<PAGE>
Credit Suisse Asset Management Income Fund, Inc.
153 East 53rd Street
New York, NY 10022
---------------------------------------------
OFFICERS AND DIRECTORS
<TABLE>
<S> <C>
William W. Priest, Jr. Suzanne E. Moran
CHAIRMAN OF THE BOARD INVESTMENT OFFICER
Prof. Enrique R. Arzac Hal Liebes
DIRECTOR SENIOR VICE PRESIDENT
Lawrence J. Fox Michael A. Pignataro
DIRECTOR CHIEF FINANCIAL OFFICER,
VICE PRESIDENT AND
James S. Pasman, Jr. SECRETARY
DIRECTOR Robert M. Rizza
Richard J. Lindquist VICE PRESIDENT AND
PRESIDENT AND CHIEF TREASURER
INVESTMENT OFFICER John L. Hogan
ASSISTANT TREASURER
</TABLE>
--------------------------------------------------------
INVESTMENT ADVISER
Credit Suisse Asset Management, LLC
153 East 53rd Street
New York, New York 10022
Phone 1-800-293-1232
--------------------------------------------------------
ADMINISTRATOR AND 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
2400 Eleven Penn Center
Philadelphia, Pennsylvania 19103
--------------------------------------------------------
--------------------------------------------------------
Credit Suisse Asset Management Income Fund, Inc.
---------------------------------------------
FIRST QUARTER REPORT
March 31, 2000
<PAGE>
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
FIRST QUARTER REPORT - 3/31/00
----------
Dear Shareholders: April 26, 2000
We are writing to report on the activities of Credit Suisse Asset Management
Income Fund, Inc. ("the Fund") for the quarter ended March 31, 2000 and to
discuss our investment strategy.
On March 31, 2000, the Fund's net asset value ("NAV") was $7.04, compared to
an NAV of $7.34 at December 31, 1999. The Fund's total return (based on NAV and
assuming reinvestment of dividends of $0.2202 per share) for the period was
-0.6%.
At March 31, 2000, $189.0 million was invested in high yield debt
securities; $19.0 million in investment-grade debt securities; $25.0 million in
equity securities; and the balance of $5.0 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 (56.3%) was invested in B-rated
issues.
THE MARKET: UNUSUAL DYNAMICS
Interest in high yield issues was strong at the end of 1999. Y2K worries and
related market liquidity concerns had dissipated. In addition, the economy
appeared poised for moderating economic growth. But sentiment soured in February
and March with two interest-rate increases, confusion surrounding the Treasury's
announced buybacks of 30-year bonds, and sharp ongoing corrections in the
valuations of technology-related and blue-chip stocks. Anxiety provoked two
flights to quality during the quarter.
Narrower factors also led to an overall decline in the high yield market.
Mutual fund outflows for the quarter exceeded $4.0 billion, prompting the
cancellation of many new issues slated to come to market. Liquidity also
deteriorated as investor tolerance for disappointing news or earnings
announcements declined sharply. Large, liquid high yield issues fared the worst,
as they were among the first securities fund managers chose to sell to meet
redemptions. By the close of the quarter, the net result was that high yield
bonds had turned in the worst performance among all fixed income sectors.
PERFORMANCE: HELPED LARGELY BY SECURITY-SPECIFIC EVENTS
In the first quarter, the Fund outperformed the broad high yield market,
which declined 2.6% as measured by the Salomon Smith Barney High Yield Market
Index. The Fund's outperformance resulted from:
- Our overweight in the telecommunications and, to a lesser extent,
cable/media industries
- Appreciation in the warrant component of a number of our high yield units
(I.E., bonds with attached warrants)
- Our increased holdings in energy due to higher oil prices and prospects of
stabilized oil production levels
Whereas we benefited from positions in two of the only three industries that
had positive results for the quarter (energy, technology and banking), our
overweight in gaming detracted from the Fund's performance. Portfolio managers
sold this sector's fairly liquid securities to raise cash to meet shareholder
redemptions.
OUTLOOK: SLIPPERY ROAD AHEAD
Going forward, we are cautious. Although high yield bonds generally weakened
in the first quarter, we see more downside potential over the near term due to
further likely interest-rate increases, extended equity market volatility, and
continued outflows from high yield mutual funds. Longer-term, the fact that the
quantity of high yield new issuance has slowed to a trickle should generally
help stabilize lower-quality debt issues.
The overall approach with which we have managed the Fund remains intact. We
have, however, increased our focus on avoiding risk by marginally reducing
positions in securities with less favorable prospects. We are maintaining our
overweights in telecommunications, cable/media and gaming, whose positive
industry and company fundamentals are unchanged. We are also selectively adding
to positions in energy as well as certain economically sensitive industries such
as paper, whose underlying fundamentals are beginning to reflect real signs of
improvement.
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.
2
<PAGE>
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**
* Richard J. Lindquist, who is a Managing Director of Credit Suisse Asset
Management, LLC ("CSAM"), is primarily responsible for management of the Fund's
assets. He has served in such capacity since November 21, 1996. Prior to that
date, he served as Vice President to the Fund, a position he assumed on
August 15, 1989. Mr. Lindquist joined CSAM on May 1, 1995 as a result of CSAM's
acquisition of CS First Boston Investment Management Corporation ("CSFBIM").
Prior to joining CSAM and beginning in July, 1989, he held various offices at
CSFBIM. Mr. Lindquist also is President and Chief Investment Officer of Credit
Suisse 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, LLC ("CSAM"), joined CSAM in
1972. Mr. Priest is Director and Chairman of other investment companies advised
by CSAM.
3
<PAGE>
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
MARCH 31, 2000
TOP TEN HOLDINGS (UNAUDITED)
<TABLE>
<CAPTION>
(as a % of net assets as of 3/31/00)
<C> <S> <C>
-----------------------------------------------------------------------
1. Spanish Broadcasting System, Inc.
Class B............................ 1.0%
2. Ainsworth Lumber Co., Ltd. Yankee Sr.
Secured Notes 12.50%, 7/15/07...... 0.8%
3. Price Communications Corp............ 0.8%
4. UnitedGlobalCom, Inc., Class A....... 0.8%
5. Univision Network Holding L.P. Sub.
Notes 7.00%, 12/17/02.............. 0.8%
6. Dr. Pepper Bottling Holdings, Inc.
Class A............................ 0.8%
7. Intermedia Communications, Inc. 7%
Jr. Convertible, Series E.......... 0.8%
8. Pagemart Nationwide, Inc., Sr.
Discount Notes 0.00%, 2/1/05....... 0.8%
9. Coinstar, Inc., Sr. Discount Notes
13.00%, 10/1/06.................... 0.7%
10. Capstar Broadcasting Partner, Inc.,
Sr. Discount Notes 0.00%, 2/1/09... 0.7%
</TABLE>
CREDIT QUALITY BREAKDOWN (UNAUDITED)
<TABLE>
<CAPTION>
(as a % of total investments as of 3/31/00)
<S> <C>
-----------------------------------------------------
AAA/Aaa.................................. 2.5%
AA/Aa.................................... 0.2
A/A...................................... 1.3
BBB/Baa.................................. 4.0
BB/Ba.................................... 6.4
B/B...................................... 49.2
CCC/Caa.................................. 12.0
NR....................................... 11.7
--------
Subtotal............................... 87.3
Equities and Other....................... 12.7
--------
Total.................................. 100.0%
========
</TABLE>
4
<PAGE>
PORTFOLIO OF INVESTMENTS (UNAUDITED)
---------
MARCH 31, 2000
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
DOMESTIC SECURITIES (93.9%)
-----------------------------------------------------------------------------
-----------------
CORPORATE OBLIGATIONS (80.9%)
-----------------------------------------------------------------------------
-----------------
AEROSPACE/DEFENSE (0.7%)
(1) Decrane Aircraft Holdings
Series B, Gtd.
12.00%, 9/30/08 Caa1 $ 800 $ 704,000
Lockheed Martin Corp.:
Notes
7.95%, 12/1/05 Baa3 345 342,413
8.20%, 12/1/09 Baa3 125 125,148
Raytheon Co.
Notes
6.45%, 08/15/02 Baa2 400 388,404
United Technologies Corp.
Notes
6.625%, 11/15/04 A2 195 190,856
------------
GROUP TOTAL 1,750,821
------------
-----------------------------------------------------------------------------
-----------------
AUTOMOTIVE (3.1%)
Aetna Industries, Inc.
Sr. Notes
11.875%, 10/1/06 B3 600 580,500
Autotote Corp.
Series B,
10.875%, 8/1/04 B2 750 747,188
(2) Breed Technologies, Inc.
Gtd. Sr. Sub. Notes
9.25%, 4/15/08 Caa3 400 6,000
Cambridge
Industries, Inc.
Series B,
Gtd. Sr. Sub. Notes
10.25%, 7/15/07 B3 500 93,750
Collins & Aikman
Products Corp.
Sr. Sub. Notes
11.50%, 4/15/06 B3 700 675,500
DaimlerChrysler NA
Holdings, Corp.:
Gtd.
