Regulatory Filings • Nov 29, 2005
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Download Source FileN-Q 1 a05-19254_1nq.htm QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
*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 | 10017 |
| (Address of principal executive offices) | (Zip code) |
| J. Kevin Gao, Esq. 466 Lexington Avenue New York, New York 10017 | |
| (Name and address of agent for service) | |
| Registrant's
telephone number, including area code: | (212)
875-3500 |
| Date of
fiscal year end: | December
31st |
| Date of
reporting period: | July 1, 2005
to September 30, 2005 |
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Item 1: Schedule of Investments
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*Credit Suisse Asset Management Income Fund, Inc.*
*Schedule of Investments*
September 30, 2005 (unaudited)
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| DOMESTIC | |||||
| SECURITIES (89.2%) | |||||
| CORPORATE | |||||
| OBLIGATIONS (88.2%) | |||||
| Aerospace (0.7%) | |||||
| $ 300 | BE Aerospace, Inc., | ||||
| Series B, Senior | |||||
| Subordinated Notes | (B- , Caa2) | 03/01/08 | 8.000 | $ 301,500 | |
| 925 | L-3 Communication Corp., | ||||
| Global Senior | |||||
| Subordinated Notes (Callable 1/15/10 @ | |||||
| $102.94) | (BB+ , Ba3) | 01/15/15 | 5.875 | 899,562 | |
| 250 | Sequa Corp., Senior Notes | (BB- , B1) | 08/01/09 | 9.000 | 266,250 |
| 1,467,312 | |||||
| Airlines (0.4%) | |||||
| 900 | American | ||||
| Airlines, Inc., Series 01-2, Pass Thru | |||||
| Certificates | (B , B1) | 10/01/06 | 7.800 | 862,220 | |
| Automobile | |||||
| Manufacturing/Vehicle Parts (5.5%) | |||||
| 750 | Accuride Corp., Global | ||||
| Company Guaranteed | |||||
| Notes (Callable 2/01/10 @ $104.25) | (B- , Caa1) | 02/01/15 | 8.500 | 738,750 | |
| 800 | American Tire | ||||
| Distributors, Inc., Rule 144A, | |||||
| Senior Notes (Callable 4/01/09 @ $105.38) | (CCC+ , Caa2) | 04/01/13 | 10.750 | 732,000 | |
| 400 | Autocam Corp., Global | ||||
| Senior Subordinated | |||||
| Notes (Callable 6/15/09 @ $105.44) | (B- , Caa2) | 06/15/14 | 10.875 | 268,000 | |
| 775 | Cambridge | ||||
| Industries, Inc., Senior | |||||
| Subordinated Notes^ | (NR , NR) | 07/15/07 | 10.250 | 7,746 | |
| 400 | Cooper-Standard | ||||
| Automotive, Inc., Global | |||||
| Company Guaranteed Notes (Callable | |||||
| 12/15/09 @ $104.19) | (B , B3) | 12/15/14 | 8.375 | 338,000 | |
| 500 | Cummins, Inc., Global | ||||
| Senior Notes | |||||
| (Callable 12/01/06 @ $104.75) | (BB+ , Ba2) | 12/01/10 | 9.500 | 546,250 | |
| 245 | Delphi Corp., Global Notes | (CCC- , Ca) | 06/15/06 | 6.550 | 181,300 |
| 475 | Dura Operating Corp., | ||||
| Series D, Company | |||||
| Guaranteed | |||||
| Notes (Callable 5/01/06 @ $101.50) | (CCC+ , Caa1) | 05/01/09 | 9.000 | 332,500 | |
| 1,600 | General Motors Acceptance | ||||
| Corp., Bonds | (BB , Ba1) | 11/01/31 | 8.000 | 1,400,562 | |
| 3,470 | General Motors Acceptance Corp., Global Notes | (BB , Ba1) | 12/01/14 | 6.750 | 3,023,276 |
| 1,250 | Goodyear Tire & | ||||
| Rubber Co., Rule 144A, | |||||
| Senior Notes (Callable 7/01/10 @ $104.50) | (B- , B3) | 07/01/15 | 9.000 | 1,237,500 | |
| 365 | Holley Performance | ||||
| Products, Inc., Series B, | |||||
| Company Guaranteed Notes (Callable | |||||
| 9/15/06 @ $100.00) | (CCC- , NR) | 09/15/07 | 12.250 | 323,025 | |
| 450 | Keystone Automotive | ||||
| Operations, Inc., | |||||
| Global Senior Subordinated Notes | |||||
| (Callable 11/01/08 @ $104.88) | (B- , B3) | 11/01/13 | 9.750 | 450,000 | |
| 800 | Metaldyne Corp., Global | ||||
| Company Guaranteed | |||||
| Notes (Callable 6/15/07 @ $105.50) | (CCC+ , Caa2) | 06/15/12 | 11.000 | 548,000 | |
| 400 | Stanadyne Corp., Global | ||||
| Senior Subordinated | |||||
| Notes (Callable 8/15/09 @ $105.00) | (B- , Caa1) | 08/15/14 | 10.000 | 398,000 | |
| 350 | Tenneco | ||||
| Automotive, Inc., Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 11/15/09 @ $104.31) | (B- , B3) | 11/15/14 | 8.625 | 354,375 | |
| 900 | Visteon Corp., Global | ||||
| Senior Notes | (B- , B3) | 08/01/10 | 8.250 | 859,500 | |
| 11,738,784 |
SEQ.=1,FOLIO='',FILE='C:\JMS\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| DOMESTIC | |||||
| SECURITIES | |||||
| CORPORATE | |||||
| OBLIGATIONS | |||||
| Broadband (0.4%) | |||||
| $ 750 | Level 3 | ||||
| Communications, Inc., Senior Notes | |||||
| (Callable 5/01/06 @ $100.00) | (CC , Ca) | 05/01/08 | 9.125 | $ 615,000 | |
| 250 | Level 3 | ||||
| Financing, Inc., Senior Notes | |||||
| (Callable 10/15/07 @ $105.38) | (CC , Caa1) | 10/15/11 | 10.750 | 210,312 | |
| 825,312 | |||||
| Broadcast/Outdoor (1.4%) | |||||
| 750 | Emmis Communications Corp., | ||||
| Senior Notes | |||||
| (Callable 12/15/05 @ $100.00)# | (B- , B3) | 06/15/12 | 9.745 | 759,375 | |
| 250 | Emmis Operating, Co., | ||||
| Global Senior | |||||
| Subordinated | |||||
| Notes (Callable 5/15/08 @ $103.44) | (B- , B2) | 05/15/12 | 6.875 | 250,312 | |
| 75 | Interep National Radio | ||||
| Sales, Inc., Series B, | |||||
| Company Guaranteed Notes (Callable | |||||
| 7/01/06 @ $100.00) | (CC , Ca) | 07/01/08 | 10.000 | 60,469 | |
| 190 | LIN Television Corp., | ||||
| Rule 144A, Senior | |||||
| Subordinated Notes (Callable 5/15/08 @ | |||||
| $103.25) | (B- , B1) | 05/15/13 | 6.500 | 180,975 | |
| 500 | Paxson Communications | ||||
| Corp., Global | |||||
| Company | |||||
| Guaranteed Notes (Callable 1/15/06 @ $106.13)+ | (CCC- , Caa1) | 01/15/09 | 0.000 | 487,500 | |
| 550 | Sinclair Broadcast | ||||
| Group, Inc., Global | |||||
| Company | |||||
| Guaranteed Notes (Callable 12/15/06 @ $104.38) | (B , B2) | 12/15/11 | 8.750 | 580,250 | |
| 750 | Sirius Satellite | ||||
| Radio, Inc., Rule 144A, Senior | |||||
| Notes (Callable 9/01/09 @ $104.81) | (CCC , Caa1) | 08/01/13 | 9.625 | 723,750 | |
| 3,042,631 | |||||
| Building | |||||
| Products (3.8%) | |||||
| 250 | Ahern Rentals, Inc., | ||||
| Rule 144A, Secured Notes | |||||
| (Callable 8/15/09 @ $104.63) | (B- , B3) | 08/15/13 | 9.250 | 256,875 | |
| 750 | Associated | ||||
| Materials, Inc., Global Senior | |||||
| Discount | |||||
| Notes (Callable 3/01/09 @ $105.63)+ | (CCC+ , Caa2) | 03/01/14 | 0.000 | 378,750 | |
| 300 | Building Materials Corp. of | ||||
| America, Global | |||||
| Secured Notes (Callable 8/01/09 @ $103.88) | (B+ , B2) | 08/01/14 | 7.750 | 292,500 | |
| 750 | Compression Polymers | ||||
| Holding Corp., | |||||
| Rule 144A, | |||||
| Senior Notes (Callable 7/01/09 @ $105.25) | (B- , B2) | 07/01/13 | 10.500 | 699,375 | |
| 700 | Dayton Superior Corp., Company Guaranteed | ||||
| Notes (Callable 6/15/07 @ $102.17) | (CCC , Caa2) | 06/15/09 | 13.000 | 563,500 | |
| 250 | Dayton Superior Corp., | ||||
| Global Secured Notes | |||||
| (Callable 6/15/06 @ $105.63) | (B- , B3) | 09/15/08 | 10.750 | 253,750 | |
| 1,250 | Goodman Global Holdings Co., Inc., | ||||
| Rule 144A, Senior Subordinated Notes | |||||
| (Callable 12/15/08 @ $103.94) | (B- , Caa1) | 12/15/12 | 7.875 | 1,137,500 | |
| 400 | Interface, Inc., | ||||
| Global Senior Subordinated | |||||
| Notes (Callable 2/01/09 @ $104.75) | (CCC , Caa3) | 02/01/14 | 9.500 | 402,000 | |
| 400 | K Hovnanian Enterprises, Inc., | ||||
| Rule 144A, | |||||
| Private Placement Notes | (BB , Ba1) | 01/15/16 | 6.250 | 374,459 | |
| 250 | Norcraft Holdings | ||||
| L.P./Norcraft Capital, | |||||
| Global Senior Discount Notes (Callable | |||||
| 9/01/08 @ $104.88)+ | (B- , Caa1) | 09/01/12 | 0.000 | 176,250 | |
| 1,000 | NTK Holdings, Inc., | ||||
| Senior Discount | |||||
| Notes (Callable 9/01/09 @ $105.38)+ | (CCC+ , Caa2) | 03/01/14 | 0.000 | 565,000 |
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| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| DOMESTIC | |||||
| SECURITIES | |||||
| CORPORATE | |||||
| OBLIGATIONS | |||||
| Building | |||||
| Products | |||||
| $ 900 | Ply Gem | ||||
| Industries, Inc., Global Senior | |||||
| Subordinated Notes (Callable 2/15/08 @ | |||||
| $104.50) | (B- , B3) | 02/15/12 | 9.000 | $ 760,500 | |
| 500 | RMCC Acquisition Co., | ||||
| Rule 144A, Senior | |||||
| Subordinated Notes (Callable 11/01/08 @ | |||||
| $104.75) | (CCC+ , Caa1) | 11/01/12 | 9.500 | 507,500 | |
| 250 | Texas | ||||
| Industries, Inc., Rule 144A, Senior | |||||
| Notes (Callable 7/15/09 @ $103.63) | (BB- , Ba3) | 07/15/13 | 7.250 | 261,250 | |
| 750 | THL Buildco | ||||
| (Nortek), Inc., Global Senior | |||||
| Subordinated Notes (Callable 9/01/09 @ | |||||
| $104.25) | (B- , Caa1) | 09/01/14 | 8.500 | 693,750 | |
| 1,300 | Werner Holdings | ||||
| Co., Inc., Series A, Company | |||||
| Guaranteed Notes (Callable 11/15/05 @ | |||||
| $100.00) | (CCC- , Caa2) | 11/15/07 | 10.000 | 819,000 | |
| 8,141,959 | |||||
| Cable (5.4%) | |||||
| 750 | Atlantic Broadband Finance LLC, Rule 144A, | ||||
| Senior Subordinated Notes (Callable 1/15/09 | |||||
| @ $104.69) | (CCC+ , Caa1) | 01/15/14 | 9.375 | 712,500 | |
| 1,475 | Cablevision Systems, Corp., Series B, Global | ||||
