Regulatory Filings • Nov 14, 2008
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Download Source FileN-Q 1 a08-24651_4nq.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, 2008
to September 30, 2008 |
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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, 2008 (unaudited)
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS (87.5%) | |||||
| Aerospace & Defense (1.6%) | |||||
| $ 950 | BE Aerospace, Inc., Senior Unsecured Notes | ||||
| (Callable 07/01/13 @ $104.25) | (BB+, Ba3) | 07/01/18 | 8.500 | $ 923,875 | |
| 275 | DRS Technologies, Inc., Company Guaranteed | ||||
| Notes (Callable 02/01/11 @ $103.81)§ | (B, B3) | 02/01/18 | 7.625 | 288,750 | |
| 375 | Hawker Beechcraft Acquisition Co., Global Company | ||||
| Guaranteed Notes (Callable 04/01/11 @ $104.44)§ | (B-, B3) | 04/01/15 | 8.875 | 341,250 | |
| 825 | Hawker Beechcraft Acquisition Co., Global Company | ||||
| Guaranteed Notes (Callable 04/01/12 @ $104.88)§ | (B-, Caa1) | 04/01/17 | 9.750 | 742,500 | |
| 400 | TransDigm, Inc., Global Company Guaranteed | ||||
| Notes (Callable 07/15/09 @ $105.81)§ | (B-, B3) | 07/15/14 | 7.750 | 378,000 | |
| 2,674,375 | |||||
| Agriculture (0.4%) | |||||
| 725 | Southern States Cooperative, Inc., | ||||
| Rule 144A, Senior Notes (Callable 10/09/08 @ $108.00) | (B-, Caa1) | 11/01/10 | 11.000 | 735,875 | |
| Auto Loans (3.3%) | |||||
| 750 | Ford Motor Credit Co. LLC, Global Senior Unsecured | ||||
| Notes | (B-, B1) | 06/15/10 | 7.875 | 572,700 | |
| 1,725 | Ford Motor Credit Co. LLC, Global Senior Unsecured | ||||
| Notes§ | (B-, B1) | 10/01/13 | 7.000 | 1,061,094 | |
| 425 | Ford Motor Credit Co. LLC, Senior Unsecured Notes | (B-, B1) | 08/10/11 | 9.875 | 293,365 |
| 850 | Ford Motor Credit Co. LLC, Senior Unsecured Notes | (B-, B1) | 12/15/16 | 8.000 | 538,129 |
| 750 | GMAC LLC, Debentures (Callable 11/10/08 @ $100.00)§ | (B-, B3) | 04/01/11 | 6.000 | 355,461 |
| 2,650 | GMAC LLC, Senior Unsecured Notes§ | (B-, B3) | 03/02/11 | 7.250 | 1,253,959 |
| 75 | GMAC LLC, Senior Unsecured Notes | (B-, B3) | 12/15/11 | 6.000 | 33,368 |
| 1,520 | GMAC LLC, Senior Unsecured Notes§ | (B-, B3) | 12/01/14 | 6.750 | 583,955 |
| 900 | Navios Maritime Holdings, Inc., Global Company | ||||
| Guaranteed Notes (Callable 12/15/10 @ $104.75) | (B+, B3) | 12/15/14 | 9.500 | 832,500 | |
| 5,524,531 | |||||
| Auto Parts & Equipment (2.1%) | |||||
| 850 | Altra Industrial Motion, Inc., Global Senior | ||||
| Secured Notes (Callable 12/01/08 @ $104.50) | (B+, B1) | 12/01/11 | 9.000 | 879,750 | |
| 500 | American Axle & Manufacturing, Inc., | ||||
| Company Guaranteed Notes (Callable 03/01/12 @ $103.94) | (B+, B1) | 03/01/17 | 7.875 | 267,500 | |
| 800 | American Tire Distributors Holdings, Inc., | ||||
| Global Senior Notes (Callable 04/01/09 @ $105.38) | (CCC+, Caa1) | 04/01/13 | 10.750 | 664,000 | |
| 737 | Goodyear Tire & Rubber Co., Global Senior | ||||
| Unsecured Notes (Callable 07/01/10 @ $104.50) | (BB-, Ba3) | 07/01/15 | 9.000 | 733,315 | |
| 485 | Lear Corp., Series B, Global Company | ||||
| Guaranteed Notes (Callable 12/01/10 @ $104.25) | (B, B3) | 12/01/13 | 8.500 | 358,294 | |
| 375 | Tenneco, Inc., Global Company Guaranteed Notes | ||||
| (Callable 11/15/09 @ $104.31) | (B, B3) | 11/15/14 | 8.625 | 300,000 | |
| 127 | Visteon Corp., Global Senior Unsecured Notes§ | (B-, Caa2) | 08/01/10 | 8.250 | 106,045 |
| 329 | Visteon Corp., Rule 144A, Senior Unsecured | ||||
| Notes (Callable 12/31/13 @ $105.00) | (B-, Caa1) | 12/31/16 | 12.250 | 199,045 | |
| 3,507,949 | |||||
| Automotive (1.0%) | |||||
| 1,260 | Ford Motor Co., Global Senior Unsecured Notes§ | (CCC, Caa1) | 07/16/31 | 7.450 | 548,100 |
| 600 | General Motors Corp., Global Senior Unsecured | ||||
| Notes§ | (B-, Caa2) | 01/15/11 | 7.200 | 354,000 | |
| 1,750 | General Motors Corp., Senior Unsecured Notes§ | (B-, Caa2) | 07/15/13 | 7.125 | 809,375 |
| 50 | General Motors Corp., Senior Unsecured Notes§ | (B-, Caa2) | 07/15/33 | 8.375 | 20,250 |
| 1,731,725 | |||||
| Beverages (0.4%) | |||||
| 275 | Constellation Brands, Inc., Company Guaranteed | ||||
| Notes | (BB-, Ba3) | 12/15/14 | 8.375 | 273,625 | |
| 525 | Constellation Brands, Inc., Company Guaranteed | ||||
| Notes | (BB-, Ba3) | 09/01/16 | 7.250 | 485,625 | |
| 759,250 | |||||
| Brokerage (0.2%) | |||||
| 175 | E*TRADE Financial Corp., Global Senior Notes | ||||
| (Callable 10/27/08 @ $104.00) | (B, Ba3) | 06/15/11 | 8.000 | 153,125 |
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| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Brokerage | |||||
| $ 315 | E*TRADE Financial Corp., Senior Unsecured Notes | ||||
| (Callable 12/01/10 @ $103.94) | (B, Ba3) | 12/01/15 | 7.875 | $ 253,575 | |
| 406,700 | |||||
| Building & Construction (1.1%) | |||||
| 900 | Ashton Woods USA/Finance, Global Company Guaranteed | ||||
| Notes (Callable 10/01/10 @ $104.75) | (CC, Caa3) | 10/01/15 | 9.500 | 409,500 | |
| 500 | K Hovnanian Enterprises, Inc., Global Company | ||||
| Guaranteed Notes | (CCC+, Caa1) | 01/15/16 | 6.250 | 290,000 | |
| 600 | KB HOME, Company Guaranteed Notes | (BB, Ba2) | 06/15/15 | 6.250 | 492,000 |
| 625 | Standard Pacific Corp., Global Company Guaranteed | ||||
| Notes | (B-, B2) | 08/15/15 | 7.000 | 475,000 | |
| 350 | William Lyon Homes, Inc., Global Company | ||||
| Guaranteed Notes (Callable 12/15/08 @ $103.81) | (CCC+, Caa2) | 12/15/12 | 7.625 | 138,250 | |
| 250 | William Lyon Homes, Inc., Global Company | ||||
| Guaranteed Notes (Callable 02/15/09 @ $103.75) | (CCC+, Caa2) | 02/15/14 | 7.500 | 98,750 | |
| 1,903,500 | |||||
| Building Materials (2.8%) | |||||
| 750 | Associated Materials, Inc., Global Senior | ||||
| Discount Notes (Callable 03/01/09 @ $105.62)+§ | (CCC, Caa2) | 03/01/14 | 0.000 | 487,500 | |
| 825 | Building Materials Corp. of America, Global Secured | ||||
| Notes (Callable 08/01/09 @ $103.88)§ | (B+, B3) | 08/01/14 | 7.750 | 655,875 | |
| 725 | Coleman Cable, Inc., Global Company Guaranteed | ||||
| Notes (Callable 10/01/08 @ $104.94) | (B+, B2) | 10/01/12 | 9.875 | 659,750 | |
| 750 | CPG International I, Inc., Global Company | ||||
| Guaranteed Notes (Callable 07/01/09 @ $105.25) | (B, B3) | 07/01/13 | 10.500 | 513,750 | |
| 300 | Dayton Superior Corp., Company Guaranteed Notes | ||||
| (Callable 11/17/08 @ $100.00)§ | (CCC+, Caa1) | 06/15/09 | 13.000 | 243,750 | |
| 375 | General Cable Corp., Global Company Guaranteed | ||||
| Notes (Callable 04/01/09 @ $102.00)# | (B+, B1) | 04/01/15 | 5.166 | 316,875 | |
| 325 | Norcraft Cos. LP, Global Company Guaranteed Notes | ||||
| (Callable 10/06/08 @ $104.50) | (B+, B1) | 11/01/11 | 9.000 | 313,625 | |
| 250 | Norcraft Holdings, Global Senior Discount Notes | ||||
| (Callable 11/17/08 @ $104.88) | (B-, B3) | 09/01/12 | 9.750 | 226,250 | |
| 475 | Nortek, Inc., Global Senior Subordinated Notes | ||||
| (Callable 09/01/09 @ $104.25) | (CCC, Caa1) | 09/01/14 | 8.500 | 273,125 | |
| 750 | NTK Holdings, Inc., Global Senior Discount | ||||
| Notes (Callable 09/01/09 @ $105.38)+§ | (CCC, Caa2) | 03/01/14 | 0.000 | 326,250 | |
| 375 | Ply Gem Industries, Inc., Global Company | ||||
| Guaranteed Notes (Callable 10/06/08 @ $104.50)§ | (CCC+, Caa2) | 02/15/12 | 9.000 | 206,250 | |
| 500 | Ply Gem Industries, Inc., Rule 144A, | ||||
| Senior Secured Notes (Callable 04/01/11 @ $105.88) | (B, B2) | 06/15/13 | 11.750 | 432,500 | |
| 4,655,500 | |||||
| Chemicals (3.1%) | |||||
