N-30D 1 a2085762zn-30d.txt N-30D Credit Suisse Asset Management Income Fund, Inc. 466 Lexington Avenue New York, NY 10017 --------------------------------------------- OFFICERS AND DIRECTORS Laurence R. Smith Hal Liebes CHAIRMAN OF THE BOARD, SENIOR VICE PRESIDENT DIRECTOR AND CHIEF EXECUTIVE Michael A. Pignataro OFFICER CHIEF FINANCIAL OFFICER, Enrique R. Arzac VICE PRESIDENT AND SECRETARY DIRECTOR Maxine C. Evertz Lawrence J. Fox ASSISTANT SECRETARY DIRECTOR Robert M. Rizza James S. Pasman, Jr. VICE PRESIDENT AND TREASURER DIRECTOR Rocco A. Del Guercio William W. Priest, Jr. ASSISTANT TREASURER DIRECTOR Richard J. Lindquist PRESIDENT AND CHIEF INVESTMENT OFFICER Leland Crabbe INVESTMENT OFFICER
-------------------------------------------------------- INVESTMENT ADVISER Credit Suisse Asset Management, LLC 466 Lexington Avenue New York, New York 10017 Phone 1-800-293-1232 -------------------------------------------------------- ADMINISTRATOR AND CUSTODIAN Brown Brothers Harriman & Co. 40 Water Street Boston, Massachusetts 02109 -------------------------------------------------------- SHAREHOLDER SERVICING AGENT Fleet National Bank (c/o EquiServe) P.O. Box 43010 Providence, Rhode Island 02940-3010 Phone 1-800-730-6001 -------------------------------------------------------- LEGAL COUNSEL Willkie Farr & Gallagher 787 7th Avenue New York, New York 10019 -------------------------------------------------------- INDEPENDENT ACCOUNTANTS PricewaterhouseCoopers LLP Two Commerce Square Philadelphia, Pennsylvania 19103 -------------------------------------------------------- --------------------------------------------------------------------------- Credit Suisse Asset Management Income Fund, Inc. --------------------------------------------------------------------------- SEMI-ANNUAL REPORT June 30, 2002 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. SEMI-ANNUAL REPORT - JUNE 30, 2002 ---------- Dear Shareholders: July 23, 2002 We are writing to report on Credit Suisse Asset Management Income Fund, Inc. ("the Fund") for the half-year ended June 30, 2002 and to discuss our investment strategy. At June 30, 2002, the Fund's net asset value ("NAV") was $4.24, compared to an NAV of $4.74 at December 31, 2001. The Fund's total return for the period (based on NAV and assuming reinvestment of dividends of $0.37 per share) was thus -4.6%. At June 30, 2002, $162.5 million of the Fund's assets was invested in high yield debt securities; $31.3 million in emerging-market debt securities; $6.5 million in investment-grade debt securities; $3.4 million in equity securities; and the balance of $5.1 million in cash equivalents. Of the debt securities, the largest concentration (67.7%) was invested in issues rated B through BBB. THE MARKET: BAD ENDINGS FOR HIGH YIELD AND EMERGING MARKETS The U.S. high yield and emerging debt markets fared reasonably well for most of the half-year, only to plunge in June. As measured by the Salomon Smith Barney High-Yield Market Index* ("SSBHYMI"), the broad U.S. high yield market lost 6.7%. Aggregate emerging debt markets (in the form of J.P. Morgan's Emerging Markets Bond Index Global**, known as EMBI Global) gained 0.9%. HIGH YIELD. Sentiment and bond prices in the high yield market showed considerable volatility during the period. Prices rose a bit in January in response to fresh data suggesting that the U.S. economy's recovery might be stronger than expected, only to fall in February in the wake of rising anxiety about questionable accounting methods and corporate governance issues associated with Enron Corp. Increasingly clear indications that the economy was picking up steam helped to buoy the market in March and April, months when inflows into high yield mutual funds were especially strong. Sentiment and buying cooled off in May, though, in response to diminishing optimism about the economy and bad news about a couple of companies whose worsening financial health had a direct impact on the key high yield industry sectors of telecommunications and cable television. These companies were long-distance telecom provider WorldCom, whose bonds were downgraded to junk status during the month; and cable operator Adelphia Communications, which suffered from ongoing revelations of dubious accounting and lax governance. [Note: at June 30, securities of WorldCom and Adelphia accounted for approximately 0.01% and 0.20% of total portfolio assets, respectively.] Market conditions took a turn for the worse in June, so much so that broad high yield indices like SSBHYMI (which lost 8.8%) experienced their worst-ever single-month performance as measured in percentage terms. June was tough for most financial markets due to a number of factors, notably plummeting trust in the integrity of corporate managements and accounting standards, disappointing corporate earnings and rising fears of renewed terrorism in the U.S. An exclamation point of sorts occurred on June 25, when WorldCom announced that it had used questionable accounting procedures to enormously overstate its profitability in 2001 and 2002. All of these things combined to take a heavy toll on the high yield market. Investors became far less comfortable with comparatively risky assets like high yield, and turned for safety instead to highest-quality fixed income categories like Treasury bonds and securitized debt. Fund inflows turned into outflows accordingly. EMERGING MARKETS. Aggregate emerging-market debt ("EMD") thrived through April and treaded water in May, but fell enough in June to nearly wipe out its entire year-to-date gain as of the end of May. While EMD investors certainly were aware of the big-picture elements that hurt high yield, however, their attention was most closely focused on developments in Brazil. Worsening sentiment about Brazil represented a confluence of unfavorable political, financial and macroeconomic factors, especially growing unease about the high popularity of the opposition-party candidate in October's presidential election. Given Brazil's disproportionately large presence in leading EMD market indices, bad news there sharply reduced investors' risk tolerance and prompted a broadly intensified scrutiny of sovereign risk. Bond prices thus suffered in most emerging markets. PERFORMANCE: ABOVE-MARKET IN HIGH YIELD AND EMD Although the Fund's absolute return during the half-year was negative, its high yield and emerging portions meaningfully outperformed representative market indices like SSBHYMI and EMBI Global. We fared well in high yield on the basis of our industry sector allocations compared to the market. Security selection was notably effective in wireless telecommunications and cable television, for example, as we managed to avoid most names that were hit especially hard. We additionally benefited from underweighting the utility and wireless tower sectors, both of which underperformed SSBHYMI; and excelled in the strong leisure sector via good security selection and an overweight stance. 2 Comparative high yield results were least favorable in competitive local-exchange telecom providers, a poor-performing sector in which we were modestly overweight; and finance and airlines, which were outperforming sectors that we chose to underweight due to our concerns about their respective operating environments. In the portfolio's EMD portion, the most positive contributions to performance included our large underweight in Brazil, ongoing large overweight in Russia, and regionalized overweight in Asian markets. The most negative was our position in beleaguered Argentina (from which we completely exited in the first quarter). OUTLOOK: CAUTIOUS HIGH YIELD. Given the overall environment we have described, our view on the near-term prospects for the high yield market is appropriately cautious. We expect trading activity to be most heavily influenced by the sharp deterioration in investor confidence which, in turn, should perpetuate the generalized lack of comfort with risky assets. High yield is especially vulnerable in this context to movements in the equity market, whose wide swings tend to be widest on the downside. We simultaneously take encouragement both from high yield valuations, which have fallen close to their historical lows, and our unchanged belief that the economic climate is improving and can potentially benefit high yield issuers as a whole over the long term. Our stance within the Fund remains fairly defensive. Compared to broad high yield indices, we are thus overweighting the gaming and energy industry sectors; and underweighting telecommunications, cable/media, finance, utilities and airlines. EMERGING MARKETS. Our view on the near-term prospects for emerging debt markets remains one of caution, based on our expectation that perceptions about Brazil will be the primary driver of trading activity for the rest of 2002. At the same time, we are heartened that valuations in selected countries have fallen to levels that we feel are better aligned with underlying fundamentals than has been the case in recent months. This may help to partially shift attention toward individual markets that are more creditworthy than Brazil. Compared to broad EMD indices, our largest country overweights are in Russia, China, South Korea, Malaysia and Poland. Our largest country underweights are in Mexico and Brazil. Regional allocations consist of overweights in Eastern/ Central Europe and Asia, and an underweight in Latin America. We appreciate your interest in the Fund and would be pleased to respond to your questions or comments. Any questions regarding net asset value, performance, dividends, portfolio management or allocations should be directed to Credit Suisse Asset Management, LLC at (800) 293-1232. All other inquiries regarding account information, requests for the latest financial information or other reports should be directed to the Fund's Shareholder Servicing Agent at (800) 730-6001. Sincerely yours, /s/Richard J. Lindquist Richard J. Lindquist PRESIDENT AND CHIEF INVESTMENT OFFICER*** The information presented is for informational purposes only. This report is not a recommendation to buy or sell or a solicitation of an offer to buy or sell any securities or adopt any investment strategy. Readers are advised not to infer or assume that any securities, companies, sectors or markets described will be profitable. All opinions and views constitute judgments as of the date of writing, and are subject to change at any time without notice. *The Salomon Smith Barney High-Yield Market Index is a broad-based, unmanaged index of high yield securities. Investors cannot invest directly in an index. **The J.P. Morgan Emerging Markets Bond Index Global is a comprehensive index of emerging market debt securities. Launched in August 1999, it tracks the total returns of U.S. dollar-denominated debt instruments for 27 emerging market countries. Investors cannot invest directly in an index. ***Richard J. Lindquist, who is a Managing Director of Credit Suisse Asset Management, LLC ("CSAM"), is primarily responsible for management of the Fund's assets. He has served in such capacity since November 21, 1996. Prior to that date, he served as Vice President to the Fund, a position he assumed on August 15, 1989. Mr. Lindquist joined CSAM on May 1, 1995 as a result of CSAM's acquisition of CS First Boston Investment Management Corporation ("CSFBIM"). Prior to joining CSAM and beginning in July, 1989, he held various offices at CSFBIM. He is also President and Chief Investment Officer of Credit Suisse High Yield Bond Fund. 3 TOP TEN HOLDINGS (UNAUDITED)
