N-Q 1 a07-11698_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:

January 1, 2007 to March 31, 2007

 

 

 


 

Item 1:                                                         Schedule of Investments

 

 


Credit Suisse Asset Management Income Fund, Inc.

Portfolio of Investments

March 31, 2007 (unaudited)

 

 

 

 

 

Ratings †

 

 

 

 

 

 

 

Par

 

 

 

(S&P/Moody’s)

 

 

 

 

 

 

 

(000)

 

 

 

(unaudited)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS (87.5%)

 

 

 

 

 

 

 

 

 

Aerospace/Defense (1.7%)

 

 

 

 

 

 

 

 

 

275

 

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

 

(B , B3)

 

02/01/18

 

7.625

 

$

287,375

 

450

 

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

 

(B , B3)

 

11/01/13

 

6.875

 

456,750

 

100

 

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

 

(B- , B3)

 

04/01/15

 

8.500

 

104,125

 

375

 

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

 

(B- , B3)

 

04/01/15

 

8.875

 

388,594

 

775

 

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

 

(B- , Caa1)

 

04/01/17

 

9.750

 

811,812

 

475

 

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

 

(B- , Caa1)

 

11/15/14

 

7.750

 

507,062

 

725

 

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

 

(BB+ , Ba3)

 

01/15/15

 

5.875

 

707,781

 

150

 

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

 

(B- , B3)

 

07/15/14

 

7.750

 

155,625

 

300

 

TransDigm, Inc., Rule 144A, Senior Subordinated Notes (Callable 07/15/09 @ $105.81) ‡

 

(B- , B3)

 

07/15/14

 

7.750

 

311,250

 

 

 

 

 

 

 

 

 

 

 

3,730,374

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

878,625

 

 

 

 

 

 

 

 

 

 

 

 

 

Apparel/Textiles (0.7%)

 

 

 

 

 

 

 

 

 

675

 

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

 

(B- , B2)

 

01/15/15

 

9.750

 

744,187

 

275

 

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

 

(B- , B2)

 

12/15/12

 

12.250

 

303,187

 

500

 

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

 

(CCC , Caa1)

 

12/01/12

 

10.000

 

438,750

 

 

 

 

 

 

 

 

 

 

 

1,486,124

 

 

 

 

 

 

 

 

 

 

 

 

 

Auto Loans (3.8%)

 

 

 

 

 

 

 

 

 

1,725

 

Ford Motor Credit Co., Global Notes

 

(B , B1)

 

10/01/13

 

7.000

 

1,605,570

 

425

 

Ford Motor Credit Co., Senior Notes

 

(B , B1)

 

08/10/11

 

9.875

 

450,473

 

1,200

 

Ford Motor Credit Co., Notes

 

(B , B1)

 

06/16/08

 

6.625

 

1,196,554

 

1,300

 

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

 

(B , B1)

 

12/15/16

 

8.000

 

1,252,978

 

1,700

 

General Motors Acceptance Corp., Global Notes

 

(BB+ , Ba1)

 

05/15/09

 

5.625

 

1,669,973

 

1,430

 

General Motors Acceptance Corp., Global Notes

 

(BB+ , Ba1)

 

12/01/14

 

6.750

 

1,407,891

 

850

 

GMAC LLC, US Domestic, Senior Unsubordinated Notes

 

(BB+ , Ba1e)

 

12/15/11

 

6.000

 

825,252

 

 

 

 

 

 

 

 

 

 

 

8,408,691

 

 

 

 

 

 

 

 

 

 

 

 

 

Auto Parts & Equipment (3.3%)

 

 

 

 

 

 

 

 

 

525

 

Accuride Corp., Global Company Guaranteed Notes (Callable 02/01/10 @ $104.25)

 

(B- , B3)

 

02/01/15

 

8.500

 

531,562

 

650

 

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

 

(CCC+ , B2)

 

12/01/11

 

9.000

 

679,250

 

800

 

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

 

(CCC+ , Caa1)

 

04/01/13

 

10.750

 

808,000

 

1,250

 

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

 

(B- , B2)

 

07/01/15

 

9.000

 

1,378,125

 

75

 

Goodyear Tire & Rubber Co., Rule 144A, Senior Notes (Callable 05/29/07 @ $100.00) ‡

 

(B- , B2)

 

12/01/09

 

9.140

 

75,656

 

25

 

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

 

(B- , B2)

 

12/01/11

 

8.625

 

27,000

 

700

 

Insurance Auto Auctions, Inc., Global Company Guaranteed Notes (Callable 04/01/09 @ $105.50)

 

(CCC+ , Caa1)

 

04/01/13

 

11.000

 

812,000

 

450

 

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

 

(CCC+ , Caa1)

 

11/01/13

 

9.750

 

439,875

 

775

 

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

 

(CCC+ , Caa1)

 

08/15/14

 

10.000

 

802,125

 

350

 

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

 

(B , B3)

 

11/15/14

 

8.625

 

366,625

 

375

 

TRW Automotive, Inc., Rule 144A, Company Guaranteed Notes ‡

 

(BB- , Ba3)

 

03/15/14

 

7.000

 

369,375

 

375

 

TRW Automotive, Inc., Rule 144A, Company Guaranteed Notes ‡

 

(BB- , Ba3)

 

03/15/17

 

7.250

 

369,375

 

600

 

Visteon Corp., Global Senior Notes

 

(CCC+ , Caa2)

 

08/01/10

 

8.250

 

615,000

 

 

 

 

 

 

 

 

 

 

 

7,273,968

 

 

 

 

 

 

 

 

 

 

 

 

 

Automotive (1.9%)

 

 

 

 

 

 

 

 

 

1,085

 

Ford Motor Co., Global Notes

 

(CCC+ , Caa1)

 

07/16/31

 

7.450

 

844,944

 

1,875

 

General Motors Corp., Global Senior Notes §

 

(B- , Caa1)

 

07/15/13

 

7.125

 

1,757,812

 

1,750

 

General Motors Corp., Global Senior Unsubordinated Notes §

 

(B- , Caa1)

 

07/15/33

 

8.375

 

1,579,375

 

 

 

 

 

 

 

 

 

 

 

4,182,131

 

 

 

 

 

 

 

 

 

 

 

 

 

Beverage (0.2%)

 

 

 

 

 

 

 

 

 

400

 

Constellation Brands, Inc., Company Guaranteed Notes

 

(BB- , Ba3)

 

09/01/16

 

7.250

 

407,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Brokerage (0.2%)

 

 

 

 

 

 

 

 

 

175

 

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

 

(BB- , Ba2)

 

06/15/11

 

8.000

 

185,062

 

315

 

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

 

(BB- , Ba2)

 

12/01/15

 

7.875

 

341,381

 

 

 

 

 

 

 

 

 

 

 

526,443

 

 

 

 

 

 

 

 

 

 

 

 

 

Building & Construction (1.8%)

 

 

 

 

 

 

 

 

 

900

 

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

 

(B- , B3)

 

10/01/15

 

9.500

 

861,750

 

500

 

K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes

 

(BB , Ba1)

 

01/15/16

 

6.250

 

431,250

 

600

 

KB Home, Senior Notes §

 

(BB+ , Ba1)

 

06/15/15

 

6.250

 

540,750

 

625

 

Standard Pacific Corp., Global Senior Notes §

 

(BB , Ba3)

 

08/15/15

 

7.000

 

560,937

 

750

 

Technical Olympic USA, Inc., Global Senior Subordinated Notes §

 

(B- , Caa1)

 

01/15/15

 

7.500

 

534,375

 

425

 

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

 

(B+ , Caa1)

 

03/15/15

 

6.625

 

399,500

 

250

 

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

 

(B , B3)

 

02/15/14

 

7.500

 

220,000

 

500

 

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

 

(B , B3)

 

12/15/12

 

7.625

 

447,500

 