| 925 | Chemtura Corp., Company Guaranteed Notes | (BB, Ba2) | 06/01/16 | 6.875 | 744,625 |
| 650 | Koppers Holdings, Inc., Global Senior Discount | ||||
| Notes (Callable 11/15/09 @ $104.94)+ | (B-, B2) | 11/15/14 | 0.000 | 585,000 | |
| 725 | Momentive Performance Materials, Inc., Global | ||||
| Company Guaranteed Notes (Callable 12/01/10 @ $104.88) | (B, B3) | 12/01/14 | 9.750 | 576,375 | |
| 625 | Momentive Performance Materials, Inc., Global | ||||
| Company Guaranteed Notes (Callable 12/01/11 @ $105.75)§ | (CCC+, Caa2) | 12/01/16 | 11.500 | 428,125 | |
| 175 | Nalco Co., Global Company Guaranteed Notes | ||||
| (Callable 11/15/08 @ $104.50) | (B-, B3) | 11/15/13 | 9.000 | 233,523 | |
| 800 | Nalco Finance Holdings, Inc., Global Senior | ||||
| Discounted Notes (Callable 02/01/09 @ $104.50)+ | (B, B3) | 02/01/14 | 0.000 | 714,000 | |
| 750 | PolyOne Corp., Senior Unsecured Notes | (B+, B1) | 05/01/12 | 8.875 | 716,250 |
| 750 | Reichhold Industries, Inc., Rule 144A, | ||||
| Senior Notes (Callable 08/15/10 @ $104.50) | (B+, B2) | 08/15/14 | 9.000 | 723,750 | |
| 475 | Terra Capital, Inc., Series B, Global | ||||
| Company Guaranteed Notes (Callable 02/01/12 @ $103.50) | (BB, B1) | 02/01/17 | 7.000 | 453,625 | |
| 5,175,273 | |||||
| Computer Hardware (0.2%) | |||||
| 500 | Activant Solutions, Inc., Global Company | ||||
| Guaranteed Notes (Callable 05/01/11 @ $104.75) | (CCC+, Caa1) | 05/01/16 | 9.500 | 372,500 |
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| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Consumer Products (1.5%) | |||||
| $ 650 | AAC Group Holding Corp., Rule 144A, Senior | ||||
| Unsecured Notes (Callable 11/03/08 @ $105.13)+ | (CCC+, Caa1) | 10/01/12 | 0.000 | $ 646,750 | |
| 1,025 | Amscan Holdings, Inc., Global Senior | ||||
| Subordinated Notes (Callable 05/01/09 @ $104.38) | (CCC+, Caa1) | 05/01/14 | 8.750 | 835,375 | |
| 550 | Jarden Corp., Company Guaranteed Notes (Callable | ||||
| 05/01/12 @ $103.75)§ | (B, B3) | 05/01/17 | 7.500 | 460,625 | |
| 594 | Prestige Brands, Inc., Global Senior | ||||
| Subordinated Notes (Callable 11/10/08 @ $104.63) | (B-, B3) | 04/15/12 | 9.250 | 567,270 | |
| 2,510,020 | |||||
| Consumer/Commercial/Lease | |||||
| Financing (0.1%) | |||||
| 500 | Residential Capital LLC, Rule 144A, Secured | ||||
| Notes (Callable 05/15/10 @ $104.81) | (CCC-, Ca) | 05/15/15 | 9.625 | 122,500 | |
| Diversified | |||||
| Capital Goods (2.3%) | |||||
| 575 | Esco Corp., Rule 144A, Company Guaranteed | ||||
| Notes (Callable 12/15/08 @ $102.00)# | (B, B2) | 12/15/13 | 6.694 | 531,875 | |
| 850 | RBS Global & Rexnord Corp., Global Company | ||||
| Guaranteed Notes (Callable 08/01/10 @ $104.75)§ | (B-, B3) | 08/01/14 | 9.500 | 803,250 | |
| 575 | Sensus Metering Systems, Global Senior Subordinated | ||||
| Notes (Callable 12/15/08 @ $104.31) | (B-, B3) | 12/15/13 | 8.625 | 543,375 | |
| 800 | Stanadyne | ||||
| Corp., Series 1, Global Senior Subordinated Notes (Callable 08/15/09 @ | |||||
| $105.00) | (B-, | ||||
| B3) | 08/15/14 | 10.000 | 748,000 | ||
| 625 | Titan International, Inc., Global Company | ||||
| Guaranteed Notes | (B-, Caa1) | 01/15/12 | 8.000 | 609,375 | |
| 694 | TriMas Corp., Global Company Guaranteed Notes | ||||
| (Callable 10/09/08 @ $103.29) | (B-, B3) | 06/15/12 | 9.875 | 591,635 | |
| 3,827,510 | |||||
| Electric - Generation (3.6%) | |||||
| 825 | Dynegy Holdings, Inc., Global Senior Unsecured | ||||
| Notes | (B, B2) | 06/01/15 | 7.500 | 701,250 | |
| 1,200 | Dynegy Holdings, Inc., Global Senior Unsecured | ||||
| Notes | (B, B2) | 05/01/16 | 8.375 | 1,050,000 | |
| 725 | Dynegy Holdings, Inc., Global Senior Unsecured | ||||
| Notes | (B, B2) | 06/01/19 | 7.750 | 583,625 | |
| 800 | Edison Mission Energy, Global Senior Unsecured | ||||
| Notes | (BB-, B1) | 05/15/17 | 7.000 | 724,000 | |
| 200 | Edison Mission Energy, Global Senior Unsecured | ||||
| Notes | (BB-, B1) | 05/15/19 | 7.200 | 177,000 | |
| 271 | Midwest Generation LLC, Series B, Global Pass | ||||
| Thru Certificates | (BB+, Baa3) | 01/02/16 | 8.560 | 279,449 | |
| 200 | NRG Energy, Inc., Company Guaranteed Notes | ||||
| (Callable 01/15/12 @ $103.69) | (B, B1) | 01/15/17 | 7.375 | 182,500 | |
| 425 | NRG Energy, Inc., Company Guaranteed Notes | ||||
| (Callable 02/01/11 @ $103.69)§ | (B, B1) | 02/01/16 | 7.375 | 383,563 | |
| 550 | Reliant Energy, Inc., Senior Unsecured Notes§ | (BB-, B1) | 06/15/14 | 7.625 | 415,250 |
| 125 | Reliant Energy, Inc., Senior Unsecured Notes | (BB-, B1) | 06/15/17 | 7.875 | 93,125 |
| 1,150 | The AES Corp., Global Senior Unsecured Notes§ | (BB-, B1) | 10/15/17 | 8.000 | 1,043,625 |
| 550 | The AES Corp., Senior Unsecured Notes | (BB-, B1) | 03/01/14 | 7.750 | 514,250 |
| 6,147,637 | |||||
| Electric - Integrated (3.4%) | |||||
| 1,000 | Mirant Americas Generation LLC, Senior Unsecured | ||||
| Notes | (B-, B3) | 10/01/21 | 8.500 | 780,000 | |
| 268 | Mirant Mid Atlantic LLC, Series B, Global Pass | ||||
| Thru Certificates | (BB, Ba1) | 06/30/17 | 9.125 | 289,827 | |
| 625 | PNM Resources, Inc., Unsecured Notes | (BB-, Ba2) | 05/15/15 | 9.250 | 618,750 |
| 3,150 | Texas | ||||
| Competitive Electric Holdings Co. LLC, Series A, Rule 144A, Company | |||||
| Guaranteed Notes (Callable 11/01/11 @ $105.13) | (CCC, | ||||
| B3) | 11/01/15 | 10.250 | 2,858,625 | ||
| 1,300 | Texas | ||||
| Competitive Electric Holdings Co. LLC, Series B, Rule 144A, Company | |||||
| Guaranteed Notes (Callable 11/01/11 @ $105.13)§ | (CCC, | ||||
| B3) | 11/01/15 | 10.250 | 1,179,750 | ||
| 5,726,952 | |||||
| Electronics (2.2%) | |||||
| 900 | Amkor Technology, Inc., Global Senior Notes | ||||
| (Callable 10/14/08 @ $103.88) | (B+, B1) | 05/15/13 | 7.750 | 772,875 | |
| 194 | Ampex Corp., Series B, Secured Notes^ø | (NR, NR) | 08/15/08 | 12.000 | 188,100 |
| 175 | Freescale Semiconductor, Inc., Global Company | ||||
| Guaranteed Notes (Callable 12/15/10 @ $104.44) | (B-, B2) | 12/15/14 | 8.875 | 121,625 | |
| 1,425 | Freescale | ||||
| Semiconductor, Inc., Senior Subordinated Notes§ | (B-, | ||||
| B3) | 12/15/16 | 10.125 | 919,125 | ||
| 175 | Jabil Circuit, Inc., Global Senior Unsecured | ||||
| Notes | (BB+, Ba1) | 03/15/18 | 8.250 | 164,500 | |
| 675 | Sanmina-SCI | ||||
| Corp., Global Company Guaranteed Notes (Callable 03/01/09 @ $103.38) | (B-, | ||||
| B3) | 03/01/13 | 6.750 | 594,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\kkasi\08-24651-4\task3203920\24651-4-bi-01.htm',USER='105438',CD='Nov 5 07:10 2008'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Electronics | |||||
| $ 150 | Sanmina-SCI Corp., Senior Subordinated Notes | ||||
| (Callable 03/01/11 @ $104.06) | (B-, B3) | 03/01/16 | 8.125 | $ 128,250 | |
| 775 | Viasystems, Inc., Global Senior Unsecured | ||||
| Notes (Callable 10/14/08 @ $105.25) | (B+, Caa1) | 01/15/11 | 10.500 | 759,500 | |
| 3,647,975 | |||||
| Energy - Exploration & | |||||
| Production (3.8%) | |||||
| 650 | Chaparral Energy, Inc., Global Company | ||||
| Guaranteed Notes (Callable 02/01/12 @ $104.44) | (B-, Caa1) | 02/01/17 | 8.875 | 516,750 | |
| 100 | Chesapeake Energy Corp., Company Guaranteed Notes | (BB, Ba3) | 07/15/13 | 7.625 | 96,000 |
| 325 | Chesapeake Energy Corp., Company Guaranteed Notes§ | (BB, Ba3) | 12/15/18 | 7.250 | 300,625 |
| 975 | Chesapeake Energy Corp., Global Company Guaranteed | ||||
| Notes (Callable 01/15/09 @ $103.44) | (BB, Ba3) | 01/15/16 | 6.875 | 894,562 | |
