N-CSR 1 a2153184zn-csr.txt N-CSR UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act File No. 811-08917 ---------------------------------------------------- CREDIT SUISSE INSTITUTIONAL FIXED INCOME FUND, INC. ---------------------------------------------------- (Exact Name of Registrant as Specified in Charter) 466 Lexington Avenue, New York, New York 10017-3140 --------------------------------------------------- (Address of Principal Executive Offices) (Zip Code) J. Kevin Gao, Esq. Credit Suisse Institutional Fixed Income Fund, Inc. 466 Lexington Avenue New York, New York 10017-3140 Registrant's telephone number, including area code: (212) 875-3500 Date of fiscal year end: December 31 Date of reporting period: September 1, 2004 to December 31, 2004 ITEM 1. REPORTS TO STOCKHOLDERS. [CREDIT SUISSE ASSET MANAGEMENT LOGO] CREDIT SUISSE INSTITUTIONAL FUNDS ANNUAL REPORT DECEMBER 31, 2004 - CREDIT SUISSE INSTITUTIONAL FIXED INCOME FUND - CREDIT SUISSE GLOBAL HIGH YIELD FUND THE FUNDS' INVESTMENT OBJECTIVES, RISKS, CHARGES AND EXPENSES (WHICH SHOULD BE CONSIDERED CAREFULLY BEFORE INVESTING), AND MORE COMPLETE INFORMATION ABOUT THE FUNDS, ARE PROVIDED IN THE PROSPECTUS, WHICH SHOULD BE READ CAREFULLY BEFORE INVESTING. YOU MAY OBTAIN ADDITIONAL COPIES BY CALLING 800-222-8977 OR BY WRITING TO CREDIT SUISSE INSTITUTIONAL FUNDS, P.O. BOX 55030, BOSTON, MA 02205-5030. CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., DISTRIBUTOR, IS LOCATED AT 466 LEXINGTON AVE., NEW YORK, NY 10017-3140. CREDIT SUISSE INSTITUTIONAL FUNDS ARE ADVISED BY CREDIT SUISSE ASSET MANAGEMENT, LLC. THE VIEWS OF THE FUNDS' MANAGEMENT ARE AS OF THE DATE OF THE LETTERS AND THE FUND HOLDINGS DESCRIBED IN THIS DOCUMENT ARE AS OF DECEMBER 31, 2004; THESE VIEWS AND THE FUND HOLDINGS MAY HAVE CHANGED SUBSEQUENT TO THESE DATES. NOTHING IN THIS DOCUMENT IS A RECOMMENDATION TO PURCHASE OR SELL SECURITIES. FUND SHARES ARE NOT DEPOSITS OR OTHER OBLIGATIONS OF CREDIT SUISSE ASSET MANAGEMENT, LLC ("CSAM") OR ANY AFFILIATE, ARE NOT FDIC-INSURED AND ARE NOT GUARANTEED BY CSAM OR ANY AFFILIATE. FUND INVESTMENTS ARE SUBJECT TO INVESTMENT RISKS, INCLUDING LOSS OF YOUR INVESTMENT. CREDIT SUISSE INSTITUTIONAL FIXED INCOME FUND ANNUAL INVESTMENT ADVISER'S REPORT December 31, 2004 (unaudited) Dear Shareholder: PERFORMANCE SUMMARY* 9/1/04 - 12/31/04
FUND/BENCHMARKS PERFORMANCE Credit Suisse Institutional Fixed Income Fund1 2.26% Lehman Brothers US Aggregate Bond Index(2) 1.23%
MARKET OVERVIEW: A MEASURED RISING RATE ENVIRONMENT In our view, market conditions were generally positive for bonds during the final four months of the year. The Fed continued its well-telegraphed and "measured" pace of policy tightening through the fall, in spite of less than robust employment numbers and increasing inflation caused largely by the spike in oil prices. The Fed tightened a quarter point at each of its three consecutive meetings in this reporting period, resulting in a fed funds rate of 2.25% by year-end. This caused rates to back up significantly on the short end, but foreign central bank buying kept long-end yields down, contributing to a substantial flattening of the yield curve. In this low-rate environment for Treasuries, spread product in general outperformed, with credit leading the way, particularly lower quality paper. STRATEGIC REVIEW: SECTOR AND CURVE POSITIONING Several factors accounted for the Fund's outperformance of its benchmark: - An overweight to high yield paper, particularly in the cable, gaming and wireless sectors, helped fuel the Fund's returns. - In emerging markets we overweighted the debt of commodity-producing countries including Venezuela, Russia and Brazil, all of which benefited from increased raw materials prices. - In the credit universe, where we were overweight relative to the benchmark, lower quality and longer duration did best. - In mortgage-backed securities (MBS), our focus on security selection, identifying specific pools with more desirable pre-payment characteristics than the MBS market in aggregate, also boosted performance. ---------- * As a result of a recent change, the fiscal year of The Credit Suisse Institutional Fixed Income Fund, Inc. now ends on December 31. The Fund's previous fiscal year end-date was August 31. 1 - We maintained a barbell strategy through the final months of the year, underweighting shorter duration and overweighting intermediate duration securities. OUTLOOK: STABLE ENVIRONMENT GOING FORWARD We believe the Fed will likely continue its measured pace of policy tightening into 2005. Our barbell maturity structure anticipates a flattening in the yield curve as a result of Fed actions. In terms of high yield, we expect that corporate management will continue to focus on balance sheet repair and that the Fund could continue to benefit from the positive credit environment. In emerging markets, we are maintaining our overweight of the sovereign debt of oil-exporting countries as, in our view, current capacity constraints show little sign of abating. Longer term, we are monitoring the market for signs of weaker credit fundamentals and gradual spread-widening, and will make adjustments to the Fund accordingly. Credit Suisse Fixed Income Management Team Kevin D. Barry, CFA, Michael Buchanan, CFA, Jo Ann Corkran, Managing Director Managing Director Managing Director Suzanne E. Moran, David N. Fisher, CFA, Craig Ruch, CFA, Managing Director Director Director HIGH YIELD BONDS ARE LOWER-QUALITY BONDS THAT ARE ALSO KNOWN AS "JUNK BONDS." SUCH BONDS ENTAIL GREATER RISKS THAN THOSE FOUND IN HIGHER-RATED SECURITIES. CORPORATE, MORTGAGE-BACKED AND ASSET-BACKED SECURITIES GENERALLY ENTAIL GREATER RISKS THAN GOVERNMENT SECURITIES, INCLUDING GREATER CREDIT RISKS. IN ADDITION TO HISTORICAL INFORMATION, THIS REPORT CONTAINS FORWARD-LOOKING STATEMENTS, WHICH MAY CONCERN, AMONG OTHER THINGS, DOMESTIC AND FOREIGN MARKET, INDUSTRY AND ECONOMIC TRENDS AND DEVELOPMENTS AND GOVERNMENT REGULATION AND THEIR POTENTIAL IMPACT ON THE FUND'S INVESTMENT PORTFOLIO. THESE STATEMENTS ARE SUBJECT TO RISKS AND UNCERTAINTIES AND ACTUAL TRENDS, DEVELOPMENTS AND REGULATIONS IN THE FUTURE AND THEIR IMPACT ON THE FUND COULD BE MATERIALLY DIFFERENT FROM THOSE PROJECTED, ANTICIPATED OR IMPLIED. THE FUND HAS NO OBLIGATION TO UPDATE OR REVISE FORWARD-LOOKING STATEMENTS. 2 [CHART] COMPARISON OF CHANGE IN VALUE OF $3 MILLION INVESTMENT IN THE CREDIT SUISSE INSTITUTIONAL FIXED INCOME FUND(1),(3) AND THE LEHMAN BROTHERS U.S. AGGREGATE BOND INDEX(2) FOR TEN YEARS.
CREDIT SUISSE INSTITUTIONAL FIXED INCOME FUND(1) LEHMAN BROTHERS U.S. AGGREGATE BOND INDEX(2) 12/31/94 $ 3,000,000 $ 3,000,000 1/31/95 $ 3,046,975 $ 3,059,400 2/28/95 $ 3,111,032 $ 3,132,214 3/31/95 $ 3,138,967 $ 3,151,320 4/30/95 $ 3,182,264 $ 3,195,439 5/31/95 $ 3,312,152 $ 3,319,102 6/30/95 $ 3,335,990 $ 3,343,332 7/31/95 $ 3,333,800 $ 3,336,645 8/31/95 $ 3,377,608 $ 3,377,018 9/30/95 $ 3,409,404 $ 3,409,775 10/31/95 $ 3,451,688 $ 3,454,103 11/30/95 $ 3,498,422 $ 3,505,914 12/31/95 $ 3,547,488 $ 3,554,997 1/31/96 $ 3,584,249 $ 3,578,460 2/29/96 $ 3,533,702 $ 3,516,195 3/31/96 $ 3,506,828 $ 3,491,581 4/30/96 $ 3,495,208 $ 3,472,028 5/31/96 $ 3,495,208 $ 3,465,084 6/30/96 $ 3,535,292 $ 3,511,516 7/31/96 $ 3,551,812 $ 3,520,998 8/31/96 $ 3,554,172 $ 3,515,012 9/30/96 $ 3,616,962 $ 3,576,173 10/31/96 $ 3,693,817 $ 3,655,564 11/30/96 $ 3,758,663 $ 3,718,074 12/31/96 $ 3,739,916 $ 3,683,496 1/31/97 $ 3,759,639 $ 3,694,915 2/28/97 $ 3,786,758 $ 3,704,152 3/31/97 $ 3,748,994 $ 3,663,036 4/30/97 $ 3,788,956 $ 3,717,982 5/31/97 $ 3,831,417 $ 3,753,303 6/30/97 $ 3,882,798 $ 3,797,967 7/31/97 $ 3,984,111 $ 3,900,512 8/31/97 $ 3,963,848 $ 3,867,358 9/30/97 $ 4,019,648 $ 3,924,595 10/31/97 $ 4,042,793 $ 3,981,501 11/30/97 $ 4,063,367 $ 3,999,816 12/31/97 $ 4,101,266 $ 4,040,214 1/31/98 $ 4,157,011 $ 4,091,929 2/28/98 $ 4,167,630 $ 4,088,655 3/31/98 $ 4,194,411 $ 4,102,557 4/30/98 $ 4,210,513 $ 4,123,890 5/31/98 $ 4,237,348 $ 4,163,067 6/30/98 $ 4,263,614 $ 4,198,453 7/31/98 $ 4,282,635 $ 4,207,270 8/31/98 $ 4,271,766 $ 4,275,848 9/30/98 $ 4,334,900 $ 4,375,903 10/31/98 $ 4,318,376 $ 4,352,711 11/30/98 $ 4,384,473 $ 4,377,521 12/31/98 $ 4,404,054 $ 4,390,654 1/31/99 $ 4,438,084 $ 4,421,828 2/28/99 $ 4,375,696 $ 4,344,446 3/31/99 $ 4,420,303 $ 4,368,340 4/30/99 $ 4,466,169 $ 4,382,319 5/31/99 $ 4,417,437 $ 4,343,754 6/30/99 $ 4,402,077 $ 4,329,854 7/31/99 $ 4,384,597 $ 4,311,669 8/31/99 $ 4,372,944 $ 4,309,513 9/30/99 $ 4,418,368 $ 4,359,504 10/31/99 $ 4,439,098 $ 4,375,634 11/30/99 $ 4,462,789 $ 4,375,196 12/31/99 $ 4,453,012 $ 4,354,195 1/31/2000 $ 4,440,903 $ 4,339,826 2/29/2000 $ 4,498,420 $ 4,392,338 3/31/2000 $ 4,537,289 $ 4,450,317 4/30/2000 $ 4,475,974 $ 4,437,411 5/31/2000 $ 4,463,712 $ 4,435,192 6/30/2000 $ 4,570,001 $ 4,527,444 7/31/2000 $ 4,601,131 $ 4,568,644 8/31/2000 $ 4,654,054 $ 4,634,890 9/30/2000 $ 4,682,445 $ 4,664,089 10/31/2000 $ 4,685,602 $ 4,694,872 11/30/2000 $ 4,723,491 $ 4,771,868 12/31/2000 $ 4,838,568 $ 4,860,625 1/31/2001 $ 5,002,423 $ 4,939,853 2/28/2001 $ 5,021,701 $ 4,982,830 3/31/2001 $ 5,035,901 $ 5,007,744 4/30/2001 $ 5,035,901 $ 4,986,712 5/31/2001 $ 5,091,420 $ 5,016,831 6/30/2001 $ 5,096,972 $ 5,035,895 7/31/2001 $ 5,196,913 $ 5,148,699 8/31/2001 $ 5,260,209 $ 5,207,909 9/30/2001 $ 5,239,788 $ 5,268,321 10/31/2001 $ 5,317,389 $ 5,378,429 11/30/2001 $ 5,266,779 $ 5,304,207 12/31/2001 $ 5,226,476 $ 5,270,260 1/31/2002 $ 5,247,607 $ 5,312,949 2/28/2002 $ 5,254,651 $ 5,364,484 3/31/2002 $ 5,198,934 $ 5,275,434 4/30/2002 $ 5,252,421 $ 5,377,777 5/31/2002 $ 5,266,685 $ 5,423,489 6/30/2002 $ 5,128,510 $ 5,470,673 7/31/2002 $ 5,009,158 $ 5,536,868 8/31/2002 $ 5,106,810 $ 5,630,441 9/30/2002 $ 5,127,092 $ 5,721,654 10/31/2002 $ 5,123,417 $ 5,695,335 11/30/2002 $ 5,196,924 $ 5,693,626 12/31/2002 $ 5,318,746 $ 5,811,484 1/31/2003 $ 5,352,648 $ 5,816,714 2/28/2003 $ 5,435,518 $ 5,896,985 3/31/2003 $ 5,453,078 $ 5,892,268 4/30/2003 $ 5,525,129 $ 5,941,173 5/31/2003 $ 5,623,724 $ 6,051,679 6/30/2003 $ 5,619,306 $ 6,039,661 7/31/2003 $ 5,434,815 $ 5,836,607 8/31/2003 $ 5,484,781 $ 5,875,129 9/30/2003 $ 5,633,305 $ 6,030,638 10/31/2003 $ 5,590,392 $ 5,974,438 11/30/2003 $ 5,617,700 $ 5,988,723 12/31/2003 $ 5,678,391 $ 6,049,664 1/31/2004 $ 5,725,809 $ 6,098,346 2/29/2004 $ 5,785,083 $ 6,164,330 3/31/2004 $ 5,828,858 $ 6,210,538 4/30/2004 $ 5,677,666 $ 6,048,927 5/31/2004 $ 5,645,836 $ 6,024,713 6/30/2004 $ 5,696,613 $ 6,058,753 7/31/2004 $ 5,752,816 $ 6,118,813 8/31/2004 $ 5,865,223 $ 6,235,542 9/30/2004 $ 5,889,041 $ 6,252,446 10/31/2004 $ 5,949,836 $ 6,304,873 11/30/2004 $ 5,925,518 $ 6,254,584 12/31/2004 $ 5,993,463 $ 6,312,143
AVERAGE ANNUAL RETURNS AS OF DECEMBER 31, 2004(1),(3)
1 YEAR 5 YEARS 10 YEARS SINCE INCEPTION ------ ------- -------- --------------- 5.55% 6.12% 7.17% 6.49%
RETURNS REPRESENT PAST PERFORMANCE AND INCLUDE CHANGES IN SHARE PRICE AND REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. PAST PERFORMANCE CANNOT GUARANTEE FUTURE RESULTS. THE CURRENT PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE FIGURES SHOWN. RETURNS AND SHARE PRICE WILL FLUCTUATE, AND REDEMPTION VALUE MAY BE MORE OR LESS THAN ORIGINAL COST. THE PERFORMANCE RESULTS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH-END IS AVAILABLE AT www.csam.com/us. ---------- (1) Fee waivers and/or expense reimbursements reduced expenses for the Fund, without which performance would be lower. Waivers and/or reimbursements may be discontinued at any time. (2) The Lehman Brothers U.S. Aggregate Bond Index is composed of the Lehman Brothers Government/Corporate Bond Index and the Lehman Brothers Mortgage-Backed Securities Index. The Lehman Brothers U.S. Aggregate Bond Index includes U.S. Treasury and agency issues, corporate bond issues and mortgage-backed securities rated investment-grade or higher by Moody's Investors Service, Standard & Poor's Division of The McGraw-Hill Companies, Inc., or Fitch Investors' Service. Investors cannot invest directly in an index. (3) Inception date 3/31/94. 3 INFORMATION ABOUT YOUR FUND'S EXPENSES As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Fund expenses. Examples of transaction costs include sales charges (loads), redemption fees and account maintenance fees, which are not shown in this section and which would result in higher total expenses. The following table is intended to help you understand your ongoing expenses of investing in the Fund and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. The table is based on an investment of $1,000 made at the beginning of the six-month period ended December 31, 2004. The table illustrates your Fund's expenses in two ways: - ACTUAL FUND RETURN. This helps you estimate the actual dollar amount of ongoing expenses paid on a $1,000 investment in the Fund using the Fund's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line under the share class you hold. - HYPOTHETICAL 5% FUND RETURN. This helps you to compare your Fund's ongoing expenses with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. If these transaction costs had been included, your costs would have been higher. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expenses of owning different funds. 4 EXPENSES AND VALUE OF A $1,000 INVESTMENT FOR THE SIX-MONTH PERIOD ENDED DECEMBER 31, 2004 ACTUAL FUND RETURN Beginning Account Value 7/01/04 $ 1,000.00 Ending Account Value 12/31/04 $ 1,052.10 Expenses Paid per $1,000* $ 2.32 HYPOTHETICAL 5% FUND RETURN Beginning Account Value 7/01/04 $ 1,000.00 Ending Account Value 12/31/04 $ 1,022.87 Expenses Paid per $1,000* $ 2.29 ANNUALIZED EXPENSE RATIOS* 0.45%
---------- * EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF DAYS IN THE MOST RECENT FISCAL HALF YEAR PERIOD, THEN DIVIDED BY 366. THE "EXPENSES PAID PER $1,000" AND THE "ANNUALIZED EXPENSE RATIOS" IN THE TABLES ARE BASED ON ACTUAL EXPENSES PAID BY THE FUND DURING THE PERIOD, NET OF FEE WAIVERS AND/OR EXPENSE REIMBURSEMENTS. IF THOSE FEE WAIVERS AND/OR EXPENSE REIMBURSEMENTS HAD NOT BEEN IN EFFECT, THE FUND'S ACTUAL EXPENSES WOULD HAVE BEEN HIGHER. For more information, please refer to the Fund's prospectus. 5 [CHART] SECTOR BREAKDOWN* US Agencies 42.9% Corporate Bonds 24.2% Asset Backed Securities 12.6% Foreign Bonds 10.2% Mortgage-Backed Securities 7.0% Short-Term Investments 2.0% Preferred Stock 1.1%
---------- * The Fund's sector breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. 6 CREDIT SUISSE GLOBAL HIGH YIELD FUND ANNUAL INVESTMENT ADVISER'S REPORT December 31, 2004 (unaudited) Dear Shareholder: PERFORMANCE SUMMARY* 9/1/04 - 12/31/04
FUND/BENCHMARKS PERFORMANCE Credit Suisse Global High Yield Fund(1) 8.43% Citigroup High-Yield Market Index(2) 6.16% Lipper High Yield Bond Funds Index(3) 6.23%
MARKET OVERVIEW: POSITIVE HIGH YIELD ENVIRONMENT In our view, the continuing economic recovery, robust corporate earnings growth and a strong credit environment were positive factors for high yield during the final four months of the year. Meanwhile, the Fed continued its well-telegraphed and "measured" pace of policy tightening: The open market committee raised rates a quarter point at each of its three consecutive meetings in this reporting period, resulting in a fed funds rate of 2.25% by year-end. In this low-rate environment, corporate managements took advantage of strong cash flow to repair their balance sheets. Issuance of below investment grade paper set a new high in 2004 at $158 billion, over 60% of which was earmarked for the replacement of higher interest debt. The deleveraging helped drive Moody's default and downgrade/upgrade ratios to cyclical lows. And as the risk premium declined, demand for high yield surged, with investors flocking particularly to lower-rated securities, deemed by some to be safer in the stronger fundamental environment. Spread tightening occurred across the credit spectrum, but was greatest in CCC-rated issues. STRATEGIC REVIEW: SELECTIVE SECTOR POSITIONING For the four month period, the Fund outperformed both its benchmark, the Citigroup High-Yield Market Index (CHYMI), as well as the broad universe of its high yield peers, as represented by the Lipper High Yield Bond Funds Index. The Fund outperformed its CHYMI benchmark primarily due to its relative positioning in outperforming industry sectors and to security selection within those sectors. The Fund's highest relative weightings versus the CHYMI benchmark (in gaming, consumer products/tobacco and cable) accounted for strong relative contributions versus the benchmark. Security selection in ---------- * As a result of a recent change, the fiscal year of The Credit Suisse Global High Yield Fund, Inc. now ends on December 31. The Fund's previous fiscal year end-date was August 31. 7 technology, automobile manufacturing and textile/apparel/shoe manufacturing were also key drivers of return. In emerging markets we overweighted the debt of commodity-producing countries including Venezuela, Russia and Brazil, all of which benefited from increased raw materials' prices. Detractors to performance included our underweight position in industries where we felt the fundamentals had weakened, including the diversified telecom, utilities and satellite sectors. OUTLOOK: HIGH HOPES FOR HIGH YIELD We expect the fundamental credit environment to remain strong in 2005, as high corporate cash levels and refinancing have, in our opinion, reduced the likelihood of default over the next three to six quarters. As we do not expect significant further spread tightening, coupon income could become a large component of total returns. We have a positive view of the wireless, cable and chemicals sectors and will continue to underweight diversified telecom and airlines. In our view, increased CCC-rated issuance in 2004 may be a harbinger of a weaker fundamental environment two to three years out. The Fund will remain overweight in B-rated issues, with a cautious stance on duration, emphasizing shorter maturity issues. Credit Suisse High Yield Management Team Richard J. Lindquist, CFA, Michael Buchanan, CFA, Michael E. Gray Managing Director Managing Director Managing Director Philip L. Schantz, Director Mary Ann Thomas, CFA, Misia K. Dudley, Director Director John F. Dessauer, CFA, Vice Michael J. Dugan, Vice John M. Tobin, CFA, President President Director HIGH YIELD BONDS ARE LOWER-QUALITY BONDS ALSO KNOWN AS "JUNK BONDS." SUCH BONDS ENTAIL GREATER RISKS THAN THOSE FOUND IN HIGHER-RATED SECURITIES. IN ADDITION TO HISTORICAL INFORMATION, THIS REPORT CONTAINS FORWARD-LOOKING STATEMENTS, WHICH MAY CONCERN, AMONG OTHER THINGS, DOMESTIC AND FOREIGN MARKET, INDUSTRY AND ECONOMIC TRENDS AND DEVELOPMENTS AND GOVERNMENT REGULATION AND THEIR POTENTIAL IMPACT ON THE FUND'S INVESTMENT PORTFOLIO. THESE STATEMENTS ARE SUBJECT TO RISKS AND 8 UNCERTAINTIES AND ACTUAL TRENDS, DEVELOPMENTS AND REGULATIONS IN THE FUTURE, AND THEIR IMPACT ON THE FUND COULD BE MATERIALLY DIFFERENT FROM THOSE PROJECTED, ANTICIPATED OR IMPLIED. THE FUND HAS NO OBLIGATION TO UPDATE OR REVISE FORWARD-LOOKING STATEMENTS. EFFECTIVE FEBRUARY 21, 2005, THIS FUND WILL CHANGE ITS CURRENT 80% INVESTMENT POLICY TO A POLICY OF INVESTING AT LEAST 80% OF ITS ASSETS, PLUS ANY BORROWINGS FOR INVESTMENT PURPOSES, IN HIGH YIELD FIXED INCOME SECURITIES OF ISSUERS LOCATED IN AT LEAST THREE COUNTRIES, WHICH MAY INCLUDE THE US. AT THE SAME TIME, THE FUND WILL CHANGE ITS NAME TO "CREDIT SUISSE GLOBAL HIGH YIELD FUND." 9 [CHART] COMPARISON OF CHANGE IN VALUE OF $3 MILLION INVESTMENT IN THE CREDIT SUISSE GLOBAL HIGH YIELD FUND(1),(4) AND THE CITIGROUP HIGH-YIELD MARKET INDEX(2) FOR TEN YEARS.
