N-Q 1 a05-15648_1nq.htm N-Q

 

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

OMB APPROVAL

 

OMB Number:    3235-0578
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FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-05642

 

American Income Fund, Inc.

(Exact name of registrant as specified in charter)

800 Nicollet Mall Minneapolis, MN

55402

(Address of principal executive offices)

(Zip code)

Charles D. Gariboldi 800 Nicollet Mall Minneapolis, MN 55402

(Name and address of agent for service)

 

 

 

Registrant’s telephone number, including area code:

800-677-3863

 

 

Date of fiscal year end:

10/31/05

 

 

Date of reporting period:

7/31/05

 

 


 

Item 1: Schedule of Investments

 

Schedule of Investments

 

American Income Fund

 

July 31, 2005 (Unaudited)

 

 

 

Par

 

 

 

Description of Security

 

Value

 

Value (a)

 

(Percentages of each investment category relate to net assets)

 

 

 

 

 

 

 

 

 

 

 

High Yield Corporate Bonds — 36.2%

 

 

 

 

 

Basic Industry — 3.4%

 

 

 

 

 

Abitibi-Consolidated

 

 

 

 

 

8.55%, 8/1/10

 

$

250,000

 

$

262,500

 

Allegheny Technologies

 

 

 

 

 

8.38%, 12/15/11

 

110,000

 

115,500

 

Caraustar Industries,

 

 

 

 

 

Callable 4/1/06 @ 105.25

 

 

 

 

 

9.88%, 4/1/11

 

300,000

 

306,750

 

Georgia-Pacific

 

 

 

 

 

8.88%, 5/15/31

 

200,000

 

251,000

 

Huntsman ICI Chemicals,

 

 

 

 

 

Callable 9/23/05 @ 103.38

 

 

 

 

 

10.13%, 7/1/09 (g)

 

105,000

 

108,675

 

Invista,

 

 

 

 

 

Callable 5/1/08 @ 104.63

 

 

 

 

 

9.25%, 5/1/12 (c)

 

200,000

 

220,250

 

Newark Group,

 

 

 

 

 

Callable 3/15/09 @ 104.88

 

 

 

 

 

9.75%, 3/15/14

 

200,000

 

184,000

 

Norske Skog Canada,

 

 

 

 

 

Callable 6/15/06 @ 104.31

 

 

 

 

 

8.63%, 6/15/11

 

300,000

 

310,500

 

OM Group,

 

 

 

 

 

Callable 12/15/06 @ 104.62

 

 

 

 

 

9.25%, 12/15/11 (g)

 

300,000

 

306,000

 

Polyone

 

 

 

 

 

8.88%, 5/1/12

 

200,000

 

200,000

 

Southern Peru Copper

 

 

 

 

 

7.50%, 7/27/35

 

200,000

 

198,250

 

Stone Container,

 

 

 

 

 

Callable 7/1/07 @ 104.19

 

 

 

 

 

8.38%, 7/1/12

 

200,000

 

203,500

 

Tembec Industries

 

 

 

 

 

8.50%, 2/1/11

 

300,000

 

237,750

 

 

 

 

 

2,904,675

 

 

 

 

 

 

 

Brokerage — 0.6%

 

 

 

 

 

E*Trade Financial,

 

 

 

 

 

Callable 6/15/08 @ 104.00

 

 

 

 

 

8.00%, 6/15/11

 

250,000

 

265,625

 

Lazard

 

 

 

 

 

7.13%, 5/15/15 (c)

 

250,000

 

247,862

 

 

 

 

 

513,487

 

 

 

 

 

 

 

Capital Goods — 2.8%

 

 

 

 

 

Case New Holland,

 

 

 

 

 

Callable 8/1/07 @ 104.62

 

 

 

 

 

9.25%, 8/1/11

 

200,000

 

218,000

 

Compression Polymers,

 

 

 

 

 

Callable 7/1/09 @ 105.25

 

 

 

 

 

10.50%, 7/1/13 (c) (g)

 

250,000

 

252,500

 

Graham Packaging,

 

 

 

 

 

Callable 10/15/09 @ 104.94

 

 

 

 

 

9.88%, 10/15/14 (c)

 

250,000

 

256,875

 

Greif Brothers,

 

 

 

 

 

Callable 8/1/07 @ 104.44

 

 

 

 

 

8.88%, 8/1/12

 

300,000

 

325,500

 

L-3 Communications,

 

 

 

 

 

Callable 1/15/10 @ 102.94

 

 

 

 

 

5.88%, 1/15/15

 

200,000

 

195,500

 

Owens-Brockway Glass Container,

 

 

 

 

 

Callable 2/15/06 @ 104.44

 

 

 

 

 

8.88%, 2/15/09

 

500,000

 