(as a % of net assets as of 6/30/02) ----------------------------------------------------------------------------------- 1. Univision Network Holding L.P. Sub. Notes 7.00%, 12/17/02... 1.6% 2. Ministry Finance of Russia Series V, Debentures 3.00%, 5/14/08 1.1% 3. Advance Holdings Corp. Series B, Debentures 0.00%, 4/15/09................................................... 0.9% 4. Russian Federation Series REGS, Unsubordinated 5.00%, 3/31/30................................................... 0.9% 5. Republic of Poland Global Bonds 6.25%, 7/3/12............... 0.8% 6. Republic of South Africa Notes 7.375%, 4/25/12.............. 0.8% 7. Hard Rock Hotel, Inc. Series B, Sr. Sub. Notes 9.25%, 4/1/05.................................................... 0.8% 8. Station Casinos, Inc. Sr. Sub. Notes 9.75%, 4/15/07;........ 0.8% 9. People's Republic of China Sr. Unsubordinated 6.80%, 5/23/11................................................... 0.8% 10. Ainsworth Lumber Co. Ltd. Yankee Sr. Secured Notes 12.50%, 7/15/07................................................... 0.7%
CREDIT QUALITY BREAKDOWN (UNAUDITED)
(as a % of total investments as of 6/30/02) ------------------------------------------------------------------------------ AAA/Aaa..................................................... 0.1% A/A......................................................... 2.0 BBB/Baa..................................................... 9.1 BB/Ba....................................................... 12.5 B/B......................................................... 46.1 CCC/Caa..................................................... 17.8 CC/Ca....................................................... 2.1 NR.......................................................... 6.2 ---------------- Subtotal.................................................. 95.9 Equities & Other............................................ 4.1 ---------------- Total..................................................... 100.0% ================
4 PORTFOLIO OF INVESTMENTS (UNAUDITED) --------- JUNE 30, 2002
Face Moody's Amount Value Ratings (000) (Note A-1) --------------------------------------------------------------------------------------- DOMESTIC SECURITIES (81.6%) --------------------------------------------------------------------------------------- ----------------- CORPORATE OBLIGATIONS (79.9%) --------------------------------------------------------------------------------------- ----------------- AEROSPACE (0.6%) (1) Condor Systems, Inc. Series B, Gtd. 11.875%, 5/1/09 N/R $ 1,200 $ 270,000 Decrane Aircraft Holdings Series B, Gtd. 12.00%, 9/30/08 Caa1 800 740,000 Sequa Corp. Sr. Notes 9.00%, 8/1/09 Ba3 250 252,500 ------------ GROUP TOTAL 1,262,500 ------------ --------------------------------------------------------------------------------------- ----------------- AIRLINES (0.5%) American Airlines, Inc. Series 01-2, Pass thru Certs 7.80%, 10/1/06 B1 800 816,000 Continental Airlines, Inc. Series 991C, Pass thru Certs 6.954%, 8/2/09 Ba2 235 214,510 ------------ GROUP TOTAL 1,030,510 ------------ --------------------------------------------------------------------------------------- ----------------- AUTOMOBILE MANUFACTURING/VEHICLE PARTS (2.0%) (1)(2) Aetna Industries, Inc. Sr. Notes 11.875%, 10/1/06 Ca 1 75 (2)(3)(4) Cambridge Industries, Inc. Sr. Sub. Notes 10.25%, 7/15/07 N/R 775 465 Collins & Aikman Products Corp. Gtd. 11.50%, 4/15/06 B2 1,250 1,190,625 Delco Remy International, Inc. Gtd. Sr. Sub. Notes 10.625%, 8/1/06 B3 750 633,750 Holley Performance Products Series B, Gtd. 12.25%, 9/15/07 Caa2 750 424,687 (3)(4) Metaldyne Corp. Sr. Sub. Notes 11.00%, 6/15/12 B3 800 784,000 Motor Coach Industries International, Inc. Gtd. 11.25%, 5/1/09 Caa1 1,221 944,362 Stanadyne Automotive Series B, Gtd. Sr. Sub. Notes 10.25%, 12/15/07 Caa1 400 322,000 ------------ GROUP TOTAL 4,299,964 ------------ ---------------------------------------------------------------------------------------
Face Moody's Amount Value Ratings (000) (Note A-1) --------------------------------------------------------------------------------------- BANKING (0.3%) Sovereign Bancorp, Inc. Sr. Notes 10.50%, 11/15/06 Ba2 $ 500 $ 552,500 ------------ --------------------------------------------------------------------------------------- ----------------- BROADBAND (0.7%) COLT Telecom Group plc Yankee Units 12.00%, 12/15/06 B3 400 232,000 Level 3 Communications, Inc.: (5) Sr. Discount Notes 0.00%, 12/1/08 Caa3 750 146,250 Sr. Notes 9.125%, 5/1/08 Caa3 501 172,845 Metromedia International Group, Inc. Series B, Sr. Discount Notes 10.50%, 9/30/07 N/R 2,896 709,522 (5) MetroNet Communications Corp.: Sr. Discount Notes 0.00%, 11/1/07 Ca 747 78,435 0.00%, 6/15/08 B3 650 68,250 ------------ GROUP TOTAL 1,407,302 ------------ --------------------------------------------------------------------------------------- ----------------- BROADCAST/OUTDOOR (4.6%) Ackerley Group, Inc. Series B, Sr. Sub. Notes 9.00%, 1/15/09 B3 250 281,563 Acme Television LLC/ ACME Financial Corp. Series B, Gtd. 10.875%, 9/30/04 B3 500 505,000 Alliance Atlantis Communications, Inc. Yankee Sr. Sub. Notes 13.00%, 12/15/09 B1 500 552,500 Corus Entertainment, Inc. Global Sr. Sub. Notes 8.75%, 3/1/12 B1 150 150,750 Cumulus Media, Inc. Sr. Sub. Notes 10.375%, 7/1/08 B3 800 852,000 PTI Holdings, Inc. Sub. Notes 7.00%, 12/17/02 N/R 507 836,410 Salem Communications Corp. Series B, Gtd. 9.50%, 10/1/07 B3 850 871,250 Sinclair Broadcast Group, Inc.: Gtd. 8.75%, 12/15/11 B2 500 502,500 Gtd. Sr. Sub. Notes 8.75%, 12/15/07 B2 500 500,000
The accompanying notes are an integral part of the financial statements. 5
Face Moody's Amount Value Ratings (000) (Note A-1) --------------------------------------------------------------------------------------- Univision Network Holding L.P. Sub. Notes 7.00%, 12/17/02 N/R $ 2,073 $ 3,420,573 Young Broadcasting, Inc. Series B, Gtd. Sr. Sub. Notes 8.75%, 6/15/07 B3 1,315 1,176,925 ------------ GROUP TOTAL 9,649,471 ------------ --------------------------------------------------------------------------------------- ----------------- BUILDING PRODUCTS (1.2%) AAF-McQuay, Inc. Sr. Notes 8.875%, 2/15/03 N/R 150 150,375 Atrium Companies, Inc. Series B, Gtd. 10.50%, 5/1/09 B3 500 513,125 Building Materials Corp. Series B, Sr. Notes 8.625%, 12/15/06 B2 900 779,625 Dayton Superior Corp. Gtd. 13.00%, 6/15/09 B3 1,140 1,145,700 ------------ GROUP TOTAL 2,588,825 ------------ --------------------------------------------------------------------------------------- ----------------- CABLE (8.3%) Adelphia Communications Corp. Series B, Sr. Notes 8.375%, 2/1/08 Caa2 800 324,000 (1) Australis Holdings Pty. Ltd. Yankee Sr. Secured Discount Notes 15.00%, 11/1/02 N/R 4,600 460 (1) Australis Media Ltd.: Yankee Sr. Discount Notes 15.75%, 5/15/03 N/R 266 24 Yankee Units 15.75%, 5/15/03 N/R 2,875 259 CSC Holdings, Inc.: Series B, Sr. Sub. Debentures 8.125%, 8/15/09 Ba2 350 290,194 9.875%, 2/15/13 Ba3 1,100 819,500 (1) Cablevision S.A. Yankee Bonds 13.75%, 5/1/09 Ca 1,360 231,200 Century Communications Corp.: (5) Series B, Sr. Discount Notes 0.00%, 1/15/08 Ca 650 123,500 (5) Sr. Discount Notes 0.00%, 3/15/03 Ca 500 152,500 Sr. Notes 8.75%, 10/1/07 Ca 550 165,000 Charter Communications Holdings: (5) Sr. Discount Notes 0.00%, 4/1/11 B2 1,200 579,000 Sr. Notes 8.625%, 4/1/09 B2 750 506,250 10.25%, 1/15/10 B2 1,050 719,250
Face Moody's Amount Value Ratings (000) (Note A-1) --------------------------------------------------------------------------------------- Coaxial Communications, Inc. Gtd. 10.00%, 8/15/06 B3 $ 1,250 $ 1,131,250 Comcast UK Cable Partners Ltd. Yankee Debentures 11.20%, 11/15/07 Caa2 500 452,500 (5) DIVA Systems Corp. Series B, Sr. Discount Notes 0.00%, 3/1/08 N/R 3,885 514,763 (1) Diamond Cable Communications plc Yankee Sr. Discount Notes 11.75%, 12/15/05 Ca 1,294 342,910 Frontiervision LP/Capital Series B, Sr. Discount Notes 11.875%, 9/15/07 B2 550 371,250 Insight Midwest/Insight Capital: Sr. Notes 9.75%, 10/1/09 B1 900 832,500 10.50%, 11/1/10 B1 500 470,000 James Cable Partners L.P. Series B, Sr. Notes 10.75%, 8/15/04 Caa2 1,800 1,035,000 Jones Intercable, Inc. Sr. Notes 7.625%, 4/15/08 Baa2 1,150 1,199,989 Lenfest Communications, Inc.: Sr. Notes 8.375%, 11/1/05 Baa2 500 527,426 Sr. Sub. Notes 10.50%, 6/15/06 Baa3 1,250 1,419,725 Mediacomm LLC/Capital Corp.: Series B, Sr. Notes 8.50%, 4/15/08 B2 271 235,770 Sr. Notes 7.875%, 2/15/11 B2 850 671,500 (1) NTL Communications Corp. Series B, Sr. Notes 11.50%, 10/1/08 Ca 200 54,000 NTL, Inc.: Sr. Notes (1) Series A 12.75%, 4/15/05 Ca 750 202,500 Series B, 11.50%, 2/1/06 Ca 1,247 336,690 10.00%, 2/15/07 Ca 697 188,190 Northland Cable Television Gtd. 10.25%, 11/15/07 Caa1 800 628,000 (1) Olympus Communications, L.P./Olympus Capital Corp. Series B, Sr. Notes 10.625%, 11/15/06 Caa1 1,250 943,750 (5) Renaissance Media Group Sr. Discount Notes 0.00%, 4/15/08 B2 953 719,515
The accompanying notes are an integral part of the financial statements. 6
Face Moody's Amount Value Ratings (000) (Note A-1) --------------------------------------------------------------------------------------- Rogers Cablesystems Ltd.: Series B, Yankee Sr. Secured 2nd Priority Notes 10.00%, 3/15/05 Baa3 $ 250 $ 261,250 Yankee Gtd. 10.00%, 12/1/07 Baa3 700 731,500 Rogers Communications, Inc. Sr. Notes 8.875%, 7/15/07 Ba1 200 183,000 Susquehanna Media Co. Sr. Sub. Notes 8.50%, 5/15/09 B1 150 155,250 ------------ GROUP TOTAL 17,519,365 ------------ --------------------------------------------------------------------------------------- ----------------- CAPITAL GOODS (1.3%) Amtrol, Inc. Sr. Sub. Notes 10.625%, 12/31/06 Caa3 600 480,000 Jordan Industries, Inc. Series B, Sr. Notes 10.375%, 8/1/07 Caa3 1,422 895,860 Motors & Gears, Inc. Series D, Sr. Notes 10.75%, 11/15/06 Caa1 1,150 1,104,000 Park-Ohio Industries, Inc. Sr. Sub. Notes 9.25%, 12/1/07 Caa1 500 342,500 ------------ GROUP TOTAL 2,822,360 ------------ --------------------------------------------------------------------------------------- ----------------- CHEMICALS (2.2%) Acetex Corp. Sr. Notes 10.875%, 8/1/09 B2 350 367,500 Avecia Group plc Gtd. 11.00%, 7/1/09 B3 700 700,000 Lyondell Chemical Co. Series B, Secured Notes 9.875%, 5/1/07 Ba3 750 720,000 (3)(4) Millenium America, Inc. Sr. Notes 9.25%, 6/15/08 Ba1 500 512,500 Mississippi Chemical Corp. Bonds 7.25%, 11/15/17 B3 800 388,000 NL Industries, Inc. Sr. Secured Notes 11.75%, 10/15/03 B1 267 268,335 OM Group, Inc. Gtd. 9.25%, 12/15/11 B3 600 624,000 Radnor Holdings, Inc. Series B, Gtd. Sr. Notes 10.00%, 12/1/03 B2 650 598,000
Face Moody's Amount Value Ratings (000) (Note A-1) --------------------------------------------------------------------------------------- Terra Industries, Inc. Series B, Sr. Notes 10.50%, 6/15/05 Caa3 $ 400 $ 354,000 ------------ GROUP TOTAL 4,532,335 ------------ --------------------------------------------------------------------------------------- COMPETITIVE LOCAL EXCHANGE CARRIER (0.9%) (1) e. spire Communications, Inc. Sr. Discount Notes 13.00%, 11/1/05 N/R 3,311 24,834 (5) Knology Holdings, Inc. Sr. Discount Notes 0.00%, 10/15/07 N/R 1,150 442,750 Madison River Capital/ Finance Sr. Notes 13.25%, 3/1/10 Caa2 871 700,753 RCN Corp.: Series B, (5) Sr. Discount Notes 0.00%, 10/15/07 Ca 134 31,490 0.00%, 2/15/08 Ca 736 143,520 Sr. Notes 10.00%, 10/15/07 Ca 400 98,000 Time Warner Telecom, LLC Sr. Notes 9.75%, 7/15/08 B3 750 363,750 ------------ GROUP TOTAL 1,805,097 ------------ --------------------------------------------------------------------------------------- ----------------- CONSUMER PRODUCTS/TOBACCO (2.2%) Buhrmann US, Inc. Gtd. 12.25%, 11/1/09 B2 500 522,500 (1) Diamond Brands Operating Gtd. 10.125%, 4/15/08 Ca 2,000 110,000 General Binding Corp. Gtd. Sr. Sub. Notes 9.375%, 6/1/08 Caa1 500 437,500 Holmes Products Corp. Gtd. Sr. Sub. Notes 9.875%, 11/15/07 Caa2 1,000 657,500 Packaged Ice, Inc. Gtd. Sr. Notes 9.75%, 2/1/05 Caa3 400 336,000 Revlon Consumer Products Corp. Gtd. 12.00%, 12/1/05 Caa1 500 500,000 Samsonite Corp. Sr. Sub. Notes 10.75%, 6/15/08 Caa2 400 324,000 Scotts Co. Gtd. 8.625%, 1/15/09 B2 750 777,187 Sealy Mattress Co. Gtd. Sr. Sub. Notes 9.875%, 12/15/07 B3 400 404,000