| Senior Notes | (B+ , B3) | 04/15/12 | 8.000 | 1,438,125 | |
| 100 | Charter Communication Holdings II, Senior | ||||
| Notes (Callable 9/15/08 @ $105.13) | (CCC- , Caa1) | 09/15/10 | 10.250 | 103,000 | |
| 2,150 | Charter Communication Holdings LLC/Cap | ||||
| Corp., Global Senior Notes (Callable | |||||
| 11/15/08 @ $104.38) | (CCC- , B3) | 11/15/13 | 8.750 | 2,133,875 | |
| 2,000 | Charter Communication Holdings LLC, Senior | ||||
| Discount | |||||
| Notes (Callable 4/01/06 @ $101.65) | (CCC- , Ca) | 04/01/11 | 9.920 | 1,455,000 | |
| 450 | Charter Communications Holdings LLC/Cap | ||||
| Corp., Rule 144A, Senior Notes (Callable | |||||
| 11/15/08 @ $104.38) | (CCC- , B3) | 11/15/13 | 8.750 | 446,625 | |
| 1,450 | CSC Holdings, Inc., Rule 144A, Senior Notes | (BB- , B1) | 04/15/12 | 7.000 | 1,377,500 |
| 150 | CSC Holdings, Inc., Series B, Debentures | (BB- , B1) | 08/15/09 | 8.125 | 151,875 |
| 200 | CSC Holdings, Inc., Series B, Senior Notes | (BB- , B1) | 04/01/11 | 7.625 | 197,500 |
| 3,014 | DIVA Systems Corp., Series B, Senior | ||||
| Discount | |||||
| Notes (Callable 3/01/06 @ $100.00)^Ø | (NR , NR) | 03/01/08 | 12.625 | 7,536 | |
| 250 | Insight Communications Co., Inc., Senior | ||||
| Discount | |||||
| Notes (Callable 2/15/06 @ $106.13)+ | (CCC+ , Caa2) | 02/15/11 | 0.000 | 256,250 | |
| 500 | Insight Midwest/Insight Capital, Global Senior | ||||
| Notes (Callable 11/01/05 @ $105.25) | (B , B2) | 11/01/10 | 10.500 | 527,500 | |
| 900 | Insight Midwest/Insight Capital, Senior Notes | ||||
| (Callable 10/01/05 @ $103.25) | (B , B2) | 10/01/09 | 9.750 | 922,500 | |
| 150 | Mediacom Broadband LLC, Rule 144A, Senior | ||||
| Notes (Callable 10/15/10 @ $104.25) | (B , B2) | 10/15/15 | 8.500 | 145,500 | |
| 850 | Mediacom LLC/Capital Corp., Senior Notes | ||||
| (Callable 2/15/06 @ $103.94) | (B , B3) | 02/15/11 | 7.875 | 807,500 | |
| 953 | Renaissance Media Group LLC, Company | ||||
| Guaranteed | |||||
| Notes (Callable 4/15/06 @ $100.00) | (CCC+ , B3) | 04/15/08 | 10.000 | 948,235 | |
| 11,631,021 |
SEQ.=1,FOLIO='',FILE='C:\JMS\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| DOMESTIC | |||||
| SECURITIES | |||||
| CORPORATE | |||||
| OBLIGATIONS | |||||
| Capital | |||||
| Goods (1.0%) | |||||
| $ 250 | Blount, Inc., Senior | ||||
| Subordinated Notes | |||||
| (Callable 8/01/08 @ $104.44) | (B- , Caa1) | 08/01/12 | 8.875 | $ 267,500 | |
| 350 | Case New | ||||
| Holland, Inc., Senior Notes | |||||
| (Callable 8/01/07 @ $104.63) | (BB- , Ba3) | 08/01/11 | 9.250 | 371,875 | |
| 760 | JII Holdings LLC, Global | ||||
| Secured Notes | |||||
| (Callable 1/01/06 @ $103.25) | (CCC- , Caa2) | 04/01/07 | 13.000 | 669,152 | |
| 950 | Motors & | ||||
| Gears, Inc., Series D, Senior Notes | (CCC , Caa1) | 11/15/06 | 10.750 | 907,250 | |
| 2,215,777 | |||||
| Chemicals (3.7%) | |||||
| 322 | BCP Crystal Holdings Corp., | ||||
| Global Senior | |||||
| Subordinated | |||||
| Notes (Callable 6/15/09 @ $104.81) | (B- , B3) | 06/15/14 | 9.625 | 359,835 | |
| 100 | Crompton Corp., Global | ||||
| Senior Notes | |||||
| (Callable 8/01/08 @ $104.94) | (B , B1) | 08/01/12 | 9.875 | 114,375 | |
| 455 | Crystal U.S. Holdings/U.S. | ||||
| Sub 3, Series B, | |||||
| Global Senior Discount Notes (Callable | |||||
| 10/01/09 @ $105.25)+ | (B- , Caa2) | 10/01/14 | 0.000 | 320,775 | |
| 350 | Equistar Chemicals | ||||
| LP/Equistar Funding | |||||
| Corp., Global Senior Notes (Callable | |||||
| 5/01/07 @ $105.31) | (BB- , B2) | 05/01/11 | 10.625 | 383,250 | |
| 325 | Huntsman Co. LLC, Global | ||||
| Company | |||||
| Guaranteed | |||||
| Notes (Callable 10/15/07 @ $105.81) | (BB- , B1) | 10/15/10 | 11.625 | 372,937 | |
| 264 | Huntsman LLC, Global | ||||
| Company Guaranteed | |||||
| Notes (Callable 7/15/08 @ $105.75) | (B , B2) | 07/15/12 | 11.500 | 302,940 | |
| 1,000 | IMC Global, Inc., | ||||
| Global Senior Notes | |||||
| (Callable 8/01/08 @ $105.44) | (BB , Ba3) | 08/01/13 | 10.875 | 1,185,000 | |
| 250 | ISP Chemco, Inc., | ||||
| Series B, Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 7/01/06 @ $105.13) | (BB- , B1) | 07/01/11 | 10.250 | 270,937 | |
| 600 | KI Holdings, Inc., | ||||
| Global Senior Discount | |||||
| Notes (Callable 11/15/09 @ $104.94)+ | (B- , Caa2) | 11/15/14 | 0.000 | 412,500 | |
| 1,100 | Lyondell Chemical Co., | ||||
| Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 6/01/08 @ $105.25) | (BB- , B1) | 06/01/13 | 10.500 | 1,248,500 | |
| 800 | Millennium | ||||
| America, Inc., Global Company | |||||
| Guaranteed Notes | (BB- , B1) | 06/15/08 | 9.250 | 864,000 | |
| 750 | Nalco Co., Global Senior | ||||
| Notes (Callable | |||||
| 11/15/07 @ $103.88) | (B- , B2) | 11/15/11 | 7.750 | 770,625 | |
| 400 | Polyone Corp., Global | ||||
| Company Guaranteed | |||||
| Notes (Callable 5/15/07 @ $105.31) | (B+ , B3) | 05/15/10 | 10.625 | 414,000 | |
| 500 | Resolution Performance | ||||
| Products LLC, Global | |||||
| Senior Subordinated Notes (Callable | |||||
| 11/15/06 @ $104.50) | (B- , Caa2) | 11/15/10 | 13.500 | 533,750 | |
| 357 | Terra Capital, Inc., | ||||
| Global Secured Notes | |||||
| (Callable 6/01/07 @ $105.75) | (B- , B2) | 06/01/10 | 11.500 | 410,550 | |
| 7,963,974 | |||||
| Competitive | |||||
| Local Exchange Carrier (0.7%) | |||||
| 750 | GCI, Inc., Global | ||||
| Senior Notes (Callable | |||||
| 2/15/09 @ $103.62) | (B+ , B2) | 02/15/14 | 7.250 | 729,375 | |
| 422 | Madison River Capital/Madison River Finance, | ||||
| Senior Notes (Callable 3/01/06 @ $104.42) | (CCC+ , B3) | 03/01/10 | 13.250 | 451,005 | |
| 400 | Time Warner Telecom, LLC, | ||||
| Senior Notes | |||||
| (Callable 7/15/06 @ $100.00) | (CCC+ , B3) | 07/15/08 | 9.750 | 407,000 | |
| 1,587,380 |
SEQ.=1,FOLIO='',FILE='C:\JMS\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| DOMESTIC | |||||
| SECURITIES | |||||
| CORPORATE | |||||
| OBLIGATIONS | |||||
| Consumer | |||||
| Products/Tobacco (3.2%) | |||||
| $ 400 | AAC Group Holding Corp., | ||||
| Rule 144A, Senior | |||||
| Discount Notes (Callable 10/01/08 @ | |||||
| $105.13)+ | (B- , Caa1) | 10/01/12 | 0.000 | $ 290,000 | |
| 650 | ALH Finance LLC, Global | ||||
| Senior | |||||
| Subordinated | |||||
| Notes (Callable 1/15/09 @ $104.25) | (CCC+ , B3) | 01/15/13 | 8.500 | 617,500 | |
| 400 | Ames True | ||||
| Temper, Inc., Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 1/15/07 @ $103.00)# | (B- , B3) | 01/15/12 | 7.599 | 374,000 | |
| 600 | Ames True | ||||
| Temper, Inc., Global Senior | |||||
| Subordinated Notes (Callable 7/15/08 @ | |||||
| $105.00) | (CCC , Caa1) | 07/15/12 | 10.000 | 471,000 | |
| 300 | Amscan Holdings, Inc., | ||||
| Global Senior | |||||
| Subordinated Notes (Callable 5/01/09 @ | |||||
| $104.38) | (B- , B3) | 05/01/14 | 8.750 | 264,000 | |
| 750 | Del | ||||
| Laboratories, Inc., Global Company | |||||
| Guaranteed Notes | (CCC+ , B3) | 02/01/12 | 8.000 | 620,625 | |
| 2,000 | Diamond Brands Operating | ||||
| Corp., Company | |||||
| Guaranteed | |||||
| Notes (Callable 4/15/06 @ $100.00)^Ø | (NR , NR) | 04/15/08 | 10.125 | 20,000 | |
| 400 | Interactive Health LLC, | ||||
| Rule 144A, Senior | |||||
| Notes (Callable 4/01/08 @ $105.69) | (B- , B3) | 04/01/11 | 7.250 | 346,000 | |
| 1,100 | Johnsondiversey | ||||
| Holdings, Inc., Global | |||||
| Discount | |||||
| Notes (Callable 5/15/07 @ $105.34)+ | (B , Caa1) | 05/15/13 | 0.000 | 819,500 | |
| 250 | Leiner Health | ||||
| Products, Inc., Global Senior | |||||
| Subordinated Notes (Callable 6/01/08 @ | |||||
| $105.50) | (CCC+ , B3) | 06/01/12 | 11.000 | 215,000 | |
| 250 | Mac-Gray Corp., | ||||
| Rule 144A, Senior Notes | |||||
| (Callable 8/15/10 @ $103.81) | (BB- , B1) | 08/15/15 | 7.625 | 256,250 | |
| 650 | PCA LLC/PCA Finance Corp., Global Senior Notes | (CCC , Caa2) | 08/01/09 | 11.875 | 183,625 |
| 500 | Playtex | ||||
| Products, Inc., Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 6/01/06 @ $104.69) | (CCC+ , Caa2) | 06/01/11 | 9.375 | 524,375 | |
| 299 | Prestige Brands, Inc., | ||||
| Global Senior | |||||
| Subordinated | |||||
| Notes (Callable 4/15/08 @ $104.63) | (B- , B3) | 04/15/12 | 9.250 | 307,970 | |
| 115 | Remington Arms | ||||
| Co., Inc., Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 2/01/07 @ $105.25) | (CCC+ , B3) | 02/01/11 | 10.500 | 95,500 | |
| 500 | Revlon, Inc., Debentures | (CCC , Caa2) | 04/01/11 | 9.500 | 473,750 |
| 250 | Samsonite Corp., Global | ||||
| Senior Subordinated | |||||
| Notes | |||||
| (Callable 6/01/08 @ $104.44) | (B- , B3) | 06/01/11 | 8.875 | 266,875 | |
| 400 | Sealy Mattress Co., Global | ||||
| Senior | |||||
| Subordinated | |||||
| Notes (Callable 6/15/09 @ $104.13) | (B- , B2) | 06/15/14 | 8.250 | 404,000 | |
| 250 | Spectrum Brands, Inc., Global Senior | ||||
| Subordinated | |||||
| Notes (Callable 10/01/08 @ $104.25) | (B- , B3) | 10/01/13 | 8.500 | 242,500 | |
| 6,792,470 | |||||
| Containers (2.0%) | |||||
| 600 | Berry Plastics Corp., | ||||
| Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 7/15/07 @ $105.38) | (B- , B3) | 07/15/12 | 10.750 | 648,000 | |
