CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.

Regulatory Filings • Nov 27, 2007

N-Q 1 a07-26949_3nq.htm N-Q

*UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549*

*FORM N-Q*

*QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY*

| Investment
Company Act file number | |
| --- | --- |
| CREDIT
SUISSE ASSET MANAGEMENT INCOME FUND, INC. | |
| (Exact name of registrant as specified in charter) | |
| c/o
Credit Suisse Asset Management, LLC Eleven Madison Avenue New York, New York | 10010 |
| (Address of principal executive offices) | (Zip code) |
| J.
Kevin Gao, Esq. Eleven Madison Avenue New York, New York 10010 | |
| (Name and address of agent for service) | |
| Registrant's
telephone number, including area code: | (212) 325-2000 |
| Date of
fiscal year end: | December 31st |
| Date of
reporting period: | July 1, 2007 to September
30, 2007 |

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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, 2007 (unaudited)

Par — (000)		Ratings † — (S&P/Moody’s)	Maturity	Rate%	Value
U.S. CORPORATE BONDS
(86.6%)
Aerospace/Defense (1.5%)
275	DRS
Technologies, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.81)	(B
, B3)	02/01/18	7.625	$ 281,875
275	DRS
Technologies, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @
$103.44)	(B
, B3)	11/01/13	6.875	276,375
200	Hawker
Beechcraft Acquisition Company LLC, Rule 144A, Senior Notes (Callable
04/01/11 @ $104.25) ‡	(B-
, B3)	04/01/15	8.500	205,000
375	Hawker
Beechcraft Acquisition Company LLC, Rule 144A, Senior Notes (Callable
04/01/11 @ $104.44) ‡	(B-
, B3)	04/01/15	8.875	378,750
775	Hawker
Beechcraft Acquisition Company LLC, Rule 144A, Senior Subordinated Notes
(Callable 04/01/12 @ $104.88) ‡	(B-
, Caa1)	04/01/17	9.750	794,375
725	L-3
Communication Corp., Global Senior Subordinated Notes (Callable 01/15/10 @
$102.94)	(BB+
, Ba3)	01/15/15	5.875	699,625
450	TransDigm,
Inc., Global Company Guaranteed Notes (Callable 07/15/09 @ $105.81)	(B-
, B3)	07/15/14	7.750	456,750
					3,092,750
Agriculture
(0.4%)
825	Southern
States Cooperative, Inc., Rule 144A, Senior Notes (Callable 11/01/07 @
$108.00) ‡	(B
, Caa1)	11/01/10	10.500	853,875
Apparel/Textiles
(0.7%)
675	Levi
Strauss & Co., Global Senior Notes (Callable 01/15/10 @ $104.88)	(B+
, B2)	01/15/15	9.750	712,125
275	Levi
Strauss & Co., Global Senior Notes (Callable 12/15/07 @ $106.13)	(B+
, B2)	12/15/12	12.250	297,064
500	Propex
Fabrics, Inc., Global Company Guaranteed Notes (Callable 12/01/08 @ $105.00)	(CCC
, Caa1)	12/01/12	10.000	382,500
					1,391,689
Auto Loans
(4.0%)
750	Ford
Motor Credit Co., Global Notes	(B
, B1)	06/15/10	7.875	733,579
1,725	Ford
Motor Credit Co., Global Notes	(B
, B1)	10/01/13	7.000	1,560,723
425	Ford
Motor Credit Co., Senior Notes	(B
, B1)	08/10/11	9.875	430,809
650	Ford
Motor Credit Co., Senior Unsecured Notes	(B
, B1)	06/16/08	6.625	645,196
1,300	Ford
Motor Credit Co., US Domestic, Senior Unsecured Notes	(B
, B1)	12/15/16	8.000	1,218,075
1,700	General
Motors Acceptance Corp., Global Notes	(BB+
, Ba1)	05/15/09	5.625	1,655,662
1,480	General
Motors Acceptance Corp., Global Notes	(BB+
, Ba1)	12/01/14	6.750	1,343,278
850	GMAC
LLC, US Domestic, Senior Unsubordinated Notes	(BB+
, Ba1)	12/15/11	6.000	785,240
					8,372,562
Automobile
Parts & Equipment (2.0%)
275	Altra
Industrial Motion Inc., Global Secured Notes (Callable 12/01/08 @ $104.50)	(CCC+
, B2)	12/01/11	9.000	280,156
650	Altra
Industrial Motion, Inc., Global Secured Notes (Callable 12/01/08 @ $104.50)	(CCC+
, B2)	12/01/11	9.000	662,187
800	American
Tire Distributors Holdings, Inc., Global Senior Notes (Callable 04/01/09 @
$105.38)	(CCC+
, Caa1)	04/01/13	10.750	796,000
812	Goodyear
Tire & Rubber Co., Global Senior Notes (Callable 07/01/10 @ $104.50) §	(B
, Ba3)	07/01/15	9.000	870,870
17	Goodyear
Tire & Rubber Co., Rule 144A, Senior Notes (Callable 12/01/09 @ $104.31)
‡	(B
, Ba3)	12/01/11	8.625	17,850
450	Keystone
Automotive Operations, Inc., Global Senior Subordinated Notes (Callable
11/01/08 @ $104.88)	(CCC+
, Caa2)	11/01/13	9.750	369,000
775	Stanadyne
Corp., Global Senior Subordinated Notes (Callable 08/15/09 @ $105.00)	(CCC+
, Caa1)	08/15/14	10.000	782,750
600	Visteon
Corp., Global Senior Notes	(CCC+
, Caa2)	08/01/10	8.250	531,000
					4,309,813
Automotive
(2.2%)
1,210	Ford
Motor Co., Global Notes	(CCC+
, Caa1)	07/16/31	7.450	955,900
2,300	General
Motors Corp., Global Senior Notes §	(B-
, Caa1)	07/15/13	7.125	2,116,000
1,750	General
Motors Corp., Global Senior Unsubordinated Notes §	(B-
, Caa1)	07/15/33	8.375	1,542,187
					4,614,087
Beverage
(0.3%)
525	Constellation
Brands, Inc., Company Guaranteed Notes	(BB-
, Ba3)	09/01/16	7.250	527,625
Brokerage
(0.2%)
175	E*TRADE
Financial Corp., Global Senior Unsecured Notes (Callable 06/15/08 @ $104.00)	(BB-
, Ba2)	06/15/11	8.000	175,000
315	E*TRADE
Financial Corp., Senior Unsecured Notes (Callable 12/01/10 @ $103.94)	(BB-
, Ba2)	12/01/15	7.875	292,950
					467,950