7.40%, 1/20/05 A1 250 250,625
7.20%, 9/1/09 A1 260 253,448
Delco Remy
International, Inc.
Gtd. Sr. Sub. Notes
10.625%, 8/1/06 B2 600 594,000
Hayes Lemmerz
International, Inc.:
Series B,
Gtd. Sr. Notes
9.125%, 7/15/07 B2 500 448,750
8.25%, 12/15/08 B2 750 622,500
(1) Holley Performance
Products
Sr. Notes
12.25%, 9/15/07 B2 500 488,750
(1) Lear Corp.
Sr. Notes
7.96%, 5/15/05 Ba1 50 47,125
Meritor Automotive, Inc.
Notes
6.80%, 2/15/09 Baa2 $ 165 $ 148,088
</TABLE>
<TABLE>
-----------------------------------------------------------------------------
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
Motor Coach Industries
International, Inc.
Gtd.
11.25%, 5/1/09 B2 1,000 967,500
Oxford Automotive, Inc.
Gtd. Sr. Sub. Notes
10.125%, 6/15/07 Caa1 1,375 1,294,219
(2) Safety Components
International, Inc.
Series B,
Gtd. Sr. Sub. Notes
10.125%, 7/15/07 B3 500 73,750
Stanadyne Automotive
Series B,
Gtd. Sr. Sub. Notes
10.25%, 12/15/07 Caa1 400 326,500
------------
GROUP TOTAL 7,618,193
------------
-----------------------------------------------------------------------------
-----------------
BROADCASTING (4.5%)
(2)(3) Australis Holdings Pty.
Ltd.
Yankee Sr. Secured
Discount Notes
0.00%, 11/1/02 N/R 3,950 39,500
(2) 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 B2 2,000 1,760,000
Chancellor Media Corp.
Sr. Sub. Notes
9.00%, 10/1/08 B1 500 501,250
Cumulus Media, Inc.
Sr. Sub. Notes
10.375%, 7/1/08 B3 800 712,000
EchoStar
Communications Corp.
Sr. Notes
9.375%, 2/1/09 B2 750 723,750
Granite Broadcasting
Corp.:
Series A,
Sr. Sub. Notes
9.375%, 12/1/05 B3 300 280,500
8.875%, 5/15/08 B3 900 774,000
Pegasus Media &
Communications, Inc.
Series B, Notes
12.50%, 7/1/05 B2 250 268,125
Salem
Communications Corp.
Series B, Gtd.
9.50%, 10/01/07 B3 500 468,750
Sinclair Broadcast
Group, Inc.:
Sr. Sub. Notes
10.00%, 9/30/05 B2 900 868,500
Gtd. Sr. Sub. Notes
8.75%, 12/15/07 B2 350 304,500
</TABLE>
5
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
Time Warner
Telecom, LLC
Sr. Notes
9.75%, 7/15/08 B2 $ 500 $ 490,000
Turner Broadcasting
Systems, Inc.
Sr. Notes
7.40%, 2/1/04 Ba1 65 64,750
(3) United International
Holdings, Inc.
Series B,
Sr. Discount Notes
0.00%, 2/15/08 B3 1,450 978,750
Univision Network
Holding L.P.
Sub. Notes
7.00%, 12/17/02 N/R 1,500 1,950,000
Young Broadcasting, Inc.:
Series B, Gtd.
Sr. Sub. Notes
8.75%, 6/15/07 B2 865 756,875
------------
GROUP TOTAL 10,953,310
------------
-----------------------------------------------------------------------------
-----------------
BUSINESS SERVICES (0.4%)
Comdisco, Inc.:
Medium Term Notes
7.23%, 8/16/01 Baa1 130 129,188
Sr. Notes
7.25%, 9/1/02 Baa1 230 226,838
General Binding Corp.
Gtd. Sr. Sub. Notes
9.375%, 6/1/08 B2 250 120,625
Iron Mountain, Inc.
Sr. Sub. Notes
8.75%, 9/30/09 B3 450 398,250
------------
GROUP TOTAL 874,901
------------
-----------------------------------------------------------------------------
-----------------
CABLE (9.6%)
Adelphia
Communications Corp.
Series B, Sr. Notes
8.375%, 2/1/08 B1 800 722,000
CSC Holdings, Inc.:
Sr. Sub. Notes
9.875%, 5/15/06 B1 400 408,000
Series B,
Sr. Sub. Debentures
8.125%, 8/15/09 Ba2 350 352,853
9.875%, 2/15/13 B1 850 862,750
Century
Communications Corp.:
Series B,
0.00%, 1/15/08 Ba3 650 266,500
Sr. Notes
9.75%, 2/15/02 Ba3 500 500,000
8.75%, 10/1/07 Ba3 400 364,000
Charter
Communications Holdings:
Sr. Notes
8.625%, 4/1/09 B2 1,000 880,000
(1) 10.25%, 1/15/10 B2 750 723,750
</TABLE>
<TABLE>
-----------------------------------------------------------------------------
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
(3) Sr. Discount Notes
0.00%, 4/1/11 B2 $ 1,000 $ 556,250
Classic Cable, Inc.
Series B, Gtd.
9.375%, 8/1/09 B3 400 372,000
Coaxial
Communications, Inc.
Gtd. Notes
10.00%, 8/15/06 B3 1,000 952,500
Comcast Corp.:
Sr. Sub. Notes
9.375%, 5/15/05 Ba3 180 188,775
9.125%, 10/15/06 Ba3 750 787,905
(3) Diamond Cable
Communications plc
Yankee Discount Notes
0.00%, 12/15/05 Caa1 1,500 1,432,500
(3) DIVA Systems Corp.
Series B,
Sr. Discount Notes
0.00%, 3/1/08 N/R 2,775 1,332,000
James Cable Partners L.P.
Series B, Sr. Notes
10.75%, 8/15/04 N/R 1,550 1,519,000
Jones Intercable, Inc.
Sr. Notes
7.625%, 4/15/08 Ba2 1,150 1,113,051
Lenfest
Communications, Inc.:
Sr. Notes
8.375%, 11/1/05 Ba3 500 519,760
10.50%, 6/15/06 B2 900 990,000
8.25%, 2/15/08 B2 200 205,000
NTL Communications Corp.:
Series B,
Sr. Notes
(3) 0.00%, 10/1/08 B3 1,500 967,500
11.50%, 10/1/08 B3 600 609,000
NTL, Inc.:
Sr. Notes
(3) Series A,
0.00%, 4/15/05 B3 1,000 1,015,000
Series B,
(3) 0.00%, 2/1/06 B3 1,050 1,002,750
10.00%, 2/15/07 B3 500 493,750
Northland Cable
Television
Sr. Sub. Notes
10.25%, 11/15/07 N/R 500 483,750
Olympus
Communications, L.P./
Olympus Capital Corp.
Series B,
Sr. Notes
10.625%, 11/15/06 B1 1,000 1,038,750
(3) Renaissance Media Group
Sr. Discount Notes
0.00%, 4/15/08 B3 1,000 663,750
Rogers Cablesystems Ltd.
Gtd.
10.00%, 12/1/07 Ba3 450 469,125
</TABLE>
6
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
(3) Telewest
Communications plc
Yankee Sr. Sub.
Discount Debentures
0.00%, 10/1/07 B1 $ 1,850 $ 1,729,750
------------
GROUP TOTAL 23,521,719
------------
-----------------------------------------------------------------------------
-----------------
CHEMICALS (1.9%)
Applied Extrusion
Technologies
Series B, Sr. Notes
11.50%, 4/1/02 B2 1,500 1,507,500
(1) Huntsman, Inc.
Sr. Sub. Notes
9.50%, 7/1/07 B2 400 358,000
Huntsman Polymers Corp.
Sr. Notes
11.75%, 12/1/04 B1 900 934,875
Laroche Industries, Inc.
Series B, Sr. Sub. Notes
9.50%, 9/15/07 Ca 400 72,000
Lyondell Chemical Co.
Series B, Secured Notes
9.875%, 5/1/07 Ba3 500 475,000
NL Industries, Inc.
Sr. Secured Notes
11.75%, 10/15/03 B1 250 257,500
(3) Sterling Chemical
Holdings, Inc.
Sr. Secured
Discount Notes
0.00%, 8/15/08 Caa1 1,000 327,500
Sterling Chemicals, Inc.
Sr. Sub. Notes
11.75%, 8/15/06 B3 334 283,065
Texas Petrochemical Corp.
Series B, Sr. Sub. Notes
11.125%, 7/1/06 N/R 350 286,125
------------
GROUP TOTAL 4,501,565
------------
-----------------------------------------------------------------------------
-----------------
CONSTRUCTION & BUILDING MATERIALS (1.1%)
AFC Enterprises
Sr. Sub. Notes
10.25%, 5/15/07 N/R 400 393,000
American Architectural
Products Corp.
Gtd. Sr. Notes
11.75%, 12/01/07 Caa1 1,150 281,750
Collins & Aikman Floor
Coverings, Inc.
Series B, Sr. Sub. Notes
10.00%, 1/15/07 B3 1,000 955,000
International Utility
Structures, Inc.