The accompanying notes are an integral part of the financial statements. 7
Face Moody's Amount Value Ratings (000) (Note A-1) --------------------------------------------------------------------------------------- Werner Holdings Co., Inc. Series A, Gtd. 10.00%, 11/15/07 B2 $ 650 $ 662,187 ------------ GROUP TOTAL 4,730,874 ------------ --------------------------------------------------------------------------------------- ----------------- CONTAINERS (2.6%) AEP Industries, Inc. Sr. Sub. Notes 9.875%, 11/15/07 B3 650 646,750 Atlantis Plastics, Inc. Sr. Notes 11.00%, 2/15/03 N/R 835 830,825 BPC Holding Corp. Series B, Sr. Secured Notes 12.50%, 12/15/06 N/R 1,083 1,142,659 BWAY Corp. Series B, Gtd. 10.25%, 4/15/07 B3 250 260,000 Berry Plastics Corp. Series B, Gtd. 11.00%, 7/15/07 N/R 447 502,875 Huntsman Packaging Corp. Gtd. 13.00%, 6/1/10 Caa1 1,000 1,047,500 Owens-Illinois, Inc. Sr. Notes 8.10%, 5/15/07 B3 1,100 1,045,000 Radnor Holdings, Inc. Sr. Notes 10.00%, 12/1/03 B2 100 92,000 ------------ GROUP TOTAL 5,567,609 ------------ --------------------------------------------------------------------------------------- ----------------- ENERGY/OTHER (1.0%) Clark R&M, Inc. Sr. Notes 8.625%, 8/15/08 Ba3 350 341,250 Frontier Oil Corp.: Series A, Sr. Notes 9.125%, 2/15/06 B2 200 203,000 Sr. Notes 11.75%, 11/15/09 B2 1,050 1,120,875 (3)(4) Trico Marine Services, Inc. Sr. Notes 8.875%, 5/15/12 B2 500 497,500 ------------ GROUP TOTAL 2,162,625 ------------ --------------------------------------------------------------------------------------- ----------------- ENVIRONMENTAL SERVICES (0.7%) Allied Waste North America, Inc. Series B, Gtd. 7.875%, 1/1/09 Ba3 600 579,000 (3)(4) Iesi Corp. Sr. Sub. Notes 10.25%, 6/15/12 B3 500 502,500
Face Moody's Amount Value Ratings (000) (Note A-1) --------------------------------------------------------------------------------------- Waste Systems International, Inc. Series B, Gtd. 11.50%, 1/15/06 N/R $ 500 $ 327,500 ------------ GROUP TOTAL 1,409,000 ------------ --------------------------------------------------------------------------------------- FINANCE - OTHER (0.5%) (3)(4) PCA LLC/PCA Finance Corp. Sr. Notes 11.875%, 8/1/09 B3 500 497,500 (1) Westfed Holdings Sr. Debentures 15.50%, 9/15/99 N/R 2,000 650,000 ------------ GROUP TOTAL 1,147,500 ------------ --------------------------------------------------------------------------------------- ----------------- FOOD PROCESSORS/BEVERAGE/BOTTLING (2.7%) (1) Archibald Candy Corp. Gtd. Sr. Secured Notes 10.25%, 7/1/04 Caa2 1,250 668,750 Aurora Foods, Inc. Series B, Sr. Sub. Notes 9.875%, 2/15/07 Caa3 1,150 810,750 B&G Foods, Inc. Series D, Gtd. 9.625%, 8/1/07 B3 700 721,000 Eagle Family Foods Series B, Gtd. Sr. Notes 8.75%, 1/15/08 B3 450 344,250 Fleming Companies, Inc.: Sr. Notes 9.25%, 6/15/10 Ba3 750 742,500 (3)(4) Sr. Sub Notes 9.875%, 5/1/12 B2 900 855,000 Premier International Foods plc Sr. Notes 12.00%, 9/1/09 B3 1,400 1,526,000 ------------ GROUP TOTAL 5,668,250 ------------ --------------------------------------------------------------------------------------- ----------------- GAMING (8.8%) Ameristar Casinos, Inc. Gtd. 10.75%, 2/15/09 B3 1,050 1,131,375 Argosy Gaming Co.: Gtd. 10.75%, 6/1/09 B2 100 108,000 Sr. Sub. Notes 9.00%, 9/1/11 B2 500 515,625 Aztar Corp. Sr. Sub. Notes 8.875%, 5/15/07 Ba3 750 758,437 Boyd Gaming Corp.: Gtd. 9.25%, 8/1/09 Ba3 600 642,000 Sr. Sub. Notes 9.50%, 7/15/07 B1 400 406,000 Coast Hotels & Casinos, Inc. Gtd. 9.50%, 4/1/09 B2 700 738,500
The accompanying notes are an integral part of the financial statements. 8
Face Moody's Amount Value Ratings (000) (Note A-1) --------------------------------------------------------------------------------------- Hard Rock Hotel, Inc. Series B, Sr. Sub. Notes 9.25%, 4/1/05 Caa2 $ 1,800 $ 1,773,000 Hollywood Park, Inc. Series B, Sr. Sub. Notes 9.50%, 8/1/07 Caa1 781 757,328 Horseshoe Gaming Holdings Gtd. 8.625%, 5/15/09 B2 1,000 1,022,500 Isle of Capri Casinos, Inc. Gtd. 8.75%, 4/15/09 B2 650 656,500 MGM Mirage, Inc. Gtd. 9.75%, 6/1/07 Ba2 200 212,000 (3)(4) Majestic Investors Holdings Gtd. 11.653%, 11/30/07 B2 947 903,201 Majestic Star Casino, LLC Series B, Gtd. 10.875%, 7/1/06 B2 750 783,750 Mandalay Resort Group Sr. Sub. Notes 9.25%, 12/1/05 Ba3 300 309,750 Mikohn Gaming Corp. Series B, Gtd. 11.875%, 8/15/08 B3 1,150 1,096,813 Mohegan Tribal Gaming Authority Sr. Notes 8.125%, 1/1/06 Ba2 950 978,500 Park Place Entertainment Corp.: Sr. Sub. Notes 7.875%, 12/15/05 Ba2 250 251,250 9.375%, 2/15/07 Ba2 500 523,750 Penn National Gaming, Inc. Series B, Gtd. 11.125%, 3/1/08 B3 1,000 1,083,750 Riviera Black Hawk, Inc. First Mortgage Notes 13.00%, 5/1/05 B3 444 475,080 (3)(4) Riviera Holdings Corp. Gtd. 11.00%, 6/15/10 B2 500 488,750 Six Flags, Inc. Sr. Notes 9.75%, 6/15/07 B2 150 154,500 Station Casinos, Inc. Sr. Sub. Notes 9.75%, 4/15/07 B2 1,615 1,679,600 Windsor Woodmont Black Hawk Series B, First Mortgage Notes 13.00%, 3/15/05 N/R 1,200 1,051,500 ------------ GROUP TOTAL 18,501,459 ------------ --------------------------------------------------------------------------------------- -----------------
Face Moody's Amount Value Ratings (000) (Note A-1) --------------------------------------------------------------------------------------- HEALTHCARE FACILITIES/SUPPLIES (1.7%) Alaris Medical Systems, Inc.: Gtd. 9.75%, 12/1/06 Caa1 $ 400 $ 396,000 Series B, Secured 11.625%, 12/1/06 B2 250 282,500 Extendicare Health Services Gtd. 9.35%, 12/15/07 B3 600 561,000 (3)(4) Fisher Scientific International, Inc. Sr. Sub. Notes 8.125%, 5/1/12 B3 300 300,000 (3)(4) Healthsouth Corp. Notes 7.625%, 6/1/12 Ba1 400 396,927 (3)(4) Herbalife International, Inc. Sr. Sub. Notes 11.75%, 7/15/10 B3 500 502,500 Hudson Respiratory Care, Inc. Sr. Sub. Notes 9.125%, 4/15/08 Ca 400 202,000 Magellan Health Services, Inc. Sr. Sub. Notes 9.00%, 2/15/08 Caa1 600 219,000 Radiologix, Inc. Series B, Gtd. 10.50%, 12/15/08 B2 500 517,500 Triad Hospitals Holdings Series B, Gtd. 11.00%, 5/15/09 B2 200 221,000 Unilab Finance Corp. Sr. Sub. Notes 12.75%, 10/1/09 B3 73 85,775 ------------ GROUP TOTAL 3,684,202 ------------ --------------------------------------------------------------------------------------- ----------------- HOME BUILDERS (0.4%) Toll Corp. Sr. Sub. Notes 8.25%, 12/1/11 Ba2 300 303,000 WCI Communities, Inc. Gtd. 10.625%, 2/15/11 B1 500 525,000 ------------ GROUP TOTAL 828,000 ------------ --------------------------------------------------------------------------------------- ----------------- INDUSTRIAL/OTHER (1.2%) Brand Scaffold Services, Inc. Sr. Notes 10.25%, 2/15/08 B3 400 395,000 Equinix, Inc. Sr. Notes 13.00%, 12/1/07 N/R 350 64,750 GSI Group, Inc. Gtd. 10.25%, 11/1/07 B2 518 385,537 International Utility Structures, Inc.: Sub. Notes 13.00%, 2/1/08 N/R 924 184,800
The accompanying notes are an integral part of the financial statements. 9
Face Moody's Amount Value Ratings (000) (Note A-1) --------------------------------------------------------------------------------------- Yankee Sr. Sub. Notes 10.75%, 2/1/08 Ca $ 650 $ 406,250 Simmons Co. Series B, Sr. Sub. Notes 10.25%, 3/15/09 B3 1,000 1,055,000 ------------ GROUP TOTAL 2,491,337 ------------ --------------------------------------------------------------------------------------- ----------------- LEISURE (3.0%) AMC Entertainment, Inc.: Sr. Sub. Notes 9.50%, 3/15/09 Caa3 250 248,750 9.875%, 2/1/12 Caa3 650 654,063 Autotote Corp. Series B, Gtd. 12.50%, 8/15/10 B3 1,065 1,198,125 Bally Total Fitness Holdings Corp. Series D, Sr. Sub. Notes 9.875%, 10/15/07 B2 250 249,375 Bluegreen Corp. Series B, Gtd. 10.50%, 4/1/08 B3 1,000 850,000 Booth Creek Ski Holdings, Inc. Series B, Gtd. 12.50%, 3/15/07 Caa1 1,247 1,103,595 Cinemark U.S.A., Inc. Series D, Sr. Sub. Notes 9.625%, 8/1/08 Caa2 450 452,250 Imax Corp. Yankee Sr. Notes 7.875%, 12/1/05 Caa2 350 281,750 Intrawest Corp.: Yankee Sr. Notes 9.75%, 8/15/08 B1 650 663,000 10.50%, 2/1/10 B1 250 261,250 KSL Recreation Group, Inc. Series B, Sr. Sub. Notes 10.25%, 5/1/07 B2 430 434,300 ------------ GROUP TOTAL 6,396,458 ------------ --------------------------------------------------------------------------------------- ----------------- LODGING (1.4%) CapStar Hotel Co. Sr. Sub. Notes 8.75%, 8/15/07 B3 375 333,750 Felcor Lodging L.P. Gtd. 8.50%, 6/1/11 Ba3 425 418,625 HMH Properties Series B, Gtd. 7.875%, 8/1/08 Ba3 600 574,500 Host Marriot L.P. Series I, Gtd. 9.50%, 1/15/07 Ba3 600 608,250 (3)(4) John Q. Hammons Hotels First Mortgage Notes 8.875%, 5/15/12 B2 300 295,500
Face Moody's Amount Value Ratings (000) (Note A-1) --------------------------------------------------------------------------------------- Prime Hospitality Corp. Secured First Mortgage Notes 9.25%, 1/15/06 Ba2 $ 650 $ 667,875 ------------ GROUP TOTAL 2,898,500 ------------ --------------------------------------------------------------------------------------- ----------------- METALS & MINING (2.4%) AEI Resources LLC Gtd. 11.75%, 5/9/09 N/R 600 565,500 AK Steel Corp. Sr. Notes 9.125%, 12/15/06 B1 200 210,120 (1) Anker Coal Group, Inc. Series B, Gtd. 14.25%, 9/1/07 C 300 106,500 (3)(4) Earle M. Jorgensen Co. Secured 9.75%, 6/1/12 B2 400 396,000 Haynes International, Inc. Sr. Notes 11.625%, 9/1/04 Caa2 450 358,875 Maxxam Group Holdings, Inc. Series B, Sr. Notes 12.00%, 8/1/03 Caa1 600 528,000 (4) Metallurg, Inc. Series B, Gtd. 11.00%, 12/1/07 B3 1,171 1,059,303 (3)(4) Ormet Corp. Gtd. 11.00%, 8/15/08 Caa1 750 446,250 WCI Steel, Inc. Series B, Sr. Notes 10.00%, 12/1/04 Caa2 1,175 663,875 (3)(4) Wolverine Tube, Inc. Sr. Notes 10.50%, 4/1/09 B1 800 788,000 ------------ GROUP TOTAL 5,122,423 ------------ --------------------------------------------------------------------------------------- ----------------- OIL EQUIPMENT (0.9%) Key Energy Services, Inc. Sr. Sub. Notes 14.00%, 1/15/09 B2 1,024 1,203,200 (3)(4) Parker Drilling Co. Gtd. 10.125%, 11/15/09 B1 750 787,500 ------------ GROUP TOTAL 1,990,700 ------------ --------------------------------------------------------------------------------------- ----------------- PAPER & FOREST PRODUCTS (3.7%) Ainsworth Lumber Co. Ltd. Yankee Sr. Secured Notes 12.50%, 7/15/07 B3 1,450 1,576,875 (3)(4) Appleton Papers, Inc. Sr. Sub. Notes 12.50%, 12/15/08 B3 700 693,000 Bear Island Paper Co., LLC Series B, Sr. Notes 10.00%, 12/1/07 Caa2 350 301,000
The accompanying notes are an integral part of the financial statements. 10
Face Moody's Amount Value Ratings (000) (Note A-1) --------------------------------------------------------------------------------------- Container Corp. of America Gtd. Sr. Notes 9.75%, 4/1/03 B2 $ 500 $ 516,250 Doman Industries Ltd. Yankee Gtd. 12.00%, 7/1/04 Caa2 300 277,500 Fonda Group, Inc. Sr. Sub. Notes 9.50%, 3/1/07 Caa2 1,000 855,000 Four M Corp. Series B, Sr. Notes 12.00%, 6/1/06 B3 1,000 1,030,000 Riverwood International Corp. Gtd. Sr. Notes 10.875%, 4/1/08 Caa1 1,150 1,201,750 (3)(4) Stone Container Corp. Sr. Notes 8.375%, 7/1/12 B2 600 607,500 (3)(4) Stone Container Finance Co. Yankee Gtd. Sr. Notes 11.50%, 8/15/06 B2 780 846,300 ------------ GROUP TOTAL 7,905,175 ------------ --------------------------------------------------------------------------------------- ----------------- PUBLISHING (0.9%) Hollinger International Publishing Gtd. 9.25%, 3/15/07 Ba3 1,100 1,138,500 (5) Liberty Group Publishing, Inc. Sr. Discount Debentures 0.00%, 2/1/09 Caa2 900 635,625 (1) Premier Graphics, Inc. Gtd. 11.50%, 12/1/05 N/R 2,000 70,000 ------------ GROUP TOTAL 1,844,125 ------------ --------------------------------------------------------------------------------------- ----------------- RESTAURANTS (2.1%) Advantica Restaurant Group, Inc. Sr. Notes 11.25%, 1/15/08 Caa2 600 471,750 American Restaurant Group, Inc. Series D, Gtd. 11.50%, 11/1/06 B2 1,275 1,153,875 (1) AmeriKing, Inc. Sr. Notes 10.75%, 11/15/07 Caa2 134 20,156 (3)(4) Buffets, Inc. Sr. Sub. Notes 11.25%, 7/15/10 B3 500 502,500 CKE Restaurants, Inc. Gtd. 9.125%, 5/1/09 Caa1 350 339,500 Carrols Corp. Gtd. 9.50%, 12/1/08 B3 150 149,250 Friendly Ice Cream Corp. Gtd. Sr. Notes 10.50%, 12/1/07 B3 1,050 1,034,250