530,000

 

Sequa

 

 

 

 

 

9.00%, 8/1/09

 

500,000

 

555,000

 

 

 

 

 

2,333,375

 

 


 

Communications — 5.7%

 

 

 

 

 

AT&T

 

 

 

 

 

9.05%, 11/15/11

 

142,000

 

161,698

 

Charter Communications Holdings

 

 

 

 

 

8.00%, 4/30/12 (c)

 

400,000

 

406,000

 

Citizens Communications

 

 

 

 

 

9.25%, 5/15/11

 

250,000

 

278,750

 

CSC Holdings, Series B

 

 

 

 

 

7.63%, 4/1/11

 

500,000

 

503,750

 

Dex Media,

 

 

 

 

 

Callable 11/15/08 @ 104.00

 

 

 

 

 

8.00%, 11/15/13

 

200,000

 

214,500

 

DirectTV Holdings,

 

 

 

 

 

Callable 3/15/08 @ 104.19

 

 

 

 

 

8.38%, 3/15/13

 

81,000

 

89,707

 

Dobson Cellular Systems,

 

 

 

 

 

Callable 11/1/08 @ 104.94

 

 

 

 

 

9.88%, 11/1/12

 

250,000

 

276,562

 

Echostar

 

 

 

 

 

6.63%, 10/1/14

 

300,000

 

298,125

 

Horizon PCS,

 

 

 

 

 

Callable 7/15/08 @ 105.69

 

 

 

 

 

11.38%, 7/15/12

 

200,000

 

228,500

 

Houghton Mifflin,

 

 

 

 

 

Callable 10/15/08 @ 105.75

 

 

 

 

 

10.00%, 10/15/13 (b)

 

400,000

 

312,000

 

Insight Midwest,

 

 

 

 

 

Callable 11/1/05 @ 105.25

 

 

 

 

 

10.50%, 11/1/10

 

200,000

 

211,500

 

Intelsat,

 

 

 

 

 

Callable 1/15/10 @ 104.31

 

 

 

 

 

8.63%, 1/15/15 (c)

 

250,000

 

266,250

 

Panamsat,

 

 

 

 

 

Callable 8/15/09 @ 104.50

 

 

 

 

 

9.00%, 8/15/14

 

195,000

 

215,475

 

Primedia,

 

 

 

 

 

Callable 5/15/06 @ 104.44

 

 

 

 

 

8.88%, 5/15/11

 

200,000

 

210,000

 

Qwest

 

 

 

 

 

9.13%, 3/15/12

 

400,000

 

437,000

 

Qwest Capital Funding

 

 

 

 

 

7.00%, 8/3/09

 

400,000

 

395,000

 

Rogers Wireless

 

 

 

 

 

6.38%, 3/1/14

 

300,000

 

306,750

 

 

 

 

 

4,811,567

 

 

 

 

 

 

 

Consumer Cyclical — 5.3%

 

 

 

 

 

Buffets,

 

 

 

 

 

Callable 7/15/06 @ 105.63

 

 

 

 

 

11.25%, 7/15/10

 

200,000

 

203,000

 

Dominos, Series B,

 

 

 

 

 

Callable 7/1/07 @ 104.13

 

 

 

 

 

8.25%, 7/1/11

 

364,000

 

391,300

 

General Motors

 

 

 

 

 

7.13%, 7/15/13

 

500,000

 

468,750

 

8.38%, 7/15/33

 

400,000

 

361,000

 

Isle of Capri Casinos,

 

 

 

 

 

Callable 3/1/09 @ 103.50

 

 

 

 

 

7.00%, 3/1/14

 

500,000

 

503,750

 

Mandalay Resort, Series B

 

 

 

 

 

10.25%, 8/1/07

 

250,000

 

273,750

 

Meristar Hospitality (REIT)

 

 

 

 

 

9.13%, 1/15/11

 

200,000

 

212,500

 

Mohegan Tribal Gaming

 

 

 

 

 

6.38%, 7/15/09

 

250,000

 

254,375

 

Service Corporation International

 

 

 

 

 

7.70%, 4/15/09

 

500,000

 

533,750

 

Six Flags,

 

 

 

 

 

Callable 4/15/08 @ 104.88

 

 

 

 

 

9.75%, 4/15/13

 

500,000

 

490,000

 

WCI Communities,

 

 

 

 

 

Callable 5/1/07 @ 104.56

 

 

 

 

 

9.13%, 5/1/12

 

500,000

 

528,750

 

 


 

Wynn Las Vegas,

 

 

 

 

 

Callable 12/1/09 @ 103.31

 

 

 

 

 

6.63%, 12/1/14

 

250,000

 

243,437

 

 

 

 

 

4,464,362

 

 

 

 

 

 

 

