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
466 Lexington Avenue, New York, New York 10017
(Address of principal executive offices) (Zip code)
J. Kevin Gao, Esq.
466 Lexington Avenue, New York, New York 10017
(Name and address of agent for service)
Registrant's telephone number, including area code: 212-875-3500
Date of fiscal year-end: October 31st
Date of reporting period: May 1, 2005 to July 31, 2005
Item 1. Schedule of Investments
Credit Suisse High Yield Bond Fund | ||||||||||
Schedule of Investments | ||||||||||
July 31, 2005 (unaudited) | ||||||||||
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Par | Ratings† | |||||||||
(000) | (S&P/Moody’s) | Maturity | Rate% | Value | ||||||
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U.S. CORPORATE BONDS (128.3%) | ||||||||||
Aerospace (1.6%) | ||||||||||
$ 1,000 | BE Aerospace, Inc., Series B, Senior | |||||||||
Subordinated Notes | (B- , Caa2) | 03/01/08 | 8.000 | $ 1,007,500 | ||||||
2,000 | L-3 Communications Corp., Global | |||||||||
Senior Subordinated Notes | ||||||||||
(Callable 01/15/10 @ $102.94) | (BB+ , Ba3) | 01/15/15 | 5.875 | 1,965,000 | ||||||
850 | Sequa Corp., Series B, Senior Notes | (BB- , B1) | 04/01/08 | 8.875 | 924,375 | |||||
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3,896,875 | ||||||||||
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Airlines (0.5%) | ||||||||||
1,200 | American Airlines, Inc., Series 01-2, Pass | |||||||||
Thru Certificates § | (B , B1) | 10/01/06 | 7.800 | 1,152,849 | ||||||
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Automobile Manufacturing/Vehicle Parts (5.3%) | ||||||||||
1,100 | Accuride Corp., Global Company Guaranteed | |||||||||
Notes (Callable 02/01/10 @ $104.25) | (B- , B3) | 02/01/15 | 8.500 | 1,146,750 | ||||||
1,000 | Autocam Corp., Global Senior Subordinated | |||||||||
Notes (Callable 06/15/09 @ $105.44) § | (CCC+ , Caa2) | 06/15/14 | 10.875 | 665,000 | ||||||
500 | Cummins, Inc., Global Senior Notes | |||||||||
(Callable 12/01/06 @ $104.75) | (BBB- , Ba2) | 12/01/10 | 9.500 | 553,750 | ||||||
1,500 | Delphi Corp., Global Notes | (CCC- , Ca) | 06/15/06 | 6.550 | 1,479,375 | |||||
500 | Dura Operating Corp., Series D, Company | |||||||||
Guaranteed Notes | ||||||||||
(Callable 10/03/05 @ $103.00) § | (CCC+ , Caa1) | 05/01/09 | 9.000 | 427,500 | ||||||
2,550 | General Motors Acceptance Corp., Global Notes | (BB , Baa2) | 12/01/14 | 6.750 | 2,405,854 | |||||
1,250 | Goodyear Tire & Rubber Co., Rule 144A, Senior | |||||||||
Notes (Callable 07/01/10 @ $104.50) ‡ | (B- , B3) | 07/01/15 | 9.000 | 1,281,250 | ||||||
1,700 | Heafner Tire Group, Inc., Rule 144A, Senior | |||||||||
Notes (Callable 04/01/09 @ $105.38) ‡ | (CCC+ , Caa2) | 04/01/13 | 10.750 | 1,666,000 | ||||||
1,200 | Metaldyne Corp., Global Company Guaranteed | |||||||||
Notes (Callable 06/15/07 @ $105.50) § | (CCC+ , Caa2) | 06/15/12 | 11.000 | 894,000 | ||||||
900 | Stanadyne Corp., Global Senior Subordinated | |||||||||
Notes (Callable 08/15/09 @ $105.00) | (B- , Caa1) | 08/15/14 | 10.000 | 900,000 | ||||||
800 | Tenneco Automotive, Inc., Global Company | |||||||||
Guaranteed Notes | ||||||||||
(Callable 11/15/09 @ $104.31) § | (B- , B3) | 11/15/14 | 8.625 | 840,000 | ||||||
450 | Visteon Corp., Global Senior Notes | (B- , B3) | 08/01/10 | 8.250 | 437,625 | |||||
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12,697,104 | ||||||||||
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Broadband (0.9%) | ||||||||||
750 | Level 3 Communications, Inc., Senior Notes | |||||||||
(Callable 05/01/06 @ $100.00) § | (CC , Ca) | 05/01/08 | 9.125 | 620,625 | ||||||
750 | Level 3 Financing, Inc., Global Company Guaranteed | |||||||||
Notes (Callable 10/15/07 @ $105.38) | (CC , Caa1) | 10/15/11 | 10.750 | 630,000 | ||||||
1,500 | Primus Telecommunications Group, Inc., Global | |||||||||
Senior Notes (Callable 01/15/09 @ $104.00) § | (CCC- , Caa1) | 01/15/14 | 8.000 | 810,000 | ||||||
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2,060,625 | ||||||||||
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Broadcast/Outdoor (2.3%) | ||||||||||
600 | Allbritton Communications Co., Global | |||||||||
Senior Subordinated Notes | ||||||||||
(Callable 12/15/07 @ $103.88) | (B- , B3) | 12/15/12 | 7.750 | 603,750 | ||||||
750 | Emmis Communications Corp., Rule 144A, Senior | |||||||||
Notes (Callable 12/15/05 @ $100.00) ‡# | (B- , B3) | 06/15/12 | 9.314 | 754,687 | ||||||
500 | Emmis Operating Co., Global Senior Subordinated | |||||||||
Notes (Callable 05/15/08 @ $103.44) | (B- , B2) | 05/15/12 | 6.875 | 502,500 |
Par | Ratings† | |||||||||
(000) | (S&P/Moody’s) | Maturity | Rate% | Value | ||||||
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U.S. CORPORATE BONDS | ||||||||||
Broadcast/Outdoor | ||||||||||
$ 1,000 | Gray Television, Inc., Global Company Guaranteed | |||||||||
Notes (Callable 12/15/06 @ $104.62) | (B- , Ba3) | 12/15/11 | 9.250 | $ 1,097,500 | ||||||
150 | Interep National Radio Sales, Inc., Series B, | |||||||||
Company Guaranteed Notes | ||||||||||
(Callable 10/13/05 @ $101.67) | (CC , Ca) | 07/01/08 | 10.000 | 113,625 | ||||||
2,000 | Paxson Communications Corp., Global | |||||||||
Company Guaranteed Notes | ||||||||||
(Callable 01/15/06 @ $106.12) + | (CCC- , Caa1) | 01/15/09 | 0.000 | 1,910,000 | ||||||
490 | Young Broadcasting, Inc., Global | |||||||||
Company Guaranteed Notes | ||||||||||
(Callable 03/01/06 @ $105.00) § | (CCC , Caa1) | 03/01/11 | 10.000 | 465,500 | ||||||
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5,447,562 | ||||||||||
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Building Products (4.2%) | ||||||||||
1,300 | Building Materials Corp., Global Secured Notes | |||||||||
(Callable 08/01/09 @ $103.88) | (B+ , B2) | 08/01/14 | 7.750 | 1,241,500 | ||||||
750 | Compression Polymers Holding Corp., | |||||||||
Rule 144A, Senior Notes | ||||||||||
(Callable 07/01/09 @ $105.25) ‡§ | (B- , B2) | 07/01/13 | 10.500 | 761,250 | ||||||
600 | Dayton Superior Corp., Company Guaranteed | |||||||||
Notes (Callable 06/15/07 @ $102.17) § | (CCC , Caa3) | 06/15/09 | 13.000 | 546,000 | ||||||
500 | Dayton Superior Corp., Global Secured Notes | |||||||||
(Callable 06/15/06 @ $105.62) | (B- , Caa1) | 09/15/08 | 10.750 | 522,500 | ||||||
1,500 | Goodman Global Holdings Co., Inc., Rule 144A, | |||||||||
Senior Subordinated Notes | ||||||||||
(Callable 12/15/08 @ $103.94) ‡§ | (B- , Caa1) | 12/15/12 | 7.875 | 1,447,500 | ||||||
1,100 | Interface, Inc., Global Senior Subordinated Notes | |||||||||
(Callable 02/01/09 @ $104.75) | (CCC , Caa3) | 02/01/14 | 9.500 | 1,133,000 | ||||||
750 | Norcraft Holdings LP, Rule 144A, Senior Discount | |||||||||
Notes (Callable 09/01/08 @ $104.88) ‡+ | (B- , Caa1) | 09/01/12 | 0.000 | 536,250 | ||||||
1,000 | NTK Holdings, Inc., Rule 144A, Senior Discount | |||||||||
Notes (Callable 09/01/09 @ $105.38) ‡+§ | (CCC+ , Caa2) | 03/01/14 | 0.000 | 575,000 | ||||||
1,000 | Ply Gem Industries, Inc., Global Senior | |||||||||
Subordinated Notes | ||||||||||
(Callable 02/15/08 @ $104.50) | (B- , B3) | 02/15/12 | 9.000 | 880,000 | ||||||
1,250 | RMCC Acquisition Co., Rule 144A, Senior | |||||||||
Subordinated Notes | ||||||||||
(Callable 11/01/08 @ $104.75) ‡ | (CCC+ , Caa1) | 11/01/12 | 9.500 | 1,243,750 | ||||||
250 | Texas Industries, Inc., Rule 144A, Senior Notes | |||||||||
(Callable 07/15/09 @ $103.63) ‡ | (BB- , Ba3) | 07/15/13 | 7.250 | 265,000 | ||||||
1,350 | Werner Holding Co., Inc., Series A, | |||||||||
Company Guaranteed Notes | ||||||||||
(Callable 11/15/05 @ $100) § | (CCC- , Caa2) | 11/15/07 | 10.000 | 945,000 | ||||||
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10,096,750 | ||||||||||
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Cable (8.5%) | ||||||||||
3,000 | Adelphia Communications Corp., | |||||||||
Rule 144A, Secured Notes | ||||||||||
(Callable 02/15/08 @ $105.38) ‡ø | (NR , NR) | 10/01/10 | 10.875 | 2,617,500 | ||||||
1,450 | Atlantic Broadband Finance LLC, Rule 144A, | |||||||||
Senior Subordinated Notes | ||||||||||
(Callable 01/15/09 @ $104.69) ‡§ | (CCC+ , Caa1) | 01/15/14 | 9.375 | 1,392,000 | ||||||
1,825 | Cablevision Systems Corp., Series B, Global | |||||||||
Senior Notes | (B+ , B3) | 04/15/12 | 8.000 | 1,843,250 | ||||||
2,100 | CCO Holdings LLC, Global Senior Notes | |||||||||
(Callable 11/15/08 @ $104.38) § | (CCC- , B3) | 11/15/13 | 8.750 | 2,110,500 | ||||||
3,650 | Charter Communications Holdings LLC, | |||||||||
