Regulatory Filings • May 10, 2010
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Download Source FileN-Q 1 a10-6593_4nq.htm N-Q
*UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549*
*FORM N-Q*
*QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY*
| Investment
Company Act file number: | |
| --- | --- |
| CREDIT
SUISSE ASSET MANAGEMENT INCOME FUND, INC. | |
| (Exact name of registrant as specified in charter) | |
| c/o Credit Suisse Asset Management, LLC Eleven Madison Avenue New York, New York | 10010 |
| (Address of principal executive offices) | (Zip code) |
| J. Kevin Gao, Esq. Eleven Madison Avenue New York, New York 10010 | |
| (Name and address of agent for service) | |
| Registrants
telephone number, including area code: | (212)
325-2000 |
| Date of
fiscal year end: | December
31st |
| Date of
reporting period: | January 1,
2010 to March 31, 2010 |
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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, 2010 (unaudited)
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. | |||||
| CORPORATE BONDS (87.9%) | |||||
| Aerospace & | |||||
| Defense (1.0%) | |||||
| $ 800 | BE | ||||
| Aerospace, Inc., Senior Unsecured Notes (Callable 07/01/13 @ $104.25)§ | (BB, Ba3) | 07/01/18 | 8.500 | $ 856,000 | |
| 975 | Hawker | ||||
| Beechcraft Notes Co., Global Company Guaranteed Notes (Callable 04/01/11 @ | |||||
| $104.25)§ | (CCC-, Caa3) | 04/01/15 | 8.500 | 758,062 | |
| 175 | Hawker | ||||
| Beechcraft Notes Co., Global Company Guaranteed Notes (Callable 04/01/12 @ | |||||
| $104.88)§ | (CCC-, Ca) | 04/01/17 | 9.750 | 126,438 | |
| 1,740,500 | |||||
| Auto Loans (2.3%) | |||||
| 1,725 | Ford Motor | ||||
| Credit Co., LLC, Global Senior Unsecured Notes | (B-, B1) | 10/01/13 | 7.000 | 1,786,291 | |
| 425 | Ford Motor | ||||
| Credit Co., LLC, Senior Unsecured Notes | (B-, B1) | 10/01/14 | 8.700 | 461,260 | |
| 1,775 | Ford Motor | ||||
| Credit Co., LLC, Senior Unsecured Notes | (B-, B1) | 12/15/16 | 8.000 | 1,872,602 | |
| 4,120,153 | |||||
| Auto Parts & Equipment (2.2%) | |||||
| 300 | American | ||||
| Axle & Manufacturing Holdings, Inc., Rule 144A, Senior | |||||
| Secured Notes (Callable 01/15/14 @ $104.63) | (B, B1) | 01/15/17 | 9.250 | 321,750 | |
| 500 | American | ||||
| Axle & Manufacturing, Inc., Company Guaranteed Notes (Callable | |||||
| 03/01/12 @ $103.94)§ | (CCC, Caa2) | 03/01/17 | 7.875 | 468,750 | |
| 800 | American Tire | ||||
| Distributors, Inc., Global Company Guarnteed Notes (Callable 04/01/10 @ | |||||
| $102.69)§ | (CCC+, Caa1) | 04/01/13 | 10.750 | 761,000 | |
| 675 | ArvinMeritor, Inc., | ||||
| Company Guaranteed Notes (Callable 03/15/14 @ $105.31)§ | (CCC-, Caa2) | 03/15/18 | 10.625 | 702,000 | |
| 800 | Stanadyne Corp., | ||||
| Series 1, Global Senior Subordinated Notes (Callable 08/15/10 @ $103.33) | (CCC, Caa1) | 08/15/14 | 10.000 | 736,000 | |
| 737 | The Goodyear | ||||
| Tire & Rubber Co., Global Company Guaranteed Notes (Callable | |||||
| 07/01/10 @ $104.50)§ | (B+, B1) | 07/01/15 | 9.000 | 764,637 | |
| 150 | The Goodyear | ||||
| Tire & Rubber Co., Senior Unsecured Notes (Callable 05/15/12 @ | |||||
| $107.88)§ | (B+, B1) | 05/15/16 | 10.500 | 162,750 | |
| 3,916,887 | |||||
| Banks (2.9%) | |||||
| 142 | CIT | ||||
| Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00)§ | (NR, NR) | 05/01/13 | 7.000 | 138,758 | |
| 212 | CIT | ||||
| Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00)§ | (NR, NR) | 05/01/14 | 7.000 | 201,236 | |
| 212 | CIT | ||||
| Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00)§ | (NR, NR) | 05/01/15 | 7.000 | 198,581 | |
| 354 | CIT | ||||
| Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00) | (NR, NR) | 05/01/16 | 7.000 | 327,429 | |
| 496 | CIT | ||||
| Group, Inc., Senior Secured Notes (Callable 01/01/11 @ $102.00)§ | (NR, NR) | 05/01/17 | 7.000 | 458,399 | |
| 475 | GMAC, Inc. | ||||
| Rule 144A, Company Guaranteed Notes | (B, B3) | 03/15/20 | 8.000 | 488,063 | |
| 1,175 | GMAC, Inc., | ||||
| Global Company Guaranteed Notes | (B, B3) | 03/02/11 | 7.250 | 1,201,437 | |
| 474 | GMAC, Inc., | ||||
| Global Company Guaranteed Notes§ | (NR, B3) | 04/01/11 | 6.000 | 478,148 | |
| 78 | GMAC, Inc., | ||||
| Global Subordinated Notes§ | (CCC+, B3) | 12/31/18 | 8.000 | 77,610 | |
| 1,200 | GMAC, Inc., | ||||
| Rule 144A, Company Guaranteed Notes | (B, B3) | 02/12/15 | 8.300 | 1,263,000 | |
| 450 | Provident | ||||
| Funding Associates Rule 144A, Senior Secured Notes | (B+, Ba3) | 04/15/17 | 10.250 | 450,000 | |
| 5,282,661 | |||||
| Beverages (0.5%) | |||||
| 100 | CEDC Finance | ||||
| Corp. International, Inc., Rule 144A, Senior Secured Notes | |||||
| (Callable 12/01/13 @ $104.56)§ | (B+, B1) | 12/01/16 | 9.125 | 106,000 | |
| 225 | Constellation | ||||
| Brands, Inc., Company Guaranteed Notes | (BB, Ba3) | 12/15/14 | 8.375 | 244,406 | |
| 525 | Constellation | ||||
| Brands, Inc., Company Guaranteed Notes | (BB, Ba3) | 09/01/16 | 7.250 | 542,063 | |
| 892,469 | |||||
| Building & Construction (1.1%) | |||||
| 468 | Ashton Woods | ||||
| Finance Co., Rule 144A, Company Guaranteed Notes (Callable 02/24/14 @ $105.50)+ | (NR, NR) | 06/30/15 | 0.000 | 210,600 | |
| 500 | K Hovnanian | ||||
| Enterprises, Inc., Global Company Guaranteed Notes§ | (CCC-, Caa2) | 01/15/16 | 6.250 | 387,500 | |
| 925 | Standard Pacific | ||||
| Corp., Company Guaranteed Notes§ | (B-, Caa1) | 04/01/14 | 6.250 | 857,938 | |
| 250 | William Lyon | ||||
| Homes, Inc., Global Company Guaranteed Notes (Callable 02/15/11 @ | |||||
| $101.25)§ | (CC, Caa3) | 02/15/14 | 7.500 | 184,375 |
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| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Building & Construction | |||||
| $ 350 | William Lyon | ||||
| Homes, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ | |||||
| $100.00) | (CC, Caa3) | 12/15/12 | 7.625 | $ 278,250 | |
| 1,918,663 | |||||
| Building Materials (2.1%) | |||||
| 850 | AMH Holdings | ||||
| Inc., Global Senior Discount Notes (Callable 03/01/11 @ $101.88) | (CCC-, Caa2) | 03/01/14 | 11.250 | 878,688 | |
| 975 | CPG | ||||
| International I, Inc., Global Company Guaranteed Notes (Callable | |||||
| 07/01/10 @ $102.63) | (B-, Caa1) | 07/01/13 | 10.500 | 982,312 | |
| 300 | Dayton Superior | ||||
| Corp., Company Guaranteed Notesø | (D, Caa3) | 06/15/09 | 13.000 | 67,500 | |
| 1,050 | Headwaters, Inc., | ||||
| Rule 144A, Senior Secured Notes (Callable 11/01/12 @ $105.69)§ | (B+, B2) | 11/01/14 | 11.375 | 1,101,187 | |
| 114 | Norcraft Capital | ||||
| Corp., Global Senior Discount Notes (Callable 09/01/10 @ $100.00) | (CCC, Caa1) | 09/01/12 | 9.750 | 108,870 | |
| 675 | Norcraft Finance | ||||
| Corp., Rule 144A, Senior Secured Notes (Callable 12/15/12 @ $105.25) | (B-, B2) | 12/15/15 | 10.500 | 715,500 | |
| 3,854,057 | |||||
| Chemicals (2.1%) | |||||
| 700 | Hexion Finance | ||||
| Escrow Corp., Rule 144A, Senior Secured Notes (Callable 02/01/14 @ | |||||
| $104.44) | (CCC+, B3) | 02/01/18 | 8.875 | 693,000 | |
| 300 | LBI Escrow | ||||
| Corp., Rule 144A, Senior Secured Notes (Callable 05/01/13 @ $106.00) | (NR, Ba3) | 11/01/17 | 8.000 | 311,625 | |
| 425 | Momentive | ||||
| Performance Materials, Inc., Global Company Guaranteed Notes (Callable | |||||
| 12/01/10 @ $104.88)§ | (CCC-, Caa2) | 12/01/14 | 9.750 | 427,125 | |
| 437 | Momentive | ||||
| Performance Materials, Inc., Rule 144A, Company Guaranteed Notes | |||||
| (Callable 12/15/11 @ $106.25)§ | (CCC-, B3) | 06/15/14 | 12.500 | 495,995 | |
| 150 | Nalco Co., | ||||
| Global Company Guaranteed Notes (Callable 11/15/10 @ $101.48) | (B, B2) | 11/15/13 | 8.875 | 155,250 | |
| 175 | Nalco Co., | ||||
