N-Q 1 a07-26949_3nq.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

811-05012

 

 

CREDIT SUISSE ASSET MANAGEMENT INCOME 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, 2007 to September 30, 2007

 

 


 

Item 1:           Schedule of Investments

 


 

Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments

September 30, 2007 (unaudited)

 

Par

 

 

 

Ratings†

 

 

 

 

 

 

 

(000)

 

 

 

(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS  (86.6%)

 

 

 

 

 

 

 

 

 

Aerospace/Defense (1.5%)

 

 

 

 

 

 

 

 

 

275

 

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

 

(B , B3)

 

02/01/18

 

7.625

 

$

281,875

 

275

 

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

 

(B , B3)

 

11/01/13

 

6.875

 

276,375

 

200

 

Hawker Beechcraft Acquisition Company LLC, Rule 144A, Senior Notes (Callable 04/01/11 @ $104.25) ‡

 

(B- , B3)

 

04/01/15

 

8.500

 

205,000

 

375

 

Hawker Beechcraft Acquisition Company LLC, Rule 144A, Senior Notes (Callable 04/01/11 @ $104.44) ‡

 

(B- , B3)

 

04/01/15

 

8.875

 

378,750

 

775

 

Hawker Beechcraft Acquisition Company LLC, Rule 144A, Senior Subordinated Notes (Callable 04/01/12 @ $104.88) ‡

 

(B- , Caa1)

 

04/01/17

 

9.750

 

794,375

 

725

 

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

 

(BB+ , Ba3)

 

01/15/15

 

5.875

 

699,625

 

450

 

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

 

(B- , B3)

 

07/15/14

 

7.750

 

456,750

 

 

 

 

 

 

 

 

 

3,092,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculture (0.4%)

 

 

 

 

 

 

 

 

 

825

 

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

 

(B , Caa1)

 

11/01/10

 

10.500

 

853,875

 

 

 

 

 

 

 

 

 

 

 

 

 

Apparel/Textiles (0.7%)

 

 

 

 

 

 

 

 

 

675

 

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

 

(B+ , B2)

 

01/15/15

 

9.750

 

712,125

 

275

 

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

 

(B+ , B2)

 

12/15/12

 

12.250

 

297,064

 

500

 

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

 

(CCC , Caa1)

 

12/01/12

 

10.000

 

382,500

 

 

 

 

 

 

 

 

 

1,391,689

 

 

 

 

 

 

 

 

 

 

 

 

 

Auto Loans (4.0%)

 

 

 

 

 

 

 

 

 

750

 

Ford Motor Credit Co., Global Notes

 

(B , B1)

 

06/15/10

 

7.875

 

733,579

 

1,725

 

Ford Motor Credit Co., Global Notes

 

(B , B1)

 

10/01/13

 

7.000

 

1,560,723

 

425

 

Ford Motor Credit Co., Senior Notes

 

(B , B1)

 

08/10/11

 

9.875

 

430,809

 

650

 

Ford Motor Credit Co., Senior Unsecured Notes

 

(B , B1)

 

06/16/08

 

6.625

 

645,196

 

1,300

 

Ford Motor Credit Co., US Domestic, Senior Unsecured Notes

 

(B , B1)

 

12/15/16

 

8.000

 

1,218,075

 

1,700

 

General Motors Acceptance Corp., Global Notes

 

(BB+ , Ba1)

 

05/15/09

 

5.625

 

1,655,662

 

1,480

 

General Motors Acceptance Corp., Global Notes

 

(BB+ , Ba1)

 

12/01/14

 

6.750

 

1,343,278

 

850

 

GMAC LLC, US Domestic, Senior Unsubordinated Notes

 

(BB+ , Ba1)

 

12/15/11

 

6.000

 

785,240

 

 

 

 

 

 

 

 

 

8,372,562

 

 

 

 

 

 

 

 

 

 

 

 

 

Automobile Parts & Equipment (2.0%)

 

 

 

 

 

 

 

 

275

 

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

 

(CCC+ , B2)

 

12/01/11

 

9.000

 

280,156

 

650

 

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

 

(CCC+ , B2)

 

12/01/11

 

9.000

 

662,187

 

800

 

American Tire Distributors Holdings, Inc., Global Senior Notes (Callable 04/01/09 @ $105.38)

 

(CCC+ , Caa1)

 

04/01/13

 

10.750

 

796,000

 

812

 

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

 

(B , Ba3)

 

07/01/15

 

9.000

 

870,870

 

17

 

Goodyear Tire & Rubber Co., Rule 144A, Senior Notes (Callable 12/01/09 @ $104.31) ‡

 

(B , Ba3)

 

12/01/11

 

8.625

 

17,850

 

450

 

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

 

(CCC+ , Caa2)

 

11/01/13

 

9.750

 

369,000

 

775

 

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

 

(CCC+ , Caa1)

 

08/15/14

 

10.000

 

782,750

 

600

 

Visteon Corp., Global Senior Notes

 

(CCC+ , Caa2)

 

08/01/10

 

8.250

 

531,000

 

 

 

 

 

 

 

 

 

4,309,813

 

 

 

 

 

 

 

 

 

 

 

 

 

Automotive (2.2%)

 

 

 

 

 

 

 

 

 

1,210

 

Ford Motor Co., Global Notes

 

(CCC+ , Caa1)

 

07/16/31

 

7.450

 

955,900

 

2,300

 

General Motors Corp., Global Senior Notes §

 

(B- , Caa1)

 

07/15/13

 

7.125

 

2,116,000

 

1,750

 

General Motors Corp., Global Senior Unsubordinated Notes §

 

(B- , Caa1)

 

07/15/33

 

8.375

 

1,542,187

 

 

 

 

 

 

 

 

 

4,614,087

 

 

 

 

 

 

 

 

 

 

 

 

 

Beverage (0.3%)

 

 

 

 

 

 

 

 

 

525

 

Constellation Brands, Inc., Company Guaranteed Notes

 

(BB- , Ba3)

 

09/01/16

 

7.250

 

527,625

 

 

 

 

 

 

 

 

 

 

 

 

 

Brokerage (0.2%)

 

 

 

 

 

 

 

 

 

175

 

E*TRADE Financial Corp., Global Senior Unsecured Notes (Callable 06/15/08 @ $104.00)

 

(BB- , Ba2)

 

06/15/11

 

8.000

 

175,000

 

315

 

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

 

(BB- , Ba2)

 

12/01/15

 

7.875

 

292,950

 

 

 

 

 

 

 

 

 

467,950

 

 


 

Building & Construction (1.4%)

 

 

 

 

 

 

 

 

 

900

 

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

 

(B- , Caa1)

 

10/01/15

 

9.500

 

$

715,500

 

500

 

K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes

 

(BB- , Ba3)

 

01/15/16

 

6.250

 

387,500

 

600

 

KB Home, Senior Notes §

 

(BB+ , Ba1)

 

06/15/15

 

6.250

 

515,250

 

625

 

Standard Pacific Corp., Global Senior Notes §

 

(BB , Ba3)

 

08/15/15

 

7.000

 

446,875

 

750

 

TOUSA, Inc., Global Senior Subordinated Notes §

 

(CCC- , Ca)

 

01/15/15

 

7.500

 

161,250

 

425

 

WCI Communities, Inc., Global Company Guaranteed Notes (Callable 03/15/10 @ $103.31)

 

(CCC- , Caa2)

 

03/15/15

 

6.625

 

299,625

 

250

 

William Lyon Homes, Inc., Global Senior Notes (Callable 02/15/09 @ $103.75)

 

(B , Caa1)

 

02/15/14

 

7.500

 

166,250

 

500

 

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

 

(B , Caa1)

 

12/15/12

 

7.625

 

342,500

 

 

 

 

 

 

 

 

 

3,034,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Building Materials (3.7%)

 

 

 

 

 

 

 

 

 

750

 

Associated Materials, Inc., Global Senior Discount Notes (Callable 03/01/09 @ $105.63) + §

 

(CCC , Caa2)

 

03/01/14

 

0.000

 

476,250

 

825

 

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

 

(BB- , B2)

 

08/01/14

 

7.750

 

750,750

 

1,000

 

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

 

(B , B2)

 

10/01/12

 

9.875

 

977,500

 

750

 

CPG International I, Inc., Global Senior Unsecured Notes (Callable 07/01/09 @ $105.25)

 

(B- , B3)

 

07/01/13

 

10.500

 

753,750

 

300

 

Dayton Superior Corp., Company Guaranteed Notes (Callable 11/16/07 @ $102.17)

 

(CCC+ , Caa1)

 

06/15/09

 

13.000

 

293,250

 

500

 

Dayton Superior Corp., Global Company Guaranteed Notes (Callable 11/16/07 @ $102.81)

