<PAGE>
Credit Suisse Asset Management Income Fund, Inc.
153 East 53rd Street
New York, NY 10022
---------------------------------------------
OFFICERS AND DIRECTORS
<TABLE>
<S> <C>
William W. Priest, Jr. Suzanne E. Moran
CHAIRMAN OF THE BOARD INVESTMENT OFFICER
Prof. Enrique R. Arzac Hal Liebes
DIRECTOR SENIOR VICE PRESIDENT
Lawrence J. Fox Michael A. Pignataro
DIRECTOR CHIEF FINANCIAL OFFICER,
VICE PRESIDENT AND
James S. Pasman, Jr. SECRETARY
DIRECTOR Robert M. Rizza
Richard J. Lindquist VICE PRESIDENT AND
PRESIDENT AND CHIEF TREASURER
INVESTMENT OFFICER
</TABLE>
--------------------------------------------------------
INVESTMENT ADVISER
Credit Suisse Asset Management, LLC.
153 East 53rd Street
New York, New York 10022
Phone 1-800-293-1232
--------------------------------------------------------
ADMINISTRATOR
Brown Brothers Harriman & Co.
40 Water Street
Boston, Massachusetts 02109
--------------------------------------------------------
CUSTODIAN
Brown Brothers Harriman & Co.
40 Water Street
Boston, Massachusetts 02109
--------------------------------------------------------
SHAREHOLDER SERVICING AGENT
BankBoston N.A.
P.O. Box 1865
Mailstop 45-02-62
Boston, Massachusetts 02105-1865
Phone 1-800-730-6001
--------------------------------------------------------
LEGAL COUNSEL
Willkie Farr & Gallagher
787 7th Avenue
New York, New York 10019
--------------------------------------------------------
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, New York 10036
--------------------------------------------------------
--------------------------------------------------------
Credit Suisse Asset Management Income Fund, Inc.
---------------------------------------------
THIRD QUARTER REPORT
September 30, 1999
<PAGE>
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
THIRD QUARTER REPORT - 9/30/99
- ----------
Dear Shareholders: October 25, 1999
We are writing to report on the activities of Credit Suisse Asset Management
Income Fund, Inc. ("the Fund") for the quarter ended September 30, 1999 and to
discuss our investment strategy.
At September 30, 1999, the Fund's net asset value ("NAV") was $7.28,
compared to an NAV of $7.54 at June 30, 1999. The Fund's total return (based on
NAV and assuming reinvestment of dividends of $0.18 per share) for the period
was -1.0%. For the first nine months of 1999, the Fund returned 0.7%.
At September 30, 1999, $205.0 million was invested in high yield debt
securities; $23.2 million in investment-grade debt securities; $19.5 million in
equity securities; and the balance of $0.4 million in cash equivalents. The
investment-grade component consisted of short- and intermediate-term mortgages,
asset-backed securities and corporate bonds of intermediate maturity. Of the
debt securities, the largest concentration (54.3%) was invested in B-rated
issues.
THE MARKET: MORE FED-WATCHING
As measured by the Salomon Smith Barney High-Yield Market Index (SSBHYMI),
the broad high yield market fell 1.7% during the third quarter. High yield's
decline reflected mostly big-picture influences, rather than factors specific to
high yield itself.
Much as they did in the second quarter, market participants expended
considerable time and effort in trying to determine whether the Federal Reserve
would raise short-term U.S. interest rates again, after doing so by a quarter of
a percentage point on June 30.
Trading activity throughout the quarter was volatile, as investors bought
and sold according to whatever hints they could glean about Fed monetary policy
from things like announcements of macroeconomic data and public comments by Fed
Chairman Alan Greenspan. By the time the Fed raised rates by another
quarter-point at its policy meeting on August 24, the market was expecting such
a move and investors responded with a burst of buying.
Obsessive Fed-watching subsided a bit in September, as investors paid
greater attention to conditions on a number of fronts. The yen continued its
remarkable upward reversal versus the U.S. dollar, for instance, raising
concerns about its potentially destabilizing impact on the Japanese economy. The
dollar, for its part, also suffered from the news that the U.S. trade deficit
hit yet another record high in August. And strength in key commodities like oil
and gold rekindled fears about a resurgence in global inflation.
Trading liquidity tended to be low, as it was in most fixed income sectors.
This was a result of a number of factors, including dealers' determination to
minimize their own exposure to market risk by generally maintaining lower
inventories of most securities; Y2K-related concerns; and an increase in the
difference in yield between Treasury securities and high-quality corporate
bonds, which is a closely watched indicator of risk.
On a more sector-specific level, high yield additionally suffered from net
quarterly redemptions by investors in high yield mutual funds, which forced fund
managers to sell securities in order to raise cash. Data compiled by Chase
Securities indicate that a total of approximately $650 million in cash flowed
out of such funds, mostly in August and September.
PERFORMANCE: FAVORABLE SECTOR ALLOCATIONS
We attribute the Fund's outperformance of the broad high yield market during
the quarter to the positive impact of several of our sector allocation
decisions:
- We continued to hold modest positions in certain investment-grade sectors
such as mortgage-backed securities and asset-backed securities, most of
which generated much better returns than high yield.
- We maintained exposure to the cable/media, gaming and telecommunications
sectors at levels higher than those of broad high yield indices like
SSBHYMI. This helped the Fund's overall performance in that each of these
sectors outperformed high yield more generally.
- We minimized exposure to health care facilities and supplies companies,
which significantly underperformed the market.
The factor that most negatively affected performance was our relatively low
exposure to the energy sector, which was among the strongest in high yield in
the quarter.
OUTLOOK: CAUTIOUS IN NEAR TERM, OPTIMISTIC FURTHER AHEAD
Our near-term outlook for the high yield market is one of caution. This is
primarily due to our expectation that investor nervousness about Y2K and its
potential dangers for corporate and government technology systems will keep an
unusually high proportion of market participants on the sidelines during the
fourth quarter. This environment should apply not simply to high yield,
incidentally, but to equity and debt markets worldwide. Trading liquidity should
decline and market uncertainty should rise accordingly.
There is also the matter of lingering concern that the Federal Reserve might
choose to raise short-term interest rates again at its remaining monetary policy
meetings on November 16 and December 21. Although we don't necessarily expect
such a move, we can't rule it out, either, since the Fed adopted a tightening
bias on October 5 and the futures market is forecasting rates to rise another 50
basis points or so by year-end.
We are less guardedly optimistic when the time horizon stretches into next
year, as a number of factors support a more bullish scenario for the first
quarter:
- The Y2K phenomenon will have come and gone, and in its wake should leave
valuations at more attractive levels.
2
<PAGE>
- The economy should stay strong, which is traditionally favorable for high
yield issuers.
- Liquidity should return to the market from a combination of dealers with
more risk capital available for trading and inventory once 1999 is over;
individuals and institutions returning from the sidelines with fresh cash
and a renewed appetite for buying; and issuers eager to tap the market
once the worst of Y2K-based anxiety has passed.
- Investor tolerance for risk tends to increase at the beginning of a
calendar year.
The essential strategy with which we have managed the Fund for some time
remains intact. We are keeping the portfolio most heavily weighted in
telecommunications, cable/media and gaming, whose positive industry and company
fundamentals are unchanged. We are also selectively adding to positions in
economically sensitive industries such as paper and energy, whose underlying
fundamentals are beginning to show genuine signs of improvement, and will
continue to do so if this trend continues.
If, as we expect, the high yield market enjoys greater investor interest in
the first quarter of next year, we are confident that we have positioned the
Fund to benefit accordingly.
As developments occur that we believe would be of interest to you, we will
keep you informed. Meanwhile, if you have any questions about your portfolio or
the capital markets generally, please feel free to call upon us at any time.
We appreciate your interest in the Fund and would be pleased to respond to
your questions or comments. Any questions regarding net asset value,
performance, dividends, portfolio management or allocations should be directed
to Credit Suisse Asset Management at (800) 293-1232. All other inquiries
regarding account information or requests for a prospectus or other reports
should be directed to the Fund's Shareholder Servicing Agent at (800) 428-8890.
Sincerely yours,
/s/ Richard J. Lindquist
Richard J. Lindquist
PRESIDENT AND CHIEF INVESTMENT OFFICER*
/s/ William W. Priest, Jr.
William W. Priest, Jr.
CHAIRMAN OF THE BOARD**
FROM CREDIT SUISSE ASSET MANAGEMENT:
I. Effective January 12, 1999, the Fund's investment adviser, BEA
Associates, changed its name to Credit Suisse Asset Management ("CSAM"). In
making the announcement, the firm said that it expected the new name to enhance
its recognition as a global asset manager. Credit Suisse Asset Management is the
investment division of Credit Suisse Group, one of the world's largest financial
organizations, with $600 billion in assets under management.
II. Effective May 11, 1999, the BEA Income Fund, Inc. announced that,
following approval by shareholders at their Annual Shareholders' Meeting held on
May 10, 1999, the Fund had changed its name to Credit Suisse Asset Management
Income Fund, Inc. The Fund's ticker symbol on the New York Stock Exchange
changed to "CIK" from "FBF" accordingly.
III. Effective September 7, 1999, shareholders whose shares are registered
in their own name automatically participate in a dividend reinvestment program
known as the InvestLinkSM Program (the "Program"). The Program can be of value
to shareholders in maintaining their proportional ownership interest in the Fund
in an easy and convenient way. A shareholder whose shares are held in the name
of a broker/dealer or nominee should contact the Fund's Transfer Agent for
details about participating in the Program. The Program also provides for
additional share purchases. The Program is described on pages 18 through 19 of
the report.
IV. Many services provided to the Fund and its shareholders by CSAM and the
Fund's service providers rely on the functioning of their respective computer
systems. Many computer systems cannot distinguish the year 2000 from the year
1900, with resulting potential difficulty in performing various calculations
(the "Year 2000 Issue"). The Year 2000 Issue could potentially have an adverse
impact on the handling of security trades, the payment of interest and
dividends, pricing, account services and other Fund operations.
CSAM recognizes the importance of the Year 2000 Issue and is taking
appropriate steps necessary in preparation for the year 2000. At this time,
there can be no assurance that these steps will be sufficient to avoid any
adverse impact on the Fund, nor can there be any assurance that the Year 2000
Issue will have an adverse effect on the Fund's investments or on global markets
or economies, generally.
CSAM anticipates that its systems will be adapted in time for the year 2000.