| Global Company Guaranteed Notes (Callable 11/15/10 @ $101.50) | (B, B2) | 11/15/13 | 9.000 | 245,080 | |
| 800 | Nalco Finance | ||||
| Holdings, Inc., Global Senior Discount Notes (Callable 02/01/11 @ | |||||
| $101.50) | (B, B2) | 02/01/14 | 9.000 | 828,000 | |
| 750 | Reichhold | ||||
| Industries, Inc., Rule 144A, Senior Notes (Callable 08/15/10 @ | |||||
| $104.50) | (CCC+, Caa2) | 08/15/14 | 9.000 | 714,375 | |
| 3,870,450 | |||||
| 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 | 482,500 | |
| Consumer Products (0.7%) | |||||
| 650 | AAC Group | ||||
| Holding Corp., Rule 144A, Senior Discount Notes (Callable 10/01/10 @ | |||||
| $100.00) | (CCC, Caa2) | 10/01/12 | 10.250 | 652,438 | |
| 500 | Terra | ||||
| Capital, Inc., Global Company Guaranteed Notes (Callable 11/01/14 @ | |||||
| $103.88) | (BB, B1) | 11/01/19 | 7.750 | 606,250 | |
| 1,258,688 | |||||
| Consumer/Commercial/Lease Financing (1.0%) | |||||
| 1,150 | International | ||||
| Lease Finance Corp., Rule 144A, Senior Unsecured Notes | (BB+, B1) | 09/15/15 | 8.625 | 1,178,471 | |
| 500 | International | ||||
| Lease Finance Corp., Rule 144A, Senior Unsecured Notes | (BB+, B1) | 03/15/17 | 8.750 | 512,766 | |
| 100 | International | ||||
| Lease Finance Corp., Series MTN, Senior Unsecured Notes | (BB+, B1) | 06/01/14 | 5.650 | 92,764 | |
| 1,784,001 | |||||
| Department Stores (0.3%) | |||||
| 500 | The Neiman | ||||
| Marcus Group, Inc., Global Company Guaranteed Notes (Callable 10/15/10 @ | |||||
| $105.19)§ | (CCC+, Caa3) | 10/15/15 | 10.375 | 518,750 | |
| Diversified Capital Goods (2.6%) | |||||
| 575 | Belden, Inc., | ||||
| Rule 144A, Company Guaranteed Notes (Callable 06/15/14 @ $104.62) | (B+, Ba2) | 06/15/19 | 9.250 | 616,687 |
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| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Diversified Capital Goods | |||||
| $ 625 | Coleman | ||||
| Cable, Inc., Rule 144A, Senior Notes (Callable 02/15/14 @ | |||||
| $104.50)§ | (B, B3) | 02/15/18 | 9.000 | $ 634,375 | |
| 575 | Esco Corp., | ||||
| Rule 144A, Company Guaranteed Notes (Callable 12/15/10 @ $100.00)# | (B, B2) | 12/15/13 | 4.132 | 513,188 | |
| 800 | Mueller Water | ||||
| Products, Inc., Global Company Guaranteed Notes (Callable 06/01/12 @ | |||||
| $103.69)§ | (B-, B3) | 06/01/17 | 7.375 | 726,000 | |
| 450 | Rexnord LLC., | ||||
| Global Company Guaranteed Notes (Callable 08/01/10 @ $104.75)§ | (B-, Caa2) | 08/01/14 | 9.500 | 470,250 | |
| 450 | Sensus USA | ||||
| Systems, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ | |||||
| $101.44) | (B-, B3) | 12/15/13 | 8.625 | 461,250 | |
| 625 | Titan | ||||
| International, Inc., Global Company Guaranteed Notes | (B-, B2) | 01/15/12 | 8.000 | 628,125 | |
| 550 | TriMas Corp., | ||||
| Rule 144A, Senior Secured Notes (Callable 12/15/13 @ $104.88)§ | (B-, Caa1) | 12/15/17 | 9.750 | 572,000 | |
| 4,621,875 | |||||
| Electric - Generation (4.5%) | |||||
| 100 | Dynegy | ||||
| Holdings, Inc., Global Senior Unsecured Notes§ | (B, B3) | 06/01/15 | 7.500 | 83,500 | |
| 1,000 | Dynegy | ||||
| Holdings, Inc., Global Senior Unsecured Notes§ | (B, B3) | 05/01/16 | 8.375 | 835,000 | |
| 1,075 | Edison Mission | ||||
| Energy, Global Senior Unsecured Notes§ | (B, B2) | 05/15/17 | 7.000 | 755,187 | |
| 1,050 | Edison Mission | ||||
| Energy, Global Senior Unsecured Notes | (B, B2) | 05/15/19 | 7.200 | 729,750 | |
| 1,200 | Mirant Americas | ||||
| Generation LLC, Senior Unsecured Notes§ | (B-, B3) | 10/01/21 | 8.500 | 1,134,000 | |
| 268 | Mirant Mid | ||||
| Atlantic Trust, Series B, Global Pass Thru Certificates | (BB, Ba1) | 06/30/17 | 9.125 | 285,131 | |
| 200 | NRG | ||||
| Energy, Inc., Company Guaranteed Notes (Callable 01/15/12 @ $103.69) | (BB-, B1) | 01/15/17 | 7.375 | 198,500 | |
| 425 | NRG | ||||
| Energy, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.69) | (BB-, B1) | 02/01/16 | 7.375 | 422,875 | |
| 550 | NRG | ||||
| Energy, Inc., Company Guaranteed Notes (Callable 06/15/14 @ $104.25)§ | (BB-, B1) | 06/15/19 | 8.500 | 559,625 | |
| 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 | 2,292,500 | |
| 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 | 910,000 | |
| 8,206,068 | |||||
| Electric - Integrated (1.0%) | |||||
| 1,000 | The AES Corp., | ||||
| Global Senior Unsecured Notes§ | (BB-, B1) | 10/15/17 | 8.000 | 1,020,000 | |
| 200 | The AES Corp., | ||||
| Rule 144A, Senior Unsecured Notes§ | (BB-, B1) | 04/15/16 | 9.750 | 217,500 | |
| 550 | The AES Corp., | ||||
| Senior Unsecured Notes | (BB-, B1) | 03/01/14 | 7.750 | 565,125 | |
| 1,802,625 | |||||
| Electronics (1.3%) | |||||
| 850 | Freescale | ||||
| Semiconductor, Inc., Rule 144A, Senior Secured Notes (Callable | |||||
| 03/15/14 @ $105.06)§ | (B-, B2) | 03/15/18 | 10.125 | 919,062 | |
| 525 | Sanmina-SCI | ||||
| Corp., Company Guaranteed Notes (Callable 03/01/11 @ $104.06)§ | (CCC, B2) | 03/01/16 | 8.125 | 530,906 | |
| 775 | Viasystems, Inc., | ||||
| Rule 144A, Senior Secured Notes (Callable 07/15/12 @ $106.00) | (B+, B3) | 01/15/15 | 12.000 | 842,813 | |
| 2,292,781 | |||||
| Energy - Exploration & | |||||
| Production (4.7%) | |||||
| 475 | Berry Petroleum | ||||
| Co., Senior Subordinated Notes (Callable 11/01/11 @ $104.13)§ | (B, B3) | 11/01/16 | 8.250 | 483,312 | |
| 175 | Chesapeake | ||||
| Energy Corp., Company Guaranteed Notes§ | (BB, Ba3) | 12/15/18 | 7.250 | 175,875 | |
| 1,500 | Chesapeake | ||||
| Energy Corp., Global Company Guaranteed Notes (Callable 01/15/11 @ $101.15)§ | (BB, Ba3) | 01/15/16 | 6.875 | 1,488,750 | |
| 475 | Denbury | ||||
| Resources, Inc., Company Guaranteed Notes (Callable 03/01/13 @ $104.88)§ | (BB, B1) | 03/01/16 | 9.750 | 524,875 | |
| 300 | Forest Oil | ||||
| Corp., Global Company Guaranteed Notes (Callable 06/15/12 @ $103.63) | (BB-, B1) | 06/15/19 | 7.250 | 303,000 | |
| 600 | Hilcorp | ||||
| Financial Co., Rule 144A, Senior Unsecured Notes (Callable 06/01/11 @ | |||||
| $104.50) | (BB-, B2) | 06/01/16 | 9.000 | 627,000 | |
| 550 | Mariner | ||||
| Energy, Inc., Company Guaranteed Notes (Callable 05/15/12 @ $104.00) | (B+, B3) | 05/15/17 | 8.000 | 543,125 | |
| 425 | Penn Virginia | ||||
| Corp., Senior Notes (Callable 06/15/13 @ $105.19)§ | (BB-, B2) | 06/15/16 | 10.375 | 463,250 |
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| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Energy - Exploration & | |||||
| Production | |||||
| $ 925 | PetroHawk Energy | ||||
| Corp., Global Company Guaranteed Notes (Callable 06/01/12 @ $103.94) | (B, B3) | 06/01/15 | 7.875 | $ 946,969 | |
| 425 | Pioneer Natural | ||||
| Resources Co., Senior Unsecured Notes | (BB+, Ba1) | 01/15/20 | 7.500 | 439,406 | |
| 625 | Plains | ||||
| Exploration & Production Co., Company Guaranteed Notes (Callable | |||||
| 06/15/11 @ $103.88) | (BB-, B1) | 06/15/15 | 7.750 | 636,719 | |
| 375 | Stone Energy | ||||
| Corp., Company Guaranteed Notes (Callable 02/01/14 @ $104.31)§ | (BB-, Caa1) | 02/01/17 | 8.625 | 371,250 | |
| 475 | Stone Energy | ||||
| Corp., Global Senior Subordinated Notes (Callable 12/15/10 @ $102.25) | (CCC+, Caa2) | 12/15/14 | 6.750 | 420,375 | |
| 525 | Swift Energy Co, | ||||
| Company Guaranteed Notes (Callable 06/01/12 @ $103.56) | (BB-, B3) | 06/01/17 | 7.125 | 501,375 | |
| 450 | Whiting | ||||
| Petroleum Corp., Global Company Guaranteed Notes | (BB, B1) | 02/01/14 | 7.000 | 462,938 | |
| 8,388,219 | |||||
| Environmental (0.6%) | |||||
| 925 | Casella Waste | ||||
| Systems, Inc., Rule 144A, Senior Secured Notes (Callable 07/15/12 @ | |||||
| $105.50) | (B+, B2) | 07/15/14 | 11.000 | 996,688 | |
| Food & Drug Retailers (0.8%) | |||||
| 350 | Ingles | ||||
