25) |
|
(B-, B3) |
|
10/15/15 |
|
8.500 |
|
151,375 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
|
Media - Cable |
|
|
|
|
|
|
|
|
|
||||
|
$ |
825 |
|
Mediacom Capital Corp., Global Senior Unsecured Notes |
|
(B-, B3) |
|
02/15/11 |
|
7.875 |
|
$ |
779,625 |
|
|
|
|
|
|
|
|
|
|
|
|
5,654,872 |
|
||
|
Media - Services (0.4%) |
|
|
|
|
|
|
|
|
|
||||
|
650 |
|
WMG Acquisition Corp., Global Senior Subordinated Notes (Callable 04/15/09 @ $103.69) |
|
(B, B3) |
|
04/15/14 |
|
7.375 |
|
416,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Metals & Mining - Excluding Steel (1.5%) |
|
|
|
|
|
|
|
|
|
||||
|
225 |
|
Aleris International, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ $104.50) |
|
(CC, Ca) |
|
12/15/14 |
|
9.000 |
|
14,625 |
|
||
|
1,100 |
|
Aleris International, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $105.00) |
|
(CC, Ca) |
|
12/15/16 |
|
10.000 |
|
184,250 |
|
||
|
800 |
|
Freeport-McMoRan Copper & Gold, Inc., Senior Unsecured Notes (Callable 04/01/11 @ $104.13) |
|
(BBB-, Ba2) |
|
04/01/15 |
|
8.250 |
|
681,778 |
|
||
|
1,700 |
|
Noranda Aluminium Acquisition Corp., Global Company Guaranteed Notes (Callable 05/15/09 @ $101.00)# |
|
(CCC, B3) |
|
05/15/15 |
|
6.595 |
|
654,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,535,153 |
|
||
|
Non-Food & Drug Retailers (3.4%) |
|
|
|
|
|
|
|
|
|
||||
|
600 |
|
Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 03/15/12 @ $103.81) |
|
(B-, B3) |
|
03/15/17 |
|
7.625 |
|
279,000 |
|
||
|
1,350 |
|
Brookstone Company, Inc., Global Secured Notes (Callable 10/15/09 @ $106.00) |
|
(B, Caa1) |
|
10/15/12 |
|
12.000 |
|
897,750 |
|
||
|
505 |
|
Michaels Stores, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $105.00) |
|
(CCC, Caa1) |
|
11/01/14 |
|
10.000 |
|
229,775 |
|
||
|
645 |
|
Michaels Stores, Inc., Global Company Guaranteed Notes (Callable 11/01/11 @ $105.69) |
|
(CCC, Caa2) |
|
11/01/16 |
|
11.375 |
|
203,175 |
|
||
|
600 |
|
SGS International, Inc., Rule 144A, Global Senior Subordinated Notes (Callable 12/15/09 @ $106.00)‡ |
|
(B-, B3) |
|
12/15/13 |
|
12.000 |
|
304,500 |
|
||
|
520 |
|
Susser Holdings LLC, Global Company Guaranteed Notes (Callable 12/15/09 @ $105.31) |
|
(B+, B3) |
|
12/15/13 |
|
10.625 |
|
486,200 |
|
||
|
1,285 |
|
The Neiman Marcus Group, Inc., Global Company Guaranteed Notes (Callable 10/15/10 @ $105.19) |
|
(B-, B3) |
|
10/15/15 |
|
10.375 |
|
591,100 |
|
||
|
1,110 |
|
Yankee Acquisition Corp., Series B, Global Company Guaranteed Notes (Callable 02/15/11 @ $104.25) |
|
(B-, B3) |
|
02/15/15 |
|
8.500 |
|
538,350 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,529,850 |
|
||
|
Oil Field Equipment & Services (0.7%) |
|
|
|
|
|
|
|
|
|
||||
|
550 |
|
Bristow Group, Inc., Global Company Guaranteed Notes (Callable 09/15/12 @ $103.75) |
|
(BB, Ba2) |
|
09/15/17 |
|
7.500 |
|
404,250 |
|
||
|
450 |
|
Key Energy Services, Inc., Global Company Guaranteed Notes (Callable 12/01/11 @ $104.19) |
|
(BB, B1) |
|
12/01/14 |
|
8.375 |
|
