<PAGE>
Credit Suisse Asset Management Income Fund, Inc.
153 East 53rd Street
New York, NY 10022
---------------------------------------------
OFFICERS AND DIRECTORS
<TABLE>
<S> <C>
William W. Priest, Jr. Suzanne E. Moran
CHAIRMAN OF THE BOARD INVESTMENT OFFICER
Prof. Enrique R. Arzac Hal Liebes
DIRECTOR SENIOR VICE PRESIDENT
Lawrence J. Fox Michael A. Pignataro
DIRECTOR CHIEF FINANCIAL OFFICER,
VICE PRESIDENT AND
James S. Pasman, Jr. SECRETARY
DIRECTOR Robert M. Rizza
Richard J. Lindquist VICE PRESIDENT AND
PRESIDENT AND CHIEF TREASURER
INVESTMENT OFFICER
</TABLE>
--------------------------------------------------------
INVESTMENT ADVISER
Credit Suisse Asset Management, LLC
153 East 53rd Street
New York, New York 10022
Phone 1-800-293-1232
--------------------------------------------------------
ADMINISTRATOR 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.
---------------------------------------------
ANNUAL REPORT
December 31, 1999
<PAGE>
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
FOURTH QUARTER REPORT - 12/31/99
- ----------
Dear Shareholders: January 25, 2000
We are writing to report on the activities of Credit Suisse Asset Management
Income Fund, Inc. ("the Fund") for the quarter ended December 31, 1999 and to
discuss our investment strategy.
At December 31, 1999, the Fund's net asset value ("NAV") was $7.34, compared
to an NAV of $7.28 at September 30, 1999. The Fund's total return (based on NAV
and assuming reinvestment of dividends of $0.18 per share) for the period was
3.8%. For 1999 as a whole, the Fund returned 4.5%.
At December 31, 1999, $201.4 million was invested in high yield debt
securities; $22.4 million in investment-grade debt securities; $24.5 million in
equity securities; and the balance of $0.9 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 (55.7%) was invested in B-rated
issues.
THE MARKET: REBOUNDING
Sentiment and performance in the high yield market rebounded nicely in the
fourth quarter from their weakness in the third quarter. As measured by the
Salomon Smith Barney High-Yield Market Index, the broad high yield market rose
1.7% after falling by the same amount in the third quarter.
On a big-picture level, two factors helped to set a generally positive tone.
The first was changing perceptions about higher U.S. inflation which, in turn,
would likely compel the Federal Reserve to raise interest rates. While high
yield participants had previously joined investors in most other financial
markets in expressing great concern about increasing inflation and rates, they
took a more optimistic approach this time around.
The consensus high yield perspective was simply more hopeful and reflected
confidence--whether based on careful analysis, wishful thinking or both--that
strong economic growth would benefit high yield issuers more in terms of
increasing revenues and cash flow than it would hurt them via rising rates due
to inflation. When the Fed raised rates by 25 basis points on November 16,
therefore, the market didn't fall apart. If anything, the Fed's indications that
it would postpone any further rate hikes until after the new year served to
boost confidence even more.
The second big-picture factor was receding fears of Y2K-related technology
dangers, which had been a growing part of investor consciousness as the year
progressed. Such fears began to dissipate around mid-November, though, thus
flashing a figurative green light to investors in relatively risky assets like
equities and high yield. Ironically, the lower trading volumes in late December
resulting from Y2K-based precautions helped to magnify price swings on the
upside for selected instruments.
Other factors more specific to high yield also contributed to the quarter's
gains. Perhaps the most notable was the global rally in securities of
telecommunications companies. While this attracted much more publicity in the
equity markets, it also had a meaningfully favorable impact on high yield, as
telecom was (and is) the most heavily weighted industry sector in most broad
high yield indices and its performance was among the quarter's strongest.
Another was the fact that net flows into high yield mutual funds turned
positive in November after being negative for the three prior months. Fund flows
were negative in December, but we consider this as generalized among taxable
fixed income markets and not strictly directed at high yield.
PERFORMANCE: EFFECTIVE SECTOR ALLOCATION
The Fund meaningfully outperformed the broad high yield market during the
quarter primarily due to our ongoing overweight allocations to three key
sectors:
- TELECOMMUNICATIONS. While the high yield telecom sector outperformed the
overall high yield market on the back of equities' strength and an active
environment for industry consolidation, our choices within the sector
helped the Fund's telecom holdings to do even better. More specifically,
we emphasized wireless companies, which excelled, and avoided paging
companies, which underperformed; and we favored deferred-interest issues,
which decisively outperformed traditional cash-paying securities.
- CABLE/MEDIA. We have long overweighted cable and media companies in the
belief that they would benefit from enduring trends of consolidation and
improving operating results. Both such trends were very much in evidence
not simply in the quarter, but throughout the entire year.
- GAMING. Our comments about cable/media also apply to the gaming business.
In addition, we shifted our holdings away from companies with significant
operations in the gaming centers of Las Vegas and Atlantic City, where
industry conditions were somewhat problematic, and toward those with
facilities in more favorable environments elsewhere.
OUTLOOK: EXTERNAL CONDITIONS SUGGEST A CAUTIOUS STANCE
We continue to see current fundamentals for the broad high yield market as
quite good, based on these and other factors:
- The U.S. economy is strong and should stay that way, which is
traditionally favorable for high yield issuers.
- Liquidity has begun to return to the market from a number of sources:
dealers with more risk capital available for trading and inventory now
that 1999 is over; individuals and institutions returning from the
sidelines with fresh cash and a renewed appetite for buying; and issuers
eager to tap the market as the prospect of higher interest rates raises
the cost of new debt.
- The Y2K phenomenon has mostly come and gone, and in its wake should leave
valuations at more attractive levels.
2
<PAGE>
- Investor tolerance for risk tends to increase at the beginning of a
calendar year.
Nonetheless, we expect overall high yield activity to be most responsive to
external conditions, particularly the outlook for U.S. interest rates. As we
write, the yield on the bellwether 30-year Treasury bond has risen above 6.70%
for the first time since the third quarter of 1997, and trading in the futures
market suggests that investors expect the Federal Reserve to raise rates by at
least another 25-50 basis points in the next few months. We are inclined to
agree with the latter assessment.
Our sense is that the obsessive "Fed-watching" behavior that we used to
describe the market in the second and third quarters will reassume a dominant
psychological role throughout the fixed income universe. Investors are unlikely
to think and act beyond a month-to-month perspective until the interest-rate
environment becomes clearer. We do not anticipate this occurring before the
middle of the year or so.
The bottom line: we believe that a cautious stance is most appropriate for
the time being, and expect high yield to outperform investment-grade sectors
based on its higher absolute yields and relatively better prospects during
periods of strong macroeconomic growth.
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, LLC 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, LLC:
I. Effective January 12, 1999, the Fund's investment adviser, BEA
Associates, changed its name to Credit Suisse Asset Management, LLC ("CSAM"). In
making the announcement, the firm said that it expected the new name to enhance
its recognition as a global asset manager. CSAM 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 name are automatically eligible to participate in a dividend
reinvestment program known as the InvestLink 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 26 through 27 of the report.
* 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 a Director and Chairman of other investment companies
advised by CSAM.
3
<PAGE>
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
TOP TEN HOLDINGS (UNAUDITED)
<TABLE>
<CAPTION>
(as a % of net assets as of 12/31/99)
<C> <S> <C>
- ---------------------------------------------------------------------
1. Spanish Broadcasting System, Inc.,
Class B.......................... 1.68%
2. Price Communications Corp.......... 0.97%
3. Ainsworth Lumber Co., Ltd., Yankee
Sr. Secured Notes, 12.50%,
7/15/07.......................... 0.82%
4. UnitedGlobalCom, Inc., Class A..... 0.74%
5. Dr. Pepper Bottling Holdings, Inc.
Class A.......................... 0.74%
6. Univision Network Holding L.P. Sub.
Notes 7.00%, 12/17/02............ 0.71%
7. Capstar Broadcasting Partners, Inc.
Sr. Discount Notes 0.00%,
2/1/09........................... 0.70%
8. Coinstar, Inc., Sr. Discount Notes
13/00%, 10/1/06.................. 0.70%
9. Advance Stores Co., Gtd. Sr. Sub.
Notes 10.25%, 4/15/08............ 0.68%
10. Telewest Communications plc Yankee
Sr. Sub. Discount Deb. 0.00%,
10/1/07.......................... 0.68%
</TABLE>
CREDIT QUALITY BREAKDOWN (UNAUDITED)
<TABLE>
<CAPTION>
(as a % of total investments as of 12/31/99)
<S> <C>
- ------------------------------------------------------
AAA/Aaa.................................. 2.9%
AA/Aa.................................... 0.1
A/A...................................... 1.3
BBB/Baa.................................. 4.8
BB/Ba.................................... 6.0
B/B...................................... 50.0
CCC/Caa.................................. 11.4
NR....................................... 13.3
--------
Subtotal............................... 89.8
Equities and Other....................... 10.2
--------
Total.................................. 100.0%
========
</TABLE>
4
<PAGE>
PORTFOLIO OF INVESTMENTS
- ---------
DECEMBER 31, 1999
<TABLE>
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
- ---------------------------------------------------------------------------------------
DOMESTIC SECURITIES (96.2%)
- ---------------------------------------------------------------------------------------
- -----------------
CORPORATE OBLIGATIONS (82.8%)
- ---------------------------------------------------------------------------------------
- -----------------
AEROSPACE/DEFENSE (0.7%)
(1) Decrane Aircraft Holdings
Series B, Gtd.
12.00%, 9/30/08 Caa1 $ 800 $ 736,000
Lockheed Martin Corp.:
Notes
7.95%, 12/1/05 Baa3 345 340,256
8.20%, 12/1/09 Baa3 125 124,375
Raytheon Co.
Notes
6.45%, 08/15/02 Baa2 400 389,124
United Technologies Corp.
Notes
6.625%, 11/15/04 A2 195 190,856
------------
GROUP TOTAL 1,780,611
------------
- ---------------------------------------------------------------------------------------
- -----------------
AUTOMOTIVE (3.1%)
Aetna Industries, Inc.
Sr. Notes
11.875%, 10/1/06 B3 600 582,000
Autotote Corp.
Series B,
10.875%, 8/1/04 B2 750 768,750
(2) Breed Technologies, Inc.
Gtd. Sr. Sub.
