N-30D 1 a2069488zn-30d.txt N-30D CREDIT SUISSE HIGH YIELD BOND FUND 466 LEXINGTON AVENUE NEW YORK, NY 10017 TRUSTEES Enrique R. Arzac Lawrence J. Fox James P. McCaughan CHAIRMAN OF THE BOARD James S. Pasman, Jr. OFFICERS Richard J. Lindquist PRESIDENT AND CHIEF INVESTMENT OFFICER Hal Liebes SENIOR VICE PRESIDENT Michael A. Pignataro CHIEF FINANCIAL OFFICER, VICE PRESIDENT AND SECRETARY Robert M. Rizza VICE PRESIDENT AND TREASURER Maxine C. Evertz ASSISTANT SECRETARY Rocco DelGuercio ASSISTANT TREASURER INVESTMENT ADVISER Credit Suisse Asset Management, LLC 466 Lexington Avenue New York, New York 10017 ADMINISTRATOR PFPC, Inc. 400 Bellevue Parkway Wilmington, DE 19809 CUSTODIAN Custodial Trust Company 101 Carnegie Center Princeton, NJ 08540 SHAREHOLDER SERVICING AGENT PFPC, Inc. 101 Federal Street Boston, MA 02110 LEGAL COUNSEL Willkie Farr & Gallagher 787 7th Avenue New York, New York 10019 INDEPENDENT ACCOUNTANTS PricewaterhouseCoopers LLP Two Commerce Square Philadelphia, Pennsylvania 19103 CREDIT SUISSE HIGH YIELD BOND FUND (FORMERLY DLJ HIGH YIELD BOND FUND) ANNUAL REPORT October 31, 2001 Dear Shareholder: December 20, 2001 We are writing to report on the activities of Credit Suisse High Yield Bond Fund ("the Fund") for the fiscal year ended October 31, 2001 and to discuss our investment strategy. On October 31, 2001, the Fund's net asset value ("NAV") was $4.49, compared to an NAV of $6.16 at October 31, 2000. The Fund's total return (based on NAV and assuming reinvestment of dividends of $0.88 per share) for the period was -13.9%. At October 31, 2001, $303.2 million was invested in high yield debt securities; $5.9 million in investment-grade debt securities; $1.2 million in equity securities. Of the debt securities, the largest concentration (74.5%) was invested in issues rated B through BB. The Fund changed its name from DLJ High Yield Bond Fund effective June 27, 2001, to reflect the change in the Fund's management to Credit Suisse Asset Management, LLC from DLJ Asset Management. By November 30, 2001, we had largely reached our goal of bringing the Fund's structure into line with that of the other high yield portfolios we manage. We accomplished this primarily by rebalancing exposure to industry sectors and reducing exposure to individual securities. THE MARKET: SIGNIFICANT VOLATILITY The Fund's fiscal year was a time in which the broad high yield market ("high yield") experienced significant volatility, only to finish essentially unchanged. As measured by the Salomon Smith Barney High-Yield Market Index (SSBHYMI)*, aggregate high yield securities rose 0.1% during the period. After weakening in November 2000, overall activity was positive in December, January and February. By far, the key event in this time frame was the Federal Reserve's unexpected reduction of short-term U.S. interest rates by a half-point on January 3. Investors widely anticipated at the time that the Fed would cut rates fairly early in 2001 to help stimulate sluggish macroeconomic growth, but they were pleasantly surprised when the Fed chose to do so between regularly scheduled meetings of its Open Market Committee (FOMC), which sets official monetary policy. The Fed cut another half-point at the next FOMC meeting on January 31. The joy of January proved to be fairly short-lived, however, as high yield prices gained only a little ground in February and fell in March and April. Market sentiment in these months tended to be most influenced by mounting anxiety about the health of the U.S. economy and the deteriorating environment for corporate earnings, both of which are considered fundamental elements in any meaningful analysis of the outlook for the high yield market. Additional half-point cuts in interest rates by the Fed in March and April ultimately failed to raise investors' spirits to a sustainable degree. Things picked up a bit in July and August, as investors appeared to become slightly more optimistic about the prospects for a macroeconomic recovery. Light at the end of the tunnel turned to darkness in September, though, following the September 11 terrorist attacks in the U.S. High yield market's sharp decline during the month, in fact, was one of its worst monthly performances on record. The impact of the attacks on the high yield market reflected a blend of big-picture and market-specific influences. The big picture suffered from the growing perception that a macroeconomic recovery would be pushed much further back in time, perhaps to late 2002; plunging confidence among consumers; and a generalized aversion to relatively risky financial assets such as high yield. On a market-specific basis, trading activity was almost non-existent for a week or so after September 11, because a number of market participants had been located in the area of the attacks and were physically unable to trade until they could restore their electronic trading systems to full functionality. Investors, moreover, were reluctant to trade due to the fact that bid-asked spreads for high yield issues became much wider than usual. There also were concerns about the supply of high yield, as reflected both in the cancellation of most new issuance scheduled for September and the assumption that much less capital would be available for high yield issuers, many of which are highly capital-intensive. Trading conditions started to return to a more normal state as September progressed into October, as investors and broker/dealers appeared to begin to put the psychological impact of September 11 behind them. By late October, buying activity gained momentum in response to two factors. First, bargain-hunters materialized to take advantage of valuations that had reached levels thought to be excessively low. Second, high yield securities offered additional incentive to investors searching for above-average yields as interest rates continued to fall. PERFORMANCE: HURT BY SECTOR ALLOCATION We attribute the Fund's underperformance of the broad high yield market in the fiscal year to our sector allocations compared to those of high yield indices like SSBHYMI. The fact that the portfolio is leveraged magnified the degree of underperformance (just as it would likely magnify the degree of outperformance under more favorable circumstances). The portfolio was most negatively impacted by comparatively high allocations to several telecommunications subsectors that fared poorly, including broadband, competitive local-exchange carriers, paging and diversified service providers. Performance additionally suffered from comparatively high allocations to non-telecom industries such as metals/mining and airlines. Factors that contributed most positively to the Fund's return included above-market allocations to the