326,250 |
|
||
|
|
|
|
|
|
|
|
|
|
|
730,500 |
|
||
|
Packaging (2.2%) |
|
|
|
|
|
|
|
|
|
||||
|
850 |
|
Berry Plastics Holding Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $105.13) |
|
(CCC, Caa2) |
|
03/01/16 |
|
10.250 |
|
327,250 |
|
||
|
705 |
|
Berry Plastics Holding Corp., Global Senior Secured Notes (Callable 09/15/10 @ $104.44) |
|
(CCC+, Caa1) |
|
09/15/14 |
|
8.875 |
|
348,975 |
|
||
|
725 |
|
Constar International, Inc., Company Guaranteed Notes (Callable 12/01/09 @ $101.83)ø |
|
(D, NR) |
|
12/01/12 |
|
11.000 |
|
25,375 |
|
||
|
325 |
|
Crown Cork & Seal Co., Inc., Debentures (Callable 04/15/09 @ $101.53) |
|
(B, B2) |
|
04/15/23 |
|
8.000 |
|
290,875 |
|
||
|
50 |
|
Graham Packaging Company, Inc., Global Company Guaranteed Notes (Callable 10/15/09 @ $102.13) |
|
(CCC+, Caa1) |
|
10/15/12 |
|
8.500 |
|
38,500 |
|
||
|
725 |
|
Graham Packaging Company, Inc., Global Subordinated Notes (Callable 10/15/09 @ $104.94) |
|
(CCC+, Caa1) |
|
10/15/14 |
|
9.875 |
|
464,000 |
|
||
|
814 |
|
Pliant Corp., Global Senior Secured Notes (Callable 06/15/09 @ $100.00)ø |
|
(CCC-, NR) |
|
06/15/09 |
|
11.625 |
|
427,448 |
|
||
|
600 |
|
Solo Cup Co., Global Company Guaranteed Notes (Callable 02/15/09 @ $104.25) |
|
(CCC, Caa2) |
|
02/15/14 |
|
8.500 |
|
405,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
2,327,423 |
|
||
|
Printing & Publishing (2.0%) |
|
|
|
|
|
|
|
|
|
||||
|
1,000 |
|
Cenveo Corp., Global Senior Subordinated Notes (Callable 12/01/09 @ $102.63) |
|
(B, B3) |
|
12/01/13 |
|
7.875 |
|
640,000 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
|
Printing & Publishing |
|
|
|
|
|
|
|
|
|
||||
|
$ |
1,675 |
|
Idearc, Inc., Global Company Guaranteed Notes (Callable 11/15/11 @ $104.00) |
|
(CC, Ca) |
|
11/15/16 |
|
8.000 |
|
$ |
60,719 |
|
|
1,025 |
|
R.H. Donnelley, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/15/12 @ $105.88)‡ |
|
(B+, B1) |
|
05/15/15 |
|
11.750 |
|
307,500 |
|
||
|
1,800 |
|
The Reader’s Digest Association, Inc., Global Company Guaranteed Notes (Callable 02/15/12 @ $104.50) |
|
(CC, Ca) |
|
02/15/17 |
|
9.000 |
|
173,250 |
|
||
|
1,400 |
|
TL Acquisitions, Inc., Rule 144A, Senior Notes (Callable 07/15/11 @ $105.25)‡ |
|
(CCC+, Caa1) |
|
01/15/15 |
|
10.500 |
|
707,000 |
|
||
|
785 |
|
Valassis Communications, Inc., Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13) |
|
(CCC+, B3) |
|
03/01/15 |
|
8.250 |
|
202,137 |
|
||
|
|
|
|
|
|
|
|
|
|
|
2,090,606 |
|
||
|
Railroads (0.5%) |
|
|
|
|
|
|
|
|
|
||||
|
600 |
|
Kansas City Southern Railway, Company Guaranteed Notes (Callable 06/01/12 @ $104.00) |
|
(BB-, B2) |
|
06/01/15 |
|
8.000 |
|
543,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Restaurants (0.4%) |
|
|
|
|
|
|
|
|
|
||||
|
525 |
|
Denny’s Holdings, Inc., Global Company Guaranteed Notes (Callable 10/01/09 @ $102.50) |
|
(B-, B3) |
|
10/01/12 |
|
10.000 |
|
427,875 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Software/Services (1.7%) |
|
|
|
|
|
|
|
|
|
||||
|
750 |
|
