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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John G. Popp 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: |
May 1, 2010 to July 31, 2010 |
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Item 1: Schedule of Investments
Credit Suisse High Yield Bond Fund
Schedule of Investments
July 31, 2010 (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 (116.0%) |
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Aerospace & Defense (1.0%) |
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$ |
575 |
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BE Aerospace, Inc., Senior Unsecured Notes (Callable 07/01/13 @ $104.25) |
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(BB, Ba3) |
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07/01/18 |
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8.500 |
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$ |
626,750 |
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550 |
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Hawker Beechcraft Notes Co., Global Company Guaranteed Notes (Callable 04/01/11 @ $104.25)§ |
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(CCC-, Caa3) |
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04/01/15 |
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8.500 |
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445,500 |
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825 |
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Hawker Beechcraft Notes Co., Global Company Guaranteed Notes (Callable 04/01/12 @ $104.88) |
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(CCC-, Ca) |
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04/01/17 |
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9.750 |
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515,625 |
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1,587,875 |
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Auto Loans (2.5%) |
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1,960 |
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Ford Motor Credit Co., LLC, Global Senior Unsecured Notes |
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(B-, Ba3) |
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10/01/13 |
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7.000 |
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2,041,895 |
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1,875 |
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Ford Motor Credit Co., LLC, Senior Unsecured Notes |
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(B-, Ba3) |
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12/15/16 |
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8.000 |
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2,003,878 |
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4,045,773 |
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Auto Parts & Equipment (3.6%) |
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275 |
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Accuride Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ $104.75)‡ |
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(B, B2) |
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08/01/18 |
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9.500 |
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281,875 |
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350 |
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American Axle & Manufacturing Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 01/15/14 @ $104.63)‡ |
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(B, B1) |
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01/15/17 |
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9.250 |
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378,875 |
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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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724,625 |
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1,200 |
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American Tire Distributors, Inc., Rule 144A, Senior Secured Notes (Callable 06/01/13 @ $107.31)‡ |
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(CCC+, B2) |
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06/01/17 |
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9.750 |
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1,257,000 |
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875 |
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ArvinMeritor, Inc., Company Guaranteed Notes (Callable 03/15/14 @ $105.31) |
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(CCC, Caa1) |
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03/15/18 |
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10.625 |
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958,125 |
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1,325 |
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Stanadyne Corp., Series 1, Global Senior Subordinated Notes (Callable 08/15/10 @ $103.33) |
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(CCC, Caa1) |
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08/15/14 |
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10.000 |
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1,252,125 |
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848 |
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The Goodyear Tire & Rubber Co., Global Company Guaranteed Notes (Callable 07/01/11 @ $103.00) |
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(B+, B1) |
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07/01/15 |
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9.000 |
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890,400 |
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50 |
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The Goodyear Tire & Rubber Co., Senior Unsecured Notes (Callable 05/15/12 @ $107.88) |
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(B+, B1) |
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05/15/16 |
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10.500 |
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56,250 |
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5,799,275 |
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Banks (3.2%) |
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2,190 |
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Ally Financial, Inc., Global Company Guaranteed Notes |
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(B, B3) |
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03/02/11 |
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7.250 |
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2,222,850 |
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744 |
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Ally Financial, Inc., Global Company Guaranteed Notes |
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(B, B3) |
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04/01/11 |
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6.000 |
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752,370 |
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119 |
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Ally Financial, Inc., Global Subordinated Notes |
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(CCC+, B3) |
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12/31/18 |
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8.000 |
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116,174 |
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1,500 |
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Ally Financial, Inc., Rule 144A, Company Guaranteed Notes‡ |
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(B, B3) |
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02/12/15 |
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8.300 |
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1,582,500 |
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525 |
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Ally Financial, Inc., Rule 144A, Company Guaranteed Notes‡ |
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(B, B3) |
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03/15/20 |
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8.000 |
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542,718 |
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5,216,612 |
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Beverages (0.4%) |
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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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707,063 |
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Building & Construction (1.0%) |
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741 |
