UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File No. 811-05012
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CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
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(Exact Name of Registrant as Specified in Charter)
466 Lexington Avenue, New York, New York 10017-3140
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(Address of Principal Executive Offices) (Zip Code)
Hal Liebes, Esq.
Credit Suisse Asset Management Income Fund, Inc.
466 Lexington Avenue
New York, New York 10017-3147
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(Name and address of agent for service)
Registrant's telephone number, including area code: (212) 875-3500
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Date of fiscal year end: December 31, 2003
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Date of reporting period: January 1, 2003 to June 30, 2003
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ITEM 1. REPORTS TO STOCKHOLDERS.
Credit Suisse Asset Management Income Fund, Inc.
466 Lexington Avenue
New York, NY 10017
---------------------------------------------
OFFICERS AND DIRECTORS
Joseph D. Gallagher Hal Liebes
DIRECTOR, CHAIRMAN OF THE SENIOR VICE PRESIDENT
BOARD AND CHIEF EXECUTIVE Michael A. Pignataro
OFFICER CHIEF FINANCIAL OFFICER,
Enrique R. Arzac VICE PRESIDENT AND SECRETARY
DIRECTOR Maxine C. Evertz
Lawrence J. Fox ASSISTANT SECRETARY
DIRECTOR Robert M. Rizza
James S. Pasman, Jr. VICE PRESIDENT AND TREASURER
DIRECTOR Rocco A. Del Guercio
William W. Priest, Jr. ASSISTANT TREASURER
DIRECTOR
Richard J. Lindquist
PRESIDENT AND CHIEF INVESTMENT
OFFICER
Leland Crabbe
INVESTMENT OFFICER
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INVESTMENT ADVISER
Credit Suisse Asset Management, LLC
466 Lexington Avenue
New York, New York 10017
Phone 1-800-293-1232
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ADMINISTRATOR AND CUSTODIAN
Brown Brothers Harriman & Co.
40 Water Street
Boston, Massachusetts 02109
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SHAREHOLDER SERVICING AGENT
Fleet National Bank
(c/o EquiServe)
P.O. Box 43010
Providence, Rhode Island 02940-3010
Phone 1-800-730-6001
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LEGAL COUNSEL
Willkie Farr & Gallagher
787 7th Avenue
New York, New York 10019
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INDEPENDENT AUDITORS
PricewaterhouseCoopers LLP
Two Commerce Square
Philadelphia, Pennsylvania 19103
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Credit Suisse Asset Management Income Fund, Inc.
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SEMI-ANNUAL REPORT
June 30, 2003
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
SEMI-ANNUAL REPORT - JUNE 30, 2003
----------
Dear Shareholders: July 21, 2003
We are writing to report on Credit Suisse Asset Management Income Fund, Inc.
("the Fund") for the fiscal half-year ended June 30, 2003 and to discuss our
investment strategy.
At June 30, 2003, the Fund's net asset value ("NAV") was $4.27, compared to
an NAV of $3.91 at December 31, 2002. The Fund's total return for the period
(based on NAV and assuming reinvestment of dividends of $0.23 per share) was
14.8%.
At June 30, 2003, $170.5 million of the Fund's assets was invested in high
yield debt securities; $25.4 million in emerging-market debt securities;
$5.3 million in investment-grade debt securities; $2.6 million in equity
securities; and the balance of $1.9 million in cash equivalents. Of the debt
securities, the largest concentration (67.2%) was invested in issues rated B
through BBB.
THE MARKET: ONWARD AND UPWARD
The U.S. high yield and emerging debt markets enjoyed a buoyant first half
of 2003, with each market perpetuating a rally that had started in 2002. Both
significantly outperformed investment-grade securities in the process. As
measured by the Citigroup High-Yield Market Index (CHYMI)*, the broad U.S. high
yield market rose 19.8%. Aggregate emerging debt markets (in the form of
J.P. Morgan's Emerging Markets Bond Index Global**) gained 17.3%.
HIGH YIELD. Perhaps the biggest driver of high yield's gains was the
historically low level of nominal short-term interest rates, which were at 1.25%
in most of the period and were cut to 1.00% (the lowest such level since 1958)
on June 25.
Low rates--and the generalized sense that they were unlikely to rise--helped
to push high yield prices higher in two ways, in our opinion. First, they
provided a favorable backdrop for fixed income instruments as a whole. Second,
they compelled yield-hungry investors to withdraw significant sums from
low-yielding money market funds and place substantial funds into high yield
mutual funds, which acted aggressively to put the cash to work.
Perceptions about conflict with Iraq, which wreaked havoc on equity markets
in the early part of 2003, did not seem to have much impact on high yield. Even
as stocks experienced heavy volatility as war-related anxieties ebbed and
flowed, for example, high yield's attractive yields made it seem a more
compelling alternative. Expectations that the war's resolution would be
favorable, moreover, prompted optimism that sluggish U.S. economic growth would
rebound, which augured well for the creditworthiness of corporate bond issuers
generally.
A variety of other factors also provided encouragement to the high yield
market. These notably included:
- Valuations were still considered attractive compared to historical
averages even after the market had rallied for several months.
- Key measures of creditworthiness (I.E., declines in the high yield default
rate and the ratio of high yield ratings upgrades to downgrades) indicated
that credit quality continued to improve.
- The bonds of "fallen angels" (I.E., investment-grade companies whose debt
had been downgraded to high yield status), which had been savaged during
much of 2002, enjoyed vigorous buying as investors appeared to conclude
that their battered valuations had become unreasonably low.
- During the second quarter, year-to-date new issuance surpassed the level
issued in all of 2002. This underscored the market's receptiveness to
efforts by high yield issuers to reinforce their balance sheets.
EMERGING MARKETS. To a meaningful extent, strength in emerging market debt
("EMD") reflected influences similar to those that boosted high yield. These
were attraction to higher-yielding instruments, as well as healthy inflows into
mutual funds that gained momentum after EMD had enjoyed a sustained period of
strong monthly returns.
In our view, two other factors proved most beneficial for activity in the
EMD universe. One was an increasingly prevalent feeling of confidence about the
economic and political condition of Brazil, whose capitalization accounts for a
large percentage of leading EMD market indices. The second, which helped frame
the picture for market activity in much of May and June, was the U.S. Treasury
market. Especially in June, perceptions about U.S. monetary policy were such
that trading patterns in emerging debt appeared to mirror directional movement
in U.S. Treasury bonds.
PERFORMANCE: DAMPENED BY POSITIONING IN HIGH YIELD AND EMD
The Fund generated a solidly positive return during the fiscal half-year.
Results in its high yield portion were best in industries like cable television,
wireless telecommunications and competitive local-exchange telecom providers,
each of which handily outperformed broad indices like the CHYMI.
What ended up working against us in high yield, though, was our decision to
maintain below-market exposure to several sectors whose poor fundamentals had
prompted harsh selling in most of 2002 (notably utilities, energy trading
companies, diversified telecom and technology). Unfortunately for the Fund,
momentum-fuelled buying kept pushing bond prices in these beaten-down sectors
higher, a pattern that was exacerbated by the persistent strength of cash
inflows into high yield funds.
The dominant contributor to our EMD performance was our below-market
weighting in Brazil, whose securities excelled in the half-year period. Our low
degree of confidence in the Brazilian government's ability to overcome the
nation's huge economic and financial difficulties was not widely shared. We
fared better with our ongoing above-market weighting in Russia and willingness
to invest opportunistically in the Turkish and Venezuelan markets.
2
OUTLOOK: STILL POSITIVE ON HIGH YIELD, CAUTIOUS ON EMD
HIGH YIELD. Our outlook for the high yield market is still positive. We see
the economic environment as reasonably supportive; we expect fund inflows to
stay fairly strong; and we believe that the default rate will remain in a
downward trend. Valuations still offer upside potential, moreover, as yield
spreads for high yield versus comparable-maturity Treasury debt seem wide enough
to us to offer further potential price appreciation (albeit less than
previously, given the market's long rally.)
Looking at the market from a sectoral perspective, we see mixed prospects
for different industries. Our analysis leads us toward sectors and companies
with a primarily domestic focus, and our sector allocations reflect our ongoing
preference to not take an overly aggressive stance. The industries we like all
have fairly stable growth characteristics that should help them hold up well in
case the economy doesn't, which means their bond prices should be somewhat less
volatile than the high yield market as a whole.
Relative to broad market indices like the CHYMI, we are overweighting gaming
(although we have modestly reduced the extent of our overweight in this sector),
energy, food/ beverage/bottling, health care, wireless telecom and selected
industrials. We are underweighting utilities, energy traders and diversified
telecom providers, and avoiding airlines and financial names.
EMERGING MARKETS. Our view on the near-term prospects for emerging debt
markets remains one of caution. Valuations, in our opinion, exceed levels that
we believe are reasonably reflective of underlying fundamentals. We therefore
would not be surprised to see some degree of correction in EMD, particularly
since prices and valuations have risen with little interruption since late last
year.
Compared to broad EMD indices, our largest country overweights are in
Russia, Ukraine, Mexico and Venezuela. Our largest country underweights are in
Brazil and Turkey. Regional allocations (I.E., to Eastern/Central Europe, Asia
and Latin America) are now essentially index-neutral, due to a combination of
our country-specific positioning and bigger-picture analysis.
We appreciate your investment in the Fund and would be pleased to respond to
your questions or comments. Any questions regarding net asset value,
performance, dividends, portfolio management or allocations should be directed
to Credit Suisse Asset Management, LLC at (800) 293-1232. All other inquiries
regarding account information, requests for the latest financial information or
other reports should be directed to the Fund's Shareholder Servicing Agent at
(800) 730-6001.
Sincerely yours,
/s/ Richard J. Lindquist
Richard J. Lindquist
PRESIDENT AND CHIEF INVESTMENT OFFICER ***
/s/ Joseph D. Gallagher
Joseph D. Gallagher
DIRECTOR, CHAIRMAN OF THE BOARD AND CHIEF EXECUTIVE OFFICER ****
HIGH YIELD BONDS ARE LOWER-QUALITY INSTRUMENTS ALSO KNOWN AS "JUNK" BONDS.
SUCH BONDS ENTAIL GREATER RISKS THAN THOSE FOUND IN HIGHER-RATED SECURITIES.
INTERNATIONAL INVESTING ENTAILS SPECIAL RISK CONSIDERATIONS, INCLUDING CURRENCY
FLUCTUATIONS, LOWER LIQUIDITY, ECONOMIC AND POLITICAL RISKS, AND DIFFERENCES IN
ACCOUNTING METHODS; THESE RISKS ARE GENERALLY HEIGHTENED FOR EMERGING-MARKET
INVESTMENTS. THE FUND MAY INCLUDE A GREATER DEGREE OF RISK THAN OTHER FUNDS THAT
INVEST IN LARGER, MORE-DEVELOPED MARKETS.
IN ADDITION TO HISTORICAL INFORMATION, THIS REPORT CONTAINS FORWARD-LOOKING
STATEMENTS, WHICH MAY CONCERN, AMONG OTHER THINGS, DOMESTIC AND FOREIGN MARKET,
INDUSTRY AND ECONOMIC TRENDS AND DEVELOPMENTS AND GOVERNMENT REGULATION AND
THEIR POTENTIAL IMPACT ON THE FUND'S INVESTMENT PORTFOLIO. THESE STATEMENTS ARE
SUBJECT TO RISKS AND UNCERTAINTIES AND ACTUAL TRENDS, DEVELOPMENTS AND
REGULATIONS IN THE FUTURE, AND THEIR IMPACT ON THE FUND COULD BE MATERIALLY
DIFFERENT FROM THOSE PROJECTED, ANTICIPATED OR IMPLIED. THE FUND HAS NO
OBLIGATION TO UPDATE OR REVISE FORWARD-LOOKING STATEMENTS.
The information presented is for informational purposes only. This report is
not a recommendation to buy or sell or a solicitation of an offer to buy or sell
any securities or adopt any investment strategy. Readers are advised not to
infer or assume that any securities, companies, sectors or markets described
will be profitable. All opinions and views constitute judgments as of the date
of writing, and are subject to change at any time without notice.
*The Citigroup High-Yield Market Index is a broad-based, unmanaged index of
high yield securities that is compiled by Citigroup Global Markets Inc. Its name
was changed from the Salomon Smith Barney High-Yield Market Index effective
April 7, 2003. Investors cannot invest directly in an index.
**The J.P. Morgan Emerging Markets Bond Index Global is a comprehensive
index of emerging market debt securities. Launched in August 1999, it tracks the
total returns of U.S. dollar-denominated debt instruments for 27 emerging market
countries. Investors cannot invest directly in an index.
***Richard J. Lindquist, who is a Managing Director of Credit Suisse Asset
Management, LLC ("CSAM"), is primarily responsible for management of the Fund's
assets. He has served in such capacity since November 21, 1996. Prior to that
date, he served as Vice President to the Fund, a position he assumed on
August 15, 1989. Mr. Lindquist joined CSAM on May 1, 1995 as a result of CSAM's
acquisition of CS First Boston Investment Management Corporation ("CSFBIM").
Prior to joining CSAM and beginning in July, 1989, he held various offices at
CSFBIM. Mr. Lindquist also is President and Chief Investment Officer of Credit
Suisse High Yield Bond Fund (NYSE: DHY).
