Edgar Filing: CREDIT SUISSE HIGH YIELD BOND FUND

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number		811-08777

CREDIT SUISSE HIGH YIELD BOND FUND
(Exact name of registrant as specified in charter)

c/o Credit Suisse Asset Management, LLC Eleven Madison Avenue New York, New York			10010
(Address of principal executive offices)			(Zip code)

John G. Popp Eleven Madison Avenue New York, New York 10010
(Name and address of agent for service)

Registrant’s telephone number, including area code:		(212) 325-2000

Date of fiscal year end:	October 31st

Date of reporting period:	November 1, 2010 to January 31, 2011

Item 1: Schedule of Investments

Credit Suisse High Yield Bond Fund

Schedule of Investments

January 31, 2011 (unaudited)

Par (000)			Ratings† (S&P/Moody’s)	Maturity	Rate%	Value

CORPORATE BONDS (129.5%)
Aerospace & Defense (0.4%)
$	550	Hawker Beechcraft Notes Co., Global Company Guaranteed Notes (Callable 04/01/11 @ $104.25)§	(CCC-, Caa3)	04/01/15	8.500	$	405,625
825		Hawker Beechcraft Notes Co., Global Company Guaranteed Notes (Callable 04/01/12 @ $104.88)	(CCC-, Ca)	04/01/17	9.750	484,688
						890,313
Auto Loans (0.3%)
550		Ford Motor Credit Co. LLC, Senior Unsecured Notes	(BB-, Ba2)	12/15/16	8.000	624,589

Auto Parts & Equipment (5.1%)
1,000		Affinia Group Holdings, Inc., Rule 144A, Senior Subordinated Notes (Callable 11/30/11 @ $101.50)‡	(CCC+, B3)	11/30/14	9.000	1,025,000
350		American Axle & Manufacturing Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 01/15/14 @ $104.63)‡	(BB-, Ba2)	01/15/17	9.250	399,000
775		American Axle & Manufacturing, Inc., Company Guaranteed Notes (Callable 03/01/12 @ $103.94)	(B-, B3)	03/01/17	7.875	811,812
1,200		American Tire Distributors, Inc., Rule 144A, Senior Secured Notes (Callable 06/01/13 @ $107.31)‡	(CCC+, B2)	06/01/17	9.750	1,320,000
875		ArvinMeritor, Inc., Company Guaranteed Notes (Callable 03/15/14 @ $105.31)	(CCC+, Caa1)	03/15/18	10.625	1,001,875
2,150		Euro Lux SCA, Rule 144A, Senior Secured Notes (Callable 12/15/13 @ $106.66)‡	(BB-, Ba3)	12/15/17	8.875	3,168,722
1,975		Stanadyne Corp., Series 1, Global Senior Subordinated Notes (Callable 08/15/11 @ $101.67)	(CCC, Caa1)	08/15/14	10.000	1,994,750
950		Stoneridge, Inc., Rule 144A, Senior Secured Notes (Callable 10/15/14 @ $104.75)‡	(B+, B3)	10/15/17	9.500	1,049,750
675		Uncle Acquisition 2010 Corp., Rule 144A, Senior Notes (Callable 02/15/15 @ $104.31)‡	(CCC+, B3)	02/15/19	8.625	707,063
						11,477,972
Banks (0.3%)
634		Ally Financial, Inc., Global Company Guaranteed Notes	(B, B3)	04/01/11	6.000	637,170
119		Ally Financial, Inc., Global Subordinated Notes	(CCC+, B3)	12/31/18	8.000	130,305
						767,475
Beverages (0.9%)
1,850		Beverages & More, Inc., Rule 144A, Senior Secured Notes (Callable 10/01/12 @ $104.81)‡	(B-, Caa1)	10/01/14	9.625	1,937,875

Building & Construction (1.6%)
741		Ashton Woods Finance Co., Rule 144A, Company Guaranteed Notes (Callable 02/24/14 @ $105.50)+‡	(NR, NR)	06/30/15	0.000	413,108
600		K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes§	(CCC-, Caa2)	01/15/16	6.250	456,000
1,900		Tutor Perini Corp., Rule 144A, Company Guaranteed Notes (Callable 11/01/14 @ $103.81)‡	(BB-, Ba3)	11/01/18	7.625	1,947,500
1,000		William Lyon Homes, Inc., Company Guaranteed Notes (Callable 04/01/11 @ $101.79)	(CC, Caa3)	04/01/13	10.750	875,000
						3,691,608
Building Materials (4.5%)
1,100		Associated Materials LLC, Rule 144A, Senior Secured Notes (Callable 11/01/13 @ $106.84)‡	(B, B3)	11/01/17	9.125	1,185,250
1,285		CPG International I, Inc., Global Company Guaranteed Notes (Callable 07/01/11 @ $100.00)	(B-, B3)	07/01/13	10.500	1,320,337
500		Dayton Superior Corp., Company Guaranteed Notesø^	(NR, NR)	06/15/09	13.000	0
2,325		Headwaters, Inc., Global Senior Secured Notes (Callable 11/01/12 @ $105.69)	(B+, B2)	11/01/14	11.375	2,604,000
3,000		International Wire Group, Inc., Rule 144A, Senior Secured Notes (Callable 10/15/12 @ $104.88)‡	(B, B3)	04/15/15	9.750	3,165,000
114		Norcraft Capital Corp., Global Senior Discount Notes	(CCC, Caa1)	09/01/12	9.750	114,855
775		Norcraft Finance Corp., Global Senior Secured Notes (Callable 12/15/12 @ $105.25)	(B-, B2)	12/15/15	10.500	831,188

