N-CSRS 1 a2161418zn-csrs.txt N-CSRS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act File No. 811-05012 ----------------------------------------- CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. ------------------------------------------------ (Exact Name of Registrant as Specified in Charter) 466 Lexington Avenue, New York, New York 10017-3140 --------------------------------------------------- (Address of Principal Executive Offices) (Zip Code) J. Kevin Gao, Esq. Credit Suisse Asset Management Income Fund, Inc. 466 Lexington Avenue New York, New York 10017-3140 Registrant's telephone number, including area code:(212) 875-3500 Date of fiscal year end: December 31 Date of reporting period: January 1, 2005 to June 30, 2005 ITEM 1. REPORTS TO STOCKHOLDERS. [CREDIT SUISSE ASSET MANAGEMENT LOGO] CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. SEMIANNUAL REPORT JUNE 30, 2005 (UNAUDITED) This page intentionally left blank CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. SEMIANNUAL INVESTMENT ADVISER'S REPORT June 30, 2005 (unaudited) July 22, 2005 Dear Shareholder: PERFORMANCE SUMMARY 1/1/05 - 6/30/05
FUND & BENCHMARK PERFORMANCE Total Return (based on NAV)(1) -1.48% Total Return (based on market value) 8.01% Citigroup High-Yield Market Index(2) (CHYMI) 0.81%
MARKET OVERVIEW: SOME TURBULENCE ON THE FLIGHT TO QUALITY Bond markets fluctuated in the first six months of 2005, at some points dominated by weaker growth and benign inflation and at others by the resumed recovery and increasing price pressures. The Federal Reserve, meanwhile, continued its measured pace of 25 basis point rate hikes at each of its four meetings, taking the fed funds target rate from 2.25% in January to 3.25% at the end of June. In the first half of 2005 the economy appeared to slow somewhat from last year's pace, although GDP continued to grow at or above trend. Corporate profits also declined modestly relative to the prior six months as various headwinds emerged, including volatile oil prices, which broke the $60 a barrel barrier in June. Inflation, meanwhile, appeared to trend upwards, due primarily to slower productivity gains and increasing unit labor costs. We believe the most important development in the credit markets this year was the downgrades of General Motors (GM) and Ford to junk, which caused spreads to widen further from their recent near-historic lows. Simply put, the prospect of having to absorb fallen angels of this magnitude (together the two companies possess nearly $90 billion in index-eligible debt), increased perceived risk among high yield investors. The Fitch downgrade of GM to junk later in May confirmed the company's status among the high yield benchmarks and removed some of the uncertainty in the market. The smooth transition of the automaker's debt into high yield accounts, in our opinion, was a key factor buoying second quarter results. STRATEGIC REVIEW: SELECTIVE SECTOR POSITIONING Several factors accounted for the Fund's underperformance of its benchmark during the fiscal half-year: - The major detractors during the period were the Fund's overweight to the Building Products sector, an underweight to the Energy sector and issue selection in the Health Care Facilities sector. 1 - Our underweight to the Automobile Manufacturing sector during the period (we sold all of our holdings in GM earlier in January) contributed positively to the Fund's performance during the period. - Our overweight to the Wireless sector added significantly to the Fund's performance during the period. - An underweight to the Airlines sector and issue selection in both the Airlines and Cable sectors also benefited the Fund. OUTLOOK: WATCHING THE CREDIT CYCLE TURN We believe that corporations might continue the recent trend and favor stockholders over bondholders in the next phase of the corporate finance cycle. Since 2002, corporations had been paying down debt, buying back less stock, and accumulating more cash on the balance sheet. This contributed to the improved credit ratings of many firms and a lower default ratio in the credit market generally. However, this trend essentially peaked and began to turn in late 2004. As a result we believe we have reached the apex of the credit improvement cycle. We anticipate that firms will continue to pursue more shareholder friendly actions, using the accumulated cash to increase dividends, inventories, capital spending and stock buybacks. Over time this could lead to a gradual deterioration in the credit environment, placing greater importance on fundamental research and security selection. Sincerely yours, /s/ Michael E. Kenneally Michael E. Kenneally, Chairman of the Board* /s/ Dennis Schaney Dennis Schaney, Chief Investment Officer** HIGH YIELD BONDS ARE LOWER-QUALITY BONDS THAT ARE ALSO KNOWN AS "JUNK BONDS." SUCH BONDS ENTAIL GREATER RISKS THAN THOSE FOUND IN HIGHER-RATED SECURITIES. INTERNATIONAL INVESTING ENTAILS SPECIAL RISK CONSIDERATIONS, INCLUDING CURRENCY FLUCTUATIONS, LOWER LIQUIDITY, ECONOMIC AND POLITICAL RISKS, AND DIFFERENCES IN ACCOUNTING METHODS; THESE RISKS 2 ARE GENERALLY HEIGHTENED FOR EMERGING-MARKET INVESTMENTS. THE FUND MAY INCLUDE A GREATER DEGREE OF RISK THAN OTHER FUNDS THAT INVEST IN LARGER, MORE-DEVELOPED MARKETS. IN ADDITION TO HISTORICAL INFORMATION, THIS REPORT CONTAINS FORWARD-LOOKING STATEMENTS, WHICH MAY CONCERN, AMONG OTHER THINGS, DOMESTIC AND FOREIGN MARKET, INDUSTRY AND ECONOMIC TRENDS AND DEVELOPMENTS AND GOVERNMENT REGULATION AND THEIR POTENTIAL IMPACT ON THE FUND'S INVESTMENT PORTFOLIO. THESE STATEMENTS ARE SUBJECT TO RISKS AND UNCERTAINTIES AND ACTUAL TRENDS, DEVELOPMENTS AND REGULATIONS IN THE FUTURE AND THEIR IMPACT ON THE FUND COULD BE MATERIALLY DIFFERENT FROM THOSE PROJECTED, ANTICIPATED OR IMPLIED. THE FUND HAS NO OBLIGATION TO UPDATE OR REVISE FORWARD-LOOKING STATEMENTS. 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. * Michael E. Kenneally is the Chairman of the Board. Mr. Kenneally is also Director and/or Chairman of other investment companies advised by CSAM. ** Dennis Schaney is a Managing Director of CSAM and global head of fixed income. He has served in these capacities since 2003. He is primarily responsible for the management of the Fund's assets. From 1998 until 2003, he was head of leveraged finance, co-head of credit research and a member of the firm's investment strategy group at Blackrock Financial Management. Prior to his tenure at Blackrock, Mr. Schaney spent nine years at Merrill Lynch, where he was a Managing Director in the Global Fixed Income Research and Economics Department. Mr. Schaney also is Chief Investment Officer of Credit Suisse High Yield Bond Fund (NYSE: DHY) ---------- (1) Based on NAV and assuming reinvestment of dividends of $0.25 per share. (2) The Citigroup High-Yield Market Index is a broad-based, unmanaged index of high yield securities that is compiled by Citigroup Global Markets Inc. It does not reflect the impact of taxes. Investors cannot invest directly in an index. 3 TOP TEN HOLDINGS (% of net assets as of 6/30/05) 1. Cablevision Systems, Corp., Series B, Global Senior Notes 8.00%, 04/15/12 1.4% 2. Georgia-Pacific Corp., Global Company Guaranteed Notes 9.375%, 02/01/13 1.2% 3. Qwest Corporation, Rule 144A, Senior Notes 7.875%, 09/01/11 1.0% 4. General Motors Acceptance Corp., Global Notes 6.75%, 12/01/14 1.0% 5. Newark Group, Inc., Global Senior Subordinated Notes 9.75%, 03/15/14 1.0% 6. Rural Cellular Corp., Global Senior Subordinated Notes 9.75%, 01/15/10 0.9% 7. Hard Rock Hotel, Inc., Global Notes 8.875%, 06/01/13 0.9% 8. Levi Strauss & Co., Global Senior Notes 9.75%, 01/15/15 0.7% 9. JSG Funding plc, Rule 144A, Senior Subordinated Notes 7.75%, 04/01/15 0.7% 10. Williams Companies, Inc., Notes 8.125%, 03/15/12 0.6%
CREDIT QUALITY BREAKDOWN (% of total investments as of 6/30/05) S&P RATINGS BBB 0.7% BB 15.0 B 53.7 CCC 21.9 CC 0.8 N/R 3.1 ----- Subtotal 95.2 Time Deposit 3.3 Equities and Other 1.5 ----- Total 100.0% =====
4 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. SCHEDULE OF INVESTMENTS June 30, 2005 (unaudited)
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- DOMESTIC SECURITIES (90.0%) CORPORATE OBLIGATIONS (88.5%) AEROSPACE (0.6%) $ 300 BE Aerospace, Inc., Series B, Senior Subordinated Notes (B-, Caa2) 03/01/08 8.000 $ 301,500 650 L-3 Communication Corp., Global Senior Subordinated Notes (Callable 1/15/10 @ $102.94) (BB+, Ba3) 01/15/15 5.875 633,750 250 Sequa Corp., Senior Notes (BB-, B1) 08/01/09 9.000 276,875 -------------- 1,212,125 -------------- AIRLINES (0.5%) 900 American Airlines, Inc., Series 01-2, Pass Thru Certificates (B, B1) 10/01/06 7.800 855,852 155 Continental Airlines, Inc., Series 991C, Pass Thru Certificates (BB-, B2) 08/02/09 6.954 125,393 -------------- 981,245 -------------- AUTOMOBILE MANUFACTURING/VEHICLE PARTS (3.1%) 750 Accuride Corp., Global Company Guaranteed Notes (Callable 2/01/10 @ $104.25) (B-, Caa1) 02/01/15 8.500 736,875 800 American Tire Distributors, Inc., Rule 144A, Senior Notes (Callable 4/01/09 @ $105.38)++ (CCC+, Caa2) 04/01/13 10.750 768,000 400 Autocam Corp., Global Senior Subordinated Notes (Callable 6/15/09 @ $105.44) (B-, Caa2) 06/15/14 10.875 260,000 775 Cambridge Industries, Inc., Senior Subordinated Notes^ (NR, NR) 07/15/07 10.250 7,746 600 Cooper-Standard Automotive, Inc., Global Company Guaranteed Notes (Callable 12/15/09 @ $104.19) (B, B3) 12/15/14 8.375 477,000 500 Cummins, Inc., Global Senior Notes (Callable 12/01/06 @ $104.75) (BB+, Ba2) 12/01/10 9.500 552,500 800 Dura Operating Corp., Series D, Company Guaranteed Notes (Callable 5/01/06 @ $101.50) (CCC+, Caa1) 05/01/09 9.000 560,000 1,250 Goodyear Tire & Rubber Co., Rule 144A, Senior Notes (Callable 7/01/10 @ $104.50)++ (B-, B3) 07/01/15 9.000 1,234,375 365 Holley Performance Products, Inc., Series B, Company Guaranteed Notes (Callable 9/15/05 @ $102.04) (CCC-, Caa3) 09/15/07 12.250 276,487 500 J.B. Poindexter & Co., Inc., Global Company Guaranteed Notes (Callable 3/15/09 @ $104.38) (B-, B1) 03/15/14 8.750 457,500 800 Metaldyne Corp., Global Company Guaranteed Notes (Callable 6/15/07 @ $105.50) (CCC+, Caa2) 06/15/12 11.000 522,000 400 Stanadyne Corp., Global Senior Subordinated Notes (Callable 8/15/09 @ $105.00) (B-, Caa1) 08/15/14 10.000 380,000 350 Tenneco Automotive, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $104.31) (B-, B3) 11/15/14 8.625 353,500 -------------- 6,585,983 --------------
See Accompanying Notes to Financial Statements. 5
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- DOMESTIC SECURITIES CORPORATE OBLIGATIONS BROADBAND (0.4%) $ 750 Level 3 Communications, Inc., Senior Notes (Callable 5/01/06 @ $100.00) (CC, Ca) 05/01/08 9.125 $ 626,250 250 Level 3 Financing, Inc., Rule 144A, Senior Notes (Callable 10/15/07 @ $105.38)++ (CC, Caa1) 10/15/11 10.750 211,875 250 Primus Telecommunications Group, Inc., Global Senior Notes (Callable 1/15/09 @ $104.00) (CCC-, Caa1) 01/15/14 8.000 133,125 -------------- 971,250 -------------- BROADCAST/OUTDOOR (0.9%) 750 Emmis Communications Corp., Rule 144A, Senior Notes (Callable 12/15/05 @ $100.00)++# (B-, B3) 06/15/12 9.314 766,875 250 Emmis Operating, Co., Global Senior Subordinated Notes (Callable 5/15/08 @ $103.44) (B-, B2) 05/15/12 6.875 248,750 75 Interep National Radio Sales, Inc., Series B, Company Guaranteed Notes (Callable 7/01/05 @ $101.67) (CC, Ca) 07/01/08 10.000 62,719 500 Paxson Communications Corp., Global Company Guaranteed Notes (Callable 1/15/06 @ $106.13)+ (CCC-, Caa1) 01/15/09 0.000 470,000 450 Sinclair Broadcast Group, Inc., Global Company Guaranteed Notes (Callable 12/15/06 @ $104.38) (B, B2) 12/15/11 8.750 474,750 -------------- 2,023,094 -------------- BUILDING PRODUCTS (3.6%) 750 Associated Materials, Inc., Global Senior Discount Notes (Callable 3/01/09 @ $105.63)+ (CCC+, Caa2) 03/01/14 0.000 480,000 300 Building Materials Corp. of America, Global Secured Notes (Callable 8/01/09 @ $103.88) (B+, B2) 08/01/14 7.750 279,000 66 Building Materials Corp.of America, Series B, Senior Notes (B+, B2) 07/15/05 7.750 65,835 750 Compression Polymers Holding Corp., Rule 144A, Senior Notes (Callable 7/01/09 @ $105.25)++ (B-, B2) 07/01/13 10.500 750,000 700 Dayton Superior Corp., Company Guaranteed Notes (Callable 6/15/07 @ $102.17) (CCC, Caa2) 06/15/09 13.000 619,500 250 Dayton Superior Corp., Global Secured Notes (Callable 6/15/06 @ $105.63) (B-, B3) 09/15/08 10.750 261,250 750 Goodman Global Holdings Co., Inc., Rule 144A, Senior Subordinated Notes (Callable 12/15/08 @ $103.94)++ (B-, Caa1) 12/15/12 7.875 697,500 400 Interface, Inc., Global Senior Subordinated Notes (Callable 2/01/09 @ $104.75) (CCC, Caa3) 02/01/14 9.500 410,000 250 Norcraft Holdings L.P./Norcraft Capital, Global Senior Discount Notes (Callable 9/01/08 @ $104.88)+ (B-, Caa1) 09/01/12 0.000 173,750 1,000 NTK Holdings, Inc., Rule 144A, Senior Discount Notes (Callable 9/01/09 @ $105.38)+++ (CCC+, Caa2) 03/01/14 0.000 475,000
