Regulatory Filings • Nov 24, 2004
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| UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 |
|---|
| FORM N-Q |
*QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY*
| Investment
Company Act file number | |
| --- | --- |
| CREDIT SUISSE ASSET MANAGEMENT INCOME FUND,
INC. | |
| (Exact name of registrant as specified in charter) | |
| c/o Credit Suisse Asset Management, LLC 466 Lexington Avenue New York, New York | 10017 |
| (Address of principal executive offices) | (Zip code) |
| Michael A. Pignataro 466 Lexington Avenue New York, New York 10017 | |
| (Name and address of agent for service) | |
| Registrants
telephone number, including area code: | (212) 875-3500 |
| Date of
fiscal year end: | December
31st |
| Date of
reporting period: | July 1, 2004
to September 30, 2004 |
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*Item 1: Schedule of Investments*
*Credit Suisse Asset Management Income Fund, Inc.*
*SCHEDULE OF INVESTMENTS (unaudited)*
**September 30, 2004****
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| DOMESTIC | ||||
| SECURITIES (81.0%) | ||||
| CORPORATE | ||||
| OBLIGATIONS (79.8%) | ||||
| Aerospace (0.3%) | ||||
| BE Aerospace, Inc. | ||||
| Series B, Sr. Sub. Notes | ||||
| 8.00%, 3/1/08 | Caa3 | $ 300 | $ 297,750 | |
| (1) | Condor Systems, Inc. | |||
| Series B, Gtd. | ||||
| 11.875%, 5/1/09 | N/R | 900 | 9,000 | |
| Sequa Corp. | ||||
| Sr. Notes | ||||
| 9.00%, 8/1/09 | B1 | 250 | 276,250 | |
| Group | ||||
| Total | 583,000 | |||
| Airlines (0.3%) | ||||
| American Airlines, Inc. | ||||
| Series 01-2, Pass thru Certs | ||||
| 7.80%, 10/1/06 | B1 | 550 | 457,779 | |
| Continental Airlines, Inc. | ||||
| Series 991C, Pass thru Certs | ||||
| 6.954%, 8/2/09 | B2 | 177 | 134,735 | |
| Group | ||||
| Total | 592,514 | |||
| Automobile | ||||
| Manufacturing/Vehicle Parts (2.4%) | ||||
| (1) | Aetna Industries, Inc. | |||
| Sr. Notes | ||||
| 11.875%, 10/1/06 | N/R | 1 | 31 | |
| (2) | Autocam Corp. | |||
| Sr. Sub. Notes | ||||
| 10.875%, 6/15/14 | B3 | 400 | 401,000 | |
| (2) | Bombardier Recreational | |||
| Sr. Sub. Notes | ||||
| 8.375%, 12/15/13 | B3 | 250 | 264,375 | |
| Cambridge Industries, Inc. | ||||
| Sr. Sub. Notes | ||||
| 10.25%, 7/15/07 | Aa2 | 775 | 7,746 | |
| (2) | Collins & Aikman Products Corp. | |||
| Sr. Sub. Notes | ||||
| 12.875%, 8/24/12 | B3 | 1,350 | 1,252,125 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-1.htm',USER='bsridhar',CD='Nov 23 09:00 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Dura Operating Corp. | ||||
| Series D, Gtd. | ||||
| 9.00%, 5/1/09 | B2 | $ 400 | $ 358,000 | |
| Holley Performance | ||||
| Products, Inc. | ||||
| Series B, Gtd. | ||||
| 12.25%, 9/15/07 | Caa3 | 365 | 312,075 | |
| Metaldyne Corp. | ||||
| Gtd. | ||||
| 11.00%, 6/15/12 | Caa1 | 800 | 640,000 | |
| Motor Coach Industries | ||||
| International, Inc. | ||||
| Gtd. | ||||
| 11.25%, 5/1/09 | Ca | 1,121 | 621,877 | |
| (2) | Standyne | |||
| Corp. | ||||
| Sr. Sub. Notes | ||||
| 10.00%, 8/15/14 | Caa1 | 400 | 418,000 | |
| Tenneco Automotive, Inc. | ||||
| Series B, Secured | ||||
| 10.25%, 7/15/13 | B2 | 350 | 400,750 | |
| (2) | Transportation | |||
| Technologies Industries, Inc. | ||||
| Sr. Sub. Notes | ||||
| 12.50%, 3/31/10 | Caa1 | 500 | 515,625 | |
| Group | ||||
| Total | 5,191,604 | |||
| Broadband (0.7%) | ||||
| Call Net Enterprises, Inc. | ||||
| Yankee Gtd. | ||||
| 10.625%, 12/31/08 | Caa3 | 400 | 392,000 | |
| Level 3 Communications, Inc.: | ||||
| Sr. Discount Notes | ||||
| 10.50%, 12/1/08 | Caa2 | 650 | 484,250 | |
| Sr. Notes | ||||
| 9.125%, 5/1/08 | Caa2 | 500 | 370,000 | |
| (2) | Level 3 | |||
| Financing, Inc. | ||||
| Sr. Notes | ||||
| 10.75%, 10/15/11 | Caa2 | 250 | 211,875 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-1.htm',USER='bsridhar',CD='Nov 23 09:00 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Primus Telecommunications Group, Inc. | ||||
| Sr. Notes | ||||
| 8.00%, 1/15/14 | B3 | $ 250 | $ 186,250 | |
| Group | ||||
| Total | 1,644,375 | |||
| Broadcast/Outdoor (0.9%) | ||||
| Alliance Atlantis Communications, Inc. | ||||
| Yankee Sr. Sub. Notes | ||||
| 13.00%, 12/15/09 | B1 | 500 | 543,125 | |
| Corus Entertainment, Inc. | ||||
| Global Sr. Sub. Notes | ||||
| 8.75%, 3/1/12 | B1 | 150 | 166,312 | |
| Emmis Operating, Co. | ||||
| Sr. Subordinated | ||||
| 6.875%, 5/15/12 | B2 | 250 | 260,625 | |
| Interep National Radio Sales, Inc. | ||||
| Series B, Gtd. | ||||
| 10.00%, 7/1/08 | Caa2 | 250 | 196,875 | |
| (3) | Paxson | |||
| Communications Corp. | ||||
| Gtd. | ||||
| 0.00%, 1/15/09 | Caa1 | 500 | 431,250 | |
| Sinclair Broadcast Group, Inc. | ||||
| Gtd. | ||||
| 8.75%, 12/15/11 | B2 | 450 | 490,500 | |
| Group | ||||
| Total | 2,088,687 | |||
| Building Products (2.2%) | ||||
| (2)(3) | Associated | |||
| Materials, Inc. | ||||
| Sr. Discount Notes | ||||
| 0.00%, 3/1/14 | Caa1 | 750 | 549,375 | |
| Atrium Companies, Inc. | ||||
| Series B, Gtd. | ||||
| 10.50%, 5/1/09 | B3 | 500 | 527,500 | |
| Building Materials Corp. | ||||
| Series B, Sr. Notes | ||||
| 7.75%, 7/15/05 | B2 | 250 | 255,625 |
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| (2) | Building
Materials Corp. | Moodys Ratings | Face Amount (000) | Value |
| --- | --- | --- | --- | --- |
| | Sr. Notes | | | |
| | 7.75%, 8/1/14 | B2 | $ 300 | $ 298,500 |
| | Dayton Superior Corp.: | | | |
| | Gtd. | | | |
| | 13.00%, 6/15/09 | Caa2 | 720 | 709,200 |
| | Secured | | | |
| | 10.75%, 9/15/08 | B3 | 250 | 268,750 |
| | Interface, Inc. | | | |
| | Sr. Sub. Notes | | | |
| | 9.50%, 2/1/14 | Caa3 | 400 | 416,000 |
| (2)(3) | Norcraft
Holdings/Capital | | | |
| | Sr. Discount Notes | | | |
| | 0.00%, 9/1/12 | Caa1 | 250 | 182,500 |
| (2) | Ply Gem Indusries,
Inc. | | | |
| | Sr. Sub. Notes | | | |
| | 9.00%, 2/15/12 | B3 | 400 | 401,000 |
| (2) | THL Buildco
(Nortek), Inc. | | | |
| | Sr. Sub. Notes | | | |
| | 8.50%, 9/1/14 | B3 | 300 | 315,750 |
| | Texas Industries, Inc. | | | |
| | Sr. Notes | | | |
| | 10.25%, 6/15/11 | B1 | 250 | 288,750 |
| | Werner Holdings Co., Inc. | | | |
| | Series A, Gtd. | | | |
| | 10.00%, 11/15/07 | B3 | 800 | 716,000 |
| Group
Total | | | | 4,928,950 |
| Cable (7.1%) | | | | |
| (1) | Adelphia
Communications Corp. | | | |
| | Series B, Sr. Notes | | | |
| | 8.375%, 2/1/08 | N/R | 800 | 712,000 |
| (2) | Atlantic
Broadband | | | |
| | Finance LLC | | | |
| | Sr. Sub. Notes | | | |
| | 9.375%, 1/15/14 | Caa1 | 500 | 476,250 |
| (1) | Australis
Holdings Pty. Ltd. | | | |
| | Yankee Sr. Secured | | | |
| | Discount Notes | | | |
| | 15.00%, 11/1/02 | N/R | 4,600 | 92,000 |
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| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| CSC Holdings, Inc.: | ||||
| Series B, Debentures | ||||
| 8.125%, 8/15/09 | B1 | $ 150 | $ 160,125 | |
| Series B, Sr. Notes | ||||
| 7.625%, 4/1/11 | B1 | 200 | 211,750 | |
| (2) | Cablevision | |||
| Systems | ||||
| New York Group | ||||
| Sr. Notes | ||||
| 8.00%, 4/15/12 | B3 | 1,250 | 1,312,500 | |
| (1) | Century | |||
| Communications Corp. | ||||
| (3) | Series B, Sr. Discount Notes | |||
| 0.00%, 1/15/08 | N/R | 500 | 310,000 | |
| (3) | Sr. Discount Notes | |||