Consumer NonCyclical — 2.0%

 

 

 

 

 

Ahold Finance USA

 

 

 

 

 

8.25%, 7/15/10

 

300,000

 

330,000

 

Delhaize America

 

 

 

 

 

9.00%, 4/15/31

 

250,000

 

315,415

 

Iasis Healthcare,

 

 

 

 

 

Callable 6/15/09 @ 104.38

 

 

 

 

 

8.75%, 6/15/14

 

250,000

 

272,188

 

Sealy Mattress,

 

 

 

 

 

Callable 6/15/09 @ 104.13

 

 

 

 

 

8.25%, 6/15/14

 

250,000

 

266,250

 

Swift & Co.,

 

 

 

 

 

Callable 10/1/06 @ 106.25

 

 

 

 

 

12.50%, 1/1/10

 

250,000

 

278,750

 

Triad Hospitals,

 

 

 

 

 

Callable 11/15/08 @ 103.50

 

 

 

 

 

7.00%, 11/15/13

 

200,000

 

206,500

 

 

 

 

 

1,669,103

 

 

 

 

 

 

 

Electric — 3.1%

 

 

 

 

 

Allegheny Energy Supply

 

 

 

 

 

8.25%, 4/15/12

 

250,000

 

280,625

 

Calpine,

 

 

 

 

 

Callable 7/15/07 @ 104.25

 

 

 

 

 

8.50%, 7/15/10 (c)

 

300,000

 

229,500

 

CMS Energy

 

 

 

 

 

8.50%, 4/15/11

 

500,000

 

563,750

 

Dynegy-Roseton Danskamme

 

 

 

 

 

7.67%, 11/8/16

 

200,000

 

196,500

 

Mission Energy Holdings

 

 

 

 

 

13.50%, 7/15/08

 

250,000

 

298,750

 

Nevada Power,

 

 

 

 

 

Callable 8/15/08 @ 104.50

 

 

 

 

 

9.00%, 8/15/13 (g)

 

262,000

 

294,095

 

Reliant Energy,

 

 

 

 

 

Callable 7/15/08 @ 104.75

 

 

 

 

 

9.50%, 7/15/13

 

250,000

 

277,500

 

Teco Energy

 

 

 

 

 

7.20%, 5/1/11

 

250,000

 

271,250

 

TXU

 

 

 

 

 

5.55%, 11/15/14 (c)

 

250,000

 

243,719

 

 

 

 

 

2,655,689

 

 

 

 

 

 

 

Energy — 0.7%

 

 

 

 

 

Bluewater Finance,

 

 

 

 

 

Callable 2/15/07 @ 105.12

 

 

 

 

 

10.25%, 2/15/12

 

290,000

 

313,200

 

Kerr-Mcgee

 

 

 

 

 

6.95%, 7/1/24

 

250,000

 

261,420

 

Parker Drilling, Series B,

 

 

 

 

 

Callable 4/14/05 @ 105.06

 

 

 

 

 

10.13%, 11/15/09 (g)

 

48,000

 

50,400

 

 

 

 

 

625,020

 

 

 

 

 

 

 

Industrials Other — 0.3%

 

 

 

 

 

Amsted Industries,

 

 

 

 

 

Callable 10/15/07 @ 105.12

 

 

 

 

 

10.25%, 10/15/11 (c) (g)

 

200,000

 

216,500

 

 

 

 

 

 

 

Insurance — 0.3%

 

 

 

 

 

Fairfax Financial Holdings

 

 

 

 

 

7.75%, 4/26/12

 

250,000

 

243,750

 

 

 

 

 

 

 

Miscellaneous — 6.6%

 

 

 

 

 

Dow Jones

 

 

 

 

 

8.00%, 6/29/10

 

2,500,000

 

2,537,500

 

8.25%, 6/29/10

 

3,045,000

 

3,071,644

 

 

 

 

 

5,609,144

 

 


 

Natural Gas — 1.2%

 

 

 

 

 

El Paso

 

 

 

 

 

7.75%, 6/15/10

 

200,000

 

205,750

 

Tennessee Gas Pipeline

 

 

 

 

 

7.50%, 4/1/17

 

250,000

 

275,938

 

Williams

 

 

 

 

 

7.13%, 9/1/11

 

500,000

 

543,125

 

 

 

 

 

1,024,813

 

 

 

 

 

 

 

Sovereign — 3.5%

 

 

 

 

 

Federal Republic of Brazil

 

 

 

 

 

10.25%, 6/17/13

 

500,000

 

575,750

 

Republic of Panama

 

 

 

 

 

7.25%, 3/15/15

 

500,000

 

543,000

 

Republic of Philippines

 

 

 

 

 

9.50%, 2/2/30

 

500,000

 

