N-30D 1 a2083488zn-30d.txt N-30D CREDIT | ASSET SUISSE | MANAGEMENT CREDIT SUISSE FUNDS Semiannual Report CLASS A, B AND C SHARES April 30, 2002 (Unaudited) - CREDIT SUISSE FIXED INCOME FUND More complete information about the Fund, including charges and expenses, is provided in the Prospectus, which must precede or accompany this document and which should be read carefully before investing. You may obtain additional copies by calling 800-927-2874 or by writing to Credit Suisse Funds, P.O. Box 9030, Boston, MA 02205-9030. Credit Suisse Asset Management Securities, Inc., Distributor, is located at 466 Lexington Ave., New York, NY 10017-3147. Credit Suisse Funds are advised by Credit Suisse Asset Management, LLC. THE FUND'S INVESTMENT ADVISER AND CO-ADMINISTRATORS MAY WAIVE SOME FEES AND/OR REIMBURSE SOME EXPENSES, WITHOUT WHICH PERFORMANCE WOULD BE LOWER. WAIVERS AND/OR REIMBURSEMENTS ARE SUBJECT TO CHANGE. RETURNS INCLUDE CHANGE IN SHARE PRICE AND REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. PAST PERFORMANCE CANNOT GUARANTEE FUTURE RESULTS. RETURNS AND SHARE PRICE WILL FLUCTUATE, AND REDEMPTION VALUE MAY BE MORE OR LESS THAN ORIGINAL COST. THE VIEWS OF THE FUND'S MANAGEMENT ARE AS OF THE DATE OF THE LETTER AND THE PORTFOLIO HOLDINGS DESCRIBED IN THIS DOCUMENT ARE AS OF APRIL 30, 2002; THESE VIEWS AND PORTFOLIO HOLDINGS MAY HAVE CHANGED SUBSEQUENT TO THESE DATES. NOTHING IN THIS DOCUMENT IS A RECOMMENDATION TO PURCHASE OR SELL SECURITIES. FUND SHARES ARE NOT DEPOSITS OR OTHER OBLIGATIONS OF CREDIT SUISSE ASSET MANAGEMENT, LLC ("CSAM") OR ANY AFFILIATE, ARE NOT FDIC-INSURED AND ARE NOT GUARANTEED BY CSAM OR ANY AFFILIATE. CREDIT SUISSE FIXED INCOME FUND PORTFOLIO MANAGER'S LETTER April 30, 2002 May 28, 2002 Dear Shareholder: For the six months ended April 30, 2002, the Class A (without sales charge)(1), Class B (without contingent deferred sales charge)(1), and Class C (without contingent deferred sales charge)(1) shares of Credit Suisse Fixed Income Fund(2) (the "Fund") were down 1.83%, 2.19% and 2.19%, respectively, vs. a decline of 0.01% for the Lehman Brothers Aggregate Bond Index.(3) The period was an overall lackluster one for bonds, though performance varied by market segment. Treasury securities, often highly sensitive to moves in interest rates, were hindered by fears that the Federal Reserve (the "Fed") would begin to lift rates from historically low levels. Investment-grade corporate bonds fared somewhat better, aided by signs of an improving economy but also restrained by fears of "other Enrons." Elsewhere, mortgage-backed securities (MBS), commercial MBS (CMBS) and asset-backed securities (ABS) had relatively good performance. MBS benefited from a receding wave of refinancing activity, while CMBS and ABS drew support from signs of an improving economy. One area of strong performance in the period was high-yield corporate debt, though the group was fairly volatile. In this environment, the Fund had a loss and lagged its benchmark. Bonds that hampered the Fund included certain corporate holdings -- e.g., specific telecom and industrial bonds -- as well as its Argentine securities (we exited our position in Argentina in the period). One factor that contributed positively to the Fund's return was its significant exposure to high-yield corporate issues, which accounted for about 8.75% of the Fund as of April 30. Looking ahead, we are optimistic regarding the prospects for non-Treasury bonds such as corporate and mortgage-backed issues, and intend to maintain sizable positions in those sectors. We believe that a number of factors should support these bonds, foremost the economy's emerging recovery, which should prove to be a net positive for credit quality; the Fed's apparent unwillingness to sharply raise rates; aggressive efforts by many companies to cut costs and de-leverage their balance sheets; and an improving trend in corporate fundamentals. We also believe that, sooner rather that later, investors' worries over Enron-type accounting problems will begin to fade. With specific regard to high-yield securities, we currently view valuations here as appealing, and believe that the group's default rate will peak in 2002 and begin to decline, assuming the economy continues to rebound. As with 1 our approach to investment-grade corporate bonds, we plan to continue to strictly limit high-yield position sizes while maintaining a high degree of diversification. We have become more cautious regarding emerging-market debt, where valuations have risen to the point at which we feel they no longer provide reasonable compensation for downside risk. Gregg M. Diliberto, Jo Ann Corkran, Leland Crabbe, Jose A. Rodriguez, Co-Portfolio Co-Portfolio Co-Portfolio Co-Portfolio Manager Manager Manager Manager
SUMMARY OF TOTAL RETURNS -- WITHOUT SALES CHARGE OR CDSC (4/30/02) ------------------------------------------------------------------ SINCE INCEPTION CLASS INCEPTION DATE ----------- ------------- ------------- Class A 0.78% 7/31/2001 Class B 0.24% 7/31/2001 Class C 0.17% 7/31/2001 SUMMARY OF TOTAL RETURNS -- WITH SALES CHARGE OR CDSC (4/30/02) ---------------------------------------------------------------- SINCE INCEPTION CLASS INCEPTION DATE ----------- ------------- ------------- Class A -3.99% 7/31/2001 Class B -3.62% 7/31/2001 Class C -0.80% 7/31/2001
Class A shares have a maximum front-end sales charge of 4.75%. Class B and Class C shares have a maximum contingent deferred sales charge of 4.00% and 1.00%, respectively. ------------------- (1) Total return for Class A shares for the reporting period, based on offering price (with sales charge) was (6.53%). Total return for Class B shares for the reporting period, based on redemption value (including contingent deferred sales charge) was (6.02%). Total return for Class C shares for the reporting period, based on redemption value (including contingent deferred sales charge) was (3.15%). (2) Name changed from Credit Suisse Warburg Pincus Fixed Income Fund effective December 12, 2001. (3) The Lehman Brothers Aggregate Bond Index is composed of the Lehman Brothers Government/Corporate Bond Index and the Lehman Brothers Mortgage-Backed Securities Index, and includes U.S. Treasury and agency issues, corporate bond issues and mortgage-backed securities rated investment-grade or higher by Moody's investors Service, Standard & Poor's Corporation or Fitch Investors' Service. Investors cannot invest directly in an index. 2 CREDIT SUISSE FIXED INCOME FUND SCHEDULE OF INVESTMENTS April 30, 2002 (Unaudited)
PAR RATINGS(1) (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ----- ----- CORPORATE BONDS (47.8%) AEROSPACE & DEFENSE (0.0%) $ 10 Sequa Corp., Senior Notes (BB , Ba3) 08/01/09 9.000 $ 10,350 75 Sequa Corp., Series B, Senior Notes (BB , Ba3) 04/01/08 8.875 77,437 ------------ 87,787 ------------ APPAREL (0.0%) 115 Levi Strauss & Co. (BB- , B2) 11/01/06 7.000 108,675 ------------ AUTOMOBILE MANUFACTURERS (2.1%) 925 DaimlerChrysler NA Holding Corp., Company Guaranteed, Global Notes (BBB+ , A3) 01/18/11 7.750 988,075 1,215 DaimlerChrysler NA Holding Corp., Company Guaranteed, Global Notes (BBB+ , A3) 01/18/31 8.500 1,352,731 2,255 General Motors Corp., Global Bonds (BBB+ , A3) 05/01/28 6.750 2,055,268 2,025 General Motors Corp., Global Notes (BBB+ , A3) 01/15/11 7.200 2,073,851 ------------ 6,469,925 ------------ AUTOMOBILE PARTS & EQUIPMENT (0.3%) 225 Collins & Aikman Products Corp., Company Guaranteed, Senior Subordinated Notes (Callable 4/15/03 @ $101.92) (B , B2) 04/15/06 11.500 227,812 730 Visteon Corp., Global Senior Notes (BBB , Baa2) 08/01/10 8.250 766,226 ------------ 994,038 ------------ BANKS (4.0%) 300 Bank of America Corp., Global Subordinated Notes (A , Aa3) 01/15/11 7.400 323,515 705 Bank One Corp., Global Subordinated Notes (A- , A1) 08/01/10 7.875 782,926 4,685 Bank One Corp., Global Subordinated Notes (A- , A1) 11/15/11 5.900 4,588,784 1,050 Citicorp, Series F, Medium Term, Subordinated Notes (A+ , A1) 11/15/08 6.375 1,087,676 4,055 J.P. Morgan Chase & Co. (A+ , A1) 03/15/12 6.625 4,070,875 1,490 Wells Fargo Bank NA, Subordinated Notes (A+ , Aa2) 02/01/11 6.450 1,528,810 ------------ 12,382,586 ------------ BUILDING MATERIALS (0.2%) 235 Brand Scaffold Services, Senior Unsecured Notes (Callable 2/15/03 @ $105.12) (B- , B3) 02/15/08 10.250 226,775 170 Building Materials Corp., Company Guaranteed (B+ , B2) 12/01/08 8.000 140,462 160 Dayton Superior Corp., Company Guaranteed Notes (Callable 6/15/07 @ $102.17) (B- , B3) 06/15/09 13.000 160,800 ------------ 528,037 ------------
See Accompanying Notes to Financial Statements. 3
