Regulatory Filings • May 15, 2009
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*UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549*
*FORM N-Q*
*QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY*
| Investment
Company Act file number | |
| --- | --- |
| CREDIT
SUISSE ASSET MANAGEMENT INCOME FUND, INC. | |
| (Exact name of registrant as specified in charter) | |
| c/o Credit Suisse Asset Management, LLC Eleven Madison Avenue New York, New York | 10010 |
| (Address of principal executive offices) | (Zip code) |
| J. Kevin Gao, Esq. Eleven Madison Avenue New York, New York 10010 | |
| (Name and address of agent for service) | |
| Registrants
telephone number, including area code: | (212)
325-2000 |
| Date of
fiscal year end: | December
31st |
| Date of
reporting period: | January 1,
2009 to March 31, 2009 |
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Item 1: Schedule of Investments
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*Credit Suisse Asset Management Income Fund, Inc.*
*Schedule of Investments*
March 31, 2009 (unaudited)
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS (84.6%) | |||||
| Aerospace & Defense (0.9%) | |||||
| $ 800 | BE Aerospace, Inc., Senior Unsecured | ||||
| Notes (Callable 07/01/13 @ $104.25) | (BB+, Ba3) | 07/01/18 | 8.500 | $ 669,000 | |
| 1,200 | Hawker Beechcraft Acquisition Co., Global | ||||
| Company Guaranteed Notes (Callable 04/01/11 @ $104.25) | (B-, Caa1) | 04/01/15 | 8.500 | 312,000 | |
| 375 | Hawker Beechcraft Acquisition Co., Global | ||||
| Company Guaranteed Notes (Callable 04/01/11 @ $104.44) | (B-, Caa1) | 04/01/15 | 8.875 | 44,063 | |
| 825 | Hawker Beechcraft Acquisition Co., Global | ||||
| Company Guaranteed Notes (Callable 04/01/12 @ $104.88) | (B-, Caa2) | 04/01/17 | 9.750 | 144,375 | |
| 1,169,438 | |||||
| Agriculture (0.3%) | |||||
| 500 | Southern States Cooperative, Inc., | ||||
| Rule 144A, Senior Notes (Callable 11/01/09 @ $100.00) | (B-, B3) | 11/01/10 | 11.000 | 447,500 | |
| Auto | |||||
| Loans (2.1%) | |||||
| 750 | Ford Motor Credit Co. LLC, Global Senior | ||||
| Unsecured Notes | (CCC+, Caa1) | 06/15/10 | 7.875 | 619,964 | |
| 1,725 | Ford Motor Credit Co. LLC, Global Senior | ||||
| Unsecured Notes | (CCC+, Caa1) | 10/01/13 | 7.000 | 1,154,442 | |
| 425 | Ford Motor Credit Co. LLC, Senior Unsecured | ||||
| Notes | (CCC+, Caa1) | 08/10/11 | 9.875 | 321,866 | |
| 850 | Ford Motor Credit Co. LLC, Senior Unsecured | ||||
| Notes | (CCC+, Caa1) | 12/15/16 | 8.000 | 559,348 | |
| 2,655,620 | |||||
| Auto | |||||
| Parts & Equipment (2.0%) | |||||
| 675 | Altra Industrial Motion, Inc., Global | ||||
| Senior Secured Notes (Callable 12/01/09 @ $102.25) | (B+, B1) | 12/01/11 | 9.000 | 634,500 | |
| 500 | American Axle & | ||||
| Manufacturing, Inc., Company Guaranteed Notes (Callable 03/01/12 @ | |||||
| $103.94) | (CCC-, Caa2) | 03/01/17 | 7.875 | 107,500 | |
| 800 | American Tire Distributors Holdings, Inc., | ||||
| Global Senior Notes (Callable 04/01/09 @ $105.38) | (CCC+, Caa1) | 04/01/13 | 10.750 | 568,000 | |
| 485 | Lear Corp., Series B, Global Company | ||||
| Guaranteed Notes (Callable 12/01/10 @ $104.25) | (CCC, Caa2) | 12/01/13 | 8.500 | 111,550 | |
| 800 | Stanadyne Corp., Series 1, Global Senior | ||||
| Subordinated Notes (Callable 08/15/09 @ $105.00) | (B-, B3) | 08/15/14 | 10.000 | 520,000 | |
| 375 | Tenneco, Inc., Global Company Guaranteed | ||||
| Notes (Callable 11/15/09 @ $104.31) | (CCC, Caa2) | 11/15/14 | 8.625 | 71,250 | |
| 737 | The Goodyear Tire & Rubber Co., | ||||
| Global Company Guaranteed Notes (Callable 07/01/10 @ $104.50) | (B+, B1) | 07/01/15 | 9.000 | 571,175 | |
| 127 | Visteon Corp., Global Senior Unsecured Notes | (CCC-, C) | 08/01/10 | 8.250 | 6,985 |
| 329 | Visteon Corp., Rule 144A, Senior | ||||
| Unsecured Notes (Callable 12/31/13 @ $105.00) | (CCC-, Ca) | 12/31/16 | 12.250 | 18,095 | |
| 2,609,055 | |||||
| Automotive (0.6%) | |||||
| 1,260 | Ford Motor Co., Global Senior Unsecured Notes | (C, Ca) | 07/16/31 | 7.450 | 406,350 |
| 600 | General Motors Corp., Global Senior Unsecured | ||||
| Notes | (C, C) | 01/15/11 | 7.200 | 99,000 | |
| 1,750 | General Motors Corp., Senior Unsecured Notes | (C, C) | 07/15/13 | 7.125 | 258,125 |
| 50 | General Motors Corp., Senior Unsecured Notes | (C, C) | 07/15/33 | 8.375 | 6,250 |
| 769,725 | |||||
| Banks (2.0%) | |||||
| 2,073 | GMAC LLC, Rule 144A, Company Guaranteed | ||||
| Notes | (CCC, C) | 03/02/11 | 7.250 | 1,535,533 | |
| 474 | GMAC LLC, Rule 144A, Company Guaranteed | ||||
| Notes | (CCC, C) | 04/01/11 | 6.000 | 336,938 | |
| 47 | GMAC LLC, Rule 144A, Company Guaranteed | ||||
| Notes | (CCC, NR) | 12/15/11 | 6.000 | 32,016 | |
| 65 | GMAC LLC, Rule 144A, Company Guaranteed | ||||
| Notes | (CCC, C) | 12/31/13 | 7.500 | 31,270 | |
| 933 | GMAC LLC, Rule 144A, Company Guaranteed | ||||
| Notes | (CCC, C) | 12/01/14 | 6.750 | 542,754 | |
| 78 | GMAC LLC, Rule 144A, Subordinated Notes | (CC, C) | 12/31/18 | 8.000 | 22,666 |
| 2,501,177 | |||||
| Beverages (0.6%) | |||||
| 225 | Constellation Brands, Inc., Company | ||||
| Guaranteed Notes | (BB-, Ba3) | 12/15/14 | 8.375 | 227,250 | |
| 525 | Constellation Brands, Inc., Company | ||||
| Guaranteed Notes | (BB-, Ba3) | 09/01/16 | 7.250 | 501,375 | |
| 728,625 |
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| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Brokerage (0.1%) | |||||
| $ 175 | E*TRADE Financial Corp., Global Senior Notes | ||||
| (Callable 06/15/09 @ $102.00) | (B, B2) | 06/15/11 | 8.000 | $ 75,250 | |
| 315 | E*TRADE Financial Corp., Senior Unsecured | ||||
| Notes (Callable 12/01/10 @ $103.94) | (B, B2) | 12/01/15 | 7.875 | 117,338 | |
| 192,588 | |||||
| Building & Construction (0.6%) | |||||
| 468 | Ashton Woods Finance Co., Rule 144A, | ||||
| Senior Subordinated Notes (Callable 02/24/14 @ $105.50)+ | (NR, NR) | 06/30/15 | 0.000 | 152,100 | |
| 150 | D.R. Horton, Inc., Company Guaranteed | ||||
| Notes | (BB-, Ba3) | 05/01/13 | 6.875 | 126,750 | |
| 500 | K Hovnanian Enterprises, Inc., Global | ||||
| Company Guaranteed Notes | (CC, C) | 01/15/16 | 6.250 | 137,500 | |
| 625 | Standard Pacific Corp., Global Company | ||||
| Guaranteed Notes | (CCC-, Caa1) | 08/15/15 | 7.000 | 303,125 | |
| 350 | William Lyon Homes, Inc., Global Company | ||||
| Guaranteed (Callable 12/15/09 @ $101.91) | (CCC-, Caa3) | 12/15/12 | 7.625 | 61,250 | |
| 250 | William Lyon Homes, Inc., Global Company | ||||
| Guaranteed Notes (Callable 02/15/10 @ $102.50) | (CCC-, Caa3) | 02/15/14 | 7.500 | 43,750 | |
| 824,475 | |||||
| Building Materials (2.5%) | |||||
| 425 | Anixter, Inc. Company Guaranteed Notes | (BB+, Ba2) | 03/15/14 | 10.000 | 396,312 |
| 750 | Associated Materials, Inc., Global Senior | ||||
| Discount Notes (Callable 05/21/09 @ $105.62)+ | (CCC, Caa2) | 03/01/14 | 11.250 | 228,750 | |
| 575 | Building Materials Corp. of America, Global | ||||
