Regulatory Filings • May 23, 2007
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*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: | January 1, 2007 to March
31, 2007 |
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Item 1: Schedule of Investments
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*Credit Suisse Asset Management Income Fund, Inc.*
*Portfolio of Investments*
March 31, 2007 (unaudited)
| Ratings | |||||
|---|---|---|---|---|---|
| Par | (S&P/Moodys) | ||||
| (000) | (unaudited) | Maturity | Rate% | Value | |
| U.S. CORPORATE BONDS (87.5%) | |||||
| Aerospace/Defense (1.7%) | |||||
| 275 | DRS Technologies, Inc., Company Guaranteed Notes | ||||
| (Callable 02/01/11 @ $103.81) | (B , B3) | 02/01/18 | 7.625 | $ 287,375 | |
| 450 | DRS Technologies, Inc., Global Senior Subordinated | ||||
| Notes (Callable 11/01/08 @ $103.44) | (B , B3) | 11/01/13 | 6.875 | 456,750 | |
| 100 | Hawker Beechcraft Acquisition Co., LLC, Rule 144A, | ||||
| Senior Notes (Callable 04/01/11 @ $104.25) | (B- , B3) | 04/01/15 | 8.500 | 104,125 | |
| 375 | Hawker Beechcraft Acquisition Co., LLC, Rule 144A, | ||||
| Senior Notes (Callable 04/01/11 @ $104.44) | (B- , B3) | 04/01/15 | 8.875 | 388,594 | |
| 775 | Hawker Beechcraft Acquisition Co., LLC, Rule 144A, | ||||
| Senior Subordinated Notes (Callable 04/01/12 @ $104.88) | (B- , Caa1) | 04/01/17 | 9.750 | 811,812 | |
| 475 | K&F Acquisition, Inc., Global Company Guaranteed | ||||
| Notes (Callable 11/15/09 @ $103.88) | (B- , Caa1) | 11/15/14 | 7.750 | 507,062 | |
| 725 | L-3 Communication Corp., Global Senior | ||||
| Subordinated Notes (Callable 01/15/10 @ $102.94) | (BB+ , Ba3) | 01/15/15 | 5.875 | 707,781 | |
| 150 | TransDigm, Inc., Global Company Guaranteed Notes | ||||
| (Callable 07/15/09 @ $105.81) | (B- , B3) | 07/15/14 | 7.750 | 155,625 | |
| 300 | TransDigm, Inc., Rule 144A, Senior Subordinated | ||||
| Notes (Callable 07/15/09 @ $105.81) | (B- , B3) | 07/15/14 | 7.750 | 311,250 | |
| 3,730,374 | |||||
| Agriculture (0.4%) | |||||
| 825 | Southern States Cooperative, Inc., Rule 144A, | ||||
| Senior Notes (Callable 11/01/07 @ $108.00) | (B , Caa1) | 11/01/10 | 10.500 | 878,625 | |
| Apparel/Textiles (0.7%) | |||||
| 675 | Levi Strauss & Co., Global Senior Notes (Callable | ||||
| 01/15/10 @ $104.88) | (B- , B2) | 01/15/15 | 9.750 | 744,187 | |
| 275 | Levi Strauss & Co., Global Senior Notes | ||||
| (Callable 12/15/07 @ $106.13) | (B- , B2) | 12/15/12 | 12.250 | 303,187 | |
| 500 | Propex Fabrics, Inc., Global Company Guaranteed | ||||
| Notes (Callable 12/01/08 @ $105.00) | (CCC , Caa1) | 12/01/12 | 10.000 | 438,750 | |
| 1,486,124 | |||||
| Auto Loans (3.8%) | |||||
| 1,725 | Ford Motor Credit Co., Global Notes | (B , B1) | 10/01/13 | 7.000 | 1,605,570 |
| 425 | Ford Motor Credit Co., Senior Notes | (B , B1) | 08/10/11 | 9.875 | 450,473 |
| 1,200 | Ford Motor Credit Co., Notes | (B , B1) | 06/16/08 | 6.625 | 1,196,554 |
| 1,300 | Ford Motor Credit Co., US Domestic, Senior | ||||
| Unsecured Notes | (B , B1) | 12/15/16 | 8.000 | 1,252,978 | |
| 1,700 | General Motors Acceptance Corp., Global Notes | (BB+ , Ba1) | 05/15/09 | 5.625 | 1,669,973 |
| 1,430 | General Motors Acceptance Corp., Global Notes | (BB+ , Ba1) | 12/01/14 | 6.750 | 1,407,891 |
| 850 | GMAC LLC, US Domestic, Senior Unsubordinated Notes | (BB+ , Ba1e) | 12/15/11 | 6.000 | 825,252 |
| 8,408,691 | |||||
| Auto Parts & Equipment (3.3%) | |||||
| 525 | Accuride Corp., Global Company Guaranteed Notes | ||||
| (Callable 02/01/10 @ $104.25) | (B- , B3) | 02/01/15 | 8.500 | 531,562 | |
| 650 | Altra Industrial Motion, Inc., Global Secured | ||||
| Notes (Callable 12/01/08 @ $104.50) | (CCC+ , B2) | 12/01/11 | 9.000 | 679,250 | |
| 800 | American Tire Distributors Holdings, Inc., Global | ||||
| Senior Notes (Callable 04/01/09 @ $105.38) § | (CCC+ , Caa1) | 04/01/13 | 10.750 | 808,000 | |
| 1,250 | Goodyear Tire & Rubber Co., Global Senior | ||||
| Notes (Callable 07/01/10 @ $104.50) | (B- , B2) | 07/01/15 | 9.000 | 1,378,125 | |
| 75 | Goodyear Tire & Rubber Co., Rule 144A, Senior | ||||
| Notes (Callable 05/29/07 @ $100.00) | (B- , B2) | 12/01/09 | 9.140 | 75,656 | |
| 25 | Goodyear Tire & Rubber Co., Rule 144A, Senior | ||||
| Notes (Callable 12/01/09 @ $104.31) | (B- , B2) | 12/01/11 | 8.625 | 27,000 | |
| 700 | Insurance Auto Auctions, Inc., Global Company | ||||
| Guaranteed Notes (Callable 04/01/09 @ $105.50) | (CCC+ , Caa1) | 04/01/13 | 11.000 | 812,000 | |
| 450 | Keystone Automotive Operations, Inc., Global Senior | ||||
| Subordinated Notes (Callable 11/01/08 @ $104.88) | (CCC+ , Caa1) | 11/01/13 | 9.750 | 439,875 | |
| 775 | Stanadyne Corp., Global Senior Subordinated Notes | ||||
| (Callable 08/15/09 @ $105.00) | (CCC+ , Caa1) | 08/15/14 | 10.000 | 802,125 | |
| 350 | Tenneco Automotive, Inc., Global Company | ||||
| Guaranteed Notes (Callable 11/15/09 @ $104.31) | (B , B3) | 11/15/14 | 8.625 | 366,625 | |
| 375 | TRW Automotive, Inc., Rule 144A, Company | ||||
| Guaranteed Notes | (BB- , Ba3) | 03/15/14 | 7.000 | 369,375 | |
| 375 | TRW Automotive, Inc., Rule 144A, Company Guaranteed | ||||
| Notes | (BB- , Ba3) | 03/15/17 | 7.250 | 369,375 | |
| 600 | Visteon Corp., Global Senior Notes | (CCC+ , Caa2) | 08/01/10 | 8.250 | 615,000 |
| 7,273,968 | |||||
| Automotive (1.9%) | |||||
| 1,085 | Ford Motor Co., Global Notes | (CCC+ , Caa1) | 07/16/31 | 7.450 | 844,944 |
| 1,875 | General Motors Corp., Global Senior Notes § | (B- , Caa1) | 07/15/13 | 7.125 | 1,757,812 |
| 1,750 | General Motors Corp., Global Senior Unsubordinated | ||||
| Notes § | (B- , Caa1) | 07/15/33 | 8.375 | 1,579,375 | |
| 4,182,131 | |||||
| Beverage (0.2%) | |||||
| 400 | Constellation Brands, Inc., Company Guaranteed | ||||
| Notes | (BB- , Ba3) | 09/01/16 | 7.250 | 407,000 | |
| Brokerage (0.2%) | |||||
| 175 | E*TRADE Financial Corp., Global Senior Notes | ||||
| (Callable 06/15/08 @ $104.00) | (BB- , Ba2) | 06/15/11 | 8.000 | 185,062 | |
| 315 | E*TRADE Financial Corp., US Domestic, Senior | ||||
| Unsecured Notes (Callable 12/01/10 @ $103.94) | (BB- , Ba2) | 12/01/15 | 7.875 | 341,381 | |
| 526,443 | |||||
| Building & Construction (1.8%) | |||||
| 900 | Ashton Woods, Global Senior Subordinated Notes | ||||
| (Callable 10/01/10 @ $104.75) | (B- , B3) | 10/01/15 | 9.500 | 861,750 | |
| 500 | K Hovnanian Enterprises, Inc., Global Company | ||||
| Guaranteed Notes | (BB , Ba1) | 01/15/16 | 6.250 | 431,250 | |
| 600 | KB Home, Senior Notes § | (BB+ , Ba1) | 06/15/15 | 6.250 | 540,750 |
| 625 | Standard Pacific Corp., Global Senior Notes § | (BB , Ba3) | 08/15/15 | 7.000 | 560,937 |
| 750 | Technical Olympic USA, Inc., Global Senior | ||||
| Subordinated Notes § | (B- , Caa1) | 01/15/15 | 7.500 | 534,375 | |
| 425 | WCI Communities, Inc., Global Company Guaranteed | ||||
| Notes (Callable 03/15/10 @ $103.31) § | (B+ , Caa1) | 03/15/15 | 6.625 | 399,500 | |
| 250 | William Lyon Homes, Inc., Global Senior Notes | ||||
| (Callable 02/15/09 @ $103.75) § | (B , B3) | 02/15/14 | 7.500 | 220,000 | |
| 500 | William Lyon Homes, Inc., Global Senior Notes | ||||
