N-Q 1 a06-6708_1nq.htm QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

 

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

811-05012

 

 

CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.

(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:

December 31st

 

 

 

 

Date of reporting period:

January 1, 2006 to March 31, 2006

 

 


 

Item 1:                   Schedule of Investments

 


 

Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments (unaudited)

 

March 31, 2006

 

Par

 

 

 

Ratings†

 

 

 

 

 

 

 

(000)

 

 

 

(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

DOMESTIC SECURITIES (88.4%)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE OBLIGATIONS (87.4%)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Aerospace/Defense (1.3%)

 

 

 

 

 

 

 

 

 

$

675

 

DRS Technologies, Inc., Company Guaranteed Notes (Callable 2/01/11 @ $103.81)

 

(B , B3)

 

02/01/18

 

7.625

 

$

698,625

 

450

 

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

 

(B , B3)

 

11/01/13

 

6.875

 

452,250

 

475

 

K&F Acquisition, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $103.88)

 

(B- , Caa1)

 

11/15/14

 

7.750

 

483,312

 

925

 

L-3 Communication Corp., Global Senior Subordinated Notes (Callable 1/15/10 @ $102.94)

 

(BB+ , Ba3)

 

01/15/15

 

5.875

 

885,687

 

250

 

Sequa Corp., Senior Notes

 

(BB- , B1)

 

08/01/09

 

9.000

 

268,750

 

 

 

 

 

 

 

 

 

 

 

2,788,624

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculture (0.5%)

 

 

 

 

 

 

 

 

 

1,000

 

Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 11/01/07 @ $108.00) ‡

 

(B , B3)

 

11/01/10

 

10.500

 

1,065,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Airlines (0.4%)

 

 

 

 

 

 

 

 

 

900

 

American Airlines, Inc., Series 01-2, Pass Thru Certificates

 

(B , B1)

 

10/01/06

 

7.800

 

903,249

 

 

 

 

 

 

 

 

 

 

 

 

 

Apparel/Textiles (1.5%)

 

 

 

 

 

 

 

 

 

600

 

Levi Strauss & Co., Global Senior Notes (Callable 1/15/10 @ $104.88)

 

(B- , B3)

 

01/15/15

 

9.750

 

634,500

 

735

 

Levi Strauss & Co., Global Senior Notes (Callable 12/15/07 @ $106.13)

 

(B- , B3)

 

12/15/12

 

12.250

 

838,819

 

500

 

Levi Strauss & Co., Global Senior Unsubordinated Notes (Callable 4/01/07 @ $102.00) #

 

(B- , B3)

 

04/01/12

 

8.254

 

520,000

 

400

 

Phillips Van-Heusen Corp., Global Senior Notes (Callable 2/15/08 @ $103.63)

 

(BB , B1)

 

02/15/11

 

7.250

 

410,000

 

500

 

Propex Fabrics, Inc., Global Company Guaranteed Notes (Callable 12/01/08 @ $105.00)

 

(B- , B3)

 

12/01/12

 

10.000

 

477,500

 

 

 

 

 

 

 

 

 

 

 

2,880,819

 

 

 

 

 

 

 

 

 

 

 

 

 

Auto Loans (3.6%)

 

 

 

 

 

 

 

 

 

1,650

 

Ford Motor Credit Co., Global Notes

 

(BB- , Ba2)

 

10/01/13

 

7.000

 

1,477,837

 

2,560

 

Ford Motor Credit Co., Notes

 

(BB- , Ba2)

 

06/16/08

 

6.625

 

2,424,215

 

2,650

 

General Motors Acceptance Corp., Global Notes

 

(BB , Ba1)

 

05/15/09

 

5.625

 

2,467,836

 

1,435

 

General Motors Acceptance Corp., Global Notes

 

(BB , Ba1)

 

12/01/14

 

6.750

 

1,293,833

 

 

 

 

 

 

 

 

 

 

 

7,663,721

 

 

 

 

 

 

 

 

 

 

 

 

 

Auto Parts & Equipment (3.2%)

 

 

 

 

 

 

 

 

 

525

 

Accuride Corp., Global Company Guaranteed Notes (Callable 2/01/10 @ $104.25)

 

(B- , B3)

 

02/01/15

 

8.500

 

523,031

 

400

 

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

 

(CCC+ , B3)

 

12/01/11

 

9.000

 

402,000

 

800

 

American Tire Distributors Holdings, Inc., Global Senior Notes (Callable 4/01/09 @ $105.38)

 

(CCC+ , Caa2)

 

04/01/13

 

10.750

 

736,000

 

395

 

ArvinMeritor, Inc., Notes

 

(BB , Ba2)

 

03/01/12

 

8.750

 

391,050

 

775

 

Cambridge Industries, Inc., Senior Subordinated Notes ^

 

(NR , NR)

 

07/15/07

 

10.250

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

400

 

Cooper-Standard Automotive, Inc., Global Company Guaranteed Notes (Callable 12/15/09 @ $104.19)

 

(B , Caa1)

 

12/15/14

 

8.375

 

314,000

 

1,250

 

Goodyear Tire & Rubber Co., Global Senior Notes (Callable 7/01/10 @ $104.50)

 

(B- , B3)

 

07/01/15

 

9.000

 

1,275,000

 

700

 

Insurance Auto Auctions, Inc., Global company Guaranteed Notes (Callable 4/01/09 @ $105.50)

 

(CCC+ , Caa1)

 

04/01/13

 

11.000

 

740,250

 

450

 

Keystone Automotive Operations, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $104.88)

 

(B- , Caa1)

 

11/01/13

 

9.750

 

396,000

 

40

 

Meritor Automotive, Inc., Notes

 

(BB , Ba2)

 

02/15/09

 

6.800

 

40,100

 

400

 

Stanadyne Corp., Global Senior Subordinated Notes (Callable 8/15/09 @ $105.00)

 

(B- , Caa1)

 

08/15/14

 

10.000

 

385,000

 

575

 

Stoneridge, Inc., Global Company Guaranteed (Callable 5/01/07 @ $105.75)

 

(B+ , B2)

 

05/01/12

 

11.500

 

523,250

 

350

 

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

 

(B- , B3)

 

11/15/14

 

8.625

 

351,750

 

900

 

Visteon Corp., Global Senior Notes

 

(B- , B3)

 

08/01/10

 

8.250

 

747,000

 

 

 

 

 

 

 

 

 

 

 

6,824,431

 

 

 

 

 

 

 

 

 

 

 

 

 

Automotive (0.5%)

 

 

 

 

 

 

 

 

 

750

 

General Motors Corp., Global Debentures Notes

 

(B , B3)

 

07/15/33

 

8.375

 

553,125

 

700

 

General Motors Corp., Senior Notes

 

(B , B3)

 

07/15/13

 

7.125

 

525,000

 

 

 

 

 

 

 

 

 

 

 

1,078,125

 

 

 

 

 

 

 

 

 

 

 

 

 

Beverage (0.1%)

 

 

 

 

 

 

 

 

 

250

 

Le-Natures, Inc., Rule 144A, Senior Subordinated Notes (Callable 6/15/08 @ $104.25) ‡

 

(CCC+ , B3)

 

06/15/13

 

9.000

 

263,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Brokerage (0.3%)

 

 

 

 

 

 

 

 

 

250

 

E*Trade Financial Corp., Global Senior Notes (Callable 6/15/08 @ $104.00)

 

(B+ , B1)

 

06/15/11

 

8.000

 

260,937

 

315

 

E*Trade Financial Corp., US Domestic Senior Notes (Callable 12/01/10 @ $103.94)

 

(B+ , B1)

 

12/01/15

 

7.875

 

333,900

 

 

 

 

 

 

 

 

 

 

 

594,837

 

 


 

Par

 

 

 

Ratings†

 

 

 

 

 

 

 

(000)

 

 

 

(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

Building & Construction (1.6%)

 

 

 

 

 

 

 

 

 

$

500

 

K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes

 

(BB , Ba1)

 

01/15/16

 

6.250

 

$

455,737

 

750

 

KB HOME, Senior Notes

 

(BB+ , Ba1)

 

06/15/15

 

6.250

 

704,329

 

625

 

Standard Pacific Corp., Senior Notes

 

(BB , Ba2)

 

08/15/15

 

7.000

 

581,250

 

750

 

Technical Olympic USA, Inc., Global Senior Subordinated Notes

 

(B- , B2)

 

01/15/15

 

7.500

 

650,625

 

725

 

WCI Communities, Inc. Company Guaranteed Notes (Callable 5/01/07 @ $104.56)

 

(B+ , Ba3)

 

05/01/12

 

9.125

 

741,312

 

250

 

William Lyon Homes, Inc., Global Senior Notes (Callable 2/15/09 @ $103.75)

 

(B , B2)

 

02/15/14

 

7.500

 

216,875

 

 

 

 

 

 

 

 

 

 

 

3,350,128

 

 

 

 

 

 

 

 

 

 

 

 

 

Building Materials (3.8%)

 

 

 

 

 

 

 

 

 

750

 

Associated Materials, Inc., Global Senior Discount Notes (Callable 3/01/09 @ $105.63) +

 

(CCC , Caa3)

 

03/01/14

 

0.000

 

435,000

 

300

 

Building Materials Corp. of America, Global Secured Notes (Callable 8/01/09 @ $103.88)

 

(B+ , B2)

 

08/01/14

 

7.750

 

300,750

 

1,000

 

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

 

(B- , B3)

 

10/01/12

 

9.875

 

905,000

 

750

 

Compression Polymers Holding Corp., Rule 144A, Senior Notes (Callable 7/01/09 @ $105.25) ‡

 

(B- , B2)

 

07/01/13

 

10.500

 

768,750

 

300

 

Dayton Superior Corp., Company Guaranteed Notes (Callable 6/15/07 @ $102.17)

 

(CCC , Caa3)

 

06/15/09

 

13.000

 

252,000

 

500

 

Dayton Superior Corp., Global Secured Notes (Callable 6/15/06 @ $105.63)

 

(B- , Caa1)

 

09/15/08

 

10.750

 

511,875

 

1,250

 

Goodman Global Holding Co., Inc., Global Senior Subordinated Notes (Callable 12/15/08 @ $103.94)

 

(B- , B3)

 

12/15/12

 

7.875

 

1,240,625

 

400

 

Interface, Inc., Global Senior Subordinated Notes (Callable 2/01/09 @ $104.75)

 

(CCC , Caa3)

 

02/01/14

 

9.500

 

412,000

 

325

 

Norcraft Cos/Norcraft Finance Corp., Global Senior Subordinated Notes (Callable 11/01/07 @ $104.50)

 

(B- , B3)

 

11/01/11

 

9.000

 

339,625

 

250

 

Norcraft Holdings L.P./Norcraft Capital, Global Senior Discount Notes (Callable 9/01/08 @ $104.88) +

 

(B- , Caa1)

 

09/01/12

 

9.750

 

198,750

 

750

 

NTK Holdings, Inc., Global Senior Discount Notes (Callable 9/01/09 @ $105.38) +

 

(CCC+ , Caa2)

 

03/01/14

 

0.000

 

551,250

 

900

 

Ply Gem Industries, Inc., Global Senior Subordinated Notes (Callable 2/15/08 @ $104.50)