| Secured Notes (Callable 08/01/09 @ $103.88) | (B+, B3) | 08/01/14 | 7.750 | 398,187 | |
| 725 | Coleman Cable, Inc., Global Company | ||||
| Guaranteed Notes (Callable 10/01/09 @ $102.47) | (B+, B3) | 10/01/12 | 9.875 | 416,875 | |
| 750 | CPG International I, Inc., Global Company | ||||
| Guaranteed Notes (Callable 07/01/09 @ $105.25) | (B, B3) | 07/01/13 | 10.500 | 356,250 | |
| 300 | Dayton Superior Corp., Company Guaranteed | ||||
| Notes | (CC, Caa3) | 06/15/09 | 13.000 | 209,250 | |
| 375 | General Cable Corp., Global Company Guaranteed | ||||
| Notes (Callable 04/01/09 @ $101.00)# | (B+, B1) | 04/01/15 | 3.580 | 267,188 | |
| 325 | Norcraft Finance Corp., Global Company | ||||
| Guaranteed Notes (Callable 11/01/09 @ $100.00) | (B+, B1) | 11/01/11 | 9.000 | 277,875 | |
| 250 | Norcraft Holdings, Global Senior Discount | ||||
| Notes (Callable 09/01/09 @ $102.44) | (CCC+, Caa1) | 09/01/12 | 9.750 | 198,750 | |
| 475 | Nortek, Inc., Global Senior Subordinated | ||||
| Notes (Callable 09/01/09 @ $104.25) | (CCC, Caa1) | 09/01/14 | 8.500 | 49,875 | |
| 750 | NTK Holdings, Inc., Global Senior | ||||
| Discount Notes (Callable 09/01/09 @ $105.38) | (CCC, Ca) | 03/01/14 | 10.750 | 48,750 | |
| 375 | Ply Gem Industries, Inc., Global Company | ||||
| Guaranteed Notes (Callable 02/15/10 @ $100.00) | (D, Caa2) | 02/15/12 | 9.000 | 94,688 | |
| 500 | Ply Gem Industries, Inc., Global Senior | ||||
| Secured Notes (Callable 04/01/11 @ $105.88) | (B-, B2) | 06/15/13 | 11.750 | 225,000 | |
| 3,167,750 | |||||
| Chemicals (2.6%) | |||||
| 925 | Chemtura Corp., Company Guaranteed Notesø | (D, B3) | 06/01/16 | 6.875 | 420,875 |
| 650 | Koppers Holdings, Inc., Global Senior | ||||
| Discount Notes (Callable 11/15/09 @ $104.94)+ | (B-, B2) | 11/15/14 | 0.000 | 533,000 | |
| 725 | Momentive Performance Materials, Inc., | ||||
| Global Company Guaranteed Notes (Callable 12/01/10 @ $104.88) | (CCC, Caa2) | 12/01/14 | 9.750 | 217,500 | |
| 625 | Momentive Performance Materials, Inc., | ||||
| Global Company Guaranteed Notes (Callable 12/01/11 @ $105.75) | (CC, Caa3) | 12/01/16 | 11.500 | 120,313 | |
| 175 | Nalco Co., Global Company Guaranteed Notes | ||||
| (Callable 11/15/09 @ $103.00) | (B, B3) | 11/15/13 | 9.000 | 206,789 | |
| 800 | Nalco Finance Holdings, Inc., Global | ||||
| Senior Discounted Notes (Callable 02/01/10 @ $103.00) | (B, B3) | 02/01/14 | 9.000 | 724,000 | |
| 750 | PolyOne Corp., Senior Unsecured Notes | (B-, B1) | 05/01/12 | 8.875 | 330,000 |
| 750 | Reichhold Industries, Inc., | ||||
| Rule 144A, Senior Notes (Callable 08/15/10 @ $104.50) | (B-, B3) | 08/15/14 | 9.000 | 318,750 | |
| 475 | Terra Capital, Inc., Series B, | ||||
| Global Company Guaranteed Notes (Callable 02/01/12 @ $103.50) | (BB, B1) | 02/01/17 | 7.000 | 439,375 | |
| 3,310,602 | |||||
| Computer Hardware (0.4%) | |||||
| 500 | Activant Solutions, Inc., Global Company | ||||
| Guaranteed Notes (Callable 05/01/11 @ $104.75) | (CCC+, Caa1) | 05/01/16 | 9.500 | 308,750 |
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| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Computer Hardware | |||||
| $ 225 | Affiliated Computer Services, Inc., | ||||
| Senior Unsecured Notes | (BB, Ba2) | 06/01/15 | 5.200 | $ 186,188 | |
| 494,938 | |||||
| Consumer | |||||
| Products (1.6%) | |||||
| 650 | AAC Group Holding Corp., Rule 144A, | ||||
| Senior Unsecured Notes (Callable 10/01/09 @ $102.56) | (CCC-, Caa3) | 10/01/12 | 10.250 | 370,500 | |
| 1,025 | Amscan Holdings, Inc., Global Senior Subordinated | ||||
| Notes (Callable 05/01/09 @ $104.38) | (CCC+, Caa1) | 05/01/14 | 8.750 | 671,375 | |
| 550 | Jarden Corp., Company Guaranteed Notes | ||||
| (Callable 05/01/12 @ $103.75) | (B, B3) | 05/01/17 | 7.500 | 445,500 | |
| 594 | Prestige Brands, Inc., Global Senior | ||||
| Subordinated Notes (Callable 04/15/09 @ $102.31) | (B-, B3) | 04/15/12 | 9.250 | 570,240 | |
| 2,057,615 | |||||
| Diversified Capital Goods (1.8%) | |||||
| 575 | Esco Corp., Rule 144A, Company Guaranteed | ||||
| Notes (Callable 12/15/09 @ $101.00)# | (B, B2) | 12/15/13 | 5.195 | 365,125 | |
| 850 | RBS Global & Rexnord Corp., Global | ||||
| Company Guaranteed Notes (Callable 08/01/10 @ $104.75) | (B-, B3) | 08/01/14 | 9.500 | 692,750 | |
| 450 | Sensus Metering Systems, Inc., Global | ||||
| Senior Subordinated Notes (Callable 12/15/09 @ $102.87) | (B-, B3) | 12/15/13 | 8.625 | 379,125 | |
| 625 | Titan International, Inc., Global Company | ||||
| Guaranteed Notes | (B-, Caa1) | 01/15/12 | 8.000 | 490,625 | |
| 694 | TriMas Corp., Global Company Guaranteed Notes | ||||
| (Callable 06/15/09 @ $101.65) | (B-, Caa1) | 06/15/12 | 9.875 | 343,530 | |
| 2,271,155 | |||||
| Electric - Generation (6.9%) | |||||
| 825 | Dynegy Holdings, Inc., Global Senior | ||||
| Unsecured Notes | (B, B2) | 06/01/15 | 7.500 | 567,188 | |
| 1,025 | Dynegy Holdings, Inc., Global Senior | ||||
| Unsecured Notes | (B, B2) | 05/01/16 | 8.375 | 699,562 | |
| 800 | Edison Mission Energy, Global Senior Unsecured | ||||
| Notes | (BB-, B1) | 05/15/17 | 7.000 | 588,000 | |
| 1,050 | Edison Mission Energy, Global Senior Unsecured | ||||
| Notes | (BB-, B1) | 05/15/19 | 7.200 | 735,000 | |
| 1,200 | Mirant Americas Generation LLC, Senior | ||||
| Unsecured Notes | (B-, B3) | 10/01/21 | 8.500 | 894,000 | |
| 268 | Mirant Mid Atlantic LLC, Series B, Global | ||||
| Pass Thru Certificates | (BB, Ba1) | 06/30/17 | 9.125 | 248,231 | |
| 200 | NRG Energy, Inc., Company Guaranteed | ||||
| Notes (Callable 01/15/12 @ $103.69) | (B, B1) | 01/15/17 | 7.375 | 186,500 | |
| 425 | NRG Energy, Inc., Company Guaranteed | ||||
| Notes (Callable 02/01/11 @ $103.69) | (B, B1) | 02/01/16 | 7.375 | 396,313 | |
| 550 | Reliant Energy, Inc., Senior Unsecured | ||||
| Notes | (B+, B1) | 06/15/14 | 7.625 | 448,250 | |
| 3,450 | Texas Competitive Electric Holdings Co., LLC, | ||||
| Series A, Global Company Guaranteed Notes (Callable 11/01/11 @ $105.13) | (CCC, Caa1) | 11/01/15 | 10.250 | 1,742,250 | |
| 1,300 | Texas Competitive Electric Holdings Co., LLC, | ||||
| Series B, Global Company Guaranteed Notes (Callable 11/01/11 @ $105.13) | (CCC, Caa1) | 11/01/15 | 10.250 | 656,500 | |
| 1,150 | The AES Corp., Global Senior Unsecured Notes | (BB-, B1) | 10/15/17 | 8.000 | 991,875 |
| 200 | The AES Corp., Rule 144A, Senior | ||||
| Unsecured Notes | (BB-, B1) | 04/15/16 | 9.750 | 189,000 | |
| 550 | The AES Corp., Senior Unsecured Notes | (BB-, B1) | 03/01/14 | 7.750 | 495,000 |
| 8,837,669 | |||||
| Electronics (1.6%) | |||||
| 900 | Amkor Technology, Inc., Global Senior | ||||
| Notes (Callable 05/15/09 @ $102.58) | (B+, B2) | 05/15/13 | 7.750 | 727,875 | |
| 104 | Ampex Corp., Rule 144A, Secured Notes^ | (NR, NR) | 09/30/09 | 12.000 | 84,541 |
| 50 | Freescale Semiconductor, Inc., Company | ||||
| Guaranteed Notes (Callable 12/15/10 @ $104.44) | (CCC, Caa2) | 12/15/14 | 8.875 | 10,750 | |
| 1,425 | Freescale Semiconductor, Inc., Company | ||||