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Ashton Woods Finance Co., Rule 144A, Company Guaranteed Notes (Callable 02/24/14 @ $105.50)+‡ |
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(NR, NR) |
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06/30/15 |
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0.000 |
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429,780 |
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600 |
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K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes |
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(CCC-, Caa2) |
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01/15/16 |
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6.250 |
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430,500 |
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1,000 |
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William Lyon Homes, Inc., Company Guaranteed Notes (Callable 04/01/11 @ $101.79) |
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(CC, Caa3) |
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04/01/13 |
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10.750 |
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835,000 |
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1,695,280 |
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Building Materials (3.6%) |
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1,075 |
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AMH Holdings Inc., Global Senior Discount Notes (Callable 03/01/11 @ $101.88) |
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(CCC, Caa2) |
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03/01/14 |
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11.250 |
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1,107,250 |
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1,285 |
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CPG International I, Inc., Global Company Guaranteed Notes (Callable 07/01/11 @ $100.00) |
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(B-, Caa1) |
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07/01/13 |
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10.500 |
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1,304,275 |
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|
500 |
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Dayton Superior Corp., Company Guaranteed Notesø^ |
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(NR, NR) |
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06/15/09 |
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13.000 |
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0 |
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1,325 |
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Headwaters, Inc., Global Senior Secured Notes (Callable 11/01/12 @ $105.69) |
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(B+, B2) |
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11/01/14 |
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11.375 |
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1,351,500 |
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1,125 |
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International Wire Group, Inc., Rule 144A, Senior Secured Notes (Callable 10/15/12 @ $104.88)‡ |
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(B, B3) |
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04/15/15 |
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9.750 |
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1,136,250 |
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Par |
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Ratings† |
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Maturity |
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Rate% |
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Value |
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U.S. CORPORATE BONDS |
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Building Materials |
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$ |
114 |
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Norcraft Capital Corp., Global Senior Discount Notes (Callable 09/01/10 @ $100.00) |
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(CCC, Caa1) |
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09/01/12 |
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9.750 |
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$ |
107,302 |
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|
775 |
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Norcraft Finance Corp., Global Senior Secured Notes (Callable 12/15/12 @ $105.25) |
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(B-, B2) |
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12/15/15 |
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10.500 |
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817,625 |
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5,824,202 |
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Chemicals (2.7%) |
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|
550 |
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CF Industries, Inc., Company Guaranteed Notes |
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(BB+, B1) |
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05/01/20 |
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7.125 |
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588,500 |
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|
300 |
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LBI Escrow Corp., Rule 144A, Senior Secured Notes (Callable 05/01/13 @ $106.00)‡ |
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(BB, Ba3) |
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11/01/17 |
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8.000 |
|
316,125 |
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|
250 |
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Momentive Performance Materials, Inc., Global Company Guaranteed Notes (Callable 12/01/10 @ $104.88)§ |
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(CCC-, Caa2) |
|
12/01/14 |
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9.750 |
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254,062 |
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|
701 |
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Momentive Performance Materials, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $106.25)§ |
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(CCC-, B3) |
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06/15/14 |
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12.500 |
|
797,120 |
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|
350 |
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Nalco Co., Global Company Guaranteed Notes (Callable 11/15/10 @ $101.48) |
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(B, B2) |
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11/15/13 |
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8.875 |
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360,062 |
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|
275 |
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Nalco Co., Global Company Guaranteed Notes (Callable 11/15/10 @ $101.50) |
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(B, B2) |
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11/15/13 |
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9.000 |
|
367,227 |
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|
575 |
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Nalco Finance Holdings, Inc., Global Senior Discount Notes (Callable 02/01/11 @ $101.50) |
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(B, B2) |
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02/01/14 |
|
9.000 |
|
592,969 |
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|
1,175 |
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Reichhold Industries, Inc., Rule 144A, Senior Notes (Callable 08/15/10 @ $104.50)‡ |
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(CCC+, Caa2) |
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08/15/14 |
|
9.000 |
|
1,069,250 |
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4,345,315 |
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Computer Hardware (0.7%) |
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|
1,225 |
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Activant Solutions, Inc., Global Company Guaranteed Notes (Callable 05/01/11 @ $104.75) |
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(CCC, Caa1) |
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05/01/16 |
|
9.500 |
|
1,194,375 |
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Consumer Products (1.5%) |
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|
950 |