 

(B- , B3)

 

02/15/12

 

9.000

 

841,500

 

500

 

RMCC Acquisition Co., Rule 144A, Senior Subordinated Notes (Callable 11/01/08 @ $104.75) ‡

 

(CCC+ , Caa1)

 

11/01/12

 

9.500

 

515,000

 

700

 

THL Buildco (Nortek), Inc., Global Senior Subordinated Notes (Callable 9/01/09 @ $104.25)

 

(B- , B3e)

 

09/01/14

 

8.500

 

715,750

 

800

 

Werner Holdings Co., Inc., Series A, Company Guaranteed Notes

 

(CCC- , Caa3)

 

11/15/07

 

10.000

 

188,000

 

 

 

 

 

 

 

 

 

 

 

8,175,875

 

 

 

 

 

 

 

 

 

 

 

 

 

Chemicals (2.8%)

 

 

 

 

 

 

 

 

 

322

 

BCP Crystal Holdings Corp., Global Senior Subordinated Notes (Callable 6/15/09 @ $104.81)

 

(B , B3)

 

06/15/14

 

9.625

 

358,225

 

455

 

Crystal U.S. Holdings/U.S. Sub 3, Series B, Global Senior Discount Notes (Callable 10/01/09 @ $105.25) +

 

(B , Caa2)

 

10/01/14

 

0.000

 

354,900

 

350

 

Equistar Chemicals LP/Equistar Funding Corp., Global Senior Notes (Callable 5/01/07 @ $105.31)

 

(BB- , B2)

 

05/01/11

 

10.625

 

380,625

 

325

 

Huntsman Co. LLC, Global Company Guaranteed Notes (Callable 10/15/07 @ $105.81)

 

(BB- , Ba3)

 

10/15/10

 

11.625

 

369,687

 

264

 

Huntsman Co. LLC, Global Company Guaranteed Notes (Callable 7/15/08 @ $105.75)

 

(B , B2)

 

07/15/12

 

11.500

 

304,920

 

600

 

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

 

(B- , Caa1)

 

11/15/14

 

0.000

 

438,000

 

1,100

 

Lyondell Chemical Co., Global Company Guaranteed (Callable 6/01/08 @ $105.25)

 

(BB- , B1)

 

06/01/13

 

10.500

 

1,223,750

 

300

 

Millennium America, Inc., Global Company Guaranteed Notes

 

(BB- , B1)

 

06/15/08

 

9.250

 

306,375

 

750

 

Nalco Co., Global Senior Notes (Callable 11/15/07 @ $103.88)

 

(B- , B2)

 

11/15/11

 

7.750

 

763,125

 

575

 

Polyone Corp., Global Company Guaranteed Notes (Callable 5/15/07 @ $105.31)

 

(B+ , B3)

 

05/15/10

 

10.625

 

625,312

 

357

 

Terra Capital, Inc., Global Secured Notes (Callable 6/01/07 @ $105.75)

 

(B- , B2)

 

06/01/10

 

11.500

 

396,270

 

450

 

Tronox Worldwide LLC/ Tronox Finance Corp., Rule 144A, Private Placement Senior Notes (Callable 12/01/09 @ $104.75) ‡

 

(B+ , B1)

 

12/01/12

 

9.500

 

474,750

 

 

 

 

 

 

 

 

 

 

 

5,995,939

 

 

 

 

 

 

 

 

 

 

 

 

 

Consumer - Products (2.8%)

 

 

 

 

 

 

 

 

 

400

 

AAC Group Holding Corp., Global Senior Discount Notes (Callable 10/01/08 @ $105.13) +

 

(B- , Caa1)

 

10/01/12

 

0.000

 

312,000

 

950

 

Amscan Holdings, Inc., Global Senior Subordinated Notes (Callable 5/01/09 @ $104.38)

 

(B- , Caa1)

 

05/01/14

 

8.750

 

857,375

 

750

 

Del Laboratories, Inc., Global Company Guaranteed Notes

 

(CCC+ , Caa2)

 

02/01/12

 

8.000

 

611,250

 

700

 

Jarden Corp., Company Guaranteed Notes (Callable 5/01/07 @ $104.87)

 

(B- , B3)

 

05/01/12

 

9.750

 

726,250

 

970

 

Playtex Products, Inc., Global Company Guaranteed Notes (Callable 6/01/06 @ $104.69)

 

(CCC+ , Caa1)

 

06/01/11

 

9.375

 

1,018,500

 

719

 

Prestige Brands, Inc., Global Senior Subordinated Notes (Callable 4/15/08 @ $104.63)

 

(B- , B3)

 

04/15/12

 

9.250

 

729,785

 

500

 

Revlon Consumer Products Corp., Global Senior Notes (Callable 4/01/08 @ $104.75)

 

(CCC , Caa2)

 

04/01/11

 

9.500

 

480,000

 

525

 

Samsonite Corp., Global Senior Subordinated Notes (Callable 6/01/08 @ $104.44)

 

(B- , B3)

 

06/01/11

 

8.875

 

557,812

 

250

 

Spectrum Brands, Inc., Global Senior Subordinated Notes (Callable 10/01/08 @ $104.25)

 

(CCC+ , Caa1)

 

10/01/13

 

8.500

 

232,500

 

450

 

True Temper Sports, Inc., Company Guaranteed Notes

 

(CCC+ , Caa1)

 

09/15/11

 

8.375

 

414,000

 

 

 

 

 

 

 

 

 

 

 

5,939,472

 

 

 

 

 

 

 

 

 

 

 

 

 

Diversified Capital Goods (1.0%)

 

 

 

 

 

 

 

 

 

250

 

Amsted Industries, Inc., Rule 144A, Senior Notes (Callable 10/15/07 @ $105.13) ‡

 

(B , B3)

 

10/15/11

 

10.250

 

276,875

 

250

 

BGF Industries, Inc., Series B, Senior Subordinated Notes (Callable 5/01/06 @ $101.75)

 

(CCC- , Ca)

 

01/15/09

 

10.250

 

232,812

 

250

 

Blount, Inc., Senior Subordinated Notes (Callable 8/01/08 @ $104.44)

 

(B- , Caa1)

 

08/01/12

 

8.875

 

261,250

 

0

 

JII Holdings LLC, Global Secured Notes (Callable 1/01/07 @ $100.00) ++

 

(CCC- , Caa2)

 

04/01/07

 

13.000

 

326

 

575

 

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

 

(B- , Caa1)

 

12/15/13

 

8.625

 

560,625

 

875

 

TriMas Corp., Global Company Guaranteed Notes (Callable 6/15/07 @ $104.94)

 

(CCC+ , Caa1)

 

06/15/12

 

9.875

 

805,000

 

 

 

 

 

 

 

 

 

 

 

2,136,888

 

 

 

 

 

 

 

 

 

 

 

 

 

Electric - Generation (2.8%)

 

 

 

 

 

 

 

 

 

37

 

AES Corp., Senior Notes

 

(B , B1)

 

06/01/09

 

9.500

 

39,511

 

400

 

AES Corp., Senior Notes

 

(B , B1)

 

03/01/14

 

7.750

 

422,000

 

800

 

Calpine Generating Co., Global Secured Notes (Callable 4/01/08 @ $103.50) Ø

 

(D , NR)

 

04/01/10

 

7.756

 

856,000

 

500

 

Dynegy Holdings, Inc., Rule 144A, Private Placement Senior Unsecured Notes ‡

 

(B- , B2)

 

05/01/16

 

8.375

 

500,000

 

1,050

 

Dynegy Holdings, Inc., Rule 144A, Secured Notes (Callable 7/15/08 @ $105.06) ‡

 

(B- , B1)

 

07/15/13

 

10.125

 

1,204,297

 

250

 

Dynegy Holdings, Inc., Senior Notes

 

(B- , B2)

 

04/01/11

 

6.875

 

242,500

 

500

 

Edison Mission Energy, Global Senior Notes

 

(B+ , B1)

 

08/15/08

 

10.000

 

537,500

 

500

 

Edison Mission Energy, Senior Notes

 

(B+ , B1)

 

06/15/09

 

7.730

 

515,000

 

400

 

Midwest Generation LLC, Global Secured Notes (Callable 5/01/09 @ $104.38)

 

(B , B1)

 

05/01/34

 

8.750

 

435,000

 

375

 

NRG Energy, Inc., Senior Notes (Callable 2/01/11 @ $103.69)

 

(B- , B1)

 

02/01/16

 

7.375

 

383,906

 

 


 

Par

 

 

 

Ratings†

 

 

 

 

 

 

 

(000)

 

 

 

(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

$

500

 

Reliant Energy, Inc., Global Secured Notes (Callable 7/15/08 @ $104.75)

 

(B , B2)

 

07/15/13

 

9.500

 

$

503,125

 

250

 

Reliant Energy, Inc., Secured Notes (Callable 12/15/09 @ $103.38)

 

(B+ , B2)

 

12/15/14

 

6.750

 

221,875

 

 

 

 

 

 

 

 

 

 

 

5,860,714

 

 

 

 

 

 

 

 

 

 

 

 

 

Electric - Integrated (1.0%)

 

 

 

 

 

 

 

 

 

400

 

Allegheny Energy Supply Company LLC, Global Notes

 

(BB- , Ba3)

 

03/15/11

 

7.800

 

427,500

 

400

 

Aquila, Inc., Senior Notes

 

(B- , B2)

 

11/15/09

 

7.625

 

411,500

 

250

 

CMS Energy Corp., Global Senior Notes

 

(B+ , B1)

 

08/01/10

 

7.750

 

263,125

 

700

 

CMS Energy Corp., Senior Notes

 

(B+ , B1)

 

01/15/09

 

7.500

 

723,625

 

500

 

Mirant Americas Generation LLC, Senior Notes Ø

 

(NR , NR)

 

05/01/06

 

7.625

 

0

 

300

 

Mirant Corp., Rule 144A, Private Placement Senior Notes ‡Ø

 

(NR , NR)

 

07/15/04

 

7.400

 

0

 

300

 

Sierra Pacific Resources, Global Senior Notes (Callable 3/15/09 @ $104.31)

 

(B- , B1)

 

03/15/14

 

8.625

 

327,127

 

 

 

 

 

 

 

 

 

 

 

2,152,877

 

 

 

 

 

 

 

 

 

 

 

 

 

Electronics (1.6%)

 

 

 

 

 

 

 

 

 

1,125

 

Amkor Technology, Inc., Global Senior Notes

 

(CCC+ , Caa1)

 

05/15/13

 

7.750

 

1,040,625

 

169

 

Ampex Corp., Secured Notes ^»

 

(NR , NR)

 

08/15/08

 

12.000

 

169,049

 

700

 

Sanmina-SCI Corp., Senior Subordinated Notes (Callable 3/01/11 @ $104.06)

 

(B , B1)

 

03/01/16

 

8.125

 

710,500

 

350

 

Spansion, Inc., Rule 144A, Private Placement Senior Notes (Callable 1/15/11 @ $105.62) ‡

 

(B , Caa1)

 

01/15/16

 

11.250

 

337,750

 

450

 

UCAR Finance, Inc. Company Guaranteed (Callable 2/15/07 @ $102.13)

 

(B- , B2)