| Guaranteed Notes (Callable 12/15/11 @ $105.06) | (CCC, Caa3) | 12/15/16 | 10.125 | 263,625 | |
| 175 | Jabil Circuit, Inc., Global Senior | ||||
| Unsecured Notes | (BB+, Ba1) | 03/15/18 | 8.250 | 131,250 | |
| 675 | Sanmina-SCI Corp., Global Company Guaranteed | ||||
| Notes (Callable 03/01/10 @ $101.69) | (CCC, B3) | 03/01/13 | 6.750 | 266,625 | |
| 150 | Sanmina-SCI Corp., Senior Subordinated Notes | ||||
| (Callable 03/01/11 @ $104.06) | (CCC, B3) | 03/01/16 | 8.125 | 53,250 | |
| 775 | Viasystems, Inc., Global Senior Unsecured | ||||
| Notes (Callable 01/15/10 @ $100.00) | (B+, Caa1) | 01/15/11 | 10.500 | 503,750 | |
| 2,041,666 | |||||
| Energy | |||||
| - Exploration & Production (5.6%) | |||||
| 750 | Berry Petroleum Co., Senior Subordinated Notes | ||||
| (Callable 11/01/11 @ $104.13) | (B, B3) | 11/01/16 | 8.250 | 416,250 | |
| 600 | Chesapeake Energy Corp., Company Guaranteed | ||||
| Notes | (BB, Ba3) | 07/15/13 | 7.625 | 555,000 |
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| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Energy - Exploration & | |||||
| Production | |||||
| $ 325 | Chesapeake | ||||
| Energy Corp., Company Guaranteed Notes | (BB, Ba3) | 12/15/18 | 7.250 | $ 268,531 | |
| 1,175 | Chesapeake | ||||
| Energy Corp., Global Company Guaranteed Notes (Callable 01/15/10 @ $102.29) | (BB, Ba3) | 01/15/16 | 6.875 | 992,875 | |
| 425 | Denbury | ||||
| Resources, Inc., Company Guaranteed Notes (Callable 03/01/13 @ $104.88) | (BB, B1) | 03/01/16 | 9.750 | 412,250 | |
| 650 | Encore | ||||
| Acquisition Co., Company Guaranteed Notes (Callable 12/01/10 @ $103.63) | (B, B1) | 12/01/17 | 7.250 | 483,438 | |
| 300 | Forest | ||||
| Oil Corp., Rule 144A, Company Guaranteed Notes (Callable 06/15/12 @ | |||||
| $103.63) | (BB-, B1) | 06/15/19 | 7.250 | 238,500 | |
| 600 | Hilcorp | ||||
| Energy I, Rule 144A, Senior Unsecured Notes (Callable 06/01/11 @ | |||||
| $104.50) | (BB-, B3) | 06/01/16 | 9.000 | 447,000 | |
| 550 | Mariner | ||||
| Energy, Inc., Company Guaranteed Notes (Callable 05/15/12 @ $104.00) | (B+, B3) | 05/15/17 | 8.000 | 365,750 | |
| 925 | PetroHawk | ||||
| Energy Corp., Rule 144A, Company Guaranteed Notes (Callable 06/01/12 @ | |||||
| $103.94) | (B, B3) | 06/01/15 | 7.875 | 818,625 | |
| 325 | Pioneer | ||||
| Natural Resources Co., Senior Unsecured Notes | (BB+, Ba1) | 03/15/17 | 6.650 | 248,166 | |
| 925 | Plains | ||||
| Exploration & Production Co., Company Guaranteed Notes (Callable | |||||
| 06/15/11 @ $103.88) | (BB, B1) | 06/15/15 | 7.750 | 800,125 | |
| 600 | Range | ||||
| Resources Corp., Company Guaranteed Notes (Callable 10/01/12 @ $103.75) | (BB, Ba3) | 10/01/17 | 7.500 | 549,000 | |
| 550 | Stone | ||||
| Energy Corp., Global Senior Unsecured Notes (Callable 12/15/09 @ $103.38) | (B, Caa1) | 12/15/14 | 6.750 | 220,000 | |
| 525 | Swift | ||||
| Energy Co, Company Guaranteed Notes (Callable 06/01/12 @ $103.56) | (B+, B3) | 06/01/17 | 7.125 | 307,125 | |
| 7,122,635 | |||||
| Environmental (1.3%) | |||||
| 975 | Allied | ||||
| Waste North America, Inc., Global Senior Secured Notes (Callable | |||||
| 03/15/10 @ $103.63) | (BBB, Baa3) | 03/15/15 | 7.250 | 922,460 | |
| 1,000 | Waste | ||||
| Services, Inc., Global Senior Subordinated Notes (Callable 04/15/09 @ | |||||
| $104.75) | (B-, Caa1) | 04/15/14 | 9.500 | 757,500 | |
| 1,679,960 | |||||
| Food & Drug Retailers (0.8%) | |||||
| 1,200 | Duane | ||||
| Reade, Inc., Global Company Guaranteed Notes (Callable 08/01/09 @ | |||||
| $102.44) | (CCC-, Caa3) | 08/01/11 | 9.750 | 690,000 | |
| 50 | Stater | ||||
| Brothers Holdings, Inc., Global Company Guaranteed Notes (Callable | |||||
| 04/15/11 @ $103.88) | (B+, B2) | 04/15/15 | 7.750 | 48,250 | |
| 325 | Stater | ||||
| Brothers Holdings, Inc., Global Company Guaranteed Notes (Callable | |||||
| 06/15/09 @ $102.03) | (B+, B2) | 06/15/12 | 8.125 | 321,750 | |
| 1,060,000 | |||||
| Food - Wholesale (0.5%) | |||||
| 75 | Dole | ||||
| Food Co., Inc., Global Company Guaranteed Notes | (B-, Caa2) | 03/15/11 | 8.875 | 64,313 | |
| 900 | Smithfield | ||||
| Foods, Inc., Senior Unsecured Notes | (B, B3) | 07/01/17 | 7.750 | 562,500 | |
| 626,813 | |||||
| Forestry & Paper (2.2%) | |||||
| 313 | Boise | ||||
| Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/09 @ $103.56) | (B+, B2) | 10/15/14 | 7.125 | 129,895 | |
| 1,075 | Cellu | ||||
| Tissue Holdings, Inc., Global Secured Notes | (B, B2) | 03/15/10 | 9.750 | 951,375 | |
| 600 | Georgia-Pacific | ||||
| Corp., Debentures | (B+, B2) | 06/15/15 | 7.700 | 546,000 | |
| 200 | Georgia-Pacific | ||||
| Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ | |||||
| $103.56) | (BB-, Ba3) | 01/15/17 | 7.125 | 186,000 | |
| 525 | Graphic | ||||
| Packaging International Corp., Global Senior Subordinated Notes (Callable | |||||
| 08/15/09 @ $103.17) | (B-, B3) | 08/15/13 | 9.500 | 378,000 | |
| 375 | Newark | ||||
| Group, Inc., Global Senior Subordinated Notes (Callable 03/15/10 @ $103.25) | (CC, Ca) | 03/15/14 | 9.750 | 34,687 | |
| 350 | NewPage Corp., | ||||
| Global Company Guaranteed Notes (Callable 05/01/09 @ $106.00) | (B-, B2) | 05/01/12 | 10.000 | 123,375 | |
| 450 | NewPage Corp., | ||||
| Global Company Guaranteed Notes (Callable 05/01/09 @ $106.00) | (CCC+, B3) | 05/01/13 | 12.000 | 96,750 | |
| 1,000 | Smurfit-Stone | ||||
| Container Enterprises, Inc., Global Senior Unsecured Notes (Callable | |||||
| 07/01/09 @ $101.40)ø | (D, NR) | 07/01/12 | 8.375 | 131,250 | |
| 75 | Verso | ||||
| Paper Holdings LLC, Series B, Global Senior Secured Notes (Callable | |||||
| 08/01/10 @ $104.56) | (B+, B2) | 08/01/14 | 9.125 | 28,500 |
SEQ.=1,FOLIO='',FILE='C:\JMS\pselva\09-10555-1\task3524928\10555-1-bk-01.htm',USER='105344',CD='Apr 30 14:43 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Forestry & Paper | |||||
| $ 675 | Verso Paper, Inc., Series B, Global | ||||
| Company Guaranteed Notes (Callable 08/01/11 @ $105.69) | (CCC+, B3) | 08/01/16 | 11.375 | $ 162,000 | |
| 2,767,832 | |||||
| Gaming (2.5%) | |||||
| 775 | Buffalo Thunder Development Authority, | ||||
| Rule 144A, Senior Secured Notes (Callable 12/15/10 @ $104.69) | (NR, Caa3) | 12/15/14 | 9.375 | 50,375 | |
| 125 | Caesars Entertainment, Inc., Global | ||||
| Company Guaranteed Notes | (C, Ca) | 03/15/10 | 7.875 | 50,625 | |
| 1,325 | Caesars Entertainment, Inc., Global | ||||
| Company Guaranteed Notes | (C, Ca) | 05/15/11 | 8.125 | 437,250 | |
| 775 | CCM Merger, Inc., Rule 144A, Notes | ||||
| (Callable 08/01/09 @ $104.00) | (CCC, Caa3) | 08/01/13 | 8.000 | 321,625 | |
| 140 | Choctaw Resort Development Enterprise, Rule 144A, | ||||
| Senior Notes (Callable 11/15/11 @ $103.63) | (B, B1) | 11/15/19 | 7.250 | 40,600 | |
| 375 | FireKeepers Development Authority, | ||||
| Rule 144A, Senior Secured Notes (Callable 05/01/12 @ $110.50) | (B, B3) | 05/01/15 | 13.875 | 230,625 | |
| 375 | Fontainebleau Las Vegas Capital Corp., | ||||
