Regulatory Filings • Nov 10, 2009
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Download Source FileN-Q 1 a09-31912_6nq.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) | |
| Registrants
telephone number, including area code: | (212)
325-2000 |
| Date of
fiscal year end: | December
31st |
| Date of
reporting period: | July 1, 2009
to September 30, 2009 |
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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, 2009 (unaudited)
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. | |||||
| CORPORATE BONDS (87.5%) | |||||
| Aerospace & | |||||
| Defense (1.0%) | |||||
| $ 800 | BE Aerospace, Inc., Senior Unsecured Notes | ||||
| (Callable 07/01/13 @ $104.25) | (BB, Ba3) | 07/01/18 | 8.500 | $ 822,000 | |
| 1,125 | Hawker Beechcraft Acquisition Co., Global Company | ||||
| Guaranteed Notes (Callable 04/01/11 @ $104.25) | (CCC-, Caa3) | 04/01/15 | 8.500 | 804,375 | |
| 200 | Hawker Beechcraft Acquisition Co., Global Company | ||||
| Guaranteed Notes (Callable 04/01/12 @ $104.88) | (CCC-, Ca) | 04/01/17 | 9.750 | 123,000 | |
| 1,749,375 | |||||
| Agriculture (0.4%) | |||||
| 625 | Southern States Cooperative, Inc., | ||||
| Rule 144A, Senior Notes (Callable 11/01/09 @ $100.00) | (B-, B3) | 11/01/11 | 11.000 | 625,781 | |
| Auto | |||||
| Loans (2.2%) | |||||
| 825 | Ford Motor Credit Co. LLC, Global Senior Unsecured | ||||
| Notes | (CCC+, Caa1) | 08/01/12 | 7.500 | 792,630 | |
| 1,725 | Ford Motor Credit Co. LLC, Global Senior Unsecured | ||||
| Notes | (CCC+, Caa1) | 10/01/13 | 7.000 | 1,620,479 | |
| 425 | Ford Motor Credit Co. LLC, Senior Unsecured Notes | (CCC+, Caa1) | 08/10/11 | 9.875 | 431,213 |
| 425 | Ford Motor Credit Co. LLC, Senior Unsecured Notes | (CCC+, Caa1) | 10/01/14 | 8.700 | 416,721 |
| 525 | Ford Motor Credit Co. LLC, Senior Unsecured Notes | (CCC+, Caa1) | 12/15/16 | 8.000 | 487,722 |
| 3,748,765 | |||||
| Auto | |||||
| Parts & Equipment (2.1%) | |||||
| 850 | Altra Industrial Motion, Inc., Global Company | ||||
| Guaranteed Notes (Callable 12/01/09 @ $102.25) | (B+, B1) | 12/01/11 | 9.000 | 871,250 | |
| 500 | American Axle & Manufacturing, Inc., | ||||
| Company Guaranteed Notes (Callable 03/01/12 @ $103.94) | (CCC-, Ca) | 03/01/17 | 7.875 | 347,500 | |
| 800 | American Tire Distributors, Inc., Global | ||||
| Company Guarnteed Notes (Callable 04/01/10 @ $102.69) | (CCC+, Caa1) | 04/01/13 | 10.750 | 736,000 | |
| 800 | Stanadyne Corp., Series 1, Global Senior | ||||
| Subordinated Notes (Callable 08/15/10 @ $103.33) | (CCC, Caa1) | 08/15/14 | 10.000 | 676,000 | |
| 737 | The Goodyear Tire & Rubber Co., Global | ||||
| Company Guaranteed Notes (Callable 07/01/10 @ $104.50) | (B+, B1) | 07/01/15 | 9.000 | 768,323 | |
| 150 | The Goodyear Tire & Rubber Co., Senior | ||||
| Unsecured Notes (Callable 05/15/12 @ $107.88) | (B+, B1) | 05/15/16 | 10.500 | 163,500 | |
| 3,562,573 | |||||
| Banks (2.8%) | |||||
| 750 | CIT Group, Inc., Senior Unsecured Notes# | (CC, Ca) | 02/13/12 | 0.704 | 495,380 |
| 1,375 | CIT Group, Inc., Senior Unsecured Notes | (CC, Ca) | 02/13/12 | 5.400 | 902,892 |
| 2,073 | GMAC LLC, Rule 144A, Company Guaranteed | ||||
| Notes | (CCC, Ca) | 03/02/11 | 7.250 | 2,015,993 | |
| 474 | GMAC LLC, Rule 144A, Company Guaranteed | ||||
| Notes | (CCC, Ca) | 04/01/11 | 6.000 | 449,115 | |
| 47 | GMAC LLC, Rule 144A, Company Guaranteed | ||||
| Notes | (CCC, Ca) | 12/15/11 | 6.000 | 43,945 | |
| 65 | GMAC LLC, Rule 144A, Company Guaranteed | ||||
| Notes | (CCC, Ca) | 12/31/13 | 7.500 | 57,525 | |
| 933 | GMAC LLC, Rule 144A, Company Guaranteed | ||||
| Notes | (CCC, Ca) | 12/01/14 | 6.750 | 802,380 | |
| 78 | GMAC LLC, Rule 144A, Subordinated Notes | (CC, Ca) | 12/31/18 | 8.000 | 59,670 |
| 4,826,900 | |||||
| Beverages (0.4%) | |||||
| 225 | Constellation Brands, Inc., Company | ||||
| Guaranteed Notes | (BB, Ba3) | 12/15/14 | 8.375 | 235,688 | |
| 525 | Constellation Brands, Inc., Company | ||||
| Guaranteed Notes | (BB, Ba3) | 09/01/16 | 7.250 | 525,000 | |
| 760,688 | |||||
| Brokerage (0.2%) | |||||
| 315 | E*TRADE Financial Corp., Senior Unsecured Notes | ||||
| (Callable 12/01/10 @ $103.94) | (CCC, B3) | 12/01/15 | 7.875 | 278,775 | |
| Building & | |||||
| Construction (1.5%) | |||||
| 468 | Ashton Woods Finance Co., Rule 144A, Company | ||||
| Guaranteed Notes (Callable 02/24/14 @ $105.50)+ | (NR, NR) | 06/30/15 | 0.000 | 105,300 | |
| 150 | D.R. Horton, Inc., Company Guaranteed Notes | (BB-, Ba3) | 05/01/13 | 6.875 | 153,750 |
| 500 | K Hovnanian Enterprises, Inc., Global Company | ||||
| Guaranteed Notes | (D, Caa2) | 01/15/16 | 6.250 | 377,500 | |
| 800 | Meritage Homes Corp., Global Company Guaranteed | ||||
| Notes (Callable 03/15/10 @ $103.13) | (B+, B1) | 03/15/15 | 6.250 | 748,000 | |
| 925 | Standard Pacific Corp., Company Guaranteed Notes | (CCC, Caa1) | 04/01/14 | 6.250 | 809,375 |
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| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. | |||||
| CORPORATE BONDS | |||||
| Building & | |||||
| Construction | |||||
| $ 250 | William Lyon Homes, Inc., Global Company | ||||
| Guaranteed Notes (Callable 02/15/10 @ $102.50) | (CC, Caa3) | 02/15/14 | 7.500 | $ 118,750 | |
| 350 | William Lyon Homes, Inc., Global Company | ||||
| Guaranteed Notes (Callable 12/15/09 @ $101.91) | (CC, Caa3) | 12/15/12 | 7.625 | 166,250 | |
| 2,478,925 | |||||
| Building Materials (1.7%) | |||||
| 750 | AMH Holdings Inc., Global Senior Discount Notes | ||||
| (Callable 03/01/10 @ $103.75) | (CCC-, Caa2) | 03/01/14 | 11.250 | 570,000 | |
| 575 | Building Materials Corp. of America, Global | ||||
| Secured Notes (Callable 08/01/10 @ $102.58) | (B+, B3) | 08/01/14 | 7.750 | 556,313 | |
| 975 | CPG International I, Inc., Global Company | ||||
| Guaranteed Notes (Callable 07/01/10 @ $102.63) | (B-, Caa1) | 07/01/13 | 10.500 | 828,750 | |
| 300 | Dayton Superior Corp., Company Guaranteed Notesø | (D, Caa3) | 06/15/09 | 13.000 | 99,750 |
| 325 | Norcraft Finance Corp., Global Company Guaranteed | ||||
| Notes (Callable 11/01/09 @ $100.00) | (B, Ba3) | 11/01/11 | 9.000 | 326,625 | |
| 250 | Norcraft Holdings, Global Senior Discount Notes | ||||
| (Callable 09/01/10 @ $100.00) | (CCC, Caa1) | 09/01/12 | 9.750 | 238,750 | |
| 475 | Nortek, Inc., Global Senior Subordinated | ||||
| Notes (Callable 09/01/10 @ $102.83)ø | (D, Ca) | 09/01/14 | 8.500 | 330,125 | |
| 750 | NTK Holdings, Inc., Global Senior Discount | ||||
| Notes (Callable 09/01/10 @ $103.58) | (C, C) | 03/01/14 | 10.750 | 24,375 | |
| 2,974,688 | |||||
| Chemicals (2.6%) | |||||
| 275 | Chemtura Corp., Company Guaranteed Notesø | (D, NR) | 06/01/16 | 6.875 | 290,125 |
| 650 | Koppers Holdings, Inc., Global Senior | ||||
| Discount Notes (Callable 11/15/09 @ $104.94)+ | (B-, B2) | 11/15/14 | 0.000 | 654,875 | |
| 425 | Momentive Performance Materials, Inc., Global | ||||
| Company Guaranteed Notes (Callable 12/01/10 @ $104.88) | (C, Caa2) | 12/01/14 | 9.750 | 331,500 | |
| 438 | Momentive Performance Materials, Inc., | ||||
| Rule 144A, Company Guaranteed Notes (Callable 12/15/11 @ $106.25) | (C, B3) | 06/15/14 | 12.500 | 455,000 | |
| 150 | Nalco Co., Global Company Guaranteed Notes | ||||
| (Callable 11/15/09 @ $102.96) | (B, B2) | 11/15/13 | 8.875 | 154,875 | |
| 175 | Nalco Co., Global Company Guaranteed Notes | ||||
| (Callable 11/15/09 @ $103.00) | (B, B2) | 11/15/13 | 9.000 | 264,750 | |
| 800 | Nalco Finance Holdings, Inc., Global Senior | ||||
| Discount Notes (Callable 02/01/10 @ $103.00) | (B, B2) | 02/01/14 | 9.000 | 830,000 | |
| 750 | PolyOne Corp., Senior Unsecured Notes | (B-, B1) | 05/01/12 | 8.875 | 761,250 |
| 750 | Reichhold Industries, Inc., Rule 144A, | ||||
| Senior Notes (Callable 08/15/10 @ $104.50) | (CCC+, Caa2) | 08/15/14 | 9.000 | 626,250 | |
| 4,368,625 | |||||
| Computer Hardware (0.3%) | |||||
| 500 | Activant Solutions, Inc., Global Company | ||||
| Guaranteed Notes (Callable 05/01/11 @ $104.75) | (CCC+, Caa1) | 05/01/16 | 9.500 | 450,000 | |
| Consumer | |||||
| Products (1.2%) | |||||
| 650 | AAC Group Holding Corp., Rule 144A, Senior Discount | ||||
| Notes (Callable 10/01/09 @ $102.56) | (CCC, Caa2) | 10/01/12 | 10.250 | 627,250 | |
