-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, L5sgD46AsCFR2288O6gmguCSRQdsosXMNMWxgPVzBb+iSDeHz0Rr5v6NcudLcZMa Vkbvj3kG/4ms5DJQ3SVbsQ== 0001047469-99-034717.txt : 19990906 0001047469-99-034717.hdr.sgml : 19990906 ACCESSION NUMBER: 0001047469-99-034717 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19990630 FILED AS OF DATE: 19990903 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CSAM INCOME FUND CENTRAL INDEX KEY: 0000810766 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] IRS NUMBER: 232451535 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-05012 FILM NUMBER: 99706061 BUSINESS ADDRESS: STREET 1: 153 EAST 53RD ST STREET 2: 8TH FL CITY: NEW YORK STATE: NY ZIP: 10022 BUSINESS PHONE: 6175578742 MAIL ADDRESS: STREET 1: 73 TREMONT ST STREET 2: 8TH FL CITY: BOSTON STATE: MA ZIP: 02108 FORMER COMPANY: FORMER CONFORMED NAME: BEA INCOME FUND INC DATE OF NAME CHANGE: 19950828 FORMER COMPANY: FORMER CONFORMED NAME: CS FIRST BOSTON INCOME FUND INC DATE OF NAME CHANGE: 19950420 FORMER COMPANY: FORMER CONFORMED NAME: FIRST BOSTON INCOME FUND INC DATE OF NAME CHANGE: 19920703 N-30D 1 N-30D Credit Suisse Asset Management Income Fund, Inc. 153 East 53rd Street New York, NY 10022 --------------------------------------------- OFFICERS AND DIRECTORS William W. Priest, Jr. Suzanne E. Moran CHAIRMAN OF THE BOARD INVESTMENT OFFICER Prof. Enrique R. Arzac Hal Liebes DIRECTOR SENIOR VICE PRESIDENT Lawrence J. Fox Michael A. Pignataro DIRECTOR CHIEF FINANCIAL OFFICER, VICE PRESIDENT James S. Pasman, Jr. AND SECRETARY DIRECTOR Robert M. Rizza Richard J. Lindquist VICE PRESIDENT AND TREASURER PRESIDENT AND CHIEF INVESTMENT OFFICER -------------------------------------------------------- INVESTMENT ADVISER Credit Suisse Asset Management Income Fund, Inc. 153 East 53rd Street New York, New York 10022 Phone 1-800-293-1232 -------------------------------------------------------- ADMINISTRATOR Brown Brothers Harriman & Co. 40 Water Street Boston, Massachusetts 02109 -------------------------------------------------------- CUSTODIAN Brown Brothers Harriman & Co. 40 Water Street Boston, Massachusetts 02109 -------------------------------------------------------- SHAREHOLDER SERVICING AGENT BankBoston N.A. P.O. Box 1865 Mailstop 45-02-62 Boston, Massachusetts 02105-1865 Phone 1-800-730-6001 -------------------------------------------------------- LEGAL COUNSEL Willkie Farr & Gallagher 787 7th Avenue New York, New York 10019 -------------------------------------------------------- INDEPENDENT ACCOUNTANTS PricewaterhouseCoopers LLP 1177 Avenue of the Americas New York, New York 10036 -------------------------------------------------------- -------------------------------------------------------- Credit Suisse Asset Management Income Fund, Inc. --------------------------------------------- SEMI-ANNUAL REPORT June 30, 1999 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. - ---------- Dear Shareholders: July 16, 1999 We are writing to report on the activities of Credit Suisse Asset Management Income Fund, Inc. ("the Fund") for the quarter ended June 30, 1999 and to discuss our investment strategy. At June 30, 1999, the Fund's net asset value ("NAV") was $7.54, compared to an NAV of $7.64 at March 31, 1999. The Fund's total return (based on NAV and assuming reinvestment of dividends of $0.18 per share) for the period was 1.1%. For the first six months of 1999, the Fund returned 1.7%. At June 30, 1999, $213.3 million was invested in high yield debt securities; $22.1 million in investment-grade debt securities; $21.6 million in equity securities; and the balance of $4.7 million in cash equivalents. The investment-grade component consisted of short- and intermediate-term mortgages, asset-backed securities and corporate bonds of intermediate maturity. Of the debt securities, the largest concentration (53.8%) was invested in B-rated issues. THE MARKET: FED-WATCHING The theme driving the high yield market changed in the second quarter. Following two consecutive quarters in which investors' increasing comfort with risk triggered a revival in prices of "spread product" (I.E., debt securities whose market valuation is driven by the difference, known as the "spread," between their yields and those of U.S. Treasury debt), market participants concentrated far more narrowly on the prospects for U.S. interest rates and inflation. The focus of their concentration was the Federal Reserve, which faced mounting pressure to raise rates in order to cool off an economy that had long appeared on the verge of overheating. Tension began to build in earnest in mid-May, when the Fed chose to leave rates unchanged but announced that its official bias had gone from neutral to one in favor of raising rates. Activity in most fixed income sectors, which had had plenty of time to wrestle with the potential implications of higher rates and also took encouragement from favorable U.S. inflation data for May, started to take on a better tone by late June. When the Fed finally raised rates by 25 basis points on June 30, then, its move was widely expected and greeted with relief. Investors received an unexpected bonus when the Fed simultaneously announced that its official bias on rates had returned to neutral. High yield outperformed investment-grade securities in this environment and was virtually the only U.S. fixed income sector to generate a positive return during the quarter. As represented by the Salomon Smith Barney High-Yield Market Index (SSBHYMI), high yield's 0.3% return compared favorably to the 0.9% decline in the Lehman Brothers Aggregate Bond Index, a standard proxy for U.S. investment-grade instruments. Yield spreads for high yield narrowed a bit, furthermore, while they widened for all investment-grade sectors. There were two reasons for high yield's strength. First was the simple fact that high yield tends to fare better than higher-quality sectors during times when interest rates are rising or investors expect rates to rise, because such times typically occur when the economy is strong, which is good for most high yield issuers. The second was an improving liquidity environment due to robust demand for new collateralized bond obligations backed by high yield securities. PERFORMANCE: POSITIVE EXPOSURE TO TELECOMMUNICATIONS, GAMING The Fund outperformed the broad high yield market during the quarter due to the positive effects of our allocations to the telecommunications and gaming sectors. TELECOMMUNICATIONS. Our largest industry exposure was in telecommunications, which we significantly overweighted compared to SSBHYMI. This had a very positive impact on performance in two important ways. First, a disproportionately high degree of our individual telecom holdings were rated CCC, and CCC-rated securities as a group outperformed SSBHYMI by a staggeringly wide margin. Second, our telecom exposure included a lot of deferred-interest instruments such as zero-coupon bonds, which also outperformed. GAMING. An additional positive was our overweight in gaming, which did well in the quarter in response to positive sentiment about the openings of new casinos in Las Vegas. This helped to boost bond prices and valuations more widely throughout the sector. The Fund's performance was most adversely affected by our large position and relative overweight in cable/media, which suffered from its high exposure to poor-performing BB-rated issues; and our underweight in energy and other cyclical industries, many of which were among the quarter's strongest sectors. OUTLOOK: STILL OPTIMISTIC The optimistic outlook for the high yield market that we expressed in our last report has not changed. We still expect sentiment and price appreciation to be supported by the ongoing strength of the economy; minimal inflation; and signs of improvement in economically sensitive industries; and anticipate that the Federal Reserve's shift to a neutral stance on interest rates should be additionally positive. Yield spreads relative to comparable-maturity U.S. Treasury 2 bonds--which have steadily fallen since peaking in mid-1998--should continue to narrow, which should push bond prices higher. Now that the Fed has finally raised short-term U.S. interest rates, investors are becoming concerned about whether the rate hike is an isolated phenomenon, or the first in a series of two or three such Fed moves designed to slow down the vibrant U.S. economy. Our own view is that the probability of further rate hikes this year is low, based on ongoing weakness in commodity prices; an enormous worldwide glut of manufacturing capacity; the fact that rates are already on the high side when adjusted for inflation; and the simple absence of any "smoking gun"-type indicator that inflation is truly back. The essential strategy with which we have managed the Fund for some time remains intact. We are keeping the portfolio most heavily weighted in telecommunications, cable/media and gaming, whose positive industry and company fundamentals are unchanged. We are also selectively adding to positions in economically sensitive industries such as paper and energy, whose underlying fundamentals are beginning to show genuine signs of improvement, and will continue to do so if this trend continues. As developments occur that we believe would be of interest to you, we will keep you informed. Meanwhile, if you have any questions about your portfolio or the capital markets generally, please feel free to call upon us at any time. We appreciate your interest in the Fund and would be pleased to respond to your questions or comments. Any questions regarding net asset value, performance, dividends, portfolio management or allocations should be directed to Credit Suisse Asset Management at (800) 293-1232. All other inquiries regarding account information or requests for a prospectus or other reports should be directed to the Fund's Shareholder Servicing Agent at (800) 730-6001. Sincerely yours, /s/ Richard J. Lindquist Richard J. Lindquist PRESIDENT AND CHIEF INVESTMENT OFFICER* /s/ William W. Priest, Jr. William W. Priest, Jr. CHAIRMAN OF THE BOARD** FROM CREDIT SUISSE ASSET MANAGEMENT: I. Effective January 12, 1999, the Fund's investment adviser, BEA Associates, changed its name to Credit Suisse Asset Management ("CSAM"). In making the announcement, the firm said that it expected the new name to enhance its recognition as a global asset manager. Credit Suisse Asset Management is the investment division of Credit Suisse Group, one of the world's largest financial organizations, with $600 billion in assets under management. II. Effective May 11, 1999, the BEA Income Fund, Inc. announced that, following approval by shareholders at their Annual Shareholders' Meeting held on May 10, 1999, the Fund had changed its name to Credit Suisse Asset Management Income Fund, Inc. The Fund's ticker symbol on the New York Stock Exchange changed to "CIK" from "FBF" accordingly. III. Effective September 7, 1999, shareholders whose shares are registered in their own name will automatically participate in a dividend reinvestment program known as the InvestLinkSM Program (the "Program"). The Program can be of value to shareholders in maintaining their proportional ownership interest in the Fund in an easy and convenient way. A shareholder whose shares are held in the name of a broker/dealer or nominee should contact the Fund's Transfer Agent for details about participating in the Program. The Program also provides for additional share purchases. The Program is described on pages 24 through 25 of this