First Data Corp., Global Company Guaranteed Notes (Callable 09/30/11 @ $104.94) |
|
(B, B3) |
|
09/24/15 |
|
9.875 |
|
423,750 |
|
||
|
1,275 |
|
SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/10 @ $105.13) |
|
(B-, Caa1) |
|
08/15/15 |
|
10.250 |
|
873,375 |
|
||
|
1,150 |
|
Unisys Corp., Senior Unsubordinated Notes (Callable 01/15/12 @ $106.25) |
|
(B+, Caa1) |
|
01/15/16 |
|
12.500 |
|
465,750 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,762,875 |
|
||
|
Steel Producers/Products (1.7%) |
|
|
|
|
|
|
|
|
|
||||
|
500 |
|
AK Steel Corp., Global Company Guaranteed Notes (Callable 06/15/09 @ $101.29) |
|
(BB-, Ba3) |
|
06/15/12 |
|
7.750 |
|
417,500 |
|
||
|
1,275 |
|
Rathgibson, Inc., Global Company Guaranteed Notes (Callable 02/15/10 @ $105.62) |
|
(B, B3) |
|
02/15/14 |
|
11.250 |
|
286,875 |
|
||
|
700 |
|
Ryerson, Inc., Rule 144A, Senior Secured Notes (Callable 11/01/11 @ $106.00)‡ |
|
(B, Caa1) |
|
11/01/15 |
|
12.000 |
|
441,000 |
|
||
|
745 |
|
Steel Dynamics, Inc., Rule 144A, Senior Notes (Callable 04/15/12 @ $103.88)‡ |
|
(BB+, Ba2) |
|
04/15/16 |
|
7.750 |
|
599,725 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,745,100 |
|
||
|
Support-Services (5.9%) |
|
|
|
|
|
|
|
|
|
||||
|
300 |
|
ARAMARK Corp., Global Company Guaranteed Notes (Callable 02/01/09 @ $102.00)# |
|
(B, B3) |
|
02/01/15 |
|
6.693 |
|
244,500 |
|
||
|
250 |
|
ARAMARK Corp., Global Senior Unsecured Notes (Callable 02/01/11 @ $104.25) |
|
(B, B3) |
|
02/01/15 |
|
8.500 |
|
244,375 |
|
||
|
800 |
|
Ashtead Capital, Inc., Rule 144A, Secured Notes (Callable 08/15/11 @ $104.50)‡ |
|
(B, B1) |
|
08/15/16 |
|
9.000 |
|
484,000 |
|
||
|
350 |
|
DynCorp. International, Rule 144A, Company Guaranteed Notes (Callable 02/15/09 @ $104.75)‡ |
|
(B, B2) |
|
02/15/13 |
|
9.500 |
|
307,125 |
|
||
|
150 |
|
Education Management LLC, Global Company Guaranteed Notes (Callable 06/01/10 @ $104.38) |
|
(CCC+, B2) |
|
06/01/14 |
|
8.750 |
|
128,625 |
|
||
|
700 |
|
Education Management LLC, Global Company Guaranteed Notes (Callable 06/01/11 @ $105.13) |
|
(CCC+, Caa1) |
|
06/01/16 |
|
10.250 |
|
584,500 |
|
||
|
600 |
|
Hertz Corp., Global Company Guaranteed Notes (Callable 01/01/11 @ $105.25) |
|
(B, B2) |
|
01/01/16 |
|
10.500 |
|
315,750 |
|
||
|
450 |
|
Iron Mountain, Inc., Company Guaranteed Notes (Callable 04/01/09 @ $100.00) |
|
(B+, B2) |
|
04/01/13 |
|
8.625 |
|
450,563 |
|
||
|
850 |
|
JohnsonDiversey Holdings, Inc., Series B, Global Discount Notes (Callable 05/15/09 @ $101.78) |
|
(CCC+, Caa1) |
|
05/15/13 |
|
10.670 |
|
637,500 |
|
||
|
1,050 |
|
Mobile Services Group, Inc., Global Company Guaranteed Notes (Callable 08/01/10 @ $104.88) |
|
(B+, B2) |
|
08/01/14 |
|
9.750 |
|
782,250 |
|
||
|
725 |
|
Rental Service Corp., Global Company Guaranteed Notes (Callable 12/01/10 @ $104.75) |
|
(B-, Caa1) |
|
12/01/14 |
|
9.500 |
|
462,187 |
|
||
|
475 |
|
Sotheby’s, Rule 144A, Senior Notes‡ |
|
(BBB-, Ba3) |
|
06/15/15 |
|
7.750 |
|
263,625 |
|
||
|
925 |
|