| 625 | Amscan Holdings, Inc., Global Senior | ||||
| Subordinated Notes (Callable 05/01/10 @ $102.92) | (CCC+, Caa1) | 05/01/14 | 8.750 | 596,875 | |
| 225 | Jarden Corp., Company Guaranteed Notes (Callable | ||||
| 05/01/12 @ $103.75) | (B-, B3) | 05/01/17 | 7.500 | 219,938 | |
| 594 | Prestige Brands, Inc., Global Senior | ||||
| Subordinated Notes (Callable 04/15/10 @ $100.00) | (B-, B3) | 04/15/12 | 9.250 | 608,850 | |
| 2,052,913 | |||||
| Diversified Capital Goods (3.0%) | |||||
| 425 | Anixter, Inc., Company Guaranteed Notes | (BB+, Ba2) | 03/15/14 | 10.000 | 450,500 |
| 575 | Belden, Inc., Rule 144A, Company | ||||
| Guaranteed Notes (Callable 06/15/14 @ $104.62) | (B+, Ba2) | 06/15/19 | 9.250 | 600,875 | |
| 725 | Coleman Cable, Inc., Global Company | ||||
| Guaranteed Notes (Callable 10/01/09 @ $102.47) | (B+, B3) | 10/01/12 | 9.875 | 674,250 |
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| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. | |||||
| CORPORATE BONDS | |||||
| Diversified | |||||
| Capital Goods | |||||
| $ 575 | Esco Corp., Rule 144A, Company Guaranteed | ||||
| Notes (Callable 12/15/09 @ $101.00)# | (B, B2) | 12/15/13 | 4.174 | $ 520,375 | |
| 800 | Mueller Water Products, Inc., Global Company | ||||
| Guaranteed Notes (Callable 06/01/12 @ $103.69) | (B-, Caa1) | 06/01/17 | 7.375 | 701,000 | |
| 525 | RBS Global & Rexnord Corp., Global | ||||
| Company Guaranteed Notes (Callable 08/01/10 @ $104.75) | (B-, Caa2) | 08/01/14 | 9.500 | 511,875 | |
| 450 | Sensus USA Systems, Inc., Global Company | ||||
| Guaranteed Notes (Callable 12/15/09 @ $102.87) | (B-, B3) | 12/15/13 | 8.625 | 447,750 | |
| 625 | Titan International, Inc., Global Company | ||||
| Guaranteed Notes | (B-, Caa1) | 01/15/12 | 8.000 | 607,812 | |
| 694 | TriMas Corp., Global Company Guaranteed Notes | ||||
| (Callable 06/15/10 @ $100.00) | (B-, Caa2) | 06/15/12 | 9.875 | 629,805 | |
| 5,144,242 | |||||
| Electric - Generation (5.0%) | |||||
| 200 | Dynegy Holdings, Inc., Global Senior | ||||
| Unsecured Notes | (B, B3) | 06/01/15 | 7.500 | 186,000 | |
| 1,000 | Dynegy Holdings, Inc., Global Senior | ||||
| Unsecured Notes | (B, B3) | 05/01/16 | 8.375 | 940,000 | |
| 1,075 | Edison Mission Energy, Global Senior Unsecured | ||||
| Notes | (B, B2) | 05/15/17 | 7.000 | 903,000 | |
| 1,050 | Edison Mission Energy, Global Senior Unsecured | ||||
| Notes | (B, B2) | 05/15/19 | 7.200 | 855,750 | |
| 1,200 | Mirant Americas Generation LLC, Senior Unsecured | ||||
| Notes | (B-, B3) | 10/01/21 | 8.500 | 1,050,000 | |
| 268 | Mirant Mid Atlantic LLC, Series B, Global | ||||
| Pass Thru Certificates | (BB, Ba1) | 06/30/17 | 9.125 | 271,042 | |
| 200 | NRG Energy, Inc., Company Guaranteed Notes | ||||
| (Callable 01/15/12 @ $103.69) | (BB-, B1) | 01/15/17 | 7.375 | 194,000 | |
| 425 | NRG Energy, Inc., Company Guaranteed Notes | ||||
| (Callable 02/01/11 @ $103.69) | (BB-, B1) | 02/01/16 | 7.375 | 412,250 | |
| 400 | RRI Energy, Inc., Senior Unsecured Notes | (B+, B2) | 06/15/14 | 7.625 | 394,500 |
| 3,275 | Texas Competitive Electric Holdings Co., LLC, | ||||
| Series A, Global Company Guaranteed Notes (Callable 11/01/11 @ $105.13) | (CCC, Caa2) | 11/01/15 | 10.250 | 2,374,375 | |
| 1,300 | Texas Competitive Electric Holdings Co., LLC, | ||||
| Series B, Global Company Guaranteed Notes (Callable 11/01/11 @ $105.13) | (CCC, Caa2) | 11/01/15 | 10.250 | 942,500 | |
| 8,523,417 | |||||
| Electric - Integrated (1.0%) | |||||
| 1,000 | The AES Corp., Global Senior Unsecured Notes | (BB-, B1) | 10/15/17 | 8.000 | 1,011,250 |
| 200 | The AES Corp., Rule 144A, Senior Unsecured | ||||
| Notes | (BB-, B1) | 04/15/16 | 9.750 | 219,000 | |
| 550 | The AES Corp., Senior Unsecured Notes | (BB-, B1) | 03/01/14 | 7.750 | 556,875 |
| 1,787,125 | |||||
| Electronics (1.5%) | |||||
| 400 | Amkor Technology, Inc., Global Senior Notes | ||||
| (Callable 05/15/10 @ $101.29) | (B+, B2) | 05/15/13 | 7.750 | 401,500 | |
| 700 | Freescale Semiconductor, Inc., Company | ||||
| Guaranteed Notes (Callable 12/15/11 @ $105.06) | (CCC, Caa3) | 12/15/16 | 10.125 | 469,000 | |
| 175 | Jabil Circuit, Inc., Global Senior Unsecured | ||||
| Notes | (BB+, Ba1) | 03/15/18 | 8.250 | 178,500 | |
| 150 | Sanmina-SCI Corp., Company Guaranteed Notes | ||||
| (Callable 03/01/11 @ $104.06) | (CCC, B3) | 03/01/16 | 8.125 | 141,000 | |
| 675 | Sanmina-SCI Corp., Global Company Guaranteed Notes | ||||
| (Callable 03/01/10 @ $101.69) | (CCC, B3) | 03/01/13 | 6.750 | 644,625 | |
| 800 | Viasystems, Inc., Global Company Guaranteed Notes | ||||
| (Callable 01/15/10 @ $100.00) | (B+, Caa1) | 01/15/11 | 10.500 | 793,000 | |
| 2,627,625 | |||||
| Energy - Exploration & Production (5.2%) | |||||
| 475 | Berry Petroleum Co., Senior Subordinated Notes | ||||
| (Callable 11/01/11 @ $104.13) | (B, B3) | 11/01/16 | 8.250 | 458,375 | |
| 600 | Chesapeake Energy Corp., Company Guaranteed Notes | (BB, Ba3) | 07/15/13 | 7.625 | 599,250 |
| 175 | Chesapeake Energy Corp., Company Guaranteed Notes | (BB, Ba3) | 12/15/18 | 7.250 | 166,250 |
| 1,175 | Chesapeake Energy Corp., Global Company Guaranteed | ||||
| Notes (Callable 01/15/10 @ $102.29) | (BB, Ba3) | 01/15/16 | 6.875 | 1,119,187 | |
| 425 | Denbury Resources, Inc., Company Guaranteed | ||||
| Notes (Callable 03/01/13 @ $104.88) | (BB, B1) | 03/01/16 | 9.750 | 453,688 | |
| 850 | Encore Acquisition Co., Company Guaranteed Notes (Callable | ||||
| 12/01/10 @ $103.63) | (B, B1) | 12/01/17 | 7.250 | 794,750 | |
| 300 | Forest Oil Corp., Global Company Guaranteed Notes | ||||
| (Callable 06/15/12 @ $103.63) | (BB-, B1) | 06/15/19 | 7.250 | 282,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105951\09-31912-6\task3759483\31912-6-bi-01.htm',USER='105951',CD='Oct 22 15:39 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. | |||||
| CORPORATE BONDS | |||||
| Energy | |||||
| - Exploration & Production | |||||
| $ 600 | Hilcorp Energy I, Rule 144A, Senior Unsecured | ||||
| Notes (Callable 06/01/11 @ $104.50) | (BB-, B3) | 06/01/16 | 9.000 | $ 598,500 | |
| 550 | Mariner Energy, Inc., Company Guaranteed | ||||
| Notes (Callable 05/15/12 @ $104.00) | (B+, B3) | 05/15/17 | 8.000 | 506,000 | |
| 425 | Penn Virginia Corp., Senior Notes (Callable | ||||
| 06/15/13 @ $105.19) | (BB-, B2) | 06/15/16 | 10.375 | 461,125 | |
| 925 | PetroHawk Energy Corp., Global Company Guaranteed | ||||
| Notes (Callable 06/01/12 @ $103.94) | (B, B3) | 06/01/15 | 7.875 | 915,750 | |
| 275 | Pioneer Natural Resources Co., Senior Unsecured | ||||
| Notes | (BB+, Ba1) | 03/15/17 | 6.650 | 263,072 | |
| 625 | Plains Exploration & Production Co., | ||||
| Company Guaranteed Notes (Callable 06/15/11 @ $103.88) | (BB, B1) | 06/15/15 | 7.750 | 623,438 | |
| 350 | Range Resources Corp., Company Guaranteed Notes | ||||
| (Callable 10/01/12 @ $103.75) | (BB, Ba3) | 10/01/17 | 7.500 | 350,000 | |
| 550 | Stone Energy Corp., Global Senior Unsecured Notes | ||||
| (Callable 12/15/09 @ $103.38) | (B, Caa1) | 12/15/14 | 6.750 | 420,750 | |
| 525 | Swift Energy Co, Company Guaranteed Notes | ||||
| (Callable 06/01/12 @ $103.56) | (BB-, B3) | 06/01/17 | 7.125 | 459,375 | |
| 450 | Whiting Petroleum Corp., Global Company Guaranteed | ||||
| Notes | (BB, B1) | 02/01/14 | 7.000 | 446,625 | |
| 8,918,135 | |||||
| Environmental (0.8%) | |||||
| 325 | Casella Waste Systems, Inc., Rule 144A, | ||||
| Senior Secured Notes (Callable 07/15/12 @ $105.50) | (B+, B2) | 07/15/14 | 11.000 | 342,875 | |
| 1,000 | Waste Services, Inc., Global Senior | ||||
| Subordinated Notes (Callable 04/15/10 @ $103.17) | (B-, Caa1) | 04/15/14 | 9.500 | 1,000,000 | |
| 1,342,875 | |||||
| Food & Drug Retailers (0.9%) | |||||
| 350 | Ingles Markets, Inc., Global Senior Unsecured | ||||
| Notes (Callable 05/15/13 @ $104.44) | (BB-, B1) | 05/15/17 | 8.875 | 360,500 | |
| 425 | Rite Aid Corp., Global Company Guaranteed Notes | ||||
| (Callable 06/15/11 @ $104.69) | (CCC, Caa3) | 12/15/15 | 9.375 | 347,438 | |
| 425 | Rite Aid Corp., Rule 144A, Senior Secured | ||||
| Notes (Callable Notes 06/12/13 @ $104.88) | (B+, B3) | 06/12/16 | 9.750 | 461,125 | |
| 50 | Stater Brothers Holdings, Inc., Global | ||||