| Rule 144A, Second Mortgage Notes (Callable 06/15/11 @ $105.13) | (CC, Ca) | 06/15/15 | 11.000 | 13,125 | |
| 125 | Herbst Gaming, Inc., Global Company | ||||
| Guaranteed Notes (Callable 06/01/09 @ $102.03)ø | (D, NR) | 06/01/12 | 8.125 | 781 | |
| 475 | Inn of the Mountain Gods Resort & | ||||
| Casino, Global Company Guaranteed Notes (Callable 11/15/09 @ $100.00) | (CCC, Ca) | 11/15/10 | 12.000 | 52,250 | |
| 825 | Jacobs Entertainment, Inc., Global | ||||
| Company Guaranteed Notes (Callable 06/15/10 @ $104.88) | (B-, B3) | 06/15/14 | 9.750 | 492,938 | |
| 625 | Majestic Star Casino Capital Corp., Senior | ||||
| Secured Notes (Callable 10/15/09 @ $100.00)ø | (D, Caa3) | 10/15/10 | 9.500 | 168,750 | |
| 850 | Mashantucket Western Pequot Tribe, | ||||
| Rule 144A, Bonds (Callable 11/15/11 @ $104.25) | (B+, B2) | 11/15/15 | 8.500 | 148,750 | |
| 925 | MGM Mirage, Inc., Company Guaranteed | ||||
| Notes | (CCC, Caa2) | 04/01/16 | 6.875 | 319,125 | |
| 725 | MGM Mirage, Inc., Company Guaranteed | ||||
| Notes | (CCC, Caa2) | 06/01/16 | 7.500 | 257,375 | |
| 150 | MGM Mirage, Inc., Company Guaranteed | ||||
| Notes | (CCC, Caa2) | 01/15/17 | 7.625 | 54,000 | |
| 350 | Peermont Global Proprietary, Ltd., | ||||
| Rule 144A, Senior Secured Notes (Callable 04/30/10 @ $105.81) | (B, B3) | 04/30/14 | 7.750 | 255,582 | |
| 435 | Tropicana Finance Corp., Global Senior | ||||
| Subordinated Notes (Callable 12/15/10 @ $104.81)ø | (NR, NR) | 12/15/14 | 9.625 | 3,263 | |
| 475 | Turning Stone Resort Casino Enterprise, | ||||
| Rule 144A, Senior Notes (Callable 09/15/10 @ $104.56) | (B+, B1) | 09/15/14 | 9.125 | 292,125 | |
| 3,189,164 | |||||
| Gas | |||||
| Distribution (3.2%) | |||||
| 600 | Amerigas Partners LP, Global Senior Unsecured | ||||
| Notes (Callable 05/20/10 @ $103.63) | (NR, Ba3) | 05/20/15 | 7.250 | 567,000 | |
| 525 | El Paso Corp., Senior Unsecured Notes | (BB-, Ba3) | 06/01/18 | 7.250 | 448,875 |
| 1,150 | El Paso Performance-Linked Trust, | ||||
| Rule 144A, Senior Unsecured Notes | (BB, Ba3) | 07/15/11 | 7.750 | 1,108,101 | |
| 525 | Inergy Finance Corp., Global Company | ||||
| Guaranteed Notes (Callable 03/01/11 @ $104.13) | (B+, B1) | 03/01/16 | 8.250 | 501,375 | |
| 200 | Inergy Finance Corp., Global Senior Unsecured | ||||
| Notes (Callable 12/15/09 @ $103.44) | (B+, B1) | 12/15/14 | 6.875 | 186,000 | |
| 350 | MarkWest Energy Finance Corp., Series B, | ||||
| Global Senior Notes (Callable 04/15/13 @ $104.38) | (B+, B2) | 04/15/18 | 8.750 | 245,875 | |
| 650 | Targa Resources Partners LP, Rule 144A, | ||||
| Senior Notes (Callable 07/01/12 @ $104.13) | (B, B2) | 07/01/16 | 8.250 | 474,500 | |
| 650 | The Williams Cos., Inc., Series A, | ||||
| Global Senior Unsecured Notes | (BB+, Baa3) | 01/15/31 | 7.500 | 514,702 | |
| 4,046,428 | |||||
| Health | |||||
| Services (7.4%) | |||||
| 875 | Bausch & Lomb, Inc., | ||||
| Rule 144A, Senior Unsecured Notes (Callable 11/01/11 @ $104.94) | (B, Caa1) | 11/01/15 | 9.875 | 697,812 | |
| 350 | Biomet, Inc., Global Company Guaranteed | ||||
| Notes (Callable 10/15/12 @ $105.00) | (B-, B3) | 10/15/17 | 10.000 | 348,250 | |
| 350 | Biomet, Inc., Global Company Guaranteed | ||||
| Notes (Callable 10/15/12 @ $105.81) | (B-, Caa1) | 10/15/17 | 11.625 | 310,625 | |
| 800 | Community Health Systems, Inc., Global | ||||
| Company Guaranteed Notes (Callable 07/15/11 @ $104.44) | (B, B3) | 07/15/15 | 8.875 | 760,000 | |
| 1,575 | HCA, Inc., Global Secured Notes (Callable | ||||
| 11/15/11 @ $104.63) | (BB-, B2) | 11/15/16 | 9.250 | 1,437,187 | |
| 475 | HCA, Inc., Global Senior Unsecured Notes | (B-, Caa1) | 01/15/15 | 6.375 | 313,500 |
| 475 | HCA, Inc., Senior Unsecured Notes | (B-, Caa1) | 10/01/12 | 6.300 | 399,000 |
| 400 | HCA, Inc., Senior Unsecured Notes | (B-, Caa1) | 02/15/13 | 6.250 | 302,000 |
| 375 | HCA, Inc., Senior Unsecured Notes | (B-, Caa1) | 07/15/13 | 6.750 | 282,188 |
SEQ.=1,FOLIO='',FILE='C:\JMS\pselva\09-10555-1\task3524928\10555-1-bk-01.htm',USER='105344',CD='Apr 30 14:43 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Health Services | |||||
| $ 625 | Healthsouth Corp., | ||||
| Global Company Guaranteed Notes (Callable 06/15/11 @ $105.38) | (CCC+, | ||||
| Caa1) | 06/15/16 | 10.750 | $ 615,625 | ||
| 400 | OMEGA Healthcare | ||||
| Investors, Inc., Global Company Guaranteed Notes (Callable 01/15/11 @ | |||||
| $103.50) | (BB+, | ||||
| Ba3) | 01/15/16 | 7.000 | 360,000 | ||
| 250 | Service Corp. | ||||
| International, Global Senior Unsecured Notes | (BB-, | ||||
| B1) | 06/15/17 | 7.000 | 213,750 | ||
| 150 | Service Corp. | ||||
| International, Global Senior Unsecured Notes | (BB-, | ||||
| B1) | 10/01/18 | 7.625 | 129,750 | ||
| 550 | Stewart | ||||
| Enterprises, Inc., Global Company Guaranteed Notes (Callable 02/15/10 @ | |||||
| $101.56) | (BB-, | ||||
| Ba3) | 02/15/13 | 6.250 | 464,750 | ||
| 1,500 | Tenet Healthcare | ||||
| Corp., Global Senior Unsecured Notes | (B, | ||||
| Caa1) | 07/01/14 | 9.875 | 1,177,500 | ||
| 275 | Universal Hospital | ||||
| Services, Inc., Global Senior Secured Notes (Callable 06/01/09 @ | |||||
| $102.00)# | (B+, | ||||
| B3) | 06/01/15 | 5.943 | 200,750 | ||
| 225 | Universal Hospital | ||||
| Services, Inc., Global Senior Secured Notes (Callable 06/01/11 @ | |||||
| $104.25) | (B+, | ||||
| B3) | 06/01/15 | 8.500 | 201,375 | ||
| 900 | Vanguard Health | ||||
| Holding Co., Global Senior Subordinated Notes (Callable 10/01/09 @ $104.50) | (CCC+, | ||||
| Caa1) | 10/01/14 | 9.000 | 798,750 | ||
| 700 | VWR | ||||
| Funding, Inc., Series B, Global Company Guaranteed Notes (Callable | |||||
| 07/15/11 @ $105.13) | (B-, | ||||
| Caa1) | 07/15/15 | 10.250 | 479,500 | ||
| 9,492,312 | |||||
| Hotels (0.6%) | |||||
| 250 | Host | ||||
| Hotels & Resorts LP, Global Company Guaranteed Notes (Callable | |||||
| 11/01/10 @ $103.44) | (BB+, | ||||
| Ba1) | 11/01/14 | 6.875 | 193,750 | ||
| 750 | Host | ||||
| Hotels & Resorts LP, Series Q, Global Company Guaranteed Notes | |||||
| (Callable 06/01/11 @ $103.33) | (BB+, | ||||
| Ba1) | 06/01/16 | 6.750 | 551,250 | ||
| 745,000 | |||||
| Household & | |||||
| Leisure Products (0.6%) | |||||
| 550 | ALH Finance Corp., | ||||
| Global Company Guaranteed Notes (Callable 01/15/10 @ 102.13) | (CCC+, | ||||
| Caa1) | 01/15/13 | 8.500 | 467,500 | ||
| 400 | Ames True | ||||
| Temper, Inc., Global Company Guaranteed Notes # | (CCC+, | ||||
| Caa1) | 01/15/12 | 5.094 | 266,000 | ||
| 733,500 | |||||
| lnvestments & | |||||
| Misc. Financial Services (0.1%) | |||||
| 425 | Nuveen | ||||
| Investments, Inc., Rule 144A, Senior Notes (Callable 11/15/11 @ | |||||
| $105.25) | (CCC+, | ||||
| Caa1) | 11/15/15 | 10.500 | 121,125 | ||
| Leisure (0.2%) | |||||
| 472 | Six Flags | ||||
| Operations, Inc., Rule 144A, Company Guaranteed Notes (Callable | |||||
| 07/15/13 @ $106.12) | (CCC-, | ||||
| Ca) | 07/15/16 | 12.250 | 257,240 | ||
| 600 | Six Flags, Inc., | ||||
