UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act File No. 811-05012 ------------------------------------------------ CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. ------------------------------------------------------------------------ (Exact Name of Registrant as Specified in Charter) 466 Lexington Avenue, New York, New York 10017-3140 ------------------------------------------------------------------------ (Address of Principal Executive Offices) (Zip Code) Hal Liebes, Esq. Credit Suisse Asset Management Income Fund, Inc. 466 Lexington Avenue New York, New York 10017-3147 ------------------------------------------------------------------------ (Name and address of agent for service) Registrant's telephone number, including area code: (212) 875-3500 ------------------ Date of fiscal year end: December 31, 2003 ---------------------------- Date of reporting period: January 1, 2003 to June 30, 2003 ----------------------------------------- ITEM 1. REPORTS TO STOCKHOLDERS. Credit Suisse Asset Management Income Fund, Inc. 466 Lexington Avenue New York, NY 10017 --------------------------------------------- OFFICERS AND DIRECTORS Joseph D. Gallagher Hal Liebes DIRECTOR, CHAIRMAN OF THE SENIOR VICE PRESIDENT BOARD AND CHIEF EXECUTIVE Michael A. Pignataro OFFICER CHIEF FINANCIAL OFFICER, Enrique R. Arzac VICE PRESIDENT AND SECRETARY DIRECTOR Maxine C. Evertz Lawrence J. Fox ASSISTANT SECRETARY DIRECTOR Robert M. Rizza James S. Pasman, Jr. VICE PRESIDENT AND TREASURER DIRECTOR Rocco A. Del Guercio William W. Priest, Jr. ASSISTANT TREASURER DIRECTOR Richard J. Lindquist PRESIDENT AND CHIEF INVESTMENT OFFICER Leland Crabbe INVESTMENT OFFICER -------------------------------------------------------- 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 Fleet National Bank (c/o EquiServe) P.O. Box 43010 Providence, Rhode Island 02940-3010 Phone 1-800-730-6001 -------------------------------------------------------- LEGAL COUNSEL Willkie Farr & Gallagher 787 7th Avenue New York, New York 10019 -------------------------------------------------------- INDEPENDENT AUDITORS PricewaterhouseCoopers LLP Two Commerce Square Philadelphia, Pennsylvania 19103 -------------------------------------------------------- --------------------------------------------------------------------------- Credit Suisse Asset Management Income Fund, Inc. --------------------------------------------------------------------------- SEMI-ANNUAL REPORT June 30, 2003 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. SEMI-ANNUAL REPORT - JUNE 30, 2003 ---------- Dear Shareholders: July 21, 2003 We are writing to report on Credit Suisse Asset Management Income Fund, Inc. ("the Fund") for the fiscal half-year ended June 30, 2003 and to discuss our investment strategy. At June 30, 2003, the Fund's net asset value ("NAV") was $4.27, compared to an NAV of $3.91 at December 31, 2002. The Fund's total return for the period (based on NAV and assuming reinvestment of dividends of $0.23 per share) was 14.8%. At June 30, 2003, $170.5 million of the Fund's assets was invested in high yield debt securities; $25.4 million in emerging-market debt securities; $5.3 million in investment-grade debt securities; $2.6 million in equity securities; and the balance of $1.9 million in cash equivalents. Of the debt securities, the largest concentration (67.2%) was invested in issues rated B through BBB. THE MARKET: ONWARD AND UPWARD The U.S. high yield and emerging debt markets enjoyed a buoyant first half of 2003, with each market perpetuating a rally that had started in 2002. Both significantly outperformed investment-grade securities in the process. As measured by the Citigroup High-Yield Market Index (CHYMI)*, the broad U.S. high yield market rose 19.8%. Aggregate emerging debt markets (in the form of J.P. Morgan's Emerging Markets Bond Index Global**) gained 17.3%. HIGH YIELD. Perhaps the biggest driver of high yield's gains was the historically low level of nominal short-term interest rates, which were at 1.25% in most of the period and were cut to 1.00% (the lowest such level since 1958) on June 25. Low rates--and the generalized sense that they were unlikely to rise--helped to push high yield prices higher in two ways, in our opinion. First, they provided a favorable backdrop for fixed income instruments as a whole. Second, they compelled yield-hungry investors to withdraw significant sums from low-yielding money market funds and place substantial funds into high yield mutual funds, which acted aggressively to put the cash to work. Perceptions about conflict with Iraq, which wreaked havoc on equity markets in the early part of 2003, did not seem to have much impact on high yield. Even as stocks experienced heavy volatility as war-related anxieties ebbed and flowed, for example, high yield's attractive yields made it seem a more compelling alternative. Expectations that the war's resolution would be favorable, moreover, prompted optimism that sluggish U.S. economic growth would rebound, which augured well for the creditworthiness of corporate bond issuers generally. A variety of other factors also provided encouragement to the high yield market. These notably included: - Valuations were still considered attractive compared to historical averages even after the market had rallied for several months. - Key measures of creditworthiness (I.E., declines in the high yield default rate and the ratio of high yield ratings upgrades to downgrades) indicated that credit quality continued to improve. - The bonds of "fallen angels" (I.E., investment-grade companies whose debt had been downgraded to high yield status), which had been savaged during much of 2002, enjoyed vigorous buying as investors appeared to conclude that their battered valuations had become unreasonably low. - During the second quarter, year-to-date new issuance surpassed the level issued in all of 2002. This underscored the market's receptiveness to efforts by high yield issuers to reinforce their balance sheets. EMERGING MARKETS. To a meaningful extent, strength in emerging market debt ("EMD") reflected influences similar to those that boosted high yield. These were attraction to higher-yielding instruments, as well as healthy inflows into mutual funds that gained momentum after EMD had enjoyed a sustained period of strong monthly returns. In our view, two other factors proved most beneficial for activity in the EMD universe. One was an increasingly prevalent feeling of confidence about the economic and political condition of Brazil, whose capitalization accounts for a large percentage of leading EMD market indices. The second, which helped frame the picture for market activity in much of May and June, was the U.S. Treasury market. Especially in June, perceptions about U.S. monetary policy were such that trading patterns in emerging debt appeared to mirror directional movement in U.S. Treasury bonds. PERFORMANCE: DAMPENED BY POSITIONING IN HIGH YIELD AND EMD The Fund generated a solidly positive return during the fiscal half-year. Results in its high yield portion were best in industries like cable television, wireless telecommunications and competitive local-exchange telecom providers, each of which handily outperformed broad indices like the CHYMI. What ended up working against us in high yield, though, was our decision to maintain below-market exposure to several sectors whose poor fundamentals had prompted harsh selling in most of 2002 (notably utilities, energy trading companies, diversified telecom and technology). Unfortunately for the Fund, momentum-fuelled buying kept pushing bond prices in these beaten-down sectors higher, a pattern that was exacerbated by the persistent strength of cash inflows into high yield funds. The dominant contributor to our EMD performance was our below-market weighting in Brazil, whose securities excelled in the half-year period. Our low degree of confidence in the Brazilian government's ability to overcome the nation's huge economic and financial difficulties was not widely shared. We fared better with our ongoing above-market weighting in Russia and willingness to invest opportunistically in the Turkish and Venezuelan markets. 2 OUTLOOK: STILL POSITIVE ON HIGH YIELD, CAUTIOUS ON EMD HIGH YIELD. Our outlook for the high yield market is still positive. We see the economic environment as reasonably supportive; we expect fund inflows to stay fairly strong; and we believe that the default rate will remain in a downward trend. Valuations still offer upside potential, moreover, as yield spreads for high yield versus comparable-maturity Treasury debt seem wide enough to us to offer further potential price appreciation (albeit less than previously, given the market's long rally.) Looking at the market from a sectoral perspective, we see mixed prospects for different industries. Our analysis leads us toward sectors and companies with a primarily domestic focus, and our sector allocations reflect our ongoing preference to not take an overly aggressive stance. The industries we like all have fairly stable growth characteristics that should help them hold up well in case the economy doesn't, which means their bond prices should be somewhat less volatile than the high yield market as a whole. Relative to broad market indices like the CHYMI, we are overweighting gaming (although we have modestly reduced the extent of our overweight in this sector), energy, food/ beverage/bottling, health care, wireless telecom and selected industrials. We are underweighting utilities, energy traders and diversified telecom providers, and avoiding airlines and financial names. EMERGING MARKETS. Our view on the near-term prospects for emerging debt markets remains one of caution. Valuations, in our opinion, exceed levels that we believe are reasonably reflective of underlying fundamentals. We therefore would not be surprised to see some degree of correction in EMD, particularly since prices and valuations have risen with little interruption since late last year. Compared to broad EMD indices, our largest country overweights are in Russia, Ukraine, Mexico and Venezuela. Our largest country underweights are in Brazil and Turkey. Regional allocations (I.E., to Eastern/Central Europe, Asia and Latin America) are now essentially index-neutral, due to a combination of our country-specific positioning and bigger-picture analysis. We appreciate your investment 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, 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/ Joseph D. Gallagher Joseph D. Gallagher DIRECTOR, CHAIRMAN OF THE BOARD AND CHIEF EXECUTIVE OFFICER **** HIGH YIELD BONDS ARE LOWER-QUALITY INSTRUMENTS ALSO KNOWN AS "JUNK" BONDS. SUCH BONDS ENTAIL GREATER RISKS THAN THOSE FOUND IN HIGHER-RATED SECURITIES. INTERNATIONAL INVESTING ENTAILS SPECIAL RISK CONSIDERATIONS, INCLUDING CURRENCY FLUCTUATIONS, LOWER LIQUIDITY, ECONOMIC AND POLITICAL RISKS, AND DIFFERENCES IN ACCOUNTING METHODS; THESE RISKS ARE GENERALLY HEIGHTENED FOR EMERGING-MARKET INVESTMENTS. THE FUND MAY INCLUDE A GREATER DEGREE OF RISK THAN OTHER FUNDS THAT INVEST IN LARGER, MORE-DEVELOPED MARKETS. IN ADDITION TO HISTORICAL INFORMATION, THIS REPORT CONTAINS FORWARD-LOOKING STATEMENTS, WHICH MAY CONCERN, AMONG OTHER THINGS, DOMESTIC AND FOREIGN MARKET, INDUSTRY AND ECONOMIC TRENDS AND DEVELOPMENTS AND GOVERNMENT REGULATION AND THEIR POTENTIAL IMPACT ON THE FUND'S INVESTMENT PORTFOLIO. THESE STATEMENTS ARE SUBJECT TO RISKS AND UNCERTAINTIES AND ACTUAL TRENDS, DEVELOPMENTS AND REGULATIONS IN THE FUTURE, AND THEIR IMPACT ON THE FUND COULD BE MATERIALLY DIFFERENT FROM THOSE PROJECTED, ANTICIPATED OR IMPLIED. THE FUND HAS NO OBLIGATION TO UPDATE OR REVISE FORWARD-LOOKING STATEMENTS. The information presented