N-CSRS 1 a2172536zn-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, 2006 to June 30, 2006 ITEM 1. REPORTS TO STOCKHOLDERS. CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. 466 LEXINGTON AVENUE NEW YORK, NY 10017 DIRECTORS ENRIQUE R. ARZAC CHAIRMAN OF THE BOARD TERRY FIRES BOVARNICK JAMES J. CATTANO LAWRENCE J. FOX LAWRENCE HABER STEVEN N. RAPPAPORT OFFICERS STEVEN B. PLUMP CHIEF EXECUTIVE OFFICER AND PRESIDENT MARTHA B. METCALF CHIEF INVESTMENT OFFICER J. KEVIN GAO SENIOR VICE PRESIDENT AND SECRETARY AJAY MEHRA CHIEF LEGAL OFFICER EMIDIO MORIZIO CHIEF COMPLIANCE OFFICER MICHAEL A. PIGNATARO CHIEF FINANCIAL OFFICER AND VICE PRESIDENT ROBERT RIZZA TREASURER INVESTMENT ADVISER CREDIT SUISSE ASSET MANAGEMENT, LLC 466 LEXINGTON AVENUE NEW YORK, NEW YORK 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, MASSACHUSETTS 02109 SHAREHOLDER SERVICING AGENT COMPUTERSHARE TRUST COMPANY, N.A. P.O. BOX 43010 PROVIDENCE, RI 02940-3010 LEGAL COUNSEL WILLKIE FARR & GALLAGHER 787 7TH AVENUE NEW YORK, NEW YORK 10019 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PRICEWATERHOUSECOOPERS LLP TWO COMMERCE SQUARE PHILADELPHIA, PENNSYLVANIA 19103 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. SEMIANNUAL REPORT JUNE 30, 2006 (UNAUDITED) CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. SEMIANNUAL INVESTMENT ADVISER'S REPORT June 30, 2006 (unaudited) July 31, 2006 Dear Shareholder: PERFORMANCE SUMMARY 01/01/06 - 06/30/06
FUND & BENCHMARKS PERFORMANCE Total Return (based on NAV)(1) 3.87% Total Return (based on market value)(1) 12.88% Merrill Lynch U.S. High Yield Master II Constrained Index(2) 2.52% Citigroup High-Yield Market Index(2) 2.86%
FUND NOW TRADING ON AMEX Effective May 11, 2006, the Fund is listed on, and has commenced trading on, the American Stock Exchange ("AMEX"). The Fund opted to make the move based on listing costs. The Fund estimates that the Fund's annual listing fees will decline substantially. The Fund continues to trade under the same ticker symbol (CIK). MARKET OVERVIEW The High Yield market began the year on a robust tone, posting four consecutive positive monthly returns. This was followed by higher volatility and lackluster returns during the months of May and June as investors grew increasingly concerned about higher interest rates and the pace of economic growth. For the six months ended June 30, the High Yield market generated a return of 2.52% (as measured by the Merrill Lynch U.S. High Yield Master II Constrained Index). Low-rated securities outperformed the broader market, returning 7.3%, while the more interest rate sensitive BB rated securities underperformed, returning about 0.32%. The average yield spread between high yield bonds and Treasury securities narrowed 25 basis points, ending the period at 338 basis points. The majority of sectors posted positive returns, with Autos, Airlines, Building Materials and Theaters leading the way. Sectors producing negative returns were Energy -- Exploration & Production, Building & Construction and Health Services. Credit fundamentals continued to be supportive of the high yield market, although we believe that the best of the credit cycle does appear to be behind us. Both default rates and the distressed ratio (a leading indicator for future default rates) continue to be near 10-year lows, coming in at 1.78% and 2.9%, respectively. Corporate balance sheets are strong but we expect growth might be slower in the year ahead. The technical environment had been positive for most of the year but more recently has been strained as several large new issues came to market in the High Yield market. These include $2 billion in new issuance from Nortel Networks, $2.5 billion from Windstream Corp. and almost $3 billion from Intelsat (these companies accounted for 0.2%, 0.3% and 0.5% of the Fund's net assets, respectively, as of June 30, 2006). We view this to be temporary pressure on the market and expect that once these deals are digested, market technicals will probably stabilize as cash from coupon and bond redemptions continue to outpace supply. STRATEGIC REVIEW The Fund's performance benefited from an underweight in the more interest rate sensitive BB rated securities. The Fund's overweight in higher yielding securities provided a positive contribution to return as well. Strong security selection plus good sector allocation in the Consumer Products, Cable, Packaging, Support-Services and Theater sectors also contributed to performance. Security selection in Autos, Airlines and Health Services detracted from returns. OUTLOOK AND STRATEGY We are constructive on the High Yield market near term given our analysis of a solid fundamental backdrop, improving market technicals and relatively high current yields. Even with an expected increase in default rates to 2.8% in the coming year, forecasted spreads seem to indicate only a modest widening. That being said, dispersion is on the rise and we are of the view that credit selectivity will likely be an important driver of returns going forward. At the sector level, we remain cautious toward consumer-oriented sectors but more positive on corporate spending and the commercial cycle broadly. In addition, we continue to take profits in Wireless and have been decreasing exposures in Packaging given our view of the potential for hurricane-related volatility in that industry. /s/ Martha Metcalf ------------------------------------- Martha Metcalf* Chief Investment Officer /s/Steven B. Plump ------------------------------------- Steven B. Plump** Chief Executive Officer and President 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 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. * Martha B. Metcalf is a Managing Director of Credit Suisse Asset Management, LLC ("Credit Suisse") and head of the U.S. High Yield Management Team. She has served in these capacities since 2005. As of November 2005, she is primarily responsible for the management of the Fund's assets. From 2000 until 2005, she was a Managing Director and Portfolio Manager of Global High Yield bonds, and head of a global high yield business with responsibility for total return, as well as structured portfolios at Invesco. Prior to her tenure at Invesco, Ms. Metcalf served for over ten years at JP Morgan Investment Management, where she was Vice President and Portfolio Manager for High Yield Corporate bonds. ** Steven B. Plump is a Managing Director of Credit Suisse and CEO/President of the Fund. He joined Warburg Pincus Asset Management ("WPAM") in 1995 and came to Credit Suisse in 1999 when it acquired WPAM. ---------- (1) Based on NAV and assuming reinvestment of dividends of $0.21 per share. (2) The Merrill Lynch U.S. High Yield Master II Constrained Index is an unmanaged index that tracks the performance of below investment grade U.S. dollar-denominated corporate bonds issued in the U.S. domestic market where each issuer's allocation is limited to 2% of the index. Investors cannot invest directly in an index. In order to ensure that the index the Fund is benchmarked against is best aligned with the Fund's emphasis on diversification and risk management, effective February 28, 2006, this index replaces the Citigroup High Yield Market Index, a broad-based, unmanaged index of high-yield securities that is compiled by Citigroup Global Markets Inc. TOP TEN HOLDINGS (% OF NET ASSETS AS OF 6/30/06) Security Description 1. Ford Motor Credit Co. 1.37% 6.625%, 06/16/08 2. General Motors Acceptance Corp. 1.22% 5.625%, 05/15/09 3. RH Donnelley Corp. 0.89% 6.875%, 01/15/13 4. Charter Communication Holdings II 0.83% 10.250%, 09/15/10 5. Tenet Healthcare Corp. 0.77% 9.875%, 07/01/14 6. Allied Waste North America, Inc. 0.76% 7.375%, 04/15/14 7. Chesapeake Energy Corp. 0.75% 6.875%, 01/15/16 8. El Paso Production Holding Co. 0.73% 7.750%, 06/01/13 9. Qwest Corp. 0.73% 7.625%, 06/15/15 10. Ford Motor Credit Co. 0.69% 7.000%, 10/01/13
CREDIT QUALITY BREAKDOWN (% OF TOTAL INVESTMENTS AS OF 6/30/06) S&P RATINGS BBB 0.8% BB 10.6 B 57.5 CCC 28.7 CC 0.4 D 0.5 N/R 0.4 ----- Subtotal 98.9 Time Deposit 0.4 Equities and Other 0.7 ----- Total 100.0% =====
1 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. SCHEDULE OF INVESTMENTS June 30, 2006 (unaudited)
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ ---------- DOMESTIC SECURITIES (88.7%) CORPORATE OBLIGATIONS (87.7%) AEROSPACE/DEFENSE (1.3%) $ 600 DRS Technologies, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.81) (B, B3) 02/01/18 7.625 $ 600,000 450 DRS Technologies, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $103.44) (B, B3) 11/01/13 6.875 435,375 475 K&F Acquisition, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $103.88) (B-, Caa1) 11/15/14 7.750 470,250 925 L-3 Communication Corp., Global Senior Subordinated Notes (Callable 01/15/10 @ $102.94) (BB+, Ba3) 01/15/15 5.875 867,187 250 Sequa Corp., Senior Notes (BB-, B1) 08/01/09 9.000 265,000 ---------- 2,637,812 ---------- AGRICULTURE (0.5%) 1,000 Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 11/01/07 @ $108.00) ~ (B, B3) 11/01/10 10.500 1,050,000 ---------- APPAREL/TEXTILES (1.1%) 600 Levi Strauss & Co., Global Senior Notes (Callable 01/15/10 @ $104.88) (B-, B3) 01/15/15 9.750 603,000 735 Levi Strauss & Co., Global Senior Notes (Callable 12/15/07 @ $106.13) (B-, B3) 12/15/12 12.250 815,850 400 Phillips Van-Heusen Corp., Global Senior Notes (Callable 02/15/08 @ $103.63) (BB, B1) 02/15/11 7.250 398,000 500 Propex Fabrics, Inc., Global Company Guaranteed Notes (Callable 12/01/08 @ $105.00) (B-, B3) 12/01/12 10.000 460,000 ---------- 2,276,850 ---------- AUTO LOANS (3.9%) 1,650 Ford Motor Credit Co. Global Notes (B+, Ba2) 10/01/13 7.000 1,421,973 2,970 Ford Motor Credit Co., Notes (B+, Ba2) 06/16/08 6.625 2,828,082 2,650 General Motors Acceptance Corp., Global Notes (BB, Ba1) 05/15/09 5.625 2,522,198 1,435 General Motors Acceptance Corp., Global Notes (BB, Ba1) 12/01/14 6.750 1,334,933 ---------- 