 

(B , B1)

 

09/15/08

 

10.750

 

505,000

 

375

 

General Cable Corp., Global Company Guaranteed Notes (Callable 04/01/09 @ $102.00)#

 

(B+ , B1)

 

04/01/15

 

7.735

 

365,625

 

875

 

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

 

(B- , B3)

 

12/15/12

 

7.875

 

864,062

 

400

 

Interface, Inc., Global Senior Subordinated Notes (Callable 02/01/09 @ $104.75)

 

(B- , B3)

 

02/01/14

 

9.500

 

420,000

 

325

 

Norcraft Companies, Global Senior Subordinated Notes (Callable 11/01/07 @ $104.50)

 

(B- , B1)

 

11/01/11

 

9.000

 

328,250

 

250

 

Norcraft Holdings LP, Global Senior Discount Notes (Callable 09/01/08 @ $104.88)

 

(B- , B3)

 

09/01/12

 

9.750

 

225,000

 

700

 

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

 

(CCC+ , B3)

 

09/01/14

 

8.500

 

610,750

 

750

 

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

 

(CCC+ , Caa1)

 

03/01/14

 

0.000

 

465,000

 

1,025

 

Ply Gem Industries, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $104.50) §

 

(CCC+ , Caa1)

 

02/15/12

 

9.000

 

835,375

 

 

 

 

 

 

 

 

 

7,870,562

 

 

 

 

 

 

 

 

 

 

 

 

 

Chemicals (3.0%)

 

 

 

 

 

 

 

 

 

825

 

Chemtura Corp., Company Guaranteed Notes

 

(BB+ , Ba2)

 

06/01/16

 

6.875

 

787,875

 

650

 

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

 

(B- , B3)

 

11/15/14

 

0.000

 

559,000

 

375

 

Lyondell Chemical Co., Global Company Guaranteed Notes (Callable 06/01/08 @ $105.25)

 

(BB+ , Ba2)

 

06/01/13

 

10.500

 

405,000

 

675

 

Lyondell Chemical Co., Global Senior Unsecured Notes (Callable 09/15/10 @ $104.00)

 

(B+ , B1)

 

09/15/14

 

8.000

 

745,875

 

925

 

Lyondell Chemical Co., Global Senior Unsecured Notes (Callable 09/15/11 @ $104.13)

 

(B+ , B1)

 

09/15/16

 

8.250

 

1,047,562

 

525

 

Momentive Performance Materials, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/01/10 @ $104.88) ‡

 

(B- , B3)

 

12/01/14

 

9.750

 

522,375

 

625

 

Momentive Performance Materials, Inc., Rule 144A, Senior Subordinated Notes (Callable 12/01/11 @ $105.75) ‡

 

(CCC+ , Caa2)

 

12/01/16

 

11.500

 

621,875

 

800

 

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

 

(B- , B3)

 

02/01/14

 

9.000

 

700,000

 

250

 

PolyOne Corp., Senior Notes §

 

(B+ , B1)

 

05/01/12

 

8.875

 

258,750

 

725

 

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

 

(BB- , B1)

 

02/01/17

 

7.000

 

710,500

 

 

 

 

 

 

 

 

 

6,358,812

 

 

 

 

 

 

 

 

 

 

 

 

 

Computer Hardware (0.2%)

 

 

 

 

 

 

 

 

 

500

 

Activant Solutions, Inc., Senior Unsubordinated Notes (Callable 05/01/11 @ $104.75)

 

(CCC+ , Caa1)

 

05/01/16

 

9.500

 

441,250

 

 

 

 

 

 

 

 

 

 

 

 

 

Consumer/Commercial/Lease Financing (0.5%)

 

 

 

 

 

 

 

 

 

500

 

Residential Capital LLC, Company Guaranteed Notes

 

(BBB- , Ba1)

 

06/01/12

 

7.500

 

405,374

 

775

 

Residential Capital LLC, Company Guaranteed Notes

 

(BBB- , Ba1)

 

02/22/11

 

7.000

 

632,074

 

 

 

 

 

 

 

 

 

1,037,448

 

 

 

 

 

 

 

 

 

 

 

 

 

Consumer - Products (1.9%)

 

 

 

 

 

 

 

 

 

1,175

 

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

 

(CCC+ , B3)

 

10/01/12

 

0.000

 

1,051,625

 

1,000

 

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

 

(CCC+ , Caa1)

 

05/01/14

 

8.750

 

930,000

 

825

 

Del Laboratories, Inc., Global Company Guaranteed Notes (Callable 02/01/08 @ $104.00) §

 

(CCC , Caa2)

 

02/01/12

 

8.000

 

763,125

 

300

 

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

 

(B- , B3)

 

05/01/17

 

7.500

 

291,750

 

594

 

Prestige Brands, Inc., Global Senior Subordinated Notes (Callable 04/15/08 @ $104.63)

 

(B- , B3)

 

04/15/12

 

9.250

 

602,910

 

500

 

Revlon Consumer Products Corp., Global Senior Notes (Callable 04/01/08 @ $104.75) §

 

(CCC- , Caa2)

 

04/01/11

 

9.500

 

477,500

 

 

 

 

 

 

 

 

 

4,116,910

 

 

 

 

 

 

 

 

 

 

 

 

 

Diversified Capital Goods (1.6%)

 

 

 

 

 

 

 

 

 

575

 

Esco Corp., Rule 144A, Senior Notes (Callable 12/15/08 @ $102.00) ‡

 

(B , B2)

 

12/15/13

 

9.569

 

557,750

 

400

 

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

 

(CCC+ , B3)

 

08/01/14

 

9.500

 

416,000

 

500

 

RBS Global & Rexnord Corp., Global Company Guaranteed Notes (Callable 08/01/11 @ $105.88) §

 

(CCC+ , Caa1)

 

08/01/16

 

11.750

 

535,000

 

575

 

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

 

(B- , B3)

 

12/15/13

 

8.625

 

560,625

 

 


 

625

 

Titan International, Inc., Global Company Guaranteed Notes

 

(B , B3)

 

01/15/12

 

8.000

 

$

626,562

 

694

 

TriMas Corp., Global Company Guaranteed Notes (Callable 11/13/07 @ $104.94)

 

(B- , B3)

 

06/15/12

 

9.875

 

711,350

 

 

 

 

 

 

 

 

 

3,407,287

 

 

 

 

 

 

 

 

 

 

 

 

 

Electric - Generation (2.7%)

 

 

 

 

 

 

 

 

 

425

 

AES Corp., Senior Notes

 

(B , B1)

 

03/01/14

 

7.750

 

433,500

 

800

 

Calpine Generating Company LLC, Global Secured Notes (Callable 04/01/08 @ $103.50) Ø

 

(D , NR)

 

04/01/10

 

11.070

 

216,000

 

1,200

 

Dynegy Holdings, Inc., Global Senior Unsecured Notes

 

(B- , B2)

 

05/01/16

 

8.375

 

1,212,000

 

375

 

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

 

(B- , B2)

 

06/01/15

 

7.500

 

363,750

 

725

 

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

 

(B- , B2)

 

06/01/19

 

7.750

 

696,906

 

800

 

Edison Mission Energy, Rule 144A, Senior Notes ‡

 

(BB- , B1)

 

05/15/17

 

7.000

 

792,000

 

200

 

Edison Mission Energy, Rule 144A, Senior Notes ‡

 

(BB- , B1)

 

05/15/19

 

7.200

 

198,000

 

271

 

Midwest Generation LLC, Series B, Global Pass Thru Certificates

 

(BB+ , Ba2)

 

01/02/16

 

8.560

 

290,302

 

25

 

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

 

(B , B1)

 

01/15/17

 

7.375

 

25,062

 

425

 

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

 

(B , B1)

 

02/01/16

 

7.375

 

427,125

 

575

 

Reliant Energy, Inc., Senior Notes

 

(B- , B3)

 

06/15/14

 

7.625

 

582,187

 

575

 

Reliant Energy, Inc., Senior Notes

 

(B- , B3)

 

06/15/17

 

7.875

 

581,469

 

 

 

 

 

 

 

 

 

5,818,301

 

 

 

 

 

 

 

 

 

 

 

 

 

Electric - Integrated (0.2%)

 

 

 

 

 

 

 

 

 

500

 

Mirant Americas Generation LLC, Senior Notes Ø

 

(NR , NR)

 

05/01/06

 

7.625

 

0

 

300

 

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

 

(NR , NR)

 

07/15/04

 

7.400

 

12,960

 

300

 

Sierra Pacific Resources, Global Senior Unsecured Notes (Callable 03/15/09 @ $104.31)

 

(B , B1)

 

03/15/14

 

8.625

 

319,057

 

 

 

 

 

 

 

 

 