wireless telecom and food sectors, each of which outperformed the overall high yield market. Security selection was especially beneficial in health care, wireless telecom and food. OUTLOOK: MIXED We see a mixed picture for the Fund going forward. On the positive side, we take encouragement from several aspects of the current environment: - Overall perceptions about the U.S. economy have become less gloomy than previously. Although the latest macroeconomic data suggest that a vigorous recovery has yet to begin, investors seem increasingly willing to look beyond anticipated near-term pain and ahead to a brighter future. - Liquidity in the high yield market is now ample as a result of the Fed's monetary easing and rising cash inflows into high yield mutual funds. - As interest rates continue to fall, yield-seeking investors increasingly turn to the high yield market for returns unavailable from cash and investment-grade securities. - Valuations (I.E., as measured by yield spreads for high yield issues versus those of comparable-maturity U.S. Treasury debt) are historically low, implying the potential for attractive total returns if an upward revaluation process takes place. - Recent developments in Afghanistan have boosted optimism that the U.S.'s military involvement there may have already passed its point of greatest intensity. The biggest downside risk to the market, in our opinion, is that the Fed's aggressiveness in cutting short-term interest rates--the Fed has slashed rates on eleven separate occasions thus far in 2001, for a total of 4.75 percentage points--will not have its intended stimulative impact on the economy. If this proves to be the case, then appetite for high yield debt may well be dampened by a generalized avoidance of comparatively risky financial assets. Prospects for corporate earnings and cash flows would probably not improve under this scenario, moreover, which would bode poorly for high yield as well. Compared to broad market indices like SSBHYMI, our main industry overweights within the Fund are in cable/media, gaming and energy; and our exposure to the volatile telecommunications industry is at a slightly below-market level. As developments occur that we believe would be of interest to you, we will keep you informed. Meanwhile, if you have any questions about your portfolio or the capital markets generally, please feel free to call upon us at any time. We appreciate your interest in the Fund and would be pleased to respond to your questions or comments. Any questions regarding net asset value, performance, dividends, portfolio management or allocations should be directed to Credit Suisse Asset Management at (800) 293-1232. All other inquiries regarding account information, requests for the latest financial information or other reports should be directed to the Fund's Shareholder Servicing Agent at (800) 331-1710. Sincerely yours, /s/ Richard J. Lindquist Richard J. Lindquist President and Chief Investment Officer** /s/ James P. McCaughan James P. McCaughan Chairman of the Board*** * The Salomon Smith Barney High-Yield Market Index is a broad-based, unmanaged index of high yield securities. ** Richard J. Lindquist, who is a Manging Director of CSAM, is primarily responsible for management of the Fund's assets. He has served in such capacity since December 8, 2000. Mr. Lindquist joined CSAM on May 1, 1995 as a result of CSAM's acquisition of CS First Boston Investment Management Corporation ("CSFBIM"). Prior to joining CSAM and beginnning in July, 1989, he held various offices at CSFBIM. Mr. Lindquist also is President and Chief Investment Officer of Credit Suisse Asset Mangement Income Fund, Inc. *** James P. McCaughan is a Managing Director and Chief Executive Officer of CSAM. He joined CSAM in 2000 from Oppenheimer Capital, where he was President and Chief Operating Officer. Previously, he was President and Chief Executive Officer of UBS Asset Management ( New York); had global responsibility for institutional asset management for Union Bank of Switzerland; was President of UBS International Investment in London; was an equity portfolio manager at Phillips & Drew Fund Management in London; and was an actuary at Lane Clark & Peacock in London. Mr. McCaughan is Director and/or Chairman of other investment companies advised by CSAM. CREDIT SUISSE HIGH YIELD BOND FUND TOP TEN HOLDINGS (AS A % OF NET ASSETS AS OF 10/31/2001) SECURITY DESCRIPTION 1. Intermedia Communications, Inc. 3.00% 0.000% 03/01/09 2. R&B Falcon Corp. 2.69% 9.500% 12/15/08 3. AMC Entertainment, Inc. 2.50% 9.500% 03/15/09 4. Rent-A-Center, Inc. 2.34% 11.000% 08/15/08 5. Triton PCS Holdings, Inc. 2.25% 0.000% 05/01/08 6. Telecorp PCS, Inc. 2.21% 0.000% 04/15/09 7. Allied Waste North America 2.20% 10.000% 08/01/09 8. DaVita, Inc. 2.15% 7.000% 05/15/09 9. Charter Communications Holdings LLC 2.10% 0.000% 04/01/11 10. Argosy Gaming Co. 2.02% 10.750% 06/01/09
CREDIT QUALITY BREAKDOWN (AS A % OF TOTAL INVESTMENTS AS OF 10/31/2001) A/A 1.9% BB/Ba 11.8 B/B 62.7 CCC/Caa 17.8 CC/Ca 0.9 NR 4.5 ----- Subtotal 99.6 Equities and Other 0.4 ----- Total 100.0% =====
1 CREDIT SUISSE HIGH YIELD BOND FUND--SCHEDULE OF INVESTMENTS OCTOBER 31, 2001
PRINCIPAL AMOUNT VALUE -------------- ------------ BONDS--139.1% AEROSPACE--2.8% Condor Systems, Inc., Series B 11.875% 05/01/09 **, + $ 850,000 $ 293,250 Hexcel Corp. 9.750% 01/15/09 **, **** 3,000,000 1,665,000 Transdigm, Inc. 10.375% 12/01/08 ** 4,500,000 4,140,000 ------------ 6,098,250 ------------ AIRLINES--2.0% American Airlines 7.800% 10/01/06 * 1,000,000 1,011,490 Amtran, Inc. 9.625% 12/15/05 ** 5,500,000 3,382,500 ------------ 4,393,990 ------------ AUTOMOBILE MANUFACTURING/VEHICLE PARTS--4.6% ADV Accessory Systems, Series B 9.750% 10/01/07 ** 700,000 507,500 Advance Stores Co., Inc. 10.250% 04/15/08 *, ** 1,000,000 970,000 American Axle & Manufacturing, Inc. 9.750% 03/01/09 **, **** 2,000,000 2,065,000 Cambridge Industries, Inc., Series B 10.250% 07/15/07 ** 750,000 95,625 Collins & Aikman Products Corp. 11.500% 04/15/06 ** 350,000 313,250 GenTek, Inc. 11.000% 08/01/09 ** 5,500,000 3,382,500 J.L. French Automotive Castings, Inc., Series B 11.500% 06/01/09 ** 3,547,000 549,785 Key Plastics, Inc. 10.250% 03/15/07 ** 250,000 1,875 Roller Bearing Co. of America, Series B 9.625% 06/15/07 ** 1,000,000 865,000 Venture Holdings Trust 11.000% 06/01/07 **, **** 2,000,000 1,350,000 ------------ 10,100,535 ------------ BROADBAND--4.0% Flag, Ltd. 8.250% 01/30/08 ** 700,000 451,500 Global Crossing Holdings, Ltd. 9.625% 05/15/08 **, **** 900,000 157,500 GT Group Telecom, Inc. 13.250% 02/01/10 **, *** 6,750,000 1,282,500 Level 3 Communications, Inc. 9.125% 05/01/08 **, **** 350,000 159,250 Ono Finance PLC 13.000% 05/01/09 **, **** 