| (Callable 12/15/08 @ $103.81) | (B , B3) | 12/15/12 | 7.625 | 447,500 | |
| 3,996,062 |
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| Building Materials (3.8%) — 750 | Associated Materials, Inc., Global Senior Discount
Notes (Callable 03/01/09 @ $105.63) + | (CCC , Caa2) | 03/01/14 | 0.000 | 530,625 |
| --- | --- | --- | --- | --- | --- |
| 750 | Building Materials Corp. of America, Global Secured
Notes (Callable 08/01/09 @ $103.88) | (BB- , B2) | 08/01/14 | 7.750 | 740,625 |
| 1,000 | Coleman Cable, Inc., Global Company Guaranteed
Notes (Callable 10/01/08 @ $104.94) | (B , B2) | 10/01/12 | 9.875 | 1,040,000 |
| 750 | CPG International I, Inc., Global Senior Unsecured
Notes (Callable 07/01/09 @ $105.25) | (B- , B3) | 07/01/13 | 10.500 | 791,250 |
| 300 | Dayton Superior Corp., Company Guaranteed Notes
(Callable 06/15/07 @ $102.17) | (CCC , Caa2) | 06/15/09 | 13.000 | 308,625 |
| 500 | Dayton Superior Corp., Global Company Guaranteed
Notes (Callable 06/15/07 @ $102.81) | (CCC+ , B2) | 09/15/08 | 10.750 | 515,000 |
| 375 | General Cable Corp., Rule 144A, Senior Notes
(Callable 04/01/09 @ $102.00) | (B+ , B1) | 04/01/15 | 7.725 | 376,875 |
| 175 | General Cable Corp., Rule 144A, Senior Notes
(Callable 04/01/12 @ $103.56) | (B+ , B1) | 04/01/17 | 7.125 | 176,969 |
| 875 | Goodman Global Holding Company, Inc., Global Senior
Subordinated Notes (Callable 12/15/08 @ $103.94) § | (B- , B3) | 12/15/12 | 7.875 | 883,750 |
| 400 | Interface, Inc., Global Senior Subordinated Notes
(Callable 02/01/09 @ $104.75) | (CCC+ , B3) | 02/01/14 | 9.500 | 437,000 |
| 325 | Norcraft Companies, Global Senior Subordinated
Notes (Callable 11/01/07 @ $104.50) | (B- , B1) | 11/01/11 | 9.000 | 336,375 |
| 250 | Norcraft Holdings LP, Global Senior Discount Notes
(Callable 09/01/08 @ $104.88) | (B- , B3) | 09/01/12 | 9.750 | 226,250 |
| 700 | Nortek, Inc., Global Senior Subordinated Notes
(Callable 09/01/09 @ $104.25) | (CCC+ , B3) | 09/01/14 | 8.500 | 684,250 |
| 750 | NTK Holdings, Inc., Global Senior Discount Notes
(Callable 09/01/09 @ $105.38) § + | (CCC+ , Caa1) | 03/01/14 | 0.000 | 547,500 |
| 950 | Ply Gem Industries, Inc., Global Senior
Subordinated Notes (Callable 02/15/08 @ $104.50) § | (CCC+ , Caa1) | 02/15/12 | 9.000 | 828,875 |
| | | | | | 8,423,969 |
| Chemicals (3.0%) | | | | | |
| 305 | BCP Crystal Holdings Corp., Global Senior
Subordinated Notes (Callable 06/15/09 @ $104.81) | (B , B2) | 06/15/14 | 9.625 | 347,981 |
| 455 | Crystal U.S. Holdings/U.S. Sub 3, Series B, Global
Company Guaranteed Notes (Callable 10/01/09 @ $105.25) + | (B , B2) | 10/01/14 | 0.000 | 424,856 |
| 264 | Huntsman Co. LLC, Global Company Guaranteed Notes
(Callable 07/15/08 @ $105.75) | (B , Ba3) | 07/15/12 | 11.500 | 296,340 |
| 600 | Koppers Holdings, Inc., Global Senior Discount
Notes (Callable 11/15/09 @ $104.94) + | (B- , B3) | 11/15/14 | 0.000 | 507,750 |
| 750 | Lyondell Chemical Co., Global Company Guaranteed
Notes (Callable 06/01/08 @ $105.25) | (BB , Ba2) | 06/01/13 | 10.500 | 825,000 |
| 225 | Lyondell Chemical Co., Global Senior Unsecured
Notes (Callable 09/15/10 @ $104.00) | (B+ , B1) | 09/15/14 | 8.000 | 236,812 |
| 925 | Lyondell Chemical Co., Global Senior Unsecured
Notes (Callable 09/15/11 @ $104.13) | (B+ , B1) | 09/15/16 | 8.250 | 994,375 |
| 300 | Millennium America, Inc., Global Company
Guaranteed Notes | (B+ , B1) | 06/15/08 | 9.250 | 312,750 |
| 1,300 | Nalco Finance Holdings, Inc., Global Senior Notes
(Callable 02/01/09 @ $104.50) + | (B- , B3) | 02/01/14 | 0.000 | 1,150,500 |
| 575 | PolyOne Corp., Global Company Guaranteed Notes
(Callable 05/15/07 @ $105.31) | (B+ , B2) | 05/15/10 | 10.625 | 609,500 |
| 350 | PolyOne Corp., Senior Notes § | (B+ , B2) | 05/01/12 | 8.875 | 353,500 |
| 725 | Terra Capital, Inc., Rule 144A, Senior Notes
(Callable 02/01/12 @ $103.50) | (BB- , B1) | 02/01/17 | 7.000 | 725,000 |
| | | | | | 6,784,364 |
| Computer Hardware (0.4%) | | | | | |
| 800 | Activant Solutions, Inc., Senior Unsubordinated
Notes (Callable 05/01/11 @ $104.75) | (CCC+ , Caa1) | 05/01/16 | 9.500 | 792,000 |
| Consumer - Products (2.4%) | | | | | |
| 1,175 | AAC Group Holding Corp., Global Senior Discount
Notes (Callable 10/01/08 @ $105.13) + | (CCC+ , B3) | 10/01/12 | 0.000 | 1,060,437 |
| 1,000 | Amscan Holdings, Inc., Global Senior Subordinated
Notes (Callable 05/01/09 @ $104.38) | (CCC+ , Caa1) | 05/01/14 | 8.750 | 987,500 |
| 825 | Del Laboratories, Inc., Global Company Guaranteed
Notes (Callable 02/01/08 @ $104.00) | (CCC , Caa2) | 02/01/12 | 8.000 | 773,437 |
| 575 | Jarden Corp., Company Guaranteed Notes (Callable
05/01/12 @ $103.75) | (B- , B3) | 05/01/17 | 7.500 | 583,625 |
| 525 | Playtex Products, Inc., Global Company Guaranteed
Notes (Callable 06/01/07 @ $103.13) | (B- , Caa1) | 06/01/11 | 9.375 | 545,344 |
| 819 | Prestige Brands, Inc., Global Senior Subordinated
Notes (Callable 04/15/08 @ $104.63) | (B- , B3) | 04/15/12 | 9.250 | 851,760 |
| 500 | Revlon Consumer Products Corp., Global Senior
Notes (Callable 04/01/08 @ $104.75) § | (CCC- , Caa2) | 04/01/11 | 9.500 | 473,750 |
| | | | | | 5,275,853 |
| Diversified Capital Goods (1.9%) | | | | | |
| 575 | Esco Corp., Rule 144A, Senior Notes (Callable
12/15/08 @ $102.00) # | (B , B2) | 12/15/13 | 9.230 | 600,875 |
| 375 | Esco Corp., Rule 144A, Senior Notes (Callable
12/15/10 @ $104.31) | (B , B2) | 12/15/13 | 8.625 | 399,375 |
| 400 | RBS Global, Inc. & Rexnord Corp., Global
Company Guaranteed Notes (Callable 08/01/10 @ $104.75) § | (CCC+ , B3) | 08/01/14 | 9.500 | 418,000 |
| 500 | RBS Global, Inc. & Rexnord Corp., Global
Company Guaranteed Notes (Callable 08/01/11 @ $105.88) | (CCC+ , Caa1) | 08/01/16 | 11.750 | 539,375 |
| 575 | Sensus Metering Systems, Inc., Global Senior
Subordinated Notes (Callable 12/15/08 @ $104.31) | (B- , B3) | 12/15/13 | 8.625 | 585,062 |
| 800 | Titan International, Inc., Rule 144A, Senior Notes
| (B , B3) | 01/15/12 | 8.000 | 827,000 |
| 900 | TriMas Corp., Global Company Guaranteed Notes
(Callable 06/15/07 @ $104.94) | (CCC+ , B3) | 06/15/12 | 9.875 | 903,375 |
| | | | | | 4,273,062 |
| Electric - Generation (2.0%) | | | | | |
| 37 | AES Corp., Senior Notes | (B , B1) | 06/01/09 | 9.500 | 39,055 |
| 400 | AES Corp., Senior Notes | (B , B1) | 03/01/14 | 7.750 | 422,000 |
| 800 | Calpine Generating Co., Global Secured Notes
(Callable 04/01/08 @ $103.50) | (D , NR) | 04/01/10 | 7.756 | 832,000 |
| 875 | Dynegy Holdings, Inc., Global Senior Unsecured
Notes | (B- , B2) | 05/01/16 | 8.375 | 914,375 |
| 425 | Edison Mission Energy, Senior Notes | (BB- , B1) | 06/15/09 | 7.730 | 442,000 |
| 400 | Midwest Generation LLC, Global Secured Notes
(Callable 05/01/09 @ $104.38) | (B+ , Ba2) | 05/01/34 | 8.750 | 436,000 |
| 313 | Midwest Generation LLC, Series B, Global Pass
Through Certificates | (BB- , Ba2) | 01/02/16 | 8.560 | 342,594 |
| 25 | NRG Energy, Inc., Company Guaranteed Notes
(Callable 01/15/12 @ $103.69) | (B- , B1) | 01/15/17 | 7.375 | 25,719 |
| 425 | NRG Energy, Inc., Senior Notes (Callable 2/01/11 @
$103.69) | (B- , B1) | 02/01/16 | 7.375 | 437,750 |
| 500 | Reliant Energy, Inc., Global Secured Notes