PAR RATINGS(1) (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ----- ----- CORPORATE BONDS (CONTINUED) CHEMICALS (0.1%) $ 240 Applied Extrusion Technologies, Inc., Series B, Company Guaranteed (Callable 7/01/06 @ $105.37) (B , B2) 07/01/11 10.750 $ 231,600 150 Mississippi Chemical Corp. (B , B3) 11/15/17 7.250 84,750 110 Scotts Co., Company Guaranteed (Callable 1/15/04 @ $104.31) (B+ , B2) 01/15/09 8.625 113,575 ------------ 429,925 ------------ COMMERCIAL SERVICES (0.1%) 80 Iron Mountain, Inc., Company Guaranteed (Callable 4/01/06 @ $104.313) (B , B2) 04/01/13 8.625 82,800 180 La Petite Academy, Inc., Series B, Company Guaranteed (Callable 5/15/03 @ $105.00) (CCC- , Caa3) 05/15/08 10.000 130,500 ------------ 213,300 ------------ COMPUTERS (0.1%) 80 DIVA Systems Corp., Series B, Senior Discount Notes (Callable 3/01/03 @ $106.31)(2) (NR , NR) 03/01/08 12.625 10,800 160 Unisys Corp., Senior Notes (BB+ , Ba1) 01/15/05 7.250 161,000 ------------ 171,800 ------------ DIVERSIFIED FINANCIALS (7.3%) 2,550 Ford Motor Credit Co., Global Notes (BBB+ , A3) 01/25/07 6.500 2,535,983 3,795 Ford Motor Credit Co., Global Notes (BBB+ , A3) 10/28/09 7.375 3,836,563 2,350 Ford Motor Credit Co., Global Notes (BBB+ , A3) 10/25/11 7.250 2,345,168 3,960 General Electric Capital Corp. (AAA , Aaa) 03/15/32 6.750 3,922,622 1,325 General Motors Acceptance Corp., Global Notes (BBB+ , A2) 09/15/11 6.875 1,327,113 4,110 Goldman Sachs Group, Inc., Global Notes (A+ , A1) 01/15/12 6.600 4,092,052 325 Goldman Sachs Group, Inc., Series EMTN, Global Senior Unsubordinated (A+ , A1) 01/28/10 7.800 350,125 725 Lehman Brothers Holdings, Inc., Global Notes (A , A2) 05/15/06 6.250 747,624 2,190 Lehman Brothers Holdings, Inc., Global Notes (A , A2) 06/15/07 8.250 2,440,702 800 National Rural Utilities Cooperative Finance Corp., Global Bonds (A , A2) 03/01/32 8.000 862,148 ------------ 22,460,100 ------------ ELECTRIC (5.6%) 50 Calpine Corp., Senior Notes (B+ , B1) 08/15/10 8.625 42,821 1,825 Calpine Corp., Senior Notes (B+ , B1) 02/15/11 8.500 1,563,102 755 Cilcorp, Inc., Bonds (BB+ , Baa2) 10/15/29 9.375 845,177 205 CMS Energy Corp., Series B, Senior Notes (BB , Ba3) 01/15/04 6.750 207,149 990 FirstEnergy Corp., Series B, Global Notes (BBB- , Baa2) 11/15/11 6.450 937,231 1,085 FirstEnergy Corp., Series C, Global Notes (BBB- , Baa2) 11/15/31 7.375 1,027,596
See Accompanying Notes to Financial Statements. 4
PAR RATINGS(1) (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ----- ----- CORPORATE BONDS (CONTINUED) ELECTRIC (CONTINUED) $ 1,755 Mirant Americas Generation LLC, Rule 144A, Private Placement Bonds(3) (BBB- , Ba1) 10/01/21 8.500 $ 1,522,054 2,275 Mirant Americas Generation LLC, Senior Notes (BBB- , Ba1) 05/01/06 7.625 2,163,423 1,345 NRG Energy, Inc., Senior Notes (BBB- , Baa3) 09/15/10 8.250 1,335,760 2,140 NRG Energy, Inc., Senior Notes (BBB- , Baa3) 04/01/11 7.750 2,052,025 1,165 NRG Energy, Inc., Senior Notes (BBB- , Baa3) 04/01/31 8.625 1,106,738 1,775 PG&E National Energy Group, Global Senior Notes (BBB , Baa2) 05/16/11 10.375 1,858,141 795 Progress Energy, Inc., Senior Notes (BBB , Baa1) 03/01/06 6.750 824,671 855 PSEG Power LLC, Global Company Guaranteed (BBB , Baa1) 04/15/06 6.875 878,544 1,035 Texas Utilities Holdings Corp., Series J, Senior Notes (BBB , Baa3) 06/15/06 6.375 1,049,675 ------------ 17,414,107 ------------ ELECTRICAL COMPONENTS & EQUIPMENT (0.0%) 20 Motors & Gears, Inc., Series D, Senior Notes (Callable 11/15/02 @ $103.58) (B- , Caa1) 11/15/06 10.750 19,300 ------------ ENTERTAINMENT (0.3%) 445 Argosy Gaming Co., Company Guaranteed (Callable 6/01/04 @ $105.38) (B+ , B2) 06/01/09 10.750 494,506 20 Horseshoe Gaming Holdings, Series B, Company Guaranteed (Callable 5/15/04 @ $104.31) (B+ , B2) 05/15/09 8.625 20,900 20 Isle of Capri Casinos, Inc., Company Guaranteed (Callable 4/15/04 @ $104.38) (B , B2) 04/15/09 8.750 20,600 310 Mohegan Tribal Gaming, Global Senior Subordinated Notes (Callable 7/01/06 @ $104.188) (BB- , Ba3) 07/01/11 8.375 319,300 175 Sun International Hotels, Ltd., Global Company Guaranteed (Callable 8/15/06 @ $104.438) (B+ , Ba3) 08/15/11 8.875 182,000 ------------ 1,037,306 ------------ ENVIRONMENTAL CONTROL (1.1%) 1,580 Allied Waste North America, Series B, Company Guaranteed (Callable 8/01/04 @ $105.00) (B+ , B2) 08/01/09 10.000 1,631,350 45 Allied Waste North America, Series B, Company Guaranteed, Senior Subordinated Notes (Callable 1/01/04 @ $103.94) (BB- , Ba3) 01/01/09 7.875 44,606 1,600 Allied Waste North America, Series B, Global Company Guaranteed (BB- , Ba3) 04/01/08 8.875 1,660,000 ------------ 3,335,956 ------------
See Accompanying Notes to Financial Statements. 5
PAR RATINGS(1) (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ----- ----- CORPORATE BONDS (CONTINUED) FOOD (0.3%) $ 300 Agrilink Foods, Inc., Company Guaranteed, Senior Subordinated Notes (Callable 11/01/03 @ $105.94) (B- , B3) 11/01/08 11.875 $ 316,500 30 Archibald Candy Corp., Company Guaranteed, Senior Secured Notes (Callable 7/01/02 @ $102.56)(4) (D , Caa2) 07/01/04 10.250 14,850 195 Aurora Foods, Inc., Series B, Senior Subordinated Notes (Callable 7/01/03 @ $106.38) (CCC+ , Caa1) 07/01/08 8.750 187,687 135 Fleming Companies, Inc., Company Guaranteed (Callable 4/01/05 @ $105.06) (B+ , Ba3) 04/01/08 10.125 142,425 180 Land O' Lakes, Inc., Senior Notes (Callable 11/15/06 @ $104.375) (BB , Ba3) 11/15/11 8.750 169,200 110 Stater Brothers Holdings, Senior Notes (Callable 8/15/03 @ $105.38) (B- , B2) 08/15/06 10.750 117,562 ------------ 948,224 ------------ FOREIGN BONDS (0.0%) 65 Rogers Communications, Inc., Yankee Senior Notes (Callable 1/15/03 @ $101.52) (BB- , Ba2) 01/15/06 9.125 65,650 ------------ FOREST PRODUCTS, PAPER (0.4%) 365 Georgia-Pacific Corp., Notes (BBB- , Baa3) 05/15/31 8.875 353,759 835 Weyerhaeuser Co., Notes (A- , A3) 08/01/06 6.000 841,296 ------------ 1,195,055 ------------ GAS (0.4%) 1,025 Keyspan Corp., Senior Notes (A , A3) 11/15/30 8.000 1,166,610 ------------ HEALTHCARE SERVICES (0.2%) 100 Extendicare Health Services, Inc., Company Guaranteed, Senior Subordinated Notes (Callable 12/15/02 @ $104.68) (CCC+ , B3) 12/15/07 9.350 95,000 90 HCA - The Healthcare Co. (BBB- , Ba1) 09/01/10 8.750 100,703 180 HCA, Inc. (BBB- , Ba1) 06/15/05 6.910 185,402 240 Magellan Health Services, Inc., Senior Subordinated Notes (Callable 2/15/03 @ $104.50) (B- , B3) 02/15/08 9.000 205,200 ------------ 586,305 ------------ HOLDING COMPANIES (0.1%) 150 Werner Holdings Co., Inc., Series A, Company Guaranteed (Callable 11/15/02 @ $105.00) (B- , B2) 11/15/07 10.000 153,000 ------------
See Accompanying Notes to Financial Statements. 6
PAR RATINGS(1) (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ----- ----- CORPORATE BONDS (CONTINUED) HOME BUILDERS (0.1%) $ 90 KB Home, Senior Subordinated Notes (Callable 2/15/06 @ $104.75) (BB- , Ba3) 02/15/11 9.500 $ 94,500 65 Ryland Group (BB+ , Ba2) 09/01/10 9.750 71,825 ------------ 166,325 ------------ INSURANCE (0.4%) 2,415 Conseco, Inc., Rule 144A, Company Guaranteed(3) (B , NR) 04/15/08 9.000 1,356,988 ------------ INVESTMENT COMPANIES (0.1%) 165 Majestic Investor Holdings, Rule 144A, Private Placement, Company Guaranteed (Callable 11/30/05 @ $105.83)(2),(3) (B , B2) 11/30/07 11.653 157,369 ------------ IRON & STEEL (0.0%) 85 AK Steel Corp., Company Guaranteed (Callable 2/15/04 @ $103.94) (BB , Ba2) 02/15/09 7.875 86,169 20 AK Steel Corp., Senior Notes (Callable 6/03/02 @ $104.56) (BB , B1) 12/15/06 9.125 20,900 ------------ 107,069 ------------ LEISURE (0.1%) 245 Hard Rock Hotel, Inc., Series B, Senior Subordinated Notes (Callable 4/01/03 @ $102.31) (B- , Caa2) 04/01/05 9.250 244,387 ------------ LODGING (2.8%) 345 Ameristar Casinos, Inc., Company Guaranteed (Callable 2/15/06 @ $105.38) (B- , B3) 02/15/09 10.750 384,675 120 Aztar Corp., Senior Subordinated Notes (Callable 5/15/03 @ $104.44) (B+ , Ba3) 05/15/07 8.875 125,700 35 Boyd Gaming Corp. (Callable 8/01/05 @ $104.63) (BB- , Ba3) 08/01/09 9.250 37,887 530 Hilton Hotels Corp., Notes (BBB- , Ba1) 02/15/11 8.250 548,352 3,000 HMH Properties, Inc., Series B, Senior Notes (Callable 5/15/02 @ $101.19)(5) (NR , NR) 05/15/05 9.500 3,030,000 515 ITT Corp. (BBB- , Ba1) 11/15/05 6.750 510,502 20 MGM Mirage, Inc., Company Guaranteed (BB+ , Ba2) 06/01/07 9.750 22,150 1,495 Park Place Entertainment, Senior Subordinated Notes (BB+ , Ba2) 12/15/05 7.875 1,524,900 245 Prime Hospitality Corp., Rule 144A, Senior Subordinated Notes (Callable 5/01/07 @ $104.188)(3) (B+ , B1) 05/01/12 8.375 250,512 1,810 Starwood Hotels & Resorts Worldwide, Inc., Rule 144A, Notes(3) (BBB- , Ba1) 05/01/07 7.375 1,830,362
See Accompanying Notes to Financial Statements. 7
