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, 2008 to September 30, 2008

 

 



 

Item 1:     Schedule of Investments

 



 

Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments

September 30, 2008 (unaudited)

 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS (87.5%)

 

 

 

 

 

 

 

 

 

Aerospace & Defense (1.6%)

 

 

 

 

 

 

 

 

 

$

950

 

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

 

(BB+, Ba3)

 

07/01/18

 

8.500

 

$

923,875

 

275

 

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

 

(B, B3)

 

02/01/18

 

7.625

 

288,750

 

375

 

Hawker Beechcraft Acquisition Co., Global Company Guaranteed Notes (Callable 04/01/11 @ $104.44)§

 

(B-, B3)

 

04/01/15

 

8.875

 

341,250

 

825

 

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

 

(B-, Caa1)

 

04/01/17

 

9.750

 

742,500

 

400

 

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

 

(B-, B3)

 

07/15/14

 

7.750

 

378,000

 

 

 

 

 

 

 

 

 

 

 

2,674,375

 

Agriculture (0.4%)

 

 

 

 

 

 

 

 

 

725

 

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

 

(B-, Caa1)

 

11/01/10

 

11.000

 

735,875

 

 

 

 

 

 

 

 

 

 

 

 

 

Auto Loans (3.3%)

 

 

 

 

 

 

 

 

 

750

 

Ford Motor Credit Co. LLC, Global Senior Unsecured Notes

 

(B-, B1)

 

06/15/10

 

7.875

 

572,700

 

1,725

 

Ford Motor Credit Co. LLC, Global Senior Unsecured Notes§

 

(B-, B1)

 

10/01/13

 

7.000

 

1,061,094

 

425

 

Ford Motor Credit Co. LLC, Senior Unsecured Notes

 

(B-, B1)

 

08/10/11

 

9.875

 

293,365

 

850

 

Ford Motor Credit Co. LLC, Senior Unsecured Notes

 

(B-, B1)

 

12/15/16

 

8.000

 

538,129

 

750

 

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

 

(B-, B3)

 

04/01/11

 

6.000

 

355,461

 

2,650

 

GMAC LLC, Senior Unsecured Notes§

 

(B-, B3)

 

03/02/11

 

7.250

 

1,253,959

 

75

 

GMAC LLC, Senior Unsecured Notes

 

(B-, B3)

 

12/15/11

 

6.000

 

33,368

 

1,520

 

GMAC LLC, Senior Unsecured Notes§

 

(B-, B3)

 

12/01/14

 

6.750

 

583,955

 

900

 

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

 

(B+, B3)

 

12/15/14

 

9.500

 

832,500

 

 

 

 

 

 

 

 

 

 

 

5,524,531

 

Auto Parts & Equipment (2.1%)

 

 

 

 

 

 

 

 

 

850

 

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

 

(B+, B1)

 

12/01/11

 

9.000

 

879,750

 

500

 

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

 

(B+, B1)

 

03/01/17

 

7.875

 

267,500

 

800

 

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

 

(CCC+, Caa1)

 

04/01/13

 

10.750

 

664,000

 

737

 

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

 

(BB-, Ba3)

 

07/01/15

 

9.000

 

733,315

 

485

 

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

 

(B, B3)

 

12/01/13

 

8.500

 

358,294

 

375

 

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

 

(B, B3)

 

11/15/14

 

8.625

 

300,000

 

127

 

Visteon Corp., Global Senior Unsecured Notes§

 

(B-, Caa2)

 

08/01/10

 

8.250

 

106,045

 

329

 

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

 

(B-, Caa1)

 

12/31/16

 

12.250

 

199,045

 

 

 

 

 

 

 

 

 

 

 

3,507,949

 

Automotive (1.0%)

 

 

 

 

 

 

 

 

 

1,260

 

Ford Motor Co., Global Senior Unsecured Notes§

 

(CCC, Caa1)

 

07/16/31

 

7.450

 

548,100

 

600

 

General Motors Corp., Global Senior Unsecured Notes§

 

(B-, Caa2)

 

01/15/11

 

7.200

 

354,000

 

1,750

 

General Motors Corp., Senior Unsecured Notes§

 

(B-, Caa2)

 

07/15/13

 

7.125

 

809,375

 

50

 

General Motors Corp., Senior Unsecured Notes§

 

(B-, Caa2)

 

07/15/33

 

8.375

 

20,250

 

 

 

 

 

 

 

 

 

 

 

1,731,725

 

Beverages (0.4%)

 

 

 

 

 

 

 

 

 

275

 

Constellation Brands, Inc., Company Guaranteed Notes

 

(BB-, Ba3)

 

12/15/14

 

8.375

 

273,625

 

525

 

Constellation Brands, Inc., Company Guaranteed Notes

 

(BB-, Ba3)

 

09/01/16

 

7.250

 

485,625

 

 

 

 

 

 

 

 

 

 

 

759,250

 

Brokerage (0.2%)

 

 

 

 

 

 

 

 

 

175

 

E*TRADE Financial Corp., Global Senior Notes (Callable 10/27/08 @ $104.00)

 

(B, Ba3)

 

06/15/11

 

8.000

 

153,125

 

 



 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Brokerage

 

 

 

 

 

 

 

 

 

$

315

 

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

 

(B, Ba3)

 

12/01/15

 

7.875

 

$

253,575

 

 

 

 

 

 

 

 

 

 

 

406,700

 

Building & Construction (1.1%)

 

 

 

 

 

 

 

 

 

900

 

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

 

(CC, Caa3)

 

10/01/15

 

9.500

 

409,500

 

500

 

K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes

 

(CCC+, Caa1)

 

01/15/16

 

6.250

 

290,000

 

600

 

KB HOME, Company Guaranteed Notes

 

(BB, Ba2)

 

06/15/15

 

6.250

 

492,000

 

625

 

Standard Pacific Corp., Global Company Guaranteed Notes

 

(B-, B2)

 

08/15/15

 

7.000

 

475,000

 

350

 

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

 

(CCC+, Caa2)

 

12/15/12

 

7.625

 

138,250

 

250

 

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

 

(CCC+, Caa2)

 

02/15/14

 

7.500

 

98,750

 

 

 

 

 

 

 

 

 

 

 

1,903,500

 

Building Materials (2.8%)

 

 

 

 

 

 

 

 

 

750

 

Associated Materials, Inc., Global Senior Discount Notes (Callable 03/01/09 @ $105.62)+§

 

(CCC, Caa2)

 

03/01/14

 

0.000

 

487,500

 

825

 

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

 

(B+, B3)

 

08/01/14

 

7.750

 

655,875

 

725

 

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

 

(B+, B2)

 

10/01/12

 

9.875

 

659,750

 

750

 

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

 

(B, B3)

 

07/01/13

 

10.500

 

513,750

 

300

 

Dayton Superior Corp., Company Guaranteed Notes (Callable 11/17/08 @ $100.00)§

 