| Markets, Inc., Global Senior Unsecured Notes (Callable 05/15/13 @ | |||||
| $104.44)§ | (BB-, B1) | 05/15/17 | 8.875 | 367,500 | |
| 650 | Rite Aid Corp., | ||||
| Global Company Guaranteed Notes (Callable 06/15/11 @ $104.69)§ | (CCC, Caa3) | 12/15/15 | 9.375 | 562,250 | |
| 425 | Rite Aid Corp., | ||||
| Global Senior Secured Notes (Callable 06/12/13 @ $104.88)§ | (B+, B3) | 06/12/16 | 9.750 | 459,000 | |
| 1,388,750 | |||||
| Food - Wholesale (0.9%) | |||||
| 550 | Pinnacle Foods | ||||
| Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 04/01/11 @ | |||||
| $104.63)§ | (CCC+, Caa2) | 04/01/15 | 9.250 | 566,500 | |
| 375 | Smithfield | ||||
| Foods, Inc., Rule 144A, Senior Secured Notes§ | (B+, Ba3) | 07/15/14 | 10.000 | 420,000 | |
| 625 | Southern States | ||||
| Cooperative, Inc., Rule 144A, Senior Notes | (B+, B3) | 11/01/11 | 11.000 | 626,563 | |
| 1,613,063 | |||||
| Forestry & Paper (2.3%) | |||||
| 388 | Boise Cascade | ||||
| LLC, Global Company Guaranteed Notes (Callable 10/15/10 @ $102.38) | (B+, Caa1) | 10/15/14 | 7.125 | 360,840 | |
| 200 | Georgia-Pacific | ||||
| LLC Rule 144A, Company Guaranteed Notes (Callable 01/15/12 @ $103.56) | (BB+, Ba2) | 01/15/17 | 7.125 | 209,000 | |
| 450 | Georgia-Pacific | ||||
| LLC Rule 144A, Company Guaranteed Notes (Callable 05/01/13 @ $104.13) | (BB+, Ba2) | 05/01/16 | 8.250 | 492,750 | |
| 300 | NewPage Corp., | ||||
| Global Company Guaranteed Notes (Callable 05/01/10 @ $103.00) | (CCC-, Caa3) | 05/01/13 | 12.000 | 115,500 | |
| 575 | NewPage Corp., | ||||
| Global Secured Notes (Callable 05/01/10 @ $103.00)§ | (CCC-, Caa2) | 05/01/12 | 10.000 | 401,781 | |
| 1,050 | NewPage Corp., | ||||
| Global Senior Secured Notes (Callable 03/31/12 @ $105.00)§ | (CCC+, B2) | 12/31/14 | 11.375 | 1,050,000 | |
| 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 | 892,500 | |
| 675 | Verso | ||||
| Paper, Inc., Series B, Global Company Guaranteed Notes (Callable | |||||
| 08/01/11 @ $105.69)§ | (CCC, Caa1) | 08/01/16 | 11.375 | 592,313 | |
| 75 | Verso | ||||
| Paper, Inc., Series B, Global Senior Secured Notes (Callable | |||||
| 08/01/10 @ $104.56)§ | (B-, B2) | 08/01/14 | 9.125 | 73,125 | |
| 4,187,809 | |||||
| Gaming (4.7%) | |||||
| 775 | Buffalo Thunder | ||||
| Development Authority, Rule 144A, Senior Secured Notes (Callable | |||||
| 12/15/10 @ $104.69)ø | (NR, NR) | 12/15/14 | 9.375 | 106,563 | |
| 1,000 | Caesars | ||||
| Entertainment, Inc., Global Company Guaranteed Notes | (CCC-, Ca) | 05/15/11 | 8.125 | 1,006,250 | |
| 775 | CCM | ||||
| Merger, Inc., Rule 144A, Notes (Callable 08/01/10 @ $102.00) | (CCC+, Caa3) | 08/01/13 | 8.000 | 678,125 | |
| 140 | Choctaw Resort | ||||
| Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/11 @ | |||||
| $103.63) | (B, B2) | 11/15/19 | 7.250 | 95,900 | |
| 375 | FireKeepers | ||||
| Development Authority, Rule 144A, Senior Secured Notes (Callable | |||||
| 05/01/12 @ $110.50) | (B, B3) | 05/01/15 | 13.875 | 435,937 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105953\10-6593-4\task4078199\6593-4-bg-01.htm',USER='105953',CD='Apr 28 14:58 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Gaming | |||||
| $ 375 | Fontainebleau | ||||
| Las Vegas Holdings LLC, Rule 144A, Second Mortgage Notes (Callable | |||||
| 06/15/11 @ $105.13)ø | (NR, NR) | 06/15/15 | 11.000 | $ 6,094 | |
| 475 | Harrahs | ||||
| Operating Co., Inc., Global Senior Secured Notes (Callable 06/01/13 @ | |||||
| $105.63) | (B-, Caa1) | 06/01/17 | 11.250 | 514,187 | |
| 475 | Inn of the | ||||
| Mountain Gods Resort & Casino, Global Company Guaranteed Notesø§ | (D, Ca) | 11/15/10 | 12.000 | 230,375 | |
| 900 | Jacobs | ||||
| Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/15/10 | |||||
| @ $104.88) | (B-, B3) | 06/15/14 | 9.750 | 850,500 | |
| 625 | Majestic Star | ||||
| Casino Capital Corp., Senior Secured Notesø | (D, NR) | 10/15/10 | 9.500 | 409,375 | |
| 850 | Mashantucket | ||||
| Western Pequot Tribe, Rule 144A, Bonds (Callable 11/15/11 @ $104.25)ø | (D, NR) | 11/15/15 | 8.500 | 216,750 | |
| 525 | MGM | ||||
| Mirage, Inc., Company Guaranteed Notes§ | (CCC+, Caa1) | 06/01/16 | 7.500 | 439,687 | |
| 325 | MGM | ||||
| Mirage, Inc., Global Company Guaranteed Notes | (CCC+, Caa1) | 04/01/16 | 6.875 | 264,875 | |
| 600 | MGM | ||||
| Mirage, Inc., Rule 144A, Senior Secured Notes (Callable 05/15/13 @ | |||||
| $105.56) | (B, B1) | 11/15/17 | 11.125 | 678,000 | |
| 1,100 | MTR Gaming | ||||
| Group, Inc., Global Secured Notes (Callable 07/15/11 @ $106.31) | (B, B2) | 07/15/14 | 12.625 | 1,091,750 | |
| 850 | Peninsula Gaming | ||||
| LLC, Rule 144A, Senior Unsecured Notes (Callable 08/15/13 @ $105.38)§ | (B, B3) | 08/15/17 | 10.750 | 816,000 | |
| 435 | Tropicana | ||||
| Finance Corp., Global Senior Subordinated Notes (Callable 12/15/10 @ | |||||
| $104.81)ø | (NR, NR) | 12/15/14 | 9.625 | 653 | |
| 675 | Turning Stone | ||||
| Resort Casino Enterprise, Rule 144A, Senior Unsecured Notes (Callable | |||||
| 09/15/10 @ $104.56) | (B+, B1) | 09/15/14 | 9.125 | 678,375 | |
| 8,519,396 | |||||
| Gas Distribution (2.6%) | |||||
| 600 | Amerigas | ||||
| Partners LP, Global Senior Unsecured Notes (Callable 05/20/10 @ $103.63)§ | (NR, Ba3) | 05/20/15 | 7.250 | 612,000 | |
| 725 | El Paso Corp., | ||||
| Senior Unsecured Notes | (BB-, Ba3) | 06/01/18 | 7.250 | 751,757 | |
| 850 | El Paso | ||||
| Performance-Linked Trust, Rule 144A, Senior Unsecured Notes | (NR, Ba3) | 07/15/11 | 7.750 | 884,234 | |
| 525 | Inergy Finance | ||||
| Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13)§ | (B+, B1) | 03/01/16 | 8.250 | 543,375 | |
| 200 | Inergy Finance | ||||
| Corp., Global Company Guaranteed Notes (Callable 12/15/10 @ $102.29) | (B+, B1) | 12/15/14 | 6.875 | 201,000 | |
| 350 | MarkWest Energy | ||||
| Finance Corp., Series B, Global Company Guaranteed Notes (Callable | |||||
| 04/15/13 @ $104.38) | (B+, B2) | 04/15/18 | 8.750 | 360,937 | |
| 650 | Targa Resources | ||||
| Partners Finance Corp., Global Company Guaranteed Notes (Callable 07/01/12 @ | |||||
| $104.13) | (B, B2) | 07/01/16 | 8.250 | 667,875 | |
| 600 | The Williams | ||||
| Cos., Inc., Series A, Global Senior Unsecured Notes | (BB+, Baa3) | 01/15/31 | 7.500 | 661,075 | |
| 4,682,253 | |||||
| Health Facilities (5.7%) | |||||
| 225 | Alliance | ||||
| HealthCare Services, Inc., Rule 144A, Senior Notes (Callable | |||||
| 12/01/12 @ $104.00) | (B, B3) | 12/01/16 | 8.000 | 210,375 | |
| 575 | Bausch & | ||||
| Lomb, Inc., Global Senior Unsecured Notes (Callable 11/01/11 @ $104.94)§ | (B, Caa1) | 11/01/15 | 9.875 | 610,938 | |
| 350 | Biomet, Inc., | ||||
| Global Company Guaranteed Notes (Callable 10/15/12 @ $105.00) | (B-, B3) | 10/15/17 | 10.000 | 387,625 | |
| 350 | Biomet, Inc., | ||||
| Global Company Guaranteed Notes (Callable 10/15/12 @ $105.81)§ | (B-, Caa1) | 10/15/17 | 11.625 | 393,750 | |
| 725 | Community Health | ||||
| Systems, Inc., Global Company Guaranteed Notes (Callable 07/15/11 @ | |||||
| $104.44)§ | (B, B3) | 07/15/15 | 8.875 | 752,187 | |
| 2,325 | HCA, Inc., | ||||
| Global Secured Notes (Callable 11/15/11 @ $104.63) | (BB-, B2) | 11/15/16 | 9.250 | 2,477,578 | |
| 475 | HCA, Inc., | ||||
| Global Senior Unsecured Notes | (B-, Caa1) | 01/15/15 | 6.375 | 453,625 | |
| 525 | HCA, Inc., | ||||
| Rule 144A, Senior Secured Notes (Callable 08/15/14 @ $103.94) | (BB, Ba3) | 02/15/20 | 7.875 | 550,922 | |
| 875 | Inverness | ||||
| Medical Innovations, Inc., Company Guaranteed Notes (Callable 05/15/13 @ | |||||
| $104.50) | (B-, B3) | 05/15/16 | 9.000 | 894,687 | |
| 400 | Omega Healthcare | ||||
| Investors, Inc., Global Company Guaranteed Notes (Callable 01/15/11 @ | |||||