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| Building
& Construction (1.4%) — 900 | Ashton
Woods, Global Senior Subordinated Notes (Callable 10/01/10 @ $104.75) | (B-
, Caa1) | 10/01/15 | 9.500 | $ 715,500 |
| --- | --- | --- | --- | --- | --- |
| 500 | K
Hovnanian Enterprises, Inc., Global Company Guaranteed Notes | (BB-
, Ba3) | 01/15/16 | 6.250 | 387,500 |
| 600 | KB
Home, Senior Notes § | (BB+
, Ba1) | 06/15/15 | 6.250 | 515,250 |
| 625 | Standard
Pacific Corp., Global Senior Notes § | (BB
, Ba3) | 08/15/15 | 7.000 | 446,875 |
| 750 | TOUSA,
Inc., Global Senior Subordinated Notes § | (CCC-
, Ca) | 01/15/15 | 7.500 | 161,250 |
| 425 | WCI
Communities, Inc., Global Company Guaranteed Notes (Callable 03/15/10 @
$103.31) | (CCC-
, Caa2) | 03/15/15 | 6.625 | 299,625 |
| 250 | William
Lyon Homes, Inc., Global Senior Notes (Callable 02/15/09 @ $103.75) | (B
, Caa1) | 02/15/14 | 7.500 | 166,250 |
| 500 | William
Lyon Homes, Inc., Global Senior Notes (Callable 12/15/08 @ $103.81) | (B
, Caa1) | 12/15/12 | 7.625 | 342,500 |
| | | | | | 3,034,750 |
| Building
Materials (3.7%) | | | | | |
| 750 | Associated
Materials, Inc., Global Senior Discount Notes (Callable 03/01/09 @ $105.63) +
§ | (CCC
, Caa2) | 03/01/14 | 0.000 | 476,250 |
| 825 | Building
Materials Corp. of America, Global Secured Notes (Callable 08/01/09 @
$103.88) | (BB-
, B2) | 08/01/14 | 7.750 | 750,750 |
| 1,000 | Coleman
Cable, Inc., Global Company Guaranteed Notes (Callable 10/01/08 @ $104.94) | (B
, B2) | 10/01/12 | 9.875 | 977,500 |
| 750 | CPG
International I, Inc., Global Senior Unsecured Notes (Callable 07/01/09 @
$105.25) | (B-
, B3) | 07/01/13 | 10.500 | 753,750 |
| 300 | Dayton
Superior Corp., Company Guaranteed Notes (Callable 11/16/07 @ $102.17) | (CCC+
, Caa1) | 06/15/09 | 13.000 | 293,250 |
| 500 | Dayton
Superior Corp., Global Company Guaranteed Notes (Callable 11/16/07 @ $102.81) | (B
, B1) | 09/15/08 | 10.750 | 505,000 |
| 375 | General
Cable Corp., Global Company Guaranteed Notes (Callable 04/01/09 @ $102.00)# | (B+
, B1) | 04/01/15 | 7.735 | 365,625 |
| 875 | Goodman
Global Holding Company, Inc., Global Senior Subordinated Notes (Callable
12/15/08 @ $103.94) | (B-
, B3) | 12/15/12 | 7.875 | 864,062 |
| 400 | Interface,
Inc., Global Senior Subordinated Notes (Callable 02/01/09 @ $104.75) | (B-
, B3) | 02/01/14 | 9.500 | 420,000 |
| 325 | Norcraft
Companies, Global Senior Subordinated Notes (Callable 11/01/07 @ $104.50) | (B-
, B1) | 11/01/11 | 9.000 | 328,250 |
| 250 | Norcraft
Holdings LP, Global Senior Discount Notes (Callable 09/01/08 @ $104.88) | (B-
, B3) | 09/01/12 | 9.750 | 225,000 |
| 700 | Nortek,
Inc., Global Senior Subordinated Notes (Callable 09/01/09 @ $104.25) | (CCC+
, B3) | 09/01/14 | 8.500 | 610,750 |
| 750 | NTK
Holdings, Inc., Global Senior Discount Notes (Callable 09/01/09 @ $105.38) §+ | (CCC+
, Caa1) | 03/01/14 | 0.000 | 465,000 |
| 1,025 | Ply
Gem Industries, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @
$104.50) § | (CCC+
, Caa1) | 02/15/12 | 9.000 | 835,375 |
| | | | | | 7,870,562 |
| Chemicals
(3.0%) | | | | | |
| 825 | Chemtura
Corp., Company Guaranteed Notes | (BB+
, Ba2) | 06/01/16 | 6.875 | 787,875 |
| 650 | Koppers
Holdings, Inc., Global Senior Discount Notes (Callable 11/15/09 @ $104.94) + | (B-
, B3) | 11/15/14 | 0.000 | 559,000 |
| 375 | Lyondell
Chemical Co., Global Company Guaranteed Notes (Callable 06/01/08 @ $105.25) | (BB+
, Ba2) | 06/01/13 | 10.500 | 405,000 |
| 675 | Lyondell
Chemical Co., Global Senior Unsecured Notes (Callable 09/15/10 @ $104.00) | (B+
, B1) | 09/15/14 | 8.000 | 745,875 |
| 925 | Lyondell
Chemical Co., Global Senior Unsecured Notes (Callable 09/15/11 @ $104.13) | (B+
, B1) | 09/15/16 | 8.250 | 1,047,562 |
| 525 | Momentive
Performance Materials, Inc., Rule 144A, Company Guaranteed Notes (Callable
12/01/10 @ $104.88) ‡ | (B-
, B3) | 12/01/14 | 9.750 | 522,375 |
| 625 | Momentive
Performance Materials, Inc., Rule 144A, Senior Subordinated Notes (Callable
12/01/11 @ $105.75) ‡ | (CCC+
, Caa2) | 12/01/16 | 11.500 | 621,875 |
| 800 | Nalco
Finance Holdings, Inc., Global Senior Notes (Callable 02/01/09 @ $104.50) + | (B-
, B3) | 02/01/14 | 9.000 | 700,000 |
| 250 | PolyOne
Corp., Senior Notes § | (B+
, B1) | 05/01/12 | 8.875 | 258,750 |
| 725 | Terra
Capital, Inc., Global Company Guaranteed Notes (Callable 02/01/12 @ $103.50) | (BB-
, B1) | 02/01/17 | 7.000 | 710,500 |
| | | | | | 6,358,812 |
| Computer
Hardware (0.2%) | | | | | |
| 500 | Activant
Solutions, Inc., Senior Unsubordinated Notes (Callable 05/01/11 @ $104.75) | (CCC+
, Caa1) | 05/01/16 | 9.500 | 441,250 |
| Consumer/Commercial/Lease
Financing (0.5%) | | | | | |
| 500 | Residential
Capital LLC, Company Guaranteed Notes | (BBB-
, Ba1) | 06/01/12 | 7.500 | 405,374 |
| 775 | Residential
Capital LLC, Company Guaranteed Notes | (BBB-
, Ba1) | 02/22/11 | 7.000 | 632,074 |
| | | | | | 1,037,448 |
| Consumer -
Products (1.9%) | | | | | |
| 1,175 | AAC
Group Holding Corp., Global Senior Discount Notes (Callable 10/01/08 @
$105.13) + | (CCC+
, B3) | 10/01/12 | 0.000 | 1,051,625 |
| 1,000 | Amscan
Holdings, Inc., Global Senior Subordinated Notes (Callable 05/01/09 @
$104.38) | (CCC+
, Caa1) | 05/01/14 | 8.750 | 930,000 |
| 825 | Del
Laboratories, Inc., Global Company Guaranteed Notes (Callable 02/01/08 @
$104.00) § | (CCC
, Caa2) | 02/01/12 | 8.000 | 763,125 |
| 300 | Jarden
Corp., Company Guaranteed Notes (Callable 05/01/12 @ $103.75) | (B-
, B3) | 05/01/17 | 7.500 | 291,750 |
| 594 | Prestige
Brands, Inc., Global Senior Subordinated Notes (Callable 04/15/08 @ $104.63) | (B-
, B3) | 04/15/12 | 9.250 | 602,910 |
| 500 | Revlon
Consumer Products Corp., Global Senior Notes (Callable 04/01/08 @ $104.75) § | (CCC-
, Caa2) | 04/01/11 | 9.500 | 477,500 |
| | | | | | 4,116,910 |
| Diversified
Capital Goods (1.6%) | | | | | |
| 575 | Esco
Corp., Rule 144A, Senior Notes (Callable 12/15/08 @ $102.00) ‡ | (B
, B2) | 12/15/13 | 9.569 | 557,750 |
| 400 | RBS
Global & Rexnord Corp., Global Company Guaranteed Notes (Callable
08/01/10 @ $104.75) | (CCC+
, B3) | 08/01/14 | 9.500 | 416,000 |
| 500 | RBS
Global & Rexnord Corp., Global Company Guaranteed Notes (Callable
08/01/11 @ $105.88) § | (CCC+
, Caa1) | 08/01/16 | 11.750 | 535,000 |
| 575 | Sensus
Metering Systems, Global Senior Subordinated Notes (Callable 12/15/08 @
$104.31) | (B-
, B3) | 12/15/13 | 8.625 | 560,625 |

