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 One Madison Avenue New York, New York					10010
(Address of principal executive offices)					(Zip code)

John G. Popp One 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:		May 1, 2012 to July 31, 2012

Item 1: Schedule of Investments

Credit Suisse High Yield Bond Fund

Schedule of Investments

July 31, 2012 (unaudited)

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

CORPORATE BONDS (119.5%)
Aerospace & Defense (0.4%)
$	1,000	Ducommun, Inc., Global Company Guaranteed Notes (Callable 07/15/15 @ 104.88)	(B-, B3)	07/15/18	9.750	$	1,040,000

Auto Parts & Equipment (6.1%)
2,315		Affinia Group, Inc., Global Company Guaranteed Notes (Callable 11/30/12 @ 100.00)	(CCC+, B3)	11/30/14	9.000	2,364,194
1,000		Affinia Group, Inc., Rule 144A, Senior Secured Notes (Callable 09/04/12 @ 108.06)‡	(B+, B1)	08/15/16	10.750	1,086,250
900		IDQ Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 10/01/14 @ 108.63)‡	(B, B3)	04/01/17	11.500	948,375
750		Lear Corp., Company Guaranteed Notes (Callable 03/15/15 @ 104.06)	(BB, Ba2)	03/15/20	8.125	848,438
1,935		Mark IV USA SCA, Rule 144A, Senior Secured Notes (Callable 12/15/13 @ 106.66)‡€	(BB-, Ba3)	12/15/17	8.875	2,490,286
850		Meritor, Inc., Company Guaranteed Notes (Callable 03/15/14 @ 105.31)§	(B-, B3)	03/15/18	10.625	889,312
1,000		Schaeffler Finance BV, Rule 144A, Senior Secured Notes‡	(B, B1)	02/15/17	7.750	1,063,750
2,000		Schaeffler Finance BV, Rule 144A, Senior Secured Notes (Callable 02/15/15 @ 106.38)‡	(B, B1)	02/15/19	8.500	2,165,000
2,100		Stoneridge, Inc., Rule 144A, Senior Secured Notes (Callable 10/15/14 @ 104.75)‡	(BB-, B2)	10/15/17	9.500	2,191,875
1,525		UCI International, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.31)	(CCC+, B3)	02/15/19	8.625	1,561,219
						15,608,699
Building & Construction (0.5%)
741		Ashton Woods Finance Co., Rule 144A, Company Guaranteed Notes (Callable 02/24/14 @ 105.50)+‡	(NR, NR)	06/30/15	11.000	698,392
600		K Hovnanian Enterprises, Inc., Rule 144A, Senior Secured Notes‡	(CC, B3)	11/01/21	2.000	399,750
253		William Lyon Homes, Inc., Global Notes	(NR, NR)	02/25/17	12.000	235,751
						1,333,893
Building Materials (4.1%)
2,550		Euramax International, Inc., Global Senior Secured Notes (Callable 04/01/13 @ 107.13)	(B-, Caa1)	04/01/16	9.500	2,307,750
1,000		HD Supply, Inc., Rule 144A, Senior Secured Notes (Callable 04/15/15 @ 106.09)‡	(B+, B2)	04/15/19	8.125	1,092,500
1,750		Headwaters, Inc., Global Secured Notes (Callable 04/01/15 @ 103.81)	(B+, B2)	04/01/19	7.625	1,756,563
3,500		International Wire Group, Inc., Rule 144A, Senior Secured Notes (Callable 10/15/12 @ 104.88)‡	(B+, B3)	04/15/15	9.750	3,675,000
525		Summit Materials LLC, Rule 144A, Senior Unsecured Notes (Callable 01/31/16 @ 105.25)‡	(B, B3)	01/31/20	10.500	577,500
1,000		Xefin Lux SCA, Rule 144A, Senior Secured Notes (Callable 06/01/14 @ 106.00)‡€	(B+, Ba3)	06/01/18	8.000	1,191,524
						10,600,837
Chemicals (6.0%)
1,900		Ferro Corp., Senior Unsecured Notes (Callable 08/15/14 @ 103.94)	(B-, B1)	08/15/18	7.875	1,795,500
500		Hexion Nova Scotia Finance ULC, Secured Notes (Callable 11/15/15 @ 104.50)	(CCC+, NR)	11/15/20	9.000	425,000
700		Ineos Finance PLC, Rule 144A, Senior Secured Notes (Callable 02/15/15 @ 106.28)‡	(B+, B1)	02/15/19	8.375	727,125
250		Ineos Finance PLC, Rule 144A, Senior Secured Notes (Callable 02/15/15 @ 102.00)#‡€	(B+, B1)	02/15/19	7.250	304,809
400		Ineos Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/15/13 @ 104.50)‡	(B+, B1)	05/15/15	9.000	424,000
1,675		Ineos Group Holdings PLC, Rule 144A, Company Guaranteed Notes (Callable 02/15/13 @ 101.42)‡§	(CCC+, Caa1)	02/15/16	8.500	1,524,250
2,000		Momentive Performance Materials, Inc., Global Secured Notes (Callable 01/15/16 @ 104.50)§	(CCC, Caa1)	01/15/21	9.000	1,470,000
2,175		OXEA Finance & Cy SCA, Rule 144A, Senior Secured Notes (Callable 07/15/13 @ 107.13)‡	(B+, B2)	07/15/17	9.500	2,343,563
1,800		Polymer Group, Inc., Global Senior Secured Notes (Callable 02/01/15 @ 103.88)	(B, B1)	02/01/19	7.750	1,944,000

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

CORPORATE BONDS
Chemicals
$	1,253	Reichhold Industries, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/04/12 @ 100.00)‡	(CCC+, NR)	05/08/17	9.000	$	921,304
750		Styrolution GmbH, Rule 144A, Senior Secured Notes (Callable 05/15/13 @ 105.72)‡€	(B+, B2)	05/15/16	7.625	792,040
1,500		Taminco Global Chemical Corp., Rule 144A, Secured Notes (Callable 03/31/15 @ 107.31)‡	(B-, Caa1)	03/31/20	9.750	1,582,500
1,100		TPC Group LLC, Global Senior Secured Notes (Callable 10/01/13 @ 106.19)	(NR, B1)	10/01/17	8.250	1,196,250
						15,450,341
Computer Hardware (1.4%)
3,750		Spansion LLC, Global Company Guaranteed Notes (Callable 11/15/13 @ 103.94)	(BB-, B3)	11/15/17	7.875	3,618,750