| Company Guaranteed Notes (Callable 04/15/11 @ $103.88) | (B+, B2) | 04/15/15 | 7.750 | 48,750 | |
| 325 | Stater Brothers Holdings, Inc., Global | ||||
| Company Guaranteed Notes (Callable 06/15/10 @ $100.00) | (B+, B2) | 06/15/12 | 8.125 | 328,250 | |
| 1,546,063 | |||||
| Food - Wholesale (0.4%) | |||||
| 250 | Chiquita Brands International, Inc., Global | ||||
| Senior Unsecured Notes (Callable 11/01/09 @ $103.75) | (B, Caa2) | 11/01/14 | 7.500 | 250,000 | |
| 75 | Dole Food Co., Inc., Global Company | ||||
| Guaranteed Notes | (CCC+, Caa1) | 03/15/11 | 8.875 | 75,469 | |
| 375 | Smithfield Foods, Inc., Rule 144A, | ||||
| Senior Secured Notes | (B+, Ba3) | 07/15/14 | 10.000 | 395,625 | |
| 721,094 | |||||
| Forestry & Paper (2.5%) | |||||
| 313 | Boise Cascade LLC, Global Company Guaranteed Notes | ||||
| (Callable 10/15/09 @ $103.56) | (B+, Caa1) | 10/15/14 | 7.125 | 250,400 | |
| 475 | Georgia-Pacific Corp., Debentures | (B+, B2) | 06/15/15 | 7.700 | 482,125 |
| 200 | Georgia-Pacific Corp., Rule 144A, Company | ||||
| Guaranteed Notes (Callable 01/15/12 @ $103.56) | (BB-, Ba3) | 01/15/17 | 7.125 | 196,500 | |
| 450 | Georgia-Pacific LLC Rule 144A, Company | ||||
| Guaranteed Notes (Callable 05/01/13 @ $104.13) | (BB-, Ba3) | 05/01/16 | 8.250 | 469,125 | |
| 375 | Newark Group, Inc., Global Senior Unsecured | ||||
| Notes (Callable 03/15/10 @ $103.25)ø | (D, C) | 03/15/14 | 9.750 | 73,125 | |
| 325 | NewPage Corp., Global Company Guaranteed | ||||
| Notes (Callable 05/01/10 @ $103.00) | (CCC-, Caa3) | 05/01/13 | 12.000 | 153,563 | |
| 350 | NewPage Corp., Global Senior Secured Notes | ||||
| (Callable 05/01/10 @ $103.00) | (CCC-, Caa2) | 05/01/12 | 10.000 | 232,750 | |
| 1,175 | NewPage Corp., Rule 144A, Senior Secured | ||||
| Notes (Callable 03/31/12 @ $105.00) | (CCC+, B2) | 12/31/14 | 11.375 | 1,160,312 | |
| 1,000 | Smurfit-Stone Container Enterprises, Inc., | ||||
| Global Senior Unsecured Notes (Callable 07/01/10 @ $100.00)ø | (D, NR) | 07/01/12 | 8.375 | 718,750 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105951\09-31912-6\task3759483\31912-6-bi-01.htm',USER='105951',CD='Oct 22 15:39 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. | |||||
| CORPORATE BONDS | |||||
| Forestry & | |||||
| Paper | |||||
| $ 75 | Verso Paper Holdings | ||||
| LLC, Series B, Global Senior Secured Notes (Callable 08/01/10 @ $104.56) | (B-, B2) | 08/01/14 | 9.125 | $ 55,875 | |
| 675 | Verso Paper, Inc., | ||||
| Series B, Global Company Guaranteed Notes (Callable 08/01/11 @ $105.69) | (CCC, Caa1) | 08/01/16 | 11.375 | 426,937 | |
| 4,219,462 | |||||
| Gaming (5.3%) | |||||
| 775 | Buffalo Thunder | ||||
| Development Authority, Rule 144A, Senior Secured Notes (Callable | |||||
| 12/15/10 @ $104.69)ø | (NR, NR) | 12/15/14 | 9.375 | 141,438 | |
| 125 | Caesars Entertainment, Inc., | ||||
| Global Company Guaranteed Notes | (CCC-, Ca) | 03/15/10 | 7.875 | 125,625 | |
| 1,000 | Caesars Entertainment, Inc., | ||||
| Global Company Guaranteed Notes | (CCC-, Ca) | 05/15/11 | 8.125 | 975,000 | |
| 775 | CCM Merger, Inc., | ||||
| Rule 144A, Notes (Callable 08/01/10 @ $102.00) | (CCC+, Caa3) | 08/01/13 | 8.000 | 639,375 | |
| 140 | Choctaw Resort | ||||
| Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/11 @ | |||||
| $103.63) | (B, B2) | 11/15/19 | 7.250 | 93,100 | |
| 375 | FireKeepers | ||||
| Development Authority, Rule 144A, Senior Secured Notes (Callable | |||||
| 05/01/12 @ $110.50) | (B, B3) | 05/01/15 | 13.875 | 400,312 | |
| 375 | Fontainebleau Las | ||||
| Vegas Capital Corp., Rule 144A, Second Mortgage Notes (Callable 06/15/11 | |||||
| @ $105.13)ø | (NR, NR) | 06/15/15 | 11.000 | 12,188 | |
| 750 | Harrahs Escrow | ||||
| Corp., Rule 144A, Senior Secured | |||||
| Notes (Callable 06/01/13 @ $105.62) | (B, Caa1) | 06/01/17 | 11.250 | 774,375 | |
| 475 | Inn of the Mountain | ||||
| Gods Resort & Casino, Global Company Guaranteed Notes (Callable | |||||
| 11/15/09 @ $100.00)ø | (D, Ca) | 11/15/10 | 12.000 | 222,062 | |
| 825 | Jacobs Entertainment, Inc., | ||||
| Global Company Guaranteed Notes (Callable 06/15/10 @ $104.88) | (B-, B3) | 06/15/14 | 9.750 | 755,906 | |
| 625 | Majestic Star Casino | ||||
| Capital Corp., Senior Secured Notes (Callable 10/15/09 @ $100.00)ø | (D, Caa3) | 10/15/10 | 9.500 | 406,250 | |
| 850 | Mashantucket Western | ||||
| Pequot Tribe, Rule 144A, Bonds (Callable 11/15/11 @ $104.25) | (CCC, Ca) | 11/15/15 | 8.500 | 312,375 | |
| 550 | MGM Mirage, Inc., | ||||
| Company Guaranteed Notes | (CCC+, Caa2) | 04/01/16 | 6.875 | 434,500 | |
| 725 | MGM Mirage, Inc., | ||||
| Company Guaranteed Notes | (CCC+, Caa2) | 06/01/16 | 7.500 | 565,500 | |
| 150 | MGM Mirage, Inc., | ||||
| Company Guaranteed Notes | (CCC+, Caa2) | 01/15/17 | 7.625 | 117,750 | |
| 650 | MGM Mirage, Inc., | ||||
| Rule 144A, Senior Secured Notes (Callable 05/15/13 @ $105.56) | (B, B1) | 11/15/17 | 11.125 | 713,375 | |
| 1,100 | MTR Gaming Group, Inc., | ||||
| Rule 144A, Company Guaranteed Notes (Callable 07/15/11 @ $106.31) | (B, B2) | 07/15/14 | 12.625 | 1,078,000 | |
| 800 | Peninsula Gaming LLC, | ||||
| Rule 144A, Senior Unsecured Notes (Callable 08/15/13 @ $105.38) | (B, B3) | 08/15/17 | 10.750 | 808,000 | |
| 435 | Tropicana Finance | ||||
| Corp., Global Senior Subordinated Notes (Callable 12/15/10 @ $104.81)ø | (NR, NR) | 12/15/14 | 9.625 | 544 | |
| 475 | Turning Stone Resort | ||||
| Casino Enterprise, Rule 144A, Senior Unsecured Notes (Callable 09/15/10 | |||||
| @ $104.56) | (B+, B1) | 09/15/14 | 9.125 | 456,000 | |
| 9,031,675 | |||||
| Gas Distribution (2.8%) | |||||
| 600 | Amerigas Partners LP, | ||||
| Global Senior Unsecured Notes (Callable 05/20/10 @ $103.63) | (NR, Ba3) | 05/20/15 | 7.250 | 588,000 | |
| 725 | El Paso Corp., Senior | ||||
| Unsecured Notes | (BB-, Ba3) | 06/01/18 | 7.250 | 716,726 | |
| 1,150 | El Paso | ||||
| Performance-Linked Trust, Rule 144A, Senior Unsecured Notes | (NR, Ba3) | 07/15/11 | 7.750 | 1,180,505 | |
| 525 | Inergy Finance Corp., | ||||
| Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13) | (B+, B1) | 03/01/16 | 8.250 | 530,250 | |
| 200 | Inergy Finance Corp., | ||||
| Global Company Guaranteed Notes (Callable 12/15/09 @ $103.44) | (B+, B1) | 12/15/14 | 6.875 | 192,000 | |
| 350 | MarkWest Energy | ||||
| Finance Corp., Series B, Global Company Guaranteed Notes (Callable | |||||
| 04/15/13 @ $104.38) | (B+, B2) | 04/15/18 | 8.750 | 350,000 | |
| 650 | Targa Resources | ||||
| Partners Finance Corp., Global Company Guaranteed Notes (Callable 07/01/12 @ | |||||
| $104.13) | (B, B2) | 07/01/16 | 8.250 | 619,125 | |
| 650 | The Williams Cos., Inc., | ||||
| Series A, Global Senior Unsecured Notes | (BB+, Baa3) | 01/15/31 | 7.500 | 665,672 | |
| 4,842,278 | |||||
| Health Services (6.9%) | |||||
| 775 | Bausch & | ||||
| Lomb, Inc., Global Senior Unsecured Notes (Callable 11/01/11 @ $104.94) | (B, Caa1) | 11/01/15 | 9.875 | 815,687 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105728\09-31912-6\task3777080\31912-6-bi-03.htm',USER='105728',CD='Oct 31 13:33 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. | |||||
| CORPORATE BONDS | |||||
| Health | |||||
| Services | |||||
| $ 350 | Biomet, Inc., | ||||
| Global Company Guaranteed Notes (Callable 10/15/12 @ $105.00) | (B-, B3) | 10/15/17 | 10.000 | $ 374,500 | |
| 350 | Biomet, Inc., | ||||
| Global Company Guaranteed Notes (Callable 10/15/12 @ $105.81) | (B-, Caa1) | 10/15/17 | 11.625 | 383,250 | |
| 725 | Community Health | ||||
| Systems, Inc., Global Company Guaranteed Notes (Callable 07/15/11 @ | |||||
| $104.44) | (B, B3) | 07/15/15 | 8.875 | 744,937 | |
| 1,575 | HCA, Inc., | ||||
| Global Secured Notes (Callable 11/15/11 @ $104.63) | (BB-, B2) | 11/15/16 | 9.250 | 1,632,094 | |
| 475 | HCA, Inc., | ||||
| Global Senior Unsecured Notes | (B-, Caa1) | 01/15/15 | 6.375 | 425,125 | |
| 525 | HCA, Inc., Rule 144A, | ||||
| Senior Secured Notes (Callable 08/15/14 @ $103.94) | (BB, Ba3) | 02/15/20 | 7.875 | 528,281 | |
| 475 | HCA, Inc., | ||||
| Senior Unsecured Notes | (B-, Caa1) | 10/01/12 | 6.300 | 458,375 | |
| 325 | HCA, Inc., | ||||
| Senior Unsecured Notes | (B-, Caa1) | 02/15/13 | 6.250 | 312,000 | |
| 375 | HCA, Inc., | ||||