Par (000)			Ratings† (S&P/Moody’s)	Maturity	Rate%	Value

CORPORATE BONDS
Building Materials
$	1,000	USG Corp., Rule 144A, Company Guaranteed Notes (Callable 10/15/14 @ $104.19)‡	(BB, B2)	10/15/18	8.375	$	1,042,500
						10,263,130
Chemicals (7.0%)
800		Cy SCA, Rule 144A, Senior Secured Notes (Callable 07/15/13 @ $107.13)‡	(B+, B2)	07/15/17	9.500	881,000
1,150		Darling International, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/14 @ $104.25)‡	(B, B2)	12/15/18	8.500	1,247,750
1,350		Ferro Corp., Senior Unsecured Notes (Callable 08/15/14 @ $103.94)	(B, B2)	08/15/18	7.875	1,446,187
500		Hexion Nova Scotia Finance ULC, Rule 144A, Secured Notes (Callable 11/15/15 @ $104.50)‡	(CCC+, Caa1)	11/15/20	9.000	535,000
400		Ineos Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/15/13 @ $104.50)‡	(B, B1)	05/15/15	9.000	440,000
1,675		Ineos Group Holdings PLC, Rule 144A, Company Guaranteed Notes (Callable 02/15/11 @ $104.25)‡§	(CCC, Caa2)	02/15/16	8.500	1,716,875
269		Lyondell Chemical Co., Rule 144A, Senior Secured Notes (Callable 05/01/13 @ $106.00)‡	(BB, Ba2)	11/01/17	8.000	300,944
701		Momentive Performance Materials, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $106.25)	(CCC, B2)	06/15/14	12.500	786,873
2,000		Momentive Performance Materials, Inc., Rule 144A, Secured Notes (Callable 01/15/16 @ $104.88)‡	(CCC, Caa1)	01/15/21	9.000	2,135,000
575		Nalco Finance Holdings, Inc., Global Senior Discount Notes (Callable 02/01/11 @ $101.50)	(B, B1)	02/01/14	9.000	588,656
2,275		Omnova Solutions, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/14 @ $103.94)‡	(B-, B2)	11/01/18	7.875	2,343,250
1,250		Polymer Group, Inc., Rule 144A, Senior Secured Notes (Callable 02/01/15 @ $103.88)‡	(B, B1)	02/01/19	7.750	1,290,625
1,175		Reichhold Industries, Inc., Rule 144A, Senior Notes (Callable 08/15/11 @ $102.25)‡	(CCC+, Caa2)	08/15/14	9.000	1,042,812
950		TPC Group LLC, Rule 144A, Senior Secured Notes (Callable 10/01/13 @ $106.19)‡	(B+, B1)	10/01/17	8.250	1,012,938
						15,767,910
Computer Hardware (2.2%)
1,225		Activant Solutions, Inc., Global Company Guaranteed Notes (Callable 05/01/11 @ $104.75)	(CCC+, Caa1)	05/01/16	9.500	1,246,438
3,750		Spansion LLC, Rule 144A, Company Guaranteed Notes (Callable 11/15/13 @ $103.94)‡	(B, NR)	11/15/17	7.875	3,773,437
						5,019,875
Consumer Products (1.6%)
375		Prestige Brands, Inc., Global Company Guaranteed Notes (Callable 04/01/14 @ $104.13)	(B, B3)	04/01/18	8.250	391,875
2,000		Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/14 @ $104.13)‡	(B, B3)	04/01/18	8.250	2,090,000
1,100		Spectrum Brands Holdings, Inc., Rule 144A, Secured Notes (Callable 06/15/14 @ $104.75)‡	(B, B2)	06/15/18	9.500	1,212,750
						3,694,625
Consumer/Commercial/Lease Financing (4.5%)
600		AWAS Aviation Capital, Ltd., Rule 144A, Senior Secured Notes (Callable 10/18/13 @ $103.50)‡	(BBB-, Ba2)	10/15/16	7.000	606,000
159		CIT Group, Inc., Senior Secured Notes (Callable 01/01/12 @ $100.00)	(B+, B3)	05/01/13	7.000	163,065
239		CIT Group, Inc., Senior Secured Notes (Callable 01/01/12 @ $100.00)	(B+, B3)	05/01/14	7.000	244,000
839		CIT Group, Inc., Senior Secured Notes (Callable 01/01/12 @ $100.00)	(B+, B3)	05/01/15	7.000	852,555
398		CIT Group, Inc., Senior Secured Notes (Callable 01/01/12 @ $100.00)	(B+, B3)	05/01/16	7.000	403,183
557		CIT Group, Inc., Senior Secured Notes (Callable 01/01/12 @ $100.00)	(B+, B3)	05/01/17	7.000	563,760
1,500		FCC Holdings, Inc., Rule 144A, Notes (Callable 12/15/12 @ $106.00)‡	(B-, B3)	12/15/15	12.000	1,515,000
1,300		International Lease Finance Corp., Rule 144A, Senior Unsecured Notes‡	(BB+, B1)	09/15/15	8.625	1,452,750
675		International Lease Finance Corp., Rule 144A, Senior Unsecured Notes‡	(BB+, B1)	03/15/17	8.750	757,687

Par (000)			Ratings† (S&P/Moody’s)	Maturity	Rate%	Value

CORPORATE BONDS
Consumer/Commercial/Lease Financing
$	1,250	iPayment, Inc., Global Company Guaranteed Notes (Callable 05/15/11 @ $102.44)	(CCC, Caa1)	05/15/14	9.750	$	1,221,875
2,300		Provident Funding Associates, Rule 144A, Senior Secured Notes (Callable 04/15/14 @ $105.13)‡	(B+, Ba3)	04/15/17	10.250	2,472,500
						10,252,375
Department Stores (0.3%)
600		The Neiman Marcus Group, Inc., Global Company Guaranteed Notes (Callable 10/15/11 @ $103.46)	(CCC+, Caa2)	10/15/15	10.375	637,500

Diversified Capital Goods (2.6%)
450		Belden, Inc., Global Company Guaranteed Notes (Callable 03/15/12 @ $103.50)	(B+, Ba2)	03/15/17	7.000	459,000
625		Belden, Inc., Global Notes (Callable 06/15/14 @ $104.63)	(B+, Ba2)	06/15/19	9.250	695,313
800		Coleman Cable, Inc., Global Company Guaranteed Notes (Callable 02/15/14 @ $104.50)	(B, B3)	02/15/18	9.000	832,000
950		Leucadia National Corp., Global Senior Unsecured Notes (Callable 03/15/12 @ $103.56)	(BB+, B1)	03/15/17	7.125	992,750
950		Mueller Water Products, Inc., Global Company Guaranteed Notes (Callable 06/01/12 @ $103.69)	(CCC+, B3)	06/01/17	7.375	927,437
800		Mueller Water Products, Inc., Global Company Guaranteed Notes (Callable 09/01/15 @ $104.38)	(B+, B1)	09/01/20	8.750	892,000
425		Sensus USA Systems, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $100.00)	(B-, B3)	12/15/13	8.625	433,500
600		Trimas Corp., Global Senior Secured Notes (Callable 12/15/13 @ $104.88)	(B-, NR)	12/15/17	9.750	664,500
						5,896,500
Electric - Generation (5.3%)
1,050		Calpine Corp., Rule 144A, Senior Secured Notes (Callable 07/31/15 @ $103.94)‡	(B+, B1)	07/31/20	7.875	1,105,125
1,275		Dynegy Holdings, Inc., Global Senior Unsecured Notes	(B-, Caa2)	05/01/16	8.375	1,013,625
1,475		Edison Mission Energy, Global Senior Unsecured Notes	(B-, B3)	05/15/17	7.000	1,216,875
675		Edison Mission Energy, Global Senior Unsecured Notes	(B-, B3)	05/15/19	7.200	545,063
1,175		Mirant Americas Generation LLC, Senior Unsecured Notes	(BB-, B3)	10/01/21	8.500	1,245,500
447		Mirant Mid Atlantic Trust, Series B, Global Pass Thru Certificates	(BB-, Ba1)	06/30/17	9.125	489,700
1,325		Northern Tier Finance Corp., Rule 144A, Senior Secured Notes (Callable 12/01/13 @ $107.88)‡	(BB-, B1)	12/01/17	10.500	1,432,656
350		NRG Energy, Inc., Company Guaranteed Notes (Callable 01/15/12 @ $103.69)	(BB-, B1)	01/15/17	7.375	364,875
550		NRG Energy, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.69)	(BB-, B1)	02/01/16	7.375	570,625
625		NRG Energy, Inc., Company Guaranteed Notes (Callable 06/15/14 @ $104.25)	(BB-, B1)	06/15/19	8.500	654,687
775		NRG Energy, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/01/15 @ $104.13)‡	(BB-, B1)	09/01/20	8.250	799,219
2,975		Texas Competitive Electric Holdings Co., LLC, Series A, Global Company Guaranteed Notes (Callable 11/01/11 @ $105.13)§	(D, Caa3)	11/01/15	10.250	1,844,500
1,175		Texas Competitive Electric Holdings Co., LLC, Series B, Global Company Guaranteed Notes (Callable 11/01/11 @ $105.13)	(D, Caa3)	11/01/15	10.250	725,562
						12,008,012
Electric - Integrated (0.8%)
550		The AES Corp., Global Senior Unsecured Notes	(BB, B1)	04/15/16	9.750	636,625
1,000		The AES Corp., Global Senior Unsecured Notes	(BB, B1)	10/15/17	8.000	1,087,500
						1,724,125
Electronics (0.9%)
1,075		Freescale Semiconductor, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/14 @ $105.06)‡	(B-, B2)	03/15/18	10.125	1,222,812
774		New Asat, Ltd., Global Company Guaranteed Notesø	(NR, NR)	02/01/11	9.250	774
200		NXP Funding LLC, Rule 144A, Senior Secured Notes (Callable 08/01/14 @ $104.88)‡	(B-, B3)	08/01/18	9.750	227,250