8,107,186 ---------- AUTO PARTS & EQUIPMENT (3.1%) 525 Accuride Corp., Global Company Guaranteed Notes (Callable 02/01/10 @ $104.25) (B-, B3) 02/01/15 8.500 506,625 650 Altra Industrial Motion, Inc., Global Secured Notes (Callable 12/01/08 @ $104.50) (CCC+, B3) 12/01/11 9.000 656,500 800 American Tire Distributors Holdings, Inc., Global Senior Notes (Callable 04/01/09 @ $105.38) (CCC+, Caa2) 04/01/13 10.750 732,000 395 ArvinMeritor, Inc., Notes (BB, Ba3) 03/01/12 8.750 387,100 775 Cambridge Industries, Inc., Senior Subordinated Notes ^ (NR, NR) 07/15/07 10.250 0 400 Cooper-Standard Automotive, Inc., Global Company Guaranteed Notes (Callable 12/15/09 @ $104.19) (B, Caa1) 12/15/14 8.375 317,500 1,200 Goodyear Tire & Rubber Co., Global Senior Notes (Callable 07/01/10 @ $104.50) (S) (B-, B3) 07/01/15 9.000 1,152,000 700 Insurance Auto Auctions, Inc., Global Company Guaranteed Notes (Callable 04/01/09 @ $105.50) (CCC+, Caa1) 04/01/13 11.000 693,000 450 Keystone Automotive Operations, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $104.88) (B-, Caa1) 11/01/13 9.750 427,500 40 Meritor Automotive, Inc., Notes (BB-, Ba3) 02/15/09 6.800 38,800 400 Stanadyne Corp., Global Senior Subordinated Notes (Callable 08/15/09 @ $105.00) (CCC+, Caa1) 08/15/14 10.000 376,000 350 Tenneco Automotive, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $104.31)(S) (B-, B3) 11/15/14 8.625 350,875 900 Visteon Corp., Global Senior Notes (S) (B-, B3) 08/01/10 8.250 846,000 ---------- 6,483,900 ---------- AUTOMOTIVE (0.6%) 750 General Motors Corp., Global Debentures Notes (S) (B-, Caa1) 07/15/33 8.375 607,500 700 General Motors Corp., Senior Notes (S) (B-, Caa1) 07/15/13 7.125 579,250 ---------- 1,186,750 ---------- BEVERAGE (0.1%) 250 Le-Natures, Inc., Rule 144A, Senior Subordinated Notes (Callable 06/15/08 @ $104.25) ~ (CCC+, B3) 06/15/13 9.000 264,687 ---------- BROKERAGE (0.3%) 175 E*Trade Financial Corp., Global Senior Notes (Callable 06/15/08 @ $104.00) (B+, Ba2) 06/15/11 8.000 179,375 315 E*Trade Financial Corp., US Domestic Senior Notes (Callable 12/01/10 @ $103.94) (B+, Ba2) 12/01/15 7.875 324,450 ---------- 503,825 ----------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 2
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ ---------- CORPORATE OBLIGATIONS BUILDING & CONSTRUCTION (1.5%) $ 500 K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes (BB, Ba1) 01/15/16 6.250 $ 436,250 600 KB HOME, Senior Notes (BB+, Ba1) 06/15/15 6.250 536,482 625 Standard Pacific Corp., Senior Notes (S) (BB, Ba2) 08/15/15 7.000 557,812 750 Technical Olympic USA, Inc., Global Senior Subordinated Notes (S) (B-, B2) 01/15/15 7.500 628,125 125 Technical Olympic USA, Inc., Rule 144A, Private Placement Senior Notes ~ (B+, Ba3) 04/01/11 8.250 117,187 600 WCI Communities, Inc. Company Guaranteed Notes (Callable 05/01/07 @ $104.56) (B+, Ba3) 05/01/12 9.125 565,500 250 William Lyon Homes, Inc., Global Senior Notes (Callable 02/15/09 @ $103.75) (B, B2) 02/15/14 7.500 208,750 ---------- 3,050,106 ---------- BUILDING MATERIALS (3.7%) 750 Associated Materials, Inc., Global Senior Discount Notes (Callable 03/01/09 @ $105.63) @ (CCC, Caa3) 03/01/14 0.000 455,625 300 Building Materials Corp. of America, Global Secured Notes (Callable 08/01/09 @ $103.88) (B+, B2) 08/01/14 7.750 288,000 1,000 Coleman Cable, Inc., Global Company Guaranteed Notes (Callable 10/10/08 @ $104.94) (B-, B3) 10/01/12 9.875 930,000 750 Compression Polymers Holding Corp., Rule 144A, Senior Notes (Callable 07/01/09 @ $105.25) ~ (B-, B2) 07/01/13 10.500 768,750 300 Dayton Superior Corp., Company Guaranteed Notes (Callable 06/15/07 @ $102.17) (CCC-, Caa3) 06/15/09 13.000 263,250 500 Dayton Superior Corp., Global Secured Notes (Callable 06/15/07 @ $102.81) (CCC+, Caa1) 09/15/08 10.750 510,000 875 Goodman Global Holding Co., Inc., Global Senior Subordinated Notes (Callable 12/15/08 @ $103.94) (S) (B-, B3) 12/15/12 7.875 840,000 400 Interface, Inc., Global Senior Subordinated Notes (Callable 02/01/09 @ $104.75) (CCC, Caa3) 02/01/14 9.500 415,000 325 Norcraft Cos/Norcraft Finance Corp., Global Senior Subordinated Notes (Callable 11/01/07 @ $104.50) (B-, B3) 11/01/11 9.000 332,312 250 Norcraft Holdings L.P./Norcraft Capital, Global Senior Discount Notes (Callable 09/01/08 @ $104.88) @ (B-, Caa1) 09/01/12 9.750 203,750 750 NTK Holdings, Inc., Global Senior Discount Notes (Callable 09/01/09 @ $105.38) (CCC+, Caa2) 03/01/14 0.000 546,562 900 Ply Gem Industries, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $104.50) (B-, B3) 02/15/12 9.000 823,500 500 RMCC Acquisition Co., Rule 144A, Senior Subordinated Notes (Callable 11/01/08 @ $104.75) ~ (CCC+, Caa1) 11/01/12 9.500 522,500 700 THL Buildco (Nortek), Inc., Global Senior Subordinated Notes (Callable 09/01/09 @ $104.25) (B-, NR) 09/01/14 8.500 680,750 800 Werner Holdings Co., Inc., Series A, Company Guaranteed Notes O (D, C) 11/15/07 10.000 208,000 ---------- 7,787,999 ---------- CHEMICALS (2.6%) 322 BCP Crystal Holdings Corp., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.81) (B, B3) 06/15/14 9.625 350,980 455 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 0.000 358,312 350 Equistar Chemicals LP/Equistar Funding Corp., Global Senior Notes (Callable 05/01/07 @ $105.31) (BB-, B2) 05/01/11 10.625 377,562 264 Huntsman Co. LLC, Global Company Guaranteed Notes (Callable 07/15/08 @ $105.75) (B, B2) 07/15/12 11.500 296,340 225 Huntsman Co. LLC, Global Company Guaranteed Notes (Callable 10/15/07 @ $105.81) (BB-, Ba3) 10/15/10 11.625 249,750 600 KI Holdings, Inc., Global Senior Discount Notes (Callable 11/15/09 @ $104.94) @ (B-, Caa1) 11/15/14 0.000 432,000 750 Lyondell Chemical Co., Global Company Guaranteed (Callable 06/01/08 @ $105.25) (BB-, Ba3) 06/01/13 10.500 828,750 300 Millennium America, Inc., Global Company Guaranteed Notes (B+, B1) 06/15/08 9.250 309,000 750 Nalco Co., Global Senior Notes (Callable 11/15/07 @ $103.88) (B-, B2) 11/15/11 7.750 751,875 275 Nalco Finance Holdings, Inc., Global Senior Notes (Callable 02/01/09 @ $104.50) @ (B-, Caa2) 02/01/14 0.000 207,625 575 Polyone Corp., Global Company Guaranteed Notes (Callable 05/15/07 @ $105.31) (B+, B3) 05/15/10 10.625 621,000 175 Polyone Corp., Senior Notes (B+, B3) 05/01/12 8.875 176,531 357 Terra Capital, Inc., Global Secured Notes (Callable 06/01/07 @ $105.75) (B-, B2) 06/01/10 11.500 390,915 ---------- 5,350,640 ---------- COMPUTER HARDWARE (0.1%) 240 Activant Solutions, Inc., Rule 144A, Private Placement Senior Subordinated Notes (Callable 05/01/11 @ $104.75) ~ (CCC+, Caa1) 05/01/16 9.500 233,400 ---------- CONSUMER - PRODUCTS (3.1%) 725 AAC Group Holding Corp., Global Senior Discount Notes (Callable 10/01/08 @ $105.13) @ (CCC+, Caa1) 10/01/12 0.000 569,125 950 Amscan Holdings, Inc., Global Senior Subordinated Notes (Callable 05/01/09 @ $104.38) (B-, Caa1) 05/01/14 8.750 836,000 750 Del Laboratories, Inc., Global Company Guaranteed Notes (CCC, Caa2) 02/01/12 8.000 627,187 800 Jarden Corp., Company Guaranteed Notes (Callable 05/01/07 @ $104.87) (B-, B3) 05/01/12 9.750 820,000 970 Playtex Products, Inc., Global Company Guaranteed Notes (Callable 06/01/07 @ $103.125) (CCC+, Caa1) 06/01/11 9.375 1,014,862 819 Prestige Brands, Inc., Global Senior Subordinated Notes (Callable 04/15/08 @ $104.63) (S) (B-, B3) 04/15/12 9.250 806,715 500 Revlon Consumer Products Corp., Global Senior Notes (Callable 04/01/08 @ $104.75) (CCC, Caa2) 04/01/11 9.500 440,000 525 Samsonite Corp., Global Senior Subordinated Notes (Callable 06/01/08 @ $104.44) (B, B3) 06/01/11 8.875 547,312
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 3
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ------ ------------- -------- ------ ---------- CORPORATE OBLIGATIONS CONSUMER - PRODUCTS $ 450 True Temper Sports, Inc., Company Guaranteed Notes (CCC+, Caa1) 09/15/11 8.375 $ 411,750 500 William Lyon Homes, Inc., Global Senior Notes (Callable 12/15/08 @ $103.81) (B, B2) 12/15/12 7.625 417,500 ---------- 6,490,451 ---------- DIVERSIFIED CAPITAL GOODS (0.9%) 250 Amsted Industries, Inc., Rule 144A, Senior Notes (Callable 10/15/07 @ $105.13) ~ (B, B3) 10/15/11 10.250 268,750 300 Blount, Inc., Senior Subordinated Notes (Callable 08/01/08 @ $104.44) (B-, Caa1) 08/01/12 8.875 300,000 0 JII Holdings LLC, Global Secured Notes (Callable 01/01/07 @ $100.00) @@ (CCC-, Caa3) 04/01/07 13.000 340 575 Sensus Metering Systems, Inc., Global Senior Subordinated Notes (Callable 12/15/08 @ $104.31) (B-, Caa1) 12/15/13 8.625 563,500 875 TriMas Corp., Global Company Guaranteed Notes (Callable 06/15/07 @ $104.94) (CCC+, Caa1) 06/15/12 9.875 805,000 ---------- 1,937,590 ---------- ELECTRIC - GENERATION (1.8%) 37 AES Corp., Senior Notes (B, B1) 06/01/09 9.500 38,872 400 AES Corp., Senior Notes (B, B1) 03/01/14 7.750 404,000 800 Calpine Generating Co., Global Secured Notes (Callable 04/01/08 @ $103.50) (D, NR) 04/01/10 7.756 834,000 500 Dynegy Holdings, Inc., Rule 144A, Private Placement Senior Unsecured Notes ~ (B-, B2) 05/01/16 8.375 495,000 500 Edison Mission Energy, Senior Notes (B+, B1) 06/15/09 7.730 507,500 400 Midwest Generation LLC, Global Secured Notes (Callable 05/01/09 @ $104.38) (B, Ba3) 05/01/34 8.750 426,000 375 NRG Energy, Inc., Senior Notes (Callable 02/01/11 @ $103.69) (B-, B1) 02/01/16 7.375 366,562 500 Reliant Energy, Inc., Global Secured Notes (Callable 07/15/08 @ $104.75) (B, B2) 07/15/13 9.500 505,000 250 Reliant Energy, Inc., Secured Notes (Callable 12/15/09 @ $103.38) (B+, B2) 12/15/14 6.750 231,250 ---------- 3,808,184 ---------- ELECTRIC - INTEGRATED (0.7%) 400 Allegheny Energy Supply Company LLC, Global Notes (BB-, Ba3) 03/15/11 7.800 417,000 250 CMS Energy Corp., Global Senior Notes (B+, B1) 08/01/10 7.750 255,000 350 CMS Energy Corp., Senior Notes (B+, B1) 01/15/09 7.500 356,125 500 Mirant Americas Generation LLC, Senior Notes ^O (NR, NR) 05/01/06 7.625 0 300 Mirant Corp., Rule 144A, Private Placement Senior Notes ~O (NR, NR) 07/15/04 7.400 3,750 300 Sierra Pacific