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AAC Group Holding Corp., Rule 144A, Senior Discount Notes (Callable 10/01/10 @ $100.00)‡ |
|
(CCC, NR) |
|
10/01/12 |
|
10.250 |
|
940,500 |
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|
375 |
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Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/14 @ $104.13)‡ |
|
(B+, B3) |
|
04/01/18 |
|
8.250 |
|
386,250 |
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|
1,100 |
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Spectrum Brands Holdings, Inc., Rule 144A, Secured Notes (Callable 06/15/14 @ $104.75)‡ |
|
(B, B2) |
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06/15/18 |
|
9.500 |
|
1,161,875 |
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|
|
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2,488,625 |
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Consumer/Commercial/Lease Financing (3.4%) |
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|
159 |
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CIT Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00) |
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(B+, B3) |
|
05/01/13 |
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7.000 |
|
158,486 |
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|
239 |
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CIT Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00) |
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(B+, B3) |
|
05/01/14 |
|
7.000 |
|
233,547 |
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|
839 |
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CIT Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00) |
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(B+, B3) |
|
05/01/15 |
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7.000 |
|
812,707 |
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|
398 |
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CIT Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00) |
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(B+, B3) |
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05/01/16 |
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7.000 |
|
381,281 |
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|
557 |
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CIT Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00) |
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(B+, B3) |
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05/01/17 |
|
7.000 |
|
528,220 |
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|
1,300 |
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International Lease Finance Corp., Rule 144A, Senior Unsecured Notes‡ |
|
(BB+, B1) |
|
09/15/15 |
|
8.625 |
|
1,326,000 |
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|
675 |
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International Lease Finance Corp., Rule 144A, Senior Unsecured Notes‡ |
|
(BB+, B1) |
|
03/15/17 |
|
8.750 |
|
690,187 |
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|
100 |
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International Lease Finance Corp., Series MTN, Senior Unsecured Notes |
|
(BB+, B1) |
|
06/01/14 |
|
5.650 |
|
93,750 |
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|
1,300 |
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Provident Funding Associates, Rule 144A, Senior Secured Notes (Callable 04/15/14 @ $105.13)‡ |
|
(B+, Ba3) |
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04/15/17 |
|
10.250 |
|
1,332,500 |
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5,556,678 |
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Department Stores (0.4%) |
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|
600 |
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The Neiman Marcus Group, Inc., Global Company Guaranteed Notes (Callable 10/15/10 @ $105.19)§ |
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(CCC+, Caa2) |
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10/15/15 |
|
10.375 |
|
628,500 |
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Diversified Capital Goods (3.3%) |
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|
450 |
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Belden, Inc., Global Company Guaranteed Notes (Callable 03/15/12 @ $103.50) |
|
(B+, Ba2) |
|
03/15/17 |
|
7.000 |
|
452,250 |
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|
625 |
|
Belden, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/14 @ $104.62)‡ |
|
(B+, Ba2) |
|
06/15/19 |
|
9.250 |
|
679,688 |
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|
800 |
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Coleman Cable, Inc., Global Company Guaranteed Notes (Callable 02/15/14 @ $104.50) |
|
(B, B3) |
|
02/15/18 |
|
9.000 |
|
804,000 |
|
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|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
|
Diversified Capital Goods |
|
|
|
|
|
|
|
|
|
||||
|
$ |
925 |
|
Esco Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/10 @ $100.00)#‡ |
|
(B, B2) |
|
12/15/13 |
|
4.412 |
|
$ |
852,156 |
|
|
950 |
|
Mueller Water Products, Inc., Global Company Guaranteed Notes (Callable 06/01/12 @ $103.69) |
|
(B-, B3) |
|
06/01/17 |
|
7.375 |
|
870,437 |
|
||
|
425 |
|
Sensus USA Systems, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ $101.44) |
|
(B-, B3) |
|
12/15/13 |
|
8.625 |
|
424,469 |
|
||
|
600 |
|
Titan International, Inc., Global Company Guaranteed Notes |
|
(B-, B2) |
|
01/15/12 |
|
8.000 |
|
627,000 |
|
||
|
600 |
|
TriMas Corp., Rule 144A, Senior Secured Notes (Callable 12/15/13 @ $104.88)‡ |
|
(B-, Caa1) |
|
12/15/17 |
|
9.750 |
|
615,750 |
|
||
|
|
|
|
|
|
|
|
|
|
|
5,325,750 |
|
||
|
Electric - Generation (6.2%) |
|
|
|
|
|
|
|
|
|
||||
|
1,050 |
|
Calpine Corp., Rule 144A, Senior Secured Notes (Callable 07/31/15 @ $103.94)‡ |
|
(B+, B1) |
|
07/31/20 |
|
7.875 |
|
1,065,750 |
|
||
|
1,275 |
|
Dynegy Holdings, Inc., Global Senior Unsecured Notes§ |
|
(B-, B3) |
|
05/01/16 |
|
8.375 |
|
1,026,375 |
|
||
|
1,475 |
|
Edison Mission Energy, Global Senior Unsecured Notes |
|
(B-, B3) |
|
05/15/17 |
|
7.000 |
|
1,010,375 |
|
||
|
675 |
|
Edison Mission Energy, Global Senior Unsecured Notes |
|
(B-, B3) |
|
05/15/19 |
|
7.200 |
|
459,000 |
|
||
|
1,175 |
|
Mirant Americas Generation LLC, Senior Unsecured Notes |
|
(B-, B3) |
|
10/01/21 |
|
8.500 |
|
1,122,125 |
|
||
|
447 |
|
Mirant Mid Atlantic Trust, Series B, Global Pass Thru Certificates |
|
(BB, Ba1) |
|
06/30/17 |
|
9.125 |
|
465,154 |
|
||
|
350 |
|
NRG Energy, Inc., Company Guaranteed Notes (Callable 01/15/12 @ $103.69) |
|
(BB-, B1) |
|
01/15/17 |
|
7.375 |
|
355,250 |
|
||
|
550 |
|
NRG Energy, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.69) |
|
(BB-, B1) |
|
02/01/16 |
|
7.375 |
|
562,375 |
|
||
|
625 |
|
NRG Energy, Inc., Company Guaranteed Notes (Callable 06/15/14 @ $104.25) |
|
(BB-, B1) |
|
06/15/19 |
|
8.500 |
|
659,375 |
|
||
|
3,725 |
|
Texas Competitive Electric Holdings Co., LLC, Series A, Global Company Guaranteed Notes (Callable 11/01/11 @ $105.13)§ |
|
(CCC, Caa2) |
|
11/01/15 |
|
10.250 |
|
2,514,375 |
|
||
|
1,175 |
|
Texas Competitive Electric Holdings Co., LLC, Series B, Global Company Guaranteed Notes (Callable 11/01/11 @ $105.13) |
|
(CCC, Caa2) |
|
11/01/15 |
|
10.250 |
|
793,125 |
|
||
|
|
|
|
|
|
|
|
|
|
|
10,033,279 |
|
||
|
Electric - Integrated (1.2%) |
|
|
|
|
|
|
|
|
|
||||
|
550 |
|
The AES Corp., Global Senior Unsecured Notes |
|
(BB-, B1) |
|
04/15/16 |
|
9.750 |
|
620,125 |
|
||
|
1,000 |
|
The AES Corp., Global Senior Unsecured Notes |
|
(BB-, B1) |
|
10/15/17 |
|
8.000 |
|
1,066,250 |
|
||
|
175 |
|
The AES Corp., Senior Unsecured Notes |
|
(BB-, B1) |
|
03/01/14 |
|
7.750 |
|
183,750 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,870,125 |
|
||
|
Electronics (1.1%) |
|
|
|
|
|
|
|
|
|
||||
|
1,075 |
|
Freescale Semiconductor, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/14 @ $105.06)‡ |
|
(B-, B2) |
|
03/15/18 |
|
10.125 |
|
1,150,250 |
|
||
|
575 |
|
Sanmina-SCI Corp., Company Guaranteed Notes (Callable 03/01/11 @ $104.06) |
|
(CCC+, B2) |
|
03/01/16 |
|
8.125 |
|
587,938 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,738,188 |
|
||
|
Energy - Exploration & Production (4.9%) |
|
|
|
|
|
|
|
|
|
||||
|
500 |
|
Berry Petroleum Co., Senior Subordinated Notes (Callable 11/01/11 @ $104.13) |
|
(B, B3) |
|
11/01/16 |
|
8.250 |
|
506,250 |
|
||
|
300 |
|
Chesapeake Energy Corp., Company Guaranteed Notes |
|
(BB, Ba3) |
|
12/15/18 |
|
7.250 |
|
318,750 |
|
||
|
1,000 |
|
Comstock Resources, Inc., Company Guaranteed Notes (Callable 10/15/13 @ $104.19) |
|
(B, B2) |
|
10/15/17 |
|
8.375 |
|
1,035,000 |
|
||
|
575 |
|
Denbury Resources, Inc., Company Guaranteed Notes (Callable 03/01/13 @ $104.88) |
|
(BB, B1) |
|
03/01/16 |
|
9.750 |
|
636,094 |
|
||
|
450 |
|
Forest Oil Corp., Global Company Guaranteed Notes (Callable 06/15/12 @ $103.63) |
|
(B+, B1) |
|
06/15/19 |
|
7.250 |
|