| Senior Unsecured Notes | (B-, Caa1) | 07/15/13 | 6.750 | 360,938 | |
| 625 | Healthsouth Corp., | ||||
| Global Company Guaranteed Notes (Callable 06/15/11 @ $105.38) | (CCC+, Caa1) | 06/15/16 | 10.750 | 681,250 | |
| 450 | Inverness Medical | ||||
| Innovations, Inc., Senior Subordinated Notes (Callable 05/15/13 @ | |||||
| $104.50) | (B-, B3) | 05/15/16 | 9.000 | 448,312 | |
| 400 | OMEGA Healthcare | ||||
| Investors, Inc., Global Company Guaranteed Notes (Callable 01/15/11 @ | |||||
| $103.50) | (BB+, Ba3) | 01/15/16 | 7.000 | 380,000 | |
| 225 | Rural/Metro Corp., | ||||
| Global Senior Discount Notes (Callable 03/15/10 @ $106.38)+ | (CCC+, Caa1) | 03/15/16 | 0.000 | 214,875 | |
| 250 | Service Corporation | ||||
| International, Global Senior Unsecured Notes | (BB-, B1) | 06/15/17 | 7.000 | 245,000 | |
| 150 | Service Corporation | ||||
| International, Global Senior Unsecured Notes | (BB-, B1) | 10/01/18 | 7.625 | 151,875 | |
| 550 | Stewart Enterprises, Inc., | ||||
| Global Company Guaranteed Notes (Callable 02/15/10 @ $101.56) | (BB-, Ba3) | 02/15/13 | 6.250 | 537,625 | |
| 725 | Tenet Healthcare | ||||
| Corp., Global Senior Unsecured Notes | (CCC+, Caa2) | 02/01/15 | 9.250 | 760,344 | |
| 850 | Tenet Healthcare | ||||
| Corp., Rule 144A, Senior Secured Notes (Callable 07/01/14 @ $ 104.37) | (BB-, B2) | 07/01/19 | 8.875 | 901,000 | |
| 275 | Universal Hospital | ||||
| Services, Inc., Global Senior Secured Notes (Callable 06/01/10 @ | |||||
| $101.00)# | (B+, B3) | 06/01/15 | 4.635 | 234,438 | |
| 175 | Universal Hospital | ||||
| Services, Inc., Global Senior Secured Notes (Callable 06/01/11 @ | |||||
| $104.25) | (B+, B3) | 06/01/15 | 8.500 | 172,375 | |
| 475 | Vanguard Health | ||||
| Holding Co. II LLC, Global Company Guaranteed Notes (Callable 10/01/09 @ | |||||
| $104.50) | (CCC+, Caa1) | 10/01/14 | 9.000 | 486,875 | |
| 650 | VWR Funding, Inc., | ||||
| Series B, Global Company Guaranteed Notes (Callable 07/15/11 @ $105.13) | (B-, Caa1) | 07/15/15 | 10.250 | 596,375 | |
| 11,845,531 | |||||
| Hotels (0.7%) | |||||
| 425 | Host Hotels & | ||||
| Resorts LP, Rule 144A, Senior Unsecured Notes (Callable 05/15/13 @ | |||||
| $104.50) | (BB+, Ba1) | 05/15/17 | 9.000 | 452,625 | |
| 750 | Host Hotels & | ||||
| Resorts LP, Series Q, Global Company Guaranteed Notes (Callable 06/01/11 | |||||
| @ $103.33) | (BB+, Ba1) | 06/01/16 | 6.750 | 716,250 | |
| 1,168,875 | |||||
| Household & Leisure Products (0.7%) | |||||
| 625 | ACCO Brands Corp., Rule 144A, | ||||
| Senior Secured Notes (Callable 09/15/12 @ $105.31) | (BB-, B2) | 03/15/15 | 10.625 | 656,250 | |
| 550 | ALH Finance Corp., | ||||
| Global Company Guaranteed Notes (Callable 01/15/10 @ 102.13) | (CCC+, Caa1) | 01/15/13 | 8.500 | 525,250 | |
| 1,181,500 | |||||
| lnvestments & Misc. Financial | |||||
| Services (0.2%) | |||||
| 425 | Nuveen Investments, Inc., | ||||
| Rule 144A, Senior Notes (Callable 11/15/11 @ $105.25) | (CCC, Caa3) | 11/15/15 | 10.500 | 369,750 | |
| Leisure (0.3%) | |||||
| 472 | Six Flags Operations, Inc., | ||||
| Rule 144A, Company Guaranteed Notes (Callable 07/15/13 @ $106.12)ø | (D, NR) | 07/15/16 | 12.250 | 429,520 | |
| 600 | Six Flags, Inc., | ||||
| Global Senior Unsecured Notes (Callable 06/01/10 @ $103.21)ø | (D, NR) | 06/01/14 | 9.625 | 114,000 | |
| 543,520 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105728\09-31912-6\task3777080\31912-6-bi-03.htm',USER='105728',CD='Oct 31 13:33 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. | |||||
| CORPORATE BONDS | |||||
| Machinery (0.9%) | |||||
| $ 700 | Baldor Electric Co., | ||||
| Company Guaranteed Notes (Callable 02/15/12 @ $104.31) | (B, B3) | 02/15/17 | 8.625 | $ 714,000 | |
| 500 | CPM Holdings, Inc., | ||||
| Rule 144A, Senior Secured Notes (Callable 09/01/12 @ $105.31) | (B+, B2) | 09/01/14 | 10.625 | 518,750 | |
| 250 | Terex Corp., Senior | ||||
| Subordinated Notes (Callable 11/15/12 @ $104.00) | (B, Caa1) | 11/15/17 | 8.000 | 230,625 | |
| 1,463,375 | |||||
| Media - Broadcast (1.2%) | |||||
| 475 | Allbritton | ||||
| Communications Co., Global Senior Subordinated Notes (Callable 12/15/09 @ | |||||
| $101.29) | (B-, Caa1) | 12/15/12 | 7.750 | 448,875 | |
| 515 | Barrington | ||||
| Broadcasting Capital Corp., Global Company Guaranteed Notes (Callable | |||||
| 08/15/10 @ $105.25) | (CCC-, Caa3) | 08/15/14 | 10.500 | 296,125 | |
| 775 | Clear Channel | ||||
| Communications, Inc., Senior Unsecured Notes | (CC, Ca) | 09/15/14 | 5.500 | 345,844 | |
| 46 | CMP Susquehanna | ||||
| Corp., Global Company Guranteed Notes (Callable 05/15/10 @ $104.94) | (NR, Ca) | 05/15/14 | 9.875 | 16,100 | |
| 550 | Fisher Communications, Inc., | ||||
| Global Company Guaranteed Notes (Callable 09/15/10 @ $102.88) | (B-, B2) | 09/15/14 | 8.625 | 511,500 | |
| 420 | Local TV Finance LLC, | ||||
| Rule 144A, Senior Unsecured Notes (Callable 06/15/11 @ $104.63) | (CCC, Caa3) | 06/15/15 | 9.250 | 144,900 | |
| 337 | Umbrella Acquisition, Inc., | ||||
| Rule 144A, Company Guaranteed Notes (Callable 03/15/11 @ $104.88) | (CCC, Caa2) | 03/15/15 | 9.750 | 261,020 | |
| 925 | Young Broadcasting, Inc., | ||||
| Global Company Guaranteed Notes (Callable 01/15/10 @ $102.92)ø | (D, NR) | 01/15/14 | 8.750 | 1,156 | |
| 2,025,520 | |||||
| Media - Cable (4.3%) | |||||
| 1,165 | Atlantic Broadband | ||||
| Finance LLC, Global Company Guaranteed Notes (Callable 01/15/10 @ $103.13) | (B-, Caa1) | 01/15/14 | 9.375 | 1,135,875 | |
| 1,250 | CCH I Capital Corp., | ||||
| Global Senior Secured Notes (Callable 10/01/10 @ $105.50)ø | (D, NR) | 10/01/15 | 11.000 | 237,500 | |
| 950 | CCH II Capital Corp., | ||||
| Series B, Global Senior Unsecured Notesø | (D, NR) | 09/15/10 | 10.250 | 1,068,750 | |
| 495 | Charter | ||||
| Communications Holdings Capital, Senior Unsecured Notesø | (D, NR) | 04/01/11 | 9.920 | 3,713 | |
| 325 | Charter | ||||
| Communications Operating Capital, Rule 144A, Secured Notes | (D, B1) | 04/30/12 | 10.000 | 332,312 | |
| 450 | CSC Holdings, Inc., | ||||
| Rule 144A, Senior Unsecured Notes | (BB, Ba3) | 04/15/14 | 8.500 | 474,750 | |
| 1,050 | CSC Holdings, Inc., | ||||
| Rule 144A, Senior Unsecured Notes | (BB, Ba3) | 02/15/19 | 8.625 | 1,115,625 | |
| 250 | CSC Holdings, Inc., | ||||
| Rule 144A, Senior Unsecured Notes (Callable 06/15/12 @ $104.25) | (BB, Ba3) | 06/15/15 | 8.500 | 263,750 | |
| 350 | DirecTV Financing | ||||
| Co., Global Company Guaranteed Notes (Callable 05/15/12 @ $103.81) | (BBB-, Ba2) | 05/15/16 | 7.625 | 376,250 | |
| 850 | DISH DBS Corp., | ||||
| Global Company Guaranteed Notes | (BB-, Ba3) | 10/01/14 | 6.625 | 828,750 | |
| 600 | DISH DBS Corp., | ||||
| Global Company Guaranteed Notes | (BB-, Ba3) | 05/31/15 | 7.750 | 615,000 | |
| 200 | DISH DBS Corp., Rule 144A, | ||||
| Company Guaranteed Notes | (BB-, Ba3) | 09/01/19 | 7.875 | 203,000 | |
| 475 | Mediacom Broadband | ||||
| Corp., Global Senior Unsecured Notes (Callable 10/15/10 @ $104.25) | (B-, B3) | 10/15/15 | 8.500 | 482,125 | |
| 175 | Mediacom Capital | ||||
| Corp., Rule 144A, Senior Notes (Callable 08/15/14 @ $104.56) | (B-, B3) | 08/15/19 | 9.125 | 180,687 | |
| 7,318,087 | |||||
| Media - Services (0.9%) | |||||
| 250 | Lamar Media Corp., Series C, | ||||
| Global Company Guaranteed Notes (Callable 08/15/10 @ $103.31) | (B, B2) | 08/15/15 | 6.625 | 230,000 | |
| 450 | Nielsen Finance Co., | ||||
| Global Company Guaranteed Notes (Callable 05/01/13 @ $105.75) | (B-, Caa1) | 05/01/16 | 11.500 | 474,750 | |
| 675 | WMG Acquisition | ||||
| Corp., Global Company Guaranteed Notes (Callable 04/15/10 @ $102.46) | (B, B1) | 04/15/14 | 7.375 | 649,688 | |
| 250 | WMG Acquisition | ||||
| Corp., Rule 144A, Senior Secured Notes (Callable 06/15/13 @ $104.75) | (BB, Ba2) | 06/15/16 | 9.500 | 265,000 | |
| 1,619,438 | |||||
| Metals & Mining - Excluding | |||||
| Steel (1.5%) | |||||
| 175 | Aleris International, Inc., | ||||
| Global Company Guaranteed Notes (Callable 12/15/10 @ $104.50)ø | (D, NR) | 12/15/14 | 9.000 | 193 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105728\09-31912-6\task3777080\31912-6-bi-03.htm',USER='105728',CD='Oct 31 13:33 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. | |||||