 

 

 

 

 

 

 

 

 

 

3,996,062

 

 


 

Building Materials (3.8%)

 

 

 

 

 

 

 

 

 

750

 

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

 

(CCC , Caa2)

 

03/01/14

 

0.000

 

530,625

 

750

 

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

 

(BB- , B2)

 

08/01/14

 

7.750

 

740,625

 

1,000

 

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

 

(B , B2)

 

10/01/12

 

9.875

 

1,040,000

 

750

 

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

 

(B- , B3)

 

07/01/13

 

10.500

 

791,250

 

300

 

Dayton Superior Corp., Company Guaranteed Notes (Callable 06/15/07 @ $102.17)

 

(CCC , Caa2)

 

06/15/09

 

13.000

 

308,625

 

500

 

Dayton Superior Corp., Global Company Guaranteed Notes (Callable 06/15/07 @ $102.81)

 

(CCC+ , B2)

 

09/15/08

 

10.750

 

515,000

 

375

 

General Cable Corp., Rule 144A, Senior Notes (Callable 04/01/09 @ $102.00) ‡

 

(B+ , B1)

 

04/01/15

 

7.725

 

376,875

 

175

 

General Cable Corp., Rule 144A, Senior Notes (Callable 04/01/12 @ $103.56) ‡

 

(B+ , B1)

 

04/01/17

 

7.125

 

176,969

 

875

 

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

 

(B- , B3)

 

12/15/12

 

7.875

 

883,750

 

400

 

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

 

(CCC+ , B3)

 

02/01/14

 

9.500

 

437,000

 

325

 

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

 

(B- , B1)

 

11/01/11

 

9.000

 

336,375

 

250

 

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

 

(B- , B3)

 

09/01/12

 

9.750

 

226,250

 

700

 

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

 

(CCC+ , B3)

 

09/01/14

 

8.500

 

684,250

 

750

 

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

 

(CCC+ , Caa1)

 

03/01/14

 

0.000

 

547,500

 

950

 

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

 

(CCC+ , Caa1)

 

02/15/12

 

9.000

 

828,875

 

 

 

 

 

 

 

 

 

 

 

8,423,969

 

 

 

 

 

 

 

 

 

 

 

 

 

Chemicals (3.0%)

 

 

 

 

 

 

 

 

 

305

 

BCP Crystal Holdings Corp., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.81)

 

(B , B2)

 

06/15/14

 

9.625

 

347,981

 

455

 

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

 

(B , B2)

 

10/01/14

 

0.000

 

424,856

 

264

 

Huntsman Co. LLC, Global Company Guaranteed Notes (Callable 07/15/08 @ $105.75)

 

(B , Ba3)

 

07/15/12

 

11.500

 

296,340

 

600

 

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

 

(B- , B3)

 

11/15/14

 

0.000

 

507,750

 

750

 

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

 

(BB , Ba2)

 

06/01/13

 

10.500

 

825,000

 

225

 

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

 

(B+ , B1)

 

09/15/14

 

8.000

 

236,812

 

925

 

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

 

(B+ , B1)

 

09/15/16

 

8.250

 

994,375

 

300

 

Millennium America, Inc., Global Company Guaranteed Notes

 

(B+ , B1)

 

06/15/08

 

9.250

 

312,750

 

1,300

 

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

 

(B- , B3)

 

02/01/14

 

0.000

 

1,150,500

 

575

 

PolyOne Corp., Global Company Guaranteed Notes (Callable 05/15/07 @ $105.31)

 

(B+ , B2)

 

05/15/10

 

10.625

 

609,500

 

350

 

PolyOne Corp., Senior Notes §

 

(B+ , B2)

 

05/01/12

 

8.875

 

353,500

 

725

 

Terra Capital, Inc., Rule 144A, Senior Notes (Callable 02/01/12 @ $103.50) ‡

 

(BB- , B1)

 

02/01/17

 

7.000

 

725,000

 

 

 

 

 

 

 

 

 

 

 

6,784,364

 

 

 

 

 

 

 

 

 

 

 

 

 

Computer Hardware (0.4%)

 

 

 

 

 

 

 

 

 

800

 

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

 

(CCC+ , Caa1)

 

05/01/16

 

9.500

 

792,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Consumer - Products (2.4%)

 

 

 

 

 

 

 

 

 

1,175

 

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

 

(CCC+ , B3)

 

10/01/12

 

0.000

 

1,060,437

 

1,000

 

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

 

(CCC+ , Caa1)

 

05/01/14

 

8.750

 

987,500

 

825

 

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

 

(CCC , Caa2)

 

02/01/12

 

8.000

 

773,437

 

575

 

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

 

(B- , B3)

 

05/01/17

 

7.500

 

583,625

 

525

 

Playtex Products, Inc., Global Company Guaranteed Notes (Callable 06/01/07 @ $103.13)

 

(B- , Caa1)

 

06/01/11

 

9.375

 

545,344

 

819

 

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

 

(B- , B3)

 

04/15/12

 

9.250

 

851,760

 

500

 

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

 

(CCC- , Caa2)

 

04/01/11

 

9.500

 

473,750

 

 

 

 

 

 

 

 

 

 

 

5,275,853

 

 

 

 

 

 

 

 

 

 

 

 

 

Diversified Capital Goods (1.9%)

 

 

 

 

 

 

 

 

 

575

 

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

 

(B , B2)

 

12/15/13

 

9.230

 

600,875

 

375

 

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

 

(B , B2)

 

12/15/13

 

8.625

 

399,375

 

400

 

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

 

(CCC+ , B3)

 

08/01/14

 

9.500

 

418,000

 

500

 

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

 

(CCC+ , Caa1)

 

08/01/16

 

11.750

 

539,375

 

575

 

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

 

(B- , B3)

 

12/15/13

 

8.625

 

585,062

 

800

 

Titan International, Inc., Rule 144A, Senior Notes ‡

 

(B , B3)

 

01/15/12

 

8.000

 

827,000

 

900

 

TriMas Corp., Global Company Guaranteed Notes (Callable 06/15/07 @ $104.94)

 

(CCC+ , B3)

 

06/15/12

 

9.875

 

903,375

 

 

 

 

 

 

 

 

 

 

 

4,273,062

 

 

 

 

 

 

 

 

 

 

 

 

 

Electric - Generation (2.0%)

 

 

 

 

 

 

 

 

 

37

 

AES Corp., Senior Notes

 

(B , B1)

 

06/01/09

 

9.500

 

39,055

 

400

 

AES Corp., Senior Notes

 

(B , B1)

 

03/01/14

 

7.750

 

422,000

 

800

 

Calpine Generating Co., Global Secured Notes (Callable 04/01/08 @ $103.50)

 

(D , NR)

 

04/01/10

 

7.756

 

832,000

 

875

 

Dynegy Holdings, Inc., Global Senior Unsecured Notes

 

(B- , B2)

 

05/01/16

 

8.375

 

914,375

 

425

 

Edison Mission Energy, Senior Notes

 

(BB- , B1)

 

06/15/09

 

7.730

 

442,000

 

400

 

Midwest Generation LLC, Global Secured Notes (Callable 05/01/09 @ $104.38)

 

(B+ , Ba2)

 

05/01/34

 

8.750

 

436,000

 

313

 

Midwest Generation LLC, Series B, Global Pass Through Certificates

 

(BB- , Ba2)

 

01/02/16

 

8.560

 

342,594

 

25

 

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

 

(B- , B1)

 

01/15/17

 

7.375

 

25,719

 

425

 

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

 

(B- , B1)

 

02/01/16

 

7.375

 

437,750

 

500

 

Reliant Energy, Inc., Global Secured Notes (Callable 07/15/08 @ $104.75)

 

(B , B2)

 

07/15/13

 

9.500

 

546,875

 

 

 

 

 

 

 

 

 

 

 