****Joseph D. Gallagher, Managing Director, is Chief Executive Officer of
CSAM Americas and the firm's global Chief Financial Officer. He has served as
the Fund's Chief Executive Officer since March 1, 2003. Prior to assuming his
current role at CSAM in 2003, he was the Firm's global CFO and Chief Executive
Officer, Europe. Mr. Gallagher joined Credit Suisse Group in 1985 as an
investment banker with Credit Suisse First Boston, where he worked for 14 years
in New York, Singapore and Hong Kong in financial services and mergers and
acquisitions. He is also Director and/or Chairman of other investment companies
advised by CSAM.
3
TOP TEN HOLDINGS (UNAUDITED)
(as a % of net assets as of 6/30/03)
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1. Russian Federation Series REGS, Unsubordinated 8.25%,
3/31/10................................................... 1.4%
2. Nextel Communications, Inc. Sr. Discount Notes 9.95%,
2/15/08................................................... 1.3%
3. Westfed Holdings Sr. Debentures 15.50%, 9/15/99............. 1.3%
4. Russian Federation Series REGS, Unsubordinated 5.00%,
3/31/30................................................... 1.1%
5. Pemex Project Funding Master Trust Series REGS, Gtd. 7.75%,
8/2/07.................................................... 1.1%
6. Federal Republic of Brazil Series 30yr, Collateralized
2.125%, 4/15/24........................................... 1.1%
7. Hard Rock Hotel, Inc. Notes 8.875%, 6/1/13.................. 1.0%
8. Ukraine Government Sr. Notes 11.00%, 3/15/07................ 0.8%
9. Ainsworth Lumber Co. Ltd. Yankee Sr. Secured Notes 12.50%,
7/15/07................................................... 0.7%
10. United Mexican States Bonds 8.25%, 2/24/09.................. 0.6%
CREDIT QUALITY BREAKDOWN (UNAUDITED)
(as a % of total investments as of 6/30/03)
------------------------------------------------------------------------------
A/A......................................................... 0.6%
BBB/Baa..................................................... 3.8
BB/Ba....................................................... 17.9
B/B......................................................... 45.5
CCC/Caa..................................................... 19.9
CC/Ca....................................................... 3.0
C/C......................................................... 0.3
NR.......................................................... 6.8
----------------
Subtotal.................................................. 97.8
Time Deposit................................................ 0.9
Equities and Other.......................................... 1.3
----------------
Total..................................................... 100.0%
================
4
SCHEDULE OF INVESTMENTS (UNAUDITED)
---------
JUNE 30, 2003
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
---------------------------------------------------------------------------------------
DOMESTIC SECURITIES (83.8%)
---------------------------------------------------------------------------------------
-----------------
CORPORATE OBLIGATIONS (82.6%)
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-----------------
AEROSPACE (0.2%)
(1) Condor Systems, Inc.
Series B, Gtd.
11.875%, 5/1/09 N/R $ 900 $ 243,000
Sequa Corp.
Sr. Notes
9.00%, 8/1/09 B1 250 266,250
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GROUP TOTAL 509,250
------------
---------------------------------------------------------------------------------------
-----------------
AIRLINES (0.3%)
American Airlines, Inc.
Series 01-2,
Pass thru Certs
7.80%, 10/1/06 B1 550 380,682
Continental Airlines, Inc.
Series 991C,
Pass thru Certs
6.954%, 8/2/09 B2 208 155,785
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GROUP TOTAL 536,467
------------
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-----------------
AUTOMOBILE MANUFACTURING/VEHICLE PARTS (1.9%)
(1)(2) Aetna Industries, Inc.
Sr. Notes
11.875%, 10/1/06 N/R 1 34
Cambridge Industries, Inc.
Sr. Sub. Notes
10.25%, 7/15/07 N/R 775 3,873
Collins & Aikman
Products Corp.
Gtd.
11.50%, 4/15/06 B2 1,250 987,500
Delco Remy
International, Inc.
Gtd.
10.625%, 8/1/06 B3 950 726,750
Holley Performance
Products, Inc.
Series B, Gtd.
12.25%, 9/15/07 Caa3 750 219,375
Metaldyne Corp.
Gtd.
11.00%, 6/15/12 Caa1 800 668,000
Motor Coach Industries
International, Inc.
Gtd.
11.25%, 5/1/09 Caa1 1,121 565,852
Stanadyne Automotive
Series B, Gtd.
10.25%, 12/15/07 Caa1 700 570,500
(3) Tenneco Automotive, Inc.
Secured
10.25%, 7/15/13 B2 250 254,375
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GROUP TOTAL 3,996,259
------------
---------------------------------------------------------------------------------------
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
---------------------------------------------------------------------------------------
BANKING (0.3%)
Sovereign Bancorp, Inc.
Sr. Notes
10.50%, 11/15/06 Ba1 $ 500 $ 601,199
------------
---------------------------------------------------------------------------------------
-----------------
BROADBAND (0.7%)
COLT Telecom Group plc
Yankee Units
12.00%, 12/15/06 B3 400 400,000
Level 3 Communications, Inc.:
(4) Sr. Discount Notes
0.00%, 12/1/08 Caa3 650 563,875
Sr. Notes
9.125%, 5/1/08 Caa3 501 450,900
------------
GROUP TOTAL 1,414,775
------------
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-----------------
BROADCAST/OUTDOOR (1.4%)
Alliance Atlantis
Communications, Inc.
Yankee Sr. Sub. Notes
13.00%, 12/15/09 B1 500 572,500
Corus Entertainment, Inc.
Global
Sr. Sub. Notes
8.75%, 3/1/12 B1 150 162,000
Interep National Radio
Sales, Inc.
Series B, Gtd.
10.00%, 7/1/08 Caa2 250 213,750
(4) Paxson Communications Corp.
Gtd.
0.00%, 1/15/09 Caa1 600 504,000
Sinclair Broadcast
Group, Inc.
Gtd.
8.75%, 12/15/11 B2 500 551,250
Susquehanna Media Co.
Sr. Sub. Notes
8.50%, 5/15/09 B1 150 159,000
Young Broadcasting, Inc.
Series B, Gtd.
8.75%, 6/15/07 Caa1 894 911,880
------------
GROUP TOTAL 3,074,380
------------
---------------------------------------------------------------------------------------
-----------------
BUILDING PRODUCTS (1.4%)
Atrium Companies, Inc.
Series B, Gtd.
10.50%, 5/1/09 B3 500 537,500
Building Materials Corp.
Series B, Sr. Notes
8.625%, 12/15/06 B2 900 882,000
Dayton Superior Corp.:
Gtd.
13.00%, 6/15/09 Caa2 1,140 974,700
(3) Secured
10.75%, 9/15/08 B3 250 248,750
The accompanying notes are an integral part of the financial statements.
5
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
---------
JUNE 30, 2003
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
---------------------------------------------------------------------------------------
(3) Texas Industries, Inc.
Sr. Notes
10.25%, 6/15/11 B1 $ 250 $ 262,500
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GROUP TOTAL 2,905,450
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-----------------
CABLE (7.5%)
(1) Adelphia Communications Corp.
Series B, Sr. Notes
8.375%, 2/1/08 N/R 800 500,000
(1) Australis Holdings Pty.
Ltd.
Yankee Sr. Discount Notes
15.00%, 11/1/02 N/R 4,600 414,000
(1) Australis Media Ltd.
Yankee Sr. Discount Notes
15.75%, 5/15/03 N/R 229 23
CSC Holdings, Inc.:
Series B, Sr. Notes
7.625%, 4/1/11 B1 200 203,000
Series B,
Sr. Sub. Debentures
8.125%, 8/15/09 B1 150 156,000
Sr. Sub. Debentures
9.875%, 2/15/13 B2 1,100 1,155,000
Century Communications Corp.:
(4) Series B, Sr. Discount Notes
0.00%, 1/15/08 N/R 500 202,500
(4) Sr. Discount Notes
0.00%, 3/15/03 N/R 500 297,500
Sr. Notes
8.75%, 10/1/07 N/R 450 292,500
Charter Communications
Holdings LLC:
(4) Sr. Discount Notes
0.00%, 4/1/11 Ca 1,200 795,000
Sr. Notes
8.625%, 4/1/09 Ca 750 543,750
10.25%, 1/15/10 Ca 1,050 798,000
Coaxial Communications, Inc.
Gtd.
10.00%, 8/15/06 B3 1,250 1,295,312
(4) Coaxial LLC/Coaxial Finance
Gtd.
0.00%, 8/15/08 Caa1 377 375,115
Comcast UK Cable
Partners Ltd.
Yankee Debentures
11.20%, 11/15/07 Caa2 500 490,625
(1) DIVA Systems Corp.
Series B, Sr. Discount Notes
12.625%, 3/1/08 N/R 3,895 238,569
(3) DirecTV Holdings/Finance Sr.
Notes
8.375%, 3/15/13 B1 150 168,000
(1) Frontiervision LP/Capital
Series B, Sr. Discount Notes
11.875%, 9/15/07 N/R 500 402,500
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
---------------------------------------------------------------------------------------
Insight Midwest/Insight
Capital:
Sr. Notes
9.75%, 10/1/09 B2 $ 900 $ 956,250
10.50%, 11/1/10 B1 500 551,250
(1) James Cable Partners L.P.
Series B, Sr. Notes
10.75%, 8/15/04 Ca 1,800 927,000
Jones Intercable, Inc.
Sr. Notes
7.625%, 4/15/08 Baa3 750 872,729
Mediacom LLC/Capital Corp.:
Series B, Sr. Notes
8.50%, 4/15/08 B2 371 376,565
Sr. Notes
7.875%, 2/15/11 B2 850 850,000
Northland Cable
Television, Inc.
Gtd.
10.25%, 11/15/07 Caa1 800 782,000
(1) Olympus Communications, L.P./
Olympus Capital Corp.
Series B, Sr. Notes
10.625%, 11/15/06 N/R 1,150 1,098,250
Renaissance Media
Group LLC
Gtd.
10.00%, 4/15/08 Caa1 953 945,852
Rogers Cablesystems, Inc.
Series B,
Yankee Sr. Notes
10.00%, 3/15/05 Ba2 250 272,500
------------
GROUP TOTAL 15,959,790
------------
---------------------------------------------------------------------------------------
-----------------
CAPITAL GOODS (1.3%)
Amtrol, Inc.
Sr. Sub. Notes
10.625%, 12/31/06 Caa3 600 339,750
Jordan Industries, Inc.
Series B, Sr. Notes
10.375%, 8/1/07 Caa3 1,422 632,790
Motors & Gears, Inc.
Series D, Sr. Notes
10.75%, 11/15/06 Caa1 1,150 1,012,000
Park-Ohio Industries, Inc.
Sr. Sub. Notes
9.25%, 12/1/07 Caa1 500 427,500
SPX Corp.
Sr. Notes
6.25%, 6/15/11 Ba3 350 358,750
------------
GROUP TOTAL 2,770,790
------------
---------------------------------------------------------------------------------------
-----------------
CHEMICALS (3.2%)
Acetex Corp.
Global Sr. Notes
10.875%, 8/1/09 B2 500 558,125
Applied Extrusion
Technologies, Inc.
Series B, Gtd.
10.75%, 7/1/11 Caa1 300 222,000
The accompanying notes are an integral part of the financial statements.
6
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
---------
JUNE 30, 2003
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
---------------------------------------------------------------------------------------
Avecia Group plc
Global Gtd.
11.00%, 7/1/09 Caa1 $ 700 $ 637,000
(3) Equistar Chemical L.P./
Equistar Funding Corp.
Sr. Notes
10.625%, 5/1/11 B1 500 515,000
Ferro Corp.
Sr. Notes
9.125%, 1/1/09 Baa3 250 293,997
(3)(4) HMP Equity Holdings Corp.
Units
0.00%, 5/15/08 N/R 250 127,500
(4) Huntsman International
Holdings LLC
Sr. Discount Notes
0.00%, 12/31/09 Caa2 250 98,750
ISP Chemco, Inc.
Series B, Gtd.
10.25%, 7/1/11 B2 250 283,750
Lyondell Chemical Co.:
(3) Secured
10.50%, 6/1/13 Ba3 1,000 1,005,000
Series B, Secured Notes
9.875%, 5/1/07 Ba3 750 738,750
Millennium America, Inc.
Gtd.
9.25%, 6/15/08 Ba1 500 540,000
Mississippi Chemical Corp.
Bonds
7.25%, 11/15/17 C 500 42,500
(3) Radnor Holdings Corp.
Sr. Notes
11.00%, 3/15/10 B2 250 258,125
Resolution Performance
Products LLC
Sr. Sub. Notes
13.50%, 11/15/10 Caa1 500 502,500
(3) Terra Capital, Inc.
Secured
11.50%, 6/1/10 Caa1 550 508,750
(3) United Industries Corp.
Sr. Sub. Notes
9.875%, 4/1/09 B3 400 424,000
------------
GROUP TOTAL 6,755,747
------------
---------------------------------------------------------------------------------------
COMPETITIVE LOCAL EXCHANGE CARRIER (1.3%)
(3) Millicom International
Cellular
Sr. Notes
11.00%, 6/1/06 N/R 180 179,100
Madison River Capital/
Madison River Finance
Sr. Notes
13.25%, 3/1/10 Caa2 871 857,442
Qwest Corp.
