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, 2011 to July 31, 2011 |
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Item 1: Schedule of Investments
Credit Suisse High Yield Bond Fund
Schedule of Investments
July 31, 2011 (unaudited)
|
Par |
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|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
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|
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CORPORATE BONDS (128.7%) |
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Aerospace & Defense (0.5%) |
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|
|
|
|
|
|
|
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|
$ |
1,000 |
|
Ducommun, Inc., Rule 144A, Senior Notes (Callable 07/15/15 @ $104.88)‡ |
|
(B-, B3) |
|
07/15/18 |
|
9.750 |
|
$ |
1,032,500 |
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
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Auto Parts & Equipment (5.1%) |
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|
|
|
|
|
|
|
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|
1,000 |
|
Affinia Group, Inc., Global Company Guaranteed Notes (Callable 11/30/11 @ $101.50) |
|
(CCC+, B3) |
|
11/30/14 |
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9.000 |
|
1,020,000 |
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|
315 |
|
American Axle & Manufacturing Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 01/15/14 @ $104.63)ठ|
|
(BB, Ba1) |
|
01/15/17 |
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9.250 |
|
349,256 |
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|
750 |
|
American Axle & Manufacturing, Inc., Company Guaranteed Notes (Callable 03/01/12 @ $103.94)§ |
|
(B, B2) |
|
03/01/17 |
|
7.875 |
|
769,688 |
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|
1,200 |
|
American Tire Distributors, Inc., Global Senior Secured Notes (Callable 06/01/13 @ $107.31) |
|
(B-, B2) |
|
06/01/17 |
|
9.750 |
|
1,288,500 |
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|
2,150 |
|
Mark IV USA SCA, Rule 144A, Senior Secured Notes (Callable 12/15/13 @ $106.66)‡ |
|
(BB-, Ba3) |
|
12/15/17 |
|
8.875 |
|
3,274,924 |
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|
850 |
|
Meritor, Inc., Company Guaranteed Notes (Callable 03/15/14 @ $105.31) |
|
(CCC+, B3) |
|
03/15/18 |
|
10.625 |
|
952,000 |
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|
1,950 |
|
Stanadyne Corp., Series 1, Global Senior Subordinated Notes (Callable 08/15/11 @ $101.67) |
|
(CCC, Caa1) |
|
08/15/14 |
|
10.000 |
|
1,993,875 |
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|
950 |
|
Stoneridge, Inc., Rule 144A, Senior Secured Notes (Callable 10/15/14 @ $104.75)‡ |
|
(BB-, B3) |
|
10/15/17 |
|
9.500 |
|
1,055,687 |
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|
675 |
|
UCI International, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.31) |
|
(CCC+, B3) |
|
02/15/19 |
|
8.625 |
|
695,250 |
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|
|
|
|
|
|
|
|
|
|
|
11,399,180 |
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Banks (0.3%) |
|
|
|
|
|
|
|
|
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|
650 |
|
PFG Finance Corp., Rule 144A, Senior Notes (Callable 02/15/15 @ $105.06)‡ |
|
(B, B2) |
|
02/15/19 |
|
10.125 |
|
665,438 |
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|
|
|
|
|
|
|
|
|
|
|
|
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|
Beverages (0.7%) |
|
|
|
|
|
|
|
|
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|
1,500 |
|
Beverages & More, Inc., Rule 144A, Senior Secured Notes (Callable 10/01/12 @ $104.81)‡ |
|
(B-, Caa1) |
|
10/01/14 |
|
9.625 |
|
1,582,500 |
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|
|
|
|
|
|
|
|
|
|
|
|
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Building & Construction (1.9%) |
|
|
|
|
|
|
|
|
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|
741 |
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Ashton Woods Finance Co., Rule 144A, Company Guaranteed Notes (Callable 02/24/14 @ $105.50)+‡ |
(NR, NR) |
|
06/30/15 |
|
0.000 |
|
450,158 |
| |||
|
1,300 |
|
Euramax International, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/13 @ $107.13)‡ |
|
(B-, Caa1) |
|
04/01/16 |
|
9.500 |
|
1,215,500 |
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|
600 |
|
K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes |
|
(CC, Caa2) |
|
01/15/16 |
|
6.250 |
|
345,000 |
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|
1,900 |
|
Tutor Perini Corp., Global Company Guaranteed Notes (Callable 11/01/14 @ 103.81) |
|
(BB-, Ba3) |
|
11/01/18 |
|
7.625 |
|
1,838,250 |
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|
1,000 |
|
William Lyon Homes, Inc., Company Guaranteed Notes§ |
|
(C, Caa3) |
|
04/01/13 |
|
10.750 |
|
457,500 |
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|
|
|
|
|
|
|
|
|
|
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4,306,408 |
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Building Materials (3.9%) |
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|
|
|
|
|
|
|
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|
1,100 |
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Associated Materials LLC, Senior Secured Notes (Callable 11/01/13 @ $106.84) |
|
(B, B3) |
|
11/01/17 |
|
9.125 |
|
1,116,500 |
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|
350 |
|
Calcipar SA, Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 103.44)‡ |
|
(BB-, B1) |
|
05/01/18 |
|
6.875 |
|
354,375 |
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|
1,750 |
|
Headwaters, Inc., Global Secured Notes (Callable 04/01/15 @ 103.81) |
|
(B+, B2) |
|
04/01/19 |
|
7.625 |
|
1,671,250 |
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|
3,000 |
|
International Wire Group, Inc., Rule 144A, Senior Secured Notes (Callable 10/15/12 @ $104.88)‡ |
|
(B, B3) |
|
04/15/15 |
|
9.750 |
|
3,157,500 |
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|
1,000 |
|
USG Corp., Rule 144A, Company Guaranteed Notes (Callable 10/15/14 @ $104.19)‡ |
|
(BB, B2) |
|
10/15/18 |
|
8.375 |
|
980,000 |
| ||
|
1,000 |
|
Xefin Lux SCA, Rule 144A, Senior Secured Notes (Callable 06/01/14 @ $106.00)‡ |
|
(NR, Ba3) |
|
06/01/18 |
|
8.000 |
|
1,467,537 |
| ||
|
|
|
|
|
|
|
|
|
|
|
8,747,162 |
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|
Chemicals (7.1%) |
|
|
|
|
|
|
|
|
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|
1,900 |
|
Ferro Corp., Senior Unsecured Notes (Callable 08/15/14 @ $103.94) |
|
(B+, B2) |
|
08/15/18 |
|
7.875 |
|
2,009,250 |
| ||
|
500 |
|
Hexion Nova Scotia Finance ULC, Global Secured Notes (Callable 11/15/15 @ $104.50) |
|
(CCC+, Caa1) |
|
11/15/20 |
|
9.000 |
|
520,000 |
| ||
|
400 |
|
Ineos Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/15/13 @ $104.50)‡ |