Senior Discount Notes | ||||||||||
(Callable 04/01/06 @ $101.44) +§ | (CCC- , Ca) | 04/01/11 | 0.000 | 2,869,812 | ||||||
3,000 | Charter Communications Holdings LLC, Senior | |||||||||
Notes (Callable 04/01/06 @ $101.65) | (CCC- , Ca) | 04/01/09 | 8.625 | 2,415,000 |
Par | Ratings† | ||||||||||
(000) | (S&P/Moody’s) | Maturity | Rate% | Value | |||||||
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U.S. CORPORATE BONDS | |||||||||||
Cable | |||||||||||
$ 900 | CSC Holdings, Inc., Rule 144A, Senior Notes ‡ | (BB- , B1) | 04/15/12 | 6.750 | $ 873,000 | ||||||
85 | CSC Holdings, Inc., Senior Notes | (BB- , B1) | 07/15/08 | 7.250 | 86,488 | ||||||
750 | CSC Holdings, Inc., Series B, Senior Notes § | (BB- , B1) | 04/01/11 | 7.625 | 759,375 | ||||||
1,750 | DIVA Systems Corp., Series B, Senior Discount | ||||||||||
Notes (Callable 10/03/05 @ $102.10) ø^ | (NR , NR) | 03/01/08 | 12.625 | 4,375 | |||||||
2,000 | Insight Communications Company, Inc., | ||||||||||
Senior Discount Notes | |||||||||||
(Callable 02/15/06 @ $106.12) +§ | (CCC+ , Caa1) | 02/15/11 | 0.000 | 2,045,000 | |||||||
200 | Insight Midwest/Insight Capital, Senior Notes | ||||||||||
(Callable 10/01/05 @ $103.25) § | (B , B2) | 10/01/09 | 9.750 | 207,750 | |||||||
500 | Insight Midwest/Insight Capital Corp., Global Senior | ||||||||||
Notes (Callable 11/01/05 @ $105.25) | (B , B2) | 11/01/10 | 10.500 | 532,500 | |||||||
2,500 | Mediacom LLC Capital Corp., Senior Notes | ||||||||||
(Callable 01/15/06 @ $104.75) § | (B , B3) | 01/15/13 | 9.500 | 2,568,750 | |||||||
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20,325,300 | |||||||||||
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Capital Goods (1.8%) | |||||||||||
1,000 | Blount, Inc., Senior Subordinated Notes | ||||||||||
(Callable 08/01/08 @ $104.44) | (B , B3) | 08/01/12 | 8.875 | 1,095,000 | |||||||
850 | Case New Holland, Inc., Global Company | ||||||||||
Guaranteed Notes | |||||||||||
(Callable 08/01/07 @ $104.62) | (BB- , Ba3) | 08/01/11 | 9.250 | 924,375 | |||||||
1,753 | JII Holdings LLC, Global Secured Notes | ||||||||||
(Callable 01/01/06 @ $103.25) | (CCC- , Caa2) | 04/01/07 | 13.000 | 1,533,438 | |||||||
650 | Terex Corp., Global Company Guaranteed Notes | ||||||||||
(Callable 01/15/09 @ $103.69) | (B , B3) | 01/15/14 | 7.375 | 685,750 | |||||||
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4,238,563 | |||||||||||
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Chemicals (5.9%) | |||||||||||
650 | BCP Crystal Holdings Corp., Global | ||||||||||
Senior Subordinated Notes | |||||||||||
(Callable 06/15/09 @ $104.81) | (B- , B3) | 06/15/14 | 9.625 | 737,750 | |||||||
750 | Crompton Corp., Global Senior Notes | ||||||||||
(Callable 08/01/08 @ $104.94) | (BB+ , Ba1) | 08/01/12 | 9.875 | 868,125 | |||||||
876 | Crystal US Holdings, Series B, Global | ||||||||||
Senior Discount Notes | |||||||||||
(Callable 10/01/09 @ $105.25) + | (B- , Caa2) | 10/01/14 | 0.000 | 635,100 | |||||||
1,000 | Equistar Chemicals LP/ Equistar Funding Corp., | ||||||||||
Global Company Guaranteed Notes | (BB- , B2) | 09/01/08 | 10.125 | 1,105,000 | |||||||
227 | Huntsman Company LLC, Global Company | ||||||||||
Guaranteed Notes (Callable 10/15/07 @ $105.81) | (BB- , B1) | 10/15/10 | 11.625 | 267,860 | |||||||
773 | Huntsman LLC, Global Company Guaranteed | ||||||||||
Notes (Callable 07/15/08 @ $105.75) | (B , B2) | 07/15/12 | 11.500 | 904,410 | |||||||
1,450 | IMC Global, Inc., Series B, Global | ||||||||||
Company Guaranteed Notes | |||||||||||
(Callable 06/01/06 @ $105.63) | (BB , Ba3) | 06/01/11 | 11.250 | 1,609,500 | |||||||
1,200 | KI Holdings, Inc., Global Senior Discount Notes | ||||||||||
(Callable 11/15/09 @ $104.94) + | (B- , Caa2) | 11/15/14 | 0.000 | 762,000 | |||||||
1,000 | Lyondell Chemical Co., Global Company | ||||||||||
Guaranteed Notes | |||||||||||
(Callable 06/01/08 @ $105.25) | (BB- , B1) | 06/01/13 | 10.500 | 1,160,000 | |||||||
1,400 | Lyondell Chemical Co., Global Company | ||||||||||
Guaranteed Notes | |||||||||||
(Callable 12/15/05 @ $104.75) | (BB- , B1) | 12/15/08 | 9.500 | 1,492,750 | |||||||
800 | Millennium America, Inc., Global Company | ||||||||||
Guaranteed Notes | (BB- , B1) | 06/15/08 | 9.250 | 876,000 | |||||||
750 | Nalco Co., Global Senior Notes | ||||||||||
(Callable 11/15/07 @ $103.88) | (B- , B2) | 11/15/11 | 7.750 | 801,562 | |||||||
750 | PolyOne Corp., Global Company Guaranteed | ||||||||||
Notes (Callable 05/15/07 @ $105.31) | (B+ , B3) | 05/15/10 | 10.625 | 810,000 |
Par | Ratings† | |||||||||
(000) | (S&P/Moody’s) | Maturity | Rate% | Value | ||||||
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U.S. CORPORATE BONDS | ||||||||||
Chemicals | ||||||||||
$ 1,000 | Resolution Performance Products LLC, Global | |||||||||
Senior Subordinated Notes | ||||||||||
(Callable 11/15/05 @ $106.75) § | (B- , Caa2) | 11/15/10 | 13.500 | $ 1,085,000 | ||||||
832 | Terra Capital, Inc., Global Secured Notes | |||||||||
(Callable 06/01/07 @ $105.75) | (B- , B2) | 06/01/10 | 11.500 | 963,040 | ||||||
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14,078,097 | ||||||||||
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Commercial Services (0.1%) | ||||||||||
250 | FTI, Rule 144A, Senior Notes | |||||||||
(Callable 06/15/09 @ $103.81) ‡ | (B+ , Ba2) | 06/15/13 | 7.625 | 250,000 | ||||||
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Competitive Local Exchange Carrier (CLEC) (0.6%) | ||||||||||
250 | GCI, Inc., Global Senior Notes | |||||||||
(Callable 02/15/09 @ $103.62) | (B+ , B2) | 02/15/14 | 7.250 | 245,000 | ||||||
1,250 | Time Warner Telecom Holdings, Inc., Rule 144A, | |||||||||
Senior Notes (Callable 02/15/09 @ $104.63) ‡ | (CCC+ , B2) | 02/15/14 | 9.250 | 1,278,125 | ||||||
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1,523,125 | ||||||||||
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Consumer Products/Tobacco (5.4%) | ||||||||||
850 | AAC Group Holding Corp., Rule 144A, | |||||||||
Senior Discount Notes | ||||||||||
(Callable 10/01/08 @ $105.13) ‡+ | (B- , Caa1) | 10/01/12 | 0.000 | 618,375 | ||||||
500 | Ames True Temper, Global Company Guaranteed | |||||||||
Notes (Callable 01/15/07 @ $103.00) # | (B- , B3) | 01/15/12 | 7.599 | 486,250 | ||||||
1,400 | Ames True Temper, Global Senior Subordinated | |||||||||
Notes (Callable 07/15/08 @ $105.00) § | (CCC , Caa1) | 07/15/12 | 10.000 | 1,232,000 | ||||||
1,050 | Amscan Holdings, Inc., Global Senior Subordinated | |||||||||
Notes (Callable 05/01/09 @ $104.38) | (B- , B3) | 05/01/14 | 8.750 | 976,500 | ||||||
1,000 | Associated Materials, Inc., Global Senior Discount | |||||||||
Notes (Callable 03/01/09 @ $105.62) +§ | (CCC+ , Caa2) | 03/01/14 | 0.000 | 640,000 | ||||||
1,000 | Del Laboratories, Inc., Global Company Guaranteed | |||||||||
Notes (Callable 02/01/08 @ $104.00) § | (CCC+ , Caa1) | 02/01/12 | 8.000 | 815,000 | ||||||
3,097 | Diamond Brands Operating Corp., Company | |||||||||
Guaranteed Notes | ||||||||||
(Callable 04/15/06 @ $100.00) ø^ | (NR , NR) | 04/15/08 | 10.125 | 30,970 | ||||||
1,050 | General Binding Corp., Company Guaranteed | |||||||||
Notes (Callable 06/01/06 @ $100.00) | (B- , Caa1) | 06/01/08 | 9.375 | 1,065,750 | ||||||
1,500 | Johnsondiversey Holdings, Inc., Global Discount | |||||||||
Notes (Callable 05/15/07 @ $105.34) + | (B , Caa1) | 05/15/13 | 0.000 | 1,080,000 | ||||||
1,000 | PCA LLC/PCA Finance Corp., Global Senior Notes | (CCC , Caa2) | 08/01/09 | 11.875 | 730,000 | |||||
1,300 | Playtex Products, Inc., Global Company | |||||||||
Guaranteed Notes | ||||||||||
(Callable 06/01/06 @ $104.69) § | (CCC+ , Caa2) | 06/01/11 | 9.375 | 1,384,500 | ||||||
600 | Prestige Brands, Inc., Global Senior Subordinated | |||||||||
Notes (Callable 04/15/08 @ $104.63) | (B- , B3) | 04/15/12 | 9.250 | 615,000 | ||||||
500 | Rayovac Corp., Global Senior Subordinated | |||||||||
Notes (Callable 10/01/08 @ $104.25) § | (B- , B3) | 10/01/13 | 8.500 | 530,000 | ||||||
750 | Remington Arms Company, Inc., Global | |||||||||
Company Guaranteed Notes | ||||||||||
(Callable 02/01/07 @ $105.25) | (CCC+ , B3) | 02/01/11 | 10.500 | 738,750 | ||||||
500 | Revlon Consumer Products Corp., Global Senior | |||||||||
Notes (Callable 04/01/08 @ $104.75) | (CCC , Caa2) | 04/01/11 | 9.500 | 486,250 | ||||||
1,250 | Sealy Mattress Co., Global Senior Subordinated | |||||||||
Notes (Callable 06/15/09 @ $104.13) | (B- , B3) | 06/15/14 | 8.250 | 1,337,500 | ||||||