report. IV. Many services provided to the Fund and its shareholders by CSAM and the Fund's service providers rely on the functioning of their respective computer systems. Many computer systems cannot distinguish the year 2000 from the year 1900, with resulting potential difficulty in performing various calculations (the "Year 2000 Issue"). The Year 2000 Issue could potentially have an adverse impact on the handling of security trades, the payment of interest and dividends, pricing, account services and other Fund operations. CSAM recognizes the importance of the Year 2000 Issue and is taking appropriate steps necessary in preparation for the year 2000. At this time, there can be no assurance that these steps will be sufficient to avoid any adverse impact on the Fund, nor can there be any assurance that the Year 2000 Issue will not have an adverse effect on the Fund's investments or on global markets or economies, generally. CSAM anticipates that its systems will be adapted in time for the year 2000. CSAM is seeking assurances that comparable steps are being taken by the Fund's other major service providers. CSAM will be monitoring the Year 2000 Issue in an effort to ensure appropriate preparation. * Richard J. Lindquist, who is a Managing Director of Credit Suisse Asset Management ("CSAM"), formerly known as BEA Associates, is primarily responsible for management of the Fund's assets. He has served in such capacity since November 21, 1996. Prior to that date, he served as Vice President to the Fund, a position he assumed on August 15, 1989. Mr. Lindquist joined CSAM on May 1, 1995 as a result of CSAM's acquisition of CS First Boston Investment Management Corporation ("CSFBIM"). Prior to joining CSAM and beginning in July, 1989, he held various offices at CSFBIM. Mr. Lindquist also is President and Chief Investment Officer of Credit Suisse Asset Management Strategic Global Income Fund, Inc. ** William W. Priest, Jr., who is a Managing Director and Chief Executive Officer-Americas of Credit Suisse Asset Management ("CSAM"), formerly known as BEA, Associates, joined CSAM in 1972. Mr. Priest is Director and President of The Indonesia Fund, Inc. and Director and Chairman of the Board of Credit Suisse Asset Management Strategic Global Income Fund, Inc.; The Brazilian Equity Fund, Inc.; The Chile Fund, Inc.; The Emerging Markets Infrastructure Fund, Inc.; The Emerging Markets Telecommunications Fund, Inc.; The First Israel Fund, Inc.; The Latin America Equity Fund, Inc.; The Latin America Investment Fund, Inc.; and The Portugal Fund, Inc. 3 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. TOP TEN HOLDINGS (UNAUDITED)
(as a % of net assets as of 6/30/99) - ----------------------------------------------------------------------------------- 1. GNMA 30-Year TBA 6.00%, 3/1/29.............................. 0.94% 2. Dr. Pepper Bottling Holdings, Inc., Class A................. 0.85% 3. Spanish Broadcasting System, Inc., 14.25%, Cum. Exchangeable 144A...................................................... 0.82% 4. Ainsworth Lumber Co. Ltd., Yankee Sr. Secured Notes, 12.50%, 7/15/07................................................... 0.81% 5. Meditrust Conv. Debentures 7.50%, 3/1/01.................... 0.75% 6. Advance Stores Co. Gtd. Sr. Sub. Notes 10.25%, 4/15/08...... 0.73% 7. Telewest Communications plc Yankee Sr. Sub. Discount Deb. 0.00%, 10/1/07............................................ 0.71% 8. Univision Network Holding L.P. Sub. Notes 7.00%, 12/17/02... 0.69% 9. Sprint Spectrum L.P./ Sprint Spectrum Finance Corp. Sr. Notes 11.00%, 8/15/06..................................... 0.65% 10. Capstar Broadcasting Partners, Inc. Sr. Discount Notes 0.00%, 2/1/09............................................. 0.65%
CREDIT QUALITY BREAKDOWN (UNAUDITED)
(as a % of total investments as of 6/30/99) - ------------------------------------------------------------------------------ AAA/Aaa..................................................... 4.1% AA/Aa....................................................... -- A/A......................................................... 0.9 BBB/Baa..................................................... 3.6 BB/Ba....................................................... 6.2 B/B......................................................... 48.6 CCC/Caa..................................................... 11.2 CC/Ca....................................................... 0.2 C/C......................................................... -- NR.......................................................... 15.5 ------- Subtotal.................................................. 90.3 Equities and Other.......................................... 9.7 ------- Total..................................................... 100.0% ------- -------
4 PORTFOLIO OF INVESTMENTS (UNAUDITED) - --------- JUNE 30, 1999
Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- DOMESTIC SECURITIES (96.9%) - ------------------------------------------------------------------------------------- - ----------------- CORPORATE OBLIGATIONS (83.6%) - ------------------------------------------------------------------------------------- - ----------------- AEROSPACE/DEFENSE (0.7%) Canadian Airlines Corp. Sr. Notes 12.25%, 8/1/06 Caa2 $ 1,950 $ 814,125 (1) Decrane Aircraft Holdings Sr. Sub. Notes 12.00%, 9/30/08 N/R 800 812,000 Wyman-Gordon Co. Sr. Notes 8.00%, 12/15/07 Ba2 150 141,938 ------------ GROUP TOTAL 1,768,063 ------------ - ------------------------------------------------------------------------------------- - ----------------- AUTOMOTIVE (2.0%) Aetna Industries, Inc. Sr. Notes 11.875%, 10/1/06 B3 600 643,500 Autotote Corp. Series B 10.875%, 8/1/04 B2 750 785,625 (1) Breed Technologies, Inc. Gtd. Sr. Unsecured, Unsub. Notes 9.25%, 4/15/08 Caa3 400 59,000 Cambridge Industries, Inc. Series B, Gtd. Sr. Sub. Notes 10.25%, 7/15/07 B3 500 408,750 Collins & Aikman Products, Corp. Sr. Sub. Notes 11.50%, 4/15/06 B3 550 558,250 Hayes Wheels, Inc. Series B, Gtd. Sr. Notes 9.125%, 7/15/07 B2 500 502,500 Oxford Automotive, Inc. Gtd. Sr. Sub. Notes: 10.125%, 6/15/07 Caa1 875 877,188 (1) 10.125%, 6/15/07 Caa1 500 501,250 Safety Components International, Inc. Series B, Gtd. Sr. Sub. Notes 10.125%, 7/15/07 B3 500 448,750 Stanadyne Automotive Series B, Gtd. Sr. Sub. Notes 10.25%, 12/15/07 Caa1 400 347,000 ------------ GROUP TOTAL 5,131,813 ------------ - ------------------------------------------------------------------------------------- - ----------------- BROADCASTING (5.1%) (2)(3) Australis Holdings Pty., Ltd. Yankee Sr. Secured Discount Notes 0.00%, 11/1/02 N/R 3,950 39,500 Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- (2)(3) Australis Media Ltd. Yankee Units 15.75%, 5/15/03 C $ 2,412 $ 12,060 (3) Capstar Broadcasting Partners, Inc. Sr. Discount Notes 0.00%, 2/1/09 N/R 2,000 1,690,000 (1) Chancellor Media Corp. Sr. Sub. Notes 9.00%, 10/1/08 Ba3 500 510,000 Cumulus Media Inc. Sr. Sub. Notes 10.375%, 7/1/08 B3 800 842,000 Digital Television Services, L.L.C./DTS Capital, Inc. Gtd. Sr. Sub. Notes 12.50%, 8/1/07 B3 750 837,187 (1)(3) EchoStar Communications Corp. Gtd. Sr. Discount Notes 9.375%, 2/1/09 B2 850 867,000 Granite Broadcasting Corp.: Series A, Sr. Sub. Notes 9.375%, 12/1/05 B3 300 297,000 Sr. Sub. Notes 8.875%, 5/15/08 B3 900 873,000 Pegasus Media & Communications, Inc. Series B, Notes 12.50%, 7/1/05 B2 250 274,375 SFX Broadcasting, Inc. Series B, Sr. Sub. Notes 10.75%, 5/15/06 B3 427 464,362 Sinclair Broadcast Group, Inc.: Sr. Sub. Notes 10.00%, 9/30/05 B2 900 918,000 Gtd. Sr. Sub. Notes 8.75%, 12/15/07 B2 350 343,000 (3) Spanish Broadcasting System, Inc. Sr. Notes 7.50%, 6/15/02 B3 500 555,625 Time Warner Telecom, L.L.C. Sr. Notes 9.75%, 7/15/08 B2 500 512,500 Turner Broadcasting Systems, Inc. Sr. Notes 7.40%, 2/1/04 Ba1 220 226,417 (3) United International Holdings, Inc. Series B, Sr. Discount Notes 0.00%, 2/15/08 B3 1,700 1,122,000 Univision Network Holding L.P. Sub. Notes 7.00%, 12/17/02 N/R 1,500 1,807,500
The accompanying notes are an integral part of the financial statements. 5
Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- Young Broadcasting, Inc.: Series B, Gtd. Sr. Sub. Notes 9.00%, 1/15/06 B2 $ 300 $ 294,000 Sr. Sub. Notes 8.75%, 6/15/07 B2 865 839,050 ------------ GROUP TOTAL 13,324,576 ------------ - ------------------------------------------------------------------------------------- - ----------------- BUSINESS SERVICES (0.2%) General Binding Corp. Gtd. Sr. Sub. Notes 9.375%, 6/1/08 B2 250 236,562 Iron Mountain, Inc. Sr. Sub. Notes 8.75%, 9/30/09 B3 200 197,500 ------------ GROUP TOTAL 434,062 ------------ - ------------------------------------------------------------------------------------- - ----------------- CABLE (9.3%) (1)(3) Avalon Cable Holdings, Inc. Units 0.00%, 12/1/08 Caa1 300 200,625 CSC Holdings, Inc.: Sr. Sub. Notes 9.875%, 5/15/06 B1 400 428,000 Series B, Sr. Sub. Debentures 8.125%, 8/15/09 Ba2 350 351,859 Sr. Sub. Debentures 9.875%, 2/15/13 B1 850 918,000 Century Communications Corp.: Sr. Notes 9.75%, 2/15/02 Ba3 500 511,250 8.75%, 10/1/07 Ba3 400 396,000 (1) Classic Cable, Inc. 9.875%, 8/1/08 B3 700 724,500 Comcast Corp.: Sr. Sub. Notes 9.375%, 5/15/05 Ba3 180 192,825 9.125%, 10/15/06 Ba3 750 798,285 (3) DIVA Systems Corp. Series B, Sr. Discount Notes 12.625%, 3/1/08 N/A 2,775 936,562 (3) Diamond Cable Communications plc Yankee Discount Notes 0.00%, 12/15/05 Caa1 1,500 1,338,750 (3) Falcon Holdings Group, L.P./Falcon Funding Corp.: Sr. Debentures 8.375%, 4/15/10 B2 500 493,750 (3) Sr. Discount Debentures 0.00%, 4/15/10 B2 1,500 1,040,625 Helicon Group, L.P. Series B, Sr. Secured Notes 11.00%, 11/1/03 B1 800 834,000 Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- InterMedia Capital Partners IV L.P./InterMedia Partners Capital Corp. Sr. Notes 11.25%, 8/1/06 B2 $ 650 $ 737,750 (3) International CableTelevision: Series A, Sr. Notes 0.00%, 4/15/05 B3 1,000 945,000 Series B, Sr. Notes 0.00%, 2/1/06 B3 1,050 913,500 James Cable Partners L.P. Series B, Sr. Notes 10.75%, 8/15/04 N/R 1,550 1,646,875 Jones Intercable, Inc. Sr. Notes 7.625%, 4/15/08 Ba2 1,150 1,150,000 Lenfest Communications, Inc.: Sr. Sub. Notes 8.375% 11/1/05 Ba3 500 522,215 Sr. Notes 10.50%, 6/15/06 B2 900 1,035,000 8.25%, 2/15/08 B2 200 210,500 NTL Communications Corp.: Sr. Notes 11.50%, 10/1/08 B3 600 657,000 Series B, Sr. Notes 10.00%, 2/15/07 B3 500 517,500 (3) 0.00%, 10/1/08 B3 1,500 1,005,000 Northland Cable Television Sr. Sub. Notes 10.25%, 11/15/07 N/R 500 522,500 Olympus Communications, L.P./Olympus Capital Corp. Series B, Sr. Notes 10.625%, 11/15/06 B1 1,000 1,087,500 OpTel, Inc.: Series B, Sr. Notes 13.00%, 2/15/05 B3 500 390,000 11.50%, 7/1/08 B3 850 599,250 (3) Renaissance Media Group Sr. Discount Notes 0.00%, 4/15/08 B3 1,000 700,000 Rogers Cablesystems, Ltd. 10.00%, 12/1/07 Ba3 450 483,750 Tele-Communications, Inc. Series C, Medium Term Notes 6.34%, 2/1/02 Ba1 220 220,636 (3) Telewest Communications plc Yankee Sr. Sub. Discount Debentures 0.00%, 10/1/07 B1 2,100 1,869,000 ------------ GROUP TOTAL 24,378,007 ------------ - ------------------------------------------------------------------------------------- - -----------------
The accompanying notes are an integral part of the financial statements. 6
Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- CHEMICALS (1.8%) Applied Extrusion Technologies Series B, Sr. Notes 11.50%, 4/1/02 B2 $ 1,500 $ 1,530,000 Huntsman Corp. Sr. Sub. Notes 9.50%, 7/1/07 B2 400 383,000 Huntsman Polymers Corp. Sr. Notes 11.75%, 12/1/04 B1 1,000 1,085,000 (1) Lyondell Chemical Co. Series B, Gtd. Sr. Secured Notes 9.875%, 5/1/07 Ba3 500 508,750 NL Industries, Inc. Sr. Secured Notes 11.75%, 10/15/03 B1 250 265,000 (3) Sterling Chemical Holdings, Inc. Sr. Secured Discount Notes 0.00%, 8/15/08 Caa1 1,000 300,000 Sterling Chemicals, Inc. Sr. Sub. Notes 11.75%, 8/15/06 B3 334 256,345 Texas Petrochemical Corp. Series B, Sr. Sub. Notes 11.125%, 7/1/06 N/R 350 316,750 ------------ GROUP TOTAL 4,644,845 ------------ - ------------------------------------------------------------------------------------- - ----------------- CONSTRUCTION & BUILDING MATERIALS (1.4%) AFC Enterprises Sr. Sub. Notes 10.25%, 5/15/07 N/R 400 408,000 American Architectural Products Corp. Gtd. Sr. Notes 11.75%, 12/01/07 Caa1 1,150 871,125 (1) Building One Services Sr. Sub. Notes 10.50%, 5/1/09 B2 500 473,750 Collins & Aikman Floor Coverings, Inc. Series B, Sr. Sub. Notes 10.00%, 1/15/07 B3 1,000 1,010,000 International Utility Structures, Inc. Sr. Sub. Notes 10.75%, 2/1/08 Caa1 500 502,500 (3) Waxman Industries, Inc. Series B, Sr. Secured Deferred Notes 0.00%, 6/1/04 Caa1 600 315,000 ------------ GROUP TOTAL 3,580,375 ------------ - ------------------------------------------------------------------------------------- - ----------------- CONSUMER PRODUCTS & SERVICES (2.7%) (3) Coinstar, Inc. Sr. Discount Notes 0.00%, 10/1/06 Caa1 1,700 1,676,625 Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- Doskocil Manufacturing Co., Inc. Gtd. Sr. Sub. Notes 10.125%, 9/15/07 B3 $ 500 $ 308,750 Fort James Corp. Sr. Notes 6.234%, 3/15/01 Baa3 155 153,597 Holmes Products Corp. Gtd. Sr. Sub. Notes 9.875%, 11/15/07 B3 800 768,000 Indesco International, Inc. Gtd. Sr. Sub. Notes 9.75%, 4/15/08 B3 600 394,500 Jordan Industries, Inc. Series B, Sr. Notes 10.375%, 8/1/07 B3 1,150 1,164,375 (3) Knology Holdings, Inc. Sr. Discount Notes 0.00%, 10/15/07 N/R 1,000 605,000 Packaged Ice, Inc. Gtd. Sr. Notes 9.75%, 2/1/05 B3 100 99,875 Playtex Products, Inc. Series B, Gtd. Sr. Notes 8.875%, 7/15/04 B1 225 227,813 Revlon Consumer Products Sr. Sub. Notes 8.625%, 2/1/08 B3 700 661,500 Sealy Mattress Co. Gtd. Sr. Sub. Notes 9.875%, 12/15/07 B3 200 200,250 (3) United Rentals, Inc. Sr. Sub. Notes 9.25%, 1/15/09 B1 750 744,375 ------------ GROUP TOTAL 7,004,660 ------------ - ------------------------------------------------------------------------------------- - ----------------- ELECTRONICS (1.2%) (1) Condor Systems, Inc. Gtd. Sr. Sub. Notes 11.875%, 5/1/09 B3 400 386,000 Details, Inc. Series B, Sr. Sub Notes 10.00%, 11/15/05 B3 500 475,000 (1) Rhythms Netconnections Sr. Notes 12.75%, 4/15/09 N/R 300 282,000 Unisys Corp.: Series B, Sr. Notes 12.00%, 4/15/03 B1 1,000 1,092,500 Sr. Notes 11.75% 10/15/04 B1 225 249,750 7.875%, 4/1/08 B1 250 253,750 Viasystems, Inc.: Sr. Sub. Notes 9.75%, 6/1/07 B3 300 262,500 Series B, Sr. Sub. Notes 9.75%, 6/1/07 B3 150 131,250 ------------ GROUP TOTAL 3,132,750 ------------ - ------------------------------------------------------------------------------------- - -----------------
The accompanying notes are an integral part of the financial statements. 7
Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- ENERGY (4.6%) Abraxas Petroleum Corp. Series D, Sr. Notes 11.50%, 11/1/04 B2 $ 1,550 $ 972,625 Belden & Blake Energy Co. Series B, Gtd. Sr. Sub. Notes 9.875%, 6/15/07 B3 200 152,500 Bellwether Exploration Co. Gtd. Sr. Sub. Notes 10.875%, 4/1/07 B3 1,250 1,196,875 (1) Canadian Forest Oil Ltd. Gtd. Sr. Sub. Notes 8.75%, 9/15/07 B2 450 430,875 Cliffs Drilling Co. Series D, Gtd. Sr. Notes 10.25%, 5/15/03 B1 1,100 1,072,500 Cogentrix Energy, Inc. Gtd. Unsecured Notes 8.75%, 10/15/08 Ba1 1,000 1,012,500 Continental Resources Gtd. Sr. Notes 10.25%, 8/1/08 B3 250 186,875 (2) Dailey International, Inc. Series B, Gtd. Sr. Notes 9.50%, 2/15/08 Ca 750 485,625 First Wave Marine, Inc. Gtd. Sr. Notes 11.00%, 2/1/08 B3 1,000 943,750 Giant Industries, Inc. Gtd. Sr. Sub. Notes 9.00%, 9/1/07 B2 500 477,500 Gothic Production Corp. Series B, Gtd. Sr. Secured Notes 11.125%, 5/1/05 B3 250 221,875 H.S. Resources, Inc.: Sr. Sub. Notes 9.875%, 12/1/03 B2 500 500,000 Gtd. Sr. Sub Notes 9.25%, 11/15/06 B2 600 591,000 Kelley Oil & Gas Corp. Sr. Secured Notes 14.00%, 4/15/03 B3 750 762,187 (1) Key Energy Services, Inc. Sr. Sub. Notes 14.00%, 1/15/09 B3 1,250 1,284,375 Korea Electric Power Yankee Unsecured Debentures 7.00%, 2/1/27 Baa3 240 221,218 Parker Drilling Co. Series D, Gtd. Sr. Notes 9.75%, 11/15/06 B1 300 277,500 Plains Resources, Inc. Series B, Gtd. Sr. Sub. Notes 10.25%, 3/15/06 B2 375 378,750 (1) Southwest Royalties, Inc. Series B, Gtd. Sr. Notes 10.50%, 10/15/04 B3 500 238,750 Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- TransAmerican Energy Series B, Sr. Secured Notes 11.50%, 6/15/02 B3 $ 450 $ 42,750 (1) Valero Energy Bonds 6.75%, 12/15/02 Baa3 185 180,795 Wiser Oil Co. Gtd. Sr. Sub. Notes 9.50%, 5/15/07 B2 450 373,500 ------------ GROUP TOTAL 12,004,325 ------------ - ------------------------------------------------------------------------------------- - ----------------- ENTERTAINMENT (3.0%) American Skiing Co. Series B, Sr. Sub. Notes 12.00%, 7/15/06 B3 425 338,937 Bally Total Fitness Holdings Series D, Sr. Sub. Notes 9.875%, 10/15/07 B3 350 339,500 Booth Creek Ski Holdings, Inc. Series B, Sr. Sub. Notes 12.50%, 3/15/07 Caa1 1,000 887,500 Cinemark U.S.A., Inc. Series D, Sr. Sub. Notes 9.625%, 8/1/08 B2 250 248,125 Genmar Holdings, Inc. Series A, Sr. Sub. Notes 13.50%, 7/15/01 Caa2 500 500,000 (2) ICON Health & Fitness, Inc. Series B, Sr. Sub. Notes 13.00%, 7/15/02 B3 500 343,750 (3) IHF Holdings, Inc. Series B, Sr. Sec. Discount Notes 0.00%, 11/15/04 Caa2 1,450 174,000 Loews Cineplex Sr. Sub. Notes 8.875%, 8/1/08 B3 900 859,500 (1) Majestic Star Casino, L.L.C. Secured Notes 10.875%, 7/1/06 B2 400 406,000 (1) Outboard Marine Corp. Series B, Gtd. Sr. Notes 10.75%, 6/1/08 B3 500 343,750 (1)(2) Premier Cruises, Ltd. Gtd. Sr. Notes 11.00%, 3/15/08 B3 900 267,750 (1) Production Resource Group, L.L.C./PRG Finance Group Gtd. Sr. Sub. Notes 11.50%, 1/15/08 Caa2 750 755,625 Regal Cinemas, Inc. Sr. Sub. Notes 9.50%, 6/1/08 B3 1,050 987,000 Silver Cinemas, Inc. Sr. Sub. Notes 10.50%, 4/15/05 Caa1 1,900 847,875
The accompanying notes are an integral part of the financial statements. 8
Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- Time Warner, Inc.: Notes 8.11%, 8/15/06 Baa3 $ 60 $ 63,000 Debentures 7.48%, 1/15/08 Ba1 170 173,825 6.85%, 1/15/26 Ba1 370 367,884 ------------ GROUP TOTAL 7,904,021 ------------ - ------------------------------------------------------------------------------------- - ----------------- FINANCIAL SERVICES (1.5%) AT&T Capital Corp.: Series 4, Medium Term Notes 6.47%, 12/3/99 Baa3 60 60,143 Series F, Gtd. Unsecured Medium Term Notes, 6.875%, 1/16/01 Baa3 200 200,750 Associates Corp. of North America Sr. Debentures 5.96%, 5/15/37 Aa3 350 351,225 BankBoston Mortgage Inc. 6.375%, 4/15/08 A2 135 128,990 BellSouth Capital Funding Corp. Debentures 6.04%, 11/15/26 Aa1 250 248,715 Chase Manhattan Corp. Sub. Notes 6.375%, 4/1/08 A1 220 210,100 Citicorp Series F, Sub. Notes 6.375%, 11/15/08 A1 290 275,114 Ford Motor Credit Co. Sr. Notes 5.80%, 1/12/09 A1 280 255,892 Lehman Brothers Holdings Series F, Medium Term Notes Baa1 80 79,500 7.00%, 5/15/03 6.625%, 4/1/04 Baa1 60 58,725 Long Island Savings Bank F.S.B. Notes 7.00%, 6/13/02 Baa3 770 773,311 National Westminster Bank Debentures 9.375%, 11/15/03 Aa3 95 104,883 (1) Prudential Insurance Co. Sr. Notes 6.375%, 7/23/06 A2 200 194,872 (3) PTC International Finance B.V. Gtd. Sr. Sub. Notes 0.00%, 7/1/07 B3 350 255,063 Sumitomo Bank Notes 8.50%, 6/15/09 Baa1 100 100,250 (2) Westfed Holdings Sr. Debentures 15.50%, 9/15/99 N/R 1,750 612,500 ------------ GROUP TOTAL 3,910,033 ------------ Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- FOOD & BEVERAGES (1.8%) AmeriServ Food Distribution, Inc. Gtd. Sr. Notes 8.875%, 10/15/06 B1 $ 500 $ 455,000 Archibald Candy Corp. Gtd. Sr. Secured Notes 10.25%, 7/1/04 B2 1,000 1,010,000 Eagle Family Foods Series B, Gtd. Sr. Notes 8.75%, 1/15/08 B3 450 400,500 Fleming Companies, Inc. Sr. Sub. Notes 10.50%, 12/1/04 B3 700 665,000 Hollinger International Publishing Gtd. Sr. Notes 9.25%, 3/15/07 B1 1,000 1,022,500 International Home Foods, Inc. Gtd. Sr. Sub. Notes 10.375%, 11/1/06 B2 1,000 1,067,500 ------------ GROUP TOTAL 4,620,500 ------------ - ------------------------------------------------------------------------------------- - ----------------- HEALTH CARE (1.7%) (1) ICN Pharmaceutical Sr. Notes 8.75%, 11/15/08 Ba3 500 501,250 Integrated Health Services, Inc.: Series A, Sr. Sub. Notes 10.25%, 4/30/06 B2 400 304,000 Sr. Sub. Notes 9.25%, 1/15/08 B2 100 71,750 Meditrust Conv. Debentures 7.50%, 3/1/01 Baa3 2,000 1,950,000 Merck & Co. Series B, Medium Term Notes 5.76%, 5/3/37 Aaa 500 501,365 (1) Oxford Health Plans Sr. Notes 11.00%, 5/15/05 Caa1 590 613,600 Paracelsus Healthcare Sr. Sub. Notes 10.00%, 8/15/06 B3 750 585,000 (2) Vencor Operating, Inc. Gtd. Sr. Sub. Notes 9.875%, 5/1/05 B3 150 31,125 ------------ GROUP TOTAL 4,558,090 ------------ - ------------------------------------------------------------------------------------- - ----------------- INDUSTRIAL GOODS & MATERIALS (4.7%) AMTROL Acquisition, Inc. Sr. Sub. Notes 10.625%, 12/31/06 B3 400 395,500 APCOA, Inc. Gtd. Sr. Notes 9.25%, 3/15/08 Caa1 430 400,438
The accompanying notes are an integral part of the financial statements. 9
Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- Atlantis Group, Inc. Sr. Notes 11.00%, 2/15/03 B2 $ 585 $ 590,850 CLARK Material Handling Co. Gtd. Sr. Notes 10.75%, 11/15/06 B1 550 488,125 Delco Remy International, Inc. Gtd. Sr. Sub. Notes 10.625%, 8/1/06 B2 600 618,000 (1) Diamond Triumph Sr. Notes 9.25%, 4/1/08 B2 500 497,500 Golden Ocean Group, Ltd. Gtd. Sr. Notes 10.00%, 8/31/01 B3 1,548 243,810 (1) Hayes Lemmerz International, Inc. Gtd. Sr. Notes 8.25%, 12/15/08 B2 750 712,500 Haynes International, Inc. Sr. Notes 11.625%, 9/1/04 B3 500 475,000 International Knife & Saw, Inc. Sr. Sub. Notes 11.375%, 11/15/06 B3 750 738,750 K N Energy, Inc. Notes 6.30%, 3/1/01 Baa2 270 269,072 Motors & Gears, Inc. Series D, Sr. Notes 10.75%, 11/15/06 B3 1,500 1,522,500 Neenah Corp. Series B, Sr. Sub. Notes 11.125%, 5/1/07 B3 500 494,375 PSINET, Inc. Sr. Notes 11.50%, 11/1/08 B3 1,000 1,050,000 Park-Ohio Industries, Inc. Sr. Sub. Notes 9.25%, 12/1/07 B2 400 400,000 SRI Receivables Purchase Co., Inc. Series B, Notes 12.50%, 12/15/00 N/R 1,500 1,485,000 Seagate Technology, Inc. Sr. Debentures 7.45%, 3/1/37 Baa3 120 112,018 (3) Thermadyne Manufacturing, L.L.C./ Thermadyne Capital Corp. Gtd. Sr. Sub. Notes 0.00%, 6/1/08 B3 975 474,094 Thermadyne Holdings Corp. Sr. Discount Notes 9.875%, 6/1/08 Caa1 300 280,125 Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- (1) Transportation Manufacturing Operations Sr. Sub. Notes 11.25%, 5/1/09 B2 $ 1,000 $ 997,500 ------------ GROUP TOTAL 12,245,157 ------------ - ------------------------------------------------------------------------------------- - ----------------- METALS & MINING (3.4%) Algoma Steel, Inc. Yankee First Mortgage Notes 12.375%, 7/15/05 B1 1,000 970,000 Bayou Steel Corp. First Mortgage Notes 9.50%, 5/15/08 B1 500 488,750 GS Technologies Operations Gtd. Sr. Notes 12.00%, 9/1/04 B2 525 464,625 Gulf States Steel, Inc. First Mortgage Notes 13.50%, 4/15/03 B1 1,050 189,000 Kaiser Aluminum & Chemical Corp. Series D, Sr. Notes 10.875%, 10/15/06 B1 675 703,688 Lodestar Holdings, Inc. Sr. Notes 11.50%, 5/15/05 Caa2 800 621,000 Metallurg, Inc. Series B, First Mortgage Gtd. Sr. Notes 11.00%, 12/1/07 B3 750 733,125 National Steel Corp. Series D First Mortgage Bonds 9.875%, 3/1/09 Ba3 750 761,250 Republic Engineered Steel, Inc. First Mortgage Bonds 9.875%, 12/15/01 Caa1 1,135 1,137,837 Sheffield Steel Corp. Series B, First Mortgage Bonds 11.50%, 12/1/05 Caa2 750 710,625 WCI Steel, Inc. Series B, Sr. Secured Notes 10.00%, 12/1/04 B2 925 941,188 Weirton Steel Corp. Sr. Notes 11.375%, 7/1/04 B2 500 490,000 Wheeling-Pittsburg Corp. Sr. Notes 9.25%, 11/15/07 B2 750 720,000 ------------ GROUP TOTAL 8,931,088 ------------ - ------------------------------------------------------------------------------------- - ----------------- PACKAGING/CONTAINERS (1.2%) AEP Industries, Inc. Sr. Sub. Notes 9.875%, 11/15/07 B2 250 250,000