 

02/15/12

 

10.250

 

482,625

 

600

 

Viasystems, Inc., Senior Subordinated Notes

 

(CCC+ , Caa2)

 

01/15/11

 

10.500

 

606,000

 

 

 

 

 

 

 

 

 

 

 

3,346,549

 

 

 

 

 

 

 

 

 

 

 

 

 

Energy - Exploration & Production (2.7%)

 

 

 

 

 

 

 

 

 

250

 

Belden & Blake Corp., Global Secured Notes (Callable 7/15/08 @ $104.38)

 

(CCC+ , B3)

 

07/15/12

 

8.750

 

258,750

 

1,627

 

Chesapeake Energy Corp., Senior Notes (Callable 1/15/09 @ $103.44)

 

(BB- , Ba2)

 

01/15/16

 

6.875

 

1,647,337

 

1,500

 

El Paso Production Holding Co., Global Company Guaranteed Notes (Callable 6/01/08 @ $103.88)

 

(B , B3)

 

06/01/13

 

7.750

 

1,561,875

 

900

 

Forest Oil Corp., Global Senior Notes

 

(BB- , Ba3)

 

06/15/08

 

8.000

 

938,250

 

300

 

Plains E&P Co., Series B, Global Senior Subordinated Notes (Callable 7/01/07 @ $104.38)

 

(B+ , Ba3)

 

07/01/12

 

8.750

 

321,750

 

500

 

Pogo Producing Co., Series B, Senior Subordinated Notes (Callable 4/15/06 @ $104.13)

 

(B+ , Ba3)

 

04/15/11

 

8.250

 

521,875

 

200

 

Range Resources, Corp., Global Company Guaranteed Notes (Callable 3/15/10 @ $103.19)

 

(B , B2)

 

03/15/15

 

6.375

 

198,000

 

80

 

Vintage Petroleum, Inc., Senior Subordinated Notes

 

(A- , A3)

 

05/15/11

 

7.875

 

83,210

 

300

 

Whiting Petroleum Corp., Senior Subordinated Notes

 

(B- , B2)

 

05/01/12

 

7.250

 

300,375

 

 

 

 

 

 

 

 

 

 

 

5,831,422

 

 

 

 

 

 

 

 

 

 

 

 

 

Environmental (1.5%)

 

 

 

 

 

 

 

 

 

900

 

Aleris International, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $104.50)

 

(B- , B3)

 

11/15/14

 

9.000

 

947,250

 

1,650

 

Allied Waste North America, Inc., Series B, Senior Notes (Callable 4/15/09 @ $103.69)

 

(B+ , Caa1)

 

04/15/14

 

7.375

 

1,641,750

 

600

 

Waste Services, Inc., Global Senior Subordinated Notes (Callable 4/15/09 @ $104.75)

 

(CCC , Caa2)

 

04/15/14

 

9.500

 

621,750

 

 

 

 

 

 

 

 

 

 

 

3,210,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Food & Drug Retailers (1.4%)

 

 

 

 

 

 

 

 

 

350

 

Delhaize America, Inc., Global Company Guaranteed Notes

 

(BB+ , Ba1)

 

04/15/11

 

8.125

 

379,589

 

500

 

Duane Reade, Inc., Global Senior Subordinated Notes (Callable 8/01/08 @ $104.88)

 

(CCC , Caa3)

 

08/01/11

 

9.750

 

377,500

 

350

 

Ingles Markets, Inc., Global Company Guaranteed Notes (Callable 12/01/06 @ $104.44)

 

(B , B3)

 

12/01/11

 

8.875

 

367,500

 

750

 

Rite Aid Corp., Global Company Guaranteed Notes (Callable 1/15/10 @ $103.75)

 

(B+ , B2)

 

01/15/15

 

7.500

 

731,250

 

1,125

 

Stater Brothers Holdings, Inc., Global Senior Notes (Callable 6/15/08 @ $104.06)

 

(BB- , B1)

 

06/15/12

 

8.125

 

1,129,219

 

 

 

 

 

 

 

 

 

 

 

2,985,058

 

 

 

 

 

 

 

 

 

 

 

 

 

Food - Wholesale (1.1%)

 

 

 

 

 

 

 

 

 

100

 

Agrilink Foods, Inc., Company Guaranteed Notes (Callable 11/01/06 @ $101.98)

 

(B- , B3)

 

11/01/08

 

11.875

 

102,500

 

471

 

Eagle Family Foods, Inc., Series B, Company Guaranteed Notes (Callable 5/01/06 @ $100.00)

 

(CCC , Caa2)

 

01/15/08

 

8.750

 

343,465

 

250

 

Leiner Health Products, Inc., Global Senior Subordinated Notes (Callable 6/01/08 @ $105.50)

 

(CCC+ , Caa1)

 

06/01/12

 

11.000

 

246,562

 

400

 

National Beef Packing Co. LLC, Global Senior Notes (Callable 8/01/07 @ $105.25)

 

(B- , B3)

 

08/01/11

 

10.500

 

406,000

 

700

 

Pinnacle Foods Holding Corp., Global Senior Subordinated Notes (Callable 12/01/08 @ $104.13)

 

(B- , B3)

 

12/01/13

 

8.250

 

696,500

 

250

 

Swift & Co., Global Company Guaranteed Notes (Callable 10/01/06 @ $105.06)

 

(B+ , B3)

 

10/01/09

 

10.125

 

261,250

 

300

 

Swift & Co., Global Senior Subordinated Notes (Callable 10/01/06 @ $106.25)

 

(B , Caa1)

 

01/01/10

 

12.500

 

303,750

 

 

 

 

 

 

 

 

 

 

 

2,360,027

 

 

 

 

 

 

 

 

 

 

 

 

 

Forestry/Paper (2.4%)

 

 

 

 

 

 

 

 

 

180

 

Appleton Papers, Inc., Global Senior Subordinated Notes (Callable 6/15/09 @ $104.88)

 

(B+ , B3)

 

06/15/14

 

9.750

 

179,550

 

525

 

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

 

(B+ , B2)

 

10/15/14

 

7.125

 

507,937

 

264

 

Caraustar Industries, Inc., Global Company Guaranteed Notes (Callable 5/01/06 @ $105.25)

 

(B- , Caa1)

 

04/01/11

 

9.875

 

278,850

 

850

 

Cellu Tissue Holdings, Inc., Global Secured Notes (Callable 3/15/07 @ $107.31)

 

(B , B2)

 

03/15/10

 

9.750

 

856,375

 

475

 

Georgia-Pacific Corp., Debentures Notes

 

(B , B2)

 

06/15/15

 

7.700

 

479,750

 

775

 

Graphic Packaging International Corp., Senior Subordinated Notes (Callable 8/15/08 @ $104.75)

 

(B- , B3)

 

08/15/13

 

9.500

 

728,500

 

375

 

Newark Group, Inc., Global Senior Subordinated Notes (Callable 3/15/09 @ $104.88)

 

(B- , Caa1)

 

03/15/14

 

9.750

 

343,125

 

225

 

NewPage Corp., Global Secured Notes (Callable 5/01/09 @ $106.00)

 

(CCC+ , B3)

 

05/01/12

 

10.000

 

237,375

 

375

 

NewPage Corp., Global Senior Subordinated Notes (Callable 5/01/09 @ $106.00)

 

(CCC+ , Caa2)

 

05/01/13

 

12.000

 

391,875

 

1,050

 

Stone Container Corp., Global Senior Notes (Callable 7/01/07 @ $104.19)

 

(CCC+ , B2)

 

07/01/12

 

8.375

 

1,039,500

 

 

 

 

 

 

 

 

 

 

 

5,042,837

 

 

 

 

 

 

 

 

 

 

 

 

 

Gaming (4.4%)

 

 

 

 

 

 

 

 

 

400

 

Aztar Corp., Global Senior Subordinated Notes (Callable 6/15/09 @ $103.94)

 

(B+ , Ba3)

 

06/15/14

 

7.875

 

435,000

 

900

 

CCM Merger, Inc.,  Rule 144A, Notes (Callable 8/01/09 @ $104.00) ‡

 

(B- , B3)

 

08/01/13

 

8.000

 

900,000

 

 


 

Par

 

 

 

Ratings†

 

 

 

 

 

 

 

(000)

 

 

 

(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

$

175

 

Circus &  Eldorado/Silver Legacy Capital Corp., Global First Mortgage Notes (Callable 3/01/07 @ $105.06)

 

(B , B2)

 

03/01/12

 

10.125

 

$

189,000

 

740

 

Hard Rock Hotel, Inc., Global Notes (Callable 6/01/08 @ $104.44)

 

(B , B3)

 

06/01/13

 

8.875

 

808,450

 

300

 

Herbst Gaming, Inc., Global Senior Subordinated Notes (Callable 6/01/08 @ $104.06)

 

(B- , B3e)

 

06/01/12

 

8.125

 

313,125

 

975

 

Inn of the Mountain Gods, Global Senior Notes (Callable 11/15/07 @ $106.00)

 

(B , B3)

 

11/15/10

 

12.000

 

1,057,875

 

400

 

Isle of Capri Casinos, Inc., Global Senior Subordinated Notes (Callable 3/01/09 @ $103.50)

 

(B , B2)

 

03/01/14

 

7.000

 

397,000

 

475

 

Majestic Star Casino LLC, Company Guaranteed Notes (Callable 10/15/07 @ $104.75)

 

(BB- , B2)

 

10/15/10

 

9.500

 

505,875

 

650

 

Majestic Star Casino LLC, Rule 144A, Private Placement Secured Notes (Callable 10/15/08 @ $104.88) ‡

 

(B- , B3)

 

01/15/11

 

9.750

 

659,750

 

375

 

MGM Mirage, Inc., Company Guaranteed Notes

 

(BB , Ba2)

 

09/15/10

 

8.500

 

403,125

 

450

 

MGM Mirage, Inc., Company Guaranteed Notes

 

(B+ , Ba3)

 

02/01/11

 

8.375

 

477,000

 

500

 

OED Corp., Global Company Guaranteed Notes (Callable 4/15/08 @ $104.38)

 

(B , B2)

 

04/15/12

 

8.750

 

502,500

 

600

 

Resorts International Hotel and Casino, Inc., Global Company Guaranteed Notes (Callable 3/15/07 @ $106.00)

 

(B , B2)

 

03/15/09

 

11.500

 

661,500

 

400

 

River Rock Entertainment Authority, Senior Notes (Callable 11/01/07 @ $104.88)

 

(B+ , B2)

 

11/01/11

 

9.750

 

434,000

 

100

 

Seneca Gaming Corp., Global Senior Notes (Callable 5/01/08 @ $103.63)

 

(BB- , B2)

 

05/01/12

 

7.250

 

101,500

 

400

 

Trump Entertainment Resorts, Inc., Secured Notes (Callable 6/01/10 @ $104.25)

 

(B- , Caa1)

 

06/01/15

 

8.500

 

391,000

 

199

 

Waterford Gaming LLC, Rule 144A, Senior Notes ‡

 

(B+ , B1)

 

09/15/12

 

8.625

 

211,686

 

900

 

WYNN Las Vegas LLC, Global 1st Mortgage Notes (Callable 12/01/09 @ $103.31)

 

