<PAGE>
Credit Suisse Asset Management Income Fund, Inc.
466 Lexington Avenue
New York, NY 10017
---------------------------------------------
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 Maxine C. Evertz
Richard J. Lindquist ASSISTANT SECRETARY
PRESIDENT AND CHIEF
INVESTMENT OFFICER Robert M. Rizza
VICE PRESIDENT AND
TREASURER
John L. Hogan
ASSISTANT TREASURER
</TABLE>
--------------------------------------------------------
INVESTMENT ADVISER
Credit Suisse Asset Management, LLC
466 Lexington Avenue
New York, New York 10017
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.
---------------------------------------------
THIRD QUARTER REPORT
September 30, 2000
<PAGE>
CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.
THIRD QUARTER REPORT - 9/30/00
----------
Dear Shareholders: October 23, 2000
We are writing to report on the activities of Credit Suisse Asset Management
Income Fund, Inc. ("the Fund") for the quarter ended September 30, 2000 and to
discuss our investment strategy.
On September 30, 2000, the Fund's net asset value ("NAV") was $6.35,
compared to an NAV of $6.66 at June 30, 2000. The Fund's total return (based on
NAV and assuming reinvestment of dividends of $0.12 per share) for the period
was -3.0%. For the first nine months of 2000, the Fund returned -5.3%.
At September 30, 2000, $177.1 million was invested in high yield debt
securities; $18.4 million in investment-grade debt securities; $13.0 million in
equity securities; and the balance of $3.9 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 (65.0%) was invested in issues rated
B through BBB.
THE MARKET: HIGH YIELD UNDERPERFORMS
The third quarter was generally a successful period for fixed income
securities, which benefited from improving perceptions about the U.S. economy
and interest rates. As measured by the 0.8% return generated by the Salomon
Smith Barney High-Yield Market Index, however, high yield underperformed most
other fixed income sectors.
Perhaps the most negative influence on high yield was the stock market,
which endured bouts of heavy selling throughout the quarter. Stocks' weakness
hurt high yield in two ways:
- Much of the decline in share prices resulted from anxiety that slower U.S.
macroeconomic growth would translate into slower growth for corporate
earnings. The latter, in turn, tended to raise concerns about the
creditworthiness of companies that issue high yield debt.
- The booming stock market of recent years--along with steadily declining
interest rates--had allowed companies to use their own shares as a strong
currency with which to attract acquisitions and pay for them. This was
particularly true of the many technology and telecommunications companies
whose debt is rated below investment-grade. Lower share prices, therefore,
meant that these companies could no longer rely on the stock market to
help them grow by funding their aggressive acquisition strategies.
Other elements additionally served to limit high yield's upside. Investors
continued to withdraw assets from high yield mutual funds, for example, as they
have done in nearly every month this year. According to Chase Securities, such
withdrawals totaled around $1.3 billion in the third quarter. An upward spike in
oil prices triggered worries about higher inflation, whose potential impact on
the economy could be unfavorable for many high yield issuers. And better-quality
high yield paper (I.E., issues rated BB) significantly outperformed B-rated
securities, which account for the biggest portion (I.E., roughly 50%) of the
overall high yield market.
Activity among investment-grade subcategories was considerably more upbeat.
Returns were solidly positive across the investment-grade universe and strongest
among long-term Treasury and government agency issues.
The key to this optimism was a variety of macroeconomic data that,
cumulatively, pointed to a much-desired "soft landing" in which economic growth
slows down to a more even and sustainable pace. The Federal Reserve appeared to
agree, as it left rates unchanged at its monetary policy meetings in late June
and late August.
PERFORMANCE: HURT BY CONCENTRATIONS IN B-RATED ISSUES AND TELECOM
We attribute the Fund's underperformance of the broad high yield market in
the quarter primarily to two factors.
The first was the strength of better-quality paper, since 54% of the Fund
was invested in B-rated issues. The second was the pronounced weakness of the
telecommunications sector, whose sharp sell-off in the equity market extended
into high yield. Telecom has been the Fund's single largest industry exposure
for the last few years. Of the five subcategories within telecom (nearly all of
which fared poorly), we weighted three more heavily than the market.
To some extent, our above-average weightings in the gaming and energy
sectors, each of which outperformed the market, helped to offset results in
B-rated and telecom issues. We also benefited from the Fund's modest exposure to
investment-grade corporate bonds and securitized debt.
2
<PAGE>
OUTLOOK: CAUTIOUS DUE TO OFFSETTING POSITIVES AND NEGATIVES
Our current view on high yield is mixed. On the positive side, valuations
have reached levels that are extraordinarily low for periods--like the
present--in which the U.S. economy is not highly inflationary or mired in
recession. This is largely neutralized, however, by the potentially negative
impact of higher energy prices across a broad range of industries, which could
hurt corporate profits and creditworthiness. We thus believe that a cautious
stance is most appropriate in the near term.
Given our caution, we have raised the Fund's average credit quality a bit by
concentrating new purchases in issues rated B+ or better. We have also
restructured the portfolio somewhat, first by allowing our position in
telecommunications to decline to market-neutral from above-market as a result of
industry consolidation that has taken some securities off the market. In
addition, we have increased energy to above-market from neutral and have raised
exposure to utilities due to their improving outlook and generally high credit
quality. Our other industry preferences remain in cable/media and gaming.
As developments occur that we believe would be of interest to you, we will
keep you informed. Meanwhile, if you have any questions about your portfolio or
the capital markets generally, please feel free to call upon us at any time.
We appreciate your interest in the Fund and would be pleased to respond to
your questions or comments. Any questions regarding net asset value,
performance, dividends, portfolio management or allocations should be directed
to Credit Suisse Asset Management at (800) 293-1232. All other inquiries
regarding account information, requests for the latest financial information or
other reports should be directed to the Fund's Shareholder Servicing Agent at
(800) 730-6001.
Sincerely yours,
/s/ Richard J. Lindquist
Richard J. Lindquist
PRESIDENT AND CHIEF INVESTMENT OFFICER*
/s/ William W. Priest, Jr.
William W. Priest, Jr.
CHAIRMAN OF THE BOARD **
*Richard J. Lindquist, who is a Managing Director of Credit Suisse Asset
Management, LLC ("CSAM"), is primarily responsible for management of the Fund's
assets. He has served in such capacity since November 21, 1996. Prior to that
date, he served as Vice President to the Fund, a position he assumed on
August 15, 1989. Mr. Lindquist joined CSAM on May 1, 1995 as a result of CSAM's
acquisition of CS First Boston Investment Management Corporation ("CSFBIM").
Prior to joining CSAM and beginning in July, 1989, he held various offices at
CSFBIM. Mr. Lindquist also is President and Chief Investment Officer of Credit
Suisse Asset Management Strategic Global Income Fund, Inc.
**William W. Priest, Jr., who is a Managing Director and Chairman-Americas
of Credit Suisse Asset Management, LLC ("CSAM"), joined CSAM in 1972.
Mr. Priest is Director and Chairman of other investment companies advised by
CSAM.
3
<PAGE>
CSAM INCOME FUND
SEPTEMBER 30, 2000
<TABLE>
<CAPTION>
TOP TEN HOLDINGS (UNAUDITED)
(as a % of net assets as of 9/30/00)
<C> <S> <C>
-----------------------------------------------
1. Univision Network Holding L.P. Sub.
Notes 7.00%, 12/17/02............ 0.9%
2. Capstar Broadcasting
Partners, Inc., Sr. Discount
Notes 0.00%, 2/1/09.............. 0.9%
3. Meditrust Conv. Debentures 7.50%,
3/1/01........................... 0.9%
4. Telewest Communications plc, Yankee
Sr. Sub. Discount Debentures
0.00%, 10/1/07................... 0.8%
5. Ainsworth Lumber Co., Ltd. Yankee
Sr. Secured Notes 12.50%,
7/15/07.......................... 0.8%
6. Coinstar, Inc., Sr. Discount Notes
13.00%, 10/1/06.................. 0.8%
7. Pagemart Nationwide, Inc. Sr.
Discount Notes 0.00%, 2/1/05..... 0.7%
8. Sprint Spectrum L.P., Sr. Notes
11.00%, 8/15/06.................. 0.7%
9. Applied Extrusion Technologies,
Series B, Sr. Notes 11.50%,
4/1/02........................... 0.7%
10. Mrs. Fields Original Cookies, Inc.
Gtd. Sr. Notes 10.125%,
12/1/04.......................... 0.7%
</TABLE>
<TABLE>
<CAPTION>
CREDIT QUALITY BREAKDOWN (UNAUDITED)
(as a % of total investments as of 9/30//00)
<S> <C>
---------------------------------------------
AAA/Aaa............................ 2.8%
AA/Aa.............................. 0.9
A/A................................ 1.4
BBB/Baa............................ 3.6
BB/Ba.............................. 7.8
B/B................................ 53.6
CCC/Caa............................ 10.2
CC/Ca.............................. 0.2
NR................................. 11.6
-------
Subtotal......................... 92.1
Equities and Other................. 7.9
-------
Total............................ 100.0%
=======
</TABLE>
4
<PAGE>
PORTFOLIO OF INVESTMENTS (UNAUDITED)
---------
SEPTEMBER 30, 2000
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
DOMESTIC SECURITIES (93.4%)
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
CORPORATE OBLIGATIONS (84.8%)
--------------------------------------------------------------------------------------------
-----------------
AEROSPACE/DEFENSE (0.7%)
(1) Decrane Aircraft Holdings
Series B, Gtd.
12.00%, 9/30/08 Caa1 $ 800 $ 748,000
Lockheed Martin Corp.