503,750

 

Republic of Turkey

 

 

 

 

 

9.00%, 6/30/11

 

500,000

 

597,000

 

7.38%, 2/5/25

 

300,000

 

294,000

 

Republic of Venezuela

 

 

 

 

 

8.50%, 10/8/14

 

500,000

 

518,750

 

 

 

 

 

3,002,250

 

 

 

 

 

 

 

Technology — 0.6%

 

 

 

 

 

Lucent Technologies

 

 

 

 

 

6.45%, 3/15/29

 

250,000

 

225,625

 

Nortel Networks

 

 

 

 

 

6.13%, 2/15/06

 

250,000

 

251,563

 

 

 

 

 

477,188

 

 

 

 

 

 

 

Transportation — 0.1%

 

 

 

 

 

Northwest Airlines

 

 

 

 

 

9.88%, 3/15/07

 

200,000

 

108,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Total High Yield Corporate Bonds

 

 

 

 

 

(cost: $29,741,803)

 

 

 

30,658,923

 

 

 

 

Par

 

 

 

Description of Security

 

Value

 

Value (a)

 

(Percentages of each investment category relate to net assets)

 

 

 

 

 

 

 

 

 

 

 

U.S. Government and Agency Securities — 46.7%

 

 

 

 

 

U.S. Agency Mortgage-Backed Securities — 46.6%

 

 

 

 

 

Adjustable Rate — 1.6%

 

 

 

 

 

FHLMC

 

 

 

 

 

4.43%, 9/1/18, #605911 (f)

 

$

327

 

$

332

 

FNMA

 

 

 

 

 

4.34%, 7/1/27, #70179 (f)

 

3,360

 

3,422

 

4.49%, 10/1/32, #725110 (f) (h)

 

880,362

 

904,105

 

GNMA

 

 

 

 

 

4.63%, 12/20/22, #8096 (f) (h)

 

464,099

 

472,950

 

 

 

 

 

1,380,809

 

 

 

 

 

 

 

Fixed Rate — 45.0%

 

 

 

 

 

FHLMC

 

 

 

 

 

6.50%, 8/1/30, #C43641 (h)

 

177,937

 

184,165

 

FHLMC Gold

 

 

 

 

 

6.50%, 11/1/28, #C00676

 

462,615

 

478,950

 

5.50%, 10/1/33, #A15120 (h)

 

1,639,780

 

1,647,979

 

FNMA

 

 

 

 

 

4.00%, 11/1/10, #254956 (h)

 

2,519,879

 

2,473,261

 

6.00%, 12/1/13, #190179

 

513,248

 

531,530

 

7.50%, 5/1/15, #537440

 

84,260

 

88,789

 

7.00%, 6/1/17, #254384 (h)

 

395,611

 

414,157

 

7.00%, 7/1/17, #254414 (h)

 

529,520

 

554,344

 

6.00%, 9/1/17, #653368 (h)

 

461,205

 

476,052

 

 


 

5.00%, 11/1/18, #750989 (h)

 

768,639

 

770,561

 

5.00%, 2/1/19, #767182 (h)

 

1,227,318

 

1,230,386

 

6.00%, 5/1/29, #323702 (h)

 

765,285

 

783,223

 

6.50%, 5/1/31, #540814 (h)

 

209,614

 

216,820

 

7.00%, 9/1/31, #596680 (h)

 

648,576

 

682,224

 

7.00%, 3/1/32, #635970 (h)

 

282,245

 

296,888

 

6.50%, 6/1/32, #596712 (h)

 

839,238

 

867,822

 

5.50%, 6/1/33, #709700 (h)

 

1,041,993

 

1,046,557

 

6.00%, 11/1/33, #743642 (j)

 

819,450

 

836,610

 

5.50%, 12/1/33, #756202 (h)

 

1,403,194

 

1,408,891

 

6.00%, 1/1/34, #763687 (h)

 

1,230,243

 

1,255,610

 

5.50%, 2/1/34, #766070 (h)

 

1,327,704

 

1,333,094

 

6.50%, 6/1/34, #735273

 

1,696,594

 

1,753,855

 

FNMA TBA

 

 

 

 

 

4.50%, 1/31/07 (i)

 

5,000,000

 

4,917,190

 

5.00%, 8/1/34 (i)

 

11,000,000

 

10,831,568

 

GNMA

 

 

 

 

 

6.50%, 4/15/33, #602233 (j)

 

519,714

 

542,613

 

5.50%, 8/15/33, #604567 (h)

 

1,570,032

 

1,590,631

 

6.00%, 7/15/34, #631574 (j)

 

846,726

 

870,273

 

 

 

 

 

38,084,044

 

 

 

 

 

 

 

Total U.S. Agency Mortgage-Backed Securities

 

