As filed with the Securities and Exchange Commission on November 29, 2007
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-21342
LEHMAN BROTHERS FIRST TRUST INCOME OPPORTUNITY FUND
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(Exact Name of the Registrant as Specified in Charter)
605 Third Avenue, 2nd Floor
New York, New York 10158-0180
(Address of Principal Executive Offices - Zip Code)
Registrant's telephone number, including area code: (212) 526-7000
Peter E. Sundman, Chief Executive Officer
Lehman Brothers First Trust Income Opportunity Fund
605 Third Avenue, 2nd Floor
New York, New York 10158-0180
Arthur Delibert, Esq.
Kirkpatrick & Lockhart Preston Gates Ellis LLP
1601 K Street, N.W.
Washington, D.C. 20006-1600
(Names and addresses of agents for service)
Date of fiscal year end: December 31, 2007
Date of reporting period: September 30, 2007
Form N-Q is to be used by management investment companies to file reports with
the Commission not later than 60 days after the close of their first and third
fiscal quarters, pursuant to Rule 30b1-5 under the Investment Company Act of
1940 ("1940 Act") (17 CFR 270.30b1-5). The Commission may use the information
provided on Form N-Q in its regulatory, disclosure review, inspection, and
policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and
the Commission will make this information public. A registrant is not required
to respond to the collection of information contained in Form N-Q unless the
Form displays a currently valid Office of Management and Budget ("OMB") control
number. Please direct comments concerning the accuracy of the information
collection burden estimate and any suggestions for reducing the burden to
Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC
20549-0609. The OMB has reviewed this collection of information under the
clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. SCHEDULE OF INVESTMENTS.
SEPTEMBER 30, 2007
SCHEDULE OF INVESTMENTS Lehman Brothers First Trust Income Opportunity Fund
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(UNAUDITED)
MARKET
PRINCIPAL AMOUNT($) RATING VALUE($)(+)
Moody's S&P
CORPORATE DEBT SECURITIES (145.4%)
AEROSPACE/DEFENSE (2.4%)
3,705,000 L-3 Communications Corp., Guaranteed Senior
Unsecured Subordinated Notes, 7.63%, due 6/15/12 Ba3 BB+ 3,788,362
165,000 L-3 Communications Corp., Guaranteed Senior
Unsecured Subordinated Notes, 6.13%, due 7/15/13 Ba3 BB+ 162,113
340,000 L-3 Communications Corp., Guaranteed Notes, Ser. B,
6.38%, due 10/15/15 Ba3 BB+ 334,050
4,284,525
AIRLINES (1.7%)
2,830,820 Continental Airlines, Inc., Pass-Through Certificates,
9.80%, due 4/1/21 Ba1 BB+ 2,972,361
APPAREL/TEXTILES (0.9%)
1,570,000 Levi Strauss & Co., Senior Unsubordinated Notes,
9.75%, due 1/15/15 B2 B+ 1,648,500
AUTO LOANS (17.4%)
1,610,000 Ford Motor Credit Co., Unsecured Notes, 7.38%,
due 10/28/09 B1 B 1,578,697
6,870,000 Ford Motor Credit Co., Senior Unsecured Notes,
