N-Q 1 a08-24648_6nq.htm N-Q

 

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:

811-08927

 

 

CREDIT SUISSE GLOBAL HIGH YIELD FUND, INC.

(Exact name of registrant as specified in charter)

 

c/o Credit Suisse Asset Management, LLC

Eleven Madison Avenue

New York, New York

 

10010

(Address of principal executive offices)

 

(Zip code)

 

J. Kevin Gao, Esq.

Eleven Madison Avenue

New York, New York 10010

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

(212) 325-2000

 

 

Date of fiscal year end:

December 31st

 

 

 

 

Date of reporting period:

July 1, 2008 to September 30, 2008

 

 



 

Item 1:                   Schedule of Investments

 



 

Credit Suisse Global High Yield Fund

Schedule of Investments

September 30, 2008 (unaudited)

 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

CORPORATE BONDS (87.8%)

 

 

 

 

 

 

 

 

 

Aerospace & Defense (2.4%)

 

 

 

 

 

 

 

 

 

$

125

 

BE Aerospace, Inc., Senior Unsecured Notes (Callable 07/01/13 @ $104.25)

 

(BB+, Ba3)

 

07/01/18

 

8.500

 

$

121,562

 

25

 

DRS Technologies, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.81)§

 

(B, B3)

 

02/01/18

 

7.625

 

26,250

 

75

 

DRS Technologies, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $103.44)

 

(B, B3)

 

11/01/13

 

6.875

 

74,625

 

100

 

Hawker Beechcraft Acquisition Co., Global Company Guaranteed Notes (Callable 04/01/12 @ $104.88)§

 

(B-, Caa1)

 

04/01/17

 

9.750

 

90,000

 

75

 

Hawker Beechcraft Acquisition Co., Global Company Guaranteed Notes (Callable 04/01/11 @ $104.25)

 

(B-, B3)

 

04/01/15

 

8.500

 

69,000

 

95

 

Hexcel Corp., Global Senior Subordinated Notes (Callable 02/01/10 @ $103.38)

 

(B+, B1)

 

02/01/15

 

6.750

 

91,675

 

50

 

L-3 Communications Corp., Global Company Guaranteed Notes (Callable 10/09/08 @ $103.06)

 

(BB+, Ba3)

 

07/15/13

 

6.125

 

46,750

 

125

 

L-3 Communications Corp., Global Senior Subordinated Notes (Callable 01/15/10 @ $102.94)

 

(BB+, Ba3)

 

01/15/15

 

5.875

 

113,750

 

100

 

TransDigm, Inc., Global Company Guaranteed Notes (Callable 07/15/09 @ $105.81)

 

(B-, B3)

 

07/15/14

 

7.750

 

94,500

 

 

 

 

 

 

 

 

 

 

 

728,112

 

Agriculture (0.3%)

 

 

 

 

 

 

 

 

 

75

 

Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 10/09/08 @ $108.00)‡

 

(B-, Caa1)

 

11/01/10

 

11.000

 

76,125

 

Auto Loans (3.0%)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

200

 

Ford Motor Credit Co. LLC, Global Senior Unsecured Notes

 

(B-, B1)

 

06/15/10

 

7.875

 

152,720

 

310

 

Ford Motor Credit Co. LLC, Global Senior Unsecured Notes

 

(B-, B1)

 

10/01/13

 

7.000

 

190,689

 

250

 

Ford Motor Credit Co. LLC, Senior Unsecured Notes§

 

(B-, B1)

 

12/15/16

 

8.000

 

158,273

 

300

 

GMAC LLC, Debentures (Callable 11/10/08 @ $100.00)

 

(B-, B3)

 

04/01/11

 

6.000

 

142,184

 

275

 

GMAC LLC, Senior Unsecured Notes§

 

(B-, B3)

 

03/02/11

 

7.250

 

130,128

 

345

 

GMAC LLC, Senior Unsecured Notes

 

(B-, B3)

 

12/01/14

 

6.750

 

132,543

 

 

 

 

 

 

 

 

 

 

 

906,537

 

Auto Parts & Equipment (2.0%)

 

 

 

 

 

 

 

 

 

150

 

Altra Industrial Motion, Inc., Global Senior Secured Notes (Callable 12/01/08 @ $104.50)

 

(B+, B1)

 

12/01/11

 

9.000

 

155,250

 

75

 

American Axle & Manufacturing, Inc., Company Guaranteed Notes (Callable 03/01/12 @ $103.94)§

 

(B+, B1)

 

03/01/17

 

7.875

 

40,125

 

150

 

Goodyear Tire & Rubber Co., Global Senior Unsecured Notes (Callable 07/01/10 @ $104.50)

 

(BB-, Ba3)

 

07/01/15

 

9.000

 

149,250

 

90

 

Lear Corp., Series B, Global Company Guaranteed Notes (Callable 12/01/10 @ $104.25)

 

(B, B3)

 

12/01/13

 

8.500

 

66,488

 

110

 

Stanadyne Corp., Series 1, Global Senior Subordinated Notes (Callable 08/15/09 @ $105.00)

 

(B-, B3)

 

08/15/14

 

10.000

 

102,850

 

75

 

Tenneco, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $104.31)§

 

(B, B3)

 

11/15/14

 

8.625

 

60,000

 

10

 

Visteon Corp., Global Senior Unsecured Notes§

 

(B-, Caa2)

 

08/01/10

 

8.250

 

8,350

 

24

 

Visteon Corp., Rule 144A, Senior Unsecured Notes (Callable 12/31/13 @ $105.00)§‡

 

(B-, Caa1)

 

12/31/16

 

12.250

 

14,520

 

 

 

 

 

 

 

 

 

 

 

596,833

 

Automotive (1.3%)

 

 

 

 

 

 

 

 

 

200

 

Ford Motor Co., Global Senior Unsecured Notes§

 

(CCC, Caa1)

 

07/16/31

 

7.450

 

87,000

 

100

 

General Motors Corp., Global Senior Unsecured Notes§

 

(B-, Caa2)

 

01/15/11

 

7.200

 

59,000

 

200

 

General Motors Corp., Senior Unsecured Notes§

 

(B-, Caa2)

 

07/15/13

 

7.125

 

92,500

 

350

 

General Motors Corp., Senior Unsecured Notes§

 

(B-, Caa2)

 

07/15/33

 

8.375

 

141,750

 

 

 

 

 

 

 

 

 

 

 

380,250

 

Beverages (0.4%)

 

 

 

 

 

 

 

 

 

125

 

Constellation Brands, Inc., Company Guaranteed Notes

 

(BB-, Ba3)

 

09/01/16

 

7.250

 

115,625

 

Brokerage (0.2%)

 

 

 

 

 

 

 

 

 

75

 

E*TRADE Financial Corp., Senior Unsecured Notes (Callable 12/01/10 @ $103.94)

 

(B, Ba3)

 

12/01/15

 

7.875

 

60,375

 

 



 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Building & Construction (1.2%)

 

 

 

 

 

 

 

 

 

$

100

 

Ashton Woods USA/Finance, Global Company Guaranteed Notes (Callable 10/01/10 @ $104.75)

 

(CC, Caa3)

 

10/01/15

 

9.500

 

$

45,500

 

100

 

Beazer Homes USA, Inc., Global Company Guaranteed Notes (Callable 10/24/08 @ $102.79)

 

(B-, B3)

 

04/15/12

 

8.375

 

74,000

 

100

 

K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes

 

(CCC+, Caa1)

 

01/15/16

 

6.250

 

58,000

 

125

 

KB HOME, Company Guaranteed Notes§

 

(BB, Ba2)

 

06/15/15

 

6.250

 

102,500

 

75

 

Standard Pacific Corp., Global Company Guaranteed Notes§

 

(B-, B2)

 

08/15/15

 

7.000

 

57,000

 

75

 

William Lyon Homes, Inc., Global Company Guaranteed Notes (Callable 12/15/08 @ $103.81)

 

(CCC+, Caa2)

 

12/15/12

 

7.625

 

29,625

 

 

 

 

 

 

 

 

 

 

 

366,625

 

Building Materials (1.2%)

 

 

 

 

 

 

 

 

 

100

 

Building Materials Corp. of America, Global Secured Notes (Callable 08/01/09 @ $103.88)§

 

(B+, B3)

 

08/01/14

 

7.750

 

79,500

 

100

 

Coleman Cable, Inc., Global Company Guaranteed Notes (Callable 10/01/08 @ $104.94)

 

(B+, B2)

 

10/01/12

 

9.875

 

91,000

 

75

 

Norcraft Cos. LP, Global Company Guaranteed Notes (Callable 10/06/08 @ $104.50)§

 

(B+, B1)

 

11/01/11

 

9.000

 

72,375

 

75

 

Nortek, Inc., Global Senior Subordinated Notes (Callable 09/01/09 @ $104.25)§

 

(CCC, Caa1)

 

09/01/14

 

8.500

 

43,125

 

50

 

Ply Gem Industries, Inc., Global Company Guaranteed Notes (Callable 10/06/08 @ $104.50)§

 

(CCC+, Caa2)

 

02/15/12

 

9.000

 

27,500

 

50

 

Ply Gem Industries, Inc., Rule 144A, Senior Secured Notes (Callable 04/01/11 @ $105.88)‡