332,017

 

 

 

 

 

 

 

 

 

 

 

 

 

Electronics (2.2%)

 

 

 

 

 

 

 

 

 

1,000

 

Amkor Technology, Inc., Global Senior Notes (Callable 05/15/08 @ $103.88)

 

(B , B1)

 

05/15/13

 

7.750

 

968,750

 

183

 

Ampex Corp., Secured Notes (Callable 11/13/07 @ $100.00) ^

 

(NR , NR)

 

08/15/08

 

12.000

 

182,942

 

1,725

 

Freescale Semiconductor Inc., Global Senior Subordinated Notes (Callable 12/15/11 @ $105.06) §

 

(B , B2)

 

12/15/16

 

10.125

 

1,612,875

 

200

 

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

 

(B , B1)

 

12/15/14

 

8.875

 

194,000

 

207

 

GrafTech Finance, Inc., Global Company Guaranteed Notes (Callable 11/13/07 @ $105.13)

 

(B , B2)

 

02/15/12

 

10.250

 

216,832

 

775

 

Spansion, Inc., Rule 144A, Senior Notes (Callable 01/15/11 @ $105.63) ‡

 

(B , Caa1)

 

01/15/16

 

11.250

 

763,375

 

750

 

Viasystems, Inc., Global Senior Subordinated Notes (Callable 01/15/08 @ $105.25)

 

(B- , Caa1)

 

01/15/11

 

10.500

 

753,750

 

 

 

 

 

 

 

 

 

4,692,524

 

 

 

 

 

 

 

 

 

 

 

 

 

Energy - Exploration & Production (2.7%)

 

 

 

 

 

 

 

 

 

775

 

Chaparral Energy, Inc., Rule 144A, Senior Notes (Callable 02/01/12 @ $104.44) ‡

 

(CCC+ , Caa1)

 

02/01/17

 

8.875

 

730,437

 

1,611

 

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

 

(BB , Ba2)

 

01/15/16

 

6.875

 

1,619,055

 

650

 

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

 

(B , B1)

 

12/01/17

 

7.250

 

619,125

 

75

 

Forest Oil Corp., Global Company Guaranteed Notes (Callable 11/13/07 @ $103.88)

 

(B+ , B1)

 

05/01/14

 

7.750

 

76,500

 

225

 

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

 

(B+ , B1)

 

06/15/19

 

7.250

 

226,125

 

600

 

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

 

(B , B3)

 

06/01/16

 

9.000

 

615,000

 

800

 

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

 

(B- , B3)

 

07/15/13

 

9.125

 

848,000

 

975

 

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

 

(BB- , B1)

 

06/15/15

 

7.750

 

960,375

 

 

 

 

 

 

 

 

 

5,694,617

 

 

 

 

 

 

 

 

 

 

 

 

 

Environmental (1.3%)

 

 

 

 

 

 

 

 

 

1,525

 

Allied Waste North America, Inc., Series B, Global Senior Notes (Callable 04/15/09 @ $103.69) §

 

(B+ , B2)

 

04/15/14

 

7.375

 

1,540,250

 

1,100

 

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

 

(CCC+ , Caa1)

 

04/15/14

 

9.500

 

1,105,500

 

 

 

 

 

 

 

 

 

2,645,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Food & Drug Retailers (1.1%)

 

 

 

 

 

 

 

 

 

1,200

 

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

 

(CC , Caa3)

 

08/01/11

 

9.750

 

1,155,000

 

150

 

Ingles Markets, Inc., Global Senior Subordinated Notes (Callable 11/13/07 @ $104.44)

 

(B , B3)

 

12/01/11

 

8.875

 

153,750

 

250

 

Rite Aid Corp., Rule 144A, Company Guaranteed Notes (Callable 06/15/11 @ $104.69) ‡

 

(CCC+ , Caa1)

 

12/15/15

 

9.375

 

233,750

 

50

 

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

 

(B+ , B2)

 

04/15/15

 

7.750

 

49,750

 

750

 

Stater Brothers Holdings, Inc., Global Senior Notes (Callable 06/15/08 @ $104.06)

 

(B+ , B2)

 

06/15/12

 

8.125

 

767,812

 

 

 

 

 

 

 

 

 

2,360,062

 

 

 

 

 

 

 

 

 

 

 

 

 

Food - Wholesale (0.8%)

 

 

 

 

 

 

 

 

 

525

 

Dole Foods Co., Inc., Debentures Notes §

 

(B- , Caa1)

 

07/15/13

 

8.750

 

514,500

 

550

 

National Beef Packing Company LLC, Global Senior Unsecured Notes (Callable 11/13/07 @ $105.25)

 

(B- , Caa1)

 

08/01/11

 

10.500

 

561,000

 

675

 

Smithfield Foods, Inc., Senior Unsecured Notes

 

(BB , Ba3)

 

07/01/17

 

7.750

 

695,250

 

 

 

 

 

 

 

 

 

1,770,750

 

 


 

Forestry & Paper (3.4%)

 

 

 

 

 

 

 

 

 

525

 

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

 

(B+ , B2)

 

10/15/14

 

7.125

 

$

506,625

 

1,150

 

Cellu Tissue Holdings, Inc., Global Secured Notes (Callable 11/13/07 @ $107.31)

 

(B , B2)

 

03/15/10

 

9.750

 

1,132,750

 

600

 

Georgia-Pacific Corp., Debentures Notes

 

(B , B2)

 

06/15/15

 

7.700

 

600,000

 

200

 

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

 

(B , Ba3)

 

01/15/17

 

7.125

 

194,500

 

775

 

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

 

(B- , B3)

 

08/15/13

 

9.500

 

800,187

 

375

 

Newark Group, Inc., Global Senior Subordinated Notes (Callable 03/15/09 @ $104.88)

 

(B- , B3)

 

03/15/14

 

9.750

 

361,875

 

525

 

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

 

(B , B2)

 

05/01/12

 

10.000

 

555,187

 

600

 

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

 

(CCC+ , B3)

 

05/01/13

 

12.000

 

646,500

 

1,600

 

Smurfit-Stone Container Enterprises, Inc., Global Senior Notes (Callable 11/13/07 @ $104.19)

 

(CCC+ , B3)

 

07/01/12

 

8.375

 

1,608,000

 

675

 

Verso Paper Holdings LLC and Verson Paper Inc., Global Company Guaranteed Notes (Callable 08/01/11 @ $105.69)

 

(CCC+ , B3)

 

08/01/16

 

11.375

 

713,812

 

125

 

Verso Paper Holdings LLC and Verson Paper Inc., Global Secured Notes (Callable 08/01/10 @ $104.56)

 

(B+ , B2)

 

08/01/14

 

9.125

 

129,375

 

 

 

 

 

 

 

 

 

7,248,811

 

 

 

 

 

 

 

 

 

 

 

 

 

Gaming (4.3%)

 

 

 

 

 

 

 

 

 

725

 

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

 

(B , B2)

 

12/15/14

 

9.375

 

685,125

 

775

 

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

 

(CCC+ , B3)

 

08/01/13

 

8.000

 

759,500

 

150

 

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

 

(BB , Ba2)

 

11/15/19

 

7.250

 

148,312

 

375

 

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

 

(CCC+ , Caa1)

 

06/15/15

 

10.250

 

353,437

 

525

 

Herbst Gaming, Inc., Global Senior Subordinated Notes (Callable 06/01/08 @ $104.06)

 

(B- , B3)

 

06/01/12

 

8.125

 

473,156

 

475

 

Inn of the Mountain Gods, Global Senior Notes (Callable 11/13/07 @ $106.00)

 

(B , B3)

 

11/15/10

 

12.000

 

503,500

 

1,050

 

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

 

(B- , B3)

 

06/15/14

 

9.750

 

1,050,000

 

425

 

Majestic Star Casino LLC, Company Guaranteed Notes (Callable 11/16/07 @ $104.75)

 

(B+ , B1)

 

10/15/10

 

9.500

 

410,125

 

550

 

Majestic Star Casino LLC, Global Senior Unsecured Notes (Callable 10/15/08 @ $104.88)

 

(CCC+ , Caa1)

 

01/15/11

 

9.750

 

464,750

 

725

 

MGM Mirage, Inc., Company Guaranteed Notes

 

(BB , Ba2)

 

06/01/16

 

7.500

 

724,094

 

700

 

MGM Mirage, Inc., Company Guaranteed Notes

 

(BB , Ba2)

 

01/15/17

 

7.625

 

696,500

 

125

 

MGM Mirage, Inc., Global Company Guaranteed Notes

 

(BB , Ba2)

 

04/01/13

 

6.750

 

122,812

 

775

 

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

 

(B , Caa1)

 

06/01/15

 

8.500

 

649,062

 