Consumer Products (1.9%)
2,000		NBTY, Inc., Global Company Guaranteed Notes (Callable 10/01/14 @ 104.50)	(B, B3)	10/01/18	9.000	2,230,000
2,375		Prestige Brands, Inc., Global Senior Secured Notes (Callable 04/01/14 @ 104.13)	(BB-, Ba3)	04/01/18	8.250	2,621,406
						4,851,406
Consumer/Commercial/Lease Financing (2.2%)
1,536		CIT Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/04/12 @ 100.00)‡	(BB-, B1)	05/02/17	7.000	1,545,241
900		CNG Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 05/15/16 @ 104.69)‡	(B, B3)	05/15/20	9.375	918,000
650		PFG Finance Corp., Rule 144A, Senior Notes (Callable 02/15/15 @ 105.06)‡	(B, B2)	02/15/19	10.125	646,750
2,300		PFG Finance Corp., Rule 144A, Senior Secured Notes (Callable 04/15/14 @ 105.13)‡	(BB, Ba3)	04/15/17	10.250	2,449,500
						5,559,491
Discount Stores (0.9%)
2,200		Number Merger Sub, Inc., Rule 144A, Senior Notes (Callable 12/15/14 @ 108.25)‡	(NR, Caa1)	12/15/19	11.000	2,417,250

Diversified Capital Goods (2.1%)
450		Belden, Inc., Global Company Guaranteed Notes (Callable 03/15/13 @ 102.33)	(B+, Ba2)	03/15/17	7.000	468,563
625		Belden, Inc., Global Company Guaranteed Notes (Callable 06/15/14 @ 104.63)	(B+, Ba2)	06/15/19	9.250	690,625
800		Coleman Cable, Inc., Global Company Guaranteed Notes (Callable 02/15/14 @ 104.50)	(B, B3)	02/15/18	9.000	849,000
1,157		FCC Holdings, Inc., Rule 144A, Notes (Callable 12/15/12 @ 106.00)‡	(CCC, Caa3)	12/15/15	13.000	931,488
1,000		JM Huber Corp., Rule 144A, Senior Unsecured Notes (Callable 11/01/15 @ 104.94)‡	(BB-, B2)	11/01/19	9.875	1,107,500
823		Mueller Water Products, Inc., Global Company Guaranteed Notes (Callable 09/01/15 @ 104.38)	(NR, B2)	09/01/20	8.750	923,817
460		Trimas Corp., Global Senior Secured Notes (Callable 12/15/13 @ 104.88)	(B, B1)	12/15/17	9.750	515,200
						5,486,193
Electric - Generation (0.5%)
2,925		TCEH Finance, Inc., LLC, Series A, Global Company Guaranteed Notes (Callable 11/01/12 @ 102.56)	(D, Caa3)	11/01/15	10.250	928,687
1,175		TCEH Finance, Inc., LLC, Series B, Global Company Guaranteed Notes (Callable 11/01/12 @ 102.56)	(D, Caa3)	11/01/15	10.250	343,688
						1,272,375
Electric - Integrated (0.7%)
675		The AES Corp., Global Senior Unsecured Notes	(BB-, Ba3)	10/15/17	8.000	788,063
900		The AES Corp., Rule 144A, Senior Notes‡	(BB-, Ba3)	07/01/21	7.375	1,033,875
						1,821,938

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

CORPORATE BONDS
Electronics (1.3%)
$	1,500	CPI International, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.00)	(CCC+, B3)	02/15/18	8.000	$	1,417,500
928		Freescale Semiconductor, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/14 @ 105.06)‡	(B, B1)	03/15/18	10.125	1,016,160
1,000		MEMC Electronic Materials, Inc., Global Company Guaranteed Notes (Callable 04/01/14 @ 105.81)	(B+, Caa1)	04/01/19	7.750	782,500
						3,216,160
Energy - Exploration & Production (13.6%)
850		Comstock Resources, Inc., Company Guaranteed Notes (Callable 04/01/15 @ 103.88)	(B-, B3)	04/01/19	7.750	824,500
2,350		Comstock Resources, Inc., Company Guaranteed Notes (Callable 10/15/13 @ 104.19)	(B-, B3)	10/15/17	8.375	2,361,750
50		Denbury Resources, Inc., Company Guaranteed Notes (Callable 03/01/13 @ 104.88)	(BB, B1)	03/01/16	9.750	54,750
2,500		Energy Partners Ltd., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.13)	(B-, Caa1)	02/15/18	8.250	2,500,000
950		Energy XXI Gulf Coast, Inc., Company Guaranteed Notes (Callable 12/15/14 @ 104.63)	(B, B3)	12/15/17	9.250	1,056,875
650		Everest Acquisition Finance, Inc., Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 103.44)‡	(BB-, Ba3)	05/01/19	6.875	694,688
2,600		Everest Acquisition Finance, Inc., Rule 144A, Senior Unsecured Notes (Callable 05/01/16 @ 104.69)‡	(B, B2)	05/01/20	9.375	2,801,500
1,575		EXCO Resources, Inc., Company Guaranteed Notes (Callable 09/15/14 @ 103.75)	(CCC+, B3)	09/15/18	7.500	1,433,250
1,000		Halcon Resources Corp., Rule 144A, Company Guaranteed Notes (Callable 07/15/16 @ 104.88)‡	(CCC+, B3)	07/15/20	9.750	1,020,000
900		Linn Energy Finance Corp., Global Company Guaranteed Notes (Callable 09/15/15 @ 103.88)	(B, B2)	02/01/21	7.750	954,000
1,800		Linn Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 11/01/15 @ 103.13)‡	(B, B2)	11/01/19	6.250	1,784,250
3,750		McMoRan Exploration Co., Company Guaranteed Notes (Callable 11/15/12 @ 104.94)	(B-, Caa1)	11/15/14	11.875	3,928,125
1,250		Oasis Petroleum, Inc., Global Company Guaranteed Notes (Callable 02/01/15 @ 103.63)	(B, B3)	02/01/19	7.250	1,306,250
1,075		PBF Finance Co., Rule 144A, Senior Secured Notes (Callable 02/15/16 @ 104.13)‡	(BB+, Ba3)	02/15/20	8.250	1,126,062
1,050		Penn Virginia Resource Finance Corp II, Rule 144A, Company Guaranteed Notes (Callable 06/01/16 @ 104.19)‡	(B, B2)	06/01/20	8.375	1,065,750
1,425		Petrohawk Energy Corp., Global Company Guaranteed Notes (Callable 08/15/14 @ 103.63)	(BBB+, Baa3)	08/15/18	7.250	1,614,586
2,475		Pioneer Natural Resources Co., Senior Unsecured Notes	(BBB-, Baa3)	01/15/20	7.500	3,079,717
800		Stone Energy Corp., Company Guaranteed Notes (Callable 02/01/14 @ 104.31)	(B, B3)	02/01/17	8.625	836,000
1,525		Stone Energy Corp., Global Senior Subordinated Notes (Callable 12/15/12 @ 100.00)	(CCC+, Caa1)	12/15/14	6.750	1,525,000
475		Swift Energy Co., Company Guaranteed Notes (Callable 09/04/12 @ 103.56)	(B+, B3)	06/01/17	7.125	488,063
500		Swift Energy Co., Global Company Guaranteed Notes (Callable 03/01/17 @ 103.94)	(B+, B3)	03/01/22	7.875	512,500
2,500		Trinidad Drilling, Ltd., Rule 144A, Senior Unsecured Notes (Callable 01/15/15 @ 103.94)‡	(BB-, B1)	01/15/19	7.875	2,681,250
1,000		W&T Offshore, Inc., Global Company Guaranteed Notes (Callable 06/15/15 @ 104.25)	(B, B3)	06/15/19	8.500	1,055,000
						34,703,866
Environmental (2.1%)
1,100		Casella Waste Systems, Inc., Global Senior Secured Notes (Callable 09/04/12 @ 105.50)	(BB-, B3)	07/15/14	11.000	1,171,500
900		Darling International, Inc., Global Company Guaranteed Notes (Callable 12/15/14 @ 104.25)	(BB+, Ba3)	12/15/18	8.500	1,014,750
1,800		EnergySolutions LLC, Global Company Guaranteed Notes (Callable 08/15/14 @ 105.38)	(B, Caa2)	08/15/18	10.750	1,561,500