(B+ , B2)

 

12/01/14

 

6.625

 

878,625

 

 

 

 

 

 

 

 

 

 

 

9,327,011

 

 

 

 

 

 

 

 

 

 

 

 

 

Gas Distribution (1.3%)

 

 

 

 

 

 

 

 

 

500

 

El Paso Corp., Senior Notes

 

(B- , Caa1)

 

05/15/11

 

7.000

 

504,375

 

250

 

El Paso Natural Gas, Series A, Global Senior Notes (Callable 8/01/07 @ $103.81)

 

(B , B1)

 

08/01/10

 

7.625

 

261,875

 

250

 

Inergy LP/Inergy Finance Corp., Global Senior Notes (Callable 12/15/19 @ $103.44)

 

(B , B1)

 

12/15/14

 

6.875

 

238,750

 

525

 

Inergy LP/Inergy Finance Corp., Rule 144A, Senior Notes (Callable 3/01/11 @ $104.13) ‡

 

(B , B1)

 

03/01/16

 

8.250

 

540,750

 

1,175

 

Williams Companies, Inc., Notes

 

(B+ , B1)

 

03/15/12

 

8.125

 

1,267,531

 

 

 

 

 

 

 

 

 

 

 

2,813,281

 

 

 

 

 

 

 

 

 

 

 

 

 

Health Services (3.5%)

 

 

 

 

 

 

 

 

 

800

 

CDRV Investors, Inc., Global Senior Discount Notes (Callable 1/01/10 @ $104.81) +

 

(B- , Caa2)

 

01/01/15

 

0.000

 

548,000

 

250

 

Concentra Operating Corp., Global Company Guaranteed Notes (Callable 8/15/07 @ $104.75)

 

(B- , B3)

 

08/15/10

 

9.500

 

263,750

 

500

 

Fisher Scientific International, Inc., Global Senior Subordinated Notes (Callable 8/15/09 @ $103.38)

 

(BB+ , Ba2)

 

08/15/14

 

6.750

 

510,625

 

350

 

HCA, Inc., Notes

 

(BB+ , Ba1)

 

10/01/12

 

6.300

 

343,365

 

650

 

Iasis Healthcare LLC/Iasis Capital Corp., Global Senior Subordinated Notes (Callable 6/15/09 @ $104.38)

 

(B- , B3)

 

06/15/14

 

8.750

 

653,250

 

250

 

Medquest, Inc., Series B, Company Guaranteed Notes (Callable 8/15/07 @ $105.94)

 

(CCC+ , Caa1)

 

08/15/12

 

11.875

 

190,000

 

550

 

Stewart Enterprises, Inc., Rule 144A, Private Placement Senior Notes (Callable 2/15/09 $103.13) ‡

 

(B+ , B1)

 

02/15/13

 

6.250

 

530,750

 

1,175

 

Tenet Healthcare Corp., Global Senior Notes

 

(B , B3)

 

07/01/14

 

9.875

 

1,195,562

 

500

 

Tenet Healthcare Corp., Rule 144A, Senior Notes ‡

 

(B , B3)

 

02/01/15

 

9.250

 

502,500

 

1,000

 

Triad Hospitals, Inc., Senior Subordinated Notes

 

(B+ , B3)

 

11/15/13

 

7.000

 

990,000

 

800

 

Universal Hospital Services, Inc., Global Senior Notes (Callable 11/01/07 @ $105.06)

 

(B- , B3)

 

11/01/11

 

10.125

 

834,000

 

950

 

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

 

(CCC+ , Caa1)

 

10/01/14

 

9.000

 

976,125

 

 

 

 

 

 

 

 

 

 

 

7,537,927

 

 

 

 

 

 

 

 

 

 

 

 

 

Hotels (1.2%)

 

 

 

 

 

 

 

 

 

500

 

Bluegreen Corp., Series B, Company Guaranteed Notes (Callable 4/01/06 @ $100.00)

 

(B- , B3)

 

04/01/08

 

10.500

 

501,250

 

425

 

Felcor Lodging LP, Global Company Guaranteed Notes

 

(B , B1)

 

06/01/11

 

8.500

 

467,500

 

600

 

Host Marriott LP, Global Company Guaranteed Notes (Callable 3/15/10 @ $103.19)

 

(BB- , Ba2)

 

03/15/15

 

6.375

 

593,250

 

200

 

Host Marriott LP, Global Senior Notes (Callable 11/01/08 @ $103.56)

 

(BB- , Ba2)

 

11/01/13

 

7.125

 

204,500

 

825

 

Host Marriott LP., Rule 144A, Private Placement Senior Notes (Callable 6/01/11 @ $103.38) ‡

 

(BB- , B3e)

 

06/01/16

 

6.750

 

828,094

 

 

 

 

 

 

 

 

 

 

 

2,594,594

 

 

 

 

 

 

 

 

 

 

 

 

 

Household & Leisure Products (1.1%)

 

 

 

 

 

 

 

 

 

650

 

ALH Finance LLC, Senior Subordinated Notes (Callable 1/15/09 @ $104.25)

 

(CCC+ , B3)

 

01/15/13

 

8.500

 

640,250

 

400

 

Ames True Temper, Inc., Global Company Guaranteed Notes (Callable 1/15/07 @
$103.00) #

 

(CCC+ , Caa1)

 

01/15/12

 

7.141

 

391,000

 

600

 

Ames True Temper, Inc., Senior Subordinated Notes (Callable 7/15/08 @ $105.00)

 

(CCC- , Caa2)

 

07/15/12

 

10.000

 

504,000

 

100

 

Remington Arms Co., Inc., Global Company Guaranteed Notes (Callable 2/01/07 @ $105.25)

 

(CCC- , B3)

 

02/01/11

 

10.500

 

83,000

 

750

 

Sealy Mattress Co., Global Senior Subordinated Notes (Callable 6/15/09 @ $104.13)

 

(B- , B2)

 

06/15/14

 

8.250

 

787,500

 

 

 

 

 

 

 

 

 

 

 

2,405,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments & Misc Financial Services (0.2%)

 

 

 

 

 

 

 

 

 

500

 

Cardtronics, Inc., Rule 144A, Senior Subordinated Notes (Callable 8/15/09 @ $104.63) ‡

 

(B- , Caa1)

 

08/15/13

 

9.250

 

502,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Leisure (0.7%)

 

 

 

 

 

 

 

 

 

350

 

Bally Total Fitness Holding Corp., Global Senior Notes (Callable 7/15/07 @ $105.25)

 

(CCC- , Caa1)

 

07/15/11

 

10.500

 

372,750

 

350

 

Six Flags, Inc., Global Senior Notes (Callable 4/15/08 @ $104.88)

 

(CCC , Caa1)

 

04/15/13

 

9.750

 

354,375

 

700

 

Six Flags, Inc., Global Senior Notes (Callable 6/01/09 @ $104.81)

 

(CCC , Caa1)

 

06/01/14

 

9.625

 

708,750

 

 

 

 

 

 

 

 

 

 

 

1,435,875

 

 

 

 

 

 

 

 

 

 

 

 

 

Machinery (0.2%)

 

 

 

 

 

 

 

 

 

450

 

Case New Holland, Inc., Global Company Guaranteed Notes (Callable 8/01/07 @ $104.62)

 

(BB- , Ba3)

 

08/01/11

 

9.250

 

482,625

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Broadcast (2.0%)

 

 

 

 

 

 

 

 

 

600

 

Allbritton Communication Co., Global Senior Subordinated Notes (Callable 12/15/07 @ $103.88)

 

(B- , B3)

 

12/15/12

 

7.750

 

606,000

 

300

 

Fisher Communications, Inc., Global Senior Notes (Callable 9/15/09 @ $104.31)

 

(B- , B2)

 

09/15/14

 

8.625

 

318,375

 

575

 

Nextar Finance, Inc., Global Senior Subordinated Notes (Callable 1/15/09 @ $103.50)

 

(CCC+ , B3)

 

01/15/14

 

7.000

 

546,250

 

300

 

Paxson Communications Corp., Rule 144A, Private Placement Secured Notes (Callable 1/15/08 @ $102.00) ‡#

 

(CCC- , B3)

 

01/15/13

 

10.777

 

298,500

 

475

 

Rainbow National Services LLC, Rule 144A, Private Placement Senior Subordinated Notes (Callable 9/01/09 @ $105.19) ‡

 

(CCC+ , B3)

 

09/01/14

 

10.375

 

534,375

 

 


 

Par

 

 

 

Ratings†

 

 

 

 

 

 

 

(000)

 

 

 

(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

$

400

 

Sinclair Broadcast Group, Inc., Global Company Guaranteed Notes (Callable 12/15/06 @ $104.38)

 

(B , B2)

 

12/15/11

 

8.750

 

$

422,500

 

750

 

Sirius Satellite Radio, Inc., Global Senior Unsecured Notes (Callable 9/01/09 @ $104.81)

 

(CCC , Caa1)

 

08/01/13

 

9.625

 

735,000

 

800

 

Young Broadcasting, Inc., Global Company Guaranteed Notes (Callable 3/01/07 @ $103.33)

 

(CCC- , Caa2)

 

03/01/11

 

10.000

 

742,000

 

 

 

 

 

 

 

 

 

 

 

4,203,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Cable (5.5%)

 

 

 

 

 

 

 

 

 

750

 

Atlantic Broadband Finance LLC, Rule 144A, Senior Subordinated Notes (Callable 1/15/09 @ $104.69) ‡

 

(CCC+ , Caa1)

 

01/15/14

 

9.375

 

714,375

 

792

 

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

 

(CCC- , Caa3)

 

10/01/15

 

11.000

 

662,310

 

1,700

 

Charter Communication Holdings II, Senior Notes (Callable 9/15/08 @ $105.13)

 

(CCC- , Caa1)

 

09/15/10

 

10.250

 

1,678,750

 

1,150

 

Charter Communication Holdings LLC/Cap Corp., Global Senior Notes (Callable 11/15/08 @ $104.38)

 

(CCC- , Ca)

 

11/15/13

 

8.750

 

1,124,125

 

750

 

Charter Communications Holdings LLC, Senior Notes (Callable 4/01/06 @ $101.44)

 

(CCC- , Ca)

 

04/01/09

 

8.625

 

506,250

 

2,150

 

CSC Holdings, Inc., Rule 144A, Senior Notes ‡

 

(B+ , B2)

 

04/15/12

 

6.750

 

2,112,375

 

150

 

CSC Holdings, Inc., Series B, Debentures

 

(B+ , B2)

 

08/15/09

 

8.125

 

155,625

 

530

 

CSC Holdings, Inc., Series B, Senior Notes

 

(B+ , B2)

 

04/01/11

 

7.625

 

535,300

 

2,976

 

DIVA Systems Corp., Series B, Senior Discount Notes (Callable 6/05/06 @ $100.00) ^Ø

 

(NR , NR)

 

03/01/08

 

12.625

 

29,762

 

750

 

Echostar DBS Corp., Global Company Guaranteed Notes

 

(BB- , Ba3)

 

10/01/14

 

6.625

 

728,438

 

750

 

GCI, Inc., Global Senior Notes (Callable 2/15/09 @ $103.63)

 

(B+ , B2)

 

02/15/14

 