| 350 | Graham Packaging Co., | ||||
| Subordinated Notes | |||||
| (Callable 10/15/09 @ $104.94) | (CCC+ , Caa2) | 10/15/14 | 9.875 | 337,750 | |
| 250 | Graphic Packaging | ||||
| International Corp., Global | |||||
| Senior Subordinated Notes (Callable 8/15/08 | |||||
| @ $104.75) | (B- , B3) | 08/15/13 | 9.500 | 236,250 | |
| 300 | Intertape Polymer | ||||
| U.S., Inc., Global Senior | |||||
| Subordinated Notes (Callable 8/01/09 @ | |||||
| $104.25) | (B- , B3) | 08/01/14 | 8.500 | 296,929 |
SEQ.=1,FOLIO='',FILE='C:\JMS\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| DOMESTIC | |||||
| SECURITIES | |||||
| CORPORATE | |||||
| OBLIGATIONS | |||||
| Containers | |||||
| $ 680 | Owens-Brockway Glass, | ||||
| Global Company | |||||
| Guaranteed Notes (Callable 5/15/08 @ | |||||
| $104.13) | (B , B2) | 05/15/13 | 8.250 | $ 710,600 | |
| 850 | Owens-Illinois, Inc., | ||||
| Senior Notes | (B , B3) | 05/15/07 | 8.100 | 875,500 | |
| 850 | Pliant Corp., Company | ||||
| Guaranteed Notes | |||||
| (Callable 6/01/06 @ $104.33) | (CCC+ , Caa2) | 06/01/10 | 13.000 | 408,000 | |
| 500 | Solo Cup Co., Global Senior | ||||
| Subordinated | |||||
| Notes (Callable 2/15/09 @ $104.25) | (B- , B3) | 02/15/14 | 8.500 | 445,000 | |
| 250 | U.S. Can Corp., Global | ||||
| Company Guaranteed | |||||
| Notes (Callable 7/15/07 @ $105.44) | (CCC+ , Caa2) | 07/15/10 | 10.875 | 263,750 | |
| 4,221,779 | |||||
| Diversified | |||||
| Telecommunications (2.1%) | |||||
| 800 | Cincinnati Bell, Inc., | ||||
| Global Senior | |||||
| Subordinated | |||||
| Notes (Callable 1/15/09 @ $104.19) | (B- , B3) | 01/15/14 | 8.375 | 792,000 | |
| 525 | Hawaiian Telecom | ||||
| Communications, Inc., | |||||
| Rule 144A, | |||||
| Senior Notes (Callable 5/01/09 @ $104.88) | (B- , B3) | 05/01/13 | 9.750 | 538,125 | |
| 250 | Qwest Corp., Senior Notes | (BB- , Ba3) | 09/01/11 | 7.875 | 392,812 |
| 2,164 | Qwest Corporation, | ||||
| Rule 144A, Senior Notes | (BB- , Ba3) | 06/15/15 | 7.625 | 2,220,805 | |
| 500 | Qwest Services Corp., | ||||
| Global Secured Notes | |||||
| (Callable 12/15/06 @ $106.75) | (B , Caa1) | 12/15/10 | 13.500 | 575,000 | |
| 4,518,742 | |||||
| Energy - | |||||
| Other (3.0%) | |||||
| 1,050 | Dynegy Holdings, Inc., | ||||
| Rule 144A, Secured | |||||
| Notes (Callable 7/15/08 @ $105.06) | (B- , B3) | 07/15/13 | 10.125 | 1,176,000 | |
| 250 | Dynegy Holdings, Inc., | ||||
| Senior Notes | (CCC+ , Caa2) | 04/01/11 | 6.875 | 245,625 | |
| 500 | El | ||||
| Paso Corp., Senior Notes | (B- , Caa1) | 05/15/11 | 7.000 | 501,250 | |
| 250 | El | ||||
| Paso Natural Gas, Series A, Global Senior | |||||
| Notes (Callable 8/01/07 @ $103.81) | (B , B1) | 08/01/10 | 7.625 | 261,193 | |
| 1,500 | El Paso Production Holding | ||||
| Co., Global | |||||
| Company | |||||
| Guaranteed Notes (Callable 6/01/08 @ $103.88) | (B , B3) | 06/01/13 | 7.750 | 1,575,000 | |
| 200 | Giant | ||||
| Industries, Inc., Company Guaranteed | |||||
| Notes | |||||
| (Callable 5/15/09 @ $104.00) | (B- , B3) | 05/15/14 | 8.000 | 210,000 | |
| 162 | Giant | ||||
| Industries, Inc., Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 5/15/07 @ $105.50) | (B- , B3) | 05/15/12 | 11.000 | 183,060 | |
| 250 | Inergy LP/Inergy Finance | ||||
| Corp., Rule 144A, | |||||
| Senior | |||||
| Notes (Callable 12/15/09 @ $103.44) | (B- , B1) | 12/15/14 | 6.875 | 240,000 | |
| 500 | Reliant Energy, Inc., | ||||
| Global Secured | |||||
| (Callable | |||||
| 7/15/08 @ $104.75) | (B+ , B1) | 07/15/13 | 9.500 | 555,000 | |
| 250 | Reliant Energy, Inc., | ||||
| Secured Notes (Callable | |||||
| 12/15/09 | |||||
| @ $103.38) | (B+ , B1) | 12/15/14 | 6.750 | 246,875 | |
| 1,175 | Williams | ||||
| Companies, Inc., Global Notes | (B+ , B1) | 03/15/12 | 8.125 | 1,289,562 | |
| 6,483,565 | |||||
| Environmental | |||||
| Services (0.7%) | |||||
| 1,000 | Allied Waste North | ||||
| America, Inc., Series B, | |||||
| Global | |||||
| Senior Notes (Callable 4/15/09 @ $103.69) | (B+ , Caa1) | 04/15/14 | 7.375 | 1,039,500 | |
| 400 | Waste Services, Inc., | ||||
| Senior | |||||
| Subordinated | |||||
| Notes (Callable 4/15/09 @ $104.75) | (CCC , Caa2) | 04/15/14 | 9.500 | 400,000 | |
| 1,439,500 |
SEQ.=1,FOLIO='',FILE='C:\JMS\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| DOMESTIC | |||||
| SECURITIES | |||||
| CORPORATE | |||||
| OBLIGATIONS | |||||
| Finance (0.5%) | |||||
| $ 250 | E*Trade Financial Corp., | ||||
| Global Senior Notes | |||||
| (Callable 6/15/08 @ $104.00) | (B+ , B3) | 06/15/11 | 8.000 | $ 259,375 | |
| 750 | IAAI Finance Corp., | ||||
| Rule 144A, Senior | |||||
| Unsecured | |||||
| Notes (Callable 4/01/09 @ $105.50) | (CCC+ , Caa1) | 04/01/13 | 11.000 | 773,974 | |
| 1,033,349 | |||||
| Food | |||||
| Processors/Beverage/Bottling (1.6%) | |||||
| 100 | Agrilink Foods, Inc., | ||||
| Company Guaranteed | |||||
| Notes | |||||
| (Callable 11/21/05 @ $101.98) | (B- , B3) | 11/01/08 | 11.875 | 102,750 | |
| 800 | Bear Creek Corp., | ||||
| Rule 144A, Senior Notes | |||||
| (Callable | |||||
| 3/01/09 @ $104.50) | (B- , B3) | 03/01/13 | 9.000 | 832,000 | |
| 471 | Eagle Family | ||||
| Foods, Inc., Series B, Company | |||||
| Guaranteed | |||||
| Notes (Callable 1/15/06 @ $100.00) | (CCC , Caa2) | 01/15/08 | 8.750 | 369,342 | |
| 440 | Land OLakes, Inc., | ||||
| Global Senior Notes | |||||
| (Callable | |||||
| 11/15/06 @ $104.38) | (B- , B3) | 11/15/11 | 8.750 | 463,100 | |
| 250 | Le-Natures, Inc., | ||||
| Rule 144A, Senior | |||||
| Subordinated | |||||
| Notes (Callable 6/15/08 @ $104.25) | (CCC+ , Caa1) | 06/15/13 | 9.000 | 271,250 | |
| 220 | National Wine & | ||||
| Spirits, Inc., Company | |||||
| Guaranteed | |||||
| Notes (Callable 1/15/06 @ $101.69) | (CCC+ , B3) | 01/15/09 | 10.125 | 223,300 | |
| 700 | Pinnacle Foods Holding | ||||
| Corp., Global Senior | |||||
| Subordinated | |||||
| Notes (Callable 12/01/08 @ $104.13) | (B- , B3) | 12/01/13 | 8.250 | 665,000 | |
| 250 | Swift & Co., | ||||
| Global Company Guaranteed | |||||
| Notes | |||||
| (Callable 10/01/06 @ $105.06) | (B+ , B1) | 10/01/09 | 10.125 | 270,312 | |
| 300 | Swift & Co., | ||||
| Global Senior Subordinated Notes | |||||
| (Callable | |||||
| 10/01/06 @ $106.25) | (B , B2) | 01/01/10 | 12.500 | 328,500 | |
| 3,525,554 | |||||
| Gaming (6.9%) | |||||
| 850 | 155 E | ||||
| Tropicana LLC, Secured Notes | |||||
| (Callable | |||||
| 4/01/09 @ $104.38) | (B- , B3) | 04/01/12 | 8.750 | 828,750 | |
| 920 | Ameristar | ||||
| Casinos, Inc., Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 2/15/06 @ $105.38) | (B+ , B2) | 02/15/09 | 10.750 | 987,850 | |
| 250 | Argosy Gaming Co., Global | ||||
| Senior | |||||
| Subordinated | |||||
| Notes (Callable 1/15/09 @ $103.50) | (B+ , B1) | 01/15/14 | 7.000 | 278,598 | |
| 250 | Argosy Gaming Co., Senior | ||||
| Subordinated | |||||
| Notes | |||||
| (Callable 9/01/06 @ $104.50) | (B+ , Ba3) | 09/01/11 | 9.000 | 272,518 | |
| 400 | Aztar Corp., Global Senior | ||||
| Subordinated Notes | |||||
| (Callable | |||||
| 6/15/09 @ $103.94) | (B+ , Ba3) | 06/15/14 | 7.875 | 420,000 | |
| 1,000 | Chukchansi Economic Development | ||||
| Authority, | |||||
| Rule 144A, | |||||
| Senior Notes (Callable 10/01/06 | |||||
| @ | |||||
| $113.00) | (NR , NR) | 06/15/09 | 14.500 | 1,210,000 | |
| 500 | Circus & | ||||
| Eldorado/Silver Legacy Capital | |||||
| Corp., | |||||
| Global First Mortgage Notes | |||||
| (Callable | |||||
| 3/01/07 @ $105.06) | (B+ , B1) | 03/01/12 | 10.125 | 525,000 | |
| 1,740 | Hard Rock Hotel, Inc., | ||||
| Global Notes (Callable | |||||
| 6/01/08 | |||||
| @ $104.44) | (B , B3) | 06/01/13 | 8.875 | 1,874,850 | |
| 300 | Herbst Gaming, Inc., | ||||
| Global Senior | |||||
| Subordinated | |||||
| Notes (Callable 6/01/08 @ $104.06) | (B- , B3) | 06/01/12 | 8.125 | 315,000 | |
| 400 | Inn of the Mountain Gods, | ||||
| Global Senior Notes | |||||
| (Callable | |||||
| 11/15/07 @ $106.00) | (B , B3) | 11/15/10 | 12.000 | 454,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| DOMESTIC | |||||
| SECURITIES | |||||
| CORPORATE | |||||
| OBLIGATIONS | |||||
| Gaming | |||||
| $ 400 | Isle of Capri Casinos, Inc., Global Senior | ||||
| Subordinated | |||||
| Notes (Callable 3/01/09 @ $103.50) | (B , B2) | 03/01/14 | 7.000 | $ 385,500 | |
| 750 | Majestic Star Casino LLC, Company | ||||
| Guaranteed | |||||
| Notes (Callable 10/15/07 @ $104.75) | (B , B2) | 10/15/10 | 9.500 | 746,250 | |
| 950 | MGM Mirage, Inc., Company Guaranteed Notes | (BB , Ba2) | 10/01/09 | 6.000 | 942,875 |
| 400 | MGM Mirage, Inc., Company Guaranteed Notes | (BB , Ba2) | 09/15/10 | 8.500 | 437,000 |
| 450 | MGM Mirage, Inc., Company Guaranteed Notes | (B+ , Ba3) | 02/01/11 | 8.375 | 486,000 |
| 250 | MGM Mirage, Inc., Global Senior Notes | (BB , Ba2) | 09/01/12 | 6.750 | 255,313 |
| 350 | Mohegan Tribal Gaming Authority, Global | ||||
| Senior | |||||
| Subordinated Notes (Callable 8/15/09 @ $103.56) | (B+ , Ba3) | 08/15/14 | 7.125 | 364,000 | |