Notes
9.25%, 4/15/08 Caa3 400 10,000
Cambridge Industries, Inc.
Series B,
Gtd. Sr. Sub. Notes
10.25%, 7/15/07 B3 500 203,750
Collins & Aikman
Products, Corp.
Sr. Sub. Notes
11.50%, 4/15/06 B3 700 686,000
DaimlerChrysler NA
Holdings, Corp.
Gtd.
7.20%, 9/1/09 A1 260 255,382
Delco Remy
International, Inc.
Gtd. Sr. Sub. Notes
10.625%, 8/1/06 B2 600 621,000
Hayes Lemmerz
International, Inc.:
Series B,
Gtd. Sr. Notes
9.125%, 7/15/07 B2 500 488,750
8.25%, 12/15/08 B2 750 682,500
(1) Holley Performance
Products
Sr. Notes
12.25%, 9/15/07 B2 500 476,250
(1) Lear Corp.
Sr. Notes
7.96%, 5/15/05 Ba1 65 62,319
</TABLE>
<TABLE>
- ---------------------------------------------------------------------------------------
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
Meritor Automotive, Inc.
Notes
6.80%, 2/15/09 Baa2 $ 165 $ 149,119
Motor Coach Industries
International, Inc.
Gtd.
11.25%, 5/1/09 B2 1,000 1,022,500
Oxford Automotive, Inc.
Gtd. Sr. Sub. Notes
10.125%, 6/15/07 Caa1 1,375 1,295,938
Safety Components
International, Inc.
Series B,
Gtd. Sr. Sub. Notes
10.125%, 7/15/07 B3 500 308,750
Stanadyne Automotive
Series B,
Gtd. Sr. Sub. Notes
10.25%, 12/15/07 Caa1 400 331,000
------------
GROUP TOTAL 7,944,008
------------
- ---------------------------------------------------------------------------------------
- -----------------
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)(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 1,787,500
(1) Chancellor Media Corp.
Sr. Sub. Notes
9.00%, 10/1/08 B1 500 520,000
Cumulus Media, Inc.
Sr. Sub. Notes
10.375%, 7/1/08 B3 800 830,000
EchoStar
Communications Corp.
Sr. Notes
9.375%, 2/1/09 B2 750 751,875
Granite Broadcasting
Corp.:
Series A,
Sr. Sub. Notes
9.375%, 12/1/05 B3 300 300,750
8.875%, 5/15/08 B3 900 859,500
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 500 503,750
</TABLE>
The accompanying notes are an integral part of the financial statements.
5
<PAGE>
<TABLE>
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
- ---------------------------------------------------------------------------------------
Sinclair Broadcast
Group, Inc.:
Sr. Sub. Notes
10.00%, 9/30/05 B2 $ 900 $ 895,500
Gtd. Sr. Sub. Notes
8.75%, 12/15/07 B2 350 323,750
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 65 64,562
(3) United International
Holdings, Inc.
Series B,
Sr. Discount Notes
0.00%, 2/15/08 B3 1,450 917,125
Univision Network
Holding L.P.
Sub. Notes
7.00%, 12/17/02 N/R 1,500 1,815,000
Young Broadcasting, Inc.:
Series B, Gtd.
Sr. Sub. Notes
9.00%, 1/15/06 B2 300 290,250
Sr. Sub. Notes
8.75%, 6/15/07 B2 865 828,238
------------
GROUP TOTAL 11,519,985
------------
- ---------------------------------------------------------------------------------------
- -----------------
BUSINESS SERVICES (0.4%)
Comdisco Inc
Medium Term Notes
7.23%, 8/16/01 Baa1 130 129,186
Sr. Notes
7.25%, 9/1/02 Baa1 230 226,837
General Binding Corp.
Gtd. Sr. Sub. Notes
9.375%, 6/1/08 B2 250 111,875
Iron Mountain, Inc.
Sr. Sub. Notes
8.75%, 9/30/09 B3 450 434,250
------------
GROUP TOTAL 902,148
------------
- ---------------------------------------------------------------------------------------
- -----------------
CABLE (9.6%)
Adelphia
Communications Corp.
Series B,
Sr. Notes
8.375%, 2/1/08 B3 800 744,000
(3) Avalon Cable
Holdings, Inc.
Sr. Discount Notes
0.00%, 12/1/08 Caa1 300 196,875
CSC Holdings, Inc.:
Sr. Sub. Notes
9.875%, 5/15/06 B1 400 422,000
Series B,
Sr. Sub. Debentures
8.125%, 8/15/09 Ba2 350 343,868
9.875%, 2/15/13 B1 850 896,750
</TABLE>
<TABLE>
- ---------------------------------------------------------------------------------------
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
Century Communications
Corp.:
Series B,
0.00%, 1/15/08 Ba3 $ 650 $ 279,500
Sr. Notes
9.75%, 2/15/02 Ba3 500 500,000
8.75%, 10/1/07 Ba3 400 381,000
Charter Communications
Holdings:
Sr. Notes
8.625%, 4/1/09 B2 1,000 925,000
(3) Sr. Discount Notes
0.00%, 4/1/11 B2 1,000 588,750
Classic Cable, Inc.
Series B,
Gtd.
9.375%, 8/1/09 B3 400 393,000
Coaxial
Communications, Inc.
Gtd. Notes
10.00%, 8/15/06 B3 900 884,250
Comcast Corp.:
Sr. Sub. Notes
9.375%, 5/15/05 Ba3 180 189,225
9.125%, 10/15/06 Ba3 750 763,762
(3) Diamond Cable
Communications plc
Yankee Discount Notes
0.00%, 12/15/05 Caa1 1,500 1,417,500
(3) DIVA Systems Corp.
Series B,
Sr. Discount Notes
0.00%, 3/1/08 N/R 2,775 926,850
Falcon Holdings Group,
L.P./Falcon Funding
Corp.:
Sr. Debentures
8.375%, 4/15/10 B2 500 503,750
(3) Sr. Discount Debentures
0.00%, 4/15/10 B2 1,500 1,119,375
International Cable
Television, Inc.:
Series A,
Sr. Notes
12.75%, 4/15/05 B3 1,000 1,000,000
(3) Series B,
0.00%, 2/1/06 B3 1,050 945,000
James Cable Partners L.P.
Series B,
Sr. Notes
10.75%, 8/15/04 N/R 1,550 1,573,250
Jones Intercable, Inc.
Sr. Notes
7.625%, 4/15/08 Ba2 1,150 1,101,389
Lenfest
Communications Inc.:
Sr. Notes
8.375%, 11/1/05 Ba3 500 508,965
10.50%, 6/15/06 B2 900 990,000
8.25%, 2/15/08 B2 200 201,750
</TABLE>
The accompanying notes are an integral part of the financial statements.
6
<PAGE>
<TABLE>
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
- ---------------------------------------------------------------------------------------
NTL
Communications Corp.:
Series B,
Sr. Notes
10.00%, 2/15/07 B3 $ 500 $ 515,000
(3) 0.00%, 10/1/08 B3 1,500 1,050,000
11.50%, 10/1/08 B3 600 648,000
Northland Cable
Television
Sr. Sub. Notes
10.25%, 11/15/07 N/R 500 502,500
Olympus Communications,
L.P./ Olympus
Capital Corp.
Series B,
Sr. Notes
10.625%, 11/15/06 B1 1,000 1,081,250
(3) Renaissance Media Group
Sr. Discount Notes
0.00%, 4/15/08 B3 1,000 708,750
Rogers Cablesystems Ltd.
Gtd.
10.00%, 12/1/07 Ba3 450 478,125
(3) Telewest
Communications plc
Yankee Sr. Sub. Discount
Debentures
0.00%, 10/1/07 B1 1,850 1,725,125
------------
GROUP TOTAL 24,504,559
------------
- ---------------------------------------------------------------------------------------
- -----------------
CHEMICALS (1.7%)
Applied Extrusion
Technologies
Series B, Sr. Notes
11.50%, 4/1/02 B2 1,500 1,522,500
Huntsman Corp.
Sr. Sub. Notes
9.50%, 7/1/07 B2 400 381,000
Huntsman Polymers Corp.
Sr. Notes
11.75%, 12/1/04 B1 900 945,000
Lyondell Chemical Co.
Series B,
Secured Notes
9.875%, 5/1/07 Ba3 500 517,500
NL Industries, Inc.
Sr. Secured Notes
11.75%, 10/15/03 B1 250 258,750
(3) Sterling Chemical
Holdings, Inc.
Sr. Secured Discount
Notes
0.00%, 8/15/08 Caa1 1,000 260,000
Sterling Chemicals, Inc.
Sr. Sub. Notes
11.75%, 8/15/06 B3 334 249,665
Texas Petrochemical Corp.
Corp.
Series B, Sr. Sub. Notes
11.125%, 7/1/06 N/R 350 303,625
------------
GROUP TOTAL 4,438,040
------------
- ---------------------------------------------------------------------------------------
- -----------------
</TABLE>
<TABLE>
- ---------------------------------------------------------------------------------------
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
CONSTRUCTION & BUILDING MATERIALS (1.3%)
AFC Enterprises
Sr. Sub. Notes
10.25%, 5/15/07 N/R $ 400 $ 403,000
American Architectural
Products Corp.
Gtd. Sr. Notes
11.75%, 12/01/07 Caa1 1,150 330,625
(1) Building One Services
Sr. Sub. Notes
10.50%, 5/1/09 B2 500 480,000
Collins & Aikman Floor
Coverings, Inc.
Series B,
Sr. Sub. Notes
10.00%, 1/15/07 B3 1,000 987,500
International Utility
Structures, Inc.
Yankee Sr. Sub. Notes
10.75%, 2/1/08 Caa1 500 416,250
MMI Products, Inc.
Series B,
Sr. Sub. Notes
11.25%, 4/15/07 B2 250 258,750
Uniforet, Inc.
Yankee Gtd.
11.125%, 10/15/06 B3 250 156,875
Waxman Industries, Inc.
Series B, Sr. Notes
12.75%, 6/1/04 Caa1 600 300,000
------------
GROUP TOTAL 3,333,000
------------
- ---------------------------------------------------------------------------------------
- -----------------
CONSUMER PRODUCTS & SERVICES (2.3%)
Coinstar, Inc.
Sr. Discount Notes
13.00%, 10/1/06 Caa1 1,700 1,778,625
Doskocil Manufacturing
Co., Inc.