4,438,368

 

 

 

 

 

 

 

 

 

 

 

 

 

Electric - Integrated (0.4%)

 

 

 

 

 

 

 

 

 

250

 

CMS Energy Corp., Global Senior Notes

 

(B+ , Ba3)

 

08/01/10

 

7.750

 

266,250

 

200

 

CMS Energy Corp., Senior Notes

 

(B+ , Ba3)

 

01/15/09

 

7.500

 

206,250

 

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

 

9,810

 

300

 

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

 

(B , B1)

 

03/15/14

 

8.625

 

326,019

 

 

 

 

 

 

 

 

 

 

 

808,329

 

 

 

 

 

 

 

 

 

 

 

 

 

Electronics (2.1%)

 

 

 

 

 

 

 

 

 

900

 

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

 

(B- , B2)

 

05/15/13

 

7.750

 

885,375

 

190

 

Ampex Corp., Secured Notes (Callable 05/14/07 @ $100.00) ^

 

(NR , NR)

 

08/15/08

 

12.000

 

189,942

 

1,725

 

Freescale Semiconductor, Inc., Rule 144A, Senior Subordinated Notes (Callable 12/15/11 @ $105.06) ‡

 

(B , B2)

 

12/15/16

 

10.125

 

1,737,937

 

310

 

GrafTech Finance, Inc., Global Company Guaranteed Notes (Callable 05/14/07 @ $105.13)

 

(B- , B2)

 

02/15/12

 

10.250

 

327,050

 

775

 

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

 

(B , Caa1)

 

01/15/16

 

11.250

 

804,062

 

600

 

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

 

(CCC+ , Caa1)

 

01/15/11

 

10.500

 

606,000

 

 

 

 

 

 

 

 

 

 

 

4,550,366

 

 

 

 

 

 

 

 

 

 

 

 

 

Energy - Exploration & Production (2.3%)

 

 

 

 

 

 

 

 

 

775

 

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

 

(CCC+ , Caa1)

 

02/01/17

 

8.875

 

782,750

 

1,611

 

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

 

(BB , Ba2)

 

01/15/16

 

6.875

 

1,639,192

 

475

 

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

 

(B , B1)

 

12/01/17

 

7.250

 

453,625

 

100

 

Forest Oil Corp., Global Company Guaranteed Notes

 

(B+ , B1)

 

05/01/14

 

7.750

 

102,000

 

600

 

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

 

(B , B3)

 

06/01/16

 

9.000

 

639,000

 

800

 

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

 

(B- , B3)

 

07/15/13

 

9.125

 

856,000

 

250

 

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

 

(B , B1)

 

03/15/15

 

6.375

 

247,500

 

375

 

Whiting Petroleum Corp., Global Senior Subordinated Notes (Callable 05/01/08 @ $103.63)

 

(B , B1)

 

05/01/12

 

7.250

 

370,312

 

 

 

 

 

 

 

 

 

 

 

5,090,379

 

 


 

Environmental (1.1%)

 

 

 

 

 

 

 

 

 

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

 

1,555,500

 

875

 

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

 

(CCC , Caa1)

 

04/15/14

 

9.500

 

920,937

 

 

 

 

 

 

 

 

 

 

 

2,476,437

 

 

 

 

 

 

 

 

 

 

 

 

 

Food & Drug Retailers (0.9%)

 

 

 

 

 

 

 

 

 

1,125

 

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

 

(CC , Caa3)

 

08/01/11

 

9.750

 

1,088,437

 

150

 

Ingles Markets, Inc., Global Company Guaranteed Notes (Callable 12/01/07 @ $102.90)

 

(B , B3)

 

12/01/11

 

8.875

 

156,750

 

750

 

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

 

(BB- , B1)

 

06/15/12

 

8.125

 

776,250

 

 

 

 

 

 

 

 

 

 

 

2,021,437

 

 

 

 

 

 

 

 

 

 

 

 

 

Food - Wholesale (1.1%)

 

 

 

 

 

 

 

 

 

525

 

Dole Foods Co., Debentures Notes

 

(B- , Caa1)

 

07/15/13

 

8.750

 

507,937

 

550

 

National Beef Packing Company LLC, Global Senior Notes (Callable 08/01/07 @ $105.25)

 

(B- , Caa1)

 

08/01/11

 

10.500

 

580,250

 

700

 

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

 

(CCC , Caa2)

 

12/01/13

 

8.250

 

764,785

 

250

 

Swift & Co., Global Company Guaranteed Notes (Callable 10/01/07 @ $102.53)

 

(B- , Caa1)

 

10/01/09

 

10.125

 

259,375

 

300

 

Swift & Co., Global Senior Subordinated Notes (Callable 05/14/07 @ $106.25) §

 

(CCC+ , Caa1)

 

01/01/10

 

12.500

 

316,500

 

 

 

 

 

 

 

 

 

 

 

2,428,847

 

 

 

 

 

 

 

 

 

 

 

 

 

Forestry & Paper (3.0%)

 

 

 

 

 

 

 

 

 

525

 

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

 

(B+ , B2)

 

10/15/14

 

7.125

 

522,375

 

850

 

Cellu Tissue Holdings, Inc., Global Secured Notes (Callable 03/15/08 @ $103.66)

 

(B , B2)

 

03/15/10

 

9.750

 

854,250

 

475

 

Georgia-Pacific Corp., Debentures Notes

 

(B , B2)

 

06/15/15

 

7.700

 

489,250

 

200

 

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

 

(B , Ba3)

 

01/15/17

 

7.125

 

201,500

 

775

 

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

 

(B- , B3)

 

08/15/13

 

9.500

 

828,281

 

375

 

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

 

(B- , B3)

 

03/15/14

 

9.750

 

392,812

 

525

 

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

 

(B- , B2)

 

05/01/12

 

10.000

 

576,844

 

600

 

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

 

(CCC+ , B3)

 

05/01/13

 

12.000

 

654,000

 

1,325

 

Smurfit-Stone Container Enterprises, Inc., Global Senior Notes (Callable 07/01/07 @ $104.19)

 

(CCC+ , B3)

 

07/01/12

 

8.375

 

1,334,937

 

675

 

Verso Paper Holdings LLC, Rule 144A, Senior Subordinated Notes (Callable 08/01/11 @ $105.69) ‡

 

(CCC+ , B3)

 

08/01/16

 

11.375

 

710,437

 

125

 

Verso Paper Holdings LLC, Rule 144A, Secured Notes (Callable 08/01/10 @ $104.56) ‡

 

(B , B2)

 

08/01/14

 

9.125

 

130,625

 

 

 

 

 

 

 

 

 

 

 

6,695,311

 

 

 

 

 

 

 

 

 

 

 

 

 

Gaming (4.1%)

 

 

 

 

 

 

 

 

 

550

 

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

 

(B , B2)

 

12/15/14

 

9.375

 

563,750

 

1,000

 

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

 

(CCC+ , B3)

 

08/01/13

 

8.000

 

1,010,000

 

300

 

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

 

(B- , B3)

 

06/01/12

 

8.125

 

304,500

 

475

 

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

 

(B- , B3)

 

11/15/10

 

12.000

 

518,937

 

900

 

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

 

(B- , B3)

 

06/15/14

 

9.750

 

924,750

 

475

 

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

 

(B+ , B1)

 

10/15/10

 

9.500

 

500,531

 

550

 

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

 

(CCC+ , Caa1)

 

01/15/11

 

9.750

 

526,625

 

450

 

MGM Mirage, Inc., Company Guaranteed Notes

 

(B+ , B1)

 

02/01/11

 

8.375

 

475,875

 

700

 

MGM Mirage, Inc., Company Guaranteed Notes

 

(BB , Ba2)

 

01/15/17

 

7.625

 

712,250

 

600

 

Resorts International Hotel and Casino, Inc., Global First Mortgage Notes (Callable 04/13/07 @ $106.00)

