<PAGE>
Credit Suisse Asset Management Income Fund, Inc.
153 East 53rd Street
New York, NY 10022
---------------------------------------------
OFFICERS AND DIRECTORS
William W. Priest, Jr. Suzanne E. Moran
CHAIRMAN OF THE BOARD INVESTMENT OFFICER
Prof. Enrique R. Arzac Hal Liebes
DIRECTOR SENIOR VICE PRESIDENT
Lawrence J. Fox Michael A. Pignataro
DIRECTOR CHIEF FINANCIAL OFFICER, VICE PRESIDENT
James S. Pasman, Jr. AND SECRETARY
DIRECTOR Robert M. Rizza
Richard J. Lindquist VICE PRESIDENT AND TREASURER
PRESIDENT AND CHIEF
INVESTMENT OFFICER
--------------------------------------------------------
INVESTMENT ADVISER
Credit Suisse Asset Management Income Fund, Inc.
153 East 53rd Street
New York, New York 10022
Phone 1-800-293-1232
--------------------------------------------------------
ADMINISTRATOR
Brown Brothers Harriman & Co.
40 Water Street
Boston, Massachusetts 02109
--------------------------------------------------------
CUSTODIAN
Brown Brothers Harriman & Co.
40 Water Street
Boston, Massachusetts 02109
--------------------------------------------------------
SHAREHOLDER SERVICING AGENT
BankBoston N.A.
P.O. Box 1865
Mailstop 45-02-62
Boston, Massachusetts 02105-1865
Phone 1-800-730-6001
--------------------------------------------------------
LEGAL COUNSEL
Willkie Farr & Gallagher
787 7th Avenue
New York, New York 10019
--------------------------------------------------------
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, New York 10036
--------------------------------------------------------
--------------------------------------------------------
Credit Suisse Asset Management Income Fund, Inc.
---------------------------------------------
SEMI-ANNUAL REPORT
June 30, 1999
<PAGE>
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
- ----------
Dear Shareholders: July 16, 1999
We are writing to report on the activities of Credit Suisse Asset Management
Income Fund, Inc. ("the Fund") for the quarter ended June 30, 1999 and to
discuss our investment strategy.
At June 30, 1999, the Fund's net asset value ("NAV") was $7.54, compared to
an NAV of $7.64 at March 31, 1999. The Fund's total return (based on NAV and
assuming reinvestment of dividends of $0.18 per share) for the period was 1.1%.
For the first six months of 1999, the Fund returned 1.7%.
At June 30, 1999, $213.3 million was invested in high yield debt securities;
$22.1 million in investment-grade debt securities; $21.6 million in equity
securities; and the balance of $4.7 million in cash equivalents. The
investment-grade component consisted of short- and intermediate-term mortgages,
asset-backed securities and corporate bonds of intermediate maturity. Of the
debt securities, the largest concentration (53.8%) was invested in B-rated
issues.
THE MARKET: FED-WATCHING
The theme driving the high yield market changed in the second quarter.
Following two consecutive quarters in which investors' increasing comfort with
risk triggered a revival in prices of "spread product" (I.E., debt securities
whose market valuation is driven by the difference, known as the "spread,"
between their yields and those of U.S. Treasury debt), market participants
concentrated far more narrowly on the prospects for U.S. interest rates and
inflation.
The focus of their concentration was the Federal Reserve, which faced
mounting pressure to raise rates in order to cool off an economy that had long
appeared on the verge of overheating. Tension began to build in earnest in
mid-May, when the Fed chose to leave rates unchanged but announced that its
official bias had gone from neutral to one in favor of raising rates.
Activity in most fixed income sectors, which had had plenty of time to
wrestle with the potential implications of higher rates and also took
encouragement from favorable U.S. inflation data for May, started to take on a
better tone by late June. When the Fed finally raised rates by 25 basis points
on June 30, then, its move was widely expected and greeted with relief.
Investors received an unexpected bonus when the Fed simultaneously announced
that its official bias on rates had returned to neutral.
High yield outperformed investment-grade securities in this environment and
was virtually the only U.S. fixed income sector to generate a positive return
during the quarter. As represented by the Salomon Smith Barney High-Yield Market
Index (SSBHYMI), high yield's 0.3% return compared favorably to the 0.9% decline
in the Lehman Brothers Aggregate Bond Index, a standard proxy for U.S.
investment-grade instruments. Yield spreads for high yield narrowed a bit,
furthermore, while they widened for all investment-grade sectors.
There were two reasons for high yield's strength. First was the simple fact
that high yield tends to fare better than higher-quality sectors during times
when interest rates are rising or investors expect rates to rise, because such
times typically occur when the economy is strong, which is good for most high
yield issuers. The second was an improving liquidity environment due to robust
demand for new collateralized bond obligations backed by high yield securities.
PERFORMANCE: POSITIVE EXPOSURE TO TELECOMMUNICATIONS, GAMING
The Fund outperformed the broad high yield market during the quarter due to
the positive effects of our allocations to the telecommunications and gaming
sectors.
TELECOMMUNICATIONS. Our largest industry exposure was in telecommunications,
which we significantly overweighted compared to SSBHYMI. This had a very
positive impact on performance in two important ways. First, a
disproportionately high degree of our individual telecom holdings were rated
CCC, and CCC-rated securities as a group outperformed SSBHYMI by a staggeringly
wide margin. Second, our telecom exposure included a lot of deferred-interest
instruments such as zero-coupon bonds, which also outperformed.
GAMING. An additional positive was our overweight in gaming, which did well in
the quarter in response to positive sentiment about the openings of new casinos
in Las Vegas. This helped to boost bond prices and valuations more widely
throughout the sector.
The Fund's performance was most adversely affected by our large position and
relative overweight in cable/media, which suffered from its high exposure to
poor-performing BB-rated issues; and our underweight in energy and other
cyclical industries, many of which were among the quarter's strongest sectors.
OUTLOOK: STILL OPTIMISTIC
The optimistic outlook for the high yield market that we expressed in our
last report has not changed. We still expect sentiment and price appreciation to
be supported by the ongoing strength of the economy; minimal inflation; and
signs of improvement in economically sensitive industries; and anticipate that
the Federal Reserve's shift to a neutral stance on interest rates should be
additionally positive. Yield spreads relative to comparable-maturity U.S.
Treasury
2
<PAGE>
bonds--which have steadily fallen since peaking in mid-1998--should continue to
narrow, which should push bond prices higher.
Now that the Fed has finally raised short-term U.S. interest rates,
investors are becoming concerned about whether the rate hike is an isolated
phenomenon, or the first in a series of two or three such Fed moves designed to
slow down the vibrant U.S. economy. Our own view is that the probability of
further rate hikes this year is low, based on ongoing weakness in commodity
prices; an enormous worldwide glut of manufacturing capacity; the fact that
rates are already on the high side when adjusted for inflation; and the simple
absence of any "smoking gun"-type indicator that inflation is truly back.
The essential strategy with which we have managed the Fund for some time
remains intact. We are keeping the portfolio most heavily weighted in
telecommunications, cable/media and gaming, whose positive industry and company
fundamentals are unchanged. We are also selectively adding to positions in
economically sensitive industries such as paper and energy, whose underlying
fundamentals are beginning to show genuine signs of improvement, and will
continue to do so if this trend continues.
As developments occur that we believe would be of interest to you, we will
keep you informed. Meanwhile, if you have any questions about your portfolio or
the capital markets generally, please feel free to call upon us at any time.
We appreciate your interest in the Fund and would be pleased to respond to
your questions or comments. Any questions regarding net asset value,
performance, dividends, portfolio management or allocations should be directed
to Credit Suisse Asset Management at (800) 293-1232. All other inquiries
regarding account information or requests for a prospectus or other reports
should be directed to the Fund's Shareholder Servicing Agent at (800) 730-6001.
Sincerely yours,
/s/ Richard J. Lindquist
Richard J. Lindquist
PRESIDENT AND CHIEF INVESTMENT OFFICER*
/s/ William W. Priest, Jr.
William W. Priest, Jr.
CHAIRMAN OF THE BOARD**
FROM CREDIT SUISSE ASSET MANAGEMENT:
I. Effective January 12, 1999, the Fund's investment adviser, BEA
Associates, changed its name to Credit Suisse Asset Management ("CSAM"). In
making the announcement, the firm said that it expected the new name to enhance
its recognition as a global asset manager. Credit Suisse Asset Management is the
investment division of Credit Suisse Group, one of the world's largest financial
organizations, with $600 billion in assets under management.
II. Effective May 11, 1999, the BEA Income Fund, Inc. announced that,
following approval by shareholders at their Annual Shareholders' Meeting held on
May 10, 1999, the Fund had changed its name to Credit Suisse Asset Management
Income Fund, Inc. The Fund's ticker symbol on the New York Stock Exchange
changed to "CIK" from "FBF" accordingly.
III. Effective September 7, 1999, shareholders whose shares are registered
in their own name will automatically participate in a dividend reinvestment
program known as the InvestLinkSM Program (the "Program"). The Program can be of
value to shareholders in maintaining their proportional ownership interest in
the Fund in an easy and convenient way. A shareholder whose shares are held in
the name of a broker/dealer or nominee should contact the Fund's Transfer Agent
for details about participating in the Program. The Program also provides for
additional share purchases. The Program is described on pages 24 through 25 of
this report.
IV. Many services provided to the Fund and its shareholders by CSAM and the
Fund's service providers rely on the functioning of their respective computer
systems. Many computer systems cannot distinguish the year 2000 from the year
1900, with resulting potential difficulty in performing various calculations
(the "Year 2000 Issue"). The Year 2000 Issue could potentially have an adverse
impact on the handling of security trades, the payment of interest and
dividends, pricing, account services and other Fund operations.
CSAM recognizes the importance of the Year 2000 Issue and is taking
appropriate steps necessary in preparation for the year 2000. At this time,
there can be no assurance that these steps will be sufficient to avoid any
adverse impact on the Fund, nor can there be any assurance that the Year 2000
Issue will not have an adverse effect on the Fund's investments or on global
markets or economies, generally.
CSAM anticipates that its systems will be adapted in time for the year 2000.
CSAM is seeking assurances that comparable steps are being taken by the Fund's
other major service providers. CSAM will be monitoring the Year 2000 Issue in an
effort to ensure appropriate preparation.
* Richard J. Lindquist, who is a Managing Director of Credit Suisse Asset
Management ("CSAM"), formerly known as BEA Associates, is primarily responsible
for management of the Fund's assets. He has served in such capacity since
November 21, 1996. Prior to that date, he served as Vice President to the Fund,
a position he assumed on August 15, 1989. Mr. Lindquist joined CSAM on May 1,
1995 as a result of CSAM's acquisition of CS First Boston Investment Management
Corporation ("CSFBIM"). Prior to joining CSAM and beginning in July, 1989, he
held various offices at CSFBIM. Mr. Lindquist also is President and Chief
Investment Officer of Credit Suisse Asset Management Strategic Global Income
Fund, Inc.
** William W. Priest, Jr., who is a Managing Director and Chief Executive
Officer-Americas of Credit Suisse Asset Management ("CSAM"), formerly known as
BEA, Associates, joined CSAM in 1972. Mr. Priest is Director and President of
The Indonesia Fund, Inc. and Director and Chairman of the Board of Credit Suisse
Asset Management Strategic Global Income Fund, Inc.; The Brazilian Equity Fund,
Inc.; The Chile Fund, Inc.; The Emerging Markets Infrastructure Fund, Inc.; The
Emerging Markets Telecommunications Fund, Inc.; The First Israel Fund, Inc.; The
Latin America Equity Fund, Inc.; The Latin America Investment Fund, Inc.; and
The Portugal Fund, Inc.