4,980,000 3,510,900 Tele1 Europe BV 13.000% 05/15/09 ** 3,390,000 932,250 Versatel Telecom International NV 13.250% 05/15/08 **, **** 3,000,000 1,050,000 Versatel Telecom International NV 11.875% 07/15/09 **, **** 3,500,000 1,190,000 ------------ 8,733,900 ------------ BROADCAST/OUTDOOR--0.6% Young Broadcasting, Inc. 10.000% 03/01/11 ** 1,500,000 1,267,500 ------------ BUILDING PRODUCTS--1.5% AAF-McQuay, Inc. 8.875% 02/15/03 $ 1,000,000 $ 1,000,000 Atrium Companies Inc., Series B 10.500% 05/01/09 ** 1,000,000 825,000 Building Materials Corp., Series B 8.625% 12/15/06 ** 1,500,000 1,177,500 Henry Co., Series B 10.000% 04/15/08 ** 1,000,000 325,000 ------------ 3,327,500 ------------ CABLE--10.0% @Entertainment 14.5% 02/01/09 **, ***, **** 7,200,000 1,116,000 Adelphia Communications Corp., Senior Notes 10.875% 10/01/10 **** 3,000,000 2,895,000 Cablevision SA, Yankee Notes 13.750% 04/30/07 **** 4,000,000 1,370,000 Charter Communications Holdings LLC 8.625% 04/01/09 **, **** 3,000,000 2,880,000 Charter Communications Holdings LLC 9.920% 04/01/11 **, *** 6,500,000 4,598,750 CSC Holdings, Inc., Series B, Senior Notes 7.625% 04/01/11 **** 1,500,000 1,519,056 DIVA Systems Corp., Series B 12.625% 03/01/08 **, *** 1,750,000 201,250 Insight Communications Co., Inc. 12.250% 02/15/11 ** 2,000,000 1,120,000 James Cable Partners LP, Series B 10.750% 08/15/04 ** 500,000 402,500 Mediacom LLC Capital Corp. 9.500% 01/15/13 ** 2,000,000 2,050,000 NTL Communications Corp., Series B 11.500% 10/01/08 **, **** 5,000,000 2,925,000 NTL Communications Corp., Series B 12.375% 10/01/08 **, *** 2,000,000 770,000 ------------ 21,847,556 ------------ CAPITAL GOODS--1.6% Jordan Industries, Inc., Series D 10.375% 08/01/07 ** 4,500,000 3,307,500 Pentacon, Inc., Series B 12.250% 04/01/09 ** 650,000 165,750 ------------ 3,473,250 ------------ CHEMICALS--5.1% Acetex Corp., Rule 144A 10.875% 08/01/09 *, ** 1,000,000 930,000 Avecia Group PLC 11.000% 07/01/09 ** 3,000,000 2,865,000 Equistar Chemicals LP/Equistar Funding Corp., Rule 144A 10.125% 09/01/08 * 1,250,000 1,162,500 Huntsman Corp. 9.500% 07/01/07 *, ** 250,000 16,250 Huntsman ICI Holdings LLC 0.000% 12/31/09 ** 10,030,000 2,131,375 Lyondell Chemical Co. 10.875% 05/01/09 **, **** 2,100,000 1,779,750 Mississippi Chemical Corp. 7.250% 11/15/17 1,000,000 355,000 Terra Industries, Inc., Series B 10.500% 06/15/05 **, **** 1,500,000 1,087,500 United Industries Corp., Series B 9.875% 04/01/09 ** 1,025,000 846,906 ------------ 11,174,281 ------------
SEE NOTES TO FINANCIAL STATEMENTS. 2
PRINCIPAL AMOUNT VALUE -------------- ------------ COMPETITIVE LOCAL EXCHANGE CARRIER--4.2% Impsat Fiber Networks, Inc. 13.750% 02/15/05 **** $ 1,000,000 $ 92,500 Intermedia Communications, Inc., Series B 0.000% 03/01/09 **, *** 7,600,000 6,574,000 McLeodUSA, Inc. 9.250% 07/15/07 ** 600,000 147,000 Netia Holdings BV, Series B 10.250% 11/01/07 ** 1,000,000 145,000 Netia Holdings II BV, Series B 13.125% 06/15/09 ** 4,000,000 580,000 RCN Corp. 0.000% 10/15/07 **, *** 6,485,000 1,718,525 Winstar Communications, Inc. 12.750% 04/15/10 **, ****, + 2,854,000 24,972 ------------ 9,281,997 ------------ CONSUMER PRODUCTS/TOBACCO--1.3% American Greetings 11.750% 07/15/08*, **, **** 1,250,000 1,210,937 Samsonite Corp. 10.750% 06/15/08 ** 2,500,000 1,725,000 Styling Technology Corp. 10.875% 07/01/08 **, + 1,500,000 150 ------------ 2,936,087 ------------ CONTAINERS--2.0% Packaging Corp. of America 9.625% 04/01/09 ** 4,050,000 4,404,375 ------------ DIVERSIFIED TELECOMMUNICATIONS--1.9% Filtronic PLC 10.000% 12/01/05 ** 3,000,000 2,445,000 Impsat Fiber Networks, Inc. 12.375% 06/15/08 ** 4,000,000 330,000 Primus Telecommunications Group, Inc. 11.250% 01/15/09 ** 3,347,000 652,665 Spectrasite Holdings, Inc., Series B 0.000% 03/15/10 **, *** 2,500,000 650,000 ------------ 4,077,665 ------------ ENERGY - OTHER--0.3% Hanover Equipment Trust 8.500% 09/01/08 *, ** 700,000 735,000 ------------ ENVIRONMENTAL SERVICES--2.2% Allied Waste North America, Series B 10.000% 08/01/09 **, **** 4,750,000 4,833,125 ------------ FINANCE - OTHER--5.1% Americredit Corp. 9.875% 04/15/06 **, **** 3,000,000 2,625,000 Asat Finance LLC 12.500% 11/01/06 ** 3,250,000 2,551,250 Metris Cos., Inc. 10.125% 07/15/06 **, **** 3,000,000 2,580,000 Ocwen Financial Corp. 11.875% 10/01/03 ** 3,445,000 3,324,425 ------------ 11,080,675 ------------ FOOD PROCESSORS/BEVERAGES/BOTTLING--4.1% Agrilink Foods, Inc. 11.875% 11/01/08 ** 1,000,000 895,000 Fleming Cos., Inc., Series B 10.625% 07/31/07 **, **** 4,120,000 4,171,500 Luigino's, Inc. 10.000% 02/01/06 ** $ 4,000,000 $ 3,840,000 ------------ 8,906,500 ------------ GAMING--9.4% Ameristar Casinos, Inc. 10.750% 02/15/09 ** 1,500,000 1,575,000 Argosy Gaming Co. 10.750% 06/01/09 **, **** 4,000,000 4,440,000 Aztar Corp. 9.000% 08/15/11 *, ** 1,800,000 1,822,500 Boyd Gaming Corp. 9.250% 08/01/09 *, ** 1,200,000 1,206,000 Fitzgeralds Gaming Corp., Series B 12.250% 12/15/04 **, + 1,645,206 908,976 Hard Rock Hotel, Inc., Series B 9.250% 04/01/05 ** 1,500,000 1,342,500 Hollywood Casino Corp. 13.000% 08/01/06 ** 2,000,000 1,670,000 Hollywood Casino Corp. 11.250% 05/01/07 ** 4,000,000 4,220,000 Mohegan Tribal Gaming 8.375% 07/01/11 *, ** 1,000,000 1,040,000 Peninsula Gaming LLC, Series B 12.250% 07/01/06 ** 394,000 388,090 Penn National Gaming, Inc., Series B 11.125% 03/01/08 ** 1,250,000 1,309,375 Station Casinos, Inc. 8.375% 02/15/08 ** 250,000 251,875 Windsor Woodmont Black Hawk, Series B 13.000% 03/15/05 ** 456,000 426,930 ------------ 20,601,246 ------------ HEALTHCARE FACILITIES/SUPPLIES--6.8% Alaris Medical, Inc. 0.000% 08/01/08 **, *** 7,088,000 4,075,600 Davita, Inc. 7.000% 05/15/09 *, **, **** 5,000,000 4,712,500 Extendicare Health Services, Inc. 9.350% 12/15/07 ** 1,000,000 930,000 Kinetic Concepts, Inc., Series B 9.625% 11/01/07 **, **** 3,500,000 3,482,500 Magellan Health Services, Inc. 9.375% 11/15/07 *, ** 950,000 1,002,250 Magellan Health Services, Inc. 9.000% 02/15/08 **, **** 800,000 780,000 ------------ 14,982,850 ------------ HOME BUILDERS--0.4% KB Home 9.500% 02/15/11 ** 1,000,000 996,250 ------------ INDUSTRIAL - OTHER--2.0% Actuant Corp. 13.000% 05/01/09 **, **** 2,500,000 2,637,500 Amerigas Partners LP Eagle Finance Corp. 8.875% 05/20/11 *, ** 1,000,000 1,035,000 Grove Worldwide LLC 9.250% 05/01/08 **, + 5,000,000 225,000 International Utility Structures 10.750% 02/01/08 ** 1,020,500 464,327 ------------ 4,361,827 ------------ INTERNET SERVICE PROVIDER/DATA--0.1% Exodus Communications 11.625% 07/15/10 **, + 1,500,000 333,750 ------------
SEE NOTES TO FINANCIAL STATEMENTS. 3