9.75%, due 9/15/10 B1 B 7,008,678
2,735,000 Ford Motor Credit Co., Bonds, 7.38%, due 2/1/11 B1 B 2,620,740
3,875,000 Ford Motor Credit Co., Notes, 7.80%, due 6/1/12 B1 B 3,686,287
14,995,000 General Motors Acceptance Corp., Notes, 6.88%,
due 9/15/11 Ba1 BB+ 14,270,202
1,715,000 General Motors Acceptance Corp., Unsecured
Notes, 7.00%, due 2/1/12 Ba1 BB+ 1,628,164
30,792,768
AUTO PARTS & EQUIPMENT (1.5%)
1,002,000 Goodyear Tire & Rubber Co., Senior Notes, 8.63%,
due 12/1/11 Ba3 B 1,047,090(n)
1,500,000 Goodyear Tire & Rubber Co., Senior Notes, 9.00%,
due 7/1/15 Ba3 B 1,601,250
2,648,340
AUTOMOTIVE (0.8%)
1,550,000 General Motors Corp., Senior Unsubordinated
Notes, 8.38%, due 7/15/33 Caa1 B- 1,358,188
BEVERAGE (0.4%)
720,000 Constellation Brands, Inc., Guaranteed Notes,
7.25%, due 9/1/16 Ba3 BB- 720,000
BUILDING & CONSTRUCTION (0.2%)
410,000 K. Hovnanian Enterprises, Senior Notes, 8.63%, due
1/15/17 Ba3 BB- 338,250
CHEMICALS (2.3%)
780,000 Chemtura Corp., Guaranteed Notes, 6.88%, due
6/1/16 Ba2 BB+ 741,000
1,290,000 Hexion US Finance Corp., Guaranteed Notes,
9.75%, due 11/15/14 B3 B 1,419,000
1,970,000 MacDermid, Inc., Senior Subordinated Notes,
9.50%, due 4/15/17 Caa1 CCC+ 1,901,050(n)
4,061,050
CONSUMER - PRODUCTS (0.2%)
415,000 Amscan Holdings, Inc., Senior Subordinated Notes,
8.75%, due 5/1/14 Caa1 CCC+ 383,875
See Notes to Schedule of Investments
SEPTEMBER 30, 2007
SCHEDULE OF INVESTMENTS Lehman Brothers First Trust Income Opportunity Fund
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cont'd
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(UNAUDITED)
MARKET
PRINCIPAL AMOUNT($) RATING VALUE($)(+)
Moody's S&P
CONSUMER/COMMERCIAL/LEASE FINANCING (1.0%)
2,060,000 Residential Capital LLC, Guaranteed Notes, 6.00%,
due 2/22/11 Ba1 BBB- 1,678,900
ELECTRIC - GENERATION (10.1%)
4,135,000 AES Corp., Senior Secured Notes, 9.00%, due
5/15/15 Ba3 BB 4,341,750(n)
2,505,000 Dynegy-Roseton Danskamme, Pass-Through
Certificates, Ser. B, 7.67%, due 11/8/16 Ba3 B 2,517,525
510,000 Edison Mission Energy, Senior Unsecured Notes,
7.50%, due 6/15/13 B1 BB- 522,750
5,475,000 Edison Mission Energy, Senior Notes, 7.63%, due
5/15/27 B1 BB- 5,283,375(n)
2,635,000 Mirant Americas Generation, Inc., Senior Unsecured
Notes, 8.30%, due 5/1/11 Caa1 B- 2,661,350
1,590,000 NRG Energy, Inc., Guaranteed Notes, 7.25%, due
2/1/14 B1 B 1,593,975
715,000 NRG Energy, Inc., Guaranteed Notes, 7.38%, due
2/1/16 B1 B 716,787
300,000 NRG Energy, Inc., Guaranteed Notes, 7.38%, due
1/15/17 B1 B 300,000
17,937,512
ELECTRONICS (6.2%)
350,000 Flextronics Int'l, Ltd., Senior Subordinated Notes,
6.50%, due 5/15/13 Ba2 BB- 334,250
3,995,000 Freescale Semiconductor, Inc., Senior Unsecured
Notes, 9.13%, due 12/15/14 B1 B 3,695,375
1,410,000 NXP BV Funding LLC, Secured Floating Rate Notes,
8.11%, due 10/15/07 Ba3 BB 1,309,538(u)
2,705,000 NXP BV Funding LLC, Secured Notes, 7.88%, due
10/15/14 Ba3 BB 2,603,562