3
<PAGE>
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
TOP TEN HOLDINGS (UNAUDITED)
<TABLE>
<CAPTION>
(as a % of net assets as of 6/30/99)
- -----------------------------------------------------------------------------------
<C> <S> <C>
1. GNMA 30-Year TBA 6.00%, 3/1/29.............................. 0.94%
2. Dr. Pepper Bottling Holdings, Inc., Class A................. 0.85%
3. Spanish Broadcasting System, Inc., 14.25%, Cum. Exchangeable
144A...................................................... 0.82%
4. Ainsworth Lumber Co. Ltd., Yankee Sr. Secured Notes, 12.50%,
7/15/07................................................... 0.81%
5. Meditrust Conv. Debentures 7.50%, 3/1/01.................... 0.75%
6. Advance Stores Co. Gtd. Sr. Sub. Notes 10.25%, 4/15/08...... 0.73%
7. Telewest Communications plc Yankee Sr. Sub. Discount Deb.
0.00%, 10/1/07............................................ 0.71%
8. Univision Network Holding L.P. Sub. Notes 7.00%, 12/17/02... 0.69%
9. Sprint Spectrum L.P./ Sprint Spectrum Finance Corp. Sr.
Notes 11.00%, 8/15/06..................................... 0.65%
10. Capstar Broadcasting Partners, Inc. Sr. Discount Notes
0.00%, 2/1/09............................................. 0.65%
</TABLE>
CREDIT QUALITY BREAKDOWN (UNAUDITED)
<TABLE>
<CAPTION>
(as a % of total investments as of 6/30/99)
- ------------------------------------------------------------------------------
<S> <C>
AAA/Aaa..................................................... 4.1%
AA/Aa....................................................... --
A/A......................................................... 0.9
BBB/Baa..................................................... 3.6
BB/Ba....................................................... 6.2
B/B......................................................... 48.6
CCC/Caa..................................................... 11.2
CC/Ca....................................................... 0.2
C/C......................................................... --
NR.......................................................... 15.5
-------
Subtotal.................................................. 90.3
Equities and Other.......................................... 9.7
-------
Total..................................................... 100.0%
-------
-------
</TABLE>
4
<PAGE>
PORTFOLIO OF INVESTMENTS (UNAUDITED)
- ---------
JUNE 30, 1999
<TABLE>
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
DOMESTIC SECURITIES (96.9%)
- -------------------------------------------------------------------------------------
- -----------------
CORPORATE OBLIGATIONS (83.6%)
- -------------------------------------------------------------------------------------
- -----------------
AEROSPACE/DEFENSE (0.7%)
Canadian Airlines Corp.
Sr. Notes
12.25%, 8/1/06 Caa2 $ 1,950 $ 814,125
(1) Decrane Aircraft Holdings
Sr. Sub. Notes
12.00%, 9/30/08 N/R 800 812,000
Wyman-Gordon Co.
Sr. Notes
8.00%, 12/15/07 Ba2 150 141,938
------------
GROUP TOTAL 1,768,063
------------
- -------------------------------------------------------------------------------------
- -----------------
AUTOMOTIVE (2.0%)
Aetna Industries, Inc.
Sr. Notes
11.875%, 10/1/06 B3 600 643,500
Autotote Corp.
Series B
10.875%, 8/1/04 B2 750 785,625
(1) Breed Technologies, Inc.
Gtd. Sr. Unsecured, Unsub.
Notes
9.25%, 4/15/08 Caa3 400 59,000
Cambridge Industries, Inc.
Series B,
Gtd. Sr. Sub. Notes
10.25%, 7/15/07 B3 500 408,750
Collins & Aikman Products,
Corp.
Sr. Sub. Notes
11.50%, 4/15/06 B3 550 558,250
Hayes Wheels, Inc. Series B,
Gtd. Sr. Notes
9.125%, 7/15/07 B2 500 502,500
Oxford Automotive, Inc.
Gtd. Sr. Sub. Notes:
10.125%, 6/15/07 Caa1 875 877,188
(1) 10.125%, 6/15/07 Caa1 500 501,250
Safety Components
International, Inc. Series B,
Gtd. Sr. Sub. Notes
10.125%, 7/15/07 B3 500 448,750
Stanadyne Automotive Series B,
Gtd. Sr. Sub. Notes
10.25%, 12/15/07 Caa1 400 347,000
------------
GROUP TOTAL 5,131,813
------------
- -------------------------------------------------------------------------------------
- -----------------
BROADCASTING (5.1%)
(2)(3) Australis Holdings Pty., Ltd.
Yankee Sr. Secured
Discount Notes
0.00%, 11/1/02 N/R 3,950 39,500
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
(2)(3) Australis Media Ltd.
Yankee Units
15.75%, 5/15/03 C $ 2,412 $ 12,060
(3) Capstar Broadcasting Partners,
Inc.
Sr. Discount Notes
0.00%, 2/1/09 N/R 2,000 1,690,000
(1) Chancellor Media Corp.
Sr. Sub. Notes
9.00%, 10/1/08 Ba3 500 510,000
Cumulus Media Inc.
Sr. Sub. Notes
10.375%, 7/1/08 B3 800 842,000
Digital Television Services,
L.L.C./DTS Capital, Inc.
Gtd. Sr. Sub. Notes
12.50%, 8/1/07 B3 750 837,187
(1)(3) EchoStar Communications Corp.
Gtd. Sr. Discount Notes
9.375%, 2/1/09 B2 850 867,000
Granite Broadcasting Corp.:
Series A, Sr. Sub. Notes
9.375%, 12/1/05 B3 300 297,000
Sr. Sub. Notes
8.875%, 5/15/08 B3 900 873,000
Pegasus Media &
Communications, Inc.
Series B, Notes
12.50%, 7/1/05 B2 250 274,375
SFX Broadcasting, Inc.
Series B, Sr. Sub. Notes
10.75%, 5/15/06 B3 427 464,362
Sinclair Broadcast Group,
Inc.:
Sr. Sub. Notes
10.00%, 9/30/05 B2 900 918,000
Gtd. Sr. Sub. Notes
8.75%, 12/15/07 B2 350 343,000
(3) Spanish Broadcasting System,
Inc.
Sr. Notes
7.50%, 6/15/02 B3 500 555,625
Time Warner Telecom, L.L.C.
Sr. Notes
9.75%, 7/15/08 B2 500 512,500
Turner Broadcasting Systems,
Inc.
Sr. Notes
7.40%, 2/1/04 Ba1 220 226,417
(3) United International Holdings,
Inc.
Series B, Sr. Discount Notes
0.00%, 2/15/08 B3 1,700 1,122,000
Univision Network Holding L.P.
Sub. Notes
7.00%, 12/17/02 N/R 1,500 1,807,500
</TABLE>
The accompanying notes are an integral part of the financial statements.
5
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
Young Broadcasting, Inc.:
Series B,
Gtd. Sr. Sub. Notes
9.00%, 1/15/06 B2 $ 300 $ 294,000
Sr. Sub. Notes
8.75%, 6/15/07 B2 865 839,050
------------
GROUP TOTAL 13,324,576
------------
- -------------------------------------------------------------------------------------
- -----------------
BUSINESS SERVICES (0.2%)
General Binding Corp.
Gtd. Sr. Sub. Notes
9.375%, 6/1/08 B2 250 236,562
Iron Mountain, Inc.
Sr. Sub. Notes
8.75%, 9/30/09 B3 200 197,500
------------
GROUP TOTAL 434,062
------------
- -------------------------------------------------------------------------------------
- -----------------
CABLE (9.3%)
(1)(3) Avalon Cable Holdings, Inc.
Units
0.00%, 12/1/08 Caa1 300 200,625
CSC Holdings, Inc.:
Sr. Sub. Notes
9.875%, 5/15/06 B1 400 428,000
Series B,
Sr. Sub. Debentures
8.125%, 8/15/09 Ba2 350 351,859
Sr. Sub. Debentures
9.875%, 2/15/13 B1 850 918,000
Century Communications Corp.:
Sr. Notes
9.75%, 2/15/02 Ba3 500 511,250
8.75%, 10/1/07 Ba3 400 396,000
(1) Classic Cable, Inc.
9.875%, 8/1/08 B3 700 724,500
Comcast Corp.:
Sr. Sub. Notes
9.375%, 5/15/05 Ba3 180 192,825
9.125%, 10/15/06 Ba3 750 798,285
(3) DIVA Systems Corp.
Series B, Sr. Discount Notes
12.625%, 3/1/08 N/A 2,775 936,562
(3) Diamond Cable Communications
plc
Yankee Discount Notes
0.00%, 12/15/05 Caa1 1,500 1,338,750
(3) Falcon Holdings Group,
L.P./Falcon Funding Corp.:
Sr. Debentures
8.375%, 4/15/10 B2 500 493,750
(3) Sr. Discount Debentures
0.00%, 4/15/10 B2 1,500 1,040,625
Helicon Group, L.P.
Series B, Sr. Secured Notes
11.00%, 11/1/03 B1 800 834,000
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
InterMedia Capital Partners IV
L.P./InterMedia Partners
Capital Corp.
Sr. Notes
11.25%, 8/1/06 B2 $ 650 $ 737,750
(3) International CableTelevision:
Series A, Sr. Notes
0.00%, 4/15/05 B3 1,000 945,000
Series B, Sr. Notes
0.00%, 2/1/06 B3 1,050 913,500
James Cable Partners L.P.
Series B, Sr. Notes
10.75%, 8/15/04 N/R 1,550 1,646,875
Jones Intercable, Inc.
Sr. Notes
7.625%, 4/15/08 Ba2 1,150 1,150,000
Lenfest Communications, Inc.:
Sr. Sub. Notes
8.375% 11/1/05 Ba3 500 522,215
Sr. Notes
10.50%, 6/15/06 B2 900 1,035,000
8.25%, 2/15/08 B2 200 210,500
NTL Communications Corp.:
Sr. Notes
11.50%, 10/1/08 B3 600 657,000
Series B, Sr. Notes
10.00%, 2/15/07 B3 500 517,500
(3) 0.00%, 10/1/08 B3 1,500 1,005,000
Northland Cable Television
Sr. Sub. Notes
10.25%, 11/15/07 N/R 500 522,500
Olympus Communications,
L.P./Olympus Capital Corp.
Series B, Sr. Notes
10.625%, 11/15/06 B1 1,000 1,087,500
OpTel, Inc.:
Series B, Sr. Notes
13.00%, 2/15/05 B3 500 390,000
11.50%, 7/1/08 B3 850 599,250
(3) Renaissance Media Group
Sr. Discount Notes
0.00%, 4/15/08 B3 1,000 700,000
Rogers Cablesystems, Ltd.
10.00%, 12/1/07 Ba3 450 483,750
Tele-Communications, Inc.
Series C, Medium Term Notes
6.34%, 2/1/02 Ba1 220 220,636
(3) Telewest Communications plc
Yankee Sr. Sub. Discount
Debentures
0.00%, 10/1/07 B1 2,100 1,869,000
------------
GROUP TOTAL 24,378,007
------------
- -------------------------------------------------------------------------------------
- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
6
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
CHEMICALS (1.8%)
Applied Extrusion Technologies
Series B, Sr. Notes
11.50%, 4/1/02 B2 $ 1,500 $ 1,530,000
Huntsman Corp.
Sr. Sub. Notes
9.50%, 7/1/07 B2 400 383,000
Huntsman Polymers Corp.
Sr. Notes
11.75%, 12/1/04 B1 1,000 1,085,000
(1) Lyondell Chemical Co.
Series B,
Gtd. Sr. Secured Notes
9.875%, 5/1/07 Ba3 500 508,750
NL Industries, Inc.
Sr. Secured Notes
11.75%, 10/15/03 B1 250 265,000
(3) Sterling Chemical Holdings,
Inc.
Sr. Secured Discount Notes
0.00%, 8/15/08 Caa1 1,000 300,000
Sterling Chemicals, Inc.
Sr. Sub. Notes
11.75%, 8/15/06 B3 334 256,345
Texas Petrochemical Corp.
Series B, Sr. Sub. Notes
11.125%, 7/1/06 N/R 350 316,750
------------
GROUP TOTAL 4,644,845
------------
- -------------------------------------------------------------------------------------
- -----------------
CONSTRUCTION & BUILDING MATERIALS (1.4%)
AFC Enterprises
Sr. Sub. Notes
10.25%, 5/15/07 N/R 400 408,000
American Architectural
Products Corp.
Gtd. Sr. Notes
11.75%, 12/01/07 Caa1 1,150 871,125
(1) Building One Services
Sr. Sub. Notes
10.50%, 5/1/09 B2 500 473,750
Collins & Aikman Floor
Coverings, Inc.
Series B, Sr. Sub. Notes
10.00%, 1/15/07 B3 1,000 1,010,000
International Utility
Structures, Inc.
Sr. Sub. Notes
10.75%, 2/1/08 Caa1 500 502,500
(3) Waxman Industries, Inc.
Series B, Sr. Secured
Deferred Notes
0.00%, 6/1/04 Caa1 600 315,000
------------
GROUP TOTAL 3,580,375
------------
- -------------------------------------------------------------------------------------
- -----------------
CONSUMER PRODUCTS & SERVICES (2.7%)
(3) Coinstar, Inc.