| CORPORATE BONDS | |||||
| Metals & | |||||
| Mining - Excluding Steel | |||||
| $ 675 | Aleris International, Inc., | ||||
| Global Company Guaranteed Notes (Callable 12/15/11 @ $105.00)ø | (D, NR) | 12/15/16 | 10.000 | $ 742 | |
| 600 | Freeport-McMoRan | ||||
| Copper & Gold, Inc., Senior Unsecured Notes (Callable 04/01/11 | |||||
| @ $104.13) | (BBB-, Ba2) | 04/01/15 | 8.250 | 638,954 | |
| 625 | Freeport-McMoRan | ||||
| Copper & Gold, Inc., Senior Unsecured Notes (Callable 04/01/12 | |||||
| @ $104.19) | (BBB-, Ba2) | 04/01/17 | 8.375 | 665,771 | |
| 1,089 | Noranda Aluminium Acquisition | ||||
| Corp., Global Company Guaranteed Notes (Callable 05/15/10 @ $100.00)# | (D, Caa2) | 05/15/15 | 5.413 | 772,878 | |
| 475 | Novelis, Inc., Rule 144A, | ||||
| Senior Unsecured Notes (Callable 08/15/12 @ $108.63) | (B-, Caa1) | 02/15/15 | 11.500 | 482,125 | |
| 2,560,663 | |||||
| Non-Food & Drug Retailers (2.3%) | |||||
| 525 | Asbury Automotive | ||||
| Group, Inc., Global Company Guaranteed Notes (Callable 03/15/12 @ | |||||
| $103.81) | (B-, Caa1) | 03/15/17 | 7.625 | 467,250 | |
| 825 | Brookstone Company, Inc., | ||||
| Global Secured Notes (Callable 10/15/09 @ $106.00) | (CCC-, Caa3) | 10/15/12 | 12.000 | 375,375 | |
| 300 | Michaels Stores, Inc., | ||||
| Global Company Guaranteed Notes (Callable 11/01/10 @ $105.00) | (CCC, Caa2) | 11/01/14 | 10.000 | 297,000 | |
| 500 | Michaels Stores, Inc., | ||||
| Global Company Guaranteed Notes (Callable 11/01/11 @ $105.69) | (CCC, Caa3) | 11/01/16 | 11.375 | 470,000 | |
| 400 | SGS International, Inc., | ||||
| Rule 144A, Global Senior Subordinated Notes (Callable 12/15/09 @ | |||||
| $106.00) | (B-, B3) | 12/15/13 | 12.000 | 356,000 | |
| 655 | Susser Holdings LLC, | ||||
| Global Company Guaranteed Notes (Callable 12/15/09 @ $105.31) | (B+, B3) | 12/15/13 | 10.625 | 679,562 | |
| 1,000 | The Neiman Marcus | ||||
| Group, Inc., Global Company Guaranteed Notes (Callable 10/15/10 @ | |||||
| $105.19) | (CCC+, Caa3) | 10/15/15 | 10.375 | 860,000 | |
| 400 | Yankee Acquisition | ||||
| Corp., Series B, Global Company Guaranteed Notes (Callable 02/15/11 @ | |||||
| $104.25) | (B-, B3) | 02/15/15 | 8.500 | 378,000 | |
| 3,883,187 | |||||
| Oil Field Equipment & Services (1.4%) | |||||
| 525 | Bristow Group, Inc., | ||||
| Global Company Guaranteed Notes (Callable 09/15/12 @ $103.75) | (BB, Ba2) | 09/15/17 | 7.500 | 501,375 | |
| 525 | Helix Energy | ||||
| Solutions Group, Inc., Rule 144A, Company Guaranteed Notes | |||||
| (Callable 01/15/12 @ $104.75) | (B+, B3) | 01/15/16 | 9.500 | 527,625 | |
| 250 | Hornbeck Offshore | ||||
| Services, Inc., Rule 144A, Senior Notes (Callable 09/01/13 @ | |||||
| $104.00) | (BB-, Ba3) | 09/01/17 | 8.000 | 247,500 | |
| 350 | Hornbeck Offshore | ||||
| Services, Inc., Series B, Global Company Guaranteed Notes (Callable | |||||
| 12/01/09 @ $103.06) | (BB-, Ba3) | 12/01/14 | 6.125 | 326,375 | |
| 300 | Key Energy Services, Inc., | ||||
| Global Company Guaranteed Notes (Callable 12/01/11 @ $104.19) | (BB-, B1) | 12/01/14 | 8.375 | 286,500 | |
| 400 | Pride International, Inc., | ||||
| Senior Unsecured Notes | (BBB-, Ba1) | 06/15/19 | 8.500 | 442,000 | |
| 2,331,375 | |||||
| Oil Refining & Marketing (0.4%) | |||||
| 700 | Western Refining, Inc., | ||||
| Rule 144A, Senior Secured Notes (Callable 12/15/11 @ $105.00)# | (BB-, B3) | 06/15/14 | 10.750 | 668,500 | |
| Packaging (1.5%) | |||||
| 575 | Berry Plastics Corp., | ||||
| Global Company Guaranteed Notes (Callable 03/01/11 @ $105.13) | (CCC, Caa2) | 03/01/16 | 10.250 | 491,625 | |
| 565 | Berry Plastics Corp., | ||||
| Global Secured Notes (Callable 09/15/10 @ $104.44) | (CCC+, Caa1) | 09/15/14 | 8.875 | 540,988 | |
| 225 | Crown Cork & | ||||
| Seal Co., Inc., Senior Unsecured Notes (Callable 04/15/10 @ $101.14) | (B+, B2) | 04/15/23 | 8.000 | 214,875 | |
| 825 | GPC Capital Corp. I, | ||||
| Global Company Guaranteed Notes (Callable 10/15/09 @ $104.94) | (CCC+, Caa1) | 10/15/14 | 9.875 | 851,812 | |
| 25 | Graham Packaging | ||||
| Company, Inc., Global Company Guaranteed Notes (Callable 10/15/09 @ | |||||
| $102.13) | (CCC+, Caa1) | 10/15/12 | 8.500 | 25,375 | |
| 533 | Pliant Corp., Global | ||||
| Senior Secured Notesø | (D, NR) | 06/15/09 | 11.625 | 461,671 | |
| 2,586,346 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105728\09-31912-6\task3777080\31912-6-bi-03.htm',USER='105728',CD='Oct 31 13:33 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. | |||||
| CORPORATE BONDS | |||||
| Printing & | |||||
| Publishing (1.2%) | |||||
| $ 875 | Cengage Learning | ||||
| Acquisitions, Inc., Rule 144A, Senior Notes (Callable 07/15/11 @ | |||||
| $105.25) | (CCC+, Caa2) | 01/15/15 | 10.500 | $ 831,250 | |
| 500 | Cenveo Corp., Global | ||||
| Senior Subordinated Notes (Callable 12/01/09 @ $102.63) | (B-, Caa1) | 12/01/13 | 7.875 | 403,750 | |
| 250 | Gannett Co., Inc., | ||||
| Rule 144A, Company Guaranteed Notes | (BB, Baa3) | 11/15/14 | 8.750 | 246,163 | |
| 1,125 | Idearc, Inc., | ||||
| Global Company Guaranteed Notes (Callable 11/15/11 @ $104.00)ø | (D, NR) | 11/15/16 | 8.000 | 56,250 | |
| 2,000 | Premier Graphics, Inc., | ||||
| Company Guaranteed Notesø^ | (NR, NR) | 12/01/05 | 11.500 | 0 | |
| 1,215 | The Readers Digest | ||||
| Association, Inc., Global Company Guaranteed Notes (Callable 02/15/12 @ | |||||
| $104.50)ø | (D, NR) | 02/15/17 | 9.000 | 24,300 | |
| 525 | Valassis | ||||
| Communications, Inc., Global Company Guaranteed Notes (Callable 03/01/11 | |||||
| @ $104.13) | (CCC+, B3) | 03/01/15 | 8.250 | 473,156 | |
| 2,034,869 | |||||
| Railroads (0.3%) | |||||
| 500 | Kansas City Southern | ||||
| Railway, Company Guaranteed Notes (Callable 06/01/12 @ $104.00) | (B+, B2) | 06/01/15 | 8.000 | 512,500 | |
| Restaurants (0.3%) | |||||
| 475 | Dennys Holdings, Inc., | ||||
| Global Company Guaranteed Notes (Callable 10/01/09 @ $102.50) | (B-, Caa1) | 10/01/12 | 10.000 | 482,125 | |
| Software/Services (2.2%) | |||||
| 900 | First Data Corp., | ||||
| Global Company Guaranteed Notes (Callable 09/30/11 @ $104.94) | (B-, Caa1) | 09/24/15 | 9.875 | 835,875 | |
| 950 | SunGard Data Systems, Inc., | ||||
| Global Company Guaranteed Notes (Callable 08/15/10 @ $105.13) | (B-, Caa1) | 08/15/15 | 10.250 | 973,750 | |
| 475 | Unisys Corp., Rule 144A, | ||||
| Senior Secured Notes (Callable 10/15/12 @ $106.38) | (BB-, Ba3) | 10/15/14 | 12.750 | 505,875 | |
| 700 | Unisys Corp., Senior | ||||
| Unsecured Notes (Callable 01/15/12 @ $106.25) | (B, Caa1) | 01/15/16 | 12.500 | 609,000 | |
| 950 | Vangent, Inc., | ||||
| Global Company Guaranteed Notes (Callable 02/15/11 @ $104.81) | (B-, Caa1) | 02/15/15 | 9.625 | 889,438 | |
| 3,813,938 | |||||
| Steel Producers/Products (1.4%) | |||||
| 575 | AK Steel Corp., | ||||
| Global Company Guaranteed Notes (Callable 06/15/10 @ $100.00) | (BB-, Ba3) | 06/15/12 | 7.750 | 580,031 | |
| 350 | RathGibson, Inc., | ||||
| Global Company Guaranteed Notes (Callable 02/15/10 @ $105.63)ø | (NR, NR) | 02/15/14 | 11.250 | 131,250 | |
| 800 | Ryerson, Inc., | ||||
| Global Senior Secured Notes (Callable 11/01/11 @ $106.00) | (CCC+, Caa1) | 11/01/15 | 12.000 | 764,000 | |
| 550 | Steel Dynamics, Inc., | ||||
| Rule 144A, Senior Unsecured Notes (Callable 04/15/12 @ $103.88) | (BB+, Ba2) | 04/15/16 | 8.250 | 555,500 | |
| 475 | Tube City IMS Corp., | ||||
| Global Company Guaranteed Notes (Callable 02/01/11 @ $104.88) | (B-, Caa1) | 02/01/15 | 9.750 | 387,125 | |
| 2,417,906 | |||||
| Support-Services (3.9%) | |||||
| 200 | ARAMARK Corp., Global | ||||
| Company Guaranteed Notes (Callable 02/01/10 @ $101.00)# | (B, B3) | 02/01/15 | 3.983 | 174,500 | |
| 225 | ARAMARK Corp., Global | ||||
| Company Guaranteed Notes (Callable 02/01/11 @ $104.25) | (B, B3) | 02/01/15 | 8.500 | 228,094 | |
| 750 | Ashtead Capital, Inc., | ||||
| Rule 144A, Secured Notes (Callable 08/15/11 @ $104.50) | (B, B2) | 08/15/16 | 9.000 | 723,750 | |
| 550 | Dyncorp | ||||
| International, Series B, Global Senior Subordinated Notes (Callable | |||||
| 02/15/10 @ $102.38) | (B+, B1) | 02/15/13 | 9.500 | 563,750 | |
| 325 | Hertz Corp., Global | ||||