is for informational purposes only. This report is not a recommendation to buy or sell or a solicitation of an offer to buy or sell any securities or adopt any investment strategy. Readers are advised not to infer or assume that any securities, companies, sectors or markets described will be profitable. All opinions and views constitute judgments as of the date of writing, and are subject to change at any time without notice. *The Citigroup High-Yield Market Index is a broad-based, unmanaged index of high yield securities that is compiled by Citigroup Global Markets Inc. Its name was changed from the Salomon Smith Barney High-Yield Market Index effective April 7, 2003. Investors cannot invest directly in an index. **The J.P. Morgan Emerging Markets Bond Index Global is a comprehensive index of emerging market debt securities. Launched in August 1999, it tracks the total returns of U.S. dollar-denominated debt instruments for 27 emerging market countries. Investors cannot invest directly in an index. ***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 High Yield Bond Fund (NYSE: DHY). ****Joseph D. Gallagher, Managing Director, is Chief Executive Officer of CSAM Americas and the firm's global Chief Financial Officer. He has served as the Fund's Chief Executive Officer since March 1, 2003. Prior to assuming his current role at CSAM in 2003, he was the Firm's global CFO and Chief Executive Officer, Europe. Mr. Gallagher joined Credit Suisse Group in 1985 as an investment banker with Credit Suisse First Boston, where he worked for 14 years in New York, Singapore and Hong Kong in financial services and mergers and acquisitions. He is also Director and/or Chairman of other investment companies advised by CSAM. 3 TOP TEN HOLDINGS (UNAUDITED) (as a % of net assets as of 6/30/03) ----------------------------------------------------------------------------------- 1. Russian Federation Series REGS, Unsubordinated 8.25%, 3/31/10................................................... 1.4% 2. Nextel Communications, Inc. Sr. Discount Notes 9.95%, 2/15/08................................................... 1.3% 3. Westfed Holdings Sr. Debentures 15.50%, 9/15/99............. 1.3% 4. Russian Federation Series REGS, Unsubordinated 5.00%, 3/31/30................................................... 1.1% 5. Pemex Project Funding Master Trust Series REGS, Gtd. 7.75%, 8/2/07.................................................... 1.1% 6. Federal Republic of Brazil Series 30yr, Collateralized 2.125%, 4/15/24........................................... 1.1% 7. Hard Rock Hotel, Inc. Notes 8.875%, 6/1/13.................. 1.0% 8. Ukraine Government Sr. Notes 11.00%, 3/15/07................ 0.8% 9. Ainsworth Lumber Co. Ltd. Yankee Sr. Secured Notes 12.50%, 7/15/07................................................... 0.7% 10. United Mexican States Bonds 8.25%, 2/24/09.................. 0.6% CREDIT QUALITY BREAKDOWN (UNAUDITED) (as a % of total investments as of 6/30/03) ------------------------------------------------------------------------------ A/A......................................................... 0.6% BBB/Baa..................................................... 3.8 BB/Ba....................................................... 17.9 B/B......................................................... 45.5 CCC/Caa..................................................... 19.9 CC/Ca....................................................... 3.0 C/C......................................................... 0.3 NR.......................................................... 6.8 ---------------- Subtotal.................................................. 97.8 Time Deposit................................................ 0.9 Equities and Other.......................................... 1.3 ---------------- Total..................................................... 100.0% ================ 4 SCHEDULE OF INVESTMENTS (UNAUDITED) --------- JUNE 30, 2003 Face Moody's Amount Value Ratings (000) (Note 1-A) --------------------------------------------------------------------------------------- DOMESTIC SECURITIES (83.8%) --------------------------------------------------------------------------------------- ----------------- CORPORATE OBLIGATIONS (82.6%) --------------------------------------------------------------------------------------- ----------------- AEROSPACE (0.2%) (1) Condor Systems, Inc. Series B, Gtd. 11.875%, 5/1/09 N/R $ 900 $ 243,000 Sequa Corp. Sr. Notes 9.00%, 8/1/09 B1 250 266,250 ------------ GROUP TOTAL 509,250 ------------ --------------------------------------------------------------------------------------- ----------------- AIRLINES (0.3%) American Airlines, Inc. Series 01-2, Pass thru Certs 7.80%, 10/1/06 B1 550 380,682 Continental Airlines, Inc. Series 991C, Pass thru Certs 6.954%, 8/2/09 B2 208 155,785 ------------ GROUP TOTAL 536,467 ------------ --------------------------------------------------------------------------------------- ----------------- AUTOMOBILE MANUFACTURING/VEHICLE PARTS (1.9%) (1)(2) Aetna Industries, Inc. Sr. Notes 11.875%, 10/1/06 N/R 1 34 Cambridge Industries, Inc. Sr. Sub. Notes 10.25%, 7/15/07 N/R 775 3,873 Collins & Aikman Products Corp. Gtd. 11.50%, 4/15/06 B2 1,250 987,500 Delco Remy International, Inc. Gtd. 10.625%, 8/1/06 B3 950 726,750 Holley Performance Products, Inc. Series B, Gtd. 12.25%, 9/15/07 Caa3 750 219,375 Metaldyne Corp. Gtd. 11.00%, 6/15/12 Caa1 800 668,000 Motor Coach Industries International, Inc. Gtd. 11.25%, 5/1/09 Caa1 1,121 565,852 Stanadyne Automotive Series B, Gtd. 10.25%, 12/15/07 Caa1 700 570,500 (3) Tenneco Automotive, Inc. Secured 10.25%, 7/15/13 B2 250 254,375 ------------ GROUP TOTAL 3,996,259 ------------ --------------------------------------------------------------------------------------- Face Moody's Amount Value Ratings (000) (Note 1-A) --------------------------------------------------------------------------------------- BANKING (0.3%) Sovereign Bancorp, Inc. Sr. Notes 10.50%, 11/15/06 Ba1 $ 500 $ 601,199 ------------ --------------------------------------------------------------------------------------- ----------------- BROADBAND (0.7%) COLT Telecom Group plc Yankee Units 12.00%, 12/15/06 B3 400 400,000 Level 3 Communications, Inc.: (4) Sr. Discount Notes 0.00%, 12/1/08 Caa3 650 563,875 Sr. Notes 9.125%, 5/1/08 Caa3 501 450,900 ------------ GROUP TOTAL 1,414,775 ------------ --------------------------------------------------------------------------------------- ----------------- BROADCAST/OUTDOOR (1.4%) Alliance Atlantis Communications, Inc. Yankee Sr. Sub. Notes 13.00%, 12/15/09 B1 500 572,500 Corus Entertainment, Inc. Global Sr. Sub. Notes 8.75%, 3/1/12 B1 150 162,000 Interep National Radio Sales, Inc. Series B, Gtd. 10.00%, 7/1/08 Caa2 250 213,750 (4) Paxson Communications Corp. Gtd. 0.00%, 1/15/09 Caa1 600 504,000 Sinclair Broadcast Group, Inc. Gtd. 8.75%, 12/15/11 B2 500 551,250 Susquehanna Media Co. Sr. Sub. Notes 8.50%, 5/15/09 B1 150 159,000 Young Broadcasting, Inc. Series B, Gtd. 8.75%, 6/15/07 Caa1 894 911,880 ------------ GROUP TOTAL 3,074,380 ------------ --------------------------------------------------------------------------------------- ----------------- BUILDING PRODUCTS (1.4%) Atrium Companies, Inc. Series B, Gtd. 10.50%, 5/1/09 B3 500 537,500 Building Materials Corp. Series B, Sr. Notes 8.625%, 12/15/06 B2 900 882,000 Dayton Superior Corp.: Gtd. 13.00%, 6/15/09 Caa2 1,140 974,700 (3) Secured 10.75%, 9/15/08 B3 250 248,750 The accompanying notes are an integral part of the financial statements. 5 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) --------- JUNE 30, 2003 Face Moody's Amount Value Ratings (000) (Note 1-A) --------------------------------------------------------------------------------------- (3) Texas Industries, Inc. Sr. Notes 10.25%, 6/15/11 B1 $ 250 $ 262,500 ------------ GROUP TOTAL 2,905,450 ------------ --------------------------------------------------------------------------------------- ----------------- CABLE (7.5%) (1) Adelphia Communications Corp. Series B, Sr. Notes 8.375%, 2/1/08 N/R 800 500,000 (1) Australis Holdings Pty. Ltd. Yankee Sr. Discount Notes 15.00%, 11/1/02 N/R 4,600 414,000 (1) Australis Media Ltd. Yankee Sr. Discount Notes 15.75%, 5/15/03 N/R 229 23 CSC Holdings, Inc.: Series B, Sr. Notes 7.625%, 4/1/11 B1 200 203,000 Series B, Sr. Sub. Debentures 8.125%, 8/15/09 B1 150 156,000 Sr. Sub. Debentures 9.875%, 2/15/13 B2 1,100 1,155,000 Century Communications Corp.: (4) Series B, Sr. Discount Notes 0.00%, 1/15/08 N/R 500 202,500 (4) Sr. Discount Notes 0.00%, 3/15/03 N/R 500 297,500 Sr. Notes 8.75%, 10/1/07 N/R 450 292,500 Charter Communications Holdings LLC: (4) Sr. Discount Notes 0.00%, 4/1/11 Ca 1,200 795,000 Sr. Notes 8.625%, 4/1/09 Ca 750 543,750 10.25%, 1/15/10 Ca 1,050 798,000 Coaxial Communications, Inc. Gtd. 10.00%, 8/15/06 B3 1,250 1,295,312 (4) Coaxial LLC/Coaxial Finance Gtd. 0.00%, 8/15/08 Caa1 377 375,115 Comcast UK Cable Partners Ltd. Yankee Debentures 11.20%, 11/15/07 Caa2 500 490,625 (1) DIVA Systems Corp. Series B, Sr. Discount Notes 12.625%, 3/1/08 N/R 3,895 238,569 (3) DirecTV Holdings/Finance Sr. Notes 8.375%, 3/15/13 B1 150 168,000 (1) Frontiervision LP/Capital Series B, Sr. Discount Notes 11.875%, 9/15/07 N/R 500 402,500 Face Moody's Amount Value Ratings (000) (Note 1-A) --------------------------------------------------------------------------------------- Insight Midwest/Insight Capital: Sr. Notes 9.75%, 10/1/09 B2 $ 900 $ 956,250 10.50%, 11/1/10 B1 500 551,250 (1) James Cable Partners L.P. Series B, Sr. Notes 10.75%, 8/15/04 Ca 1,800 927,000 Jones Intercable, Inc. Sr. Notes 7.625%, 4/15/08 Baa3 750 872,729 Mediacom LLC/Capital Corp.: Series B, Sr. Notes 8.50%, 4/15/08 B2 371 376,565 Sr. Notes 7.875%, 2/15/11 B2 850 850,000 Northland Cable Television, Inc. Gtd. 10.25%, 11/15/07 Caa1 800 782,000 (1) Olympus Communications, L.P./ Olympus Capital Corp. Series B, Sr. Notes 10.625%, 11/15/06 N/R 1,150 1,098,250 Renaissance Media Group LLC Gtd. 10.00%, 4/15/08 Caa1 953 945,852 Rogers Cablesystems, Inc. Series B, Yankee Sr. Notes 10.00%, 3/15/05 Ba2 250 272,500 ------------ GROUP TOTAL 15,959,790 ------------ --------------------------------------------------------------------------------------- ----------------- CAPITAL GOODS (1.3%) Amtrol, Inc. Sr. Sub. Notes 10.625%, 12/31/06 Caa3 600 339,750 Jordan Industries, Inc. Series B, Sr. Notes 10.375%, 8/1/07 Caa3 1,422 632,790 Motors & Gears, Inc. Series D, Sr. Notes 10.75%, 11/15/06 Caa1 1,150 1,012,000 Park-Ohio Industries, Inc. Sr. Sub. Notes 9.25%, 12/1/07 Caa1 500 427,500 SPX Corp. Sr. Notes 6.25%, 6/15/11 Ba3 350 358,750 ------------ GROUP TOTAL 2,770,790 ------------ --------------------------------------------------------------------------------------- ----------------- CHEMICALS (3.2%) Acetex Corp. Global Sr. Notes 10.875%, 8/1/09 B2 500 558,125 Applied Extrusion Technologies, Inc. Series B, Gtd. 10.75%, 7/1/11 Caa1 300 222,000 The accompanying notes are an integral part of the financial statements. 