PAR RATINGS(1) (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ----- ----- CORPORATE BONDS (CONTINUED) LODGING (CONTINUED) $ 290 Windsor Woodmont Black Hawk, Series B, First Mortgage (Callable 3/15/03 @ $108.666) (CCC+ , NR) 03/15/05 13.000 $ 262,088 ------------ 8,527,128 ------------ MEDIA (4.7%) 125 Adelphia Communications Corp., Senior Notes (CCC , B3) 01/15/07 8.875 110,000 185 Adelphia Communications Corp., Senior Notes (CCC , B3) 05/01/09 7.875 145,688 355 Adelphia Communications Corp., Senior Notes (CCC , B3) 11/15/09 9.375 291,100 540 Adelphia Communications Corp., Senior Notes (CCC , B3) 06/15/11 10.250 453,600 10 American Lawyer Media, Series B, Company Guaranteed (Callable 12/15/02 @ $104.87) (CCC+ , B3) 12/15/07 9.750 8,300 1,650 AOL Time Warner, Inc., Global Bonds (BBB+ , Baa1) 04/15/31 7.625 1,544,405 1,400 AOL Time Warner, Inc., Global Notes (BBB+ , Baa1) 05/01/07 6.150 1,359,142 550 Charter Communications Holdings LLC (B+ , B2) 11/15/09 9.625 514,250 1,085 Charter Communications Holdings LLC, Global Senior Notes (B+ , B2) 10/01/09 10.750 1,074,150 35 Charter Communications Holdings LLC, Senior Notes (Callable 4/01/04 @ $104.31) (B+ , B2) 04/01/09 8.625 31,413 580 Clear Channel Communications, Inc. Global Notes (BBB- , Baa3) 11/01/06 6.000 564,581 50 Coaxial Communications of Central Ohio, Inc., Company Guaranteed, Senior Notes (Callable 8/15/02 @ $105.00) (B , B3) 08/15/06 10.000 51,000 1,805 Comcast Cable Communications, Senior Notes (BBB , Baa2) 01/30/11 6.750 1,728,105 1,150 Cox Communications, Inc. (BBB , Baa2) 11/01/10 7.750 1,168,109 90 CSC Holdings, Inc., Series B, Senior Notes (BB+ , Ba1) 07/15/09 8.125 88,427 1,600 CSC Holdings, Inc., Series B, Senior Notes (BB+ , Ba1) 04/01/11 7.625 1,501,152 745 Fox Sports Network LLC, Senior Notes (Callable 8/15/02 @ $104.44) (BBB- , Ba1) 08/15/07 8.875 774,800 165 Frontiervision Holdings LP, Senior Discount Notes (Callable 9/15/02 @ $105.94) (CCC- , B2) 09/15/07 11.875 158,813 25 James Cable Partners LP, Series B, Senior Notes (Callable 8/15/02 @ $102.69) (NR , Caa2) 08/15/04 10.750 17,375 110 Lin Television Corp., Company Guaranteed (Callable 3/01/03 @ $104.188) (B- , B2) 03/01/08 8.375 111,375 620 News America Holdings, Inc., Company Guaranteed (BBB- , Baa3) 02/01/13 9.250 704,047 1,190 News America Holdings, Inc., Debentures (BBB- , Baa3) 08/10/18 8.250 1,241,459 70 Northland Cable Television, Company Guaranteed (Callable 11/15/02 @ $105.12) (B- , Caa1) 11/15/07 10.250 58,275 195 Olympus Communications LP, Series B, Senior Notes (Callable 11/15/02 @ $103.54) (CCC , B2) 11/15/06 10.625 188,175 95 Salem Communications Corp., Series B, Company Guaranteed, (Callable 10/01/02 @ $104.75) (B- , B3) 10/01/07 9.500 99,988
See Accompanying Notes to Financial Statements. 8
PAR RATINGS(1) (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ----- ----- CORPORATE BONDS (CONTINUED) MEDIA (CONTINUED) $ 430 Time Warner, Inc., Company Guaranteed (BBB+ , Baa1) 05/15/29 6.625 $ 355,623 135 Young Broadcasting, Inc., Global Company Guaranteed (Callable 3/01/06 @ $105.00) (B , B2) 03/01/11 10.000 142,425 ------------ 14,485,777 ------------ MINING (0.2%) 760 Phelps Dodge Corp., Senior Notes (BBB- , Baa3) 06/01/31 9.500 743,482 ------------ OIL & GAS (3.2%) 135 Abraxas Petroleum Corp., Series B, Company Guaranteed (Callable 3/15/03 @ $100.00) (NR , B3) 03/15/03 12.875 135,675 1,200 Anadarko Petroleum Corp., Debentures (BBB+ , Baa1) 10/15/26 7.500 1,235,366 215 Chesapeake Energy Corp., Global Company Guaranteed, Senior Notes (Callable 4/01/06 @ $104.06) (B+ , B2) 04/01/11 8.125 216,075 2,160 Conoco Funding Co., Global Company Guaranteed (BBB+ , Baa1) 10/15/31 7.250 2,280,867 1,690 Consolidated Natural Gas Co., Senior Notes (BBB+ , A3) 04/15/11 6.850 1,725,037 210 Denbury Management, Inc., Company Guaranteed, Senior Subordinated Notes (Callable 3/01/03 @ $104.50) (B- , B3) 03/01/08 9.000 208,950 1,590 Dominion Resources, Inc., Debentures (Putable 10/15/06 @ $100.00) (BBB+ , A3) 10/15/26 6.875 1,666,969 870 Enterprise Products Partners LP, Company Guaranteed (BBB , Baa2) 02/01/11 7.500 896,709 370 Magnum Hunter Resources, Inc., Company Guaranteed (Callable 6/01/02 @ $105.00) (B , B2) 06/01/07 10.000 389,425 20 Mission Resources Corp., Series C, Global Company Guaranteed (Callable 4/01/03 @ $103.625) (B- , B3) 04/01/07 10.875 18,800 20 Ocean Energy, Inc., Series B, Company Guaranteed (Callable 7/01/03 @ $104.19) (BB+ , Ba1) 07/01/08 8.375 21,050 45 Parker Drilling Co., Series D, Company Guaranteed (Callable 11/15/02 @ $103.25) (B+ , B1) 11/15/06 9.750 46,463 275 Southwest Royalties, Inc., Series B, Company Guaranteed (Callable 10/15/02 @ $102.63) (CCC- , Caa2) 10/15/04 10.500 204,875 690 Tesoro Escrow Corp. (Callable 4/01/07 @ $104.813) (B+ , B1) 04/01/12 9.625 708,975 ------------ 9,755,236 ------------
See Accompanying Notes to Financial Statements. 9
PAR RATINGS(1) (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ----- ----- CORPORATE BONDS (CONTINUED) PACKAGING & CONTAINERS (0.4%) $ 165 Four M Corp., Series B, Senior Secured Notes (Callable 6/01/02 @ $104.00) (B , B3) 06/01/06 12.000 $ 169,950 900 MeadWestvaco Corp., Company Guaranteed (BBB , Baa2) 04/01/12 6.850 914,252 160 Owens-Brockway Glass Container, Rule 144A, Private Placement, Secured (Callable 2/15/06 @ 104.438)(3) (BB , B2) 02/15/09 8.875 166,000 140 Owens-Illinois, Inc., Senior Notes (B+ , B3) 05/15/08 7.350 127,400 ------------ 1,377,602 ------------ PHARMACEUTICALS (0.0%) 145 NBTY, Inc., Series B, Senior Subordinated Notes (Callable 9/15/02 @ $104.31) (B+ , B1) 09/15/07 8.625 147,175 ------------ PIPELINES (2.9%) 1,365 Duke Energy Field Services, Notes (BBB , Baa2) 08/16/05 7.500 1,416,065 1,675 El Paso Corp., Series MTN, Global Senior Notes (BBB , Baa2) 08/01/31 7.800 1,688,686 1,510 El Paso Corp., Series MTN, Global Senior Notes (BBB , Baa2) 01/15/32 7.750 1,512,840 150 Western Gas Resources, Inc., Company Guaranteed (Callable 6/15/04 @ $105.00) (BB- , Ba3) 06/15/09 10.000 162,000 1,160 Williams Companies, Inc., Notes (BBB , Baa2) 09/01/21 7.875 1,113,673 665 Williams Companies, Inc., Notes (BBB , Baa2) 06/15/31 7.750 624,243 1,775 Williams Companies, Inc., Rule 144A, Bonds(3) (BBB , Baa2) 03/15/32 8.750 1,846,488 550 Williams Companies, Inc., Series A, Global Debentures (BBB- , Baa2) 01/15/31 7.500 501,987 ------------ 8,865,982 ------------ RETAIL (0.0%) 120 Sbarro, Inc., Company Guaranteed, Senior Notes (Callable 9/15/04 @ $105.50) (B+ , Ba3) 09/15/09 11.000 124,200 ------------ SAVINGS & LOANS (0.0%) 75 Sovereign Bancorp, Inc., Senior Notes (BB+ , Ba2) 11/15/06 10.500 82,313 ------------ TELECOMMUNICATIONS (10.2%) 175 Alamosa PCS Holdings, Inc., Company Guaranteed (Callable 2/15/05 @ $106.44)(2) (CCC , Caa1) 02/15/10 12.875 84,875 1,870 AT&T Corp., Global Notes (BBB+ , A3) 03/15/09 6.000 1,651,360 440 AT&T Corp., Global Notes (BBB+ , A3) 03/15/29 6.500 333,903 2,020 AT&T Corp., Rule 144A, Private Placement Senior Notes(3) (BBB+ , A3) 11/15/11 7.300 1,855,915 1,900 AT&T Wireless Services, Inc., Global Notes (BBB , Baa2) 05/01/07 7.500 1,901,623 680 AT&T Wireless Services, Inc., Global Senior Notes (BBB , Baa2) 03/01/11 7.875 665,645 495 AT&T Wireless Services, Inc., Global Senior Notes (BBB , Baa2) 03/01/31 8.750 486,373 1,155 Citizens Communications Co., Global Senior Notes (BBB , Baa2) 08/15/08 7.625 1,151,676 1,465 Citizens Communications Co., Notes (BBB , Baa2) 05/15/06 8.500 1,537,923
See Accompanying Notes to Financial Statements. 10
PAR RATINGS(1) (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ----- ----- CORPORATE BONDS (CONTINUED) TELECOMMUNICATIONS (CONTINUED) $ 80 Dobson Communications Corp., Senior Notes (Callable 7/01/05 @ $105.44) (B- , B3) 07/01/10 10.875 $ 74,800 2,260 Global Crossing Holdings, Ltd., Yankee Company Guaranteed (Callable 11/01/04 @ $104.75)(4) (NR , NR) 11/15/09 9.500 45,200 60 Insight Midwest, Global Senior Notes (Callable 11/01/05 @ $105.25) (B+ , B1) 11/01/10 10.500 63,600 20 Insight Midwest, Senior Notes (Callable 10/01/04 @ $104.87) (B+ , B1) 10/01/09 9.750 20,700 710 Intermedia Communications, Inc., Series B, Senior Discount Notes (Callable 7/15/02 @ $105.63)(2) (BBB , Baa2) 07/15/07 11.250 518,300 290 Intermedia Communications, Inc., Series B, Senior Notes (Callable 6/01/03 @ $104.30) (BBB , Baa2) 06/01/08 8.600 210,250 155 Lucent Technologies, Inc., Notes (B+ , B2) 07/15/06 7.250 127,100 45 Nextel Communications, Inc., Senior Discount Notes (Callable 2/15/03 @ $104.97)(2) (B , B1) 02/15/08 9.950 28,688 1,265 Nextel Communications, Inc., Senior Notes (Callable 11/15/04 @ $104.688) (B , B1) 11/15/09 9.375 888,663 1,480 Nextel Communications, Inc., Senior Notes (Callable 2/01/06 @ $104.75) (B , B1) 02/01/11 9.500 1,017,500 545 Qwest Capital Funding, Inc., Company Guaranteed (BBB- , Baa3) 08/15/06 7.750 422,779 1,005 Qwest Capital Funding, Inc., Company Guaranteed (BBB , Baa1) 11/15/18 6.500 660,759 1,820 Qwest Capital Funding, Inc., Global Company Guaranteed (BBB+ , Baa1) 08/03/04 5.875 1,501,804 600 Qwest Capital Funding, Inc., Global Company Guaranteed (BBB+ , Baa1) 08/03/09 7.000 429,658 2,605 Qwest Capital Funding, Inc., Global Company Guaranteed (BBB- , Baa3) 02/15/11 7.250 1,893,054 3,110 Sprint Capital Corp., Rule 144A(3) (BBB+ , Baa2) 03/15/32 8.750 2,973,875 1,880 Sprint Capital Corp., Global Company Guaranteed (BBB+ , Baa2) 01/15/07 6.000 1,721,433 2,900 Sprint Capital Corp., Global Company Guaranteed (BBB+ , Baa2) 11/15/28 6.875 2,253,837 306 TeleCorp PCS, Inc., Company Guaranteed, Senior Subordinated Notes (Callable 4/15/04 @ $105.81)(2) (BBB , Baa3) 04/15/09 11.625 275,400 90 U.S. Unwired, Inc., Series B, Company Guaranteed, (Callable 11/01/04 @ $106.69)(2) (CCC+ , B3) 11/01/09 13.375 60,300 2,950 Verizon Wireless, Inc., Rule 144A(3) (A+ , A2) 12/15/06 5.375 2,824,988 650 Voicestream Wireless Corp., Senior Discount Notes (Callable 11/15/04 @ $105.94)(2) (A- , Baa1) 11/15/09 11.875 570,200 370 Voicestream Wireless Corp., Senior Notes (Callable 11/15/04 @ $105.19) (A- , Baa1) 11/15/09 10.375 401,450 2,215 WorldCom, Inc., Global Bonds (BB , Ba2) 05/15/31 8.250 976,186 3,085 WorldCom, Inc., Global Notes (BB , Ba2) 05/15/11 7.500 1,452,116