(CCC+, Caa1)

 

06/15/09

 

13.000

 

243,750

 

375

 

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

 

(B+, B1)

 

04/01/15

 

5.166

 

316,875

 

325

 

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

 

(B+, B1)

 

11/01/11

 

9.000

 

313,625

 

250

 

Norcraft Holdings, Global Senior Discount Notes (Callable 11/17/08 @ $104.88)

 

(B-, B3)

 

09/01/12

 

9.750

 

226,250

 

475

 

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

 

(CCC, Caa1)

 

09/01/14

 

8.500

 

273,125

 

750

 

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

 

(CCC, Caa2)

 

03/01/14

 

0.000

 

326,250

 

375

 

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

 

(CCC+, Caa2)

 

02/15/12

 

9.000

 

206,250

 

500

 

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

 

(B, B2)

 

06/15/13

 

11.750

 

432,500

 

 

 

 

 

 

 

 

 

 

 

4,655,500

 

Chemicals (3.1%)

 

 

 

 

 

 

 

 

 

925

 

Chemtura Corp., Company Guaranteed Notes

 

(BB, Ba2)

 

06/01/16

 

6.875

 

744,625

 

650

 

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

 

(B-, B2)

 

11/15/14

 

0.000

 

585,000

 

725

 

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

 

(B, B3)

 

12/01/14

 

9.750

 

576,375

 

625

 

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

 

(CCC+, Caa2)

 

12/01/16

 

11.500

 

428,125

 

175

 

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

 

(B-, B3)

 

11/15/13

 

9.000

 

233,523

 

800

 

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

 

(B, B3)

 

02/01/14

 

0.000

 

714,000

 

750

 

PolyOne Corp., Senior Unsecured Notes

 

(B+, B1)

 

05/01/12

 

8.875

 

716,250

 

750

 

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

 

(B+, B2)

 

08/15/14

 

9.000

 

723,750

 

475

 

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

 

(BB, B1)

 

02/01/17

 

7.000

 

453,625

 

 

 

 

 

 

 

 

 

 

 

5,175,273

 

Computer Hardware (0.2%)

 

 

 

 

 

 

 

 

 

500

 

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

 

(CCC+, Caa1)

 

05/01/16

 

9.500

 

372,500

 

 



 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Consumer Products (1.5%)

 

 

 

 

 

 

 

 

 

$

650

 

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

 

(CCC+, Caa1)

 

10/01/12

 

0.000

 

$

646,750

 

1,025

 

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

 

(CCC+, Caa1)

 

05/01/14

 

8.750

 

835,375

 

550

 

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

 

(B, B3)

 

05/01/17

 

7.500

 

460,625

 

594

 

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

 

(B-, B3)

 

04/15/12

 

9.250

 

567,270

 

 

 

 

 

 

 

 

 

 

 

2,510,020

 

Consumer/Commercial/Lease Financing (0.1%)

 

 

 

 

 

 

 

 

 

500

 

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

 

(CCC-, Ca)

 

05/15/15

 

9.625

 

122,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Diversified Capital Goods (2.3%)

 

 

 

 

 

 

 

 

 

575

 

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

 

(B, B2)

 

12/15/13

 

6.694

 

531,875

 

850

 

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

 

(B-, B3)

 

08/01/14

 

9.500

 

803,250

 

575

 

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

 

(B-, B3)

 

12/15/13

 

8.625

 

543,375

 

800

 

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

 

(B-, B3)

 

08/15/14

 

10.000

 

748,000

 

625

 

Titan International, Inc., Global Company Guaranteed Notes

 

(B-, Caa1)

 

01/15/12

 

8.000

 

609,375

 

694

 

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

 

(B-, B3)

 

06/15/12

 

9.875

 

591,635

 

 

 

 

 

 

 

 

 

 

 

3,827,510

 

Electric - Generation (3.6%)

 

 

 

 

 

 

 

 

 

825

 

Dynegy Holdings, Inc., Global Senior Unsecured Notes

 

(B, B2)

 

06/01/15

 

7.500

 

701,250

 

1,200

 

Dynegy Holdings, Inc., Global Senior Unsecured Notes

 

(B, B2)

 

05/01/16

 

8.375

 

1,050,000

 

725

 

Dynegy Holdings, Inc., Global Senior Unsecured Notes

 

(B, B2)

 

06/01/19

 

7.750

 

583,625

 

800

 

Edison Mission Energy, Global Senior Unsecured Notes

 

(BB-, B1)

 

05/15/17

 

7.000

 

724,000

 

200

 

Edison Mission Energy, Global Senior Unsecured Notes

 

(BB-, B1)

 

05/15/19

 

7.200

 

177,000

 

271

 

Midwest Generation LLC, Series B, Global Pass Thru Certificates

 

(BB+, Baa3)

 

01/02/16

 

8.560

 

279,449

 

200

 

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

 

(B, B1)

 

01/15/17

 

7.375

 

182,500

 

425

 

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

 

(B, B1)

 

02/01/16

 

7.375

 

383,563

 

550

 

Reliant Energy, Inc., Senior Unsecured Notes§

 

(BB-, B1)

 

06/15/14

 

7.625

 

415,250

 

125

 

Reliant Energy, Inc., Senior Unsecured Notes

 

(BB-, B1)

 

06/15/17

 

7.875

 

93,125

 

1,150

 

The AES Corp., Global Senior Unsecured Notes§

 

(BB-, B1)

 

10/15/17

 

8.000

 

1,043,625

 

550

 

The AES Corp., Senior Unsecured Notes

 

(BB-, B1)

 

03/01/14

 

7.750

 

514,250

 

 

 

 

 

 

 

 

 

 

 

6,147,637

 

Electric - Integrated (3.4%)

 

 

 

 

 

 

 

 

 

1,000

 

Mirant Americas Generation LLC, Senior Unsecured Notes

 

(B-, B3)

 

10/01/21

 

8.500

 

780,000

 

268

 

Mirant Mid Atlantic LLC, Series B, Global Pass Thru Certificates

 

(BB, Ba1)

 

06/30/17

 

9.125

 

289,827

 

625

 

PNM Resources, Inc., Unsecured Notes

 

(BB-, Ba2)

 

05/15/15

 

9.250

 

618,750

 

3,150

 

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

 

(CCC, B3)

 

11/01/15

 

10.250

 

2,858,625

 

1,300

 

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

 

(CCC, B3)

 

11/01/15

 

10.250

 

1,179,750

 

 

 

 

 

 

 

 

 

 

 

5,726,952

 

Electronics (2.2%)

 

 

 

 

 

 

 

 

 

900

 

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

 

(B+, B1)

 

05/15/13

 

7.750

 

772,875

 

194

 

Ampex Corp., Series B, Secured Notes^ø

 

(NR, NR)

 

08/15/08

 

12.000

 

188,100

 