See Accompanying Notes to Financial Statements. 6
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- DOMESTIC SECURITIES CORPORATE OBLIGATIONS BUILDING PRODUCTS $ 900 Ply Gem Industries, Inc., Global Senior Subordinated Notes (Callable 2/15/08 @ $104.50) (B-, B3) 02/15/12 9.000 $ 765,000 500 RMCC Acquisition Co., Rule 144A, Senior Subordinated Notes (Callable 11/01/08 @ $104.75)++ (CCC+, Caa1) 11/01/12 9.500 480,000 250 Texas Industries, Inc., Rule 144A, Senior Notes (Callable 7/15/09 @ $103.63)++ (BB-, Ba3) 07/15/13 7.250 257,500 250 Texas Industries, Inc., Global Senior Notes (Callable 6/15/07 @ $105.63) (BB-, B1) 06/15/11 10.250 290,937 800 THL Buildco (Nortek), Inc., Global Senior Subordinated Notes (Callable 9/01/09 @ $104.25) (B-, Caa1) 09/01/14 8.500 748,000 1,300 Werner Holdings Co., Inc., Series A, Company Guaranteed Notes (Callable 11/15/05 @ $100.00) (CCC-, Caa2) 11/15/07 10.000 906,750 -------------- 7,660,022 -------------- CABLE (6.5%) 800 Adelphia Communications Corp., Series B, Senior Notes< < (NR, NR) 02/01/08 8.375 700,000 750 Atlantic Broadband Finance LLC, Rule 144A, Senior Subordinated Notes (Callable 1/15/09 @ $104.69)++ (CCC+, Caa1) 01/15/14 9.375 708,750 2,950 Cablevision Systems, Corp., Series B, Global Senior Notes (B+, B3) 04/15/12 8.000 2,905,750 100 Charter Communication Holdings II, Senior Notes (Callable 9/15/08 @ $105.13) (CCC-, Caa1) 09/15/10 10.250 101,625 500 Charter Communication Holdings LLC/Cap Corp., Global Senior Notes (Callable 11/15/08 @ $104.38) (CCC-, B3) 11/15/13 8.750 495,000 1,200 Charter Communications Holdings LLC, Senior Discount Notes (Callable 4/01/06 @ $101.65) (CCC-, Ca) 04/01/11 9.920 882,000 950 Charter Communications Holdings LLC, Senior Notes (Callable 1/15/06 @ $103.42) (CCC-, Ca) 01/15/10 10.250 710,125 1,500 Charter Communications Holdings LLC, Senior Notes (Callable 4/01/06 @ $101.44) (CCC-, Ca) 04/01/09 8.625 1,121,250 150 CSC Holdings, Inc., Series B, Debentures (BB-, B1) 08/15/09 8.125 152,625 200 CSC Holdings, Inc., Series B, Senior Notes (BB-, B1) 04/01/11 7.625 198,500 3,014 DIVA Systems Corp., Series B, Senior Discount Notes (Callable 3/01/06 @ $100.00)^< < (NR, NR) 03/01/08 12.625 7,536 500 Frontiervision Holdings LP, Series B, Senior Discount Notes (Callable 9/15/05 @ $100.00)< < (NR, NR) 09/15/07 11.875 690,000 250 Insight Communications Co., Inc., Senior Discount Notes (Callable 2/15/06 @ $106.13)+ (CCC+, Caa2) 02/15/11 0.000 251,875
See Accompanying Notes to Financial Statements. 7
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- DOMESTIC SECURITIES CORPORATE OBLIGATIONS CABLE $ 500 Insight Midwest/Insight Capital, Global Senior Notes (Callable 11/01/05 @ $105.25) (B, B2) 11/01/10 10.500 $ 532,500 900 Insight Midwest/Insight Capital, Senior Notes (Callable 10/01/05 @ $103.25) (B, B2) 10/01/09 9.750 934,875 450 Jones Intercable, Inc., Senior Notes (BBB+, Baa2) 04/15/08 7.625 485,245 850 Mediacom LLC/Capital Corp., Senior Notes (Callable 2/15/06 @ $103.94) (B, B3) 02/15/11 7.875 822,375 892 Olympus Communications, L.P./Olympus Capital Corp., Series B, Senior Notes< < (NR, NR) 11/15/06 10.625 1,237,650 953 Renaissance Media Group LLC, Company Guaranteed Notes (Callable 4/15/06 @ $100.00) (CCC+, B3) 04/15/08 10.000 948,235 -------------- 13,885,916 -------------- CAPITAL GOODS (1.0%) 250 Blount, Inc., Senior Subordinated Notes (Callable 8/01/08 @ $104.44) (B-, Caa1) 08/01/12 8.875 268,750 350 Case New Holland, Inc., Rule 144A, Senior Notes (Callable 8/01/07 @ $104.63)++ (BB-, Ba3) 08/01/11 9.250 369,250 760 JII Holdings LLC, Global Secured Notes (Callable 1/01/06 @ $103.25)^ (CCC-, Caa2) 04/01/07 13.000 669,152 950 Motors & Gears, Inc., Series D, Senior Notes (CCC, Caa1) 11/15/06 10.750 869,250 -------------- 2,176,402 -------------- CHEMICALS (3.6%) 160 BCP Crystal Holdings Corp., Global Senior Subordinated Notes (Callable 6/15/09 @ $104.81) (B-, B3) 06/15/14 9.625 180,000 100 Crompton Corp., Global Senior Notes (Callable 8/01/08 @ $104.94) (B, B1) 08/01/12 9.875 116,500 455 Crystal U.S. Holdings/U.S. Sub 3, Series B, Global Senior Discount Notes (Callable 10/01/09 @ $105.25)+ (B-, Caa2) 10/01/14 0.000 318,500 750 Del Laboratories, Inc., Global Company Guaranteed Notes (Callable 2/01/08 @ $104.00) (CCC+, B3) 02/01/12 8.000 648,750 350 Equistar Chemicals LP/Equistar Funding Corp., Global Senior Notes (Callable 5/01/07 @ $105.31) (BB-, B2) 05/01/11 10.625 388,062 325 Huntsman Co. LLC, Global Company Guaranteed Notes (Callable 10/15/07 @ $105.81) (BB-, B1) 10/15/10 11.625 382,281 264 Huntsman LLC, Global Company Guaranteed Notes (Callable 7/15/08 @ $105.75) (B, B2) 07/15/12 11.500 310,860 350 IMC Global, Inc., Global Senior Notes (Callable 8/01/08 @ $105.44) (BB, Ba3) 08/01/13 10.875 412,125 250 ISP Chemco, Inc., Series B, Global Company Guaranteed Notes (Callable 7/01/06 @ $105.13) (BB-, B1) 07/01/11 10.250 273,750
See Accompanying Notes to Financial Statements. 8
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- DOMESTIC SECURITIES CORPORATE OBLIGATIONS CHEMICALS $ 600 KI Holdings, Inc., Global Senior Discount Notes (Callable 11/15/09 @ $104.94)+ (B-, Caa2) 11/15/14 0.000 $ 351,000 350 KRATON Polymers LLC/KRATON Polymers Capital Corp., Rule 144A, Senior Subordinated Notes (Callable 1/15/09 @ $104.06)++ (B-, Caa1) 01/15/14 8.125 338,625 1,100 Lyondell Chemical Co., Global Company Guaranteed Notes (Callable 6/01/08 @ $105.25) (BB-, B1) 06/01/13 10.500 1,263,625 100 Lyondell Chemical Co., Series B, Secured Notes (Callable 5/01/06 @ $100.00) (BB-, B1) 05/01/07 9.875 103,000 500 Millennium America, Inc., Global Company Guaranteed Notes (BB-, B1) 06/15/08 9.250 543,750 650 Nalco Co., Global Senior Notes (Callable 11/15/07 @ $103.88) (B-, B2) 11/15/11 7.750 695,500 400 Polyone Corp., Global Company Guaranteed Notes (Callable 5/15/07 @ $105.31) (B+, B3) 05/15/10 10.625 425,000 500 Resolution Performance Products LLC, Global Senior Subordinated Notes (Callable 11/15/05 @ $106.75) (B-, Caa2) 11/15/10 13.500 540,000 357 Terra Capital, Inc., Global Secured Notes (Callable 6/01/07 @ $105.75) (B-, B2) 06/01/10 11.500 408,765 -------------- 7,700,093 -------------- COMPETITIVE LOCAL EXCHANGE CARRIER (0.6%) 871 Madison River Capital/Madison River Finance, Senior Notes (Callable 3/01/06 @ $104.42) (CCC+, B3) 03/01/10 13.250 922,730 400 Time Warner Telecom, LLC, Senior Notes (Callable 7/15/05 @ $101.63) (CCC+, B3) 07/15/08 9.750 404,000 -------------- 1,326,730 -------------- CONSUMER PRODUCTS/TOBACCO (3.2%) 400 AAC Group Holding Corp., Rule 144A, Senior Discount Notes (Callable 10/01/08 @ $105.13)+++ (B-, Caa1) 10/01/12 0.000 272,000 650 ALH Finance LLC, Global Senior Subordinated Notes (Callable 1/15/09 @ $104.25) (CCC+, B3) 01/15/13 8.500 598,812 400 Ames True Temper, Inc., Global Company Guaranteed Notes (Callable 1/15/07 @ $103.00)# (B-, B3) 01/15/12 7.141 382,000 600 Ames True Temper, Inc., Global Senior Subordinated Notes (Callable 7/15/08 @ $105.00) (CCC, Caa1) 07/15/12 10.000 486,000 300 Amscan Holdings, Inc., Global Senior Subordinated Notes (Callable 5/01/09 @ $104.38) (B-, B3) 05/01/14 8.750 276,000 2,000 Diamond Brands Operating Corp., Company Guaranteed Notes (Callable 4/15/06 @ $100.00)^< < (NR, NR) 04/15/08 10.125 20,000
See Accompanying Notes to Financial Statements. 9
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- DOMESTIC SECURITIES CORPORATE OBLIGATIONS CONSUMER PRODUCTS/TOBACCO $ 700 General Binding Corp., Company Guaranteed Notes (Callable 6/01/06 @ $100.00) (B-, Caa1) 06/01/08 9.375 $ 710,500 400 Interactive Health LLC, Rule 144A, Senior Notes (Callable 4/01/08 @ $105.69)++ (B-, B3) 04/01/11 7.250 358,000 1,100 Johnsondiversey Holdings, Inc., Global Discount Notes (Callable 5/15/07 @ $105.34)+ (B, Caa1) 05/15/13 0.000 787,875 250 Leiner Health Products, Inc., Global Senior Subordinated Notes (Callable 6/01/08 @ $105.50) (CCC+, B3) 06/01/12 11.000 246,250 650 PCA LLC/PCA Finance Corp., Global Senior Notes (CCC, Caa2) 08/01/09 11.875 458,250 500 Playtex Products, Inc., Global Company Guaranteed Notes (Callable 6/01/06 @ $104.69) (CCC+, Caa2) 06/01/11 9.375 528,750 299 Prestige Brands, Inc., Global Senior Subordinated Notes (Callable 4/15/08 @ $104.63) (B-, B3) 04/15/12 9.250 311,707 115 Remington Arms Co., Inc., Global Company Guaranteed Notes (Callable 2/01/07 @ $105.25) (CCC+, B3) 02/01/11 10.500 109,250 500 Revlon, Inc., Debentures (CCC, Caa2) 04/01/11 9.500 475,000 250 Samsonite Corp., Global Senior Subordinated Notes (Callable 6/01/08 @ $104.44) (B-, B3) 06/01/11 8.875 266,875 400 Sealy Mattress Co., Global Senior Subordinated Notes (Callable 6/15/09 @ $104.13) (B-, B2) 06/15/14 8.250 406,000 250 Spectrum Brands, Inc., Global Senior Subordinated Notes (Callable 10/01/08 @ $104.25) (B-, B3) 10/01/13 8.500 262,500 -------------- 6,955,769 -------------- CONTAINERS (2.2%) 600 Berry Plastics Corp., Global Company Guaranteed Notes (Callable 7/15/07 @ $105.38) (B-, B3) 07/15/12 10.750 657,750 350 Graham Packaging Co., Rule 144A, Subordinated Notes (Callable 10/15/09 @ $104.94)++ (CCC+, Caa2) 10/15/14 9.875 352,625 250 Graphic Packaging International Corp., Global Senior Subordinated Notes (Callable 8/15/08 @ $104.75) (B-, B3) 08/15/13 9.500 253,125 300 Intertape Polymer U.S., Inc., Global Senior Subordinated Notes (Callable 8/01/09 @ $104.25) (B-, B3) 08/01/14 8.500 298,790 680 Owens-Brockway Glass, Global Company Guaranteed Notes (Callable 5/15/08 @ $104.13) (B, B2) 05/15/13 8.250 742,050 850 Owens-Illinois, Inc., Senior Notes (B, B3) 05/15/07 8.100 888,250 850 Pliant Corp., Company Guaranteed Notes (Callable 6/01/06 @ $104.33) (CCC+, Caa2) 06/01/10 13.000 692,750 500 Solo Cup Co., Global Senior Subordinated Notes (Callable 2/15/09 @ $104.25) (B-, B3) 02/15/14 8.500 470,000 250 U.S. Can Corp., Global Company Guaranteed Notes (Callable 7/15/07 @ $105.44) (CCC+, Caa2) 07/15/10 10.87 261,875 -------------- 4,617,215 --------------
See Accompanying Notes to Financial Statements. 10
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- DOMESTIC SECURITIES CORPORATE OBLIGATIONS DIVERSIFIED TELECOMMUNICATIONS (2.3%) $ 800 Cincinnati Bell, Inc., Global Senior Subordinated Notes (Callable 1/15/09 @ $104.19) (B-, B3) 01/15/14 8.375 $ 824,000 950 Hawaiian Telecom Communications, Inc., Rule 144A, Senior Notes (Callable 5/01/09 @ $104.88)++ (B-, B3) 05/01/13 9.750 1,011,750 250 Qwest Corp., Rule 144A, Senior Notes++ (BB-, Ba3) 09/01/11 7.875 261,875 2,164 Qwest Corporation, Rule 144A, Senior Notes++ (BB-, Ba3) 06/15/15 7.625 2,220,805 500 Qwest Services Corp., Global Secured Notes (Callable 12/15/06 @ $106.75) (B, Caa1) 12/15/10 13.500 580,000 -------------- 4,898,430 -------------- ENERGY - OTHER (2.8%) 250 Dynegy Holdings, Inc., Rule 144A, Secured (Callable 7/15/08 @ $105.06)++ (B-, B3) 07/15/13 10.125 283,750 250 Dynegy Holdings, Inc., Senior Notes (CCC+, Caa2) 04/01/11 6.875 248,125 600 Dynegy Holdings, Inc., Senior Notes (CCC+, Caa2) 02/15/12 8.750 657,000 250 El Paso CGP Co., Notes (B-, Caa1) 02/01/09 6.375 247,500 250 El Paso CGP Co., Notes (B-, Caa1) 06/15/10 7.750 256,250 500 El Paso Corp., Senior Notes (B-, Caa1) 05/15/11 7.000 501,250 250 El Paso Natural Gas, Series A, Global Senior Notes (Callable 8/01/07 @ $103.81) (B, B1) 08/01/10 7.625 265,175 750 El Paso Production Holding Co., Global Company Guaranteed Notes (Callable 6/01/08 @ $103.88) (B, B3) 06/01/13 7.750 804,375 200 Giant Industries, Inc., Company Guaranteed Notes (Callable 5/15/09 @ $104.00) (B-, B3) 05/15/14 8.000 209,500 162 Giant Industries, Inc., Global Company Guaranteed Notes (Callable 5/15/07 @ $105.50) (B-, B3) 05/15/12 11.000 184,275 250 Inergy LP/Inergy Finance Corp., Rule 144A, Senior Notes (Callable 12/15/09 @ $103.44)++ (B-, B1) 12/15/14 6.875 244,375 500 Reliant Energy, Inc., Global Secured Notes (Callable 7/15/08 @ $104.75) (B+, B1) 07/15/13 9.500 557,500 250 Reliant Energy, Inc., Secured Notes (Callable 12/15/09 @ $103.38) (B+, B1) 12/15/14 6.750 245,625 1,175 Williams Companies, Inc., Global Notes (B+, B1) 03/15/12 8.125 1,339,500 -------------- 6,044,200 -------------- ENVIRONMENTAL SERVICES (0.6%) 1,000 Allied Waste North America, Inc., Series B, Global Senior Notes (Callable 4/15/09 @ $103.69) (B+, Caa1) 04/15/14 7.375 930,000 400 Waste Services, Inc., Rule 144A, Senior Subordinated Notes (Callable 4/15/09 @ $104.75)++ (CCC, Ca) 04/15/14 9.500 398,000 -------------- 1,328,000 --------------