Gtd. Sr. Sub. Notes
10.125%, 9/15/07 B3 500 163,750
Drypers Corp.
Series B, Sr. Notes
10.25%, 6/15/07 Caa1 250 203,750
Fort James Corp.
Sr. Notes
6.234%, 3/15/01 Baa3 155 153,394
Holmes Products Corp.
Gtd. Sr. Sub. Notes
9.875%, 11/15/07 B3 800 598,000
Indesco International, Inc.
Gtd. Sr. Sub. Notes
9.75%, 4/15/08 B3 600 268,500
Jordan Industries, Inc.
Series B, Sr. Notes
10.375%, 8/1/07 B3 1,150 1,147,125
Packaged Ice, Inc.
Gtd. Sr. Notes
9.75%, 2/1/05 B3 100 91,250
Playtex Products, Inc.
Series B, Gtd. Sr. Notes
8.875%, 7/15/04 B1 225 225,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
7
<PAGE>
<TABLE>
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
- ---------------------------------------------------------------------------------------
Revlon Consumer
Products
Sr. Sub. Notes
8.625%, 2/1/08 B3 $ 700 $ 343,000
(1) Scotts Co.
Sr. Sub. Notes
8.625%, 1/15/09 B2 300 293,250
Sealy Mattress Co.
Gtd. Sr. Sub. Notes
9.875%, 12/15/07 B3 200 197,500
United Rentals, Inc.
Sr. Sub. Notes
9.25%, 1/15/09 B1 500 480,000
------------
GROUP TOTAL 5,943,144
------------
- ---------------------------------------------------------------------------------------
- -----------------
ELECTRONICS (1.0%)
(1) Condor Systems, Inc.
Gtd. Sr. Sub. Notes
11.875%, 5/1/09 B3 400 303,000
Details, Inc.
Series B, Sr. Sub. Notes
10.00%, 11/15/05 B3 500 461,250
Unisys Corp.:
Series B, Sr. Notes
12.00%, 4/15/03 B1 1,000 1,065,000
Sr. Notes
11.75%, 10/15/04 B1 225 247,500
7.875%, 4/1/08 B1 250 241,875
Viasystems, Inc.:
Sr. Sub. Notes
9.75%, 6/1/07 B3 300 164,250
Series B, Sr. Sub. Notes
9.75%, 6/1/07 B3 150 82,125
------------
GROUP TOTAL 2,565,000
------------
- ---------------------------------------------------------------------------------------
- -----------------
ENERGY (4.8%)
Abraxas Petroleum
Corp.
Series D, Sr. Notes
11.50%, 11/1/04 B2 1,085 737,800
Bellwether
Exporation Co.
Gtd. Sr. Sub. Notes
10.875%, 4/1/07 B3 1,250 1,146,875
Canadian Forest Oil Ltd.
Gtd. Sr. Sub. Notes
8.75%, 9/15/07 B2 450 429,750
Cliffs Drilling Co.
Series D,
Gtd. Sr. Notes
10.25%, 5/15/03 B1 1,100 1,124,750
Cogentrix Energy, Inc.
Gtd. Unsecured Notes
8.75%, 10/15/08 Ba1 1,000 1,006,250
Conoco, Inc.
Sr. Notes
6.35%, 4/15/09 A3 405 375,131
Continental Resources
Gtd. Sr. Notes
10.25%, 8/1/08 B3 250 218,125
</TABLE>
<TABLE>
- ---------------------------------------------------------------------------------------
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
Contour Energy Co.
Gtd.
14.00%, 4/15/03 B3 $ 551 $ 534,470
Edison International, Inc.
Notes
6.875%, 09/15/04 A2 250 244,063
First Wave Marine, Inc.
Gtd. Sr. Notes
11.00%, 2/1/08 B3 1,000 703,750
Frontier Oil Corp.
Sr. Notes
11.75%, 11/15/09 B2 800 786,000
Giant Industries, Inc.
Gtd. Sr. Sub. Notes
9.00%, 9/1/07 B2 500 460,000
Gothic Production Corp.
Series B,
Gtd. Sr. Secured Notes
11.125%, 5/1/05 B3 250 211,875
H.S. Resources, Inc.:
Gtd. Sr. Sub. Notes
9.25%, 11/15/06 B2 600 595,500
Sr. Sub. Notes
9.875%, 12/1/03 B2 500 504,375
Key Energy Services, Inc.
Sr. Sub. Notes
14.00%, 1/15/09 B3 1,250 1,364,062
Korea Electric Power
Yankee
Unsecured Debentures
7.00%, 2/1/07 Baa3 240 222,439
Parker Drilling Co.
Series D, Gtd. Sr. Notes
9.75%, 11/15/06 B1 300 290,250
Plains Resources, Inc.
Series B, Gtd. Sr. Sub.
Notes
10.25%, 3/15/06 B2 375 365,625
Southwest Royalties, Inc.
Series B, Gtd. Sr. Notes
10.50%, 10/15/04 B3 500 275,000
(1) Valero Energy
Bonds
6.75%, 12/15/02 Baa3 185 180,295
Wiser Oil Co.
Gtd. Sr. Sub. Notes
9.50%, 5/15/07 B2 450 347,625
------------
GROUP TOTAL 12,124,010
------------
- ---------------------------------------------------------------------------------------
- -----------------
ENTERTAINMENT (2.3%)
American Skiing Co.
Series B, Sr. Sub. Notes
12.00%, 7/15/06 B3 425 383,563
Bally Total Fitness
Holdings
Series D, Sr. Sub. Notes
9.875%, 10/15/07 B3 350 338,625
Booth Creek Ski
Holdings, Inc.
Series B, Sr. Sub. Notes
12.50%, 3/15/07 Caa1 1,000 717,500
</TABLE>
The accompanying notes are an integral part of the financial statements.
8
<PAGE>
<TABLE>
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
- ---------------------------------------------------------------------------------------
Cinemark U.S.A., Inc.
Series D, Sr. Sub. Notes
9.625%, 8/1/08 B2 $ 250 $ 230,625
Loews Cineplex
Sr. Sub. Notes
8.875%, 8/1/08 B3 900 796,500
Outboard Marine Corp.
Series B, Gtd. Sr. Notes
10.75%, 6/1/08 B3 500 363,750
(1)(2) Premier Cruises, Ltd.
Gtd. Sr. Notes
11.00%, 3/15/08 B3 900 45,000
Production Resource
Group, L.L.C./PRG
Finance Group
Gtd. Sr. Sub. Notes
11.50%, 1/15/08 Caa2 750 667,500
Regal Cinemas, Inc.
Sr. Sub. Notes
9.50%, 6/1/08 Caa1 1,050 798,000
Silver Cinemas, Inc.
Sr. Sub. Notes
10.50%, 4/15/05 Caa1 1,900 788,500
Time Warner, Inc.:
Notes
8.11%, 8/15/06 Baa3 60 61,350
Debentures
7.48%, 1/15/08 Ba1 170 167,663
6.85%, 1/15/26 Ba1 370 364,646
------------
GROUP TOTAL 5,723,222
------------
- ---------------------------------------------------------------------------------------
- -----------------
FINANCIAL SERVICES (2.0%)
Allstate Corp.
Sr. Notes
7.20%, 12/1/09 A1 120 116,400
Bear Stearns Co., Inc.
Notes
7.625%, 12/7/09 A2 370 363,062
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 140 129,417
Conseco, Inc.:
Notes
7.875%, 12/15/00 Baa3 170 169,949
6.40%, 2/10/03 Baa3 155 148,413
9.00%, 10/15/06 Baa3 125 128,281
(1) ERAC USA Finance Co.
Notes
7.95%, 12/15/09 Baa2 290 285,650
Finova Capital Corp.:
Notes
6.55%, 11/15/02 Baa1 155 151,706
7.25%, 11/8/04 Baa1 135 133,481
Ford Motor Credit Co.
Notes
7.375%, 10/28/09 A1 455 449,199
Gatx Capital Corp.
Notes
7.75%, 12/1/06 Baa2 250 245,625
</TABLE>
<TABLE>
- ---------------------------------------------------------------------------------------
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
Goldman Sachs Group, Inc.
Medium Term Notes
7.35%, 10/1/09 A1 $ 440 $ 429,000
Lehman Brothers Holdings
Notes
6.625%, 4/1/04 Baa1 135 130,106
Long Island Savings Bank
F.S.B.
Notes
7.00%, 6/13/02 Baa3 770 756,094
(1) Potomac Capital
Investment Corp.
Notes
7.55%, 11/19/01 Baa1 150 148,875
(1) Prudential Insurance Co.
Sr. Notes
6.375%, 7/23/06 A2 200 186,796
Sanwa Finance Aruba AEC
Bank Gtd.
8.35%, 7/15/09 Baa1 200 201,250
Sumitomo Bank
Notes
8.50%, 6/15/09 Baa1 100 101,125
(1) US West Cap Funding, Inc.
Gtd.
6.875%, 8/15/01 Baa1 270 268,988
(2) Westfed Holdings
Sr. Debentures
15.50%, 9/15/99 N/R 1,750 332,500
------------
GROUP TOTAL 5,157,217
------------
- ---------------------------------------------------------------------------------------
- -----------------
FOOD & BEVERAGES (1.9%)
AmeriServ Food
Distribution, Inc.
Gtd. Sr. Notes
8.875%, 10/15/06 B1 500 275,000
Archibald Candy Corp.
Gtd. Sr. Secured Notes
10.25%, 7/1/04 B2 1,000 970,000
Eagle Family Foods
Series B, Gtd. Sr. Notes
8.75%, 1/15/08 B3 450 342,000
Fleming Companies, Inc.
Sr. Sub. Notes
10.50%, 12/1/04 B3 700 647,500
International Home
Foods, Inc.
Gtd. Sr. Sub. Notes
10.375%, 11/1/06 B2 1,000 1,037,500
Kroger Co.:
Notes
7.25%, 6/1/09 Baa3 260 248,625
Sr. Notes
7.625%, 9/15/06 Baa3 400 391,500
</TABLE>
The accompanying notes are an integral part of the financial statements.