457,875 |
|
||
|
525 |
|
Hilcorp Financial Co., Rule 144A, Senior Unsecured Notes (Callable 06/01/11 @ $104.50)‡ |
|
(BB-, B2) |
|
06/01/16 |
|
9.000 |
|
556,500 |
|
||
|
475 |
|
Penn Virginia Corp., Senior Notes (Callable 06/15/13 @ $105.19) |
|
(BB-, B2) |
|
06/15/16 |
|
10.375 |
|
524,875 |
|
||
|
950 |
|
PetroHawk Energy Corp., Global Company Guaranteed Notes (Callable 06/01/12 @ $103.94) |
|
(B, B3) |
|
06/01/15 |
|
7.875 |
|
988,000 |
|
||
|
475 |
|
Pioneer Natural Resources Co., Senior Unsecured Notes |
|
(BB+, Ba1) |
|
01/15/20 |
|
7.500 |
|
513,722 |
|
||
|
625 |
|
Plains Exploration & Production Co., Company Guaranteed Notes (Callable 06/15/11 @ $103.88) |
|
(BB-, B1) |
|
06/15/15 |
|
7.750 |
|
637,500 |
|
||
|
425 |
|
Stone Energy Corp., Company Guaranteed Notes (Callable 02/01/14 @ $104.31) |
|
(BB-, Caa1) |
|
02/01/17 |
|
8.625 |
|
405,344 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
|
Energy - Exploration & Production |
|
|
|
|
|
|
|
|
|
||||
|
$ |
525 |
|
Stone Energy Corp., Global Senior Subordinated Notes (Callable 12/15/10 @ $102.25) |
|
(B-, Caa2) |
|
12/15/14 |
|
6.750 |
|
$ |
467,250 |
|
|
475 |
|
Swift Energy Co., Company Guaranteed Notes (Callable 06/01/12 @ $103.56) |
|
(BB-, B3) |
|
06/01/17 |
|
7.125 |
|
458,375 |
|
||
|
450 |
|
Whiting Petroleum Corp., Global Company Guaranteed Notes |
|
(BB, B1) |
|
02/01/14 |
|
7.000 |
|
470,812 |
|
||
|
|
|
|
|
|
|
|
|
|
|
7,976,347 |
|
||
|
Environmental (0.7%) |
|
|
|
|
|
|
|
|
|
||||
|
1,100 |
|
Casella Waste Systems, Inc., Global Senior Secured Notes (Callable 07/15/12 @ $105.50) |
|
(B+, B2) |
|
07/15/14 |
|
11.000 |
|
1,205,875 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Food & Drug Retailers (0.7%) |
|
|
|
|
|
|
|
|
|
||||
|
725 |
|
Rite Aid Corp., Global Company Guaranteed Notes (Callable 06/15/11 @ $104.69) |
|
(CCC, Caa3) |
|
12/15/15 |
|
9.375 |
|
610,812 |
|
||
|
475 |
|
Rite Aid Corp., Global Senior Secured Notes (Callable 06/12/13 @ $104.88) |
|
(B+, B3) |
|
06/12/16 |
|
9.750 |
|
513,594 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,124,406 |
|
||
|
Food - Wholesale (1.0%) |
|
|
|
|
|
|
|
|
|
||||
|
450 |
|
Michael Foods, Inc., Rule 144A, Senior Notes (Callable 07/15/14 @ 104.88)‡ |
|
(B-, Caa1) |
|
07/15/18 |
|
9.750 |
|
474,750 |
|
||
|
1,200 |
|
Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 05/15/13 @ $105.63)‡ |
|
(B+, B3) |
|
05/15/15 |
|
11.250 |
|
1,206,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,680,750 |
|
||
|
Forestry & Paper (3.0%) |
|
|
|
|
|
|
|
|
|
||||
|
728 |
|
Boise Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/10 @ $102.38) |
|
(B+, Caa1) |
|
10/15/14 |
|
7.125 |
|
687,960 |
|
||
|
750 |
|
Georgia-Pacific Corp., Global Senior Notes |
|
(BB, Ba3) |
|
01/15/24 |
|
8.000 |
|
821,250 |
|
||
|
300 |
|
Georgia-Pacific LLC Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ $103.56)‡ |
|
(BB+, Ba2) |
|
01/15/17 |
|
7.125 |
|
313,875 |
|
||
|
300 |
|
Georgia-Pacific LLC Rule 144A, Company Guaranteed Notes (Callable 05/01/13 @ $104.13)‡ |
|
(BB+, Ba2) |
|
05/01/16 |
|
8.250 |
|
327,000 |
|
||
|
550 |
|
NewPage Corp., Global Secured Notes (Callable 05/01/11 @ $100.00)§ |
|
(CCC-, Caa2) |
|
05/01/12 |
|
10.000 |
|
313,500 |
|
||
|
1,300 |
|
NewPage Corp., Global Senior Secured Notes (Callable 03/31/12 @ $105.00)§ |
|
(CCC+, B2) |
|
12/31/14 |
|
11.375 |
|
1,210,625 |
|
||
|
1,125 |
|
Verso Paper, Inc., Series B, Global Company Guaranteed Notes (Callable 08/01/11 @ $105.69)§ |
|
(CCC+, Caa1) |
|
08/01/16 |
|
11.375 |
|
1,043,437 |
|
||
|
75 |
|
Verso Paper, Inc., Series B, Global Senior Secured Notes (Callable 08/01/10 @ $104.56)§ |
|
(B, B2) |
|
08/01/14 |
|
9.125 |
|
75,375 |
|
||
|
|
|
|
|
|
|
|
|
|
|
4,793,022 |
|
||
|
Gaming (7.3%) |
|
|
|
|
|
|
|
|
|
||||
|
775 |
|
Buffalo Thunder Development Authority, Rule 144A, Senior Secured Notes (Callable 12/15/10 @ $104.69)ø‡ |
|
(NR, NR) |
|
12/15/14 |
|
9.375 |
|
143,375 |
|
||
|
1,225 |
|
CCM Merger, Inc., Rule 144A, Notes (Callable 08/01/10 @ $102.00)‡ |
|
(CCC+, Caa3) |
|
08/01/13 |
|
8.000 |
|
1,133,125 |
|
||
|
280 |
|
Choctaw Resort Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/11 @ $103.63)‡ |
|
(B, B2) |
|
11/15/19 |
|
7.250 |
|
193,550 |
|
||
|
575 |
|
FireKeepers Development Authority, Rule 144A, Senior Secured Notes (Callable 05/01/12 @ $110.50)‡ |
|
(B+, B2) |
|
05/01/15 |
|
13.875 |
|
675,625 |
|
||
|
625 |
|
Fontainebleau Las Vegas Holdings LLC, Rule 144A, Second Mortgage Notes (Callable 06/15/11 @ $105.13)ø‡ |
|
(NR, NR) |
|
06/15/15 |
|
11.000 |
|
4,688 |
|
||
|
1,700 |
|
Greektown Superholdings, Inc., Rule 144A, Senior Secured Notes (Callable 01/01/13 @ $106.50)‡ |
|
(NR, NR) |
|
07/01/15 |
|
13.000 |
|
1,870,000 |
|
||
|
850 |
|
Harrah’s Operating Co., Inc., Global Senior Secured Notes (Callable 06/01/13 @ $105.63) |
|
(B, Caa1) |
|
06/01/17 |
|
11.250 |
|
922,250 |
|
||
|
750 |
|
Inn of the Mountain Gods Resort & Casino, Global Company Guaranteed Notesø |
|
(D, Ca) |
|
11/15/10 |
|
12.000 |
|
326,250 |
|
||
|
1,525 |
|
Jacobs Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/15/11 @ $102.44) |
|
(B-, Caa1) |
|
06/15/14 |
|
9.750 |
|
1,406,812 |
|
||
|
950 |
|
Majestic Star Casino Capital Corp., Senior Secured Notesø |
|
(NR, NR) |
|
10/15/10 |
|
9.500 |
|
548,625 |
|
||
|
1,275 |
|
Mashantucket Western Pequot Tribe, Rule 144A, Bonds (Callable 11/15/11 @ $104.25)ø‡ |
|
(D, NR) |
|
11/15/15 |
|
8.500 |
|
223,125 |
|
||
|
675 |
|
MGM Mirage, Inc., Global Company Guaranteed Notes§ |
|
(CCC+, Caa1) |
|
04/01/16 |
|
6.875 |
|
555,187 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
|
Gaming |
|
|
|
|
|
|
|
|
|
||||
|
$ |
675 |
|
MGM Resorts International, Global Senior Secured Notes (Callable 05/15/13 @ $105.56) |
|
(B, B1) |
|
11/15/17 |
|
11.125 |
|
$ |
769,500 |
|
|
1,200 |
|
MTR Gaming Group, Inc., Global Secured Notes (Callable 07/15/11 @ $106.31) |
|
(B, B2) |
|
07/15/14 |
|
12.625 |
|
1,263,000 |
|
||
|
950 |
|
Peninsula Gaming LLC, Global Company Guaranteed Notes (Callable 08/15/13 @ $105.38) |
|
(B, B3) |
|
08/15/17 |
|
10.750 |
|
992,750 |
|
||
|
670 |
|
Tropicana Finance Corp., Global Senior Subordinated Notes (Callable 12/15/10 @ $104.81)ø |
|
(NR, NR) |
|
12/15/14 |
|
9.625 |
|
1,307 |
|
||
|
775 |
|
Turning Stone Resort Casino Enterprise, Rule 144A, Senior Unsecured Notes (Callable 09/15/10 @ $104.56)‡ |
|
(B+, B1) |
|
09/15/14 |
|
9.125 |
|
791,469 |
|
||
|
|
|
|
|
|
|
|
|
|
|
11,820,638 |
|
||
|
Gas Distribution (3.0%) |
|
|
|
|
|
|
|
|
|
||||
|
525 |
|
Amerigas Partners LP, Global Senior Unsecured Notes (Callable 05/20/11 @ $102.42) |
|
(NR, Ba3) |
|
05/20/15 |
|
7.250 |
|
544,688 |
|
||
|
375 |
|
El Paso Corp., Senior Unsecured Notes |
|
(BB-, Ba3) |
|
02/15/16 |
|
8.250 |
|
409,688 |
|
||
|
400 |
|
El Paso Corp., Senior Unsecured Notes |
|
(BB-, Ba3) |
|
06/01/18 |
|
7.250 |
|
426,232 |
|
||
|
900 |
|
El Paso Performance-Linked Trust, Rule 144A, Senior Unsecured Notes‡ |
|
(NR, Ba3) |
|
07/15/11 |
|
7.750 |
|
938,487 |
|
||
|
425 |
|
Inergy Finance Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13) |
|
(B+, B1) |
|
03/01/16 |
|
8.250 |
|
448,375 |
|
||
|
275 |
|
Inergy Finance Corp., Global Company Guaranteed Notes (Callable 12/15/10 @ $102.29) |
|
(B+, B1) |
|
12/15/14 |
|
6.875 |
|
277,750 |
|
||
|
550 |
|
MarkWest Energy Finance Corp., Series B, Global Company Guaranteed Notes (Callable 04/15/13 @ $104.38) |
|
(BB-, B1) |
|
04/15/18 |
|
8.750 |
|
594,687 |
|
||
|
625 |
|
Targa Resources Partners Finance Corp., Global Company Guaranteed Notes (Callable 07/01/12 @ $104.13) |
|
(B+, B2) |
|
07/01/16 |
|
8.250 |
|
656,250 |
|
||
|
500 |
|
The Williams Cos., Inc., Series A, Global Senior Unsecured Notes |
|
(BB+, Baa3) |
|
01/15/31 |
|
7.500 |
|
568,294 |
|
||
|
|
|
|
|
|
|
|
|
|
|
4,864,451 |
|
||
|
Health Facilities (6.5%) |
|
|
|
|
|
|
|
|
|
||||
|
975 |
|
Alere Inc., Company Guaranteed Notes (Callable 05/15/13 @ $104.50) |
|
(B-, B3) |
|
05/15/16 |
|
9.000 |
|
994,500 |
|
||
|
545 |
|
Bausch & Lomb, Inc., Global Senior Unsecured Notes (Callable 11/01/11 @ $104.94) |
|
(B, Caa1) |
|
11/01/15 |
|
9.875 |
|
577,700 |
|
||
|
300 |
|
Biomet, Inc., Global Company Guaranteed Notes (Callable 10/15/12 @ $105.00) |
|
(B-, B3) |
|
10/15/17 |
|
10.000 |
|
333,750 |
|
||
|
120 |
|
Biomet, Inc., Global Company Guaranteed Notes (Callable 10/15/12 @ $105.81) |
|
(B-, Caa1) |
|
10/15/17 |
|
11.625 |
|
135,150 |
|
||
|
650 |
|
Community Health Systems, Inc., Global Company Guaranteed Notes (Callable 07/15/11 @ $104.44) |
|
(B, B3) |
|
07/15/15 |
|
8.875 |
|
682,500 |
|
||
|
2,350 |
|
HCA, Inc., Global Secured Notes (Callable 11/15/11 @ $104.63) |
|
(BB-, B2) |
|
11/15/16 |
|
9.250 |
|
2,543,875 |
|
||
|
725 |
|
HCA, Inc., Global Senior Secured Notes (Callable 08/15/14 @ $103.94) |
|
(BB, Ba3) |
|
02/15/20 |
|
7.875 |
|
790,250 |
|
||
|
675 |
|
HCA, Inc., Global Senior Unsecured Notes |
|
(B-, Caa1) |
|
01/15/15 |
|
6.375 |
|
663,187 |
|
||
|
525 |
|
Omega Healthcare Investors, Inc., Global Company Guaranteed Notes (Callable 01/15/11 @ $103.50) |
|
(BB+, Ba3) |
|
