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UNITED STATES |
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FORM N-Q |
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QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number |
811-05012 |
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CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. |
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(Exact name of registrant as specified in charter) |
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c/o Credit Suisse Asset Management, LLC |
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10017 |
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(Address of principal executive offices) |
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(Zip code) |
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Michael A. Pignataro |
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(Name and address of agent for service) |
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Registrants telephone number, including area code: |
(212) 875-3500 |
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Date of fiscal year end: |
December 31st |
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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
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Moodys |
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Face |
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Value |
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DOMESTIC SECURITIES (81.0%) |
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CORPORATE OBLIGATIONS (79.8%) |
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Aerospace (0.3%) |
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BE Aerospace, Inc. |
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Series B, Sr. Sub. Notes |
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8.00%, 3/1/08 |
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Caa3 |
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$ |
300 |
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$ |
297,750 |
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(1) |
Condor Systems, Inc. |
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Series B, Gtd. |
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11.875%, 5/1/09 |
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N/R |
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900 |
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9,000 |
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Sequa Corp. |
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Sr. Notes |
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9.00%, 8/1/09 |
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B1 |
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250 |
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276,250 |
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Group Total |
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583,000 |
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Airlines (0.3%) |
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American Airlines, Inc. |
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Series 01-2, Pass thru Certs |
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7.80%, 10/1/06 |
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B1 |
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550 |
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457,779 |
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Continental Airlines, Inc. |
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Series 991C, Pass thru Certs |
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6.954%, 8/2/09 |
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B2 |
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177 |
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134,735 |
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Group Total |
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592,514 |
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Automobile Manufacturing/Vehicle Parts (2.4%) |
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(1) |
Aetna Industries, Inc. |
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Sr. Notes |
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11.875%, 10/1/06 |
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N/R |
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1 |
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31 |
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(2) |
Autocam Corp. |
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Sr. Sub. Notes |
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10.875%, 6/15/14 |
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B3 |
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400 |
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401,000 |
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(2) |
Bombardier Recreational |
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Sr. Sub. Notes |
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8.375%, 12/15/13 |
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B3 |
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250 |
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264,375 |
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Cambridge Industries, Inc. |
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Sr. Sub. Notes |
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10.25%, 7/15/07 |
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Aa2 |
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775 |
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7,746 |
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(2) |
Collins & Aikman Products Corp. |
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Sr. Sub. Notes |
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12.875%, 8/24/12 |
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B3 |
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1,350 |
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1,252,125 |
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Moodys |
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Face |
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Value |
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Dura Operating Corp. |
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Series D, Gtd. |
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9.00%, 5/1/09 |
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B2 |
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$ |
400 |
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$ |
358,000 |
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Holley Performance |
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Products, Inc. |
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Series B, Gtd. |
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12.25%, 9/15/07 |
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Caa3 |
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365 |
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312,075 |
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Metaldyne Corp. |
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Gtd. |
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11.00%, 6/15/12 |
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Caa1 |
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800 |
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640,000 |
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Motor Coach Industries |
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International, Inc. |
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Gtd. |
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11.25%, 5/1/09 |
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Ca |
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1,121 |
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621,877 |
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(2) |
Standyne Corp. |
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Sr. Sub. Notes |
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10.00%, 8/15/14 |
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Caa1 |
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400 |
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418,000 |
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Tenneco Automotive, Inc. |
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Series B, Secured |
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10.25%, 7/15/13 |
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B2 |
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350 |
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400,750 |
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(2) |
Transportation Technologies Industries, Inc. |
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Sr. Sub. Notes |
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12.50%, 3/31/10 |
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Caa1 |
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500 |
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515,625 |
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Group Total |
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5,191,604 |
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Broadband (0.7%) |
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Call Net Enterprises, Inc. |
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Yankee Gtd. |
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10.625%, 12/31/08 |
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Caa3 |
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400 |
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392,000 |
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Level 3 Communications, Inc.: |
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Sr. Discount Notes |
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10.50%, 12/1/08 |
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Caa2 |
|
650 |
|
484,250 |
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Sr. Notes |
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9.125%, 5/1/08 |
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Caa2 |
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500 |
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370,000 |
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(2) |
Level 3 Financing, Inc. |
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Sr. Notes |
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10.75%, 10/15/11 |
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Caa2 |
|
250 |