Yankee Sr. Sub. Notes
10.75%, 2/1/08 Caa1 500 428,750
MMI Products, Inc.
Series B,
Sr. Sub. Notes
11.25%, 4/15/07 B2 250 257,188
</TABLE>
<TABLE>
-----------------------------------------------------------------------------
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
Uniforet, Inc.
Yankee Gtd.
11.125%, 10/15/06 B3 $ 250 $ 66,875
Waxman Industries, Inc.
Series B, Sr. Notes
12.75%, 6/1/04 Caa1 600 300,000
------------
GROUP TOTAL 2,682,563
------------
-----------------------------------------------------------------------------
-----------------
CONSUMER PRODUCTS & SERVICES (2.2%)
Coinstar, Inc.
Sr. Discount Notes
13.00%, 10/1/06 Caa1 1,700 1,814,750
Doskocil Manufacturing
Co., Inc.
Gtd. Sr. Sub. Notes
10.125%, 9/15/07 B3 500 183,750
Drypers Corp.
Series B, Sr. Notes
10.25%, 6/15/07 Caa1 250 196,875
Fort James Corp.
Sr. Notes
6.234%, 3/15/01 Baa3 155 153,376
Holmes Products Corp.
Gtd. Sr. Sub. Notes
9.875%, 11/15/07 B3 800 558,000
Indesco International,
Inc.
Gtd. Sr. Sub. Notes
9.75%, 4/15/08 B3 600 226,500
Jordan Industries, Inc.
Series B, Sr. Notes
10.375%, 8/1/07 B3 1,150 1,095,375
Packaged Ice, Inc.
Gtd. Sr. Notes
9.75%, 2/1/05 B3 100 83,000
Playtex Products, Inc.
Series B, Gtd. Sr. Notes
8.875%, 7/15/04 B1 225 218,250
(1) Scotts Co.
Sr. Sub. Notes
8.625%, 1/15/09 B2 300 276,750
Sealy Mattress Co.
Gtd. Sr. Sub. Notes
9.875%, 12/15/07 B3 200 196,500
United Rentals, Inc.
Sr. Sub. Notes
9.25%, 1/15/09 B1 500 440,000
------------
GROUP TOTAL 5,443,126
------------
-----------------------------------------------------------------------------
-----------------
ELECTRONICS (1.1%)
(1) Condor Systems, Inc.
Gtd. Sr. Sub. Notes
11.875%, 5/1/09 B3 400 185,000
Details, Inc.
Series B, Sr. Sub. Notes
10.00%, 11/15/05 B3 500 467,500
Unisys Corp.:
Series B, Sr. Notes
12.00%, 4/15/03 B1 1,000 1,060,000
Sr. Notes
11.75%, 10/15/04 B1 225 242,438
7.875%, 4/1/08 B1 250 235,000
</TABLE>
7
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
Viasystems, Inc.:
Sr. Sub. Notes
9.75%, 6/1/07 B3 $ 300 $ 249,750
Series B, Sr. Sub. Notes
9.75%, 6/1/07 B3 150 124,875
------------
GROUP TOTAL 2,564,563
------------
-----------------------------------------------------------------------------
-----------------
ENERGY (4.7%)
Abraxas
Petroleum Corp.
Series D, Sr. Notes
11.50%, 11/1/04 B2 1,085 952,088
Bellwether
Exploration Co.
Gtd. Sr. Sub. Notes
10.875%, 4/1/07 B3 1,250 1,128,125
Canadian Forest Oil Ltd.
Gtd. Sr. Sub. Notes
8.75%, 9/15/07 B2 450 414,000
Cliffs Drilling Co.
Series D,
Gtd. Sr. Notes
10.25%, 5/15/03 B1 1,100 1,097,250
Cogentrix Energy, Inc.
Gtd. Unsecured Notes
8.75%, 10/15/08 Ba1 1,000 1,002,500
Continental Resources
Gtd. Sr. Notes
10.25%, 8/1/08 B3 250 228,125
Contour Energy Co.
Gtd.
14.00%, 4/15/03 B3 551 534,470
First Wave Marine, Inc.
Gtd. Sr. Notes
11.00%, 2/1/08 B3 1,000 602,500
Frontier Oil Corp.
Sr. Notes
11.75%, 11/15/09 B2 800 756,000
Giant Industries, Inc.
Gtd. Sr. Sub. Notes
9.00%, 9/1/07 B2 500 445,000
Gothic Production Corp.
Series B,
Gtd. Sr. Secured Notes
11.125%, 5/1/05 B3 250 208,438
H.S. Resources, Inc.:
Gtd. Sr. Sub. Notes
9.25%, 11/15/06 B2 600 576,000
Sr. Sub. Notes
9.875%, 12/1/03 B2 500 498,125
Key Energy Services, Inc.
Sr. Sub. Notes
14.00%, 1/15/09 B3 1,250 1,367,188
Keyspan Gas East
Unsub. Notes
7.875%, 2/1/10 A3 230 238,625
Korea Electric Power
Yankee
Unsecured Debentures
7.00%, 2/1/07 Baa3 240 222,713
Parker Drilling Co.
Series D, Gtd. Sr. Notes
9.75%, 11/15/06 B1 300 289,500
</TABLE>
<TABLE>
-----------------------------------------------------------------------------
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
Plains Resources, Inc.
Series B, Gtd.
Sr. Sub. Notes
10.25%, 3/15/06 B2 $ 375 $ 360,469
Southwest Royalties, Inc.
Series B, Gtd. Sr. Notes
10.50%, 10/15/04 B3 500 288,750
Wiser Oil Co.
Gtd. Sr. Sub. Notes
9.50%, 5/15/07 B2 450 360,000
------------
GROUP TOTAL 11,569,866
------------
-----------------------------------------------------------------------------
-----------------
ENTERTAINMENT (1.8%)
American Skiing Co.
Series B, Sr. Sub. Notes
12.00%, 7/15/06 B3 425 361,250
Bally Total
Fitness Holdings
Series D,
Sr. Sub. Notes
9.875%, 10/15/07 B3 350 320,250
Booth Creek Ski
Holdings, Inc.
Series B, Sr. Sub. Notes
12.50%, 3/15/07 Caa1 1,000 696,250
Cinemark U.S.A., Inc.
Series D, Sr. Sub. Notes
9.625%, 8/1/08 B2 250 161,875
Loews Cineplex
Sr. Sub. Notes
8.875%, 8/1/08 B3 900 589,500
Outboard Marine Corp.
Series B, Gtd. Sr. Notes
10.75%, 6/1/08 B3 500 398,750
(1)(2) Premier Cruises, Ltd.
Gtd. Sr. Notes
11.00%, 3/15/08 B3 900 30,375
Production Resource
Group,
LLC/PRG Finance Group
Gtd. Sr. Sub. Notes
11.50%, 1/15/08 Caa2 750 298,125
Regal Cinemas, Inc.
Sr. Sub. Notes
9.50%, 6/1/08 Caa1 1,050 467,250
Silver Cinemas, Inc.
Sr. Sub. Notes
10.50%, 4/15/05 Caa1 1,900 465,500
Time Warner, Inc.:
Debentures
7.48%, 1/15/08 Ba1 630 629,213
Notes
8.11%, 8/15/06 Baa3 60 61,350
------------
GROUP TOTAL 4,479,688
------------
-----------------------------------------------------------------------------
-----------------
FINANCIAL SERVICES (2.8%)
Associates Corp.
Sr. Notes
6.25%, 11/1/08 Aa3 400 365,176
Bear Stearns Co., Inc.:
Sr. Unsub. Notes
7.625%, 2/1/05 A2 125 124,375
</TABLE>
8
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
Notes
7.625%, 12/7/09 A2 $ 370 $ 363,063
CIT Group, Inc.
Unsub. Notes
7.375%, 3/15/03 A1 380 378,575
Capital One Bank
Sr. Notes
6.57%, 1/27/03 Baa2 290 281,300
Citicorp
Series F, Sub. Notes
6.375%, 11/15/08 A1 140 129,473
Conseco Finance
Trust III
Bonds
8.796%, 4/1/27 Ba2 55 48,125
Conseco, Inc.:
Notes
7.875%, 12/15/00 Baa3 170 170,059
6.40%, 2/10/03 Baa3 155 145,119
9.00%, 10/15/06 Baa3 125 126,094
(1) ERAC USA Finance Co.
Notes
7.95%, 12/15/09 Baa2 50 50,313
Finova Capital Corp.:
Notes
6.55%, 11/15/02 Baa1 155 149,769
7.25%, 11/8/04 Baa1 135 129,600
Ford Motor Credit Co.
Notes
7.375%, 10/28/09 A1 455 445,745
Gatx Capital Corp.
Notes
7.75%, 12/1/06 Baa2 250 247,813
Goldman Sachs
Group, Inc.
Medium Term Notes
7.35%, 10/1/09 A1 440 425,700
Lehman Brothers
Holdings
Notes
6.625%, 4/1/04 Baa1 135 130,275
Long Island Savings
Bank F.S.B.