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12,766,845 | ||||||||||
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Containers (3.7%) | ||||||||||
1,100 | Berry Plastics Corp., Global Company Guaranteed | |||||||||
Notes (Callable 07/15/07 @ $105.38) | (B- , B3) | 07/15/12 | 10.750 | 1,212,750 | ||||||
1,200 | Constar International, Inc., Senior Subordinated | |||||||||
Notes (Callable 12/01/07 @ $105.50) § | (CCC+ , Caa1) | 12/01/12 | 11.000 | 972,000 |
Par | Ratings† | ||||||||||
(000) | (S&P/Moody’s) | Maturity | Rate% | Value | |||||||
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U.S. CORPORATE BONDS | |||||||||||
Containers | |||||||||||
$ 650 | Graham Packaging Co., Inc., Rule 144A, | ||||||||||
Senior Subordinated Notes | |||||||||||
(Callable 10/15/09 @ $104.94) ‡§ | (CCC+ , Caa2) | 10/15/14 | 9.875 | $ 672,750 | |||||||
750 | Graphic Packaging International Corp., | ||||||||||
Global Senior Subordinated Notes | |||||||||||
(Callable 08/15/08 @ $104.75) | (B- , B3) | 08/15/13 | 9.500 | 772,500 | |||||||
1,000 | Intertape Polymer US, Inc., Global | ||||||||||
Senior Subordinated Notes | |||||||||||
(Callable 08/01/09 @ $104.25) | (B- , B3) | 08/01/14 | 8.500 | 985,160 | |||||||
1,000 | Owens-Brockway Glass Containers, Global | ||||||||||
Company Guaranteed Notes | |||||||||||
(Callable 02/15/06 @ $104.44) | (BB- , B1) | 02/15/09 | 8.875 | 1,062,500 | |||||||
750 | Owens-Brockway Glass Containers, Global | ||||||||||
Company Guaranteed Notes | |||||||||||
(Callable 05/15/08 @ $104.12) | (B , B2) | 05/15/13 | 8.250 | 814,688 | |||||||
500 | Pliant Corp., Company Guaranteed Notes | ||||||||||
(Callable 06/01/06 @ $106.50) § | (CCC+ , Caa2) | 06/01/10 | 13.000 | 407,500 | |||||||
425 | Pliant Corp., Rule 144A, Secured Notes | ||||||||||
(Callable 06/15/07 @ $111.62) ‡ | (B- , B3) | 06/15/09 | 11.625 | 462,721 | |||||||
500 | Tekni-Plex, Inc., Series B, Company Guaranteed | ||||||||||
Notes (Callable 06/15/06 @ $106.38) § | (CCC- , Ca) | 06/15/10 | 12.750 | 370,000 | |||||||
1,000 | U.S. Can Corp., Global Company Guaranteed | ||||||||||
Notes (Callable 07/15/07 @ $105.44) § | (CCC+ , Caa2) | 07/15/10 | 10.875 | 1,070,000 | |||||||
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8,802,569 | |||||||||||
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Diversified Telecommunications (2.1%) | |||||||||||
1,000 | Hawaiian Telcom Communications, Inc., | ||||||||||
Rule 144A, Notes | |||||||||||
(Callable 05/01/09 @ $104.88) ‡§ | (B- , B3) | 05/01/13 | 9.750 | 1,085,000 | |||||||
900 | Qwest Corp., Global Senior Notes | (BB- , Ba3) | 09/01/11 | 7.875 | 942,750 | ||||||
900 | Qwest Corp., Notes | (BB- , Ba3) | 11/15/08 | 5.625 | 892,125 | ||||||
1,339 | Qwest Corp., Rule 144A, Senior Notes ‡§ | (BB- , Ba3) | 06/15/15 | 7.625 | 1,389,213 | ||||||
550 | Qwest Services Corp., Global Secured Notes | ||||||||||
(Callable 12/15/06 @ $106.75) # | (B , Caa1) | 12/15/10 | 13.500 | 635,250 | |||||||
| |||||||||||
4,944,338 | |||||||||||
| |||||||||||
Electronics/Information/Data Technology (0.1%) | |||||||||||
170 | Ampex Corp., Secured Notes ^ | (NR , NR) | 08/15/08 | 12.000 | 170,129 | ||||||
| |||||||||||
Energy - Other (4.7%) | |||||||||||
1,550 | Dynegy Holdings, Inc., Rule 144A, Secured | ||||||||||
Notes (Callable 07/15/08 @ $105.06) ‡ | (B- , B3) | 07/15/13 | 10.125 | 1,774,750 | |||||||
250 | Dynegy Holdings, Inc., Senior Notes § | (CCC+ , Caa2) | 04/01/11 | 6.875 | 251,875 | ||||||
450 | El Paso CGP Co., Notes | (B- , Caa1) | 02/01/09 | 6.375 | 445,500 | ||||||
650 | El Paso CGP Co., Notes | (B- , Caa1) | 06/15/10 | 7.750 | 671,125 | ||||||
750 | El Paso Corp., Senior Notes | (B- , Caa1) | 05/15/11 | 7.000 | 765,000 | ||||||
1,000 | El Paso Natural Gas, Series A, Global Senior | ||||||||||
Notes (Callable 08/01/07 @ $103.81) | (B , B1) | 08/01/10 | 7.625 | 1,057,707 | |||||||
2,800 | El Paso Production Holding Co., Global | ||||||||||
Company Guaranteed Notes | |||||||||||
(Callable 06/01/08 @ $103.88) | (B , B3) | 06/01/13 | 7.750 | 2,985,500 | |||||||
450 | Giant Industries, Inc., Company Guaranteed | ||||||||||
Notes (Callable 05/15/09 @ $104.00) | (B- , B3) | 05/15/14 | 8.000 | 474,750 | |||||||
743 | Giant Industries, Inc., Global Company | ||||||||||
Guaranteed Notes | |||||||||||
(Callable 05/15/07 @ $105.50) | (B- , B3) | 05/15/12 | 11.000 | 843,305 | |||||||
500 | Reliant Energy, Inc., Secured Notes | ||||||||||
(Callable 12/15/09 @ $103.38) | (B+ , B1) | 12/15/14 | 6.750 | 495,000 | |||||||
1,050 | Reliant Resources, Inc., Global Secured | ||||||||||
Notes (Callable 07/15/08 @ $104.75) | (B+ , B1) | 07/15/13 | 9.500 | 1,173,375 |
Par | Ratings† | ||||||||||
(000) | (S&P/Moody’s) | Maturity | Rate% | Value | |||||||
|
|
|
|
| |||||||
U.S. CORPORATE BONDS | |||||||||||
Energy - Other | |||||||||||
$ 250 | Williams Companies, Inc., Global Notes | (B+ , B1) | 03/15/12 | 8.125 | $ 288,750 | ||||||
| |||||||||||
11,226,637 | |||||||||||
| |||||||||||
Environmental Services (1.9%) | |||||||||||
600 | Allied Waste North America, Inc., Rule 144A, | ||||||||||
Senior Notes (Callable 03/15/10 @ $103.63) ‡ | (BB- , B2) | 03/15/15 | 7.250 | 594,000 | |||||||
3,200 | Allied Waste North America, Inc., Series B, | ||||||||||
Global Senior Notes | |||||||||||
(Callable 04/15/09 @ $103.69) § | (B+ , Caa1) | 04/15/14 | 7.375 | 3,008,000 | |||||||
1,000 | Waste Services, Inc., Rule 144A, Senior | ||||||||||
Subordinated Notes | |||||||||||
(Callable 04/15/09 @ $104.75) ‡§ | (CCC , Ca) | 04/15/14 | 9.500 | 1,005,000 | |||||||
| |||||||||||
4,607,000 | |||||||||||
| |||||||||||
Finance - Other (2.1%) | |||||||||||
500 | Corrections Corporation of America, Senior Notes, | ||||||||||
(Callable 05/01/07 @ $103.75) | (BB- , B1) | 05/01/11 | 7.500 | 521,250 | |||||||
1,150 | E*TRADE Financial Corp., Global Senior Notes | ||||||||||
(Callable 06/15/08 @ $104.00) | (B+ , B1) | 06/15/11 | 8.000 | 1,227,625 | |||||||
1,250 | IAAI Finance Corp., Rule 144A, Senior Unsecured | ||||||||||
Notes (Callable 04/01/09 @ $105.50) ‡ | (CCC+ , Caa1) | 04/01/13 | 11.000 | 1,293,956 | |||||||
800 | Senior Housing Properties Trust, Senior Notes | (BB+ , Ba2) | 01/15/12 | 8.625 | 902,000 | ||||||
1,000 | Trustreet Properties, Inc., Rule 144A, Senior | ||||||||||
Notes (Callable 04/01/10 @ $103.75) ‡ | (B+ , B1) | 04/01/15 | 7.500 | 1,032,500 | |||||||
| |||||||||||
4,977,331 | |||||||||||
| |||||||||||
Food Processors/Beverage/Bottling (1.9%) | |||||||||||
900 | Bear Creek Corp., Rule 144A, Senior Notes | ||||||||||
(Callable 03/01/09 @ $104.50) ‡ | (B- , B3) | 03/01/13 | 9.000 | 895,500 | |||||||
177 | Birds Eye Foods, Inc., Company Guaranteed Notes | ||||||||||
(Callable 11/01/05 @ $101.98) | (B- , B3) | 11/01/08 | 11.875 | 183,195 | |||||||
500 | Land O’ Lakes, Inc., Global Senior Notes | ||||||||||
(Callable 11/15/06 @ $104.38) | (B- , B3) | 11/15/11 | 8.750 | 527,500 | |||||||
600 | Le-Natures, Inc., Rule 144A, Senior Subordinated | ||||||||||
Notes (Callable 06/15/08 @ $104.50) ‡# | (CCC+ , Caa1) | 06/15/13 | 10.000 | 633,000 | |||||||
500 | Pinnacle Foods Holding Corp., Global | ||||||||||
Senior Subordinated Notes | |||||||||||
(Callable 12/01/08 @ $104.13) § | (B- , B3) | 12/01/13 | 8.250 | 457,500 | |||||||
850 | Swift & Co., Global Senior Subordinated Notes | ||||||||||
(Callable 10/01/06 @ $106.25) | (B , B2) | 01/01/10 | 12.500 | 954,125 | |||||||
800 | Wornick Co., Global Secured Notes | ||||||||||
(Callable 07/15/08 @ $105.44) | (B+ , B2) | 07/15/11 | 10.875 | 828,000 | |||||||
| |||||||||||
4,478,820 | |||||||||||
| |||||||||||
Gaming (10.3%) | |||||||||||
1,000 | 155 East Tropicana LLC, Rule 144A, Secured | ||||||||||
Notes (Callable 04/01/09 @ $104.38) ‡§ | (B- , B3) | 04/01/12 | 8.750 | 990,000 | |||||||
1,350 | Ameristar Casinos, Inc., Global Company | ||||||||||
Guaranteed Notes (Callable 02/15/06 @ $105.38) | (B+ , B2) | 02/15/09 | 10.750 | 1,468,125 | |||||||
1,500 | Argosy Gaming Co., Global Senior Subordinated | ||||||||||
Notes (Callable 01/15/09 @ $103.50) | (B+ , B1) | 01/15/14 | 7.000 | 1,659,375 | |||||||
1,350 | Aztar Corp., Global Senior Subordinated Notes | ||||||||||
(Callable 08/15/06 @ $104.50) § | (B+ , Ba3) | 08/15/11 | 9.000 | 1,464,750 | |||||||
1,200 | Boyd Gaming Corp., Global Company Guaranteed | ||||||||||
Notes (Callable 08/01/05 @ $104.63) | (BB- , Ba3) | 08/01/09 | 9.250 | 1,261,500 | |||||||
2,050 | Chukchansi Economic Development Authority, | ||||||||||
Rule 144A, Senior Notes | |||||||||||