CSAM is seeking assurances that comparable steps are being taken by the Fund's
other major service providers. CSAM will be monitoring the Year 2000 Issue in an
effort to ensure appropriate preparation
* Richard J. Lindquist, who is a Managing Director of Credit Suisse Asset
Management ("CSAM"), formerly known as BEA Associates, is primarily responsible
for management of the Fund's assets. He has served in such capacity since
November 21, 1996. Prior to that date, he served as Vice President to the Fund,
a position he assumed on August 15, 1989. Mr. Lindquist joined CSAM on May 1,
1995 as a result of CSAM's acquisition of CS First Boston Investment Management
Corporation ("CSFBIM"). Prior to joining CSAM and beginning in July, 1989, he
held various offices at CSFBIM. Mr. Lindquist also is President and Chief
Investment Officer of Credit Suisse Asset Management Strategic Global Income
Fund, Inc.
** William W. Priest, Jr., who is a Managing Director and Chief Executive
Officer-Americas of Credit Suisse Asset Management ("CSAM"), formerly known as
BEA Associates, joined CSAM in 1972. Mr. Priest is Director and President of The
Indonesia Fund, Inc. and Director and Chairman of the Board of Credit Suisse
Asset Management Strategic Global Income Fund, Inc.; The Brazilian Equity Fund,
Inc.; The Chile Fund, Inc.; The Emerging Markets Infrastructure Fund, Inc.; The
Emerging Markets Telecommunications Fund, Inc.; The First Israel Fund, Inc.; The
Latin America Equity Fund, Inc.; The Latin America Investment Fund, Inc.; and
The Portugal Fund, Inc.
3
<PAGE>
PORTFOLIO OF INVESTMENTS (UNAUDITED)
- ---------
SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
- -----------------------------------------------------------------------------
- -----------------
DOMESTIC SECURITIES (96.8%)
- -----------------------------------------------------------------------------
- -----------------
CORPORATE OBLIGATIONS (84.3%)
- -----------------------------------------------------------------------------
- -----------------
AEROSPACE/DEFENSE (0.4%)
(1) Decrane Aircraft Holdings
Series B, Gtd.
12.00%, 9/30/08 Caa1 $ 800 $ 800,000
Wyman-Gordon Co.
Sr. Notes
8.00%, 12/15/07 Ba2 150 161,438
------------
GROUP TOTAL 961,438
------------
- -----------------------------------------------------------------------------
- -----------------
AUTOMOTIVE (2.4%)
Aetna Industries, Inc.
Sr. Notes
11.875%, 10/1/06 B3 600 682,500
Autotote Corp.
Series B
10.875%, 8/1/04 B2 750 782,813
(2) Breed Technologies, Inc.
Gtd. Sr. Sub. Notes
9.25%, 4/15/08 Caa3 400 14,000
Cambridge
Industries, Inc.
Series B,
Gtd. Sr. Sub. Notes
10.25%, 7/15/07 B3 500 323,750
Collins & Aikman Products,
Corp.
Sr. Sub. Notes
11.50%, 4/15/06 B3 1,000 945,000
DaimlerChrysler NA
Holdings Corp.
Gtd.,
7.2%, 9/1/09 A1 260 261,258
Hayes Lemmerz
International, Inc.
Gtd. Sr. Notes
8.25%, 12/15/08 B2 750 658,125
Hayes Wheels, Inc.
Series B, Gtd. Sr. Notes
9.125%, 7/15/07 B2 500 466,250
(1) Lear Corp.
Sr. Notes,
7.96%, 5/15/05 Ba1 65 63,944
Oxford Automotive, Inc.
Gtd. Sr. Sub. Notes
10.125%, 6/15/07 Caa1 1,375 1,309,687
Safety Components
International, Inc.
Series B,
Gtd. Sr. Sub. Notes
10.125%, 7/15/07 B3 500 403,750
Stanadyne Automotive
Series B,
Gtd. Sr. Sub. Notes
10.25%, 12/15/07 Caa1 400 347,000
------------
GROUP TOTAL 6,258,077
------------
- -----------------------------------------------------------------------------
- -----------------
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
BROADCASTING (5.1%)
(2)(3) Australis Holdings Pty.,
Ltd.
Yankee Sr. Secured
Discount Notes
0.00%, 11/1/02 N/R $ 3,950 $ 39,500
(2)(3) Australis Media Ltd.
Yankee Units
15.75%, 5/15/03 C 2,412 12,060
(3) Capstar Broadcasting
Partners, Inc.
Sr. Discount Notes
0.00%, 2/1/09 N/R 2,000 1,680,000
(1) Chancellor Media Corp.
Sr. Sub. Notes
9.00%, 10/1/08 B1 500 507,500
Cumulus Media Inc.
Sr. Sub. Notes
10.375%, 7/1/08 B3 800 824,000
Digital Television
Services,
L.L.C./DTS Capital, Inc.
Gtd. Sr. Sub. Notes
12.50%, 8/1/07 B3 750 811,875
EchoStar Communications
Corp.
Sr. Notes
9.375%, 2/1/09 B2 750 739,687
Granite Broadcasting
Corp.:
Series A, Sr. Sub. Notes
9.375%, 12/1/05 B3 300 300,000
Sr. Sub. Notes
8.875%, 5/15/08 B3 900 868,500
Pegasus Media &
Communications, Inc.
Series B, Notes
12.50%, 7/1/05 B2 250 273,125
SFX Broadcasting, Inc.
Series B,
Sr. Sub. Notes
10.75%, 5/15/06 B3 427 473,970
Sinclair Broadcast
Group, Inc.:
Gtd. Sr. Sub. Notes
8.75%, 12/15/07 B2 350 327,250
Sr. Sub. Notes
10.00%, 9/30/05 B2 900 895,500
Spanish Broadcasting
System, Inc.
Sr. Notes
12.50%, 6/15/02 B3 500 568,750
Time Warner Telecom,
L.L.C.
Sr. Notes
9.75%, 7/15/08 B2 500 503,750
Turner Broadcasting
Systems, Inc.
Sr. Notes
7.40%, 2/1/04 Ba1 220 222,684
(3) United International
Holdings, Inc.
Series B, Sr. Discount
Notes
0.00%, 2/15/08 B3 1,450 877,250
</TABLE>
4
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
Univision Network Holding
L.P.
Sub. Notes
7.00%, 12/17/02 N/R $ 1,500 $ 1,807,500
Young Broadcasting, Inc.:
Series B,
Gtd. Sr. Sub. Notes
8.75%, 6/15/07 B2 300 296,250
Sr. Sub. Notes
9.00%, 1/15/06 B2 865 843,375
------------
GROUP TOTAL 12,872,526
------------
- -----------------------------------------------------------------------------
- -----------------
BUSINESS SERVICES (0.3%)
Comdisco Inc.:
Medium Term Note
7.23%, 8/16/01 Baa1 130 130,162
Sr. Notes
7.25%, 9/1/02 Baa1 230 229,138
General Binding Corp.
Gtd. Sr. Sub. Notes
9.375%, 6/1/08 B2 250 216,875
Iron Mountain, Inc.
Sr. Sub. Notes
8.75%, 9/30/09 B3 200 189,000
------------
GROUP TOTAL 765,175
------------
- -----------------------------------------------------------------------------
- -----------------
CABLE (9.1%)
(3) Avalon Cable
Holdings, Inc.
Units
0.00%, 12/1/08 Caa1 300 196,875
CSC Holdings, Inc.:
Sr. Sub. Notes
9.875%, 5/15/06 B1 400 413,000
Series B,
Sr. Sub. Debentures
8.125% 8/15/09 Ba2 350 353,098
Sr. Sub. Debentures
9.875%, 2/15/13 B1 850 894,625
Century Communications
Corp.:
Sr. Notes
9.75%, 2/15/02 Ba3 500 500,625
8.75%, 10/1/07 Ba3 400 383,000
Comcast Corp.:
Sr. Sub. Notes
9.375%, 5/15/05 Ba3 180 189,450
9.125%, 10/15/06 Ba3 750 794,970
(3) DIVA Systems Corp.
Series B, Sr. Discount
Notes
0.00%, 3/1/08 N/A 2,775 829,031
(3) Diamond Cable
Communications plc
Yankee Discount Notes
0.00%, 12/15/05 Caa1 1,500 1,346,250
Falcon Holdings Group,
L.P./Falcon Funding
Corp.:
Sr. Debentures
8.375%, 4/15/10 B2 500 493,750
(3) Sr. Discount Debentures
0.00%, 4/15/10 B2 1,500 1,063,125
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
Helicon Group, L.P.
Series B, Sr. Secured
Notes
11.00%, 11/1/03 B1 $ 800 $ 832,000
InterMedia Capital
Partners IV
L.P./InterMedia Partners
Capital Corp.
Sr. Notes
11.25%, 8/1/06 B2 455 500,500
(3) International
CableTelevison:
Series A, Sr. Notes
0.00%, 4/15/05 B3 1,000 967,500
Series B, Sr. Notes
0.00%, 2/1/06 B3 1,050 913,500
James Cable Partners L.P.
Series B, Sr. Notes
10.75%, 8/15/04 N/R 1,550 1,553,875
Jones Intercable, Inc.
Sr. Notes
7.625%, 4/15/08 Ba2 1,150 1,147,125
Lenfest
Communications, Inc.:
Sr. Notes
8.375%, 11/1/05 Ba3 500 515,015
10.50%, 6/15/06 B2 900 1,017,000
8.25%, 2/15/08 B2 200 203,500
NTL Communications Corp.:
Series B, Sr. Notes
10.00%, 2/15/07 B3 500 511,250
(3) 0.00%, 10/1/08 B3 1,500 1,005,000
Sr. Notes
11.50%, 10/1/08 B3 600 642,000
Northland Cable Television
Sr. Sub. Notes
10.25%, 11/15/07 N/R 500 500,000
Olympus Communications,
L.P./Olympus Capital
Corp.
Series B, Sr. Notes
10.625%, 11/15/06 B1 1,000 1,082,500
OpTel, Inc.:
Series B, Sr. Notes
13.00%, 2/15/05 B3 500 352,500
11.50%, 7/1/08 B3 850 527,000
(3) Renaissance Media Group
Sr. Discount Notes
0.00%, 4/15/08 B3 1,000 691,250
Rogers Cablesystems, Ltd.
10.00%, 12/1/07 Ba3 450 479,250
Tele-Communications, Inc.
Series C, Medium Term
Notes
6.34%, 2/1/02 Ba1 220 219,008
(3) Telewest Communications
plc
Yankee Sr. Sub. Discount
Debentures
0.00%, 10/1/07 B1 2,100 1,869,000
------------
GROUP TOTAL 22,986,572
------------
- -----------------------------------------------------------------------------
- -----------------
</TABLE>
5
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
CHEMICALS (1.7%)
Applied Extrusion
Technogies
Series B, Sr. Notes
11.50%, 4/1/02 B2 $ 1,500 $ 1,541,250
Huntsman Corp.
Sr. Sub. Notes
9.50%, 7/1/07 B2 400 369,000
Huntsman Polymers Corp.
Sr. Notes
11.75%, 12/1/04 B1 900 976,500
Lyondell Chemical Co.