|
(B, B1) |
|
05/15/15 |
|
9.000 |
|
425,000 |
| ||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
| ||
|
|
|
|
|
|
|
|
|
|
| ||||
|
CORPORATE BONDS |
|
|
|
|
|
|
|
|
| ||||
|
Chemicals |
|
|
|
|
|
|
|
|
| ||||
|
$ |
1,675 |
|
Ineos Group Holdings PLC, Rule 144A, Company Guaranteed Notes (Callable 02/15/12 @ $102.83)ठ|
(CCC, Caa2) |
|
02/15/16 |
|
8.500 |
|
$ |
1,687,562 |
| |
|
241 |
|
Lyondell Chemical Co., Rule 144A, Senior Secured Notes (Callable 05/01/13 @ $106.00)‡ |
|
(BB+, Ba1) |
|
11/01/17 |
|
8.000 |
|
273,535 |
| ||
|
682 |
|
Momentive Performance Materials, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $106.25) |
|
(CCC, B2) |
|
06/15/14 |
|
12.500 |
|
743,380 |
| ||
|
2,000 |
|
Momentive Performance Materials, Inc., Global Secured Notes (Callable 01/15/16 @ 104.50) |
|
(CCC, Caa1) |
|
01/15/21 |
|
9.000 |
|
2,070,000 |
| ||
|
300 |
|
Nexeo Solutions Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 03/01/14 @ $104.19)‡ |
|
(B-, B3) |
|
03/01/18 |
|
8.375 |
|
313,500 |
| ||
|
2,100 |
|
Omnova Solutions, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/01/14 @ $103.94)‡ |
|
(B-, B2) |
|
11/01/18 |
|
7.875 |
|
2,052,750 |
| ||
|
760 |
|
OXEA Finance & Cy SCA, Rule 144A, Senior Secured Notes (Callable 07/15/13 @ $107.13)‡ |
|
(B+, B2) |
|
07/15/17 |
|
9.500 |
|
813,200 |
| ||
|
1,800 |
|
Polymer Group, Inc., Rule 144A, Senior Secured Notes (Callable 02/01/15 @ $103.88)‡ |
|
(B, B1) |
|
02/01/19 |
|
7.750 |
|
1,874,250 |
| ||
|
1,175 |
|
Reichhold Industries, Inc., Rule 144A, Senior Notes (Callable 08/15/11 @ $102.25)‡ |
|
(CCC+, Caa2) |
|
08/15/14 |
|
9.000 |
|
1,066,312 |
| ||
|
750 |
|
Styrolution GmbH, Rule 144A, Senior Secured Notes (Callable 05/15/13 @ 105.72)‡ |
|
(NR, B2) |
|
05/15/16 |
|
7.625 |
|
1,045,418 |
| ||
|
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 |
| ||
|
|
|
|
|
|
|
|
|
|
|
15,907,095 |
| ||
|
Computer Hardware (1.7%) |
|
|
|
|
|
|
|
|
| ||||
|
3,750 |
|
Spansion LLC, Rule 144A, Company Guaranteed Notes (Callable 11/15/13 @ $103.94)‡ |
|
(BB-, B3) |
|
11/15/17 |
|
7.875 |
|
3,871,875 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Consumer Products (2.4%) |
|
|
|
|
|
|
|
|
| ||||
|
1,600 |
|
NBTY, Inc., Company Guaranteed Notes (Callable 10/01/14 @ $104.50) |
|
(B, B3) |
|
10/01/18 |
|
9.000 |
|
1,718,000 |
| ||
|
375 |
|
Prestige Brands, Inc., Global Company Guaranteed Notes (Callable 04/01/14 @ $104.13) |
|
(B, B3) |
|
04/01/18 |
|
8.250 |
|
396,563 |
| ||
|
2,000 |
|
Prestige Brands, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/14 @ $104.13)‡ |
|
(B, B3) |
|
04/01/18 |
|
8.250 |
|
2,115,000 |
| ||
|
1,100 |
|
Spectrum Brands Holdings, Inc., Global Senior Secured Notes (Callable 06/15/14 @ $104.75) |
|
(B, B1) |
|
06/15/18 |
|
9.500 |
|
1,229,250 |
| ||
|
|
|
|
|
|
|
|
|
|
|
5,458,813 |
| ||
|
Consumer/Commercial/Lease Financing (3.1%) |
|
|
|
|
|
|
|
|
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|
500 |
|
AWAS Aviation Capital, Ltd., Rule 144A, Senior Secured Notes (Callable 10/18/13 @ $103.50)‡ |
|
(BBB-, Ba2) |
|
10/15/16 |
|
7.000 |
|
512,295 |
| ||
|
822 |
|
CIT Group, Inc., Rule 144A, Secured Notes (Callable 01/01/12 @ 100.00)‡ |
|
(B+, B2) |
|
05/04/15 |
|
7.000 |
|
825,082 |
| ||
|
380 |
|
CIT Group, Inc., Rule 144A, Secured Notes (Callable 01/01/12 @ 100.00)‡ |
|
(B+, B2) |
|
05/02/16 |
|
7.000 |
|
381,900 |
| ||
|
512 |
|
CIT Group, Inc., Rule 144A, Secured Notes (Callable 01/01/12 @ 100.00)‡ |
|
(B+, B2) |
|
05/02/17 |
|
7.000 |
|
513,920 |
| ||
|
1 |
|
CIT Group, Inc., Senior Secured Notes (Callable 01/01/12 @ $100.00) |
|
(B+, B2) |
|
05/01/15 |
|
7.000 |
|
928 |
| ||
|
0 |
|
CIT Group, Inc., Senior Secured Notes (Callable 01/01/12 @ $100.00)1 |
|
(B+, B2) |
|
05/01/16 |
|
7.000 |
|
206 |
| ||
|
0 |
|
CIT Group, Inc., Senior Secured Notes (Callable 01/01/12 @ $100.00)1 |
|
(B+, B2) |
|
05/01/17 |
|
7.000 |
|
490 |
| ||
|
675 |
|
International Lease Finance Corp., Global Senior Unsecured Notes |
|
(BBB-, B1) |
|
03/15/17 |
|
8.750 |
|
756,000 |
| ||
|
1,300 |
|
International Lease Finance Corp., Global Senior Unsecured Notes |
|
(BBB-, B1) |
|
09/15/15 |
|
8.625 |
|
1,438,125 |
| ||
|
2,300 |
|
PFG Finance Corp., Rule 144A, Senior Secured Notes (Callable 04/15/14 @ $105.13)‡ |
|
(BB, Ba3) |
|
04/15/17 |
|
10.250 |
|
2,524,250 |
| ||
|
|
|
|
|
|
|
|
|
|
|
6,953,196 |
| ||
|
Department Stores (0.3%) |
|
|
|
|
|
|
|
|
| ||||
|
600 |
|
The Neiman Marcus Group, Inc., Global Company Guaranteed Notes (Callable 10/15/11 @ $103.46) |
|
(B-, Caa1) |
|
10/15/15 |
|
10.375 |
|
631,500 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Diversified Capital Goods (2.7%) |
|
|
|
|
|
|
|
|
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|
450 |
|
Belden, Inc., Global Company Guaranteed Notes (Callable 03/15/12 @ $103.50) |
|
(B+, Ba2) |
|
03/15/17 |
|
7.000 |
|
463,500 |
| ||
|
625 |
|
Belden, Inc., Global Notes (Callable 06/15/14 @ $104.63) |
|
(B+, Ba2) |
|
06/15/19 |
|
9.250 |
|
696,094 |
| ||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
| ||
|
|
|
|
|
|
|
|
|
|
| ||||
|
CORPORATE BONDS |
|
|
|
|
|
|
|
|
| ||||
|
Diversified Capital Goods |
|
|
|
|
|
|
|
|
| ||||
|
$ |
800 |
|
Coleman Cable, Inc., Global Company Guaranteed Notes (Callable 02/15/14 @ $104.50) |
|
(B, B3) |
|
02/15/18 |
|
9.000 |
|
$ |
834,000 |
|
|
1,500 |
|
FCC Holdings, Inc., Rule 144A, Notes (Callable 12/15/12 @ $106.00)‡ |
|
(B-, B3) |
|
12/15/15 |
|
12.000 |
|
1,492,500 |
| ||
|
950 |
|
Leucadia National Corp., Global Senior Unsecured Notes (Callable 03/15/12 @ $103.56) |
|
(BB+, B1) |
|
03/15/17 |
|
7.125 |
|
993,937 |
| ||
|
800 |
|
Mueller Water Products, Inc., Global Company Guaranteed Notes (Callable 09/01/15 @ $104.38) |
|
(B+, B1) |
|
09/01/20 |
|
8.750 |
|
876,000 |
| ||
|
575 |
|
Trimas Corp., Global Senior Secured Notes (Callable 12/15/13 @ $104.88) |
|
(B-, B2) |
|
12/15/17 |
|
9.750 |
|
635,375 |
| ||
|
|
|
|
|
|
|
|
|
|
|
5,991,406 |
| ||
|
Electric - Generation (3.5%) |
|
|
|
|
|
|
|
|
| ||||
|
1,050 |
|
Calpine Corp., Rule 144A, Senior Secured Notes (Callable 07/31/15 @ $103.94)‡ |
|
(B+, B1) |
|
07/31/20 |
|
7.875 |
|
1,113,000 |
| ||
|
1,475 |
|
Edison Mission Energy, Global Senior Unsecured Notes |
|
(B-, Caa1) |
|
05/15/17 |
|
7.000 |
|
1,128,375 |
| ||
|
675 |
|
Edison Mission Energy, Global Senior Unsecured Notes |
|
(B-, Caa1) |
|
05/15/19 |
|
7.200 |
|
511,313 |
| ||
|
1,175 |
|
Mirant Americas Generation LLC, Senior Unsecured Notes |
|
(BB-, B3) |
|
10/01/21 |
|
8.500 |
|
1,204,375 |
| ||
|
447 |
|
Mirant Mid Atlantic Trust, Series B, Global Pass Thru Certificates |
|
(BB-, Ba1) |
|
06/30/17 |
|
9.125 |
|
485,171 |
| ||
|
625 |
|
NRG Energy, Inc., Company Guaranteed Notes (Callable 06/15/14 @ $104.25) |
|
(BB-, B1) |
|
06/15/19 |
|
8.500 |
|
653,125 |
| ||
|
775 |
|