Face Moody's Amount Value Ratings (000) (Note A-1) --------------------------------------------------------------------------------------- Romacorp, Inc. Sr. Notes 12.00%, 7/1/06 B3 $ 1,000 $ 655,000 ------------ GROUP TOTAL 4,326,281 ------------ --------------------------------------------------------------------------------------- RETAIL - FOOD & DRUG (1.9%) (3)(4) D & B Acquisition Sub, Inc. Sr. Notes 12.25%, 7/15/09 B2 250 246,875 (1) Dairy Mart Convenience Stores, Inc. Sr. Sub. Notes 10.25%, 3/15/04 N/R 726 221,430 (5) Mrs. Fields Holding Co. Sr. Discount Notes 0.00%, 12/1/05 Caa2 2,026 800,270 Mrs. Fields Original Cookies, Inc. Series B, Gtd. 10.125%, 12/1/04 B2 1,000 735,000 PETCO Animal Supplies, Inc. Sr. Sub. Notes 10.75%, 11/1/11 B3 400 434,000 Pantry, Inc. Gtd. Sr. Sub. Notes 10.25%, 10/15/07 B3 750 682,500 Stater Brothers Holdings, Inc. Sr. Notes 10.75%, 8/15/06 B2 750 776,250 ------------ GROUP TOTAL 3,896,325 ------------ --------------------------------------------------------------------------------------- ----------------- RETAIL STORES (3.0%) (5) Advance Holdings Corp. Series B, Debentures 0.00%, 4/15/09 Caa1 1,850 1,852,312 Advance Stores Co. Gtd. Sr. Sub. Notes 10.25%, 4/15/08 B3 1,250 1,318,750 Finlay Fine Jewelry Corp. Gtd. Sr. Notes 8.375%, 5/1/08 B1 600 590,250 (1) Flooring America, Inc. Series B, Gtd. 9.25%, 10/15/07 N/R 703 70 Jostens, Inc. Sr. Sub. Notes 12.75%, 5/1/10 B3 900 1,012,500 Michaels Stores, Inc. Sr. Notes 9.25%, 7/1/09 Ba2 500 532,500 NBTY, Inc. Series B, Sr. Sub. Notes 8.625%, 9/15/07 B1 400 399,000
The accompanying notes are an integral part of the financial statements. 11
Face Moody's Amount Value Ratings (000) (Note A-1) --------------------------------------------------------------------------------------- PEP Boys-Manny Moe & Jack Notes 7.00%, 6/1/05 B2 $ 750 $ 727,500 ------------ GROUP TOTAL 6,432,882 ------------ --------------------------------------------------------------------------------------- ----------------- SATELLITE (2.0%) EchoStar DBS Communications Corp. Sr. Notes 9.375%, 2/1/09 B1 1,000 930,000 (3)(4) Echostar DBS Corp. Sr. Notes 9.125%, 1/15/09 B1 650 598,000 Loral Cyberstar, Inc. Gtd. 10.00%, 7/15/06 Caa1 637 442,715 (3)(4) PanAmSat Corp. Sr. Notes 8.50%, 2/1/12 Ba3 500 462,500 Pegasus Communications Corp. Series B, Sr. Notes 12.50%, 8/1/07 B3 1,000 505,000 Pegasus Media & Communications, Inc. Series B, Notes 12.50%, 7/1/05 B3 500 442,500 (5) Pegasus Satellite Sr. Discount Notes 0.00%, 3/1/07 Caa1 250 76,250 Star Choice Communications, Inc. Yankee Sr. Notes 13.00%, 12/15/05 B3 700 731,500 ------------ GROUP TOTAL 4,188,465 ------------ --------------------------------------------------------------------------------------- ----------------- SECONDARY OIL & GAS PRODUCERS (5.0%) Abraxas Petroleum Corp. Series A, Gtd. Sr. Sub. Notes 11.50%, 11/1/04 Caa3 1,454 970,545 Chesapeake Energy Corp. Gtd. 8.125%, 4/1/11 B1 1,250 1,234,375 Continental Resources, Inc. Gtd. Sr. Notes 10.25%, 8/1/08 Caa1 1,025 922,500 Contour Energy Co. Gtd. 14.00%, 4/15/03 Caa2 1,219 1,220,524 Forest Oil Corp. Sr. Notes 8.00%, 6/15/08 Ba3 1,000 1,007,500 (3)(4) Giant Industries, Inc. Sr. Sub. Notes 11.00%, 5/15/12 B3 100 88,500
Face Moody's Amount Value Ratings (000) (Note A-1) --------------------------------------------------------------------------------------- Mission Resources Corp. Series C, Gtd. 10.875%, 4/1/07 Caa2 $ 1,350 $ 1,113,750 Ocean Energy, Inc. Series B, Gtd. 8.375%, 7/1/08 Ba1 150 159,000 (3)(4) Plains E&P Co. Sr. Sub. Notes 8.75%, 7/1/12 B2 300 298,125 Plains Resources, Inc. Series B, Gtd. Sr. Sub. Notes 10.25%, 3/15/06 B2 375 389,062 Pogo Producing Co. Series B, Sr. Sub. Notes 8.25%, 4/15/11 B1 550 552,750 Southwest Royalties, Inc. Gtd. 10.50%, 6/30/04 Caa2 1,115 1,115,000 Triton Energy Ltd. Yankee Sr. Notes 8.875%, 10/1/07 Baa2 200 221,000 Vintage Petroleum, Inc. Sr. Sub. Notes 7.875%, 5/15/11 B1 700 637,000 Wiser Oil Co. Gtd. Sr. Sub. Notes 9.50%, 5/15/07 Caa3 750 618,750 ------------ GROUP TOTAL 10,548,381 ------------ --------------------------------------------------------------------------------------- ----------------- SERVICES - OTHER (1.9%) APCOA, Inc. Gtd. Sr. Notes 9.25%, 3/15/08 Caa3 477 203,321 Diamond Triumph Auto Gtd. 9.25%, 4/1/08 B3 500 473,750 Integrated Electrical Services, Inc. Gtd. 9.375%, 2/1/09 B2 625 603,125 Iron Mountain, Inc. Gtd. Sr. Sub. Notes 8.75%, 9/30/09 B2 600 616,500 La Petite Academy, Inc. Gtd. 10.00%, 5/15/08 Ca 1,250 668,750 Muzak LLC/Muzak Finance Gtd. 9.875%, 3/15/09 Caa1 500 412,500 Salton, Inc. Sr. Sub. Notes 12.25%, 4/15/08 B2 250 257,500 United Rentals, Inc. Sr. Sub. Notes 9.25%, 1/15/09 B2 750 757,500 ------------ GROUP TOTAL 3,992,946 ------------ ---------------------------------------------------------------------------------------
The accompanying notes are an integral part of the financial statements. 12
Face Moody's Amount Value Ratings (000) (Note A-1) --------------------------------------------------------------------------------------- TECHNOLOGY (0.2%) Ampex Corp. Secured 12.00%, 8/15/08 N/R $ 1,398 $ 209,733 Unisys Corp. Sr. Notes 7.875%, 4/1/08 Ba1 250 247,500 ------------ GROUP TOTAL 457,233 ------------ --------------------------------------------------------------------------------------- ----------------- TEXTILE/APPAREL/SHOE MANUFACTURING (1.7%) Levi Strauss & Co. Notes 7.00%, 11/1/06 B2 1,250 1,043,750 Phillips-Van Heusen Corp. Sr. Sub. Notes 9.50%, 5/1/08 Ba3 800 816,000 Tropical Sportswear International Corp. Series A, Gtd. 11.00%, 6/15/08 B3 700 742,000 WestPoint Stevens, Inc. Sr. Notes 7.875%, 6/15/05 Ca 1,000 680,000 USI American Holdings, Inc. Series B, Gtd. 7.25%, 12/1/06 B3 470 403,025 ------------ GROUP TOTAL 3,684,775 ------------ --------------------------------------------------------------------------------------- ----------------- TRANSPORTATION/OTHER (0.4%) (1) ABC-NACO, Inc. Sr. Sub. Notes 10.50%, 1/15/04 N/R 460 46 Cenargo International plc First Priority Ship Mortgage Notes 9.75%, 6/15/08 Ba3 100 80,250 Sea Containers Ltd. Yankee Sr. Notes 10.75%, 10/15/06 Ba3 700 633,500 Ultrapetrol (Bahamas) Ltd. First Mortgage Notes 10.50%, 4/1/08 B1 150 124,687 ------------ GROUP TOTAL 838,483 ------------ --------------------------------------------------------------------------------------- ----------------- UTILITIES (1.1%) AES Corp. Sr. Notes 9.50%, 6/1/09 Ba3 250 166,250 CMS Energy Corp.: Series B, Sr. Notes 6.75%, 1/15/04 B3 150 112,544 Sr. Notes 7.50%, 1/15/09 B3 600 414,575 Calpine Canada Energy Finance Gtd. 8.50%, 5/1/08 B1 250 172,500 Calpine Corp. Sr. Notes 7.75%, 4/15/09 B1 700 458,500
Face Moody's Amount Value Ratings (000) (Note A-1) --------------------------------------------------------------------------------------- Cogentrix Energy, Inc. Series B, Gtd. 8.75%, 10/15/08 Baa3 $ 1,000 $ 993,515 ------------ GROUP TOTAL 2,317,884 ------------ --------------------------------------------------------------------------------------- ----------------- WIRELESS (3.9%) (5) Alamosa PCS Holdings, Inc. Gtd. 0.00%, 2/15/10 Caa1 800 124,000 American Cellular Corp. Gtd. 9.50%, 10/15/09 B2 850 157,250 Dobson/Sygnet Communications Co. Sr. Notes 12.25%, 12/15/08 B3 1,550 937,750 IWO Holdings, Inc. Gtd. 14.00%, 1/15/11 Caa1 450 146,250 Microcell Telecommunications, Inc. Series B, Yankee Sr. Discount Notes 14.00%, 6/1/06 Caa3 1,020 86,700 Millicom International Cellular Yankee Sr. Discount Notes 13.50%, 6/1/06 Caa1 1,150 408,250 (5) Nextel Communications, Inc. Sr. Discount Notes 0.00%, 2/15/08 B3 2,580 1,244,850 Nextel Partners, Inc.: (5) Sr. Discount Notes 0.00%, 2/1/09 B3 1,250 340,625 Sr. Notes 11.00%, 3/15/10 B3 400 161,000 PTC International Finance B.V. Yankee Gtd. 10.75%, 7/1/07 B1 350 357,875 PTC International Finance II SA Yankee Gtd. 11.25%, 12/1/09 B1 750 787,500 Rogers Cantel, Inc. Yankee Sr. Secured Debentures 9.375%, 6/1/08 Baa3 350 243,250 Rural Cellular Corp. Sr. Sub. Notes 9.75%, 1/15/10 B3 1,550 751,750 (3)(4) Tech Olympic USA, Inc. Sr. Notes 9.00%, 7/1/10 Ba3 500 495,000 Telesystem International Wireless, Inc. Yankee Sr. Notes 14.00%, 12/30/03 Ca 110 88,550 (5) Tritel PCS, Inc. Sr. Discount Notes 0.00%, 5/15/09 Baa2 325 256,750
The accompanying notes are an integral part of the financial statements. 13
Face Moody's Amount Value Ratings (000) (Note A-1) --------------------------------------------------------------------------------------- (5) Triton PCS, Inc. Gtd. 0.00%, 5/1/08 B2 $ 1,100 $ 687,500 (5) US Unwired, Inc. Series B, Gtd. 0.00%, 11/1/09 B3 1,100 269,500 VoiceStream Wireless Sr. Notes 10.375%, 11/1/09 Baa2 519 500,835 Western Wireless Corp. Sr. Sub. Notes 10.50%, 2/1/07 B3 600 255,000 ------------ GROUP TOTAL 8,300,185 ------------ --------------------------------------------------------------------------------------- ----------------- TOTAL CORPORATE OBLIGATIONS (Cost $208,469,636) 168,802,306 ------------ --------------------------------------------------------------------------------------- ----------------- GOVERNMENT OBLIGATION (0.1%) --------------------------------------------------------------------------------------- ----------------- UNITED STATES TREASURY BILL (0.1%) 1.84%, 8/15/02 (Cost $149,658) Aaa 150 149,698 ------------ ---------------------------------------------------------------------------------------
Shares/ Units ------------------------------------------------------------------------- ----------------- COMMON STOCKS (1.1%) ------------------------------------------------------------------------- ----------------- BROADCAST/OUTDOOR (0.7%) (3)(6) Spanish Broadcasting System, Inc. Class A 142,800 1,372,308 ------------ ------------------------------------------------------------------------- ----------------- CONTAINERS (0.0%) (6) Indesco International, Inc. 20,689 98,273 ------------ ------------------------------------------------------------------------- ----------------- FINANCE - OTHER (0.0%) (6)(7) Westfed Holdings, Inc. Class B (acquired 9/20/88, cost $127) 16,893 0 ------------ ------------------------------------------------------------------------- ----------------- FOOD PROCESSORS/BEVERAGE/BOTTLING (0.0%) (6) Aurora Foods, Inc. 36,201 54,302 (3)(6) Specialty Foods Corp. 52,500 525 ------------ GROUP TOTAL 54,827 ------------ ------------------------------------------------------------------------- ----------------- INDUSTRIAL/OTHER (0.1%) (2)(6) Doskocil Manufacturing Co. 18,000 63,000 (2)(6) First Wave Marine, Inc. 2,105 52,625 ------------ GROUP TOTAL 115,625 ------------ ------------------------------------------------------------------------- ----------------- LODGING (0.0%) (6) Motels of America, Inc. 750 3,000 ------------ ------------------------------------------------------------------------- ----------------- METALS & MINING (0.0%) (6) Sheffield Steel Corp. 8,750 88 ------------ ------------------------------------------------------------------------- Shares/ Value Units (Note A-1) ------------------------------------------------------------------------- PAPER & FOREST PRODUCTS (0.1%) (3)(6) Mail-Well, Inc. 31,958 $ 166,181 ------------ ------------------------------------------------------------------------- ----------------- RETAIL STORES (0.0%) (2)(6) Safelite Glass Corp. Class B 12,903 645 (2)(6) Safelite Realty Corp. 871 9 ------------ GROUP TOTAL 654 ------------ ------------------------------------------------------------------------- SECONDARY OIL & GAS PRODUCERS (0.1%) Southwest Royalties, Inc. Class A 16,736 253,210 ------------ ------------------------------------------------------------------------- ----------------- TEXTILE/APPAREL/SHOE MANUFACTURING (0.1%) (6) Safety Components International, Inc. 26,759 173,933 ------------ ------------------------------------------------------------------------- ----------------- WIRELESS (0.0%) HCI Direct, Inc. Class A 18,578 105,570 (3)(6) OpTel, Inc. 750 7 ------------ GROUP TOTAL 105,577 ------------ ------------------------------------------------------------------------- ------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $3,032,696) 2,343,676 ------------ ------------------------------------------------------------------------- ----------------- PREFERRED STOCKS (0.3%) ------------------------------------------------------------------------- ----------------- CABLE (0.0%) (6) Adelphia Communications Corp. 13% Cum. Exchangeable Series B 7,500 31,875 (6) DIVA Systems Corp. Series D 56,913 569 (6)(8) NTL, Inc. 13% Exchangeable, Series B 1 2 ------------ GROUP TOTAL 32,446 ------------ ------------------------------------------------------------------------- ----------------- COMPETITIVE LOCAL EXCHANGE CARRIER (0.0%) (6)(8) Intermedia Communications, Inc. 13.50% Exchangeable, Series B 480 25,200 (3)(4)(6) WorldCom, Inc.-WorldCom Group 7% Conv. Preferred 59,000 29,500 ------------ GROUP TOTAL 54,700 ------------ ------------------------------------------------------------------------- ----------------- FINANCE - OTHER (0.0%) (2)(6)(7) Westfed Holdings, Inc. Class A (acquired 9/20/88-6/18/93, cost $1,203,480) 57,005 57,005 ------------ ------------------------------------------------------------------------- ----------------- RESTAURANTS (0.0%) (6)(8) AmeriKing, Inc. 13% Cum. Exchangeable 39,105 391 ------------ ------------------------------------------------------------------------- -----------------