(Callable 07/15/08 @ $104.75) | (B , B2) | 07/15/13 | 9.500 | 546,875 |
| | | | | | 4,438,368 |
| Electric - Integrated (0.4%) | | | | | |
| 250 | CMS Energy Corp., Global Senior Notes | (B+ , Ba3) | 08/01/10 | 7.750 | 266,250 |
| 200 | CMS Energy Corp., Senior Notes | (B+ , Ba3) | 01/15/09 | 7.500 | 206,250 |
| 500 | Mirant Americas Generation LLC, Senior Notes Ø | (NR , NR) | 05/01/06 | 7.625 | 0 |
| 300 | Mirant Corp., Rule 144A, Senior Notes Ø | (NR , NR) | 07/15/04 | 7.400 | 9,810 |
| 300 | Sierra Pacific Resources, Global Senior Unsecured
Notes (Callable 03/15/09 @ $104.31) | (B , B1) | 03/15/14 | 8.625 | 326,019 |
| | | | | | 808,329 |
| Electronics (2.1%) | | | | | |
| 900 | Amkor Technology, Inc., Global Senior Notes
(Callable 05/15/08 @ $103.88) | (B- , B2) | 05/15/13 | 7.750 | 885,375 |
| 190 | Ampex Corp., Secured Notes (Callable 05/14/07 @
$100.00) ^ | (NR , NR) | 08/15/08 | 12.000 | 189,942 |
| 1,725 | Freescale Semiconductor, Inc., Rule 144A, Senior
Subordinated Notes (Callable 12/15/11 @ $105.06) | (B , B2) | 12/15/16 | 10.125 | 1,737,937 |
| 310 | GrafTech Finance, Inc., Global Company Guaranteed
Notes (Callable 05/14/07 @ $105.13) | (B- , B2) | 02/15/12 | 10.250 | 327,050 |
| 775 | Spansion, Inc., Rule 144A, Senior Notes (Callable
01/15/11 @ $105.63) | (B , Caa1) | 01/15/16 | 11.250 | 804,062 |
| 600 | Viasystems, Inc., Global Senior Subordinated Notes
(Callable 01/15/08 @ $105.25) | (CCC+ , Caa1) | 01/15/11 | 10.500 | 606,000 |
| | | | | | 4,550,366 |
| Energy - Exploration &
Production (2.3%) | | | | | |
| 775 | Chaparral Energy, Inc., Rule 144A, Senior Notes
(Callable 02/01/12 @ $104.44) | (CCC+ , Caa1) | 02/01/17 | 8.875 | 782,750 |
| 1,611 | Chesapeake Energy Corp., Senior Notes (Callable
01/15/09 @ $103.44) | (BB , Ba2) | 01/15/16 | 6.875 | 1,639,192 |
| 475 | Encore Acquisition Co., Company Guaranteed Notes
(Callable 12/01/10 @ $103.63) | (B , B1) | 12/01/17 | 7.250 | 453,625 |
| 100 | Forest Oil Corp., Global Company Guaranteed Notes | (B+ , B1) | 05/01/14 | 7.750 | 102,000 |
| 600 | Hilcorp Energy I LP/Hilcorp Finance Co., Rule
144A, Senior Notes (Callable 06/01/11 @ $104.50) | (B , B3) | 06/01/16 | 9.000 | 639,000 |
| 800 | PetroHawk Energy Corp., Global Company Guaranteed
Notes (Callable 07/15/10 @ $104.56) | (B- , B3) | 07/15/13 | 9.125 | 856,000 |
| 250 | Range Resources Corp., Global Company Guaranteed
Notes (Callable 03/15/10 @ $103.19) | (B , B1) | 03/15/15 | 6.375 | 247,500 |
| 375 | Whiting Petroleum Corp., Global Senior
Subordinated Notes (Callable 05/01/08 @ $103.63) | (B , B1) | 05/01/12 | 7.250 | 370,312 |
| | | | | | 5,090,379 |
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| Environmental (1.1%) — 1,525 | Allied Waste North America, Inc., Series B, Global
Senior Notes (Callable 04/15/09 @ $103.69) § | (B+ , B2) | 04/15/14 | 7.375 | 1,555,500 |
| --- | --- | --- | --- | --- | --- |
| 875 | Waste Services, Inc., Global Senior Subordinated
Notes (Callable 04/15/09 @ $104.75) | (CCC , Caa1) | 04/15/14 | 9.500 | 920,937 |
| | | | | | 2,476,437 |
| Food & Drug Retailers (0.9%) | | | | | |
| 1,125 | Duane Reade, Inc., Global Senior Subordinated Notes
(Callable 08/01/08 @ $104.88) § | (CC , Caa3) | 08/01/11 | 9.750 | 1,088,437 |
| 150 | Ingles Markets, Inc., Global Company Guaranteed
Notes (Callable 12/01/07 @ $102.90) | (B , B3) | 12/01/11 | 8.875 | 156,750 |
| 750 | Stater Brothers Holdings, Inc., Global Senior
Notes (Callable 06/15/08 @ $104.06) | (BB- , B1) | 06/15/12 | 8.125 | 776,250 |
| | | | | | 2,021,437 |
| Food - Wholesale (1.1%) | | | | | |
| 525 | Dole Foods Co., Debentures Notes | (B- , Caa1) | 07/15/13 | 8.750 | 507,937 |
| 550 | National Beef Packing Company LLC, Global Senior Notes
(Callable 08/01/07 @ $105.25) | (B- , Caa1) | 08/01/11 | 10.500 | 580,250 |
| 700 | Pinnacle Foods Group, Inc., Global Senior
Subordinated Notes (Callable 12/01/08 @ $104.13) | (CCC , Caa2) | 12/01/13 | 8.250 | 764,785 |
| 250 | Swift & Co., Global Company Guaranteed Notes
(Callable 10/01/07 @ $102.53) | (B- , Caa1) | 10/01/09 | 10.125 | 259,375 |
| 300 | Swift & Co., Global Senior Subordinated Notes
(Callable 05/14/07 @ $106.25) § | (CCC+ , Caa1) | 01/01/10 | 12.500 | 316,500 |
| | | | | | 2,428,847 |
| Forestry & Paper (3.0%) | | | | | |
| 525 | Boise Cascade LLC, Global Company Guaranteed Notes
(Callable 10/15/09 @ $103.56) | (B+ , B2) | 10/15/14 | 7.125 | 522,375 |
| 850 | Cellu Tissue Holdings, Inc., Global Secured Notes
(Callable 03/15/08 @ $103.66) | (B , B2) | 03/15/10 | 9.750 | 854,250 |
| 475 | Georgia-Pacific Corp., Debentures Notes | (B , B2) | 06/15/15 | 7.700 | 489,250 |
| 200 | Georgia-Pacific Corp., Rule 144A, Company
Guaranteed Notes (Callable 01/15/12 @ $103.56) | (B , Ba3) | 01/15/17 | 7.125 | 201,500 |
| 775 | Graphic Packaging International Corp., Global
Senior Subordinated Notes (Callable 8/15/08 @ $104.75) | (B- , B3) | 08/15/13 | 9.500 | 828,281 |
| 375 | Newark Group, Inc., Global Senior Subordinated
Notes (Callable 03/15/09 @ $104.88) | (B- , B3) | 03/15/14 | 9.750 | 392,812 |
| 525 | NewPage Corp., Global Secured Notes (Callable
05/01/09 @ $106.00) | (B- , B2) | 05/01/12 | 10.000 | 576,844 |
| 600 | NewPage Corp., Global Senior Subordinated Notes
(Callable 05/01/09 @ $106.00) § | (CCC+ , B3) | 05/01/13 | 12.000 | 654,000 |
| 1,325 | Smurfit-Stone Container Enterprises, Inc., Global
Senior Notes (Callable 07/01/07 @ $104.19) | (CCC+ , B3) | 07/01/12 | 8.375 | 1,334,937 |
| 675 | Verso Paper Holdings LLC, Rule 144A, Senior
Subordinated Notes (Callable 08/01/11 @ $105.69) | (CCC+ , B3) | 08/01/16 | 11.375 | 710,437 |
| 125 | Verso Paper Holdings LLC, Rule 144A, Secured Notes
(Callable 08/01/10 @ $104.56) | (B , B2) | 08/01/14 | 9.125 | 130,625 |
| | | | | | 6,695,311 |
| Gaming (4.1%) | | | | | |
| 550 | Buffalo Thunder Development Authority, Rule 144A,
Secured Notes (Callable 12/15/10 @ $104.69) | (B , B2) | 12/15/14 | 9.375 | 563,750 |
| 1,000 | CCM Merger, Inc., Rule 144A, Notes (Callable
08/01/09 @ $104.00) | (CCC+ , B3) | 08/01/13 | 8.000 | 1,010,000 |
| 300 | Herbst Gaming, Inc., Global Senior Subordinated
Notes (Callable 06/01/08 @ $104.06) | (B- , B3) | 06/01/12 | 8.125 | 304,500 |
| 475 | Inn of the Mountain Gods, Global Senior Notes
(Callable 11/15/07 @ $106.00) | (B- , B3) | 11/15/10 | 12.000 | 518,937 |
| 900 | Jacobs Entertainment, Inc., Global Company
Guaranteed Notes (Callable 06/15/10 @ $104.88) | (B- , B3) | 06/15/14 | 9.750 | 924,750 |
| 475 | Majestic Star Casino LLC, Company Guaranteed Notes
(Callable 10/15/07 @ $104.75) | (B+ , B1) | 10/15/10 | 9.500 | 500,531 |
| 550 | Majestic Star Casino LLC, Global Senior Unsecured
Notes (Callable 10/15/08 @ $104.88) | (CCC+ , Caa1) | 01/15/11 | 9.750 | 526,625 |
| 450 | MGM Mirage, Inc., Company Guaranteed Notes | (B+ , B1) | 02/01/11 | 8.375 | 475,875 |
| 700 | MGM Mirage, Inc., Company Guaranteed Notes | (BB , Ba2) | 01/15/17 | 7.625 | 712,250 |
| 600 | Resorts International Hotel and Casino, Inc.,
Global First Mortgage Notes (Callable 04/13/07 @ $106.00) | (NR , NR) | 03/15/09 | 11.500 | 639,000 |
| 625 | Trump Entertainment Resorts, Inc., Secured Notes