 

 

39,464,853

 

 

 

 

 

 

 

U.S. Treasury Obligation — 0.1%

 

 

 

 

 

U.S. Treasury Bill

 

 

 

 

 

2.89%, 8/4/05

 

100,000

 

99,976

 

 

 

 

 

 

 

Total U.S. Government and Agency Securities

 

 

 

 

 

(cost: $39,780,688)

 

 

 

39,564,829

 

 

 

 

Par

 

 

 

Description of Security

 

Value

 

Value (a)

 

 

 

 

 

 

 

CMO-Private Mortgage-Backed Securities — 25.1%

 

 

 

 

 

Adjustable Rate — 5.6%

 

 

 

 

 

California Federal Bank Los Angeles

 

 

 

 

 

Series 1991-Cl2, Class A

 

 

 

 

 

6.15%, 7/15/21 (f)

 

22,561

 

23,116

 

Goldman Sachs Mortgage Securities

 

 

 

 

 

Series 2003-1, Class B2

 

 

 

 

 

6.87%, 3/25/43 (f)

 

1,941,534

 

2,002,228

 

Sequoia Mortgage Trust

 

 

 

 

 

Series 2004-5, Class X1

 

 

 

 

 

0.80%, 6/20/34 (d) (f)

 

70,491,943

 

683,497

 

Washington Mutual MSC Mortgage

 

 

 

 

 

Series 2003-AR3, Class B1

 

 

 

 

 

4.99%, 6/25/33 (f) (j)

 

1,625,849

 

1,687,697

 

Wells Fargo Mortgage-Backed Securities Trust

 

 

 

 

 

Series 2003-D, Class A1

 

 

 

 

 

4.88%, 2/25/33 (f)

 

330,837

 

336,418

 

 

 

 

 

4,732,956

 

 

 

 

 

 

 

Fixed Rate — 19.5%

 

 

 

 

 

Citicorp Mortgage Securities

 

 

 

 

 

Series 2004-5, Class B3

 

 

 

 

 

5.27%, 8/25/34

 

1,247,362

 

1,170,050

 

Series 2005-4, Class 1A6

 

 

 

 

 

5.50%, 7/25/35 (g)

 

1,000,000

 

994,375

 

Countrywide Alternative Loan Trust

 

 

 

 

 

Series 2005-7CB, Class 2A4

 

 

 

 

 

5.50%, 4/25/35

 

750,000

 

757,953

 

GMAC Mortgage Corporation Loan Trust

 

 

 

 

 

Series 2003-GH2, Class A3

 

 

 

 

 

5.00%, 3/25/23

 

1,500,000

 

1,472,550

 

Series 2003-J9, Class A15

 

 

 

 

 

5.00%, 1/25/34

 

1,325,000

 

1,291,451

 

Series 2004-J5, Class A7

 

 

 

 

 

6.50%, 1/25/35

 

1,157,733

 

1,196,801

 

Goldman Sachs Mortgage Securities

 

 

 

 

 

Series 2001-2, Class A

 

 

 

 

 

7.50%, 6/19/32 (c)

 

516,262

 

541,723

 

GRP/AG Real Estate Asset Trust

 

 

 

 

 

Series 2004-1, Class A

 

 

 

 

 

3.96%, 3/25/09 (b) (c)

 

105,863

 

104,316

 

Series 2004-2, Class A

 

 

 

 

 

4.21%, 7/25/34 (b) (c)

 

434,815

 

428,000

 

 


 

Series 2005-1, Class A

 

 

 

 

 

4.85%, 1/25/35 (b) (c)

 

261,581

 

260,786

 

Morgan Stanley Mortgage Loan Trust

 

 

 

 

 

Series 2004-9, Class 1A

 

 

 

 

 

6.36%, 11/25/34

 

1,129,296

 

1,154,353

 

Nomura Asset Acceptance Corporation

 

 

 

 

 

Series 2004-R2, Class B1

 

 

 

 

 

6.74%, 10/25/34 (c)

 

1,127,193

 

1,168,328

 

Prime Mortgage Trust

 

 

 

 

 

Series 1004-2, Class B2

 

 

 

 

 

5.20%, 11/25/19

 

416,280

 

405,207

 

Series 2004-2, Class B3

 

 

 

 

 

5.20%, 11/25/19

 

311,969

 

299,292

 

Residential Asset Mortgage Products

 

 

 

 

 

Series 2003-SL1, Class M2

 

 

 

 

 

7.32%, 4/25/31

 

1,082,217

 

1,097,141

 

Series 2004-SL4, Class A3

 

 

 

 

 

6.50%, 7/25/32

 

1,155,434

 

1,183,582

 

Residential Asset Securitization Trust

 

 

 

 

 