The accompanying notes are an integral part of the financial statements. 14
Shares/ Value Units (Note A-1) ------------------------------------------------------------------------- SATELLITE (0.0%) (4)(6)(8) Earthwatch, Inc. 8.50% Conv. Preferred 64,085 $ 17,944 ------------ ------------------------------------------------------------------------- ----------------- SERVICES - OTHER (0.0%) (8) Source Media, Inc. 13.50% Units 93,696 4,685 ------------ ------------------------------------------------------------------------- ----------------- TRANSPORTATION/OTHER (0.0%) (2) Aran Shipping & Trading SA 8.30% 10,252 7,381 ------------ ------------------------------------------------------------------------- ----------------- WIRELESS (0.3%) (6)(8) Rural Cellular Corp. 11.375% Sr. Exchangeable 383 73,727 (6)(8) Nextel Communications, Inc. 11.125% Exchangeable, Series E 1,950 498,050 ------------ GROUP TOTAL 571,777 ------------ ------------------------------------------------------------------------- ----------------- TOTAL PREFERRED STOCKS (Cost $11,138,300) 746,329 ------------ ------------------------------------------------------------------------- ----------------- RIGHTS (0.1%) (3) Terex Corp. expiring 5/15/02 (Cost $0) 8,000 97,000 ------------ ------------------------------------------------------------------------- ----------------- WARRANTS (0.1%) ------------------------------------------------------------------------- (6) Arcadia Financial Ltd. expiring 3/15/07 475 5 (6) Australis Media Ltd. expiring 5/15/03 225 2 (6) Carrier1 International S.A. expiring 2/19/09 300 3 (6) Crown Packaging Holdings Ltd. expiring 11/1/03 3,000 30 (2)(6) DIVA Systems Corp.: expiring 5/15/06 2,315 23 expiring 3/1/08 11,655 117 (6) Dayton Superior Corp. expiring 6/15/09 1,250 12,500 (6) Decrane Aircraft Holdings expiring 9/30/08 800 8 (6) HF Holdings, Inc. expiring 9/27/09 11,330 113 (6) Key Energy Services expiring 1/15/09 1,500 138,750 (6) Loral Space & Communications expiring 12/27/06 6,290 3,774 (6) Mikohn Gaming Corp. expiring 8/15/08 3,000 60 (6) Mrs. Fields Holding expiring 12/1/05 2,250 22,500 (6) PLD Telekom, Inc. expiring 6/1/06 2,170 22 (6) Pegasus Communications Corp. expiring 1/1/07 250 34 Shares/ Value Units (Note A-1) ------------------------------------------------------------------------- (6) Pliant Corp. expiring 6/1/10 747 $ 7,470 (2)(6) Safelite Glass Corp.: Class A expiring 9/29/06 31,622 316 Class B expiring 9/29/07 21,081 211 (6) Star Choice Communications, Inc. expiring 12/5/05 16,212 64,035 (6) USN Communications, Inc. expiring 8/15/04 10,650 107 (2)(6) Windsor Woodmont Black Hawk expiring 3/15/10 100 0 ------------------------------------------------------------------------- ----------------- TOTAL WARRANTS (Cost $1,858,834) 250,080 ------------ ------------------------------------------------------------------------- ----------------- TOTAL DOMESTIC SECURITIES (Cost $224,649,124) 172,389,089 ------------ -------------------------------------------------------------------------
Face Moody's Amount Ratings (000) -------------------------------------------------------------------------- FOREIGN SECURITIES (14.8%) -------------------------------------------------------------------------- ----------------- CORPORATE OBLIGATIONS (3.0%) -------------------------------------------------------------------------- ----------------- ARGENTINA (0.3%) Compania Internacional de Telecomunicaciones S.A. Series REGS, Notes 10.375%, 8/1/04 N/R ARP 235 201,512 Hidroelectica Piedra del Aguila S.A. (4) Collateralized 8.25%, 6/30/09 N/R USD $1,789 331,037 Series I, Collateral Trust 8.00%, 12/31/09 N/R USD 150 32,553 Series II, Collateral Trust 8.25%, 6/30/09 N/R USD 250 54,331 Series QP, Collateral Trust 8.00%, 12/31/09 N/R USD 352 65,108 ------------ GROUP TOTAL 684,541 ------------ -------------------------------------------------------------------------- DOMINICAN REPUBLIC (0.2%) (3)(4) Dominican Republic Bonds 9.50%, 9/27/06 Ba2 USD 450 475,875 ------------ -------------------------------------------------------------------------- ----------------- MALAYSIA (1.6%) (3)(4) Petronas Capital Ltd.: Gtd. 7.00%, 5/22/12 Baa1 USD 930 945,811 7.875%, 5/22/22 Baa1 USD 1,000 996,387
The accompanying notes are an integral part of the financial statements. 15
Face Moody's Amount Value Ratings (000) (Note A-1) -------------------------------------------------------------------------- (3)(4) Tenaga Nasional Berhad Debentures 7.50%, 11/1/25 Baa3 USD $1,375 $ 1,296,613 ------------ GROUP TOTAL 3,238,811 ------------ -------------------------------------------------------------------------- ----------------- SOUTH KOREA (0.9%) (3)(4) Hanvit Bank Sub. Notes 11.75%, 3/1/10 Baa3 USD 280 322,224 Korea Development Bank: Global Notes 5.25%, 11/16/06 A3 USD 710 728,322 Notes 7.125%, 4/22/04 A3 USD 115 122,048 Export-Import Bank of Korea Global Sr. Unsub. Notes 6.375%, 2/15/06 A3 USD 755 796,691 ------------ GROUP TOTAL 1,969,285 ------------ -------------------------------------------------------------------------- ----------------- TOTAL CORPORATE OBLIGATIONS (Cost $7,167,298) 6,368,512 ------------ -------------------------------------------------------------------------- ----------------- GOVERNMENT OBLIGATIONS (11.8%) -------------------------------------------------------------------------- ----------------- ARGENTINA (0.0%) (9) Bocon PRO1 Bonds 2.67%, 4/1/07 Ca ARP 152 4,004 ------------ -------------------------------------------------------------------------- ----------------- CHINA (1.1%) People's Republic of China: Global Bonds 7.30%, 12/15/08 A3 USD 605 677,567 Sr. Unsubordinated 6.80%, 5/23/11 A3 USD 1,470 1,587,735 ------------ GROUP TOTAL 2,265,302 ------------ -------------------------------------------------------------------------- ----------------- COSTA RICA (0.1%) (3)(4) Republic of Costa Rica Notes 8.11%, 2/1/12 Ba1 USD 290 293,625 ------------ -------------------------------------------------------------------------- ----------------- MALAYSIA (0.8%) Malaysia: Global Bonds 8.75%, 6/1/09 Baa2 USD 145 167,826 7.50%, 7/15/11 Baa2 USD 1,425 1,517,159 ------------ GROUP TOTAL 1,684,985 ------------ -------------------------------------------------------------------------- ----------------- MEXICO (0.8%) United Mexican States: Series B, Secured 6.25%, 12/31/19 Baa2 USD 1,015 956,409 Series MTN, Notes 8.50%, 2/1/06 Baa2 USD 595 635,163 ------------ GROUP TOTAL 1,591,572 ------------ -------------------------------------------------------------------------- ----------------- Face Moody's Amount Value Ratings (000) (Note A-1) -------------------------------------------------------------------------- MOROCCO (0.2%) Kingdom of Morocco Series A, Foreign Government Gtd. 2.75%, 1/5/09 Ba1 USD $480 $ 428,400 ------------ -------------------------------------------------------------------------- ----------------- PHILIPPINES (1.1%) Republic of Philippines: Global Bonds 8.875%, 4/15/08 Ba1 USD 600 627,000 Series B, Foreign Government Gtd. 6.50%, 12/1/17 Ba1 USD 315 284,821 Series 92-B, Debentures 2.9375%, 12/1/09 Ba1 USD 204 187,277 Unsubordinated 9.375%, 12/7/06 Ba1 EUR 1,190 1,203,098 ------------ GROUP TOTAL 2,302,196 ------------ -------------------------------------------------------------------------- ----------------- POLAND (1.9%) Republic of Poland: Bonds 3.75%, 10/27/24 Baa1 USD 510 379,313 Global Bonds 6.25%, 7/3/12 Baa1 USD 1,800 1,785,762 Series PDIB, Bonds 6.00%, 10/27/14 Baa1 USD 1,534 1,543,286 Series RSTA, Collateralized 4.50%, 10/27/24 Baa1 USD 385 311,935 ------------ GROUP TOTAL 4,020,296 ------------ -------------------------------------------------------------------------- ----------------- RUSSIA (3.9%) Ministry Finance of Russia: Series V, Debentures 3.00%, 5/14/08 B3 USD 3,475 2,351,313 Series VI, Debentures 3.00%, 5/14/06 B1 USD 1,370 1,075,469 Russian Federation: Series REGS, Unsubordinated 5.00%, 3/31/30 Ba3 USD 2,650 1,851,062 (3)(4) Unsubordinated 8.25%, 3/31/10 Ba3 USD 1,427 1,412,426 11.00%, 7/24/18 Ba3 USD 785 845,838 12.75%, 6/24/28 Ba3 USD 635 765,813 ------------ GROUP TOTAL 8,301,921 ------------ -------------------------------------------------------------------------- ----------------- SOUTH AFRICA (0.9%) Republic of South Africa Notes 7.375%, 4/25/12 Baa2 USD 1,795 1,779,294 ------------ -------------------------------------------------------------------------- ----------------- SOUTH KOREA (0.2%) Republic of Korea Unsubordinated 8.875%, 4/15/08 A3 USD 300 356,820 ------------ -------------------------------------------------------------------------- -----------------
The accompanying notes are an integral part of the financial statements. 16
Face Moody's Amount Value Ratings (000) (Note A-1) -------------------------------------------------------------------------- TURKEY (0.4%) Republic of Turkey Sr. Unsub. Notes 11.875%, 1/15/30 B1 USD $1,070 $ 916,187 ------------ -------------------------------------------------------------------------- ----------------- UKRAINE (0.1%) Ukraine Government Sr. Notes 11.00%, 3/15/07 B2 USD 191 194,670 ------------ -------------------------------------------------------------------------- ----------------- URUGUAY (0.0%) Republic of Uruguay Global Notes 7.625%, 1/20/12 Ba2 USD 140 82,950 ------------ -------------------------------------------------------------------------- ----------------- VENEZUELA (0.3%) Republic of Venezuela Series W-B, Foreign Government Gtd. 3.00%, 3/31/20 B2 USD 1,000 721,657 ------------ -------------------------------------------------------------------------- ----------------- TOTAL GOVERNMENT OBLIGATIONS (Cost $23,849,300) 24,943,879 ------------ -------------------------------------------------------------------------- ----------------- TOTAL FOREIGN SECURITIES (Cost $31,016,598) 31,312,391 ------------ -------------------------------------------------------------------------- -----------------
-------------------------------------------------------------------------