| 0.00%, 3/15/03 | N/R | 500 | 470,000 | |
| Sr. Notes | ||||
| 8.75%, 10/1/07 | N/R | 450 | 470,250 | |
| Charter Communication Holdings LLC: | ||||
| Sr. Discount Notes | ||||
| 9.92%, 4/1/11 | Ca | 1,200 | 930,000 | |
| Sr. Notes | ||||
| 8.625%, 4/1/09 | Ca | 750 | 586,875 | |
| 8.75%, 11/15/13 | B3 | 500 | 493,125 | |
| 10.25%, 1/15/10 | Ca | 1,050 | 847,875 | |
| (2) | Coleman | |||
| Cable, Inc. | ||||
| Sr. Notes | ||||
| 9.875%, 10/1/12 | B3 | 400 | 408,500 | |
| (1) | DIVA Systems | |||
| Corp. | ||||
| Series B, Sr. Discount Notes | ||||
| 12.625%, 3/1/08 | N/R | 3,014 | 7,536 | |
| (1) | Frontiervision | |||
| LP/Capital | ||||
| Series B, Sr. Discount Notes | ||||
| 11.875%, 9/15/07 | Caa1 | 500 | 628,750 | |
| (3) | Insight | |||
| Communications Co., Inc. | ||||
| Sr. Discount Notes | ||||
| 0.00%, 2/15/11 | Caa2 | 250 | 235,000 | |
| Insight Midwest/Insight Capital: | ||||
| Sr. Notes | ||||
| 9.75%, 10/1/09 | B2 | 900 | 945,000 | |
| 10.50%, 11/1/10 | B2 | 500 | 550,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-1.htm',USER='bsridhar',CD='Nov 23 09:00 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Jones Intercable, Inc. | ||||
| Sr. Notes | ||||
| 7.625%, 4/15/08 | Baa3 | $ 450 | $ 500,118 | |
| Mediacom LLC/Capital Corp. | ||||
| Series B, Sr. Notes | ||||
| 8.50%, 4/15/08 | B2 | 871 | 894,952 | |
| Sr. Notes | ||||
| 7.875%, 2/15/11 | B2 | 850 | 816,000 | |
| Northland Cable Television | ||||
| Gtd. | ||||
| 10.25%, 11/15/07 | Caa3 | 750 | 765,000 | |
| (1) | Olympus | |||
| Communications, L.P./ | ||||
| Olympus Capital Corp. | ||||
| Series B, Sr. Notes | ||||
| 10.625%, 11/15/06 | N/R | 892 | 1,128,380 | |
| Renaissance Media Group LLC | ||||
| Gtd. | ||||
| 10.00%, 4/15/08 | B3 | 953 | 986,355 | |
| Rogers Cablesystems, Inc. | ||||
| Series B, Yankee Sr. Notes | ||||
| 10.00%, 3/15/05 | Ba2 | 250 | 258,437 | |
| (2)(3) | Telenet Group Holding NV | |||
| Discount Notes | ||||
| 0.00%, 6/15/14 | Caa2 | 600 | 444,000 | |
| Group | ||||
| Total | 15,640,778 | |||
| Capital Goods (1.4%) | ||||
| Blount, Inc. | ||||
| Sr. Sub. Notes | ||||
| 8.875%, 8/1/12 | Caa1 | 250 | 266,875 | |
| (2) | Case New | |||
| Holland, Inc. | ||||
| Sr. Notes | ||||
| 9.25%, 8/1/11 | Ba3 | 350 | 393,750 | |
| JII Holdings LLC | ||||
| Secured | ||||
| 13.00%, 4/1/07 | Caa2 | 785 | 706,860 | |
| Motors & Gears, Inc. | ||||
| Series D, Sr. Notes | ||||
| 10.75%, 11/15/06 | Caa1 | 950 | 883,500 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-1.htm',USER='bsridhar',CD='Nov 23 09:00 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Park-Ohio Industries, Inc. | ||||
| Sr. Sub. Notes | ||||
| 9.25%, 12/1/07 | Caa1 | $ 500 | $ 510,000 | |
| SPX Corp. | ||||
| Sr. Notes | ||||
| 6.25%, 6/15/11 | Ba3 | 350 | 343,000 | |
| Group | ||||
| Total | 3,103,985 | |||
| Chemicals (4.3%) | ||||
| (2) | BCP Caylux | |||
| Holdings | ||||
| Sr. Sub. Notes | ||||
| 9.625%, 6/15/14 | B3 | 400 | 434,000 | |
| Acetex Corp. | ||||
| Global Sr. Notes | ||||
| 10.875%, 8/1/09 | B2 | 400 | 442,000 | |
| Avecia Group plc | ||||
| Global Gtd. | ||||
| 11.00%, 7/1/09 | Caa3 | 700 | 619,500 | |
| (2) | Crompton | |||
| Corp. | ||||
| Sr. Notes | ||||
| 9.875%, 8/1/12 | B1 | 350 | 369,250 | |
| Equistar Chemicals LP/ | ||||
| Equistar Funding | ||||
| Sr. Notes | ||||
| 10.625%, 5/1/11 | B2 | 350 | 400,750 | |
| HMP Equity Holdings Corp. | ||||
| Sr. Discount Notes | ||||
| 0.00%, 5/15/08 | N/R | 500 | 317,500 | |
| (2) | Huntsman | |||
| Co., LLC: | ||||
| Gtd. | ||||
| 11.625%, 10/15/10 | B2 | 500 | 581,250 | |
| 11.50%, 7/15/12 | B3 | 400 | 443,500 | |
| (3) | Huntsman | |||
| International Holdings LLC | ||||
| Sr. Discount Notes | ||||
| 0.00%, 12/31/09 | Caa2 | 250 | 133,750 | |
| IMC Global, Inc. | ||||
| Sr. Notes | ||||
| 10.875%, 8/1/13 | B1 | 350 | 443,625 | |
| ISP Chemco, Inc. | ||||
| Series B, Gtd. | ||||
| 10.25%, 7/1/11 | B1 | 250 | 280,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-1.htm',USER='bsridhar',CD='Nov 23 09:00 2004'
| Moodys Ratings | Face Amount (000) | Value | |
|---|---|---|---|
| Lyondell Chemical Co.: | |||
| Gtd. | |||
| 10.50%, 6/1/13 | B1 | $ 850 | $ 986,000 |
| Series B, Secured | |||
| 9.875%, 5/1/07 | B1 | 674 | 715,282 |
| Millennium America, Inc. | |||
| Gtd. | |||
| 9.25%, 6/15/08 | B1 | 500 | 553,750 |
| Nalco Co. | |||
| Sr. Sub. Notes | |||
| 8.875%, 11/15/13 | Caa1 | 400 | 432,000 |
| Polyone Corp. | |||
| Gtd. | |||
| 10.625%, 5/15/10 | B3 | 400 | 440,000 |
| Radnor Holdings Corp. | |||
| Sr. Notes | |||
| 11.00%, 3/15/10 | Caa1 | 250 | 211,250 |
| Resolution Performance Products LLC | |||
| Sr. Sub. Notes | |||
| 13.50%, 11/15/10 | Caa2 | 500 | 487,500 |
| Rhodia SA | |||
| Sr. Notes | |||
| 10.25%, 6/1/10 | B3 | 600 | 624,000 |
| Terra Capital, Inc. | |||
| Secured | |||
| 11.50%, 6/1/10 | Caa1 | 550 | 624,250 |
| Group | |||
| Total | 9,539,157 | ||
| Competitive | |||
| Local Exchange Carrier (0.8%) | |||
| Madison River Capital/Madison River Finance | |||
| Sr. Notes | |||
| 13.25%, 3/1/10 | Caa1 | 871 | 927,082 |
| Time Warner Telecom, LLC | |||
| Sr. Notes | |||
| 9.75%, 7/15/08 | B3 | 850 | 845,750 |
| Group | |||
| Total | 1,772,832 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-1.htm',USER='bsridhar',CD='Nov 23 09:00 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Consumer | ||||
| Products/Tobacco (3.4%) | ||||
| (2) | Ames True | |||
| Temper, Inc. | ||||
| Sr. Sub. Notes | ||||
| 10.00%, 7/15/12 | Caa1 | $ 600 | $ 615,750 | |
| (2) | Amscan Holdings, | |||
| Inc. | ||||
| Sr. Sub. Notes | ||||
| 8.75%, 5/1/14 | B3 | 300 | 307,500 | |
| DIMON, Inc. | ||||
| Sr. Notes | ||||
| 7.75%, 6/1/13 | Ba3 | 500 | 490,000 | |
| (1) | Diamond | |||
| Brands Operating Corp. | ||||
| Gtd. | ||||
| 10.125%, 4/15/08 | N/R | 2,000 | 20,000 | |
| General Binding Corp. | ||||
| Gtd. | ||||
| 9.375%, 6/1/08 | Caa1 | 700 | 715,750 | |
| (2) | Interactive | |||
| Health LLC | ||||
| Sr. Notes | ||||
| 7.25%, 4/1/11 | B3 | 400 | 346,000 | |
| (3) | Johnsondiversey | |||
| Holdings, Inc. | ||||
| Discount Notes | ||||
| 0.00%, 5/15/13 | B3 | 600 | 498,000 | |
| Jostens, Inc. | ||||
| Sr. Sub. Notes | ||||
| 12.75%, 5/1/10 | B3 | 900 | 1,011,861 | |
| (2) | Leiner | |||
| Health Products, Inc. | ||||
| Sr. Sub. Notes | ||||
| 11.00%, 6/1/12 | B3 | 250 | 266,875 | |
| PCA LLC/PCA Finance Corp. | ||||
| Sr. Notes | ||||
| 11.875%, 8/1/09 | B3 | 650 | 698,750 | |
| Playtex Products, Inc. | ||||
| Gtd. | ||||
| 9.375%, 6/1/11 | Caa2 | 500 | 515,000 | |
| (2) | Prestige | |||
| Brands, Inc. | ||||
| Sr. Sub. Notes | ||||
| 9.25%, 4/15/12 | Caa1 | 500 | 492,500 | |
| Rayovac Corp. | ||||
| Sr. Sub. Notes | ||||
| 8.50%, 10/1/13 | B3 | 250 | 272,500 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-1.htm',USER='bsridhar',CD='Nov 23 09:00 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Remington Arms Co., Inc. | ||||
| Gtd. | ||||
| 10.50%, 2/1/11 | B2 | $ 115 | $ 109,825 | |
| (2) | Samsonite | |||
| Corp. | ||||
| Sr. Sub. Notes | ||||
| 8.875%, 6/1/11 | B3 | 250 | 262,500 | |
| Sealy Mattress Co. | ||||
| Sr. Sub. Notes | ||||
| 8.25%, 6/15/14 | B2 | 400 | 405,000 | |
| United Industries Corp. | ||||
| Series D, Gtd. | ||||
| 9.875%, 4/1/09 | B3 | 400 | 420,000 | |
