Regulatory Filings • Nov 21, 2006
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Download Source FileN-Q 1 a06-22450_1nq.htm QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
*UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549*
*FORM N-Q*
*QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY*
| Investment Company Act file number | |
|---|---|
| CREDIT SUISSE ASSET | |
| MANAGEMENT INCOME FUND, INC. | |
| (Exact name of | |
| registrant as specified in charter) | |
| c/o Credit Suisse Asset | |
| Management, LLC 466 Lexington Avenue New York, New York | 10017 |
| (Address of principal | |
| executive offices) | (Zip code) |
| J. Kevin Gao, Esq. 466 Lexington Avenue New York, New York 10017 | |
| (Name and address of | |
| agent for service) | |
| Registrant's telephone number, including area code: | (212) 875-3500 |
| Date of fiscal year end: | December 31st |
| Date of reporting period: | July 1, 2006 to September 30, 2006 |
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*Item 1: Schedule of Investments*
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*Credit Suisse Asset Management Income Fund, Inc.*
*Schedule of Investments*
September 30, 2006 (unaudited)
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| DOMESTIC SECURITIES (86.4%) | |||||
| CORPORATE OBLIGATIONS (85.8%) | |||||
| Aerospace & Defense (1.0%) | |||||
| $ 275 | DRS Technologies, Inc., | ||||
| Company Guaranteed Notes (Callable 02/01/11 @ $103.81) | (B , B3) | 02/01/18 | 7.625 | $ 280,500 | |
| 450 | DRS Technologies, Inc., | ||||
| Global Senior Subordinated Notes (Callable 11/01/08 @ $103.44) | (B , B3) | 11/01/13 | 6.875 | 446,625 | |
| 475 | K&F Acquisition, | ||||
| Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $103.88) | (B- , Caa1) | 11/15/14 | 7.750 | 478,562 | |
| 725 | L-3 Communication | ||||
| Corp., Global Senior Subordinated Notes (Callable 01/15/10 @ $102.94) | (BB+ , Ba3) | 01/15/15 | 5.875 | 692,375 | |
| 150 | TransDigm, Inc., Rule | ||||
| 144A, Senior Subordinated Notes (Callable 07/15/09 @ $105.81) | (B- , B3) | 07/15/14 | 7.750 | 151,875 | |
| 2,049,937 | |||||
| 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 | 868,312 | |
| Auto Loans (4.0%) | |||||
| 1,725 | Ford Motor Credit Co., | ||||
| Global Notes | (B , B1) | 10/01/13 | 7.000 | 1,602,668 | |
| 2,445 | Ford Motor Credit Co., | ||||
| Notes | (B , B1) | 06/16/08 | 6.625 | 2,408,983 | |
| 425 | Ford Motor Credit Co., | ||||
| Senior Notes | (B , B1) | 08/10/11 | 9.875 | 440,215 | |
| 2,650 | General Motors | ||||
| Acceptance Corp., Global Notes | (BB , Ba1) | 05/15/09 | 5.625 | 2,585,745 | |
| 1,435 | General Motors | ||||
| Acceptance Corp., Global Notes | (BB , Ba1) | 12/01/14 | 6.750 | 1,403,087 | |
| 8,440,698 | |||||
| Automobile Parts & | |||||
| Equipment (2.9%) | |||||
| 525 | Accuride Corp., Global | ||||
| Company Guaranteed Notes (Callable 02/01/10 @ $104.25) | (B- , B3) | 02/01/15 | 8.500 | 490,875 | |
| 650 | Altra Industrial | ||||
| Motion, Inc., Global Secured Notes (Callable 12/01/08 @ $104.50) | (CCC+ , B1) | 12/01/11 | 9.000 | 666,250 | |
| 800 | American Tire | ||||
| Distributors Holdings, Inc., Global Senior Notes (Callable 04/01/09 @ | |||||
| $105.38)§ | (CCC+ , Caa1) | 04/01/13 | 10.750 | 734,000 | |
| 775 | Cambridge Industries, | ||||
| Inc., Senior Subordinated Notes^ | (NR , NR) | 07/15/07 | 10.250 | 0 | |
| 1,200 | Goodyear Tire & | ||||
| Rubber Co., Global Senior Notes (Callable 07/01/10 @ $104.50) | (B- , B2) | 07/01/15 | 9.000 | 1,224,000 | |
| 700 | Insurance Auto | ||||
| Auctions, Inc., Global Company Guaranteed Notes (Callable 04/01/09 @ $105.50) | (CCC+ , Caa1) | 04/01/13 | 11.000 | 700,000 | |
| 450 | Keystone Automotive | ||||
| Operations, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ | |||||
| $104.88) | (B- , Caa1) | 11/01/13 | 9.750 | 425,250 | |
| 250 | Lear Corp., Series B, | ||||
| Company Guaranteed Notes | (B- , B3) | 05/15/09 | 8.110 | 242,500 | |
| 775 | Stanadyne Corp., Global | ||||
| Senior Subordinated Notes (Callable 08/15/09 @ $105.00) | (CCC+ , Caa1) | 08/15/14 | 10.000 | 786,625 | |
| 350 | Tenneco Automotive, | ||||
| Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $104.31) | (B- , B3) | 11/15/14 | 8.625 | 347,375 | |
| 600 | Visteon Corp., Global | ||||
| Senior Notes§ | (B- , Caa1) | 08/01/10 | 8.250 | 588,000 | |
| 6,204,875 | |||||
| Automotive (0.8%) | |||||
| 600 | Ford Motor Co., Global | ||||
| Notes§ | (B , B3) | 07/16/31 | 7.450 | 466,500 | |
| 750 | General Motors Corp., | ||||
| Global Debentures Notes§ | (B- , Caa1) | 07/15/33 | 8.375 | 652,500 | |
| 700 | General Motors Corp., | ||||
| Senior Notes | (B- , Caa1) | 07/15/13 | 7.125 | 618,625 | |
| 1,737,625 | |||||
| Beverage (0.3%) | |||||
| 400 | Constellation Brands, | ||||
| Inc., Company Guaranteed Notes | (BB , Ba2) | 09/01/16 | 7.250 | 406,500 | |
| 250 | Le-Natures, Inc., Rule | ||||
| 144A, Senior Subordinated Notes (Callable 06/15/08 @ $104.25) | (CCC+ , B3) | 06/15/13 | 9.000 | 258,750 | |
| 665,250 | |||||
| Brokerage (0.2%) | |||||
| 175 | E*TRADE Financial | ||||
| Corp., Global Senior Notes (Callable 06/15/08 @ $104.00) | (B+ , Ba2) | 06/15/11 | 8.000 | 182,000 | |
| 315 | E*TRADE Financial | ||||
| Corp., US Domestic Senior Notes (Callable 12/01/10 @ $103.94) | (B+ , Ba2) | 12/01/15 | 7.875 | 333,112 | |
| 515,112 | |||||
| Building & Construction | |||||
| (1.8%) | |||||
| 650 | Ashton Woods, Global | ||||
| Senior Subordinated Notes (Callable 10/01/10 @ $104.75) | (B- , B3) | 10/01/15 | 9.500 | 565,500 | |
| 500 | K Hovnanian | ||||
| Enterprises, Inc., Global Company Guaranteed Notes | (BB , Ba1) | 01/15/16 | 6.250 | 442,500 | |
| 600 | KB Home, Senior Notes§ | (BB+ , Ba1) | 06/15/15 | 6.250 | 554,801 |
| 625 | Standard Pacific Corp., | ||||
| Senior Notes§ | (BB , Ba2) | 08/15/15 | 7.000 | 565,625 | |
| 750 | Technical Olympic USA, | ||||
| Inc., Global Senior Subordinated Notes§ | (B- , B2) | 01/15/15 | 7.500 | 577,500 | |
| 125 | Technical Olympic USA, | ||||
| Inc., Rule 144A, Senior Notes | (B+ , Ba2) | 04/01/11 | 8.250 | 115,781 | |
| 425 | WCI Communities, Inc., Global Company Guaranteed | ||||
| Notes (Callable 03/15/10 @ $103.31)§ | (B+ , B1) | 03/15/15 | 6.625 | 341,062 | |
| 250 | William Lyon Homes, | ||||
| Inc., Global Senior Notes (Callable 02/15/09 @ $103.75) | (B , B3) | 02/15/14 | 7.500 | 201,250 | |
| 500 | William Lyon Homes, | ||||
| Inc., Global Senior Notes (Callable 12/15/08 @ $103.81)§ | (B , B3) | 12/15/12 | 7.625 | 406,250 | |
| 3,770,269 |
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| Building Materials (3.5%) — 750 | Associated
Materials, Inc., Global Senior Discount Notes (Callable 03/01/09 @ $105.63)+ | (CCC , Caa2) | 03/01/14 | 0.000 | 416,250 |
| --- | --- | --- | --- | --- | --- |
| 300 | Building
Materials Corp. of America, Global Secured Notes (Callable 08/01/09 @
$103.88) | (B+ , B3) | 08/01/14 | 7.750 | 267,750 |
| 1,000 | Coleman Cable,
Inc., Global Company Guaranteed Notes (Callable 10/10/08 @ $104.94) | (B- , B3) | 10/01/12 | 9.875 | 1,005,000 |
| 300 | Dayton Superior
Corp., Company Guaranteed Notes (Callable 06/15/07 @ $102.17) | (CCC- , Caa3) | 06/15/09 | 13.000 | 283,500 |
| 500 | Dayton Superior
Corp., Global Secured Notes (Callable 06/15/07 @ $102.81) | (CCC+ , Caa1) | 09/15/08 | 10.750 | 517,500 |
| 875 | Goodman Global
Holding Company, Inc., Global Senior Subordinated Notes (Callable 12/15/08 @
$103.94)§ | (B- , B3) | 12/15/12 | 7.875 | 837,812 |
| 400 | Interface, Inc.,
Global Senior Subordinated Notes (Callable 02/01/09 @ $104.75) | (CCC , Caa1) | 02/01/14 | 9.500 | 414,000 |
| 325 | Norcraft
Companies, Global Senior Subordinated Notes (Callable 11/01/07 @ $104.50) | (B- , B1) | 11/01/11 | 9.000 | 331,094 |
| 250 | Norcraft
Holdings, Global Senior Discount Notes (Callable 09/01/08 @ $104.88)+ | (B- , B3) | 09/01/12 | 0.000 | 203,750 |
| 750 | NTK Holdings,
Inc., Global Senior Discount Notes (Callable 09/01/09 @ $105.38)+§ | (CCC+ , Caa1) | 03/01/14 | 0.000 | 521,250 |
| 900 | Ply Gem
Industries, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @
$104.50)§ | (B- , B3) | 02/15/12 | 9.000 | 722,250 |
| 500 | RMCC Acquisition
Co., Rule 144A, Senior Subordinated Notes (Callable 11/01/08 @ $104.75) | (CCC+ , Caa1) | 11/01/12 | 9.500 | 520,000 |
| 750 | Scranton
Products, Inc., Global Senior Notes (Callable 07/01/09 @ $105.25) | (B- , B3) | 07/01/13 | 10.500 | 766,875 |
| 700 | THL Buildco
(Nortek), Inc., Global Senior Subordinated Notes (Callable 09/01/09 @
$104.25) | (B- , NR) | 09/01/14 | 8.500 | 665,000 |
| 375 | Werner Holdings
Company, Inc., Series A, Company Guaranteed NotesØ | (NR , NR) | 11/15/07 | 10.000 | 54,375 |
| | | | | | 7,526,406 |
| Chemicals
(2.9%) | | | | | |
| 322 | BCP Crystal
Holdings Corp., Global Senior Subordinated Notes (Callable 06/15/09 @
$104.81) | (B , B3) | 06/15/14 | 9.625 | 350,980 |
| 455 | Crystal U.S.