Notes
7.95%, 12/1/05 Baa3 195 200,407
Raytheon Co.
Notes
6.45%, 8/15/02 Baa2 400 395,458
United Technologies Corp.
Notes
6.625%, 11/15/04 A2 260 258,802
------------
GROUP TOTAL 1,602,667
------------
--------------------------------------------------------------------------------------------
-----------------
AUTOMOTIVE (2.6%)
Aetna Industries, Inc.
Sr. Notes
11.875%, 10/1/06 B3 600 435,000
(2) Breed Technologies, Inc.
Gtd. Sr. Sub. Notes
9.25%, 4/15/08 Caa3 400 40
(2) Cambridge Industries,
Inc.
Series B,
Gtd. Sr. Sub. Notes
10.25%, 7/15/07 B3 500 105,000
Collins & Aikman
Products Corp.
Sr. Sub. Notes
11.50%, 4/15/06 B3 700 686,000
Daimler Chrysler NA
Holdings, Corp.
Gtd.
7.40%, 1/20/05 A1 125 126,214
Delco Remy
International, Inc.
Gtd. Sr. Sub. Notes
10.625%, 8/1/06 B2 500 492,500
Diamond Triumph Auto
Gtd.
9.25%, 4/1/08 B3 500 423,750
Hayes Lemmerz
International, Inc.:
Series B, Gtd. Sr. Notes
9.125%, 7/15/07 B2 500 431,250
8.25%, 12/15/08 B2 750 611,250
Motor Coach Industries
International, Inc.
Gtd.
11.25%, 5/1/09 B2 1,000 735,000
Oxford Automotive, Inc.
Gtd. Sr. Sub. Notes
10.125%, 6/15/07 Caa1 1,375 1,216,875
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
(2) Safety Components
International, Inc.
Series B,
Gtd. Sr. Sub. Notes
10.125%, 7/15/07 B3 $ 500 $ 112,500
Stanadyne Automotive
Series B,
Gtd. Sr. Sub. Notes
10.25%, 12/15/07 Caa1 400 340,000
------------
GROUP TOTAL 5,715,379
------------
--------------------------------------------------------------------------------------------
-----------------
BROADCASTING (5.1%)
(2)(3) Australis Holdings Pty.
Ltd.
Yankee Sr. Secured
Discount Notes
0.00%, 11/1/02 N/R 3,950 395
(2)(6) Australis Media Ltd.
Yankee Units
15.75%, 5/15/03 C 2,412 12,060
(3) Capstar Broadcasting
Partners, Inc.
Sr. Discount Notes
0.00%, 2/1/09 B2 2,000 1,917,500
(1) Chancellor Media Corp.
Sr. Sub. Notes
9.00%, 10/1/08 B1 500 551,250
Cumulus Media, Inc.
Sr. Sub. Notes
10.375%, 7/1/08 B3 800 684,000
EchoStar
Communications Corp.
Sr. Notes
9.375%, 2/1/09 B2 750 738,750
Granite Broadcasting
Corp.:
Series A,
Sr. Sub. Notes
9.375%, 12/1/05 B3 300 226,500
8.875%, 5/15/08 B3 900 634,500
Pegasus Media &
Communications, Inc.
Series B, Notes
12.50%, 7/1/05 B2 250 266,250
Salem
Communications Corp.
Series B, Gtd.
9.50%, 10/1/07 B3 600 591,000
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 350 326,375
Time Warner
Telecom, LLC
Sr. Notes
9.75%, 7/15/08 B2 500 457,500
Turner Broadcasting
Systems, Inc.
Sr. Notes
7.40%, 2/1/04 Ba1 65 65,323
</TABLE>
5
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
(3) United International
Holdings, Inc.
Series B,
Sr. Discount Notes
0.00%, 2/15/08 B3 $ 1,450 $ 1,000,500
Univision Network
Holding L.P.
Sub. Notes
7.00%, 12/17/02 N/R 1,500 1,995,000
Young Broadcasting, Inc.
Series B, Gtd.
Sr. Sub. Notes
8.75%, 6/15/07 B2 865 821,750
------------
GROUP TOTAL 11,184,153
------------
--------------------------------------------------------------------------------------------
-----------------
BUSINESS SERVICES (0.6%)
Comdisco, Inc.
Medium Term Notes
7.23%, 8/16/01 Baa1 35 34,451
General Binding Corp.
Gtd. Sr. Sub. Notes
9.375%, 6/1/08 B2 250 196,250
Iron Mountain, Inc.
Sr. Sub. Notes
8.75%, 9/30/09 B3 450 432,000
Pentacon, Inc.
Series A, Gtd.
12.25%, 4/1/09 B3 250 141,250
Werner Holdings
Series A, Gtd.
10.00%, 11/15/07 B2 450 434,250
------------
GROUP TOTAL 1,238,201
------------
--------------------------------------------------------------------------------------------
-----------------
CABLE (10.8%)
Adelphia
Communications Corp.
Series B, Sr. Notes
8.375%, 2/1/08 B1 800 696,000
CSC Holdings, Inc.:
Sr. Sub. Notes
9.875%, 5/15/06 B1 400 411,000
Series B,
Sr. Sub. Debentures
8.125%, 8/15/09 Ba2 350 348,206
9.875%, 2/15/13 B1 850 873,375
Century
Communications Corp.:
(3) Series B,
0.00%, 1/15/08 Ba3 650 266,500
Sr. Notes
9.75%, 2/15/02 Ba3 500 502,500
8.75%, 10/1/07 Ba3 400 360,000
Charter
Communications Holdings:
Sr. Notes
8.625%, 4/1/09 B2 500 451,250
(1) 10.25%, 1/15/10 B2 750 737,813
(3) Sr. Discount Notes
0.00%, 4/1/11 B2 1,000 587,500
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
Classic Cable, Inc.
Series B, Gtd.
9.375%, 8/1/09 B3 $ 400 $ 326,000
Coaxial
Communications, Inc.
Gtd. Notes
10.00%, 8/15/06 B3 1,000 985,000
Comcast Corp.
Sr. Sub. Notes
9.125%, 10/15/06 Ba3 750 784,373
(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 3,075 1,399,125
James Cable Partners L.P.
Series B, Sr. Notes
10.75%, 8/15/04 N/R 1,550 1,325,250
Jones Intercable, Inc.
Sr. Notes
7.625%, 4/15/08 Ba2 1,150 1,146,834
Lenfest
Communications, Inc.:
Sr. Notes
8.375%, 11/1/05 Ba3 500 522,396
10.50%, 6/15/06 B2 900 1,017,543
8.25%, 2/15/08 B2 200 200,772
Mediacom LLC/Capital
Corp.
Sr. Notes
7.875%, 2/15/11 B2 600 531,000
NTL Communications Corp.:
Series B, Sr. Notes
(3) 0.00%, 10/1/08 B3 1,500 937,500
11.50%, 10/1/08 B3 600 582,000
NTL, Inc.:
Sr. Notes
(3) Series A,
0.00%, 4/15/05 B3 1,000 1,010,000
Series B,
(3) 0.00%, 2/1/06 B3 1,050 997,500
10.00%, 2/15/07 B3 500 460,000
Northland Cable
Television
Sr. Sub. Notes
10.25%, 11/15/07 N/R 500 392,500
Olympus
Communications, L.P./
Olympus Capital Corp.
Series B, Sr. Notes
10.625%, 11/15/06 B1 1,000 1,000,000
(3) Renaissance Media Group
Sr. Discount Notes
0.00%, 4/15/08 B3 1,000 705,000
Rogers Cablesystems, Ltd.
Gtd.
10.00%, 12/1/07 Ba3 450 472,500
</TABLE>
6
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
Rogers Communications,
Inc.
Sr. Notes
8.875%, 7/15/07 Ba3 $ 200 $ 201,250
(3) Telewest
Communications plc
Yankee Sr. Sub.
Discount Debentures
0.00%, 10/1/07 B1 1,850 1,780,625
Viacom, Inc.
Notes
7.70%, 7/30/10 Baa1 115 117,534
------------
GROUP TOTAL 23,546,346
------------
--------------------------------------------------------------------------------------------
-----------------
CHEMICALS (2.0%)
Applied Extrusion
Technologies
Series B, Sr. Notes
11.50%, 4/1/02 B2 1,500 1,481,250
(1) Huntsman Corp.
Sr. Sub. Notes
9.50%, 7/1/07 B2 400 322,000
Huntsman Polymers Corp.
Sr. Notes
11.75%, 12/1/04 B1 900 913,500
(2) Laroche Industries, Inc.
Series B, Sr. Sub. Notes
9.50%, 9/15/07 Ca 400 38,000
Lyondell Chemical Co.
Series B, Secured Notes
9.875%, 5/1/07 Ba3 500 489,375
NL Industries, Inc.
Sr. Secured Notes
11.75%, 10/15/03 B1 250 253,750
(3) Sterling Chemical
Holdings, Inc.
Sr. Secured
Discount Notes
0.00%, 8/15/08 Caa1 1,000 335,000
Sterling Chemicals, Inc.
Sr. Sub. Notes
11.75%, 8/15/06 B3 434 305,970
Texas Petrochemical Corp.
Series B, Sr. Sub. Notes
11.125%, 7/1/06 N/R 350 292,250
------------
GROUP TOTAL 4,431,095
------------
--------------------------------------------------------------------------------------------
-----------------
CONSTRUCTION & BUILDING MATERIALS (1.2%)
AFC Enterprises
Sr. Sub. Notes
10.25%, 5/15/07 N/R 400 404,000
(2) American Architectural
Products Corp.