| Group | ||||
| Total | 7,447,811 | |||
| Containers (2.7%) | ||||
| AEP Industries, Inc. | ||||
| Sr. Sub. Notes | ||||
| 9.875%, 11/15/07 | B3 | 650 | 665,437 | |
| Berry Plastics Corp. | ||||
| Gtd. | ||||
| 10.75%, 7/15/12 | B3 | 600 | 681,000 | |
| Crown Cork & Seal Finance plc | ||||
| Yankee Gtd. | ||||
| 7.00%, 12/15/06 | B3 | 300 | 310,500 | |
| Crown Euro Holdings SA | ||||
| Secured | ||||
| 9.50%, 3/1/11 | B1 | 795 | 890,400 | |
| (2) | Graham Packaging | |||
| Co. | ||||
| Sub. Notes | ||||
| 9.875%, 10/15/14 | Caa2 | 350 | 360,062 | |
| Graphic Packaging International Corp. | ||||
| Sr. Sub. Notes | ||||
| 9.50%, 8/15/13 | B3 | 250 | 286,875 | |
| (2) | Intertape | |||
| Polymer U.S., Inc. | ||||
| Sr. Sub. Notes | ||||
| 8.50%, 8/1/14 | B3 | 300 | 304,500 | |
| Owens-Illinois, Inc. | ||||
| Sr. Notes | ||||
| 8.10%, 5/15/07 | Caa1 | 850 | 896,750 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-1.htm',USER='bsridhar',CD='Nov 23 09:00 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Pliant Corp. | ||||
| Gtd. | ||||
| 13.00%, 6/1/10 | Caa2 | $ 850 | $ 735,250 | |
| Solo Cup Co. | ||||
| Sr. Sub. Notes | ||||
| 8.50%, 2/15/14 | B3 | 500 | 495,000 | |
| U.S. Can Corp. | ||||
| Gtd. | ||||
| 10.875%, 7/15/10 | Caa1 | 250 | 258,125 | |
| Group | ||||
| Total | 5,883,899 | |||
| Diversified | ||||
| Telecommunications (0.5%) | ||||
| (2) | Qwest | |||
| Communications International, Inc. | ||||
| Sr. Notes | ||||
| 7.50%, 2/15/14 | B3 | 300 | 276,750 | |
| Qwest Corp.: | ||||
| Notes | ||||
| 6.625%, 9/15/05 | Ba3 | 500 | 516,250 | |
| (2) | Sr. Notes | |||
| 7.875%, 9/1/11 | Ba3 | 250 | 260,625 | |
| Group | ||||
| Total | 1,053,625 | |||
| Energy/Other (2.6%) | ||||
| Dynegy Holdings, Inc.: | ||||
| (2) | Secured | |||
| 10.125%, 7/15/13 | B3 | 350 | 404,250 | |
| Sr. Notes | ||||
| 8.75%, 2/15/12 | Caa2 | 600 | 627,000 | |
| El Paso CGP Co.: | ||||
| Notes | ||||
| 6.375%, 2/1/09 | Caa1 | 250 | 241,250 | |
| 7.75%, 6/15/10 | Caa1 | 250 | 251,250 | |
| El Paso Corp. | ||||
| Sr. Notes | ||||
| 7.00%, 5/15/11 | Caa1 | 500 | 485,000 | |
| El Paso Natural Gas | ||||
| Series A, Sr. Notes | ||||
| 7.625%, 8/1/10 | B1 | 250 | 268,750 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-1.htm',USER='bsridhar',CD='Nov 23 09:00 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| El Paso Production Holding | ||||
| Gtd. | ||||
| 7.75%, 6/1/13 | B3 | $ 750 | $ 755,625 | |
| Frontier Oil Corp. | ||||
| Sr. Notes | ||||
| 11.75%, 11/15/09 | B1 | 1,000 | 1,071,250 | |
| (2) | Gemstone | |||
| Investors Ltd. | ||||
| Gtd. | ||||
| 7.71%, 10/31/04 | Caa1 | 200 | 200,250 | |
| Giant Industries, Inc.: | ||||
| Gtd. | ||||
| 11.00%, 5/15/12 | B3 | 186 | 213,900 | |
| Sr. Sub. Notes | ||||
| 8.00%, 5/15/14 | B3 | 200 | 205,000 | |
| (2) | Gulfmark | |||
| Offshore, Inc. | ||||
| Sr. Notes | ||||
| 7.75%, 7/15/14 | B2 | 250 | 254,375 | |
| Gulfterra Energy Partner | ||||
| Gtd. | ||||
| 10.625%, 12/1/12 | B1 | 100 | 126,000 | |
| Reliant Resources, Inc. | ||||
| Secured | ||||
| 9.50%, 7/15/13 | B1 | 500 | 545,625 | |
| Group | ||||
| Total | 5,649,525 | |||
| Environmental Services (0.2%) | ||||
| (2) | Waste | |||
| Services, Inc. | ||||
| Sr. Sub. Notes | ||||
| 9.50%, 4/15/14 | Ca | 400 | 382,000 | |
| Finance (2.0%) | ||||
| (2) | E*Trade | |||
| Financial Corp. | ||||
| Sr. Notes | ||||
| 8.00%, 6/15/11 | B1 | 250 | 261,250 | |
| (2) | Rainbow | |||
| National Services LLC | ||||
| Sr. Notes | ||||
| 8.75%, 9/1/12 | B3 | 250 | 260,625 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-1.htm',USER='bsridhar',CD='Nov 23 09:00 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Westfed Holdings: | ||||
| Sr. Debentures | ||||
| (1) | 15.50%, 9/15/99 | N/R | $ 2,000 | $ 3,720,000 |
| (4) | 25.00%, 8/22/09 | N/R | 121 | 121,025 |
| Group | ||||
| Total | 4,362,900 | |||
| Food | ||||
| Processors/Beverage/Bottling (1.6%) | ||||
| Agrilink Foods, Inc. | ||||
| Gtd. | ||||
| 11.875%, 11/1/08 | B3 | 124 | 130,200 | |
| B&G Foods, Inc. | ||||
| Series D, Gtd. | ||||
| 9.625%, 8/1/07 | B3 | 700 | 718,200 | |
| Eagle Family Foods | ||||
| Series B, Gtd. | ||||
| 8.75%, 1/15/08 | Caa2 | 471 | 359,933 | |
| Land OLakes, Inc. | ||||
| Sr. Notes | ||||
| 8.75%, 11/15/11 | B3 | 800 | 752,000 | |
| (2) | Le-Natures, | |||
| Inc. | ||||
| Sr. Sub. Notes | ||||
| 9.00%, 6/15/13 | Caa1 | 250 | 267,500 | |
| National Wine & | ||||
| Spirits, Inc. | ||||
| Gtd. | ||||
| 10.125%, 1/15/09 | B3 | 220 | 212,300 | |
| Swift & Co.: | ||||
| Gtd. | ||||
| 10.125%, 10/1/09 | B1 | 250 | 275,625 | |
| Sr. Sub. Notes | ||||
| 12.50%, 1/1/10 | B2 | 300 | 333,000 | |
| (2) | Wornick Co. | |||
| Secured | ||||
| 10.875%, 7/15/11 | B2 | 400 | 430,000 | |
| Group | ||||
| Total | 3,478,758 | |||
| Gaming (6.5%) | ||||
| Ameristar Casinos, Inc. | ||||
| Gtd. | ||||
| 10.75%, 2/15/09 | B2 | 920 | 1,048,800 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-1.htm',USER='bsridhar',CD='Nov 23 09:00 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Argosy Gaming Co.: | ||||
| Sr. Sub. Notes | ||||
| 7.00%, 1/15/14 | B1 | $ 250 | $ 259,063 | |
| 9.00%, 9/1/11 | Ba3 | 250 | 281,875 | |
| (2) | Aztar Corp. | |||
| Sr. Sub. Notes | ||||
| 7.875%, 6/15/14 | Ba3 | 250 | 266,250 | |
| Boyd Gaming Corp. | ||||
| Gtd. | ||||
| 9.25%, 8/1/09 | Ba3 | 600 | 658,500 | |
| (2) | Chukchansi Economic Development Authority | |||
| Sr. Notes | ||||
| 14.50%, 6/15/09 | N/R | 1,000 | 1,255,000 | |
| Circus & Eldorado/Silver | ||||
| Legacy Capital Corp. | ||||
| First Mortgage Notes | ||||
| 10.125%, 3/1/12 | B1 | 500 | 535,000 | |
| Hard Rock Hotel, Inc. | ||||
| Notes | ||||
| 8.875%, 6/1/13 | B3 | 1,800 | 1,948,500 | |
| (2) | Herbst Gaming, Inc. | |||
| Sr. Sub. Notes | ||||
| 8.125%, 6/1/12 | B3 | 300 | 309,000 | |
| Inn of the Mountain Gods | ||||
| Sr. Notes | ||||
| 12.00%, 11/15/10 | B3 | 400 | 460,000 | |
| Isle of Capri Casinos, Inc. | ||||
| Sr. Sub. Notes | ||||
| 7.00%, 3/1/14 | B2 | 400 | 404,000 | |
| MGM Mirage, Inc.: | ||||
| Gtd. | ||||
| 9.75%, 6/1/07 | Ba2 | 100 | 111,625 | |
| (2) | Sr. Notes | |||
| 6.75%, 9/1/12 | Ba1 | 250 | 260,000 | |
| Majestic Star Casino LLC | ||||
| Gtd. | ||||
| 9.50%, 10/15/10 | B2 | 750 | 768,750 | |
| (2) | Mohegan | |||
| Tribal Gaming Authority | ||||
| Sr. Sub. Notes | ||||
| 7.125%, 8/15/14 | Ba3 | 250 | 263,125 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-1.htm',USER='bsridhar',CD='Nov 23 09:00 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Park Place Entertainment Corp.: | ||||
| Sr. Sub. Notes | ||||
| 7.875%, 12/15/05 | Ba2 | $ 150 | $ 158,250 | |
| 9.375%, 2/15/07 | Ba2 | 500 | 558,750 | |
| (2) | Peninsula | |||
| Gaming LLC | ||||
| Gtd. | ||||
| 8.75%, 4/15/12 | B2 | 500 | 465,000 | |
| Penn National Gaming, Inc. | ||||
| Series B, Gtd. | ||||
| 11.125%, 3/1/08 | B2 | 850 | 922,250 | |
| River Rock Entertainment | ||||
| Sr. Notes | ||||
| 9.75%, 11/1/11 | B2 | 400 | 423,000 | |
| Riviera Holdings Corp. | ||||
| Gtd. | ||||
| 11.00%, 6/15/10 | B2 | 700 | 773,500 | |
| Venetian Casino Resort, LLC | ||||
| Gtd. | ||||
| 11.00%, 6/15/10 | B2 | 180 | 209,250 | |
| (2) | Waterford | |||
| Gaming LLC | ||||
| Sr. Notes | ||||
| 8.625%, 9/15/12 | B1 | 228 | 242,820 | |