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

CORPORATE BONDS
Environmental
$	1,750	Heckmann Corp., Rule 144A, Company Guaranteed Notes (Callable 04/15/15 @ 104.94)‡	(B-, Caa1)	04/15/18	9.875	$	1,675,625
						5,423,375
Food - Wholesale (1.0%)
1,075		Del Monte Corp., Global Company Guaranteed Notes (Callable 02/15/14 @ 103.81)	(CCC+, B3)	02/15/19	7.625	1,072,312
1,400		Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 05/15/13 @ 105.63)‡	(B+, B3)	05/15/15	11.250	1,475,250
						2,547,562
Forestry & Paper (0.8%)
300		Lecta SA, Rule 144A, Senior Secured Notes (Callable 05/15/15 @ 106.66)‡€	(B+, B1)	05/15/19	8.875	347,297
1,000		Smurfit Kappa Funding PLC, Global Senior Subordinated Notes (Callable 01/31/13 @ 100.00)	(B+, B1)	04/01/15	7.750	1,015,000
950		Stone & Webster, Inc.*	(NR, NR)	07/02/13	0.000	22,563
1,400		Verso Paper, Inc., Global Secured Notes (Callable 02/01/15 @ 104.38)	(CCC+, B3)	02/01/19	8.750	560,000
						1,944,860
Gaming (8.1%)
1,700		Affinity Gaming Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 05/15/15 @ 104.50)‡	(B, Caa1)	05/15/18	9.000	1,700,000
775		Buffalo Thunder Development Authority, Rule 144A, Senior Secured Notes (Callable 12/15/12 @ 100.00)ø‡	(NR, NR)	12/15/14	9.375	290,625
2,217		Chester Downs & Marina LLC, Rule 144A, Senior Secured Notes (Callable 02/01/16 @ 104.63)‡	(B+, B3)	02/01/20	9.250	2,300,137
1,043		Choctaw Resort Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/12 @ 102.42)‡	(B, Caa1)	11/15/19	7.250	870,905
1,511		Chukchansi Economic Development Authority, Rule 144A, Secured Notes (Callable 05/30/16 @ 104.88)‡	(NR, Caa2)	05/30/20	9.750	1,159,693
1,500		Cirsa Funding Luxembourg SA, Rule 144A, Company Guaranteed Notes (Callable 05/15/14 @ 104.38)‡€	(B+, B3)	05/15/18	8.750	1,547,134
625		Fontainebleau Las Vegas Holdings LLC, Rule 144A, Second Mortgage Notes (Callable 09/04/12 @ 102.56)ø‡	(NR, NR)	06/15/15	10.250	1,172
1,000		Greektown Superholdings, Inc., Series A, Global Secured Notes (Callable 01/01/13 @ 106.50)	(NR, NR)	07/01/15	13.000	1,092,500
1,700		Greektown Superholdings, Inc., Series B, Global Secured Notes (Callable 01/01/13 @ 106.50)	(NR, NR)	07/01/15	13.000	1,857,250
3,025		Jacobs Entertainment, Inc., Global Company Guaranteed Notes (Callable 09/04/12 @ 100.00)	(B-, Caa1)	06/15/14	9.750	2,964,500
319		Majestic Star Casino LLC, Rule 144A, Senior Notes‡	(NR, NR)	12/01/16	12.500	284,320
950		Peninsula Gaming LLC, Global Company Guaranteed Notes (Callable 08/15/13 @ 105.38)	(B, Caa1)	08/15/17	10.750	1,086,563
2,285		Peninsula Gaming LLC, Global Secured Notes (Callable 08/15/12 @ 104.19)	(BB, Ba3)	08/15/15	8.375	2,399,250
1,000		Rivers Pittsburgh Finance Corp., Rule 144A, Senior Secured Notes (Callable 06/15/15 @ 104.75)‡	(B, B3)	06/15/19	9.500	1,048,750
670		Tropicana Finance Corp., Global Senior Subordinated Notes (Callable 12/15/12 @ 100.00)ø^	(NR, NR)	12/15/14	9.625	67
2,085		Tunica-Biloxi Gaming Authority, Rule 144A, Senior Unsecured Notes (Callable 11/15/12 @ 101.60)‡	(B+, B3)	11/15/15	9.000	2,001,600
						20,604,466
Gas Distribution (1.8%)
1,100		Genesis Energy LP, Global Company Guaranteed Notes (Callable 12/15/14 @ 103.94)	(B, B2)	12/15/18	7.875	1,160,500
1,100		Genesis Energy LP, Rule 144A, Senior Unsecured Notes (Callable 12/15/14 @ 103.94)‡	(NR, B2)	12/15/18	7.875	1,160,500
1,500		Holly Energy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 03/01/16 @ 103.25)‡	(BB-, B1)	03/01/20	6.500	1,571,250