See Accompanying Notes to Financial Statements. 11
PAR RATINGS(1) (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ----- ----- CORPORATE BONDS (CONTINUED) TELECOMMUNICATIONS (CONTINUED) $ 940 XO Communications, Inc., Senior Discount Notes (Callable 4/15/03 @ $104.72)(2),(4) (B , Ca) 04/15/08 9.450 $ 115,150 1,290 XO Communications, Inc., Senior Discount Notes (Callable 12/01/04 @ $106.06)(2),(4) (NR , Ca) 12/01/09 12.125 132,225 1,805 XO Communications, Inc., Senior Notes (Callable 12/01/04 @ $105.25)(4) (NR , Ca) 12/01/09 10.500 261,725 ------------ 31,591,033 ------------ TEXTILES (0.1%) 110 Simmons Co., Series B, Senior Subordinated Notes (Callable 3/15/04 @ $105.125) (B- , B3) 03/15/09 10.250 115,913 85 Westpoint Stevens, Inc., Senior Notes (CCC+ , Ca) 06/15/05 7.875 56,525 ------------ 172,438 ------------ TOTAL CORPORATE BONDS (Cost $156,295,158) 147,672,190 ------------ ASSET BACKED SECURITIES (1.6%) 900 Chase Credit Card Master Trust, Series 2000-1 Class A (AAA , Aaa) 06/15/07 2.030 903,020 118 Donaldson Lufkin & Jenrette, Inc., Series 1989-1, Class F Acceptance Trust (AAA , Aaa) 08/01/19 11.000 132,012 536 Korea Asset Funding, Ltd., Series 2000-1A, Class 1(6) (NR , A3) 02/10/09 4.010 536,894 1,251 LB Commercial Conduit Mortgage Trust, Series 1999-C2, Class A1 (AAA , Aaa) 10/15/32 7.105 1,331,083 856 Morgan Stanley Mortgage Trust, Series 40, Class 8 (AAA , Aaa) 07/20/21 7.000 866,289 620 Nomura Asset Securities Corp., Series 1994-4B, Class 4A (AAA , Aaa) 09/25/24 8.300 619,428 666 Small Business Administration, Series 1992-20D, Class 1 Development Participation Certificate Debenture (AAA , Aaa) 04/01/12 8.200 728,342 ------------ TOTAL ASSET BACKED SECURITIES (Cost $4,922,980) 5,117,068 ------------ MORTGAGE-BACKED SECURITIES (41.8%) 8,015 Fannie Mae (AAA , Aaa) 06/01/32 7.000 8,232,912 10,785 Fannie Mae (AAA , Aaa) 05/01/32 7.000 11,125,396 319 Fannie Mae (AAA , Aaa) 08/01/29 7.500 333,981 26 Fannie Mae (AAA , Aaa) 10/01/29 7.500 26,945 151 Fannie Mae (AAA , Aaa) 11/01/29 7.500 157,604 33 Fannie Mae (AAA , Aaa) 02/01/30 7.500 34,507 718 Fannie Mae Pool #124211 (AAA , Aaa) 12/01/21 7.869 737,762 228 Fannie Mae Pool #124790 (AAA , Aaa) 02/01/23 9.000 251,802
See Accompanying Notes to Financial Statements. 12
PAR RATINGS(1) (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ----- ----- MORTGAGE-BACKED SECURITIES (CONTINUED) $ 325 Fannie Mae Pool #125136 (AAA , Aaa) 07/01/07 8.000 $ 344,574 8 Fannie Mae Pool #224635 (AAA , Aaa) 09/01/20 9.000 8,722 94 Fannie Mae Pool #243876 (AAA , Aaa) 01/01/09 9.000 100,378 527 Fannie Mae Pool #252492 (AAA , Aaa) 05/01/29 7.500 551,015 293 Fannie Mae Pool #252874 (AAA , Aaa) 11/01/29 7.500 306,057 378 Fannie Mae Pool #253183 (AAA , Aaa) 03/01/30 7.500 395,513 241 Fannie Mae Pool #270674 (AAA , Aaa) 09/01/17 9.000 264,708 19 Fannie Mae Pool #504305 (AAA , Aaa) 08/01/29 7.500 19,681 45 Fannie Mae Pool #504338 (AAA , Aaa) 10/01/29 7.500 46,757 14 Fannie Mae Pool #504669 (AAA , Aaa) 10/01/29 7.500 15,009 12 Fannie Mae Pool #507048 (AAA , Aaa) 09/01/29 7.500 12,473 42 Fannie Mae Pool #508801 (AAA , Aaa) 08/01/29 7.500 44,139 90 Fannie Mae Pool #515542 (AAA , Aaa) 10/01/29 8.000 95,191 328 Fannie Mae Pool #515943 (AAA , Aaa) 10/01/29 7.500 343,374 20 Fannie Mae Pool #515955 (AAA , Aaa) 10/01/29 7.500 20,720 35 Fannie Mae Pool #516832 (AAA , Aaa) 01/01/30 7.500 36,535 339 Fannie Mae Pool #517894 (AAA , Aaa) 03/01/30 7.500 353,960 16 Fannie Mae Pool #521205 (AAA , Aaa) 12/01/29 7.500 16,353 60 Fannie Mae Pool #521369 (AAA , Aaa) 12/01/29 7.000 61,592 48 Fannie Mae Pool #523929 (AAA , Aaa) 11/01/29 7.500 49,794 101 Fannie Mae Pool #527587 (AAA , Aaa) 12/01/29 7.500 105,815 32 Fannie Mae Pool #527805 (AAA , Aaa) 03/01/30 7.500 33,558 190 Fannie Mae Pool #528126 (AAA , Aaa) 03/01/30 7.500 198,326 43 Fannie Mae Pool #528289 (AAA , Aaa) 03/01/30 7.500 45,066 10 Fannie Mae Pool #528508 (AAA , Aaa) 02/01/30 7.500 10,043 27 Fannie Mae Pool #528800 (AAA , Aaa) 01/01/30 7.000 28,263 267 Fannie Mae Pool #528803 (AAA , Aaa) 01/01/30 7.500 279,414 76 Fannie Mae Pool #531075 (AAA , Aaa) 02/01/30 8.000 79,930 32 Fannie Mae Pool #532496 (AAA , Aaa) 03/01/30 7.500 33,245 267 Fannie Mae Pool #533026 (AAA , Aaa) 03/01/30 8.000 282,030 333 Fannie Mae Pool #533027 (AAA , Aaa) 03/01/30 8.000 351,759 537 Fannie Mae Pool #533033 (AAA , Aaa) 03/01/30 8.000 566,934 269 Fannie Mae Pool #533440 (AAA , Aaa) 01/01/30 8.000 285,079 406 Fannie Mae Pool #533586 (AAA , Aaa) 03/01/30 7.500 424,724 74 Fannie Mae Pool #533714 (AAA , Aaa) 03/01/30 8.000 78,562 197 Fannie Mae Pool #534125 (AAA , Aaa) 03/01/30 7.500 206,074 225 Fannie Mae Pool #535083 (AAA , Aaa) 12/01/29 7.500 234,861 2,247 Fannie Mae Pool #535101 (AAA , Aaa) 08/01/13 6.500 2,333,193 151 Fannie Mae Pool #535159 (AAA , Aaa) 02/01/30 7.000 155,672 455 Fannie Mae, Series 1999-52 (AAA , Aaa) 05/25/22 7.000 465,088 7,400 Fannie Mae TBA (AAA , Aaa) 05/01/17 6.500 7,622,000 16,400 Fannie Mae TBA (AAA , Aaa) 05/01/32 6.000 16,205,250 19,520 Fannie Mae TBA (AAA , Aaa) 05/01/32 6.500 19,751,800 10,795 Fannie Mae TBA (AAA , Aaa) 05/01/32 7.500 11,277,407
See Accompanying Notes to Financial Statements. 13
PAR RATINGS(1) (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ----- ----- MORTGAGE-BACKED SECURITIES (CONTINUED) $24,995 Fannie Mae TBA (AAA , Aaa) 05/01/32 8.000 $ 26,385,347 858 Freddie Mac Pool #292065 (AAA , Aaa) 04/01/17 8.500 935,269 461 Freddie Mac Pool #606523 (AAA , Aaa) 10/01/19 8.160 477,712 9 Ginnie Mae (AAA , Aaa) 07/15/13 11.000 9,907 2,015 Ginnie Mae (AAA , Aaa) 05/01/32 7.000 2,081,116 11 Ginnie Mae Pool #068764 (AAA , Aaa) 09/15/13 12.000 12,320 81 Ginnie Mae Pool #093401 (AAA , Aaa) 01/15/10 9.500 88,918 2 Ginnie Mae Pool #296254 (AAA , Aaa) 09/15/20 9.500 2,598 4,194 Ginnie Mae Pool #508483 (AAA , Aaa) 05/15/31 7.000 4,336,518 1,408 Ginnie Mae Pool #545822 (AAA , Aaa) 06/15/31 7.500 1,477,662 6,726 Ginnie Mae Pool #559037 (AAA , Aaa) 07/15/31 7.000 6,954,779 1,116 Ginnie Mae Pool #561961 (AAA , Aaa) 06/15/31 7.000 1,153,664 ------------ TOTAL MORTGAGE-BACKED SECURITIES (Cost $127,180,125) 128,957,357 ------------ FOREIGN BONDS (10.5%) 2,985 Abitibi-Consolidated, Inc., Yankee Bonds (BBB- , Baa3) 08/01/05 8.300 3,071,129 510 Abitibi-Consolidated, Inc., Yankee Debentures (BBB- , Baa3) 08/01/30 8.850 516,962 1,640 AXA, Global Subordinated Notes (A- , A2) 12/15/30 8.600 1,866,648 560 British Sky Broadcasting, Inc., Yankee Company Guaranteed (BB+ , Ba1) 10/15/06 7.300 556,231 1,945 British Telecommunications PLC, Global Bonds (A- , Baa1) 12/15/30 8.875 2,203,140 885 British Telecommunications PLC, Global Notes (A- , Baa1) 12/15/05 7.875 949,743 1,272 Cablevision SA, Yankee Bonds(4) (CC , Ca) 05/01/09 13.750 235,320 850 Domtar, Inc., Yankee Notes (BBB- , Baa3) 10/15/11 7.875 906,344 160 Flextronics International, Ltd., Yankee Senior Subordinated Notes (Callable 7/01/05 @ $104.94) (BB- , Ba3) 07/01/10 9.875 173,600 440 France Telecom Global Notes (BBB+ , Baa1) 03/01/06 7.200 448,957 5,750 French Government, Euro-Zone Debentures (AAA , Aaa) 04/25/04 5.500 5,315,352 379 Hidroelectrica Piedra del Aguila SA, Series QP, Collateral Trust (NR , NR) 06/30/09 8.250 77,613 135 Hockey Co. & Sport Maska, Inc., Units, Private Placement (Callable 4/15/06 @ $105.63) (B , B2) 04/15/09 11.250 138,375 500 Imasac SA, Rule 144A, Private Placement, Company Guaranteed (Callable 5/01/02 @ $105.50)(3),(4) (CC , Ca) 05/02/05 11.000 112,500 160 Intrawest Corp., Yankee Senior Notes (Callable 2/01/05 @ $105.25) (B+ , B1) 02/01/10 10.500 170,400 1,600 Koninklijke (Royal) KPN NV, Global Senior Unsubordinated (BBB- , Baa3) 10/01/10 8.000 1,647,770 370 Koninklijke (Royal) KPN NV, Global Senior Unsubordinated (BBB- , Baa3) 10/01/30 8.375 380,489 9,425 Queensland Treasury Corp., Series 03G, Global Local Government Guaranteed (AAA , Aaa) 05/14/03 8.000 5,206,893
See Accompanying Notes to Financial Statements. 14