Resources, Global Senior Notes (Callable 03/15/09 @ $104.31) (B-, B1) 03/15/14 8.625 319,304 ---------- 1,351,179 ---------- ELECTRONICS (2.0%) 1,350 Amkor Technology, Inc., Global Senior Notes (CCC+, Caa1) 05/15/13 7.750 1,226,812 250 Amkor Technology, Inc., Senior Unsecured Notes (Callable 06/01/11 @ $104.63) (CCC+, Caa1) 06/01/16 9.250 238,125 169 Ampex Corp., Secured Notes ^ (NR, NR) 08/15/08 12.000 169,049 700 Sanmina-SCI Corp., Senior Subordinated Notes (Callable 03/01/11 @ $104.06) (B, B1) 03/01/16 8.125 686,000 775 Spansion, Inc., Rule 144A, Private Placement Senior Notes (Callable 01/15/11 @ $105.62) ~ (B, Caa1) 01/15/16 11.250 784,687 450 UCAR Finance, Inc. Company Guaranteed (Callable 02/15/07 @ $102.13) (B-, B2) 02/15/12 10.250 477,000 600 Viasystems, Inc., Senior Subordinated Notes (CCC+, Caa2) 01/15/11 10.500 591,000 ---------- 4,172,673 ---------- ENERGY - EXPLORATION & PRODUCTION (2.0%) 250 Belden & Blake Corp., Global Secured Notes (Callable 07/15/08 @ $104.38) (CCC+, B3) 07/15/12 8.750 255,000 1,627 Chesapeake Energy Corp., Senior Notes (Callable 01/15/09 @ $103.44) (BB, Ba2) 01/15/16 6.875 1,545,650 1,500 El Paso Production Holding Co., Global Company Guaranteed Notes (Callable 06/01/08 @ $103.88) (B+, B1) 06/01/13 7.750 1,518,750 400 Forest Oil Corp., Global Senior Notes (B+, Ba3) 06/15/08 8.000 410,500 200 Range Resources, Corp., Global Company Guaranteed Notes (Callable 03/15/10 @ $103.19) (B, B2) 03/15/15 6.375 185,500 300 Whiting Petroleum Corp., Senior Subordinated Notes (B-, B2) 05/01/12 7.250 289,500 ---------- 4,204,900 ---------- ENVIRONMENTAL (1.6%) 900 Aleris International, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $104.50) (B+, B3) 11/15/14 9.000 920,250 1,650 Allied Waste North America, Inc., Series B, Senior Notes (Callable 04/15/09 @ $103.69) (S) (B+, Caa1) 04/15/14 7.375 1,575,750 750 Waste Services, Inc., Global Senior Subordinated Notes (Callable 04/15/09 @ $104.75) (CCC, Caa2) 04/15/14 9.500 761,250 ---------- 3,257,250 ----------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 4
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ------ ------------- -------- ------ ---------- CORPORATE OBLIGATIONS FOOD & DRUG RETAILERS (1.1%) $ 500 Duane Reade, Inc., Global Senior Subordinated Notes (Callable 08/01/08 @ $104.88) (S) (CCC, Caa3) 08/01/11 9.750 $ 405,000 750 Rite Aid Corp., Global Company Guaranteed Notes (Callable 01/15/10 @ $103.75) (B+, B2) 01/15/15 7.500 723,750 1,125 Stater Brothers Holdings, Inc., Global Senior Notes (Callable 06/15/08 @ $104.06) (BB-, B1) 06/15/12 8.125 1,116,562 ---------- 2,245,312 ---------- FOOD - WHOLESALE (1.0%) 100 Agrilink Foods, Inc., Company Guaranteed Notes (Callable 11/01/06 @ $101.98) (B-, B3) 11/01/08 11.875 102,375 471 Eagle Family Foods, Inc., Series B, Company Guaranteed Notes (Callable 07/17/06 @ $100.00) (CCC, Caa2) 01/15/08 8.750 382,281 400 National Beef Packing Co. LLC, Global Senior Notes (Callable 08/01/07 @ $105.25) (B-, B3) 08/01/11 10.500 406,000 700 Pinnacle Foods Holding Corp., Global Senior Subordinated Notes (Callable 12/01/08 @ $104.13) (B-, B3) 12/01/13 8.250 691,250 250 Swift & Co., Global Company Guaranteed Notes (Callable 10/01/06 @ $105.06) (B-, B3) 10/01/09 10.125 255,625 300 Swift & Co., Global Senior Subordinated Notes (Callable 10/01/06 @ 106.25) (CCC+, Caa1) 01/01/10 12.500 300,000 ---------- 2,137,531 ---------- FORESTRY/PAPER (2.5%) 525 Boise Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/09 @ $103.56) (B+, B2) 10/15/14 7.125 467,250 850 Cellu Tissue Holdings, Inc., Global Secured Notes (Callable 03/15/07 @ $107.31) (B, B2) 03/15/10 9.750 833,000 475 Georgia-Pacific Corp., Debentures Notes (B, B2) 06/15/15 7.700 456,000 775 Graphic Packaging International Corp., Senior Subordinated Notes (Callable 08/15/08 @ $104.75) (S) (B-, B3) 08/15/13 9.500 771,125 375 Newark Group, Inc., Global Senior Subordinated Notes (Callable 03/15/09 @ $104.88) (B-, Caa1) 03/15/14 9.750 348,750 450 NewPage Corp., Global Secured Notes (Callable 05/01/09 @ $106.00) (CCC+, B3) 05/01/12 10.000 468,000 550 NewPage Corp., Global Senior Subordinated Notes (Callable 05/01/09 @ $106.00) (S) (CCC+, Caa2) 05/01/13 12.000 572,000 1,250 Stone Container Corp., Global Senior Notes (Callable 07/01/07 @ $104.19) (CCC+, B2) 07/01/12 8.375 1,187,500 ---------- 5,103,625 ---------- GAMING (4.8%) 400 Aztar Corp., Global Senior Subordinated Notes (Callable 06/15/09 @ $103.94) (B+, Ba3) 06/15/14 7.875 425,000 900 CCM Merger, Inc., Rule 144A, Notes (Callable 08/01/09 @ $104.00) ~ (CCC+, B3) 08/01/13 8.000 855,000 175 Circus & Eldorado/Silver Legacy Capital Corp., Global First Mortgage Notes (Callable 03/01/07 @ $105.06) (B, B2) 03/01/12 10.125 185,719 740 Hard Rock Hotel, Inc., Global Notes (Callable 06/01/08 @ $104.44) (B, B3) 06/01/13 8.875 798,275 300 Herbst Gaming, Inc., Global Senior Subordinated Notes (Callable 06/01/08 @ $104.06) (B-, NR) 06/01/12 8.125 303,750 975 Inn of the Mountain Gods, Global Senior Notes (Callable 11/15/07 @ $106.00) (B, B3) 11/15/10 12.000 1,040,812 400 Isle of Capri Casinos, Inc., Global Senior Subordinated Notes (Callable 03/01/09 @ $103.50) (B, B2) 03/01/14 7.000 379,500 500 Jacobs Entertainment, Rule 144A, Private Placement Senior Notes (Callable 06/15/10 @ $104.88) ~ (B-, B3) 06/15/14 9.750 505,000 475 Majestic Star Casino LLC, Company Guaranteed Notes (Callable 10/15/07 @ $104.75) (BB-, B2) 10/15/10 9.500 499,938 700 Majestic Star Casino LLC, Rule 144A, Private Placement Secured Notes (Callable 10/15/08 @ $104.88) ~ (B-, B3) 01/15/11 9.750 705,250 375 MGM Mirage, Inc., Company Guaranteed Notes (BB, Ba2) 09/15/10 8.500 391,406 450 MGM Mirage, Inc., Company Guaranteed Notes (B+, Ba3) 02/01/11 8.375 463,500 500 OED Corp., Global Company Guaranteed Notes (Callable 04/15/08 @ $104.38) (B, B2) 04/15/12 8.750 505,625 200 Pokagon Gaming Authority, Rule 144A, Private Placement Senior Notes (Callable 06/15/10 @ $105.19) ~ (B, B3) 06/15/14 10.375 207,750 600 Resorts International Hotel and Casino, Inc., Global Company Guaranteed Notes (Callable 03/15/07 @ $106.00) (B, B2) 03/15/09 11.500 651,000 400 River Rock Entertainment Authority, Senior Notes (Callable 11/01/07 @ $104.88) (B+, B2) 11/01/11 9.750 423,000 100 Seneca Gaming Corp., Global Senior Notes (Callable 05/01/08 @ $103.63) (BB-, B2) 05/01/12 7.250 97,375 500 Trump Entertainment Resorts, Inc., Secured Notes (Callable 06/01/10 @ $104.25) (S) (B-, Caa1) 06/01/15 8.500 483,125 199 Waterford Gaming LLC, Rule 144A, Senior Notes ~ (BB-, B1) 09/15/12 8.625 210,940 900 WYNN Las Vegas LLC, Global 1st Mortgage Notes (Callable 12/01/09 @ $103.31) (B+, B2) 12/01/14 6.625 852,750 ---------- 9,984,715 ---------- GAS DISTRIBUTION (1.2%) 500 El Paso Corp., Senior Notes (B, B2) 05/15/11 7.000 495,625 250 El Paso Natural Gas, Series A, Global Senior Notes (Callable 08/01/07 @ $103.81) (B+, Ba2) 08/01/10 7.625 255,625 525 Inergy LP/Inergy Finance Corp., Global Guaranteed Notes (Callable 03/01/11 @ $104.13) (B, B1) 03/01/16 8.250 532,875 1,175 Williams Companies, Inc., Notes (BB-, Ba2) 03/15/12 8.125 1,224,938 ---------- 2,509,063 ----------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 5
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ ---------- CORPORATE OBLIGATIONS HEALTH SERVICES (4.2%) $ 800 CDRV Investors, Inc., Global Senior Discount Notes (Callable 01/01/10 @ $104.81) @ (B-, Caa2) 01/01/15 0.000 $ 544,000 250 Concentra Operating Corp., Global Company Guaranteed Notes (Callable 08/15/07 @ $104.75) (B-, B3) 08/15/10 9.500 260,000 500 Fisher Scientific International Inc., Global Senior Subordinated Notes (Callable 08/15/09 @ $103.38) (BB+, Ba2) 08/15/14 6.750 500,625 350 HCA, Inc., Notes (BB+, Ba1) 10/01/12 6.300 330,932 800 Healthsouth Corp., Rule 144A, Private Placement Senior Notes (Callable 06/15/11 @ $105.38) ~ (CCC+, B3) 06/15/16 10.750 788,000 650 Iasis Healthcare LLC/Iasis Capital Corp., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.38) (B-, B3) 06/15/14 8.750 640,250 250 Medquest, Inc., Series B, Company Guaranteed Notes (Callable 08/15/07 @ $105.94) (CCC, Caa3) 08/15/12 11.875 233,125 550 Stewart Enterprises, Inc., Global Senior Notes (Callable 02/15/09 @ $103.13) (B+, B1) 02/15/13 6.250 503,938 1,575 Tenet Healthcare Corp., Global Senior Notes (B, B3) 07/01/14 9.875 1,582,875 500 Tenet Healthcare Corp., Rule 144A, Senior Notes ~ (B, B3) 02/01/15 9.250 492,500 1,050 Triad Hospitals, Inc., Senior Subordinated Notes (B+, B3) 11/15/13 7.000 1,026,375 800 Universal Hospital Services, Inc., Global Senior Notes (Callable 11/01/07 @ $105.06) (B-, B3) 11/01/11 10.125 836,000 950 Vanguard Health Holding II, Global Senior Subordinated Notes (Callable 10/01/09 @ $104.50) (CCC+, Caa1) 10/01/14 9.000 952,375 100 VWR International, Inc., Global Senior Subordinated Notes (Callable 04/15/09 @ $104.00) (B-, Caa1) 04/15/14 8.000 97,625 ---------- 8,788,620 ---------- HOTELS (0.9%) 500 Bluegreen Corp., Series B, Company Guaranteed Notes (Callable 07/17/06 @ $100.00) (B-, B3) 04/01/08 10.500 497,500 425 Felcor Lodging LP, Global Company Guaranteed Notes (B, Ba3) 06/01/11 8.500 452,625 200 Host Marriott LP, Global Senior Notes (Callable 11/01/08 @ $103.56) (BB, Ba2) 11/01/13 7.125 200,250 825 Host Marriott LP., Rule 144A, Private Placement Senior Notes (Callable 06/01/11 @ $103.38) ~ (BB, Ba2) 06/01/16 6.750 790,969 ---------- 1,941,344 ---------- HOUSEHOLD & LEISURE PRODUCTS (1.3%) 650 ALH Finance LLC, Senior Subordinated Notes (Callable 01/15/09 @ $104.25) (S) (CCC+, B3) 01/15/13 8.500 630,500 400 Ames True Temper, Inc., Global Company Guaranteed Notes (Callable 01/15/07 @ $103.00) # (CCC+, Caa1) 01/15/12 7.141 395,000 600 Ames True Temper, Inc., Senior Subordinated Notes (Callable 07/15/08 @ $105.00) (S) (CCC-, Caa2) 07/15/12 10.000 492,000 100 Remington Arms Co., Inc., Global Company Guaranteed Notes (Callable 02/01/07 @ $105.25) (CCC-, Caa1) 02/01/11 10.500 86,500 600 Sealy Mattress Co., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.13) (B-, B2) 