See Accompanying Notes to Financial Statements. 11
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- DOMESTIC SECURITIES CORPORATE OBLIGATIONS FINANCE (1.5%) $ 250 E*Trade Financial Corp., Global Senior Notes (Callable 6/15/08 @ $104.00) (B+, B3) 06/15/11 8.000 $ 264,375 2,375 General Motors Acceptance Corp., Global Notes (BB, Baa2) 12/01/14 6.750 2,128,404 750 IAAI Finance Corp., Rule 144A, Senior Unsecured Notes (Callable 4/01/09 @ $105.50)++ (CCC+, Caa1) 04/01/13 11.000 775,969 -------------- 3,168,748 -------------- FOOD PROCESSORS/BEVERAGE/BOTTLING (1.9%) 100 Agrilink Foods, Inc., Company Guaranteed Notes (Callable 11/01/05 @ $101.98) (B-, B3) 11/01/08 11.875 103,875 500 Bear Creek Corp., Rule 144A, Senior Notes (Callable 3/01/09 @ $104.50)++ (B-, B3) 03/01/13 9.000 490,000 471 Eagle Family Foods, Inc., Series B, Company Guaranteed Notes (Callable 1/15/06 @ $100.00) (CCC, Caa2) 01/15/08 8.750 378,752 940 Land O'Lakes, Inc., Global Senior Notes (Callable 11/15/06 @ $104.38) (B-, B3) 11/15/11 8.750 951,750 250 Le-Natures, Inc., Rule 144A, Senior Subordinated Notes (Callable 6/15/08 @ $104.50)++ (CCC+, Caa1) 06/15/13 9.000 263,750 220 National Wine & Spirits, Inc., Company Guaranteed Notes (Callable 1/15/06 @ $101.69) (CCC+, B3) 01/15/09 10.125 223,300 750 Pinnacle Foods Holding Corp., Global Senior Subordinated Notes (Callable 12/01/08 @ $104.13) (B-, B3) 12/01/13 8.250 675,000 250 Swift & Co., Global Company Guaranteed Notes (Callable 10/01/06 @ $105.06) (B+, B1) 10/01/09 10.125 273,750 300 Swift & Co., Global Senior Subordinated Notes (Callable 10/01/06 @ $106.25) (B, B2) 01/01/10 12.500 336,375 400 Wornick Co., Global Secured Notes (Callable 7/15/08 @ $105.44) (B+, B2) 07/15/11 10.875 408,000 -------------- 4,104,552 -------------- GAMING (6.8%) 750 155 E Tropicana LLC, Rule 144A, Secured Notes (Callable 4/01/09 @ $104.38)++ (B-, B3) 04/01/12 8.750 733,125 920 Ameristar Casinos, Inc., Global Company Guaranteed Notes (Callable 2/15/06 @ $105.38) (B+, B2) 02/15/09 10.750 1,005,100 250 Argosy Gaming Co., Global Senior Subordinated Notes (Callable 1/15/09 @ $103.50) (B+, B1) 01/15/14 7.000 276,562 250 Argosy Gaming Co., Senior Subordinated Notes (Callable 9/01/06 @ $104.50) (B+, Ba3) 09/01/11 9.000 274,687 250 Aztar Corp., Global Senior Subordinated Notes (Callable 6/15/09 @ $103.94) (B+, Ba3) 06/15/14 7.875 265,625 600 Boyd Gaming Corp., Global Company Guaranteed Notes (Callable 8/01/05 @ $104.63) (BB-, Ba3) 08/01/09 9.250 633,000
See Accompanying Notes to Financial Statements. 12
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- DOMESTIC SECURITIES CORPORATE OBLIGATIONS GAMING $ 245 Caesars Entertainment, Inc., Series A, Senior Subordinated Notes (BB+, Ba1) 12/15/05 7.875 $ 249,287 500 Caesars Entertainment, Inc., Senior Subordinated Notes (BB+, Ba1) 02/15/07 9.375 538,750 1,000 Chukchansi Economic Development Authority, Rule 144A, Senior Notes (Callable 10/01/06 @ $113.00)++ (NR, NR) 06/15/09 14.500 1,227,500 500 Circus & Eldorado/Silver Legacy Capital Corp., Global First Mortgage Notes (Callable 3/01/07 @ $105.06) (B+, B1) 03/01/12 10.125 525,625 1,740 Hard Rock Hotel, Inc., Global Notes (Callable 6/01/08 @ $104.44) (B, B3) 06/01/13 8.875 1,900,950 300 Herbst Gaming, Inc., Global Senior Subordinated Notes (Callable 6/01/08 @ $104.06) (B-, B3) 06/01/12 8.125 319,500 400 Inn of the Mountain Gods, Global Senior Notes (Callable 11/15/07 @ $106.00) (B, B3) 11/15/10 12.000 464,000 400 Isle of Capri Casinos, Inc., Global Senior Subordinated Notes (Callable 3/01/09 @ $103.50) (B, B2) 03/01/14 7.000 404,000 750 Majestic Star Casino LLC, Company Guaranteed Notes (Callable 10/15/07 @ $104.75) (B, B2) 10/15/10 9.500 776,250 950 MGM Mirage, Inc., Company Guaranteed Notes (BB, Ba2) 10/01/09 6.000 959,500 400 MGM Mirage, Inc., Company Guaranteed Notes (BB, Ba2) 09/15/10 8.500 446,000 450 MGM Mirage, Inc., Company Guaranteed Notes (B+, Ba3) 02/01/11 8.375 492,750 250 MGM Mirage, Inc., Global Senior Notes (BB, Ba2) 09/01/12 6.750 258,750 350 Mohegan Tribal Gaming Authority, Global Senior Subordinated Notes (Callable 8/15/09 @ $103.56) (B+, Ba3) 08/15/14 7.125 368,375 500 OED Corp., Global Company Guaranteed Notes (Callable 4/15/08 @ $104.38) (B, B2) 04/15/12 8.750 468,750 400 River Rock Entertainment Authority, Senior Notes (Callable 11/01/07 @ $104.88) (B+, B2) 11/01/11 9.750 441,000 550 Riviera Holdings Corp., Global Company Guaranteed Notes (Callable 6/15/06 @ $105.50) (B, B2) 06/15/10 11.000 610,500 150 Seneca Gaming, Corp., Global Senior Notes (Callable 5/01/08 @ $103.63) (BB-, B2) 05/01/12 7.250 155,812 500 Station Casinos, Inc., Global Senior Subordinated Notes (Callable 3/01/09 @ $102.58) (B+, B1) 03/01/16 6.875 516,250 219 Waterford Gaming LLC, Rule 144A, Senior Notes (Callable 9/15/08 @ $103.55)++ (B+, B1) 09/15/12 8.625 232,687 267 Windsor Woodmont Black Hawk, Series B, First Mortgage Notes^< < (NR, NR) 03/15/05 13.000 20,510 -------------- 14,564,845 --------------
See Accompanying Notes to Financial Statements. 13
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- DOMESTIC SECURITIES CORPORATE OBLIGATIONS HEALTHCARE FACILITIES/SUPPLIES (2.6%) $ 250 Ardent Health Services LLC, Global Senior Subordinated Notes (Callable 8/15/08 @ $105.00) (B-, B3) 08/15/13 10.000 $ 303,438 250 Beverly Enterprises, Inc., Global Senior Subordinated Notes (Callable 6/15/09 @ $103.94) (B, B2) 06/15/14 7.875 273,750 800 CDRV Investors, Inc., Rule 144A, Senior Discount Notes (Callable 1/01/10 @ $104.81)+++ (B-, Caa2) 01/01/15 0.000 396,000 250 Concentra Operating Corp., Global Company Guaranteed Notes (Callable 8/15/07 @ $104.75) (B-, B3) 08/15/10 9.500 267,500 200 DaVita, Inc., Rule 144A, Senior Subordinated Notes (Callable 3/15/10 @ $103.63)++ (B, B3) 03/15/15 7.250 206,500 500 Fisher Scientific International, Rule 144A, Senior Subordinated Notes (Callable 7/01/10 @ $103.06)++ (BB+, Ba3) 07/01/15 6.125 503,125 600 Medquest, Inc., Series B, Company Guaranteed Notes (Callable 8/15/07 @ $105.94) (CCC+, Caa1) 08/15/12 11.875 570,000 1,000 MQ Associates, Inc., Global Senior Discount Notes (Callable 8/15/08 @ $109.00)+ (CCC+, Caa2) 08/15/12 0.000 525,000 500 Tenet Healthcare Corp., Rule 144A, Senior Notes++ (B, B3) 02/01/15 9.250 521,250 250 Tenet Healthcare Corp., Global Senior Notes (B, B3) 07/01/14 9.875 269,375 1,000 Triad Hospitals, Inc., Senior Subordinated Notes (Callable 11/15/08 @ $103.50) (B, B3) 11/15/13 7.000 1,032,500 250 Universal Hospital Services, Inc., Global Senior Notes (Callable 11/01/07 @ $105.06) (B-, B3) 11/01/11 10.125 253,750 350 Vanguard Health Holding II, Global Senior Subordinated Notes (Callable 10/01/09 @ $104.50) (CCC+, Caa1) 10/01/14 9.000 379,750 -------------- 5,501,938 -------------- HOME BUILDERS (1.6%) 650 D.R. Horton, Inc., Bonds (BB+, Ba1) 01/15/16 5.625 646,686 1,050 KB HOME, Senior Notes (BB+, Ba1) 06/15/15 6.250 1,072,757 500 Tech Olympic USA, Inc., Global Company Guaranteed Notes (Callable 7/01/06 @ $104.50) (B+, Ba3) 07/01/10 9.000 516,875 275 Toll Corp., Senior Subordinated Notes (Callable 12/01/06 @ $104.13) (BB+, Ba2) 12/01/11 8.250 297,000 650 WCI Communities, Inc., Global Company Guaranteed Notes (Callable 2/15/06 @ $105.31) (B+, Ba3) 02/15/11 10.625 705,250 250 William Lyon Homes, Inc., Global Senior Notes (Callable 2/15/09 @ $103.75) (B, B2) 02/15/14 7.500 236,250 -------------- 3,474,818 --------------
See Accompanying Notes to Financial Statements. 14
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- DOMESTIC SECURITIES CORPORATE OBLIGATIONS INDUSTRIAL (1.9%) $ 400 Altra Industrial Motion, Rule 144A, Secured Notes (Callable 12/01/08 @ $104.50)++ (CCC+, B3) 12/01/11 9.000 $ 380,000 250 Amsted Industries, Inc., Rule 144A, Senior Notes (Callable 10/15/07 @ $105.13)++ (B, B3) 10/15/11 10.250 271,250 600 Amtrol, Inc., Senior Subordinated Notes (CCC-, Caa3) 12/31/06 10.625 516,000 1,000 Coleman Cable, Inc., Rule 144A, Senior Notes (Callable 10/01/08 @ $104.94)++ (B-, B3) 10/01/12 9.875 895,000 650 Hawk Corp., Global Senior Notes (Callable 11/01/09 @ $104.38) (B, B2) 11/01/14 8.750 663,000 400 Polypore, Inc., Global Senior Subordinated Notes (Callable 5/15/08 @ $104.38) (CCC+, Caa1) 05/15/12 8.750 376,000 450 True Temper Sports, Inc., Global Company Guaranteed Notes (Callable 3/15/08 @ $104.19) (CCC+, Caa1) 09/15/11 8.375 419,625 550 Wolverine Tube, Inc., Global Company Guaranteed Notes (Callable 4/01/06 @ $105.25) (B, B3) 04/01/09 10.500 525,250 -------------- 4,046,125 -------------- LEISURE (2.3%) 700 Affinity Group Holding, Global Senior Subordinated Notes (Callable 2/15/08 @ $105.44) (B-, Caa1) 02/15/12 10.875 680,750 250 Affinity Group, Inc., Global Senior Subordinated Notes (Callable 2/15/08 @ $104.50) (B-, B3) 02/15/12 9.000 254,375 400 AMC Entertainment, Inc., Global Senior Subordinated Notes (Callable 3/01/09 @ $104.00) (CCC+, B3) 03/01/14 8.000 357,000 650 AMC Entertainment, Inc., Global Senior Subordinated Notes (Callable 2/01/07 @ $104.94) (CCC+, B3) 02/01/12 9.875 648,375 350 Bally Total Fitness Holding Corp., Global Senior Notes (Callable 7/15/07 @ $105.25) (CCC, Caa1) 07/15/11 10.500 351,313 500 Bluegreen Corp., Series B, Company Guaranteed Notes (Callable 4/01/06 @ $100.00) (B-, B3) 04/01/08 10.500 508,750 400 Cinemark, Inc., Global Senior Discount Notes (Callable 3/15/09 @ $104.88)+ (B-, Caa1) 03/15/14 0.000 268,000 250 Cinemark USA, Inc., Global Senior Subordinated Notes (Callable 2/01/08 @ $104.50) (B-, B3) 02/01/13 9.000 258,125 400 Six Flags, Inc., Global Senior Notes (Callable 4/15/08 @ $104.88) (CCC, Caa1) 04/15/13 9.750 379,500 700 Six Flags, Inc., Global Senior Notes (Callable 6/01/09 @ $104.81) (CCC, Caa1) 06/01/14 9.625 658,000 500 Worldspan LP/WS Financing Corp., Rule 144A, Senior Notes (Callable 8/15/06 @ $103.00)++# (CCC+, B3) 02/15/11 9.024 457,500 -------------- 4,821,688 --------------
See Accompanying Notes to Financial Statements. 15
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- DOMESTIC SECURITIES CORPORATE OBLIGATIONS LODGING (0.8%) $ 250 CapStar Hotel Co., Senior Subordinated Notes (Callable 8/15/05 @ $100.00) (CCC, Caa1) 08/15/07 8.750 $ 252,500 425 Felcor Lodging LP, Global Company Guaranteed Notes (B-, B1) 06/01/11 8.500 466,438 600 Host Marriot LP, Series I, Global Company Guaranteed Notes (B+, Ba3) 01/15/07 9.500 639,000 300 John Q. Hammons Hotel LP, Series B, Global First Mortgage Notes (Callable 5/15/07 @ $104.44) (B, B2) 05/15/12 8.875 328,500 -------------- 1,686,438 -------------- METALS & MINING (2.9%) 250 AK Steel Corp., Company Guaranteed Notes (Callable 2/15/06 @ $101.31) (B+, B1) 02/15/09 7.875 228,750 300 AK Steel Corp., Global Company Guaranteed Notes (Callable 6/15/07 @ $103.88) (B+, B1) 06/15/12 7.750 255,000 900 Aleris International, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $104.50) (B-, NR) 11/15/14 9.000 936,000 500 Alpha Natural Resources, Rule 144A, Company Guaranteed Notes (Callable 6/01/08 @ $105.00)++ (CCC+, B3) 06/01/12 10.000 555,000 500 American Rock Salt Co. LLC, Global Secured Notes (Callable 3/15/09 @ $104.75) (B-, B3) 03/15/14 9.500 510,000 500 Earle M. Jorgensen Co., Global Secured Notes (Callable 6/01/07 @ $104.88) (B, B2) 06/01/12 9.750 542,500 750 Edgen Acquisition Corp., Rule 144A, Secured Notes (Callable 2/01/08 @ $104.94)++ (B-, B3) 02/01/11 9.875 731,250 1,000 International Steel Group, Inc., Global Senior Notes (BB, Ba2) 04/15/14 6.500 965,000 259 Ispat Inland ULC, Global Secured Notes (Callable 4/01/09 @ $104.88) (B, Ba1) 04/01/14 9.750 303,030 571 Metallurg, Inc., Series B, Company Guaranteed Notes (Callable 12/01/05 @ $100.00) (NR, Caa2) 12/01/07 11.000 533,418 250 WCI Steel, Inc., Series B, Senior Notes< < (NR, NR) 12/01/04 10.000 161,250 500 Wise Metals Group LLC, Global Secured Notes (Callable 5/15/08 @ $105.13) (B-, B2) 05/15/12 10.250 422,500 -------------- 6,143,698 -------------- OIL EQUIPMENT (0.1%) 158 Parker Drilling Co., Series B, Company Guaranteed Notes (Callable 11/15/05 @ $103.38) (B-, B2) 11/15/09 10.125 166,098 -------------- PAPER & FOREST PRODUCTS (3.4%) 550 Appleton Papers, Inc., Series B, Global Senior Subordinated Notes (Callable 6/15/09 @ $104.88) (B+, B3) 06/15/14 9.750 533,500 434 Caraustar Industries, Inc., Global Company Guaranteed Notes (Callable 4/01/06 @ $105.25) (B-, Caa1) 04/01/11 9.875 439,425