6 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) --------- JUNE 30, 2003 Face Moody's Amount Value Ratings (000) (Note 1-A) --------------------------------------------------------------------------------------- Avecia Group plc Global Gtd. 11.00%, 7/1/09 Caa1 $ 700 $ 637,000 (3) Equistar Chemical L.P./ Equistar Funding Corp. Sr. Notes 10.625%, 5/1/11 B1 500 515,000 Ferro Corp. Sr. Notes 9.125%, 1/1/09 Baa3 250 293,997 (3)(4) HMP Equity Holdings Corp. Units 0.00%, 5/15/08 N/R 250 127,500 (4) Huntsman International Holdings LLC Sr. Discount Notes 0.00%, 12/31/09 Caa2 250 98,750 ISP Chemco, Inc. Series B, Gtd. 10.25%, 7/1/11 B2 250 283,750 Lyondell Chemical Co.: (3) Secured 10.50%, 6/1/13 Ba3 1,000 1,005,000 Series B, Secured Notes 9.875%, 5/1/07 Ba3 750 738,750 Millennium America, Inc. Gtd. 9.25%, 6/15/08 Ba1 500 540,000 Mississippi Chemical Corp. Bonds 7.25%, 11/15/17 C 500 42,500 (3) Radnor Holdings Corp. Sr. Notes 11.00%, 3/15/10 B2 250 258,125 Resolution Performance Products LLC Sr. Sub. Notes 13.50%, 11/15/10 Caa1 500 502,500 (3) Terra Capital, Inc. Secured 11.50%, 6/1/10 Caa1 550 508,750 (3) United Industries Corp. Sr. Sub. Notes 9.875%, 4/1/09 B3 400 424,000 ------------ GROUP TOTAL 6,755,747 ------------ --------------------------------------------------------------------------------------- COMPETITIVE LOCAL EXCHANGE CARRIER (1.3%) (3) Millicom International Cellular Sr. Notes 11.00%, 6/1/06 N/R 180 179,100 Madison River Capital/ Madison River Finance Sr. Notes 13.25%, 3/1/10 Caa2 871 857,442 Qwest Corp. Notes 6.625%, 9/15/05 Ba3 500 511,250 RCN Corp.: Series B, Sr. Discount Notes 9.80%, 2/15/08 Ca 736 283,360 Face Moody's Amount Value Ratings (000) (Note 1-A) --------------------------------------------------------------------------------------- Sr. Notes 10.00%, 10/15/07 Ca 400 162,000 Time Warner Telecom, LLC Sr. Notes 9.75%, 7/15/08 B3 $ 850 $ 824,500 ------------ GROUP TOTAL 2,817,652 ------------ --------------------------------------------------------------------------------------- ----------------- CONSUMER PRODUCTS/TOBACCO (3.4%) Buhrmann U.S., Inc. Gtd. 12.25%, 11/1/09 B3 500 540,000 (3) DIMON, Inc. Sr. Notes 7.75%, 6/1/13 Ba3 500 516,250 (1) Diamond Brands Operating Corp. Gtd. 10.125%, 4/15/08 N/R 2,000 100,000 General Binding Corp. Gtd. Sr. Sub. Notes 9.375%, 6/1/08 Caa1 700 675,500 Hockey Co./Sport Maska, Inc. Global Units 11.25%, 4/15/09 B2 300 331,500 Holmes Products, Inc. Series B, Gtd. Sr. Sub. Notes 9.875%, 11/15/07 Caa2 1,000 897,500 PCA LLC/PCA Finance Corp. Sr. Notes 11.875%, 8/1/09 B3 650 711,750 Packaged Ice, Inc. Series B, Gtd. Sr. Sub. Notes 9.75%, 2/1/05 N/R 500 507,500 Revlon Consumer Products Corp. Gtd. 12.00%, 12/1/05 Caa1 675 659,812 Samsonite Corp. Sr. Sub. Notes 10.75%, 6/15/08 Caa2 400 411,000 Scotts Co. Gtd. 8.625%, 1/15/09 Ba3 600 645,000 Sealy Mattress Co. Series B, Sr. Sub. Notes 9.875%, 12/15/07 B3 500 500,000 Werner Holdings Co., Inc. Series A, Gtd. 10.00%, 11/15/07 B2 750 768,750 ------------ GROUP TOTAL 7,264,562 ------------ --------------------------------------------------------------------------------------- ----------------- CONTAINERS (2.0%) AEP Industries, Inc. Sr. Sub. Notes 9.875%, 11/15/07 B3 650 601,250 Berry Plastics Corp. Gtd. 10.75%, 7/15/12 B3 600 663,000 The accompanying notes are an integral part of the financial statements. 7 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) --------- JUNE 30, 2003 Face Moody's Amount Value Ratings (000) (Note 1-A) --------------------------------------------------------------------------------------- Crown Cork & Seal Finance Plc Yankee Gtd. 7.00%, 12/15/06 B3 $ 300 $ 288,000 (3) Crown Euro Holdings SA Secured 9.50%, 3/1/11 B1 895 971,075 Pliant Corp. Gtd. 13.00%, 6/1/10 Caa1 900 850,500 Owens-Illinois, Inc. Sr. Notes 8.10%, 5/15/07 B3 950 978,500 ------------ GROUP TOTAL 4,352,325 ------------ --------------------------------------------------------------------------------------- ----------------- DIVERSIFIED TELECOMMUNICATIONS (0.5%) Avaya, Inc. Secured 11.125%, 4/1/09 B2 250 275,000 Primus Telecommunications Group, Inc.: Series B, Sr. Notes 9.875%, 5/15/08 Caa3 500 447,500 Sr. Notes 11.25%, 1/15/09 Caa3 250 232,500 ------------ GROUP TOTAL 955,000 ------------ --------------------------------------------------------------------------------------- ----------------- ELECTRIC UTILITIES (0.2%) Sierra Pacific Resources Notes 8.75%, 5/15/05 B2 500 521,250 ------------ --------------------------------------------------------------------------------------- ----------------- ENERGY/OTHER (2.2%) Chesapeake Energy Corp. Gtd. 8.125%, 4/1/11 Ba3 1,000 1,082,500 Clark R&M, Inc. Sr. Notes 8.625%, 8/15/08 Ba3 350 358,750 Frontier Oil Corp.: Series A, Sr. Notes 9.125%, 2/15/06 B2 200 206,500 Sr. Notes 11.75%, 11/15/09 B2 1,050 1,160,250 Giant Industries, Inc. Gtd. 11.00%, 5/15/12 B3 100 97,000 Gulfterra Energy Partner Gtd. 10.625%, 12/1/12 B1 150 174,000 Trico Marine Services, Inc. Gtd. 8.875%, 5/15/12 B2 500 432,500 Williams Cos., Inc.: Notes 9.25%, 3/15/04 B3 400 412,000 6.50%, 8/1/06 B3 750 735,000 ------------ GROUP TOTAL 4,658,500 ------------ --------------------------------------------------------------------------------------- Face Moody's Amount Value Ratings (000) (Note 1-A) --------------------------------------------------------------------------------------- ENVIRONMENTAL SERVICES (0.2%) Allied Waste North America, Inc. Series B, Gtd. 7.875%, 1/1/09 Ba3 $ 490 $ 515,112 ------------ --------------------------------------------------------------------------------------- ----------------- FINANCE (1.3%) Westfed Holdings: (1) Sr. Debentures 15.50%, 9/15/99 N/R 2,000 2,700,000 (2) Loan Obligation 25.00%, 8/22/09 N/R 80 80,000 ------------ GROUP TOTAL 2,780,000 ------------ --------------------------------------------------------------------------------------- ----------------- FOOD PROCESSORS/BEVERAGE/BOTTLING (2.2%) Agrilink Foods, Inc. Gtd. 11.875%, 11/1/08 B3 500 541,250 Archibald Candy Corp. Gtd. 10.00%, 11/1/07 N/R 434 130,073 Aurora Foods, Inc. Series B, Sr. Sub. Notes 9.875%, 2/15/07 Ca 1,250 450,000 B&G Foods, Inc. Series D, Gtd. 9.625%, 8/1/07 B3 800 828,000 Eagle Family Foods Series B, Gtd. Sr. Notes 8.75%, 1/15/08 Caa2 471 322,292 Fleming Companies, Inc.: Gtd. (1) 9.25%, 6/15/10 Caa3 640 99,200 9.875%, 5/1/12 C 900 5,625 Land O'Lakes, Inc. Sr. Notes 8.75%, 11/15/11 B2 800 644,000 National Wine & Spirits, Inc. Gtd. 10.125%, 1/15/09 B2 220 196,900 Premier International Foods Plc Yankee Sr. Notes 12.00%, 9/1/09 B3 1,100 1,237,500 Roundy's, Inc. Series B, Gtd. 8.875%, 6/15/12 B2 200 210,000 ------------ GROUP TOTAL 4,664,840 ------------ --------------------------------------------------------------------------------------- ----------------- GAMING (8.6%) Ameristar Casinos, Inc. Gtd. 10.75%, 2/15/09 B3 1,050 1,195,687 Argosy Gaming Co.: Gtd. 10.75%, 6/1/09 B2 250 275,000 Sr. Sub. Notes 9.00%, 9/1/11 B2 500 542,500 The accompanying notes are an integral part of the financial statements. 8 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) --------- JUNE 30, 2003 Face Moody's Amount Value Ratings (000) (Note 1-A) --------------------------------------------------------------------------------------- Aztar Corp. Sr. Sub. Notes 8.875%, 5/15/07 Ba3 $ 750 $ 786,562 Boyd Gaming Corp. Gtd. 9.25%, 8/1/09 Ba3 600 669,000 (3) Chukchansi Economic Development Authority Sr. Notes 14.50%, 6/15/09 N/R 900 996,750 Circus & Eldorad/Silver Legacy Capital Corp. First Mortgage Notes 10.125%, 3/1/12 B1 500 493,750 Coast Hotels & Casinos, Inc. Gtd. 9.50%, 4/1/09 B2 700 752,500 (3) Hard Rock Hotel, Inc. Notes 8.875%, 6/1/13 B3 2,000 2,100,000 Horseshoe Gaming Holdings Corp. Series B, Gtd. 8.625%, 5/15/09 B2 1,000 1,065,000 Isle of Capri Casinos, Inc. Gtd. 8.75%, 4/15/09 B2 650 695,500 MGM Mirage, Inc. Gtd. 9.75%, 6/1/07 Ba2 200 228,000 Majestic Investor Holdings/ Majestic Investor Capital Corp. Gtd. 11.653%, 11/30/07 B2 1,047 1,056,161 Majestic Star Casino, LLC/ Majestic Star Casino Cap Series B, Gtd. 10.875%, 7/1/06 B2 500 525,625 Mikohn Gaming Corp. Series B, Gtd. 11.875%, 8/15/08 B3 900 893,250 Mohegan Tribal Gaming Authority Sr. Notes 8.125%, 1/1/06 Ba2 950 1,035,500 (3) Old Evangeline Downs LLC Gtd. 13.00%, 3/1/10 N/R 500 512,500 Park Place Entertainment Corp.: Sr. Sub. Notes 7.875%, 12/15/05 Ba2 250 267,187 9.375%, 2/15/07 Ba2 500 555,000 Penn National Gaming, Inc. Series B, Gtd. 11.125%, 3/1/08 B3 850 945,625 Riviera Holdings Corp. Gtd. 11.00%, 6/15/10 B2 700 672,000 Six Flags, Inc. Sr. Notes 9.75%, 6/15/07 B2 150 149,250 Face Moody's Amount Value Ratings (000) (Note 1-A) --------------------------------------------------------------------------------------- Venetian Casino Resort LLC Gtd. 11.00%, 6/15/10 B3 $ 180 $ 203,850 (3) Waterford Gaming LLC Sr. Notes 8.625%, 9/15/12 B1 250 263,750 (1) Windsor Woodmont Black Hawk Series B, First Mortgage Notes 13.00%, 3/15/05 N/R 1,450 951,563 Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. Second Mortgage 12.00%, 11/1/10 B3 450 499,500 ------------ GROUP TOTAL 18,331,010 ------------ --------------------------------------------------------------------------------------- ----------------- GAS PIPELINES (0.8%) El Paso CGP Co.: Notes 6.375%, 2/1/09 Caa1 250 220,000 7.75%, 6/15/10 Caa1 250 234,375 El Paso Corp. Sr. Notes 7.00%, 5/15/11 Caa1 500 457,500 (3) El Paso Production Holding Co. Gtd. 7.75%, 6/1/13 B2 700 701,750 ------------ GROUP TOTAL 1,613,625 ------------ --------------------------------------------------------------------------------------- ----------------- HEALTHCARE FACILITIES/SUPPLIES (1.7%) Alaris Medical Systems, Inc. Gtd. 9.75%, 12/1/06 Caa1 550 572,000 Beverly Enterprises, Inc. Sr. Notes 9.625%, 4/15/09 B1 485 468,025 Extendicare Health Services, Inc. Gtd. 9.35%, 12/15/07 B3 710 679,825 Fisher Scientific International, Inc. Sr. Sub. Notes 8.125%, 5/1/12 B2 300 322,500 Healthsouth Corp. Notes 7.625%, 6/1/12 Caa2 400 312,000 (3) IASIS Healthcare Corp. Sr. Sub. Notes 8.50%, 10/15/09 B3 250 253,750 (1) Magellan Health Services, Inc. Sr. Sub. Notes 9.00%, 2/15/08 C 600 261,000 Medquest, Inc. Series B, Gtd. 11.875%, 8/15/12 B3 600 627,000 The accompanying notes are an integral part of the financial statements. 9 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) --------- JUNE 30, 2003 Face Moody's Amount Value Ratings (000) (Note 1-A) --------------------------------------------------------------------------------------- Triad Hospitals Holdings Series B, Gtd. 11.00%, 5/15/09 B2 $ 200 $ 221,500 ------------ GROUP TOTAL 3,717,600 ------------ --------------------------------------------------------------------------------------- ----------------- HOME BUILDERS (0.8%) Tech Olympic USA, Inc. Gtd. 9.00%, 7/1/10 Ba3 500 542,500 Toll Corp. Sr. Sub. Notes 8.25%, 12/1/11 Ba2 350 393,750 WCI Communities, Inc. Gtd. 10.625%, 2/15/11 Ba3 650 721,500 ------------ GROUP TOTAL 1,657,750 ------------ --------------------------------------------------------------------------------------- ----------------- INDUSTRIAL/OTHER (1.0%) Day International Group, Inc. Series B, Sr. Notes 11.125%, 6/1/05 B2 400 406,000 GSI Group, Inc. Gtd. 10.25%, 11/1/07 Caa1 518 380,363 International Utility Structures, Inc.: Sub. Notes 13.00%, 2/1/08 N/R 924 46,200 Yankee Sr. Sub. Notes 10.75%, 2/1/08 N/R 800 466,000 Wolverine Tube, Inc. Gtd. 10.50%, 4/1/09 B1 800 864,000 ------------ GROUP TOTAL 2,162,563 ------------ --------------------------------------------------------------------------------------- ----------------- LEISURE (3.0%) AMC Entertainment, Inc.: Sr. Sub. Notes 9.50%, 3/15/09 Caa2 250 256,875 9.875%, 2/1/12 Caa2 800 864,000 Scientific Games Corp. Series B, Gtd. 12.50%, 8/15/10 B2 691 798,105 Bluegreen Corp. Series B, Gtd. 10.50%, 4/1/08 B3 1,000 1,010,000 Booth Creek Ski Holdings, Inc. Series B, Gtd. 12.50%, 3/15/07 Caa1 1,147 1,144,133 (3) Cinemark USA, Inc. Sr. Sub. Notes 9.00%, 2/1/13 B3 250 272,500 Imax Corp. Yankee Sr. Notes 7.875%, 12/1/05 Caa2 750 746,250 Intrawest Corp.: Gtd. 10.50%, 2/1/10 B1 250 270,000 Yankee Sr. Notes 9.75%, 8/15/08 B1 650 681,688 Face Moody's Amount Value Ratings (000) (Note 1-A) --------------------------------------------------------------------------------------- (3) Six Flags, Inc. Sr. Notes 9.75%, 4/15/13 B2 $ 300 $ 298,500 ------------ GROUP TOTAL 6,342,051 ------------ --------------------------------------------------------------------------------------- ----------------- LODGING (1.0%) CapStar Hotel Co. Sr. Sub. Notes 8.75%, 8/15/07 Caa1 250 227,500 Felcor Lodging LP Gtd. 8.50%, 6/1/11 B1 425 430,313 HMH Properties, Inc. Series B, Gtd. 7.875%, 8/1/08 Ba3 500 510,000 Host Marriot LP Series I, Gtd. 9.50%, 1/15/07 Ba3 600 648,000 John Q. Hammons Hotel LP Series B, First Mortgage Notes 8.875%, 5/15/12 B2 300 316,500 ------------ GROUP TOTAL 2,132,313 ------------ --------------------------------------------------------------------------------------- ----------------- METALS & MINING (1.0%) AK Steel Corp. Gtd. 7.875%, 2/15/09 B1 250 213,750 Earle M. Jorgensen Co. Secured 9.75%, 6/1/12 B2 500 532,500 (3) Gerdau Ameristeel Corp. Sr. Notes 10.375%, 7/15/11 B2 250 245,625 Metallurg, Inc. Series B, Gtd. 11.00%, 12/1/07 Caa2 1,171 637,923 Oregon Steel Mills, Inc. Gtd. 10.00%, 7/15/09 B1 305 276,025 (1)(3) Ormet Corp. Gtd. 11.00%, 8/15/08 N/R 750 258,750 ------------ GROUP TOTAL 2,164,573 ------------ --------------------------------------------------------------------------------------- ----------------- OIL EQUIPMENT (1.0%) Key Energy Services, Inc. Series B, Gtd. Sr. Sub. Notes 14.00%, 1/15/09 Ba3 1,024 1,152,000 Parker Drilling Co. Series B, Gtd. 10.125%, 11/15/09 B1 900 976,500 ------------ GROUP TOTAL 2,128,500 ------------ --------------------------------------------------------------------------------------- ----------------- PAPER & FOREST PRODUCTS (4.2%) Ainsworth Lumber Co. Ltd. Yankee Sr. Secured Notes 12.50%, 7/15/07 B3 1,250 1,418,750 The accompanying notes are an integral part of the financial statements. 