 

(NR , NR)

 

03/15/09

 

11.500

 

639,000

 

625

 

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

 

(B- , Caa1)

 

06/01/15

 

8.500

 

634,375

 

500

 

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

 

(B+ , B1)

 

09/15/14

 

9.125

 

516,250

 

175

 

Waterford Gaming LLC, Rule 144A, Senior Notes (Callable 09/15/08 @ $103.55) ‡

 

(BB- , B1)

 

09/15/12

 

8.625

 

186,375

 

1,100

 

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

 

(CCC+ , B3)

 

12/15/14

 

9.625

 

1,109,625

 

500

 

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

 

(BB- , B1)

 

12/01/14

 

6.625

 

497,500

 

 

 

 

 

 

 

 

 

 

 

9,120,343

 

 

 

 

 

 

 

 

 

 

 

 

 

Gas Distribution (1.5%)

 

 

 

 

 

 

 

 

 

250

 

El Paso Natural Gas Co., Series A, Global Senior Notes (Callable 08/01/07 @ $103.81)

 

(BB , Baa3)

 

08/01/10

 

7.625

 

262,145

 

1,150

 

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

 

(BB , Ba3)

 

07/15/11

 

7.750

 

1,229,062

 

525

 

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

 

(B , B1)

 

03/01/16

 

8.250

 

553,875

 

775

 

Williams Companies, Inc., Notes

 

(BB , Ba2)

 

03/15/12

 

8.125

 

846,687

 

400

 

Williams Partners LP, Rule 144A, Bonds ‡

 

(BB+ , Ba3)

 

02/01/17

 

7.250

 

425,000

 

 

 

 

 

 

 

 

 

 

 

3,316,769

 

 

 

 

 

 

 

 

 

 

 

 

 

Health Services (5.9%)

 

 

 

 

 

 

 

 

 

475

 

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

 

(CCC+ , Caa1)

 

01/01/15

 

0.000

 

410,875

 

550

 

CDRV Investors, Inc., Rule 144A, Senior Notes (Callable 12/01/07 @ $102.00) ‡#

 

(CCC+ , Caa1)

 

12/01/11

 

9.860

 

547,250

 

675

 

HCA, Inc., Global Senior Unsecured Notes

 

(B- , Caa1)

 

01/15/15

 

6.375

 

577,969

 

3,200

 

HCA, Inc., Global Senior Unsecured Notes

 

(B- , Caa1)

 

02/15/16

 

6.500

 

2,740,000

 

1,200

 

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

 

(BB- , B2)

 

11/15/16

 

9.250

 

1,297,500

 

350

 

HCA, Inc., Notes

 

(B- , Caa1)

 

10/01/12

 

6.300

 

328,125

 

800

 

Healthsouth Corp., Rule 144A, Senior Notes (Callable 06/15/11 @ $105.38) ‡

 

(CCC+ , Caa1)

 

06/15/16

 

10.750

 

874,000

 

650

 

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

 

(B- , B3)

 

06/15/14

 

8.750

 

676,000

 

100

 

Service Corp International, Rule 144A, Senior Notes ‡

 

(BB- , B1)

 

04/01/15

 

6.750

 

100,375

 

550

 

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

 

(B+ , B1)

 

02/15/13

 

6.250

 

536,250

 

1,425

 

Tenet Healthcare Corp., Global Senior Notes

 

(CCC+ , Caa1)

 

07/01/14

 

9.875

 

1,446,375

 

500

 

Tenet Healthcare Corp., Global Senior Notes

 

(CCC+ , Caa1)

 

02/01/15

 

9.250

 

497,500

 

1,050

 

Triad Hospitals, Inc., Senior Subordinated Notes (Callable 11/15/08 @ $103.50)

 

(B+ , B2)

 

11/15/13

 

7.000

 

1,101,187

 

800

 

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

 

(B- , B3)

 

11/01/11

 

10.125

 

854,000

 

950

 

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

 

(CCC+ , Caa1)

 

10/01/14

 

9.000

 

966,625

 

 

 

 

 

 

 

 

 

 

 

12,954,031

 

 

 

 

 

 

 

 

 

 

 

 

 

Hotels (0.9%)

 

 

 

 

 

 

 

 

 

500

 

Bluegreen Corp., Series B, Company Guaranteed Notes

 

(B- , B3)

 

04/01/08

 

10.500

 

495,000

 

425

 

Felcor Lodging LP, Global Company Guaranteed Notes

 

(B+ , Ba3)

 

06/01/11

 

8.500

 

457,406

 

250

 

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

 

(BB , Ba1)

 

11/01/14

 

6.875

 

255,000

 

825

 

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

 

(BB , Ba1)

 

06/01/16

 

6.750

 

835,312

 

 

 

 

 

 

 

 

 

 

 

2,042,718

 

 

 

 

 

 

 

 

 

 

 

 

 

Household & Leisure Products (1.1%)

 

 

 

 

 

 

 

 

 

650

 

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

 

(CCC+ , B3)

 

01/15/13

 

8.500

 

651,625

 

400

 

Ames True Temper, Inc., Global Company Guaranteed Notes (Callable 01/15/08 @ $101.50)

 

(CCC+ , Caa1)

 

01/15/12

 

7.141

 

411,000

 

600

 

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

 

(CCC- , Caa3)

 

07/15/12

 

10.000

 

585,000

 

325

 

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

 

(B , B2)

 

06/15/14

 

8.250

 

343,687

 

525

 

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

 

(CCC+ , B2)

 

01/15/14

 

7.875

 

540,750

 

 

 

 

 

 

 

 

 

 

 

2,532,062

 

 


 

Leisure (0.7%)

 

 

 

 

 

 

 

 

 

350

 

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

 

(CCC- , Caa3)

 

07/15/11

 

10.500

 

328,125

 

675

 

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

 

(CCC , Caa1)

 

04/15/13

 

9.750

 

646,312

 

700

 

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

 

(CCC , Caa1)

 

06/01/14

 

9.625

 

661,500

 

 

 

 

 

 

 

 

 

 

 

1,635,937

 

 

 

 

 

 

 

 

 

 

 

 

 

Machinery (0.5%)

 

 

 

 

 

 

 

 

 

525

 

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

 

(B , B3)

 

02/15/17

 

8.625

 

557,812

 

450

 

Case New Holland, Inc., Global Company Guaranteed Notes (Callable 08/01/07 @ $104.63)

 

(BB , Ba3)

 

08/01/11

 

9.250

 

474,750

 

 

 

 

 

 

 

 

 

 

 

1,032,562

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Broadcast (2.7%)

 

 

 

 

 

 

 

 

 

600

 

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

 

(B- , B1)

 

12/15/12

 

7.750

 

618,000

 

525

 

Barrington Broadcasting Group LLC, Rule 144A, Senior Subordinated Notes (Callable 08/15/10 @ $105.25) ‡

 

(CCC+ , B3)

 

08/15/14

 

10.500

 

553,875

 

575

 

CMP Susquehanna Corp., Rule 144A, Senior Subordinated Notes (Callable 05/15/10 @ $104.94) ‡

 

(CCC , B3)

 

05/15/14

 

9.875

 

592,250

 

300

 

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

 

(B- , B2)

 

09/15/14

 

8.625

 

322,875

 

800

 

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

 

(CCC- , Caa2)

 

01/15/13

 

10.777

 

838,000

 

675

 

Nexstar Finance, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $103.50)

 

(CCC+ , B3)

 

01/15/14

 

7.000

 

651,375

 

500

 

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

 

(CCC , Caa1)

 

08/01/13

 

9.625

 

504,375

 

485

 

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

 

(CCC+ , B3)

 

03/15/15

 

9.750

 

485,606

 

400

 

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

 

(CCC , Caa1)

 

05/01/13

 

9.989

 