(Callable 10/01/06 @ $113.00) ‡ | (NR , NR) | 06/15/09 | 14.500 | 2,516,375 | |||||||
1,350 | Circus Circus & Eldorado, Global First Mortgage | ||||||||||
(Callable 03/01/07 @ $105.06) | (B+ , B1) | 03/01/12 | 10.125 | 1,437,750 |
Par | Ratings† | |||||||||
(000) | (S&P/Moody’s) | Maturity | Rate% | Value | ||||||
|
|
|
|
| ||||||
U.S. CORPORATE BONDS | ||||||||||
Gaming | ||||||||||
$ 2,100 | Hard Rock Hotel, Inc., Global Notes | |||||||||
(Callable 06/01/08 @ $104.44) | (B , B3) | 06/01/13 | 8.875 | $ 2,294,250 | ||||||
1,000 | Herbst Gaming, Inc., Global Senior Subordinated | |||||||||
Notes (Callable 06/01/08 @ $104.06) § | (B- , B3) | 06/01/12 | 8.125 | 1,067,500 | ||||||
1,250 | Inn of The Mountain Gods, Global Senior Notes | |||||||||
(Callable 11/15/07 @ $106.00) | (B , B3) | 11/15/10 | 12.000 | 1,448,438 | ||||||
900 | Isle of Capri Casinos, Inc., Global Senior | |||||||||
Subordinated Notes | ||||||||||
(Callable 03/01/09 @ $103.50) | (B , B2) | 03/01/14 | 7.000 | 911,250 | ||||||
1,500 | Majestic Star Casino LLC, Company Guaranteed | |||||||||
Notes (Callable 10/15/07 @ $104.75) | (B , B2) | 10/15/10 | 9.500 | 1,546,875 | ||||||
200 | MGM Mirage, Company Guaranteed Notes | (BB , Ba2) | 10/01/09 | 6.000 | 201,500 | |||||
500 | MGM Mirage, Company Guaranteed Notes | (BB , Ba2) | 09/15/10 | 8.500 | 553,750 | |||||
450 | MGM Mirage, Company Guaranteed Notes § | (B+ , Ba3) | 02/01/11 | 8.375 | 495,562 | |||||
1,000 | MGM Mirage, Global Senior Notes | (BB , Ba2) | 09/01/12 | 6.750 | 1,040,000 | |||||
250 | MTR Gaming Group, Inc., Series B, Global | |||||||||
Company Guaranteed Notes | ||||||||||
(Callable 04/01/07 @ $104.88) | (B+ , B2) | 04/01/10 | 9.750 | 272,813 | ||||||
1,000 | OED Corp., Global Company Guaranteed Notes | |||||||||
(Callable 04/15/08 @ $104.38) § | (B , B2) | 04/15/12 | 8.750 | 973,750 | ||||||
750 | Riviera Holdings Corp., Global Company Guaranteed | |||||||||
Notes (Callable 06/15/06 @ $105.50) | (B , B2) | 06/15/10 | 11.000 | 826,875 | ||||||
450 | Station Casinos, Inc., Rule 144A, Senior | |||||||||
Subordinated Notes | ||||||||||
(Callable 03/01/09 @ $102.58) ‡ | (B+ , NR) | 03/01/16 | 6.875 | 465,750 | ||||||
350 | Waterford Gaming LLC, Rule 144A, Senior Notes | |||||||||
(Callable 09/15/08 @ $103.55) ‡ | (B+ , B1) | 09/15/12 | 8.625 | 374,500 | ||||||
250 | Wheeling Island Gaming, Inc., Global Company | |||||||||
Guaranteed Notes (Callable 12/15/05 @ $105.06) | (B+ , B3) | 12/15/09 | 10.125 | 266,250 | ||||||
452 | Windsor Woodmont Black Hawk, Series B, First | |||||||||
Mortgage Notes ø^ | (NR , NR) | 03/15/05 | 13.000 | 34,740 | ||||||
1,000 | Wynn Las Vegas LLC, Global First Mortgage | |||||||||
Notes (Callable 12/01/09 @ $103.31) | (B+ , B2) | 12/01/14 | 6.625 | 978,750 | ||||||
| ||||||||||
24,550,428 | ||||||||||
| ||||||||||
Healthcare Facilities/Supplies (5.6%) | ||||||||||
500 | AMR/EmCare Holding Co., Rule 144A, | |||||||||
Senior Subordinated Notes | ||||||||||
(Callable 02/15/10 @ $105.00) ‡ | (B- , Caa1) | 02/15/15 | 10.000 | 537,500 | ||||||
1,800 | CDRV Investors, Inc., Global Senior Discount | |||||||||
Notes (Callable 01/01/10 @ $104.81) + | (B- , Caa2) | 01/01/15 | 0.000 | 927,000 | ||||||
1,000 | Concentra Operating Corp., Global Company | |||||||||
Guaranteed Notes | ||||||||||
(Callable 08/15/07 @ $104.75) | (B- , B3) | 08/15/10 | 9.500 | 1,070,000 | ||||||
250 | DaVita, Inc., Rule 144A, Senior Subordinated | |||||||||
Notes (Callable 03/15/10 @ $103.63) ‡§ | (B , B3) | 03/15/15 | 7.250 | 260,000 | ||||||
1,000 | Extendicare Health Services, Inc., Senior | |||||||||
Subordinated Notes | ||||||||||
(Callable 05/01/09 @ $103.44) | (B- , B2) | 05/01/14 | 6.875 | 1,000,000 | ||||||
500 | Fisher Scientific International, Inc., Rule 144A, | |||||||||
Senior Subordinated Notes | ||||||||||
(Callable 07/01/10 @ $103.06) ‡ | (BB+ , Ba3) | 07/01/15 | 6.125 | 505,000 | ||||||
500 | Hanger Orthopedic Group, Inc., Company | |||||||||
Guaranteed Global Notes | ||||||||||
(Callable 02/15/06 @ $105.19) § | (CCC+ , B3) | 02/15/09 | 10.375 | 507,500 | ||||||
717 | Magellan Health Services, Inc., Series A, Senior | |||||||||
Notes (Callable 11/15/05 @ $104.69) | (B+ , B3) | 11/15/08 | 9.375 | 763,002 | ||||||
1,000 | Medquest, Inc., Series B, Global Company | |||||||||
Guaranteed Notes | ||||||||||
(Callable 08/15/07 @ $105.94) | (CCC+ , Caa1) | 08/15/12 | 11.875 | 980,000 |
Par | Ratings† | |||||||||
(000) | (S&P/Moody’s) | Maturity | Rate% | Value | ||||||
|
|
|
|
| ||||||
U.S. CORPORATE BONDS | ||||||||||
Healthcare Facilities/Supplies | ||||||||||
$ 1,500 | MQ Associates, Inc., Global Senior Discount | |||||||||
Notes (Callable 08/15/08 @ $109.00) + | (CCC+ , Caa2) | 08/15/12 | 0.000 | $ 810,000 | ||||||
750 | Tenet Healthcare Corp., Global Senior Notes | (B , B3) | 07/01/14 | 9.875 | 806,250 | |||||
500 | Tenet Healthcare Corp., Rule 144A, Senior | |||||||||
Notes ‡ | (B , B3) | 02/01/15 | 9.250 | 517,500 | ||||||
1,740 | Triad Hospitals, Inc., Senior Notes | |||||||||
(Callable 05/15/08 @ $103.50) | (B+ , B2) | 05/15/12 | 7.000 | 1,827,000 | ||||||
1,000 | Triad Hospitals, Inc., Senior Subordinated Notes | |||||||||
(Callable 11/15/08 @ $103.50) | (B , B3) | 11/15/13 | 7.000 | 1,035,000 | ||||||
750 | Universal Hospital Services, Inc., Global Senior | |||||||||
Notes (Callable 11/01/07 @ $105.06) | (B- , B3) | 11/01/11 | 10.125 | 776,250 | ||||||
1,000 | Vanguard Health Holding Company LLC, Global | |||||||||
Senior Subordinated Notes | ||||||||||
(Callable 10/01/09 @ $104.50) | (CCC+ , Caa1) | 10/01/14 | 9.000 | 1,092,500 | ||||||
| ||||||||||
13,414,502 | ||||||||||
| ||||||||||
Home Builders (2.8%) | ||||||||||
650 | D. R. Horton, Inc., Company Guaranteed Notes | (BB+ , Ba1) | 01/15/16 | 5.625 | 647,715 | |||||
900 | KB Home, Senior Notes | (BB+ , Ba1) | 06/15/15 | 6.250 | 925,431 | |||||
1,775 | KB Home, Senior Subordinated Notes | (BB- , Ba2) | 12/15/08 | 8.625 | 1,943,013 | |||||
350 | Technical Olympic USA, Inc., Global Senior | |||||||||
Subordinated Notes | (B- , B2) | 01/15/15 | 7.500 | 323,750 | ||||||
700 | Toll Corp., Senior Subordinated Notes | |||||||||
(Callable 12/01/06 @ $104.12) | (BB+ , Ba2) | 12/01/11 | 8.250 | 757,750 | ||||||
1,000 | WCI Communities, Inc., Global Company | |||||||||
Guaranteed Notes | ||||||||||
(Callable 05/01/07 @ $104.56) | (B+ , Ba3) | 05/01/12 | 9.125 | 1,062,500 | ||||||
1,000 | William Lyon Homes, Inc., Company Guaranteed | |||||||||
Notes (Callable 04/01/08 @ $105.38) | (B , B2) | 04/01/13 | 10.750 | 1,112,500 | ||||||
| ||||||||||
6,772,659 | ||||||||||
| ||||||||||
Industrial - Other (1.5%) | ||||||||||
1,000 | Altra Industrial Motion, Inc., Rule 144A, Secured | |||||||||
Notes (Callable 12/01/08 @ $104.50) ‡ | (CCC+ , B3) | 12/01/11 | 9.000 | 950,000 | ||||||
1,000 | Amsted Industries, Inc., Rule 144A, Senior Notes | |||||||||
(Callable 10/15/07 @ $105.12) ‡ | (B , B3) | 10/15/11 | 10.250 | 1,085,000 | ||||||
450 | Amtrol, Inc., Senior Subordinated Notes § | (CCC- , Caa3) | 12/31/06 | 10.625 | 405,000 | |||||
200 | Coleman Cable, Inc., Rule 144A, Senior Notes | |||||||||
(Callable 10/01/08 @ $104.94) ‡ | (B- , B3) | 10/01/12 | 9.875 | 179,000 | ||||||
1,000 | Polypore, Inc., Global Senior Subordinated Notes | |||||||||
(Callable 05/15/08 @ $104.38) | (CCC+ , Caa1) | 05/15/12 | 8.750 | 972,500 | ||||||
| ||||||||||
3,591,500 | ||||||||||
| ||||||||||
Leisure (3.1%) | ||||||||||
1,300 | Affinity Group, Inc., Global Senior Subordinated | |||||||||
Notes (Callable 02/15/08 @ $105.44) | (B- , Caa1) | 02/15/12 | 10.875 | 1,274,000 | ||||||
2,000 | AMC Entertainment, Inc., Global Senior | |||||||||
Subordinated Notes | ||||||||||
(Callable 03/01/09 @ $104.00) § | (CCC+ , B3) | 03/01/14 | 8.000 | 1,850,000 | ||||||
250 | Bally Total Fitness Holding Corp., Global Senior | |||||||||
Notes (Callable 07/15/07 @ $105.25) | (CCC- , Caa1) | 07/15/11 | 10.500 | 255,000 | ||||||
561 | Bluegreen Corp., Series B, Company Guaranteed | |||||||||
Notes (Callable 04/01/06 @ $100.00) | (B- , B3) | 04/01/08 | 10.500 | 569,415 | ||||||
1,150 | Cinemark, Inc., Senior Discount Notes | |||||||||
(Callable 03/15/09 @ $104.88) + | (B- , Caa1) | 03/15/14 | 0.000 | 799,250 | ||||||
1,000 | Icon Health & Fitness, Inc., Global Company | |||||||||
Guaranteed Notes | ||||||||||
(Callable 04/01/07 @ $105.62) | (CCC- , Caa3) | 04/01/12 | 11.250 | 785,000 | ||||||
950 | Six Flags, Inc., Global Senior Notes | |||||||||
(Callable 02/01/06 @ $104.44) § | (CCC , Caa1) | 02/01/10 | 8.875 | 942,875 |