| $103.50) | (BB+, Ba3) | 01/15/16 | 7.000 | 402,000 | |
| 725 | Tenet Healthcare | ||||
| Corp., Global Senior Unsecured Notes§ | (CCC+, Caa2) | 02/01/15 | 9.250 | 763,969 | |
| 850 | Tenet Healthcare | ||||
| Corp., Rule 144A, Senior Secured Notes (Callable 07/01/14 @ $ 104.44) | (BB-, B2) | 07/01/19 | 8.875 | 924,375 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105953\10-6593-4\task4078199\6593-4-bg-01.htm',USER='105953',CD='Apr 28 14:58 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Health Facilities | |||||
| $ 175 | Universal | ||||
| Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/11 | |||||
| @ $101.00)§ | (B+, B3) | 06/01/15 | 8.500 | $ 175,000 | |
| 550 | Vanguard Holding | ||||
| Co. II, Inc., Rule 144A, Company Guaranteed Notes (Callable | |||||
| 02/01/14 @ $104.00) | (CCC+, B3) | 02/01/18 | 8.000 | 537,625 | |
| 687 | VWR | ||||
| Funding, Inc., Series B, Global Company Guaranteed Notes (Callable | |||||
| 07/15/11 @ $105.13)§ | (B-, Caa1) | 07/15/15 | 10.250 | 731,189 | |
| 10,265,845 | |||||
| Health Services (1.9%) | |||||
| 825 | Quintiles | ||||
| Transnational Corp., Rule 144A, Senior Notes (Callable 12/30/11 @ | |||||
| $102.00) | (B, B3) | 12/30/14 | 9.500 | 843,562 | |
| 1,100 | Rural/Metro | ||||
| Corp., Global Senior Discount Notes (Callable 03/15/11 @ $104.25) | (B, Caa1) | 03/15/16 | 12.750 | 1,171,500 | |
| 150 | Service Corp. | ||||
| International, Global Senior Unsecured Notes | (BB-, B1) | 10/01/18 | 7.625 | 152,625 | |
| 550 | Service Corp. | ||||
| International, Senior Unsecured Notes | (BB-, B1) | 11/15/21 | 8.000 | 559,625 | |
| 550 | Stewart | ||||
| Enterprises, Inc., Global Company Guaranteed Notes (Callable 02/15/11 @ | |||||
| $100.00) | (BB-, Ba3) | 02/15/13 | 6.250 | 544,500 | |
| 275 | Universal | ||||
| Hospital Services, Inc., Global Senior Secured Notes (Callable 06/01/10 | |||||
| @ $101.00)# | (B+, B3) | 06/01/15 | 3.859 | 235,813 | |
| 3,507,625 | |||||
| Hotels (0.9%) | |||||
| 475 | Felcor Lodging | ||||
| LP, Global Senior Secured Notes§ | (NR, B2) | 10/01/14 | 10.000 | 491,625 | |
| 425 | Host | ||||
| Hotels & Resorts LP, Rule 144A, Senior Unsecured Notes | |||||
| (Callable 05/15/13 @ $104.50)§ | (BB+, Ba1) | 05/15/17 | 9.000 | 461,125 | |
| 750 | Host | ||||
| Hotels & Resorts LP, Series Q, Global Company Guaranteed Notes | |||||
| (Callable 06/01/11 @ $103.33)§ | (BB+, Ba1) | 06/01/16 | 6.750 | 755,625 | |
| 1,708,375 | |||||
| Household & Leisure | |||||
| Products (0.3%) | |||||
| 550 | ALH Finance | ||||
| Corp., Global Company Guaranteed Notes (Callable 01/15/11 @ $100.00) | (B-, Caa1) | 01/15/13 | 8.500 | 552,750 | |
| lnvestments & Misc. | |||||
| Financial Services (0.2%) | |||||
| 425 | Nuveen | ||||
| Investments, Inc., Global Company Guaranteed Notes (Callable 11/15/11 | |||||
| @105.25) | (CCC, Caa3) | 11/15/15 | 10.500 | 414,375 | |
| Leisure (0.4%) | |||||
| 472 | Six Flags | ||||
| Operations, Inc., Rule 144A, Company Guaranteed Notes (Callable | |||||
| 07/15/13 @ $106.12)ø | (D, NR) | 07/15/16 | 12.250 | 554,600 | |
| 600 | Six | ||||
| Flags, Inc., Global Senior Unsecured Notes (Callable 06/01/10 @ | |||||
| $103.21)ø | (D, NR) | 06/01/14 | 9.625 | 192,000 | |
| 746,600 | |||||
| Machinery (0.8%) | |||||
| 700 | Baldor Electric | ||||
| Co., Company Guaranteed Notes (Callable 02/15/12 @ $104.31)§ | (B, B3) | 02/15/17 | 8.625 | 743,750 | |
| 500 | CPM | ||||
| Holdings, Inc., Rule 144A, Senior Secured Notes (Callable 09/01/12 | |||||
| @ $105.31) | (B+, B2) | 09/01/14 | 10.625 | 535,000 | |
| 250 | Terex Corp., Senior | ||||
| Subordinated Notes (Callable 11/15/12 @ $104.00)§ | (B, Caa1) | 11/15/17 | 8.000 | 244,375 | |
| 1,523,125 | |||||
| Media - Broadcast (1.9%) | |||||
| 475 | Allbritton | ||||
| Communications Co., Global Senior Subordinated Notes (Callable 12/15/10 @ $100.00)§ | (B-, B3) | 12/15/12 | 7.750 | 478,563 | |
| 515 | Barrington | ||||
| Broadcasting Capital Corp., Global Company Guaranteed Notes (Callable | |||||
| 08/15/10 @ $105.25) | (CCC-, Caa3) | 08/15/14 | 10.500 | 455,775 | |
| 775 | Clear Channel | ||||
| Communications, Inc., Senior Unsecured Notes§ | (CCC-, Ca) | 09/15/14 | 5.500 | 496,000 | |
| 200 | Clear Channel | ||||
| Worldwide Holdings, Inc., Rule 144A, Company Guaranteed Notes | |||||
| (Callable 12/15/12 @ $106.94) | (B, B2) | 12/15/17 | 9.250 | 208,750 | |
| 675 | Clear Channel | ||||
| Worldwide Holdings, Inc., Rule 144A, Company Guaranteed Notes | |||||
| (Callable 12/15/12 @ $106.94) | (B, B2) | 12/15/17 | 9.250 | 708,750 | |
| 46 | CMP Susquehanna | ||||
| Corp., Global Company Guranteed Notes (Callable 05/15/10 @ $104.94) | (NR, Ca) | 05/15/14 | 3.272 | 13,800 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105924\10-6593-4\task4091608\6593-4-bg-03.htm',USER='105924',CD='May 1 15:13 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Media - Broadcast | |||||
| $ 550 | Fisher | ||||
| Communications, Inc., Global Company Guaranteed Notes (Callable 09/15/10 | |||||
| @ $102.88) | (B-, B2) | 09/15/14 | 8.625 | $ 543,125 | |
| 441 | Local TV Finance | ||||
| LLC, Rule 144A, Senior Unsecured Notes (Callable 06/15/11 @ $104.63) | (CCC, Caa3) | 06/15/15 | 9.250 | 291,060 | |
| 354 | Umbrella | ||||
| Acquisition, Inc., Rule 144A, Company Guaranteed Notes (Callable | |||||
| 03/15/11 @ $104.88)§ | (CCC, Caa2) | 03/15/15 | 9.750 | 307,513 | |
| 925 | Young | ||||
| Broadcasting, Inc., Global Company Guaranteed Notes (Callable 01/15/11 @ | |||||
| $101.46)ø | (D, NR) | 01/15/14 | 8.750 | 6,475 | |
| 3,509,811 | |||||
| Media - Cable (4.0%) | |||||
| 1,165 | Atlantic | ||||
| Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/11 @ | |||||
| $101.56) | (B-, Caa1) | 01/15/14 | 9.375 | 1,170,825 | |
| 694 | CCH II Capital | ||||
| Corp., Global Senior Notes (Callable 11/30/12 @ $106.75)§ | (B, B2) | 11/30/16 | 13.500 | 838,207 | |
| 1,050 | Cequel Capital | ||||
| Corp., Rule 144A, Senior Unsecured Notes (Callable 11/15/12 @ $106.47)§ | (B-, B3) | 11/15/17 | 8.625 | 1,084,125 | |
| 125 | Charter | ||||
| Communications Operating Capital, Rule 144A, Secured Notes (Callable | |||||
| 03/15/12 @ $105.44) | (BB-, B1) | 09/15/14 | 10.875 | 140,469 | |
| 450 | CSC | ||||
| Holdings, Inc., Rule 144A, Senior Unsecured Notes | (BB, Ba3) | 04/15/14 | 8.500 | 481,500 | |
| 1,050 | CSC | ||||
| Holdings, Inc., Rule 144A, Senior Unsecured Notes§ | (BB, Ba3) | 02/15/19 | 8.625 | 1,155,000 | |
| 250 | CSC | ||||
| Holdings, Inc., Rule 144A, Senior Unsecured Notes (Callable | |||||
| 06/15/12 @ $104.25) | (BB, Ba3) | 06/15/15 | 8.500 | 266,250 | |
| 525 | DISH DBS Corp., | ||||
| Global Company Guaranteed Notes | (BB-, Ba3) | 10/01/14 | 6.625 | 530,250 | |
| 600 | DISH DBS Corp., | ||||
| Global Company Guaranteed Notes§ | (BB-, Ba3) | 05/31/15 | 7.750 | 630,000 | |
| 475 | Mediacom | ||||
| Broadband Corp., Global Senior Unsecured Notes (Callable 10/15/10 @ $104.25)§ | (B-, B3) | 10/15/15 | 8.500 | 488,062 | |
| 400 | Mediacom Capital | ||||
| Corp., Rule 144A, Senior Notes (Callable 08/15/14 @ $104.56) | (B-, B3) | 08/15/19 | 9.125 | 414,500 | |
| 7,199,188 | |||||
| Media - Diversified (0.4%) | |||||
| 775 | Block | ||||
| Communications, Inc., Rule 144A, Senior Notes (Callable 12/15/10 @ | |||||
| $104.13) | (B, B1) | 12/15/15 | 8.250 | 778,875 | |
| Media - Services (0.8%) | |||||
| 450 | Nielsen Finance | ||||
| Co., Global Company Guaranteed Notes (Callable 05/01/13 @ $105.75) | (B-, Caa1) | 05/01/16 | 11.500 | 510,750 | |
| 675 | WMG Acquisition | ||||
| Corp., Global Company Guaranteed Notes (Callable 04/15/10 @ $102.46) | (B, B1) | 04/15/14 | 7.375 | 651,375 | |
| 250 | WMG Acquisition | ||||