7.250

 

740,625

 

250

 

Insight Communications Co., Inc., Senior Discount Notes (Callable 2/15/07 @ $104.08) +

 

(CCC+ , Caa1)

 

02/15/11

 

0.000

 

266,250

 

500

 

Insight Midwest/Insight Capital, Global Senior Notes (Callable 11/01/06 @ $103.50)

 

(B , B2)

 

11/01/10

 

10.500

 

528,750

 

500

 

Insight Midwest/Insight Capital, Senior Notes (Callable 10/01/06 @ $101.63)

 

(B , B2)

 

10/01/09

 

9.750

 

516,250

 

1,550

 

Mediacom Broadband LLC, Global Senior Notes (Callable 10/15/10 @ $104.25)

 

(B , B2)

 

10/15/15

 

8.500

 

1,495,750

 

 

 

 

 

 

 

 

 

 

 

11,794,935

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Services (0.3%)

 

 

 

 

 

 

 

 

 

811

 

WMG Holdings Corp., Global Senior Discount Notes (Callable 12/15/09 @ $104.75) +

 

(B- , B3)

 

12/15/14

 

0.000

 

601,154

 

 

 

 

 

 

 

 

 

 

 

 

 

Metals/Mining Excluding Steel (0.9%)

 

 

 

 

 

 

 

 

 

500

 

Alpha Natural Resources, Company Guaranteed Notes (Callable 6/01/08 @ $105.00)

 

(B- , B3)

 

06/01/12

 

10.000

 

552,500

 

500

 

American Rock Salt Co. LLC, Global Secured Notes (Callable 3/15/09 @ $104.75)

 

(B- , B3)

 

03/15/14

 

9.500

 

507,500

 

675

 

Southern Copper Corp., Global Senior Notes

 

(BBB- , Ba1)

 

07/27/35

 

7.500

 

658,513

 

300

 

Wise Metals Group LLC, Global Secured Notes (Callable 5/15/08 @ $105.13)

 

(CCC+ , Caa1)

 

05/15/12

 

10.250

 

262,500

 

 

 

 

 

 

 

 

 

 

 

1,981,013

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-Food & Drug Retailers (4.2%)

 

 

 

 

 

 

 

 

 

769

 

Affinity Group Holding, Global Senior Subordinated Notes (Callable 2/15/08 @ $105.44) »

 

(B- , Caa1)

 

02/15/12

 

10.875

 

742,566

 

250

 

Affinity Group, Inc., Global Senior Subordinated Notes (Callable 2/15/08 @ $104.50)

 

(B- , B3)

 

02/15/12

 

9.000

 

252,500

 

625

 

Asbury Automotive Group Co., Global Company Guaranteed Notes (Callable 6/15/07 @ $104.50)

 

(B , B3)

 

06/15/12

 

9.000

 

641,406

 

750

 

Brookstone Company, Inc., Rule 144A, Secured Notes (Callable 10/15/09 @ $106.00) ‡

 

(B , B3)

 

10/15/12

 

12.000

 

693,750

 

775

 

CSK Auto, Inc., Global Company Guaranteed Notes (Callable 1/15/09 @ $103.50)

 

(B- , B2)

 

01/15/14

 

7.000

 

742,063

 

600

 

Finlay Fine Jewelry Corp., Global Senior Notes (Callable 6/01/08 @ $104.19)

 

(B- , B3)

 

06/01/12

 

8.375

 

530,250

 

703

 

Flooring America, Inc., Series B, Company Guaranteed Notes (Callable 12/13/06 @
$100.00) ^Ø

 

(NR , NR)

 

10/15/07

 

9.250

 

0

 

400

 

General Nutrition Center, Global Company Guaranteed Notes (Callable 1/15/08 @ $104.31)

 

(B- , B3)

 

01/15/11

 

8.625

 

407,000

 

700

 

Gregg Appliances, Inc., Global Company Guaranteed Notes (Callable 2/01/09 @ $104.50)

 

(B , B2)

 

02/01/13

 

9.000

 

652,750

 

750

 

GSC Holdings Corp., Rule 144A, Company Guaranteed Notes (Callable 10/01/09 @ $104) ‡

 

(B+ , Ba3)

 

10/01/12

 

8.000

 

748,125

 

500

 

Intcomex, Inc., Rule 144A, Secured Notes (Callable 1/15/07 @ $106.00) ‡

 

(B- , Caa1)

 

01/15/11

 

11.750

 

500,000

 

220

 

National Wine & Spirits, Inc.,  Company Guaranteed Notes (Callable 5/01/06 @ $101.69)

 

(CCC+ , B3)

 

01/15/09

 

10.125

 

222,750

 

500

 

Nebraska Book Co., Inc., Global Senior Subordinated Notes (Callable 3/15/08 @ $104.31)

 

(CCC , Caa1)

 

03/15/12

 

8.625

 

462,500

 

520

 

Neiman Marcus Group, Inc., Rule 144A, Senior Subordinated Notes (Callable 10/15/10 @ $105.19) ‡

 

(B- , B3)

 

10/15/15

 

10.375

 

555,100

 

650

 

PCA LLC/PCA Finance Corp., Global Senior Notes

 

(C , Ca)

 

08/01/09

 

11.875

 

143,000

 

800

 

Rent-Way, Inc., Global Secured Notes

 

(B- , B3)

 

06/15/10

 

11.875

 

840,000

 

625

 

Stripes Acquisition LLC, Rule 144A, Private Placement Senior Notes (Callable 12/15/09 @ $105.31) ‡

 

(B , B2)

 

12/15/13

 

10.625

 

658,594

 

250

 

United Auto Group, Inc., Global Company Guaranteed Notes (Callable 3/15/07 @ $104.81)

 

(B , B3)

 

03/15/12

 

9.625

 

265,938

 

 

 

 

 

 

 

 

 

 

 

9,058,292

 

 

 

 

 

 

 

 

 

 

 

 

 

Office Equipment (0.5%)

 

 

 

 

 

 

 

 

 

950

 

Xerox Corp., Senior Notes (Callable 6/15/08 @ $103.81)

 

(BB+ , Ba2)

 

06/15/13

 

7.625

 

1,004,625

 

 

 

 

 

 

 

 

 

 

 

 

 

Oil Refining & Marketing (0.2%)

 

 

 

 

 

 

 

 

 

200

 

Giant Industries, Inc., Company Guaranteed Notes (Callable 5/15/09 @ $104.00)

 

(B- , B3)

 

05/15/14

 

8.000

 

207,500

 

162

 

Giant Industries, Inc., Global Company Guaranteed Notes (Callable 5/15/07 @ $105.50)

 

(B- , B3)

 

05/15/12

 

11.000

 

179,820

 

 

 

 

 

 

 

 

 

 

 

387,320

 

 

 

 

 

 

 

 

 

 

 

 

 

Packaging (3.3%)

 

 

 

 

 

 

 

 

 

600

 

Amtrol, Inc., Senior Subordinated Notes

 

(CCC- , Caa3)

 

12/31/06

 

10.625

 

558,000

 

750

 

Berry Plastics Corp., Global Company Guaranteed Notes (Callable 7/15/07 @ $105.38)

 

(B- , B3)

 

07/15/12

 

10.750

 

828,750

 

1,050

 

Constar International, Inc., Senior Subordinated Notes (Callable 12/01/07 @ $105.50)

 

(CCC , Caa3)

 

12/01/12

 

11.000

 

824,250

 

485

 

Crown Americas LLC, Rule 144A, Private Placement Senior Notes (Callable 11/15/10 @ $103.88) ‡

 

(B , B1)

 

11/15/15

 

7.750

 

505,613

 

175

 

Graham Packaging Co., Inc., Global Company Guaranteed Notes (Callable 10/15/08 @ $104.25)

 

(CCC+ , Caa1)

 

10/15/12

 

8.500

 

177,625

 

825

 

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

 

(CCC+ , Caa2)

 

10/15/14

 

9.875

 

839,438

 

300

 

Intertape Polymer U.S., Inc., Global Senior Subordinated Notes (Callable 8/01/09 @ $104.25)

 

(B- , B3)

 

08/01/14

 

8.500

 

297,000

 

680

 

Owens-Brockway Glass, Global Company Guaranteed Notes (Callable 5/15/08 @ $104.13)

 

(B , B2)

 

05/15/13

 

8.250

 

714,000

 

475

 

Plastipak Holdings, Inc., Rule 144A, Private Placement Senior Notes (Callable 12/15/10 @ $104.25) ‡

 

(B , B2)

 

12/15/15

 

8.500

 

486,875

 

850

 

Pliant Corp., Company Guaranteed Notes (Callable 6/01/06 @ $106.50) Ø

 

(CCC+ , NR)

 

06/01/10

 

13.000

 

352,750

 

400

 

SGS International, Inc., Rule 144A, Private Placement Senior Subordinated Notes (Callable 12/15/09 @ $106.00) ‡

 

(B- , Caa1)

 

12/15/13

 

12.000

 

413,000

 

1,200

 

Solo Cup Co., Global Senior Subordinated Notes (Callable 2/15/09 @ $104.25)

 

(B- , Caa1)

 

02/15/14

 

8.500

 

1,134,000

 

 

 

 

 

 

 

 

 

 

 

7,131,301

 

 


 

Par

 

 

 

Ratings†

 

 

 

 

 

 

 

(000)

 

 

 

(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

Pharmaceuticals (0.3%)

 

 

 

 

 

 

 

 

 

$

650

 

Athena Neuro Finance LLC,  Company Guaranteed Notes

 

(B , B3)

 

02/21/08

 

7.250

 

$

643,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Printing & Publishing (4.3%)

 

 

 

 

 

 

 

 

 

625

 

American Media Operations, Inc., Series B, Global Company Guaranteed Notes (Callable 5/01/06 @ $101.71)

 

(CCC , Caa1)

 

05/01/09

 

10.250

 

568,750

 

500

 

CBD Media Holdings/CBD Finance, Global Senior Notes (Callable 7/15/08 @ $104.63)

 

(CCC+ , Caa2)

 

07/15/12

 

9.250

 

511,875

 

1,100

 

Cenveo Corp., Global Senior Subordinated Notes (Callable 12/01/08 @ $103.94)

 

(B , B3)

 

12/01/13

 

7.875

 

1,080,750

 

500

 

Dex Media, Inc., Global Discount Notes (Callable 11/15/08 @ $104.25) +

 

(B , B3)

 

11/15/13

 

0.000

 

425,000

 

1,100

 

Dex Media, Inc., Global Notes (Callable 11/15/08 @ $104.00)

 

(B , B3)

 

11/15/13

 

8.000

 

1,138,500

 

750

 

Haights Cross Operating Co., Global Company Guaranteed Notes (Callable 8/15/08 @ $105.88)

 

(CCC , Caa1)

 

08/15/11

 

11.750

 

786,563

 

600

 

Houghton Mifflin Co., Global Senior Subordinated Notes (Callable 2/01/08 @ $104.94)

 

(B- , Caa1)

 

02/01/13

 

9.875

 

648,000

 

725

 

Houghton Mifflin Co., Global Senior Discount Notes (Callable 10/15/08 @ $105.75) +

 

(B- , Caa2)

 

10/15/13

 

0.000

 