01/15/16 |
|
7.000 |
|
535,500 |
|
||
|
500 |
|
Omega Healthcare Investors, Inc., Global Company Guaranteed Notes (Callable 04/01/11 @ $101.17) |
|
(BB+, Ba3) |
|
04/01/14 |
|
7.000 |
|
509,375 |
|
||
|
625 |
|
Radiation Therapy Services, Inc., Rule 144A, Senior Subordinated Notes (Callable 04/15/14 @ $104.94)‡ |
|
(CCC+, Caa1) |
|
04/15/17 |
|
9.875 |
|
623,437 |
|
||
|
925 |
|
Tenet Healthcare Corp., Rule 144A, Senior Secured Notes (Callable 07/01/14 @ $ 104.44)‡ |
|
(BB-, B1) |
|
07/01/19 |
|
8.875 |
|
1,022,125 |
|
||
|
175 |
|
Universal Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/11 @ $100.00)# |
|
(B+, B3) |
|
06/01/15 |
|
4.134 |
|
150,500 |
|
||
|
275 |
|
Universal Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/11 @ $101.00) |
|
(B+, B3) |
|
06/01/15 |
|
8.500 |
|
279,813 |
|
||
|
634 |
|
VWR Funding, Inc., Series B, Global Company Guaranteed Notes (Callable 07/15/11 @ $105.13) |
|
(B-, Caa1) |
|
07/15/15 |
|
10.250 |
|
657,516 |
|
||
|
|
|
|
|
|
|
|
|
|
|
10,499,178 |
|
||
|
Health Services (2.4%) |
|
|
|
|
|
|
|
|
|
||||
|
550 |
|
PharmaNet Development Group, Inc., Rule 144A, Senior Secured Notes (Callable 04/15/14 @105.44)‡ |
|
(B+, B3) |
|
04/15/17 |
|
10.875 |
|
550,000 |
|
||
|
1,000 |
|
Quintiles Transnational Corp., Rule 144A, Senior Notes (Callable 12/30/11 @ $102.00)‡ |
|
(B, B3) |
|
12/30/14 |
|
9.500 |
|
1,025,000 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
|
Health Services |
|
|
|
|
|
|
|
|
|
||||
|
$ |
1,375 |
|
Rural/Metro Corp., Global Senior Discount Notes (Callable 03/15/11 @ $104.25) |
|
(B, Caa1) |
|
03/15/16 |
|
12.750 |
|
$ |
1,471,250 |
|
|
400 |
|
Service Corp. International, Global Senior Unsecured Notes |
|
(BB-, B1) |
|
10/01/18 |
|
7.625 |
|
420,000 |
|
||
|
425 |
|
Service Corp. International, Senior Unsecured Notes |
|
(BB-, B1) |
|
11/15/21 |
|
8.000 |
|
445,187 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,911,437 |
|
||
|
Hotels (0.8%) |
|
|
|
|
|
|
|
|
|
||||
|
725 |
|
Felcor Lodging LP, Global Senior Secured Notes§ |
|
(NR, B2) |
|
10/01/14 |
|
10.000 |
|
775,750 |
|
||
|
525 |
|
Host Hotels & Resorts LP, Global Company Guaranteed Notes (Callable 05/15/13 @ $104.50)§ |
|
(BB+, Ba1) |
|
05/15/17 |
|
9.000 |
|
578,813 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,354,563 |
|
||
|
Household & Leisure Products (0.3%) |
|
|
|
|
|
|
|
|
|
||||
|
450 |
|
ALH Finance Corp., Global Company Guaranteed Notes (Callable 01/15/11 @ $100.00) |
|
(B-, Caa1) |
|
01/15/13 |
|
8.500 |
|
454,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
lnvestments & Misc. Financial Services (0.4%) |
|
|
|
|
|
|
|
|
|
||||
|
600 |
|
SSI Co-Issuer LLC, Rule 144A, Senior Unsecured Notes (Callable 06/01/14 @ $105.56)‡ |
|
(B-, Caa1) |
|
06/01/18 |
|
11.125 |
|
633,750 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Leisure (0.3%) |
|
|
|
|
|
|
|
|
|
||||
|
400 |
|
Magnum Management Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ $104.56)‡ |
|
(B-, B2) |
|
08/01/18 |
|
9.125 |
|
409,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Machinery (1.3%) |
|
|
|
|
|
|
|
|
|
||||
|
650 |
|
Baldor Electric Co., Company Guaranteed Notes (Callable 02/15/12 @ $104.31) |
|
(B, B3) |
|
02/15/17 |
|
8.625 |
|
692,250 |
|
||
|
550 |
|
Cleaver-Brooks, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/13 @ $106.13)‡ |
|
(B, B2) |
|
05/01/16 |
|
12.250 |
|
545,875 |
|
||
|
525 |
|
CPM Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 09/01/12 @ $105.31)‡ |
|
(B+, B2) |
|
09/01/14 |
|
10.625 |
|
569,625 |
|
||
|
250 |
|
Terex Corp., Senior Subordinated Notes (Callable 11/15/12 @ $104.00) |
|
(B, Caa1) |
|
11/15/17 |
|
8.000 |
|
243,750 |
|
||
|
|
|
|
|
|
|
|
|
|
|
2,051,500 |
|
||
|
Media - Broadcast (2.2%) |
|
|
|
|
|
|
|
|
|
||||
|
795 |
|
Barrington Broadcasting Capital Corp., Global Company Guaranteed Notes (Callable 08/15/10 @ $105.25) |
|
(CCC-, Caa2) |
|
08/15/14 |
|
10.500 |
|
779,100 |
|
||
|
1,175 |
|
Clear Channel Communications, Inc., Senior Unsecured Notes |
|
(CCC-, Ca) |
|
09/15/14 |
|
5.500 |
|
699,125 |
|
||
|
74 |
|
CMP Susquehanna Corp., Global Company Guranteed Notes |
|
(NR, NR) |
|
05/15/14 |
|
3.272 |
|
51,800 |
|
||
|
550 |
|
Fisher Communications, Inc., Global Company Guaranteed Notes (Callable 09/15/10 @ $102.88) |
|
(B-, B2) |
|
09/15/14 |
|
8.625 |
|
550,000 |
|
||
|
695 |
|
Local TV Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 06/15/11 @ $104.63)‡ |
|
(CCC, Caa2) |
|
06/15/15 |
|
9.250 |
|
604,280 |
|
||
|
925 |
|
Mission Broadcasting, Inc., Rule 144A, Senior Secured Notes (Callable 04/15/14 @ $104.44)‡ |
|
(B-, B3) |
|
04/15/17 |
|
8.875 |
|
957,375 |
|
||
|
1,525 |
|
Young Broadcasting, Inc., Global Company Guaranteed Notes (Callable 01/15/11 @ $101.46)ø |
|
(NR, NR) |
|
01/15/14 |
|
8.750 |
|
15 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,641,695 |
|
||
|
Media - Cable (7.1%) |
|
|
|
|
|
|
|
|
|
||||
|
1,375 |
|
Atlantic Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/11 @ $101.56) |
|
(B-, B3) |
|
01/15/14 |
|
9.375 |
|
1,395,625 |
|
||
|
200 |
|
Cablevision Systems Corp., Senior Unsecured Notes |
|
(B+, B1) |
|
04/15/18 |
|
7.750 |
|
209,500 |
|
||
|
1,150 |
|
Cablevision Systems Corp., Senior Unsecured Notes |
|
(B+, B1) |
|
04/15/20 |
|
8.000 |
|
1,221,875 |
|
||
|
731 |
|
CCH II Capital Corp., Global Senior Notes (Callable 11/30/12 @ $106.75)§ |
|
(B, B2) |
|
11/30/16 |
|
13.500 |
|
871,362 |
|
||
|
1,925 |
|
CCO Holdings Capital Corp., Rule 144A, Company Guaranteed Notes (Callable 04/30/15 @ $104.06)‡ |
|
(B, B2) |
|
04/30/20 |
|
8.125 |
|
2,045,312 |
|
||
|
850 |
|
Cequel Capital Corp., Rule 144A, Senior Unsecured Notes (Callable 11/15/12 @ $106.47)‡ |
|
(B-, B3) |
|
11/15/17 |
|
8.625 |
|
871,250 |
|
||
|
675 |
|
CSC Holdings LLC, Global Senior Unsecured Notes |
|
(BB, Ba3) |
|
02/15/19 |
|
8.625 |
|
740,813 |
|
||
|
1,500 |
|
DISH DBS Corp., Global Company Guaranteed Notes |
|
(BB-, Ba3) |
|
09/01/19 |
|
7.875 |
|
1,601,250 |
|
||
|
1,425 |
|
Insight Communications Co., Inc., Rule 144A, Senior Notes (Callable 07/15/13 @ $107.03)‡ |
|
(B-, B3) |
|
07/15/18 |
|
9.375 |
|
1,514,062 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
|
Media - Cable |
|
|
|
|
|
|
|
|
|
||||
|
$ |
175 |
|
Mediacom Broadband Corp., Global Senior Unsecured Notes (Callable 10/15/10 @ $104.25) |
|
(B-, B3) |
|
10/15/15 |
|
8.500 |
|
$ |
177,188 |
|
|
850 |
|
Mediacom Capital Corp., Global Unsecured Notes (Callable 08/15/14 @ $104.56) |
|
(B-, B3) |
|
08/15/19 |
|
9.125 |
|
867,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
11,515,237 |
|
||
|
Media - Diversified (1.4%) |
|
|
|
|
|
|
|
|
|
||||
|
2,225 |
|
Block Communications, Inc., Rule 144A, Senior Notes (Callable 12/15/10 @ $104.13)‡ |
|
(B, B1) |
|
12/15/15 |
|
8.250 |
|
2,219,438 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Media - Services (2.0%) |
|
|
|
|
|
|
|
|
|
||||
|
975 |
|
Clear Channel Worldwide Holdings, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/12 @ $106.94)‡ |
|
(B, B2) |
|
12/15/17 |
|
9.250 |
|
1,026,625 |
|
||
|
450 |
|
Nielsen Finance Co., Global Company Guaranteed Notes (Callable 05/01/13 @ $105.75) |
|
(B-, Caa1) |
|
05/01/16 |
|
11.500 |
|
507,375 |
|
||
|
600 |
|
SGS International, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ $103.00) |
|
(B-, B3) |
|
12/15/13 |
|
12.000 |
|
618,000 |
|
||
|
575 |
|
WMG Acquisition Corp., Global Company Guaranteed Notes (Callable 04/15/11 @ $101.23) |
|
(B, B1) |
|
04/15/14 |
|
7.375 |
|
569,250 |
|
||
|
400 |
|
WMG Acquisition Corp., Global Senior Secured Notes (Callable 06/15/13 @ $104.75) |
|
(BB, Ba2) |
|
06/15/16 |
|
9.500 |
|
437,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,158,250 |
|
||
|
Metals & Mining - Excluding Steel (0.8%) |
|
|
|
|
|
|
|
|
|
||||
|
225 |
|
Aleris International, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ $104.50)ø |
|
(NR, NR) |
|
12/15/14 |
|
9.000 |
|
653 |
|
||
|
1,100 |
|
Aleris International, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $105.00)ø |
|
(NR, NR) |
|
12/15/16 |
|
10.000 |
|
3,190 |
|
||
|
1,547 |
|
Noranda Aluminium Acquisition Corp., Global Company Guaranteed Notes# |
|
(CCC+, B3) |
|
05/15/15 |
|
5.373 |
|
1,233,930 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,237,773 |
|
||
|
Oil Field Equipment & Services (4.3%) |
|
|
|
|
|
|
|
|
|
||||
|
550 |
|
Bristow Group, Inc., Global Company Guaranteed Notes (Callable 09/15/12 @ $103.75) |
|
(BB, Ba2) |
|
09/15/17 |
|
7.500 |
|
550,000 |
|
||
|
1,025 |
|
Calfrac Holdings LP, Rule 144A, Company Guaranteed Notes (Callable 02/15/11 @ $103.88)‡ |
|
(NR, B2) |
|
02/15/15 |
|
7.750 |
|
1,019,875 |
|
||
|
1,125 |
|
Edgen Murray Corp., Rule 144A, Senior Secured Notes (Callable 01/15/13 @ $106.13)‡ |
|
(B, Caa2) |
|
01/15/15 |
|
12.250 |
|
947,812 |
|
||
|
550 |
|
Helix Energy Solutions Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ $104.75)‡ |
|
(B, B3) |
|
01/15/16 |
|
9.500 |
|
536,250 |
|
||
|
300 |
|
Hornbeck Offshore Services, Inc., Global Company Guaranteed Notes (Callable 09/01/13 @ $104.00) |
|
(B+, Ba3) |
|
09/01/17 |