CREDIT SUISSE GLOBAL HIGH YIELD FUND(1) CITIGROUP HIGH-YIELD MARKET INDEX(2) 12/31/94 $ 3,000,000 $ 3,000,000 1/31/95 $ 2,920,785 $ 3,043,200 2/28/95 $ 2,928,910 $ 3,144,539 3/31/95 $ 2,948,290 $ 3,177,242 4/30/95 $ 3,078,727 $ 3,251,907 5/31/95 $ 3,209,164 $ 3,348,814 6/30/95 $ 3,226,297 $ 3,372,590 7/31/95 $ 3,274,924 $ 3,413,061 8/31/95 $ 3,323,551 $ 3,434,222 9/30/95 $ 3,383,050 $ 3,474,059 10/31/95 $ 3,400,366 $ 3,503,241 11/30/95 $ 3,415,517 $ 3,535,121 12/31/95 $ 3,485,965 $ 3,591,329 1/31/96 $ 3,579,518 $ 3,644,122 2/29/96 $ 3,650,796 $ 3,666,716 3/31/96 $ 3,640,362 $ 3,648,382 4/30/96 $ 3,667,512 $ 3,647,287 5/31/96 $ 3,737,650 $ 3,667,712 6/30/96 $ 3,724,491 $ 3,695,954 7/31/96 $ 3,701,271 $ 3,719,977 8/31/96 $ 3,736,101 $ 3,758,665 9/30/96 $ 3,845,664 $ 3,846,618 10/31/96 $ 3,848,040 $ 3,890,854 11/30/96 $ 3,893,200 $ 3,965,558 12/31/96 $ 3,929,927 $ 3,996,886 1/31/97 $ 3,988,256 $ 4,026,863 2/28/97 $ 4,058,737 $ 4,095,320 3/31/97 $ 3,985,183 $ 4,053,138 4/30/97 $ 4,000,025 $ 4,081,915 5/31/97 $ 4,101,448 $ 4,164,370 6/30/97 $ 4,184,770 $ 4,234,748 7/31/97 $ 4,288,066 $ 4,331,723 8/31/97 $ 4,303,183 $ 4,342,553 9/30/97 $ 4,413,503 $ 4,418,547 10/31/97 $ 4,444,384 $ 4,453,896 11/30/97 $ 4,449,531 $ 4,476,611 12/31/97 $ 4,513,340 $ 4,523,615 1/31/98 $ 4,610,940 $ 4,625,396 2/28/98 $ 4,679,524 $ 4,656,849 3/31/98 $ 4,746,439 $ 4,707,143 4/30/98 $ 4,749,117 $ 4,732,562 5/31/98 $ 4,767,867 $ 4,745,339 6/30/98 $ 4,779,660 $ 4,755,779 7/31/98 $ 4,768,722 $ 4,793,825 8/31/98 $ 4,539,036 $ 4,472,639 9/30/98 $ 4,446,675 $ 4,527,653 10/31/98 $ 4,337,469 $ 4,465,171 11/30/98 $ 4,452,276 $ 4,689,323 12/31/98 $ 4,455,748 $ 4,686,040 1/31/99 $ 4,512,983 $ 4,756,331 2/28/99 $ 4,504,398 $ 4,716,377 3/31/99 $ 4,570,260 $ 4,756,467 4/30/99 $ 4,683,933 $ 4,855,877 5/31/99 $ 4,616,895 $ 4,779,640 6/30/99 $ 4,616,953 $ 4,769,124 7/31/99 $ 4,628,883 $ 4,779,616 8/31/99 $ 4,569,232 $ 4,722,739 9/30/99 $ 4,522,771 $ 4,686,846 10/31/99 $ 4,492,212 $ 4,654,976 11/30/99 $ 4,562,499 $ 4,728,059 12/31/99 $ 4,655,887 $ 4,767,774 1/31/2000 $ 4,696,756 $ 4,728,202 2/29/2000 $ 4,860,230 $ 4,739,550 3/31/2000 $ 4,794,495 $ 4,643,337 4/30/2000 $ 4,704,336 $ 4,661,910 5/31/2000 $ 4,636,718 $ 4,597,110 6/30/2000 $ 4,683,117 $ 4,700,544 7/31/2000 $ 4,676,521 $ 4,751,780 8/31/2000 $ 4,653,435 $ 4,786,944 9/30/2000 $ 4,590,873 $ 4,735,723 10/31/2000 $ 4,455,449 $ 4,595,546 11/30/2000 $ 4,221,842 $ 4,407,588 12/31/2000 $ 4,282,069 $ 4,497,503 1/31/2001 $ 4,505,239 $ 4,800,500 2/28/2001 $ 4,501,752 $ 4,857,818 3/31/2001 $ 4,422,073 $ 4,769,556 4/30/2001 $ 4,361,203 $ 4,699,453 5/31/2001 $ 4,425,654 $ 4,774,776 6/30/2001 $ 4,317,197 $ 4,643,460 7/31/2001 $ 4,335,726 $ 4,730,966 8/31/2001 $ 4,387,606 $ 4,795,520 9/30/2001 $ 4,078,510 $ 4,450,238 10/31/2001 $ 4,185,137 $ 4,598,101 11/30/2001 $ 4,299,381 $ 4,772,894 12/31/2001 $ 4,320,162 $ 4,742,228 1/31/2002 $ 4,351,754 $ 4,762,529 2/28/2002 $ 4,296,468 $ 4,710,727 3/31/2002 $ 4,373,947 $ 4,836,122 4/30/2002 $ 4,414,149 $ 4,915,260 5/31/2002 $ 4,373,947 $ 4,854,296 6/30/2002 $ 4,176,557 $ 4,426,769 7/31/2002 $ 4,052,746 $ 4,226,635 8/31/2002 $ 4,085,762 $ 4,387,488 9/30/2002 $ 4,016,642 $ 4,301,199 10/31/2002 $ 3,965,583 $ 4,286,540 11/30/2002 $ 4,161,310 $ 4,613,633 12/31/2002 $ 4,195,217 $ 4,669,781 1/31/2003 $ 4,262,020 $ 4,843,684 2/28/2003 $ 4,342,183 $ 4,908,643 3/31/2003 $ 4,431,828 $ 5,073,867 4/30/2003 $ 4,612,904 $ 5,389,188 5/31/2003 $ 4,667,227 $ 5,424,951 6/30/2003 $ 4,792,807 $ 5,593,645 7/31/2003 $ 4,783,492 $ 5,510,960 8/31/2003 $ 4,788,149 $ 5,567,519 9/30/2003 $ 4,887,676 $ 5,732,484 10/31/2003 $ 4,983,890 $ 5,865,770 11/30/2003 $ 5,070,483 $ 5,947,252 12/31/2003 $ 5,207,573 $ 6,099,930 1/31/2004 $ 5,380,809 $ 6,205,367 2/29/2004 $ 5,365,060 $ 6,171,405 3/31/2004 $ 5,367,795 $ 6,210,167 4/30/2004 $ 5,426,314 $ 6,188,991 5/31/2004 $ 5,346,516 $ 6,081,797 6/30/2004 $ 5,444,806 $ 6,172,410 7/31/2004 $ 5,515,589 $ 6,251,800 8/31/2004 $ 5,651,709 $ 6,366,026 9/30/2004 $ 5,710,932 $ 6,452,464 10/31/2004 $ 5,838,334 $ 6,586,224 11/30/2004 $ 5,938,040 $ 6,662,143 12/31/2004 $ 6,133,447 $ 6,757,925
AVERAGE ANNUAL RETURNS AS OF DECEMBER 31, 2004(1),(4)
1 YEAR 5 YEARS 10 YEARS SINCE INCEPTION ------ ------- -------- --------------- 17.67% 5.65% 7.40% 7.26%
RETURNS REPRESENT PAST PERFORMANCE AND INCLUDE CHANGES IN SHARE PRICE AND REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. PAST PERFORMANCE CANNOT GUARANTEE FUTURE RESULTS. THE CURRENT PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE FIGURES SHOWN. RETURNS AND SHARE PRICE WILL FLUCTUATE, AND REDEMPTION VALUE MAY BE MORE OR LESS THAN ORIGINAL COST. THE PERFORMANCE RESULTS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH-END IS AVAILABLE AT www.csam.com/us. ---------- (1) Fee waivers and/or expense reimbursements reduced expenses for the Fund, without which performance would be lower. Waivers and/or reimbursements may be discontinued at any time. (2) The Citigroup High-Yield Market Index is a broad-based, unmanaged index of high yield securities that is compiled by Citigroup Global Markets Inc. Investors cannot invest directly in an index. (3) The Lipper High Yield Bond Funds Index is an equal-weighted performance index, adjusted for capital-gain distributions and income dividends, of the largest qualifying funds classified by Lipper Inc. as investing primarily in high yield debt securities. It is compiled by Lipper Inc. Investors cannot invest directly in an index. (4) Inception date 2/26/93. 10 INFORMATION ABOUT YOUR FUND'S EXPENSES As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Fund expenses. Examples of transaction costs include sales charges (loads), redemption fees and account maintenance fees, which are not shown in this section and which would result in higher total expenses. The following table is intended to help you understand your ongoing expenses of investing in the Fund and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. The table is based on an investment of $1,000 made at the beginning of the six-month period ended December 31, 2004. The table illustrates your Fund's expenses in two ways: - ACTUAL FUND RETURN. This helps you estimate the actual dollar amount of ongoing expenses paid on a $1,000 investment in the Fund using the Fund's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line under the share class you hold. - HYPOTHETICAL 5% FUND RETURN. This helps you to compare your Fund's ongoing expenses with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. If these transaction costs had been included, your costs would have been higher. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expenses of owning different funds. 11 EXPENSES AND VALUE OF A $1,000 INVESTMENT FOR THE SIX-MONTH PERIOD ENDED DECEMBER 31, 2004 ACTUAL FUND RETURN Beginning Account Value 7/01/04 $ 1,000.00 Ending Account Value 12/31/04 $ 1,125.50 Expenses Paid per $1,000* $ 3.74 HYPOTHETICAL 5% FUND RETURN Beginning Account Value 7/01/04 $ 1,000.00 Ending Account Value 12/31/04 $ 1,021.62 Expenses Paid per $1,000* $ 3.56 ANNUALIZED EXPENSE RATIOS* 0.70%
---------- * EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF DAYS IN THE MOST RECENT FISCAL HALF YEAR PERIOD, THEN DIVIDED BY 366. THE "EXPENSES PAID PER $1,000" AND THE "ANNUALIZED EXPENSE RATIOS" IN THE TABLES ARE BASED ON ACTUAL EXPENSES PAID BY THE FUND DURING THE PERIOD, NET OF FEE WAIVERS AND/OR EXPENSE REIMBURSEMENTS. IF THOSE FEE WAIVERS AND/OR EXPENSE REIMBURSEMENTS HAD NOT BEEN IN EFFECT, THE FUND'S ACTUAL EXPENSES WOULD HAVE BEEN HIGHER. For more information, please refer to the Fund's prospectus. 12 [CHART] SECTOR BREAKDOWN* Corporate Bonds 86.6% Foreign Bonds 7.1% Short-Term Investments 4.2% Common Stocks 1.2% Preferred Stocks 0.9%
---------- * The Fund's sector breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. 13 CREDIT SUISSE INSTITUTIONAL FIXED INCOME FUND SCHEDULE OF INVESTMENTS December 31, 2004
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- CORPORATE BONDS (26.1%) AEROSPACE & DEFENSE (0.5%) $ 585 Goodrich Corp., Notes~ (BBB- , Baa3) 04/15/08 7.500 $ 648,106 AUTOMOBILE MANUFACTURERS (0.2%) 185 Ford Motor Co., Global Notes~ (BBB- , Baa1) 07/16/31 7.450 186,599 95 General Motors Corp., Global Debentures~ (BBB- , Baa2) 07/15/33 8.375 98,701 -------------- 285,300 -------------- AUTOMOBILE PARTS & EQUIPMENT (0.3%) 190 Collins & Aikman Products Corp., Rule 144A, Senior Subordinated Notes++~ (B- , B3) 08/15/12 12.875 165,062 150 Dana Corp., Rule 144A, Notes++ (BBB- , Ba2) 01/15/15 5.850 149,250 -------------- 314,312 -------------- BANKS (1.3%) 460 Bank of America Corp., Global Notes (A+ , Aa2) 10/01/10 4.250 459,400 400 Key Bank NA, Subordinated Notes (A- , A2) 07/01/14 5.800 424,409 200 National City Bank, Series BKNT, Notes (A+ , Aa3) 08/01/09 4.150 200,125 550 Wells Fargo & Co., Senior Notes (AA- , Aa1) 01/15/10 4.200 552,856 -------------- 1,636,790 -------------- BIOTECHNOLOGY (0.2%) 215 Amgen, Inc., Rule 144A, Senior Notes++ (A+ , A2) 11/18/09 4.000 214,568 -------------- BUILDING MATERIALS (0.3%) 325 American Standard, Inc., Company Guaranteed Notes (BBB- , Baa3) 02/15/10 7.625 371,964 -------------- CHEMICALS (0.1%) 140 Lyondell Chemicals Co., Global Company Guaranteed Notes (Callable 06/01/08 @ $105.25)~ (B+ , B1) 06/01/13 10.500 167,300 COMMERCIAL SERVICES (0.6%) 335 Cendant Corp., Units (BBB , Baa1) 08/17/06 4.890 338,380 255 Erac USA Finance Co., Rule 144A, Notes++ (BBB+ , Baa1) 05/15/06 6.625 264,861 185 Iron Mountain, Inc., Company Guaranteed Notes (Callable 07/01/08 @ $103.31) (B , Caa1) 01/01/16 6.625 173,438 -------------- 776,679 -------------- DISTRIBUTION & WHOLESALE (0.2%) 300 Hughes Supply, Inc., Rule 144A, Notes++ (BBB- , Ba1) 10/15/14 5.500 296,736 DIVERSIFIED FINANCIALS (6.9%) 495 Capital One Bank, Subordinated Notes (BBB- , Baa3) 06/13/13 6.500 541,768 435 Countrywide Home Loans, Inc., Global Notes (A , A3) 12/19/07 4.250 440,165 230 Countrywide Home Loans, Inc., Series MTN, Global Notes (A , A3) 09/15/09 4.125 229,211 245 FGIC Corp., Rule 144A, Senior Notes++ (AA , Aa2) 01/15/34 6.000 253,740 525 FMR Corp., Rule 144A, Notes++ (AA , Aa3) 03/01/13 4.750 524,683 390 Ford Motor Credit Co., Global Notes (BBB- , A3) 01/25/07 6.500 405,734 225 Ford Motor Credit Co., Global Notes (BBB- , A3) 01/15/10 5.700 227,294
See Accompanying Notes to Financial Statements. 14
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- CORPORATE BONDS DIVERSIFIED FINANCIALS $ 300 General Electric Capital Corp., Series MTNA, Global Notes (AAA , Aaa) 02/15/12 5.875 $ 325,079 945 General Electric Capital Corp., Series MTNA, Global Notes (AAA , Aaa) 06/15/12 6.000 1,031,641 330 General Motors Acceptance Corp., Global Bonds (BBB- , Baa1) 11/01/31 8.000 340,152 155 General Motors Acceptance Corp., Global Notes~ (BBB- , Baa1) 12/01/14 6.750 155,489 300 Goldman Sachs Group L.P., Notes (A+ , Aa3) 10/01/14 5.000 300,149 1,170 Household Finance Corp., Global Notes (A , A1) 12/15/08 4.125 1,175,844 345 Household Finance Corp., Global Notes (A , A1) 07/15/10 8.000 406,506 165 JPMorgan Chase & Co., Global Subordinated Notes (A , A1) 09/15/14 5.125 166,397 380 MBNA America Bank, Rule 144A, Subordinated Notes++ (BBB , Baa2) 03/15/08 6.750 410,123 156 Merey Sweeny L.P., Rule 144A, Senior Notes++ (BBB , Baa3) 12/18/19 8.850 188,540 225 Merrill Lynch & Company, Inc., Series MTNC, Global Notes (A+ , Aa3) 01/15/15 5.000 224,556 515 OMX Timber Finance Investment LLC, Rule 144A, Company Guaranteed Notes (Callable 10/31/19 @ $100.00)++# (A , Aa3) 01/29/20 5.420 511,436 630 SLM Corp., Series MTNA, Notes (A , A2) 01/15/09 4.000 630,275 145 Textron Financial Corp., Global Notes (A- , A3) 06/01/07 5.875 152,513 130 Textron Financial Corp., Series MTNE, Notes# (A- , A3) 10/06/06 2.381 130,521 -------------- 8,771,816 -------------- ELECTRIC (2.8%) 175 AES Corp., Senior Notes (B- , B2) 06/01/09 9.500 199,938 510 American Electric Power Company, Inc., Series A, Global Notes (BBB , Baa3) 05/15/06 6.125 528,728 260 Cincinnati Gas & Electric Co., Notes (BBB , Baa1) 09/15/12 5.700 275,882 200 Constellation Energy Group, Inc., Notes~ (BBB , Baa1) 04/01/07 6.350 211,490 135 Detroit Edison Co., First Mortgage Notes (BBB+ , A3) 08/01/14 5.400 141,238 300 Dominion Resources, Inc., Series A, Notes (BBB+ , Baa1) 11/15/06 3.660 300,648 450 FPL Group Capital, Inc., Notes (A- , A2) 02/16/07 4.086 454,996 305 Oklahoma Gas & Electric Co., Bonds (Callable 08/01/14 @ $103.25) (BBB+ , A2) 08/01/34 6.500 322,980 215 Old Dominion Electric Cooperative, Series A, Secured Notes (AAA , Aaa) 06/01/11 6.250 236,935 205 Pacific Gas & Electric Co., First Mortgage Notes (BBB , Baa2) 03/01/34 6.050 213,658 275 PacifiCorp, First Mortgage Notes (A- , A3) 11/15/11 6.900 314,931 350 Pinnacle West Capital Corp., Senior Notes (Callable 02/01/05 @ $100.00)# (BBB- , Baa2) 11/01/05 2.960 350,197 -------------- 3,551,621 -------------- ENTERTAINMENT (0.2%) 125 AMC Entertainment, Inc., Senior Subordinated Notes (Callable 02/01/05 @ $103.17) (CCC+ , B3) 02/01/11 9.500 129,844
See Accompanying Notes to Financial Statements. 15
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- CORPORATE BONDS ENTERTAINMENT $ 160 Six Flags, Inc., Global Senior Notes (Callable 02/01/05 @ $104.75)~ (CCC , Caa1) 02/01/09 9.500 $ 167,200 -------------- 297,044 -------------- ENVIRONMENTAL CONTROL (0.5%) 10 Allied Waste North America, Inc., Senior Notes (Callable 04/15/08 @ $103.94) (BB- , B2) 04/15/13 7.875 10,300 210 Allied Waste North America, Inc., Series B, Global Senior Notes (Callable 04/15/09 @ $103.69)~ (B+ , Caa1) 04/15/14 7.375 202,125 350 Waste Management, Inc., Global Company Guaranteed Notes (BBB , Baa3) 05/15/32 7.750 434,830 -------------- 647,255 -------------- FOOD (1.1%) 310 ConAgra Foods, Inc., Notes (BBB+ , Baa1) 09/15/11 6.750 349,249 290 ConAgra Foods, Inc., Notes (BBB+ , Baa1) 09/15/30 8.250 386,901 235 Delhaize America, Inc., Global Company Guaranteed Notes (BB+ , Ba1) 04/15/11 8.125 275,120 310 Kellogg Co., Global Senior Notes (BBB+ , Baa1) 06/01/08 2.875 301,339 110 Land O' Lakes, Inc., Global Senior Notes (Callable 11/15/06 @ $104.38)~ (B- , B3) 11/15/11 8.750 110,000 -------------- 1,422,609 -------------- FOREST PRODUCTS, PAPER (0.1%) 115 Georgia-Pacific Corp., Global Company Guaranteed Notes (BB+ , Ba2) 02/01/10 8.875 134,406 -------------- GAS (0.4%) 520 Sempra Energy, Notes (BBB+ , Baa1) 12/01/05 6.950 536,921 -------------- HEALTHCARE SERVICES (0.1%) 100 WellPoint, Inc., Rule 144A, Notes++ (BBB+ , Baa1) 12/15/09 4.250 100,063 -------------- HOME BUILDERS (0.4%) 215 D.R. Horton, Inc., Senior Notes (BB+ , Ba1) 05/01/13 6.875 233,812 200 KB Home, Senior Subordinated Notes (BB- , Ba2) 12/15/08 8.625 227,000 -------------- 460,812 -------------- INSURANCE (1.6%) 650 American International Group, Inc., Global Notes# (AAA , Aaa) 05/15/13 4.250 629,077 175 Florida Windstorm Underwriting Association, Rule 144A, Senior Notes++ (A- , A3) 08/25/07 6.850 187,484 475 Genworth Financial, Inc., Notes (A , A2) 06/15/14 5.750 503,420 450 Nationwide Mutual Insurance Co., Rule 144A, Bonds (Callable 04/15/14 @ $100.00)++ (A- , A2) 04/15/34 6.600 451,978 175 Progressive Corp., Senior Notes (A+ , A1) 12/01/32 6.250 188,247 -------------- 1,960,206 --------------
See Accompanying Notes to Financial Statements. 16
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- CORPORATE BONDS IRON & STEEL (0.3%) $ 220 AK Steel Corp., Company Guaranteed Notes (Callable 02/15/05 @ $102.65)~ (B+ , B3) 02/15/09 7.875 $ 225,225 160 International Steel Group, Inc., Global Senior Notes (BB , Ba3) 04/15/14 6.500 172,400 -------------- 397,625 -------------- LODGING (0.1%) 105 MGM Mirage, Global Senior Notes (BB+ , Ba1) 09/01/12 6.750 111,038 780 Windsor Woodmont Black Hawk, Series B, First Mortgage Notes **^ (NR , NR) 03/15/05 13.000 23,400 -------------- 134,438 -------------- MEDIA (2.8%) 240 CCO Holdings LLC, Global Senior Notes (Callable 11/15/08 @ $104.38) (CCC- , B3) 11/15/13 8.750 249,000 170 Comcast Cable Communications Holdings, Inc., Global Company Guaranteed Notes (BBB , Baa3) 03/15/13 8.375 209,950 710 Comcast Cable Communications, Inc., Senior Notes (BBB , Baa3) 01/30/11 6.750 798,323 240 Cox Communications, Inc., Notes (BBB- , Baa3) 06/15/05 6.875 243,880 215 CSC Holdings, Inc., Series B, Senior Notes (BB- , B1) 07/15/09 8.125 236,231 245 Dex Media West LLC, Series B, Global Senior Subordinated Notes (Callable 08/15/08 @ $104.94) (B , B2) 08/15/13 9.875 283,587 90 EchoStar DBS Corp., Global Senior Notes (BB- , Ba3) 10/01/11 6.375 92,475 400 Liberty Media Corp., Global Senior Notes# (BBB- , Baa3) 09/17/06 3.990 405,004 160 Mediacom LLC/Capital Corp., Senior Notes (Callable 01/15/06 @ $104.75)~ (B , B3) 01/15/13 9.500 161,400 280 News America Holdings, Inc., Company Guaranteed Notes~ (BBB- , Baa3) 02/01/13 9.250 361,384 240 News America, Inc., Company Guaranteed Notes (BBB- , Baa3) 11/30/28 7.625 285,849 220 Time Warner, Inc., Global Company Guaranteed Notes (BBB+ , Baa1) 04/15/31 7.625 266,984 -------------- 3,594,067 -------------- MISCELLANEOUS MANUFACTURING (0.5%) 565 Textron, Inc., Senior Notes (A- , A3) 08/01/10 4.500 572,740 -------------- OIL & GAS (1.2%) 155 Chesapeake Energy Corp., Senior Notes (Callable 01/15/09 @ $103.44) (BB- , Ba3) 01/15/16 6.875 163,138 560 Enterprise Products Operating LP, Rule 144A, Senior Notes++ (BB+ , Baa3) 10/15/14 5.600 566,023 145 Giant Industries, Inc., Company Guaranteed Notes (Callable 05/15/09 @ $104.00) (B- , B3) 05/15/14 8.000 152,250
See Accompanying Notes to Financial Statements. 17