Series B,
Gtd. Sr. Secured Notes
9.875%, 5/1/07 Ba3 500 495,000
NL Industries, Inc.
Sr. Secured Notes
11.75%, 10/15/03 B1 250 258,125
(3) Sterling Chemical
Holdings, Inc.
Sr. Secured Discount
Notes
0.00%, 8/15/08 Caa1 1,000 200,000
Sterling Chemicals, Inc.
Sr. Sub. Notes
11.75%, 8/15/06 B3 334 204,575
Texas Petrochemical Corp.
Series B, Sr. Sub. Notes
11.125%, 7/1/06 N/R 350 294,875
------------
GROUP TOTAL 4,339,325
------------
- -----------------------------------------------------------------------------
- -----------------
CONSTRUCTION & BUILDING MATERIALS (1.1%)
AFC Enterprises
Sr. Sub. Notes
10.25%, 5/15/07 N/R 400 389,000
American Architectural
Products Corp.
Gtd. Sr. Notes
11.75%, 12/01/07 Caa1 1,150 572,125
(1) Building One Services
Sr. Sub Notes
10.50%, 5/1/09 B2 500 458,750
Collins & Aikman Floor
Coverings, Inc.
Series B, Sr. Sub. Notes
10.00%, 1/15/07 B3 550 550,000
International Utility
Structures, Inc.
Sr. Sub. Notes
10.75%, 2/1/08 Caa1 500 466,250
Waxman Industries, Inc.
Series B, Sr. Notes
12.75%, 6/1/04 Caa1 600 315,000
------------
GROUP TOTAL 2,751,125
------------
- -----------------------------------------------------------------------------
- -----------------
CONSUMER PRODUCTS & SERVICES (2.8%)
(3) Coinstar, Inc.
Sr. Discount Notes
0.00%, 10/1/06 Caa1 1,700 1,778,625
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
Doskocil Manufacturing
Co., Inc.
Gtd. Sr. Sub. Notes
10.125%, 9/15/07 B3 $ 500 $ 273,750
Fort James Corp.
Sr. Notes
6.234%, 3/15/01 Baa3 155 153,577
(1) Holley Performance
Products
Sr. Notes
12.25%, 9/15/07 B2 500 481,250
Holmes Products Corp.
Gtd. Sr. Sub. Notes
9.875%, 11/15/07 B3 800 738,000
Indesco
International, Inc.
Gtd. Sr. Sub. Notes
9.75%, 4/15/08 B3 600 328,500
Jordan Industries, Inc.
Series B, Sr. Notes
10.375%, 8/1/07 B3 1,150 1,089,625
(3) Knology Holdings, Inc.
Sr. Discount Notes
0.00%, 10/15/07 N/R 1,000 568,750
Packaged Ice, Inc.
Gtd. Sr. Notes
9.75%, 2/1/05 B3 100 88,000
Playtex Products, Inc.
Series B, Gtd. Sr. Notes
8.875%, 7/15/04 B1 225 223,875
Revlon Consumer Products
Sr. Sub. Notes
8.625%, 2/1/08 B3 700 570,500
Sealy Mattress Co.
Gtd. Sr. Sub. Notes
9.875%, 12/15/07 B3 200 198,500
(3) United Rentals, Inc.
Sr. Sub. Notes
9.25%, 1/15/09 B1 500 481,250
------------
GROUP TOTAL 6,974,202
------------
- -----------------------------------------------------------------------------
- -----------------
ELECTRONICS (1.2%)
(1) Condor Systems, Inc.
Gtd. Sr. Sub. Notes
11.875%, 5/1/09 B3 400 384,500
Details, Inc.
Series B, Sr. Sub Notes
10.00%, 11/15/05 B3 500 473,125
(1) Rhythms Netconnections
Sr. Notes
12.75%, 4/15/09 N/R 250 228,125
Unisys Corp.:
Series B, Sr. Notes
12.00%, 4/15/03 B1 1,000 1,082,500
Sr. Notes
11.75%, 10/15/04 B1 225 250,313
7.875%, 4/1/08 B1 250 241,875
Viasystems, Inc.:
Sr. Sub. Notes
9.75%, 6/1/07 B3 150 128,625
</TABLE>
6
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
Series B, Sr. Sub. Notes
9.75%, 6/1/07 B3 $ 300 $ 257,250
------------
GROUP TOTAL 3,046,313
------------
- -----------------------------------------------------------------------------
ENERGY (4.7%)
Abraxas Petroleum Corp.
Series D, Sr. Notes
11.50%, 11/1/04 B2 1,550 1,065,625
Belden & Blake Energy Co.
Series B, Gtd. Sr. Sub.
Notes
9.875%, 6/15/07 B3 200 132,500
Bellwether Exploration Co.
Gtd. Sr. Sub. Notes
10.875%, 4/1/07 B3 1,250 1,150,000
Canadian Forest Oil Ltd.
Gtd. Sr. Sub. Notes
8.75%, 9/15/07 B2 450 432,000
Cliffs Drilling Co.
Series D,
Gtd. Sr. Notes
10.25%, 5/15/03 B1 1,100 1,089,000
Cogentrix Energy, Inc.
Gtd. Unsecured Notes
8.75%, 10/15/08 Ba1 1,000 1,007,500
Conoco Inc.
Sr. Notes
6.35%, 4/15/09 A3 405 384,750
Continental Resources
Gtd. Sr. Notes
10.25%, 8/1/08 B3 250 198,125
Edison
International, Inc.
Notes
6.875%, 09/15/04 A2 250 246,743
First Wave Marine, Inc.
Gtd. Sr. Notes
11.00%, 2/1/08 B3 1,000 812,500
Giant Industries, Inc.
Gtd. Sr. Sub. Notes
9.00%, 9/1/07 B2 500 460,000
Gothic Production Corp.
Series B,
Gtd. Sr. Secured Notes
11.125%, 5/1/05 B3 250 214,375
H.S. Resources, Inc.:
Gtd. Sr. Sub Notes
9.25%, 11/15/06 B2 600 591,000
Sr. Sub. Notes
9.875%, 12/1/03 B2 500 498,750
Kelley Oil & Gas Corp.
Sr. Secured Notes
14.00%, 4/15/03 B3 551 549,623
(1) Key Energy Services, Inc.
Sr. Sub. Notes
14.00%, 1/15/09 B3 1,250 1,334,375
Korea Electric Power
Yankee Unsecured
Debentures
7.00%, 2/1/27 Baa3 240 218,414
Parker Drilling Co.
Series D, Gtd. Sr. Notes
9.75%, 11/15/06 B1 300 286,500
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
Plains Resources, Inc.
Series B, Gtd. Sr. Sub.
Notes
10.25%, 3/15/06 B2 $ 375 $ 376,875
Southwest Royalties, Inc.
Series B, Gtd. Sr. Notes
10.50%, 10/15/04 B3 500 243,750
(1) Valero Energy Bonds
6.75%, 12/15/02 Baa3 185 180,508
Wiser Oil Co.
Gtd. Sr. Sub. Notes
9.50%, 5/15/07 B2 450 366,750
------------
GROUP TOTAL 11,839,663
------------
- -----------------------------------------------------------------------------
- -----------------
ENTERTAINMENT (2.5%)
American Skiing Co.
Series B, Sr. Sub. Notes
12.00%, 7/15/06 B3 425 383,563
Bally Total Fitness
Holdings
Series D, Sr. Sub. Notes
9.875%, 10/15/07 B3 350 329,875
Booth Creek Ski
Holdings, Inc.
Series B, Sr. Sub. Notes
12.50%, 3/15/07 Caa1 1,000 747,500
Cinemark U.S.A., Inc.
Series D, Sr. Sub. Notes
9.625%, 8/1/08 B2 250 215,625
Loews Cineplex
Sr. Sub. Notes
8.875%, 8/1/08 B3 900 814,500
(1) Majestic Star Casino,
L.L.C.
Secured Notes
10.875%, 7/1/06 B2 400 400,000
Outboard Marine Corp.
Series B, Gtd. Sr. Notes
10.75%, 6/1/08 B3 500 366,250
(1)(2) Premier Cruises, Ltd.
Gtd. Sr. Notes
0.00%, 3/15/08 B3 900 130,500
(1) Production Resource Group,
L.L.C./PRG Finance Group
Gtd. Sr. Sub. Notes
11.50%, 1/15/08 Caa2 750 710,625
Regal Cinemas, Inc.
Sr. Sub. Notes
9.50%, 6/1/08 B3 1,050 714,000
Silver Cinemas, Inc.
Sr. Sub. Notes
10.50%, 4/15/05 Caa1 1,900 940,500
Time Warner, Inc.:
Notes
8.11%, 8/15/06 Baa3 60 62,250
Debentures
7.48%, 1/15/08 Ba1 170 171,487
6.85%, 1/15/26 Ba1 370 367,702
------------
GROUP TOTAL 6,354,377
------------
- -----------------------------------------------------------------------------
- -----------------
</TABLE>
7
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
FINANCIAL SERVICES (1.7%)
(4) AT&T Capital Corp.
Gtd. Medium Term Notes
7.11%, 9/13/01 Baa3 $ 380 $ 381,424
Capital One Bank
Sr. Notes
6.57%, 1/27/03 Baa2 290 285,287
Citicorp
Series F, Sub. Notes
6.375%, 11/15/08 A1 140 132,355
Ford Motor Credit Co.
Sr. Notes
5.80%, 1/12/09 A1 230 208,962
Goldman Sachs Group, Inc.
Medium Term Notes
7.35%, 10/1/09 A1 440 439,507
Lehman Brothers Holdings
Notes
6.625%, 4/1/04 Baa1 135 131,456
(1) Lodgian Financing Corp.
Sr. Sub. Notes,
12.25%, 7/15/09 B3 500 488,750
Long Island Savings Bank
F.S.B.
Notes
7.00%, 6/13/02 Baa3 770 763,101
(1) Prudential Insurance Co.
Sr. Notes
6.375%, 7/23/06 A2 200 187,148
(3) PTC International Finance
B.V.
Gtd. Sr. Sub. Notes
0.00%, 7/1/07 B3 350 241,063
Sanwa Finance Aruba AEC
Bank Gtd.
8.35%, 7/15/09 Baa1 200 204,750
Sumitomo Bank
Notes
8.50%, 6/15/09 Baa1 100 103,375
(1) US West Cap Funding, Inc.
Gtd
6.875%, 8/15/01 Baa1 270 269,663
(2) Westfed Holdings
Sr. Debentures
15.50%, 9/15/99 N/R 1,750 437,500
------------
GROUP TOTAL 4,274,341
------------
- -----------------------------------------------------------------------------
- -----------------
FOOD & BEVERAGE (2.4%)
AmeriServ Food
Distribution, Inc.
Gtd. Sr. Notes
8.875%, 10/15/06 B1 500 390,000
Archibald Candy Corp.