Par | Ratings† | |||||||||
(000) | (S&P/Moody’s) | Maturity | Rate% | Value | ||||||
|
|
|
|
| ||||||
U.S. CORPORATE BONDS | ||||||||||
Leisure | ||||||||||
$ 1,050 | Six Flags, Inc., Global Senior Notes | |||||||||
(Callable 06/01/09 @ $104.81) § | (CCC , Caa1) | 06/01/14 | 9.625 | $ 1,025,062 | ||||||
| ||||||||||
7,500,602 | ||||||||||
| ||||||||||
Lodging (0.6%) | ||||||||||
500 | Host Marriott LP, Global Senior Notes | |||||||||
(Callable 11/01/08 @ 103.56) § | (B+ , Ba3) | 11/01/13 | 7.125 | 524,375 | ||||||
890 | John Q. Hammons Hotels, Series B, Global Notes, | |||||||||
First Mortgage (Callable 05/15/07 @ $104.44) | (B , B2) | 05/15/12 | 8.875 | 980,113 | ||||||
| ||||||||||
1,504,488 | ||||||||||
| ||||||||||
Metals & Mining (3.9%) | ||||||||||
1,000 | AK Steel Corp., Global Company Guaranteed Notes | |||||||||
(Callable 06/15/07 @ $103.88) § | (B+ , B1) | 06/15/12 | 7.750 | 935,000 | ||||||
1,000 | Aleris International, Inc., Global Company | |||||||||
Guaranteed Notes | ||||||||||
(Callable 11/15/09 @ $104.50) | (B- , NR) | 11/15/14 | 9.000 | 1,052,500 | ||||||
1,600 | Alpha Natural Resources LLC, Global Company | |||||||||
Guaranteed Notes | ||||||||||
(Callable 06/01/08 @ $105.00) # | (B- , B3) | 06/01/12 | 10.000 | 1,784,000 | ||||||
1,000 | Edgen Acquisition Corp., Rule 144A, Secured | |||||||||
Notes (Callable 02/01/08 @ $104.94) ‡ | (B- , B3) | 02/01/11 | 9.875 | 995,000 | ||||||
750 | International Steel Group, Inc., Global Senior | |||||||||
Notes | (BB , Ba2) | 04/15/14 | 6.500 | 750,000 | ||||||
600 | Metallurg, Inc., Series B, Company Guaranteed | |||||||||
Notes (Callable 12/01/05 @ $100.00) | (CCC , Caa2) | 12/01/07 | 11.000 | 591,000 | ||||||
725 | Southern Peru Copper Corp., Rule 144A, Notes ‡ | (BBB- , Ba1) | 07/27/35 | 7.500 | 719,967 | |||||
1,000 | UCAR Finance, Inc., Global Company Guaranteed | |||||||||
Notes (Callable 02/15/07 @ $105.12) | (B- , B2) | 02/15/12 | 10.250 | 1,077,500 | ||||||
750 | WCI Steel, Inc., Series B, Senior Secured Notes ø | (NR , NR) | 12/01/49 | 10.000 | 498,750 | |||||
1,000 | Wise Metals Group LLC, Global Secured Notes | |||||||||
(Callable 05/15/08 @ $105.13) § | (CCC+ , B2) | 05/15/12 | 10.250 | 935,000 | ||||||
| ||||||||||
9,338,717 | ||||||||||
| ||||||||||
Paper & Forest Products (3.7%) | ||||||||||
1,000 | Appleton Papers, Inc., Series B, Senior | |||||||||
Subordinated Notes | ||||||||||
(Callable 06/15/09 @ $104.88) § | (B+ , B3) | 06/15/14 | 9.750 | 965,000 | ||||||
1,000 | Caraustar Industries, Inc., Global Company | |||||||||
Guaranteed Notes | ||||||||||
(Callable 04/01/06 @ $105.25) § | (B- , Caa1) | 04/01/11 | 9.875 | 1,022,500 | ||||||
1,000 | Cellu Tissue Holdings, Secured Notes | |||||||||
(Callable 03/15/07 @ $107.31) | (B , B2) | 03/15/10 | 9.750 | 1,020,000 | ||||||
1,200 | Georgia-Pacific Corp., Global Company Guaranteed | |||||||||
Notes | (BB+ , Ba2) | 02/01/10 | 8.875 | 1,356,000 | ||||||
1,300 | Georgia-Pacific Corp., Global Company Guaranteed | |||||||||
Notes (Callable 02/01/08 @ $104.69) | (BB+ , Ba2) | 02/01/13 | 9.375 | 1,475,500 | ||||||
750 | Georgia-Pacific Corp., Global Senior Notes | (BB+ , Ba3) | 01/15/24 | 8.000 | 858,750 | |||||
2,250 | Newark Group, Inc., Global Senior Subordinated | |||||||||
Notes (Callable 03/15/09 @ $104.88) | (B- , Caa1) | 03/15/14 | 9.750 | 2,081,250 | ||||||
| ||||||||||
8,779,000 | ||||||||||
| ||||||||||
Publishing (3.9%) | ||||||||||
1,250 | CBD Media Holdings, Global Senior Notes | |||||||||
(Callable 07/15/08 @ $104.63) | (CCC+ , Caa2) | 07/15/12 | 9.250 | 1,297,812 | ||||||
800 | Dex Media West LLC, Global Senior Notes | |||||||||
(Callable 11/15/08 @ $102.94) § | (B , B1) | 11/15/11 | 5.875 | 796,000 | ||||||
500 | Dex Media, Inc., Global Discount Notes | |||||||||
(Callable 11/15/08 @ $104.50) + | (B , B3) | 11/15/13 | 0.000 | 412,500 | ||||||
1,500 | Dex Media, Inc., Global Discount Notes | |||||||||
(Callable 11/15/08 @ $104.50) + | (B , B3) | 11/15/13 | 0.000 | 1,237,500 |
Par | Ratings† | ||||||||||
(000) | (S&P/Moody’s) | Maturity | Rate% | Value | |||||||
|
|
|
|
| |||||||
U.S. CORPORATE BONDS | |||||||||||
Publishing | |||||||||||
$ 400 | Dex Media, Inc., Global Notes | ||||||||||
(Callable 11/15/08 @ $104.00) | (B , B3) | 11/15/13 | 8.000 | $ 430,000 | |||||||
1,200 | Haights Cross Operating Co., Global | ||||||||||
Company Guaranteed Notes | |||||||||||
(Callable 08/15/08 @ $105.88) | (CCC , Caa1) | 08/15/11 | 11.750 | 1,321,500 | |||||||
1,000 | Houghton Mifflin Co., Global Senior Discount | ||||||||||
Notes (Callable 10/15/08 @ $105.75) +§ | (B- , Caa2) | 10/15/13 | 11.500 | 790,000 | |||||||
350 | Houghton Mifflin Co., Global Senior Notes | ||||||||||
(Callable 02/01/07 @ $104.12) | (B- , B3) | 02/01/11 | 8.250 | 369,688 | |||||||
500 | Morris Publishing Group LLC, Global Company | ||||||||||
Guaranteed Notes (Callable 08/01/08 @ $103.50) | (B+ , Ba3) | 08/01/13 | 7.000 | 498,125 | |||||||
500 | PRIMEDIA, Inc., Global Senior Notes | ||||||||||
(Callable 05/15/08 @ $104.00) | (B , B2) | 05/15/13 | 8.000 | 511,250 | |||||||
1,000 | Sheridan Acquisition Corp., Global Secured Notes | ||||||||||
(Callable 08/15/07 @ $105.12) | (B , B1) | 08/15/11 | 10.250 | 1,051,250 | |||||||
500 | WDAC Subsidiary Corp., Rule 144A, Senior Notes | ||||||||||
(Callable 12/01/09 @ $104.19) ‡§ | (CCC+ , Caa1) | 12/01/14 | 8.375 | 491,250 | |||||||
| |||||||||||
9,206,875 | |||||||||||
| |||||||||||
Restaurants (2.6%) | |||||||||||
600 | Buffets, Inc., Global Senior Subordinated Notes | ||||||||||
(Callable 07/15/06 @ $105.62) | (CCC , B3) | 07/15/10 | 11.250 | 609,000 | |||||||
1,350 | Denny’s Corp., Global Company Guaranteed Notes | ||||||||||
(Callable 10/01/08 @ $105.00) § | (CCC+ , Caa1) | 10/01/12 | 10.000 | 1,451,250 | |||||||
750 | El Pollo Loco, Inc., Global Secured Notes | ||||||||||
(Callable 12/15/06 @ $104.63) | (B- , B2) | 12/15/09 | 9.250 | 800,625 | |||||||
250 | Friendly Ice Cream Corp., Global Senior Notes | ||||||||||
(Callable 06/15/08 @ $104.19) | (B- , B2) | 06/15/12 | 8.375 | 246,250 | |||||||
1,000 | O’Charleys, Inc., Global Senior Subordinated | ||||||||||
Notes (Callable 11/01/08 @ $104.50) § | (B , Ba3) | 11/01/13 | 9.000 | 1,087,500 | |||||||
1,044 | RomaCorp, Inc., Senior Notes ^ | (NR , NR) | 12/31/08 | 10.500 | 522,044 | ||||||
550 | Sbarro, Inc., Company Guaranteed Senior Notes | ||||||||||
(Callable 09/15/05 @ $103.67) | (CCC+ , Caa2) | 09/15/09 | 11.000 | 559,625 | |||||||
1,000 | Uno Restaurant Corp., Rule 144A, Senior Notes | ||||||||||
(Callable 02/15/08 @ $110.00) ‡§ | (B- , B3) | 02/15/11 | 10.000 | 970,000 | |||||||
| |||||||||||
6,246,294 | |||||||||||
| |||||||||||
Retail-Food & Drug (3.2%) | |||||||||||
625 | Delhaize America, Inc., Global Company | ||||||||||
Guaranteed Notes | (BB+ , Ba1) | 04/15/11 | 8.125 | 700,154 | |||||||
1,750 | Duane Reade, Inc., Global Senior Subordinated | ||||||||||
Notes (Callable 08/01/08 @ $104.88) | (CCC- , Caa3) | 08/01/11 | 9.750 | 1,373,750 | |||||||
600 | General Nutrition Center, Global Company | ||||||||||
Guaranteed Notes (Callable 01/15/08 @ $104.31) | (B- , B3) | 01/15/11 | 8.625 | 573,000 | |||||||
1,010 | Great Atlantic & Pacific Tea Co., Inc., Senior | ||||||||||
Notes (Callable 12/15/06 @ $104.56) | (B- , Caa1) | 12/15/11 | 9.125 | 1,111,000 | |||||||
1,000 | Gregg Appliances, Inc., Rule 144A, Senior Notes | ||||||||||
(Callable 02/01/09 @ $104.50) ‡ | (B , B2) | 02/01/13 | 9.000 | 972,500 | |||||||
1,000 | Pathmark Stores, Inc., Global Company | ||||||||||
Guaranteed Notes | |||||||||||
(Callable 02/01/07 @ $104.38) | (CCC+ , Caa1) | 02/01/12 | 8.750 | 998,750 | |||||||
1,000 | Rite Aid Corp., Global Company Guaranteed | ||||||||||
Notes (Callable 01/15/10 @ $103.75) | (B+ , B2) | 01/15/15 | 7.500 | 977,500 | |||||||
500 | Roundy’s, Inc., Series B, Global Company | ||||||||||
Guaranteed Notes | |||||||||||
(Callable 06/15/07 @ $104.44) § | (B , B2) | 06/15/12 | 8.875 | 532,500 | |||||||
450 | Stater Brothers Holdings, Inc., Global Senior Notes | ||||||||||
(Callable 06/15/08 @ $104.06) | (BB- , B1) | 06/15/12 | 8.125 | 456,750 | |||||||
| |||||||||||
7,695,904 | |||||||||||
|
Par | Ratings† | ||||||||||
(000) | (S&P/Moody’s) | Maturity | Rate% | Value | |||||||
|
|
|
|
| |||||||
U.S. CORPORATE BONDS | |||||||||||
Retail Stores (2.8%) | |||||||||||
$ 700 | Asbury Automotive Group, Inc., Global | ||||||||||
Company Guaranteed Notes | |||||||||||
(Callable 06/15/07 @ $104.50) § | (B , B3) | 06/15/12 | 9.000 | $ 731,500 | |||||||