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- CORPORATE BONDS OIL & GAS $ 235 Pemex Project Funding Master Trust, Rule 144A, Notes++# (BBB- , Baa1) 06/15/10 3.790 $ 241,698 100 Premcor Refining Group, Inc., Company Guaranteed Notes (Callable 05/01/09 @ $103.38) (BB- , Ba3) 05/01/14 6.750 106,750 335 SEACOR Holdings, Inc., Notes (BBB , Baa3) 10/01/12 5.875 333,623 -------------- 1,563,482 -------------- PACKAGING & CONTAINERS (0.1%) 95 Owens-Brockway Glass Containers, Global Secured Notes (Callable 11/15/07 @ $104.38) (BB- , B1) 11/15/12 8.750 107,588 60 Owens-Illinois, Inc., Debentures (B , B3) 05/15/10 7.500 63,975 -------------- 171,563 -------------- PIPELINES (0.2%) 160 Williams Companies, Inc., Global Notes (B+ , B1) 03/15/12 8.125 185,600 -------------- REAL ESTATE (0.6%) 310 EOP Operating LP, Notes (BBB+ , Baa2) 10/01/10 4.650 311,806 495 EOP Operating LP, Senior Notes (BBB+ , Baa2) 02/15/05 6.625 497,242 -------------- 809,048 -------------- RETAIL (0.6%) 605 Target Corp., Notes~ (A+ , A2) 08/15/10 7.500 708,146 -------------- TELECOMMUNICATIONS (1.8%) 115 AT&T Wireless Services, Inc., Global Senior Notes (A , Baa2) 03/01/31 8.750 155,529 235 BellSouth Corp., Global Bonds (A , A2) 09/15/14 5.200 239,971 240 BellSouth Corp., Notes (A , A2) 11/15/12 4.750 241,867 185 Centennial Communications Corp., Global Company Guaranteed Notes (Callable 06/15/08 @ $105.06) (CCC , Caa1) 06/15/13 10.125 208,588 275 Motorola, Inc., Notes (BBB , Baa3) 11/16/07 4.608 280,616 180 Nextel Communications, Inc., Senior Notes (Callable 03/15/09 @ $102.98) (BB , Ba3) 03/15/14 5.950 187,200 250 SBC Communications, Inc., Global Notes (A , A2) 09/15/14 5.100 252,803 245 Sprint Capital Corp., Global Company Guaranteed Notes (BBB- , Baa3) 03/15/32 8.750 327,420 420 Verizon Wireless Capital LLC, Global Notes (A+ , A3) 12/15/06 5.375 435,238 -------------- 2,329,232 -------------- TRANSPORTATION (0.1%) 130 Horizon Lines LLC, Rule 144A, Notes (Callable 11/01/08 @ $104.50)++ (CCC+ , B3) 11/01/12 9.000 140,400 -------------- TOTAL CORPORATE BONDS (Cost $32,330,545) 33,200,849 --------------
See Accompanying Notes to Financial Statements. 18
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- ASSET BACKED SECURITIES (13.5%) $ 744 Ameriquest Mortgage Securities, Inc., Series 2003-AR2, Class A4# (AAA , Aaa) 05/25/33 2.768 $ 44,988 246 Capital Auto Receivables Asset Trust, Series 2002-5, Class A3B (AAA , Aaa) 04/17/06 2.300 246,388 1,315 Capital One Master Trust, Series 2001-1, Class A# (AAA , Aaa) 12/15/10 2.603 1,323,036 1,610 Citibank Credit Card Issuance Trust, Series 2002-A9, Class A9#~ (AAA , Aaa) 12/17/07 2.530 1,611,317 484 Contimortgage Home Equity Loan Trust, Series 1996-4, Class A8 (AAA , Aaa) 01/15/28 7.220 84,927 754 Countrywide Home Equity Loan Trust, Series 2002-C, Class A# (AAA , Aaa) 05/15/28 2.643 755,096 965 DaimlerChrysler Auto Trust, Series 2004-B, Class A4 (AAA , Aaa) 10/08/09 3.710 966,206 1,610 Discover Card Master Trust I, Series 2003-4, Class A1# (AAA , Aaa) 05/15/11 2.513 1,614,780 1,315 Fleet Credit Card Master Trust, Series 2002-B, Class A# (AAA , Aaa) 04/15/10 2.543 1,319,411 423 Greenpoint Home Equity Loan Trust, Series 2003-1, Class A# (AAA , Aaa) 04/15/29 2.673 423,207 465 Greenpoint Home Equity Loan Trust, Series 2004-3, Class A# (AAA , Aaa) 03/15/35 2.633 464,752 645 Honda Auto Receivables Owner Trust, Series 2003-1, Class A4 (AAA , Aaa) 07/18/08 2.480 638,046 1,610 MBNA Credit Card Master Note Trust, Series 2002-A4, Class A4# (AAA , Aaa) 08/17/09 2.513 1,614,853 2,000 MBNA Master Credit Card Trust, Series 1998-G, Class A# (AAA , Aaa) 02/17/09 2.533 2,005,653 1,300 Pure Mortgages, Series 2004-1A, Class A# (AAA , Aaa) 02/28/34 2.932 1,300,000 1,293 SLM Student Loan Trust, Series 2003-1, Class A2# (AAA , Aaa) 06/17/13 2.530 1,294,224 427 Vanderbilt Mortgage Finance, Series 1998-C, Class 1B1 (BBB , Baa1) 02/07/15 6.970 434,572 -------------- TOTAL ASSET BACKED SECURITIES (Cost $17,228,254) 17,241,456 ------------ MORTGAGE-BACKED SECURITIES (51.7%) $ 1,160 Bear Stearns Commercial Mortgage Securities, Inc., Series 2002-TOP6, Class A2 (AAA , Aaa) 10/15/36 6.460 1,288,762 1,175 Bear Stearns Commercial Mortgage Securities, Inc., Series 2004-PWR6, Class A6 (AAA , Aaa) 11/11/41 4.825 1,173,120 1,370 Fannie Mae, Series 2004-13, Class PE (AAA , Aaa) 04/25/29 5.000 1,388,745 580 Fannie Mae Global Bonds (AAA , Aaa) 11/15/30 6.625 693,489 1,665 Fannie Mae Global Notes^^ (AAA , Aaa) 11/15/10 6.625 1,883,951 98 Fannie Mae Pool#077774 (AAA , Aaa) 01/01/10 10.000 106,181 1,029 Fannie Mae Pool#254372^^ (AAA , Aaa) 07/01/17 6.000 1,078,799 1,135 Fannie Mae Pool#254448++++ (AAA , Aaa) 09/01/32 6.500 1,191,675 1,230 Fannie Mae Pool#255162++++ (AAA , Aaa) 03/01/34 6.500 1,290,563
See Accompanying Notes to Financial Statements. 19
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- MORTGAGE-BACKED SECURITIES $ 299 Fannie Mae Pool#656862++++ (AAA , Aaa) 04/01/33 6.000 $ 308,952 1,674 Fannie Mae Pool#667742++++ (AAA , Aaa) 04/01/33 6.000 1,732,522 1,168 Fannie Mae Pool#703337++++ (AAA , Aaa) 04/01/33 5.500 1,187,222 1,503 Fannie Mae Pool#703444++++ (AAA , Aaa) 05/01/18 5.000 1,528,512 216 Fannie Mae Pool#703598 (AAA , Aaa) 05/01/18 5.500 223,387 174 Fannie Mae Pool#705651 (AAA , Aaa) 06/01/18 5.500 180,096 660 Fannie Mae Pool#713667 (AAA , Aaa) 07/01/33 5.000 656,495 672 Fannie Mae Pool#721796 (AAA , Aaa) 06/01/18 4.500 671,990 1,573 Fannie Mae Pool#725205++++ (AAA , Aaa) 03/01/34 5.000 1,564,080 1,608 Fannie Mae Pool#725248++++ (AAA , Aaa) 03/01/34 5.000 1,599,477 1,209 Fannie Mae Pool#725277 (AAA , Aaa) 03/01/19 4.500 1,207,860 1,993 Fannie Mae Pool#725407 (AAA , Aaa) 01/01/34 6.500 2,093,030 732 Fannie Mae Pool#739753 (AAA , Aaa) 12/01/18 5.000 744,358 628 Fannie Mae Pool#741384 (AAA , Aaa) 09/01/18 4.000 614,856 698 Fannie Mae Pool#750536 (AAA , Aaa) 01/01/34 5.500 709,716 852 Fannie Mae Pool#755636 (AAA , Aaa) 04/01/34 5.000 846,459 396 Fannie Mae Pool#757490 (AAA , Aaa) 01/01/34 5.500 402,586 1,220 Fannie Mae Pool#759666 (AAA , Aaa) 04/01/31 6.500 1,284,864 822 Fannie Mae Pool#763676 (AAA , Aaa) 01/01/34 5.500 835,634 1,317 Fannie Mae Pool#770154 (AAA , Aaa) 04/01/34 5.000 1,307,755 1,957 Fannie Mae Pool#790724 (AAA , Aaa) 09/01/34 5.500 1,988,181 455 Fannie Mae Pool#793271 (AAA , Aaa) 12/01/34 5.000 452,485 1,254 Fannie Mae Pool#794268 (AAA , Aaa) 09/01/34 6.500 1,316,109 938 Fannie Mae Pool#794821 (AAA , Aaa) 10/01/34 7.000 994,339 1,240 Fannie Mae Pool#796906 (AAA , Aaa) 11/01/34 7.000 1,314,269 700 Fannie Mae Pool#809260 (AAA , Aaa) 01/01/35 5.000 696,063 535 Fannie Mae Strip, Series 337, Class 2 (AAA , Aaa) 06/01/33 5.000 120,564 710 Federal Home Loan Bank Global Bonds^^ (AAA , Aaa) 06/18/14 5.250 750,042 1 Federal National Mortgage Association, Series 1991-165, Class M (AAA , Aaa) 12/25/21 8.250 1,118 3,379 FNMA TBA (AAA , Aaa) 01/03/20 4.500 3,368,441 690 FNMA TBA (AAA , Aaa) 01/03/35 5.000 684,610 1,250 FNMA TBA (AAA , Aaa) 01/03/35 5.500 1,269,140 2,995 FNMA TBA (AAA , Aaa) 01/03/35 6.000 3,090,465 1,240 Freddie Mac Global Notes^^ (AAA , Aaa) 11/15/13 4.875 1,277,407 1,160 Freddie Mac Global Subordinated Notes~ (AAA , Aaa) 03/21/11 5.875 1,254,030 1,493 Freddie Mac Pool#1B1994#^^ (AAA , Aaa) 09/01/34 4.758 1,498,909 1,218 Freddie Mac Pool#A24892^^ (AAA , Aaa) 07/01/34 6.000 1,259,307 1,797 Freddie Mac Pool#A25679 (AAA , Aaa) 08/01/34 5.500 1,827,447 25 Freddie Mac Pool#A30288++++++ (AAA , Aaa) 12/01/34 5.500 25,422 553 Freddie Mac Pool#B11354 (AAA , Aaa) 12/01/18 5.000 562,652 1,196 Freddie Mac Pool#G01592^^ (AAA , Aaa) 08/01/33 6.000 1,236,476 1,327 Freddie Mac Pool#N31151^^ (AAA , Aaa) 10/01/34 5.000 1,331,361 0 Ginnie Mae Pool#009827(1) (AAA , Aaa) 04/15/06 8.250 38 1 Ginnie Mae Pool#112986 (AAA , Aaa) 07/15/14 13.500 776 1,370 Ginnie Mae Pool#429679 (AAA , Aaa) 11/15/33 5.500 1,400,754 1,145 GNMA TBA (AAA , Aaa) 01/03/35 5.000 1,145,000
See Accompanying Notes to Financial Statements. 20
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- MORTGAGE-BACKED SECURITIES $ 1,275 GS Mortgage Securities Corp. II, Series 2004-GG2, Class A4 (AAA , Aaa) 08/01/38 4.964 $ 1,312,498 761 JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-CB9, Class A1# (AAA , Aaa) 06/12/41 3.475 754,300 1,268 LB-UBS Commercial Mortgage Trust, Series 2004-C1, Class A1 (AAA , Aaa) 01/15/29 2.964 1,237,852 1,340 LB-UBS Commercial Mortgage Trust, Series 2004-C2, Class A4 (AAA , Aaa) 03/15/36 4.367 1,307,448 1,275 LB-UBS Commercial Mortgage Trust, Series 2004-C7, Class A2 (AAA , Aaa) 10/15/29 3.992 1,267,491 1,295 Wachovia Bank Commercial Mortgage Trust, Series 2004-C10, Class A4 (AAA , Aaa) 02/15/41 4.748 1,291,061 -------------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $65,503,348) 65,831,191 -------------- FOREIGN BONDS (11.0%) BANKS (1.2%) 515 Korea Development Bank, Global Notes (Korea) (A- , A3) 07/20/09 4.750 525,375 940 Royal Bank of Scotland Group PLC, Series 3, Perpetual Global Bonds (Callable 12/31/05 @ $100.00) (United Kingdom) (A , A1) 11/29/49 7.816 977,688 -------------- 1,503,063 -------------- BEVERAGES (0.2%) 305 Diageo Finance BV, Global Company Guaranteed Notes (Netherlands)~ (A , A2) 04/01/11 3.875 298,792 -------------- CHEMICALS (0.3%) 185 Methanex Corp., Yankee Notes (Canada) (BBB- , Ba1) 08/15/05 7.750 189,625 215 Yara International ASA, Rule 144A, Notes (Norway)++ (BBB , Baa2) 12/15/14 5.250 216,783 -------------- 406,408 -------------- DIVERSIFIED FINANCIALS (0.2%) 280 Tengizchevroil Finance Co., Rule 144A, Secured Notes (Luxembourg)++ (BBB- , Baa3) 11/15/14 6.124 282,100 -------------- ELECTRIC (0.2%) 240 Compania Nacional de Transmision Electrica SA, Global Senior Notes (Chile) (A- , Baa1) 04/15/11 7.875 277,920 -------------- FOREST PRODUCTS, PAPER (0.2%) 185 Tembec Industries, Inc., Global Company Guaranteed Notes (Canada)~ (B , Ba3) 03/15/12 7.750 179,912 -------------- HOLDING COMPANIES-- DIVERSIFIED (0.5%) 645 Pacificorp Australia, Rule 144A, Bonds (Australia)++ (AAA , Aaa) 01/15/08 6.150 688,872 -------------- INSURANCE (0.2%) 200 Everest Reinsurance Holdings, Notes (Bermuda) (A- , A3) 10/15/14 5.400 200,925 --------------
See Accompanying Notes to Financial Statements. 21
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- FOREIGN BONDS MEDIA (0.3%) $ 300 Thomson Corp., Global Notes (Canada) (A- , A3) 01/05/12 6.200 $ 330,108 -------------- MISCELLANEOUS MANUFACTURING (0.2%) 210 Tyco International Group SA, Yankee Company Guaranteed Notes (Luxembourg) (BBB , Baa3) 10/15/11 6.375 232,174 -------------- OIL & GAS (0.4%) 115 Canadian Natural Resources, Ltd., Yankee Notes (Canada) (BBB+ , Baa1) 07/15/11 6.700 128,264 320 Petroliam Nasional Berhad, Rule 144A, Bonds (Malaysia)++ (A- , A2) 08/15/15 7.750 392,442 -------------- 520,706 -------------- PIPELINES (0.2%) 180 Trans-Canada Pipelines, Ltd., Yankee Bonds (Canada) (A- , A2) 01/15/15 4.875 180,040 REAL ESTATE (0.2%) 305 Westfield Capital Corp., Rule 144A, Notes (Australia)++ (A , A2) 11/15/14 5.125 304,116 SOVEREIGN (6.4%) 326 Federal Republic of Brazil, Restructured Debt Bonds (Brazil)# (BB- , B1) 04/15/12 3.125 312,970 301 Federal Republic of Brazil, Restructured Debt Bonds (Callable 04/15/05 @ $100.00) (Brazil) (BB- , B2) 04/15/14 8.000 309,776 6,125 Government of New Zealand, Bonds (New Zealand) (AAA , Aaa) 04/15/15 6.000 4,438,763 720 Government of Russia, Series V, Debentures (Russia) (BB+ , Ba2) 05/14/08 3.000 670,968 295 Republic of Colombia, Global Notes (Colombia)~ (BB , Ba2) 01/23/12 10.000 342,200 375 Republic of Panama, Global Notes (Panama) (BB , Ba1) 03/15/15 7.250 391,875 390 Republic of Venezuela, Euro-dollar Notes (Venezuela)# (B , B2) 04/20/11 3.090 352,593 255 Republic of Venezuela, Global Notes (Venezuela) (B , B2) 10/08/14 8.500 270,937 385 United Mexican States, Global Notes (Mexico) (BBB- , Baa2) 01/14/11 8.375 453,145 215 United Mexican States, Global Notes (Mexico) (BBB- , Baa2) 04/08/33 7.500 232,738 370 United Mexican States, Series MTN, Global Notes (Mexico) (BBB- , Baa2) 01/16/13 6.375 394,975 -------------- 8,170,940 -------------- TELECOMMUNICATIONS (0.3%) 295 Deutsche Telekom International Finance BV, Global Company Guaranteed Notes (Netherlands)# (BBB+ , Baa1) 06/15/30 8.750 390,698 -------------- TOTAL FOREIGN BONDS (Cost $13,498,804) 13,966,774 --------------
See Accompanying Notes to Financial Statements. 22
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- UNITED STATES TREASURY OBLIGATIONS (2.0%) $ 1,215 United States Treasury Bonds~ (AAA , Aaa) 01/15/25 2.375 $ 1,299,726 20 United States Treasury Bonds~ (AAA , Aaa) 02/15/31 5.375 21,633 1,225 United States Treasury Notes~ (AAA , Aaa) 07/15/14 2.000 1,264,468 -------------- TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $2,555,201) 2,585,827 -------------- NUMBER OF SHARES ----------- COMMON STOCKS (0.0%) FOOD (0.0%) 836 Archibald Candy Corp.*^ (Cost $71,060) 0 -------------- PREFERRED STOCK (1.2%) FINANCIAL (0.8%) 18,000 Fannie Mae 1,024,875 -------------- TELECOMMUNICATIONS (0.4%) 350 Centaur Funding Corp., Series B, Rule 144A++ 461,891 -------------- TOTAL PREFERRED STOCK (Cost $1,271,652) 1,486,766 -------------- WARRANTS (0.0%) BUILDING MATERIALS (0.0%) 240 Dayton Superior Corp., Rule 144A, $0.01, expires 06/15/09*++ 2 -------------- TELECOMMUNICATIONS (0.0%) 130 GT Group Telecom, Inc., Rule 144A, strike $0.00, expires 02/01/10*++ 0 50 IWO Holdings, Inc., Rule 144A, strike $7.00, expires 01/15/11*++ 75 -------------- 75 -------------- TOTAL WARRANTS (Cost $21,326) 77 -------------- SHORT-TERM INVESTMENTS (9.1%) 8,707,923 State Street, Navigator Prime Fund~~ 8,707,923 PAR (000) ----------- $ 569 State Street Bank and Trust Co. Euro Time Deposit 01/03/05 1.400 569,000 2,260 United States Treasury Bills++ ++++++++ 01/20/05 1.870 2,257,871 -------------- TOTAL SHORT-TERM INVESTMENTS (Cost $11,534,794) 11,534,794 -------------- TOTAL INVESTMENTS AT VALUE (114.6%) (Cost $144,014,984) 145,847,734 LIABILITIES IN EXCESS OF OTHER ASSETS (-14.6%) (18,557,982) -------------- NET ASSETS (100.0%) $ 127,289,752 ==============
See Accompanying Notes to Financial Statements. 23 OPEN OPTION CONTRACTS WRITTEN
NUMBER OF EXERCISE EXPIRATION NAME OF ISSUER CONTRACTS PRICE DATE VALUE --------------------------------------------------------------------------------------------------------------------------------- S&P 500 Call Option 74 $ 1.70 1/22/2005 $ 12,580 S&P 500 Put Option 62 0.90 1/22/2005 5,580 -------------- $ 18,160 ==============
+ Credit ratings given by the Standard & Poor's Division of The McGraw-Hill Companies, Inc. ("S&P") and Moody's Investors Service, Inc. ("Moody's") are unaudited. # Variable rate obligations -- The interest rate shown is the rate as of December 31, 2004. ++ 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 December 31, 2004, these securities amounted to a value of $7,012,926 or 5.51% of net assets. ++++ Collateral segregated for futures contracts. ++++++ A portion of the security is pledged as collateral for Options Written. ** Bond is currently in default. * Non-income producing security. ~ Security or portion thereof is out on loan. ~~ Represents security purchased with cash collateral received for securities on loan. ^^ Collateral segregated for TBA securities. ^ Not readily marketable security; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Directors. (1) Par value of security held is less than $1,000. INVESTMENT ABBREVIATIONS TBA = To Be Announced NR = Not Rated See Accompanying Notes to Financial Statements. 24 CREDIT SUISSE GLOBAL HIGH YIELD FUND SCHEDULE OF INVESTMENTS December 31, 2004
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- CORPORATE BONDS (84.9%) AEROSPACE (1.2%) $ 100 BE Aerospace, Inc., Series B, Senior Subordinated Notes (Callable 03/01/05 @ $100.00)~ (B- , Caa3) 03/01/08 8.000 $ 100,625 100 DRS Technologies, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $103.44) (B , B2) 11/01/13 6.875 105,000 100 L-3 Communications Corp., Global Company Guaranteed Notes (Callable 07/15/08 @ $103.06) (BB- , Ba3) 07/15/13 6.125 103,750 100 Standard Aero Holdings, Inc., Rule 144A, Senior Subordinated Notes (Callable 09/01/09 @ $104.13)++ (B- , Caa1) 09/01/14 8.250 108,500 -------------- 417,875 -------------- AUTOMOBILE MANUFACTURING/VEHICLE PARTS (3.8%) 250 Collins & Aikman Products Corp., Rule 144A, Senior Subordinated Notes++~ (B- , B3) 08/15/12 12.875 217,187 100 Cummins, Inc., Global Senior Notes (Callable 12/01/06 @ $104.75)~ # (BB+ , Ba2) 12/01/10 9.500 114,000 150 Dura Operating Corp., Series D, Company Guaranteed Notes (Callable 05/01/05 @ $103.00)~ (B- , B2) 05/01/09 9.000 149,250 100 Holley Performance Products, Series B, Company Guaranteed Notes (Callable 09/15/05 @ $102.04) (CCC- , Caa3) 09/15/07 12.250 78,500 150 Keystone Automotive Operations, Global Senior Subordinated Notes (Callable 11/01/08 @ $104.88) (B- , B3) 11/01/13 9.750 161,250 450 Motor Coach Industries International, Inc., Company Guaranteed Notes (Callable 05/01/05 @ $103.75) (CCC , Ca) 05/01/09 11.250 258,750 150 Stanadyne Corp., Rule 144A, Senior Subordinated Notes (Callable 08/15/09 @ $105.00)++ (B- , Caa1) 08/15/14 10.000 162,750 100 Tenneco Automotive, Inc., Rule 144A, Senior Subordinated Notes (Callable 11/15/09 @ $104.31)++ (B- , B3) 11/15/14 8.625 104,500 65 TRW Automotive, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $105.50)~ (BB- , B1) 02/15/13 11.000 78,650 -------------- 1,324,837 -------------- BROADCAST/OUTDOOR (1.8%) 100 Entravision Communications Corp., Global Company Guaranteed Notes (Callable 03/15/06 @ $104.06) (B- , B3) 03/15/09 8.125 107,250
See Accompanying Notes to Financial Statements. 25