| Global Senior Unsecured Notes (Callable 06/01/09 @ $104.81) | (CC, | ||||
| C) | 06/01/14 | 9.625 | 57,000 | ||
| 314,240 | |||||
| Machinery (0.6%) | |||||
| 700 | Baldor Electric Co., | ||||
| Company Guaranteed Notes (Callable 02/15/12 @ $104.31) | (B, | ||||
| B3) | 02/15/17 | 8.625 | 558,250 | ||
| 250 | Terex Corp., Senior | ||||
| Subordinated Notes (Callable 11/15/12 @ $104.00) | (B+, | ||||
| Ba3) | 11/15/17 | 8.000 | 203,750 | ||
| 762,000 | |||||
| Media | |||||
| - Broadcast (0.6%) | |||||
| 475 | Allbritton | ||||
| Communications Co., Global Senior Subordinated Notes (Callable 12/15/09 @ | |||||
| $101.29) | (B-, | ||||
| Caa1) | 12/15/12 | 7.750 | 178,125 | ||
| 515 | Barrington | ||||
| Broadcasting Capital Corp., Global Company Guaranteed Notes (Callable 08/15/10 | |||||
| @ $105.25) | (CCC-, | ||||
| Caa3) | 08/15/14 | 10.500 | 101,712 | ||
| 775 | Clear Channel | ||||
| Communications, Inc., Senior Unsecured Notes | (CCC, | ||||
| Ca) | 09/15/14 | 5.500 | 120,125 | ||
| 575 | CMP Susquehanna | ||||
| Corp., Global Company Guaranteed Notes (Callable 05/15/10 @ $104.94) | (C, | ||||
| Ca) | 05/15/14 | 9.875 | 24,438 | ||
| 375 | Fisher | ||||
| Communications, Inc., Global Company Guaranteed Notes (Callable 09/15/09 | |||||
| @ $104.31) | (B, | ||||
| B2) | 09/15/14 | 8.625 | 320,625 | ||
| 400 | Local TV Finance LLC, | ||||
| Rule 144A, Senior Unsecured Notes (Callable 06/15/11 @ $104.63) | (CCC, | ||||
| Caa3) | 06/15/15 | 9.250 | 42,000 | ||
| 320 | Univision | ||||
| Communications, Inc., Rule 144A, Company Guaranteed Notes (Callable | |||||
| 03/15/11 @ $104.88) | (CCC, | ||||
| Caa2) | 03/15/15 | 9.750 | 33,600 | ||
| 925 | Young | ||||
| Broadcasting, Inc., Global Company Guaranteed Notes (Callable 01/15/10 @ | |||||
| $102.92)ø | (D, | ||||
| NR) | 01/15/14 | 8.750 | 102 | ||
| 820,727 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105591\09-10555-1\task3538233\10555-1-bk-03.htm',USER='105591',CD='May 6 22:19 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Media - Cable (5.9%) | |||||
| $ 1,165 | Atlantic Broadband Finance LLC, Global Company | ||||
| Guaranteed Notes (Callable 01/15/10 @ $103.13) | (CCC+, Caa1) | 01/15/14 | 9.375 | $ 926,175 | |
| 1,250 | CCH I Capital Corp., Global Senior Secured | ||||
| Notes (Callable 10/01/10 @ $105.50) ø | (D, Ca) | 10/01/15 | 11.000 | 140,625 | |
| 1,275 | CCH II Capital Corp., Series B, Global | ||||
| Senior Unsecured Notes (Callable 09/15/09 @ $100.00)ø | (D, Caa2) | 09/15/10 | 10.250 | 1,141,125 | |
| 495 | Charter Communications Holdings Capital, | ||||
| Senior Unsecured Notesø | (D, C) | 04/01/11 | 9.920 | 5,569 | |
| 325 | Charter Communications Operating Capital, Rule 144A, | ||||
| Secured Notesø | (D, B3) | 04/30/12 | 8.000 | 299,000 | |
| 450 | CSC Holdings, Inc., Rule 144A, Senior | ||||
| Unsecured Notes | (BB, B1) | 04/15/14 | 8.500 | 445,500 | |
| 1,050 | CSC Holdings, Inc., Rule 144A, Senior | ||||
| Unsecured Notes | (BB, B1) | 02/15/19 | 8.625 | 1,015,875 | |
| 250 | CSC Holdings, Inc., Rule 144A, | ||||
| Senior Unsecured Notes (Callable 06/15/12 @ $104.25) | (BB, B1) | 06/15/15 | 8.500 | 245,625 | |
| 650 | DirecTV Financing Co., Global Company | ||||
| Guaranteed Notes (Callable 03/15/10 @ $101.40) | (BB, Ba3) | 03/15/13 | 8.375 | 660,562 | |
| 350 | DirecTV Financing Co., Global Company | ||||
| Guaranteed Notes (callable 05/15/12 @ $103.81) | (BB, Ba3) | 05/15/16 | 7.625 | 344,750 | |
| 125 | EchoStar DBS Corp., Global Company Guaranteed | ||||
| Notes | (BB-, Ba3) | 10/01/13 | 7.000 | 116,563 | |
| 725 | EchoStar DBS Corp., Global Company Guaranteed | ||||
| Notes | (BB-, Ba3) | 10/01/14 | 6.625 | 650,687 | |
| 600 | EchoStar DBS Corp., Global Company Guaranteed | ||||
| Notes | (BB-, Ba3) | 05/31/15 | 7.750 | 555,000 | |
| 475 | Mediacom Broadband Corp., Global Senior | ||||
| Unsecured Notes (Callable 10/15/10 @ $104.25) | (B-, B3) | 10/15/15 | 8.500 | 429,875 | |
| 525 | Mediacom Capital Corp., Global Senior | ||||
| Unsecured Notes | (B-, B3) | 02/15/11 | 7.875 | 501,375 | |
| 25 | Mediacom Capital Corp., Global Senior | ||||
| Unsecured Notes | (B-, B3) | 01/15/13 | 9.500 | 23,500 | |
| 7,501,806 | |||||
| Media | |||||
| - Services (0.5%) | |||||
| 250 | Lamar Media Corp., Series C, Global | ||||
| Company Guaranteed Notes (Callable 08/15/10 @ $103.31) | (B-, B2) | 08/15/15 | 6.625 | 181,250 | |
| 750 | WMG Acquisition Corp., Global Senior | ||||
| Subordinated Notes (Callable 04/15/09 @ $103.69) | (B, B3) | 04/15/14 | 7.375 | 519,375 | |
| 700,625 | |||||
| Metals & | |||||
| Mining - Excluding Steel (1.2%) | |||||
| 175 | Aleris International, Inc., Global | ||||
| Company Guaranteed Notes (Callable 12/15/10 @ $104.50)ø | (D, NR) | 12/15/14 | 9.000 | 998 | |
| 675 | Aleris International, Inc., Global | ||||
| Company Guaranteed Notes (Callable 12/15/11 @ $105.00)ø | (D, NR) | 12/15/16 | 10.000 | 3,847 | |
| 600 | Freeport-McMoRan Copper & | ||||
| Gold, Inc., Senior Unsecured Notes (Callable 04/01/11 @ $104.13) | (BBB-, Ba2) | 04/01/15 | 8.250 | 575,162 | |
| 625 | Freeport-McMoRan Copper & | ||||
| Gold, Inc., Senior Unsecured Notes (Callable 04/01/12 @ $104.19) | (BBB-, Ba2) | 04/01/17 | 8.375 | 585,199 | |
| 1,050 | Noranda Aluminium Acquisition Corp., Global | ||||
| Company Guaranteed Notes (Callable 05/15/09 @ $101.00)# | (CCC, B3) | 05/15/15 | 6.595 | 330,750 | |
| 1,495,956 | |||||
| Non-Food & | |||||
| Drug Retailers (2.0%) | |||||
| 525 | Asbury Automotive Group, Inc., Global | ||||
| Company Guaranteed Notes (Callable 03/15/12 @ $103.81) | (B-, Caa1) | 03/15/17 | 7.625 | 249,375 | |
| 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 | 142,875 | |
| 500 | Michaels Stores, Inc., Global Company | ||||
| Guaranteed Notes (Callable 11/01/11 @ $105.69) | (CCC, Caa3) | 11/01/16 | 11.375 | 187,500 | |
| 400 | SGS International, Inc., Rule 144A, | ||||
| Global Senior Subordinated Notes (Callable 12/15/09 @ $106.00) | (B-, B3) | 12/15/13 | 12.000 | 221,000 | |
| 655 | Susser Holdings LLC, Global Company Guaranteed | ||||
| Notes (Callable 12/15/09 @ $105.31) | (B+, B3) | 12/15/13 | 10.625 | 638,625 | |
| 1,000 | The Neiman Marcus Group, Inc., Global | ||||
| Company Guaranteed Notes (Callable 10/15/10 @ $105.19) | (B-, Caa3) | 10/15/15 | 10.375 | 325,000 | |
| 700 | Yankee Acquisition Corp., Series B, | ||||
| Global Company Guaranteed Notes (Callable 02/15/11 @ $104.25) | (B-, B3) | 02/15/15 | 8.500 | 388,500 | |
| 2,528,250 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105591\09-10555-1\task3538233\10555-1-bk-03.htm',USER='105591',CD='May 6 22:19 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. | |||||
| CORPORATE BONDS | |||||
| Oil | |||||
| Field Equipment & Services (0.7%) | |||||
| $ 525 | Bristow | ||||
| Group, Inc., Global Company Guaranteed Notes (Callable 09/15/12 @ | |||||
| $103.75) | (BB, | ||||
| Ba2) | 09/15/17 | 7.500 | $ 396,375 | ||