Series 2002-A12, Class 1A1

 

 

 

 

 

5.20%, 11/25/32

 

322,748

 

319,847

 

Washington Mutual MSC Mortgage

 

 

 

 

 

Series 2003-MS9, Class CB2

 

 

 

 

 

7.44%, 12/25/33

 

422,897

 

428,344

 

Wells Fargo Mortgage-Backed Securities Trust

 

 

 

 

 

Series 2003-7, Class A3

 

 

 

 

 

4.50%, 8/25/18 (j)

 

1,104,400

 

1,083,306

 

Series 2004-7, Class B2

 

 

 

 

 

4.72%, 7/25/19

 

703,286

 

673,565

 

Series 2004-7, Class B3

 

 

 

 

 

4.72%, 7/25/19

 

527,702

 

487,470

 

 

 

 

 

16,518,440

 

 

 

 

 

 

 

Total CMO-Private Mortgage-Backed Securities

 

 

 

 

 

(cost: $21,606,434)

 

 

 

21,251,396

 

 

 

 

Principal

 

 

 

Description of Security

 

Amount

 

Value (a)

 

 

 

 

 

 

 

Asset-Backed Securities — 13.9%

 

 

 

 

 

Commercial — 0.7%

 

 

 

 

 

Morgan Stanley Capital

 

 

 

 

 

Series 1999-FNV1, Class A1

 

 

 

 

 

6.12%, 3/15/31 (j)

 

$

577,152

 

$

585,723

 

 

 

 

 

 

 

Home Equity — 12.6%

 

 

 

 

 

Ace Securities

 

 

 

 

 

Series 2003-OP1, Class M3

 

 

 

 

 

5.11%, 12/25/33 (b) (f) (j)

 

1,500,000

 

1,510,710

 

First Franklin Mortgage Loan

 

 

 

 

 

Series 2004-FFA, Class M2F

 

 

 

 

 

4.62%, 3/25/24 (b) (j)

 

2,760,000

 

2,675,461

 

Home Equity Mortgage Trust

 

 

 

 

 

Series 2004-2, Class B1

 

 

 

 

 

5.36%, 8/25/34 (b) (f) (j)

 

1,000,000

 

1,003,720

 

Series 2004-5, Class B1

 

 

 

 

 

5.75%, 2/25/35 (b)

 

500,000

 

488,370

 

Series 2004-6, Class M2

 

 

 

 

 

5.32%, 4/25/35 (b) (j)

 

500,000

 

483,380

 

Residential Asset Securities Corporation

 

 

 

 

 

Series 2002-KS1, Class AI4

 

 

 

 

 

5.86%, 11/25/29 (j)

 

195,294

 

194,954

 

Residential Funding Mortgage Securities I

 

 

 

 

 

Series 2004-HI2, Class A4

 

 

 

 

 

5.24%, 9/25/18

 

2,000,000

 

2,009,720

 

Series 2003-HI4, Class M1

 

 

 

 

 

5.53%, 2/25/29 (b) (j)

 

2,327,000

 

2,289,279

 

 

 

 

 

10,655,594

 

 

 

 

 

 

 

Manufactured Housing — 0.6%

 

 

 

 

 

Green Tree Financial

 

 

 

 

 

Series 1994-2, Class A5

 

 

 

 

 

8.30%, 5/15/19

 

524,263

 

535,016

 

 

 

 

 

 

 

Total Asset-Backed Securities
(cost: $11,932,061)

 

 

 

11,776,333

 

 


 

 

 

Par

 

 

 

Description of Security

 

Value

 

Value (a)

 

 

 

 

 

 

 

CMO-U.S. Agency Mortgage-Backed Securities — 10.4%

 

 

 

 

 

Fixed Rate — 5.5%

 

 

 

 

 

FHLMC REMIC

 

 

 

 

 

Series 2690, Class OE

 

 

 

 

 

5.00%, 11/15/28 (h)

 

$

1,274,000

 

$

1,257,973

 

FNMA REMIC

 

 

 

 

 

Series 2004-27, Class HB

 

 

 

 

 

4.00%, 5/25/19 (j)

 

1,923,137

 

1,758,747

 

Series 2004-29, Class WG

 

 

 

 

 

4.50%, 5/25/19

 

942,115

 

886,766

 

Series 2002-W1, Class 2A

 

 

 

 

 

7.50%, 2/25/42 (j)

 

752,585

 

793,456

 

 

 

 

 

4,696,942

 

 

 

 

 

 

 

Z-Bonds — 4.9%

 

 

 

 

 

FHLMC REMIC

 

 

 

 

 

Series 2676, Class GZ

 

 

 

 

 

4.50%, 9/15/33 (e)

 

1,646,341

 

1,387,356

 

GNMA REMIC

 