10 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) --------- JUNE 30, 2003 Face Moody's Amount Value Ratings (000) (Note 1-A) --------------------------------------------------------------------------------------- Appleton Papers, Inc. Series B, Gtd. 12.50%, 12/15/08 B3 $ 700 $ 787,500 Caraustar Industries, Inc. Gtd. 9.875%, 4/1/11 Ba2 500 535,000 (1) Doman Industries Ltd. Yankee Gtd. 12.00%, 7/1/04 Caa2 300 309,000 Fonda Group, Inc. Series B, Sr. Sub. Notes 9.50%, 3/1/07 Caa2 1,000 565,000 Four M Corp. Series B, Sr. Notes 12.00%, 6/1/06 B3 900 909,000 (3) Georgia-Pacific Corp. Sr. Notes 9.375%, 2/1/13 Ba2 1,000 1,107,500 JSG Funding plc Global Sr. Notes 9.625%, 10/1/12 B2 500 555,000 Riverwood International Corp. Gtd. 10.875%, 4/1/08 Caa1 1,050 1,081,500 Stone Container Corp. Sr. Notes 8.375%, 7/1/12 B2 600 646,500 (3) Stone Container Finance Co. Yankee Gtd. Sr. Notes 11.50%, 8/15/06 B2 780 836,550 Tembec Industries, Inc. Yankee Gtd. 8.625%, 6/30/09 Ba1 250 248,125 ------------ GROUP TOTAL 8,999,425 ------------ --------------------------------------------------------------------------------------- ----------------- PUBLISHING (1.3%) (3) Hollinger, Inc. Secured 11.875%, 3/1/11 B3 500 557,500 Dex Media East LLC Gtd. 12.125%, 11/15/12 B3 350 415,625 (3) Houghton Mifflin Co. Sr. Notes 8.25%, 2/1/11 B2 300 318,000 Liberty Group Publishing, Inc. Debentures 11.625%, 2/1/09 Caa2 900 847,125 (3) PRIMEDIA, Inc. Sr. Notes 8.00%, 5/15/13 B3 500 515,000 (1) Premier Graphics, Inc. Gtd. 11.50%, 12/1/05 N/R 2,000 0 ------------ GROUP TOTAL 2,653,250 ------------ --------------------------------------------------------------------------------------- ----------------- RESTAURANTS (1.9%) American Restaurant Group, Inc. Series D, Gtd. 11.50%, 11/1/06 Caa2 1,243 863,885 Face Moody's Amount Value Ratings (000) (Note 1-A) --------------------------------------------------------------------------------------- Buffets, Inc. Sr. Sub. Notes 11.25%, 7/15/10 B3 $ 500 $ 497,500 CKE Restaurants, Inc. Gtd. 9.125%, 5/1/09 Caa1 350 341,250 Carrols Corp. Gtd. 9.50%, 12/1/08 B3 150 146,625 Denny's Corp. Sr. Notes 11.25%, 1/15/08 Caa2 500 387,500 Friendly Ice Cream Corp. Gtd. 10.50%, 12/1/07 B3 950 976,125 Morton's Restaurant Group, Inc. Secured 7.50%, 7/1/10 B2 250 215,000 Romacorp, Inc. Gtd. 12.00%, 7/1/06 Caa1 1,000 580,000 Sbarro, Inc. Gtd. 11.00%, 9/15/09 B3 125 107,500 ------------ GROUP TOTAL 4,115,385 ------------ --------------------------------------------------------------------------------------- RETAIL STORES (2.2%) Finlay Fine Jewelry Corp. Gtd. Sr. Notes 8.375%, 5/1/08 B1 600 624,000 (1) Flooring America, Inc. Series B, Gtd. 9.25%, 10/15/07 N/R 703 70 Jostens, Inc. Sr. Sub. Notes 12.75%, 5/1/10 B3 900 1,066,500 Michaels Stores, Inc. Sr. Notes 9.25%, 7/1/09 Ba1 500 562,500 NBTY, Inc. Series B, Sr. Sub. Notes 8.625%, 9/15/07 B1 400 414,000 PEP Boys-Manny Moe & Jack Notes 7.00%, 6/1/05 B2 800 798,000 PETCO Animal Supplies, Inc. Sr. Sub. Notes 10.75%, 11/1/11 B2 400 458,000 (3) Rent-Way, Inc. Secured 11.875%, 6/15/10 B3 500 517,500 United Auto Group, Inc. Gtd. 9.625%, 3/15/12 B3 250 268,750 ------------ GROUP TOTAL 4,709,320 ------------ --------------------------------------------------------------------------------------- The accompanying notes are an integral part of the financial statements. 11 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) --------- JUNE 30, 2003 Face Moody's Amount Value Ratings (000) (Note 1-A) --------------------------------------------------------------------------------------- RETAIL - FOOD & DRUG (1.3%) (1) Dairy Mart Convenience Stores, Inc. Sr. Sub. Notes 10.25%, 3/15/04 N/R $ 826 $ 152,810 Herbalife International, Inc. Gtd. 11.75%, 7/15/10 B3 500 568,750 Pantry, Inc. Gtd. Sr. Sub. Notes 10.25%, 10/15/07 B3 750 776,250 Stater Brothers Holdings, Inc. Sr. Notes 10.75%, 8/15/06 B2 750 793,125 (3) Swift & Co.: Sr. Notes 10.125%, 10/1/09 B1 250 261,250 Sr. Sub. Notes 12.50%, 1/1/10 B2 300 310,500 ------------ GROUP TOTAL 2,862,685 ------------ --------------------------------------------------------------------------------------- ----------------- SATELLITE (2.3%) EchoStar DBS Corp. Sr. Notes 9.125%, 1/15/09 Ba3 300 336,750 9.375%, 2/1/09 Ba3 800 857,000 Loral Cyberstar, Inc. Gtd. 10.00%, 7/15/06 Caa1 637 315,315 PanAmSat Corp. Gtd. 8.50%, 2/1/12 Ba3 500 543,750 Pegasus Communications Corp. Series B, Sr. Notes 12.50%, 8/1/07 Ca 1,000 925,000 Pegasus Media & Communications, Inc. Series B, Sr. Sub. Notes 12.50%, 7/1/05 Caa3 600 601,500 (4) Pegasus Satellite Communications, Inc. Sr. Discount Notes 0.00%, 3/1/07 C 250 210,000 Plains E&P Co. Series B, Gtd. 8.75%, 7/1/12 B2 300 322,500 Star Choice Communications, Inc. Yankee Sr. Notes 13.00%, 12/15/05 B3 700 750,750 ------------ GROUP TOTAL 4,862,565 ------------ --------------------------------------------------------------------------------------- ----------------- SECONDARY OIL & GAS PRODUCERS (4.3%) Continental Resources, Inc. Gtd. Sr. Sub. Notes 10.25%, 8/1/08 Caa1 925 934,250 Forest Oil Corp. Sr. Notes 8.00%, 6/15/08 Ba3 900 967,500 Face Moody's Amount Value Ratings (000) (Note 1-A) --------------------------------------------------------------------------------------- Pemex Project Funding Master Trust: Gtd. 8.50%, 2/15/08 Baa1 $ 150 $ 175,500 Series REGS, Gtd. 7.75%, 8/2/07 Baa1 1,825 2,313,578 6.625%, 4/4/10 Baa1 1,065 1,277,669 Pogo Producing Co.: Series B, Sr. Sub. Notes 10.375%, 2/15/09 Ba3 250 273,438 8.25%, 4/15/11 Ba3 550 611,875 Southwest Royalties, Inc. Gtd. 10.50%, 6/30/04 N/R 1,015 1,015,000 Vintage Petroleum, Inc. Sr. Sub. Notes 7.875%, 5/15/11 B1 700 754,250 Wiser Oil Co. Gtd. Sr. Sub. Notes 9.50%, 5/15/07 Caa3 800 732,000 ------------ GROUP TOTAL 9,055,060 ------------ --------------------------------------------------------------------------------------- ----------------- SERVICES (3.6%) APCOA, Inc. Gtd. Sr. Sub. Notes 9.25%, 3/15/08 Caa3 377 133,835 (3) American Color Graphics Notes 10.00%, 6/15/10 B3 800 800,000 Brand Services, Inc. Gtd. 12.00%, 10/15/12 B3 600 687,000 Diamond Triumph Auto Glass, Inc. Gtd. 9.25%, 4/1/08 B3 500 422,500 Iesi Corp. Gtd. 10.25%, 6/15/12 B3 500 532,500 Integrated Electrical Services, Inc. Series C, Gtd. 9.375%, 2/1/09 B2 625 637,500 Iron Mountain, Inc.: Gtd. 8.625%, 4/1/13 B2 500 537,500 7.75%, 1/15/15 B2 250 265,625 La Petite Academy, Inc. Series B, Gtd. 10.00%, 5/15/08 Ca 1,300 786,500 Muzak LLC/Muzak Finance Corp.: Gtd. 9.875%, 3/15/09 Caa1 650 620,750 (3) Sr. Notes 10.00%, 2/15/09 B3 300 315,750 Salton, Inc. Sr. Sub. Notes 12.25%, 4/15/08 B2 650 650,000 United Rentals, Inc. Series B, Gtd. 9.25%, 1/15/09 B2 750 742,500 The accompanying notes are an integral part of the financial statements. 12 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) --------- JUNE 30, 2003 Face Moody's Amount Value Ratings (000) (Note 1-A) --------------------------------------------------------------------------------------- Xerox Corp. Sr. Notes 7.625%, 6/15/13 B1 $ 500 $ 503,125 ------------ GROUP TOTAL 7,635,085 ------------ --------------------------------------------------------------------------------------- TECHNOLOGY (1.8%) (3) AMI Semiconductor, Inc. Sr. Sub. Notes 10.75%, 2/1/13 B3 250 283,750 Amkor Technology, Inc.: Global Sr. Notes 9.25%, 2/15/08 B1 350 365,750 (3) Sr. Notes 7.75%, 5/15/13 B1 500 477,500 Ampex Corp. Secured 12.00%, 8/15/08 N/R 1,565 234,692 DigitalNet Holdings, Inc. Sr. Notes 9.00%, 7/15/10 B2 250 250,313 Lucent Technologies, Inc.: Notes 7.25%, 7/15/06 Caa1 400 381,000 5.50%, 11/15/08 Caa1 550 466,125 (3) Sanmina-SCI Corp. Secured 10.375%, 1/15/10 Ba2 900 1,008,000 Unisys Corp. Sr. Notes 7.875%, 4/1/08 Ba1 250 259,375 ------------ GROUP TOTAL 3,726,505 ------------ --------------------------------------------------------------------------------------- ----------------- TEXTILE/APPAREL/SHOE MANUFACTURING (1.8%) (1) Advanced Glassfiber Yarns LLC Sr. Sub. Notes 9.875%, 1/15/09 N/R 150 8,250 BGF Industries, Inc. Series B, Sr. Sub. Notes 10.25%, 1/15/09 Ca 250 172,500 Levi Strauss & Co. Notes 7.00%, 11/1/06 B3 1,250 1,015,625 Phillips-Van Heusen Corp. Sr. Sub. Notes 9.50%, 5/1/08 B3 800 832,000 Simmons Co. Series B, Sr. Sub. Notes 10.25%, 3/15/09 B2 650 698,750 Tropical Sportswear International Corp. Series A, Gtd. 11.00%, 6/15/08 B3 700 724,500 USI American Holdings, Inc. Series B, Gtd. 7.25%, 12/1/06 B3 393 467,249 ------------ GROUP TOTAL 3,918,874 ------------ --------------------------------------------------------------------------------------- ----------------- Face Moody's Amount Value Ratings (000) (Note 1-A) --------------------------------------------------------------------------------------- TRANSPORTATION/OTHER (0.4%) Sea Containers Ltd. Series B, Yankee Sr. Notes 10.75%, 10/15/06 B1 $ 700 $ 640,500 Ultrapetrol (Bahamas) Ltd. First Mortgage Notes 10.50%, 4/1/08 B1 150 105,000 ------------ GROUP TOTAL 745,500 ------------ --------------------------------------------------------------------------------------- ----------------- UTILITIES (1.9%) AES Corp.: Sr. Notes 8.00%, 12/31/08 B3 250 241,250 9.50%, 6/1/09 B3 48 48,720 CMS Energy Corp.: Series B, Sr. Notes 6.75%, 1/15/04 B3 75 76,125 Sr. Notes 7.50%, 1/15/09 B3 700 695,625 Calpine Canada Energy Finance Gtd. 8.50%, 5/1/08 B1 317 248,845 Calpine Corp. Sr. Notes 7.75%, 4/15/09 B1 800 596,000 Cogentrix Energy, Inc. Series B, Gtd. 8.75%, 10/15/08 B1 900 778,500 Edison Mission Energy Sr. Notes 7.73%, 6/15/09 B2 250 215,000 Mirant Americas Generation LLC Sr. Notes 7.625%, 5/1/06 Caa3 600 465,000 (3) Mirant Corp. Sr. Notes 7.40%, 7/15/04 Ca 300 225,000 (3) Reliant Resources, Inc. Secured 9.50%, 7/15/13 B1 250 253,125 TNP Enterprises, Inc. Series B, Sr. Sub. Notes 10.25%, 4/1/10 Ba3 250 251,250 ------------ GROUP TOTAL 4,094,440 ------------ --------------------------------------------------------------------------------------- ----------------- WIRELESS (5.2%) (4) Alamosa PCS Holdings, Inc. Gtd. 0.00%, 2/15/10 Caa3 800 468,000 American Cellular Corp. Gtd. 9.50%, 10/15/09 Caa3 900 454,500 (3) Centennial Cellular Operating Co./ Centennial Communications Corp. Sr. Notes 10.125%, 6/15/13 Caa1 400 398,000 The accompanying notes are an integral part of the financial statements. 