| 650 | Encore Acquisition Co., Company Guaranteed Notes | ||||
| (Callable 12/01/10 @ $103.63) | (B, B1) | 12/01/17 | 7.250 | 536,250 | |
| 300 | Forest Oil Corp., Rule 144A, Company | ||||
| Guaranteed Notes (Callable 06/15/12 @ $103.63) | (B+, B1) | 06/15/19 | 7.250 | 258,000 | |
| 600 | Hilcorp Energy I, Rule 144A, Senior Unsecured | ||||
| Notes (Callable 06/01/11 @ $104.50) | (BB-, B3) | 06/01/16 | 9.000 | 549,000 | |
| 550 | Mariner Energy, Inc., Company Guaranteed Notes | ||||
| (Callable 05/15/12 @ $104.00) | (B+, B3) | 05/15/17 | 8.000 | 467,500 | |
| 900 | Petrohawk Energy Corp., Global Company Guaranteed | ||||
| Notes (Callable 07/15/10 @ $104.56) | (B, B3) | 07/15/13 | 9.125 | 850,500 | |
| 925 | Plains Exploration & Production, Co., | ||||
| Company Guaranteed Notes (Callable 06/15/11 @ $103.88) | (BB, B1) | 06/15/15 | 7.750 | 855,625 | |
| 600 | Range Resources Corp., Company Guaranteed Notes | ||||
| (Callable 10/01/12 @ $103.75) | (BB, Ba3) | 10/01/17 | 7.500 | 570,000 | |
| 525 | Swift Energy Co., Company Guaranteed Notes | ||||
| (Callable 06/01/12 @ $103.56) | (BB-, B1) | 06/01/17 | 7.125 | 448,875 | |
| 6,343,687 | |||||
| Environmental (1.1%) | |||||
| 975 | Allied Waste North America, Inc., Global | ||||
| Senior Secured Notes (Callable 03/15/10 @ $103.63) | (BB, B1) | 03/15/15 | 7.250 | 938,438 | |
| 1,000 | Waste Services, Inc., Global Senior | ||||
| Subordinated Notes (Callable 04/15/09 @ $104.75) | (B-, Caa1) | 04/15/14 | 9.500 | 985,000 | |
| 1,923,438 | |||||
| Food & Drug Retailers (1.0%) | |||||
| 1,200 | Duane Reade, Inc., Global Company Guaranteed | ||||
| Notes (Callable 10/14/08 @ $104.88)§ | (CCC-, Caa3) | 08/01/11 | 9.750 | 1,014,000 | |
| 50 | Stater Brothers Holdings, Inc., Global Company | ||||
| Guaranteed Notes (Callable 04/15/11 @ $103.88) | (B+, B2) | 04/15/15 | 7.750 | 47,000 | |
| 600 | Stater Brothers Holdings, Inc., Global Company | ||||
| Guaranteed Notes (Callable 10/14/08 @ $104.06) | (B+, B2) | 06/15/12 | 8.125 | 591,000 | |
| 1,652,000 | |||||
| Food - Wholesale (0.7%) | |||||
| 500 | Dole Food Co., Inc., Global Company Guaranteed | ||||
| Notes | (B-, Caa1) | 05/01/09 | 8.625 | 480,000 | |
| 75 | Dole Food Co., Inc., Global Company Guaranteed | ||||
| Notes (Callable 11/10/08 @ $102.22) | (B-, Caa1) | 03/15/11 | 8.875 | 63,375 | |
| 900 | Smithfield Foods, Inc., Senior Unsecured Notes | (BB-, Ba3) | 07/01/17 | 7.750 | 711,000 |
| 1,254,375 | |||||
| Forestry & Paper (3.1%) | |||||
| 313 | Boise Cascade LLC, Global Company Guaranteed Notes | ||||
| (Callable 10/15/09 @ $103.56) | (BB-, B2) | 10/15/14 | 7.125 | 215,970 | |
| 1,075 | Cellu Tissue Holdings, Inc., Global Secured | ||||
| Notes (Callable 10/14/08 @ $103.66) | (B, B2) | 03/15/10 | 9.750 | 999,750 | |
| 600 | Georgia-Pacific Corp., Debentures | (B+, B2) | 06/15/15 | 7.700 | 552,000 |
| 200 | Georgia-Pacific Corp., Rule 144A, Company | ||||
| Guaranteed Notes (Callable 01/15/12 @ $103.56)§ | (BB-, Ba3) | 01/15/17 | 7.125 | 179,500 | |
| 525 | Graphic Packaging International Corp., Global | ||||
| Senior Subordinated Notes (Callable 10/14/08 @ $104.75) | (B-, B3) | 08/15/13 | 9.500 | 477,750 | |
| 375 | Newark Group, Inc., Global Senior Subordinated | ||||
| Notes (Callable 03/15/09 @ $104.88) | (CCC+, Caa1) | 03/15/14 | 9.750 | 133,125 |
SEQ.=1,FOLIO='',FILE='C:\JMS\kkasi\08-24651-4\task3203920\24651-4-bi-01.htm',USER='105438',CD='Nov 5 07:10 2008'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Forestry & Paper | |||||
| $ 350 | NewPage Corp., Global Company Guaranteed Notes | ||||
| (Callable 05/01/09 @ $106.00) | (B-, B2) | 05/01/12 | 10.000 | $ 315,000 | |
| 450 | NewPage Corp., Global Company Guaranteed Notes | ||||
| (Callable 05/01/09 @ $106.00)§ | (CCC+, B3) | 05/01/13 | 12.000 | 396,000 | |
| 1,525 | Smurfit-Stone Container, Global Senior Unsecured | ||||
| Notes (Callable 10/06/08 @ $102.79) | (B-, B3) | 07/01/12 | 8.375 | 1,288,625 | |
| 675 | Verso Paper Holdings LLC, Series B, Global | ||||
| Company Guaranteed Notes (Callable 08/01/11 @ $105.69) | (CCC+, B3) | 08/01/16 | 11.375 | 550,125 | |
| 75 | Verso Paper Holdings LLC, Series B, Global | ||||
| Senior Secured Notes (Callable 08/01/10 @ $104.56) | (B+, B2) | 08/01/14 | 9.125 | 64,875 | |
| 5,172,720 | |||||
| Gaming (4.1%) | |||||
| 775 | Buffalo Thunder Development Authority, | ||||
| Rule 144A, Secured Notes (Callable 12/15/10 @ $104.69) | (B, B2) | 12/15/14 | 9.375 | 329,375 | |
| 125 | Caesars Entertainment, Inc., Global Company | ||||
| Guaranteed Notes§ | (B-, Caa2) | 03/15/10 | 7.875 | 97,813 | |
| 1,325 | Caesars Entertainment, Inc., Global Company | ||||
| Guaranteed Notes§ | (B-, Caa2) | 05/15/11 | 8.125 | 788,375 | |
| 775 | CCM Merger, Inc., Rule 144A, Notes | ||||
| (Callable 08/01/09 @ $104.00) | (B-, Caa1) | 08/01/13 | 8.000 | 633,562 | |
| 145 | Choctaw Resort Development Enterprise, | ||||
| Rule 144A, Senior Notes (Callable 11/15/11 @ $103.63) | (BB-, Ba3) | 11/15/19 | 7.250 | 109,475 | |
| 375 | FireKeepers Development Authority, Rule 144A, | ||||
| Senior Secured Notes (Callable 05/01/12 @ $110.50)§ | (B, B3) | 05/01/15 | 13.875 | 331,875 | |
| 375 | Fontainebleau Las Vegas Capital Corp., | ||||
| Rule 144A, Second Mortgage Notes (Callable 06/15/11 @ $105.13) | (CCC, Caa1) | 06/15/15 | 10.250 | 106,875 | |
| 125 | Herbst Gaming, Inc., Global Company Guaranteed | ||||
| Notes (Callable 10/14/08 @ $104.06)ø | (D, C) | 06/01/12 | 8.125 | 6,875 | |
| 475 | Inn of the Mountain Gods Resort & Casino, | ||||
| Global Senior Secured Notes (Callable 10/14/08 @ $106.00) | (B, B3) | 11/15/10 | 12.000 | 325,375 | |
| 825 | Jacobs Entertainment, Inc., Global Company | ||||
| Guaranteed Notes (Callable 06/15/10 @ $104.88) | (B, B3) | 06/15/14 | 9.750 | 556,875 | |
| 625 | Majestic Star Casino LLC, Senior Secured Notes | ||||
| (Callable 10/14/08 @ $104.75) | (B-, Caa1) | 10/15/10 | 9.500 | 284,375 | |
| 850 | Mashantucket Pequot Tribe, Rule 144A, Bonds | ||||
| (Callable 11/15/11 @ $104.25) | (BB+, Ba2) | 11/15/15 | 8.500 | 556,750 | |
| 925 | MGM Mirage, Inc., Company Guaranteed Notes | (BB, Ba2) | 04/01/16 | 6.875 | 677,562 |
| 725 | MGM Mirage, Inc., Company Guaranteed Notes§ | (BB, Ba2) | 06/01/16 | 7.500 | 532,875 |
| 900 | MGM Mirage, Inc., Company Guaranteed Notes | (BB, Ba2) | 01/15/17 | 7.625 | 652,500 |
| 125 | MGM Mirage, Inc., Global Company Guaranteed | ||||
| Notes | (BB, Ba2) | 04/01/13 | 6.750 | 98,125 | |
| 350 | Peermont Global Proprietary Ltd., Rule 144A, | ||||
| Senior Secured Notes (Callable 04/30/10 @ $105.81) | (B, B3) | 04/30/14 | 7.750 | 315,871 | |
| 435 | Tropicana Finance Corp., Global Senior Subordinated | ||||
| Notes (Callable 12/15/10 @ $104.8 1)ø§ | (NR, NR) | 12/15/14 | 9.625 | 63,075 | |
| 130 | Trump Entertainment Resorts, Inc., Senior | ||||
| Secured Notes (Callable 06/01/10 @ $104.25)§ | (CCC+, Caa1) | 06/01/15 | 8.500 | 53,950 | |
| 475 | Turning Stone Resort Casino Enterprise, | ||||
| Rule 144A, Senior Notes (Callable 09/15/10 @ $104.56) | (B+, B1) | 09/15/14 | 9.125 | 434,625 | |
| 6,956,183 | |||||
| Gas Distribution (2.5%) | |||||
| 600 | AmeriGas Partners LP, Global Senior Unsecured Notes | ||||
| (Callable 05/20/10 @ $103.63) | (NR, Ba3) | 05/20/15 | 7.250 | 549,000 | |
| 525 | El Paso Corp., Senior Unsecured Notes | (BB-, Ba3) | 06/01/18 | 7.250 | 490,875 |
| 1,150 | El Paso Performance-Linked Trust, Rule 144A, | ||||
| Senior Unsecured Notes | (BB, Ba3) | 07/15/11 | 7.750 | 1,170,277 | |