Gtd. Sr. Notes
11.75%, 12/1/07 Caa1 1,150 247,250
Brand Scaffold Services,
Inc.
Sr. Notes
10.25%, 2/15/08 B3 250 226,250
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
Collins & Aikman Floor
Coverings, Inc.
Series B, Sr. Sub. Notes
10.00%, 1/15/07 B3 $ 1,000 $ 965,000
D. R. Horton, Inc.
Sr. Sub. Notes
9.75%, 9/15/10 Ba3 150 146,250
International Utility
Structures, Inc.
Yankee Sr. Sub. Notes
10.75%, 2/1/08 Caa1 500 362,500
MMI Products, Inc.
Series B, Sr. Sub. Notes
11.25%, 4/15/07 B2 250 245,625
(2) Waxman Industries, Inc.
Series B, Sr. Notes
12.75%, 6/1/04 Caa1 600 153,000
------------
GROUP TOTAL 2,749,875
------------
--------------------------------------------------------------------------------------------
-----------------
CONSUMER PRODUCTS & SERVICES (2.3%)
Coinstar, Inc.
Sr. Discount Notes
13.00%, 10/1/06 Caa1 1,700 1,751,000
Doskocil
Manufacturing Co., Inc.
Gtd. Sr. Sub. Notes
10.125%, 9/15/07 B3 500 171,250
Drypers Corp.
Series B, Sr. Notes
10.25%, 6/15/07 Caa1 250 41,250
Fort James Corp.
Sr. Notes
6.234%, 3/15/01 Baa3 155 154,036
Holmes Products Corp.
Gtd. Sr. Sub. Notes
9.875%, 11/15/07 B3 800 476,000
Indesco International,
Inc.
Gtd. Sr. Sub. Notes
9.75%, 4/15/08 B3 600 225,000
Jordan Industries, Inc.
Series B, Sr. Notes
10.375%, 8/1/07 B3 1,150 1,086,750
Packaged Ice, Inc.
Gtd. Sr. Notes
9.75%, 2/1/05 B3 100 87,500
Playtex Products, Inc.
Series B, Gtd. Sr. Notes
8.875%, 7/15/04 B3 225 225,563
(1) Scotts Co.
Sr. Sub. Notes
8.625%, 1/15/09 B2 300 295,500
Sealy Mattress Co.
Gtd. Sr. Sub. Notes
9.875%, 12/15/07 B3 200 195,000
United Rentals, Inc.
Sr. Sub. Notes
9.25%, 1/15/09 B1 500 455,000
------------
GROUP TOTAL 5,163,849
------------
--------------------------------------------------------------------------------------------
-----------------
</TABLE>
7
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
ELECTRONICS (0.8%)
(1) Condor Systems, Inc.
Gtd. Sr. Sub. Notes
11.875%, 5/1/09 B3 $ 500 $ 345,000
Details, Inc.
Series B,
Sr. Sub. Notes
10.00%, 11/15/05 B3 500 492,500
Unisys Corp.:
Sr. Notes
11.75%, 10/15/04 B1 225 238,781
7.875%, 4/1/08 B1 250 230,625
Viasystems, Inc.:
Sr. Sub. Notes
9.75%, 6/1/07 B3 400 379,000
Series B,
Sr. Sub. Notes
9.75%, 6/1/07 B3 150 142,125
------------
GROUP TOTAL 1,828,031
------------
--------------------------------------------------------------------------------------------
-----------------
ENERGY (6.4%)
Abraxas Petroleum Corp.
Series D, Sr. Notes
11.50%, 11/1/04 B2 1,085 968,363
Bellwether
Exploration Co.
Gtd. Sr. Sub. Notes
10.875%, 4/1/07 B3 1,250 1,212,500
CMS Energy Corp.
Sr. Notes
7.50%, 1/15/09 Ba3 250 224,369
Canadian Forest Oil Ltd.
Gtd. Sr. Sub. Notes
8.75%, 9/15/07 B2 450 438,750
Cliffs Drilling Co.
Series D,
Gtd. Sr. Notes
10.25%, 5/15/03 B1 1, 100 1,134,375
Cogentrix Energy, Inc.
Gtd. Unsecured Notes
8.75%, 10/15/08 Ba1 1,000 1,007,500
Continental Resources
Gtd. Sr. Notes
10.25%, 8/1/08 B3 250 226,250
Contour Energy Co.
Gtd.
14.00%, 4/15/03 B3 901 941,545
Dominion Resources, Inc.
Sr. Notes
8.125%, 6/15/10 Baa1 185 191,519
Duke Energy Field
Services
Notes
7.50%, 8/16/05 Baa2 115 116,095
El Paso Energy Corp.
Sr. Notes
6.75%, 5/15/09 Baa2 255 242,815
FPL Group Capital, Inc.
Gtd.
6.875%, 6/1/04 A2 380 376,655
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
First Wave Marine, Inc.
Gtd. Sr. Notes
11.00%, 2/1/08 B3 $ 1,000 $ 275,000
Frontier Oil Corp.
Sr. Notes
11.75%, 11/15/09 B2 800 816,000
Giant Industries, Inc.
Gtd. Sr. Sub. Notes
9.00%, 9/1/07 B2 500 466,250
Gothic Production Corp.
Series B,
Gtd. Sr. Secured Notes
11.125%, 5/1/05 B3 800 842,000
H. S. Resources, Inc.:
Gtd. Sr. Sub. Notes
9.25%, 11/15/06 B2 600 603,000
Sr. Sub. Notes
9.875%, 12/1/03 B2 500 505,000
Key Energy Services, Inc.
Sr. Sub. Notes
14.00%, 1/15/09 B3 1,250 1,428,125
Keyspan Gas East
Unsub. Notes
7.875%, 2/1/10 A3 230 233,945
Occidental Petroleum
Corp.
Sr. Notes
7.375%, 11/15/08 Baa3 140 138,424
Parker Drilling Co.
Series D, Gtd. Sr. Notes
9.75%, 11/15/06 B1 500 501,250
Phillips Petroleum Co.:
Notes
8.50%, 5/25/05 Baa2 35 36,998
8.75%, 5/25/10 Baa2 55 60,032
Plains Resources, Inc.
Series B, Gtd.
Sr. Sub. Notes
10.25%, 3/15/06 B2 375 382,500
Southwest Royalties, Inc.
Series B,
Gtd. Sr. Notes
10.50%, 10/15/04 B3 500 412,500
Wiser Oil Co.
Gtd. Sr. Sub. Notes
9.50%, 5/15/07 B2 450 366,750
------------
GROUP TOTAL 14,148,510
------------
--------------------------------------------------------------------------------------------
-----------------
ENTERTAINMENT (2.1%)
American Skiing Co.
Series B, Sr. Sub. Notes
12.00%, 7/15/06 B3 425 350,625
Bally Total
Fitness Holdings
Series D, Sr. Sub. Notes
9.875%, 10/15/07 B3 350 334,250
Booth Creek Ski
Holdings, Inc.
Series B, Sr. Sub. Notes
12.50%, 3/15/07 Caa1 1,000 757,500
</TABLE>
8
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
Cinemark U.S.A., Inc.
Series D, Sr. Sub. Notes
9.625%, 8/1/08 B2 $ 250 $ 118,750
KSL Recreation Group,
Inc.
Series B, Sr. Sub. Notes
10.25%, 5/1/07 B2 430 423,550
Loews Cineplex
Sr. Sub. Notes
8.875%, 8/1/08 B3 900 346,500
Outboard Marine Corp.
Series B, Gtd. Sr. Notes
10.75%, 6/1/08 B3 500 202,500
(1)(2) Premier Cruises, Ltd.
Gtd. Sr. Notes
11.00%, 3/15/08 B3 900 24,750
Production Resource
Group,
LLC/PRG Finance Group
Gtd. Sr. Sub. Notes
11.50%, 1/15/08 Caa2 750 228,750
Regal Cinemas, Inc.
Sr. Sub. Notes
9.50%, 6/1/08 Caa1 1,400 175,000
(2) Silver Cinemas, Inc.
Sr. Sub. Notes
10.50%, 4/15/05 Caa1 1,900 199,500
Time Warner, Inc.:
Debentures
7.48%, 1/15/08 Ba1 630 630,101
Notes
8.11%, 8/15/06 Baa3 60 62,170
(1)(5) Yanknets LLC/Yanknets CP
Sr. Notes
12.75%, 3/1/07 B1 800 792,000
------------
GROUP TOTAL 4,645,946
------------
--------------------------------------------------------------------------------------------
-----------------
FINANCIAL SERVICES (3.1%)
Associates Corp.
Sr. Notes
6.25%, 11/1/08 Aa3 400 375,807
Bank of America Corp.
Sub. Notes
7.80%, 2/15/10 Aa3 345 355,668
Chase Manhattan Corp.
Sub. Notes
7.00%, 11/15/09 A1 260 255,613
CIT Group, Inc.
Unsub. Notes
7.375%, 3/15/03 A1 45 45,364
Citicorp
Series F, Sub. Notes
6.375%, 11/15/08 A1 140 132,242
Conseco Finance Trust III
Bonds
8.796%, 4/1/27 Ba2 55 23,925
Conseco, Inc.:
Notes
6.40%, 2/10/03 Baa3 155 113,925
9.00%, 10/15/06 Baa3 100 69,500
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
Duke Capital Corp.
Sr. Notes
7.25%, 10/1/04 A3 $ 380 $ 382,780
(1) ERAC USA Finance Co.
Notes
7.95%, 12/15/09 Baa2 50 49,272
Enron Corp.