PAR RATINGS(1) (000) (S&P/MOODY'S) MATURITY RATE% VALUE ----- ------------- -------- ----- ----- FOREIGN BONDS (CONTINUED) $ 1,010 Republic of Philippines, Series B, Restructured Debt, Foreign Government Guaranteed (Callable 6/03/02 @ $100.00) (BB+ , Ba1) 12/01/17 6.500 $ 929,200 135 Rogers Cantel, Inc., Yankee Senior Subordinated Notes (Callable 10/01/02 @ $104.40) (BB- , Ba2) 10/01/07 8.800 124,200 2,200 Royal Bank of Scotland Group PLC, Series 3, Perpetual Global Bonds (Callable 12/31/05 @ $100.00) (A- , A1) 11/30/49 7.816 2,349,600 1,050 Russian Federation, Rule 144A, Unsubordinated(3),(6) (B+ , Ba3) 03/31/30 5.000 728,437 320 Russian Ministry of Finance, Series VI, Debentures (B- , B1) 05/14/06 3.000 258,000 885 Singapore Telecommunications, Ltd., Rule 144A, Private Placement Notes(3) (AA- , A1) 12/01/11 6.375 882,125 75 Telewest Communications PLC, Yankee Debentures (Callable 10/01/02 @ $100.00) (B , B2) 10/01/06 9.625 40,875 585 Telus Corp., Yankee Notes (BBB+ , Baa2) 06/01/07 7.500 595,801 1,610 Telus Corp., Yankee Notes (BBB+ , Baa2) 06/01/11 8.000 1,634,371 1,010 Tyco International Group SA, Yankee Company Guaranteed (BBB , Baa2) 02/15/06 6.375 851,814 ------------ TOTAL FOREIGN BONDS (Cost $31,957,726) 32,371,889 ------------ UNITED STATES TREASURY OBLIGATIONS (0.5%) UNITED STATES TREASURY BILLS (0.1%) 265 United States Treasury Bills (AAA , Aaa) 08/15/02 1.820 263,658 ------------ UNITED STATES TREASURY NOTES (0.4%) 1,110 United States Treasury Notes (AAA , Aaa) 02/15/12 4.875 1,091,789 ------------ TOTAL UNITED STATES TREASURY OBLIGATIONS (Cost $1,333,854) 1,355,447 ------------ NUMBER OF SHARES ------ WARRANTS (0.0%) BUILDING MATERIALS (0.0%) 65 Dayton Superior Corp., Rule 144A, strike $0.01, expires June 2009(3) 650 ------------ TELECOMMUNICATIONS (0.0%) 40 GT Group Telecom, Inc., Rule 144A, strike $0.00 expires February 2010(3) 60 70 IWO Holdings, Inc., strike $7.00, expires January 2011 1,750 ------------ 1,810 ------------ TOTAL WARRANTS (Cost $3,300) 2,460 ------------
See Accompanying Notes to Financial Statements. 15
PAR (000) MATURITY RATE% VALUE ----- -------- ----- ----- SHORT-TERM INVESTMENT (29.4%) $90,695 State Street Bank & Trust Co. Euro Time Deposit (Cost $90,695,000) 05/01/02 1.750 $ 90,695,000 ------------ TOTAL INVESTMENTS AT VALUE (131.6%) (Cost $412,388,143(7)) 406,171,411 LIABILITIES IN EXCESS OF OTHER ASSETS (-31.6%) (97,423,030) ------------ NET ASSETS (100.0%) $308,748,381 ============
-------------------------------------------------------------------------------- (1) Credit ratings given by Moody's Investors Service, Inc. and Standard & Poor's Ratings Group are unaudited. (2) Step Bond - The interest as of April 30, 2002 is 0% and will reset to the interest rate shown at a future date. (3) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2002, these securities amounted to a value of $16,508,323 or 5.3% of net assets. (4) Security in default. (5) Illiquid security. (6) Variable rate obligations - The interest rate shown is the rate as of April 30, 2002. (7) Also cost for federal income tax purposes. See Accompanying Notes to Financial Statements. 16 CREDIT SUISSE FIXED INCOME FUND STATEMENT OF ASSETS AND LIABILITIES April 30, 2002 (Unaudited) ASSETS Investments at value (Cost $412,388,143) $406,171,411 Foreign currency (Cost $284,206) 284,964 Receivable for investments sold 11,747,959 Dividend, interest and reclaim receivable 3,948,235 Receivable for fund shares sold 254,821 Receivable for open futures contracts 4,183 Prepaid expenses and other assets 141,710 ------------ Total Assets 422,553,283 ------------ LIABILITIES Advisory fee payable 72,537 Administrative services fee payable 46,235 Payable for investments purchased 112,251,212 Dividend payable 1,294,699 Distribution fee payable 20,225 Variation margin payable 11,922 Other accrued expenses payable 108,072 ------------ Total Liabilities 113,804,902 ------------ NET ASSETS Capital stock, $0.001 par value 31,215 Paid-in capital 323,012,616 Accumulated net investment loss (478,121) Accumulated net realized loss on investments and foreign currency transactions (7,597,790) Net unrealized depreciation from investments and foreign currency translations (6,219,539) ------------ Net Assets $308,748,381 ============ COMMON SHARES Net assets $266,282,408 Shares outstanding 26,921,942 ------------ Net asset value, offering price and redemption price per share $9.89 ===== ADVISOR SHARES Net assets $ 37,557,766 Shares outstanding 3,796,408 ------------ Net asset value, offering price and redemption price per share $9.89 ===== A SHARES Net assets $ 1,568,592 Shares outstanding 158,592 ------------ Net asset value and redemption price per share $ 9.89 ====== Maximum offering price per share (net asset value/(1-4.75%)) $10.38 ====== B SHARES Net assets $ 2,340,071 Shares outstanding 236,587 ------------ Net asset value and offering price per share $9.89 ===== C SHARES Net assets $ 999,544 Shares outstanding 101,050 ------------ Net asset value and offering price per share $9.89 =====
See Accompanying Notes to Financial Statements. 17 CREDIT SUISSE FIXED INCOME FUND STATEMENT OF OPERATIONS For the Six Months Ended April 30, 2002 (Unaudited) INTEREST INCOME $ 9,779,127 ------------ EXPENSES Investment advisory fees 856,240 Administrative services fees 297,315 Shareholder servicing/Distribution fees 62,423 Transfer agent fees 142,880 Printing fees 66,661 Registration fees 45,942 Legal fees 34,117 Custodian fees 29,872 Audit fees 14,229 Trustees fees 6,657 Insurance expense 5,671 Interest expense 1,725 Miscellaneous expense 7,573 ------------ Total expenses 1,571,305 Less: fees waived (310,146) ------------ Net expenses 1,261,159 ------------ Net investment income 8,517,968 ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS AND FOREIGN CURRENCY RELATED ITEMS Net realized loss from investments (4,308,028) Net realized gain from foreign currency transactions 84,507 Net change in unrealized appreciation (depreciation) from investments (10,801,137) Net change in unrealized appreciation (depreciation) from foreign currency translations 6,796 ------------ Net realized and unrealized loss from investments and foreign currency related items (15,017,862) ------------ Net decrease in net assets resulting from operations $ (6,499,894) ============
See Accompanying Notes to Financial Statements. 18 CREDIT SUISSE FIXED INCOME FUND STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE YEAR APRIL 30, 2002 ENDED (UNAUDITED) OCTOBER 31, 2001 ------------------ ---------------- FROM OPERATIONS Net investment income $ 8,517,968 $ 24,196,765 Net gain (loss) on investments and foreign currency transactions (4,223,521) 9,763,020 Net change in unrealized appreciation (depreciation) from investments and foreign currency translations (10,794,341) 8,810,260 ------------- ------------- Net increase (decrease) in net assets resulting from operations (6,499,894) 42,770,045 ------------- ------------- FROM DIVIDENDS Dividends from net investment income Common Class shares (7,943,479) (22,611,857) Advisor Class shares (1,011,543) (1,575,183) Class A shares (13,479) (1,640) Class B shares (37,285) (5,920) Class C shares (13,316) (2,165) ------------- ------------- Net decrease in net assets from dividends (9,019,102) (24,196,765) ------------- ------------- FROM CAPITAL SHARE TRANSACTIONS Proceeds from sale of shares 93,051,715 265,889,816 Exchange value of shares due to merger -- 133,335,833 Reinvestment of dividends 6,943,646 22,067,919 Net asset value of shares redeemed (154,753,390) (369,833,021) ------------- ------------- Net increase (decrease) in net assets from capital share transactions (54,758,029) 51,460,547 ------------- ------------- Net increase (decrease) in net assets (70,277,025) 70,033,827 NET ASSETS Beginning of period 379,025,406 308,991,579 ------------- ------------- End of period $ 308,748,381 $ 379,025,406 ============= ============= UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (478,121) $ 23,013 ============= =============
See Accompanying Notes to Financial Statements. 19 CREDIT SUISSE FIXED INCOME FUND FINANCIAL HIGHLIGHTS (For a Class A Share of the Fund Outstanding Throughout Each Period)
FOR THE SIX FOR THE YEAR MONTHS ENDED ENDED APRIL 30, 2002 OCTOBER 31, (UNAUDITED) 2001(1) -------------- ------------ PER SHARE DATA Net asset value, beginning of period $10.33 $10.26 ------ ------ INVESTMENT OPERATIONS Net investment income 0.25 0.15 Net gain (loss) on investments and foreign currency related items (both realized and unrealized) (0.44) 0.07 ------ ------ Total from investment operations (0.19) 0.22 ------ ------ LESS DIVIDENDS Dividends from net investment income (0.25) (0.15) ------ ------ NET ASSET VALUE, END OF PERIOD $ 9.89 $10.33 ====== ====== Total return(2) (1.83)% 2.13% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000s omitted) $1,569 $ 406 Ratio of expenses to average net assets(3),(4) 0.95% 0.95% Ratio of net investment income to average net assets(4) 4.77% 5.66% Decrease reflected in above operating expense ratios due to waivers(4) 0.18% 0.31% Portfolio turnover rate 235% 383%
-------------------------------------------------------------------------------- (1) For the period July 31, 2001 (inception date) through October 31, 2001. (2) Total return does not consider the effects of sales charges. Non-annualized. (3) Interest earned on uninvested cash balances is used to offset portions of the transfer agent expense. These arrangements would not have significantly effected the Class A shares' expense ratio for the six months ended April 30, 2002 or the period ended October 31, 2001. (4) Annualized. See Accompanying Notes to Financial Statements. 20 CREDIT SUISSE FIXED INCOME FUND FINANCIAL HIGHLIGHTS (For a Class B Share of the Fund Outstanding Throughout Each Period)