(Callable 06/01/10 @ $104.25) § | (B- , Caa1) | 06/01/15 | 8.500 | 634,375 |
| 500 | Turning
Stone Resort Casino Enterprise, Rule 144A, Senior Notes (Callable 09/15/10 @
$104.56) | (B+ , B1) | 09/15/14 | 9.125 | 516,250 |
| 175 | Waterford Gaming LLC, Rule 144A, Senior Notes
(Callable 09/15/08 @ $103.55) | (BB- , B1) | 09/15/12 | 8.625 | 186,375 |
| 1,100 | Wilmar Opco LLC, Rule 144A, Senior Subordinated
Notes (Callable 12/15/10 @ $104.81) | (CCC+ , B3) | 12/15/14 | 9.625 | 1,109,625 |
| 500 | Wynn Las Vegas LLC, Global First Mortgage Notes
(Callable 12/01/09 @ $103.31) | (BB- , B1) | 12/01/14 | 6.625 | 497,500 |
| | | | | | 9,120,343 |
| Gas Distribution (1.5%) | | | | | |
| 250 | El Paso Natural Gas Co., Series A, Global Senior
Notes (Callable 08/01/07 @ $103.81) | (BB , Baa3) | 08/01/10 | 7.625 | 262,145 |
| 1,150 | El Paso Performance-Link, Rule 144A, Notes | (BB , Ba3) | 07/15/11 | 7.750 | 1,229,062 |
| 525 | Inergy LP/Inergy Finance Corp., Global Company
Guaranteed Notes (Callable 03/01/11 @ $104.13) | (B , B1) | 03/01/16 | 8.250 | 553,875 |
| 775 | Williams Companies, Inc., Notes | (BB , Ba2) | 03/15/12 | 8.125 | 846,687 |
| 400 | Williams Partners LP, Rule 144A, Bonds | (BB+ , Ba3) | 02/01/17 | 7.250 | 425,000 |
| | | | | | 3,316,769 |
| Health Services (5.9%) | | | | | |
| 475 | CDRV
Investors, Inc., Global Senior Discount Notes (Callable 01/01/10 @ $104.81) + | (CCC+ , Caa1) | 01/01/15 | 0.000 | 410,875 |
| 550 | CDRV Investors, Inc., Rule 144A, Senior Notes
(Callable 12/01/07 @ $102.00) # | (CCC+ , Caa1) | 12/01/11 | 9.860 | 547,250 |
| 675 | HCA, Inc., Global Senior Unsecured Notes | (B- , Caa1) | 01/15/15 | 6.375 | 577,969 |
| 3,200 | HCA, Inc., Global Senior Unsecured Notes | (B- , Caa1) | 02/15/16 | 6.500 | 2,740,000 |
| 1,200 | HCA, Inc., Rule 144A, Secured Notes (Callable
11/15/11 @ $104.63) | (BB- , B2) | 11/15/16 | 9.250 | 1,297,500 |
| 350 | HCA, Inc., Notes | (B- , Caa1) | 10/01/12 | 6.300 | 328,125 |
| 800 | Healthsouth Corp., Rule 144A, Senior Notes
(Callable 06/15/11 @ $105.38) | (CCC+ , Caa1) | 06/15/16 | 10.750 | 874,000 |
| 650 | Iasis Healthcare/Capital Corp., Global Senior
Subordinated Notes (Callable 06/15/09 @ $104.38) | (B- , B3) | 06/15/14 | 8.750 | 676,000 |
| 100 | Service Corp International, Rule 144A, Senior
Notes | (BB- , B1) | 04/01/15 | 6.750 | 100,375 |
| 550 | Stewart Enterprises, Inc., Global Senior Notes
(Callable 02/15/09 @ $103.13) | (B+ , B1) | 02/15/13 | 6.250 | 536,250 |
| 1,425 | Tenet Healthcare Corp., Global Senior Notes | (CCC+ , Caa1) | 07/01/14 | 9.875 | 1,446,375 |
| 500 | Tenet Healthcare Corp., Global Senior Notes | (CCC+ , Caa1) | 02/01/15 | 9.250 | 497,500 |
| 1,050 | Triad Hospitals, Inc., Senior Subordinated Notes
(Callable 11/15/08 @ $103.50) | (B+ , B2) | 11/15/13 | 7.000 | 1,101,187 |
| 800 | Universal Hospital Services, Inc., Global Senior
Notes (Callable 11/01/07 @ $105.06) | (B- , B3) | 11/01/11 | 10.125 | 854,000 |
| 950 | Vanguard Health Holding Co., Global Senior
Subordinated Notes (Callable 10/01/09 @ $104.50) | (CCC+ , Caa1) | 10/01/14 | 9.000 | 966,625 |
| | | | | | 12,954,031 |
| Hotels (0.9%) | | | | | |
| 500 | Bluegreen Corp., Series B, Company Guaranteed
Notes | (B- , B3) | 04/01/08 | 10.500 | 495,000 |
| 425 | Felcor Lodging LP, Global Company Guaranteed Notes | (B+ , Ba3) | 06/01/11 | 8.500 | 457,406 |
| 250 | Host Hotels & Resorts LP, Company Guaranteed
Notes (Callable 11/01/10 @ $103.44) | (BB , Ba1) | 11/01/14 | 6.875 | 255,000 |
| 825 | Host Marriott LP, Global Company Guaranteed Notes
(Callable 06/01/11 @ $103.33) | (BB , Ba1) | 06/01/16 | 6.750 | 835,312 |
| | | | | | 2,042,718 |
| Household & Leisure Products (1.1%) | | | | | |
| 650 | ALH Finance LLC, Senior Subordinated Notes
(Callable 01/15/09 @ $104.25) | (CCC+ , B3) | 01/15/13 | 8.500 | 651,625 |
| 400 | Ames True Temper, Inc., Global Company Guaranteed
Notes (Callable 01/15/08 @ $101.50) | (CCC+ , Caa1) | 01/15/12 | 7.141 | 411,000 |
| 600 | Ames True Temper, Inc., Global Senior Subordinated
Notes (Callable 07/15/08 @ $105.00) | (CCC- , Caa3) | 07/15/12 | 10.000 | 585,000 |
| 325 | Sealy Mattress Co., Global Senior Subordinated
Notes (Callable 06/15/09 @ $104.13) | (B , B2) | 06/15/14 | 8.250 | 343,687 |
| 525 | Simmons Bedding Co., Global Senior Subordinated
Notes (Callable 01/15/09 @ $103.94) § | (CCC+ , B2) | 01/15/14 | 7.875 | 540,750 |
| | | | | | 2,532,062 |
SEQ.=1,FOLIO='',FILE='C:\JMS\sdeva\07-11698-3\task2138792\11698-3-bk.htm',USER='105329',CD='May 22 03:54 2007'
| Leisure (0.7%) — 350 | Bally Total Fitness Holding Corp., Global Senior
Notes (Callable 07/15/07 @ $105.25) § | (CCC- , Caa3) | 07/15/11 | 10.500 | 328,125 |
| --- | --- | --- | --- | --- | --- |
| 675 | Six Flags, Inc., Global Senior Notes (Callable
04/15/08 @ $104.88) § | (CCC , Caa1) | 04/15/13 | 9.750 | 646,312 |
| 700 | Six Flags, Inc., Global Senior Notes (Callable
06/01/09 @ $104.81) § | (CCC , Caa1) | 06/01/14 | 9.625 | 661,500 |
| | | | | | 1,635,937 |
| Machinery (0.5%) | | | | | |
| 525 | Baldor Electric Co., Company Guaranteed Notes
(Callable 02/15/12 @ $104.31) | (B , B3) | 02/15/17 | 8.625 | 557,812 |
| 450 | Case New Holland, Inc., Global Company Guaranteed
Notes (Callable 08/01/07 @ $104.63) | (BB , Ba3) | 08/01/11 | 9.250 | 474,750 |
| | | | | | 1,032,562 |
| Media - Broadcast (2.7%) | | | | | |
| 600 | Allbritton Communications Co., Global Senior
Subordinated Notes (Callable 12/15/07 @ $103.88) | (B- , B1) | 12/15/12 | 7.750 | 618,000 |
| 525 | Barrington Broadcasting Group LLC, Rule 144A,
Senior Subordinated Notes (Callable 08/15/10 @ $105.25) | (CCC+ , B3) | 08/15/14 | 10.500 | 553,875 |
| 575 | CMP Susquehanna Corp., Rule 144A, Senior
Subordinated Notes (Callable 05/15/10 @ $104.94) | (CCC , B3) | 05/15/14 | 9.875 | 592,250 |
| 300 | Fisher Communications, Inc., Global Senior Notes
(Callable 09/15/09 @ $104.31) | (B- , B2) | 09/15/14 | 8.625 | 322,875 |
| 800 | ION Media Networks, Inc., Rule 144A, Secured Notes
(Callable 01/15/08 @ $102.00) | (CCC- , Caa2) | 01/15/13 | 10.777 | 838,000 |
| 675 | Nexstar Finance, Inc., Global Senior Subordinated
Notes (Callable 01/15/09 @ $103.50) | (CCC+ , B3) | 01/15/14 | 7.000 | 651,375 |
| 500 | Sirius Satellite Radio, Inc., Global Senior
Unsecured Notes (Callable 09/01/09 @ $104.81) | (CCC , Caa1) | 08/01/13 | 9.625 | 504,375 |
| 485 | Univision Communications, Inc., Rule 144A, Senior
Notes (Callable 03/15/11 @ $104.88) | (CCC+ , B3) | 03/15/15 | 9.750 | 485,606 |
| 400 | XM Satellite Radio, Inc., Global Company
Guaranteed Notes (Callable 05/01/08 @ $102.00) | (CCC , Caa1) | 05/01/13 | 9.989 | 398,000 |
| 1,100 | Young Broadcasting, Inc., Global Senior
Subordinated Notes (Callable 01/15/09 @ $104.38) | (CCC- , Caa1) | 01/15/14 | 8.750 | 1,031,250 |
| | | | | | 5,995,606 |
| Media - Cable (5.3%) | | | | | |
| 1,000 | Atlantic Broadband Finance LLC, Rule 144A, Global
Company Guaranteed Notes (Callable 01/15/09 @ $104.69) | (CCC+ , Caa1) | 01/15/14 | 9.375 | 1,027,500 |
| 1,325 | CCH I Holdings LLC, Global Company Guaranteed
Notes (Callable 09/30/07 @ $103.92) | (CCC- , Caa3) | 05/15/14 | 11.750 | 1,275,313 |