| (1) | Windsor | |||
| Woodmont | ||||
| Black Hawk | ||||
| Series B, First | ||||
| Mortgage Notes | ||||
| 13.00%, 3/15/05 | N/R | 1,450 | 1,305,000 | |
| Wynn Las Vegas LLC/Wynn | ||||
| Las Vegas Capital Corp. | ||||
| Second Mortgage | ||||
| 12.00%, 11/1/10 | B3 | 268 | 336,340 | |
| Group | ||||
| Total | 14,223,648 | |||
| Healthcare Facilities/Supplies (2.0%) | ||||
| Ardent Health Services | ||||
| Sr. Sub. Notes | ||||
| 10.00%, 8/15/13 | B3 | 250 | 257,500 | |
| (2) | Beverly | |||
| Enterprises, Inc. | ||||
| Sr. Sub. Notes | ||||
| 7.875%, 6/15/14 | B2 | 250 | 268,750 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-1.htm',USER='bsridhar',CD='Nov 23 09:00 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Concentra Operating Corp. | ||||
| Gtd. | ||||
| 9.50%, 8/15/10 | B3 | $ 250 | $ 277,500 | |
| Fisher Scientific International, Inc. | ||||
| Sr. Sub. Notes | ||||
| 8.125%, 5/1/12 | Ba3 | 260 | 291,200 | |
| (2)(3) | MQ | |||
| Associates, Inc. | ||||
| Sr. Discount Notes | ||||
| 0.00%, 8/15/12 | Caa1 | 1,000 | 635,000 | |
| Medquest, Inc. | ||||
| Series B, Gtd. | ||||
| 11.875%, 8/15/12 | B3 | 600 | 687,000 | |
| (2) | Tenet | |||
| Healthcare Corp. | ||||
| Sr. Notes | ||||
| 9.875%, 7/1/14 | B3 | 250 | 262,500 | |
| Triad Hospitals, Inc. | ||||
| Sr. Sub. Notes | ||||
| 7.00%, 11/15/13 | B3 | 1,000 | 1,022,500 | |
| Universal Hospital Services, Inc. | ||||
| Sr. Notes | ||||
| 10.125%, 11/1/11 | B3 | 250 | 255,000 | |
| (2) | Vanguard | |||
| Health Holdings II | ||||
| Sr. Sub. Notes | ||||
| 9.00%, 10/1/14 | Caa1 | 350 | 352,625 | |
| Group | ||||
| Total | 4,309,575 | |||
| Home Builders (0.8%) | ||||
| Tech Olympic USA, Inc. | ||||
| Gtd. | ||||
| 9.00%, 7/1/10 | Ba3 | 500 | 550,000 | |
| Toll Corp. | ||||
| Sr. Sub. Notes | ||||
| 8.25%, 12/1/11 | Ba2 | 250 | 278,438 | |
| WCI Communities, Inc. | ||||
| Gtd. | ||||
| 10.625%, 2/15/11 | Ba3 | 650 | 736,125 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-1.htm',USER='bsridhar',CD='Nov 23 09:00 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| William Lyon Homes, Inc. | ||||
| Sr. Notes | ||||
| 7.50%, 2/15/14 | B2 | $ 250 | $ 256,250 | |
| Group | ||||
| Total | 1,820,813 | |||
| Industrial (1.1%) | ||||
| (2) | Amsted | |||
| Industries, Inc. | ||||
| Sr. Notes | ||||
| 10.25%, 10/15/11 | B3 | 250 | 276,250 | |
| Amtrol, Inc. | ||||
| Sr. Sub. Notes | ||||
| 10.625%, 12/31/06 | Caa3 | 600 | 500,520 | |
| (1) | International | |||
| Utility Structures, Inc.: | ||||
| Sub. Notes | ||||
| 13.00%, 2/1/08 | N/R | 924 | 4,620 | |
| Yankee Sr. Sub. Notes | ||||
| 10.75%, 2/1/08 | N/R | 800 | 170,000 | |
| (2) | Polypore, | |||
| Inc. | ||||
| Sr. Sub. Notes | ||||
| 8.75%, 5/15/12 | Caa1 | 400 | 417,000 | |
| True Temper Sports, Inc. | ||||
| Gtd. | ||||
| 8.375%, 9/15/11 | B3 | 450 | 420,750 | |
| Wolverine Tube, Inc. | ||||
| Gtd. | ||||
| 10.50%, 4/1/09 | B3 | 550 | 607,750 | |
| Group | ||||
| Total | 2,396,890 | |||
| Leisure (3.2%) | ||||
| AMC Entertainment, Inc.: | ||||
| Sr. Sub. Notes | ||||
| 9.875%, 2/1/12 | B3 | 650 | 676,000 | |
| (2) | 8.00%, 3/1/14 | B3 | 400 | 378,000 |
| Affinity Group, Inc. | ||||
| Sr. Sub. Notes | ||||
| 9.00%, 2/15/12 | B3 | 250 | 268,750 | |
| Bally Total Fitness Holding Corp. | ||||
| Sr. Notes | ||||
| 10.50%, 7/15/11 | B3 | 350 | 334,250 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-1.htm',USER='bsridhar',CD='Nov 23 09:00 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Bluegreen Corp. | ||||
| Series B, Gtd. | ||||
| 10.50%, 4/1/08 | B3 | $ 1,000 | $ 1,028,750 | |
| Booth Creek Ski Holdings, Inc. | ||||
| Series B, Gtd. | ||||
| 12.50%, 3/15/07 | Caa1 | 1,147 | 1,154,169 | |
| Cinemark USA, Inc. | ||||
| Sr. Sub. Notes | ||||
| 9.00%, 2/1/13 | B3 | 250 | 280,625 | |
| Cinemark, Inc. | ||||
| Sr. Discount Notes | ||||
| 9.75%, 3/15/14 | Caa1 | 400 | 277,000 | |
| Intrawest Corp.: | ||||
| Gtd. | ||||
| 10.50%, 2/1/10 | B1 | 250 | 271,250 | |
| Sr. Notes | ||||
| 7.50%, 10/15/13 | B1 | 250 | 260,313 | |
| (2) | NCL Corp. | |||
| Sr. Notes | ||||
| 10.625%, 7/15/14 | B2 | 500 | 526,250 | |
| Scientific Games Corp. | ||||
| Series B, Gtd. | ||||
| 12.50%, 8/15/10 | B2 | 691 | 794,650 | |
| Six Flags, Inc.: | ||||
| Sr. Notes | ||||
| 9.75%, 4/15/13 | B3 | 400 | 380,000 | |
| 9.625%, 6/1/14 | B3 | 500 | 470,000 | |
| Group Total | 7,100,007 | |||
| Lodging | ||||
| (0.8%) | ||||
| CapStar Hotel Co. | ||||
| Sr. Sub. Notes | ||||
| 8.75%, 8/15/07 | Caa1 | 250 | 255,625 | |
| Felcor Lodging LP | ||||
| Gtd. | ||||
| 8.50%, 6/1/11 | B1 | 425 | 469,625 | |
| HMH Properties, Inc. | ||||
| Series B, Gtd. | ||||
| 7.875%, 8/1/08 | Ba3 | 126 | 130,253 | |
| Host Marriot LP | ||||
| Series I, Gtd. | ||||
| 9.50%, 1/15/07 | Ba3 | 600 | 667,500 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-1.htm',USER='bsridhar',CD='Nov 23 09:00 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| John Q. Hammons Hotel LP | ||||
| Series B, First Mortgage | ||||
| Notes | ||||
| 8.875%, 5/15/12 | B2 | $ 300 | $ 336,000 | |
| Group | ||||
| Total | 1,859,003 | |||
| Metals & Mining (1.9%) | ||||
| AK Steel Corp.: | ||||
| Gtd. | ||||
| 7.75%, 6/15/12 | B3 | 300 | 294,750 | |
| 7.875%, 2/15/09 | B3 | 250 | 249,375 | |
| (2) | Alpha | |||
| Natural Resources | ||||
| Gtd. | ||||
| 10.00%, 6/1/12 | B3 | 500 | 553,750 | |
| Earle M. Jorgensen Co. | ||||
| Secured | ||||
| 9.75%, 6/1/12 | B2 | 500 | 557,500 | |
| Gerdau Ameristeel Corp. | ||||
| Sr. Notes | ||||
| 10.375%, 7/15/11 | B2 | 250 | 286,250 | |
| (2) | International Steel Group | |||
| Sr. Notes | ||||
| 6.50%, 4/15/14 | Ba3 | 1,000 | 1,005,000 | |
| Ispat Inland ULC | ||||
| Secured | ||||
| 9.75%, 4/1/14 | B3 | 400 | 443,000 | |
| Metallurg, Inc. | ||||
| Series B, Gtd. | ||||
| 11.00%, 12/1/07 | Ca | 571 | 345,153 | |
| (1) | WCI Steel, Inc. | |||
| Series B, Sr. Notes | ||||
| 10.00%, 12/1/04 | N/R | 250 | 156,250 | |
| (2) | Wise Metals Group LLC | |||
| Secured | ||||
| 10.25%, 5/15/12 | B2 | 250 | 252,500 | |
| Group | ||||
| Total | 4,143,528 | |||
| Oil Equipment (0.2%) | ||||
| Parker Drilling Co. | ||||
| Series B, Gtd. | ||||
| 10.125%, 11/15/09 | B2 | 377 | 401,976 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-1.htm',USER='bsridhar',CD='Nov 23 09:00 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Paper & Forest Products (3.4%) | ||||
| Abitibi-Consolidated, Inc. | ||||
| Notes | ||||
| 7.75%, 6/15/11 | Ba2 | $ 250 | $ 258,750 | |
| (2) | Ainsworth | |||
| Lumber Co., Ltd. | ||||
| Sr. Notes | ||||
| 7.25%, 10/1/12 | B2 | 250 | 253,750 | |
| (2) | Appleton | |||
| Papers, Inc. | ||||
| Sr. Sub. Notes | ||||
| 9.75%, 6/15/14 | B3 | 350 | 362,250 | |
| Blue Ridge Paper Product | ||||
| Secured | ||||
| 9.50%, 12/15/08 | B2 | 350 | 295,750 | |
| Caraustar Industries, Inc. | ||||
| Gtd. | ||||
| 9.875%, 4/1/11 | Caa1 | 434 | 466,550 | |
| (2) | Cellu Tissue | |||
| Holdings | ||||
| Secured | ||||
| 9.75%, 3/15/10 | B2 | 250 | 255,000 | |
| Georgia-Pacific Corp. | ||||
| Gtd. | ||||
| 9.375%, 2/1/13 | Ba2 | 1,000 | 1,182,500 | |
| JSG Funding plc | ||||
| Global Sr. Notes | ||||
| 9.625%, 10/1/12 | B3 | 500 | 567,500 | |
| (2) | Newark | |||
| Group, Inc. | ||||
| Sr. Sub. Notes | ||||