Notes
7.875%, 6/15/03 Baa1 60 61,161
Finova Capital Corp.:
Notes
6.55%, 11/15/02 Baa1 155 123,177
7.25%, 11/8/04 Baa1 135 101,773
Ford Motor Credit Co.
Notes
7.875%, 6/15/10 A2 290 294,297
GE Global Insurance
Notes
7.50%, 6/15/10 Aa1 355 359,689
General Electric Capital
Corp.
Notes
7.00%, 2/3/03 Aaa 375 377,974
General Motors Acceptance
Corp.
Notes
7.50%, 7/15/05 A2 375 380,298
Goldman Sachs Group, Inc.
Sr. Unsub. Notes
7.80%, 1/28/10 A1 155 158,212
(1) John Hancock Global
Funding II
Notes
7.90%, 7/2/10 Aa2 240 247,634
Lehman Brothers Holdings,
Inc.:
Notes
6.625%, 4/1/04 Baa1 50 49,043
8.25%, 6/15/07 A3 60 62,190
Long Island Savings Bank
F. S. B.
Notes
7.00%, 6/13/02 Baa3 770 768,597
(1) Madison River Capital/
Finance
Sr. Notes
13.25%, 3/1/10 Caa1 1,250 1,006,250
Morgan Stanley Dean
Witter & Co.
Notes
7.75%, 6/15/05 Aa3 95 97,906
(1) Potomac Capital
Investment Corp.
Notes
7.55%, 11/19/01 Baa1 150 151,047
(1) US West Cap Funding, Inc.
Gtd.
6.875%, 8/15/01 Baa1 120 119,903
</TABLE>
9
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
(2) Westfed Holdings
Sr. Debentures
15.50%, 9/15/99 N/R $ 1,750 $ 560,000
------------
GROUP TOTAL 6,723,247
------------
--------------------------------------------------------------------------------------------
-----------------
FOOD & BEVERAGES (2.2%)
Archibald Candy Corp.
Gtd. Sr. Secured Notes
10.25%, 7/1/04 B2 1,000 560,000
Aurora Foods, Inc.
Series B, Sr. Sub.
Notes
9.875%, 2/15/07 Caa1 900 715,500
B & G Foods, Inc.
Gtd.
9.625%, 8/1/07 B3 500 362,500
Eagle Family Foods
Series B, Gtd. Sr. Notes
8.75%, 1/15/08 B3 450 245,250
Fleming Companies, Inc.
Sr. Sub. Notes
10.50%, 12/1/04 B3 700 616,000
International Home Foods,
Inc.
Gtd. Sr. Sub. Notes
10.375%, 11/1/06 B2 1,000 1,075,000
Kroger Co.
Sr. Notes
7.625%, 9/15/06 Baa3 400 400,418
Premier International
Foods, plc
Sr. Notes
12.00%, 9/1/09 N/R 1,000 840,000
Stater Brothers Holdings,
Inc.
Sr. Notes
10.75%, 8/15/06 B2 500 425,000
------------
GROUP TOTAL 5,239,668
------------
--------------------------------------------------------------------------------------------
-----------------
HEALTH CARE (1.5%)
ICN Pharmaceutical
Sr. Notes
8.75%, 11/15/08 Ba3 500 501,250
Icon Health & Fitness,
Inc.
Gtd.
12.00%, 9/27/05 N/R 222 144,300
Meditrust
Conv. Debentures
7.50%, 3/1/01 Baa3 2,000 1,905,000
Oxford Health Plans
Sr. Notes
11.00%, 5/15/05 Caa1 340 358,700
(2) Paracelsus Healthcare
Sr. Sub. Notes
10.00%, 8/15/06 B3 750 303,750
------------
GROUP TOTAL 3,213,000
------------
--------------------------------------------------------------------------------------------
-----------------
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
INDUSTRIAL GOODS & MATERIALS (2.0%)
APCOA, Inc.
Gtd. Sr. Notes
9.25%, 3/15/08 Caa1 $ 430 $ 159,100
Atlantis Plastics, Inc.
Sr. Notes
11.00%, 2/15/03 N/R 585 466,567
(2) CLARK Material
Handling Co.
Gtd. Sr. Notes
10.75%, 11/15/06 B1 550 85,250
Elgar Holdings, Corp.
Gtd.
9.875%, 2/1/08 B2 200 115,000
Haynes International,
Inc.
Sr. Notes
11.625%, 9/1/04 B3 500 397,500
(1) Holley Performance
Products
Sr. Notes
12.25%, 9/15/07 B2 500 277,500
International Knife &
Saw, Inc.
Sr. Sub. Notes
11.375%, 11/15/06 B3 750 377,813
Motors & Gears, Inc.
Series D, Sr. Notes
10.75%, 11/15/06 B3 1,400 1,393,000
Neenah Corp.
Series B, Sr. Sub. Notes
11.125%, 5/1/07 B3 250 195,000
Park-Ohio Industries,
Inc.
Sr. Sub. Notes
9.25%, 12/1/07 B2 400 358,000
(3) Thermadyne
Manufacturing, LLC/
Thermadyne Capital Corp.
Gtd. Sr. Sub. Notes
0.00%, 6/1/08 B3 975 346,125
Thermadyne Holdings Corp.
Sr. Discount Notes
9.875%, 6/1/08 Caa1 300 232,875
------------
GROUP TOTAL 4,403,730
------------
--------------------------------------------------------------------------------------------
-----------------
METALS & MINING (2.4%)
Algoma Steel, Inc.
Yankee First Mortgage
Notes
12.375%, 7/15/05 B1 1,000 715,000
Bayou Steel Corp.
First Mortgage Notes
9.50%, 5/15/08 B1 500 382,500
GS Technologies Operating
Co.
Sr. Notes
12.00%, 9/1/04 Caa1 525 65,625
(2) Gulf States Steel, Inc.
First Mortgage Notes
13.50%, 4/15/03 B1 1,050 15,750
</TABLE>
10
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
Kaiser Aluminum &
Chemical Corp.
Series D, Sr. Notes
10.875%, 10/15/06 B1 $ 675 $ 666,563
Lodestar Holdings, Inc.
Sr. Notes
11.50%, 5/15/05 Caa2 800 132,000
Metallurg, Inc.
Series B, First Mortgage
Gtd. Sr. Notes
11.00%, 12/1/07 B3 950 764,750
National Steel Corp.
Series D,
First Mortgage Bonds
9.875%, 3/1/09 Ba3 750 446,250
Sheffield Steel Corp.
Series B,
First Mortgage Bonds
11.50%, 12/1/05 Caa2 750 446,250
WCI Steel, Inc.
Series B,
Sr. Secured Notes
10.00%, 12/1/04 B2 925 823,250
Weirton Steel Corp.
Sr. Notes
11.375%, 7/1/04 B2 500 417,500
Wheeling-Pittsburg Corp.
Sr. Notes
9.25%, 11/15/07 B2 750 341,250
------------
GROUP TOTAL 5,216,688
------------
--------------------------------------------------------------------------------------------
-----------------
PACKAGING/CONTAINERS (2.0%)
AEP Industries, Inc.
Sr. Sub. Notes
9.875%, 11/15/07 B2 250 213,750
AMTROL, Inc.
Sr. Sub. Notes
10.625%, 12/31/06 B3 400 355,000
BPC Holding Corp.
Series B,
Sr. Secured Notes
12.50%, 6/15/06 Caa3 1,023 823,139
Container Corp. of
America
Gtd. Sr. Notes
9.75%, 4/1/03 B1 500 505,000
(3) Crown Packaging
Enterprises, Ltd.
Yankee Sr. Secured
Discount Notes
0.00%, 8/1/06 Ca1 2,450 245
Four M Corp.
Series B, Sr. Notes
12.00%, 6/1/06 Caa2 500 475,000
Gaylord Container Corp.
Series B, Sr. Notes
9.75%, 6/15/07 B3 700 479,500
Huntsman Packaging Corp.
Units
13.00%, 6/1/10 B3 700 630,000
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
Radnor Holdings, Inc.
Series B, Gtd. Sr. Notes
10.00%, 12/1/03 B2 $ 500 $ 445,000
Stone Container Finance
Co.
Yankee Gtd. Sr. Notes
11.50%, 8/15/06 B2 530 548,550
------------
GROUP TOTAL 4,475,184
------------
--------------------------------------------------------------------------------------------
-----------------
PAPER & FOREST PRODUCTS (2.5%)
Abitibi-Consolidated,
Inc.
Yankee Bonds
8.55%, 8/1/10 Baa3 270 275,256
Ainsworth Lumber Co.,
Ltd.
Yankee Sr. Secured Notes
12.50%, 7/15/07 B3 1,900 1,776,500
American Tissue, Inc.
Series B, Gtd.
12.50%, 7/15/06 B3 340 340,000
Color Spot Nurseries
Sr. Sub. Notes
10.50%, 12/15/07 Caa1 1,000 355,000
(2) Crown Paper Co.
Sr. Sub. Notes
11.00%, 9/1/05 B3 800 184,000
Doman Industries, Ltd.
Yankee Sr. Notes
8.75%, 3/15/04 Caa1 250 168,750
QUNO Corp.
Yankee Sr. Notes
9.125%, 5/15/05 Baa3 315 325,367
Repap New Brunswick, Inc.
Sr. Secured Debentures
10.625%, 4/15/05 B3 800 828,000
Riverwood
International Corp.
Gtd. Sr. Notes
10.875%, 4/1/08 Caa1 600 552,000
SD Warren Co.