| 1,662 | CCH I Holdings LLC, Global Secured Notes (Callable
10/01/10 @ $105.50) | (CCC- , Caa2) | 10/01/15 | 11.000 | 1,732,635 |
| 1,600 | CCO Holdings LLC, Global Senior Notes (Callable
11/15/08 @ $104.38) | (CCC- , Caa1) | 11/15/13 | 8.750 | 1,664,000 |
| 750 | Charter Communications Holdings LLC, Senior
Discount Notes (Callable 04/01/07 @ $100.00) | (CCC- , Caa3) | 04/01/11 | 9.920 | 750,938 |
| 1,200 | CSC Holdings, Inc., Global Senior Notes | (B+ , B2) | 04/15/12 | 6.750 | 1,197,000 |
| 655 | CSC Holdings, Inc., Senior Notes | (B+ , B2) | 04/01/11 | 7.625 | 674,650 |
| 175 | DirecTV Holdings LLC, Global Senior Notes
(Callable 03/15/08 @ $104.19) | (BB- , Ba3) | 03/15/13 | 8.375 | 185,281 |
| 750 | EchoStar DBS Corp., Global Company Guaranteed
Notes | (BB- , Ba3) | 10/01/14 | 6.625 | 756,563 |
| 300 | GCI, Inc., Global Senior Unsecured Notes (Callable
02/15/09 @ $103.63) | (B+ , B1) | 02/15/14 | 7.250 | 301,500 |
| 250 | Insight Communications Co., Inc., Senior Discount
Notes (Callable 2/15/08 @ $102.04) + | (CCC+ , B3) | 02/15/11 | 0.000 | 261,875 |
| 259 | Insight Midwest/Insight Capital, Senior Notes
(Callable 10/01/07 @ $100.00) | (B , B3) | 10/01/09 | 9.750 | 263,856 |
| 1,150 | Mediacom Broadband LLC, Global Senior Notes
(Callable 10/15/10 @ $104.25) | (B , B3) | 10/15/15 | 8.500 | 1,181,625 |
| 525 | Mediacom LLC/Capital Corp., Senior Notes (Callable
02/15/08 @ $100.00) | (B , B3) | 02/15/11 | 7.875 | 527,625 |
| | | | | | 11,800,361 |
| Media - Services (0.2%) | | | | | |
| 475 | WMG Holdings Corp., Global Company Guaranteed
Notes (Callable 12/15/09 @ $104.75) + | (B , B2) | 12/15/14 | 0.000 | 365,750 |
| Metals & Mining Excluding
Steel (1.3%) | | | | | |
| 125 | Aleris International, Inc., Rule 144A, Senior
Notes (Callable 12/15/10 @ $104.50) | (B- , B3e) | 12/15/14 | 9.000 | 132,500 |
| 625 | Aleris International, Inc., Rule 144A, Senior
Subordinated Notes (Callable 12/15/11 @ $105.00) | (B- , Caa1) | 12/15/16 | 10.000 | 656,250 |
| 500 | Alpha Natural Resources, Global Company Guaranteed
Notes (Callable 06/01/08 @ $105.00) | (B- , B3) | 06/01/12 | 10.000 | 540,000 |
| 500 | Freeport-McMoRan Copper & Gold, Inc., Senior
Unsecured Notes (Callable 04/01/11 @ $104.13) | (B+ , Ba3) | 04/01/15 | 8.250 | 539,375 |
| 250 | Freeport-McMoRan Copper & Gold, Inc., Senior
Unsecured Notes (Callable 04/01/12 @ $104.19) | (B+ , Ba3) | 04/01/17 | 8.375 | 270,938 |
| 675 | Southern Copper Corp., Global Senior Notes | (BBB- , Baa2) | 07/27/35 | 7.500 | 730,943 |
| | | | | | 2,870,006 |
| Non-Food & Drug Retailers (3.6%) | | | | | |
| 250 | Affinity Group, Inc., Global Senior Subordinated
Notes (Callable 02/15/08 @ $104.50) | (CCC+ , B2) | 02/15/12 | 9.000 | 258,125 |
| 855 | Affinity Group, Inc., Global Senior Subordinated Notes
(Callable 02/15/08 @ $105.44) | (CCC+ , B3) | 02/15/12 | 10.875 | 868,287 |
| 500 | Asbury Automotive Group, Inc., Rule 144A, Senior
Subordinated Notes (Callable 03/15/12 @ $103.81) | (B , B3) | 03/15/17 | 7.625 | 503,750 |
| 825 | Brookstone Co., Inc., Global Secured Notes
(Callable 10/15/09 @ $106.00) § | (B , Caa1) | 10/15/12 | 12.000 | 862,125 |
| 800 | Finlay Fine Jewelry Corp., Global Senior Notes
(Callable 06/01/08 @ $104.19) | (B- , Caa1) | 06/01/12 | 8.375 | 740,000 |
| 703 | Flooring America, Inc., Series B, Company
Guaranteed Notes ^Ø | (NR , NR) | 10/15/07 | 9.250 | 0 |
| 525 | GSC Holdings Corp., Global Company Guaranteed
Notes (Callable 10/01/09 @ $104.00) | (B+ , B1) | 10/01/12 | 8.000 | 559,125 |
| 300 | Michaels Stores, Inc., Rule 144A, Senior Notes
(Callable 11/01/10 @ $105.00) | (CCC , B2) | 11/01/14 | 10.000 | 322,500 |
| 700 | Michaels Stores, Inc., Rule 144A, Senior
Subordinated Notes (Callable 11/01/11 @ $105.69) | (CCC , Caa1) | 11/01/16 | 11.375 | 757,750 |
| 500 | Nebraska Book Co, Inc., Global Company Guaranteed
Notes (Callable 03/15/08 @ $104.31) | (CCC , B3) | 03/15/12 | 8.625 | 506,250 |
| 1,000 | Neiman-Marcus Group, Inc., Global Company
Guaranteed Notes (Callable 10/15/10 @ $105.19) | (B- , B3) | 10/15/15 | 10.375 | 1,120,000 |
| 650 | PCA LLC, Global Senior Notes Ø | (NR , NR) | 08/01/09 | 11.875 | 16,250 |
| 400 | SGS International, Inc., Global Company Guaranteed
Notes (Callable 12/15/09 @ $106.00) | (B- , B3) | 12/15/13 | 12.000 | 426,000 |
| 547 | Susser Holdings LLC, Global Company Guaranteed
Notes (Callable 12/15/09 @ $105.31) | (B+ , B2) | 12/15/13 | 10.625 | 599,649 |
| 475 | Yankee Acquisition Corp., Rule 144A, Senior
Subordinated Notes (Callable 02/15/12 @ $104.88) | (CCC+ , Caa1) | 02/15/17 | 9.750 | 483,313 |
| | | | | | 8,023,124 |
| Office Equipment (0.2%) | | | | | |
| 450 | Xerox Corp., Senior Notes (Callable 06/15/08 @
$103.81) | (BB+ , Baa3) | 06/15/13 | 7.625 | 474,188 |
| Oil Refining & Marketing (0.2%) | | | | | |
| 200 | Giant Industries, Inc., Company Guaranteed Notes
(Callable 05/15/09 @ $104.00) | (B- , B2) | 05/15/14 | 8.000 | 217,000 |
| 162 | Giant Industries, Inc., Global Company Guaranteed
Notes (Callable 05/15/07 @ $105.50) | (B- , B2) | 05/15/12 | 11.000 | 172,530 |
| | | | | | 389,530 |
| Packaging (2.8%) | | | | | |
| 840 | Berry Plastics Holding Corp., Global Secured Notes
(Callable 09/15/10 @ $104.44) | (CCC+ , B2) | 09/15/14 | 8.875 | 863,100 |
| 1,025 | Constar International, Inc., Senior Subordinated
Notes (Callable 12/01/07 @ $105.50) § | (CCC , Caa2) | 12/01/12 | 11.000 | 1,037,813 |
| 775 | Covalence Specialty Materials Corp., Rule 144A,
Senior Subordinated Notes (Callable 03/01/11 @ $105.13) | (CCC+ , B3) | 03/01/16 | 10.250 | 778,875 |
| 410 | Crown Americas LLC, Global Senior Notes (Callable
11/15/10 @ $103.88) | (B , B1) | 11/15/15 | 7.750 | 428,450 |
| 25 | Graham Packaging Co., Inc., Global Company
Guaranteed Notes (Callable 10/15/08 @ $104.25) | (CCC+ , Caa1) | 10/15/12 | 8.500 | 25,500 |
| 775 | Graham Packaging Co., Inc., Global Company
Guaranteed Notes (Callable 10/15/09 @ $104.94) § | (CCC+ , Caa1) | 10/15/14 | 9.875 | 794,375 |
| 680 | Owens-Brockway Glass Inc., Global Company
Guaranteed Notes (Callable 05/15/08 @ $104.13) | (B , B3) | 05/15/13 | 8.250 | 712,300 |
| 500 | Pliant Corp., Global Secured Notes (Callable
06/01/07 @ $105.56) | (CCC , Caa1) | 09/01/09 | 11.125 | 502,500 |
| 1,175 | Solo Cup Co., Global Senior Subordinated Notes
(Callable 02/15/09 @ $104.25) | (CCC- , Caa2) | 02/15/14 | 8.500 | 1,006,094 |
| | | | | | 6,149,007 |
SEQ.=1,FOLIO='',FILE='C:\JMS\sdeva\07-11698-3\task2138792\11698-3-bk.htm',USER='105329',CD='May 22 03:54 2007'
| Printing & Publishing (3.5%) — 775 | American Media Operations, Inc., Series B, Global
Company Guaranteed Notes (Callable 05/01/07 @ $100.00) | (CCC- , Caa2) | 05/01/09 | 10.250 | 736,250 |
| --- | --- | --- | --- | --- | --- |
| 875 | CBD Media Holdings Finance, Inc., Global Senior
Subordinated Notes (Callable 07/15/08 @ $104.63) | (CCC+ , Caa1) | 07/15/12 | 9.250 | 920,938 |
| 350 | Dex Media, Inc., Global Discount Notes (Callable
11/15/08 @ $104.50) + | (B , B3) | 11/15/13 | 0.000 | 327,688 |
| 750 | Haights Cross Operating Co., Global Company
Guaranteed Notes (Callable 08/15/08 @ $105.88) | (CCC- , Caa2) | 08/15/11 | 11.750 | 793,125 |