| Corp., Rule 144A, Senior Secured Notes (Callable 06/15/13 @ $104.75) | (BB, Ba2) | 06/15/16 | 9.500 | 268,438 | |
| 1,430,563 | |||||
| Metals & Mining - | |||||
| Excluding Steel (1.7%) | |||||
| 175 | Aleris | ||||
| International, Inc., Global Company Guaranteed Notes (Callable 12/15/10 | |||||
| @ $104.50)ø | (D, NR) | 12/15/14 | 9.000 | 1,969 | |
| 675 | Aleris | ||||
| International, Inc., Global Company Guaranteed Notes (Callable 12/15/11 | |||||
| @ $105.00)ø | (D, NR) | 12/15/16 | 10.000 | 4,725 | |
| 975 | Consol | ||||
| Energy, Inc. Rule 144A, Senior Secured Notes (callable 04/01/15 @ | |||||
| $104.13) | (BB, B1) | 04/01/20 | 8.250 | 1,006,687 | |
| 625 | Freeport-McMoRan | ||||
| Copper & Gold, Inc., Senior Unsecured Notes (Callable 04/01/12 | |||||
| @ $104.19) | (BBB-, Ba2) | 04/01/17 | 8.375 | 696,244 | |
| 1,122 | Noranda | ||||
| Aluminium Acquisition Corp., Global Company Guaranteed Notes (Callable | |||||
| 05/15/10 @ $100.00)# | (CCC, Caa1) | 05/15/15 | 5.274 | 897,682 | |
| 475 | Novelis, Inc., | ||||
| Global Company Guaranteed Notes (Callable 08/15/12 @ $108.62)§ | (B-, Caa1) | 02/15/15 | 11.500 | 513,594 | |
| 3,120,901 | |||||
| Oil Field Equipment & Services (3.2%) | |||||
| 525 | Bristow | ||||
| Group, Inc., Global Company Guaranteed Notes (Callable 09/15/12 @ | |||||
| $103.75) | (BB, Ba2) | 09/15/17 | 7.500 | 532,875 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105924\10-6593-4\task4091608\6593-4-bg-03.htm',USER='105924',CD='May 1 15:13 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Oil Field Equipment & | |||||
| Services | |||||
| $ 900 | Calfrac Holdings | ||||
| LP, Rule 144A, Company Guaranteed Notes (Callable 02/15/11 @ $103.88) | (NR, B2) | 02/15/15 | 7.750 | $ 898,875 | |
| 650 | Edgen Murray | ||||
| Corp., Rule 144A, Senior Secured Notes (Callable 01/15/13 @ $106.13) | (B, Caa1) | 01/15/15 | 12.250 | 611,813 | |
| 525 | Helix Energy | ||||
| Solutions Group, Inc., Rule 144A, Company Guaranteed Notes | |||||
| (Callable 01/15/12 @ $104.75) | (B, B3) | 01/15/16 | 9.500 | 543,375 | |
| 250 | Hornbeck | ||||
| Offshore Services, Inc., Global Company Guaranteed Notes (Callable | |||||
| 09/01/13 @ $104.00) | (BB-, Ba3) | 09/01/17 | 8.000 | 251,250 | |
| 350 | Hornbeck | ||||
| Offshore Services, Inc., Series B, Global Company Guaranteed Notes | |||||
| (Callable 12/01/10 @ $102.04)§ | (BB-, Ba3) | 12/01/14 | 6.125 | 337,750 | |
| 600 | Key Energy | ||||
| Services, Inc., Global Company Guaranteed Notes (Callable 12/01/11 @ | |||||
| $104.19)§ | (BB-, B1) | 12/01/14 | 8.375 | 609,750 | |
| 650 | McJunkin Red Man | ||||
| Corp., Rule 144A, Senior Secured Notes (Callable 12/15/12 @ $107.13) | (B, B3) | 12/15/16 | 9.500 | 667,062 | |
| 800 | Pioneer Drilling | ||||
| Co., Rule 144A, Senior Notes (Callable 03/15/14 @ $104.94) | (B, B3) | 03/15/18 | 9.875 | 796,000 | |
| 400 | Pride | ||||
| International, Inc., Senior Unsecured Notes | (BBB-, Ba1) | 06/15/19 | 8.500 | 454,000 | |
| 5,702,750 | |||||
| Oil | |||||
| Refining & Marketing (1.0%) | |||||
| 725 | Coffeyville | ||||
| Resources LLC, Rule 144A, Senior Secured Notes (Callable 04/01/13 @ | |||||
| $108.16) | (BB-, B3) | 04/01/17 | 10.875 | 723,188 | |
| 475 | Tesoro Corp., | ||||
| Company Guaranteed Notes (Callable 06/01/14 @ $104.88) | (BB+, Ba1) | 06/01/19 | 9.750 | 498,750 | |
| 700 | Western | ||||
| Refining, Inc., Rule 144A, Senior Secured Notes (Callable 12/15/11 | |||||
| @ $105.00)# | (BB-, B3) | 06/15/14 | 10.750 | 633,500 | |
| 1,855,438 | |||||
| Packaging (1.3%) | |||||
| 765 | Berry Plastics | ||||
| Corp., Global Secured Notes (Callable 09/15/10 @ $104.44)§ | (CCC, Caa1) | 09/15/14 | 8.875 | 750,656 | |
| 800 | GPC Capital | ||||
| Corp. I, Global Company Guaranteed Notes (Callable 10/15/10 @ $103.29)§ | (CCC+, Caa1) | 10/15/14 | 9.875 | 834,000 | |
| 750 | GPC Capital | ||||
| Corp. I, Rule 144A, Senior Notes (Callable 01/01/14 @ $104.13)§ | (CCC+, Caa1) | 01/01/17 | 8.250 | 759,375 | |
| 2,344,031 | |||||
| Pharmaceuticals (0.5%) | |||||
| 450 | PharmaNet | ||||
| Development Group, Inc., Rule 144A, Senior Secured Notes (Callable | |||||
| 04/15/14 @105.44) | (B+, B3) | 04/15/17 | 10.875 | 450,000 | |
| 431 | QHP Royalty Sub | ||||
| LLC, Rule 144A, Senior Secured Notes | (NR, NR) | 03/15/15 | 10.250 | 436,165 | |
| 886,165 | |||||
| Printing & | |||||
| Publishing (1.6%) | |||||
| 875 | Cengage Learning | ||||
| Acquisitions, Inc., Rule 144A, Senior Notes (Callable 07/15/11 @ | |||||
| $105.25) | (CCC+, Caa2) | 01/15/15 | 10.500 | 844,375 | |
| 500 | Cenveo Corp., | ||||
| Global Senior Subordinated Notes (Callable 12/01/10 @ $101.31)§ | (B-, Caa1) | 12/01/13 | 7.875 | 481,250 | |
| 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 | 0 | |
| 1,075 | The Readers | ||||
| Digest Association, Inc., Rule 144A, Senior Secured Notes (Callable | |||||
| 02/15/13 @ $104.00)#§ | (B, B1) | 02/15/17 | 9.500 | 1,101,875 | |
| 525 | Valassis Communications, Inc., | ||||
| Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13) | (B-, B3) | 03/01/15 | 8.250 | 542,062 | |
| 2,969,562 | |||||
| Railroads (0.3%) | |||||
| 500 | Kansas City | ||||
| Southern Railway, Company Guaranteed Notes (Callable 06/01/12 @ $104.00)§ | (B+, B2) | 06/01/15 | 8.000 | 521,875 | |
| Restaurants (0.3%) | |||||
| 475 | Dennys | ||||
| Holdings, Inc., Global Company Guaranteed Notes (Callable 10/01/10 @ | |||||
| $100.00) | (B-, Caa1) | 10/01/12 | 10.000 | 486,875 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105924\10-6593-4\task4091608\6593-4-bg-03.htm',USER='105924',CD='May 1 15:13 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Software/Services (2.2%) | |||||
| $ 450 | First Data | ||||
| Corp., Global Company Guaranteed Notes (Callable 09/30/11 @ $104.94) | (B-, Caa1) | 09/24/15 | 9.875 | $ 390,375 | |
| 875 | SunGard Data | ||||
| Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/10 @ | |||||
| $105.13)§ | (B-, Caa1) | 08/15/15 | 10.250 | 924,218 | |
| 475 | Unisys Corp., | ||||
| Rule 144A, Senior Secured Notes (Callable 10/15/12 @ $106.38)§ | (BB-, Ba3) | 10/15/14 | 12.750 | 556,344 | |
| 700 | Unisys Corp., | ||||
| Senior Unsecured Notes (Callable 01/15/12 @ $106.25) | (B, Caa1) | 01/15/16 | 12.500 | 778,750 | |
| 1,325 | Vangent, Inc., | ||||
| Global Company Guaranteed Notes (Callable 02/15/11 @ $104.81) | (CCC+, Caa2) | 02/15/15 | 9.625 | 1,238,875 | |
| 3,888,562 | |||||
| Specialty Retail (1.6%) | |||||
| 525 | Asbury | ||||
| Automotive Group, Inc., Global Company Guaranteed Notes (Callable | |||||
| 03/15/12 @ $103.81) | (B-, Caa1) | 03/15/17 | 7.625 | 502,688 | |
| 825 | Brookstone | ||||
| Co., Inc., Global Senior Secured Notes (Callable 10/15/10 @ $103.00) | (CCC-, Caa3) | 10/15/12 | 12.000 | 647,625 | |
| 200 | QVC, Inc. | ||||
| Rule 144A, Senior Secured Notes | (BB+, Ba2) | 10/15/20 | 7.375 | 202,000 | |
| 400 | SGS | ||||
| International, Inc., Global Company Guaranteed Notes (Callable 12/15/10 | |||||
| @ $103.00) | (B-, B3) | 12/15/13 | 12.000 | 422,500 | |
| 655 | Susser Finance | ||||
| Corp., Global Company Guaranteed Notes (Callable 12/15/10 @ $102.66) | (B+, B3) | 12/15/13 | 10.625 | 684,475 | |
| 400 | Yankee | ||||
| Acquisition Corp., Series B, Global Company Guaranteed Notes (Callable | |||||
| 02/15/11 @ $104.25)§ | (B-, B3) | 02/15/15 | 8.500 | 414,000 | |
| 2,873,288 | |||||
| Steel Producers/Products (1.1%) | |||||
| 700 | California Steel | ||||
| Industries, Inc., Global Senior Notes (Callable 03/15/11 @ $101.02) | (BB-, B1) | 03/15/14 | 6.125 | 669,375 | |
| 800 | Ryerson, Inc., | ||||
| Global Senior Secured Notes (Callable 11/01/11 @ $106.00) | (CCC+, Caa1) | 11/01/15 | 12.000 | 844,000 | |
| 475 | Tube City IMS | ||||