3,235,000 NXP BV Funding LLC, Guaranteed Notes, 9.50%,
due 10/15/15 B3 BB 3,016,637
10,959,362
ENERGY-EXPLORATION & PRODUCTION (3.0%)
3,060,000 Chesapeake Energy Corp., Guaranteed Notes,
7.50%, due 9/15/13 Ba2 BB 3,144,150
570,000 Chesapeake Energy Corp., Guaranteed Notes,
6.38%, due 6/15/15 Ba2 BB 559,312
475,000 Forest Oil Corp., Guaranteed Unsecured Notes,
8.00%, due 12/15/11 B1 B+ 492,813
840,000 Forest Oil Corp., Guaranteed Senior Unsecured
Notes, 7.75%, due 5/1/14 B1 B+ 852,600
185,000 Newfield Exploration Co., Senior Subordinated
Notes, 6.63%, due 9/1/14 Ba3 BB- 181,763
5,230,638
ENVIRONMENTAL (0.8%)
1,375,000 Allied Waste North America, Inc., Guaranteed Notes,
Ser. B, 7.25%, due 3/15/15 B1 BB+ 1,402,500
FOOD & DRUG RETAILERS (0.5%)
1,015,000 Rite Aid Corp., Guaranteed Notes, 9.50%, due
6/15/17 Caa1 CCC+ 949,025(n)
FORESTRY/PAPER (1.2%)
995,000 Bowater, Inc., Debentures, 9.00%, due 8/1/09 B3 B 935,300
1,200,000 Graphic Packaging Int'l, Inc., Guaranteed Notes,
8.50%, due 8/15/11 B2 B- 1,221,000
2,156,300
See Notes to Schedule of Investments
SEPTEMBER 30, 2007
SCHEDULE OF INVESTMENTS Lehman Brothers First Trust Income Opportunity Fund
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cont'd
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(UNAUDITED)
MARKET
PRINCIPAL AMOUNT($) RATING VALUE($)(+)
Moody's S&P
GAMING (6.9%)
1,745,000 Chukchansi Economic Development Authority,
Senior Notes, 8.00%, due 11/15/13 B2 BB- 1,762,450(n)
1,145,000 Fontainebleau Las Vegas Holdings LLC, Second
Mortgage, 10.25%, due 6/15/15 Caa1 CCC+ 1,073,437(n)
1,180,000 Majestic Star LLC, Senior Unsecured Notes, 9.75%,
due 1/15/11 Caa1 CCC+ 991,200
700,000 MGM Grand, Inc., Guaranteed Senior Notes, 6.00%,
due 10/1/09 Ba2 BB 694,750
1,910,000 Pokagon Gaming Authority, Senior Notes, 10.38%,
due 6/15/14 B3 B 2,096,225(n)
2,105,000 San Pasqual Casino, Notes, 8.00%, due 9/15/13 B2 B+ 2,126,050(n)
1,745,000 Shingle Springs Tribal Gaming Authority, Senior
Notes, 9.38%, due 6/15/15 B3 B 1,762,450(n)
730,000 Station Casinos, Inc., Senior Unsecured
Subordinated Notes, 6.88%, due 3/1/16 Ba3 B 635,100
1,065,000 Station Casinos, Inc., Senior Unsecured Notes,
7.75%, due 8/15/16 Ba2 B+ 1,054,350
12,196,012
GAS DISTRIBUTION (9.7%)
905,000 AmeriGas Partners, L.P., Senior Unsecured Notes,
7.25%, due 5/20/15 B1 891,425
475,000 AmeriGas Partners, L.P., Senior Notes, 7.13%, due
5/20/16 B1 461,937
1,635,000 Ferrellgas Partners L.P., Senior Unsecured Notes,
8.75%, due 6/15/12 B2 B- 1,675,875
3,745,000 Kinder Morgan, Inc., Senior Unsecured Notes,
6.50%, due 9/1/12 Ba2 BB- 3,708,112
1,360,000 Kinder Morgan, Inc., Senior Debentures, 7.25%, due
3/1/28 Ba2 BB- 1,266,050
2,275,000 Regency Energy Partners, Senior Unsecured Notes,
8.38%, due 12/15/13 B1 B 2,383,062(n)
810,000 Sabine Pass L.P., Secured Notes, 7.25%, due
11/30/13 Ba3 BB 797,850
3,855,000 Sabine Pass L.P., Secured Notes, 7.50%, due
11/30/16 Ba3 BB 3,797,175