Sr. Discount Notes
0.00%, 10/1/06 Caa1 1,700 1,676,625
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
Doskocil Manufacturing Co.,
Inc.
Gtd. Sr. Sub. Notes
10.125%, 9/15/07 B3 $ 500 $ 308,750
Fort James Corp.
Sr. Notes
6.234%, 3/15/01 Baa3 155 153,597
Holmes Products Corp.
Gtd. Sr. Sub. Notes
9.875%, 11/15/07 B3 800 768,000
Indesco International, Inc.
Gtd. Sr. Sub. Notes
9.75%, 4/15/08 B3 600 394,500
Jordan Industries, Inc.
Series B, Sr. Notes
10.375%, 8/1/07 B3 1,150 1,164,375
(3) Knology Holdings, Inc.
Sr. Discount Notes
0.00%, 10/15/07 N/R 1,000 605,000
Packaged Ice, Inc.
Gtd. Sr. Notes
9.75%, 2/1/05 B3 100 99,875
Playtex Products, Inc.
Series B, Gtd. Sr. Notes
8.875%, 7/15/04 B1 225 227,813
Revlon Consumer Products
Sr. Sub. Notes
8.625%, 2/1/08 B3 700 661,500
Sealy Mattress Co.
Gtd. Sr. Sub. Notes
9.875%, 12/15/07 B3 200 200,250
(3) United Rentals, Inc.
Sr. Sub. Notes
9.25%, 1/15/09 B1 750 744,375
------------
GROUP TOTAL 7,004,660
------------
- -------------------------------------------------------------------------------------
- -----------------
ELECTRONICS (1.2%)
(1) Condor Systems, Inc.
Gtd. Sr. Sub. Notes
11.875%, 5/1/09 B3 400 386,000
Details, Inc.
Series B, Sr. Sub Notes
10.00%, 11/15/05 B3 500 475,000
(1) Rhythms Netconnections
Sr. Notes
12.75%, 4/15/09 N/R 300 282,000
Unisys Corp.:
Series B, Sr. Notes
12.00%, 4/15/03 B1 1,000 1,092,500
Sr. Notes
11.75% 10/15/04 B1 225 249,750
7.875%, 4/1/08 B1 250 253,750
Viasystems, Inc.:
Sr. Sub. Notes
9.75%, 6/1/07 B3 300 262,500
Series B, Sr. Sub. Notes
9.75%, 6/1/07 B3 150 131,250
------------
GROUP TOTAL 3,132,750
------------
- -------------------------------------------------------------------------------------
- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
7
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
ENERGY (4.6%)
Abraxas Petroleum Corp.
Series D, Sr. Notes
11.50%, 11/1/04 B2 $ 1,550 $ 972,625
Belden & Blake Energy Co.
Series B, Gtd. Sr. Sub.
Notes
9.875%, 6/15/07 B3 200 152,500
Bellwether Exploration Co.
Gtd. Sr. Sub. Notes
10.875%, 4/1/07 B3 1,250 1,196,875
(1) Canadian Forest Oil Ltd.
Gtd. Sr. Sub. Notes
8.75%, 9/15/07 B2 450 430,875
Cliffs Drilling Co.
Series D,
Gtd. Sr. Notes
10.25%, 5/15/03 B1 1,100 1,072,500
Cogentrix Energy, Inc.
Gtd. Unsecured Notes
8.75%, 10/15/08 Ba1 1,000 1,012,500
Continental Resources
Gtd. Sr. Notes
10.25%, 8/1/08 B3 250 186,875
(2) Dailey International, Inc.
Series B, Gtd. Sr. Notes
9.50%, 2/15/08 Ca 750 485,625
First Wave Marine, Inc.
Gtd. Sr. Notes
11.00%, 2/1/08 B3 1,000 943,750
Giant Industries, Inc.
Gtd. Sr. Sub. Notes
9.00%, 9/1/07 B2 500 477,500
Gothic Production Corp.
Series B,
Gtd. Sr. Secured Notes
11.125%, 5/1/05 B3 250 221,875
H.S. Resources, Inc.:
Sr. Sub. Notes
9.875%, 12/1/03 B2 500 500,000
Gtd. Sr. Sub Notes
9.25%, 11/15/06 B2 600 591,000
Kelley Oil & Gas Corp.
Sr. Secured Notes
14.00%, 4/15/03 B3 750 762,187
(1) Key Energy Services, Inc.
Sr. Sub. Notes
14.00%, 1/15/09 B3 1,250 1,284,375
Korea Electric Power
Yankee Unsecured Debentures
7.00%, 2/1/27 Baa3 240 221,218
Parker Drilling Co.
Series D, Gtd. Sr. Notes
9.75%, 11/15/06 B1 300 277,500
Plains Resources, Inc.
Series B, Gtd. Sr. Sub.
Notes
10.25%, 3/15/06 B2 375 378,750
(1) Southwest Royalties, Inc.
Series B, Gtd. Sr. Notes
10.50%, 10/15/04 B3 500 238,750
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
TransAmerican Energy
Series B, Sr. Secured
Notes
11.50%, 6/15/02 B3 $ 450 $ 42,750
(1) Valero Energy Bonds
6.75%, 12/15/02 Baa3 185 180,795
Wiser Oil Co.
Gtd. Sr. Sub. Notes
9.50%, 5/15/07 B2 450 373,500
------------
GROUP TOTAL 12,004,325
------------
- -------------------------------------------------------------------------------------
- -----------------
ENTERTAINMENT (3.0%)
American Skiing Co.
Series B, Sr. Sub. Notes
12.00%, 7/15/06 B3 425 338,937
Bally Total Fitness Holdings
Series D, Sr. Sub. Notes
9.875%, 10/15/07 B3 350 339,500
Booth Creek Ski Holdings, Inc.
Series B, Sr. Sub. Notes
12.50%, 3/15/07 Caa1 1,000 887,500
Cinemark U.S.A., Inc.
Series D, Sr. Sub. Notes
9.625%, 8/1/08 B2 250 248,125
Genmar Holdings, Inc.
Series A, Sr. Sub. Notes
13.50%, 7/15/01 Caa2 500 500,000
(2) ICON Health & Fitness, Inc.
Series B, Sr. Sub. Notes
13.00%, 7/15/02 B3 500 343,750
(3) IHF Holdings, Inc.
Series B, Sr. Sec.
Discount Notes
0.00%, 11/15/04 Caa2 1,450 174,000
Loews Cineplex
Sr. Sub. Notes
8.875%, 8/1/08 B3 900 859,500
(1) Majestic Star Casino, L.L.C.
Secured Notes
10.875%, 7/1/06 B2 400 406,000
(1) Outboard Marine Corp.
Series B, Gtd. Sr. Notes
10.75%, 6/1/08 B3 500 343,750
(1)(2) Premier Cruises, Ltd.
Gtd. Sr. Notes
11.00%, 3/15/08 B3 900 267,750
(1) Production Resource Group,
L.L.C./PRG Finance Group
Gtd. Sr. Sub. Notes
11.50%, 1/15/08 Caa2 750 755,625
Regal Cinemas, Inc.
Sr. Sub. Notes
9.50%, 6/1/08 B3 1,050 987,000
Silver Cinemas, Inc.
Sr. Sub. Notes
10.50%, 4/15/05 Caa1 1,900 847,875
</TABLE>
The accompanying notes are an integral part of the financial statements.
8
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
Time Warner, Inc.:
Notes
8.11%, 8/15/06 Baa3 $ 60 $ 63,000
Debentures
7.48%, 1/15/08 Ba1 170 173,825
6.85%, 1/15/26 Ba1 370 367,884
------------
GROUP TOTAL 7,904,021
------------
- -------------------------------------------------------------------------------------
- -----------------
FINANCIAL SERVICES (1.5%)
AT&T Capital Corp.:
Series 4, Medium Term
Notes
6.47%, 12/3/99 Baa3 60 60,143
Series F, Gtd. Unsecured
Medium Term Notes,
6.875%, 1/16/01 Baa3 200 200,750
Associates Corp. of
North America
Sr. Debentures
5.96%, 5/15/37 Aa3 350 351,225
BankBoston
Mortgage Inc.
6.375%, 4/15/08 A2 135 128,990
BellSouth Capital Funding
Corp.
Debentures
6.04%, 11/15/26 Aa1 250 248,715
Chase Manhattan Corp.
Sub. Notes
6.375%, 4/1/08 A1 220 210,100
Citicorp
Series F, Sub. Notes
6.375%, 11/15/08 A1 290 275,114
Ford Motor Credit Co.
Sr. Notes
5.80%, 1/12/09 A1 280 255,892
Lehman Brothers Holdings
Series F, Medium Term
Notes Baa1 80 79,500
7.00%, 5/15/03
6.625%, 4/1/04 Baa1 60 58,725
Long Island Savings Bank
F.S.B.
Notes
7.00%, 6/13/02 Baa3 770 773,311
National Westminster Bank
Debentures
9.375%, 11/15/03 Aa3 95 104,883
(1) Prudential Insurance Co.
Sr. Notes
6.375%, 7/23/06 A2 200 194,872
(3) PTC International Finance B.V.
Gtd. Sr. Sub. Notes
0.00%, 7/1/07 B3 350 255,063
Sumitomo Bank
Notes
8.50%, 6/15/09 Baa1 100 100,250
(2) Westfed Holdings
Sr. Debentures
15.50%, 9/15/99 N/R 1,750 612,500
------------
GROUP TOTAL 3,910,033
------------
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
FOOD & BEVERAGES (1.8%)
AmeriServ Food
Distribution, Inc.
Gtd. Sr. Notes
8.875%, 10/15/06 B1 $ 500 $ 455,000
Archibald Candy Corp.
Gtd. Sr. Secured Notes
10.25%, 7/1/04 B2 1,000 1,010,000
Eagle Family Foods
Series B,
Gtd. Sr. Notes
8.75%, 1/15/08 B3 450 400,500
Fleming Companies, Inc.
Sr. Sub. Notes
10.50%, 12/1/04 B3 700 665,000
Hollinger International
Publishing
Gtd. Sr. Notes
9.25%, 3/15/07 B1 1,000 1,022,500
International Home
Foods, Inc.
Gtd. Sr. Sub. Notes
10.375%, 11/1/06 B2 1,000 1,067,500
------------
GROUP TOTAL 4,620,500
------------
- -------------------------------------------------------------------------------------
- -----------------
HEALTH CARE (1.7%)
(1) ICN Pharmaceutical
Sr. Notes
8.75%, 11/15/08 Ba3 500 501,250
Integrated Health Services,
Inc.:
Series A, Sr. Sub. Notes
10.25%, 4/30/06 B2 400 304,000
Sr. Sub. Notes
9.25%, 1/15/08 B2 100 71,750
Meditrust
Conv. Debentures
7.50%, 3/1/01 Baa3 2,000 1,950,000
Merck & Co.
Series B, Medium Term
Notes
5.76%, 5/3/37 Aaa 500 501,365
(1) Oxford Health Plans
Sr. Notes
11.00%, 5/15/05 Caa1 590 613,600
Paracelsus Healthcare
Sr. Sub. Notes
10.00%, 8/15/06 B3 750 585,000
(2) Vencor Operating, Inc.
Gtd. Sr. Sub. Notes
9.875%, 5/1/05 B3 150 31,125
------------
GROUP TOTAL 4,558,090
------------
- -------------------------------------------------------------------------------------
- -----------------
INDUSTRIAL GOODS & MATERIALS (4.7%)
AMTROL Acquisition, Inc.
Sr. Sub. Notes
10.625%, 12/31/06 B3 400 395,500
APCOA, Inc.
Gtd. Sr. Notes
9.25%, 3/15/08 Caa1 430 400,438
</TABLE>
The accompanying notes are an integral part of the financial statements.
9
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
Atlantis Group, Inc.
Sr. Notes
11.00%, 2/15/03 B2 $ 585 $ 590,850
CLARK Material Handling
Co.
Gtd. Sr. Notes
10.75%, 11/15/06 B1 550 488,125
Delco Remy
International, Inc.
Gtd. Sr. Sub. Notes
10.625%, 8/1/06 B2 600 618,000
(1) Diamond Triumph
Sr. Notes
9.25%, 4/1/08 B2 500 497,500
Golden Ocean Group, Ltd.
Gtd. Sr. Notes
10.00%, 8/31/01 B3 1,548 243,810
(1) Hayes Lemmerz
International, Inc.
Gtd. Sr. Notes
8.25%, 12/15/08 B2 750 712,500
Haynes International, Inc.