Ticketmaster Entertainment,Inc., Rule 144A, Senior Notes (Callable 08/01/12 @ $105.38)‡ |
|
(BB, Ba3) |
|
08/01/16 |
|
10.750 |
|
559,625 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
|
Support-Services |
|
|
|
|
|
|
|
|
|
||||
|
$ |
1,150 |
|
Travelport LLC, Global Company Guaranteed Notes (Callable 09/01/11 @ $105.94) |
|
(CCC+, Caa1) |
|
09/01/16 |
|
11.875 |
|
$ |
345,000 |
|
|
100 |
|
United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $101.63) |
|
(BB-, B2) |
|
02/15/12 |
|
6.500 |
|
82,500 |
|
||
|
425 |
|
United Rentals North America, Inc., Global Senior Subordinated Notes (Callable 02/15/09 @ $103.50) |
|
(B, Caa1) |
|
02/15/14 |
|
7.000 |
|
269,875 |
|
||
|
|
|
|
|
|
|
|
|
|
|
6,162,000 |
|
||
|
Telecom - Integrated/Services (8.2%) |
|
|
|
|
|
|
|
|
|
||||
|
825 |
|
Cincinnati Bell, Inc., Global Senior Subordinated Notes (Callable 01/15/10 @ $102.79) |
|
(B-, B2) |
|
01/15/14 |
|
8.375 |
|
742,500 |
|
||
|
1,175 |
|
Frontier Communications Corp., Global Senior Unsecured Notes |
|
(BB, Ba2) |
|
03/15/15 |
|
6.625 |
|
1,051,625 |
|
||
|
700 |
|
Hughes Network Systems LLC, Global Company Guaranteed Notes (Callable 04/15/10 @ $104.75) |
|
(B, B1) |
|
04/15/14 |
|
9.500 |
|
584,500 |
|
||
|
1,875 |
|
Intelsat Corp., Rule 144A, Senior Unsecured Notes (Callable 08/15/09 @ $104.63)‡ |
|
(BB-, B3) |
|
08/15/14 |
|
9.250 |
|
1,762,500 |
|
||
|
25 |
|
Intelsat Subsidiary Holding Co., Ltd., Rule 144A, Senior Unsecured Notes (Callable 01/15/10 @ $104.44)‡ |
|
(BB-, B3) |
|
01/15/15 |
|
8.875 |
|
23,125 |
|
||
|
1,800 |
|
Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $102.00)# |
|
(CCC+, Caa1) |
|
02/15/15 |
|
6.845 |
|
936,000 |
|
||
|
1,050 |
|
Paetec Holding Corp., Series WI, Global Company Guaranteed Notes (Callable 07/15/11 @ $104.75) |
|
(CCC+, Caa1) |
|
07/15/15 |
|
9.500 |
|
687,750 |
|
||
|
1,250 |
|
Qwest Communications International, Inc., Series B, Global Company Guaranteed Notes (Callable 02/15/09 @ $103.75) |
|
(B+, Ba3) |
|
02/15/14 |
|
7.500 |
|
1,075,000 |
|
||
|
275 |
|
Qwest Corp., Global Senior Unsecured Notes |
|
(BBB-, Ba1) |
|
06/15/15 |
|
7.625 |
|
250,250 |
|
||
|
475 |
|
Time Warner Telecom Holdings, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $104.62) |
|
(CCC+, B3) |
|
02/15/14 |
|
9.250 |
|
437,000 |
|
||
|
350 |
|
Windstream Corp., Global Company Guaranteed Notes |
|
(BB, Ba3) |
|
08/01/13 |
|
8.125 |
|
346,500 |
|
||
|
125 |
|
Windstream Corp., Global Company Guaranteed Notes (Callable 03/15/12 @ $103.50) |
|
(BB, Ba3) |
|
03/15/19 |
|
7.000 |
|
111,250 |
|
||
|
550 |
|
Windstream Corp., Global Company Guaranteed Notes (Callable 08/01/11 @ $104.31) |
|
(BB, Ba3) |
|
08/01/16 |
|
8.625 |
|
544,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
8,552,500 |
|
||
|
Telecom - Wireless (3.9%) |
|
|
|
|
|
|
|
|
|
||||
|
75 |
|
Cricket Communications, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $104.69) |
|
(B-, B3) |
|
11/01/14 |
|
9.375 |
|
68,625 |
|
||
|
225 |
|
Crown Castle International Corp., Senior Unsecured Notes (Callable 01/15/13 @ $105.62) |