Gtd. Sr. Secured Notes
10.25%, 7/1/04 B2 1,000 987,500
Eagle Family Foods
Series B,
Gtd. Sr. Notes
8.75%, 1/15/08 B3 450 360,000
Fleming Companies, Inc.
Sr. Sub. Notes
10.50%, 12/1/04 B3 700 651,000
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
Hollinger International
Publishing
Gtd. Sr. Notes
9.25%, 3/15/07 B1 $ 1,000 $ 990,000
International Home
Foods, Inc.
Gtd. Sr. Sub. Notes
10.375%, 11/1/06 B2 1,000 1,021,250
Kroger Co.
Notes
7.25%, 6/1/09 Baa3 260 253,825
(1) Sr. Notes
7.625%, 09/15/06 Baa3 400 397,500
(1) Premier International
Foods, plc
Senior Notes
12.00%, 9/1/09 B3 1,000 1,007,500
------------
GROUP TOTAL 6,058,575
------------
- -----------------------------------------------------------------------------
- -----------------
HEALTH CARE (1.5%)
(1) ICN Pharmaceutical
Sr. Notes
8.75%, 11/15/08 Ba3 500 476,250
(1) Icon Health &
Fitness, Inc.
Gtd.
12.00%, 9/27/05 N/R 222 111,000
Integrated Health
Services, Inc.:
Series A, Sr. Sub. Notes
10.25%, 4/30/06 B2 400 68,000
Sr. Sub. Notes
9.25%, 1/15/08 B2 100 17,000
Meditrust
Conv. Debentures
7.50%, 3/1/01 Baa3 2,000 1,950,000
(1) Oxford Health Plans
Sr. Notes
11.00%, 5/15/05 Caa1 590 591,475
Paracelsus Healthcare
Sr. Sub. Notes
10.00%, 8/15/06 B3 750 510,000
(2) Vencor Operating, Inc.
Gtd. Sr. Sub. Notes
9.875%, 5/1/05 B3 150 32,250
------------
GROUP TOTAL 3,755,975
------------
- -----------------------------------------------------------------------------
- -----------------
INDUSTRIAL GOODS & MATERIALS (4.4%)
AMTROL Acquisition, Inc.
Sr. Sub. Notes
10.625%, 12/31/06 B3 400 394,000
APCOA Inc.
Gtd. Sr. Notes
9.25%, 3/15/08 Caa1 430 398,825
Atlantis Group, Inc.
Sr. Notes
11.00%, 2/15/03 B2 585 590,850
Caterpillar, Inc.
Notes
7.25%, 9/15/09 A2 380 380,950
</TABLE>
8
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
CLARK Material Handling
Co.
Gtd. Sr. Notes
10.75%, 11/15/06 B1 $ 550 $ 449,625
Delco Remy
International, Inc.
Gtd. Sr. Sub. Notes
10.625%, 8/1/06 B2 600 600,000
(1) Diamond Triumph
Sr. Notes
9.25%, 4/1/08 B2 500 495,625
Golden Ocean Group, Ltd.
Gtd. Sr. Notes
10.00%, 8/31/01 B3 1,548 162,540
Haynes
International, Inc.
Sr. Notes
11.625%, 9/1/04 B3 500 450,000
International Knife &
Saw, Inc.
Sr. Sub. Notes
11.375%, 11/15/06 B3 750 560,625
K N Energy, Inc.
Notes
6.30%, 3/1/01 Baa2 270 267,160
Motors & Gears, Inc.
Series D, Sr. Notes
10.75%, 11/15/06 B3 1,400 1,379,000
Neenah Corp.
Series B, Sr. Sub. Notes
11.125%, 5/1/07 B3 250 235,625
Park-Ohio
Industries, Inc.
Sr. Sub. Notes
9.25%, 12/1/07 B2 400 380,000
PSINET, Inc.
Sr. Notes
11.50%, 11/1/08 B3 1,050 1,060,500
SRI Receivables Purchase
Co., Inc.
Series B, Notes
12.50%, 12/15/00 N/R 1,500 1,350,000
Seagate Technology, Inc.
Sr. Debentures
7.45%, 3/1/37 Baa3 120 102,384
(3) Thermadyne Manufacturing,
L.L.C./ Thermadyne
Capital Corp.
Gtd. Sr. Sub. Notes
0.00%, 6/1/08 B3 975 471,656
Thermadyne Holdings Corp.
Sr. Discount Notes
9.875%, 6/1/08 Caa1 300 245,250
(1) Transportation
Manufacturing
Operations
Sr. Sub. Notes
11.25%, 5/1/09 B2 1,000 995,000
Tyco International
Group, SA
Yankee Gtd. Notes
6.125%, 1/15/09 Baa1 280 257,600
------------
GROUP TOTAL 11,227,215
------------
- -----------------------------------------------------------------------------
- -----------------
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
METALS & MINING (2.9%)
Algoma Steel, Inc.
Yankee First Mortgage
Notes
12.375%, 7/15/05 B1 $ 1,000 $ 840,000
Bayou Steel Corp.
First Mortgage Notes
9.50%, 5/15/08 B1 500 471,250
GS Technologies Operations
Gtd. Sr. Notes
12.00%, 9/1/04 B2 525 397,687
(2) Gulf States Steel, Inc.
First Mortgage Notes
13.50%, 4/15/03 B1 1,050 157,500
Kaiser Aluminum &
Chemical Corp.
Series D, Sr. Notes
10.875%, 10/15/06 B1 675 690,188
Lodestar Holdings, Inc.
Sr. Notes
11.50%, 5/15/05 Caa2 800 620,000
Metallurg, Inc.
Series B, First Mortgage
Gtd. Sr. Notes
11.00%, 12/1/07 B3 750 725,625
National Steel Corp.
Series D First Mortgage
Bonds
9.875%, 3/1/09 Ba3 750 738,750
Sheffield Steel Corp.
Series B, First Mortgage
Bonds
11.50%, 12/1/05 Caa2 750 613,125
WCI Steel, Inc.
Series B,
Sr. Secured Notes
10.00%, 12/1/04 B2 925 906,500
Weirton Steel Corp.
Sr. Notes
11.375%, 7/1/04 B2 500 496,250
Wheeling-Pittsburg Corp.
Sr. Notes
9.25%, 11/15/07 B2 750 720,000
------------
GROUP TOTAL 7,376,875
------------
- -----------------------------------------------------------------------------
- -----------------
PACKAGING/CONTAINERS (1.3%)
AEP Industries, Inc.
Sr. Sub. Notes
9.875%, 11/15/07 B2 250 238,125
BPC Holding Corp.
Series B,
Sr. Secured Notes
12.50%, 6/15/06 Caa3 900 883,125
Container Corp. of America
Gtd. Sr. Notes
9.75%, 4/1/03 B1 500 511,250
Crown Cork & Seal
Co., Inc.
Notes
7.125%, 9/1/02 Baa2 210 209,212
</TABLE>
9
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
(3) Crown Packaging
Enterprises Ltd.
Yankee Sr. Secured
Discount Notes
0.00%, 8/1/06 Ca1 $ 2,450 $ 36,750
Gaylord Container Corp.
Series B, Sr. Notes
9.75%, 6/15/07 B3 700 654,500
Radnor Holdings, Inc.
Series B,
Gtd. Sr. Notes
10.00%, 12/1/03 B2 250 252,500
Stone Container Finance
Co.
Yankee Gtd. Sr. Notes
11.50%, 8/15/06 B2 530 554,513
------------
GROUP TOTAL 3,339,975
------------
- -----------------------------------------------------------------------------
- -----------------
PAPER & FOREST PRODUCTS (2.8%)
Ainsworth Lumber Co., Ltd.
Yankee Sr. Secured Notes
12.50%, 7/15/07 B3 1,900 2,090,000
Color Spot Nurseries
Sr. Sub. Notes
10.50%, 12/15/07 Caa1 1,000 825,000
Crown Paper Co.
Sr. Sub. Notes
11.00%, 9/1/05 B3 550 418,000
QUNO Corp.
Yankee Sr. Notes
9.125%, 5/15/05 Baa3 315 332,464
Repap New Brunswick, Inc.
Sr. Secured Debentures
10.625%, 4/15/05 B3 700 610,750
Riverwood International
Corp.
Gtd. Sr. Notes
10.875%, 4/1/08 Caa1 600 565,500
SD Warren Co.:
Series B, Sr. Sub. Notes
12.00%, 12/15/04 B1 1,000 1,060,000
Debentures
14.00%, 12/15/06 N/A 995 1,138,844
------------
GROUP TOTAL 7,040,558
------------
- -----------------------------------------------------------------------------
- -----------------
PUBLISHING & INFORMATION SERVICES (2.7%)
American Lawyer Media
Holdings, Inc.
Gtd. Sr. Notes
9.75%, 12/15/07 B1 450 441,000
Ampex Corp.
Series B, Sr. Notes
12.00%, 3/15/03 N/R 750 765,000
Belo (A.H.) Corp.
Sr. Notes
6.875%, 6/1/02 Baa2 250 247,500
(3) Earthwatch, Inc.
Units
13.00%, 7/15/07 N/R 900 618,750
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
(1) InterAct Systems, Inc.
Sr. Discount Notes
14.00%, 8/1/03 N/R $ 950 $ 349,125
Lamar Advertising Co.
Gtd. Sr. Sub. Notes
9.625%, 12/1/06 B1 250 253,750
Level 3
Communication, Inc.:
Sr. Notes
9.125%, 5/1/08 B3 1,150 1,040,750
(3) Sr. Discount Notes
0.00%, 12/1/08 B3 1,000 565,000
(3) Liberty Group
Publishing, Inc.
Sr. Discount Debentures
0.00%, 2/1/09 Caa1 600 288,000
Mentus Media Corp.
Units
12.00%, 2/1/03 N/R 1,598 559,300
Printpack, Inc.
Series B, Sr. Sub. Notes
10.625%, 8/15/06 Caa1 300 281,250
Tri-State Outdoor Media
Sr. Notes
11.00%, 5/15/08 N/R 973 973,000
(1) TV Guide, Inc.
Sr. Sub. Notes
8.125%, 3/1/09 Ba3 500 471,875
------------
GROUP TOTAL 6,854,300
------------
- -----------------------------------------------------------------------------
- -----------------
REAL ESTATE (0.0%)
EOP Operating, L.P.
Sr. Notes
6.375%, 2/15/03 Baa1 65 62,400
------------
- -----------------------------------------------------------------------------
- -----------------
RESTAURANTS, HOTELS & GAMING (6.8%)
American Restaurant
Group, Inc.
Gtd. Sr. Secured Notes
11.50%, 2/15/03 B3 750 675,000
AmeriKing, Inc.
Sr. Notes
10.75%, 12/1/06 B3 250 224,375
Ameristar Casinos, Inc.