13 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) --------- JUNE 30, 2003 Face Moody's Amount Value Ratings (000) (Note 1-A) --------------------------------------------------------------------------------------- iPCS, Inc. Sr. Discount Notes 14.00%, 7/15/10 Ca $ 250 $ 15,000 IWO Holdings, Inc. Gtd. 14.00%, 1/15/11 Ca 550 101,750 Millicom International Cellular SA Yankee Sr. Discount Notes 13.50%, 6/1/06 Caa3 1,000 1,015,000 (4) Nextel Communications, Inc. Sr. Discount Notes 9.95%, 2/15/08 B3 2,580 2,709,000 Nextel Partners, Inc.: Sr. Notes 11.00%, 3/15/10 Caa1 400 434,000 (3) 8.125%, 7/1/11 Caa1 750 751,875 PTC International Finance II SA Yankee Gtd. 11.25%, 12/1/09 Ba3 750 851,250 Rogers Cantel, Inc. Yankee Sr. Secured Debentures 9.375%, 6/1/08 Ba3 350 366,625 Rural Cellular Corp. Sr. Sub. Notes 9.75%, 1/15/10 Caa1 1,450 1,290,500 (4) Tritel PCS, Inc. Gtd. 0.00%, 5/15/09 Baa2 325 339,625 (3) Triton PCS, Inc. Sr. Notes 8.50%, 6/1/13 B2 750 810,000 (4) U.S. Unwired, Inc. Series B, Gtd. 0.00%, 11/1/09 Caa2 1,100 456,500 Western Wireless Corp. Sr. Sub. Notes 10.50%, 2/1/07 Caa2 600 612,000 ------------ GROUP TOTAL 11,073,625 ------------ --------------------------------------------------------------------------------------- ----------------- TOTAL CORPORATE OBLIGATIONS (Cost $188,939,455) 175,755,052 ------------ --------------------------------------------------------------------------------------- Shares/ Units ------------------------------------------------------------------------- ----------------- COMMON STOCKS (1.0%) ------------------------------------------------------------------------- ----------------- BROADCAST/OUTDOOR (0.4%) (5) Equinix, Inc. 5,567 43,701 (3)(5) Spanish Broadcasting System, Inc. Class A 93,300 758,529 ------------ GROUP TOTAL 802,230 ------------ ------------------------------------------------------------------------- ----------------- CABLE (0.2%) (5) NTL Europe, Inc. 3 0 Shares/ Value Units (Note 1-A) ------------------------------------------------------------------------- (5) NTL, Inc. 10,155 $ 346,489 ------------ GROUP TOTAL 346,489 ------------ ------------------------------------------------------------------------- ----------------- CAPITAL GOODS (0.1%) (5) Terex Corp. 5,043 98,439 ------------ ------------------------------------------------------------------------- ----------------- CONTAINERS (0.0%) (2)(5) Indesco International, Inc. 20,689 98,273 ------------ ------------------------------------------------------------------------- ----------------- FINANCE (0.0%) (2)(5)(6) Westfed Holdings, Inc. Class B (acquired 9/20/88, cost $510) 16,893 169 ------------ ------------------------------------------------------------------------- ----------------- FOOD PROCESSORS/BEVERAGE/BOTTLING (0.0%) (3)(5) Specialty Foods Corp. 52,500 525 ------------ ------------------------------------------------------------------------- ----------------- INDUSTRIAL/OTHER (0.1%) (2)(5) Doskocil Manufacturing Co. 36,000 126,000 (2)(5) First Wave Marine, Inc. 2,105 13,156 ------------ GROUP TOTAL 139,156 ------------ ------------------------------------------------------------------------- ----------------- LODGING (0.0%) (5) Motels of America, Inc. 750 3,000 ------------ ------------------------------------------------------------------------- ----------------- METALS & MINING (0.0%) (5) Sheffield Steel Corp. 8,750 88 ------------ ------------------------------------------------------------------------- ----------------- RETAIL STORES (0.0%) (2)(5) Safelite Glass Corp Class B 18,064 903 (2)(5) Safelite Realty Corp. 1,219 12 ------------ GROUP TOTAL 915 ------------ ------------------------------------------------------------------------- ----------------- RETAIL - FOOD & DRUG (0.0%) (2) Archibald Candy Corp. 2,030 50,750 ------------ ------------------------------------------------------------------------- ----------------- SECONDARY OIL & GAS PRODUCERS (0.1%) (2)(5) Southwest Royalties, Inc. Class A 16,736 253,210 ------------ ------------------------------------------------------------------------- ----------------- SERVICES (0.0%) (3)(5) Mail Well, Inc. 31,958 80,534 ------------ ------------------------------------------------------------------------- ----------------- TEXTILE/APPAREL/SHOE MANUFACTURING (0.1%) (2)(5) HCI Direct, Inc. Class A 18,578 92,890 (5) Safety Components International, Inc. 26,759 215,410 ------------ GROUP TOTAL 308,300 ------------ ------------------------------------------------------------------------- ----------------- WIRELESS (0.0%) (3)(5) OpTel, Inc. 750 8 ------------ ------------------------------------------------------------------------- ------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $4,673,768) 2,182,086 ------------ ------------------------------------------------------------------------- ----------------- The accompanying notes are an integral part of the financial statements. 14 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) --------- JUNE 30, 2003 Shares/ Value Units (Note 1-A) ------------------------------------------------------------------------- PREFERRED STOCKS (0.2%) ------------------------------------------------------------------------- ----------------- CABLE (0.0%) (5) Adelphia Communications Corp. 13% Cum. Exchangeable Series B 7,500 $ 3,750 (5) DIVA Systems Corp. Series D 56,913 569 (5) NTL Europe, Inc. 10%, Series A 9 18 ------------ GROUP TOTAL 4,337 ------------ ------------------------------------------------------------------------- ----------------- FINANCE (0.0%) (2)(5)(6) Westfed Holdings, Inc. Class A (acquired 9/20/88-6/18/93, cost $4,815,472) 57,005 14,251 ------------ ------------------------------------------------------------------------- ----------------- RESTAURANTS (0.0%) (5)(7) AmeriKing, Inc. 13% Cum. Exchangeable 40,375 404 ------------ ------------------------------------------------------------------------- ----------------- SATELLITE (0.0%) (5)(7) DigitalGlobe, Inc. 8.50%, Series C 68,257 68,257 ------------ ------------------------------------------------------------------------- ----------------- WIRELESS (0.2%) (5)(7) Rural Cellular Corp. 11.375% Sr. Exchangeable 426 269,445 ------------ ------------------------------------------------------------------------- ----------------- TOTAL PREFERRED STOCKS (Cost $7,183,086) 356,694 ------------ ------------------------------------------------------------------------- ----------------- WARRANTS (0.0%) ------------------------------------------------------------------------- (5) Arcadia Financial Ltd. expiring 3/15/07 475 5 (2)(5) Carrier1 International S.A. expiring 2/19/09 300 0 (5) Crown Packaging Holdings Ltd. expiring 11/1/03 3,000 30 (3)(5) Dayton Superior Corp. expiring 6/15/09 1,250 13 (3)(5) Decrane Aircraft Holdings expiring 9/30/08 800 8 (3)(5) DIVA Systems Corp.: expiring 5/15/06 2,315 23 expiring 3/1/08 11,655 117 (5) Loral Space & Communications expiring 12/27/06 6,290 63 (5) Mikohn Gaming Corp. expiring 8/15/08 3,000 30 (5) NTL, Inc. expiring 1/13/11 4 5 (5) Pegasus Communications Corp. expiring 1/1/07 250 3 (3)(5) Pliant Corp. expiring 6/1/10 747 747 (2)(5) Safelite Glass Corp.: Class A expiring 9/29/06 44,271 443 Class B expiring 9/29/07 29,514 295 Shares/ Value Units (Note 1-A) ------------------------------------------------------------------------- (5) Star Choice Communications, Inc. expiring 12/5/05 16,212 47,862 (5) Windsor Woodmont Black Hawk expiring 3/15/10 100 $ 0 ------------------------------------------------------------------------- ----------------- TOTAL WARRANTS (Cost $91,211) 49,644 ------------ ------------------------------------------------------------------------- ----------------- TOTAL DOMESTIC SECURITIES (Cost $200,887,520) 178,343,476 ------------ ------------------------------------------------------------------------- Face Moody's Amount Ratings (000) -------------------------------------------------------------------------- FOREIGN SECURITIES (11.9%) -------------------------------------------------------------------------- ----------------- CORPORATE OBLIGATIONS (0.6%) -------------------------------------------------------------------------- ----------------- MALAYSIA (0.0%) (3) Petronas Capital, Ltd. Gtd. 7.00%, 5/22/12 Baa1 USD $50 57,957 ------------ -------------------------------------------------------------------------- ----------------- MEXICO (0.6%) Telefonos de Mexico SA de CV Sr. Notes 8.25%, 1/26/06 A3 USD 1,130 1,271,250 ------------ -------------------------------------------------------------------------- ----------------- TOTAL CORPORATE OBLIGATIONS (Cost $1,302,133) 1,329,207 ------------ -------------------------------------------------------------------------- ----------------- GOVERNMENT OBLIGATIONS (11.3%) -------------------------------------------------------------------------- ----------------- ARGENTINA (0.0%) (8) Bocon PRO1 Bonds 2.67%, 4/1/07 Ca ARP 152 4,684 ------------ -------------------------------------------------------------------------- ----------------- BELIZE (0.4%) Government of Belize Global Bonds 9.50%, 8/15/12 Ba3 USD 815 826,710 ------------ -------------------------------------------------------------------------- ----------------- BRAZIL (1.3%) Federal Republic of Brazil: Series 20YR, Bonds 8.00%, 4/15/14 B2 USD 616 540,885 Series 30yr, Collateralized 2.125%, 4/15/24 B2 USD 3,000 2,247,804 ------------ GROUP TOTAL 2,788,689 ------------ -------------------------------------------------------------------------- ----------------- COLOMBIA (0.4%) Republic of Columbia Unsubordinated 7.625%, 2/15/07 Ba2 USD 830 892,250 ------------ -------------------------------------------------------------------------- ----------------- COSTA RICA (0.1%) Republic of Costa Rica Series REGS, Notes 9.335%, 5/15/09 Ba1 USD 160 186,056 ------------ -------------------------------------------------------------------------- The accompanying notes are an integral part of the financial statements. 15 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) --------- JUNE 30, 2003 Face Moody's Amount Value Ratings (000) (Note 1-A) -------------------------------------------------------------------------- GRENADA (0.3%) Government of Grenada Series REGS, Unsubordinated 9.375%, 6/30/12 N/R USD $660 $ 675,609 ------------ -------------------------------------------------------------------------- ----------------- MEXICO (1.2%) United Mexican States: Bonds 8.25%, 2/24/09 Baa2 USD 1,046 1,379,267 Global Notes 8.375%, 1/14/11 Baa2 USD 1,000 1,200,500 ------------ GROUP TOTAL 2,579,767 ------------ -------------------------------------------------------------------------- ----------------- MOROCCO (0.2%) Kingdom of Morocco Series A, Foreign Government Gtd. 2.5625%, 1/1/09 Ba1 USD 443 425,353 ------------ -------------------------------------------------------------------------- ----------------- PANAMA (0.5%) Republic of Panama: Bonds 2.75%, 7/17/16 Ba1 USD 412 333,499 Global Notes 8.25%, 4/22/08 Ba1 USD 600 664,500 ------------ GROUP TOTAL 997,999 ------------ -------------------------------------------------------------------------- ----------------- PERU (0.5%) Republic of Peru: Global Notes 9.125%, 1/15/08 Ba3 USD 755 821,062 Series 20yr, Collateralized 4.50%, 3/7/17 Ba3 USD 450 345,166 ------------ GROUP TOTAL 1,166,228 ------------ -------------------------------------------------------------------------- ----------------- PHILIPPINES (0.4%) Republic of Philippines Global Bonds 8.875%, 4/15/08 Ba1 USD 810 893,025 ------------ -------------------------------------------------------------------------- ----------------- RUSSIA (3.7%) Ministry Finance of Russia Series VI, Debentures 3.00%, 5/14/06 Ba3 USD 1,340 1,308,925 Russian Federation: Series REGS, Unsubordinated 8.25%, 3/31/10 Ba3 USD 2,625 3,039,886 5.00%, 3/31/30 Ba2 USD 