 

 

 

 

Series 2001-8, Class Z

 

 

 

 

 

6.50%, 3/20/31 (e) (h)

 

2,648,660

 

2,746,501

 

 

 

 

 

4,133,857

 

 

 

 

 

 

 

Total CMO-U.S. Agency Mortgage-Backed Securities

 

 

 

 

 

(cost: $8,274,330)

 

 

 

8,830,799

 

 

 

 

 

 

 

Corporate Bonds — 2.9%

 

 

 

 

 

Consumer Cyclical — 0.6%

 

 

 

 

 

Ford Motor

 

 

 

 

 

7.00%, 10/1/13

 

500,000

 

490,650

 

Consumer NonCyclical — 0.3%

 

 

 

 

 

Glencore Funding LLC

 

 

 

 

 

6.00%, 4/15/14

 

250,000

 

231,033

 

Sovereign — 1.4%

 

 

 

 

 

Russian Federation

 

 

 

 

 

5.00%, 3/31/30 (b) (c)

 

1,050,000

 

1,162,875

 

Transportation — 0.6%

 

 

 

 

 

American Airlines, Series 99-1

 

 

 

 

 

7.02%, 10/15/09 (g)

 

500,000

 

520,000

 

Total Corporate Bonds
(cost: $2,359,568)

 

 

 

2,404,558

 

Total Investments in Unaffiliated Securities
(cost: $113,694,884)

 

 

 

114,486,838

 

 

Description of Security

 

Shares

 

Value (a)

 

 

 

 

 

 

 

Affiliated Money Market Fund -5.0%

 

 

 

 

 

First American Prime Obligations Fund, Class Z (k)
(cost: $4,186,693)

 

4,186,693

 

4,186,693

 

 

 

 

 

 

 

Total Investments in Securities (l) — 140.2%
(cost: $117,881,577)

 

 

 

$

118,673,531

 

 


 

Notes to Schedule of Investments:

 

(a)       Security valuations for the fund’s investments are furnished by one or more independent pricing services that have been approved by the fund’s board of directors.  Debt obligations exceeding 60 days to maturity are valued by an independent pricing service.  The pricing service may employ methodologies that utilize actual market transactions, broker-dealer supplied valuations, or other formula-driven valuation techniques.  These techniques generally consider such factors as yields or prices of bonds of comparable quality, type of issue, coupon, maturity, ratings, and general market conditions.  Securities for which prices are not available from an independent pricing service but where an active market exists are valued using market quotations obtained from one or more dealers that make markets in the securities or from a widely-used quotation system.  When market quotations are not readily available, securities are valued at fair value as determined in good faith by procedures established and approved by the fund’s board of directors.  Some of the factors which may be considered in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold.  If events occur that materially affect the value of securities (including non-U.S. securities) between the close of trading in those securities and the close of regular trading on the New York Stock Exchange, the securities will be valued at fair value.  Debt obligations with 60 days or less remaining until maturity may be valued at their amortized cost which approximates market value.  As of July 31, 2005, the fund had no fair valued securities.

 

(b)       Delayed interest (Step Bonds) – Securities for which the coupon rate of interest will adjust on specified future date(s).  The rate disclosed represents the coupon rate in effect as of July 31, 2005.

 

(c)        Securities sold within the terms of a private placement memorandum, exempt from registration under Rule 144A of the Securities Act of 1933, as amended, which may be sold only to dealers in that program or other “qualified institutional buyers.”  These securities have been determined to be liquid under guidelines established by the fund’s board of directors.  As of July 31, 2005, the value of these investments was $6,005,484 or 7.1% of net assets.

 

(d)       Interest only – Represents securities that entitle holders to receive only interest payments on the underlying mortgages.  The yield to maturity of an interest only is extremely sensitive to the rate of principal payments on the underlying mortgage assets. A rapid (slow) rate of principal repayments may have an adverse (positive )effect on yield to maturity.  The principal amount shown is the notional amount of the underlying mortgages.  The interest rate disclosed represents the coupon rate in effect as of July 31, 2005.

 

(e)        Z-Bond – Represents securities that pay no interest or principal during their accrual periods, but accrue additional principal at specified rates.  Interest rate shown represents the current yield based upon the current cost basis and estimated future cash flows.

 

(f)           Variable Rate Security – The rate shown is the rate in effect as of July 31, 2005.

 

(g)       Security considered illiquid or restricted.  As of July 31, 2005, the value of this investment was $2,742,545 or 3.23% of net assets.