9
<PAGE>
<TABLE>
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
- ---------------------------------------------------------------------------------------
(1) Premier International Foods,
plc
Sr. Notes
12.00%, 9/1/09 B3 $ 1,000 $ 997,500
------------
GROUP TOTAL 4,909,625
------------
- ---------------------------------------------------------------------------------------
- -----------------
HEALTH CARE (1.3%)
(1) ICN Pharmaceutical
Sr. Notes
8.75%, 11/15/08 Ba3 500 463,125
(1) Icon Health & Fitness, Inc.
Gtd.
12.00%, 9/27/05 N/R 222 122,100
Meditrust
Conv. Debentures
7.50%, 3/1/01 Baa3 2,000 1,660,000
Oxford Health Plans
Sr. Notes
11.00%, 5/15/05 Caa1 590 572,300
Paracelsus Healthcare
Sr. Sub. Notes
10.00%, 8/15/06 B3 750 435,000
------------
GROUP TOTAL 3,252,525
------------
- ---------------------------------------------------------------------------------------
- -----------------
INDUSTRIAL GOODS & MATERIALS (2.4%)
AMTROL Acquisition, Inc.
Sr. Sub. Notes
10.625%, 12/31/06 B3 400 393,500
APCOA, Inc.
Gtd. Sr. Notes
9.25%, 3/15/08 Caa1 430 304,225
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 550 174,625
(1) Diamond Triumph
Sr. Notes
9.25%, 4/1/08 B2 500 353,750
Elgar Holdings, Corp.
Gtd.
9.875%, 2/1/08 B2 200 130,500
Haynes International,
Inc.
Sr. Notes
11.625%, 9/1/04 B3 500 415,000
International Knife &
Saw, Inc.
Sr. Sub. Notes
11.375%, 11/15/06 B3 750 574,688
K N Energy, Inc.
Notes
6.30%, 3/1/01 Baa2 270 267,192
Motors & Gears, Inc.
Series D, Sr. Notes
10.75%, 11/15/06 B3 1,400 1,342,250
Neenah Corp.
Series B, Sr. Sub. Notes
11.125%, 5/1/07 B3 250 231,875
</TABLE>
<TABLE>
- ---------------------------------------------------------------------------------------
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
Park-Ohio Industries, Inc.
Sr. Sub. Notes
9.25%, 12/1/07 B2 $ 400 $ 384,000
Seagate Technology, Inc.
Sr. Debentures
7.45%, 3/1/37 Baa3 120 111,600
(3) Thermadyne
Manufacturing, L.L.C./
Thermadyne Capital
Corp.
Gtd. Sr. Sub. Notes
0.00%, 6/1/08 B3 975 470,438
Thermadyne Holdings
Corp.
Sr. Discount Notes
9.875%, 6/1/08 Caa1 300 257,625
------------
GROUP TOTAL 6,002,118
------------
- ---------------------------------------------------------------------------------------
- -----------------
METALS & MINING (2.9%)
Algoma Steel, Inc.
Yankee First Mortgage
Notes
12.375%, 7/15/05 B1 1,000 937,500
Bayou Steel Corp.
First Mortgage Notes
9.50%, 5/15/08 B1 500 466,250
GS Technologies Operations
Gtd. Sr. Notes
12.00%, 9/1/04 B2 525 292,688
(2) Gulf States Steel, Inc.
First Mortgage Notes
13.50%, 4/15/03 B1 1,050 105,000
Kaiser Aluminum &
Chemical Corp.
Series D, Sr. Notes
10.875%, 10/15/06 B1 675 682,593
Lodestar Holdings, Inc.
Sr. Notes
11.50%, 5/15/05 Caa2 800 406,000
Metallurg, Inc.
Series B, First Mortgage
Gtd. Sr. Notes
11.00%, 12/1/07 B3 950 876,375
National Steel Corp.
Series D,
First Mortgage Bonds
9.875%, 3/1/09 Ba3 750 768,750
Sheffield Steel Corp.
Series B,
First Mortgage Bonds
11.50%, 12/1/05 Caa2 750 622,500
WCI Steel, Inc.
Series B,
Sr. Secured Notes
10.00%, 12/1/04 B2 925 950,437
Weirton Steel Corp.
Sr. Notes
11.375%, 7/1/04 B2 500 482,500
</TABLE>
The accompanying notes are an integral part of the financial statements.
10
<PAGE>
<TABLE>
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
- ---------------------------------------------------------------------------------------
Wheeling-Pittsburg Corp.
Sr. Notes
9.25%, 11/15/07 B2 $ 750 $ 705,000
------------
GROUP TOTAL 7,295,593
------------
- ---------------------------------------------------------------------------------------
- -----------------
PACKAGING/CONTAINERS (1.4%)
AEP Industries, Inc.
Sr. Sub. Notes
9.875%, 11/15/07 B2 250 241,875
BPC Holding Corp.
Series B,
Sr. Secured Notes
12.50%, 6/15/06 Caa3 959 942,218
Container Corp.
of America
Gtd. Sr. Notes
9.75%, 4/1/03 B1 500 510,000
Crown Cork & Seal
Co., Inc.
Notes
7.125%, 9/1/02 Baa2 210 206,587
(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 700 658,000
Radnor Holdings, Inc.
Series B,
Gtd. Sr. Notes
10.00%, 12/1/03 B2 500 500,000
Stone Container
Finance Co.
Yankee Gtd. Sr. Notes
11.50%, 8/15/06 B2 530 563,788
------------
GROUP TOTAL 3,623,693
------------
- ---------------------------------------------------------------------------------------
- -----------------
PAPER & FOREST PRODUCTS (2.7%)
Ainsworth Lumber
Co., Ltd.
Yankee
Sr. Secured Notes
12.50%, 7/15/07 B3 1,900 2,090,000
Color Spot Nurseries
Sr. Sub. Notes
10.50%, 12/15/07 Caa1 1,000 725,000
Crown Paper Co.
Sr. Sub. Notes
11.00%, 9/1/05 B3 550 335,500
QUNO Corp.
Yankee Sr. Notes
9.125%, 5/15/05 Baa3 315 330,596
Repap New
Brunswick, Inc.
Sr. Secured Debentures
10.625%, 4/15/05 B3 800 744,000
Riverwood
International Corp.
Gtd. Sr. Notes
10.875%, 4/1/08 Caa1 600 588,000
</TABLE>
<TABLE>
- ---------------------------------------------------------------------------------------
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
SD Warren Co.:
Series B, Sr. Sub. Notes
12.00%, 12/15/04 B1 $ 1,000 $ 1,042,500
Debentures
14.00%, 12/15/06 N/R 995 1,138,844
------------
GROUP TOTAL 6,994,440
------------
- ---------------------------------------------------------------------------------------
- -----------------
PUBLISHING & INFORMATION SERVICES (2.4%)
American Lawyer Media
Holdings, Inc.
Gtd. Sr. Notes
9.75%, 12/15/07 B1 450 444,375
Ampex Corp.
Series B, Sr. Notes
12.00%, 3/15/03 N/R 750 753,750
Belo (A.H.) Corp.
Sr. Notes
6.875%, 6/1/02 Baa2 250 245,938
(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 1,000 985,000
(1) InterAct Systems, Inc.
Sr. Discount Notes
14.00%, 8/1/03 N/R 950 264,812
Lamar Advertising Co.
Gtd. Sr. Sub. Notes
9.625%, 12/1/06 B1 250 257,500
(3) Liberty Group
Publishing, Inc.
Sr. Discount Debentures
0.00%, 2/1/09 Caa1 600 300,000
Mentus Media Corp.
Units
12.00%, 2/1/03 N/R 1,598 495,380
Printpack, Inc.
Series B, Sr. Sub. Notes
10.625%, 8/15/06 Caa1 300 289,500
TV Guide, Inc.
Sr. Sub. Notes
8.125%, 3/1/09 Ba3 500 500,000
Tri-State Outdoor Media
Sr. Notes
11.00%, 5/15/08 N/R 1,023 1,012,770
------------
GROUP TOTAL 6,167,775
------------
- ---------------------------------------------------------------------------------------
- -----------------
REAL ESTATE (0.0%)
EOP Operating, L.P.
Sr. Notes
6.375%, 2/15/03 Baa1 65 62,238
- ---------------------------------------------------------------------------------------
- -----------------
RESTAURANTS, HOTELS & GAMING (6.7%)
American Restaurant
Group, Inc.
Gtd. Sr. Secured Notes
11.50%, 2/15/03 B3 750 600,000
AmeriKing, Inc.
Sr. Notes
10.75%, 12/1/06 B3 250 231,875
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE>
<TABLE>
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
- ---------------------------------------------------------------------------------------
Ameristar Casinos
Series B, Gtd.
10.50%, 8/1/04 B3 $ 600 $ 604,500
Aztar Corp
Sr. Sub. Notes
8.875%, 5/15/07 B1 500 483,750
Bluegreen Corp.
Gtd. Sr. Secured Notes
10.50%, 4/1/08 B3 1,000 873,750
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 375 346,875
Casino Magic of Louisiana
Corp.
Series B, Gtd. First
Mortgage Notes
13.00%, 8/15/03 B3 1,300 1,465,750
Colorado Gaming &
Entertainment Co.
Gtd. Sr. Notes
12.00%, 6/1/03 N/R 1,480 1,180,595
(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 800 686,000
HMH Properties
Series B,
Gtd. Sr. Notes
7.875%, 8/1/08 Ba2 500 445,000
Hard Rock Hotel, Inc.
Sr. Sub. Notes
9.25%, 4/1/05 B3 1,400 1,036,000
Hollywood Park, Inc.
Series B,
Gtd. Sr. Sub. Notes
9.50%, 8/1/07 B2 675 675,000
Horseshoe Gaming
Holdings:
Series B,
Sr. Sub. Notes
9.375%, 6/15/07 B3 1,000 1,000,000
8.625%, 5/15/09 B2 750 723,750
Intrawest Corp.
Sr. Notes
9.75%, 8/15/08 B1 250 245,625
Isle of Capri Casinos, Inc.
Sr. Sub. Notes
8.75%, 4/15/09 B3 450 415,125
Lodgian Financing Corp.
Sr. Sub. Notes
12.25%, 7/15/09 B3 500 495,000
(1) Majestic Star Casino, L.L.C.
Secured Notes
10.875%, 7/1/06 B2 500 480,000
</TABLE>
<TABLE>
- ---------------------------------------------------------------------------------------
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
Mohegan Tribal Gaming
Authority
Sr. Notes
8.125%, 1/1/06 Ba1 $ 900 $ 882,000
Park Place
Entertainment Corp.