| 525 | Inergy Finance Corp., Global Company Guaranteed | ||||
| Notes (Callable 03/01/11 @ $104.13) | (B+, B1) | 03/01/16 | 8.250 | 485,625 | |
| 200 | Inergy Finance Corp., Global Senior Unsecured Notes | ||||
| (Callable 12/15/09 @ $103.44) | (B+, B1) | 12/15/14 | 6.875 | 176,000 | |
| 350 | MarkWest Energy Finance Corp., Series B, | ||||
| Global Senior Notes (Callable 04/15/13 @ $104.38) | (B+, B2) | 04/15/18 | 8.750 | 334,250 | |
| 650 | Targa Resources Partners LP, Rule 144A, Senior | ||||
| Notes (Callable 07/01/12 @ $104.13) | (B, B2) | 07/01/16 | 8.250 | 562,250 | |
| 450 | Williams Partners LP, Global Senior Unsecured Notes | (BBB-, Ba2) | 02/01/17 | 7.250 | 419,134 |
| 4,187,411 |
SEQ.=1,FOLIO='',FILE='C:\JMS\kkasi\08-24651-4\task3203920\24651-4-bi-01.htm',USER='105438',CD='Nov 5 07:10 2008'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Health Services (7.1%) | |||||
| $ 875 | Bausch & Lomb, Inc., Rule 144A, | ||||
| Senior Unsecured Notes (Callable 11/01/11 @ $104.94) | (B, Caa1) | 11/01/15 | 9.875 | $ 833,437 | |
| 350 | Biomet, Inc., Global Company Guaranteed Notes | ||||
| (Callable 10/15/12 @ $105.00) | (B-, B3) | 10/15/17 | 10.000 | 358,750 | |
| 350 | Biomet, Inc., Global Company Guaranteed Notes | ||||
| (Callable 10/15/12 @ $105.81)§ | (B-, Caa1) | 10/15/17 | 11.625 | 353,500 | |
| 1,225 | Community Health Systems, Inc., Global Company | ||||
| Guaranteed Notes (Callable 07/15/11 @ $104.44) | (B, B3) | 07/15/15 | 8.875 | 1,169,875 | |
| 1,225 | HCA, Inc., Global Secured Notes (Callable | ||||
| 11/15/11 @ $104.63) | (BB-, B2) | 11/15/16 | 9.250 | 1,194,375 | |
| 700 | HCA, Inc., Global Senior Unsecured Notes | (B-, Caa1) | 01/15/15 | 6.375 | 554,750 |
| 1,600 | HCA, Inc., Global Senior Unsecured Notes | (B-, Caa1) | 02/15/16 | 6.500 | 1,276,000 |
| 475 | HCA, Inc., Senior Unsecured Notes | (B-, Caa1) | 10/01/12 | 6.300 | 412,062 |
| 400 | HCA, Inc., Senior Unsecured Notes | (B-, Caa1) | 02/15/13 | 6.250 | 336,000 |
| 375 | HCA, Inc., Senior Unsecured Notes | (B-, Caa1) | 07/15/13 | 6.750 | 316,875 |
| 800 | Healthsouth Corp., Global Company Guaranteed Notes | ||||
| (Callable 06/15/11 @ $105.38) | (CCC+, Caa1) | 06/15/16 | 10.750 | 812,000 | |
| 400 | OMEGA Healthcare Investors, Inc., Global | ||||
| Company Guaranteed Notes (Callable 01/15/11 @ $103.50) | (BB+, Ba3) | 01/15/16 | 7.000 | 362,000 | |
| 250 | Service Corporation International, Global Senior | ||||
| Notes | (BB-, B1) | 06/15/17 | 7.000 | 215,000 | |
| 550 | Stewart Enterprises, Inc., Global Company | ||||
| Guaranteed Notes (Callable 02/15/09 @ $103.13) | (BB-, Ba3) | 02/15/13 | 6.250 | 508,750 | |
| 1,500 | Tenet Healthcare Corp., Global Senior Unsecured | ||||
| Notes | (B, Caa1) | 07/01/14 | 9.875 | 1,470,000 | |
| 500 | Tenet Healthcare Corp., Global Senior Unsecured | ||||
| Notes | (B, Caa1) | 02/01/15 | 9.250 | 475,000 | |
| 275 | Universal Hospital Services, Inc., Global | ||||
| Senior Secured Notes (Callable 06/01/09 @ $102.00)# | (B+, B3) | 06/01/15 | 6.303 | 243,375 | |
| 225 | Universal Hospital Services, Inc., Global | ||||
| Senior Secured Notes (Callable 06/01/11 @ $104.25) | (B+, B3) | 06/01/15 | 8.500 | 210,938 | |
| 950 | Vanguard Health Holding Co., Global Senior | ||||
| Subordinated Notes (Callable 10/01/09 @ $104.50) | (CCC+, Caa1) | 10/01/14 | 9.000 | 921,500 | |
| 12,024,187 | |||||
| Hotels (0.5%) | |||||
| 250 | Host Hotels & Resorts LP, Global Secured | ||||
| Notes (Callable 11/01/10 @ $103.44)§ | (BB, Ba1) | 11/01/14 | 6.875 | 217,500 | |
| 750 | Host Marriott LP, Series Q, Global Company | ||||
| Guaranteed Notes (Callable 06/01/11 @ $103.33) | (BB, Ba1) | 06/01/16 | 6.750 | 616,875 | |
| 834,375 | |||||
| Household & Leisure | |||||
| Products (0.6%) | |||||
| 650 | ALH Finance LLC/ALH Finance Corp., Global Senior | ||||
| Subordinated Notes (Callable 01/15/09 @ 104.25)§ | (CCC+, B3) | 01/15/13 | 8.500 | 609,375 | |
| 400 | Ames True Temper, Inc., Global Company | ||||
| Guaranteed Notes (Callable 11/17/08 @ $101.50)# | (CCC+, Caa1) | 01/15/12 | 6.791 | 302,000 | |
| 325 | Ames True Temper, Inc., Global Senior | ||||
| Subordinated Notes (Callable 11/28/08 @ $105.00)§ | (CCC-, Caa3) | 07/15/12 | 10.000 | 173,875 | |
| 1,085,250 | |||||
| lnvestments & Misc. | |||||
| Financial Services (0.2%) | |||||
| 425 | Nuveen Investments, Inc., Rule 144A, | ||||
| Senior Notes (Callable 11/15/11 @ $105.25) | (B-, B3) | 11/15/15 | 10.500 | 329,375 | |
| Leisure (0.5%) | |||||
| 472 | Six Flags Operations, Inc., Rule 144A, | ||||
| Company Guaranteed Notes (Callable 07/15/13 @ $106.12) | (CCC, Caa2) | 07/15/16 | 12.250 | 434,240 | |
| 600 | Six Flags, Inc., Global Senior Unsecured Notes | ||||
| (Callable 06/01/09 @ $104.81) | (CCC-, Caa3) | 06/01/14 | 9.625 | 339,000 | |
| 773,240 | |||||
| Machinery (0.5%) | |||||
| 700 | Baldor Electric Co., Company Guaranteed Notes | ||||
| (Callable 02/15/12 @ $104.31) | (B, B3) | 02/15/17 | 8.625 | 672,000 | |
| 250 | Terex Corp., Senior Subordinated Notes (Callable | ||||
| 11/15/12 @ $104.00)§ | (B+, Ba3) | 11/15/17 | 8.000 | 228,750 | |
| 900,750 |
SEQ.=1,FOLIO='',FILE='C:\JMS\kkasi\08-24651-4\task3203920\24651-4-bi-01.htm',USER='105438',CD='Nov 5 07:10 2008'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Media - Broadcast (1.5%) | |||||
| $ 475 | Allbritton Communications Co., Global Senior | ||||
| Subordinated Notes (Callable 11/06/08 @ $103.88) | (B+, B2) | 12/15/12 | 7.750 | $ 408,500 | |
| 975 | Barrington Broadcasting Capital Corp., Global | ||||
| Company Guaranteed Notes (Callable 08/15/10 @ $105.25) | (CCC, Caa1) | 08/15/14 | 10.500 | 628,875 | |
| 775 | Clear Channel Communications, Inc., Senior | ||||
| Unsecured Notes | (CCC+, Caa1) | 09/15/14 | 5.500 | 244,125 | |
| 575 | CMP Susquehanna Corp., Global Company Guaranteed | ||||
| Notes (Callable 05/15/10 @ $104.94) | (CCC, Caa1) | 05/15/14 | 9.875 | 324,875 | |
| 375 | Fisher Communications, Inc., Global Company | ||||
| Guaranteed Notes (Callable 09/15/09 @ $104.31) | (B, B2) | 09/15/14 | 8.625 | 378,750 | |
| 400 | Local TV Finance LLC, Rule 144A, Senior | ||||
| Unsecured Notes (Callable 06/15/11 @ $104.63) | (CCC+, Caa1) | 06/15/15 | 9.250 | 262,000 | |
| 485 | Univision Communications, Inc., | ||||
| Rule 144A, Senior Notes (Callable 03/15/11 @ $104.88) | (CCC, Caa1) | 03/15/15 | 9.750 | 227,950 | |
| 925 | Young Broadcasting, Inc., Global Senior | ||||
| Subordinated Notes (Callable 01/15/09 @ $104.38) | (CC, Ca) | 01/15/14 | 8.750 | 138,750 | |
| 2,613,825 | |||||
| Media - Cable (4.8%) | |||||
| 1,165 | Atlantic Broadband Finance LLC, Global Company | ||||
| Guaranteed Notes (Callable 01/15/09 @ $104.69) | (CCC+, Caa1) | 01/15/14 | 9.375 | 1,036,850 | |
| 1,250 | CCH I LLC, Global Secured Notes (Callable 10/01/10 | ||||
| @ $105.50)§ | (CCC, Caa3) | 10/01/15 | 11.000 | 831,250 | |
| 1,275 | CCH II LLC, Series B, Global Company | ||||
| Guaranteed Notes (Callable 10/14/08 @ $105.13) | (CCC, Caa2) | 09/15/10 | 10.250 | 1,147,500 | |
| 495 | Charter Communications Holdings LLC, Senior | ||||
| Unsecured Notes (Callable 10/06/08 @ $100.00)§ | (CCC, Ca) | 04/01/11 | 9.920 | 294,525 | |
| 325 | Charter Communications Operating LLC, | ||||
| Rule 144A, Senior Secured Notes | (B-, B3) | 04/30/12 | 8.000 | 292,500 | |
| 825 | CSC Holdings, Inc., Global Senior Unsecured | ||||
| Notes§ | (BB, B1) | 04/15/12 | 6.750 | 760,031 | |
| 250 | CSC Holdings, Inc., Rule 144A, Senior | ||||