Notes
6.625%, 9/15/05 Ba3 500 511,250
RCN Corp.:
Series B, Sr. Discount Notes
9.80%, 2/15/08 Ca 736 283,360
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
---------------------------------------------------------------------------------------
Sr. Notes
10.00%, 10/15/07 Ca 400 162,000
Time Warner Telecom, LLC
Sr. Notes
9.75%, 7/15/08 B3 $ 850 $ 824,500
------------
GROUP TOTAL 2,817,652
------------
---------------------------------------------------------------------------------------
-----------------
CONSUMER PRODUCTS/TOBACCO (3.4%)
Buhrmann U.S., Inc.
Gtd.
12.25%, 11/1/09 B3 500 540,000
(3) DIMON, Inc.
Sr. Notes
7.75%, 6/1/13 Ba3 500 516,250
(1) Diamond Brands
Operating Corp.
Gtd.
10.125%, 4/15/08 N/R 2,000 100,000
General Binding Corp.
Gtd. Sr. Sub. Notes
9.375%, 6/1/08 Caa1 700 675,500
Hockey Co./Sport Maska, Inc.
Global Units
11.25%, 4/15/09 B2 300 331,500
Holmes Products, Inc.
Series B,
Gtd. Sr. Sub. Notes
9.875%, 11/15/07 Caa2 1,000 897,500
PCA LLC/PCA Finance Corp.
Sr. Notes
11.875%, 8/1/09 B3 650 711,750
Packaged Ice, Inc.
Series B, Gtd.
Sr. Sub. Notes
9.75%, 2/1/05 N/R 500 507,500
Revlon Consumer
Products Corp.
Gtd.
12.00%, 12/1/05 Caa1 675 659,812
Samsonite Corp.
Sr. Sub. Notes
10.75%, 6/15/08 Caa2 400 411,000
Scotts Co.
Gtd.
8.625%, 1/15/09 Ba3 600 645,000
Sealy Mattress Co.
Series B, Sr. Sub. Notes
9.875%, 12/15/07 B3 500 500,000
Werner Holdings Co., Inc.
Series A, Gtd.
10.00%, 11/15/07 B2 750 768,750
------------
GROUP TOTAL 7,264,562
------------
---------------------------------------------------------------------------------------
-----------------
CONTAINERS (2.0%)
AEP Industries, Inc.
Sr. Sub. Notes
9.875%, 11/15/07 B3 650 601,250
Berry Plastics Corp.
Gtd.
10.75%, 7/15/12 B3 600 663,000
The accompanying notes are an integral part of the financial statements.
7
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
---------
JUNE 30, 2003
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
---------------------------------------------------------------------------------------
Crown Cork & Seal Finance Plc
Yankee Gtd.
7.00%, 12/15/06 B3 $ 300 $ 288,000
(3) Crown Euro Holdings SA Secured
9.50%, 3/1/11 B1 895 971,075
Pliant Corp.
Gtd.
13.00%, 6/1/10 Caa1 900 850,500
Owens-Illinois, Inc.
Sr. Notes
8.10%, 5/15/07 B3 950 978,500
------------
GROUP TOTAL 4,352,325
------------
---------------------------------------------------------------------------------------
-----------------
DIVERSIFIED TELECOMMUNICATIONS (0.5%)
Avaya, Inc.
Secured
11.125%, 4/1/09 B2 250 275,000
Primus Telecommunications
Group, Inc.:
Series B, Sr. Notes
9.875%, 5/15/08 Caa3 500 447,500
Sr. Notes
11.25%, 1/15/09 Caa3 250 232,500
------------
GROUP TOTAL 955,000
------------
---------------------------------------------------------------------------------------
-----------------
ELECTRIC UTILITIES (0.2%)
Sierra Pacific Resources
Notes
8.75%, 5/15/05 B2 500 521,250
------------
---------------------------------------------------------------------------------------
-----------------
ENERGY/OTHER (2.2%)
Chesapeake Energy Corp.
Gtd.
8.125%, 4/1/11 Ba3 1,000 1,082,500
Clark R&M, Inc.
Sr. Notes
8.625%, 8/15/08 Ba3 350 358,750
Frontier Oil Corp.:
Series A, Sr. Notes
9.125%, 2/15/06 B2 200 206,500
Sr. Notes
11.75%, 11/15/09 B2 1,050 1,160,250
Giant Industries, Inc.
Gtd.
11.00%, 5/15/12 B3 100 97,000
Gulfterra Energy Partner
Gtd.
10.625%, 12/1/12 B1 150 174,000
Trico Marine Services, Inc.
Gtd.
8.875%, 5/15/12 B2 500 432,500
Williams Cos., Inc.:
Notes
9.25%, 3/15/04 B3 400 412,000
6.50%, 8/1/06 B3 750 735,000
------------
GROUP TOTAL 4,658,500
------------
---------------------------------------------------------------------------------------
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
---------------------------------------------------------------------------------------
ENVIRONMENTAL SERVICES (0.2%)
Allied Waste
North America, Inc.
Series B, Gtd.
7.875%, 1/1/09 Ba3 $ 490 $ 515,112
------------
---------------------------------------------------------------------------------------
-----------------
FINANCE (1.3%)
Westfed Holdings:
(1) Sr. Debentures
15.50%, 9/15/99 N/R 2,000 2,700,000
(2) Loan Obligation
25.00%, 8/22/09 N/R 80 80,000
------------
GROUP TOTAL 2,780,000
------------
---------------------------------------------------------------------------------------
-----------------
FOOD PROCESSORS/BEVERAGE/BOTTLING (2.2%)
Agrilink Foods, Inc.
Gtd.
11.875%, 11/1/08 B3 500 541,250
Archibald Candy Corp.
Gtd.
10.00%, 11/1/07 N/R 434 130,073
Aurora Foods, Inc.
Series B, Sr. Sub. Notes
9.875%, 2/15/07 Ca 1,250 450,000
B&G Foods, Inc.
Series D, Gtd.
9.625%, 8/1/07 B3 800 828,000
Eagle Family Foods
Series B, Gtd.
Sr. Notes
8.75%, 1/15/08 Caa2 471 322,292
Fleming Companies, Inc.:
Gtd.
(1) 9.25%, 6/15/10 Caa3 640 99,200
9.875%, 5/1/12 C 900 5,625
Land O'Lakes, Inc.
Sr. Notes
8.75%, 11/15/11 B2 800 644,000
National Wine & Spirits, Inc.
Gtd.
10.125%, 1/15/09 B2 220 196,900
Premier International
Foods Plc
Yankee Sr. Notes
12.00%, 9/1/09 B3 1,100 1,237,500
Roundy's, Inc.
Series B, Gtd.
8.875%, 6/15/12 B2 200 210,000
------------
GROUP TOTAL 4,664,840
------------
---------------------------------------------------------------------------------------
-----------------
GAMING (8.6%)
Ameristar Casinos, Inc.
Gtd.
10.75%, 2/15/09 B3 1,050 1,195,687
Argosy Gaming Co.:
Gtd.
10.75%, 6/1/09 B2 250 275,000
Sr. Sub. Notes
9.00%, 9/1/11 B2 500 542,500
The accompanying notes are an integral part of the financial statements.
8
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
---------
JUNE 30, 2003
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
---------------------------------------------------------------------------------------
Aztar Corp.
Sr. Sub. Notes
8.875%, 5/15/07 Ba3 $ 750 $ 786,562
Boyd Gaming Corp.
Gtd.
9.25%, 8/1/09 Ba3 600 669,000
(3) Chukchansi Economic
Development Authority
Sr. Notes
14.50%, 6/15/09 N/R 900 996,750
Circus & Eldorad/Silver
Legacy Capital Corp.
First Mortgage Notes
10.125%, 3/1/12 B1 500 493,750
Coast Hotels & Casinos, Inc.
Gtd.
9.50%, 4/1/09 B2 700 752,500
(3) Hard Rock Hotel, Inc.
Notes
8.875%, 6/1/13 B3 2,000 2,100,000
Horseshoe Gaming Holdings
Corp.
Series B, Gtd.
8.625%, 5/15/09 B2 1,000 1,065,000
Isle of Capri Casinos, Inc.
Gtd.
8.75%, 4/15/09 B2 650 695,500
MGM Mirage, Inc.
Gtd.
9.75%, 6/1/07 Ba2 200 228,000
Majestic Investor Holdings/
Majestic Investor Capital
Corp.
Gtd.
11.653%, 11/30/07 B2 1,047 1,056,161
Majestic Star Casino, LLC/
Majestic Star Casino Cap
Series B, Gtd.
10.875%, 7/1/06 B2 500 525,625
Mikohn Gaming Corp.
Series B, Gtd.
11.875%, 8/15/08 B3 900 893,250
Mohegan Tribal Gaming
Authority
Sr. Notes
8.125%, 1/1/06 Ba2 950 1,035,500
(3) Old Evangeline Downs LLC Gtd.
13.00%, 3/1/10 N/R 500 512,500
Park Place Entertainment
Corp.:
Sr. Sub. Notes
7.875%, 12/15/05 Ba2 250 267,187
9.375%, 2/15/07 Ba2 500 555,000
Penn National
Gaming, Inc.
Series B, Gtd.
11.125%, 3/1/08 B3 850 945,625
Riviera Holdings Corp.
Gtd.
11.00%, 6/15/10 B2 700 672,000
Six Flags, Inc.
Sr. Notes
9.75%, 6/15/07 B2 150 149,250
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
---------------------------------------------------------------------------------------
Venetian Casino Resort LLC
Gtd.
11.00%, 6/15/10 B3 $ 180 $ 203,850
(3) Waterford Gaming LLC
Sr. Notes
8.625%, 9/15/12 B1 250 263,750
(1) Windsor Woodmont
Black Hawk
Series B,
First Mortgage Notes
13.00%, 3/15/05 N/R 1,450 951,563
Wynn Las Vegas LLC/Wynn
Las Vegas Capital Corp.
Second Mortgage
12.00%, 11/1/10 B3 450 499,500
------------
GROUP TOTAL 18,331,010
------------
---------------------------------------------------------------------------------------
-----------------
GAS PIPELINES (0.8%)
El Paso CGP Co.:
Notes
6.375%, 2/1/09 Caa1 250 220,000
7.75%, 6/15/10 Caa1 250 234,375
El Paso Corp.
Sr. Notes
7.00%, 5/15/11 Caa1 500 457,500
(3) El Paso Production
Holding Co.
Gtd.
7.75%, 6/1/13 B2 700 701,750
------------
GROUP TOTAL 1,613,625
------------
---------------------------------------------------------------------------------------
-----------------
HEALTHCARE FACILITIES/SUPPLIES (1.7%)
Alaris Medical Systems, Inc.
Gtd.
9.75%, 12/1/06 Caa1 550 572,000
Beverly Enterprises, Inc.
Sr. Notes
9.625%, 4/15/09 B1 485 468,025
Extendicare Health
Services, Inc.
Gtd.
9.35%, 12/15/07 B3 710 679,825
Fisher Scientific
International, Inc.
Sr. Sub. Notes
8.125%, 5/1/12 B2 300 322,500
Healthsouth Corp.
Notes
7.625%, 6/1/12 Caa2 400 312,000
(3) IASIS Healthcare Corp.
Sr. Sub. Notes
8.50%, 10/15/09 B3 250 253,750
(1) Magellan Health
Services, Inc.
Sr. Sub. Notes
9.00%, 2/15/08 C 600 261,000
Medquest, Inc.
Series B, Gtd.
11.875%, 8/15/12 B3 600 627,000
The accompanying notes are an integral part of the financial statements.
9
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
---------
JUNE 30, 2003
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
---------------------------------------------------------------------------------------
Triad Hospitals Holdings
Series B, Gtd.
11.00%, 5/15/09 B2 $ 200 $ 221,500
------------
GROUP TOTAL 3,717,600
------------
---------------------------------------------------------------------------------------
-----------------
HOME BUILDERS (0.8%)
Tech Olympic USA, Inc.
Gtd.
9.00%, 7/1/10 Ba3 500 542,500
Toll Corp.
Sr. Sub. Notes
8.25%, 12/1/11 Ba2 350 393,750
WCI Communities, Inc.
Gtd.
10.625%, 2/15/11 Ba3 650 721,500
------------
GROUP TOTAL 1,657,750
------------
---------------------------------------------------------------------------------------
-----------------
INDUSTRIAL/OTHER (1.0%)
Day International Group, Inc.
Series B, Sr. Notes
11.125%, 6/1/05 B2 400 406,000
GSI Group, Inc.
Gtd.
10.25%, 11/1/07 Caa1 518 380,363
International Utility
Structures, Inc.:
Sub. Notes
13.00%, 2/1/08 N/R 924 46,200
Yankee Sr. Sub. Notes
10.75%, 2/1/08 N/R 800 466,000
Wolverine Tube, Inc.
Gtd.
10.50%, 4/1/09 B1 800 864,000
------------
GROUP TOTAL 2,162,563
------------
---------------------------------------------------------------------------------------
-----------------
LEISURE (3.0%)
AMC Entertainment, Inc.:
Sr. Sub. Notes
9.50%, 3/15/09 Caa2 250 256,875
9.875%, 2/1/12 Caa2 800 864,000
Scientific Games Corp.