| 2,000 | Premier Graphics, Inc., Company Guaranteed Notes ^Ø | (NR , NR) | 12/01/05 | 11.500 | 0 |
| 2,000 | R.H. Donnelley Corp., Series A-2 Global Senior
Discount Notes (Callable 01/15/09 @ $103.44) | (B , B3) | 01/15/13 | 6.875 | 1,955,000 |
| 150 | R.H. Donnelley Corp., Series A-3, Global Senior
Notes (Callable 01/15/11 @ $104.44) | (B , B3) | 01/15/16 | 8.875 | 160,125 |
| 725 | Readers Digest Association, Inc., Rule 144A,
Senior Subordinated Notes (Callable 02/15/12 @ $104.50) | (CCC+ , Caa1) | 02/15/17 | 9.000 | 701,438 |
| 775 | Valassis Communications, Inc., Rule 144A, Senior
Notes (Callable 03/01/11 @ $104.13) | (B- , B3) | 03/01/15 | 8.250 | 765,313 |
| 725 | Vertis, Inc., Series B, Global Company Guaranteed
Notes (Callable 06/15/07 @ $100.00) § | (CCC , Caa1) | 06/15/09 | 10.875 | 735,875 |
| 550 | WDAC Subsidiary Corp., Rule 144A, Senior Notes
(Callable 12/01/09 @ $104.19) | (CCC+ , Caa1) | 12/01/14 | 8.375 | 570,625 |
| | | | | | 7,666,377 |
| Restaurants (1.1%) | | | | | |
| 850 | Buffets, Inc., Global Company Guaranteed Notes
(Callable 11/01/10 @ $106.25) | (CCC , Caa1) | 11/01/14 | 12.500 | 888,250 |
| 875 | Dennys Corp., Global Company Guaranteed Notes
(Callable 10/01/08 @ $105.00) | (B- , B3) | 10/01/12 | 10.000 | 937,344 |
| 600 | Friendly Ice Cream Corp., Global Senior Notes
(Callable 06/15/08 @ $104.19) | (CCC+ , Caa1) | 06/15/12 | 8.375 | 592,500 |
| | | | | | 2,418,094 |
| Software/Services (0.9%) | | | | | |
| 1,750 | Sungard Data Systems, Inc., Global Company
Guaranteed Notes (Callable 08/15/10 @ $105.13) | (B- , Caa1) | 08/15/15 | 10.250 | 1,918,438 |
| Steel Producers/Products (1.5%) | | | | | |
| 125 | AK Steel Corp., Company Guaranteed Notes (Callable
05/14/07 @ $100.00) | (B+ , B2) | 02/15/09 | 7.875 | 125,625 |
| 575 | AK Steel Corp., Global Company Guaranteed Notes
(Callable 06/15/07 @ $103.88) | (B+ , B2) | 06/15/12 | 7.750 | 587,219 |
| 775 | Egden Acquisition Corp., Global Secured Notes
(Callable 02/01/08 @ $104.94) | (B- , B3) | 02/01/11 | 9.875 | 796,313 |
| 725 | PNA Group, Inc., Rule 144A, Senior Notes (Callable
09/01/11 @ $105.38) | (B- , B3) | 09/01/16 | 10.750 | 783,000 |
| 250 | PNA Holding Corp., Rule 144A, Senior Notes
(Callable 02/15/08 @ $102.00) | (B- , Caa1) | 02/15/13 | 12.360 | 257,500 |
| 800 | RathGibson, Inc., Global Company Guaranteed Notes
(Callable 02/15/10 @ $105.63) | (B- , B3) | 02/15/14 | 11.250 | 848,000 |
| 0 | WCI Steel Acquisition, Inc., Senior Notes | (NR , NR) | 05/01/16 | 8.000 | 331 |
| 250 | WCI Steel, Escrow Ø | (NR , NR) | 12/01/04 | 10.000 | 8,175 |
| | | | | | 3,406,163 |
| Support - Services (4.8%) | | | | | |
| 400 | Allied Security Escrow Corp., Global Senior
Subordinated Notes (Callable 07/15/08 @ $105.69) | (CCC+ , Caa1) | 07/15/11 | 11.375 | 410,000 |
| 200 | Aramark Corp., Rule 144A, Senior Notes (Callable
02/01/09 @ $102.00) | (B- , B3e) | 02/01/15 | 8.860 | 206,500 |
| 300 | Aramark Corp., Rule 144A, Senior Notes (Callable
02/01/11 @ $104.25) | (B- , B) | 02/01/15 | 8.500 | 313,500 |
| 200 | Ashtead Capital, Inc., Rule 144A (Callable
08/15/11 @ $104.50) | (B , B3) | 08/15/16 | 9.000 | 214,000 |
| 684 | Di Finance/Dyncorp International, Global Senior
Subordinated Notes (Callable 02/15/09 @ $104.75) | (B , B3) | 02/15/13 | 9.500 | 731,880 |
| 100 | Education Management LLC, Senior Notes (Callable
06/01/10 @ $104.38) | (CCC+ , B2) | 06/01/14 | 8.750 | 105,750 |
| 675 | Education Management LLC, Senior Subordinated Notes
(Callable 06/01/11 @ $105.13) | (CCC+ , Caa1) | 06/01/16 | 10.250 | 735,750 |
| 300 | Hertz Corp., Senior Notes (Callable 01/01/10 @
$104.44) | (B , B1) | 01/01/14 | 8.875 | 324,750 |
| 400 | Hertz Corp., Senior Subordinated Notes (Callable
01/01/11 @ $105.25) | (B , B2) | 01/01/16 | 10.500 | 458,000 |
| 800 | HydroChem Industrial Services, Rule 144A, Senior
Subordinated Notes (Callable 02/15/09 @ $104.63) | (CCC+ , B3) | 02/15/13 | 9.250 | 824,000 |
| 350 | Iron Mountain, Inc., Company Guaranteed Notes
(Callable 04/01/07 @ $102.88) | (B , B3) | 04/01/13 | 8.625 | 361,900 |
| 250 | Iron Mountain, Inc., Company Guaranteed Notes
(Callable 07/01/08 @ $103.31) | (B , B3) | 01/01/16 | 6.625 | 242,500 |
| 1,100 | Johnsondiversey Holdings, Inc., Global Discount
Notes (Callable 05/15/07 @ $105.34) + | (CCC+ , Caa1) | 05/15/13 | 0.000 | 1,141,250 |
| 250 | Language Line Holdings, Inc., Global Senior
Subordinated Notes (Callable 06/15/08 @ $105.56) | (CCC+ , B3) | 06/15/12 | 11.125 | 266,875 |
| 650 | Mobile Services Group, Inc., Rule 144A, Senior
Notes (Callable 08/01/10 @ $104.88) | (B- , B3) | 08/01/14 | 9.750 | 690,625 |
| 725 | Rental Service Corp., Rule 144A, Bonds (Callable
12/01/10 @ $104.75) | (B- , Caa1) | 12/01/14 | 9.500 | 775,750 |
| 1,175 | TDS Investor Corp., Rule 144A, Senior Subordinated
Notes (Callable 09/01/11 @ $105.94) | (CCC+ , Caa1) | 09/01/16 | 11.875 | 1,293,969 |
| 1,050 | United Rentals North America, Inc., Global Senior
Subordinated Notes (Callable 02/15/09 @ $103.50) | (B , B3) | 02/15/14 | 7.000 | 1,052,625 |
| 525 | Williams Scotsman, Inc., Global Company Guaranteed
Notes (Callable 10/01/10 @ $104.25) | (B+ , B3) | 10/01/15 | 8.500 | 552,563 |
| | | | | | 10,702,187 |
| Telecom - Fixed Line (1.0%) | | | | | |
| 1,350 | Level 3 Financing, Inc., Rule 144A, Senior Notes
(Callable 02/15/09 @ $102.00) | (CCC+ , B3) | 02/15/15 | 9.150 | 1,366,875 |
| 225 | Level 3 Financing, Inc., Rule 144A, Senior Notes
(Callable 11/01/10 @ $104.63) | (CCC+ , B3) | 11/01/14 | 9.250 | 232,313 |
| 500 | Time Warner Telecom Holdings, Inc., Global Company
Guaranteed Notes (Callable 02/15/09 @ $104.63) | (CCC+ , B3) | 02/15/14 | 9.250 | 537,500 |
| | | | | | 2,136,688 |
| Telecom - Integrated/Services (2.1%) | | | | | |
| 925 | Cincinnati Bell, Inc., Global Company Guaranteed
Notes (Callable 01/15/09 @ $104.19) | (B- , B2) | 01/15/14 | 8.375 | 950,438 |
| 425 | Hawaiian Telcom Communications, Inc., Global
Company Guaranteed Notes (Callable 05/01/10 @ $106.25) § | (CCC , B3) | 05/01/15 | 12.500 | 467,500 |
| 525 | Hughes Network Systems LLC, Global Company
Guaranteed Notes (Callable 04/15/10 @ $104.75) | (B- , B1) | 04/15/14 | 9.500 | 555,188 |
| 545 | Intelsat Corp., Global Company Guaranteed Notes
(Callable 08/15/09 @ $104.50) | (B , B2) | 08/15/14 | 9.000 | 592,688 |
| 1,025 | Qwest Communications International, Inc., Global
Company Guaranteed Notes (Callable 02/15/08 @ $103.63) | (B+ , Ba3) | 02/15/11 | 7.250 | 1,054,469 |
| 300 | Qwest Communications International, Inc., Global
Company Guaranteed Notes (Callable 02/15/09 @ $103.75) | (B , Ba3) | 02/15/14 | 7.500 | 310,500 |
| 120 | Qwest Corp., Global Senior Notes | (BB+ , Ba1) | 06/15/15 | 7.625 | 128,700 |
| 75 | Qwest Corp., Global Senior Unsecured Notes | (BB+ , Ba1) | 10/01/14 | 7.500 | 79,500 |
| 225 | Windstream Corp., Global Company Guaranteed Notes | (BB- , Ba3) | 08/01/13 | 8.125 | 244,688 |
| 225 | Windstream Corp., Global Company Guaranteed Notes
(Callable 8/01/11 @ $104.31) | (BB- , Ba3) | 08/01/16 | 8.625 | 247,219 |
| | | | | | 4,630,890 |
| Telecom - Wireless (2.6%) | | | | | |