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| 625 | Titan
International, Inc., Global Company Guaranteed Notes | (B
, B3) | 01/15/12 | 8.000 | $ |
| --- | --- | --- | --- | --- | --- |
| 694 | TriMas
Corp., Global Company Guaranteed Notes (Callable 11/13/07 @ $104.94) | (B-
, B3) | 06/15/12 | 9.875 | 711,350 |
| | | | | | 3,407,287 |
| Electric -
Generation (2.7%) | | | | | |
| 425 | AES
Corp., Senior Notes | (B
, B1) | 03/01/14 | 7.750 | 433,500 |
| 800 | Calpine
Generating Company LLC, Global Secured Notes (Callable 04/01/08 @ $103.50) Ø | (D
, NR) | 04/01/10 | 11.070 | 216,000 |
| 1,200 | Dynegy
Holdings, Inc., Global Senior Unsecured Notes | (B-
, B2) | 05/01/16 | 8.375 | 1,212,000 |
| 375 | Dynegy
Holdings, Inc., Rule 144A, Senior Notes ‡ | (B-
, B2) | 06/01/15 | 7.500 | 363,750 |
| 725 | Dynegy
Holdings, Inc., Rule 144A, Senior Unsecured Notes ‡ | (B-
, B2) | 06/01/19 | 7.750 | 696,906 |
| 800 | Edison
Mission Energy, Rule 144A, Senior Notes ‡ | (BB-
, B1) | 05/15/17 | 7.000 | 792,000 |
| 200 | Edison
Mission Energy, Rule 144A, Senior Notes ‡ | (BB-
, B1) | 05/15/19 | 7.200 | 198,000 |
| 271 | Midwest
Generation LLC, Series B, Global Pass Thru Certificates | (BB+
, Ba2) | 01/02/16 | 8.560 | 290,302 |
| 25 | NRG
Energy, Inc., Company Guaranteed Notes (Callable 01/15/12 @ $103.69) | (B
, B1) | 01/15/17 | 7.375 | 25,062 |
| 425 | NRG
Energy, Inc., Company Guaranteed Notes (Callable 2/01/11 @ $103.69) | (B
, B1) | 02/01/16 | 7.375 | 427,125 |
| 575 | Reliant
Energy, Inc., Senior Notes | (B-
, B3) | 06/15/14 | 7.625 | 582,187 |
| 575 | Reliant
Energy, Inc., Senior Notes | (B-
, B3) | 06/15/17 | 7.875 | 581,469 |
| | | | | | 5,818,301 |
| Electric -
Integrated (0.2%) | | | | | |
| 500 | Mirant
Americas Generation LLC, Senior Notes Ø | (NR
, NR) | 05/01/06 | 7.625 | 0 |
| 300 | Mirant
Corp., Rule 144A, Senior Notes ௠| (NR
, NR) | 07/15/04 | 7.400 | 12,960 |
| 300 | Sierra
Pacific Resources, Global Senior Unsecured Notes (Callable 03/15/09 @
$104.31) | (B
, B1) | 03/15/14 | 8.625 | 319,057 |
| | | | | | 332,017 |
| Electronics
(2.2%) | | | | | |
| 1,000 | Amkor
Technology, Inc., Global Senior Notes (Callable 05/15/08 @ $103.88) | (B
, B1) | 05/15/13 | 7.750 | 968,750 |
| 183 | Ampex
Corp., Secured Notes (Callable 11/13/07 @ $100.00) ^ | (NR
, NR) | 08/15/08 | 12.000 | 182,942 |
| 1,725 | Freescale
Semiconductor Inc., Global Senior Subordinated Notes (Callable 12/15/11 @
$105.06) § | (B
, B2) | 12/15/16 | 10.125 | 1,612,875 |
| 200 | Freescale
Semiconductor Inc., Global Senior Unsecured Notes (Callable 12/15/10 @
$104.44) | (B
, B1) | 12/15/14 | 8.875 | 194,000 |
| 207 | GrafTech
Finance, Inc., Global Company Guaranteed Notes (Callable 11/13/07 @ $105.13) | (B
, B2) | 02/15/12 | 10.250 | 216,832 |
| 775 | Spansion,
Inc., Rule 144A, Senior Notes (Callable 01/15/11 @ $105.63) ‡ | (B
, Caa1) | 01/15/16 | 11.250 | 763,375 |
| 750 | Viasystems,
Inc., Global Senior Subordinated Notes (Callable 01/15/08 @ $105.25) | (B-
, Caa1) | 01/15/11 | 10.500 | 753,750 |
| | | | | | 4,692,524 |
| Energy -
Exploration & Production (2.7%) | | | | | |
| 775 | Chaparral
Energy, Inc., Rule 144A, Senior Notes (Callable 02/01/12 @ $104.44) ‡ | (CCC+
, Caa1) | 02/01/17 | 8.875 | 730,437 |
| 1,611 | Chesapeake
Energy Corp., Senior Notes (Callable 01/15/09 @ $103.44) | (BB
, Ba2) | 01/15/16 | 6.875 | 1,619,055 |
| 650 | Encore
Acquisition Co., Company Guaranteed Notes (Callable 12/01/10 @ $103.63) | (B
, B1) | 12/01/17 | 7.250 | 619,125 |
| 75 | Forest
Oil Corp., Global Company Guaranteed Notes (Callable 11/13/07 @ $103.88) | (B+
, B1) | 05/01/14 | 7.750 | 76,500 |
| 225 | Forest
Oil Corp., Rule 144A, Senior Notes (Callable 06/15/12 @ $103.63) ‡ | (B+
, B1) | 06/15/19 | 7.250 | 226,125 |
| 600 | Hilcorp
Energy I, Rule 144A, Senior Notes (Callable 06/01/11 @ $104.50) ‡ | (B
, B3) | 06/01/16 | 9.000 | 615,000 |
| 800 | Petrohawk
Energy Corp., Global Company Guaranteed Notes (Callable 07/15/10 @ $104.56) | (B-
, B3) | 07/15/13 | 9.125 | 848,000 |
| 975 | Plains
Exploration & Production Co., Company Guaranteed Notes (Callable 06/15/11
@ $103.88) | (BB-
, B1) | 06/15/15 | 7.750 | 960,375 |
| | | | | | 5,694,617 |
| Environmental
(1.3%) | | | | | |
| 1,525 | Allied
Waste North America, Inc., Series B, Global Senior Notes (Callable 04/15/09 @
$103.69) § | (B+
, B2) | 04/15/14 | 7.375 | 1,540,250 |
| 1,100 | Waste
Services, Inc., Global Senior Subordinated Notes (Callable 04/15/09 @
$104.75) | (CCC+
, Caa1) | 04/15/14 | 9.500 | 1,105,500 |
| | | | | | 2,645,750 |
| Food &
Drug Retailers (1.1%) | | | | | |
| 1,200 | Duane
Reade, Inc., Global Senior Subordinated Notes (Callable 08/01/08 @ $104.88) § | (CC
, Caa3) | 08/01/11 | 9.750 | 1,155,000 |
| 150 | Ingles
Markets, Inc., Global Senior Subordinated Notes (Callable 11/13/07 @ $104.44) | (B
, B3) | 12/01/11 | 8.875 | 153,750 |
| 250 | Rite
Aid Corp., Rule 144A, Company Guaranteed Notes (Callable 06/15/11 @ $104.69)
‡ | (CCC+
, Caa1) | 12/15/15 | 9.375 | 233,750 |
| 50 | Stater
Brothers Holdings, Global Company Guaranteed Note, (Callable 04/15/11 @
$103.88) | (B+
, B2) | 04/15/15 | 7.750 | 49,750 |
| 750 | Stater
Brothers Holdings, Inc., Global Senior Notes (Callable 06/15/08 @ $104.06) | (B+
, B2) | 06/15/12 | 8.125 | 767,812 |
| | | | | | 2,360,062 |
| Food -
Wholesale (0.8%) | | | | | |
| 525 | Dole
Foods Co., Inc., Debentures Notes § | (B-
, Caa1) | 07/15/13 | 8.750 | 514,500 |
| 550 | National
Beef Packing Company LLC, Global Senior Unsecured Notes (Callable 11/13/07 @
$105.25) | (B-
, Caa1) | 08/01/11 | 10.500 | 561,000 |
| 675 | Smithfield
Foods, Inc., Senior Unsecured Notes | (BB
, Ba3) | 07/01/17 | 7.750 | 695,250 |
| | | | | | 1,770,750 |