 

(B, B2)

 

06/15/13

 

11.750

 

43,250

 

 

 

 

 

 

 

 

 

 

 

356,750

 

Chemicals (2.9%)

 

 

 

 

 

 

 

 

 

175

 

Chemtura Corp., Company Guaranteed Notes

 

(BB, Ba2)

 

06/01/16

 

6.875

 

140,875

 

100

 

Koppers Holdings, Inc., Global Senior Discount Notes (Callable 11/15/09 @ $104.94)+

 

(B-, B2)

 

11/15/14

 

0.000

 

90,000

 

150

 

Momentive Performance Materials, Inc., Global Company Guaranteed Notes (Callable 12/01/10 @ $104.88)

 

(B, B3)

 

12/01/14

 

9.750

 

119,250

 

110

 

Momentive Performance Materials, Inc., Global Company Guaranteed Notes (Callable 12/01/11 @ $105.75)§

 

(CCC+, Caa2)

 

12/01/16

 

11.500

 

75,350

 

50

 

Nalco Co., Global Company Guaranteed Notes (Callable 11/15/08 @$104.50)

 

(B-, B3)

 

11/15/13

 

9.000

 

66,721

 

100

 

Nalco Finance Holdings, Inc., Global Senior Discounted Notes (Callable 02/01/09 @ $104.50)+§

 

(B, B3)

 

02/01/14

 

0.000

 

89,250

 

100

 

PolyOne Corp., Senior Unsecured Notes

 

(B+, B1)

 

05/01/12

 

8.875

 

95,500

 

100

 

Reichhold Industries, Inc., Rule 144A, Senior Notes (Callable 08/15/10 @ $104.50)‡

 

(B+, B2)

 

08/15/14

 

9.000

 

96,500

 

100

 

Terra Capital, Inc., Series B, Global Company Guaranteed Notes (Callable 02/01/12 @ $103.50)

 

(BB, B1)

 

02/01/17

 

7.000

 

95,500

 

 

 

 

 

 

 

 

 

 

 

868,946

 

Computer Hardware (0.2%)

 

 

 

 

 

 

 

 

 

75

 

Activant Solutions, Inc., Global Company Guaranteed Notes (Callable 05/01/11 @ $104.75)

 

(CCC+, Caa1)

 

05/01/16

 

9.500

 

55,875

 

Consumer Products (1.4%)

 

 

 

 

 

 

 

 

 

125

 

AAC Group Holding Corp., Rule 144A, Senior Unsecured Notes (Callable 11/03/08 @
$105.13)‡+§

 

(CCC+, Caa1)

 

10/01/12

 

0.000

 

124,375

 

150

 

Amscan Holdings, Inc., Global Senior Subordinated Notes (Callable 05/01/09 @ $104.38)

 

(CCC+, Caa1)

 

05/01/14

 

8.750

 

122,250

 

100

 

Jarden Corp., Company Guaranteed Notes (Callable 05/01/12 @ $103.75)§

 

(B, B3)

 

05/01/17

 

7.500

 

83,750

 

100

 

Prestige Brands, Inc., Global Senior Subordinated Notes (Callable 11/10/08 @ $104.63)§

 

(B-, B3)

 

04/15/12

 

9.250

 

95,500

 

 

 

 

 

 

 

 

 

 

 

425,875

 

Consumer/Commercial/Lease Financing (0.1%)

 

 

 

 

 

 

 

 

 

100

 

Residential Capital LLC, Rule 144A, Secured Notes (Callable 05/15/10 @ $104.81)‡

 

(CCC-, Ca)

 

05/15/15

 

9.625

 

24,500

 

 



 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Diversified Capital Goods (2.2%)

 

 

 

 

 

 

 

 

 

$

75

 

Actuant Corp., Global Company Guaranteed Notes (Callable 06/15/12 @ $103.44)

 

(BB-, Ba2)

 

06/15/17

 

6.875

 

$

72,000

 

125

 

Esco Corp., Rule 144A, Company Guaranteed Notes (Callable 12/15/10 @ $104.31)‡

 

(B, B2)

 

12/15/13

 

8.625

 

123,125

 

75

 

Mueller Water Products, Inc., Global Company Guaranteed Notes (Callable 06/01/12 @ $103.69)

 

(B, B3)

 

06/01/17

 

7.375

 

59,625

 

100

 

RBS Global & Rexnord Corp., Global Company Guaranteed Notes (Callable 08/01/10 @ $104.75)

 

(B-, B3)

 

08/01/14

 

9.500

 

94,500

 

100

 

Sensus Metering Systems, Global Senior Subordinated Notes (Callable 12/15/08 @ $104.31)

 

(B-, B3)

 

12/15/13

 

8.625

 

94,500

 

50

 

SPX Corp., Rule 144A, Senior Notes‡

 

(BB, Ba2)

 

12/15/14

 

7.625

 

50,063

 

100

 

Titan International, Inc., Global Company Guaranteed Notes

 

(B-, Caa1)

 

01/15/12

 

8.000

 

97,500

 

102

 

TriMas Corp., Global Company Guaranteed Notes (Callable 10/09/08 @ $103.29)

 

(B-, B3)

 

06/15/12

 

9.875

 

86,955

 

 

 

 

 

 

 

 

 

 

 

678,268

 

Diversified Financials (0.1%)

 

 

 

 

 

 

 

 

 

25

 

Lender Processing Services, Inc., Rule 144A, Senior Unsecured Notes (Callable 07/01/11 @ $106.09)‡

 

(BB+, Ba2)

 

07/01/16

 

8.125

 

24,500

 

Electric - Generation (7.0%)

 

 

 

 

 

 

 

 

 

200

 

Dynegy Holdings, Inc., Global Senior Unsecured Notes

 

(B, B2)

 

06/01/15

 

7.500

 

170,000

 

250

 

Dynegy Holdings, Inc., Global Senior Unsecured Notes§

 

(B, B2)

 

05/01/16

 

8.375

 

218,750

 

25

 

Edison Mission Energy, Global Senior Unsecured Notes

 

(BB-, B1)

 

05/15/17

 

7.000

 

22,625

 

250

 

Midwest Generation LLC, Series B, Global Pass Thru Certificates

 

(BB+, Baa3)

 

01/02/16

 

8.560

 

257,953

 

100

 

Mirant Americas Generation LLC, Senior Unsecured Notes

 

(B-, B3)

 

10/01/21

 

8.500

 

78,000

 

175

 

NRG Energy, Inc., Company Guaranteed Notes (Callable 01/15/12 @ $103.69)

 

(B, B1)

 

01/15/17

 

7.375

 

159,687

 

75

 

NRG Energy, Inc., Company Guaranteed Notes (Callable 02/01/10 @ $103.63)

 

(B, B1)

 

02/01/14

 

7.250

 

69,750

 

75

 

NRG Energy, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.69)

 

(B, B1)

 

02/01/16

 

7.375

 

67,688

 

100

 

Reliant Energy, Inc., Senior Unsecured Notes§

 

(BB-, B1)

 

06/15/14

 

7.625

 

75,500

 

600

 

Texas Competitive Electric Holdings Co. LLC, Series A, Rule 144A, Company Guaranteed Notes (Callable 11/01/11 @ $105.13)‡

 

(CCC, B3)

 

11/01/15

 

10.250

 

544,500

 

175

 

Texas Competitive Electric Holdings Co. LLC, Series B, Rule 144A, Company Guaranteed Notes (Callable 11/01/11 @ $105.13)‡

 

(CCC, B3)

 

11/01/15

 

10.250

 

158,813

 

150

 

The AES Corp., Global Senior Unsecured Notes

 

(BB-, B1)

 

10/15/17

 

8.000

 

136,125

 

175

 

The AES Corp., Senior Unsecured Notes

 

(BB-, B1)

 

03/01/14

 

7.750

 

163,625

 

 

 

 

 

 

 

 

 

 

 

2,123,016

 

Electric - Integrated (0.5%)

 

 

 

 

 

 

 

 

 

75

 

CMS Energy Corp., Senior Unsecured Notes

 

(BB, Ba1)

 

07/17/17

 

6.550

 

65,909

 

75

 

PNM Resources, Inc., Unsecured Notes

 

(BB-, Ba2)

 

05/15/15

 

9.250

 

74,250

 

25

 

Public Service Company of New Mexico, Senior Unsecured Notes

 

(BB+, Baa3)

 

05/15/18

 

7.950

 

23,636

 

 

 

 

 

 

 

 

 

 

 

163,795

 

Electronics (1.9%)

 

 

 

 

 

 

 

 

 

150

 

Amkor Technology, Inc., Global Senior Notes (Callable 10/14/08 @ $103.88)

 

(B+, B1)

 

05/15/13

 

7.750

 

128,812

 

38

 

Ampex Corp., Series B, Secured Notes^ø

 

(NR, NR)

 

08/15/08

 

12.000

 

37,226

 

225

 

Freescale Semiconductor, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ $104.44)

 

(B-, B2)

 

12/15/14

 

8.875

 

156,375

 

40

 

Jabil Circuit, Inc., Global Senior Unsecured Notes

 

(BB+, Ba1)

 

03/15/18

 