2,025,000 Transcontinental Gas Pipe Line, Unsecured
Debentures, 7.25%, due 12/1/26 Ba1 BB+ 2,143,969
17,125,455
HEALTH SERVICES (13.6%)
1,235,000 Community Health Systems, Inc., Senior Notes,
8.88%, due 7/15/15 B3 B- 1,268,963(n)
3,230,000 HCA, Inc., Secured Notes, 9.25%, due 11/15/16 B2 BB- 3,431,875(n)
5,095,000 HCA, Inc., Secured Notes, 9.63%, due 11/15/16 B2 BB- 5,438,912(n)
345,000 LVB Acquisition Merger, Inc., Senior Subordinated
Notes, 11.63%, due 10/15/17 Caa1 B- 337,324(n)
2,085,000 NMH Holdings, Inc., Senior Unsecured Notes, Zero
Coupon Bond, due 12/15/07 Caa2 CCC+ 2,032,875(n)
1,200,000 Service Corp. Int'l, Senior Unsecured Notes, 7.38%,
due 10/1/14 B1 BB- 1,233,000
3,265,000 Service Corp. Int'l, Senior Unsecured Notes, 7.50%,
due 4/1/27 B1 BB- 3,052,775
2,320,000 Tenet Healthcare Corp., Senior Notes, 9.88%, due
7/1/14 Caa1 CCC+ 2,122,800
1,985,000 US Oncology, Inc., Guaranteed Notes, 9.00%, due
8/15/12 B2 CCC+ 1,999,887
See Notes to Schedule of Investments
SEPTEMBER 30, 2007
SCHEDULE OF INVESTMENTS Lehman Brothers First Trust Income Opportunity Fund
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cont'd
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(UNAUDITED)
MARKET
PRINCIPAL AMOUNT($) RATING VALUE($)(+)
Moody's S&P
320,000 Ventas Realty L.P., Senior Notes, 6.63%, due
10/15/14 Ba1 BB+ 319,200
140,000 Ventas Realty L.P., Guaranteed Notes, 7.13%, due
6/1/15 Ba1 BB+ 142,800
2,015,000 Ventas Realty L.P., Guaranteed Notes, 6.50%, due
6/1/16 Ba1 BB+ 1,984,775
695,000 Ventas Realty L.P., Guaranteed Notes, 6.75%, due
4/1/17 Ba1 BB+ 693,263
24,058,449
INVESTMENTS & MISC. FINANCIAL SERVICES (2.0%)
1,095,000 Cardtronics, Inc., Senior Subordinated Notes, Ser.
B, 9.25%, due 8/15/13 Caa1 B- 1,048,463(n)
2,675,000 Cardtronics, Inc., Guaranteed Notes, 9.25%, due
8/15/13 Caa1 B- 2,561,312
3,609,775
LEISURE (1.1%)
1,980,000 Royal Caribbean Cruises, Senior Unsubordinated
Notes, 7.50%, due 10/15/27 Ba1 BBB- 1,856,082
MEDIA - BROADCAST (6.1%)
4,270,000 CMP Susquehanna Corp., Guaranteed Notes,
9.88%, due 5/15/14 Caa1 CCC 3,971,100
1,135,000 Entercom Radio/Capital, Guaranteed Senior
Unsecured Notes, 7.63%, due 3/1/14 B1 B 1,117,975
1,270,000 LIN Television Corp., Guaranteed Notes, 6.50%,
due 5/15/13 B1 B- 1,235,075
675,000 LIN Television Corp., Guaranteed Notes, Ser. B,
6.50%, due 5/15/13 B1 B- 656,438
2,845,000 Univision Communications, Inc., Senior Notes,
9.75%, due 3/15/15 B3 CCC+ 2,773,875(n)
950,000 Young Broadcasting, Inc., Guaranteed Senior
Subordinated Notes, 10.00%, due 3/1/11 Caa1 CCC- 876,375
280,000 Young Broadcasting, Inc., Senior Subordinated
Notes, 8.75%, due 1/15/14 Caa1 CCC- 236,600
10,867,438
MEDIA - CABLE (9.4%)
2,568,000 CCH I Holdings LLC, Secured Notes, 11.00%, due
10/1/15 Caa2 CCC 2,600,100
1,200,000 CCH II Holdings LLC, Senior Unsecured Notes,
10.25%, due 9/15/10 Caa2 CCC 1,227,000
4,885,000 Charter Communications Operating LLC, Senior