175

 

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

 

(B-, B2)

 

12/15/14

 

8.875

 

121,625

 

1,425

 

Freescale Semiconductor, Inc., Senior Subordinated Notes§

 

(B-, B3)

 

12/15/16

 

10.125

 

919,125

 

175

 

Jabil Circuit, Inc., Global Senior Unsecured Notes

 

(BB+, Ba1)

 

03/15/18

 

8.250

 

164,500

 

675

 

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

 

(B-, B3)

 

03/01/13

 

6.750

 

594,000

 

 



 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Electronics

 

 

 

 

 

 

 

 

 

$

150

 

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

 

(B-, B3)

 

03/01/16

 

8.125

 

$

128,250

 

775

 

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

 

(B+, Caa1)

 

01/15/11

 

10.500

 

759,500

 

 

 

 

 

 

 

 

 

 

 

3,647,975

 

Energy - Exploration & Production (3.8%)

 

 

 

 

 

 

 

 

 

650

 

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

 

(B-, Caa1)

 

02/01/17

 

8.875

 

516,750

 

100

 

Chesapeake Energy Corp., Company Guaranteed Notes

 

(BB, Ba3)

 

07/15/13

 

7.625

 

96,000

 

325

 

Chesapeake Energy Corp., Company Guaranteed Notes§

 

(BB, Ba3)

 

12/15/18

 

7.250

 

300,625

 

975

 

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

 

(BB, Ba3)

 

01/15/16

 

6.875

 

894,562

 

650

 

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

 

(B, B1)

 

12/01/17

 

7.250

 

536,250

 

300

 

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

 

(B+, B1)

 

06/15/19

 

7.250

 

258,000

 

600

 

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

 

(BB-, B3)

 

06/01/16

 

9.000

 

549,000

 

550

 

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

 

(B+, B3)

 

05/15/17

 

8.000

 

467,500

 

900

 

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

 

(B, B3)

 

07/15/13

 

9.125

 

850,500

 

925

 

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

 

(BB, B1)

 

06/15/15

 

7.750

 

855,625

 

600

 

Range Resources Corp., Company Guaranteed Notes (Callable 10/01/12 @ $103.75)

 

(BB, Ba3)

 

10/01/17

 

7.500

 

570,000

 

525

 

Swift Energy Co., Company Guaranteed Notes (Callable 06/01/12 @ $103.56)

 

(BB-, B1)

 

06/01/17

 

7.125

 

448,875

 

 

 

 

 

 

 

 

 

 

 

6,343,687

 

Environmental (1.1%)

 

 

 

 

 

 

 

 

 

975

 

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

 

(BB, B1)

 

03/15/15

 

7.250

 

938,438

 

1,000

 

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

 

(B-, Caa1)

 

04/15/14

 

9.500

 

985,000

 

 

 

 

 

 

 

 

 

 

 

1,923,438

 

Food & Drug Retailers (1.0%)

 

 

 

 

 

 

 

 

 

1,200

 

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

 

(CCC-, Caa3)

 

08/01/11

 

9.750

 

1,014,000

 

50

 

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

 

(B+, B2)

 

04/15/15

 

7.750

 

47,000

 

600

 

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

 

(B+, B2)

 

06/15/12

 

8.125

 

591,000

 

 

 

 

 

 

 

 

 

 

 

1,652,000

 

Food - Wholesale (0.7%)

 

 

 

 

 

 

 

 

 

500

 

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

 

(B-, Caa1)

 

05/01/09

 

8.625

 

480,000

 

75

 

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

 

(B-, Caa1)

 

03/15/11

 

8.875

 

63,375

 

900

 

Smithfield Foods, Inc., Senior Unsecured Notes

 

(BB-, Ba3)

 

07/01/17

 

7.750

 

711,000

 

 

 

 

 

 

 

 

 

 

 

1,254,375

 

Forestry & Paper (3.1%)

 

 

 

 

 

 

 

 

 

313

 

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

 

(BB-, B2)

 

10/15/14

 

7.125

 

215,970

 

1,075

 

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

 

(B, B2)

 

03/15/10

 

9.750

 

999,750

 

600

 

Georgia-Pacific Corp., Debentures

 

(B+, B2)

 

06/15/15

 

7.700

 

552,000

 

200

 

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

 

(BB-, Ba3)

 

01/15/17

 

7.125

 

179,500

 

525

 

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

 

(B-, B3)

 

08/15/13

 

9.500

 

477,750

 

375

 

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

 

(CCC+, Caa1)

 

03/15/14

 

9.750

 

133,125

 

 



 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Forestry & Paper

 

 

 

 

 

 

 

 

 

$

350

 

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

 

(B-, B2)

 

05/01/12

 

10.000

 

$

315,000

 

450

 

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

 

(CCC+, B3)

 

05/01/13

 

12.000

 

396,000

 

1,525

 

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

 

(B-, B3)

 

07/01/12

 

8.375

 

1,288,625

 

675

 

Verso Paper Holdings LLC, Series B, Global Company Guaranteed Notes (Callable 08/01/11 @ $105.69)

 

(CCC+, B3)

 

08/01/16

 

11.375

 

550,125

 

75

 

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

 

(B+, B2)

 

08/01/14

 

9.125

 

64,875

 

 

 

 

 

 

 

 

 

 

 

5,172,720

 

Gaming (4.1%)

 

 

 

 

 

 

 

 

 

775

 

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

 

(B, B2)

 

12/15/14

 

9.375

 

329,375

 

125

 

Caesars Entertainment, Inc., Global Company Guaranteed Notes§

 

(B-, Caa2)

 

03/15/10

 

7.875

 

97,813

 

1,325

 

Caesars Entertainment, Inc., Global Company Guaranteed Notes§

 

(B-, Caa2)

 

05/15/11

 

8.125

 

788,375

 

775

 

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

 

(B-, Caa1)

 

08/01/13

 

8.000

 

633,562

 

145

 

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

 

(BB-, Ba3)

 

11/15/19

 

7.250

 

109,475

 

375

 

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

 

(B, B3)

 

05/01/15

 

13.875

 

331,875

 

375

 

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

 

(CCC, Caa1)

 

06/15/15

 

10.250

 

106,875

 

125

 

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

 

(D, C)

 

06/01/12

 

8.125

 

6,875

 

475

 

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

 

(B, B3)

 

11/15/10

 

12.000

 

325,375

 

825

 

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

 

(B, B3)

 

06/15/14

 

9.750

 

556,875

 

625

 

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

 

(B-, Caa1)

 

10/15/10

 

9.500

 

284,375

 

850

 

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

 

(BB+, Ba2)

 

11/15/15

 

8.500

 

556,750

 

925

 

MGM Mirage, Inc., Company Guaranteed Notes

 

(BB, Ba2)

 

04/01/16

 

6.875

 

677,562

 

725

 

MGM Mirage, Inc., Company Guaranteed Notes§

 