NRG Energy, Inc., Global Company Guaranteed Notes (Callable 09/01/15 @ 104.13) |
|
(BB-, B1) |
|
09/01/20 |
|
8.250 |
|
802,125 |
| ||
|
2,925 |
|
TCEH Finance Inc., LLC, Series A, Global Company Guaranteed Notes (Callable 11/01/11 @ $105.13)§ |
|
(D, Caa3) |
|
11/01/15 |
|
10.250 |
|
1,433,250 |
| ||
|
1,175 |
|
TCEH Finance Inc., LLC, Series B, Global Company Guaranteed Notes (Callable 11/01/11 @ $105.13)§ |
|
(D, Caa3) |
|
11/01/15 |
|
10.250 |
|
569,875 |
| ||
|
|
|
|
|
|
|
|
|
|
|
7,900,609 |
| ||
|
Electric - Integrated (1.2%) |
|
|
|
|
|
|
|
|
| ||||
|
550 |
|
The AES Corp., Global Senior Unsecured Notes |
|
(BB-, B1) |
|
04/15/16 |
|
9.750 |
|
632,500 |
| ||
|
975 |
|
The AES Corp., Global Senior Unsecured Notes |
|
(BB-, B1) |
|
10/15/17 |
|
8.000 |
|
1,057,875 |
| ||
|
1,000 |
|
The AES Corp., Rule 144A, Senior Notes‡ |
|
(BB-, B1) |
|
07/01/21 |
|
7.375 |
|
1,036,250 |
| ||
|
|
|
|
|
|
|
|
|
|
|
2,726,625 |
| ||
|
Electronics (1.6%) |
|
|
|
|
|
|
|
|
| ||||
|
1,500 |
|
CPI International Acquisition, Inc., Rule 144A, Senior Notes (Callable 02/15/15 @ $104.00)‡ |
|
(CCC+, B3) |
|
02/15/18 |
|
8.000 |
|
1,432,500 |
| ||
|
951 |
|
Freescale Semiconductor, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/14 @ $105.06)‡ |
|
(B, B1) |
|
03/15/18 |
|
10.125 |
|
1,065,120 |
| ||
|
1,000 |
|
MEMC Electronic Materials, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/14 @ $105.81)‡ |
|
(BB, B1) |
|
04/01/19 |
|
7.750 |
|
960,000 |
| ||
|
200 |
|
NXP Funding LLC, Rule 144A, Senior Secured Notes (Callable 08/01/14 @ $104.88)‡ |
|
(B+, B3) |
|
08/01/18 |
|
9.750 |
|
225,500 |
| ||
|
|
|
|
|
|
|
|
|
|
|
3,683,120 |
| ||
|
Energy - Exploration & Production (10.9%) |
|
|
|
|
|
|
|
|
| ||||
|
1,000 |
|
Carrizo Oil & Gas, Inc., Global Company Guaranteed Notes (Callable 10/15/14 @ $104.31) |
|
(B-, B3) |
|
10/15/18 |
|
8.625 |
|
1,070,000 |
| ||
|
850 |
|
Comstock Resources, Inc., Company Guaranteed Notes (Callable 04/01/15 @ $103.88) |
|
(B, B2) |
|
04/01/19 |
|
7.750 |
|
885,063 |
| ||
|
2,350 |
|
Comstock Resources, Inc., Company Guaranteed Notes (Callable 10/15/13 @ $104.19) |
|
(B, B2) |
|
10/15/17 |
|
8.375 |
|
2,502,750 |
| ||
|
575 |
|
Denbury Resources, Inc., Company Guaranteed Notes (Callable 03/01/13 @ $104.88) |
|
(BB-, B1) |
|
03/01/16 |
|
9.750 |
|
645,438 |
| ||
|
2,200 |
|
Energy Partners, Ltd., Rule 144A, Senior Notes (Callable 02/15/15 @ $104.13)‡ |
|
(B-, Caa1) |
|
02/15/18 |
|
8.250 |
|
2,150,500 |
| ||
|
1,000 |
|
Energy XXI Gulf Coast, Inc., Company Guaranteed Notes (Callable 12/15/14 @ $104.63) |
|
(B, Caa1) |
|
12/15/17 |
|
9.250 |
|
1,080,000 |
| ||
|
1,050 |
|
EXCO Resources, Inc., Company Guaranteed Notes (Callable 09/15/14 @ $103.75) |
|
(B, B3) |
|
09/15/18 |
|
7.500 |
|
1,047,375 |
| ||
|
900 |
|
Linn Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 09/15/15 @ $103.88)‡ |
|
(B, B2) |
|
02/01/21 |
|
7.750 |
|
963,000 |
| ||
|
3,500 |
|
McMoRan Exploration Co., Company Guaranteed Notes (Callable 11/15/11 @ $105.94) |
|
(B, Caa1) |
|
11/15/14 |
|
11.875 |
|
3,788,750 |
| ||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
| ||
|
|
|
|
|
|
|
|
|
|
| ||||
|
CORPORATE BONDS |
|
|
|
|
|
|
|
|
| ||||
|
Energy - Exploration & Production |
|
|
|
|
|
|
|
|
| ||||
|
$ |
1,250 |
|
Oasis Petroleum, Inc., Rule 144A, Senior Notes (Callable 02/01/15 @ $103.63)‡ |
|
(B-, Caa1) |
|
02/01/19 |
|
7.250 |
|
$ |
1,290,625 |
|
|
450 |
|
Penn Virginia Corp., Senior Notes (Callable 06/15/13 @ $105.19) |
|
(BB-, B2) |
|
06/15/16 |
|
10.375 |
|
505,125 |
| ||
|
1,550 |
|
Petrohawk Energy Corp., Global Company Guaranteed Notes (Callable 08/15/14 @ $103.63) |
|
(B+, B3) |
|
08/15/18 |
|
7.250 |
|
1,809,625 |
| ||
|
2,475 |
|
Pioneer Natural Resources Co., Senior Unsecured Notes |
|
(BB+, Ba1) |
|
01/15/20 |
|
7.500 |
|
2,862,862 |
| ||
|
800 |
|
Stone Energy Corp., Company Guaranteed Notes (Callable 02/01/14 @ $104.31) |
|
(B, Caa1) |
|
02/01/17 |
|
8.625 |
|
840,000 |
| ||
|
1,525 |
|
Stone Energy Corp., Global Senior Subordinated Notes (Callable 12/15/11 @ $101.13) |
|
(CCC+, Caa2) |
|
12/15/14 |
|
6.750 |
|
1,521,187 |
| ||
|
475 |
|
Swift Energy Co., Company Guaranteed Notes (Callable 06/01/12 @ $103.56) |
|
(BB-, B3) |
|
06/01/17 |
|
7.125 |
|
491,625 |
| ||
|
1,000 |
|
W&T Offshore, Inc., Rule 144A, Senior Notes (Callable 06/15/15 @ 104.25)‡ |
|
(B, Caa1) |
|
06/15/19 |
|
8.500 |
|
1,041,250 |
| ||
|
|
|
|
|
|
|
|
|
|
|
24,495,175 |
| ||
|
Environmental (2.5%) |
|
|
|
|
|
|
|
|
| ||||
|
1,000 |
|
ALBA Group PLC & Co. KG, Rule 144A, Senior Notes (Callable 05/15/14 @ 106.00)‡ |
|
(NR, B3) |
|
05/15/18 |
|
8.000 |
|
1,457,280 |
| ||
|
1,100 |
|
Casella Waste Systems, Inc., Global Senior Secured Notes (Callable 07/15/12 @ $105.50) |
|
(BB-, B2) |
|
07/15/14 |
|
11.000 |
|
1,226,500 |
| ||
|
1,150 |
|
Darling International, Inc., Company Guaranteed Notes (Callable 12/15/14 @ $104.25) |
|
(BB, B2) |
|
12/15/18 |
|
8.500 |
|
1,272,187 |
| ||
|
550 |
|
EnergySolutions LLC, Global Company Guaranteed Notes (Callable 08/15/14 @ 105.38) |
|
(BB-, B3) |
|
08/15/18 |
|
10.750 |
|
584,375 |
| ||
|
1,000 |
|
WCA Waste Corp., Rule 144A, Company Guaranteed Notes (Callable 06/15/14 @ 105.63)‡ |
|
(B-, B3) |
|
06/15/19 |
|
7.500 |
|
1,005,000 |
| ||
|
|
|
|
|
|
|
|
|
|
|
5,545,342 |
| ||
|
Food & Drug Retailers (0.5%) |
|
|
|
|
|
|
|
|
| ||||
|
700 |
|
Rite Aid Corp., Global Company Guaranteed Notes (Callable 06/15/12 @ $104.69) |
|
(CCC, Caa3) |
|
12/15/15 |
|
9.375 |
|
666,750 |
| ||
|
475 |
|
Rite Aid Corp., Global Senior Secured Notes (Callable 06/12/13 @ $104.88) |
|
(B+, B3) |
|
06/12/16 |
|
9.750 |
|
528,438 |
| ||
|
|
|
|
|
|
|
|
|
|
|
1,195,188 |
| ||
|
Food - Wholesale (2.5%) |
|
|
|
|
|
|
|
|
| ||||
|
3,200 |
|
Del Monte Foods Co., Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/14 @ $103.81)‡ |
|
(B-, B3) |
|
02/15/19 |
|
7.625 |
|
3,308,000 |
| ||
|
2,075 |
|
Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 05/15/13 @ $105.63)‡ |
|
(B+, B3) |
|
05/15/15 |
|
11.250 |
|
2,292,875 |
| ||
|
|
|
|
|
|
|
|
|
|
|
5,600,875 |
| ||
|
Forestry & Paper (1.7%) |
|
|
|
|
|
|
|
|
| ||||
|
728 |
|
Boise Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/11 @ $101.19) |
|
(B+, Caa1) |
|
10/15/14 |
|
7.125 |
|
729,820 |
| ||
|
500 |
|
Smurfit Kappa Acquisitions, Rule 144A, Senior Secured Notes (Callable 11/15/13 @ $103.63)‡ |
|
(BB, Ba2) |
|
11/15/17 |
|
7.250 |
|
729,278 |
| ||
|
1,000 |
|
Smurfit Kappa Funding PLC, Global Senior Subordinated Notes (Callable 01/31/12 @ $101.29) |
|
(B, B2) |
|
04/01/15 |
|
7.750 |
|
1,025,000 |
| ||
|
950 |
|
Stone & Webster, Inc. |
|
(NR, NR) |
|
07/01/12 |
|
8.375 |
|
29,687 |
| ||
|
300 |
|
Verso Paper, Inc., Rule 144A, Senior Secured Notes (Callable 02/01/15 @ $104.38)ठ|
|
(B, B2) |
|
02/01/19 |
|
8.750 |
|
279,750 |
| ||
|
1,125 |
|
Verso Paper, Inc., Series B, Global Company Guaranteed Notes (Callable 08/01/11 @ $105.69)§ |