| 500 | OED Corp., Global Company Guaranteed | ||||
| Notes | |||||
| (Callable 4/15/08 @ $104.38) | (B , B2) | 04/15/12 | 8.750 | 493,125 | |
| 600 | Resorts International Hotel and Casino, Inc., | ||||
| Company Guaranteed Notes (Callable | |||||
| 3/15/07 @ $106.00) | (B , B2) | 03/15/09 | 11.500 | 675,000 | |
| 400 | River Rock Entertainment Authority, Senior | ||||
| Notes (Callable 11/01/07 @ $104.88) | (B+ , B2) | 11/01/11 | 9.750 | 446,000 | |
| 550 | Riviera Holdings Corp., Global Company | ||||
| Guaranteed | |||||
| Notes (Callable 6/15/06 @ $105.50) | (B , B2) | 06/15/10 | 11.000 | 596,750 | |
| 100 | Seneca Gaming, Corp., Global Senior Notes | ||||
| (Callable | |||||
| 5/01/08 @ $103.63) | (BB- , B2) | 05/01/12 | 7.250 | 103,000 | |
| 500 | Station Casinos, Inc., Global Senior | ||||
| Subordinated | |||||
| Notes (Callable 3/01/09 @ $102.58) | (B+ , B1) | 03/01/16 | 6.875 | 509,375 | |
| 210 | Waterford Gaming LLC, Rule 144A, Senior | ||||
| Notes | |||||
| (Callable 9/15/08 @ $103.55) | (B+ , B1) | 09/15/12 | 8.625 | 224,700 | |
| 267 | Windsor Woodmont Black Hawk, Series B, | ||||
| First | |||||
| Mortgage Notes^Ø | (NR , NR) | 03/15/05 | 13.000 | 20,510 | |
| 900 | WYNN Las Vegas LLC, Global First Mortgage | ||||
| Notes | |||||
| (Callable 12/1/09 @ $103.31) | (B+ , B2) | 12/01/14 | 6.625 | 865,125 | |
| 14,717,089 | |||||
| Healthcare Facilities/Supplies (2.5%) | |||||
| 250 | Beverly Enterprises, Inc., Global Senior | ||||
| Subordinated | |||||
| Notes (Callable 6/15/09 @ $103.94) | (B , B2) | 06/15/14 | 7.875 | 278,125 | |
| 800 | CDRV Investors, Inc., Senior Discount Notes | ||||
| (Callable | |||||
| 1/01/10 @ $104.81)+ | (B- , Caa2) | 01/01/15 | 0.000 | 460,000 | |
| 250 | Concentra Operating Corp., Global Company | ||||
| Guaranteed | |||||
| Notes (Callable 8/15/07 @ $104.75) | (B- , B3) | 08/15/10 | 9.500 | 263,125 | |
| 200 | DaVita, Inc., Senior Subordinated Notes | ||||
| (Callable | |||||
| 3/15/10 @ $103.63) | (B , B3) | 03/15/15 | 7.250 | 203,750 | |
| 500 | Fisher Scientific International, Rule 144A, | ||||
| Senior | |||||
| Subordinated Notes (Callable 7/01/10 @ $103.06) | (BB+ , Ba3) | 07/01/15 | 6.125 | 503,750 | |
| 600 | Medquest, Inc., Series B, Company Guaranteed | ||||
| Notes (Callable 8/15/07 @ $105.94) | (CCC+ , Caa1) | 08/15/12 | 11.875 | 636,000 | |
| 1,000 | MQ Associates, Inc., Global Senior Discount | ||||
| Notes (Callable 8/15/08 @ $109.00)+ | (CCC+ , Caa2) | 08/15/12 | 0.000 | 640,000 | |
| 500 | Tenet Healthcare Corp., Senior Notes | (B , B3) | 02/01/15 | 9.250 | 262,500 |
| 250 | Tenet Healthcare Corp., Rule 144A, Global Senior Notes | (B , B3) | 07/01/14 | 9.875 | 507,500 |
SEQ.=1,FOLIO='',FILE='C:\JMS\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| DOMESTIC | |||||
| SECURITIES | |||||
| CORPORATE | |||||
| OBLIGATIONS | |||||
| Healthcare | |||||
| Facilities/Supplies | |||||
| $ 1,000 | Triad Hospitals, Inc., | ||||
| Senior Subordinated | |||||
| Notes (Callable 11/15/08 @ $103.50) | (B , B3) | 11/15/13 | 7.000 | $ 1,017,500 | |
| 250 | Universal Hospital | ||||
| Services, Inc., Global | |||||
| Senior Notes (Callable 11/01/07 @ $105.06) | (B- , B3) | 11/01/11 | 10.125 | 257,500 | |
| 350 | Vanguard Health Holding II, | ||||
| Global Senior | |||||
| Subordinated | |||||
| Notes (Callable 10/01/09 @ $104.50) | (CCC+ , Caa1) | 10/01/14 | 9.000 | 374,500 | |
| 5,404,250 | |||||
| Home | |||||
| Builders (1.9%) | |||||
| 650 | D.R. Horton, Inc., | ||||
| Bonds | (BB+ , Ba1) | 01/15/16 | 5.625 | 624,703 | |
| 1,000 | KB HOME, Senior Notes | (BB+ , Ba1) | 06/15/15 | 6.250 | 974,689 |
| 500 | Standard Pacific Corp., | ||||
| Senior Notes | (BB , Ba2) | 08/15/15 | 7.000 | 480,000 | |
| 500 | Stanley Martin Communities, | ||||
| Rule 144A, | |||||
| Senior Subordinated Notes (Callable 8/15/10 | |||||
| @ $104.88) | (B- , B3) | 08/15/15 | 9.750 | 491,250 | |
| 350 | Technical Olympic | ||||
| USA, Inc., Global Senior | |||||
| Subordinated Notes | (B- , B2) | 01/15/15 | 7.500 | 318,500 | |
| 275 | Toll Corp., Senior | ||||
| Subordinated Notes | |||||
| (Callable 12/01/06 @ $104.13) | (BB+ , Ba2) | 12/01/11 | 8.250 | 292,875 | |
| 650 | WCI Communities, Inc., | ||||
| Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 2/15/06 @ $105.31) | (B+ , Ba3) | 02/15/11 | 10.625 | 693,875 | |
| 250 | William Lyon | ||||
| Homes, Inc., Global Senior | |||||
| Notes (Callable 2/15/09 @ $103.75) | (B , B2) | 02/15/14 | 7.500 | 233,750 | |
| 4,109,642 | |||||
| Industrial (1.6%) | |||||
| 400 | Altra Industrial Motion, | ||||
| Rule 144A, Secured | |||||
| Notes | |||||
| (Callable 12/01/08 @ $104.50) | (CCC+ , B3) | 12/01/11 | 9.000 | 394,000 | |
| 250 | Amsted | ||||
| Industries, Inc., Rule 144A, Senior | |||||
| Notes | |||||
| (Callable 10/15/07 @ $105.13) | (B , B3) | 10/15/11 | 10.250 | 273,750 | |
| 600 | Amtrol, Inc., Senior | ||||
| Subordinated Notes | (CCC- , Caa3) | 12/31/06 | 10.625 | 522,000 | |
| 1,000 | Coleman Cable, Inc., | ||||
| Senior Notes | |||||
| (Callable | |||||
| 10/01/08 @ $104.94) | (B- , B3) | 10/01/12 | 9.875 | 886,250 | |
| 650 | Hawk Corp., Global Senior | ||||
| Notes (Callable | |||||
| 11/01/09 @ $104.38) | (B , B2) | 11/01/14 | 8.750 | 659,750 | |
| 400 | Polypore, Inc., Global | ||||
| Senior Subordinated | |||||
| Notes | |||||
| (Callable 5/15/08 @ $104.38) | (CCC+ , Caa1) | 05/15/12 | 8.750 | 354,000 | |
| 450 | True Temper | ||||
| Sports, Inc., Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 3/15/08 @ $104.19) | (CCC+ , Caa1) | 09/15/11 | 8.375 | 420,750 | |
| 3,510,500 | |||||
| Leisure (2.2%) | |||||
| 730 | Affinity Group Holding, | ||||
| Global Senior | |||||
| Subordinated | |||||
| Notes (Callable 2/15/08 @ $105.44) | (B- , Caa1) | 02/15/12 | 10.875 | 682,377 | |
| 250 | Affinity Group, Inc., | ||||
| Global Senior | |||||
| Subordinated | |||||
| Notes (Callable 2/15/08 @ $104.50) | (B- , B3) | 02/15/12 | 9.000 | 251,250 | |
| 400 | AMC | ||||
| Entertainment, Inc., Global Senior | |||||
| Subordinated | |||||
| Notes (Callable 3/01/09 @ $104.00) | (CCC+ , B3) | 03/01/14 | 8.000 | 354,000 | |
| 650 | AMC | ||||
| Entertainment, Inc., Global Senior | |||||
| Subordinated | |||||
| Notes (Callable 2/01/07 @ $104.94) | (CCC+ , B3) | 02/01/12 | 9.875 | 628,875 |
SEQ.=1,FOLIO='',FILE='C:\JMS\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| DOMESTIC | |||||
| SECURITIES | |||||
| CORPORATE | |||||
| OBLIGATIONS | |||||
| Leisure | |||||
| $ 350 | Bally Total Fitness Holding Corp., Global | ||||
| Senior | |||||
| Notes (Callable 7/15/07 @ $105.25) | (CCC , Caa1) | 07/15/11 | 10.500 | $ 355,250 | |
| 500 | Bluegreen Corp., Series B, Company | ||||
| Guaranteed | |||||
| Notes (Callable 4/01/06 @ $100.00) | (B- , B3) | 04/01/08 | 10.500 | 506,250 | |
| 400 | Cinemark, Inc., Global Senior Discount Notes | ||||
| (Callable | |||||
| 3/15/09 @ $104.88)+ | (B- , Caa1) | 03/15/14 | 0.000 | 259,375 | |
| 250 | Cinemark USA, Inc., | ||||
| Global Senior | |||||
| Subordinated | |||||
| Notes (Callable 2/01/08 @ $104.50) | (B- , B3) | 02/01/13 | 9.000 | 282,000 | |
| 350 | Six Flags, Inc., Global Senior Notes (Callable | ||||
| 4/15/08 | |||||
| @ $104.88) | (CCC , Caa1) | 04/15/13 | 9.750 | 346,500 | |
| 700 | Six Flags, Inc., Global Senior Notes (Callable | ||||
| 6/01/09 | |||||
| @ $104.81) | (CCC , Caa1) | 06/01/14 | 9.625 | 693,000 | |
| 500 | Worldspan LP/WS Financing Corp., | ||||
| Rule 144A, | |||||
| Senior Notes (Callable 8/15/06 @ $103.00)# | (CCC+ , B3) | 02/15/11 | 10.040 | 442,500 | |
| 4,801,377 | |||||
| Lodging (0.6%) | |||||
| 425 | Felcor Lodging LP, Global Company | ||||
| Guaranteed | |||||
| Notes | (B- , B1) | 06/01/11 | 8.500 | 464,313 | |
| 600 | Host Marriot LP, Series I, Global Company | ||||
| Guaranteed | |||||
| Notes | (B+ , Ba3) | 01/15/07 | 9.500 | 630,750 | |
| 200 | San Pasqual Casino, Rule 144A, Private | ||||
| Placement | |||||
| Notes (Callable 9/15/09 @ $104.00) | (B+ , B2) | 09/15/13 | 8.000 | 202,250 | |
| 1,297,313 | |||||
| Metals & Mining (3.0%) | |||||
| 250 | AK Steel Corp., Company Guaranteed Notes | ||||
| (Callable | |||||
| 2/15/06 @ $101.31) | (B+ , B1) | 02/15/09 | 7.875 | 243,750 | |
| 450 | AK Steel Corp., Global Company Guaranteed | ||||
| Notes | |||||
| (Callable 6/15/07 @ $103.88) | (B+ , B1) | 06/15/12 | 7.750 | 417,375 | |
| 900 | Aleris International, Inc., Global Company | ||||
| Guaranteed | |||||
| Notes (Callable 11/15/09 @ $104.50) | (B- , NR) | 11/15/14 | 9.000 | 954,000 | |
| 500 | Alpha Natural Resources, Company | ||||
| Guaranteed | |||||
| Notes (Callable 6/01/08 @ $105.00) | (CCC+ , B3) | 06/01/12 | 10.000 | 557,500 | |
| 500 | American Rock Salt Co. LLC, Global Secured | ||||
| Notes (Callable 3/15/09 @ $104.75) | (B- , B3) | 03/15/14 | 9.500 | 511,250 | |
| 750 | Edgen Acquisition Corp., Secured Notes | ||||
| (Callable | |||||
| 2/01/08 @ $104.94) | (B- , B3) | 02/01/11 | 9.875 | 757,500 | |
| 1,000 | International Steel Group, Inc., Global Senior Notes | (BB , Ba2) | 04/15/14 | 6.500 | 995,000 |