Notes
7.00%, 6/13/02 Baa3 770 755,085
(1) Madison River
Capital/Finance
Sr Notes
13.25%, 3/10/10 Caa1 1,250 1,221,875
(1) Potomac Capital
Investment Corp.
Notes
7.55%, 11/19/01 Baa1 150 148,500
Sanwa Finance
Aruba AEC
Bank Gtd.
8.35%, 7/15/09 Baa1 200 201,750
Sumitomo Bank
Notes
8.50%, 6/15/09 Baa1 100 102,750
(1) US West Cap
Funding, Inc.
Gtd.
6.875%, 8/15/01 Baa1 270 268,313
</TABLE>
<TABLE>
-----------------------------------------------------------------------------
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
(2) Westfed Holdings
Sr. Debentures
15.50%, 9/15/99 N/R $ 1,750 $ 297,500
------------
GROUP TOTAL 6,706,347
------------
-----------------------------------------------------------------------------
-----------------
FOOD & BEVERAGES (1.7%)
Archibald Candy Corp.
Gtd. Sr. Secured Notes
10.25%, 7/1/04 B2 1,000 945,000
Eagle Family Foods
Series B, Gtd. Sr. Notes
8.75%, 1/15/08 B3 450 337,500
Fleming Companies, Inc.
Sr. Sub. Notes
10.50%, 12/1/04 B3 700 644,000
International Home
Foods, Inc.
Gtd. Sr. Sub. Notes
10.375%, 11/1/06 B2 1,000 970,000
Kroger Co.
Sr. Notes
7.625%, 9/15/06 Baa3 400 399,000
(1) Premier International
Foods, plc
Sr. Notes
12.00%, 9/1/09 B3 1,000 937,500
------------
GROUP TOTAL 4,233,000
------------
-----------------------------------------------------------------------------
-----------------
HEALTH CARE (1.3%)
(1) ICN Pharmaceutical
Sr. Notes
8.75%, 11/15/08 Ba3 500 465,000
(1) Icon Health & Fitness,
Inc.
Gtd.
12.00%, 9/27/05 N/R 222 133,200
Meditrust
Conv. Debentures
7.50%, 3/1/01 Baa3 2,000 1,760,000
Oxford Health Plans
Sr. Notes
11.00%, 5/15/05 Caa1 590 581,150
(2) Paracelsus Healthcare
Sr. Sub. Notes
10.00%, 8/15/06 B3 750 337,500
------------
GROUP TOTAL 3,276,850
------------
-----------------------------------------------------------------------------
-----------------
INDUSTRIAL GOODS & MATERIALS (2.3%)
AMTROL Acquisition, Inc.
Sr. Sub. Notes
10.625%, 12/31/06 B3 400 380,500
APCOA, Inc.
Gtd. Sr. Notes
9.25%, 3/15/08 Caa1 430 235,425
Atlantis Group, Inc.
Sr. Notes
11.00%, 2/15/03 B2 585 585,000
CLARK Material
Handling Co.
Gtd. Sr. Notes
10.75%, 11/15/06 B1 550 86,625
</TABLE>
9
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
(1) Diamond Triumph
Sr. Notes
9.25%, 4/1/08 B2 $ 500 $ 345,625
Elgar Holdings, Corp.
Gtd.
9.875%, 2/1/08 B2 200 97,500
Haynes International,
Inc.
Sr. Notes
11.625%, 9/1/04 B3 500 276,250
International Knife &
Saw, Inc.
Sr. Sub. Notes
11.375%, 11/15/06 B3 750 556,875
K N Energy, Inc.
Notes
6.30%, 3/1/01 Baa2 270 266,984
Motors & Gears, Inc.
Series D, Sr. Notes
10.75%, 11/15/06 B3 1,400 1,384,250
Neenah Corp.
Series B, Sr. Sub. Notes
11.125%, 5/1/07 B3 250 222,500
Park-Ohio Industries,
Inc.
Sr. Sub. Notes
9.25%, 12/1/07 B2 400 336,000
Seagate Technology, Inc.
Sr. Debentures
7.45%, 3/1/37 Baa3 95 83,772
(3) Thermadyne Manufacturing,
LLC/ Thermadyne Capital
Corp.
Gtd. Sr. Sub. Notes
0.00%, 6/1/08 B3 975 409,500
Thermadyne Holdings Corp.
Sr. Discount Notes
9.875%, 6/1/08 Caa1 300 251,625
------------
GROUP TOTAL 5,518,431
------------
-----------------------------------------------------------------------------
-----------------
METALS & MINING (2.8%)
Algoma Steel, Inc.
Yankee First Mortgage
Notes
12.375%, 7/15/05 B1 1,000 975,000
Bayou Steel Corp.
First Mortgage Notes
9.50%, 5/15/08 B1 500 451,250
GS Technologies Operating
Co.
Sr. Notes
12.00%, 9/1/04 Caa1 525 282,188
(2) Gulf States Steel, Inc.
First Mortgage Notes
13.50%, 4/15/03 B1 1,050 150,938
Kaiser Aluminum &
Chemical Corp.
Series D, Sr. Notes
10.875%, 10/15/06 B1 675 653,063
Lodestar Holdings, Inc.
Sr. Notes
11.50%, 5/15/05 Caa2 800 174,000
</TABLE>
<TABLE>
-----------------------------------------------------------------------------
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
Metallurg, Inc.
Series B, First Mortgage
Gtd. Sr. Notes
11.00%, 12/1/07 B3 $ 950 $ 776,625
National Steel Corp.
Series D,
First Mortgage Bonds
9.875%, 3/1/09 Ba3 750 733,125
Sheffield Steel Corp.
Series B,
First Mortgage Bonds
11.50%, 12/1/05 Caa2 750 624,375
WCI Steel, Inc.
Series B,
Sr. Secured Notes
10.00%, 12/1/04 B2 925 911,125
Weirton Steel Corp.
Sr. Notes
11.375%, 7/1/04 B2 500 510,000
Wheeling-Pittsburg Corp.
Sr. Notes
9.25%, 11/15/07 B2 750 671,250
------------
GROUP TOTAL 6,912,939
------------
-----------------------------------------------------------------------------
-----------------
PACKAGING/CONTAINERS (1.4%)
AEP Industries, Inc.
Sr. Sub. Notes
9.875%, 11/15/07 B2 250 199,375
BPC Holding Corp.
Series B,
Sr. Secured Notes
12.50%, 6/15/06 Caa3 959 882,280
Container Corp.
of America
Gtd. Sr. Notes
9.75%, 4/1/03 B1 500 497,500
Crown Cork & Seal
Co., Inc.
Notes
7.125%, 9/1/02 Baa2 210 205,538
(3) Crown Packaging
Enterprises, Ltd.
Yankee Sr. Secured
Discount Notes
0.00%, 8/1/06 Ca1 2,450 1,225
Gaylord Container Corp.
Series B, Sr. Notes
9.75%, 6/15/07 B3 700 647,500
Radnor Holdings, Inc.
Series B,
Gtd. Sr. Notes
10.00%, 12/1/03 B2 500 425,000
Stone Container
Finance Co.
Yankee Gtd. Sr. Notes
11.50%, 8/15/06 B2 530 559,813
------------
GROUP TOTAL 3,418,231
------------
-----------------------------------------------------------------------------
-----------------
</TABLE>
10
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
PAPER & FOREST PRODUCTS (2.5%)
Ainsworth Lumber
Co., Ltd.
Yankee
Sr. Secured Notes
12.50%, 7/15/07 B3 $ 1,900 $ 2,059,125
Color Spot Nurseries
Sr. Sub. Notes
10.50%, 12/15/07 Caa1 1,000 725,000
(2) Crown Paper Co.
Sr. Sub. Notes
11.00%, 9/1/05 B3 800 240,000
QUNO Corp.
Yankee Sr. Notes
9.125%, 5/15/05 Baa3 315 329,326
Repap New
Brunswick, Inc.
Sr. Secured Debentures
10.625%, 4/15/05 B3 800 728,000
(1) Repap Enterprises
Convertible Debentures
6.00%, 6/30/05 N/R 500 260,000
Riverwood
International Corp.
Gtd. Sr. Notes
10.875%, 4/1/08 Caa1 600 576,000
SD Warren Co.
Debentures
14.00%, 12/15/06 N/R 995 1,099,060
------------
GROUP TOTAL 6,016,511
------------
-----------------------------------------------------------------------------
-----------------
PUBLISHING & INFORMATION SERVICES (2.3%)
American Lawyer Media
Holdings, Inc.
Gtd. Sr. Notes
9.75%, 12/15/07 B1 450 422,438
Ampex Corp.
Series B, Sr. Notes
12.00%, 3/15/03 N/R 750 712,500
(3) Earthwatch, Inc.
Units
0.00%, 7/15/07 N/R 900 618,750
Hollinger International
Publishing
Gtd. Sr. Notes
9.25%, 3/15/07 Ba3 1,000 935,000
Lamar Advertising Co.
Gtd. Sr. Sub. Notes
9.625%, 12/1/06 B1 250 251,563
(3) Liberty Group
Publishing, Inc.