Par (000)			Ratings† (S&P/Moody’s)	Maturity	Rate%	Value

CORPORATE BONDS
Electronics
$	50	NXP Funding LLC, Series EXCH, Global Senior Secured Notes (Callable 10/15/11 @ $101.97)	(B-, B3)	10/15/14	7.875	$	52,313
575		Sanmina-SCI Corp., Company Guaranteed Notes (Callable 03/01/11 @ $104.06)	(CCC+, B2)	03/01/16	8.125	598,000
						2,101,149
Energy - Exploration & Production (9.5%)
500		Berry Petroleum Co., Senior Subordinated Notes (Callable 11/01/11 @ $104.13)	(B, B3)	11/01/16	8.250	528,750
1,000		Berry Petroleum Co., Senior Unsecured Notes (Callable 11/01/15 @ $103.38)	(BB-, B2)	11/01/20	6.750	1,022,500
1,000		Carrizo Oil & Gas, Inc., Rule 144A, Senior Unsecured Notes (Callable 10/15/14 @ $104.31)‡	(B-, B3)	10/15/18	8.625	1,055,000
300		Chesapeake Energy Corp., Company Guaranteed Notes	(BB, Ba3)	12/15/18	7.250	321,000
3,250		Comstock Resources, Inc., Company Guaranteed Notes (Callable 10/15/13 @ $104.19)	(B, B2)	10/15/17	8.375	3,355,625
575		Denbury Resources, Inc., Company Guaranteed Notes (Callable 03/01/13 @ $104.88)	(BB, B1)	03/01/16	9.750	652,625
1,000		Energy XXI Gulf Coast, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/14 @ $104.63)‡	(B, Caa1)	12/15/17	9.250	1,067,500
1,050		EXCO Resources, Inc., Company Guaranteed Notes (Callable 09/15/14 @ $103.75)	(B, B3)	09/15/18	7.500	1,055,250
450		Forest Oil Corp., Global Company Guaranteed Notes (Callable 06/15/12 @ $103.63)	(BB-, B1)	06/15/19	7.250	469,125
525		Hilcorp Finance Co., Rule 144A, Senior Unsecured Notes (Callable 06/01/11 @ $104.50)‡	(BB-, B2)	06/01/16	9.000	556,500
900		Linn Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 09/15/15 @ $103.88)‡	(B, B2)	02/01/21	7.750	945,000
1,800		McMoRan Exploration Co., Company Guaranteed Notes (Callable 11/15/11 @ $105.94)	(B, Caa1)	11/15/14	11.875	1,984,500
1,250		Oasis Petroleum, Inc., Rule 144A, Senior Notes (Callable 02/01/15 @ $103.63)‡	(B-, Caa1)	02/01/19	7.250	1,275,000
475		Penn Virginia Corp., Senior Notes (Callable 06/15/13 @ $105.19)	(BB-, B2)	06/15/16	10.375	536,750
950		PetroHawk Energy Corp., Global Company Guaranteed Notes (Callable 06/01/12 @ $103.94)	(B+, B3)	06/01/15	7.875	1,011,750
475		Pioneer Natural Resources Co., Senior Unsecured Notes	(BB+, Ba1)	01/15/20	7.500	528,570
625		Plains Exploration & Production Co., Company Guaranteed Notes (Callable 06/15/11 @ $103.88)	(BB-, B1)	06/15/15	7.750	657,812
225		Stone Energy Corp., Company Guaranteed Notes (Callable 02/01/14 @ $104.31)	(B, Caa1)	02/01/17	8.625	232,875
1,525		Stone Energy Corp., Global Senior Subordinated Notes (Callable 12/15/11 @ $101.13)	(CCC+, Caa2)	12/15/14	6.750	1,505,937
475		Swift Energy Co., Company Guaranteed Notes (Callable 06/01/12 @ $103.56)	(BB-, B3)	06/01/17	7.125	487,469
1,750		W&T Offshore, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/11 @ $104.13)‡	(B+, Caa1)	06/15/14	8.250	1,767,500
450		Whiting Petroleum Corp., Global Company Guaranteed Notes	(BB, Ba3)	02/01/14	7.000	479,250
						21,496,288
Environmental (1.1%)
1,100		Casella Waste Systems, Inc., Global Senior Secured Notes (Callable 07/15/12 @ $105.50)	(BB-, B2)	07/15/14	11.000	1,240,250
600		Covanta Holding Corp., Senior Unsecured Notes (Callable 12/01/15 @ $103.63)	(B, Ba3)	12/01/20	7.250	619,831
550		EnergySolutions LLC, Rule 144A, Company Guaranteed Notes (Callable 08/15/14 @ $105.38)‡	(BB-, B3)	08/15/18	10.750	624,250
						2,484,331
Food & Drug Retailers (0.5%)
725		Rite Aid Corp., Global Company Guaranteed Notes (Callable 06/15/11 @ $104.69)§	(CCC, Caa3)	12/15/15	9.375	633,469