| Unsecured Notes (Callable 06/15/12 @ $104.25) | (BB, B1) | 06/15/15 | 8.500 | 233,438 | |
| 430 | CSC Holdings, Inc., Series B, Senior | ||||
| Unsecured Notes | (BB, B1) | 04/01/11 | 7.625 | 414,950 | |
| 650 | DirecTV Holdings LLC/DirecTV Financing Co., Global | ||||
| Company Guaranteed Notes (Callable 11/10/08 @ $104.19) | (BB, Ba3) | 03/15/13 | 8.375 | 645,125 | |
| 350 | DirecTV Holdings LLC/DirecTV Financing Co., | ||||
| Rule 144A, Company Guaranteed Notes (Callable 05/15/12 $103.81) | (BB, Ba3) | 05/15/16 | 7.625 | 318,500 | |
| 125 | EchoStar DBS Corp., Global Company Guaranteed Notes | (BB-, Ba3) | 10/01/13 | 7.000 | 108,438 |
| 750 | EchoStar DBS Corp., Global Company Guaranteed Notes | (BB-, Ba3) | 10/01/14 | 6.625 | 603,750 |
| 625 | EchoStar DBS Corp., Global Company Guaranteed Notes | (BB-, Ba3) | 05/31/15 | 7.750 | 532,812 |
| 475 | Mediacom Broadband Corp., Global Senior Unsecured | ||||
| Notes (Callable 10/15/10 @ $104.25) | (B-, B3) | 10/15/15 | 8.500 | 394,250 | |
| 525 | Mediacom Capital Corp., Global Senior Unsecured Notes | ||||
| (Callable 10/14/08 @ $100.00) | (B-, B3) | 02/15/11 | 7.875 | 477,750 | |
| 25 | Mediacom Capital Corp., Global Senior Unsecured | ||||
| Notes (Callable 01/15/09 @ $100.00) | (B-, B3) | 01/15/13 | 9.500 | 22,500 | |
| 8,114,169 | |||||
| Media - Services (0.5%) | |||||
| 250 | Lamar Media Corp., Series C Global Company | ||||
| Guaranteed Notes (Callable 08/15/10 @ $103.31) | (BB-, Ba3) | 08/15/15 | 6.625 | 208,125 | |
| 750 | WMG Acquisition Corp., Global Senior Subordinated | ||||
| Notes (Callable 04/15/09 @ $103.69)§ | (B, B3) | 04/15/14 | 7.375 | 560,625 | |
| 768,750 | |||||
| Medical Products & | |||||
| Supplies (0.4%) | |||||
| 700 | VWR Funding, Inc., Series B, Global | ||||
| Company Guaranteed Notes (Callable 07/15/11 @ $105.13) | (B-, Caa1) | 07/15/15 | 10.250 | 616,000 | |
| Metals & Mining - | |||||
| Excluding Steel (1.5%) | |||||
| 175 | Aleris International, Inc., Global Company | ||||
| Guaranteed Notes (Callable 12/15/10 @ $104.50) | (B-, B3) | 12/15/14 | 9.000 | 107,625 | |
| 675 | Aleris International, Inc., Global Company | ||||
| Guaranteed Notes (Callable 12/15/11 @ $105.00) | (B-, Caa1) | 12/15/16 | 10.000 | 421,875 | |
| 600 | Freeport-McMoRan Copper & Gold, Inc., | ||||
| Senior Unsecured Notes (Callable 04/01/11 @ $104.13) | (BBB-, Ba2) | 04/01/15 | 8.250 | 590,227 | |
| 625 | Freeport-McMoRan Copper & Gold, Inc., | ||||
| Senior Unsecured Notes (Callable 04/01/12 @ $104.19)§ | (BBB-, Ba2) | 04/01/17 | 8.375 | 616,545 |
SEQ.=1,FOLIO='',FILE='C:\JMS\kkasi\08-24651-4\task3203920\24651-4-bi-01.htm',USER='105438',CD='Nov 5 07:10 2008'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE | |||||
| BONDS | |||||
| Metals & | |||||
| Mining - Excluding Steel | |||||
| $ 1,050 | Noranda | ||||
| Aluminium Acquisition Corp., Global Company Guaranteed Notes (Callable | |||||
| 10/06/08 @ $102.00)# | (B-, | ||||
| B3) | 05/15/15 | 6.828 | $ 803,250 | ||
| 2,539,522 | |||||
| Non-Food & Drug Retailers (2.4%) | |||||
| 250 | Affinity | ||||
| Group, Inc., Global Company Guaranteed Notes (Callable 10/06/08 @ | |||||
| $104.50) | (CCC, | ||||
| Caa1) | 02/15/12 | 9.000 | 186,250 | ||
| 525 | Asbury | ||||
| Automotive Group, Inc., Global Company Guaranteed Notes (Callable | |||||
| 03/15/12 @ $103.81) | (B, | ||||
| B3) | 03/15/17 | 7.625 | 338,625 | ||
| 825 | Brookstone | ||||
| Company, Inc., Global Secured Notes (Callable 10/15/09 @ $106.00)§ | (B, | ||||
| Caa1) | 10/15/12 | 12.000 | 672,375 | ||
| 300 | Michaels | ||||
| Stores, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ | |||||
| $105.00)§ | (CCC, | ||||
| Caa1) | 11/01/14 | 10.000 | 190,500 | ||
| 500 | Michaels | ||||
| Stores, Inc., Global Company Guaranteed Notes (Callable 11/01/11 @ | |||||
| $105.69)§ | (CCC, | ||||
| Caa2) | 11/01/16 | 11.375 | 238,750 | ||
| 1,000 | Neiman | ||||
| Marcus Group, Inc., Global Company Guaranteed Notes (Callable 10/15/10 @ | |||||
| $105.19)§ | (B, | ||||
| B3) | 10/15/15 | 10.375 | 842,500 | ||
| 650 | PCA | ||||
| LLC/PCA Finance Corp., Global Company Guaranteed Notesø | (D, | ||||
| NR) | 08/01/09 | 11.875 | 26,000 | ||
| 400 | SGS | ||||
| International, Inc., Rule 144A, Global Senior Subordinated Notes | |||||
| (Callable 12/15/09 @ $106.00) | (B-, | ||||
| B3) | 12/15/13 | 12.000 | 326,000 | ||
| 755 | Susser | ||||
| Holdings LLC, Global Company Guaranteed Notes (Callable 12/15/09 @ $105.31) | (B+, | ||||
| B3) | 12/15/13 | 10.625 | 745,563 | ||
| 50 | Yankee | ||||
| Acquisition Corp., Series B, Global Company Guaranteed Notes (Callable | |||||
| 02/15/11 @ $104.25) | (B-, | ||||
| B3) | 02/15/15 | 8.500 | 36,500 | ||
| 750 | Yankee | ||||
| Acquisition Corp., Series B, Global Company Guaranteed Notes (Callable | |||||
| 02/15/12 @ $104.88)§ | (CCC+, | ||||
| Caa1) | 02/15/17 | 9.750 | 431,250 | ||
| 4,034,313 | |||||
| Office Equipment (0.3%) | |||||
| 495 | IKON | ||||
| Office Solutions, Inc., Global Senior Unsecured Notes (Callable 09/15/10 | |||||
| @ $103.88) | (BB-, | ||||
| Ba3) | 09/15/15 | 7.750 | 519,750 | ||
| Oil Field Equipment & Services (0.4%) | |||||
| 525 | Bristow | ||||
| Group, Inc., Global Company Guaranteed Notes (Callable 09/15/12 @ | |||||
| $103.75) | (BB, | ||||
| Ba2) | 09/15/17 | 7.500 | 469,875 | ||
| 300 | Key | ||||
| Energy Services, Inc., Global Company Guaranteed Notes (Callable | |||||
| 12/01/11 @ $104.19) | (BB-, | ||||
| B1) | 12/01/14 | 8.375 | 289,500 | ||
| 759,375 | |||||
| Oil Refining & Marketing (0.2%) | |||||
| 400 | Frontier | ||||
| Oil Corp., Company Guaranteed Notes (Callable 09/15/12 @ $104.25) | (BB, | ||||
| Ba3) | 09/15/16 | 8.500 | 387,000 | ||
| Packaging (2.0%) | |||||
| 750 | Berry | ||||
| Petroleum Co., Senior Subordinated Notes (Callable 11/01/11 @ $104.13) | (B+, | ||||
| B3) | 11/01/16 | 8.250 | 637,500 | ||
| 575 | Berry | ||||
| Plastics Holding Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ | |||||
| $105.13)§ | (CCC, | ||||
| Caa2) | 03/01/16 | 10.250 | 382,375 | ||
| 565 | Berry | ||||
| Plastics Holding Corp., Global Senior Secured Notes (Callable 09/15/10 @ | |||||
| $104.44) | (CCC+, | ||||
| Caa1) | 09/15/14 | 8.875 | 443,525 | ||
| 500 | Constar | ||||
| International, Inc., Company Guaranteed Notes (Callable 10/14/08 @ | |||||
| $105.50) | (CCC, | ||||
| Caa2) | 12/01/12 | 11.000 | 102,500 | ||
| 225 | Crown | ||||
| Cork & Seal Co., Inc., Debentures (Callable 10/14/08 @ $101.91) | (B, | ||||
| B2) | 04/15/23 | 8.000 | 190,125 | ||
| 25 | Graham | ||||
| Packaging Company, Inc., Global Company Guaranteed Notes (Callable | |||||
| 10/15/08 @ $104.25) | (CCC+, | ||||
| Caa1) | 10/15/12 | 8.500 | 23,250 | ||
| 825 | Graham | ||||
| Packaging Company, Inc., Global Subordinated Notes (Callable 10/15/09 @ | |||||
| $104.94) | (CCC+, | ||||
| Caa1) | 10/15/14 | 9.875 | 721,875 | ||
| 503 | Pliant | ||||
| Corp., Global Senior Secured Notes (Callable 11/10/08 @ $105.81) | (B-, | ||||
| NR) | 06/15/09 | 11.850 | 435,219 | ||
| 650 | Solo | ||||
| Cup Co., Global Company Guaranteed Notes (Callable 02/15/09 @ $104.25) | (CCC, | ||||
| Caa2) | 02/15/14 | 8.500 | 523,250 | ||
| 3,459,619 | |||||
| Printing & Publishing (2.0%) | |||||
| 500 | Cenveo | ||||
| Corp., Global Senior Subordinated Notes (Callable 12/01/08 @ $103.94) | (B, | ||||
| B3) | 12/01/13 | 7.875 | 387,500 |