Series B, Gtd.
12.50%, 8/15/10 B2 691 798,105
Bluegreen Corp.
Series B, Gtd.
10.50%, 4/1/08 B3 1,000 1,010,000
Booth Creek Ski
Holdings, Inc.
Series B, Gtd.
12.50%, 3/15/07 Caa1 1,147 1,144,133
(3) Cinemark USA, Inc.
Sr. Sub. Notes
9.00%, 2/1/13 B3 250 272,500
Imax Corp.
Yankee Sr. Notes
7.875%, 12/1/05 Caa2 750 746,250
Intrawest Corp.:
Gtd.
10.50%, 2/1/10 B1 250 270,000
Yankee Sr. Notes
9.75%, 8/15/08 B1 650 681,688
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
---------------------------------------------------------------------------------------
(3) Six Flags, Inc.
Sr. Notes
9.75%, 4/15/13 B2 $ 300 $ 298,500
------------
GROUP TOTAL 6,342,051
------------
---------------------------------------------------------------------------------------
-----------------
LODGING (1.0%)
CapStar Hotel Co.
Sr. Sub. Notes
8.75%, 8/15/07 Caa1 250 227,500
Felcor Lodging LP
Gtd.
8.50%, 6/1/11 B1 425 430,313
HMH Properties, Inc.
Series B, Gtd.
7.875%, 8/1/08 Ba3 500 510,000
Host Marriot LP
Series I, Gtd.
9.50%, 1/15/07 Ba3 600 648,000
John Q. Hammons Hotel LP
Series B,
First Mortgage Notes
8.875%, 5/15/12 B2 300 316,500
------------
GROUP TOTAL 2,132,313
------------
---------------------------------------------------------------------------------------
-----------------
METALS & MINING (1.0%)
AK Steel Corp.
Gtd.
7.875%, 2/15/09 B1 250 213,750
Earle M. Jorgensen Co.
Secured
9.75%, 6/1/12 B2 500 532,500
(3) Gerdau Ameristeel Corp.
Sr. Notes
10.375%, 7/15/11 B2 250 245,625
Metallurg, Inc.
Series B, Gtd.
11.00%, 12/1/07 Caa2 1,171 637,923
Oregon Steel Mills, Inc.
Gtd.
10.00%, 7/15/09 B1 305 276,025
(1)(3) Ormet Corp.
Gtd.
11.00%, 8/15/08 N/R 750 258,750
------------
GROUP TOTAL 2,164,573
------------
---------------------------------------------------------------------------------------
-----------------
OIL EQUIPMENT (1.0%)
Key Energy Services, Inc.
Series B, Gtd.
Sr. Sub. Notes
14.00%, 1/15/09 Ba3 1,024 1,152,000
Parker Drilling Co.
Series B, Gtd.
10.125%, 11/15/09 B1 900 976,500
------------
GROUP TOTAL 2,128,500
------------
---------------------------------------------------------------------------------------
-----------------
PAPER & FOREST PRODUCTS (4.2%)
Ainsworth Lumber Co. Ltd.
Yankee Sr. Secured Notes
12.50%, 7/15/07 B3 1,250 1,418,750
The accompanying notes are an integral part of the financial statements.
10
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
---------
JUNE 30, 2003
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
---------------------------------------------------------------------------------------
Appleton Papers, Inc.
Series B, Gtd.
12.50%, 12/15/08 B3 $ 700 $ 787,500
Caraustar Industries, Inc.
Gtd.
9.875%, 4/1/11 Ba2 500 535,000
(1) Doman Industries Ltd.
Yankee Gtd.
12.00%, 7/1/04 Caa2 300 309,000
Fonda Group, Inc.
Series B, Sr. Sub. Notes
9.50%, 3/1/07 Caa2 1,000 565,000
Four M Corp.
Series B, Sr. Notes
12.00%, 6/1/06 B3 900 909,000
(3) Georgia-Pacific Corp.
Sr. Notes
9.375%, 2/1/13 Ba2 1,000 1,107,500
JSG Funding plc
Global Sr. Notes
9.625%, 10/1/12 B2 500 555,000
Riverwood International Corp.
Gtd.
10.875%, 4/1/08 Caa1 1,050 1,081,500
Stone Container Corp.
Sr. Notes
8.375%, 7/1/12 B2 600 646,500
(3) Stone Container Finance Co.
Yankee Gtd. Sr. Notes
11.50%, 8/15/06 B2 780 836,550
Tembec Industries, Inc.
Yankee Gtd.
8.625%, 6/30/09 Ba1 250 248,125
------------
GROUP TOTAL 8,999,425
------------
---------------------------------------------------------------------------------------
-----------------
PUBLISHING (1.3%)
(3) Hollinger, Inc.
Secured
11.875%, 3/1/11 B3 500 557,500
Dex Media East LLC
Gtd.
12.125%, 11/15/12 B3 350 415,625
(3) Houghton Mifflin Co.
Sr. Notes
8.25%, 2/1/11 B2 300 318,000
Liberty Group
Publishing, Inc.
Debentures
11.625%, 2/1/09 Caa2 900 847,125
(3) PRIMEDIA, Inc.
Sr. Notes
8.00%, 5/15/13 B3 500 515,000
(1) Premier Graphics, Inc.
Gtd.
11.50%, 12/1/05 N/R 2,000 0
------------
GROUP TOTAL 2,653,250
------------
---------------------------------------------------------------------------------------
-----------------
RESTAURANTS (1.9%)
American Restaurant Group,
Inc.
Series D, Gtd.
11.50%, 11/1/06 Caa2 1,243 863,885
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
---------------------------------------------------------------------------------------
Buffets, Inc.
Sr. Sub. Notes
11.25%, 7/15/10 B3 $ 500 $ 497,500
CKE Restaurants, Inc.
Gtd.
9.125%, 5/1/09 Caa1 350 341,250
Carrols Corp.
Gtd.
9.50%, 12/1/08 B3 150 146,625
Denny's Corp.
Sr. Notes
11.25%, 1/15/08 Caa2 500 387,500
Friendly Ice Cream Corp.
Gtd.
10.50%, 12/1/07 B3 950 976,125
Morton's Restaurant Group,
Inc.
Secured
7.50%, 7/1/10 B2 250 215,000
Romacorp, Inc.
Gtd.
12.00%, 7/1/06 Caa1 1,000 580,000
Sbarro, Inc.
Gtd.
11.00%, 9/15/09 B3 125 107,500
------------
GROUP TOTAL 4,115,385
------------
---------------------------------------------------------------------------------------
RETAIL STORES (2.2%)
Finlay Fine Jewelry Corp.
Gtd.
Sr. Notes
8.375%, 5/1/08 B1 600 624,000
(1) Flooring America, Inc.
Series B, Gtd.
9.25%, 10/15/07 N/R 703 70
Jostens, Inc.
Sr. Sub. Notes
12.75%, 5/1/10 B3 900 1,066,500
Michaels Stores, Inc.
Sr. Notes
9.25%, 7/1/09 Ba1 500 562,500
NBTY, Inc.
Series B, Sr. Sub. Notes
8.625%, 9/15/07 B1 400 414,000
PEP Boys-Manny Moe & Jack
Notes
7.00%, 6/1/05 B2 800 798,000
PETCO Animal Supplies, Inc.
Sr. Sub. Notes
10.75%, 11/1/11 B2 400 458,000
(3) Rent-Way, Inc.
Secured
11.875%, 6/15/10 B3 500 517,500
United Auto Group, Inc.
Gtd.
9.625%, 3/15/12 B3 250 268,750
------------
GROUP TOTAL 4,709,320
------------
---------------------------------------------------------------------------------------
The accompanying notes are an integral part of the financial statements.
11
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
---------
JUNE 30, 2003
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
---------------------------------------------------------------------------------------
RETAIL - FOOD & DRUG (1.3%)
(1) Dairy Mart Convenience
Stores, Inc.
Sr. Sub. Notes
10.25%, 3/15/04 N/R $ 826 $ 152,810
Herbalife International, Inc.
Gtd.
11.75%, 7/15/10 B3 500 568,750
Pantry, Inc.
Gtd. Sr. Sub. Notes
10.25%, 10/15/07 B3 750 776,250
Stater Brothers
Holdings, Inc.
Sr. Notes
10.75%, 8/15/06 B2 750 793,125
(3) Swift & Co.:
Sr. Notes
10.125%, 10/1/09 B1 250 261,250
Sr. Sub. Notes
12.50%, 1/1/10 B2 300 310,500
------------
GROUP TOTAL 2,862,685
------------
---------------------------------------------------------------------------------------
-----------------
SATELLITE (2.3%)
EchoStar DBS Corp.
Sr. Notes
9.125%, 1/15/09 Ba3 300 336,750
9.375%, 2/1/09 Ba3 800 857,000
Loral Cyberstar, Inc.
Gtd.
10.00%, 7/15/06 Caa1 637 315,315
PanAmSat Corp.
Gtd.
8.50%, 2/1/12 Ba3 500 543,750
Pegasus Communications Corp.
Series B, Sr. Notes
12.50%, 8/1/07 Ca 1,000 925,000
Pegasus Media &
Communications, Inc.
Series B, Sr. Sub. Notes
12.50%, 7/1/05 Caa3 600 601,500
(4) Pegasus Satellite
Communications, Inc.
Sr. Discount Notes
0.00%, 3/1/07 C 250 210,000
Plains E&P Co.
Series B, Gtd.
8.75%, 7/1/12 B2 300 322,500
Star Choice Communications,
Inc.
Yankee Sr. Notes
13.00%, 12/15/05 B3 700 750,750
------------
GROUP TOTAL 4,862,565
------------
---------------------------------------------------------------------------------------
-----------------
SECONDARY OIL & GAS PRODUCERS (4.3%)
Continental Resources, Inc.
Gtd. Sr. Sub. Notes
10.25%, 8/1/08 Caa1 925 934,250
Forest Oil Corp.
Sr. Notes
8.00%, 6/15/08 Ba3 900 967,500
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
---------------------------------------------------------------------------------------
Pemex Project Funding
Master Trust:
Gtd.
8.50%, 2/15/08 Baa1 $ 150 $ 175,500
Series REGS, Gtd.
7.75%, 8/2/07 Baa1 1,825 2,313,578
6.625%, 4/4/10 Baa1 1,065 1,277,669
Pogo Producing Co.:
Series B, Sr. Sub. Notes
10.375%, 2/15/09 Ba3 250 273,438
8.25%, 4/15/11 Ba3 550 611,875
Southwest Royalties, Inc.
Gtd.
10.50%, 6/30/04 N/R 1,015 1,015,000
Vintage Petroleum, Inc.
Sr. Sub. Notes
7.875%, 5/15/11 B1 700 754,250
Wiser Oil Co.
Gtd. Sr. Sub. Notes
9.50%, 5/15/07 Caa3 800 732,000
------------
GROUP TOTAL 9,055,060
------------
---------------------------------------------------------------------------------------
-----------------
SERVICES (3.6%)
APCOA, Inc.
Gtd. Sr. Sub. Notes
9.25%, 3/15/08 Caa3 377 133,835
(3) American Color Graphics Notes
10.00%, 6/15/10 B3 800 800,000
Brand Services, Inc.
Gtd.
12.00%, 10/15/12 B3 600 687,000
Diamond Triumph Auto
Glass, Inc.
Gtd.
9.25%, 4/1/08 B3 500 422,500
Iesi Corp.
Gtd.
10.25%, 6/15/12 B3 500 532,500
Integrated Electrical
Services, Inc.
Series C, Gtd.
9.375%, 2/1/09 B2 625 637,500
Iron Mountain, Inc.:
Gtd.
8.625%, 4/1/13 B2 500 537,500
7.75%, 1/15/15 B2 250 265,625
La Petite Academy, Inc.
Series B, Gtd.
10.00%, 5/15/08 Ca 1,300 786,500
Muzak LLC/Muzak Finance Corp.:
Gtd.
9.875%, 3/15/09 Caa1 650 620,750
(3) Sr. Notes
10.00%, 2/15/09 B3 300 315,750
Salton, Inc.
Sr. Sub. Notes
12.25%, 4/15/08 B2 650 650,000
United Rentals, Inc.
Series B, Gtd.
9.25%, 1/15/09 B2 750 742,500
The accompanying notes are an integral part of the financial statements.
12
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
---------
JUNE 30, 2003
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
---------------------------------------------------------------------------------------
Xerox Corp.
Sr. Notes
7.625%, 6/15/13 B1 $ 500 $ 503,125
------------
GROUP TOTAL 7,635,085
------------
---------------------------------------------------------------------------------------
TECHNOLOGY (1.8%)
(3) AMI Semiconductor, Inc.
Sr. Sub. Notes
10.75%, 2/1/13 B3 250 283,750
Amkor Technology, Inc.:
Global Sr. Notes
9.25%, 2/15/08 B1 350 365,750
(3) Sr. Notes
7.75%, 5/15/13 B1 500 477,500
Ampex Corp.
Secured
12.00%, 8/15/08 N/R 1,565 234,692
DigitalNet Holdings, Inc.
Sr. Notes
9.00%, 7/15/10 B2 250 250,313
Lucent Technologies, Inc.:
Notes
7.25%, 7/15/06 Caa1 400 381,000
5.50%, 11/15/08 Caa1 550 466,125
(3) Sanmina-SCI Corp.