Debentures
14.00%, 12/15/06 N/R 995 1,096,573
------------
GROUP TOTAL 5,901,446
------------
--------------------------------------------------------------------------------------------
-----------------
PUBLISHING & INFORMATION SERVICES (2.0%)
American Lawyer Media
Holdings, Inc.
Gtd. Sr. Notes
9.75%, 12/15/07 B1 450 427,500
Ampex Corp.
Series B, Sr. Notes
12.00%, 3/15/03 N/R 750 562,500
Earthwatch, Inc.
Sr. Discount Notes
13.00%, 7/15/07 N/R 900 544,500
Hollinger International
Publishing
Gtd. Sr. Notes
9.25%, 3/15/07 Ba3 1,000 1,010,000
</TABLE>
11
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
Lamar Advertising Co.
Gtd. Sr. Sub. Notes
9.625%, 12/1/06 B1 $ 250 $ 257,188
(3) Liberty Group
Publishing, Inc.
Sr. Discount Debentures
0.00%, 2/1/09 Caa1 600 294,000
Mentus Media Corp.
Units
12.00%, 2/1/03 N/R 1,795 717,832
(2) Premier Graphics, Inc.
Gtd.
11.50%, 12/1/05 Caa3 1,500 37,500
Printpack, Inc.
Series B, Sr. Sub. Notes
10.625%, 8/15/06 Caa1 300 292,500
Tri-State Outdoor Media
Sr. Notes
11.00%, 5/15/08 N/R 1,023 890,010
------------
GROUP TOTAL 5,033,530
------------
--------------------------------------------------------------------------------------------
-----------------
REAL ESTATE (0.0%)
EOP Operating, L.P.
Sr. Notes
6.375%, 2/15/03 Baa1 65 63,600
------------
--------------------------------------------------------------------------------------------
-----------------
RESTAURANTS, HOTELS & GAMING (6.9%)
American Restaurant
Group, Inc.
Gtd. Sr. Secured Notes
11.50%, 2/15/03 B3 750 686,250
AmeriKing, Inc.
Sr. Notes
10.75%, 12/1/06 B3 250 146,250
Ameristar Casinos
Series B, Gtd.
10.50%, 8/1/04 B3 750 757,500
(1) Autotote Corp.
Sr. Sub. Notes
12.25%, 8/15/10 B3 750 765,000
Aztar Corp.
Sr. Sub. Notes
8.875%, 5/15/07 B1 500 487,500
Bluegreen Corp.
Gtd. Sr. Secured Notes
10.50%, 4/1/08 B3 1,000 535,000
Boyd Gaming Corp.
Sr. Sub. Notes
9.50%, 7/15/07 B1 150 141,000
CapStar Hotel Co.
Sr. Sub. Notes
8.75%, 8/15/07 B1 375 354,375
(2) Fitzgeralds Gaming Corp.
Series B, Gtd. Sr. Notes
12.25%, 12/15/04 Caa3 500 252,500
Friendly Ice Cream Corp.
Gtd. Sr. Notes
10.50%, 12/1/07 B1 800 644,000
HMH Properties
Series B, Gtd. Sr. Notes
7.875%, 8/1/08 Ba2 500 462,500
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
Hard Rock Hotel, Inc.
Sr. Sub. Notes
9.25%, 4/1/05 B3 $ 1,400 $ 1,316,000
Hollywood Park, Inc.
Series B,
Gtd. Sr. Sub. Notes
9.50%, 8/1/07 B2 675 700,313
Horseshoe Gaming
Holdings:
Series B, Sr. Sub. Notes
9.375%, 6/15/07 B2 750 751,875
8.625%, 5/15/09 B2 750 738,750
Intrawest Corp.
Sr. Notes
9.75%, 8/15/08 B1 250 251,250
Isle of Capri Casinos,
Inc.
Sr. Sub. Notes
8.75%, 4/15/09 B3 450 420,750
Lodgian Financing Corp.
Sr. Sub. Notes
12.25%, 7/15/09 B3 500 427,500
MGM Mirage, Inc.
Gtd.
8.50%, 9/15/10 Baa3 80 80,209
(1) Majestic Star Casino/LLC
Secured Notes
10.875%, 7/1/06 B2 500 442,500
Mandalay Resort Group
Sr. Sub. Notes
9.25%, 12/1/05 Ba3 150 149,250
Mohegan Tribal Gaming
Authority
Sr. Notes
8.125%, 1/1/06 Ba2 900 883,125
(1) Park Place Entertainment
Corp.
Sr. Sub. Notes
9.375%, 2/15/07 Ba2 500 510,000
Prime Hospitality Corp.
Secured First Mortgage
Notes
9.25%, 1/15/06 Ba2 850 854,250
Romacorp, Inc.
Sr. Notes
12.00%, 7/1/06 B3 750 423,750
Sante Fe Hotel, Inc.
Gtd. First Mortgage
Notes
11.00%, 12/15/00 Caa2 704 707,520
Station Casinos
Sr. Sub. Notes
9.75%, 4/15/07 B2 1,400 1,403,500
------------
GROUP TOTAL 15,292,417
------------
--------------------------------------------------------------------------------------------
-----------------
RETAIL (3.7%)
(3) Advance Holdings Corp.
Series B,
Sr. Discount Debentures
0.00%, 4/15/09 Caa2 1,500 585,000
Advance Stores Co.
Gtd. Sr. Sub. Notes
10.25%, 4/15/08 Caa1 1,000 785,000
</TABLE>
12
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
Dairy Mart Convenience
Stores, Inc.
Sr. Sub. Notes
10.25%, 3/15/04 B3 $ 275 $ 185,625
Finlay Enterprises, Inc.
Sr. Debentures
9.00%, 5/1/08 B2 400 366,000
Finlay Fine Jewelry Corp.
Gtd. Sr. Notes
8.375%, 5/1/08 Ba3 1,050 971,250
Flooring America, Inc.
Series B, Gtd.
9.25%, 10/15/07 Caa1 518 80,244
(2) Jitney-Jungle Stores of
America, Inc.
Gtd. Sr. Sub. Notes
10.375%, 9/15/07 B3 300 3,750
Jo-Ann Stores, Inc.
Sr. Sub. Notes
10.375%, 5/1/07 B2 250 213,750
Kmart Corp.
Debentures
7.75%, 10/1/12 Ba2 1,175 906,536
Mrs. Fields Holding, Co.
Sr. Discount Notes
14.00%, 12/01/05 Caa2 1,750 787,500
(1) Mrs. Fields Original
Cookies, Inc.
Gtd. Sr. Notes
10.125%, 12/1/04 B2 1,650 1,443,750
Pantry, Inc.
Sr. Sub. Notes
10.25%, 10/15/07 B3 550 533,500
Safelite Glass Corp.
Series B, Sr. Sub. Notes
9.875%, 12/15/06 Ca 1,500 18,750
Saks, Inc.:
Gtd.
7.00%, 7/15/04 Baa3 90 58,050
8.25%, 11/15/08 Baa3 80 48,000
Wal-Mart Stores, Inc.:
Sr. Notes
6.55%, 8/10/04 Aa2 250 249,717
6.875%, 8/10/09 Aa2 215 212,839
------------
GROUP TOTAL 7,449,261
------------
--------------------------------------------------------------------------------------------
-----------------
TELECOMMUNICATIONS (19.2%)
(3) Alamosa PCS Holdings,
Inc.
Gtd.
0.00%, 2/15/10 Caa1 400 218,000
(3) COLT Telecom Group, plc
Yankee Units
0.00%, 12/15/06 B1 400 706,000
(3) Call-Net Enterprises,
Inc.
Sr. Discount Notes
0.00%, 5/15/09 B2 500 152,500
(3) Clearnet Communications,
Inc.
Yankee Sr. Discount
Notes
0.00%, 12/15/05 B3 1,050 1,107,750
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
(1) Colo.Com
Units
13.875%, 3/15/10 N/R $ 400 $ 410,000
Concentric Network Corp.
Units
12.75%, 12/15/07 N/R 750 753,750
Cox Communications, Inc.
Notes
7.875%, 8/15/09 Baa2 175 177,625
(3) DTI Holdings, Inc.
Units
0.00%, 3/1/08 N/R 1,850 814,000
Dobson/Sygnet
Communications Co.
Sr. Notes
12.25%, 12/15/08 N/R 1,300 1,303,250
Dolphin Telecom plc:
(3) Sr. Discount Notes
0.00%, 6/1/08 Caa1 750 153,750
Series B, Yankee
Sr. Discount Notes
14.00%, 5/15/09 Caa1 700 143,500
(3) e. spire Communications,
Inc.
Sr. Discount Notes
0.00%, 11/1/05 N/R 2,700 1,363,500
Exodus Communications,
Inc.
Sr. Notes
11.25%, 7/1/08 N/R 550 548,625
(3) Focal Communications
Corp.
Sr. Discount Notes
0.00%, 2/15/08 N/R 1,400 665,000
(3) GST USA, Inc.
Gtd. Sr. Discount Notes
0.00%, 12/15/05 N/R 1,800 747,000
(1) GT Group Telecom
Sr. Discount Notes
13.25%, 2/1/10 N/R 300 130,500
Global Crossing Holdings,
Ltd.
Gtd. Sr. Notes
9.625%, 5/15/08 N/R 1,100 1,105,500
Globalstar,
L.P./Globalstar
Capital Corp.:
Sr. Notes
10.75%, 11/1/04 B3 1,000 285,000
11.25%, 6/15/04 Caa1 200 61,000
11.50%, 6/1/05 B3 500 147,500
(3) Golden Sky DBS, Inc.
Series B, Sr. Discount
Notes
0.00%, 3/1/07 Caa1 250 176,250
(3) Hyperion
Telecommunications, Inc.