Sr. Notes
11.625%, 9/1/04 B3 500 475,000
International Knife &
Saw, Inc.
Sr. Sub. Notes
11.375%, 11/15/06 B3 750 738,750
K N Energy, Inc.
Notes
6.30%, 3/1/01 Baa2 270 269,072
Motors & Gears, Inc.
Series D, Sr. Notes
10.75%, 11/15/06 B3 1,500 1,522,500
Neenah Corp.
Series B, Sr. Sub. Notes
11.125%, 5/1/07 B3 500 494,375
PSINET, Inc.
Sr. Notes
11.50%, 11/1/08 B3 1,000 1,050,000
Park-Ohio Industries, Inc.
Sr. Sub. Notes
9.25%, 12/1/07 B2 400 400,000
SRI Receivables Purchase
Co., Inc.
Series B, Notes
12.50%, 12/15/00 N/R 1,500 1,485,000
Seagate Technology, Inc.
Sr. Debentures
7.45%, 3/1/37 Baa3 120 112,018
(3) Thermadyne Manufacturing,
L.L.C./
Thermadyne Capital
Corp.
Gtd. Sr. Sub. Notes
0.00%, 6/1/08 B3 975 474,094
Thermadyne Holdings
Corp.
Sr. Discount Notes
9.875%, 6/1/08 Caa1 300 280,125
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
(1) Transportation Manufacturing
Operations
Sr. Sub. Notes
11.25%, 5/1/09 B2 $ 1,000 $ 997,500
------------
GROUP TOTAL 12,245,157
------------
- -------------------------------------------------------------------------------------
- -----------------
METALS & MINING (3.4%)
Algoma Steel, Inc.
Yankee First Mortgage
Notes
12.375%, 7/15/05 B1 1,000 970,000
Bayou Steel Corp.
First Mortgage Notes
9.50%, 5/15/08 B1 500 488,750
GS Technologies Operations
Gtd. Sr. Notes
12.00%, 9/1/04 B2 525 464,625
Gulf States Steel, Inc.
First Mortgage Notes
13.50%, 4/15/03 B1 1,050 189,000
Kaiser Aluminum & Chemical
Corp.
Series D, Sr. Notes
10.875%, 10/15/06 B1 675 703,688
Lodestar Holdings, Inc.
Sr. Notes
11.50%, 5/15/05 Caa2 800 621,000
Metallurg, Inc.
Series B, First Mortgage
Gtd. Sr. Notes
11.00%, 12/1/07 B3 750 733,125
National Steel Corp.
Series D
First Mortgage Bonds
9.875%, 3/1/09 Ba3 750 761,250
Republic Engineered
Steel, Inc.
First Mortgage Bonds
9.875%, 12/15/01 Caa1 1,135 1,137,837
Sheffield Steel Corp.
Series B, First Mortgage
Bonds
11.50%, 12/1/05 Caa2 750 710,625
WCI Steel, Inc.
Series B,
Sr. Secured Notes
10.00%, 12/1/04 B2 925 941,188
Weirton Steel Corp.
Sr. Notes
11.375%, 7/1/04 B2 500 490,000
Wheeling-Pittsburg Corp.
Sr. Notes
9.25%, 11/15/07 B2 750 720,000
------------
GROUP TOTAL 8,931,088
------------
- -------------------------------------------------------------------------------------
- -----------------
PACKAGING/CONTAINERS (1.2%)
AEP Industries, Inc.
Sr. Sub. Notes
9.875%, 11/15/07 B2 250 250,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
10
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
BPC Holding Corp.
Series B,
Sr. Secured Notes
12.50%, 6/15/06 Caa3 $ 900 $ 936,000
Container Corp. of America
Gtd. Sr. Notes
9.75%, 4/1/03 B1 500 517,500
(3) Crown Packaging
Enterprises Ltd.
Yankee Sr. Secured
Discount Notes
0.00%, 8/1/06 Ca1 2,450 36,750
Gaylord Container Corp.
Series B, Sr. Notes
9.75%, 6/15/07 B3 700 670,250
Radnor Holdings, Inc.
Series B,
Gtd. Sr. Notes
10.00%, 12/1/03 B2 250 251,250
(1) Stone Container Finance Co.
Yankee Gtd. Sr. Notes
11.50%, 8/15/06 B2 530 571,075
------------
GROUP TOTAL 3,232,825
------------
- -------------------------------------------------------------------------------------
- -----------------
PAPER & FOREST PRODUCTS (2.8%)
Ainsworth Lumber Co., Ltd.
Yankee Sr. Secured Notes
12.50%, 7/15/07 B3 1,900 2,113,750
Color Spot Nurseries
Sr. Sub. Notes
10.50%, 12/15/07 Caa1 1,000 747,500
Crown Paper Co.
Sr. Sub. Notes
11.00%, 9/1/05 B3 550 363,000
Malette, Inc.
Yankee Sr. Secured
Debentures
12.25%, 7/15/04 Ba3 555 591,075
QUNO Corp.
Yankee Sr. Notes
9.125%, 5/15/05 Baa3 315 334,461
Repap New Brunswick, Inc.
Sr. Secured Debentures
10.625%, 4/15/05 B3 700 535,500
Riverwood
International Corp.
Gtd. Sr. Notes
10.875%, 4/1/08 Caa1 600 582,000
SD Warren Co.:
Series B, Sr. Sub. Notes
12.00%, 12/15/04 B1 1,000 1,080,000
Debentures
14.00%, 12/15/06 N/A 995 1,118,952
------------
GROUP TOTAL 7,466,238
------------
- -------------------------------------------------------------------------------------
- -----------------
PUBLISHING & INFORMATION SERVICES (2.6%)
American Lawyer Media
Holdings, Inc.
Gtd. Sr. Notes
9.75%, 12/15/07 B1 450 464,062
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
Ampex Corp.
Series B, Sr. Notes
12.00%, 3/15/03 N/R $ 750 $ 780,000
Belo (A.H.) Corp.
Sr. Notes
6.875%, 6/1/02 Baa2 250 250,625
(1)(3) InterAct Systems, Inc.
Sr. Discount Notes
0.00%, 8/1/03 N/R 950 350,313
Lamar Advertising Co.
Gtd. Sr. Sub. Notes
9.625%, 12/1/06 B1 250 255,000
Level 3 Communication, Inc.:
Sr. Notes
9.125%, 5/1/08 B3 1,250 1,229,688
(3) Sr. Discount Notes
0.00%, 12/1/08 B3 1,000 616,250
(3) Liberty Group
Publishing, Inc.
Sr. Discount Debentures
0.00%, 2/1/09 Caa1 600 324,000
Mentus Media Corp.
Units
12.00%, 2/1/03 N/R 1,508 980,200
Printpack, Inc.
Series B, Sr. Sub. Notes
10.625%, 8/15/06 Caa1 300 288,750
Tri-State Outdoor Media
Sr. Notes
11.00%, 5/15/08 N/R 850 862,750
(1) TV Guide, Inc.
Sr. Sub. Notes
8.125%, 3/1/09 Ba3 500 473,750
------------
GROUP TOTAL 6,875,388
------------
- -------------------------------------------------------------------------------------
- -----------------
REAL ESTATE (0.0%)
EOP Operating, L.P.
Sr. Notes
6.375%, 2/15/03 Baa1 65 62,400
------------
- -------------------------------------------------------------------------------------
- -----------------
RESTAURANTS, HOTELS & GAMING (6.3%)
American Restaurant
Group, Inc.
Gtd. Sr. Secured Notes
11.50%, 2/15/03 B3 750 676,875
AmeriKing, Inc.
Sr. Notes
10.75%, 12/1/06 B3 250 264,375
(1) Aztar Corp.
Sr. Sub. Notes
8.875%, 5/15/07 B1 500 478,750
Bluegreen Corp.
Gtd. Sr. Secured Notes
10.50%, 4/1/08 B3 1,000 887,500
Boyd Gaming Corp.
Sr. Sub. Notes
9.50%, 7/15/07 B1 150 148,500
CapStar Hotel Co.
Sr. Sub. Notes
8.75%, 8/15/07 B1 375 348,750
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
Casino Magic of Louisiana
Corp.
Series B, Gtd. First
Mortgage Notes
13.00%, 8/15/03 B3 $ 1,300 $ 1,491,750
Colorado Gaming &
Entertainment Co.
Gtd. Sr. Notes
12.00%, 6/1/03 N/R 1,480 1,495,174
Friendly Ice Cream Corp.
Gtd. Sr. Notes
10.50%, 12/1/07 B1 800 710,000
HMH Properties
Series B,
Gtd. Sr. Notes
7.875%, 8/1/08 Ba2 500 458,750
Hard Rock Hotel, Inc.
Sr. Sub. Notes
9.25%, 4/1/05 B3 1,400 1,316,000
Hollywood Park, Inc.
Series B,
Gtd. Sr. Sub. Notes
9.50%, 8/1/07 B2 675 669,937
Horseshoe Gaming Hldg.
Series B, Sr. Sub. Notes
9.375%, 6/15/07 B3 1,350 1,370,250
(1) Sr. Sub Notes
8.625%, 5/15/09 B2 750 725,625
(1) Isle of Capri Casinos, Inc.
Sr. Sub. Note
8.75%, 4/15/09 B3 350 328,125
Mohegan Tribal Gaming
Authority, Sr. Notes
8.125%, 1/1/06 Ba1 900 879,750
Prime Hospitality Corp.
Secured First Mortgage
Notes
9.25%, 1/15/06 Ba2 850 856,375
Red Roof Inns, Inc.
Sr. Exchange Notes
9.625%, 12/15/03 B2 700 708,750
Romacorp Inc.
Sr. Notes
12.00%, 7/1/06 B3 750 730,313
Sante Fe Hotel, Inc.
Gtd. First Mortgage
Notes
11.00%, 12/15/00 Caa2 554 526,300
Station Casinos
Sr. Sub. Notes
9.75%, 4/15/07 B2 1,400 1,428,000
------------
GROUP TOTAL 16,499,849
------------
- -------------------------------------------------------------------------------------
- -----------------
RETAIL (4.4%)
(3) Advance Holdings Corp. Series
B, Sr. Discount Debentures
0.00%, 4/15/09 Caa2 1,500 845,625
Advance Stores Co. Gtd. Sr.
Sub. Notes
10.25%, 4/15/08 Caa1 2,000 1,920,000
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
(1)(2) County Seat Stores, Inc. Units
12.75%, 11/1/04 N/R $ 1,100 $ 110,000
Dairy Mart Convenience Stores,
Inc.
Sr. Sub. Notes
10.25%, 3/15/04 B3 275 257,812
Finlay Enterprises, Inc.
Sr. Debentures
9.00%, 5/1/08 B2 400 393,500
Finlay Fine Jewelry Corp.
Gtd. Sr. Notes
8.375%, 5/1/08 Ba3 1,200 1,176,000
(1)(3) Golden Sky, Inc.
Sr. Discount Notes
0.00%, 3/1/07 Caa1 250 150,313
Jitney-Jungle Stores of
America, Inc.:
Gtd. Sr. Notes
12.00%, 3/1/06 B2 750 615,000
Gtd. Sr. Sub. Notes
10.375%, 9/15/07 B3 300 105,000
(1) Jo-Ann Stores, Inc.
Sr. Sub. Notes,
10.375%, 5/1/07 B2 500 490,000
K Mart Corp.
Debentures
7.75%, 10/1/12 Ba2 1,175 1,180,875
(3) Mrs. Fields Holding Co.
Units
0.00%, 12/1/05 Caa2 1,750 848,750
Mrs. Fields Original Cookies,
Inc.:
Gtd. Sr. Notes
10.125%, 12/1/04 N/R 1,400 1,288,000
(1) 10.125%, 12/1/04 B2 250 230,000
Pantry, Inc.
Sr. Sub. Notes
10.25%, 10/15/07 B3 550 561,000
Pathmark Stores, Inc.
Sr. Sub. Notes
9.625%, 5/1/03 Caa1 850 867,000
(1) Simmons Co.
Sr. Sub. Notes
10.25%, 3/15/09 B3 650 661,375
------------
GROUP TOTAL 11,700,250
------------
- -------------------------------------------------------------------------------------
- -----------------
TELECOMMUNICATIONS (18.1%)
Adelphia Communications Corp.
Sr. Notes
7.875%, 5/1/09 B1 200 185,500
Series B, Sr. Notes
8.375%, 2/1/08 B3 800 792,000
(3) COLT Telecom Group plc
Yankee Units
0.00%, 12/15/06 B1 400 352,000
(3) Call-Net Enterprises, Inc.