| 259 | Ispat Inland ULC, Global Secured Notes | ||||
| (Callable | |||||
| 4/01/09 @ $104.88) | (B , Ba1) | 04/01/14 | 9.750 | 301,735 | |
| 571 | Metallurg, Inc., Series B, Company Guaranteed | ||||
| Notes (Callable 12/01/05 @ $100.00) | (NR , Caa2) | 12/01/07 | 11.000 | 573,353 | |
| 675 | Southern Peru Copper Corp., Rule 144A, | ||||
| Private Placement Notes | (BBB- , Ba1) | 07/27/35 | 7.500 | 678,181 | |
| 250 | WCI Steel, Inc., Series B, Senior NotesØ | (NR , NR) | 12/01/04 | 10.000 | 135,000 |
| 500 | Wise Metals Group LLC, Global Secured | ||||
| Notes (Callable 5/15/08 @ $105.13) | (B- , B2) | 05/15/12 | 10.250 | 397,500 | |
| 6,522,144 |
SEQ.=1,FOLIO='',FILE='C:\JMS\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| DOMESTIC | |||||
| SECURITIES | |||||
| CORPORATE | |||||
| OBLIGATIONS | |||||
| Oil | |||||
| Equipment (0.1%) | |||||
| $ 85 | Parker Drilling Co., | ||||
| Series B, Company | |||||
| Guaranteed | |||||
| Notes (Callable 11/21/05 @ $103.38) | (B- , B2) | 11/15/09 | 10.125 | $ 88,506 | |
| Paper & | |||||
| Forest Products (3.0%) | |||||
| 550 | Appleton Papers, Inc., | ||||
| Series B, Global Senior | |||||
| Subordinated | |||||
| Notes (Callable 6/15/09 @ $104.88) | (B+ , B3) | 06/15/14 | 9.750 | 530,750 | |
| 434 | Caraustar | ||||
| Industries, Inc., Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 4/01/06 @ $105.25) | (B- , Caa1) | 04/01/11 | 9.875 | 431,830 | |
| 850 | Cellu Tissue | ||||
| Holdings, Inc., Global Secured | |||||
| Notes | |||||
| (Callable 3/15/07 @ $107.31) | (B , B2) | 03/15/10 | 9.750 | 856,375 | |
| 1,875 | Georgia-Pacific Corp., | ||||
| Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 2/01/08 @ $104.69) | (BB+ , Ba2) | 02/01/13 | 9.375 | 2,100,000 | |
| 2,250 | Newark Group, Inc., | ||||
| Global Senior | |||||
| Subordinated | |||||
| Notes (Callable 3/15/09 @ $104.88) | (B- , Caa1) | 03/15/14 | 9.750 | 2,013,750 | |
| 600 | Stone Container Corp., | ||||
| Global Senior Notes | |||||
| (Callable 7/01/07 @ $104.19) | (B , B2) | 07/01/12 | 8.375 | 573,000 | |
| 6,505,705 | |||||
| Pharmaceuticals (0.3%) | |||||
| 650 | Athena Neuro Finance LLC, | ||||
| Company | |||||
| Guaranteed | |||||
| Notes | (B , B3) | 02/21/08 | 7.250 | 627,250 | |
| Publishing (2.3%) | |||||
| 500 | CBD Media Holdings LLC/CBD | ||||
| Holding | |||||
| Finance, | |||||
| Inc., Global Senior Notes (Callable | |||||
| 7/15/08 | |||||
| @ $104.63) | (CCC+ , Caa2) | 07/15/12 | 9.250 | 511,250 | |
| 200 | Dex Media East LLC, Global | ||||
| Company | |||||
| Guaranteed | |||||
| Notes (Callable 11/15/07 @ $106.06) | (B , B2) | 11/15/12 | 12.125 | 235,000 | |
| 500 | Dex Media, Inc., | ||||
| Global Discount Notes | |||||
| (Callable 11/15/08 @ $104.25)+ | (B , B3) | 11/15/13 | 0.000 | 396,250 | |
| 250 | Dex | ||||
| Media, Inc., Global Notes (Callable | |||||
| 11/15/08 | |||||
| @ $104.00) | (B , B3) | 11/15/13 | 8.000 | 258,125 | |
| 750 | Haights Cross Operating | ||||
| Co., Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 8/15/08 @ $105.88) | (CCC , Caa1) | 08/15/11 | 11.750 | 825,000 | |
| 250 | Houghton Mifflin Co., | ||||
| Global Senior Discount | |||||
| Notes | |||||
| (Callable 10/15/08 @ $105.75)+ | (B- , Caa2) | 10/15/13 | 0.000 | 190,000 | |
| 300 | Houghton Mifflin Co., | ||||
| Global Senior Notes | |||||
| (Callable 2/01/07 @ $104.13) | (B- , B3) | 02/01/11 | 8.250 | 311,250 | |
| 2,000 | Premier | ||||
| Graphics, Inc., Company Guaranteed | |||||
| Notes^Ø | (NR , NR) | 12/01/05 | 11.500 | 0 | |
| 350 | PRIMEDIA, Inc., Global | ||||
| Senior Notes | |||||
| (Callable 5/15/08 @ $104.00) | (B , B2) | 05/15/13 | 8.000 | 354,375 | |
| 300 | Sheridan Group Acquisition | ||||
| Corp., Global | |||||
| Secured Notes (Callable 8/15/07 @ $105.13) | (B , B1) | 08/15/11 | 10.250 | 313,500 | |
| 1,500 | WDAC Subsidiary Corp., | ||||
| Rule 144A, Senior | |||||
| Notes (Callable 12/01/09 @ $104.19) | (CCC+ , Caa1) | 12/01/14 | 8.375 | 1,458,750 | |
| 4,853,500 | |||||
| Restaurants (2.3%) | |||||
| 500 | Buffets, Inc., Global | ||||
| Senior Subordinated | |||||
| Notes (Callable 7/15/06 @ $105.63) | (CCC , B3) | 07/15/10 | 11.250 | 505,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| DOMESTIC | |||||
| SECURITIES | |||||
| CORPORATE | |||||
| OBLIGATIONS | |||||
| Restaurants | |||||
| $ 150 | Carrols Corp., | ||||
| Rule 144A, Senior Subordinated | |||||
| Notes (Callable 1/15/09 @ $104.50) | (CCC- , B3) | 01/15/13 | 9.000 | $ 153,000 | |
| 500 | Dennys Corp./Dennys | ||||
| Holdings Corp., Global | |||||
| Company Guaranteed Notes (Callable | |||||
| 10/01/08 @ $105.00) | (CCC+ , Caa1) | 10/01/12 | 10.000 | 502,500 | |
| 250 | El | ||||
| Pollo Loco, Inc., Global Secured Notes | |||||
| (Callable 12/15/06 @ $104.63) | (B- , B2) | 12/15/09 | 9.250 | 272,500 | |
| 750 | Friendly Ice Cream Corp., | ||||
| Global Senior Notes | |||||
| (Callable 6/15/08 @ $104.19) | (B- , B2) | 06/15/12 | 8.375 | 712,500 | |
| 400 | OCharleys, Inc., | ||||
| Global Senior Subordinated | |||||
| Notes (Callable 11/01/08 @ $104.50) | (B , Ba3) | 11/01/13 | 9.000 | 426,000 | |
| 1,247 | Romacorp, Inc., Senior | ||||
| Notes^ | (NR , NR) | 12/31/08 | 10.500 | 623,700 | |
| 850 | Sbarro, Inc., Company | ||||
| Guaranteed Notes | |||||
| (Callable 11/21/05 @ $103.67) | (CCC+ , Caa2) | 09/15/09 | 11.000 | 850,000 | |
| 850 | Uno Restaurant Corp., | ||||
| Rule 144A, Senior Notes | |||||
| (Callable 2/15/08 @ $110.00) | (B- , B3) | 02/15/11 | 10.000 | 790,500 | |
| 4,835,700 | |||||
| Retail - | |||||
| Food & Drug (1.5%) | |||||
| 575 | Delhaize | ||||
| America, Inc., Global Company | |||||
| Guaranteed Notes | (BB+ , Ba1) | 4/15/11 | 8.125 | 626,067 | |
| 500 | Duane Reade, Inc., | ||||
| Global Senior Subordinated | |||||
| Notes (Callable 8/01/08 @ $104.88) | (CCC , Caa1) | 08/01/11 | 9.750 | 377,500 | |
| 500 | General Nutrition Center, | ||||
| Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 1/15/08 @ $104.31) | (B- , B3) | 01/15/11 | 8.625 | 482,500 | |
| 700 | Gregg Appliances, Inc., Rule 144A, Senior | ||||
| Notes (Callable 2/01/09 @ $104.50) | (B , B2) | 02/01/13 | 9.000 | 661,500 | |
| 750 | Rite Aid Corp., Global | ||||
| Company Guaranteed | |||||
| Notes (Callable 1/15/10 @ $103.75) | (B+ , B2) | 01/15/15 | 7.500 | 720,000 | |
| 200 | Roundys, Inc., | ||||
| Series B, Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 6/15/07 @ $104.44) | (B , B2) | 06/15/12 | 8.875 | 222,000 | |
| 150 | Stater Brothers | ||||
| Holdings, Inc., Global Senior | |||||
| Notes (Callable 6/15/08 @ $104.06) | (BB- , B1) | 06/15/12 | 8.125 | 148,875 | |
| 3,238,442 | |||||
| Retail | |||||
| Stores (2.9%) | |||||
| 400 | Asbury Automotive Group | ||||
| Co., Global | |||||
| Company | |||||
| Guaranteed Notes (Callable 6/15/07 @ $104.50) | (B , B3) | 06/15/12 | 9.000 | 404,000 | |
| 500 | Brookstone | ||||
| Company, Inc., Rule 144A, Secured | |||||
| Notes (Callable 10/15/09 @ $106.00) | (B , B3) | 10/15/12 | 12.000 | 497,500 | |
| 500 | CSK Auto, Inc., Global | ||||
| Company Guaranteed | |||||
| Notes (Callable 1/15/09 @ $103.50) | (B- , B2) | 01/15/14 | 7.000 | 470,000 | |
| 500 | Finlay Fine Jewelry Corp., | ||||
| Global Senior Notes | |||||
| (Callable 6/01/08 @ $104.19) | (B+ , B2) | 06/01/12 | 8.375 | 425,625 | |
| 703 | Flooring | ||||
| America, Inc., Series B, Company | |||||
| Guaranteed Notes (Callable | |||||
| 10/15/05 @ $100.00)^Ø | (NR , NR) | 10/15/07 | 9.250 | 0 | |
| 625 | GSC Holdings Corp., | ||||
| Rule 144A, Company | |||||
| Guaranteed | |||||
| Notes (Callable 10/1/09 @ $104) | (B+ , Ba3) | 10/01/12 | 8.000 | 625,000 | |
| 500 | Intcomex, Inc., | ||||
| Rule 144A, Secured Notes | |||||
| (Callable 1/15/07 @ $106.00) | (B- , Caa1) | 01/15/11 | 11.750 | 500,000 | |
| 875 | JC Penney Co., Inc., | ||||
| Series MTNA, Notes | (BB+ , Ba1) | 10/15/15 | 6.875 | 943,906 |
SEQ.=1,FOLIO='',FILE='C:\JMS\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| DOMESTIC | |||||
| SECURITIES | |||||
| CORPORATE | |||||
| OBLIGATIONS | |||||
| Retail | |||||
| Stores | |||||
| $ 500 | Nebraska Book | ||||
| Co., Inc., Global Senior | |||||
| Subordinated | |||||
| Notes (Callable 3/15/08 @ $104.31) | (CCC+ , Caa1) | 03/15/12 | 8.625 | $ 472,500 | |
| 520 | Neiman Marcus | ||||
| Group, Inc., Rule 144A, Senior | |||||
| Subordinated Notes (Callable 10/15/10 @ | |||||
| $105.19) | (B- , B3) | 10/15/15 | 10.375 | 520,000 | |
| 1,000 | Southern States | ||||
| Cooperative, Inc., Rule 144A, | |||||
| Senior Notes (Callable 11/01/07 @ $108.00) | (B , B3) | 11/01/10 | 10.500 | 1,055,000 | |
| 250 | United Auto | ||||
| Group, Inc., Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 3/15/07 @ $104.81) | (B , B3) | 03/15/12 | 9.625 | 261,250 | |
| 6,174,781 | |||||
| Satellite (0.6%) | |||||
| 750 | Echostar DBS Corp., Global Company Guaranteed Notes | (BB- , Ba3) | 10/01/14 | 6.625 | 746,250 |
| 295 | Echostar DBS Corp., Global Senior Notes | ||||