Secured
10.375%, 1/15/10 Ba2 900 1,008,000
Unisys Corp.
Sr. Notes
7.875%, 4/1/08 Ba1 250 259,375
------------
GROUP TOTAL 3,726,505
------------
---------------------------------------------------------------------------------------
-----------------
TEXTILE/APPAREL/SHOE MANUFACTURING (1.8%)
(1) Advanced Glassfiber Yarns LLC
Sr. Sub. Notes
9.875%, 1/15/09 N/R 150 8,250
BGF Industries, Inc.
Series B, Sr. Sub. Notes
10.25%, 1/15/09 Ca 250 172,500
Levi Strauss & Co.
Notes
7.00%, 11/1/06 B3 1,250 1,015,625
Phillips-Van Heusen Corp.
Sr. Sub. Notes
9.50%, 5/1/08 B3 800 832,000
Simmons Co.
Series B, Sr. Sub. Notes
10.25%, 3/15/09 B2 650 698,750
Tropical Sportswear
International Corp.
Series A, Gtd.
11.00%, 6/15/08 B3 700 724,500
USI American
Holdings, Inc.
Series B, Gtd.
7.25%, 12/1/06 B3 393 467,249
------------
GROUP TOTAL 3,918,874
------------
---------------------------------------------------------------------------------------
-----------------
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
---------------------------------------------------------------------------------------
TRANSPORTATION/OTHER (0.4%)
Sea Containers Ltd.
Series B, Yankee Sr. Notes
10.75%, 10/15/06 B1 $ 700 $ 640,500
Ultrapetrol (Bahamas) Ltd.
First Mortgage Notes
10.50%, 4/1/08 B1 150 105,000
------------
GROUP TOTAL 745,500
------------
---------------------------------------------------------------------------------------
-----------------
UTILITIES (1.9%)
AES Corp.:
Sr. Notes
8.00%, 12/31/08 B3 250 241,250
9.50%, 6/1/09 B3 48 48,720
CMS Energy Corp.:
Series B, Sr. Notes
6.75%, 1/15/04 B3 75 76,125
Sr. Notes
7.50%, 1/15/09 B3 700 695,625
Calpine Canada
Energy Finance
Gtd.
8.50%, 5/1/08 B1 317 248,845
Calpine Corp.
Sr. Notes
7.75%, 4/15/09 B1 800 596,000
Cogentrix Energy, Inc.
Series B, Gtd.
8.75%, 10/15/08 B1 900 778,500
Edison Mission Energy
Sr. Notes
7.73%, 6/15/09 B2 250 215,000
Mirant Americas Generation LLC
Sr. Notes
7.625%, 5/1/06 Caa3 600 465,000
(3) Mirant Corp.
Sr. Notes
7.40%, 7/15/04 Ca 300 225,000
(3) Reliant Resources, Inc.
Secured
9.50%, 7/15/13 B1 250 253,125
TNP Enterprises, Inc.
Series B, Sr. Sub. Notes
10.25%, 4/1/10 Ba3 250 251,250
------------
GROUP TOTAL 4,094,440
------------
---------------------------------------------------------------------------------------
-----------------
WIRELESS (5.2%)
(4) Alamosa PCS Holdings, Inc.
Gtd.
0.00%, 2/15/10 Caa3 800 468,000
American Cellular Corp.
Gtd.
9.50%, 10/15/09 Caa3 900 454,500
(3) Centennial Cellular Operating
Co./
Centennial Communications
Corp.
Sr. Notes
10.125%, 6/15/13 Caa1 400 398,000
The accompanying notes are an integral part of the financial statements.
13
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
---------
JUNE 30, 2003
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
---------------------------------------------------------------------------------------
iPCS, Inc.
Sr. Discount Notes
14.00%, 7/15/10 Ca $ 250 $ 15,000
IWO Holdings, Inc.
Gtd.
14.00%, 1/15/11 Ca 550 101,750
Millicom International
Cellular SA
Yankee Sr. Discount Notes
13.50%, 6/1/06 Caa3 1,000 1,015,000
(4) Nextel Communications,
Inc.
Sr. Discount Notes
9.95%, 2/15/08 B3 2,580 2,709,000
Nextel Partners, Inc.:
Sr. Notes
11.00%, 3/15/10 Caa1 400 434,000
(3) 8.125%, 7/1/11 Caa1 750 751,875
PTC International
Finance II SA
Yankee Gtd.
11.25%, 12/1/09 Ba3 750 851,250
Rogers Cantel, Inc.
Yankee Sr. Secured Debentures
9.375%, 6/1/08 Ba3 350 366,625
Rural Cellular Corp.
Sr. Sub. Notes
9.75%, 1/15/10 Caa1 1,450 1,290,500
(4) Tritel PCS, Inc.
Gtd.
0.00%, 5/15/09 Baa2 325 339,625
(3) Triton PCS, Inc.
Sr. Notes
8.50%, 6/1/13 B2 750 810,000
(4) U.S. Unwired, Inc.
Series B, Gtd.
0.00%, 11/1/09 Caa2 1,100 456,500
Western Wireless Corp.
Sr. Sub. Notes
10.50%, 2/1/07 Caa2 600 612,000
------------
GROUP TOTAL 11,073,625
------------
---------------------------------------------------------------------------------------
-----------------
TOTAL CORPORATE OBLIGATIONS
(Cost $188,939,455) 175,755,052
------------
---------------------------------------------------------------------------------------
Shares/
Units
-------------------------------------------------------------------------
-----------------
COMMON STOCKS (1.0%)
-------------------------------------------------------------------------
-----------------
BROADCAST/OUTDOOR (0.4%)
(5) Equinix, Inc. 5,567 43,701
(3)(5) Spanish Broadcasting System, Inc.
Class A 93,300 758,529
------------
GROUP TOTAL 802,230
------------
-------------------------------------------------------------------------
-----------------
CABLE (0.2%)
(5) NTL Europe, Inc. 3 0
Shares/ Value
Units (Note 1-A)
-------------------------------------------------------------------------
(5) NTL, Inc. 10,155 $ 346,489
------------
GROUP TOTAL 346,489
------------
-------------------------------------------------------------------------
-----------------
CAPITAL GOODS (0.1%)
(5) Terex Corp. 5,043 98,439
------------
-------------------------------------------------------------------------
-----------------
CONTAINERS (0.0%)
(2)(5) Indesco International, Inc. 20,689 98,273
------------
-------------------------------------------------------------------------
-----------------
FINANCE (0.0%)
(2)(5)(6) Westfed Holdings, Inc.
Class B (acquired 9/20/88, cost
$510) 16,893 169
------------
-------------------------------------------------------------------------
-----------------
FOOD PROCESSORS/BEVERAGE/BOTTLING (0.0%)
(3)(5) Specialty Foods Corp. 52,500 525
------------
-------------------------------------------------------------------------
-----------------
INDUSTRIAL/OTHER (0.1%)
(2)(5) Doskocil Manufacturing Co. 36,000 126,000
(2)(5) First Wave Marine, Inc. 2,105 13,156
------------
GROUP TOTAL 139,156
------------
-------------------------------------------------------------------------
-----------------
LODGING (0.0%)
(5) Motels of America, Inc. 750 3,000
------------
-------------------------------------------------------------------------
-----------------
METALS & MINING (0.0%)
(5) Sheffield Steel Corp. 8,750 88
------------
-------------------------------------------------------------------------
-----------------
RETAIL STORES (0.0%)
(2)(5) Safelite Glass Corp
Class B 18,064 903
(2)(5) Safelite Realty Corp. 1,219 12
------------
GROUP TOTAL 915
------------
-------------------------------------------------------------------------
-----------------
RETAIL - FOOD & DRUG (0.0%)
(2) Archibald Candy Corp. 2,030 50,750
------------
-------------------------------------------------------------------------
-----------------
SECONDARY OIL & GAS PRODUCERS (0.1%)
(2)(5) Southwest Royalties, Inc.
Class A 16,736 253,210
------------
-------------------------------------------------------------------------
-----------------
SERVICES (0.0%)
(3)(5) Mail Well, Inc. 31,958 80,534
------------
-------------------------------------------------------------------------
-----------------
TEXTILE/APPAREL/SHOE MANUFACTURING (0.1%)
(2)(5) HCI Direct, Inc.
Class A 18,578 92,890
(5) Safety Components
International, Inc. 26,759 215,410
------------
GROUP TOTAL 308,300
------------
-------------------------------------------------------------------------
-----------------
WIRELESS (0.0%)
(3)(5) OpTel, Inc. 750 8
------------
-------------------------------------------------------------------------
-------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $4,673,768) 2,182,086
------------
-------------------------------------------------------------------------
-----------------
The accompanying notes are an integral part of the financial statements.
14
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
---------
JUNE 30, 2003
Shares/ Value
Units (Note 1-A)
-------------------------------------------------------------------------
PREFERRED STOCKS (0.2%)
-------------------------------------------------------------------------
-----------------
CABLE (0.0%)
(5) Adelphia Communications Corp.
13% Cum. Exchangeable Series B 7,500 $ 3,750
(5) DIVA Systems Corp.
Series D 56,913 569
(5) NTL Europe, Inc.
10%, Series A 9 18
------------
GROUP TOTAL 4,337
------------
-------------------------------------------------------------------------
-----------------
FINANCE (0.0%)
(2)(5)(6) Westfed Holdings, Inc.
Class A (acquired 9/20/88-6/18/93,
cost $4,815,472) 57,005 14,251
------------
-------------------------------------------------------------------------
-----------------
RESTAURANTS (0.0%)
(5)(7) AmeriKing, Inc.
13% Cum. Exchangeable 40,375 404
------------
-------------------------------------------------------------------------
-----------------
SATELLITE (0.0%)
(5)(7) DigitalGlobe, Inc.
8.50%, Series C 68,257 68,257
------------
-------------------------------------------------------------------------
-----------------
WIRELESS (0.2%)
(5)(7) Rural Cellular Corp.
11.375% Sr. Exchangeable 426 269,445
------------
-------------------------------------------------------------------------
-----------------
TOTAL PREFERRED STOCKS
(Cost $7,183,086) 356,694
------------
-------------------------------------------------------------------------
-----------------
WARRANTS (0.0%)
-------------------------------------------------------------------------
(5) Arcadia Financial Ltd.
expiring 3/15/07 475 5
(2)(5) Carrier1 International S.A.
expiring 2/19/09 300 0
(5) Crown Packaging Holdings Ltd.
expiring 11/1/03 3,000 30
(3)(5) Dayton Superior Corp.
expiring 6/15/09 1,250 13
(3)(5) Decrane Aircraft Holdings
expiring 9/30/08 800 8
(3)(5) DIVA Systems Corp.:
expiring 5/15/06 2,315 23
expiring 3/1/08 11,655 117
(5) Loral Space & Communications
expiring 12/27/06 6,290 63
(5) Mikohn Gaming Corp.
expiring 8/15/08 3,000 30
(5) NTL, Inc.
expiring 1/13/11 4 5
(5) Pegasus Communications Corp.
expiring 1/1/07 250 3
(3)(5) Pliant Corp.
expiring 6/1/10 747 747
(2)(5) Safelite Glass Corp.:
Class A
expiring 9/29/06 44,271 443
Class B
expiring 9/29/07 29,514 295
Shares/ Value
Units (Note 1-A)
-------------------------------------------------------------------------
(5) Star Choice Communications, Inc.
expiring 12/5/05 16,212 47,862
(5) Windsor Woodmont Black Hawk
expiring 3/15/10 100 $ 0
-------------------------------------------------------------------------
-----------------
TOTAL WARRANTS
(Cost $91,211) 49,644
------------
-------------------------------------------------------------------------
-----------------
TOTAL DOMESTIC SECURITIES
(Cost $200,887,520) 178,343,476
------------
-------------------------------------------------------------------------
Face
Moody's Amount
Ratings (000)
--------------------------------------------------------------------------
FOREIGN SECURITIES (11.9%)
--------------------------------------------------------------------------
-----------------
CORPORATE OBLIGATIONS (0.6%)
--------------------------------------------------------------------------
-----------------
MALAYSIA (0.0%)
(3) Petronas Capital, Ltd.
Gtd.
7.00%, 5/22/12 Baa1 USD $50 57,957
------------
--------------------------------------------------------------------------
-----------------
MEXICO (0.6%)
Telefonos de Mexico SA de
CV
Sr. Notes
8.25%, 1/26/06 A3 USD 1,130 1,271,250
------------
--------------------------------------------------------------------------
-----------------
TOTAL CORPORATE OBLIGATIONS
(Cost $1,302,133) 1,329,207
------------
--------------------------------------------------------------------------
-----------------
GOVERNMENT OBLIGATIONS (11.3%)
--------------------------------------------------------------------------
-----------------
ARGENTINA (0.0%)
(8) Bocon PRO1
Bonds
2.67%, 4/1/07 Ca ARP 152 4,684
------------
--------------------------------------------------------------------------
-----------------
BELIZE (0.4%)
Government of Belize
Global Bonds
9.50%, 8/15/12 Ba3 USD 815 826,710
------------
--------------------------------------------------------------------------
-----------------
BRAZIL (1.3%)
Federal Republic of
Brazil:
Series 20YR, Bonds
8.00%, 4/15/14 B2 USD 616 540,885
Series 30yr,
Collateralized
2.125%, 4/15/24 B2 USD 3,000 2,247,804
------------
GROUP TOTAL 2,788,689
------------
--------------------------------------------------------------------------
-----------------
COLOMBIA (0.4%)
Republic of Columbia
Unsubordinated
7.625%, 2/15/07 Ba2 USD 830 892,250
------------
--------------------------------------------------------------------------
-----------------
COSTA RICA (0.1%)
Republic of Costa Rica
Series REGS, Notes
9.335%, 5/15/09 Ba1 USD 160 186,056
------------
--------------------------------------------------------------------------
The accompanying notes are an integral part of the financial statements.