Sr. Notes
8.50%, 11/15/06 Baa3 115 113,562
Prime Hospitality Corp.
Secured First
Mortgage Notes
9.25%, 1/15/06 Ba2 850 847,875
Romacorp, Inc.
Sr. Notes
12.00%, 7/1/06 B3 750 680,625
Sante Fe Hotel, Inc.
Gtd. First Mortgage
Notes
11.00%, 12/15/00 Caa2 704 689,920
Station Casinos
Sr. Sub. Notes
9.75%, 4/15/07 B2 1,400 1,414,000
------------
GROUP TOTAL 17,037,577
------------
- ---------------------------------------------------------------------------------------
- -----------------
RETAIL (3.7%)
(3) Advance Holdings Corp.
Series B, Sr. Discount
Debentures
0.00%, 4/15/09 Caa2 1,500 778,125
Advance Stores Co.
Gtd. Sr. Sub. Notes
10.25%, 4/15/08 Caa1 2,000 1,735,000
Dairy Mart Convenience
Stores, Inc.
Sr. Sub. Notes
10.25%, 3/15/04 B3 275 226,188
Finlay Enterprises, Inc.
Sr. Debentures
9.00%, 5/1/08 B2 400 352,500
Finlay Fine Jewelry Corp.
Gtd. Sr. Notes
8.375%, 5/1/08 Ba3 1,050 971,250
Jitney-Jungle Stores of
America, Inc.
Gtd. Sr. Sub. Notes
10.375%, 9/15/07 B3 300 6,000
Jo-Ann Stores, Inc.
Sr. Sub. Notes
10.375%, 5/1/07 B2 250 244,375
K Mart Corp.
Debentures
7.75%, 10/1/12 Ba2 1,175 1,064,844
(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 N/R 1,400 1,139,250
(1) 10.125%, 12/1/04 B2 250 203,437
Pantry, Inc.
Sr. Sub. Notes
10.25%, 10/15/07 B3 550 539,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
12
<PAGE>
<TABLE>
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
- ---------------------------------------------------------------------------------------
Pathmark Stores, Inc.
Sr. Sub. Notes
9.625%, 5/1/03 Caa1 $ 1,100 $ 814,000
Saks, Inc.:
Gtd.
7.00%, 7/15/04 Baa3 90 84,825
8.25%, 11/15/08 Baa3 80 78,200
Wal-Mart Stores, Inc.
Sr. Notes
6.875%, 8/10/09 Aa2 165 160,659
------------
GROUP TOTAL 9,377,653
------------
- ---------------------------------------------------------------------------------------
- -----------------
TELECOMMUNICATIONS (20.1%)
(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 500 244,375
(3) Clearnet
Communications, Inc.
Yankee
Sr. Discount Notes
0.00%, 12/15/05 B3 1,050 1,029,000
Concentric Network Corp.
Units
12.75%, 12/15/07 N/R 750 793,125
(3) DTI Holdings, Inc.
Units
0.00%, 3/1/08 N/R 1,850 666,000
Dobson/Sygnet
Communications, Co.
Sr. Notes
12.25%, 12/15/08 N/R 1,300 1,439,750
(3) Dolphin Telecom plc:
Sr. Discount Notes
0.00%, 6/1/08 Caa1 750 343,125
Series B,
Yankee
Sr. Discount Notes
14.00%, 5/15/09 Caa1 700 328,125
(3) e.spire Communications, Inc.
Sr. Discount Notes
0.00%, 11/1/05 N/R 2,700 1,350,000
Exodus
Communications, Inc.
Sr. Notes
11.25%, 7/1/08 N/R 550 570,625
(3) Focal Communications
Corp.
Sr. Discount Notes
0.00%, 2/15/08 N/R 1,400 868,000
(3) GST USA, Inc.
Gtd. Sr. Discount Notes
0.00%, 12/15/05 N/R 1,800 1,320,750
Global Crossing
Holdings, Ltd.
Gtd. Sr. Notes
9.625%, 5/15/08 N/R 1,150 1,147,125
</TABLE>
<TABLE>
- ---------------------------------------------------------------------------------------
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
Globalstar, L.P. /
Globalstar Capital Corp.:
Sr. Notes
10.75%, 11/1/04 B3 $ 1,000 $ 652,500
11.25%, 6/15/04 Caa1 200 133,000
11.50%, 6/1/05 B3 500 336,250
Globix Corp.
Sr. Notes
13.00%, 5/1/05 N/R 1,000 1,010,000
(3) Golden Sky DBS, Inc.
Series B,
Sr. Discount Notes
0.00%, 3/1/07 Caa1 250 152,188
(3) Hyperion
Telecommunications,
Inc.
Series B,
Sr. Discount Notes
0.00%, 4/15/03 B3 450 400,500
(3) ICG Holdings, Inc.:
Gtd. Sr. Discount Notes
0.00%, 9/15/05 B3 650 562,250
0.00%, 5/1/06 B3 600 453,000
0.00%, 3/15/07 B3 1,750 1,141,875
(3) ICG Services, Inc.:
Sr. Discount Notes
0.00%, 2/15/08 N/R 500 262,500
0.00%, 5/1/08 N/R 1,350 681,750
ITC DeltaCom, Inc.
Sr. Notes
11.00%, 6/1/07 B2 259 271,950
IXC Communications, Inc.
Sr. Sub. Notes
9.00%, 4/15/08 B1 500 505,000
Intermedia
Communications, Inc.
Sr. Notes
8.875%, 11/1/07 B2 200 188,000
Jordan Telecommunications
Products, Inc.:
Series B,
Sr. Notes
9.875%, 8/1/07 N/R 270 290,925
(3) Sr. Discount Notes
0.00%, 8/1/07 B3 425 449,438
KMC Telecom
Holdings, Inc.
Sr. Notes
13.50%, 5/15/09 Caa2 500 492,500
(3) Knology Holdings, Inc.
Sr. Discount Notes
0.00%, 10/15/07 N/R 1,000 658,750
Level 3
Communications, Inc.:
Sr. Notes
9.125%, 5/1/08 B3 1,150 1,086,750
(3) Sr. Discount Notes
0.00%, 12/1/08 B3 1,000 603,750
Logix Communications
Enterprises
Sr. Notes
12.25%, 6/15/08 N/R 1,000 797,500
</TABLE>
The accompanying notes are an integral part of the financial statements.
13
<PAGE>
<TABLE>
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
- ---------------------------------------------------------------------------------------
MCI Worldcom, Inc.
Sr. Unsecured Notes
6.50%, 4/15/10 Baa2 $ 125 $ 115,938
(3) McLeod USA, Inc.:
Sr. Discount Notes
0.00%, 3/1/07 B2 800 648,000
Sr. Notes
9.25%, 7/15/07 B2 400 401,000
9.50%, 11/1/08 B2 1,000 1,012,500
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 1,100 907,500
(3) 0.00%, 6/15/08 B3 1,000 786,250
Microcell
Telecommunications, Inc.
Series B, Yankee
Sr. Discount Notes
14.00%, 6/1/06 B3 470 413,600
(3) Millicom
International Cellular
Yankee Sr. Sub.
Discount Notes
0.00%, 6/1/06 Caa1 850 698,062
(3) NEXTLINK
Communications, Inc.:
Sr. Discount Notes
0.00%, 4/15/08 B3 1,700 1,079,500
Sr. Notes
12.50%, 4/15/06 B3 350 378,000
10.75%, 11/15/08 B3 500 515,000
(3) Nextel
Communications, Inc.
Sr. Discount Notes
0.00%, 2/15/08 B2 1,700 1,194,250
Orange plc
Sr. Notes
9.00%, 6/1/09 B3 100 106,000
Orbital Imaging Corp.
Series B, Sr. Notes
11.625%, 3/1/05 N/R 500 326,250
Orion Network
Systems, Inc.
Gtd. Sr. Notes
11.25%, 1/15/07 B2 500 375,000
PSINET, Inc.
Sr. Notes
11.50%, 11/1/08 B3 1,050 1,102,500
(3) PTC International Finance B.V.
Gtd. Sr. Sub. Notes
0.00%, 7/1/07 B3 350 232,313
(3) Pagemart Nationwide, Inc.
Sr. Discount Notes
0.00%, 2/1/05 B3 1,750 1,520,312
(1) Pegasus Communications Corp.
Sr. Sub. Notes
12.50%, 8/1/07 N/R 750 808,125
</TABLE>
<TABLE>
- ---------------------------------------------------------------------------------------
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
(3) Qwest Communications
International, Inc.
Sr. Discount Notes
0.00%, 10/15/07 B2 $ 1,100 $ 892,375
(3) RCN Corp.:
Series B,
Sr. Discount Notes
0.00%, 2/15/08 B3 900 592,875
Sr. Notes
10.125%, 1/15/10 B3 500 498,750
RSL Communications plc: Yankee
Gtd. Sr. Notes 9.125%, 3/1/08 B3 200 179,000
10.50%, 11/15/08 B3 250 239,375
9.875, 11/15/09 B2 1,100 992,750
Rhythms Netconnections, Inc.:
Sr. Notes
12.75%, 4/15/09 B3 250 241,875
Units
13.00%, 5/15/08 N/R 1,500 810,000
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 350 364,000
Sprint Capital Corp. Medium
Term Notes 6.875%, 11/15/01 Baa1 300 297,375
Sprint Spectrum L.P. / Sprint
Spectrum Finance Corp.
Sr. Notes
11.00%, 8/15/06 B2 1,500 1,659,240
Star Choice
Communications, Inc.
Yankee Sr. Notes
13.00%, 12/15/05 N/R 500 503,125
Startec Global Communications
Corp. Units
12.00%, 5/15/08 N/R 750 635,625
Telesystem International
Wireless
Series B,
Sr. Discount Notes
13.25%, 6/30/07 Caa1 500 304,375
Teligent, Inc.
Sr. Notes
11.50%, 12/1/07 Caa1 750 731,250
(1)(3) Tritel PCS, Inc.
Sr. Discount Notes
0.00%, 5/15/09 B3 500 316,875
(3) Triton PCS, Inc.
Gtd.
0.00%, 5/1/08 B3 800 567,000
(1)(3) US Unwired, Inc.
Sr. Discount Notes
0.00%, 11/1/09 Caa1 700 415,625
</TABLE>
The accompanying notes are an integral part of the financial statements.