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- CORPORATE BONDS BROADCAST/OUTDOOR $ 125 Gray Television, Inc., Global Company Guaranteed Notes (Callable (12/15/06 @ $104.62) (B- , B2) 12/15/11 9.250 $ 140,625 100 Paxson Communications Corp., Global Company Guaranteed Notes (Callable 01/15/06 @ $106.12)## (CCC , Caa1) 01/15/09 0.000 94,000 100 Radio One, Inc., Series B, Global Company Guaranteed Notes (Callable 07/01/06 @ $104.44)~ (B- , B2) 07/01/11 8.875 109,375 100 Sinclair Broadcast Group, Inc., Global Company Guaranteed Notes (B , B2) 12/15/11 8.750 109,375 75 Susquehanna Media Co., Global Senior Subordinated Notes (Callable 04/15/08 @ $103.69) (B , B1) 04/15/13 7.375 80,625 -------------- 641,250 -------------- BUILDING PRODUCTS (1.9%) 100 Associated Materials, Inc., Global Company Guaranteed Notes (Callable 04/15/07 @ $104.88) (B- , B3) 04/15/12 9.750 112,250 100 Building Materials Corp., Company Guaranteed Notes (B+ , B2) 12/01/08 8.000 103,500 100 Dayton Superior Corp., Company Guaranteed Notes (Callable 06/15/07 @ $102.17)~ (CCC , Caa2) 06/15/09 13.000 104,500 100 Ply Gem Industries, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $104.50)~ (B- , B3) 02/15/12 9.000 102,000 150 Ply Gem Industries, Inc., Rule 144A, Senior Subordinated Notes (Callable 02/15/08 @ $104.50)++ (B- , B3) 02/15/12 9.000 153,000 100 RMCC Acquisition Co., Rule 144A, Senior Subordinated Notes (Callable 11/01/08 @ $104.75)++~ (CCC+ , Caa1) 11/01/12 9.500 100,250 -------------- 675,500 -------------- CABLE (7.2%) 250 Adelphia Communications Corp., Series B, Senior Notes** (NR , NR) 12/31/49 10.500 247,500 600 Cablevision Systems Corp., Rule 144A, Senior Notes++ (B+ , B3) 04/15/12 8.000 643,500 250 Century Communications Corp., Senior Discount Notes** (NR , NR) 12/31/49 0.000 266,250 200 Charter Communications Holdings LLC, Senior Discount Notes (Callable 04/01/05 @ $103.31)## (CCC- , Ca) 04/01/11 9.920 171,500
See Accompanying Notes to Financial Statements. 26
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- CORPORATE BONDS CABLE $ 100 Charter Communications Holdings LLC, Senior Notes (Callable 01/15/05 @ $105.12)## (CCC- , Ca) 01/15/10 10.250 $ 88,250 150 Frontiervision Holdings LP, Senior Discount Notes (Callable 09/15/05 @ $100.00)0 (NR , NR) 09/15/07 11.875 201,000 100 Insight Communications Company, Inc., Senior Discount Notes (Callable 02/15/06 @ $106.12)##~ (B- , Caa2) 02/15/11 0.000 97,750 100 Insight Midwest/Insight Capital Corp., Senior Notes (Callable 10/01/05 @ $103.25)~ (B+ , B2) 10/01/09 9.750 105,250 100 LodgeNet Entertainment Corp., Senior Subordinated Debentures (Callable 06/15/08 $104.75) (B- , B3) 06/15/13 9.500 111,000 150 Mediacom LLC Capital Corp., Senior Notes (Callable 01/15/06 @ $104.75)~ (B , B3) 01/15/13 9.500 151,312 150 Mediacom LLC Capital Corp., Senior Notes (Callable 02/15/06 @ $103.94) (B , B3) 02/15/11 7.875 147,750 100 Northland Cable Television, Inc., Company Guaranteed Notes (Callable 02/07/05 @ $101.71) (CC , Caa3) 11/15/07 10.250 100,000 125 Olympus Communications LP, Series B, Senior Notes0~ (NR , NR) 11/15/06 10.625 165,000 -------------- 2,496,062 -------------- CAPITAL GOODS (1.2%) 100 Intermet Corp., Global Company Guaranteed Notes (Callable 06/15/06 @ $104.88)~** (NR , NR) 06/15/09 9.750 49,500 105 JII Holdings LLC, Global Secured Notes (Callable 01/01/05 @ $106.50) (CCC- , Caa2) 04/01/07 13.000 98,175 160 Motors & Gears, Inc., Series D, Senior Notes (CCC , Caa1) 11/15/06 10.750 157,200 100 SPX Corp., Senior Notes (Callable 01/01/08 @ $103.75) (BB+ , Ba3) 01/01/13 7.500 109,000 -------------- 413,875 -------------- CHEMICALS (5.0%) 100 Crompton Corp., Rule 144A, Senior Notes (Callable 08/01/08 @ $104.94)++ (B , B1) 08/01/12 9.875 115,000 200 Crystal US Holdings, Rule 144A, Senior Discount Notes (Callable 10/01/09 @ $105.25)++##~ (B- , Caa2) 10/01/14 0.000 138,000 100 Equistar Chemicals LP/ Equistar Funding Corp., Global Company Guaranteed Notes (B+ , B2) 09/01/08 10.125 115,750 150 HMP Equity Holdings Corp., Global Senior Discount Notes (Callable 05/15/05 @ $68.68) (CCC+ , NR) 05/15/08 0.000 99,937 100 Huntsman Company LLC, Rule 144A, Company Guaranteed Notes (Callable 07/15/08 @ $105.75)++# (CCC+ , B3) 07/15/12 11.750 118,750
See Accompanying Notes to Financial Statements. 27
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- CORPORATE BONDS CHEMICALS $ 100 IMC Global, Inc., Series B, Global Company Guaranteed Notes (Callable 06/01/06 @ $105.62)~ (B+ , B1) 06/01/11 11.250 $ 116,000 200 Innophos, Inc., Rule 144A, Senior Subordinated Notes (Callable 08/16/09 @ $104.44)++~ (B- , B3) 08/15/14 8.875 217,000 150 Koppers Industry, Inc., Rule 144A, Senior Discount Notes (Callable 11/15/09 @ $104.94)++ (B- , Caa2) 11/15/14 0.000 96,750 100 Kraton Polymers LLC, Rule 144A, Senior Subordinated Notes (Callable 01/15/09 @ $104.06)++ (B- , Caa1) 01/15/14 8.125 104,750 87 Lyondell Chemical Co., Series B, Secured Notes (Callable 05/01/05 @ $102.47)~ (B+ , B1) 05/01/07 9.875 91,568 100 Nalco Co., Global Senior Subordinated Notes (Callable 11/15/08 @ $104.44) (B- , Caa1) 11/15/13 8.875 110,250 200 Polymer Holdings LLC, Rule 144A, Senior Discount Notes (Callable 01/15/09 @ $106.00)##++ (B- , Caa2) 07/15/14 0.000 141,500 100 Polyone Corp., Senior Notes (B+ , B3) 05/01/12 8.875 109,250 100 Radnor Holdings Corp., Global Senior Notes (Callable 03/15/07 @ $105.50) (CCC , Caa1) 03/15/10 11.000 86,250 65 Terra Capital, Inc., Global Secured Notes (Callable 06/01/07 @ $105.75) (B- , Caa1) 06/01/10 11.500 74,425 -------------- 1,735,180 -------------- COMPETITIVE LOCAL EXCHANGE CARRIER (CLEC) (0.8%) 100 Block Communications, Inc., Global Company Guaranteed Notes (Callable 04/15/06 @ $104.62) B- , B2) 04/15/09 9.250 109,500 150 Time Warner Telecom LLC, Senior Notes (Callable 07/15/05 @ $101.63)~ (CCC+ , B3) 07/15/08 9.750 152,625 -------------- 262,125 -------------- CONSUMER PRODUCTS/TOBACCO (5.2%) 150 Ames True Temper, Global Senior Subordinated Notes (Callable 07/15/08 @ $105.00) (CCC+ , Caa1) 07/15/12 10.000 154,500 125 Central Garden & Pet Co., Global Company Guaranteed Notes (Callable 02/01/08 @ $104.56) (B+ , B2) 02/01/13 9.125 138,750 150 Chattem, Inc., Global Senior Subordinated Notes (Callable 03/01/09 @ $103.50)~ (B , B2) 03/01/14 7.000 155,250 715 Diamond Brands Operating, Company Guaranteed Note (Callable 04/15/05 @ $101.69)** (NR , NR) 04/15/08 10.125 14,300
See Accompanying Notes to Financial Statements. 28
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- CORPORATE BONDS CONSUMER PRODUCTS/TOBACCO $ 100 DIMON, Inc., Series B, Global Company Guaranteed Notes (Callable 10/15/06 @ $104.81) (BB , B1) 10/15/11 9.625 $ 110,000 250 General Binding Corp., Company Guaranteed Notes (Callable 06/01/05 @ $101.56) (B- , Caa1) 06/01/08 9.375 251,250 100 Jarden Corp., Global Company Guaranteed Notes (Callable 05/01/07 @ $104.88) (B- , B2) 05/01/12 9.750 111,500 250 Johnsondiversey Holdings, Inc., Global Discount Notes (Callable 05/15/07 @ $105.34)## (B , B3) 05/15/13 0.000 217,500 100 Johnsondiversey, Inc., Series B, Global Company Guaranteed Notes (Callable 05/15/07 @ $104.81) (B , B2) 05/15/12 9.625 112,250 100 Playtex Products, Inc., Global Company Guaranteed Notes (Callable 06/01/06 @ $104.69)~ (CCC+ , Caa2) 06/01/11 9.375 107,250 150 Prestige Brands, Inc., Rule 144A, Senior Subordinated Notes (Callable 04/15/08 @ $104.63)++ (CCC+ , Caa1) 04/15/12 9.250 160,125 150 TriMas Corp., Global Company Guaranteed Notes (Callable 06/15/07 @ $104.94) (B , B3) 06/15/12 9.875 159,750 151 Werner Holding Company, Inc., Series A, Company Guaranteed Notes (Callable 11/15/05 @ $100.00) (CCC- , B3) 11/15/07 10.000 125,667 -------------- 1,818,092 -------------- CONTAINERS (2.7%) 150 Berry Plastics Corp., Global Company Guaranteed Notes (Callable 07/15/07 @ $105.38)~ (B- , B3) 07/15/12 10.750 172,500 100 Constar International, Inc., Senior Subordinated Notes (Callable 12/01/07 @ $105.50) (B , Caa1) 12/01/12 11.000 104,250 150 Graham Packaging Company, Inc., Rule 144A, Subordinated Notes (Callable 10/15/09 @ $104.94)++ (CCC+ , Caa2) 10/15/14 9.875 160,875 100 Owens-Illinois, Inc., Senior Notes (B , Caa1) 05/15/08 7.350 105,500 100 Pliant Corp., Global Secured Notes (Callable 06/15/07 @ $105.56)## (B- , B3) 06/15/09 0.000 92,875 200 Solo Cup Company, Senior Subordinated Notes (Callable 02/15/09 @ $104.25) (B- , B3) 02/15/14 8.500 209,000 100 Tekni-Plex, Inc., Series B, Company Guaranteed Notes (Callable 06/15/05 @ $106.38)~ (CCC , Caa2) 06/15/10 12.750 95,500 -------------- 940,500 --------------
See Accompanying Notes to Financial Statements. 29
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- CORPORATE BONDS DIVERSIFIED TELECOMMUNICATIONS (0.6%) $ 200 Qwest Corp., Rule 144A, Senior Notes++ (BB- , Ba3) 09/01/11 7.875 $ 218,000 ELECTRONICS/INFORMATION/DATA TECHNOLOGY (0.3%) 89 Ampex Corp., Secured Notes^ (NR , NR) 08/15/08 12.000 88,597 ENERGY -- OTHER (3.7%) 100 Amerigas Partners LP Eagle Finance Corp., Series B, Global Senior Notes (Callable 05/20/06 @ $104.44) (BB- , B2) 05/20/11 8.875 109,500 100 Dynegy Holdings, Inc., Senior Notes~ (CCC+ , Caa2) 04/01/11 6.875 96,750 100 Dynegy Holdings, Inc., Senior Notes~ (CCC+ , Caa2) 02/15/12 8.750 105,250 100 El Paso CGP Co., Notes~ (CCC+ , Caa1) 02/01/09 6.375 100,125 100 El Paso Corp., Senior Notes~ (CCC+ , Caa1) 05/15/11 7.000 101,625 100 El Paso Production Holding Co., Global Company Guaranteed Notes (Callable 06/01/08 @ $103.88) (B- , B3) 06/01/13 7.750 105,250 150 Giant Industries, Inc., Company Guaranteed Notes (Callable 05/15/09 @ $104.00)~ (B- , B3) 05/15/14 8.000 157,500 74 Giant Industries, Inc., Global Company Guaranteed Notes (Callable 05/15/07 @ $105.50) (B- , B3) 05/15/12 11.000 86,210 150 NRG Energy, Inc., Rule 144A, Secured Notes (Callable 12/15/08 @ $104.00)++ (B , B1) 12/15/13 8.000 164,250 100 Pacific Energy Partners, Global Senior Notes (Callable 06/15/09 @ $103.56) (BB , Ba2) 06/15/14 7.125 107,000 150 Reliant Resources, Inc., Global Secured Notes (Callable 07/15/08 @ $104.75) (B , B1) 07/15/13 9.500 171,187 -------------- 1,304,647 -------------- ENVIRONMENTAL SERVICES (1.3%) 250 Allied Waste North America, Inc., Series B, Global Senior Notes (Callable 04/15/09 @ $103.69) (B+ , Caa1) 04/15/14 7.375 240,625 200 Capital Environmental Resource, Inc., Rule 144A, Senior Subordinated Notes (Callable 04/15/09 @ $104.75)++ (CCC , Ca) 04/15/14 9.500 200,000 -------------- 440,625 -------------- FINANCE -- OTHER (1.1%) 100 Genesis Healthcare Corp., Senior Subordinated Notes (Callable 10/15/08 @ $104.00) (B- , B3) 10/15/13 8.000 109,000 100 Rainbow National Services LLC, Rule 144A, Senior Notes (Callable 09/01/08 @ $104.38)++ (CCC+ , B3) 09/01/12 8.750 110,250 150 Ventas Realty LP, Global Company Guaranteed Notes (BB , Ba3) 05/01/12 9.000 175,688 -------------- 394,938 --------------
See Accompanying Notes to Financial Statements. 30
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- CORPORATE BONDS FOOD PROCESSORS/BEVERAGE/BOTTLING (3.7%) $ 200 B&G Foods, Inc., Senior Notes (Callable 10/01/08 @ $104.00)~ (B , B2) 10/01/11 8.000 $ 214,000 25 Birds Eye Foods, Inc., Company Guaranteed Notes (Callable 11/01/05 @ $101.98) (B- , B3) 11/01/08 11.875 26,156 200 Chiquita Brands International, Inc., Rule 144A, Senior Notes (Callable 11/01/09 @ $103.75)++ (B , B2) 11/01/14 7.500 203,500 100 Eagle Family Foods, Inc., Series B, Company Guaranteed Notes (Callable 01/15/05 @ $101.46) (CCC , Caa2) 01/15/08 8.750 77,500 150 Land O' Lakes, Inc., Global Senior Notes (Callable 11/15/06 @ $104.38)~ (B- , B3) 11/15/11 8.750 150,000 200 National Beef Packing Company LLC, Global Senior Notes (Callable 08/01/07 @ $105.25) (B , B2) 08/01/11 10.500 211,000 200 National Wine & Spirits, Inc., Company Guaranteed Notes (Callable 01/15/05 @ $103.38) (CCC+ , B3) 01/15/09 10.125 199,000 100 Pilgrim's Pride Corp., Company Guaranteed Notes (Callable 09/15/06 @ $104.81) (BB- , B1) 09/15/11 9.625 113,000 100 Pinnacle Foods Holdings Corp., Rule 144A, Senior Subordinated Notes (Callable 12/01/08 @ $104.12)++ (B , B3) 12/01/13 8.250 95,750 -------------- 1,289,906 -------------- GAMING (4.9%) 100 Ameristar Casinos, Inc., Global Company Guaranteed Notes (Callable 02/15/06 @ $105.38) (B , B2) 02/15/09 10.750 112,000 100 Argosy Gaming Co., Senior Subordinated Notes (Callable 09/01/06 @ $104.50) (B+ , Ba3) 09/01/11 9.000 112,000 100 Aztar Corp., Global Senior Subordinated Notes (Callable 08/15/06 @ $104.50) (B+ , Ba3) 08/15/11 9.000 110,750 100 Circus & Eldorado, Global First Mortgage Notes (Callable 03/01/07 @ $105.06) (B+ , B1) 03/01/12 10.125 109,250 150 Hard Rock Hotel, Inc., Global Notes (Callable 06/01/08 @ $104.44)~ (B , B3) 06/01/13 8.875 166,500 150 Herbst Gaming, Inc., Global Senior Subordinated Notes (Callable 06/01/08 @ $104.06) (B- , B3) 06/01/12 8.125 161,250 100 Inn of The Mountain Gods, Rule 144A, Senior Notes (Callable 11/15/07 @ $106.00)++~ (B , B3) 11/15/10 12.000 117,500 100 Majestic Star Casino LLC, Company Guaranteed Notes (Callable 10/15/07 @ $104.75)~ (B , B2) 10/15/10 9.500 106,500 200 MGM Mirage, Global Senior Notes (BB+ , Ba1) 09/01/12 6.750 211,500
See Accompanying Notes to Financial Statements. 31
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- CORPORATE BONDS GAMING $ 100 OED Corp., Global Company Guaranteed Notes (Callable 04/15/08 @ $104.38) (B , B2) 04/15/12 8.750 $ 98,500 100 Penn National Gaming, Inc., Series B, Global Company Guaranteed Notes (Callable 03/01/05 @ $105.56) (B , B2) 03/01/08 11.125 107,250 100 Virgin River Casino Corp., Rule 144A, Secured Notes (Callable 01/15/09 @ $104.50)++ (B , B3) 01/15/12 9.000 104,500 182 Waterford Gaming LLC, Rule 144A, Senior Notes (Callable 09/15/08 @ $103.55)++ (B+ , B1) 09/15/12 8.625 195,650 300 Windsor Woodmont Black Hawk, Series B, First Mortgage Notes (Callable 02/11/05 @ $104.33)**^ (NR , NR) 03/15/05 13.000 9,000 -------------- 1,722,150 -------------- HEALTHCARE FACILITIES/SUPPLIES (3.6%) 100 Alpharma, Inc., Rule 144A, Senior Notes (Callable 05/01/07 @ $104.31)++ (B- , B3) 05/01/11 8.625 105,000 200 Fisher Communications, Inc., Rule 144A, Senior Notes (Callable 09/15/09 @ $104.31)++ (B- , B2) 09/15/14 8.625 217,000 100 Fisher Scientific International, Inc., Rule 144A, Senior Subordinated Notes (Callable 08/15/09 @ $103.38)++ (BB+ , Ba3) 08/15/14 6.750 107,750 100 Medical Device Manufacturing, Inc., Rule 144A, Company Guaranteed Notes (Callable 07/15/08 @ $105.00)++ (B- , Caa1) 07/15/12 10.000 108,250 150 MQ Associates, Inc., Global Senior Discount Notes (Callable 08/15/08 @ $109.00)+ (B- , Caa1) 08/15/12 12.250 114,000 50 Rotech Healthcare, Inc., Global Company Guaranteed Notes (Callable 04/01/07 @ $104.75) (B+ , B2) 04/01/12 9.500 55,250 100 Tenet Healthcare Corp., Rule 144A, Senior Notes++~ (B- , B3) 07/01/14 9.875 109,500 100 Universal Hospital Services, Inc., Global Senior Notes (Callable 11/01/07 @ $105.06) (B- , B3) 11/01/11 10.125 104,500 200 Vanguard Health Holding Co., Rule 144A, Senior Subordinated Notes (Callable 10/01/09 @ $104.50)++ (CCC+ , Caa1) 10/01/14 9.000 215,000 100 Vicar Operating, Inc., Company Guaranteed Notes (Callable 12/01/05 @ $104.94) (B , B2) 12/01/09 9.875 110,000 -------------- 1,246,250 -------------- HOME BUILDERS (0.6%) 100 Beazer Homes USA, Inc., Global Company Guaranteed Notes (Callable 04/15/07 @ $104.19) (BB , Ba1) 04/15/12 8.375 110,500 100 William Lyon Homes, Inc., Rule 144A, Senior Notes (Callable 12/15/08 @ $103.81)++ (B , B2) 12/15/12 7.625 98,125 -------------- 208,625 --------------
See Accompanying Notes to Financial Statements. 32
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- CORPORATE BONDS INDUSTRIAL -- OTHER (2.0%) $ 200 Coleman Cable, Inc., Rule 144A, Senior Notes (Callable 10/01/08 @ $104.94)++ (B- , B3) 10/01/12 9.875 $ 213,500 150 Great Lakes Dredge & Dock Corp., Global Senior Subordinated Notes (Callable 12/15/08 @ $103.88)~ (CCC , Caa2) 12/15/13 7.750 137,250 100 Hawk Corp., Rule 144A, Senior Notes (Callable 11/01/09 @ $104.38)++ (B , B2) 11/01/14 8.750 103,000 150 True Temper Sports, Inc., Global Company Guaranteed Notes (Callable 03/15/08 @ $104.19) (CCC+ , Caa1) 09/15/11 8.375 140,250 100 Wolverine Tube, Inc., Global Company Guaranteed Notes (Callable 04/01/06 @ $105.25) (B+ , B3) 04/01/09 10.500 109,500 -------------- 703,500 -------------- LEISURE (4.0%) 100 Affinity Group, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $104.50) (B- , B3) 02/15/12 9.000 108,750 72 AMC Entertainment, Inc., Senior Subordinated Notes (Callable 02/01/05 @ $103.17) (CCC+ , B3) 02/01/11 9.500 74,790 300 Bally Total Fitness Holding Corp., Global Senior Notes (Callable 07/15/07 @ $105.25) (CCC+ , B3) 07/15/11 10.500 303,750 200 Booth Creek Ski Holdings, Inc., Series B, Company Guaranteed Notes (Callable 03/15/05 @ $100.00) (CCC+ , Caa1) 03/15/07 12.500 202,500 100 Cinemark USA, Inc., Global Senior Subordinated Notes (Callable 02/01/08 @ $104.50) (B- , B3) 02/01/13 9.000 114,625 200 K2, Inc., Rule 144A, Senior Notes (Callable 07/01/09 @ $103.69)++ (BB , Ba3) 07/01/14 7.375 220,000 100 Riddell Bell Holdings, Inc., Rule 144A, Senior Subordinated Notes (Callable 10/01/08 @ $104.19)++ (B- , B3) 10/01/12 8.375 104,000 150 Six Flags, Inc., Rule 144A, Global Senior Notes (Callable 06/01/09 @ $104.81)++~ (CCC , Caa1) 06/01/14 9.625 151,500 100 Speedway Motorsports, Inc., Global Senior Subordinated Notes (Callable 06/01/08 @ $103.38) (B+ , Ba2) 06/01/13 6.750 105,750 -------------- 1,385,665 -------------- METALS & MINING (1.5%) 100 AK Steel Corp., Global Company Guaranteed Notes (Callable 06/15/07 @ $103.88)~ (B+ , B3) 06/15/12 7.750 103,500 100 Earle M. Jorgensen Co., Global Secured Notes (Callable 06/01/07 @ $104.88)~ (B- , B2) 06/01/12 9.750 113,000 100 Imco Recycling Escrow, Inc., Rule 144A, Senior Notes (Callable 11/15/09 @ $104.50)++ (B- , B3) 11/15/14 9.000 104,500
See Accompanying Notes to Financial Statements. 33