8.250

 

37,600

 

125

 

Sanmina-SCI Corp., Global Company Guaranteed Notes (Callable 03/01/09 @ $103.38)§

 

(B-, B3)

 

03/01/13

 

6.750

 

110,000

 

25

 

Sanmina-SCI Corp., Senior Subordinated Notes (Callable 03/01/11 @ $104.06)

 

(B-, B3)

 

03/01/16

 

8.125

 

21,375

 

100

 

Viasystems, Inc., Global Senior Unsecured Notes (Callable 10/14/08 @ $105.25)§

 

(B+, Caa1)

 

01/15/11

 

10.500

 

98,000

 

 

 

 

 

 

 

 

 

 

 

589,388

 

Energy - Exploration & Production (5.8%)

 

 

 

 

 

 

 

 

 

150

 

Berry Petroleum Co., Senior Subordinated Notes (Callable 11/01/11 @ $104.13)

 

(B+, B3)

 

11/01/16

 

8.250

 

127,500

 

75

 

Chaparral Energy, Inc., Global Company Guaranteed Notes (Callable 02/01/12 @ $104.44)

 

(B-, Caa1)

 

02/01/17

 

8.875

 

59,625

 

 



 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Energy - Exploration & Production

 

 

 

 

 

 

 

 

 

$

100

 

Chesapeake Energy Corp., Company Guaranteed Notes

 

(BB, Ba3)

 

12/15/18

 

7.250

 

$

92,500

 

300

 

Chesapeake Energy Corp., Global Company Guaranteed Notes (Callable 01/15/09 @ $103.44)

 

(BB, Ba3)

 

01/15/16

 

6.875

 

275,250

 

125

 

Encore Acquisition Co., Company Guaranteed Notes (Callable 12/01/10 @ $103.63)

 

(B, B1)

 

12/01/17

 

7.250

 

103,125

 

100

 

Forest Oil Corp., Global Company Guaranteed Notes (Callable 10/09/08 @ $102.58)

 

(B+, B1)

 

05/01/14

 

7.750

 

95,000

 

50

 

Forest Oil Corp., Rule 144A, Company Guaranteed Notes (Callable 06/15/12 @ $103.63)‡

 

(B+, B1)

 

06/15/19

 

7.250

 

43,000

 

125

 

Hilcorp Energy I, Rule 144A, Senior Unsecured Notes (Callable 06/01/11 @ $104.50)‡

 

(BB-, B3)

 

06/01/16

 

9.000

 

114,375

 

75

 

Mariner Energy, Inc., Company Guaranteed Notes (Callable 05/15/12 @ $104.00)

 

(B+, B3)

 

05/15/17

 

8.000

 

63,750

 

100

 

Newfield Exploration Co., Global Senior Subordinated Notes (Callable 05/15/13 @ $103.56)

 

(BB-, Ba3)

 

05/15/18

 

7.125

 

87,500

 

150

 

Petrohawk Energy Corp., Global Company Guaranteed Notes (Callable 07/15/10 @ $104.56)

 

(B, B3)

 

07/15/13

 

9.125

 

141,750

 

25

 

PetroHawk Energy Corp., Rule 144A, Senior Notes (Callable 06/01/12 @ $103.94)‡

 

(B, B3)

 

06/01/15

 

7.875

 

21,875

 

75

 

Plains Exploration & Production, Co., Company Guaranteed Notes (Callable 06/15/11 @ $103.88)

 

(BB, B1)

 

06/15/15

 

7.750

 

69,375

 

25

 

Range Resources Corp., Company Guaranteed Notes (Callable 05/01/13 @ $103.63)§

 

(BB, Ba3)

 

05/01/18

 

7.250

 

23,750

 

100

 

Range Resources Corp., Global Company Guaranteed Notes (Callable 03/15/10 @ $103.19)§

 

(BB, Ba3)

 

03/15/15

 

6.375

 

92,000

 

50

 

SandRidge Energy, Inc., Rule 144A, Senior Notes (Callable 06/01/13 @ $104.00)‡

 

(B-, B3)

 

06/01/18

 

8.000

 

43,250

 

175

 

Southwestern Energy Co., Rule 144A, Senior Unsecured Notes‡

 

(BB+, Ba2)

 

02/01/18

 

7.500

 

170,625

 

125

 

Swift Energy Co., Senior Notes (Callable 10/14/08 @ $103.81)

 

(BB-, B1)

 

07/15/11

 

7.625

 

119,375

 

 

 

 

 

 

 

 

 

 

 

1,743,625

 

Environmental (1.3%)

 

 

 

 

 

 

 

 

 

225

 

Allied Waste North America, Inc., Global Senior Secured Notes (Callable 03/15/10 @ $103.63)

 

(BB, B1)

 

03/15/15

 

7.250

 

216,563

 

175

 

Waste Services, Inc., Global Senior Subordinated Notes (Callable 04/15/09 @ $104.75)§

 

(B-, Caa1)

 

04/15/14

 

9.500

 

172,375

 

 

 

 

 

 

 

 

 

 

 

388,938

 

Food & Drug Retailers (1.2%)

 

 

 

 

 

 

 

 

 

175

 

Duane Reade, Inc., Global Company Guaranteed Notes (Callable 10/14/08 @ $104.88)§

 

(CCC-, Caa3)

 

08/01/11

 

9.750

 

147,875

 

100

 

New Albertsons, Inc., Senior Unsecured Notes

 

(B+, B1)

 

05/01/13

 

7.250

 

97,500

 

25

 

Stater Brothers Holdings, Inc., Global Company Guaranteed Notes (Callable 04/15/11 @ $103.88)

 

(B+, B2)

 

04/15/15

 

7.750

 

23,500

 

100

 

Stater Brothers Holdings, Inc., Global Company Guaranteed Notes (Callable 10/14/08 @ $104.06)

 

(B+, B2)

 

06/15/12

 

8.125

 

98,500

 

 

 

 

 

 

 

 

 

 

 

367,375

 

Food - Wholesale (0.6%)

 

 

 

 

 

 

 

 

 

75

 

Dole Food Co., Inc., Global Company Guaranteed Notes§

 

(B-, Caa1)

 

05/01/09

 

8.625

 

72,000

 

25

 

Dole Food Co., Inc., Global Company Guaranteed Notes (Callable 11/10/08 @ $102.22)

 

(B-, Caa1)

 

03/15/11

 

8.875

 

21,125

 

125

 

Smithfield Foods, Inc., Senior Unsecured Notes§

 

(BB-, Ba3)

 

07/01/17

 

7.750

 

98,750

 

 

 

 

 

 

 

 

 

 

 

191,875

 

Forestry & Paper (2.9%)

 

 

 

 

 

 

 

 

 

90

 

Boise Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/09 @ $103.56)

 

(BB-, B2)

 

10/15/14

 

7.125

 

62,100

 

125

 

Cellu Tissue Holdings, Inc., Global Secured Notes (Callable 10/14/08 @ $103.66)

 

(B, B2)

 

03/15/10

 

9.750

 

116,250

 

175

 

Georgia-Pacific Corp., Debentures

 

(B+, B2)

 

06/15/15

 

7.700

 

161,000

 

75

 

Georgia-Pacific Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ $103.56)‡

 

(BB-, Ba3)

 

01/15/17

 

7.125

 

67,312

 

100

 

Graphic Packaging International Corp., Global Senior Subordinated Notes (Callable 10/14/08 @
$104.75)§

 

(B-, B3)

 

08/15/13

 

9.500

 

91,000

 

 



 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Forestry & Paper

 

 

 

 

 

 

 

 

 

$

75

 

NewPage Corp., Global Company Guaranteed Notes (Callable 05/01/09 @ $106.00)§

 

(B-, B2)

 

05/01/12

 

10.000

 

$

67,500

 

75

 

NewPage Corp., Global Company Guaranteed Notes (Callable 05/01/09 @ $106.00)§

 

(CCC+, B3)

 

05/01/13

 

12.000

 

66,000

 

175

 

Smurfit-Stone Container, Global Senior Unsecured Notes (Callable 10/06/08 @ $102.79)

 

(B-, B3)

 

07/01/12

 

8.375

 

147,875

 

100

 

Verso Paper Holdings LLC, Series B, Global Senior Secured Notes (Callable 08/01/10 @ $104.56)§

 

(B+, B2)

 

08/01/14

 

9.125

 

86,500

 

 

 

 

 

 

 

 

 

 

 

865,537

 

Gaming (3.6%)

 

 

 

 

 

 

 

 

 

75

 

Buffalo Thunder Development Authority, Rule 144A, Secured Notes (Callable 12/15/10 @ $104.69)‡

 

(B, B2)

 

12/15/14

 

9.375

 

31,875

 

25

 

Caesars Entertainment, Inc., Global Company Guaranteed Notes§

 

(B-, Caa2)

 

03/15/10

 

7.875

 

19,563

 

100

 

Caesars Entertainment, Inc., Global Company Guaranteed Notes§

 

(B-, Caa2)

 

05/15/11

 

8.125

 

59,500

 

100

 

CCM Merger, Inc., Rule 144A, Notes (Callable 08/01/09 @ $104.00)‡

 

(B-, Caa1)

 

08/01/13

 