1,000 | CSK Auto, Inc., Global Company Guaranteed | ||||||||||
Notes (Callable 01/15/09 @ $103.50) | (B- , B2) | 01/15/14 | 7.000 | 967,500 | |||||||
500 | Finlay Fine Jewelry Corp., Global Senior Notes | ||||||||||
(Callable 06/01/08 @ $104.19) | (B+ , B2) | 06/01/12 | 8.375 | 470,000 | |||||||
1,100 | JC Penney Company, Inc., Series MTNA, Notes | (BB+ , Ba1) | 10/15/15 | 6.875 | 1,196,871 | ||||||
500 | Keystone Automotive Operations, Inc., | ||||||||||
Global Senior Subordinated Notes | |||||||||||
(Callable 11/01/08 @ $104.88) | (B- , B3) | 11/01/13 | 9.750 | 512,500 | |||||||
500 | Nebraska Book Company, Inc., Global | ||||||||||
Senior Subordinated Notes | |||||||||||
(Callable 03/15/08 @ $104.31) | (CCC+ , Caa1) | 03/15/12 | 8.625 | 478,750 | |||||||
1,400 | Southern States Cooperative, Inc., Rule 144A, | ||||||||||
Senior Notes (Callable 11/01/07 @ $108.00) ‡ | (B , B3) | 11/01/10 | 10.500 | 1,400,000 | |||||||
750 | United Auto Group, Inc., Global Company | ||||||||||
Guaranteed Notes | |||||||||||
(Callable 03/15/07 @ $104.81) | (B , B3) | 03/15/12 | 9.625 | 811,875 | |||||||
| |||||||||||
6,568,996 | |||||||||||
| |||||||||||
Satellite (0.9%) | |||||||||||
1,000 | Echostar DBS Corp., Global Company | ||||||||||
Guaranteed Notes | (BB- , Ba3) | 10/01/14 | 6.625 | 997,500 | |||||||
1,000 | PanAmSat Corp., Global Company Guaranteed | ||||||||||
Notes (Callable 08/15/09 @ $104.50) | (B+ , B1) | 08/15/14 | 9.000 | 1,110,000 | |||||||
| |||||||||||
2,107,500 | |||||||||||
| |||||||||||
Secondary Oil & Gas Producers (1.8%) | |||||||||||
700 | Chesapeake Energy Corp., Rule 144A, Senior | ||||||||||
Notes (Callable 07/15/10 @ $103.13) ‡ | (BB- , Ba3) | 01/15/18 | 6.250 | 694,750 | |||||||
1,093 | Chesapeake Energy Corp., Senior Notes | ||||||||||
(Callable 01/15/09 @ $103.44) § | (BB- , Ba3) | 01/15/16 | 6.875 | 1,139,452 | |||||||
1,150 | Kerr-McGee Corp., Company Guaranteed Notes | (BB+ , Ba3) | 09/15/11 | 6.875 | 1,237,836 | ||||||
423 | Magnum Hunter Resources, Inc., Global | ||||||||||
Company Guaranteed Notes | |||||||||||
(Callable 03/15/07 @ $104.80) | (B+ , B2) | 03/15/12 | 9.600 | 471,645 | |||||||
200 | Range Resources Corp., Global Company | ||||||||||
Guaranteed Notes | |||||||||||
(Callable 03/15/10 @ $103.19) | (B , B3) | 03/15/15 | 6.375 | 202,000 | |||||||
600 | Whiting Petroleum Corp., Global | ||||||||||
Senior Subordinated Notes | |||||||||||
(Callable 05/01/08 @ $103.63) | (B- , B2) | 05/01/12 | 7.250 | 613,500 | |||||||
| |||||||||||
4,359,183 | |||||||||||
| |||||||||||
Services-Other (7.3%) | |||||||||||
1,500 | Advanstar Communications, Inc., Global Secured | ||||||||||
Notes (Callable 02/15/08 @ $105.38) | (B- , B3) | 08/15/10 | 10.750 | 1,710,000 | |||||||
1,250 | Allied Security Escrow, Global Senior Subordinated | ||||||||||
Notes (Callable 07/15/08 @ $105.69) | (B- , Caa1) | 07/15/11 | 11.375 | 1,243,750 | |||||||
1,150 | American Color Graphics, Global Notes | ||||||||||
(Callable 06/15/07 @ $105.00) § | (CCC , Caa3) | 06/15/10 | 10.000 | 822,250 | |||||||
400 | Diamond Triumph Auto Glass, Inc., Company | ||||||||||
Guaranteed Notes | |||||||||||
(Callable 04/01/06 @ $100.00) | (B- , Caa1) | 04/01/08 | 9.250 | 291,000 | |||||||
1,000 | DynCorp International, Rule 144A, Senior | ||||||||||
Subordinated Notes | |||||||||||
(Callable 02/15/09 @ $104.75) ‡ | (B- , Caa1) | 02/15/13 | 9.500 | 997,500 | |||||||
1,000 | HydroChem Industrial Services, Inc., Rule 144A, | ||||||||||
Senior Subordinated Notes | |||||||||||
(Callable 02/15/09 @ $104.63) ‡ | (B- , Caa1) | 02/15/13 | 9.250 | 945,000 |
Par | Ratings† | |||||||||
(000) | (S&P/Moody’s) | Maturity | Rate% | Value | ||||||
|
|
|
|
| ||||||
U.S. CORPORATE BONDS | ||||||||||
Services-Other | ||||||||||
$ 1,000 | Integrated Alarm Services Group, Inc., | |||||||||
Rule 144A, Secured Notes | ||||||||||
(Callable 11/15/08 @ $106.00) ‡ | (B- , B3) | 11/15/11 | 12.000 | $ 1,035,000 | ||||||
750 | Iron Mountain, Inc., Company Guaranteed Notes | |||||||||
(Callable 04/01/06 @ $104.31) | (B , Caa1) | 04/01/13 | 8.625 | 791,250 | ||||||
980 | La Petite Academy, Inc., Series B, Company | |||||||||
Guaranteed Notes | ||||||||||
(Callable 05/15/05 @ $101.67) § | (CC , Ca) | 05/15/08 | 10.000 | 940,187 | ||||||
750 | Language Line, Inc., Global Senior Notes | |||||||||
(Callable 06/15/08 @ $105.56) | (CCC+ , Caa1) | 06/15/12 | 11.125 | 716,250 | ||||||
1,000 | Mortons Restaurant Group, Inc., Global Secured | |||||||||
Notes (Callable 07/01/07 @ $105.30) § | (B- , B2) | 07/01/10 | 7.500 | 1,000,000 | ||||||
1,000 | Muzak LLC/Muzak Finance Corp., Global Senior | |||||||||
Notes (Callable 02/15/06 @ $105.00) | (CCC- , Caa2) | 02/15/09 | 10.000 | 898,750 | ||||||
1,000 | National Beef Packing Company LLC, Global | |||||||||
Senior Notes (Callable 08/01/07 @ $105.25) | (B- , B3) | 08/01/11 | 10.500 | 1,070,000 | ||||||
500 | Rent-A-Center, Inc., Series B, Global Company | |||||||||
Guaranteed Notes | ||||||||||
(Callable 05/01/06 @ $103.75) | (BB- , B1) | 05/01/10 | 7.500 | 513,750 | ||||||
500 | SunGard Data Systems, Inc., Rule 144A, | |||||||||
Senior Subordinated Notes | ||||||||||
(Callable 08/15/10 @ $105.13) ‡ | (B- , Caa1) | 08/15/15 | 10.250 | 520,625 | ||||||
440 | United Rentals North America, Inc., Global | |||||||||
Company Guaranteed Notes | ||||||||||
(Callable 02/15/08 @ $103.25) | (BB- , B2) | 02/15/12 | 6.500 | 430,100 | ||||||
1,000 | United Rentals North America, Inc., Global | |||||||||
Senior Subordinated Notes | ||||||||||
(Callable 02/15/09 @ $103.50) § | (B+ , B3) | 02/15/14 | 7.000 | 947,500 | ||||||
2,000 | United Rentals North America, Inc., Global | |||||||||
Senior Subordinated Notes | ||||||||||
(Callable 11/15/08 @ $103.88) § | (B+ , B3) | 11/15/13 | 7.750 | 1,960,000 | ||||||
975 | WMG Holdings Corp., Rule 144A, Senior Discount | |||||||||
Notes (Callable 12/15/09 @ $104.75) ‡+ | (B- , Caa2) | 12/15/14 | 0.000 | 692,250 | ||||||
| ||||||||||
17,525,162 | ||||||||||
| ||||||||||
Technology (3.6%) | ||||||||||
1,000 | Advanced Micro Devices, Inc., Global Senior Notes | |||||||||
(Callable 11/01/08 @ $103.88) § | (B- , B3) | 11/01/12 | 7.750 | 1,017,500 | ||||||
1,400 | Amkor Technology, Inc., Global Senior Notes | |||||||||
(Callable 05/15/08 @ $103.88) § | (B- , B3) | 05/15/13 | 7.750 | 1,197,000 | ||||||
1,000 | Itron, Inc., Global Senior Subordinated Notes | |||||||||
(Callable 05/15/08 @ $103.88) | (B , B2) | 05/15/12 | 7.750 | 1,042,500 | ||||||
950 | Lucent Technologies, Inc., Notes | (B , B1) | 07/15/06 | 7.250 | 977,312 | |||||
800 | Lucent Technologies, Inc., Notes § | (B , B1) | 11/15/08 | 5.500 | 806,000 | |||||
1,000 | Sanmina-SCI Corp., Global Company Guaranteed | |||||||||
Notes (Callable 01/15/07 @ $105.19) | (BB- , Ba2) | 01/15/10 | 10.375 | 1,115,000 | ||||||
1,000 | Viasystems, Inc., Global Senior Subordinated | |||||||||
Notes (Callable 01/15/08 @ $105.25) | (CCC+ , Caa2) | 01/15/11 | 10.500 | 985,000 | ||||||
1,350 | Xerox Corp., Senior Notes | |||||||||
(Callable 06/15/08 @ $103.81) | (BB- , Ba2) | 06/15/13 | 7.625 | 1,447,875 | ||||||
| ||||||||||
8,588,187 | ||||||||||
| ||||||||||
Textile/Apparel/Shoe Manufacturing (2.8%) | ||||||||||
2,797 | BGF Industries, Inc., Series B, Senior | |||||||||
Subordinated Notes | ||||||||||
(Callable 01/15/06 @ $101.75) | (CCC- , Ca) | 01/15/09 | 10.250 | 2,797,000 | ||||||
1,000 | Levi Strauss & Co., Global Senior Notes | |||||||||
(Callable 01/15/10 @ $104.88) | (B- , Caa3) | 01/15/15 | 9.750 | 1,055,000 | ||||||
1,200 | Levi Strauss & Co., Global Senior Notes | |||||||||
(Callable 12/15/07 @ $106.12) | (B- , Caa3) | 12/15/12 | 12.250 | 1,353,000 |
Par | Ratings† | ||||||||||
(000) | (S&P/Moody’s) | Maturity | Rate% | Value | |||||||
|
|
|
|
| |||||||
U.S. CORPORATE BONDS | |||||||||||
Textile/Apparel/Shoe Manufacturing | |||||||||||
$ 400 | Phillips-Van Heusen Corp., Global Senior Notes | ||||||||||
(Callable 02/15/09 @ $103.62) | (BB , B2) | 02/15/11 | 7.250 | $ 423,000 | |||||||
950 | Propex Fabrics, Inc., Global Company Guaranteed | ||||||||||
Notes (Callable 12/01/08 @ $105.00) | (B- , Caa1) | 12/01/12 | 10.000 | 921,500 | |||||||
| |||||||||||
6,549,500 | |||||||||||
| |||||||||||
Tower (0.8%) | |||||||||||
1,000 | American Tower Corp., Global Senior Notes | ||||||||||
(Callable 10/15/08 @ $103.56) | (BB- , B3) | 10/15/12 | 7.125 | 1,060,000 | |||||||
1,018 | SBA Telecommunications, Inc., Global | ||||||||||
Senior Discount Notes | |||||||||||