Holdings/U.S. Sub 3, Series B, Global Senior Discount Notes (Callable
10/01/09 @ $105.25)+ | (B , B3) | 10/01/14 | 0.000 | 371,394 |
| 264 | Huntsman Co.
LLC, Global Company Guaranteed Notes (Callable 07/15/08 @ $105.75) | (B , B2) | 07/15/12 | 11.500 | 301,620 |
| 600 | KI Holdings,
Inc., Global Senior Discount Notes (Callable 11/15/09 @ $104.94)+ | (B- , B3) | 11/15/14 | 0.000 | 444,000 |
| 750 | Lyondell
Chemical Co., Global Company Guaranteed (Callable 06/01/08 @ $105.25) | (BB , Ba2) | 06/01/13 | 10.500 | 828,750 |
| 225 | Lyondell
Chemical Co., Senior Unsecured Notes (Callable 09/15/10 @ $104.00) | (B+ , B1) | 09/15/14 | 8.000 | 228,937 |
| 875 | Lyondell
Chemical Co., Senior Unsecured Notes (Callable 09/15/11 @ $104.13) | (B+ , B1) | 09/15/16 | 8.250 | 892,500 |
| 300 | Millennium
America, Inc., Global Company Guaranteed Notes | (B+ , B1) | 06/15/08 | 9.250 | 310,500 |
| 1,300 | Nalco Finance
Holdings, Inc., Global Senior Notes (Callable 02/01/09 @ $104.50)+ | (B- , B3) | 02/01/14 | 0.000 | 1,027,000 |
| 575 | PolyOne Corp.,
Global Company Guaranteed Notes (Callable 05/15/07 @ $105.31) | (B+ , B2) | 05/15/10 | 10.625 | 621,000 |
| 350 | PolyOne Corp.,
Senior Notes§ | (B+ , B2) | 05/01/12 | 8.875 | 355,250 |
| 357 | Terra Capital,
Inc., Global Secured Notes (Callable 06/01/07 @ $105.75) | (B- , B2) | 06/01/10 | 11.500 | 390,022 |
| | | | | | 6,121,953 |
| Computer Hardware (0.3%) | | | | | |
| 700 | Activant
Solutions, Inc., Rule 144A, Senior Subordinated Notes (Callable 05/01/11 @
$104.75) | (CCC+ , Caa1) | 05/01/16 | 9.500 | 651,000 |
| Consumer
- Products (2.8%) | | | | | |
| 925 | AAC Group
Holding Corp., Global Senior Discount Notes (Callable 10/01/08 @ $105.13)+ | (CCC+ , B3) | 10/01/12 | 0.000 | 772,375 |
| 950 | Amscan Holdings,
Inc., Global Senior Subordinated Notes (Callable 05/01/09 @ $104.38) | (B- , Caa1) | 05/01/14 | 8.750 | 864,500 |
| 750 | Del
Laboratories, Inc., Global Company Guaranteed Notes | (CCC , Caa2) | 02/01/12 | 8.000 | 661,875 |
| 800 | Jarden Corp.,
Company Guaranteed Notes (Callable 05/01/07 @ $104.87) | (B- , B3) | 05/01/12 | 9.750 | 848,000 |
| 970 | Playtex
Products, Inc., Global Company Guaranteed Notes (Callable 06/01/07 @ $103.13) | (B- , Caa1) | 06/01/11 | 9.375 | 1,018,500 |
| 819 | Prestige Brands,
Inc., Global Senior Subordinated Notes (Callable 04/15/08 @ $104.63) | (B- , B3) | 04/15/12 | 9.250 | 827,190 |
| 500 | Revlon Consumer
Products Corp., Global Senior Notes (Callable 04/01/08 @ $104.75)§ | (CCC- , Caa2) | 04/01/11 | 9.500 | 445,000 |
| 525 | Samsonite Corp.,
Global Senior Subordinated Notes (Callable 06/01/08 @ $104.44) | (B , B3) | 06/01/11 | 8.875 | 552,562 |
| | | | | | 5,990,002 |
| Diversified
Capital Goods (1.2%) | | | | | |
| 250 | Amsted
Industries, Inc., Rule 144A, Senior Notes (Callable 10/15/07 @ $105.12) | (B , B3) | 10/15/11 | 10.250 | 268,750 |
| 300 | Blount, Inc.,
Senior Subordinated Notes (Callable 08/01/08 @ $104.44) | (B- , Caa1) | 08/01/12 | 8.875 | 300,750 |
| 400 | RBS Global, Inc.
& Rexnord Corp., Rule 144A, Senior Subordinated Notes (Callable 08/01/11
@ $105.88) | (CCC+ , Caa1) | 08/01/16 | 11.750 | 414,000 |
| 150 | RBS Global,
Inc.& Rexnord Corp., Rule 144A, Company Guaranteed Notes (Callable
08/01/10 @ $104.75) | (CCC+ , B3) | 08/01/14 | 9.500 | 153,000 |
| 575 | Sensus Metering
Systems, Inc., Global Senior Subordinated Notes (Callable 12/15/08 @ $104.31) | (B- , Caa1) | 12/15/13 | 8.625 | 562,062 |
| 875 | TriMas Corp.,
Global Company Guaranteed Notes (Callable 06/15/07 @ $104.94) | (CCC+ , B3) | 06/15/12 | 9.875 | 813,750 |
| | | | | | 2,512,312 |
| Electric
- Generation (2.1%) | | | | | |
| 37 | AES Corp.,
Senior Notes | (B , B1) | 06/01/09 | 9.500 | 39,146 |
| 400 | AES Corp.,
Senior Notes | (B , B1) | 03/01/14 | 7.750 | 418,000 |
| 800 | Calpine
Generating Company LLC, Global Secured Notes (Callable 04/01/08 @ $103.50)#Ø | (D , NR) | 04/01/10 | 11.080 | 846,000 |
| 850 | Dynegy Holdings,
Inc., Global Company Guaranteed Notes (Callable 06/15/10 @ $103.19) | (B- , B2) | 05/01/16 | 8.375 | 869,125 |
| 500 | Edison Mission
Energy, Senior Notes | (B+ , B1) | 06/15/09 | 7.730 | 516,250 |
| 400 | Midwest
Generation LLC, Global Secured Notes (Callable 05/01/09 @ $104.38) | (B+ , Ba2) | 05/01/34 | 8.750 | 429,000 |
| 125 | Midwest
Generation LLC, Series B, Global Pass Through Certificates | (BB- , Ba2) | 01/02/16 | 8.560 | 133,125 |
| 375 | NRG Energy,
Inc., Senior Notes (Callable 02/01/11 @ $103.69) | (B- , B1) | 02/01/16 | 7.375 | 373,594 |
| 250 | Reliant Energy,
Inc., Secured Notes (Callable 12/15/09 @ $103.38) | (B+ , B2) | 12/15/14 | 6.750 | 239,062 |
| 500 | Reliant Resources,
Inc., Global Secured Notes (Callable 07/15/08 @ $104.75) | (B , B2) | 07/15/13 | 9.500 | 521,250 |
| | | | | | 4,384,552 |
| Electric
- Integrated (0.6%) | | | | | |
| 400 | Allegheny Energy
Supply Company LLC, Global Notes | (BB- , Ba3) | 03/15/11 | 7.800 | 429,000 |
| 250 | CMS Energy
Corp., Global Senior Notes | (B+ , Ba3) | 08/01/10 | 7.750 | 263,750 |
| 200 | CMS Energy
Corp., Senior Notes | (B+ , Ba3) | 01/15/09 | 7.500 | 207,000 |
| 500 | Mirant Americas
Generation LLC, Senior NotesØ | (NR , NR) | 05/01/06 | 7.625 | 0 |
| 300 | Mirant Corp.,
Rule 144A, Senior NotesØ | (NR , NR) | 07/15/04 | 7.400 | 3,750 |
| 300 | Sierra Pacific
Resources, Global Senior Notes (Callable 03/15/09 @ $104.31) | (B- , B1) | 03/15/14 | 8.625 | 325,415 |
| | | | | | 1,228,915 |
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| Electronics (1.7%) — 900 | Amkor
Technology, Inc., Global Senior Notes (Callable 05/15/08 @ $103.88) | (CCC- , Caa1) | 05/15/13 | 7.750 | 829,125 |
| --- | --- | --- | --- | --- | --- |
| 179 | Ampex Corp., Secured
Notes^ | (NR , NR) | 08/15/08 | 12.000 | 179,191 |
| 700 | Sanmina-SCI
Corp., Senior Subordinated Notes (Callable 03/01/11 @ $104.06) | (B , Ba3) | 03/01/16 | 8.125 | 689,500 |
| 775 | Spansion, Inc.,
Rule 144A, Senior Notes (Callable 01/15/11 @ $105.63) | (B , B2) | 01/15/16 | 11.250 | 815,687 |
| 450 | UCAR Finance,
Inc. Company Guaranteed (Callable 02/15/07 @ $102.13) | (B- , B2) | 02/15/12 | 10.250 | 474,750 |
| 600 | Viasystems,
Inc., Global Senior Subordinated Notes (Callable 01/15/08 @ $105.25) | (CCC+ , Caa1) | 01/15/11 | 10.500 | 592,500 |
| | | | | | 3,580,753 |
| Energy
- Exploration & Production (1.9%) | | | | | |
| 1,627 | Chesapeake
Energy Corp., Senior Notes (Callable 01/15/09 @ $103.44) | (BB , Ba2) | 01/15/16 | 6.875 | 1,598,527 |
| 150 | Comstock
Resources, Inc., Senior Notes (Callable 03/01/08 @ $103.44) | (B , B2) | 03/01/12 | 6.875 | 143,812 |
| 600 | El Paso
Production Holding Co., Global Company Guaranteed Notes (Callable 06/01/08 @
$103.88) | (B+ , B1) | 06/01/13 | 7.750 | 616,500 |
| 125 | Encore
Acquisition Co., Company Guaranteed Notes (Callable 12/01/10 @ $103.63) | (B , B1) | 12/01/17 | 7.250 | 120,937 |
| 100 | Forest Oil
Corp., Global Company Guaranteed Notes (Callable 05/01/07 @ $103.88) | (B+ , B1) | 05/01/14 | 7.750 | 101,500 |
| 300 | Hilcorp Energy I
LP/Hilcorp Finance Co., Rule 144A, Senior Notes (Callable 12/15/06 @
$104.50) | (B , B3) | 06/01/16 | 9.000 | 311,250 |
| 725 | PetroHawk Energy
Corp., Rule 144A, Company Guaranteed (Callable 07/15/10 @ $104.56) | (B- , B3) | 07/15/13 | 9.125 | 732,250 |
| 200 | Range Resources,
Corp., Global Company Guaranteed Notes (Callable 03/15/10 @ $103.19) | (B , B1) | 03/15/15 | 6.375 | 191,000 |