|
(CCC+, Caa1) |
|
08/01/16 |
|
11.375 |
|
1,051,875 |
| ||
|
|
|
|
|
|
|
|
|
|
|
3,845,410 |
| ||
|
Gaming (9.9%) |
|
|
|
|
|
|
|
|
| ||||
|
775 |
|
Buffalo Thunder Development Authority, Rule 144A, Senior Secured Notes (Callable 12/15/11 @ $102.34)ø‡ |
|
(NR, NR) |
|
12/15/14 |
|
9.375 |
|
303,219 |
| ||
|
2,000 |
|
CCM Merger, Inc., Rule 144A, Notes (Callable 08/01/11 @ $100.00)‡ |
|
(CCC+, Caa3) |
|
08/01/13 |
|
8.000 |
|
2,000,000 |
| ||
|
973 |
|
Choctaw Resort Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/11 @ $103.63)‡ |
|
(CCC+, Caa2) |
|
11/15/19 |
|
7.250 |
|
763,805 |
| ||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
| ||
|
|
|
|
|
|
|
|
|
|
| ||||
|
CORPORATE BONDS |
|
|
|
|
|
|
|
|
| ||||
|
Gaming |
|
|
|
|
|
|
|
|
| ||||
|
$ |
1,590 |
|
Chukchansi Economic Development Authority, Rule 144A, Senior Unsecured Notes (Callable 11/15/11 @ $100.00)‡ |
|
(B, B3) |
|
11/15/13 |
|
8.000 |
|
$ |
1,299,825 |
|
|
1,500 |
|
Cirsa Funding Luxembourg SA, Rule 144A, Company Guaranteed Notes (Callable 05/15/14 @ $104.38)‡ |
|
(B+, B3) |
|
05/15/18 |
|
8.750 |
|
2,142,029 |
| ||
|
625 |
|
Fontainebleau Las Vegas Holdings LLC, Rule 144A, Second Mortgage Notes (Callable 06/15/12 @ $105.13)ø‡ |
|
(NR, NR) |
|
06/15/15 |
|
10.250 |
|
313 |
| ||
|
1,950 |
|
Great Canadian Gaming Corp., Rule 144A, Company Guaranteed Notes (Callable 02/15/12 @ $101.81)‡ |
|
(BB, B2) |
|
02/15/15 |
|
7.250 |
|
1,993,875 |
| ||
|
1,700 |
|
Greektown Superholdings, Inc., Series B, Global Senior Secured Notes (Callable 01/01/13 @ $106.50) |
|
(NR, NR) |
|
07/01/15 |
|
13.000 |
|
1,901,875 |
| ||
|
369 |
|
Inn of the Mountain Gods Resort & Casino, Rule 144A, Senior Secured Notes‡ |
|
(NR, NR) |
|
11/30/20 |
|
1.250 |
|
232,423 |
| ||
|
206 |
|
Inn of the Mountain Gods Resort & Casino, Rule 144A, Senior Secured Notes (Callable 10/01/11 @ $103.00)‡ |
|
(NR, NR) |
|
11/30/20 |
|
8.750 |
|
204,970 |
| ||
|
3,025 |
|
Jacobs Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/15/12 @ $100.00) |
|
(B-, Caa1) |
|
06/15/14 |
|
9.750 |
|
3,085,500 |
| ||
|
950 |
|
Majestic Star Casino Capital Corp., Senior Secured Notesø |
|
(NR, NR) |
|
10/15/10 |
|
9.500 |
|
412,063 |
| ||
|
3,000 |
|
MTR Gaming Group, Inc., Global Secured Notes (Callable 07/15/12 @ $103.16) |
|
(B, B2) |
|
07/15/14 |
|
12.625 |
|
3,157,500 |
| ||
|
950 |
|
Peninsula Gaming LLC, Global Company Guaranteed Notes (Callable 08/15/13 @ $105.38) |
|
(B, Caa1) |
|
08/15/17 |
|
10.750 |
|
1,042,625 |
| ||
|
1,425 |
|
Peninsula Gaming LLC, Global Senior Secured Notes (Callable 08/15/12 @ $104.19) |
|
(BB, Ba3) |
|
08/15/15 |
|
8.375 |
|
1,514,062 |
| ||
|
670 |
|
Tropicana Finance Corp., Global Senior Subordinated Notes (Callable 12/15/11 @ $102.41)ø^ |
|
(NR, NR) |
|
12/15/14 |
|
9.625 |
|
67 |
| ||
|
2,085 |
|
Tunica-Biloxi Gaming Authority, Rule 144A, Senior Unsecured Notes (Callable 11/15/11 @ $103.00)‡ |
|
(B+, B2) |
|
11/15/15 |
|
9.000 |
|
2,160,581 |
| ||
|
|
|
|
|
|
|
|
|
|
|
22,214,732 |
| ||
|
Gas Distribution (3.2%) |
|
|
|
|
|
|
|
|
| ||||
|
400 |
|
El Paso Corp., Senior Unsecured Notes |
|
(BB-, Ba3) |
|
06/01/18 |
|
7.250 |
|
465,938 |
| ||
|
2,850 |
|
Energy Transfer Equity LP, Company Guaranteed Notes |
|
(BB-, Ba2) |
|
10/15/20 |
|
7.500 |
|
3,063,750 |
| ||
|
2,200 |
|
Genesis Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/14 @ $103.94)‡ |
|
(B+, B3) |
|
12/15/18 |
|
7.875 |
|
2,244,000 |
| ||
|
600 |
|
Targa Resources Partners Finance Corp., Global Company Guaranteed Notes (Callable 07/01/12 @ $104.13) |
|
(BB, B1) |
|
07/01/16 |
|
8.250 |
|
639,000 |
| ||
|
875 |
|
Targa Resources Partners Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 02/01/16 @ $103.44)‡ |
|
(BB, B1) |
|
02/01/21 |
|
6.875 |
|
877,187 |
| ||
|
|
|
|
|
|
|
|
|
|
|
7,289,875 |
| ||
|
Health Facilities (3.2%) |
|
|
|
|
|
|
|
|
| ||||
|
545 |
|
Bausch & Lomb, Inc., Global Senior Unsecured Notes (Callable 11/01/11 @ $104.94) |
|
(B, Caa1) |
|
11/01/15 |
|
9.875 |
|
579,062 |
| ||
|
1,650 |
|
HCA, Inc., Global Secured Notes (Callable 11/15/11 @ $104.63) |
|
(BB-, B2) |
|
11/15/16 |
|
9.250 |
|
1,768,594 |
| ||
|
450 |
|
Omega Healthcare Investors, Inc., Company Guaranteed Notes (Callable 10/15/15 @ $103.38) |
|
(BB+, Ba2) |
|
10/15/22 |
|
6.750 |
|
460,125 |
| ||
|
625 |
|
Radiation Therapy Services, Inc., Global Company Guaranteed Notes (Callable 04/15/14 @ $104.94) |
|
(CCC+, B3) |
|
04/15/17 |
|
9.875 |
|
612,500 |
| ||
|
1,950 |
|
Symbion, Inc., Rule 144A, Senior Secured Notes (Callable 06/15/14 @ 104.00)‡ |
|
(B, B2) |
|
06/15/16 |
|
8.000 |
|
1,906,125 |
| ||
|
900 |
|
Tenet Healthcare Corp., Global Senior Secured Notes (Callable 07/01/14 @ $104.44) |
|
(BB-, B1) |
|
07/01/19 |
|
8.875 |
|
999,000 |
| ||
|
275 |
|
Universal Hospital Services, Inc., Global Secured Notes (Callable 06/01/12 @ $102.13) |
|
(B+, B3) |
|
06/01/15 |
|
8.500 |
|
285,312 |
| ||
|
634 |
|
VWR Funding, Inc., Series B, Global Company Guaranteed Notes (Callable 07/15/12 @ $105.13) |
|
(B-, Caa1) |
|
07/15/15 |
|
10.250 |
|
670,191 |
| ||
|
|
|
|
|
|
|
|
|
|
|
7,280,909 |
| ||
|
Health Services (2.5%) |
|
|
|
|
|
|
|
|
| ||||
|
650 |
|
Capsugel FinanceCo SCA, Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ $107.41)‡ |
|
(NR, Caa1) |
|
08/01/19 |
|
9.875 |
|
955,066 |
| ||
|
675 |
|
inVentiv Health, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/14 @ $105.00)‡ |
|
(CCC+, Caa2) |
|
08/15/18 |
|
10.000 |
|
661,500 |
| ||
|
425 |
|
Service Corp. International, Senior Unsecured Notes |
|
(BB-, Ba3) |
|
11/15/21 |
|
8.000 |
|
471,750 |
| ||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
| ||
|
|
|
|
|
|
|
|
|
|
| ||||
|
CORPORATE BONDS |
|
|
|
|
|
|
|
|
| ||||
|
Health Services |
|
|
|
|
|
|
|
|
| ||||
|
$ |
2,025 |
|
STHI Holding Corp., Rule 144A, Secured Notes (Callable 03/15/14 @ $106.00)‡ |
|
(B, B2) |
|
03/15/18 |
|
8.000 |
|
$ |
2,085,750 |
|
|
1,500 |
|
Warner Chilcott Finance LLC, Rule 144A, Company Guaranteed Notes (Callable 09/15/14 @ $103.88)‡ |
|
(BB, B3) |
|
09/15/18 |
|
7.750 |
|
1,522,500 |
| ||
|
|
|
|
|
|
|
|
|
|
|
5,696,566 |
| ||
|
Leisure (1.9%) |
|
|
|
|
|
|
|
|
| ||||
|
400 |
|
Magnum Management Corp., Global Company Guaranteed Notes (Callable 08/01/14 @ 104.56) |
|
(B-, B2) |
|
08/01/18 |
|
9.125 |
|
434,500 |
| ||
|
2,000 |
|
Palace Entertainment Holdings Corp., Rule 144A, Senior Secured Notes (Callable 04/15/14 @ $104.44)‡ |
|
(B-, B2) |
|
04/15/17 |
|
8.875 |
|
2,047,500 |
| ||
|
650 |
|
Seven Seas Cruises S de RL LLC, Rule 144A, Secured Notes (Callable 05/15/15 @ $104.56)‡ |
|
(B-, B3) |
|
05/15/19 |
|
9.125 |
|
680,875 |
| ||
|
917 |
|
UCDP Finance, Inc., Global Company Guaranteed Notes (Callable 11/15/12 @ $104.44) |
|
(B, Baa2) |
|
11/15/15 |
|
8.875 |
|
1,045,380 |
| ||
|
|
|
|
|
|
|
|
|
|
|
4,208,255 |
| ||
|
Machinery (0.8%) |
|
|
|
|
|
|