SEQ.=1,FOLIO='',FILE='C:\JMS\kkasi\08-24651-4\task3203920\24651-4-bi-03.htm',USER='105438',CD='Nov 5 07:12 2008'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE | |||||
| BONDS | |||||
| Printing & | |||||
| Publishing | |||||
| $ 1,125 | Idearc, Inc., | ||||
| Global Company Guaranteed Notes (Callable 11/15/11 @ $104.00) | (B-, | ||||
| B3) | 11/15/16 | 8.000 | $ 312,188 | ||
| 2,000 | Premier | ||||
| Graphics, Inc., Company Guaranteed Notes ^ø | (NR, | ||||
| NR) | 12/01/05 | 11.500 | 0 | ||
| 1,975 | R.H. | ||||
| Donnelley Corp., Global Senior Unsecured Notes (Callable 01/15/09 @ $103.44) | (B-, | ||||
| B3) | 01/15/13 | 6.875 | 780,125 | ||
| 250 | R.H. | ||||
| Donnelley Corp., Series A-2, Global Senior Discount Notes (Callable | |||||
| 01/15/09 @ $103.44)§ | (B-, | ||||
| B3) | 01/15/13 | 6.875 | 98,750 | ||
| 1,215 | The | ||||
| Readers Digest Association, Inc., Global Company Guaranteed Notes | |||||
| (Callable 02/15/12 @ $104.50) | (CCC, | ||||
| Caa1) | 02/15/17 | 9.000 | 692,550 | ||
| 925 | TL | ||||
| Acquisitions, Inc., Rule 144A, Senior Notes (Callable 07/15/11 @ | |||||
| $105.25) | (CCC+, | ||||
| Caa1) | 01/15/15 | 10.500 | 735,375 | ||
| 525 | Valassis | ||||
| Communications, Inc., Global Company Guaranteed Notes (Callable 03/01/11 | |||||
| @ $104.13) | (B-, | ||||
| B3) | 03/01/15 | 8.250 | 364,875 | ||
| 3,371,363 | |||||
| Railroads (0.3%) | |||||
| 500 | Kansas | ||||
| City Southern Railway, Company Guaranteed Notes (Callable 06/01/12 @ $104.00) | (BB-, | ||||
| B2) | 06/01/15 | 8.000 | 495,000 | ||
| Restaurants (0.3%) | |||||
| 475 | Dennys | ||||
| Holdings, Inc., Global Company Guaranteed Notes (Callable 10/01/08 @ | |||||
| $105.00)§ | (B, | ||||
| B3) | 10/01/12 | 10.000 | 434,625 | ||
| Software/Services (1.4%) | |||||
| 975 | First | ||||
| Data Corp., Rule 144A, Company Guaranteed Notes (Callable 09/30/11 @ $104.94) | (B, | ||||
| B3) | 09/24/15 | 9.875 | 766,594 | ||
| 1,075 | SunGard | ||||
| Data Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/10 @ | |||||
| $105.13)§ | (B-, | ||||
| Caa1) | 08/15/15 | 10.250 | 937,937 | ||
| 700 | Unisys | ||||
| Corp., Senior Unsecured Notes (Callable 01/15/12 @ $106.25) | (B+, | ||||
| B2) | 01/15/16 | 12.500 | 705,250 | ||
| 2,409,781 | |||||
| SteelProducers/Products (1.5%) | |||||
| 575 | AK | ||||
| Steel Corp., Global Company Guaranteed Notes (Callable 11/10/08 @ $102.58) | (BB-, | ||||
| Ba3) | 06/15/12 | 7.750 | 554,875 | ||
| 800 | Rathgibson, Inc., | ||||
| Global Company Guaranteed Notes (Callable 02/15/10 @ $105.62) | (B, | ||||
| B3) | 02/15/14 | 11.250 | 732,000 | ||
| 800 | Ryerson, Inc., | ||||
| Rule 144A, Senior Secured Notes (Callable 11/01/11 @ $106.00) | (B+, | ||||
| B2) | 11/01/15 | 12.000 | 684,000 | ||
| 550 | Steel | ||||
| Dynamics, Inc., Rule 144A, Senior Notes (Callable 04/15/12 @ | |||||
| $103.88) | (BB+, | ||||
| Ba2) | 04/15/16 | 7.750 | 492,250 | ||
| 2,463,125 | |||||
| Support-Services (4.0%) | |||||
| 200 | ARAMARK | ||||
| Corp., Global Company Guaranteed Notes (Callable 02/01/09 @ $102.00)# | (B, | ||||
| B3) | 02/01/15 | 6.301 | 176,000 | ||
| 450 | ARAMARK | ||||
| Corp., Global Senior Unsecured Notes (Callable 02/01/11 @ $104.25) | (B, | ||||
| B3) | 02/01/15 | 8.500 | 425,250 | ||
| 100 | Education | ||||
| Management LLC, Global Company Guaranteed Notes (Callable 06/01/10 @ $104.38) | (CCC+, | ||||
| B2) | 06/01/14 | 8.750 | 84,000 | ||
| 675 | Education | ||||
| Management LLC, Global Company Guaranteed Notes (Callable 06/01/11 @ $105.13) | (CCC+, | ||||
| Caa1) | 06/01/16 | 10.250 | 543,375 | ||
| 425 | Hertz | ||||
| Corp., Global Company Guaranteed Notes (Callable 01/01/10 @ $104.44)§ | (BB-, | ||||
| B1) | 01/01/14 | 8.875 | 368,688 | ||
| 400 | Hertz | ||||
| Corp., Global Company Guaranteed Notes (Callable 01/01/11 @ $105.25)§ | (B, | ||||
| B2) | 01/01/16 | 10.500 | 336,000 | ||
| 275 | Iron | ||||
| Mountain, Inc., Company Guaranteed Notes (Callable 06/15/13 @104.00) | (B+, | ||||
| B2) | 06/15/20 | 8.000 | 265,375 | ||
| 250 | Iron | ||||
| Mountain, Inc., Company Guaranteed Notes (Callable 10/21/08 @ $103.31)§ | (B+, | ||||
| B2) | 01/01/16 | 6.625 | 236,250 | ||
| 350 | Iron | ||||
| Mountain, Inc., Company Guaranteed Notes (Callable 11/17/08 @ $101.44) | (B+, | ||||
| B2) | 04/01/13 | 8.625 | 346,500 | ||
| 1,025 | JohnsonDiversey | ||||
| Holdings, Inc., Series B, Global Discount Notes (Callable 10/14/08 | |||||
| @ $103.56) | (CCC+, | ||||
| Caa1) | 05/15/13 | 10.670 | 999,375 | ||
| 650 | Mobile | ||||
| Services Group, Inc., Global Company Guaranteed Notes (Callable 08/01/10 | |||||
| @ $104.88) | (B+, | ||||
| B2) | 08/01/14 | 9.750 | 607,750 |
SEQ.=1,FOLIO='',FILE='C:\JMS\kkasi\08-24651-4\task3203920\24651-4-bi-03.htm',USER='105438',CD='Nov 5 07:12 2008'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE | |||||
| BONDS | |||||
| Support - Services | |||||
| $ 725 | Rental | ||||
| Service Corp., Global Company Guaranteed Notes (Callable 12/01/10 @ $104.75)§ | (B-, | ||||
| Caa1) | 12/01/14 | 9.500 | $ 552,812 | ||
| 325 | Sothebys, | ||||
| Rule 144A, Senior Notes | (BBB-, | ||||
| Ba3) | 06/15/15 | 7.750 | 299,000 | ||
| 650 | Ticketmaster, | ||||
| Rule 144A, Senior Notes (Callable 08/01/12 @ $105.38) | (BB, | ||||
| Ba3) | 08/01/16 | 10.750 | 614,250 | ||
| 775 | Travelport | ||||
| LLC, Global Company Guaranteed Notes (Callable 09/01/11 @ $105.94) | (CCC+, | ||||
| Caa1) | 09/01/16 | 11.875 | 559,937 | ||
| 75 | United | ||||
| Rentals North America, Inc., Global Company Guaranteed Notes (Callable | |||||
| 10/06/08 @ $103.25) | (BB-, | ||||
| B1) | 02/15/12 | 6.500 | 63,000 | ||
| 500 | United | ||||
| Rentals North America, Inc., Global Senior Subordinated Notes (Callable | |||||
| 02/15/09 @ $103.50)§ | (B, | ||||
| B2) | 02/15/14 | 7.000 | 352,500 | ||
| 6,830,062 | |||||
| Telecom - | |||||
| Fixed Line (1.0%) | |||||
| 1,150 | Level | ||||
| 3 Financing, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ | |||||
| $102.00)# | (CCC+, | ||||
| Caa1) | 02/15/15 | 6.845 | 782,000 | ||
| 525 | Level | ||||
| 3 Financing, Inc., Global Company Guaranteed Notes (Callable 03/15/10 @ | |||||
| $106.13) | (CCC+, | ||||
| Caa1) | 03/15/13 | 12.250 | 467,250 | ||
| 500 | Time | ||||
| Warner Telecom Holdings, Inc., Global Company Guaranteed Notes (Callable | |||||
| 02/15/09 @ $104.62) | (CCC+, | ||||
| B3) | 02/15/14 | 9.250 | 465,000 | ||
| 1,714,250 | |||||
| Telecom - | |||||
| Integrated/Services (4.4%) | |||||
| 975 | Cincinnati | ||||
| Bell, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ | |||||
| $104.19) | (B-, | ||||
| B2) | 01/15/14 | 8.375 | 853,125 | ||
| 1,200 | Frontier | ||||
| Communications Corp., Global Senior Unsecured Notes | (BB, | ||||
| Ba2) | 03/15/15 | 6.625 | 1,002,000 | ||
| 700 | Hughes | ||||
| Network Systems LLC, Global Company Guaranteed Notes (Callable 04/15/10 @ | |||||
| $104.75) | (B, | ||||
| B1) | 04/15/14 | 9.500 | 682,500 | ||
| 1,525 | Intelsat | ||||
| Corp., Rule 144A, Senior Unsecured Notes (Callable 08/15/09 @ $104.63) | (BB-, | ||||
| B3) | 08/15/14 | 9.250 | 1,433,500 | ||
| 375 | Intelsat | ||||
| Subsidiary Holding Co., Ltd., Rule 144A, Senior Unsecured Notes | |||||
| (Callable 01/15/10 @ $104.44) | (BB-, | ||||
| B3) | 01/15/15 | 8.875 | 345,000 | ||
| 950 | Paetec | ||||
| Holding Corp., Series WI, Global Company Guaranteed Notes (Callable | |||||
| 07/15/11 @ $104.75) | (CCC+, | ||||
| Caa1) | 07/15/15 | 9.500 | 655,500 | ||
| 925 | Qwest | ||||