14
<PAGE>
<TABLE>
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<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 850 847,875
(1) 11.50%, 3/15/09 B3 1,098 1,097,605
Western Wireless Corp.
Sr. Sub. Notes
10.50%, 2/1/07 B3 350 365,750
Williams Communications
Group, Inc.
Sr. Notes
10.875%, 10/1/09 B2 500 523,750
(3) Winstar Communications, Inc.
Sr. Discount Notes
0.00%, 10/15/05 Caa1 1,600 1,552,000
(1) Worldwide Fiber, Inc.
Sr. Notes
12.00%, 8/1/09 B3 800 832,000
------------
GROUP TOTAL 51,277,605
------------
- ---------------------------------------------------------------------------------------
- -----------------
TEXTILES/APPAREL (1.3%)
Iron Age Corp.
Sr. Sub. Notes
9.875%, 5/1/08 B3 250 184,688
Maxim Group, Inc. Series B,
Gtd. Sr. Sub. Notes
9.25%, 10/15/07 B2 700 558,250
Phillips-Van-Heusen Corp.
Sr. Sub. Notes
9.50%, 5/1/08 B1 800 746,000
Pillowtex Corp.
Gtd. Sr. Sub. Notes
10.00%, 11/15/06 B2 500 215,000
Simmons Co.
Series B,
Sr. Sub. Notes
10.25%, 3/15/09 B3 650 628,875
Tropical Sportswear
International
Series A,
Gtd. Sr. Notes
11.00%, 6/15/08 B3 600 576,000
William Carter Co. Series A,
Sr. Sub. Notes
10.375%, 12/1/06 B3 500 436,875
------------
GROUP TOTAL 3,345,688
------------
- ---------------------------------------------------------------------------------------
- -----------------
TRANSPORTATION (1.8%)
AirTran Airlines, Inc.
Sr. Notes
10.50%, 4/15/01 N/R 1,000 967,500
Canadian Airlines Corp.
Sr. Notes
12.25%, 8/1/06 Caa2 1,950 1,106,625
</TABLE>
<TABLE>
- ---------------------------------------------------------------------------------------
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
Golden Ocean Group, Ltd.
Gtd. Sr. Notes
10.00%, 8/31/01 B3 $ 1,148 $ 63,140
Hermes Europe Railtel B.V.
Sr. Notes
11.50%, 8/15/07 B3 1,000 1,030,000
Norfolk Southern Corp.:
Bonds
7.70%, 5/15/17 Baa1 75 73,500
Series A,
Medium Term Notes
7.40%, 9/15/06 Baa1 40 39,500
Pegasus Shipping (Hellas),
Ltd.
Series A,
First Preferred Ship Mortgage
Notes
11.875%, 11/15/04 B3 300 92,250
Sea Containers, Ltd. Yankee
Sr. Notes
10.75%, 10/15/06 Ba3 500 496,250
Trans World Airlines, Inc.
Sr. Notes
11.375%, 3/1/06 Caa1 1,500 626,250
------------
GROUP TOTAL 4,495,015
------------
- ---------------------------------------------------------------------------------------
- -----------------
WASTE MANAGEMENT (0.5%)
(1) Waste Systems
International, Inc.
Sub. Notes
7.00%, 5/13/05 N/R 1,500 1,245,000
------------
- ---------------------------------------------------------------------------------------
- -----------------
TOTAL CORPORATE OBLIGATIONS
(Cost $242,464,419) 211,021,489
------------
- ---------------------------------------------------------------------------------------
GOVERNMENT & AGENCY SECURITIES (1.3%)
- ---------------------------------------------------------------------------------------
- -----------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (1.0%)
6.00%, 7/1/29 Aaa 768 702,837
6.00%, 7/1/29 Aaa 316 288,748
6.50%, 7/1/29 Aaa 632 595,149
FGLMC,
Gold Pool #C00835
6.50%, 7/1/29 Aaa 663 624,637
STRIPS,
Series H, Class 2
11.50%, 5/1/09 Aaa 520 572,267
------------
GROUP TOTAL 2,783,638
------------
- ---------------------------------------------------------------------------------------
- -----------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (0.1%)
Various Pools:
10.50%, 9/15/15 Aaa 33 36,282
10.50%, 9/15/15 Aaa 19 20,311
10.50%, 12/15/15 Aaa 3 3,384
10.50%, 3/15/16 Aaa 26 27,883
10.50%, 8/15/16 Aaa 34 36,837
------------
GROUP TOTAL 124,697
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
<TABLE>
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
- ---------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------
- -----------------
UNITED STATES TREASURY NOTES (0.2%)
TIPS
3.875%, 4/15/29 Aaa $ 405 $ 378,132
------------
- ---------------------------------------------------------------------------------------
- -----------------
TOTAL GOVERNMENT & AGENCY SECURITIES
(Cost $3,267,345) 3,286,467
------------
- ---------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (0.7%)
Commercial Mortgage Asset
Trust
Series 1999, Class A3
6.64%, 1/17/32 Aaa 310 291,594
GMAC Commercial Mortgage
Securities, Inc.:
6.853%, 9/15/06 Aaa 80 78,375
6.945%, 9/15/33 Aaa 550 524,285
Heller Financial Commercial
Mortgage
Series 1999-PH1, Class A2
6.847%, 5/15/31 Aaa 385 368,156
Morgan Stanley Capital I
Series 1998-XL1, Class A3
6.48%, 6/3/30 N/R 360 338,513
Nomura Asset Securities Corp.
Series 1998-D6, Class A1B6
6.59%, 3/17/28 Aaa 310 292,756
------------
- ---------------------------------------------------------------------------------------
- -----------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $2,021,129) 1,893,679
------------
- ---------------------------------------------------------------------------------------
- -----------------
ASSET BACKED OBLIGATIONS (1.7%)
Chase Credit Card Master Trust
Series 1999-3, Class A
6.66%, 1/15/07 Aaa 420 414,881
(1) Constellation Finance, L.L.C.
Series 1997-1, Class 1
9.80%, 12/14/02 N/R 250 232,500
Contimortgage Home Equity Loan
Trust
7.22%, 1/15/28 Aaa 125 122,734
Green Tree Financial Corp.
Manufactured Housing
Installment Sale Contracts:
Series 1993-4, Class B1
7.20%, 1/15/19 Baa3 1,424 1,363,342
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 445 439,064
</TABLE>
<TABLE>
- ---------------------------------------------------------------------------------------
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
<C> <S> <C> <C> <C>
MBNA Master Credit Card Trust:
Series 1999-G, Class A
6.35%, 12/15/06 Aaa $ 130 $ 126,588
Series 1997-I, Class A
6.55%, 1/15/07 Aaa 160 157,000
Peco Energy Transition Trust:
Series 1999-A, Class A6
6.05%, 3/1/09 Aaa 90 84,712
Series 1999-A, Class A7
6.13%, 3/1/09 Aaa 335 309,875
Prudential Securities Secured
Financing Corp.
Series 1999-C2, Class A2,
7.193%, 4/15/09 Aaa 385 377,420
Residential Asset Securities
Corp.
Series 1999-KS3, Class AI2
7.075%, 9/25/20 Aaa 125 124,355
Standard Credit Card Master
Trust
Series 1994-2, Class A
7.25%, 4/7/08 Aaa 420 415,405
UCFC Home Equity Loan:
Series 1996-B1, Class A7
8.20%, 9/15/27 Aaa 110 109,089
Series 1998-A, Class A7,
6.87% 7/15/29 Aaa 50 45,422
------------
- ---------------------------------------------------------------------------------------
- -----------------
TOTAL ASSET BACKED OBLIGATIONS
(Cost $4,366,932) 4,322,387
------------
- ---------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Shares/
Units
<C> <S> <C> <C>
- --------------------------------------------------------------------------
- -----------------
COMMON STOCKS (5.4%)
- --------------------------------------------------------------------------
- -----------------
BROADCASTING (0.8%)
(4) UnitedGlobalCom, Inc.,
Class A 26,756 1,889,642
------------
- --------------------------------------------------------------------------
- -----------------
CABLE (0.0%)
(1)(4) OpTel, Inc. 1,000 10
------------
- --------------------------------------------------------------------------
- -----------------
CONSUMER PRODUCTS & SERVICES (0.2%)
(4) Coinstar, Inc. 11,887 166,418
(4) Concentric Network Corp. 9,510 293,027
(4) Crown Packaging Enterprises, Ltd. 253,746 2,537
------------
GROUP TOTAL 461,982
------------
- --------------------------------------------------------------------------
- -----------------
ENERGY (0.0%)
(4) Abraxas Petroleum Corp. 92,408 86,633
------------
- --------------------------------------------------------------------------
- -----------------
ENTERTAINMENT (0.1%)
Premier Holdings, Ltd. 66,653 174,964
------------
</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>
- --------------------------------------------------------------------------
- -----------------
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
------------
- --------------------------------------------------------------------------
- -----------------
INDUSTRIAL GOODS & MATERIALS (0.1%)
(4)(5)(6) CIC I Acquisition Corp.
(acquired 10/18/89, cost $1,076,715) 2,944 273,056
------------
- --------------------------------------------------------------------------
- -----------------
METALS & MINING (0.0%)
(4) Sheffield Steel Corp. 6,250 12,500
------------
- --------------------------------------------------------------------------
- -----------------
PAPER & FOREST PRODUCTS (0.1%)
(1)(4)(6) Mail-Well, Inc. 21,306 287,631
------------
- --------------------------------------------------------------------------
- -----------------
RESTAURANTS, HOTELS & GAMING (0.1%)
(4) Elsinore Corp. 86,538 32,452
(4) Isle of Capri Casinos, Inc. 20,634 197,398
(1)(4) Motels of America, Inc. 500 9,000
------------
GROUP TOTAL 238,850
------------
- --------------------------------------------------------------------------
- -----------------
TELECOMMUNICATIONS (3.3%)
(4) Advanced Radio Telecom Corp. 18,211 437,064
(1)(4) CompleTel Holdings, LLC
Class B 6,500 6,500
(4) e. spire Communications Inc 28,337 164,709
(4) Globix Corp. 7,040 422,400
(4) ICG Communications, Inc. 2,145 40,219
(4) Intermedia Communications, Inc. 6,217 241,297
(4) Loral Space & Communications 302 7,342
(4) Microcell Telecommunications,
Class B 3,436 112,958
(4) Nextel Communications, Inc.