| 300 | Whiting
Petroleum Corp., Global Senior Subordinated Notes (Callable 05/01/08 @
$103.63) | (B- , B1) | 05/01/12 | 7.250 | 295,500 |
| | | | | | 4,111,276 |
| Environmental
(1.1%) | | | | | |
| 1,650 | Allied Waste
North America, Inc., Series B, Global Senior Notes (Callable 04/15/09 @
$103.69)§ | (B+ , B3) | 04/15/14 | 7.375 | 1,633,500 |
| 750 | Waste Services,
Inc., Global Senior Subordinated Notes (Callable 04/15/09 @ $104.75) | (CCC , Caa1) | 04/15/14 | 9.500 | 772,500 |
| | | | | | 2,406,000 |
| Food
& Drug Retailers (1.2%) | | | | | |
| 750 | Duane Reade,
Inc., Global Senior Subordinated Notes (Callable 08/01/08 @ $104.88)§ | (CCC , Caa3) | 08/01/11 | 9.750 | 650,625 |
| 150 | Ingles Markets,
Inc., Global Company Guaranteed Notes (Callable 12/01/06 @ $104.44) | (B , B3) | 12/01/11 | 8.875 | 157,125 |
| 750 | Rite Aid Corp.,
Global Company Guaranteed Notes (Callable 01/15/10 @ $103.75) | (B+ , B2) | 01/15/15 | 7.500 | 714,375 |
| 925 | Stater Brothers
Holdings, Inc., Global Senior Notes (Callable 06/15/08 @ $104.06) | (BB- , B1) | 06/15/12 | 8.125 | 934,250 |
| | | | | | 2,456,375 |
| Food -
Wholesale (0.9%) | | | | | |
| 100 | Agrilink Foods,
Inc., Company Guaranteed Notes (Callable 11/01/06 @ $101.98) | (B- , B3) | 11/01/08 | 11.875 | 100,625 |
| 200 | Dole Foods Co.,
Debentures Notes | (B , B3) | 07/15/13 | 8.750 | 188,000 |
| 400 | National Beef
Packing Company LLC, Global Senior Notes (Callable 08/01/07 @ $105.25) | (B- , Caa1) | 08/01/11 | 10.500 | 419,000 |
| 700 | Pinnacle Foods
Holding Corp., Global Senior Subordinated Notes (Callable 12/01/08 @ $104.13) | (B- , B3) | 12/01/13 | 8.250 | 704,375 |
| 250 | Swift & Co.,
Global Company Guaranteed Notes (Callable 10/01/07 @ $102.53) | (B- , B3) | 10/01/09 | 10.125 | 255,625 |
| 300 | Swift & Co.,
Global Senior Subordinated Notes (Callable 10/01/07 @ 103.13) | (CCC+ , Caa1) | 01/01/10 | 12.500 | 306,750 |
| | | | | | 1,974,375 |
| Forestry
& Paper (2.8%) | | | | | |
| 525 | Boise Cascade
LLC, Global Company Guaranteed Notes (Callable 10/15/09 @ $103.56) | (B+ , B2) | 10/15/14 | 7.125 | 492,187 |
| 850 | Cellu Tissue
Holdings, Inc., Global Secured Notes (Callable 03/15/07 @ $107.31) | (B , B2) | 03/15/10 | 9.750 | 839,375 |
| 475 | Georgia-Pacific
Corp., Debentures Notes | (B , B2) | 06/15/15 | 7.700 | 475,000 |
| 775 | Graphic
Packaging International Corp., Senior Subordinated Notes (Callable 08/15/08 @
$104.75)§ | (B- , B3) | 08/15/13 | 9.500 | 796,312 |
| 375 | Newark Group,
Inc., Global Senior Subordinated Notes (Callable 03/15/09 @ $104.88) | (B- , Caa1) | 03/15/14 | 9.750 | 365,625 |
| 450 | NewPage Corp.,
Global Secured Notes (Callable 05/01/09 @ $106.00) | (CCC+ , B3) | 05/01/12 | 10.000 | 466,875 |
| 550 | NewPage Corp.,
Global Senior Subordinated Notes (Callable 05/01/09 @ $106.00) | (CCC+ , Caa1) | 05/01/13 | 12.000 | 572,000 |
| 1,250 | Stone Container
Corp., Global Senior Notes (Callable 07/01/07 @ $104.19) | (CCC+ , B2) | 07/01/12 | 8.375 | 1,206,250 |
| 575 | Verso Paper
Holdings LLC, Rule 144A, Senior Subordinated Notes (Callable 08/01/11 @
$105.69) | (B- , B3) | 08/01/16 | 11.375 | 573,562 |
| 100 | Verso Paper Holdings LLC, Rule 144A, Secured Notes
(Callable 08/01/10 @ $104.56) | (B+ , B2) | 08/01/14 | 9.125 | 101,125 |
| | | | | | 5,888,311 |
| Gaming
(4.4%) | | | | | |
| 400 | Aztar Corp.,
Global Senior Subordinated Notes (Callable 06/15/09 @ $103.94) | (B+ , Ba3) | 06/15/14 | 7.875 | 433,000 |
| 1,000 | CCM Merger,
Inc., Rule 144A, Notes (Callable 08/01/09 @ $104.00) | (CCC+ , B3) | 08/01/13 | 8.000 | 965,000 |
| 175 | Circus &
Eldorado, Global First Mortgage Notes (Callable 03/01/07 @ $105.06) | (B , B2) | 03/01/12 | 10.125 | 184,844 |
| 740 | Hard Rock Hotel,
Inc., Global Notes (Callable 06/01/08 @ $104.44) | (B , B2) | 06/01/13 | 8.875 | 803,825 |
| 300 | Herbst Gaming,
Inc., Global Senior Subordinated Notes (Callable 06/01/08 @ $104.06) | (B- , B3) | 06/01/12 | 8.125 | 307,875 |
| 975 | Inn of the
Mountain Gods, Global Senior Notes (Callable 11/15/07 @ $106.00) | (B- , B3) | 11/15/10 | 12.000 | 1,026,187 |
| 400 | Isle of Capri
Casinos, Inc., Global Senior Subordinated Notes (Callable 03/01/09 @ $103.50) | (B , B1) | 03/01/14 | 7.000 | 382,000 |
| 725 | Jacobs
Entertainment, Inc., Rule 144A, Senior Notes (Callable 06/15/10 @ $104.88) | (B- , B3) | 06/15/14 | 9.750 | 721,375 |
| 475 | Majestic Star
Casino LLC, Company Guaranteed Notes (Callable 10/15/07 @ $104.75) | (B+ , B1) | 10/15/10 | 9.500 | 488,062 |
| 500 | Majestic Star
Casino LLC, Global Senior Unsecured Notes (Callable 10/15/08 @ $104.88) | (CCC+ , Caa1) | 01/15/11 | 9.750 | 489,375 |
| 375 | MGM Mirage,
Inc., Company Guaranteed Notes | (BB , Ba2) | 09/15/10 | 8.500 | 400,781 |
| 450 | MGM Mirage,
Inc., Company Guaranteed Notes | (B+ , B1) | 02/01/11 | 8.375 | 471,397 |
| 200 | Pokagon Gaming
Authority, Rule 144A, Senior Notes (Callable 06/15/10 @ $105.19) | (B , B3) | 06/15/14 | 10.375 | 214,250 |
| 600 | Resorts
International Hotel & Casino, Inc., Global Company Guaranteed Notes
(Callable 03/15/07 @ $106.00) | (B- , Caa1) | 03/15/09 | 11.500 | 624,000 |
| 400 | River Rock
Entertainment Authority, Senior Notes (Callable 11/01/07 @ $104.88) | (B+ , B2) | 11/01/11 | 9.750 | 427,000 |
| 100 | Seneca Gaming Corp.,
Global Senior Notes (Callable 05/01/08 @ $103.63) | (BB- , B2) | 05/01/12 | 7.250 | 100,500 |
| 500 | Trump Entertainment
Resorts, Inc., Secured Notes (Callable 06/01/10 @ $104.25) | (B- , Caa1) | 06/01/15 | 8.500 | 480,625 |
| 189 | Waterford Gaming LLC,
Rule 144A, Senior Notes (Callable 09/15/08 @ $103.55) | (BB- , B1) | 09/15/12 | 8.625 | 200,812 |
| 725 | Wynn Las Vegas LLC,
Global 1st Mortgage Notes (Callable 12/01/09 @ $103.31) | (BB- , B1) | 12/01/14 | 6.625 | 706,875 |
| | | | | | 9,427,783 |
SEQ.=1,FOLIO='',FILE='C:\Fc\31312142492_P66112CHE_1479319\22450-1-bg-01.htm',USER='jmsproofassembler',CD='Nov 9 12:14 2006'
| Gas Distribution (1.7%) — 500 | El Paso Corp., Senior
Notes | (B , B2) | 05/15/11 | 7.000 | 505,625 |
| --- | --- | --- | --- | --- | --- |
| 250 | El Paso Natural Gas,
Series A, Global Senior Notes (Callable 08/01/07 @ $103.81) | (B+ , Ba1) | 08/01/10 | 7.625 | 258,750 |
| 1,050 | El Paso Performance
-Linked Trust, Rule 144A, Notes | (B+ , B2) | 07/15/11 | 7.750 | 1,084,125 |
| 525 | Inergy LP/Inergy
Finance Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13) | (B , B1) | 03/01/16 | 8.250 | 546,000 |
| 1,175 | Williams Companies,
Inc., Global Senior Unsecured Notes | (BB- , Ba2) | 03/15/12 | 8.125 | 1,260,188 |
| | | | | | 3,654,688 |
| Health Services (4.1%) | | | | | |
| 800 | CDRV Investors, Inc.,
Global Senior Discount Notes (Callable 01/01/10 @ $104.81)+ | (B- , Caa2) | 01/01/15 | 0.000 | 596,000 |
| 250 | Concentra Operating
Corp., Global Company Guaranteed Notes (Callable 08/15/07 @ $104.75) | (B- , B3) | 08/15/10 | 9.500 | 261,250 |
| 500 | Fisher Scientific
International, Inc., Global Senior Subordinated Notes (Callable 08/15/09 @
$103.38) | (BB+ , Ba2) | 08/15/14 | 6.750 | 511,250 |
| 350 | HCA, Inc., Notes | (BB+ , Ba1) | 10/01/12 | 6.300 | 297,063 |
| 800 | Healthsouth Corp., Rule
144A, Senior Notes (Callable 06/15/11 @ $105.38) | (CCC+ , Caa1) | 06/15/16 | 10.750 | 821,000 |
| 650 | Iasis Healthcare
LLC/Capital Corp., Global Senior Subordinated Notes (Callable 06/15/09 @