| Corp., Global Company Guaranteed Notes (Callable 02/01/11 @ $104.88) | (B-, Caa1) | 02/01/15 | 9.750 | 469,656 | |
| 1,983,031 | |||||
| Support-Services (2.9%) | |||||
| 750 | Ashtead | ||||
| Capital, Inc., Rule 144A, Secured Notes (Callable 08/15/11 @ | |||||
| $104.50) | (B+, B2) | 08/15/16 | 9.000 | 763,125 | |
| 550 | DynCorp | ||||
| International, Series B, Global Senior Subordinated Notes (Callable | |||||
| 02/15/11 @ $100.00) | (B+, B1) | 02/15/13 | 9.500 | 559,625 | |
| 125 | Iron | ||||
| Mountain, Inc., Company Guaranteed Notes (Callable 06/15/13 @ $104.00) | (B+, B2) | 06/15/20 | 8.000 | 128,750 | |
| 175 | Iron | ||||
| Mountain, Inc., Senior Subordinated Notes (Callable 08/15/14 @ $104.19) | (B+, B2) | 08/15/21 | 8.375 | 182,875 | |
| 425 | Maxim Crane | ||||
| Works LP, Rule 144A, Senior Secured Notes (Callable 04/15/12 @ $109.19) | (B, Caa1) | 04/15/15 | 12.250 | 413,482 | |
| 650 | Mobile | ||||
| Mini, Inc., Global Company Guaranteed Notes (Callable 08/01/10 @ | |||||
| $104.88) | (B+, B2) | 08/01/14 | 9.750 | 676,000 | |
| 325 | Sothebys, | ||||
| Global Company Guaranteed Notes | (B, B1) | 06/15/15 | 7.750 | 331,906 | |
| 400 | The Hertz Corp., | ||||
| Global Company Guaranteed Notes (Callable 01/01/11 @ $105.25)§ | (CCC+, B3) | 01/01/16 | 10.500 | 431,500 | |
| 175 | Travelport LLC, | ||||
| Global Company Guaranteed Notes (Callable 09/01/10 @ $104.94) | (CCC+, B3) | 09/01/14 | 9.875 | 183,750 | |
| 775 | Travelport LLC, | ||||
| Global Company Guaranteed Notes (Callable 09/01/11 @ $105.94)§ | (CCC, Caa1) | 09/01/16 | 11.875 | 853,469 | |
| 400 | United Rentals | ||||
| North America, Inc., Global Company Guaranteed Notes (Callable 02/15/11 | |||||
| @ $101.17)§ | (CCC+, Caa1) | 02/15/14 | 7.000 | 372,000 | |
| 275 | United Rentals | ||||
| North America, Inc., Global Company Guaranteed Notes (Callable 06/15/13 | |||||
| @ $105.44) | (B, B3) | 06/15/16 | 10.875 | 300,438 | |
| 5,196,920 | |||||
| Telecom - Integrated/Services (4.9%) | |||||
| 375 | Cincinnati | ||||
| Bell, Inc., Global Company Guaranteed Notes (Callable 01/15/11 @ | |||||
| $101.40)§ | (B-, B2) | 01/15/14 | 8.375 | 387,656 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105924\10-6593-4\task4091608\6593-4-bg-03.htm',USER='105924',CD='May 1 15:13 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| U.S. CORPORATE BONDS | |||||
| Telecom - Integrated/Services | |||||
| $ 275 | Cincinnati | ||||
| Bell, Inc., Global Company Guaranteed Notes (Callable 02/15/11 @ | |||||
| $102.33) | (B+, Ba3) | 02/15/15 | 7.000 | $ 268,813 | |
| 475 | Frontier | ||||
| Communications Corp., Senior Unsecured Notes§ | (BB, Ba2) | 10/01/18 | 8.125 | 477,375 | |
| 700 | HNS Finance | ||||
| Corp., Global Company Guaranteed Notes (Callable 04/15/10 @ $104.75) | (B, B1) | 04/15/14 | 9.500 | 722,750 | |
| 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 02/15/11 @ | |||||
| $100.00)# | (CCC, Caa1) | 02/15/15 | 4.140 | 709,750 | |
| 550 | Level 3 | ||||
| Financing, Inc., Rule 144A, Company Guaranteed Notes (Callable | |||||
| 02/01/14 @ $105.00) | (CCC, Caa1) | 02/01/18 | 10.000 | 528,000 | |
| 425 | New | ||||
| Communications Holdings, Inc. Rule 144A, Senior Notes | (BB, Ba2) | 04/15/20 | 8.500 | 430,313 | |
| 950 | Paetec Holding | ||||
| Corp., Global Company Guaranteed Notes (Callable 07/15/11 @ $104.75)§ | (CCC+, Caa1) | 07/15/15 | 9.500 | 966,625 | |
| 300 | Qwest | ||||
| Communications International, Inc., Rule 144A, Company Guaranteed | |||||
| Notes (Callable 10/01/12 @ $104.00) | (B+, Ba3) | 10/01/15 | 8.000 | 321,000 | |
| 1,275 | Qwest | ||||
| Communications International, Inc., Series B, Global Company | |||||
| Guaranteed Notes (Callable 02/15/11 @ $101.25) | (B+, Ba3) | 02/15/14 | 7.500 | 1,303,687 | |
| 300 | Windstream Corp. | ||||
| Global Company Guaranteed Notes | (B+, Ba3) | 11/01/17 | 7.875 | 297,000 | |
| 675 | Windstream | ||||
| Corp., Global Company Guaranteed Notes (Callable 08/01/11 @ $104.31) | (B+, Ba3) | 08/01/16 | 8.625 | 693,562 | |
| 8,831,781 | |||||
| Telecom - Wireless (3.6%) | |||||
| 600 | Cricket | ||||
| Communications, Inc., Global Company Guaranteed Notes (Callable 11/01/10 | |||||
| @ $104.69)§ | (B-, B3) | 11/01/14 | 9.375 | 613,500 | |
| 200 | Cricket | ||||
| Communications, Inc., Global Senior Secured Notes (Callable 05/15/12 @ | |||||
| $105.81)§ | (B+, Ba2) | 05/15/16 | 7.750 | 208,500 | |
| 1,050 | GeoEye, Inc., | ||||
| Rule 144A, Senior Secured Notes (Callable 10/01/13 @ $104.81) | (B, B1) | 10/01/15 | 9.625 | 1,078,875 | |
| 615 | MetroPCS | ||||
| Wireless, Inc., Global Company Guaranteed Notes (Callable 11/01/10 @ | |||||
| $104.63)§ | (B, B2) | 11/01/14 | 9.250 | 631,913 | |
| 2,325 | Nextel | ||||
| Communications, Inc., Series F, Company Guaranteed Notes (Callable | |||||
| 03/15/11 @ $101.74) | (BB-, Ba2) | 03/15/14 | 5.950 | 2,179,687 | |
| 1,950 | Sprint Nextel | ||||
| Corp., Senior Unsecured Notes§ | (BB-, Ba3) | 12/01/16 | 6.000 | 1,769,625 | |
| 6,482,100 | |||||
| Telecommunications Equipment (0.4%) | |||||
| 675 | Avaya, Inc., | ||||
| Global Company Guaranteed Notes (Callable 11/01/11 @ $104.88) | (CCC+, Caa2) | 11/01/15 | 9.750 | 661,500 | |
| Textiles & Apparel (0.5%) | |||||
| 850 | Levi | ||||
| Strauss & Co., Global Senior Notes (Callable 01/15/11 @ $103.25)§ | (B+, B2) | 01/15/15 | 9.750 | 894,625 | |
| Theaters & Entertainment (0.7%) | |||||
| 625 | AMC | ||||
| Entertainment, Inc., Global Company Guaranteed Notes (Callable 03/01/11 | |||||
| @ $101.33)§ | (CCC+, Caa1) | 03/01/14 | 8.000 | 632,031 | |
| 675 | AMC | ||||
| Entertainment, Inc., Global Senior Unsecured Notes (Callable 06/01/14 @ | |||||
| $104.38)§ | (B-, B1) | 06/01/19 | 8.750 | 712,125 | |
| 1,344,156 | |||||
| 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 | 472,500 | |
| TOTAL U.S. CORPORATE BONDS (Cost $159,342,846) | 158,492,498 | ||||
| FOREIGN CORPORATE BONDS (8.7%) | |||||
| Aerospace & Defense (0.5%) | |||||
| 900 | Bombardier, Inc., | ||||
| Rule 144A, Senior Notes (Canada) | (BB+, Ba2) | 03/15/20 | 7.750 | 945,000 | |
| Chemicals (1.2%) | |||||
| 1,125 | Cognis GmbH, | ||||
| Rule 144A, Senior Secured Notes (Germany)# | (B-, B2) | 09/15/13 | 2.257 | 1,085,625 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105924\10-6593-4\task4091608\6593-4-bg-03.htm',USER='105924',CD='May 1 15:13 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| FOREIGN CORPORATE BONDS | |||||
| Chemicals | |||||
| $ 1,300 | Ineos Group | ||||
| Holdings PLC, Rule 144A, Secured Notes (Callable 02/15/11 @ $104.25) | |||||
| (United Kingdom)§ | (CCC-, Caa3) | 02/15/16 | 8.500 | $ 1,079,000 | |
| 2,164,625 | |||||
| Electronics (0.1%) | |||||
| 75 | NXP Funding LLC, | ||||
| Series EXCH, Global Senior Secured Notes (Callable 10/15/10 @ $103.94) | |||||
| (Netherlands) | (CCC+, C) | 10/15/14 | 7.875 | 73,500 | |
| Energy - Exploration & | |||||
| Production (0.3%) | |||||
| 550 | OPTI | ||||
| Canada, Inc., Global Senior Secured Notes (Callable 12/15/10 @ $104.13) | |||||
| (Canada) | (B, Caa3) | 12/15/14 | 8.250 | 519,750 | |
| Forestry & Paper (1.0%) | |||||
| 1,450 | Abitibi-Consolidated | ||||
| Co. of Canada, Global Company Guaranteed Notes (Canada)ø | (D, NR) | 06/15/11 | 7.750 | 366,125 | |
| 500 | Smurfit Kappa | ||||
| Acquisitions, Rule 144A, Senior Secured Notes (Callable 11/15/13 @ | |||||
| $103.63) (Ireland) | (BB, Ba2) | 11/15/17 | 7.250 | 703,612 | |
| 750 | Smurfit Kappa | ||||
| Funding PLC, Global Senior Subordinated Notes (Callable 01/31/11 @ $102.58) | |||||
| (Ireland)§ | (B, B2) | 04/01/15 | 7.750 | 738,750 | |
| 1,808,487 | |||||
| Gaming (0.8%) | |||||
| 300 | Cirsa Finance | ||||