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211,875 |
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Moodys |
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Face |
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Value |
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Primus Telecommunications Group, Inc. |
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Sr. Notes |
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8.00%, 1/15/14 |
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B3 |
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$ |
250 |
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$ |
186,250 |
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Group Total |
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1,644,375 |
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Broadcast/Outdoor (0.9%) |
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Alliance Atlantis Communications, Inc. |
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Yankee Sr. Sub. Notes |
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13.00%, 12/15/09 |
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B1 |
|
500 |
|
543,125 |
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Corus Entertainment, Inc. |
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Global Sr. Sub. Notes |
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8.75%, 3/1/12 |
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B1 |
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150 |
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166,312 |
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Emmis Operating, Co. |
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Sr. Subordinated |
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6.875%, 5/15/12 |
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B2 |
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250 |
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260,625 |
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Interep National Radio Sales, Inc. |
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Series B, Gtd. |
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10.00%, 7/1/08 |
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Caa2 |
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250 |
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196,875 |
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(3) |
Paxson Communications Corp. |
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Gtd. |
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0.00%, 1/15/09 |
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Caa1 |
|
500 |
|
431,250 |
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Sinclair Broadcast Group, Inc. |
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Gtd. |
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8.75%, 12/15/11 |
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B2 |
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450 |
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490,500 |
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Group Total |
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|
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2,088,687 |
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Building Products (2.2%) |
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(2)(3) |
Associated Materials, Inc. |
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Sr. Discount Notes |
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0.00%, 3/1/14 |
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Caa1 |
|
750 |
|
549,375 |
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Atrium Companies, Inc. |
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Series B, Gtd. |
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10.50%, 5/1/09 |
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B3 |
|
500 |
|
527,500 |
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Building Materials Corp. |
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Series B, Sr. Notes |
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|
|
|
|
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|
7.75%, 7/15/05 |
|
B2 |
|
250 |
|
255,625 |
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Moodys |
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Face |
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Value |
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(2) |
Building Materials Corp. |
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Sr. Notes |
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|
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|
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7.75%, 8/1/14 |
|
B2 |
|
$ |
300 |
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$ |
298,500 |
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Dayton Superior Corp.: |
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|
|
|
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Gtd. |
|
|
|
|
|
|
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|
13.00%, 6/15/09 |
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Caa2 |
|
720 |
|
709,200 |
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Secured |
|
|
|
|
|
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10.75%, 9/15/08 |
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B3 |
|
250 |
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268,750 |
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Interface, Inc. |
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Sr. Sub. Notes |
|
|
|
|
|
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9.50%, 2/1/14 |
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Caa3 |
|
400 |
|
416,000 |
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(2)(3) |
Norcraft Holdings/Capital |
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Sr. Discount Notes |
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|
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0.00%, 9/1/12 |
|
Caa1 |
|
250 |
|
182,500 |
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(2) |
Ply Gem Indusries, Inc. |
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|
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|
|
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|
Sr. Sub. Notes |
|
|
|
|
|
|
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9.00%, 2/15/12 |
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B3 |
|
400 |
|
401,000 |
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(2) |
THL Buildco (Nortek), Inc. |
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Sr. Sub. Notes |
|
|
|
|
|
|
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|
8.50%, 9/1/14 |
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B3 |
|
300 |
|
315,750 |
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Texas Industries, Inc. |
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|
|
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Sr. Notes |
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|
|
|
|
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|
10.25%, 6/15/11 |
|
B1 |
|
250 |
|
288,750 |
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Werner Holdings Co., Inc. |
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Series A, Gtd. |
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|
10.00%, 11/15/07 |
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B3 |
|
800 |
|
716,000 |
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Group Total |
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|
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4,928,950 |
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Cable (7.1%) |
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(1) |
Adelphia Communications Corp. |
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|
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Series B, Sr. Notes |
|
|
|
|
|
|
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|
8.375%, 2/1/08 |
|
N/R |
|
800 |
|
712,000 |
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(2) |
Atlantic Broadband |
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|
|
|
|
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Finance LLC |
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|
|
|
|
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|
||
|
Sr. Sub. Notes |
|
|
|
|
|
|
|
||
|
9.375%, 1/15/14 |
|
Caa1 |
|
500 |
|
476,250 |
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(1) |
Australis Holdings Pty. Ltd. |
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|
|
|
|
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|
Yankee Sr. Secured |
|
|
|
|
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|
Discount Notes |
|
|
|
|
|
|
|
||
|
15.00%, 11/1/02 |
|
N/R |
|
4,600 |
|
92,000 |
|
||
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
|
Moodys |
|
Face |
|
Value |
|
||
(2) |
Jean Coutu Group (PJC), Inc. |
|
|
|
|
|
|
|
||
|
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 |
|
||
|
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
|
Moodys |
|
Face |
|
Value |
|
||
(3) |
Alamosa PCS Holdings, Inc. |
|
|
|
|
|
|
|
||
|
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 |
|
||
|
|
|
Moodys |
|
Face |
|
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/ |
|
|
|
||
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 |
|
||
|
|
|
|
|
Shares/ |
|
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 |
|
|
|
|
|
|
|
Shares/ |
|
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 |
|
|
|
|
|
|
|
Shares/ |
|
Value |
|
|
(4)(6) |
Safelite Glass Corp.: |
|
|
|
|
|
|
|
|
|
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 |
|
Face |
|
|
|
||
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 |
|
|
|
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
|
Moodys |
|
Face |
|
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 |
|
||
|
|
|
Moodys |
|
Face |
|
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 |
|
Expiration |
|
Foreign Currency |
|
Contract |
|
Contract |
|
Unrealized |
|
||||
European Economic Unit |
|
12/22/04 |
|
|
2,800,000 |
|
$ |
3,455,200 |
|
$ |
3,477,022 |
|
$ |
(21,822 |
) |
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 |
|
Number |
|
Acquisition |
|
Cost |
|
Fair |
|
Value |
|
Percentage |
|
Distributions |
|
||||
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 |
|
||||
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 $224,456,356, 15,527,459, (24,579,204), and $(9,051,745), 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.
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
1. The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.
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 |
||