Sr. Discount Notes
Zero Coupon, 5/15/09 B2 500 276,875
</TABLE>
The accompanying notes are an integral part of the financial statements.
12
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
Century Communications, Inc.
Series B
Zero Coupon, 1/15/08 Ba3 $ 650 $ 286,000
(1) Charter Communications
Holdings:
Sr. Notes
8.625%, 4/1/09 B2 1,000 960,000
(3) Sr. Discount Notes
0.00%, 4/1/11 B3 1,000 621,250
(3) Clearnet
Communications, Inc.
Yankee Sr. Discount Notes
0.00%, 12/15/05 B3 1,050 955,500
Comcast Cellular Holdings
Series B, Sr. Notes
9.50%, 5/1/07 Ba3 700 780,500
(1) Concentric Network Corp.
Units
12.75%, 12/15/07 N/R 750 774,375
Coaxial Communications, Inc.
Gtd. Sr. Notes
10.00%, 8/15/06 B3 900 938,250
(3) DTI Holdings, Inc.
Units
0.00%, 3/1/08 N/R 1,850 675,250
Dobson/Sygnet Communications
Co.
Sr. Notes
12.25%, 12/15/08 N/R 1,300 1,374,750
(3) Dolphin Telecom plc:
Sr. Discount notes
0.00%, 6/1/08 Caa1 750 375,000
(1) 0.00%, 5/15/09 Caa1 700 345,625
(3) e. spire Communications, Inc.
Sr. Discount Notes
0.00%, 11/1/05 N/R 2,950 1,563,500
(3) Econophone, Inc.
Sr. Notes
0.00%, 2/15/08 N/R 1,600 892,000
Exodus Communications, Inc.
Sr. Notes
11.25%, 7/1/08 N/R 700 728,000
(3) Focal Communications Corp.
Sr. Discount Notes
0.00%, 2/15/08 N/R 1,400 770,000
(3) GST USA, Inc.
Gtd. Sr. Discount Notes
0.00%, 12/15/05 N/R 1,800 1,482,750
Global Crossing Holdings Ltd.
Gtd. Sr. Notes
9.625%, 5/15/08 N/R 1,150 1,242,000
Globalstar, L.P. / Globalstar
Capital Corp.:
Sr. Notes
11.25%, 6/15/04 B3 500 343,750
10.75%, 11/1/04 B3 1,000 667,500
11.50%, 6/1/05 Caa1 200 132,000
Globix Corp.
Sr. Notes
13.00%, 5/1/05 N/R 1,000 950,000
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
(3) Hyperion
Telecommunications, Inc.
Series B,
Sr. Discount Notes
0.00%, 4/15/03 B3 $ 450 $ 371,250
(3) ICG Holdings, Inc.:
Gtd. Sr. Exchange
Discount Notes
0.00%, 9/15/05 N/R 650 572,000
0.00%, 5/1/06 N/R 600 480,000
Gtd. Sr. Discount Notes
0.00%, 3/15/07 N/R 1,750 1,207,500
(3) ICG Services, Inc.:
Sr. Discount Notes
0.00%, 2/15/08 N/R 500 270,000
0.00%, 5/1/08 N/R 1,350 715,500
ITC DeltaCom, Inc.
Sr. Notes
11.00%, 6/1/07 B2 259 278,425
Intermedia Communications,
Inc.
Sr. Notes
8.875%, 11/1/07 B2 200 183,500
Jacor Communications, Inc.
Gtd. Sr. Sub. Notes
8.00%, 2/15/10 B2 250 259,687
Jordan Telecommunications
Products, Inc.:
Series B, Sr. Notes
9.875%, 8/1/07 N/R 270 264,262
(3) Series B, Sr. Discount Notes
0.00%, 8/1/07 B3 425 362,312
Logix Communications
Enterprises
Sr. Notes
12.25%, 6/15/08 N/R 1,000 938,750
MCI Worldcom, Inc.
Sr. Unsecured Notes
6.50%, 4/15/10 Baa2 125 119,687
McCaw International, Ltd.
Sr. Discount Notes
13.00%, 4/15/07 Caa1 900 531,000
McLeod USA, Inc.:
Sr. Discount Notes
(3) 0.00%, 3/1/07 B2 800 614,000
Sr. Notes
9.25%, 7/15/07 B2 400 397,000
9.50%, 11/1/08 B2 1,000 1,002,500
MetroNet Communications Corp.:
Sr. Discount Notes
10.75%, 11/1/07 B 1,100 882,750
(3) 0.00%, 6/15/08 B3 1,000 743,750
Microcell Telecommunications,
Inc.
Series B, Yankee
Sr. Discount Notes
14.00%, 6/1/06 B3 270 218,700
(3) Millicom International
Cellular
Yankee Sr. Sub.
Discount Notes
0.00%, 6/1/06 Caa1 850 627,938
</TABLE>
The accompanying notes are an integral part of the financial statements.
13
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
(3) NEXTLINK Communications, Inc.:
0.00%, 4/15/08 B3 $ 1,700 $ 1,020,000
Sr. Notes
12.50%, 4/15/06 B3 350 374,500
10.75%, 11/15/08 B3 500 510,000
(3) Nextel Communications, Inc.
Sr. Discount Notes
0.00%, 2/15/08 B2 1,700 1,173,000
Orbital Imaging Corp.
Series B, Sr. Notes
11.625%, 3/1/05 N/R 500 455,625
Orion Network Systems, Inc.
Gtd. Sr. Notes
11.25%, 1/15/07 B2 500 418,750
(3) PLD Telekom, Inc.
Yankee Gtd. Sr. Notes
14.00%, 6/1/04 N/R 1,610 885,500
(3) Pagemart Nationwide, Inc.
Sr. Discount Notes
0.00%, 2/1/05 B3 1,750 1,502,813
(1) Petersburg Long Distance, Inc.
Conv. Sub. Notes
9.00%, 6/1/06 N/R 230 92,000
(3) Qwest Communications
International, Inc.
Sr. Discount Notes
0.00%, 10/15/07 B2 1,100 845,625
(3) RCN Corp.
Series B,
Sr. Discount Notes
0.00%, 2/15/08 B3 900 570,375
RSL Communications:
Yankee Gtd. Sr. Notes
9.125%, 3/1/08 B3 250 228,125
10.50%, 11/15/08 B3 250 246,250
9.875%, 11/15/09 B2 1,100 1,042,250
(3) Rhythms Netconnections Units
0.00%, 5/15/08 N/R 1,500 798,750
Rogers Cablesystems Ltd.
Series B,
Yankee Sr. Secured 2nd
Priority Notes
10.00%, 3/15/05 Ba3 250 267,500
Rogers Cantel, Inc.
Yankee Sr. Secured Debentures
9.375%, 6/1/08 Ba3 350 362,250
Sprint Spectrum L.P./
Sprint Spectrum Finance Corp.
Sr. Notes
11.00%, 8/15/06 B2 1,500 1,702,230
Star Choice Communications,
Inc.
Sr. Notes
13.00%, 12/15/05 N/R 500 508,750
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
Startec Global
Communications Corp. Units
12.00%, 5/15/08 N/R $ 750 $ 673,125
TCI Communications, Inc.
Sr. Notes
6.375%, 5/1/03 A2 130 128,862
Telesystem International
Wireless
Series B
Sr. Discount Notes
13.25%, 6/30/07 Caa1 500 264,375
Teligent, Inc.
Sr. Notes
11.50%, 12/1/07 Caa1 750 738,750
(1)(3) Tritel PCS, Inc.
Sr. Discount Notes
0.00%, 5/15/09 B3 500 271,875
(3) USN Communications, Inc.
Units
0.00%, 8/15/04 Caa1 8 0
(1) Viatel, Inc.
Sr. Notes
11.25%, 4/15/08 Caa1 850 854,250
Western Wireless Corp.
Sr. Sub. Notes
10.50%, 2/1/07 B3 350 377,562
(3) Winstar Communications, Inc.
Sr. Discount Notes
0.00%, 10/15/05 Caa1 1,600 1,404,000
WorldCom, Inc.
Sr. Notes
8.875%, 1/15/06 Baa2 160 170,339
------------
GROUP TOTAL 47,392,317
------------
- -------------------------------------------------------------------------------------
- -----------------
TEXTILES/APPAREL (1.3%)
Iron Age Corp.
Sr. Sub. Notes
9.875%, 5/1/08 B3 250 189,375
Maxim Group, Inc.
Series B,
Gtd. Sr. Sub. Notes
9.25%, 10/15/07 B2 700 686,000
Phillips-Van-Heusen Corp.
Sr. Sub. Notes
9.50%, 5/1/08 B1 800 801,000
Pillowtex Corp.
Gtd. Sr. Sub. Notes
10.00%, 11/15/06 B2 500 497,500
Tropical Sportswear
International
Series A,
Gtd. Sr. Notes
11.00%, 6/15/08 B3 600 624,000
William Carter Co.
Series A, Sr. Sub. Notes
10.375%, 12/1/06 B3 500 523,750
------------
GROUP TOTAL 3,321,625
------------
- -------------------------------------------------------------------------------------
- -----------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
14
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
TRANSPORTATION (1.3%)
AirTran Airlines, Inc.
Sr. Notes
10.50%, 4/15/01 N/R $ 1,000 $ 972,500
Hermes Europe Railtel B.V.
Sr. Notes
11.50%, 8/15/07 B3 1,000 1,047,500
Norfolk Southern Corp.
Notes
7.05%, 5/1/37 Baa1 285 289,611
Norfolk Southern Corp.:
Series A, Medium Term Note
7.40%, 9/15/06 Baa1 40 40,800
Bonds
7.70%, 5/15/17 Baa1 75 77,344
Pegasus Shipping (Hellas),
Ltd.
Series A, First Preferred
Ship Mortgage Notes
11.875%, 11/15/04 B3 300 191,250
Trans World Airlines, Inc.
Sr. Notes
11.375%, 3/1/06 Caa1 1,500 768,750
------------
GROUP TOTAL 3,387,755
------------
- -------------------------------------------------------------------------------------
- -----------------
WASTE MANAGEMENT (0.5%)
(1) Waste Systems
International, Inc.
Sub. Notes
7.00%, 5/13/05 N/R 1,500 1,365,000
------------
- -------------------------------------------------------------------------------------
- -----------------
TOTAL CORPORATE OBLIGATIONS
(Cost $240,899,056) 218,876,012
------------
- -------------------------------------------------------------------------------------
- -----------------
GOVERNMENT & AGENCY SECURITIES (2.9%)
- -------------------------------------------------------------------------------------
- -----------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (1.7%)
30YR TBA
6.00%, 3/1/29 Aaa 2,620 2,461,149
6.50%, 2/1/29 Aaa 1,370 1,321,612
7.00%, 3/16/27 Aaa 150 147,163
STRIPS,
Series H, Class 2
11.50%, 5/1/09 Aaa 594 641,852
------------
GROUP TOTAL 4,571,776
------------
- -------------------------------------------------------------------------------------
- -----------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (0.1%)
Various Pools:
10.50%, 9/15/15 Aaa 34 36,406
10.50%, 9/15/15 Aaa 19 20,378
10.50%, 12/15/15 Aaa 5 4,859
10.50%, 3/15/16 Aaa 26 27,960
10.50%, 8/15/16 Aaa 34 37,070
------------
GROUP TOTAL 126,673
------------
- -------------------------------------------------------------------------------------
- -----------------
UNITED STATES TREASURY BOND (0.1%)
8.00%, 11/15/21 Aaa 100 120,578
------------
- -------------------------------------------------------------------------------------
- -----------------
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
UNITED STATES TREASURY NOTE (1.0%)
6.25%, 2/15/07 Aaa $ 775 $ 789,655
7.25%, 5/15/04 Aaa 1,215 1,290,172
STRIPS
Series S
0.00%, 5/15/17 Aaa 780 252,782
TIPS
3.875%, 4/15/29 Aaa 405 399,176
------------
GROUP TOTAL 2,731,785
------------
- -------------------------------------------------------------------------------------
- -----------------
TOTAL GOVERNMENT & AGENCY SECURITIES
(Cost $7,533,309) 7,550,812
------------
- -------------------------------------------------------------------------------------
- -----------------
COLLATERALIZED MORTGAGE OBLIGATIONS (1.3%)
- -------------------------------------------------------------------------------------
- -----------------
Asset Securitization Corp.