398,000

 

1,100

 

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

 

(CCC- , Caa1)

 

01/15/14

 

8.750

 

1,031,250

 

 

 

 

 

 

 

 

 

 

 

5,995,606

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Cable (5.3%)

 

 

 

 

 

 

 

 

 

1,000

 

Atlantic Broadband Finance LLC, Rule 144A, Global Company Guaranteed Notes (Callable 01/15/09 @ $104.69) ‡

 

(CCC+ , Caa1)

 

01/15/14

 

9.375

 

1,027,500

 

1,325

 

CCH I Holdings LLC, Global Company Guaranteed Notes (Callable 09/30/07 @ $103.92)

 

(CCC- , Caa3)

 

05/15/14

 

11.750

 

1,275,313

 

1,662

 

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

 

(CCC- , Caa2)

 

10/01/15

 

11.000

 

1,732,635

 

1,600

 

CCO Holdings LLC, Global Senior Notes (Callable 11/15/08 @ $104.38)

 

(CCC- , Caa1)

 

11/15/13

 

8.750

 

1,664,000

 

750

 

Charter Communications Holdings LLC, Senior Discount Notes (Callable 04/01/07 @ $100.00)

 

(CCC- , Caa3)

 

04/01/11

 

9.920

 

750,938

 

1,200

 

CSC Holdings, Inc., Global Senior Notes

 

(B+ , B2)

 

04/15/12

 

6.750

 

1,197,000

 

655

 

CSC Holdings, Inc., Senior Notes

 

(B+ , B2)

 

04/01/11

 

7.625

 

674,650

 

175

 

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

 

(BB- , Ba3)

 

03/15/13

 

8.375

 

185,281

 

750

 

EchoStar DBS Corp., Global Company Guaranteed Notes

 

(BB- , Ba3)

 

10/01/14

 

6.625

 

756,563

 

300

 

GCI, Inc., Global Senior Unsecured Notes (Callable 02/15/09 @ $103.63)

 

(B+ , B1)

 

02/15/14

 

7.250

 

301,500

 

250

 

Insight Communications Co., Inc., Senior Discount Notes (Callable 2/15/08 @ $102.04) +

 

(CCC+ , B3)

 

02/15/11

 

0.000

 

261,875

 

259

 

Insight Midwest/Insight Capital, Senior Notes (Callable 10/01/07 @ $100.00)

 

(B , B3)

 

10/01/09

 

9.750

 

263,856

 

1,150

 

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

 

(B , B3)

 

10/15/15

 

8.500

 

1,181,625

 

525

 

Mediacom LLC/Capital Corp., Senior Notes (Callable 02/15/08 @ $100.00)

 

(B , B3)

 

02/15/11

 

7.875

 

527,625

 

 

 

 

 

 

 

 

 

 

 

11,800,361

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

365,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Metals & Mining Excluding Steel (1.3%)

 

 

 

 

 

 

 

 

 

125

 

Aleris International, Inc., Rule 144A, Senior Notes (Callable 12/15/10 @ $104.50) ‡

 

(B- , B3e)

 

12/15/14

 

9.000

 

132,500

 

625

 

Aleris International, Inc., Rule 144A, Senior Subordinated Notes (Callable 12/15/11 @ $105.00) ‡

 

(B- , Caa1)

 

12/15/16

 

10.000

 

656,250

 

500

 

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

 

(B- , B3)

 

06/01/12

 

10.000

 

540,000

 

500

 

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

 

(B+ , Ba3)

 

04/01/15

 

8.250

 

539,375

 

250

 

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

 

(B+ , Ba3)

 

04/01/17

 

8.375

 

270,938

 

675

 

Southern Copper Corp., Global Senior Notes

 

(BBB- , Baa2)

 

07/27/35

 

7.500

 

730,943

 

 

 

 

 

 

 

 

 

 

 

2,870,006

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-Food & Drug Retailers (3.6%)

 

 

 

 

 

 

 

 

 

250

 

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

 

(CCC+ , B2)

 

02/15/12

 

9.000

 

258,125

 

855

 

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

 

(CCC+ , B3)

 

02/15/12

 

10.875

 

868,287

 

500

 

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

 

(B , B3)

 

03/15/17

 

7.625

 

503,750

 

825

 

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

 

(B , Caa1)

 

10/15/12

 

12.000

 

862,125

 

800

 

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

 

(B- , Caa1)

 

06/01/12

 

8.375

 

740,000

 

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)

 

(B+ , B1)

 

10/01/12

 

8.000

 

559,125

 

300

 

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

 

(CCC , B2)

 

11/01/14

 

10.000

 

322,500

 

700

 

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

 

(CCC , Caa1)

 

11/01/16

 

11.375

 

757,750

 

500

 

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

 

(CCC , B3)

 

03/15/12

 

8.625

 

506,250

 

1,000

 

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

 

(B- , B3)

 

10/15/15

 

10.375

 

1,120,000

 

650

 

PCA LLC, Global Senior Notes Ø

 

(NR , NR)

 

08/01/09

 

11.875

 

16,250

 

400

 

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

 

(B- , B3)

 

12/15/13

 

12.000

 

426,000

 

547

 

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

 

(B+ , B2)

 

12/15/13

 

10.625

 

599,649

 

475

 

Yankee Acquisition Corp., Rule 144A, Senior Subordinated Notes (Callable 02/15/12 @ $104.88) ‡

 

(CCC+ , Caa1)

 

02/15/17

 

9.750

 

483,313

 

 

 

 

 

 

 

 

 

 

 

8,023,124

 

 

 

 

 

 

 

 

 

 

 

 

 

Office Equipment (0.2%)

 

 

 

 

 

 

 

 

 

450

 

Xerox Corp., Senior Notes (Callable 06/15/08 @ $103.81)

 

(BB+ , Baa3)

 

06/15/13

 

7.625

 

474,188

 

 

 

 

 

 

 

 

 

 

 

 

 

Oil Refining & Marketing (0.2%)

 

 

 

 

 

 

 

 

 

200

 

Giant Industries, Inc., Company Guaranteed Notes (Callable 05/15/09 @ $104.00)

 

(B- , B2)

 

05/15/14

 

8.000

 

217,000

 

162

 

Giant Industries, Inc., Global Company Guaranteed Notes (Callable 05/15/07 @ $105.50)

 

(B- , B2)

 

05/15/12

 

11.000

 

172,530

 

 

 

 

 

 

 

 

 

 

 

389,530

 

 

 

 

 

 

 

 

 

 

 

 

 

Packaging (2.8%)

 

 

 

 

 

 

 

 

 

840

 

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

 

(CCC+ , B2)

 

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

 

1,037,813

 

775

 

Covalence Specialty Materials Corp., Rule 144A, Senior Subordinated Notes (Callable 03/01/11 @ $105.13) ‡

 

(CCC+ , B3)

 

03/01/16

 

10.250

 

778,875

 

410

 

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

 

(B , B1)

 

11/15/15

 

7.750

 

428,450

 

25

 

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

 

(CCC+ , Caa1)

 

10/15/12

 

8.500

 

25,500

 

775

 

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

 

(CCC+ , Caa1)

 

10/15/14

 

9.875

 

794,375

 

680

 

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

 

(B , B3)

 

05/15/13

 

8.250

 

712,300

 

500

 

Pliant Corp., Global Secured Notes (Callable 06/01/07 @ $105.56)

 

(CCC , Caa1)

 

09/01/09

 

11.125

 

502,500

 

1,175

 

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

 

(CCC- , Caa2)

 

02/15/14

 

8.500

 

1,006,094

 

 

 

 

 

 

 

 

 

 

 

6,149,007

 

 


 

Printing & Publishing (3.5%)

 

 

 

 

 

 

 

 

 

775

 

American Media Operations, Inc., Series B, Global Company Guaranteed Notes (Callable 05/01/07 @ $100.00)