| 350 | Hornbeck Offshore | ||||
| Services, Inc. Series B, Global Company Guaranteed Notes (Callable | |||||
| 12/01/09 @ $103.06) | (BB-, | ||||
| Ba3) | 12/01/14 | 6.125 | 267,750 | ||
| 300 | Key Energy | ||||
| Services, Inc., Global Company Guaranteed Notes (Callable 12/01/11 @ | |||||
| $104.19) | (BB, | ||||
| B1) | 12/01/14 | 8.375 | 190,500 | ||
| 854,625 | |||||
| Packaging (1.6%) | |||||
| 575 | Berry Plastics | ||||
| Holding Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $105.13) | (CCC, | ||||
| Caa2) | 03/01/16 | 10.250 | 241,500 | ||
| 565 | Berry Plastics | ||||
| Holding Corp., Global Senior Secured Notes (Callable 09/15/10 @ $104.44) | (CCC+, | ||||
| Caa1) | 09/15/14 | 8.875 | 319,225 | ||
| 500 | Constar | ||||
| International, Inc., Company Guaranteed Notes (Callable 12/01/09 @ | |||||
| $101.83)ø | (D, | ||||
| NR) | 12/01/12 | 11.000 | 12,500 | ||
| 225 | Crown Cork & | ||||
| Seal Co., Inc., Debentures (Callable 04/15/09 @ $101.53) | (B, | ||||
| B2) | 04/15/23 | 8.000 | 201,375 | ||
| 825 | Graham Packaging Co., Inc., | ||||
| Global Subordinated Notes (Callable 10/15/09 @ $104.94) | (CCC+, | ||||
| Caa1) | 10/15/14 | 9.875 | 536,250 | ||
| 25 | Graham Packaging | ||||
| Company, Inc., Global Company Guaranteed Notes (Callable 10/15/09 @ | |||||
| $102.13) | (CCC+, | ||||
| Caa1) | 10/15/12 | 8.500 | 19,312 | ||
| 533 | Pliant Corp., Global | ||||
| Senior Secured Notes (Callable 06/15/09 @ $100.00)ø | (D, | ||||
| NR) | 06/15/09 | 11.625 | 216,513 | ||
| 650 | Solo Cup Co., Global | ||||
| Company Guaranteed Notes (Callable 02/15/10 @ $102.83) | (CCC, | ||||
| Caa2) | 02/15/14 | 8.500 | 477,750 | ||
| 2,024,425 | |||||
| Printing & | |||||
| Publishing (1.0%) | |||||
| 925 | Cengage Learning | ||||
| Acquisitions, Inc., Rule 144A, Senior Notes (Callable 07/15/11 @ | |||||
| $105.25) | (CCC+, | ||||
| Caa2) | 01/15/15 | 10.500 | 478,687 | ||
| 500 | Cenveo Corp., Global | ||||
| Senior Subordinated Notes (Callable 12/01/09 @ $102.63) | (B-, | ||||
| B3) | 12/01/13 | 7.875 | 262,500 | ||
| 1,125 | Idearc, Inc., | ||||
| Global Company Guaranteed Notes (Callable 11/15/11 @ $104.00)ø | (D, | ||||
| NR) | 11/15/16 | 8.000 | 35,156 | ||
| 2,000 | Premier | ||||
| Graphics, Inc., Company Guaranteed Notesø^ | (NR, | ||||
| NR) | 12/01/05 | 11.500 | 0 | ||
| 1,025 | R.H. | ||||
| Donnelley, Inc., Rule 144A, Company Guaranteed Notes (Callable | |||||
| 05/15/12 @ $105.88) | (CCC-, | ||||
| B3) | 05/15/15 | 11.750 | 138,375 | ||
| 1,215 | The Readers Digest | ||||
| Association, Inc., Global Company Guaranteed Notes (Callable 02/15/12 @ | |||||
| $104.50) | (CC, | ||||
| Ca) | 02/15/17 | 9.000 | 75,938 | ||
| 525 | Valassis | ||||
| Communications, Inc., Global Company Guaranteed Notes (Callable 03/01/11 | |||||
| @ $104.13) | (CCC+, | ||||
| B3) | 03/01/15 | 8.250 | 229,031 | ||
| 1,219,687 | |||||
| Railroads (0.3%) | |||||
| 500 | Kansas City Southern | ||||
| Railway, Company Guaranteed Notes (Callable 06/01/12 @ $104.00) | (B+, | ||||
| B2) | 06/01/15 | 8.000 | 416,250 | ||
| Restaurants (0.3%) | |||||
| 475 | Dennys | ||||
| Holdings, Inc., Global Company Guaranteed Notes (Callable 10/01/09 @ | |||||
| $102.50) | (B-, | ||||
| B3) | 10/01/12 | 10.000 | 413,250 | ||
| Software/Services (1.5%) | |||||
| 900 | First Data Corp., | ||||
| Global Company Guaranteed Notes (Callable 09/30/11 @ $104.94) | (B-, | ||||
| B3) | 09/24/15 | 9.875 | 531,000 | ||
| 1,075 | SunGard Data | ||||
| Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/10 @ | |||||
| $105.13) | (B-, | ||||
| Caa1) | 08/15/15 | 10.250 | 757,875 | ||
| 700 | Unisys Corp., Senior | ||||
| Unsubordinated Notes (Callable 01/15/12 @ $106.25) | (B, | ||||
| Caa1) | 01/15/16 | 12.500 | 182,000 | ||
| 625 | Vangent, Inc., | ||||
| Global Company Guaranteed Notes (Callable 02/15/11 @ $104.81) | (B-, | ||||
| Caa1) | 02/15/15 | 9.625 | 409,375 | ||
| 1,880,250 | |||||
| Steel | |||||
| Producers/Products (1.1%) | |||||
| 575 | AK Steel Corp., | ||||
| Global Company Guaranteed Notes (Callable 06/15/09 @ $101.29) | (BB-, | ||||
| Ba3) | 06/15/12 | 7.750 | 454,250 | ||
| 800 | Rathgibson, Inc., | ||||
| Global Company Guaranteed Notes (Callable 02/15/10 @ $105.62) | (B, | ||||
| Caa2) | 02/15/14 | 11.250 | 172,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105591\09-10555-1\task3538233\10555-1-bk-03.htm',USER='105591',CD='May 6 22:19 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Steel Producers/Products | |||||
| $ 800 | Ryerson, Inc., Series WI, Global | ||||
| Senior Secured Notes (Callable 11/01/11 @ $106.00)+ | (B, Caa1) | 11/01/15 | 12.250 | $ 458,000 | |
| 550 | Steel Dynamics, Inc., Rule 144A, | ||||
| Senior Notes (Callable 04/15/12 @ $103.88) | (BB+, Ba2) | 04/15/16 | 7.750 | 379,500 | |
| 1,463,750 | |||||
| Support-Services (3.8%) | |||||
| 200 | ARAMARK Corp., Global Company Guaranteed Notes | ||||
| (Callable 02/01/10 @ $101.00)# | (B, B3) | 02/01/15 | 4.670 | 153,500 | |
| 225 | ARAMARK Corp., Global Senior Unsecured Notes | ||||
| (Callable 02/01/11 @ $104.25) | (B, B3) | 02/01/15 | 8.500 | 208,125 | |
| 750 | Ashtead Capital, Inc., Rule 144A, | ||||
| Secured Notes (Callable 08/15/11 @ $104.50) | (B, B1) | 08/15/16 | 9.000 | 431,250 | |
| 550 | Dyncorp International LLC, Series B, | ||||
| Global Senior Subordinated Notes (Callable 02/15/10 @ $102.38) | (B, B2) | 02/15/13 | 9.500 | 518,375 | |
| 325 | Hertz Corp., Global Company Guaranteed Notes | ||||
| (Callable 01/01/10 @ $104.44) | (B+, B1) | 01/01/14 | 8.875 | 198,656 | |
| 400 | Hertz Corp., Global Company Guaranteed Notes | ||||
| (Callable 01/01/11 @ $105.25) | (B, B2) | 01/01/16 | 10.500 | 176,000 | |
| 350 | Iron Mountain, Inc., Company Guaranteed | ||||
| Notes (Callable 04/01/09 @ $100.00) | (B+, B2) | 04/01/13 | 8.625 | 351,750 | |
| 125 | Iron Mountain, Inc., Company Guaranteed | ||||
| Notes (Callable 06/15/13 @ $104.00) | (B+, B2) | 06/15/20 | 8.000 | 116,875 | |
| 50 | Iron Mountain, Inc., Company Guaranteed | ||||
| Notes (Callable 07/01/09 @ $102.21) | (B+, B2) | 01/01/16 | 6.625 | 46,500 | |
| 850 | JohnsonDiversey Holdings, Inc., | ||||
| Series B, Global Discount Notes (Callable 05/15/09 @ $101.78) | (CCC+, Caa1) | 05/15/13 | 10.670 | 641,750 | |
| 650 | Mobile Services Group, Inc., Global | ||||
| Company Guaranteed Notes (Callable 08/01/10 @ $104.88) | (B+, B2) | 08/01/14 | 9.750 | 485,875 | |
| 725 | Rental Service Corp., Global Company | ||||
| Guaranteed Notes (Callable 12/01/10 @ $104.75) | (B-, Caa1) | 12/01/14 | 9.500 | 358,875 | |
| 325 | Sothebys, Rule 144A, Senior Notes | (BBB-, Ba3) | 06/15/15 | 7.750 | 238,875 |
| 650 | Ticketmaster Entertainment, Inc., | ||||
| Rule 144A, Company Guaranteed Notes (Callable 08/01/12 @ $105.38) | (BB-, Ba3) | 07/28/16 | 10.750 | 445,250 | |
| 775 | Travelport LLC, Global Company Guaranteed | ||||
| Notes (Callable 09/01/11 @ $105.94) | (CCC+, Caa1) | 09/01/16 | 11.875 | 232,500 | |