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

CORPORATE BONDS
Gas Distribution
$	600	Targa Resources Partners Finance Corp., Global Company Guaranteed Notes (Callable 09/04/12 @ 104.13)	(BB, Ba3)	07/01/16	8.250	$	628,500
						4,520,750
Health Facilities (2.4%)
545		Bausch & Lomb, Inc., Global Senior Unsecured Notes (Callable 11/01/12 @ 102.47)	(B, Caa1)	11/01/15	9.875	571,569
700		MPT Finance Corp., Global Company Guaranteed Notes (Callable 05/01/16 @ 103.44)	(BB, Ba1)	05/01/21	6.875	747,250
625		Radiation Therapy Services, Inc., Global Company Guaranteed Notes (Callable 04/15/14 @ 104.94)	(CCC+, Caa2)	04/15/17	9.875	410,937
1,950		Symbion, Inc., Global Senior Secured Notes (Callable 06/15/14 @ 104.00)	(B, B2)	06/15/16	8.000	1,959,750
900		Tenet Healthcare Corp., Global Senior Secured Notes (Callable 07/01/14 @ 104.44)	(BB-, B1)	07/01/19	8.875	1,024,875
700		USPI Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 04/01/15 @ 106.75)‡	(CCC+, Caa1)	04/01/20	9.000	757,750
634		VWR Funding, Inc., Series B, Global Company Guaranteed Notes (Callable 09/18/12 @ 102.56)#	(B-, Caa1)	07/15/15	10.250	654,347
						6,126,478
Health Services (2.1%)
650		Capsugel FinanceCo SCA, Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ 107.41)‡€	(B, Caa1)	08/01/19	9.875	896,568
675		inVentiv Health, Inc., Rule 144A, Company Guaranteed Notes (Callable 08/15/14 @ 105.00)‡	(CCC, Caa2)	08/15/18	10.000	560,250
425		Service Corp. International, Senior Unsecured Notes	(BB-, Ba3)	11/15/21	8.000	502,563
2,440		STHI Holding Corp., Rule 144A, Secured Notes (Callable 03/15/14 @ 106.00)‡	(B, B2)	03/15/18	8.000	2,598,600
250		Universal Hospital Services, Inc., Global Secured Notes (Callable 09/04/12 @ 102.13)	(B+, B3)	06/01/15	8.500	257,625
500		Universal Hospital Services, Inc., Rule 144A, Senior Secured Notes (Callable 08/15/15 @ 105.72)‡	(B+, B3)	08/15/20	7.625	511,250
						5,326,856
Insurance Brokerage (2.3%)
2,150		Alliant Holdings I, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/13 @ 100.00)‡	(CCC, Caa2)	05/01/15	11.000	2,249,437
1,605		HUB International Holdings, Inc., Rule 144A, Senior Subordinated Notes (Callable 09/04/12 @ 102.56)‡	(CCC+, Caa2)	06/15/15	10.250	1,621,050
2,000		USI Holdings Corp., Rule 144A, Company Guaranteed Notes#‡	(CCC, Caa1)	11/15/14	4.342	1,890,000
						5,760,487
Investments & Misc. Financial Services (0.5%)
1,000		Numericable Finance & Co., Rule 144A, Secured Notes (Callable 02/15/16 @ 106.19)‡€	(B, B2)	02/15/19	12.375	1,234,629

Leisure (1.5%)
1,650		Magnum Management Corp., Global Company Guaranteed Notes (Callable 08/01/14 @ 104.56)	(B, B2)	08/01/18	9.125	1,865,531
2,000		Palace Entertainment Holdings Corp., Rule 144A, Senior Secured Notes (Callable 04/15/14 @ 104.44)‡	(B-, B2)	04/15/17	8.875	2,100,000
						3,965,531
Machinery (1.7%)
2,300		CPM Holdings, Inc., Global Senior Secured Notes (Callable 09/01/12 @ 105.31)	(B+, B2)	09/01/14	10.625	2,449,500
1,620		Dematic SA, Rule 144A, Senior Secured Notes (Callable 05/01/13 @ 104.38)‡	(B, B2)	05/01/16	8.750	1,725,300
250		Terex Corp., Senior Subordinated Notes (Callable 11/15/12 @ 104.00)§	(B, Caa1)	11/15/17	8.000	264,375
						4,439,175

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

CORPORATE BONDS
Media - Broadcast (2.2%)
$	1,000	Clear Channel Worldwide Holding, Inc., Company Guaranteed Notes, Rule 144A, (Callable 03/15/15 @ 105.72)‡	(B, B3)	03/15/20	7.625	$	962,500
3,500		Mission Broadcasting, Inc., Global Secured Notes (Callable 04/15/14 @ 104.44)	(B, B3)	04/15/17	8.875	3,727,500
341		Nexstar Broadcasting, Inc., Series 1, Global Company Guaranteed Notes (Callable 09/04/12 @ 100.00)	(CCC+, NR)	01/15/14	7.000	339,746
650		Townsquare Radio, Inc., Rule 144A, Company Guaranteed Notes (Callable 04/01/15 @ 106.75)‡	(B, B3)	04/01/19	9.000	685,750
						5,715,496
Media - Cable (4.0%)
75		Cablevision Systems Corp., Senior Unsecured Notes	(B+, B1)	04/15/18	7.750	81,937
1,150		Cablevision Systems Corp., Senior Unsecured Notes§	(B+, B1)	04/15/20	8.000	1,279,375
414		CCH II Capital Corp., Global Senior Notes (Callable 11/30/12 @ 106.75)	(B, B2)	11/30/16	13.500	459,899
1,925		CCO Holdings Capital Corp., Global Company Guaranteed Notes (Callable 04/30/15 @ 104.06)	(BB-, B1)	04/30/20	8.125	2,184,875
1,950		Cequel Capital Corp., Rule 144A, Senior Unsecured Notes (Callable 11/15/12 @ 106.47)‡	(B-, B3)	11/15/17	8.625	2,110,875
525		CSC Holdings LLC, Global Senior Unsecured Notes	(BB, Ba3)	02/15/19	8.625	618,187
1,500		DISH DBS Corp., Global Company Guaranteed Notes	(BB-, Ba2)	09/01/19	7.875	1,751,250
1,000		Harron Finance Corp., Rule 144A, Senior Notes (Callable 04/01/16 @ 104.56)‡	(B-, Caa1)	04/01/20	9.125	1,075,000
600		Unitymedia NRW GmbH, Rule 144A, Senior Secured Notes (Callable 03/15/15 @ 103.75)‡	(BB-, Ba3)	03/15/19	7.500	638,871
						10,200,269
Media - Diversified (1.0%)
1,800		Block Communications, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/01/16 @ 103.63)‡	(B+, Ba3)	02/01/20	7.250	1,885,500
600		Quebecor Media, Inc., Global Senior Unsecured Notes (Callable 03/15/13 @ 101.29)	(B+, B1)	03/15/16	7.750	618,750
						2,504,250
Media - Services (1.1%)
150		Clear Channel Worldwide Holdings, Inc., Global Company Guaranteed Notes (Callable 12/15/12 @ 106.94)	(B, B1)	12/15/17	9.250	162,000
1,500		Clear Channel Worldwide Holdings, Inc., Series B, Global Company Guaranteed Notes (Callable 12/15/12 @ 106.94)	(B, B1)	12/15/17	9.250	1,627,500
548		SGS International, Inc., Global Company Guaranteed Notes	(B, B2)	12/15/13	12.000	554,165
400		WMG Acquisition Corp., Global Senior Secured Notes (Callable 06/15/13 @ 104.75)	(BB-, Ba2)	06/15/16	9.500	441,500
						2,785,165
Metals & Mining - Excluding Steel (6.5%)
1,350		Calcipar SA, Rule 144A, Senior Secured Notes (Callable 05/01/15 @ 103.44)‡	(BB, B1)	05/01/18	6.875	1,333,125
600		FMG Resources August 2006 Pty Ltd., Rule 144A, Senior Notes (Callable 11/01/15 @ 104.13)‡	(BB-, Ba3)	11/01/19	8.250	634,500
1,500		Global Brass & Copper, Inc., Rule 144A, Senior Secured Notes (Callable 06/01/16 @ 104.75)‡	(B, B3)	06/01/19	9.500	1,545,000
2,100		Kaiser Aluminum Corp., Rule 144A, Company Guaranteed Notes (Callable 06/01/16 @ 104.13)‡	(BB-, Ba3)	06/01/20	8.250	2,194,500
1,750		Molycorp, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/01/16 @ 105.00)‡§	(B, B2)	06/01/20	10.000	1,653,750
2,375		Noranda Aluminium Acquisition Corp., Global Company Guaranteed Notes#	(B-, B3)	05/15/15	4.730	2,279,524
225		Old AII, Inc., Global Company Guaranteed Notes (Callable 12/15/12 @ 100.00)ø	(NR, NR)	12/15/14	9.000	22
1,100		Old AII, Inc., Global Company Guaranteed Notes (Callable 12/15/12 @ 103.33)ø	(NR, NR)	12/15/16	10.000	110
3,000		Quadra FNX Mining Ltd., Rule 144A, Company Guaranteed Notes (Callable 06/15/15 @ 103.88)‡	(BB-, B1)	06/15/19	7.750	3,120,000