Par (000)			Ratings† (S&P/Moody’s)	Maturity	Rate%	Value

CORPORATE BONDS
Food & Drug Retailers
$	475	Rite Aid Corp., Global Senior Secured Notes (Callable 06/12/13 @ $104.88)§	(B+, B3)	06/12/16	9.750	$	532,000
						1,165,469
Food - Wholesale (1.8%)
1,650		NBTY, Inc., Rule 144A, Company Guaranteed Notes (Callable 10/01/14 @ $104.50)‡	(B, B3)	10/01/18	9.000	1,786,125
2,075		Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 05/15/13 @ $105.63)‡	(B+, B3)	05/15/15	11.250	2,251,375
						4,037,500
Forestry & Paper (1.8%)
728		Boise Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/11 @ $101.19)	(B+, Caa1)	10/15/14	7.125	720,720
500		Smurfit Kappa Acquisitions, Rule 144A, Senior Secured Notes (Callable 11/15/13 @ $103.63)‡	(BB, Ba2)	11/15/17	7.250	724,916
1,000		Smurfit Kappa Funding PLC, Global Senior Subordinated Notes (Callable 01/31/12 @ $101.29)	(B, B2)	04/01/15	7.750	1,022,500
300		Verso Paper, Inc., Rule 144A, Senior Secured Notes (Callable 02/01/15 @ $104.38)‡	(B, B2)	02/01/19	8.750	312,375
1,125		Verso Paper, Inc., Series B, Global Company Guaranteed Notes (Callable 08/01/11 @ $105.69)§	(CCC+, Caa1)	08/01/16	11.375	1,217,812
						3,998,323
Gaming (10.4%)
775		Buffalo Thunder Development Authority, Rule 144A, Senior Secured Notes (Callable 12/15/11 @ $102.34)ø‡	(NR, NR)	12/15/14	9.375	251,875
2,000		CCM Merger, Inc., Rule 144A, Notes (Callable 08/01/11 @ $100.00)‡	(CCC+, Caa3)	08/01/13	8.000	2,000,000
270		Choctaw Resort Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/11 @ $103.63)‡	(B, B3)	11/15/19	7.250	198,450
1,590		Chukchansi Economic Development Authority, Rule 144A, Senior Unsecured Notes (Callable 11/15/11 @ $100.00)‡	(B+, B3)	11/15/13	8.000	1,113,000
1,500		Cirsa Funding Luxembourg SA, Rule 144A, Company Guaranteed Notes (Callable 05/15/14 @ $104.38)‡	(NR, NR)	05/15/18	8.750	2,087,346
600		Codere Finance Luxembourg SA, Rule 144A, Senior Secured Notes (Callable 06/15/11 @ $102.75)‡	(B, B2)	06/15/15	8.250	836,995
625		Fontainebleau Las Vegas Holdings LLC, Rule 144A, Second Mortgage Notes (Callable 06/15/11 @ $105.13)ø‡	(NR, NR)	06/15/15	10.250	2,344
1,950		Great Canadian Gaming Corp., Rule 144A, Company Guaranteed Notes (Callable 02/15/11 @ $103.63)‡	(BB, B2)	02/15/15	7.250	2,003,625
1,700		Greektown Superholdings, Inc., Rule 144A, Senior Secured Notes (Callable 01/01/13 @ $106.50)‡	(NR, NR)	07/01/15	13.000	1,933,750
750		Inn of the Mountain Gods Resort & Casino, Global Company Guaranteed Notesø	(NR, NR)	11/15/10	12.000	423,750
3,025		Jacobs Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/15/11 @ $102.44)	(B-, Caa1)	06/15/14	9.750	3,040,125
950		Majestic Star Casino Capital Corp., Senior Secured Notesø	(NR, NR)	10/15/10	9.500	527,250
3,000		MTR Gaming Group, Inc., Global Secured Notes (Callable 07/15/11 @ $106.31)	(B, B2)	07/15/14	12.625	3,168,750
600		Peermont Global Proprietary, Ltd., Rule 144A, Senior Secured Notes (Callable 04/30/11 @ $103.88)‡	(B, B3)	04/30/14	7.750	744,452
950		Peninsula Gaming LLC, Global Company Guaranteed Notes (Callable 08/15/13 @ $105.38)	(B, Caa1)	08/15/17	10.750	1,052,125
1,425		Peninsula Gaming LLC, Global Senior Secured Notes (Callable 08/15/12 @ $104.19)	(BB, Ba3)	08/15/15	8.375	1,517,625
670		Tropicana Finance Corp., Global Senior Subordinated Notes (Callable 12/15/11 @ $102.41)ø	(NR, NR)	12/15/14	9.625	754
2,585		Tunica-Biloxi Gaming Authority, Rule 144A, Senior Unsecured Notes (Callable 11/15/11 @ $103.00)‡	(B+, B2)	11/15/15	9.000	2,572,075
						23,474,291
Gas Distribution (3.2%)
400		El Paso Corp., Senior Unsecured Notes	(BB-, Ba3)	06/01/18	7.250	439,173
2,900		Energy Transfer Equity LP, Company Guaranteed Notes	(BB-, Ba2)	10/15/20	7.500	3,113,875

Par (000)			Ratings† (S&P/Moody’s)	Maturity	Rate%	Value

CORPORATE BONDS
Gas Distribution
$	1,300	Genesis Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/14 @ $103.94)‡	(B+, B3)	12/15/18	7.875	$	1,303,250
425		Inergy Finance Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13)	(B+, Ba3)	03/01/16	8.250	446,250
275		Inergy Finance Corp., Global Company Guaranteed Notes (Callable 12/15/11 @ $101.15)	(B+, Ba3)	12/15/14	6.875	283,250
625		Targa Resources Partners Finance Corp., Global Company Guaranteed Notes (Callable 07/01/12 @ $104.13)	(B+, B1)	07/01/16	8.250	671,875
875		Targa Resources Partners Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/16 @ $103.44)‡	(B+, B1)	02/01/21	6.875	877,187
						7,134,860
Health Facilities (3.9%)
545		Bausch & Lomb, Inc., Global Senior Unsecured Notes (Callable 11/01/11 @ $104.94)	(B, Caa1)	11/01/15	9.875	591,325
650		Community Health Systems, Inc., Global Company Guaranteed Notes (Callable 07/15/11 @ $104.44)	(B, B3)	07/15/15	8.875	688,187
500		Hanger Orthopedic Group, Inc., Global Company Guaranteed Notes (Callable 11/15/14 @ $103.56)	(B, NR)	11/15/18	7.125	511,875
2,350		HCA, Inc., Global Secured Notes (Callable 11/15/11 @ $104.63)	(BB-, B2)	11/15/16	9.250	2,540,937
725		HCA, Inc., Global Senior Secured Notes (Callable 08/15/14 @ $103.94)	(BB, Ba3)	02/15/20	7.875	796,594
525		Omega Healthcare Investors, Inc., Global Company Guaranteed Notes (Callable 01/15/12 @ $102.33)	(BB+, Ba2)	01/15/16	7.000	541,406
450		Omega Healthcare Investors, Inc., Rule 144A, Senior Notes (Callable 10/15/15 @ $103.38)‡	(BB+, Ba2)	10/15/22	6.750	446,625
625		Radiation Therapy Services, Inc., Global Company Guaranteed Notes (Callable 04/15/14 @ $104.94)	(CCC+, Caa1)	04/15/17	9.875	634,375
900		Tenet Healthcare Corp., Global Senior Secured Notes (Callable 07/01/14 @ $104.44)	(BB-, B1)	07/01/19	8.875	1,035,000
175		Universal Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/11 @ $100.00)#	(B+, B3)	06/01/15	3.834	165,813
275		Universal Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/11 @ $101.00)	(B+, B3)	06/01/15	8.500	287,719
634		VWR Funding, Inc., Series B, Global Company Guaranteed Notes (Callable 07/15/11 @ $105.13)	(B-, Caa1)	07/15/15	10.250	670,983
						8,910,839
Health Services (1.8%)
550		PharmaNet Development Group, Inc., Rule 144A, Senior Secured Notes (Callable 04/15/14 @ 105.44)‡	(B+, B3)	04/15/17	10.875	585,750
1,000		Quintiles Transnational Corp., Rule 144A, Senior Notes (Callable 12/30/11 @ $102.00)‡	(B, B3)	12/30/14	9.500	1,027,500
400		Service Corp. International, Global Senior Unsecured Notes	(BB-, B1)	10/01/18	7.625	432,000
425		Service Corp. International, Senior Unsecured Notes	(BB-, B1)	11/15/21	8.000	466,438
1,525		Warner Chilcott Finance LLC, Rule 144A, Company Guaranteed Notes (Callable 09/15/14 @ $103.88)‡	(B+, B3)	09/15/18	7.750	1,593,625
						4,105,313
Hotels (0.4%)
725		Felcor Lodging LP, Global Senior Secured Notes§	(NR, B2)	10/01/14	10.000	824,688

lnvestments & Misc. Financial Services (0.3%)
600		SSI Co-Issuer LLC, Global Company Guaranteed Notes (Callable 06/01/14 @ $105.56)	(B-, Caa1)	06/01/18	11.125	672,000