621,688

 

2,000

 

Premier Graphics, Inc., Company Guaranteed  Notes ^Ø

 

(NR , NR)

 

12/01/05

 

11.500

 

0

 

1,200

 

RH Donnelley Corp., Rule 144A, Private Placement Senior Discount Notes (Callable 1/15/09 @ $103.44) ‡

 

(B , Caa1)

 

01/15/13

 

6.875

 

1,128,000

 

725

 

Vertis, Inc., Series B, Global Company Guaranteed Notes (Callable 6/15/06 @ $105.44)

 

(CCC , Caa2)

 

06/15/09

 

10.875

 

715,938

 

1,500

 

WDAC Subsidiary Corp., Rule 144A, Senior
Notes ‡

 

(CCC+ , Caa1)

 

12/01/14

 

8.375

 

1,488,750

 

 

 

 

 

 

 

 

 

 

 

9,113,814

 

 

 

 

 

 

 

 

 

 

 

 

 

Real Estate Development & Management (0.2%)

 

 

 

 

 

 

 

 

 

550

 

Ashton Woods, Global Senior Subordinated Notes (Callable 10/01/10 @ $104.75)

 

(NR , NR)

 

10/01/15

 

9.500

 

511,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Restaurants (2.0%)

 

 

 

 

 

 

 

 

 

675

 

Buffets, Inc., Global Senior Subordinated Notes (Callable 7/15/06 @ $105.63)

 

(CCC , B3)

 

07/15/10

 

11.250

 

708,750

 

750

 

Denny’s Corp./Denny’s Holdings Corp., Global Company Guaranteed Notes (Callable 10/01/08 @ $105.00)

 

(CCC+ , Caa1)

 

10/01/12

 

10.000

 

778,125

 

750

 

Friendly Ice Cream Corp., Global Senior Notes (Callable 6/15/08 @ $104.19)

 

(CCC+ , B2)

 

06/15/12

 

8.375

 

682,500

 

400

 

O’Charley’s, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $104.50)

 

(B , Ba3)

 

11/01/13

 

9.000

 

410,000

 

145

 

Romacorp, Inc., Senior Notes Ø

 

(NR , NR)

 

12/31/08

 

10.500

 

36,250

 

850

 

Sbarro, Inc., Company Guaranteed Notes (Callable 9/15/06 @ $101.84)

 

(CCC+ , Caa2)

 

09/15/09

 

11.000

 

869,125

 

850

 

Uno Restaurant Corp., Rule 144A, Senior Notes (Callable 2/15/08 @ $110.00)

 

(CCC+ , B3)

 

02/15/11

 

10.000

 

692,750

 

 

 

 

 

 

 

 

 

 

 

4,177,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Software/Services (0.7%)

 

 

 

 

 

 

 

 

 

500

 

SunGard Data Systems, Inc., Rule 144A, Private Placement Senior Unsecured Notes (Callable 8/15/09 @ $104.56) ‡

 

(B- , B3)

 

08/15/13

 

9.125

 

531,250

 

1,000

 

SunGard Data Systems, Inc., Rule 144A, Senior Subordinated Notes (Callable 8/15/10 @ $105.13) ‡

 

(B- , Caa1)

 

08/15/15

 

10.250

 

1,057,500

 

 

 

 

 

 

 

 

 

 

 

1,588,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Steel Producers/Products (1.3%)

 

 

 

 

 

 

 

 

 

250

 

AK Steel Corp., Company Guaranteed Notes (Callable 5/01/06 @ $101.31)

 

(B+ , B1)

 

02/15/09

 

7.875

 

252,500

 

400

 

AK Steel Corp., Global Company Guaranteed Notes (Callable 6/15/07 @ $103.88)

 

(B+ , B1)

 

06/15/12

 

7.750

 

406,500

 

750

 

Egden Acquisition Corp., Global Secured Notes (Callable 2/01/08 @ $ 104.94)

 

(B- , B3)

 

02/01/11

 

9.875

 

750,000

 

600

 

International Steel Group, Inc., Global Senior Notes

 

(BBB- , Ba1)

 

04/15/14

 

6.500

 

600,000

 

625

 

RathGibson, Inc., Rule 144A, Private Placement Senior Notes (Callable 2/15/10 @ $105.62) ‡

 

(B- , B2)

 

02/15/14

 

11.250

 

656,250

 

250

 

WCI Steel, Inc., Series B, Senior Notes Ø

 

(NR , NR)

 

12/01/04

 

10.000

 

201,250

 

 

 

 

 

 

 

 

 

 

 

2,866,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Support - Services (4.1%)

 

 

 

 

 

 

 

 

 

400

 

Allied Security Escrow Corp., Global Senior Subordinated Notes (Callable 7/15/08 @ $105.69)

 

(CCC+ , Caa1)

 

07/15/11

 

11.375

 

382,000

 

600

 

Brand Services, Inc., Global Company Guaranteed Notes (Callable 10/15/07 @ $106.00)

 

(CCC+ , Caa1)

 

10/15/12

 

12.000

 

645,000

 

750

 

Di Finance/Dyncorp International, Series B, Global Senior Subordinated Notes (Callable 2/15/09 @ $104.75)

 

(B- , Caa1)

 

02/15/13

 

9.500

 

783,750

 

300

 

Hertz Corp., Rule 144A, Private Placement Senior Notes (Callable 1/01/10 @ $104.44) ‡

 

(B , B1)

 

01/01/14

 

8.875

 

312,750

 

400

 

Hertz Corp., Rule 144A, Private Placement Senior Subordinated Notes (Callable 1/01/11 @ $105.25) ‡

 

(B , B3)

 

01/01/16

 

10.500

 

436,000

 

800

 

Hydrochem Industrial Services, Inc., Rule 144A, Senior Subordinated Notes (Callable 2/15/09 @ $104.63) ‡

 

(CCC+ , Caa1)

 

02/15/13

 

9.250

 

798,000

 

400

 

Integrated Alarm Services Group, Inc., Rule 144A, Secured Notes (Callable 11/15/08 @ $106.00) ‡

 

(B- , B3)

 

11/15/11

 

12.000

 

394,000

 

350

 

Iron Mountain, Inc., Company Guaranteed Notes (Callable 4/01/07 @ $102.88)

 

(B , Caa1)

 

04/01/13

 

8.625

 

365,750

 

300

 

Iron Mountain, Inc., Company Guaranteed Notes (Callable 7/01/08 @ $103.31)

 

(B , Caa1)

 

01/01/16

 

6.625

 

283,500

 

1,100

 

Johnsondiversey Holdings, Inc., Global Discount Notes (Callable 5/15/07 @ $105.34) +

 

(B- , Caa1)

 

05/15/13

 

0.000

 

957,000

 

500

 

Knowledge Learning Corp., Inc., Rule 144A, Company Guaranteed Notes (Callable 2/01/10 @ $103.88) ‡

 

(B- , B3)

 

02/01/15

 

7.750

 

478,750

 

815

 

La Petite Academy, Inc., Series B, Company Guaranteed Notes (Callable 5/15/06 @ $100.00)

 

(CC , Ca)

 

05/15/08

 

10.000

 

782,400

 

250

 

Language Line Holdings, Inc., Global Senior Subordinated Notes (Callable 6/15/08 @ $105.56)

 

(CCC+ , Caa1e)

 

06/15/12

 

11.125

 

232,500

 

300

 

Muzak LLC/Muzak Finance Corp., Global Senior Notes (Callable 2/15/07 @ $102.50)

 

(CCC- , Caa2)

 

02/15/09

 

10.000

 

262,500

 

425

 

United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 2/15/08 @ $103.25)

 

(B+ , B3)

 

02/15/12

 

6.500

 

418,625

 

675

 

United Rentals North America, Inc., Global Senior Subordinated Notes (Callable 2/15/09 @ $103.50)

 

(B , Caa1)

 

02/15/14

 

7.000

 

653,063

 

525

 

Williams Scotsman, Inc., Global Company Guaranteed Notes (Callable 10/01/10 @ $104.25)

 

(B , B3)

 

10/01/15

 

8.500

 

538,781

 

 

 

 

 

 

 

 

 

 

 

8,724,369

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Fixed Line (1.0%)

 

 

 

 

 

 

 

 

 

875

 

Level 3 Communications, Inc., Senior Notes (Callable 5/01/06 @ $100.00)

 

(CCC- , Ca)

 

05/01/08

 

9.125

 

877,188

 

338

 

Madison River Capital/Madison River Finance, Senior Notes (Callable 3/01/07 @ $102.21)

 

(B- , B3)

 

03/01/10

 

13.250

 

356,063

 

775

 

Time Warner Telecom Holdings, Global Company Guaranteed Notes (Callable 2/15/09 @ $104.62)

 

(CCC+ , B2)

 

02/15/14

 

9.250

 

835,063

 

 

 

 

 

 

 

 

 

 

 

2,068,314

 

 


 

Par

 

 

 

Ratings†

 

 

 

 

 

 

 

(000)

 

 

 

(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Integrated/Services (2.4%)

 

 

 

 

 

 

 

 

 

$

950

 

Cincinnati Bell, Inc., Global Senior Subordinated Notes (Callable 1/15/09 @ $104.19)

 

(B- , B3)

 

01/15/14

 

8.375

 

$

970,188

 

300

 

Hawaiian Telecom Communications, Inc., Rule 144A, Senior Notes (Callable 5/01/09 @ $104.88) ‡

 

(CCC+ , B3)

 

05/01/13

 

9.750

 

303,000

 

300

 

LCI International, Inc., Senior Notes

 

(NR , NR)

 

06/15/07

 

7.250

 

304,500

 

545

 

PanAmSat Corp., Global Company Guaranteed Notes (Callable 8/15/09 @ $104.50)

 

(B+ , B1)

 

08/15/14

 

9.000

 

576,338

 

225

 

Qwest Capital Funding, Inc., Global Company Guaranteed Notes

 

(B , B3)

 

02/15/11

 

7.250

 

229,219

 

1,025

 

Qwest Communications International, Inc., Global Company Guaranteed Notes (Callable 2/15/08 @ $103.62)

 

(B , B2)

 

02/15/11

 

7.250

 

1,055,750

 

1,530

 

Qwest Corp., Global Senior Notes

 

(BB , Ba3)

 

06/15/15

 

7.625

 

1,644,750

 

 

 

 

 

 

 

 

 

 

 

5,083,745

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Wireless (2.8%)

 

 

 

 

 

 

 

 

 

50

 

Airgate PCS, Inc., Rule 144A, Secured Notes (Callable 5/01/06 @ $104.69) ‡

 

(CCC- , Caa1)

 

09/01/09

 

9.375

 

52,688

 

525

 

American Tower Corp., Global Senior Notes (Callable 10/15/08 @ $103.56)

 

(BB- , B1)

 

10/15/12

 

7.125

 

546,000

 

450

 

Centennial Cellular Operating Co./Centennial Communications Corp., Global Company Guaranteed Notes (Callable 6/15/08 @ $105.06)

 

(CCC , B3)

 

06/15/13

 

10.125

 

493,875

 

625

 

Centennial Communications Corp. Global Senior Notes (Callable 1/01/09 @ $107.50)

 

(CCC , Caa2)

 