|
8.000 |
|
282,375 |
|
||
|
350 |
|
Hornbeck Offshore Services, Inc., Series B, Global Company Guaranteed Notes (Callable 12/01/10 @ $102.04) |
|
(B+, Ba3) |
|
12/01/14 |
|
6.125 |
|
315,875 |
|
||
|
750 |
|
Key Energy Services, Inc., Global Company Guaranteed Notes (Callable 12/01/11 @ $104.19) |
|
(BB-, B1) |
|
12/01/14 |
|
8.375 |
|
776,250 |
|
||
|
800 |
|
McJunkin Red Man Corp., Rule 144A, Senior Secured Notes (Callable 12/15/12 @ $107.13)‡ |
|
(B, B3) |
|
12/15/16 |
|
9.500 |
|
792,000 |
|
||
|
500 |
|
Parker Drilling Co., Rule 144A, Senior Notes (Callable 04/01/14 @ $104.56)‡ |
|
(B+, B1) |
|
04/01/18 |
|
9.125 |
|
500,000 |
|
||
|
1,000 |
|
Pioneer Drilling Co., Rule 144A, Senior Notes (Callable 03/15/14 @ $104.94)‡ |
|
(B, B3) |
|
03/15/18 |
|
9.875 |
|
1,010,000 |
|
||
|
200 |
|
Pride International, Inc., Senior Unsecured Notes |
|
(BBB-, Ba1) |
|
06/15/19 |
|
8.500 |
|
224,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
6,954,937 |
|
||
|
Oil Refining & Marketing (2.1%) |
|
|
|
|
|
|
|
|
|
||||
|
225 |
|
Coffeyville Finance, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/12 @ $106.75)‡ |
|
(BB-, Ba3) |
|
04/01/15 |
|
9.000 |
|
231,750 |
|
||
|
1,600 |
|
Coffeyville Finance, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/13 @ $108.16)‡ |
|
(BB-, B3) |
|
04/01/17 |
|
10.875 |
|
1,624,000 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
|
Oil Refining & Marketing |
|
|
|
|
|
|
|
|
|
||||
|
$ |
525 |
|
Tesoro Corp., Company Guaranteed Notes (Callable 06/01/14 @ $104.88) |
|
(BB+, Ba1) |
|
06/01/19 |
|
9.750 |
|
$ |
572,250 |
|
|
1,050 |
|
Western Refining, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/11 @ $105.00)#‡ |
|
(NR, B3) |
|
06/15/14 |
|
10.750 |
|
960,750 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,388,750 |
|
||
|
Packaging (2.8%) |
|
|
|
|
|
|
|
|
|
||||
|
880 |
|
Berry Plastics Corp., Global Secured Notes (Callable 09/15/10 @ $104.44) |
|
(CCC, Caa1) |
|
09/15/14 |
|
8.875 |
|
882,200 |
|
||
|
275 |
|
Berry Plastics Corp., Global Senior Secured Notes (Callable 11/15/12 @ $104.13) |
|
(B, B1) |
|
11/15/15 |
|
8.250 |
|
282,563 |
|
||
|
275 |
|
BWAY Holding Co., Rule 144A, Company Guaranteed Notes (Callable 06/15/14 @ $105.00)‡ |
|
(B-, B3) |
|
06/15/18 |
|
10.000 |
|
292,875 |
|
||
|
725 |
|
GPC Capital Corp. I, Global Company Guaranteed Notes (Callable 10/15/10 @ $103.29) |
|
(CCC+, Caa1) |
|
10/15/14 |
|
9.875 |
|
755,812 |
|
||
|
1,000 |
|
GPC Capital Corp. I, Rule 144A, Senior Notes (Callable 01/01/14 @ $104.13)‡ |
|
(CCC+, Caa1) |
|
01/01/17 |
|
8.250 |
|
1,005,000 |
|
||
|
500 |
|
Pregis Corp., Global Senior Secured Notes# |
|
(B+, B2) |
|
04/15/13 |
|
5.835 |
|
602,545 |
|
||
|
700 |
|
Reynolds Group Issuer LLC, Rule 144A, Senior Secured Notes (Callable 10/15/12 @ $103.88)‡ |
|
(BB-, B1) |
|
10/15/16 |
|
7.750 |
|
735,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
4,555,995 |
|
||
|
Pharmaceuticals (0.3%) |
|
|
|
|
|
|
|
|
|
||||
|
458 |
|
QHP Royalty Sub LLC, Rule 144A, Senior Secured Notes‡ |
|
(NR, NR) |
|
03/15/15 |
|
10.250 |
|
467,286 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Printing & Publishing (2.2%) |
|
|
|
|
|
|
|
|
|
||||
|
950 |
|
Cengage Learning Acquisitions, Inc., Rule 144A, Senior Notes (Callable 07/15/11 @ $105.25)‡ |
|
(CCC+, Caa2) |
|
01/15/15 |
|
10.500 |
|
923,875 |
|
||
|
1,000 |
|
Cenveo Corp., Global Senior Subordinated Notes (Callable 12/01/10 @ $101.31) |
|
(B-, Caa1) |
|
12/01/13 |
|
7.875 |
|
980,000 |
|
||
|
1,800 |
|
The Reader’s Digest Association, Inc., Global Company Guaranteed Notes (Callable 02/15/12 @ $104.50)ø^ |
|
(NR, NR) |
|
02/15/17 |
|
9.000 |
|
0 |
|
||
|
1,350 |
|
The Reader’s Digest Association, Inc., Rule 144A, Senior Secured Notes (Callable 02/15/13 @ $104.00)#‡ |
|
(B, B1) |
|
02/15/17 |
|
9.500 |
|
1,363,500 |
|
||
|
351 |
|
Valassis Communications, Inc., Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13) |
|
(BB-, Ba3) |
|
03/01/15 |
|
8.250 |
|
368,550 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,635,925 |
|
||
|
Real Estate Development & Management (0.7%) |
|
|
|
|
|
|
|
|
|
||||
|
1,300 |
|
Icahn Enterprises LP, Rule 144A, Senior Unsecured Notes#‡ |
|
(NR, NR) |
|
08/15/13 |
|
4.000 |
|
1,157,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Restaurants (1.0%) |
|
|
|
|
|
|
|
|
|
||||
|
1,000 |
|
CKE Restaurants, Inc., Rule 144A, Senior Secured Notes (Callable 07/15/14 @ $105.69)‡ |
|
(B, B2) |
|
07/15/18 |
|
11.375 |
|
1,022,500 |
|
||
|
525 |
|
Denny’s Holdings, Inc., Global Company Guaranteed Notes (Callable 10/01/10 @ $100.00) |
|
(B-, Caa1) |
|
10/01/12 |
|
10.000 |
|
532,875 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,555,375 |
|
||
|
Software/Services (2.7%) |
|
|
|
|
|
|
|
|
|
||||
|
1,000 |
|
SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/10 @ $105.13) |
|
(B-, Caa1) |
|
08/15/15 |
|
10.250 |
|
1,055,000 |
|
||
|
525 |
|
Unisys Corp., Rule 144A, Senior Secured Notes (Callable 10/15/12 @ $106.38)‡ |
|
(BB-, Ba3) |
|
10/15/14 |
|
12.750 |
|
601,125 |
|
||
|
1,150 |
|
Unisys Corp., Senior Unsecured Notes (Callable 01/15/12 @ $106.25) |
|
(B, Caa1) |
|
01/15/16 |
|
12.500 |
|
1,262,125 |
|
||
|
1,575 |
|
Vangent, Inc., Global Company Guaranteed Notes (Callable 02/15/11 @ $104.81) |
|
(CCC+, Caa2) |
|
02/15/15 |
|
9.625 |
|
1,512,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
4,430,250 |
|
||
|
Specialty Retail (1.9%) |
|
|
|
|
|
|
|
|
|
||||
|
600 |
|
Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 03/15/12 @ $103.81) |
|
(B-, Caa1) |
|
03/15/17 |
|
7.625 |
|
574,500 |
|
||
|
1,350 |
|
Brookstone Co., Inc., Global Senior Secured Notes (Callable 10/15/10 @ $103.00) |
|
(C, Caa3) |
|
10/15/12 |
|
12.000 |
|
1,140,750 |
|
||
|
325 |
|
Penske Automotive Group, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $103.88) |
|
(B-, Caa1) |
|
12/15/16 |
|
7.750 |
|
314,438 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
|
Specialty Retail |
|
|
|
|
|
|
|
|
|
||||
|
$ |
500 |
|
Susser Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 05/15/13 @ $104.25)‡ |
|
(B+, B2) |
|
05/15/16 |
|
8.500 |
|
$ |
520,000 |
|
|
460 |
|
Yankee Acquisition Corp., Series B, Global Company Guaranteed Notes (Callable 02/15/11 @ $104.25) |
|
(B-, B3) |
|
02/15/15 |
|
8.500 |
|
476,100 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,025,788 |
|
||
|
Steel Producers/Products (1.3%) |
|
|
|
|
|
|
|
|
|
||||
|
800 |
|
California Steel Industries, Inc., Global Senior Notes (Callable 03/15/11 @ $101.02) |
|
(BB-, B1) |
|
03/15/14 |
|
6.125 |
|
776,000 |
|
||
|
700 |
|
Ryerson, Inc., Global Senior Secured Notes (Callable 11/01/11 @ $106.00) |
|
(CCC+, Caa1) |
|
11/01/15 |
|
12.000 |
|
736,750 |
|
||
|
525 |
|
Tube City IMS Corp., Global Company Guaranteed Notes (Callable 02/01/11 @ $104.88) |
|
(B-, Caa1) |
|
02/01/15 |
|
9.750 |
|
528,281 |
|
||
|
|
|
|
|
|
|
|
|
|
|
2,041,031 |
|
||
|
Support-Services (4.0%) |
|
|
|
|
|
|
|
|
|
||||
|
800 |
|
Ashtead Capital, Inc., Rule 144A, Secured Notes (Callable 08/15/11 @ $104.50)‡ |
|
(B+, B2) |
|
08/15/16 |
|
9.000 |
|
812,000 |
|
||
|
275 |
|
DynCorp International, Inc., Rule 144A, Senior Unsecured Notes (Callable 07/01/14 @ 105.19)‡ |
|
(B, B1) |
|
07/01/17 |
|
10.375 |
|
285,656 |
|
||
|
475 |
|
Interactive Data Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ $105.13)‡ |
|
(B-, Caa1) |
|
08/01/18 |
|
10.250 |
|
491,625 |
|
||
|
200 |
|
JohnsonDiversey Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/14 @ $104.13)‡ |
|
(B-, B3) |
|
11/15/19 |
|
8.250 |
|
211,000 |
|
||
|
975 |
|
Maxim Crane Works LP, Rule 144A, Senior Secured Notes (Callable 04/15/12 @ $109.19)‡ |
|
(B, Caa1) |
|
04/15/15 |
|
12.250 |
|
916,500 |
|
||
|
475 |
|
Sotheby’s, Global Company Guaranteed Notes |
|
(B, B1) |
|
06/15/15 |
|
7.750 |
|
486,875 |
|
||
|
550 |
|
The Geo Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/15/13 @ $103.88)‡ |
|
(BB-, B1) |
|
10/15/17 |
|
7.750 |
|
570,625 |
|
||
|
600 |
|
The Hertz Corp., Global Company Guaranteed Notes (Callable 01/01/11 @ $105.25)§ |
|
(CCC+, B3) |
|
01/01/16 |
|
10.500 |
|
640,500 |
|
||
|
1,150 |
|
Travelport LLC, Global Company Guaranteed Notes (Callable 09/01/11 @ $105.94)§ |
|
(CCC, Caa1) |
|
09/01/16 |
|
11.875 |
|
1,242,000 |
|
||
|
475 |
|
United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 02/15/11 @ $101.17) |
|
(CCC+, Caa1) |
|
02/15/14 |
|
7.000 |
|
473,813 |
|
||
|
300 |
|
United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 06/15/13 @ $105.44) |
|
(B, B3) |
|
06/15/16 |
|
10.875 |
|
333,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
6,463,594 |
|
||
|
Telecom - Integrated/Services (5.1%) |
|
|
|
|
|
|
|
|
|
||||
|
525 |
|
Frontier Communications Corp., Senior Unsecured Notes |
|
(BB, Ba2) |
|
10/01/18 |
|
8.125 |
|
559,125 |
|
||
|
575 |
|
Frontier Communications Corp., Rule 144A, Senior Unsecured Notes‡ |
|
(BB, Ba2) |
|
04/15/20 |
|
8.500 |
|
616,688 |
|
||
|
700 |
|
HNS Finance Corp., Global Company Guaranteed Notes (Callable 04/15/11 @ $102.38) |
|
(B, B1) |
|
04/15/14 |
|
9.500 |
|
731,500 |
|
||