475

 

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

 

(B+ , B1)

 

09/15/14

 

9.125

 

494,000

 

1,325

 

Wimar Opco LLC, Rule 144A, Senior Subordinated Notes (Callable 12/15/10 @ $104.81) ‡

 

(CCC+ , Caa1)

 

12/15/14

 

9.625

 

1,033,500

 

500

 

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

 

(BB+ , B1)

 

12/01/14

 

6.625

 

492,500

 

 

 

 

 

 

 

 

 

9,060,373

 

 

 

 

 

 

 

 

 

 

 

 

 

Gas Distribution (1.4%)

 

 

 

 

 

 

 

 

 

1,150

 

El Paso Performance-Link, Rule 144A, Notes ‡

 

(BB , Ba3)

 

07/15/11

 

7.750

 

1,187,133

 

525

 

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

 

(B , B1)

 

03/01/16

 

8.250

 

544,687

 

775

 

Williams Companies, Inc., Global Senior Notes

 

(BB , Ba2)

 

03/15/12

 

8.125

 

838,937

 

450

 

Williams Partners LP/Williams Partners Finance Corp., Global Company Guaranteed Notes

 

(BB+ , Ba3)

 

02/01/17

 

7.250

 

461,250

 

 

 

 

 

 

 

 

 

3,032,007

 

 

 

 

 

 

 

 

 

 

 

 

 

Health Services (5.3%)

 

 

 

 

 

 

 

 

 

800

 

Community Health Systems, Inc., Rule 144A, Senior Notes (Callable 07/15/11 @ $104.44) ‡

 

(B- , B3)

 

07/15/15

 

8.875

 

826,000

 

700

 

HCA, Inc., Global Senior Unsecured Notes

 

(B- , Caa1)

 

01/15/15

 

6.375

 

598,500

 

3,200

 

HCA, Inc., Global Senior Unsecured Notes

 

(B- , Caa1)

 

02/15/16

 

6.500

 

2,736,000

 

1,225

 

HCA, Inc., Rule 144A, Secured Notes (Callable 11/15/11 @ $104.63) ‡

 

(BB- , B2)

 

11/15/16

 

9.250

 

1,304,625

 

400

 

HCA, Inc., Senior Unsecured Notes

 

(B- , Caa1)

 

02/15/13

 

6.250

 

355,000

 

800

 

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

 

(CCC+ , Caa1)

 

06/15/16

 

10.750

 

846,000

 

650

 

Iasis Healthcare/Capital Corp., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.38)

 

(CCC+ , B3)

 

06/15/14

 

8.750

 

661,375

 

100

 

Service Corp International/US, Global, Senior Unsecured Notes

 

(BB- , B1)

 

04/01/15

 

6.750

 

99,750

 

550

 

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

 

(B+ , Ba3)

 

02/15/13

 

6.250

 

537,625

 

1,500

 

Tenet Healthcare Corp., Global Senior Notes

 

(CCC+ , Caa1)

 

07/01/14

 

9.875

 

1,380,000

 

500

 

Tenet Healthcare Corp., Global Senior Notes

 

(CCC+ , Caa1)

 

02/01/15

 

9.250

 

443,750

 

275

 

Universal Hospital Services. Inc., Rule 144A, Secured Notes (Callable 06/01/09 @ $102.00) ‡#

 

(B+ , B3)

 

06/01/15

 

8.759

 

275,000

 

300

 

Universal Hospital Services. Inc., Rule 144A, Secured Notes (Callable 06/01/11 @ $104.25) ‡

 

(B+ , B3)

 

06/01/15

 

8.500

 

298,500

 

950

 

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

 

(CCC+ , Caa1)

 

10/01/14

 

9.000

 

926,250

 

 

 

 

 

 

 

 

 

11,288,375

 

 

 

 

 

 

 

 

 

 

 

 

 

Hotels (1.0%)

 

 

 

 

 

 

 

 

 

500

 

Bluegreen Corp., Series B, Company Guaranteed Notes (Callable 11/16/07 @ $100.00)

 

(B- , B3)

 

04/01/08

 

10.500

 

495,000

 

425

 

Felcor Lodging LP, Global Company Guaranteed Notes

 

(B+ , Ba3)

 

06/01/11

 

8.500

 

450,500

 

250

 

Host Hotels & Resorts LP, Company Guaranteed Notes (Callable 11/01/10 @ $103.44)

 

(BB , Ba1)

 

11/01/14

 

6.875

 

250,625

 

825

 

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

 

(BB , Ba1)

 

06/01/16

 

6.750

 

820,875

 

 

 

 

 

 

 

 

 

2,017,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Household & Leisure Products (1.0%)

 

 

 

 

 

 

 

 

 

650

 

ALH Finance LLC, Senior Subordinated Notes (Callable 01/15/09 @ $104.25)

 

(CCC- , B3)

 

01/15/13

 

8.500

 

627,250

 

400

 

Ames True Temper, Inc., Global Company Guaranteed Notes (Callable 11/13/07 @ $103.00)#

 

(CCC+ , Caa1)

 

01/15/12

 

9.360

 

396,000

 

 


 

600

 

Ames True Temper, Inc., Global Senior Subordinated Notes (Callable 07/15/08 @ $105.00)

 

(CCC- , Caa3)

 

07/15/12

 

10.000

 

$

465,000

 

325

 

Sealy Mattress Co., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.13)

 

(B , B2)

 

06/15/14

 

8.250

 

329,062

 

225

 

Simmons Bedding Co., Global Senior Subordinated Notes (Callable 01/15/09 @ $103.94)

 

(CCC+ , B2)

 

01/15/14

 

7.875

 

217,125

 

 

 

 

 

 

 

 

 

2,034,437

 

 

 

 

 

 

 

 

 

 

 

 

 

Leisure (0.7%)

 

 

 

 

 

 

 

 

 

350

 

Bally Total Fitness Holding Corp., Global Senior Notes (Callable 11/16/07 @ $105.25) §Ø

 

(NR , NR)

 

07/15/11

 

10.500

 

371,000

 

675

 

Six Flags, Inc., Global Senior Notes (Callable 04/15/08 @ $104.88) §

 

(CCC , Caa1)

 

04/15/13

 

9.750

 

575,438

 

700

 

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

 

(CCC , Caa1)

 

06/01/14

 

9.625

 

581,875

 

 

 

 

 

 

 

 

 

1,528,313

 

 

 

 

 

 

 

 

 

 

 

 

 

Machinery (0.3%)

 

 

 

 

 

 

 

 

 

525

 

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

 

(B , B3)

 

02/15/17

 

8.625

 

551,250

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Broadcast (2.7%)

 

 

 

 

 

 

 

 

 

525

 

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

 

(B- , B1)

 

12/15/12

 

7.750

 

532,875

 

850

 

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

 

(CCC+ , B3)

 

08/15/14

 

10.500

 

879,750

 

575

 

CMP Susquehanna Corp., Global Company Guaranteed Notes (Callable 05/15/10 @ $104.94)

 

(CCC , Caa1)

 

05/15/14

 

10.125

 

537,625

 

300

 

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

 

(B- , B2)

 

09/15/14

 

8.625

 

312,000

 

850

 

ION Media Networks, Inc., Rule 144A, Secured Notes (Callable 01/15/08 @ $102.00) ‡#

 

(CCC- , Caa2)

 

01/15/13

 

10.777

 

869,125

 

575

 

Local TV Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 06/15/11 @ $104.63) ‡

 

(CCC+ , Caa1)

 

06/15/15

 

9.250

 

543,375

 

985

 

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

 

(CCC+ , B3)

 

03/15/15

 

9.750

 

965,300

 

400

 

XM Satellite Radio, Inc., Global Company Guaranteed Notes (Callable 05/01/08 @ $102.00) #

 

(CCC , Caa1)

 

05/01/13

 

9.856

 

397,000

 

925

 

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

 

(CCC- , Caa1)

 

01/15/14

 

8.750

 

786,250

 

 

 

 

 

 

 

 

 

5,823,300

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Cable (5.2%)

 

 

 

 

 

 

 

 

 

1,050

 

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

 

(CCC+ , Caa1)

 

01/15/14

 

9.375

 

1,023,750

 

1,500

 

CCH I Holdings LLC, Global Company Guaranteed Notes (Callable 11/16/07 @ $100.00) §

 

(CCC , Caa3)

 

04/01/14

 

9.920

 

1,297,500

 

1,662

 

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

 

(CCC , Caa2)

 

10/01/15

 

11.000

 

1,691,085

 

1,200

 

Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp., Senior Notes (Callable 09/15/08 @ $105.13)

 

(CCC , Caa2)

 

09/15/10

 

10.250

 

1,254,000

 

495

 