Class A 310 31,969
(4) Price Communications Corp. 88,727 2,467,719
(1)(4) Spanish Broadcasting System, Inc.
Class B 107,100 4,284,000
(4) Viatel, Inc. 3,424 183,612
------------
GROUP TOTAL 8,399,789
------------
- --------------------------------------------------------------------------
- -----------------
TOTAL COMMON STOCKS
(Cost $4,479,212) 13,701,557
------------
- --------------------------------------------------------------------------
- -----------------
PREFERRED STOCKS (3.5%)
- --------------------------------------------------------------------------
- -----------------
AEROSPACE/DEFENSE (0.4%)
GPA Group plc
7% Second Preferred Cum. Conv. 2,125,000 1,094,375
------------
- --------------------------------------------------------------------------
- -----------------
<CAPTION>
Shares/ Value
Units (Note A-1)
- --------------------------------------------------------------------------
<C> <S> <C> <C>
BROADCASTING (0.3%)
Benedek Communications Corp.
11.50% Sr. Exchangeable 150 $ 130,500
(4) Pegasus Communications Corp.
12.75% Cum. Exchangeable,
Series A 84 88,200
Pegasus Communications Corp.
Units 250 278,000
(4) Source Media, Inc.
13.50% Units 71,728 322,776
------------
GROUP TOTAL 819,476
------------
- --------------------------------------------------------------------------
- -----------------
CABLE (0.4%)
Adelphia Communications Corp.
13% Cum. Exchangeable, Series B 5,000 555,000
(4) DIVA Systems Corp.
Series D 56,913 455,304
(4) NTL, Inc.
13% Exchangeable, Series B 1 611
------------
GROUP TOTAL 1,010,915
------------
- --------------------------------------------------------------------------
- -----------------
FINANCIAL SERVICES (0.3%)
(1) Deutsche Bank Capital Funding Tr I
7.872% Non-cumulated 120,000 112,438
Lehman Brothers Holdings:
5.67% 1,100 43,450
5% Convertible, Series B 2,700 75,600
5.94% Series C 1,300 53,300
Olympic Financial, Ltd.
Units
11.50%, 3/15/07 475,000 484,500
(6) Westfed Holdings, Inc.
Class A (acquired 9/20/88-6/18/93,
cost $3,611,992) 42,759 42,759
------------
GROUP TOTAL 812,047
------------
- --------------------------------------------------------------------------
- -----------------
METALS & MINING (0.1%)
(1) International Utility
Structures, Inc.:
13% Units 150 140,625
14% Units 28 2,296
------------
GROUP TOTAL 142,921
------------
- --------------------------------------------------------------------------
- -----------------
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 21,308 468,776
------------
- --------------------------------------------------------------------------
- -----------------
TELECOMMUNICATIONS (1.6%)
e. spire Communications, Inc.
12.75% 318 63,600
Intermedia Communications, Inc.:
13.50% Exchangeable, Series B 349 342,020
(1) 7% Jr. Convertible, Series E 44,000 1,485,000
(4) NEXTLINK Communications, Inc.
14% Cum. Exchangeable 13,869 776,664
</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>
Nextel Communications, Inc.
13% Exchangeable, Series D 1,060 $ 1,097,100
Rural Cellular Corp.
11.375% Sr. Exchangeable 293 301,057
------------
GROUP TOTAL 4,065,441
------------
- --------------------------------------------------------------------------
- -----------------
TOTAL PREFERRED STOCKS
(Cost $12,304,488) 8,926,451
------------
- --------------------------------------------------------------------------
- -----------------
RIGHTS (0.2%)
Abraxas Petroleum Corp.
expiring 12/21/00 92,408 924
(4)(5) Primestar, Inc.
Share Appreciation Right
expiring 5/10/00 6,562 327,601
(4) Terex Corp.
expiring 5/15/02 6,000 84,000
- --------------------------------------------------------------------------
- -----------------
TOTAL RIGHTS
(Cost $0) 412,525
------------
- --------------------------------------------------------------------------
- -----------------
WARRANTS (0.6%)
- --------------------------------------------------------------------------
(4) Ampex Corp.
expiring 3/15/03 26,000 82,880
(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) CHI Energy, Inc.:
Series B, expiring 11/8/03 7,578 18,195
Series C, expiring 11/8/05 4,919 11,810
(4) Crown Packaging Holdings, Ltd.
expiring 11/1/03 2,000 160
(4) Dairy Mart Convenience Stores, Inc.
expiring 12/1/01 11,665 4,098
(4) Decrane Aircraft Holdings
expiring 9/30/08 800 0
(1)(4) DIVA Systems Corp.
expiring 5/15/06 1,925 699,930
expiring 3/1/08 8,325 99,900
(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 09/27/09 9,752 97,520
(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 31,250
(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 64,400
(4) Source Media, Inc.
expiring 11/1/07 30,731 307,313
(1)(4) Star Choice Communications, Inc.
expiring 12/5/05 11,580 $ 46,134
<CAPTION>
Shares/ Value
Units (Note A-1)
- --------------------------------------------------------------------------
<C> <S> <C> <C>
(4) Startec Global Communications Corp.
expiring 5/15/08 750 750
(4) USN Communications, Inc.
expiring 8/15/04 7,600 0
(4) Wright Medical Technology
expiring 6/30/03 618 6
- --------------------------------------------------------------------------
- -----------------
TOTAL WARRANTS
(Cost $3,065,685) 1,473,026
------------
- --------------------------------------------------------------------------
- -----------------
TOTAL DOMESTIC SECURITIES
(Cost $271,969,210) 245,037,581
------------
- --------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Moody's Face
Ratings Amount
(Unaudited) (000)
<C> <S> <C> <C> <C>
- -----------------------------------------------------------------------------
- -----------------
FOREIGN SECURITIES (1.3%)
- -----------------------------------------------------------------------------
- -----------------
CORPORATE OBLIGATIONS (1.3%)
- -----------------------------------------------------------------------------
- -----------------
FINLAND (0.1%)
(7) Okobank Perpetual
Medium Term Notes
5.739%, 3/29/49 A3 USD $140 133,000
------------
- -----------------------------------------------------------------------------
- -----------------
FRANCE (0.1%)
(7) Credit Lyonnais Paris
6.563%, 9/19/49 Baa2 USD 210 197,400
------------
- -----------------------------------------------------------------------------
- -----------------
ISRAEL (0.1%)
(1) Israel Electric Corp.,
Ltd.
Notes
8.25%, 10/15/09 A3 USD 250 250,000
------------
- -----------------------------------------------------------------------------
- -----------------
NETHERLANDS (0.5%)
(3) CompleTel Europe N.V.
Yankee Gtd.
0.00%, 2/15/09 Caa2 USD 650 364,000
(1) United Pan Europe N.V.
Sr. Notes
10.875%, 8/1/09 B2 USD 850 863,813
------------
GROUP TOTAL 1,227,813
------------
- -----------------------------------------------------------------------------
- -----------------
POLAND (0.2%)
(1) PTC International
Finance II SA
Gtd.
11.25%, 12/1/09 B2 USD 500 488,126
------------
- -----------------------------------------------------------------------------
- -----------------
SWEDEN (0.3%)
(7) ForeningsSparbanken AB
Perpetual Jr. Sub.
Medium Term Notes
6.438%, 12/29/49 Baa2 USD 500 495,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
18
<PAGE>
<TABLE>
<CAPTION>
Moody's Face
Ratings Amount Value
(Unaudited) (000) (Note A-1)
- -----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
Skandinaviska Enskilda
Banken AB
Perpetual Sub. Notes
6.625%, 3/29/49 Baa1 USD $400 $ 392,848
------------
GROUP TOTAL 887,848
------------
- -----------------------------------------------------------------------------
- -----------------
TOTAL CORPORATE OBLIGATIONS
(Cost $3,191,376) 3,184,187
------------
- -----------------------------------------------------------------------------
- -----------------
GOVERNMENT OBLIGATIONS (0.0%)
- -----------------------------------------------------------------------------
- -----------------
ARGENTINA (0.0%)
Republic of Argentina
Series B, Gtd.
Zero Coupon, 4/15/01
(Cost $112,707) Ba3 USD 125 110,938
------------
- -----------------------------------------------------------------------------
- -----------------
TOTAL FOREIGN SECURITIES
(Cost $3,304,083) 3,295,125
------------
- -----------------------------------------------------------------------------
- -----------------
TIME DEPOSITS (0.3%)
(Cost $848,000) 848,000
------------
- -----------------------------------------------------------------------------
- -----------------
TOTAL INVESTMENTS (97.8%)
(Cost $276,121,293) 249,180,706
------------
- -----------------------------------------------------------------------------
- -----------------
OTHER ASSETS IN EXCESS OF LIABILITIES
(2.2%) 5,676,249
------------
- -----------------------------------------------------------------------------
- -----------------
NET ASSETS (100%)
Applicable to 34,708,369 issued and outstanding
$.001 par value shares (authorized 100,000,000
shares) $254,856,955
============
=============================================================================
</TABLE>
N/R--Not Rated.
STRIPS--Separate Trading of Registered Interest and Principal Securities.
TIPS--Treasury Inflation Protected 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 December 31, 1999 aggregated $2,258,348. Total market value
of restricted securities owned at December 31, 1999 was $2,475,657 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 December 31,
1999.
The accompanying notes are an integral part of the financial statements.