FOR THE SIX FOR THE YEAR MONTHS ENDED ENDED APRIL 30, 2002 OCTOBER 31, (UNAUDITED) 2001(1) -------------- ------------ PER SHARE DATA Net asset value, beginning of period $10.33 $10.26 ------ ------ INVESTMENT OPERATIONS Net investment income 0.20 0.13 Net gain (loss) on investments and foreign currency related items (both realized and unrealized) (0.43) 0.07 ------ ------ Total from investment operations (0.23) 0.20 ------ ------ LESS DIVIDENDS Dividends from net investment income (0.21) (0.13) ------ ------ NET ASSET VALUE, END OF PERIOD $ 9.89 $10.33 ====== ====== Total return(2) (2.19)% 1.96% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000s omitted) $2,340 $1,044 Ratio of expenses to average net assets(3),(4) 1.70% 1.70% Ratio of net investment income to average net assets(4) 4.00% 4.87% Decrease reflected in above operating expense ratios due to waivers(4) 0.18% 0.32% Portfolio turnover rate 235% 383%
-------------------------------------------------------------------------------- (1) For the period July 31, 2001 (inception date) through October 31, 2001. (2) Total return does not consider the effects of contingent deferred sales charges. Non-annualized (3) Interest earned on uninvested cash balances is used to offset portions of the transfer agent expense. These arrangements would not have significantly effected the Class B shares' expense ratio for the six months ended April 30, 2002 or the period ended October 31, 2001. (4) Annualized. See Accompanying Notes to Financial Statements. 21 CREDIT SUISSE FIXED INCOME FUND FINANCIAL HIGHLIGHTS (For a Class C Share of the Fund Outstanding Throughout Each Period)
FOR THE SIX FOR THE YEAR MONTHS ENDED ENDED APRIL 30, 2002 OCTOBER 31, (UNAUDITED) 2001(1) -------------- ------------ PER SHARE DATA Net asset value, beginning of period $10.33 $10.26 ------ ------ INVESTMENT OPERATIONS Net investment income 0.20 0.12 Net gain (loss) on investments and foreign currency related items (both realized and unrealized) (0.43) 0.07 ------ ------ Total from investment operations (0.23) 0.19 ------ ------ LESS DIVIDENDS Dividends from net investment income (0.21) (0.12) ------ ------ NET ASSET VALUE, END OF PERIOD $ 9.89 $10.33 ====== ====== Total return(2) (2.19)% 1.89% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000s omitted) $1,000 $ 296 Ratio of expenses to average net assets(3),(4) 1.70% 1.70% Ratio of net investment income to average net assets(4) 4.02% 4.82% Decrease reflected in above operating expense ratios due to waivers(4) 0.18% 0.33% Portfolio turnover rate 235% 383%
-------------------------------------------------------------------------------- (1) For the period July 31, 2001 (inception date) through October 31, 2001. (2) Total return does not consider the effects of contingent deferred sales charges. Non-annualized (3) Interest earned on uninvested cash balances is used to offset portions of the transfer agent expense. These arrangements would not have significantly effected the Class C shares' expense ratio for the six months ended April 30, 2002 or the period ended October 31, 2001. (4) Annualized. See Accompanying Notes to Financial Statements. 22 CREDIT SUISSE FIXED INCOME FUND NOTES TO FINANCIAL STATEMENTS April 30, 2002 (Unaudited) NOTE 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES Credit Suisse Fixed Income Fund, formerly the Credit Suisse Warburg Pincus Fixed Income Fund (the "Fund"), a Massachusetts Business Trust, is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a diversified open-end management investment company that seeks to generate high current income consistent with reasonable risk and, secondarily, capital appreciation. The Fund is authorized to offer five classes of shares: Common Class, Advisor Class, Class A, Class B, and Class C shares. Each class of shares represents an equal pro rata interest , except that they bear different expenses which reflect the difference in the range of services provided to them. Effective December 12, 2001, the Common Class closed to new investors. Advisor Class shares bear expenses paid pursuant to a distribution plan adopted by the Fund at an annual rate not to exceed .75% of the average daily net asset value of the Fund's outstanding Advisor Class shares. Advisor Class shares currently bear expenses of .25% of average daily net assets. Class A shares are sold subject to a front-end sales charge of 4.75% and bear expenses paid pursuant to a shareholder servicing and distribution plan at an annual rate of .25% of the average daily net asset value of the Fund's Class A shares. Class B shares are sold subject to a contingent deferred sales charge which declines from 4% to zero depending on the period of time the shares are held and bear expenses paid pursuant to a shareholder servicing and distribution plan at an annual rate of 1.00% of the average daily net asset value of the Fund's Class B shares. Class C shares are sold subject to a contingent deferred sales charge of 1% if redeemed within the first year of purchase and bear expense paid pursuant to a shareholder servicing and distribution plan at an annual rate of 1.00% of the average daily net asset value of the Fund's Class C shares. Results for the Common Class and Advisor Class shares are contained in a separate book. Effective as of the close of business on April 6, 2001, the Fund acquired all of the net assets of the Credit Suisse Warburg Pincus Fixed Income II Fund ("Fixed Income II") in a tax-free exchange of shares. The shares exchanged were 9,206,012 shares (valued at $93,738,572) of the Common Class of the Fund for 9,152,071 shares of Class D of Fixed Income II, 3,550,971 shares (valued at $36,153,007) of the Advisor Class of the Fund for 3,530,165 shares of Class A of Fixed Income II, 323,384 shares (valued at $3,292,431) of the Advisor Class of the Fund for 321,489 shares of Class B of Fixed Income II, and 14,919 shares (valued at $151,823) of the Advisor Class of the Fund for 14,817 shares of Class D of Fixed Income II. The Fixed Income II net assets of $133,335,834 at that date, which included $2,388,035 of unrealized appreciation, were combined with those of the Fund. The aggregate net assets of Fixed Income II and the 23 Fund immediately before the acquisition were $133,335,834 and $339,752,048, respectively and the combined net assets of the Fund were $473,087,882. A) SECURITY VALUATION -- The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. The Fund's investments are valued at market value, which is generally determined using the last reported sales price. If no sales are reported, investments are generally valued at the last reported bid price and if there is no bid price available, at the most recent ask price. Debt securities are valued on the basis of broker quotations or valuations provided by a pricing service which may use a matrix, formula or other objective method that takes into consideration market indices, matrices, yield curves and other specific adjustments. If market quotations are not readily available, securities and other assets are valued by another method that the Fund's Board of Trustees believe accurately reflects fair value. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, unless the Board determines that using this method would not reflect an investment's value. B) FOREIGN CURRENCY TRANSACTIONS -- The books and records of the Fund are maintained in U.S. dollars. Transactions denominated in foreign currencies are recorded at the current prevailing exchange rates. All assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the current exchange rate at the end of the period. Translation gains or losses resulting from changes in the exchange rate during the reporting period and realized gains and losses on the settlement of foreign currency transactions are reported in the results of operations for the current period. The Fund does not isolate that portion of realized gains and losses on investments in equity securities which is due to changes in the foreign exchange rate from that which is due to changes in market prices of equity securities. The Fund isolates that portion of realized gains and losses on investments in debt securities which is due to changes in the foreign exchange rate from that which is due to changes in market prices of debt securities. C) SECURITY TRANSACTIONS AND INVESTMENT INCOME-- Security transactions are accounted for on a trade date basis. Interest income is recorded on the accrual basis. The Fund amortizes premium and accretes discount using the effective interest method. Dividends are recorded on the ex-dividend date. Certain expenses are class specific expenses and vary by class. Income, expenses (excluding class-specific expenses, principal distribution and shareholder servicing fees) and realized/unrealized gains/losses are allocated proportionately to each class of shares based upon the relative net asset valueof the outstanding shares of that class. The cost of investments sold is determined 24 by use of the specific identification method for both financial reporting and income tax