06/15/14 8.250 603,000 525 Simmons Bedding Co., Global Senior Subordinated Notes (Callable 01/15/09 @ $103.94) (S) (B-, Caa1) 01/15/14 7.875 493,500 ---------- 2,700,500 ---------- INVESTMENTS & MISCELLANEOUS FINANCIAL SERVICES (0.2%) 500 Cardtronics, Inc., Rule 144A, Senior Subordinated Notes (Callable 08/15/09 @ $104.63) ~ (B-, Caa1) 08/15/13 9.250 495,000 ---------- LEISURE (0.7%) 350 Bally Total Fitness Holding Corp., Global Senior Notes (Callable 07/15/07 @ $105.25) (CCC, Caa1) 07/15/11 10.500 367,063 550 Six Flags, Inc., Global Senior Notes (Callable 04/15/08 @ $104.88) (CCC, Caa1) 04/15/13 9.750 508,063 700 Six Flags, Inc., Global Senior Notes (Callable 06/01/09 @ $104.81) (CCC, Caa1) 06/01/14 9.625 640,500 ---------- 1,515,626 ---------- MACHINERY (0.2%) 450 Case New Holland, Inc., Global Company Guaranteed Notes (Callable 08/01/07 @ $104.62) (BB-, Ba3) 08/01/11 9.250 475,875 ---------- MEDIA - BROADCAST (2.2%) 600 Allbritton Communication Co., Global Senior Subordinated Notes (Callable 12/15/07 @ $103.88) (B-, B3) 12/15/12 7.750 597,000 300 Fisher Communications, Inc., Global Senior Notes (Callable 09/15/09 @ $104.31) (B-, B2) 09/15/14 8.625 312,000 575 Nextar Finance, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $103.50) (CCC+, B3) 01/15/14 7.000 526,125 800 Paxson Communications Corp., Rule 144A, Private Placement Secured Notes (Callable 01/15/08 @ $102.00)~# (CCC-, B3) 01/15/13 10.777 806,000 500 Sinclair Broadcast Group, Inc., Global Company Guaranteed Notes (Callable 03/15/07 @ $104.00) (B, B2) 03/15/12 8.000 510,000 750 Sirius Satellite Radio, Inc., Global Senior Unsecured Notes (Callable 09/01/09 @ $104.81) (S) (CCC, Caa1) 08/01/13 9.625 706,875 400 Xm Satellite Radio, Inc., Rule 144A, Private Placement Senior Notes (Callable 05/01/08 @ $102.00) ~# (CCC, Caa2) 05/01/13 9.649 369,000 800 Young Broadcasting, Inc., Global Company Guaranteed Notes (Callable 03/01/07 @ $103.33) (CCC-, Caa2) 03/01/11 10.000 716,000 ---------- 4,543,000 ----------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 6
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ ----------- CORPORATE OBLIGATIONS MEDIA - CABLE (5.8%) $ 750 Atlantic Broadband Finance LLC, Rule 144A, Senior Subordinated Notes (Callable 01/15/09 @ $104.69) ~ (CCC+, Caa1) 01/15/14 9.375 $ 708,750 792 CCH I LLC, Global Secured Notes (Callable 10/01/10 @ $105.50) (CCC-, Caa3) 10/01/15 11.000 696,960 1,150 CCO Holdings LLC/Cap Corp., Global Senior Notes (Callable 11/15/08 @ $104.38) (CCC-, NR) 11/15/13 8.750 1,127,000 1,700 Charter Communications Holdings II, Senior Notes (Callable 09/15/08 @ $105.13) (CCC-, Caa1) 09/15/10 10.250 1,712,750 1,325 Charter Communications Holdings LLC, Senior Notes (Callable 04/01/07 @ $100.00) (S) (CCC-, Ca) 04/01/09 8.625 1,026,875 1,200 CSC Holdings, Inc., Rule 144A, Senior Notes ~ (B+, B2) 04/15/12 6.750 1,164,000 1,380 CSC Holdings, Inc., Series B, Senior Notes (B+, B2) 04/01/11 7.625 1,386,900 2,976 DIVA Systems Corp., Series B, Senior Discount Notes (Callable 07/17/06 @ $100.00) ^O (NR, NR) 03/01/08 12.625 29,762 750 Echostar DBS Corp., Global Company Guaranteed Notes (BB-, Ba3) 10/01/14 6.625 706,875 525 GCI, Inc., Global Senior Notes (Callable 02/15/09 @ $103.63) (B+, B2) 02/15/14 7.250 509,250 250 Insight Communications Co., Inc., Senior Discount Notes (Callable 02/15/07 @ $104.08) @ (CCC+, Caa1) 02/15/11 0.000 265,000 500 Insight Midwest/Insight Capital, Global Senior Notes (Callable 11/01/06 @ $103.50) (B, B2) 11/01/10 10.500 523,750 500 Insight Midwest/Insight Capital, Senior Notes (Callable 10/01/06 @ $101.63) (B, B2) 10/01/09 9.750 511,250 1,175 Mediacom Broadband LLC, Global Senior Notes (Callable 10/15/10 @ $104.25) (B, B2) 10/15/15 8.500 1,133,875 525 Mediacom LLC/Capital Corp., Senior Notes (Callable 02/15/07 @ $101.97) (B, B3) 02/15/11 7.875 501,375 ----------- 12,004,372 ----------- MEDIA - SERVICES (0.3%) 811 WMG Holdings Corp., Global Senior Discount Notes (Callable 12/15/09 @ $104.75) @ (B-, B3) 12/15/14 0.000 587,975 ----------- METALS/MINING EXCLUDING STEEL (0.9%) 500 Alpha Natural Resources, Company Guaranteed Notes (Callable 06/01/08 @ $105.00) (B-, B3) 06/01/12 10.000 537,500 500 American Rock Salt Co. LLC, Global Secured Notes (Callable 03/15/09 @ $104.75) (B-, B3) 03/15/14 9.500 508,750 675 Southern Copper Corp., Global Senior Notes (BBB-, Baa2) 07/27/35 7.500 647,818 300 Wise Metals Group LLC, Global Secured Notes (Callable 05/15/08 @ $105.13) (CCC+, Caa1) 05/15/12 10.250 262,500 ----------- 1,956,568 ----------- NON-FOOD & DRUG RETAILERS (4.7%) 769 Affinity Group Holding, Global Senior Subordinated Notes (Callable 02/15/08 @ $105.44) >> (CCC+, Caa1) 02/15/12 10.875 754,108 250 Affinity Group, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $104.50) (CCC+, B3) 02/15/12 9.000 250,000 675 Asbury Automotive Group Co., Global Company Guaranteed Notes (Callable 06/15/07 @ $104.50) (B, B3) 06/15/12 9.000 671,625 750 Brookstone Company, Inc., Rule 144A, Secured Notes (Callable 10/15/09 @ $106.00) ~ (B, B3) 10/15/12 12.000 663,750 775 CSK Auto, Inc., Global Company Guaranteed Notes (Callable 01/15/09 @ $103.50) (B-, B3) 01/15/14 7.000 775,969 600 Finlay Fine Jewelry Corp., Global Senior Notes (Callable 06/01/08 @ $104.19) (S) (B-, B3) 06/01/12 8.375 525,000 703 Flooring America, Inc., Series B, Company Guaranteed Notes (Callable 12/13/06 @ $100.00) ^O (NR, NR) 10/15/07 9.250 0 400 General Nutrition Centers, Inc., Global Company Guaranteed Notes (Callable 01/15/08 @ $104.31) (B-, B3) 01/15/11 8.625 402,500 425 General Nutrition Centers, Inc., Global Senior Subordinated Notes (Callable 12/01/07 @ $104.25) (B-, B3) 12/01/10 8.500 413,313 350 Gregg Appliances, Inc., Global Company Guaranteed Notes (Callable 02/01/09 @ $104.50) (B, B2) 02/01/13 9.000 324,625 850 GSC Holdings Corp., Global Company Guaranteed Notes (Callable 10/01/09 @ $104.00) (S) (B+, Ba3) 10/01/12 8.000 854,250 500 Intcomex, Inc., Rule 144A, Secured Notes (Callable 01/15/07 @ $106.00) ~ (B-, Caa1) 01/15/11 11.750 498,750 220 National Wine & Spirits, Inc., Company Guaranteed Notes (Callable 01/15/07 @ $100.00) (CCC+, B3) 01/15/09 10.125 221,100 500 Nebraska Book Co., Inc., Global Senior Subordinated Notes (Callable 03/15/08 @ $104.31) (CCC, Caa1) 03/15/12 8.625 467,500 1,000 Neiman Marcus Group, Inc., Rule 144A, Senior Subordinated Notes (Callable 10/15/10 @ $105.19) ~ (S) (B-, B3) 10/15/15 10.375 1,067,500 650 PCA LLC/PCA Finance Corp., Global Senior Notes (NR, Ca) 08/01/09 11.875 149,500 800 Rent-Way, Inc., Global Secured Notes (B-, B3) 06/15/10 11.875 827,000 625 Stripes Acquisition LLC, Rule 144A, Private Placement Senior Notes (Callable 12/15/09 @ $105.31) ~ (B, B2) 12/15/13 10.625 662,500 250 United Auto Group, Inc., Global Company Guaranteed Notes (Callable 03/15/07 @ $104.81) (B, B3) 03/15/12 9.625 262,500 ----------- 9,791,490 ----------- OFFICE EQUIPMENT (0.5%) 950 Xerox Corp., Senior Notes (Callable 06/15/08 @ $103.81) (BB+, Ba2) 06/15/13 7.625 961,875 ----------- OIL REFINING & MARKETING (0.2%) 200 Giant Industries, Inc., Company Guaranteed Notes (Callable 05/15/09 @ $104.00) (B-, B3) 05/15/14 8.000 198,500 162 Giant Industries, Inc., Global Company Guaranteed Notes (Callable 05/15/07 @ $105.50) (B-, B3) 05/15/12 11.000 176,580 ----------- 375,080 -----------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 7
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ ---------- CORPORATE OBLIGATIONS PACKAGING (3.7%) $ 600 Amtrol, Inc., Senior Subordinated Notes (CCC-, Ca) 12/31/06 10.625 $ 540,000 725 Berry Plastics Corp., Global Company Guaranteed Notes (Callable 07/15/07 @ $105.38) (B-, B3) 07/15/12 10.750 788,438 1,050 Constar International Inc., Senior Subordinated Notes (Callable 12/01/07 @ $105.50) (S) (CCC, Caa3) 12/01/12 11.000 792,750 650 Covalence Specialty Materials Corp., Rule 144A, Private Placement Senior Subordinated Notes (Callable 03/01/11 @ $105.13) ~ (CCC+, B3) 03/01/16 10.250 627,250 485 Crown Americas LLC, Rule 144A, Private Placement Senior Notes (Callable 11/15/10 @ $103.88) ~ (B, B1) 11/15/15 7.750 480,150 175 Graham Packaging Co., Inc., Global Company Guaranteed Notes (Callable 10/15/08 @ $104.25) (CCC+, Caa1) 10/15/12 8.500 172,375 825 Graham Packaging Co., Inc., Global Subordinated Notes ( Callable 10/15/09 @ $104.94) (S) (CCC+, Caa2) 10/15/14 9.875 820,875 425 Intertape Polymer U.S., Inc., Global Senior Subordinated Notes (Callable 08/01/09 @ $104.25) (B-, B3) 08/01/14 8.500 393,125 680 Owens-Brockway Glass, Global Company Guaranteed Notes (Callable 05/15/08 @ $104.13) (B, B2) 05/15/13 8.250 685,100 500 Plastipak Holdings, Inc., Rule 144A, Private Placement Senior Notes (Callable 12/15/10 @ $104.25) ~ (B, B2) 12/15/15 8.500 502,500 850 Pliant Corp., Company Guaranteed Notes (Callable 06/01/07 @ $102.17) O (NR, NR) 06/01/10 13.000 399,500 400 SGS International, Inc., Rule 144A, Private Placement Senior Subordinated Notes (Callable 12/15/09 @ $106.00) ~ (B-, Caa1) 12/15/13 12.000 402,000 1,200 Solo Cup Co., Global Senior Subordinated Notes (Callable 02/15/09 @ $104.25) (S) (B-, Caa1) 02/15/14 8.500 1,044,000 ---------- 7,648,063 ---------- PHARMACEUTICALS (0.3%) 650 Athena Neuro Finance LLC, Company Guaranteed Notes (B, B3) 02/21/08 7.250 648,375 ---------- PRINTING & PUBLISHING (4.5%) 775 American Media Operations, Inc., Series B, Global Company Guaranteed Notes (Callable 05/01/07 @ $100.00) (CCC, Caa1) 05/01/09 10.250 726,563 975 CBD Media Holdings/CBD Finance, Global Senior Notes (Callable 07/15/08 @ $104.63) (CCC+, Caa2) 07/15/12 9.250 975,000 625 Cenveo Corp., Global Senior Subordinated Notes (Callable 02/01/08 @ $103.94) (B, B3) 12/01/13 7.875 612,500 500 Dex Media, Inc., Global Discount Notes (Callable 11/15/08 @ $104.50) @ (B, B3) 11/15/13 0.000 423,750 800 Dex Media, Inc., Global Notes (Callable 11/15/08 @ $104.00) (B, B3) 11/15/13 8.000 808,000 750 Haights Cross Operating Co., Global Company Guaranteed Notes (Callable 08/15/08 @ $105.88) (CCC, Caa1) 08/15/11 11.750 771,563 575 Houghton Mifflin Co., Global Senior Subordinated Notes (Callable 02/01/08 @ $104.94) (B-, Caa1) 02/01/13 9.875 599,438 725 Houghton Mifflin Co., Global Senior Discount Notes (Callable 10/15/08 @ $105.75) @ (CCC+, Caa2) 10/15/13 0.000 601,750 2,000 Premier Graphics, Inc., Company Guaranteed Notes ^O (NR, NR) 12/01/05 11.500 0 2,000 RH Donnelley Corp., Rule 144A, Private Placement Senior Discount Notes (Callable 01/15/09 @ $103.44) ~ (B, Caa1) 01/15/13 6.875 1,850,000 250 RH Donnelley Corp., Rule 144A, Private Placement Senior Notes (Callable 01/15/11 @ $104.44) ~ (B, Caa1) 01/15/16 8.875 253,438 725 Vertis, Inc., Series B, Global Company Guaranteed Notes (Callable 06/15/07 @ $102.72) (S) (CCC, Caa2) 06/15/09 10.875 717,750 1,025 WDAC Subsidiary Corp., Rule 144A, Senior Notes ~ (CCC+, Caa1) 12/01/14 8.375 1,012,188 ---------- 9,351,940 ---------- REAL ESTATE DEVELOPMENT & MANAGEMENT (0.3%) 650 Ashton Woods, Global Senior Subordinated Notes (Callable 10/01/10 @ $104.75) (B-, B3) 10/01/15 9.500 578,500 ---------- RESTAURANTS (1.8%) 675 Buffets, Inc., Global Senior Subordinated Notes (Callable 07/15/06 @ $105.63) (CCC, B3) 07/15/10 11.250 701,156 750 Denny's Corp./Denny's Holdings Corp., Global Company Guaranteed Notes (Callable 10/01/08 @ $105.00) (S) (CCC+, Caa1) 10/01/12 10.000 750,000 600 Friendly Ice Cream Corp., Global Senior Notes (Callable 06/15/08 @ $104.19) (S) (CCC+, B3) 06/15/12 8.375 519,000 400 O'Charley's, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $104.50) (B, Ba3) 11/01/13 9.000 407,000 145 Romacorp, Inc., Senior Notes O (NR, NR) 12/31/08 10.500 43,500 850 Sbarro, Inc., Company Guaranteed Notes (Callable 09/15/06 @ $101.84) (S) (CCC+, Caa2) 09/15/09 11.000 870,188 700 Uno Restaurant Corp., Rule 144A, Senior Notes (Callable 02/15/08 @ $110.00) ~(S) (CCC+, B3) 02/15/11 10.000 539,000 ---------- 3,829,844 ---------- SOFTWARE/SERVICES (0.9%) 500 SunGard Data Systems, Inc., Rule 144A, Private Placement Senior Unsecured Notes (Callable 08/15/09 @ $104.563) ~ (B-, B3) 08/15/13 9.125 521,250 1,300 SunGard Data Systems, Inc., Rule 144A, Senior Subordinated Notes (Callable 08/15/10 @ $105.13) ~ (B-, Caa1) 08/15/15 10.250 1,350,375 ---------- 1,871,625 ----------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 8
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ ---------- CORPORATE OBLIGATIONS STEEL PRODUCERS/PRODUCTS (1.3%) $ 250 AK Steel Corp., Company Guaranteed Notes (Callable 02/15/07 @ $100.00) (B+, B1) 02/15/09 7.875 $ 250,000 575 AK Steel Corp., Global Company Guaranteed Notes (Callable 06/15/07 @ $103.88) (B+, B1) 06/15/12 7.750 566,375 750 Egden Acquisition Corp., Global Secured Notes (Callable 02/01/08 @ $104.94) (B-, B3) 02/01/11 9.875 735,000 525 International Steel Group, Inc., Global Senior Notes (BBB-, Ba1) 04/15/14 6.500 498,750 625 RathGibson, Inc., Rule 144A, Private Placement Senior Notes (Callable 02/15/10 @ $105.62) ~ (B-, B2) 02/15/14 11.250 646,875 83 WCI Steel Acquisition, Inc., Senior Notes (NR, NR) 05/01/16 8.000 81,666 250 WCI Steel, Inc., Senior Notes, Series B O (NR, NR) 12/01/04 10.000 11,175 ---------- 2,789,841 ---------- SUPPORT - SERVICES (3.7%) 400 Allied Security Escrow Corp., Global Senior Subordinated Notes (Callable 07/15/08 @ $105.69) (CCC+, Caa1) 07/15/11 11.375 390,000 600 Brand Services, Inc., Global Company Guaranteed (Callable 10/15/07 @ $106.00) (CCC+, Caa1) 10/15/12 12.000 679,500 684 Di Finance/Dyncorp International, Series B, Global Senior Subordinated Notes (Callable 02/15/09 @ $104.75) (B, B3) 02/15/13 9.500 714,780 100 Education Management LLC, Rule 144A, Private Placement Senior Notes (Callable 06/01/10 @ $104.30) ~ (CCC+, B3) 06/01/14 8.750 99,500 500 Education Management LLC, Rule 144A, Private Placement Senior Subordinated Notes (Callable 06/01/11 @ $105.13) ~ (CCC+, Caa1) 06/01/16 10.250 500,000 300 Hertz Corp., Rule 144A, Private Placement Senior Notes (Callable 01/01/10 @ $104.44) ~ (B, B1) 01/01/14 8.875 309,000 400 Hertz Corp., Rule 144A, Private Placement Senior Subordinated Notes (Callable 01/01/11 @ $105.25) ~ (B, B3) 01/01/16 10.500 426,000 800 Hydrochem Industrial Services, Inc., Rule 144A, Senior Subordinated Notes (Callable 02/15/09 @ $104.63) ~ (CCC+, Caa1) 02/15/13 9.250 776,000 350 Iron Mountain, Inc., Company Guaranteed Notes (Callable 04/01/07 @ $102.88) (B, Caa1) 04/01/13 8.625 351,750 300 Iron Mountain, Inc., Company Guaranteed Notes (Callable 07/01/08 @ $103.31) (B, Caa1) 01/01/16 6.625 271,500 1,100 Johnsondiversey Holdings, Inc., Global Discount Notes (Callable 05/15/07 @ $105.34) @ (CCC+, Caa1) 05/15/13 0.000 940,500 275 La Petite Academy, Inc., Series B, Company Guaranteed Notes (Callable 09/11/06 @ $100.00) (CC, Ca) 05/15/08 10.000 266,750 250 Language Line Holdings, Inc., Global Senior Subordinated Notes (Callable 06/15/08 @ $105.56) (CCC+, NR) 06/15/12 11.125 243,750 300 Muzak LLC/Muzak Finance Corp., Global Senior Notes (Callable 02/15/07 @ $102.50) (CCC-, Caa2) 02/15/09 10.000 253,500 425 United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 02/15/08 @ $103.25) (B+, B3) 02/15/12 6.500 403,750 675 United Rentals North America, Inc., Global Senior Subordinated Notes (Callable 02/15/09 @ $103.50) (B, Caa1) 02/15/14 7.000 620,156 525 Williams Scotsman, Inc., Global Company Guaranteed Notes (Callable 10/01/10 @ $104.25) (B+, B3) 10/01/15 8.500 521,063 ---------- 7,767,499 ---------- TELECOM - FIXED LINE (1.1%) 1,300 Level 3 Communications, Inc. (S) (CCC-, Ca) 03/15/10 6.000 1,083,875 475 Level 3 Financing, Inc., Global Company Guaranteed Notes (Callable 10/15/07 @ $105.38) (CCC-, B3) 10/15/11 10.750 490,438 219 Madison River Capital/Madison River Finance, Senior Notes (Callable 03/01/07 @ $102.21) (B-, B3) 03/01/10 13.250 229,425 500 Time Warner Telecom Holdings, Global Company Guaranteed Notes (Callable 02/15/09 @ $104.62) (CCC+, B2) 02/15/14 9.250 515,000 ---------- 2,318,738 ---------- TELECOM - INTEGRATED/SERVICES (3.2%) 1,050 Cincinnati Bell, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $104.19) (B-, B3) 01/15/14 8.375 1,039,500 525 Embarq Corp., Notes (BBB-, Baa3) 06/01/16 7.082 523,034 800 Hawaiian Telecom Communications, Inc., Global Company Guaranteed Notes (Callable 05/01/10 @ $106.25) (S) (CCC+, Caa1) 05/01/15 12.500 842,000 525 Hughes Network Systems LLC/HNS Finance Corp., Rule 144A, Private Placement Senior Notes (Callable 04/15/10 @ $104.25) ~ (B-, B1) 04/15/14 9.500 517,125 545 PanAmSat Corp., Global Company Guaranteed Notes (Callable 08/15/09 @ $104.50) (B, B2) 08/15/14 9.000 555,900 1,025 Qwest Communications International, Inc., Global Company Guaranteed Notes (Callable 02/15/08 @ $103.62) (B, B2) 02/15/11 7.250 999,375 300 Qwest Communications International, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $103.75) (B, B2) 02/15/14 7.500 294,000 1,530 Qwest Corp., Global Senior Notes (BB, Ba3) 06/15/15 7.625 1,518,525 225 Windstream Corp., Rule 144A, Private Placement Senior Notes ~ (BB-, Ba3) 08/01/13 8.125 230,625 225 Windstream Corp., Rule 144A, Private Placement Senior Notes (Callable 08/01/11 @ $104.31) ~ (BB-, Ba3) 08/01/16 8.625 231,188 ---------- 6,751,272 ----------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 9
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ ----- CORPORATE OBLIGATIONS TELECOM - WIRELESS (2.4%) $ 525 American Tower Corp., Global Senior Notes (Callable 10/15/08 @ $103.56) (BB-, B1) 10/15/12 7.125 $ 530,250 450 Centennial Cellular Operating Co./Centennial Communications Corp., Global Company Guaranteed Notes (Callable 06/15/08 @ $105.06) (CCC, B3) 06/15/13 10.125 475,875 625 Centennial Communications Corp. Global Senior Notes (Callable 01/01/09 @ $107.50) (CCC, Caa2) 01/01/13 10.000 621,875 455 Dobson Cellular Systems, Global Secured Notes (Callable 11/1/08 @ $104.94) (CCC, B2) 11/01/12 9.875 482,300 600 Dobson Communications Corp., Global Senior Notes (Callable 10/01/08 @ $104.44) (CCC, Caa2) 10/01/13 8.875 592,500 350 Horizon PCS, Inc., Global Company Guaranteed Notes (Callable 07/15/08 @ $105.69) (B-, NR) 07/15/12 11.375 395,063 250 IPCS, Inc., Global Senior Notes (Callable 05/01/08 @ $105.75) (B-, B3) 05/01/12 11.500 280,000 100 Rural Cellular Corp., Global Senior Notes (Callable 08/01/07 @ $104.94) (CCC, Caa1) 02/01/10 9.875 103,375 375 Rural Cellular Corp., Global Senior Subordinated Notes (Callable 05/01/07 @ $103.25) (CCC, Caa2) 01/15/10 9.750 375,469 525 Rural Cellular Corp., Rule 144A, Private Placement Senior Subordinated Notes (Callable 11/01/07 @ $102.00) ~# (CCC, Caa2) 11/01/12 10.041 541,406 700 Triton PCS, Inc., Company Guaranteed Notes (CCC-, Caa2) 06/01/13 8.500 645,750 ------------ 5,043,863 ------------ THEATERS & ENTERTAINMENT (0.7%) 400 AMC Entertainment, Inc., Global Senior Subordinated Notes (Callable 03/01/09 @ $104.00) (CCC+, B3) 03/01/14 8.000 368,500 650 AMC Entertainment, Inc., Senior Subordinated Notes (Callable 02/01/07 @ $104.94) (CCC+, B3) 02/01/12 9.875 650,000 200 Cinemark USA, Inc., Global Senior Subordinated Notes (Callable 02/01/08 @ $104.50) (B-, B3) 02/01/13 9.000 211,000 400 Cinemark, Inc., Global Senior Discount Notes (Callable 03/15/09 @ $104.88) @ (B-, Caa1) 03/15/14 0.000 312,000 ------------ 1,541,500 ------------ TRANSPORTATION EXCLUDING AIR/RAIL (0.2%) 195 H-Line Finance Holding Corp., Global Senior Discount Notes (Callable 04/01/08 @ $105.50) @ (CCC+, Caa2) 04/01/13 0.000 168,188 237 Horizon Lines LLC, Global Company Guaranteed Notes (Callable 11/01/08 @ $104.50) (CCC+, B3) 11/01/12 9.000 241,740 ------------ 409,928 ------------ TOTAL CORPORAT OBLIGATIONS (Cost $190,058,604) 182,823,941 ------------ ASSET BACKED SECURITIES (0.3%) 550 Park Place Securities, Inc., Rule 144A ~# (Cost $498,817) (BB+, Ba1) 10/25/34 7.568 514,684 ------------ NUMBER OF SHARES ------ COMMON STOCKS (0.7%) AUTO PARTS & EQUIPMENT (0.0%) 18,064 Safelite Glass Corp., Class B ^* 15,354 1,219 Safelite Realty Corp. ^* 9,752 ------------ 25,106 ------------ CHEMICALS (0.0%) 4,893 Huntsman Corp. * 84,747 ------------ CONSUMER - PRODUCTS (0.0%) 20,689 Continental AFA Dispensing Co. ^* 0 ------------ ELECTRIC - INTEGRATED (0.3%) 18,795 Mirant Corp. * 503,706 ------------ FOOD - WHOLESALE (0.3%) 590 Crunch Equity Holdings LLC * 560,885 ------------ HEALTH SERVICES (0.0%) 232 Magellan Health Services, Inc. * 10,512 ------------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 10