Series B, Sr. Discount
Notes
0.00%, 4/15/03 B3 450 376,875
(3) ICG Holdings, Inc.:
Gtd. Sr. Discount Notes
0.00%, 9/15/05 B3 650 146,250
0.00%, 5/1/06 B3 600 123,000
0.00%, 3/15/07 B3 1,750 323,750
</TABLE>
13
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
(3) ICG Services, Inc.:
Gtd. Sr. Discount Notes
0.00%, 2/15/08 N/R $ 500 $ 72,500
0.00%, 5/1/08 N/R 1,350 189,000
ITC Delta Com, Inc.
Sr. Notes
11.00%, 6/1/07 B2 259 234,395
Insight Midwest/Insight
Capital
Sr. Notes
9.75%, 10/1/09 B1 650 658,125
(1) Interact Operating Co.
Notes
14.00%, 8/1/03 N/R 544 108,765
Intermedia
Communications, Inc.
Sr. Notes
8.875%, 11/1/07 B2 200 192,000
KMC Telecom Holdings,
Inc.
Sr. Notes
13.50%, 5/15/09 Caa2 500 347,500
(3) Knology Holdings, Inc.
Sr. Discount Notes
0.00%, 10/15/07 N/R 1,000 515,000
Level 3 Communications,
Inc.:
Sr. Notes
9.125%, 5/1/08 B3 1,050 913,500
(3) Sr. Discount Notes
0.00%, 12/1/08 B3 1,000 595,000
McLeod USA, Inc.:
(3) Sr. Discount Notes
0.00%, 3/1/07 B2 800 660,000
Sr. Notes
9.25%, 7/15/07 B2 400 375,000
9.50%, 11/1/08 B2 1,000 940,000
Metromedia Fiber Network,
Inc.
Series B, Sr. Notes
10.00%, 11/15/08 B2 500 470,000
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 1,100 964,242
(3) 0.00%, 6/15/08 B3 1,000 817,008
Microcell
Telecommunications, Inc.
Series B, Yankee
Sr. Discount Notes
14.00%, 6/1/06 B3 470 453,550
(3) Millicom International
Cellular
Yankee Sr. Sub.
Discount Notes
0.00%, 6/1/06 Caa1 850 735,250
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
NEXTLINK Communications,
Inc.:
(3) Sr. Discount Notes
0.00%, 4/15/08 B3 $ 1,700 $ 1,003,000
Sr. Notes
12.50%, 4/15/06 B3 350 343,875
10.75%, 11/15/08 B3 500 465,000
(3) Nextel Communications,
Inc.
Sr. Discount Notes
0.00%, 2/15/08 B2 1,700 1,304,750
Orange plc
Sr. Notes
9.00%, 6/1/09 B3 100 104,500
Orbital Imaging Corp.
Series B, Sr. Notes
11.625%, 3/1/05 N/R 500 177,500
Orion Network Systems,
Inc.
Gtd. Sr. Notes
11.25%, 1/15/07 B2 500 262,500
PSINet, Inc.
Sr. Notes
11.50%, 11/1/08 B3 1,050 708,750
(3) Pagemart Nationwide, Inc.
Sr. Discount Notes
0.00%, 2/1/05 B3 1,750 1,618,750
Pegasus Communications
Corp.
Series B, Sr. Notes
12.50%, 8/1/07 B3 750 791,250
(3) Qwest Communications
International, Inc.
Sr. Discount Notes
0.00%, 10/15/07 B2 1,100 963,659
RCN Corp.:
(3) Series B, Sr. Discount
Notes
0.00%, 2/15/08 B3 900 436,500
Sr. Notes
10.125%, 1/15/10 B3 500 357,500
RSL Communications plc:
Yankee Gtd. Sr. Notes
9.125%, 3/1/08 B3 200 41,000
10.50%, 11/15/08 B3 250 61,250
9.875, 11/15/09 B2 1,100 258,500
Rhythms Netconnections,
Inc.
Sr. Notes
12.75%, 4/15/09 B3 250 163,750
Units
13.00%, 5/15/08 N/R 1,500 577,500
Rogers Cablesystems, Ltd.
Series B,
Yankee Sr. Secured 2nd
Priority Notes
10.00%, 3/15/05 Ba3 250 262,500
Rogers Cantel, Inc.
Yankee Sr. Secured
Debentures
9.375%, 6/1/08 Ba3 350 362,250
Sprint Capital Corp.
Medium Term Notes
6.50%, 11/15/01 Baa1 300 299,102
</TABLE>
14
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
Sprint Spectrum L.P./
Sprint Spectrum Finance
Corp.
Sr. Notes
11.00%, 8/15/06 B2 $ 1,500 $ 1,612,130
Star Choice
Communications, Inc.
Yankee Sr. Notes
13.00%, 12/15/05 N/R 500 542,500
Startec Global
Communications Corp.
Units
12.00%, 5/15/08 N/R 750 596,250
Telesystem International
Wireless
Series B, Sr. Discount
Notes
13.25%, 6/30/07 Caa1 500 312,500
Teligent, Inc.
Sr. Notes
11.50%, 12/1/07 Caa1 750 341,250
(1)(3) Tritel PCS, Inc.
Sr. Discount Notes
0.00%, 5/15/09 B3 500 340,000
(3) Triton PCS, Inc.
Gtd.
0.00%, 5/1/08 B3 800 604,000
(1) US Unwired, Inc.
Series B, Gtd.
13.375%, 11/1/09 Caa1 700 378,000
Viatel, Inc.:
Sr. Notes
11.25%, 4/15/08 Caa1 850 395,250
(1) 11.50%, 3/15/09 B3 1,001 465,339
Voicestream Wireless
Sr. Notes
10.375%, 11/1/09 B2 500 542,500
Western Wireless Corp.
Sr. Sub. Notes
10.50%, 2/1/07 B3 350 362,250
Williams Communications
Group, Inc.:
Sr. Notes
10.70%, 10/1/07 B2 400 375,000
10.875%, 10/1/09 B2 500 460,000
Winstar Communications,
Inc.
Sr. Notes
12.75%, 4/15/10 B3 750 547,500
Worldcom, Inc.
Sr. Notes
7.55%, 4/1/04 A3 110 111,287
(1) Worldwide Fiber, Inc.
Sr. Notes
12.00%, 8/1/09 B3 800 716,000
------------
GROUP TOTAL 41,884,111
------------
--------------------------------------------------------------------------------------------
-----------------
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
TEXTILES/APPAREL(1.3%)
Galey & Lord, Inc.
Gtd.
9.125%, 3/1/08 Ca $ 500 $ 320,000
Phillips-Van Heusen Corp.
Sr. Sub. Notes
9.50%, 5/1/08 B1 800 756,000
Pillowtex Corp.
Gtd. Sr. Sub. Notes
10.00%, 11/15/06 B2 500 87,500
Simmons Co.
Series B, Sr. Sub. Notes
10.25%, 3/15/09 B3 650 624,000
Tropical Sportswear
International
Series A, Gtd. Sr. Notes
11.00%, 6/15/08 B3 600 567,000
William Carter Co.
Series A, Sr. Sub. Notes
10.375%, 12/1/06 B3 500 485,625
------------
GROUP TOTAL 2,840,125
------------
--------------------------------------------------------------------------------------------
-----------------
TRANSPORTATION(1.4%)
AirTran Airlines, Inc.
Yankee Sr. Notes
10.50%, 4/15/01 N/R 1,000 980,000
(2) Golden Ocean Group, Ltd.
Gtd. Sr. Notes
10.00%, 8/31/01 B3 1,148 187,985
Hermes Europe
Railtel B.V.
Sr. Notes
11.50%, 8/15/01 B3 1,000 505,000
Norfolk Southern Corp.
Notes
7.875%, 2/15/04 Baa1 260 265,046
(2) Pegasus Shipping
(Hellas), Ltd.
Series A, First
Preferred
Ship Mortgage Notes
11.875%, 11/15/04 B3 300 103,500
Sea Containers, Ltd.
Yankee Sr. Notes
10.75%, 10/15/06 Ba3 500 402,500
Trans World Airlines,
Inc.
Sr. Notes
11.375%, 3/1/06 Caa1 1,500 609,375
------------
GROUP TOTAL 3,053,406
------------
--------------------------------------------------------------------------------------------
-----------------
TOTAL CORPORATE OBLIGATIONS
(Cost $239,170,884) 187,043,465
------------
--------------------------------------------------------------------------------------------
-----------------
</TABLE>
15
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
GOVERNMENT & AGENCY SECURITIES (0.8%)
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (0.3%)
Various Pools:
7.125%, 2/15/05 Aaa $ 100 $ 102,238
STRIPS, Series H, Class
2
11.50%, 5/1/09 Aaa 438 478,671
------------
GROUP TOTAL 580,909
------------
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (0.0%)
Various Pools:
10.50%, 9/15/15 Aaa 33 35,295
10.50%, 12/15/15 Aaa 3 3,289
10.50%, 3/15/16 Aaa 25 26,983
10.50%, 8/15/16 Aaa 33 35,795
------------
GROUP TOTAL 101,362
------------
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
UNITED STATES TREASURY NOTES (0.5%)
6.625%, 4/30/02 Aaa 600 604,875
6.25%, 7/31/02 Aaa 125 125,469
7.25%, 5/15/04 Aaa 230 239,847
5.75%, 8/15/10 Aaa 95 94,644
------------
GROUP TOTAL 1,064,835
------------
--------------------------------------------------------------------------------------------
-----------------
TOTAL GOVERNMENT & AGENCY SECURITIES
(Cost $1,714,662) 1,747,106
------------
--------------------------------------------------------------------------------------------
-----------------
COLLATERALIZED MORTGAGE OBLIGATIONS (0.6%)
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
Aames Mortgage Trust
Series 00-1, Class A 4F
7.76%, 1/25/29 Aaa 135 134,979
Commercial Mortgage
Asset Trust
Series 1999, Class A 3
6.64%, 9/17/10 Aaa 310 301,863
GMAC Commercial
Mortgage Securities,
Inc.:
6.853%, 9/15/06 Aaa 80 79,779
6.945%, 9/15/33 Aaa 550 542,160
(7) Korea Asset Funding Ltd.