2,495 2,426,387 (3) Unsubordinated 11.00%, 7/24/18 Ba2 USD 785 1,120,588 ------------ GROUP TOTAL 7,895,786 ------------ -------------------------------------------------------------------------- ----------------- Face Moody's Amount Value Ratings (000) (Note 1-A) -------------------------------------------------------------------------- UKRAINE (0.8%) Ukraine Government Sr. Notes 11.00%, 3/15/07 B2 USD 1,471 1,619,040 ------------ -------------------------------------------------------------------------- URUGUAY (0.3%) Republic of Uruguay: Notes 7.25%, 2/15/11 B3 USD $510 $ 409,275 7.50%, 3/15/15 B3 USD 340 266,050 ------------ GROUP TOTAL 675,325 ------------ -------------------------------------------------------------------------- ----------------- VENEZUELA (1.2%) Republic of Venezuela: Bonds 9.25%, 9/15/27 Caa1 USD 1,815 1,345,369 Series DL, Bonds 1.875%, 12/18/07 N/R USD 1,393 1,108,398 ------------ GROUP TOTAL 2,453,767 ------------ -------------------------------------------------------------------------- ----------------- TOTAL GOVERNMENT OBLIGATIONS (Cost $22,385,056) 24,080,288 ------------ -------------------------------------------------------------------------- ----------------- TOTAL FOREIGN SECURITIES (Cost $23,687,189) 25,409,495 ------------ -------------------------------------------------------------------------- ----------------- TIME DEPOSITS (0.9%) Citibank (Nassau) 0.36%, 7/1/03 (Cost $1,911,000) 1,911,000 ------------ -------------------------------------------------------------------------- ----------------- TOTAL INVESTMENTS (96.6%) (Cost $226,485,709) 205,663,971 ------------ -------------------------------------------------------------------------- ----------------- OTHER ASSETS IN EXCESS OF LIABILITIES (3.4%) 7,230,581 ------------ -------------------------------------------------------------------------- ----------------- NET ASSETS (100%) Applicable to 49,895,588 issued and outstanding $.001 par value shares (authorized 100,000,000 shares) $212,894,552 ============ ========================================================================== N/R--Not Rated ARP--Argentine Peso (1) Defaulted security. (2) Not readily marketable security; security is valued at fair value as determined in good faith by the Board of Directors. (3) 144A Security. Certain conditions for public sale may exist. Total market value of 144A securities owned at June 30, 2003 was $23,108,149 or 10.85% of net assets. (4) 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. (5) Non-income producing security. (6) Restricted as to private and public resale. Total cost of restricted securities at June 30, 2003 aggregated $4,815,982. Total market value of restricted securities owned at June 30, 2003 was $14,420 or 0.01% of net assets. (7) Payment-in-kind preferred stocks. Market value includes accrued dividend. (8) Floating Rate--The interest rate changes on these instruments based upon a designated base rate. The rates shown are those in effect at June 30, 2003. The accompanying notes are an integral part of the financial statements. 16 STATEMENT OF ASSETS AND LIABILITIES June 30, 2003 (unaudited) -------------------------------------------------------------------------------------------------- ASSETS: Investments at Value (Cost $226,485,709) (Note 1-A)............................................ $205,663,971 Receivables: Receivables for Investments Sold.......................................... 4,670,261 Dividend and Interest Receivable (Note 1-B)............................... 5,113,585 Other Assets................................................................ 30,773 -------------------------------------------------------------------------------------------------- Total Assets............................................................ 215,478,590 -------------------------------------------------------------------------------------------------- LIABILITIES: Investments Purchased..................................................... 2,032,722 Unrealized Depreciation on Forward Foreign Currency Exchange Contracts (Note 1-H)............................................................... 88,850 Investment Advisory Fees (Note 2)......................................... 259,045 Shareholders' Reports..................................................... 122,489 Shareholders' Servicing Fees.............................................. 30,690 Custodian Fees............................................................ 24,161 Administrative Fees (Note 2).............................................. 19,756 Audit Fees................................................................ 4,952 Directors' Fees........................................................... 1,373 -------------------------------------------------------------------------------------------------- Total Liabilities....................................................... 2,584,038 -------------------------------------------------------------------------------------------------- NET ASSETS...................................................................... $212,894,552 ================ NET ASSETS CONSIST OF: Capital Shares at $.001 Par Value........................................... $ 49,896 Capital Paid in Excess of Par Value......................................... 394,632,167 Distributions in Excess of Net Investment Income............................ (5,514,692) Accumulated Net Realized Loss on Investments................................ (155,242,909) Unrealized Depreciation on Investments, Foreign Currency Contracts and Translations............................................................... (21,029,910) -------------------------------------------------------------------------------------------------- NET ASSETS APPLICABLE TO 49,895,588 ISSUED AND OUTSTANDING SHARES (AUTHORIZED 100,000,000 SHARES)........................................................... $212,894,552 ================ NET ASSET VALUE PER SHARE....................................................... $ 4.27 ================================================================================================== STATEMENT OF OPERATIONS Six Months Ended June 30, 2003 (unaudited) -------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest (Net of foreign taxes withheld of $5,022) (Note 1-B)............... $10,446,611 Dividends (Note 1-B)........................................................ 30,621 -------------------------------------------------------------------------------------------------- Total Income.............................................................. 10,477,232 -------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees (Note 2)........................................... 501,724 Shareholders' Reports....................................................... 59,507 Custodian Fees.............................................................. 55,044 Administrative Fees (Note 2)................................................ 50,181 Shareholders' Servicing Fees................................................ 38,680 Directors' Fees and Expenses................................................ 26,283 NYSE Fees................................................................... 18,436 Legal Fees.................................................................. 17,356 Audit Fees.................................................................. 15,590 Miscellaneous............................................................... 15,031 -------------------------------------------------------------------------------------------------- Total Expenses............................................................ 797,832 -------------------------------------------------------------------------------------------------- Net Investment Income................................................... 9,679,400 -------------------------------------------------------------------------------------------------- Net Realized Loss on Investments and Foreign Currency (Note 1-B)................ (3,311,137) -------------------------------------------------------------------------------------------------- Change in Unrealized Appreciation on Investments, Foreign Currency Contracts and Translations.................................................................. 22,664,209 -------------------------------------------------------------------------------------------------- Net Realized Loss and Change in Unrealized Appreciation......................... 19,353,072 -------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $29,032,472 ================================================================================================== The accompanying notes are an integral part of the financial statements. 17 STATEMENT OF CHANGES IN NET ASSETS Six Months Ended June 30, 2003 Year Ended (unaudited) December 31,2002 --------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net Investment Income....................................................... $ 9,679,400 $ 21,151,823 Net Realized Loss on Investments, Foreign Currency and Futures Contracts.... (3,311,137) (56,450,987) Change in Unrealized Appreciation of Investments, Foreign Currency Contracts and Translations........................................................... 22,664,209 28,662,276 --------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................. 29,032,472 (6,636,888) --------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS: Net Investment Income....................................................... (11,226,533) (30,897,405) Return of Capital........................................................... -- (4,029,507) --------------------------------------------------------------------------------------------------------------------- Total Distributions....................................................... (11,226,533) (34,926,912) --------------------------------------------------------------------------------------------------------------------- Total Increase (Decrease) in Net Assets 17,805,939 (41,563,800) --------------------------------------------------------------------------------------------------------------------- NET ASSETS: Beginning of Period......................................................... 195,088,613 236,652,413 --------------------------------------------------------------------------------------------------------------------- End of Period (Including distributions in excess of net investment income of ($5,514,692) and ($3,967,559), respectively.).............................. $212,894,552 $195,088,613 ===================================================================================================================== FINANCIAL HIGHLIGHTS Six Months Ended Year Ended December 31, PER SHARE OPERATING JUNE 30, 2003 --------------------------------------------------------------------- PERFORMANCE: (UNAUDITED) 2002 2001(2) 2000 1999 1998 1997 ---------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD............................ $3.91 $4.74 $5.70 $7.34 $7.77 $8.44 $8.12 ---------------------------------------------------------------------------------------------------------------------------- Offering Costs................. -- -- -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------- Investment Activities: Net Investment Income.......... 0.19 0.42 0.61+ 0.67 0.75 0.71 0.69 Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts............. 0.40 (0.55) (0.85) (1.55) (0.46) (0.66) 0.39 ---------------------------------------------------------------------------------------------------------------------------- Total from Investment Activities.................. 