Leisure (0.7%)
400		Magnum Management Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ $104.56)‡	(B-, B2)	08/01/18	9.125	433,000
1,040		UCDP Finance, Inc., Global Company Guaranteed Notes (Callable 11/15/12 @ $104.44)	(CCC+, B3)	11/15/15	8.875	1,128,400
						1,561,400
Machinery (1.1%)
1,200		Amtrol, Inc.	(NR, NR)	06/05/14	8.250	840,000

Par (000)			Ratings† (S&P/Moody’s)	Maturity	Rate%	Value

CORPORATE BONDS
Machinery
$	650	Baldor Electric Co., Company Guaranteed Notes (Callable 02/15/12 @ $104.31)	(A, B3)	02/15/17	8.625	$	728,000
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	260,000
						2,397,625
Media - Broadcast (2.5%)
795		Barrington Broadcasting Capital Corp., Global Company Guaranteed Notes (Callable 08/15/11 @ $102.63)	(CCC-, Caa2)	08/15/14	10.500	795,994
200		Clear Channel Worldwide Holdings, Inc., Global Company Guaranteed Notes (Callable 12/15/12 @ $106.94)	(B, B2)	12/15/17	9.250	222,000
775		Clear Channel Worldwide Holdings, Inc., Series B, Global Company Guaranteed Notes (Callable 12/15/12 @ $106.94)	(B, B2)	12/15/17	9.250	862,187
74		CMP Susquehanna Corp., Global Company Guaranteed Notes	(NR, NR)	05/15/14	3.272	51,800
550		Fisher Communications, Inc., Global Company Guaranteed Notes (Callable 09/15/11 @ $101.44)	(NR, B2)	09/15/14	8.625	565,125
1,650		Mission Broadcasting, Inc., Rule 144A, Senior Secured Notes (Callable 04/15/14 @ $104.44)‡	(B, B3)	04/15/17	8.875	1,786,125
750		Nexstar Broadcasting, Inc., Global Company Guaranteed Notes (Callable 01/15/12 @ $100.00)	(CCC+, Caa2)	01/15/14	7.000	736,875
700		Sinclair Television Group, Inc., Rule 144A, Senior Notes (Callable 10/15/14 @ $104.19)‡	(B-, B2)	10/15/18	8.375	728,000
1,525		Young Broadcasting, Inc., Global Company Guaranteed Notes (Callable 01/15/12 @ $100.00)ø^	(NR, NR)	01/15/14	8.750	0
						5,748,106
Media - Cable (6.3%)
1,375		Atlantic Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/12 @ $100.00)	(B-, B3)	01/15/14	9.375	1,405,937
200		Cablevision Systems Corp., Senior Unsecured Notes	(B+, B1)	04/15/18	7.750	213,500
1,150		Cablevision Systems Corp., Senior Unsecured Notes	(B+, B1)	04/15/20	8.000	1,253,500
731		CCH II Capital Corp., Global Senior Notes (Callable 11/30/12 @ $106.75)	(B, B2)	11/30/16	13.500	887,803
1,925		CCO Holdings Capital Corp., Global Company Guaranteed Notes (Callable 04/30/15 @ $104.06)	(B+, B2)	04/30/20	8.125	2,059,750
2,000		Cequel Capital Corp., Rule 144A, Senior Unsecured Notes (Callable 11/15/12 @ $106.47)‡	(B-, B3)	11/15/17	8.625	2,102,500
675		CSC Holdings LLC, Global Senior Unsecured Notes	(BB, Ba3)	02/15/19	8.625	777,938
1,500		DISH DBS Corp., Global Company Guaranteed Notes	(BB-, Ba3)	09/01/19	7.875	1,595,625
1,425		Insight Communications Co., Inc., Rule 144A, Senior Notes (Callable 07/15/13 @ $107.03)‡	(B-, B3)	07/15/18	9.375	1,563,937
175		Mediacom Broadband Corp., Global Senior Unsecured Notes (Callable 10/15/11 @ $102.83)	(B-, B3)	10/15/15	8.500	180,250
650		Mediacom Capital Corp., Global Unsecured Notes (Callable 08/15/14 @ $104.56)§	(B-, B3)	08/15/19	9.125	674,375
200		Unitymedia NRW GmbH, Rule 144A, Senior Secured Notes (Callable 12/01/12 @ $108.22)‡	(BB-, B1)	12/01/17	8.125	297,507
150		Virgin Media Finance PLC, Global Company Guaranteed Notes (Callable 08/15/11 @ $104.56)	(B+, Ba3)	08/15/16	9.125	160,500
1,000		Virgin Media Finance PLC, Global Company Guaranteed Notes (Callable 10/15/14 @ $104.19)	(B+, Ba3)	10/15/19	8.375	1,112,500
						14,285,622
Media - Diversified (1.3%)
2,225		Block Communications, Inc., Rule 144A, Senior Notes (Callable 12/15/11 @ $102.75)‡	(B, B1)	12/15/15	8.250	2,280,625
600		Quebecor Media, Inc., Global Senior Unsecured Notes (Callable 03/15/11 @ $103.88)	(B+, B1)	03/15/16	7.750	625,500
						2,906,125
Media - Services (2.2%)
1,000		ConvaTec Healthcare E SA, Rule 144A, Senior Unsecured Notes (Callable 12/15/14 @ $105.25)‡§	(B, Caa1)	12/15/18	10.500	1,068,750