| 150 | Centennial Cellular Communications Corp., Global
Company Guaranteed Notes (Callable 06/15/08 @ $105.06) | (CCC , B2) | 06/15/13 | 10.125 | 162,750 |
| 675 | Centennial Communications Corp., Global Senior
Notes (Callable 01/01/09 @ $107.50) | (CCC , Caa1) | 01/01/13 | 10.000 | 731,531 |
| 800 | Cricket Communications, Inc., Rule 144A, Senior
Notes (Callable 11/01/10 @ $104.69) | (CCC , Caa2) | 11/01/14 | 9.375 | 852,000 |
| 1,175 | Dobson Communications Corp., Global Senior Notes
(Callable 10/01/08 @ $104.44) § | (CCC , Caa1) | 10/01/13 | 8.875 | 1,216,125 |
| 350 | Horizon PCS, Inc., Global Company Guaranteed Notes
(Callable 07/15/08 @ $105.69) | (B- , B3e) | 07/15/12 | 11.375 | 389,375 |
| 725 | MetroPCS Wireless, Inc., Rule 144A, Senior Notes
(Callable 11/01/10 @ $104.63) | (CCC , Caa2) | 11/01/14 | 9.250 | 770,313 |
| 925 | Rural Cellular Corp., Global Senior Subordinated
Notes (Callable 01/15/08 @ $101.63) § | (CCC , Caa2) | 01/15/10 | 9.750 | 957,375 |
| 625 | Suncom Wireless, Inc., Global Company Guaranteed
Notes (Callable 06/01/08 @ $104.25) | (CCC- , Caa2) | 06/01/13 | 8.500 | 646,875 |
| | | | | | 5,726,344 |
| Theaters & Entertainment (0.5%) | | | | | |
| 450 | AMC Entertainment, Inc., Global Senior
Subordinated Notes (Callable 03/01/09 @ $104.00) | (CCC+ , B3) | 03/01/14 | 8.000 | 460,125 |
| 750 | Cinemark, Inc., Global Senior Discount Notes
(Callable 03/15/09 @ $104.88) + | (CCC+ , B3) | 03/15/14 | 0.000 | 690,000 |
| | | | | | 1,150,125 |
| Transportation Excluding Air/Rail (0.1%) | | | | | |
| 195 | H-Line Finance Holding Corp., Global Senior Discount
Notes (Callable 04/01/08 @ $105.50) + | (CCC+ , Caa1) | 04/01/13 | 0.000 | 186,225 |
| TOTAL U.S. CORPORATE BONDS (Cost $190,240,936) | | | | | 193,591,665 |
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| Number | ||
|---|---|---|
| of | ||
| Shares | ||
| COMMON STOCKS (0.9%) ^ | ||
| Auto Parts & Equipment (0.0%) | ||
| 774,557 | Cambridge Industries Liquidating Trust ^* | 0 |
| 1,219 | Safelite Realty Corp. ^* | 9,752 |
| 9,752 | ||
| Chemicals (0.1%) | ||
| 4,893 | Huntsman Corp. * | 93,407 |
| Consumer - Products (0.0%) | ||
| 20,689 | Indesco Liquid Dispensing Co. ^* | 0 |
| Electric - Integrated (0.3%) | ||
| 14,300 | Mirant Corp. * | 578,578 |
| Food - Wholesale (0.4%) | ||
| 590 | Crunch Equity Holdings LLC * | 944,648 |
| Gaming (0.0%) | ||
| 12,000 | Progressive Gaming International Corp. * | 54,000 |
| Packaging (0.0%) | ||
| 4 | Pliant Corp. ^* | 0 |
| Printing & Publishing (0.1%) | ||
| 10,652 | Mail Well, Inc., Rule 144A * | 258,844 |
| Restaurants (0.0%) | ||
| 5 | Roma Restaurant Holdings, Inc.* | 90 |
| Steel Producers/Products (0.0%) | ||
| 2,787 | WCI Steel Acquisition, Inc.* | 83,610 |
| TOTAL COMMON STOCKS (Cost $1,174,661) | 2,022,929 | |
| PREFERRED STOCKS (0.0%) | ||
| Media (0.0%) | ||
| 7,500 | Adelphia Communications Corp., 13% cumulative | |
| exchangeable Series B (Callable 07/15/07 @ $102.17) * | 1,725 | |
| (Cost $750,000) | ||
| WARRANTS (0.0%) | ||
| Building Materials (0.0%) | ||
| 1,250 | Dayton Superior Corp., strike price $0.01, Rule | |
| 144A, expires 06/15/09 ^* | 13 | |
| (Cost $25,000) | ||
| TOTAL DOMESTIC SECURITIES (Cost $192,190,597) | 195,616,332 |
| Par — (000) | Maturity | Rate% | |||
|---|---|---|---|---|---|
| FOREIGN CORPORATE BONDS (9.5%) | |||||
| Apparel/Textiles (0.1%) | |||||
| 150 | IT Holdings Finance SA, Rule 144A, Senior Notes | ||||
| (Luxembourg) | (CCC+ , B3) | 11/15/12 | 9.875 | 206,661 | |
| Building Materials (0.2%) | |||||
| 750 | MAAX Corp., Global Senior Subordinated Notes | ||||
| (Callable 06/15/08 @ $104.88) (Canada) | (CC , Caa3) | 06/15/12 | 9.750 | 517,500 | |
| Chemicals (0.9%) | |||||
| 700 | Basell AF SCA, Rule 144A, Company Guaranteed Notes | ||||
| (Callable 08/15/10 @ $104.19) (Luxembourg) | (B- , B2) | 08/15/15 | 8.375 | 733,250 | |
| 850 | Ineos Group Holding PLC, Rule 144A, (Callable | ||||
| 02/15/11 @ $104.25) (United Kingdom) | (B- , B2) | 02/15/16 | 8.500 | 818,125 | |
| 300 | Rhodia SA, Global Senior Unsecured Notes (Callable | ||||
| 06/01/07 @ $104.44) (France) | (B- , B3) | 06/01/11 | 8.875 | 314,250 | |
| 1,865,625 | |||||
| Electronics (1.0%) | |||||
| 300 | Avago Technologies Finance PTE, Global Company | ||||
| Guaranteed Notes (Callable 12/01/09 @ $105.06) (Singapore) | (B , B2) | 12/01/13 | 10.125 | 326,250 | |
| 400 | Avago Technologies Finance PTE, Global Company | ||||
| Guaranteed Notes (Callable 12/01/10 @ $105.94) (Singapore) § | (CCC+ , Caa1) | 12/01/15 | 11.875 | 452,000 | |
| 350 | Celestica, Inc., Senior Subordinated Notes | ||||
| (Callable 07/01/08 @ $103.94) (Canada) | (B- , B2) | 07/01/11 | 7.875 | 340,375 |
| 725 | NXP BV/NXP Funding LLC, Rule 144A, Senior Notes
(Callable 10/15/11 @ $104.75) (Netherlands) | (B+ , B2) | 10/15/15 | 9.500 | 752,188 | |
| --- | --- | --- | --- | --- | --- | --- |
| 175 | NXP BV/NXP Funding LLC, Rule 144A, Secured Notes (Callable 10/15/10
@ $103.94) (Netherlands) | (BB+ , Ba2) | 10/15/14 | 7.875 | 181,563 | |
| 250 | Magnachip Semiconductor, Senior Subordinated Notes
(Callable 12/15/09 @ $104.00) (Luxembourg) | (CCC+ , B3) | 12/15/14 | 8.000 | 156,875 | |
| | | | | | 2,209,251 | |
| Energy - Exploration &
Production (0.2%) | | | | | | |
| 325 | OPTI Canada, Inc., Rule 144A, Company Guaranteed
Notes (Callable 12/15/10 @ $104.13) (Canada) | (BB , B1) | 12/15/14 | 8.250 | 339,625 | |
| Food & Drug Retailers (0.3%) | | | | | | |
| 575 | Jean Coutu Group, Inc. (PJC), Global Senior
Subordinated Notes (Callable 08/01/09 @ $104.25) (Canada) | (B- , Caa2) | 08/01/14 | 8.500 | 626,750 | |
| Forestry & Paper (1.2%) | | | | | | |
| 350 | Abitibi-Consolidated, Inc., Global Notes (Canada) | (B+ , B3) | 06/15/11 | 7.750 | 336,000 | |
| 700 | Abitibi-Consolidated, Inc., Yankee Senior Notes
(Canada) | (B+ , B3) | 04/01/15 | 8.375 | 661,500 | |
| 550 | Bowater Canada Finance Corp., Global Company
Guaranteed Notes (Canada) | (B+ , B3) | 11/15/11 | 7.950 | 537,625 | |
| 184 | Smurfit Kappa Funding PLC, Global Senior Notes
(Callable 10/1/07 @ $104.81) (Ireland) | (B , B2) | 10/01/12 | 9.625 | 196,420 | |
| 750 | Smurfit Kappa Funding PLC, Global Senior
Subordinated Notes (Callable 01/31/10 @ $103.88) (Ireland) | (B , B2) | 04/01/15 | 7.750 | 768,750 | |
| 235 | Tembec Industries, Inc., Global Company Guaranteed
Notes (Canada) | (CCC- , Ca) | 03/15/12 | 7.750 | 143,938 | |
| | | | | | 2,644,233 | |
| Leisure (0.3%) | | | | | | |
| 750 | NCL Corp., Global Senior Notes (Callable 07/15/09
@ $105.31) (Bermuda) | (B , B3) | 07/15/14 | 10.625 | 746,250 | |
| Media - Broadcast (0.0%) | | | | | | |
| 4,600 | Australis Holdings Pty. Ltd., Yankee Senior
Discount Notes (Australia) ^Ø | (NR , NR) | 11/01/02 | 15.000 | 0 | |
| Media - Cable (1.0%) | | | | | | |
| 375 | Kabel Deutschland GMBH, Global Company Guaranteed
Notes (Callable 07/01/09 @ $105.31) (Germany) | (B- , B2) | 07/01/14 | 10.625 | 420,000 | |
| 393 | Telenet Group Holding NV, Rule 144A, Discount
Notes (Callable 12/15/08 @ $105.75) (Belgium) + | (CCC+ , B3) | 06/15/14 | 0.000 | 370,403 | |
| 400 | Unity Media GMBH, Rule 144A, Senior Notes