15
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED)
---------
JUNE 30, 2003
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
--------------------------------------------------------------------------
GRENADA (0.3%)
Government of Grenada
Series REGS,
Unsubordinated
9.375%, 6/30/12 N/R USD $660 $ 675,609
------------
--------------------------------------------------------------------------
-----------------
MEXICO (1.2%)
United Mexican States:
Bonds
8.25%, 2/24/09 Baa2 USD 1,046 1,379,267
Global Notes
8.375%, 1/14/11 Baa2 USD 1,000 1,200,500
------------
GROUP TOTAL 2,579,767
------------
--------------------------------------------------------------------------
-----------------
MOROCCO (0.2%)
Kingdom of Morocco
Series A,
Foreign Government Gtd.
2.5625%, 1/1/09 Ba1 USD 443 425,353
------------
--------------------------------------------------------------------------
-----------------
PANAMA (0.5%)
Republic of Panama:
Bonds
2.75%, 7/17/16 Ba1 USD 412 333,499
Global Notes
8.25%, 4/22/08 Ba1 USD 600 664,500
------------
GROUP TOTAL 997,999
------------
--------------------------------------------------------------------------
-----------------
PERU (0.5%)
Republic of Peru:
Global Notes
9.125%, 1/15/08 Ba3 USD 755 821,062
Series 20yr,
Collateralized
4.50%, 3/7/17 Ba3 USD 450 345,166
------------
GROUP TOTAL 1,166,228
------------
--------------------------------------------------------------------------
-----------------
PHILIPPINES (0.4%)
Republic of Philippines
Global Bonds
8.875%, 4/15/08 Ba1 USD 810 893,025
------------
--------------------------------------------------------------------------
-----------------
RUSSIA (3.7%)
Ministry Finance of
Russia
Series VI, Debentures
3.00%, 5/14/06 Ba3 USD 1,340 1,308,925
Russian Federation:
Series REGS,
Unsubordinated
8.25%, 3/31/10 Ba3 USD 2,625 3,039,886
5.00%, 3/31/30 Ba2 USD 2,495 2,426,387
(3) Unsubordinated
11.00%, 7/24/18 Ba2 USD 785 1,120,588
------------
GROUP TOTAL 7,895,786
------------
--------------------------------------------------------------------------
-----------------
Face
Moody's Amount Value
Ratings (000) (Note 1-A)
--------------------------------------------------------------------------
UKRAINE (0.8%)
Ukraine Government
Sr. Notes
11.00%, 3/15/07 B2 USD 1,471 1,619,040
------------
--------------------------------------------------------------------------
URUGUAY (0.3%)
Republic of Uruguay:
Notes
7.25%, 2/15/11 B3 USD $510 $ 409,275
7.50%, 3/15/15 B3 USD 340 266,050
------------
GROUP TOTAL 675,325
------------
--------------------------------------------------------------------------
-----------------
VENEZUELA (1.2%)
Republic of Venezuela:
Bonds
9.25%, 9/15/27 Caa1 USD 1,815 1,345,369
Series DL, Bonds
1.875%, 12/18/07 N/R USD 1,393 1,108,398
------------
GROUP TOTAL 2,453,767
------------
--------------------------------------------------------------------------
-----------------
TOTAL GOVERNMENT OBLIGATIONS
(Cost $22,385,056) 24,080,288
------------
--------------------------------------------------------------------------
-----------------
TOTAL FOREIGN SECURITIES
(Cost $23,687,189) 25,409,495
------------
--------------------------------------------------------------------------
-----------------
TIME DEPOSITS (0.9%)
Citibank (Nassau)
0.36%, 7/1/03
(Cost $1,911,000) 1,911,000
------------
--------------------------------------------------------------------------
-----------------
TOTAL INVESTMENTS (96.6%)
(Cost $226,485,709) 205,663,971
------------
--------------------------------------------------------------------------
-----------------
OTHER ASSETS IN EXCESS OF LIABILITIES (3.4%)
7,230,581
------------
--------------------------------------------------------------------------
-----------------
NET ASSETS (100%)
Applicable to 49,895,588 issued and outstanding
$.001 par value shares (authorized 100,000,000
shares) $212,894,552
============
==========================================================================
N/R--Not Rated
ARP--Argentine Peso
(1) Defaulted security.
(2) Not readily marketable security; security is valued at fair value as
determined in good faith by the Board of Directors.
(3) 144A Security. Certain conditions for public sale may exist. Total market
value of 144A securities owned at June 30, 2003 was $23,108,149 or 10.85%
of net assets.
(4) 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.
(5) Non-income producing security.
(6) Restricted as to private and public resale. Total cost of restricted
securities at June 30, 2003 aggregated $4,815,982. Total market value of
restricted securities owned at June 30, 2003 was $14,420 or 0.01% of net
assets.
(7) Payment-in-kind preferred stocks. Market value includes accrued dividend.
(8) 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, 2003.
The accompanying notes are an integral part of the financial statements.
16
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2003
(unaudited)
--------------------------------------------------------------------------------------------------
ASSETS:
Investments at Value
(Cost $226,485,709) (Note 1-A)............................................ $205,663,971
Receivables:
Receivables for Investments Sold.......................................... 4,670,261
Dividend and Interest Receivable (Note 1-B)............................... 5,113,585
Other Assets................................................................ 30,773
--------------------------------------------------------------------------------------------------
Total Assets............................................................ 215,478,590
--------------------------------------------------------------------------------------------------
LIABILITIES:
Investments Purchased..................................................... 2,032,722
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts
(Note 1-H)............................................................... 88,850
Investment Advisory Fees (Note 2)......................................... 259,045
Shareholders' Reports..................................................... 122,489
Shareholders' Servicing Fees.............................................. 30,690
Custodian Fees............................................................ 24,161
Administrative Fees (Note 2).............................................. 19,756
Audit Fees................................................................ 4,952
Directors' Fees........................................................... 1,373
--------------------------------------------------------------------------------------------------
Total Liabilities....................................................... 2,584,038
--------------------------------------------------------------------------------------------------
NET ASSETS...................................................................... $212,894,552
================
NET ASSETS CONSIST OF:
Capital Shares at $.001 Par Value........................................... $ 49,896
Capital Paid in Excess of Par Value......................................... 394,632,167
Distributions in Excess of Net Investment Income............................ (5,514,692)
Accumulated Net Realized Loss on Investments................................ (155,242,909)
Unrealized Depreciation on Investments, Foreign Currency Contracts and
Translations............................................................... (21,029,910)
--------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO 49,895,588 ISSUED AND OUTSTANDING SHARES (AUTHORIZED
100,000,000 SHARES)........................................................... $212,894,552
================
NET ASSET VALUE PER SHARE....................................................... $ 4.27
==================================================================================================
STATEMENT OF OPERATIONS
Six Months Ended
June 30, 2003
(unaudited)
--------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest (Net of foreign taxes withheld of $5,022) (Note 1-B)............... $10,446,611
Dividends (Note 1-B)........................................................ 30,621
--------------------------------------------------------------------------------------------------
Total Income.............................................................. 10,477,232
--------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees (Note 2)........................................... 501,724
Shareholders' Reports....................................................... 59,507
Custodian Fees.............................................................. 55,044
Administrative Fees (Note 2)................................................ 50,181
Shareholders' Servicing Fees................................................ 38,680
Directors' Fees and Expenses................................................ 26,283
NYSE Fees................................................................... 18,436
Legal Fees.................................................................. 17,356
Audit Fees.................................................................. 15,590
Miscellaneous............................................................... 15,031
--------------------------------------------------------------------------------------------------
Total Expenses............................................................ 797,832
--------------------------------------------------------------------------------------------------
Net Investment Income................................................... 9,679,400
--------------------------------------------------------------------------------------------------
Net Realized Loss on Investments and Foreign Currency (Note 1-B)................ (3,311,137)
--------------------------------------------------------------------------------------------------
Change in Unrealized Appreciation on Investments, Foreign Currency Contracts and
Translations.................................................................. 22,664,209
--------------------------------------------------------------------------------------------------
Net Realized Loss and Change in Unrealized Appreciation......................... 19,353,072
--------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $29,032,472
==================================================================================================
The accompanying notes are an integral part of the financial statements.
17
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended
June 30, 2003 Year Ended
(unaudited) December 31,2002
---------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net Investment Income....................................................... $ 9,679,400 $ 21,151,823
Net Realized Loss on Investments, Foreign Currency and Futures Contracts.... (3,311,137) (56,450,987)
Change in Unrealized Appreciation of Investments, Foreign Currency Contracts
and Translations........................................................... 22,664,209 28,662,276
---------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................. 29,032,472 (6,636,888)
---------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:
Net Investment Income....................................................... (11,226,533) (30,897,405)
Return of Capital........................................................... -- (4,029,507)
---------------------------------------------------------------------------------------------------------------------
Total Distributions....................................................... (11,226,533) (34,926,912)
---------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets 17,805,939 (41,563,800)
---------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of Period......................................................... 195,088,613 236,652,413
---------------------------------------------------------------------------------------------------------------------
End of Period (Including distributions in excess of net investment income of
($5,514,692) and ($3,967,559), respectively.).............................. $212,894,552 $195,088,613
=====================================================================================================================
FINANCIAL HIGHLIGHTS
Six Months
Ended Year Ended December 31,
PER SHARE OPERATING JUNE 30, 2003 ---------------------------------------------------------------------
PERFORMANCE: (UNAUDITED) 2002 2001(2) 2000 1999 1998 1997
----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $3.91 $4.74 $5.70 $7.34 $7.77 $8.44 $8.12
----------------------------------------------------------------------------------------------------------------------------
Offering Costs................. -- -- -- -- -- -- --
----------------------------------------------------------------------------------------------------------------------------
Investment Activities:
Net Investment Income.......... 0.19 0.42 0.61+ 0.67 0.75 0.71 0.69
Net Realized and Unrealized
Gain (Loss) on Investments and
Futures Contracts............. 0.40 (0.55) (0.85) (1.55) (0.46) (0.66) 0.39
----------------------------------------------------------------------------------------------------------------------------
Total from Investment
Activities.................. 0.59 (0.13) (0.24) (0.88) 0.29 0.05 1.08
----------------------------------------------------------------------------------------------------------------------------
Distributions:
Net Investment Income.......... (0.23) (0.62) (0.72) (0.76) (0.72) (0.72) (0.76)
Return of Capital.............. -- (0.08) -- -- -- -- --
----------------------------------------------------------------------------------------------------------------------------
Total Distributions.......... (0.23) (0.70) (0.72) (0.76) (0.72) (0.72) (0.76)
----------------------------------------------------------------------------------------------------------------------------
Decrease in Net Asset Value due to
Shares Issued through Rights
Offering.......................... -- -- -- -- -- -- --
----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD..... $4.27 $3.91 $4.74 $5.70 $7.34 $7.77 $8.44
============================================================================================================================
PER SHARE MARKET VALUE, END OF
PERIOD............................ $4.57 $3.88 $4.98 $5.56 $6.06 $7.56 $8.75
============================================================================================================================
TOTAL INVESMENT RETURN:
Net Asset Value(1)............. 14.78% (5.26)% (6.04)% (12.37)% 4.50% 0.47% 14.03%
Market Value................... 23.80% (10.52)% 1.15% 3.55% (11.32)% (5.68)% 25.90%
============================================================================================================================
RATIOS AND SUPPLEMENTAL DATA:
============================================================================================================================
Net Assets, End of Period
(Thousands)....................... $212,895 $195,089 $236,652 $197,817 $254,857 $269,507 $291,959
----------------------------------------------------------------------------------------------------------------------------
Ratio of Expenses to Average Net
Assets Including Expense
Offsets........................... 0.80%** 0.79% 1.07% 0.78% 0.78% 0.81% 0.84%
Ratio of Expenses to Average Net
Assets............................ 0.80%** 0.79% 1.07% 0.78% 0.78% 0.81% 0.84%
Ratio of Net Investment Income to
Average Net Assets................ 9.65%** 9.93% 11.66% 10.10% 9.90% 8.59% 8.47%
Portfolio Turnover Rate............ 44.02% 61.1% 50.1%(3) 39.1% 43.5% 84.7% 97.7%
----------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
Year Ended December 31,
PER SHARE OPERATING -----------------------------------------------
PERFORMANCE: 1996 1995SECTION 1994 1993
-----------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $8.63 $8.05 $9.00 $8.42
-----------------------------------
Offering Costs................. (0.02) -- -- --
-----------------------------------
Investment Activities:
Net Investment Income.......... 0.75 0.86 0.83 0.91
Net Realized and Unrealized
Gain (Loss) on Investments and
Futures Contracts............. 0.18 0.48 (1.06) 0.57
-----------------------------------
Total from Investment
Activities.................. 0.93 1.34 (0.23) 1.48
-----------------------------------
Distributions:
Net Investment Income.......... (0.90) (0.76) (0.72) (0.90)
Return of Capital.............. -- -- -- --
-----------------------------------
Total Distributions.......... (0.90) (0.76) (0.72) (0.90)
-----------------------------------
Decrease in Net Asset Value due to
Shares Issued through Rights
Offering.......................... (0.52) -- -- --
-----------------------------------
NET ASSET VALUE, END OF PERIOD..... $8.12 $8.63 $8.05 $9.00
===================================
PER SHARE MARKET VALUE, END OF
PERIOD............................ $7.63 $7.88 $7.00 $8.50
===================================
TOTAL INVESMENT RETURN:
Net Asset Value(1)............. 10.59%* 17.41% (2.67)% 18.47%
Market Value................... 10.05%* 24.34% (9.48)% 12.46%
===================================
RATIOS AND SUPPLEMENTAL DATA:
===================================
Net Assets, End of Period
(Thousands)....................... $280,634 $210,441 $196,379 $219,355
-----------------------------------
Ratio of Expenses to Average Net
Assets Including Expense
Offsets........................... 0.94% 0.92% 0.83% 0.88%
Ratio of Expenses to Average Net
Assets............................ 0.95% 0.92% 0.83% 0.88%
Ratio of Net Investment Income to
Average Net Assets................ 9.23% 10.22% 9.75% 10.34%
Portfolio Turnover Rate............ 81.0% 44.1% 70.6% 117.5%
-----------------------------------
Section Credit Suisse Asset Management, LLC, formerly known as BEA
Associates replaced CS First Boston Investment Management as the
Fund's investment adviser effective June 13, 1995.