|
(B, B1) |
|
01/15/15 |
|
9.000 |
|
218,813 |
|
||
|
975 |
|
MetroPCS Wireless, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $104.63) |
|
(B, B3) |
|
11/01/14 |
|
9.250 |
|
907,969 |
|
||
|
2,648 |
|
Nextel Communications, Inc., Series F, Company Guaranteed Notes (Callable 03/15/09 @ $102.98) |
|
(BB, Ba2) |
|
03/15/14 |
|
5.950 |
|
1,245,701 |
|
||
|
2,425 |
|
Sprint Nextel Corp., Senior Unsecured Notes |
|
(BB, Ba2) |
|
12/01/16 |
|
6.000 |
|
1,627,029 |
|
||
|
|
|
|
|
|
|
|
|
|
|
4,068,137 |
|
||
|
Textiles & Apparel (0.5%) |
|
|
|
|
|
|
|
|
|
||||
|
575 |
|
Levi Strauss & Co., Global Senior Notes (Callable 01/15/10 @ $104.88) |
|
(B+, B2) |
|
01/15/15 |
|
9.750 |
|
476,531 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Theaters & Entertainment (1.2%) |
|
|
|
|
|
|
|
|
|
||||
|
1,675 |
|
AMC Entertainment, Inc., Global Senior Subordinated Notes (Callable 03/01/09 @ $104.00) |
|
(CCC+, B2) |
|
03/01/14 |
|
8.000 |
|
1,264,625 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
TOTAL U.S. CORPORATE BONDS (Cost $187,993,422) |
|
|
|
|
|
|
115,498,988 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
FOREIGN CORPORATE BONDS (9.4%) |
|
|
|
|
|
|
|
|
|
||||
|
Chemicals (0.8%) |
|
|
|
|
|
|
|
|
|
||||
|
1,150 |
|
Cognis GMBH, Rule 144A, Senior Secured Notes#‡ |
|
(B, B1) |
|
09/15/13 |
|
3.996 |
|
684,250 |
|
||
|
2,075 |
|
Ineos Group Holdings PLC, Rule 144A, Secured Notes (Callable 02/15/11 @ $104.25) (United Kingdom)‡ |
|
(CC, Ca) |
|
02/15/16 |
|
8.500 |
|
114,125 |
|
||
|
|
|
|
|
|
|
|
|
|
|
798,375 |
|
||
|
Electronics (1.0%) |
|
|
|
|
|
|
|
|
|
||||
|
750 |
|
Avago Technologies Finance, Global Company Guaranteed Notes (Callable 12/01/10 @ $105.94) (Singapore) |
|
(B, B3) |
|
12/01/15 |
|
11.875 |
|
562,500 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
FOREIGN CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
|
Electronics |
|
|
|
|
|
|
|
|
|
|
|
||
|
$ |
325 |
|
Celestica, Inc., Senior Subordinated Notes (Callable 07/01/09 @ $103.81) (Canada) |
|
(B, B3) |
|
07/01/13 |
|
7.625 |
|
$ |
281,125 |
|
|
1,000 |
|
New Asat, Ltd., Global Company Guaranteed Notes (Callable 02/01/09 @ $102.31) (Cayman Islands)ø |
|
(D, Ca) |
|
02/01/11 |
|
9.250 |
|
102,500 |
|
||
|
900 |
|
NXP BV/NXP Funding LLC, Global Company Guaranteed Notes (Callable 10/15/11 @ $104.31) (Netherlands) |
|
(CCC-, Caa3) |
|
10/15/15 |
|
8.625 |
|
126,869 |
|
||
|
50 |
|
NXP BV/NXP Funding LLC, Global Senior Secured Notes (Callable 10/15/10 @ $103.94) (Netherlands) |
|
(CCC, Caa1) |
|
10/15/14 |
|
7.875 |
|
14,250 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,087,244 |
|
||
|
Energy - Exploration & Production (0.4%) |
|
|
|
|
|
|
|
|
|
||||
|
875 |
|
OPTI Canada, Inc., Global Senior Secured Notes (Callable 12/15/10 @ $104.13) (Canada) |
|
(BB, B2) |
|
12/15/14 |
|
8.250 |
|
406,875 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Forestry & Paper (0.9%) |
|
|
|
|
|
|
|
|
|
||||
|
2,325 |
|