8.000

 

81,750

 

24

 

Choctaw Resort Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/11 @ $103.63)‡

 

(BB-, Ba3)

 

11/15/19

 

7.250

 

18,120

 

50

 

FireKeepers Development Authority, Rule 144A, Senior Secured Notes (Callable 05/01/12 @ $110.50)‡§

 

(B, B3)

 

05/01/15

 

13.875

 

44,250

 

60

 

Fontainebleau Las Vegas Capital Corp., Rule 144A, Second Mortgage Notes (Callable 06/15/11 @ $105.13)‡

 

(CCC, Caa1)

 

06/15/15

 

10.250

 

17,100

 

20

 

Herbst Gaming, Inc., Global Company Guaranteed Notes (Callable 10/14/08 @ $104.06)ø

 

(D, C)

 

06/01/12

 

8.125

 

1,100

 

100

 

Inn of the Mountain Gods Resort & Casino, Global Senior Secured Notes (Callable 10/14/08 @ $106.00)§

 

(B, B3)

 

11/15/10

 

12.000

 

68,500

 

100

 

Jacobs Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/15/10 @ $104.88)

 

(B, B3)

 

06/15/14

 

9.750

 

67,500

 

50

 

Majestic Star Casino LLC, Senior Secured Notes (Callable 10/14/08 @ $104.75)

 

(B-, Caa1)

 

10/15/10

 

9.500

 

22,750

 

125

 

Mashantucket Pequot Tribe, Rule 144A, Bonds (Callable 11/15/11 @ $104.25)‡

 

(BB+, Ba2)

 

11/15/15

 

8.500

 

81,875

 

175

 

MGM Mirage, Inc., Company Guaranteed Notes§

 

(BB, Ba2)

 

06/01/16

 

7.500

 

128,625

 

225

 

MGM Mirage, Inc., Company Guaranteed Notes

 

(BB, Ba2)

 

01/15/17

 

7.625

 

163,125

 

100

 

MGM Mirage, Inc., Global Company Guaranteed Notes

 

(BB, Ba2)

 

04/01/13

 

6.750

 

78,500

 

50

 

Peermont Global Proprietary Ltd., Rule 144A, Senior Secured Notes (Callable 04/30/10 @ $105.81)‡

 

(B, B3)

 

04/30/14

 

7.750

 

45,124

 

60

 

Tropicana Finance Corp., Global Senior Subordinated Notes (Callable 12/15/10 @ $104.81)ø§

 

(NR, NR)

 

12/15/14

 

9.625

 

8,700

 

20

 

Trump Entertainment Resorts, Inc., Senior Secured Notes (Callable 06/01/10 @ $104.25)§

 

(CCC+, Caa1)

 

06/01/15

 

8.500

 

8,300

 

100

 

Turning Stone Resort Casino Enterprise, Rule 144A, Senior Notes (Callable 09/15/10 @ $104.56)‡

 

(B+, B1)

 

09/15/14

 

9.125

 

91,500

 

75

 

Wynn Las Vegas LLC, Global First Mortgage Notes (Callable 12/01/09 @ $103.31)

 

(BBB-, Ba2)

 

12/01/14

 

6.625

 

64,312

 

 

 

 

 

 

 

 

 

 

 

1,102,069

 

Gas Distribution (4.0%)

 

 

 

 

 

 

 

 

 

125

 

AmeriGas Partners LP, Senior Unsecured Notes (Callable 05/20/11 @ $103.56)

 

(NR, Ba3)

 

05/20/16

 

7.125

 

112,500

 

275

 

El Paso Corp., Senior Unsecured Notes§

 

(BB-, Ba3)

 

06/01/18

 

7.250

 

257,125

 

300

 

El Paso Performance-Linked Trust, Rule 144A, Senior Unsecured Notes‡

 

(BB, Ba3)

 

07/15/11

 

7.750

 

305,290

 

150

 

Inergy Finance Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13)§

 

(B+, B1)

 

03/01/16

 

8.250

 

138,750

 

75

 

MarkWest Energy Finance Corp., Series B, Global Senior Notes (Callable 04/15/13 @ $104.38)

 

(B+, B2)

 

04/15/18

 

8.750

 

71,625

 

125

 

Targa Resources Partners LP, Rule 144A, Senior Notes (Callable 07/01/12 @ $104.13)‡

 

(B, B2)

 

07/01/16

 

8.250

 

108,125

 

225

 

Williams Partners LP, Global Senior Unsecured Notes

 

(BBB-, Ba2)

 

02/01/17

 

7.250

 

209,567

 

 

 

 

 

 

 

 

 

 

 

1,202,982

 

 



 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Health Services (7.1%)

 

 

 

 

 

 

 

 

 

$

125

 

Bausch & Lomb, Inc., Rule 144A, Senior Unsecured Notes (Callable 11/01/11 @ $104.94)‡

 

(B, Caa1)

 

11/01/15

 

9.875

 

$

119,062

 

25

 

Biomet, Inc., Global Company Guaranteed Notes (Callable 10/15/12 @ $105.00)§

 

(B-, B3)

 

10/15/17

 

10.000

 

25,625

 

125

 

Biomet, Inc., Global Company Guaranteed Notes (Callable 10/15/12 @ $105.81)§

 

(B-, Caa1)

 

10/15/17

 

11.625

 

126,250

 

175

 

Community Health Systems, Inc., Global Company Guaranteed Notes (Callable 07/15/11 @ $104.44)

 

(B, B3)

 

07/15/15

 

8.875

 

167,125

 

75

 

DaVita, Inc., Global Company Guaranteed Notes (Callable 03/15/10 @ $103.63)

 

(B, B2)

 

03/15/15

 

7.250

 

71,625

 

325

 

HCA, Inc., Global Secured Notes (Callable 11/15/11 @ $104.63)

 

(BB-, B2)

 

11/15/16

 

9.250

 

316,875

 

50

 

HCA, Inc., Senior Unsecured Notes

 

(B-, Caa1)

 

10/01/12

 

6.300

 

43,375

 

325

 

HCA, Inc., Senior Unsecured Notes

 

(B-, Caa1)

 

02/15/13

 

6.250

 

273,000

 

75

 

HCA, Inc., Senior Unsecured Notes

 

(B-, Caa1)

 

07/15/13

 

6.750

 

63,375

 

125

 

Healthsouth Corp., Global Company Guaranteed Notes (Callable 06/15/11 @ $105.38)§

 

(CCC+, Caa1)

 

06/15/16

 

10.750

 

126,875

 

75

 

OMEGA Healthcare Investors, Inc., Global Company Guaranteed Notes (Callable 01/15/11 @ $103.50)

 

(BB+, Ba3)

 

01/15/16

 

7.000

 

67,875

 

50

 

Service Corporation International, Global Senior Notes

 

(BB-, B1)

 

10/01/18

 

7.625

 

45,000

 

100

 

Stewart Enterprises, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $103.13)

 

(BB-, Ba3)

 

02/15/13

 

6.250

 

92,500

 

300

 

Tenet Healthcare Corp., Global Senior Unsecured Notes

 

(B, Caa1)

 

07/01/14

 

9.875

 

294,000

 

50

 

Universal Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/09 @ $102.00)#

 

(B+, B3)

 

06/01/15

 

6.303

 

44,250 

 

50

 

Universal Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/11 @ $104.25)

 

(B+, B3)

 

06/01/15

 

8.500

 

46,875

 

125

 

Vanguard Health Holding Co., Global Senior Subordinated Notes (Callable 10/01/09 @
$104.50)§

 

(CCC+, Caa1)

 

10/01/14

 

9.000

 

121,250 

 

100

 

VWR Funding, Inc., Series B, Global Company Guaranteed Notes (Callable 07/15/11 @ $105.13)

 

(B-, Caa1)

 

07/15/15

 

10.250

 

88,000 

 

 

 

 

 

 

 

 

 

 

 

2,132,937

 

Hotels (0.7%)

 

 

 

 

 

 

 

 

 

250

 

Host Marriott LP, Series Q, Global Company Guaranteed Notes (Callable 06/01/11 @ $103.33)§

 

(BB, Ba1)

 

06/01/16

 

6.750

 

205,625

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments & Misc. Financial Services (0.2%)

 

 

 

 

 

 

 

 

 

75

 

Nuveen Investments, Inc., Rule 144A, Senior Notes (Callable 11/15/11 @ $105.25)‡

 

(B-, B3)

 

11/15/15

 

10.500

 

58,125

 

 

 

 

 

 

 

 

 

 

 

 

 

Leisure (0.4%)

 

 

 

 

 

 

 

 

 

51

 

Six Flags Operations, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/13 @ $106.12)‡

 

(CCC, Caa2)

 

07/15/16

 

12.250

 

46,920

 

150

 

Six Flags, Inc., Global Senior Unsecured Notes (Callable 06/01/09 @ $104.81)§

 

(CCC-, Caa3)

 

06/01/14

 

9.625

 

84,750

 

 

 

 

 

 

 

 

 

 

 

131,670

 

Machinery (0.9%)

 

 

 

 

 

 

 

 

 

125

 

Baldor Electric Co., Company Guaranteed Notes (Callable 02/15/12 @ $104.31)§

 

(B, B3)

 

02/15/17

 