Series B Gtd.
10.50%, 8/1/04 B3 500 500,000
Aztar Corp.
Sr. Sub. Notes
8.875%, 5/15/07 B1 500 470,000
Bluegreen Corp.
Gtd. Sr. Secured Notes
10.50%, 4/1/08 B3 1,000 867,500
Boyd Gaming Corp.
Sr. Sub. Notes
9.50%, 7/15/07 B1 150 145,500
CapStar Hotel Co.
Sr. Sub. Notes
8.75%, 8/15/07 B1 375 341,250
Casino Magic of Louisiana
Corp.
Series B, Gtd. First
Mortgage Notes
13.00%, 8/15/03 B3 1,300 1,478,750
</TABLE>
10
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
Colorado Gaming &
Entertainment Co.
Gtd. Sr. Notes
12.00%, 6/1/03 N/R $ 1,480 $ 1,413,753
(2) Fitzgeralds Gaming Corp.
Series B, Gtd. Sr. Notes
12.25%, 12/15/04 Caa3 500 267,500
Friendly Ice Cream Corp.
Gtd. Sr. Notes
10.50%, 12/1/07 B1 800 728,000
HMH Properties
Series B,
Gtd. Sr. Notes
7.875%, 8/1/08 Ba2 500 446,250
Hard Rock Hotel, Inc.
Sr. Sub. Notes
9.25%, 4/1/05 B3 1,400 1,162,000
Hollywood Park, Inc.
Series B,
Gtd. Sr. Sub. Notes
9.50%, 8/1/07 B2 675 659,813
Horseshoe Gaming Hldg.
Series B, Sr. Sub. Notes
9.375%, 6/15/07 B3 1,350 1,343,250
(1) Sr. Sub Notes
8.625%, 5/15/09 B2 750 712,500
Intrawest Corp.
Sr. Notes,
9.75%, 8/15/08 B1 250 241,875
Isle of Capri
Casinos, Inc.
Sr. Sub. Notes
8.75%, 4/15/09 B3 350 321,125
Mohegan Tribal Gaming
Authority, Sr. Notes
8.125%, 1/1/06 Ba1 900 879,750
Prime Hospitality Corp.
Secured First Mortgage
Notes
9.25%, 1/15/06 Ba2 850 853,187
Red Roof Inns, Inc.
Sr. Exchange Notes
9.625%, 12/15/03 B2 700 715,750
Romacorp Inc.
Sr. Notes
12.00%, 7/1/06 B3 750 725,625
Sante Fe Hotel, Inc.
Gtd. First Mortgage
Notes
11.00%, 12/15/00 Caa2 554 544,305
Station Casinos
Sr. Sub. Notes
9.75%, 4/15/07 B2 1,400 1,419,250
------------
GROUP TOTAL 17,136,308
------------
- -----------------------------------------------------------------------------
- -----------------
RETAIL (4.3%)
(3) Advance Holdings Corp.
Series B, Sr. Discount
Debentures
0.00%, 4/15/09 Caa2 1,500 838,125
Advance Stores Co.
Gtd. Sr. Sub. Notes
10.25%, 4/15/08 Caa1 2,000 1,865,000
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
(1)(2) County Seat Stores, Inc.
Units
12.75%, 11/1/04 N/R $ 1,100 $ 99,000
Dairy Mart Convenience
Stores, Inc.
Sr. Sub. Notes
10.25%, 3/15/04 B3 275 256,438
Finlay Enterprises, Inc.
Sr. Debentures
9.00%, 5/1/08 B2 400 375,000
Finlay Fine Jewelry Corp.
Gtd. Sr. Notes
8.375%, 5/1/08 Ba3 1,050 1,008,000
(1)(3) Golden Sky, Inc.
Sr. Discount Notes
0.00%, 3/1/07 Caa1 250 144,687
Jitney-Jungle Stores of
America, Inc.:
Gtd. Sr. Notes
12.00%, 3/1/06 B2 750 525,000
Gtd. Sr. Sub. Notes
10.375%, 9/15/07 B3 300 105,000
Jo-Ann Stores, Inc.
Sr. Sub. Notes
10.375%, 5/1/07 B2 500 496,250
K Mart Corp.
Debentures
7.75%, 10/1/12 Ba2 1,175 1,069,250
(3) Mrs. Fields Holding Co.
Units
0.00%, 12/1/05 Caa2 1,750 866,250
Mrs. Fields Original
Cookies, Inc.:
Gtd. Sr. Notes
10.125%, 12/1/04 N/R 1,400 1,249,500
(1) 10.125%, 12/1/04 B2 250 223,125
Pantry, Inc.
Sr. Sub. Notes
10.25%, 10/15/07 B3 550 551,375
Pathmark Stores, Inc.
Sr. Sub. Notes
9.625%, 5/1/03 Caa1 850 858,500
Wal-Mart Stores, Inc.
Sr. Notes
6.875%, 8/10/09 Aa2 250 250,463
------------
GROUP TOTAL 10,780,963
------------
- -----------------------------------------------------------------------------
- -----------------
TELECOMMUNICATIONS (18.4%)
Adelphia Communications
Corp.
Series B, Sr. Notes
8.375%, 2/1/08 B3 800 746,000
(3) COLT Telecom Group plc
Yankee Units
0.00%, 12/15/06 B1 400 352,000
(3) Call-Net
Enterprises, Inc.
Sr. Discount Notes
0.00%, 5/15/09 B2 500 261,874
Century
Communications, Inc.
Series B
0.00%, 1/15/08 Ba3 650 273,000
</TABLE>
11
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
(1) Charter Communications
Holdings:
Sr. Notes
8.625%, 4/1/09 B2 $ 1,000 $ 940,000
(3) Sr. Discount Notes
0.00%, 4/1/11 B3 1,000 593,750
(3) Clearnet
Communications, Inc.
Yankee Sr. Discount Notes
0.00%, 12/15/05 B3 1,050 987,000
Concentric Network Corp.
Units
12.75%, 12/15/07 N/R 750 753,750
Coaxial
Communications, Inc.
Gtd. Sr. Notes
10.00%, 8/15/06 B3 900 911,250
(3) DTI Holdings, Inc.
Units
0.00%, 3/1/08 N/R 1,850 647,500
Dobson/Sygnet
Communications, Co.
Sr. Notes
12.25%, 12/15/08 N/R 1,300 1,355,250
(3) Dolphin Telecom plc:
Sr. Discount notes
0.00%, 6/1/08 Caa1 750 343,125
(1) 0.00%, 5/15/09 Caa1 700 287,874
(3) e. spire
Communications, Inc.
Sr. Discount Notes
0.00%, 11/1/05 N/R 2,950 1,799,500
(3) Econophone, Inc.
Sr. Notes
0.00%, 2/15/08 N/R 1,600 956,000
Exodus
Communications, Inc.
Sr. Notes
11.25%, 7/1/08 N/R 700 710,500
(3) Focal Communications Corp.
Sr. Discount Notes
0.00%, 2/15/08 N/R 1,400 787,500
(3) GST USA, Inc.
Gtd. Sr. Discount Notes
0.00%, 12/15/05 N/R 1,800 1,437,750
Global Crossing Holdings
Ltd.
Gtd. Sr. Notes
9.625%, 5/15/08 N/R 1,150 1,181,624
Globalstar,
L.P./Globalstar Capital
Corp.:
Sr. Notes
10.75%, 11/1/04 B3 1,000 607,500
11.25%, 6/15/04 Caa1 500 323,750
11.50%, 6/1/05 B3 200 126,000
Globix Corp.
Sr. Notes
13.00%, 5/1/05 N/R 1,000 882,500
(3) Hyperion
Telecommunications, Inc.
Series B,
Sr. Discount Notes
0.00%, 4/15/03 B3 450 378,000
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
(3) ICG Holdings, Inc.:
Gtd. Sr. Exchange
Discount Notes
0.00%, 9/15/05 N/R $ 650 $ 565,500
0.00%, 5/1/06 N/R 600 474,000
Gtd. Sr. Discount Notes
0.00%, 3/15/07 N/R 1,750 1,242,500
(3) ICG Services, Inc.:
Sr. Discount Notes
0.00%, 2/15/08 N/R 500 287,500
0.00%, 5/1/08 N/R 1,350 749,250
ITC DeltaCom, Inc.
Sr. Notes
11.00%, 6/1/07 B2 259 271,950
Intermedia
Communications, Inc.
Sr. Notes
8.875%, 11/1/07 B2 200 179,000
Jacor
Communications, Inc.
Gtd. Sr. Sub. Notes
8.00%, 2/15/10 B2 250 252,187
Jordan Telecommunications
Products, Inc.:
Series B, Sr. Notes
9.875%, 8/1/07 N/R 270 262,912
(3) Series B, Sr. Discount
Notes
0.00%, 8/1/07 B3 425 360,187
Logix Communications
Enterprises
Sr. Notes
12.25%, 6/15/08 N/R 1,000 860,000
MCI Worldcom, Inc.
Sr. Unsecured Notes
6.50%, 4/15/10 Baa2 125 119,218
McCaw International, Ltd.
Sr. Discount Notes
13.00%, 4/15/07 Caa1 900 540,000
(3) McLeod USA, Inc.:
Sr. Discount Notes
0.00%, 3/1/07 B2 800 628,000
Sr. Notes
9.25%, 7/15/07 B2 400 396,000
9.50%, 11/1/08 B2 1,000 995,000
MetroNet Communications
Corp.:
Sr. Discount Notes
10.75%, 11/1/07 B 1,100 889,625
(3) 0.00%, 6/15/08 B3 1,000 771,250
Microcell
Telecommunications, Inc.
Series B, Yankee
Sr. Discount Notes
14.00%, 6/1/06 B3 270 225,450
(3) Millicom International
Cellular
Yankee Sr. Sub.
Discount Notes
0.00%, 6/1/06 Caa1 850 602,438
(3) NEXTLINK
Communications, Inc.:
0.00%, 4/15/08 B3 1,700 994,500
Sr. Notes
12.50%, 4/15/06 B3 350 370,125
</TABLE>
12
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
10.75%, 11/15/08 B3 $ 500 $ 500,000
(3) Nextel
Communications, Inc.
Sr. Discount Notes
0.00%, 2/15/08 B2 1,700 1,185,750
Orbital Imaging Corp.
Series B, Sr. Notes
11.625%, 3/1/05 N/R 500 336,250
Orion Network
Systems, Inc.
Gtd. Sr. Notes
11.25%, 1/15/07 B2 500 373,750
(3) PLD Telekom, Inc.
Yankee Gtd. Sr. Notes
14.00%, 6/1/04 N/R 1,610 1,094,800
(3) Pagemart Nationwide, Inc.
Sr. Discount Notes
0.00%, 2/1/05 B3 1,750 1,520,313
(1) Petersburg Long
Distance, Inc.