 

(h)       On July 31, 2005, securities valued at $21,356,221 were pledged as collateral for the following outstanding reverse repurchase agreements:

 


 

Amount

 

Acquisition
Date

 

Rate*

 

Due

 

Accrued
Interest

 

Name of Broker
and Description
of Collateral

 

$

9,650,000

 

7/20/05

 

3.45

%

8/19/05

 

$

11,097

 

(1)

 

8,456,867

 

7/13/05

 

3.36

%

8/15/05

 

14,997

 

(2)

 

$

18,106,867

 

 

 

 

 

 

 

 

$

26,094

 

 

 

 

*Interest rate as of July 31, 2005.  Rates are based on the London InterBank Offered Rate (LIBOR) and reset monthly.

 

Name of broker and description of collateral:

(1)       Goldman:

FHLMC, 5.50%, 10/1/33, $1,639,780 par

FHLMC REMIC, 5.00%, 11/15/28, $1,274,000 par

FNMA, 4.00%, 11/1/10, $2,519,879 par

FNMA, 4.49%, 10/1/32, $880,362 par

FNMA, 5.50%, 6/1/33, $1,041,993 par

FNMA, 5.50%, 12/1/33, $1,403,194 par

GNMA, 5.50%, 8/15/33, $1,570,032 par

 

(2)       Morgan Stanley:

FHLMC, 6.50%, 8/1/30, $177,937 par

FNMA, 7.00%, 6/1/17, $395,611 par

FNMA, 7.00%, 7/1/17, $529,520 par

FNMA, 6.00%, 9/1/17, $461,205 par

FNMA, 5.00%, 11/1/18, $768,639 par

FNMA, 5.00%, 2/1/19, $1,227,318 par

FNMA, 6.00%, 5/1/29, $765,285 par

FNMA, 6.50%, 5/1/31, $209,614 par

FNMA, 7.00%, 9/1/31, $648,576 par

FNMA, 7.00%, 3/1/32, $282,245 par

FNMA, 6.50%, 6/1/32, $839,238 par

FNMA, 6.00%, 1/1/34, $1,230,243 par

FNMA, 5.50%, 2/1/34, $1,327,704 par

GNMA, 4.63%, 12/20/22, $464,099 par

GNMA REMIC, 6.50%, 3/20/31, $2,648,660 par

 

(i)          On July 31, 2005, the total cost of investments purchased on a when-issued basis was $15,862,500.

 

(j)           This security or a portion of this security is pledged as collateral for positions purchased on a when-issued basis.

 

(k)       This money market fund is advised by U.S. Bancorp Asset Management, Inc., which also serves as advisor for this fund.

 

(l)          On July 31, 2005, the cost of investments in securities was $117,881,577.  The aggregate gross unrealized appreciation and depreciation of investments in securities based on this cost, were as follows:

 

Gross unrealized appreciation

 

$

2,168,356

 

Gross unrealized depreciation

 

(1,376,402

)

Net unrealized appreciation

 

$

791,954

 

 

Abbreviations:

CMO - Collateralized Mortgage Obligation

FHLMC  – Federal Home Loan Mortgage Corporation

 


 

FNMA - Federal National Mortgage Association

GNMA - Government National Mortgage Association

REIT – Real Estate Investment Trust

REMIC - Real Estate Mortgage Investment Conduit

TBA – To Be Announced

 

Schedule of Open Futures Contracts

 

Description

 

Number of
Contracts
(Sold)

 

Market Value
Coverd by
Contracts

 

Settlement
Month

 

Unrealized
Appreciation

 

 

 

 

 

 

 

 

 

 

 

U.S. 20 Year Long Bond Futures Note

 

(5

)

$

(576,563

)

Sept-05

 

$

4,865

 

 

 

 

 

 

 

 

 

 

 

U.S. 5 Year Futures Note

 

(10

)

(1,072,031

)

Sept-05

 

16,528

 

 

 

 

 

 

 

 

 

 

 

U.S. 10 Year Futures Note

 

(81

)

(8,989,734

)

Sept-05

 

151,763

 

 

 

 

 

 

 

 

 

$

173,156

 

 


 

Item 2—Controls and Procedures

 

(a)  The registrant’s Principal Executive Officer and Principal Financial Officer have evaluated the registrant’s disclosure controls and procedures within 90 days of the date of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported timely.

 

(b)  There were no changes in the registrant’s internal control over financial reporting that occurred during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3 – Exhibits

 

Certifications of the Principal Executive Officer and Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act are filed as exhibits hereto.

 


 

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.

 

American Income Fund, Inc.

 

By:

/s/ Thomas S. Schreier, Jr.

 

Thomas S. Schreier, Jr.

President

 

Date: September 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.

 

By:

/s/ Thomas S. Schreier, Jr.

 

Thomas S. Schreier, Jr.

President

 

Date: September 29, 2005

 

By:

/s/ Charles D. Gariboldi

 

Charles D. Gariboldi

Treasurer

 

Date: September 29, 2005