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

CORPORATE BONDS
Metals & Mining - Excluding Steel
$	2,700	Taseko Mines Ltd., Company Guaranteed Notes (Callable 04/15/15 @ 103.88)	(B, B3)	04/15/19	7.750	$	2,605,500
1,900		Xinergy Corp., Rule 144A, Senior Secured Notes (Callable 05/15/15 @ 104.63)‡	(CCC, Caa3)	05/15/19	9.250	1,330,000
						16,696,031
Oil Field Equipment & Services (5.0%)
2,350		Edgen Murray Corp., Global Senior Secured Notes (Callable 01/15/13 @ 106.13)§	(B, Caa2)	01/15/15	12.250	2,385,250
2,325		Frac Tech Finance, Inc., Rule 144A, Company Guaranteed Notes (Callable 11/15/14 @ 103.56)‡	(BB-, Ba3)	11/15/18	8.125	2,371,500
1,271		Helix Energy Solutions Group, Inc., Rule 144A, Company Guaranteed Notes (Callable 01/15/13 @ 102.36)‡	(B, B3)	01/15/16	9.500	1,332,961
300		Hornbeck Offshore Services, Inc., Global Company Guaranteed Notes (Callable 09/01/13 @ 104.00)	(BB-, Ba3)	09/01/17	8.000	322,500
350		Offshore Group Investments Ltd., Rule 144A, Senior Secured Notes (Callable 02/01/13 @ 108.63)‡	(B-, B3)	08/01/15	11.500	386,750
1,650		Offshore Group Investments, Ltd., Global Senior Secured Notes (Callable 02/01/13 @ 108.63)	(B-, B3)	08/01/15	11.500	1,823,250
625		Parker Drilling Co., Global Company Guaranteed Notes (Callable 04/01/14 @ 104.56)	(B+, B1)	04/01/18	9.125	673,438
2,780		Pioneer Drilling Co., Global Company Guaranteed Notes (Callable 03/15/14 @ 104.94)	(B+, B3)	03/15/18	9.875	3,002,400
429		Thermon Industries, Inc., Global Secured Notes (Callable 05/01/14 @ 104.75)	(B+, B1)	05/01/17	9.500	474,045
						12,772,094
Oil Refining & Marketing (1.9%)
2,600		Coffeyville Finance, Inc., Rule 144A, Secured Notes (Callable 04/01/13 @ 108.16)‡	(B+, B1)	04/01/17	10.875	2,905,500
1,750		Northern Tier Finance Corp., Global Senior Secured Notes (Callable 12/01/13 @ 107.88)	(BB-, B1)	12/01/17	10.500	1,911,875
						4,817,375
Packaging (4.0%)
850		Ardagh Glass Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 06/15/13 @ 102.38)‡€	(B-, B3)	06/15/17	7.125	1,018,030
700		Ardagh Packaging Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 10/15/15 @ 104.63)‡€	(B-, B3)	10/15/20	9.250	872,861
450		Ardagh Packaging Finance PLC, Rule 144A, Senior Secured Notes (Callable 10/15/14 @ 103.69)‡€	(BB-, Ba3)	10/15/17	7.375	584,678
525		Berry Plastics Corp., Global Senior Secured Notes (Callable 11/15/12 @ 104.13)	(B, B1)	11/15/15	8.250	557,813
1,500		BWAY Holding Co., Global Company Guaranteed Notes (Callable 06/15/14 @ 105.00)	(CCC+, B3)	06/15/18	10.000	1,665,000
1,435		Clondalkin Acquisition BV, Rule 144A, Secured Notes#‡	(B, B2)	12/15/13	2.468	1,305,850
2,475		Reynolds Group Issuer LLC, Global Company Guaranteed Notes (Callable 10/15/14 @ 104.50)	(B-, Caa1)	04/15/19	9.000	2,530,687
700		Reynolds Group Issuer LLC, Global Senior Secured Notes (Callable 10/15/12 @ 103.88)	(BB-, Ba3)	10/15/16	7.750	738,500
300		Reynolds Group Issuer LLC, Global Senior Secured Notes (Callable 10/15/14 @ 103.56)	(BB-, Ba3)	04/15/19	7.125	320,250
500		Sealed Air Corp., Rule 144A, Senior Unsecured Notes (Callable 09/15/16 @ 104.19)‡	(BB, B1)	09/15/21	8.375	572,500
						10,166,169
Pharmaceuticals (1.5%)
1,000		ConvaTec Healthcare E SA, Rule 144A, Senior Unsecured Notes (Callable 12/15/14 @ 105.25)‡	(B, Caa1)	12/15/18	10.500	1,038,750
42		QHP Royalty Sub LLC, Rule 144A, Senior Secured Notes‡	(NR, NR)	03/15/15	10.250	41,917
1,000		Valeant Pharmaceuticals International, Rule 144A, Company Guaranteed Notes (Callable 02/15/16 @ 103.38)‡	(BB-, B1)	08/15/21	6.750	1,017,500