(Callable 12/15/07 @ $104.88) + | (B- , B3) | 12/15/11 | 0.000 | 939,105 | |||||||
| |||||||||||
1,999,105 | |||||||||||
| |||||||||||
Transportation/Other (0.3%) | |||||||||||
1,000 | H-Lines Finance Holding Corp., Rule 144A, | ||||||||||
Senior Discount Notes | |||||||||||
(Callable 04/01/08 @ $105.50) ‡+ | (NR , Caa2) | 04/01/13 | 0.000 | 810,000 | |||||||
| |||||||||||
Utilities (6.4%) | |||||||||||
1,000 | AES Corp., Rule 144A, Secured Notes | ||||||||||
(Callable 05/15/08 @ $104.50) ‡ | (B+ , Ba3) | 05/15/15 | 9.000 | 1,120,000 | |||||||
1,000 | Allegheny Energy Supply Company LLC, Global | ||||||||||
Notes § | (B , Ba3) | 03/15/11 | 7.800 | 1,097,500 | |||||||
1,100 | Aquila, Inc., Senior Notes | (B- , B2) | 11/15/09 | 7.625 | 1,149,500 | ||||||
2,250 | Calpine Corp., Rule 144A, Secured Notes | ||||||||||
(Callable 07/15/08 @ $104.38) ‡§ | (B- , NR) | 07/15/13 | 8.750 | 1,687,500 | |||||||
1,000 | Calpine Corp., Senior Notes § | (CCC , Caa3) | 02/15/11 | 8.500 | 700,000 | ||||||
2,500 | Calpine Generating Company LLC, Global Secured | ||||||||||
Notes (Callable 04/01/08 @ $103.50) # | (B- , B3) | 04/01/12 | 9.090 | 2,543,750 | |||||||
1,000 | CMS Energy Corp., Global Senior Notes | (B+ , B1) | 07/15/08 | 8.900 | 1,095,000 | ||||||
1,000 | CMS Energy Corp., Global Senior Notes | (B+ , B1) | 08/01/10 | 7.750 | 1,085,000 | ||||||
350 | Edison Mission Energy, Global Senior Notes | (B+ , B1) | 08/15/08 | 10.000 | 392,000 | ||||||
1,300 | Edison Mission Energy, Senior Notes | (B+ , B1) | 06/15/09 | 7.730 | 1,378,000 | ||||||
1,000 | Midwest Generation LLC, Global Secured Notes | ||||||||||
(Callable 05/01/09 @ $104.38) | (B , B1) | 05/01/34 | 8.750 | 1,125,000 | |||||||
1,100 | Mirant Corp., Rule 144A, Senior Notes ‡ø | (NR , NR) | 07/15/49 | 7.400 | 1,039,500 | ||||||
225 | NRG Energy, Inc., Rule 144A, Secured Notes | ||||||||||
(Callable 12/15/08 @ $104.00) ‡ | (B , B1) | 12/15/13 | 8.000 | 241,875 | |||||||
500 | Sierra Pacific Resources, Global Senior Notes | ||||||||||
(Callable 03/15/09 @ $104.31) | (B- , B2) | 03/15/14 | 8.625 | 556,250 | |||||||
| |||||||||||
15,210,875 | |||||||||||
| |||||||||||
Wireless (6.8%) | |||||||||||
450 | AirGate PCS, Inc., Rule 144A, Secured Notes | ||||||||||
(Callable 01/01/06 @ $104.69) ‡§ | (CCC , Caa1) | 09/01/09 | 9.375 | 477,456 | |||||||
600 | AirGate PCS, Inc., Secured Note | ||||||||||
(Callable 01/01/06 @ $104.69) § | (CCC , Caa1) | 09/01/09 | 9.375 | 636,750 | |||||||
800 | American Cellular Corp., Series B, Global Senior | ||||||||||
Notes (Callable 08/01/07 @ $105.00) | (B- , Caa1) | 08/01/11 | 10.000 | 842,000 | |||||||
650 | Centennial Communications Corp., Global | ||||||||||
Company Guaranteed Notes | |||||||||||
(Callable 06/15/08 @ $105.06) | (CCC , B3) | 06/15/13 | 10.125 | 735,312 | |||||||
1,950 | Centennial Communications Corp., Global Senior | ||||||||||
Notes (Callable 02/01/09 @ $104.06) # | (CCC , B3) | 02/01/14 | 8.125 | 2,101,125 | |||||||
170 | Dobson Cellular Systems, Global Secured Notes | ||||||||||
(Callable 11/01/08 @ $104.94) | (CCC , B3) | 11/01/12 | 9.875 | 188,913 | |||||||
1,150 | Dobson Communications Corp., Global Senior | ||||||||||
Notes (Callable 10/01/08 @ $104.44) | (CCC , Ca) | 10/01/13 | 8.875 | 1,152,875 | |||||||
750 | Horizon PCS, Inc., Global Company Guaranteed | ||||||||||
Notes (Callable 07/15/08 @ $105.69) | (CCC , B3) | 07/15/12 | 11.375 | 855,000 |
Par | Ratings† | ||||||||||
(000) | (S&P/Moody’s) | Maturity | Rate% | Value | |||||||
|
|
|
|
| |||||||
U.S. CORPORATE BONDS | |||||||||||
Wireless | |||||||||||
$ 850 | IPCS, Inc., Global Senior Notes | ||||||||||
(Callable 05/01/08 @ $105.75) § | (CCC , B3) | 05/01/12 | 11.500 | $ 969,000 | |||||||
500 | Nextel Communications, Inc., Senior Notes | ||||||||||
(Callable 08/01/08 @ $103.69) | (A- , Baa2) | 08/01/15 | 7.375 | 541,250 | |||||||
1,100 | Nextel Partners, Inc., Global Senior Notes | ||||||||||
(Callable 07/01/07 @ $104.06) § | (BB- , Ba3) | 07/01/11 | 8.125 | 1,205,875 | |||||||
1,250 | Rural Cellular Corp., Global Senior Subordinated | ||||||||||
Notes (Callable 01/15/06 @ $104.88) § | (CCC , Caa2) | 01/15/10 | 9.750 | 1,251,563 | |||||||
2,000 | Triton PCS, Inc., Global Company Guaranteed | ||||||||||
Notes (Callable 06/01/08 @ $104.25) § | (CCC- , Caa1) | 06/01/13 | 8.500 | 1,850,000 | |||||||
2,000 | Ubiquitel Operating Co., Global Senior Notes | ||||||||||
(Callable 03/01/07 @ $107.41) | (CCC , Caa1) | 03/01/11 | 9.875 | 2,242,500 | |||||||
1,000 | Western Wireless Corp., Global Senior Notes | ||||||||||
(Callable 07/15/08 @ $104.62) | (A , A2) | 07/15/13 | 9.250 | 1,145,000 | |||||||
| |||||||||||
16,194,619 | |||||||||||
| |||||||||||
TOTAL U.S. CORPORATE BONDS (Cost $302,248,457) | 306,254,615 | ||||||||||
| |||||||||||
FOREIGN CORPORATE BONDS (11.3%) | |||||||||||
Automobile Manufacturing/Vehicle Parts (0.4%) | |||||||||||
800 | Bombardier Recreational Products, Global | ||||||||||
Senior Subordinated Notes | |||||||||||
(Callable 12/15/08 @ $104.19) (Canada) | (B , B3) | 12/15/13 | 8.375 | 868,000 | |||||||
| |||||||||||
Broadband (0.7%) | |||||||||||
1,000 | Call-Net Enterprises, Inc., Yankee Company | ||||||||||
Guaranteed Notes | |||||||||||
(Callable 01/01/06 @ $105.31) (Canada) | (BB , B3) | 12/31/08 | 10.625 | 1,081,250 | |||||||
650 | Global Crossing Finance, Rule 144A, Company | ||||||||||
Guaranteed Global Notes | |||||||||||
(Callable 12/15/06 @ 105.38) | |||||||||||
(United Kingdom) ‡ | (B- , Caa1) | 12/15/14 | 10.750 | 601,250 | |||||||
| |||||||||||
1,682,500 | |||||||||||
| |||||||||||
Building Products (0.3%) | |||||||||||
1,250 | Maax Holdings, Inc., Rule 144A, Senior | ||||||||||
Discount Notes (Callable 12/15/08 @ $105.62) | |||||||||||
(Canada) ‡+ | (CCC+ , Caa1) | 12/15/12 | 0.000 | 631,250 | |||||||
| |||||||||||
Cable (0.9%) | |||||||||||
1,000 | Kabel Deutschland GmbH, Rule 144A, Senior | ||||||||||
Notes (Callable 07/01/09 @ $105.31) | |||||||||||
(Germany) ‡ | (B- , B2) | 07/01/14 | 10.625 | 1,110,000 | |||||||
1,350 | Telenet Group Holding NV, Rule 144A, Senior | ||||||||||
Notes (Callable 12/15/08 @ $105.75) | |||||||||||
(Belgium) ‡+ | (CCC+ , Caa2) | 06/15/14 | 11.500 | 1,093,500 | |||||||
| |||||||||||
2,203,500 | |||||||||||
| |||||||||||
Chemicals (1.0%) | |||||||||||
1,000 | Acetex Corp., Global Senior Notes | ||||||||||
(Callable 08/19/05 @ $105.44) (Canada) | (NR , NR) | 08/01/09 | 10.875 | 1,060,000 | |||||||
1,250 | Rhodia SA, Global Senior Notes (France) | (CCC+ , B3) | 06/01/10 | 10.250 | 1,353,125 | ||||||
| |||||||||||
2,413,125 | |||||||||||
| |||||||||||
Containers (0.6%) | |||||||||||
1,250 | Crown European Holdings SA, Global Secured | ||||||||||
Notes (Callable 03/01/07 @ $104.75) (France) | (B+ , B1) | 03/01/11 | 9.500 | 1,381,250 | |||||||
|
Par | Ratings† | ||||||||||
(000) | (S&P/Moody’s) | Maturity | Rate% | Value | |||||||
|
|
|
|
| |||||||
FOREIGN CORPORATE BONDS | |||||||||||
Electronics/Information/Data Technology (0.1%) | |||||||||||
$ 250 | Celestica, Inc., Senior Subordinated Notes | ||||||||||
(Callable 07/01/08 @ $103.94) (Canada) § | (B , B2) | 07/01/11 | 7.875 | $ 258,750 | |||||||
| |||||||||||
Food Processors/Beverage/Bottling (0.5%) | |||||||||||
1,000 | Burns Philp Capital Property, Ltd., Global Company | ||||||||||
Guaranteed Notes (Callable 07/15/07 @ $104.88) | |||||||||||
(Australia) | (B , B3) | 07/15/12 | 9.750 | 1,095,000 | |||||||
| |||||||||||
Gaming (0.3%) | |||||||||||
750 | Kerzner International, Ltd., Global Company | ||||||||||
Guaranteed Notes (Callable 08/15/06 @ $104.44) | |||||||||||
(Bahamas) | (B , B2) | 08/15/11 | 8.875 | 806,250 | |||||||
| |||||||||||
Industrial - Other (0.0%) | |||||||||||
1,021 | International Utility Structures, Inc., Yankee | ||||||||||
Senior Subordinated Notes | |||||||||||
(Callable 02/01/06 @ $100.00) | |||||||||||
(Canada) ø^ | (NR , NR) | 02/01/08 | 10.750 | 10,205 | |||||||
| |||||||||||
Leisure (0.4%) | |||||||||||
1,000 | NCL Corporation, Ltd., Rule 144A, Senior Notes | ||||||||||
(Callable 07/15/09 @ $105.31) (Bermuda) ‡# | (B+ , B2) | 07/15/14 | 11.625 | 1,070,000 | |||||||
| |||||||||||
Metals & Mining (0.8%) | |||||||||||
1,000 | Gerdau Ameristeel Corp., Global Senior Notes | ||||||||||
(Callable 07/15/07 @ $105.38) (Canada) | (BB- , Ba3) | 07/15/11 | 10.375 | 1,110,000 | |||||||
650 | Ispat Inland ULC, Global Secured Notes | ||||||||||
(Callable 04/01/09 @ $104.88) (Canada) | (BBB+ , Ba1) | 04/01/14 | 9.750 | 770,250 | |||||||
| |||||||||||
1,880,250 | |||||||||||