Face Amount Value (000) (Note A-1) SHORT-TERM INVESTMENT (2.4%) ------------------------------------------------------------------------- ----------------- TIME DEPOSIT (2.4%) Bank One 1.02%, 7/1/02 (Cost $5,136,000) $5,136 $ 5,136,000 ------------ ------------------------------------------------------------------------- ----------------- TOTAL INVESTMENTS (98.8%) (Cost $260,801,722) 208,837,480 ------------ ------------------------------------------------------------------------- ----------------- OTHER ASSETS IN EXCESS OF LIABILITIES (1.2%) 2,568,590 ------------ ------------------------------------------------------------------------- ----------------- NET ASSETS (100%) Applicable to 49,895,588 issued and outstanding $.001 par value shares (authorized 100,000,000 shares) $211,406,070 ============ =========================================================================
N/R--Not Rated ARP--Argentine Peso EUR--Euro (1) Defaulted security. (2) Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Board of Directors. (3) 144A Security. Certain conditions for public sale may exist. (4) Private Placement. Certain conditions for public sale may exist. (5) Step Bond--Coupon rate is low or zero for an initial period and then increases to a higher coupon rate thereafter. Maturity date disclosed is the ultimate maturity. (6) Non-income producing security. (7) Restricted as to private and public resale. Total cost of restricted securities at June 30, 2002 aggregated 1,203,607. Total market value of restricted securities owned at June 30, 2002 was 57,005 or 0.03% of net assets. (8) Payment-in-kind preferred stocks. Market value includes accrued dividend. (9) Floating Rate--The interest rate changes on these instruments based upon a designated base rate. The rates shown are those in effect at June 30, 2002. The accompanying notes are an integral part of the financial statements. 17
STATEMENT OF ASSETS AND LIABILITIES June 30, 2002 (unaudited) -------------------------------------------------------------------------------------------------- ASSETS: Investments at Value (Cost $260,801,722) (Note A-1)............................................ $208,837,480 Receivables: Investments Sold.......................................................... 4,814,802 Dividends and Interest (Note A-4)......................................... 6,702,198 Other Assets................................................................ 41,384 -------------------------------------------------------------------------------------------------- Total Assets............................................................ 220,395,864 -------------------------------------------------------------------------------------------------- LIABILITIES: Investments Purchased..................................................... 8,443,239 Unrealized Depreciation on Forward Foreign Currency Exchange Contracts (Note A-8)............................................................... 47,829 Investment Advisory Fees (Note B)......................................... 280,369 Professional Fees......................................................... 74,857 Shareholders' Reports..................................................... 71,607 Administrative Fees (Note C).............................................. 29,856 Custodian Fees............................................................ 21,963 Shareholder Servicing Fees................................................ 17,032 Directors' Fees........................................................... 3,042 -------------------------------------------------------------------------------------------------- Total Liabilities....................................................... 8,989,794 -------------------------------------------------------------------------------------------------- NET ASSETS...................................................................... $211,406,070 ================ NET ASSETS CONSIST OF: Capital Shares at $.001 Par Value........................................... $ 49,896 Capital Paid in Excess of Par Value......................................... 399,365,353 Distribution in Excess of Net Investment Income............................. (10,037,631) Accumulated Net Realized Loss on Investments................................ (125,963,453) Unrealized Depreciation on Investments and Foreign Currency Translations.... (52,008,095) -------------------------------------------------------------------------------------------------- NET ASSETS APPLICABLE TO 49,895,588 ISSUED AND OUTSTANDING SHARES (AUTHORIZED 100,000,000 SHARES)........................................................... $211,406,070 ================ NET ASSET VALUE PER SHARE....................................................... $ 4.24 ==================================================================================================
STATEMENT OF OPERATIONS Six Months Ended June 30, 2002 (unaudited) -------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest (Net of foreign taxes withheld of $10,105) (Note A-4).............. $ 11,800,348 Dividends (Note A-4)........................................................ 218,565 -------------------------------------------------------------------------------------------------- Total Income.............................................................. 12,018,913 -------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees (Note B)........................................... 566,336 Shareholders' Reports....................................................... 80,201 Professional Fees........................................................... 72,436 Administrative Fees (Note C)................................................ 56,631 Custodian Fees.............................................................. 50,785 Shareholder Servicing Fees.................................................. 43,328 Directors' Fees and Expenses................................................ 27,148 Miscellaneous............................................................... 3,533 Other....................................................................... 27,858 -------------------------------------------------------------------------------------------------- Total Expenses............................................................ 928,256 -------------------------------------------------------------------------------------------------- Net Investment Income................................................... 11,090,657 -------------------------------------------------------------------------------------------------- REALIZED LOSS: Investments................................................................. (38,156,930) Futures Contracts........................................................... (67,002) -------------------------------------------------------------------------------------------------- Total Realized Loss....................................................... (38,223,932) -------------------------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION/ (DEPRECIATION) ON INVESTMENTS AND FOREIGN CURRENCY...................................................................... 20,348,300 -------------------------------------------------------------------------------------------------- Net Realized Loss and Change in Unrealized Appreciation/(Depreciation).......... (17,875,632) -------------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $ (6,784,975) ==================================================================================================
The accompanying notes are an integral part of the financial statements. 18
STATEMENT OF CHANGES IN NET ASSETS Six Months Ended June 30, 2002 Year Ended (unaudited) December 31,2001 --------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net Investment Income....................................................... $ 11,090,657 $ 27,221,355 Net Realized Loss on Investments and Futures Contracts...................... (38,223,932) (59,992,925) Change in Unrealized Appreciation of Investments and Futures Contracts...... 20,348,300 19,592,188 --------------------------------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ (6,784,975) (13,179,382) --------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS: Net Investment Income....................................................... (18,461,368) (31,368,657) --------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: Net Assets received in conjunction with Merger Agreement and Plan of Reorganization............................................................. -- 83,383,448 --------------------------------------------------------------------------------------------------------------------- Total Increase (Decrease) in Net Assets..................................... (25,246,343) 38,835,409 --------------------------------------------------------------------------------------------------------------------- NET ASSETS: Beginning of Period......................................................... 236,652,413 197,817,004 --------------------------------------------------------------------------------------------------------------------- End of Period (Including distributions in excess of net investment income of ($10,037,631) and ($2,666,920), respectively.)............................. $211,406,070 $236,652,413 =====================================================================================================================
FINANCIAL HIGHLIGHTS Six Months Ended Year Ended December 31, PER SHARE OPERATING JUNE 30, 2002 --------------------------------------------------------------------- PERFORMANCE: (UNAUDITED) 2001(2) 2000 1999 1998 1997 1996 ---------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD............................ $4.74 $5.70 $7.34 $7.77 $8.44 $8.12 $8.63 ---------------------------------------------------------------------------------------------------------------------------- Offering Costs................. -- -- -- -- -- -- (0.02) ---------------------------------------------------------------------------------------------------------------------------- Investment Activities: Net Investment Income.......... 0.22 0.61+ 0.67 0.75 0.71 0.69 0.75 Net Realized and Unrealized Gain (Loss) on Investments.... (0.35) (0.85) (1.55) (0.46) (0.66) 0.39 0.18 ---------------------------------------------------------------------------------------------------------------------------- Total from Investment Activities.................. (0.13) (0.24) (0.88) 0.29 0.05 1.08 0.93 ---------------------------------------------------------------------------------------------------------------------------- Distributions: Net Investment Income.......... (0.37) (0.72) (0.76) (0.72) (0.72) (0.76) (0.90) ---------------------------------------------------------------------------------------------------------------------------- Decrease in Net Asset Value due to Shares Issued through Rights Offering.......................... -- -- -- -- -- -- (0.52) ---------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD..... $4.24 $4.74 $5.70 $7.34 $7.77 $8.44 $8.12 ============================================================================================================================ PER SHARE MARKET VALUE, END OF PERIOD............................ $4.82 $4.98 $5.56 $6.06 $7.56 $8.75 $7.63 ============================================================================================================================ TOTAL INVESMENT RETURN: Net Asset Value (1)............ (4.64)% (6.04)% (12.37)% 4.50% 0.47% 14.03% 10.59%* Market Value................... 3.18% 1.15% 3.55% (11.32)% (5.68)% 25.90% 10.05%* ============================================================================================================================ RATIOS AND SUPPLEMENTAL DATA: ============================================================================================================================ Net Assets, End of Period (Thousands)....................... $211,406 $236,652 $197,817 $254,857 $269,507 $291,959 $280,634 ---------------------------------------------------------------------------------------------------------------------------- Ratio of Expenses to Average Net Assets Including Expense Offsets........................... 