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| Forestry
& Paper (3.4%) — 525 | Boise
Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/09 @ $103.56) | (B+
, B2) | 10/15/14 | 7.125 | $ 506,625 |
| --- | --- | --- | --- | --- | --- |
| 1,150 | Cellu
Tissue Holdings, Inc., Global Secured Notes (Callable 11/13/07 @ $107.31) | (B
, B2) | 03/15/10 | 9.750 | 1,132,750 |
| 600 | Georgia-Pacific
Corp., Debentures Notes | (B
, B2) | 06/15/15 | 7.700 | 600,000 |
| 200 | Georgia-Pacific
Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ $103.56) ‡ | (B
, Ba3) | 01/15/17 | 7.125 | 194,500 |
| 775 | Graphic
Packaging International Corp., Global Senior Subordinated Notes (Callable 08/15/08
@ $104.75) | (B-
, B3) | 08/15/13 | 9.500 | 800,187 |
| 375 | Newark
Group, Inc., Global Senior Subordinated Notes (Callable 03/15/09 @ $104.88) | (B-
, B3) | 03/15/14 | 9.750 | 361,875 |
| 525 | NewPage
Corp., Global Secured Notes (Callable 05/01/09 @ $106.00) | (B
, B2) | 05/01/12 | 10.000 | 555,187 |
| 600 | NewPage
Corp., Global Senior Subordinated Notes (Callable 05/01/09 @ $106.00) § | (CCC+
, B3) | 05/01/13 | 12.000 | 646,500 |
| 1,600 | Smurfit-Stone
Container Enterprises, Inc., Global Senior Notes (Callable 11/13/07 @
$104.19) | (CCC+
, B3) | 07/01/12 | 8.375 | 1,608,000 |
| 675 | Verso
Paper Holdings LLC and Verson Paper Inc., Global Company Guaranteed Notes
(Callable 08/01/11 @ $105.69) | (CCC+
, B3) | 08/01/16 | 11.375 | 713,812 |
| 125 | Verso
Paper Holdings LLC and Verson Paper Inc., Global Secured Notes (Callable
08/01/10 @ $104.56) | (B+
, B2) | 08/01/14 | 9.125 | 129,375 |
| | | | | | 7,248,811 |
| Gaming
(4.3%) | | | | | |
| 725 | Buffalo
Thunder Development Authority, Rule 144A, Secured Notes (Callable 12/15/10 @
$104.69) ‡ | (B
, B2) | 12/15/14 | 9.375 | 685,125 |
| 775 | CCM
Merger, Inc., Rule 144A, Notes (Callable 08/01/09 @ $104.00) ‡ | (CCC+
, B3) | 08/01/13 | 8.000 | 759,500 |
| 150 | Choctaw
Resort Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/11 @
$103.63) ‡ | (BB
, Ba2) | 11/15/19 | 7.250 | 148,312 |
| 375 | Fontainebleau
Las Vegas, Rule 144A, Second Mortgage Notes (Callable 06/15/11 @ $105.13) ‡ | (CCC+
, Caa1) | 06/15/15 | 10.250 | 353,437 |
| 525 | Herbst
Gaming, Inc., Global Senior Subordinated Notes (Callable 06/01/08 @ $104.06) | (B-
, B3) | 06/01/12 | 8.125 | 473,156 |
| 475 | Inn
of the Mountain Gods, Global Senior Notes (Callable 11/13/07 @ $106.00) | (B
, B3) | 11/15/10 | 12.000 | 503,500 |
| 1,050 | Jacobs
Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/15/10 @
$104.88) | (B-
, B3) | 06/15/14 | 9.750 | 1,050,000 |
| 425 | Majestic
Star Casino LLC, Company Guaranteed Notes (Callable 11/16/07 @ $104.75) | (B+
, B1) | 10/15/10 | 9.500 | 410,125 |
| 550 | Majestic
Star Casino LLC, Global Senior Unsecured Notes (Callable 10/15/08 @ $104.88) | (CCC+
, Caa1) | 01/15/11 | 9.750 | 464,750 |
| 725 | MGM
Mirage, Inc., Company Guaranteed Notes | (BB
, Ba2) | 06/01/16 | 7.500 | 724,094 |
| 700 | MGM
Mirage, Inc., Company Guaranteed Notes | (BB
, Ba2) | 01/15/17 | 7.625 | 696,500 |
| 125 | MGM
Mirage, Inc., Global Company Guaranteed Notes | (BB
, Ba2) | 04/01/13 | 6.750 | 122,812 |
| 775 | Trump
Entertainment Resorts, Inc., Secured Notes (Callable 06/01/10 @ $104.25) | (B
, Caa1) | 06/01/15 | 8.500 | 649,062 |
| 475 | Turning
Stone Resort Casino Enterprise, Rule 144A, Senior Notes (Callable 09/15/10 @
$104.56) ‡ | (B+
, B1) | 09/15/14 | 9.125 | 494,000 |
| 1,325 | Wimar
Opco LLC, Rule 144A, Senior Subordinated Notes (Callable 12/15/10 @ $104.81)
‡ | (CCC+
, Caa1) | 12/15/14 | 9.625 | 1,033,500 |
| 500 | Wynn
Las Vegas LLC, Global First Mortgage Notes (Callable 12/01/09 @ $103.31) | (BB+
, B1) | 12/01/14 | 6.625 | 492,500 |
| | | | | | 9,060,373 |
| Gas
Distribution (1.4%) | | | | | |
| 1,150 | El
Paso Performance-Link, Rule 144A, Notes ‡ | (BB
, Ba3) | 07/15/11 | 7.750 | 1,187,133 |
| 525 | Inergy
LP/Inergy Finance Corp., Global Company Guaranteed Notes (Callable 03/01/11 @
$104.13) | (B
, B1) | 03/01/16 | 8.250 | 544,687 |
| 775 | Williams
Companies, Inc., Global Senior Notes | (BB
, Ba2) | 03/15/12 | 8.125 | 838,937 |
| 450 | Williams
Partners LP/Williams Partners Finance Corp., Global Company Guaranteed Notes | (BB+
, Ba3) | 02/01/17 | 7.250 | 461,250 |
| | | | | | 3,032,007 |
| Health
Services (5.3%) | | | | | |
| 800 | Community
Health Systems, Inc., Rule 144A, Senior Notes (Callable 07/15/11 @ $104.44) ‡ | (B-
, B3) | 07/15/15 | 8.875 | 826,000 |
| 700 | HCA,
Inc., Global Senior Unsecured Notes | (B-
, Caa1) | 01/15/15 | 6.375 | 598,500 |
| 3,200 | HCA,
Inc., Global Senior Unsecured Notes | (B-
, Caa1) | 02/15/16 | 6.500 | 2,736,000 |
| 1,225 | HCA,
Inc., Rule 144A, Secured Notes (Callable 11/15/11 @ $104.63) ‡ | (BB-
, B2) | 11/15/16 | 9.250 | 1,304,625 |
| 400 | HCA,
Inc., Senior Unsecured Notes | (B-
, Caa1) | 02/15/13 | 6.250 | 355,000 |
| 800 | Healthsouth
Corp., Global Company Guaranteed Notes (Callable 06/15/11 @ $105.38) | (CCC+
, Caa1) | 06/15/16 | 10.750 | 846,000 |
| 650 | Iasis
Healthcare/Capital Corp., Global Senior Subordinated Notes (Callable 06/15/09
@ $104.38) | (CCC+
, B3) | 06/15/14 | 8.750 | 661,375 |
| 100 | Service
Corp International/US, Global, Senior Unsecured Notes | (BB-
, B1) | 04/01/15 | 6.750 | 99,750 |
| 550 | Stewart
Enterprises, Inc., Global Senior Notes (Callable 02/15/09 @ $103.13) | (B+
, Ba3) | 02/15/13 | 6.250 | 537,625 |
| 1,500 | Tenet
Healthcare Corp., Global Senior Notes | (CCC+
, Caa1) | 07/01/14 | 9.875 | 1,380,000 |
| 500 | Tenet
Healthcare Corp., Global Senior Notes | (CCC+
, Caa1) | 02/01/15 | 9.250 | 443,750 |
| 275 | Universal
Hospital Services. Inc., Rule 144A, Secured Notes (Callable 06/01/09 @
$102.00) ‡# | (B+
, B3) | 06/01/15 | 8.759 | 275,000 |
| 300 | Universal
Hospital Services. Inc., Rule 144A, Secured Notes (Callable 06/01/11 @
$104.25) ‡ | (B+
, B3) | 06/01/15 | 8.500 | 298,500 |
| 950 | Vanguard
Health Holding Co., Global Senior Subordinated Notes (Callable 10/01/09 @
$104.50) | (CCC+
, Caa1) | 10/01/14 | 9.000 | 926,250 |
| | | | | | 11,288,375 |
| Hotels
(1.0%) | | | | | |
| 500 | Bluegreen
Corp., Series B, Company Guaranteed Notes (Callable 11/16/07 @ $100.00) | (B-
, B3) | 04/01/08 | 10.500 | 495,000 |
| 425 | Felcor
Lodging LP, Global Company Guaranteed Notes | (B+
, Ba3) | 06/01/11 | 8.500 | 450,500 |
| 250 | Host
Hotels & Resorts LP, Company Guaranteed Notes (Callable 11/01/10 @
$103.44) | (BB
, Ba1) | 11/01/14 | 6.875 | 250,625 |
| 825 | Host
Marriott LP, Global Company Guaranteed Notes (Callable 06/01/11 @ $103.33) | (BB
, Ba1) | 06/01/16 | 6.750 | 820,875 |
| | | | | | 2,017,000 |
| Household
& Leisure Products (1.0%) | | | | | |
| 650 | ALH
Finance LLC, Senior Subordinated Notes (Callable 01/15/09 @ $104.25) | (CCC-
, B3) | 01/15/13 | 8.500 | 627,250 |
| 400 | Ames
True Temper, Inc., Global Company Guaranteed Notes (Callable 11/13/07 @
$103.00)# | (CCC+
, Caa1) | 01/15/12 | 9.360 | 396,000 |