NUMBER OF SHARES VALUE --------- ------------ COMMON STOCKS PRINTING & PUBLISHING (0.1%) 206 Cenveo, Inc. * $ 3,698 10,652 Cenveo, Inc., Rule 144A ~* 191,203 ------------ 194,901 ------------ STEEL PRODUCERS/PRODUCTS (0.0%) 2,520 WCI Steel Acquisition, Inc. * 69,300 ------------ TELECOM - INTEGRATED/SERVICES (0.0%) 69,987 Digitalglobe, Inc. ^* 69,987 ------------ TOTAL COMMON STOCKS (Cost $1,775,491) 1,519,144 ------------ PREFERRED STOCKS (0.0%) MEDIA - CABLE (0.0%) 7,500 Adelphia Communications Corp., 13% cumulative exchangeable Series B (Callable 07/15/06 @ $102.17)* (Cost $750,000) 1,500 ------------ WARRANTS (0.0%) AEROSPACE/DEFENSE (0.0%) 6,290 Loral Space & Communications, strike price $23.70, expires 12/27/06 ^* 0 ------------ AUTO PARTS & EQUIPMENT (0.0%) 44,271 Safelite Glass Corp., strike price $0.01, Class A, expires 09/29/06 ^* 0 29,514 Safelite Glass Corp., strike price $0.01, Class B, expires 09/29/07 ^* 0 ------------ BUILDING MATERIALS (0.0%) 1,250 Dayton Superior Corp., strike price $0.01, Rule 144A, expires 06/15/09 ~^* 13 ------------ CHEMICALS (0.0%) 117 AGY Holding Corp., strike price $0.01, expires 01/01/10 ^* 1 ------------ GAMING (0.0%) 3,000 Mikohn Gaming Corp., strike price $7.70, expires 08/15/08 * 30 ------------ PACKAGING (0.0%) 747 Pliant Corp., strike price $0.01, expires 06/01/10 ^* 0 ------------ TELECOM - FIXED LINE (0.0%) 4 NTL, Inc., strike price $262.93, Series A, expires 01/13/11* 3 ------------ TOTAL WARRANTS (Cost $61,387) 47 ------------ TOTAL DOMESTIC SECURITIES (Cost $193,144,299) 184,859,316 ------------
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ----- ----- FOREIGN SECURITIES (10.2%) CORPORATE OBLIGATIONS (10.2%) APPAREL/TEXTILES (0.2%) $ 275 IT Holding Finance SA, Rule 144A, Senior Notes (Luxembourg) ~ (CCC+, Caa1) 11/15/12 9.875 318,224 -------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 11
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ ---------- CORPORATE OBLIGATIONS BUILDING MATERIALS (0.4%) $ 750 MAAX Corp., Global Senior Subordinated Notes (Callable 06/15/08 @ $104.88) (Canada) (CCC-, B3) 06/15/12 9.750 $ 615,937 500 MAAX Holdings, Inc., Global Senior Discount Notes (Callable 12/15/08 @ $105.62) (Canada) @ (CCC-, Caa3) 12/15/12 0.000 197,500 ---------- 813,437 ---------- CHEMICALS (1.1%) 500 Basell AF SCA, Rule 144A, Private Placement Company Guaranteed Notes (Callable 08/15/10 @ $104.19) (Luxembourg) ~ (B-, B2) 08/15/15 8.375 483,125 1,125 Ineos Group Holding Plc., Rule 144A, Private Placement Notes (Callable 02/15/11 @ $104.25) (United Kingdom) ~ (B-, NR) 02/15/16 8.500 1,058,906 373 Rhodia SA, Global Senior Notes (France) (CCC+, B3) 06/01/10 10.250 400,043 300 Rhodia SA., Global Senior Subordinated Notes (Callable 06/01/07 @ $104.44) (France) (B-, Caa1) 06/01/11 8.875 300,375 ---------- 2,242,449 ---------- DIVERSIFIED CAPITAL GOODS (0.3%) 425 Sensata Technologies BV., Rule 144A, Private Placement Notes (Callable 05/01/11 @ $104.50) (Netherlands) ~ (B-, Caa1) 05/01/16 9.000 536,905 ---------- ELECTRONICS (0.8%) 400 Avago Technologies Finance Pte., US/Wireless, Rule 144A, Private Placement Senior Subordinated Notes (Callable 12/01/10 @ $105.94) (Singapore) ~ (CCC+, Caa2) 12/01/15 11.875 437,000 600 Celestica, Inc., Senior Subordinated Notes (Callable 07/01/08 @ $103.94) (Canada) (B, B2) 07/01/11 7.875 592,500 650 Magnachip Semiconductor, Senior Subordinated Notes (Callable 12/15/09 @ $104.00) (South Korea) (B-, B2) 12/15/14 8.000 542,750 ---------- 1,572,250 ---------- FOOD & DRUG RETAILERS (0.5%) 1,125 Jean Coutu Group (PJC), Inc., Global Senior Subordinated Notes (Callable 08/01/09 @ $104.25) (Canada) (B-, Caa2) 08/01/14 8.500 1,040,625 ---------- FORESTRY/PAPER (1.4%) 700 Abitibi-Consolidated, Inc., Yankee Senior Notes (Canada) (B+, B1) 04/01/15 8.375 642,250 350 Abitibi-Consolidated, Inc., Global Notes (Canada) (B+, B1) 06/15/11 7.750 322,875 550 Bowater Canada Finance, Global Company Guaranteed (Canada) (B+, B1) 11/15/11 7.950 525,250 500 JSG Funding Plc, Global Senior Notes (Callable 10/01/07 @ $104.81) (Ireland) (B-, B3) 10/01/12 9.625 517,500 750 JSG Funding Plc, Senior Subordinated Notes (Callable 01/31/10 @ $103.88) (Ireland) (B-, Caa1) 04/01/15 7.750 682,500 250 Tembec Industries, Inc., Global Company Guaranteed Notes (Canada) (CCC-, Ca) 03/15/12 7.750 128,750 200 Tembec Industries, Inc., Yankee Company Guaranteed (Callable 06/30/07 @ $100.00) (Canada) (CCC-, Ca) 06/30/09 8.625 110,500 ---------- 2,929,625 ---------- LEISURE (0.4%) 150 Intrawest Corp., Global Senior Notes (Callable 10/15/08 @ $103.75) (Canada) (B+, B1) 10/15/13 7.500 150,000 750 NCL Corp., Global Senior Notes (Callable 07/15/09 @ $105.31) (Bermuda) (B+, B2) 07/15/14 10.625 740,625 ---------- 890,625 ---------- MEDIA - BROADCAST (0.0%) 4,600 Australis Holdings Pty. Ltd., Yankee Senior Discount Notes (Australia) ^O (NR, NR) 11/01/02 15.000 0 ---------- MEDIA - CABLE (0.9%) 500 Kabel Deutschland GmbH, Rule 144A, Company Guaranteed Notes (Callable 07/01/09 @ $105.31) (Germany) ~ (B-, B2) 07/01/14 10.625 530,000 400 Ono Finance Plc, Rule 144A, Company Guaranteed Notes (Callable 05/15/09 @ $105.25) (United Kingdom) ~ (CCC+, B3) 05/15/14 10.500 543,426 393 Telenet Group Holding NV, Rule 144A, Discount Notes (Callable 12/15/08 @ $105.75) (Belgium) ~@ (CCC+, Caa1) 06/15/14 0.000 335,033 400 Unity Media GMBH, Rule 144A, Private Placement Senior Notes (Callable 02/15/10 @ $105.06) (Germany) ~ (CCC+, Caa2) 02/15/15 10.125 493,559 ---------- 1,902,018 ----------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 12
PAR RATINGS+ (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ------ ----------- CORPORATE OBLIGATIONS MEDIA - DIVERSIFIED (0.1%) $ 150 Quebecor Media, Inc., Rule 144A, Private Placement Senior Notes (Callable 03/15/11 @ $103.88) (Canada) ~ (B, B2) 03/15/16 7.750 $ 147,750 ----------- METALS/MINING EXCLUDING STEEL (0.0%) 924 International Utility Structures, Inc., Subordinated Notes (Canada) ^O (NR, NR) 02/01/08 13.000 0 800 International Utility Structures, Inc., Yankee Senior Subordinated Notes (Canada) ^O (NR, NR) 02/01/08 10.750 0 ----------- 0 ----------- OIL FIELD EQUIPMENT & SERVICES (0.1%) 150 Titan Petrochemicals Group Ltd., Rule 144A, Company Guaranteed Notes (Bermuda) ~ (B+, B1) 03/18/12 8.500 128,625 ----------- PACKAGING (0.2%) 400 Gerresheimer Holdings GMBH, Rule 144A, Company Guaranteed Notes (Callable 02/15/10 @ $103.94) (Germany) ~ (B-, Caa1) 03/01/15 7.875 506,345 ----------- PHARMACEUTICALS (0.3%) 400 Biovail Corp. Yankee Senior Subordinated Notes (Callable 04/01/07 @ $101.969) (Canada) (BB-, B2) 04/01/10 7.875 407,000 275 Elan Finance Plc./Elan Finance Corp., Global Company Guaranteed Notes (Callable 11/15/08 @ $103.88) (Ireland) (B, B3) 11/15/11 7.750 264,000 ----------- 671,000 ----------- SUPPORT - SERVICES (0.3%) 675 Ashtead Holdings Plc., Rule 144A, Private Placement Secured Notes (Callable 08/01/10 @ $104.31) (United Kingdom) ~ (B, B2) 08/01/15 8.625 685,125 ----------- TELECOM - INTEGRATED/SERVICES (1.8%) 750 Global Crossing UK Finance Plc., Global Company Guaranteed Notes (Callable 12/15/09 @ $105.38) (United Kingdom) (B-, Caa1) 12/15/14 10.750 798,750 400 Hellas Telecom, Rule 144A, Secured Notes (Callable 10/15/06 @ $102.00) (Luxembourg) ~# (B, B1) 10/15/12 6.014 526,164 625 Intelsat Bermuda Ltd., Rule 144A, Private Placement Senior Notes (Callable 06/15/11 @ $105.62) (Bermuda) ~ (B, Caa1) 06/15/16 11.250 643,750 975 Intelsat Ltd., Global Notes (Bermuda) (B, Caa2) 04/15/12 7.625 809,250 250 Intelsat Subsidiary Holding Co., LTD., Global Senior Notes (Callable 01/15/09 @ $104.13) (Bermuda) (B+, B2) 01/15/13 8.250 249,375 575 Nordic Tel Co., Holdings, Rule 144A, Private Placement Notes (Callable 05/01/07 @ $102.00) (Denmark) ~# (B, B2) 05/01/16 8.352 766,471 ----------- 3,793,760 ----------- TELECOM - WIRELESS (0.3%) 500 Millicom International Cellular S.A., Global Senior Notes (Callable 12/01/08 @ $105.00) (Luxembourg) (B-, B3) 12/01/13 10.000 560,000 ----------- TELECOMMUNICATIONS - EQUIPMENT (0.1%) 275 Nortel Networks Ltd., Private Placement Company Guaranteed Notes (Canada) # (B-, B3) 07/15/11 9.731 281,188 ----------- TRANSPORTATION EXCLUDING AIR/RAIL (1.0%) 700 Sea Containers Ltd., Series B, Yankee Senior Notes (Callable 08/18/06 @ $100.00) (Bermuda) (S) (CC, Caa3) 02/15/08 7.875 633,500 1,350 Ship Finance International Ltd., Global Senior Notes (Callable 12/15/08 @ $104.25) (Bermuda) (B, B1) 12/15/13 8.500 1,289,250 250 Stena AB, Global Senior Notes (Callable 12/01/09 @ $103.50) (Sweden) (BB-, Ba3) 12/01/16 7.000 231,250 ----------- 2,154,000 ----------- TOTAL FOREIGN CORPORATE OBLIGATIONS (Cost $25,210,059) 21,173,951 ----------- NUMBER OF SHARES ------ COMMON STOCKS (0.0%) TELECOM - INTEGRATED/SERVICES (0.0%) 7,498 Colt Telecom Group Plc. (United Kingdom) (Cost $5,422) 8,113 ----------- TOTAL FOREIGN SECURITIES (Cost $25,215,481) 21,182,064 -----------
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 13
PAR (000) MATURITY RATE% VALUE ----- -------- ----- ------------ SHORT-TERM INVESTMENTS (10.9%) $ 776 Wells Fargo-Grand Cayman overnight deposit (USD) 07/03/06 4.250 $ 776,000 NUMBER OF SHARES ----------- 21,926,930 Securities Lending Investment Fund, a series of the Brown Brothers Investment Trust PIE 21,926,930 ------------ TOTAL SHORT-TERM INVESTMENTS (Cost $22,702,930) 22,702,930 ------------ TOTAL INVESTMENTS (109.8%) (Cost $241,062,710) 228,744,310 ------------ LIABILITIES IN EXCESS OF OTHER ASSETS (-9.8%) (20,353,643) ------------ NET ASSETS (100%) Applicable to 49,895,588 issued and outstanding $0.001 par value shares (authorized 100,000,000 shares) $208,390,667 ============