|
2,075 |
|
Intelsat Corp., Global Senior Unsecured Notes (Callable 08/15/10 @ $103.13) |
|
(BB-, B3) |
|
08/15/14 |
|
9.250 |
|
2,152,812 |
|
||
|
950 |
|
Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 02/01/14 @ $105.00) |
|
(CCC, Caa1) |
|
02/01/18 |
|
10.000 |
|
870,437 |
|
||
|
175 |
|
Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 02/15/11 @ $100.00)# |
|
(CCC, Caa1) |
|
02/15/15 |
|
4.140 |
|
141,313 |
|
||
|
850 |
|
Paetec Holding Corp., Global Company Guaranteed Notes (Callable 07/15/11 @ $104.75) |
|
(CCC+, Caa1) |
|
07/15/15 |
|
9.500 |
|
854,250 |
|
||
|
525 |
|
Qwest Communications International, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/12 @ $104.00)‡ |
|
(B+, Ba3) |
|
10/01/15 |
|
8.000 |
|
561,750 |
|
||
|
1,250 |
|
Qwest Communications International, Inc., Series B, Global Company Guaranteed Notes (Callable 02/15/11 @ $101.25) |
|
(B+, Ba3) |
|
02/15/14 |
|
7.500 |
|
1,287,500 |
|
||
|
450 |
|
Windstream Corp., Global Company Guaranteed Notes (Callable 08/01/11 @ $104.31) |
|
(B+, Ba3) |
|
08/01/16 |
|
8.625 |
|
471,375 |
|
||
|
|
|
|
|
|
|
|
|
|
|
8,246,750 |
|
||
|
Telecom - Wireless (3.9%) |
|
|
|
|
|
|
|
|
|
||||
|
650 |
|
Cricket Communications, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $104.69)§ |
|
(B-, B3) |
|
11/01/14 |
|
9.375 |
|
675,188 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
||||
|
U.S. CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
|
Telecom - Wireless |
|
|
|
|
|
|
|
|
|
||||
|
$ |
250 |
|
Cricket Communications, Inc., Global Senior Secured Notes (Callable 05/15/12 @ $105.81) |
|
(B+, Ba2) |
|
05/15/16 |
|
7.750 |
|
$ |
260,000 |
|
|
1,300 |
|
GeoEye, Inc., Rule 144A, Senior Secured Notes (Callable 10/01/13 @ $104.81)‡ |
|
(B, B1) |
|
10/01/15 |
|
9.625 |
|
1,371,500 |
|
||
|
2,648 |
|
Nextel Communications, Inc., Series F, Company Guaranteed Notes (Callable 03/15/11 @ $101.74) |
|
(BB-, Ba2) |
|
03/15/14 |
|
5.950 |
|
2,561,940 |
|
||
|
1,525 |
|
Sprint Nextel Corp., Senior Unsecured Notes |
|
(BB-, Ba3) |
|
12/01/16 |
|
6.000 |
|
1,444,937 |
|
||
|
|
|
|
|
|
|
|
|
|
|
6,313,565 |
|
||
|
Telecommunications (0.5%) |
|
|
|
|
|
|
|
|
|
||||
|
850 |
|
Avaya, Inc., Global Company Guaranteed Notes (Callable 11/01/11 @ $104.88) |
|
(CCC+, Caa2) |
|
11/01/15 |
|
9.750 |
|
828,750 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Theaters & Entertainment (1.3%) |
|
|
|
|
|
|
|
|
|
||||
|
1,300 |
|
AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 03/01/11 @ $101.33) |
|
(CCC+, Caa1) |
|
03/01/14 |
|
8.000 |
|
1,306,500 |
|
||
|
750 |
|
AMC Entertainment, Inc., Global Senior Unsecured Notes (Callable 06/01/14 @ $104.38) |
|
(B-, B1) |
|
06/01/19 |
|
8.750 |
|
791,250 |
|
||
|
|
|
|
|
|
|
|
|
|
|
2,097,750 |
|
||
|
TOTAL U.S. CORPORATE BONDS (Cost $190,772,914) |
|
|
|
|
|
|
|
187,771,471 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
|
FOREIGN CORPORATE BONDS (11.9%) |
|
|
|
|
|
|
|
|
|
||||
|
Chemicals (2.3%) |
|
|
|
|
|
|
|
|
|
||||
|
1,150 |
|
Cognis GmbH, Rule 144A, Senior Secured Notes (Germany)#‡ |
|
(B, B2) |
|
09/15/13 |
|
2.537 |
|
1,144,250 |
|
||
|
800 |
|
Cy SCA, Rule 144A, Senior Secured Notes (Callable 07/15/13 @ $107.13) (Luxembourg)‡ |
|
(B+, B2) |
|
07/15/17 |
|
9.500 |
|
817,664 |
|
||
|
400 |
|
Ineos Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/15/13 @ $104.50) (United Kingdom)‡ |
|
(B, B2) |
|
05/15/15 |
|
9.000 |
|
410,000 |
|
||
|
1,675 |
|
Ineos Group Holdings PLC, Rule 144A, Secured Notes (Callable 02/15/11 @ $104.25) (United Kingdom)ठ|
|
(CCC, Caa3) |
|
02/15/16 |
|
8.500 |
|
1,394,437 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,766,351 |
|
||
|
Electronics (0.2%) |
|
|
|
|
|
|
|
|
|
||||
|
785 |
|
New Asat, Ltd., Global Company Guaranteed Notes (Cayman Islands)ø |
|
(NR, NR) |
|
02/01/11 |
|
9.250 |
|
5,890 |
|
||
|
200 |
|
NXP Funding LLC Rule 144A, Senior Secured Notes (Callable 08/01/14 @ $104.88) (Netherlands)‡ |
|
(CCC+, Caa1) |
|
08/01/18 |
|
9.750 |
|
211,500 |
|
||
|
50 |
|
NXP Funding LLC, Series EXCH, Global Senior Secured Notes (Callable 10/15/10 @ $103.94) (Netherlands) |
|
(CCC+, Caa1) |
|
10/15/14 |
|
7.875 |
|
50,625 |
|
||
|
|
|
|
|
|
|
|
|
|
|
268,015 |
|
||
|
Energy - Exploration & Production (0.5%) |
|
|
|
|
|
|
|
|
|
||||
|
875 |
|
OPTI Canada, Inc., Global Senior Secured Notes (Callable 12/15/10 @ $104.13) (Canada) |
|
(B, Caa3) |
|
12/15/14 |
|
8.250 |
|
764,531 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Forestry & Paper (1.2%) |
|
|
|
|
|
|
|
|
|
||||
|
2,325 |
|
Abitibi-Consolidated Co. of Canada, Global Company Guaranteed Notes (Canada)ø |
|
(NR, NR) |
|
06/15/11 |
|
7.750 |
|
293,531 |
|
||
|
500 |
|
Smurfit Kappa Acquisitions, Rule 144A, Senior Secured Notes (Callable 11/15/13 @ $103.63) (Ireland)‡ |
|
(BB, Ba2) |
|
11/15/17 |
|
7.250 |
|
670,942 |
|
||
|
1,000 |
|
Smurfit Kappa Funding PLC, Global Senior Subordinated Notes (Callable 01/31/11 @ $102.58) (Ireland) |
|
(B, B2) |
|
04/01/15 |
|
7.750 |
|
1,015,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,979,473 |
|
||
|
Gaming (0.9%) |
|
|
|
|
|
|
|
|
|
||||
|
600 |
|
Codere Finance Luxembourg SA, Rule 144A, Senior Secured Notes (Callable 06/15/11 @ $102.75) (Luxembourg)‡ |
|
(B, B2) |
|
06/15/15 |
|
8.250 |
|
756,275 |
|
||
|
600 |
|
Peermont Global Proprietary, Ltd., Rule 144A, Senior Secured Notes (Callable 04/30/11 @ $103.88) (South Africa)‡ |
|
(B, B3) |
|
04/30/14 |
|
7.750 |
|
685,924 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,442,199 |
|
||
|
Media - Cable (0.9%) |
|
|
|
|
|
|
|
|
|
||||
|
200 |
|
Unitymedia NRW GmbH, Rule 144A, Senior Secured Notes (Callable 12/01/12 @ $108.22) (Germany)‡ |
|
(BB-, B1) |
|
12/01/17 |
|
8.125 |
|
270,331 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
||||
|
FOREIGN CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
|
Media - Cable |
|
|
|
|
|
|
|
|
|
||||
|
$ |
150 |
|
Virgin Media Finance PLC, Global Company Guaranteed Notes (Callable 08/15/11 @ $104.56) (United Kingdom) |
|
(B+, B1) |
|
08/15/16 |
|
9.125 |
|
$ |
162,000 |
|
|
1,000 |
|
Virgin Media Finance PLC, Global Company Guaranteed Notes (Callable 10/15/14 @ $104.19) (United Kingdom) |
|
(B+, Ba3) |
|
10/15/19 |
|
8.375 |
|
1,090,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,522,331 |
|
||
|
Media - Diversified (0.4%) |
|
|
|
|
|
|
|
|
|
||||
|
600 |
|
Quebecor Media, Inc., Global Senior Unsecured Notes (Callable 03/15/11 @ $103.88) (Canada) |
|
(B, B2) |
|
03/15/16 |
|
7.750 |
|
612,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Oil Field Equipment & Services (0.9%) |
|
|
|
|
|
|
|
|
|
||||
|
475 |
|
Cie Generale de Geophysique-Veritas, Global Company Guaranteed Notes (Callable 05/15/11 @ $102.50) (France) |
|
(BB-, Ba3) |
|
05/15/15 |
|
7.500 |
|
467,875 |
|
||
|
950 |
|
Offshore Group Investments, Ltd., Rule 144A, Senior Secured Notes (Callable 02/01/13 @ $108.63) (Cayman Islands)‡ |
|
(B-, B3) |
|
08/01/15 |
|
11.500 |
|
950,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,417,875 |
|
||
|
Packaging (0.2%) |
|
|
|
|
|
|
|
|
|
||||
|
275 |
|
Impress Holdings BV, Rule 144A, Company Guaranteed Notes (Callable 09/15/10 @ $104.63) (Netherlands)‡ |
|
(B-, B3) |
|
09/15/14 |
|
9.250 |
|
377,975 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Pharmaceuticals (0.4%) |
|
|
|
|
|
|
|
|
|
||||
|
625 |
|
Patheon, Inc., Rule 144A, Senior Secured Notes (Callable 04/15/13 @ $106.47) (Canada)‡ |
|
(B+, B1) |
|
04/15/17 |
|
8.625 |
|
627,344 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Support-Services (0.3%) |
|
|
|
|
|
|
|
|
|
||||
|
425 |
|
Garda World Security Corp., Rule 144A, Senior Unsecured Notes (Callable 03/15/14 @ $104.88) (Canada)‡ |
|
(B, B3) |
|
03/15/17 |
|
9.750 |
|
450,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Telecom - Integrated/Services (1.2%) |
|
|
|
|
|
|
|
|
|
||||
|
1,507 |
|
Global Crossing UK Finance PLC, Global Senior Secured Notes (Callable 12/15/10 @ $103.58) (United Kingdom) |
|
(B-, B3) |
|
12/15/14 |
|
10.750 |
|
1,563,512 |
|
||
|
550 |
|
Hellas Telecommunications II SCA, Rule 144A, Subordinated Notes (Luxembourg)ø#‡ |
|
(NR, NR) |
|
01/15/15 |
|
6.034 |
|
13,750 |
|
||
|
350 |
|
Intelsat Jackson Holdings Ltd. Rule 144A (Bermuda)‡ |
|
(B+, B3) |
|
11/01/19 |
|
8.500 |
|
371,875 |
|
||
|
25 |
|
Intelsat Subsidiary Holding Co., Ltd., Global Company Guaranteed Notes (Callable 01/15/11 @ $102.96) (Bermuda) |
|
(B+, B3) |
|
01/15/15 |
|
8.875 |
|
26,063 |
|
||
|
|
|
|
|
|
|
|
|
|
|
1,975,200 |
|
||
|
Telecom - Wireless (0.6%) |
|
|
|
|
|
|
|
|
|
||||
|
750 |
|
Wind Acquisition Finance SA, Rule 144A, Secured Notes (Callable 07/15/13 @ $105.88) (Luxembourg)‡ |
|
(B+, B2) |
|
07/15/17 |
|
11.750 |
|
920,801 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Textiles & Apparel (0.0%) |
|
|
|
|
|
|
|
|
|
||||
|
75 |
|
IT Holding Finance SA, Rule 144A, Company Guaranteed Notes (Luxembourg)ø‡ |
|
(NR, NR) |
|
11/15/12 |
|
9.875 |
|
15,633 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Transportation - Excluding Air/Rail (1.9%) |
|
|
|
|
|
|
|
|
|
||||
|
1,250 |
|