$104.38) | (B- , B3) | 06/15/14 | 8.750 | 632,125 |
| 150 | Medquest, Inc., Series
B, Company Guaranteed Notes (Callable 08/15/07 @ $105.94) | (CCC , Caa1) | 08/15/12 | 11.875 | 131,625 |
| 550 | Stewart Enterprises,
Inc., Global Senior Notes (Callable 02/15/09 @ $103.13) | (B+ , B1) | 02/15/13 | 6.250 | 511,500 |
| 1,575 | Tenet Healthcare Corp.,
Global Senior Notes | (CCC+ , Caa1) | 07/01/14 | 9.875 | 1,576,969 |
| 500 | Tenet Healthcare Corp.,
Global Senior Notes | (CCC+ , Caa1) | 02/01/15 | 9.250 | 483,750 |
| 1,050 | Triad Hospitals, Inc.,
Senior Subordinated Notes (Callable 11/15/08 @ $103.50) | (B+ , B2) | 11/15/13 | 7.000 | 1,025,063 |
| 800 | Universal Hospital
Services, Inc., Global Senior Notes (Callable 11/01/07 @ $105.06) | (B- , B3) | 11/01/11 | 10.125 | 844,000 |
| 950 | Vanguard Health Holding
Co., Global Senior Subordinated Notes (Callable 10/01/09 @ $104.50) | (CCC+ , Caa1) | 10/01/14 | 9.000 | 926,250 |
| 100 | VWR International,
Inc., Global Senior Subordinated Notes (Callable 04/15/09 @ $104.00) | (B- , Caa1) | 04/15/14 | 8.000 | 101,375 |
| | | | | | 8,719,220 |
| Hotels (0.9%) | | | | | |
| 500 | Bluegreen Corp., Series
B, Company Guaranteed Notes | (B- , B3) | 04/01/08 | 10.500 | 498,125 |
| 425 | Felcor Lodging LP,
Global Company Guaranteed Notes | (B , Ba3) | 06/01/11 | 8.500 | 452,094 |
| 825 | Host Marriott LP,
Global Company Guaranteed (Callable 06/01/11 @ $103.33) | (BB , Ba2) | 06/01/16 | 6.750 | 817,781 |
| 200 | Host Marriott LP,
Global Senior Notes (Callable 11/01/08 @ $103.56) | (BB , Ba2) | 11/01/13 | 7.125 | 203,500 |
| | | | | | 1,971,500 |
| Household & Leisure
Products (1.3%) | | | | | |
| 650 | ALH Finance LLC, Senior
Subordinated Notes (Callable 01/15/09 @ $104.25)§ | (CCC+ , B3) | 01/15/13 | 8.500 | 638,625 |
| 400 | Ames True Temper, Inc., Global Company Guaranteed
Notes (Callable 01/15/07 @ $103.00)# | (CCC+ , Caa1) | 01/15/12 | 7.141 | 404,000 |
| 600 | Ames True Temper, Inc.,
Global Senior Subordinated Notes (Callable 07/15/08 @ $105.00)§ | (CCC- , Caa1) | 07/15/12 | 10.000 | 517,500 |
| 600 | Sealy Mattress Co.,
Global Senior Subordinated Notes (Callable 06/15/09 @ $104.13) | (B- , B2) | 06/15/14 | 8.250 | 615,000 |
| 525 | Simmons Bedding Co.,
Global Senior Subordinated Notes (Callable 01/15/09 @ $103.94)§ | (B- , B3) | 01/15/14 | 7.875 | 511,875 |
| | | | | | 2,687,000 |
| Leisure (0.7%) | | | | | |
| 350 | Bally Total Fitness
Holding Corp., Global Senior Notes (Callable 07/15/07 @ $105.25) | (CCC- , Caa1) | 07/15/11 | 10.500 | 340,375 |
| 550 | Six Flags, Inc., Global
Senior Notes (Callable 04/15/08 @ $104.88)§ | (CCC , Caa1) | 04/15/13 | 9.750 | 497,750 |
| 700 | Six Flags, Inc., Global
Senior Notes (Callable 06/01/09 @ $104.81)§ | (CCC , Caa1) | 06/01/14 | 9.625 | 626,500 |
| | | | | | 1,464,625 |
| Machinery (0.2%) | | | | | |
| 450 | Case New Holland, Inc.,
Global Company Guaranteed Notes (Callable 08/01/07 @ $104.62) | (BB- , Ba3) | 08/01/11 | 9.250 | 479,250 |
| Media - Broadcast (1.8%) | | | | | |
| 600 | Allbritton
Communication Co., Global Senior Subordinated Notes (Callable 12/15/07 @
$103.88) | (B- , B1) | 12/15/12 | 7.750 | 607,500 |
| 300 | Fisher Communications,
Inc., Global Senior Notes (Callable 09/15/09 @ $104.31) | (B- , B2) | 09/15/14 | 8.625 | 312,750 |
| 350 | Gray Television, Inc.,
Global Company Guaranteed Notes (Callable 12/15/06 @ $104.62) | (B- , B1) | 12/15/11 | 9.250 | 367,938 |
| 675 | Nexstar Finance, Inc.,
Global Senior Subordinated Notes (Callable 01/15/09 @ $103.50) | (CCC+ , B3) | 01/15/14 | 7.000 | 617,625 |
| 800 | Paxson Communications
Corp., Rule 144A, Secured Notes (Callable 01/15/08 @ $102.00)# | (CCC- , Caa2) | 01/15/13 | 10.777 | 810,000 |
| 750 | Sirius Satellite Radio, Inc., Global Senior
Unsecured Notes (Callable 09/01/09 @ $104.81)§ | (CCC , Caa1) | 08/01/13 | 9.625 | 736,875 |
| 400 | Xm Satellite Radio,
Inc., Rule 144A, Senior Notes (Callable 05/01/08 @ $102.00) | (CCC , Caa1) | 05/01/13 | 9.649 | 382,000 |
| | | | | | 3,834,688 |
| Media - Cable (5.7%) | | | | | |
| 750 | Atlantic Broadband
Finance LLC, Global Company Guaranteed Notes (Callable 01/15/09 @ $104.69) | (CCC+ , Caa1) | 01/15/14 | 9.375 | 736,875 |
| 650 | CCH I Holdings LLC, Global Company Guaranteed Notes
(Callable 09/30/07 @ $103.92)+ | (CCC- , Caa3) | 05/15/14 | 11.750 | 466,375 |
| 967 | CCH I LLC, Global
Secured Notes (Callable 10/01/10 @ $105.50) | (CCC- , Caa2) | 10/01/15 | 11.000 | 884,805 |
| 1,150 | CCO Holdings LLC,
Global Senior Notes (Callable 11/15/08 @ $104.38) | (CCC- , NR) | 11/15/13 | 8.750 | 1,162,938 |
| 750 | Charter Communications
Holdings LLC, Senior Discount Notes (Callable 04/01/07 @ $100.00)+ | (CCC- , Caa3) | 04/01/11 | 9.920 | 585,000 |
| 1,700 | Charter Communications
Holdings LLC, Senior Notes (Callable 09/15/08 @ $105.13) | (CCC- , Caa1) | 09/15/10 | 10.250 | 1,742,500 |
| 1,200 | CSC Holdings, Inc.,
Global Senior Notes | (B+ , NR) | 04/15/12 | 7.250 | 1,201,500 |
| 980 | CSC Holdings, Inc.,
Series B, Senior Notes | (B+ , B2) | 04/01/11 | 7.625 | 1,010,625 |
| 100 | DirecTV Holdings LLC,
Global Company Guaranteed Notes (Callable 06/15/10 @ $103.19) | (BB- , Ba3) | 06/15/15 | 6.375 | 94,500 |
SEQ.=1,FOLIO='',FILE='C:\Fc\31310565238_P66491CHE_1478982\22450-1-bg-03.htm',USER='jmsproofassembler',CD='Nov 9 10:56 2006'
| 3,223 | DIVA Systems
Corp., Series B, Senior Discount Notes (Callable 11/17/06 @ $100.00)^Ø | (NR , NR) | 03/01/08 | 12.625 | 32,230 |
| --- | --- | --- | --- | --- | --- |
| 750 | EchoStar DBS
Corp., Global Company Guaranteed Notes | (BB- , Ba3) | 10/01/14 | 6.625 | 715,313 |
| 525 | GCI, Inc.,
Global Senior Notes (Callable 02/15/09 @ $103.63) | (B+ , B1) | 02/15/14 | 7.250 | 509,250 |
| 250 | Insight
Communications Company, Inc., Senior Discount Notes (Callable 02/15/07 @
$104.08)+ | (CCC+ , B3) | 02/15/11 | 0.000 | 265,625 |
| 500 | Insight
Midwest/Insight Capital Corp., Global Senior Notes (Callable 11/01/06 @
$103.50) | (B , B2) | 11/01/10 | 10.500 | 520,000 |
| 500 | Insight
Midwest/Insight Capital Corp., Senior Notes (Callable 10/01/07 @ $100.00) | (B , B3) | 10/01/09 | 9.750 | 510,000 |
| 1,150 | Mediacom
Broadband LLC/CRP, Global Senior Notes (Callable 10/15/10 @ $104.25) | (B , B3) | 10/15/15 | 8.500 | 1,148,563 |
| 525 | Mediacom LLC/Capital
Corp., Senior Notes (Callable 02/15/07 @ $101.97) | (B , B3) | 02/15/11 | 7.875 | 521,063 |
| | | | | | 12,107,162 |
| Media -
Services (0.6%) | | | | | |
| 475 | WMG Holdings
Corp., Global Senior Discount Notes (Callable 12/15/09 @ $104.75)+ | (B- , B2) | 12/15/14 | 0.000 | 356,250 |
| 1,025 | Young
Broadcasting, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @
$104.38) | (CCC- , Caa1) | 01/15/14 | 8.750 | 876,375 |
| | | | | | 1,232,625 |
| Metals
& Mining Excluding Steel (1.0%) | | | | | |
| 500 | Alpha Natural
Resources LLC, Global Company Guaranteed Notes (Callable 06/01/08 @ $105.00) | (B- , B3) | 06/01/12 | 10.000 | 540,000 |
| 500 | American Rock
Salt Company LLC, Global Secured Notes (Callable 03/15/09 @ $104.75) | (B- , Caa1) | 03/15/14 | 9.500 | 518,750 |
| 360 | PNA Group, Inc.,
Rule 144A, Senior Notes (Callable 09/01/11 @ $105.38) | (B- , B3) | 09/01/16 | 10.750 | 371,700 |
| 675 | Southern Copper
Corp., Global Senior Notes | (BBB- , Baa2) | 07/27/35 | 7.500 | 709,839 |
| | | | | | 2,140,289 |
| Non-Food