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

CORPORATE BONDS
Pharmaceuticals
$	1,500	Warner Chilcott Finance LLC, Global Company Guaranteed Notes (Callable 09/15/14 @ 103.88)	(BB, B3)	09/15/18	7.750	$	1,629,375
						3,727,542
Printing & Publishing (0.2%)
771		The Reader’s Digest Association, Inc., Global Senior Secured Notes (Callable 02/15/13 @ 104.00)#	(CCC, B3)	02/15/17	9.500	605,235

Real Estate Development & Management (0.5%)
1,300		Icahn Enterprises LP, Rule 144A, Company Guaranteed Notes#‡	(NR, NR)	08/15/13	4.000	1,305,720

Real Estate Investment Trusts (1.1%)
3,050		CNL Lifestyle Properties, Inc., Global Company Guaranteed Notes (Callable 04/15/15 @ 103.63)	(B+, Ba3)	04/15/19	7.250	2,821,250

Restaurants (1.9%)
1,713		CKE Restaurants, Inc., Global Senior Secured Notes (Callable 07/15/14 @ 105.69)§	(B-, B2)	07/15/18	11.375	1,976,374
2,050		HOA Finance Corp., Rule 144A, Senior Secured Notes (Callable 04/01/14 @ 105.63)‡	(B, B3)	04/01/17	11.250	1,914,187
1,000		Ruby Tuesday, Inc., Rule 144A, Company Guaranteed Notes (Callable 05/15/16 @ 103.81)‡	(B-, B3)	05/15/20	7.625	905,000
						4,795,561
Software/Services (4.5%)
3,000		Epicor Software Corp., Global Company Guaranteed Notes (Callable 05/01/15 @ 104.31)	(CCC+, Caa1)	05/01/19	8.625	3,090,000
2,150		First Data Corp., Rule 144A, Senior Secured Notes (Callable 06/15/15 @ 103.69)‡	(B+, B1)	06/15/19	7.375	2,254,813
1,000		Lawson Software, Inc., Rule 144A, Senior Unsecured Notes (Callable 04/01/15 @ 107.50)‡€	(B-, Caa1)	04/01/19	10.000	1,274,654
2,296		Serena Software, Inc., Global Company Guaranteed Notes (Callable 03/15/13 @ 101.73)	(CCC+, Caa1)	03/15/16	10.375	2,376,360
600		SSI Co-Issuer LLC, Global Company Guaranteed Notes (Callable 06/01/14 @ 105.56)	(CCC+, Caa1)	06/01/18	11.125	680,250
1,600		SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 11/15/13 @ 105.53)	(B, Caa1)	11/15/18	7.375	1,708,000
						11,384,077
Specialty Retail (2.6%)
500		Academy Finance Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/14 @ 106.94)‡	(CCC+, Caa1)	08/01/19	9.250	552,500
1,300		Brown Shoe Co., Inc., Global Company Guaranteed Notes (Callable 05/15/14 @ 105.34)	(B, B3)	05/15/19	7.125	1,317,875
1,400		Claire’s Stores, Inc., Rule 144A, Senior Secured Notes (Callable 03/15/15 @ 106.75)‡	(B, B3)	03/15/19	9.000	1,459,500
650		NESCO Holding Corp., Rule 144A, Secured Notes (Callable 04/15/14 @ 110.00)‡	(B-, Caa1)	04/15/17	11.750	679,250
1,250		Ontex IV SA, Rule 144A, Senior Secured Notes (Callable 04/15/14 @ 103.25)‡€	(B+, B1)	04/15/18	7.500	1,550,983
1,085		Toys R Us Property Co. I LLC, Global Company Guaranteed Notes (Callable 07/15/13 @ 105.38)	(B+, B3)	07/15/17	10.750	1,204,350
						6,764,458
Steel Producers/Products (1.2%)
1,000		AM Castle & Co., Global Senior Secured Notes (Callable 12/15/14 @ 106.38)	(B+, B3)	12/15/16	12.750	1,090,000
1,150		JMC Steel Group, Rule 144A, Senior Notes (Callable 03/15/14 @ 106.19)‡	(B, B3)	03/15/18	8.250	1,158,625
700		Ryerson, Inc., Global Senior Secured Notes (Callable 11/01/12 @ 103.00)	(CCC+, Caa1)	11/01/15	12.000	707,000
						2,955,625