| (Callable 1/15/06 @ $104.56) | (BB- , Ba3) | 01/15/09 | 9.125 | 311,225 | |
| 195 | PanAmSat Corp., Global | ||||
| Company Guaranteed | |||||
| Notes (Callable 8/15/09 @ $104.50) | (B+ , B1) | 08/15/14 | 9.000 | 206,700 | |
| 1,264,175 | |||||
| Secondary | |||||
| Oil & Gas Producers (2.3%) | |||||
| 250 | Belden & Blake | ||||
| Corp., Global Secured Notes | |||||
| (Callable 7/15/08 @ $104.38) | (CCC+ , B3) | 07/15/12 | 8.750 | 262,500 | |
| 950 | Chesapeake Energy Corp., | ||||
| Senior Notes | |||||
| (Callable 7/15/10 @ $103.13) | (BB- , Ba3) | 01/15/18 | 6.250 | 935,750 | |
| 602 | Chesapeake Energy Corp., Senior Notes | ||||
| (Callable 01/15/09 @ $103.44) | (BB- , Ba3) | 01/15/16 | 6.875 | 620,060 | |
| 900 | Forest Oil Corp., Global | ||||
| Senior Notes | (BB- , Ba3) | 06/15/08 | 8.000 | 959,625 | |
| 300 | Plains E&P Co., | ||||
| Series B, Global Senior | |||||
| Subordinated | |||||
| Notes (Callable 7/01/07 @ $104.38) | (B+ , Ba3) | 07/01/12 | 8.750 | 325,500 | |
| 550 | Pogo Producing Co., | ||||
| Series B, Senior | |||||
| Subordinated Notes (Callable 4/15/06 @ | |||||
| $104.13) | (BB , Ba3) | 04/15/11 | 8.250 | 580,250 | |
| 200 | Range Resources Corp., | ||||
| Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 3/15/10 @ $103.19) | (B , B3) | 03/15/15 | 6.375 | 202,500 | |
| 700 | Vintage | ||||
| Petroleum, Inc., Global Senior | |||||
| Subordinated Notes (Callable 5/15/06 @ | |||||
| $103.94) | (B , B1) | 05/15/11 | 7.875 | 735,000 | |
| 300 | Whiting Petroleum Corp., | ||||
| Global Senior | |||||
| Subordinated Notes (Callable 5/01/08 @ | |||||
| $103.63) | (B- , B2) | 05/01/12 | 7.250 | 306,750 | |
| 4,927,935 | |||||
| Services (5.0%) | |||||
| 300 | Advanstar | ||||
| Communications, Inc., Global Secured | |||||
| Notes (Callable 2/15/08 @ $105.38) | (B- , B3) | 08/15/10 | 10.750 | 336,750 | |
| 400 | Allied Security Escrow | ||||
| Corp., Global Senior | |||||
| Subordinated Notes (Callable 7/15/08 @ | |||||
| $105.69) | (B- , Caa1) | 07/15/11 | 11.375 | 399,000 | |
| 750 | American Color | ||||
| Graphics, Inc., Global Notes | |||||
| (Callable 6/15/07 @ $105.00) | (CCC , Caa3) | 06/15/10 | 10.000 | 560,625 | |
| 600 | Brand Services, Inc., | ||||
| Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 10/15/07 @ $106.00) | (CCC+ , B3) | 10/15/12 | 12.000 | 639,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| DOMESTIC | |||||
| SECURITIES | |||||
| CORPORATE | |||||
| OBLIGATIONS | |||||
| Services | |||||
| $ 750 | Di Finance/Dyncorp | ||||
| International, Rule 144A, | |||||
| Senior | |||||
| Subordinated Notes (Callable 2/15/09 @ $104.75) | (B- , Caa1) | 02/15/13 | 9.500 | $ 787,500 | |
| 800 | Hydrochem Industrial | ||||
| Services, Inc., Rule 144A, | |||||
| Senior | |||||
| Subordinated Notes (Callable 2/15/09 @ $104.63) | (B- , Caa1) | 02/15/13 | 9.250 | 749,000 | |
| 815 | Integrated Electrical | ||||
| Services, Inc., Series C, | |||||
| Global | |||||
| Company Guaranteed Notes (Callable 2/01/07 @ $101.56) | (CCC , Caa2) | 02/01/09 | 9.375 | 672,375 | |
| 400 | Intergrated Alarm Services Group, Inc., Rule 144A, Secured | ||||
| Notes (Callable 11/15/08 @ $106.00) | (B- , B3) | 11/15/11 | 12.000 | 408,000 | |
| 250 | Iron Mountain, Inc., | ||||
| Company Guaranteed | |||||
| Notes (Callable 1/15/08 @ $103.88) | (B , Caa1) | 01/15/15 | 7.750 | 255,000 | |
| 350 | Iron Mountain, Inc., | ||||
| Company Guaranteed | |||||
| Notes (Callable 4/01/06 @ $104.31) | (B , Caa1) | 04/01/13 | 8.625 | 368,375 | |
| 500 | Knowledge Learning | ||||
| Corp., Inc., Rule 144A, | |||||
| Company | |||||
| Guaranteed Notes (Callable 2/01/10 @ $103.88) | (B- , B3) | 02/01/15 | 7.750 | 492,500 | |
| 815 | La Petite | ||||
| Academy, Inc., Series B, Company | |||||
| Guaranteed | |||||
| Notes (Callable 5/15/06 @ $100.00) | (CC , Ca) | 05/15/08 | 10.000 | 684,600 | |
| 250 | Language Line | ||||
| Holdings, Inc., Global Senior | |||||
| Subordinated | |||||
| Notes (Callable 6/15/08 @ $105.56) | (CCC+ , Caa1) | 06/15/12 | 11.125 | 231,250 | |
| 300 | Mortons Restaurant | ||||
| Group, Inc., Global Secured | |||||
| Notes (Callable 7/01/07 @ $105.30) | (B- , B2) | 07/01/10 | 7.500 | 298,500 | |
| 300 | Muzak LLC/Muzak Finance Corp., Global | ||||
| Senior Notes (Callable 2/15/06 @ $105.00) | (CCC- , Caa2) | 02/15/09 | 10.000 | 252,000 | |
| 400 | National Beef Packing Co. | ||||
| LLC, Global Senior | |||||
| Notes (Callable 8/01/07 @ $105.25) | (B- , B3) | 08/01/11 | 10.500 | 417,000 | |
| 250 | Quintiles Transnational | ||||
| Corp., Global Senior | |||||
| Subordinated | |||||
| Notes (Callable 10/01/08 @ $105.00) | (B , B3) | 10/01/13 | 10.000 | 282,500 | |
| 500 | Rent-Way, Inc., Global | ||||
| Secured Notes | (B- , B3) | 06/15/10 | 11.875 | 552,500 | |
| 500 | United Rentals North | ||||
| America, Inc., Global | |||||
| Senior | |||||
| Subordinated Notes (Callable 2/15/09 @ $103.50) | (B+ , B2) | 02/15/14 | 7.000 | 466,250 | |
| 425 | United Rentals North | ||||
| America, Inc., Global | |||||
| Company | |||||
| Guaranteed Notes (Callable 2/15/08 @ $103.25) | (BB- , B3) | 02/15/12 | 6.500 | 412,250 | |
| 825 | Williams Scotsman, Inc., | ||||
| Rule 144A, Senior | |||||
| Notes (Callable 10/1/10 @ $104.25) | (B , B3) | 10/01/15 | 8.500 | 839,438 | |
| 811 | WMG Holdings Corp., Senior | ||||
| Discount Notes | |||||
| (Callable 12/15/09 @ $104.75)+ | (B- , Caa2) | 12/15/14 | 0.000 | 571,755 | |
| 10,676,168 | |||||
| Technology (2.7%) | |||||
| 500 | Advanced Micro | ||||
| Devices, Inc., Global Senior | |||||
| Notes (Callable 11/01/08 @ $103.88) | (B- , B3) | 11/01/12 | 7.750 | 515,000 | |
| 900 | Amkor | ||||
| Technology, Inc., Global Senior Notes | |||||
| (Callable 5/15/08 @ $103.88) | (B- , B3) | 05/15/13 | 7.750 | 774,000 | |
| 350 | Amkor | ||||
| Technology, Inc., Global Senior Notes | (B- , B3) | 02/15/08 | 9.250 | 329,875 | |
| 159 | Ampex Corp., Secured Notes^ | (NR , NR) | 08/15/08 | 12.000 | 159,481 |
| 250 | Itron, Inc., Global | ||||
| Senior Subordinated Notes | |||||
| (Callable 5/15/08 @ $103.88) | (B , B2) | 05/15/12 | 7.750 | 260,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| DOMESTIC | |||||
| SECURITIES | |||||
| CORPORATE | |||||
| OBLIGATIONS | |||||
| Technology | |||||
| $ 800 | Sanmina-SCI Corp., Global | ||||
| Company | |||||
| Guaranteed | |||||
| Notes (Callable 1/15/07 @ $105.19) | (BB- , Ba2) | 01/15/10 | 10.375 | $ 886,000 | |
| 1,000 | SunGard Data | ||||
| Systems, Inc., Rule 144A, Senior | |||||
| Subordinated | |||||
| Notes (Callable 8/15/10 @ $105.13) | (B- , Caa1) | 08/15/15 | 10.250 | 1,017,500 | |
| 600 | Viasystems, Inc., | ||||
| Global Senior Subordinated | |||||
| Notes (Callable 1/15/08 @ $105.25) | (CCC+ , Caa2) | 01/15/11 | 10.500 | 592,500 | |
| 1,200 | Xerox Corp., Senior Notes | ||||
| (Callable 6/15/08 @ | |||||
| $103.81) | (BB- , Ba2) | 06/15/13 | 7.625 | 1,281,000 | |
| 5,815,356 | |||||
| Textile/Apparel/Shoe | |||||
| Manufacturing (1.9%) | |||||
| 250 | BGF Industries, Inc., | ||||
| Series B, Senior | |||||
| Subordinated | |||||
| Notes (Callable 1/15/06 @ $101.75) | (CCC- , Ca) | 01/15/09 | 10.250 | 230,000 | |
| 1,600 | Levi Strauss & Co., Global Senior Notes | ||||
| (Callable 1/15/10 @ $104.88) | (B- , Caa3) | 01/15/15 | 9.750 | 1,640,000 | |
| 735 | Levi Strauss & | ||||
| Co., Global Senior Notes | |||||
| (Callable 12/15/07 @ $106.13) | (B- , Caa3) | 12/15/12 | 12.250 | 815,850 | |
| 500 | Levi Strauss & | ||||
| Co., Global Senior | |||||
| Unsubordinated | |||||
| Notes (Callable 4/01/07 @ $102.00)# | (B- , Caa3) | 04/01/12 | 8.254 | 501,250 | |
| 400 | Phillips Van-Heusen Corp., | ||||
| Global Senior Notes | |||||
| (Callable 2/15/08 @ $103.63) | (BB , B2) | 02/15/11 | 7.250 | 404,000 | |
| 500 | Propex Fabrics, Inc., | ||||
| Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 12/01/08 @ $105.00) | (B- , Caa1) | 12/01/12 | 10.000 | 463,750 | |
| 4,054,850 | |||||
| Tower (0.6%) | |||||
| 800 | American Tower Corp., | ||||
| Global Senior Notes | |||||
| (Callable 10/15/08 @ $103.56) | (CCC+ , B3) | 10/15/12 | 7.125 | 840,000 | |
| 587 | SBA Telecommunications | ||||
| Corp., Global Senior | |||||
| Discount | |||||
| Notes (Callable 12/15/07 @ $104.88)+ | (CCC- , B3) | 12/15/11 | 0.000 | 535,638 | |
| 1,375,638 | |||||
| Transportation (0.3%) | |||||
| 300 | H-Lines Finance Holding | ||||
| Corp., Rule 144A, | |||||
| Senior | |||||
| Discount Notes (Callable 4/01/08 @ $105.50)+ | (CCC+ , Caa2) | 04/01/13 | 0.000 | 250,500 | |
| 300 | Horizon Lines LLC, Notes | ||||
| (Callable 11/01/08 | |||||
| @ $104.50) | (B- , B3) | 11/01/12 | 9.000 | 322,875 | |
| 573,375 | |||||
| Utilities (3.7%) | |||||
| 37 | AES Corp., Senior Notes | (B- , B1) | 06/01/09 | 9.500 | 39,968 |
| 400 | AES Corp., Senior Notes | (B- , B1) | 03/01/14 | 7.750 | 426,000 |
| 400 | Allegheny Energy Supply | ||||
| Company LLC, Global | |||||
| Notes | (B , Ba3) | 03/15/11 | 7.800 | 440,000 | |
| 400 | Aquila, Inc., Senior | ||||
| Notes | (B- , B2) | 11/15/09 | 7.625 | 420,000 | |