| Company Guaranteed Notes (Callable 01/01/10 @ $104.44) | (CCC+, B2) | 01/01/14 | 8.875 | 329,875 | |
| 400 | Hertz Corp., Global | ||||
| Company Guaranteed Notes (Callable 01/01/11 @ $105.25) | (CCC+, B3) | 01/01/16 | 10.500 | 418,000 | |
| 125 | Iron Mountain, Inc., | ||||
| Company Guaranteed Notes (Callable 06/15/13 @ $104.00) | (B+, B2) | 06/15/20 | 8.000 | 126,250 | |
| 175 | Iron Mountain, Inc., | ||||
| Senior Subordinated Notes (Callable 08/15/14 @ $104.19) | (B+, B2) | 08/15/21 | 8.375 | 181,125 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105808\09-31912-6\task3759763\31912-6-bi-05.htm',USER='105808',CD='Oct 22 19:54 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. | |||||
| CORPORATE BONDS | |||||
| Support-Services | |||||
| $ 850 | JohnsonDiversey | ||||
| Holdings, Inc., Series B, Global Discount Notes (Callable 05/15/10 @ $100.00) | (CCC+, Caa1) | 05/15/13 | 10.670 | $ 820,250 | |
| 650 | Mobile Services Group, Inc., | ||||
| Global Company Guaranteed Notes (Callable 08/01/10 @ $104.88) | (B+, B2) | 08/01/14 | 9.750 | 664,625 | |
| 525 | Rental Service Corp., | ||||
| Global Company Guaranteed Notes (Callable 12/01/10 @ $104.75) | (B-, Caa2) | 12/01/14 | 9.500 | 509,250 | |
| 325 | Sothebys, Global Company | ||||
| Guaranteed Notes | (B, B1) | 06/15/15 | 7.750 | 279,500 | |
| 175 | Travelport LLC, | ||||
| Global Company Guaranteed Notes (Callable 09/01/10 @ $104.94) | (CCC-, B3) | 09/01/14 | 9.875 | 170,187 | |
| 775 | Travelport LLC, | ||||
| Global Company Guaranteed Notes (Callable 09/01/11 @ $105.94) | (CC, Caa1) | 09/01/16 | 11.875 | 713,000 | |
| 625 | United Rentals North | ||||
| America, Inc., Rule 144A, Company Guaranteed Notes (Callable | |||||
| 06/15/13 @ $105.44) | (B, B2) | 06/15/16 | 10.875 | 671,875 | |
| 6,574,031 | |||||
| Telecom - Integrated/Services (5.3%) | |||||
| 275 | Cincinnati Bell, Inc., | ||||
| Global Company Guaranteed Notes (Callable 02/15/10 @ $103.50) | (B+, Ba3) | 02/15/15 | 7.000 | 268,125 | |
| 375 | Cincinnati Bell, Inc., | ||||
| Global Senior Subordinated Notes (Callable 01/15/10 @ $102.79) | (B-, B2) | 01/15/14 | 8.375 | 378,750 | |
| 1,200 | Frontier | ||||
| Communications Corp., Global Senior Unsecured Notes | (BB, Ba2) | 03/15/15 | 6.625 | 1,152,000 | |
| 475 | Frontier | ||||
| Communications Corp., Senior Unsecured Notes | (BB, Ba2) | 10/01/18 | 8.125 | 480,344 | |
| 700 | Hughes Network | ||||
| Systems LLC, Global Company Guaranteed Notes (Callable 04/15/10 @ $104.75) | (B, B1) | 04/15/14 | 9.500 | 707,000 | |
| 1,675 | Intelsat Corp., | ||||
| Global Senior Unsecured Notes (Callable 08/15/10 @ $103.13) | (BB-, B3) | 08/15/14 | 9.250 | 1,725,250 | |
| 850 | Level 3 Financing, Inc., | ||||
| Global Company Guaranteed Notes (Callable 02/15/10 @ $101.00)# | (CCC, Caa1) | 02/15/15 | 4.601 | 612,000 | |
| 300 | Level 3 Financing, Inc., | ||||
| Global Company Guaranteed Notes (Callable 03/15/10 @ $106.13) | (CCC, Caa1) | 03/15/13 | 12.250 | 304,500 | |
| 950 | Paetec Holding Corp., | ||||
| Series WI, Global Company Guaranteed Notes (Callable 07/15/11 @ $104.75) | (CCC+, Caa1) | 07/15/15 | 9.500 | 866,875 | |
| 300 | Qwest Communications | ||||
| International, Inc., Rule 144A, Company Guaranteed Notes (Callable | |||||
| 10/01/12 @ $104.00) | (B+, Ba3) | 10/01/15 | 8.000 | 301,125 | |
| 1,300 | Qwest Communications | ||||
| International, Inc., Series B, Global Company Guaranteed Notes | |||||
| (Callable 02/15/10 @ $102.50) | (B+, Ba3) | 02/15/14 | 7.500 | 1,290,250 | |
| 675 | Windstream Corp., | ||||
| Global Company Guaranteed Notes (Callable 08/01/11 @ $104.31) | (BB, Ba3) | 08/01/16 | 8.625 | 693,562 | |
| 300 | Windstream Corp., Rule 144A, | ||||
| Company Guaranteed Notes | (BB, Ba3) | 11/01/17 | 7.875 | 295,593 | |
| 9,075,374 | |||||
| Telecom - Wireless (3.5%) | |||||
| 375 | Centennial | ||||
| Communications Corp., Global Company Guaranteed Notes (Callable 06/15/10 @ | |||||
| $101.69) | (B, B2) | 06/15/13 | 10.125 | 388,125 | |
| 675 | Cricket | ||||
| Communications, Inc., Global Company Guaranteed Notes (Callable 11/01/10 | |||||
| @ $104.69) | (B-, B3) | 11/01/14 | 9.375 | 688,500 | |
| 200 | Cricket Communications, Inc., | ||||
| Rule 144A, Senior Secured Notes (Callable 05/15/12 @ $105.81) | (B+, Ba2) | 05/15/16 | 7.750 | 204,000 | |
| 175 | Crown Castle | ||||
| International Corp., Senior Unsecured Notes (Callable 01/15/13 @ $105.62) | (B+, B2) | 01/15/15 | 9.000 | 184,187 | |
| 640 | MetroPCS Wireless, Inc., | ||||
| Global Company Guaranteed Notes (Callable 11/01/10 @ $104.63) | (B, B3) | 11/01/14 | 9.250 | 657,600 | |
| 2,325 | Nextel Communications, Inc., | ||||
| Series F, Company Guaranteed Notes (Callable 03/15/10 @ $101.49) | (BB, Ba2) | 03/15/14 | 5.950 | 2,069,250 | |
| 1,950 | Sprint Nextel Corp., | ||||
| Senior Unsecured Notes | (BB, Ba2) | 12/01/16 | 6.000 | 1,750,125 | |
| 5,941,787 | |||||
| Textiles & Apparel (0.3%) | |||||
| 500 | Levi Strauss & | ||||
| Co., Global Senior Notes (Callable 01/15/10 @ $104.88) | (B+, B2) | 01/15/15 | 9.750 | 522,500 | |
| Theaters & Entertainment (0.8%) | |||||
| 625 | AMC Entertainment, Inc., | ||||
| Global Senior Subordinated Notes (Callable 03/01/10 @ $102.67) | (CCC+, Caa1) | 03/01/14 | 8.000 | 606,250 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105808\09-31912-6\task3759763\31912-6-bi-05.htm',USER='105808',CD='Oct 22 19:54 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. | |||||
| CORPORATE BONDS | |||||
| Theaters & | |||||
| Entertainment | |||||
| $ 675 | AMC Entertainment, Inc., | ||||
| Global Senior Unsecured Notes (Callable 06/01/14 @ $104.38) | (B-, B1) | 06/01/19 | 8.750 | $ 700,313 | |
| 1,306,563 | |||||
| Tobacco (0.3%) | |||||
| 450 | Alliance One | ||||
| International, Inc., Rule 144A, Senior Unsecured Notes (Callable | |||||
| 07/15/13 @ $105.00) | (B+, B2) | 07/15/16 | 10.000 | 466,875 | |
| TOTAL U.S. CORPORATE BONDS (Cost $160,663,978) | 149,296,134 | ||||
| FOREIGN | |||||
| CORPORATE BONDS (9.1%) | |||||
| Aerospace & | |||||
| Defense (0.3%) | |||||
| 500 | Bombardier, Inc., | ||||
| Rule 144A, Senior Unsecured Notes (Canada) | (BB+, | ||||
| Ba2) | 05/01/14 | 6.300 | 485,000 | ||
| Chemicals (0.9%) | |||||
| 1,125 | Cognis GmbH, Rule 144A, | ||||
| Senior Secured Notes (Callable 11/15/09 @ $100.00) (Germany)# | (B-, | ||||
| B2) | 09/15/13 | 2.299 | 950,625 | ||
| 1,125 | Ineos Group Holdings | ||||
| PLC, Rule 144A, Secured Notes (Callable 02/15/11 @ $104.25) (United | |||||
| Kingdom) | (CCC-, | ||||
| Caa3) | 02/15/16 | 8.500 | 540,000 | ||
| 1,490,625 | |||||
| Computer | |||||
| Hardware (0.2%) | |||||
| 325 | Seagate Technology | ||||
| International, Rule 144A, Secured Notes (Callable 05/01/13 @ $105.00) | |||||
| (Cayman Islands) | (BB+, | ||||
| Ba1) | 05/01/14 | 10.000 | 356,688 | ||
| Electronics (0.5%) | |||||
| 600 | Avago Technologies | ||||
| Finance, Global Company Guaranteed Notes (Callable 12/01/10 @ $105.94) | |||||
| (Singapore) | (B+, | ||||
| B2) | 12/01/15 | 11.875 | 657,000 | ||
| 94 | NXP Funding LLC, Rule 144A, | ||||
| Senior Secured Notes (Netherlands) | (B-, | ||||
| NR) | 07/15/13 | 10.000 | 97,035 | ||
| 75 | NXP Funding LLC, Series EXCH, | ||||
| Global Senior Secured Notes (Callable 10/15/10 @ $103.94) (Netherlands) | (CC, | ||||
| C) | 10/15/14 | 7.875 | 59,250 | ||
| 813,285 | |||||
| Energy | |||||
| - Exploration & Production (0.2%) | |||||
| 550 | OPTI Canada, Inc., | ||||
| Global Senior Secured Notes (Callable 12/15/10 @ $104.13) (Canada) | (B, | ||||
| Caa1) | 12/15/14 | 8.250 | 429,000 | ||
| Forestry & | |||||
| Paper (0.5%) | |||||
| 1,450 | Abitibi-Consolidated | ||||
| Co. of Canada, Global Company Guaranteed Notes (Canada)ø | (D, | ||||
| NR) | 06/15/11 | 7.750 | 268,250 | ||
| 750 | Smurfit Kappa Funding | ||||
| PLC, Global Senior Subordinated Notes (Callable 01/31/10 @ $103.88) (Ireland) | (B, | ||||
| B2) | 04/01/15 | 7.750 | 663,750 | ||
| 932,000 | |||||
| Gaming (0.6%) | |||||
| 400 | Codere Finance | ||||
| Luxembourg SA, Rule 144A, Senior Secured Notes (Callable 06/15/10 @ | |||||
| $104.13) (Luxembourg) | (B, | ||||
| B2) | 06/15/15 | 8.250 | 532,059 | ||
| 350 | Peermont Global | ||||
| Proprietary, Ltd., Rule 144A, Senior Secured Notes (Callable 04/30/10 @ | |||||