| Luxembourg SA, Company Guaranteed Notes (Callable 05/15/10 @ 102.92) | |||||
| (Luxembourg) | (B+, B2) | 05/15/14 | 8.750 | 414,556 | |
| 400 | Codere Finance | ||||
| Luxembourg SA, Rule 144A, Senior Secured Notes (Callable 06/15/10 @ | |||||
| $104.13) (Luxembourg) | (B, B2) | 06/15/15 | 8.250 | 535,828 | |
| 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 | 455,825 | |
| 1,406,209 | |||||
| Media - Cable (0.6%) | |||||
| 200 | UPC Germany | ||||
| GmbH, Rule 144A, Senior Secured Notes (Callable 12/01/12 @ $108.22) | |||||
| (Germany) | (BB-, B1) | 12/01/17 | 8.125 | 282,798 | |
| 60 | Virgin Media | ||||
| Finance PLC, Global Company Guaranteed Notes (Callable 04/15/10 @ $103.25) | |||||
| (United Kingdom) | (B, B2) | 04/15/14 | 9.750 | 95,470 | |
| 150 | Virgin Media | ||||
| Finance PLC, Global Company Guaranteed Notes (Callable 08/15/11 @ $104.56) | |||||
| (United Kingdom) | (B, B2) | 08/15/16 | 9.125 | 160,125 | |
| 500 | Virgin Media | ||||
| Finance PLC, Global Company Guaranteed Notes (Callable 10/15/14 @ $104.19) | |||||
| (United Kingdom) | (B, B2) | 10/15/19 | 8.375 | 516,250 | |
| 1,054,643 | |||||
| Media - Diversified (0.4%) | |||||
| 775 | Quebecor | ||||
| Media, Inc., Global Senior Unsecured Notes (Callable 03/15/11 @ $103.88) | |||||
| (Canada) | (B, B2) | 03/15/16 | 7.750 | 788,562 | |
| Metals & Mining - | |||||
| Excluding Steel (0.6%) | |||||
| 850 | Teck Resources, | ||||
| Ltd., Global Senior Secured Notes (Callable 05/15/14 @ $105.38) (Canada) | (BB+, Ba1) | 05/15/19 | 10.750 | 1,045,500 | |
| 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 | 478,563 | |
| 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 | 253,368 | |
| Support-Services (0.2%) | |||||
| 375 | Garda World | ||||
| Security Corp., Rule 144A, Senior Unsecured Notes (Callable 03/15/14 @ | |||||
| $104.88) (Canada) | (B, B3) | 03/15/17 | 9.750 | 385,781 | |
| Telecom - Integrated/Services (0.8%) | |||||
| 974 | Global Crossing | ||||
| UK Finance PLC, Global Senior Secured Notes (Callable 12/15/10 @ $103.58) | |||||
| (United Kingdom) | (B-, B3) | 12/15/14 | 10.750 | 1,027,570 | |
| 350 | Hellas | ||||
| Telecommunications II SCA, Rule 144A, Subordinated Notes (Luxembourg)ø# | (D, C) | 01/15/15 | 6.034 | 15,750 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105924\10-6593-4\task4091608\6593-4-bg-03.htm',USER='105924',CD='May 1 15:13 2010'
| Par (000) | Ratings (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| FOREIGN CORPORATE BONDS | |||||
| Telecom - Integrated/Services | |||||
| $ 375 | Intelsat | ||||
| Subsidiary Holding Co., Ltd., Global Company Guaranteed Notes (Callable | |||||
| 01/15/11 @ $102.96) (Bermuda) | (B+, B3) | 01/15/15 | 8.875 | $ 389,062 | |
| 1,432,382 | |||||
| Telecom - Wireless (0.3%) | |||||
| 50 | Wind Acquisition | ||||
| Finance SA, Rule 144A, Company Guaranteed Notes (Callable 07/15/13 @ | |||||
| $105.88) (Luxembourg) | (B+, B2) | 07/15/17 | 11.750 | 55,500 | |
| 350 | Wind Acquisition | ||||
| Finance SA, Rule 144A, Company Guaranteed Notes (Callable 07/15/13 @ | |||||
| $105.88) (Luxembourg) | (B+, B2) | 07/15/17 | 11.750 | 528,047 | |
| 583,547 | |||||
| Textiles & Apparel (0.0%) | |||||
| 150 | IT Holding | ||||
| Finance SA, Rule 144A, Company Guaranteed Notes (Luxembourg)ø | (NR, NR) | 11/15/12 | 9.875 | 35,519 | |
| Transportation - Excluding Air/Rail (1.4%) | |||||
| 1,125 | Navios Maritime | ||||
| Holdings, Inc., Global Company Guaranteed Notes (Callable 12/15/10 @ | |||||
| $104.75) (Marshall Islands) | (B+, B3) | 12/15/14 | 9.500 | 1,139,062 | |
| 975 | Ship Finance | ||||
| International, Ltd., Global Company Guaranteed Notes (Callable 12/15/10 @ | |||||
| $102.83) (Bermuda) | (B+, B1) | 12/15/13 | 8.500 | 970,125 | |
| 450 | Teekay Corp., | ||||
| Global Senior Unsecured Notes (Canada) | (BB, B1) | 01/15/20 | 8.500 | 472,500 | |
| 2,581,687 | |||||
| TOTAL FOREIGN CORPORATE BONDS (Cost $15,509,116) | 15,557,123 | ||||
| BANK LOANS (1.5%) | |||||
| Energy - Exploration & | |||||
| Production (0.6%) | |||||
| 1,056 | ATP | ||||
| Oil & Gas | (NR, NR) | 07/15/14 | 5.750 | 1,066,905 | |
| Gaming (0.3%) | |||||
| 489 | CCM | ||||
| Merger, Inc. | (NR, NR) | 07/21/12 | 8.500 | 481,297 | |
| Pharmaceuticals (0.2%) | |||||
| 393 | Nycomed Holdings | ||||
| Aps | (NR, NR) | 12/29/13 | 7.350 | 357,999 | |
| Telecommunications Equipment (0.4%) | |||||
| 920 | AVAYA, Inc. | (NR, NR) | 10/24/14 | 3.137 | 820,073 |
| TOTAL BANK LOANS (Cost $2,240,322) | 2,726,274 |
| Number of Shares | ||
|---|---|---|
| COMMON STOCKS (0.4%) | ||
| Auto Components (0.0%) | ||
| 1,219 | Safelite Realty | |
| Corp.*^ | 13,775 | |
| Building Products (0.0%) | ||
| 328 | Nortek, Inc.*§ | 13,120 |
| Chemicals (0.0%) | ||
| 4,893 | Huntsman Corp. | 58,961 |
| Commercial Services & | ||
| Supplies (0.1%) | ||
| 10,652 | ||
| Well, Inc., Rule 144A* | 92,246 | |
| Diversified Financial Services (0.3%) | ||
| 12,186 | CIT | |
| Group, Inc.* | 474,767 | |
| Hotels, Restaurants & | ||
| Leisure (0.0%) | ||
| 1,500 | Progressive | |
| Gaming International Corp.* | 9 |
SEQ.=1,FOLIO='',FILE='C:\JMS\105924\10-6593-4\task4091608\6593-4-bg-03.htm',USER='105924',CD='May 1 15:13 2010'
| Number of Shares | Value | ||||
|---|---|---|---|---|---|
| COMMON | |||||
| STOCKS | |||||
| Media (0.0%) | |||||
| 7,500 | Adelphia (Escrow | ||||
| Holding)*^ | $ 0 | ||||
| 750,000 | Adelphia | ||||
| Recovery Trust*^ | 0 | ||||
| 887 | SuperMedia, Inc.*§ | 36,278 | |||
| 36,278 | |||||
| TOTAL | |||||
| COMMON STOCKS (Cost $1,927,693) | 689,156 | ||||
| PREFERRED STOCKS (0.1%) | |||||
| Banks (0.1%) | |||||
| 297 | GMAC, Inc., | ||||
| Rule 144A (Callable 12/31/11 @ $1,000) | 226,562 | ||||
| Media - Broadcast (0.0%) | |||||
| 10,727 | CMP Susquehanna | ||||
| Radio Holdings Corp., Rule 144A, Series A* | 11 | ||||
| TOTAL | |||||
| PREFERRED STOCKS (Cost $61,852) | 226,573 | ||||
| WARRANTS (0.0%) | |||||
| Building Products (0.0%) | |||||
| 864 | Nortek, Inc., | ||||
| strike price $1.00, expires 12/07/14*^ | 864 | ||||
| Diversified Financial Services (0.0%) | |||||
| 12,259 | CNB Capital | ||||
| Trust I, Rule 144A, strike price $0.00, expires 03/23/19* | 12 | ||||
| TOTAL | |||||
| WARRANTS (Cost | |||||
| $864) | 876 | ||||
| SHORT-TERM INVESTMENTS (30.5%) | |||||
| 51,715,779 | State Street | ||||
| Navigator Prime Portfolio§§ | 51,715,779 | ||||
| Par (000) | Maturity | Rate% | |||
| $ 3,316 | State Street | ||||
| Bank and Trust Co. Euro Time Deposit | 04/01/10 | 0.010 | 3,316,000 | ||
| TOTAL | |||||
| SHORT-TERM INVESTMENTS (Cost $55,031,779) | 55,031,779 | ||||
| TOTAL | |||||
| INVESTMENTS AT VALUE (129.1%) (Cost $234,114,472) | 232,724,279 | ||||
| LIABILITIES | |||||
| IN EXCESS OF OTHER ASSETS (-29.1%) | (52,431,858 | ) | |||
| NET | |||||
| ASSETS (100.0%) | $ 180,292,421 |
| 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 | | | | | | | | | |
| USD | 3,889,097 | EUR | 2,683,000 | 04/15/10 | $ (3,889,097 | ) | $ (3,630,390 | ) | $ 258,707 |
| USD | 102,847 | GBP | 63,000 | 04/15/10 | (102,847 | ) | (95,560 | ) | 7,287 |
| Total | | | | | | | | | $ 265,994 |
*Currency Abbreviations:*
EUR = Euro Currency
GBP = British Pound
USD = United States Dollar
*INVESTMENT ABBREVIATIONS*
MTN = Medium Term Note
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, 2010, these securities
amounted to a value of $53,706,101 or 29.8% of net assets. |
| + | Step Bond The interest rate is as of March 31,
2010 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, 2010. |
| § | Security or portion thereof is out on loan. |
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§§ Represents security purchased with cash collateral received for securities on loan.