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

CORPORATE BONDS
Support-Services (4.7%)
$	250	Audatex North America, Inc., Rule 144A, Company Guaranteed Notes (Callable 06/15/14 @ 103.38)‡	(BB, Ba2)	06/15/18	6.750	$	268,125
1,850		CoreLogic, Inc., Global Company Guaranteed Notes (Callable 06/01/16 @ 103.63)	(B+, Ba3)	06/01/21	7.250	1,993,375
500		Emdeon, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/31/15 @ 105.50)‡	(CCC+, Caa1)	12/31/19	11.000	571,250
1,000		Europcar Groupe SA, Rule 144A, Secured Notes‡€	(B-, Caa1)	05/15/17	11.500	1,126,868
1,475		Garda World Security Corp., Rule 144A, Senior Unsecured Notes (Callable 03/15/14 @ 104.88)‡	(B, B2)	03/15/17	9.750	1,569,031
2,000		H&E Equipment Services, Inc., Global Company Guaranteed Notes (Callable 09/04/12 @ 102.79)	(BB-, B3)	07/15/16	8.375	2,067,500
625		RSC Holdings III LLC, Global Company Guaranteed Notes (Callable 02/01/16 @ 104.13)	(B, B3)	02/01/21	8.250	681,250
625		The Geo Group, Inc., Global Company Guaranteed Notes (Callable 02/15/16 @ 103.31)	(B+, B1)	02/15/21	6.625	660,938
550		The Geo Group, Inc., Global Company Guaranteed Notes (Callable 10/15/13 @ 103.88)	(B+, B1)	10/15/17	7.750	595,375
300		United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 06/15/13 @ 105.44)	(B, B3)	06/15/16	10.875	339,000
2,100		UR Financing Escrow Corp., Rule 144A, Senior Unsecured Notes (Callable 05/15/16 @ 103.69)‡	(B, B3)	05/15/20	7.375	2,226,000
						12,098,712
Telecom - Integrated/Services (1.8%)
550		Hellas Telecommunications II SCA, Rule 144A, Subordinated Notes#^ø‡	(NR, NR)	01/15/15	6.039	0
1,800		Intelsat Jackson Holdings SA, Global ompany Guaranteed Notes (Callable 04/01/15 @ 103.63)	(B, B3)	04/01/19	7.250	1,932,750
1,250		Intelsat Jackson Holdings SA, Global ompany Guaranteed Notes (Callable 04/01/16 @ 103.75)	(B, B3)	04/01/21	7.500	1,343,750
1,350		Zayo Capital, Inc., Rule 144A, Senior Secured Notes (Callable 07/01/15 @ 104.06)‡	(B, B1)	01/01/20	8.125	1,434,375
						4,710,875
Telecom - Wireless (0.9%)
250		Cricket Communications, Inc., Global Senior Secured Notes (Callable 09/04/12 @ 105.81)	(B+, Ba2)	05/15/16	7.750	266,250
800		GeoEye, Inc., Global Senior Secured Notes (Callable 10/01/13 @ 104.81)§	(B, B1)	10/01/15	9.625	890,000
300		GeoEye, Inc., Senior Secured Notes (Callable 10/01/13 @ 104.31)	(CCC, Caa1)	10/01/16	8.625	325,500
750		Wind Acquisition Finance SA, Rule 144A, Company Guaranteed Notes (Callable 07/15/13 @ 105.88)‡	(BB-, B3)	07/15/17	11.750	704,819
						2,186,569
Telecommunications Equipment (2.0%)
1,950		Avaya, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/15 @ 103.50)‡§	(B, B1)	04/01/19	7.000	1,767,187
1,990		Brightstar Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/14 @ 104.75)‡	(BB-, B1)	12/01/16	9.500	2,099,450
1,300		Telesat LLC, Rule 144A, Senior Unsecured Notes (Callable 05/15/14 @ 103.00)‡	(B-, B3)	05/15/17	6.000	1,352,000
						5,218,637
Textiles & Apparel (0.0%)
75		IT Holding Finance SA, Rule 144A, Company Guaranteed Notesø‡€	(NR, NR)	11/15/12	9.875	947

Theaters & Entertainment (3.3%)
1,000		AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 09/04/12 @ 100.00)	(CCC+, Caa1)	03/01/14	8.000	1,007,500
2,075		AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 12/01/15 @ 104.88)	(CCC+, Caa1)	12/01/20	9.750	2,261,750
750		AMC Entertainment, Inc., Global Senior Unsecured Notes (Callable 06/01/14 @ 104.38)	(B-, B2)	06/01/19	8.750	817,500

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

CORPORATE BONDS
Theaters & Entertainment
$	600	National CineMedia LLC, Senior Unsecured Notes (Callable 07/15/16 @ 103.94)	(B, B2)	07/15/21	7.875	$	649,500
2,500		Regal Entertainment Group, Company Guaranteed Notes (Callable 08/15/14 @ 104.56)§	(B-, B3)	08/15/18	9.125	2,818,750
950		Wallace Theater Holdings, Inc., Senior Secured Notes (Callable 12/15/12 @ 100.00)#‡	(CCC, NR)	06/15/13	12.500	897,750
						8,452,750
Tobacco (0.8%)
1,850		Vector Group, Ltd., Global Senior Secured Notes (Callable 08/15/12 @ 103.67)	(NR, B1)	08/15/15	11.000	1,928,625

Transportation - Excluding Air/Rail (0.8%)
650		Navios Maritime Holdings Finance II US, Inc., Global Company Guaranteed Notes (Callable 02/15/15 @ 104.06)	(B+, B3)	02/15/19	8.125	565,500
1,500		Ship Finance International, Ltd., Global Company Guaranteed Notes	(B+, B3)	12/15/13	8.500	1,500,000
						2,065,500
TOTAL CORPORATE BONDS (Cost $305,022,348)						305,554,300

ASSET BACKED SECURITIES (1.9%)
Collateralized Debt Obligations (1.9%)
1,500		Carlyle Global Market Strategies#‡	(BBB, NR)	04/20/22	4.605	1,269,078
1,500		Commercial Industrial Finance Corp.#‡	(BBB, NR)	01/19/23	3.893	1,324,273
2,000		Gale Force CLO Ltd.#‡	(BBB+, Baa2)	11/15/17	2.317	1,624,352
750		Race Point CLO Ltd.#‡	(BB, NR)	05/24/23	5.967	624,117
TOTAL ASSET BACKED SECURITIES (Cost $4,675,934)						4,841,820

BANK LOANS (13.7%)
Aerospace & Defense (1.0%)
2,351		London Acquisition Holdings B.V.#€	(B, B1)	05/12/14	0.000	2,663,596

Automotive (0.8%)
1,990		HHI Holdings LLC#	(B+, B2)	03/21/17	7.000	1,999,884

Chemicals (1.5%)
1,995		Ascend Performance Materials Operations LLC#	(NR, NR)	04/10/18	6.750	1,982,531
1,764		PQ Corp.#	(B+, B3)	07/30/14	3.996	1,722,004
						3,704,535
Diversified Capital Goods (0.6%)
1,500		Electrical Components International, Inc.#	(B+, B1)	02/04/17	6.750	1,417,500

Environmental (0.3%)
706		EnviroSolutions Real Property Holdings, Inc.#	(CCC-, Caa1)	07/29/14	8.000	699,999

Gaming (0.6%)
2,000		CKX Entertainment, Inc.#	(B+, B1)	06/21/17	9.000	1,620,000

Health Services (0.6%)
1,481		Onex Carestream Finance LP#	(BB-, B1)	02/25/17	5.000	1,438,907

Investments & Misc. Financial Services (0.9%)
2,500		BNY Convergex Group LLC#	(B-, B3)	12/18/17	8.750	2,391,675

Leisure (1.9%)
974		Deluxe Entertainment Services Group, Inc.#	(B, B1)	07/03/17	8.000	963,947
2,000		Legendary Pictures Funding LLC#	(NR, NR)	03/29/18	9.000	1,930,000
638		Technicolor SA#	(B-, NR)	03/31/16	9.350	598,530
1,540		Technicolor SA#	(B-, NR)	05/26/17	9.350	1,416,811
						4,909,288
Media - Diversified (0.6%)
861		Flint Group Holdings Sarl#	(B-, B2)	06/30/16	7.724	703,008