| 950 | Calpine Corp., | ||||
| Rule 144A, Secured Notes | |||||
| (Callable 7/15/07 @ $104.25) | (B- , NR) | 07/15/10 | 8.500 | 684,000 | |
| 850 | Calpine Corp., | ||||
| Rule 144A, Secured Notes | |||||
| (Callable 7/15/08 @ $104.38) | (B- , NR) | 07/15/13 | 8.750 | 605,625 | |
| 747 | Calpine Corp., Senior Notes | (CCC , Caa3) | 04/15/09 | 7.750 | 392,175 |
| 800 | Calpine Generating Co., | ||||
| Global Secured Notes | |||||
| (Callable 4/01/08 @ $103.50)# | (B- , B3) | 04/01/10 | 9.443 | 812,000 |
SEQ.=1,FOLIO='',FILE='C:\JMS\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| DOMESTIC | |||||
| SECURITIES | |||||
| CORPORATE | |||||
| OBLIGATIONS | |||||
| Utilities | |||||
| $ 250 | CMS Energy Corp., Global | ||||
| Senior Notes | (B+ , B1) | 08/01/10 | 7.750 | $ 270,000 | |
| 700 | CMS Energy Corp., Senior | ||||
| Notes | (B+ , B1) | 01/15/09 | 7.500 | 736,750 | |
| 500 | Edison Mission Energy, Global | ||||
| Senior Notes | (B+ , B1) | 08/15/08 | 10.000 | 556,250 | |
| 500 | Edison Mission Energy, | ||||
| Senior Notes | (B+ , B1) | 06/15/09 | 7.730 | 530,000 | |
| 400 | Midwest Generation LLC, | ||||
| Global Secured | |||||
| Notes (Callable 5/01/09 @ $104.38) | (B , B1) | 05/01/34 | 8.750 | 447,500 | |
| 500 | Mirant Americas Generation LLC, Senior NotesØ | (NR , NR) | 05/01/06 | 7.625 | 608,750 |
| 300 | Mirant Corp., | ||||
| Rule 144A, Senior NotesØ | (NR , NR) | 07/15/04 | 7.400 | 361,500 | |
| 248 | NRG Energy, Inc., | ||||
| Secured Notes (Callable | |||||
| 12/15/08 @ $104.00) | (B , B1) | 12/15/13 | 8.000 | 265,360 | |
| 300 | Sierra Pacific Resources, | ||||
| Global Senior Notes | |||||
| (Callable 3/15/09 @ $104.31) | (B- , B2) | 03/15/14 | 8.625 | 332,175 | |
| 7,928,053 | |||||
| Wireless (3.9%) | |||||
| 50 | Airgate PCS, Inc., | ||||
| Rule 144A, Secured Notes | |||||
| (Callable 1/01/06 @ $104.69) | (CCC , Caa1) | 09/01/09 | 9.375 | 52,750 | |
| 350 | Airgate PCS, Inc., | ||||
| Secured Notes (Callable | |||||
| 1/01/06 @ $104.69) | (CCC , Caa1) | 09/01/09 | 9.375 | 369,250 | |
| 500 | American Cellular Corp., | ||||
| Series B, Global Senior | |||||
| Notes (Callable 8/01/07 @ $105.00) | (B- , Caa1) | 08/01/11 | 10.000 | 547,500 | |
| 400 | Centennial Cellular | ||||
| Operating Co./Centennial | |||||
| Communications Corp., Global Company | |||||
| Guaranteed | |||||
| Notes (Callable 6/15/08 @ $105.06) | (CCC , B3) | 06/15/13 | 10.125 | 452,000 | |
| 455 | Dobson Cellular Systems, | ||||
| Secured Notes | |||||
| (Callable 11/01/08 @ $104.94) | (CCC , B3) | 11/01/12 | 9.875 | 500,500 | |
| 600 | Dobson Communications | ||||
| Corp., Global Senior | |||||
| Notes (Callable 10/01/08 @ $104.44) | (CCC , Ca) | 10/01/13 | 8.875 | 603,000 | |
| 350 | Horizon PCS, Inc., | ||||
| Global Company Guaranteed | |||||
| Notes (Callable 7/15/08 @ $105.69) | (CCC , B3) | 07/15/12 | 11.375 | 404,250 | |
| 250 | IPCS, Inc., Global | ||||
| Senior Notes (Callable | |||||
| 5/01/08 @ $105.75) | (CCC , B3) | 05/01/12 | 11.500 | 290,000 | |
| 250 | IWO Holdings, Inc., Global Company | ||||
| Guaranteed | |||||
| Notes (Callable 1/15/10 @ $105.38)+ | (CCC- , Caa2) | 01/15/15 | 0.000 | 176,875 | |
| 350 | Nextel | ||||
| Communications, Inc., Senior Notes | |||||
| (Callable 8/01/08 @ $103.69) | (A- , Baa2) | 08/01/15 | 7.375 | 375,010 | |
| 750 | Nextel Partners, Inc., | ||||
| Global Senior Notes | |||||
| (Callable 7/01/07 @ $104.06) | (BB- , Ba3) | 07/01/11 | 8.125 | 813,750 | |
| 2,100 | Rural Cellular Corp., | ||||
| Global Senior Subordinated | |||||
| Notes (Callable 1/15/06 @ $104.88) | (CCC , Caa2) | 01/15/10 | 9.750 | 2,131,500 | |
| 750 | Triton PCS, Inc., | ||||
| Global Company Guaranteed | |||||
| Notes (Callable 6/01/08 @ $104.25) | (CCC- , Caa1) | 06/01/13 | 8.500 | 718,125 | |
| 400 | U.S. Unwired, Inc., | ||||
| Series B, Global Secured | |||||
| Notes (Callable 6/15/08 @ $105.00) | (CCC- , Caa1) | 06/15/12 | 10.000 | 462,000 | |
| 500 | Ubiquitel Operating Co., | ||||
| Global Senior Notes | |||||
| (Callable 3/01/07 @ $107.41) | (CCC , Caa1) | 03/01/11 | 9.875 | 557,500 | |
| 8,454,010 | |||||
| TOTAL | |||||
| CORPORATE OBLIGATIONS (Cost | |||||
| $196,161,267) | 189,247,088 |
SEQ.=1,FOLIO='',FILE='C:\JMS\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
| Number of — Shares | Value | |
|---|---|---|
| DOMESTIC | ||
| SECURITIES | ||
| COMMON | ||
| STOCKS (0.8%) | ||
| Broadcast/Outdoor (0.1%) | ||
| 5,567 | Equinix, Inc.* | $ 231,866 |
| Cable (0.0%) | ||
| 69,987 | Digitalglobe, Inc.^* | 69,987 |
| Chemicals (0.0%) | ||
| 4,893 | Huntsman Corp.* | 95,658 |
| Containers (0.0%) | ||
| 20,689 | Continental AFA Dispensing | |
| Co.^* | 37,240 | |
| Food | ||
| Processors/Beverage/Bottling (0.3%) | ||
| 562 | Crunch Equity Holdings LLC* | 609,770 |
| Healthcare | ||
| Facilities/Supplies (0.0%) | ||
| 232 | Magellan Health | |
| Services, Inc.* | 8,155 | |
| Industrial (0.1%) | ||
| 36,000 | Doskocil Manufacturing | |
| Co.^* | 126,000 | |
| Retail | ||
| Stores (0.1%) | ||
| 18,064 | Safelite Glass Corp., | |
| Class B^* | 90,320 | |
| 1,219 | Safelite Realty Corp.^* | 12,190 |
| 102,510 | ||
| Services (0.2%) | ||
| 21,306 | Cenveo, Inc.* | 220,943 |
| 10,652 | Cenveo, Inc., | |
| Rule 144A* | 110,461 | |
| 331,404 | ||
| TOTAL | ||
| COMMON STOCKS (Cost | ||
| $1,455,295) | 1,612,590 | |
| PREFERRED | ||
| STOCKS (0.2%) | ||
| Cable (0.0%) | ||
| 7,500 | Adelphia Communications | |
| Corp., 13% | ||
| cumulative | ||
| exchangeable Series B (Callable 11/21/05 @ $103.25)* | 3,375 | |
| Wireless (0.2%) | ||
| 426 | Rural Cellular Corp., | |
| Series B, 11.375% Senior | ||
| Exchangeable | ||
| (Callable 5/15/06 @ $1,014.22)*» | 531,435 | |
| 531,435 | ||
| TOTAL | ||
| PREFERRED STOCKS (Cost | ||
| $1,082,079) | 534,810 | |
| WARRANTS (0.0%) | ||
| Aerospace (0.0%) | ||
| 800 | Decrane Aircraft Holdings, | |
| Rule 144A, strike | ||
| price | ||
| $35.65, expires 9/30/08^* | 8 | |
| Broadband (0.0%) | ||
| 400 | Colt Telecom Group Plc, | |
| strike price $75.63, | ||
| expires 12/31/06* | 7,398 |
SEQ.=1,FOLIO='',FILE='C:\JMS\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
| Number of — Shares | Value | |
|---|---|---|
| DOMESTIC | ||
| SECURITIES | ||
| WARRANTS | ||
| Building | ||
| Products (0.0%) | ||
| 1,250 | Dayton Superior Corp., | |
| Rule 144A, strike price | ||
| $0.01, expires 6/15/09* | $ 13 | |
| Cable (0.0%) | ||
| 4 | NTL, Inc., | |
| Series A, stirke price $262.93, | ||
| expires 1/13/11* | 2 | |
| Competitive | ||
| Local Exchange Carrier (0.0%) | ||
| 6,290 | Loral Space & | |
| Communications, strike price | ||
| $23.70, expires 12/27/06* | 47 | |
| Containers (0.0%) | ||
| 747 | Pliant Corp., | |
| Rule 144A, strike price $0.01, | ||
| expires 6/01/10^* | 93 | |
| Gaming (0.0%) | ||
| 3,000 | Mikohn Gaming Corp., strike | |
| price $7.70, | ||
| expires 8/15/08* | 180 | |
| 100 | Windsor Woodmont Black | |
| Hawk, strike price | ||
| $0.01, expires 3/15/10^* | 0 | |
| 180 | ||
| Retail | ||
| Stores (0.0%) | ||
| 44,271 | Safelite Glass Corp., | |
| Class A, strike price $0.01, | ||
| expires 9/29/06^* | 443 | |
| 29,514 | Safelite Glass Corp., | |
| Class B, strike price $0.01, | ||
| expires 9/29/07^* | 295 | |
| 738 | ||
| Satellite (0.0%) | ||
| 250 | Pegasus Communications | |
| Corp., strike price | ||
| $75.00, expires 1/01/07^* | 0 | |
| Textile/Apparel/Shoe | ||
| Manufacturing (0.0%) | ||
| 117 | AGY Holding Corp., strike | |
| price $0.01, | ||
| expires 1/01/10^* | 293 | |
| TOTAL | ||
| WARRANTS (Cost | ||
| $86,125) | 8,772 | |
| TOTAL | ||
| DOMESTIC SECURITIES (Cost | ||
| $198,784,766) | 191,403,260 |
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | ||
|---|---|---|---|---|---|
| FOREIGN | |||||
| SECURITIES (7.9%) | |||||
| CORPORATE | |||||
| OBLIGATIONS (7.6%) | |||||
| Automobile | |||||
| Manufacturing/Vehicle Parts (0.1%) | |||||
| $ 250 | Bombardier Recreational | ||||
| Products, Inc., Global | |||||
| Senior Subordinated Notes (Callable | |||||
| 12/15/08 @ $104.19) (Canada) | (B- , B3) | 12/15/13 | 8.375 | 263,125 | |
| Broadband (0.3%) | |||||
| 750 | Global Crossing Finance | ||||
| Plc, Rule 144A, | |||||
| Company | |||||
| Guaranteed Notes (Callable 12/15/09 @ $105.38) (United Kingdom) | (B- , Caa1) | 12/15/14 | 10.750 | 665,625 |
SEQ.=1,FOLIO='',FILE='C:\JMS\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| FOREIGN | |||||
| SECURITIES | |||||
| CORPORATE | |||||
| OBLIGATIONS | |||||
| Broadcast/Outdoor (0.1%) | |||||
| $ 150 | Corus | ||||
| Entertainment, Inc., Global Senior | |||||
| Subordinated Notes (Callable 3/01/07 @ | |||||
| $104.38) (Canada) | (B+ , B1) | 03/01/12 | 8.750 | $ 161,437 | |
| Building | |||||
| Products (0.4%) | |||||
| 750 | MAAX Corp., Global Senior | ||||
| Subordinated Notes | |||||
| (Callable 6/15/08 @ $104.88) (Canada) | (CCC+ , B3) | 06/15/12 | 9.750 | 656,250 | |
| 500 | MAAX Holdings, Inc., | ||||
| Rule 144A, Senior | |||||
| Discount | |||||
| Notes (Callable 12/15/08 @ $105.63) (Canada)+ | (CCC+ , Caa1) | 12/15/12 | 0.000 | 212,500 | |