Sr. Discount Debentures
0.00%, 2/1/09 Caa1 600 298,500
Mentus Media Corp.
Units
12.00%, 2/1/03 N/R 1,693 575,620
Printpack, Inc.
Series B, Sr. Sub. Notes
10.625%, 8/15/06 Caa1 300 291,000
TV Guide, Inc.
Sr. Sub. Notes
8.125%, 3/1/09 Ba3 500 495,000
</TABLE>
<TABLE>
-----------------------------------------------------------------------------
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
Tri-State Outdoor Media
Sr. Notes
11.00%, 5/15/08 N/R $ 1,023 $ 979,523
------------
GROUP TOTAL 5,579,894
------------
-----------------------------------------------------------------------------
-----------------
REAL ESTATE (0.0%)
EOP Operating, L.P.
Sr. Notes
6.375%, 2/15/03 Baa1 65 62,238
------------
-----------------------------------------------------------------------------
-----------------
RESTAURANTS, HOTELS & GAMING (6.3%)
American Restaurant
Group, Inc.
Gtd. Sr. Secured Notes
11.50%, 2/15/03 B3 750 495,000
AmeriKing, Inc.
Sr. Notes
10.75%, 12/1/06 B3 250 219,375
Ameristar Casinos
Series B, Gtd.
10.50%, 8/1/04 B3 600 592,500
Aztar Corp.
Sr. Sub. Notes
8.875%, 5/15/07 B1 500 452,500
Bluegreen Corp.
Gtd. Sr. Secured Notes
10.50%, 4/1/08 B3 1,000 856,250
Boyd Gaming Corp.
Sr. Sub. Notes
9.50%, 7/15/07 B1 150 138,000
CapStar Hotel Co.
Sr. Sub. Notes
8.75%, 8/15/07 B1 375 326,250
Casino Magic of
Louisiana Corp.
Series B, Gtd. First
Mortgage Notes
13.00%, 8/15/03 B3 1,300 1,426,750
(2) Fitzgeralds Gaming Corp.
Series B, Gtd. Sr. Notes
12.25%, 12/15/04 Caa3 500 272,500
Friendly Ice Cream Corp.
Gtd. Sr. Notes
10.50%, 12/1/07 B1 800 548,000
HMH Properties
Series B, Gtd. Sr. Notes
7.875%, 8/1/08 Ba2 500 417,500
Hard Rock Hotel, Inc.
Sr. Sub. Notes
9.25%, 4/1/05 B3 1,400 1,176,000
Hollywood Park, Inc.
Series B,
Gtd. Sr. Sub. Notes
9.50%, 8/1/07 B2 675 665,719
Horseshoe
Gaming Holdings:
Series B, Sr. Sub. Notes
9.375%, 6/15/07 B2 750 716,250
8.625%, 5/15/09 B2 750 688,125
Intrawest Corp.
Sr. Notes
9.75%, 8/15/08 B1 250 236,875
</TABLE>
11
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
Isle of Capri Casinos,
Inc.
Sr. Sub. Notes
8.75%, 4/15/09 B3 $ 450 $ 393,750
Lodgian Financing Corp.
Sr. Sub. Notes
12.25%, 7/15/09 B3 500 440,000
(1) Majestic Star
Casino, LLC
Secured Notes
10.875%, 7/1/06 B2 500 495,000
Mohegan Tribal Gaming
Authority
Sr. Notes
8.125%, 1/1/06 Ba1 900 852,750
(1) Park Place
Entertainment Corp.
Sr. Sub. Notes
9.375%, 2/15/07 Ba2 500 490,000
Prime Hospitality Corp.
Secured First
Mortgage Notes
9.25%, 1/15/06 Ba2 850 822,375
Romacorp, Inc.
Sr. Notes
12.00%, 7/1/06 B3 750 601,875
Sante Fe Hotel, Inc.
Gtd. First Mortgage
Notes
11.00%, 12/15/00 Caa2 704 686,400
Station Casinos
Sr. Sub. Notes
9.75%, 4/15/07 B2 1,400 1,386,000
------------
GROUP TOTAL 15,395,744
------------
-----------------------------------------------------------------------------
-----------------
RETAIL (3.9%)
(3) Advance Holdings Corp.
Series B,
Sr. Discount Debentures
0.00%, 4/15/09 Caa2 1,500 703,125
Advance Stores Co.
Gtd. Sr. Sub. Notes
10.25%, 4/15/08 Caa1 2,000 1,595,000
Dairy Mart Convenience
Stores, Inc.
Sr. Sub. Notes
10.25%, 3/15/04 B3 275 220,000
Finlay Enterprises, Inc.
Sr. Debentures
9.00%, 5/1/08 B2 400 359,000
Finlay Fine Jewelry Corp.
Gtd. Sr. Notes
8.375%, 5/1/08 Ba3 1,050 947,625
Flooring America, Inc.
Series B, Gtd.
9.25%, 10/15/07 Caa1 518 495,698
(2) Jitney-Jungle Stores of
America, Inc.
Gtd. Sr. Sub. Notes
10.375%, 9/15/07 B3 300 5,625
Jo-Ann Stores, Inc.
Sr. Sub. Notes
10.375%, 5/1/07 B2 250 220,000
</TABLE>
<TABLE>
-----------------------------------------------------------------------------
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
K Mart Corp.
Debentures
7.75%, 10/1/12 Ba2 $ 1,175 $ 1,114,593
(3) Mrs. Fields Holding Co.
Units
0.00%, 12/1/05 Caa2 1,750 980,000
Mrs. Fields Original
Cookies, Inc.:
Gtd. Sr. Notes
10.125%, 12/1/04 B2 1,400 1,144,500
(1) 10.125%, 12/1/04 B2 250 204,375
Pantry, Inc.
Sr. Sub. Notes
10.25%, 10/15/07 B3 550 489,500
Pathmark Stores, Inc.
Sr. Sub. Notes
9.625%, 5/1/03 Caa1 1,100 803,000
Saks, Inc.:
Gtd.
7.00%, 7/15/04 Baa3 90 83,925
8.25%, 11/15/08 Baa3 80 75,900
Wal-Mart Stores, Inc.
Sr. Notes
6.875%, 8/10/09 Aa2 165 160,525
------------
GROUP TOTAL 9,602,391
------------
-----------------------------------------------------------------------------
-----------------
TELECOMMUNICATIONS (19.3%)
(3) COLT Telecom Group plc
Yankee Units
0.00%, 12/15/06 B1 400 352,000
(3) Call-Net
Enterprises, Inc.
Sr. Discount Notes
0.00%, 5/15/09 B2 500 229,375
(3) Clearnet
Communications, Inc.
Yankee Sr. Discount
Notes
0.00%, 12/15/05 B3 1,050 1,047,375
(1) Colo.Com
Units
13.875%, 3/15/10 N/R 400 404,000
Concentric Network Corp.
Units
12.75%, 12/15/07 N/R 750 781,875
(3) DTI Holdings, Inc.
Units
0.00%, 3/1/08 N/R 1,850 860,250
Dobson/Sygnet
Communications, Co.
Sr. Notes
12.25%, 12/15/08 N/R 1,300 1,361,750
Dolphin Telecom plc:
(3) Sr. Discount Notes
0.00%, 6/1/08 Caa1 750 330,000
Series B, Yankee
Sr. Discount Notes
14.00%, 5/15/09 Caa1 700 273,000
(3) e. spire
Communications, Inc.
Sr. Discount Notes
0.00%, 11/1/05 N/R 2,700 1,620,000
</TABLE>
12
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
Exodus
Communications, Inc.
Sr. Notes
11.25%, 7/1/08 N/R $ 550 $ 548,625
(3) Focal
Communications Corp.
Sr. Discount Notes
0.00%, 2/15/08 N/R 1,400 910,000
(3) GST USA, Inc.
Gtd. Sr. Discount Notes
0.00%, 12/15/05 N/R 1,800 897,750
Global Crossing
Holdings, Ltd.
Gtd. Sr. Notes
9.625%, 5/15/08 N/R 1,100 1,061,500
Globalstar, L.P. /
Globalstar
Capital Corp.:
Sr. Notes
10.75%, 11/1/04 B3 1,000 347,500
11.25%, 6/15/04 Caa1 200 72,000
11.50%, 6/1/05 B3 500 178,750
(3) Golden Sky DBS, Inc.
Series B,
Sr. Discount Notes
0.00%, 3/1/07 Caa1 250 167,188
(3) Hyperion
Telecommunications, Inc.
Series B, Sr. Discount
Notes
0.00%, 4/15/03 B3 450 414,000
(3) ICG Holdings, Inc.:
Gtd. Sr. Discount Notes
0.00%, 9/15/05 B3 650 607,750
0.00%, 5/1/06 B3 600 489,000
0.00%, 3/15/07 B3 1,750 1,242,500
(3) ICG Services, Inc.:
Gtd. Sr. Discount Notes
0.00%, 2/15/08 N/R 500 275,000
0.00%, 5/1/08 N/R 1,350 729,000
ITC DeltaCom, Inc.