| 9.75%, 3/15/14 | Caa1 | 2,000 | 2,070,000 | |
| Norkse Skog Canada Limited | ||||
| Sr. Notes | ||||
| 7.375%, 3/1/14 | Ba3 | 250 | 262,500 | |
| Riverside Forest Products Ltd. | ||||
| Sr. Notes | ||||
| 7.875%, 3/1/14 | B2 | 400 | 426,000 | |
| Stone Container Corp. | ||||
| Sr. Notes | ||||
| 8.375%, 7/1/12 | B2 | 600 | 664,500 | |
| Tembec Industries, Inc. | ||||
| Yankee Gtd. | ||||
| 8.625%, 6/30/09 | Ba3 | 400 | 412,000 | |
| Group | ||||
| Total | 7,477,050 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-1.htm',USER='bsridhar',CD='Nov 23 09:00 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Publishing (1.5%) | ||||
| Dex Media East LLC | ||||
| Gtd. | ||||
| 12.125%, 11/15/12 | B2 | $ 200 | $ 250,000 | |
| Dex Media, Inc.: | ||||
| (3) | Discount Notes | |||
| 0.00%, 11/15/13 | B3 | 500 | 368,750 | |
| Notes | ||||
| 8.00%, 11/15/13 | B3 | 250 | 263,750 | |
| Haights Cross Operating Co. | ||||
| Gtd. | ||||
| 11.75%, 8/15/11 | Caa1 | 350 | 386,750 | |
| Houghton Mifflin Co.: | ||||
| (3) | Sr. Discount Notes | |||
| 0.00%, 10/15/13 | Caa1 | 250 | 152,500 | |
| Sr. Notes | ||||
| 8.25%, 2/1/11 | B2 | 300 | 315,000 | |
| Liberty Group Publishing, Inc. | ||||
| Debentures | ||||
| 11.625%, 2/1/09 | Caa2 | 900 | 895,500 | |
| (2) | PRIMEDIA, | |||
| Inc. | ||||
| Sr. Notes | ||||
| 8.00%, 5/15/13 | B3 | 350 | 334,688 | |
| (1)(4) | Premier | |||
| Graphics, Inc. | ||||
| Gtd. | ||||
| 11.50%, 12/1/05 | N/R | 2,000 | 0 | |
| (2) | Sheridan | |||
| Acquisition CRP | ||||
| Secured | ||||
| 10.25%, 8/15/11 | B1 | 300 | 326,250 | |
| Group | ||||
| Total | 3,293,188 | |||
| Restaurants (1.9%) | ||||
| Advantica Restaurant Group, Inc. | ||||
| Sr. Notes | ||||
| 11.25%, 1/15/08 | Caa3 | 500 | 521,250 | |
| (1) | American | |||
| Restaurant Group, Inc. | ||||
| Series D, Gtd. | ||||
| 11.50%, 11/1/06 | Caa2 | 993 | 600,765 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-2.htm',USER='bsridhar',CD='Nov 23 09:01 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Buffets, Inc. | ||||
| Sr. Sub. Notes | ||||
| 11.25%, 7/15/10 | B3 | $ 500 | $ 532,500 | |
| Carrols Corp. | ||||
| Gtd. | ||||
| 9.50%, 12/1/08 | B3 | 150 | 154,500 | |
| (2) | Dennys | |||
| Corp./Dennys Holdings, Inc. | ||||
| Sr. Notes | ||||
| 10.00%, 10/1/12 | Caa1 | 500 | 504,375 | |
| El Pollo Loco, Inc. | ||||
| Secured | ||||
| 9.25%, 12/15/09 | B2 | 250 | 258,750 | |
| Friendly Ice Cream Corp. | ||||
| Sr, Notes | ||||
| 8.375%, 6/15/12 | B2 | 400 | 386,000 | |
| OCharleys, Inc. | ||||
| Sr. Sub. Notes | ||||
| 9.00%, 11/1/13 | Ba3 | 400 | 422,000 | |
| (4) | Romacorp, | |||
| Inc. | ||||
| Sr. Notes | ||||
| 10.50%, 12/31/08 | N/R | 1,102 | 722,072 | |
| Sbarro, Inc. | ||||
| Gtd. | ||||
| 11.00%, 9/15/09 | Caa2 | 125 | 117,500 | |
| Group | ||||
| Total | 4,219,712 | |||
| Retail- Food & Drug (1.0%) | ||||
| (2) | Duane Reade, | |||
| Inc. | ||||
| Sr. Sub. Notes | ||||
| 9.75%, 8/1/11 | B3 | 500 | 475,000 | |
| Great Atlantic & Pacific Tea Company, | ||||
| Inc. | ||||
| Sr. Notes | ||||
| 9.125%, 12/15/11 | Caa1 | 400 | 308,000 | |
| Herbalife International, Inc. | ||||
| Gtd. | ||||
| 11.75%, 7/15/10 | B2 | 500 | 575,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-2.htm',USER='bsridhar',CD='Nov 23 09:01 2004'
| (2) | Jean Coutu
Group (PJC), Inc. | Moodys Ratings | Face Amount (000) | Value |
| --- | --- | --- | --- | --- |
| | Sr. Sub. Notes | | | |
| | 8.50%, 8/1/14 | B3 | $ 400 | $ 399,000 |
| | Roundys, Inc. | | | |
| | Series B, Gtd. | | | |
| | 8.875%, 6/15/12 | B2 | 200 | 216,500 |
| (2) | Stater
Brothers Holdings, Inc. | | | |
| | Sr. Notes | | | |
| | 8.125%, 6/15/12 | B1 | 150 | 157,875 |
| Group
Total | | | | 2,131,375 |
| Retail Stores (1.5%) | | | | |
| | Asbury Automotive Group Co. | | | |
| | Gtd. | | | |
| | 9.00%, 6/15/12 | B3 | 400 | 424,000 |
| (1)(4) | Flooring
America, Inc. | | | |
| | Series B, Gtd. | | | |
| | 9.25%, 10/15/07 | N/R | 703 | 0 |
| | Michaels Stores, Inc. | | | |
| | Sr. Notes | | | |
| | 9.25%, 7/1/09 | Ba1 | 400 | 436,000 |
| | NBTY, Inc. | | | |
| | Series B, Sr. Sub. Notes | | | |
| | 8.625%, 9/15/07 | B1 | 400 | 406,000 |
| | Nebraska Book Co., Inc. | | | |
| | Sr. Sub. Notes | | | |
| | 8.625%, 3/15/12 | Caa1 | 500 | 500,000 |
| | PEP Boys-Manny | | | |
| | Moe & Jack | | | |
| | Notes | | | |
| | 7.00%, 6/1/05 | B2 | 800 | 816,000 |
| | PETCO Animal Supplies, Inc. | | | |
| | Sr. Sub. Notes | | | |
| | 10.75%, 11/1/11 | B2 | 67 | 78,055 |
| | Perry Ellis International, Inc. | | | |
| | Series B, Sr. Sub. Notes | | | |
| | 8.875%, 9/15/13 | B3 | 250 | 266,250 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-2.htm',USER='bsridhar',CD='Nov 23 09:01 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| United Auto Group, Inc. | ||||
| Gtd. | ||||
| 9.625%, 3/15/12 | B3 | $ 250 | $ 276,875 | |
| Group | ||||
| Total | 3,203,180 | |||
| Satellite (0.3%) | ||||
| Echostar DBS Corp. | ||||
| Sr. Notes | ||||
| 9.125%, 1/15/09 | Ba3 | 195 | 217,913 | |
| (2) | PanAMSat | |||
| Corp. | ||||
| Gtd. | ||||
| 9.00%, 8/15/14 | B2 | 300 | 313,500 | |
| (1) | Pegasus | |||
| Communications | ||||
| Corp. | ||||
| Series B, Sr. Notes | ||||
| 12.50%, 8/1/07 | N/R | 300 | 196,500 | |
| (1) | Pegasus | |||
| Satellite Communications, Inc. | ||||
| Sr. Discount Notes | ||||
| 13.50%, 3/1/07 | N/R | 250 | 6,875 | |
| Group | ||||
| Total | 734,788 | |||
| Secondary Oil & Gas Producers (2.6%) | ||||
| (2) | Belden & | |||
| Blake Corp. | ||||
| Secured | ||||
| 8.75%, 7/15/12 | B3 | 250 | 267,500 | |
| Chesapeake Energy Corp. | ||||
| Sr. Notes | ||||
| (2) | 7.00%, 8/15/14 | Ba3 | 250 | 265,625 |
| 6.875%, 1/15/16 | Ba3 | 602 | 632,100 | |
| Continental Resources, Inc. | ||||
| Gtd. Sr. Sub. Notes | ||||
| 10.25%, 8/1/08 | Caa1 | 925 | 962,000 | |
| Forest Oil Corp. | ||||
| Sr. Notes | ||||
| 8.00%, 6/15/08 | Ba3 | 900 | 999,000 | |
| Paramount Resources Ltd. | ||||
| Yankee Sr. Notes | ||||
| 8.875%, 7/15/14 | B3 | 500 | 552,500 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-2.htm',USER='bsridhar',CD='Nov 23 09:01 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Pemex Project Funding Master Trust | ||||
| Gtd. | ||||
| 8.50%, 2/15/08 | Baa1 | $ 45 | $ 50,681 | |
| Plains E&P Co. | ||||
| Series B, Gtd. | ||||
| 8.75%, 7/1/12 | Ba3 | 300 | 338,250 | |
| Pogo Producing Co. | ||||
| Series B, Sr. Sub. Notes | ||||
| 8.25%, 4/15/11 | Ba3 | 550 | 607,750 | |
| Vintage Petroleum, Inc. | ||||
| Sr. Sub. Notes | ||||
| 7.875%, 5/15/11 | B1 | 700 | 752,500 | |
| Whiting Petroleum Corp. | ||||
| Sr. Sub. Notes | ||||
| 7.25%, 5/1/12 | B2 | 300 | 304,500 | |
| Group | ||||
| Total | 5,732,406 | |||
| Services (5.5%) | ||||
| APCOA, Inc | ||||
| Gtd. Sr. Sub. Notes | ||||
| 9.25%, 3/15/08 | Caa3 | 377 | 337,415 | |
| Advanstar Communications, Inc. | ||||
| Secured | ||||
| 10.75%, 8/15/10 | B3 | 400 | 445,000 | |
| (2) | Allied | |||
| Security Escrow | ||||
| Sr. Sub. Notes | ||||
| 11.375%, 7/15/11 | Caa1 | 400 | 422,000 | |
| American Color Graphics | ||||
| Notes | ||||
| 10.00%, 6/15/10 | Caa1 | 800 | 620,000 | |
| Brand Services, Inc. | ||||
| Gtd. | ||||
| 12.00%, 10/15/12 | B3 | 600 | 684,000 | |
| (2) | Buhrmann US, | |||
| Inc. | ||||
| Sr. Sub. Notes | ||||