& Drug Retailers (4.3%) | | | | | |
| 811 | Affinity Group
Holding, Global Senior Subordinated Notes (Callable 02/15/08 @ $105.44)» | (CCC+ , B3) | 02/15/12 | 10.875 | 774,829 |
| 250 | Affinity Group,
Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $104.50) | (CCC+ , B2) | 02/15/12 | 9.000 | 251,250 |
| 675 | Asbury
Automotive Group, Inc., Global Company Guaranteed Notes (Callable 06/15/07 @
$104.50) | (B , B3) | 06/15/12 | 9.000 | 694,406 |
| 750 | Brookstone
Company, Inc., Global Secured Notes (Callable 10/15/09 @ $106.00) | (B , Caa1) | 10/15/12 | 12.000 | 686,250 |
| 800 | Finlay Fine
Jewelry Corp., Global Senior Notes (Callable 06/01/08 @ $104.19) | (B- , B3) | 06/01/12 | 8.375 | 720,000 |
| 703 | Flooring
America, Inc., Series B, Company Guaranteed Notes (Callable 12/13/06 @
$100.00)^Ø | (NR , NR) | 10/15/07 | 9.250 | 0 |
| 225 | General
Nutrition Center, Global Company Guaranteed Notes (Callable 01/15/08 @
$104.31) | (B- , B1) | 01/15/11 | 8.625 | 231,188 |
| 625 | General
Nutrition Center, Global Senior Subordinated Notes (Callable 12/01/07 @
$104.25) | (B- , B3) | 12/01/10 | 8.500 | 609,375 |
| 675 | GSC Holdings Corp., Global Company Guaranteed Notes
(Callable 10/01/09 @ $104.00)§ | (CCC+ , Caa1) | 10/01/12 | 8.000 | 698,625 |
| 500 | Intcomex, Inc.,
Rule 144A, Secured Notes (Callable 01/15/07 @ $106.00) | (B- , B3) | 01/15/11 | 11.750 | 495,000 |
| 500 | Nebraska Book
Company, Inc., Global Senior Subordinated Notes (Callable 03/15/08 @ $104.31) | (CCC , B3) | 03/15/12 | 8.625 | 471,250 |
| 1,000 | Neiman-Marcus Group, Inc., Global Company Guaranteed
Notes (Callable 10/15/10 @ $105.19)§ | (B- , B3) | 10/15/15 | 10.375 | 1,085,000 |
| 650 | PCA LLC, Global
Senior NotesØ | (NR , NR) | 08/01/09 | 11.875 | 136,500 |
| 800 | Rent-Way, Inc.,
Global Secured Notes | (NR , B3) | 06/15/10 | 11.875 | 932,000 |
| 400 | SGS
International, Inc., Global Senior Subordinated Notes (Callable 12/15/09 @
$106.00) | (B- , B3) | 12/15/13 | 12.000 | 406,000 |
| 700 | Stripes
Acquisition LLC, Rule 144A, Senior Notes (Callable 12/15/09 @ $105.31) | (B , B2) | 12/15/13 | 10.625 | 749,000 |
| 250 | United Auto
Group, Inc., Global Company Guaranteed Notes (Callable 03/15/07 @ $104.81) | (B , B3) | 03/15/12 | 9.625 | 266,250 |
| | | | | | 9,206,923 |
| Office
Equipment (0.5%) | | | | | |
| 950 | Xerox Corp.,
Senior Notes (Callable 06/15/08 @ $103.81) | (BB+ , Ba1) | 06/15/13 | 7.625 | 1,002,250 |
| 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 | 217,500 |
| 162 | Giant
Industries, Inc., Global Company Guaranteed Notes (Callable 05/15/07 @
$105.50) | (B- , B2) | 05/15/12 | 11.000 | 175,770 |
| | | | | | 393,270 |
| Packaging
(3.3%) | | | | | |
| 600 | Amtrol, Inc.,
Senior Subordinated Notes | (NR , NR) | 12/31/06 | 10.625 | 570,000 |
| 490 | Berry Plastics
Holding Corp., Rule 144A, Secured Notes (Callable 09/15/10 @ $104.44) | (CCC+ , B2) | 09/15/14 | 8.875 | 494,900 |
| 1,025 | Constar
International, Inc., Senior Subordinated Notes (Callable 12/01/07 @ $105.50)§ | (CCC , Caa2) | 12/01/12 | 11.000 | 896,875 |
| 650 | Covalence
Specialty Materials Corp., Rule 144A, Senior Subordinated Notes (Callable
03/01/11 @ $105.13) | (CCC+ , B3) | 03/01/16 | 10.250 | 633,750 |
| 410 | Crown Americas,
Global Senior Notes (Callable 11/15/10 @ $103.88) | (B , B1) | 11/15/15 | 7.750 | 417,175 |
| 25 | Graham Packaging
Company, Inc., Global Company Guaranteed Notes (Callable 10/15/08 @ $104.25) | (CCC+ , Caa1) | 10/15/12 | 8.500 | 24,875 |
| 775 | Graham Packaging
Company, Inc., Global Subordinated Notes (Callable 10/15/09 @ $104.94)§ | (CCC+ , Caa1) | 10/15/14 | 9.875 | 765,313 |
| 425 | Intertape
Polymer U.S., Inc., Global Senior Subordinated Notes (Callable 08/01/09 @
$104.25) | (B- , B3) | 08/01/14 | 8.500 | 401,625 |
| 680 | Owens-Brockway
Glass, Global Company Guaranteed Notes (Callable 05/15/08 @ $104.13) | (B , B3) | 05/15/13 | 8.250 | 700,400 |
| 500 | Plastipak
Holdings, Inc., Rule 144A, Senior Notes (Callable 12/15/10 @ $104.25) | (B , B3) | 12/15/15 | 8.500 | 507,500 |
| 500 | Pliant Corp.,
Global Secured Notes (Callable 06/01/08 @ $102.78) | (CCC , NR) | 09/01/09 | 11.125 | 491,250 |
| 1,175 | Solo Cup Co.,
Global Senior Subordinated Notes (Callable 02/15/09 @ $104.25) | (B- , Caa2) | 02/15/14 | 8.500 | 1,020,781 |
| | | | | | 6,924,444 |
| Pharmaceuticals
(0.3%) | | | | | |
| 650 | Athena
Neurosciences Finance LLC, Company Guaranteed Notes | (B , B3) | 02/21/08 | 7.250 | 650,813 |
| Printing
& Publishing (4.2%) | | | | | |
| 775 | American Media
Operations, Inc., Series B, Global Company Guaranteed Notes (Callable
05/01/07 @ $100.00) | (CCC- , Caa2) | 05/01/09 | 10.250 | 724,625 |
| 975 | CBD Media
Holdings/Finance, Global Senior Notes (Callable 07/15/08 @ $104.63) | (CCC+ , Caa1) | 07/15/12 | 9.250 | 965,250 |
| 625 | Cenveo Corp.,
Global Senior Subordinated Notes (Callable 12/01/08 @ $103.94) | (B , B3) | 12/01/13 | 7.875 | 595,313 |
| 500 | Dex Media, Inc.,
Global Discount Notes (Callable 11/15/08 @ $104.50)+ | (B , B3) | 11/15/13 | 0.000 | 423,750 |
| 600 | Dex Media, Inc.,
Global Notes (Callable 11/15/08 @ $104.00) | (B , B3) | 11/15/13 | 8.000 | 598,500 |
| 750 | Haights Cross
Operating Co., Global Company Guaranteed Notes (Callable 08/15/08 @ $105.88) | (CCC , Caa2) | 08/15/11 | 11.750 | 772,500 |
SEQ.=1,FOLIO='',FILE='C:\Fc\31310565238_P66491CHE_1478982\22450-1-bg-03.htm',USER='jmsproofassembler',CD='Nov 9 10:56 2006'
| 725 | Houghton Mifflin
Co., Global Senior Discount Notes (Callable 10/15/08 @ $105.75)+ | (CCC+ , Caa1) | 10/15/13 | 0.000 | 636,188 |
| --- | --- | --- | --- | --- | --- |
| 575 | Houghton Mifflin
Co., Global Senior Subordinated Notes (Callable 02/01/08 @ $104.94) | (CCC+ , B3) | 02/01/13 | 9.875 | 610,938 |
| 2,000 | Premier
Graphics, Inc., Company Guaranteed Notes^Ø | (NR , NR) | 12/01/05 | 11.500 | 0 |
| 1,950 | RH Donnelley
Corp., Series A-2, Global Senior Discount Notes (Callable 01/15/09 @ $103.44) | (B , B3) | 01/15/13 | 6.875 | 1,789,125 |
| 150 | RH Donnelley
Corp., Series A-3, Global Senior Notes (Callable 01/15/11 @ $104.44) | (B , B3) | 01/15/16 | 8.875 | 151,125 |
| 725 | Vertis, Inc., Series B, Global Company Guaranteed
Notes (Callable 06/15/07 @ $102.72)§ | (CCC , Caa1) | 06/15/09 | 10.875 | 732,250 |
| 1,025 | WDAC Subsidiary
Corp., Rule 144A, Senior Notes (Callable 12/01/09 @ $104.19) | (CCC+ , Caa1) | 12/01/14 | 8.375 | 1,035,250 |
| | | | | | 9,034,814 |
| Restaurants
(1.8%) | | | | | |
| 675 | Buffets, Inc.,
Global Senior Subordinated Notes (Callable 07/15/07 @ $103.75) | (CCC , B3) | 07/15/10 | 11.250 | 717,188 |
| 750 | Dennys Corp.,
Global Company Guaranteed Notes (Callable 10/01/08 @ $105.00)§ | (CCC+ , Caa1) | 10/01/12 | 10.000 | 780,000 |
| 600 | Friendly Ice
Cream Corp., Global Senior Notes (Callable 06/15/08 @ $104.19) | (CCC+ , Caa1) | 06/15/12 | 8.375 | 547,500 |
| 400 | OCharleys,
Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $104.50) | (B , B1) | 11/01/13 | 9.000 | 418,000 |
| 850 | Sbarro, Inc.,
Company Guaranteed Notes (Callable 11/17/06 @ $101.83) | (CCC+ , Caa1) | 09/15/09 | 11.000 | 869,125 |
| 700 | Uno Restaurant
Corp., Rule 144A, Senior Notes (Callable 02/15/08 @ $110.00) | (CCC , Caa1) | 02/15/11 | 10.000 | 588,000 |
| | | | | | 3,919,813 |
| Software/Services
(0.9%) | | | | | |
| 500 | SunGard Data
Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/09 @ $104.56) | (B- , Caa1) | 08/15/13 | 9.125 | 520,000 |
| 1,300 | SunGard Data
Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/10 @ $105.13) | (B- , Caa1) | 08/15/15 | 10.250 | 1,345,500 |
| | | | | | 1,865,500 |
| Steel
Producers/Products (1.4%) | | | | | |
| 250 | AK Steel Corp.,
Company Guaranteed Notes (Callable 02/15/07 @ $100.00) | (B+ , B1) | 02/15/09 | 7.875 | 250,313 |
| 575 | AK Steel Corp.,
Global Company Guaranteed Notes (Callable 06/15/07 @ $103.88) | (B+ , B1) | 06/15/12 | 7.750 | 562,781 |
| 775 | Egden
Acquisition Corp., Global Secured Notes (Callable 02/01/08 @ $104.94) | (B- , B3) | 02/01/11 | 9.875 | 771,125 |
| 525 | International
Steel Group, Inc., Global Senior Notes | (BBB- , Ba1) | 04/15/14 | 6.500 | 521,063 |
| 775 | RathGibson,
Inc., Rule 144A, Senior Notes (Callable 02/15/10 @ $105.62) | (B- , B3) | 02/15/14 | 11.250 | 802,125 |
| 0 | WCI Steel
Acquisition, Inc., Senior Notes ++ | (NR , NR) | 05/01/16 | 8.000 | 323 |
| 250 | WCI Steel
EscrowØ | (NR , NR) | 12/01/04 | 10.000 | 8,375 |
| | | | | | 2,916,105 |
| Support
- Services (4.3%) | | | | | |
| 400 | Allied Security
Escrow, Global Senior Subordinated Notes (Callable 07/15/08 @ $105.69) | (CCC+ , Caa1) | 07/15/11 | 11.375 | 402,000 |
| 200 | Ashtead Capital,
Inc., Rule 144A, Notes (Callable 08/15/11 @ $104.50) | (B , NR) | 08/15/16 | 9.000 | 209,000 |
| 600 | Brand Services,
Inc., Global Company Guaranteed (Callable 10/15/07 @ $106.00) | (CCC+ , Caa1) | 10/15/12 | 12.000 | 675,168 |
| 684 | Di Finance/Dyncorp
International, Global Senior Subordinated Notes (Callable 02/15/09 @ $104.75) | (B , B3) | 02/15/13 | 9.500 | 711,360 |
| 100 | Education
Management LLC, Rule 144A, Senior Notes (Callable 06/01/10 @ $104.30) | (CCC+ , B2) | 06/01/14 | 8.750 | 101,500 |
| 500 | Education
Management LLC, Rule 144A, Senior Subordinated Notes (Callable 06/01/11 @
$105.13) | (CCC+ , Caa1) | 06/01/16 | 10.250 | 513,750 |
| 300 | Hertz Corp.,
Rule 144A, Senior Notes (Callable 01/01/10 @ $104.44) | (B , B1) | 01/01/14 | 8.875 | 315,750 |
| 400 | Hertz Corp.,
Rule 144A, Senior Subordinated Notes (Callable 01/01/11 @ $105.25) | (B , B3) | 01/01/16 | 10.500 | 442,000 |
| 800 | HydroChem
Industrial Services, Inc., Rule 144A, Senior Subordinated Notes (Callable
02/15/09 @ $104.63) | (CCC+ , B3) | 02/15/13 | 9.250 | 796,000 |
| 350 | Iron Mountain,
Inc., Company Guaranteed Notes (Callable 04/01/07 @ $102.88) | (B , B3) | 04/01/13 | 8.625 | 359,625 |
| 300 | Iron Mountain,
Inc., Company Guaranteed Notes (Callable 07/01/08 @ $103.31) | (B , B3) | 01/01/16 | 6.625 | 283,500 |
| 1,100 | Johnsondiversey
Holdings, Inc., Global Discount Notes (Callable 05/15/07 @ $105.34)+ | (CCC+ , Caa1) | 05/15/13 | 0.000 | 957,000 |
| 250 | Language Line,
Inc., Global Senior Subordinated Notes (Callable 06/15/08 @ $105.56) | (CCC+ , B3) | 06/15/12 | 11.125 | 244,375 |
| 125 | Mobile Services
Group, Inc., Rule 144A, Senior Notes (Callable 08/01/10 @ $104.88) | (B- , B3) | 08/01/14 | 9.750 | 128,750 |
| 300 | Muzak LLC/Muzak
Finance, Global Senior Notes (Callable 02/15/07 @ $102.50) | (CCC- , Caa1) | 02/15/09 | 10.000 | 266,625 |
| 50 | TDS Investor
Corp., Rule 144A, Senior Notes (Callable 09/01/10 @ $104.94) | (B- , Caa1) | 09/01/14 | 9.875 | 48,500 |
| 1,175 | TDS Investor
Corp., Rule 144A, Senior Subordinated Notes (Callable 09/01/11 @ $105.94) | (B- , Caa1) | 09/01/16 | 11.875 | 1,133,875 |
| 425 | United Rentals
North America, Inc., Global Company Guaranteed Notes (Callable 02/15/08 @
$103.25) | (B+ , B1) | 02/15/12 | 6.500 | 412,250 |
| 675 | United Rentals
North America, Inc., Global Senior Subordinated Notes (Callable 02/15/09 @
$103.50)§ | (B , B3) | 02/15/14 | 7.000 | 637,875 |
| 525 | Williams
Scotsman, Inc., Global Company Guaranteed Notes (Callable 10/01/10 @ $104.25) | (B+ , B3) | 10/01/15 | 8.500 | 539,438 |
| | | | | | 9,178,341 |
| Telecom
- Fixed Line (1.3%) | | | | | |
| 1,300 | Level 3 Communications, Inc., Convertible
Notes § | (CCC- , Caa3) | 03/15/10 | 6.000 | 1,148,875 |
| 525 | Level 3
Communications, Inc., Global Senior Notes (Callable 03/01/09 @ $100.00)§ | (CCC- , CCC-) | 03/01/10 | 11.500 | 542,063 |
| 500 | Time Warner
Telecom Holdings, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @
$104.62) | (CCC+ , B3) | 02/15/14 | 9.250 | 528,750 |
| 225 | Windstream
Corp., Rule 144A, Senior Notes | (BB- , Ba3) | 08/01/13 | 8.125 | 239,906 |
| 225 | Windstream
Corp., Rule 144A, Senior Notes (Callable 08/01/11 @ $104.31) | (BB- , Ba3) | 08/01/16 | 8.625 | 241,875 |
| | | | | | 2,701,469 |
| Telecom
- Integrated/Services (2.1%) | | | | | |
| 925 | Cincinnati Bell,
Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $104.19) | (B- , B3) | 01/15/14 | 8.375 | 938,875 |
| 800 | Hawaiian Telecom
Communications, Inc., Series B, Global Company Guaranteed Notes (Callable
05/01/10 @ $106.25)§ | (CCC+ , B3) | 05/01/15 | 12.500 | 844,000 |
| 525 | Hughes Network
Systems LLC/HNS Finance Corp., Rule 144A, Senior Notes (Callable 04/15/10 @
$104.25) | (B- , B1) | 04/15/14 | 9.500 | 543,375 |
| 545 | PanAmSat Corp.,
Global Company Guaranteed Notes (Callable 08/15/09 @ $104.50) | (B , B2) | 08/15/14 | 9.000 | 565,438 |
| 1,025 | Qwest
Communications International, Inc., Global Company Guaranteed Notes (Callable
02/15/08 @ $103.63) | (B , B2) | 02/15/11 | 7.250 | 1,030,125 |
| 300 | Qwest
Communications International, Inc., Series B, Global Company Guaranteed Notes
(Callable 02/15/09 @ $103.75) | (B , B2) | 02/15/14 | 7.500 | 302,250 |
| 120 | Qwest Corp.,
Global Senior Notes | (BB , Ba2) | 06/15/15 | 7.625 | 125,100 |
| 75 | Qwest Corp.,
Rule 144A, Senior Notes | (BB , NR) | 10/01/14 | 7.500 | 77,813 |
| | | | | | 4,426,976 |
SEQ.=1,FOLIO='',FILE='C:\Fc\31310565238_P66491CHE_1478982\22450-1-bg-03.htm',USER='jmsproofassembler',CD='Nov 9 10:56 2006'
| Telecom - Wireless (2.5%) — 525 | American Tower Corp., Global Senior Notes (Callable 10/15/08 @
$103.56) | (BB- , Ba3) | 10/15/12 | 7.125 | 538,125 |
| --- | --- | --- | --- | --- | --- |
| 450 | Centennial Cellular Communications Corp., Global Company Guaranteed
Notes (Callable 06/15/08 @ $105.06) | (CCC , B2) | 06/15/13 | 10.125 | 480,375 |
| 625 | Centennial Communications Corp., Global Senior Notes (Callable
01/01/09 @ $107.50) | (CCC , Caa1) | 01/01/13 | 10.000 | 635,938 |
| 455 | Dobson Cellular Systems, Inc., Global Secured Notes (Callable 11/1/08
@ $104.94) | (CCC , B1) | 11/01/12 | 9.875 | 490,263 |
| 700 | Dobson Communications Corp., Global Senior Notes (Callable 10/01/08 @
$104.44)§ | (CCC , Caa2) | 10/01/13 | 8.875 | 697,375 |
| 350 | Horizon PCS, Inc., Global Company Guaranteed Notes (Callable 07/15/08
@ $105.69) | (B- , NR) | 07/15/12 | 11.375 | 394,625 |
| 250 | iPCS, Inc., Global Senior Notes (Callable 05/01/08 @ $105.75) | (B- , B3) | 05/01/12 | 11.500 | 281,250 |
| 100 | Rural Cellular Corp., Global Senior Notes (Callable 08/01/07 @
$104.94) | (CCC , B3) | 02/01/10 | 9.875 | 104,750 |
| 375 | Rural Cellular Corp., Global Senior Subordinated Notes (Callable
05/01/07 @ $103.25)§ | (CCC , Caa2) | 01/15/10 | 9.750 | 379,219 |
| 525 | Rural Cellular Corp., Global Senior Subordinated Notes (Callable
11/01/07 @ $102.00)# | (CCC , Caa2) | 11/01/12 | 10.899 | 544,031 |
| 775 | Triton PCS, Inc., Global Company Guaranteed Notes (Callable 06/01/08
@ $104.25)§ | (CCC- , Caa2) | 06/01/13 | 8.500 | 722,688 |