|
|
| ||||
|
525 |
|
CPM Holdings, Inc., Global Senior Secured Notes (Callable 09/01/12 @ 105.31) |
|
(B+, B2) |
|
09/01/14 |
|
10.625 |
|
569,625 |
| ||
|
1,000 |
|
Dematic SA, Rule 144A, Senior Secured Notes (Callable 05/01/13 @ 104.38)‡ |
|
(B, B3) |
|
05/01/16 |
|
8.750 |
|
1,015,000 |
| ||
|
250 |
|
Terex Corp., Senior Subordinated Notes (Callable 11/15/12 @ $104.00) |
|
(B, B3) |
|
11/15/17 |
|
8.000 |
|
255,938 |
| ||
|
|
|
|
|
|
|
|
|
|
|
1,840,563 |
| ||
|
Media - Broadcast (1.3%) |
|
|
|
|
|
|
|
|
| ||||
|
795 |
|
Barrington Broadcasting Capital Corp., Global Company Guaranteed Notes (Callable 08/15/11 @ $102.63) |
|
(CCC+, Caa2) |
|
08/15/14 |
|
10.500 |
|
772,144 |
| ||
|
74 |
|
CMP Susquehanna Corp., Global Company Guaranteed Notes^ |
|
(NR, NR) |
|
05/15/14 |
|
3.272 |
|
70,300 |
| ||
|
350 |
|
Fisher Communications, Inc., Global Company Guaranteed Notes (Callable 09/15/11 @ $101.44) |
|
(NR, B2) |
|
09/15/14 |
|
8.625 |
|
358,750 |
| ||
|
1,650 |
|
Mission Broadcasting, Inc., Global Senior Secured Notes (Callable 04/15/14 @ $104.44) |
|
(B, B3) |
|
04/15/17 |
|
8.875 |
|
1,744,875 |
| ||
|
|
|
|
|
|
|
|
|
|
|
2,946,069 |
| ||
|
Media - Cable (6.1%) |
|
|
|
|
|
|
|
|
| ||||
|
1,375 |
|
Atlantic Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/12 @ $100.00) |
|
(B-, B3) |
|
01/15/14 |
|
9.375 |
|
1,402,500 |
| ||
|
75 |
|
Cablevision Systems Corp., Senior Unsecured Notes |
|
(B+, B1) |
|
04/15/18 |
|
7.750 |
|
80,437 |
| ||
|
1,150 |
|
Cablevision Systems Corp., Senior Unsecured Notes§ |
|
(B+, B1) |
|
04/15/20 |
|
8.000 |
|
1,265,000 |
| ||
|
723 |
|
CCH II Capital Corp., Global Senior Notes (Callable 11/30/12 @ $106.75) |
|
(B, B2) |
|
11/30/16 |
|
13.500 |
|
856,734 |
| ||
|
1,925 |
|
CCO Holdings Capital Corp., Global Company Guaranteed Notes (Callable 04/30/15 @ $104.06) |
|
(BB-, B1) |
|
04/30/20 |
|
8.125 |
|
2,122,312 |
| ||
|
2,000 |
|
Cequel Capital Corp., Rule 144A, Senior Unsecured Notes (Callable 11/15/12 @ $106.47)‡ |
|
(B-, B3) |
|
11/15/17 |
|
8.625 |
|
2,137,500 |
| ||
|
525 |
|
CSC Holdings LLC, Global Senior Unsecured Notes |
|
(BB, Ba3) |
|
02/15/19 |
|
8.625 |
|
603,750 |
| ||
|
1,500 |
|
DISH DBS Corp., Global Company Guaranteed Notes |
|
(BB-, Ba3) |
|
09/01/19 |
|
7.875 |
|
1,655,625 |
| ||
|
1,425 |
|
Insight Communications Co., Inc., Rule 144A, Senior Notes (Callable 07/15/13 @ $107.03)‡ |
|
(B-, B3) |
|
07/15/18 |
|
9.375 |
|
1,551,469 |
| ||
|
600 |
|
Kabel Baden-Wurttemberg GmbH & Co. KG, Rule 144A, Senior Secured Notes (Callable 03/15/15 @ $103.75)‡ |
|
(B+, B1) |
|
03/15/19 |
|
7.500 |
|
621,000 |
| ||
|
200 |
|
Unitymedia NRW GmbH, Rule 144A, Senior Secured Notes (Callable 12/01/12 @ $108.22)‡ |
|
(BB-, B1) |
|
12/01/17 |
|
8.125 |
|
301,052 |
| ||
|
1,000 |
|
Virgin Media Finance PLC, Global Company Guaranteed Notes (Callable 10/15/14 @ $104.19) |
|
(BB-, Ba2) |
|
10/15/19 |
|
8.375 |
|
1,122,500 |
| ||
|
|
|
|
|
|
|
|
|
|
|
13,719,879 |
| ||
|
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 |
|
2,302,875 |
| ||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
| ||
|
|
|
|
|
|
|
|
|
|
| ||||
|
CORPORATE BONDS |
|
|
|
|
|
|
|
|
| ||||
|
Media - Diversified |
|
|
|
|
|
|
|
|
| ||||
|
$ |
600 |
|
Quebecor Media, Inc., Global Senior Unsecured Notes (Callable 03/15/12 @ $102.58) |
|
(B+, B1) |
|
03/15/16 |
|
7.750 |
|
$ |
624,000 |
|
|
|
|
|
|
|
|
|
|
|
|
2,926,875 |
| ||
|
Media - Services (1.0%) |
|
|
|
|
|
|
|
|
| ||||
|
150 |
|
Clear Channel Worldwide Holdings, Inc., Global Company Guaranteed Notes (Callable 12/15/12 @ $106.94) |
|
(B, B2) |
|
12/15/17 |
|
9.250 |
|
163,875 |
| ||
|
750 |
|
Clear Channel Worldwide Holdings, Inc., Series B, Global Company Guaranteed Notes (Callable 12/15/12 @ $106.94) |
|
(B, B2) |
|
12/15/17 |
|
9.250 |
|
823,125 |
| ||
|
205 |
|
Nielsen Finance Co., Global Company Guaranteed Notes (Callable 05/01/13 @ $105.75) |
|
(B+, B2) |
|
05/01/16 |
|
11.500 |
|
239,338 |
| ||
|
600 |
|
SGS International, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $100.00) |
|
(B, B2) |
|
12/15/13 |
|
12.000 |
|
618,750 |
| ||
|
400 |
|
WMG Acquisition Corp., Global Senior Secured Notes (Callable 06/15/13 @ $104.75) |
|
(BB-, Ba2) |
|
06/15/16 |
|
9.500 |
|
426,500 |
| ||
|
|
|
|
|
|
|
|
|
|
|
2,271,588 |
| ||
|
Medical Products (0.6%) |
|
|
|
|
|
|
|
|
| ||||
|
1,250 |
|
Giant Funding Corp., Rule 144A, Secured Notes (Callable 02/01/14 @ $106.19)‡ |
|
(B, B3) |
|
02/01/18 |
|
8.250 |
|
1,321,875 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Metals & Mining - Excluding Steel (1.4%) |
|
|
|
|
|
|
|
|
| ||||
|
300 |
|
Boart Longyear Management Pty, Ltd., Rule 144A, Company Guaranteed Notes (Callable 04/01/16 @ $103.50)‡ |
|
(BB-, Ba2) |
|
04/01/21 |
|
7.000 |
|
309,750 |
| ||
|
1,630 |
|
Noranda Aluminium Acquisition Corp., Global Company Guaranteed Notes# |
|
(B, B2) |
|
05/15/15 |
|
4.417 |
|
1,570,973 |
| ||
|
225 |
|
Old AII, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $102.25)ø |
|
(NR, NR) |
|
12/15/14 |
|
9.000 |
|
2 |
| ||
|
1,100 |
|
Old AII, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $105.00)ø |
|
(NR, NR) |
|
12/15/16 |
|
10.000 |
|
110 |
| ||
|
1,200 |
|
Xinergy Corp., Rule 144A, Senior Secured Notes (Callable 05/15/15 @ 104.63)‡ |
|
(B-, Caa1) |
|
05/15/19 |
|
9.250 |
|
1,221,000 |
| ||
|
|
|
|
|
|
|
|
|
|
|
3,101,835 |
| ||
|
Oil Field Equipment & Services (5.7%) |
|
|
|
|
|
|
|
|
| ||||
|
550 |
|
Edgen Murray Corp., Global Senior Secured Notes (Callable 01/15/13 @ $106.13) |
|
(B-, Caa3) |
|
01/15/15 |
|
12.250 |
|
561,000 |
| ||
|
2,325 |
|
Frac Tech Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/14 @ $103.56)‡ |
|
(BB, B2) |
|
11/15/18 |
|
7.125 |
|
2,429,625 |
| ||
|
1,300 |
|
Helix Energy Solutions Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ $104.75)‡ |
|
(CCC+, B3) |
|
01/15/16 |
|
9.500 |
|
1,371,500 |
| ||
|
300 |
|
Hornbeck Offshore Services, Inc., Global Company Guaranteed Notes (Callable 09/01/13 @ $104.00) |
|
(B+, Ba3) |
|
09/01/17 |
|
8.000 |
|
308,250 |
| ||
|
350 |
|
Hornbeck Offshore Services, Inc., Series B, Global Company Guaranteed Notes (Callable 12/01/11 @ $101.02) |
|
(B+, Ba3) |
|
12/01/14 |
|
6.125 |
|
351,750 |
| ||
|
950 |
|
Offshore Group Investments, Ltd., Global Senior Secured Notes (Callable 02/01/13 @ $108.63) |
|
(B-, B3) |
|
08/01/15 |
|
11.500 |
|
1,056,875 |
| ||
|
700 |
|
Offshore Group Investments, Ltd., Rule 144A, Senior Secured Notes (Callable 02/01/13 @ $108.63)‡ |
|
(B-, B3) |
|
08/01/15 |
|
11.500 |
|
778,750 |
| ||
|
500 |
|
Parker Drilling Co., Global Company Guaranteed Notes (Callable 04/01/14 @ $104.56) |
|
(B+, B1) |
|
04/01/18 |
|
9.125 |
|
535,000 |
| ||
|
2,000 |
|
Pioneer Drilling Co., Global Company Guaranteed Notes (Callable 03/15/14 @ $104.94) |
|
(B, NR) |
|
03/15/18 |
|
9.875 |
|
2,155,000 |
| ||
|
592 |
|