Notes, 8.38%, due 4/30/14 B3 B+ 4,909,425(n)
3,615,000 DirecTV Holdings LLC, Senior Notes, 8.38%, due
3/15/13 Ba3 BB- 3,755,081
175,000 DirecTV Holdings LLC, Guaranteed Notes, 6.38%,
due 6/15/15 Ba3 BB- 166,031
1,880,000 EchoStar DBS Corp., Guaranteed Notes, 6.38%,
due 10/1/11 Ba3 BB- 1,889,400
1,415,000 EchoStar DBS Corp., Guaranteed Notes, 7.00%,
due 10/1/13 Ba3 BB- 1,446,837
645,000 EchoStar DBS Corp., Guaranteed Notes, 7.13%,
due 2/1/16 Ba3 BB- 662,738
16,656,612
MEDIA - DIVERSIFIED (0.8%)
1,460,000 Quebecor Media, Inc., Notes, 7.75%, due 3/15/16 B2 B 1,401,600(n)(O)
MEDIA - SERVICES (2.9%)
1,325,000 Lamar Media Corp., Guaranteed Notes, 7.25%, due
1/1/13 Ba3 B 1,331,625
See Notes to Schedule of Investments
SEPTEMBER 30, 2007
SCHEDULE OF INVESTMENTS Lehman Brothers First Trust Income Opportunity Fund
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cont'd
------
(UNAUDITED)
MARKET
PRINCIPAL AMOUNT($) RATING VALUE($)(+)
Moody's S&P
1,540,000 WMG Acquisition Corp., Senior Subordinated Notes,
7.38%, due 4/15/14 B2 B 1,339,800
3,465,000 WMG Holdings Corp., Guaranteed Notes, Step-Up,
0.00%/9.50%, due 12/15/14 B2 B 2,425,500(^^)
5,096,925
METALS/MINING EXCLUDING STEEL (7.0%)
1,670,000 Aleris Int'l, Inc., Guaranteed Notes, 9.00%,
due 12/15/14 B3 B- 1,544,750
2,025,000 Aleris Int'l, Inc., Guaranteed Notes, 10.00%, due
12/15/16 Caa1 B- 1,792,125
2,065,000 Arch Western Finance Corp., Guaranteed Notes,
6.75%, due 7/1/13 B1 BB- 2,023,700
425,000 Freeport-McMoRan Copper & Gold, Senior
Unsecured Notes, 8.25%, due 4/1/15 Ba3 BB 459,000
1,500,000 Freeport-McMoRan Copper & Gold, Senior
Unsecured Notes, 8.38%, due 4/1/17 Ba3 BB 1,638,750
4,410,000 Massey Energy Co., Guaranteed Notes, 6.88%, due
12/15/13 B2 B+ 4,112,325
775,000 Peabody Energy Corp., Guaranteed Senior Notes,
Ser. B, 6.88%, due 3/15/13 Ba1 BB 782,750
12,353,400
NON-FOOD & DRUG RETAILERS (2.3%)
730,000 Blockbuster, Inc., Senior Subordinated Notes,
9.00%, due 9/1/12 Caa2 CCC 657,000
1,085,000 Claire's Stores, Inc., Guaranteed Notes, 9.63%, due
6/1/15 Caa1 CCC+ 892,413(n)
660,000 GSC Holdings Corp., Guaranteed Notes, 8.00%,
due 10/1/12 Ba3 BB 686,400
1,500,000 Michaels Stores, Inc., Senior Discount Notes, Step-
Up, 0.00%/13.00%, due 11/1/16 Caa1 CCC 900,000(n)(^^)
975,000 Michaels Stores, Inc., Guaranteed Notes, 11.38%,
due 11/1/16 Caa1 CCC 996,937
4,132,750
PACKAGING (8.2%)
6,775,000 Ball Corp., Guaranteed Unsecured Notes, 6.88%,
due 12/15/12 Ba1 BB 6,859,687
1,260,000 Crown Americas LLC, Guaranteed Notes, 7.75%,
due 11/15/15 B1 B 1,300,950
2,340,000 Graham Packaging Co., Inc., Guaranteed Notes,
9.88%, due 10/15/14 Caa1 CCC+ 2,316,600
2,235,000 Owens-Brockway Glass Container, Inc., Guaranteed
Notes, 8.88%, due 2/15/09 Ba2 BB 2,268,525
1,730,000 Owens-Brockway Glass Container, Inc., Guaranteed
Notes, 8.75%, due 11/15/12 Ba2 BB 1,810,013
14,555,775
PRINTING & PUBLISHING (6.4%)
3,220,000 Dex Media West LLC, Senior Unsecured Notes, Ser.