Charter Communications Holdings LLC, Senior Discount Notes (Callable 11/13/07 @ $100.00)

 

(CCC , Caa3)

 

04/01/11

 

9.920

 

458,494

 

950

 

CSC Holdings, Inc., Global Senior Notes

 

(B+ , B2)

 

04/15/12

 

6.750

 

919,125

 

655

 

CSC Holdings, Inc., Senior Notes

 

(B+ , B2)

 

04/01/11

 

7.625

 

659,913

 

675

 

DirecTV Holdings LLC, Global Senior Notes (Callable 03/15/08 @ $104.19)

 

(BB- , Ba3)

 

03/15/13

 

8.375

 

704,531

 

750

 

Echostar DBS Corp., Global Company Guaranteed Notes

 

(BB- , Ba3)

 

10/01/14

 

6.625

 

755,625

 

250

 

Insight Communications Company, Inc., Senior Discount Notes (Callable 11/13/07 @ $104.08) +

 

(CCC+ , B3)

 

02/15/11

 

12.250

 

259,375

 

259

 

Insight Midwest/Insight Capital, Senior Notes (Callable 11/16/07 @ $100.00)

 

(B , B3)

 

10/01/09

 

9.750

 

259,971

 

475

 

Mediacom Broadband LLC, Global Senior Notes (Callable 10/13/10 @ $104.25)

 

(B , B3)

 

10/15/15

 

8.500

 

478,563

 

525

 

Mediacom LLC/Capital Corp., Senior Notes (Callable 11/13/07 @ $101.97)

 

(B , B3)

 

02/15/11

 

7.875

 

518,438

 

825

 

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

 

(CCC , Caa1)

 

01/15/15

 

10.500

 

818,813

 

 

 

 

 

 

 

 

 

11,099,183

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Services (0.2%)

 

 

 

 

 

 

 

 

 

475

 

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

 

(B , B2)

 

12/15/14

 

0.000

 

334,875

 

 

 

 

 

 

 

 

 

 

 

 

 

Metals & Mining Excluding Steel (1.8%)

 

 

 

 

 

 

 

 

 

675

 

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

 

(B- , Caa1)

 

12/15/16

 

10.000

 

600,750

 

125

 

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

 

(B- , B3)

 

12/15/14

 

9.000

 

116,250

 

500

 

Alpha Natural Resources, Global Company Guaranteed Notes (Callable 06/01/08 @ $105.00)

 

(B- , B3)

 

06/01/12

 

10.000

 

527,500

 

825

 

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

 

(BB , Ba3)

 

04/01/15

 

8.250

 

893,063

 

625

 

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

 

(BB , Ba3)

 

04/01/17

 

8.375

 

684,375

 

1,050

 

Noranda Aluminium Acquisition Corp., Rule 144A, Senior Unsecured Notes (Callable 05/15/08 @ $102.00) ‡#

 

(CCC+ , B3)

 

05/15/15

 

9.360

 

992,250

 

 

 

 

 

 

 

 

 

3,814,188

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage Banks & Thrifts (0.5%)

 

 

 

 

 

 

 

 

 

1,050

 

Countrywide Home Loans Inc., Global Notes

 

(A- , Baa3)

 

12/19/07

 

4.250

 

1,037,902

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-Food & Drug Retailers (4.0%)

 

 

 

 

 

 

 

 

 

250

 

Affinity Group, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $104.50)

 

(CCC+ , B3)

 

02/15/12

 

9.000

 

256,250

 

855

 

Affinity Group, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $105.44)

 

(CCC+ , Caa1)

 

02/15/12

 

10.875

 

885,396

 

525

 

Asbury Automotive Group, Inc., Rule 144A, Senior Subordinated Notes (Callable 03/15/12 @ $103.81) ‡

 

(B , B3)

 

03/15/17

 

7.625

 

485,625

 

825

 

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

 

(B , Caa1)

 

10/15/12

 

12.000

 

820,875

 

825

 

Claire’s Stores, Inc., Rule 144A, Senior Notes (Callable 06/01/11 @ $104.81) ‡

 

(CCC+ , Caa1)

 

06/01/15

 

9.625

 

682,688

 

650

 

Finlay Fine Jewelry Corp., Global Senior Notes (Callable 06/01/08 @ $104.19)

 

(B- , Caa1)

 

06/01/12

 

8.375

 

497,250

 

 


 

703

 

Flooring America, Inc., Series B, Company Guaranteed Notes ^Ø

 

(NR , NR)

 

10/15/07

 

9.250

 

$

0

 

525

 

GSC Holdings Corp., Global Company Guaranteed Notes (Callable 10/01/09 @ $104.00)

 

(BB , Ba3)

 

10/01/12

 

8.000

 

548,625

 

300

 

Michaels Stores, Inc., Rule 144A, Senior Notes (Callable 11/01/10 @ $105.00) ‡

 

(CCC , B2)

 

11/01/14

 

10.000

 

309,000

 

700

 

Michaels Stores, Inc., Rule 144A, Senior Subordinated Notes (Callable 11/01/11 @ $105.69) ‡

 

(CCC , Caa1)

 

11/01/16

 

11.375

 

719,250

 

500

 

Nebraska Book Co, Inc., Global Company Guaranteed Notes (Callable 03/15/08 @ $104.31)

 

(CCC , B3)

 

03/15/12

 

8.625

 

501,250

 

1,000

 

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

 

(B- , B3)

 

10/15/15

 

10.375

 

1,095,000

 

650

 

PCA LLC, Global Senior Notes Ø

 

(NR , NR)

 

08/01/09

 

11.875

 

34,125

 

400

 

SGS International, Inc., Global Company Guaranteed Notes (Callable 12/15/09 @ $106.00)

 

(B- , B3)

 

12/15/13

 

12.000

 

414,000

 

547

 

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

 

(B+ , B2)

 

12/15/13

 

10.625

 

566,145

 

50

 

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

 

(CCC+ , B3)

 

02/15/15

 

8.500

 

48,750

 

750

 

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

 

(CCC+ , Caa1)

 

02/15/17

 

9.750

 

712,500

 

 

 

 

 

 

 

 

 

8,576,729

 

 

 

 

 

 

 

 

 

 

 

 

 

Office Equipment (0.1%)

 

 

 

 

 

 

 

 

 

200

 

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

 

(BB , Ba3)

 

09/15/15

 

7.750

 

202,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Packaging (2.9%)

 

 

 

 

 

 

 

 

 

775

 

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

 

(CCC+ , Caa2)

 

03/01/16

 

10.250

 

763,375

 

840

 

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

 

(B , B3)

 

09/15/14

 

8.875

 

863,100

 

1,025

 

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

 

(CCC , Caa2)

 

12/01/12

 

11.000

 

794,375

 

410

 

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

 

(B , B1)

 

11/15/15

 

7.750

 

425,375

 

25

 

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

 

(CCC+ , Caa1)

 

10/15/12

 

8.500

 

24,938

 

775

 

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

 

(CCC+ , Caa1)

 

10/15/14

 

9.875

 

771,125

 

680

 

Owens Brockway Glass Container, Inc., Global Company Guaranteed Notes (Callable 05/15/08 @ $104.13)

 

(B , B3)

 

05/15/13

 

8.250

 

707,200

 

725

 

Pliant Corp., Global Secured Notes (Callable 11/13/07 @ $105.56)

 

(CCC , Caa1)

 

09/01/09

 

11.125

 

656,125

 

1,175

 

Solo Cup Co., Global Senior Subordinated Notes (Callable 02/15/09 @ $104.25)

 

(CCC- , Caa2)

 

02/15/14

 

8.500

 

1,045,750

 

 

 

 

 

 

 

 

 

6,051,363

 

 

 

 

 

 

 

 

 

 

 

 

 

Printing & Publishing (3.3%)

 

 

 

 

 

 

 

 

 

775

 

American Media Operations, Inc., Series B, Global Company Guaranteed Notes (Callable 11/13/07 @ $100.00) §

 

(CCC- , Caa2)

 

05/01/09

 

10.250

 

691,688

 

875

 

CBD Media Holdings Finance, Inc., Global Senior Subordinated Notes (Callable 07/15/08 @ $104.63)

 

(CCC+ , Caa1)

 

07/15/12

 

9.250

 

944,204

 

350

 

Dex Media, Inc., Global Discount Notes (Callable 11/15/08 @ $104.50) +

 

(B , B2)

 

11/15/13

 

0.000

 

330,750

 

750

 

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

 

(CCC- , Caa2)

 

08/15/11

 

11.750

 

781,875

 

625

 

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

 

(B+ , B2)

 

11/15/16

 

8.000

 

626,563

 

2,000

 

Premier Graphics, Inc., Company Guaranteed Notes ^Ø

 

(NR , NR)

 