Sr. Notes
11.00%, 6/1/07 B2 259 262,885
(1) Interact Operating Co.
Notes
14.00%, 8/1/03 N/R 508 172,805
Intermedia
Communications, Inc.
Sr. Notes
8.875%, 11/1/07 B2 200 187,500
KMC Telecom Holdings,
Inc.
Sr. Notes
13.50%, 5/15/09 Caa2 500 488,750
(3) Knology Holdings, Inc.
Sr. Discount Notes
0.00%, 10/15/07 N/R 1,000 643,750
Level 3 Communications,
Inc.:
Sr. Notes
9.125%, 5/1/08 B3 1,150 989,000
(3) Sr. Discount Notes
0.00%, 12/1/08 B3 1,000 563,750
</TABLE>
<TABLE>
-----------------------------------------------------------------------------
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
MCI Worldcom, Inc.
Sr. Unsecured Notes
6.50%, 4/15/10 Baa2 $ 125 $ 116,406
McLeod USA, Inc.:
Sr. Discount Notes
(3) 0.00%, 3/1/07 B2 800 628,000
Sr. Notes
9.25%, 7/15/07 B2 400 376,000
9.50%, 11/1/08 B2 1,000 957,500
Metromedia
International Group
Series B,
Sr. Discount Notes
10.50%, 9/30/07 N/R 2,635 1,238,259
MetroNet Communications
Corp.:
Sr. Discount Notes
10.75%, 11/1/07 B 1,100 911,625
(3) 0.00%, 6/15/08 B3 1,000 788,750
Microcell
Telecommunications, Inc.
Series B, Yankee
Sr. Discount Notes
14.00%, 6/1/06 B3 470 415,950
(3) Millicom
International Cellular
Yankee Sr. Sub.
Discount Notes
0.00%, 6/1/06 Caa1 850 745,875
NEXTLINK
Communications, Inc.:
Sr. Discount Notes
(3) 0.00%, 4/15/08 B3 1,700 1,003,000
Sr. Notes
12.50%, 4/15/06 B3 350 360,500
10.75%, 11/15/08 B3 500 480,000
(3) Nextel
Communications, Inc.
Sr. Discount Notes
0.00%, 2/15/08 B2 1,700 1,147,500
Orange plc
Sr. Notes
9.00%, 6/1/09 B3 100 103,250
Orbital Imaging Corp.
Series B, Sr. Notes
11.625%, 3/1/05 N/R 500 298,750
Orion Network
Systems, Inc.
Gtd. Sr. Notes
11.25%, 1/15/07 B2 500 348,750
PSINET, Inc.
Sr. Notes
11.50%, 11/1/08 B3 1,050 1,044,750
(3) Pagemart
Nationwide, Inc.
Sr. Discount Notes
0.00%, 2/1/05 B3 1,750 1,835,313
(1) Pegasus
Communications Corp.
Sr. Sub. Notes
12.50%, 8/1/07 N/R 750 804,375
</TABLE>
13
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
(3) Qwest Communications
International, Inc.
Sr. Discount Notes
0.00%, 10/15/07 B2 $ 1,100 $ 884,125
RCN Corp.:
Series B,
(3) Sr. Discount Notes
0.00%, 2/15/08 B3 900 529,875
Sr. Notes
10.125%, 1/15/10 B3 500 448,750
RSL Communications plc:
Yankee Gtd. Sr. Notes
9.125%, 3/1/08 B3 200 160,000
10.50%, 11/15/08 B3 250 218,125
9.875%, 11/15/09 B2 1,100 904,750
Rhythms
Netconnections, Inc.:
Sr. Notes
12.75%, 4/15/09 B3 250 208,125
Units
13.00%, 5/15/08 N/R 1,500 735,000
Rogers Cablesystems, Ltd.
Series B,
Yankee Sr. Secured 2nd
Priority Notes
10.00%, 3/15/05 Ba3 250 260,000
Rogers Cantel, Inc.
Yankee Sr. Secured
Debentures
9.375%, 6/1/08 Ba3 350 355,250
Sprint Capital Corp.
Medium Term Notes
6.875%, 11/15/01 Baa1 300 296,625
Sprint Spectrum
L.P./Sprint
Spectrum Finance Corp.
Sr. Notes
11.00%, 8/15/06 B2 1,500 1,636,815
Star Choice
Communications, Inc.
Yankee Sr. Notes
13.00%, 12/15/05 N/R 500 508,125
Startec Global
Communications Corp.
Units
12.00%, 5/15/08 N/R 750 629,063
Telesystem
International Wireless
Series B,
Sr. Discount Notes
13.25%, 6/30/07 Caa1 500 314,375
Teligent, Inc.
Sr. Notes
11.50%, 12/1/07 Caa1 750 675,000
(1) (3) Tritel PCS, Inc.
Sr. Discount Notes
0.00%, 5/15/09 B3 500 308,750
(3) Triton PCS, Inc.
Gtd.
0.00%, 5/1/08 B3 800 545,000
(1) (3) US Unwired, Inc.
Sr. Discount Notes
0.00%, 11/1/09 Caa1 700 374,500
</TABLE>
<TABLE>
-----------------------------------------------------------------------------
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
(1) US West
Communications, Inc.
Bonds
7.20%, 11/1/04 A2 $ 110 $ 108,900
Viatel, Inc.:
Sr. Notes
11.25%, 4/15/08 Caa1 850 771,375
(1) 11.50%, 3/15/09 B3 1,098 1,007,053
Western
Wireless Corp.
Sr. Sub. Notes
10.50%, 2/1/07 B3 350 366,625
Williams Communications
Group, Inc.
Sr. Notes
10.875%, 10/1/09 B2 500 492,500
(3) Winstar
Communications, Inc.
Sr. Discount Notes
0.00%, 10/15/05 Caa1 1,600 1,647,975
(1) Worldwide Fiber, Inc.
Sr. Notes
12.00%, 8/1/09 B3 800 756,000
------------
GROUP TOTAL 47,255,862
------------
-----------------------------------------------------------------------------
-----------------
TEXTILES/APPAREL (1.1%)
Iron Age Corp.
Sr. Sub. Notes
9.875%, 5/1/08 B3 250 179,063
Phillips-Van Heusen Corp.
Sr. Sub. Notes
9.50%, 5/1/08 B1 800 741,000
Pillowtex Corp.
Gtd. Sr. Sub. Notes
10.00%, 11/15/06 B2 500 177,500
Simmons Co.
Series B, Sr. Sub. Notes
10.25%, 3/15/09 B3 650 567,125
Tropical Sportswear
International
Series A, Gtd. Sr. Notes
11.00%, 6/15/08 B3 600 556,500
William Carter Co.
Series A, Sr. Sub. Notes
10.375%, 12/1/06 B3 500 439,375
------------
GROUP TOTAL 2,660,563
------------
-----------------------------------------------------------------------------
-----------------
TRANSPORTATION (1.7%)
AirTran Airlines, Inc.
Yankee Sr. Notes
10.50%, 4/15/01 N/R 1,000 972,500
(2) Canadian Airlines Corp.
Yankee Sr. Notes
12.25%, 8/1/06 Caa2 1,950 970,125
(2) Golden Ocean Group, Ltd.
Gtd. Sr. Notes
10.00%, 8/31/01 B3 1,148 137,760
Hermes Europe Railtel
B.V.
Sr. Notes
11.50%, 8/15/07 B3 1,000 942,500
</TABLE>
14
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
Pegasus Shipping
(Hellas),
Ltd.
Series A, First
Preferred
Ship Mortgage Notes
11.875%, 11/15/04 B3 $ 300 $ 110,250
Sea Containers, Ltd.
Yankee Sr. Notes
10.75%, 10/15/06 Ba3 500 423,750
Trans World Airlines,
Inc.
Sr. Notes
11.375%, 3/1/06 Caa1 1,500 521,250
------------
GROUP TOTAL 4,078,135
------------
-----------------------------------------------------------------------------
-----------------
WASTE MANAGEMENT (0.4%)
(1) Waste Systems
International, Inc.