B, 8.50%, due 8/15/10 Ba3 B 3,308,550
580,000 Dex Media West LLC, Guaranteed Notes, Ser. B,
9.88%, due 8/15/13 B1 B 616,975
3,910,000 Idearc, Inc., Guaranteed Notes, 8.00%, due
11/15/16 B2 B+ 3,900,225
1,455,000 R.H. Donnelley Corp., Senior Unsecured Notes,
6.88%, due 1/15/13 B3 B 1,374,975
2,335,000 Reader's Digest Association, Inc., Senior
Subordinated Notes, 9.00%, due 2/15/17 Caa1 CCC+ 2,101,500(n)
11,302,225
See Notes to Schedule of Investments
SEPTEMBER 30, 2007
SCHEDULE OF INVESTMENTS Lehman Brothers First Trust Income Opportunity Fund
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cont'd
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(UNAUDITED)
MARKET
PRINCIPAL AMOUNT($) RATING VALUE($)(+)
Moody's S&P
RAILROADS (1.9%)
660,000 Kansas City Southern Mexico, Senior Notes, 7.38%,
due 6/1/14 B2 B+ 645,150(n)
2,640,000 TFM SA de C.V., Senior Notes, 9.38%, due 5/1/12 B2 2,765,400
3,410,550
REAL ESTATE DEV. & MGT. (2.6%)
1,470,000 American Real Estate Partners L.P., Guaranteed
Notes, 7.13%, due 2/15/13 Ba3 BB+ 1,400,175
2,150,000 American Real Estate Partners, L.P., Senior Notes,
8.13%, due 6/1/12 Ba3 BB+ 2,131,188
1,335,000 Realogy Corp., Senior Notes, 11.00%, due 4/15/14 Caa1 B- 1,099,706(n)
4,631,069
RESTAURANTS (0.7%)
1,435,000 NPC Int'l, Inc., Guaranteed Notes, 9.50%, due
5/1/14 Caa1 B- 1,305,850
STEEL PRODUCERS/PRODUCTS (2.0%)
1,720,000 Metals U.S.A. Holdings Corp., Senior Floating Rate
Notes, 11.36%, due 10/1/07 Caa1 CCC 1,599,600(n)(u)
2,005,000 Tube City IMS Corp., Guaranteed Notes, 9.75%,
due 2/1/15 B3 B- 1,959,888
3,559,488
SUPPORT - SERVICES (2.3%)
565,000 Aramark Corp., Guaranteed Notes, 8.50%, due
2/1/15 B3 B- 576,300
3,645,000 Knowledge Learning Corp., Inc., Guaranteed Notes,
7.75%, due 2/1/15 B2 B- 3,535,650(n)
4,111,950
TELECOM - INTEGRATED/SERVICES (8.2%)
1,350,000 Citizens Utilities Co., Senior Unsecured Notes,
7.13%, due 3/15/19 Ba2 BB+ 1,329,750
1,335,000 Dycom Industries, Inc., Guaranteed Notes, 8.13%,
due 10/15/15 Ba3 B+ 1,358,363
2,200,000 Intelsat Bermuda Ltd., Guaranteed Notes, 9.25%,
due 6/15/16 B2 B 2,282,500
395,000 Intelsat Subsidiary Holdings Co. Ltd., Guaranteed
Notes, 8.63%, due 1/15/15 B2 B 402,900
2,200,000 Nordic Telephone Co. Holdings, Secured Notes,
8.88%, due 5/1/16 B2 B 2,321,000(n)
1,095,000 Qwest Corp., Senior Notes, 7.88%, due 9/1/11 Ba1 BBB- 1,149,750
1,620,000 Qwest Corp., Notes, 8.88%, due 3/15/12 Ba1 BBB- 1,767,825
400,000 Qwest Corp., Senior Unsecured Notes, 7.50%, due
10/1/14 Ba1 BBB- 416,000
1,340,000 Windstream Corp., Guaranteed Notes, 8.13%, due
8/1/13 Ba3 BB- 1,410,350
1,910,000 Windstream Corp., Guaranteed Notes, 8.63%, due
8/1/16 Ba3 BB- 2,036,537
14,474,975
THEATERS & ENTERTAINMENT (0.7%)
1,230,000 AMC Entertainment, Inc., Guaranteed Notes, Ser. B,
8.63%, due 8/15/12 Ba3 B- 1,263,825
TOTAL CORPORATE DEBT SECURITIES (COST
$258,338,334) 257,492,299
See Notes to Schedule of Investments
SEPTEMBER 30, 2007
SCHEDULE OF INVESTMENTS Lehman Brothers First Trust Income Opportunity Fund
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cont'd
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(UNAUDITED)
MARKET
NUMBER OF SHARES VALUE($)(+)
SHORT-TERM INVESTMENTS (2.7%)
4,747,692 Neuberger Berman Prime Money Fund Trust Class
(COST $4,747,692) 4,747,692(OO)(#)(@)
TOTAL INVESTMENTS (148.1%) (COST $263,086,026) 262,239,991(##)
Cash, receivables and other assets, less liabilities (2.7%) 4,808,441
Liquidation Value of Auction Preferred Shares [(50.8%)] (90,000,000)
TOTAL NET ASSETS (100.0%) $177,048,432
See Notes to Schedule of Investments
SEPTEMBER 30, 2007 (UNAUDITED)
NOTES TO SCHEDULE OF INVESTMENTS
--------------------------------
(+) Investments in debt securities by Lehman Brothers First Trust Income
Opportunity Fund (the "Fund") are valued daily by obtaining bid price
quotations from independent pricing services on all securities available
in each service's database. For all other debt securities requiring
daily quotations, bid price quotations are obtained from principal
market makers in those securities. The Fund values all other securities,
including securities for which the necessary last sale, asked and/or bid
prices are not readily available, by methods the Board of Trustees has
approved on the belief that they reflect fair value. Numerous factors
may be considered when determining the fair value of a security,
including available analyst, media or other reports, trading in futures
or ADRs and whether the issuer of the security being fair valued has
other securities outstanding. Fair value prices are necessarily
estimates, and there is no assurance that such prices will be at or
close to the price at which the security is next quoted. Securities with
remaining maturities of 60 days or less are valued at amortized cost.