| Communications International, Inc., Global Company Guaranteed Notes | |||||
| (Callable 11/17/08 @ $103.62) | (B+, | ||||
| Ba3) | 02/15/11 | 7.250 | 881,062 | ||
| 550 | Qwest | ||||
| Communications International, Inc., Series B, Global Company | |||||
| Guaranteed Notes (Callable 02/15/09 @ $103.75) | (B+, | ||||
| Ba3) | 02/15/14 | 7.500 | 478,500 | ||
| 150 | Qwest | ||||
| Corp., Global Senior Unsecured Notes | (BBB-, | ||||
| Ba1) | 06/15/15 | 7.625 | 131,250 | ||
| 225 | Windstream | ||||
| Corp., Global Company Guaranteed Notes | (BB, | ||||
| Ba3) | 08/01/13 | 8.125 | 214,875 | ||
| 75 | Windstream | ||||
| Corp., Global Company Guaranteed Notes (Callable 03/15/12 @ $103.50) | (BB, | ||||
| Ba3) | 03/15/19 | 7.000 | 60,375 | ||
| 675 | Windstream | ||||
| Corp., Global Company Guaranteed Notes (Callable 08/01/11 @ $104.31) | (BB, | ||||
| Ba3) | 08/01/16 | 8.625 | 626,063 | ||
| 7,363,750 | |||||
| Telecom - | |||||
| Wireless (2.7%) | |||||
| 375 | Centennial | ||||
| Cellular Communications Corp., Global Company Guaranteed Notes (Callable | |||||
| 10/14/08 @ $105.06) | (B, | ||||
| B2) | 06/15/13 | 10.125 | 373,125 | ||
| 675 | Cricket | ||||
| Communications, Inc., Global Company Guaranteed Notes (Callable 11/01/10 | |||||
| @ $104.69) | (B-, | ||||
| B3) | 11/01/14 | 9.375 | 631,125 | ||
| 640 | MetroPCS | ||||
| Wireless, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ | |||||
| $104.63) | (B, | ||||
| Caa1) | 11/01/14 | 9.250 | 601,600 | ||
| 1,825 | Nextel | ||||
| Communications, Inc., Series F, Company Guaranteed Notes (Callable | |||||
| 03/15/09 @ $102.98) | (BB, | ||||
| Baa3) | 03/15/14 | 5.950 | 1,224,042 | ||
| 2,250 | Sprint | ||||
| Nextel Corp., Senior Unsecured Notes | (BB, | ||||
| Baa3) | 12/01/16 | 6.000 | 1,735,101 | ||
| 4,564,993 | |||||
| Textiles & | |||||
| Apparel (0.4%) | |||||
| 825 | Levi | ||||
| Strauss & Co., Global Senior Notes (Callable 01/15/10 @ $104.88) | (B+, | ||||
| B2) | 01/15/15 | 9.750 | 693,000 | ||
| Theaters & | |||||
| Entertainment (0.5%) | |||||
| 1,025 | AMC | ||||
| Entertainment, Inc., Global Senior Subordinated Notes (Callable 03/01/09 | |||||
| @ $104.00)§ | (CCC+, | ||||
| B2) | 03/01/14 | 8.000 | 886,625 | ||
| TOTAL U.S. | |||||
| CORPORATE BONDS (Cost $180,359,757) | 147,905,660 |
SEQ.=1,FOLIO='',FILE='C:\JMS\kkasi\08-24651-4\task3203920\24651-4-bi-03.htm',USER='105438',CD='Nov 5 07:12 2008'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| FOREIGN CORPORATE BONDS (7.2%) | |||||
| Building Materials (0.0%) | |||||
| 750 | Maax | ||||
| Corp., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.88) | |||||
| (Canada)ø | (NR, | ||||
| NR) | 06/15/12 | 9.750 | $ 15,000 | ||
| Chemicals (0.5%) | |||||
| 600 | Ineos | ||||
| Group Holdings PLC, Rule 144A, Company Guaranteed Notes (Callable | |||||
| 02/15/11 @ $104.25) (United Kingdom) | (B-, | ||||
| B3) | 02/15/16 | 8.500 | 327,000 | ||
| 1,000 | LyondellBasell | ||||
| Industries AF SCA, Rule 144A, Senior Secured Notes (Callable 08/15/10 @ | |||||
| $104.19) (Luxembourg)§ | (CCC+, | ||||
| B3) | 08/15/15 | 8.375 | 475,000 | ||
| 802,000 | |||||
| Electronics (0.9%) | |||||
| 775 | Avago | ||||
| Technologies Finance, Global Company Guaranteed Notes (Callable 12/01/10 @ | |||||
| $105.94) (Singapore) | (B, | ||||
| B3) | 12/01/15 | 11.875 | 802,125 | ||
| 375 | Celestica, Inc., | ||||
| Senior Subordinated Notes (Callable 07/01/09 @ $103.81) (Canada) | (B, | ||||
| B3) | 07/01/13 | 7.625 | 343,125 | ||
| 550 | NXP | ||||
| BV/NXP Funding LLC, Global Company Guaranteed Notes (Callable 10/15/11 @ | |||||
| $104.31) (Netherlands) | (CCC+, | ||||
| NR) | 10/15/15 | 8.625 | 378,553 | ||
| 75 | NXP | ||||
| BV/NXP Funding LLC, Global Senior Secured Notes (Callable 10/15/10 @ $103.94) | |||||
| (Netherlands)§ | (B-, | ||||
| B3) | 10/15/14 | 7.875 | 50,625 | ||
| 1,574,428 | |||||
| Energy - Exploration & Production (0.3%) | |||||
| 550 | OPTI | ||||
| Canada, Inc., Global Senior Secured Notes (Callable 12/15/10 @ $104.13) | |||||
| (Canada) | (BB+, | ||||
| B1) | 12/15/14 | 8.250 | 495,000 | ||
| Forestry & Paper (0.6%) | |||||
| 1,450 | Abitibi-Consolidated, Inc., | ||||
| Global Company Guaranteed Notes (Canada) | (CCC+, | ||||
| Caa2) | 06/15/11 | 7.750 | 471,250 | ||
| 750 | Smurfit | ||||
| Kappa Funding PLC, Global Senior Subordinated Notes (Callable 01/31/10 @ | |||||
| $103.88) (Ireland) | (B+, | ||||
| B2) | 04/01/15 | 7.750 | 628,125 | ||
| 1,099,375 | |||||
| Gaming (0.2%) | |||||
| 400 | Codere | ||||
| Finance Luxembourg, Rule 144A, Senior Secured Notes (Callable 06/15/10 @ | |||||
| $104.13) (Luxembourg) | (BB-, | ||||
| B2) | 06/15/15 | 8.250 | 421,395 | ||
| Media - Cable (0.7%) | |||||
| 150 | NTL | ||||
| Cable PLC, Global Senior Notes (Callable 08/15/11 @ $104.56) (United Kingdom) | (B-, | ||||
| B2) | 08/15/16 | 9.125 | 126,375 | ||
| 400 | Unitymedia | ||||
| GmbH, Rule 144A, Senior Secured Notes (Callable 02/15/10 @ $105.06) | |||||
| (Germany) | (B-, | ||||
| Caa1) | 02/15/15 | 10.125 | 514,102 | ||
| 350 | Virgin | ||||
| Media Finance PLC, Global Company Guaranteed Notes (Callable 04/15/09 @ | |||||
| $104.88) (United Kingdom) | (B-, | ||||
| B2) | 04/15/14 | 9.750 | 481,930 | ||
| 1,122,407 | |||||
| Media - Diversified (0.4%) | |||||
| 775 | Quebecor | ||||
| Media, Inc., Global Senior Unsecured Notes (Callable 03/15/11 @ $103.88) | |||||
| (Canada) | (B, | ||||
| B2) | 03/15/16 | 7.750 | 682,000 | ||
| Oil Refining & Marketing (0.3%) | |||||
| 525 | Petroplus | ||||
| Finance, Ltd., Rule 144A, Company Guaranteed Notes (Callable 05/01/11 @ | |||||
| $103.38) (Bermuda) | (BB-, | ||||
| B1) | 05/01/14 | 6.750 | 446,250 | ||
| 75 | Petroplus | ||||
| Finance, Ltd., Rule 144A, Company Guaranteed Notes (Callable 05/01/12 @ | |||||
| $103.50) (Bermuda) | (BB-, | ||||
| B1) | 05/01/17 | 7.000 | 62,625 | ||
| 508,875 | |||||
| Packaging (0.3%) | |||||
| 240 | Gerresheimer | ||||
| Holdings GmbH, Rule 144A, Company Guaranteed Notes (Callable 02/15/10 @ | |||||
| 103.94) (Germany) | (BB, | ||||
| B1) | 03/01/15 | 7.875 | 333,745 | ||
| 175 | Impress | ||||
| Holdings BV, Rule 144A, Company Guaranteed Notes (Callable 09/15/09 @ | |||||
| $109.25) (Netherlands) | (B-, | ||||
| B3) | 09/15/14 | 9.250 | 204,025 | ||
| 537,770 |
SEQ.=1,FOLIO='',FILE='C:\JMS\kkasi\08-24651-4\task3203920\24651-4-bi-03.htm',USER='105438',CD='Nov 5 07:12 2008'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| FOREIGN CORPORATE BONDS | |||||
| Pharmaceuticals (0.3%) | |||||
| 75 | Elan Finance PLC, Global Company Guaranteed Notes | ||||
| (Callable 11/15/08 @ $103.88) (Ireland) | (B, | ||||
| B3) | 11/15/11 | 7.750 | $ 68,250 | ||
| 500 | Elan Finance PLC, Global Company Guaranteed Notes | ||||
| (Callable 12/01/10 @ $104.44) (Ireland) | (B, | ||||
| B3) | 12/01/13 | 8.875 | 422,500 | ||
| 490,750 | |||||
| Support-Services (0.8%) | |||||
| 675 | Ashtead Holdings PLC, Rule 144A, Secured Notes | ||||
| (Callable 08/01/10 @ $104.31) (United Kingdom)§ | (B, | ||||
| B1) | 08/01/15 | 8.625 | 583,875 | ||
| 325 | Carlson Wagonlit BV, Rule 144A, Company Guaranteed | ||||
| Notes (Callable 10/06/08 @ $104.00) (Netherlands)# | (B-, | ||||
| B2) | 05/01/15 | 10.713 | 294,450 | ||
| 425 | DynCorp. International, Rule 144A, Company | ||||
| Guaranteed Notes (Callable 02/15/09 @ $104.75) | (B, | ||||
| B2) | 02/15/13 | 9.500 | 419,687 | ||
| 1,298,012 | |||||
| Telecom - Integrated/Services (1.0%) | |||||