Series 1996-MD6,
Class A6, 7.59%, 11/13/26 Baa2 420 405,563
Commercial Mortgage Asset
Trust
Series 1999, Class A3
6.64%, 1/17/32 Aaa 310 301,572
GMAC Commercial
Mortgage Securities, Inc.
6.853%, 9/15/06 Aaa 80 80,275
6.945%, 9/15/33 Aaa 550 546,524
Heller Financial Commercial
Mortgage
Series 1999-PH1, Class A2
6.847%, 5/15/31 Aaa 550 545,531
Kidder Peabody
Acceptance Corp.
Series 1994-C1,
Class C1 B 6.85%, 2/1/06 N/R 910 916,686
Morgan Stanley Capital I
Series 1998-XL1, Class A3
6.48%, 6/3/30 N/R 360 344,363
Nomura Asset Securities Corp.
Series 1998-D6, Class A1B6
6.59%, 3/17/28 Aaa 310 301,862
------------
- -------------------------------------------------------------------------------------
- -----------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $3,666,971) 3,442,376
------------
- -------------------------------------------------------------------------------------
- -----------------
ASSET BACKED OBLIGATIONS (1.2%)
- -------------------------------------------------------------------------------------
- -----------------
(1) Constellation Finance, L.L.C.
Series 1997-1, Class 1
9.80%, 12/14/02 N/R 250 239,453
Contimortgage Home
Equity Loan Trust
7.22%, 1/15/28 Aaa 125 124,882
Green Tree Financial Corp.
Manufactured Housing
Installment Sale Contracts
Series 1993-4, Class B1
7.20%, 1/15/19 Baa3 1,691 1,654,271
</TABLE>
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount Value
Ratings (000) (Note A-1)
<C> <S> <C> <C> <C>
- -------------------------------------------------------------------------------------
- -----------------
Green Tree Recreational,
Equipment & Consumer
Trust, Consumer Products &
Equipment Retail Installment
Sale Contracts
Series 1997-C, Class A-1,
6.49%, 2/15/18 N/R $ 560 $ 551,315
New Century Home
Equity Loan Trust
6.73%, 7/25/22 Aaa 100 99,141
Peco Energy
Transition Trust:
Series 1999-A, Class A6,
6.05%, 3/1/09 Aaa 90 86,625
Series 1999-A, Class A7,
6.13%, 3/1/09 Aaa 335 319,087
UCFC Home Equity Loan:
Series 1996-B1, Class A7,
8.20%, 9/15/27 Aaa 110 113,008
Series 1998-A, Class A7,
6.87%, 7/15/29 Aaa 50 48,344
- -------------------------------------------------------------------------------------
- -----------------
TOTAL ASSET BACKED OBLIGATIONS
(Cost $3,187,610) 3,236,126
------------
- -------------------------------------------------------------------------------------
- -----------------
</TABLE>
<TABLE>
<CAPTION>
Shares/
Units
<C> <S> <C> <C>
- -----------------------------------------------------------------------
- -----------------
COMMON STOCKS (2.7%)
- -----------------------------------------------------------------------
- -----------------
BROADCASTING (0.5%)
(1)(4) Spanish Broadcasting System
Class A 2,142 1,285,200
------------
- -----------------------------------------------------------------------
- -----------------
CABLE (0.0%)
(1)(4) OpTel, Inc. 500 5
------------
- -----------------------------------------------------------------------
- -----------------
CONSUMER PRODUCTS & SERVICES (0.3%)
(4) Coinstar, Inc. 11,887 341,008
(4) Concentric Network Corp. 9,610 383,167
(4) Crown Packaging Enterprises,
Ltd. 253,746 2,537
------------
GROUP TOTAL 726,712
------------
- -----------------------------------------------------------------------
- -----------------
FINANCIAL SERVICES (0.0%)
(4)(5) Westfed Holdings, Inc.
Class B (acquired 9/20/88,
$383) 12,670 0
------------
- -----------------------------------------------------------------------
- -----------------
FOOD & BEVERAGES (0.8%)
(4)(5) Dr. Pepper Bottling Holdings,
Inc.
Class A (acquired 2/25/97,
cost $1,181,250) 75,000 2,212,500
(1)(4) Specialty Foods Corp. 30,000 1,500
------------
GROUP TOTAL 2,214,000
------------
- -----------------------------------------------------------------------
- -----------------
<CAPTION>
Shares/ Value
Units (Note A-1)
<C> <S> <C> <C>
- -----------------------------------------------------------------------
- -----------------
INDUSTRIAL GOODS & MATERIALS (0.1%)
(4)(5)(6) CIC I Acquisition Corp.
(acquired 10/18/89, cost
$1,076,715) 2,944 $ 200,192
------------
- -----------------------------------------------------------------------
- -----------------
METALS & MINING (0.0%)
(4) Sheffield Steel Corp. 6,250 25,000
------------
- -----------------------------------------------------------------------
- -----------------
PAPER & FOREST PRODUCTS (0.1%)
(1)(4)(6) Mail-Well, Inc. 21,306 344,891
------------
- -----------------------------------------------------------------------
- -----------------
RESTAURANTS, HOTELS & GAMING (0.1%)
(4) Capital Gaming International,
Inc. 5,687 284
(4) Elsinore Corp. 86,538 27,043
(4) Isle of Capri Casinos, Inc. 14,947 102,761
(1)(4) Motels of America, Inc. 500 9,000
------------
GROUP TOTAL 139,088
------------
- -----------------------------------------------------------------------
- -----------------
TELECOMMUNICATIONS (0.8%)
(4) Advanced Radio Telecom Corp. 18,211 261,783
(4) Globix Corp. 3,520 155,540
(4) ICG Communications, Inc. 2,145 45,850
(4) Intermedia Communications,
Inc. 3,232 96,958
(4) Loral Space & Communications 302 5,436
(4) Microcell Telecommunications,
Class B 3,436 26,844
(4) Nextel Communications, Inc.
Class A 2,080 104,390
(4) Pagemart Nationwide, Inc. 7,000 33,250
(4) Price Communications Corp. 84,503 1,267,545
(4) Viatel, Inc. 3,353 188,187
------------
GROUP TOTAL 2,185,783
------------
- -----------------------------------------------------------------------
- -----------------
TOTAL COMMON STOCKS
(Cost $4,009,574) 7,120,871
------------
- -----------------------------------------------------------------------
- -----------------
PREFERRED STOCKS (4.2%)
- -----------------------------------------------------------------------
- -----------------
AEROSPACE/DEFENSE (0.4%)
(4) GPA Group plc
7% Second Preferred Cum.
Conv. 2,125,000 1,062,500
------------
- -----------------------------------------------------------------------
- -----------------
BROADCASTING (1.5%)
Benedek Communications Corp.
11.50% Sr. Exchangeable 150 142,500
(4) Pegasus Communications Corp.
12.75% Cum. Exchangeable,
Series A 51 52,530
Pegasus Communications Corp.
Units 250 272,500
(4) Source Media, Inc.
13.5% Units 64,932 1,266,174
(1)(4) Spanish Broadcasting System,
Inc.
14.25%, Cum. Exchangeable 19,668 2,133,978
------------
GROUP TOTAL 3,867,682
------------
- -----------------------------------------------------------------------
- -----------------
CABLE (0.3%)
Adelphia Communications Corp.
13% Cum. Exchangeable, Series
B 5,000 572,500
</TABLE>
The accompanying notes are an integral part of the financial statements.
16
<PAGE>
<TABLE>
<CAPTION>
Shares/ Value
Units (Note A-1)
<C> <S> <C> <C>
- -----------------------------------------------------------------------
- -----------------
(4) DIVA Systems Corp.
Series D 56,913 $ 284,565
(4) NTL, Inc.
13% Exchangeable, Series B 1 611
------------
GROUP TOTAL 857,676
------------
- -----------------------------------------------------------------------
- -----------------
CONSUMER PRODUCTS & SERVICES (0.0%)
Renaissance Cosmetics, Inc.
14% Cumulative 2 0
------------
- -----------------------------------------------------------------------
- -----------------
FINANCIAL SERVICES (0.3%)
(1) Deutsche Bank Capital Funding
Tr I
7.872% Non-cumulated 120,000 114,588
Lehman Brothers Holdings:
5% Convertible, Series B 2,700 76,950
5.94%, Series C 1,300 56,388
Olympic Financial, Ltd.
Units
11.50%, 3/15/07 475,000 406,125
(6) Westfed Holdings, Inc.
Class A (aquired
9/20/88-6/18/93,
cost $2,995,322) 42,759 42,759
------------
GROUP TOTAL 696,810
------------
- -----------------------------------------------------------------------
- -----------------
METALS & MINING (0.0%)
(1) International Utility
Structures, Inc.:
13% Units 150 140,625
13% Units 8 718
------------
GROUP TOTAL 141,343
------------
- -----------------------------------------------------------------------
- -----------------
MISCELLANEOUS (0.0%)
(4) TCR Holdings Corp.:
Series B 790 47
Series C (non-voting) 434 24
Series D (non-voting) 1,145 61
Series E (non-voting) 2,370 149
------------
GROUP TOTAL 281
------------
- -----------------------------------------------------------------------
- -----------------
PUBLISHING & INFORMATION SERVICES (0.2%)
Primedia, Inc.
10% Cum. Exchangeable,
Series D 5,000 512,500
------------
- -----------------------------------------------------------------------
- -----------------
RESTAURANTS, HOTELS & GAMING (0.2%)
AmeriKing, Inc.
13%, Cum. Exchangeable 19,360 464,640
------------
- -----------------------------------------------------------------------
- -----------------
TELECOMMUNICATIONS (1.3%)
e. spire Communications, Inc.
12.75% 300 15,750
Intermedia Communications,
Inc.
13.50% Exchangeable, Series B 3,392 339,200
(1) 7% Jr. Convertible, Series E 44,000 1,028,500
(4) NEXTLINK Communications, Inc.
14% Cum. Exchangeable 12,947 660,297
Nextel Communications, Inc.
13% Exchangeable, Series D 995 1,004,950
<CAPTION>
Shares/ Value
Units (Note A-1)
<C> <S> <C> <C>
- -----------------------------------------------------------------------
- -----------------
Rural Cellular Corp.
11.375% Sr. Exchangeable 286 $ 286,715
------------
GROUP TOTAL 3,335,412
------------
- -----------------------------------------------------------------------
- -----------------
TOTAL PREFERRED STOCKS
(Cost $13,731,812) 10,938,844
------------
- -----------------------------------------------------------------------
- -----------------
RIGHTS (0.0%)
- -----------------------------------------------------------------------
- -----------------
(1)(4) Terex Corp.
expiring 5/15/02 (cost $0) 6,000 84,000
------------
- -----------------------------------------------------------------------
- -----------------
WARRANTS (1.0%)
- -----------------------------------------------------------------------
- -----------------
(4) American Telecasting, Inc.
expiring 6/23/99 525 0
(4) Ampex Corp.
expiring 3/15/03 25,500 71,655
(1)(4) Australis Holdings Pty. Ltd.
expiring 10/30/01 2,250 22
(4) Capital Gaming International,
Inc.
expiring 2/1/99 17 0
(4) CHC Helicopter Corp.
expiring 12/15/00 6,000 18,000
(4) CHI Energy, Inc.:
Series B, expiring 11/8/03 7,578 18,195
Series C, expiring 11/8/05 4,919 11,811
(1)(4) Cookies U.S.A., Inc.
expiring 1/15/01 225 0
(4) County Seat Stores, Inc.
expiring 10/15/98 1,520 15
(4) Crown Packaging Holdings, Ltd.
expiring 11/1/03 2,000 1,000
(4) Dairy Mart Convenience Stores,
Inc.
expiring 12/1/01 11,665 4,083
(4) Decrane Aircraft Holdings
expiring 9/30/08 800 0
(1)(4) DIVA Systems Corp.:
expiring 5/15/06 1,925 465,850
expiring 3/1/08 8,325 99,900
(1)(4) DTI Holdings, Inc.
expiring 3/1/08 9,250 93
(4) e. spire Communications, Inc.
expiring 11/1/05 2,000 280,000
(4) Elsinore Corp.
expiring 12/31/25 79,941 0
(4) Golden Ocean Group, Ltd.
expiring 8/31/01 1,032 129
(1)(4) Hemmeter Enterprises, Inc.
expiring 12/15/99 9,000 0
(1)(4) IHF Capital, Inc.
expiring 11/14/99 500 5
(1)(4) Interact Systems, Inc.
expiring 8/1/03 750 0
(4) Isle of Capri Casinos, Inc.
expiring 5/3/01 2,646 26
(1)(4) Key Energy Services
expiring 1/15/09 1,250 1,250
(4) McCaw International Ltd.
expiring 4/15/07 1,000 2,500
(1)(4) Mentus Media Corp.
expiring 2/1/08 3,984 40
(4) PLD Telekom, Inc.
expiring 6/1/06 1,610 8,050
</TABLE>
The accompanying notes are an integral part of the financial statements.