Thermon Industries, Inc., Global Secured Notes (Callable 05/01/14 @ 104.75) |
|
(B+, B1) |
|
05/01/17 |
|
9.500 |
|
645,280 |
| ||
|
2,500 |
|
Trinidad Drilling, Ltd., Rule 144A, Senior Unsecured Notes (Callable 01/15/15 @ $103.94)‡ |
|
(BB-, B2) |
|
01/15/19 |
|
7.875 |
|
2,637,500 |
| ||
|
|
|
|
|
|
|
|
|
|
|
12,830,530 |
| ||
|
Oil Refining & Marketing (2.8%) |
|
|
|
|
|
|
|
|
| ||||
|
183 |
|
Coffeyville Finance, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/12 @ $106.75)‡ |
|
(BB, Ba3) |
|
04/01/15 |
|
9.000 |
|
199,927 |
| ||
|
2,600 |
|
Coffeyville Finance, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/13 @ $108.16)‡ |
|
(BB-, B3) |
|
04/01/17 |
|
10.875 |
|
2,996,500 |
| ||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
| ||
|
|
|
|
|
|
|
|
|
|
| ||||
|
CORPORATE BONDS |
|
|
|
|
|
|
|
|
| ||||
|
Oil Refining & Marketing |
|
|
|
|
|
|
|
|
| ||||
|
$ |
1,325 |
|
Northern Tier Finance Corp., Rule 144A, Senior Secured Notes (Callable 12/01/13 @ $107.88)‡ |
|
(BB-, B1) |
|
12/01/17 |
|
10.500 |
|
$ |
1,464,125 |
|
|
500 |
|
Tesoro Corp., Company Guaranteed Notes (Callable 06/01/14 @ $104.88) |
|
(BB+, Ba1) |
|
06/01/19 |
|
9.750 |
|
570,000 |
| ||
|
1,050 |
|
Western Refining, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/11 @ $105.00)#‡ |
|
(B, B3) |
|
06/15/14 |
|
10.750 |
|
1,131,375 |
| ||
|
|
|
|
|
|
|
|
|
|
|
6,361,927 |
| ||
|
Packaging (5.2%) |
|
|
|
|
|
|
|
|
| ||||
|
850 |
|
Ardagh Glass Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 06/15/12 @ $103.56)‡ |
|
(B-, B3) |
|
06/15/17 |
|
7.125 |
|
1,129,842 |
| ||
|
700 |
|
Ardagh Packaging Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 10/15/15 @ $104.63)‡ |
|
(B-, B3) |
|
10/15/20 |
|
9.250 |
|
1,004,643 |
| ||
|
825 |
|
Ardagh Packaging Finance PLC, Rule 144A, Senior Secured Notes (Callable 10/15/14 @ $103.69)‡ |
|
(BB-, Ba3) |
|
10/15/17 |
|
7.375 |
|
1,189,971 |
| ||
|
525 |
|
Berry Plastics Corp., Global Senior Secured Notes (Callable 11/15/12 @ $104.13) |
|
(B, B1) |
|
11/15/15 |
|
8.250 |
|
559,125 |
| ||
|
275 |
|
BWAY Holding Co., Global Company Guaranteed Notes (Callable 06/15/14 @ 105.00) |
|
(CCC+, B3) |
|
06/15/18 |
|
10.000 |
|
302,500 |
| ||
|
975 |
|
GPC Capital Corp. I, Global Company Guaranteed Notes (Callable 01/01/14 @ $104.13) |
|
(B-, Caa1) |
|
01/01/17 |
|
8.250 |
|
1,035,937 |
| ||
|
1,135 |
|
Pregis Corp., Global Secured Notes# |
|
(B, B2) |
|
04/15/13 |
|
6.605 |
|
1,577,988 |
| ||
|
1,000 |
|
Pregis Corp., Global Secured Notes# |
|
(B, B2) |
|
04/15/13 |
|
6.605 |
|
1,390,298 |
| ||
|
2,475 |
|
Reynolds Group Issuer LLC, Rule 144A, Senior Notes (Callable 10/15/14 @ $104.50)‡ |
|
(B-, Caa1) |
|
04/15/19 |
|
9.000 |
|
2,475,000 |
| ||
|
700 |
|
Reynolds Group Issuer LLC, Rule 144A, Senior Secured Notes (Callable 10/15/12 @ $103.88)‡ |
|
(BB, Ba3) |
|
10/15/16 |
|
8.500 |
|
733,250 |
| ||
|
300 |
|
Reynolds Group Issuer LLC, Rule 144A, Senior Secured Notes (Callable 10/15/14 @ $103.56)‡ |
|
(BB, Ba3) |
|
04/15/19 |
|
7.125 |
|
293,250 |
| ||
|
|
|
|
|
|
|
|
|
|
|
11,691,804 |
| ||
|
Pharmaceuticals (0.6%) |
|
|
|
|
|
|
|
|
| ||||
|
1,000 |
|
ConvaTec Healthcare E SA, Rule 144A, Senior Unsecured Notes (Callable 12/15/14 @ $105.25)‡ |
|
(B, Caa1) |
|
12/15/18 |
|
10.500 |
|
1,035,000 |
| ||
|
260 |
|
QHP Royalty Sub LLC, Rule 144A, Senior Secured Notes‡ |
|
(NR, NR) |
|
03/15/15 |
|
10.250 |
|
265,124 |
| ||
|
|
|
|
|
|
|
|
|
|
|
1,300,124 |
| ||
|
Printing & Publishing (1.0%) |
|
|
|
|
|
|
|
|
| ||||
|
1,000 |
|
Cenveo Corp., Global Senior Subordinated Notes (Callable 12/01/11 @ $100.00) |
|
(CCC+, Caa2) |
|
12/01/13 |
|
7.875 |
|
957,500 |
| ||
|
1,350 |
|
The Reader’s Digest Association, Inc., Global Senior Secured Notes (Callable 02/15/13 @ $104.00)#§ |
|
(B, B1) |
|
02/15/17 |
|
9.500 |
|
1,397,250 |
| ||
|
|
|
|
|
|
|
|
|
|
|
2,354,750 |
| ||
|
Real Estate Development & Management (0.5%) |
|
|
|
|
|
|
|
|
| ||||
|
1,300 |
|
Icahn Enterprises LP, Rule 144A, Senior Unsecured Notes#‡ |
|
(NR, NR) |
|
08/15/13 |
|
4.000 |
|
1,253,005 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Real Estate Investment Trusts (2.0%) |
|
|
|
|
|
|
|
|
| ||||
|
1,550 |
|
CNL Income Properties, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/15/15 @ $103.63)‡ |
|
(BB-, Ba3) |
|
04/15/19 |
|
7.250 |
|
1,422,125 |
| ||
|
500 |
|
MPT Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 05/01/16 @ 103.44)‡ |
|
(BB, Ba2) |
|
05/01/21 |
|
6.875 |
|
492,500 |
| ||
|
2,500 |
|
Sabra Capital Corp., Global Company Guaranteed Notes (Callable 11/01/14 @ $104.06) |
|
(B, B2) |
|
11/01/18 |
|
8.125 |
|
2,540,625 |
| ||
|
|
|
|
|
|
|
|
|
|
|
4,455,250 |
| ||
|
Restaurants (3.6%) |
|
|
|
|
|
|
|
|
| ||||
|
1,867 |
|
CKE Restaurants, Inc., Global Senior Secured Notes (Callable 07/15/14 @ $105.69) |
|
(B-, B2) |
|
07/15/18 |
|
11.375 |
|
2,067,702 |
| ||
|
2,050 |
|
HOA Finance Corp., Rule 144A, Senior Secured Notes (Callable 04/01/14 @ $105.63)‡ |
|
(B, B3) |
|
04/01/17 |
|
11.250 |
|
2,091,000 |
| ||
|
3,100 |
|
Real Mex Restaurants, Inc., Global Secured Notes (Callable 07/01/12 @ $100.00) |
|
(D, Caa2) |
|
01/01/13 |
|
14.000 |
|
2,619,500 |
| ||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
| ||
|
|
|
|
|
|
|
|
|
|
| ||||
|
CORPORATE BONDS |
|
|
|
|
|
|
|
|
| ||||
|
Restaurants |
|
|
|
|
|
|
|
|
| ||||
|
$ |
1,250 |
|
Sizzling Platter LLC, Rule 144A, Senior Secured Notes (Callable 04/15/14 @ 106.13)‡ |
|
(B-, Caa1) |
|
04/15/16 |
|
12.250 |
|
$ |
1,290,625 |
|
|
|
|
|
|
|
|
|
|
|
|
8,068,827 |
| ||
|
Software/Services (3.5%) |
|
|
|
|
|
|
|
|
| ||||
|
1,600 |
|
Eagle Parent, Inc., Rule 144A, Senior Notes (Callable 05/01/15 @ 104.31)‡ |
|
(CCC+, Caa1) |
|
05/01/19 |
|
8.625 |
|
1,544,000 |
| ||
|
625 |
|
First Data Corp., Rule 144A, Senior Secured Notes (Callable 06/15/15 @ $103.69)‡ |
|
(B+, B1) |
|
06/15/19 |
|
7.375 |
|
632,812 |
| ||
|
600 |
|
SSI Co-Issuer LLC, Global Company Guaranteed Notes (Callable 06/01/14 @ $105.56) |
|
(B-, Caa1) |
|
06/01/18 |
|
11.125 |
|
666,000 |
| ||
|
1,000 |
|
SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/11 @ $103.42) |
|
(B-, Caa1) |
|
08/15/15 |
|
10.250 |
|
1,040,000 |
| ||
|
1,000 |
|
SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 11/15/13 @ 105.53) |
|
(B-, Caa1) |
|
11/15/18 |
|
7.375 |
|
1,020,000 |
| ||
|
2,870 |
|
Vangent, Inc., Global Company Guaranteed Notes (Callable 02/15/12 @ $102.41) |
|
(B-, Caa1) |
|
02/15/15 |
|
9.625 |
|
2,927,400 |
| ||
|
|
|
|
|
|
|
|
|
|
|
7,830,212 |
| ||
|
Specialty Retail (1.7%) |
|
|
|
|
|
|
|
|
| ||||
|
500 |
|
Academy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ $106.94)‡ |
|
(NR, Caa1) |
|
08/01/19 |
|
9.250 |
|
510,000 |
| ||
|
1,300 |
|
Brown Shoe Co., Inc., Rule 144A, Company Guaranteed Notes (Callable 05/15/14 @ 105.34)ठ|
|
(B+, B3) |
|
05/15/19 |
|
7.125 |
|
1,267,500 |
| ||
|
1,250 |
|