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- CORPORATE BONDS METALS & MINING $ 100 Metallurg, Inc., Series B, Company Guaranteed Notes (Callable 12/01/05 @ $100.00) (NR , Ca) 12/01/07 11.000 $ 87,500 100 UCAR Finance, Inc., Global Company Guaranteed Notes (Callable 02/15/07 @ $105.12) (B , B2) 02/15/12 10.250 114,750 -------------- 523,250 -------------- OIL EQUIPMENT (0.5%) 48 Parker Drilling Co., Series B, Company Guaranteed Notes (Callable 11/15/05 @ $103.38)~ (B- , B2) 11/15/09 10.125 50,460 100 Pride International, Inc., Global Senior Notes (Callabe 07/15/09 @ $103.69) (BB- , Ba2) 07/15/14 7.375 109,750 -------------- 160,210 -------------- PAPER & FOREST PRODUCTS (0.9%) 100 Caraustar Industries, Inc., Global Company Guaranteed Notes (Callable 04/01/06 @ $105.25)~ (B , Caa1) 04/01/11 9.875 109,000 200 Newark Group, Inc., Global Senior Subordinated Notes (Callable 03/15/09 @ $104.88) (B- , Caa1) 03/15/14 9.750 214,000 -------------- 323,000 -------------- PHARMACEUTICALS (0.2%) 82 Biovail Corp., Yankee Senior Subordinated Notes (Callable 04/01/06 @ $103.94)~ (BB- , B2) 04/01/10 7.875 85,280 PUBLISHING (2.2%) 100 Dex Media, Inc., Global Notes (Callable 11/15/08 @ $104.00) (B , B3) 11/15/13 8.000 108,750 100 Haights Cross Operating Co., Rule 144A, Senior Notes (Callable 08/15/08 @ $105.88)++ (CCC , Caa1) 08/15/11 11.750 113,500 300 Liberty Group Publishing, Inc., Debentures (Callable 02/01/05 @ $101.94)## (CCC+ , Caa2) 02/01/09 11.625 304,875 150 Morris Publishing Group LLC, Global Company Guaranteed Notes (Callable 08/01/08 @ $103.50) (B+ , Ba3) 08/01/13 7.000 153,750 100 Phoenix Color Corp., Company Guaranteed Notes (Callable 02/01/05 @ $103.46) (CCC+ , Caa2) 02/01/09 10.375 87,625 500 Premier Graphics, Inc., Company Guaranteed Notes (Callable 02/07/05 @ $100.00)**^ (NR , NR) 12/01/49 11.500 0 -------------- 768,500 -------------- RESTAURANTS (0.7%) 215 AmeriKing, Inc., Senior Notes** (NR , NR) 11/15/07 10.750 0 229 AmeriKing, Inc., Senior Notes** (NR , NR) 05/15/08 13.000 0 150 Friendly Ice Cream Corp., Global Senior Notes (Callable 06/15/08 @ $104.19)~ (B- , B2) 06/15/12 8.375 147,938 100 Sbarro, Inc., Company Guaranteed Notes (Callable 09/15/05 @ $103.67)~ (CCC , Caa2) 09/15/09 11.000 101,500 -------------- 249,438 --------------
See Accompanying Notes to Financial Statements. 34
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- CORPORATE BONDS RETAIL-- FOOD & DRUG (1.9%) $ 200 Duane Reade, Inc., Rule 144A, Senior Subordinated Notes (Callable 08/01/08 @ $104.88)++~ (CCC+ , B3) 08/01/11 9.750 $ 183,000 100 Great Atlantic & Pacific Tea Company, Inc., Notes (B- , Caa1) 04/15/07 7.750 99,500 100 Jean Coutu Group (PJC), Inc., Rule 144A, Senior Subordinated Notes (Callable 8/01/09 @ $104.25)++~ (B , B3) 08/01/14 8.500 103,000 95 Nutritional Sourcing Corp., Notes (Callable 06/05/05 @ $101.00) (NR , NR) 08/01/09 10.125 66,772 100 Rite Aid Corp., Global Secured Notes (Callable 05/01/07 @ $104.06)~ (B+ , B2) 05/01/10 8.125 106,250 100 Roundy's, Inc., Series B, Global Company Guaranteed Notes (Callable 06/15/07 @ $104.44) (B , B2) 06/15/12 8.875 109,750 -------------- 668,272 -------------- RETAIL STORES (3.3%) 100 AutoNation, Inc., Global Company Guaranteed Notes (BBB- , Ba2) 08/01/08 9.000 114,750 100 Finlay Fine Jewelry Corp., Global Senior Notes (Callable 06/01/08 @ $104.19)~ (B+ , B1) 06/01/12 8.375 108,500 370 Flooring America, Inc., Series B, Company Guaranteed Notes (Callable 10/15/05 @ $100.00)**^ (NR , NR) 10/15/07 9.250 0 100 Jafra Cosmetics/Distribution, Global Company Guaranteed Notes (Callable 05/15/07 @ $105.38) (B- , B3) 05/15/11 10.750 113,500 150 Leslie's Poolmart, Series B, Senior Notes (Callable 07/15/05 @ $102.59) (NR , B2) 07/15/08 10.375 159,937 100 Michaels Stores, Inc., Senior Notes (Callable 07/01/05 @ $104.62) (BB+ , Ba1) 07/01/09 9.250 107,657 100 Pep Boys - Manny, Moe & Jack, Senior Subordinated Notes (Callable 12/15/09 @ $103.75)~ (B , B3) 12/15/14 7.500 101,875 125 Pep Boys - Manny, Moe & Jack, Series MTNB, Notes (BB- , B2) 07/07/06 6.920 130,000 200 Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 11/01/07 @ $108.00)++ (B , B3) 11/01/10 10.500 206,000 100 United Auto Group, Inc., Global Company Guaranteed Notes (Callable 03/15/07 @ $104.81) (B , B3) 03/15/12 9.625 111,000 -------------- 1,153,219 -------------- SATELLITE (0.8%) 100 EchoStar DBS Corp., Rule 144A, Company Guaranteed Notes++ (BB- , Ba3) 10/01/14 6.625 101,750 150 Panamsat Corp., Rule 144A, Company Guaranteed Notes (Callable 08/15/09 @ $104.50)++ (B+ , B2) 08/15/14 9.000 168,188 -------------- 269,938 --------------
See Accompanying Notes to Financial Statements. 35
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- CORPORATE BONDS SECONDARY OIL & GAS PRODUCERS (2.1%) $ 116 Chesapeake Energy Corp., Senior Notes (Callable 01/15/09 @ $103.44)~ (BB- , Ba3) 01/15/16 6.875 $ 122,090 65 Magnum Hunter Resources, Inc., Global Company Guaranteed Notes (Callable 03/15/07 @ $104.80) (B+ , B2) 03/15/12 9.600 74,100 100 Newfield Exploration Co., Rule 144A, Senior Subordinated Notes (Callable 09/01/09 @ $103.31)++ (BB- , Ba3) 09/01/14 6.625 106,250 100 Plains Exploration & Production Co., Series B, Global Senior Subordinated Notes (Callable 07/01/07 @ $104.38) (B+ , Ba3) 07/01/12 8.750 112,250 100 Swift Energy Co., Senior Subordinated Notes (Callable 05/01/07 @ $104.69) (B , B2) 05/01/12 9.375 112,500 100 Vintage Petroleum, Inc., Global Senior Subordinated Notes (Callable 05/15/06 @ $103.94)~ (B , B1) 05/15/11 7.875 107,000 100 Whiting Petroleum Corp., Global Senior Subordinated Notes (Callable 05/01/08 @ $103.63) (B- , B2) 05/01/12 7.250 105,000 -------------- 739,190 -------------- SERVICES (3.2%) 100 Alderwoods Group, Inc., Rule 144A, Senior Notes (Callable 09/15/08 @ $103.88)++ (B , B2) 09/15/12 7.750 108,500 250 Ameriserve Finance Trust, Rule 144A, Secured Notes (Callable 09/15/05 @ $100.00)**++ (NR , NR) 09/15/06 12.000 13,125 100 IESI Corp., Global Company Guaranteed Notes (Callable 06/15/07 @ $105.12) (B- , B3) 06/15/12 10.250 117,500 100 Iron Mountain, Inc., Company Guaranteed Notes (Callable 01/15/08 @ $103.88) (B , B3) 01/15/15 7.750 102,000 100 La Petite Academy, Inc., Series B, Company Guaranteed Notes (Callable 05/15/05 @ $101.67) (CC , Ca) 05/15/08 10.000 89,500 100 LNR Property Corp., Series A, Global Senior Subordinated Notes (Callable 10/15/08 @ $103.62) (B+ , Ba3) 10/15/13 7.250 113,125 100 Morton's Restaurant Group, Inc., Global Secured Notes (Callable 07/01/07 @ $105.30)~ (B- , B2) 07/01/10 7.500 98,000 175 Muzak LLC/Muzak Finance, Global Senior Notes (Callable 02/15/06 @ $105.00) (CCC- , Caa1) 02/15/09 10.000 163,844 100 NationsRent, Inc., Global Secured Notes (Callable 10/15/07 @ $104.75) (BB- , B2) 10/15/10 9.500 112,500 100 United Rentals North America, Inc., Global Senior Subordinated Notes (Callable 11/15/08 @ $103.88)~ (B+ , B2) 11/15/13 7.750 98,500 100 Xerox Corp., Senior Notes (B+ , Ba2) 08/15/11 6.875 107,000 -------------- 1,123,594 --------------
See Accompanying Notes to Financial Statements. 36
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- CORPORATE BONDS TECHNOLOGY (1.4%) $ 50 Advanced Micro Devices, Inc., Rule 144A, Senior Notes (Callable 11/01/08 @ $103.88)++ (B- , B3) 11/01/12 7.750 $ 52,313 100 Lucent Technologies, Inc., Notes~ (B , B2) 07/15/06 7.250 105,000 100 Lucent Technologies, Inc., Notes~ (B , B2) 11/15/08 5.500 103,250 100 Seagate Technology HDD Holdings, Global Company Guaranteed Notes (Callable 05/15/06 @ $104.00)~ (BB+ , Ba2) 05/15/09 8.000 108,500 100 Solectron Corp., Senior Notes (Callable 02/15/06 @ $104.81)~ (B+ , B1) 02/15/09 9.625 110,500 -------------- 479,563 -------------- TEXTILE/APPAREL/SHOE MANUFACTURING (0.9%) 100 BGF Industries, Inc., Series B, Senior Subordinated Notes (Callable 01/15/05 @ $103.50) (CCC- , Ca) 01/15/09 10.250 97,250 100 Levi Strauss & Co., Global Senior Notes (Callable 12/15/07 @ $106.12)~ (CCC , Ca) 12/15/12 12.250 111,750 100 Propex Fabrics, Inc., Rule 144A, Senior Notes (Callable 12/01/08 @ $105.00)++ (B- , Caa1) 12/01/12 10.000 104,250 -------------- 313,250 -------------- TOWER (1.0%) 100 American Tower Corp., Rule 144A, Senior Notes (Callable 10/15/08 @ $103.56)++ (CCC , B3) 10/15/12 7.125 102,750 100 Crown Castle International Corp., Series B, Global Senior Notes (Callable 12/01/08 @ $103.75)~ (CCC , B3) 12/01/13 7.500 108,000 150 SBA Telecommunications, Inc., Global Senior Discount Notes (Callable 12/15/07 @ $104.88)## (CCC- , Caa1) 12/15/11 0.000 127,125 -------------- 337,875 -------------- TRANSPORTATION/OTHER (0.3%) 100 Overseas Shipholding Group, Inc., Global Senior Notes (Callable 03/15/08 @ $104.12) (BB+ , Ba1) 03/15/13 8.250 111,750 -------------- UTILITIES (3.9%) 48 AES Corp., Senior Notes (B- , B2) 06/01/09 9.500 54,840 50 Allegheny Energy Supply Company LLC, Global Notes~ (B- , B3) 03/15/11 7.800 54,750 200 Aquila, Inc., Senior Notes~ (B- , B2) 11/15/09 7.625 210,000 200 Calpine Corp., Rule 144A, Secured Notes (Callable 07/15/07 @ $104.25)++~ (B , NR) 07/15/10 8.500 172,500 100 Calpine Corp., Senior Notes~ (CCC+ , Caa1) 04/15/09 7.750 77,000 100 CMS Energy Corp., Senior Notes (B+ , B3) 01/15/09 7.500 107,000 100 Edison Mission Energy, Senior Notes (B , B1) 06/15/09 7.730 108,000 100 Mirant Americas Generation LLC, Senior Notes** (NR , NR) 05/01/06 7.625 108,000 100 Mirant Corp., Rule 144A, Senior Notes++**~ (NR , NR) 07/15/49 7.400 74,000
See Accompanying Notes to Financial Statements. 37
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- CORPORATE BONDS UTILITIES $ 50 Nevada Power Co., Series E, Global Notes (Callable 10/15/06 @ $105.44) (NR , Ba2) 10/15/09 10.875 $ 58,000 100 Sierra Pacific Resources, Global Senior Notes (Callable 03/15/09 @ $104.31)~ (B- , B2) 03/15/14 8.625 113,500 200 TNP Enterprises, Inc., Senior Subordinated Notes (Callable 04/01/05 @ $105.12) (BB- , B2) 04/01/10 10.250 214,500 -------------- 1,352,090 -------------- WIRELESS (3.5%) 50 AirGate PCS, Inc., Rule 144A, Secured Notes (Callable 01/01/06 @ $104.69)++ (CCC- , Caa1) 09/01/09 9.375 54,125 107 AirGate PCS, Inc., Secured Notes (Callable 01/01/06 @ $104.69) (CCC- , Caa1) 09/01/09 9.375 115,394 100 Alamosa Delaware, Inc., Global Senior Notes (Callable 01/31/08 @ $104.25) (CCC , Caa1) 01/31/12 8.500 109,750 200 American Cellular Corp., Series B, Global Senior Notes (Callable 08/01/07 @ $105.00) (B- , Caa1) 08/01/11 10.000 172,500 100 Centennial Cellular Corp., Senior Subordinated Notes (Callable 12/15/05 @ $101.79)~ (CCC , Caa3) 12/15/08 10.750 104,250 100 Centennial Communications Corp., Global Senior Notes (Callable 02/01/09 @ $104.06) (CCC , Caa1) 02/01/14 8.125 103,250 100 iPCS, Inc., Rule 144A, Senior Notes (Callable 05/01/08 @ $105.75)++ (CCC , B3) 05/01/12 11.500 114,000 100 Nextel Communications, Inc., Senior Notes (Callable 03/15/09 @ $102.98) (BB , Ba3) 03/15/14 5.950 104,000 150 Nextel Partners, Inc., Global Senior Notes (Callable 07/01/07 @ $104.06) (B- , Caa1) 07/01/11 8.125 167,250 200 Triton PCS, Inc., Global Company Guaranteed Notes (Callable 11/15/06 @ $104.38)~ (CCC , B3) 11/15/11 8.750 159,000 -------------- 1,203,519 -------------- TOTAL CORPORATE BONDS (Cost $29,160,770) 29,590,137 -------------- FOREIGN BONDS (7.0%) BUILDING PRODUCTS (0.5%) 100 Maax Holdings, Inc., Rule 144A, Senior Discount Notes (Callable 12/15/08 @ $105.63) (Canada)++ (CCC+ , Caa1) 12/15/12 0.000 63,250 100 Maax Holdings, Inc., Rule 144A, Senior Subordinated Notes (Callable 06/15/08 @ $104.88) (Canada)++ (B- , B3) 06/15/12 9.750 106,250 -------------- 169,500 -------------- CABLE (0.5%) 150 Kabel Deutschland GMBH, Rule 144A, Senior Notes (Callable 07/01/09 @ $105.31) (Germany)++ (B , B2) 07/01/14 10.625 173,250 --------------
See Accompanying Notes to Financial Statements. 38
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- FOREIGN BONDS CHEMICALS (1.1%) $ 100 Acetex Corp., Global Senior Notes (Callable 08/01/05 @ $105.44) (Canada) (B+ , B2) 08/01/09 10.875 $ 109,250 150 BCP Caylux Holdings Luxembourg SCA, Rule 144A, Senior Subordinated Notes (Callable 06/15/09 @ $104.81) (Luxembourg)++ (B- , B3) 06/15/14 9.625 169,875 100 Rhodia SA, Rule 144A, Global Senior Notes (France)++~ (CCC+ , B3) 06/01/10 10.250 113,000 -------------- 392,125 -------------- CONTAINERS (0.3%) 100 Crown European Holdings SA, Global Secured Notes (Callable 03/01/08 @ $105.44) (France) (B , B2) 03/01/13 10.875 118,750 -------------- ENERGY -- OTHER (0.6%) 200 Harvest Operations Corp., Rule 144A, Senior Notes (Callable 10/15/08 @ $103.94) (Canada)++ (B- , B3) 10/15/11 7.875 202,500 -------------- GAMING (0.3%) 100 Kerzner International, Ltd., Global Company Guaranteed Notes (Callable 08/15/06 @ $104.44) (Bahamas) (B , B2) 08/15/11 8.875 109,750 -------------- INDUSTRIAL - OTHER (0.0%) 504 International Utility Structures, Inc., Subordinated Notes (Callable 02/01/05 @ $102.17) (Canada)** (NR , NR) 02/01/08 13.000 2,520 -------------- LEISURE (0.5%) 150 Intrawest Corp., Rule 144A, Senior Notes (Callable 10/15/08 @ $103.75) (Canada)++ (B+ , B1) 10/15/13 7.500 160,312 -------------- METALS & MINING (0.4%) 97 Ispat Inland ULC, Global Secured Notes (Callable 04/01/09 @ $104.88) (Canada) (BBB , B3) 04/01/14 9.750 120,280 -------------- OIL & GAS (0.2%) 65 Paramount Resources, Ltd., Yankee Senior Notes (Callable 07/15/09 @ $104.44) (Canada) (B , B3) 07/15/14 8.875 78,975 -------------- PAPER & FOREST PRODUCTS (0.9%) 100 Abitibi-Consolidated, Inc., Global Notes (Canada)~ (BB- , Ba3) 06/15/11 7.750 105,500 100 Stone Container Finance Corp., Global Company Guaranteed Notes (Callable 07/15/09 @ $103.69) (Canada) (B , B2) 07/15/14 7.375 107,000 100 Tembec Industries, Inc., Global Company Guaranteed Notes (Canada) (B , B2) 03/15/12 7.750 97,250 -------------- 309,750 --------------
See Accompanying Notes to Financial Statements. 39
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----------- --------------- ---------- ---------- -------------- FOREIGN BONDS PHARMACEUTICALS (0.3%) $ 100 Elan Finance PLC, Rule 144A, Senior Notes (Callable 11/15/08 @ $103.88) (Ireland)++ (B , B3) 11/15/11 7.750 $ 107,000 -------------- PUBLISHING (0.3%) 100 Advertising Directory Solution, Rule 144A, Senior Notes (Callable 11/15/05 @ $103.00) (Canada)++~ (B- , Caa1) 11/15/12 9.250 105,500 -------------- SECONDARY OIL & GAS PRODUCERS (0.3%) 100 Compton Petroleum Corp., Global Senior Notes (Callable 05/15/06 @ $104.95) (Canada) (B , B2) 05/15/09 9.900 111,000 -------------- TRANSPORTATION/OTHER (0.5%) 150 Ship Finance International, Ltd., Global Senior Notes (Callable 12/15/08 @ $104.25) (Bermuda) (B , B1) 12/15/13 8.500 155,250 -------------- WIRELESS (0.3%) 100 Rogers Wireless Communications, Inc., Rule 144A, Secured Notes (Canada)++~ (BB , Ba3) 12/15/12 7.250 106,500 -------------- TOTAL FOREIGN BONDS (Cost $2,723,052) 2,422,962 -------------- NUMBER OF SHARES ---------- COMMON STOCKS (1.0%) AUTOMOBILE MANUFACTURING/VEHICLE PARTS (0.0%) 413,097 Cambridge Industries Liquidating Trust*^ 4,131 -------------- FOOD PROCESSORS/BEVERAGE/BOTTLING (0.3%) 70 Crunch Equity Holding LLC, Class A 94,886 -------------- RETAIL-FOOD & DRUG (0.0%) 682 Archibald Candy Corp.*^ 0 -------------- RETAIL STORES (0.1%) 8,710 Safelite Glass Corp., Class B*^ 43,550 588 Safelite Realty Corp.*^ 5,880 -------------- 49,430 -------------- TEXTILE/APPAREL/SHOE MANUFACTURING (0.0%) 2,800 Worldtex, Inc*^ 0 -------------- WIRELESS (0.6%) 4,405 AirGate PCS, Inc.*~ 156,818 19,309 Dobson Communications Corp., Class A* 33,212 -------------- 190,030 -------------- TOTAL COMMON STOCKS (Cost $759,201) 338,477 --------------
See Accompanying Notes to Financial Statements. 40
NUMBER OF SHARES VALUE ---------- -------------- PREFERRED STOCKS (0.9%) BROADCAST/OUTDOOR (0.6%) 2,999 Paxson Communications Corp.*~ $ 221,176 -------------- CABLE (0.0%) 11,890 DIVA Systems Corp., Series C*^ 0 -------------- GAMING (0.0%) 1,077 Peninsula Gaming LLC* 6,462 -------------- RESTAURANTS (0.0%) 10,084 AmeriKing, Inc.*^ 0 -------------- SERVICES (0.0%) 14,036 Source Media, Inc.* 0 -------------- TEXTILE/APPAREL/SHOE MANUFACTURING (0.0%) 857 Worldtex, Inc*^ 0 -------------- WIRELESS (0.3%) 300 Dobson Communications Corp., Rule 144A*++ 19,538 880 Rural Cellular Corp., Series B* 68,420 -------------- 87,958 -------------- TOTAL PREFERRED STOCKS (Cost $1,034,756) 315,596 -------------- WARRANTS (0.0%) CABLE (0.0%) 7,581 DIVA Systems Corp., Rule 144A, strike $0.01 expires March 2008*++^ 7 -------------- COMPETITIVE LOCAL EXCHANGE CARRIER (CLEC) (0.0%) 2,960 Loral Space & Communications, Ltd., strike $2.37 expires December 2006* 30 -------------- RESTAURANTS (0.0%) 176 New World Restaurant Group, Inc., strike $13.00 expires June 2006* 2 -------------- RETAIL STORES (0.0%) 21,345 Safelite Glass Corp., Class A, strike $6.50 expires January 2010*^ 214 14,230 Safelite Glass Corp., Class B, strike $6.50 expires January 2010*^ 142 -------------- 356 -------------- TEXTILE/APPAREL/SHOE MANUFACTURING (0.0%) 544 AGY Holdings Corp.^ 5 -------------- WIRELESS (0.0%) 500 AirGate PCS, Inc., strike $0.01 expires October 2009* 7,636 500 iPCS, Inc., Rule 144A, strike $5.50 expires July 2010*++ 5 -------------- 7,641 -------------- TOTAL WARRANTS (Cost $3,447) 8,041 -------------- SHORT-TERM INVESTMENTS (28.7%) 8,565,332 State Street Navigator Prime Fund~~ 8,565,332
See Accompanying Notes to Financial Statements. 41
PAR (000) MATURITY RATE% VALUE ----------- ---------- ---------- ------------- SHORT-TERM INVESTMENTS $ 1,442 State Street Bank and Trust Co. Euro Time Deposit 01/03/05 1.400 $ 1,442,000 -------------- TOTAL SHORT-TERM INVESTMENTS (Cost $10,007,332) 10,007,332 -------------- TOTAL INVESTMENTS AT VALUE (122.5%) (Cost $43,688,558) 42,682,545 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS (-22.5%) (7,840,880) -------------- NET ASSETS (100.0%) $ 34,841,665 ==============
+ Credit ratings given by the Standard & Poor's Division of The McGraw-Hill Companies, Inc. ("S&P") and Moody's Investors Service, Inc. ("Moody's") are unaudited. # Variable rate obligations -- the interest rate shown is the rate as of December 31, 2004. ## Step Bond -- The interest rate is as of December 31, 2004 and will reset at a future date. ++ 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 December 31, 2004, these securities amounted to a value of $9,113,200 or 26.16% of net assets. ** Bond is currently in default. * Non-income producing security. ~ Security or portion thereof is out on loan. ~~ Represents security purchased with cash collateral received for securities on loan. ^ Not readily marketable security; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Directors.See Accompanying Notes to Financial Statements. See Accompanying Notes to Financial Statements. 42 CREDIT SUISSE INSTITUTIONAL FUNDS STATEMENTS OF ASSETS AND LIABILITIES December 31, 2004