See Accompanying Notes to Financial Statements. 16
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- DOMESTIC SECURITIES CORPORATE OBLIGATIONS PAPER & FOREST PRODUCTS $ 850 Cellu Tissue Holdings, Inc., Global Secured Notes (Callable 3/15/07 @ $107.31) (B, B2) 03/15/10 9.750 $ 867,000 2,350 Georgia-Pacific Corp., Global Company Guaranteed Notes (Callable 2/01/08 @ $104.69) (BB+, Ba2) 02/01/13 9.375 2,670,188 2,250 Newark Group, Inc., Global Senior Subordinated Notes (Callable 3/15/09 @ $104.88) (B-, Caa1) 03/15/14 9.750 2,081,250 600 Stone Container Corp., Global Senior Notes (Callable 7/01/07 @ $104.19) (B, B2) 07/01/12 8.375 609,000 -------------- 7,200,363 -------------- PUBLISHING (1.8%) 500 CBD Media Holdings LLC/CBD Holdings Finance, Inc., Global Senior Notes (Callable 7/15/08 @ $104.63) (CCC+, Caa2) 07/15/12 9.250 508,750 200 Dex Media East LLC, Global Company Guaranteed Notes (Callable 11/15/07 @ $106.06) (B, B2) 11/15/12 12.125 240,500 500 Dex Media, Inc., Global Discount Notes (Callable 11/15/08 @ $104.25)+ (B, B3) 11/15/13 0.000 405,000 250 Dex Media, Inc., Global Notes (Callable 11/15/08 @ $104.00) (B, B3) 11/15/13 8.000 266,875 750 Haights Cross Operating Co., Global Company Guaranteed Notes (Callable 8/15/08 @ $105.88) (CCC, Caa1) 08/15/11 11.750 823,125 250 Houghton Mifflin Co., Global Senior Discount Notes (Callable 10/15/08 @ $105.75)+ (B-, Caa2) 10/15/13 0.000 183,750 300 Houghton Mifflin Co., Global Senior Notes (Callable 2/01/07 @ $104.13) (B-, B3) 02/01/11 8.250 312,750 2,000 Premier Graphics, Inc., Company Guaranteed Notes^< < (NR, NR) 12/01/05 11.500 0 350 PRIMEDIA, Inc., Global Senior Notes (Callable 5/15/08 @ $104.00) (B, B2) 05/15/13 8.000 352,625 300 Sheridan Group Acquisition Corp., Global Secured Notes (Callable 8/15/07 @ $105.13) (B, B1) 08/15/11 10.250 313,125 500 WDAC Subsidiary Corp., Rule 144A, Senior Notes++ (Callable 12/01/09 @ $104.19) (CCC+, Caa1) 12/01/14 8.375 480,000 -------------- 3,886,500 -------------- RESTAURANTS (2.3%) 500 Buffets, Inc., Global Senior Subordinated Notes (Callable 7/15/06 @ $105.63) (CCC, B3) 07/15/10 11.250 506,250 150 Carrols Corp., Rule 144A, Senior Subordinated Notes (Callable 1/15/09 @ $104.50)++ (CCC-, B3) 01/15/13 9.000 152,625 500 Denny's Corp./Denny's Holdings Corp., Global Company Guaranteed Notes (Callable 10/01/08 @ $105.00) (CCC+, Caa1) 10/01/12 10.000 522,500 250 El Pollo Loco, Inc., Global Secured Notes (Callable 12/15/06 @ $104.63) (B-, B2) 12/15/09 9.250 262,500
See Accompanying Notes to Financial Statements. 17
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- DOMESTIC SECURITIES CORPORATE OBLIGATIONS RESTAURANTS $ 750 Friendly Ice Cream Corp., Global Senior Notes (Callable 6/15/08 @ $104.19) (B-, B2) 06/15/12 8.375 $ 731,250 100 Landry's Restaurants, Inc., Series B, Global Company Guaranteed Notes (Callable 12/15/09 @ $103.75) (B, B2) 12/15/14 7.500 97,250 400 O'Charley's, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $104.50) (B, Ba3) 11/01/13 9.000 434,000 1,202 Romacorp, Inc., Senior Notes^ (NR, NR) 12/31/08 10.500 601,200 850 Sbarro, Inc., Company Guaranteed Notes (Callable 9/15/05 @ $103.67) (CCC+, Caa2) 09/15/09 11.000 858,500 850 Uno Restaurant Corp., Rule 144A, Senior Notes (Callable 2/15/08 @ $110.00)++ (B-, B3) 02/15/11 10.000 811,750 -------------- 4,977,825 -------------- RETAIL - FOOD & DRUG (1.7%) 575 Delhaize America, Inc., Global Company Guaranteed Notes (BB+, Ba1) 04/15/11 8.125 647,786 500 Duane Reade, Inc., Global Senior Subordinated Notes (Callable 8/01/08 @ $104.88) (CCC, Caa1) 08/01/11 9.750 410,000 500 General Nutrition Center, Rule 144A, Senior Notes (Callable 1/15/08 @ $104.31)++ (B-, B3) 01/15/11 8.625 465,000 400 Great Atlantic & Pacific Tea Company, Inc., Senior Notes (Callable 12/15/06 @ $104.56) (B-, Caa1) 12/15/11 9.125 423,000 700 Gregg Appliances, Inc., Rule 144A, Senior Notes (Callable 2/01/09 @ $104.50)++ (B, B2) 02/01/13 9.000 659,750 750 Rite Aid Corp., Global Company Guaranteed Notes (Callable 1/15/10 @ $103.75) (B+, B2) 01/15/15 7.500 723,750 200 Roundy's, Inc., Series B, Global Company Guaranteed Notes (Callable 6/15/07 @ $104.44) (B, B2) 06/15/12 8.875 207,000 150 Stater Brothers Holdings, Inc., Global Senior Notes (Callable 6/15/08 @ $104.06) (BB-, B1) 06/15/12 8.125 147,000 -------------- 3,683,286 -------------- RETAIL STORES (2.3%) 400 Asbury Automotive Group Co., Global Company Guaranteed Notes (Callable 6/15/07 @ $104.50) (B, B3) 06/15/12 9.000 411,000 500 CSK Auto, Inc., Global Company Guaranteed Notes (Callable 1/15/09 @ $103.50) (B-, B2) 01/15/14 7.000 480,000 500 Finlay Fine Jewelry Corp., Global Senior Notes (Callable 6/01/08 @ $104.19) (B+, B2) 06/01/12 8.375 453,125 703 Flooring America, Inc., Series B, Company Guaranteed Notes (Callable 10/15/05 @ $100.00)^< < (NR, NR) 10/15/07 9.250 0 1,000 JC Penney Co., Inc., Series MTNA, Notes (BB+, Ba1) 10/15/15 6.875 1,080,000 400 Michaels Stores, Inc., Senior Notes (Callable 7/01/05 @ $104.63) (BB+, Ba1) 07/01/09 9.250 418,500
See Accompanying Notes to Financial Statements. 18
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- DOMESTIC SECURITIES CORPORATE OBLIGATIONS RETAIL STORES $ 400 NBTY, Inc., Series B, Senior Subordinated Notes (Callable 9/15/05 @ $100.00) (B+, B1) 09/15/07 8.625 $ 400,000 500 Nebraska Book Co., Inc., Global Senior Subordinated Notes (Callable 3/15/08 @ $104.31) (CCC+, Caa1) 03/15/12 8.625 468,750 250 Perry Ellis International, Inc., Series B, Global Senior Subordinated Notes (Callable 9/15/08 @ $104.44) (B-, B3) 09/15/13 8.875 251,250 750 Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 11/01/07 @ $108.00)++ (B, B3) 11/01/10 10.500 750,000 250 United Auto Group, Inc., Global Company Guaranteed Notes (Callable 3/15/07 @ $104.81) (B, B3) 03/15/12 9.625 268,125 -------------- 4,980,750 -------------- SATELLITE (0.5%) 750 Echostar DBS Corp., Global Company Guaranteed Notes (BB-, Ba3) 10/01/14 6.625 744,375 195 Echostar DBS Corp., Global Senior Notes (Callable 1/15/06 @ $104.56) (BB-, Ba3) 01/15/09 9.125 208,163 195 PanAmSat Corp., Global Company Guaranteed Notes (Callable 8/15/09 @ $104.50) (B+, B1) 08/15/14 9.000 213,769 -------------- 1,166,307 -------------- SECONDARY OIL & GAS PRODUCERS (2.8%) 250 Belden & Blake Corp., Global Secured Notes (Callable 7/15/08 @ $104.38) (CCC+, B3) 07/15/12 8.750 246,250 950 Chesapeake Energy Corp., Rule 144A, Senior Notes (Callable 7/15/10 @ $103.13)++ (BB-, Ba3) 01/15/18 6.250 940,500 602 Chesapeake Energy Corp., Senior Notes (Callable 1/15/09 @ $103.44) (BB-, Ba3) 01/15/16 6.875 630,595 900 Forest Oil Corp., Global Senior Notes (BB-, Ba3) 06/15/08 8.000 958,500 1,000 Kerr-McGee Corp., Company Guaranteed Notes (BBB, Ba3) 09/15/11 6.875 1,072,768 300 Plains E&P Co., Series B, Global Senior Subordinated Notes (Callable 7/01/07 @ $104.38) (B+, Ba3) 07/01/12 8.750 327,000 550 Pogo Producing Co., Series B, Senior Subordinated Notes (Callable 4/15/06 @ $104.13) (BB, Ba3) 04/15/11 8.250 587,125 200 Range Resources Corp., Global Company Guaranteed Notes (Callable 3/15/10 @ $103.19) (B, B3) 03/15/15 6.375 200,000 700 Vintage Petroleum, Inc., Global Senior Subordinated Notes (Callable 5/15/06 @ $103.94) (B, B1) 05/15/11 7.875 742,000 300 Whiting Petroleum Corp., Global Senior Subordinated Notes (Callable 5/01/08 @ $103.63) (B-, B2) 05/01/12 7.250 309,000 -------------- 6,013,738 --------------
See Accompanying Notes to Financial Statements. 19
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- DOMESTIC SECURITIES CORPORATE OBLIGATIONS SERVICES (5.3%) $ 400 Advanstar Communications, Inc., Global Secured Notes (Callable 2/15/08 @ $105.38) (B-, B3) 08/15/10 10.750 $ 439,000 400 Allied Security Escrow Corp., Global Senior Subordinated Notes (Callable 7/15/08 @ $105.69) (B-, Caa1) 07/15/11 11.375 392,000 750 American Color Graphics, Inc., Global Notes (Callable 6/15/07 @ $105.00) (CCC, Caa3) 06/15/10 10.000 543,750 600 Brand Services, Inc., Global Company Guaranteed Notes (Callable 10/15/07 @ $106.00) (CCC+, B3) 10/15/12 12.000 645,000 250 Buhrmann U.S., Inc., Global Senior Subordinated Notes (Callable 7/01/09 @ $104.13) (B, B2) 07/01/14 8.250 251,250 750 Di Finance/Dyncorp International, Rule 144A, Senior Subordinated Notes (Callable 2/15/09 @ $104.75)++ (B-, Caa1) 02/15/13 9.500 701,250 500 Diamond Triumph Auto Glass, Inc., Company Guaranteed Notes (B-, Caa1) 04/01/08 9.250 363,750 800 Hydrochem Industrial Services, Inc., Rule 144A, Senior Subordinated Notes (Callable 2/15/09 @ $104.63)++ (B-, Caa1) 02/15/13 9.250 744,000 815 Integrated Electrical Services, Inc., Series C, Global Company Guaranteed Notes (Callable 2/01/06 @ $101.56) (CCC, Caa2) 02/01/09 9.375 613,288 400 Integrated Alarm Services Group, Inc., Rule 144A, Secured Notes (Callable 11/15/08 @ $106.00)++ (B-, B3) 11/15/11 12.000 398,000 250 Iron Mountain, Inc., Company Guaranteed Notes (Callable 1/15/08 @ $103.88) (B, Caa1) 01/15/15 7.750 252,500 350 Iron Mountain, Inc., Company Guaranteed Notes (Callable 4/01/06 @ $104.31) (B, Caa1) 04/01/13 8.625 364,000 500 Knowledge Learning Corp., Inc., Rule 144A, Company Guaranteed Notes (Callable 2/01/10 @ $103.88)++ (B-, B3) 02/01/15 7.750 480,000 815 La Petite Academy, Inc., Series B, Company Guaranteed Notes (Callable 5/15/06 @ $100.00) (CC, Ca) 05/15/08 10.000 775,778 250 Language Line Holdings, Inc., Global Senior Subordinated Notes (Callable 6/15/08 @ $105.56) (CCC+, Caa1) 06/15/12 11.125 226,250 300 Morton's Restaurant Group, Inc., Global Secured Notes (Callable 7/01/07 @ $105.30) (B-, B2) 07/01/10 7.500 295,500 300 Muzak LLC/Muzak Finance Corp., Global Senior Notes (Callable 2/15/06 @ $105.00) (CCC-, Caa2) 02/15/09 10.000 250,500 400 National Beef Packing Co. LLC, Global Senior Notes (Callable 8/01/07 @ $105.25) (B-, B3) 08/01/11 10.500 383,000 250 Quintiles Transnational Corp., Global Senior Subordinated Notes (Callable 10/01/08 @ $105.00) (B, B3) 10/01/13 10.000 275,000 500 Rent-Way, Inc., Global Secured Notes (B-, B3) 06/15/10 11.875 562,500
See Accompanying Notes to Financial Statements. 20
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- DOMESTIC SECURITIES CORPORATE OBLIGATIONS SERVICES $ 1,000 United Rentals North America, Inc., Global Senior Subordinated Notes (Callable 2/15/09 @ $103.50) (B+, B2) 02/15/14 7.000 $ 957,500 800 United Rentals North America, Inc., Global Senior Subordinated Notes (Callable 11/15/08 @ $103.88) (B+,B2) 11/15/13 7.750 790,000 811 WMG Holdings Corp., Rule 144A, Senior Discount Notes (Callable 12/15/09 @ $104.75)+++ (B-, Caa2) 12/15/14 0.000 563,645 -------------- 11,267,461 -------------- TECHNOLOGY (3.0%) 500 Activant Solutions, Inc., Rule 144A, Senior Notes (Callable 4/01/06 @ $102.00)++# (B+, B2) 04/01/10 9.090 520,000 500 Advanced Micro Devices, Inc., Global Senior Notes (Callable 11/01/08 @ $103.88) (B-, B3) 11/01/12 7.750 495,000 900 Amkor Technology, Inc., Global Senior Notes (Callable 5/15/08 @ $103.88) (B-, B3) 05/15/13 7.750 778,500 350 Amkor Technology, Inc., Global Senior Notes (B-, B3) 02/15/08 9.250 337,750 159 Ampex Corp., Secured Notes^ (NR, NR) 08/15/08 12.000 159,481 250 Itron, Inc., Global Senior Subordinated Notes (Callable 5/15/08 @ $103.88) (B, B2) 05/15/12 7.750 257,500 340 Lucent Technologies, Inc., Notes (B, B1) 07/15/06 7.250 349,350 550 Lucent Technologies, Inc., Notes (B, B1) 11/15/08 5.500 548,625 800 Sanmina-SCI Corp., Global Company Guaranteed Notes (Callable 1/15/07 @ $105.19) (BB-, Ba2) 01/15/10 10.375 892,000 250 Unisys Corp., Senior Notes (Callable 4/01/06 @ $100.00) (BB+, Ba1) 04/01/08 7.875 253,750 600 Viasystems, Inc., Global Senior Subordinated Notes (Callable 1/15/08 @ $105.25) (CCC+, Caa2) 01/15/11 10.500 555,000 1,200 Xerox Corp., Senior Notes (Callable 6/15/08 @ $103.81) (BB-, Ba2) 06/15/13 7.625 1,297,500 -------------- 6,444,456 -------------- TEXTILE/APPAREL/SHOE MANUFACTURING (1.9%) 250 BGF Industries, Inc., Series B, Senior Subordinated Notes (Callable 1/15/06 @ $101.75) (CCC-, Ca) 01/15/09 10.250 251,875 1,600 Levi Strauss & Co., Global Senior Notes (Callable 1/15/10 @ $104.88) (B-, Caa3) 01/15/15 9.750 1,596,000 735 Levi Strauss & Co., Global Senior Notes (Callable 12/15/07 @ $106.13) (B-, Caa3) 12/15/12 12.250 806,663 500 Levi Strauss & Co., Global Senior Unsubordinated Notes (Callable 4/01/07 @ $102.00)# (B-, Caa3) 04/01/12 8.254 475,000 400 Phillips Van-Heusen Corp., Global Senior Notes (Callable 2/15/08 @ $103.63) (BB, B2) 02/15/11 7.250 422,000 500 Propex Fabrics, Inc., Global Company Guaranteed Notes (Callable 12/01/08 @ $105.00) (B-, Caa1) 12/01/12 10.000 477,500 -------------- 4,029,038 --------------