12/01/05

 

11.500

 

0

 

250

 

R.H. Donnelley Corp., Global Senior Notes (Callable 10/15/12 @ $104.44) ‡

 

(B , B3)

 

10/15/17

 

8.875

 

255,000

 

150

 

R.H. Donnelley Corp. Series A-3, Global Senior Notes (Callable 01/15/11 @ $104.44)

 

(B , B3)

 

01/15/16

 

8.875

 

153,563

 

1,600

 

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

 

(B , B3)

 

01/15/13

 

6.875

 

1,520,000

 

575

 

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

 

(B , B3)

 

01/15/13

 

6.875

 

546,250

 

850

 

Reader’s Digest Association, Inc., Rule 144A, Senior Subordinated Notes (Callable 02/15/12 @ $104.50) ‡

 

(CCC+ , Caa1)

 

02/15/17

 

9.000

 

769,250

 

650

 

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

 

(B- , B3)

 

03/01/15

 

8.250

 

568,750

 

 

 

 

 

 

 

 

 

7,187,893

 

 

 

 

 

 

 

 

 

 

 

 

 

Restaurants (0.6%)

 

 

 

 

 

 

 

 

 

850

 

Buffets, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $106.25)§

 

(CCC , Caa1)

 

11/01/14

 

12.500

 

599,250

 

475

 

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

 

(B- , B3)

 

10/01/12

 

10.000

 

492,813

 

275

 

OSI Restaurant Partners, Inc., Rule 144A, Senior Notes (Callable 06/15/11 @ $105.00) ‡

 

(CCC+ , Caa1)

 

06/15/15

 

10.000

 

244,750

 

 

 

 

 

 

 

 

 

1,336,813

 

 

 

 

 

 

 

 

 

 

 

 

 

Software/Services (0.9%)

 

 

 

 

 

 

 

 

 

1,750

 

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

 

(B- , Caa1)

 

08/15/15

 

10.250

 

1,837,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Steel Producers/Products (1.1%)

 

 

 

 

 

 

 

 

 

575

 

AK Steel Corp., Global Company Guaranteed Notes (Callable 11/13/07 @ $103.88)

 

(B+ , B1)

 

06/15/12

 

7.750

 

585,063

 

725

 

PNA Group Inc., Global Senior Unsecured Notes (Callable 09/01/11 @ $105.38)

 

(B- , B3)

 

09/01/16

 

10.750

 

743,125

 

250

 

PNA Holding Corp., Rule 144A, Senior Notes (Callable 02/15/08 @ $102.00) ‡#

 

(B- , Caa1)

 

02/15/13

 

12.557

 

246,250

 

800

 

RathGibson, Inc., Global Company Guaranteed Notes (Callable 02/15/10 @ $105.63)

 

(B- , B3)

 

02/15/14

 

11.250

 

822,000

 

0

 

WCI Steel Acquisition, Inc., Senior Notes Ø1

 

(NR , NR)

 

05/01/16

 

8.000

 

333

 

 

 

 

 

 

 

 

 

2,396,771

 

 

 

 

 

 

 

 

 

 

 

 

 

Support - Services (5.1%)

 

 

 

 

 

 

 

 

 

400

 

Allied Security Escrow Corp., Global Senior Subordinated Notes (Callable 07/15/08 @ $105.69)

 

(CCC+ , Caa1)

 

07/15/11

 

11.375

 

402,000

 

650

 

ARAMARK Corp., Global Company Guaranteed Notes (Callable 02/01/11 @ $104.25)

 

(B- , B3)

 

02/01/15

 

8.500

 

666,250

 

200

 

ARAMARK Corp., Global, Company Guaranteed Notes (Callable 02/01/09 @ $102) #

 

(B- , B3)

 

02/01/15

 

8.856

 

203,000

 

200

 

Ashtead Capital, Inc., Rule 144A, Notes (Callable 08/15/11 @ $104.50) ‡

 

(B , B1)

 

08/15/16

 

9.000

 

198,250

 

100

 

Education Management LLC, Senior Notes (Callable 06/01/10 @ $104.38)

 

(CCC+ , B2)

 

06/01/14

 

8.750

 

103,000

 

675

 

Education Management LLC, Senior Subordinated Notes (Callable 06/01/11 @ $105.13)

 

(CCC+ , Caa1)

 

06/01/16

 

10.250

 

702,000

 

 


 

300

 

Hertz Corp., Senior Notes (Callable 01/01/10 @ $104.44)

 

(B , B1)

 

01/01/14

 

8.875

 

$

310,500

 

400

 

Hertz Corp., Senior Subordinated Notes (Callable 01/01/11 @ $105.25)

 

(B , B2)

 

01/01/16

 

10.500

 

434,000

 

250

 

Iron Mountain, Inc., Company Guaranteed Notes (Callable 07/01/08 @ $103.31)

 

(B , B3)

 

01/01/16

 

6.625

 

235,000

 

350

 

Iron Mountain, Inc., Company Guaranteed Notes (Callable 11/13/07 @ $102.88)

 

(B , B3)

 

04/01/13

 

8.625

 

356,125

 

1,100

 

Johnsondiversey Holdings, Inc., Global Discount Notes (Callable 11/13/07 @ $105.34) +

 

(CCC+ , Caa1)

 

05/15/13

 

10.670

 

1,116,500

 

475

 

KAR Holdings, Inc., Rule 144A, Senior Notes (Callable 05/01/10 @ $104.38) ‡

 

(CCC , B3)

 

05/01/14

 

8.750

 

457,188

 

425

 

KAR Holdings, Inc., Rule 144A, Senior Surbordinated Notes (Callable 04/01/11 @ $105.00) ‡

 

(CCC , Caa1)

 

05/01/15

 

10.000

 

400,563

 

650

 

Mobile Services Group, Inc., Rule 144A, Senior Notes (Callable 08/01/10 @ $104.88) ‡

 

(B- , B3)

 

08/01/14

 

9.750

 

653,250

 

800

 

Neff Corp., Global Company Guaranteed Notes (Callable 06/01/11 @ $105)

 

(B- , Caa2)

 

06/01/15

 

10.000

 

572,000

 

725

 

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

 

(B- , Caa1)

 

12/01/14

 

9.500

 

696,000

 

1,175

 

Travelport LLC, Global Company Guaranteed Notes (Callable 09/01/11 @ $105.94) §

 

(CCC+ , Caa1)

 

09/01/16

 

11.875

 

1,236,688

 

850

 

United Rentals North America, Inc., Global Senior Subordinated Notes (Callable 02/15/09 @ $103.50)

 

(B , B3)

 

02/15/14

 

7.000

 

871,250

 

650

 

Varietal Distribution Merger Sub, Inc., Rule 144A, Senior Notes (Callable 07/15/11 @ $105.13) ‡

 

(CCC+ , Caa1)

 

07/15/15

 

10.250

 

630,500

 

525

 

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

 

(B+ , B2)

 

10/01/15

 

8.500

 

580,125

 

 

 

 

 

 

 

 

 

10,824,189

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Fixed Line (1.3%)

 

 

 

 

 

 

 

 

 

1,375

 

Level 3 Financing Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $102) #

 

(CCC+ , B3)

 

02/15/15

 

9.150

 

1,316,563

 

375

 

Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $104.63)

 

(CCC+ , B3)

 

11/01/14

 

9.250

 

371,250

 

550

 

PAETEC Holding Corp., Rule 144A, Senior Notes (Callable 07/15/11 @ $104.75) ‡

 

(CCC+ , Caa1)

 

07/15/15

 

9.500

 

552,750

 

500

 

Time Warner Telecom Holdings, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $104.63)

 

(CCC+ , B3)

 

02/15/14

 

9.250

 

521,250

 

 

 

 

 

 

 

 

 

2,761,813

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Integrated/Services (2.4%)

 

 

 

 

 

 

 

 

 

900

 

Cincinnati Bell, Inc., Global Company Guaranteed Notes (Callable 01/15/09 @ $104.19)

 

(B- , B2)

 

01/15/14

 

8.375

 

902,250

 

425

 

Hawaiian Telecom Communications, Inc., Global Company Guaranteed Notes (Callable 05/01/10 @ $106.25) §

 

(CCC , Caa1)

 

05/01/15

 

12.500

 

461,125

 

825

 

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

 

(B- , B1)

 

04/15/14

 

9.500

 

835,313

 

1,000

 

Qwest Communications International, Inc., Global Company Guaranteed Notes (Callable 02/15/08 @ $103.63)

 

(B+ , Ba3)

 

02/15/11

 

7.250

 

1,016,250

 

475

 

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

 

(B , Ba3)

 

02/15/14

 

7.500

 

483,313

 

120

 

Qwest Corp., Global Senior Notes

 