| 75 | United Rentals North America, Inc., | ||||
| Global Company Guaranteed Notes (Callable 02/15/10 @ $100.00) | (BB-, B2) | 02/15/12 | 6.500 | 60,375 | |
| 500 | United Rentals North America, Inc., | ||||
| Global Company Guaranteed Notes (Callable 02/15/10 @ $102.33) | (B, Caa1) | 02/15/14 | 7.000 | 255,000 | |
| 4,919,531 | |||||
| Telecom | |||||
| - Integrated/Services (6.5%) | |||||
| 275 | Cincinnati Bell, Inc. Global Company | ||||
| Guaranteed Notes (Callable 02/15/10 @ $103.50) | (B+, Ba3) | 02/15/15 | 7.000 | 254,375 | |
| 375 | Cincinnati Bell, Inc., Global Senior | ||||
| Subordinated Notes (Callable 01/15/10 @ $102.79) | (B-, B2) | 01/15/14 | 8.375 | 354,375 | |
| 1,200 | Frontier Communications Corp., Global Senior | ||||
| Unsecured Notes | (BB, Ba2) | 03/15/15 | 6.625 | 1,020,000 | |
| 700 | Hughes Network Systems LLC, Global Company | ||||
| Guaranteed Notes (Callable 04/15/10 @ $104.75) | (B, B1) | 04/15/14 | 9.500 | 630,000 | |
| 1,675 | Intelsat Corp., Rule 144A, Senior | ||||
| Unsecured Notes (Callable 08/15/09 @ $104.63) | (BB-, B3) | 08/15/14 | 9.250 | 1,582,875 | |
| 375 | Intelsat Subsidiary Holding Co., Ltd., | ||||
| Rule 144A, Senior Unsecured Notes (Callable 01/15/10 @ $104.44) | (BB-, B3) | 01/15/15 | 8.875 | 351,563 | |
| 1,150 | Level 3 Financing, Inc., Global Company | ||||
| Guaranteed Notes (Callable 02/15/10 @ $101.00)# | (CCC+, Caa1) | 02/15/15 | 5.474 | 592,250 | |
| 525 | Level 3 Financing, Inc., Global Company | ||||
| Guaranteed Notes (Callable 03/15/10 @ $106.13) | (CCC+, Caa1) | 03/15/13 | 12.250 | 396,375 | |
| 950 | Paetec Holding Corp., Series WI, Global | ||||
| Company Guaranteed Notes (Callable 07/15/11 @ $104.75) | (CCC+, Caa1) | 07/15/15 | 9.500 | 669,750 | |
| 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 | 1,131,000 | |
| 150 | Qwest Corp., Global Senior Unsecured Notes | (BBB-, Ba1) | 06/15/15 | 7.625 | 135,750 |
| 225 | Time Warner Telecom Holdings, Inc., | ||||
| Global Company Guaranteed Notes (Callable 02/15/10 @ $103.08) | (CCC+, B3) | 02/15/14 | 9.250 | 218,250 | |
| 225 | Windstream Corp., Global Company Guaranteed | ||||
| Notes | (BB, Ba3) | 08/01/13 | 8.125 | 222,750 | |
| 105 | Windstream Corp., Global Company Guaranteed | ||||
| Notes (Callable 03/15/12 @ $103.50) | (BB, Ba3) | 03/15/19 | 7.000 | 92,925 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105591\09-10555-1\task3538233\10555-1-bk-03.htm',USER='105591',CD='May 6 22:19 2009'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Telecom - Integrated/Services | |||||
| $ 675 | Windstream Corp., | ||||
| Global Company Guaranteed Notes (Callable 08/01/11 @ $104.31) | (BB, | ||||
| Ba3) | 08/01/16 | 8.625 | $ 666,562 | ||
| 8,318,800 | |||||
| Telecom | |||||
| - Wireless (3.6%) | |||||
| 375 | Centennial | ||||
| Communications Corp., Global Company Guaranteed Notes (Callable 06/15/09 @ | |||||
| $103.38) | (B, | ||||
| B2) | 06/15/13 | 10.125 | 390,000 | ||
| 675 | Cricket | ||||
| Communications, Inc., Global Company Guaranteed Notes (Callable 11/01/10 | |||||
| @ $104.69) | (B-, | ||||
| B3) | 11/01/14 | 9.375 | 646,312 | ||
| 200 | Crown Castle | ||||
| International Corp., Senior Unsecured Notes (Callable 01/15/13 @ $105.62) | (B, | ||||
| B1) | 01/15/15 | 9.000 | 201,500 | ||
| 640 | MetroPCS | ||||
| Wireless, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ $104.63) | (B, | ||||
| B3) | 11/01/14 | 9.250 | 624,000 | ||
| 2,100 | Nextel | ||||
| Communications, Inc., Series F, Company Guaranteed Notes (Callable | |||||
| 03/15/10 @ $101.49) | (BB, | ||||
| Ba2) | 03/15/14 | 5.950 | 1,176,000 | ||
| 2,250 | Sprint Nextel Corp., | ||||
| Senior Unsecured Notes | (BB, | ||||
| Ba2) | 12/01/16 | 6.000 | 1,620,000 | ||
| 4,657,812 | |||||
| Textiles & | |||||
| Apparel (0.6%) | |||||
| 825 | Levi | ||||
| Strauss & Co., Global Senior Notes (Callable 01/15/10 @ $104.88) | (B+, | ||||
| B2) | 01/15/15 | 9.750 | 713,625 | ||
| Theaters & | |||||
| Entertainment (0.7%) | |||||
| 1,025 | AMC | ||||
| Entertainment, Inc., Global Senior Subordinated Notes (Callable 03/01/10 | |||||
| @ $102.67) | (CCC+, | ||||
| B2) | 03/01/14 | 8.000 | 845,625 | ||
| Transportation | |||||
| - Excluding Air/Rail (0.5%) | |||||
| 1,150 | Navios Maritime | ||||
| Holdings, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ | |||||
| $104.75) | (B+, | ||||
| B3) | 12/15/14 | 9.500 | 661,250 | ||
| TOTAL U.S. CORPORATE BONDS (Cost $167,341,935) | 108,176,851 | ||||
| FOREIGN CORPORATE BONDS (6.2%) | |||||
| Aerospace & Defense (0.3%) | |||||
| 500 | Bombardier, Inc., | ||||
| Rule 144A, Senior Unsecured Notes (Canada) | (BB+, | ||||
| Ba2) | 05/01/14 | 6.300 | 355,000 | ||
| Chemicals (0.7%) | |||||
| 1,125 | Cognis GmbH, | ||||
| Rule 144A, Senior Secured Notes (Germany)# | (B, | ||||
| B1) | 09/15/13 | 3.320 | 753,750 | ||
| 1,575 | Ineos Group Holdings | ||||
| PLC, Rule 144A, Secured Notes (Callable 02/15/11 @ $104.25) (United | |||||
| Kingdom) | (CC, | ||||
| Ca) | 02/15/16 | 8.500 | 98,438 | ||
| 852,188 | |||||
| Electronics (0.8%) | |||||
| 775 | Avago Technologies | ||||
| Finance, Global Company Guaranteed Notes (Callable 12/01/10 @ $105.94) | |||||
| (Singapore) | (B, | ||||
| B3) | 12/01/15 | 11.875 | 600,625 | ||
| 375 | Celestica, Inc., | ||||
| Senior Subordinated Notes (Callable 07/01/09 @ $103.81) (Canada) | (B, | ||||
| B3) | 07/01/13 | 7.625 | 330,000 | ||
| 550 | NXP Funding LLC, | ||||
| Global Company Guaranteed Notes (Callable 10/15/11 @ $104.31) (Netherlands) | (CCC, | ||||
| C) | 10/15/15 | 8.625 | 69,372 | ||
| 75 | NXP Funding LLC, | ||||
| Series EXCH, Global Senior Secured Notes (Callable 10/15/10 @ $103.94) | |||||
| (Netherlands) | (CCC+, | ||||
| C) | 10/15/14 | 7.875 | 17,813 | ||
| 1,017,810 | |||||
| Energy | |||||
| - Exploration & Production (0.2%) | |||||
| 550 | OPTI | ||||
| Canada, Inc., Global Senior Secured Notes (Callable 12/15/10 @ $104.13) | |||||
| (Canada) | (B, | ||||
| B3) | 12/15/14 | 8.250 | 248,875 | ||
| Forestry & | |||||
| Paper (0.4%) | |||||
| 1,450 | Abitibi-Consolidated | ||||
| Co. of Canada, Global Company Guaranteed Notes (Canada) | (D, | ||||
| C) | 06/15/11 | 7.750 | 123,250 | ||
| 750 | Smurfit Kappa Funding | ||||
| PLC, Global Senior Subordinated Notes (Callable 01/31/10 @ $103.88) (Ireland) | (B+, | ||||
| B2) | 04/01/15 | 7.750 | 444,375 | ||
| 567,625 | |||||
| Gaming (0.1%) | |||||
| 400 | Codere Finance | ||||
| Luxembourg SA, Rule 144A, Senior Secured Notes (Callable 06/15/10 @ | |||||
| $104.13) (Luxembourg) | (B+, | ||||
| B2) | 06/15/15 | 8.250 | 201,810 | ||
| Media | |||||
| - Cable (0.8%) | |||||
| 150 | NTL Cable PLC, Global | ||||
| Senior Notes (Callable 08/15/11 @ $104.56) (United Kingdom) | (B-, | ||||
| B2) | 08/15/16 | 9.125 | 140,250 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105591\09-10555-1\task3538233\10555-1-bk-03.htm',USER='105591',CD='May 6 22:19 2009'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| FOREIGN CORPORATE BONDS | |||||