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| 600 | Ames
True Temper, Inc., Global Senior Subordinated Notes (Callable 07/15/08 @
$105.00) | (CCC-
, Caa3) | 07/15/12 | 10.000 | $ |
| --- | --- | --- | --- | --- | --- |
| 325 | Sealy
Mattress Co., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.13) | (B
, B2) | 06/15/14 | 8.250 | 329,062 |
| 225 | Simmons
Bedding Co., Global Senior Subordinated Notes (Callable 01/15/09 @ $103.94) | (CCC+
, B2) | 01/15/14 | 7.875 | 217,125 |
| | | | | | 2,034,437 |
| Leisure
(0.7%) | | | | | |
| 350 | Bally
Total Fitness Holding Corp., Global Senior Notes (Callable 11/16/07 @
$105.25) §Ø | (NR
, NR) | 07/15/11 | 10.500 | 371,000 |
| 675 | Six
Flags, Inc., Global Senior Notes (Callable 04/15/08 @ $104.88) § | (CCC
, Caa1) | 04/15/13 | 9.750 | 575,438 |
| 700 | Six
Flags, Inc., Global Senior Notes (Callable 06/01/09 @ $104.81) § | (CCC
, Caa1) | 06/01/14 | 9.625 | 581,875 |
| | | | | | 1,528,313 |
| Machinery
(0.3%) | | | | | |
| 525 | Baldor
Electric Co., Company Guaranteed Notes (Callable 02/15/12 @ $104.31) | (B
, B3) | 02/15/17 | 8.625 | 551,250 |
| Media -
Broadcast (2.7%) | | | | | |
| 525 | Allbritton
Communications Co., Global Senior Subordinated Notes (Callable 12/15/07 @ $103.88) | (B-
, B1) | 12/15/12 | 7.750 | 532,875 |
| 850 | Barrington
Broadcasting Group LLC and Barrington Broadcasting Capital Corp., Global
Company Guaranteed Notes (Callable 08/15/10 @ $105.25) | (CCC+
, B3) | 08/15/14 | 10.500 | 879,750 |
| 575 | CMP
Susquehanna Corp., Global Company Guaranteed Notes (Callable 05/15/10 @
$104.94) | (CCC
, Caa1) | 05/15/14 | 10.125 | 537,625 |
| 300 | Fisher
Communications, Inc., Global Senior Notes (Callable 09/15/09 @ $104.31) | (B-
, B2) | 09/15/14 | 8.625 | 312,000 |
| 850 | ION
Media Networks, Inc., Rule 144A, Secured Notes (Callable 01/15/08 @ $102.00)
‡# | (CCC-
, Caa2) | 01/15/13 | 10.777 | 869,125 |
| 575 | Local
TV Finance LLC, Rule 144A, Senior Unsecured Notes (Callable 06/15/11 @
$104.63) ‡ | (CCC+
, Caa1) | 06/15/15 | 9.250 | 543,375 |
| 985 | Univision
Communications, Inc., Rule 144A, Senior Notes (Callable 03/15/11 @ $104.88) ‡ | (CCC+
, B3) | 03/15/15 | 9.750 | 965,300 |
| 400 | XM
Satellite Radio, Inc., Global Company Guaranteed Notes (Callable 05/01/08 @
$102.00) # | (CCC
, Caa1) | 05/01/13 | 9.856 | 397,000 |
| 925 | Young
Broadcasting, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @
$104.38) # | (CCC-
, Caa1) | 01/15/14 | 8.750 | 786,250 |
| | | | | | 5,823,300 |
| Media -
Cable (5.2%) | | | | | |
| 1,050 | Atlantic
Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/09 @
$104.69) | (CCC+
, Caa1) | 01/15/14 | 9.375 | 1,023,750 |
| 1,500 | CCH
I Holdings LLC, Global Company Guaranteed Notes (Callable 11/16/07 @ $100.00)
§ | (CCC
, Caa3) | 04/01/14 | 9.920 | 1,297,500 |
| 1,662 | CCH
I Holdings LLC, Global Secured Notes (Callable 10/01/10 @ $105.50) | (CCC
, Caa2) | 10/01/15 | 11.000 | 1,691,085 |
| 1,200 | Charter
Communications Holdings LLC/Charter Communications Holdings Capital Corp.,
Senior Notes (Callable 09/15/08 @ $105.13) | (CCC
, Caa2) | 09/15/10 | 10.250 | 1,254,000 |
| 495 | Charter
Communications Holdings LLC, Senior Discount Notes (Callable 11/13/07 @
$100.00) | (CCC
, Caa3) | 04/01/11 | 9.920 | 458,494 |
| 950 | CSC
Holdings, Inc., Global Senior Notes | (B+
, B2) | 04/15/12 | 6.750 | 919,125 |
| 655 | CSC
Holdings, Inc., Senior Notes | (B+
, B2) | 04/01/11 | 7.625 | 659,913 |
| 675 | DirecTV
Holdings LLC, Global Senior Notes (Callable 03/15/08 @ $104.19) | (BB-
, Ba3) | 03/15/13 | 8.375 | 704,531 |
| 750 | Echostar
DBS Corp., Global Company Guaranteed Notes | (BB-
, Ba3) | 10/01/14 | 6.625 | 755,625 |
| 250 | Insight
Communications Company, Inc., Senior Discount Notes (Callable 11/13/07 @
$104.08) + | (CCC+
, B3) | 02/15/11 | 12.250 | 259,375 |
| 259 | Insight
Midwest/Insight Capital, Senior Notes (Callable 11/16/07 @ $100.00) | (B
, B3) | 10/01/09 | 9.750 | 259,971 |
| 475 | Mediacom
Broadband LLC, Global Senior Notes (Callable 10/13/10 @ $104.25) | (B
, B3) | 10/15/15 | 8.500 | 478,563 |
| 525 | Mediacom
LLC/Capital Corp., Senior Notes (Callable 11/13/07 @ $101.97) | (B
, B3) | 02/15/11 | 7.875 | 518,438 |
| 825 | TL
Acquisitions, Inc., Rule 144A, Senior Notes (Callable 07/15/11 @ $105.25) ‡ | (CCC
, Caa1) | 01/15/15 | 10.500 | 818,813 |
| | | | | | 11,099,183 |
| Media -
Services (0.2%) | | | | | |
| 475 | WMG
Holdings Corp., Global Company Guaranteed Notes (Callable 12/15/09 @ $104.75)
+ | (B
, B2) | 12/15/14 | 0.000 | 334,875 |
| Metals
& Mining Excluding Steel (1.8%) | | | | | |
| 675 | Aleris
International Inc., Global Company Guaranteed Notes (Callable 12/15/11 @ $105.00) | (B-
, Caa1) | 12/15/16 | 10.000 | 600,750 |
| 125 | Aleris
International Inc., Global Company Guaranteed Notes (Callable 12/15/10 @
$104.50) | (B-
, B3) | 12/15/14 | 9.000 | 116,250 |
| 500 | Alpha
Natural Resources, Global Company Guaranteed Notes (Callable 06/01/08 @
$105.00) | (B-
, B3) | 06/01/12 | 10.000 | 527,500 |
| 825 | Freeport-McMoRan
Copper & Gold, Inc., Senior Unsecured Notes (Callable 04/01/11 @ $104.13) | (BB
, Ba3) | 04/01/15 | 8.250 | 893,063 |
| 625 | Freeport-McMoRan
Copper & Gold, Inc., Senior Unsecured Notes (Callable 04/01/12 @ $104.19) | (BB
, Ba3) | 04/01/17 | 8.375 | 684,375 |
| 1,050 | Noranda
Aluminium Acquisition Corp., Rule 144A, Senior Unsecured Notes (Callable
05/15/08 @ $102.00) ‡# | (CCC+
, B3) | 05/15/15 | 9.360 | 992,250 |
| | | | | | 3,814,188 |
| Mortgage
Banks & Thrifts (0.5%) | | | | | |
| 1,050 | Countrywide
Home Loans Inc., Global Notes | (A-
, Baa3) | 12/19/07 | 4.250 | 1,037,902 |
| Non-Food
& Drug Retailers (4.0%) | | | | | |
| 250 | Affinity
Group, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $104.50) | (CCC+
, B3) | 02/15/12 | 9.000 | 256,250 |
| 855 | Affinity
Group, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $105.44) | (CCC+
, Caa1) | 02/15/12 | 10.875 | 885,396 |
| 525 | Asbury
Automotive Group, Inc., Rule 144A, Senior Subordinated Notes (Callable
03/15/12 @ $103.81) ‡ | (B
, B3) | 03/15/17 | 7.625 | 485,625 |
| 825 | Brookstone
Company, Inc., Global Secured Notes (Callable 10/15/09 @ $106.00) § | (B
, Caa1) | 10/15/12 | 12.000 | 820,875 |
| 825 | Claire’s
Stores, Inc., Rule 144A, Senior Notes (Callable 06/01/11 @ $104.81) ‡ | (CCC+
, Caa1) | 06/01/15 | 9.625 | 682,688 |
| 650 | Finlay
Fine Jewelry Corp., Global Senior Notes (Callable 06/01/08 @ $104.19) | (B-
, Caa1) | 06/01/12 | 8.375 | 497,250 |

SEQ.=1,FOLIO='',FILE='C:\JMS\jkarthi\07-26949-3\task2535739\26949-3-bg-01.htm',USER='105429',CD='Nov 20 01:17 2007'