(BBB- , Ba1)

 

06/15/15

 

7.625

 

126,300

 

75

 

Qwest Corp., Global Senior Unsecured Notes

 

(BBB- , Ba1)

 

10/01/14

 

7.500

 

78,375

 

225

 

Windstream Corp., Global Company Guaranteed Notes

 

(BB- , Ba3)

 

08/01/13

 

8.125

 

237,938

 

75

 

Windstream Corp., Global Company Guaranteed Notes (Callable 03/15/12 @ $103.50)

 

(BB- , Ba3)

 

03/15/19

 

7.000

 

73,500

 

725

 

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

 

(BB- , Ba3)

 

08/01/16

 

8.625

 

776,656

 

 

 

 

 

 

 

 

 

4,991,020

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Wireless (1.8%)

 

 

 

 

 

 

 

 

 

375

 

Centennial Cellular Communications Corp., Global Company Guaranteed Notes (Callable 06/15/08 @ $105.06)

 

(CCC+ , B2)

 

06/15/13

 

10.125

 

399,375

 

575

 

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

 

(CCC , Caa1)

 

11/01/14

 

9.375

 

586,500

 

875

 

Dobson Cellular Systems, Inc., Global Secured Notes (Callable 11/1/08 @ $104.94)

 

(B- , B1)

 

11/01/12

 

9.875

 

949,375

 

725

 

MetroPCS Wireless, Inc., Rule 144A, Senior Notes (Callable 11/01/10 @ $104.63) ‡

 

(CCC , Caa1)

 

11/01/14

 

9.250

 

743,125

 

525

 

Rural Cellular Corp., Rule 144A, Senior Subordinated Notes (Callable 06/01/08 @ $102.00) ‡#

 

(CCC , Caa2)

 

06/01/13

 

8.621

 

540,750

 

625

 

Suncom Wireless, Inc., Global Company Guaranteed Notes (Callable 06/01/08 @ $104.25)

 

(CCC , Caa2)

 

06/01/13

 

8.500

 

657,031

 

 

 

 

 

 

 

 

 

3,876,156

 

 

 

 

 

 

 

 

 

 

 

 

 

Theaters & Entertainment (0.5%)

 

 

 

 

 

 

 

 

 

1,025

 

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

 

(CCC+ , B2)

 

03/01/14

 

8.000

 

981,438

 

 

 

 

 

 

 

 

 

 

 

 

 

Transportation Excluding Air/Rail (0.2%)

 

 

 

 

 

 

 

 

 

500

 

Bristow Group, Inc., Rule 144A, Senior Notes (Callable 09/15/12) @ $103.75) ‡

 

(BB , Ba2)

 

09/15/17

 

7.500

 

512,500

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL U.S. CORPORATE BONDS (Cost $188,627,513)

 

 

 

 

 

 

 

183,617,590

 

 

Number

 

 

 

 

 

of Shares

 

 

 

 

 

 

 

 

 

 

 

COMMON STOCKS (0.5%)

 

 

 

Automobile Parts & Equipment (0.0%)

 

 

 

774,557

 

Cambridge Industries Liquidating Trust ^*

 

0

 

1,219

 

Safelite Realty Corp. ^*

 

9,752

 

 

 

9,752

 

 

 

 

 

 

 

Chemicals (0.1%)

 

 

 

4,893

 

Huntsman Corp. *

 

129,616

 

 


 

Consumer - Products (0.0%)

 

 

 

20,689

 

Indesco Liquid Dispensing Co. ^*

 

$

0

 

 

 

 

 

 

 

Electric - Integrated (0.3%)

 

 

 

14,300

 

Mirant Corp. *

 

581,724

 

 

 

 

 

 

 

Gaming (0.0%)

 

 

 

12,000

 

Progressive Gaming International Corp. *

 

60,000

 

 

 

 

 

 

 

Media - Cable (0.0%)

 

 

 

750,000

 

Adelphia Recovery Trust ^*

 

0

 

 

 

 

 

 

 

Packaging (0.0%)

 

 

 

5

 

Pliant Corp. ^*

 

0

 

 

 

 

 

 

 

Printing & Publishing (0.1%)

 

 

 

10,652

 

Mail Well, Inc., Rule 144A ‡*

 

230,403

 

 

 

 

 

 

 

Restaurants (0.0%)

 

 

 

5

 

Roma Restaurant Holdings, Inc., ^*

 

90

 

 

 

 

 

 

 

Steel Producers/Products (0.0%)

 

 

 

2,787

 

WCI Steel Acquisition, Inc. *

 

97,545

 

 

 

 

 

 

 

TOTAL COMMON STOCKS (Cost $1,854,618)

 

1,109,130

 

 

 

 

 

 

 

PREFERRED STOCKS (0.0%)

 

 

 

Media - Cable (0.0%)

 

 

 

7,500

 

Adelphia Communications Corp., 13% cumulative Series B ^* (Cost $0)

 

0

 

 

 

 

 

 

 

WARRANTS (0.0%)

 

 

 

Building Materials (0.0%)

 

 

 

1,250

 

Dayton Superior Corp., strike price $0.01, Rule 144A, expires 06/15/09 ‡^* (Cost $25,000)

 

13

 

 

 

 

 

 

 

TOTAL U.S. SECURITIES (Cost $190,507,131)

 

184,726,733

 

 

Par

 

 

 

Ratings†

 

 

 

 

 

 

 

(000)

 

 

 

(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

FOREIGN CORPORATE BONDS (9.3%)

 

 

 

 

 

 

 

 

 

Apparel/Textiles (0.1%)

 

 

 

 

 

 

 

 

 

$

150

 

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

 

(CCC , B3)

 

11/15/12

 

9.875

 

$

216,522

 

 

 

 

 

 

 

 

 

 

 

 

 

Building Materials (0.2%)

 

 

 

 

 

 

 

 

 

750

 

MAAX Corp., Global Senior Subordinated Notes (Callable 06/15/08 @ $104.88) (Canada)

 

(CC , Caa3)

 

06/15/12

 

9.750

 

378,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Chemicals (0.9%)

 

 

 

 

 

 

 

 

 

1,150

 

Basell AF SCA, Rule 144A, Company Guaranteed Notes (Callable 08/15/10 @ $104.19) (Luxembourg) ‡

 

(B , B2)

 

08/15/15

 

8.375

 

1,055,125

 

850

 

Ineos Group Holdings PLC, Rule 144A, Senior Subordinated Notes (Callable 02/15/11 @ $104.25) (United Kingdom) ‡

 

(B- , B3)

 

02/15/16

 

8.500

 

818,125

 

 

 

 

 

 

 

 

 

1,873,250

 

 

 

 

 

 

 

 

 

 

 

 

 

Electronics (1.0%)

 

 

 

 

 

 

 

 

 

300

 

Avago Technologies Finance PTE, Global Company Guaranteed Notes (Callable 12/01/09 @ $105.06) (Singapore)

 

(B , B2)

 

12/01/13

 

10.375

 

324,000

 

400

 

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

 

(CCC+ , Caa1)

 

12/01/15

 

11.875

 

448,000

 

250

 

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

 

(CCC+ , Caa1)

 

12/15/14

 

8.000

 

173,750

 

1,150

 

NXP BV / NXP Funding LLC, Global Company Guaranteed Notes (Callable 10/15/11 @ $104.75) (Netherlands)

 

(B+ , B3)

 

10/15/15

 

9.500

 

1,075,250

 

225

 

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

 

(BB+ , Ba3)

 

10/15/14

 

7.875

 

217,406

 

 

 

 

 

 

 

 

 

2,238,406

 

 

 

 

 

 

 

 

 

 

 

 

 

Energy - Exploration & Production (0.3%)

 

 

 

 

 

 

 

 

 

550

 

OPTI Canada, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/10 @ $104.13) (Canada) ‡

 

(BB+ , B1)

 

12/15/14

 

8.250

 

556,875

 

 


 

Forestry & Paper (1.0%)

 

 

 

 

 

 

 

 

 

350

 

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

 

(B , B3)

 

06/15/11

 

7.750

 

$

271,250

 

700

 

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

 

(B , B3)

 

04/01/15

 

8.375

 

512,750

 

550

 

Bowater Canada Finance Corp., Global Company Guaranteed Notes (Canada)

 

(B , B3)

 

11/15/11

 

7.950

 

455,125

 

750

 

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

 

(B , B2)

 

04/01/15

 

7.750

 

735,000

 

235

 

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

 

(CCC- , Ca)

 

03/15/12

 

7.750

 

91,650

 

 

 

 

 

 

 

 

 

2,065,775

 

 

 

 

 

 

 

 

 

 

 

 

 

Leisure (0.4%)

 

 

 

 

 

 

 

 

 

750

 