The accompanying notes are an integral part of the financial statements. 10
Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- BPC Holding Corp. Series B, Sr. Secured Notes 12.50%, 6/15/06 Caa3 $ 900 $ 936,000 Container Corp. of America Gtd. Sr. Notes 9.75%, 4/1/03 B1 500 517,500 (3) Crown Packaging Enterprises Ltd. Yankee Sr. Secured Discount Notes 0.00%, 8/1/06 Ca1 2,450 36,750 Gaylord Container Corp. Series B, Sr. Notes 9.75%, 6/15/07 B3 700 670,250 Radnor Holdings, Inc. Series B, Gtd. Sr. Notes 10.00%, 12/1/03 B2 250 251,250 (1) Stone Container Finance Co. Yankee Gtd. Sr. Notes 11.50%, 8/15/06 B2 530 571,075 ------------ GROUP TOTAL 3,232,825 ------------ - ------------------------------------------------------------------------------------- - ----------------- PAPER & FOREST PRODUCTS (2.8%) Ainsworth Lumber Co., Ltd. Yankee Sr. Secured Notes 12.50%, 7/15/07 B3 1,900 2,113,750 Color Spot Nurseries Sr. Sub. Notes 10.50%, 12/15/07 Caa1 1,000 747,500 Crown Paper Co. Sr. Sub. Notes 11.00%, 9/1/05 B3 550 363,000 Malette, Inc. Yankee Sr. Secured Debentures 12.25%, 7/15/04 Ba3 555 591,075 QUNO Corp. Yankee Sr. Notes 9.125%, 5/15/05 Baa3 315 334,461 Repap New Brunswick, Inc. Sr. Secured Debentures 10.625%, 4/15/05 B3 700 535,500 Riverwood International Corp. Gtd. Sr. Notes 10.875%, 4/1/08 Caa1 600 582,000 SD Warren Co.: Series B, Sr. Sub. Notes 12.00%, 12/15/04 B1 1,000 1,080,000 Debentures 14.00%, 12/15/06 N/A 995 1,118,952 ------------ GROUP TOTAL 7,466,238 ------------ - ------------------------------------------------------------------------------------- - ----------------- PUBLISHING & INFORMATION SERVICES (2.6%) American Lawyer Media Holdings, Inc. Gtd. Sr. Notes 9.75%, 12/15/07 B1 450 464,062 Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- Ampex Corp. Series B, Sr. Notes 12.00%, 3/15/03 N/R $ 750 $ 780,000 Belo (A.H.) Corp. Sr. Notes 6.875%, 6/1/02 Baa2 250 250,625 (1)(3) InterAct Systems, Inc. Sr. Discount Notes 0.00%, 8/1/03 N/R 950 350,313 Lamar Advertising Co. Gtd. Sr. Sub. Notes 9.625%, 12/1/06 B1 250 255,000 Level 3 Communication, Inc.: Sr. Notes 9.125%, 5/1/08 B3 1,250 1,229,688 (3) Sr. Discount Notes 0.00%, 12/1/08 B3 1,000 616,250 (3) Liberty Group Publishing, Inc. Sr. Discount Debentures 0.00%, 2/1/09 Caa1 600 324,000 Mentus Media Corp. Units 12.00%, 2/1/03 N/R 1,508 980,200 Printpack, Inc. Series B, Sr. Sub. Notes 10.625%, 8/15/06 Caa1 300 288,750 Tri-State Outdoor Media Sr. Notes 11.00%, 5/15/08 N/R 850 862,750 (1) TV Guide, Inc. Sr. Sub. Notes 8.125%, 3/1/09 Ba3 500 473,750 ------------ GROUP TOTAL 6,875,388 ------------ - ------------------------------------------------------------------------------------- - ----------------- REAL ESTATE (0.0%) EOP Operating, L.P. Sr. Notes 6.375%, 2/15/03 Baa1 65 62,400 ------------ - ------------------------------------------------------------------------------------- - ----------------- RESTAURANTS, HOTELS & GAMING (6.3%) American Restaurant Group, Inc. Gtd. Sr. Secured Notes 11.50%, 2/15/03 B3 750 676,875 AmeriKing, Inc. Sr. Notes 10.75%, 12/1/06 B3 250 264,375 (1) Aztar Corp. Sr. Sub. Notes 8.875%, 5/15/07 B1 500 478,750 Bluegreen Corp. Gtd. Sr. Secured Notes 10.50%, 4/1/08 B3 1,000 887,500 Boyd Gaming Corp. Sr. Sub. Notes 9.50%, 7/15/07 B1 150 148,500 CapStar Hotel Co. Sr. Sub. Notes 8.75%, 8/15/07 B1 375 348,750
The accompanying notes are an integral part of the financial statements. 11
Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- Casino Magic of Louisiana Corp. Series B, Gtd. First Mortgage Notes 13.00%, 8/15/03 B3 $ 1,300 $ 1,491,750 Colorado Gaming & Entertainment Co. Gtd. Sr. Notes 12.00%, 6/1/03 N/R 1,480 1,495,174 Friendly Ice Cream Corp. Gtd. Sr. Notes 10.50%, 12/1/07 B1 800 710,000 HMH Properties Series B, Gtd. Sr. Notes 7.875%, 8/1/08 Ba2 500 458,750 Hard Rock Hotel, Inc. Sr. Sub. Notes 9.25%, 4/1/05 B3 1,400 1,316,000 Hollywood Park, Inc. Series B, Gtd. Sr. Sub. Notes 9.50%, 8/1/07 B2 675 669,937 Horseshoe Gaming Hldg. Series B, Sr. Sub. Notes 9.375%, 6/15/07 B3 1,350 1,370,250 (1) Sr. Sub Notes 8.625%, 5/15/09 B2 750 725,625 (1) Isle of Capri Casinos, Inc. Sr. Sub. Note 8.75%, 4/15/09 B3 350 328,125 Mohegan Tribal Gaming Authority, Sr. Notes 8.125%, 1/1/06 Ba1 900 879,750 Prime Hospitality Corp. Secured First Mortgage Notes 9.25%, 1/15/06 Ba2 850 856,375 Red Roof Inns, Inc. Sr. Exchange Notes 9.625%, 12/15/03 B2 700 708,750 Romacorp Inc. Sr. Notes 12.00%, 7/1/06 B3 750 730,313 Sante Fe Hotel, Inc. Gtd. First Mortgage Notes 11.00%, 12/15/00 Caa2 554 526,300 Station Casinos Sr. Sub. Notes 9.75%, 4/15/07 B2 1,400 1,428,000 ------------ GROUP TOTAL 16,499,849 ------------ - ------------------------------------------------------------------------------------- - ----------------- RETAIL (4.4%) (3) Advance Holdings Corp. Series B, Sr. Discount Debentures 0.00%, 4/15/09 Caa2 1,500 845,625 Advance Stores Co. Gtd. Sr. Sub. Notes 10.25%, 4/15/08 Caa1 2,000 1,920,000 Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- (1)(2) County Seat Stores, Inc. Units 12.75%, 11/1/04 N/R $ 1,100 $ 110,000 Dairy Mart Convenience Stores, Inc. Sr. Sub. Notes 10.25%, 3/15/04 B3 275 257,812 Finlay Enterprises, Inc. Sr. Debentures 9.00%, 5/1/08 B2 400 393,500 Finlay Fine Jewelry Corp. Gtd. Sr. Notes 8.375%, 5/1/08 Ba3 1,200 1,176,000 (1)(3) Golden Sky, Inc. Sr. Discount Notes 0.00%, 3/1/07 Caa1 250 150,313 Jitney-Jungle Stores of America, Inc.: Gtd. Sr. Notes 12.00%, 3/1/06 B2 750 615,000 Gtd. Sr. Sub. Notes 10.375%, 9/15/07 B3 300 105,000 (1) Jo-Ann Stores, Inc. Sr. Sub. Notes, 10.375%, 5/1/07 B2 500 490,000 K Mart Corp. Debentures 7.75%, 10/1/12 Ba2 1,175 1,180,875 (3) Mrs. Fields Holding Co. Units 0.00%, 12/1/05 Caa2 1,750 848,750 Mrs. Fields Original Cookies, Inc.: Gtd. Sr. Notes 10.125%, 12/1/04 N/R 1,400 1,288,000 (1) 10.125%, 12/1/04 B2 250 230,000 Pantry, Inc. Sr. Sub. Notes 10.25%, 10/15/07 B3 550 561,000 Pathmark Stores, Inc. Sr. Sub. Notes 9.625%, 5/1/03 Caa1 850 867,000 (1) Simmons Co. Sr. Sub. Notes 10.25%, 3/15/09 B3 650 661,375 ------------ GROUP TOTAL 11,700,250 ------------ - ------------------------------------------------------------------------------------- - ----------------- TELECOMMUNICATIONS (18.1%) Adelphia Communications Corp. Sr. Notes 7.875%, 5/1/09 B1 200 185,500 Series B, Sr. Notes 8.375%, 2/1/08 B3 800 792,000 (3) COLT Telecom Group plc Yankee Units 0.00%, 12/15/06 B1 400 352,000 (3) Call-Net Enterprises, Inc. Sr. Discount Notes Zero Coupon, 5/15/09 B2 500 276,875
The accompanying notes are an integral part of the financial statements. 12
Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- Century Communications, Inc. Series B Zero Coupon, 1/15/08 Ba3 $ 650 $ 286,000 (1) Charter Communications Holdings: Sr. Notes 8.625%, 4/1/09 B2 1,000 960,000 (3) Sr. Discount Notes 0.00%, 4/1/11 B3 1,000 621,250 (3) Clearnet Communications, Inc. Yankee Sr. Discount Notes 0.00%, 12/15/05 B3 1,050 955,500 Comcast Cellular Holdings Series B, Sr. Notes 9.50%, 5/1/07 Ba3 700 780,500 (1) Concentric Network Corp. Units 12.75%, 12/15/07 N/R 750 774,375 Coaxial Communications, Inc. Gtd. Sr. Notes 10.00%, 8/15/06 B3 900 938,250 (3) DTI Holdings, Inc. Units 0.00%, 3/1/08 N/R 1,850 675,250 Dobson/Sygnet Communications Co. Sr. Notes 12.25%, 12/15/08 N/R 1,300 1,374,750 (3) Dolphin Telecom plc: Sr. Discount notes 0.00%, 6/1/08 Caa1 750 375,000 (1) 0.00%, 5/15/09 Caa1 700 345,625 (3) e. spire Communications, Inc. Sr. Discount Notes 0.00%, 11/1/05 N/R 2,950 1,563,500 (3) Econophone, Inc. Sr. Notes 0.00%, 2/15/08 N/R 1,600 892,000 Exodus Communications, Inc. Sr. Notes 11.25%, 7/1/08 N/R 700 728,000 (3) Focal Communications Corp. Sr. Discount Notes 0.00%, 2/15/08 N/R 1,400 770,000 (3) GST USA, Inc. Gtd. Sr. Discount Notes 0.00%, 12/15/05 N/R 1,800 1,482,750 Global Crossing Holdings Ltd. Gtd. Sr. Notes 9.625%, 5/15/08 N/R 1,150 1,242,000 Globalstar, L.P. / Globalstar Capital Corp.: Sr. Notes 11.25%, 6/15/04 B3 500 343,750 10.75%, 11/1/04 B3 1,000 667,500 11.50%, 6/1/05 Caa1 200 132,000 Globix Corp. Sr. Notes 13.00%, 5/1/05 N/R 1,000 950,000 Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- (3) Hyperion Telecommunications, Inc. Series B, Sr. Discount Notes 0.00%, 4/15/03 B3 $ 450 $ 371,250 (3) ICG Holdings, Inc.: Gtd. Sr. Exchange Discount Notes 0.00%, 9/15/05 N/R 650 572,000 0.00%, 5/1/06 N/R 600 480,000 Gtd. Sr. Discount Notes 0.00%, 3/15/07 N/R 1,750 1,207,500 (3) ICG Services, Inc.: Sr. Discount Notes 0.00%, 2/15/08 N/R 500 270,000 0.00%, 5/1/08 N/R 1,350 715,500 ITC DeltaCom, Inc. Sr. Notes 11.00%, 6/1/07 B2 259 278,425 Intermedia Communications, Inc. Sr. Notes 8.875%, 11/1/07 B2 200 183,500 Jacor Communications, Inc. Gtd. Sr. Sub. Notes 8.00%, 2/15/10 B2 250 259,687 Jordan Telecommunications Products, Inc.: Series B, Sr. Notes 9.875%, 8/1/07 N/R 270 264,262 (3) Series B, Sr. Discount Notes 0.00%, 8/1/07 B3 425 362,312 Logix Communications Enterprises Sr. Notes 12.25%, 6/15/08 N/R 1,000 938,750 MCI Worldcom, Inc. Sr. Unsecured Notes 6.50%, 4/15/10 Baa2 125 119,687 McCaw International, Ltd. Sr. Discount Notes 13.00%, 4/15/07 Caa1 900 531,000 McLeod USA, Inc.: Sr. Discount Notes (3) 0.00%, 3/1/07 B2 800 614,000 Sr. Notes 9.25%, 7/15/07 B2 400 397,000 9.50%, 11/1/08 B2 1,000 1,002,500 MetroNet Communications Corp.: Sr. Discount Notes 10.75%, 11/1/07 B 1,100 882,750 (3) 0.00%, 6/15/08 B3 1,000 743,750 Microcell Telecommunications, Inc. Series B, Yankee Sr. Discount Notes 14.00%, 6/1/06 B3 270 218,700 (3) Millicom International Cellular Yankee Sr. Sub. Discount Notes 0.00%, 6/1/06 Caa1 850 627,938
The accompanying notes are an integral part of the financial statements. 13
Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- (3) NEXTLINK Communications, Inc.: 0.00%, 4/15/08 B3 $ 1,700 $ 1,020,000 Sr. Notes 12.50%, 4/15/06 B3 350 374,500 10.75%, 11/15/08 B3 500 510,000 (3) Nextel Communications, Inc. Sr. Discount Notes 0.00%, 2/15/08 B2 1,700 1,173,000 Orbital Imaging Corp. Series B, Sr. Notes 11.625%, 3/1/05 N/R 500 455,625 Orion Network Systems, Inc. Gtd. Sr. Notes 11.25%, 1/15/07 B2 500 418,750 (3) PLD Telekom, Inc. Yankee Gtd. Sr. Notes 14.00%, 6/1/04 N/R 1,610 885,500 (3) Pagemart Nationwide, Inc. Sr. Discount Notes 0.00%, 2/1/05 B3 1,750 1,502,813 (1) Petersburg Long Distance, Inc. Conv. Sub. Notes 9.00%, 6/1/06 N/R 230 92,000 (3) Qwest Communications International, Inc. Sr. Discount Notes 0.00%, 10/15/07 B2 1,100 845,625 (3) RCN Corp. Series B, Sr. Discount Notes 0.00%, 2/15/08 B3 900 570,375 RSL Communications: Yankee Gtd. Sr. Notes 9.125%, 3/1/08 B3 250 228,125 10.50%, 11/15/08 B3 250 246,250 9.875%, 11/15/09 B2 1,100 1,042,250 (3) Rhythms Netconnections Units 0.00%, 5/15/08 N/R 1,500 798,750 Rogers Cablesystems Ltd. Series B, Yankee Sr. Secured 2nd Priority Notes 10.00%, 3/15/05 Ba3 250 267,500 Rogers Cantel, Inc. Yankee Sr. Secured Debentures 9.375%, 6/1/08 Ba3 350 362,250 Sprint Spectrum L.P./ Sprint Spectrum Finance Corp. Sr. Notes 11.00%, 8/15/06 B2 1,500 1,702,230 Star Choice Communications, Inc. Sr. Notes 13.00%, 12/15/05 N/R 500 508,750 Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- Startec Global Communications Corp. Units 12.00%, 5/15/08 N/R $ 750 $ 673,125 TCI Communications, Inc. Sr. Notes 6.375%, 5/1/03 A2 130 128,862 Telesystem International Wireless Series B Sr. Discount Notes 13.25%, 6/30/07 Caa1 500 264,375 Teligent, Inc. Sr. Notes 11.50%, 12/1/07 Caa1 750 738,750 (1)(3) Tritel PCS, Inc. Sr. Discount Notes 0.00%, 5/15/09 B3 500 271,875 (3) USN Communications, Inc. Units 0.00%, 8/15/04 Caa1 8 0 (1) Viatel, Inc. Sr. Notes 11.25%, 4/15/08 Caa1 850 854,250 Western Wireless Corp. Sr. Sub. Notes 10.50%, 2/1/07 B3 350 377,562 (3) Winstar Communications, Inc. Sr. Discount Notes 0.00%, 10/15/05 Caa1 1,600 1,404,000 WorldCom, Inc. Sr. Notes 8.875%, 1/15/06 Baa2 160 170,339 ------------ GROUP TOTAL 47,392,317 ------------ - ------------------------------------------------------------------------------------- - ----------------- TEXTILES/APPAREL (1.3%) Iron Age Corp. Sr. Sub. Notes 9.875%, 5/1/08 B3 250 189,375 Maxim Group, Inc. Series B, Gtd. Sr. Sub. Notes 9.25%, 10/15/07 B2 700 686,000 Phillips-Van-Heusen Corp. Sr. Sub. Notes 9.50%, 5/1/08 B1 800 801,000 Pillowtex Corp. Gtd. Sr. Sub. Notes 10.00%, 11/15/06 B2 500 497,500 Tropical Sportswear International Series A, Gtd. Sr. Notes 11.00%, 6/15/08 B3 600 624,000 William Carter Co. Series A, Sr. Sub. Notes 10.375%, 12/1/06 B3 500 523,750 ------------ GROUP TOTAL 3,321,625 ------------ - ------------------------------------------------------------------------------------- - -----------------
The accompanying notes are an integral part of the financial statements. 14
Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- TRANSPORTATION (1.3%) AirTran Airlines, Inc. Sr. Notes 10.50%, 4/15/01 N/R $ 1,000 $ 972,500 Hermes Europe Railtel B.V. Sr. Notes 11.50%, 8/15/07 B3 1,000 1,047,500 Norfolk Southern Corp. Notes 7.05%, 5/1/37 Baa1 285 289,611 Norfolk Southern Corp.: Series A, Medium Term Note 7.40%, 9/15/06 Baa1 40 40,800 Bonds 7.70%, 5/15/17 Baa1 75 77,344 Pegasus Shipping (Hellas), Ltd. Series A, First Preferred Ship Mortgage Notes 11.875%, 11/15/04 B3 300 191,250 Trans World Airlines, Inc. Sr. Notes 11.375%, 3/1/06 Caa1 1,500 768,750 ------------ GROUP TOTAL 3,387,755 ------------ - ------------------------------------------------------------------------------------- - ----------------- WASTE MANAGEMENT (0.5%) (1) Waste Systems International, Inc. Sub. Notes 7.00%, 5/13/05 N/R 1,500 1,365,000 ------------ - ------------------------------------------------------------------------------------- - ----------------- TOTAL CORPORATE OBLIGATIONS (Cost $240,899,056) 218,876,012 ------------ - ------------------------------------------------------------------------------------- - ----------------- GOVERNMENT & AGENCY SECURITIES (2.9%) - ------------------------------------------------------------------------------------- - ----------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (1.7%) 30YR TBA 6.00%, 3/1/29 Aaa 2,620 2,461,149 6.50%, 2/1/29 Aaa 1,370 1,321,612 7.00%, 3/16/27 Aaa 150 147,163 STRIPS, Series H, Class 2 11.50%, 5/1/09 Aaa 594 641,852 ------------ GROUP TOTAL 4,571,776 ------------ - ------------------------------------------------------------------------------------- - ----------------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (0.1%) Various Pools: 10.50%, 9/15/15 Aaa 34 36,406 10.50%, 9/15/15 Aaa 19 20,378 10.50%, 12/15/15 Aaa 5 4,859 10.50%, 3/15/16 Aaa 26 27,960 10.50%, 8/15/16 Aaa 34 37,070 ------------ GROUP TOTAL 126,673 ------------ - ------------------------------------------------------------------------------------- - ----------------- UNITED STATES TREASURY BOND (0.1%) 8.00%, 11/15/21 Aaa 100 120,578 ------------ - ------------------------------------------------------------------------------------- - ----------------- Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- UNITED STATES TREASURY NOTE (1.0%) 6.25%, 2/15/07 Aaa $ 775 $ 789,655 7.25%, 5/15/04 Aaa 1,215 1,290,172 STRIPS Series S 0.00%, 5/15/17 Aaa 780 252,782 TIPS 3.875%, 4/15/29 Aaa 405 399,176 ------------ GROUP TOTAL 2,731,785 ------------ - ------------------------------------------------------------------------------------- - ----------------- TOTAL GOVERNMENT & AGENCY SECURITIES (Cost $7,533,309) 7,550,812 ------------ - ------------------------------------------------------------------------------------- - ----------------- COLLATERALIZED MORTGAGE OBLIGATIONS (1.3%) - ------------------------------------------------------------------------------------- - ----------------- Asset Securitization Corp. Series 1996-MD6, Class A6, 7.59%, 11/13/26 Baa2 420 405,563 Commercial Mortgage Asset Trust Series 1999, Class A3 6.64%, 1/17/32 Aaa 310 301,572 GMAC Commercial Mortgage Securities, Inc. 6.853%, 9/15/06 Aaa 80 80,275 6.945%, 9/15/33 Aaa 550 546,524 Heller Financial Commercial Mortgage Series 1999-PH1, Class A2 6.847%, 5/15/31 Aaa 550 545,531 Kidder Peabody Acceptance Corp. Series 1994-C1, Class C1 B 6.85%, 2/1/06 N/R 910 916,686 Morgan Stanley Capital I Series 1998-XL1, Class A3 6.48%, 6/3/30 N/R 360 344,363 Nomura Asset Securities Corp. Series 1998-D6, Class A1B6 6.59%, 3/17/28 Aaa 310 301,862 ------------ - ------------------------------------------------------------------------------------- - ----------------- TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $3,666,971) 3,442,376 ------------ - ------------------------------------------------------------------------------------- - ----------------- ASSET BACKED OBLIGATIONS (1.2%) - ------------------------------------------------------------------------------------- - ----------------- (1) Constellation Finance, L.L.C. Series 1997-1, Class 1 9.80%, 12/14/02 N/R 250 239,453 Contimortgage Home Equity Loan Trust 7.22%, 1/15/28 Aaa 125 124,882 Green Tree Financial Corp. Manufactured Housing Installment Sale Contracts Series 1993-4, Class B1 7.20%, 1/15/19 Baa3 1,691 1,654,271
The accompanying notes are an integral part of the financial statements. 15
Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- Green Tree Recreational, Equipment & Consumer Trust, Consumer Products & Equipment Retail Installment Sale Contracts Series 1997-C, Class A-1, 6.49%, 2/15/18 N/R $ 560 $ 551,315 New Century Home Equity Loan Trust 6.73%, 7/25/22 Aaa 100 99,141 Peco Energy Transition Trust: Series 1999-A, Class A6, 6.05%, 3/1/09 Aaa 90 86,625 Series 1999-A, Class A7, 6.13%, 3/1/09 Aaa 335 319,087 UCFC Home Equity Loan: Series 1996-B1, Class A7, 8.20%, 9/15/27 Aaa 110 113,008 Series 1998-A, Class A7, 6.87%, 7/15/29 Aaa 50 48,344 - ------------------------------------------------------------------------------------- - ----------------- TOTAL ASSET BACKED OBLIGATIONS (Cost $3,187,610) 3,236,126 ------------ - ------------------------------------------------------------------------------------- - -----------------
Shares/ Units - ----------------------------------------------------------------------- - ----------------- COMMON STOCKS (2.7%) - ----------------------------------------------------------------------- - ----------------- BROADCASTING (0.5%) (1)(4) Spanish Broadcasting System Class A 2,142 1,285,200 ------------ - ----------------------------------------------------------------------- - ----------------- CABLE (0.0%) (1)(4) OpTel, Inc. 500 5 ------------ - ----------------------------------------------------------------------- - ----------------- CONSUMER PRODUCTS & SERVICES (0.3%) (4) Coinstar, Inc. 11,887 341,008 (4) Concentric Network Corp. 9,610 383,167 (4) Crown Packaging Enterprises, Ltd. 253,746 2,537 ------------ GROUP TOTAL 726,712 ------------ - ----------------------------------------------------------------------- - ----------------- FINANCIAL SERVICES (0.0%) (4)(5) Westfed Holdings, Inc. Class B (acquired 9/20/88, $383) 12,670 0 ------------ - ----------------------------------------------------------------------- - ----------------- FOOD & BEVERAGES (0.8%) (4)(5) Dr. Pepper Bottling Holdings, Inc. Class A (acquired 2/25/97, cost $1,181,250) 75,000 2,212,500 (1)(4) Specialty Foods Corp. 30,000 1,500 ------------ GROUP TOTAL 2,214,000 ------------ - ----------------------------------------------------------------------- - ----------------- Shares/ Value Units (Note A-1) - ----------------------------------------------------------------------- - ----------------- INDUSTRIAL GOODS & MATERIALS (0.1%) (4)(5)(6) CIC I Acquisition Corp. (acquired 10/18/89, cost $1,076,715) 2,944 $ 200,192 ------------ - ----------------------------------------------------------------------- - ----------------- METALS & MINING (0.0%) (4) Sheffield Steel Corp. 6,250 25,000 ------------ - ----------------------------------------------------------------------- - ----------------- PAPER & FOREST PRODUCTS (0.1%) (1)(4)(6) Mail-Well, Inc. 21,306 344,891 ------------ - ----------------------------------------------------------------------- - ----------------- RESTAURANTS, HOTELS & GAMING (0.1%) (4) Capital Gaming International, Inc. 5,687 284 (4) Elsinore Corp. 86,538 27,043 (4) Isle of Capri Casinos, Inc. 14,947 102,761 (1)(4) Motels of America, Inc. 500 9,000 ------------ GROUP TOTAL 139,088 ------------ - ----------------------------------------------------------------------- - ----------------- TELECOMMUNICATIONS (0.8%) (4) Advanced Radio Telecom Corp. 18,211 261,783 (4) Globix Corp. 3,520 155,540 (4) ICG Communications, Inc. 2,145 45,850 (4) Intermedia Communications, Inc. 3,232 96,958 (4) Loral Space & Communications 302 5,436 (4) Microcell Telecommunications, Class B 3,436 26,844 (4) Nextel Communications, Inc. Class A 2,080 104,390 (4) Pagemart Nationwide, Inc. 7,000 33,250 (4) Price Communications Corp. 84,503 1,267,545 (4) Viatel, Inc. 3,353 188,187 ------------ GROUP TOTAL 2,185,783 ------------ - ----------------------------------------------------------------------- - ----------------- TOTAL COMMON STOCKS (Cost $4,009,574) 7,120,871 ------------ - ----------------------------------------------------------------------- - ----------------- PREFERRED STOCKS (4.2%) - ----------------------------------------------------------------------- - ----------------- AEROSPACE/DEFENSE (0.4%) (4) GPA Group plc 7% Second Preferred Cum. Conv. 2,125,000 1,062,500 ------------ - ----------------------------------------------------------------------- - ----------------- BROADCASTING (1.5%) Benedek Communications Corp. 11.50% Sr. Exchangeable 150 142,500 (4) Pegasus Communications Corp. 12.75% Cum. Exchangeable, Series A 51 52,530 Pegasus Communications Corp. Units 250 272,500 (4) Source Media, Inc. 13.5% Units 64,932 1,266,174 (1)(4) Spanish Broadcasting System, Inc. 14.25%, Cum. Exchangeable 19,668 2,133,978 ------------ GROUP TOTAL 3,867,682 ------------ - ----------------------------------------------------------------------- - ----------------- CABLE (0.3%) Adelphia Communications Corp. 13% Cum. Exchangeable, Series B 5,000 572,500
The accompanying notes are an integral part of the financial statements. 16