(BB, Ba2)

 

06/01/16

 

7.500

 

532,875

 

900

 

MGM Mirage, Inc., Company Guaranteed Notes

 

(BB, Ba2)

 

01/15/17

 

7.625

 

652,500

 

125

 

MGM Mirage, Inc., Global Company Guaranteed Notes

 

(BB, Ba2)

 

04/01/13

 

6.750

 

98,125

 

350

 

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

 

(B, B3)

 

04/30/14

 

7.750

 

315,871

 

435

 

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

 

(NR, NR)

 

12/15/14

 

9.625

 

63,075

 

130

 

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

 

(CCC+, Caa1)

 

06/01/15

 

8.500

 

53,950

 

475

 

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

 

(B+, B1)

 

09/15/14

 

9.125

 

434,625

 

 

 

 

 

 

 

 

 

 

 

6,956,183

 

Gas Distribution (2.5%)

 

 

 

 

 

 

 

 

 

600

 

AmeriGas Partners LP, Global Senior Unsecured Notes (Callable 05/20/10 @ $103.63)

 

(NR, Ba3)

 

05/20/15

 

7.250

 

549,000

 

525

 

El Paso Corp., Senior Unsecured Notes

 

(BB-, Ba3)

 

06/01/18

 

7.250

 

490,875

 

1,150

 

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

 

(BB, Ba3)

 

07/15/11

 

7.750

 

1,170,277

 

525

 

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

 

(B+, B1)

 

03/01/16

 

8.250

 

485,625

 

200

 

Inergy Finance Corp., Global Senior Unsecured Notes (Callable 12/15/09 @ $103.44)

 

(B+, B1)

 

12/15/14

 

6.875

 

176,000

 

350

 

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

 

(B+, B2)

 

04/15/18

 

8.750

 

334,250

 

650

 

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

 

(B, B2)

 

07/01/16

 

8.250

 

562,250

 

450

 

Williams Partners LP, Global Senior Unsecured Notes

 

(BBB-, Ba2)

 

02/01/17

 

7.250

 

419,134

 

 

 

 

 

 

 

 

 

 

 

4,187,411

 

 



 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Health Services (7.1%)

 

 

 

 

 

 

 

 

 

$

875

 

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

 

(B, Caa1)

 

11/01/15

 

9.875

 

$

833,437

 

350

 

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

 

(B-, B3)

 

10/15/17

 

10.000

 

358,750

 

350

 

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

 

(B-, Caa1)

 

10/15/17

 

11.625

 

353,500

 

1,225

 

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

 

(B, B3)

 

07/15/15

 

8.875

 

1,169,875

 

1,225

 

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

 

(BB-, B2)

 

11/15/16

 

9.250

 

1,194,375

 

700

 

HCA, Inc., Global Senior Unsecured Notes

 

(B-, Caa1)

 

01/15/15

 

6.375

 

554,750

 

1,600

 

HCA, Inc., Global Senior Unsecured Notes

 

(B-, Caa1)

 

02/15/16

 

6.500

 

1,276,000

 

475

 

HCA, Inc., Senior Unsecured Notes

 

(B-, Caa1)

 

10/01/12

 

6.300

 

412,062

 

400

 

HCA, Inc., Senior Unsecured Notes

 

(B-, Caa1)

 

02/15/13

 

6.250

 

336,000

 

375

 

HCA, Inc., Senior Unsecured Notes

 

(B-, Caa1)

 

07/15/13

 

6.750

 

316,875

 

800

 

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

 

(CCC+, Caa1)

 

06/15/16

 

10.750

 

812,000

 

400

 

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

 

(BB+, Ba3)

 

01/15/16

 

7.000

 

362,000

 

250

 

Service Corporation International, Global Senior Notes

 

(BB-, B1)

 

06/15/17

 

7.000

 

215,000

 

550

 

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

 

(BB-, Ba3)

 

02/15/13

 

6.250

 

508,750

 

1,500

 

Tenet Healthcare Corp., Global Senior Unsecured Notes

 

(B, Caa1)

 

07/01/14

 

9.875

 

1,470,000

 

500

 

Tenet Healthcare Corp., Global Senior Unsecured Notes

 

(B, Caa1)

 

02/01/15

 

9.250

 

475,000

 

275

 

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

 

(B+, B3)

 

06/01/15

 

6.303

 

243,375

 

225

 

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

 

(B+, B3)

 

06/01/15

 

8.500

 

210,938

 

950

 

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

 

(CCC+, Caa1)

 

10/01/14

 

9.000

 

921,500

 

 

 

 

 

 

 

 

 

 

 

12,024,187

 

Hotels (0.5%)

 

 

 

 

 

 

 

 

 

250

 

Host Hotels & Resorts LP, Global Secured Notes (Callable 11/01/10 @ $103.44)§

 

(BB, Ba1)

 

11/01/14

 

6.875

 

217,500

 

750

 

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

 

(BB, Ba1)

 

06/01/16

 

6.750

 

616,875

 

 

 

 

 

 

 

 

 

 

 

834,375

 

Household & Leisure Products (0.6%)

 

 

 

 

 

 

 

 

 

650

 

ALH Finance LLC/ALH Finance Corp., Global Senior Subordinated Notes (Callable 01/15/09 @ 104.25)§

 

(CCC+, B3)

 

01/15/13

 

8.500

 

609,375

 

400

 

Ames True Temper, Inc., Global Company Guaranteed Notes (Callable 11/17/08 @ $101.50)#

 

(CCC+, Caa1)

 

01/15/12

 

6.791

 

302,000

 

325

 

Ames True Temper, Inc., Global Senior Subordinated Notes (Callable 11/28/08 @ $105.00)§

 

(CCC-, Caa3)

 

07/15/12

 

10.000

 

173,875

 

 

 

 

 

 

 

 

 

 

 

1,085,250

 

lnvestments & Misc. Financial Services (0.2%)

 

 

 

 

 

 

 

 

 

425

 

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

 

(B-, B3)

 

11/15/15

 

10.500

 

329,375

 

 

 

 

 

 

 

 

 

 

 

Leisure (0.5%)

 

 

 

 

 

 

 

 

 

472

 

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

 

(CCC, Caa2)

 

07/15/16

 

12.250

 

434,240

 

600

 

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

 

(CCC-, Caa3)

 

06/01/14

 

9.625

 

339,000

 

 

 

 

 

 

 

 

 

 

 

773,240

 

Machinery (0.5%)

 

 

 

 

 

 

 

 

 

700

 

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

 

(B, B3)

 

02/15/17

 

8.625

 

672,000

 

250

 

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

 

(B+, Ba3)

 

11/15/17

 

8.000

 

228,750

 

 

 

 

 

 

 

 

 

 

 

900,750

 

 



 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Media - Broadcast (1.5%)

 

 

 

 

 

 

 

 

 