Abitibi-Consolidated Co. of Canada, Global Company Guaranteed Notes (Canada) |
|
(CC, Ca) |
|
06/15/11 |
|
7.750 |
|
348,750 |
|
||
|
1,000 |
|
Smurfit Kappa Funding PLC, Global Senior Subordinated Notes (Callable 01/31/10 @ $103.88) (Ireland) |
|
(B+, B2) |
|
04/01/15 |
|
7.750 |
|
585,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
933,750 |
|
||
|
Gaming (0.4%) |
|
|
|
|
|
|
|
|
|
||||
|
600 |
|
Codere Finance Luxembourg SA, Rule 144A, Senior Secured Notes (Callable 06/15/10 @ $104.13) (Luxembourg)‡ |
|
(B+, B2) |
|
06/15/15 |
|
8.250 |
|
372,916 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Media - Cable (1.1%) |
|
|
|
|
|
|
|
|
|
||||
|
150 |
|
NTL Cable PLC, Global Senior Notes (Callable 08/15/11 @ $104.56) (United Kingdom) |
|
(B-, B2) |
|
08/15/16 |
|
9.125 |
|
126,750 |
|
||
|
325 |
|
Unitymedia GmbH, Rule 144A, Senior Secured Notes (Callable 02/15/10 @ $105.06) (Germany)‡ |
|
(B, Caa1) |
|
02/15/15 |
|
10.125 |
|
379,003 |
|
||
|
500 |
|
Virgin Media Finance PLC, Global Company Guaranteed Notes (Callable 04/15/09 @ $104.88) (United Kingdom) |
|
(B-, B2) |
|
04/15/14 |
|
9.750 |
|
591,097 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,096,850 |
|
||
|
Media - Diversified (0.5%) |
|
|
|
|
|
|
|
|
|
||||
|
600 |
|
Quebecor Media, Inc., Global Senior Unsecured Notes (Callable 03/15/11 @ $103.88) (Canada) |
|
(B, B2) |
|
03/15/16 |
|
7.750 |
|
474,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Oil Refining & Marketing (0.3%) |
|
|
|
|
|
|
|
|
|
||||
|
375 |
|
Petroplus Finance, Ltd., Rule 144A, Company Guaranteed Notes (Callable 05/01/11 @ $103.38) (Bermuda)‡ |
|
(BB-, B1) |
|
05/01/14 |
|
6.750 |
|
281,250 |
|
||
|
25 |
|
Petroplus Finance, Ltd., Rule 144A, Company Guaranteed Notes (Callable 05/01/12 @ $103.50) (Bermuda)‡ |
|
(BB-, B1) |
|
05/01/17 |
|
7.000 |
|
18,250 |
|
||
|
|
|
|
|
|
|
|
|
|
|
299,500 |
|
||
|
Packaging (0.2%) |
|
|
|
|
|
|
|
|
|
||||
|
275 |
|
Impress Holdings BV, Rule 144A, Company Guaranteed Notes (Callable 09/15/09 @ $109.25) (Netherlands)‡ |
|
(B-, B3) |
|
09/15/14 |
|
9.250 |
|
229,068 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Pharmaceuticals (0.6%) |
|
|
|
|
|
|
|
|
|
||||
|
150 |
|
Elan Finance Corp., Global Company Guaranteed Notes (Callable 11/15/09 @ $101.94) (Ireland) |
|
(B, B3) |
|
11/15/11 |
|
7.750 |
|
119,250 |
|
||
|
775 |
|
Elan Finance Corp., Global Company Guaranteed Notes (Callable 12/01/10 @ $104.44) (Ireland) |
|
(B, B3) |
|
12/01/13 |
|
8.875 |
|
561,875 |
|
||
|
|
|
|
|
|
|
|
|
|
|
681,125 |
|
||
|
Support-Services (0.2%) |
|
|
|
|
|
|
|
|
|
||||
|
525 |
|
Carlson Wagonlit BV, Rule 144A, Company Guaranteed Notes (Callable 11/01/09 @ $101.00) (Netherlands)#‡ |
|
(B-, B3) |
|
05/01/15 |
|
10.544 |
|
191,744 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Telecom - Integrated/Services (1.6%) |
|
|
|
|
|
|
|
|
|
||||
|
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 |
|
1,011,375 |
|
||
|
550 |
|
Hellas Telecommunications II SCA, Rule 144A, Subordinated Notes (Callable 01/15/10 @ $100.00) (Luxembourg)#‡ |