8.625

 

120,000

 

50

 

Case New Holland, Inc., Global Company Guaranteed Notes (Callable 03/01/10 @ $103.56)

 

(BBB-, Ba3)

 

03/01/14

 

7.125

 

45,750

 

100

 

Terex Corp., Senior Subordinated Notes (Callable 11/15/12 @ $104.00)§

 

(B+, Ba3)

 

11/15/17

 

8.000

 

91,500

 

 

 

 

 

 

 

 

 

 

 

257,250

 

Media - Broadcast (1.4%)

 

 

 

 

 

 

 

 

 

75

 

Allbritton Communications Co., Global Senior Subordinated Notes (Callable 11/06/08 @
$103.88)§

 

(B+, B2)

 

12/15/12

 

7.750

 

64,500

 

150

 

Barrington Broadcasting Capital Corp., Global Company Guaranteed Notes (Callable 08/15/10 @ $105.25)

 

(CCC-, Caa1)

 

08/15/14

 

10.500

 

96,750

 

50

 

Clear Channel Communications, Inc., Senior Unsecured Notes

 

(CCC+, Caa1)

 

09/15/14

 

5.500

 

15,750

 

100

 

Fisher Communications, Inc., Global Company Guaranteed Notes (Callable 09/15/09 @ $104.31)

 

(B, B2)

 

09/15/14

 

8.625

 

101,000

 

 



 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Media - Broadcast

 

 

 

 

 

 

 

 

 

$

100

 

Rainbow National Services LLC, Rule 144A, Company Guaranteed Notes (Callable 10/14/08 @
$104.38)‡

 

(BB, B1)

 

09/01/12

 

8.750

 

$

100,500

 

90

 

Univision Communications, Inc., Rule 144A, Senior Notes (Callable 03/15/11 @ $104.88)‡

 

(CCC, Caa1)

 

03/15/15

 

9.750

 

42,300

 

100

 

Young Broadcasting, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $104.38)

 

(CC, Ca)

 

01/15/14

 

8.750

 

15,000

 

 

 

 

 

 

 

 

 

 

 

435,800

 

Media - Cable (4.4%)

 

 

 

 

 

 

 

 

 

200

 

Atlantic Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/09 @ $104.69)

 

(CCC+, Caa1)

 

01/15/14

 

9.375

 

178,000

 

250

 

CCH I LLC, Global Secured Notes (Callable 10/01/10 @ $105.50)§

 

(CCC, Caa3)

 

10/01/15

 

11.000

 

166,250

 

125

 

CCH II LLC, Series B, Global Company Guaranteed Notes (Callable 10/14/08 @ $105.13)

 

(CCC, Caa2)

 

09/15/10

 

10.250

 

112,500

 

83

 

Charter Communications Holdings LLC, Senior Unsecured Notes (Callable 10/06/08 @ $100.00)§

 

(CCC, Ca)

 

04/01/11

 

9.920

 

49,385

 

100

 

Charter Communications Operating LLC Rule 144A, Senior Secured Notes‡

 

(B-, B3)

 

04/30/12

 

8.000

 

90,000

 

125

 

CSC Holdings, Inc., Global Senior Unsecured Notes§

 

(BB, B1)

 

04/15/12

 

6.750

 

115,156

 

75

 

CSC Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable 06/15/12 @ $104.25)‡

 

(BB, B1)

 

06/15/15

 

8.500

 

70,031

 

35

 

CSC Holdings, Inc., Series B, Senior Unsecured Notes

 

(BB, B1)

 

04/01/11

 

7.625

 

33,775

 

75

 

DirecTV Holdings LLC/DirecTV Financing Co., Global Company Guaranteed Notes (Callable 11/10/08 @ $104.19)§

 

(BB, Ba3)

 

03/15/13

 

8.375

 

74,437

 

100

 

DirecTV Holdings LLC/DirecTV Financing Co., Rule 144A, Company Guaranteed Notes (Callable 05/15/12 $103.81)‡

 

(BB, Ba3)

 

05/15/16

 

7.625

 

91,000

 

25

 

EchoStar DBS Corp., Global Company Guaranteed Notes

 

(BB-, Ba3)

 

10/01/13

 

7.000

 

21,688

 

175

 

EchoStar DBS Corp., Global Company Guaranteed Notes

 

(BB-, Ba3)

 

10/01/14

 

6.625

 

140,875

 

50

 

EchoStar DBS Corp., Global Company Guaranteed Notes

 

(BB-, Ba3)

 

05/31/15

 

7.750

 

42,625

 

50

 

Mediacom Broadband Corp., Global Senior Unsecured Notes (Callable 10/15/10 @ $104.25)§

 

(B-, B3)

 

10/15/15

 

8.500

 

41,500

 

75

 

Mediacom Capital Corp., Global Senior Unsecured Notes (Callable 10/14/08 @ $100.00)

 

(B-, B3)

 

02/15/11

 

7.875

 

68,250

 

25

 

Mediacom Capital Corp., Global Senior Unsecured Notes (Callable 01/15/09 @ $100.00)§

 

(B-, B3)

 

01/15/13

 

9.500

 

22,500

 

 

 

 

 

 

 

 

 

 

 

1,317,972

 

Media - Services (0.5%)

 

 

 

 

 

 

 

 

 

100

 

Lamar Media Corp., Series C Global Company Guaranteed Notes (Callable 08/15/10 @ $103.31)

 

(BB-, Ba3)

 

08/15/15

 

6.625

 

83,250

 

100

 

WMG Acquisition Corp., Global Senior Subordinated Notes (Callable 04/15/09 @ $103.69)

 

(B, B3)

 

04/15/14

 

7.375

 

74,750

 

 

 

 

 

 

 

 

 

 

 

158,000

 

Metals & Mining - Excluding Steel (2.0%)

 

 

 

 

 

 

 

 

 

100

 

Aleris International, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ $104.50)

 

(B-, B3)

 

12/15/14

 

9.000

 

61,500

 

25

 

Aleris International, Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $105.00)§

 

(B-, Caa1)

 

12/15/16

 

10.000

 

15,625

 

50

 

Freeport-McMoRan Copper & Gold, Inc., Senior Unsecured Notes (Callable 04/01/11 @ $104.13)

 

(BBB-, Ba2)

 

04/01/15

 

8.250

 

49,185

 

250

 

Freeport-McMoRan Copper & Gold, Inc., Senior Unsecured Notes (Callable 04/01/12 @ $104.19)

 

(BBB-, Ba2)

 

04/01/17

 

8.375

 

246,618

 

150

 

Noranda Aluminium Acquisition Corp., Global Company Guaranteed Notes (Callable 10/06/08 @ $102.00)#

 

(B-, B3)

 

05/15/15

 

6.828

 

114,750

 

125

 

Peabody Energy Corp., Global Company Guaranteed Notes

 

(BB+, Ba1)

 

11/01/16

 

7.375

 

120,625

 

 

 

 

 

 

 

 

 

 

 

608,303

 

Non-Food & Drug Retailers (1.7%)

 

 

 

 

 

 

 

 

 

100

 

Affinity Group, Inc., Global Company Guaranteed Notes (Callable 10/06/08 @ $104.50)

 

(CCC, Caa1)

 

02/15/12

 

9.000

 

74,500

 

75

 

Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 03/15/12 @ $103.81)§

 

(B, B3)

 

03/15/17

 

7.625

 

48,375

 

100

 

Brookstone Company, Inc., Global Secured Notes (Callable 10/15/09 @ $106.00)§

 

(B, Caa1)

 

10/15/12

 

12.000

 

81,500

 

 



 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Non-Food & Drug Retailers

 

 

 

 

 

 

 

 

 

$

25

 

Michaels Stores, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $105.00)§

 

(CCC, Caa1)

 

11/01/14

 

10.000

 

$

15,875

 

75

 

Michaels Stores, Inc., Global Company Guaranteed Notes (Callable 11/01/11 @ $105.69)§

 

(CCC, Caa2)

 

11/01/16

 

11.375

 

35,813

 

125

 

Neiman Marcus Group, Inc., Global Company Guaranteed Notes (Callable 10/15/10 @ $105.19)§

 

(B, B3)

 

10/15/15

 

10.375

 

105,312

 

110

 

Susser Holdings LLC, Global Company Guaranteed Notes (Callable 12/15/09 @ $105.31)

 

(B+, B3)

 

12/15/13

 

10.625

 

108,625

 

50

 

Yankee Acquisition Corp., Series B, Global Company Guaranteed Notes (Callable 02/15/11 @ $104.25)

 

(B-, B3)

 

02/15/15

 

8.500

 

36,500

 

25

 

Yankee Acquisition Corp., Series B, Global Company Guaranteed Notes (Callable 02/15/12 @ $104.88)§

 

(CCC+, Caa1)

 

02/15/17

 

9.750

 

14,375

 

 

 

 

 

 

 

 

 

 

 

520,875

 

Office Equipment (0.3%)

 

 

 

 

 

 

 

 

 

85

 

IKON Office Solutions, Inc., Global Senior Unsecured Notes (Callable 09/15/10 @ $103.88)

 

(BB-, Ba3)

 

09/15/15

 

7.750

 

89,250

 

Oil Field Equipment & Services (1.1%)