| |||||||||||
Paper & Forest Products (1.8%) | |||||||||||
600 | Abitibi-Consolidated, Inc., Global Notes (Canada) | (BB- , Ba3) | 06/15/11 | 7.750 | 615,000 | ||||||
400 | Abitibi-Consolidated, Inc., Yankee Senior Notes | ||||||||||
(Canada) § | (BB- , Ba3) | 04/01/15 | 8.375 | 418,000 | |||||||
750 | Fraser Papers, Inc., Rule 144A, Senior Notes | ||||||||||
(Callable 03/15/10 @ $104.38) (Canada) ‡ | (B , B3) | 03/15/15 | 8.750 | 675,000 | |||||||
750 | JSG Funding PLC, Global Senior Notes | ||||||||||
(Callable 10/01/07 @ $104.81) (Ireland) | (B- , B3) | 10/01/12 | 9.625 | 761,250 | |||||||
1,000 | JSG Funding PLC, Global Senior Subordinated | ||||||||||
Notes (Callable 01/31/10 @ $103.88) | |||||||||||
(Ireland) § | (NR , Caa1) | 04/01/15 | 7.750 | 855,000 | |||||||
1,200 | Tembec Industries, Inc., Yankee Company | ||||||||||
Guaranteed Notes (Callable 10/03/05 @ $102.88) | |||||||||||
(Canada) § | (B , B3) | 06/30/09 | 8.625 | 1,023,000 | |||||||
| |||||||||||
4,347,250 | |||||||||||
| |||||||||||
Retail-Food & Drug (0.4%) | |||||||||||
1,000 | Jean Coutu Group (PJC), Inc., Global Senior | ||||||||||
Subordinated Notes (Callable 08/01/09 @ $104.25) | |||||||||||
(Canada) | (B , B3) | 08/01/14 | 8.500 | 996,250 | |||||||
| |||||||||||
Satellite (1.0%) | |||||||||||
1,000 | Intelsat Bermuda, Ltd., Rule 144A, Senior Notes | ||||||||||
(Callable 07/15/06 @ $102.00) (Bermuda) ‡# | (B+ , B2) | 01/15/12 | 9.695 | 1,025,000 | |||||||
1,700 | New Asat, Ltd., Global Company Guaranteed Notes | ||||||||||
(Callable 02/01/08 @ $104.63) | |||||||||||
(Cayman Islands) | (B- , B3) | 02/01/11 | 9.250 | 1,436,500 | |||||||
| |||||||||||
2,461,500 | |||||||||||
|
Par | Ratings† | ||||||||||
(000) | (S&P/Moody’s) | Maturity | Rate% | Value | |||||||
|
|
|
|
| |||||||
FOREIGN CORPORATE BONDS | |||||||||||
Technology (0.7%) | |||||||||||
$ 750 | Danka Business Systems PLC, Global Senior | ||||||||||
Notes (Callable 06/15/07 @ $105.50) | |||||||||||
(United Kingdom) | (B , B3) | 06/15/10 | 11.000 | $ 596,250 | |||||||
1,000 | Flextronics International, Ltd., Global | ||||||||||
Senior Subordinated Notes | |||||||||||
(Callable 11/15/09 @ $103.13) (Singapore) | (BB- , Ba2) | 11/15/14 | 6.250 | 995,000 | |||||||
| |||||||||||
1,591,250 | |||||||||||
| |||||||||||
Transportation/Other (0.8%) | |||||||||||
445 | Sea Containers, Ltd., Series B, Yankee Senior | ||||||||||
Notes (Bermuda) | (B , B3) | 02/15/08 | 7.875 | 440,550 | |||||||
1,100 | Ship Finance International, Ltd., Global Senior | ||||||||||
Notes (Callable 12/15/08 @ $104.25) | |||||||||||
(Bermuda) | (B , B1) | 12/15/13 | 8.500 | 1,058,750 | |||||||
500 | Titan Petrochemicals Group, Ltd., Rule 144A, | ||||||||||
Company Guaranteed Notes (Bermuda) ‡ | (B+ , B1) | 03/18/12 | 8.500 | 472,500 | |||||||
| |||||||||||
1,971,800 | |||||||||||
| |||||||||||
Wireless (0.6%) | |||||||||||
750 | Millicom International Cellular SA, Global Senior | ||||||||||
Notes (Callable 12/01/08 @ $105.00) | |||||||||||
(Luxembourg) # | (B- , B3) | 12/01/13 | 10.000 | 780,000 | |||||||
500 | Rogers Wireless Communications, Inc., Global | ||||||||||
Secured Notes (Canada) | (BB , Ba3) | 03/15/15 | 7.500 | 548,750 | |||||||
| |||||||||||
1,328,750 | |||||||||||
| |||||||||||
TOTAL FOREIGN CORPORATE BONDS (Cost $27,296,965) | 26,996,880 | ||||||||||
| |||||||||||
Number of | |||||||||||
Shares | |||||||||||
|
|||||||||||
COMMON STOCKS (1.1%) | |||||||||||
Automobile Manufacturing/Vehicle Parts (0.0%) | |||||||||||
774,557 | Cambridge Industries Liquidating Trust ^* | 7,746 | |||||||||
| |||||||||||
Chemicals (0.1%) | |||||||||||
4,893 | Huntsman Corp. * | 113,958 | |||||||||
| |||||||||||
Diversified Telecommunications (0.3%) | |||||||||||
233,772 | Versatel Telecom International NV * | 621,853 | |||||||||
| |||||||||||
Food Processors/Beverage/Bottling (0.4%) | |||||||||||
1,291 | Archibald Candy Corp. ^* | 0 | |||||||||
845 | Crunch Equity Holdings, Class A * | 1,035,086 | |||||||||
| |||||||||||
1,035,086 | |||||||||||
| |||||||||||
Wireless (0.3%) | |||||||||||
99,764 | Dobson Communications Corp., Class A * | 703,336 | |||||||||
| |||||||||||
TOTAL COMMON STOCKS (Cost $2,949,016) | 2,481,979 | ||||||||||
| |||||||||||
WARRANTS (0.0%) | |||||||||||
Broadband (0.0%) | |||||||||||
6,750 | GT Group Telecom, Inc., Rule 144A, strike | ||||||||||
price $0.00, expires 02/01/10 ‡^* | 0 | ||||||||||
5,980 | Ono Finance PLC, expires 05/31/09 * | 60 | |||||||||
| |||||||||||
60 | |||||||||||
|
Number of | ||||
Shares | Value | |||
|
| |||
WARRANTS | ||||
Diversified Telecommunications (0.0%) | ||||
3,000 | Versatel Telecom International NV, strike price $2.81, | |||
expires 05/15/08 * | $ 62,982 | |||
| ||||
Gaming (0.0%) | ||||
106 | Windsor Woodmont Black Hawk, strike price $0.01, | |||
expires 03/15/10 ^* | 0 | |||
| ||||
Restaurants (0.0%) | ||||
336 | New World Restaurant Group, Inc., strike price $13.00, | |||
expires 06/20/06 * | 3 | |||
| ||||
Technology (0.0%) | ||||
5,000 | Asat Finance LLC, Rule 144A, strike price $18.60, | |||
expires 11/01/06 ‡* | 625 | |||
204,293 | Viasystems, Inc., strike price $25.31, expires 01/31/10 ^* | 2,043 | ||
| ||||
2,668 | ||||
| ||||
TOTAL WARRANTS (Cost $3,938,143) | 65,713 | |||
| ||||
REPURCHASE AGREEMENTS (21.8%) | ||||
2,341,527 | Bear Stearns & Co., 2.48%, | |||
Dated 07/31/05, due 08/01/05, | ||||
proceeds at maturity $2,342,012, | ||||
(fully collateralized by | ||||
U.S. Treasury Strips, due 08/15/20, | ||||
FNMA, due 10/25/31, | ||||
Market Value of collateral | ||||
is $2,410,022), §§ | 2,341,527 | |||
42,761,944 | Bear Stearns & Co., 3.31%, | |||
Dated 07/31/05, due 08/01/05, | ||||
proceeds at maturity $42,773,748, | ||||
(fully collateralized by | ||||
FNMA, due 10/25/31, | ||||
FHLMC, due 06/15/31, | ||||
GNMA, due 03/20/32, | ||||
FHLMC, due 02/15/32, | ||||
FNMA, due 08/25/32, | ||||
FNMA, due01/01/33, | ||||
Market Value of collareral | ||||
is $43,840,057), §§ | 42,761,944 | |||
7,004,120 | Bear Stearns & Co., 3.25%, | |||
Dated 07/31/05, due 08/01/05, | ||||
proceeds at maturity $7,006,017, | ||||
(fully collateralized by | ||||
U.S. Treasury Strips, due 08/15/20, | ||||
FHLMC, due 05/15/28, | ||||
FNMA, due 11/25/30, | ||||
FNMA, due 12/25/31, | ||||
FNMA, due 11/25/31, | ||||
FNMA, due 01/18/32, | ||||
FNMA, due 10/25/31, | ||||
Market Value of collateral | ||||
is $7,171,134), §§ | 7,004,120 | |||
| ||||
TOTAL REPURCHASE AGREEMENTS (Cost $52,107,591) | 52,107,591 | |||
| ||||
SHORT-TERM INVESTMENTS (12.6%) | ||||
15,000,000 | Dreyfus Cash Management, Class A, Institutional | |||
Shares §§ | 15,000,000 | |||
15,000,000 | Dreyfus Cash Management Plus, Inc., Institutional | |||
Shares §§ | 15,000,000 | |||
| ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $30,000,000) | 30,000,000 | |||
| ||||
TOTAL INVESTMENTS AT VALUE (175.1%) (Cost $418,540,172) | 417,906,778 | |||
LIABILITIES IN EXCESS OF OTHER ASSETS (-75.1%) | (179,230,277) | |||
| ||||
NET ASSETS (100.0%) | $ 238,676,501 | |||
|
INVESTMENT
ABBREVIATIONS MTNA = Medium Term Notes Series A 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, 2005, these securities | ||
amounted to $57,268,001 or 23.99% of net assets. | ||
+ | Step Bond — The interest stated is as of July 31, 2005 and will reset at a future date. | |
ø | Bond in default. | |
^ | Not readily marketable; 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 shown is the rate as of July 31, 2005. | |
* | Non-income producing security. | |
§ | Security or portion thereof is out on loan. | |
§§ | Represents security purchased with cash collateral received for securities on loan. |
Portfolio valuation: Fixed-income securities (other than
short-term obligations, but including listed issues) are valued
based Federal
Income Tax Cost - At July 31, 2005, the identified cost for federal income
tax purposes, as well as the gross unreal- Other
information regarding the Fund is available in the Fund’s most recent
Report to Shareholders. This information is also |
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.
The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Credit Suisse High Yield Bond Fund
/s/ Steven Plump
Name: Steven Plump
Title: Chief Executive Officer
Date: September 29, 2005
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/ Steven Plump
Name: Steven Plump
Title: Chief Executive Officer
Date: September 29, 2005
/s/ Michael A. Pignataro
Name: Michael A. Pignataro
Title: Chief Financial Officer
Date: September 29, 2005