|
(CCC, Caa2) |
|
01/15/15 |
|
6.844 |
|
96,250 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
FOREIGN CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
|
Telecom - Integrated/Services |
|
|
|
|
|
|
|
|
|
||||
|
$ |
650 |
|
Nordic Telephone Co. Holdings, Rule 144A, Senior Secured Notes (Callable 05/01/11 @ $104.44) (Denmark)‡ |
|
(B+, B1) |
|
05/01/16 |
|
8.875 |
|
$ |
529,750 |
|
|
|
|
|
|
|
|
|
|
|
|
1,637,375 |
|
||
|
Telecommunications Equipment (0.1%) |
|
|
|
|
|
|
|
|
|
||||
|
875 |
|
Nortel Networks, Ltd., Rule 144A, Company Guaranteed Notes (Callable 07/15/11 @ $105.38) (Canada)ø‡ |
|
(D, NR) |
|
07/15/16 |
|
10.750 |
|
146,563 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Textiles & Apparel (0.0%) |
|
|
|
|
|
|
|
|
|
||||
|
75 |
|
IT Holding Finance SA, Rule 144A, Company Guaranteed Notes (Luxembourg)‡ |
|
(C, C) |
|
11/15/12 |
|
9.875 |
|
18,261 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Transportation - Excluding Air/Rail (1.3%) |
|
|
|
|
|
|
|
|
|
||||
|
1,375 |
|
Navios Maritime Holdings, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ $104.75) |
|
(B+, B3) |
|
12/15/14 |
|
9.500 |
|
811,250 |
|
||
|
750 |
|
Ship Finance International, Ltd., Global Company Guaranteed Notes (Callable 12/15/09 @ $102.83) (Bermuda) |
|
(B+, B1) |
|
12/15/13 |
|
8.500 |
|
589,688 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,400,938 |
|
||
|
TOTAL FOREIGN CORPORATE BONDS (Cost $19,996,653) |
|
|
|
|
|
9,774,584 |
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Number of |
|
|
|
|
|
|
|
|
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
COMMON STOCKS (0.0%) |
|
|
|
|
|
|
|
|
|
||||
|
Chemicals (0.0%) |
|
|
|
|
|
|
|
|
|
||||
|
4,893 |
|
Huntsman Corp. (Cost $34,459) |
|
|
|
|
|
|
|
13,015 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
PREFERRED STOCK (0.3%) |
|
|
|
|
|
|
|
|
|
||||
|
Auto Loans (0.3%) |
|
|
|
|
|
|
|
|
|
||||
|
1,050 |
|
Preferred Blocker, Inc., Rule 144A (Callable 12/31/11 @ $1,000)*‡ (Cost $243,718) |
|
|
|
|
|
|
|
262,106 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
WARRANTS (0.0%) |
|
|
|
|
|
|
|
|
|
||||
|
Electrical Equipment (0.0%) |
|
|
|
|
|
|
|
|
|
||||
|
204,293 |
|
Viasystems, Inc., strike price $25.31, expires 01/31/10*^ (Cost $3,772,613) |
|
|
|
|
|
|
|
2,043 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
SHORT-TERM INVESTMENT (2.0%) |
|
|
|
|
|
|
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Par |
|
|
|
|
|
|
|
|
|
|
|
||
|
$ |
2,025 |
|
State Street Bank and Trust Co. Euro Time Deposit (Cost $2,025,000) |
|
|
|
02/02/09 |
|
0.010 |
|
2,025,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
TOTAL INVESTMENTS AT VALUE (123.0%) (Cost $214,065,865) |
|
|
|
|
|
127,575,736 |
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
LIABILITIES IN EXCESS OF OTHER ASSETS (-23.0%) |
|
|
|
|
|
|
|
(23,834,212 |
) |
||||
|
|
|
|
|
|
|
|
|
|
|
||||
|
NET ASSETS (100.0%) |
|
|
|
|
|
|
|
$ |
103,741,524 |
|
|||
|
Forward Foreign Currency |
|