 

 

 

 

 

 

 

 

 

100

 

Bristow Group, Inc., Global Company Guaranteed Notes (Callable 09/15/12 @ $103.75)

 

(BB, Ba2)

 

09/15/17

 

7.500

 

89,500

 

75

 

Key Energy Services, Inc., Global Company Guaranteed Notes (Callable 12/01/11 @ $104.19)

 

(BB-, B1)

 

12/01/14

 

8.375

 

72,375

 

75

 

Parker Drilling Co., Global Company Guaranteed Notes (Callable 10/01/08 @ $104.81)

 

(B+, B2)

 

10/01/13

 

9.625

 

73,125

 

100

 

Pride International, Inc., Global Senior Notes (Callable 07/15/09 @ $103.69)§

 

(BB+, Ba2)

 

07/15/14

 

7.375

 

96,000

 

 

 

 

 

 

 

 

 

 

 

331,000

 

Oil Refining & Marketing (0.2%)

 

 

 

 

 

 

 

 

 

75

 

Frontier Oil Corp., Company Guaranteed Notes (Callable 09/15/12 @ $104.25)§

 

(BB, Ba3)

 

09/15/16

 

8.500

 

72,563

 

Packaging (1.8%)

 

 

 

 

 

 

 

 

 

 100

 

Berry Plastics Holding Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $105.13)§

 

(CCC, Caa2)

 

03/01/16

 

10.250

 

66,500

 

65

 

Berry Plastics Holding Corp., Global Senior Secured Notes (Callable 09/15/10 @ $104.44)§

 

(CCC+, Caa1)

 

09/15/14

 

8.875

 

51,025

 

50

 

Constar International, Inc., Company Guaranteed Notes (Callable 10/14/08 @ $105.50)§

 

(CCC, Caa2)

 

12/01/12

 

11.000

 

10,250

 

70

 

Crown Americas LLC, Global Senior Notes (Callable 11/15/10 @ $103.88)

 

(B, B1)

 

11/15/15

 

7.750

 

68,600

 

25

 

Crown Cork & Seal Co., Inc., Debentures (Callable 10/14/08 @ $101.91)

 

(B, B2)

 

04/15/23

 

8.000

 

21,125

 

125

 

Graham Packaging Company, Inc., Global Subordinated Notes (Callable 10/15/09 @ $104.94)§

 

(CCC+, Caa1)

 

10/15/14

 

9.875

 

109,375

 

25

 

Owens Brockway Glass Container, Inc., Global Company Guaranteed Notes (Callable 10/14/08 @ $104.12)

 

(BB, Ba3)

 

05/15/13

 

8.250

 

25,000

 

100

 

Owens-Illinois, Inc., Debentures§

 

(B+, B2)

 

05/15/18

 

7.800

 

97,500

 

0

 

Pliant Corp., Global Senior Secured Notes (Callable 11/10/08 @ $105.81)1

 

(B-, NR)

 

06/15/09

 

11.625

 

116

 

100

 

Solo Cup Co., Global Company Guaranteed Notes (Callable 02/15/09 @ $104.25)§

 

(CCC, Caa2)

 

02/15/14

 

8.500

 

80,500

 

 

 

 

 

 

 

 

 

 

 

529,991

 

Printing & Publishing (1.6%)

 

 

 

 

 

 

 

 

 

150

 

Idearc, Inc., Global Company Guaranteed Notes (Callable 11/15/11 @ $104.00)§

 

(B-, B3)

 

11/15/16

 

8.000

 

41,625

 

500

 

Premier Graphics, Inc., Company Guaranteed Notesø^

 

(NR, NR)

 

12/01/05

 

11.500

 

0

 

250

 

R.H. Donnelley Corp., Global Senior Unsecured Notes (Callable 01/15/09 @ $103.44)

 

(B-, B3)

 

01/15/13

 

6.875

 

98,750

 

125

 

R.H. Donnelley Corp., Series A-2, Global Senior Discount Notes (Callable 01/15/09 @ $103.44)§

 

(B-, B3)

 

01/15/13

 

6.875

 

49,375

 

200

 

The Reader’s Digest Association, Inc., Global Company Guaranteed Notes (Callable 02/15/12 @ $104.50)

 

(CCC, Caa1)

 

02/15/17

 

9.000

 

114,000

 

 



 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Printing & Publishing

 

 

 

 

 

 

 

 

 

 $ 160

 

TL Acquisitions, Inc., Rule 144A, Senior Notes (Callable 07/15/11 @ $105.25)‡

 

(CCC+, Caa1)

 

01/15/15

 

10.500

 

$

127,200

 

85

 

Valassis Communications, Inc., Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13)

 

(B-, B3)

 

03/01/15

 

8.250

 

59,075

 

 

 

 

 

 

 

 

 

 

 

490,025

 

Railroads (0.3%)

 

 

 

 

 

 

 

 

 

100

 

Kansas City Southern Railway, Company Guaranteed Notes (Callable 06/01/12 @ $104.00)§

 

(BB-, B2)

 

06/01/15

 

8.000

 

99,000

 

Software/Services (1.1%)

 

 

 

 

 

 

 

 

 

150

 

First Data Corp., Rule 144A, Company Guaranteed Notes (Callable 09/30/11 @ $104.94)‡

 

(B, B3)

 

09/24/15

 

9.875

 

117,938

 

150

 

SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/10 @ $105.13)

 

(B-, Caa1)

 

08/15/15

 

10.250

 

130,875

 

100

 

Unisys Corp., Senior Unsecured Notes

 

(B+, B2)

 

10/15/12

 

8.000

 

81,500

 

 

 

 

 

 

 

 

 

 

 

330,313

 

Steel Producers/Products (1.3%)

 

 

 

 

 

 

 

 

 

125

 

AK Steel Corp., Global Company Guaranteed Notes (Callable 11/10/08 @ $102.58)§

 

(BB-, Ba3)

 

06/15/12

 

7.750

 

120,625

 

100

 

Rathgibson, Inc., Global Company Guaranteed Notes (Callable 02/15/10 @ $105.62)

 

(B, B3)

 

02/15/14

 

11.250

 

91,500

 

100

 

Ryerson, Inc., Rule 144A, Senior Secured Notes (Callable 11/01/11 @ $106.00)‡

 

(B+, B2)

 

11/01/15

 

12.000

 

85,500

 

100

 

Steel Dynamics, Inc., Rule 144A, Senior Notes (Callable 04/15/12 @ $103.88)‡

 

(BB+, Ba2)

 

04/15/16

 

7.750

 

89,500

 

 

 

 

 

 

 

 

 

 

 

387,125

 

Support-Services (3.5%)

 

 

 

 

 

 

 

 

 

125

 

ARAMARK Corp., Global Senior Unsecured Notes (Callable 02/01/11 @ $104.25)§

 

(B, B3)

 

02/01/15

 

8.500

 

118,125

 

25

 

DynCorp. International, Rule 144A, Company Guaranteed Notes (Callable 02/15/09 @ $104.75)‡

 

(B, B2)

 

02/15/13

 

9.500

 

24,688

 

50

 

Education Management LLC, Global Company Guaranteed Notes (Callable 06/01/10 @ $104.38)

 

(CCC+, B2)

 

06/01/14

 

8.750

 

42,000

 

75

 

Education Management LLC, Global Company Guaranteed Notes (Callable 06/01/11 @ $105.13)§

 

(CCC+, Caa1)

 

06/01/16

 

10.250

 

60,375

 

100

 

Hertz Corp., Global Company Guaranteed Notes (Callable 01/01/10 @ $104.44)§

 

(BB-, B1)

 

01/01/14

 

8.875

 

86,750

 

50

 

Iron Mountain, Inc., Company Guaranteed Notes (Callable 06/15/13 @104.00)

 

(B+, B2)

 

06/15/20

 

8.000

 

48,250

 

75

 

Iron Mountain, Inc., Company Guaranteed Notes (Callable 10/21/08 @ $103.31)§

 

(B+, B2)

 

01/01/16

 

6.625

 

70,875

 

75

 

JohnsonDiversey Holdings, Inc., Series B, Global Company Guaranteed Notes (Callable 10/14/08 @ $103.21)

 

(B, B2)

 

05/15/12

 

9.625

 

75,187

 

75

 

JohnsonDiversey Holdings, Inc., Series B, Global Discount Notes (Callable 10/14/08 @ $103.56)

 

(CCC+, Caa1)

 

05/15/13

 

10.670

 

73,125

 

100

 

Mobile Services Group, Inc., Global Company Guaranteed Notes (Callable 08/01/10 @ $104.88)

 

(B+, B2)

 

08/01/14

 

9.750

 

93,500

 

100

 

Rental Service Corp., Global Company Guaranteed Notes (Callable 12/01/10 @ $104.75)§

 

(B-, Caa1)

 

12/01/14

 

9.500

 

76,250

 

100

 

Sotheby’s, Rule 144A, Senior Notes‡

 

(BBB-, Ba3)

 

06/15/15

 

7.750

 

92,000

 

75

 

Ticketmaster, Rule 144A, Senior Notes (Callable 08/01/12 @ $105.38)‡

 

(BB, Ba3)

 

08/01/16

 

10.750

 