PRINCIPAL AMOUNT VALUE -------------- ------------ LEISURE--2.9% AMC Entertainment, Inc. 9.500% 03/15/09 ** $ 6,000,000 $ 5,490,000 Booth Creek Ski Holdings, Inc., Series B 12.500% 03/15/07 ** 1,000,000 765,000 ------------ 6,255,000 ------------ LODGING--1.9% Extended Stay America, Inc. 9.150% 03/15/08 ** 4,000,000 3,800,000 HMH Properties, Inc., Series A 7.875% 08/01/05 **, **** 500,000 450,000 ------------ 4,250,000 ------------ METALS & MINING--2.5% Great Lakes Carbon Corp., Series B 10.250% 05/15/08 ** 4,630,000 2,685,400 Kaiser Aluminum & Chemical Corp. 12.750% 02/01/03 **, **** 4,100,000 1,988,500 LTV Corp. 11.750% 11/15/09 **, ****, + 3,000,000 45,000 Ormet Corp. 11.000% 08/15/08 *, ** 785,000 499,456 Renco Steel Holdings, Inc., Series B 10.875% 02/01/05 ** 3,000,000 285,000 ------------ 5,503,356 ------------ OIL EQUIPMENT--5.6% Grey Wolf, Inc. 8.875% 07/01/07 ** 2,300,000 2,231,000 Grey Wolf, Inc., Series C 8.875% 07/01/07 **, **** 1,000,000 970,000 Mission Resources Corp. 10.875% 04/01/07 *, ** 500,000 467,500 R&B Falcon Corp. 9.500% 12/15/08 **** 5,000,000 5,912,500 Trico Marine Services, Inc., Series G 8.500% 08/01/05 **, **** 3,000,000 2,782,500 ------------ 12,363,500 ------------ PAPER & FOREST PRODUCTS--3.8% Albecca, Inc. 10.750% 08/15/08 ** 3,000,000 2,985,000 Four M Corp., Series B 12.000% 06/01/06 ** 1,250,000 1,081,250 Potlatch Corp. 10.000% 07/15/11 *, ** 1,000,000 1,035,000 Riverwood International Corp. 10.875% 04/01/08 **, **** 3,300,000 3,201,000 ------------ 8,302,250 ------------ PHARMACEUTICALS--1.9% King Pharmaceuticals, Inc. 10.750% 02/15/09 ** 3,667,000 4,079,538 ------------ PUBLISHING--4.6% Liberty Group Operating, Inc. 9.375% 02/01/08 ** 3,106,500 2,034,758 Liberty Group Publishing, Inc. 11.625% 02/01/09 **, *** 3,000,000 1,455,000 Phoenix Color Corp. 10.375% 02/01/09 ** 3,450,000 2,501,250 Regional Independent Media 10.500% 07/01/08 ** 4,000,000 4,020,000 ------------ 10,011,008 ------------ RESTAURANTS--2.1% Advantica Restaurant Group, Inc. 11.250% 01/15/08 ** $ 3,100,000 $ 1,937,500 American Restaurant Group, Inc., Series B 11.500% 02/15/03 ** 1,250,000 1,193,750 CKE Restaurants, Inc. 9.125% 05/01/09 ** 500,000 407,500 New World Coffee - Manhattan Bagel, Inc. 14.000% **, *** 06/15/03 600,000 576,750 Romacorp Inc. 12.000% 07/01/06 ** 870,000 517,650 ------------ 4,633,150 ------------ RETAIL - FOOD AND DRUG--0.2% Stater Brothers Holdings 10.750% 08/15/06 **, **** 500,000 510,000 ------------ RETAIL STORES--4.4% Advance Holding Corp. 12.875% 04/15/09 **,*** 500,000 392,500 Big 5 Corp., Series B 10.875% 11/15/07 ** 3,500,000 3,377,500 J. Crew Operating Corp. 10.375% 10/15/07 ** 3,500,000 2,817,500 Michaels Stores, Inc. 9.250% 07/01/09 ** 900,000 931,500 Office Depot Inc. 10.000% 07/15/08 * 1,000,000 1,070,000 Pep Boys - Manny, Moe & Jack, Series MTNB 6.920% 07/07/06 1,150,000 1,027,054 ------------ 9,616,054 ------------ SATELLITE--4.2% Echostar DBS Corp. 9.375% 02/01/09 **, **** 4,050,000 4,151,250 Pegasus Communications Corp. Series B 9.625% 10/15/05 **, **** 4,000,000 3,420,000 Pegasus Communications Corp. Series B 9.750% 12/01/06 **, **** 2,000,000 1,710,000 ------------ 9,281,250 ------------ SECONDARY OIL & GAS PRODUCERS--7.6% Abraxas Petroleum Corp., Series A 11.500% 11/01/04 ** 1,995,000 1,486,275 Baytex Energy, Ltd. 10.500% 02/15/11 ** 1,000,000 955,000 Chesapeake Energy Corp. 8.125% 04/01/11 ** 2,500,000 2,450,000 Continental Global Group, Inc., Series B 11.000% 04/01/07 ** 2,000,000 890,000 Contour Energy Co. 14.000% 04/15/03 700,000 731,500 Denbury Management, Inc. 9.000% 03/01/08 ** 1,250,000 1,168,750 Mariner Energy, Inc., Series B 10.500% 08/01/06 ** 4,000,000 3,580,000 Southwest Royalties, Inc., Series B 10.500% 10/15/04 ** 1,955,000 1,642,200 Swift Energy Co. 10.250% 08/01/09 ** 2,000,000 2,040,000 Wiser Oil Co. 9.500% 05/15/07 ** 2,097,000 1,677,600 ------------ 16,621,325 ------------
SEE NOTES TO FINANCIAL STATEMENTS. 4
PRINCIPAL AMOUNT VALUE -------------- ------------ SERVICES - OTHER--11.0% APCOA, Inc. 9.250% 03/15/08 ** $ 700,000 $ 350,000 Coinstar, Inc. 13.000% 10/01/06 ** 950,000 945,250 Crown Castle International Corp. 0.000% 05/15/11 **, *** 5,750,000 3,421,250 Crown Castle International Corp. 9.500% 08/01/11 ** 1,500,000 1,316,250 Great Lakes Dredge & Dock 11.250% 08/15/08 ** 2,500,000 2,537,500 Iron Mountain, Inc. 8.625% 04/01/13 **, **** 800,000 840,000 La Petite Academy, Inc., Series B 10.000% 05/15/08 ** 1,000,000 540,000 Neff Corp 10.250% 06/01/08 ** 2,500,000 1,262,500 Rent-A-Center, Inc. 11.000% 08/15/08 ** 5,250,000 5,125,313 Salton, Inc. 12.250% 04/15/08 **, **** 1,200,000 1,023,000 Volume Services America, Inc. 11.250% 03/01/09 **, **** 2,000,000 1,930,000 Wesco Distribution, Inc. 9.125% 06/01/08 *, ** 500,000 422,500 Worldwide Flight Services, Series B 12.250% 08/15/07 ** 4,000,000 4,380,000 ------------ 24,093,563 ------------ TECHNOLOGY--1.4% Fairchild Corp. 10.750% 04/15/09 **, **** 7,000,000 2,240,000 SCG Holding Corp. Semiconductor Components Industries LLC 12.000% 08/01/09 **, + 2,575,000 914,125 ------------ 3,154,125 ------------ TEXTILE/APPAREL/SHOE MANUFACTURING--1.5% BGF Industries, Inc., Series B 10.250% 01/15/09 ** 4,000,000 2,620,000 Galey & Lord, Inc. 9.125% 03/01/08 **, **** 1,500,000 262,500 Polymer Group Holdings, Series B 9.000% 07/01/07 **, **** 1,000,000 385,000 ------------ 3,267,500 ------------ TRANSPORTATION - OTHER--1.0% North American Van Lines, Inc. 13.375% 12/01/09 *, ** 2,500,000 2,237,500 ------------ UTILITIES--0.5% CMS Energy Corp. 8.900% 07/15/08 **** 1,000,000 1,033,919 ------------ WIRELESS--10.0% American Cellular Corp. 9.500% 10/15/09 ** 1,500,000 1,515,000 Dobson Sygnet Communications Co. 12.250% 12/15/08 **, **** 4,000,000 4,380,000 Dolphin Telecom PLC 0.000% 06/01/08 **, ***, + 2,100,000 31,500 Dolphin Telecom PLC, Series B 0.000% 05/15/09 **, ***, + 4,844,000 72,660 Nextel Communications, Inc. 9.500% 02/01/11 ** 1,050,000 724,500 Nextel Partners, Inc. 14.000% 02/01/09 **, *** 900,000 501,750 Polska Telefonica Cyfrowa International Finance II SA 11.250% 12/01/09 ** $ 4,250,000 $ 4,101,250 TeleCorp PCS, Inc. 11.625% 04/15/09 **, ***, **** 5,500,000 4,853,750 Tritel PCS, Inc. 10.375% 01/15/11 ** 750,000 864,375 Triton PCS Holdings, Inc. 11.000% 05/01/08 **, ***, **** 5,400,000 4,941,000 ------------ 21,985,785 ------------ TOTAL BONDS (COST $399,558,675) 305,146,932 ------------ SHARES -------------- WARRANTS--0.2% BROADBAND--0.1% GT Group Telecom, Inc. (expires 02/01/10) *, ++ 6,750 81,000 Ono Finance PLC (expires 05/31/09)++ 5,980 173,420 Versatel Telecom International NV (expires 05/15/08) *, ++ 3,000 1,500 ------------ 255,920 ------------ FINANCE - OTHER--0.1% Asat Finance LLC (expires 11/01/06) *, ++ 5,000 250,000 ------------ GAMING--0.0% Windsor Woodmont (expires 03/01/10)++ 106 543 ------------ SATELLITE--0.0% XM Satellite Radio, Inc. (expires 03/15/10)++ 5,000 1,250 ------------ SERVICES - OTHER--0.0% Worldwide Flight Services (expires 08/15/07) *, ++ 4,000 0 ------------ TOTAL WARRANTS (COST $879,816) 507,713 ------------ PREFERRED STOCKS--2.1% BROADCAST/OUTDOOR--1.8% Paxson Communications Corp. ** 4,152 3,954,631 ------------ TECHNOLOGY--0.3% Viasystems Group, Inc. 243,795 731,385 ------------ TOTAL PREFERRED STOCKS (COST $7,563,947) 4,686,016 ------------ TOTAL INVESTMENT--141.4% (COST $408,002,438) 310,340,661 LIABILITIES IN EXCESS OF CASH AND OTHER ASSETS--(41.4%) (90,900,371) ------------ NET ASSETS--100.0% $219,440,290 ============