0.59 (0.13) (0.24) (0.88) 0.29 0.05 1.08 ---------------------------------------------------------------------------------------------------------------------------- Distributions: Net Investment Income.......... (0.23) (0.62) (0.72) (0.76) (0.72) (0.72) (0.76) Return of Capital.............. -- (0.08) -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------- Total Distributions.......... (0.23) (0.70) (0.72) (0.76) (0.72) (0.72) (0.76) ---------------------------------------------------------------------------------------------------------------------------- Decrease in Net Asset Value due to Shares Issued through Rights Offering.......................... -- -- -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD..... $4.27 $3.91 $4.74 $5.70 $7.34 $7.77 $8.44 ============================================================================================================================ PER SHARE MARKET VALUE, END OF PERIOD............................ $4.57 $3.88 $4.98 $5.56 $6.06 $7.56 $8.75 ============================================================================================================================ TOTAL INVESMENT RETURN: Net Asset Value(1)............. 14.78% (5.26)% (6.04)% (12.37)% 4.50% 0.47% 14.03% Market Value................... 23.80% (10.52)% 1.15% 3.55% (11.32)% (5.68)% 25.90% ============================================================================================================================ RATIOS AND SUPPLEMENTAL DATA: ============================================================================================================================ Net Assets, End of Period (Thousands)....................... $212,895 $195,089 $236,652 $197,817 $254,857 $269,507 $291,959 ---------------------------------------------------------------------------------------------------------------------------- Ratio of Expenses to Average Net Assets Including Expense Offsets........................... 0.80%** 0.79% 1.07% 0.78% 0.78% 0.81% 0.84% Ratio of Expenses to Average Net Assets............................ 0.80%** 0.79% 1.07% 0.78% 0.78% 0.81% 0.84% Ratio of Net Investment Income to Average Net Assets................ 9.65%** 9.93% 11.66% 10.10% 9.90% 8.59% 8.47% Portfolio Turnover Rate............ 44.02% 61.1% 50.1%(3) 39.1% 43.5% 84.7% 97.7% ---------------------------------------------------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS Year Ended December 31, PER SHARE OPERATING ----------------------------------------------- PERFORMANCE: 1996 1995SECTION 1994 1993 ----------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD............................ $8.63 $8.05 $9.00 $8.42 ----------------------------------- Offering Costs................. (0.02) -- -- -- ----------------------------------- Investment Activities: Net Investment Income.......... 0.75 0.86 0.83 0.91 Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts............. 0.18 0.48 (1.06) 0.57 ----------------------------------- Total from Investment Activities.................. 0.93 1.34 (0.23) 1.48 ----------------------------------- Distributions: Net Investment Income.......... (0.90) (0.76) (0.72) (0.90) Return of Capital.............. -- -- -- -- ----------------------------------- Total Distributions.......... (0.90) (0.76) (0.72) (0.90) ----------------------------------- Decrease in Net Asset Value due to Shares Issued through Rights Offering.......................... (0.52) -- -- -- ----------------------------------- NET ASSET VALUE, END OF PERIOD..... $8.12 $8.63 $8.05 $9.00 =================================== PER SHARE MARKET VALUE, END OF PERIOD............................ $7.63 $7.88 $7.00 $8.50 =================================== TOTAL INVESMENT RETURN: Net Asset Value(1)............. 10.59%* 17.41% (2.67)% 18.47% Market Value................... 10.05%* 24.34% (9.48)% 12.46% =================================== RATIOS AND SUPPLEMENTAL DATA: =================================== Net Assets, End of Period (Thousands)....................... $280,634 $210,441 $196,379 $219,355 ----------------------------------- Ratio of Expenses to Average Net Assets Including Expense Offsets........................... 0.94% 0.92% 0.83% 0.88% Ratio of Expenses to Average Net Assets............................ 0.95% 0.92% 0.83% 0.88% Ratio of Net Investment Income to Average Net Assets................ 9.23% 10.22% 9.75% 10.34% Portfolio Turnover Rate............ 81.0% 44.1% 70.6% 117.5% ----------------------------------- 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. ** Annualized. + Calculated using the average share method. (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 year, 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. (2) As required, effective January 1, 2001 the Fund has adopted provisions of AICPA Audit and Accounting Guide for Investment Companies and has begun amortizing premiums on debt securities. The effect of this change for the year ended December 31, 2001 was a decrease to net investment income per share by $0.004 and an increase to net realized and unrealized gains and losses per share by $0.004 and a decrease to the net ratio of net investment income to average net assets from 11.73% to 11.66%. Per share ratios and supplemental data for prior years have not been restated to reflect this change. (3) Due to the realignment of the Fund's portfolio in connection with the combination with Credit Suisse Strategic Global Income Fund, Inc., the cost of purchases of $30,040,944 and proceeds from sales of $37,801,151 have been excluded from the Portfolio Turnover calculation. Note: Current Year permanent book-tax differences, if any, are not included in the calculation of net investment income per share. The accompanying notes are an integral part of the financial statements. 18 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. NOTES TO FINANCIAL STATEMENTS JUNE 30, 2003 (UNAUDITED) ------------ NOTE 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES Credit Suisse Asset Management 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 investment primarily in debt securities. On May 14, 2001, the Fund acquired substantially all of the assets and assumed the liabilities of Credit Suisse Asset Management Strategic Global Income Fund, Inc. ("CGF"). Pursuant to the terms of the agreement governing the acquisition, the CGF shareholders, for each share of common stock of CGF held, became entitled to receive an equivalent dollar amount of full shares of common stock of the Fund. Based on the net asset values of the Fund and CGF as of May 11, 2001 ($5.49 and $6.96, respectively), the conversion ratio was 1.2681 shares of the Fund for each share of CGF. Cash was paid in lieu of fractional shares. Net assets of the Fund and CGF as of the acquisition date were $190,522,544 and $83,383,448, including unrealized depreciation of $71,252,968 and $16,668,823, respectively. Total net assets immediately after the acquisition were $273,905,992. Based upon the opinion of Fund counsel, the acquisition qualified as a tax-free reorganization for Federal income tax purposes, with no gain or loss recognized by the Fund, CGF or their shareholders. A) SECURITY VALUATION -- The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. on each day the exchange is open for business. Debt securities with a remaining maturity greater then 60 days are valued on the basis of broker quotations or in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. The Fund's equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation ("Valuation Time"). If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time. Securities and other assets for which market quotations are not readily available are valued at fair value as determined in good faith by the Board of Directors under procedures established by the Board of Directors in the absence of readily ascertainable market values. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. 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") (excluding Rule 144A securities). These securities are valued pursuant to the valuation procedures noted above. B) SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are accounted for on a trade date basis. Interest income is recorded on the accrual basis. The Fund amortizes premium and accretes discount using the effective yield method. Dividends are recorded on the ex-dividend date. Costs used in determining realized gains and losses on the sale of investment securities are those of specific securities sold. Discount or premium on mortgage backed securities are recorded upon receipt of principal payments on the underlying mortgage pools. C) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income are declared and paid monthly. Distributions of net realized capital gains, if any, are declared and paid at least annually. However, to the extent that a net realized capital gain can be reduced by a capital loss carryover, such gain will not be distributed. Income and capital gains distributions are determined in accordance with federal income tax regulations which may differ from generally accepted accounting principles in the United States of America ("GAAP"). D) FEDERAL INCOME TAXES -- No provision is made for federal taxes as it is the Fund's intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from federal income and excise taxes. E) SHORT-TERM INVESTMENTS -- The Fund, together with other funds/portfolios advised by Credit Suisse Asset Management, LLC ("CSAM"), an indirect wholly-owned subsidiary of Credit Suisse Group, sweeps available cash into overnight offshore time deposits either with Brown Brothers Harriman & Co. ("BBH&Co.") Grand Cayman branch the Fund's custodian, or with other client approved, and highly-rated banks. The short-term time deposit is a variable rate account classified as a short-term investment. F) 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. 19 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. NOTES TO FINANCIAL STATEMENTS (CONTINUED) JUNE 30, 2003 (UNAUDITED) ------------ G) FUTURES CONTRACTS -- The Fund may enter into futures contracts to the extent permitted by its investment policies and objectives. Upon entering into a futures contract, the Fund is required to deposit cash or pledge U.S. Government securities as initial margin. Subsequent payments, which are dependent on the daily fluctuations in the value of the underlying instrument, are made or received by the Fund each day (daily variation margin) and are recorded as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund's basis in the contracts. Risks of entering into futures contracts for hedging purposes include the possibility that a change in the value of the contracts may not correlate with the changes in the value of the underlying instruments. In addition, the purchase of futures contracts involves the risk that the Fund could lose more than the original margin deposit and subsequent payments required for a futures transaction. At June 30, 2003, the Fund had no open futures contracts. H) FORWARD FOREIGN CURRENCY CONTRACTS -- The Fund may enter into forward foreign currency contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency. The Fund will enter into forward foreign currency contracts primarily for hedging purposes. Forward foreign currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized until the contract settlement date, or an offsetting position is entered into. At June 30, 2003, the Fund had the following open forward foreign currency contracts: FORWARD FOREIGN FOREIGN CURRENCY EXPIRATION CURRENCY TO BE CONTRACT CONTRACT UNREALIZED CONTRACTS DATE PURCHASED/(SOLD) AMOUNT VALUE GAIN/(LOSS) --------------------------------------------- ---------- ---------------- ----------- ----------- ----------- European Economic Unit 8/07/03 250,000 $ 291,725 $ 287,251 $ (4,474) European Economic Unit 8/07/03 (3,500,000) (3,931,515) (4,022,620) (91,105) European Economic Unit 9/29/03 (1,252,000) (1,443,556) (1,436,827) 6,729 ----------- ----------- -------- $(5,083,346) $(5,172,196) $(88,850) =========== =========== ======== I) OTHER -- Lower-rated debt securities (commonly known as "junk bonds") possess speculative characteristics and are subject to greater market fluctuations and risk of lost income and principal than higher-rated debt securities for a variety of reasons. Also, during an economic downturn or substantial period of rising interest rates, highly leveraged issuers may experience financial stress which would adversely effect their ability to service their principal and interest payment obligations, to meet projected business goals and to obtain additional financing. In addition, periods of economic uncertainty and changes can be expected to result in increased volatility of market prices of lower-rated debt securities and (to the extent a Fund invests in junk bonds) the Fund's net asset value. Investments in foreign securities may be exposed to risks not typically associated with investments in the United States. These risks include disruptive political or economic conditions and the possible imposition of adverse governmental laws or currency exchange restrictions. NOTE 2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES CSAM serves as investment adviser for the Fund. For its investment advisory services, CSAM is entitled to receive a fee from the Fund at a computed weekly and paid quarterly rate as follows: 0.50% of the lower of the weekly stock price (market value) of the Fund's outstanding shares or its average weekly net assets. For the six months ended June 30, 2003, CSAM earned investment advisory fees of $501,724. BBH&Co., provides administrative and custodial services to the Fund. Under the Administration and Custody Agreements, BBH&Co. is paid a fee based on average net assets. For the six months ended June 30, 2003, BBH&Co. earned administrative service fees (including out-of-pocket expenses) of $50,181. Fleet National Bank provides transfer agent services to the Fund. Under the Transfer Agent Agreement, Fleet National Bank 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 Fleet National Bank. Merrill Corporation ("Merrill"), an affiliate of CSAM, has been engaged by the Fund to provide certain financial printing and fulfillment services. For the six months ended June 30, 2003, Merrill was paid $17,878 for its services to the Fund. NOTE 3. LINE OF CREDIT The Fund, together with other funds/portfolios advised by CSAM (collectively, the "Participating Funds"), participates in a $100 million committed, unsecured line of credit facility ("Credit Facility") with Deutsche Bank, A.G. as administrative agent and syndication agent and State Street Bank and 20 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. NOTES TO FINANCIAL STATEMENTS (CONCLUDED) JUNE 30, 2003 (UNAUDITED) ------------ Trust Company as operations agent for temporary or emergency purposes. Under the terms of the Credit Facility, the Participating Funds pay an aggregate commitment fee at a rate of 0.10% per annum on the average unused amount of the Credit Facility, which is allocated among the Participating Funds in such manner as is determined by the governing Boards of the Participating Funds. In addition, the Participating Funds pay interest on borrowings at the Federal Funds rate plus 0.50%. At June 30, 2003 and during the six months ended June 30, 2003, the Fund had no borrowings under the Credit Facility. NOTE 4. PURCHASES AND SALES OF SECURITIES For the six months ended June 30, 2003 purchases and sales of investment securities (excluding short-term investments) aggregated $86,027,264 and $85,914,370 respectively. At June 30, 2003, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and net unrealized appreciation (depreciation) (based on cost for federal income tax purposes) were $226,485,709, $14,738,364, $(35,560,102) and $(20,821,738), respectively. NOTE 5. OTHER 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. 21 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. JUNE 30, 2003 (UNAUDITED) ------------ DESCRIPTION OF INVESTLINK -SM- PROGRAM The InvestLink -SM- Program is sponsored and administered by Fleet National Bank, not by Credit Suisse Asset Management Income Fund, Inc., (the "Fund"). Fleet National Bank 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. Fleet National Bank, 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 22 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. JUNE 30, 2003 (UNAUDITED) ------------ 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. 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: Fleet National Bank, InvestLink Program, P.O. 43010, Providence, RI 02940-3010. 23 CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. JUNE 30, 2003 (UNAUDITED) ------------ GENERAL INFORMATION The Fund is organized as a Maryland corporation. On July 27, 2001 the Fund's Board of Directors adopted Articles Supplementary to the Fund's Articles of Incorporation that are consistent with Title 3, Subtitle 8 of Maryland's General Corporate Law ("MGCL"). The Articles Supplementary provide that: (1) the Board be divided into three classes with staggered terms that expire at the 2003, 2004, and 2005 annual meetings, respectively: Class I -- consisting of two current directors, James S. Pasman, Jr. and William W. Priest, Jr., Class II -- consisting of one current director, Lawrence J. Fox, and Class III -- consisting of one current director, Enrique R. Arzac; (2) Directors may only be removed for cause by a two-thirds vote of shareholders; and (3) the Directors can set the numbers of Directors and fill Board vacancies for the remainder of the class term (whether or not the term extends beyond the next annual meeting of shareholders). In addition, the Board adopted corresponding amendments to the Fund's By-Laws. This modification was made to more closely align the Fund's corporate governance structure with that of Credit Suisse High Yield Bond Fund, another closed-end registered investment management company whose Board of Trustees comprises substantially the same individuals who serve as Directors of the Fund. The Fund's Articles and By-Laws are on file with the SEC and are accessible through the SEC's website (www.sec.gov) or may be obtained from the Secretary of the Fund upon request. AMENDMENT TO THE AMENDED AND RESTATED BYLAWS OF CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC. Pursuant to a resolution duly adopted by the directors of Credit Suisse Asset Management Income Fund, Inc. (the "Fund") at a meeting of the Board of Directors of the Fund duly held on February 12, 2003, ARTICLE I, SECTION 2 of the Fund's Amended and Restated Bylaws was amended by adding the following sentence at the end thereof. "Notwithstanding the foregoing, the 2003 annual meeting of the Stockholders of the Company shall be held at such place as the Board of Directors shall select on such date as the Board of Directors may fix by resolution, provided that the meeting shall be held no later than the 30th of September 2003." Dated: February 12, 2003 Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that the CSAM Income Fund, Inc. may from time to time purchase up to 10% of its capital stock in the open market. 24 PRIVACY POLICY NOTICE --------- We are committed to maintaining the privacy of every current and prospective customer. We recognize that you entrust important personal information to us, and we wish to assure you that we take seriously our responsibilities in protecting and safeguarding this information. In connection with making available investment products and services to current and potential customers, we may obtain nonpublic personal information about you. This information may include your name, address, e-mail address, social security number, account number, assets, income, financial situation, transaction history and other personal information. We may collect nonpublic information about you from the following sources: - Information we receive on applications, forms, questionnaires, web sites, agreements or in the course of establishing or maintaining a customer relationship; and - Information about your transactions with us, our affiliates, or others. We do not disclose any nonpublic personal information about our customers or former customers to anyone, except with your consent or as otherwise permitted by law. In cases where we believe that additional products and services may be of interest to you, we may share the information described above with our affiliates. We may also disclose this information to firms that perform services on our behalf. These agents and service providers are required to treat the information confidentially and use it only for the purpose for which it is provided. We restrict access to nonpublic personal information about you to those employees, agents or other parties who need to know that information to provide products or services to you or in connection with your investments with or through us. We maintain physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information. NOTE: THIS NOTICE IS PROVIDED TO CLIENTS AND PROSPECTIVE CLIENTS OF CREDIT SUISSE ASSET MANAGEMENT, LLC ("CSAM"), CSAM CAPITAL INC., AND CREDIT SUISSE ASSET MANAGEMENT SECURITIES, INC., AND SHAREHOLDERS AND PROSPECTIVE SHAREHOLDERS IN CSAM SPONSORED AND ADVISED INVESTMENT COMPANIES, INCLUDING CREDIT SUISSE FUNDS, AND OTHER CONSUMERS AND CUSTOMERS, AS APPLICABLE. THIS NOTICE IS NOT INTENDED TO BE INCORPORATED IN ANY OFFERING MATERIALS BUT IS MERELY A STATEMENT OF OUR CURRENT PRIVACY POLICY, AND MAY BE AMENDED FROM TIME TO TIME UPON NOTICE TO YOU. THIS NOTICE IS DATED AS OF MAY 31, 2003. 25 4946-SAR-03 ITEM 2. CODE OF ETHICS. Form N-CSR disclosure requirement not yet effective with respect to the Registrant. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Form N-CSR disclosure requirement not yet effective with respect to the Registrant. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Form N-CSR disclosure requirement not yet effective with respect to the Registrant. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Form N-CSR disclosure requirement not yet effective with respect to the Registrant. ITEM 6. [RESERVED] ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Form N-CSR disclosure requirement not yet effective with respect to the Registrant. ITEM 8. [RESERVED] ITEM 9. CONTROLS AND PROCEDURES. (a) The Principal Executive Officer and Principal Financial Officer concluded that the Registrant's Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. (b) There were no significant changes in Registrant's internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. ITEM 10. EXHIBITS. (a)(1) Form N-CSR disclosure requirement not yet effective with respect to the Registrant. (a)(2) The certifications of the Registrant as required by Rule 30a-2(a) under the Act are exhibits to this report. (b) The certifications of the Registrant as required by Rule 30a-2(b) under the Act are an exhibit to this report. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Credit Suisse Asset Management Income Fund, Inc. /s/ Joseph D. Gallagher -------------------------------------------------------------- Name: Joseph D. Gallagher Title: Chief Executive Officer Date: September 2, 2003 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. /s/ Joseph D. Gallagher -------------------------------------------------------------- Name: Joseph D. Gallagher Title: Chief Executive Officer Date: September 2, 2003 /s/ Michael A. Pignataro -------------------------------------------------------------- Name: Michael A. Pignataro Title: Chief Financial Officer Date: September 2, 2003