19
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<S> <C>
- -----------------------------------------------------------
ASSETS:
Investments at Value
(Cost $276,121,293) (Note A-1).... $249,180,706
Receivables:
Interest Receivable (Note A-4).... 6,116,054
Receivable for Investments Sold... 40,249
Other Assets...................... 5,447
- -----------------------------------------------------------
Total Assets.................... 255,342,456
- -----------------------------------------------------------
LIABILITIES:
Investment Advisory Fees (Note
B)............................... 316,619
Professional Fees................. 56,858
Shareholders' Reports............. 32,202
Administrative Fees (Note C)...... 30,576
Directors' Fees................... 8,897
Due to Custodian Bank............. 5,784
Other Liabilities................. 34,565
- -----------------------------------------------------------
Total Liabilities............... 485,501
- -----------------------------------------------------------
NET ASSETS.............................. $254,856,955
==================
NET ASSETS CONSIST OF:
Capital Shares at $.001 Par Value... $ 34,708
Capital Paid in Excess of Par
Value.............................. 292,824,686
Undistributed Net Investment
Income............................. 2,296,006
Accumulated Net Realized Loss....... (13,357,858)
Unrealized Depreciation on
Investments........................ (26,940,587)
------------------
NET ASSETS APPLICABLE TO 34,708,369
ISSUED AND OUTSTANDING SHARES
(AUTHORIZED 100,000,000 SHARES)....... $254,856,955
==================
NET ASSET VALUE PER SHARE............... $ 7.34
===========================================================
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year Ended
December 31, 1999
<S> <C>
- ---------------------------------------------------
INVESTMENT INCOME:
Interest (Note A-4)......... $27,773,879
Dividends (Note A-4)........ 181,344
- ---------------------------------------------------
Total Income.............. 27,955,223
- ---------------------------------------------------
EXPENSES:
Investment Advisory Fees
(Note B)................... 1,304,143
Administrative Fees (Note
C)......................... 203,030
Shareholders' Reports....... 136,869
Shareholder Servicing
Fees....................... 97,691
Professional Fees........... 88,190
Custodian Fees.............. 80,692
Directors' Fees and
Expenses................... 44,847
Other....................... 85,004
- ---------------------------------------------------
Total Expenses............ 2,040,466
- ---------------------------------------------------
Net Investment Income..... 25,914,757
- ---------------------------------------------------
NET REALIZED LOSS ON
INVESTMENTS................... (5,299,393)
- ---------------------------------------------------
CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) ON
INVESTMENTS................... (10,358,673)
- ---------------------------------------------------
Net Realized Loss and Change in
Unrealized Appreciation
(Depreciation)................ (15,658,066)
- ---------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS..... $10,256,691
===================================================
</TABLE>
The accompanying notes are an integral part of the financial statements.
20
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
<S> <C> <C>
Year Ended Year Ended
December 31, 1999 December 31, 1998
- ---------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net Investment Income................................... $ 25,914,757 $ 24,431,443
Net Realized Gain (Loss) on Investments................. (5,299,393) 1,562,674
Change in Unrealized Appreciation (Depreciation) on
Investments............................................ (10,358,673) (24,197,476)
- ---------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ 10,256,691 1,796,641
- ---------------------------------------------------------------------------------------------------
DISTRIBUTIONS:
Net Investment Income................................... (24,985,674) (24,942,259)
- ---------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Common Stock Issued through Reinvestment of
Distributions (10,356 and 86,170 shares,
respectively).......................................... 78,652 694,164
- ---------------------------------------------------------------------------------------------------
Total Decrease in Net Assets.......................... (14,650,331) (22,451,454)
- ---------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of Year....................................... 269,507,286 291,958,740
- ---------------------------------------------------------------------------------------------------
End of Year (Including undistributed net investment
income of $2,296,006 and $140,573, respectively)....... $254,856,955 $269,507,286
===================================================================================================
</TABLE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
Year Ended December 31,
--------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE: 1999 1998 1997 1996 1995 SECTION
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF YEAR..................... $ 7.77 $ 8.44 $ 8.12 $ 8.63 $ 8.05
- ---------------------------------------------------------------------------------------------------------------------------------
Offering Costs......................................... -- -- -- (0.02) --
- ---------------------------------------------------------------------------------------------------------------------------------
Investment Activities:
Net Investment Income.............................. 0.75 0.71 0.69 0.75 0.86
Net Realized and Unrealized Gain (Loss) on
Investments....................................... (0.46) (0.66) 0.39 0.18 0.48
- ---------------------------------------------------------------------------------------------------------------------------------
Total from Investment Activities................. 0.29 0.05 1.08 0.93 1.34
- ---------------------------------------------------------------------------------------------------------------------------------
Distributions:
Net Investment Income.............................. (0.72) (0.72) (0.76) (0.90) (0.76)
- ---------------------------------------------------------------------------------------------------------------------------------
Decrease in Net Asset Value due to Shares Issued
through Rights Offering............................... -- -- -- (0.52) --
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR........................... $ 7.34 $ 7.77 $ 8.44 $ 8.12 $ 8.63
=================================================================================================================================
PER SHARE MARKET VALUE, END OF YEAR.................... $ 6.06 $ 7.56 $ 8.75 $ 7.63 $ 7.88
=================================================================================================================================
TOTAL INVESTMENT RETURN:
Net Asset Value (1)................................ 4.50% 0.47% 14.03% 10.59%* 17.41%
Market Value....................................... (11.32)% (5.68)% 25.90% 10.05%* 24.34%
=================================================================================================================================
RATIOS AND SUPPLEMENTAL DATA:
=================================================================================================================================
Net Assets, End of Year (Thousands).................... $254,857 $269,507 $291,959 $280,634 $210,441
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of Expenses to Average Net Assets Including
Expense Offsets....................................... 0.78% 0.81% 0.84% 0.94% 0.92%
Ratio of Expenses to Average Net Assets................ 0.78% 0.81% 0.84% 0.95% --
Ratio of Net Investment Income to Average Net Assets... 9.90% 8.59% 8.47% 9.23% 10.22%
Portfolio Turnover Rate................................ 43.5% 84.7% 97.7% 81.0% 44.1%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
Section Credit Suisse Asset Management LLC, formerly known as BEA
Associates replaced CS First Boston Investment management as
the Fund's investment adviser effective June 13, 1995.
* Adjusted for Rights Offering.
(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.
</TABLE>
The accompanying notes are an integral part of the financial statements.
21
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- ------------
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 $259,519 (or
0.10% of net assets) at December 31, 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, LLC 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.
22
<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 is charged certain out-of-pocket expenses
by BankBoston.
D. Purchases and sales of investment securities (excluding short-term
investments and U.S. government securities) aggregated $62,725,985 and
$68,545,698, respectively, for the year ended December 31, 1999. Purchases and
sales of U.S. government and government agency securities aggregated $48,462,436
and $49,777,024, respectively, for the year ended December 31, 1999.
At December 31, 1999, the cost of investments for Federal income tax purposes
was $276,126,301. Accordingly, net unrealized depreciation for Federal income
tax purposes aggregated $26,945,595 of which $18,633,692 related to appreciated
securities and $45,579,287 related to depreciated securities.
At December 31, 1999 the Fund had a capital loss carryforward of $12,297,212
available to offset future capital gains of which $3,830,007, $2,261,380 and
$6,205,825 will expire on December 31, 2000, 2003 and 2007, respectively. Net
capital losses incurred after October 31, and within the taxable year are deemed
to arise on the first business day of the Fund's next taxable year. For the
period from November 1, 1999 to December 31, 1999 the Fund incurred and elected
to defer until January 1, 2000 for U.S. Federal income tax purposes net losses
of approximately $1,055,638.
E. At December 31, 1999, 79.0% 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 December 31, 1999, 1.3% 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 year ended
December 31, 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. The Fund, together with other Funds advised by CSAM, LLC have established a
$250 million committed, unsecured, line of credit facility ("Credit Facility")
with Deutsche Bank, AG as administrative agent, State Street Bank and Trust
Company as operations agent, Bank of Nova Scotia as syndication agent and
certain other lenders, for temporary or emergency purposes. Under the terms of
the Credit Facility, the Funds with access to the Credit Facility pay an
aggregate commitment fee at a rate of .075% per annum on the average daily
balance of the Credit Facility that is undisbursed and uncanceled during the
preceding quarter, allocated among the participating Funds in such manner as is
determined by the governing Boards of the various Funds. In addition, the
participating Funds will pay interest on borrowing at the Federal Funds rate
plus .50%. At December 31, 1999, there were no loans outstanding for the Fund.
During the year ended December 31, 1999 there were no borrowings on this line of
credit.
23
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
- ----------
To the Shareholders and Board of Directors of
Credit Suisse Asset Management Income Fund, Inc.
In our opinion, the accompanying statement of assets and liabilities, including
the portfolio of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Credit Suisse Asset Management
Income Fund, Inc. (the "Fund") at December 31, 1999, the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended and the financial highlights for each of
the five years in the period then ended, in conformity with accounting
principles generally accepted in the United States. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States, which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of the securities at
December 31, 1999 by correspondence with the custodian, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
2400 Eleven Penn Center
Philadelphia, Pennsylvania
February 21, 2000
24
<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 SEPTEMBER 30, 1999 DECEMBER 31, 1999
-------------------- -------------------- ----------------------- ----------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Investment Income................ $ 6,573 $ 0.19 $ 6,817 $ 0.20 $ 6,931 $ 0.20 $ 7,634 $ 0.22
Net Investment Income............ 6,085 0.18 6,359 0.18 6,420 0.18 7,051 0.21
Net Realized Gain (Loss) and
Change in Unrealized
Appreciation (Depreciation) on
Investments and Foreign
Currency........................ (2,250) (0.07) (5,495) (0.16) (9,201) (0.26) 1,288 0.03
Net Increase (Decrease) in Net
Assets Resulting from
Operations...................... 3,835 0.11 864 0.02 (2,781) (0.08) 8,339 0.24
<CAPTION>
MARCH 31, 1998 JUNE 30, 1998 SEPTEMBER 30, 1998 DECEMBER 31, 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 and Foreign
Currency........................ 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
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>
25
<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.
26
<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.
27
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RECENT DEVELOPMENTS (UNAUDITED)
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Recently, the Securities and Exchange Commission (the "SEC") amended Rule
14a-4(c) under the Securities Exchange Act of 1934, as amended (the "1934 Act")
which governs the Fund's use of discretionary proxy voting authority with
respect to shareholder proposals that are not being included in the Fund's proxy
solicitation material pursuant to Rule 14a-8 of the 1934 Act. In light of these
amendments, the Fund's Board of Directors reviewed the By-laws of the Fund and
made the following material changes: 1) the percentage of ownership needed for
stockholders to request a special meeting has been increased from 25% to a
majority of the outstanding capital stock of the Fund entitled to vote at such
meeting; 2) the advance notice requirements applicable to stockholder proposals
at annual meetings and for nominations by stockholders for election to the Board
of Directors have been revised to reflect changes in Rule 14a-4(c); 3) the
Board's ultimate authority concerning reimbursement of expenses in soliciting
proxies for the election of Directors has been clarified; and 4) the power to
amend the By-laws is reserved to the Board of Directors. The Fund's By-laws are
on file with the SEC and are accessible through the SEC web site (www.sec.gov)
or may be obtained from the Secretary of the Fund upon request.
28
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4946-AR-99