Sub. Notes
7.00%, 5/13/05 N/R 1,500 1,005,000
------------
-----------------------------------------------------------------------------
-----------------
TOTAL CORPORATE OBLIGATIONS
(Cost $235,954,973) 197,682,451
------------
-----------------------------------------------------------------------------
GOVERNMENT & AGENCY SECURITIES (1.0%)
-----------------------------------------------------------------------------
-----------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (0.2%)
7.125%, 1/15/30 Aaa 60 60,750
STRIPS,
Series H, Class 2
11.50%, 5/1/09 Aaa 493 538,498
------------
GROUP TOTAL 599,248
------------
-----------------------------------------------------------------------------
-----------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (0.1%)
Various Pools:
10.50%, 9/15/15 Aaa 33 36,124
10.50%, 9/15/15 Aaa 19 20,224
10.50%, 12/15/15 Aaa 3 3,367
10.50%, 3/15/16 Aaa 26 27,771
10.50%, 8/15/16 Aaa 34 36,639
------------
GROUP TOTAL 124,125
------------
-----------------------------------------------------------------------------
-----------------
UNITED STATES TREASURY BONDS (0.2%)
10.375%, 11/15/12 Aaa 390 479,517
6.125%, 8/15/29 Aaa 55 56,057
------------
GROUP TOTAL 535,574
------------
-----------------------------------------------------------------------------
-----------------
UNITED STATES TREASURY NOTES (0.5%)
5.875%, 11/15/04 Aaa 240 235,649
7.25%, 5/15/04 Aaa 630 649,095
6.50%, 5/15/05 Aaa 15 15,103
6.50%, 10/15/06 Aaa 110 110,974
6.00%, 8/15/09 Aaa 100 98,734
6.50%, 2/15/10 Aaa 141 145,935
------------
GROUP TOTAL 1,255,490
------------
-----------------------------------------------------------------------------
-----------------
TOTAL GOVERNMENT & AGENCY SECURITIES
(Cost $2,466,750) 2,514,437
------------
-----------------------------------------------------------------------------
</TABLE>
<TABLE>
-----------------------------------------------------------------------------
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS (0.5%)
-----------------------------------------------------------------------------
Commercial Mortgage
Asset Trust
Series 1999, Class A3
6.64%, 1/17/32 Aaa $ 310 $ 288,846
GMAC Commercial
Mortgage Securities,
Inc.:
6.853%, 9/15/06 Aaa 80 78,088
6.945%, 9/15/33 Aaa 550 532,200
Nomura Asset
Securities Corp.
Series 1998-D6, Class
A1B6
6.59%, 3/17/28 Aaa 310 291,013
-----------------------------------------------------------------------------
-----------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $1,266,970) 1,190,147
------------
-----------------------------------------------------------------------------
-----------------
ASSET BACKED OBLIGATIONS (1.2%)
-----------------------------------------------------------------------------
Chase Credit
Card Master Trust
Series 1999-3, Class A
6.66%, 1/15/07 Aaa 420 412,453
(1) Constellation Finance,
LLC
Series 1997-1, Class 1
9.80%, 12/14/02 N/R 250 230,000
Contimortgage Home
Equity Loan Trust
7.22%, 1/15/28 Aaa 125 122,460
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 401 394,945
MBNA Master
Credit Card Trust:
Series 1999-G, Class A
6.35%, 12/15/06 Aaa 130 125,856
Series 1997-I, Class A
6.55%, 1/15/07 Aaa 160 157,099
Peco Energy
Transition Trust:
Series 1999-A, Class A6
6.05%, 3/1/09 Aaa 90 83,644
Series 1999-A, Class A7
6.13%, 3/1/09 Aaa 335 308,409
Prudential Securities
Secured Financing Corp.
Series 1999-C2, Class A2
7.193%, 4/15/09 Aaa 385 373,330
Residential Asset
Securities Corp.
Series 1999-KS3, Class
AI2
7.075%, 9/25/20 Aaa 125 123,633
Standard Credit Card
Master Trust
Series 1994-2, Class A
7.25%, 4/7/08 Aaa 420 413,830
</TABLE>
15
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
UCFC Home Equity Loan:
Series 1996-B1, Class A7
8.20%, 9/15/27 Aaa $ 110 $ 108,213
Series 1998-A, Class A7,
6.87%, 7/15/29 Aaa 50 46,203
------------
-----------------------------------------------------------------------------
-----------------
TOTAL ASSET BACKED OBLIGATIONS
(Cost $3,002,056) 2,900,075
------------
-----------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Shares/
Units
<C> <S> <C> <C>
--------------------------------------------------------------------------
-----------------
COMMON STOCKS (5.0%)
--------------------------------------------------------------------------
-----------------
CABLE (0.0%)
(1) (4) OpTel, Inc. 1,000 10
-----------
--------------------------------------------------------------------------
-----------------
CONSUMER PRODUCTS & SERVICES (0.3%)
(4) Coinstar, Inc. 11,887 149,888
(4) Concentric Network Corp. 9,510 523,050
(4) Crown Packaging Enterprises, Ltd. 253,746 2,537
-----------
GROUP TOTAL 675,475
-----------
--------------------------------------------------------------------------
-----------------
ENERGY (0.1%)
(4) Abraxas Petroleum Corp. 92,408 207,918
-----------
--------------------------------------------------------------------------
-----------------
ENTERTAINMENT (0.1%)
Premier Cruises, Ltd. 66,653 174,964
-----------
--------------------------------------------------------------------------
-----------------
FINANCIAL SERVICES (0.0%)
(4) (5) Westfed Holdings, Inc.
Class B (acquired 9/20/88, cost $383) 12,670 0
-----------
--------------------------------------------------------------------------
-----------------
FOOD & BEVERAGES (0.7%)
(4) (5) Dr. Pepper Bottling Holdings, Inc.
Class A (acquired 2/25/97, cost
$1,181,250) 75,000 1,875,000
(1) (4) Specialty Foods Corp. 30,000 1,500
-----------
GROUP TOTAL 1,876,500
-----------
--------------------------------------------------------------------------
-----------------
METALS & MINING (0.0%)
(4) Sheffield Steel Corp. 6,250 12,500
-----------
--------------------------------------------------------------------------
-----------------
PAPER & FOREST PRODUCTS (0.1%)
(1)(4)(6) Mail-Well, Inc. 21,306 185,096
-----------
--------------------------------------------------------------------------
-----------------
RESTAURANTS, HOTELS & GAMING (0.1%)
(4) Elsinore Corp. 86,538 140,624
(4) Isle of Capri Casinos, Inc. 14,947 186,838
(1) (4) Motels of America, Inc. 500 7,500
-----------
GROUP TOTAL 334,962
-----------
--------------------------------------------------------------------------
-----------------
TELECOMMUNICATIONS (3.6%)
(4) Advanced Radio Telecom Corp. 18,211 603,239
<CAPTION>
Shares/
Units Value
--------------------------------------------------------------------------
<C> <S> <C> <C>
(1) (4) CompleTel Holdings, LLC
Class B Shares 6,500 $ 260,000
(4) e. spire Communications, Inc. 28,337 199,243
(4) Globix Corp. 14,080 536,800
(4) ICG Communications, Inc. 2,145 77,488
(4) Intermedia Communications, Inc. 6,820 329,491
(4) Loral Space & Communications, Co. 302 3,077
(4) Microcell Telecommunications,
Class B 3,436 152,473
(4) Nextel Communications, Inc.
Class A 310 45,958
(4) Price Communications Corp. 88,727 2,040,721
(1) (4) Spanish Broadcasting System, Inc.
Class B 107,100 2,369,588
(4) UnitedGlobalCom, Inc.
Class A 26,756 2,008,372
(4) Viatel, Inc. 3,424 171,842
-----------
GROUP TOTAL 8,798,292
-----------
--------------------------------------------------------------------------
-----------------
TOTAL COMMON STOCKS
(Cost $3,417,342) 12,265,717
-----------
--------------------------------------------------------------------------
-----------------
PREFERRED STOCKS (4.3%)
--------------------------------------------------------------------------
-----------------
AEROSPACE/DEFENSE (0.4%)
GPA Group plc
7% Second Preferred Cum. Conv. 2,125,000 1,020,000
-----------
--------------------------------------------------------------------------
-----------------
BROADCASTING (0.4%)
Benedek Communications Corp.
11.50% Sr. Exchangeable 150 130,500
(4) Pegasus Communications Corp.:
12.75% Cum. Exchangeable,
Series A 104 109,200
Units 250 325,000
(4) Source Media, Inc.
13.50% Units 74,150 333,675
-----------
GROUP TOTAL 898,375
-----------
--------------------------------------------------------------------------
-----------------
CABLE (0.8%)
Adelphia Communications Corp.
13% Cum. Exchangeable, Series B 5,000 540,000
(4) DIVA Systems Corp.
Series D 56,913 1,365,912
(4) NTL, Inc.
13% Exchangeable, Series B 1 567
-----------
GROUP TOTAL 1,906,479
-----------
--------------------------------------------------------------------------
-----------------
FINANCIAL SERVICES (0.3%)
(1) Deutsche Bank Capital Funding Tr I
7.872% Non-cumulated 120,000 113,548
Lehman Brothers Holdings:
5.67% 1,100 45,111
5.94% Series C 1,300 54,600
Olympic Financial, Ltd.
Units
11.50%, 3/15/07 475,000 498,750
</TABLE>
16
<PAGE>
<TABLE>
<CAPTION>
Shares/
Units Value
--------------------------------------------------------------------------
<C> <S> <C> <C>
(6) Westfed Holdings, Inc.
Class A (acquired 9/20/88-6/18/93,
cost $3,611,992) 42,759 $ 42,759
-----------
GROUP TOTAL 754,768
-----------
--------------------------------------------------------------------------
-----------------
METALS & MINING (0.0%)
(1) International Utility Structures,
Inc.:
13% Units 150 140,625
14% Units 29 2,175
-----------
GROUP TOTAL 142,800
-----------
--------------------------------------------------------------------------
-----------------
PUBLISHING & INFORMATION SERVICES (0.3%)
Interact Electronic Marketing
14% Conv. Preferred 950 190,000
Primedia, Inc.