Navios Maritime Holdings, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ $104.75) (Marshall Islands) |
|
(B+, B3) |
|
12/15/14 |
|
9.500 |
|
1,231,250 |
|
||
|
1,325 |
|
Ship Finance International, Ltd., Global Company Guaranteed Notes (Callable 12/15/10 @ $102.83) (Bermuda) |
|
(B+, B1) |
|
12/15/13 |
|
8.500 |
|
1,321,687 |
|
||
|
525 |
|
Teekay Corp., Global Senior Unsecured Notes (Canada) |
|
(BB, B1) |
|
01/15/20 |
|
8.500 |
|
553,875 |
|
||
|
|
|
|
|
|
|
|
|
|
|
3,106,812 |
|
||
|
TOTAL FOREIGN CORPORATE BONDS (Cost $21,337,767) |
|
|
|
|
|
|
|
19,247,040 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
|
BANK LOANS (1.1%) |
|
|
|
|
|
|
|
|
|
||||
|
Gaming (0.3%) |
|
|
|
|
|
|
|
|
|
||||
|
481 |
|
CCM Merger, Inc. |
|
(NR, NR) |
|
07/21/12 |
|
8.500 |
|
472,434 |
|
||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
||||
|
BANK LOANS |
|
|
|
|
|
|
|
|
|
||||
|
Pharmaceuticals (0.2%) |
|
|
|
|
|
|
|
|
|
||||
|
$ |
378 |
|
Nycomed Holdings Aps |
|
(NR, NR) |
|
12/29/13 |
|
3.389 |
|
$ |
355,944 |
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Telecommunications (0.6%) |
|
|
|
|
|
|
|
|
|
||||
|
1,064 |
|
AVAYA, Inc. |
|
(NR, NR) |
|
10/24/14 |
|
3.058 |
|
944,022 |
|
||
|
|
|
|
|
|
|
|
|
|
|
||||
|
TOTAL BANK LOANS (Cost $1,413,020) |
|
|
|
|
|
|
|
1,772,400 |
|
||||
|
Number of |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
COMMON STOCKS (1.2%) |
|
|
|
|
|
|
|
|
|
||
|
Banks (0.3%) |
|
|
|
|
|
|
|
|
|
||
|
13,710 |
|
CIT Group, Inc.* |
|
|
|
|
|
|
|
498,495 |
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Building Materials (0.0%) |
|
|
|
|
|
|
|
|
|
||
|
437 |
|
Nortek, Inc.* |
|
|
|
|
|
|
|
17,480 |
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Chemicals (0.1%) |
|
|
|
|
|
|
|
|
|
||
|
4,893 |
|
Huntsman Corp. |
|
|
|
|
|
|
|
51,230 |
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Forestry & Paper (0.4%) |
|
|
|
|
|
|
|
|
|
||
|
29,520 |
|
Smurfit-Stone Container Corp.* |
|
|
|
|
|
|
|
615,492 |
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Leisure (0.4%) |
|
|
|
|
|
|
|
|
|
||
|
20,556 |
|
Six Flags Entertainment Corp.*§ |
|
|
|
|
|
|
|
667,453 |
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Printing & Publishing (0.0%) |
|
|
|
|
|
|
|
|
|
||
|
1,322 |
|
SuperMedia, Inc.*§ |
|
|
|
|
|
|
|
27,881 |
|
|
|
|
|
|
|
|
|
|
|
|
||
|
TOTAL COMMON STOCKS (Cost $4,206,213) |
|
|
|
|
|
|
|
1,878,031 |
|
||
|
|
|
|
|
|
|
|
|
|
|
||
|
PREFERRED STOCKS (0.3%) |
|
|
|
|
|
|
|
|
|
||
|
Banks (0.3%) |
|
|
|
|
|
|
|
|
|
||
|
473 |
|
Ally Financial, Inc., Rule 144A (Callable 12/31/11 @ $1,000)‡ |
|
|
|
|
|
|
|
388,466 |
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Media - Broadcast (0.0%) |
|
|
|
|
|
|
|
|
|
||
|
17,257 |
|
CMP Susquehanna Radio Holdings Corp., Rule 144A, Series A*‡ |
|
|
|
|
|
|
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
||
|
TOTAL PREFERRED STOCKS (Cost $98,096) |
|
|
|
|
|
|
|
388,468 |
|
||
|
|
|
|
|
|
|
|
|
|
|
||
|
WARRANTS (0.0%) |
|
|
|
|
|
|
|
|
|
||
|
Building Materials (0.0%) |
|
|
|
|
|
|
|
|
|
||
|
1,152 |
|
Nortek, Inc., strike price $1.00, expires 12/07/14*^ |
|
|
|
|
|
|
|
1,152 |
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Media - Broadcast (0.0%) |
|
|
|
|
|
|
|
|
|
||
|
19,721 |
|
CNB Capital Trust I, Rule 144A, strike price $0.00, expires 03/23/19*‡ |
|
|
|
|
|
|
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Printing & Publishing (0.0%) |
|
|
|
|
|
|
|
|
|
||
|
5,735 |
|
The Readers Digest Association, Inc., strike price $0.00, expires 02/15/17*^ |
|
|
|
|
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
||
|
TOTAL WARRANTS (Cost $1,152) |
|
|
|
|
|
|
|
1,154 |
|
||
|
|
|
|
|
|
|
|
|
|
|
||
|
SHORT-TERM INVESTMENTS (6.5%) |
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
||
|
10,300,244 |
|
State Street Navigator Prime Portfolio§§ |
|
|
|
|
|
|
|
10,300,244 |
|
|
Par |
|
|
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
$ |
274 |
|
State Street Bank and Trust Co. Euro Time Deposit |
|
|
|
08/02/10 |
|
0.010 |
|
274,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost $10,574,244) |
|
|
|
|
|
|
|
10,574,244 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
|
TOTAL INVESTMENTS AT VALUE (137.0%) (Cost $228,403,406) |
|
|
|
|
|
221,632,808 |
|
||||||
|
|
|
|
|
|
|
|
|
|
|
||||
|
LIABILITIES IN EXCESS OF OTHER ASSETS (-37.0%) |
|
|
|
|
|
|
|
(59,811,469 |
) |
||||
|
|
|
|
|
|
|
|
|
|
|
||||
|
NET ASSETS (100.0%) |
|
|
|
|
|
|
|
$ |
161,821,339 |
|
|||
|
Forward
Foreign Currency |
|
Forward
Foreign Currency |
|
Expiration |
|
Value
on |
|
Current |
|
Unrealized |
|
|||||||
|
|
|
|
|
|
|
|
|
|||||||||||
|
Open Forward Foreign Currency Contract |
|
|
|
|
|
|
|
|||||||||||
|
USD |
|
4,104,683 |
|
EUR |
|
3,225,000 |
|
10/15/10 |
|
$ |
(4,104,683 |
) |
$ |
(4,200,971 |
) |
$ |
(96,288 |
) |
INVESTMENT ABBREVIATIONS
MTN = Medium Term Note
NR = Not Rated
|
† |
Credit ratings given by the Standard & Poor’s Division of The McGraw-Hill Companies, Inc. (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”) are unaudited. |
|
‡ |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2010, these securities amounted to a value of $72,689,615 or 44.9% of net assets. |
|
^ |
Not readily marketable security; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Trustees. |
|
# |
Variable rate obligations — The interest rate is the rate as of July 31, 2010. |
|
+ |
Step Bond — The interest rate is as of July 31, 2010 and will reset at a future date. |
|
ø |
Bond is currently in default. |
|
* |
Non-income producing security. |
|
§ |
Security or portion thereof is out on loan. |
|
§§ |
Represents security purchased with cash collateral received for securities on loan. |
|
Currency Abbreviations: |
|
|
EUR - Euro Currency |
|
|
USD - United States Dollar |
|
Security Valuation — The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (the “Valuation Time”). If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Investments in mutual funds are valued at the mutual 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. The Fund may utilize a service provided by an independent third party which has been approved by the Board of Trustees to fair value certain securities. When fair-value pricing is employed, the prices of securities used by a fund to
calculate its net asset value may differ from quoted or published prices for the same securities.
In accordance with the authoritative guidance on fair value measurements and disclosures under accounting principles generally accepted in the United States of America (“GAAP”), the Fund discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. GAAP established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are
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 July 31, 2010 in valuing the Fund’s investments carried at value:
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
||||
|
U.S. Corporate Bonds |
|
$ |
— |
|
$ |
187,771,471 |
|
$ |
— |
|
$ |
187,771,471 |
|
|
Foreign Corporate Bonds |
|
— |
|
19,247,040 |
|
— |
|
19,247,040 |
|
||||
|
Bank Loans |
|
— |
|
1,772,400 |
|
— |
|
1,772,400 |
|
||||
|
Common Stocks |
|
1,878,031 |
|
— |
|
— |
|
1,878,031 |
|
||||
|
Preferred Stocks |
|
388,466 |
|
2 |
|
— |
|
388,468 |
|
||||
|
Warrants |
|
— |
|
2 |
|
1,152 |
|
1,154 |
|
||||
|
Short-Term Investments |
|
10,300,244 |
|
274,000 |
|
— |
|
10,574,244 |
|
||||
|
Other Financial Instruments * |
|
|
|
|
|
|
|
|
|
||||
|
Forward Foreign Currency Contracts |
|
— |
|
(96,288 |
) |
— |
|
(96,288 |
) |
||||
|
|
|
$ |
12,566,741 |
|
$ |
208,968,627 |
|
$ |
1,152 |
|
$ |
221,536,520 |
|
*Other financial instruments include futures, forwards and swap contracts.
As of July 31, 2010, the amounts shown by the Fund as being Level 3 securities that were measured at fair value amounted to less than 0.01% of net assets.
Effective January 1, 2010, the Fund adopted FASB amendments to authoritative guidance which requires the Fund to disclose details of significant transfers in and out of Level 1 and Level 2 measurements and the reasons for the transfers. For the quarter ended July 31, 2010, there were no significant transfers in and out of Level 1 and Level 2.
Federal Income Tax Cost — At July 31, 2010, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized depreciation from investments were $228,403,406, $12,832,732, $(19,603,330) and $(6,770,598), respectively.
Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the 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.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
|
|
CREDIT SUISSE HIGH YIELD BOND FUND |
||
|
|
|
|
|
|
|
/s/John G. Popp |
|
|
|
|
Name: |
John G. Popp |
|
|
|
Title: |
Chief Executive Officer |
|
|
|
Date: |
September 14, 2010 |
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
|
/s/John G. Popp |
|
|
|
|
Name: |
John G. Popp |
|
|
|
Title: |
Chief Executive Officer |
|
|
|
Date: |
September 14, 2010 |
|
|
|
|
|
|
|
|
/s/Michael A. Pignataro |
|
|
|
|
Name: |
Michael A. Pignataro |
|
|
|
Title: |
Chief Financial Officer |
|
|
|
Date: |
September 14, 2010 |
|