| 8.25%, 7/1/14 | B2 | 250 | 251,250 | |
| (2)(3) | Crystal U.S. | |||
| Holdings/ | ||||
| U.S. Sub3 | ||||
| Sr. Discount Notes | ||||
| 0.00%, 10/1/14 | Caa2 | 700 | 421,750 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-2.htm',USER='bsridhar',CD='Nov 23 09:01 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Diamond Triumph Auto Glass, Inc. | ||||
| Gtd. | ||||
| 9.25%, 4/1/08 | Caa1 | $ 500 | $ 482,500 | |
| Great Lakes Dredge & Dock Co. | ||||
| Sr. Sub. Notes | ||||
| 7.75%, 12/15/13 | Caa2 | 850 | 739,500 | |
| IESI Corp. | ||||
| Gtd. | ||||
| 10.25%, 6/15/12 | B3 | 500 | 542,500 | |
| Integrated Electrical Services, Inc. | ||||
| Series C, Gtd. | ||||
| 9.375%, 2/1/09 | B2 | 625 | 615,625 | |
| Iron Mountain, Inc.: | ||||
| Gtd. | ||||
| 8.625%, 4/1/13 | B3 | 450 | 490,500 | |
| 7.75%, 1/15/15 | B3 | 250 | 266,250 | |
| La Petite Academy, Inc. | ||||
| Series B, Gtd. | ||||
| 10.00%, 5/15/08 | Ca | 1,300 | 1,105,000 | |
| (2) | Language | |||
| Line Holdings, Inc. | ||||
| Sr. Sub. Notes | ||||
| 11.125%, 6/15/12 | Caa1 | 250 | 257,500 | |
| Mortons Restaurant Group, Inc. | ||||
| Secured | ||||
| 7.50%, 7/1/10 | B2 | 300 | 288,000 | |
| Muzak LLC/Muzak Finance Corp.: | ||||
| Gtd. | ||||
| 9.875%, 3/15/09 | Caa2 | 650 | 481,000 | |
| Sr. Notes | ||||
| 10.00%, 2/15/09 | Caa1 | 300 | 267,000 | |
| National Beef Packing | ||||
| Sr. Notes | ||||
| 10.50%, 8/1/11 | B2 | 400 | 412,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-2.htm',USER='bsridhar',CD='Nov 23 09:01 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Quintiles Transnational Corp. | ||||
| Sr. Sub. Notes | ||||
| 10.00%, 10/1/13 | B3 | $ 250 | $ 266,250 | |
| Rent-Way, Inc. | ||||
| Secured | ||||
| 11.875%, 6/15/10 | B3 | 500 | 547,500 | |
| Salton, Inc. | ||||
| Sr. Sub. Notes | ||||
| 12.25%, 4/15/08 | Ca | 750 | 626,250 | |
| United Rentals North America, Inc.: | ||||
| Sr. Sub. Notes | ||||
| 7.75%, 11/15/13 | B2 | 800 | 754,000 | |
| 7.00%, 2/15/14 | B2 | 1,000 | 892,500 | |
| Group | ||||
| Total | 12,215,290 | |||
| Technology (2.3%) | ||||
| AMI Semiconductor, Inc. | ||||
| Gtd. | ||||
| 10.75%, 2/1/13 | B3 | 163 | 190,710 | |
| Amkor Technology, Inc.: | ||||
| Sr. Notes | ||||
| 9.25%, 2/15/08 | B1 | 350 | 327,250 | |
| 7.75%, 5/15/13 | B1 | 500 | 412,500 | |
| Ampex Corp. | ||||
| Secured | ||||
| 12.00%, 8/15/08 | N/R | 1,863 | 279,522 | |
| Avaya, Inc. | ||||
| Secured | ||||
| 11.125%, 4/1/09 | B1 | 162 | 187,515 | |
| Celestica, Inc. | ||||
| Sr. Sub. Notes | ||||
| 7.875%, 7/1/11 | Ba3 | 300 | 312,750 | |
| Danka Business Systems plc | ||||
| Sr. Notes | ||||
| 11.00%, 6/15/10 | B2 | 250 | 263,750 | |
| (2) | Itron, Inc. | |||
| Sr. Sub. Notes | ||||
| 7.75%, 5/15/12 | B2 | 250 | 251,875 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-2.htm',USER='bsridhar',CD='Nov 23 09:01 2004'
| Moodys Ratings | Face Amount (000) | Value | |
|---|---|---|---|
| Lucent Technologies, Inc.: | |||
| Notes | |||
| 7.25%, 7/15/06 | B2 | $ 340 | $ 362,100 |
| 5.50%, 11/15/08 | B2 | 550 | 552,750 |
| Sanmina-SCI Corp. | |||
| Gtd. | |||
| 10.375%, 1/15/10 | Ba2 | 800 | 919,000 |
| Unisys Corp. | |||
| Sr. Notes | |||
| 7.875%, 4/1/08 | Ba1 | 250 | 258,125 |
| Viasystems, Inc. | |||
| Sr. Sub. Notes | |||
| 10.50%, 1/15/11 | Caa2 | 200 | 191,000 |
| Xerox Corp. | |||
| Sr. Notes | |||
| 7.625%, 6/15/13 | Ba2 | 550 | 596,750 |
| Group | |||
| Total | 5,105,597 | ||
| Textile/Apparel/Shoe Manufacturing (1.1%) | |||
| BGF Industries, Inc. | |||
| Series B, Sr. Sub. Notes | |||
| 10.25%, 1/15/09 | Ca | 250 | 226,875 |
| Levi Strauss & Co.: | |||
| Notes | |||
| 7.00%, 11/1/06 | Ca | 515 | 517,575 |
| Sr. Notes | |||
| 12.25%, 12/15/12 | Ca | 735 | 780,938 |
| Phillips Van-Heusen Corp. | |||
| Sr. Notes | |||
| 7.25%, 2/15/11 | B2 | 400 | 418,000 |
| Tropical Sportswear International Corp. | |||
| Series A, Gtd. | |||
| 11.00%, 6/15/08 | Ca | 700 | 416,500 |
| Group | |||
| Total | 2,359,888 | ||
| Tower (0.5%) | |||
| American Towers, Inc. | |||
| Gtd. | |||
| 7.25%, 12/1/11 | B3 | 500 | 522,500 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-2.htm',USER='bsridhar',CD='Nov 23 09:01 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Crown Castle International Corp. | ||||
| Series B, Sr. Notes | ||||
| 7.50%, 12/1/13 | B3 | $ 400 | $ 421,000 | |
| (3) | SBA | |||
| Telecommunications Corp. | ||||
| Sr. Discount Notes | ||||
| 0.00%, 12/15/11 | Caa1 | 300 | 244,500 | |
| Group | ||||
| Total | 1,188,000 | |||
| Transportation (0.8%) | ||||
| (2) | Horizon Lines LLC | |||
| Notes | ||||
| 9.00%, 11/1/12 | B3 | 300 | 318,000 | |
| Sea Containers Ltd. | ||||
| Series B, Yankee | ||||
| Sr. Notes | ||||
| 10.75%, 10/15/06 | B3 | 700 | 721,000 | |
| Ship Finance International Ltd. | ||||
| Sr. Notes | ||||
| 8.50%, 12/15/13 | B1 | 750 | 750,000 | |
| Group | ||||
| Total | 1,789,000 | |||
| Utilities (3.3%) | ||||
| AES Corp.: | ||||
| Sr. Notes | ||||
| 9.50%, 6/1/09 | B2 | 48 | 53,880 | |
| 7.75%, 3/1/14 | B2 | 400 | 415,000 | |
| Allegheny Energy Supply Company, LLC | ||||
| Notes | ||||
| 7.80%, 3/15/11 | B3 | 400 | 435,000 | |
| Aquila, Inc. | ||||
| Sr. Notes | ||||
| 7.625%, 11/15/09 | B2 | 400 | 412,000 | |
| CMS Energy Corp.: | ||||
| Sr. Notes | ||||
| 7.50%, 1/15/09 | B3 | 700 | 736,750 | |
| (2) | 7.75%, 8/1/10 | B3 | 250 | 265,625 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-2.htm',USER='bsridhar',CD='Nov 23 09:01 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Calpine Canada Energy Finance LLC | ||||
| Gtd. | ||||
| 8.50%, 5/1/08 | Caa1 | $ 317 | $ 220,315 | |
| Calpine Corp.: | ||||
| (2) | Secured | |||
| 8.50%, 7/15/10 | N/R | 950 | 731,500 | |
| Sr. Notes | ||||
| 7.75%, 4/15/09 | Caa1 | 800 | 516,000 | |
| (2)(5) | Calpine | |||
| Generating Co. | ||||
| Secured | ||||
| 7.35%, 4/1/10 | B2 | 800 | 764,000 | |
| Edison Mission Energy | ||||
| Sr. Notes | ||||
| 7.73%, 6/15/09 | B1 | 500 | 527,500 | |
| Midwest Generation LLC | ||||
| Secured | ||||
| 8.75%, 5/1/34 | B1 | 400 | 438,000 | |
| (1) | Mirant | |||
| Americas Generation LLC | ||||
| Sr. Notes | ||||
| 7.625%, 5/1/06 | N/R | 500 | 445,000 | |
| (1)(2) | Mirant Corp. | |||
| Sr. Notes | ||||
| 7.40%, 7/15/04 | N/R | 300 | 190,500 | |
| (2) | NRG Energy, | |||
| Inc. | ||||
| Secured | ||||
| 8.00%, 12/15/13 | B2 | 400 | 430,500 | |
| (2) | Sierra | |||
| Pacific Resources | ||||
| Sr. Notes | ||||
| 8.625%, 3/15/14 | B2 | 300 | 327,000 | |
| TNP Enterprises, Inc. | ||||
| Series B, Sr. Sub. Notes | ||||
| 10.25%, 4/1/10 | B2 | 350 | 378,000 | |
| Group | ||||
| Total | 7,286,570 | |||
| Wireless (4.2%) | ||||
| Airgate PCS, Inc.: | ||||
| Secured | ||||
| (2) | 9.375%, 9/1/09 | Caa1 | 50 | 51,000 |
| 9.375%, 9/1/09 | Caa1 | 350 | 357,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-2.htm',USER='bsridhar',CD='Nov 23 09:01 2004'
| (3) | Alamosa PCS Holdings, Inc. | Moodys Ratings | Face Amount (000) | Value |
|---|---|---|---|---|
| Gtd. | ||||
| 0.00%, 2/15/10 | N/R | $ 800 | $ 820,000 | |
| American Cellular Corp. | ||||
| Series B, Sr. Notes | ||||
| 10.00%, 8/1/11 | B3 | 500 | 407,500 | |
| Centennial Cellular/Communications | ||||
| Gtd. | ||||
| 10.125%, 6/15/13 | Caa1 | 400 | 423,000 | |
| Dobson Communications Corp. | ||||
| Sr. Notes | ||||