Conv. Sub. Notes
9.00%, 6/1/06 N/R 230 92,000
(3) Qwest Communications
International, Inc.
Sr. Discount Notes
0.00%, 10/15/07 B2 1,100 853,875
(3) RCN Corp.
Series B,
Sr. Discount Notes
0.00%, 2/15/08 B3 900 547,875
RSL Communications:
Yankee Gtd. Sr. Notes
9.125%, 3/1/08 B3 250 208,750
10.50%, 11/15/08 B3 250 231,250
(1) 9.875%, 11/15/09 B2 1,100 959,750
Rhythms Netconnections
Units
13.50%, 5/15/08 N/R 1,500 735,000
Rogers Cablesystems Ltd.
Series B,
Yankee Sr. Secured 2nd
Priority Notes
10.00%, 3/15/05 Ba3 250 268,125
Rogers Cantel, Inc.
Yankee Sr. Secured
Debentures
9.375%, 6/1/08 Ba3 350 367,500
Sprint Spectrum
L.P./Sprint Spectrum
Finance Corp.
Sr. Notes
11.00%, 8/15/06 B2 1,500 1,679,325
Star Choice
Communications, Inc.
Sr. Notes
13.00%, 12/15/05 N/R 500 503,750
Startec Global
Communications Corp.
Units
12.00%, 5/15/08 N/R 750 670,313
TCI Communications, Inc.
Sr. Notes
6.375%, 5/1/03 A2 130 128,538
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
Telesystem International
Wireless
Series B
Sr. Discount Notes
13.25%, 6/30/07 Caa1 $ 500 $ 248,125
Teligent, Inc.
Sr. Notes
11.50%, 12/1/07 Caa1 750 686,250
(1)(3) Tritel PCS, Inc.
Sr. Discount Notes
0.00%, 5/15/09 B3 500 286,250
Viatel, Inc.
Sr. Notes
11.25%, 4/15/08 Caa1 850 807,500
Western Wireless Corp.
Sr. Sub. Notes
10.50%, 2/1/07 B3 350 359,625
(3) Winstar
Communications, Inc.
Sr. Discount Notes
0.00%, 10/15/05 Caa1 1,600 1,336,000
(1) Worldwide Fiber Inc.
Sr. Notes
12.00%, 8/1/09 B3 800 782,000
------------
GROUP TOTAL 46,442,253
------------
- -----------------------------------------------------------------------------
- -----------------
TEXTILE/APPAREL (1.4%)
Iron Age Corp.
Sr. Sub. Notes
9.875%, 5/1/08 B3 250 195,000
Maxim Group, Inc.
Series B,
Gtd. Sr. Sub. Notes
9.25%, 10/15/07 B2 700 596,750
Phillips-Van-Heusen Corp.
Sr. Sub. Notes
9.50%, 5/1/08 B1 800 764,000
Pillowtex Corp.
Gtd. Sr. Sub. Notes
10.00%, 11/15/06 B2 500 340,000
Simmons Co.
Series B, Sr. Sub. Note
10.25%, 3/15/09 B3 650 641,875
Tropical Sportswear
International
Series A,
Gtd. Sr. Notes
11.00%, 6/15/08 B3 600 538,500
William Carter Co.
Series A, Sr. Sub. Notes
10.375%, 12/1/06 B3 500 500,000
------------
GROUP TOTAL 3,576,125
------------
- -----------------------------------------------------------------------------
- -----------------
TRANSPORTATION (1.9%)
AirTran Airlines, Inc.
Sr. Notes
10.50%, 4/15/01 N/R 1,000 981,250
Canadian Airlines Corp.
Sr. Notes
12.25%, 8/1/06 Caa2 1,950 1,262,625
</TABLE>
13
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
Hermes Europe Railtel B.V.
Sr. Notes
11.50%, 8/15/07 B3 $ 1,000 $ 1,020,000
Norfolk Southern Corp.:
Bonds
7.70%, 5/15/17 Baa1 75 75,281
7.05%, 5/1/37 Baa1 285 284,228
Series A, Medium Term
Note
7.40%, 9/15/06 Baa1 40 40,450
Pegasus Shipping (Hellas),
Ltd.
Series A, First Preferred
Ship Mortgage Notes
11.875%, 11/15/04 B3 300 74,250
Trans World
Airlines, Inc.
Sr. Notes
11.375%, 3/1/06 Caa1 1,500 971,250
------------
GROUP TOTAL 4,709,334
------------
- -----------------------------------------------------------------------------
- -----------------
WASTE MANAGEMENT (0.5%)
(1) Waste Systems
International, Inc.
Sub. Notes
7.00%, 5/13/05 N/R 1,500 1,290,000
------------
- -----------------------------------------------------------------------------
- -----------------
TOTAL CORPORATE OBLIGATIONS
(Cost $240,558,353) 213,073,990
------------
- -----------------------------------------------------------------------------
GOVERNMENT & AGENCY SECURITIES (2.2%)
- -----------------------------------------------------------------------------
- -----------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (1.9%)
30-YR TBA
Zero coupon, 6/1/17 Aaa 900 270,423
6.00%, 3/1/29 Aaa 650 606,125
6.00%, 7/1/29 Aaa 1,966 1,833,174
6.50%, 7/1/29 Aaa 701 672,185
7.00%, 3/16/27 Aaa 150 147,375
FGLMC, Gold Pool #C00835
6.50%, 7/1/29 Aaa 669 641,403
STRIPS,
Series H, Class 2
11.50%, 5/1/09 Aaa 552 595,847
------------
GROUP TOTAL 4,766,532
------------
- -----------------------------------------------------------------------------
- -----------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (0.0%)
Various Pools:
10.50%, 9/15/15 Aaa 34 36,903
10.50%, 9/15/15 Aaa 19 20,658
10.50%, 12/15/15 Aaa 3 3,442
10.50%, 3/15/16 Aaa 26 28,387
10.50%, 8/15/16 Aaa 34 37,529
------------
GROUP TOTAL 126,919
------------
- -----------------------------------------------------------------------------
- -----------------
UNITED STATES TREASURY NOTE (0.3%)
7.25%, 5/15/04 Aaa 300 316,311
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
TIPS
3.875%, 4/15/29 Aaa $ 405 $ 391,203
------------
GROUP TOTAL 707,514
------------
- -----------------------------------------------------------------------------
- -----------------
TOTAL GOVERNMENT & AGENCY SECURITIES
(Cost $5,509,846) 5,600,965
------------
- -----------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (0.8%)
- -----------------------------------------------------------------------------
Commercial Mortgage Asset
Trust
Series 1999, Class A3
6.64%, 1/17/32 Aaa 310 297,213
GMAC Commercial Mortgage
Securities, Inc.:
6.853%, 9/15/06 Aaa 80 79,637
6.945%, 9/15/33 Aaa 550 543,197
Heller Financial
Commercial Mortgage
Series 1999-PH1,
Class A2
6.847%, 5/15/31 Aaa 385 374,653
Morgan Stanley Capital I
Series 1998-XL1,
Class A3
6.48%, 6/3/30 N/R 360 343,968
Nomura Asset Securities
Corp.
Series 1998-D6,
Class A1B6
6.59%, 3/17/28 Aaa 310 297,019
------------
- -----------------------------------------------------------------------------
- -----------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $2,021,129) 1,935,687
------------
- -----------------------------------------------------------------------------
- -----------------
ASSET BACKED OBLIGATIONS (1.8%)
- -----------------------------------------------------------------------------
Chase Credit Card Master
Trust
Series 1999-3, Class A
6.66%, 1/15/07 Aaa 420 420,394
(1) Constellation Finance,
L.L.C.
Series 1997-1, Class 1
9.80%, 12/14/02 N/R 250 233,750
Contimortgage Home Equity
Loan Trust
7.22%, 1/15/28 Aaa 125 123,750
Green Tree Financial Corp.
Manufactured Housing
Installment Sale
Contracts:
Series 1993-4, Class B1
7.20%, 1/15/19 Baa3 1,548 1,487,431
Green Tree Recreational,
Equipment & Consumer
Trust, Consumer
Products & Equipment
Retail Installment
Sale Contracts
Series 1997-C,
Class A-1,
6.49%, 2/15/18 N/R 498 489,711
</TABLE>
14
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
MBNA Master Credit Card
Trust:
Series 1999-G, Class A,
6.35%, 12/15/06 Aaa $ 130 $ 128,497
Series 1997-I, Class A,
6.55%, 1/15/07 Aaa 160 160,499
Peco Energy Transition
Trust:
Series 1999-A, Class A6,
6.05%, 3/1/09 Aaa 90 84,994
Series 1999-A, Class A7,
6.13%, 3/1/09 Aaa 335 313,749
Prudential Securities
Secured Financing Corp.
Series 1999-C2,
Class A2,
7.193%, 4/15/09 Aaa 385 380,789
Residential Asset
Securities Corp.
Series 1999-KS3,
Class AI2,
7.075%, 9/25/20 Aaa 125 125,000
Standard Credit Card
Master Trust
Series 1994-2, Class A,
7.25%, 4/7/08 Aaa 420 423,805
UCFC Home Equity Loan:
Series 1996-B1,
Class A7,
8.20%, 9/15/27 Aaa 110 110,636
Series 1998-A, Class A7,
6.87%, 7/15/29 Aaa 50 47,125
- -----------------------------------------------------------------------------
- -----------------
TOTAL ASSET BACKED OBLIGATIONS
(Cost $4,533,536) 4,530,130
------------
- -----------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Shares/
Units
<C> <S> <C> <C>
- --------------------------------------------------------------------------
- -----------------
COMMON STOCKS (3.2%)
- --------------------------------------------------------------------------
- -----------------
BROADCASTING (0.6%)
(1) (5) Spanish Broadcasting System
Class A 2,142 1,392,300
------------
- --------------------------------------------------------------------------
- -----------------
CABLE (0.0%)
(1) (5)OpTel, Inc. 1,000 10
------------
- --------------------------------------------------------------------------
- -----------------
CONSUMER PRODUCTS & SERVICES (0.1%)
(5) Coinstar, Inc. 11,887 118,127
(5) Concentric Network Corp. 9,510 193,172
(5) Crown Packaging Enterprises, Ltd. 253,746 2,537
------------
GROUP TOTAL 313,836
------------
- --------------------------------------------------------------------------
- -----------------
FINANCIAL SERVICES (0.0%)
(5)(6) Westfed Holdings, Inc. Class B
(acquired 9/20/88, $383) 12,670 0
------------
- --------------------------------------------------------------------------
- -----------------
FOOD & BEVERAGES (0.7%)
(5)(6) Dr. Pepper Bottling Holdings, Inc.