| 703 | Flooring
America, Inc., Series B, Company Guaranteed Notes ^Ø | (NR
, NR) | 10/15/07 | 9.250 | $ |
| --- | --- | --- | --- | --- | --- |
| 525 | GSC
Holdings Corp., Global Company Guaranteed Notes (Callable 10/01/09 @ $104.00) | (BB
, Ba3) | 10/01/12 | 8.000 | 548,625 |
| 300 | Michaels
Stores, Inc., Rule 144A, Senior Notes (Callable 11/01/10 @ $105.00) ‡ | (CCC
, B2) | 11/01/14 | 10.000 | 309,000 |
| 700 | Michaels
Stores, Inc., Rule 144A, Senior Subordinated Notes (Callable 11/01/11 @
$105.69) ‡ | (CCC
, Caa1) | 11/01/16 | 11.375 | 719,250 |
| 500 | Nebraska
Book Co, Inc., Global Company Guaranteed Notes (Callable 03/15/08 @ $104.31) | (CCC
, B3) | 03/15/12 | 8.625 | 501,250 |
| 1,000 | Neiman-Marcus
Group, Inc., Global Company Guaranteed Notes (Callable 10/15/10 @ $105.19) | (B-
, B3) | 10/15/15 | 10.375 | 1,095,000 |
| 650 | PCA
LLC, Global Senior Notes Ø | (NR
, NR) | 08/01/09 | 11.875 | 34,125 |
| 400 | SGS
International, Inc., Global Company Guaranteed Notes (Callable 12/15/09 @
$106.00) | (B-
, B3) | 12/15/13 | 12.000 | 414,000 |
| 547 | Susser
Holdings LLC, Global Company Guaranteed Notes (Callable 12/15/09 @ $105.31) | (B+
, B2) | 12/15/13 | 10.625 | 566,145 |
| 50 | Yankee
Acquisition Corp., Series B, Global Company Guaranteed Notes (Callable
02/15/11 @ $104.25) | (CCC+
, B3) | 02/15/15 | 8.500 | 48,750 |
| 750 | Yankee
Acquisition Corp., Series B, Global Company Guaranteed Notes (Callable
02/15/12 @ $104.88) § | (CCC+
, Caa1) | 02/15/17 | 9.750 | 712,500 |
| | | | | | 8,576,729 |
| Office
Equipment (0.1%) | | | | | |
| 200 | IKON
Office Solutions, Inc., Global Senior Notes (Callable 09/15/10 @ $103.88) | (BB
, Ba3) | 09/15/15 | 7.750 | 202,000 |
| Packaging
(2.9%) | | | | | |
| 775 | Berry
Plastics Holding Corp., Company Guaranteed Notes (Callable 03/01/11 @
$105.13) | (CCC+
, Caa2) | 03/01/16 | 10.250 | 763,375 |
| 840 | Berry
Plastics Holding Corp., Global Secured Notes (Callable 09/15/10 @ $104.44) | (B
, B3) | 09/15/14 | 8.875 | 863,100 |
| 1,025 | Constar
International, Inc., Senior Subordinated Notes (Callable 12/01/07 @ $105.50)
§ | (CCC
, Caa2) | 12/01/12 | 11.000 | 794,375 |
| 410 | Crown
Americas LLC, Global Senior Notes (Callable 11/15/10 @ $103.88) | (B
, B1) | 11/15/15 | 7.750 | 425,375 |
| 25 | Graham
Packaging Co, Inc., Global Company Guaranteed Notes (Callable 10/15/08 @
$104.25) | (CCC+
, Caa1) | 10/15/12 | 8.500 | 24,938 |
| 775 | Graham
Packaging Co, Inc., Global Company Guaranteed Notes (Callable 10/15/09 @
$104.94) § | (CCC+
, Caa1) | 10/15/14 | 9.875 | 771,125 |
| 680 | Owens
Brockway Glass Container, Inc., Global Company Guaranteed Notes (Callable
05/15/08 @ $104.13) | (B
, B3) | 05/15/13 | 8.250 | 707,200 |
| 725 | Pliant
Corp., Global Secured Notes (Callable 11/13/07 @ $105.56) | (CCC
, Caa1) | 09/01/09 | 11.125 | 656,125 |
| 1,175 | Solo
Cup Co., Global Senior Subordinated Notes (Callable 02/15/09 @ $104.25) | (CCC-
, Caa2) | 02/15/14 | 8.500 | 1,045,750 |
| | | | | | 6,051,363 |
| Printing
& Publishing (3.3%) | | | | | |
| 775 | American
Media Operations, Inc., Series B, Global Company Guaranteed Notes (Callable
11/13/07 @ $100.00) § | (CCC-
, Caa2) | 05/01/09 | 10.250 | 691,688 |
| 875 | CBD
Media Holdings Finance, Inc., Global Senior Subordinated Notes (Callable
07/15/08 @ $104.63) | (CCC+
, Caa1) | 07/15/12 | 9.250 | 944,204 |
| 350 | Dex
Media, Inc., Global Discount Notes (Callable 11/15/08 @ $104.50) + | (B
, B2) | 11/15/13 | 0.000 | 330,750 |
| 750 | Haights
Cross Operating Co., Global Company Guaranteed Notes (Callable 08/15/08 @
$105.88) | (CCC-
, Caa2) | 08/15/11 | 11.750 | 781,875 |
| 625 | Idearc,
Inc., Global Company Guaranteed Notes (Callable 11/15/11 @ 104.00) | (B+
, B2) | 11/15/16 | 8.000 | 626,563 |
| 2,000 | Premier
Graphics, Inc., Company Guaranteed Notes ^Ø | (NR
, NR) | 12/01/05 | 11.500 | 0 |
| 250 | R.H.
Donnelley Corp., Global Senior Notes (Callable 10/15/12 @ $104.44) ‡ | (B
, B3) | 10/15/17 | 8.875 | 255,000 |
| 150 | R.H.
Donnelley Corp. Series A-3, Global Senior Notes (Callable 01/15/11 @ $104.44) | (B
, B3) | 01/15/16 | 8.875 | 153,563 |
| 1,600 | R.H.
Donnelley Corp., Global Senior Unsecured Notes (Callable 01/15/09 @ $103.44) | (B
, B3) | 01/15/13 | 6.875 | 1,520,000 |
| 575 | R.H.
Donnelley Corp., Series A-2, Global Senior Discount Notes (Callable 01/15/09
@ $103.44) | (B
, B3) | 01/15/13 | 6.875 | 546,250 |
| 850 | Reader’s
Digest Association, Inc., Rule 144A, Senior Subordinated Notes (Callable
02/15/12 @ $104.50) ‡ | (CCC+
, Caa1) | 02/15/17 | 9.000 | 769,250 |
| 650 | Valassis
Communications Inc., Global Company Guaranteed Notes (Callable 03/01/11 @
$104.13) | (B-
, B3) | 03/01/15 | 8.250 | 568,750 |
| | | | | | 7,187,893 |
| Restaurants
(0.6%) | | | | | |
| 850 | Buffets,
Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $106.25)§ | (CCC
, Caa1) | 11/01/14 | 12.500 | 599,250 |
| 475 | Denny’s
Corp., Global Company Guaranteed Notes (Callable 10/01/08 @ $105.00) | (B-
, B3) | 10/01/12 | 10.000 | 492,813 |
| 275 | OSI
Restaurant Partners, Inc., Rule 144A, Senior Notes (Callable 06/15/11 @
$105.00) ‡ | (CCC+
, Caa1) | 06/15/15 | 10.000 | 244,750 |
| | | | | | 1,336,813 |
| Software/Services
(0.9%) | | | | | |
| 1,750 | SunGard
Data Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/10 @
$105.13) | (B-
, Caa1) | 08/15/15 | 10.250 | 1,837,500 |
| Steel
Producers/Products (1.1%) | | | | | |
| 575 | AK
Steel Corp., Global Company Guaranteed Notes (Callable 11/13/07 @ $103.88) | (B+
, B1) | 06/15/12 | 7.750 | 585,063 |
| 725 | PNA
Group Inc., Global Senior Unsecured Notes (Callable 09/01/11 @ $105.38) | (B-
, B3) | 09/01/16 | 10.750 | 743,125 |
| 250 | PNA
Holding Corp., Rule 144A, Senior Notes (Callable 02/15/08 @ $102.00) ‡# | (B-
, Caa1) | 02/15/13 | 12.557 | 246,250 |
| 800 | RathGibson,
Inc., Global Company Guaranteed Notes (Callable 02/15/10 @ $105.63) | (B-
, B3) | 02/15/14 | 11.250 | 822,000 |
| 0 | WCI
Steel Acquisition, Inc., Senior Notes Ø 1 | (NR
, NR) | 05/01/16 | 8.000 | 333 |
| | | | | | 2,396,771 |
| Support -
Services (5.1%) | | | | | |
| 400 | Allied
Security Escrow Corp., Global Senior Subordinated Notes (Callable 07/15/08 @
$105.69) | (CCC+
, Caa1) | 07/15/11 | 11.375 | 402,000 |
| 650 | ARAMARK
Corp., Global Company Guaranteed Notes (Callable 02/01/11 @ $104.25) | (B-
, B3) | 02/01/15 | 8.500 | 666,250 |
| 200 | ARAMARK
Corp., Global, Company Guaranteed Notes (Callable 02/01/09 @ $102) # | (B-
, B3) | 02/01/15 | 8.856 | 203,000 |
| 200 | Ashtead
Capital, Inc., Rule 144A, Notes (Callable 08/15/11 @ $104.50) ‡ | (B
, B1) | 08/15/16 | 9.000 | 198,250 |
| 100 | Education
Management LLC, Senior Notes (Callable 06/01/10 @ $104.38) | (CCC+
, B2) | 06/01/14 | 8.750 | 103,000 |
| 675 | Education
Management LLC, Senior Subordinated Notes (Callable 06/01/11 @ $105.13) | (CCC+
, Caa1) | 06/01/16 | 10.250 | 702,000 |

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| 300 | Hertz
Corp., Senior Notes (Callable 01/01/10 @ $104.44) | (B
, B1) | 01/01/14 | 8.875 | $ |
| --- | --- | --- | --- | --- | --- |
| 400 | Hertz
Corp., Senior Subordinated Notes (Callable 01/01/11 @ $105.25) | (B
, B2) | 01/01/16 | 10.500 | 434,000 |
| 250 | Iron
Mountain, Inc., Company Guaranteed Notes (Callable 07/01/08 @ $103.31) | (B
, B3) | 01/01/16 | 6.625 | 235,000 |
| 350 | Iron
Mountain, Inc., Company Guaranteed Notes (Callable 11/13/07 @ $102.88) | (B
, B3) | 04/01/13 | 8.625 | 356,125 |
| 1,100 | Johnsondiversey
Holdings, Inc., Global Discount Notes (Callable 11/13/07 @ $105.34) + | (CCC+
, Caa1) | 05/15/13 | 10.670 | 1,116,500 |
| 475 | KAR
Holdings, Inc., Rule 144A, Senior Notes (Callable 05/01/10 @ $104.38) ‡ | (CCC
, B3) | 05/01/14 | 8.750 | 457,188 |
| 425 | KAR
Holdings, Inc., Rule 144A, Senior Surbordinated Notes (Callable 04/01/11 @
$105.00) ‡ | (CCC
, Caa1) | 05/01/15 | 10.000 | 400,563 |
| 650 | Mobile
Services Group, Inc., Rule 144A, Senior Notes (Callable 08/01/10 @ $104.88) ‡ | (B-
, B3) | 08/01/14 | 9.750 | 653,250 |
| 800 | Neff
Corp., Global Company Guaranteed Notes (Callable 06/01/11 @ $105) | (B-
, Caa2) | 06/01/15 | 10.000 | 572,000 |
| 725 | Rental
Service Corp., Global Company Guaranteed Notes (Callable 12/01/10 @ $104.75) | (B-
, Caa1) | 12/01/14 | 9.500 | 696,000 |
| 1,175 | Travelport
LLC, Global Company Guaranteed Notes (Callable 09/01/11 @ $105.94) § | (CCC+
, Caa1) | 09/01/16 | 11.875 | 1,236,688 |
| 850 | United
Rentals North America, Inc., Global Senior Subordinated Notes (Callable
02/15/09 @ $103.50) | (B
, B3) | 02/15/14 | 7.000 | 871,250 |
| 650 | Varietal
Distribution Merger Sub, Inc., Rule 144A, Senior Notes (Callable 07/15/11 @
$105.13) ‡ | (CCC+
, Caa1) | 07/15/15 | 10.250 | 630,500 |
| 525 | Williams
Scotsman, Inc., Global Company Guaranteed Notes (Callable 10/01/10 @ $104.25) | (B+
, B2) | 10/01/15 | 8.500 | 580,125 |
| | | | | | 10,824,189 |
| Telecom -
Fixed Line (1.3%) | | | | | |
| 1,375 | Level
3 Financing Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $102)