See Accompanying Notes to Financial Statements. 21
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- DOMESTIC SECURITIES CORPORATE OBLIGATIONS TOWER (0.5%) $ 600 American Tower Corp., Global Senior Notes (Callable 10/15/08 @ $103.56) (CCC+, B3) 10/15/12 7.125 $ 631,500 587 SBA Telecommunications Corp., Global Senior Discount Notes (Callable 12/15/07 @ $104.88)+ (CCC-, B3) 12/15/11 0.000 542,975 -------------- 1,174,475 -------------- TRANSPORTATION (0.3%) 300 H-Lines Finance Holding Corp., Rule 144A, Senior Discount Notes (Callable 4/01/08 @ $105.50)+++ (CCC+, Caa2) 04/01/13 0.000 232,500 300 Horizon Lines LLC, Rule 144A, Notes (Callable 11/01/08 @ $104.50)++ (B-, B3) 11/01/12 9.000 315,750 -------------- 548,250 -------------- UTILITIES (3.9%) 37 AES Corp., Senior Notes (B-, B1) 06/01/09 9.500 40,880 400 AES Corp., Senior Notes (B-, B1) 03/01/14 7.750 436,000 400 Allegheny Energy Supply Company LLC, Global Notes (B, Ba3) 03/15/11 7.800 438,000 400 Aquila, Inc., Senior Notes (B-, B2) 11/15/09 7.625 415,000 950 Calpine Corp., Rule 144A, Secured Notes (Callable 7/15/07 @ $104.25)++ (B-, NR) 07/15/10 8.500 736,250 850 Calpine Corp., Rule 144A, Secured Notes (Callable 7/15/08 @ $104.38)++ (B-, NR) 07/15/13 8.750 633,250 747 Calpine Corp., Senior Notes (CCC, Caa3) 04/15/09 7.750 511,695 800 Calpine Generating Co., Global Secured Notes (Callable 4/01/08 @ $103.50)# (B-, B3) 04/01/10 7.756 788,000 250 CMS Energy Corp., Global Senior Notes (B+, B1) 08/01/10 7.750 270,000 700 CMS Energy Corp., Senior Notes (B+, B1) 01/15/09 7.500 740,250 500 Edison Mission Energy, Global Senior Notes (B+, B1) 08/15/08 10.000 563,750 500 Edison Mission Energy, Senior Notes (B+, B1) 06/15/09 7.730 529,375 400 Midwest Generation LLC, Global Secured Notes (Callable 5/01/09 @ $104.38) (B, B1) 05/01/34 8.750 450,000 500 Mirant Americas Generation LLC, Senior Notes< < (NR, NR) 05/01/06 7.625 581,250 300 Mirant Corp., Rule 144A, Senior Notes++< < (NR, NR) 07/15/04 7.400 244,500 300 NRG Energy, Inc., Rule 144A, Secured Notes (Callable 12/15/08 @ $104.00)++ (B, B1) 12/15/13 8.000 318,000 300 Sierra Pacific Resources, Global Senior Notes (Callable 3/15/09 @ $104.31) (B-, B2) 03/15/14 8.625 333,000 350 TNP Enterprises, Inc., Series B, Senior Subordinated Notes (Callable 4/01/06 @ $105.13) (NR, Ba3) 04/01/10 10.250 369,425 -------------- 8,398,625 -------------- WIRELESS (4.5%) 50 Airgate PCS, Inc., Rule 144A, Secured Notes (Callable 1/01/06 @ $104.69)++ (CCC, Caa1) 09/01/09 9.375 52,750
See Accompanying Notes to Financial Statements. 22
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- DOMESTIC SECURITIES CORPORATE OBLIGATIONS WIRELESS $ 350 Airgate PCS, Inc., Secured Notes (Callable 1/01/06 @ $104.69) (CCC, Caa1) 09/01/09 9.375 $ 369,250 700 American Cellular Corp., Series B, Global Senior Notes (Callable 8/01/07 @ $105.00) (B-, Caa1) 08/01/11 10.000 714,000 400 Centennial Cellular Operating Co./Centennial Communications Corp., Global Company Guaranteed Notes (Callable 6/15/08 @ $105.06) (CCC, B3) 06/15/13 10.125 454,000 180 Dobson Cellular Systems, Rule 144A, Secured Notes (Callable 11/01/08 @ $104.94)++ (CCC, B3) 11/01/12 9.875 190,800 600 Dobson Communications Corp., Global Senior Notes (Callable 10/01/08 @ $104.44) (CCC, Ca) 10/01/13 8.875 552,000 750 GCI, Inc., Global Senior Notes (Callable 2/15/09 @ $103.63) (B+, B2) 02/15/14 7.250 723,750 350 Horizon PCS, Inc., Global Company Guaranteed Notes (Callable 7/15/08 @ $105.69) (CCC, B3) 07/15/12 11.375 392,000 250 IPCS, Inc., Global Senior Notes (Callable 5/01/08 @ $105.75) (CCC, B3) 05/01/12 11.500 280,000 250 IWO Escrow Co., Rule 144A, Senior Discount Notes++ (CCC-, Caa2) 01/15/15 0.000 165,000 550 Nextel Communications, Inc., Senior Notes (Callable 8/01/08 @ $103.69) (BB, Ba3) 08/01/15 7.375 596,750 750 Nextel Partners, Inc., Global Senior Notes (Callable 7/01/07 @ $104.06) (BB-, Ba3) 07/01/11 8.125 817,500 2,100 Rural Cellular Corp., Global Senior Subordinated Notes (Callable 1/15/06 @ $104.88) (CCC, Caa2) 01/15/10 9.750 1,963,500 750 Triton PCS, Inc., Global Company Guaranteed Notes (Callable 6/01/08 @ $104.25) (CCC-, Caa1) 06/01/13 8.500 695,625 400 U.S. Unwired, Inc., Series B, Global Secured Notes (Callable 6/15/08 @ $105.00) (CCC-, Caa1) 06/15/12 10.000 447,000 500 Ubiquitel Operating Co., Global Senior Notes (Callable 3/01/07 @ $107.41) (CCC, Caa1) 03/01/11 9.875 551,250 500 Western Wireless Corp., Global Senior Notes (Callable 7/15/08 @ $104.63) (CCC, Caa1) 07/15/13 9.250 571,875 -------------- 9,537,050 -------------- TOTAL CORPORATE OBLIGATIONS (Cost $194,077,243) 189,353,546 -------------- NUMBER OF SHARES ------ COMMON STOCKS (1.3%) BROADCAST/OUTDOOR (0.1%) 5,567 Equinix, Inc.* 241,274 -------------- CABLE (0.0%) 69,987 Digitalglobe, Inc.^* 69,987 --------------
See Accompanying Notes to Financial Statements. 23
NUMBER OF SHARES VALUE ------ ----- DOMESTIC SECURITIES COMMON STOCKS CAPITAL GOODS (0.0%) 750 Motels of America, Inc.^* $ 75 -------------- CHEMICALS (0.1%) 4,893 Huntsman Corp.* 99,181 -------------- CONTAINERS (0.0%) 20,689 Continental AFA Dispensing Co.^* 37,240 -------------- FINANCE (0.0%) 16,893 Westfed Holdings, Inc., Class B (acquired 9/20/88, cost $510)^*^^ 169 -------------- FOOD PROCESSORS/BEVERAGE/BOTTLING (0.3%) 562 Crunch Equity Holdings LLC* 730,600 52,500 Specialty Foods Corp.^* 0 -------------- 730,600 -------------- HEALTHCARE FACILITIES/SUPPLIES (0.0%) 232 Magellan Health Services, Inc.* 8,192 -------------- INDUSTRIAL (0.1%) 36,000 Doskocil Manufacturing Co.^* 126,000 -------------- RETAIL - FOOD & DRUG (0.0%) 2,030 Archibald Candy Corp.^* 0 -------------- RETAIL STORES (0.1%) 18,064 Safelite Glass Corp., Class B^* 90,320 1,219 Safelite Realty Corp.^* 12,190 -------------- 102,510 -------------- SERVICES (0.1%) 21,306 Cenveo, Inc.* 161,073 10,652 Cenveo, Inc., Rule 144A++* 80,529 -------------- 241,602 -------------- TEXTILE/APPAREL/SHOE MANUFACTURING (0.2%) 26,759 Safety Components International, Inc.* 356,564 -------------- WIRELESS (0.3%) 57,927 Dobson Communications Corp., Class A* 246,769 17,187 IWO Holdings, Inc.* 476,939 -------------- 723,708 -------------- TOTAL COMMON STOCKS (Cost $3,289,832) 2,737,102 -------------- PREFERRED STOCKS (0.2%) CABLE (0.0%) 7,500 Adelphia Communications Corp., 13% cumulative exchangeable Series B (Callable 7/15/05 @ $103.25)* 5,625 -------------- FINANCE (0.0%) 57,005 Westfed Holdings, Inc., Class A (acquired 9/20/88-6/18/93, cost $4,815,472)^*^^ 14,251 --------------
See Accompanying Notes to Financial Statements. 24
NUMBER OF SHARES VALUE ------ ----- DOMESTIC SECURITIES PREFERRED STOCKS RESTAURANTS (0.0%) 40,375 AmeriKing, Inc., 13% Cum. Exchangeable^*>> $ 0 -------------- WIRELESS (0.2%) 900 Dobson Communications Corp., Rule 144A, 6% Conv. Preferred (Callable 8/19/05 @ $106.00)++* 107,146 426 Rural Cellular Corp., Series B, 11.375% Senior Exchangeable (Callable 5/15/06 @ $1,014.22)*>> 392,985 -------------- 500,131 -------------- TOTAL PREFERRED STOCKS (Cost $6,611,899) 520,007 -------------- WARRANTS (0.0%) AEROSPACE (0.0%) 800 Decrane Aircraft Holdings, Rule 144A, strike price $35.65, expires 9/30/08^++* 8 -------------- BROADBAND (0.0%) 400 Colt Telecom Group Plc, strike price $75.63, expires 12/31/06* 7,337 -------------- BUILDING PRODUCTS (0.0%) 1,250 Dayton Superior Corp., Rule 144A, strike price $0.01, expires 6/15/09++* 169 -------------- CABLE (0.0%) 4 NTL, Inc., Series A, strike price $262.93, expires 1/13/11* 4 -------------- COMPETITIVE LOCAL EXCHANGE CARRIER (0.0%) 6,290 Loral Space & Communications, strike price $23.70, expires 12/27/06* 123 -------------- CONTAINERS (0.0%) 747 Pliant Corp., Rule 144A, strike price $0.01, expires 6/01/10^++* 93 -------------- GAMING (0.0%) 3,000 Mikohn Gaming Corp., strike price $7.70, expires 8/15/08* 180 100 Windsor Woodmont Black Hawk, strike price $0.01, expires 3/15/10^* 0 -------------- 180 -------------- RETAIL STORES (0.0%) 44,271 Safelite Glass Corp., Class A, strike price $0.01, expires 9/29/06^* 443 29,514 Safelite Glass Corp., Class A, strike price $0.01, expires 9/29/07^* 295 -------------- 738 -------------- SATELLITE (0.0%) 250 Pegasus Communications Corp., strike price $75.00, expires 1/01/07^* 0 -------------- TEXTILE/APPAREL/SHOE MANUFACTURING (0.0%) 117 AGY Holding Corp., strike price $0.01, expires 1/01/10^* 293 -------------- TOTAL WARRANTS (Cost $86,124) 8,945 -------------- TOTAL DOMESTIC SECURITIES (Cost $204,065,098) 192,619,600 --------------
See Accompanying Notes to Financial Statements. 25
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- FOREIGN SECURITIES (7.8%) CORPORATE OBLIGATIONS (7.6%) AUTOMOBILE MANUFACTURING/VEHICLE PARTS (0.1%) $ 250 Bombardier Recreational Products, Inc., Global Senior Subordinated Notes (Callable 12/15/08 @ $104.19) (Canada) (B-, B3) 12/15/13 8.375 $ 267,500 -------------- BROADBAND (0.5%) 400 Call Net Enterprises, Inc., Yankee Company Guaranteed Notes (Callable 1/01/06 @ $105.31) (Canada) (B-, B3) 12/31/08 10.625 433,000 750 Global Crossing Finance Plc, Rule 144A, Company Guaranteed Notes (Callable 12/15/09 @ $105.38) (United Kingdom)++ (B-, Caa1) 12/15/14 10.750 684,375 -------------- 1,117,375 -------------- BROADCAST/OUTDOOR (0.1%) 150 Corus Entertainment, Inc., Global Senior Subordinated Notes (Callable 3/01/07 @ $104.38) (Canada) (B+, B1) 03/01/12 8.750 161,625 -------------- BUILDING PRODUCTS (0.4%) 750 MAAX Corp., Global Senior Subordinated Notes (Callable 6/15/08 @ $104.88) (Canada) (CCC+, B3) 06/15/12 9.750 665,625 500 MAAX Holdings, Inc., Rule 144A, Senior Discount Notes (Callable 12/15/08 @ $105.63) (Canada)+++ (CCC+, Caa1) 12/15/12 0.000 220,000 -------------- 885,625 -------------- CABLE (0.8%) 4,600 Australis Holdings Pty. Ltd., Yankee Senior Discount Notes (Australia)^< < (NR, NR) 11/01/02 15.000 92,000 400 Kabel Deutschland GmbH, Rule 144A, Company Guaranteed Notes (Callable 7/01/09 @ $105.31) (Germany)++ (B-, B2) 07/01/14 10.625 436,000 600 Telenet Group Holding NV, Rule 144A, Discount Notes (Callable 12/15/08 @ $105.75)(Belgium)+++ (CCC+, Caa2) 06/15/14 0.000 469,500 600 Videotron LTEE, Global Company Guaranteed Notes (Callable 1/15/09 @ $103.44) (Canada) (B+, Ba3) 01/15/14 6.875 613,500 -------------- 1,611,000 -------------- CHEMICALS (0.5%) 400 Acetex Corp., Global Senior Notes (Callable 8/01/05 @ $105.44) (Canada) (B+, B2) 08/01/09 10.875 422,000 600 Rhodia SA, Global Senior Notes (France) (CCC+, B3) 06/01/10 10.250 646,500 -------------- 1,068,500 -------------- CONTAINERS (0.4%) 795 Crown Euro Holdings SA, Global Secured Notes (Callable 3/01/07 @ $104.75) (France) (B+, B1) 03/01/11 9.500 882,450 --------------
See Accompanying Notes to Financial Statements. 26