| $105.81) (South Africa) | (B, | ||||
| B3) | 04/30/14 | 7.750 | 439,971 | ||
| 972,030 | |||||
| Media | |||||
| - Cable (0.8%) | |||||
| 400 | Unitymedia GmbH, Rule 144A, | ||||
| Senior Secured Notes (Callable 02/15/10 @ $105.06) (Germany) | (B+, | ||||
| B2) | 02/15/15 | 10.125 | 622,684 | ||
| 350 | Virgin Media Finance | ||||
| PLC, Global Company Guaranteed Notes (Callable 04/15/10 @ $103.25) (United Kingdom) | (B, | ||||
| B2) | 04/15/14 | 9.750 | 587,761 | ||
| 150 | Virgin Media Finance | ||||
| PLC, Global Company Guaranteed Notes (Callable 08/15/11 @ $104.56) (United | |||||
| Kingdom) | (B, | ||||
| B2) | 08/15/16 | 9.125 | 154,875 | ||
| 1,365,320 | |||||
| Media | |||||
| - Diversified (0.5%) | |||||
| 775 | Quebecor Media, Inc., | ||||
| Global Senior Unsecured Notes (Callable 03/15/11 @ $103.88) (Canada) | (B, | ||||
| B2) | 03/15/16 | 7.750 | 771,125 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105808\09-31912-6\task3759763\31912-6-bi-05.htm',USER='105808',CD='Oct 22 19:54 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| FOREIGN | |||||
| CORPORATE BONDS | |||||
| Metals & | |||||
| Mining - Excluding Steel (1.0%) | |||||
| $ 425 | Teck Resources, Ltd., | ||||
| Global Senior Secured Notes (Canada) | (BB+, | ||||
| Ba2) | 05/15/14 | 9.750 | $ 469,625 | ||
| 225 | Teck Resources, Ltd., | ||||
| Global Senior Secured Notes (Callable 05/15/13 @ $105.13) (Canada) | (BB+, | ||||
| Ba2) | 05/15/16 | 10.250 | 255,375 | ||
| 850 | Teck Resources, Ltd., | ||||
| Global Senior Secured Notes (Callable 05/15/14 @ $105.38) (Canada) | (BB+, | ||||
| Ba2) | 05/15/19 | 10.750 | 992,375 | ||
| 1,717,375 | |||||
| Oil | |||||
| Field Equipment & Services (0.3%) | |||||
| 475 | Cie Generale de | ||||
| Geophysique-Veritas, Global Company Guaranteed Notes (Callable 05/15/10 @ | |||||
| $103.75) (France) | (BB, | ||||
| Ba3) | 05/15/15 | 7.500 | 475,000 | ||
| Oil | |||||
| Refining & Marketing (0.2%) | |||||
| 400 | Petroplus Finance, | ||||
| Ltd., Rule 144A, Senior Notes (Callable 09/15/15 @ $104.69) (Bermuda) | (BB-, | ||||
| B1) | 09/15/19 | 9.375 | 396,000 | ||
| Packaging (0.2%) | |||||
| 175 | Impress Holdings BV, Rule 144A, | ||||
| Company Guaranteed Notes (Callable 09/15/10 @ $104.63) (Netherlands) | (B-, | ||||
| B3) | 09/15/14 | 9.250 | 266,029 | ||
| Pharmaceuticals (0.5%) | |||||
| 500 | Elan Corp. PLC, Rule 144A, | ||||
| Company Guaranteed Notes (Callable 10/15/12 @ $108.75) (Ireland) | (B, | ||||
| B2) | 10/15/16 | 8.750 | 493,550 | ||
| 325 | Elan Finance Corp., | ||||
| Global Company Guaranteed Notes (Callable 12/01/10 @ $104.44) (Ireland) | (B, | ||||
| B2) | 12/01/13 | 8.875 | 329,063 | ||
| 822,613 | |||||
| Telecom | |||||
| - Integrated/Services (0.8%) | |||||
| 924 | Global Crossing UK | ||||
| Finance, Global Company Guaranteed Notes (Callable 12/15/09 @ $105.38) | |||||
| (United Kingdom) | (B-, | ||||
| B3) | 12/15/14 | 10.750 | 877,800 | ||
| 350 | Hellas | ||||
| Telecommunications II SCA, Rule 144A, Subordinated Notes (Callable | |||||
| 01/15/10 @ $100.00) (Luxembourg)# | (C, | ||||
| Ca) | 01/15/15 | 6.259 | 56,000 | ||
| 375 | Intelsat Subsidiary | ||||
| Holding Co., Ltd., Global Company Guaranteed Notes (Callable 01/15/10 @ | |||||
| $104.44) (Bermuda) | (BB-, | ||||
| B3) | 01/15/15 | 8.875 | 383,438 | ||
| 1,317,238 | |||||
| Telecom | |||||
| - Wireless (0.3%) | |||||
| 350 | Wind Acquisition | ||||
| Finance SA, Rule 144A, Senior Notes (Callable 07/15/13 @ $105.88) | |||||
| (Luxembourg) | (BB-, | ||||
| B2) | 07/15/17 | 11.750 | 569,175 | ||
| Telecommunications | |||||
| Equipment (0.1%) | |||||
| 400 | Nortel Networks, | ||||
| Ltd., Global Company Guaranteed Notes (Callable 07/15/11 @ $105.38) (Canada)ø | (NR, | ||||
| NR) | 07/15/16 | 10.750 | 232,000 | ||
| Textiles & | |||||
| Apparel (0.0%) | |||||
| 150 | IT Holding Finance | ||||
| SA, Rule 144A, Company Guaranteed Notes (Luxembourg)ø | (NR, | ||||
| NR) | 11/15/12 | 9.875 | 37,273 | ||
| Transportation | |||||
| - Excluding Air/Rail (1.2%) | |||||
| 1,150 | Navios Maritime | ||||
| Holdings, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ | |||||
| $104.75) (Marshall Islands) | (B+, | ||||
| B3) | 12/15/14 | 9.500 | 1,092,500 | ||
| 975 | Ship Finance | ||||
| International, Ltd., Global Company Guaranteed Notes (Callable 12/15/09 @ | |||||
| $102.83) (Bermuda) | (B+, | ||||
| B1) | 12/15/13 | 8.500 | 934,781 | ||
| 2,027,281 | |||||
| TOTAL | |||||
| FOREIGN CORPORATE BONDS (Cost $16,345,512) | 15,475,057 | ||||
| BANK | |||||
| LOANS (1.2%) | |||||
| Electronics (0.4%) | |||||
| 925 | AVAYA, Inc. | (NR, | |||
| NR) | 10/24/14 | 3.137 | 749,250 | ||
| Energy | |||||
| - Exploration & Production (0.3%) | |||||
| 574 | ATP Oil & | ||||
| Gas | (NR, | ||||
| NR) | 07/15/14 | 5.750 | 529,379 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105808\09-31912-6\task3759763\31912-6-bi-05.htm',USER='105808',CD='Oct 22 19:54 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| BANK LOANS | |||||
| Gaming (0.3%) | |||||
| $ 496 | CCM | ||||
| Merger, Inc. | (NR, NR) | 07/21/12 | 8.500 | $ 467,833 | |
| Pharmaceuticals (0.2%) | |||||
| 437 | Nycomed | ||||
| Holdings Aps | (NR, NR) | 12/29/13 | 7.350 | 402,711 | |
| TOTAL BANK LOANS (Cost | |||||
| $1,793,038) | 2,149,173 | ||||
| Number of Shares | |||||
| COMMON STOCKS (0.1%) | |||||
| Automobile Parts & Equipment (0.0%) | |||||
| 1,219 | Safelite | ||||
| Realty Corp.*^ | 13,775 | ||||
| Chemicals (0.0%) | |||||
| 4,893 | Huntsman | ||||
| Corp. | 44,575 | ||||
| Commercial | |||||
| Services & Supplies (0.1%) | |||||
| 10,652 | |||||
| Well, Inc., Rule 144A* | 73,712 | ||||
| Hotels, Restaurants & Leisure (0.0%) | |||||
| 1,500 | Progressive | ||||
| Gaming International Corp.* | 30 | ||||
| Media (0.0%) | |||||
| 7,500 | Adelphia | ||||
| (Escrow Holding)*^ | 0 | ||||
| 750,000 | Adelphia | ||||
| Recovery Trust*^ | 0 | ||||
| 0 | |||||
| TOTAL COMMON STOCKS (Cost | |||||
| $933,494) | 132,092 | ||||
| PREFERRED STOCKS (0.1%) | |||||
| Banks (0.1%) | |||||
| 299 | Preferred Blocker, Inc., Rule 144A (Callable | ||||
| 12/31/11 @ $1,000) | 173,897 | ||||
| Media (0.0%) | |||||
| 10,727 | CMP | ||||
| Susquehanna Radio Holdings Corp., Series A* | 5,363 | ||||
| TOTAL PREFERRED STOCKS (Cost | |||||
| $62,588) | 179,260 | ||||
| WARRANTS (0.0%) | |||||
| Diversified Financial Services (0.0%) | |||||
| 12,259 | CNB Capital Trust I, Rule 144A, expires | ||||
| 03/23/19* (Cost $0) | 6,130 | ||||
| Par (000) | |||||
| SHORT-TERM INVESTMENT (1.0%) | |||||
| $ 1,754 | State Street Bank and Trust Co. Euro Time Deposit | ||||
| (Cost $1,754,000) | 10/01/09 | 0.010 | 1,754,000 | ||
| TOTAL INVESTMENTS AT VALUE (99.0%) | |||||
| (Cost $181,552,610) | 168,991,846 | ||||
| OTHER ASSETS IN EXCESS OF LIABILITIES (1.0%) | 1,698,086 | ||||
| NET ASSETS (100.0%) | $ 170,689,932 |
| Forward Foreign Currency to be Purchased (Local) | Forward Foreign Currency to be Sold (Local) | Expiration Date | Value on Settlement Date | Current Value | Unrealized Appreciation/ (Depreciation) | |||||
|---|---|---|---|---|---|---|---|---|---|---|
| Open Forward Foreign | ||||||||||
| Currency Contracts | ||||||||||
| USD | 2,434,868 | EUR | 1,745,000 | 10/16/09 | $ (2,434,868 | ) | $ (2,550,642 | ) | $ (115,774 | ) |
| USD | 393,010 | EUR | 276,000 | 10/16/09 | (393,010 | ) | (403,425 | ) | (10,415 | ) |
| USD | 569,768 | GBP | 350,000 | 10/16/09 | (569,768 | ) | (559,739 | ) | 10,029 | |
| Total | $ (116,160 | ) |
SEQ.=1,FOLIO='',FILE='C:\JMS\105728\09-31912-6\task3777080\31912-6-bi-07.htm',USER='105728',CD='Oct 31 13:44 2009'
*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, 2009, these
securities amounted to a value of $37,718,368 or 22.1% of net assets. |
| + | Step
Bond The interest rate is as of September 30, 2009 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. |
| # | Variable
rate obligations The interest rate is the rate as of September 30,
2009. |
Currency Abbreviations:
EUR = Euro Currency
GBP = British Pound
USD = United States Dollar
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 (FASB) 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.