| (CCC+

, B3) | 02/15/15 | 9.150 | 1,316,563 |
| 375 | Level
3 Financing, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @
$104.63) | (CCC+
, B3) | 11/01/14 | 9.250 | 371,250 |
| 550 | PAETEC
Holding Corp., Rule 144A, Senior Notes (Callable 07/15/11 @ $104.75) ‡ | (CCC+
, Caa1) | 07/15/15 | 9.500 | 552,750 |
| 500 | Time
Warner Telecom Holdings, Inc., Global Company Guaranteed Notes (Callable
02/15/09 @ $104.63) | (CCC+
, B3) | 02/15/14 | 9.250 | 521,250 |
| | | | | | 2,761,813 |
| Telecom -
Integrated/Services (2.4%) | | | | | |
| 900 | Cincinnati
Bell, Inc., Global Company Guaranteed Notes (Callable 01/15/09 @ $104.19) | (B-
, B2) | 01/15/14 | 8.375 | 902,250 |
| 425 | Hawaiian
Telecom Communications, Inc., Global Company Guaranteed Notes (Callable
05/01/10 @ $106.25) § | (CCC
, Caa1) | 05/01/15 | 12.500 | 461,125 |
| 825 | Hughes
Network Systems LLC, Global Company Guaranteed Notes (Callable 04/15/10 @
$104.75) | (B-
, B1) | 04/15/14 | 9.500 | 835,313 |
| 1,000 | Qwest
Communications International, Inc., Global Company Guaranteed Notes (Callable
02/15/08 @ $103.63) | (B+
, Ba3) | 02/15/11 | 7.250 | 1,016,250 |
| 475 | Qwest
Communications International, Inc., Global Company Guaranteed Notes (Callable
02/15/09 @ $103.75) | (B
, Ba3) | 02/15/14 | 7.500 | 483,313 |
| 120 | Qwest
Corp., Global Senior Notes | (BBB-
, Ba1) | 06/15/15 | 7.625 | 126,300 |
| 75 | Qwest
Corp., Global Senior Unsecured Notes | (BBB-
, Ba1) | 10/01/14 | 7.500 | 78,375 |
| 225 | Windstream
Corp., Global Company Guaranteed Notes | (BB-
, Ba3) | 08/01/13 | 8.125 | 237,938 |
| 75 | Windstream
Corp., Global Company Guaranteed Notes (Callable 03/15/12 @ $103.50) | (BB-
, Ba3) | 03/15/19 | 7.000 | 73,500 |
| 725 | Windstream
Corp., Global Company Guaranteed Notes (Callable 08/01/11 @ $104.31) | (BB-
, Ba3) | 08/01/16 | 8.625 | 776,656 |
| | | | | | 4,991,020 |
| Telecom -
Wireless (1.8%) | | | | | |
| 375 | Centennial
Cellular Communications Corp., Global Company Guaranteed Notes (Callable
06/15/08 @ $105.06) | (CCC+
, B2) | 06/15/13 | 10.125 | 399,375 |
| 575 | Cricket
Communications, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @
$104.69) | (CCC
, Caa1) | 11/01/14 | 9.375 | 586,500 |
| 875 | Dobson
Cellular Systems, Inc., Global Secured Notes (Callable 11/1/08 @ $104.94) | (B-
, B1) | 11/01/12 | 9.875 | 949,375 |
| 725 | MetroPCS
Wireless, Inc., Rule 144A, Senior Notes (Callable 11/01/10 @ $104.63) ‡ | (CCC
, Caa1) | 11/01/14 | 9.250 | 743,125 |
| 525 | Rural
Cellular Corp., Rule 144A, Senior Subordinated Notes (Callable 06/01/08 @
$102.00) ‡# | (CCC
, Caa2) | 06/01/13 | 8.621 | 540,750 |
| 625 | Suncom
Wireless, Inc., Global Company Guaranteed Notes (Callable 06/01/08 @ $104.25) | (CCC
, Caa2) | 06/01/13 | 8.500 | 657,031 |
| | | | | | 3,876,156 |
| Theaters
& Entertainment (0.5%) | | | | | |
| 1,025 | AMC
Entertainment, Inc., Global Senior Subordinated Notes (Callable 03/01/09 @
$104.00) | (CCC+
, B2) | 03/01/14 | 8.000 | 981,438 |
| Transportation
Excluding Air/Rail (0.2%) | | | | | |
| 500 | Bristow
Group, Inc., Rule 144A, Senior Notes (Callable 09/15/12) @ $103.75) ‡ | (BB
, Ba2) | 09/15/17 | 7.500 | 512,500 |
| TOTAL U.S.
CORPORATE BONDS (Cost $188,627,513) | | | | | 183,617,590 |

Number
of Shares
COMMON
STOCKS (0.5%)
Automobile
Parts & Equipment (0.0%)
774,557	Cambridge Industries
Liquidating Trust ^*	0
1,219	Safelite Realty Corp. ^*	9,752
		9,752
Chemicals
(0.1%)
4,893	Huntsman Corp. *	129,616

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| Consumer -
Products (0.0%) — 20,689 | Indesco Liquid Dispensing
Co. ^ | $ 0 |
| --- | --- | --- |
| Electric -
Integrated (0.3%) | | |
| 14,300 | Mirant Corp. * | 581,724 |
| Gaming
(0.0%) | | |
| 12,000 | Progressive Gaming
International Corp. * | 60,000 |
| Media -
Cable (0.0%) | | |
| 750,000 | Adelphia Recovery Trust ^ | 0 |
| Packaging
(0.0%) | | |
| 5 | Pliant Corp. ^ | 0 |
| Printing
& Publishing (0.1%) | | |
| 10,652 | Mail Well, Inc., Rule 144A
‡ | 230,403 |
| Restaurants
(0.0%) | | |
| 5 | Roma Restaurant Holdings,
Inc., ^ | 90 |
| Steel
Producers/Products (0.0%) | | |
| 2,787 | WCI Steel Acquisition, Inc.
* | 97,545 |
| TOTAL
COMMON STOCKS (Cost $1,854,618) | | 1,109,130 |
| PREFERRED
STOCKS (0.0%) | | |
| Media -
Cable (0.0%) | | |
| 7,500 | Adelphia Communications
Corp., 13% cumulative Series B ^ (Cost $0) | 0 |
| WARRANTS
(0.0%) | | |
| Building
Materials (0.0%) | | |
| 1,250 | Dayton Superior Corp.,
strike price $0.01, Rule 144A, expires 06/15/09 ‡^* (Cost $25,000) | 13 |
| TOTAL U.S.
SECURITIES (Cost $190,507,131) | | 184,726,733 |

Par — (000)		Ratings† — (S&P/Moody’s)	Maturity	Rate%	Value
FOREIGN
CORPORATE BONDS (9.3%)
Apparel/Textiles
(0.1%)
$ 150	IT
Holdings Finance SA, Rule 144A, Senior Notes (Luxembourg) ‡	(CCC
, B3)	11/15/12	9.875	$ 216,522
Building
Materials (0.2%)
750	MAAX
Corp., Global Senior Subordinated Notes (Callable 06/15/08 @ $104.88)
(Canada)	(CC
, Caa3)	06/15/12	9.750	378,750
Chemicals
(0.9%)
1,150	Basell
AF SCA, Rule 144A, Company Guaranteed Notes (Callable 08/15/10 @ $104.19)
(Luxembourg) ‡	(B
, B2)	08/15/15	8.375	1,055,125
850	Ineos
Group Holdings PLC, Rule 144A, Senior Subordinated Notes (Callable 02/15/11 @
$104.25) (United Kingdom) ‡	(B-
, B3)	02/15/16	8.500	818,125
					1,873,250
Electronics
(1.0%)
300	Avago
Technologies Finance PTE, Global Company Guaranteed Notes (Callable 12/01/09
@ $105.06) (Singapore)	(B
, B2)	12/01/13	10.375	324,000
400	Avago
Technologies Finance PTE, Global Company Guaranteed Notes (Callable 12/01/10
@ $105.94) (Singapore)	(CCC+
, Caa1)	12/01/15	11.875	448,000
250	Magnachip
Semiconductor, Senior Subordinated Notes (Callable 12/15/09 @ $104.00)
(Luxembourg)	(CCC+
, Caa1)	12/15/14	8.000	173,750
1,150	NXP
BV / NXP Funding LLC, Global Company Guaranteed Notes (Callable 10/15/11 @
$104.75) (Netherlands)	(B+
, B3)	10/15/15	9.500	1,075,250
225	NXP
BV / NXP Funding LLC, Global Secured Notes (Callable 10/15/10 @ $103.94)
(Netherlands)	(BB+
, Ba3)	10/15/14	7.875	217,406
					2,238,406
Energy -
Exploration & Production (0.3%)
550	OPTI
Canada, Inc., Rule 144A, Company Guaranteed Notes (Callable 12/15/10 @
$104.13) (Canada) ‡	(BB+
, B1)	12/15/14	8.250	556,875