Par (000)			Ratings† (S&P/Moody’s)	Maturity	Rate%	Value

CORPORATE BONDS
Media - Services
$	450	Nielsen Finance Co., Global Company Guaranteed Notes (Callable 05/01/13 @ $105.75)	(B, Caa1)	05/01/16	11.500	$	527,062
600		SGS International, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $100.00)	(B, B3)	12/15/13	12.000	623,250
2,375		WMG Acquisition Corp., Global Company Guaranteed Notes (Callable 04/15/11 @ $101.23)	(B-, B1)	04/15/14	7.375	2,363,125
400		WMG Acquisition Corp., Global Senior Secured Notes (Callable 06/15/13 @ $104.75)	(BB-, Ba2)	06/15/16	9.500	429,500
						5,011,687
Metals & Mining - Excluding Steel (0.9%)
500		FMG Resources August 2006 Pty, Ltd., Rule 144A, Senior Notes (Callable 11/01/12 @ $105.25)‡	(B, B1)	11/01/15	7.000	518,750
1,589		Noranda Aluminium Acquisition Corp., Global Company Guaranteed Notes#	(CCC+, B3)	05/15/15	5.193	1,501,427
225		Old AII, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $102.25)ø	(NR, NR)	12/15/14	9.000	1,125
1,100		Old AII, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $105.00)ø	(NR, NR)	12/15/16	10.000	2,860
						2,024,162
Oil Field Equipment & Services (5.9%)
500		Abengoa Finance SAU, Rule 144A, Company Guaranteed Notes‡	(B+, Ba3)	11/01/17	8.875	490,625
550		Bristow Group, Inc., Global Company Guaranteed Notes (Callable 09/15/12 @ $103.75)	(BB, Ba2)	09/15/17	7.500	583,000
475		Cie Generale de Geophysique-Veritas, Global Company Guaranteed Notes (Callable 05/15/11 @ $102.50)	(BB-, Ba3)	05/15/15	7.500	491,625
625		Edgen Murray Corp., Global Senior Secured Notes (Callable 01/15/13 @ $106.13)	(B-, Caa2)	01/15/15	12.250	568,750
2,325		Frac Tech Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/14 @ $103.56)‡	(B+, B2)	11/15/18	7.125	2,386,031
550		Helix Energy Solutions Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ $104.75)‡	(CCC+, B3)	01/15/16	9.500	576,125
300		Hornbeck Offshore Services, Inc., Global Company Guaranteed Notes (Callable 09/01/13 @ $104.00)	(B+, Ba3)	09/01/17	8.000	309,375
350		Hornbeck Offshore Services, Inc., Series B, Global Company Guaranteed Notes (Callable 12/01/11 @ $101.02)	(B+, Ba3)	12/01/14	6.125	348,250
750		Key Energy Services, Inc., Global Company Guaranteed Notes (Callable 12/01/11 @ $104.19)	(BB-, B1)	12/01/14	8.375	802,500
200		McJunkin Red Man Corp., Rule 144A, Senior Secured Notes (Callable 12/15/12 @ $107.13)‡	(B-, B3)	12/15/16	9.500	199,250
950		Offshore Group Investments, Ltd., Rule 144A, Senior Secured Notes (Callable 02/01/13 @ $108.63)‡	(B-, B3)	08/01/15	11.500	1,061,625
500		Parker Drilling Co., Global Company Guaranteed Notes (Callable 04/01/14 @ $104.56)	(B+, B1)	04/01/18	9.125	530,000
2,000		Pioneer Drilling Co., Global Company Guaranteed Notes (Callable 03/15/14 @ $104.94)	(B, NR)	03/15/18	9.875	2,172,500
200		Pride International, Inc., Senior Unsecured Notes	(BBB-, Ba1)	06/15/19	8.500	238,000
2,500		Trinidad Drilling, Ltd., Rule 144A, Senior Unsecured Notes (Callable 01/15/15 @ $103.94)‡	(BB-, B2)	01/15/19	7.875	2,600,000
						13,357,656
Oil Refining & Marketing (2.2%)
203		Coffeyville Finance, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/12 @ $106.75)‡	(BB-, Ba3)	04/01/15	9.000	222,285
2,600		Coffeyville Finance, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/13 @ $108.16)‡	(BB-, B3)	04/01/17	10.875	2,905,500
525		Tesoro Corp., Company Guaranteed Notes (Callable 06/01/14 @ $104.88)	(BB+, Ba1)	06/01/19	9.750	593,250
1,050		Western Refining, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/11 @ $105.00)#‡	(NR, B3)	06/15/14	10.750	1,160,250
						4,881,285

Par (000)			Ratings† (S&P/Moody’s)	Maturity	Rate%	Value

CORPORATE BONDS
Packaging (6.6%)
$	2,425	Ardagh Packaging Finance PLC, Rule 144A, Senior Secured Notes (Callable 10/15/14 @ $103.69)‡	(BB-, Ba3)	10/15/17	7.375	$	3,407,790
525		Berry Plastics Corp., Global Senior Secured Notes (Callable 11/15/12 @ $104.13)	(B, B1)	11/15/15	8.250	569,625
275		BWAY Holding Co., Rule 144A, Company Guaranteed Notes (Callable 06/15/14 @ $105.00)‡	(CCC+, B3)	06/15/18	10.000	301,125
1,000		Crown Americas Capital Corp. III, Rule 144A, Senior Notes (Callable 02/01/16 @ $103.13)‡	(BB-, Ba3)	02/01/21	6.250	1,012,500
1,000		GPC Capital Corp. I, Global Company Guaranteed Notes (Callable 01/01/14 @ $104.13)	(B-, Caa1)	01/01/17	8.250	1,055,000
725		GPC Capital Corp. I, Global Company Guaranteed Notes (Callable 10/15/11 @ $101.65)	(B-, Caa1)	10/15/14	9.875	754,000
1,300		Packaging Dynamics Corp., Rule 144A, Senior Secured Notes (Callable 02/01/13 @ $104.38)‡	(B, B3)	02/01/16	8.750	1,330,875
1,135		Pregis Corp., Global Secured Notes#	(B, B2)	04/15/13	5.998	1,509,402
1,000		Pregis Corp., Global Secured Notes#	(B, B2)	04/15/13	5.998	1,329,869
2,475		Reynolds Group Issuer LLC, Rule 144A, Senior Notes (Callable 10/15/14 @ $104.50)‡	(B-, Caa1)	04/15/19	9.000	2,611,125
700		Reynolds Group Issuer LLC, Rule 144A, Senior Secured Notes (Callable 10/15/12 @ $103.88)‡	(BB, Ba3)	10/15/16	7.750	742,000
300		Reynolds Group Issuer LLC, Rule 144A, Senior Secured Notes (Callable 10/15/14 @ $103.56)‡	(BB, Ba3)	04/15/19	7.125	311,250
						14,934,561
Pharmaceuticals (0.7%)
1,250		Giant Funding Corp., Rule 144A, Secured Notes (Callable 02/01/14 @ $106.19)‡	(B, B3)	02/01/18	8.250	1,301,563
374		QHP Royalty Sub LLC, Rule 144A, Senior Secured Notes‡	(NR, NR)	03/15/15	10.250	377,952
						1,679,515
Printing & Publishing (2.0%)
950		Cengage Learning Acquisitions, Inc., Rule 144A, Senior Notes (Callable 07/15/11 @ $105.25)‡	(CCC+, Caa2)	01/15/15	10.500	992,750
1,000		Cenveo Corp., Global Senior Subordinated Notes (Callable 12/01/11 @ $100.00)§	(CCC+, Caa2)	12/01/13	7.875	960,000
1,212		Sun Media Corp., Global Company Guaranteed Notes (Callable 02/15/11 @ $100.00)	(BB-, Ba2)	02/15/13	7.625	1,216,545
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	1,373,625
						4,542,920
Real Estate Development & Management (0.5%)
1,300		Icahn Enterprises LP, Rule 144A, Senior Unsecured Notes#‡	(NR, NR)	08/15/13	4.000	1,248,000

Real Estate Investment Trusts (1.2%)
2,500		Sabra Capital Corp., Rule 144A, Company Guaranteed Notes (Callable 11/01/14 @ $104.06)‡	(B, B2)	11/01/18	8.125	2,606,250

Restaurants (2.4%)
2,000		CKE Restaurants, Inc., Global Senior Secured Notes (Callable 07/15/14 @ $105.69)§	(B, B2)	07/15/18	11.375	2,260,000
3,100		Real Mex Restaurants, Inc., Global Senior Secured Notes (Callable 07/01/11 @ $102.00)	(B-, B3)	01/01/13	14.000	3,239,500
						5,499,500
Software/Services (3.9%)
2,000		Serena Software, Inc., Global Company Guaranteed Notes (Callable 03/15/11 @ $105.19)	(CCC+, Caa1)	03/15/16	10.375	2,062,500
1,000		SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/11 @ $103.42)	(B-, Caa1)	08/15/15	10.250	1,056,250
1,000		SunGard Data Systems, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/15/13 @ $105.53)‡	(B, Caa1)	11/15/18	7.375	1,025,000
525		Unisys Corp., Rule 144A, Senior Secured Notes (Callable 10/15/12 @ $106.38)‡	(BB, Ba1)	10/15/14	12.750	632,625
1,150		Unisys Corp., Senior Unsecured Notes (Callable 01/15/12 @ $106.25)	(B+, B2)	01/15/16	12.500	1,285,125