$

475

 

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

 

(B+, B2)

 

12/15/12

 

7.750

 

$

408,500

 

975

 

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

 

(CCC, Caa1)

 

08/15/14

 

10.500

 

628,875

 

775

 

Clear Channel Communications, Inc., Senior Unsecured Notes

 

(CCC+, Caa1)

 

09/15/14

 

5.500

 

244,125

 

575

 

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

 

(CCC, Caa1)

 

05/15/14

 

9.875

 

324,875

 

375

 

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

 

(B, B2)

 

09/15/14

 

8.625

 

378,750

 

400

 

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

 

(CCC+, Caa1)

 

06/15/15

 

9.250

 

262,000

 

485

 

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

 

(CCC, Caa1)

 

03/15/15

 

9.750

 

227,950

 

925

 

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

 

(CC, Ca)

 

01/15/14

 

8.750

 

138,750

 

 

 

 

 

 

 

 

 

 

 

2,613,825

 

Media - Cable (4.8%)

 

 

 

 

 

 

 

 

 

1,165

 

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

 

(CCC+, Caa1)

 

01/15/14

 

9.375

 

1,036,850

 

1,250

 

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

 

(CCC, Caa3)

 

10/01/15

 

11.000

 

831,250

 

1,275

 

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

 

(CCC, Caa2)

 

09/15/10

 

10.250

 

1,147,500

 

495

 

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

 

(CCC, Ca)

 

04/01/11

 

9.920

 

294,525

 

325

 

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

 

(B-, B3)

 

04/30/12

 

8.000

 

292,500

 

825

 

CSC Holdings, Inc., Global Senior Unsecured Notes§

 

(BB, B1)

 

04/15/12

 

6.750

 

760,031

 

250

 

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

 

(BB, B1)

 

06/15/15

 

8.500

 

233,438

 

430

 

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

 

(BB, B1)

 

04/01/11

 

7.625

 

414,950

 

650

 

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

 

(BB, Ba3)

 

03/15/13

 

8.375

 

645,125

 

350

 

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

 

(BB, Ba3)

 

05/15/16

 

7.625

 

318,500

 

125

 

EchoStar DBS Corp., Global Company Guaranteed Notes

 

(BB-, Ba3)

 

10/01/13

 

7.000

 

108,438

 

750

 

EchoStar DBS Corp., Global Company Guaranteed Notes

 

(BB-, Ba3)

 

10/01/14

 

6.625

 

603,750

 

625

 

EchoStar DBS Corp., Global Company Guaranteed Notes

 

(BB-, Ba3)

 

05/31/15

 

7.750

 

532,812

 

475

 

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

 

(B-, B3)

 

10/15/15

 

8.500

 

394,250

 

525

 

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

 

(B-, B3)

 

02/15/11

 

7.875

 

477,750

 

25

 

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

 

(B-, B3)

 

01/15/13

 

9.500

 

22,500

 

 

 

 

 

 

 

 

 

 

 

8,114,169

 

Media - Services (0.5%)

 

 

 

 

 

 

 

 

 

250

 

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

 

(BB-, Ba3)

 

08/15/15

 

6.625

 

208,125

 

750

 

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

 

(B, B3)

 

04/15/14

 

7.375

 

560,625

 

 

 

 

 

 

 

 

 

 

 

768,750

 

Medical Products & Supplies (0.4%)

 

 

 

 

 

 

 

 

 

700

 

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

 

(B-, Caa1)

 

07/15/15

 

10.250

 

616,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Metals & Mining - Excluding Steel (1.5%)

 

 

 

 

 

 

 

 

 

175

 

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

 

(B-, B3)

 

12/15/14

 

9.000

 

107,625

 

675

 

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

 

(B-, Caa1)

 

12/15/16

 

10.000

 

421,875

 

600

 

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

 

(BBB-, Ba2)

 

04/01/15

 

8.250

 

590,227

 

625

 

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

 

(BBB-, Ba2)

 

04/01/17

 

8.375

 

616,545

 

 



 

Par
(000)

 

 

 

Ratings
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Metals & Mining - Excluding Steel

 

 

 

 

 

 

 

 

 

$

1,050

 

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

 

(B-, B3)

 

05/15/15

 

6.828

 

$

803,250

 

 

 

 

 

 

 

 

 

 

 

2,539,522

 

Non-Food & Drug Retailers (2.4%)

 

 

 

 

 

 

 

 

 

250

 

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

 

(CCC, Caa1)

 

02/15/12

 

9.000

 

186,250

 

525

 

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

 

(B, B3)

 

03/15/17

 

7.625

 

338,625

 

825

 

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

 

(B, Caa1)

 

10/15/12

 

12.000

 

672,375

 

300

 

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

 

(CCC, Caa1)

 

11/01/14

 

10.000

 

190,500

 

500

 

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

 

(CCC, Caa2)

 

11/01/16

 

11.375

 

238,750

 

1,000

 

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

 

(B, B3)

 

10/15/15

 

10.375

 

842,500

 

650

 

PCA LLC/PCA Finance Corp., Global Company Guaranteed Notesø

 

(D, NR)

 

08/01/09

 

11.875

 

26,000

 

400

 

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

 

(B-, B3)

 

12/15/13

 

12.000

 

326,000

 

755

 

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

 

(B+, B3)

 

12/15/13

 

10.625

 

745,563

 

50

 

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

 

(B-, B3)

 

02/15/15

 

8.500

 

36,500

 

750

 

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

 

(CCC+, Caa1)

 

02/15/17

 

9.750

 

431,250

 

 

 

 

 

 

 

 

 

 

 

4,034,313

 

Office Equipment (0.3%)

 

 

 

 

 

 

 

 

 

495

 

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

 

(BB-, Ba3)

 

09/15/15

 

7.750

 

519,750

 

 

 

 

 

 

 

 

 

 

 

Oil Field Equipment & Services (0.4%)

 

 

 

 

 

 

 

 

 

525

 

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

 

(BB, Ba2)

 

09/15/17

 

7.500

 

469,875

 

300

 

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

 

(BB-, B1)

 

12/01/14

 

8.375

 

289,500

 

 

 

 

 

 

 

 

 

 

 

759,375

 

Oil Refining & Marketing (0.2%)

 

 

 

 

 

 

 

 

 

400

 

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

 

(BB, Ba3)

 

09/15/16

 

8.500

 

387,000

 

 

 

 

 

 

 

 

 

 

 

Packaging (2.0%)

 

 

 

 

 

 

 

 

 

750

 

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

 

(B+, B3)

 

11/01/16

 

8.250

 

637,500

 

575

 

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

 

(CCC, Caa2)

 

03/01/16

 

10.250

 

382,375

 

565

 

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

 

(CCC+, Caa1)

 

09/15/14

 

8.875

 

443,525

 

500

 

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

 

(CCC, Caa2)

 

12/01/12

 

11.000

 