17
<PAGE>
<TABLE>
<CAPTION>
Shares/ Value
Units (Note A-1)
<C> <S> <C> <C>
- -----------------------------------------------------------------------
- -----------------
(4) Rhythms Netconnections
expiring 5/15/08 6,000 $ 1,000,314
(4) Source Media, Inc.
expiring 11/1/07 30,731 261,216
(1)(4) Star Choice Communications,
Inc.
expiring 12/5/05 11,580 29,176
(4) Startec Global Communications
Corp
expiring 5/15/08 750 750
(4) United International Holdings
expiring 11/15/99 2,950 2,950
(4) Wright Medical Technology
expiring 6/30/03 618 6
------------
- -----------------------------------------------------------------------
- -----------------
TOTAL WARRANTS
(Cost $1,618,319) 2,277,036
------------
- -----------------------------------------------------------------------
- -----------------
TOTAL DOMESTIC SECURITIES
(Cost $274,646,651) 253,526,077
------------
- -----------------------------------------------------------------------
- -----------------
Face
Moody's Amount
Ratings (000)
- -------------------------------------------------------------------------------------
- -----------------
FOREIGN SECURITIES (0.9%)
- -------------------------------------------------------------------------------------
- -----------------
CORPORATE OBLIGATIONS (0.8%)
- -------------------------------------------------------------------------------------
- -----------------
FINLAND (0.1%)
(7) Okobank Perpetual
Medium Term Notes
5.739%, 9/29/49 A3 USD$ 140 134,400
------------
- -------------------------------------------------------------------------------------
- -----------------
FRANCE (0.1%)
(7) Credit Lyonnais Paris
6.563%, 9/19/49 Baa2 USD 210 194,250
L'Auxiliare du Credit
Foncier de France
Gtd. Sub. Notes
5.00%, 10/22/02 Baa3 USD 150 143,625
------------
GROUP TOTAL 337,875
------------
- -------------------------------------------------------------------------------------
- -----------------
JAPAN (0.1%)
(7) Fuji Bank (Cayman), Ltd.
Perpetual Gtd. Notes
7.30%, 3/29/49 Baa2 USD 370 299,700
------------
- -------------------------------------------------------------------------------------
- -----------------
NETHERLANDS (0.1%)
CompleTelecom
Europe N.V.
Units
0.00%, 2/15/09 Caa2 USD 650 338,000
------------
- -------------------------------------------------------------------------------------
- -----------------
SWEDEN (0.4%)
(7) ForeningsSparbanken AB:
Perpetual Jr. Sub.
Medium Term Notes
6.438%, 12/29/49 Baa2 USD 500 470,000
Skandinaviska Enskilda
Banken AB
Perpetual Sub. Notes
6.625%, 3/29/49 Baa1 USD 400 393,720
------------
GROUP TOTAL 863,720
------------
Face
Moody's Amount Value
Ratings (000) (Note A-1)
- -------------------------------------------------------------------------------------
- -----------------
TOTAL CORPORATE OBLIGATIONS
(Cost $2,074,291) $ 1,973,695
------------
- -------------------------------------------------------------------------------------
- -----------------
GOVERNMENT OBLIGATIONS (0.1%)
- -------------------------------------------------------------------------------------
- -----------------
COLOMBIA (0.0%)
(7) Republic of Colombia
12.243%, 8/13/05 Baa3 USD$ 80 68,600
------------
- -------------------------------------------------------------------------------------
- -----------------
POLAND (0.1%)
Republic of Poland
Past Due Interest Bonds
5.00%, 10/27/14 Baa3 USD 320 281,600
------------
- -------------------------------------------------------------------------------------
- -----------------
TOTAL GOVERNMENT OBLIGATIONS
(Cost $373,901) 350,200
------------
- -------------------------------------------------------------------------------------
- -----------------
TOTAL FOREIGN SECURITIES
(Cost $2,448,192) 2,323,895
------------
- -------------------------------------------------------------------------------------
- -----------------
TIME DEPOSITS (1.8%)
(Cost $4,743,000) 4,743,000
------------
- -------------------------------------------------------------------------------------
- -----------------
TOTAL INVESTMENTS (99.6%)
(Cost $281,837,843) 260,592,972
------------
- -------------------------------------------------------------------------------------
- -----------------
OTHER ASSETS IN EXCESS OF LIABILITIES
(0.4%)
1,122,167
------------
- -------------------------------------------------------------------------------------
- -----------------
NET ASSETS (100%)
Applicable to 34,698,013 issued and outstanding $.001 par
value Shares (authorized 100,000,000 shares) $261,715,139
------------
------------
- -------------------------------------------------------------------------------------
- -----------------
</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) Non-income producing security.
(5) Restricted as to private and public resale. Total cost of restricted
securities at June 30, 1999 aggregated $1,181,633. Total market value of
restricted securities owned at June 30, 1999 was $2,212,500 or 0.8% of net
assets.
(6) Securities for which market quotations are not readily available are valued
at fair value as determined in good faith by the Board of Directors.
(7) Floating Rate--The interest rate changes on these instruments based upon a
designated base rate. The rates shown are those in effect at June 30, 1999.
The accompanying notes are an integral part of the financial statements.
18
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES June 30, 1999
(Unaudited)
<S> <C>
- -------------------------------------------------------------------------------
ASSETS:
Investments at Value
(Cost $281,837,843 ) (Note A-1)....................... $260,592,972
Receivables:
Interest Receivable (Note A-4)........................ 4,972,781
Receivable for Investments Sold....................... 2,534,760
Other Assets............................................ 14,481
- -------------------------------------------------------------------------------
Total Assets........................................ 268,114,994
- -------------------------------------------------------------------------------
LIABILITIES:
Investments Purchased................................. 5,907,123
Investment Advisory Fees (Note B)..................... 328,536
Due to Custodian Bank................................. 49,146
Administrative Fees (Note C).......................... 44,446
Professional Fees..................................... 23,235
Shareholders' Reports................................. 13,942
Directors' Fees....................................... 9,020
Miscellaneous Fees.................................... 24,407
- -------------------------------------------------------------------------------
Total Liabilities................................... 6,399,855
- -------------------------------------------------------------------------------
NET ASSETS.................................................. $261,715,139
-----------------
-----------------
NET ASSETS CONSIST OF:
Capital Shares at $.001 Par Value....................... $ 34,698
Capital Paid in Excess of Par Value..................... 293,629,015
Undistributed Net Investment Income..................... 93,658
Accumulated Net Realized Loss........................... (10,797,361)
Unrealized Depreciation on Investments.................. (21,244,871)
-----------------
NET ASSETS APPLICABLE TO 34,698,013 ISSUED AND OUTSTANDING
SHARES (AUTHORIZED 100,000,000 SHARES).................... $261,715,139
-----------------
-----------------
NET ASSET VALUE PER SHARE................................... $ 7.54
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS Six Months Ended
June 30, 1999
(Unaudited)
<S> <C>
- ------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest (Note A-4)..................................... $13,331,260
Dividends (Note A-4).................................... 58,275
- ------------------------------------------------------------------------------
Total Income.......................................... 13,389,535
- ------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees (Note B)....................... 658,190
Administrative Fees (Note C)............................ 109,300
Shareholders' Reports................................... 57,528
Custodian Fees.......................................... 34,148
Shareholder Servicing Fees.............................. 24,894
Professional Fees....................................... 20,187
Directors' Fees and Expenses............................ 16,084
Other................................................... 24,833
- ------------------------------------------------------------------------------
Total Expenses........................................ 945,164
- ------------------------------------------------------------------------------
Net Investment Income............................... 12,444,371
- ------------------------------------------------------------------------------
NET REALIZED LOSS ON INVESTMENTS............................ (3,082,276)
- ------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION/DEPRECIATION ON
INVESTMENTS............................................... (4,662,956)
- ------------------------------------------------------------------------------
Net Realized Loss and Change in
Unrealized Appreciation/Depreciation...................... (7,745,232)
- ------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations........ $4,699,139
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
19
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months Ended
June 30, 1999 Year Ended
(Unaudited) December 31, 1998
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net Investment Income....................................................... $ 12,444,371 $ 24,431,443
Net Realized Gain/Loss on Investments....................................... (3,082,276) 1,562,674
Change in Unrealized Appreciation/Depreciation on Investments............... (4,662,956) (24,197,476)
- ----------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ 4,699,139 1,796,641
- ----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:
Net Investment Income....................................................... (12,491,286) (24,942,259)
- ----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Common Stock Issued through Reinvestment of Distributions (86,170 shares)... -- 694,164
- ----------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Capital Share Transactions........ -- 694,164
- ----------------------------------------------------------------------------------------------------------------------
Total Decrease in Net Assets.............................................. (7,792,147) (22,451,454)
- ----------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of Period......................................................... 269,507,286 291,958,740
- ----------------------------------------------------------------------------------------------------------------------
End of Period (Including undistributed net investment income of $93,658 and
$140,573, respectively).................................................... $ 261,715,139 $ 269,507,286
- ----------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Six Months
Ended Year Ended December 31,
June 30, 1999 ----------------------------------------------------
PER SHARE OPERATING PERFORMANCE: (Unaudited) 1998 1997 1996 1995Section 1994
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $ 7.77 $ 8.44 $ 8.12 $ 8.63 $ 8.05 $ 9.00
- ---------------------------------------------------------------------------------------------------------
Offering Costs..................... -- -- (0.02) --
- ---------------------------------------------------------------------------------------------------------
Investment Activities:
Net Investment Income.......... 0.36 0.71 0.69 0.75 0.86 0.83
Net Realized and Unrealized
Gain (Loss) on Investments.... (0.23) (0.66) 0.39 0.18 0.48 (1.06)
- ---------------------------------------------------------------------------------------------------------
Total from Investment
Activities.................. 0.13 0.05 1.08 0.93 1.34 (0.23)
- ---------------------------------------------------------------------------------------------------------
Distributions:
Net Investment Income.......... (0.36) (0.72) (0.76) (0.90) (0.76) (0.72)
- ---------------------------------------------------------------------------------------------------------
Decrease in Net Asset Value due to
Shares Issued through Rights
Offering.......................... -- -- -- (0.52) -- --
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD..... $ 7.54 $ 7.77 $ 8.44 $ 8.12 $ 8.63 $ 8.05
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
PER SHARE MARKET VALUE, END OF
PERIOD............................ $ 7.69 $ 7.56 $ 8.75 $ 7.63 $ 7.88 $ 7.00
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
TOTAL INVESMENT RETURN:
Net Asset Value (1)............ 1.72% 0.47% 14.03% 10.59%** 17.41% (2.67)%
Market Value................... 6.56% (5.68)% 25.90% 10.05%** 24.34% (9.48)%
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
RATIOS AND SUPPLEMENTAL DATA:
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(Thousands)....................... $261,715 $269,507 $291,959 $280,634 $210,441 $196,379
- ---------------------------------------------------------------------------------------------------------
Ratio of Expenses to Average Net
Assets Including Expense
Offsets........................... 0.71%* 0.81% 0.84% 0.94% 0.92% 0.83%
Ratio of Expenses to Average Net
Assets............................ 0.71%* 0.81% 0.84% 0.95% -- --
Ratio of Net Investment Income to
Average Net Assets................ 9.34%* 8.59% 8.47% 9.23% 10.22% 9.75%
Portfolio Turnover Rate............ 25.8% 84.7% 97.7% 81.0% 44.1% 70.6%
- ---------------------------------------------------------------------------------------------------------
</TABLE>
Section Credit Suisse Asset Management, formerly known as BEA Associates
replaced CS First Boston Investment management as the Fund's
investment adviser effective June 13, 1995.
* Annualized
** Adjusted for Rights Offering.
(1) Total investment return based on per share net asset value reflects
the effects of change in net asset value on the performance of the
Fund during each period, and assumes dividends and capital gains
distributions, if any, were reinvested. These percentages are not an
indication of the performance of a shareholder's investment in the
Fund based on market value, due to differences between the market
price of the stock and the net asset value of the Fund.