10% Cum. Exchangeable, Series D 5,000 512,500
-----------
GROUP TOTAL 702,500
-----------
--------------------------------------------------------------------------
-----------------
RESTAURANTS, HOTELS & GAMING (0.2%)
AmeriKing, Inc.
13% Cum. Exchangeable 22,000 440,000
-----------
--------------------------------------------------------------------------
-----------------
TELECOMMUNICATIONS (1.9%)
e. spire Communications, Inc.
12.75% 328 154,160
Intermedia Communications, Inc.:
13.50% Exchangeable, Series B 360 343,800
7% Jr. Convertible, Series E 44,000 1,848,000
NEXTLINK Communications, Inc.
14% Cum. Exchangeable 14,354 746,408
Nextel Communications, Inc.
13% Exchangeable, Series D 1,094 1,159,640
Rural Cellular Corp.
11.375% Sr. Exchangeable 301 299,495
-----------
GROUP TOTAL 4,551,503
-----------
--------------------------------------------------------------------------
-----------------
TOTAL PREFERRED STOCKS
(Cost $12,795,504) 10,416,425
-----------
--------------------------------------------------------------------------
-----------------
RIGHTS (0.3%)
--------------------------------------------------------------------------
Abraxas Petroleum Corp.
expiring 12/21/00 92,408 46,204
(4) (5) Primestar, Inc.
Share Appreciation Right
expiring 5/10/00 6,562 493,711
(4) Terex Corp.
expiring 5/15/02 6,000 84,000
--------------------------------------------------------------------------
-----------------
TOTAL RIGHTS
(Cost $0) 623,915
-----------
--------------------------------------------------------------------------
<CAPTION>
Shares/
Units Value
--------------------------------------------------------------------------
<C> <S> <C> <C>
WARRANTS (0.7%)
--------------------------------------------------------------------------
(4) Ampex Corp.
expiring 3/15/03 25,500 $ 22,440
(1)(4) Australis Holdings Pty. Ltd.
expiring 10/30/01 2,250 23
(4) CHC Helicopter Corp.
expiring 12/15/00 6,000 6,000
(4)(6) CHI Energy, Inc.:
Series B, expiring 11/8/03 7,578 18,195
Series C, expiring 11/8/05 4,919 11,811
(4) Crown Packaging
Enterprises, Ltd.
expiring 11/1/03 2,000 100
(4) Dairy Mart
Convenience Stores, Inc.
expiring 12/1/01 11,665 4,083
(4) Decrane Aircraft Holdings
expiring 9/30/08 800 800
(1)(4) DIVA Systems Corp.:
expiring 5/15/06 1,925 1,001,000
expiring 3/1/08 8,325 199,800
(1)(4) DTI Holdings, Inc.
expiring 3/1/08 9,250 93
(4) Golden Ocean Group, Ltd.
expiring 8/31/01 1,032 0
(4) HF Holdings, Inc.
expiring 7/15/02 9,752 97,520
(4) Interact Electronic Marketing
expiring 12/31/09 950 10
(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 1,250 112,500
(4) McCaw International Ltd.
expiring 4/15/07 1,000 2,500
(1)(4) Mentus Media Corp.
expiring 2/1/08 3,757 38
(4) PLD Telekom, Inc.
expiring 6/1/06 1,610 56,350
(4) Source Media, Inc.
expiring 11/1/07 30,731 238,167
(1)(4) Star Choice
Communications, Inc.
expiring 12/5/05 11,580 70,668
(4) Startec
Global Communications Corp.
expiring 5/15/08 750 1,350
(4) USN Communications, Inc.
expiring 8/15/04 7,600 0
(4) Wright Medical Technology
expiring 6/30/03 618 6
--------------------------------------------------------------------------
-----------------
TOTAL WARRANTS
(Cost $3,025,022) 1,843,480
-----------
--------------------------------------------------------------------------
-----------------
TOTAL DOMESTIC SECURITIES
(Cost $261,928,617) 229,436,647
-----------
--------------------------------------------------------------------------
</TABLE>
17
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
-----------------
FOREIGN SECURITIES (1.4%)
-----------------------------------------------------------------------------
-----------------
CORPORATE OBLIGATIONS (1.3%)
-----------------------------------------------------------------------------
-----------------
CANADA (0.1%)
(3) GT Group Telecom
Units
0.00%, 2/1/10 Caa1 USD $300 $ 168,000
------------
-----------------------------------------------------------------------------
-----------------
FINLAND (0.1%)
(7) Okobank Perpetual
Medium Term Notes
5.739%, 3/29/49 A3 USD 140 137,550
------------
-----------------------------------------------------------------------------
-----------------
FRANCE (0.1%)
(7) Credit Lyonnais Paris
6.563%, 9/19/49 Baa2 USD 210 201,600
------------
-----------------------------------------------------------------------------
-----------------
NETHERLANDS (0.4%)
(1)(3) CompleTel Europe N.V.
Yankee Gtd.
0.00%, 2/15/09 Caa2 USD 650 325,000
(1) United Pan Europe N.V.
Sr. Notes
10.875%, 8/1/09 B2 USD 850 813,875
------------
GROUP TOTAL 1,138,875
------------
-----------------------------------------------------------------------------
-----------------
POLAND (0.3%)
(1) PTC International
Finance II SA
Gtd.
11.25%, 12/1/09 B2 USD 500 508,125
PTC International
Finance BV
Yankee Gtd.
10.75%, 7/1/07 B2 USD 350 231,000
------------
GROUP TOTAL 739,125
------------
-----------------------------------------------------------------------------
-----------------
SWEDEN (0.3%)
(7) ForeningsSparbanken AB
Perpetual Jr. Sub.
Medium Term Notes
6.438%, 12/29/49 Baa2 USD 500 497,906
Skandinaviska Enskilda
Banken AB
Perpetual Sub. Notes
6.625%, 3/29/49 Baa1 USD 400 393,668
------------
GROUP TOTAL 891,574
------------
-----------------------------------------------------------------------------
-----------------
TOTAL CORPORATE OBLIGATIONS
(Cost $3,395,418) 3,276,724
------------
-----------------------------------------------------------------------------
-----------------
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
GOVERNMENT OBLIGATIONS (0.1%)
-----------------------------------------------------------------------------
-----------------
ARGENTINA (0.1%)
Republic of Argentina
Series B, Gtd.
Zero Coupon, 4/15/01
(Cost $115,066) Ba3 USD $125 $ 113,125
------------
-----------------------------------------------------------------------------
-----------------
TOTAL FOREIGN SECURITIES
(Cost $3,510,484) 3,389,849
------------
-----------------------------------------------------------------------------
-----------------
TIME DEPOSITS (2.1%)
(Cost $5,152,000) 5,152,000
------------
-----------------------------------------------------------------------------
-----------------
TOTAL INVESTMENTS (97.4%)
(Cost $270,591,101) 237,978,496
------------
-----------------------------------------------------------------------------
-----------------
OTHER ASSETS IN EXCESS OF LIABILITIES
(2.6%) 6,410,039
------------
-----------------------------------------------------------------------------
-----------------
NET ASSETS (100%)
Applicable to 34,708,362 issued and outstanding
$.001 par value shares (authorized 100,000,000
shares) $244,388,535
============
=============================================================================
</TABLE>
N/R--Not Rated
STRIPS--Separate Trading of Registered Interest and Principal Securities.
(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 March 31, 2000 aggregated $1,181,633. Total market value of
restricted securities owned at March 31, 2000 was $2,368,711 or 0.97% 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 March 31,
2000.
18
<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 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 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.
19
<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 his Shares. Neither the
Fund nor the Program Administrator can guarantee that Shares purchased under the
Program will, at any particular time, be worth more or less than their purchase
price. Each participant must make an independent investment decision based on
his own judgement and research.
While the Program Administrator hopes to continue the Program indefinitely,
the Program Administrator reserves the right to suspend or terminate the Program
at any time. It also reserves the right to make modifications to the Program.
Participants will be notified of any such suspension, termination or
modification in accordance with the terms and conditions of the Program. The
Program Administrator also reserves the right to terminate any participant's
participation in the Program at any time. Any question of interpretation arising
under the Program will be determined in good faith by the Program Administrator
and any such good faith determination will be final.
Any interested investor may participate in the Program. To participate in
the Program, an investor who is not already a registered owner of the Shares
must make an initial investment of at least $250.00. All other cash payments or
bank account deductions must be at least $100.00, up to a maximum of $100,000.00
annually. An interested investor may join the Program by reading the Program
description, completing and signing the enrollment form and returning it to the
Program Administrator. The enrollment form and information relating to the
Program (including terms and conditions) may be obtained by calling the Program
Administrator at one of the following telephone numbers: First Time Investors--
(888) 697-8026. Current Shareholders--(800) 730-6001. All correspondence
regarding the Program should be directed to: BankBoston, N.A., InvestLink
Program, P.O. Box 8040, Boston, MA 02266-8040.
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