| | | | | | 5,268,639 |
| Textiles & Apparel (1.1%) | | | | | |
| 675 | Levi Strauss & Co., Global Senior Notes (Callable 01/15/10 @
$104.88) | (B- , B3) | 01/15/15 | 9.750 | 703,687 |
| 735 | Levi Strauss & Co., Global Senior Notes (Callable 12/15/07 @
$106.13) | (B- , B3) | 12/15/12 | 12.250 | 823,200 |
| 400 | Phillips Van-Heusen Corp., Global Senior Notes (Callable 02/15/08 @
$103.63) | (BB , B1) | 02/15/11 | 7.250 | 406,000 |
| 500 | Propex Fabrics, Inc., Global Company Guaranteed Notes (Callable
12/01/08 @ $105.00) | (B- , Caa1) | 12/01/12 | 10.000 | 456,250 |
| | | | | | 2,389,137 |
| Theaters & Entertainment (0.7%) | | | | | |
| 400 | AMC Entertainment, Inc., Global Senior Subordinated Notes (Callable
03/01/09 @ $104.00) | (CCC+ , B3) | 03/01/14 | 8.000 | 378,000 |
| 650 | AMC Entertainment, Inc., Senior Subordinated Notes (Callable 02/01/07
@ $104.94) | (CCC+ , B3) | 02/01/12 | 9.875 | 671,125 |
| 200 | Cinemark USA, Inc., Global Senior Subordinated Notes (Callable
02/01/08 @ $104.50) | (B- , B2) | 02/01/13 | 9.000 | 208,500 |
| 400 | Cinemark, Inc., Global Senior Discount Notes (Callable 03/15/09 @
$104.88)+ | (B- , B3) | 03/15/14 | 0.000 | 321,000 |
| | | | | | 1,578,625 |
| 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 | 172,575 |
| TOTAL CORPORATE OBLIGATIONS (Cost $185,765,474) | | | | | 182,432,832 |
| Number | ||
|---|---|---|
| of Shares | ||
| COMMON STOCKS (0.6%) | ||
| Automobile Parts & | ||
| Equipment (0.0%) | ||
| 18,064 | Safelite Glass Corp., | |
| Class B^* | 15,354 | |
| 1,219 | Safelite Realty Corp.^* | 9,752 |
| 25,106 | ||
| Chemicals (0.0%) | ||
| 4,893 | Huntsman Corp.* | 89,053 |
| Consumer - Products (0.0%) | ||
| 20,689 | Continental AFA | |
| Dispensing Co.^* | 0 | |
| Electric - Integrated (0.2%) | ||
| 18,795 | Mirant Corp.* | 513,291 |
| Food - Wholesale (0.3%) | ||
| 590 | Crunch Equity Holdings | |
| LLC, Class A* | 560,885 | |
| Printing & Publishing | ||
| (0.1%) | ||
| 206 | Cenveo, Inc.* | 3,877 |
| 10,652 | Cenveo, Inc., Rule | |
| 144A* | 200,471 | |
| 204,348 | ||
| Steel Producers /Products | ||
| (0.0%) | ||
| 2,735 | WCI Steel Acquisition, | |
| Inc.* | 77,948 | |
| TOTAL COMMON STOCKS (Cost $1,755,554) | 1,470,631 | |
| PREFERRED | ||
| STOCKS (0.0%) | ||
| Media - | ||
| Cable (0.0%) | ||
| 7,500 | Adelphia Communications | |
| Corp., 13% cumulative exchangeable Series B (Callable 07/15/07 @ $101.08)* (Cost $750,000) | 2,250 |
SEQ.=1,FOLIO='',FILE='C:\Fc\31463215947_P66600CHE_1484566\22450-1-bg-05.htm',USER='jmsproofassembler',CD='Nov 10 06:32 2006'
| Value | ||
|---|---|---|
| WARRANTS (0.0%) | ||
| Aerospace & Defense (0.0%) | ||
| 6,290 | Loral Space & | |
| Communications, strike price $23.70, expires 12/27/06^* | 0 | |
| Building Materials (0.0%) | ||
| 1,250 | Dayton Superior Corp., | |
| strike price $0.01, Rule 144A, expires 06/15/09^* | 13 | |
| Chemicals (0.0%) | ||
| 117 | AGY Holding Corp., | |
| strike price $0.01, expires 01/01/10^* | 1 | |
| Gaming (0.0%) | ||
| 3,000 | Mikohn Gaming Corp., | |
| strike price $7.70, expires 08/15/08^* | 30 | |
| Telecom-Fixed Line (0.0%) | ||
| 4 | NTL, Inc., strike price | |
| $262.93, Series A, expires 01/13/11* | 1 | |
| Packaging (0.0%) | ||
| 747 | Pliant Corp., strike | |
| price $0.01, expires 06/01/10^* | 0 | |
| TOTAL WARRANTS (Cost $47,788) | 45 | |
| TOTAL DOMESTIC SECURITIES (Cost $188,318,816) | 183,905,758 |
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| FOREIGN SECURITIES (10.1%) | |||||
| CORPORATE OBLIGATIONS (10.1%) | |||||
| Building Materials (0.3%) | |||||
| 750 | MAAX Corp., | ||||
| Global Senior Subordinated Notes (Callable 06/15/08 @ $104.88) (Canada) | (CCC- , B3) | 06/15/12 | 9.750 | 596,250 | |
| Chemicals | |||||
| (1.1%) | |||||
| 700 | Basell AF SCA, | ||||
| Rule 144A, Company Guaranteed Notes (Callable 08/15/10 @ $104.19) | |||||
| (Luxembourg) | (B- , B2) | 08/15/15 | 8.375 | 698,250 | |
| 975 | Ineos Group | ||||
| Holding PLC., Rule 144A, Notes (Callable 02/15/11 @ $104.25) (United | |||||
| Kingdom) | (B- , B2) | 02/15/16 | 8.500 | 933,562 | |
| 373 | Rhodia SA, | ||||
| Global Senior Notes (France) | (B- , B2) | 06/01/10 | 10.250 | 419,625 | |
| 300 | Rhodia SA, | ||||
| Global Senior Subordinated Notes (Callable 06/01/07 @ $104.44) (France) | (B- , B3) | 06/01/11 | 8.875 | 311,250 | |
| 2,362,687 | |||||
| Diversified | |||||
| Capital Goods (0.3%) | |||||
| 425 | Sensata | ||||
| Technologies BV., Rule 144A, Notes (Callable 05/01/11 @ $104.50) | |||||
| (Netherlands) | (B- , B3) | 05/01/16 | 9.000 | 548,867 | |
| Electronics | |||||
| (0.8%) | |||||
| 400 | Avago | ||||
| Technologies Finance PTE., Rule 144A, Senior Subordinated Notes (Callable | |||||
| 12/01/10 @ $105.94) (Singapore) | (CCC+ , Caa1) | 12/01/15 | 11.875 | 441,000 | |
| 300 | Avago | ||||
| Technologies Funance PTE., Rule 144A, Senior Notes (Callable 12/01/09 @ | |||||
| $105.06) (Singapore) | (B , B2) | 12/01/13 | 10.125 | 319,500 | |
| 600 | Celestica, Inc., | ||||
| Senior Subordinated Notes (Callable 07/01/08 @ $103.94) (Canada) | (B , B2) | 07/01/11 | 7.875 | 606,000 | |
| 475 | Magnachip | ||||
| Semiconductor, Senior Subordinated Notes (Callabe 12/15/09 @ $104.00) (South | |||||
| Korea) | (B- , B3) | 12/15/14 | 8.000 | 290,937 | |
| 1,657,437 | |||||
| Food | |||||
| & Drug Retailers (0.4%) | |||||
| 925 | Jean Coutu Group | ||||
| (PJC), Inc., Global Senior Subordinated Notes (Callable 08/01/09 @ $104.25) | |||||
| (Canada) | (B- , Caa2) | 08/01/14 | 8.500 | 894,937 | |
| Forestry | |||||
| & Paper (1.3%) | |||||
| 350 | Abitibi-Consolidated, | ||||
| Inc., Global Notes (Canada) | (B+ , B1) | 06/15/11 | 7.750 | 322,000 | |
| 700 | Abitibi-Consolidated, | ||||
| Inc., Yankee Senior Notes (Canada)§ | (B+ , B1) | 04/01/15 | 8.375 | 640,500 | |
| 550 | Bowater Canada | ||||
| Finance Corp., Global Company Guaranteed (Canada) | (B+ , B2) | 11/15/11 | 7.950 | 528,000 | |
| 500 | JSG Funding PLC, | ||||
| Global Senior Notes (Callable 10/01/07 @ $104.81) (Ireland) | (B- , B3) | 10/01/12 | 9.625 | 530,000 | |
| 750 | JSG Funding PLC, | ||||
| Senior Subordinated Notes (Callable 01/31/10 @ $103.88) (Ireland) | (B- , Caa1) | 04/01/15 | 7.750 | 712,500 | |
| 250 | Tembec Industries, | ||||
| Inc., Global Company Guaranteed Notes (Canada) | (CCC- , Ca) | 03/15/12 | 7.750 | 127,500 | |
| 2,860,500 | |||||
| Leisure | |||||
| (0.4%) | |||||
| 150 | Intrawest Corp., | ||||
| Global Senior Notes (Callable 10/15/08 @ $103.75) (Canada) | (B+ , B1) | 10/15/13 | 7.500 | 161,812 | |
| 750 | NCL Corp., | ||||
| Global Senior Notes (Callable 07/15/09 @ $105.31) (Bermuda) | (B , B3) | 07/15/14 | 10.625 | 729,375 | |
| 891,187 |
SEQ.=1,FOLIO='',FILE='C:\Fc\31463215947_P66600CHE_1484566\22450-1-bg-05.htm',USER='jmsproofassembler',CD='Nov 10 06:32 2006'
| Media - Broadcast (0.0%) — 4,600 | Australis
Holdings Pty. Ltd., Yankee Senior Discount Notes (Australia) ^Ø | (NR , NR) | 11/01/02 | 15.000 | 0 |
| --- | --- | --- | --- | --- | --- |
| Media -
Cable (0.9%) | | | | | |
| 500 | Kabel
Deutschland GmbH, Rule 144A, Company Guaranteed Notes (Callable 07/01/09 @
$105.31) (Germany) | (B- , B2) | 07/01/14 | 10.625 | 538,750 |
| 400 | Ono Finance PLC,
Rule 144A, Company Guaranteed Notes (Callable 05/15/09 @ $105.25) (United
Kingdom) | (CCC+ , B3) | 05/15/14 | 10.500 | 542,169 |