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| Forestry
& Paper (1.0%) — 350 | Abitibi-Consolidated,
Inc., Global Notes (Canada) | (B
, B3) | 06/15/11 | 7.750 | $ 271,250 |
| --- | --- | --- | --- | --- | --- |
| 700 | Abitibi-Consolidated,
Inc., Yankee Senior Notes (Canada) § | (B
, B3) | 04/01/15 | 8.375 | 512,750 |
| 550 | Bowater
Canada Finance Corp., Global Company Guaranteed Notes (Canada) | (B
, B3) | 11/15/11 | 7.950 | 455,125 |
| 750 | Smurfit
Kappa Funding PLC, Global Senior Subordinated Notes (Callable 01/31/10 @
$103.88) (Ireland) | (B
, B2) | 04/01/15 | 7.750 | 735,000 |
| 235 | Tembec
Industries, Inc., Global Company Guaranteed Notes (Canada) | (CCC-
, Ca) | 03/15/12 | 7.750 | 91,650 |
| | | | | | 2,065,775 |
| Leisure
(0.4%) | | | | | |
| 750 | NCL
Corp., Global Senior Unsubordinated Notes (Callable 07/15/09 @ $105.31)
(Bermuda) | (B
, B3) | 07/15/14 | 10.625 | 759,375 |
| Media -
Broadcast (0.0%) | | | | | |
| 4,600 | Australis
Holdings Pty. Ltd., Yankee Senior Discount Notes (Australia) ^Ø | (NR
, NR) | 11/01/02 | 15.000 | 0 |
| Media -
Cable (0.9%) | | | | | |
| 400 | Unity
Media GMBH, Rule 144A, Senior Notes (Callable 02/15/10 @ $105.06) (Germany) ‡ | (CCC+
, Caa2) | 02/15/15 | 10.125 | 601,569 |
| 393 | Telenet
Group Holding NV, Rule 144A, Discount Notes (Callable 12/15/08 @ $105.75)
(Belgium) ‡+ | (CCC+
, B3) | 06/15/14 | 11.500 | 391,035 |
| 350 | Virgin
Media Finance PLC, Global Company Guaranteed Notes (Callable 04/15/09 @
$104.88) (United Kingdom) | (B-
, B2) | 04/15/14 | 9.750 | 714,855 |
| 150 | Virgin
Media Finance PLC, Global Company Guaranteed Notes (Callable 08/15/11 @
$104.56) (United Kingdom) | (B-
, B2) | 08/15/16 | 9.125 | 156,375 |
| | | | | | 1,863,834 |
| Metals
& Mining Excluding Steel (0.0%) | | | | | |
| 800 | International
Utility Structures, Inc., Subordinated Notes (Callable 11/13/07 @ $100.00)
(Canada) ^Ø | (NR
, NR) | 02/01/08 | 10.750 | 0 |
| 924 | International
Utility Structures, Inc., Yankee Senior Subordinated Notes (Callable 11/13/07
@ $100.00) (Canada) ^Ø | (NR
, NR) | 02/01/08 | 13.000 | 0 |
| | | | | | 0 |
| Oil
Refining & Marketing (0.1%) | | | | | |
| 150 | Petroplus
Finance Ltd., Rule 144A, Private Placement Company Guaranteed Notes (Callable
05/01/11 @ $103.38) (Bermuda) ‡ | (BB-
, B1) | 05/01/14 | 6.750 | 144,750 |
| Packaging
(0.2%) | | | | | |
| 227 | Gerresheimer
Holdings GMBH, Rule 144A, Company Guaranteed Notes (Callable 02/15/10 @ $103.94)
(Germany) ‡ | (B+
, B2) | 03/01/15 | 7.875 | 336,333 |
| Pharmaceuticals
(0.2%) | | | | | |
| 500 | Elan
Finance PLC/Elan Finance Corp., Global Company Guaranteed Notes (Callable
12/01/10 @ $104.44) (Ireland) | (B
, B3) | 12/01/13 | 8.875 | 493,750 |
| Printing
& Publishing (0.6%) | | | | | |
| 800 | Quebecor
Media Inc., Rule 144A, Private Placement Notes (Callable 03/15/11 @ $103.88)
(Canada) ‡ | (B
, B2) | 03/15/16 | 7.750 | 767,000 |
| 525 | Quebecor
World, Inc., Rule 144A, Senior Notes (Callable 01/15/11 @ $104.88) (Canada) ‡ | (B
, B3) | 01/15/15 | 9.750 | 505,312 |
| | | | | | 1,272,312 |
| Support -
Services (0.5%) | | | | | |
| 675 | Ashtead
Holdings PLC, Rule 144A, Secured Notes (Callable 08/01/10 @ $104.31) (United
Kingdom) ‡ | (B
, B1) | 08/01/15 | 8.625 | 659,813 |
| 325 | Carlson
Wagonlit BV, Rule 144A, Bonds (Callable 11/01/07 @ $104.00) (Netherlands) ‡ | (B-
, B2) | 05/1/15 | 10.002 | 479,531 |
| | | | | | 1,139,344 |
| Telecom -
Integrated/Services (2.2%) | | | | | |
| 875 | Global
Crossing UK Finance PLC, Global Company Guaranteed Notes (Callable 12/15/09 @
$105.38) (United Kingdom) | (B-
, B3) | 12/15/14 | 10.750 | 920,938 |
| 350 | Hellas
II, Rule 144A, Secured Notes (Callable 01/15/08 @ $102.00) (Luxembourg) ‡# | (CCC+
, NR) | 01/15/15 | 11.110 | 340,375 |
| 775 | Intelsat
Bermuda Ltd., Global Company Guaranteed Notes (Callable 01/15/08 @ $102.00)
(Bermuda) # | (B
, Caa1) | 01/15/15 | 8.886 | 786,625 |
| 1,400 | Intelsat
Bermuda Ltd., Global Senior Unsecured Notes (Callable 06/15/11 @ $105.63)
(Bermuda) | (B-
, Caa1) | 06/15/16 | 11.250 | 1,506,750 |
| 525 | Intelsat
Ltd., Global Senior Unsecured Notes (Bermuda) | (B-
, Caa1) | 11/01/13 | 6.500 | 401,625 |
| 500 | Nordic
Telephone Co., Holdings, Rule 144A, Notes (Callable 11/16//07 @ $102.00)
(Denmark) ‡# | (B
, B2) | 05/01/16 | 9.752 | 730,630 |
| | | | | | 4,686,943 |
| Telecommunications
Equipment (0.1%) | | | | | |
| 275 | Nortel
Networks Ltd., Rule 144A, Company Guaranteed Notes (Canada) ‡# | (B-
, B3) | 07/15/11 | 9.610 | 276,375 |
| Transportation
Excluding Air/Rail (0.6%) | | | | | |
| 1,100 | Ship
Finance International Ltd., Global Senior Notes (Callable 12/15/08 @ $104.25)
(Bermuda) | (B+
, B1) | 12/15/13 | 8.500 | 1,135,750 |
| 250 | Stena
AB, Global Senior Notes (Callable 12/01/09 @ $103.50) (Sweden) | (BB-
, Ba3) | 12/01/16 | 7.000 | 250,000 |
| | | | | | 1,385,750 |
| TOTAL
FOREIGN CORPORATE BONDS (Cost $23,496,249) | | | | | 19,688,344 |

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| SHORT-TERM
INVESTMENTS (11.6%) — 2,463 | Wells Fargo (Grand Cayman) (Cost
$2,463,000) | 10/01/07 | 4.120 | $ 2,463,000 |
| --- | --- | --- | --- | --- |

Number of Shares — 22,057,486	22,057,486
TOTAL
SHORT-TERM INVESTMENTS (Cost $24,520,486)	24,520,486
TOTAL
INVESTMENTS AT VALUE (108.0%) (Cost $238,523,866)	228,935,563
OTHER LIABILITIES
IN EXCESS OF ASSETS (-8.0%)	(17,004,703	)
NET ASSETS
(100.0%)
	$ 211,930,860

*Credit default swap contract*

	Notional		Expiration		Receive	Annual	Protection	Unrealized — Appreciation/
Currency	Amount		Date	Counterparty	(Pay)	Rate	Bought/Sold	Depreciation
USD	3,200,000		6/20/12	Lehman
Brothers	Receive	0.00 %	Bought	—
USD	(3,200,000	)	6/20/12	Lehman
Brothers	Pay	2.75 %	Bought	$ 90,010

*Investment abbreviation*

NR = Not Rated

| † | Credit ratings given by the
Standard & Poor’s Division of The McGraw-Hill Companies, Inc. (“S&P”)
and Moody’s Investors Service, Inc. (“Moody’s”) are unaudited. |
| --- | --- |
| ‡ | Securities exempt for registration
under Rule 144A of the Securities Act of 1933. These securities may be resold
in transactions exempt from registration, normally to qualified institutional
buyers. At September 30, 2007 these securities amounted to a value of
$37,477,810 or 17.68 % of net assets. |
| ^ | Securities for which market
quotations are not readily available are valued at fair value as determined
in good faith by, or under the direction of, the Board of Directors. |
| + | Step Bond — The interest
rate stated is the rate as of September 30, 2007 and will reset at a future
date. |
| Ø | Bond is currently in default. |
| # | Variable rate obligations —
The interest rate shown is the rate as of September 30, 2007. |
| * | Non-income producing
security. |
| § | Security or a portion thereof
is out on loan. |
| §§ | Represents security
purchased with cash collateral received for securities on loan. |
| 1 | Less than 1,000 par. |

Security Valuation – The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (“Valuation Time”). If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest

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asked quotation in the case of a short sale of securities. Investments in mutual funds are valued at the mutual fund’s closing net asset value per share on the day of valuation. Securities and other assets for which market quotations are not readily available, or whose values have been materially affected by events occuring before the Fund’s Valuation Time but after the close of the securities' primary markets, are valued at fair value as determined in good faith by, or under the direction of, the Board of Directors under procedures established by the Board of Directors. At September 30, 2007, the Fund held 0.09% of its net assets in securities valued at fair value as determined in good faith under procedures established by the Board of Directors with an aggregate cost of $6,006,138 and fair value of $192,797. The Fund’s estimate of fair value assumes a willing buyer and a willing seller neither acting under the compulsion to buy or sell. Although these securities may be resold in privately negotiated transactions, the prices realized on such sales could differ from the prices originally paid by the Fund or the current carrying values, and the difference could be material.

Federal Income Tax Cost – At September 30, 2007, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized depreciation from investments were $238,523,866, $4,527,066, $(14,115,369) and $(9,588,303) respectively.

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders. This information is also available on the Fund’s website at www.credit-suisse.com/us as well as on the website of the Securities and Exchange Commission at www.sec.gov.

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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 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.

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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/Keith M. Schappert
Name:	Keith M. Schappert
Title:	Chief Executive Officer
Date:	November 26, 2007

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

/s/Keith M. Schappert
Name:	Keith M. Schappert
Title:	Chief Executive Officer
Date:	November 26, 2007

/s/Michael A. Pignataro
Name:	Michael A. Pignataro
Title:	Chief Financial Officer
Date:	November 26, 2007

SEQ.=1,FOLIO='',FILE='C:\JMS\aachut\07-26949-3\task2542160\26949-3-jc.htm',USER='105387',CD='Nov 24 05:44 2007'