purposes. Effective November 1, 2001, the Fund adopted the revised AICPA Audit and Accounting Guide, Audits of Investment Companies and began to classify gains and losses on paydowns of mortgage- and asset-backed securities presently included in realized gain and losses, as a component of interest income. The effect of this change for the six months ended April 30, 2002, to the Fund was to increase net investment income by $4,767 and to decrease net realized gains (losses) by $4,767. These reclassifications had no impact on net assets or net asset value per share. The statements of changes in net assets and the financial highlights for all prior periods shown have not been restated to reflect this change. D) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income are declared daily and paid monthly. Distributions of net realized capital gains, if any, are declared and paid at least annually. However, to the extent that a net realized capital gain can be reduced by a capital loss carryover, such gain will not be distributed. Income and capital gain distributions are determined in accordance with federal income tax regulations which may differ from accounting principles generally accepted in the United States of America ("GAAP"). E) FEDERAL INCOME TAXES -- No provision is made for federal taxes as it is the Fund's intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from federal income and excise taxes. F) USE OF ESTIMATES -- The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. G) SHORT-TERM INVESTMENTS -- The Fund, together with other funds advised by Credit Suisse Asset Management, LLC ("CSAM") an indirect, wholly-owned subsidiary of Credit Suisse Group, pool available cash into a short-term time deposit issued by State Street Bank & Trust, the Fund's custodian. The short-term time deposit is a variable rate account classified as a short-term investment. 25 H) TBA PURCHASE COMMITMENTS -- The Fund may enter into "TBA" (to be announced) purchase commitments to purchase securities for a fixed price at a future date, typically not exceeding 45 days. TBA purchase commitments may be considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to settlement date. This risk is in addition to the risk of decline in the Fund's other assets. Unsettled TBA purchase commitments are valued at the current market value of the underlying securities, according to the procedures described under "Security Valuation" above. I) FORWARD FOREIGN CURRENCY CONTRACTS -- The Fund may enter into forward foreign currency contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. Risks may arise upon entering into these contracts from the potential inability of counter-parties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency. The Fund will enter into forward foreign currency contracts primarily for hedging purposes. Forward foreign currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized until the contract settlement date, or an offsetting position is entered into. At April 30, 2002, the Fund had no open forward foreign currency contracts. J) SECURITIES LENDING -- Loans of securities are required at all times to be secured by collateral at least equal to 102% of the market value of domestic securities on loan including any accrued interest thereon and 105% of the market value of foreign securities on loan including any accrued interest thereon. Cash collateral received by the Fund in connection with securities lending activity is invested in the AIM Institutional Funds -- Liquid Asset Portfolio. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. The Fund had no securities out on loan during the six months ended April 30, 2002. Credit Suisse First Boston ("CSFB"), an affiliate of CSAM, has been engaged by the Fund to act as the Fund's securities lending agent. Pending receipt of an exemption from the Securities and Exchange Commission ("SEC"), CSFB has agreed to charge the Fund fees for its securities lending activities equal to its costs in providing services as securities lending agent. CSFB also has voluntarily agreed to waive its fees for the securities lending agent services that it provides. CSFB may discontinue its voluntary fee waivers at any time. 26 K) OTHER -- The Fund may invest in securities of foreign countries and governments, which involve certain risks in addition to those inherent in domestic investments. Such risks generally include, among other things, currency risk (fluctuations in currency exchange rates), information risk (key information may be inaccurate or unavailable) and political risk (expropriation, nationalization or the imposition of capital or currency controls or punitive taxes). Other risks of investing in foreign securities include liquidity and valuation risks. The Fund may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Fund accrues such taxes when the related income or capital gains are earned. The Fund's investments in securities of issuers located in less developed countries considered to be "emerging markets" involve risks in addition to those generally applicable to foreign securities. Focusing on emerging (less developed) markets involves higher levels of risk, including increased currency, information, liquidity, market, political and valuation risks. Deficiencies in regulatory oversight, market infrastructure, shareholder protections and company laws could expose the Fund to operational and other risks as well. Some countries may have restrictions that could limit the Fund's access to attractive opportunities. Additionally, emerging markets often face serious economic problems (such as high external debt, inflation and unemployment) that could subject the portfolio to increased volatility or substantial declines in value. Lower-rated debt securities (commonly known as "junk bonds") possess speculative characteristics and are subject to greater market fluctuations and risk of lost income and principal than higher-rated debt securities for a variety of reasons. Also, during an economic downturn or substantial period of rising interest rates, highly leveraged issuers may experience financial stress which would adversely effect their ability to service their principal and interest payment obligations, to meet projected business goals and to obtain additional financing. In addition, periods of economic uncertainty and changes can be expected to result in increased volatility of market prices of lower-rated debt securities and (to the extent a Fund invests in junk bonds) the Fund's net asset value. 27 The Fund may invest up to 15% of its net assets in non-publicly traded securities. Non-publicly traded securities may be less liquid than publicly-traded securities, and they may be difficult or impossible to sell at the time and at the price the Fund would like. In addition, the lack of an active market may make it difficult to obtain an accurate price for a Fund's security. NOTE 2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES CSAM serves as investment adviser for the Fund. For its investment advisory services, CSAM is entitled to receive a fee from the Fund at an annual rate of ..50% of the Fund's average daily net assets. For the six months ended April 30, 2002, investment advisory fees earned and voluntarily waived were $856,240 and $310,146, respectively. Credit Suisse Asset Management Securities, Inc. ("CSAMSI"), an affiliate of CSAM, and PFPC, Inc. ("PFPC"), an indirect, wholly-owned subsidiary of PNC Financial Services Group, serve as the Fund's co-administrators. For its administrative services, CSAMSI, currently receives a fee calculated at an annual rate of .10% of the Fund's average daily net assets. For the six months ended April 30, 2002, administrative services fees earned by CSAMSI were $171,248. For its administrative services through April 30, 2002, PFPC is entitled to receive a fee, exclusive of out-of-pocket expenses, based on the following fee structure:
AVERAGE DAILY NET ASSETS ANNUAL RATE ------------------------ ----------- First $150 million .07% of average daily net assets Second $150 million .06% of average daily net assets Over $300 million .05% of average daily net assets
For the six months ended April 30, 2002, administrative services fees earned by PFPC (including out-of-pocket expenses) were $126,067. At its meeting held on February 12, 2002, the Board of Trustees adopted a resolution to approve a Co-Administrator Agreement between the Fund and State Street Bank and Trust Company ("SSB") to replace PFPC effective mid 2002. In addition to serving as the Fund's co-administrator, CSAMSI serves as distributor of the Fund's shares. Pursuant to a distribution plan adopted by the Fund pursuant to Rule 12b-1 under the 1940 Act, CSAMSI receives a fee for its distribution services. This fee is calculated at an annual rate of .25% of the average daily net assets of the Advisor Class and Class A shares. For Class B and Class C shares of the Fund, the fee is calculated at an annual rate of 1.00% of average daily net assets of the Class B and Class C shares of the Fund. CSAMSI may use this fee to compensate service organizations for 28 shareholder servicing and distribution services. For the six months ended April 30, 2002, shareholder servicing and distribution fees earned by CSAMSI were as follows:
SHAREHOLDER SERVICING/ FUND DISTRIBUTION FEES ---- ---------------------- Common Class $49,999 Class A 673 Class B 8,653 Class C 3,098 ------- $62,423 =======
Certain brokers, dealers and financial representatives provide transfer agent related services to the Fund, and receive compensation from CSAM. CSAM is then reimbursed by the Fund. For the six months ended April 30, 2002, the Fund reimbursed CSAM $106,026, which is included in the Fund's transfer agent expense. For the six months ended April 30, 2002, CSAMSI and its affiliates advised the Fund that it retained $22,516 from commissions earned on the sale of the Funds' shares. Merrill Corporation ("Merrill"), an affiliate of CSAM, has been engaged by the Fund to provide certain financial printing services. For the six months ended April 30, 2002, Merrill was paid $33,528 for its services to the Fund. NOTE 3. LINE OF CREDIT Through June 18, 2002, the Fund, together with other funds advised by CSAM (collectively, the "Participating Funds"), participated in a $200 million committed, unsecured line of credit facility ("Prior Credit Facility") with Deutsche Bank, A.G. as administrative agent, State Street Bank and Trust Company as operations agent, BNP Paribas as syndication agent and certain other lenders for temporary or emergency purposes primarily relating to unanticipated Participating Funds' share redemptions. Under the terms of the Prior Credit Facility, the Participating Funds pay an aggregate commitment fee at a rate of ..10% per annum on the average unused amount of the Prior Credit Facility, which is allocated among the Participating Funds in such a manner as was determined by the governing Boards of the Participating Funds. In addition, the Participating Funds paid interest on borrowings at the Federal funds rate plus .50%. For the six months ended April 30, 2002, the Fund had no borrowings under the Prior Credit Facility. 29 Effective June 19, 2002, the Participating Funds, together with additional funds advised by CSAM (collectively with the Participating Funds, the "New Participating Funds"), established a new $150 million committed, unsecured, line of credit facility (the "New Credit Facility") with Deutsche Bank, A.G. as administrative agent and syndication agent and State Street Bank and Trust Company as operations agent for the same purposes as the Prior Credit Facility. Terms of the New Credit Facility remain the same as the Prior Credit Facility. The commitment fee rate and interest paid is unchanged. NOTE 4. PURCHASES AND SALES OF SECURITIES For the six months ended April 30, 2002, purchases and sales of investment securities (excluding short-term investments) and U.S. government and agency obligations were $106,686,358 and $121,166,591, $704,413,352 and $720,643,314, respectively. At April 30, 2002, the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and net unrealized depreciation from investments (based on cost for federal income tax purposes) were $6,400,041, $12,616,015 and $6,215,974, respectively. NOTE 5. CAPITAL SHARE TRANSACTIONS The fund is authorized to issue an unlimited number of full and fractional shares of beneficial interest, $.001 par value per share, of which an unlimited number of shares are classified as the Common Class and an unlimited number of shares are classified as the Advisor Class, Class A, Class B, and Class C. Transactions in capital shares for each class were as follows:
COMMON CLASS ------------------------------------------------------------------------- FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED APRIL 30, 2002 (UNAUDITED) OCTOBER 31, 2001 --------------------------------- -------------------------------- SHARES VALUE SHARES VALUE ------------ ------------- ------------ ------------- Shares sold 8,485,109 $ 85,075,252 25,561,666 $ 259,862,002 Shares exhanged due to merger -- -- 9,206,012 93,717,204 Shares issued in reinvestment of dividends 624,074 6,256,735 2,045,797 20,787,938 Shares redeemed (14,584,267) (146,051,725) (35,301,525) (359,565,867) ------------ ------------- ------------ ------------- Net increase (decrease) (5,475,084) $ (54,719,738) 1,511,950 $ 14,801,277 ============ ============= ============ =============
30
ADVISOR CLASS ------------------------------------------------------------------------- FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED APRIL 30, 2002 (UNAUDITED) OCTOBER 31, 2001 --------------------------------- -------------------------------- SHARES VALUE SHARES VALUE ------------ ------------- ------------ ------------- Shares sold 384,918 $ 3,859,389 414,413 $ 4,232,335 Shares exhanged due to merger -- -- 3,889,274 39,592,807 Shares issued in reinvestment of dividends 65,499 656,977 124,945 1,273,972 Shares redeemed (780,409) (7,818,373) (997,897) (10,168,343) ------------ ------------- ------------ ------------- Net increase (decrease) (329,992) $ (3,302,007) 3,430,735 $ 34,930,771 ============ ============= ============ ============= CLASS A ------------------------------------------------------------------------- FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED APRIL 30, 2002 (UNAUDITED) OCTOBER 31, 2001 --------------------------------- -------------------------------- SHARES VALUE SHARES VALUE ------------ ------------- ------------ ------------- Shares sold 181,837 $ 1,804,305 43,442 $ 444,863 Shares issued in reinvestment of dividends 502 5,002 109 1,119 Shares redeemed (63,014) (633,105) (4,284) (43,949) ------------ ------------- ------------ ------------- Net increase 119,325 $ 1,176,202 39,267 $ 402,033 ============ ============= ============ ============= CLASS B ------------------------------------------------------------------------- FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED APRIL 30, 2002 (UNAUDITED) OCTOBER 31, 2001 --------------------------------- -------------------------------- SHARES VALUE SHARES VALUE ------------ ------------- ------------ ------------- Shares sold 151,345 $ 1,520,831 106,093 $ 1,085,244 Shares issued in reinvestment of dividends 1,581 15,821 264 2,713 Shares redeemed (17,364) (175,111) (5,332) (54,862) ------------ ------------- ------------ ------------- Net increase 135,562 $ 1,361,541 101,025 $ 1,033,095 ============ ============= ============ ============= CLASS C ------------------------------------------------------------------------- FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED APRIL 30, 2002 (UNAUDITED) OCTOBER 31, 2001 --------------------------------- -------------------------------- SHARES VALUE SHARES VALUE ------------ ------------- ------------ ------------- Shares sold 79,038 $ 791,938 28,430 $ 291,194 Shares issued in reinvestment of dividends 912 9,111 211 2,177 Shares redeemed (7,541) (75,076) -- -- ------------ ------------- ------------ ------------- Net increase 72,409 $ 725,973 28,641 $ 293,371 ============ ============= ============ =============
31 NOTE 6. FUTURES CONTRACTS The Fund may enter into futures contracts to the extent permitted by its investment policies and objectives. Upon entering into a futures contract, the Fund is required to deposit cash or pledge U.S. Government securities of an initial margin with its custodian in a segregated account. Subsequent payments, which are dependent on the daily fluctuations in the value of the underlying instrument, are made or received by the Fund each day (daily variation margin) and are recorded as unrealized gains or losses until the contracts are closed. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund's basis in the contract. Risks of entering into futures contracts for hedging purposes include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. In addition, the purchase of a futures contract involves the risk that the Fund could lose more than the original margin deposit and subsequent payments required for a futures transaction. At April 30, 2002, the Fund had the following open futures contracts:
UNREALIZED NUMBER OF EXPIRATION CONTRACT CONTRACT (APPRECIATION)/ FUTURES CONTRACTS CONTRACTS DATE AMOUNT VALUE DEPRECIATION ----------------- --------- ---------- ------------- ------------- --------------- U.S. Treasury 5 Year Note Futures (259) 6/20/02 $(27,335,704) $(27,466,141) $(130,437) U.S Treasury 2 Year Note Futures 65 6/27/02 13.554,734 13,592,109 37,375 U.S. Treasury Long Bond Futures 75 6/20/02 7,712,860 7,917,188 204,328 U.S. Treasury Short Bond Futures (38) 6/20/02 (3,763,625) (3,887,875) (124,250) ---- ------------ ------------ --------- (157) $ (9,831,735) $ (9,844,719) $ (12,984) ==== ============ ============ =========
32 P.O. BOX 9030, BOSTON, MA 02205-9030 CREDIT | ASSET 800-927-2874 - www.CreditSuisseFunds.com SUISSE | MANAGEMENT CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., DISTRIBUTOR. CSFIX-3-0402