01/01/13

 

10.000

 

652,344

 

455

 

Dobson Cellular Systems, Global Secured Notes (Callable 11/01/08 @ $104.94)

 

(CCC , B2)

 

11/01/12

 

9.875

 

499,363

 

600

 

Dobson Communications Corp., Global Senior Notes (Callable 10/01/08 @ $104.44)

 

(CCC , Caa2)

 

10/01/13

 

8.875

 

606,000

 

350

 

Horizon PCS, Inc., Global Company Guaranteed Notes (Callable 7/15/08 @ $105.69)

 

(B- , NR)

 

07/15/12

 

11.375

 

401,625

 

250

 

IPCS, Inc., Global Senior Notes (Callable 5/01/08 @ $105.75)

 

(B- , B3)

 

05/01/12

 

11.500

 

286,250

 

250

 

IWO Holdings, Inc., Global Company Guaranteed Notes (Callable 1/15/10 @ $105.38) +

 

(BBB+ , Baa2)

 

01/15/15

 

0.000

 

188,125

 

100

 

Nextel Communications,  Inc., Series B, Senior Notes (Callable 8/01/08 @ $103.69)

 

(A- , Baa2)

 

08/01/15

 

7.375

 

104,951

 

100

 

Rural Cellular Corp., Global Senior Notes (Callable 8/01/07 @ $104.94)

 

(CCC , Caa1)

 

02/01/10

 

9.875

 

107,250

 

375

 

Rural Cellular Corp., Global Senior Subordinated Notes (Callable 5/01/06 @ $104.88)

 

(CCC , Caa2)

 

01/15/10

 

9.750

 

382,500

 

525

 

Rural Cellular Corp., Rule 144A, Private Placement Senior Subordinated Notes (Callable 11/01/07 @ $102.00) ‡#

 

(CCC , Caa2)

 

11/01/12

 

10.041

 

547,313

 

700

 

Triton PCS, Inc., Company Guaranteed Notes

 

(CCC- , Caa1)

 

06/01/13

 

8.500

 

668,500

 

400

 

U.S. Unwired, Inc., Series B, Global Secured Notes (Callable 6/15/08 @ $105.00)

 

(CCC- , Caa1)

 

06/15/12

 

10.000

 

450,500

 

 

 

 

 

 

 

 

 

 

 

5,987,284

 

 

 

 

 

 

 

 

 

 

 

 

 

Theaters & Entertainment (0.7%)

 

 

 

 

 

 

 

 

 

400

 

AMC Entertainment, Inc., Global Senior Subordinated Notes (Callable 3/01/09 @ $104.00)

 

(CCC+ , B3)

 

03/01/14

 

8.000

 

359,000

 

650

 

AMC Entertainment, Inc., Senior Subordinated Notes (Callable 2/01/07 @ $104.94)

 

(CCC+ , B3)

 

02/01/12

 

9.875

 

643,500

 

250

 

Cinemark USA, Inc., Global Senior Subordinated Notes (Callable 2/01/08 @ $104.50)

 

(B- , B3)

 

02/01/13

 

9.000

 

266,875

 

400

 

Cinemark, Inc., Global Senior Discount Notes (Callable 3/15/09 @ $104.88) +

 

(B- , Caa1)

 

03/15/14

 

0.000

 

308,000

 

 

 

 

 

 

 

 

 

 

 

1,577,375

 

 

 

 

 

 

 

 

 

 

 

 

 

Transportation Excluding Air/Rail (0.2%)

 

 

 

 

 

 

 

 

 

195

 

H-Line Finance Holding Corp., Global Senior Discount Notes (Callable 4/01/08 @ $105.50) +

 

(CCC+ , Caa2)

 

04/01/13

 

0.000

 

162,825

 

237

 

Horizon Lines LLC, Global Company Guaranteed Notes (Callable 11/01/08 @ $104.50)

 

(CCC+ , B3)

 

11/01/12

 

9.000

 

251,813

 

 

 

 

 

 

 

 

 

 

 

414,638

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL CORPORATE OBLIGATIONS

 

 

 

 

 

 

 

 

 

(Cost $190,148,694)

 

 

 

 

 

 

 

186,469,584

 

 

 

 

 

 

 

 

 

 

 

ASSET BACKED SECURITIES (0.2%)

 

 

 

 

 

 

 

 

 

550

 

Park Place Securities, Inc., Rule 144A ‡#
(Cost $498,789)

 

(BB+ , Ba1)

 

10/25/34

 

7.568

 

507,033

 

 

Number
of Shares

 

 

 

 

 

 

 

 

 

 

COMMON STOCKS (0.8%)

 

 

 

 

 

 

 

Auto Parts & Equipment (0.0%)

 

 

 

18,064

 

Safelite Glass Corp., Class B ^*

 

15,354

 

1,219

 

Safelite Realty Corp. ^*

 

9,752

 

 

 

 

 

25,106

 

 

 

 

 

 

 

Chemicals (0.0%)

 

 

 

4,893

 

Huntsman Corp. *

 

94,435

 

 

 

 

 

 

 

Consumer - Products (0.0%)

 

 

 

20

 

Continental AFA Dispensing Co. ^*

 

0

 

 

 

 

 

 

 

Electric - Integrated (0.2%)

 

 

 

18,795

 

Mirant Corp. *

 

469,875

 

 

 

 

 

 

 

Food - Wholesale (0.3%)

 

 

 

590

 

Crunch Equity Holdings LLC *

 

590,405

 

 

 

 

 

 

 

Health Services (0.0%)

 

 

 

232

 

Magellan Health Services, Inc. *

 

9,389

 

 

 

 

 

 

 

Printing & Publishing (0.3%)

 

 

 

21,306

 

Cenveo, Inc. *

 

353,253

 

10,652

 

Cenveo, Inc., Rule 144A ‡*

 

176,610

 

 

 

 

 

529,863

 

 

 

 

 

 

 

Telecom - Integrated/Services (0.0%)

 

 

 

69,987

 

Digitalglobe, Inc. ^*

 

69,987

 

 


 

Number
of Shares

 

 

 

Value

 

 

 

 

 

 

 

TOTAL COMMON STOCKS

 

 

 

(Cost $1,787,203)

 

$

1,789,060

 

 

 

 

 

 

 

PREFERRED STOCKS (0.0%)

 

 

 

 

 

 

 

Media - Cable (0.0%)

 

 

 

7,500

 

Adelphia Communications Corp., 13% cumulative exchangeable Series B
(Callable 7/15/06 @ $102.17) *

 

3,750

 

(Cost $750,000)

 

 

 

 

 

 

 

 

 

WARRANTS (0.0%)

 

 

 

 

 

 

 

Aerospace/Defense (0.0%)

 

 

 

6,290

 

Loral Space & Communications, strike price $23.70, expires 12/26/06 ^*

 

0

 

 

 

 

 

 

 

Auto Parts & Equipment (0.0%)

 

 

 

44,271

 

Safelite Glass Corp., strike price $0.01, Class A, expires 09/29/06 ^*

 

0

 

29,514

 

Safelite Glass Corp., strike price $0.01, Class B, expires 09/29/07 ^*

 

0

 

 

 

 

 

0

 

 

 

 

 

 

 

Building Materials (0.0%)

 

 

 

1,250

 

Dayton Superior Corp., strike price $0.01, Rule 144A, expires 6/15/09 ‡*

 

13

 

 

 

 

 

 

 

Chemicals (0.0%)

 

 

 

117

 

AGY Holding Corp., strike price $0.01, expires 1/01/10 ^*

 

1

 

 

 

 

 

 

 

Gaming (0.0%)

 

 

 

3,000

 

Mikohn Gaming Corp., strike price $7.70, expires 8/15/08 *

 

30

 

 

 

 

 

 

 

Packaging (0.0%)

 

 

 

747

 

Pliant Corp., strike price $0.01, expires 6/01/10 ^*

 

0

 

 

 

 

 

 

 

Telecom - Fixed Line (0.0%)

 

 

 

400

 

Colt Telecom Group Plc, strike price $75.63, Rule 144A, expires 12/31/06 ‡*

 

9,050

 

4

 

NTL Inc., strike price $262.93, Series A, expires 1/13/11 *

 

2

 

 

 

 

 

9,052

 

 

 

 

 

 

 

TOTAL WARRANTS

 

 

 

(Cost $66,810)

 

9,096

 

 

 

 

 

 

 

TOTAL DOMESTIC SECURITIES

 

 

 

(Cost $193,251,496)

 

188,778,523

 

 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)
(unaudited)

 

Maturity

 

Rate%

 

 

 

 

 

 

 

 

 

 

 

 

 

FOREIGN SECURITIES (9.0%)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE OBLIGATIONS (8.7%)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Apparel/Textiles (0.1%)

 

 

 

 

 

 

 

 

 

$

275

 

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

 

(CCC+ , Caa1)

 

11/15/12

 

9.875

 

304,504

 

 

 

 

 

 

 

 

 

 

 

 

 

Building Materials (0.4%)

 

 

 

 

 

 

 

 

 

750

 

MAAX Corp., Global Senior Subordinated Notes (Callable 6/15/08 @ $104.88) (Canada)

 

(CCC , B3)

 

06/15/12

 

9.750

 

645,000

 

500

 

MAAX Holdings, Inc., Global Senior Discount Notes (Callable 12/15/08 @ $105.62)
(Canada) +

 

(CCC , Caa3)

 

12/15/12

 

0.000

 

197,500

 

 

 

 

 

 

 

 

 

 

 

842,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Chemicals (0.7%)

 

 

 

 

 

 

 

 

 

373

 

Rhodia SA, Global Senior Notes (France)

 

(CCC+ , B3)

 

06/01/10

 

10.250

 

420,091

 

1,050

 

Ineos Group Holding Plc., Rule 144A, Private Placement Notes (Callable 2/15/11 @ $104.25) (United Kingdom) ‡

 

(B- , B2)

 

02/15/16

 

8.500

 

1,002,750

 

 

 

 

 

 

 

 

 

 

 

1,422,841

 

 

 

 

 

 

 

 

 

 

 

 

 

Electronics (0.6%)

 

 

 

 

 

 

 

 

 

750

 

Celestica, Inc., Senior Subordinated Notes (Callable 7/01/08 @ $103.94) (Canada)

 

(B , B2)

 

07/01/11

 

7.875

 

768,750

 

650

 

Magnachip Semiconductor, Senior Subordinated Notes (Callable 12/15/09 @ $104.00) (South Korea)

 

(B- , B2)

 

12/15/14

 

8.000

 

611,000

 

 

 

 

 

 

 

 

 

 

 

1,379,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Food & Drug Retailers (0.5%)

 

 

 

 

 

 

 

 

 

1,125

 

Jean Coutu Group (PJC), Inc., Global Senior Subordinated Notes (Callable 8/01/09 @ $104.25) (Canada)

 

(B- , Caa2)

 

08/01/14

 

8.500

 

1,037,812

 

 

 

 

 

 

 

 

 

 

 

 

 

Forestry/Paper (1.4%)

 

 

 

 

 

 

 

 

 

700

 

Abitibi-Consolidated, Inc., Yankee Senior Notes (Canada)

 

(B+ , B1)

 

04/01/15

 

8.375

 

686,000

 