| 8.875%, 10/1/13 | Caa1 | 300 | 195,000 | |
| (2) | Horizon PCS, | |||
| Inc. | ||||
| Sr. Notes | ||||
| 11.375%, 7/15/12 | B3 | 350 | 365,750 | |
| (2) | IPCS Escrow | |||
| Co. | ||||
| Sr. Notes | ||||
| 11.50%, 5/1/12 | B3 | 250 | 263,750 | |
| (1) | IWO | |||
| Holdings, Inc. | ||||
| Gtd. | ||||
| 14.00%, 1/15/11 | Ca | 550 | 244,750 | |
| (2) | Millicom | |||
| International Cellular S.A. | ||||
| Sr. Notes | ||||
| 10.00%, 12/1/13 | B3 | 500 | 505,000 | |
| Nextel Communications, Inc. | ||||
| Sr. Notes | ||||
| 7.375%, 8/1/15 | Ba3 | 250 | 270,000 | |
| Nextel Partners, Inc. | ||||
| Sr. Notes | ||||
| 8.125%, 7/1/11 | Caa1 | 750 | 798,750 | |
| PTC International Finance II SA | ||||
| Yankee Gtd. | ||||
| 11.25%, 12/1/09 | Ba3 | 500 | 535,000 | |
| Rural Cellular Corp. | ||||
| Sr. Sub. Notes | ||||
| 9.75%, 1/15/10 | Caa2 | 1,450 | 1,268,750 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-2.htm',USER='bsridhar',CD='Nov 23 09:01 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Triton PCS, Inc. | ||||
| Gtd. | ||||
| 8.50%, 6/1/13 | B2 | $ 750 | $ 684,375 | |
| U.S. Unwired, Inc. | ||||
| Series B, Secured | ||||
| 10.00%, 6/15/12 | Caa1 | 400 | 417,000 | |
| Ubiquitel Operating Co.: | ||||
| (3) | Gtd. | |||
| 0.00%, 4/15/10 | Caa3 | 500 | 528,750 | |
| Sr. Notes | ||||
| 9.875%, 3/1/11 | Caa1 | 500 | 523,126 | |
| Western Wireless Corp. | ||||
| Sr. Notes | ||||
| 9.25%, 7/15/13 | Caa1 | 500 | 512,500 | |
| Group | ||||
| Total | 9,171,001 | |||
| TOTAL CORPORATE OBLIGATIONS | ||||
| (Cost $177,645,185) | 175,506,885 | |||
| Shares/ Units | ||||
| COMMON STOCKS (1.0%) | ||||
| Broadcast/Outdoor (0.1%) | ||||
| (6) | Equinix, | |||
| Inc. | 5,567 | 171,297 | ||
| Cable (0.0%) | ||||
| (6) | Digitalglobe, | |||
| Inc. | 69,987 | 69,987 | ||
| Capital Goods (0.0%) | ||||
| (6) | Motels of | |||
| America, Inc. | 750 | 3,000 | ||
| Containers (0.0%) | ||||
| (4)(6) | Continental | |||
| AFA | ||||
| Dispensing Co. | 20,689 | 98,273 | ||
| Finance (0.4%) | ||||
| (6) | Aurora | |||
| Foods, Inc. | 703 | 948,865 | ||
| (4)(6)(7) | Westfed | |||
| Holdings, Inc. | ||||
| Class B | 16,893 | 169 | ||
| Group | ||||
| Total | 949,034 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-2.htm',USER='bsridhar',CD='Nov 23 09:01 2004'
| Shares/ Units | Value | ||
|---|---|---|---|
| Food | |||
| Processors/Beverage/Bottling (0.0%) | |||
| (2)(6) | Specialty | ||
| Foods Corp. | 52,500 | $ 525 | |
| Industrial (0.1%) | |||
| (4)(6) | Doskocil | ||
| Manufacturing Co. | 36,000 | 126,000 | |
| (4)(6) | First Wave | ||
| Marine, Inc. | 2,105 | 13,156 | |
| Group | |||
| Total | 139,156 | ||
| Retail- Food & Drug (0.0%) | |||
| (4)(6) | Archibald | ||
| Candy Corp. | 2,030 | 0 | |
| Retail Stores (0.1%) | |||
| (4)(6) | Safelite | ||
| Glass Corp. | |||
| Class B | 18,064 | 90,320 | |
| (4)(6) | Safelite | ||
| Realty Corp. | 1,219 | 12,190 | |
| Group | |||
| Total | 102,510 | ||
| Services (0.1%) | |||
| (6) | Cenveo, Inc. | 21,306 | 74,571 |
| (2)(6) | Mail Well, | ||
| Inc. | 10,652 | 37,282 | |
| Group | |||
| Total | 111,853 | ||
| Textile/Apparel/Shoe | |||
| Manufacturing (0.2%) | |||
| (6) | Advanced | ||
| Glassfiber Yarns | 139 | 4,031 | |
| (4)(6) | HCI Direct, | ||
| Inc. | |||
| Class A | 18,578 | 92,890 | |
| (6) | Safety | ||
| Components International, Inc. | 26,759 | 346,529 | |
| Group | |||
| Total | 443,450 | ||
| Wireless (0.0%) | |||
| (6) | Dobson | ||
| Communications Corp. | |||
| Class A | 57,927 | 77,043 | |
| TOTAL COMMON STOCKS | |||
| (Cost $4,235,551) | 2,166,128 | ||
| PREFERRED STOCKS (0.2%) | |||
| Cable (0.0%) | |||
| (6) | Adelphia | ||
| Communications Corp. | |||
| 13% Cum. Exchangeable Series B | 7,500 | 46,875 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-2.htm',USER='bsridhar',CD='Nov 23 09:01 2004'
| Shares/ Units | Value | ||
|---|---|---|---|
| Finance (0.0%) | |||
| (4)(6)(7) | Westfed | ||
| Holdings, Inc. | |||
| Class A | 57,005 | $ 14,251 | |
| Restaurants (0.0%) | |||
| (4)(6)(8) | AmeriKing, | ||
| Inc. | |||
| 13% Cum. Exchangeable | 40,375 | 0 | |
| Wireless (0.2%) | |||
| (2) | Dobson | ||
| Communications Corp. | |||
| 6% Conv. Preferred | 900 | 40,504 | |
| (6)(8) | Rural | ||
| Cellular Corp. | |||
| 11.375% Sr. Exchangeable | 426 | 356,775 | |
| Group | |||
| Total | 397,279 | ||
| TOTAL PREFERRED STOCKS | |||
| (Cost $6,611,899) | 458,405 | ||
| WARRANTS (0.0%) | |||
| (6) | Advanced | ||
| Glassfiber Yarns | |||
| expiring 5/4/10 | 115 | 1 | |
| (6) | Colt Telecom | ||
| Group Plc | |||
| expiring 12/31/06 | 400 | 5,094 | |
| (2)(6) | Dayton | ||
| Superior Corp. | |||
| expiring 6/15/09 | 1,250 | 13 | |
| (2)(6) | Decrane | ||
| Aircraft Holdings | |||
| expiring 9/30/08 | 800 | 8 | |
| (2)(6) | Huntsman | ||
| Equity Holdings Corp. | |||
| 5/15/11 | 250 | 57,625 | |
| (6) | Loral Space | ||
| & Communications | |||
| expiring 12/27/06 | 6,290 | 63 | |
| (6) | Mikohn | ||
| Gaming Corp. | |||
| expiring 8/15/08 | 3,000 | 12 | |
| (6) | Ntl, Inc. | ||
| expiring 1/13/11 | 4 | 21 | |
| (6) | Pegasus | ||
| Communications Corp. | |||
| expiring 1/1/07 | 250 | 3 | |
| (2)(6) | Pliant Corp. | ||
| expiring 6/1/10 | 747 | 93 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-2.htm',USER='bsridhar',CD='Nov 23 09:01 2004'
| (4)(6) | Safelite
Glass Corp.: | Shares/ Units | Value |
| --- | --- | --- | --- |
| | Class A expiring 9/29/06 | 44,271 | $ 443 |
| | Class A expiring 9/29/07 | 29,514 | 295 |
| (6) | Star Choice
Communications, Inc. | | |
| | expiring 12/5/05 | 16,212 | 57,646 |
| (6) | Windsor
Woodmont Black Hawk | | |
| | expiring 3/15/10 | 100 | 0 |
| TOTAL WARRANTS | | | |
| (Cost $137,906) | | | 121,317 |
| TOTAL
DOMESTIC SECURITIES | | | |
| (Cost $188,630,541) | | | 178,252,735 |
| Moodys Ratings | Face Amount (000) | ||||
|---|---|---|---|---|---|
| FOREIGN | |||||
| SECURITIES (15.0%) | |||||
| CORPORATE | |||||
| OBLIGATIONS (1.2%) | |||||
| Germany (0.2%) | |||||
| (2) | Kabel | ||||
| Deutschland GmbH | |||||
| Sr. Notes | |||||
| 10.625%, 7/1/14 | B2 | USD | $ 400 | 438,000 | |
| Malaysia (1.0%) | |||||
| (2) | Petroliam | ||||
| Nasional | |||||
| Berhad (Petronas) | |||||
| Bonds | |||||
| 7.75%, 8/15/15 | Baa1 | USD | 1,700 | 2,051,563 | |
| (2) | Petronas | ||||
| Capital, Ltd. | |||||
| Gtd. | |||||
| 7.00%, 5/22/12 | Baa1 | USD | 50 | 57,062 | |
| Group | |||||
| Total | 2,108,625 | ||||
| TOTAL | |||||
| CORPORATE OBLIGATIONS | |||||
| (Cost $2,419,043) | 2,546,625 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-2.htm',USER='bsridhar',CD='Nov 23 09:01 2004'
| Moodys Ratings | Face Amount (000) | Value | |||
|---|---|---|---|---|---|
| GOVERNMENT | |||||
| OBLIGATIONS (13.8%) | |||||
| Argentina (0.1%) | |||||
| (5) | Bocon PRO 1 | ||||
| Bonds | |||||
| 2.67%, 4/1/07 | Ca | ARP | 152 | $ 3,386 | |
| Republic of Argentina | |||||
| Series 2031, | |||||
| Unsubordinated | |||||
| 12.00%, 6/19/31 | Ca | USD | $ 1,060 | 311,640 | |
| Group | |||||
| Total | 315,026 | ||||
| Brazil (4.2%) | |||||
| Federal Republic of Brazil: | |||||
| Series 20YR, Bonds | |||||
| 8.00%, 4/15/14 | B1 | USD | 3,190 | 3,174,989 | |
| Series 30YR, | |||||
| Collateralized | |||||
| 2.0625%, 4/15/24 | B1 | USD | 1,680 | 1,491,168 | |