(Callable 02/15/10 @ $105.06) (Germany) | (CCC+ , Caa2) | 02/15/15 | 10.125 | 587,703 | |
| 350 | Virgin Media Finance PLC, Global Company
Guaranteed Notes (Callable 04/15/09 @ $104.88) (United Kingdom) | (B- , B2) | 04/15/14 | 9.750 | 727,661 | |
| 150 | Virgin Media Finance PLC, Global Company Guaranteed
Notes (Callable 08/15/11 @ $104.56) (United Kingdom) | (B- , B2) | 08/15/16 | 9.125 | 159,000 | |
| | | | | | 2,264,767 | |
| Metals & Mining Excluding
Steel (0.0%) | | | | | | |
| 800 | International Utility Structures, Inc.,
Subordinated Notes (Canada) ^Ø | (NR , NR) | 02/01/08 | 10.750 | 0 | |
| 924 | International Utility Structures, Inc., Yankee Senior
Subordinated Notes (Canada) ^Ø | (NR , NR) | 02/01/08 | 13.000 | 0 | |
| | | | | | 0 | |
| Packaging (0.3%) | | | | | | |
| 400 | Gerresheimer Holdings GMBH, Rule 144A, Company
Guaranteed Notes (Callable 02/15/10 @ $103.94) (Germany) | (B- , Caa1) | 03/01/15 | 7.875 | 559,083 | |
| Pharmaceuticals (0.4%) | | | | | | |
| 400 | Biovail Corp., Yankee Senior Subordinated Notes
(Canada) | (BB- , B1) | 04/01/10 | 7.875 | 407,876 | |
| 500 | Elan Finance PLC, Rule 144A, Global Company
Guaranteed Notes (Callable 12/01/10 @ $104.44) (Ireland) | (B , B3) | 12/01/13 | 8.875 | 510,625 | |
| | | | | | 918,501 | |
| Printing & Publishing (0.3%) | | | | | | |
| 525 | Quebecor World, Inc., Rule 144A, Senior Notes
(Callable 01/15/11 @ $104.88) (Canada) | (B+ , B2) | 01/15/15 | 9.750 | 553,875 | |
| Support - Services (0.5%) | | | | | | |
| 675 | Ashtead
Holdings PLC, Rule 144A, Secured Notes (Callable 08/01/10 @ $104.31) (United
Kingdom) | (B , B3) | 08/01/15 | 8.625 | 708,750 | |
| 325 | Carlson Wagonlit BV, Rule 144A, Bonds (Callable
11/01/07 @ $104.00) (Netherlands) # | (B- , B2) | 05/15/15 | 9.306 | 456,959 | |
| | | | | | 1,165,709 | |
| Telecom - Integrated/Services (2.1%) | | | | | | |
| 825 | Global Crossing UK Finance PLC, Global Company
Guaranteed Notes (Callable 12/15/09 @ $105.38) (United Kingdom) | (B- , B3) | 12/15/14 | 10.750 | 899,250 | |
| 350 | Hellas II, Rule 144A, Secured Notes (Callable
01/15/08 @ $102.00) (Luxembourg) # | (CCC+ , C) | 01/15/15 | 11.115 | 361,375 | |
| 1,400 | Intelsat Bermuda Ltd., Rule 144A , Senior Notes
(Callable 06/15/11 @ $105.63) (Bermuda) | (B , Caa1) | 06/15/16 | 11.250 | 1,596,000 | |
| 250 | Intelsat Bermuda Ltd., Rule 144A, Senior Unsecured
Notes (Callable 01/15/08 @ $102.00) (Bermuda) | (B , Caa1) | 01/15/15 | 8.872 | 256,250 | |
| 975 | Intelsat Ltd., Global Notes (Bermuda) | (B , Caa1) | 04/15/12 | 7.625 | 940,875 | |
| 500 | Nordic Tel Co., Holdings, Rule 144A, Notes
(Callable 05/01/07 @ $102.00) (Denmark) # | (B , B2) | 05/01/16 | 8.352 | 681,382 | |
| | | | | | 4,735,132 | |
| Telecommunications Equipment (0.1%) | | | | | | |
| 275 | Nortel Networks Ltd., Rule 144A, Company
Guaranteed Notes (Canada) | (B- , B3) | 07/15/11 | 9.731 | 295,625 | |
| Transportation Excluding Air/Rail (0.6%) | | | | | | |
| 1,100 | Ship Finance International Ltd., Global Senior Notes
(Callable 12/15/08 @ $104.25) (Bermuda) | (B+ , B1) | 12/15/13 | 8.500 | 1,133,000 | |
| 250 | Stena AB, Global Senior Notes (Callable 12/01/09 @
$103.50) (Sweden) | (BB- , Ba3) | 12/01/16 | 7.000 | 248,750 | |
| | | | | | 1,381,750 | |
| TOTAL FOREIGN CORPORATE BONDS (Cost $22,911,549) | | | | | 21,030,337 | |
| SHORT-TERM INVESTMENTS (10.0%) | | | | | | |
| 920 | Citibank (Nassau) overnight deposit | | 04/02/07 | 4.440 | $ 920,000 | |
| | (Cost $920,000) | | | | | |
| Number | | | | | | |
| of
Shares | | | | | | |
| 21,094,816 | Securities Lending Investment Fund, a series of
the Brown Brothers Investment Trust P | | | | 21,094,816 | |
| TOTAL SHORT-TERM INVESTMENTS (Cost 22,014,816) | | | | | 22,014,816 | |
| TOTAL INVESTMENTS (107.9%) (Cost $237,116,962) | | | | | 238,661,485 | |
| LIABILITIES IN EXCESS OF OTHER ASSETS (7.9%) | | | | | (17,529,851 | ) |
| NET ASSETS (100.0%) | | | | | | |
| | Applicable to 49,904,551 issued and outstanding | | | | | |
| | $.001 par value shares (authorized 100,000,000
shares) | | | | $ 221,131,634 | |
| | Credit
ratings given by the Standard & Poors Division of The McGraw-Hill
Companies, Inc. (S&P) and Moodys Investors Service, Inc. (Moodys)
are unaudited. |
| --- | --- |
| | Securities
exempt from registration under Rule 144A of the Securities Act of 1933. These
securities may be resold in transactions exempt from registration, normally
to qualified institutional buyers. At March 31, 2007, these securities
amounted to a value of $47,295,400 or 21.39% of net assets. |
| ^ | Securities for which
market quotations are not readily available are valued at fair value as
determined in good faith by, or under the direction of, the Board of
Directors. |
| + | Step Bond - The interest
rate stated is the rate as of March 31, 2007 and will reset at a future date. |
| Ø | Defaulted security. |
| # | Floating Rate - The
interest rate changes on these instruments based upon a designated base rate.
The rates shown are those in effect at March 31, 2007. |
| * | Non-income producing
security. |
| § | Security or a portion
thereof is out on loan. |
| P | Represents security
purchased with cash collateral received for securities on loan. |
Security Valuation The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the Exchange) on each day the Exchange is open for business. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. The 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 March 31, 2007, the Fund held 0.09% of its net assets in securities valued at fair value as determined in good faith under procedures established by the Board of Directors with an aggregate cost of $5,263,138 and fair value of $199,797. The 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 March 31, 2007, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized appreciation from investments were $237,116,962, 9,848,914, (8,304,391), and $1,544,523 respectively.
Other information regarding the Fund is available in the Funds most recent Report to Shareholders. This information is also available on the Funds website at www.credit-suisse.com/us as well as on the website of the Securities and Exchange Commission at www.sec.gov.
SEQ.=1,FOLIO='',FILE='C:\JMS\sdeva\07-11698-3\task2138792\11698-3-bk.htm',USER='105329',CD='May 22 03:54 2007'
*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
SEQ.=1,FOLIO='',FILE='C:\JMS\sdeva\07-11698-3\task2138792\11698-3-ga.htm',USER='105329',CD='May 22 03:58 2007'
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
| /s/Keith M. Schappert | |
|---|---|
| Name: | Keith M. Schappert |
| Title: | Chief Executive Officer |
| Date: | May 23, 2007 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| /s/Keith M. Schappert | |
|---|---|
| Name: | Keith M. Schappert |
| Title: | Chief Executive Officer |
| Date: | May 23, 2007 |
| /s/Michael A. Pignataro | |
| Name: | Michael A. Pignataro |
| Title: | Chief Financial Officer |
| Date: | May 23, 2007 |
SEQ.=1,FOLIO='',FILE='C:\JMS\sdeva\07-11698-3\task2138792\11698-3-jc.htm',USER='105329',CD='May 22 04:01 2007'
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