Par (000)			Ratings† (S&P/Moody’s)	Maturity	Rate%	Value

CORPORATE BONDS
Software/Services
$	2,870	Vangent, Inc., Global Company Guaranteed Notes (Callable 02/15/11 @ $104.81)	(CCC+, Caa2)	02/15/15	9.625	$	2,719,325
						8,780,825
Specialty Retail (0.6%)
600		Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 03/15/12 @ $103.81)	(B-, Caa1)	03/15/17	7.625	612,000
325		Penske Automotive Group, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $103.88)	(B-, Caa1)	12/15/16	7.750	333,938
460		Yankee Acquisition Corp., Series B, Global Company Guaranteed Notes (Callable 02/15/11 @ $104.25)	(B-, B3)	02/15/15	8.500	483,000
						1,428,938
Steel Producers/Products (0.9%)
800		California Steel Industries, Inc., Global Senior Notes (Callable 03/15/11 @ $101.02)	(BB-, B1)	03/15/14	6.125	792,000
700		Ryerson, Inc., Global Senior Secured Notes (Callable 11/01/11 @ $106.00)	(CCC+, Caa1)	11/01/15	12.000	745,500
525		Tube City IMS Corp., Global Company Guaranteed Notes (Callable 02/01/11 @ $104.88)	(B-, Caa1)	02/01/15	9.750	548,625
						2,086,125
Support-Services (3.9%)
800		Ashtead Capital, Inc., Rule 144A, Secured Notes (Callable 08/15/11 @ $104.50)‡	(B+, B2)	08/15/16	9.000	854,000
1,500		Brickman Group Holdings, Inc., Rule 144A, Senior Notes (Callable 11/01/13 @ $106.84)‡	(CCC+, B3)	11/01/18	9.125	1,584,375
275		DynCorp International, Inc., Rule 144A, Senior Unsecured Notes (Callable 07/01/14 @ 105.19)‡	(B, B1)	07/01/17	10.375	285,313
1,225		Garda World Security Corp., Rule 144A, Senior Unsecured Notes (Callable 03/15/14 @ $104.88)‡	(B, B3)	03/15/17	9.750	1,319,937
1,975		Maxim Crane Works LP, Rule 144A, Senior Secured Notes (Callable 04/15/12 @ $109.19)‡	(B, Caa1)	04/15/15	12.250	2,009,562
625		RSC Holdings III LLC, Rule 144A, Senior Unsecured Notes (Callable 02/01/16 @ $104.13)‡	(B-, Caa1)	02/01/21	8.250	642,188
550		The Geo Group, Inc., Global Company Guaranteed Notes (Callable 10/15/13 @ $103.88)	(B+, B1)	10/15/17	7.750	580,250
1,150		Travelport LLC, Global Company Guaranteed Notes (Callable 09/01/11 @ $105.94)§	(CCC, Caa1)	09/01/16	11.875	1,112,625
300		United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 06/15/13 @ $105.44)	(B, B2)	06/15/16	10.875	347,250
						8,735,500
Telecom - Integrated/Services (2.1%)
575		Frontier Communications Corp., Global Senior Unsecured Notes	(BB, Ba2)	04/15/20	8.500	651,187
525		Frontier Communications Corp., Senior Unsecured Notes	(BB, Ba2)	10/01/18	8.125	593,906
550		Hellas Telecommunications II SCA, Rule 144A, Subordinated Notesø#‡	(NR, NR)	01/15/15	6.034	4,125
700		HNS Finance Corp., Global Company Guaranteed Notes (Callable 04/15/11 @ $102.38)	(B, B1)	04/15/14	9.500	726,250
25		Intelsat Subsidiary Holding Co., Ltd., Global Company Guaranteed Notes (Callable 01/15/12 @ $101.48)	(B+, B3)	01/15/15	8.875	25,938
950		Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 02/01/14 @ $105.00)	(CCC, Caa1)	02/01/18	10.000	954,750
175		Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 02/15/11 @ $100.00)#	(CCC, Caa1)	02/15/15	4.344	157,938
850		Paetec Holding Corp., Global Company Guaranteed Notes (Callable 07/15/11 @ $104.75)	(CCC+, Caa1)	07/15/15	9.500	894,625
175		Qwest Communications International, Inc., Global Company Guaranteed Notes (Callable 10/01/12 @ $104.00)	(B+, Ba2)	10/01/15	8.000	190,312
450		Windstream Corp., Global Company Guaranteed Notes (Callable 08/01/11 @ $104.31)	(B+, Ba3)	08/01/16	8.625	479,250
						4,678,281

Par (000)			Ratings† (S&P/Moody’s)	Maturity	Rate%	Value

CORPORATE BONDS
Telecom - Wireless (2.0%)
$	1,200	Brightstar Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/14 @ $104.75)‡	(BB-, B1)	12/01/16	9.500	$	1,254,000
250		Cricket Communications, Inc., Global Senior Secured Notes (Callable 05/15/12 @ $105.81)	(B+, Ba2)	05/15/16	7.750	264,375
1,050		GeoEye, Inc., Global Senior Secured Notes (Callable 10/01/13 @ $104.81)	(BB-, Ba3)	10/01/15	9.625	1,191,750
300		GeoEye, Inc., Senior Secured Notes (Callable 10/01/13 @ $104.31)	(B-, B3)	10/01/16	8.625	318,750
375		Sprint Nextel Corp., Senior Unsecured Notes	(BB-, Ba3)	12/01/16	6.000	370,313
750		Wind Acquisition Finance SA, Rule 144A, Company Guaranteed Notes (Callable 07/15/13 @ $105.88)‡	(B+, B2)	07/15/17	11.750	1,028,722
						4,427,910
Telecommunications Equipment (1.3%)
1,850		Avaya, Inc., Global Company Guaranteed Notes (Callable 11/01/11 @ $104.88)	(CCC+, Caa2)	11/01/15	9.750	1,924,000
950		CommScope, Inc., Rule 144A, Senior Notes (Callable 01/15/15 @ $104.13)‡	(B, B3)	01/15/19	8.250	990,375
						2,914,375
Textiles & Apparel (0.0%)
75		IT Holding Finance SA, Rule 144A, Company Guaranteed Notesø‡	(NR, NR)	11/15/12	9.875	2,581

Theaters & Entertainment (2.4%)
3,390		AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 03/01/11 @ $101.33)	(CCC+, Caa1)	03/01/14	8.000	3,449,325
750		AMC Entertainment, Inc., Global Senior Unsecured Notes (Callable 06/01/14 @ $104.38)	(B-, B1)	06/01/19	8.750	808,125
500		NAI Entertainment Holdings LLC, Rule 144A, Senior Secured Notes (Callable 12/15/13 @ $106.19)‡	(BB, B1)	12/15/17	8.250	535,000
575		Regal Entertainment Group, Company Guaranteed Notes (Callable 08/15/14 @ $104.56)	(B-, B3)	08/15/18	9.125	615,969
						5,408,419
Tobacco (0.8%)
1,850		Vector Group, Ltd., Global Senior Secured Notes (Callable 08/15/11 @ $105.50)	(B+, B1)	08/15/15	11.000	1,921,688