Forward Foreign Currency |
|
Expiration |
|
Value on |
|
Current |
|
Unrealized |
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
Open Forward Foreign Currency Contracts with Unrealized Appreciation |
|
|
|
|
|
|
||||||||||||
|
GBP |
|
100,000 |
|
USD |
|
139,054 |
|
4/16/09 |
|
$ |
139,054 |
|
$ |
144,070 |
|
$ |
5,016 |
|
|
USD |
|
744,065 |
|
GBP |
|
500,000 |
|
4/16/09 |
|
(744,065 |
) |
(720,352 |
) |
23,713 |
|
|||
|
USD |
|
2,281,280 |
|
EUR |
|
1,698,000 |
|
4/16/09 |
|
(2,281,280 |
) |
(2,174,149 |
) |
107,131 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
135,860 |
|
||
INVESTMENT ABBREVIATION
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, 2009, these securities amounted to a value of $23,048,352 or 22.2% of net assets. |
|
+ |
Step Bond — The interest rate is as of January 31, 2009 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 is the rate as of January 31, 2009. |
|
Currency Abbreviations: |
|
EUR = Euro Currency |
|
GBP = British Pound |
|
USD = United States Dollar |
Security Valuation— The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (“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. At January 31, 2009 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 $3,873,050 and fair value of $92,132. 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.
The Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”), effective November 1, 2008. In accordance with FAS 157, fair value is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. FAS 157 established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
· Level 1 — quoted prices in active markets for identical investments
· Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
· Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of January 31, 2009 in valuing the Fund’s investments carried at value:
|
Valuation Inputs |
|
Investments in |
|
Other Financial |
|
||
|
Level 1 - Quoted Prices |
|
$ |
275,122 |
|
$ |
135,860 |
|
|
Level 2 - Other Significant Observable Inputs |
|
127,208,482 |
|
— |
|
||
|
Level 3 - Significant Unobservable Inputs |
|
92,132 |
|
— |
|
||
|
|
|
|
|
|
|
||
|
Total |
|
$ |
127,575,736 |
|
$ |
135,860 |
|
*Other financial instruments include futures, forwards and swap contracts.
Federal Income Tax Cost — At January 31, 2009, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized depreciation from investments were $214,065,865, $164,968, $(86,655,097) and $(86,490,129), 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.
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.
CREDIT SUISSE HIGH YIELD BOND FUND |
|
|
|
|
|
/s/George R. Hornig |
|
|
Name: George R. Hornig |
|
|
Title: Chief Executive Officer |
|
|
Date: March 23, 2009 |
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
/s/George R. Hornig |
|
|
Name: George R. Hornig |
|
|
Title: Chief Executive Officer |
|
|
Date: March 23, 2009 |
|
|
/s/Michael A. Pignataro |
|
|
Name: Michael A. Pignataro |
|
|
Title: Chief Financial Officer |
|
|
Date: March 23, 2009 |
|