Note: Current period permanent book-tax differences, if any, are not
included in the calculation of net investment income per
share.
The accompanying notes are an integral part of the financial statements.
20
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- ------------
Credit Suisse Asset Management Income Fund, Inc., formerly known as BEA Income
Fund, Inc. (the "Fund"), was incorporated on February 11, 1987 and is registered
as a diversified, closed-end investment company under the Investment Company Act
of 1940. The Fund's investment objective is to seek current income through
investments primarily in debt securities.
A. The following is a summary of significant accounting policies followed by the
Fund in the preparation of its financial statements. Generally accepted
accounting principles may require management to make estimates and assumptions
that affect the amounts and disclosures in the financial statements. Actual
reported results could differ from those estimates.
1. SECURITY VALUATION: Market values for fixed income securities are valued at
the latest quoted bid price in the over-the-counter market. However, fixed
income securities may be valued on the basis of prices provided by a pricing
service which are based primarily on institutional size trading in similar
groups of securities. Other securities listed on an exchange are valued at
the latest quoted sales prices on the day of valuation or if there was no
sale on such day, the last bid price quoted on such day. Securities purchased
with remaining maturities of 60 days or less are valued at amortized cost, if
it approximates market value. Securities for which market quotations are not
readily available (including restricted investments which are subject to
limitations as to their sale) are valued at fair value as determined in good
faith by the Board of Directors. Such securities have a value of $272,957 (or
0.10% of net assets) at June 30, 1999. In determining fair value,
consideration is given to cost, operating and other financial data.
The Fund may invest up to 10% of its total assets in securities which are not
readily marketable, including those which are restricted as to disposition
under securities law ("restricted securities") (excludes 144A securities).
These securities are valued pursuant to the valuation procedures noted above.
2. FEDERAL INCOME TAXES: It is the Fund's intention to continue to qualify as a
regulated investment company and distribute all of its taxable income to
shareholders. Accordingly, no provision for Federal income taxes is required
in the financial statements.
3. REPURCHASE AGREEMENTS: In connection with transactions in repurchase
agreements, a bank as custodian for the Fund takes possession of the
underlying securities, the value of which exceeds the principal amount of the
repurchase transaction, including accrued interest. To the extent that any
repurchase transaction exceeds one business day, the value of the collateral
is marked-to-market on a daily basis to determine the adequacy of the
collateral. In the event of default on the obligation to repurchase, the Fund
has the right to liquidate the collateral and apply the proceeds in
satisfaction of the obligation. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
or proceeds may be subject to legal proceedings.
4. SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Security transactions are
accounted for on the date the securities are purchased or sold. Costs used in
determining realized gains and losses on the sale of investment securities
are those of specific securities sold. Interest income is recognized on the
accrual basis. Discounts on securities purchased are amortized according to
the effective yield method over their respective lives. Discount or premium
on mortgage backed securities is recognized upon receipt of principal
payments on the underlying mortgage pools. Dividend income is recorded on the
ex-dividend date.
5. DELAYED DELIVERY COMMITMENTS: The Fund may purchase or sell securities on a
when-issued or forward commitment basis. Payment and delivery may take place
a month or more after the date of the transaction. The price of the
underlying securities and the date when the securities will be delivered and
paid for are fixed at the time the transaction is negotiated.
6. DIVIDENDS AND DISTRIBUTIONS: The Fund pays dividends of net investment income
monthly and makes distributions at least annually of any net capital gains in
excess of applicable capital losses, including capital loss carryforward.
Dividends and distributions are recorded on the ex-dividend date.
Income distributions and capital gains distributions are determined in
accordance with U.S. Federal Income Tax regulations which may differ from
generally accepted accounting principles. These differences are principally
due to timing of the recognition of defaulted bond interest.
Permanent book and tax differences relating to shareholder distributions may
result in reclassifications to undistributed net investment income (loss),
undistributed net realized gain (loss) and paid in capital.
B. Credit Suisse Asset Management, formerly known as BEA Associates (the
"Adviser") provides investment advisory services to the Fund under the terms of
an Advisory Agreement. Under the Advisory Agreement, the Adviser is paid a fee,
computed weekly and payable quarterly at an annual rate of .50 % of average
weekly net assets.
C. Effective March 1, 1999, Brown Brothers Harriman & Co. ("BBH&Co."), replaced
Chase Manhattan Bank as the Fund's Administrator and Custodian.
21
<PAGE>
BBH&Co. provides services to the fund. Under the Administration and Custody
Agreements, BBH&Co. is paid a fee based on average net assets.
Effective January 25, 1999, BankBoston N.A. replaced Chase Manhattan Bank as the
Fund's Transfer Agent.
BankBoston provides transfer agent services to the fund. Under the Transfer
Agent Agreement, BankBoston is paid a fee based on the number of accounts in the
Fund per year. In addition, the Fund was charged certain out-of-pocket expenses
by BankBoston.
D. During the six months ended June 30, 1999, the Fund made purchases of
$67,630,937 and sales of $72,900,015 of investment securities other than U.S.
Government securities and short term investments. At June 30, 1999, the cost of
investments for Federal income tax purposes was $277,094,843. Accordingly, net
unrealized depreciation for Federal income tax purposes aggregated $21,244,871
of which $14,235,499 related to appreciated securities and $35,480,370 related
to depreciated securities.
At June 30, 1999 the Fund had a capital loss carryforward of $7,010,200
available to offset future capital gains of which $882,969, $3,865,851 and
$2,261,380 will expire on December 31, 1999, 2000 and 2003, respectively.
E. At June 30, 1999, 83.6% of the Fund's net assets comprised high yield fixed
income securities. The financial condition of the issuers of the securities and
general economic conditions may affect the issuers' ability to make payments of
income and principal, as well as the market value of the securities. Such
investments may also be less liquid and more volatile than investments in higher
rated fixed income securities.
At June 30, 1999, 0.9% of the Fund's net assets comprised foreign currency
denominated fixed income securities. Changes in currency exchange rates will
affect the value and net investment income from such securities.
F. The Fund's Board of Directors has approved a share repurchase program
authorizing the Fund from time to time to make open-market purchases on the New
York Stock Exchange of up to 10 percent of the Fund's shares outstanding as of
December 11, 1990. There were no repurchases of shares during the six months
ended June 30, 1999.
G. The Fund issued to its shareholders of record as of the close of business on
September 27, 1996 transferable Rights to subscribe for up to an aggregate of
10,160,570 shares of Common Stock of the Fund at a rate of one share of Common
Stock for three Rights held at the subscription price of $7.15 per share. During
October 1996, the Fund issued a total of 10,160,570 shares of Common Stock on
exercise of such Rights. Rights' offering costs of $550,000 were charged
directly against the proceeds of the Offering.
H. Effective July 27, 1999, the Fund entered into a credit agreement with
Deutsche Bank AG and State Street Bank and Trust Company.
22
<PAGE>
SUMMARY OF QUARTERLY RESULTS OF OPERATIONS (UNAUDITED):
<TABLE>
<CAPTION>
AMOUNTS IN THOUSANDS EXCEPT PER SHARE AMOUNTS
THREE MONTHS ENDED
----------------------------------------------------------------------------
MARCH 31, 1999 JUNE 30, 1999
----------------- ------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Investment Income............. $ 6,573 $ 0.19 $ 6,817 $ 0.20
Net Investment Income......... 6,085 0.18 6,359 0.18
Net Realized Gain (Loss) and
Change in Unrealized
Appreciation/Depreciation on
Investments.................. (2,250) (0.07) (5,495) (0.16)
Net Increase in Net Assets
Resulting from Operations.... 3,834 0.11 865 0.02
<CAPTION>
SEPTEMBER 30, DECEMBER 31,
MARCH 31, 1998 JUNE 30, 1998 1998 1998
----------------- ------------------ ---------------- ----------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Investment Income............. $ 6,624 $ 0.19 $ 6,580 $ 0.19 $ 6,687 $ 0.19 $ 6,846 $ 0.20
Net Investment Income......... 6,017 0.18 5,973 0.17 6,126 0.18 6,315 0.18
Net Realized Gain (Loss) and
Change in Unrealized
Appreciation/Depreciation on
Investments.................. 3,082 0.09 (3,392) (0.10) (18,973) (0.55) (3,351) (0.10)
Net Increase/Decrease in Net
Assets Resulting from
Operations................... 9,099 0.27 2,581 0.07 (11,680) (0.34) 1,797 0.05
</TABLE>
SUPPLEMENTAL PROXY INFORMATION (UNAUDITED)
The Annual Meeting of the Stockholders of the Credit Suisse Asset Management
Income Fund, Inc. was held on Monday, May 10, 1999 at the offices of Willkie
Farr & Gallagher 787 7th Avenue, New York City. The following is a summary of
each proposal presented and the total number of shares voted:
<TABLE>
<CAPTION>
VOTES IN VOTES VOTES
PROPOSAL FAVOR OF AGAINST ABSTAINED
- ------------------------------------------------------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
1. To elect the following four Directors:
Enrique R. Arzac 28,855,681 475,833 --
Lawrence J. Fox 28,951,380 380,134 --
James S. Pasman, Jr. 28,886,113 445,401 --
William W. Priest, Jr. 28,905,317 426,197 --
2. To ratify the selection of
PricewaterhouseCoopers LLP as independent
public accountants of the Fund until the next
annual meeting. 28,817,109 208,216 306,190
3. To approve an amendment to the Fund's
Articles of Incorporation to change the name
of the Fund to Credit Suisse Asset Management
Income Fund, Inc. 27,723,983 1,063,041 544,490
</TABLE>
23
<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.
24
<PAGE>
Any stock dividend or Shares resulting from stock splits with respect to Shares
of the Fund, both full and fractional, which participants hold in their Program
accounts and with respect to all Shares registered in their names will be
automatically credited to their accounts.
All Shares of the Fund (including any fractional share) credited to his
account under the Program will be voted as the participant directs. The
participants will be sent the proxy materials for the annual meetings of
shareholders. When a participant returns an executed proxy, all of such Shares
will be voted as indicated. A participant may also elect to vote his Shares in
person at the Shareholders' meeting.
A participant will receive tax information annually for his personal records
and to help him prepare his U.S. federal income tax return. The automatic
reinvestment of dividends does not relieve him of any income tax which may be
payable on dividends. For further information as to tax consequences of
participation in the Program, participants should consult with their own tax
advisors.
The Program Administrator in administering the Program will not be liable
for any act done in good faith or for any good faith omission to act. However,
the Program Administrator will be liable for loss or damage due to error caused
by its negligence, bad faith or willful misconduct. Shares held in custody by
the Program Administrator are not subject to protection under the Securities
Investors Protection Act of 1970.
The participant should recognize that neither the Fund nor the Program
Administrator can provide any assurance of a profit or protection against loss
on any Shares purchased under the Program. A participant's investment in Shares
held in his Program account is no different than his investment in directly held
Shares in this regard. The participant bears the risk of loss and the benefits
of gain from market price changes with respect to all of his Shares. Neither the
Fund nor the Program Administrator can guarantee that Shares purchased under the
Program will, at any particular time, be worth more or less than their purchase
price. Each participant must make an independent investment decision based on
his own judgment and research.
While the Program Administrator hopes to continue the Program indefinitely,
the Program Administrator reserves the right to suspend or terminate the Program
at any time. It also reserves the right to make modifications to the Program.
Participants will be notified of any such suspension, termination or
modification in accordance with the terms and conditions of the Program. The
Program Administrator also reserves the right to terminate any participant's
participation in the Program at any time. Any question of interpretation arising
under the Program will be determined in good faith by the Program Administrator
and any such good faith determination will be final.
Any interested investor may participate in the Program. To participate in
the Program, an investor who is not already a registered owner of the Shares
must make an initial investment of at least $250.00. All other cash payments or
bank account deductions must be at least $100.00, up to a maximum of $100,000.00
annually. An interested investor may join the Program by reading the Program
description, completing and signing the enrollment form and returning it to the
Program Administrator. The enrollment form and information relating to the
Program (including the terms and conditions) may be obtained by calling the
Program Administrator at one of the following telephone numbers: First Time
Investors-- (888) 697-8026; Current Shareholders--(800) 730-6001. All
correspondence regarding the Program should be directed to: BankBoston, N.A.,
InvestLink Program, P.O. Box 8040, Boston, MA 02266-8040.
- ------------------------------------------------------
*InvestLink is a service mark of Boston EquiServe Limited Partnership.
25
<PAGE>
4946-SAR-99