0.82% 1.07% 0.78% 0.78% 0.81% 0.84% 0.94% Ratio of Expenses to Average Net Assets............................ 0.82%** 1.07% 0.78% 0.78% 0.81% 0.84% 0.95% Ratio of Net Investment Income to Average Net Assets................ 9.79%** 11.66% 10.10% 9.90% 8.59% 8.47% 9.23% Portfolio Turnover Rate............ 29.0% 50.1%(3) 39.1% 43.5% 84.7% 97.7% 81.0% ---------------------------------------------------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS Year Ended December 31, PER SHARE OPERATING ----------------------------------------------- PERFORMANCE: 1995SECTION 1994 1993 1992 ----------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD............................ $8.05 $9.00 $8.42 $8.28 ----------------------------------- Offering Costs................. -- -- -- -- ----------------------------------- Investment Activities: Net Investment Income.......... 0.86 0.83 0.91 0.89 Net Realized and Unrealized Gain (Loss) on Investments.... 0.48 (1.06) 0.57 0.08 ----------------------------------- Total from Investment Activities.................. 1.34 (0.23) 1.48 0.97 ----------------------------------- Distributions: Net Investment Income.......... (0.76) (0.72) (0.90) (0.83) ----------------------------------- Decrease in Net Asset Value due to Shares Issued through Rights Offering.......................... -- -- -- -- ----------------------------------- NET ASSET VALUE, END OF PERIOD..... $8.63 $8.05 $9.00 $8.42 =================================== PER SHARE MARKET VALUE, END OF PERIOD............................ $7.88 $7.00 $8.50 $8.38 =================================== TOTAL INVESMENT RETURN: Net Asset Value (1)............ 17.41% (2.67)% 18.47% 11.95% Market Value................... 24.34% (9.48)% 12.46% 12.09% =================================== RATIOS AND SUPPLEMENTAL DATA: =================================== Net Assets, End of Period (Thousands)....................... $210,441 $196,379 $219,355 $203,846 ----------------------------------- Ratio of Expenses to Average Net Assets Including Expense Offsets........................... 0.92% 0.83% 0.88% 0.86% Ratio of Expenses to Average Net Assets............................ 0.92% 0.83% 0.88% 0.86% Ratio of Net Investment Income to Average Net Assets................ 10.22% 9.75% 10.34% 10.38% Portfolio Turnover Rate............ 44.1% 70.6% 117.5% 115.2% -----------------------------------
Section Credit Suisse Asset Management, LLC, formerly known as BEA Associates, replaced CS First Boston Investment Management as the Fund's investment adviser effective June 13, 1995. * Adjusted for Rights Offering. ** Annualized. + Calculated using the average share method. (1) Total investment return based on per share net asset value reflects the effects of change in net asset value on the performance of the Fund during each Period, and assumes dividends and capital gains distributions, if any, were reinvested. These percentages are not an indication of the performance of a shareholder's investment in the Fund based on market value, due to differences between the market price of the stock and the net asset value of the Fund. (2) As required, effective January 1, 2001 the Fund has adopted provisions of AICPA Audit and Accounting Guide for Investment Companies and has begun amortizing premium on debt securities. The effect of this change for the year ended December 31, 2001 was a decrease to net investment income per share by $0.004 and an increase to net realized and unrealized gains and losses per share by $0.004 and a decrease to the net ratio of net investment income to average net assets from 11.73% to 11.66%. Per share ratios and supplemental data for prior periods have not been restated to reflect this change. (3) Due to the realignment of the Fund's portfolio in connection with the combination with Credit Suisse Asset Management Strategic Global Income Fund, Inc. ("CGF"), the cost of purchases of $30,040,944 and proceeds from sales of $37,801,151 have been excluded from the Portfolio Turnover calculation. Note: Current Year permanent book-tax differences, if any, are not included in the calculation of net investment income per share. The accompanying notes are an integral part of the financial statements. 19 NOTES TO FINANCIAL STATEMENTS ------------ Credit Suisse Asset Management Income Fund, Inc. (the "Fund") was incorporated on February 11, 1987 and is registered as a diversified, closed-end investment company under the Investment Company Act of 1940. The Fund's investment objective is to seek current income through investment primarily in debt securities. On May 14, 2001, the Fund acquired substantially all of the assets and assumed the liabilities of Credit Suisse Asset Management Strategic Global Income Fund, Inc. ("CGF"). Pursuant to the terms of the agreement governing the acquisition, the CGF shareholders, for each share of common stock of CGF held, became entitled to receive an equivalent dollar amount of full shares of common stock of the Fund. Based on the net asset values of the Fund and CGF as of May 11, 2001 ($5.49 and $6.96, respectively), the conversion ratio was 1.2681 shares of the Fund for each share of CGF. Cash was paid in lieu of fractional shares. Net assets of the Fund and CGF as of the acquisition date were $190,522,544 and $83,383,448, including unrealized depreciation of $71,252,968 and $16,668,823, respectively. Total net assets immediately after the acquisition were $273,905,992. Based upon the opinion of Fund counsel, the acquisition qualified as a tax-free reorganization for Federal income tax purposes, with no gain or loss recognized by the Fund, CGF or their shareholders. A. The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. Accounting principles generally accepted in the United States of America may require management to make estimates and assumptions that affect the amounts and disclosures in the financial statements. Actual reported results could differ from those estimates. 1. SECURITY VALUATION: The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange. The Fund's investments are valued at market value, which is generally determined using the last reported sales price. If no sales are reported, investments are generally valued at the last reported bid price. Debt securities are valued on the basis of broker quotations or valuations provided by a pricing service which may use a matrix, formula or other objective method that takes into consideration market indices, matrices, yield curves and other specific adjustments. If market quotations are not readily available, securities and other assets are valued by another method that the Board of Directors believes accurately reflects fair value. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless the Board determines that using this method would not reflect an investment's value. The Fund may invest up to 10% of its total assets in securities which are not readily marketable, including those which are restricted as to disposition under securities law ("restricted securities") (excludes 144A securities). These securities are valued pursuant to the valuation procedures noted above. 2. FEDERAL INCOME TAXES: It is the Fund's intention to continue to qualify as a regulated investment company and distribute all of its taxable income to shareholders. Accordingly, no provision for Federal income taxes is required in the financial statements. 3. REPURCHASE AGREEMENTS: Money market instruments may be purchased from banks and non-bank dealers subject to the seller's agreement to repurchase them at an agreed upon date and price. Collateral for repurchase agreements may have longer maturities than the maximum permissible remaining maturity of portfolio investments. The seller will be required on a daily basis to maintain the value of the securities subject to the agreement at not less than the repurchase price. The agreements are conditional upon the collateral being deposited under the Federal Reserve book-entry system or held in a separate account by the Fund's custodian or an authorized securities depository. If the underlying securities fall below the value of the repurchase price plus accrued interest, the Fund will require the seller to deposit additional collateral by the next business day. If the request for additional collateral is not met, or the seller defaults on its repurchase obligation, the Fund maintains the right to sell the underlying securities at market value and may claim any resulting loss against the seller; collectibility of such claims may be limited. As of June 30, 2002, the Fund had no such agreements. 4. SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Security transactions are accounted for on the date the securities are purchased or sold. Costs used in determining realized gains and losses on the sale of investment securities are those of specific securities sold. Interest income is recognized on the accrual basis. Discounts and premiums on securities purchased are amortized according to the effective yield method over their respective lives. Discount or premium on mortgage backed securities is recognized upon receipt of principal payments on the underlying mortgage pools. Dividend income is recorded on the ex-dividend date. 5. DELAYED DELIVERY COMMITMENTS: The Fund may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. 20 6. DIVIDENDS AND DISTRIBUTIONS: The Fund pays dividends of net investment income monthly and makes distributions at least annually of any net capital gains in excess of applicable capital losses, including capital loss carryforward. Dividends and distributions are recorded on the ex-dividend date. Income distributions and capital gains distributions are determined in accordance with U.S. Federal Income Tax regulations which may differ from generally accepted accounting principles. These differences are principally due to timing of the recognition of defaulted bond interest. Permanent book and tax differences relating to shareholder distributions may result in reclassifications to undistributed net investment income (loss), undistributed net realized gain (loss) and paid in capital. Distributions in the Statement of Changes in Net Assets are considered ordinary income for tax purposes. 7. FUTURES CONTRACTS: The Fund may enter into futures contracts to the extent permitted by its investment policies and objectives. Upon entering into a futures contract, the Fund is required to make a deposit of initial margin with its broker in a segregated account. 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 contract is 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. Risks may arise from the potential inability of the counterparty to meet the terms of a contract and from unanticipated movements in the value of a futures contract. 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 June 30, 2002, the Fund had no open futures contracts. 8. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS: The Fund may enter into forward foreign currency exchange contracts to protect securities and related receivables and payables against changes in future foreign exchange rates. A forward currency contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily using the forward rate and the change in market value is recorded by the Fund as unrealized gain or loss. The Fund recognizes a realized gain or loss when the contract is closed equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. 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 relative to the U.S. dollar. The Fund had the following outstanding forward foreign currency exchange contract at June 30, 2002.