| 868,750 | |||||
| Cable (0.8%) | |||||
| 4,600 | Australis Holdings Pty. | ||||
| Ltd., Yankee Senior | |||||
| Discount Notes (Australia)^Ø | (NR , NR) | 11/01/02 | 15.000 | 92,000 | |
| 400 | Kabel Deutschland GmbH, | ||||
| Rule 144A, Company | |||||
| Guaranteed | |||||
| (Callable 7/01/09 @ $105.31) (Germany) | (B- , B2) | 07/01/14 | 10.625 | 555,000 | |
| 600 | Telenet Group Holding NV, | ||||
| Rule 144A, | |||||
| Discount | |||||
| Notes (Callable 12/15/08 @ $105.75) (Belgium)+ | (CCC+ , Caa2) | 06/15/14 | 0.000 | 493,500 | |
| 600 | Videotron LTEE, Global | ||||
| Company Guaranteed | |||||
| Notes (Callable 1/15/09 @ $103.44) (Canada) | (B+ , Ba3) | 01/15/14 | 6.875 | 618,750 | |
| 1,759,250 | |||||
| Chemicals (0.3%) | |||||
| 600 | Rhodia SA, Global Senior | ||||
| Notes (France) | (CCC+ , B3) | 06/01/10 | 10.250 | 584,375 | |
| Containers (0.4%) | |||||
| 795 | Crown Euro Holdings SA, | ||||
| Global Secured | |||||
| Notes (Callable 3/01/07 @ $104.75) (France) | (B+ , B1) | 03/01/11 | 9.500 | 874,500 | |
| Industrial (0.0%) | |||||
| 924 | International Utility | ||||
| Structures, Inc., | |||||
| Subordinated | |||||
| Notes (Callable 2/01/06 @ $100.00) (Canada)^Ø | (NR , NR) | 02/01/08 | 13.000 | 0 | |
| 800 | International Utility | ||||
| Structures, Inc., Yankee | |||||
| Senior | |||||
| Subordinated Notes (Callable 2/01/06 @ $100.00)(Canada)^Ø | (NR , NR) | 02/01/08 | 10.750 | 0 | |
| 0 | |||||
| Leisure (0.5%) | |||||
| 250 | Intrawest Corp., Global | ||||
| Senior Notes (Callable | |||||
| 10/15/08 @ $103.75) (Canada) | (B+ , B1) | 10/15/13 | 7.500 | 257,188 | |
| 750 | NCL Corp., Rule 144A, | ||||
| Senior Notes (Callable | |||||
| 7/15/09 @ $105.31) (Bermuda) | (B+ , B2) | 07/15/14 | 10.625 | 795,000 | |
| 1,052,188 | |||||
| Metals & | |||||
| Mining (0.1%) | |||||
| 250 | Gerdau Ameristeel Corp., | ||||
| Global Senior Notes | |||||
| (Callable 7/15/07 @ $105.38) (Canada) | (BB- , Ba3) | 07/15/11 | 10.375 | 279,375 | |
| Paper & | |||||
| Forest Products (1.8%) | |||||
| 250 | Abitibi-Consolidated, Inc., | ||||
| Global Notes (Canada) | (BB- , Ba3) | 06/15/11 | 7.750 | 247,250 |
SEQ.=1,FOLIO='',FILE='C:\JMS\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| FOREIGN | |||||
| SECURITIES | |||||
| CORPORATE | |||||
| OBLIGATIONS | |||||
| Paper & | |||||
| Forest Products | |||||
| $ 250 | Ainsworth Lumber Co. Ltd., | ||||
| Global Company | |||||
| Guaranteed Notes (Callable 10/01/08 @ | |||||
| $103.63) (Canada) | (B+ , B2) | 10/01/12 | 7.250 | $ 236,250 | |
| 750 | Fraser Papers, Inc., | ||||
| Rule 144A, Company | |||||
| Guaranteed Notes (Callable 3/15/10 @ | |||||
| $104.38) (Canada) | (B , B3) | 03/15/15 | 8.750 | 663,750 | |
| 500 | JSG Funding plc, Global | ||||
| Senior Notes (Callable | |||||
| 10/01/07 @ $104.81) (Ireland) | (B- , B3) | 10/01/12 | 9.625 | 505,000 | |
| 1,750 | JSG Funding plc, Senior | ||||
| Subordinated Notes | |||||
| (Callable 1/31/10 @ $103.88) (Ireland) | (B- , Caa1) | 04/01/15 | 7.750 | 1,496,250 | |
| 250 | Norkse Skog Ltd., Global | ||||
| Senior Notes (Callable | |||||
| 3/01/09 @ $103.69) (Canada) | (BB- , Ba3) | 03/01/14 | 7.375 | 238,750 | |
| 250 | Tembec | ||||
| Industries, Inc., Global Company | |||||
| Guaranteed Notes (Canada) | (B , B3) | 03/15/12 | 7.750 | 160,000 | |
| 400 | Tembec Industries, Inc., | ||||
| Yankee Company | |||||
| Guaranteed Notes (Canada) | (B , B3) | 06/30/09 | 8.625 | 274,000 | |
| 3,821,250 | |||||
| Pharmaceuticals (0.2%) | |||||
| 400 | Biovail Corp., Yankee | ||||
| Senior Subordinated | |||||
| Notes (Callable 4/01/06 @ $103.94) | |||||
| (Canada) | (BB- , B2) | 4/1/10 | 7.875 | 417,000 | |
| Retail - | |||||
| Food & Drug (0.3%) | |||||
| 700 | Jean Coutu Group | ||||
| (PJC), Inc., Global Senior | |||||
| Subordinated Notes (Callable 8/01/09 @ | |||||
| $104.25) (Canada) | (B , B3) | 08/01/14 | 8.500 | 700,000 | |
| Satellite (0.3%) | |||||
| 600 | Intelsat Bermuda Ltd., | ||||
| Rule 144A, Senior Notes | |||||
| (Callable 1/15/09 @ $104.13) (Bermuda) | (B+ , B2) | 01/15/13 | 8.250 | 606,750 | |
| Technology (0.7%) | |||||
| 300 | Celestica, Inc., | ||||
| Senior Subordinated Notes | |||||
| (Callable 7/01/08 @ $103.94) (Canada) | (B , B2) | 07/01/11 | 7.875 | 538,125 | |
| 250 | Danka Business Systems Plc, | ||||
| Global Senior | |||||
| Notes | |||||
| (Callable 6/15/07 @ $105.50) (United Kingdom) | (B , B3) | 06/15/10 | 11.000 | 188,000 | |
| 650 | Flextronics International | ||||
| Ltd., Global Senior | |||||
| Subordinated Notes (Callable 11/15/09 @ | |||||
| $103.13) (Singapore) | (BB- , Ba2) | 11/15/14 | 6.250 | 425,000 | |
| 400 | Magnachip Semiconductor, | ||||
| Senior Subordinated | |||||
| Notes (Callable 12/15/09 @ $104.00) | |||||
| (South Korea) | (B- , B2) | 12/15/14 | 8.000 | 370,000 | |
| 1,521,125 | |||||
| Transportation (1.1%) | |||||
| 700 | Sea Containers Ltd., | ||||
| Series B, Yankee Senior | |||||
| Notes (Bermuda) | (B , B3) | 02/15/08 | 7.875 | 687,750 | |
| 750 | Ship Finance International | ||||
| Ltd., Global Senior | |||||
| Notes | |||||
| (Callable 12/15/08 @ $104.25) (Bermuda) | (B , B1) | 12/15/13 | 8.500 | 1,321,312 | |
| 250 | Stena AB, Global Senior | ||||
| Notes (Callable | |||||
| 12/01/09 @ $103.50) (Sweden) | (BB- , Ba3) | 12/01/16 | 7.000 | 232,500 |
SEQ.=1,FOLIO='',FILE='C:\JMS\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
| Par — (000) | Ratings — (S&P/Moodys) | Maturity | Rate% | Value | |
|---|---|---|---|---|---|
| FOREIGN | |||||
| SECURITIES | |||||
| CORPORATE | |||||
| OBLIGATIONS | |||||
| Transportation | |||||
| $ 150 | Titan Petrochemicals Group | ||||
| Ltd., Rule 144A, | |||||
| Company Guaranteed Notes (Bermuda) | (B+ , B1) | 03/18/12 | 8.500 | $ 145,125 | |
| 2,386,687 | |||||
| Wireless (0.2%) | |||||
| 500 | Millicom International | ||||
| Cellular S.A., Global | |||||
| Senior Notes (Callable 12/01/08 @ $105.00) | |||||
| (Luxembourg) | (B- , B3) | 12/01/13 | 10.000 | 518,750 | |
| TOTAL FOREIGN CORPORATE OBLIGATIONS (Cost $19,861,518) | 16,480,187 | ||||
| GOVERNMENT | |||||
| OBLIGATION (0.3%) | |||||
| Argentina (0.3%) | |||||
| 1,193 | Republic of Argentina, | ||||
| Notes | |||||
| (Cost $373,600) | (B- , NR) | 12/31/33 | 5.830 | 535,660 | |
| TOTAL | |||||
| FOREIGN SECURITIES (Cost $20,235,118) | 17,015,847 | ||||
| SHORT - | |||||
| TERM INVESTMENT (1.1%) | |||||
| 2,388,000 | Wells Fargo Bank, overnight deposit (Grand Cayman) (Cost $2,388,000) | 10/03/05 | 3.300 | 2,388,000 | |
| TOTAL INVESTMENTS (98.2%) (Cost $221,407,884) | 210,807,107 | ||||
| ASSETS IN | |||||
| EXCESS OF OTHER LIABILITIES (1.8%) | 3,839,326 | ||||
| NET ASSETS (100%) | |||||
| Applicable to $49,895,588 issued and outstanding $.001 par value shares | |||||
| (authorized 100,000,000 shares) | $ 214,646,433 |
INVESTMENT ABBREVIATIONS MTNA = Medium Term Notes Series A NR = Not Rated
| | Credit ratings given by the
Standard & Poors Division of The McGraw-Hill Companies, Inc.
(S&P) and Moodys Investors Service, Inc. (Moodys) are
unaudited. |
| --- | --- |
| | Security exempt from
registration under Rule 144A,of the Securities Act of 1933. These securities
may be resold in transactions exempt from registration, normally to qualified
institutional buyers. At September 30, 2005, these securities amounted
to a value of $37,422,981 or 17.4% of net assests. |
| ^ | 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. |
| # | 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, 2005. |
| + | Step Bond - The interest
rate stated is the rate as of September 30, 2005. |
| Ø | Security in default. |
| * | Non-income producing
security. |
| » | Payment-in-kind preferred
stock. Market value includes accrued dividend. |
SEQ.=1,FOLIO='',FILE='C:\JMS\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
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 occuring 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.
Federal Income Tax Cost - At September 30, 2005, 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 $221,407,884, 7,370,161, (17,970,938), and $(10,600,777), 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\eudelhofen\05-19254-1\task677305\19254-1-bg-01.htm',USER='eudelho',CD='Nov 21 15:03 2005'
*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\mramana\05-19254-1\task678657\19254-1-ga.htm',USER='mrnathan',CD='Nov 22 16:40 2005'
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/Steven Plump | |
| Name: | Steven Plump |
| Title: | Chief Executive Officer |
| Date: | November 29, 2005 |
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/Steven Plump | |
|---|---|
| Name: | Steven Plump |
| Title: | Chief Executive Officer |
| Date: | November 29, 2005 |
| /s/Michael A. Pignataro | |
| Name: | Michael A. Pignataro |
| Title: | Chief Financial Officer |
| Date: | November 29, 2005 |
SEQ.=1,FOLIO='',FILE='C:\JMS\mramana\05-19254-1\task678657\19254-1-jc.htm',USER='mrnathan',CD='Nov 22 16:41 2005'
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