70,875

 

105

 

Travelport LLC, Global Company Guaranteed Notes (Callable 09/01/10 @ $104.94)§

 

(B, B3)

 

09/01/14

 

9.875

 

86,100

 

50

 

United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 10/06/08 @ $103.25)

 

(BB-, B1)

 

02/15/12

 

6.500

 

42,000

 

 

 

 

 

 

 

 

 

 

 

1,060,100

 

Telecom - Integrated/Services (5.3%)

 

 

 

 

 

 

 

 

 

175

 

Cincinnati Bell, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $104.19)§

 

(B-, B2)

 

01/15/14

 

8.375

 

153,125

 

200

 

Frontier Communications Corp., Global Senior Unsecured Notes

 

(BB, Ba2)

 

03/15/15

 

6.625

 

167,000

 

125

 

Hughes Network Systems LLC, Global Company Guaranteed Notes (Callable 04/15/10 @ $104.75)

 

(B, B1)

 

04/15/14

 

9.500

 

121,875

 

 



 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Telecom - Integrated/Services

 

 

 

 

 

 

 

 

 

$

250

 

Intelsat Corp., Rule 144A, Senior Unsecured Notes (Callable 08/15/09 @ $104.63)‡

 

(BB-, B3)

 

08/15/14

 

9.250

 

$

235,000

 

50

 

Intelsat Subsidiary Holding Co., Ltd., Rule 144A, Senior Unsecured Notes (Callable 01/15/10 @ $104.44)‡

 

(BB-, B3)

 

01/15/15

 

8.875

 

46,000

 

175

 

Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $102.00)#

 

(CCC+, Caa1)

 

02/15/15

 

6.845

 

119,000

 

75

 

Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 03/15/10 @ $106.13)

 

(CCC+, Caa1)

 

03/15/13

 

12.250

 

66,750

 

125

 

Paetec Holding Corp., Series WI, Global Company Guaranteed Notes (Callable 07/15/11 @ $104.75)

 

(CCC+, Caa1)

 

07/15/15

 

9.500

 

86,250

 

125

 

Qwest Communications International, Inc., Series B, Global Company Guaranteed Notes (Callable 02/15/09 @ $103.75)

 

(B+, Ba3)

 

02/15/14

 

7.500

 

108,750

 

240

 

Qwest Corp., Global Senior Unsecured Notes

 

(BBB-, Ba1)

 

06/15/15

 

7.625

 

210,000

 

100

 

Time Warner Telecom Holdings, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $104.62)§

 

(CCC+, B3)

 

02/15/14

 

9.250

 

93,000

 

25

 

Windstream Corp., Global Company Guaranteed Notes

 

(BB, Ba3)

 

08/01/13

 

8.125

 

23,875

 

200

 

Windstream Corp., Global Company Guaranteed Notes (Callable 08/01/11 @ $104.31)

 

(BB, Ba3)

 

08/01/16

 

8.625

 

185,500

 

 

 

 

 

 

 

 

 

 

 

1,616,125

 

Telecom - Wireless (2.8%)

 

 

 

 

 

 

 

 

 

75

 

Centennial Cellular Communications Corp., Global Company Guaranteed Notes (Callable 10/14/08 @ $105.06)

 

(B, B2)

 

06/15/13

 

10.125

 

74,625

 

100

 

Cricket Communications, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $104.69)

 

(B-, B3)

 

11/01/14

 

9.375

 

93,500

 

145

 

MetroPCS Wireless, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $104.63)

 

(B, Caa1)

 

11/01/14

 

9.250

 

136,300

 

325

 

Nextel Communications, Inc., Series F, Company Guaranteed Notes (Callable 03/15/09 @ $102.98)

 

(BB, Baa3)

 

03/15/14

 

5.950

 

217,980

 

410

 

Sprint Nextel Corp., Senior Unsecured Notes

 

(BB, Baa3)

 

12/01/16

 

6.000

 

316 ,174

 

 

 

 

 

 

 

 

 

 

 

838,579

 

Textiles & Apparel (0.6%)

 

 

 

 

 

 

 

 

 

125

 

Levi Strauss & Co., Global Senior Notes (Callable 01/15/10 @ $104.88)

 

(B+, B2)

 

01/15/15

 

9.750

 

105,000

 

75

 

Phillips-Van Heusen Corp., Global Senior Unsecured Notes (Callable 10/14/08 @ $104.06)

 

(BB+, Ba3)

 

05/01/13

 

8.125

 

75,188

 

 

 

 

 

 

 

 

 

 

 

180,188

 

Theaters & Entertainment (0.4%)

 

 

 

 

 

 

 

 

 

150

 

AMC Entertainment, Inc., Global Senior Subordinated Notes (Callable 03/01/09 @ $104.00)

 

(CCC+, B2)

 

03/01/14

 

8.000

 

129,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Transportation - Excluding Air/Rail (0.5%)

 

 

 

 

 

 

 

 

 

175

 

Navios Maritime Holdings, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ $104.75)

 

(B+, B3)

 

12/15/14

 

9.500

 

161,875

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL CORPORATE BONDS (Cost $31,636,208)

 

 

 

 

 

 

 

26,546 ,237

 

FOREIGN BONDS (9.4%)

 

 

 

 

 

 

 

 

 

Aerospace & Defense (0.5%)

 

 

 

 

 

 

 

 

 

150

 

Bombardier, Inc., Rule 144A, Senior Unsecured Notes (Canada)‡

 

(BB+, Ba2)

 

05/01/14

 

6.300

 

140,250

 

 

 

 

 

 

 

 

 

 

 

 

 

Chemicals (0.1%)

 

 

 

 

 

 

 

 

 

100

 

LyondellBasell Industries AF SCA, Rule 144A, Senior Secured Notes (Callable 08/15/10 @ $104.19) (Luxembourg)‡

 

(CCC+, B3)

 

08/15/15

 

8.375

 

47,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Electronics (1.0%)

 

 

 

 

 

 

 

 

 

100

 

Avago Technologies Finance, Global Company Guaranteed Notes (Callable 12/01/10 @ $105.94) (Singapore)

 

(B, B3)

 

12/01/15

 

11.875

 

103,500

 

100

 

Celestica, Inc., Senior Subordinated Notes (Callable 11/10/08 @ $103.94) (Canada)

 

(B, B3)

 

07/01/11

 

7.875

 

97,500

 

150

 

NXP BV/NXP Funding LLC, Global Senior Secured Notes (Callable 10/15/10 @ $103.94) (Netherlands)

 

(B-, B3)

 

10/15/14

 

7.875

 

101,250

 

 

 

 

 

 

 

 

 

 

 

302,250

 

 



 

Par

 

 

 

Ratings†

 

 

 

 

 

 

 

(000)

 

 

 

(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

FOREIGN BONDS

 

 

 

 

 

 

 

 

 

Energy - Exploration & Production (0.2%)

 

 

 

 

 

 

 

 

 

$

75

 

OPTI Canada, Inc., Global Senior Secured Notes (Callable 12/15/10 @ $104.13 (Canada)

 

(BB+, B1)

 

12/15/14

 

8.250

 

$

67,500

 

Forestry & Paper (0.6)%

 

 

 

 

 

 

 

 

 

250

 

Abitibi-Consolidated, Inc., Global Company Guaranteed Notes (Canada)§

 

(CCC+, Caa2)

 

06/15/11

 

7.750

 

81,250

 

125

 

Smurfit Kappa Funding PLC, Global Senior Subordinated Notes (Callable 01/31/10 @ $103.88 (Ireland)§

 

(B+, B2)

 

04/01/15

 

7.750

 

104,687

 

 

 

 

 

 

 

 

 

 

 

185,937

 

Gaming (0.5%)

 

 

 

 

 

 

 

 

 

150

 

Codere Finance Luxembourg, Rule 144A, Senior Secured Notes (Callable 06/15/10 @ $104.13) (Luxembourg)‡

 

(BB-, B2)

 

06/15/15

 

8.250

 

158,023

 

Media - Cable (1.4%)

 

 

 

 

 

 

 

 

 

175

 

Unitymedia GmbH, Rule 144A, Senior Secured Notes (Callable 02/15/10 @ $105.06) (Germany)‡

 

(B, Caa1)

 

02/15/15

 

10.125

 

224,920

 

150

 

Virgin Media Finance PLC, Global Company Guaranteed Notes (Callable 04/15/09 @ $104.88) (United Kingdom)

 

(B-, B2)

 

04/15/14

 

9.750

 

206,541

 

 

 

 

 

 

 

 

 

 

 

431,461

 

Media - Diversified (0.4%)

 

 

 

 

 

 

 

 

 

125

 

Quebecor Media, Inc., Global Senior Unsecured Notes (Callable 03/15/11 @ $103.88) (Canada)

 

(B, B2)

 

03/15/16

 

7.750

 

110,000

 

Oil Refining & Marketing (0.3%)

 

 

 

 

 

 

 

 

 

125

 

Petroplus Finance, Ltd., Rule 144A, Company Guaranteed Notes (Callable 05/01/11 @ $103.38) (Bermuda)‡§

 

(BB-, B1)

 

05/01/14

 

6.750

 

106,250

 

Packaging (0.5%)

 

 

 

 

 