Shares/ Value Units (Note A-1) - ----------------------------------------------------------------------- - ----------------- (4) DIVA Systems Corp. Series D 56,913 $ 284,565 (4) NTL, Inc. 13% Exchangeable, Series B 1 611 ------------ GROUP TOTAL 857,676 ------------ - ----------------------------------------------------------------------- - ----------------- CONSUMER PRODUCTS & SERVICES (0.0%) Renaissance Cosmetics, Inc. 14% Cumulative 2 0 ------------ - ----------------------------------------------------------------------- - ----------------- FINANCIAL SERVICES (0.3%) (1) Deutsche Bank Capital Funding Tr I 7.872% Non-cumulated 120,000 114,588 Lehman Brothers Holdings: 5% Convertible, Series B 2,700 76,950 5.94%, Series C 1,300 56,388 Olympic Financial, Ltd. Units 11.50%, 3/15/07 475,000 406,125 (6) Westfed Holdings, Inc. Class A (aquired 9/20/88-6/18/93, cost $2,995,322) 42,759 42,759 ------------ GROUP TOTAL 696,810 ------------ - ----------------------------------------------------------------------- - ----------------- METALS & MINING (0.0%) (1) International Utility Structures, Inc.: 13% Units 150 140,625 13% Units 8 718 ------------ GROUP TOTAL 141,343 ------------ - ----------------------------------------------------------------------- - ----------------- MISCELLANEOUS (0.0%) (4) TCR Holdings Corp.: Series B 790 47 Series C (non-voting) 434 24 Series D (non-voting) 1,145 61 Series E (non-voting) 2,370 149 ------------ GROUP TOTAL 281 ------------ - ----------------------------------------------------------------------- - ----------------- PUBLISHING & INFORMATION SERVICES (0.2%) Primedia, Inc. 10% Cum. Exchangeable, Series D 5,000 512,500 ------------ - ----------------------------------------------------------------------- - ----------------- RESTAURANTS, HOTELS & GAMING (0.2%) AmeriKing, Inc. 13%, Cum. Exchangeable 19,360 464,640 ------------ - ----------------------------------------------------------------------- - ----------------- TELECOMMUNICATIONS (1.3%) e. spire Communications, Inc. 12.75% 300 15,750 Intermedia Communications, Inc. 13.50% Exchangeable, Series B 3,392 339,200 (1) 7% Jr. Convertible, Series E 44,000 1,028,500 (4) NEXTLINK Communications, Inc. 14% Cum. Exchangeable 12,947 660,297 Nextel Communications, Inc. 13% Exchangeable, Series D 995 1,004,950 Shares/ Value Units (Note A-1) - ----------------------------------------------------------------------- - ----------------- Rural Cellular Corp. 11.375% Sr. Exchangeable 286 $ 286,715 ------------ GROUP TOTAL 3,335,412 ------------ - ----------------------------------------------------------------------- - ----------------- TOTAL PREFERRED STOCKS (Cost $13,731,812) 10,938,844 ------------ - ----------------------------------------------------------------------- - ----------------- RIGHTS (0.0%) - ----------------------------------------------------------------------- - ----------------- (1)(4) Terex Corp. expiring 5/15/02 (cost $0) 6,000 84,000 ------------ - ----------------------------------------------------------------------- - ----------------- WARRANTS (1.0%) - ----------------------------------------------------------------------- - ----------------- (4) American Telecasting, Inc. expiring 6/23/99 525 0 (4) Ampex Corp. expiring 3/15/03 25,500 71,655 (1)(4) Australis Holdings Pty. Ltd. expiring 10/30/01 2,250 22 (4) Capital Gaming International, Inc. expiring 2/1/99 17 0 (4) CHC Helicopter Corp. expiring 12/15/00 6,000 18,000 (4) CHI Energy, Inc.: Series B, expiring 11/8/03 7,578 18,195 Series C, expiring 11/8/05 4,919 11,811 (1)(4) Cookies U.S.A., Inc. expiring 1/15/01 225 0 (4) County Seat Stores, Inc. expiring 10/15/98 1,520 15 (4) Crown Packaging Holdings, Ltd. expiring 11/1/03 2,000 1,000 (4) Dairy Mart Convenience Stores, Inc. expiring 12/1/01 11,665 4,083 (4) Decrane Aircraft Holdings expiring 9/30/08 800 0 (1)(4) DIVA Systems Corp.: expiring 5/15/06 1,925 465,850 expiring 3/1/08 8,325 99,900 (1)(4) DTI Holdings, Inc. expiring 3/1/08 9,250 93 (4) e. spire Communications, Inc. expiring 11/1/05 2,000 280,000 (4) Elsinore Corp. expiring 12/31/25 79,941 0 (4) Golden Ocean Group, Ltd. expiring 8/31/01 1,032 129 (1)(4) Hemmeter Enterprises, Inc. expiring 12/15/99 9,000 0 (1)(4) IHF Capital, Inc. expiring 11/14/99 500 5 (1)(4) Interact Systems, Inc. expiring 8/1/03 750 0 (4) Isle of Capri Casinos, Inc. expiring 5/3/01 2,646 26 (1)(4) Key Energy Services expiring 1/15/09 1,250 1,250 (4) McCaw International Ltd. expiring 4/15/07 1,000 2,500 (1)(4) Mentus Media Corp. expiring 2/1/08 3,984 40 (4) PLD Telekom, Inc. expiring 6/1/06 1,610 8,050
The accompanying notes are an integral part of the financial statements. 17
Shares/ Value Units (Note A-1) - ----------------------------------------------------------------------- - ----------------- (4) Rhythms Netconnections expiring 5/15/08 6,000 $ 1,000,314 (4) Source Media, Inc. expiring 11/1/07 30,731 261,216 (1)(4) Star Choice Communications, Inc. expiring 12/5/05 11,580 29,176 (4) Startec Global Communications Corp expiring 5/15/08 750 750 (4) United International Holdings expiring 11/15/99 2,950 2,950 (4) Wright Medical Technology expiring 6/30/03 618 6 ------------ - ----------------------------------------------------------------------- - ----------------- TOTAL WARRANTS (Cost $1,618,319) 2,277,036 ------------ - ----------------------------------------------------------------------- - ----------------- TOTAL DOMESTIC SECURITIES (Cost $274,646,651) 253,526,077 ------------ - ----------------------------------------------------------------------- - ----------------- Face Moody's Amount Ratings (000) - ------------------------------------------------------------------------------------- - ----------------- FOREIGN SECURITIES (0.9%) - ------------------------------------------------------------------------------------- - ----------------- CORPORATE OBLIGATIONS (0.8%) - ------------------------------------------------------------------------------------- - ----------------- FINLAND (0.1%) (7) Okobank Perpetual Medium Term Notes 5.739%, 9/29/49 A3 USD$ 140 134,400 ------------ - ------------------------------------------------------------------------------------- - ----------------- FRANCE (0.1%) (7) Credit Lyonnais Paris 6.563%, 9/19/49 Baa2 USD 210 194,250 L'Auxiliare du Credit Foncier de France Gtd. Sub. Notes 5.00%, 10/22/02 Baa3 USD 150 143,625 ------------ GROUP TOTAL 337,875 ------------ - ------------------------------------------------------------------------------------- - ----------------- JAPAN (0.1%) (7) Fuji Bank (Cayman), Ltd. Perpetual Gtd. Notes 7.30%, 3/29/49 Baa2 USD 370 299,700 ------------ - ------------------------------------------------------------------------------------- - ----------------- NETHERLANDS (0.1%) CompleTelecom Europe N.V. Units 0.00%, 2/15/09 Caa2 USD 650 338,000 ------------ - ------------------------------------------------------------------------------------- - ----------------- SWEDEN (0.4%) (7) ForeningsSparbanken AB: Perpetual Jr. Sub. Medium Term Notes 6.438%, 12/29/49 Baa2 USD 500 470,000 Skandinaviska Enskilda Banken AB Perpetual Sub. Notes 6.625%, 3/29/49 Baa1 USD 400 393,720 ------------ GROUP TOTAL 863,720 ------------ Face Moody's Amount Value Ratings (000) (Note A-1) - ------------------------------------------------------------------------------------- - ----------------- TOTAL CORPORATE OBLIGATIONS (Cost $2,074,291) $ 1,973,695 ------------ - ------------------------------------------------------------------------------------- - ----------------- GOVERNMENT OBLIGATIONS (0.1%) - ------------------------------------------------------------------------------------- - ----------------- COLOMBIA (0.0%) (7) Republic of Colombia 12.243%, 8/13/05 Baa3 USD$ 80 68,600 ------------ - ------------------------------------------------------------------------------------- - ----------------- POLAND (0.1%) Republic of Poland Past Due Interest Bonds 5.00%, 10/27/14 Baa3 USD 320 281,600 ------------ - ------------------------------------------------------------------------------------- - ----------------- TOTAL GOVERNMENT OBLIGATIONS (Cost $373,901) 350,200 ------------ - ------------------------------------------------------------------------------------- - ----------------- TOTAL FOREIGN SECURITIES (Cost $2,448,192) 2,323,895 ------------ - ------------------------------------------------------------------------------------- - ----------------- TIME DEPOSITS (1.8%) (Cost $4,743,000) 4,743,000 ------------ - ------------------------------------------------------------------------------------- - ----------------- TOTAL INVESTMENTS (99.6%) (Cost $281,837,843) 260,592,972 ------------ - ------------------------------------------------------------------------------------- - ----------------- OTHER ASSETS IN EXCESS OF LIABILITIES (0.4%) 1,122,167 ------------ - ------------------------------------------------------------------------------------- - ----------------- NET ASSETS (100%) Applicable to 34,698,013 issued and outstanding $.001 par value Shares (authorized 100,000,000 shares) $261,715,139 ------------ ------------ - ------------------------------------------------------------------------------------- - -----------------
N/R--Not Rated. STRIPS--Separate Trading of Registered Interest and Principal Securities. TIPS--Treasury Inflation Protected Securities. TBA--Security is subject to delayed delivery. (1) 144A Security. Certain conditions for public sale may exist. (2) Defaulted security. (3) Step Bond--Coupon rate is low or zero for an initial period and then increases to a higher coupon rate thereafter. Maturity date disclosed is the ultimate maturity. (4) Non-income producing security. (5) Restricted as to private and public resale. Total cost of restricted securities at June 30, 1999 aggregated $1,181,633. Total market value of restricted securities owned at June 30, 1999 was $2,212,500 or 0.8% of net assets. (6) Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Board of Directors. (7) Floating Rate--The interest rate changes on these instruments based upon a designated base rate. The rates shown are those in effect at June 30, 1999. The accompanying notes are an integral part of the financial statements. 18
STATEMENT OF ASSETS AND LIABILITIES June 30, 1999 (Unaudited) - ------------------------------------------------------------------------------- ASSETS: Investments at Value (Cost $281,837,843 ) (Note A-1)....................... $260,592,972 Receivables: Interest Receivable (Note A-4)........................ 4,972,781 Receivable for Investments Sold....................... 2,534,760 Other Assets............................................ 14,481 - ------------------------------------------------------------------------------- Total Assets........................................ 268,114,994 - ------------------------------------------------------------------------------- LIABILITIES: Investments Purchased................................. 5,907,123 Investment Advisory Fees (Note B)..................... 328,536 Due to Custodian Bank................................. 49,146 Administrative Fees (Note C).......................... 44,446 Professional Fees..................................... 23,235 Shareholders' Reports................................. 13,942 Directors' Fees....................................... 9,020 Miscellaneous Fees.................................... 24,407 - ------------------------------------------------------------------------------- Total Liabilities................................... 6,399,855 - ------------------------------------------------------------------------------- NET ASSETS.................................................. $261,715,139 ----------------- ----------------- NET ASSETS CONSIST OF: Capital Shares at $.001 Par Value....................... $ 34,698 Capital Paid in Excess of Par Value..................... 293,629,015 Undistributed Net Investment Income..................... 93,658 Accumulated Net Realized Loss........................... (10,797,361) Unrealized Depreciation on Investments.................. (21,244,871) ----------------- NET ASSETS APPLICABLE TO 34,698,013 ISSUED AND OUTSTANDING SHARES (AUTHORIZED 100,000,000 SHARES).................... $261,715,139 ----------------- ----------------- NET ASSET VALUE PER SHARE................................... $ 7.54 - ------------------------------------------------------------------------------- - -------------------------------------------------------------------------------