 

(CCC- , Caa2)

 

05/01/09

 

10.250

 

736,250

 

875

 

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

 

(CCC+ , Caa1)

 

07/15/12

 

9.250

 

920,938

 

350

 

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

 

(B , B3)

 

11/15/13

 

0.000

 

327,688

 

750

 

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

 

(CCC- , Caa2)

 

08/15/11

 

11.750

 

793,125

 

2,000

 

Premier Graphics, Inc., Company Guaranteed Notes ^Ø

 

(NR , NR)

 

12/01/05

 

11.500

 

0

 

2,000

 

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

 

(B , B3)

 

01/15/13

 

6.875

 

1,955,000

 

150

 

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

 

(B , B3)

 

01/15/16

 

8.875

 

160,125

 

725

 

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

 

(CCC+ , Caa1)

 

02/15/17

 

9.000

 

701,438

 

775

 

Valassis Communications, Inc., Rule 144A, Senior Notes (Callable 03/01/11 @ $104.13) ‡

 

(B- , B3)

 

03/01/15

 

8.250

 

765,313

 

725

 

Vertis, Inc., Series B, Global Company Guaranteed Notes (Callable 06/15/07 @ $100.00) §

 

(CCC , Caa1)

 

06/15/09

 

10.875

 

735,875

 

550

 

WDAC Subsidiary Corp., Rule 144A, Senior Notes (Callable 12/01/09 @ $104.19) ‡

 

(CCC+ , Caa1)

 

12/01/14

 

8.375

 

570,625

 

 

 

 

 

 

 

 

 

 

 

7,666,377

 

 

 

 

 

 

 

 

 

 

 

 

 

Restaurants (1.1%)

 

 

 

 

 

 

 

 

 

850

 

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

 

(CCC , Caa1)

 

11/01/14

 

12.500

 

888,250

 

875

 

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

 

(B- , B3)

 

10/01/12

 

10.000

 

937,344

 

600

 

Friendly Ice Cream Corp., Global Senior Notes (Callable 06/15/08 @ $104.19)

 

(CCC+ , Caa1)

 

06/15/12

 

8.375

 

592,500

 

 

 

 

 

 

 

 

 

 

 

2,418,094

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

1,918,438

 

 

 

 

 

 

 

 

 

 

 

 

 

Steel Producers/Products (1.5%)

 

 

 

 

 

 

 

 

 

125

 

AK Steel Corp., Company Guaranteed Notes (Callable 05/14/07 @ $100.00)

 

(B+ , B2)

 

02/15/09

 

7.875

 

125,625

 

575

 

AK Steel Corp., Global Company Guaranteed Notes (Callable 06/15/07 @ $103.88)

 

(B+ , B2)

 

06/15/12

 

7.750

 

587,219

 

775

 

Egden Acquisition Corp., Global Secured Notes (Callable 02/01/08 @ $104.94)

 

(B- , B3)

 

02/01/11

 

9.875

 

796,313

 

725

 

PNA Group, Inc., Rule 144A, Senior Notes (Callable 09/01/11 @ $105.38) ‡

 

(B- , B3)

 

09/01/16

 

10.750

 

783,000

 

250

 

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

 

(B- , Caa1)

 

02/15/13

 

12.360

 

257,500

 

800

 

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

 

(B- , B3)

 

02/15/14

 

11.250

 

848,000

 

0

 

WCI Steel Acquisition, Inc., Senior Notes

 

(NR , NR)

 

05/01/16

 

8.000

 

331

 

250

 

WCI Steel, Escrow Ø

 

(NR , NR)

 

12/01/04

 

10.000

 

8,175

 

 

 

 

 

 

 

 

 

 

 

3,406,163

 

 

 

 

 

 

 

 

 

 

 

 

 

Support - Services (4.8%)

 

 

 

 

 

 

 

 

 

400

 

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

 

(CCC+ , Caa1)

 

07/15/11

 

11.375

 

410,000

 

200

 

Aramark Corp., Rule 144A, Senior Notes (Callable 02/01/09 @ $102.00) ‡

 

(B- , B3e)

 

02/01/15

 

8.860

 

206,500

 

300

 

Aramark Corp., Rule 144A, Senior Notes (Callable 02/01/11 @ $104.25) ‡

 

(B- , B)

 

02/01/15

 

8.500

 

313,500

 

200

 

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

 

(B , B3)

 

08/15/16

 

9.000

 

214,000

 

684

 

Di Finance/Dyncorp International, Global Senior Subordinated Notes (Callable 02/15/09 @ $104.75)

 

(B , B3)

 

02/15/13

 

9.500

 

731,880

 

100

 

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

 

(CCC+ , B2)

 

06/01/14

 

8.750

 

105,750

 

675

 

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

 

(CCC+ , Caa1)

 

06/01/16

 

10.250

 

735,750

 

300

 

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

 

(B , B1)

 

01/01/14

 

8.875

 

324,750

 

400

 

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

 

(B , B2)

 

01/01/16

 

10.500

 

458,000

 

800

 

HydroChem Industrial Services, Rule 144A, Senior Subordinated Notes (Callable 02/15/09 @ $104.63) ‡

 

(CCC+ , B3)

 

02/15/13

 

9.250

 

824,000

 

350

 

Iron Mountain, Inc., Company Guaranteed Notes (Callable 04/01/07 @ $102.88)

 

(B , B3)

 

04/01/13

 

8.625

 

361,900

 

250

 

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

 

(B , B3)

 

01/01/16

 

6.625

 

242,500

 

1,100

 

Johnsondiversey Holdings, Inc., Global Discount Notes (Callable 05/15/07 @ $105.34) +

 

(CCC+ , Caa1)

 

05/15/13

 

0.000

 

1,141,250

 

250

 

Language Line Holdings, Inc., Global Senior Subordinated Notes (Callable 06/15/08 @ $105.56)

 

(CCC+ , B3)

 

06/15/12

 

11.125

 

266,875

 

650

 

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

 

(B- , B3)

 

08/01/14

 

9.750

 

690,625

 

725

 

Rental Service Corp., Rule 144A, Bonds (Callable 12/01/10 @ $104.75) ‡

 

(B- , Caa1)

 

12/01/14

 

9.500

 

775,750

 

1,175

 

TDS Investor Corp., Rule 144A, Senior Subordinated Notes (Callable 09/01/11 @ $105.94) ‡

 

(CCC+ , Caa1)

 

09/01/16

 

11.875

 

1,293,969

 

1,050

 

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

 

(B , B3)

 

02/15/14

 

7.000

 

1,052,625

 

525

 

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

 

(B+ , B3)

 

10/01/15

 

8.500

 

552,563

 

 

 

 

 

 

 

 

 

 

 

10,702,187

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Fixed Line (1.0%)

 

 

 

 

 

 

 

 

 

1,350

 

Level 3 Financing, Inc., Rule 144A, Senior Notes (Callable 02/15/09 @ $102.00) ‡

 

(CCC+ , B3)

 

02/15/15

 

9.150

 

1,366,875

 

225

 

Level 3 Financing, Inc., Rule 144A, Senior Notes (Callable 11/01/10 @ $104.63) ‡

 

(CCC+ , B3)

 

11/01/14

 

9.250

 

232,313

 

500

 

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

 

(CCC+ , B3)

 

02/15/14

 

9.250

 

537,500

 

 

 

 

 

 

 

 

 

 

 

2,136,688

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Integrated/Services (2.1%)

 

 

 

 

 

 

 

 

 

925

 

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

 

(B- , B2)

 

01/15/14

 

8.375

 

950,438

 

425

 

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

 

(CCC , B3)

 

05/01/15

 

12.500

 

467,500

 

525

 

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

 

(B- , B1)

 

04/15/14

 

9.500

 

555,188

 

545

 