* Adjusted for Rights Offering.
** Annualized.
+ Calculated using the average share method.
(1) Total investment return based on per share net asset value reflects
the effects of change in net asset value on the performance of the
Fund during each year, and assumes dividends and capital gains
distributions, if any, were reinvested. These percentages are not an
indication of the performance of a shareholder's investment in the
Fund based on market value, due to differences between the market
price of the stock and the net asset value of the Fund.
(2) As required, effective January 1, 2001 the Fund has adopted
provisions of AICPA Audit and Accounting Guide for Investment
Companies and has begun amortizing premiums on debt securities. The
effect of this change for the year ended December 31, 2001 was a
decrease to net investment income per share by $0.004 and an
increase to net realized and unrealized gains and losses per share
by $0.004 and a decrease to the net ratio of net investment income
to average net assets from 11.73% to 11.66%. Per share ratios and
supplemental data for prior years have not been restated to reflect
this change.
(3) Due to the realignment of the Fund's portfolio in connection with
the combination with Credit Suisse Strategic Global Income
Fund, Inc., the cost of purchases of $30,040,944 and proceeds from
sales of $37,801,151 have been excluded from the Portfolio Turnover
calculation.
Note: Current Year permanent book-tax differences, if any, are not
included in the calculation of net investment income per
share.
The accompanying notes are an integral part of the financial statements.
18
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2003 (UNAUDITED)
------------
NOTE 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Credit Suisse Asset Management Income Fund, Inc. (the "Fund") was incorporated
on February 11, 1987 and is registered as a diversified, closed-end investment
company under the Investment Company Act of 1940. The Fund's investment
objective is to seek current income through investment primarily in debt
securities.
On May 14, 2001, the Fund acquired substantially all of the assets and assumed
the liabilities of Credit Suisse Asset Management Strategic Global Income
Fund, Inc. ("CGF"). Pursuant to the terms of the agreement governing the
acquisition, the CGF shareholders, for each share of common stock of CGF held,
became entitled to receive an equivalent dollar amount of full shares of common
stock of the Fund. Based on the net asset values of the Fund and CGF as of
May 11, 2001 ($5.49 and $6.96, respectively), the conversion ratio was 1.2681
shares of the Fund for each share of CGF. Cash was paid in lieu of fractional
shares. Net assets of the Fund and CGF as of the acquisition date were
$190,522,544 and $83,383,448, including unrealized depreciation of $71,252,968
and $16,668,823, respectively. Total net assets immediately after the
acquisition were $273,905,992. Based upon the opinion of Fund counsel, the
acquisition qualified as a tax-free reorganization for Federal income tax
purposes, with no gain or loss recognized by the Fund, CGF or their
shareholders.
A) 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. on each day
the exchange is open for business. Debt securities with a remaining maturity
greater then 60 days are valued on the basis of broker quotations or in
accordance with the price supplied by a pricing service, which may use a matrix,
formula or other objective method that takes into consideration market indices,
yield curves and other specific adjustments. The Fund's equity investments are
valued at market value, which is generally determined using the closing price on
the exchange or market on which the security is primarily traded at the time of
valuation ("Valuation Time"). If no sales are reported, equity investments are
generally valued at the most recent bid quotation as of the Valuation Time.
Securities and other assets for which market quotations are not readily
available are valued at fair value as determined in good faith by the Board of
Directors under procedures established by the Board of Directors in the absence
of readily ascertainable market values. Debt obligations that will mature in 60
days or less are valued on the basis of amortized cost, which approximates
market value, unless it is determined that using this method would not represent
fair value.
The Fund 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") (excluding Rule 144A securities). These
securities are valued pursuant to the valuation procedures noted above.
B) SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
accounted for on a trade date basis. Interest income is recorded on the accrual
basis. The Fund amortizes premium and accretes discount using the effective
yield method. Dividends are recorded on the ex-dividend date. Costs used in
determining realized gains and losses on the sale of investment securities are
those of specific securities sold. Discount or premium on mortgage backed
securities are recorded upon receipt of principal payments on the underlying
mortgage pools.
C) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment
income are declared and paid monthly. Distributions of net realized capital
gains, if any, are declared and paid at least annually. However, to the extent
that a net realized capital gain can be reduced by a capital loss carryover,
such gain will not be distributed. Income and capital gains distributions are
determined in accordance with federal income tax regulations which may differ
from generally accepted accounting principles in the United States of America
("GAAP").
D) FEDERAL INCOME TAXES -- No provision is made for federal taxes as it is the
Fund's intention to continue to qualify for and elect the tax treatment
applicable to regulated investment companies under the Internal Revenue Code of
1986, as amended, and make the requisite distributions to its shareholders which
will be sufficient to relieve it from federal income and excise taxes.
E) SHORT-TERM INVESTMENTS -- The Fund, together with other funds/portfolios
advised by Credit Suisse Asset Management, LLC ("CSAM"), an indirect
wholly-owned subsidiary of Credit Suisse Group, sweeps available cash into
overnight offshore time deposits either with Brown Brothers Harriman & Co.
("BBH&Co.") Grand Cayman branch the Fund's custodian, or with other client
approved, and highly-rated banks. The short-term time deposit is a variable rate
account classified as a short-term investment.
F) 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.
19
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2003 (UNAUDITED)
------------
G) FUTURES CONTRACTS -- The Fund may enter into futures contracts to the extent
permitted by its investment policies and objectives. Upon entering into a
futures contract, the Fund is required to deposit cash or pledge U.S. Government
securities as initial margin. Subsequent payments, which are dependent on the
daily fluctuations in the value of the underlying instrument, are made or
received by the Fund each day (daily variation margin) and are recorded as
unrealized gains or losses until the contracts are closed. When the contracts
are closed, the Fund records a realized gain or loss equal to the difference
between the proceeds from (or cost of) the closing transactions and the Fund's
basis in the contracts. Risks of entering into futures contracts for hedging
purposes include the possibility that a change in the value of the contracts may
not correlate with the changes in the value of the underlying instruments. In
addition, the purchase of futures contracts involves the risk that the Fund
could lose more than the original margin deposit and subsequent payments
required for a futures transaction. At June 30, 2003, the Fund had no open
futures contracts.
H) FORWARD FOREIGN CURRENCY CONTRACTS -- The Fund may enter into forward foreign
currency contracts for the purchase or sale of a specific foreign currency at a
fixed price on a future date. Risks may arise upon entering into these contracts
from the potential inability of counterparties to meet the terms of their
contracts and from unanticipated movements in the value of a foreign currency.
The Fund will enter into forward foreign currency contracts primarily for
hedging purposes. Forward foreign currency contracts are adjusted by the daily
exchange rate of the underlying currency and any gains or losses are recorded
for financial statement purposes as unrealized until the contract settlement
date, or an offsetting position is entered into. At June 30, 2003, the Fund had
the following open forward foreign currency contracts:
FORWARD
FOREIGN FOREIGN
CURRENCY EXPIRATION CURRENCY TO BE CONTRACT CONTRACT UNREALIZED
CONTRACTS DATE PURCHASED/(SOLD) AMOUNT VALUE GAIN/(LOSS)
--------------------------------------------- ---------- ---------------- ----------- ----------- -----------
European Economic Unit 8/07/03 250,000 $ 291,725 $ 287,251 $ (4,474)
European Economic Unit 8/07/03 (3,500,000) (3,931,515) (4,022,620) (91,105)
European Economic Unit 9/29/03 (1,252,000) (1,443,556) (1,436,827) 6,729
----------- ----------- --------
$(5,083,346) $(5,172,196) $(88,850)
=========== =========== ========
I) OTHER -- 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.
Investments in foreign securities may be exposed to risks not typically
associated with investments in the United States. These risks include disruptive
political or economic conditions and the possible imposition of adverse
governmental laws or currency exchange restrictions.
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 a computed weekly
and paid quarterly rate as follows: 0.50% of the lower of the weekly stock price
(market value) of the Fund's outstanding shares or its average weekly net
assets.
For the six months ended June 30, 2003, CSAM earned investment advisory fees of
$501,724.
BBH&Co., provides administrative and custodial services to the Fund. Under the
Administration and Custody Agreements, BBH&Co. is paid a fee based on average
net assets.
For the six months ended June 30, 2003, BBH&Co. earned administrative service
fees (including out-of-pocket expenses) of $50,181.
Fleet National Bank provides transfer agent services to the Fund. Under the
Transfer Agent Agreement, Fleet National Bank is paid a fee based on the number
of accounts in the Fund per year. In addition, the Fund is charged certain out-
of-pocket expenses by Fleet National Bank.
Merrill Corporation ("Merrill"), an affiliate of CSAM, has been engaged by the
Fund to provide certain financial printing and fulfillment services. For the six
months ended June 30, 2003, Merrill was paid $17,878 for its services to the
Fund.
NOTE 3. LINE OF CREDIT
The Fund, together with other funds/portfolios advised by CSAM (collectively,
the "Participating Funds"), participates in a $100 million committed, unsecured
line of credit facility ("Credit Facility") with Deutsche Bank, A.G. as
administrative agent and syndication agent and State Street Bank and
20
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
JUNE 30, 2003 (UNAUDITED)
------------
Trust Company as operations agent for temporary or emergency purposes. Under the
terms of the Credit Facility, the Participating Funds pay an aggregate
commitment fee at a rate of 0.10% per annum on the average unused amount of the
Credit Facility, which is allocated among the Participating Funds in such manner
as is determined by the governing Boards of the Participating Funds. In
addition, the Participating Funds pay interest on borrowings at the Federal
Funds rate plus 0.50%. At June 30, 2003 and during the six months ended
June 30, 2003, the Fund had no borrowings under the Credit Facility.
NOTE 4. PURCHASES AND SALES OF SECURITIES
For the six months ended June 30, 2003 purchases and sales of investment
securities (excluding short-term investments) aggregated $86,027,264 and
$85,914,370 respectively.
At June 30, 2003, the identified cost for federal income tax purposes, as well
as the gross unrealized appreciation from investments for those securities
having an excess of value over cost, gross unrealized depreciation from
investments for those securities having an excess of cost over value and net
unrealized appreciation (depreciation) (based on cost for federal income tax
purposes) were $226,485,709, $14,738,364, $(35,560,102) and $(20,821,738),
respectively.
NOTE 5. OTHER
The Fund issued to its shareholders of record as of the close of business on
September 27, 1996 transferable Rights to subscribe for up to an aggregate of
10,160,570 shares of Common Stock of the Fund at a rate of one share of Common
Stock for three Rights held at the subscription price of $7.15 per share. During
October 1996, the Fund issued a total of 10,160,570 shares of Common Stock on
exercise of such Rights. Rights' offering costs of $550,000 were charged
directly against the proceeds of the Offering.
21
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
JUNE 30, 2003 (UNAUDITED)
------------
DESCRIPTION OF INVESTLINK -SM- PROGRAM
The InvestLink -SM- Program is sponsored and administered by Fleet National
Bank, not by Credit Suisse Asset Management Income Fund, Inc., (the "Fund").
Fleet National Bank will act as program administrator (the "Program
Administrator") of the InvestLink -SM- Program (the "Program"). The purpose of
the Program is to provide interested investors with a simple and convenient way
to invest funds and reinvest dividends in shares of the Fund's common stock
("Shares") at prevailing prices, with reduced brokerage commissions and fees.