Class A (acquired 2/25/97, cost
$1,181,250) 75,000 1,875,000
<CAPTION>
Shares/
Units Value
- --------------------------------------------------------------------------
<C> <S> <C> <C>
(1)(5) Specialty Foods Corp. 30,000 $ 1,500
------------
GROUP TOTAL 1,876,500
------------
- --------------------------------------------------------------------------
- -----------------
INDUSTRIAL GOODS & MATERIALS (0.1%)
(5)(6)(7) CIC I Acquisition Corp.
(acquired 10/18/89, cost $1,076,715) 2,944 200,192
------------
- --------------------------------------------------------------------------
- -----------------
METALS & MINING (0.0%)
(5) Sheffield Steel Corp. 6,250 12,500
------------
- --------------------------------------------------------------------------
- -----------------
OILFIELD MACHINERY & EQUIPMENT (0.2%)
(5) Weatherford International, Inc. 14,215 454,880
------------
- --------------------------------------------------------------------------
- -----------------
PAPER & FOREST PRODUCTS (0.1%)
(1)(5)(7) Mail-Well, Inc. 21,306 295,621
------------
- --------------------------------------------------------------------------
- -----------------
RESTAURANTS, HOTELS & GAMING (0.1%)
(5) Capital Gaming International, Inc. 5,687 284
(5) Elsinore Corp. 86,538 27,043
(5) Isle of Capri Casinos, Inc. 14,947 149,470
(1)(5) Motels of America, Inc. 500 9,000
------------
GROUP TOTAL 185,797
------------
- --------------------------------------------------------------------------
- -----------------
TELECOMMUNICATIONS (1.3%)
(5) Advanced Radio Telecom Corp. 18,211 229,913
(5) e. spire Communications, Inc. 28,337 205,446
(5) Globix Corp. 3,520 164,560
(5) ICG Communications, Inc. 2,145 33,382
(5) Intermedia Communications, Inc. 4,916 106,922
(5) Loral Space & Communications 302 5,191
(5) Microcell Telecommunications,
Class B 3,436 44,668
(5) Nextel Communications, Inc., Class A 2,080 141,050
(5) Pagemart Nationwide, Inc. 7,000 33,250
(5) Price Communications Corp. 88,728 2,223,745
(5) Viatel, Inc. 3,353 99,123
------------
GROUP TOTAL 3,287,250
------------
- --------------------------------------------------------------------------
- -----------------
TOTAL COMMON STOCKS
(Cost $4,671,930) 8,018,886
------------
- --------------------------------------------------------------------------
- -----------------
PREFERRED STOCKS (4.1%)
- --------------------------------------------------------------------------
- -----------------
AEROSPACE/DEFENSE (0.4%)
(5) GPA Group plc
7% Second Preferred Cum. Conv. 2,125,000 1,115,625
------------
- --------------------------------------------------------------------------
- -----------------
BROADCASTING (1.1%)
Benedek Communications Corp.
11.50% Sr. Exchangeable 150 142,500
(5) Pegasus Communications Corp.
12.75% Cum. Exchangeable, Series A 66 65,670
Pegasus Communications Corp.
Units 250 267,500
(5) Source Media, Inc.
13.5% Units 69,389 277,556
</TABLE>
15
<PAGE>
<TABLE>
<CAPTION>
Shares/
Units Value
- --------------------------------------------------------------------------
<C> <S> <C> <C>
(1)(5) Spanish Broadcasting System, Inc.
14.25%, Cum. Exchangeable 19,668 $ 2,065,140
------------
GROUP TOTAL 2,818,366
------------
- --------------------------------------------------------------------------
- -----------------
CABLE (0.5%)
Adelphia Communications Corp.
13% Cum. Exchangeable, Series B 5,000 556,250
(5) DIVA Systems Corp.
Series D 56,913 682,956
(5) NTL, Inc.
13% Exchangeable, Series B 1 584
------------
GROUP TOTAL 1,239,790
------------
- --------------------------------------------------------------------------
- -----------------
FINANCIAL SERVICES (0.3%)
(1) Deutsche Bank Capital Funding Tr I
7.872% Non-cumulated 120,000 114,292
Lehman Brothers Holdings:
5%, Convertible, Series B 2,700 76,950
5.94%, Series C 1,300 57,850
Olympic Financial, Ltd.
Units
11.50%, 3/15/07 475,000 407,312
(7) Westfed Holdings, Inc.
Class A (acquired 9/20/88-6/18/93,
cost $2,995,322) 42,759 42,759
------------
GROUP TOTAL 699,163
------------
- --------------------------------------------------------------------------
- -----------------
METALS & MINING (0.1%)
(1) International Utility
Structures, Inc.:
13% Units 150 140,625
14% Units 27 2,499
------------
GROUP TOTAL 143,124
------------
- --------------------------------------------------------------------------
- -----------------
MISCELLANEOUS (0.0%)
(5) TCR Holdings Corp.:
Series B 790 48
Series C (non-voting) 434 24
Series D (non-voting) 1,145 61
Series E (non-voting) 2,370 149
------------
GROUP TOTAL 282
------------
- --------------------------------------------------------------------------
- -----------------
PUBLISHING & INFORMATION SERVICES (0.2%)
Primedia, Inc.
10% Cum. Exchangeable, Series D 5,000 512,500
------------
- --------------------------------------------------------------------------
- -----------------
RESTAURANTS, HOTELS & GAMING (0.2%)
AmeriKing, Inc.
13%, Cum. Exchangeable 20,638 454,036
------------
- --------------------------------------------------------------------------
- -----------------
TELECOMMUNICATIONS (1.3%)
e. spire Communications, Inc.
12.75% 318 127,200
Intermedia Communications, Inc.
13.5% Exchangeable, Series B 3,506 347,094
(1) 7% Jr. Convertible, Series E 44,000 814,000
(5) NEXTLINK Communications, Inc.
14% Cum. Exchangeable 13,400 683,400
<CAPTION>
Shares/
Units Value
- --------------------------------------------------------------------------
<C> <S> <C> <C>
Nextel Communications, Inc.
13% Exchangeable, Series D 1,027 $ 1,109,160
Rural Cellular Corp.
11.375% Sr. Exchangeable 293 293,732
------------
GROUP TOTAL 3,374,586
------------
- --------------------------------------------------------------------------
TOTAL PREFERRED STOCKS
(Cost $13,705,624) 10,357,472
------------
RIGHTS (0.1%)
- --------------------------------------------------------------------------
(5)(6) Primestar, Inc.
Share Appreciation Right expiring
5/10/00 6,562 88,706
(5) Terex Corp.
expiring 5/15/02 6,000 84,000
- --------------------------------------------------------------------------
TOTAL RIGHTS
(Cost $0) 172,706
------------
- --------------------------------------------------------------------------
- -----------------
WARRANTS (0.3%)
- --------------------------------------------------------------------------
(5) Ampex Corp.
expiring 3/15/03 25,500 17,595
(1)(5) Australis Holdings Pty. Ltd.
expiring 10/30/01 2,250 23
(5) Capital Gaming International, Inc.
expiring 12/31/03 17 0
(5) CHC Helicopter Corp.
expiring 12/15/00 6,000 6,000
(5) CHI Energy, Inc.:
Series B, expiring 11/8/03 7,578 18,195
Series C, expiring 11/8/05 4,919 11,811
(1)(5) Cookies U.S.A., Inc.
expiring 1/15/01 225 0
(5) County Seat Stores, Inc.
expiring 10/15/98 1,520 15
(5) Crown Packaging Holdings, Ltd.
expiring 11/1/03 2,000 100
(5) Dairy Mart Convenience Stores, Inc.
expiring 12/1/01 11,665 4,083
(5) Decrane Aircraft Holdings
expiring 9/30/08 800 0
(1)(5) DIVA Systems Corp.:
expiring 5/15/06 1,925 465,850
expiring 3/1/08 8,325 66,600
(1)(5) DTI Holdings, Inc.
expiring 3/1/08 9,250 93
Elsinore Corp.
expiring 12/31/25 79,941 0
Golden Ocean Group, Ltd.
expiring 8/31/01 1,032 0
(1)(5) Hemmeter Enterprises, Inc.
expiring 12/15/99 9,000 0
(5) HF Holdings, Inc.
expiring 07/15/02 9,752 97,520
(1)(5) IHF Capital, Inc.
expiring 11/14/99 500 5
(1)(5) InterAct Systems, Inc.
expiring 8/1/03 750 0
(5) Isle of Capri Casinos, Inc.
expiring 5/3/01 2,646 26
</TABLE>
16
<PAGE>
<TABLE>
<CAPTION>
Shares/
Units Value
- --------------------------------------------------------------------------
<C> <S> <C> <C>
(1)(5) Key Energy Services
expiring 1/15/09 1,250 $ 25,000
(5) McCaw International Ltd.
expiring 4/15/07 1,000 2,500
(1)(5) Mentus Media Corp.
expiring 2/1/08 3,984 40
(5) PLD Telekom, Inc.
expiring 6/01/06 1,610 64,400
(5) Source Media, Inc.
expiring 11/1/07 30,731 149,815
(1)(5) Star Choice Communications, Inc.
expiring 12/5/05 11,580 18,915
(5) Startec Global Communications Corp
expiring 5/15/08 750 750
(5) United International Holdings
expiring 11/15/99 2,950 8,850
(5) Wright Medical Technology
expiring 6/30/03 618 6
- --------------------------------------------------------------------------
TOTAL WARRANTS
(Cost $3,065,685) 958,192
------------
- --------------------------------------------------------------------------
TOTAL DOMESTIC SECURITIES
(Cost $274,318,103) 244,648,028
------------
- --------------------------------------------------------------------------
']
</TABLE>
<TABLE>
- --------------------------------------------------------------------------
- -----------------
<CAPTION>
Face
Moody's Amount
Ratings (000)
<C> <S> <C> <C> <C>
FOREIGN SECURITIES (1.2%)
- --------------------------------------------------------------------------
- -----------------
CORPORATE OBLIGATIONS (1.1%)
- --------------------------------------------------------------------------
- -----------------
FINLAND (0.1%)
(4) Okobank Perpetual
Medium Term Notes
5.739%, 9/29/49 A3 USD$ 140 134,400
------------
- --------------------------------------------------------------------------
- -----------------
FRANCE (0.1%)
(4) Credit Lyonnais Paris
6.8125%, 9/19/49 Baa2 USD 210 192,150
L'Auxiliare du Credit
Foncier de France
Gtd. Sub. Notes
6.00%, 10/22/02 Baa3 USD 150 144,000
------------
GROUP TOTAL 336,150
------------
- --------------------------------------------------------------------------
- -----------------
JAPAN (0.1%)
(4) Fuji Bank (Cayman), Ltd.
Perpetual Gtd. Notes
7.30%, 3/29/49 Baa2 USD 370 340,400
------------
- --------------------------------------------------------------------------
- -----------------
NETHERLANDS (0.5%)
(3) CompleTelecom Europe N.V.