INVESTMENT ABBREVIATIONS NR = Not Rated + 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, 2006, these securities amounted to a value of $36,161,548 or 17.4% of net assests. ^ 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. # Variable rate obligation -- the interest rate shown is the rate as of June 30, 2006. + Step Bond -- The interest rate stated is the rate as of June 30, 2006. O Security in default. * Non-income producing security. >> Payment-in-kind ++ Less then 1,000 par. (S) Security or a portion thereof is out on loan. PIE Represents security purchased with cash collateral received for securities on loan. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 14 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. STATEMENT OF ASSETS AND LIABILITIES June 30, 2006 (unaudited) ASSETS Investments at value, including collateral for securities on loan of $21,926,930 (Cost $241,062,710) (Note 2) $ 228,744,310(1) Cash 335,759 Interest receivable 4,497,037 Other assets 16,808 ------------- Total Assets 233,593,914 ------------- LIABILITIES Investment advisory fees (Note 3) 244,201 Administrative fees (Note 3) 21,232 Payable upon return of securities loaned (Note 2) 21,926,930 Dividend payable 1,496,868 Payable for investments purchased 1,344,481 Unrealized depreciation on foreign currency transactions 61,197 Printing fees (Note 3) 26,908 Directors' fees (Note 3) 17,141 Other accrued expenses 64,289 ------------- Total Liabilities 25,203,247 ------------- NET ASSETS $ 208,390,667 ============= NET ASSETS CONSIST OF Capital stock at $0.001 par value $ 49,896 Paid-in capital 390,325,868 Distributions in excess of net investment income (4,267,192) Accumulated net realized loss on investments and foreign currency transactions (165,296,076) Unrealized depreciation on investments and foreign currency translations (12,421,829) Net Assets applicable to 49,895,588 issued and outstanding ------------- shares (authorized 100,000,000 shares) $ 208,390,667 ============= NET ASSET VALUE PER SHARE $ 4.18 ============= MARKET PRICE PER SHARE $ 3.96 =============
(1) Including $21,473,465 of securities on loan SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 15 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. STATEMENT OF OPERATIONS For the Six Months Ended June 30, 2006 (unaudited) INVESTMENT INCOME Interest (Net of foreign taxes withheld of $141) (Note 2) $ 9,308,300 Securities lending 19,008 ----------- Total investment income 9,327,308 ----------- EXPENSES Investment advisory fees (Note 3) 485,272 Custodian fees 59,507 Administrative fees (Note 3) 48,527 Directors' fees and expenses 39,546 Printing fees (Note 3) 37,192 Legal fees 31,737 Shareholder servicing fees 31,241 Audit and tax fees 22,935 Miscellaneous 16,455 ----------- Total expenses 772,412 ----------- Net investment income 8,554,896 ----------- NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS AND FOREIGN CURRENCY RELATED ITEMS Net realized loss from investments (789,660) Net realized loss on foreign currency transactions (Note 2) (48,750) Net change in unrealized appreciation (depreciation) from investments (383,999) ----------- Net realized and unrealized loss from investments and foreign currency related items (1,222,409) ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 7,332,487 ===========
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 16 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE YEAR JUNE 30, 2006 ENDED (UNAUDITED) DECEMBER 31, 2005 ---------------- ----------------- FROM OPERATIONS Net investment income $ 8,554,896 $ 17,793,325 Net realized loss on investments and foreign currency transactions (838,410) (3,520,742) Net change in unrealized appreciation (depreciation) of investments and foreign currency translations (383,999) (10,401,483) ------------ ------------ Net increase in net assets resulting from operations 7,332,487 3,871,100 ------------ ------------ FROM DISTRIBUTIONS Net investment income (10,478,073) (19,491,595) Return of capital -- (217,186) ------------ ------------ Total distributions (10,478,073) (19,708,781) ------------ ------------ Total decrease in net assets (3,145,586) (15,837,681) ------------ ------------ NET ASSETS Beginning of period 211,536,253 227,373,934 ------------ ------------ End of period $208,390,667 $211,536,253 ============ ============ Distributions in excess of net investment income $ (4,267,192) $ (2,344,015) ============ ============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 17 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. FINANCIAL HIGHLIGHTS
FOR THE SIX MONTHS YEAR ENDED ENDED DECEMBER 31, 6/30/06 --------------------- (UNAUDITED) 12/31/05 12/31/04 ----------- -------- -------- PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period $ 4.24 $ 4.56 $ 4.41 -------- -------- -------- Offering Costs -- -- -- -------- -------- -------- INVESTMENT ACTIVITIES Net investment income 0.17 0.36 0.35 Net realized and unrealized gain (loss) on investments and futures contracts (0.02) (0.28) 0.22 -------- -------- -------- Total from investment activities 0.15 0.08 0.57 -------- -------- -------- DISTRIBUTIONS Net investment income (0.21) (0.40) (0.40) Return of capital -- (0.00)(2) (0.02) -------- -------- -------- Total distributions (0.21) (0.40) (0.42) -------- -------- -------- Decrease in net asset value due to shares issued through rights offering -- -- -- -------- -------- -------- NET ASSET VALUE, END OF PERIOD $ 4.18 $ 4.24 $ 4.56 ======== ======== ======== PER SHARE MARKET VALUE, END OF PERIOD $ 3.96 $ 3.67 $ 4.45 ======== ======== ======== TOTAL INVESTMENT RETURN Net asset value(1) 3.87% 1.74% 13.55% Market value 12.88% (9.76)% 8.60 RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000s omitted) $208,391 $211,536 $227,374 Ratio of expenses to average net assets including expense offsets 0.73%** 0.82% 0.78% Ratio of expenses to average net assets 0.73%** 0.82% 0.78% Ratio of net investment income to average net assets 8.13%** 8.20% 8.08% Portfolio turnover rate 30.6% 61.5% 57.8%
+ Calculated using the average share method. * Adjusted for Rights Offering. ** Annualized. (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) This amount represents less then $(0.01) per share. (3) 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. (4) 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. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 18
YEAR ENDED DECEMBER 31, ---------------------------------------------------------------------------------------- 12/31/03 12/31/02 12/31/01(3) 12/31/00 12/31/99 12/31/98 12/31/97 12/31/96 -------- -------- ----------- -------- -------- -------- -------- -------- PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period $ 3.91 $ 4.74 $ 5.70 $ 7.34 $ 7.77 $ 8.44 $ 8.12 $ 8.63 -------- -------- -------- -------- -------- -------- -------- -------- Offering Costs -- -- -- -- -- -- -- (0.02) -------- -------- -------- -------- -------- -------- -------- -------- INVESTMENT ACTIVITIES Net investment income 0.37 0.42 0.61+ 0.67 0.75 0.71 0.69 0.75 Net realized and unrealized gain (loss) on investments and futures contracts 0.58 (0.55) (0.85) (1.55) (0.46) (0.66) 0.39 0.18 -------- -------- -------- -------- -------- -------- -------- -------- Total from investment activities 0.95 (0.13) (0.24) (0.88) 0.29 0.05 1.08 0.93 -------- -------- -------- -------- -------- -------- -------- -------- DISTRIBUTIONS Net investment income (0.43) (0.62) (0.72) (0.76) (0.72) (0.72) (0.76) (0.90) Return of capital (0.02) (0.08) -- -- -- -- -- -- -------- -------- -------- -------- -------- -------- -------- -------- Total distributions (0.45) (0.70) (0.72) (0.76) (0.72) (0.72) (0.76) (0.90) -------- -------- -------- -------- -------- -------- -------- -------- Decrease in net asset value due to shares issued through rights offering -- -- -- -- -- -- -- (0.52) -------- -------- -------- -------- -------- -------- -------- -------- NET ASSET VALUE, END OF PERIOD $ 4.41 $ 3.91 $ 4.74 $ 5.70 $ 7.34 $ 7.77 $ 8.44 $ 8.12 ======== ======== ======== ======== ======== ======== ======== ======== PER SHARE MARKET VALUE, END OF PERIOD $ 4.50 $ 3.88 $ 4.98 $ 5.56 $ 6.06 $ 7.56 $ 8.75 $ 7.63 ======== ======== ======== ======== ======== ======== ======== ======== TOTAL INVESTMENT RETURN Net asset value(1) 24.59% (5.26)% (6.04)% (12.37)% 4.50% 0.47% 14.03% 10.59%* Market value 28.11% (10.52)% 1.15% 3.55% (11.32)% (5.68)% 25.90% 10.05%* RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000s omitted) $219,864 $195,089 $236,652 $197,817 $254,857 $269,507 $291,959 $280,634 Ratio of expenses to average net assets including expense offsets 0.78% 0.79% 1.07% 0.78% 0.78% 0.81% 0.84% 0.94% Ratio of expenses to average net assets 0.78% 0.79% 1.07% 0.78% 0.78% 0.81% 0.84% 0.95% Ratio of net investment income to average net assets 8.83% 9.93% 11.66% 10.10% 9.90% 8.59% 8.47% 9.23% Portfolio turnover rate 77.8% 61.1% 50.1%(4) 39.1% 43.5% 84.7% 97.7% 81.0%
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 19 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. NOTES TO FINANCIAL STATEMENTS June 30, 2006 (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 than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. 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 144A securities that have been determined to be liquid under procedures established by the Board of Directors). 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. 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. 20 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 ("Credit Suisse"), 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. 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, 2006, 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, 2006, the Fund had the following forward foreign currency contracts.