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- FOREIGN SECURITIES CORPORATE OBLIGATIONS INDUSTRIAL (0.0%) $ 924 International Utility Structures, Inc., Subordinated Notes (Callable 2/01/06 @ $100.00)(Canada)^< < (NR, NR) 02/01/08 13.000 $ 0 800 International Utility Structures, Inc., Yankee Senior Subordinated Notes (Callable 2/01/06 @ $100.00)(Canada)^< < (NR, NR) 02/01/08 10.750 80 -------------- 80 -------------- LEISURE (0.5%) 250 Intrawest Corp., Global Senior Notes (Callable 10/15/08 @ $103.75) (Canada) (B+, B1) 10/15/13 7.500 257,812 750 NCL Corp., Rule 144A, Senior Notes (Callable 7/15/09 @ $105.31) (Bermuda)++ (B+, B2) 07/15/14 10.625 793,125 -------------- 1,050,937 -------------- METALS & MINING (0.1%) 250 Gerdau Ameristeel Corp., Global Senior Notes (Callable 7/15/07 @ $105.38) (Canada) (BB-, Ba3) 07/15/11 10.375 272,500 -------------- PAPER & FOREST PRODUCTS (1.8%) 250 Abitibi-Consolidated, Inc., Global Notes (Canada) (BB-, Ba3) 06/15/11 7.750 252,500 250 Ainsworth Lumber Co. Ltd., Global Company Guaranteed Notes (Callable 10/01/08 @ 103.63) (Canada) (B+, B2) 10/01/12 7.250 239,375 750 Fraser Papers, Inc., Rule 144A, Company Guaranteed Notes (Callable 3/15/10 @ $104.38) (Canada)++ (B, B3) 03/15/15 8.750 690,000 500 JSG Funding plc, Global Senior Notes (Callable 10/01/07 @ $104.81) (Ireland) (B-, B3) 10/01/12 9.625 502,500 1,750 JSG Funding plc, Rule 144A, Senior Subordinated Notes (Callable 1/31/10 @ $103.88) (Ireland)++ (B-, Caa1) 04/01/15 7.750 1,443,750 250 Norkse Skog Ltd., Global Senior Notes (Callable 3/01/09 @ $103.69) (Canada) (BB-, Ba3) 03/01/14 7.375 246,250 250 Tembec Industries, Inc., Global Company Guaranteed Notes (Canada) (B, B3) 03/15/12 7.750 185,000 400 Tembec Industries, Inc., Yankee Company Guaranteed Notes (Canada) (B, B3) 06/30/09 8.625 328,000 -------------- 3,887,375 -------------- RETAIL - FOOD & DRUG (0.3%) 700 Jean Coutu Group (PJC), Inc., Global Senior Subordinated Notes (Callable 8/01/09 @ $104.25) (Canada) (B, B3) 08/01/14 8.500 694,750 -------------- SATELLITE (0.3%) 600 Intelsat Bermuda Ltd., Rule 144A, Senior Notes (Callable 1/15/09 @ $104.13) (Bermuda)++ (B+, B2) 01/15/13 8.250 622,500 --------------
See Accompanying Notes to Financial Statements. 27
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ -------------- FOREIGN SECURITIES CORPORATE OBLIGATIONS TECHNOLOGY (0.7%) $ 300 Celestica, Inc., Senior Subordinated Notes (Callable 7/01/08 @ $103.94) (Canada) (B, B2) 07/01/11 7.875 $ 309,000 250 Danka Business Systems Plc, Global Senior Notes (Callable 6/15/07 @ $105.50) (United Kingdom) (B, B3) 06/15/10 11.000 201,250 650 Flextronics International Ltd., Global Senior Subordinated Notes (Callable 11/15/09 @ $103.13) (Singapore) (BB-, Ba2) 11/15/14 6.250 648,375 400 Magnachip Semiconductor, Rule 144A, Senior Subordinated Notes (Callable 12/15/09 @ $104.00) (South Korea)++ (B-, B2) 12/15/14 8.000 386,000 -------------- 1,544,625 -------------- TRANSPORTATION (0.8%) 700 Sea Containers Ltd., Series B, Yankee Senior Notes (Bermuda) (B, B3) 02/15/08 7.875 686,000 750 Ship Finance International Ltd., Global Senior Notes (Callable 12/15/08 @ $104.25) (Bermuda) (B, B1) 12/15/13 8.500 717,188 250 Stena AB, Global Senior Notes (Callable 12/01/09 @ $103.50) (Sweden) (BB-, Ba3) 12/01/16 7.000 233,125 150 Titan Petrochemicals Group Ltd., Rule 144A, Company Guaranteed Notes (Bermuda)++ (B+, B1) 03/18/12 8.500 137,250 -------------- 1,773,563 -------------- WIRELESS (0.3%) 500 Millicom International Cellular S.A., Global Senior Notes (Callable 12/01/08 @ $105.00) (Luxembourg) (B-, B3) 12/01/13 10.000 500,000 -------------- TOTAL CORPORATE OBLIGATIONS (Cost $20,020,253) 16,340,405 -------------- GOVERNMENT OBLIGATION (0.2%) ARGENTINA (0.2%) 1,193 Republic of Argentina, Notes (Cost $373,604) (B-, NR) 12/31/33 5.830 425,144 -------------- TOTAL FOREIGN SECURITIES (Cost $20,393,857) 16,765,549 -------------- TIME DEPOSIT (3.3%) 7,155 Bank of America (London) (Cost $7,155,000) 07/01/05 2.484 7,155,000 -------------- TOTAL INVESTMENTS (101.1%) (Cost $231,613,955) 216,540,149 -------------- LIABILITIES IN EXCESS OF OTHER ASSETS (-1.1%) (2,409,207) -------------- NET ASSETS (100%) Applicable to $49,895,588 issued and outstanding $.001 par value shares (authorized 100,000,000 shares) $ 214,130,942 ==============
See Accompanying Notes to Financial Statements. 28 + Credit ratings given by the Standard & Poor's Division of The McGraw-Hill Companies, Inc. ("S&P") and Moody's Investors Service, Inc. ("Moody's") are unaudited. ++ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2005, these securities amounted to a value of $37,726,601 or 17.6% of net assets. ^ Not readily marketable security; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Directors. # 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, 2005. + Step Bond -- The interest rate stated is the rate as of June 30, 2005. < < Security in default. * Non-income producing security. ^^ Restricted as to private and public resale. Total cost of restricted securities at June 30, 2005 aggregated $4,815,982. Total market value of restricted securities owned at June 30, 2005 was $14,420 or 0.01% of net assets. >> Payment-in-kind preferred stock. Market value includes accrued dividend. See Accompanying Notes to Financial Statements. 29 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. STATEMENT OF ASSETS AND LIABILITIES June 30, 2005 (unaudited) ASSETS Investments at value (Cost $231,613,955) (Note 2) $ 216,540,149 Foreign cash at value (Cost $10,781) 11,081 Receivable for investments sold 561,177 Interest receivable (Note 2) 4,581,228 Other assets 36,809 -------------- Total Assets 221,730,444 -------------- LIABILITIES Due to custodian 11,975 Payable for investments purchased 5,458,699 Dividends payable 1,746,337 Investment advisory fees (Note 3) 267,070 Shareholders' reports 37,891 Audit fees 25,535 Administrative fees (Note 3) 21,610 Custodian fees 16,905 Legal fees 6,865 Shareholders' servicing fees 6,615 -------------- Total Liabilities 7,599,502 -------------- NET ASSETS $ 214,130,942 ============== NET ASSETS CONSIST OF Capital shares at $.001 par value $ 49,896 Capital paid in excess of par value 390,430,990 Distributions in excess of net investment income (7,416,878) Accumulated net realized loss on investments and foreign currency transactions (153,859,396) Unrealized depreciation on investments and foreign currency translations (15,073,670) -------------- NET ASSETS APPLICABLE TO 49,895,588 ISSUED AND OUTSTANDING SHARES (AUTHORIZED 100,000,000 SHARES) $ 214,130,942 ============== NET ASSET VALUE PER SHARE $ 4.29 ============== MARKET PRICE PER SHARE $ 4.59 ==============
See Accompanying Notes to Financial Statements. 30 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. STATEMENT OF OPERATIONS For the Six Months Ended June 30, 2005 (unaudited) INVESTMENT INCOME Interest (Net of foreign taxes withheld of $1,632) (Note 2) $ 9,562,621 ------------ Total income 9,562,621 ------------ EXPENSES Investment advisory fees (Note 3) 541,274 Shareholders' reports 65,078 Custodian fees 58,949 Administrative fees (Note 3) 54,127 Directors' fees and expenses 34,160 Shareholders' servicing fees 31,901 Legal fees 25,918 Audit fees 22,945 NYSE fees 18,731 Miscellaneous 12,234 ------------ Total expenses 865,317 ------------ Net investment income 8,697,304 ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS AND FOREIGN CURRENCY RELATED ITEMS Net realized gain from investments 3,666,099 Net realized gain on foreign currency transactions (Note 2) 55,370 Net change in unrealized appreciation (depreciation) from investments (13,459,901) Net change in unrealized appreciation (depreciation) from foreign currency translations (Note 2) 22,578 ------------ Net realized and unrealized loss from investments and foreign currency related items (9,715,854) ------------ Net decrease in net assets resulting from operations $ (1,018,550) ============
See Accompanying Notes to Financial Statements. 31 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE JUNE 30, 2005 YEAR ENDED (UNAUDITED) DECEMBER 31, 2004 ----------------- ----------------- FROM OPERATIONS Net investment income $ 8,697,304 $ 17,700,572 Net realized gain on investments and foreign currency transactions 3,721,469 3,019,985 Change in unrealized appreciation (depreciation) of investments and foreign currency translations (13,437,323) 7,746,019 ----------------- ----------------- Net increase (decrease) in net assets resulting from operations (1,018,550) 28,466,576 ----------------- ----------------- FROM DISTRIBUTIONS Net investment income (12,224,442) (20,005,808) Return of capital -- (950,339) ----------------- ----------------- Total distributions (12,224,442) (20,956,147) ----------------- ----------------- Total increase (decrease) in net assets (13,242,992) 7,510,429 ----------------- ----------------- NET ASSETS Beginning of period 227,373,934 219,863,505 ----------------- ----------------- End of period $ 214,130,942 $ 227,373,934 ================= ================= Distributions in excess of net investment income $ 7,416,878 $ 3,889,740 ================= =================
See Accompanying Notes to Financial Statements. 32 This page intentionally left blank CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. FINANCIAL HIGHLIGHTS
FOR THE SIX MONTHS FOR THE YEAR ENDED ENDED DECEMBER 31, JUNE 30, 2005 --------------------------- (UNAUDITED) 2004 2003 ------------- ----------- ----------- PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period $ 4.56 $ 4.41 $ 3.91 ------------- ----------- ----------- Offering costs -- -- -- ------------- ----------- ----------- INVESTMENT ACTIVITIES Net investment income 0.17 0.35 0.37 Net realized and unrealized gain (loss) on investments and futures contracts (0.19) 0.22 0.58 ------------- ----------- ----------- Total from investment activities (0.02) 0.57 0.95 ------------- ----------- ----------- DISTRIBUTIONS Net investment income (0.25) (0.40) (0.43) Return of capital -- (0.02) (0.02) ------------- ----------- ----------- Total distributions (0.25) (0.42) (0.45) ------------- ----------- ----------- Decrease in net asset value due to shares issued through rights offering -- -- -- ------------- ----------- ----------- NET ASSET VALUE, END OF PERIOD $ 4.29 $ 4.56 $ 4.41 ============= =========== =========== PER SHARE MARKET VALUE, END OF PERIOD $ 4.59 $ 4.45 $ 4.50 ============= =========== =========== TOTAL INVESTMENT RETURN Net asset value(1) (1.48)% 13.55% 24.59% Market value 8.01% 8.60% 28.11% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000s omitted) $ 214,131 $ 227,374 $ 219,864 Ratio of expenses to average net assets including expense offsets 0.79%** 0.78% 0.78% Ratio of expenses to average net assets 0.79%** 0.78% 0.78% Ratio of net investment income to average net assets 7.97%** 8.08% 8.83% Portfolio turnover rate 27.7% 57.8% 77.8%
++ 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 shares outstanding 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 year, 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 Strategic Global Income Fund, Inc., 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. 34
FOR THE YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------------ 2002 2001(2) 2000 1999 1998 ----------- ----------- ----------- ----------- ----------- PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period $ 4.74 $ 5.70 $ 7.34 $ 7.77 $ 8.44 ----------- ----------- ----------- ----------- ----------- Offering costs -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- INVESTMENT ACTIVITIES Net investment income 0.42 0.61+ 0.67 0.75 0.71 Net realized and unrealized gain (loss) on investments and futures contracts (0.55) (0.85) (1.55) (0.46) (0.66) ----------- ----------- ----------- ----------- ----------- Total from investment activities (0.13) (0.24) (0.88) 0.29 0.05 ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS Net investment income (0.62) (0.72) (0.76) (0.72) (0.72) Return of capital (0.08) -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total distributions (0.70) (0.72) (0.76) (0.72) (0.72) ----------- ----------- ----------- ----------- ----------- Decrease in net asset value due to shares issued through rights offering -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- NET ASSET VALUE, END OF PERIOD $ 3.91 $ 4.74 $ 5.70 $ 7.34 $ 7.77 =========== =========== =========== =========== =========== PER SHARE MARKET VALUE, END OF PERIOD $ 3.88 $ 4.98 $ 5.56 $ 6.06 $ 7.56 =========== =========== =========== =========== =========== TOTAL INVESTMENT RETURN Net asset value(1) (5.26)% (6.04)% (12.37)% 4.50% 0.47% Market value (10.52)% 1.15% 3.55% (11.32)% (5.68)% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000s omitted) $ 195,089 $ 236,652 $ 197,817 $ 254,857 $ 269,507 Ratio of expenses to average net assets including expense offsets 0.79% 1.07% 0.78% 0.78% 0.81% Ratio of expenses to average net assets 0.79% 1.07% 0.78% 0.78% 0.81% Ratio of net investment income to average net assets 9.93% 11.66% 10.10% 9.90% 8.59% Portfolio turnover rate 61.1% 50.1%(3) 39.1% 43.5% 84.7%