| · | 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, 2009 in valuing the Funds investments carried at value:
SEQ.=1,FOLIO='',FILE='C:\JMS\105728\09-31912-6\task3777080\31912-6-bi-07.htm',USER='105728',CD='Oct 31 13:44 2009'
| Level 1 | Level 2 | Level 3 | Total | |
|---|---|---|---|---|
| Investments | ||||
| in Securities | ||||
| U.S. | ||||
| Corporate Bonds | ||||
| Aerospace & | ||||
| Defense | $ | $ 1,749,375 | $ | $ 1,749,375 |
| Agriculture | | 625,781 | | 625,781 |
| Auto | ||||
| Loans | | 3,748,765 | | 3,748,765 |
| Auto | ||||
| Parts & Equipment | | 3,562,573 | | 3,562,573 |
| Banks | | 4,826,900 | | 4,826,900 |
| Beverages | | 760,688 | | 760,688 |
| Brokerage | | 278,775 | | 278,775 |
| Building & | ||||
| Construction | | 2,478,925 | | 2,478,925 |
| Building | ||||
| Materials | | 2,974,688 | | 2,974,688 |
| Chemicals | | 4,368,625 | | 4,368,625 |
| Computer | ||||
| Hardware | | 450,000 | | 450,000 |
| Consumer | ||||
| Products | | 2,052,913 | | 2,052,913 |
| Diversified | ||||
| Capital Goods | | 5,144,242 | | 5,144,242 |
| Electric | ||||
| - Generation | | 8,523,417 | | 8,523,417 |
| Electric | ||||
| - Integrated | | 1,787,125 | | 1,787,125 |
| Electronics | | 2,627,625 | | 2,627,625 |
| Energy | ||||
| - Exploration & Production | | 8,918,135 | | 8,918,135 |
| Environmental | | 1,342,875 | | 1,342,875 |
| Food & | ||||
| Drug Retailers | | 1,546,063 | | 1,546,063 |
| Food | ||||
| - Wholesale | | 721,094 | | 721,094 |
| Forestry & | ||||
| Paper | | 4,219,462 | | 4,219,462 |
| Gaming | | 9,031,675 | | 9,031,675 |
| Gas | ||||
| Distribution | | 4,842,278 | | 4,842,278 |
| Health | ||||
| Services | | 11,845,531 | | 11,845,531 |
| Hotels | | 1,168,875 | | 1,168,875 |
| Household & | ||||
| Leisure Products | | 1,181,500 | | 1,181,500 |
| Investments & | ||||
| Misc. Financial Services | | 369,750 | | 369,750 |
| Leisure | | 543,520 | | 543,520 |
| Machinery | | 1,463,375 | | 1,463,375 |
| Media | ||||
| - Broadcast | | 2,025,520 | | 2,025,520 |
| Media | ||||
| - Cable | | 7,318,087 | | 7,318,087 |
| Media | ||||
| - Services | | 1,619,438 | | 1,619,438 |
| Metals & | ||||
| Mining - Excluding Steel | | 2,560,663 | | 2,560,663 |
| Non-Food & | ||||
| Drug Retailers | | 3,883,187 | | 3,883,187 |
| Oil | ||||
| Field Equipment & Services | | 2,331,375 | | 2,331,375 |
| Oil | ||||
| Refining & Marketing | | 668,500 | | 668,500 |
| Packaging | | 2,586,346 | | 2,586,346 |
| Printing & | ||||
| Publishing | | 2,034,869 | | 2,034,869 |
| Railroads | | 512,500 | | 512,500 |
| Restaurants | | 482,125 | | 482,125 |
| Software/Services | | 3,813,938 | | 3,813,938 |
| Steel | ||||
| Producers/Products | | 2,417,906 | | 2,417,906 |
| Support-Services | | 6,574,031 | | 6,574,031 |
| Telecom | ||||
| - Integrated/Services | | 9,075,374 | | 9,075,374 |
| Telecom | ||||
| - Wireless | | 5,941,787 | | 5,941,787 |
| Textiles & | ||||
| Apparel | | 522,500 | | 522,500 |
| Theaters & | ||||
| Entertainment | | 1,306,563 | | 1,306,563 |
| Tobacco | | 466,875 | | 466,875 |
| Foreign | ||||
| Corporate Bonds | ||||
| Aerospace & | ||||
| Defense | | 485,000 | | 485,000 |
| Chemicals | | 1,490,625 | | 1,490,625 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105728\09-31912-6\task3777080\31912-6-bi-07.htm',USER='105728',CD='Oct 31 13:44 2009'
| Computer
Hardware | | | 356,688 | | 356,688 | |
| --- | --- | --- | --- | --- | --- | --- |
| Electronics | | | 813,285 | | 813,285 | |
| Energy
- Exploration & Production | | | 429,000 | | 429,000 | |
| Forestry &
Paper | | | 932,000 | | 932,000 | |
| Gaming | | | 972,030 | | 972,030 | |
| Media
- Cable | | | 1,365,320 | | 1,365,320 | |
| Media
- Diversified | | | 771,125 | | 771,125 | |
| Metals &
Mining - Excluding Steel | | | 1,717,375 | | 1,717,375 | |
| Oil
Field Equipment & Services | | | 475,000 | | 475,000 | |
| Oil
Refining & Marketing | | | 396,000 | | 396,000 | |
| Packaging | | | 266,029 | | 266,029 | |
| Pharmaceuticals | | | 822,613 | | 822,613 | |
| Telecom
- Integrated/Services | | | 1,317,238 | | 1,317,238 | |
| Telecom
- Wireless | | | 569,175 | | 569,175 | |
| Telecommunications
Equipment | | | 232,000 | | 232,000 | |
| Textiles &
Apparel | | | 37,273 | | 37,273 | |
| Transportation
- Excluding Air/Rail | | | 2,027,281 | | 2,027,281 | |
| Bank
Loans | | | | | | |
| Electronics | | | 749,250 | | 749,250 | |
| Energy
- Exploration & Production | | | 529,379 | | 529,379 | |
| Gaming | | | 467,833 | | 467,833 | |
| Pharmaceuticals | | | 402,711 | | 402,711 | |
| Common
Stocks | | | | | | |
| Automobile
Parts & Equipment | | | | 13,775 | 13,775 | |
| Chemicals | 44,575 | | | | 44,575 | |
| Commercial
Services & Supplies | 73,712 | | | | 73,712 | |
| Hotels,
Restaurants & Leisure | 30 | | | | 30 | |
| Media | | | | | 0 | |
| Preferred
Stocks | | | | | | |
| Banks | 173,897 | | | | 173,897 | |
| Media | | | 5,363 | | 5,363 | |
| Warrants | | | | | | |
| Diversified
Financial Services | | | 6,130 | | 6,130 | |
| Short-Term
Investments | | | 1,754,000 | | 1,754,000 | |
| Other
Financial Instruments* | | | | | | |
| Forward
Foreign Currency Contracts | (116,160 | ) | | | (116,160 | ) |
| | $ 176,054 | | $ 168,685,857 | $ 13,775 | $ 168,875,686 | |
*Other financial instruments include futures, forwards and swap contracts.
SEQ.=1,FOLIO='',FILE='C:\JMS\105728\09-31912-6\task3777080\31912-6-bi-07.htm',USER='105728',CD='Oct 31 13:44 2009'
As of September 30, 2009, the amounts shown by the Fund as being Level 3 securities that were measured at fair value amounted to 0.01% of net assets.
Federal Income Tax Cost At September 30, 2009, 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 $181,552,610, $8,674,533, $(21,235,297) and $(12,560,764), 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\105728\09-31912-6\task3777080\31912-6-bi-07.htm',USER='105728',CD='Oct 31 13:44 2009'
*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\kgiri\09-31912-6\task3791637\31912-6-ga.htm',USER='105348',CD='Nov 7 14:00 2009'
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 10, 2009 |
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 10, 2009 |
| /s/Michael A. Pignataro | |
| Name: | Michael A. Pignataro |
| Title: | Chief Financial Officer |
| Date: | November 10, 2009 |
SEQ.=1,FOLIO='',FILE='C:\JMS\kgiri\09-31912-6\task3791637\31912-6-jc.htm',USER='105348',CD='Nov 7 14:15 2009'
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