| 950 | Global Crossing UK Finance, Global Company | ||||
| Guaranteed Notes (Callable 12/15/09 @ $105.38) (United Kingdom) | (B-, | ||||
| B3) | 12/15/14 | 10.750 | 859,750 | ||
| 350 | Hellas II, Rule 144A, Company Guaranteed Notes | ||||
| (Callable 10/06/08 @ $102.00) (Luxembourg)# | (CCC+, | ||||
| Caa1) | 01/15/15 | 8.541 | 213,500 | ||
| 500 | Nordic Telephone Co. Holdings ApS, Rule 144A, | ||||
| Senior Secured Notes (Callable 11/07/08 @ $101.00) (Denmark)# | (B+, | ||||
| B2) | 05/01/16 | 10.463 | 646,139 | ||
| 1,719,389 | |||||
| Telecommunication Services (0.2%) | |||||
| 600 | Nortel Networks, Ltd., Rule 144A, Company | ||||
| Guaranteed Notes (Callable 07/15/11 @ $105.38) (Canada) | (B-, | ||||
| B3) | 07/15/16 | 10.750 | 370,500 | ||
| Textiles & Apparel (0.1%) | |||||
| 150 | IT Holding Finance SA, Rule 144A, Company | ||||
| Guaranteed Notes (Luxembourg) | (CCC, | ||||
| B3) | 11/15/12 | 9.875 | 105,349 | ||
| Transportation - Excluding Air/Rail (0.6%) | |||||
| 975 | Ship Finance International, Ltd., Global Company | ||||
| Guaranteed Notes (Callable 12/15/08 @ $104.25) (Bermuda) | (B+, | ||||
| B1) | 12/15/13 | 8.500 | 950,625 | ||
| TOTAL FOREIGN CORPORATE BONDS (Cost $16,281,589) | 12,192,875 |
| Number of | ||
|---|---|---|
| Shares | ||
| COMMON STOCKS (0.1%) | ||
| Automobile Parts & Equipment (0.0%) | ||
| 774,557 | Cambridge Industries Liquidating Trust*^ | 0 |
| 1,219 | Safelite Realty Corp.*^ | 9,752 |
| 9,752 | ||
| Chemicals (0.0%) | ||
| 4,893 | Huntsman Corp. | 61,652 |
| Commingled Funds (0.0%) | ||
| 7,500 | Adelphia*^ | 0 |
| 750,000 | Adelphia Recovery Trust*^ | 0 |
| 0 | ||
| Gaming (0.0%) | ||
| 1,500 | Progressive Gaming International Corp.* | 2,145 |
| Printing & Publishing (0.1%) | ||
| 10,652 | Mail Well, Inc., Rule 144A* | 81,914 |
| TOTAL COMMON STOCKS (Cost $1,522,975) | 155,463 | |
| WARRANTS (0.0%) | ||
| Building Materials (0.0%) | ||
| 1,250 | Dayton Superior Corp., Rule | |
| 144A, strike price $0.01, expires 06/15/09*^ (Cost $25,000) | 12 |
SEQ.=1,FOLIO='',FILE='C:\JMS\kkasi\08-24651-4\task3203920\24651-4-bi-03.htm',USER='105438',CD='Nov 5 07:12 2008'
| Number of — Shares | Value | |
|---|---|---|
| SHORT-TERM | ||
| INVESTMENTS ( 13.9%) | ||
| 19,562,370 | State Street Navigator Prime | |
| Portfolio§§ | $ 19,562,370 |
| Par — (000) | Maturity | Rate% | |||
|---|---|---|---|---|---|
| $ 3,825 | State Street Bank and Trust Co. | ||||
| Euro Time Deposit | 10/01/08 | 0.850 | 3,825,000 | ||
| TOTAL SHORT-TERM INVESTMENTS (Cost $23,387,370) | 23,387,370 | ||||
| TOTAL INVESTMENTS AT VALUE (108.7%) (Cost $221,576,691) | 183,641,380 | ||||
| LIABILITIES IN EXCESS OF OTHER ASSETS (-8.7%) | (14,666,013 | ) | |||
| NET ASSETS (100.0%) | $ 168,975,367 |
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
| Forward Foreign | Expiration | Foreign Currency | Contract | Contract | Unrealized | ||||
|---|---|---|---|---|---|---|---|---|---|
| Currency Contract | Date | To be Sold | Amount | Value | Gain/Loss | ||||
| Euro | 10/10/2008 | | (2,775,000 | ) | $ (4,346,427 | ) | $ (3,901,157 | ) | $ 445,270 |
| British Pound | 10/10/2008 | £ | (314,500 | ) | $ (618,794 | ) | $ (560,953 | ) | $ 57,841 |
| $ (4,965,221 | ) | $ (4,462,110 | ) | $ 503,111 |
INVESTMENT ABBREVIATION NR= Not Rated
| | Credit ratings given by the Standard & Poors Division of The
McGraw-Hill Companies, Inc. (S&P) and Moodys Investors
Service, Inc. (Moodys) are unaudited. |
| --- | --- |
| | Security exempt from registration under Rule 144A of the
Securities Act of 1933. These securities may be resold in transactions exempt
from registration, normally to qualified institutional buyers. At
September 30, 2008, these securities amounted to a value of $27,095,082
or 16.0% of net assets. |
| + | Step Bond The interest rate is as of September 30, 2008 and
will reset at a future date. |
| ø | Bond is currently in default. |
| * | Non-income producing security. |
| ^ | Not readily marketable security; security is valued at fair value as
determined in good faith by, or under the direction of, the Board of
Directors. |
| § | Security or portion thereof is out on loan. |
| §§ | Represents security purchased with cash collateral received for
securities on loan. |
| # | Variable rate obligations The interest rate is the rate as of
September 30, 2008. |
Security Valuation The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the Exchange) on each day the Exchange is open for business. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (the Valuation Time). If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Investments in mutual funds are valued at the mutual 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 occurring 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.
The Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements (FAS 157), effective January 1, 2008. In accordance with FAS 157, fair value is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. FAS 157 established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entitys own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
SEQ.=1,FOLIO='',FILE='C:\JMS\kkasi\08-24651-4\task3203920\24651-4-bi-03.htm',USER='105438',CD='Nov 5 07:12 2008'
| · | Level
1 quoted prices in active markets for identical investments |
| --- | --- |
| · | Level
2 other significant observable inputs (including quoted prices for similar
investments, interest rates, prepayment speeds, credit risk, etc.) |
| · | Level
3 significant unobservable inputs (including the Funds own assumptions in
determining the fair value of investments) |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of September 30, 2008 in valuing the Funds investments carried at value:
| Valuation Inputs | Investments in Securities | Other Financial Instruments* |
|---|---|---|
| Level 1 - Quoted Prices | $ 19,708,080 | $ 503,111 |
| Level 2 - Other Significant Observable | ||
| Inputs | 163,735,435 | |
| Level 3 - Significant Unobservable Inputs | 197,865 | |
| Total | $ 183,641,380 | $ 503,111 |
*Other financial instruments include futures, forwards and swap contracts.
Federal Income Tax Cost - At September 30, 2008, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized depreciation from investments were $221,576,691, $496,338, $(38,431,649) and $(37,935,311), respectively.
Other information regarding the Fund is available in the 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.sec.gov.
SEQ.=1,FOLIO='',FILE='C:\JMS\kkasi\08-24651-4\task3203920\24651-4-bi-03.htm',USER='105438',CD='Nov 5 07:12 2008'
*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\105692\08-24651-4\task3216731\24651-4-ga.htm',USER='105692',CD='Nov 11 05:25 2008'
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| CREDIT
SUISSE ASSET MANAGEMENT INCOME FUND, INC. | |
| --- | --- |
| /s/ George R. Hornig | |
| Name: | George R. Hornig |
| Title: | Chief Executive Officer |
| Date: | November 14, 2008 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| /s/ George R. Hornig | |
|---|---|
| Name: | George R. Hornig |
| Title: | Chief Executive Officer |
| Date: | November 14, 2008 |
| /s/ Michael A. Pignataro | |
|---|---|
| Name: | Michael A. Pignataro |
| Title: | Chief Financial Officer |
| Date: | November 14, 2008 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105621\08-24651-4\task3216779\24651-4-jc.htm',USER='105621',CD='Nov 11 06:13 2008'
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