Intelsat Corp., Global Company Guaranteed Notes (Callable 08/15/09 @ $104.50)

 

(B , B2)

 

08/15/14

 

9.000

 

592,688

 

1,025

 

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

 

(B+ , Ba3)

 

02/15/11

 

7.250

 

1,054,469

 

300

 

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

 

(B , Ba3)

 

02/15/14

 

7.500

 

310,500

 

120

 

Qwest Corp., Global Senior Notes

 

(BB+ , Ba1)

 

06/15/15

 

7.625

 

128,700

 

75

 

Qwest Corp., Global Senior Unsecured Notes

 

(BB+ , Ba1)

 

10/01/14

 

7.500

 

79,500

 

225

 

Windstream Corp., Global Company Guaranteed Notes

 

(BB- , Ba3)

 

08/01/13

 

8.125

 

244,688

 

225

 

Windstream Corp., Global Company Guaranteed Notes (Callable 8/01/11 @ $104.31)

 

(BB- , Ba3)

 

08/01/16

 

8.625

 

247,219

 

 

 

 

 

 

 

 

 

 

 

4,630,890

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Wireless (2.6%)

 

 

 

 

 

 

 

 

 

150

 

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

 

(CCC , B2)

 

06/15/13

 

10.125

 

162,750

 

675

 

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

 

(CCC , Caa1)

 

01/01/13

 

10.000

 

731,531

 

800

 

Cricket Communications, Inc., Rule 144A, Senior Notes (Callable 11/01/10 @ $104.69) ‡

 

(CCC , Caa2)

 

11/01/14

 

9.375

 

852,000

 

1,175

 

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

 

(CCC , Caa1)

 

10/01/13

 

8.875

 

1,216,125

 

350

 

Horizon PCS, Inc., Global Company Guaranteed Notes (Callable 07/15/08 @ $105.69)

 

(B- , B3e)

 

07/15/12

 

11.375

 

389,375

 

725

 

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

 

(CCC , Caa2)

 

11/01/14

 

9.250

 

770,313

 

925

 

Rural Cellular Corp., Global Senior Subordinated Notes (Callable 01/15/08 @ $101.63) §

 

(CCC , Caa2)

 

01/15/10

 

9.750

 

957,375

 

625

 

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

 

(CCC- , Caa2)

 

06/01/13

 

8.500

 

646,875

 

 

 

 

 

 

 

 

 

 

 

5,726,344

 

 

 

 

 

 

 

 

 

 

 

 

 

Theaters & Entertainment (0.5%)

 

 

 

 

 

 

 

 

 

450

 

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

 

(CCC+ , B3)

 

03/01/14

 

8.000

 

460,125

 

750

 

Cinemark, Inc., Global Senior Discount Notes (Callable 03/15/09 @ $104.88) +

 

(CCC+ , B3)

 

03/15/14

 

0.000

 

690,000

 

 

 

 

 

 

 

 

 

 

 

1,150,125

 

 

 

 

 

 

 

 

 

 

 

 

 

Transportation Excluding Air/Rail (0.1%)

 

 

 

 

 

 

 

 

 

195

 

H-Line Finance Holding Corp., Global Senior Discount Notes (Callable 04/01/08 @ $105.50) +

 

(CCC+ , Caa1)

 

04/01/13

 

0.000

 

186,225

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL U.S. CORPORATE BONDS (Cost $190,240,936)

 

 

 

 

 

 

 

193,591,665

 

 


 

Number

 

 

 

 

 

of Shares

 

 

 

 

 

 

 

 

 

 

 

COMMON STOCKS (0.9%) ^

 

 

 

Auto 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. *

 

93,407

 

 

 

 

 

 

 

Consumer - Products (0.0%)

 

 

 

20,689

 

Indesco Liquid Dispensing Co. ^*

 

0

 

 

 

 

 

 

 

Electric - Integrated (0.3%)

 

 

 

14,300

 

Mirant Corp. *

 

578,578

 

 

 

 

 

 

 

Food - Wholesale (0.4%)

 

 

 

590

 

Crunch Equity Holdings LLC *

 

944,648

 

 

 

 

 

 

 

Gaming (0.0%)

 

 

 

12,000

 

Progressive Gaming International Corp. *

 

54,000

 

 

 

 

 

 

 

Packaging (0.0%)

 

 

 

4

 

Pliant Corp. ^*

 

0

 

 

 

 

 

 

 

Printing & Publishing (0.1%)

 

 

 

10,652

 

Mail Well, Inc., Rule 144A ‡*

 

258,844

 

 

 

 

 

 

 

Restaurants (0.0%)

 

 

 

5

 

Roma Restaurant Holdings, Inc.*

 

90

 

 

 

 

 

 

 

Steel Producers/Products (0.0%)

 

 

 

2,787

 

WCI Steel Acquisition, Inc.*

 

83,610

 

 

 

 

 

 

 

TOTAL COMMON STOCKS (Cost $1,174,661)

 

2,022,929

 

 

 

 

 

 

 

PREFERRED STOCKS (0.0%)

 

 

 

 

 

 

 

Media (0.0%)

 

 

 

7,500

 

Adelphia Communications Corp., 13% cumulative exchangeable Series B (Callable 07/15/07 @
$102.17) *

 

1,725

 

 

 

(Cost $750,000)

 

 

 

 

 

 

 

 

 

WARRANTS (0.0%)

 

 

 

 

 

 

 

Building Materials (0.0%)

 

 

 

1,250

 

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

 

13

 

 

 

(Cost $25,000)

 

 

 

 

 

 

 

 

 

TOTAL DOMESTIC SECURITIES (Cost $192,190,597)

 

195,616,332

 

 

Par

 

 

 

 

 

 

 

 

 

 

 

(000)

 

 

 

 

 

Maturity

 

Rate%

 

 

 

FOREIGN CORPORATE BONDS (9.5%)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Apparel/Textiles (0.1%)

 

 

 

 

 

 

 

 

 

150

 

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

 

(CCC+ , B3)

 

11/15/12

 

9.875

 

206,661

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

517,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Chemicals (0.9%)

 

 

 

 

 

 

 

 

 

700

 

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

 

(B- , B2)

 

08/15/15

 

8.375

 

733,250

 

850

 

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

 

(B- , B2)

 

02/15/16

 

8.500

 

818,125

 

300

 

Rhodia SA, Global Senior Unsecured Notes (Callable 06/01/07 @ $104.44) (France)

 

(B- , B3)

 

06/01/11

 

8.875

 

314,250

 

 

 

 

 

 

 

 

 

 

 

1,865,625

 

 

 

 

 

 

 

 

 

 

 

 

 

Electronics (1.0%)

 

 

 

 

 

 

 

 

 

300

 

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

 

(B , B2)

 

12/01/13

 

10.125

 

326,250

 

400

 

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

 

(CCC+ , Caa1)

 

12/01/15

 

11.875

 

452,000

 

350

 

Celestica, Inc., Senior Subordinated Notes (Callable 07/01/08 @ $103.94) (Canada)

 

(B- , B2)

 

07/01/11

 

7.875

 

340,375

 

 

725

 

NXP BV/NXP Funding LLC, Rule 144A, Senior Notes (Callable 10/15/11 @ $104.75) (Netherlands) ‡

 

(B+ , B2)

 

10/15/15

 

9.500

 

752,188

 

175

 

NXP BV/NXP Funding LLC,  Rule 144A, Secured Notes (Callable 10/15/10 @ $103.94) (Netherlands) ‡

 

(BB+ , Ba2)

 

10/15/14

 

7.875

 

181,563

 

250

 

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

 

(CCC+ , B3)

 

12/15/14

 

8.000

 

156,875

 

 

 

 

 

 

 

 

 

 

 

2,209,251

 

 

 

 

 

 

 

 

 

 

 

 

 

Energy - Exploration & Production (0.2%)

 

 

 

 

 

 

 