FOR THE YEAR ENDED DECEMBER 31, -------------------------------------------- 1997 1996 1995++ ----------- ----------- ----------- PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period $ 8.12 $ 8.63 $ 8.05 ----------- ----------- ----------- Offering costs -- (0.02) -- ----------- ----------- ----------- INVESTMENT ACTIVITIES Net investment income 0.69 0.75 0.86 Net realized and unrealized gain (loss) on investments and futures contracts 0.39 0.18 0.48 ----------- ----------- ----------- Total from investment activities 1.08 0.93 1.34 ----------- ----------- ----------- DISTRIBUTIONS Net investment income (0.76) (0.90) (0.76) Return of capital -- -- -- ----------- ----------- ----------- Total distributions (0.76) (0.90) (0.76) ----------- ----------- ----------- Decrease in net asset value due to shares issued through rights offering -- (0.52) -- ----------- ----------- ----------- NET ASSET VALUE, END OF PERIOD $ 8.44 $ 8.12 $ 8.63 =========== =========== =========== PER SHARE MARKET VALUE, END OF PERIOD $ 8.75 $ 7.63 $ 7.88 =========== =========== =========== TOTAL INVESTMENT RETURN Net asset value(1) 14.03% 10.59%* 17.41% Market value 25.90% 10.05%* 24.34% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000s omitted) $ 291,959 $ 280,634 $ 210,441 Ratio of expenses to average net assets including expense offsets 0.84% 0.94% -- Ratio of expenses to average net assets 0.84% 0.95% 0.92% Ratio of net investment income to average net assets 8.47% 9.23% 10.22% Portfolio turnover rate 97.7% 81.0% 44.1%
See Accompanying Notes to Financial Statements. 35 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. NOTES TO FINANCIAL STATEMENTS June 30, 2005 (unaudited) NOTE 1. ORGANIZATION 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, as amended. The Fund's investment objective is to seek current income through investment primarily in debt securities. NOTE 2. SIGNIFICANT ACCOUNTING POLICIES A) SECURITY VALUATION -- The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the "Exchange") on each day the Exchange is open for business. Debt securities with a remaining maturity greater then 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. The Fund's equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation ("Valuation Time"). If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Securities and other assets for which market quotations are not readily available, or whose values have been materially affected by events occurring before the Fund's Valuation Time but after the close of the securities' primary markets, are valued at fair value as determined in good faith by, or under the direction of, the Board of Directors under procedures established by the Board of Directors. The 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 liquid 144A securities). These securities are valued pursuant to the valuation procedures noted above. B) SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are accounted for on a trade date basis. Interest income is accrued as earned. The Fund amortizes premium and accretes discount using the effective yield method. Dividends are recorded on the ex-dividend date. 36 The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes. Discount or premium on mortgage backed securities is recorded upon receipt of principal payments on the underlying mortgage pools. C) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income are declared and paid monthly. Distributions of net realized capital gains, if any, are declared and paid at least annually. However, to the extent that a net realized capital gain can be reduced by a capital loss carryover, such gain will not be distributed. Income and capital gains distributions are determined in accordance with federal income tax regulations, which may differ from generally accepted accounting principles in the United States of America ("GAAP"). D) FEDERAL INCOME TAXES -- No provision is made for federal taxes as it is the Fund's intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under the Internal Revenue Code of 1986, as amended, and to make the requisite distributions to its shareholders which will be sufficient to relieve it from federal income and excise taxes. E) USE OF ESTIMATES -- The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. F) SHORT-TERM INVESTMENTS -- The Fund, together with other funds/portfolios advised by Credit Suisse Asset Management, LLC ("CSAM"), an indirect wholly-owned subsidiary of Credit Suisse Group, sweeps available cash into either a short-term variable rate time deposit issued by Brown Brothers Harriman & Co. ("BBH&Co."), the Fund's custodian, Grand Cayman branch, or with other highly rated banks. The short-term time deposit is a variable rate account classified as a short-term investment. G) 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. 37 H) 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 deposit cash or pledge U.S. Government securities as initial margin. Subsequent payments, which are dependent on the daily fluctuations in the value of the underlying instrument, are made or received by the Fund each day (daily variation margin) and are recorded as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund's basis in the contracts. Risks of entering into futures contracts for hedging purposes include the possibility that a change in the value of the contracts may not correlate with the changes in the value of the underlying instruments. In addition, the purchase of futures contracts 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, 2005, the Fund had no open futures contracts. I) FORWARD FOREIGN CURRENCY CONTRACTS -- The Fund may enter into forward foreign currency contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency. The Fund will enter into forward foreign currency contracts primarily for hedging purposes. Forward foreign currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized until the contract settlement date, or an offsetting position is entered into. At June 30, 2005, the Fund had no open forward foreign currency contracts. J) OTHER -- The Fund may invest in securities of foreign countries and governments which involve certain risks in addition to those inherent in domestic investments. Such risks generally include, among others, currency risks (fluctuations in currency exchange rates), information risk (key information may be inaccurate or unavailable) and political risk (expropriation, nationalization or the imposition of capital or currency controls or punitive taxes). Other risks of investing in foreign securities include liquidity and valuation risks. The Fund may be subject to taxes imposed by countries in which it invests with respect to its investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and 38 capital gains realized on the sale of such investments. The Fund accrues such taxes when the related income or gains are earned. The Fund's investments in securities of issuers located in less developed countries considered to be "emerging markets" involve risks in addition to those generally applicable to foreign securities. Focusing on emerging (less developed) markets involves higher levels of risk, including increased currency, information, liquidity, market, political and valuation risks. Deficiencies in regulatory oversight, market infrastructure, shareholder protections and company laws could expose the Fund to operational and other risks as well. Some countries may have restrictions that could limit the Fund's access to attractive investment opportunities. Additionally, emerging markets often face serious economic problems (such as high external debt, inflation and unemployment) that could subject the portfolio to increased volatility or substantial declines in value. Lower-rated debt securities (commonly known as "junk bonds") possess speculative characteristics and are subject to greater market fluctuations and risk of lost income and principal than higher-rated debt securities for a variety of reasons. Also, during an economic downturn or substantial period of rising interest rates, highly leveraged issuers may experience financial stress which would adversely effect their ability to service their principal and interest payment obligations, to meet projected business goals and to obtain additional financing. In addition, periods of economic uncertainty and changes can be expected to result in increased volatility of market prices of lower-rated debt securities and (to the extent the Fund invests in junk bonds) the Fund's net asset value. NOTE 3. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES CSAM serves as investment adviser for the Fund. For its investment advisory services, CSAM is entitled to receive a fee from the Fund at a rate per annum, computed weekly and paid quarterly, as follows: 0.50% of the lower of the weekly stock price (market value) of the Fund's outstanding shares or its average weekly net assets. For the six months ended June 30, 2005, investment advisory fees earned were $541,274. Credit Suisse Asset Management Limited (CSAM U.K.) ("CSAM U.K."), an affiliate of CSAM, is sub-investment adviser to the Fund. CSAM U.K.'s sub-investment advisory fees are paid by CSAM out of CSAM's net investment advisory fee and are not paid by the Fund. 39 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. For the six months ended June 30, 2005, BBH&Co. earned administrative service fees (including out-of-pocket expenses) of $54,127. 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, 2005, Merrill was paid $21,202 for its services to the Fund. NOTE 4. LINE OF CREDIT The Fund, together with other funds/portfolios advised by CSAM (collectively, the "Participating Funds"), participates in a $75 million committed, unsecured line of credit facility ("Credit Facility") with Deutsche Bank, A.G. as administrative agent and syndication agent and State Street Bank and Trust Company as operations agent for temporary or emergency purposes. Under the terms of the Credit Facility, the Participating Funds pay an aggregate commitment fee at a rate of 0.10% per annum on the average unused amount of the Credit Facility, which is allocated among the Participating Funds in such manner as is determined by the governing Boards of the Participating Funds. In addition, the Participating Funds pay interest on borrowings at the Federal Funds rate plus 0.50%. At June 30, 2005 and during the six months ended June 30, 2005, the Fund had no borrowings under the Credit Facility. NOTE 5. PURCHASES AND SALES OF SECURITIES For the six months ended June 30, 2005, there were no U.S. Government and Agency Obligations. Purchases and sales of investment securities (excluding short-term investments) were $64,444,869 and $58,542,414, respectively. 40 NOTE 6. FEDERAL INCOME TAXES At June 30, 2005, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized appreciation (depreciation) from investments were $231,613,955, $8,890,526, $(23,964,332) and $(15,073,806), respectively. NOTE 7. OTHER 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. NOTE 8. CONTINGENCIES In the normal course of business, the Fund may provide general indemnifications pursuant to certain contracts and organizational documents. The Fund's maximum exposure under these arrangements is dependent on future claims that may be made against the Fund and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote. 41 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. ADDITIONAL INFORMATION (UNAUDITED) DESCRIPTION OF INVESTLINK(SM) PROGRAM The InvestLink(SM) Program is sponsored and administered by EquiServe L.P., not by Credit Suisse Asset Management Income Fund, Inc., (the "Fund"). EquiServe L.P. 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 42 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. EquiServe, L.P., 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. 43 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. 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 44 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 judgment 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 (800) 730-6001. All correspondence regarding the Program should be directed to: EquiServe Trust Company N.A., InvestLink Program, P.O. 43010, Providence, RI 02940-3010. 45 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. RESULTS OF ANNUAL MEETING OF SHAREHOLDERS (UNAUDITED) On April 22, 2005, the Annual Meeting of Shareholders of the Fund was held and the following matter was approved: (1) To elect two Directors to the Board of Directors of the Fund.