SEE NOTES TO FINANCIAL STATEMENTS. 5 NOTES: * Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At October 31, 2001, the value of these securities amounted to $22,918,883, or 10.4% of net assets. ** Security may have an effective maturity date less than the stated maturity date due to a call feature. *** Step Bond--Coupon rate is low or zero for an initial period and then increases to a higher coupon rate thereafter. **** Security or a portion thereof is out on loan. + Defaulted Security. ++ Non income producing. SEE NOTES TO FINANCIAL STATEMENTS. 6 CREDIT SUISSE HIGH YIELD BOND FUND--STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2001 ASSETS: Investments in securities at value(1) (Cost $408,002,438) $ 310,340,661 Collateral received for securities loaned 69,932,760 Cash 723,253 Dividends and interest receivable 9,891,827 Receivable for investments sold 626,089 Prepaid expenses and other assets 66,012 --------------- Total Assets 391,580,602 --------------- LIABILITIES: Loan payable 101,500,000 Payable upon return of securities loaned 69,932,760 Interest payable 309,847 Investment Advisory fees 269,818 Administrative fees 11,275 Trustees fees 12,575 Other Accrued expenses 104,037 --------------- Total Liabilities 172,140,312 =============== NET ASSETS Applicable to 48,862,873 shares outstanding $ 219,440,290 =============== NET ASSETS CONSIST OF: Capital stock, $0.001 par value $ 48,863 Paid-in capital 467,927,929 Distribution in excess of net investment income (175,630) Accumulated net realized loss on investments (150,699,095) Net unrealized depreciation on investments (97,661,777) --------------- $ 219,440,290 =============== NET ASSET VALUE PER SHARE ($219,440,290 DIVIDED BY 48,862,873) $4.49 =====
(1) Including $65,937,588 of securities on loan. SEE NOTES TO FINANCIAL STATEMENTS. 7 CREDIT SUISSE HIGH YIELD BOND FUND--STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2001 INVESTMENT INCOME: Interest $ 48,786,739 Dividends 792,196 Securities lending 508,662 ------------- Total investment income 50,087,597 ============= EXPENSES: Investment advisory fees (Note 2) 3,753,858 Administrative fees (Note 2) 106,594 Interest and leveraging fees (Note 5) 6,557,720 Printing fees 175,017 Legal fees 139,798 Trustees fees (Note 2) 60,563 Transfer agent fees 46,997 Registration fees 46,870 Custodian fees 37,728 Audit fees 26,550 Amortization of organization costs 25,751 Insurance expense 4,741 Miscellaneous expense 28,892 ------------- Total expenses 11,011,079 ------------- NET INVESTMENT INCOME 39,076,518 ------------- REALIZED AND UNREALIZED LOSS ON INVESTMENTS: Net realized loss on investments (67,076,973) Net change in unrealized depreciation on investments (9,968,630) ------------- Net realized and unrealized loss on investments (77,045,603) ------------- NET DECREASE IN NET ASSETS FROM OPERATIONS $ (37,969,085) =============
SEE NOTES TO FINANCIAL STATEMENTS. 8 CREDIT SUISSE HIGH YIELD BOND FUND--STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED YEAR ENDED 10/31/2001 10/31/2000 -------------- -------------- OPERATIONS: Net investment income $ 39,076,518 $ 43,598,063 Net realized loss on investments (67,076,973) (36,685,309) Net change in unrealized depreciation on investments (9,968,630) (45,349,903) -------------- -------------- Net decrease in net assets from operations (37,969,085) (38,437,149) -------------- -------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: From net investment income (40,744,208) (44,687,290) Return of capital (1,060,861) -- -------------- -------------- Net decrease in net assets from dividends and distributions (41,805,069) (44,687,290) -------------- -------------- CAPITAL SHARE TRANSACTIONS: Reinvestment of dividends 12,376,870 11,282,681 -------------- -------------- Net increase in net assets from capital share transactions 12,376,870 11,282,681 -------------- -------------- Total decrease in net assets (67,397,284) (71,841,758) -------------- -------------- NET ASSETS: Beginning of year 286,837,574 358,679,332 -------------- -------------- End of year $ 219,440,290 $ 286,837,574 ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 9 CREDIT SUISSE HIGH YIELD BOND FUND--STATEMENT OF CASH FLOWS FOR THE YEAR ENDED OCTOBER 31, 2001 CASH FLOWS FROM OPERATING ACTIVITIES: Interest and dividends received $ 43,563,537 Operating expenses paid (11,627,233) -------------- Net cash provided by operating activities $ 31,936,304 CASH FLOWS FROM INVESTING ACTIVITIES: Purchases of short-term securities, net (68,127,719) Purchases of long-term securities (99,902,529) Proceeds from sales of long-term securities 124,921,327 -------------- Net cash used for investing activities (43,108,921) CASH FLOWS FROM FINANCING ACTIVITIES: Cash dividends paid (29,428,199) Proceeds from borrowings 3,000,000 Repayments of borrowings (32,000,000) Collateral received from securities lending, net 69,932,760 -------------- Net cash provided by financing activities 11,504,561 -------------- Net increase in cash 331,944 Cash--beginning of year 391,309 -------------- Cash--end of year $ 723,253 ============== RECONCILIATION OF NET INCREASE IN NET ASSETS FROM OPERATIONS TO NET CASH PROVIDED BY OPERATING ACTIVITIES: Net decrease in net assets resulting from operations $ (37,969,085) ADJUSTMENTS TO RECONCILE NET INCREASE IN NET ASSETS FROM OPERATIONS TO NET CASH PROVIDED BY OPERATING ACTIVITIES: Decrease in dividends and interest receivable $ 3,137,891 Decrease in accrued expenses (20,963) Decrease in interest payable (507,028) Decrease in other assets 9,067 Decrease in advisory fees payable (97,230) Net realized loss on investments 67,076,973 Net change in unrealized depreciation on investments 9,968,630 Net amortization of discount on investments (9,661,951) -------------- Total adjustments 69,905,389 -------------- Net cash provided by operating activities $ 31,936,304 ==============
SEE NOTES TO FINANCIAL STATEMENTS. 10 CREDIT SUISSE HIGH YIELD BOND FUND--FINANCIAL HIGHLIGHTS The table below sets forth financial data for a share of beneficial interest outstanding throughout the periods presented. This information has been derived from the Fund's financial statements.