| Series RG, Bonds | |||||
| 2.125%, 4/15/12 | B1 | USD | 1,412 | 1,316,732 | |
| Unsubordinated | |||||
| 11.00%, 8/17/40 | B1 | USD | 2,850 | 3,198,412 | |
| Group | |||||
| Total | 9,181,301 | ||||
| Colombia (0.5%) | |||||
| Republic of Colombia: | |||||
| Global Bonds | |||||
| 11.75%, 2/25/20 | Ba2 | USD | 715 | 877,662 | |
| Series EMTN, Notes | |||||
| 11.50%, 5/31/11 | Ba2 | EUR | 150 | 221,294 | |
| Group | |||||
| Total | 1,098,956 | ||||
| Mexico (3.0%) | |||||
| United Mexican States: | |||||
| Bonds | |||||
| 8.25%, 2/24/09 | Baa2 | USD | 882 | 1,274,826 | |
| Series MTN, Notes | |||||
| 6.375%, 1/16/13 | Baa2 | USD | 3,790 | 4,000,345 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-2.htm',USER='bsridhar',CD='Nov 23 09:01 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Series REGS, | ||||
| Sr. Unsub. Notes | ||||
| 7.50%, 3/8/10 | Baa2 | EUR | 935 | $ 1,333,305 |
| Group | ||||
| Total | 6,608,476 | |||
| Panama (0.2%) | ||||
| Republic of Panama | ||||
| Bonds | ||||
| 9.375%, 1/16/23 | Ba1 | USD | $ 375 | 410,625 |
| Philippines (0.6%) | ||||
| Republic of Philippines | ||||
| Bonds | ||||
| 8.375%, 2/15/11 | Ba2 | USD | 1,315 | 1,338,013 |
| Russia (3.6%) | ||||
| Ministry Finance of Russia: | ||||
| Series V, Debentures | ||||
| 3.00%, 5/14/08 | Ba2 | USD | 5,255 | 4,763,568 |
| Series VI, Debentures | ||||
| 3.00%, 5/14/06 | Ba1 | USD | 180 | 176,085 |
| Russian Federation: | ||||
| Series REGS, | ||||
| Unsubordinated | ||||
| 5.00%, 3/31/30 | Baa3 | USD | 2,030 | 1,957,732 |
| 11.00%, 7/24/18 | Baa3 | USD | 785 | 1,024,425 |
| Group | ||||
| Total | 7,921,810 | |||
| Turkey (0.9%) | ||||
| Republic of Turkey: | ||||
| Notes | ||||
| 11.50%, 1/23/12 | B1 | USD | 405 | 506,250 |
| Sr. Unsub. Notes | ||||
| 11.875%, 1/15/30 | B1 | USD | 1,000 | 1,385,000 |
| Group | ||||
| Total | 1,891,250 | |||
| Venezuela (0.7%) | ||||
| Republic of Venezuela: | ||||
| Bonds | ||||
| 9.25%, 9/15/27 | B2 | USD | 650 | 641,550 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-2.htm',USER='bsridhar',CD='Nov 23 09:01 2004'
| Moodys Ratings | Face Amount (000) | Value | ||
|---|---|---|---|---|
| Notes | ||||
| 8.50%, 10/8/14 | B2 | USD | $ 500 | $ 490,000 |
| Sr. Unsub. Notes | ||||
| 11.00%, 3/5/08 | B2 | EUR | 360 | 512,244 |
| Group | ||||
| Total | 1,643,794 | |||
| TOTAL GOVERNMENT OBLIGATIONS | ||||
| (Cost $29,210,772) | 30,409,251 | |||
| TOTAL | ||||
| FOREIGN SECURITIES | ||||
| (Cost $31,629,815) | 32,955,876 | |||
| TIME DEPOSIT (1.9%) | ||||
| HSBC Bank (Grand Cayman) | ||||
| 1.07%, 10/1/04 | ||||
| (Cost $4,196,000) | 4,196,000 | |||
| TOTAL | ||||
| INVESTMENTS (97.9%) | ||||
| (Cost $224,456,356) | 215,404,611 | |||
| OTHER ASSETS IN EXCESS OF LIABILITIES (2.1%) | 4,554,237 | |||
| NET ASSETS (100%) | ||||
| Applicable to 49,895,588 issued and outstanding $.001 par value shares | ||||
| (authorized 100,000,000 shares) | $ 219,958,848 |
*OPEN FORWARD FOREIGN CURRENCY CONTRACT*
| Forward Foreign Currency Contract | Expiration Date | Foreign Currency To Be Sold | Contract Amount | Contract Value | Unrealized Loss | ||
|---|---|---|---|---|---|---|---|
| European Economic Unit | 12/22/04 | | 2,800,000 | $ 3,455,200 | $ 3,477,022 | $ (21,822 | ) |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-2.htm',USER='bsridhar',CD='Nov 23 09:01 2004'
N/R- Not Rated
ARP- Argenitne Peso
EUR- Euro Dollar
1 Defaulted security.
2 144A Security. Certain conditions for public sale may exist. Total market value of 144A securities owned at September 30, 2004 was $39,798,095 or 17.32% of net assets.
3 Step Bond - Coupon rate is low or zero for an initial period and then increases to a higher coupon rate thereafter. Maturity date disclosed is the ultimate maturity.
4 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.
5 Floating Rate - The interest rate changes on these instruments based upon a designated base rate. The rates shown are those in effect at September 30, 2004.
6 Non-income producing security.
7 Restricted security, not readily marketable; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Directors.
8 Payment-in-kind preferred stocks. Market value includes accrued dividend.
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 then 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. The Funds 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 (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. 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.
Restricted Securities Certain investments of the Fund are restricted as to resale and are valued at fair value as determined in good faith by, or under the direction of, the Board of Directors under procedures established by the Board of Directors. The table below shows the numbers of shares held, the acquisition date, aggregate cost, fair value as of September 30, 2004, value per share of such security and percentage of net assets that the security represents. The final column represents the distributions received from each investment. The Portfolio does not have the right to demand that such securities be registered.
| Security Description | Number of Shares | Acquisition Date | Cost | Fair Value | Value Per Share | Percentage of Net Asset Value | Distributions received |
|---|---|---|---|---|---|---|---|
| Westfed Holdings, Inc. | 16,893 | 9/20/88 | $ 510 | $ 169 | $ 0.01 | 0.00 % | $ 0 |
| Westfed Holdings, Inc. | 57,005 | 9/20/88-6/18/93 | 4,815,472 | 14,251 | 0.25 | 0.00 % | 0 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-2.htm',USER='bsridhar',CD='Nov 23 09:01 2004'
Federal Income Tax Cost At September 30, 2004 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 appreciation (depreciation) from investments were $224,752,930 15,389,829, (24,687,398) and $(9,297,569), respectively.
Other information regarding the Fund is available in the Funds most recent Report to Shareholders. This information is also available on the Funds website at http://www.csam.com/us as well as on the website of the Securities and Exchange Commission - http://www.sec.gov.
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-bg-2.htm',USER='bsridhar',CD='Nov 23 09:01 2004'
*Item 2: Controls and Procedures*
(a) As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the Act)), were effective based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities and Exchange Act of 1934.
(b) There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting.
*Item 3: Exhibits*
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-ga.htm',USER='bsridhar',CD='Nov 23 09:02 2004'
*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/ Michael E. Kenneally | |
| Name: | Michael E. Kenneally |
| Title: | Chief Executive Officer |
| Date: | November 24, 2004 |
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/ Michael E. Kenneally | |
|---|---|
| Name: | Michael E. Kenneally |
| Title: | Chief Executive Officer |
| Date: | November 24, 2004 |
| /s/ Michael A. Pignataro | |
| Name: | Michael A. Pignataro |
| Title: | Chief Financial Officer |
| Date: | November 24, 2004 |
SEQ.=1,FOLIO='',FILE='C:\JMS\ykasili\04-13337-1\task237057\13337-1-jc.htm',USER='bsridhar',CD='Nov 23 09:18 2004'
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