An interested investor may join the Program at any time. Purchases of Shares
with funds from a participant's cash payment or automatic account deduction will
begin on the next day on which funds are invested. If a participant selects the
dividend reinvestment option, automatic investment of dividends generally will
begin with the next dividend payable after the Program Administrator receives
his enrollment form. Once in the Program, a person will remain a participant
until he terminates his participation or sells all Shares held in his Program
account, or his account is terminated by the Program Administrator. A
participant may change his investment options at any time by requesting a new
enrollment form and returning it to the Program Administrator.
A participant will be assessed certain charges in connection with his
participation in the Program. First-time investors will be subject to an initial
service charge which will be deducted from their initial cash deposit. All
optional cash deposit investments will be subject to a service charge. Sales
processed through the Program will have a service fee deducted from the net
proceeds, after brokerage commissions. In addition to the transaction charges
outlined above, participants will be assessed per share processing fees (which
include brokerage commissions.) Participants will not be charged any fee for
reinvesting dividends.
The number of Shares to be purchased for a participant depends on the amount of
his dividends, cash payments or bank account or payroll deductions, less
applicable fees and commissions, and the purchase price of the Shares. The
Program Administrator uses dividends and funds of participants to purchase
Shares of the Fund's common stock in the open market. Such purchases will be
made by participating brokers as agent for the participants using normal cash
settlement practices. All Shares purchased through the Program will be allocated
to participants as of the settlement date, which is usually three business days
from the purchase date. In all cases, transaction processing will occur within
30 days of the receipt of funds, except where temporary curtailment or
suspension of purchases is necessary to comply with applicable provisions of the
Federal Securities laws or when unusual market conditions make prudent
investment impracticable. In the event the Program Administrator is unable to
purchase Shares within 30 days of the receipt of funds, such funds will be
returned to the participants.
The average price of all Shares purchased by the Program Administrator with all
funds received during the time period from two business days preceding any
investment date up to the second business day preceding the next investment date
shall be the price per share allocable to a participant in connection with the
Shares purchased for his account with his funds or dividends received by the
Program Administrator during such time period. The average price of all Shares
sold by the Program Administrator pursuant to sell orders received during such
time period shall be the price per share allocable to a participant in
connection with the Shares sold for his account pursuant to his sell orders
received by the Program Administrator during such time period.
Fleet National Bank, as Program Administrator administers the Program for
participants, keeps records, sends statements of account to participants and
performs other duties relating to the Program. Each participant in the Program
will receive a statement of his account following each purchase of Shares. The
statements will also show the amount of dividends credited to such participant's
account (if applicable), as well as fees paid by the participant. In addition,
each participant will receive copies of the Fund's annual and semi-annual
reports to shareholders, proxy statements and, if applicable, dividend income
information for tax reporting purposes.
If the Fund is paying dividends on the Shares, a participant will receive
dividends through the Program for all Shares held on the dividend record date on
the basis of full and fractional Shares held in his account, and for all other
Shares of the Fund registered in his name. The Program Administrator will send
checks to the participants for the amounts of their dividends that are not to be
automatically reinvested at no cost to the participants.
Shares of the Fund purchased under the Program will be registered in the name of
the accounts of the respective participants. Unless requested, the Fund will not
issue to participants certificates for Shares of the Fund purchased under the
Program. The Program Administrator will hold the Shares in book-entry form until
a Program participant chooses to withdraw his Shares or terminate his
participation in the Program. The number of Shares purchased for a
22
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
JUNE 30, 2003 (UNAUDITED)
------------
participant's account under the Program will be shown on his statement of
account. This feature protects against loss, theft or destruction of stock
certificates.
A participant may withdraw all or a portion of the Shares from his Program
account by notifying the Program Administrator. After receipt of a participant's
request, the Program Administrator will issue to such participant certificates
for the whole Shares of the Fund so withdrawn or, if requested by the
participant, sell the Shares for him and send him the proceeds, less applicable
brokerage commissions, fees, and transfer taxes, if any. If a participant
withdraws all full and fractional Shares in his Program account, his
participation in the Program will be terminated by the Program Administrator. In
no case will certificates for fractional Shares be issued. The Program
Administrator will convert any fractional Shares held by a participant at the
time of his withdrawal to cash.
Participation in any rights offering, dividend distribution or stock split will
be based upon both the Shares of the Fund registered in participants' names and
the Shares (including fractional Shares) credited to participants' Program
accounts. Any stock dividend or Shares resulting from stock splits with respect
to Shares of the Fund, both full and fractional, which participants hold in
their Program accounts and with respect to all Shares registered in their names
will be automatically credited to their accounts.
All Shares of the Fund (including any fractional share) credited to his account
under the Program will be voted as the participant directs. The participants
will be sent the proxy materials for the annual meetings of shareholders. When a
participant returns an executed proxy, all of such shares will be voted as
indicated. A participant may also elect to vote his Shares in person at the
Shareholders' meeting.
A participant will receive tax information annually for his personal records and
to help him prepare his U.S. federal income tax return. The automatic
reinvestment of dividends does not relieve him of any income tax which may be
payable on dividends. For further information as to tax consequences of
participation in the Program, participants should consult with their own tax
advisors.
The Program Administrator in administering the Program will not be liable for
any act done in good faith or for any good faith omission to act. However, the
Program Administrator will be liable for loss or damage due to error caused by
its negligence, bad faith or willful misconduct. Shares held in custody by the
Program Administrator are not subject to protection under the Securities
Investors Protection Act of 1970.
The participant should recognize that neither the Fund nor the Program
Administrator can provide any assurance of a profit or protection against loss
on any Shares purchased under the program. A participant's investment in Shares
held in his Program account is no different than his investment in directly held
Shares in this regard. The participant bears the risk of loss and the benefits
of gain from market price changes with respect to all his Shares. Neither the
Fund nor the Program Administrator can guarantee that Shares purchased under the
Program will, at any particular time, be worth more or less than their purchase
price. Each participant must make an independent investment decision based on
his own judgement and research.
While the Program Administrator hopes to continue the Program indefinitely, the
Program Administrator reserves the right to suspend or terminate the Program at
any time. It also reserves the right to make modifications to the Program.
Participants will be notified of any such suspension, termination or
modification in accordance with the terms and conditions of the Program. The
Program Administrator also reserves the right to terminate any participant's
participation in the Program at any time. Any question of interpretation arising
under the Program will be determined in good faith by the Program Administrator
and any such good faith determination will be final.
Any interested investor may participate in the Program. To participate in the
Program, an investor who is not already a registered owner of the Shares must
make an initial investment of at least $250.00. All other cash payments or bank
account deductions must be at least $100.00, up to a maximum of $100,000.00
annually. An interested investor may join the Program by reading the Program
description, completing and signing the enrollment form and returning it to the
Program Administrator. The enrollment form and information relating to the
Program (including terms and conditions) may be obtained by calling the Program
Administrator at one of the following telephone numbers: First Time Investors
(888) 697-8026. Current Shareholders (800) 730-6001. All correspondence
regarding the Program should be directed to: Fleet National Bank, InvestLink
Program, P.O. 43010, Providence, RI 02940-3010.
23
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
JUNE 30, 2003 (UNAUDITED)
------------
GENERAL INFORMATION
The Fund is organized as a Maryland corporation. On July 27, 2001 the Fund's
Board of Directors adopted Articles Supplementary to the Fund's Articles of
Incorporation that are consistent with Title 3, Subtitle 8 of Maryland's General
Corporate Law ("MGCL"). The Articles Supplementary provide that: (1) the Board
be divided into three classes with staggered terms that expire at the 2003,
2004, and 2005 annual meetings, respectively: Class I -- consisting of two
current directors, James S. Pasman, Jr. and William W. Priest, Jr.,
Class II -- consisting of one current director, Lawrence J. Fox, and Class
III -- consisting of one current director, Enrique R. Arzac; (2) Directors may
only be removed for cause by a two-thirds vote of shareholders; and (3) the
Directors can set the numbers of Directors and fill Board vacancies for the
remainder of the class term (whether or not the term extends beyond the next
annual meeting of shareholders). In addition, the Board adopted corresponding
amendments to the Fund's By-Laws. This modification was made to more closely
align the Fund's corporate governance structure with that of Credit Suisse High
Yield Bond Fund, another closed-end registered investment management company
whose Board of Trustees comprises substantially the same individuals who serve
as Directors of the Fund. The Fund's Articles and By-Laws are on file with the
SEC and are accessible through the SEC's website (www.sec.gov) or may be
obtained from the Secretary of the Fund upon request.
AMENDMENT TO THE AMENDED AND RESTATED BYLAWS OF CREDIT SUISSE ASSET MANAGEMENT
INCOME FUND, INC.
Pursuant to a resolution duly adopted by the directors of Credit Suisse Asset
Management Income Fund, Inc. (the "Fund") at a meeting of the Board of Directors
of the Fund duly held on February 12, 2003, ARTICLE I, SECTION 2 of the Fund's
Amended and Restated Bylaws was amended by adding the following sentence at the
end thereof.
"Notwithstanding the foregoing, the 2003 annual meeting of the Stockholders of
the Company shall be held at such place as the Board of Directors shall select
on such date as the Board of Directors may fix by resolution, provided that the
meeting shall be held no later than the 30th of September 2003."
Dated: February 12, 2003
Notice is hereby given in accordance with Section 23(c) of the Investment
Company Act of 1940, as amended, that the CSAM Income Fund, Inc. may from time
to time purchase up to 10% of its capital stock in the open market.
24
PRIVACY POLICY NOTICE
---------
We are committed to maintaining the privacy of every current and prospective
customer. We recognize that you entrust important personal information to us,
and we wish to assure you that we take seriously our responsibilities in
protecting and safeguarding this information.
In connection with making available investment products and services to
current and potential customers, we may obtain nonpublic personal information
about you. This information may include your name, address, e-mail address,
social security number, account number, assets, income, financial situation,
transaction history and other personal information.
We may collect nonpublic information about you from the following sources:
- Information we receive on applications, forms, questionnaires, web sites,
agreements or in the course of establishing or maintaining a customer
relationship; and
- Information about your transactions with us, our affiliates, or others.
We do not disclose any nonpublic personal information about our customers or
former customers to anyone, except with your consent or as otherwise permitted
by law. In cases where we believe that additional products and services may be
of interest to you, we may share the information described above with our
affiliates. We may also disclose this information to firms that perform services
on our behalf. These agents and service providers are required to treat the
information confidentially and use it only for the purpose for which it is
provided.
We restrict access to nonpublic personal information about you to those
employees, agents or other parties who need to know that information to provide
products or services to you or in connection with your investments with or
through us. We maintain physical, electronic and procedural safeguards that
comply with federal standards to guard your nonpublic personal information.
NOTE: THIS NOTICE IS PROVIDED TO CLIENTS AND PROSPECTIVE CLIENTS OF CREDIT
SUISSE ASSET MANAGEMENT, LLC ("CSAM"), CSAM CAPITAL INC., AND CREDIT SUISSE
ASSET MANAGEMENT SECURITIES, INC., AND SHAREHOLDERS AND PROSPECTIVE SHAREHOLDERS
IN CSAM SPONSORED AND ADVISED INVESTMENT COMPANIES, INCLUDING CREDIT SUISSE
FUNDS, AND OTHER CONSUMERS AND CUSTOMERS, AS APPLICABLE. THIS NOTICE IS NOT
INTENDED TO BE INCORPORATED IN ANY OFFERING MATERIALS BUT IS MERELY A STATEMENT
OF OUR CURRENT PRIVACY POLICY, AND MAY BE AMENDED FROM TIME TO TIME UPON NOTICE
TO YOU. THIS NOTICE IS DATED AS OF MAY 31, 2003.
25
4946-SAR-03
ITEM 2. CODE OF ETHICS. Form N-CSR disclosure requirement not yet effective with
respect to the Registrant.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Form N-CSR disclosure requirement not
yet effective with respect to the Registrant.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Form N-CSR disclosure
requirement not yet effective with respect to the Registrant.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Form N-CSR disclosure requirement
not yet effective with respect to the Registrant.
ITEM 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES. Form N-CSR disclosure requirement not
yet effective with respect to the Registrant.
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) The Principal Executive Officer and Principal Financial Officer
concluded that the Registrant's Disclosure Controls and Procedures are
effective based on their evaluation of the Disclosure Controls and
Procedures as of a date within 90 days of the filing date of this
report.
(b) There were no significant changes in Registrant's internal controls
or in other factors that could significantly affect these controls
subsequent to the date of their evaluation, including any corrective
actions with regard to significant deficiencies and material weaknesses.
ITEM 10. EXHIBITS.
(a)(1) Form N-CSR disclosure requirement not yet effective with respect
to the Registrant.
(a)(2) The certifications of the Registrant as required by Rule 30a-2(a)
under the Act are exhibits to this report.
(b) The certifications of the Registrant as required by Rule 30a-2(b)
under the Act are an exhibit to this report.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Credit Suisse Asset Management Income Fund, Inc.
/s/ Joseph D. Gallagher
--------------------------------------------------------------
Name: Joseph D. Gallagher
Title: Chief Executive Officer
Date: September 2, 2003
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
/s/ Joseph D. Gallagher
--------------------------------------------------------------
Name: Joseph D. Gallagher
Title: Chief Executive Officer
Date: September 2, 2003
/s/ Michael A. Pignataro
--------------------------------------------------------------
Name: Michael A. Pignataro
Title: Chief Financial Officer
Date: September 2, 2003