Ontex IV SA, Rule 144A, Senior Secured Notes (Callable 04/15/14 @ $ 103.25)‡ |
|
(B+, Ba3) |
|
04/15/18 |
|
7.500 |
|
1,728,891 |
| ||
|
325 |
|
Penske Automotive Group, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $103.88) |
|
(B-, Caa1) |
|
12/15/16 |
|
7.750 |
|
341,250 |
| ||
|
|
|
|
|
|
|
|
|
|
|
3,847,641 |
| ||
|
Steel Producers/Products (0.8%) |
|
|
|
|
|
|
|
|
| ||||
|
600 |
|
JMC Steel Group, Rule 144A, Senior Notes (Callable 03/15/14 @ $ 106.19)‡ |
|
(B, B3) |
|
03/15/18 |
|
8.250 |
|
625,500 |
| ||
|
700 |
|
Ryerson, Inc., Global Senior Secured Notes (Callable 11/01/11 @ $106.00) |
|
(CCC+, Caa1) |
|
11/01/15 |
|
12.000 |
|
747,250 |
| ||
|
525 |
|
Tube City IMS Corp., Global Company Guaranteed Notes (Callable 02/01/12 @ $102.44) |
|
(B-, Caa1) |
|
02/01/15 |
|
9.750 |
|
543,375 |
| ||
|
|
|
|
|
|
|
|
|
|
|
1,916,125 |
| ||
|
Support-Services (4.6%) |
|
|
|
|
|
|
|
|
| ||||
|
800 |
|
Ashtead Capital, Inc., Rule 144A, Secured Notes (Callable 08/15/11 @ $104.50)‡ |
|
(B+, B2) |
|
08/15/16 |
|
9.000 |
|
836,000 |
| ||
|
500 |
|
Audatex North America, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/14 @ 103.38)‡ |
|
(BB-, Ba2) |
|
06/15/18 |
|
6.750 |
|
516,250 |
| ||
|
1,700 |
|
Brickman Group Holdings, Inc., Rule 144A, Senior Notes (Callable 11/01/13 @ $106.84)‡ |
|
(CCC+, B3) |
|
11/01/18 |
|
9.125 |
|
1,746,750 |
| ||
|
1,850 |
|
CoreLogic, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/16 @ 103.63)‡ |
|
(B+, Ba3) |
|
06/01/21 |
|
7.250 |
|
1,808,375 |
| ||
|
1,225 |
|
Garda World Security Corp., Rule 144A, Senior Unsecured Notes (Callable 03/15/14 @ $104.88)‡ |
|
(B, B2) |
|
03/15/17 |
|
9.750 |
|
1,298,500 |
| ||
|
1,975 |
|
Maxim Crane Works LP, Rule 144A, Senior Secured Notes (Callable 04/15/12 @ $109.19)‡ |
|
(B, Caa1) |
|
04/15/15 |
|
12.250 |
|
1,965,125 |
| ||
|
625 |
|
RSC Holdings III LLC, Global Company Guaranteed Notes (Callable 02/01/16 @ 104.13) |
|
(B-, Caa1) |
|
02/01/21 |
|
8.250 |
|
648,437 |
| ||
|
550 |
|
The Geo Group, Inc., Global Company Guaranteed Notes (Callable 10/15/13 @ $103.88) |
|
(B+, B1) |
|
10/15/17 |
|
7.750 |
|
591,250 |
| ||
|
625 |
|
The Geo Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 02/15/16 @ $103.31)‡ |
|
(B+, B1) |
|
02/15/21 |
|
6.625 |
|
628,125 |
| ||
|
300 |
|
United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 06/15/13 @ $105.44) |
|
(B, B2) |
|
06/15/16 |
|
10.875 |
|
345,375 |
| ||
|
|
|
|
|
|
|
|
|
|
|
10,384,187 |
| ||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
| ||
|
|
|
|
|
|
|
|
|
|
| ||||
|
CORPORATE BONDS |
|
|
|
|
|
|
|
|
| ||||
|
Telecom - Integrated/Services (0.5%) |
|
|
|
|
|
|
|
|
| ||||
|
$ |
550 |
|
Hellas Telecommunications II SCA, Rule 144A, Subordinated Notesø#^‡ |
|
(NR, NR) |
|
01/15/15 |
|
6.034 |
|
$ |
0 |
|
|
1,100 |
|
Intelsat Jackson Holdings SA, Rule 144A, Company Guaranteed Notes (Callable 04/01/15 @ $103.63)‡ |
|
(B, B3) |
|
04/01/19 |
|
7.250 |
|
1,116,500 |
| ||
|
|
|
|
|
|
|
|
|
|
|
1,116,500 |
| ||
|
Telecom - Wireless (1.2%) |
|
|
|
|
|
|
|
|
| ||||
|
250 |
|
Cricket Communications, Inc., Global Senior Secured Notes (Callable 05/15/12 @ $105.81) |
|
(B+, Ba2) |
|
05/15/16 |
|
7.750 |
|
267,813 |
| ||
|
1,050 |
|
GeoEye, Inc., Global Senior Secured Notes (Callable 10/01/13 @ $104.81) |
|
(BB-, Ba3) |
|
10/01/15 |
|
9.625 |
|
1,204,875 |
| ||
|
300 |
|
GeoEye, Inc., Senior Secured Notes (Callable 10/01/13 @ $104.31) |
|
(B-, B3) |
|
10/01/16 |
|
8.625 |
|
322,500 |
| ||
|
750 |
|
Wind Acquisition Finance SA, Rule 144A, Company Guaranteed Notes (Callable 07/15/13 @ $105.88)‡ |
|
(BB-, B2) |
|
07/15/17 |
|
11.750 |
|
1,026,403 |
| ||
|
|
|
|
|
|
|
|
|
|
|
2,821,591 |
| ||
|
Telecommunications Equipment (2.6%) |
|
|
|
|
|
|
|
|
| ||||
|
1,950 |
|
Avaya, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/15 @ $103.50)‡ |
|
(B, B1) |
|
04/01/19 |
|
7.000 |
|
1,896,375 |
| ||
|
1,700 |
|
Brightstar Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/14 @ $104.75)‡ |
|
(BB-, B1) |
|
12/01/16 |
|
9.500 |
|
1,827,500 |
| ||
|
925 |
|
CommScope, Inc., Rule 144A, Senior Notes (Callable 01/15/15 @ $104.13)‡ |
|
(B, B3) |
|
01/15/19 |
|
8.250 |
|
966,625 |
| ||
|
1,250 |
|
Intelsat Jackson Holdings SA, Rule 144A, Company Guaranteed Notes (Callable 04/01/16 @ $103.75)‡ |
|
(B, B3) |
|
04/01/21 |
|
7.500 |
|
1,271,875 |
| ||
|
|
|
|
|
|
|
|
|
|
|
5,962,375 |
| ||
|
Textiles & Apparel (0.0%) |
|
|
|
|
|
|
|
|
| ||||
|
75 |
|
IT Holding Finance SA, Rule 144A, Company Guaranteed Notesø‡ |
|
(NR, NR) |
|
11/15/12 |
|
9.875 |
|
5,389 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Theaters & Entertainment (2.8%) |
|
|
|
|
|
|
|
|
| ||||
|
3,365 |
|
AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 03/01/12 @ $100.00) |
|
(CCC+, Caa1) |
|
03/01/14 |
|
8.000 |
|
3,390,237 |
| ||
|
750 |
|
AMC Entertainment, Inc., Global Senior Unsecured Notes (Callable 06/01/14 @ $104.38) |
|
(B-, B1) |
|
06/01/19 |
|
8.750 |
|
800,625 |
| ||
|
2,000 |
|
Regal Entertainment Group, Company Guaranteed Notes (Callable 08/15/14 @ $104.56) |
|
(B-, B3) |
|
08/15/18 |
|
9.125 |
|
2,120,000 |
| ||
|
|
|
|
|
|
|
|
|
|
|
6,310,862 |
| ||
|
Tobacco (0.9%) |
|
|
|
|
|
|
|
|
| ||||
|
1,850 |
|
Vector Group, Ltd., Global Senior Secured Notes (Callable 08/15/11 @ $105.50) |
|
(B+, B1) |
|
08/15/15 |
|
11.000 |
|
1,951,750 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Transportation - Excluding Air/Rail (1.4%) |
|
|
|
|
|
|
|
|
| ||||
|
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 |
|
606,125 |
| ||
|
2,130 |
|
Ship Finance International, Ltd., Global Company Guaranteed Notes (Callable 12/15/11 @ $100.00) |
|
(B+, B1) |
|
12/15/13 |
|
8.500 |
|
2,153,963 |
| ||
|
500 |
|
Teekay Corp., Global Senior Unsecured Notes |
|
(BB, B2) |
|
01/15/20 |
|
8.500 |
|
525,000 |
| ||
|
|
|
|
|
|
|
|
|
|
|
3,285,088 |
| ||
|
TOTAL CORPORATE BONDS (Cost $283,956,672) |
|
|
|
|
|
|
290,106,375 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
BANK LOANS (10.9%) |
|
|
|
|
|
|
|
|
| ||||
|
Aerospace & Defense (1.3%) |
|
|
|
|
|
|
|
|
| ||||
|
2,047 |
|
London Acquisition Holdings B.V.#^ |
|
(B, B1) |
|
05/12/14 |
|
12.186 |
|
2,911,833 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Building Materials (0.5%) |
|
|
|
|
|
|
|
|
| ||||
|
1,000 |
|
Goodman Global Holdings, Inc.# |
|
(B-, B3) |
|
10/30/17 |
|
9.000 |
|
1,022,500 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Chemicals (0.8%) |
|
|
|
|
|
|
|
|
| ||||
|
1,764 |
|
PQ Corp.# |
|
(B+, B3) |
|
07/30/14 |
|
3.441 |
|
1,707,675 |
| ||
|
Par |
|
|
|
Ratings† |
|
Maturity |
|
Rate% |
|
Value |
| ||
|
|
|
|
|
|
|
|
|
|
| ||||
|
BANK LOANS |
|
|
|
|
|
|
|
|
| ||||
|
Environmental (0.4%) |
|
|
|
|
|
|
|
|
| ||||
|
$ |
1,000 |
|
EnviroSolutions Real Property Holdings, Inc.# |
|
(CCC-, Caa1) |
|
07/29/14 |
|
8.000 |
|
$ |
985,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Food - Wholesale (0.9%) |