 

 

325

 

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

 

(BB , B1)

 

12/15/14

 

8.250

 

339,625

 

 

 

 

 

 

 

 

 

 

 

 

 

Food & Drug Retailers (0.3%)

 

 

 

 

 

 

 

 

 

575

 

Jean Coutu Group, Inc. (PJC), Global Senior Subordinated Notes (Callable 08/01/09 @ $104.25) (Canada)

 

(B- , Caa2)

 

08/01/14

 

8.500

 

626,750

 

 

 

 

 

 

 

 

 

 

 

 

 

Forestry & Paper (1.2%)

 

 

 

 

 

 

 

 

 

350

 

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

 

(B+ , B3)

 

06/15/11

 

7.750

 

336,000

 

700

 

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

 

(B+ , B3)

 

04/01/15

 

8.375

 

661,500

 

550

 

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

 

(B+ , B3)

 

11/15/11

 

7.950

 

537,625

 

184

 

Smurfit Kappa Funding PLC, Global Senior Notes (Callable 10/1/07 @ $104.81) (Ireland)

 

(B , B2)

 

10/01/12

 

9.625

 

196,420

 

750

 

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

 

(B , B2)

 

04/01/15

 

7.750

 

768,750

 

235

 

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

 

(CCC- , Ca)

 

03/15/12

 

7.750

 

143,938

 

 

 

 

 

 

 

 

 

 

 

2,644,233

 

 

 

 

 

 

 

 

 

 

 

 

 

Leisure (0.3%)

 

 

 

 

 

 

 

 

 

750

 

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

 

(B , B3)

 

07/15/14

 

10.625

 

746,250

 

 

 

 

 

 

 

 

 

 

 

 

 

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 (1.0%)

 

 

 

 

 

 

 

 

 

375

 

Kabel Deutschland GMBH, Global Company Guaranteed Notes (Callable 07/01/09 @ $105.31) (Germany)

 

(B- , B2)

 

07/01/14

 

10.625

 

420,000

 

393

 

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

 

(CCC+ , B3)

 

06/15/14

 

0.000

 

370,403

 

400

 

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

 

(CCC+ , Caa2)

 

02/15/15

 

10.125

 

587,703

 

350

 

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

 

(B- , B2)

 

04/15/14

 

9.750

 

727,661

 

150

 

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

 

(B- , B2)

 

08/15/16

 

9.125

 

159,000

 

 

 

 

 

 

 

 

 

 

 

2,264,767

 

 

 

 

 

 

 

 

 

 

 

 

 

Metals & Mining Excluding Steel (0.0%)

 

 

 

 

 

 

 

 

 

800

 

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

 

(NR , NR)

 

02/01/08

 

10.750

 

0

 

924

 

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

 

(NR , NR)

 

02/01/08

 

13.000

 

0

 

 

 

 

 

 

 

 

 

 

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

Packaging (0.3%)

 

 

 

 

 

 

 

 

 

400

 

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

 

(B- , Caa1)

 

03/01/15

 

7.875

 

559,083

 

 

 

 

 

 

 

 

 

 

 

 

 

Pharmaceuticals (0.4%)

 

 

 

 

 

 

 

 

 

400

 

Biovail Corp., Yankee Senior Subordinated Notes (Canada)

 

(BB- , B1)

 

04/01/10

 

7.875

 

407,876

 

500

 

Elan Finance PLC, Rule 144A, Global Company Guaranteed Notes (Callable 12/01/10 @ $104.44) (Ireland) ‡

 

(B , B3)

 

12/01/13

 

8.875

 

510,625

 

 

 

 

 

 

 

 

 

 

 

918,501

 

 

 

 

 

 

 

 

 

 

 

 

 

Printing & Publishing (0.3%) 

 

 

 

 

 

 

 

 

 

525

 

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

 

(B+ , B2)

 

01/15/15

 

9.750

 

553,875

 

 

 

 

 

 

 

 

 

 

 

 

 

Support - Services (0.5%)

 

 

 

 

 

 

 

 

 

675

 

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

(B , B3)

 

08/01/15

 

8.625

 

708,750

 

325

 

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

 

(B- , B2)

 

05/15/15

 

9.306

 

456,959

 

 

 

 

 

 

 

 

 

 

 

1,165,709

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Integrated/Services (2.1%)

 

 

 

 

 

 

 

 

 

825

 

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

 

(B- , B3)

 

12/15/14

 

10.750

 

899,250

 

350

 

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

 

(CCC+ , C)

 

01/15/15

 

11.115

 

361,375

 

1,400

 

Intelsat Bermuda Ltd., Rule 144A , Senior Notes (Callable 06/15/11 @ $105.63) (Bermuda) ‡

 

(B , Caa1)

 

06/15/16

 

11.250

 

1,596,000

 

250

 

Intelsat Bermuda Ltd., Rule 144A, Senior Unsecured Notes (Callable 01/15/08 @ $102.00) (Bermuda) ‡

 

(B , Caa1)

 

01/15/15

 

8.872

 

256,250

 

975

 

Intelsat Ltd., Global Notes (Bermuda)

 

(B , Caa1)

 

04/15/12

 

7.625

 

940,875

 

500

 

Nordic Tel Co., Holdings, Rule 144A, Notes (Callable 05/01/07 @ $102.00) (Denmark) ‡#

 

(B , B2)

 

05/01/16

 

8.352

 

681,382

 

 

 

 

 

 

 

 

 

 

 

4,735,132

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecommunications Equipment (0.1%)

 

 

 

 

 

 

 

 

 

275

 

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

 

(B- , B3)

 

07/15/11

 

9.731

 

295,625

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

1,133,000

 

250

 

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

 

(BB- , Ba3)

 

12/01/16

 

7.000

 

248,750

 

 

 

 

 

 

 

 

 

 

 

1,381,750

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL FOREIGN CORPORATE BONDS (Cost $22,911,549)

 

 

 

 

 

 

 

21,030,337

 

 

 

 

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS (10.0%)

 

 

 

 

 

 

 

 

 

920

 

Citibank (Nassau) overnight deposit

 

 

 

04/02/07

 

4.440

 

$

920,000

 

 

 

(Cost $920,000)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Number

 

 

 

 

 

 

 

 

 

 

 

of Shares

 

 

 

 

 

 

 

 

 

 

 

21,094,816

 

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

 

 

 

 

 

 

 

21,094,816

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL SHORT-TERM INVESTMENTS (Cost 22,014,816)

 

 

 

 

 

 

 

22,014,816

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS (107.9%) (Cost $237,116,962)

 

 

 

 

 

 

 

238,661,485

 

 

 

 

 

 

 

 

 

 

 

 

 

LIABILITIES IN EXCESS OF OTHER ASSETS (7.9%)

 

 

 

 

 

 

 

(17,529,851

)

 

 

 

 

 

 

 

 

 

 

 

 

NET ASSETS (100.0%)

 

 

 

 

 

 

 

 

 

 

 

Applicable to 49,904,551 issued and outstanding

 

 

 

 

 

 

 

 

 

 

 

$.001 par value shares (authorized 100,000,000 shares)

 

 

 

 

 

$

221,131,634

 

 

†

 

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 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, 2007, these securities amounted to a value of $47,295,400 or 21.39% 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 March 31, 2007 and will reset at a future date.

Ø

 

Defaulted security.

#

 

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, 2007.

*

 

Non-income producing security.

§

 

Security or a portion thereof is out on loan.

P

 

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

 

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. 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. 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 March 31, 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 $5,263,138 and fair value of $199,797. 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 March 31, 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 appreciation from investments were $237,116,962, 9,848,914, (8,304,391), and $1,544,523 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:

May 23, 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:

May 23, 2007

 

/s/Michael A. Pignataro

 

Name:

Michael A. Pignataro

Title:

Chief Financial Officer

Date:

May 23, 2007