| 393 | Telenet Group
Holding NV, Rule 144A, Discount Notes (Callable 12/15/08 @ $105.75) (Belgium)
+ | (CCC+ , Caa1) | 06/15/14 | 0.000 | 345,840 |
| 400 | Unity Media
GMBH, Rule 144A, Senior Notes (Callable 02/15/10 @ $105.06) (Germany) | (CCC+ , Caa2) | 02/15/15 | 10.125 | 491,499 |
| | | | | | 1,918,258 |
| Metals
& Mining Excluding Steel (0.0%) | | | | | |
| 924 | International
Utility Structures, Inc., Subordinated Notes (Canada)^Ø | (NR , NR) | 02/01/08 | 13.000 | 0 |
| 800 | International
Utility Structures, Inc., Yankee Senior Subordinated Notes (Canada)^Ø | (NR , NR) | 02/01/08 | 10.750 | 0 |
| | | | | | 0 |
| Packaging
(0.2%) | | | | | |
| 400 | Gerresheimer
Holdings GMBH, Rule 144A, Company Guaranteed Notes (Callable 02/15/10 @
$103.94) (Germany) | (B- , Caa1) | 03/01/15 | 7.875 | 514,301 |
| Pharmaceuticals
(0.3%) | | | | | |
| 400 | Biovail Corp.
Yankee Senior Subordinated Notes (Callable 04/01/07 @ $101.97) (Canada) | (BB- , B1) | 04/01/10 | 7.875 | 402,000 |
| 275 | Elan Finance
PLC, Global Company Guaranteed Notes (Callable 11/15/08 @ $103.88) (Ireland) | (B , B3) | 11/15/11 | 7.750 | 269,156 |
| | | | | | 671,156 |
| Support
- Services (0.3%) | | | | | |
| 675 | Ashtead Holdings
PLC., Rule 144A, Secured Notes (Callable 08/01/10 @ $104.31) (United
Kingdom) | (B , B3) | 08/01/15 | 8.625 | 688,500 |
| Telecom
- Integrated/Services (2.2%) | | | | | |
| 750 | Global Crossing
UK Finance PLC., Global Company Guaranteed Notes (Callable 12/15/09 @
$105.38) (United Kingdom) | (B- , B3) | 12/15/14 | 10.750 | 807,188 |
| 400 | Hellas Telecom,
Rule 144A, Secured Notes (Callable 10/15/06 @ $102.00) (Luxembourg)# | (B , B1) | 10/15/12 | 6.014 | 519,368 |
| 1,200 | Intelsat Ltd.,
Rule 144A, Senior Notes (Callable 06/15/11 @ $105.62) (Bermuda) | (B , Caa1) | 06/15/16 | 11.250 | 1,281,000 |
| 975 | Intelsat Ltd.,
Global Notes (Bermuda) | (B , Caa1) | 04/15/12 | 7.625 | 858,000 |
| 250 | Intelsat
Subsidiary Holding Company, LTD., Global Senior Notes (Callable 01/15/09 @
$104.13) (Bermuda) | (B+ , B2) | 01/15/13 | 8.250 | 254,375 |
| 650 | Nordic Telephone Co.
Holdings, Rule 144A, Notes (Callable 05/01/07 @ $102.00) (Denmark)# | (B , B2) | 05/01/16 | 8.352 | 861,469 |
| | | | | | 4,581,400 |
| Telecom
- Wireless (0.3%) | | | | | |
| 500 | Millicom
International Cellular SA, Global Senior Notes (Callable 12/01/08 @ $105.00)
(Luxembourg) | (B- , B3) | 12/01/13 | 10.000 | 539,375 |
| Telecommunications
- Equipment (0.1%) | | | | | |
| 275 | Nortel Networks
Ltd., Rule 144A, Company Guaranteed Notes (Canada)# | (B- , B3) | 07/15/11 | 9.731 | 285,313 |
| Textiles & Apparel (0.2%) | | | | | |
| 275 | IT Holdings
Finance SA, Rule 144A, Senior Notes (Luxembourg) | (CCC+ , Caa1) | 11/15/12 | 9.875 | 326,584 |
| Transportation Excluding
Air/Rail (1.0%) | | | | | |
| 700 | Sea Containers
Ltd., Series B, Yankee Senior Notes (Bermuda)§ | (NR , Ca) | 02/15/08 | 7.875 | 563,500 |
| 1,350 | Ship Finance
International Ltd., Global Senior Notes (Callable 12/15/08 @ $104.25)
(Bermuda) | (B , B1) | 12/15/13 | 8.500 | 1,309,500 |
| 250 | Stena AB, Global
Senior Notes (Callable 12/01/09 @ $103.50) (Sweden) | (BB- , Ba3) | 12/01/16 | 7.000 | 236,875 |
| | | | | | 2,109,875 |
| TOTAL FOREIGN CORPORATE OBLIGATIONS (Cost $25,025,989) | | | | | 21,446,627 |
| SHORT-
TERM INVESTMENTS (10.3%) | | | | | |
| 424 | Bank of America
(London) overnight deposit (Cost $424,000) | | 10/02/06 | 4.380 | 424,000 |
| Number | |||
|---|---|---|---|
| of Shares | |||
| 21,628,869 | Securities Lending | ||
| Investment Fund, a series of the Brown Brothers Investment Trust§§ | 21,628,869 | ||
| TOTAL | |||
| SHORT-TERM INVESTMENTS (Cost $22,052,869) | 22,052,869 | ||
| TOTAL INVESTMENTS (106.8%) (Cost $235,397,674) | 227,405,254 | ||
| LIABILITIES | |||
| IN EXCESS OF OTHER ASSETS (-6.8%) | (14,479,878 | ) | |
| NET | |||
| ASSETS (100%) | |||
| Applicable to | |||
| 49,895,588 issued and outstanding $.001 par value shares (authorized 100,000,000 shares) | $ 212,925,376 |
*INVESTMENT ABBREVIATIONS*
NR= Not Rated
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| | Credit ratings given by the Standard & Poor's
Division of The McGraw-Hill Companies, Inc. (S&P) and Moodys Investors
Service, Inc. Moodys) 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, 2006, these securities amounted to a value of $31,143,430 or
15.0% of net assests. |
| ^ | Not readily marketable security; security is valued
at fair value as determined in good faith by, or under the direction of, the
Board of Directors. |
| # | Variable Rate - The interest rate changes on these
instruments based upon a designated base rate. The rates shown are those in
effect at September 30, 2006. |
| + | Step Bond - The interest rate stated is the rate as
of September 30, 2006. |
| Ø | Security in default. |
| * | Non-income producing security. |
| ++ | Less then 1,000 par. |
| § | Security or portion thereof is out on loan. |
| §§ | 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 Funds 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 funds 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 Funds Valuation Time but after the close of the securities, primary markets, are valued at fair value as determined in good faith by, or under the direction of, the Board of Directors under procedures established by the Board of Directors. At September 30, 2006, the Fund held 0.38% 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 $8,420,963 and fair value of $797,456. The Funds estimate of fair value assumes a willing buyer and a willing seller neither acting under the compulsion to buy or sell. Although these securities may be resold in privately negotiated transactions, the prices realized on such sales could differ from the prices originally paid by the Fund or the current carrying values, and the difference could be material.
Federal Income Tax Cost At September 30, 2006, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized depreciation from investments were $235,397,674, 5,086,815, (13,079,235), and $(7,992,420) respectively.
Other information regarding the Fund is available in the Funds most recent Report to Shareholders. This information is also available on the Funds website at http://www.credit-suisse.com/us as well as on the website of the Securities and Exchange Commission http://www.sec.gov.
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*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 registrants 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 registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting.
*Item 3: Exhibits*
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*SIGNATURES*
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. | |
|---|---|
| /s/Steven Plump | |
| Name: | Steven Plump |
| Title: | Chief Executive Officer |
| Date: | November 21, 2006 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| /s/Steven Plump | |
|---|---|
| Name: | Steven Plump |
| Title: | Chief Executive Officer |
| Date: | November 21, 2006 |
| /s/Michael A. Pignataro | |
|---|---|
| Name: | Michael A. Pignataro |
| Title: | Chief Financial Officer |
| Date: | November 21, 2006 |
SEQ.=1,FOLIO='',FILE='C:\JMS\saaron\06-22450-1\task1510120\22450-1-jc.htm',USER='105192',CD='Nov 18 12:44 2006'
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