|
|
|
|
|
|
|
|
| ||||
|
2,000 |
|
The Great Atlantic & Pacific Tea Co., Inc.# |
|
(NR, NR) |
|
06/14/12 |
|
8.750 |
|
2,010,840 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Health Services (0.9%) |
|
|
|
|
|
|
|
|
| ||||
|
265 |
|
Nyco Holdings 3 ApS# |
|
(B+, B2) |
|
12/29/13 |
|
3.191 |
|
261,116 |
| ||
|
1,496 |
|
Onex Carestream Finance LP# |
|
(BB-, B1) |
|
02/25/17 |
|
5.000 |
|
1,386,470 |
| ||
|
500 |
|
Warner Chilcott Corp.# |
|
(BBB-, Ba3) |
|
03/15/18 |
|
4.250 |
|
500,125 |
| ||
|
|
|
|
|
|
|
|
|
|
|
2,147,711 |
| ||
|
lnvestments & Misc. Financial Services (1.1%) |
|
|
|
|
|
|
|
|
| ||||
|
2,500 |
|
BNY ConvergEX Group LLC# |
|
(B-, B2) |
|
12/18/17 |
|
8.750 |
|
2,495,000 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Media - Diversified (0.8%) |
|
|
|
|
|
|
|
|
| ||||
|
1,073 |
|
Flint Group Holdings Sarl# |
|
(B-, B2) |
|
12/31/14 |
|
6.691 |
|
1,029,931 |
| ||
|
859 |
|
Flint Group Holdings Sarl# |
|
(B-, B2) |
|
06/30/16 |
|
6.955 |
|
839,224 |
| ||
|
|
|
|
|
|
|
|
|
|
|
1,869,155 |
| ||
|
Metals & Mining - Excluding Steel (1.1%) |
|
|
|
|
|
|
|
|
| ||||
|
500 |
|
American Rock Salt Co. LLC# |
|
(B+, B3) |
|
04/25/17 |
|
5.500 |
|
500,315 |
| ||
|
1,984 |
|
Global Brass & Copper, Inc.# |
|
(B, B2) |
|
08/18/15 |
|
10.250 |
|
2,023,971 |
| ||
|
|
|
|
|
|
|
|
|
|
|
2,524,286 |
| ||
|
Oil Field Equipment & Services (0.4%) |
|
|
|
|
|
|
|
|
| ||||
|
1,200 |
|
Amtrol, Inc.# |
|
(NR, NR) |
|
12/05/14 |
|
4.841 |
|
888,000 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Packaging (0.4%) |
|
|
|
|
|
|
|
|
| ||||
|
1,026 |
|
Hilex Poly Co. LLC# |
|
(B, B3) |
|
11/19/15 |
|
11.250 |
|
1,014,457 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Printing & Publishing (0.3%) |
|
|
|
|
|
|
|
|
| ||||
|
1,750 |
|
Yell Group PLC# |
|
(B-, B2) |
|
07/31/14 |
|
3.941 |
|
598,745 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Software/Services (0.9%) |
|
|
|
|
|
|
|
|
| ||||
|
2,000 |
|
SafeNet, Inc.# |
|
(B-, Caa1) |
|
04/12/15 |
|
6.191 |
|
1,978,760 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Telecom - Integrated/Services (0.7%) |
|
|
|
|
|
|
|
|
| ||||
|
1,500 |
|
Mobsat Group Holding Sarl# |
|
(B+, B1) |
|
09/05/17 |
|
5.436 |
|
1,492,500 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Telecommunications Equipment (0.4%) |
|
|
|
|
|
|
|
|
| ||||
|
350 |
|
Avaya, Inc.# |
|
(B, B1) |
|
10/24/14 |
|
2.941 |
|
334,139 |
| ||
|
703 |
|
Avaya, Inc.# |
|
(B, B1) |
|
10/26/17 |
|
4.691 |
|
675,461 |
| ||
|
|
|
|
|
|
|
|
|
|
|
1,009,600 |
| ||
|
TOTAL BANK LOANS (Cost $24,416,322) |
|
|
|
|
|
|
|
24,656,062 |
| ||||
|
Number of |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
COMMON STOCKS (0.4%) |
|
|
|
|
|
|
|
|
| |||
|
Building Materials (0.0%) |
|
|
|
|
|
|
|
|
| |||
|
619 |
|
Dayton Superior Corp.*^ |
|
|
|
|
|
|
|
0 |
| |
|
437 |
|
Nortek, Inc.* |
|
|
|
|
|
|
|
13,547 |
| |
|
|
|
|
|
|
|
|
|
|
|
13,547 |
| |
|
Chemicals (0.0%) |
|
|
|
|
|
|
|
|
| |||
|
4,893 |
|
Huntsman Corp. |
|
|
|
|
|
|
|
93,456 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Forestry & Paper (0.1%) |
|
|
|
|
|
|
|
|
| |||
|
|
11,409 |
|
AbitibiBowater, Inc.*§ |
|
|
|
|
|
|
|
208,557 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Leisure (0.3%) |
|
|
|
|
|
|
|
|
| |||
|
18,392 |
|
Six Flags Entertainment Corp.§ |
|
|
|
|
|
|
|
647,583 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Printing & Publishing (0.0%) |
|
|
|
|
|
|
|
|
| |||
|
1,322 |
|
SuperMedia, Inc.*§ |
|
|
|
|
|
|
|
4,825 |
| |
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 July 31, 2011, these securities amounted to a value of $145,865,587 or 64.7% 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, 2011. |
|
1 |
Par value of security held is less than 1000. |
|
+ |
Step Bond — The interest rate is as of July 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 July 31, 2011. |
|
Forward Foreign Currency |
|
Forward Foreign Currency |
|
Expiration |
|
Counterparty |
|
Value on |
|
Current |
|
Unrealized |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
Open Forward Foreign Currency Contract |
|
|
|
|
|
|
|
|
| ||||||
|
USD |
21,713,760 |
|
EUR |
15,300,000 |
|
10/14/11 |
|
Morgan Stanley |
|
(21,713,760 |
) |
(21,947,859 |
) |
(234,099 |
) |
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 July 31, 2011, the Fund held 1.47% 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 $4,653,584 and fair value of $3,309,126. 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 July 31, 2011 in valuing the Fund’s investments carried at value:
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
| ||||
|
Investments in Securities |
|
|
|
|
|
|
|
|
| ||||
|
Corporate Bonds |
|
$ |
— |
|
$ |
290,036,008 |
|
$ |
70,367 |
|
$ |
290,106,375 |
|
|
Bank Loans |
|
— |
|
21,744,229 |
|
2,911,833 |
|
24,656,062 |
| ||||
|
Common Stocks |
|
967,968 |
|
— |
|
— |
|
967,968 |
| ||||
|
Preferred Stocks |
|
429,750 |
|
— |
|
193,020 |
|
622,770 |
| ||||
|
Warrants |
|
4,608 |
|
14,165 |
|
133,906 |
|
152,679 |
| ||||
|
Short-Term Investments |
|
9,057,183 |
|
6,163,000 |
|
— |
|
15,220,183 |
| ||||
|
Other Financial Instruments * |
|
|
|
|
|
|
|
|
| ||||
|
Forward Foreign Currency Contract |
|
— |
|
(234,099 |
) |
— |
|
(234,099 |
) | ||||
|
|
|
$ |
10,459,509 |
|
$ |
317,723,303 |
|
$ |
3,309,126 |
|
$ |
331,491,938 |
|
* Other financial instruments include futures, forwards and swap contracts.
The following is a reconciliation of investments as of July 31, 2011 in which significant unobservable inputs (Level 3) were used in determining value:
|
|
|
Investments |
| |
|
Balance as of October 31, 2010 |
|
$ |
1,204 |
|
|
Accrued discounts/premiums |
|
2,267 |
| |
|
Purchases |
|
2,890,251 |
| |
|
Sales |
|
0 |
| |
|
Realized Gain/(Loss) |
|
19 |
| |
|
Change in Unrealized Appreciation/(Depreciation) |
|
356,604 |
| |
|
Transfers Into Level 3 |
|
59,933 |
| |
|
Transfers Out of Level 3 |
|
(1,152 |
) | |
|
Balance as of July 31, 2011 |
|
$ |
3,309,126 |
|
|
|
|
|
| |
|
Net change in unrealized Appreciation/(Depreciation) from investments still held as of July 31, 2011 |
|
$ |
(147,353 |
) |
As of July 31, 2011, the amounts shown by the Fund as being Level 3 securities that were measured at fair value amounted to 1.47% of net assets.
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, 2011, there were no significant transfers in and out of Level 1 and Level 2.
Federal Income Tax Cost — At July 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 $326,182,200, $17,037,101, $(11,493,264) and $5,543,837, 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 19, 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: |
September 19, 2011 |
|
|
|
|
|
|
|
|
/s/Michael A. Pignataro |
|
| |
|
Name: |
Michael A. Pignataro |
|
|
|
Title: |
Chief Financial Officer |
|
|
|
Date: |
September 19, 2011 |
|
|