 

 

 

 

60

 

Gerresheimer Holdings GmbH, Rule 144A, Company Guaranteed Notes (Callable 02/15/10 @ 103.94) (Germany)‡

 

(BB, B1)

 

03/01/15

 

7.875

 

83,436

 

50

 

Impress Holdings BV, Rule 144A, Company Guaranteed Notes (Callable 09/15/09 @ $109.25) (Netherlands)‡

 

(B-, B3)

 

09/15/14

 

9.250

 

58,293

 

 

 

 

 

 

 

 

 

 

 

141,729

 

Pharmaceuticals (0.3)%

 

 

 

 

 

 

 

 

 

25

 

Elan Finance PLC, Global Company Guaranteed Notes (Callable 11/15/08 @ $103.88) (Ireland)

 

(B, B3)

 

11/15/11

 

7.750

 

22,750

 

75

 

Elan Finance PLC, Global Company Guaranteed Notes (Callable 12/01/10 @ $104.44) (Ireland)

 

(B, B3)

 

12/01/13

 

8.875

 

63,375

 

 

 

 

 

 

 

 

 

 

 

86,125

 

Support-Services (0.7)%

 

 

 

 

 

 

 

 

 

75

 

Ashtead Holdings PLC, Rule 144A, Secured Notes (Callable 08/01/10 @ $104.31) (United Kingdom)‡§

 

(B, B1)

 

08/01/15

 

8.625

 

64,875

 

150

 

Carlson Wagonlit BV, Rule 144A, Company Guaranteed Notes (Callable 10/06/08 @ $104.00) (Netherlands)‡#

 

(B-, B2)

 

05/01/15

 

10.713

 

135,900

 

 

 

 

 

 

 

 

 

 

 

200,775

 

Telecom - Integrated/Services (1.7%)

 

 

 

 

 

 

 

 

 

150

 

BCM Ireland Finance, Rule 144A, Company Guaranteed Notes (Callable 10/06/08 @ $101.00) (Ireland)‡#

 

(B-, B3)

 

08/15/16

 

9.965

 

161,710

 

175

 

Global Crossing UK Finance, Global Company Guaranteed Notes (Callable 12/15/09 @ $105.38) (United Kingdom)

 

(B-, B3)

 

12/15/14

 

10.750

 

158,375

 

100

 

Hellas II, Rule 144A, Company Guaranteed Notes (Callable 10/06/08 @ $102.00) (Luxembourg)‡#

 

(CCC+, Caa1)

 

01/15/15

 

8.541

 

61,000

 

100

 

Nordic Telephone Co. Holdings ApS, Rule 144A, Senior Secured Notes (Callable 11/07/08 @ $101.00) (Denmark)‡#

 

(B+, B2)

 

05/01/16

 

10.463

 

129,228

 

 

 

 

 

 

 

 

 

 

 

510,313

 

Telecommunications Equipment (0.2%)

 

 

 

 

 

 

 

 

 

125

 

Nortel Networks, Ltd., Rule 144A, Company Guaranteed Notes (Callable 07/15/11 @ $105.38) (Canada)‡

 

(B-, B3)

 

07/15/16

 

10.750

 

77,188

 

 



 

Par

 

 

 

Ratings†

 

 

 

 

 

 

 

(000)

 

 

 

(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

FOREIGN BONDS

 

 

 

 

 

 

 

 

 

Textiles & Apparel (0.5%)

 

 

 

 

 

 

 

 

 

$

200

 

IT Holding Finance SA, Rule 144A, Company Guaranteed Notes (Luxembourg)‡

 

(CCC, B3)

 

11/15/12

 

9.875

 

$

140,465

 

Transportation - Excluding Air/Rail (0.5%)

 

 

 

 

 

 

 

 

 

150

 

Ship Finance International, Ltd., Global Company Guaranteed Notes (Callable 12/15/08 @ $104.25) (Bermuda)§

 

(B+, B1)

 

12/15/13

 

8.500

 

146,250

 

TOTAL FOREIGN BONDS (Cost $3,606,998)

 

 

 

 

 

 

 

2,852,016

 

 

Number of

 

 

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

 

 

 

 

COMMON STOCKS (0.0%)

 

 

 

 

 

 

 

 

 

Automobile Parts & Equipment (0.0%)

 

 

 

 

 

 

 

 

 

413,097

 

Cambridge Industries Liquidating Trust*^

 

 

 

 

 

 

 

0

 

588

 

Safelite Realty Corp.*^

 

 

 

 

 

 

 

4,704

 

TOTAL COMMON STOCKS (Cost $0)

 

 

 

 

 

 

 

4,704

 

WARRANTS (0.0%)

 

 

 

 

 

 

 

 

 

Telecom - Wireless (0.0%)

 

 

 

 

 

 

 

 

 

500

 

IPCS, Inc., Rule 144A, strike price $5.50 expires 07/15/10*‡^ (Cost $0)

 

 

 

 

 

0

 

SHORT-TERM INVESTMENT (24.8%)

 

 

 

 

 

 

 

 

 

7,505,813

 

State Street Navigator Prime Portfolio§§ (Cost $7,505,813)

 

 

 

 

 

7,505,813

 

TOTAL INVESTMENTS AT VALUE (122.0%) (Cost $42,749,019)

 

 

 

 

 

36,908,770

 

 

 

 

 

 

 

 

 

 

 

 

 

LIABILITIES IN EXCESS OF OTHER ASSETS (-22.0%)

 

 

 

 

 

 

 

(6,657,197

)

 

 

 

 

 

 

 

 

 

 

 

 

NET ASSETS (100.0%)

 

 

 

 

 

 

 

$

30,251,573

 

 

OPEN FORWARD FOREIGN CURRENCY CONTRACTS

 

Forward Foreign

 

Expiration

 

Foreign Currency

 

Contract

 

Contract

 

Unrealized

 

Currency Contract

 

Date

 

To be Sold

 

Amount

 

Value

 

Gain/Loss

 

 

 

 

 

 

 

 

 

 

 

 

 

Euro

 

10/10/2008

 

(947,000

$

(1,483,267

)

$

(1,331,314

)

$

151,953

 

British Pound

 

10/10/2008

 

£

(135,000

)

$

(265,619

)

$

(240,790

)

$

24,829

 

 

 

 

 

 

 

$

(1,748,886

)

$

(1,572,104

)

$

176,782

 

 

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 September 30, 2008, these securities amounted to a value of $5,661,394 or 18.7% of net assets.

+

 

Step Bond — The interest rate is as of September 30, 2008 and will reset at a future date.

*

 

Non-income producing security.

^

 

Not readily marketable security; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Directors.

#

 

Variable rate obligations — The interest rate is the rate as of September 30, 2008.

§

 

Security or portion thereof is out on loan.

§§

 

Represents security purchased with cash collateral received for securities on loan.

ø

 

Bond is currently in default.

1       Par value of security held is less than 1,000.

 

Security Valuation — The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (the “Valuation Time”).

 



 

If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Investments in mutual funds are valued at the mutual fund’s closing net asset value per share on the day of valuation. Securities and other assets for which market quotations are not readily available, or whose values have been materially affected by events occurring before the Fund’s Valuation Time but after the close of the securities’ primary markets, are valued at fair value as determined in good faith by, or under the direction of, the Board of Directors under procedures established by the Board of Directors. The Fund may utilize a service provided by an independent third party which has been approved by the Board of Directors to fair value certain securities. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities.

 

The Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”), effective January 1, 2008. In accordance with FAS 157, 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. FAS 157 established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.

 

·

 

Level 1 – quoted prices in active markets for identical investments

·

 

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

·

 

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used as of September 30, 2008 in valuing the Fund’s investments carried at value:

 

 

 

Investments in

 

Other Financial

 

Valuation Inputs

 

Securities

 

Instruments*

 

Level 1 - Quoted Prices

 

$

7,505,813

 

$

176,782

 

Level 2 - Other Significant Observable Inputs

 

29,361,027

 

 

Level 3 - Significant Unobservable Inputs

 

41,930

 

 

Total

 

$

36,908,770

 

$

176,782

 

 

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

 

Federal Income Tax Cost – At September 30, 2008, 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 $42,749,019, $50,672, $(5,890,921) and $(5,840,249), respectively.

 

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders. This information is also available on the Fund’s website at www.credit-suisse.com/us as well as on the website of the Securities and Exchange Commission at www.sec.gov.

 



 

Item 2:                                                          Controls and Procedures

 

(a)           As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)), were effective based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities and Exchange Act of 1934.

 

(b)           There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3:                                                          Exhibits

 

1.                                       The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.

 



 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

 

 

CREDIT SUISSE GLOBAL HIGH YIELD FUND, INC.

 

 

 

 

/s/George R. Hornig

 

 

Name:

George R. Hornig

 

 

Title:

Chief Executive Officer

 

 

Date:

November 14, 2008

 

 

 

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/George R. Hornig

 

 

Name:

George R. Hornig

 

 

Title:

Chief Executive Officer

 

 

Date:

November 14, 2008

 

 

 

 

 

/s/Michael A. Pignataro

 

 

Name:

Michael A. Pignataro

 

 

Title:

Chief Financial Officer

 

 

Date:

November 14, 2008