FOREIGN FORWARD FOREIGN EXPIRATION CURRENCY CONTRACT CONTRACT UNREALIZED CURRENCY CONTRACT DATE TO BE SOLD AMOUNT VALUE LOSS ---------------------- ---------- ----------------- ---------- ---------- ---------- European Economic Unit 9/26/06 (euro)(2,954,000) $3,799,041 $3,737,844 $(61,197)
J) SECURITIES LENDING -- Loans of securities are required at all times to be secured by collateral at least equal to 102% of the market value of domestic securities on loan (including any accrued interest thereon) and 105% of the market value of foreign securities on loan (including any accrued interest thereon). Cash collateral received by the Fund in connection with securities lending activity may be invested in a variety of investments, including certain Credit Suisse advised funds, funds advised by BBH&Co., the Fund's securities lending agent, or money 21 market instruments. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. BBH&Co. has been engaged by the Fund to act as the Fund's securities lending agent. The Fund's securities lending arrangement provides that the Fund and BBH&Co. will share net income earned from the securities lending activities. During the six months ended June 30, 2006, total earnings from the Fund's investment in cash collateral received in connection with securities lending arrangements was $61,979, of which $38,219 was rebated to borrowers (brokers). The Fund retained $19,008 in income from the cash collateral investment and BBH&Co., as lending agent, was paid $4,752. The Fund may also be entitled to certain minimum amounts of income from its securities lending activities. Securities lending income is accrued as earned. K) 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 capital gains realized on the sale of such investments. The Fund accrues such taxes when the related income is earned or gains are realized. 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 Credit Suisse serves as investment adviser for the Fund. For its investment advisory services, Credit Suisse 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, 2006, investment advisory fees earned were $485,272. Credit Suisse Asset Management Limited ("Credit Suisse U.K."), an affiliate of Credit Suisse, is sub-investment adviser to the Fund. Credit Suisse U.K.'s sub-investment advisory fees are paid by Credit Suisse out of Credit Suisse's net investment advisory fee and are not paid by the Fund. 22 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, 2006, BBH&Co. earned administrative service fees (including out-of-pocket expenses) of $48,527. The Independent Directors receive fifty percent (50%) of their annual retainer in the form of shares purchased by the Fund's transfer agent in the open market. Merrill Corporation ("Merrill"), an affiliate of Credit Suisse, has been engaged by the Fund to provide certain financial printing services. For the six months ended June 30, 2006, Merrill was paid $29,489 for its services to the Fund. NOTE 4. LINE OF CREDIT The Fund, together with other funds/portfolios advised by Credit Suisse (collectively, the "Participating Funds"), participates in a $75 million committed, unsecured line of credit facility ("Credit Facility") for temporary or emergency purposes with Deutsche Bank, A.G. as administrative agent and syndication agent and State Street Bank and Trust Company as operations agent. Under the terms of the Credit Facility, the Participating Funds pay an aggregate commitment fee at a rate of 0.10% per annum on the average unused amount of the Credit Facility, which is allocated among the Participating Funds in such manner as is determined by the governing Boards of the Participating Funds. In addition, the Participating Funds pay interest on borrowings at the Federal Funds rate plus 0.50%. At June 30, 2006 and during the six months ended June 30, 2006, the Fund had no borrowings under the Credit Facility. NOTE 5. PURCHASES AND SALES OF SECURITIES For the six months ended June 30, 2006, the Fund had no investments in U.S. Government and Agency Obligations. Purchases and sales of investment securities (excluding short-term investments) were $70,397,339 and $62,929,370, respectively. At June 30, 2006, 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 depreciation from investments were $241,062,710, $3,631,529, $(15,949,929) and $(12,318,400), respectively. NOTE 6. 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 7. 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. 23 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. RESULTS OF ANNUAL MEETING OF SHAREHOLDERS (UNAUDITED) On April 20, 2006, the Annual Meeting of Shareholders of The Credit Suisse Asset Management Income Fund, Inc. (the "Fund") was held and the following matter was voted upon: (1) To elect three directors to the Board of Directors of the Fund:
NAME OF DIRECTOR FOR WITHHELD ---------------- ---------- --------- Lawrence J. Fox (Class II) 42,200,481 1,095,635 Lawrence D. Haber (Class II) 42,138,534 1,157,582 James J. Cattano (Class I) 42,114,016 1,182,100
In addition to the directors elected at the meeting, Enrique R. Arzac and Steven N. Rappaport continue to serve as Directors of the Fund. Also, effective July 1, 2006, Terry Fires Bovarnick was appointed to serve as a director of the Fund. 24 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. ADDITIONAL INFORMATION (UNAUDITED) DESCRIPTION OF INVESTLINK(SM) PROGRAM The InvestLink(SM) Program is sponsored and administered by Computershare Shareholder Services, Inc., not by Credit Suisse Asset Management Income Fund, Inc. (the "Fund"). Computershare Shareholder Services, Inc. will act as program administrator (the "Program Administrator") of the InvestLink(SM) Program (the "Program"). The purpose of the Program is to provide interested investors with a simple and convenient way to invest funds and reinvest dividends in shares of the Fund's common stock ("Shares") at prevailing prices, with reduced brokerage commissions and fees. An interested investor may join the Program at any time. Purchases of Shares with funds from a participant's cash payment or automatic account deduction will begin on the next day on which funds are invested. If a participant selects the dividend reinvestment option, automatic investment of dividends generally will begin with the next dividend payable after the Program Administrator receives his enrollment form. Once in the Program, a person will remain a participant until he terminates his participation or sells all Shares held in his Program account, or his account is terminated by the Program Administrator. A participant may change his investment options at any time by requesting a new enrollment form and returning it to the Program Administrator. A participant will be assessed certain charges in connection with his participation in the Program. First-time investors will be subject to an initial service charge which will be deducted from their initial cash deposit. All optional cash deposit investments will be subject to a service charge. Sales processed through the Program will have a service fee deducted from the net proceeds, after brokerage commissions. In addition to the transaction charges outlined above, participants will be assessed per share processing fees (which include brokerage commissions.) Participants will not be charged any fee for reinvesting dividends. The number of Shares to be purchased for a participant depends on the amount of his dividends, cash payments or bank account or payroll deductions, less applicable fees and commissions, and the purchase price of the Shares. The Program Administrator uses dividends and funds of participants to purchase Shares of the Fund's common stock in the open market. Such purchases will be made by participating brokers as agent for the participants using normal cash settlement practices. All Shares purchased through the Program will be allocated to participants as of the settlement date, which is usually three business days from the purchase date. In all cases, transaction processing will occur within 30 days of the receipt of funds, except where temporary curtailment or suspension of purchases is necessary to comply with applicable provisions of the Federal Securities laws or when unusual market conditions make prudent investment impracticable. In the event the Program Administrator is unable to purchase Shares within 30 days of the receipt of funds, such funds will be returned to the participants. The average price of all Shares purchased by the Program Administrator with all funds received during the time period from two business days preceding any investment date up to the second business day preceding the next investment date shall be the price per share allocable to a participant in connection with the Shares purchased for his account with his funds or dividends received by the Program Administrator during such time period. The average price of all Shares sold by the Program Administrator pursuant to sell orders received during such time period shall be the price per share allocable to a participant in connection with the Shares sold for his account pursuant to his sell orders received by the Program Administrator during such time period. Computershare Shareholder Services, Inc., 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 25 the participant. In addition, each participant will receive copies of the Fund's annual and semi-annual reports to shareholders, proxy statements and, if applicable, dividend income information for tax reporting purposes. If the Fund is paying dividends on the Shares, a participant will receive dividends through the Program for all Shares held on the dividend record date on the basis of full and fractional Shares held in his account, and for all other Shares of the Fund registered in his name. The Program Administrator will send checks to the participants for the amounts of their dividends that are not to be automatically reinvested at no cost to the participants. Shares of the Fund purchased under the Program will be registered in the name of the accounts of the respective participants. Unless requested, the Fund will not issue to participants certificates for Shares of the Fund purchased under the Program. The Program Administrator will hold the Shares in book-entry form until a Program participant chooses to withdraw his Shares or terminate his participation in the Program. The number of Shares purchased for a participant's account under the Program will be shown on his statement of account. This feature protects against loss, theft or destruction of stock certificates. A participant may withdraw all or a portion of the Shares from his Program account by notifying the Program Administrator. After receipt of a participant's request, the Program Administrator will issue to such participant certificates for the whole Shares of the Fund so withdrawn or, if requested by the participant, sell the Shares for him and send him the proceeds, less applicable brokerage commissions, fees, and transfer taxes, if any. If a participant withdraws all full and fractional Shares in his Program account, his participation in the Program will be terminated by the Program Administrator. In no case will certificates for fractional Shares be issued. The Program Administrator will convert any fractional Shares held by a participant at the time of his withdrawal to cash. Participation in any rights offering, dividend distribution or stock split will be based upon both the Shares of the Fund registered in participants' names and the Shares (including fractional Shares) credited to participants' Program accounts. Any stock dividend or Shares resulting from stock splits with respect to Shares of the Fund, both full and fractional, which participants hold in their Program accounts and with respect to all Shares registered in their names will be automatically credited to their accounts. All Shares of the Fund (including any fractional share) credited to his account under the Program will be voted as the participant directs. The participants will be sent the proxy materials for the annual meetings of shareholders. When a participant returns an executed proxy, all of such shares will be voted as indicated. A participant may also elect to vote his Shares in person at the Shareholders' meeting. A participant will receive tax information annually for his personal records and to help him prepare his U.S. federal income tax return. The automatic reinvestment of dividends does not relieve him of any income tax which may be payable on dividends. For further information as to tax consequences of participation in the Program, participants should consult with their own tax advisors. The Program Administrator in administering the Program will not be liable for any act done in good faith or for any good faith omission to act. However, the Program Administrator will be liable for loss or damage due to error caused by its negligence, bad faith or willful misconduct. Shares held in custody by the Program Administrator are not subject to protection under the Securities Investors Protection Act of 1970. The participant should recognize that neither the Fund nor the Program Administrator can provide any assurance of a profit or protection against loss on any Shares purchased under the program. A participant's investment in Shares held in his Program account is no different than his investment in directly held Shares in this regard. The participant bears the risk of loss and the benefits of gain from market price changes with respect to all his Shares. Neither the Fund nor the Program Administrator can guarantee that Shares purchased under the 26 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: Computershare Trust Company N.A., InvestLink Program, P.O. 43010, Providence, RI 02940-3010. 27 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. In cases where we believe that additional products and services may be of interest to you, we may share the information described above with our affiliates. We may also disclose this information to firms that perform services on our behalf. These agents and service providers are required to treat the information confidentially and use it only for the purpose for which it is provided. We restrict access to nonpublic personal information about you to those employees, agents or other parties who need to know that information to provide products or services to you or in connection with your investments with or through us. We maintain physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information. NOTE: THIS NOTICE IS PROVIDED TO CLIENTS AND PROSPECTIVE CLIENTS OF CREDIT SUISSE ASSET MANAGEMENT, LLC, ("CREDIT SUISSE"), AND CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., AND SHAREHOLDERS AND PROSPECTIVE SHAREHOLDERS IN CREDIT SUISSE-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 18, 2006. 28 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.credit-suisse.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 1-202-551-8090. 29 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. OTHER FUNDS MANAGED BY CREDIT SUISSE ASSET MANAGEMENT, LLC 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) LITERATURE REQUEST -- Call today for free descriptive information on the closed-end funds listed above at 1-800-293-1232 or visit our website on the Internet: http://www.credit-suisse.com/us. OPEN-END FUNDS 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 Blend Fund Credit Suisse Large Cap Value Fund Credit Suisse Mid-Cap Growth Fund Credit Suisse New York Municipal Fund Credit Suisse Short Duration Bond Fund Credit Suisse Small Cap Growth Fund Credit Suisse Small Cap Value Fund Credit Suisse Strategic Allocation 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. Performance information current to the most recent month-end is available at www.credit-suisse.com/us. Credit Suisse Asset Management Securities, Inc., Distributor. 30 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. SUMMARY OF GENERAL INFORMATION (UNAUDITED) Credit Suisse Asset Management Income Fund, Inc. is a closed-end, non-diversified management investment company whose shares trade on the American Stock Exchange, LLC. The Fund's American Stock Exchange trading symbol is CIK. Its investment objective is to seek current income. Credit Suisse Asset Management, LLC is part of the asset management business of Credit Suisse, one of the world's leading banks. With offices focused on asset management in 18 countries, Credit Suisse's asset management business is operated as a globally integrated network to deliver the bank's best investment ideas and capabilities to clients around the world. 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". Weekly comparative net asset value (NAV) and market price information about The Credit Suisse Asset Management 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." Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that the Credit Suisse Asset Management Income Fund, Inc. may from time to time purchase shares of its capital stock in the open market. 31 800-293-1232 - www.credit-suisse.com/us CIK-SAR-0606 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. This item is inapplicable to a semi-annual report on Form N-CSR. 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 1, 2006. 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 last 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 B. Plump ------------------------------------ Name: Steven B. Plump Title: Chief Executive Officer Date: September 5, 2006 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 B. Plump ------------------------------------ Name: Steven B. Plump Title: Chief Executive Officer Date: September 5, 2006 /s/ Michael A. Pignataro ------------------------------------ Name: Michael A. Pignataro Title: Chief Financial Officer Date: September 5, 2006