STATEMENT OF OPERATIONS Six Months Ended June 30, 1999 (Unaudited) - ------------------------------------------------------------------------------ INVESTMENT INCOME: Interest (Note A-4)..................................... $13,331,260 Dividends (Note A-4).................................... 58,275 - ------------------------------------------------------------------------------ Total Income.......................................... 13,389,535 - ------------------------------------------------------------------------------ EXPENSES: Investment Advisory Fees (Note B)....................... 658,190 Administrative Fees (Note C)............................ 109,300 Shareholders' Reports................................... 57,528 Custodian Fees.......................................... 34,148 Shareholder Servicing Fees.............................. 24,894 Professional Fees....................................... 20,187 Directors' Fees and Expenses............................ 16,084 Other................................................... 24,833 - ------------------------------------------------------------------------------ Total Expenses........................................ 945,164 - ------------------------------------------------------------------------------ Net Investment Income............................... 12,444,371 - ------------------------------------------------------------------------------ NET REALIZED LOSS ON INVESTMENTS............................ (3,082,276) - ------------------------------------------------------------------------------ CHANGE IN UNREALIZED APPRECIATION/DEPRECIATION ON INVESTMENTS............................................... (4,662,956) - ------------------------------------------------------------------------------ Net Realized Loss and Change in Unrealized Appreciation/Depreciation...................... (7,745,232) - ------------------------------------------------------------------------------ Net Increase in Net Assets Resulting from Operations........ $4,699,139 - ------------------------------------------------------------------------------ - ------------------------------------------------------------------------------
The accompanying notes are an integral part of the financial statements. 19 STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended June 30, 1999 Year Ended (Unaudited) December 31, 1998 - ---------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net Investment Income....................................................... $ 12,444,371 $ 24,431,443 Net Realized Gain/Loss on Investments....................................... (3,082,276) 1,562,674 Change in Unrealized Appreciation/Depreciation on Investments............... (4,662,956) (24,197,476) - ---------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ 4,699,139 1,796,641 - ---------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS: Net Investment Income....................................................... (12,491,286) (24,942,259) - ---------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: Common Stock Issued through Reinvestment of Distributions (86,170 shares)... -- 694,164 - ---------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Capital Share Transactions........ -- 694,164 - ---------------------------------------------------------------------------------------------------------------------- Total Decrease in Net Assets.............................................. (7,792,147) (22,451,454) - ---------------------------------------------------------------------------------------------------------------------- NET ASSETS: Beginning of Period......................................................... 269,507,286 291,958,740 - ---------------------------------------------------------------------------------------------------------------------- End of Period (Including undistributed net investment income of $93,658 and $140,573, respectively).................................................... $ 261,715,139 $ 269,507,286 - ---------------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
Six Months Ended Year Ended December 31, June 30, 1999 ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: (Unaudited) 1998 1997 1996 1995Section 1994 - --------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD............................ $ 7.77 $ 8.44 $ 8.12 $ 8.63 $ 8.05 $ 9.00 - --------------------------------------------------------------------------------------------------------- Offering Costs..................... -- -- (0.02) -- - --------------------------------------------------------------------------------------------------------- Investment Activities: Net Investment Income.......... 0.36 0.71 0.69 0.75 0.86 0.83 Net Realized and Unrealized Gain (Loss) on Investments.... (0.23) (0.66) 0.39 0.18 0.48 (1.06) - --------------------------------------------------------------------------------------------------------- Total from Investment Activities.................. 0.13 0.05 1.08 0.93 1.34 (0.23) - --------------------------------------------------------------------------------------------------------- Distributions: Net Investment Income.......... (0.36) (0.72) (0.76) (0.90) (0.76) (0.72) - --------------------------------------------------------------------------------------------------------- Decrease in Net Asset Value due to Shares Issued through Rights Offering.......................... -- -- -- (0.52) -- -- - --------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD..... $ 7.54 $ 7.77 $ 8.44 $ 8.12 $ 8.63 $ 8.05 - --------------------------------------------------------------------------------------------------------- - --------------------------------------------------------------------------------------------------------- PER SHARE MARKET VALUE, END OF PERIOD............................ $ 7.69 $ 7.56 $ 8.75 $ 7.63 $ 7.88 $ 7.00 - --------------------------------------------------------------------------------------------------------- - --------------------------------------------------------------------------------------------------------- TOTAL INVESMENT RETURN: Net Asset Value (1)............ 1.72% 0.47% 14.03% 10.59%** 17.41% (2.67)% Market Value................... 6.56% (5.68)% 25.90% 10.05%** 24.34% (9.48)% - --------------------------------------------------------------------------------------------------------- - --------------------------------------------------------------------------------------------------------- RATIOS AND SUPPLEMENTAL DATA: - --------------------------------------------------------------------------------------------------------- - --------------------------------------------------------------------------------------------------------- Net Assets, End of Period (Thousands)....................... $261,715 $269,507 $291,959 $280,634 $210,441 $196,379 - --------------------------------------------------------------------------------------------------------- Ratio of Expenses to Average Net Assets Including Expense Offsets........................... 0.71%* 0.81% 0.84% 0.94% 0.92% 0.83% Ratio of Expenses to Average Net Assets............................ 0.71%* 0.81% 0.84% 0.95% -- -- Ratio of Net Investment Income to Average Net Assets................ 9.34%* 8.59% 8.47% 9.23% 10.22% 9.75% Portfolio Turnover Rate............ 25.8% 84.7% 97.7% 81.0% 44.1% 70.6% - ---------------------------------------------------------------------------------------------------------
Section Credit Suisse Asset Management, formerly known as BEA Associates replaced CS First Boston Investment management as the Fund's investment adviser effective June 13, 1995. * Annualized ** Adjusted for Rights Offering. (1) Total investment return based on per share net asset value reflects the effects of change in net asset value on the performance of the Fund during each period, and assumes dividends and capital gains distributions, if any, were reinvested. These percentages are not an indication of the performance of a shareholder's investment in the Fund based on market value, due to differences between the market price of the stock and the net asset value of the Fund. Note: Current period permanent book-tax differences, if any, are not included in the calculation of net investment income per share. The accompanying notes are an integral part of the financial statements. 20 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - ------------ Credit Suisse Asset Management Income Fund, Inc., formerly known as BEA Income Fund, Inc. (the "Fund"), was incorporated on February 11, 1987 and is registered as a diversified, closed-end investment company under the Investment Company Act of 1940. The Fund's investment objective is to seek current income through investments primarily in debt securities. A. The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. Generally accepted accounting principles may require management to make estimates and assumptions that affect the amounts and disclosures in the financial statements. Actual reported results could differ from those estimates. 1. SECURITY VALUATION: Market values for fixed income securities are valued at the latest quoted bid price in the over-the-counter market. However, fixed income securities may be valued on the basis of prices provided by a pricing service which are based primarily on institutional size trading in similar groups of securities. Other securities listed on an exchange are valued at the latest quoted sales prices on the day of valuation or if there was no sale on such day, the last bid price quoted on such day. Securities purchased with remaining maturities of 60 days or less are valued at amortized cost, if it approximates market value. Securities for which market quotations are not readily available (including restricted investments which are subject to limitations as to their sale) are valued at fair value as determined in good faith by the Board of Directors. Such securities have a value of $272,957 (or 0.10% of net assets) at June 30, 1999. In determining fair value, consideration is given to cost, operating and other financial data. The Fund may invest up to 10% of its total assets in securities which are not readily marketable, including those which are restricted as to disposition under securities law ("restricted securities") (excludes 144A securities). These securities are valued pursuant to the valuation procedures noted above. 2. FEDERAL INCOME TAXES: It is the Fund's intention to continue to qualify as a regulated investment company and distribute all of its taxable income to shareholders. Accordingly, no provision for Federal income taxes is required in the financial statements. 3. REPURCHASE AGREEMENTS: In connection with transactions in repurchase agreements, a bank as custodian for the Fund takes possession of the underlying securities, the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market on a daily basis to determine the adequacy of the collateral. In the event of default on the obligation to repurchase, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral or proceeds may be subject to legal proceedings. 4. SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Security transactions are accounted for on the date the securities are purchased or sold. Costs used in determining realized gains and losses on the sale of investment securities are those of specific securities sold. Interest income is recognized on the accrual basis. Discounts on securities purchased are amortized according to the effective yield method over their respective lives. Discount or premium on mortgage backed securities is recognized upon receipt of principal payments on the underlying mortgage pools. Dividend income is recorded on the ex-dividend date. 5. DELAYED DELIVERY COMMITMENTS: The Fund may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. 6. DIVIDENDS AND DISTRIBUTIONS: The Fund pays dividends of net investment income monthly and makes distributions at least annually of any net capital gains in excess of applicable capital losses, including capital loss carryforward. Dividends and distributions are recorded on the ex-dividend date. Income distributions and capital gains distributions are determined in accordance with U.S. Federal Income Tax regulations which may differ from generally accepted accounting principles. These differences are principally due to timing of the recognition of defaulted bond interest. Permanent book and tax differences relating to shareholder distributions may result in reclassifications to undistributed net investment income (loss), undistributed net realized gain (loss) and paid in capital. B. Credit Suisse Asset Management, formerly known as BEA Associates (the "Adviser") provides investment advisory services to the Fund under the terms of an Advisory Agreement. Under the Advisory Agreement, the Adviser is paid a fee, computed weekly and payable quarterly at an annual rate of .50 % of average weekly net assets. C. Effective March 1, 1999, Brown Brothers Harriman & Co. ("BBH&Co."), replaced Chase Manhattan Bank as the Fund's Administrator and Custodian. 21 BBH&Co. provides services to the fund. Under the Administration and Custody Agreements, BBH&Co. is paid a fee based on average net assets. Effective January 25, 1999, BankBoston N.A. replaced Chase Manhattan Bank as the Fund's Transfer Agent. BankBoston provides transfer agent services to the fund. Under the Transfer Agent Agreement, BankBoston is paid a fee based on the number of accounts in the Fund per year. In addition, the Fund was charged certain out-of-pocket expenses by BankBoston. D. During the six months ended June 30, 1999, the Fund made purchases of $67,630,937 and sales of $72,900,015 of investment securities other than U.S. Government securities and short term investments. At June 30, 1999, the cost of investments for Federal income tax purposes was $277,094,843. Accordingly, net unrealized depreciation for Federal income tax purposes aggregated $21,244,871 of which $14,235,499 related to appreciated securities and $35,480,370 related to depreciated securities. At June 30, 1999 the Fund had a capital loss carryforward of $7,010,200 available to offset future capital gains of which $882,969, $3,865,851 and $2,261,380 will expire on December 31, 1999, 2000 and 2003, respectively. E. At June 30, 1999, 83.6% of the Fund's net assets comprised high yield fixed income securities. The financial condition of the issuers of the securities and general economic conditions may affect the issuers' ability to make payments of income and principal, as well as the market value of the securities. Such investments may also be less liquid and more volatile than investments in higher rated fixed income securities. At June 30, 1999, 0.9% of the Fund's net assets comprised foreign currency denominated fixed income securities. Changes in currency exchange rates will affect the value and net investment income from such securities. F. The Fund's Board of Directors has approved a share repurchase program authorizing the Fund from time to time to make open-market purchases on the New York Stock Exchange of up to 10 percent of the Fund's shares outstanding as of December 11, 1990. There were no repurchases of shares during the six months ended June 30, 1999. G. 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. H. Effective July 27, 1999, the Fund entered into a credit agreement with Deutsche Bank AG and State Street Bank and Trust Company. 22 SUMMARY OF QUARTERLY RESULTS OF OPERATIONS (UNAUDITED):
AMOUNTS IN THOUSANDS EXCEPT PER SHARE AMOUNTS THREE MONTHS ENDED ---------------------------------------------------------------------------- MARCH 31, 1999 JUNE 30, 1999 ----------------- ------------------ Investment Income............. $ 6,573 $ 0.19 $ 6,817 $ 0.20 Net Investment Income......... 6,085 0.18 6,359 0.18 Net Realized Gain (Loss) and Change in Unrealized Appreciation/Depreciation on Investments.................. (2,250) (0.07) (5,495) (0.16) Net Increase in Net Assets Resulting from Operations.... 3,834 0.11 865 0.02 SEPTEMBER 30, DECEMBER 31, MARCH 31, 1998 JUNE 30, 1998 1998 1998 ----------------- ------------------ ---------------- ---------------- Investment Income............. $ 6,624 $ 0.19 $ 6,580 $ 0.19 $ 6,687 $ 0.19 $ 6,846 $ 0.20 Net Investment Income......... 6,017 0.18 5,973 0.17 6,126 0.18 6,315 0.18 Net Realized Gain (Loss) and Change in Unrealized Appreciation/Depreciation on Investments.................. 3,082 0.09 (3,392) (0.10) (18,973) (0.55) (3,351) (0.10) Net Increase/Decrease in Net Assets Resulting from Operations................... 9,099 0.27 2,581 0.07 (11,680) (0.34) 1,797 0.05
SUPPLEMENTAL PROXY INFORMATION (UNAUDITED) The Annual Meeting of the Stockholders of the Credit Suisse Asset Management Income Fund, Inc. was held on Monday, May 10, 1999 at the offices of Willkie Farr & Gallagher 787 7th Avenue, New York City. The following is a summary of each proposal presented and the total number of shares voted:
VOTES IN VOTES VOTES PROPOSAL FAVOR OF AGAINST ABSTAINED - ------------------------------------------------------- ----------- ----------- ----------- 1. To elect the following four Directors: Enrique R. Arzac 28,855,681 475,833 -- Lawrence J. Fox 28,951,380 380,134 -- James S. Pasman, Jr. 28,886,113 445,401 -- William W. Priest, Jr. 28,905,317 426,197 -- 2. To ratify the selection of PricewaterhouseCoopers LLP as independent public accountants of the Fund until the next annual meeting. 28,817,109 208,216 306,190 3. To approve an amendment to the Fund's Articles of Incorporation to change the name of the Fund to Credit Suisse Asset Management Income Fund, Inc. 27,723,983 1,063,041 544,490
23 DESCRIPTION OF INVESTLINK-SM-* PROGRAM - --------- The InvestLink-SM- Program is sponsored and administered by BankBoston, N.A., not by Credit Suisse Asset Management Income Fund, Inc. (the "Fund"). BankBoston, N.A. 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 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. BankBoston, N.A., 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 the fees paid by the participant. In addition, each participant will receive copies of the Fund's annual and semi-annual reports to shareholders, proxy statements and, if applicable, dividend income information for tax reporting purposes. If the Fund is paying dividends on the Shares, a participant will receive dividends through the Program for all Shares held on the dividend record date on the basis of full and fractional Shares held in his account, and for all other Shares of the Fund registered in his name. The Program Administrator will send checks to the participants for the amounts of their dividends that are not to be automatically reinvested at no cost to the participants. Shares of the Fund purchased under the Program will be registered in the name of the accounts of the respective participants. Unless requested, the Fund will not issue to participants certificates for Shares of the Fund purchased under the Program. The Program Administrator will hold the Shares in book-entry form until a Program participant chooses to withdraw his Shares or terminate his participation in the Program. The number of Shares purchased for a participant's account under the Program will be shown on his statement of account. This feature protects against loss, theft or destruction of stock certificates. A participant may withdraw all or a portion of the Shares from his Program account by notifying the Program Administrator. After receipt of a participant's request, the Program Administrator will issue to such participant certificates for the whole Shares of the Fund so withdrawn or, if requested by the participant, sell the Shares for him and send him the proceeds, less applicable brokerage commissions, fees, and transfer taxes, if any. If a participant withdraws all full and fractional Shares in his Program account, his participation in the Program will be terminated by the Program Administrator. In no case will certificates for fractional Shares be issued. The Program Administrator will convert any fractional Shares held by a participant at the time of his withdrawal to cash. Participation in any rights offering, dividend distribution or stock split will be based upon both the Shares of the Fund registered in participants' names and the Shares (including fractional Shares) credited to participants' Program accounts. 24 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 of his Shares. Neither the Fund nor the Program Administrator can guarantee that Shares purchased under the Program will, at any particular time, be worth more or less than their purchase price. Each participant must make an independent investment decision based on his own judgment and research. While the Program Administrator hopes to continue the Program indefinitely, the Program Administrator reserves the right to suspend or terminate the Program at any time. It also reserves the right to make modifications to the Program. Participants will be notified of any such suspension, termination or modification in accordance with the terms and conditions of the Program. The Program Administrator also reserves the right to terminate any participant's participation in the Program at any time. Any question of interpretation arising under the Program will be determined in good faith by the Program Administrator and any such good faith determination will be final. Any interested investor may participate in the Program. To participate in the Program, an investor who is not already a registered owner of the Shares must make an initial investment of at least $250.00. All other cash payments or bank account deductions must be at least $100.00, up to a maximum of $100,000.00 annually. An interested investor may join the Program by reading the Program description, completing and signing the enrollment form and returning it to the Program Administrator. The enrollment form and information relating to the Program (including the terms and conditions) may be obtained by calling the Program Administrator at one of the following telephone numbers: First Time Investors-- (888) 697-8026; Current Shareholders--(800) 730-6001. All correspondence regarding the Program should be directed to: BankBoston, N.A., InvestLink Program, P.O. Box 8040, Boston, MA 02266-8040. - ------------------------------------------------------ *InvestLink is a service mark of Boston EquiServe Limited Partnership. 25 4946-SAR-99 -----END PRIVACY-ENHANCED MESSAGE-----