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

BANK LOANS
Media - Diversified
$	1,110	Flint Group Holdings Sarl#	(B-, B2)	12/31/16	7.224	$	816,217
						1,519,225
Oil Field Equipment & Services (0.4%)
1,200		Amtrol, Inc.#	(NR, NR)	12/05/14	4.895	1,122,000

Packaging (0.3%)
853		Hilex Poly Co. LLC#	(B+, B3)	11/19/15	11.250	869,750

Printing & Publishing (0.7%)
1,386		Harland Clarke Holdings Corp.#	(B+, B1)	06/30/17	5.482	1,246,673
1,689		Yell Group PLC#	(B-, B2)	07/31/14	3.996	472,951
						1,719,624
Real Estate Investment Trusts (2.1%)
2,000		iStar Financial, Inc.#	(BB-, B2)	06/30/14	7.000	2,003,210
3,500		Spirit Finance Corp.#	(CCC+, Ca)	08/01/13	3.782	3,405,500
						5,408,710
Software/Services (1.4%)
1,500		Flexera Software LLC#	(CCC+, Caa2)	09/30/18	11.000	1,507,500
2,000		SafeNet, Inc.#	(B-, Caa1)	04/12/15	6.245	1,975,000
						3,482,500
TOTAL BANK LOANS (Cost $35,664,659)						34,967,193

Number of Shares

COMMON STOCKS (0.2%)
Building & Construction (0.1%)
161,330		William Lyon Homes, Inc.*				145,197

Building Materials (0.0%)
619		Dayton Superior Corp.*^				0
437		Nortek, Inc.*§				22,296
						22,296
Chemicals (0.0%)
4,893		Huntsman Corp.				61,896

Forestry & Paper (0.0%)
11,000		Resolute Forest Products*§				100,980

Gaming (0.1%)
55,100		Majestic Holdco LLC				110,200

Printing & Publishing (0.0%)
1,322		SuperMedia, Inc.*§				3,041
TOTAL COMMON STOCKS (Cost $2,222,638)						443,610

PREFERRED STOCK (0.0%)
Building Materials (0.0%)
688		Dayton Superior Corp. (Cost $250,835)*^				0

WARRANTS (0.0%)
Building Materials (0.0%)
1,152		Nortek, Inc., strike price $1.00, expires 12/07/14*				3,744

Media - Broadcast (0.0%)
19,721		CNB Capital Trust I, Rule 144A, strike price $0.00, expires 03/23/19*^‡				102,352

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)						106,096

Number of Shares					Value

SHORT-TERM INVESTMENTS (7.4%)
8,821,472		State Street Navigator Prime Portfolio, 0.28%§§			$	8,821,472

Par (000)			Maturity	Rate%

$	10,121	State Street Bank and Trust Co. Euro Time Deposit	08/01/12	0.010	10,121,000
TOTAL SHORT-TERM INVESTMENTS (Cost $18,942,472)					18,942,472

TOTAL INVESTMENTS AT VALUE (142.7%) (Cost $366,780,038)					364,855,491

LIABILITIES IN EXCESS OF OTHER ASSETS (-42.7%)					(109,164,072		)

NET ASSETS (100.0%)					$	255,691,419

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, 2012, these securities amounted to a value of $147,653,523 or 57.7% of net assets.
€	This security is denominated in Euro.
^	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, 2012.
+	Step Bond — The interest rate is as of July 31, 2012 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 one-day yield at July 31, 2012.

At July 31, 2012, Open Forward Foreign Currency Contract was as follows:

Forward Foreign Currency to be Purchased (Local)		Forward Foreign Currency to be Sold (Local)		Expiration Date	Counterparties	Value on Settlement Date			Current Value			Unrealized Appreciation/ (Depreciation)
USD	18,969,570	EUR	15,591,000	10/19/12	Morgan Stanley	$	(18,969,570	)	$	(19,219,742	)	$	(250,172	)

Currency Abbreviations:

EUR = Euro

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. 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. Investments in open-end investment companies are valued at their net asset value each business day and are generally categorized as Level 1. 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. Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and are generally categorized as Level 2. 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, 2012, the Fund held 0.04% 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 $1,700,782 and fair value of $102,419. 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, 2012 in valuing the Fund’s investments carried at value:

	Level 1		Level 2			Level 3		Total
Investments in Securities
Corporate Bonds	$	—	$	305,554,233		$	67	$	305,554,300
Asset Backed Securities	—		4,841,820			—		4,841,820
Bank Loans	—		34,967,193			—		34,967,193
Common Stocks	333,410		110,200			—		443,610
Preferred Stock	—		—			—		—
Warrants	3,744		—			102,352		106,096
Short-Term Investments	8,821,472		10,121,000			—		18,942,472
Other Financial Instruments *
Forward Foreign Currency Contract	—		(250,172		)	—		(250,172		)
	$	9,158,626	$	355,344,274		$	102,419	$	364,605,319

* Other financial instruments include forwards foreign currency contracts.

The following is a reconciliation of investments as of July 31, 2012 in which significant unobservable inputs (Level 3) were used in determining value. Transfers in or out of Level 3 represent the beginning value of any security or instrument where a change in the level has occurred from the beginning to the end of the period.

	Investments
Balance as of October 31, 2011	$	118,590
Accrued discounts/premiums	—
Purchases	—
Sales	—
Realized Gain/(Loss)	—
Change in Unrealized Appreciation/(Depreciation)	(16,171		)
Transfers Into Level 3	—
Transfers Out of Level 3	—
Balance as of July 31, 2012	$	102,419

Net change in unrealized Appreciation/(Depreciation) from investments still held as of July 31, 2012	$	(16,171	)

The Fund adopted FASB amendments to authoritative guidance which require the Fund to disclose details of transfers in and out of Level 1 and Level 2 measurements and Level 2 and Level 3 measurements and the reasons for the transfers. For the quarter ended July 31, 2012, there were no transfers in and out of Level 1, Level 2 and Level 3.

Federal Income Tax Cost - At July 31, 2012, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an

excess of cost over value and the net unrealized depreciation from investments were $366,780,038, $14,854,999, $(16,779,546) and $(1,924,547), 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/funds 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 27, 2012


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 27, 2012

	/s/Thomas M. Sipp
	Name:	Thomas M. Sipp
	Title:	Chief Financial Officer
	Date:	September 27, 2012