102,500

 

225

 

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

 

(B, B2)

 

04/15/23

 

8.000

 

190,125

 

25

 

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

 

(CCC+, Caa1)

 

10/15/12

 

8.500

 

23,250

 

825

 

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

 

(CCC+, Caa1)

 

10/15/14

 

9.875

 

721,875

 

503

 

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

 

(B-, NR)

 

06/15/09

 

11.850

 

435,219

 

650

 

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

 

(CCC, Caa2)

 

02/15/14

 

8.500

 

523,250

 

 

 

 

 

 

 

 

 

 

 

3,459,619

 

Printing & Publishing (2.0%)

 

 

 

 

 

 

 

 

 

500

 

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

 

(B, B3)

 

12/01/13

 

7.875

 

387,500

 

 



 

Par
(000)

 

 

 

Ratings†
(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Printing & Publishing

 

 

 

 

 

 

 

 

 

$

1,125

 

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

 

(B-, B3)

 

11/15/16

 

8.000

 

$

312,188

 

2,000

 

Premier Graphics, Inc., Company Guaranteed Notes ^ø

 

(NR, NR)

 

12/01/05

 

11.500

 

0

 

1,975

 

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

 

(B-, B3)

 

01/15/13

 

6.875

 

780,125

 

250

 

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

 

(B-, B3)

 

01/15/13

 

6.875

 

98,750

 

1,215

 

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

 

(CCC, Caa1)

 

02/15/17

 

9.000

 

692,550

 

925

 

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

 

(CCC+, Caa1)

 

01/15/15

 

10.500

 

735,375

 

525

 

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

 

(B-, B3)

 

03/01/15

 

8.250

 

364,875

 

 

 

 

 

 

 

 

 

 

 

3,371,363

 

Railroads (0.3%)

 

 

 

 

 

 

 

 

 

500

 

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

 

(BB-, B2)

 

06/01/15

 

8.000

 

495,000

 

 

 

 

 

 

 

 

 

 

 

Restaurants (0.3%)

 

 

 

 

 

 

 

 

 

475

 

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

 

(B, B3)

 

10/01/12

 

10.000

 

434,625

 

 

 

 

 

 

 

 

 

 

 

Software/Services (1.4%)

 

 

 

 

 

 

 

 

 

975

 

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

 

(B, B3)

 

09/24/15

 

9.875

 

766,594

 

1,075

 

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

 

(B-, Caa1)

 

08/15/15

 

10.250

 

937,937

 

700

 

Unisys Corp., Senior Unsecured Notes (Callable 01/15/12 @ $106.25)

 

(B+, B2)

 

01/15/16

 

12.500

 

705,250

 

 

 

 

 

 

 

 

 

 

 

2,409,781

 

SteelProducers/Products (1.5%)

 

 

 

 

 

 

 

 

 

575

 

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

 

(BB-, Ba3)

 

06/15/12

 

7.750

 

554,875

 

800

 

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

 

(B, B3)

 

02/15/14

 

11.250

 

732,000

 

800

 

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

 

(B+, B2)

 

11/01/15

 

12.000

 

684,000

 

550

 

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

 

(BB+, Ba2)

 

04/15/16

 

7.750

 

492,250

 

 

 

 

 

 

 

 

 

 

 

2,463,125

 

Support-Services (4.0%)

 

 

 

 

 

 

 

 

 

200

 

ARAMARK Corp., Global Company Guaranteed Notes (Callable 02/01/09 @ $102.00)#

 

(B, B3)

 

02/01/15

 

6.301

 

176,000

 

450

 

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

 

(B, B3)

 

02/01/15

 

8.500

 

425,250

 

100

 

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

 

(CCC+, B2)

 

06/01/14

 

8.750

 

84,000

 

675

 

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

 

(CCC+, Caa1)

 

06/01/16

 

10.250

 

543,375

 

425

 

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

 

(BB-, B1)

 

01/01/14

 

8.875

 

368,688

 

400

 

Hertz Corp., Global Company Guaranteed Notes (Callable 01/01/11 @ $105.25)§

 

(B, B2)

 

01/01/16

 

10.500

 

336,000

 

275

 

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

 

(B+, B2)

 

06/15/20

 

8.000

 

265,375

 

250

 

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

 

(B+, B2)

 

01/01/16

 

6.625

 

236,250

 

350

 

Iron Mountain, Inc., Company Guaranteed Notes (Callable 11/17/08 @ $101.44)

 

(B+, B2)

 

04/01/13

 

8.625

 

346,500

 

1,025

 

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

 

(CCC+, Caa1)

 

05/15/13

 

10.670

 

999,375

 

650

 

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

 

(B+, B2)

 

08/01/14

 

9.750

 

607,750

 

 



 

Par

 

 

 

Ratings†

 

 

 

 

 

 

 

(000)

 

 

 

(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Support - Services

 

 

 

 

 

 

 

 

 

$

725

 

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

 

(B-, Caa1)

 

12/01/14

 

9.500

 

$

552,812

 

325

 

Sotheby’s, Rule 144A, Senior Notes‡

 

(BBB-, Ba3)

 

06/15/15

 

7.750

 

299,000

 

650

 

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

 

(BB, Ba3)

 

08/01/16

 

10.750

 

614,250

 

775

 

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

 

(CCC+, Caa1)

 

09/01/16

 

11.875

 

559,937

 

75

 

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

 

(BB-, B1)

 

02/15/12

 

6.500

 

63,000

 

500

 

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

 

(B, B2)

 

02/15/14

 

7.000

 

352,500

 

 

 

 

 

 

 

 

 

 

 

6,830,062

 

Telecom - Fixed Line (1.0%)

 

 

 

 

 

 

 

 

 

1,150

 

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

 

(CCC+, Caa1)

 

02/15/15

 

6.845

 

782,000

 

525

 

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

 

(CCC+, Caa1)

 

03/15/13

 

12.250

 

467,250

 

500

 

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

 

(CCC+, B3)

 

02/15/14

 

9.250

 

465,000

 

 

 

 

 

 

 

 

 

 

 

1,714,250

 

Telecom - Integrated/Services (4.4%)

 

 

 

 

 

 

 

 

 

975

 

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

 

(B-, B2)

 

01/15/14

 

8.375

 

853,125

 

1,200

 

Frontier Communications Corp., Global Senior Unsecured Notes

 

(BB, Ba2)

 

03/15/15

 

6.625

 

1,002,000

 

700

 

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

 

(B, B1)

 

04/15/14

 

9.500

 

682,500

 

1,525

 

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

 

(BB-, B3)

 

08/15/14

 

9.250

 

1,433,500

 

375

 

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

 

(BB-, B3)

 

01/15/15

 

8.875

 

345,000

 

950

 

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

 

(CCC+, Caa1)

 

07/15/15

 

9.500

 

655,500

 

925

 