Series 2000-1A, Class 1
8.8912%, 2/10/09 Baa2 50 50,125
Nomura Asset Securities
Corp.
Series 1998-D6, Class
A1B6
6.59%, 3/17/28 Aaa 310 301,039
--------------------------------------------------------------------------------------------
-----------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $1,451,949) 1,409,945
------------
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
ASSET BACKED OBLIGATIONS (1.4%)
--------------------------------------------------------------------------------------------
-----------------
Chase Credit
Card Master Trust
Series 1999-3, Class A
6.66%, 1/15/07 Aaa $ 420 $ 419,213
(1) Constellation Finance,
LLC
Series 1997-1, Class 1
9.80%, 12/15/02 N/R 250 238,750
Contimortgage Home
Equity Loan Trust
7.22%, 1/15/28 Aaa 125 124,388
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 318 315,578
MBNA Master
Credit Card Trust:
Series 1999-G, Class A
6.35%, 12/15/06 Aaa 130 128,478
Series 1997-I, ClassA
6.55%, 1/15/07 Aaa 160 159,143
Series 1999-J, Class A
7.00%, 2/15/12 Aaa 310 311,313
Peco Energy Transition
Trust
Series 1999-A, Class A7
6.13%, 3/1/09 Aaa 335 314,900
Series 2000-A, Class A4
7.65%, 3/1/10 Aaa 290 298,757
Prudential Securities
Secured Financing Corp.
Series 1999-C2, Class A2
7.193%, 4/15/09 Aaa 385 385,900
Residential Asset
Securities Corp.
Series 1999-KS3, Class
AI2
7.075%, 9/25/20 Aaa 125 124,570
UCFC Home Equity Loan:
Series 1996-B1, Class A7
8.20%, 9/15/27 Aaa 110 111,375
Series 1998-A, Class A7
6.87%, 7/15/29 Aaa 50 46,844
--------------------------------------------------------------------------------------------
-----------------
TOTAL ASSET BACKED OBLIGATIONS
(Cost $3,001,381) 2,979,209
------------
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Shares/
Units
<C> <S> <C> <C>
--------------------------------------------------------------------------------------------
-----------------
COMMON STOCKS (1.3%)
--------------------------------------------------------------------------------------------
-----------------
CABLE (0.0%)
(1)(4) OpTel, Inc. 1,000 10
-----------
--------------------------------------------------------------------------------------------
-----------------
</TABLE>
16
<PAGE>
<TABLE>
<CAPTION>
Shares/
Units Value
--------------------------------------------------------------------------
<C> <S> <C> <C>
--------------------------------------------------------------------------
CONSUMER PRODUCTS & SERVICES (0.0%)
(4) Crown Packaging Enterprises, Ltd. 253,746 $ 2,537
-----------
--------------------------------------------------------------------------------------------
-----------------
ENTERTAINMENT (0.1%)
(4)(6) Premier Cruises, Ltd. 66,653 174,964
-----------
--------------------------------------------------------------------------------------------
-----------------
FINANCIAL SERVICES (0.0%)
(4)(5)(6) Westfed Holdings, Inc.
Class B (acquired 9/20/88, cost $383) 12,670 0
-----------
--------------------------------------------------------------------------------------------
-----------------
FOOD & BEVERAGES (0.0%)
(1)(4) Specialty Foods Corp. 30,000 300
-----------
--------------------------------------------------------------------------------------------
-----------------
METALS & MINING (0.0%)
(4) Sheffield Steel Corp. 6,250 63
-----------
--------------------------------------------------------------------------------------------
-----------------
PAPER & FOREST PRODUCTS (0.0%)
(1)(4)(6) Mail-Well, Inc. 21,306 106,974
-----------
--------------------------------------------------------------------------------------------
-----------------
RESTAURANTS, HOTELS & GAMING (0.0%)
(4) Elsinore Corp. 31,000 27,125
(1)(4) Motels of America, Inc. 500 8,000
-----------
GROUP TOTAL 35,125
-----------
--------------------------------------------------------------------------------------------
-----------------
RETAIL (0.3%)
(4) Pathmark Stores, Inc. 58,681 726,177
-----------
--------------------------------------------------------------------------------------------
-----------------
TELECOMMUNICATIONS (0.9%)
(4) CompleTel Europe N.V. 32,500 231,563
(4) e. spire Communications, Inc. 28,337 83,240
(4) ICG Communications, Inc. 2,145 938
(4) Intermedia Communications, Inc. 7,729 228,006
(4) Loral Space & Communications, Co. 302 1,850
(1)(4) Spanish Broadcasting System, Inc.
Class B 107,100 1,271,813
(4) UnitedGlobalCom, Inc.
Class A 2,058 61,740
(4) Viatel, Inc. 182 1,866
-----------
GROUP TOTAL 1,881,016
-----------
--------------------------------------------------------------------------------------------
-----------------
TOTAL COMMON STOCKS
(Cost $1,706,787) 2,927,166
-----------
--------------------------------------------------------------------------------------------
-----------------
PREFERRED STOCKS (3.7%)
--------------------------------------------------------------------------------------------
-----------------
AEROSPACE/DEFENSE (0.5%)
(4) GPA Group plc
7% Second Preferred Cum. Conv. 2,125,000 1,190,000
-----------
--------------------------------------------------------------------------------------------
-----------------
BROADCASTING (0.4%)
Benedek Communications Corp.
11.50% Sr. Exchangeable 150 84,375
(4) Pegasus Communications Corp.:
12.75% Cum. Exchangeable,
Series A 110 115,500
Units 250 308,438
<CAPTION>
Shares/
Units Value
--------------------------------------------------------------------------
<C> <S> <C> <C>
--------------------------------------------------------------------------
(4) Source Media, Inc.
13.50% Units 79,237 $ 435,804
-----------
GROUP TOTAL 944,117
-----------
--------------------------------------------------------------------------------------------
-----------------
CABLE (0.6%)
Adelphia Communications Corp.
13% Cum. Exchangeable, Series B 5,000 496,250
(4) DIVA Systems Corp.
Series D 56,913 796,782
13% Exchangeable, Series B 1 484
-----------
GROUP TOTAL 1,293,516
-----------
--------------------------------------------------------------------------------------------
-----------------
FINANCIAL SERVICES (0.1%)
(1) Deutsche Bank Capital Funding Tr I
7.872% Non-cumulated 120,000 114,353
Lehman Brothers Holdings:
5.67% 1,100 42,900
5.94%, Series C 500 21,250
(5)(6) Westfed Holdings, Inc.
Class A (aquired 9/20/88-6/18/93,
cost $3,611,992) 42,759 42,759
-----------
GROUP TOTAL 221,262
-----------
--------------------------------------------------------------------------------------------
-----------------
METALS & MINING (0.1%)
(1)(4) International Utility Structures,
Inc.:
13% Units 150 105,375
14% Units 39 2,457
-----------
GROUP TOTAL 107,832
-----------
--------------------------------------------------------------------------------------------
-----------------
PUBLISHING & INFORMATION SERVICES (0.3%)
Earthwatch, Inc.
8.50% Conv. Preferred 44,185 11,046
(4) Interact Electronic Marketing
14% Conv. Preferred 950 133,000
Primedia, Inc.
10% Cum. Exchangeable, Series D 5,000 471,250
-----------
GROUP TOTAL 615,296
-----------
--------------------------------------------------------------------------------------------
-----------------
RESTAURANTS, HOTELS & GAMING (0.0%)
AmeriKing, Inc.
13% Cum. Exchangeable 23,453 99,675
-----------
--------------------------------------------------------------------------------------------
-----------------
TELECOMMUNICATIONS (1.7%)
e. spire Communications, Inc.
12.75% 348 59,160
Intermedia Communications, Inc.:
13.50% Exchangeable, Series B 384 370,560
7% Jr. Convertible, Series E 44,000 1,155,000
NEXTLINK Communications, Inc.
14% Cum. Exchangeable 15,375 680,344
Nextel Communications, Inc.
13% Exchangeable, Series D 1,166 1,238,875
Rural Cellular Corp.