| Media - Cable | |||||
| $ 400 | Unitymedia GmbH, | ||||
| Rule 144A, Senior Secured Notes (Callable 02/15/10 @ $105.06) (Germany) | (B, | ||||
| B2) | 02/15/15 | 10.125 | $ 499,215 | ||
| 350 | Virgin Media Finance | ||||
| PLC, Global Company Guaranteed Notes (Callable 04/15/09 @ $104.88) (United | |||||
| Kingdom) | (B-, | ||||
| B2) | 04/15/14 | 9.750 | 451,506 | ||
| 1,090,971 | |||||
| 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 | 592,875 | ||
| Packaging (0.4%) | |||||
| 240 | Gerresheimer Holdings | ||||
| GmbH, Rule 144A, Company Guaranteed Notes (Callable 02/15/10 @ 103.94) | |||||
| (Germany) | (BB, | ||||
| B1) | 03/01/15 | 7.875 | 312,275 | ||
| 175 | Impress Holdings BV, | ||||
| Rule 144A, Company Guaranteed Notes (Callable 09/15/09 @ $109.25) | |||||
| (Netherlands) | (B-, | ||||
| B3) | 09/15/14 | 9.250 | 155,673 | ||
| 467,948 | |||||
| Pharmaceuticals (0.4%) | |||||
| 75 | Elan Finance Corp., | ||||
| Global Company Guaranteed Notes (Callable 11/15/09 @ $101.94) (Ireland) | (B, | ||||
| B3) | 11/15/11 | 7.750 | 63,375 | ||
| 500 | Elan Finance Corp., | ||||
| Global Company Guaranteed Notes (Callable 12/01/10 @ $104.44) (Ireland) | (B, | ||||
| B3) | 12/01/13 | 8.875 | 402,500 | ||
| 465,875 | |||||
| Support-Services (0.1%) | |||||
| 325 | Carlson Wagonlit BV, | ||||
| Rule 144A, Company Guaranteed Notes (Callable 11/01/09 @ $101.00) | |||||
| (Netherlands)# | (CCC+, | ||||
| Caa1) | 05/01/15 | 7.851 | 66,883 | ||
| Telecom - Integrated/Services (0.9%) | |||||
| 950 | Global Crossing UK | ||||
| Finance, Global Company Guaranteed Notes (Callable 12/15/09 @ $105.38) | |||||
| (United Kingdom) | (B-, | ||||
| B3) | 12/15/14 | 10.750 | 584,250 | ||
| 350 | Hellas | ||||
| Telecommunications II SCA, Rule 144A, Subordinated Notes (Callable | |||||
| 01/15/10 @ $100.00) (Luxembourg)# | (CCC, | ||||
| Caa3) | 01/15/15 | 6.844 | 59,500 | ||
| 500 | Nordic Telephone Co. | ||||
| Holdings ApS, Rule 144A, Senior Secured Notes (Callable 05/01/09 @ | |||||
| $100.00) (Denmark)# | (B+, | ||||
| B1) | 05/01/16 | 7.601 | 531,080 | ||
| 1,174,830 | |||||
| Telecommunication Services (0.1%) | |||||
| 600 | Nortel Networks, | ||||
| Ltd., Rule 144A, Company Guaranteed Notes (Callable 07/15/11 @ $105.38) | |||||
| (Canada)ø | (D, | ||||
| NR) | 07/15/16 | 10.750 | 111,000 | ||
| Textiles & Apparel (0.0%) | |||||
| 150 | IT Holding Finance | ||||
| SA, Rule 144A, Company Guaranteed Notes (Luxembourg)ø | (D, | ||||
| C) | 11/15/12 | 9.875 | 30,869 | ||
| Transportation - Excluding Air/Rail (0.5%) | |||||
| 975 | Ship Finance | ||||
| International, Ltd., Global Company Guaranteed Notes (Callable 12/15/09 @ | |||||
| $102.83) (Bermuda) | (B+, | ||||
| B1) | 12/15/13 | 8.500 | 667,875 | ||
| TOTAL FOREIGN CORPORATE BONDS (Cost $14,145,327) | 7,912,434 | ||||
| Number of | |||||
| Shares | |||||
| COMMON | |||||
| STOCKS (0.0%) | |||||
| Automobile | |||||
| Parts & Equipment (0.0%) | |||||
| 1,219 | Safelite Realty | ||||
| Corp.*^ | 11,520 | ||||
| Chemicals (0.0%) | |||||
| 4,893 | Huntsman Corp. | 15,315 | |||
| Gaming (0.0%) | |||||
| 1,500 | Progressive Gaming | ||||
| International Corp.* | 28 | ||||
| Media - Cable (0.0%) | |||||
| 7,500 | Adelphia (Escrow | ||||
| Holding)*^ | 0 | ||||
| 750,000 | Adelphia Recovery | ||||
| Trust*^ | 0 | ||||
| 0 | |||||
| Printing & Publishing (0.0%) | |||||
| 10,652 | Mail Well, Inc., | ||||
| Rule 144A* | 35,152 | ||||
| TOTAL COMMON STOCKS (Cost $933,494) | 62,015 |
SEQ.=1,FOLIO='',FILE='C:\JMS\c900271\09-10555-1\task3540004\10555-1-bk-05.htm',USER='C900271',CD='May 7 12:20 2009'
| Number of — Shares | Value | |||
|---|---|---|---|---|
| PREFERRED | ||||
| STOCK (0.1%) | ||||
| Diversified | ||||
| Financials (0.1%) | ||||
| 494 | Preferred | |||
| Blocker, Inc., Rule 144A (Callable 12/31/11 @ $1,000)* (Cost | ||||
| $111,850) | $ 98,383 | |||
| WARRANT (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 | |||
| Par | ||||
| (000) | Maturity | Rate % | ||
| SHORT-TERM | ||||
| INVESTMENT (5.6%) | ||||
| $ 7,098 | State Street Bank and | |||
| Trust Co. Euro Time Deposit (Cost $7,098,000) | 04/01/09 | 0.010 | 7,098,000 | |
| TOTAL | ||||
| INVESTMENTS AT VALUE (96.5%) (Cost $189,655,606) | 123,347,695 | |||
| OTHER | ||||
| ASSETS IN EXCESS OF LIABILITIES (3.5%) | 4,527,315 | |||
| NET | ||||
| ASSETS (100.0%) | $ 127,875,010 |
SEQ.=1,FOLIO='',FILE='C:\JMS\c900271\09-10555-1\task3540004\10555-1-bk-05.htm',USER='C900271',CD='May 7 12:20 2009'
| Forward Foreign Currency to be Purchased (Local) | Forward Foreign Currency to be Sold (Local) | Expiration Date | Value on Settlement Date | Current Value | Unrealized Appreciation | ||||
|---|---|---|---|---|---|---|---|---|---|
| Open Forward Foreign Currency Contracts | |||||||||
| with Unrealized Appreciation | |||||||||
| GBP | 70,000 | USD | 97,338 | 04/16/09 | $ 97,338 | $ 100,082 | $ 2,744 | ||
| USD | 2,461,310 | EUR | 1,832,000 | 04/16/09 | (2,461,310 | ) | (2,429,260 | ) | 32,050 |
| USD | 520,846 | GBP | 350,000 | 04/16/09 | (520,846 | ) | (500,412 | ) | 20,434 |
| $ 55,228 |
*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 March 31, 2009, these
securities amounted to a value of $19,806,513 or 15.5% of net assets. |
| + | Step
Bond The interest rate is as of March 31, 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 March 31, 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 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
SEQ.=1,FOLIO='',FILE='C:\JMS\c900271\09-10555-1\task3540004\10555-1-bk-05.htm',USER='C900271',CD='May 7 12:20 2009'
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 March 31, 2009 in valuing the Funds investments carried at value:
| Valuation Inputs | Investments in Securities | Other Financial Instruments* |
|---|---|---|
| Level 1 - Quoted Prices | $ 148,878 | $ 55,228 |
| Level 2 - Other Significant Observable | ||
| Inputs | 123,102,744 | |
| Level 3 - Significant Unobservable Inputs | 96,073 | |
| Total | $ 123,347,695 | $ 55,228 |
Federal Income Tax Cost At March 31, 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 $189,655,606, $385,757, $(66,693,668) and $(66,307,911), 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\c900271\09-10555-1\task3540004\10555-1-bk-05.htm',USER='C900271',CD='May 7 12:20 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\105533\09-10555-1\task3549796\10555-1-ga.htm',USER='105533',CD='May 12 12:26 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: | May 15, 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: | May 15, 2009 |
| /s/Michael A. Pignataro | |
|---|---|
| Name: | Michael A. Pignataro |
| Title: | Chief Financial Officer |
| Date: | May 15, 2009 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105455\09-10555-1\task3549011\10555-1-jc.htm',USER='105455',CD='May 12 02:54 2009'
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