This method involves valuing a portfolio security initially at its cost
and thereafter assumes a constant amortization to maturity of any
discount of premium.
(#) At cost, which approximates market value.
(##) At September 30, 2007, the cost of investments for U.S. federal income
tax purposes was $263,878,231. Gross unrealized appreciation of
investments was $3,047,560 and gross unrealized depreciation of
investments was $4,685,800, resulting in net unrealized depreciation of
$1,638,240, based on cost for U.S. federal income tax purposes.
(@) Neuberger Berman Prime Money Fund ("Prime Money") is also managed by
Neuberger Berman Management Inc. and may be considered an affiliate
since it has the same officers, Board members, and investment manager as
the Fund and because, at times, the Fund may own 5% or more of the
outstanding voting securities of Prime Money.
(n) Restricted security subject to restrictions on resale under federal
securities laws. These securities may be resold in transactions exempt
from registration, normally to qualified institutional buyers under Rule
144A under the Securities Act of 1933, as amended, and have been deemed
by the investment manager to be liquid. At September 30, 2007, these
securities amounted to approximately $60,464,295 or 34.2% of net assets
applicable to common shareholders.
(^^) Denotes a step-up bond: a zero coupon bond that converts to a fixed rate
of interest at a designated future date.
(O) All or a portion of this security was purchased on a when-issued basis.
At September 30, 2007, these securities amounted to $1,401,600, or 0.8%
of net assets applicable to common shareholders.
(OO) All or a portion of this security is segregated as collateral for
when-issued securities and/or interest rate swap contracts.
(u) Floating rate securities are securities whose yields vary with a
designated market index or market rate. These securities are shown at
their current rates as of September 30, 2007.
For information on the Fund's significant accounting policies, please refer to
the Fund's most recent financial statements.
ITEM 2. CONTROLS AND PROCEDURES.
(a) Based on an evaluation of the disclosure controls and procedures (as
defined in Rule 30a-3(c) under the 1940 Act) as of a date within 90 days of
the filing date of this document, the Chief Executive Officer and Treasurer
and Principal Financial and Accounting Officer of the Registrant have
concluded that such disclosure controls and procedures are effectively
designed to ensure that information required to be disclosed by the
Registrant on Form N-CSR and Form N-Q is accumulated and communicated to
the Registrant's management to allow timely decisions regarding required
disclosure.
(b) There were no significant changes in the Registrant's internal controls
over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act)
that occurred during the Registrant's last fiscal quarter that have
materially affected, or are reasonably likely to materially affect, the
Registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
The certifications required by Rule 30a-2(a) of the 1940 Act are filed herewith.
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.
Lehman Brothers First Trust Income Opportunity Fund
By: /s/ Peter E. Sundman
--------------------
Peter E. Sundman
Chief Executive Officer
Date: November 28, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/ Peter E. Sundman
--------------------
Peter E. Sundman
Chief Executive Officer
Date: November 28, 2007
By: /s/ John M. McGovern
---------------------
John M. McGovern
Treasurer and Principal Financial
and Accounting Officer
Date: November 28, 2007