Units
0.00%, 2/15/09 Caa2 USD 650 331,500
(1) United Pan-Europe
Communications N.V.
Sr. Notes
10.875%, 8/1/09 B2 USD 850 856,375
------------
GROUP TOTAL 1,187,875
------------
- --------------------------------------------------------------------------
- -----------------
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- --------------------------------------------------------------------------
<C> <S> <C> <C> <C>
SWEDEN (0.3%)
(4) ForeningsSparbanken AB:
Perpetual Jr. Sub. Medium
Term Notes
6.2625%, 12/29/49 Baa2 USD$ 500 $ 489,375
Skandinaviska Enskilda
Banken AB
Perpetual Sub. Notes
6.625%, 3/29/49 Baa1 USD 400 394,872
------------
GROUP TOTAL 884,247
------------
- --------------------------------------------------------------------------
- -----------------
TOTAL CORPORATE OBLIGATIONS
(Cost $2,936,623) 2,883,072
------------
- --------------------------------------------------------------------------
GOVERNMENT OBLIGATION (0.1%)
- --------------------------------------------------------------------------
- -----------------
POLAND (0.1%)
Republic of Poland
Past Due Interest Bonds
5.00%, 10/27/14
(Cost $203,588) Baa3 USD 215 189,200
------------
- --------------------------------------------------------------------------
- -----------------
TOTAL FOREIGN SECURITIES
(Cost $3,140,211) 3,072,272
------------
- --------------------------------------------------------------------------
- -----------------
TIME DEPOSITS (0.2%)
(Cost $416,000) 416,000
------------
- --------------------------------------------------------------------------
- -----------------
TOTAL INVESTMENTS (98.2%)
(Cost $277,874,314) 248,136,300
------------
- --------------------------------------------------------------------------
- -----------------
OTHER ASSETS IN EXCESS OF LIABILITIES (1.8%)
4,629,686
------------
- --------------------------------------------------------------------------
- -----------------
NET ASSETS (100%)
Applicable to 34,708,369 issued and outstanding
$.001 par value shares (authorized 1000,000,000
shares) $252,765,986
============
==========================================================================
</TABLE>
N/R--Not Rated.
STRIPS--Separate Trading of Registered Interest and Principal Securities.
TIPS--Treasury Inflation Protected Securities.
TBA--Security is subject to delayed delivery.
(1) 144A Security. Certain conditions for public sale may exist.
(2) Defaulted security.
(3) Step Bond--Coupon rate is low or zero for an initial period and then
increases to a higher coupon rate thereafter. Maturity date disclosed is
the ultimate maturity.
(4) Floating Rate--The interest rate changes on these instruments based upon a
designated base rate. The rates shown are those in effect at September 30,
1999.
(5) Non-income producing security.
(6) Restricted as to private and public resale. Total cost of restricted
securities at September 30, 1999 aggregated $2,075,192. Total market value
of restricted securities owned at September 30, 1999 was $2,258,348 or 0.8%
of net assets.
(7) Securities for which market quotations are not readily available are valued
at fair value as determined in good faith by the Board of Directors.
17
<PAGE>
DESCRIPTION OF INVESTLINK-SM-* PROGRAM
- ---------
The InvestLink-SM- Program is sponsored and administered by BankBoston, N.A.,
not by Credit Suisse Asset Management Income Fund, Inc. (the "Fund").
BankBoston, N.A. will act as program administrator (the "Program Administrator")
of the InvestLink-SM- Program (the "Program"). The purpose of the Program is to
provide interested investors with a simple and convenient way to invest funds
and reinvest dividends in shares of the Fund's common stock ("Shares") at
prevailing prices, with reduced brokerage commissions and fees.
An interested investor may join the Program at any time. Purchases of Shares
with funds from a participant's cash payment or automatic account deduction will
begin on the next day on which funds are invested. If a participant selects the
dividend reinvestment option, automatic investment of dividends generally will
begin with the next dividend payable after the Program Administrator receives
his enrollment form. Once in the Program, a person will remain a participant
until he terminates his participation or sells all Shares held in his Program
account, or his account is terminated by the Program Administrator. A
participant may change his investment options at any time by requesting a new
enrollment form and returning it to the Program Administrator.
A participant will be assessed certain charges in connection with his
participation in the Program. First-time investors will be subject to an initial
service charge which will be deducted from their initial cash deposit. All
optional cash deposit investments will be subject to a service charge. Sales
processed through the Program will have a service fee deducted from the net
proceeds, after brokerage commissions. In addition to the transaction charges
outlined above, participants will be assessed per share processing fees (which
include brokerage commissions.) Participants will not be charged any fee for
reinvesting dividends.
The number of Shares to be purchased for a participant depends on the amount
of his dividends, cash payments or bank account or payroll deductions, less
applicable fees and commissions, and the purchase price of the Shares. The
Program Administrator uses dividends and funds of participants to purchase
Shares of the Fund's common stock in the open market. Such purchases will be
made by participating brokers as agent for the participants using normal cash
settlement practices. All Shares purchased through the Program will be allocated
to participants as of the settlement date, which is usually three business days
from the the purchase date. In all cases, transaction processing will occur
within 30 days of the receipt of funds, except where temporary curtailment or
suspension of purchases is necessary to comply with applicable provisions of the
Federal Securities laws or when unusual market conditions make prudent
investment impracticable. In the event the Program Administrator is unable to
purchase Shares within 30 days of the receipt of funds, such funds will be
returned to the participants.
The average price of all Shares purchased by the Program Administrator with
all funds received during the time period from two business days preceding any
investment date up to the second business day preceding the next investment date
shall be the price per share allocable to a participant in connection with the
Shares purchased for his account with his funds or dividends received by the
Program Administrator during such time period. The average price of all Shares
sold by the Program Administrator pursuant to sell orders received during such
time period shall be the price per share allocable to a participant in
connection with the Shares sold for his account pursuant to his sell orders
received by the Program Administrator during such time period.
BankBoston, N.A., as Program Administrator, administers the Program for
participants, keeps records, sends statements of account to participants and
performs other duties relating to the Program. Each participant in the Program
will receive a statement of his account following each purchase of Shares. The
statements will also show the amount of dividends credited to such participant's
account (if applicable), as well as the fees paid by the participant. In
addition, each participant will receive copies of the Fund's annual and
semi-annual reports to shareholders, proxy statements and, if applicable,
dividend income information for tax reporting purposes.
If the Fund is paying dividends on the Shares, a participant will receive
dividends through the Program for all Shares held on the dividend record date on
the basis of full and fractional Shares held in his account, and for all other
Shares of the Fund registered in his name. The Program Administrator will send
checks to the participants for the amounts of their dividends that are not to be
automatically reinvested at no cost to the participants.
Shares of the Fund purchased under the Program will be registered in the
name of the accounts of the respective participants. Unless requested, the Fund
will not issue to participants certificates for Shares of the Fund purchased
under the Program. The Program Administrator will hold the Shares in book-entry
form until a Program participant chooses to withdraw his Shares or terminate his
participation in the Program. The number of Shares purchased for a participant's
account under the Program will be shown on his statement of account. This
feature protects against loss, theft or destruction of stock certificates.
A participant may withdraw all or a portion of the Shares from his Program
account by notifying the Program Administrator. After receipt of a participant's
request, the Program Administrator will issue to such participant certificates
for the whole Shares of the Fund so withdrawn or, if requested by the
participant, sell the Shares for him and send him the proceeds, less applicable
brokerage commissions, fees, and transfer taxes, if any. If a participant
withdraws all full and fractional Shares in his Program account, his
participation in the Program will be terminated by the Program Administrator. In
no case will certificates for fractional Shares be issued. The Program
Administrator will convert any fractional Shares held by a participant at the
time of his withdrawal to cash.
Participation in any rights offering, dividend distribution or stock split
will be based upon both the Shares of the Fund registered in participants' names
and the Shares (including fractional Shares) credited to participants' Program
accounts.
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Any stock dividend or Shares resulting from stock splits with respect to Shares
of the Fund, both full and fractional, which participants hold in their Program
accounts and with respect to all Shares registered in their names will be
automatically credited to their accounts.
All Shares of the Fund (including any fractional share) credited to his
account under the Program will be voted as the participant directs. The
participants will be sent the proxy materials for the annual meetings of
shareholders. When a participant returns an executed proxy, all of such Shares
will be voted as indicated. A participant may also elect to vote his Shares in
person at the Shareholders' meeting.
A participant will receive tax information annually for his personal records
and to help him prepare his U.S. federal income tax return. The automatic
reinvestment of dividends does not relieve him of any income tax which may be
payable on dividends. For further information as to tax consequences of
participation in the Program, participants should consult with their own tax
advisors.
The Program Administrator in administering the Program will not be liable
for any act done in good faith or for any good faith omission to act. However,
the Program Administrator will be liable for loss or damage due to error caused
by its negligence, bad faith or willful misconduct. Shares held in custody by
the Program Administrator are not subject to protection under the Securities
Investors Protection Act of 1970.
The participant should recognize that neither the Fund nor the Program
Administrator can provide any assurance of a profit or protection against loss
on any Shares purchased under the Program. A participant's investment in Shares
held in his Program account is no different than his investment in directly held
Shares in this regard. The participant bears the risk of loss and the benefits
of gain from market price changes with respect to all of his Shares. Neither the
Fund nor the Program Administrator can guarantee that Shares purchased under the
Program will, at any particular time, be worth more or less than their purchase
price. Each participant must make an independent investment decision based on
his own judgment and research.
While the Program Administrator hopes to continue the Program indefinitely,
the Program Administrator reserves the right to suspend or terminate the Program
at any time. It also reserves the right to make modifications to the Program.
Participants will be notified of any such suspension, termination or
modification in accordance with the terms and conditions of the Program. The
Program Administrator also reserves the right to terminate any participant's
participation in the Program at any time. Any question of interpretation arising
under the Program will be determined in good faith by the Program Administrator
and any such good faith determination will be final.
Any interested investor may participate in the Program. To participate in
the Program, an investor who is not already a registered owner of the Shares
must make an initial investment of at least $250.00. All other cash payments or
bank account deductions must be at least $100.00, up to a maximum of $100,000.00
annually. An interested investor may join the Program by reading the Program
description, completing and signing the enrollment form and returning it to the
Program Administrator. The enrollment form and information relating to the
Program (including the terms and conditions) may be obtained by calling the
Program Administrator at one of the following telephone numbers: First Time
Investors--(888) 697-8026; Current Shareholders--(800) 730-6001. All
correspondence regarding the Program should be directed to: BankBoston, N.A.,
InvestLink Program, P.O. Box 8040, Boston, MA 02266-8040.
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*InvestLink is a service mark of Boston EquiServe Limited Partnership.
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4946-AR-99