Transportation - Excluding Air/Rail (2.1%)
650		Navios Maritime Finance II US, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/15 @ $104.06)‡	(B+, B3)	02/15/19	8.125	637,000
3,530		Ship Finance International, Ltd., Global Company Guaranteed Notes (Callable 12/15/11 @ $100.00)	(B+, B1)	12/15/13	8.500	3,600,600
525		Teekay Corp., Global Senior Unsecured Notes	(BB, B1)	01/15/20	8.500	568,313
						4,805,913
TOTAL CORPORATE BONDS (Cost $284,687,426)						292,933,904

BANK LOANS (6.4%)
Banks (0.4%)
952		OCWEN Financial Corp.	(NR, NR)	07/31/15	9.000	954,762

Building Materials (0.5%)
1,000		Goodman Global, Inc.	(NR, NR)	10/28/16	9.000	1,007,750

Food - Wholesale (0.9%)
2,000		Great Atlantic & Pacific Tea Co., Inc.	(NR, NR)	06/15/12	8.750	2,026,260

Gaming (0.2%)
474		CCM Merger, Inc.	(NR, NR)	07/21/12	7.250	474,596

Metals & Mining - Excluding Steel (0.9%)
1,995		Global Brass and Copper, Inc.	(NR, NR)	08/13/15	10.250	2,064,578

Par (000)			Ratings† (S&P/Moody’s)	Maturity	Rate%	Value

BANK LOANS
Packaging (0.9%)
$	2,000	Hilex Poly Co. LLC	(NR, NR)	11/16/15	11.250	$	2,000,000

Pharmaceuticals (0.1%)
308		Nycomed Holdings Aps	(NR, NR)	12/29/13	3.250	300,030

Software/Services (0.9%)
2,000		SafeNet, Inc.	(NR, NR)	04/15/12	6.000	1,976,660

Support-Services (1.1%)
2,500		BNY Convergex Group LLC	(NR, NR)	11/29/17	7.000	2,517,500

Telecommunications Equipment (0.5%)
1,058		Avaya, Inc.	(NR, NR)	10/24/14	2.750	1,037,532

TOTAL BANK LOANS (Cost $13,556,009)						14,359,668

Number of Shares

COMMON STOCKS (1.5%)
Banks (0.3%)
13,710		CIT Group, Inc.*	653,830

Building Materials (0.0%)
437		Nortek, Inc.*	16,715

Chemicals (0.0%)
4,893		Huntsman Corp.	85,187

Forestry & Paper (0.7%)
	18,237	AbitibiBowater, Inc.*	492,764
29,519		Smurfit-Stone Container Corp.*	1,102,534
			1,595,298
Leisure (0.5%)
17,809		Six Flags Entertainment Corp.*	1,056,786

Printing & Publishing (0.0%)
1,322		SuperMedia, Inc.*§	9,400

TOTAL COMMON STOCKS (Cost $3,709,010)			3,417,216

PREFERRED STOCKS (0.2%)
Banks (0.2%)
473		Ally Financial, Inc., Rule 144A (Callable 12/31/11 @ $1,000)‡	454,553

Media - Broadcast (0.0%)
17,257		CMP Susquehanna Radio Holdings Corp., Rule 144A, Series A*^‡	17

TOTAL PREFERRED STOCKS (Cost $97,183)			454,570

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*‡^	20

Printing & Publishing (0.0%)
5,735		The Readers Digest Association, Inc., strike price $0.00, expires 02/19/14*^	0

TOTAL WARRANTS (Cost $1,152)			1,172

Number of Shares		Value

SHORT-TERM INVESTMENTS (6.8%)
10,207,169	State Street Navigator Prime Portfolio, 0.2957% §§	$	10,207,169

Par (000)			Maturity	Rate%

$	5,295	State Street Bank and Trust Co. Euro Time Deposit	02/01/11	0.010	5,295,000

TOTAL SHORT-TERM INVESTMENTS (Cost $15,502,169)					15,502,169

TOTAL INVESTMENTS AT VALUE (144.4%) (Cost $317,552,949)					326,668,699

LIABILITIES IN EXCESS OF OTHER ASSETS (-44.4%)					(100,513,928		)

NET ASSETS (100.0%)					$	226,154,771

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, 2011, these securities amounted to a value of $134,744,246 or 59.6% 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 January 31, 2011.
+	Step Bond — The interest rate is as of January 31, 2011 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. The rate shown is the annualized seven-day yield at January 31, 2011.

Forward Foreign Currency to be Purchased (Local)		Forward Foreign Currency to be Sold (Local)		Expiration Date	Counterparty	Value on Settlement Date			Current Value			Unrealized Depreciation

Open Forward Foreign Currency Contract
USD	14,309,957	EUR	10,755,000	04/14/11	Morgan Stanley	$	(14,309,957	)	$	(14,731,883	)	$	(421,926	)

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. Debt securities are generally categorized as Level 2. 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. Equity investments are generally categorized as Level 1. Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and are generally categorized as Level 2. Investments in open-end investment companies are valued at their net asset value each business day and are generally categorized as Level 1. 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 and are generally categorized as Level 3. At January 31, 2011, the Fund held less than 0.01% of its net assets in securities valued at fair value as determined in good faith under procedures established by the Board of Trustees with an aggregate cost of $1,837,586 and fair value of $1,189. 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.

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. In accordance with the Fund’s valuation procedures, factors used in determining value may include, but are not limited to, the type of the security, the size of the holding, the initial cost of the security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies, quotations or evaluated prices from broker-dealers and/or pricing services, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or issuer’s financial statements, an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold and with respect to debt securities, the maturity, coupon, creditworthiness, currency denomination, and the movement of the market in which the security is normally traded. 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, 2011 in valuing the Fund’s investments carried at value:

	Level 1		Level 2			Level 3		Total
Investments in Securities
Corporate Bonds	$	—	$	292,933,904		$	—	$	292,933,904
Bank Loans	—		14,359,668			—		14,359,668
Common Stocks	3,417,216		—			—		3,417,216
Preferred Stocks	454,553		—			17		454,570
Warrants	—		—			1,172		1,172
Short-Term Investments	10,207,169		5,295,000			—		15,502,169
Other Financial Instruments *
Forward Foreign Currency Contract	—		(421,926		)	—		(421,926		)
	$	14,078,938	$	312,166,646		$	1,189	$	326,246,773

* Other financial instruments include futures, forwards and swap contracts.

As of January 31, 2011, 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 January 31, 2011, there were no significant transfers in and out of Level 1 and Level 2.

Federal Income Tax Cost — At January 31, 2011, 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 appreciation from investments were $317,552,949, $20,857,799, $(11,742,049) and $9,115,750, 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:	March 18, 2011

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

/s/John G. Popp
Name:	John G. Popp
Title:	Chief Executive Officer
Date:	March 18, 2011

/s/Michael A. Pignataro
Name:	Michael A. Pignataro
Title:	Chief Financial Officer
Date:	March 18, 2011