Qwest Communications International, Inc., Global Company Guaranteed Notes (Callable 11/17/08 @ $103.62)

 

(B+, Ba3)

 

02/15/11

 

7.250

 

881,062

 

550

 

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

 

(B+, Ba3)

 

02/15/14

 

7.500

 

478,500

 

150

 

Qwest Corp., Global Senior Unsecured Notes

 

(BBB-, Ba1)

 

06/15/15

 

7.625

 

131,250

 

225

 

Windstream Corp., Global Company Guaranteed Notes

 

(BB, Ba3)

 

08/01/13

 

8.125

 

214,875

 

75

 

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

 

(BB, Ba3)

 

03/15/19

 

7.000

 

60,375

 

675

 

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

 

(BB, Ba3)

 

08/01/16

 

8.625

 

626,063

 

 

 

 

 

 

 

 

 

 

 

7,363,750

 

Telecom - Wireless (2.7%)

 

 

 

 

 

 

 

 

 

375

 

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

 

(B, B2)

 

06/15/13

 

10.125

 

373,125

 

675

 

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

 

(B-, B3)

 

11/01/14

 

9.375

 

631,125

 

640

 

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

 

(B, Caa1)

 

11/01/14

 

9.250

 

601,600

 

1,825

 

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

 

(BB, Baa3)

 

03/15/14

 

5.950

 

1,224,042

 

2,250

 

Sprint Nextel Corp., Senior Unsecured Notes

 

(BB, Baa3)

 

12/01/16

 

6.000

 

1,735,101

 

 

 

 

 

 

 

 

 

 

 

4,564,993

 

Textiles & Apparel (0.4%)

 

 

 

 

 

 

 

 

 

825

 

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

 

(B+, B2)

 

01/15/15

 

9.750

 

693,000

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

886,625

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL U.S. CORPORATE BONDS (Cost $180,359,757)

 

 

 

 

 

 

 

147,905,660

 

 



 

Par

 

 

 

Ratings

 

 

 

 

 

 

 

(000)

 

 

 

(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

FOREIGN CORPORATE BONDS (7.2%)

 

 

 

 

 

 

 

 

 

Building Materials (0.0%)

 

 

 

 

 

 

 

 

 

750

 

Maax Corp., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.88) (Canada)ø

 

(NR, NR)

 

06/15/12

 

9.750

 

$

15,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Chemicals (0.5%)

 

 

 

 

 

 

 

 

 

600

 

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

 

(B-, B3)

 

02/15/16

 

8.500

 

327,000

 

1,000

 

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

 

(CCC+, B3)

 

08/15/15

 

8.375

 

475,000

 

 

 

 

 

 

 

 

 

 

 

802,000

 

Electronics (0.9%)

 

 

 

 

 

 

 

 

 

775

 

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

 

(B, B3)

 

12/01/15

 

11.875

 

802,125

 

375

 

Celestica, Inc., Senior Subordinated Notes (Callable 07/01/09 @ $103.81) (Canada)

 

(B, B3)

 

07/01/13

 

7.625

 

343,125

 

550

 

NXP BV/NXP Funding LLC, Global Company Guaranteed Notes (Callable 10/15/11 @ $104.31) (Netherlands)

 

(CCC+, NR)

 

10/15/15

 

8.625

 

378,553

 

75

 

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

 

(B-, B3)

 

10/15/14

 

7.875

 

50,625

 

 

 

 

 

 

 

 

 

 

 

1,574,428

 

Energy - Exploration & Production (0.3%)

 

 

 

 

 

 

 

 

 

550

 

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

 

(BB+, B1)

 

12/15/14

 

8.250

 

495,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Forestry & Paper (0.6%)

 

 

 

 

 

 

 

 

 

1,450

 

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

 

(CCC+, Caa2)

 

06/15/11

 

7.750

 

471,250

 

750

 

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

 

(B+, B2)

 

04/01/15

 

7.750

 

628,125

 

 

 

 

 

 

 

 

 

 

 

1,099,375

 

Gaming (0.2%)

 

 

 

 

 

 

 

 

 

400

 

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

 

(BB-, B2)

 

06/15/15

 

8.250

 

421,395

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Cable (0.7%)

 

 

 

 

 

 

 

 

 

150

 

NTL Cable PLC, Global Senior Notes (Callable 08/15/11 @ $104.56) (United Kingdom)

 

(B-, B2)

 

08/15/16

 

9.125

 

126,375

 

400

 

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

 

(B-, Caa1)

 

02/15/15

 

10.125

 

514,102

 

350

 

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

 

(B-, B2)

 

04/15/14

 

9.750

 

481,930

 

 

 

 

 

 

 

 

 

 

 

1,122,407

 

Media - Diversified (0.4%)

 

 

 

 

 

 

 

 

 

775

 

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

 

(B, B2)

 

03/15/16

 

7.750

 

682,000

 

 

 

 

 

 

 

 

 

 

 

Oil Refining & Marketing (0.3%)

 

 

 

 

 

 

 

 

 

525

 

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

 

(BB-, B1)

 

05/01/14

 

6.750

 

446,250

 

75

 

Petroplus Finance, Ltd., Rule 144A, Company Guaranteed Notes (Callable 05/01/12 @ $103.50) (Bermuda)‡

 

(BB-, B1)

 

05/01/17

 

7.000

 

62,625

 

 

 

 

 

 

 

 

 

 

 

508,875

 

Packaging (0.3%)

 

 

 

 

 

 

 

 

 

240

 

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

 

(BB, B1)

 

03/01/15

 

7.875

 

333,745

 

175

 

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

 

(B-, B3)

 

09/15/14

 

9.250

 

204,025

 

 

 

 

 

 

 

 

 

 

 

537,770

 

 



 

Par

 

 

 

Ratings†

 

 

 

 

 

 

 

(000)

 

 

 

(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

FOREIGN CORPORATE BONDS

 

 

 

 

 

 

 

 

 

Pharmaceuticals (0.3%)

 

 

 

 

 

 

 

 

 

75

 

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

 

(B, B3)

 

11/15/11

 

7.750

 

$

68,250

 

500

 

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

 

(B, B3)

 

12/01/13

 

8.875

 

422,500

 

 

 

 

 

 

 

 

 

 

 

490,750

 

Support-Services (0.8%)

 

 

 

 

 

 

 

 

 

675

 

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

 

(B, B1)

 

08/01/15

 

8.625

 

583,875

 

325

 

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

 

(B-, B2)

 

05/01/15

 

10.713

 

294,450

 

425

 

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

 

(B, B2)

 

02/15/13

 

9.500

 

419,687

 

 

 

 

 

 

 

 

 

 

 

1,298,012

 

Telecom - Integrated/Services (1.0%)

 

 

 

 

 

 

 

 

 

950

 

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

 

(B-, B3)

 

12/15/14

 

10.750

 

859,750

 

350

 

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

 

(CCC+, Caa1)