400

 

Abitibi-Consolidated, Inc., Global Notes (Canada)

 

(B+ , B1)

 

06/15/11

 

7.750

 

388,000

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)
(unaudited)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

$

275

 

Bowater Canada Finance, Global Company Guaranteed (Canada)

 

(B+ , B1)

 

11/15/11

 

7.950

 

$

275,687

 

250

 

Tembec Industries, Inc., Global Company Guaranteed Notes (Canada)

 

(CCC- , Ca)

 

03/15/12

 

7.750

 

142,500

 

400

 

Tembec Industries, Inc., Yankee Company Guaranteed (Callable 6/30/06 @ $101.44) (Canada)

 

(CCC- , Ca)

 

06/30/09

 

8.625

 

243,000

 

500

 

JSG Funding Plc, Global Senior Notes (Callable 10/01/07 @ $104.81) (Ireland)

 

(B- , B3)

 

10/01/12

 

9.625

 

531,250

 

750

 

JSG Funding Plc, Senior Subordinated Notes (Callable 1/31/10 @ $103.88) (Ireland)

 

(B- , Caa1)

 

04/01/15

 

7.750

 

708,750

 

 

 

 

 

 

 

 

 

 

 

2,975,187

 

 

 

 

 

 

 

 

 

 

 

 

 

Leisure (0.5%)

 

 

 

 

 

 

 

 

 

750

 

NCL Corp., Global Senior Notes (Callable 7/15/09 @ $105.31) (Bermuda)

 

(B+ , B2)

 

07/15/14

 

10.625

 

780,000

 

250

 

Intrawest Corp., Global Senior Notes (Callable 10/15/08 @ $103.75) (Canada)

 

(B+ , B1)

 

10/15/13

 

7.500

 

254,688

 

 

 

 

 

 

 

 

 

 

 

1,034,688

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Cable (0.2%)

 

 

 

 

 

 

 

 

 

400

 

Ono Finance Plc, Rule 144A, Company Guaranteed Notes (Callable 5/15/09 @ $105.25) (United Kingdom) ‡

 

(CCC+ , B3)

 

05/15/14

 

10.500

 

523,995

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Broadcast (0.0%)

 

 

 

 

 

 

 

 

 

4,600

 

Australis Holdings Pty. Ltd., Yankee Senior Discount Notes (Australia) ^Ø

 

(NR , NR)

 

11/01/02

 

15.000

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Cable (0.6%)

 

 

 

 

 

 

 

 

 

500

 

Kabel Deutschland GmbH, Rule 144A, Company Guaranteed Notes (Callable 7/01/09 @ $105.31) (Germany) ‡

 

(B- , B2)

 

07/01/14

 

10.625

 

536,250

 

393

 

Telenet Group Holding NV, Rule 144A, Discount Notes (Callable 12/15/08 @ $105.75)
(Belgium) ‡+

 

(CCC+ , Caa1)

 

06/15/14

 

0.000

 

330,611

 

400

 

Unity Media GMBH, Rule 144A, Private Placement Senior Notes (Callable 2/15/10 @ $105.06) (Germany) ‡

 

(CCC+ , Caa2)

 

02/15/15

 

10.125

 

492,531

 

 

 

 

 

 

 

 

 

 

 

1,359,392

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Diversified (0.1%)

 

 

 

 

 

 

 

 

 

150

 

Quebecor Media, Inc., Rule 144A, Private Placement Senior Notes (Callable 3/15/11 @ $103.88) (Canada) ‡

 

(B , B2)

 

03/15/16

 

7.750

 

154,875

 

 

 

 

 

 

 

 

 

 

 

 

 

Metals/Mining Excluding Steel (0.0%)

 

 

 

 

 

 

 

 

 

924

 

International Utility Structures, Inc., Subordinated Notes (Canada) ^Ø

 

(NR , NR)

 

02/01/08

 

13.000

 

0

 

800

 

International Utility Structures, Inc., Yankee Senior Subordinated Notes (Canada) ^Ø

 

(NR , NR)

 

02/01/08

 

10.750

 

0

 

 

 

 

 

 

 

 

 

 

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

Oil Field Equipment & Services (0.1%)

 

 

 

 

 

 

 

 

 

150

 

Titan Petrochemicals Group Ltd., Rule 144A, Company Guaranteed Notes (Bermuda) ‡

 

(B+ , B1)

 

03/18/12

 

8.500

 

141,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Packaging (0.2%)

 

 

 

 

 

 

 

 

 

400

 

Gerresheimer Holdings GMBH, Rule 144A, Company Guaranteed Notes (Callable 2/15/10 @ $103.94) (Germany) ‡

 

(B- , Caa1)

 

03/01/15

 

7.875

 

486,480

 

 

 

 

 

 

 

 

 

 

 

 

 

Pharmaceuticals (0.3%)

 

 

 

 

 

 

 

 

 

400

 

Biovail Corp. Yankee Senior Subordinated Notes (Callable 4/01/06 @ $103.94) (Canada)

 

(BB- , B2)

 

04/01/10

 

7.875

 

410,000

 

275

 

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

 

(B , B3)

 

11/15/11

 

7.750

 

261,938

 

 

 

 

 

 

 

 

 

 

 

671,938

 

 

 

 

 

 

 

 

 

 

 

 

 

Steel Producers/Products (0.3%)

 

 

 

 

 

 

 

 

 

225

 

Gerdau Ameristeel Corp., Global Senior Notes (Callable 7/15/07 @ $105.38) (Canada)

 

(BB- , Ba3)

 

07/15/11

 

10.375

 

248,063

 

259

 

Ispat Inland ULC, Global Secured Notes (Callable 4/01/09 @ $104.88) (Canada)

 

(BBB+ , Baa3)

 

04/01/14

 

9.750

 

293,409

 

 

 

 

 

 

 

 

 

 

 

541,472

 

 

 

 

 

 

 

 

 

 

 

 

 

Support - Services (0.3%)

 

 

 

 

 

 

 

 

 

675

 

Ashtead Holdings Plc., Rule 144A, Private Placement Secured Notes (Callable 8/01/10 @ $104.31) (United Kingdom) ‡

 

(B , B2)

 

08/01/15

 

8.625

 

705,375

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Integrated/Services (1.1%)

 

 

 

 

 

 

 

 

 

450

 

Intelsat Ltd., Global Senior Notes (Bermuda)

 

(BBB+ , Caa1)

 

11/01/08

 

5.250

 

427,500

 

600

 

Intelsat Subsidiary Holding Co., Ltd., Global Senior Notes (Callable 1/15/09 @ $104.13) (Bermuda)

 

(B+ , B2)

 

01/15/13

 

8.250

 

613,500

 

400

 

Hellas Telecom, Rule 144A, Secured Notes (Callable 10/15/06 @ $102.00) (Luxembourg) ‡

 

(B , B1)

 

10/15/12

 

6.014

 

494,951

 

750

 

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

 

(B- , Caa1)

 

12/15/14

 

10.750

 

772,500

 

 

 

 

 

 

 

 

 

 

 

2,308,451

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Wireless (0.3%)

 

 

 

 

 

 

 

 

 

500

 

Millicom International Cellular S.A., Global Senior Notes (Callable 12/01/08 @ $105.00) (Luxembourg)

 

(B- , B3)

 

12/01/13

 

10.000

 

556,250

 

 

 

 

 

 

 

 

 

 

 

 

 

Transportation Excluding Air/Rail (1.0%)

 

 

 

 

 

 

 

 

 

700

 

Sea Containers Ltd., Series B, Yankee Senior Notes (Callable 5/01/06 @ $100.00) (Bermuda)

 

(CCC- , B3)

 

02/15/08

 

7.875

 

658,000

 

1,350

 

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

 

(B , B1)

 

12/15/13

 

8.500

 

1,275,750

 

250

 

Stena AB, Global Senior Notes (Callable 12/01/09 @ $103.50) (Sweden)

 

(BB- , Ba3)

 

12/01/16

 

7.000

 

236,250

 

 

 

 

 

 

 

 

 

 

 

2,170,000

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL FOREIGN CORPORATE OBLIGATIONS
(Cost $22,376,947)

 

 

 

 

 

 

 

18,617,260

 

 

 

 

 

 

 

 

 

 

 

 

 

GOVERNMENT OBLIGATIONS (0.3%)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Argentina (0.3%)

 

 

 

 

 

 

 

 

 

1,188

 

Republic of Argentina, Notes

 

(B , NR)

 

12/31/33

 

5.830

 

492,929

 

3,249

 

Republic of Argentina, Domestic Notes

 

(NR , NR)

 

12/15/35

 

0.000

 

95,969

 

TOTAL GOVERNMENT OBLIGATIONS
(Cost $516,288)

 

 

 

 

 

 

 

588,898

 

 


 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)
(unaudited)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

TOTAL FOREIGN SECURITIES

 

 

 

 

 

 

 

 

 

(Cost $22,893,235)

 

 

 

 

 

 

 

$

19,206,158

 

 

 

 

 

 

 

 

 

 

 

 

 

SHORT- TERM INVESTMENT (0.3%)

 

 

 

 

 

 

 

 

 

604

 

Citibank overnight deposit (Nassau)

 

 

 

04/03/06

 

3.900

 

604,000

 

TOTAL SHORT- TERM INVESTMENT (Cost $604,000)

 

 

 

 

 

 

 

604,000

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS AT VALUE (97.7%)

 

 

 

 

 

 

 

 

 

(Cost $216,748,731)

 

 

 

 

 

 

 

208,588,681

 

 

 

 

 

 

 

 

 

 

 

 

 

OTHER ASSETS IN EXCESS OF LIABILITIES (2.3%)

 

 

 

 

 

 

 

4,912,666

 

 

 

 

 

 

 

 

 

 

 

 

 

NET ASSETS (100%)

 

 

 

 

 

 

 

 

 

Applicable to 49,895,588 issued and outstanding
$0.001 par value shares (authorized 100,000,000 shares)

 

 

 

 

 

 

 

$

213,501,347

 

 

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 March 31, 2006, these securities amounted to a value of $33,146,664  or 15.5% of net assets.

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

#                 Floating Rate - The interest rate changes on these instruments based upon a designated base rate. The rates shown are those in effect at March 31, 2006.

+                 Step Bond - The interest rate stated is the rate as of March 31, 2006.

Ø               Security in default.

*                 Non-income producing security.

»                 Payment-in-kind.

++          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 then 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.  The Fund’s 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 (“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.  Securities and other assets for which market quotations are not readily available, or whose values have been materially affected by events occuring 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.

 

Federal Income Tax Cost - At March 31, 2006, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized appreciation (depreciation) from investments were $216,748,731, 5,813,909, (13,973,959), and $(8,160,050), 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 http://www.credit-suisse.com/us as well as on the website of the Securities and Exchange Commission - http://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 ASSET MANAGEMENT INCOME FUND, INC.

 

 

 

/s/Steven Plump

 

 

Name:

Steven Plump

 

Title:

Chief Executive Officer

 

Date:

May 26, 2006

 

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:

May 26, 2006

 

 

 

 

/s/Michael A. Pignataro

 

 

Name:

Michael A. Pignataro

 

Title:

Chief Financial Officer

 

Date:

May 26, 2006