FORWARD FOREIGN VALUE AT CURRENCY EXCHANGE SETTLEMENT SETTLEMENT 6/30/02 UNREALIZED CONTRACTS DATE DATE VALUE DEPRECIATION --------------------------------------------- ---------- ---------- ---------- ------------ Sale Contract: Euro (E1,188,000) 7/15/02 $1,123,123 $1,170,952 $(47,829)
9. CHANGE IN ACCOUNTING PRINCIPLE: As required, effective January 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premiums on debt securities. Prior to January 1, 2001 the Fund did not amortize premiums on debt securities. The cumulative effect of this accounting change had no impact on the total net assets of the Fund, but resulted in a $500,101 reduction in the cost of the securities, $500,101 increase in net unrealized appreciation, and a corresponding $500,101 decrease to undistributed net investment income, based on securities held by the Fund on January 1, 2001. B. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES: Credit Suisse Asset Management, LLC, the Fund's investment adviser, is an indirect wholly owned subsidiary of Credit Suisse Group ("CSG"). Credit Suisse Asset Management ("CSAM") is the institutional asset-management and mutual fund arm of CSG. As of June 30, 2002, CSAM managed over $66 billion in the U.S. and, together with its global affiliates, manages assets of over $313 billion in 14 countries. Credit Suisse Funds is the U.S. mutual fund family of CSAM. Under the Advisory Agreement, the adviser is paid a fee, computed weekly and paid quarterly, calculated at 0.50% of the lower of the weekly stock price (market value) of the Fund's outstanding shares or its average weekly net assets, effective as of the CGF acquisition on May 14, 2001. Prior thereto, the fee was based solely on average weekly net assets. Merrill Corporation ("Merrill"), an affiliate of CSAM, has been engaged by the Fund to provide certain financial printing services. For the six months ended June 30, 2002, Merrill was paid $31,075 for its services to the Fund. C. Brown Brothers Harriman & Co. ("BBH&Co."), provides administrative and custodial services to the Fund. Under the Administration and Custody Agreements, BBH&Co. is paid a fee based on average net assets. Fleet National Bank provides transfer agent services to the Fund. Under the Transfer Agent Agreement, Fleet National 21 Bank is paid a fee based on the number of accounts in the Fund per year. In addition, the Fund is charged certain out-of-pocket expenses by Fleet National Bank. D. Purchases and sales of investment securities (excluding short-term investments and U.S. government securities) aggregated $63,151,167 and $70,791,110 respectively, for the six months ended June 30, 2002. Purchases and sales of U.S. government and government agency securities aggregated $148,620 and $150,000 respectively, for the six months ended June 30, 2002. E. At June 30, 2002, the cost of investments for Federal income tax purposes was $260,801,722. Accordingly, net unrealized depreciation for Federal income tax purposes aggregated $51,964,242, of which $10,142,315 related to appreciated securities and $62,106,557 related to depreciated securities. At December 31, 2001, the Fund had a capital loss carryforward of $68,033,678 available to offset future capital gains, of which $2,261,380, $3,565,110, $9,512,339, $2,335,946, and $50,358,903 will expire on December 31, 2003, 2006, 2007, 2008 and 2009, respectively. F. At June 30, 2002, 83.7% of the Fund's net assets were comprised of high yield fixed income securities. The financial condition of the issuers of the securities and general economic conditions may affect the issuers' ability to make payments of income and principal, as well as the market value of the securities. Such investments may also be less liquid and more volatile than investments in higher rated fixed income securities. At June 30, 2002, 14.8% of the Fund's net assets were comprised of foreign denominated fixed income securities. Investments in foreign securities may be exposed to risks not typically associated with investments in the United States. These risks include disruptive political or economic conditions and the possible imposition of adverse governmental laws or currency exchange restrictions. G. The Fund's Board of Directors has approved a share repurchase program authorizing the Fund from time to time to make open-market purchases on the New York Stock Exchange of up to 10 percent of the Fund's shares outstanding as of December 11, 1990. There were no repurchases of shares during the six months ended June 30, 2002. H. The Fund issued to its shareholders of record as of the close of business on September 27, 1996 transferable Rights to subscribe for up to an aggregate of 10,160,570 shares of Common Stock of the Fund at a rate of one share of Common Stock for three Rights held at the subscription price of $7.15 per share. During October 1996, the Fund issued a total of 10,160,570 shares of Common Stock on exercise of such Rights. Rights' offering costs of $550,000 were charged directly against the proceeds of the offering. I. Through June 18, 2002, the Fund, together with other funds advised by CSAM (collectively, the "Participating Funds"), participated in a $200 million committed, unsecured line of credit facility ("Prior Credit Facility") with Deutsche Bank, A.G. as administrative agent, State Street Bank and Trust Company as operations agent, BNP Paribas as syndication agent and certain other lenders for temporary or emergency purposes. Under the terms of the Prior Credit Facility, the Participating Funds paid an aggregate commitment fee at a rate of 0.10% per annum on the average unused amount of the Prior Credit Facility, which is allocated among the Participating Funds in such a manner as is determined by the governing Boards of the Participating Funds. In addition, the Participating Funds paid interest on borrowings at the Federal Funds rate plus 0.50%. Effective June 19, 2002, the Participating Funds, together with additional funds advised by CSAM (collectively with the Participating Funds, the "New Participating Funds"), established a new $150 million committed, unsecured, line of credit facility ( the "New Credit Facility") with Deutsche Bank, A.G. as administrative agent and syndication agent and State Street Bank and Trust Company as operations agent for the same purposes as the Prior Credit Facility. Terms of the New Credit Facility remain the same as the Prior Credit Facility. The commitment fee rate and interest paid is unchanged. At June 30, 2002 and during the six months ended June 30, 2002, the Fund had no borrowings under either credit facility. 22 DESCRIPTION OF INVESTLINK-SM- PROGRAM --------- The InvestLink-SM- Program is sponsored and administered by Fleet National Bank, not by Credit Suisse Asset Management Income Fund, Inc., (the "Fund"). Fleet National Bank will act as program administrator (the "Program Administrator") of the InvestLink-SM- Program (the "Program"). The purpose of the Program is to provide interested investors with a simple and convenient way to invest funds and reinvest dividends in shares of the Fund's common stock ("Shares") at prevailing prices, with reduced brokerage commissions and fees. An interested investor may join the Program at any time. Purchases of Shares with funds from a participant's cash payment or automatic account deduction will begin on the next day on which funds are invested. If a participant selects the dividend reinvestment option, automatic investment of dividends generally will begin with the next dividend payable after the Program Administrator receives his enrollment form. Once in the Program, a person will remain a participant until he terminates his participation or sells all Shares held in his Program account, or his account is terminated by the Program Administrator. A participant may change his investment options at any time by requesting a new enrollment form and returning it to the Program Administrator. A participant will be assessed certain charges in connection with his participation in the Program. First-time investors will be subject to an initial service charge which will be deducted from their initial cash deposit. All optional cash deposit investments will be subject to a service charge. Sales processed through the Program will have a service fee deducted from the net proceeds, after brokerage commissions. In addition to the transaction charges outlined above, participants will be assessed per share processing fees (which include brokerage commissions.) Participants will not be charged any fee for reinvesting dividends. The number of Shares to be purchased for a participant depends on the amount of his dividends, cash payments or bank account or payroll deductions, less applicable fees and commissions, and the purchase price of the Shares. The Program Administrator uses dividends and funds of participants to purchase Shares of the Fund's common stock in the open market. Such purchases will be made by participating brokers as agent for the participants using normal cash settlement practices. All Shares purchased through the Program will be allocated to participants as of the settlement date, which is usually three business days from the purchase date. In all cases, transaction processing will occur within 30 days of the receipt of funds, except where temporary curtailment or suspension of purchases is necessary to comply with applicable provisions of the Federal Securities laws or when unusual market conditions make prudent investment impracticable. In the event the Program Administrator is unable to purchase Shares within 30 days of the receipt of funds, such funds will be returned to the participants. The average price of all Shares purchased by the Program Administrator with all funds received during the time period from two business days preceding any investment date up to the second business day preceding the next investment date shall be the price per share allocable to a participant in connection with the Shares purchased for his account with his funds or dividends received by the Program Administrator during such time period. The average price of all Shares sold by the Program Administrator pursuant to sell orders received during such time period shall be the price per share allocable to a participant in connection with the Shares sold for his account pursuant to his sell orders received by the Program Administrator during such time period. Fleet National Bank, as Program Administrator administers the Program for participants, keeps records, sends statements of account to participants and performs other duties relating to the Program. Each participant in the Program will receive a statement of his account following each purchase of Shares. The statements will also show the amount of dividends credited to such participant's account (if applicable), as well as fees paid by the participant. In addition, each participant will receive copies of the Fund's annual and semi-annual reports to shareholders, proxy statements and, if applicable, dividend income information for tax reporting purposes. If the Fund is paying dividends on the Shares, a participant will receive dividends through the Program for all Shares held on the dividend record date on the basis of full and fractional Shares held in his account, and for all other Shares of the Fund registered in his name. The Program Administrator will send checks to the participants for the amounts of their dividends that are not to be automatically reinvested at no cost to the participants. Shares of the Fund purchased under the Program will be registered in the name of the accounts of the respective participants. Unless requested, the Fund will not issue to participants certificates for Shares of the Fund purchased under the Program. The Program Administrator will hold the Shares in book-entry form until a Program participant chooses to withdraw his Shares or terminate his participation in the Program. The number of Shares purchased for a participant's account under the Program will be shown on his statement of account. This feature protects against loss, theft or destruction of stock certificates. A participant may withdraw all or a portion of the Shares from his Program account by notifying the Program Administrator. After receipt of a participant's request, the Program Administrator will issue to such participant certificates for the whole Shares of the Fund so withdrawn or, if requested by the participant, sell the Shares for him and send him the proceeds, less applicable brokerage commissions, fees, and transfer taxes, if any. If a participant withdraws all full and fractional Shares in his Program account, his participation in the Program will be terminated by the Program Administrator. In no case will certificates for fractional Shares be issued. The Program Administrator will convert any fractional Shares held by a participant at the time of his withdrawal to cash. Participation in any rights offering, dividend distribution or stock split will be based upon both the Shares of the Fund registered in participants' names and the Shares (including fractional Shares) credited to participants' Program accounts. 23 Any stock dividend or Shares resulting from stock splits with respect to Shares of the Fund, both full and fractional, which participants hold in their Program accounts and with respect to all Shares registered in their names will be automatically credited to their accounts. All Shares of the Fund (including any fractional share) credited to his account under the Program will be voted as the participant directs. The participants will be sent the proxy materials for the annual meetings of shareholders. When a participant returns an executed proxy, all of such shares will be voted as indicated. A participant may also elect to vote his Shares in person at the Shareholders' meeting. A participant will receive tax information annually for his personal records and to help him prepare his U.S. federal income tax return. The automatic reinvestment of dividends does not relieve him of any income tax which may be payable on dividends. For further information as to tax consequences of participation in the Program, participants should consult with their own tax advisors. The Program Administrator in administering the Program will not be liable for any act done in good faith or for any good faith omission to act. However, the Program Administrator will be liable for loss or damage due to error caused by its negligence, bad faith or willful misconduct. Shares held in custody by the Program Administrator are not subject to protection under the Securities Investors Protection Act of 1970. The participant should recognize that neither the Fund nor the Program Administrator can provide any assurance of a profit or protection against loss on any Shares purchased under the program. A participant's investment in Shares held in his Program account is no different than his investment in directly held Shares in this regard. The participant bears the risk of loss and the benefits of gain from market price changes with respect to all his Shares. Neither the Fund nor the Program Administrator can guarantee that Shares purchased under the Program will, at any particular time, be worth more or less than their purchase price. Each participant must make an independent investment decision based on his own judgement and research. While the Program Administrator hopes to continue the Program indefinitely, the Program Administrator reserves the right to suspend or terminate the Program at any time. It also reserves the right to make modifications to the Program. Participants will be notified of any such suspension, termination or modification in accordance with the terms and conditions of the Program. The Program Administrator also reserves the right to terminate any participant's participation in the Program at any time. Any question of interpretation arising under the Program will be determined in good faith by the Program Administrator and any such good faith determination will be final. Any interested investor may participate in the Program. To participate in the Program, an investor who is not already a registered owner of the Shares must make an initial investment of at least $250.00. All other cash payments or bank account deductions must be at least $100.00, up to a maximum of $100,000.00 annually. An interested investor may join the Program by reading the Program description, completing and signing the enrollment form and returning it to the Program Administrator. The enrollment form and information relating to the Program (including terms and conditions) may be obtained by calling the Program Administrator at one of the following telephone numbers: First Time Investors-- (888) 697-8026. Current Shareholders--(800) 730-6001. All correspondence regarding the Program should be directed to: Fleet National Bank, InvestLink Program, P.O. 43010, Providence, RI 02940-3010. 24 SUPPLEMENTAL PROXY INFORMATION --------- The Annual Meeting of Shareholders was held on Thursday, April 25, 2002 at the offices of Credit Suisse Asset Management, LLC, 466 Lexington Avenue, New York, New York. The following is a summary of the proposal presented and the total number of shares voted:
PROPOSAL VOTES FOR VOTES WITHHELD -------- ---------- -------------- 1. Election of Directors of the Fund: Class I: James S. Pasman, Jr. 42,070,883 901,164 William W. Priest, Jr. 42,046,611 925,436
In addition to the Directors re-elected at the meeting, Lawrence J. Fox and Enrique R. Arzac continue to serve as Directors of the Fund. Effective February 22, 2002, James P. McCaughan resigned as Director and Chairman of the Board of Directors. Effective May 13, 2002, Laurence R. Smith was elected as Director and Chairman of the Board of Directors. 25 PRIVACY POLICY NOTICE (UNAUDITED) --------- We are committed to maintaining the privacy of every current and prospective customer. We recognize that you entrust important personal information to us, and we wish to assure you that we take seriously our responsibilities in protecting and safeguarding this information. In connection with making available investment products and services to current and potential customers, we may obtain nonpublic personal information about you. This information may include your name, address, e-mail address, social security number, account number, assets, income, financial situation, transaction history and other personal information. We may collect nonpublic information about you from the following sources: - Information we receive on applications, forms, questionnaires, web sites, agreements or in the course of establishing or maintaining a customer relationship; and - Information about your transactions with us, our affiliates, or others. We do not disclose any nonpublic personal information about our customers or former customers to anyone, except with your consent or as otherwise permitted by law. In cases where we believe that additional products and services may be of interest to you, we may share the information described above with our affiliates. We may also disclose this information to firms that perform services on our behalf. These agents and service providers are required to treat the information confidentially and use it only for the purpose for which it is provided. We restrict access to nonpublic personal information about you to those employees, agents or other parties who need to know that information to provide products or services to you or in connection with your investments with or through us. We maintain physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information. NOTE: THIS NOTICE IS PROVIDED TO CLIENTS AND PROSPECTIVE CLIENTS OF CREDIT SUISSE ASSET MANAGEMENT, LLC ("CSAM"), CSAM CAPITAL INC., AND CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., AND SHAREHOLDERS AND PROSPECTIVE SHAREHOLDERS IN CSAM SPONSORED AND ADVISED INVESTMENT COMPANIES, INCLUDING CREDIT SUISSE FUNDS, AND OTHER CONSUMERS AND CUSTOMERS, AS APPLICABLE. THIS NOTICE IS DATED AS OF MARCH 29, 2002 AND IS NOT INTENDED TO BE INCORPORATED IN ANY OFFERING MATERIALS BUT IS MERELY A STATEMENT OF OUR CURRENT PRIVACY POLICY, AND MAY BE AMENDED FROM TIME TO TIME UPON NOTICE TO YOU. 26 4946-SAR-02