FIXED GLOBAL INCOME FUND HIGH YIELD FUND -------------- --------------- ASSETS Investments at value, including collateral for securities on loan of $8,707,923 and $8,565,332, respectively (Cost $144,014,984 and $43,688,558, respectively) (Note 1) $ 145,847,734(1) $ 42,682,545(2) Cash 859 972 Receivable for investments sold 5,526,487 46,035 Dividend and interest receivable 970,580 683,942 Unrealized appreciation on forward currency contracts (Note 1) 964,350 -- Receivable for fund shares sold 127,623 30,169 Variation margin receivable 19,687 -- Receivable from investment adviser -- 25,402 Prepaid expenses and other assets 15,410 13,951 -------------- --------------- Total Assets 153,472,730 43,483,016 -------------- --------------- LIABILITIES Advisory fee payable (Note 2) 2,121 -- Administrative services fee payable (Note 2) 15,654 6,968 Payable for investments purchased 16,329,115 -- Payable upon return of securities loaned (Note 1) 8,707,923 8,565,332 Unrealized depreciation on forward currency contracts (Note 1) 961,078 -- Dividends payable 63,140 11,118 Outstanding options written, at value (premiums received $47,211, and 0 respectively) (Note 1) 18,160 -- Payable for fund shares redeemed 11,653 2,709 Other accrued expenses payable 74,134 55,224 -------------- --------------- Total Liabilities 26,182,978 8,641,351 -------------- --------------- NET ASSETS Capital stock, $0.001 par value (Note 5) 8,722 3,273 Paid-in capital (Note 5) 157,791,944 81,648,681 Accumulated net investment loss (50,319) (895,357) Accumulated net realized loss from investments, futures transactions, options written, swap contracts and foreign currency transactions (32,357,050) (44,908,919) Net unrealized appreciation (depreciation) from investments, futures transactions, options written and foreign currency translations 1,896,455 (1,006,013) -------------- --------------- Net Assets $ 127,289,752 $ 34,841,665 ============== =============== Shares outstanding 8,721,695 3,272,987 -------------- --------------- Net asset value, offering price, and redemption price per share $ 14.59 $ 10.65 ============== ===============
(1) Including $8,533,172 of securities on loan. (2) Including $8,391,025 of securities on loan. See Accompanying Notes to Financial Statements. 43 CREDIT SUISSE INSTITUTIONAL FUNDS STATEMENTS OF OPERATIONS For the Period Ended December 31, 2004(1)
FIXED INCOME FUND ------------------------------------ FOR THE PERIOD SEPTEMBER 1, 2004 FOR THE YEAR TO ENDED DECEMBER 31, 2004 AUGUST 31, 2004 ----------------- --------------- INVESTMENT INCOME (Note 1) Interest $ 2,012,493 $ 5,168,819 Dividends 7,945 42,419 Securities lending 3,111 10,722 Foreign taxes withheld 413 (768) ----------------- --------------- Total investment income 2,023,962 5,221,192 ----------------- --------------- EXPENSES Investment advisory fees (Note 2) 160,377 504,497 Administrative services fees (Note 2) 37,625 109,444 Legal fees 21,683 58,682 Printing fees (Note 2) 15,189 10,763 Audit fees 14,460 30,172 Custodian fees 13,853 46,060 Registration fees 10,058 23,203 Directors' fees 6,364 18,816 Insurance expense 3,604 20,627 Transfer agent fees 692 3,841 Commitment fees (Note 3) 528 3,015 Interest expense (Note 3) -- 258 Miscellaneous expense 3,349 9,542 ----------------- --------------- Total expenses 287,782 838,920 Less: fees waived and expenses reimbursed (Note 2) (95,496) (233,525) ----------------- --------------- Net expenses 192,286 605,395 ----------------- --------------- Net investment income 1,831,676 4,615,797 ----------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS, FUTURES CONTRACTS, OPTIONS WRITTEN, SWAP CONTRACTS AND FOREIGN CURRENCY RELATED ITEMS Net realized gain (loss) from investments 1,117,812 2,666,439 Net realized gain (loss) from futures contracts 201,022 (228,280) Net realized gain from options written 167,182 233,036 Net realized gain from swap contracts 29,564 16,495 Net realized gain (loss) from foreign currency transactions 11,514 (197,855) Net change in unrealized appreciation (depreciation) from investments (417,102) 1,552,240 Net change in unrealized appreciation (depreciation) from futures contracts (47,272) 48,500 Net change in unrealized appreciation (depreciation) from options written (8,614) 37,664 Net change in unrealized appreciation (depreciation) from swap contracts (31,502) 31,502 Net change in unrealized appreciation (depreciation) from foreign currency translations 25,144 132,342 ----------------- --------------- Net realized and unrealized gain from investments, futures contracts, options written, swap contracts and foreign currency related items 1,047,748 4,292,083 ----------------- --------------- Net increase in net assets resulting from operations $ 2,879,424 $ 8,907,880 ================= ===============
(1) The Fund changed its fiscal year end from August 31 to December 31. See Accompanying Notes to Financial Statements. 44 CREDIT SUISSE INSTITUTIONAL FUNDS STATEMENTS OF OPERATIONS For the Period Ended December 31, 2004(1)
GLOBAL HIGH YIELD FUND ------------------------------------ FOR THE PERIOD SEPTEMBER 1, 2004 FOR THE YEAR TO ENDED DECEMBER 31, 2004 AUGUST 31, 2004 ----------------- --------------- INVESTMENT INCOME (Note 1) Interest $ 990,401 $ 2,366,705 Dividends 15,074 42,623 Securities lending 5,687 11,583 Foreign taxes withheld (367) (153) ----------------- --------------- Total investment income 1,010,795 2,420,758 ----------------- --------------- EXPENSES Investment advisory fees (Note 2) 78,784 179,414 Administrative services fees (Note 2) 20,392 48,656 Legal fees 25,632 54,831 Printing fees (Note 2) 13,788 22,675 Audit fees 16,355 21,285 Custodian fees 2,877 19,087 Registration fees 10,904 25,728 Directors' fees 6,364 18,816 Insurance expense 2,674 16,044 Transfer agent fees 1,029 4,872 Commitment fees (Note 3) 163 348 Interest expense (Note 3) -- 5,558 Miscellaneous expense 2,540 6,848 ----------------- --------------- Total expenses 181,502 424,162 Less: fees waived and expenses reimbursed (Note 2) (102,788) (244,749) ----------------- --------------- Net expenses 78,714 179,413 ----------------- --------------- Net investment income 932,081 2,241,345 ----------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS, FUTURES CONTRACTS, OPTIONS WRITTEN, SWAP CONTRACTS AND FOREIGN CURRENCY RELATED ITEMS Net realized gain (loss) from investments 127,180 (2,794,058) Net realized (gain) loss from futures contracts -- -- Net realized gain from options written -- -- Net realized gain from swap contracts -- -- Net realized (gain) loss from foreign currency transactions -- -- Net change in unrealized appreciation (depreciation) from investments 1,689,817 4,939,708 Net change in unrealized appreciation (depreciation) from futures contracts -- -- Net change in unrealized appreciation (depreciation) from options written -- -- Net change in unrealized appreciation (depreciation) from swap contracts -- -- Net change in unrealized appreciation (depreciation) from foreign currency translations -- -- ----------------- --------------- Net realized and unrealized gain from investments, futures contracts, options written, swap contracts and foreign currency related items 1,816,997 2,145,650 ----------------- --------------- Net increase in net assets resulting from operations $ 2,749,078 $ 4,386,995 ================= ===============
(1) The Fund changed its fiscal year end from August 31 to December 31. See Accompanying Notes to Financial Statements. 45 CREDIT SUISSE INSTITUTIONAL FUNDS STATEMENTS OF CHANGES IN NET ASSETS
FIXED INCOME FUND ----------------------------------------------------------- FOR THE PERIOD SEPTEMBER 1, 2004 FOR THE YEAR FOR THE YEAR TO ENDED ENDED DECEMBER 31, 2004(1) AUGUST 31, 2004 AUGUST 31, 2003 --------------------- ---------------- ---------------- FROM OPERATIONS Net investment income $ 1,831,676 $ 4,615,797 $ 9,088,823 Net realized gain (loss) from investments, futures contracts, options written, swap contracts and foreign currency transactions 1,527,094 2,489,835 (4,119,630) Net change in unrealized appreciation (depreciation) from investments, futures contracts, options written, swap contracts and foreign currency translations (479,346) 1,802,248 13,994,978 --------------------- ---------------- ---------------- Net increase in net assets resulting from operations 2,879,424 8,907,880 18,964,171 --------------------- ---------------- ---------------- FROM DIVIDENDS Dividends from net investment income (2,922,597) (5,966,305) (13,658,022) --------------------- ---------------- ---------------- Net decrease in net assets resulting from dividends (2,922,597) (5,966,305) (13,658,022) FROM CAPITAL SHARE TRANSACTIONS Proceeds from sale of shares 3,591,546 12,854,275 18,386,288 Reinvestment of dividends 2,814,946 5,764,916 13,267,833 Net asset value of shares redeemed (8,765,549) (33,109,039) (171,583,121) --------------------- ---------------- ---------------- Net increase (decrease) in net assets from capital share transactions (2,359,057) (14,489,848) (139,929,000) --------------------- ---------------- ---------------- Net increase (decrease) in net assets (2,402,230) (11,548,273) (134,622,851) NET ASSETS Beginning of period 129,691,982 141,240,255 275,863,106 --------------------- ---------------- ---------------- End of period $ 127,289,752 $ 129,691,982 $ 141,240,255 ===================== ================ ================ Undistributed net investment income (loss) $ (50,319) $ 973,127 $ 1,753,149 ===================== ================ ================
---------- (1) The Fund changed its fiscal year end from August 31 to December 31. 46
GLOBAL HIGH YIELD FUND ----------------------------------------------------------- FOR THE PERIOD SEPTEMBER 1, 2004 FOR THE YEAR FOR THE YEAR TO ENDED ENDED DECEMBER 31, 2004(1) AUGUST 31, 2004 AUGUST 31, 2003 --------------------- ---------------- ---------------- FROM OPERATIONS Net investment income $ 932,081 $ 2,241,345 $ 7,580,121 Net realized gain (loss) from investments, futures contracts, options written, swap contracts and foreign currency transactions 127,180 (2,794,058) (6,051,826) Net change in unrealized appreciation (depreciation) from investments, futures contracts, options written, swap contracts and foreign currency translations 1,689,817 4,939,708 11,745,307 --------------------- ---------------- ---------------- Net increase in net assets resulting from operations 2,749,078 4,386,995 13,273,602 --------------------- ---------------- ---------------- FROM DIVIDENDS Dividends from net investment income (1,864,690) (3,876,496) (9,351,559) --------------------- ---------------- ---------------- Net decrease in net assets resulting from dividends (1,864,690) (3,876,496) (9,351,559) FROM CAPITAL SHARE TRANSACTIONS Proceeds from sale of shares 1,268,790 15,885,261 23,594,172 Reinvestment of dividends 1,848,741 3,813,343 3,822,498 Net asset value of shares redeemed (1,835,223) (14,263,345) (91,455,967) --------------------- ---------------- ---------------- Net increase (decrease) in net assets from capital share transactions 1,282,308 5,435,259 (64,039,297) --------------------- ---------------- ---------------- Net increase (decrease) in net assets 2,166,696 5,945,758 (60,117,254) NET ASSETS Beginning of period 32,674,969 26,729,211 86,846,465 --------------------- ---------------- ---------------- End of period $ 34,841,665 $ 32,674,969 $ 26,729,211 ===================== ================ ================ Undistributed net investment income (loss) $ (895,357) $ (9,048) $ 1,231,598 ===================== ================ ================
See Accompanying Notes to Financial Statements. 47 CREDIT SUISSE INSTITUTIONAL FIXED INCOME FUND FINANCIAL HIGHLIGHTS (For an Institutional Class Share of the Fund Outstanding Throughout Each Period)
FOR THE PERIOD SEPTEMBER 1, 2004 FOR THE YEAR ENDED AUGUST 31, TO ---------------------------------------------------------- DECEMBER 31, 2004(1) 2004 2003 2002(2) 2001 2000 --------------------- ---------- ---------- ---------- ---------- ---------- PER SHARE DATA Net asset value, beginning of period $ 14.60 $ 14.27 $ 14.12 $ 15.79 $ 14.95$ 15.01 --------------------- ---------- ---------- ---------- ---------- ---------- INVESTMENT OPERATIONS Net investment income 0.22 0.50 0.67 0.83 1.02 0.94 Net gain (loss) on investments, future contracts, options written, swap contracts and foreign currency related items (both realized and unrealized) 0.11 0.46 0.35 (1.27) 0.85 (0.01) --------------------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.33 0.96 1.02 (0.44) 1.87 0.93 --------------------- ---------- ---------- ---------- ---------- ---------- LESS DIVIDENDS AND DISTRIBUTIONS Dividends from net investment income (0.34) (0.63) (0.87) (0.83) (1.03) (0.97) Distributions from net realized gains -- -- -- (0.40) -- (0.02) --------------------- ---------- ---------- ---------- ---------- ---------- Total dividends and distributions (0.34) (0.63) (0.87) (1.23) (1.03) (0.99) --------------------- ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, END OF PERIOD $ 14.59 $ 14.60 $ 14.27 $ 14.12 $ 15.79 14.95 ===================== ========== ========== ========== ========== ========== Total return(3) 2.26% 6.86% 7.40% (2.92)% 13.02% 6.43% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000s omitted) $ 127,290 $ 129,692 $ 141,240 $ 275,863 $ 532,627 $ 440,345 Ratio of expenses to average net assets(4) 0.45%(5) 0.45% 0.45% 0.45% 0.45% 0.45% Ratio of net investment income to average net assets 4.29%(5) 3.43% 4.18% 5.41% 6.71% 6.51% Decrease reflected in above operating expense ratios due to waivers/reimbursements 0.22%(5) 0.17% 0.14% 0.05% 0.06% 0.11% Portfolio turnover rate 132% 375% 519% 526% 449% 520%
(1) The Fund changed its fiscal year end from August 31 to December 31. (2) As required, effective September 1, 2001, the Fund adopted the provisions of AICPA Audit and Accounting Guide for Investment Companies and began including paydown gains and losses in interest income. The effect of this change for the year ended August 31, 2002 was to increase net investment income per share by $0.01, decrease net realized and unrealized gains and losses per share by $0.01 and increase the ratio of net investment income to average net assets from 5.37% to 5.41%. Per share ratios and supplemental data for prior periods have not been restated to reflect this change. (3) Total returns are historical and assume changes in share price and reinvestment of all dividends and distributions. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized. (4) Interest earned on uninvested cash balances may be used to offset portions of the transfer agent expense. For the period ended December 31, 2004 and the years ended August 31, 2004, 2003, 2002, 2001 and 2000, there was no effect on the net operating expense ratio because of transfer agent credits. (5) Annualized. See Accompanying Notes to Financial Statements. 48 CREDIT SUISSE GLOBAL HIGH YIELD FUND FINANCIAL HIGHLIGHTS (For an Institutional Class Share of the Fund Outstanding Throughout Each Period)
FOR THE PERIOD SEPTEMBER 1, 2004 FOR THE YEAR ENDED AUGUST 31, TO ------------------------------------------------------------- DECEMBER 31, 2004(1) 2004 2003 2002 2001 2000 --------------------- ---------- ---------- ---------- ---------- ---------- PER SHARE DATA Net asset value, beginning of period $ 10.38 $ 10.26 $ 9.90 $ 11.84 $ 14.11 $ 15.32 --------------------- ---------- ---------- ---------- ---------- ---------- INVESTMENT OPERATIONS Net investment income 0.31 1.01 1.14 1.17 1.40 1.41 Net gain (loss) on investments (both realized and unrealized) 0.55 0.72 0.41 (1.94) (2.21) (1.13) --------------------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.86 1.73 1.55 (0.77) (0.81) 0.28 --------------------- ---------- ---------- ---------- ---------- ---------- LESS DIVIDENDS Dividends from net investment income (0.59) (1.61) (1.19) (1.17) (1.46) (1.49) --------------------- ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE, END OF PERIOD $ 10.65 $ 10.38 $ 10.26 $ 9.90 $ 11.84 $ 14.11 ===================== ========== ========== ========== ========== ========== Total return(2) 8.43% 18.27% 16.96% (6.88)% (5.71)% 1.84% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000s omitted) $ 34,842 $ 32,675 $ 26,729 $ 86,846 $ 98,008 $ 94,333 Ratio of expenses to average net assets(3) 0.70%(5) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income to average net assets 8.30%(5) 8.74% 10.15% 10.15%(4) 11.06% 9.59% Decrease reflected in above operating expense ratios due to waivers/reimbursements 0.91%(5) 0.95% 0.40% 0.27% 0.30% 0.45% Portfolio turnover rate 5% 30% 56% 52% 20% 31%