NAME OF DIRECTOR FOR WITHHELD -------------------- ---------- -------- James S. Pasman, Jr. 43,081,598 637,874 Steven N. Rappaport 43,119,773 599,698
In addition to the Directors elected at the meeting, Enrique R. Arzac, Lawrence J. Fox, and Michael E. Kenneally continued as Directors of the Fund. 46 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. BOARD CONSIDERATION AND RE-APPROVAL OF INVESTMENT ADVISORY AGREEMENT (UNAUDITED) Section 15(c) of the Investment Company Act of 1940 (the "1940 Act") contemplates that the Board of Directors (the "Board") of Credit Suisse Asset Management Income Fund, Inc. (the "Fund"), including a majority of the Directors who have no direct or indirect interest in the investment advisory agreement and are not "interested persons" of the Fund, as defined in the 1940 Act (the "Independent Directors"), will annually review and re-approve the terms of the Fund's existing investment advisory agreement. In this regard, the Board reviewed and re-approved, during the most recent six months covered by this report, an investment advisory agreement (the "Advisory Agreement") with Credit Suisse Asset Management, LLC ("CSAM") for the Fund. More specifically, at a meeting held on February 14, 2005, the Board, including the Independent Directors advised by their independent legal counsel, considered the factors and reached the conclusions described below relating to the selection of CSAM and the re-approval of the Advisory Agreement. NATURE, EXTENT AND QUALITY OF SERVICES The Board received and considered various data and information regarding the nature, extent and quality of services provided to the Fund by CSAM under the Advisory Agreement. The most recent investment adviser registration form ("Form ADV") for CSAM was provided to the Board, as were responses of CSAM to a detailed series of requests submitted by the Independent Directors' independent legal counsel on behalf of such Directors. The Board reviewed and analyzed these materials, which included, among other things, information about the background and experience of the senior management and the expertise of, and amount of attention devoted to the Fund by, investment personnel of CSAM. In this regard, the Board specifically reviewed the qualifications, background and responsibilities of the chief investment officer who is primarily responsible for day-to-day portfolio management services for the Fund. The Board considered the investment and legal compliance programs of the Fund and CSAM, including their implementation of enhanced compliance policies and procedures in response to Securities and Exchange Commission rule changes and other regulatory initiatives. The Board evaluated the ability of CSAM, based on its resources, reputation and other attributes, to attract and retain highly qualified investment professionals, including research, advisory, and supervisory personnel. In this connection, the Board considered information regarding CSAM's compensation arrangements for its personnel involved in the management of the Fund. 47 Based on the above factors, together with those referenced below, the Board concluded that it was generally satisfied with the nature, extent and quality of the investment advisory services provided to the Fund by CSAM. FUND PERFORMANCE AND EXPENSES The Board considered the one-year, two-year, three-year, four-year, five-year and ten-year performance results for the Fund. It also considered these results in comparison to the median performance results of the group of funds that was determined to be the most similar to the Fund (the "Peer Group") and to the median performance of a broader universe of relevant funds (the "Universe"), as well as to the Fund's benchmark index, the Lipper Closed-End Flexible Income Funds Index. Lipper Inc. ("Lipper"), an independent provider of investment company data, determined the Peer Group and Universe for the Fund and provided the comparative data. The Board was provided with a description of the methodology used by Lipper to select the closed-end funds in the Fund's Peer Group and Universe. The Board noted that the Fund's performance ranked in the bottom third of the performance results for funds in its Peer Group over the four-, five- and ten-year periods. However, the Board observed that the Fund's performance improved significantly over the one-, two- and three-year periods and had the top ranking in its Peer Group over the one- and two-year periods. The Board received and considered statistical information regarding the Fund's total expense ratio and its various components, including management fees, non-management fees, fee waivers/caps and/or expense reimbursements and actual total expenses of the Fund, including and excluding investment-related expenses and taxes. It also considered comparisons of these fees to the expense information for the Fund's Peer Group and Universe, which comparative data was provided by Lipper. The Board noted that the overall expense ratio of the Fund was significantly lower than the Peer Group's median overall ratio and was the lowest overall expense ratio in its Peer Group, including and excluding investment-related expenses and taxes. Management also discussed the Lipper data and rankings, and other relevant information, for the Fund. Based on the above-referenced considerations and other factors, the Board concluded that the overall performance and expense results supported the re-approval of the Advisory Agreement for the Fund. 48 INVESTMENT ADVISORY FEE RATE The Board reviewed and considered the proposed contractual investment advisory fee rate (the "Advisory Agreement Rate") payable by the Fund to CSAM for investment advisory services. In addition, the Board reviewed and considered the proposed fee waiver/cap arrangements applicable to the Advisory Agreement Rate and considered the Advisory Agreement Rate after taking the waivers into account (the "Net Advisory Rate"). The Board noted that CSAM had voluntary fee waivers in effect to base its current investment advisory fee upon the lower of the average weekly stock price or its average weekly net assets. Additionally, the Board received and considered information comparing the Advisory Agreement Rate (both on a stand-alone basis and on a combined basis with the Fund's administration fee rate) with those of the other funds in its Peer Group. The Board concluded that the Advisory Agreement Rate for the Fund was the lowest among funds in its Peer Group. The Board noted that the Fund's administrator is not affiliated with CSAM and that the Fund's administration agreement and corresponding fees were negotiated at arm's-length. However, the Board also noted that the combined investment advisory/administration fee rate for the Fund was the lowest of funds in its Peer Group. The Board concluded that these factors supported the Advisory Agreement Rate and the Net Advisory Rate. PROFITABILITY The Board received and considered a detailed estimated profitability analysis of CSAM based on the Advisory Agreement Rate, as well as on any other relationships between the Fund and CSAM and its affiliates. The Board concluded that, in light of the costs of providing investment management and other services to the Fund, the profits and other ancillary benefits that CSAM and its affiliates received with regard to providing these services to the Fund were not unreasonable. ECONOMIES OF SCALE The Board received and considered information regarding whether there have been economies of scale with respect to the management of the Fund, whether the Fund has appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. 49 The Board observed that the Advisory Agreement did not offer breakpoints. However, the Board considered the diminished impact of economies of scale in the context of a closed-end fund as well as the Advisory Agreement Rate and concluded that the fees were fair and equitable based on relevant factors, including the Fund's performance results and total expenses ranking relative to its Peer Group. INFORMATION ABOUT SERVICES TO OTHER CLIENTS The Board also received and considered information about the nature, extent and quality of services and fee rates offered by CSAM to its other clients, including other registered investment companies and institutional investors and investment companies to which CSAM serves as an unaffiliated sub-adviser. The Board concluded that the Advisory Agreement Rate was lower than or the same as most of the fee rates offered to other CSAM clients. Where rates offered to other clients were relatively lower, the Board considered that CSAM's voluntary fee waivers would potentially decrease the Advisory Agreement Rate. The Board concluded, based on information provided by CSAM, that the costs associated with managing and operating a registered, closed-end bond fund, compared with an open-end fixed income fund, provided a justification for the higher fee rates charged to the Fund. OTHER FACTORS AND BROADER REVIEW As discussed above, the Board reviews detailed materials received from CSAM annually as part of the re-approval process under Section 15(c) of the 1940 Act. The Board also regularly reviews and assesses the quality of the services that the Fund receives throughout the year. In this regard, the Board reviews reports of CSAM at least in each of its quarterly meetings, which include, among other things, a detailed portfolio review, and detailed fund performance reports, and confers with the chief investment officer of the Fund at least quarterly with respect to the portfolio management of the Fund. After considering the above-described factors and based on its deliberations and its evaluation of the information provided to it, the Board concluded that re-approval of the Advisory Agreement for the Fund was in the best interest of the Fund and its shareholders. Accordingly, the Board unanimously re-approved the Advisory Agreement. 50 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. PRIVACY POLICY NOTICE (UNAUDITED) IMPORTANT PRIVACY CHOICES FOR CONSUMERS 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. RESTRICT INFORMATION SHARING WITH AFFILIATES: 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 unless you say "No." / / No, please do not share personal and financial information with your affiliated companies. [If you check this box, you must send this notice back to us with your name, address and account number to Credit Suisse Funds, 466 Lexington Avenue, New York, New York 10017.] 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"), AND CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., AND SHAREHOLDERS AND PROSPECTIVE SHAREHOLDERS IN CSAM-SPONSORED AND ADVISED INVESTMENT COMPANIES, INCLUDING CREDIT SUISSE FUNDS, AND OTHER CONSUMERS AND CUSTOMERS, AS APPLICABLE. THIS NOTICE IS NOT INTENDED TO BE INCORPORATED IN ANY OFFERING MATERIALS BUT IS MERELY A STATEMENT OF OUR CURRENT PRIVACY POLICY, AND MAY BE AMENDED FROM TIME TO TIME UPON NOTICE TO YOU. THIS NOTICE IS DATED AS OF MAY 16, 2005. 51 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. PROXY VOTING AND PORTFOLIO HOLDINGS INFORMATION (UNAUDITED) Information regarding how the Credit Suisse Asset Management Income Fund, Inc. (the "Fund") voted proxies related to its portfolio securities during the 12-month period ended June 30 of each year as well as policies and procedures that the Fund uses to determine how to vote proxies relating to its portfolio securities are available: - By calling 1-800-293-1232 - On the Fund's website, www.csam.com/us - On the website of the Securities and Exchange Commission, http://www.sec.gov The Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Fund's Forms N-Q are available on the SEC's website at http://www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. 52 OTHER FUNDS MANAGED BY CREDIT SUISSE ASSET MANAGEMENT, LLC Credit Suisse Capital Appreciation Fund Credit Suisse Cash Reserve Fund Credit Suisse Commodity Return Strategy Fund Credit Suisse Emerging Markets Fund Credit Suisse Fixed Income Fund Credit Suisse Global Fixed Income Fund Credit Suisse Global Small Cap Fund Credit Suisse High Income Fund Credit Suisse International Focus Fund Credit Suisse Japan Equity Fund Credit Suisse Large Cap Value Fund Credit Suisse Mid-Cap Growth Fund Credit Suisse New York Municipal Fund Credit Suisse Large Cap Blend Fund Credit Suisse Short Duration Bond Fund Credit Suisse Small Cap Growth Fund Credit Suisse Small Cap Value Fund Fund shares are not deposits or other obligations of Credit Suisse Asset Management, LLC or any affiliate, are not FDIC-insured and are not guaranteed by Credit Suisse Asset Management, LLC or any affiliate. Fund investments are subject to investment risks, including loss of your investment. There are special risk considerations associated with international, global, emerging-market, small-company, private equity, high-yield debt, single-industry, single-country and other special, aggressive or concentrated investment strategies. Past performance cannot guarantee future results. More complete information about a fund, including charges and expenses, is provided in the Prospectus, which should be read carefully before investing. You may obtain copies by calling Credit Suisse Funds at 800-927-2874. For up-to-date performance, please look in the mutual fund section of your newspaper under Credit Suisse. Credit Suisse Asset Management Securities, Inc., Distributor. 53 This page intentionally left blank This page intentionally left blank This page intentionally left blank SUMMARY OF GENERAL INFORMATION (UNAUDITED) The Fund -- The CSAM Income Fund, Inc. -- is a closed-end, non-diversified management investment company whose shares trade on the New York Stock Exchange, Inc. Its investment objective is to seek current income through investment primarily in debt securities. Credit Suisse Asset Management, LLC (New York), the Fund's investment adviser, is part of Credit Suisse Asset Management ("CSAM"), the institutional and mutual-fund asset-management arm of Credit Suisse First Boston. As of June 30, 2005, CSAM managed over $24 billion in the U.S. and, together with its global affiliates, managed assets of over $327 billion in 16 countries. SHAREHOLDER INFORMATION The market price is published in: THE NEW YORK TIMES (DAILY) under the designation "CrSuisinco" and THE WALL STREET JOURNAL (DAILY), and BARRON'S (EACH MONDAY) under the designation "CSAM Income Fd". The Fund's New York Stock Exchange, Inc. trading symbol is CIK. Weekly comparative net asset value (NAV) and market price information about The CSAM Income Fund, Inc.'s shares are published each Sunday in THE NEW YORK TIMES and each Monday in THE WALL STREET JOURNAL and BARRON's, as well as other newspapers, in a table called "Closed-End Funds." THE CSAM GROUP OF FUNDS LITERATURE REQUEST -- Call today for free descriptive information on the closed-end funds listed below at 1-800-293-1232 or visit our website on the Internet: http://www.csam.com/us. CLOSED-END FUNDS SINGLE COUNTRY The Chile Fund, Inc. (CH) The First Israel Fund, Inc. (ISL) The Indonesia Fund, Inc. (IF) MULTIPLE COUNTRY The Emerging Markets Telecommunications Fund, Inc. (ETF) The Latin America Equity Fund, Inc. (LAQ) FIXED INCOME Credit Suisse High Yield Bond Fund (DHY) Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that the CSAM Income Fund, Inc. may from time to time purchase shares of its capital stock in the open market. 57 DIRECTORS AND CORPORATE OFFICERS Enrique R. Arzac Director Lawrence J. Fox Director James S. Pasman, Jr. Director Steven N. Rappaport Director Michael E. Kenneally Director and Chairman of the Board Dennis M. Schaney Chief Investment Officer Michael E. Gray Investment Officer J. Kevin Gao Senior Vice President Ajay Mehra Chief Legal Officer Emidio Morizio Chief Compliance Officer Michael A. Pignataro Chief Financial Officer, Vice President and Secretary Maxine C. Evertz Assistant Secretary Robert M. Rizza Treasurer
INVESTMENT ADVISER Credit Suisse Asset Management, LLC 466 Lexington Avenue New York, NY 10017 INVESTMENT SUB-ADVISER Credit Suisse Asset Management Limited Beaufort House 15 St. Botolph Street London EC3A 7JJ, England ADMINISTRATOR AND CUSTODIAN Brown Brothers Harriman & Co. 40 Water Street Boston, MA 02109 SHAREHOLDER SERVICING AGENT EquiServe Trust Company, N.A. P.O. Box 43010 Providence, RI 02940 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PricewaterhouseCoopers LLP Two Commerce Square Philadelphia, PA 19103 LEGAL COUNSEL Willkie Farr & Gallagher LLP 787 Seventh Avenue New York, NY 10017 This report, including the financial statements herein, is sent to the shareholders of the Fund for their information. The financial information included herein is taken from the records of the Fund without examination by the independent registered public accountants who do not express an opinion thereon. It is not a prospectus, circular or representation intended for use in the purchase or sale of shares of the Fund or of any securities mentioned in this report. CIK LISTED NYSE CIK-SAR-0605 ITEM 2. CODE OF ETHICS. This item is inapplicable to a semi-annual report on Form N-CSR. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. This item is inapplicable to a semi-annual report on Form N-CSR. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. This item is inapplicable to a semi-annual report on Form N-CSR. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. This item is inapplicable to a semi-annual report on Form N-CSR. ITEM 6. SCHEDULE OF INVESTMENTS. Included as part of the report to shareholders filed under Item 1 of this Form. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. This item is inapplicable to a semi-annual report on Form N-CSR. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Form N-CSR disclosure requirement not yet effective with respect to the registrant. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. None. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors since the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(g) of Schedule 14A in its definitive proxy statement dated March 21, 2005. ITEM 11. CONTROLS AND PROCEDURES. (a) As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")) were effective based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. (b) There were no changes in registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant's second fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(1) Not applicable. (a)(2) The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report. (a)(3) Not applicable. (b) The certifications of the registrant as required by Rule 30a-2(b) under the Act are an exhibit to this report. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. /s/steven Plump --------------- Name: Steven Plump Title: Chief Executive Officer Date: September 1, 2005 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. /s/Steven Plump --------------- Name: Steven Plump Title: Chief Executive Officer Date: September 1, 2005 /s/Michael A. Pignataro ----------------------- Name: Michael A. Pignataro Title: Chief Financial Officer Date: September 1, 2005