Security Valuation The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the Exchange) on each day the Exchange is open for business. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. 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.
In accordance with the authoritative guidance on fair value measurements and disclosures under accounting principles generally accepted in the United States of America (GAAP), the Fund discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, 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. GAAP 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
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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, 2010 in valuing the Funds investments carried at value:
| Level 1 | Level 2 | Level 3 | Total | |
|---|---|---|---|---|
| Investments | ||||
| in Securities | ||||
| U.S. | ||||
| Corporate Bonds | ||||
| Aerospace & | ||||
| Defense | $ | $ 1,740,500 | $ | $ 1,740,500 |
| Auto | ||||
| Loans | | 4,120,153 | | 4,120,153 |
| Auto | ||||
| Parts & Equipment | | 3,916,887 | | 3,916,887 |
| Banks | | 5,282,661 | | 5,282,661 |
| Beverages | | 892,469 | | 892,469 |
| Building & | ||||
| Construction | | 1,918,663 | | 1,918,663 |
| Building | ||||
| Materials | | 3,854,057 | | 3,854,057 |
| Chemicals | | 3,870,450 | | 3,870,450 |
| Computer | ||||
| Hardware | | 482,500 | | 482,500 |
| Consumer | ||||
| Products | | 1,258,688 | | 1,258,688 |
| Consumer/Commercial/Lease | ||||
| Financing | | 1,784,001 | | 1,784,001 |
| Department | ||||
| Stores | | 518,750 | | 518,750 |
| Diversified | ||||
| Capital Goods | | 4,621,875 | | 4,621,875 |
| Electric | ||||
| - Generation | | 8,206,068 | | 8,206,068 |
| Electric | ||||
| - Integrated | | 1,802,625 | | 1,802,625 |
| Electronics | | 2,292,781 | | 2,292,781 |
| Energy | ||||
| - Exploration & Production | | 8,388,219 | | 8,388,219 |
| Environmental | | 996,688 | | 996,688 |
| Food & | ||||
| Drug Retailers | | 1,388,750 | | 1,388,750 |
| Food | ||||
| - Wholesale | | 1,613,063 | | 1,613,063 |
| Forestry & | ||||
| Paper | | 4,187,809 | | 4,187,809 |
| Gaming | | 8,519,396 | | 8,519,396 |
| Gas | ||||
| Distribution | | 4,682,253 | | 4,682,253 |
| Health | ||||
| Facilities | | 10,265,845 | | 10,265,845 |
| Health | ||||
| Services | | 3,507,625 | | 3,507,625 |
| Hotels | | 1,708,375 | | 1,708,375 |
| Household & | ||||
| Leisure Products | | 552,750 | | 552,750 |
| Investments & | ||||
| Misc. Financial Services | | 414,375 | | 414,375 |
| Leisure | | 746,600 | | 746,600 |
| Machinery | | 1,523,125 | | 1,523,125 |
| Media | ||||
| - Broadcast | | 3,509,811 | | 3,509,811 |
| Media | ||||
| - Cable | | 7,199,188 | | 7,199,188 |
| Media | ||||
| - Diversified | | 778,875 | | 778,875 |
| Media | ||||
| - Services | | 1,430,563 | | 1,430,563 |
| Metals & | ||||
| Mining - Excluding Steel | | 3,120,901 | | 3,120,901 |
| Oil | ||||
| Field Equipment & Services | | 5,702,750 | | 5,702,750 |
| Oil | ||||
| Refining & Marketing | | 1,855,438 | | 1,855,438 |
| Packaging | | 2,344,031 | | 2,344,031 |
| Pharmaceuticals | | 886,165 | | 886,165 |
| Printing & | ||||
| Publishing | | 2,969,562 | | 2,969,562 |
| Railroads | | 521,875 | | 521,875 |
| Restaurants | | 486,875 | | 486,875 |
| Software/Services | | 3,888,562 | | 3,888,562 |
| Specialty | ||||
| Retail | | 2,873,288 | | 2,873,288 |
| Steel | ||||
| Producers/Products | | 1,983,031 | | 1,983,031 |
| Support-Services | | 5,196,920 | | 5,196,920 |
| Telecom | ||||
| - Integrated/Services | | 8,831,781 | | 8,831,781 |
| Telecom | ||||
| - Wireless | | 6,482,100 | | 6,482,100 |
| Telecommunications | ||||
| Equipment | | 661,500 | | 661,500 |
| Textiles & | ||||
| Apparel | | 894,625 | | 894,625 |
| Theaters & | ||||
| Entertainment | | 1,344,156 | | 1,344,156 |
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| Tobacco | | 472,500 | | 472,500 |
|---|---|---|---|---|
| Foreign | ||||
| Corporate Bonds | ||||
| Aerospace & | ||||
| Defense | | 945,000 | | 945,000 |
| Chemicals | | 2,164,625 | | 2,164,625 |
| Electronics | | 73,500 | | 73,500 |
| Energy | ||||
| - Exploration & Production | | 519,750 | | 519,750 |
| Forestry & | ||||
| Paper | | 1,808,487 | | 1,808,487 |
| Gaming | | 1,406,209 | | 1,406,209 |
| Media | ||||
| - Cable | | 1,054,643 | | 1,054,643 |
| Media | ||||
| - Diversified | | 788,562 | | 788,562 |
| Metals & | ||||
| Mining - Excluding Steel | | 1,045,500 | | 1,045,500 |
| Oil | ||||
| Field Equipment & Services | | 478,563 | | 478,563 |
| Packaging | | 253,368 | | 253,368 |
| Support-Services | | 385,781 | | 385,781 |
| Telecom | ||||
| - Integrated/Services | | 1,432,382 | | 1,432,382 |
| Telecom | ||||
| - Wireless | | 583,547 | | 583,547 |
| Textiles & | ||||
| Apparel | | 35,519 | | 35,519 |
| Transportation | ||||
| - Excluding Air/Rail | | 2,581,687 | | 2,581,687 |
| Bank | ||||
| Loans | ||||
| Energy | ||||
| - Exploration & Production | | 1,066,905 | | 1,066,905 |
| Gaming | | 481,297 | | 481,297 |
| Pharmaceuticals | | 357,999 | | 357,999 |
| Telecommunications | ||||
| Equipment | | 820,073 | | 820,073 |
| Common | ||||
| Stocks | ||||
| Auto | ||||
| Components | | | 13,775 | 13,775 |
| Building | ||||
| Products | 13,120 | | | 13,120 |
| Chemicals | 58,961 | | | 58,961 |
| Commercial | ||||
| Services & Supplies | 92,246 | | | 92,246 |
| Diversifed | ||||
| Financial Services | 474,767 | | | 474,767 |
| Hotels, | ||||
| Restaurants & Leisure | 9 | | | 9 |
| Media | 36,278 | | | 36,278 |
| Preferred | ||||
| Stocks | ||||
| Banks | 226,562 | | | 226,562 |
| Media | ||||
| - Broadcast | | 11 | | 11 |
| Warrants | ||||
| Building | ||||
| Products | | | 864 | 864 |
| Diversifed | ||||
| Financial Services | | 12 | | 12 |
| Short-Term | ||||
| Investments | 51,715,779 | 3,316,000 | | 55,031,779 |
| Other | ||||
| Financial Instruments* | ||||
| Forward | ||||
| Foreign Currency Contracts | | 265,994 | | 265,994 |
| $ 52,617,722 | $ 180,357,912 | $ 14,639 | $ 232,990,273 |
*Other financial instruments include futures, forwards and swap contracts.
As of March 31, 2010, the amounts shown by the Fund as being Level 3 securities that were measured at fair value amounted to less than 0.01% of net assets.
The Fund adopted FASB Accounting Standards Update 2010-06 Fair Value Measurements and Disclosures (ASU 820) which requires the Fund to disclose details of significant transfers in and out of Level 1 and Level 2 measurements and the reasons for the transfers. For the quarter ended March 31, 2010, there were no significant transfers in and out of Level 1 and Level 2.
Federal Income Tax Cost - At March 31, 2010, 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 $234,114,472, $12,033,222, $(13,423,415) and $(1,390,193), respectively.
Other information regarding the Fund is available in the 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.
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*Item 2: Controls and Procedures*
(a) As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the 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
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
| /s/John G. Popp | |
|---|---|
| Name: | John G. Popp |
| Title: | Chief Executive Officer |
| Date: | May 10, 2010 |
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/John G. Popp | |
|---|---|
| Name: | John G. Popp |
| Title: | Chief Executive Officer |
| Date: | May 10, 2010 |
| /s/Michael A. Pignataro | |
| Name: | Michael A. Pignataro |
| Title: | Chief Financial Officer |
| Date: | May 10, 2010 |
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