11.375% Sr. Exchangeable 317 286,093
-----------
GROUP TOTAL 3,790,032
-----------
--------------------------------------------------------------------------------------------
-----------------
</TABLE>
17
<PAGE>
<TABLE>
<CAPTION>
Shares/
Units Value
--------------------------------------------------------------------------
<C> <S> <C> <C>
--------------------------------------------------------------------------
TOTAL PREFERRED STOCKS
(Cost $12,592,679) $ 8,261,730
-----------
--------------------------------------------------------------------------
--------------------------------------------------------------------------
RIGHTS (0.0%)
--------------------------------------------------------------------------
--------------------------------------------------------------------------
Abraxas Petroleum Corp.
expiring 12/21/00 92,408 23,102
(4) Terex Corp.
expiring 5/15/02 6,000 84,000
--------------------------------------------------------------------------------------------
-----------------
TOTAL RIGHTS
(Cost $0) 107,102
-----------
--------------------------------------------------------------------------------------------
-----------------
WARRANTS (0.8%)
--------------------------------------------------------------------------
--------------------------------------------------------------------------
(4) Ampex Corp.
expiring 3/15/03 25,500 255
(4) Arcadia Financial, Ltd.
expiring 3/15/07 475 0
(1)(4) Australis Holdings Pty. Ltd.
expiring 10/30/01 2,250 23
(4) CHC Helicopter Corp.
expiring 12/15/00 6,000 6,000
(4)(6) CHI Energy, Inc.:
Series B, expiring 11/6/03 7, 578 18,195
Series C, expiring 11/8/05 4,919 11,811
(4) Crown Packaging
Holdings, Ltd.
expiring 11/1/03 2,000 20
(4) Dairy Mart Convenience Stores, Inc.
expiring 12/1/01 11,665 4,083
(4) Decrane Aircraft Holdings
expiring 9/30/08 800 800
(1)(4) DIVA Systems Corp.:
expiring 5/15/06 1,925 1,058,750
expiring 3/1/08 9,225 129,150
(1)(4) DTI Holdings, Inc.
expiring 3/1/08 9,250 1,110
(4) GT Group Telecom, Inc.
expiring 2/1/10 300 19,500
(4) Golden Ocean Group, Ltd.
expiring 8/31/01 1,032 0
(4) HF Holdings, Inc.
expiring 9/27/09 9,752 97,520
(4) Interact Electronic Marketing
expiring 12/31/09 950 10
(1)(4) Interact Systems, Inc.
expiring 8/1/03 750 0
(4) Isle of Capri Casinos, Inc.
expiring 5/3/01 2,646 357
(1)(4) Key Energy Services
expiring 1/15/09 1,250 75,000
(4) McCaw International, Ltd.
expiring 4/15/07 1,000 20,000
(1)(4) Mentus Media Corp.
expiring 2/1/08 3,757 38
(1)(4) Mrs. Fields Holding
expiring 12/1/05 1,750 17,500
(4) PLD Telekom, Inc.
expiring 6/1/06 1,610 16,100
<CAPTION>
Shares/
Units Value
--------------------------------------------------------------------------
<C> <S> <C> <C>
--------------------------------------------------------------------------
(4) Source Media, Inc.
expiring 11/1/07 30,731 $ 89,120
(1)(4) Star Choice Communications, Inc.
expiring 12/5/05 11,580 96,015
(4) Startec Global Communications Corp.
expiring 5/15/08 750 263
(4) USN Communications, Inc.
expiring 8/15/04 7,600 0
(4) Wright Medical Technology
expiring 6/30/03 618 0
--------------------------------------------------------------------------------------------
-----------------
TOTAL WARRANTS
(Cost $3,072,415) 1,661,620
-----------
--------------------------------------------------------------------------------------------
-----------------
TOTAL DOMESTIC SECURITIES
(Cost $262,710,757) 206,137,343
-----------
--------------------------------------------------------------------------
--------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000)
<C> <S> <C> <C> <C>
--------------------------------------------------------------------------------------------
-----------------
FOREIGN SECURITIES (1.1%)
--------------------------------------------------------------------------------------------
-----------------
CORPORATE OBLIGATIONS (1.0%)
--------------------------------------------------------------------------------------------
-----------------
FINLAND (0.1%)
(7) Okobank Perpetual
Medium Term Notes
5.739%, 3/29/49 A3 USD $140 137,725
------------
--------------------------------------------------------------------------------------------
-----------------
FRANCE (0.1%)
(7) Credit Lyonnais Paris
Sub. Notes
6.563%, 9/19/49 Baa2 USD 210 204,750
------------
--------------------------------------------------------------------------------------------
-----------------
NETHERLANDS (0.5%)
(1)(3) CompleTel Europe N.V.
Yankee Gtd.
0.00%, 2/15/09 Caa2 USD 650 325,000
(1) United Pan-Europe N.V.
Sr. Notes
10.875%, 8/1/09 B2 USD 850 726,750
------------
GROUP TOTAL 1,051,750
------------
--------------------------------------------------------------------------------------------
-----------------
POLAND (0.3%)
(1) PTC International
Finance B.V.
Yankee Gtd.
10.75%, 7/1/07 B2 USD 350 245,875
PTC International
Finance II SA
Gtd.
11.25%, 12/1/09 B2 USD 500 495,000
------------
GROUP TOTAL 740,875
------------
--------------------------------------------------------------------------------------------
-----------------
</TABLE>
18
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
TOTAL CORPORATE OBLIGATIONS
(Cost $2,382,358) $ 2,135,100
------------
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
GOVERNMENT OBLIGATIONS (0.1%)
--------------------------------------------------------------------------------------------
-----------------
ARGENTINA (0.1%)
Republic of Argentina
Series B, Gtd.
Zero Coupon, 4/15/01 Ba3 USD $125 119,844
------------
--------------------------------------------------------------------------------------------
-----------------
POLAND (0.0%)
Republic of Poland:
Bonds
3.50%, 10/27/24 Baa1 USD 110 70,125
4.00%, 10/27/24 Baa1 USD 30 20,475
------------
GROUP TOTAL 90,600
------------
--------------------------------------------------------------------------------------------
-----------------
TOTAL GOVERNMENT OBLIGATIONS
(Cost $209,434) 210,444
------------
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
TOTAL FOREIGN SECURITIES
(Cost $2,591,792) 2,345,544
------------
--------------------------------------------------------------------------------------------
-----------------
TIME DEPOSITS (1.8%)
(Cost $3,920,000) 3,920,000
------------
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
<CAPTION>
Value
-----------------------------------------------------------------------------
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------
TOTAL INVESTMENTS (96.3%)
(Cost $269,222,549) $212,402,887
------------
--------------------------------------------------------------------------------------------
-----------------
OTHER ASSETS IN EXCESS OF
LIABILITIES (3.7%)
8,078,619
------------
--------------------------------------------------------------------------------------------
-----------------
NET ASSETS (100%)
Applicable to 34,708,369 issued and outstanding
$.001 par value shares (authorized 100,000,000
shares) $220,481,506
============
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
N/R -- Not Rated
STRIPS -- Separate Trading of Registered Interest and Principal Securities.
(1) 144A Security. Certain conditions for public sale may exist.
(2) Defaulted security.
(3) Step Bond -- Coupon rate is low or zero for an initial period and then
increases to a higher coupon rate thereafter. Maturity date disclosed
is the ultimate maturity.
(4) Non-income producing security.
(5) Restricted as to private and public resale. Total cost of restricted
securities at September 30, 2000 aggregated $3,612,375. Total market
value of restricted securities owned at September 30, 2000 was $42,759
or 0.02% 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
September 30, 2000.
</TABLE>
19
<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.
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Any stock dividend or Shares resulting from stock splits with respect to Shares
of the Fund, both full and fractional, which participants hold in their Program
accounts and with respect to all Shares registered in their names will be
automatically credited to their accounts.
All Shares of the Fund (including any fractional share) credited to his
account under the Program will be voted as the participant directs. The
participants will be sent the proxy materials for the annual meetings of
shareholders. When a participant returns an executed proxy, all of such shares
will be voted as indicated. A participant may also elect to vote his Shares in
person at the Shareholders' meeting.
A participant will receive tax information annually for his personal records
and to help him prepare his U.S. federal income tax return. The automatic
reinvestment of dividends does not relieve him of any income tax which may be
payable on dividends. For further information as to tax consequences of
participation in the Program, participants should consult with their own tax
advisors.
The Program Administrator in administering the Program will not be liable
for any act done in good faith or for any good faith omission to act. However,
the Program Administrator will be liable for loss or damage due to error caused
by its negligence, bad faith or willful misconduct. Shares held in custody by
the Program Administrator are not subject to protection under the Securities
Investors Protection Act of 1970.
The participant should recognize that neither the Fund nor the Program
Administrator can provide any assurance of a profit or protection against loss
on any Shares purchased under the program. A participant's investment in Shares
held in his Program account is no different than his investment in directly held
Shares in this regard. The participant bears the risk of loss and the benefits
of gain from market price changes with respect to all his Shares. Neither the
Fund nor the Program Administrator can guarantee that Shares purchased under the
Program will, at any particular time, be worth more or less than their purchase
price. Each participant must make an independent investment decision based on
his own judgement and research.
While the Program Administrator hopes to continue the Program indefinitely,
the Program Administrator reserves the right to suspend or terminate the Program
at any time. It also reserves the right to make modifications to the Program.
Participants will be notified of any such suspension, termination or
modification in accordance with the terms and conditions of the Program. The
Program Administrator also reserves the right to terminate any participant's
participation in the Program at any time. Any question of interpretation arising
under the Program will be determined in good faith by the Program Administrator
and any such good faith determination will be final.
Any interested investor may participate in the Program. To participate in
the Program, an investor who is not already a registered owner of the Shares
must make an initial investment of at least $250.00. All other cash payments or
bank account deductions must be at least $100.00, up to a maximum of $100,000.00
annually. An interested investor may join the Program by reading the Program
description, completing and signing the enrollment form and returning it to the
Program Administrator. The enrollment form and information relating to the
Program (including terms and conditions) may be obtained by calling the Program
Administrator at one of the following telephone numbers: First Time Investors--
(888) 697-8026. Current Shareholders--(800) 730-6001. All correspondence
regarding the Program should be directed to: BankBoston, N.A., InvestLink
Program, P.O. Box 8040, Boston, MA 02266-8040.
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*InvestLink is a service mark of Boston EquiServe Limited Partnership
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4946-QR-00