(1) The Fund changed its fiscal year end from August 31 to December 31. (2) Total returns are historical and assume changes in share price and reinvestment of all dividends and distributions. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods less than one year are not annualized. (3) Interest earned on uninvested cash balances may be used to offset portions of the transfer agent expense. For the period ended December 31, 2004 and the years ended August 31, 2004, 2003, 2002, 2001 and 2000, there was no effect on the net operating expense ratio because of transfer agent credits. (4) During the year ended August 31, 2002, the Fund experienced an increase in its interest income of 0.67% as a result of additional accretion income not accrued in prior periods. The Fund's net investment income ratio disclosed above excludes the effect of the increase. (5) Annualized. See Accompanying Notes to Financial Statements. 49 CREDIT SUISSE INSTITUTIONAL FUNDS NOTES TO FINANCIAL STATEMENTS December 31, 2004 NOTE 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The Credit Suisse Institutional Funds contained in this report are Credit Suisse Institutional Fixed Income Fund ("Fixed Income"), and Credit Suisse Global High Yield Fund ("Global High Yield") (each, a "Fund" and collectively, the "Funds"). Each Fund was incorporated under the laws of the State of Maryland on July 31, 1998 and is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended. Fixed Income and Global High Yield seek high total return as their investment objective. Fixed Income and Global High Yield are each authorized to offer three classes of shares, Common Class, Advisor Class and Institutional Class shares, although each Fund currently offers only Institutional Class shares. A) SECURITY VALUATION -- The net asset value of each Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the "Exchange") on each day the Exchange is open for business. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. Each Fund's equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (the "Valuation Time"). If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Securities and other assets for which market quotations are not readily available, or whose values have been materially affected by events occurring before each Fund's Valuation Time but after the close of the securities' primary markets, are valued at fair value as determined in good faith by, or under the direction of, the Board of Directors under procedures established by the Board of Directors. The Funds may utilize a service provided by an independent third party which has been approved by the Board of Directors to fair value certain securities. B) FOREIGN CURRENCY TRANSACTIONS -- The books and records of the Funds are maintained in U.S. dollars. Transactions denominated in foreign currencies are recorded at the current prevailing exchange rates. All assets and 50 liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the current exchange rate at the end of the period. Translation gains or losses resulting from changes in the exchange rate during the reporting period and realized gains and losses on the settlement of foreign currency transactions are reported in the results of operations for the current period. The Funds do not isolate that portion of realized gains and losses on investments in EQUITY securities which is due to changes in the foreign exchange rate from that which is due to changes in market prices of equity securities. The Funds isolate that portion of realized gains and losses on investments in DEBT securities which is due to changes in the foreign exchange rate from that which is due to changes in market prices of debt securities. C) SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are accounted for on a trade date basis. Interest income is recorded on the accrual basis. The Funds amortize premium and accrete discount using the effective interest method. Dividends are recorded on the ex-dividend date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes. D) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income are declared and paid quarterly. Distributions of net realized capital gains, if any, are declared and paid at least annually. However, to the extent that a net realized capital gain can be reduced by a capital loss carryforward, such gain will not be distributed. Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America ("GAAP"). E) FEDERAL INCOME TAXES -- No provision is made for federal taxes as it is each Fund's intention to have the Fund continue to qualify for and elect the tax treatment applicable to regulated investment companies under the Internal Revenue Code of 1986, as amended, and to make the requisite distributions to its shareholders, which will be sufficient to relieve it from federal income and excise taxes. F) USE OF ESTIMATES -- The preparation of financial statements in conformity with GAAP 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 revenues and expenses during the reporting period. Actual results could differ from these estimates. G) SHORT-TERM INVESTMENTS -- The Funds, together with other funds/portfolios advised by Credit Suisse Asset Management, LLC ("CSAM"), 51 an indirect, wholly-owned subsidiary of Credit Suisse Group, pool available cash into either a short-term variable rate time deposit issued by State Street Bank and Trust Company ("SSB"), the Funds' custodian, or a money market fund advised by CSAM. The short-term time deposit issued by SSB is a variable rate account classified as a short-term investment. H) FORWARD FOREIGN CURRENCY CONTRACTS -- Each Fund may enter into forward foreign currency contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency. Each Fund will enter into forward foreign currency contracts primarily for hedging purposes. Forward foreign currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized until the contract settlement date or an offsetting position is entered into. At December 31, 2004, Fixed Income had the following open forward foreign currency contracts:
EXPIRATION FOREIGN CURRENCY CONTRACT CONTRACT UNREALIZED FORWARD FOREIGN CURRENCY CONTRACT DATE TO BE PURCHASED/(SOLD) AMOUNT VALUE GAIN (LOSS) --------------------------------- ---------- ---------------------- -------- -------- ---------- Australian Dollar 1/13/05 A$ 4,500,000 $ 3,226,500 $ 3,523,619 $ 297,119 Australian Dollar 1/13/05 A$ (1,200,000) (922,680) (939,632) (16,952) Australian Dollar 1/13/05 A$ (1,700,000) (1,313,165) (1,331,145) (17,980) British Pound 1/13/05 L 385,000 708,573 738,487 29,914 British Pound 1/13/05 L 660,000 1,271,893 1,265,979 (5,914) British Pound 1/13/05 L (1,400,000) (2,478,000) (2,685,408) (207,408) European Economic Unit 1/13/05 EURO 1,602,000 1,967,624 2,177,709 210,085 European Economic Unit 1/13/05 EURO 500,000 630,950 679,684 48,734 European Economic Unit 1/13/05 EURO 1,500,000 1,906,755 2,039,053 132,298 European Economic Unit 1/13/05 EURO 930,000 1,190,921 1,264,213 73,292 European Economic Unit 1/13/05 EURO 443,000 573,720 602,200 28,480 European Economic Unit 1/13/05 EURO 375,000 498,270 509,763 11,493 European Economic Unit 1/13/05 EURO (1,105,000) (1,357,194) (1,502,103) (144,909) European Economic Unit 1/13/05 EURO (493,000) (637,543) (670,169) (32,626) European Economic Unit 1/13/05 EURO (955,000) (1,270,532) (1,298,197) (27,665) Japanese Yen 1/13/05 Y 146,277,775 1,326,325 1,428,820 102,495 Japanese Yen 1/13/05 Y 3,400,000 30,828 33,210 2,382 Japanese Yen 1/13/05 Y (3,400,000) (30,828) (33,210) (2,382) New Zealand Dollar 1/13/05 NZ$ 905,000 644,487 652,657 8,170 New Zealand Dollar 1/13/05 NZ$ (1,908,540) (1,265,362) (1,376,377) (111,015) New Zealand Dollar 1/13/05 NZ$ (6,100,000) (4,139,399) (4,399,122) (259,723) Swiss Franc 1/13/05 Swf 841,000 714,255 740,058 25,803 Swiss Franc 1/13/05 Swf (800,000) (634,921) (703,979) (69,058) Swiss Franc 1/13/05 Swf (466,000) (389,648) (410,067) (20,419) Swiss Franc 1/13/05 Swf (1,040,000) (864,232) (915,173) (50,941) --------------- --------------- --------------- $ (612,403) $ (609,130) $ 3,273 =============== =============== ===============
52 I) TBA PURCHASE COMMITMENTS -- Each Fund may enter into "TBA" (to be announced) purchase commitments to purchase securities for a fixed price at a future date, typically not exceeding 45 days. TBA purchase commitments may be considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to settlement date. This risk is in addition to the risk of decline in the Fund's other assets. Unsettled TBA purchase commitments are valued at the current market value of the underlying securities, according to the procedures described under "Security Valuation" above. J) FUTURES -- Each Fund may enter into futures contracts to the extent permitted by its investment policies and objectives. Upon entering into a futures contract, each Fund is required to deposit cash and/or pledge U.S. Government securities as initial margin. Subsequent payments, which are dependent on the daily fluctuations in the value of the underlying instrument, are made or received by the Fund each day (daily variation margin) and are recorded as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund's basis in the contract. Risks of entering into futures contracts for hedging purposes include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. In addition, the purchase of a futures contract involves the risk that the Fund could lose more than the original margin deposit and subsequent payments required for a futures transaction. At December 31, 2004, Fixed Income had the following open futures contracts:
UNREALIZED NUMBER OF EXPIRATION CONTRACT CONTRACT APPRECIATION/ FUTURES CONTRACTS CONTRACTS DATE AMOUNT VALUE (DEPRECIATION) --------------------------------- ---------- ---------- --------------- --------------- --------------- US Treasury Bonds Futures 56 03/21/05 $ 6,243,627 $ 6,300,000 $ 56,373 --------------- --------------- --------------- US Treasury 10 Year Notes Futures (61) 03/21/05 (6,809,254) (6,828,187) (18,933) US Treasury 5 Year Notes Futures (2) 03/21/05 (219,021) (219,062) (41) US Treasury 2 Year Notes Futures (40) 03/21/05 (8,376,173) (8,383,750) (7,577) --------------- --------------- --------------- (15,404,448) (15,430,999) (26,551) --------------- --------------- --------------- $ (9,160,821) $ (9,130,999) $ 29,822 =============== =============== ===============
K) OPTIONS -- Each Fund may purchase and write (sell) call and put options on securities, currencies and swap agreements (options on swap agreements are commonly known as "swaptions"). Each Fund may write covered and uncovered put and call options and purchase put and call options for hedging purposes or to increase total return. The risk associated 53 with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, each Fund bears the risk of loss of premium and change in market value should the counterparty not perform under the contract. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by the premium paid. The proceeds from securities sold through the exercise of put options are decreased by the premium paid. When a Fund writes an option, the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current market value of the option written. Premiums received from writing options that expire unexercised are recorded by the Fund on the expiration date as realized gains from options transactions. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium received is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium received is added to the proceeds from the sale of the underlying security in determining whether the Fund has realized a gain or loss. If a put option is exercised, the premium received reduces the cost basis of the security purchased by the Fund. The risk involved in writing an option is that, if the option is exercised, the underlying security could then be purchased or sold by the Fund at a disadvantageous price. Uncovered options are riskier than covered options because there is no underlying security held by a Fund that can act as a partial hedge. Uncovered calls have speculative characteristics and the potential for loss is unlimited. There is also a risk that the securities on which the option is written may not be available for purchase if the call option is exercised. Uncovered put options have speculative characteristics and the potential loss is substantial. Exchange-traded options are valued at the last sale price in the market where such contracts are principally traded. OTC equity index options are priced according to the contract specifications (days to expiration, current spot index level, interest rates, dividends, strike price) using the Black-Scholes pricing model, modified for dividends. The volatility input assumption is interpolated from the previous day's price. On a weekly basis and at month end, CSAM receives a price indication sheet from various broker-dealers and inputs these prices to update the volatility. 54 Transactions in written for puts and calls options for the period ended December 31, 2004 for Fixed Income Fund were as follows:
NUMBER OF CONTRACTS PREMIUMS RECEIVED -------------------- -------------------- Options outstanding at beginning of period 148 $ 61,715 Options written 592 227,618 Options expired -- -- Options terminated in closing purchase transactions (604) (242,122) Options exercised -- -- ----- -------------------- Options outstanding at end of period 136 $ 47,211 ----- --------------------
L) SWAPS -- Each Fund may enter into index swaps for hedging purposes or to seek to increase total return. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset or notional principal amount. The Fund will enter into index swaps only on a net basis, which means that the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments. Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. The loss incurred by the failure of a counterparty is generally limited to the net interest payment to be received by the Fund, and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of each counterparty to a swap contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying reference asset or index. Each Fund records unrealized gains or losses on a daily basis representing the value and the current net receivable or payable relating to open swap contracts. Net amounts received or paid on the swap contract are recorded as realized gains or losses. Fluctuations in the value of swap contracts are recorded for financial statement purposes as unrealized appreciation or depreciation of swap contracts. Realized gains and losses from terminated swaps are included in net realized gains/losses on swap contracts transactions. At December 31, 2004 the Funds had no outstanding swap contracts. M) SECURITIES LENDING -- Loans of securities are required at all times to be secured by collateral at least equal to 102% of the market value of domestic securities on loan (including any accrued interest thereon) and 105% of the market value of foreign securities on loan (including any accrued interest thereon). Cash collateral received by each Fund in connection with securities lending activity may be pooled together with cash collateral for other 55 funds/portfolios advised by CSAM and may be invested in a variety of investments, including certain CSAM-advised funds, funds advised by SSB, the Funds' securities lending agent or money market instruments. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. The market value of securities on loan to brokers and the value of collateral held by each Fund with respect to such loans at December 31, 2004 are as follows:
MARKET VALUE OF VALUE OF FUND SECURITIES LOANED COLLATERAL RECEIVED ---- ----------------- ------------------- Fixed Income $ 8,533,172 $ 8,707,923 Global High Yield 8,391,025 8,565,332
Effective March 17, 2004, SSB has been engaged by the Funds to act as the Funds' securities lending agent. The Funds' securities lending arrangement provides that the Funds and SSB will share the net income earned from securities lending activities, with the Funds receiving 70% and SSB receiving 30% of the earnings from the investment of cash collateral or any other securities lending income in accordance with the provisions of the securities lending agency agreement. The Funds may also be entitled to certain minimum amounts of income from their securities lending activities. Securities lending income is accrued as earned. N) OTHER -- Lower-rated debt securities (commonly known as "junk bonds") possess speculative characteristics and are subject to greater market fluctuations and risk of lost income and principal than higher-rated debt securities for a variety of reasons. Also, during an economic downturn or substantial period of rising interest rates, highly leveraged issuers may experience financial stress which would adversely affect their ability to service their principal and interest payment obligations, to meet projected business goals and to obtain additional financing. In addition, periods of economic uncertainty and changes can be expected to result in increased volatility of market prices of lower-rated debt securities and (to the extent a Fund invests in junk bonds) each Fund's net asset value. The Funds may invest in securities of foreign countries and governments which involve certain risks in addition to those inherent in domestic investments. Such risks generally include, among others, currency risk (fluctuations in currency exchange rates), information risk (key information may be inaccurate or unavailable) and political risk (expropriation, nationalization or the imposition of capital or currency controls or punitive taxes). Other risks of investing in foreign securities include liquidity and valuation risks. 56 The Funds may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Funds accrue such taxes when the related income or gains are earned. NOTE 2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES CSAM serves as investment adviser for each Fund. For its investment advisory services, CSAM is entitled to receive a fee from each Fund based on the following fee schedule:
FUND ANNUAL RATE ---- ----------- Fixed Income 0.375% of average daily net assets Global High Yield 0.70% of average daily net assets
For the period ended December 31, 2004, investment advisory fees earned, voluntarily waived, and expenses reimbursed for each Fund were as follows:
GROSS NET ADVISORY ADVISORY EXPENSE FUND FEE WAIVER FEE REIMBURSEMENT ---- -------- ------ -------- ------------- Fixed Income $ 160,377 $ (95,496) $ 64,881 $ -- Global High Yield 78,784 (78,784) -- (24,004)
CSAM will not recapture from the Funds any fees it waived during the period ended December 31, 2004. Credit Suisse Asset Management Securities, Inc. ("CSAMSI"), an affiliate of CSAM, and SSB serve as co-administrators to the Funds. No compensation is payable by the Funds to CSAMSI for co-administrative services. For its co-administrative services, SSB receives a fee, exclusive of out-of-pocket expenses, based upon the following fee schedule calculated in total for all the Credit Suisse funds/portfolios co-administered by SSB and allocated based upon relative average net assets of each fund/portfolio subject to an annual minimum fee.