 

01/15/15

 

8.541

 

213,500

 

500

 

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

 

(B+, B2)

 

05/01/16

 

10.463

 

646,139

 

 

 

 

 

 

 

 

 

 

 

1,719,389

 

Telecommunication Services (0.2%)

 

 

 

 

 

 

 

 

 

600

 

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

 

(B-, B3)

 

07/15/16

 

10.750

 

370,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Textiles & Apparel (0.1%)

 

 

 

 

 

 

 

 

 

150

 

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

 

(CCC, B3)

 

11/15/12

 

9.875

 

105,349

 

 

 

 

 

 

 

 

 

 

 

 

 

Transportation - Excluding Air/Rail (0.6%)

 

 

 

 

 

 

 

 

 

975

 

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

 

(B+, B1)

 

12/15/13

 

8.500

 

950,625

 

TOTAL FOREIGN CORPORATE BONDS (Cost $16,281,589)

 

 

 

 

 

 

 

12,192,875

 

 

Number of

 

 

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

COMMON STOCKS (0.1%)

 

 

 

 

 

 

 

 

 

Automobile Parts & Equipment (0.0%)

 

 

 

 

 

 

 

 

 

774,557

 

Cambridge Industries Liquidating Trust*^

 

 

 

 

 

 

 

0

 

1,219

 

Safelite Realty Corp.*^

 

 

 

 

 

 

 

9,752

 

 

 

 

 

 

 

 

 

 

 

9,752

 

Chemicals (0.0%)

 

 

 

 

 

 

 

 

 

4,893

 

Huntsman Corp.

 

 

 

 

 

 

 

61,652

 

 

 

 

 

 

 

 

 

 

 

 

 

Commingled Funds (0.0%)

 

 

 

 

 

 

 

 

 

7,500

 

Adelphia*^

 

 

 

 

 

 

 

0

 

750,000

 

Adelphia Recovery Trust*^

 

 

 

 

 

 

 

0

 

 

 

 

 

 

 

 

 

 

 

0

 

Gaming (0.0%)

 

 

 

 

 

 

 

 

 

1,500

 

Progressive Gaming International Corp.*

 

 

 

 

 

 

 

2,145

 

 

 

 

 

 

 

 

 

 

 

 

 

Printing & Publishing (0.1%)

 

 

 

 

 

 

 

 

 

10,652

 

Mail Well, Inc., Rule 144A*‡

 

 

 

 

 

 

 

81,914

 

TOTAL COMMON STOCKS (Cost $1,522,975)

 

 

 

 

 

 

 

155,463

 

 

 

 

 

 

 

 

 

 

 

 

 

WARRANTS (0.0%)

 

 

 

 

 

 

 

 

 

Building Materials (0.0%)

 

 

 

 

 

 

 

 

 

1,250

 

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

 

12

 

 



 

Number of

 

 

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

 

 

 

Value

 

 

 

 

 

 

 

 

 

 

 

 

 

SHORT-TERM INVESTMENTS (13.9%)

 

 

 

 

 

 

 

 

 

19,562,370

 

State Street Navigator Prime Portfolio§§

 

 

 

 

 

 

 

$

19,562,370

 

 

Par

 

 

 

 

 

 

 

 

 

 

 

(000)

 

 

 

 

 

Maturity

 

Rate%

 

 

 

$

3,825

 

State Street Bank and Trust Co. Euro Time Deposit

 

 

 

10/01/08

 

0.850

 

3,825,000

 

 

 

 

 

 

 

 

 

 

 

TOTAL SHORT-TERM INVESTMENTS (Cost $23,387,370)

 

 

 

 

 

 

 

23,387,370

 

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS AT VALUE (108.7%) (Cost $221,576,691)

 

 

 

 

 

 

 

183,641,380

 

 

 

 

 

 

 

 

 

 

 

 

 

LIABILITIES IN EXCESS OF OTHER ASSETS (-8.7%)

 

 

 

 

 

 

 

(14,666,013

)

 

 

 

 

 

 

 

 

 

 

 

 

NET ASSETS (100.0%)

 

 

 

 

 

 

 

$

168,975,367

 

 

OPEN FORWARD FOREIGN CURRENCY CONTRACTS

 

Forward Foreign

 

Expiration

 

Foreign Currency

 

Contract

 

Contract

 

Unrealized

 

Currency Contract

 

Date

 

To be Sold

 

Amount

 

Value

 

Gain/Loss

 

 

 

 

 

 

 

 

 

 

 

 

 

Euro

 

10/10/2008

 

(2,775,000

)

$

(4,346,427

)

$

(3,901,157

)

$

445,270

 

British Pound

 

10/10/2008

 

£

(314,500

)

$

(618,794

)

$

(560,953

)

$

57,841

 

 

 

 

 

 

 

$

(4,965,221

)

$

(4,462,110

)

$

503,111

 

 

INVESTMENT ABBREVIATION
NR= Not Rated

 


 

Credit ratings given by the Standard & Poor’s Division of The McGraw-Hill Companies, Inc. (“S&P”) and Moody’s Investors Service, Inc. (“Moody’s”) are unaudited.

 

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2008, these securities amounted to a value of $27,095,082 or 16.0% of net assets.

+

 

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

ø

 

Bond is currently in default.

*

 

Non-income producing security.

^

 

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

§

 

Security or portion thereof is out on loan.

§§

 

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

#

 

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

 

Security Valuation — The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (the “Valuation Time”). If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Investments in mutual funds are valued at the mutual fund’s closing net asset value per share on the day of valuation. Securities and other assets for which market quotations are not readily available, or whose values have been materially affected by events occurring before the Fund’s Valuation Time but after the close of the securities’ primary markets, are valued at fair value as determined in good faith by, or under the direction of, the Board of Directors under procedures established by the Board of Directors.

 

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

 



 

·

Level 1 – quoted prices in active markets for identical investments

·

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

·

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

 

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

 

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

 

Valuation Inputs

 

Investments in
Securities

 

Other Financial
Instruments*

 

Level 1 - Quoted Prices

 

$

19,708,080

 

$

503,111

 

Level 2 - Other Significant Observable Inputs

 

163,735,435

 

 

Level 3 - Significant Unobservable Inputs

 

197,865

 

 

Total

 

$

183,641,380

 

$

503,111

 

 


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

 

Federal Income Tax Cost - At September 30, 2008, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized depreciation from investments were $221,576,691, $496,338, $(38,431,649) and $(37,935,311), 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.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/ George R. Hornig

 

Name:

George R. Hornig

Title:

Chief Executive Officer

Date:

November 14, 2008

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

/s/ George R. Hornig

 

Name:

George R. Hornig

Title:

Chief Executive Officer

Date:

November 14, 2008

 

/s/ Michael A. Pignataro

 

Name:

Michael A. Pignataro

Title:

Chief Financial Officer

Date:

November 14, 2008