YEAR ENDED ------------------------------------------------------ PERIOD ENDED 10/31/2001 10/31/2000 10/31/1999 10/31/1998* ---------- ---------- ---------- ----------- Net asset value, beginning of period $ 6.16 $ 7.98 $ 8.36 $ 10.00 -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS: Net investment income 0.84 0.96++ 0.98 0.24 Net realized and unrealized (loss) on investments (1.63) (1.80) (0.38) (1.62) -------- -------- -------- -------- Total from investment operations (0.79) (0.84) 0.60 (1.38) -------- -------- -------- -------- LESS DISTRIBUTIONS: From net investment income (0.86) (0.98) (0.98) (0.24) Return of capital (0.02) -- -- -- -------- -------- -------- -------- Total dividends and distributions to shareholders (0.88) (0.98) (0.98) (0.24) Offering costs charged to paid-in capital -- -- 0.00+ (0.02) -------- -------- -------- -------- Net asset value, end of period $ 4.49 $ 6.16 $ 7.98 $ 8.36 ======== ======== ======== ======== Market value, end of period $ 5.07 $ 6.19 $ 8.06 $ 9.56 ======== ======== ======== ======== Total return (market value) *** (3.21)% (12.15)% (5.71)% (1.74)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (000) $219,440 $286,838 $358,679 $359,956 Average debt per share $ 2.49 $ 3.47 $ 3.18 $ 1.02 Ratio of operating expenses to average net assets 4.29% 4.81% 3.62% 1.81% ** Ratio of operating expense to average net assets, excluding interest and leveraging expenses 1.73% 1.61% 1.53% 1.16% ** Ratio of net investment income to average net assets 15.22% 12.90% 11.24% 10.48% ** Portfolio turnover rate 46.11% 31.29% 60.23% 15.26%
* The Fund commenced operations on July 28, 1998. ** Annualized. *** Total return (market value) is based on the change in market price of a share during the period and assumes reinvestment of dividends and distributions at actual prices pursuant to the Fund's Dividend Reinvestment Plan. Total return for periods of less than one year are not annualized. Total return based on net asset value may result in substantially different returns. + Amount rounds to less than $0.01. ++ Based on average shares outstanding. SEE NOTES TO FINANCIAL STATEMENTS. 11 CREDIT SUISSE HIGH YIELD BOND FUND--NOTES TO FINANCIAL STATEMENTS OCTOBER 31, 2001 1. SIGNIFICANT ACCOUNTING POLICIES Credit Suisse High Yield Bond Fund (formerly, DLJ High Yield Bond Fund) is a business trust organized under the laws of the State of Delaware on April 30, 1998. The Fund is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act"), as a non- diversified, closed-end management investment company. The Fund's shares trade on the New York Stock Exchange under the ticker symbol DHY. Prior to the commencement of operations on July 28, 1998, the Fund had no operations other than those relating to organizational matters and the sale of 10,000 shares of beneficial interest on July 2, 1998 to DLJ Investment Management Corp. ("DLJIM") for $100,000. The Fund's primary objective is to seek high current income. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. PORTFOLIO VALUATION: Fixed-income securities (other than short-term obligations, but including listed issues) are valued based on prices obtained by broker quotations or by one or more independent pricing services approved by the Board of Trustees. Pricing services use a matrix, formula or other objective method that takes into consideration market indices, matrices, yield curves and other specific adjustments. Securities (other than fixed-income securities) for which the principal market is one or more securities exchanges are valued at the last reported sale price (or if there has been no current sale, at the closing bid price) on the primary exchange on which such securities are traded. If a securities exchange is not the principal market for a security, such security will, if market quotations are readily available, be valued at the closing bid price in the over-the-counter market (or the last sale price in the case of securities reported on the NASDAQ national market system for which any sales occurred during the day). Portfolio securities for which there are no such valuations are valued at fair value as determined in good faith by or at the direction of the Board of Trustees. Short-term obligations with maturities of less than 60 days are valued at amortized cost, which approximates market value. SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including, where applicable, accretion of discount on investments is recorded on the accrual basis. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: The Fund declares and pays dividends on a monthly basis. Each dividend is recorded on the ex-dividend date. Capital gains, if any, net of capital losses, are distributed annually. Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Fund, timing differences and differing characterization of distributions made by the Fund. The Fund's dividend policy is to distribute substantially all of its net investment income to its shareholders on a monthly basis. However, in order to provide shareholders with a more consistent yield to the current trading price of shares of Common Stock of the Fund, the Fund may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the dividends paid by the Fund for any particular month may be more or less than the amount of net investment income earned by the Fund during such month. At October 31, 2001, capital contributions, accumulated undistributed net investment income (loss) and accumulated net realized gain (loss) from investments have been adjusted for current period 12 permanent book/tax treatments of return of capital distributions and securities in default. The Fund reclassified ($1,586,674) from accumulated undistributed net investment income (loss) to accumulated net realized gain (loss) from investments. The Fund reclassified ($1,060,861) from accumulated undistributed net investment income (loss) to net capital contributed. FEDERAL INCOME TAXES: It is the Fund's policy to comply with the requirements of the Internal Revenue Service applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Accordingly, no provisions for federal income or excise taxes have been made in the accompanying financial statements. CASH FLOW INFORMATION: Cash, as used in the Statement of Cash Flows, is the amount reported in the Statement of Assets and Liabilities. The Fund invests in securities and distributes dividends from net investment income and net realized gains, if any, (which are either paid in cash or reinvested at the discretion of shareholders). These activities are reported in the Statement of Changes in Net Assets. Information on cash payments is presented in the Statement of Cash Flows. Accounting practices that do not affect reporting activities on a cash basis include unrealized gain or loss on investment securities and accretion income recognized on investment securities. USE OF ESTIMATES: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. Certain reclassifications have been made to prior year's amounts to conform to the current year presentation. 2. INVESTMENT ADVISORY FEE, ADMINISTRATION FEE AND OTHER RELATED PARTY TRANSACTIONS Effective January 1, 2000, DLJIM merged into DLJ Asset Management Group ("DLJAM"), a wholly owned subsidiary of Donaldson, Lufkin & Jenrette Securities Corporation ("DLJSC"), a wholly owned subsidiary of Donaldson Lufkin & Jenrette, Inc. ("DLJ"). On November 3, 2000, DLJ was acquired (the "Acquisition") by Credit Suisse Group ("Credit Suisse"). Credit Suisse combined the investment advisory business of DLJAM with its existing US asset management business, Credit Suisse Asset Management, LLC ("CSAM"). Pursuant to the Investment Company Act of 1940, the Fund's advisory contract with DLJAM terminated upon the consummation of the Acquisition. In anticipation of this termination, at a meeting held on October 26, 2000, the Board of Trustees of the Fund approved an interim investment advisory agreement (the "Interim Advisory Agreement") on behalf of the Fund, and on December 18, 2000 and March 23, 2001, the Board of Trustees of the Fund and the Fund's shareholders, respectively, approved a new investment advisory agreement (the "New Advisory Agreement"), in each case pursuant to which CSAM was appointed to act as investment advisor (the "Advisor"). The New Advisory Agreement, like the previous advisory agreement with DLJAM and the Interim Advisory Agreement, provides for a fee at the annual rate of 1% of the average weekly value of the Fund's total assets minus the sum of accrued liabilities (other than aggregate indebtedness constituting leverage). The Interim Advisory Agreement terminated upon the approval by the shareholders of the New Advisory Agreement, while the New Advisory Agreement has an initial two year term and thereafter continues automatically for successive annual periods, subject to approval by the Board of Trustees or the shareholders in the manner required by the 1940 Act. Under the New Advisory Agreement with the Fund, the Advisor provides investment 13 advisory services and order placement facilities for the Fund and pays all compensation of Trustees of the Fund who are affiliated persons of the Advisor. The Fund has also entered into an Accounting, Administration and Support Agreement with PFPC Inc., to provide all accounting and administrative services to the Fund other than those related to investment decisions. For these accounting services, the Fund will pay PFPC, Inc. a fee at the annual rate of $33,000 per year plus .01% of average daily net assets up to and including $1 billion, and .0075% of average daily net assets over $1 billion. For these administration services, the Fund will pay PFPC Inc. a fee at the annual rate of $50,000 per year. PFPC Inc. also serves as the Fund's shareholder servicing agent (transfer agent) at an annual rate of $30,000 per year plus any additional out of pocket expenses. Prior to June 1, 2001, the Fund paid each Trustee not affiliated with CSAM $1,500 per regular quarterly board meeting attended, $500 per special board meeting attended, $250 per audit committee meeting attended and an annual retainer fee of $500. Effective June 1, 2001, the Fund pays each Trustee not affiliated with CSAM $1,000 per regular quarterly board meeting attended, and an annual retainer of $12,500. In addition, the Fund reimburses each Trustee for travel and out-of-pocket expenses relating to their attendance at such meetings. 3. INVESTMENTS For federal income tax purposes, the cost of securities owned at October 31, 2001, was substantially the same as the cost of securities for financial statement purposes. At October 31, 2001, the aggregate gross unrealized appreciation amounted to $9,359,884, and the aggregate gross unrealized depreciation amounted to $107,021,661, resulting in net unrealized depreciation of $97,661,777. Cost of purchases and proceeds from sales of investment securities, excluding short-term investments, during the year ended October 31, 2001, amounted to $99,902,529 and $124,921,327, respectively. 4. FUND SHARES The Fund has one class of shares of beneficial interest, par value $0.001 per share; 200,000,000 shares are authorized. Transactions in shares of beneficial interest were as follows:
FOR THE YEAR ENDED FOR THE YEAR ENDED OCTOBER 31, 2001 OCTOBER 31, 2000 ------------------ ------------------ Shares issued through reinvestment of dividends 2,325,658 1,584,108 ========= =========
5. NOTES PAYABLE Effective July 19, 2001, the Fund has a $150 million ("commitment amount") line of credit provided by Citibank North America, Inc., under a Revolving Credit and Security Agreement (the "Agreement") dated July 31, 1998, primarily to leverage its investment portfolio. Prior to July 19, 2001, the commitment amount was $200 million. Under this Agreement the Fund may borrow up to the lesser of $150 million or 33 1/3% of its gross assets. Interest is payable at the Bank's Base Rate plus a commission of 0.05%. The Fund is charged a structuring fee of $19,000 per quarter, a program fee of 0.20% of the average daily amount leveraged, an administration fee of 0.02% of the average daily amount leveraged and a liquidity fee of 0.13% of the maximum borrowing limit (currently $150 million). The Agreement requires, among other provisions, that the percentage obtained by dividing total indebtedness for money borrowed by total assets of the Fund shall not exceed 33 1/3%. 14 The average daily amount of borrowings during the year ended October 31, 2001 was $118,453,288, with a weighted average annualized interest rate of 5.23%. 6. CONCENTRATION OF RISK The Fund invests in securities offering high current income, which generally will be in the lower rating categories of recognized ratings agencies (commonly known as "junk bonds"). These securities generally involve more credit risk than securities in the higher rating categories. In addition, the trading market for high yield securities may be relatively less liquid than the market for higher-rated securities. The Fund's use of leverage also increases exposure to capital risk. 7. CAPITAL LOSS CARRYFORWARD At October 31, 2001, the Fund had available for Federal tax purposes an unused capital loss carryforward of $150,664,068, of which $13,855,150 expires in 2006, $30,606,551 expires in 2007, $37,573,747 expires in 2008 and $68,628,620 expires in 2009. Capital loss carryforwards are available to offset future realized capital gains. To the extent that these carrryforwards are used to offset future capital gains, it is probable that the amount which is offset will not be distributed to shareholders. 8. SECURITIES LENDING The Fund loaned securities during the year to certain brokers, with the Fund's custodian acting as lending agent. Upon such loans, the Fund receives collateral which is maintained by the custodian and earns income, in the form of negotiated lender's fees. On a daily basis, the Fund monitors the market value of securities loaned and maintains collateral against the securities loaned in an amount not less than the value of the securities loaned. The Fund may receive collateral in the form of cash or other eligible securities. Risks may arise upon entering into securities lending to the extent that the value of the collaterial is less than the value of the securities loaned due to changes in the value of collateral or the loaned securities. Cash collateral received by the Fund in connection with securities lending activity is invested as follows:
REPURCHASE AGREEMENTS: VALUE ---------------------- ----- Bear Stearns & Co., 2.5800%, Dated 10/31/01, due 11/1/01, proceeds at maturity $408,905 (fully collateralized by U.S. Treasury Strip, due 2/15/12) $ 408,905 Bear Stearns & Co., 1.9687%, Dated 10/31/01, due 11/1/01, proceeds at maturity $4,904,210 (fully collateralized by U.S. Treasury Strip, due 2/15/10) 4,904,210 Bear Stearns & Co., 2.5800%, Dated 10/31/01, due 11/1/01, proceeds at maturity $315,205 (fully collateralized by U.S. Treasury Strip, due 2/15/10) 315,205 Bear Stearns & Co., 2.7500%, Dated 10/31/01, due 11/1/01, proceeds at maturity $34,304,440 (fully collateralized by U.S. Treasury Strips, due 2/15/10 - 05/15/18) 34,304,440 SHORT TERM INVESTMENT FUNDS: ---------------------------- Dreyfus Cash Management, Class A, Institutional shares 15,000,000 Dreyfus Cash Management Plus, Inc., Institutional shares 15,000,000 ----------- TOTAL $69,932,760 ===========
In the event of default or bankruptcy by the other party to the repurchase agreements, realization and/or retention of the collateral may be subject to legal proceedings. 15 CREDIT SUISSE HIGH YIELD BOND FUND--REPORT OF INDEPENDENT ACCOUNTANTS To the Board of Trustees and Shareholders of Credit Suisse High Yield Bond Fund In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations, of changes in net assets and of cash flows and the financial highlights present fairly, in all material respects, the financial position of Credit Suisse High Yield Bond Fund (formerly known as DLJ High Yield Bond Fund) (the "Fund") at October 31, 2001, the results of its operations, the changes in its net assets, cash flows and financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at October 31, 2001 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion. The statement of changes in net assets and financial highlights for each of the periods presented in the period ended October 31, 2000 were audited by other independent accountants, whose report dated December 20, 2000 expressed an unqualified opinion on those statements. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 20, 2001 16 CREDIT SUISSE HIGH YIELD BOND FUND--ADDITIONAL INFORMATION (UNAUDITED) DIVIDEND REINVESTMENT PLAN Referenced below are policies related to the Fund's Automatic Dividend Reinvestment Plan (the "Plan"). These policies apply to shareholders whose shares are registered directly with the Fund in their own name. Shareholders whose shares are purchased through a broker-dealer or nominee should contact such broker-dealer or nominee regarding questions related to the reinvestment of the Fund's dividends. Pursuant to the Fund's Plan, unless a shareholder otherwise elects, all dividends and capital gain distributions will be automatically reinvested by PFPC Inc. as agent for Shareholders in administering the Plan (the "Plan Agent"), in additional shares of the Fund. Shareholders who elect not to participate in the Plan will receive all dividends and other distributions in cash paid by check mailed directly to the shareholder of record (or, if the shares are held in street or other nominee name, then to such nominee) by PFPC Inc. as the Dividend Disbursing Agent. Such participants may elect not to participate in the Plan and to receive all dividends and capital gain distributions in cash by sending written instructions to PFPC Inc. as the Dividend Disbursing Agent, at the address set forth below. Participation in the Plan is completely voluntary and may be terminated or resumed at any time without penalty by written notice if received by the Plan Agent not less than ten days prior to any dividend record date; otherwise such termination will be effective with respect to any subsequently declared dividend or other distribution. Whenever the Fund declares an income dividend or a capital gain distribution (collectively referred to as "dividends") payable either in shares or in cash, non-participants in the Plan will receive cash and participants in the Plan will receive the equivalent in shares. The shares will be acquired by the Plan Agent for the participants' accounts, depending upon the circumstances described below, either (i) through receipt of additional unissued but authorized shares from the Fund ("newly issued shares") or (ii) by purchase of outstanding shares on the open market ("open-market purchases") on the NYSE or elsewhere. If on the record date for the dividend, the net asset value per share is equal to or less than the market price per share plus estimated brokerage commissions (such condition being referred to herein as "market premium"), the Plan Agent will invest the dividend amount in newly issued shares on behalf of the participants. The number of newly issued shares to be credited to each participant's account will be determined by dividing the dollar amount of the dividend by the net asset value per share on the date the shares are issued. If on the dividend record date the net asset value per share is greater than the market value (such condition being referred to herein as "market-discount"), the Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. In the event of a market discount on the dividend record date, the Plan Agent will have until the last business day before the next date on which the shares trade on an "ex-dividend" basis or in no event more than 30 days after the dividend record date (the "last purchase date") to invest the dividend amount in shares acquired in open-market purchases. It is contemplated that the Fund will pay monthly income dividends. Therefore, the period during which open-market purchases can be made will exist only from the record date of the dividend through the date before the next "ex-dividend" date. If, before the Plan Agent has completed its open-market purchases, the market price of a share exceeds the net asset value per share, the average per share purchase price paid by the Plan Agent may exceed the net asset value of the shares, resulting in the acquisition of fewer shares than if the dividend had been paid in newly issued shares on the dividend record date. Because of the foregoing difficulty with respect to open market purchases, the Plan provides that if the Plan Agent in unable to invest the full dividend amount in open market purchases during the purchase period or if the market discount shifts to a market premium during the purchase period, the Plan Agent may cease making open-market purchases and may invest the uninvested portion of the dividend amount in newly issued shares at the net asset 17 value per share at the close of business on the last purchase date. The Plan Agent maintains all shareholders' accounts in the Plan and furnishes written confirmation of all transactions in the accounts, including information needed by shareholders for tax records. Shares in the account of each Plan participant will be held by the Plan Agent on behalf of the Plan participant, and each shareholder proxy will include those shares purchased or received pursuant to the Plan. The Plan Agent will forward all proxy solicitation materials to participants and vote proxies for shares held pursuant to the Plan in accordance with the instructions of the participants. In the case of shareholders such as banks, brokers or nominees that hold shares for others who are the beneficial owners, the Plan Agent will administer the Plan on the basis of the number of shares certified from time to time by the record shareholder and held for the account of beneficial owners who participate in the Plan. There will be no brokerage charges with respect to shares issued directly by the Fund as a result of dividends or capital gains distributions payable either in shares or in cash. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Plan Agent's open- market purchases in connection with the reinvestment of dividends. The automatic reinvestment of dividends will not relieve participants of any Federal, state or local income tax that may be payable (or required to be withheld) on such dividends. Shareholders participating in the Plan may receive benefits not available to shareholders not participating in the Plan. If the market price (plus commissions) of the shares is above their net asset value, participants in the Plan will receive shares of the Fund at less than they could otherwise purchase them and will have shares with a cash value greater than the value of any cash distribution they would have received on their shares. If the market price plus commissions is below the net asset value, participants will receive distributions in shares with a net asset value greater than the value of any cash distribution they would have received on their shares. However, there may be insufficient shares available in the market to make distributions in shares at prices below the net asset value. Also, since the Fund does not redeem shares, the price on resale may be more or less than the net asset value. Experience under the Plan may indicate that changes are desirable. Accordingly, the Fund reserves the right to amend or terminate the Plan. There is no direct service charge to participants in the Plan; however, the Fund reserves the right to amend the Plan to include a service charge payable by the participants. All correspondence concerning the Plan should be directed to the Plan Agent at P.O. Box 8030, Boston, MA 02266-8030, 1-800-331-1710. LEVERAGE--BENEFITS AND RISKS The use of leverage by the Fund creates an opportunity for increased net income and capital appreciation for the Fund, but, at the same time, creates special risks, and there can be no assurance that a leveraging strategy will be successful during any period in which it is employed. The Fund intends to utilize leverage to provide the Shareholders with a potentially higher return. Leverage creates risks for Shareholders including the likelihood of greater volatility of net asset value and market price of the Fund's shares and the risk that fluctuations in interest rates on borrowings and short-term debt may affect the return to Shareholders. To the extent the income or capital appreciation derived from securities purchased with funds received from leverage exceeds the cost of leverage, the Fund's return will be greater than if leverage had not been used. Conversely, if the income or capital appreciation from the securities purchased with such funds is not sufficient to cover the cost of leverage, the return to the Fund will be less than if leverage had not been used, and therefore the amount available for distribution to Shareholders as dividends and other distributions will be reduced. In the latter case, the Advisor in its best judgment nevertheless may determine to maintain the Fund's leveraged 18 position if it deems such action to be appropriate under the circumstances. During periods in which the Fund is utilizing leverage, the Management Fee will be higher than if the Fund did not utilize a leveraged capital structure because the fee is calculated as a percentage of the Managed Assets including those purchased with leverage. Certain types of borrowings by the Fund may result in the Fund's being subject to covenants in credit agreements, including those relating to asset coverage and portfolio composition requirements. The Fund's lenders may establish guidelines for borrowing which may impose asset coverage or portfolio composition requirements that are more stringent than those imposed by the Investment Company Act. It is not anticipated that these covenants or guidelines will impede the Advisor in managing the Fund's portfolio in accordance with the Fund's investment objectives and policies. PROXY VOTING RESULTS A Special Meeting of the Fund's Shareholders was held on March 23, 2001, to approve, by separate vote of the shareholders of the Fund, a new investment advisory agreement as it relates to the Fund permitting Credit Suisse Asset Management, LLC to continue as investment advisor.
FOR AGAINST ABSTAIN --- ------- ------- 23,160,583 421,012 1,003,592
The Annual Meeting of the Fund's Shareholders was held on May 25, 2001 for the purpose of considering and acting upon the matters set forth in the Proxy Statement. Election of Trustees of the Fund:
FOR AGAINST --- ------- Class I: James S. Pasman, Jr. 45,423,334 581,474 Class II: Lawrence J. Fox 45,443,631 561,177 James P. McCaughan 44,896,008 1,008,724 Class III: Enrique R. Arzac 45,425,949 578,859
19 PRIVACY POLICY NOTICE (as of May 4, 2001) We are committed to maintaining the privacy of every current and prospective customer. We recognize that you entrust important personal information to us, and we wish to assure you that we take seriously our responsibilities in protecting and safeguarding this information. In connection with making available investment products and services to current and potential customers, we may obtain nonpublic personal information about you. This information may include your name, address, e-mail address, social security number, account number, assets, income, financial situation, transaction history and other personal information. We may collect nonpublic information about you from the following sources: - Information we receive on applications, forms, questionnaires, web sites, agreements or in the course of establishing or maintaining a customer relationship; and - Information about your transactions with our affiliates, others, or us. We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In cases where we believe that additional products and services may be of interest to you, we may share the information described above with our affiliates. We may also disclose this information to firms that perform services on our behalf. These agents and service providers are required to treat the information confidentially and use it only for the purpose for which it is provided. We restrict access to nonpublic personal information about you to those employees, agents or other parties who need to know that information to provide products or services to you or in connection with your investments with or through us. We maintain physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information. NOTE: THIS NOTICE IS PROVIDED TO CLIENTS AND PROSPECTIVE CLIENTS OF CREDIT SUISSE ASSET MANAGEMENT, LLC ("CSAM"), CSAM CAPITAL INC., AND CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., AND SHAREHOLDERS AND PROSPECTIVE SHAREHOLDERS IN CSAM SPONSORED AND ADVISED INVESTMENT COMPANIES, INCLUDING CREDIT SUISSE FUNDS, AND OTHER CONSUMERS AND CUSTOMERS, AS APPLICABLE. THIS NOTICE IS NOT INTENDED TO BE INCORPORATED IN ANY OFFERING MATERIALS BUT IS MERELY A STATEMENT OF OUR CURRENT PRIVACY POLICY, AND MAY BE AMENDED FROM TIME TO TIME UPON NOTICE TO YOU. 20 [This page intentionally left blank] [This page intentionally left blank] [This page intentionally left blank] CSHYF-2-1001