AVERAGE DAILY NET ASSETS ANNUAL RATE ------------------------ ----------- First $5 billion 0.050% of average daily net assets Next $5 billion 0.035% of average daily net assets Over $10 billion 0.020% of average daily net assets
57 For the period ended December 31, 2004, co-administrative service fees earned by SSB (including out-of-pocket expenses) were as follows:
FUND CO-ADMINISTRATION FEE ---- --------------------- Fixed Income $ 37,625 Global High Yield 20,392
In addition to serving as each Fund's co-administrator, CSAMSI currently serves as distributor of each Fund's shares without compensation. Merrill Corporation ("Merrill"), an affiliate of CSAM, has been engaged by the Funds to provide certain financial printing and fulfillment services. For the period ended December 31, 2004, Merrill was paid for its services to the Funds as follows:
FUND AMOUNT ---- ------ Fixed Income $ 194 Global High Yield 194
NOTE 3. LINE OF CREDIT The Funds, together with other funds/portfolios advised by CSAM (collectively, the "Participating Funds"), participates in a $75 million committed, unsecured line of credit facility ("Credit Facility") for temporary or emergency purposes with Deutsche Bank, A.G. as administrative agent and syndication agent and SSB as operations agent. Under the terms of the Credit Facility, the Participating Funds pay an aggregate commitment fee at a rate of 0.10% per annum on the average unused amount of the Credit Facility, which is allocated among the Participating Funds in such manner as is determined by the governing Boards of the Participating Funds. In addition, the Participating Funds pay interest on borrowings at the Federal Funds rate plus 0.50%. At December 31, 2004, the Funds had no loans outstanding under the Credit Facility. During the period ended December 31, 2004, the Funds had no borrowings under the Credit Facility. 58 For the period ended December 31, 2004, purchases and sales of investment securities (excluding short-term investments) and U.S. Government and Agency Obligations were as follows:
INVESTMENTS U.S. GOVERNMENT AND AGENCY OBLIGATIONS ------------------------ -------------------------------------- FUND PURCHASES SALES PURCHASES SALES ---- --------- ----- --------- ----- Fixed Income $ 186,270,824 $ 177,566,639 $ 152,666,666 $ 153,244,081 Global High Yield 6,644,740 1,732,066 -- --
NOTE 5. CAPITAL SHARE TRANSACTIONS Fixed Income and Global High Yield are each authorized to issue three billion full and fractional shares of capital stock, $.001 par value per share. Transactions in capital shares for each Fund were as follows:
FIXED INCOME FUND ------------------------------------------------------------------ INSTITUTIONAL CLASS ------------------------------------------------------------------ FOR THE PERIOD SEPTEMBER 1, 2004 THROUGH FOR THE YEAR ENDED FOR THE YEAR ENDED DECEMBER 31, 2004(1) AUGUST 31, 2004 AUGUST 31, 2003 -------------------- -------------------- -------------------- Shares sold 244,637 887,034 1,281,297 Shares issued in reinvestment of dividends 193,270 400,254 936,435 Shares redeemed (598,311) (2,300,558) (11,864,210) -------- ---------- ----------- Net decrease (160,404) (1,013,270) (9,646,478) ======== ========== =========== GLOBAL HIGH YIELD FUND ------------------------------------------------------------------ INSTITUTIONAL CLASS ------------------------------------------------------------------ FOR THE PERIOD SEPTEMBER 1, 2004 THROUGH FOR THE YEAR ENDED FOR THE YEAR ENDED DECEMBER 31, 2004(1) AUGUST 31, 2004 AUGUST 31, 2003 -------------------- -------------------- -------------------- Shares sold 121,306 1,547,730 2,400,294 Shares issued in reinvestment of dividends 175,211 381,556 396,530 Shares redeemed (170,937) (1,385,899) (8,965,487) -------- ---------- ---------- Net increase (decrease) 125,580 543,387 (6,168,663) ======== ========== ==========
---------- (1) The Funds' changed their fiscal year end from August 31 to December 31. On December 31, 2004, the number of shareholders that held 5% or more of the outstanding shares of each Fund was as follows:
NUMBER OF APPROXIMATE PERCENTAGE FUND SHAREHOLDERS OF OUTSTANDING SHARES ---- ------------ ---------------------- Fixed Income 3 87% Global High Yield 3 85%
59 NOTE 5. CAPITAL SHARE TRANSACTIONS Some of the shareholders are omnibus accounts, which hold shares on behalf of several individual shareholders. NOTE 6. FEDERAL INCOME TAXES Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of foreign currency and swap transactions, losses deferred due to wash sales, post October losses, paydown gains and losses and interest accrual on defaulted bonds. The tax characteristics of dividends paid during the period ended December 31, 2004 and the year ended August 31, 2004 by the Funds were as follows:
ORDINARY INCOME RETURN OF CAPITAL -------------------------------------- -------------------------------------- FUND DECEMBER 31, 2004 AUGUST 31, 2004 DECEMBER 31, 2004 AUGUST 31, 2004 ------------------------------ ----------------- ----------------- ----------------- ----------------- Fixed Income $ 2,922,597 $ 5,966,305 $ -- $ -- Global High Yield 1,848,713 3,876,496 15,977 --
At December 31, 2004, the components of distributable earnings on a tax basis were as follows:
FIXED INCOME GLOBAL HIGH YIELD --------------- ----------------- Undistributed ordinary income $ 33,860 $ -- Accumulated net realize loss (32,280,569) (44,728,767) Unrealized appreciation/(depreciation) 1,882,120 (1,013,200) Accumulated ordinary loss -- Other (84,179) (895,355) Accumulated realized loss -- Other (62,146) (172,967) --------------- ----------------- $ (30,510,914) $ (46,810,289) =============== =================
At December 31, 2004, the Funds had capital loss carryforwards available to offset possible future capital gains as follows:
EXPIRES DECEMBER 31, ---------------------------------------------------------------------------------- FUND 2006 2007 2009 2010 2011 2012 -------------------- ------------ ------------ ------------ ------------ ------------ ------------ Fixed Income $ -- $ -- $ -- $ 32,280,569 $ -- $ -- Global High Yield 341,638 1,857,162 9,989,083 24,516,347 5,397,886 2,626,651
During the tax year ended December 31, 2004, the Funds utilized capital loss carryforwards as follows:
FUND AMOUNT ---- ------------ Fixed Income $ 1,427,489 Global High Yield --
60 NOTE 6. FEDERAL INCOME TAXES During the tax year ended December 31, 2004, the Funds had expired capital loss carryforwards as follows:
FUND AMOUNT ---- ------------ Fixed Income $ -- Global High Yield 3,354,749
Under current tax law, certain capital losses realized after October 31 within a taxable year may be deferred and treated as occurring on the first day of the following tax year. The Funds will be unable to realize the benefit from these losses if it cannot realize gains on investments prior to the expiration of the loss carryforwards. For the tax period ended December 31, 2004, the Funds elected to defer net losses arising between November 1, 2004 and December 31, 2004 as follows:
FUND CURRENCY CAPITAL ---- ------------- ------------ Fixed Income $ 2,459 $ -- Global High Yield -- 172,967
As of December 31, 2004, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized appreciation (depreciation) from investments were:
GROSS NET UNREALIZED IDENTIFIED UNREALIZED GROSS UNREALIZED APPRECIATION/ FUND COST APPRECIATION (DEPRECIATION) (DEPRECIATION) ---- ------------- ------------- ----------------- ----------------- Fixed Income $ 144,029,319 $ 2,261,605 $ (443,190) $ 1,818,415 Global High Yield 43,695,741 2,338,655 (4,236,088) (1,013,196)
At December 31, 2004, accumulated undistributed net investment income, accumulated net realized gain (loss) from investments and paid-in capital have been adjusted for current period permanent book/tax differences, which arose principally from differing book/tax treatments of paydown gains and losses, interest accrued on defaulted bonds, foreign currency and swap transactions and expiration of capital losses. Net assets were not affected by these reclassifications:
INCREASE (DECREASE) -------------------------------------------------- ACCUMULATED NET REALIZED GAIN PAID-IN UNDISTRIBUTED NET (LOSS) ON FUND CAPITAL INVESTMENT INCOME INVESTMENTS ----------- ----------------- ----------------- Fixed Income $ -- $ 67,475 $ (67,475) Global High Yield (3,370,726) 46,300 3,324,426
61 NOTE 7. CONTINGENCIES In the normal course of business, the Funds may provide general indemnifications pursuant to certain contracts and organizational documents. The Funds' maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote. NOTE 8. CHANGE IN FISCAL YEAR END The Funds changed their fiscal year end from August 31, to December 31. Accordingly, the statement of operations, the statement of changes in net assets and financial highlights reflect the period from September 1, 2004 to December 31, 2004. 62 CREDIT SUISSE INSTITUTIONAL FUNDS REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Directors and Shareholders of Credit Suisse Institutional Fixed Income Fund, Inc. and Credit Suisse Global High Yield Fund, Inc.: In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Credit Suisse Institutional Fixed Income Fund, Inc. and Credit Suisse Global High Yield Fund, Inc., (hereafter referred to as the "Funds") at December 31, 2004, the results of each of their operations and the changes in each of their net assets and the financial highlights for each of the periods presented, 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 Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance the standards of the Public Company Accounting Oversight Board (United States). Those standards 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 audits, which included confirmation of securities at December 31, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Baltimore, Maryland February 7, 2004 63 CREDIT SUISSE INSTITUTIONAL FUNDS INFORMATION CONCERNING DIRECTORS AND OFFICERS (UNAUDITED)
TERM NUMBER OF OF OFFICE(1) PORTFOLIOS IN AND FUND POSITION(S) LENGTH PRINCIPAL COMPLEX OTHER NAME, ADDRESS AND DATE HELD WITH OF TIME OCCUPATION(S) DURING OVERSEEN BY DIRECTORSHIPS OF BIRTH FUND SERVED PAST FIVE YEARS DIRECTOR HELD BY DIRECTOR -------------------------- ------------------- ------------- ---------------------------- ----------------------- ----------------- INDEPENDENT DIRECTORS Richard H. Francis Director, Since Currently retired 41 None c/o Credit Suisse Asset Nominating 1999 Management, LLC and Audit 466 Lexington Avenue Committee New York, New York Member 10017-3140 Date of Birth: 04/23/32 Jeffrey E. Garten(2) Director, Since Dean of Yale School of 40 Director of Box 208200 New Haven, Nominating 1998 Management and William Aetna, Inc. Connecticut 06520-8200 and Audit S. Beinecke Professor in (insurance Committee the Practice of company); Date of Birth: 10/29/46 Member International Trade and Director Finance from November 1995 of Calpine to present. Corporation (energy provider); Director of CarMax Group (used car dealers). Peter F. Krogh Director, Since Dean Emeritus and 40 Director of 301 ICC Nominating 2001 Distinguished Professor Carlisle Georgetown University Committee of International Affairs Companies Washington, DC 20057 Chairman at the Edmund A. Walsh Incorporated and Audit School of Foreign (diversified Date of Birth: 02/11/37 Committee Service, Georgetown manufacturing Member University from June 1995 company). to present. James S. Pasman, Jr. Director, Since Currently retired 42 Director of c/o Credit Suisse Asset Nominating 1999 Education Management, LLC and Audit Management Corp. 466 Lexington Avenue Committee New York, New York Member 10017-3140 Date of Birth: 12/20/30
---------- (1) Each Director and Officer serves until his or her respective successor has been duly elected and qualified. (2) Mr. Garten was initially appointed as a Director of the Funds on February 6, 1998. He resigned as a Director on February 3, 2000, and was subsequently re-appointed on December 21, 2000. 64
TERM NUMBER OF OF OFFICE(1) PORTFOLIOS IN AND FUND POSITION(S) LENGTH PRINCIPAL COMPLEX OTHER NAME, ADDRESS AND DATE HELD WITH OF TIME OCCUPATION(S) DURING OVERSEEN BY DIRECTORSHIPS OF BIRTH FUND SERVED PAST FIVE YEARS DIRECTOR HELD BY DIRECTOR -------------------------- ------------------- ------------- ---------------------------- ----------------------- ----------------- INDEPENDENT DIRECTORS Steven N. Rappaport Lead Director, Since Partner of Lehigh Court, 42 Director of Lehigh Court, LLC Nominating 1999 LLC and RZ Capital Presstek, Inc. 40 East 52nd Street Committee Member (private investment (digital imaging New York, New York 10022 and Audit Committee firms) from July 2002 to technologies Chairman present; Transition company); Date of Birth: 07/10/48 Adviser to SunGard Director of Wood Securities Finance, Inc. Resources, LLC. from February 2002 to (plywood July 2002; President of manufacturing SunGard Securities company). Finance, Inc. from 2001 to February 2002; President of Loanet, Inc. (on-line accounting service) from 1997 to 2001. INTERESTED DIRECTORS Michael E. Kenneally(3) Chairman Since Chairman and Global Chief 44 None Credit Suisse Asset and Chief 2004 Executive Officer of CSAM Management, LLC Executive since 2003; Chairman and 466 Lexington Avenue Officer Chief Investment Officer New York, New York of Banc of America 10017-3140 Capital Management from 1998 to March 2003. Date of Birth: 03/30/54 William W. Priest(4) Director Since Chief Executive Officer 47 Director of Globe Epoch Investment Partners 1999 of J Net Enterprises, Wireless, LLC 667 Madison Avenue Inc. (technology holdings (maritime New York, New York 10021 company) since June 2004; communication Chief Executive Officer company); Director Date of Birth: 09/24/41 of Epoch Investment of InfraRed X Partners, Inc. since (medical device April 2004; Co-Managing company); Director Partner, Steinberg Priest of J Net & Sloane Capital Enterprises, Inc. Management, LLC from 2001 to March 2004; Chairman and Managing Director of CSAM from 2000 to February 2001; Chief Executive Officer and Managing Director of CSAM from 1990 to 2000.
---------- (3) Mr. Kenneally is a Director who is an "interested person" of the Funds as defined in the 1940 Act because he is an officer of CSAM. (4) Mr. Priest is a Director who is an "interested person" of the Funds as defined in the 1940 Act because he provided consulting services to CSAM within the last two years (ended 12/31/02). 65
TERM OF OFFICE(1) AND POSITION(S) LENGTH NAME, ADDRESS AND DATE HELD WITH OF TIME OF BIRTH FUND SERVED PRINCIPAL OCCUPATION(S) DURING PAST FIVE YEARS -------------------------- ------------------- ------------- ---------------------------------------------- OFFICERS Michael A. Pignataro Chief Since Director and Director of Fund Administration of Credit Suisse Asset Financial 1999 CSAM; Associated with CSAM since 1984; Officer of Management, LLC Officer and other Credit Suisse Funds. 466 Lexington Avenue Treasurer New York, New York 10017-3140 Date of Birth: 11/15/59 Emidio Morizio Chief Since Director and Global Head of Compliance of CSAM; Credit Suisse Asset Compliance 2004 Associated with CSAM since July 2000; Vice Management, LLC Officer President and Director of Compliance of 466 Lexington Avenue Forstmann-Leff Associates from 1998 to June 2000; New York, New York Officer of other Credit Suisse Funds. 10017-3140 Date of Birth: 09/21/66 Ajay Mehra Chief Legal Since Director and Deputy General Counsel of CSAM since Credit Suisse Asset Officer 2004 September 2004; Senior Associate of Shearman & Management, LLC Sterling LLP from September 2000 to September 466 Lexington Avenue 2004; Senior Counsel of the SEC Division of New York, New York Investment Management from June 1997 to September 10017-3140 2000; Officer of other Credit Suisse Funds. Date of Birth: 08/14/70 J. Kevin Gao Vice Since Vice President and legal counsel of CSAM; Credit Suisse Asset President and 2004 Associated with CSAM since July 2003; Associated Management, LLC Secretary with the law firm of Willkie Farr & Gallagher LLP 466 Lexington Avenue from 1998 to 2003; Officer of other Credit Suisse New York, New York Funds. 10017-3140 Date of Birth: 10/13/67 Robert M. Rizza Assistant Since Assistant Vice President of CSAM since January Credit Suisse Asset Treasurer 2002 2001; Associated with CSAM since 1998; Officer of Management, LLC other Credit Suisse Funds. 466 Lexington Avenue New York, New York 10017-3140 Date of Birth: 12/09/65
The Statement of Additional Information includes additional information about the Directors and is available, without charge, upon request, by calling 800-222-8977. 66 CREDIT SUISSE INSTITUTIONAL FUNDS TAX INFORMATION LETTER (UNAUDITED) December 31, 2004 IMPORTANT TAX INFORMATION FOR CORPORATE SHAREHOLDERS Corporate Shareholders should note for the period ended December 31, 2004, the percentage of the Funds' investment income (i.e., net investment income plus short-term capital gains) that qualified for the intercorporate dividends received deduction is as follows:
FUND AMOUNT ---- ------ Fixed Income 0.57% Global High Yield 1.50%
For the fiscal year ended December 31, 2004, the Funds designates approximate amounts listed below, or up to the maximum amount of such dividends allowable pursuant to the Internal Revenue Code, as qualified dividend income eligible for reduced tax rates. These lower rates range from 5% to 15% depending on an individual's tax bracket. If the Funds pays a distribution during calendar year 2004, complete information will be reported in conjunction with Form 1099-DIV.
FUND AMOUNT ---- ---------- Fixed Income $ 42,419 Global High Yield 40,394
67 CREDIT SUISSE INSTITUTIONAL FUNDS PROXY POLICY AND PORTFOLIO HOLDINGS INFORMATION Information regarding how the Funds voted proxies related to its fund securities during the 12-month period ended June 30, 2004 as well as the policies and procedures that the Funds use to determine how to vote proxies relating to its portfolio securities are available: - By calling 1-800-222-8977 - On the Funds' website, www.csam.com/us - On the website of the Securities and Exchange Commission, http://www.sec.gov. The Funds file a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds' Forms N-Q are available on the SEC's website at http://www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. 68 P.O. BOX 55030, BOSTON, MA 02205-5030 [CREDIT SUISSE ASSET MANAGEMENT LOGO] 800-222-8977 - www.csam.com/us CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., DISTRIBUTOR. CSIUS-2-1204 ITEM 2. CODE OF ETHICS. The registrant has adopted a code of ethics applicable to its Chief Executive Officer, President, Chief Financial Officer and Chief Accounting Officer, or persons performing similar functions. A copy of the code is filed as Exhibit 12(a)(1) to this Form. There were no amendments to the code during the fiscal year ended December 31, 2004. There were no waivers or implicit waivers from the code granted by the registrant during the fiscal year ended December 31, 2004. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The registrant's governing board has determined that it has three audit committee financial experts serving on its audit committee: Richard H. Francis, James S. Pasman, Jr., and Steven N. Rappaport. Each audit committee financial expert is "independent" for purposes of this item. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) through (d). The information in the table below is provided for services rendered to the registrant by its independent registered public accounting firm, PricewaterhouseCoopers LLP ("PwC"), for its fiscal years ended August 31, 2004 and December 31, 2004.
AUGUST 31, 2004 DECEMBER 31, 2004 ---------------------------------------------------------------------------- Audit Fees $ 25,601 $ 15,301 Audit-Related Fees(1) $ 3,000 $ 1,500 Tax Fees(2) $ 2,327 $ 1,327 All Other Fees -- -- ---------------------------------------------------------------------------- Total $ 30,928 $ 18,128 ----------------------------------------------------------------------------
(1) Services for August 31, 2004 include agreed-upon procedures in connection with the registrant's semi-annual financial statements ($3,000), and for December 31, 2004 include agreed upon procedures for the registrant's third quarter 2004 Form N-Q filing ($1,500). (2) Tax services in connection with the registrant's excise tax calculations and review of the registrant's applicable tax returns. The information in the table below is provided with respect to non-audit services that directly relate to the registrant's operations and financial reporting and that were rendered by PwC to the registrant's investment adviser, Credit Suisse Asset Management, LLC ("CSAM"), and any service provider to the registrant controlling, controlled by or under common control with CSAM that provided ongoing services to the registrant ("Covered Services Provider"), for the registrant's fiscal years ended August 31, 2004 and December 31, 2004.
AUGUST 31, 2004 DECEMBER 31, 2004 ---------------------------------------------------------------------------- Audit-Related Fees N/A N/A
2 Tax Fees N/A N/A All Other Fees N/A N/A ---------------------------------------------------------------------------- Total N/A N/A ----------------------------------------------------------------------------
(e)(1) Pre-Approval Policies and Procedures. The Audit Committee ("Committee") of the registrant is responsible for pre-approving (i) all audit and permissible non-audit services to be provided by the independent registered public accounting firm to the registrant and (ii) all permissible non-audit services to be provided by the independent registered public accounting firm to CSAM and any Covered Services Provider if the engagement relates directly to the operations and financial reporting of the registrant. The Committee may delegate its responsibility to pre-approve any such audit and permissible non-audit services to the Chairperson of the Committee, and the Chairperson shall report to the Committee, at its next regularly scheduled meeting after the Chairperson's pre-approval of such services, his or her decision(s). The Committee may also establish detailed pre-approval policies and procedures for pre-approval of such services in accordance with applicable laws, including the delegation of some or all of the Committee's pre-approval responsibilities to other persons (other than CSAM or the registrant's officers). Pre-approval by the Committee of any permissible non-audit services shall not be required so long as: (i) the aggregate amount of all such permissible non-audit services provided to the registrant, CSAM and any Covered Services Provider constitutes not more than 5% of the total amount of revenues paid by the registrant to its independent registered public accounting firm during the fiscal year in which the permissible non-audit services are provided; (ii) the permissible non-audit services were not recognized by the registrant at the time of the engagement to be non-audit services; and (iii) such services are promptly brought to the attention of the Committee and approved by the Committee (or its delegate(s)) prior to the completion of the audit. (e)(2) The information in the table below sets forth the percentages of fees for services (other than audit, review or attest services) rendered by PwC to the registrant for which the pre-approval requirement was waived pursuant to Rule 2-01(c)(7)(i)(C) of Regulation S-X:
AUGUST 31, 2004 DECEMBER 31, 2004 ---------------------------------------------------------------------------- Audit-Related Fees N/A N/A Tax Fees N/A N/A All Other Fees N/A N/A ---------------------------------------------------------------------------- Total N/A N/A ----------------------------------------------------------------------------
3 The information in the table below sets forth the percentages of fees for services (other than audit, review or attest services) rendered by PwC to CSAM and any Covered Services Provider required to be approved pursuant to Rule 2-01(c)(7)(ii)of Regulation S-X, for the registrant's fiscal years ended August 31, 2004 and December 31, 2004:
AUGUST 31, 2004 DECEMBER 31, 2004 ---------------------------------------------------------------------------- Audit-Related Fees N/A N/A Tax Fees N/A N/A All Other Fees N/A N/A ---------------------------------------------------------------------------- Total N/A N/A ----------------------------------------------------------------------------
(f) Not Applicable. (g) The aggregate fees billed by PwC for non-audit services rendered to the registrant, CSAM and Covered Service Providers for the fiscal years ended August 31, 2004 and December 31, 2004 were $5,327 and $2,827, respectively. (h) Not Applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Form N-CSR disclosure requirement is not applicable to the registrant. ITEM 6. SCHEDULE OF INVESTMENTS. Schedule of investments is included as part of the report to shareholders filed under Item 1 of this form. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Form N-CSR disclosure requirement is not applicable to the registrant. ITEM 8. PORTFOLIO MANGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Form N-CSR disclosure requirement is not applicable to the registrant. 4 ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Form N-CSR disclosure requirement is not applicable to the registrant. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The Registrant has a Nominating Committee (the "Committee"), which is responsible for selecting and nominating persons for election or appointment by the Registrant's Board as Board members. The Committee has adopted a Nominating Committee Charter (the "Charter"). Pursuant to the Charter, the Committee will consider recommendations for nominees from shareholders submitted to the Secretary of the Registrant, c/o Credit Suisse Asset Management, LLC, 466 Lexington Avenue, New York, New York 10017. A nomination submission must include information regarding the recommended nominee as specified in the Charter. This information includes all information relating to a recommended nominee that is required to be disclosed in solicitations or proxy statements for the election of Board members, as well as information sufficient to evaluate the factors to be considered by the Committee, including character and integrity, business and professional experience, and whether the person has the ability to apply sound and independent business judgment and would act in the interests of the Registrant and its shareholders. Nomination submissions are required to be accompanied by a written consent of the individual to stand for election if nominated by the Board and to serve if elected by the shareholders, and such additional information must be provided regarding the recommended nominee as reasonably requested by the Committee. ITEM 11. CONTROLS AND PROCEDURES. (a) As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")) were effective based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. (b) There were no changes in registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(1) Registrant's Code of Ethics is an exhibit to this report. 5 (a)(2) The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report. (a)(3) Not applicable. (b) The certifications of the registrant as required by Rule 30a-2(b) under the Act are an exhibit to this report. 6 SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. CREDIT SUISSE INSTITUTIONAL FIXED INCOME FUND, INC. /s/ Michael E. Kenneally ------------------------ Name: Michael E. Kenneally Title: Chief Executive Officer Date: March 8, 2005 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. /s/ Michael E. Kenneally ------------------------ Name: Michael E. Kenneally Title: Chief Executive Officer Date: March 8, 2005 /s/ Michael A. Pignataro ------------------------ Name: Michael A. Pignataro Title: Chief Financial Officer Date: March 8, 2005 7