NCL Corp., Global Senior Unsubordinated Notes (Callable 07/15/09 @ $105.31) (Bermuda)

 

(B , B3)

 

07/15/14

 

10.625

 

759,375

 

 

 

 

 

 

 

 

 

 

 

 

 

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 (0.9%)

 

 

 

 

 

 

 

 

 

400

 

Unity Media GMBH, Rule 144A, Senior Notes (Callable 02/15/10 @ $105.06) (Germany) ‡

 

(CCC+ , Caa2)

 

02/15/15

 

10.125

 

601,569

 

393

 

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

 

(CCC+ , B3)

 

06/15/14

 

11.500

 

391,035

 

350

 

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

 

(B- , B2)

 

04/15/14

 

9.750

 

714,855

 

150

 

Virgin Media Finance PLC, Global Company Guaranteed Notes (Callable 08/15/11 @ $104.56) (United Kingdom)

 

(B- , B2)

 

08/15/16

 

9.125

 

156,375

 

 

 

 

 

 

 

 

 

1,863,834

 

 

 

 

 

 

 

 

 

 

 

 

 

Metals & Mining Excluding Steel (0.0%)

 

 

 

 

 

 

 

 

 

800

 

International Utility Structures, Inc., Subordinated Notes (Callable 11/13/07 @ $100.00) (Canada) ^Ø

 

(NR , NR)

 

02/01/08

 

10.750

 

0

 

924

 

International Utility Structures, Inc., Yankee Senior Subordinated Notes (Callable 11/13/07 @ $100.00) (Canada) ^Ø

 

(NR , NR)

 

02/01/08

 

13.000

 

0

 

 

 

 

 

 

 

 

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

Oil Refining & Marketing (0.1%)

 

 

 

 

 

 

 

 

 

150

 

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

 

(BB- , B1)

 

05/01/14

 

6.750

 

144,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Packaging (0.2%)

 

 

 

 

 

 

 

 

 

227

 

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

 

(B+ , B2)

 

03/01/15

 

7.875

 

336,333

 

 

 

 

 

 

 

 

 

 

 

 

 

Pharmaceuticals (0.2%)

 

 

 

 

 

 

 

 

 

500

 

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

 

(B , B3)

 

12/01/13

 

8.875

 

493,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Printing & Publishing (0.6%)

 

 

 

 

 

 

 

 

 

800

 

Quebecor Media Inc., Rule 144A, Private Placement Notes (Callable 03/15/11 @ $103.88) (Canada) ‡

 

(B , B2)

 

03/15/16

 

7.750

 

767,000

 

525

 

Quebecor World, Inc., Rule 144A, Senior Notes (Callable 01/15/11 @ $104.88) (Canada) ‡

 

(B , B3)

 

01/15/15

 

9.750

 

505,312

 

 

 

 

 

 

 

 

 

1,272,312

 

 

 

 

 

 

 

 

 

 

 

 

 

Support - Services (0.5%)

 

 

 

 

 

 

 

 

 

675

 

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

 

(B , B1)

 

08/01/15

 

8.625

 

659,813

 

325

 

Carlson Wagonlit BV, Rule 144A, Bonds (Callable 11/01/07 @ $104.00) (Netherlands) ‡

 

(B- , B2)

 

05/1/15

 

10.002

 

479,531

 

 

 

 

 

 

 

 

 

1,139,344

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Integrated/Services (2.2%)

 

 

 

 

 

 

 

 

 

875

 

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

 

(B- , B3)

 

12/15/14

 

10.750

 

920,938

 

350

 

Hellas II, Rule 144A, Secured Notes (Callable 01/15/08 @ $102.00) (Luxembourg) ‡#

 

(CCC+ , NR)

 

01/15/15

 

11.110

 

340,375

 

775

 

Intelsat Bermuda Ltd., Global Company Guaranteed Notes (Callable 01/15/08 @ $102.00) (Bermuda) #

 

(B , Caa1)

 

01/15/15

 

8.886

 

786,625

 

1,400

 

Intelsat Bermuda Ltd., Global Senior Unsecured Notes (Callable 06/15/11 @ $105.63) (Bermuda)

 

(B- , Caa1)

 

06/15/16

 

11.250

 

1,506,750

 

525

 

Intelsat Ltd., Global Senior Unsecured Notes (Bermuda)

 

(B- , Caa1)

 

11/01/13

 

6.500

 

401,625

 

500

 

Nordic Telephone Co., Holdings, Rule 144A, Notes (Callable 11/16//07 @ $102.00) (Denmark) ‡#

 

(B , B2)

 

05/01/16

 

9.752

 

730,630

 

 

 

 

 

 

 

 

 

4,686,943

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecommunications Equipment (0.1%)

 

 

 

 

 

 

 

 

 

275

 

Nortel Networks Ltd., Rule 144A, Company Guaranteed Notes (Canada) ‡#

 

(B- , B3)

 

07/15/11

 

9.610

 

276,375

 

 

 

 

 

 

 

 

 

 

 

 

 

Transportation Excluding Air/Rail (0.6%)

 

 

 

 

 

 

 

 

 

1,100

 

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

 

(B+ , B1)

 

12/15/13

 

8.500

 

1,135,750

 

250

 

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

 

(BB- , Ba3)

 

12/01/16

 

7.000

 

250,000

 

 

 

 

 

 

 

 

 

1,385,750

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL FOREIGN CORPORATE BONDS (Cost $23,496,249)

 

 

 

 

 

 

19,688,344

 

 


 

SHORT-TERM INVESTMENTS (11.6%)

 

 

 

 

 

 

 

2,463

 

Wells Fargo (Grand Cayman) (Cost $2,463,000)

 

10/01/07

 

4.120

 

$

 2,463,000

 

 

Number
of Shares

 

 

 

 

 

 

 

 

 

22,057,486

 

Securities Lending Investment Fund, a series of the Brown Brothers Investment Trust §§

 

 

 

 

 

22,057,486

 

 

 

 

 

 

 

 

 

 

 

TOTAL SHORT-TERM INVESTMENTS (Cost $24,520,486)

 

 

 

 

 

24,520,486

 

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS AT VALUE (108.0%) (Cost $238,523,866)

 

 

 

 

 

228,935,563

 

 

 

 

 

 

 

 

 

 

 

OTHER LIABILITIES IN EXCESS OF ASSETS (-8.0%)

 

 

 

 

 

(17,004,703

)

 

 

 

 

 

 

 

 

 

 

NET ASSETS (100.0%)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

211,930,860

 

 

Credit default swap contract

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized

 

 

 

Notional

 

Expiration

 

 

 

Receive

 

Annual

 

Protection

 

Appreciation/

 

Currency

 

Amount

 

Date

 

Counterparty

 

(Pay)

 

Rate

 

Bought/Sold

 

Depreciation

 

USD

 

3,200,000

 

6/20/12

 

Lehman Brothers

 

Receive

 

0.00

%

Bought

 

—

 

USD

 

(3,200,000

)

6/20/12

 

Lehman Brothers

 

Pay

 

2.75

%

Bought

 

$

90,010

 

 

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.

‡

Securities exempt for 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, 2007 these securities amounted to a value of $37,477,810 or 17.68 % of net assets.

^

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by, or under the direction of, the Board of Directors.

+

Step Bond — The interest rate stated is the rate as of September 30, 2007 and will reset at a future date.

Ø

Bond is currently in default.

#

Variable rate obligations — The interest rate shown is the rate as of September 30, 2007.

*

Non-income producing security.

§

Security or a portion thereof is out on loan.

§§

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

1

Less than 1,000 par.

 

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 (“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 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. At September 30, 2007, the Fund held 0.09% of its net assets in securities valued at fair value as determined in good faith under procedures established by the Board of Directors with an aggregate cost of $6,006,138 and fair value of $192,797. The Fund’s estimate of fair value assumes a willing buyer and a willing seller neither acting under the compulsion to buy or sell. Although these securities may be resold in privately negotiated transactions, the prices realized on such sales could differ from the prices originally paid by the Fund or the current carrying values, and the difference could be material.

 

Federal Income Tax Cost – At September 30, 2007, 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 $238,523,866, $4,527,066, $(14,115,369) and $(9,588,303) 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 ASSET MANAGEMENT INCOME FUND, INC.

 

 

 

/s/Keith M. Schappert

 

 

Name:

Keith M. Schappert

 

Title:

Chief Executive Officer

 

Date:

November 26, 2007

 

 

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/Keith M. Schappert

 

 

Name:

Keith M. Schappert

 

Title:

Chief Executive Officer

 

Date:

November 26, 2007

 

 

/s/Michael A. Pignataro

 

 

Name:

Michael A. Pignataro

 

Title:

Chief Financial Officer

 

Date:

November 26, 2007